UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number 811-04878
SEI Institutional Managed Trust
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices) (Zip code)
c/o 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, 2016
Date of reporting period: March 31, 2016
Item 1. | Reports to Stockholders. |
March 31, 2016
SEMI-ANNUAL REPORT
SEI Institutional Managed Trust
➤ Large Cap Fund
➤ Large Cap Value Fund
➤ Large Cap Growth Fund
➤ Tax-Managed Large Cap Fund
➤ S&P 500 Index Fund
➤ Small Cap Fund
➤ Small Cap Value Fund
➤ Small Cap Growth Fund
➤ Tax-Managed Small/Mid Cap Fund
➤ Mid-Cap Fund
➤ U.S. Managed Volatility Fund
➤ Global Managed Volatility Fund
➤ Tax-Managed Managed Volatility Fund
➤ Real Estate Fund
➤ Enhanced Income Fund
➤ Core Fixed Income Fund
➤ U.S. Fixed Income Fund
➤ High Yield Bond Fund
➤ Real Return Fund
➤ 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.
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 97.7% |
| |||||||||||
Consumer Discretionary — 14.9% |
| |||||||||||
Amazon.com, Cl A* (A) | 1.3 | % | 51,482 | $ | 30,562 | |||||||
General Motors | 1.6 | 1,179,439 | 37,070 | |||||||||
L Brands (A) | 0.6 | 164,532 | 14,447 | |||||||||
Liberty Interactive QVC Group, Cl A* | 0.8 | 736,769 | 18,603 | |||||||||
Macy’s (A) | 1.1 | 601,574 | 26,523 | |||||||||
TripAdvisor* | 0.8 | 277,564 | 18,458 | |||||||||
Viacom, Cl B | 0.6 | 352,781 | 14,563 | |||||||||
Other Securities | 8.1 | 191,136 | ||||||||||
|
| |||||||||||
351,362 | ||||||||||||
|
| |||||||||||
Consumer Staples — 6.6% |
| |||||||||||
Kimberly-Clark | 0.7 | 130,074 | 17,496 | |||||||||
Tyson Foods, Cl A (A) | 0.6 | 209,918 | 13,993 | |||||||||
Wal-Mart Stores | 0.7 | 232,542 | 15,927 | |||||||||
Other Securities | 4.6 | 107,567 | ||||||||||
|
| |||||||||||
154,983 | ||||||||||||
|
| |||||||||||
Energy — 6.5% |
| |||||||||||
Chevron | 0.8 | 204,480 | 19,508 | |||||||||
Devon Energy (A) | 0.9 | 730,444 | 20,043 | |||||||||
Other Securities | 4.8 | 115,005 | ||||||||||
|
| |||||||||||
154,556 | ||||||||||||
|
| |||||||||||
Financials — 16.6% |
| |||||||||||
Aflac | 0.7 | 243,578 | 15,380 | |||||||||
Bank of America | 1.5 | 2,600,438 | 35,158 | |||||||||
Berkshire Hathaway, Cl B* | 1.2 | 195,174 | 27,691 | |||||||||
Citigroup (A) | 1.2 | 668,025 | 27,890 | |||||||||
Crown Castle International (A) | 1.3 | 338,894 | 29,314 | |||||||||
Equinix (A) ‡ | 0.8 | 54,336 | 17,970 | |||||||||
Intercontinental Exchange (A) | 0.6 | 57,356 | 13,487 | |||||||||
JPMorgan Chase (A) | 1.6 | 638,068 | 37,786 | |||||||||
MetLife | 1.4 | 741,989 | 32,603 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Travelers (A) | 0.7 | % | 156,227 | $ | 18,233 | |||||||
Other Securities | 5.6 | 134,673 | ||||||||||
|
| |||||||||||
390,185 | ||||||||||||
|
| |||||||||||
Health Care — 14.1% |
| |||||||||||
Allergan* | 1.0 | 90,186 | 24,172 | |||||||||
Biogen* | 1.1 | 103,244 | 26,876 | |||||||||
Celgene, Cl A* (A) | 0.9 | 210,127 | 21,032 | |||||||||
Gilead Sciences (A) | 0.7 | 170,222 | 15,637 | |||||||||
Johnson & Johnson (A) | 1.0 | 214,607 | 23,220 | |||||||||
Merck | 0.7 | 303,005 | 16,032 | |||||||||
UnitedHealth Group (A) | 1.0 | 173,506 | 22,365 | |||||||||
Other Securities | 7.7 | 182,790 | ||||||||||
|
| |||||||||||
332,124 | ||||||||||||
|
| |||||||||||
Industrials — 7.1% |
| |||||||||||
Delta Air Lines, Cl A | 1.2 | 600,539 | 29,234 | |||||||||
Eaton (A) | 0.8 | 283,376 | 17,728 | |||||||||
Other Securities | 5.1 | 121,781 | ||||||||||
|
| |||||||||||
168,743 | ||||||||||||
|
| |||||||||||
Information Technology — 24.1% |
| |||||||||||
Alphabet, Cl A* | 2.3 | 69,603 | 53,100 | |||||||||
Alphabet, Cl C* (A) | 0.5 | 14,792 | 11,019 | |||||||||
Apple | 1.3 | 288,743 | 31,470 | |||||||||
Cisco Systems | 0.8 | 695,950 | 19,814 | |||||||||
eBay* | 0.8 | 760,852 | 18,154 | |||||||||
Electronic Arts* (A) | 0.9 | 308,628 | 20,403 | |||||||||
Facebook, Cl A* | 1.8 | 376,688 | 42,980 | |||||||||
Hewlett Packard Enterprise | 0.9 | 1,144,969 | 20,300 | |||||||||
Intel (A) | 0.6 | 415,569 | 13,444 | |||||||||
Intuit (A) | 0.8 | 171,815 | 17,871 | |||||||||
MasterCard, Cl A (A) | 0.7 | 174,423 | 16,483 | |||||||||
Micron Technology* (A) | 0.7 | 1,663,782 | 17,420 | |||||||||
Microsoft (A) | 2.0 | 837,668 | 46,264 | |||||||||
PayPal Holdings* | 0.7 | 394,709 | 15,236 | |||||||||
Qualcomm (A) | 1.5 | 709,180 | 36,267 | |||||||||
Visa, Cl A (A) | 1.9 | 585,914 | 44,811 | |||||||||
Other Securities | 5.9 | 141,932 | ||||||||||
|
| |||||||||||
566,968 | ||||||||||||
|
| |||||||||||
Materials — 3.6% |
| |||||||||||
Other Securities | 3.6 | 84,778 | ||||||||||
|
| |||||||||||
84,778 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 1.3% |
| |||||||||||
Verizon Communications (A) | 1.1 | 463,293 | 25,055 | |||||||||
Other Securities | 0.2 | 4,765 | ||||||||||
|
| |||||||||||
29,820 | ||||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 1 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Concluded)
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 2.9% |
| |||||||||||
American Electric Power (A) | 0.7 | % | 229,420 | $ | 15,234 | |||||||
Exelon (A) | 0.8 | 518,548 | 18,595 | |||||||||
Public Service Enterprise Group (A) | 0.9 | 431,754 | 20,353 | |||||||||
Other Securities | 0.5 | 13,334 | ||||||||||
|
| |||||||||||
67,516 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 2,301,035 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 15.8% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.380%**† (B) | 15.8 | 370,911,053 | 370,911 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 370,911 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 2.4% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 2.4 | 57,057,707 | 57,058 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 57,058 | ||||||||||
|
| |||||||||||
Total Investments — 115.9% |
| $ | 2,729,004 | |||||||||
|
|
Percentages are based on a Net Assets of $2,354,740 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2016 (see Note 10). The total market value of securities on loan at March 31, 2016 was $362,892 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of March 31, 2016 was $370,911 ($ Thousands). |
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 March 31, 2016, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 2,301,035 | $ | — | $ | — | $ | 2,301,035 | ||||||||
Affiliated Partnership | — | 370,911 | — | 370,911 | ||||||||||||
Cash Equivalent | 57,058 | — | — | 57,058 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,358,093 | $ | 370,911 | $ | — | $ | 2,729,004 | ||||||||
|
|
|
|
|
|
|
|
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 98.1% |
| |||||||||||
Consumer Discretionary — 10.5% |
| |||||||||||
General Motors | 2.2 | % | 903,866 | $ | 28,408 | |||||||
Goodyear Tire & Rubber | 0.9 | 357,518 | 11,791 | |||||||||
Macy’s | 1.4 | 412,637 | 18,193 | |||||||||
Omnicom Group | 0.7 | 116,967 | 9,735 | |||||||||
Viacom, Cl B | 0.7 | 217,141 | 8,964 | |||||||||
Other Securities | 4.6 | 62,019 | ||||||||||
|
| |||||||||||
139,110 | ||||||||||||
|
| |||||||||||
Consumer Staples — 6.2% |
| |||||||||||
CVS Health | 0.9 | 111,992 | 11,617 | |||||||||
Philip Morris International | 1.5 | 198,422 | 19,467 | |||||||||
Tyson Foods, Cl A | 0.8 | 162,794 | 10,852 | |||||||||
Other Securities | 3.0 | 39,405 | ||||||||||
|
| |||||||||||
81,341 | ||||||||||||
|
| |||||||||||
Energy — 11.5% |
| |||||||||||
BP ADR | 0.7 | 286,037 | 8,633 | |||||||||
Chevron | 1.6 | 215,393 | 20,548 | |||||||||
Devon Energy | 1.2 | 560,853 | 15,390 | |||||||||
Exxon Mobil | 1.0 | 150,637 | 12,592 | |||||||||
Occidental Petroleum | 0.9 | 179,175 | 12,261 | |||||||||
Phillips 66 | 0.7 | 101,585 | 8,796 | |||||||||
Valero Energy | 0.7 | 157,522 | 10,103 | |||||||||
Other Securities | 4.7 | 63,035 | ||||||||||
|
| |||||||||||
151,358 | ||||||||||||
|
| |||||||||||
Financials — 23.7% |
| |||||||||||
Aflac | 0.8 | 173,489 | 10,954 | |||||||||
Bank of America | 2.5 | 2,398,567 | 32,429 | |||||||||
Berkshire Hathaway, Cl B* | 0.7 | 60,939 | 8,646 | |||||||||
Citigroup | 1.7 | 530,572 | 22,151 | |||||||||
JPMorgan Chase | 2.6 | 587,316 | 34,781 | |||||||||
Marsh & McLennan | 0.7 | 153,364 | 9,323 | |||||||||
MetLife | 2.1 | 637,357 | 28,005 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
PNC Financial Services Group | 0.9 | % | 138,980 | $ | 11,754 | |||||||
State Street | 0.8 | 172,944 | 10,121 | |||||||||
SunTrust Banks | 0.7 | 240,477 | 8,676 | |||||||||
Voya Financial | 1.1 | 516,540 | 15,378 | |||||||||
Other Securities | 9.1 | 120,936 | ||||||||||
|
| |||||||||||
313,154 | ||||||||||||
|
| |||||||||||
Health Care — 14.0% |
| |||||||||||
Amgen, Cl A | 0.9 | 80,038 | 12,000 | |||||||||
Baxter International | 0.7 | 239,274 | 9,829 | |||||||||
Gilead Sciences | 0.7 | 97,868 | 8,990 | |||||||||
Johnson & Johnson | 2.3 | 276,053 | 29,869 | |||||||||
Merck | 0.9 | 216,717 | 11,467 | |||||||||
Pfizer | 1.1 | 506,483 | 15,012 | |||||||||
UnitedHealth Group | 0.8 | 80,100 | 10,325 | |||||||||
Other Securities | 6.6 | 87,059 | ||||||||||
|
| |||||||||||
184,551 | ||||||||||||
|
| |||||||||||
Industrials — 9.7% |
| |||||||||||
Eaton | 1.3 | 273,559 | 17,114 | |||||||||
Illinois Tool Works | 0.7 | 87,772 | 8,991 | |||||||||
Northrop Grumman | 0.9 | 58,445 | 11,566 | |||||||||
Other Securities | 6.8 | 90,587 | ||||||||||
|
| |||||||||||
128,258 | ||||||||||||
|
| |||||||||||
Information Technology — 11.8% |
| |||||||||||
Automatic Data Processing | 0.7 | 103,513 | 9,286 | |||||||||
Cisco Systems | 0.8 | 379,990 | 10,818 | |||||||||
Hewlett Packard Enterprise | 1.3 | 952,627 | 16,890 | |||||||||
Intel | 1.1 | 435,126 | 14,076 | |||||||||
Micron Technology* | 1.0 | 1,265,472 | 13,250 | |||||||||
Qualcomm | 0.8 | 216,522 | 11,073 | |||||||||
Other Securities | 6.1 | 80,255 | ||||||||||
|
| |||||||||||
155,648 | ||||||||||||
|
| |||||||||||
Materials — 4.5% |
| |||||||||||
Eastman Chemical | 0.8 | 145,224 | 10,490 | |||||||||
International Paper | 0.9 | 274,222 | 11,254 | |||||||||
Reliance Steel & Aluminum | 0.8 | 143,990 | 9,963 | |||||||||
Other Securities | 2.0 | 27,538 | ||||||||||
|
| |||||||||||
59,245 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 1.7% |
| |||||||||||
Verizon Communications | 0.8 | 202,425 | 10,947 | |||||||||
Other Securities | 0.9 | 12,341 | ||||||||||
|
| |||||||||||
23,288 | ||||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 3 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund (Concluded)
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 4.5% |
| |||||||||||
American Electric Power | 0.8 | % | 149,051 | $ | 9,897 | |||||||
Entergy | 0.8 | 127,953 | 10,144 | |||||||||
Exelon | 1.2 | 432,734 | 15,518 | |||||||||
Public Service Enterprise Group | 1.0 | 266,037 | 12,541 | |||||||||
Other Securities | 0.7 | 11,813 | ||||||||||
|
| |||||||||||
59,913 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 1,295,866 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 2.7% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.380%**† (B) | 2.7 | 35,134,666 | 35,135 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 35,135 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 1.6% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 1.6 | 21,746,751 | 21,747 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 21,747 | ||||||||||
|
| |||||||||||
Total Investments — 102.4% |
| $ | 1,352,748 | |||||||||
|
|
Percentages are based on a Net Assets of $1,321,577 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2016 (see Note 10). The total market value of securities on loan at March 31, 2016 was $34,335 ($ 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 March 31, 2016 was $35,135 ($ Thousands). |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the levels of inputs used as of March 31, 2016, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,295,866 | $ | — | $ | — | $ | 1,295,866 | ||||||||
Affiliated Partnership | — | 35,135 | — | 35,135 | ||||||||||||
Cash Equivalent | 21,747 | — | — | 21,747 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,317,613 | $ | 35,135 | $ | — | $ | 1,352,748 | ||||||||
|
|
|
|
|
|
|
|
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Growth Fund
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 97.1%‡ |
| |||||||||||
Consumer Discretionary — 17.8% |
| |||||||||||
Amazon.com, Cl A* | 2.9 | % | 69,147 | $ | 41,048 | |||||||
Chipotle Mexican Grill, Cl A* | 0.8 | 25,497 | 12,008 | |||||||||
Discovery Communications, Cl C* | 0.8 | 417,503 | 11,273 | |||||||||
Domino’s Pizza | 0.7 | 75,934 | 10,013 | |||||||||
Home Depot | 0.8 | 86,782 | 11,579 | |||||||||
L Brands | 1.3 | 218,013 | 19,144 | |||||||||
Liberty Global, Cl A* | 1.4 | 513,461 | 19,768 | |||||||||
Liberty Global, Cl C* | 0.5 | 180,000 | 6,761 | |||||||||
Liberty Interactive QVC Group, Cl A* | 1.7 | 947,364 | 23,921 | |||||||||
NetFlix* | 1.3 | 179,914 | 18,393 | |||||||||
Nike, Cl B | 1.3 | 300,398 | 18,465 | |||||||||
TripAdvisor* | 2.1 | 444,843 | 29,582 | |||||||||
Other Securities | 2.2 | 30,843 | ||||||||||
|
| |||||||||||
252,798 | ||||||||||||
|
| |||||||||||
Consumer Staples — 7.4% |
| |||||||||||
Anheuser-Busch InBev ADR | 1.5 | 174,765 | 21,786 | |||||||||
Constellation Brands, Cl A | 1.4 | 134,310 | 20,293 | |||||||||
Costco Wholesale | 1.0 | 87,110 | 13,727 | |||||||||
Walgreens Boots Alliance | 1.8 | 307,205 | 25,879 | |||||||||
Other Securities | 1.7 | 23,958 | ||||||||||
|
| |||||||||||
105,643 | ||||||||||||
|
| |||||||||||
Energy — 0.8% |
| |||||||||||
Other Securities | 0.8 | 11,855 | ||||||||||
|
| |||||||||||
Financials — 8.0% |
| |||||||||||
Berkshire Hathaway, Cl B* | 1.7 | 174,800 | 24,801 | |||||||||
Crown Castle International | 2.7 | 441,497 | 38,190 | |||||||||
Equinix | 1.1 | 47,746 | 15,790 | |||||||||
Intercontinental Exchange | 1.3 | 75,718 | 17,804 | |||||||||
Other Securities | 1.2 | 17,430 | ||||||||||
|
| |||||||||||
114,015 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 15.6% |
| |||||||||||
Allergan* | 2.4 | % | 129,385 | $ | 34,679 | |||||||
Biogen* | 2.3 | 126,685 | 32,979 | |||||||||
Celgene, Cl A* | 2.5 | 350,829 | 35,114 | |||||||||
DENTSPLY SIRONA | 1.1 | 259,380 | 15,986 | |||||||||
Illumina* | 1.2 | 101,977 | 16,532 | |||||||||
Novo Nordisk ADR | 0.9 | 225,773 | 12,235 | |||||||||
UnitedHealth Group | 1.8 | 196,531 | 25,333 | |||||||||
Vertex Pharmaceuticals* | 0.8 | 141,116 | 11,217 | |||||||||
Other Securities | 2.6 | 38,341 | ||||||||||
|
| |||||||||||
222,416 | ||||||||||||
|
| |||||||||||
Industrials — 5.8% |
| |||||||||||
Delta Air Lines, Cl A | 1.2 | 342,789 | 16,687 | |||||||||
Nielsen Holdings | 1.1 | 287,927 | 15,162 | |||||||||
TransDigm Group* | 0.8 | 51,099 | 11,259 | |||||||||
Other Securities | 2.7 | 39,023 | ||||||||||
|
| |||||||||||
82,131 | ||||||||||||
|
| |||||||||||
Information Technology — 38.5% |
| |||||||||||
Activision Blizzard | 1.0 | 431,547 | 14,604 | |||||||||
Alphabet, Cl A* | 5.4 | 100,282 | 76,505 | |||||||||
Alphabet, Cl C* | 1.5 | 27,752 | 20,674 | |||||||||
Apple | 2.9 | 381,873 | 41,620 | |||||||||
eBay* | 1.4 | 828,009 | 19,757 | |||||||||
Electronic Arts* | 1.8 | 386,219 | 25,533 | |||||||||
Facebook, Cl A* | 4.4 | 542,718 | 61,924 | |||||||||
FleetCor Technologies* | 1.0 | 92,173 | 13,711 | |||||||||
Intuit | 1.4 | 187,320 | 19,483 | |||||||||
MasterCard, Cl A | 2.0 | 293,441 | 27,730 | |||||||||
Microsoft | 3.9 | 992,270 | 54,803 | |||||||||
PayPal Holdings* | 1.5 | 569,955 | 22,000 | |||||||||
Qualcomm | 2.0 | 554,234 | 28,343 | |||||||||
salesforce.com* | 1.1 | 201,841 | 14,902 | |||||||||
Tencent Holdings ADR | 0.9 | 631,613 | 12,910 | |||||||||
Visa, Cl A | 4.6 | 871,242 | 66,633 | |||||||||
Other Securities | 1.7 | 25,149 | ||||||||||
|
| |||||||||||
546,281 | ||||||||||||
|
| |||||||||||
Materials — 2.4% |
| |||||||||||
Ecolab | 0.8 | 107,274 | 11,963 | |||||||||
Sherwin-Williams, Cl A | 1.5 | 73,707 | 20,982 | |||||||||
Other Securities | 0.1 | 1,942 | ||||||||||
|
| |||||||||||
34,887 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.8% |
| |||||||||||
SBA Communications, Cl A* | 0.8 | 120,038 | 12,024 | |||||||||
|
| |||||||||||
Total Common Stock |
| 1,382,050 | ||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 5 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Growth Fund (Concluded)
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AFFILIATED PARTNERSHIP — 0.2% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.380%**† (B) | 0.2 | % | 2,602,430 | $ | 2,602 | |||||||
|
| |||||||||||
Total Affiliated Partnership |
| 2,602 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 1,548 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 1,548 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 2.9% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 2.9 | 41,573,849 | 41,574 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 41,574 | ||||||||||
|
| |||||||||||
Total Investments — 100.3% |
| $ | 1,427,774 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 5 | Jun-2016 | $ | 26 | ||||||||
S&P 500 Index E-MINI | 105 | Jun-2016 | 378 | |||||||||
|
| |||||||||||
$ | 404 | |||||||||||
|
|
For the period ended March 31, 2016, 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 $1,423,845 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2016. |
‡ | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2016 (see Note 10). The total market value of securities on loan at March 31, 2016 was $2,534 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of March 31, 2016 was $2,602 ($ 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 March 31, 2016, 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 | $ | 1,382,050 | $ | — | $ | — | $ | 1,382,050 | ||||||||
Affiliated Partnership | — | 2,602 | — | 2,602 | ||||||||||||
U.S. Treasury Obligation | — | 1,548 | — | 1,548 | ||||||||||||
Cash Equivalent | 41,574 | — | — | 41,574 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,423,624 | $ | 4,150 | $ | — | $ | 1,427,774 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 404 | $ | — | $ | — | $ | 404 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 404 | $ | — | $ | — | $ | 404 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 96.5% |
| |||||||||||
Consumer Discretionary — 13.7% |
| |||||||||||
Amazon.com, Cl A* | 1.1 | % | 61,489 | $ | 36,502 | |||||||
General Motors | 1.2 | 1,291,657 | 40,597 | |||||||||
Liberty Interactive QVC Group, Cl A* | 0.5 | 735,153 | 18,563 | |||||||||
Macy’s | 0.9 | 706,704 | 31,159 | |||||||||
Michael Kors Holdings* | 0.5 | 299,879 | 17,081 | |||||||||
Nike, Cl B | 0.6 | 329,743 | 20,269 | |||||||||
Other Securities | 8.9 | 307,125 | ||||||||||
|
| |||||||||||
471,296 | ||||||||||||
|
| |||||||||||
Consumer Staples — 7.9% |
| |||||||||||
Costco Wholesale | 0.6 | 122,223 | 19,260 | |||||||||
CVS Health | 0.6 | 213,234 | 22,119 | |||||||||
Kroger | 0.6 | 530,992 | 20,311 | |||||||||
Tyson Foods, Cl A | 0.7 | 359,376 | 23,956 | |||||||||
Walgreens Boots Alliance | 0.7 | 289,947 | 24,425 | |||||||||
Wal-Mart Stores | 0.6 | 289,361 | 19,818 | |||||||||
Other Securities | 4.1 | 141,608 | ||||||||||
|
| |||||||||||
271,497 | ||||||||||||
|
| |||||||||||
Energy — 6.7% |
| |||||||||||
Chevron | 0.9 | 317,807 | 30,319 | |||||||||
Devon Energy | 0.7 | 891,623 | 24,466 | |||||||||
Other Securities | 5.1 | 176,976 | ||||||||||
|
| |||||||||||
231,761 | ||||||||||||
|
| |||||||||||
Financials — 16.1% |
| |||||||||||
American International Group | 0.5 | 328,925 | 17,778 | |||||||||
Bank of America | 1.2 | 3,156,796 | 42,680 | |||||||||
Berkshire Hathaway, Cl B* | 0.7 | 163,865 | 23,249 | |||||||||
Citigroup | 0.5 | 439,797 | 18,362 | |||||||||
Crown Castle International | 0.8 | 321,932 | 27,847 | |||||||||
JPMorgan Chase | 1.2 | 685,613 | 40,602 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Voya Financial | 0.5 | % | 599,790 | $ | 17,856 | |||||||
Wells Fargo | 0.6 | 427,725 | 20,685 | |||||||||
Other Securities | 10.1 | 346,501 | ||||||||||
|
| |||||||||||
555,560 | ||||||||||||
|
| |||||||||||
Health Care — 12.7% |
| |||||||||||
Allergan* | 0.7 | 84,692 | 22,700 | |||||||||
Amgen, Cl A | 0.5 | 120,417 | 18,054 | |||||||||
Biogen* | 0.9 | 120,318 | 31,321 | |||||||||
Celgene, Cl A* | 1.0 | 328,637 | 32,893 | |||||||||
Johnson & Johnson | 0.7 | 224,386 | 24,279 | |||||||||
Merck | 0.5 | 334,290 | 17,687 | |||||||||
Pfizer | 0.6 | 706,138 | 20,930 | |||||||||
Teva Pharmaceutical Industries ADR | 0.5 | 330,225 | 17,670 | |||||||||
UnitedHealth Group | 0.5 | 136,249 | 17,563 | |||||||||
Other Securities | 6.8 | 233,197 | ||||||||||
|
| |||||||||||
436,294 | ||||||||||||
|
| |||||||||||
Industrials — 8.7% |
| |||||||||||
Delta Air Lines, Cl A | 0.9 | 610,995 | 29,743 | |||||||||
Eaton | 0.6 | 349,947 | 21,893 | |||||||||
Northrop Grumman | 0.6 | 106,021 | 20,981 | |||||||||
Other Securities | 6.6 | 225,700 | ||||||||||
|
| |||||||||||
298,317 | ||||||||||||
|
| |||||||||||
Information Technology — 23.0% |
| |||||||||||
Alphabet, Cl A* | 1.7 | 76,643 | 58,471 | |||||||||
Alphabet, Cl C* | 0.8 | 36,437 | 27,144 | |||||||||
Apple | 1.4 | 449,528 | 48,994 | |||||||||
Electronic Arts* | 0.7 | 350,191 | 23,151 | |||||||||
Facebook, Cl A* | 1.5 | 443,504 | 50,604 | |||||||||
Hewlett Packard Enterprise | 0.7 | 1,296,452 | 22,986 | |||||||||
Intel | 0.5 | 570,596 | 18,459 | |||||||||
MasterCard, Cl A | 1.1 | 394,592 | 37,289 | |||||||||
Micron Technology* | 0.7 | 2,356,112 | 24,669 | |||||||||
Microsoft | 1.4 | 888,941 | 49,096 | |||||||||
PayPal Holdings* | 0.6 | 500,552 | 19,321 | |||||||||
Qualcomm | 1.3 | 869,641 | 44,474 | |||||||||
Visa, Cl A | 1.2 | 556,476 | 42,559 | |||||||||
Other Securities | 9.4 | 323,643 | ||||||||||
|
| |||||||||||
790,860 | ||||||||||||
|
| |||||||||||
Materials — 3.6% |
| |||||||||||
International Paper | 0.5 | 444,488 | 18,242 | |||||||||
Other Securities | 3.1 | 107,632 | ||||||||||
|
| |||||||||||
125,874 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 1.5% |
| |||||||||||
Verizon Communications | 0.8 | 483,896 | 26,169 | |||||||||
Other Securities | 0.7 | 24,169 | ||||||||||
|
| |||||||||||
50,338 | ||||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 7 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund (Concluded)
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 2.6% |
| |||||||||||
Exelon | 0.7 | % | 634,163 | $ | 22,741 | |||||||
Other Securities | 1.9 | 65,508 | ||||||||||
|
| |||||||||||
88,249 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 3,320,046 | ||||||||||
|
| |||||||||||
RIGHTS — 0.0% |
| |||||||||||
United States — 0.0% |
| |||||||||||
Other Securities | 0.0 | 115 | ||||||||||
|
| |||||||||||
Total Rights |
| 115 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 0.8% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.380%**† (B) | 0.8 | 26,646,489 | 26,646 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 26,646 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 3,086 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 3,086 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.3% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 3.3 | 112,590,601 | 112,591 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 112,591 | ||||||||||
|
| |||||||||||
Total Investments — 100.7% |
| $ | 3,462,484 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 36 | Jun-2016 | $ | 15 | ||||||||
S&P Mid Cap 400 Index E-MINI | 2 | Jun-2016 | 5 | |||||||||
|
| |||||||||||
$ | 20 | |||||||||||
|
|
For the period ended March 31, 2016, 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 $3,438,518 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2016 (see Note 10). The total market value of securities on loan as of March 31, 2016 was $26,271 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of March 31, 2016 was $26,646 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the levels of inputs used as of March 31, 2016, 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 | $ | 3,320,046 | $ | — | $ | — | $ | 3,320,046 | ||||||||
Rights | — | — | 115 | 115 | ||||||||||||
Affiliated Partnership | — | 26,646 | — | 26,646 | ||||||||||||
U.S. Treasury Obligation | — | 3,086 | — | 3,086 | ||||||||||||
Cash Equivalent | 112,591 | — | — | 112,591 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 3,432,637 | $ | 29,732 | $ | 115 | $ | 3,462,484 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 20 | $ | — | $ | — | $ | 20 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 20 | $ | — | $ | — | $ | 20 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation on the instrument. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
8 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
S&P 500 Index Fund
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 98.3% |
| |||||||||||
Consumer Discretionary — 12.7% |
| |||||||||||
Amazon.com, Cl A* | 1.3 | % | 13,904 | $ | 8,254 | |||||||
Comcast, Cl A | 0.8 | 87,348 | 5,335 | |||||||||
Home Depot | 0.9 | 45,309 | 6,046 | |||||||||
McDonald’s | 0.6 | 32,383 | 4,070 | |||||||||
Nike, Cl B | 0.5 | 48,294 | 2,969 | |||||||||
Starbucks | 0.5 | 53,134 | 3,172 | |||||||||
Walt Disney | 0.8 | 54,444 | 5,407 | |||||||||
Other Securities | 7.3 | 48,021 | ||||||||||
|
| |||||||||||
83,274 | ||||||||||||
|
| |||||||||||
Consumer Staples — 10.2% |
| |||||||||||
Altria Group | 0.7 | 70,173 | 4,397 | |||||||||
Coca-Cola | 1.0 | 140,049 | 6,497 | |||||||||
CVS Health | 0.6 | 39,652 | 4,113 | |||||||||
PepsiCo | 0.8 | 52,107 | 5,340 | |||||||||
Philip Morris International | 0.8 | 55,387 | 5,434 | |||||||||
Procter & Gamble | 1.2 | 95,431 | 7,855 | |||||||||
Wal-Mart Stores | 0.6 | 56,161 | 3,846 | |||||||||
Other Securities | 4.5 | 29,621 | ||||||||||
|
| |||||||||||
67,103 | ||||||||||||
|
| |||||||||||
Energy — 6.6% |
| |||||||||||
Chevron | 1.0 | 67,700 | 6,459 | |||||||||
Exxon Mobil | 1.9 | 148,946 | 12,450 | |||||||||
Schlumberger, Cl A | 0.5 | 45,160 | 3,331 | |||||||||
Other Securities | 3.2 | 21,283 | ||||||||||
|
| |||||||||||
43,523 | ||||||||||||
|
| |||||||||||
Financials — 15.4% |
| |||||||||||
Bank of America | 0.8 | 372,545 | 5,037 | |||||||||
Berkshire Hathaway, Cl B* | 1.5 | 67,369 | 9,558 | |||||||||
Citigroup | 0.7 | 106,551 | 4,449 | |||||||||
JPMorgan Chase | 1.2 | 131,700 | 7,799 | |||||||||
Wells Fargo | 1.2 | 166,315 | 8,043 | |||||||||
Other Securities | 10.0 | 66,188 | ||||||||||
|
| |||||||||||
101,074 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 14.0% |
| |||||||||||
AbbVie | 0.5 | % | 58,468 | $ | 3,340 | |||||||
Allergan* | 0.6 | 14,153 | 3,793 | |||||||||
Amgen, Cl A | 0.6 | 26,964 | 4,043 | |||||||||
Bristol-Myers Squibb | 0.6 | 59,692 | 3,813 | |||||||||
Gilead Sciences | 0.7 | 48,866 | 4,489 | |||||||||
Johnson & Johnson | 1.6 | 99,012 | 10,713 | |||||||||
Medtronic | 0.6 | 50,272 | 3,770 | |||||||||
Merck | 0.8 | 99,974 | 5,290 | |||||||||
Pfizer | 1.0 | 217,456 | 6,445 | |||||||||
UnitedHealth Group | 0.7 | 34,060 | 4,390 | |||||||||
Other Securities | 6.3 | 42,060 | ||||||||||
|
| |||||||||||
92,146 | ||||||||||||
|
| |||||||||||
Industrials — 10.0% |
| |||||||||||
3M | 0.6 | 21,991 | 3,665 | |||||||||
Boeing | 0.4 | 22,541 | 2,861 | |||||||||
General Electric | 1.6 | 335,509 | 10,666 | |||||||||
Honeywell International | 0.5 | 27,568 | 3,089 | |||||||||
Other Securities | 6.9 | 45,321 | ||||||||||
|
| |||||||||||
65,602 | ||||||||||||
|
| |||||||||||
Information Technology — 20.5% |
| |||||||||||
Alphabet, Cl C* | 1.2 | 10,695 | 7,967 | |||||||||
Alphabet, Cl A* | 1.2 | 10,567 | 8,061 | |||||||||
Apple | 3.3 | 199,382 | 21,731 | |||||||||
Cisco Systems | 0.8 | 181,561 | 5,169 | |||||||||
Facebook, Cl A* | 1.4 | 82,522 | 9,416 | |||||||||
Intel | 0.8 | 168,863 | 5,463 | |||||||||
International Business Machines | 0.7 | 31,946 | 4,838 | |||||||||
MasterCard, Cl A | 0.5 | 35,413 | 3,347 | |||||||||
Microsoft | 2.4 | 284,389 | 15,707 | |||||||||
Oracle, Cl B | 0.7 | 113,323 | 4,636 | |||||||||
Visa, Cl A | 0.8 | 69,618 | 5,324 | |||||||||
Other Securities | 6.7 | 43,081 | ||||||||||
|
| |||||||||||
134,740 | ||||||||||||
|
| |||||||||||
Materials — 2.8% |
| |||||||||||
Other Securities | 2.8 | 18,237 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.7% |
| |||||||||||
AT&T | 1.3 | 221,159 | 8,663 | |||||||||
Verizon Communications | 1.2 | 146,496 | 7,922 | |||||||||
Other Securities | 0.2 | 1,402 | ||||||||||
|
| |||||||||||
17,987 | ||||||||||||
|
| |||||||||||
Utilities — 3.4% |
| |||||||||||
Other Securities | 3.4 | 22,120 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 645,806 | ||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 9 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
S&P 500 Index Fund (Concluded)
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AFFILIATED PARTNERSHIP — 0.3% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.380% ** † (B) | 0.3 | % | 2,211,733 | $ | 2,212 | |||||||
|
| |||||||||||
Total Affiliated Partnership |
| 2,212 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 549 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 549 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 1.6% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation | 1.6 | 10,204,884 | 10,205 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 10,205 | ||||||||||
|
| |||||||||||
Total Investments — 100.3% |
| $ | 658,772 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 112 | Jun-2016 | $ | 246 | ||||||||
|
|
For the period ended March 31, 2016, 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 $656,628 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2016 (see Note 10). The total market value of securities on loan at March 31, 2016 was $2,176 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of March 31, 2016 was $2,212 ($ 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 March 31, 2016 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 | $ | 645,806 | $ | — | $ | — | $ | 645,806 | ||||||||
Affiliated Partnership | — | 2,212 | — | 2,212 | ||||||||||||
U.S. Treasury Obligations | — | 549 | — | 549 | ||||||||||||
Cash Equivalent | 10,205 | — | — | 10,205 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 656,011 | $ | 2,761 | $ | — | $ | 658,772 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 246 | $ | — | $ | — | $ | 246 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 246 | $ | — | $ | — | $ | 246 | ||||||||
|
|
|
|
|
|
|
|
* Futures contracts are valued at unrealized appreciation on the instrument.
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
10 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 93.9% |
| |||||||||||
Consumer Discretionary — 13.1% |
| |||||||||||
Carmike Cinemas* (A) | 0.7 | % | 129,596 | $ | 3,893 | |||||||
Fiesta Restaurant Group* | 0.5 | 89,434 | 2,932 | |||||||||
MDC Partners, Cl A | 1.4 | 326,972 | 7,717 | |||||||||
Pool | 0.6 | 37,509 | 3,291 | |||||||||
Steven Madden* | 0.6 | 83,077 | 3,077 | |||||||||
Other Securities | 9.3 | 51,722 | ||||||||||
|
| |||||||||||
72,632 | ||||||||||||
|
| |||||||||||
Consumer Staples — 2.4% |
| |||||||||||
Other Securities | 2.4 | 13,577 | ||||||||||
|
| |||||||||||
Energy — 4.3% |
| |||||||||||
Carrizo Oil & Gas* (A) | 0.4 | 78,469 | 2,426 | |||||||||
Other Securities | 3.9 | 21,393 | ||||||||||
|
| |||||||||||
23,819 | ||||||||||||
|
| |||||||||||
Financials — 20.8% |
| |||||||||||
Argo Group International Holdings | 0.5 | 48,347 | 2,775 | |||||||||
CNO Financial Group (A) | 0.7 | 229,718 | 4,116 | |||||||||
Geo Group | 0.6 | 99,346 | 3,444 | |||||||||
Green Dot, Cl A* (A) | 0.8 | 183,390 | 4,212 | |||||||||
Hanover Insurance Group, Cl A | 0.7 | 42,553 | 3,839 | |||||||||
Healthcare Trust of America, Cl A | 0.5 | 95,165 | 2,800 | |||||||||
Investors Bancorp | 0.6 | 260,028 | 3,027 | |||||||||
OFG Bancorp (A) | 0.6 | 455,855 | 3,186 | |||||||||
Western Alliance Bancorp* | 0.7 | 107,348 | 3,583 | |||||||||
Wintrust Financial | 0.6 | 79,383 | 3,520 | |||||||||
Other Securities | 14.5 | 80,899 | ||||||||||
|
| |||||||||||
115,401 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 13.3% |
| |||||||||||
ABIOMED* | 0.6 | % | 33,018 | $ | 3,130 | |||||||
Amsurg* | 0.5 | 34,059 | 2,541 | |||||||||
Analogic (A) | 0.5 | 33,122 | 2,617 | |||||||||
Capital Senior Living* | 0.4 | 133,351 | 2,470 | |||||||||
Cynosure, Cl A* | 0.7 | 92,330 | 4,073 | |||||||||
Globus Medical, Cl A* (A) | 0.6 | 137,626 | 3,269 | |||||||||
Integra LifeSciences Holdings* | 1.1 | 90,260 | 6,080 | |||||||||
Ligand Pharmaceuticals* (A) | 0.6 | 30,487 | 3,265 | |||||||||
Molina Healthcare* (A) | 0.7 | 61,170 | 3,945 | |||||||||
Prestige Brands Holdings, Cl A* | 0.7 | 76,314 | 4,074 | |||||||||
Other Securities | 6.9 | 38,509 | ||||||||||
|
| |||||||||||
73,973 | ||||||||||||
|
| |||||||||||
Industrials — 15.1% |
| |||||||||||
ACCO Brands* | 0.5 | 289,015 | 2,595 | |||||||||
Apogee Enterprises | 0.6 | 78,837 | 3,460 | |||||||||
Huron Consulting Group* | 0.5 | 43,691 | 2,542 | |||||||||
ICF International, Cl A* | 0.4 | 71,884 | 2,471 | |||||||||
On Assignment* | 0.6 | 85,377 | 3,152 | |||||||||
Steelcase, Cl A | 0.5 | 181,402 | 2,707 | |||||||||
Triumph Group (A) | 0.5 | 95,895 | 3,019 | |||||||||
WageWorks* | 0.6 | 66,104 | 3,346 | |||||||||
Wesco Aircraft Holdings* (A) | 0.6 | 246,500 | 3,547 | |||||||||
Other Securities | 10.3 | 57,105 | ||||||||||
|
| |||||||||||
83,944 | ||||||||||||
|
| |||||||||||
Information Technology — 18.6% |
| |||||||||||
CalAmp* | 0.7 | 213,875 | 3,835 | |||||||||
Callidus Software* | 0.4 | 146,906 | 2,450 | |||||||||
Cornerstone OnDemand* (A) | 0.5 | 90,944 | 2,980 | |||||||||
MAXIMUS | 0.7 | 69,081 | 3,636 | |||||||||
Microsemi* | 0.4 | 64,321 | 2,464 | |||||||||
Monolithic Power Systems | 0.5 | 46,043 | 2,930 | |||||||||
OSI Systems* (A) | 0.6 | 48,129 | 3,152 | |||||||||
Perficient* | 0.5 | 122,234 | 2,655 | |||||||||
Proofpoint* | 0.7 | 67,073 | 3,607 | |||||||||
Take-Two Interactive Software, Cl A* | 0.7 | 107,046 | 4,033 | |||||||||
Other Securities | 12.9 | 71,730 | ||||||||||
|
| |||||||||||
103,472 | ||||||||||||
|
| |||||||||||
Materials — 3.0% |
| |||||||||||
Berry Plastics Group* | 0.7 | 106,796 | 3,861 | |||||||||
Other Securities | 2.3 | 12,598 | ||||||||||
|
| |||||||||||
16,459 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.4% |
| |||||||||||
Other Securities | 0.4 | 2,416 | ||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 11 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Concluded)
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 2.9% |
| |||||||||||
Laclede Group | 0.6 | % | 48,138 | $ | 3,262 | |||||||
PNM Resources | 0.7 | 120,533 | 4,064 | |||||||||
Portland General Electric (A) | 0.7 | 91,307 | 3,606 | |||||||||
Other Securities | 0.9 | 5,354 | ||||||||||
|
| |||||||||||
16,286 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 521,979 | ||||||||||
|
| |||||||||||
EXCHANGE TRADED FUND — 0.4% |
| |||||||||||
Other Securities | 0.4 | 2,284 | ||||||||||
|
| |||||||||||
Total Exchange Traded Fund |
| 2,284 | ||||||||||
|
| |||||||||||
RIGHTS — 0.0% |
| |||||||||||
United States — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Rights |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 12.0% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.380% ** † (B) | 12.0 | 66,530,189 | 66,530 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 66,530 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (C) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 1,198 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 1,198 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 5.3% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 5.3 | 29,293,875 | 29,294 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 29,294 | ||||||||||
|
| |||||||||||
Total Investments — 111.8% |
| $ | 621,285 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 124 | Jun-2016 | $ | 644 | ||||||||
|
|
For the period ended March 31, 2016, 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 $555,856 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2016 (see Note 10). The total market value of securities on loan at March 31, 2016 was $65,235 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of March 31, 2016 was $66,530 ($ 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 March 31, 2016 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 | $ | 521,979 | $ | — | $ | — | $ | 521,979 | ||||||||
Exchange Traded Fund | 2,284 | — | — | 2,284 | ||||||||||||
Rights | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 66,530 | — | 66,530 | ||||||||||||
U.S. Treasury Obligation | — | 1,198 | — | 1,198 | ||||||||||||
Cash Equivalent | 29,294 | — | — | 29,294 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 553,557 | $ | 67,728 | $ | — | $ | 621,285 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 644 | $ | — | $ | — | $ | 644 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 644 | $ | — | $ | — | $ | 644 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation on the instrument. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
12 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 96.5% |
| |||||||||||
Consumer Discretionary — 9.9% |
| |||||||||||
Abercrombie & Fitch, Cl A (A) | 0.6 | % | 65,966 | $ | 2,080 | |||||||
Carmike Cinemas* | 0.4 | 54,232 | 1,629 | |||||||||
Libbey | 0.5 | 101,216 | 1,883 | |||||||||
MDC Partners, Cl A | 1.2 | 188,921 | 4,459 | |||||||||
Other Securities | 7.2 | 27,291 | ||||||||||
|
| |||||||||||
37,342 | ||||||||||||
|
| |||||||||||
Consumer Staples — 3.4% |
| |||||||||||
Sanderson Farms (A) | 0.5 | 20,031 | 1,807 | |||||||||
Other Securities | 2.9 | 10,990 | ||||||||||
|
| |||||||||||
12,797 | ||||||||||||
|
| |||||||||||
Energy — 5.4% |
| |||||||||||
PBF Energy, Cl A | 0.7 | 76,803 | 2,550 | |||||||||
World Fuel Services | 0.4 | 33,584 | 1,631 | |||||||||
Other Securities | 4.3 | 16,194 | ||||||||||
|
| |||||||||||
20,375 | ||||||||||||
|
| |||||||||||
Financials — 34.6% |
| |||||||||||
Cedar Realty Trust | 0.5 | 238,567 | 1,725 | |||||||||
Central Pacific Financial | 0.6 | 100,049 | 2,178 | |||||||||
CNO Financial Group (A) | 1.0 | 218,853 | 3,922 | |||||||||
Colony Starwood Homes (A) | 0.7 | 113,334 | 2,805 | |||||||||
Columbia Banking System (A) | 0.6 | 73,712 | 2,206 | |||||||||
Employers Holdings | 0.5 | 73,159 | 2,059 | |||||||||
EPR Properties, Cl A (A) | 0.8 | 45,058 | 3,002 | |||||||||
Equity Commonwealth* | 0.5 | 71,225 | 2,010 | |||||||||
First Commonwealth Financial (A) | 0.4 | 182,254 | 1,615 | |||||||||
Fulton Financial (A) | 0.6 | 167,050 | 2,235 | |||||||||
GEO Group | 0.8 | 88,800 | 3,079 | |||||||||
Green Dot, Cl A* (A) | 0.8 | 133,571 | 3,068 | |||||||||
Hanover Insurance Group, Cl A | 0.9 | 39,262 | 3,542 | |||||||||
Hersha Hospitality Trust, Cl A (A) | 0.5 | 87,074 | 1,858 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Investors Bancorp | 0.6 | % | 196,931 | $ | 2,292 | |||||||
Kemper, Cl A (A) | 0.4 | 54,900 | 1,623 | |||||||||
Maiden Holdings (A) | 0.7 | 188,437 | 2,438 | |||||||||
Northfield Bancorp (A) | 0.6 | 125,367 | 2,061 | |||||||||
OFG Bancorp (A) | 0.8 | 409,011 | 2,859 | |||||||||
Popular | 0.5 | 62,900 | 1,800 | |||||||||
State Bank Financial (A) | 0.5 | 85,600 | 1,691 | |||||||||
Western Alliance Bancorp* | 0.4 | 48,055 | 1,604 | |||||||||
Other Securities | 20.9 | 79,240 | ||||||||||
|
| |||||||||||
130,912 | ||||||||||||
|
| |||||||||||
Health Care — 6.3% |
| |||||||||||
Accuray* | 0.5 | 300,721 | 1,738 | |||||||||
Analogic (A) | 0.4 | 21,153 | 1,671 | |||||||||
Integra LifeSciences Holdings* (A) | 0.6 | 34,638 | 2,333 | |||||||||
Ligand Pharmaceuticals* (A) | 0.9 | 30,092 | 3,223 | |||||||||
Other Securities | 3.9 | 15,020 | ||||||||||
|
| |||||||||||
23,985 | ||||||||||||
|
| |||||||||||
Industrials — 15.3% |
| |||||||||||
ACCO Brands* | 0.7 | 285,859 | 2,567 | |||||||||
Atlas Air Worldwide Holdings* | 0.5 | 48,212 | 2,038 | |||||||||
BWX Technologies, Cl W | 0.5 | 56,627 | 1,900 | |||||||||
Great Lakes Dredge & Dock* (A) | 0.6 | 488,300 | 2,178 | |||||||||
ICF International, Cl A* | 0.6 | 61,253 | 2,105 | |||||||||
Triumph Group (A) | 0.7 | 86,901 | 2,736 | |||||||||
Tutor Perini* (A) | 0.5 | 112,087 | 1,742 | |||||||||
Wesco Aircraft Holdings* (A) | 0.7 | 170,106 | 2,448 | |||||||||
Other Securities | 10.5 | 40,272 | ||||||||||
|
| |||||||||||
57,986 | ||||||||||||
|
| |||||||||||
Information Technology — 13.0% |
| |||||||||||
Convergys | 0.7 | 98,690 | 2,741 | |||||||||
Exar* (A) | 0.5 | 304,100 | 1,749 | |||||||||
OSI Systems* (A) | 0.6 | 35,715 | 2,339 | |||||||||
Take-Two Interactive Software, Cl A* | 0.5 | 47,676 | 1,796 | |||||||||
Other Securities | 10.7 | 40,534 | ||||||||||
|
| |||||||||||
49,159 | ||||||||||||
|
| |||||||||||
Materials — 3.8% |
| |||||||||||
Cabot | 0.5 | 42,128 | 2,036 | |||||||||
Other Securities | 3.3 | 12,156 | ||||||||||
|
| |||||||||||
14,192 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.6% |
| |||||||||||
Other Securities | 0.6 | 2,405 | ||||||||||
|
| |||||||||||
Utilities — 4.2% |
| |||||||||||
Laclede Group (A) | 0.5 | 27,070 | 1,834 | |||||||||
PNM Resources | 0.9 | 95,237 | 3,211 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 13 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund (Concluded)
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Portland General Electric | 1.0 | % | 92,696 | $ | 3,661 | |||||||
Other Securities | 1.8 | 7,194 | ||||||||||
|
| |||||||||||
15,900 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 365,053 | ||||||||||
|
| |||||||||||
EXCHANGE TRADED FUND — 0.5% |
| |||||||||||
iShares Russell 2000 Value ETF | 0.5 | 21 | 1,999 | |||||||||
|
| |||||||||||
Total Exchange Traded Fund |
| 1,999 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 38.4% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.380% **† (B) | 38.4 | 145,351,315 | 145,351 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 145,351 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION — 0.1% |
| |||||||||||
Other Securities | 0.1 | 375 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 375 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.1% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 3.1 | 11,812,024 | 11,812 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 11,812 | ||||||||||
|
| |||||||||||
Total Investments — 138.6% |
| $ | 524,590 | |||||||||
|
|
Percentages are based on a Net Assets of $378,407 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2016 (see Note 10). The total market value of securities on loan at March 31, 2016 was $142,235 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of March 31, 2016 was $145,351 ($ Thousands). |
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 March 31, 2016 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 365,053 | $ | — | $ | — | $ | 365,053 | ||||||||
Exchange Traded Fund | 1,999 | — | — | 1,999 | ||||||||||||
Affiliated Partnership | — | 145,351 | — | 145,351 | ||||||||||||
U.S. Treasury Obligation | — | 375 | — | 375 | ||||||||||||
Cash Equivalent | 11,812 | — | — | 11,812 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 378,864 | $ | 145,726 | $ | — | $ | 524,590 | ||||||||
|
|
|
|
|
|
|
|
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
14 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 96.5% |
| |||||||||||
Consumer Discretionary — 18.9% |
| |||||||||||
2U* (A) | 0.5 | % | 71,987 | $ | 1,627 | |||||||
Bright Horizons Family Solutions* | 1.1 | 52,353 | 3,391 | |||||||||
Core-Mark Holding, | 0.8 | 30,448 | 2,483 | |||||||||
Dave & Buster’s Entertainment* | 0.6 | 42,759 | 1,658 | |||||||||
Diamond Resorts | ||||||||||||
International* (A) | 0.6 | 67,943 | 1,651 | |||||||||
Five Below* (A) | 0.7 | 48,857 | 2,020 | |||||||||
Helen of Troy* | 0.6 | 16,836 | 1,746 | |||||||||
Lithia Motors, Cl A | 0.5 | 17,080 | 1,491 | |||||||||
MDC Partners, Cl A | 0.9 | 119,379 | 2,817 | |||||||||
Monro Muffler | 0.5 | 22,480 | 1,607 | |||||||||
Motorcar Parts of America* | 0.5 | 39,845 | 1,513 | |||||||||
National CineMedia | 1.0 | 187,083 | 2,846 | |||||||||
Nautilus* | 0.5 | 76,901 | 1,486 | |||||||||
Other Securities | 10.1 | 30,474 | ||||||||||
|
| |||||||||||
56,810 | ||||||||||||
|
| |||||||||||
Consumer Staples — 2.4% |
| |||||||||||
Spectrum Brands Holdings | 0.8 | 21,998 | 2,404 | |||||||||
Other Securities | 1.6 | 4,725 | ||||||||||
|
| |||||||||||
7,129 | ||||||||||||
|
| |||||||||||
Energy — 1.8% |
| |||||||||||
Other Securities | 1.8 | 5,495 | ||||||||||
|
| |||||||||||
Financials — 6.4% |
| |||||||||||
National General Holdings (A) | 0.7 | 91,017 | 1,965 | |||||||||
National Storage Affiliates Trust (A) | 0.5 | 74,845 | 1,587 | |||||||||
Other Securities | 5.2 | 15,584 | ||||||||||
|
| |||||||||||
19,136 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 19.9% |
| |||||||||||
ABIOMED* | 0.7 | % | 22,451 | $ | 2,129 | |||||||
Acadia Healthcare, Cl A* (A) | 0.6 | 30,438 | 1,677 | |||||||||
AMN Healthcare Services* (A) | 1.1 | 102,013 | 3,429 | |||||||||
Amsurg* | 0.7 | 29,973 | 2,236 | |||||||||
Cambrex* | 0.8 | 57,047 | 2,510 | |||||||||
Ligand Pharmaceuticals* (A) | 0.9 | 25,617 | 2,743 | |||||||||
Molina Healthcare* (A) | 0.9 | 40,298 | 2,599 | |||||||||
STERIS (A) | 0.5 | 22,602 | 1,606 | |||||||||
Other Securities | 13.7 | 40,906 | ||||||||||
|
| |||||||||||
59,835 | ||||||||||||
|
| |||||||||||
Industrials — 16.1% |
| |||||||||||
Apogee Enterprises | 0.9 | 63,212 | 2,774 | |||||||||
Clean Harbors* | 0.5 | 30,265 | 1,493 | |||||||||
Dycom Industries* (A) | 0.9 | 39,998 | 2,587 | |||||||||
Kirby* | 0.7 | 32,999 | 1,990 | |||||||||
On Assignment* | 0.7 | 55,829 | 2,061 | |||||||||
WageWorks* | 0.6 | 38,103 | 1,928 | |||||||||
Other Securities | 11.8 | 35,665 | ||||||||||
|
| |||||||||||
48,498 | ||||||||||||
|
| |||||||||||
Information Technology — 27.6% |
| |||||||||||
Blackbaud, Cl A | 0.7 | 33,723 | 2,121 | |||||||||
CalAmp* | 1.3 | 214,930 | 3,854 | |||||||||
Callidus Software* | 0.7 | 122,079 | 2,036 | |||||||||
Cimpress* (A) | 0.6 | 18,467 | 1,675 | |||||||||
Coherent* | 0.6 | 18,108 | 1,664 | |||||||||
Cornerstone OnDemand* (A) | 0.5 | 49,347 | 1,617 | |||||||||
Euronet Worldwide* | 0.9 | 35,928 | 2,663 | |||||||||
Guidewire Software, Cl Z* | 0.8 | 43,908 | 2,392 | |||||||||
Littelfuse | 0.8 | 19,905 | 2,450 | |||||||||
Manhattan Associates* | 0.5 | 26,406 | 1,502 | |||||||||
MAXIMUS | 0.7 | 41,415 | 2,180 | |||||||||
Monolithic Power Systems | 0.8 | 39,119 | 2,490 | |||||||||
Proofpoint* (A) | 1.0 | 53,644 | 2,885 | |||||||||
Q2 Holdings* | 0.6 | 71,173 | 1,711 | |||||||||
Stamps.com* | 0.5 | 14,404 | 1,531 | |||||||||
Tyler Technologies* | 0.6 | 13,292 | 1,709 | |||||||||
Other Securities | 16.0 | 48,362 | ||||||||||
|
| |||||||||||
82,842 | ||||||||||||
|
| |||||||||||
Materials — 2.6% |
| |||||||||||
Berry Plastics Group* | 1.2 | 98,257 | 3,552 | |||||||||
Summit Materials, Cl A* (A) | 0.5 | 79,159 | 1,539 | |||||||||
Other Securities | 0.9 | 2,830 | ||||||||||
|
| |||||||||||
7,921 | ||||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 15 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund (Concluded)
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Telecommunication Services — 0.8% |
| |||||||||||
8x8* | 0.6 | % | 176,205 | $ | 1,772 | |||||||
Other Securities | 0.2 | 572 | ||||||||||
|
| |||||||||||
2,344 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 290,010 | ||||||||||
|
| |||||||||||
RIGHTS* — 0.0% | ||||||||||||
United States — 0.0% | ||||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Rights |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 18.0% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.380%**† (B) | 18.0 | 53,934,461 | 53,934 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 53,934 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (C) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 480 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 480 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.5% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 3.5 | 10,604,660 | 10,605 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 10,605 | ||||||||||
|
| |||||||||||
Total Investments — 118.2% |
| $ | 355,029 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 39 | Jun-2016 | $ | 199 | ||||||||
|
|
For the period ended March 31, 2016, 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 $300,324 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2016. |
‡‡ | Expiration date unavailable. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2016 (see Note 10). The total market value of securities on loan at March 31, 2016 was $53,035 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of March 31, 2016 was $53,934 ($ 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 March 31, 2016 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 | $ | 289,951 | $ | — | $ | 59 | $ | 290,010 | ||||||||
Rights | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 53,934 | — | 53,934 | ||||||||||||
U.S. Treasury Obligation | — | 480 | — | 480 | ||||||||||||
Cash Equivalent | 10,605 | — | — | 10,605 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 300,556 | $ | 54,414 | $ | 59 | $ | 355,029 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 199 | $ | — | $ | — | $ | 199 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 199 | $ | — | $ | — | $ | 199 | ||||||||
|
|
|
|
|
|
|
|
* Futures contracts are valued at unrealized appreciation on the instrument.
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
16 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 94.3% |
| |||||||||||
Consumer Discretionary — 13.5% |
| |||||||||||
Abercrombie & Fitch, Cl A (A) | 0.5 | % | 111,350 | $ | 3,512 | |||||||
Big Lots (A) | 0.4 | 53,307 | 2,414 | |||||||||
Lithia Motors, Cl A | 0.5 | 34,853 | 3,044 | |||||||||
MDC Partners, Cl A (A) | 0.5 | 135,452 | 3,197 | |||||||||
Pool (A) | 0.4 | 32,128 | 2,819 | |||||||||
Six Flags Entertainment | 0.4 | 45,162 | 2,506 | |||||||||
Wendy’s (A) | 0.4 | 231,107 | 2,517 | |||||||||
Other Securities | 10.4 | 66,743 | ||||||||||
|
| |||||||||||
86,752 | ||||||||||||
|
| |||||||||||
Consumer Staples — 3.4% |
| |||||||||||
Ingredion | 0.4 | 27,141 | 2,898 | |||||||||
Other Securities | 3.0 | 19,290 | ||||||||||
|
| |||||||||||
22,188 | ||||||||||||
|
| |||||||||||
Energy — 4.1% |
| |||||||||||
PBF Energy, Cl A | 0.6 | 119,794 | 3,977 | |||||||||
Tidewater, Cl A (A) | 0.4 | 360,818 | 2,465 | |||||||||
World Fuel Services | 0.4 | 57,428 | 2,790 | |||||||||
Other Securities | 2.7 | 16,943 | ||||||||||
|
| |||||||||||
26,175 | ||||||||||||
|
| |||||||||||
Financials — 20.0% |
| |||||||||||
BGC Partners, Cl A | 0.4 | 267,010 | 2,416 | |||||||||
Columbia Banking System (A) | 0.4 | 85,121 | 2,547 | |||||||||
Green Dot, Cl A* (A) | 0.8 | 214,528 | 4,928 | |||||||||
Hanover Insurance Group, | 0.5 | 38,140 | 3,441 | |||||||||
Highwoods Properties (A) | 0.5 | 69,494 | 3,323 | |||||||||
Howard Hughes* (A) | 0.5 | 28,980 | 3,069 | |||||||||
Medical Properties Trust (A) | 0.4 | 190,106 | 2,468 | |||||||||
OFG Bancorp (A) | 0.7 | 596,015 | 4,166 | |||||||||
Signature Bank NY, Cl B* (A) | 0.5 | 22,967 | 3,126 | |||||||||
Starwood Property Trust | 0.4 | 131,213 | 2,484 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Western Alliance Bancorp* | 0.3 | % | 71,507 | $ | 2,387 | |||||||
Other Securities | 14.6 | 94,856 | ||||||||||
|
| |||||||||||
129,211 | ||||||||||||
|
| |||||||||||
Health Care — 11.7% |
| |||||||||||
Amsurg* (A) | 0.5 | 46,063 | 3,436 | |||||||||
DENTSPLY SIRONA (A) | 0.5 | 52,697 | 3,248 | |||||||||
Integra LifeSciences Holdings* (A) | 0.5 | 50,072 | 3,373 | |||||||||
Ligand Pharmaceuticals* (A) | 1.1 | 68,490 | 7,335 | |||||||||
Premier, Cl A* | 0.4 | 72,243 | 2,410 | |||||||||
Other Securities | 8.7 | 55,519 | ||||||||||
|
| |||||||||||
75,321 | ||||||||||||
|
| |||||||||||
Industrials — 15.6% |
| |||||||||||
ACCO Brands* | 0.5 | 357,171 | 3,207 | |||||||||
Atlas Air Worldwide Holdings* | 0.5 | 70,561 | 2,983 | |||||||||
BWX Technologies, Cl W | 0.6 | 119,170 | 3,999 | |||||||||
Carlisle | 0.5 | 34,980 | 3,481 | |||||||||
Crane, Cl A | 0.4 | 51,163 | 2,756 | |||||||||
Genesee & Wyoming, | 0.6 | 56,619 | 3,550 | |||||||||
KAR Auction Services | 0.4 | 70,288 | 2,681 | |||||||||
Triumph Group (A) | 0.4 | 77,591 | 2,443 | |||||||||
Wesco Aircraft Holdings* (A) | 0.7 | 298,971 | 4,302 | |||||||||
Other Securities | 11.0 | 71,535 | ||||||||||
|
| |||||||||||
100,937 | ||||||||||||
|
| |||||||||||
Information Technology — 17.2% |
| |||||||||||
Aspen Technology* (A) | 0.4 | 64,639 | 2,335 | |||||||||
Convergys | 0.5 | 105,240 | 2,923 | |||||||||
Heartland Payment Systems | 0.5 | 30,098 | 2,907 | |||||||||
Microsemi* (A) | 0.5 | 79,613 | 3,050 | |||||||||
Open Text | 0.4 | 52,506 | 2,720 | |||||||||
OSI Systems* (A) | 0.4 | 40,275 | 2,638 | |||||||||
Silicon Graphics International* (A) | 0.5 | 427,095 | 3,041 | |||||||||
Take-Two Interactive Software, Cl A* | 0.3 | 60,484 | 2,278 | |||||||||
Other Securities | 13.7 | 89,023 | ||||||||||
|
| |||||||||||
110,915 | ||||||||||||
|
| |||||||||||
Materials — 5.3% |
| |||||||||||
Berry Plastics Group* (A) | 0.5 | 79,859 | 2,887 | |||||||||
FMC (A) | 0.4 | 61,052 | 2,465 | |||||||||
Silgan Holdings | 0.4 | 52,876 | 2,811 | |||||||||
Other Securities | 4.0 | 25,965 | ||||||||||
|
| |||||||||||
34,128 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.4% |
| |||||||||||
Other Securities | 0.4 | 2,743 | ||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 17 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small/Mid Cap Fund (Concluded)
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 3.1% |
| |||||||||||
Atmos Energy (A) | 0.4 | % | 37,031 | $ | 2,750 | |||||||
Other Securities | 2.7 | 16,968 | ||||||||||
|
| |||||||||||
19,718 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 608,088 | ||||||||||
|
| |||||||||||
RIGHTS* — 0.0% |
| |||||||||||
United States — 0.0% |
| |||||||||||
Other Securities | 0.0 | 12 | ||||||||||
|
| |||||||||||
Total Rights | 12 | |||||||||||
|
| |||||||||||
WARRANT* — 0.0% | ||||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Warrant |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 40.6% |
| |||||||||||
SEI Liquidity Fund, L.P. | 40.6 | 261,747,579 | 261,748 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 261,748 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 794 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 794 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 5.4% |
| |||||||||||
SEI Daily Income Trust, | 5.4 | 35,062,222 | 35,062 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 35,062 | ||||||||||
|
| |||||||||||
Total Investments — 140.4% |
| $ | 905,704 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index | 73 | Jun-2016 | $ | 357 | ||||||||
S&P Mid Cap 400 Index | 60 | Jun-2016 | 376 | |||||||||
|
| |||||||||||
$ | 733 | |||||||||||
|
|
For the period ended March 31, 2016, 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 $645,018 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2016 (see Note 10). The total market value of securities on loan at March 31, 2016 was $256,627 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of March 31, 2016 was $261,748 ($ 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 March 31, 2016 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 | $ | 608,088 | $ | — | $ | — | $ | 608,088 | ||||||||
Rights | — | 12 | — | 12 | ||||||||||||
Affiliated Partnership | — | 261,748 | — | 261,748 | ||||||||||||
U.S. Treasury Obligation | — | 794 | — | 794 | ||||||||||||
Cash Equivalent | 35,062 | — | — | 35,062 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 643,150 | $ | 262,554 | $ | — | $ | 905,704 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 733 | $ | — | $ | — | $ | 733 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 733 | $ | — | $ | — | $ | 733 | ||||||||
|
|
|
|
|
|
|
|
* Futures contracts are valued at unrealized appreciation on the instrument.
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
18 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Mid-Cap Fund
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 93.3% |
| |||||||||||
Consumer Discretionary — 14.1% |
| |||||||||||
DR Horton | 0.7 | % | 18,200 | $ | 550 | |||||||
Genuine Parts | 0.8 | 6,900 | 686 | |||||||||
Macy’s | 0.8 | 15,900 | 701 | |||||||||
Michael Kors Holdings* (A) | 0.7 | 11,900 | 678 | |||||||||
NVR* | 0.7 | 340 | 589 | |||||||||
PVH | 0.7 | 5,900 | 584 | |||||||||
Staples | 0.7 | 50,400 | 556 | |||||||||
Other Securities | 9.0 | 7,538 | ||||||||||
|
| |||||||||||
11,882 | ||||||||||||
|
| |||||||||||
Consumer Staples — 5.8% |
| |||||||||||
Clorox | 0.7 | 4,500 | 567 | |||||||||
ConAgra Foods | 0.8 | 15,800 | 705 | |||||||||
Ingredion | 0.7 | 5,700 | 609 | |||||||||
Tyson Foods, Cl A | 0.9 | 11,900 | 793 | |||||||||
Other Securities | 2.7 | 2,189 | ||||||||||
|
| |||||||||||
4,863 | ||||||||||||
|
| |||||||||||
Energy — 4.4% |
| |||||||||||
Hess (A) | 0.8 | 11,900 | 627 | |||||||||
Other Securities | 3.6 | 3,037 | ||||||||||
|
| |||||||||||
3,664 | ||||||||||||
|
| |||||||||||
Financials — 19.8% |
| |||||||||||
Ameriprise Financial | 0.7 | 6,600 | 620 | |||||||||
Annaly Capital Management | 0.7 | 56,100 | 576 | |||||||||
HCP (A) | 0.7 | 18,400 | 600 | |||||||||
Lincoln National | 0.6 | 13,500 | 529 | |||||||||
ProLogis | 0.9 | 17,800 | 786 | |||||||||
SunTrust Banks | 0.8 | 17,500 | 631 | |||||||||
Other Securities | 15.4 | 12,874 | ||||||||||
|
| |||||||||||
16,616 | ||||||||||||
|
| |||||||||||
Health Care — 9.8% |
| |||||||||||
Bruker BioSciences | 0.7 | 19,500 | 546 | |||||||||
C.R. Bard | 0.8 | 3,300 | 669 | |||||||||
DaVita HealthCare | 0.7 | 7,700 | 565 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Edwards Lifesciences, | 0.9 | % | 8,800 | $ | 776 | |||||||
Universal Health Services, Cl B | 0.7 | 4,400 | 549 | |||||||||
Other Securities | 6.0 | 5,149 | ||||||||||
|
| |||||||||||
8,254 | ||||||||||||
|
| |||||||||||
Industrials — 11.3% |
| |||||||||||
Acuity Brands (A) | 0.7 | 2,800 | 611 | |||||||||
Alaska Air Group (A) | 0.7 | 7,000 | 574 | |||||||||
Huntington Ingalls Industries, Cl A | 0.7 | 4,300 | 589 | |||||||||
Masco | 0.7 | 19,800 | 623 | |||||||||
Southwest Airlines, Cl A | 1.0 | 18,600 | 833 | |||||||||
Textron | 0.7 | 15,200 | 554 | |||||||||
United Continental Holdings* (A) | 0.8 | 11,800 | 707 | |||||||||
Other Securities | 6.0 | 5,027 | ||||||||||
|
| |||||||||||
9,518 | ||||||||||||
|
| |||||||||||
Information Technology — 14.7% |
| |||||||||||
Activision Blizzard | 0.7 | 18,300 | 619 | |||||||||
Citrix Systems* (A) | 0.7 | 7,800 | 613 | |||||||||
Fiserv, Cl A* (A) | 0.8 | 6,200 | 636 | |||||||||
Ingram Micro, Cl A* | 0.6 | 14,900 | 535 | |||||||||
Intuit (A) | 0.8 | 6,800 | 707 | |||||||||
Juniper Networks (A) | 0.6 | 21,000 | 536 | |||||||||
Symantec, Cl A (A) | 0.7 | 29,700 | 546 | |||||||||
Other Securities | 9.8 | 8,117 | ||||||||||
|
| |||||||||||
12,309 | ||||||||||||
|
| |||||||||||
Materials — 5.0% |
| |||||||||||
Huntsman | 0.7 | 44,800 | 596 | |||||||||
International Paper (A) | 0.8 | 16,200 | 665 | |||||||||
Nucor | 0.7 | 13,200 | 624 | |||||||||
Packaging Corp of America (A) | 0.6 | 8,900 | 537 | |||||||||
Other Securities | 2.2 | 1,802 | ||||||||||
|
| |||||||||||
4,224 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.9% |
| |||||||||||
CenturyTel (A) | 0.9 | 23,200 | 741 | |||||||||
|
| |||||||||||
Utilities — 7.5% |
| |||||||||||
AES | 0.7 | 52,600 | 621 | |||||||||
Entergy | 0.8 | 8,800 | 698 | |||||||||
FirstEnergy | 0.8 | 19,000 | 683 | |||||||||
PPL (A) | 1.0 | 22,200 | 845 | |||||||||
Public Service Enterprise Group (A) | 1.0 | 17,300 | 815 | |||||||||
Sempra Energy | 0.9 | 6,900 | 718 | |||||||||
UGI | 0.7 | 14,500 | 584 | |||||||||
Other Securities | 1.6 | 1,328 | ||||||||||
|
| |||||||||||
6,292 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 78,363 | ||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 19 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Mid-Cap Fund (Concluded)
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AFFILIATED PARTNERSHIP — 32.5% |
| |||||||||||
SEI Liquidity Fund, L.P. | 32.5 | % | 27,260,108 | $ | 27,260 | |||||||
|
| |||||||||||
Total Affiliated Partnership |
| 27,260 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 6.2% |
| |||||||||||
SEI Daily Income Trust, | 6.2 | 5,181,297 | 5,181 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 5,181 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (C) — 0.3% |
| |||||||||||
Other Securities | 0.3 | 225 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 225 | ||||||||||
|
| |||||||||||
Total Investments — 132.3% |
| $ | 111,029 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P Mid Cap 400 Index E-MINI | 29 | Jun-2016 | $ | 156 | ||||||||
|
|
For the period ended March 31, 2016, 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 $83,943 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2016 (see Note 10). The total market value of securities on loan at March 31, 2016 was $26,884 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of March 31, 2016 was $27,260 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the level of inputs used as of March 31, 2016, 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 | $ | 78,363 | $ | — | $ | — | $ | 78,363 | ||||||||
Affiliated Partnership | — | 27,260 | — | 27,260 | ||||||||||||
Cash Equivalent | 5,181 | — | — | 5,181 | ||||||||||||
U.S. Treasury Obligation | — | 225 | — | 225 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 83,544 | $ | 27,485 | $ | — | $ | 111,029 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 156 | $ | — | $ | — | $ | 156 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 156 | $ | — | $ | — | $ | 156 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation on the instrument. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
20 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 95.6% |
| |||||||||||
Consumer Discretionary — 11.0% |
| |||||||||||
Aramark | 0.6 | % | 250,737 | $ | 8,304 | |||||||
Bed Bath & Beyond* | 0.5 | 159,924 | 7,939 | |||||||||
Dollar General | 0.7 | 119,286 | 10,211 | |||||||||
Target, Cl A | 1.0 | 175,409 | 14,433 | |||||||||
Other Securities | 8.2 | 122,991 | ||||||||||
|
| |||||||||||
163,878 | ||||||||||||
|
| |||||||||||
Consumer Staples — 19.3% |
| |||||||||||
Altria Group | 1.4 | 338,170 | 21,190 | |||||||||
Bunge | 0.7 | 172,974 | 9,802 | |||||||||
Campbell Soup | 0.5 | 124,454 | 7,939 | |||||||||
Clorox | 1.0 | 117,493 | 14,811 | |||||||||
Dr Pepper Snapple Group | 1.2 | 204,649 | 18,300 | |||||||||
General Mills | 1.0 | 226,421 | 14,344 | |||||||||
Hormel Foods | 0.6 | 190,689 | 8,245 | |||||||||
Kimberly-Clark | 1.1 | 116,783 | 15,708 | |||||||||
Kroger | 1.2 | 466,669 | 17,850 | |||||||||
McCormick | 0.8 | 113,487 | 11,290 | |||||||||
PepsiCo | 1.1 | 157,419 | 16,132 | |||||||||
SYSCO, Cl A | 1.0 | 334,019 | 15,609 | |||||||||
Wal-Mart Stores | 1.0 | 217,410 | 14,890 | |||||||||
Other Securities | 6.7 | 102,211 | ||||||||||
|
| |||||||||||
288,321 | ||||||||||||
|
| |||||||||||
Energy — 0.6% |
| |||||||||||
Other Securities | 0.6 | 8,758 | ||||||||||
|
| |||||||||||
Financials — 17.1% |
| |||||||||||
Allstate | 0.5 | 112,660 | 7,590 | |||||||||
Arch Capital Group* | 0.5 | 112,163 | 7,975 | |||||||||
Axis Capital Holdings | 0.9 | 236,800 | 13,133 | |||||||||
CBOE Holdings | 0.9 | 215,459 | 14,076 | |||||||||
Everest Re Group | 1.3 | 98,327 | 19,413 | |||||||||
RenaissanceRe Holdings | 0.8 | 104,107 | 12,475 | |||||||||
Travelers | 0.9 | 115,730 | 13,507 | |||||||||
Two Harbors Investment | 0.5 | 954,430 | 7,578 | |||||||||
Validus Holdings | 0.9 | 309,657 | 14,613 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 9.9 | % | $ | 146,141 | ||||||||
|
| |||||||||||
256,501 | ||||||||||||
|
| |||||||||||
Health Care — 13.9% |
| |||||||||||
AmerisourceBergen | 0.7 | 130,233 | 11,272 | |||||||||
Bristol-Myers Squibb | 0.5 | 117,789 | 7,524 | |||||||||
Cardinal Health | 0.9 | 171,443 | 14,050 | |||||||||
Johnson & Johnson | 2.2 | 297,813 | 32,223 | |||||||||
McKesson | 0.7 | 69,018 | 10,853 | |||||||||
Merck | 0.8 | 214,567 | 11,353 | |||||||||
Pfizer | 1.0 | 479,795 | 14,221 | |||||||||
Quest Diagnostics | 0.6 | 117,470 | 8,393 | |||||||||
Other Securities | 6.5 | 98,109 | ||||||||||
|
| |||||||||||
207,998 | ||||||||||||
|
| |||||||||||
Industrials — 4.8% |
| |||||||||||
Lockheed Martin | 0.9 | 58,364 | 12,928 | |||||||||
Northrop Grumman | 0.6 | 47,300 | 9,361 | |||||||||
Raytheon | 0.5 | 62,400 | 7,652 | |||||||||
Other Securities | 2.8 | 41,600 | ||||||||||
|
| |||||||||||
71,541 | ||||||||||||
|
| |||||||||||
Information Technology — 10.0% |
| |||||||||||
Amdocs | 1.5 | 372,588 | 22,512 | |||||||||
International Business Machines | 0.5 | 52,800 | 7,996 | |||||||||
Other Securities | 8.0 | 119,324 | ||||||||||
|
| |||||||||||
149,832 | ||||||||||||
|
| |||||||||||
Materials — 2.0% |
| |||||||||||
Other Securities | 2.0 | 29,787 | ||||||||||
|
| |||||||||||
Telecommunication Services — 5.2% |
| |||||||||||
AT&T | 2.1 | 800,982 | 31,375 | |||||||||
Verizon Communications | 1.9 | 523,117 | 28,290 | |||||||||
Other Securities | 1.2 | 18,237 | ||||||||||
|
| |||||||||||
77,902 | ||||||||||||
|
| |||||||||||
Utilities — 11.7% |
| |||||||||||
American Electric Power | 0.8 | 180,050 | 11,955 | |||||||||
Consolidated Edison | 1.2 | 225,621 | 17,287 | |||||||||
Edison International | 0.8 | 175,329 | 12,604 | |||||||||
Entergy | 0.9 | 162,270 | 12,865 | |||||||||
PG&E | 1.0 | 243,279 | 14,529 | |||||||||
Pinnacle West Capital | 0.6 | 120,642 | 9,057 | |||||||||
Public Service Enterprise Group | 0.9 | 285,563 | 13,461 | |||||||||
Southern | 0.8 | 217,141 | 11,233 | |||||||||
Other Securities | 4.7 | 71,726 | ||||||||||
|
| |||||||||||
174,717 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 1,429,235 | ||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 21 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund (Concluded)
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
CASH EQUIVALENT — 3.9% |
| |||||||||||
SEI Daily Income Trust, | 3.9 | % | 58,765,094 | $ | 58,765 | |||||||
|
| |||||||||||
Total Cash Equivalent |
| 58,765 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (A) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 1,703 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 1,703 | ||||||||||
|
| |||||||||||
Total Investments — 99.6% |
| $ | 1,489,703 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 361 | Jun-2016 | $ | 1,038 | ||||||||
|
|
For the period ended March 31, 2016, 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 $1,495,065 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
S&P — Standard & Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov
The following is a list of the level of inputs used as of March 31, 2016, 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 | $ | 1,429,235 | $ | — | $ | — | $ | 1,429,235 | ||||||||
Cash Equivalent | 58,765 | — | — | 58,765 | ||||||||||||
U.S. Treasury Obligation | — | 1,703 | — | 1,703 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,488,000 | $ | 1,703 | $ | — | $ | 1,489,703 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 1,038 | $ | — | $ | — | $ | 1,038 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1,038 | $ | — | $ | — | $ | 1,038 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation on the instrument. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
22 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 95.3% |
| |||||||||||
Australia — 6.0% |
| |||||||||||
Wesfarmers | 0.7 | % | 374,508 | $ | 11,941 | |||||||
Other Securities | 5.3 | 91,825 | ||||||||||
|
| |||||||||||
103,766 | ||||||||||||
|
| |||||||||||
Austria — 0.4% |
| |||||||||||
Other Securities | 0.4 | 6,727 | ||||||||||
|
| |||||||||||
Belgium — 0.7% |
| |||||||||||
Other Securities | 0.7 | 11,601 | ||||||||||
|
| |||||||||||
Canada — 12.4% |
| |||||||||||
BCE | 1.1 | 399,694 | 18,235 | |||||||||
Canadian Imperial Bank of Commerce | 0.9 | 207,926 | 15,596 | |||||||||
Canadian Tire, Cl A | 0.6 | 105,267 | 11,002 | |||||||||
Rogers Communications, Cl B | 1.0 | 444,524 | 17,871 | |||||||||
Other Securities | 8.8 | 151,082 | ||||||||||
|
| |||||||||||
213,786 | ||||||||||||
|
| |||||||||||
China — 0.1% |
| |||||||||||
Other Securities | 0.1 | 931 | ||||||||||
|
| |||||||||||
Denmark — 0.4% |
| |||||||||||
Other Securities | 0.4 | 6,522 | ||||||||||
|
| |||||||||||
Finland — 0.0% |
| |||||||||||
Other Securities | 0.0 | 360 | ||||||||||
|
| |||||||||||
France — 0.1% |
| |||||||||||
Other Securities | 0.1 | 2,367 | ||||||||||
|
| |||||||||||
Germany — 1.0% |
| |||||||||||
Other Securities | 1.0 | 16,371 | ||||||||||
|
| |||||||||||
Guernsey — 0.6% |
| |||||||||||
Amdocs | 0.6 | 169,204 | 10,223 | |||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Hong Kong — 3.7% |
| |||||||||||
CLP Holdings, Cl B | 1.1 | % | 2,029,046 | $ | 18,351 | |||||||
Other Securities | 2.6 | 44,865 | ||||||||||
|
| |||||||||||
63,216 | ||||||||||||
|
| |||||||||||
Ireland — 0.2% |
| |||||||||||
Other Securities | 0.2 | 2,585 | ||||||||||
|
| |||||||||||
Israel — 1.2% |
| |||||||||||
Other Securities | 1.2 | 20,153 | ||||||||||
|
| |||||||||||
Italy — 1.0% |
| |||||||||||
Terna Rete Elettrica Nazionale | 0.6 | 1,839,170 | 10,511 | |||||||||
Other Securities | 0.4 | 6,334 | ||||||||||
|
| |||||||||||
16,845 | ||||||||||||
|
| |||||||||||
Japan — 4.4% |
| |||||||||||
Lion, Cl H | 0.6 | 944,526 | 10,664 | |||||||||
NTT DOCOMO | 0.8 | 634,346 | 14,406 | |||||||||
Other Securities | 3.0 | 51,034 | ||||||||||
|
| |||||||||||
76,104 | ||||||||||||
|
| |||||||||||
Jersey — 0.0% |
| |||||||||||
Other Securities | 0.0 | 475 | ||||||||||
|
| |||||||||||
Luxembourg — 0.1% |
| |||||||||||
Other Securities | 0.1 | 1,013 | ||||||||||
|
| |||||||||||
Netherlands — 0.6% |
| |||||||||||
Other Securities | 0.6 | 9,773 | ||||||||||
|
| |||||||||||
New Zealand — 2.3% |
| |||||||||||
Other Securities | 2.3 | 40,251 | ||||||||||
|
| |||||||||||
Norway — 1.9% |
| |||||||||||
Orkla | 0.7 | 1,332,666 | 12,076 | |||||||||
Telenor | 0.6 | 641,374 | 10,383 | |||||||||
Other Securities | 0.6 | 9,978 | ||||||||||
|
| |||||||||||
32,437 | ||||||||||||
|
| |||||||||||
Portugal — 0.3% |
| |||||||||||
Other Securities | 0.3 | 5,191 | ||||||||||
|
| |||||||||||
Singapore — 2.8% |
| |||||||||||
Singapore Telecommunications | 0.7 | 3,930,289 | 11,149 | |||||||||
Other Securities | 2.1 | 37,329 | ||||||||||
|
| |||||||||||
48,478 | ||||||||||||
|
| |||||||||||
Spain — 1.5% |
| |||||||||||
Other Securities | 1.5 | 26,332 | ||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 23 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund (Continued)
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Sweden — 2.0% |
| |||||||||||
Swedish Match | 0.8 | % | 389,791 | $ | 13,252 | |||||||
Other Securities | 1.2 | 21,792 | ||||||||||
|
| |||||||||||
35,044 | ||||||||||||
|
| |||||||||||
Switzerland — 4.0% |
| |||||||||||
Galenica | 0.7 | 8,329 | 12,576 | |||||||||
Nestle | 0.6 | 137,839 | 10,342 | |||||||||
Swisscom | 0.8 | 24,651 | 13,450 | |||||||||
Other Securities | 1.9 | 32,711 | ||||||||||
|
| |||||||||||
69,079 | ||||||||||||
|
| |||||||||||
United Kingdom — 8.4% |
| |||||||||||
British American Tobacco | 0.6 | 176,429 | 10,372 | |||||||||
Imperial Brands | 1.2 | 372,196 | 20,665 | |||||||||
Next, Cl A | 0.8 | 185,958 | 14,433 | |||||||||
SSE | 0.9 | 700,956 | 15,032 | |||||||||
Unilever | 0.8 | 301,012 | 13,639 | |||||||||
Other Securities | 4.1 | 71,203 | ||||||||||
|
| |||||||||||
145,344 | ||||||||||||
|
| |||||||||||
United States — 39.2% |
| |||||||||||
Altria Group | 0.8 | 209,497 | 13,127 | |||||||||
AmerisourceBergen | 1.0 | 207,109 | 17,925 | |||||||||
AT&T | 1.1 | 483,387 | 18,934 | |||||||||
Autozone* | 1.1 | 23,202 | 18,485 | |||||||||
C.R. Bard | 0.6 | 51,707 | 10,479 | |||||||||
Campbell Soup | 0.7 | 182,902 | 11,667 | |||||||||
Cardinal Health | 0.7 | 138,139 | 11,320 | |||||||||
Church & Dwight | 0.6 | 113,976 | 10,506 | |||||||||
Clorox | 1.4 | 187,120 | 23,588 | |||||||||
Coca-Cola | 0.7 | 247,124 | 11,464 | |||||||||
Colgate-Palmolive | 0.6 | 145,431 | 10,275 | |||||||||
Costco Wholesale | 0.8 | 89,686 | 14,133 | |||||||||
General Mills | 1.2 | 332,985 | 21,095 | |||||||||
Henry Schein* | 0.6 | 63,568 | 10,974 | |||||||||
Jack Henry & Associates | 0.6 | 124,048 | 10,491 | |||||||||
Johnson & Johnson | 1.0 | 153,226 | 16,579 | |||||||||
Kimberly-Clark | 0.8 | 105,224 | 14,154 | |||||||||
McCormick | 0.7 | 115,327 | 11,473 | |||||||||
McDonald’s | 0.9 | 123,335 | 15,501 | |||||||||
Owens & Minor | 0.6 | 272,449 | 11,012 | |||||||||
PepsiCo | 0.6 | 105,074 | 10,768 | |||||||||
Philip Morris International | 0.6 | 109,808 | 10,773 | |||||||||
Procter & Gamble | 0.9 | 194,385 | 16,000 | |||||||||
SYSCO, Cl A | 1.4 | 522,632 | 24,422 | |||||||||
United Parcel Service, Cl B | 0.6 | 98,138 | 10,351 | |||||||||
Wal-Mart Stores | 0.9 | 217,560 | 14,901 | |||||||||
Waste Management | 0.6 | 180,447 | 10,646 | |||||||||
Other Securities | 17.1 | 294,143 | ||||||||||
|
| |||||||||||
675,186 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 1,640,160 | ||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
PREFERRED STOCK — 0.2% |
| |||||||||||
Germany — 0.2% |
| |||||||||||
Other Securities | 0.2 | % | $ | 3,358 | ||||||||
|
| |||||||||||
Sweden — 0.0% |
| |||||||||||
Other Securities | 0.0 | 252 | ||||||||||
|
| |||||||||||
Total Preferred Stock |
| 3,610 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (A) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 4,125 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 4,125 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 4.0% |
| |||||||||||
SEI Daily Income Trust, | 4.0 | 68,141,096 | 68,141 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 68,141 | ||||||||||
|
| |||||||||||
Total Investments — 99.7% |
| $ | 1,716,036 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 203 | Jun-2016 | $ | (104 | ) | |||||||
FTSE 100 Index | 55 | Jun-2016 | 21 | |||||||||
Hang Seng Index | 6 | Apr-2016 | 16 | |||||||||
S&P 500 Index E-MINI | 295 | Jun-2016 | 933 | |||||||||
SPI 200 Index | 23 | Jun-2016 | (16 | ) | ||||||||
Topix Index | 32 | Jun-2016 | (2 | ) | ||||||||
|
| |||||||||||
$ | 848 | |||||||||||
|
|
For the period ended March 31, 2016, 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.
24 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
A list of the open forward foreign currency contracts held by the Fund at March 31, 2016, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency To Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
04/28/16 | USD | 80 | DKK | 527 | $ | 1 | ||||||||||||||
04/28/16 | USD | 234 | JPY | 26,439 | 1 | |||||||||||||||
04/28/16 | USD | 335 | HKD | 2,600 | — | |||||||||||||||
04/28/16 | USD | 423 | SEK | 3,469 | 5 | |||||||||||||||
04/28/16 | USD | 518 | NOK | 4,334 | 6 | |||||||||||||||
04/28/16 | USD | 554 | SGD | 754 | 6 | |||||||||||||||
04/28/16 | USD | 634 | NZD | 929 | 10 | |||||||||||||||
04/28/16 | USD | 765 | CHF | 739 | 8 | |||||||||||||||
04/28/16 | USD | 1,314 | EUR | 1,165 | 15 | |||||||||||||||
04/28/16 | USD | 1,433 | AUD | 1,883 | 13 | |||||||||||||||
04/28/16 | USD | 1,981 | GBP | 1,385 | 10 | |||||||||||||||
04/28/16 | USD | 2,917 | CAD | 3,814 | 32 | |||||||||||||||
04/28/16 | DKK | 25,223 | USD | 3,783 | (78 | ) | ||||||||||||||
04/28/16 | NZD | 27,114 | USD | 18,140 | (657 | ) | ||||||||||||||
04/28/16 | CHF | 35,120 | USD | 36,112 | (609 | ) | ||||||||||||||
04/28/16 | SGD | 36,385 | USD | 26,619 | (407 | ) | ||||||||||||||
04/28/16 | SGD | 46,596 | EUR | 4,082 | — | |||||||||||||||
04/28/16 | EUR | 56,081 | USD | 62,724 | (1,221 | ) | ||||||||||||||
04/28/16 | GBP | 56,236 | USD | 79,356 | (1,467 | ) | ||||||||||||||
04/28/16 | AUD | 68,333 | USD | 51,402 | (1,097 | ) | ||||||||||||||
04/28/16 | CAD | 137,758 | USD | 104,308 | (2,210 | ) | ||||||||||||||
04/28/16 | NOK | 139,896 | USD | 16,482 | (435 | ) | ||||||||||||||
04/28/16 | SEK | 157,183 | USD | 19,021 | (390 | ) | ||||||||||||||
04/28/16 | HKD | 260,107 | USD | 33,547 | 5 | |||||||||||||||
04/28/16 | JPY | 4,683,375 | USD | 41,599 | (107 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (8,566 | ) | ||||||||||||||||||
|
|
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Depreciation ($ Thousands) | |||||||||
Brown Brothers Harriman | $ | (517,037 | ) | $ | 508,471 | $ | (8,566 | ) | ||||
|
|
For the period March 31, 2016, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
Percentages are based on a Net Assets of $1,721,032 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2016. |
† | 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 — United States Dollar
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of March 31, 2016, 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 | $ | 1,630,964 | $ | 9,196 | $ | — | $ | 1,640,160 | ||||||||
Preferred Stock | 3,358 | 252 | — | 3,610 | ||||||||||||
U.S. Treasury Obligation | – | 4,125 | — | 4,125 | ||||||||||||
Cash Equivalent | 68,141 | — | — | 68,141 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,702,463 | $ | 13,573 | $ | — | $ | 1,716,036 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 970 | $ | — | $ | — | $ | 970 | ||||||||
Unrealized Depreciation | (122 | ) | — | — | (122 | ) | ||||||||||
Forwards Contracts * | ||||||||||||||||
Unrealized Appreciation | — | 112 | — | 112 | ||||||||||||
Unrealized Depreciation | — | (8,678 | ) | — | (8,678 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 848 | $ | (8,566 | ) | $ | — | $ | (7,718 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures and forwards contracts are valued at unrealized appreciation/ (depreciation) on the instrument. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 25 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Managed Volatility Fund
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 94.7% |
| |||||||||||
Consumer Discretionary — 8.9% |
| |||||||||||
McDonald’s | 0.7 | % | 62,343 | $ | 7,835 | |||||||
Target, Cl A | 0.9 | 125,101 | 10,293 | |||||||||
Other Securities | 7.3 | 79,464 | ||||||||||
|
| |||||||||||
97,592 | ||||||||||||
|
| |||||||||||
Consumer Staples — 20.0% |
| |||||||||||
Altria Group | 1.5 | 261,314 | 16,374 | |||||||||
Clorox | 0.8 | 70,061 | 8,832 | |||||||||
Costco Wholesale | 0.8 | 58,129 | 9,160 | |||||||||
Dr Pepper Snapple Group | 0.6 | 78,730 | 7,040 | |||||||||
Hormel Foods | 0.8 | 200,648 | 8,676 | |||||||||
Kellogg | 0.7 | 99,026 | 7,580 | |||||||||
Kimberly-Clark | 0.6 | 47,826 | 6,433 | |||||||||
Kroger | 0.9 | 252,032 | 9,640 | |||||||||
McCormick | 0.7 | 72,119 | 7,174 | |||||||||
PepsiCo | 0.9 | 92,067 | 9,435 | |||||||||
Philip Morris International | 0.7 | 79,517 | 7,801 | |||||||||
Procter & Gamble | 0.7 | 93,908 | 7,729 | |||||||||
Reynolds American | 0.6 | 137,289 | 6,907 | |||||||||
SYSCO, Cl A | 0.8 | 193,210 | 9,029 | |||||||||
Wal-Mart Stores | 1.3 | 209,519 | 14,350 | |||||||||
Other Securities | 7.6 | 82,968 | ||||||||||
|
| |||||||||||
219,128 | ||||||||||||
|
| |||||||||||
Energy — 0.5% |
| |||||||||||
Other Securities | 0.5 | 5,266 | ||||||||||
|
| |||||||||||
Financials — 18.2% |
| |||||||||||
Axis Capital Holdings | 0.7 | 136,931 | 7,594 | |||||||||
CBOE Holdings | 0.9 | 154,265 | 10,078 | |||||||||
Everest Re Group | 1.0 | 57,316 | 11,316 | |||||||||
RenaissanceRe Holdings | 1.2 | 106,947 | 12,816 | |||||||||
Travelers | 1.0 | 97,150 | 11,339 | |||||||||
Validus Holdings | 0.9 | 198,574 | 9,371 | |||||||||
Other Securities | 12.5 | 137,633 | ||||||||||
|
| |||||||||||
200,147 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 12.1% |
| |||||||||||
Aetna, Cl A | 0.6 | % | 63,300 | $ | 7,112 | |||||||
AmerisourceBergen | 0.6 | 75,737 | 6,555 | |||||||||
Anthem | 0.7 | 56,500 | 7,853 | |||||||||
Cardinal Health | 0.7 | 90,100 | 7,384 | |||||||||
Johnson & Johnson | 2.1 | 210,803 | 22,809 | |||||||||
Merck | 1.1 | 221,700 | 11,730 | |||||||||
Pfizer | 0.9 | 315,510 | 9,352 | |||||||||
UnitedHealth Group | 0.7 | 61,650 | 7,947 | |||||||||
Other Securities | 4.7 | 52,086 | ||||||||||
|
| |||||||||||
132,828 | ||||||||||||
|
| |||||||||||
Industrials — 6.0% |
| |||||||||||
Northrop Grumman | 0.9 | 49,100 | 9,717 | |||||||||
Raytheon | 0.7 | 66,100 | 8,106 | |||||||||
Other Securities | 4.4 | 48,379 | ||||||||||
|
| |||||||||||
66,202 | ||||||||||||
|
| |||||||||||
Information Technology — 9.0% |
| |||||||||||
Amdocs | 1.0 | 181,340 | 10,957 | |||||||||
Cisco Systems | 0.6 | 242,600 | 6,907 | |||||||||
International Business Machines | 0.6 | 45,300 | 6,861 | |||||||||
Symantec, Cl A | 0.7 | 394,824 | 7,257 | |||||||||
Other Securities | 6.1 | 67,241 | ||||||||||
|
| |||||||||||
99,223 | ||||||||||||
|
| |||||||||||
Materials — 1.4% |
| |||||||||||
Other Securities | 1.4 | 14,948 | ||||||||||
|
| |||||||||||
Telecommunication Services — 4.7% |
| |||||||||||
AT&T | 1.6 | 438,439 | 17,174 | |||||||||
Verizon Communications | 1.5 | 311,702 | 16,857 | |||||||||
Other Securities | 1.6 | 17,694 | ||||||||||
|
| |||||||||||
51,725 | ||||||||||||
|
| |||||||||||
Utilities — 13.9% |
| |||||||||||
American Electric Power | 0.9 | 153,770 | 10,210 | |||||||||
Consolidated Edison | 1.2 | 165,942 | 12,714 | |||||||||
Edison International | 0.9 | 130,710 | 9,397 | |||||||||
Entergy | 0.9 | 130,190 | 10,321 | |||||||||
Eversource Energy | 0.6 | 113,570 | 6,626 | |||||||||
FirstEnergy | 0.8 | 234,790 | 8,445 | |||||||||
PG&E | 0.9 | 171,750 | 10,257 | |||||||||
Public Service Enterprise Group | 1.0 | 223,120 | 10,518 | |||||||||
Southern | 0.7 | 151,431 | 7,834 | |||||||||
WEC Energy Group | 0.7 | 119,204 | 7,161 | |||||||||
Other Securities | 5.3 | 58,586 | ||||||||||
|
| |||||||||||
152,069 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 1,039,128 | ||||||||||
|
|
26 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
RIGHTS — 0.0% | ||||||||||||
United States — 0.0% |
| |||||||||||
Other Securities | 0.0 | % | $ | 91 | ||||||||
|
| |||||||||||
Total Rights |
| 91 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (A) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 1,683 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 1,683 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 4.8% |
| |||||||||||
SEI Daily Income Trust, | 4.8 | 52,325,452 | 52,325 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 52,325 | ||||||||||
|
| |||||||||||
Total Investments — 99.7% |
| $ | 1,093,227 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation) ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 297 | Jun-2016 | $ | 727 | ||||||||
|
|
For the period ended March 31, 2016, 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 $1,097,029 ($ Thousands).
** | The rate reported is the 7-day effective yield as of March 31, 2016. |
† | 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 March 31, 2016, 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 | $ | 1,039,128 | $ | — | $ | — | $ | 1,039,128 | ||||||||
Rights | — | 91 | — | 91 | ||||||||||||
U.S. Treasury Obligation | — | 1,683 | — | 1,683 | ||||||||||||
Cash Equivalent | 52,325 | — | — | 52,325 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,091,453 | $ | 1,774 | $ | — | $ | 1,093,227 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 727 | $ | — | $ | — | $ | 727 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 727 | $ | — | $ | — | $ | 727 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation on the instrument. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 27 |
SCHEDULE OF INVESTMENTS (Unaudited)
Real Estate Fund
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK†† — 97.3% | ||||||||
Financials — 97.3% | ||||||||
Alexandria Real Estate Equities‡ | 31,300 | $ | 2,845 | |||||
American Campus Communities‡ | 5,700 | 268 | ||||||
American Homes 4 Rent, Cl A‡ | 17,310 | 275 | ||||||
Apartment Investment & Management, Cl A‡ | 114,366 | 4,783 | ||||||
AvalonBay Communities‡ | 42,366 | 8,058 | ||||||
Boston Properties‡ | 45,260 | 5,752 | ||||||
Brandywine Realty Trust‡ | 27,540 | 386 | ||||||
Brixmor Property Group‡ | 68,400 | 1,752 | ||||||
Camden Property Trust‡ | 34,175 | 2,874 | ||||||
Care Capital Properties‡ | 27,130 | 728 | ||||||
Chesapeake Lodging Trust‡ | 53,030 | 1,403 | ||||||
Columbia Property Trust‡ | 57,300 | 1,260 | ||||||
Corporate Office Properties Trust‡ | 20,350 | 534 | ||||||
CubeSmart‡ | 95,870 | 3,192 | ||||||
CyrusOne‡ | 43,560 | 1,989 | ||||||
DCT Industrial Trust‡ | 24,300 | 959 | ||||||
DDR‡ | 107,250 | 1,908 | ||||||
Digital Realty Trust, Cl A‡ | 20,530 | 1,817 | ||||||
Douglas Emmett‡ | 105,045 | 3,163 | ||||||
Duke Realty‡ | 138,655 | 3,125 | ||||||
DuPont Fabros Technology‡ | 9,290 | 377 | ||||||
Education Realty Trust‡ | 25,000 | 1,040 | ||||||
Empire State Realty Trust, Cl A‡ | 106,230 | 1,862 | ||||||
Equinix‡ | 11,022 | 3,645 | ||||||
Equity Commonwealth *‡ | 20,180 | 569 | ||||||
Equity LifeStyle Properties‡ | 12,050 | 876 | ||||||
Equity One, Cl A‡ | 65,800 | 1,886 | ||||||
Equity Residential‡ | 97,435 | 7,311 | ||||||
Essex Property Trust‡ | 19,984 | 4,673 | ||||||
Extra Space Storage‡ | 9,000 | 841 | ||||||
Federal Realty Investment Trust‡ | 6,400 | 999 | ||||||
First Industrial Realty Trust‡ | 39,320 | 894 | ||||||
General Growth Properties‡ | 147,959 | 4,399 | ||||||
HCP‡ | 150,450 | 4,902 | ||||||
Healthcare Trust of America, Cl A‡ | 31,690 | 932 | ||||||
Highwoods Properties‡ | 39,780 | 1,902 | ||||||
Hospitality Properties Trust‡ | 13,740 | 365 | ||||||
Host Hotels & Resorts‡ | 359,044 | 5,996 | ||||||
Hudson Pacific Properties‡ | 103,060 | 2,980 | ||||||
Kilroy Realty‡ | 30,570 | 1,891 | ||||||
Kimco Realty‡ | 108,335 | 3,118 | ||||||
Kite Realty Group Trust‡ | 20,750 | 575 | ||||||
LaSalle Hotel Properties‡ | 35,125 | 889 | ||||||
Liberty Property Trust‡ | 109,955 | 3,679 | ||||||
Macerich‡ | 58,839 | 4,662 |
Description | Shares | Market Value ($ Thousands) | ||||||
National Retail Properties‡ | 12,780 | $ | 590 | |||||
Paramount Group‡ | 50,425 | 804 | ||||||
Pebblebrook Hotel Trust‡ | 33,775 | 982 | ||||||
Physicians Realty Trust‡ | 8,130 | 151 | ||||||
Piedmont Office Realty Trust, Cl A‡ | 46,675 | 948 | ||||||
Post Properties‡ | 11,270 | 673 | ||||||
ProLogis‡ | 160,577 | 7,094 | ||||||
PS Business Parks‡ | 6,880 | 692 | ||||||
Public Storage‡ | 44,116 | 12,169 | ||||||
QTS Realty Trust, Cl A‡ | 16,490 | 781 | ||||||
Ramco-Gershenson Properties‡ | 27,490 | 496 | ||||||
Regency Centers‡ | 37,580 | 2,813 | ||||||
Retail Opportunity Investments‡ | 50,875 | 1,024 | ||||||
Retail Properties of America, Cl A‡ | 71,275 | 1,130 | ||||||
Senior Housing Properties Trust‡ | 129,850 | 2,323 | ||||||
Simon Property Group‡ | 73,678 | 15,302 | ||||||
SL Green Realty‡ | 21,185 | 2,052 | ||||||
Sovran Self Storage‡ | 8,200 | 967 | ||||||
STORE Capital‡ | 48,400 | 1,253 | ||||||
Sunstone Hotel Investors‡ | 71,907 | 1,007 | ||||||
Taubman Centers‡ | 30,500 | 2,173 | ||||||
UDR‡ | 43,175 | 1,664 | ||||||
Urban Edge Properties‡ | 46,840 | 1,210 | ||||||
Ventas‡ | 73,190 | 4,608 | ||||||
Vornado Realty Trust‡ | 51,790 | 4,891 | ||||||
Washington‡ | 45,150 | 1,319 | ||||||
Weingarten Realty Investors‡ | 54,130 | 2,031 | ||||||
Welltower‡ | 147,505 | 10,228 | ||||||
|
| |||||||
Total Common Stock |
| 189,709 | ||||||
|
| |||||||
CASH EQUIVALENT — 2.7% |
| |||||||
SEI Daily Income Trust, | 5,244,907 | 5,245 | ||||||
|
| |||||||
Total Cash Equivalent | 5,245 | |||||||
|
| |||||||
Total Investments — 100.0% | $ | 194,954 | ||||||
|
|
Percentages are based on a Net Assets of $194,926 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
†† | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
‡ | Real Estate Investment Trust. |
Cl — Class
28 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
As of March 31, 2016, all of the Fund’s investments are Level 1 in accordance with the authoritative guidance of fair value measurements and disclosure under U.S. generally accepted accounting principles.
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 29 |
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 34.1% |
| |||||||
Consumer Discretionary — 5.3% |
| |||||||
AutoZone | ||||||||
1.300%, 01/13/2017 | $ | 500 | $ | 502 | ||||
CCO Holdings LLC | ||||||||
5.250%, 09/30/2022 | 250 | 257 | ||||||
CCO Safari II | ||||||||
4.908%, 07/23/2025 (A) | 165 | 174 | ||||||
CSC Holdings | ||||||||
8.625%, 02/15/2019 | 875 | 962 | ||||||
Daimler Finance North America LLC | ||||||||
1.650%, 05/18/2018 (A) | 300 | 300 | ||||||
1.375%, 08/01/2017 (A) | 535 | 536 | ||||||
Dollar Tree | ||||||||
5.750%, 03/01/2023 (A) | 125 | 132 | ||||||
ERAC USA Finance LLC | ||||||||
1.400%, 04/15/2016 (A) | 115 | 115 | ||||||
Ford Motor Credit LLC | ||||||||
1.724%, 12/06/2017 | 350 | 348 | ||||||
1.500%, 03/12/2019 (B) | 400 | 390 | ||||||
General Motors Financial | ||||||||
2.400%, 04/10/2018 | 750 | 750 | ||||||
Hyundai Capital America MTN | ||||||||
2.000%, 03/19/2018 (A) | 235 | 237 | ||||||
NBCUniversal Enterprise | ||||||||
1.310%, 04/15/2018 (A) (B) | 550 | 549 | ||||||
Nissan Motor Acceptance MTN | ||||||||
1.180%, 03/03/2017 (A) (B) | 310 | 310 | ||||||
President and Fellows of Harvard College | ||||||||
6.300%, 10/01/2037 | 380 | 380 | ||||||
Scripps Networks Interactive | ||||||||
2.700%, 12/15/2016 | 650 | 656 | ||||||
Sinclair Television Group | ||||||||
5.625%, 08/01/2024 (A) | 500 | 503 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sirius XM Radio | ||||||||
5.875%, 10/01/2020 (A) | $ | 700 | $ | 731 | ||||
5.375%, 04/15/2025 (A) | 100 | 102 | ||||||
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 | 469 | ||||||
Tribune Media | ||||||||
5.875%, 07/15/2022 (A) | 185 | 181 | ||||||
Volkswagen Group of America Finance | ||||||||
1.250%, 05/23/2017 (A) | 300 | 298 | ||||||
1.088%, 05/22/2018 (A) (B) | 300 | 292 | ||||||
1.058%, 11/20/2017 (A) (B) | 800 | 785 | ||||||
Whirlpool | ||||||||
1.350%, 03/01/2017 | 440 | 440 | ||||||
|
| |||||||
10,994 | ||||||||
|
| |||||||
Consumer Staples — 1.8% | ||||||||
Anheuser-Busch InBev Finance | ||||||||
1.900%, 02/01/2019 | 320 | 325 | ||||||
1.016%, 02/01/2019 (B) | 650 | 646 | ||||||
CVS Health | ||||||||
1.900%, 07/20/2018 | 350 | 355 | ||||||
1.200%, 12/05/2016 | 330 | 331 | ||||||
Elizabeth Arden | ||||||||
7.375%, 03/15/2021 | 189 | 121 | ||||||
JM Smucker | ||||||||
1.750%, 03/15/2018 | 180 | 181 | ||||||
Kroger | ||||||||
2.000%, 01/15/2019 | 220 | 223 | ||||||
Mondelez International | ||||||||
1.150%, 02/01/2019 (B) | 450 | 443 | ||||||
Reynolds American | ||||||||
2.300%, 06/12/2018 | 445 | 454 | ||||||
SABMiller Holdings | ||||||||
1.306%, 08/01/2018 (A) (B) | 500 | 497 | ||||||
Spectrum Brands | ||||||||
5.750%, 07/15/2025 | 99 | 105 | ||||||
|
| |||||||
3,681 | ||||||||
|
| |||||||
Energy — 3.3% | ||||||||
Atwood Oceanics | ||||||||
6.500%, 02/01/2020 | 700 | 332 | ||||||
Blue Racer Midstream | ||||||||
6.125%, 11/15/2022 (A) | 107 | 89 | ||||||
BP Capital Markets PLC | ||||||||
1.280%, 09/26/2018 (B) | 700 | 688 | ||||||
1.043%, 02/13/2018 (B) | 400 | 394 | ||||||
ConocoPhillips | ||||||||
1.500%, 05/15/2018 | 395 | 389 | ||||||
Devon Energy | ||||||||
1.200%, 12/15/2016 (B) | 600 | 588 |
30 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Enbridge | ||||||||
1.130%, 06/02/2017 (B) | $ | 675 | $ | 647 | ||||
Energy Transfer Partners | ||||||||
2.500%, 06/15/2018 | 350 | 339 | ||||||
Exxon Mobil | ||||||||
1.439%, 03/01/2018 | 400 | 403 | ||||||
Genesis Energy | ||||||||
6.750%, 08/01/2022 | 309 | 286 | ||||||
6.000%, 05/15/2023 | 95 | 83 | ||||||
Gibson Energy | ||||||||
6.750%, 07/15/2021 (A) | 130 | 120 | ||||||
Halcon Resources | ||||||||
8.625%, 02/01/2020 (A) | 120 | 85 | ||||||
Hess | ||||||||
1.300%, 06/15/2017 | 365 | 361 | ||||||
Kinder Morgan | ||||||||
2.000%, 12/01/2017 | 270 | 267 | ||||||
Noble Energy | ||||||||
8.250%, 03/01/2019 | 90 | 99 | ||||||
Regency Energy Partners | ||||||||
5.000%, 10/01/2022 | 200 | 188 | ||||||
Schlumberger Holdings | ||||||||
1.900%, 12/21/2017 (A) | 550 | 549 | ||||||
Statoil | ||||||||
1.090%, 11/08/2018 (B) | 300 | 296 | ||||||
Suncor Energy | ||||||||
6.100%, 06/01/2018 | 110 | 118 | ||||||
Total Capital International | ||||||||
1.200%, 08/10/2018 (B) | 450 | 446 | ||||||
|
| |||||||
6,767 | ||||||||
|
| |||||||
Financials — 15.7% | ||||||||
Abbey National Treasury Services MTN | ||||||||
1.475%, 08/24/2018 (B) | 600 | 595 | ||||||
1.040%, 09/29/2017 (B) | 350 | 348 | ||||||
American Honda Finance MTN | ||||||||
1.700%, 02/22/2019 | 500 | 504 | ||||||
Australia & New Zealand Banking Group | ||||||||
1.180%, 05/15/2018 (B) | 300 | 299 | ||||||
0.997%, 01/10/2017 (A) (B) | 300 | 300 | ||||||
Bank of America | ||||||||
5.650%, 05/01/2018 | 110 | 118 | ||||||
2.000%, 01/11/2018 | 190 | 191 | ||||||
1.700%, 08/25/2017 | 500 | 501 | ||||||
1.610%, 09/15/2036 (B) | 700 | 604 | ||||||
Bank of Montreal MTN | ||||||||
1.220%, 04/09/2018 (B) | 650 | 649 | ||||||
Bank of New York Mellon MTN | ||||||||
1.080%, 03/06/2018 (B) | 650 | 650 | ||||||
Bank of Nova Scotia | ||||||||
1.300%, 07/21/2017 | 400 | 401 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bank of Tokyo-Mitsubishi UFJ | ||||||||
1.450%, 09/08/2017 (A) | $ | 400 | $ | 398 | ||||
0.944%, 09/08/2017 (A) (B) | 400 | 398 | ||||||
Barclays Bank PLC MTN | ||||||||
6.050%, 12/04/2017 (A) | 600 | 633 | ||||||
BB&T MTN | ||||||||
1.490%, 06/15/2018 (B) | 535 | 535 | ||||||
1.290%, 02/01/2019 (B) | 325 | 321 | ||||||
Berkshire Hathaway Finance | ||||||||
1.450%, 03/07/2018 | 500 | 504 | ||||||
BPCE MTN | ||||||||
1.470%, 02/10/2017 (B) | 700 | 702 | ||||||
Capital One Bank USA | ||||||||
1.300%, 06/05/2017 | 550 | 549 | ||||||
Citigroup | ||||||||
1.820%, 08/25/2036 (B) | 1,500 | 970 | ||||||
Citizens Bank MTN | ||||||||
1.600%, 12/04/2017 | 800 | 796 | ||||||
Commonwealth Bank of Australia MTN | ||||||||
1.040%, 03/12/2018 (A) (B) | 650 | 646 | ||||||
Credit Agricole MTN | ||||||||
1.630%, 06/10/2020 (A) (B) | 500 | 494 | ||||||
Credit Suisse NY | ||||||||
1.700%, 04/27/2018 | 500 | 498 | ||||||
1.308%, 01/29/2018 (B) | 500 | 497 | ||||||
Deutsche Bank | ||||||||
1.310%, 02/13/2018 (B) | 475 | 469 | ||||||
Equinix | ||||||||
5.750%, 01/01/2025‡ | 400 | 420 | ||||||
Fifth Third Bank MTN | ||||||||
1.530%, 08/20/2018 (B) | 650 | 649 | ||||||
Goldman Sachs Group | ||||||||
1.810%, 04/30/2018 (B) | 125 | 125 | ||||||
1.790%, 04/23/2020 (B) | 500 | 497 | ||||||
1.720%, 11/15/2018 (B) | 400 | 400 | ||||||
HSBC Bank PLC | ||||||||
1.258%, 05/15/2018 (A) (B) | 600 | 597 | ||||||
Huntington National Bank | ||||||||
1.044%, 04/24/2017 (B) | 350 | 349 | ||||||
ING Bank | ||||||||
1.320%, 10/01/2019 (A) (B) | 400 | 394 | ||||||
Jackson National Life Global Funding | ||||||||
1.875%, 10/15/2018 (A) | 400 | 401 | ||||||
JPMorgan Chase | ||||||||
1.251%, 01/28/2019 (B) | 300 | 299 | ||||||
JPMorgan Chase Capital XXI | ||||||||
2.230%, 02/02/2037 (B) | 1,300 | 912 | ||||||
KeyBank | ||||||||
2.350%, 03/08/2019 | 250 | 252 | ||||||
1.160%, 06/01/2018 (B) | 600 | 597 | ||||||
Lloyds Bank | ||||||||
1.170%, 03/16/2018 (B) | 600 | 596 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 31 |
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Macquarie Group | ||||||||
1.620%, 01/31/2017 (A) (B) | $ | 400 | $ | 400 | ||||
Manufacturers & Traders Trust | ||||||||
1.400%, 07/25/2017 | 475 | 474 | ||||||
0.993%, 01/30/2017 (B) | 400 | 399 | ||||||
Metropolitan Life Global Funding I | ||||||||
1.500%, 01/10/2018 (A) | 220 | 220 | ||||||
Mizuho Bank | ||||||||
1.280%, 03/26/2018 (A) (B) | 550 | 547 | ||||||
Morgan Stanley | ||||||||
5.950%, 12/28/2017 | 140 | 150 | ||||||
1.469%, 01/24/2019 (B) | 450 | 447 | ||||||
MSCI | ||||||||
5.750%, 08/15/2025 (A) | 130 | 137 | ||||||
5.250%, 11/15/2024 (A) | 160 | 165 | ||||||
Prudential Financial MTN | ||||||||
1.398%, 08/15/2018 (B) | 500 | 499 | ||||||
RHP Hotel Properties | ||||||||
5.000%, 04/15/2023‡ | 105 | 107 | ||||||
Royal Bank of Canada MTN | ||||||||
1.335%, 12/10/2018 (B) | 400 | 399 | ||||||
Santander Bank | ||||||||
1.551%, 01/12/2018 (B) | 800 | 793 | ||||||
Societe Generale MTN | ||||||||
1.690%, 10/01/2018 (B) | 550 | 551 | ||||||
Standard Chartered MTN | ||||||||
1.270%, 04/17/2018 (A) (B) | 800 | 792 | ||||||
State Street Capital Trust IV | ||||||||
2.240%, 06/15/2037 (B) | 375 | 274 | ||||||
SunTrust Bank | ||||||||
1.058%, 02/15/2017 (B) | 650 | 648 | ||||||
Synchrony Financial | ||||||||
1.910%, 02/03/2020 (B) | 750 | 725 | ||||||
1.875%, 08/15/2017 | 325 | 324 | ||||||
UBS MTN | ||||||||
1.258%, 08/14/2019 (B) | 700 | 694 | ||||||
Unitrin | ||||||||
6.000%, 05/15/2017 | 670 | 693 | ||||||
US Bancorp MTN | ||||||||
1.019%, 04/25/2019 (B) | 550 | 546 | ||||||
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 | 279 | ||||||
Wells Fargo MTN | ||||||||
1.298%, 01/30/2020 (B) | 500 | 495 | ||||||
Wells Fargo Bank MTN | ||||||||
1.650%, 01/22/2018 | 350 | 353 | ||||||
Westpac Banking | ||||||||
1.240%, 01/17/2019 (B) | 400 | 397 | ||||||
1.200%, 05/19/2017 | 300 | 299 | ||||||
|
| |||||||
32,495 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Health Care — 3.7% | ||||||||
AbbVie | ||||||||
1.800%, 05/14/2018 | $ | 525 | $ | 528 | ||||
Actavis Funding SCS | ||||||||
1.712%, 03/12/2018 (B) | 850 | 855 | ||||||
1.300%, 06/15/2017 | 550 | 548 | ||||||
Amgen | ||||||||
2.125%, 05/15/2017 | 600 | 607 | ||||||
Baxalta | ||||||||
1.430%, 06/22/2018 (A) (B) | 500 | 490 | ||||||
Bayer US Finance | ||||||||
0.890%, 10/06/2017 (A) (B) | 550 | 549 | ||||||
Becton Dickinson | ||||||||
1.800%, 12/15/2017 | 625 | 628 | ||||||
Celgene | ||||||||
2.125%, 08/15/2018 | 275 | 278 | ||||||
DaVita HealthCare Partners | ||||||||
5.000%, 05/01/2025 | 310 | 307 | ||||||
ExamWorks Group | ||||||||
5.625%, 04/15/2023 | 105 | 107 | ||||||
Mallinckrodt International Finance | ||||||||
4.875%, 04/15/2020 (A) | 71 | 66 | ||||||
McKesson | ||||||||
1.292%, 03/10/2017 | 370 | 371 | ||||||
Medtronic | ||||||||
1.500%, 03/15/2018 | 340 | 343 | ||||||
Mylan | ||||||||
1.350%, 11/29/2016 | 450 | 447 | ||||||
Providence Health & Services Obligated Group | ||||||||
1.410%, 10/01/2016 (B) | 800 | 800 | ||||||
Thermo Fisher Scientific | ||||||||
1.300%, 02/01/2017 | 145 | 145 | ||||||
Zimmer Biomet Holdings | ||||||||
1.450%, 04/01/2017 | 625 | 625 | ||||||
|
| |||||||
7,694 | ||||||||
|
| |||||||
Industrials — 1.5% | ||||||||
Air Lease | ||||||||
2.125%, 01/15/2018 | 310 | 307 | ||||||
Catholic Health Initiatives | ||||||||
2.600%, 08/01/2018 | 305 | 311 | ||||||
Clean Harbors | ||||||||
5.250%, 08/01/2020 | 117 | 120 | ||||||
GATX | ||||||||
1.250%, 03/04/2017 | 245 | 243 | ||||||
Hutchison Whampoa International 14 | ||||||||
1.625%, 10/31/2017 (A) | 500 | 500 | ||||||
ILFC E-Capital Trust I | ||||||||
5.230%, 12/21/2065 (A) (B) | 500 | 405 |
32 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nielsen Finance | ||||||||
5.000%, 04/15/2022 (A) | $ | 700 | $ | 717 | ||||
PACCAR Financial MTN | ||||||||
1.100%, 06/06/2017 | 360 | 361 | ||||||
Sensata Technologies | ||||||||
5.000%, 10/01/2025 (A) | 186 | 187 | ||||||
|
| |||||||
3,151 | ||||||||
|
| |||||||
Information Technology — 0.9% | ||||||||
Bankrate | ||||||||
6.125%, 08/15/2018 (A) | 300 | 300 | ||||||
eBay | ||||||||
2.500%, 03/09/2018 | 300 | 305 | ||||||
Fidelity National Information Services | ||||||||
2.850%, 10/15/2018 | 250 | 254 | ||||||
1.450%, 06/05/2017 | 210 | 208 | ||||||
Hewlett Packard Enterprise | ||||||||
2.450%, 10/05/2017 (A) | 650 | 655 | ||||||
TSMC Global | ||||||||
0.950%, 04/03/2016 (A) | 250 | 250 | ||||||
|
| |||||||
1,972 | ||||||||
|
| |||||||
Materials — 0.6% | ||||||||
Ball | ||||||||
5.250%, 07/01/2025 | 123 | 129 | ||||||
Boart Longyear Management Properties | ||||||||
10.000%, 10/01/2018 (A) | 350 | 245 | ||||||
Owens-Brockway Glass Container | ||||||||
6.375%, 08/15/2025 (A) | 140 | 147 | ||||||
5.875%, 08/15/2023 (A) | 105 | 110 | ||||||
Rio Tinto Finance USA PLC | ||||||||
1.480%, 06/17/2016 (B) | 625 | 625 | ||||||
|
| |||||||
1,256 | ||||||||
|
| |||||||
Telecommunication Services — 0.7% |
| |||||||
AT&T | ||||||||
1.559%, 06/30/2020 (B) | 550 | 544 | ||||||
British Telecommunications PLC | ||||||||
1.250%, 02/14/2017 | 295 | 295 | ||||||
Verizon Communications | ||||||||
2.330%, 09/14/2018 (B) | 515 | 528 | ||||||
|
| |||||||
1,367 | ||||||||
|
| |||||||
Utilities — 0.6% | ||||||||
Dominion Gas Holdings | ||||||||
1.050%, 11/01/2016 | 600 | 600 | ||||||
Exelon | ||||||||
1.550%, 06/09/2017 | 180 | 180 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Southern | ||||||||
1.300%, 08/15/2017 | $ | 390 | $ | 389 | ||||
Talen Energy Supply | ||||||||
4.625%, 07/15/2019 (A) | 210 | 182 | ||||||
|
| |||||||
1,351 | ||||||||
|
| |||||||
Total Corporate Obligations | 70,728 | |||||||
|
| |||||||
LOAN PARTICIPATIONS — 28.8% |
| |||||||
Acadia Healthcare Company, 1st Lien Term Loan | ||||||||
4.500%, 02/16/2023 | 200 | 200 | ||||||
4.250%, 02/11/2022 | 198 | 198 | ||||||
Acosta | ||||||||
4.250%, 09/24/2021 | 304 | 296 | ||||||
Affinion Group Holdings | ||||||||
6.750%, 10/08/2016 | 1 | 1 | ||||||
Affinion Group, Term Loan B | ||||||||
6.750%, 04/30/2018 | 352 | 312 | ||||||
Air Medical | ||||||||
4.250%, 04/28/2022 | 824 | 803 | ||||||
Alere | ||||||||
4.250%, 06/20/2022 | 695 | 690 | ||||||
Allison Transmission | ||||||||
3.500%, 08/23/2019 | 611 | 610 | ||||||
Amber Holdings Cov-Lite | ||||||||
6.640%, 08/13/2019 | 416 | 399 | ||||||
Amber Holdings, Draw Term Loan, Lien 1 | ||||||||
6.640%, 08/13/2018 | 28 | 27 | ||||||
AMC Entertainment, Term Loan | ||||||||
4.000%, 04/30/2020 | 497 | 498 | ||||||
American Builders & Contract Supply, Term Loan B | ||||||||
3.500%, 04/16/2020 | 547 | 546 | ||||||
American Renal Holdings, | ||||||||
4.510%, 08/20/2019 | 524 | 523 | ||||||
American Tire Distributors, | ||||||||
5.280%, 09/01/2021 | 248 | 247 | ||||||
Amsurg Cov-Lite, Term Loan | ||||||||
3.500%, 07/16/2021 | 298 | 297 | ||||||
Applied Systems, 1st Lien | ||||||||
4.250%, 01/25/2021 | 671 | 664 | ||||||
Aramark, 1st Lien | ||||||||
3.250%, 02/24/2021 (B) | 685 | 682 | ||||||
Aramark, 1st Lien Term Loan | ||||||||
0.290%, 07/26/2016 | 4 | 4 | ||||||
Ardagh Holdings USA, 1st Lien | ||||||||
4.000%, 12/17/2019 | 641 | 640 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 33 |
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Aricent Technologies, 1st Lien | ||||||||
5.500%, 04/14/2021 | $ | 451 | $ | 396 | ||||
Asurion Cov-Lite 2nd Lien Term Loan | ||||||||
9.100%, 03/03/2021 | 680 | 635 | ||||||
Asurion LLC | ||||||||
5.000%, 05/24/2019 | 163 | 161 | ||||||
Asurion, LLC, Incremental Term Loan B4 | ||||||||
5.110%, 07/29/2022 | 197 | 193 | ||||||
Auris Luxembourg II, | ||||||||
4.250%, 01/17/2022 | 323 | 322 | ||||||
Avago Technologies Cayman, | ||||||||
4.250%, 02/01/2023 (B) | 821 | 816 | ||||||
Avago, Cov-Lite, 1st Lien Delayed Draw Term Loan B1 | ||||||||
4.250%, 02/01/2023 | 179 | 179 | ||||||
B&G Foods | ||||||||
3.750%, 11/02/2022 | 107 | 107 | ||||||
BE Aerospace | ||||||||
4.000%, 11/19/2021 | 136 | 136 | ||||||
BE Aerospace, 1st Lien Term Loan | ||||||||
4.000%, 11/19/2021 | 119 | 120 | ||||||
Beacon Roofing, 1st Lien | ||||||||
4.000%, 09/23/2022 | 250 | 249 | ||||||
Berry Plastics, 1st Lien | ||||||||
4.000%, 09/16/2022 | 278 | 278 | ||||||
Black Knight | ||||||||
3.750%, 05/09/2022 | 53 | 53 | ||||||
Booz Allen Hamilton, 1st Lien Term Loan B1 | ||||||||
3.750%, 07/31/2019 | 246 | 247 | ||||||
Burger King Term Loan B | ||||||||
3.750%, 12/10/2021 | 66 | 66 | ||||||
Calpine B5 Cov-Lite Term Loan | ||||||||
3.500%, 05/20/2022 | 662 | 652 | ||||||
Catalent Pharma Solutions, | ||||||||
4.250%, 05/20/2021 | 493 | 492 | ||||||
CCM Merger | ||||||||
4.500%, 08/06/2021 | 365 | 364 | ||||||
CDW, Term Loan | ||||||||
3.250%, 04/29/2020 | 586 | 584 | ||||||
Ceramtec Acquisition | ||||||||
4.250%, 08/30/2020 | 80 | 79 | ||||||
CeramTec GmbH, Term Loan B | ||||||||
4.250%, 08/30/2020 | 194 | 193 | ||||||
Ceridian, Cov-Lite, 1st Lien Term Loan | ||||||||
4.500%, 09/15/2020 | 100 | 97 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Charter Communications Operating LLC, Term Loan E | ||||||||
3.000%, 04/10/2020 | $ | 312 | $ | 310 | ||||
Chief Exploration | ||||||||
7.500%, 05/16/2021 | 460 | 269 | ||||||
ClubCorp Club Operations, 1st Lien Term Loan | ||||||||
4.250%, 07/24/2020 | 204 | 203 | ||||||
CommScope 5/15 Incremental Cov-Lite Term Loan B | ||||||||
3.750%, 12/29/2022 | 199 | 199 | ||||||
CommScope Cov-Lite | ||||||||
3.750%, 05/29/2022 | 1 | 1 | ||||||
Communications Sales and Leasing | ||||||||
5.000%, 10/14/2022 | 90 | 87 | ||||||
Constantia Flexibles, 1st Lien | ||||||||
4.750%, 04/30/2022 | 32 | 32 | ||||||
Constantinople Acquisition | ||||||||
4.750%, 04/30/2022 | 166 | 165 | ||||||
ConvaTec, Dollar Term Loan | ||||||||
4.250%, 12/30/2016 | 152 | 151 | ||||||
Coty, Inc. | ||||||||
3.750%, 10/27/2022 | 205 | 204 | ||||||
3.750%, 01/26/2023 | 410 | 409 | ||||||
Cumulus Media Holdings, 1st Lien Term Loan B | ||||||||
0.000%, 12/23/2020 | 664 | 447 | ||||||
DaVita HealthCare Partners, Term Loan B | ||||||||
3.500%, 06/18/2021 | 398 | 398 | ||||||
Dex Media West LLC, New Term Loan | ||||||||
8.000%, 12/30/2016 | 370 | 144 | ||||||
Dollar Tree, Term Loan B-1 | ||||||||
3.500%, 07/06/2022 | 429 | 430 | ||||||
EFS Cogen Holdings, 1st Lien Term Loan | ||||||||
3.750%, 12/17/2020 | 185 | 182 | ||||||
Emerald Performance Materials, 1st Lien Initial Term Loan | ||||||||
4.500%, 07/30/2021 | 300 | 294 | ||||||
Emergency Medical Services Cov-Lite, Term Loan | ||||||||
4.250%, 05/25/2018 | 21 | 21 | ||||||
Emergency Medical Services, Initial Term Loan | ||||||||
4.250%, 04/27/2018 | 282 | 281 | ||||||
4.250%, 05/25/2018 | 138 | 138 | ||||||
EMI Music Publishing, Ltd., Term Loan | ||||||||
4.000%, 08/19/2022 | 425 | 424 | ||||||
Endurance International, 1st Lien Term Loan | ||||||||
6.230%, 11/09/2019 | 353 | 336 |
34 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Energy & Exploration Partners, 1st Lien Term Loan | ||||||||
11.000%, 01/22/2019 | $ | 39 | $ | 38 | ||||
Energy & Exploration Partners, 1st Lien Term Loan B | ||||||||
7.750%, 01/22/2019 | 627 | 67 | ||||||
Energy Transfer Equity, 1st Lien | ||||||||
3.250%, 12/02/2019 | 250 | 222 | ||||||
Entegris, 1st Lien Term Loan B | ||||||||
3.500%, 04/30/2021 | 586 | 584 | ||||||
Environmental Resources | ||||||||
5.000%, 05/07/2021 | 46 | 40 | ||||||
Epicor | ||||||||
4.750%, 06/01/2022 | 238 | 225 | ||||||
Equinox Fitness Clubs, Cov-Lite, 1st Lien Term Loan B | ||||||||
5.000%, 01/31/2020 | 729 | 725 | ||||||
Evergreen Skillsoft, 1st Lien Initial Term Loan | ||||||||
5.750%, 04/28/2021 | 726 | 579 | ||||||
First Data, 1st Lien Term Loan | ||||||||
4.182%, 07/08/2022 | 100 | 99 | ||||||
3.932%, 03/23/2018 | 504 | 503 | ||||||
Four Seasons, Term Loan, 1st Lien | ||||||||
3.500%, 06/27/2020 | 643 | 637 | ||||||
Generac Power Systems, Term Loan B | ||||||||
3.530%, 06/22/2018 | 599 | 593 | ||||||
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 | 888 | 871 | ||||||
Harbor Freight Tools | ||||||||
4.750%, 07/26/2019 | 220 | 220 | ||||||
Headwaters, 1st Lien Term Loan B | ||||||||
4.500%, 03/11/2022 | 379 | 380 | ||||||
Hill-Rom Holdings, Inc., Term Loan, 1st Lien | ||||||||
3.500%, 09/08/2022 | 64 | 64 | ||||||
Hilton Worldwide Holdings, 1st Lien Term Loan B | ||||||||
3.500%, 10/26/2020 | 182 | 182 | ||||||
3.500%, 10/25/2020 (B) | 207 | 207 | ||||||
Houghton Mifflin Cov-Lite Term Loan B | ||||||||
4.000%, 05/28/2021 | 348 | 340 | ||||||
Hub International, 1st Lien Term Loan | ||||||||
4.000%, 10/02/2020 | 1,079 | 1,050 | ||||||
Hyperion Insurance Group | �� | |||||||
5.500%, 04/29/2022 | 268 | 255 | ||||||
IMS Health | ||||||||
3.500%, 03/17/2021 | 571 | 569 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ina Beteiligungs, 1st Lien Term Loan B | ||||||||
4.250%, 05/15/2020 | $ | 144 | $ | 144 | ||||
Ineos Holdings Limited Cov-Lite | ||||||||
3.750%, 04/27/2018 | 597 | 590 | ||||||
Ineos US Finance, 1st Lien | ||||||||
4.250%, 03/11/2022 | 60 | 59 | ||||||
Informatica | ||||||||
4.500%, 06/03/2022 | 269 | 264 | ||||||
Intelsat Jackson Holdings | ||||||||
3.750%, 06/30/2019 (B) | 288 | 268 | ||||||
ION Trading Technologies, Term Loan, Tranche B-1 | ||||||||
4.250%, 06/10/2021 | 720 | 707 | ||||||
Jeld-Wen | ||||||||
4.750%, 07/01/2022 | 499 | 497 | ||||||
Jeld-Wen, Term Loan B, 1st Lien | ||||||||
5.250%, 09/24/2021 | 206 | 206 | ||||||
JHT Holding, 2nd Lien Term Loan | ||||||||
12.500%, 04/30/2016 (D) (E) | 53 | 18 | ||||||
Kenan Advantage, Cov-Lie, Initial Term Loan, 1st Lien | ||||||||
4.000%, 07/29/2022 | 137 | 135 | ||||||
Kenan Advantage, Delayed Draw Term Loan | ||||||||
1.500%, 01/23/2017 | 19 | — | ||||||
Kenan Advantage, Initial Term Loan B | ||||||||
4.000%, 07/29/2022 | 44 | 43 | ||||||
Klockner Pentaplast of America | ||||||||
5.000%, 04/22/2020 | 76 | 76 | ||||||
5.000%, 04/28/2020 | 32 | 32 | ||||||
Kronos 2/13 Cov-Lite | ||||||||
4.500%, 10/30/2019 | 954 | 950 | ||||||
Language Line, LLC, Term Loan, 1st Lien | ||||||||
6.500%, 06/11/2021 | 610 | 607 | ||||||
Lee Enterprises, Term Loan B | ||||||||
7.250%, 03/31/2019 | 210 | 208 | ||||||
Leslie’s Poolmart Cov-Lite, 1st Lien | ||||||||
4.250%, 10/16/2019 | 581 | 575 | ||||||
Level 3 Communications | ||||||||
4.000%, 08/01/2019 | 750 | 751 | ||||||
Life Time Fitness, Inc., Closing Date Term Loan | ||||||||
4.250%, 06/10/2022 | 356 | 351 | ||||||
Light Tower Fiber LLC, Term Loan | ||||||||
4.000%, 04/13/2020 | 195 | 193 | ||||||
Mallinckrodt International Finance | ||||||||
3.250%, 03/19/2021 | 299 | 288 | ||||||
Mattress Firm Holdings Term Loan | ||||||||
6.250%, 10/20/2021 | 120 | 119 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 35 |
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Media General, Term Loan | ||||||||
4.000%, 07/31/2020 | $ | 152 | $ | 151 | ||||
MEG Energy | ||||||||
3.750%, 03/21/2020 | 622 | 500 | ||||||
MGM Resorts, Term Loan B | ||||||||
3.500%, 12/20/2019 | 389 | 388 | ||||||
Millenium Laboratories, 1st Lien Term Loan | ||||||||
0.075%, 12/21/2020 | 222 | 210 | ||||||
Mohegan Tribal Gaming Authority, 1st Lien Term Loan B | ||||||||
5.500%, 11/19/2019 | 320 | 309 | ||||||
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, Cov-Lite, 1st Lien Term Loan B2 | ||||||||
14.820%, 04/16/2020 | 174 | 88 | ||||||
NBTY 10/17 Cov-Lite, | ||||||||
3.500%, 10/01/2017 | 481 | 478 | ||||||
Neiman Marcus, Cov-Lite, 1st Lien Term Loan | ||||||||
4.250%, 10/25/2020 | 387 | 353 | ||||||
Nelson Education, 1st Lien Term Loan | ||||||||
12.000%, 10/01/2020 | 154 | 61 | ||||||
Numericable US, 1st Lien Term Loan B1 | ||||||||
4.500%, 05/21/2020 | 176 | 175 | ||||||
Numericable US, 1st Lien Term Loan B2 | ||||||||
4.500%, 05/21/2020 | 153 | 151 | ||||||
NXP B.V. (NXP Funding LLC), Tranche B Loan | ||||||||
3.750%, 12/07/2020 | 181 | 181 | ||||||
Ocwen Financial | ||||||||
5.500%, 02/15/2018 | 29 | 28 | ||||||
ON Semiconductor, Cov-Lite, 1st Lien Term Loan B | ||||||||
0.000%, 03/31/2023 (C) | 375 | 375 | ||||||
Onex York Acquisition, 1st Lien Term Loan B | ||||||||
4.750%, 10/01/2021 | 681 | 578 | ||||||
Peabody Energy, 1st Lien Term Loan B Cov-Lite | ||||||||
4.250%, 09/24/2020 | 127 | 46 | ||||||
Penn Products Terminals | ||||||||
4.750%, 04/13/2022 | 139 | 126 | ||||||
PetSmart, Inc., Cov-Lite, Term Loan B1 | ||||||||
4.250%, 03/10/2022 | 33 | 33 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
PetSmart, Inc., Tranche B-1 Loan | ||||||||
4.250%, 03/10/2022 | $ | 66 | $ | 66 | ||||
Pharmaceutical Product, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
4.250%, 08/18/2022 | 700 | 693 | ||||||
Pilot Travel Centers LLC, Refinancing Tranche B Term Loan | ||||||||
3.750%, 10/01/2021 | 731 | 733 | ||||||
Post Holdings, 1st Lien Term Loan B | ||||||||
3.750%, 06/02/2021 | 57 | 57 | ||||||
Quebecor | ||||||||
3.250%, 08/17/2020 | 117 | 115 | ||||||
Quintiles Transnational | ||||||||
3.250%, 05/06/2022 | 298 | 298 | ||||||
Radnet | ||||||||
5.750%, 10/10/2018 | 10 | 10 | ||||||
4.250%, 10/10/2018 | 705 | 689 | ||||||
Realogy, Extended Term Loan | ||||||||
0.150%, 10/10/2016 | 28 | 28 | ||||||
Redtop Acquisitions, 1st Lien | ||||||||
4.500%, 12/03/2020 | 98 | 97 | ||||||
Regal Cinemas | ||||||||
3.750%, 04/01/2022 | 99 | 100 | ||||||
Regal Cinemas, 1st Lien | ||||||||
3.750%, 04/01/2022 | 173 | 174 | ||||||
Rexnord 8/13 Cov-Lite TLB | ||||||||
4.000%, 08/21/2020 | 69 | 68 | ||||||
Rexnord LLC, Term Loan B | ||||||||
4.000%, 08/21/2020 | 221 | 217 | ||||||
Royal Adhesives & Sealants | ||||||||
4.500%, 06/20/2022 | 127 | 123 | ||||||
SBA Finance | ||||||||
3.250%, 06/10/2022 | 518 | 514 | ||||||
Seadrill Partners LLC, 1st Lien Term Loan B | ||||||||
4.000%, 02/21/2021 | 701 | 308 | ||||||
Seaworld | ||||||||
3.000%, 05/30/2020 | 146 | 141 | ||||||
Seminole Hard Rock Entertainment, Term Loan B | ||||||||
3.500%, 05/08/2020 | 494 | 488 | ||||||
Serta Simmons Holdings, Term Loan B | ||||||||
4.250%, 09/19/2019 | 567 | 566 | ||||||
Signode Industrial Group | ||||||||
3.750%, 05/01/2021 | 300 | 291 | ||||||
Sinclair Television Cov-Lite Term Loan B-1 | ||||||||
3.500%, 07/30/2021 | 199 | 199 | ||||||
Smart & Final, 1st Lien Term Loan, Cov-Lite | ||||||||
4.000%, 11/15/2019 | 412 | 409 |
36 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Solvay | ||||||||
4.750%, 12/01/2021 | $ | 1 | $ | 1 | ||||
Spectrum Brands | ||||||||
3.500%, 06/23/2022 | 439 | 440 | ||||||
Spectrum Brands, 1st Lien | ||||||||
3.500%, 06/23/2022 | 19 | 20 | ||||||
SS&C European Holdings, S.a.r.l, Term B-2 Loan | ||||||||
4.083%, 07/08/2022 | 12 | 12 | ||||||
4.000%, 07/08/2022 | 43 | 44 | ||||||
SS&C Technologies, Inc., | ||||||||
4.083%, 07/08/2022 | 31 | 32 | ||||||
4.000%, 07/08/2022 | 353 | 353 | ||||||
Starwood Property Trust, Term Loan B | ||||||||
3.500%, 04/17/2020 | 856 | 848 | ||||||
Sterigenics-Nordion Cov-Lite Term Loan B | ||||||||
4.250%, 05/16/2022 | 269 | 266 | ||||||
Surgical Care Affiliates, 1st Lien | ||||||||
4.250%, 03/11/2022 | 372 | 371 | ||||||
Syncreon Holdings, Cov-Lite, 1st Lien Term Loan | ||||||||
5.250%, 10/28/2020 | 980 | 802 | ||||||
Syniverse, 1st Lien Term Loan | ||||||||
5.000%, 04/23/2019 | 140 | 103 | ||||||
TASC, 1st Lien Term Loan | ||||||||
7.000%, 05/22/2020 | 75 | 72 | ||||||
Telesat Canada, Term Loan B | ||||||||
3.520%, 03/28/2019 (B) | 388 | 385 | ||||||
Templar Energy LLC, 2nd Lien New Term Loan | ||||||||
8.500%, 11/25/2020 | 467 | 46 | ||||||
Texas Competitive Electric Holdings Company, | ||||||||
4.683%, 10/10/2017 (F) | 154 | 44 | ||||||
Townsquare Media, 1st Lien | ||||||||
4.250%, 03/25/2022 | 185 | 183 | ||||||
TransDigm, Cov-Lite, 1st Lien, Term Loan D | ||||||||
3.750%, 06/04/2021 | 504 | 496 | ||||||
Transunion | ||||||||
3.540%, 04/09/2021 | 983 | 972 | ||||||
Tribune Media, Term Loan, 1st Lien | ||||||||
3.750%, 12/27/2020 | 439 | 437 | ||||||
True Religion Apparel, 1st Lien Term Loan | ||||||||
5.875%, 07/30/2019 | 466 | 205 | ||||||
True Religion Apparel, Term Loan, 1st Lien | ||||||||
5.875%, 07/30/2019 | 161 | 71 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. Renal Care, 1st Lien Term Loan | ||||||||
5.250%, 11/17/2022 | $ | 502 | $ | 500 | ||||
Univar | ||||||||
4.250%, 07/01/2022 | 90 | 88 | ||||||
Univar, Term Loan, 1st Lien | ||||||||
4.250%, 07/01/2022 | 90 | 89 | ||||||
Univision Communications | ||||||||
4.000%, 03/01/2020 | 837 | 828 | ||||||
Valeant Pharmaceuticals | ||||||||
3.500%, 02/13/2019 | 95 | 90 | ||||||
Valeant Pharmaceuticals International, Term Loan E | ||||||||
3.750%, 08/05/2020 | 398 | 375 | ||||||
Valeant Pharmaceuticals, 1st Lien | ||||||||
4.240%, 04/01/2022 | 330 | 311 | ||||||
Vanity LLC, 1st Lien Term Loan B | ||||||||
3.750%, 06/13/2021 | 241 | 242 | ||||||
Vantiv LLC | ||||||||
3.750%, 06/13/2021 | 3 | 3 | ||||||
Verint Systems, 1st Lien Term Loan B | ||||||||
3.500%, 09/06/2019 | 390 | 390 | ||||||
Vertafore, Term Loan, 1st Lien | ||||||||
4.250%, 11/30/2019 | 350 | 349 | ||||||
Warner Music Group, Term Loan | ||||||||
3.750%, 07/01/2020 | 491 | 483 | ||||||
Waste Industries, 1st Lien | ||||||||
4.250%, 02/20/2020 | 397 | 397 | ||||||
WaveDivision Holdings | ||||||||
4.000%, 08/09/2019 | 370 | 366 | ||||||
WaveDivision Holdings, 2nd Lien | ||||||||
4.000%, 10/15/2019 | 1 | 1 | ||||||
WCA Waste Systems, Term Loan | ||||||||
4.000%, 03/23/2018 | 240 | 239 | ||||||
WCA Waste Syterms, Term Loan | ||||||||
4.000%, 03/23/2018 | 1 | 1 | ||||||
Weight Watchers 4/13 Cov-Lite 1st Lien Term Loan B-2 | ||||||||
4.000%, 04/02/2020 | 204 | 150 | ||||||
Weight Watchers International, 1st Lien Term Loan B2 | ||||||||
3.870%, 04/02/2020 | 1 | — | ||||||
West | ||||||||
3.250%, 06/30/2018 | 288 | 287 | ||||||
Western Digital, Cov-Lite, 1st Lien Term Loan B | ||||||||
0.000%, 03/30/2023 (C) | 135 | 133 | ||||||
Wideopenwest Finance | ||||||||
4.500%, 04/01/2019 | 621 | 614 | ||||||
Wilsonart International Holdings LLC, 1st Lien | ||||||||
4.000%, 10/31/2019 | 688 | 677 | ||||||
XPO Logistics | ||||||||
5.500%, 11/01/2021 | 372 | 373 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 37 |
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ziggo, 1st Lien Term Loan B1 | ||||||||
3.601%, 01/15/2022 | $ | 15 | $ | 15 | ||||
3.500%, 01/15/2022 | 292 | 289 | ||||||
Ziggo, 1st Lien Term Loan B2 | ||||||||
3.500%, 01/15/2022 | 173 | 171 | ||||||
Ziggo, 1st Lien Term Loan B3 | ||||||||
3.601%, 01/15/2022 | 309 | 306 | ||||||
Zuffa | ||||||||
3.800%, 02/25/2020 | 199 | 197 | ||||||
|
| |||||||
Total Loan Participations | 59,742 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 13.8% |
| |||||||
Automotive — 7.5% | ||||||||
Ally Auto Receivables Trust 2014-SN1, Ser 2014-SN1, Cl A4 | ||||||||
0.950%, 06/20/2018 | 500 | 500 | ||||||
Ally Auto Receivables Trust 2015-SN1, Ser 2015-SN1, Cl A3 | ||||||||
1.210%, 12/20/2017 | 650 | 650 | ||||||
Ally Auto Receivables Trust, Ser 2014-SN1, Cl A3 | ||||||||
0.750%, 02/21/2017 | 116 | 116 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.330%, 07/10/2018 (A) | 34 | 34 | ||||||
AmeriCredit Automobile Receivables 2016-1, | ||||||||
1.520%, 06/10/2019 | 335 | 335 | ||||||
AmeriCredit Automobile Receivables Trust | ||||||||
1.260%, 04/08/2019 | 435 | 435 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.940%, 02/08/2019 | 624 | 623 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
1.260%, 11/08/2019 | 250 | 249 | ||||||
ARI Fleet Lease Trust, | ||||||||
0.731%, 01/15/2021 (A) (B) | 56 | 56 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-3, Cl A2 | ||||||||
1.720%, 01/22/2019 | 445 | 446 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-4, Cl A2 | ||||||||
1.620%, 03/20/2019 | 570 | 570 | ||||||
CarMax Auto Owner Trust, Ser 2012-3, Cl C | ||||||||
1.500%, 08/15/2018 | 115 | 115 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Carmax Auto Owner Trust, Ser 2013-2, Cl A4 | ||||||||
0.840%, 11/15/2018 | $ | 700 | $ | 697 | ||||
CarMax Auto Owner Trust, Ser 2015-4, Cl A2A | ||||||||
1.090%, 04/15/2019 | 545 | 545 | ||||||
Chesapeake Funding LLC, Ser 2013-1A, Cl A | ||||||||
0.880%, 01/07/2025 (A) (B) | 348 | 348 | ||||||
Chesapeake Funding LLC, Ser 2014-1A, Cl A | ||||||||
0.850%, 03/07/2026 (A) (B) | 336 | 336 | ||||||
Chrysler Capital Auto Receivables Trust, Ser 2014-AA, Cl A4 | ||||||||
1.310%, 05/15/2019 (A) | 95 | 95 | ||||||
CPS Auto Receivables Trust, Ser 2013-D, Cl A | ||||||||
1.540%, 07/16/2018 (A) | 58 | �� | 58 | |||||
CPS Auto Receivables Trust, Ser 2014-A, Cl A | ||||||||
1.210%, 08/15/2018 (A) | 68 | 67 | ||||||
Credit Acceptance Auto Loan Trust, Ser 2013-2A, Cl A | ||||||||
1.500%, 04/15/2021 (A) | 179 | 179 | ||||||
Credit Acceptance Auto Loan Trust, Ser 2014-1A, Cl A | ||||||||
1.550%, 10/15/2021 (A) | 345 | 345 | ||||||
Enterprise Fleet Financing, Ser 2013-2, Cl A3 | ||||||||
1.510%, 03/20/2019 (A) | 300 | 300 | ||||||
Enterprise Fleet Financing, Ser 2014-1, Cl A2 | ||||||||
0.870%, 09/20/2019 (A) | 83 | 82 | ||||||
Fifth Third Auto Trust, | ||||||||
1.420%, 03/16/2020 | 350 | 351 | ||||||
First Investors Auto Owner Trust 2014-1, Ser 2014-1A, Cl A3 | ||||||||
1.490%, 01/15/2020 (A) | 554 | 553 | ||||||
First Investors Auto Owner Trust 2016-1, Ser 2016-1A, Cl A1 | ||||||||
1.920%, 05/15/2020 (A) | 387 | 388 | ||||||
First Investors Auto Owner Trust, Ser 2013-1A, Cl A2 | ||||||||
0.900%, 10/15/2018 (A) | 3 | 3 | ||||||
First Investors Auto Owner Trust, Ser 2013-2A, Cl A2 | ||||||||
1.230%, 03/15/2019 (A) | 83 | 83 | ||||||
Ford Credit Auto Lease Trust 2015-B, Ser 2015-B, Cl B | ||||||||
1.920%, 03/15/2019 | 325 | 326 | ||||||
Ford Credit Auto Lease Trust, Ser 2014-B, Cl A4 | ||||||||
1.100%, 11/15/2017 | 580 | 580 |
38 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ford Credit Auto Owner Trust, Ser 2012-A, Cl B | ||||||||
1.880%, 08/15/2017 | $ | 347 | $ | 348 | ||||
Ford Credit Auto Owner Trust, Ser 2012-B, Cl D | ||||||||
2.930%, 10/15/2018 | 700 | 709 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2014-4, Cl A1 | ||||||||
1.400%, 08/15/2019 | 380 | 380 | ||||||
GM Financial Automobile Leasing Trust 2015-3, Ser 2015-3, Cl A2A | ||||||||
1.170%, 06/20/2018 | 650 | 649 | ||||||
M&T Bank Auto Receivables Trust, Ser 2013-1A, Cl A3 | ||||||||
1.060%, 11/15/2017 (A) | 134 | 134 | ||||||
Mercedes Benz Auto Lease Trust, Ser 2015-A, Cl A4 | ||||||||
1.210%, 10/15/2020 | 200 | 200 | ||||||
Mercedes Benz Auto Lease Trust, Ser 2015-B, Cl A3 | ||||||||
1.340%, 07/16/2018 | 490 | 491 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2015-C, Cl A2A | ||||||||
0.870%, 11/15/2018 | 365 | 364 | ||||||
Prestige Auto Receivables Trust 2016-1, Ser 2016-1A, Cl A2 | ||||||||
1.780%, 08/15/2019 (A) | 360 | 360 | ||||||
Prestige Auto Receivables Trust, Ser 2014-1A, Cl A2 | ||||||||
0.970%, 03/15/2018 (A) | 37 | 37 | ||||||
Prestige Auto Receivables Trust, Ser 2015-1, Cl A2 | ||||||||
1.090%, 02/15/2019 (A) | 147 | 147 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-3, Cl D | ||||||||
3.640%, 05/15/2018 | 545 | 551 | ||||||
Santander Drive Auto Receivables Trust, Ser 2015-5, Cl A3 | ||||||||
1.580%, 09/16/2019 | 345 | 345 | ||||||
Westlake Automobile Receivables Trust, Ser 2014-2A, Cl A2 | ||||||||
0.970%, 10/16/2017 (A) | 81 | 81 | ||||||
Westlake Automobile Receivables Trust, Ser 2015-1A, Cl A2 | ||||||||
1.170%, 03/15/2018 (A) | 91 | 91 | ||||||
Westlake Automobile Receivables Trust, Ser 2015-2A, Cl A2A | ||||||||
1.280%, 07/16/2018 (A) | 478 | 477 | ||||||
Wheels SPV 2 LLC, | ||||||||
0.840%, 03/20/2023 (A) | 219 | 218 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
World Omni Auto Receivables Trust, Ser 2015-B, Cl A2A | ||||||||
0.960%, 07/15/2019 | $ | 545 | $ | 544 | ||||
|
| |||||||
15,591 | ||||||||
|
| |||||||
Credit Cards — 1.9% | ||||||||
Cabela’s Credit Card Master Note Trust, Ser 2014-1, Cl A | ||||||||
0.790%, 03/16/2020 (B) | 190 | 190 | ||||||
Chase Issuance Trust, | ||||||||
0.690%, 04/15/2019 (B) | 750 | 747 | ||||||
Chase Issuance Trust, | ||||||||
0.856%, 07/15/2020 (B) | 650 | 651 | ||||||
Chase Issuance Trust, | ||||||||
1.150%, 01/15/2019 | 490 | 490 | ||||||
Citibank Credit Card Issuance Trust, Ser 2014-A2, Cl A2 | ||||||||
1.020%, 02/22/2019 | 485 | 485 | ||||||
Synchrony Credit Card Master Note Trust, Ser 2014-1, Cl A | ||||||||
1.610%, 11/15/2020 | 800 | 802 | ||||||
World Financial Network Credit Card Master Trust, | ||||||||
1.260%, 03/15/2021 | 640 | 639 | ||||||
|
| |||||||
4,004 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 0.1% |
| |||||||
Towd Point Mortgage Trust 2016-1, Ser 2016-1, Cl A1B | ||||||||
2.750%, 02/25/2055 (A) (B) | 190 | 190 | ||||||
|
| |||||||
Other Asset-Backed Securities — 4.3% |
| |||||||
Accredited Mortgage Loan Trust, Ser 2004-4, Cl A1A | ||||||||
1.140%, 01/25/2035 (B) | 201 | 198 | ||||||
Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates, Ser 2004-3, Cl A2B | ||||||||
1.550%, 09/25/2034 (B) | 151 | 149 | ||||||
Ally Master Owner Trust, | ||||||||
1.540%, 09/15/2019 | 600 | 600 | ||||||
Ally Master Owner Trust, | ||||||||
1.600%, 10/15/2019 | 800 | 801 | ||||||
CIFC Funding Ltd., | ||||||||
1.790%, 04/16/2025 (A) (B) | 485 | 479 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 39 |
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
First Franklin Mortgage Loan Trust, Ser 2006-FF1, Cl 2A3 | ||||||||
0.673%, 01/25/2036 (B) | $ | 293 | $ | 289 | ||||
Ford Credit Floorplan Master Owner Trust, | ||||||||
1.400%, 02/15/2019 | 90 | 90 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl A2 | ||||||||
0.830%, 02/15/2019 (B) | 250 | 250 | ||||||
GMF Floorplan Owner Revolving Trust, Ser 2015-1, Cl A2 | ||||||||
0.936%, 05/15/2020 (A) (B) | 430 | 430 | ||||||
GreatAmerica Leasing Receivables Funding Series 2016-1, Ser 2016-1, Cl A2 | ||||||||
1.570%, 05/21/2018 (A) | 455 | 454 | ||||||
Green Tree Agency Advance Funding Trust I, Ser 2015-T1, Cl AT1 | ||||||||
2.302%, 10/15/2046 (A) | 240 | 240 | ||||||
John Deere Owner Trust, Ser 2013-A, Cl A3 | ||||||||
0.600%, 03/15/2017 | 26 | 26 | ||||||
Kubota Credit Owner Trust, Ser 2015-1A, Cl A2 | ||||||||
0.940%, 12/15/2017 (A) | 339 | 339 | ||||||
MMAF Equipment Finance, Ser 2014-AA, Cl A3 | ||||||||
0.870%, 01/08/2019 (A) | 745 | 742 | ||||||
Nationstar HECM Loan Trust, Ser 2015-2A, Cl A | ||||||||
2.883%, 11/25/2025 (A) | 143 | 143 | ||||||
Nationstar HECM Loan Trust, Ser 2016-1A, Cl A | ||||||||
2.981%, 02/25/2026 (A) | 138 | 138 | ||||||
NRZ Advance Receivables Trust Advance Receivables Backed, Ser 2015-T3, Cl AT3 | ||||||||
2.540%, 11/15/2046 (A) | 650 | 651 | ||||||
NYCTL 2015-A Trust, | ||||||||
1.340%, 11/10/2028 (A) | 304 | 302 | ||||||
Ocwen Master Advance Receivables Trust, | ||||||||
2.537%, 09/17/2046 (A) | 275 | 275 | ||||||
Ocwen Master Advance Receivables Trust, | ||||||||
2.532%, 11/15/2046 (A) | 225 | 225 | ||||||
SLM Student Loan Trust, | ||||||||
0.970%, 03/25/2026 (B) | 206 | 203 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, | ||||||||
1.290%, 12/16/2024 (A) (B) | $ | 27 | $ | 27 | ||||
Springleaf Funding Trust, | ||||||||
2.410%, 12/15/2022 (A) | 486 | 484 | ||||||
SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes, | ||||||||
2.620%, 01/15/2047 (A) | 520 | 520 | ||||||
Structured Asset Securities Mortgage Loan Trust, | ||||||||
0.663%, 07/25/2036 (A) (B) | 446 | 444 | ||||||
Structured Asset Securities Mortgage Loan Trust, | ||||||||
0.590%, 02/25/2036 (B) | 153 | 152 | ||||||
Volvo Financial Equipment LLC, Ser 2013- 1A, Cl A3 | ||||||||
0.740%, 03/15/2017 (A) | 13 | 13 | ||||||
Volvo Financial Equipment LLC, Ser 2014- 1A, Cl A3 | ||||||||
0.820%, 04/16/2018 (A) | 225 | 224 | ||||||
|
| |||||||
8,888 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 28,673 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 10.8% |
| |||||||
Agency Mortgage-Backed Obligations — 3.7% |
| |||||||
FHLMC | ||||||||
6.000%, 09/01/2026 | 74 | 84 | ||||||
2.000%, 08/25/2016 | 1,960 | 1,971 | ||||||
FNMA | ||||||||
6.500%, 09/01/2026 | 52 | 59 | ||||||
6.000%, 11/01/2026 to 04/01/2040 | 400 | 456 | ||||||
5.000%, 02/01/2023 to 03/01/2025 | 113 | 122 | ||||||
3.000%, 12/01/2030 | 1,562 | 1,632 | ||||||
FNMA TBA | ||||||||
3.500%, 04/01/2041 | 900 | 950 | ||||||
3.000%, 04/25/2026 | 1,500 | 1,567 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A | ||||||||
0.888%, 10/07/2020 (B) | 294 | 293 | ||||||
NCUA Guaranteed Notes, Ser 2011-R1, Cl 1A | ||||||||
0.890%, 01/08/2020 (B) | 382 | 382 |
40 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
NCUA Guaranteed Notes, Ser 2011-R3, Cl 1A | ||||||||
0.840%, 03/11/2020 (B) | $ | 125 | $ | 125 | ||||
NCUA Guaranteed Notes, Ser 2011-R4, Cl 1A | ||||||||
0.820%, 03/06/2020 (B) | 74 | 74 | ||||||
|
| |||||||
7,715 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 7.1% |
| |||||||
Adjustable Rate Mortgage Trust, Ser 2005-4, Cl 7A2 | ||||||||
0.910%, 08/25/2035 (B) | 148 | 145 | ||||||
Banc of America Mortgage Securities, Ser 2004-J, Cl 2A1 | ||||||||
2.910%, 11/25/2034 (B) | 75 | 74 | ||||||
Banc of America Mortgage Securities, Ser 2005-C, Cl 2A2 | ||||||||
2.900%, 04/25/2035 (B) | 201 | 184 | ||||||
Banc of America Mortgage Securities, Ser 2005-I, Cl 2A1 | ||||||||
3.320%, 10/25/2035 (B) | 168 | 146 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
5.540%, 09/11/2041 | 227 | 228 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
5.201%, 12/11/2038 | 375 | 380 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
5.331%, 02/11/2044 | 661 | 675 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl A4 | ||||||||
5.540%, 12/10/2049 (B) | 350 | 361 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2008-C7, Cl A4 | ||||||||
5.860%, 12/10/2049 (B) | 447 | 467 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2012-GC8, Cl A1 | ||||||||
0.685%, 09/10/2045 | 125 | 125 | ||||||
Citigroup Deutsche Bank Commercial Mortgage, Ser 2007-CD4, Cl A4 | ||||||||
5.322%, 12/11/2049 | 558 | 569 | ||||||
Citigroup Mortgage Loan Trust, Ser 2004- HYB3, Cl 1A | ||||||||
2.750%, 09/25/2034 (B) | 53 | 52 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2007-CD5, Cl A4 | ||||||||
5.886%, 11/15/2044 (B) | 541 | 565 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
COMM Mortgage Trust, | ||||||||
5.780%, 06/10/2046 (B) | $ | 116 | $ | 115 | ||||
COMM Mortgage Trust, | ||||||||
0.704%, 10/15/2045 | 107 | 107 | ||||||
COMM Mortgage Trust, | ||||||||
1.278%, 08/10/2046 | 171 | 171 | ||||||
COMM Mortgage Trust, | ||||||||
1.344%, 07/10/2045 | 22 | 22 | ||||||
Comm Mortgage Trust, | ||||||||
1.270%, 03/15/2029 (A) (B) | 340 | 332 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
0.666%, 11/15/2045 | 29 | 29 | ||||||
Connecticut Avenue Securities, Ser 2014- C03, Cl 1M1 | ||||||||
1.640%, 07/25/2024 (B) | 442 | 440 | ||||||
Credit Suisse Commercial Mortgage Trust Series 2007-C2, Ser C2, Cl A3 | ||||||||
5.542%, 01/15/2049 (B) | 400 | 407 | ||||||
DBUBS Mortgage Trust, | ||||||||
3.742%, 11/10/2046 (A) | 29 | 29 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, | ||||||||
1.283%, 04/25/2024 (B) | 256 | 256 | ||||||
FNMA Connecticut Avenue Securities, Ser 2014-C02, Cl 2M1 | ||||||||
1.390%, 05/25/2024 (B) | 154 | 153 | ||||||
FNMA Connecticut Avenue Securities, Ser 2014-C02, Cl 1M1 | ||||||||
1.400%, 05/25/2024 (B) | 230 | 227 | ||||||
FNMA Connecticut Avenue Securities, Ser 2015-C02, Cl 1M1 | ||||||||
1.590%, 05/25/2025 (B) | 115 | 114 | ||||||
GE Business Loan Trust, | ||||||||
0.670%, 12/15/2032 (A) (B) | 18 | 18 | ||||||
GE Business Loan Trust, | ||||||||
0.930%, 12/15/2032 (A) (B) | 13 | 13 | ||||||
GS Mortgage Securities II, Ser 2012-GCJ9, Cl A1 | ||||||||
0.662%, 11/10/2045 | 65 | 65 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 41 |
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GS Mortgage Securities, | ||||||||
3.849%, 12/10/2043 (A) | $ | 67 | $ | 69 | ||||
GS Mortgage Securities, | ||||||||
1.206%, 07/10/2046 | 104 | 104 | ||||||
Hilton USA, Ser 2013-HLF, Cl AFL | ||||||||
1.450%, 11/05/2030 (A) (B) | 222 | 221 | ||||||
Impac CMB Trust, Ser 2005-1, Cl 1A1 | ||||||||
1.070%, 04/25/2035 (B) | 186 | 166 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-LDP7, Cl A4 | ||||||||
5.940%, 04/17/2045 (B) | 92 | 92 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-C1, Cl A1 | ||||||||
3.853%, 06/15/2043 (A) | 10 | 10 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2013-C13, Cl A1 | ||||||||
1.303%, 01/15/2046 | 136 | 136 | ||||||
JPMorgan Mortgage Trust, Ser 2006-A6, Cl 4A1 | ||||||||
3.030%, 10/25/2036 (B) | 397 | 369 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C2, Cl A3 | ||||||||
5.430%, 02/15/2040 | 487 | 497 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C6, Cl A4 | ||||||||
5.858%, 07/15/2040 (B) | 467 | 477 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2008-C1, Cl A2 | ||||||||
6.084%, 04/15/2041 (B) | 348 | 368 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2009-C7, Cl A3 | ||||||||
5.347%, 11/15/2038 | 390 | 394 | ||||||
Merrill Lynch Mortgage Investors, Ser 2005-A1, Cl 1A | ||||||||
2.960%, 12/25/2034 (B) | 120 | 119 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl A3 | ||||||||
5.172%, 12/12/2049 | 601 | 608 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-5, Cl A4 | ||||||||
5.378%, 08/12/2048 | 492 | 501 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
0.664%, 11/15/2045 | 31 | 31 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Capital I Trust 2006-IQ12, Ser IQ12, Cl A4 | ||||||||
5.332%, 12/15/2043 | $ | 603 | $ | 609 | ||||
Morgan Stanley Capital I Trust 2007-TOP25, Ser T25, Cl A3 | ||||||||
5.514%, 11/12/2049 (B) | 301 | 305 | ||||||
Morgan Stanley Re-REMIC Trust, Ser 2012-IO, Cl AXA | ||||||||
1.000%, 03/27/2051 (A) | 205 | 202 | ||||||
MortgageIT Trust, Ser 2005-5, Cl A1 | ||||||||
0.780%, 12/25/2035 (B) | 588 | 523 | ||||||
Option One Mortgage Loan Trust, Ser 2005-1, Cl A1A | ||||||||
0.950%, 02/25/2035 (B) | 167 | 165 | ||||||
Sequoia Mortgage Trust, Ser 2004-10, Cl A2 | ||||||||
1.170%, 11/20/2034 (B) | 129 | 118 | ||||||
Sequoia Mortgage Trust, | ||||||||
1.070%, 12/20/2034 (B) | 104 | 100 | ||||||
Sequoia Mortgage Trust, | ||||||||
0.710%, 03/20/2035 (B) | 60 | 55 | ||||||
Springleaf Mortgage Loan Trust, Ser 2013-1A, Cl A | ||||||||
1.270%, 06/25/2058 (A) (B) | 534 | 533 | ||||||
Towd Point Mortgage Trust, Ser 2015-4, Cl A1B | ||||||||
2.750%, 04/25/2055 (A) (B) | 164 | 164 | ||||||
Towd Point Mortgage Trust, Ser 2015-5, Cl A1B | ||||||||
2.750%, 05/25/2055 (A) (B) | 168 | 168 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A1 | ||||||||
0.726%, 08/10/2049 | 166 | 165 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2006-C26, Cl A3 | ||||||||
6.011%, 06/15/2045 (B) | 234 | 234 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||||
2.830%, 03/25/2036 (B) | 246 | 219 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl A1 | ||||||||
0.687%, 10/15/2045 | 150 | 149 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.860%, 01/25/2035 (B) | 176 | 175 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2011-C6, Cl A1 | ||||||||
1.081%, 04/15/2045 | 24 | 24 |
42 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WFRBS Commercial Mortgage Trust, Ser 2012-C9, Cl A1 | ||||||||
0.673%, 11/15/2045 | $ | 154 | $ | 153 | ||||
WFRBS Commercial Mortgage Trust, Ser 2013-C15, Cl A1 | ||||||||
1.264%, 08/15/2046 | 90 | 90 | ||||||
|
| |||||||
14,782 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 22,497 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 4.8% |
| |||||||
FFCB | ||||||||
0.590%, 02/06/2017 | 1,750 | 1,750 | ||||||
FHLB | ||||||||
0.500%, 09/28/2016 | 1,670 | 1,670 | ||||||
FNMA | ||||||||
1.250%, 09/28/2016 | 6,500 | 6,523 | ||||||
�� |
|
| ||||||
Total U.S. Government Agency Obligations | 9,943 | |||||||
|
| |||||||
COLLATERALIZED DEBT OBLIGATIONS — 3.6% |
| |||||||
Apidos CLO XII, | ||||||||
1.750%, 04/15/2025 (A) (B) | 550 | 542 | ||||||
Apidos CLO XVII, | ||||||||
2.120%, 04/17/2026 (A) (B) | 350 | 349 | ||||||
Cent CLO 16, | ||||||||
1.590%, 08/01/2024 (A) (B) | 500 | 498 | ||||||
Cent CLO 20, Ser 2014-20A, Cl A | ||||||||
2.120%, 01/25/2026 (A) (B) | 625 | 620 | ||||||
Dryden XXXI Senior Loan Fund, Ser 2014- 31A, Cl A | ||||||||
1.990%, 04/18/2026 (A) (B) | 510 | 504 | ||||||
Gramercy Park CLO, | ||||||||
1.930%, 07/17/2023 (A) (B) | 400 | 397 | ||||||
ING Investment Management CLO, Ser 2014-1A, Cl A1 | ||||||||
2.130%, 04/18/2026 (A) (B) | 510 | 507 | ||||||
Limerock CLO II, | ||||||||
2.150%, 04/18/2026 (A) (B) | 600 | 593 | ||||||
Neuberger Berman CLO XVI, Ser 2014-16A, Cl A1 | ||||||||
2.092%, 04/15/2026 (A) (B) | 440 | 438 | ||||||
Octagon Investment Partners XVI Ltd., Ser 2013-1A, Cl A | ||||||||
1.770%, 07/17/2025 (A) (B) | 550 | 541 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
OHA Credit Partners VIII Ltd., Ser 2013-8A, Cl A | ||||||||
1.770%, 04/20/2025 (A) (B) | $ | 330 | $ | 326 | ||||
Race Point VI CLO Ltd., | ||||||||
2.775%, 05/24/2023 (A) (B) | 525 | 509 | ||||||
Symphony CLO Ltd., | ||||||||
2.420%, 01/09/2023 (A) (B) | 805 | 788 | ||||||
Voya CLO 2012-1, | ||||||||
1.840%, 03/14/2022 (A) (B) | 371 | 370 | ||||||
Voya CLO 2012-1, | ||||||||
2.482%, 03/14/2022 (A) (B) | 500 | 496 | ||||||
|
| |||||||
Total Collateralized Debt Obligations | 7,478 | |||||||
|
| |||||||
MUNICIPAL BONDS — 1.4% |
| |||||||
California — 0.3% | ||||||||
University of California, Ser Y-1, RB Callable 01/01/17 @ 100 | ||||||||
0.934%, 07/01/2041 (B) | 565 | 565 | ||||||
|
| |||||||
Florida — 0.4% | ||||||||
Florida State, Board of Administration Finance, Ser A, RB | ||||||||
2.163%, 07/01/2019 | 350 | 354 | ||||||
1.298%, 07/01/2016 | 570 | 571 | ||||||
|
| |||||||
925 | ||||||||
|
| |||||||
Illinois — 0.2% | ||||||||
Illinois State, Ser B, GO | ||||||||
1.780%, 04/01/2016 | 400 | 400 | ||||||
|
| |||||||
New Jersey — 0.5% | ||||||||
New Jersey State, Economic Development Authority, Ser Q, RB | ||||||||
1.096%, 06/15/2016 | 1,000 | 1,000 | ||||||
|
| |||||||
Total Municipal Bonds | 2,890 | |||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 43 |
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Concluded)
March 31, 2016
Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||
COMMON STOCK — 0.0% |
| |||||||
JHT Holding * | 4,002 | $ | — | |||||
Millennium * | 6,490 | 98 | ||||||
Nelson Education * | 26,098 | — | ||||||
|
| |||||||
Total Common Stock | 98 | |||||||
|
| |||||||
CASH EQUIVALENT — 2.3% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.300% **† | 4,725,140 | 4,725 | ||||||
|
| |||||||
Total Cash Equivalent | 4,725 | |||||||
|
| |||||||
REPURCHASE AGREEMENT (G) — 1.3% |
| |||||||
Goldman Sachs | $ | 2,700 | 2,700 | |||||
|
| |||||||
Total Repurchase Agreement | 2,700 | |||||||
|
| |||||||
Total Investments — 100.9% | $ | 209,474 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation | |||||||||
U.S. 10-Year Treasury Note | (10 | ) | Jun-2016 | $ | 2 | |||||||
U.S. 2-Year Treasury Note | (3 | ) | Jul-2016 | — | ||||||||
U.S. 5-Year Treasury Note | 4 | Jun-2016 | (1 | ) | ||||||||
|
| |||||||||||
$ | 1 | |||||||||||
|
|
For the period ended March 31, 2016, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
Percentages are based on a Net Assets of $207,572 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” |
(B) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2016. |
(C) | Unsettled bank loan. Interest rate not available. |
(D) | Security considered illiquid and restricted. The total value of such a security as of March 31, 2016 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 March 31, 2016 was $18 ($ Thousands) and represented 0.0% of Net Assets. |
(F) | Security is in default on interest payment. |
(G) | Tri-Party Repurchase Agreement. |
Cl — Class
CLO — Collateralized Loan Obligation
CMO — Collateralized Mortgage Obligation
FFCB — Federal Farm Credit Bank
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FMAC — Freddie Mac
FNMA — Federal National Mortgage Association
GO — General Obligation
LLC — Limited Liability Company
Ltd. — Limited
MTN — Medium Term Note
NCUA — National Credit Union Association
PLC — Public Limited Company
RB — Revenue Bond
Re-REMIC — Resecuritization of Real Estate Mortgage Investment Conduit
Ser — Series
TBA — To Be Announced
The following is a list of the level of inputs used as of March 31, 2016, 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 | $ | — | $ | 70,728 | $ | — | $ | 70,728 | ||||||||
Loan Participations | — | 59,724 | 18 | 59,742 | ||||||||||||
Asset-Backed Securities | — | 28,673 | — | 28,673 | ||||||||||||
Mortgage-Backed Securities | — | 22,497 | — | 22,497 | ||||||||||||
U.S. Government Agency Obligations | — | 9,943 | — | 9,943 | ||||||||||||
Collateralized Debt Obligations | — | 7,478 | — | 7,478 | ||||||||||||
Municipal Bonds | — | 2,890 | — | 2,890 | ||||||||||||
Common Stock | 98 | — | — | 98 | ||||||||||||
Cash Equivalent | 4,725 | — | — | 4,725 | ||||||||||||
Repurchase Agreement | — | 2,700 | — | 2,700 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 4,823 | $ | 204,633 | $ | 18 | $ | 209,474 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 2 | $ | — | $ | — | $ | 2 | ||||||||
Unrealized Depreciation | (1 | ) | — | — | (1 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1 | $ | — | $ | — | $ | 1 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
(1) | A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
44 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 31.2% |
| |||||||
Agency Mortgage-Backed Obligations — 24.8% |
| |||||||
FHLMC | ||||||||
7.500%, 05/01/2031 to 09/01/2032 | $ | 452 | $ | 510 | ||||
7.000%, 05/01/2024 to 03/01/2039 | 397 | 451 | ||||||
6.500%, 06/01/2017 to 09/01/2039 | 350 | 380 | ||||||
6.000%, 03/01/2020 to 07/01/2037 | 1,430 | 1,558 | ||||||
5.500%, 02/01/2017 to 11/01/2035 | 1,604 | 1,704 | ||||||
5.000%, 10/01/2018 to 07/01/2044 | 8,140 | 8,964 | ||||||
4.500%, 08/01/2020 to 03/01/2044 | 4,122 | 4,435 | ||||||
4.000%, 04/01/2019 to 04/01/2046 | 28,129 | 30,191 | ||||||
3.500%, 11/01/2029 to 04/01/2046 | 59,663 | 62,862 | ||||||
3.000%, 08/01/2030 to 01/01/2046 | 7,509 | 7,730 | ||||||
FHLMC ARM (A) | ||||||||
3.090%, 02/01/2045 | 466 | 485 | ||||||
2.880%, 01/01/2044 | 483 | 499 | ||||||
2.753%, 08/01/2044 | 126 | 130 | ||||||
2.729%, 08/01/2045 | 1 | 1 | ||||||
2.627%, 12/01/2042 | 572 | 589 | ||||||
FHLMC CMO, Ser 1988-1, Cl Z | ||||||||
9.300%, 04/15/2019 | 6 | 6 | ||||||
FHLMC CMO, | ||||||||
6.500%, 12/15/2023 | 556 | 613 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
7.500%, 01/15/2031 | $ | 106 | $ | 124 | ||||
FHLMC CMO, | ||||||||
6.500%, 01/15/2032 | 648 | 728 | ||||||
FHLMC CMO, | ||||||||
11.509%, 03/15/2020 (A) | 278 | 305 | ||||||
FHLMC CMO, | ||||||||
6.000%, 05/15/2036 | 1,270 | 1,445 | ||||||
FHLMC CMO, | ||||||||
5.500%, 03/15/2037 | 343 | 373 | ||||||
FHLMC CMO, | ||||||||
5.594%, 05/15/2038 (A) | 100 | 11 | ||||||
FHLMC CMO, | ||||||||
5.794%, 01/15/2040 (A) | 104 | 18 | ||||||
FHLMC CMO, | ||||||||
5.514%, 10/15/2041 (A) | 826 | 138 | ||||||
FHLMC CMO, | ||||||||
3.000%, 08/15/2042 | 1,477 | 1,524 | ||||||
FHLMC CMO, | ||||||||
5.614%, 08/15/2039 (A) | 1,322 | 228 | ||||||
FHLMC CMO, | ||||||||
5.614%, 07/15/2042 (A) | 72 | 18 | ||||||
FHLMC CMO, | ||||||||
3.000%, 09/15/2031 | 1,351 | 135 | ||||||
FHLMC CMO, | ||||||||
5.614%, 08/15/2042 (A) | 139 | 22 | ||||||
FHLMC CMO, | ||||||||
5.714%, 11/15/2042 (A) | 140 | 29 | ||||||
FHLMC CMO, | ||||||||
5.723%, 11/15/2042 (A) | 217 | 46 | ||||||
FHLMC CMO, | ||||||||
5.714%, 11/15/2042 (A) | 149 | 29 | ||||||
FHLMC CMO, | ||||||||
3.000%, 01/15/2043 | 2,030 | 2,077 | ||||||
FHLMC CMO, | ||||||||
5.764%, 05/15/2039 (A) | 441 | 70 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 45 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
5.814%, 09/15/2042 (A) | $ | 419 | $ | 80 | ||||
FHLMC CMO, | ||||||||
3.500%, 10/15/2037 | 897 | 939 | ||||||
FHLMC CMO, | ||||||||
1.724%, 04/15/2041 (A) | 787 | 57 | ||||||
FHLMC CMO, | ||||||||
3.000%, 02/15/2045 | 3,207 | 3,283 | ||||||
FHLMC CMO, | ||||||||
4.000%, 09/15/2040 | 950 | 1,016 | ||||||
FHLMC CMO, | ||||||||
4.000%, 04/15/2040 | 396 | 422 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||
1.643%, 06/25/2020 (A) | 2,855 | 144 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||
1.628%, 07/25/2021 (A) | 1,353 | 95 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||
1.551%, 10/25/2021 (A) | 290 | 20 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||
3.511%, 04/25/2030 | 1,465 | 1,569 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||
3.161%, 05/25/2025 | 665 | 705 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, | ||||||||
2.086%, 08/25/2024 (A) | 255 | 255 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, | ||||||||
1.683%, 01/25/2025 (A) | 103 | 103 | ||||||
FHLMC TBA | ||||||||
4.000%, 06/15/2041 | 6,100 | 6,486 | ||||||
3.500%, 05/01/2041 to 06/01/2041 | 6,800 | 7,103 | ||||||
FNMA | ||||||||
7.000%, 09/01/2026 to 02/01/2039 | 1,426 | 1,634 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.500%, 05/01/2017 to 05/01/2040 | $ | 220 | $ | 239 | ||||
6.000%, 10/01/2019 to 07/01/2037 | 3,047 | 3,487 | ||||||
5.717%, 08/25/2045 | 480 | 107 | ||||||
5.500%, 09/01/2016 to 08/01/2038 | 495 | 538 | ||||||
5.000%, 01/01/2020 to 07/01/2044 | 7,433 | 8,309 | ||||||
4.500%, 01/01/2020 to 02/01/2046 | 27,151 | 29,724 | ||||||
4.000%, 08/01/2020 to 03/01/2046 | 48,449 | 52,309 | ||||||
3.840%, 08/01/2021 | 2,976 | 3,253 | ||||||
3.762%, 12/01/2020 | 2,842 | 3,085 | ||||||
3.665%, 10/01/2020 | 1,607 | 1,735 | ||||||
3.619%, 12/01/2020 | 1,864 | 2,015 | ||||||
3.500%, 12/01/2029 to 03/01/2046 | 43,372 | 45,773 | ||||||
3.000%, 08/01/2033 to 08/01/2043 | 15,088 | 15,608 | ||||||
2.830%, 06/01/2022 | 1,180 | 1,239 | ||||||
2.500%, 10/01/2042 | 861 | 858 | ||||||
FNMA ACES, | ||||||||
0.507%, 09/25/2022 (A) | 19,097 | 471 | ||||||
FNMA ACES, | ||||||||
0.726%, 10/25/2021 (A) | 1,553 | 1,534 | ||||||
FNMA ARM (A) | ||||||||
4.375%, 04/01/2040 | 354 | 377 | ||||||
3.192%, 10/01/2043 | 442 | 462 | ||||||
2.822%, 05/01/2043 | 227 | 235 | ||||||
2.791%, 11/01/2042 | 922 | 953 | ||||||
2.738%, 02/01/2045 | 602 | 624 | ||||||
2.734%, 01/01/2045 | 697 | 722 | ||||||
2.727%, 01/01/2045 | 638 | 660 | ||||||
2.283%, 10/01/2035 | 2,081 | 2,181 | ||||||
2.273%, 11/01/2035 | 277 | 290 | ||||||
2.258%, 11/01/2035 | 310 | 325 | ||||||
2.251%, 11/01/2035 | 315 | 330 | ||||||
2.239%, 11/01/2035 | 241 | 253 | ||||||
2.236%, 11/01/2035 | 1,157 | 1,211 | ||||||
2.199%, 11/01/2035 | 249 | 261 | ||||||
2.196%, 10/01/2035 | 1,382 | 1,446 | ||||||
2.163%, 10/01/2035 | 191 | 199 | ||||||
FNMA CMO STRIPS, | ||||||||
3.500%, 11/25/2041 | 664 | 107 | ||||||
FNMA CMO STRIPS, | ||||||||
3.000%, 04/25/2027 | 985 | 90 | ||||||
FNMA CMO STRIPS, | ||||||||
4.500%, 11/25/2039 | 820 | 146 |
46 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, | ||||||||
5.500%, 03/25/2029 | $ | 240 | $ | 265 | ||||
FNMA CMO, | ||||||||
5.500%, 11/25/2035 | 918 | 997 | ||||||
FNMA CMO, | ||||||||
5.000%, 08/01/2035 | 2,170 | 447 | ||||||
FNMA CMO, | ||||||||
6.267%, 11/25/2036 (A) | 1,722 | 276 | ||||||
FNMA CMO, | ||||||||
8.204%, 11/25/2037 (A) | 145 | 178 | ||||||
FNMA CMO, | ||||||||
5.997%, 03/25/2037 (A) | 2,857 | 201 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2037 | 2,309 | 2,135 | ||||||
FNMA CMO, | ||||||||
6.345%, 01/25/2041 (A) | 619 | 116 | ||||||
FNMA CMO, | ||||||||
5.500%, 07/25/2041 | 2,206 | 2,599 | ||||||
FNMA CMO, | ||||||||
5.000%, 05/25/2034 | 951 | 83 | ||||||
FNMA CMO, | ||||||||
6.117%, 10/25/2041 (A) | 1,989 | 359 | ||||||
FNMA CMO, | ||||||||
3.000%, 10/25/2042 | 2,618 | 2,699 | ||||||
FNMA CMO, | ||||||||
5.717%, 11/25/2042 (A) | 454 | 106 | ||||||
FNMA CMO, | ||||||||
5.717%, 11/25/2042 (A) | 304 | 64 | ||||||
FNMA CMO, | ||||||||
5.717%, 12/25/2042 (A) | 562 | 107 | ||||||
FNMA CMO, | ||||||||
5.717%, 12/25/2042 (A) | 147 | 30 | ||||||
FNMA CMO, | ||||||||
3.000%, 12/25/2042 | 415 | 431 | ||||||
FNMA CMO, | ||||||||
6.500%, 06/25/2039 | 130 | 145 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, | ||||||||
3.000%, 08/25/2042 | $ | 363 | $ | 372 | ||||
FNMA CMO, | ||||||||
6.000%, 05/25/2042 | 561 | 641 | ||||||
FNMA CMO, | ||||||||
6.217%, 02/25/2041 (A) | 183 | 26 | ||||||
FNMA CMO, | ||||||||
6.217%, 03/25/2042 (A) | 637 | 116 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2042 | 49 | 45 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2042 | 98 | 90 | ||||||
FNMA CMO, | ||||||||
5.667%, 09/25/2042 (A) | 334 | 64 | ||||||
FNMA CMO, | ||||||||
5.717%, 02/25/2043 (A) | 1,080 | 223 | ||||||
FNMA CMO, | ||||||||
5.717%, 02/25/2043 (A) | 1,041 | 209 | ||||||
FNMA CMO, | ||||||||
3.000%, 02/25/2043 | 6,875 | 7,160 | ||||||
FNMA CMO, | ||||||||
6.500%, 07/25/2042 | 624 | 720 | ||||||
FNMA CMO, | ||||||||
5.717%, 03/25/2042 (A) | 784 | 121 | ||||||
FNMA CMO, | ||||||||
5.500%, 04/25/2042 | 4,494 | 5,023 | ||||||
FNMA CMO, | ||||||||
3.513%, 12/25/2023 (A) | 1,770 | 1,923 | ||||||
FNMA CMO, | ||||||||
3.346%, 03/25/2024 (A) | 2,795 | 2,993 | ||||||
FNMA CMO, | ||||||||
1.569%, 08/25/2055 (A) | 1,524 | 97 | ||||||
FNMA CMO, | ||||||||
3.049%, 12/25/2024 (A) | 2,592 | 2,699 | ||||||
FNMA CMO, | ||||||||
2.502%, 12/25/2024 | 540 | 546 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 47 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, | ||||||||
2.710%, 06/25/2025 (A) | $ | 130 | $ | 134 | ||||
FNMA Multifamily Megas, | ||||||||
2.966%, 05/01/2027 (A) | 2,259 | 2,346 | ||||||
FNMA TBA | ||||||||
5.000%, 05/01/2038 | 1,500 | 1,658 | ||||||
4.500%, 04/14/2033 | 1,465 | 1,594 | ||||||
4.000%, 04/01/2039 | 38,375 | 41,001 | ||||||
3.500%, 04/01/2041 to 05/15/2045 | 2,105 | 2,255 | ||||||
3.000%, 04/25/2026 to 04/01/2043 | 3,880 | 3,991 | ||||||
2.500%, 04/25/2027 | 7,285 | 7,479 | ||||||
FREMF Mortgage Trust, | ||||||||
0.200%, 05/25/2045 (B) | 12,827 | 123 | ||||||
FREMF Mortgage Trust, | ||||||||
3.723%, 06/25/2048 (A) (B) | 670 | 576 | ||||||
GNMA | ||||||||
8.000%, 11/15/2029 to 09/15/2030 | 58 | 64 | ||||||
7.500%, 03/15/2029 | 76 | 93 | ||||||
6.500%, 07/15/2028 to 09/15/2035 | 2,451 | 2,866 | ||||||
6.000%, 10/15/2023 to 10/20/2040 | 4,532 | 5,203 | ||||||
5.000%, 07/20/2040 to 11/20/2045 | 1,206 | 1,334 | ||||||
4.500%, 04/20/2041 to 02/20/2046 | 3,923 | 4,287 | ||||||
4.000%, 10/15/2041 to 03/20/2046 | 9,608 | 10,339 | ||||||
3.500%, 07/20/2045 to 11/20/2045 | 6,030 | 6,381 | ||||||
3.000%, 08/20/2045 to 09/20/2045 | 5,598 | 5,807 | ||||||
2.500%, 10/20/2045 (A) | 885 | 905 | ||||||
GNMA ARM | ||||||||
2.500%, 05/20/2045 to 08/20/2045 (A) | 2,462 | 2,516 | ||||||
GNMA CMO, | ||||||||
5.818%, 04/20/2037 (A) | 869 | 177 | ||||||
GNMA CMO, | ||||||||
6.068%, 03/20/2039 (A) | 153 | 13 | ||||||
GNMA CMO, | ||||||||
5.960%, 01/16/2040 (A) | 6,882 | 1,323 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, | ||||||||
6.218%, 01/20/2040 (A) | $ | 140 | $ | 18 | ||||
GNMA CMO, | ||||||||
0.810%, 12/20/2060 (A) | 1,546 | 1,527 | ||||||
GNMA CMO, | ||||||||
0.830%, 12/20/2060 (A) | 907 | 897 | ||||||
GNMA CMO, | ||||||||
0.910%, 03/20/2061 (A) | 982 | 975 | ||||||
GNMA CMO, | ||||||||
0.930%, 03/20/2061 (A) | 672 | 665 | ||||||
GNMA CMO, | ||||||||
0.757%, 01/16/2054 (A) | 9,326 | 540 | ||||||
GNMA CMO, | ||||||||
5.618%, 03/20/2042 (A) | 711 | 153 | ||||||
GNMA CMO, | ||||||||
6.170%, 04/16/2042 (A) | 58 | 14 | ||||||
GNMA CMO, | ||||||||
3.500%, 02/20/2038 | 970 | 88 | ||||||
GNMA CMO, | ||||||||
5.917%, 08/16/2042 (A) | 492 | 79 | ||||||
GNMA CMO, | ||||||||
1.095%, 09/16/2046 (A) | 7,643 | 441 | ||||||
GNMA CMO, | ||||||||
0.919%, 06/16/2055 (A) | 1,670 | 93 | ||||||
GNMA CMO, | ||||||||
2.500%, 03/16/2050 | 621 | 632 | ||||||
GNMA CMO, | ||||||||
4.000%, 04/16/2045 | 193 | 39 | ||||||
GNMA TBA | ||||||||
4.000%, 04/01/2040 | 400 | 427 | ||||||
3.500%, 05/15/2041 to 04/15/2045 | 15,360 | 16,211 | ||||||
3.000%, 04/15/2043 to 05/01/2043 | 24,100 | 24,935 | ||||||
NCUA Guaranteed Notes, | ||||||||
2.650%, 10/29/2020 | 159 | 159 | ||||||
NCUA Guaranteed Notes, | ||||||||
0.808%, 11/06/2017 (A) | 1,121 | 1,120 | ||||||
|
| |||||||
519,279 | ||||||||
|
|
48 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Non-Agency Mortgage-Backed Obligations — 6.4% |
| |||||||
Adjustable Rate Mortgage Trust, | ||||||||
2.443%, 02/25/2035 (A) | $ | 1,852 | $ | 1,764 | ||||
Adjustable Rate Mortgage Trust, | ||||||||
0.573%, 03/25/2037 (A) | 2,651 | 1,981 | ||||||
Alternative Loan Trust, | ||||||||
2.585%, 08/25/2035 (A) | 2,445 | 2,073 | ||||||
Alternative Loan Trust, | ||||||||
26.868%, 07/25/2036 (A) | 418 | 753 | ||||||
Alternative Loan Trust, | ||||||||
0.623%, 09/25/2046 (A) | 552 | 462 | ||||||
Alternative Loan Trust, | ||||||||
0.833%, 09/25/2037 (A) | 3,023 | 1,830 | ||||||
American Home Mortgage | ||||||||
0.623%, 12/25/2046 (A) | 1,938 | 1,209 | ||||||
American Home Mortgage Investment Trust, | ||||||||
2.866%, 06/25/2045 (A) | 2,036 | 1,969 | ||||||
American Home Mortgage Investment Trust, | ||||||||
2.616%, 11/25/2045 (A) | 1,921 | 1,431 | ||||||
BAMLL Commercial Mortgage Securities Trust, | ||||||||
2.959%, 12/10/2030 (B) | 820 | 842 | ||||||
BCAP Trust, | ||||||||
0.827%, 03/28/2037 (A) (B) | 1,475 | 1,384 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
2.505%, 05/25/2034 (A) | 210 | 197 | ||||||
Bear Stearns Asset-Backed Securities I Trust, | ||||||||
5.500%, 09/25/2035 (A) | 1,823 | 1,830 | ||||||
Bear Stearns Asset-Backed Securities I Trust, | ||||||||
7.217%, 11/25/2035 (A) | 5,494 | 1,808 | ||||||
CD Commercial Mortgage Trust, | ||||||||
5.394%, 01/15/2046 (A) | 590 | 543 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CD Commercial Mortgage Trust, | ||||||||
5.688%, 10/15/2048 | $ | 170 | $ | 102 | ||||
CD Commercial Mortgage Trust, | ||||||||
5.398%, 12/11/2049 (A) | 307 | 242 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2011-C1, Cl A4 | ||||||||
4.961%, 04/15/2044 (A) (B) | 729 | 812 | ||||||
CGBRAM Commerical Mortgage Trust, Ser 2014-HD, Cl E | ||||||||
3.436%, 02/15/2031 (A) (B) | 640 | 602 | ||||||
CG-CCRE Commercial Mortgage Trust, Ser 2014-FL1, Cl A | ||||||||
1.386%, 06/15/2031 (A) (B) | 630 | 629 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2006-C5, Cl AJ | ||||||||
5.482%, 10/15/2049 | 270 | 241 | ||||||
Citigroup Commercial Mortgage Trust, Ser 20098-C7, Cl AJA | ||||||||
6.144%, 12/10/2049 (A) | 140 | 111 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
3.251%, 05/10/2035 (B) | 655 | 680 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
4.400%, 03/10/2047 (A) (B) | 780 | 551 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
3.622%, 07/10/2047 | 100 | 106 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
3.616%, 02/10/2049 | 275 | 291 | ||||||
COMM Mortgage Trust, | ||||||||
4.205%, 07/10/2046 (B) | 855 | 930 | ||||||
COMM Mortgage Trust, | ||||||||
0.790%, 07/10/2046 (A) (B) | 13,060 | 411 | ||||||
COMM Mortgage Trust, | ||||||||
3.830%, 07/10/2046 (B) | 100 | 103 | ||||||
COMM Mortgage Trust, | ||||||||
2.350%, 05/15/2045 | 721 | 726 | ||||||
COMM Mortgage Trust, | ||||||||
1.801%, 10/15/2045 | 171 | 171 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 49 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
COMM Mortgage Trust, | ||||||||
4.353%, 08/10/2030 (B) | $ | 620 | $ | 691 | ||||
COMM Mortgage Trust, | ||||||||
2.972%, 08/10/2046 | 211 | 216 | ||||||
COMM Mortgage Trust, | ||||||||
1.468%, 10/10/2046 | 134 | 133 | ||||||
COMM Mortgage Trust, | ||||||||
4.300%, 10/10/2046 | 210 | 228 | ||||||
COMM Mortgage Trust, | ||||||||
4.046%, 10/10/2046 | 57 | 63 | ||||||
COMM Mortgage Trust, | ||||||||
1.295%, 10/10/2046 | 48 | 48 | ||||||
COMM Mortgage Trust, | ||||||||
4.762%, 10/10/2046 (A) | 90 | 98 | ||||||
COMM Mortgage Trust, | ||||||||
5.084%, 10/10/2046 (A) | 40 | 41 | ||||||
COMM Mortgage Trust, | ||||||||
0.719%, 03/10/2046 | 109 | 108 | ||||||
COMM Mortgage Trust, | ||||||||
4.254%, 07/10/2045 (A) (B) | 780 | 594 | ||||||
COMM Mortgage Trust, | ||||||||
3.452%, 07/15/2047 | 310 | 327 | ||||||
COMM Mortgage Trust, | ||||||||
3.537%, 06/15/2034 (A) (B) | 870 | 811 | ||||||
COMM Mortgage Trust, | ||||||||
3.819%, 06/10/2047 | 405 | 435 | ||||||
COMM Mortgage Trust, | ||||||||
3.694%, 08/10/2047 | 229 | 243 | ||||||
COMM Mortgage Trust, | ||||||||
3.548%, 09/10/2047 | 191 | 202 | ||||||
COMM Mortgage Trust, | ||||||||
3.387%, 12/10/2047 | 275 | 289 | ||||||
COMM Mortgage Trust, | ||||||||
4.048%, 12/10/2047 | 669 | 714 | ||||||
COMM Mortgage Trust, | ||||||||
3.178%, 02/10/2035 (B) | 670 | 690 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
COMM Mortgage Trust, | ||||||||
3.902%, 07/10/2050 | $ | 212 | $ | 229 | ||||
COMM Mortgage Trust, | ||||||||
3.545%, 02/10/2036 (A) (B) | 650 | 683 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
2.822%, 11/15/2045 | 60 | 62 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
3.424%, 03/10/2031 (B) | 100 | 105 | ||||||
Connecticut Avenue Securities, | ||||||||
3.433%, 07/25/2024 (A) | 4,810 | 4,387 | ||||||
Core Industrial Trust, | ||||||||
3.848%, 02/10/2034 (A) (B) | 630 | 617 | ||||||
Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1 | ||||||||
6.000%, 02/25/2034 | 96 | 97 | ||||||
Credit Suisse Commercial Mortgage Trust, | ||||||||
5.671%, 06/15/2038 (A) | 834 | 701 | ||||||
Credit Suisse Commercial Mortgage Trust, | ||||||||
5.373%, 12/15/2039 | 660 | 554 | ||||||
Credit Suisse Commercial Mortgage Trust, | ||||||||
5.587%, 01/15/2049 (A) | 291 | 298 | ||||||
Credit Suisse Commercial Mortgage Trust, | ||||||||
5.699%, 06/15/2039 (A) | 540 | 491 | ||||||
Credit Suisse Commercial Mortgage Trust, | ||||||||
5.869%, 09/15/2040 (A) | 270 | 248 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
2.704%, 10/25/2033 (A) | 1,436 | 1,407 | ||||||
Credit Suisse Group Funding Guernsey, | ||||||||
3.108%, 03/12/2017 | 1,107 | 1,571 |
50 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Suisse Group Funding Guernsey, | ||||||||
4.392%, 03/12/2017 | $ | 389 | $ | 552 | ||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
5.538%, 09/15/2039 (A) | 320 | 309 | ||||||
Credit Suisse Mortgage Trust, | ||||||||
4.373%, 09/15/2037 (B) | 590 | 486 | ||||||
Credit Suisse Mortgage Trust, | ||||||||
3.953%, 09/15/2037 (B) | 350 | 369 | ||||||
Credit Suisse Mortgage Trust, | ||||||||
0.371%, 07/29/2037 (A) (B) | 993 | 929 | ||||||
Credit Suisse Mortgage Trust, | ||||||||
0.737%, 10/27/2036 (A) (B) | 1,283 | 1,231 | ||||||
Credit Suisse Mortgage Trust, | ||||||||
6.163%, 08/15/2022 (A) (B) | 2,500 | 2,463 | ||||||
Credit Suisse Mortgage Trust, | ||||||||
4.927%, 03/15/2017 (A) (B) | 650 | 627 | ||||||
Csail Commercial Mortgage Trust, | ||||||||
4.212%, 06/15/2057 (A) | 635 | 574 | ||||||
CSAIL Commercial Mortgage Trust, | ||||||||
3.808%, 11/15/2048 | 490 | 525 | ||||||
CSAIL Commercial Mortgage Trust, | ||||||||
3.617%, 11/15/2048 | 751 | 797 | ||||||
CSAIL Commercial Mortgage Trust, | ||||||||
3.533%, 06/15/2025 | 350 | 372 | ||||||
CSMC Trust, Ser 2014-TIKI, Cl F | ||||||||
4.250%, 09/15/2038 (A) (B) | 1,900 | 1,830 | ||||||
DBJPM, Ser 2016-C1, Cl A4 | ||||||||
3.276%, 05/10/2049 | 230 | 237 | ||||||
DBUBS Mortgage Trust, | ||||||||
3.742%, 11/10/2046 (B) | 53 | 54 | ||||||
DBUBS Mortgage Trust, | ||||||||
4.537%, 07/10/2044 (B) | 1,020 | 1,131 | ||||||
DBUBS Mortgage Trust, | ||||||||
3.386%, 07/10/2044 (B) | 1,513 | 1,516 | ||||||
DBUBS Mortgage Trust, | ||||||||
3.642%, 08/10/2044 | 1,935 | 1,937 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Downey Savings & Loan Association Mortgage Loan Trust, | ||||||||
1.230%, 11/19/2044 (A) | $ | 1,204 | $ | 1,030 | ||||
EQTY Mortgage Trust, | ||||||||
2.778%, 05/08/2031 (A) (B) | 530 | 507 | ||||||
Fund America Investors II, | ||||||||
3.789%, 06/25/2023 (A) | 7 | 7 | ||||||
GS Mortgage Securities II, | ||||||||
4.015%, 05/10/2050 (A) | 680 | 656 | ||||||
GS Mortgage Securities Trust, | ||||||||
5.622%, 11/10/2039 | 430 | 396 | ||||||
GS Mortgage Securities Trust, | ||||||||
5.794%, 08/10/2045 (A) | 2,590 | 2,468 | ||||||
GS Mortgage Securities Trust, | ||||||||
1.624%, 08/10/2044 (A) (B) | 1,051 | 42 | ||||||
GS Mortgage Securities Trust, | ||||||||
2.999%, 08/10/2044 | 1,260 | 1,262 | ||||||
GS Mortgage Securities Trust, | ||||||||
2.935%, 05/10/2045 | 78 | 81 | ||||||
GS Mortgage Securities Trust, | ||||||||
2.318%, 05/10/2045 | 661 | 665 | ||||||
GS Mortgage Securities Trust, | ||||||||
1.144%, 05/10/2045 | 31 | 31 | ||||||
GS Mortgage Securities Trust, | ||||||||
5.161%, 11/10/2046 (A) | 180 | 198 | ||||||
GS Mortgage Securities Trust, | ||||||||
1.264%, 11/10/2046 | 95 | 95 | ||||||
GS Mortgage Securities Trust, | ||||||||
3.648%, 01/10/2047 | 311 | 331 | ||||||
GS Mortgage Securities Trust, | ||||||||
3.655%, 04/10/2047 | 400 | 427 | ||||||
GS Mortgage Securities Trust, | ||||||||
4.215%, 11/10/2047 (A) | 680 | 694 | ||||||
GS Mortgage Securities Trust, | ||||||||
3.365%, 11/10/2047 | 394 | 414 | ||||||
GS Mortgage Securities Trust, | ||||||||
3.278%, 10/10/2048 | 525 | 548 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 51 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GS Mortgage Securities Trust, | ||||||||
3.734%, 11/10/2048 | $ | 85 | $ | 91 | ||||
GSMPS Mortgage Loan Trust, | ||||||||
8.000%, 09/19/2027 (A) (B) | 27 | 27 | ||||||
GSR Mortgage Loan Trust, | ||||||||
2.667%, 10/25/2033 (A) | 371 | 373 | ||||||
GSR Mortgage Loan Trust, | ||||||||
2.765%, 07/25/2035 (A) | 4,537 | 4,193 | ||||||
HarborView Mortgage Loan, | ||||||||
2.787%, 05/19/2034 (A) | 2,135 | 2,103 | ||||||
Impac Secured Assets Trust, | ||||||||
0.633%, 12/25/2036 (A) | 1,436 | 1,333 | ||||||
Impact Funding LLC, | ||||||||
5.314%, 01/25/2051 (B) | 1,647 | 1,915 | ||||||
IndyMac IMSC Mortgage Loan Trust, | ||||||||
0.613%, 07/25/2047 (A) | 1,945 | 1,185 | ||||||
IndyMac INDX Mortgage Loan Trust, | ||||||||
2.314%, 06/25/2037 (A) | 2,812 | 2,099 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
5.081%, 11/15/2045 (A) | 190 | 195 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
4.887%, 01/15/2047 (A) | 100 | 109 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
3.914%, 11/15/2047 (A) | 610 | 647 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
3.407%, 11/15/2047 | 35 | 37 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
2.912%, 10/15/2048 | 361 | 364 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
4.226%, 07/15/2048 (A) | 479 | 516 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
3.540%, 08/15/2048 | $ | 177 | $ | 188 | ||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
3.316%, 03/15/2049 | 462 | 484 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.115%, 07/15/2041 | 11 | 11 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.502%, 06/12/2047 (A) | 1,495 | 1,365 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.702%, 05/12/2017 (A) | 250 | 212 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
6.010%, 02/15/2051 (A) | 45 | 43 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
4.070%, 11/15/2043 (B) | 426 | 456 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
4.311%, 08/05/2032 (B) | 379 | 408 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
3.300%, 08/05/2032 (B) | 206 | 212 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
3.673%, 02/15/2046 (B) | 132 | 134 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
4.388%, 02/15/2046 (B) | 3,025 | 3,157 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
4.106%, 07/15/2046 (B) | 1,255 | 1,310 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
1.677%, 12/15/2047 | 211 | 212 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
4.572%, 07/15/2047 (A) | 610 | 601 |
52 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
3.733%, 01/15/2049 | $ | 125 | $ | 134 | ||||
Lehman XS Trust, | ||||||||
0.733%, 11/25/2035 (A) | 818 | 727 | ||||||
Liberty Street Trust, | ||||||||
3.597%, 02/10/2026 (B) | 650 | 671 | ||||||
LSTAR Commercial Mortgage Trust, Ser 2015-3, Cl A2 | ||||||||
2.729%, 04/20/2048 (A) (B) | 1,754 | 1,787 | ||||||
MASTR Reperforming Loan Trust, | ||||||||
6.000%, 08/25/2034 (B) | 1,819 | 1,748 | ||||||
Merrill Lynch Mortgage Investors Trust, Ser 2004-A1, Cl 4A | ||||||||
2.875%, 02/25/2034 (A) | 365 | 364 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.802%, 08/12/2043 (A) | 260 | 256 | ||||||
ML-CFC Commercial Mortgage Trust, Ser 2007-5, Cl AJFL | ||||||||
5.450%, 08/12/2048 (A) (B) | 100 | 88 | ||||||
ML-CFC Commercial Mortgage Trust, Ser 2007-5, Cl AJ | ||||||||
5.450%, 08/12/2048 (A) | 770 | 677 | ||||||
ML-CFC Commercial Mortgage Trust, Ser 2007-9, Cl AJ | ||||||||
6.193%, 09/12/2049 (A) | 1,200 | 1,033 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
1.394%, 07/15/2046 | 291 | 291 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.214%, 02/15/2046 | 83 | 85 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
1.970%, 05/15/2046 | 211 | 214 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.012%, 03/15/2048 (B) | 1,000 | 580 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
4.244%, 04/15/2048 (A) | 630 | 574 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.451%, 07/15/2050 | $ | 137 | $ | 144 | ||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.383%, 10/15/2048 | 413 | 434 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.753%, 12/15/2047 | 106 | 113 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.288%, 01/15/2049 | 463 | 483 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
5.399%, 12/15/2043 | 790 | 640 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
6.097%, 12/12/2049 (A) | 1,010 | 925 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
3.476%, 06/15/2044 (B) | 137 | 137 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
3.224%, 07/15/2049 | 835 | 837 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
1.711%, 03/15/2049 | 346 | 346 | ||||||
Motel 6 Trust, | ||||||||
5.000%, 02/05/2030 (B) | 1,470 | 1,355 | ||||||
Nomura Resecuritization Trust, | ||||||||
0.617%, 05/26/2046 (A) (B) | 3,440 | 1,924 | ||||||
OBP Depositor Trust, | ||||||||
4.646%, 07/15/2045 (B) | 560 | 620 | ||||||
PFP III, Ser 2014-1, Cl D | ||||||||
4.529%, 06/14/2031 (A) (B) | 260 | 260 | ||||||
Prime Mortgage Trust, | ||||||||
5.500%, 05/25/2035 (B) | 1,491 | 1,350 | ||||||
RAMP Trust, | ||||||||
6.500%, 11/25/2031 | 141 | 143 | ||||||
RBS Commercial Funding Trust, | ||||||||
3.834%, 01/13/2032 (A) (B) | 640 | 691 | ||||||
Residential Asset Securitization Trust, Ser 2004-A6, Cl A1 | ||||||||
5.000%, 08/25/2019 | 74 | 74 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 53 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Residential Asset Securitization Trust, | ||||||||
2.694%, 12/25/2034 (A) | $ | 393 | $ | 391 | ||||
STRU TCW-1034 COLL | ||||||||
2.913%, 04/28/2028 | 1,320 | 1,329 | ||||||
Structured Asset Securities, | ||||||||
5.500%, 10/25/2035 | 990 | 812 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
2.113%, 05/10/2063 | 371 | 374 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
4.498%, 12/10/2045 (A) (B) | 670 | 643 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
3.185%, 03/10/2046 | 226 | 234 | ||||||
VNDO Mortgage Trust, | ||||||||
2.996%, 11/15/2030 (B) | 110 | 113 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
5.413%, 12/15/2043 (A) | 1,004 | 987 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
5.660%, 04/15/2047 (A) | 170 | 168 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, | ||||||||
1.022%, 02/25/2047 (A) | 3,182 | 2,426 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust, | ||||||||
1.022%, 01/25/2047 (A) | 1,857 | 1,313 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, | ||||||||
5.000%, 02/25/2018 | 37 | 37 | ||||||
Waterfall Commercial Mortgage Trust, Ser 2015-SBC5, Cl A | ||||||||
4.104%, 09/19/2022 (A) (B) | 2,625 | 2,584 | ||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||
4.298%, 07/15/2046 (A) | 20 | 21 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.742%, 06/25/2034 (A) | 774 | 772 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
1.442%, 03/15/2044 (A) (B) | $ | 8,419 | $ | 415 | ||||
WFRBS Commercial Mortgage Trust, | ||||||||
4.394%, 06/15/2044 (B) | 2,420 | 2,552 | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
3.667%, 11/15/2044 | 3,125 | 3,353 | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
1.520%, 06/15/2045 (A) (B) | 340 | 24 | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
3.001%, 08/15/2045 | 1,685 | 1,748 | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
4.723%, 03/15/2047 (A) | 110 | 117 | ||||||
|
| |||||||
134,054 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities (Cost $662,108) ($ Thousands) | 653,333 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 29.7% |
| |||||||
Consumer Discretionary — 2.5% |
| |||||||
1011778 BC ULC / New Red Finance | ||||||||
6.000%, 04/01/2022 (B) | 390 | 406 | ||||||
21st Century Fox America | ||||||||
6.650%, 11/15/2037 | 180 | 224 | ||||||
6.200%, 12/15/2034 | 65 | 78 | ||||||
4.950%, 10/15/2045 | 230 | 246 | ||||||
3.700%, 10/15/2025 | 500 | 524 | ||||||
Altice Financing | ||||||||
6.625%, 02/15/2023 (B) | 600 | 601 | ||||||
Amazon.com | ||||||||
4.950%, 12/05/2044 | 690 | 795 | ||||||
American Axle & Manufacturing | ||||||||
6.625%, 10/15/2022 (C) | 370 | 384 | ||||||
American Honda Finance MTN | ||||||||
3.875%, 09/21/2020 (B) | 1,065 | 1,150 | ||||||
CCO Holdings | ||||||||
5.875%, 04/01/2024 (B) | 70 | 73 | ||||||
CCO Safari II (B) | ||||||||
6.484%, 10/23/2045 | 1,734 | 1,930 | ||||||
6.384%, 10/23/2035 | 100 | 110 | ||||||
4.908%, 07/23/2025 | 725 | 765 | ||||||
4.464%, 07/23/2022 | 1,700 | 1,777 |
54 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Comcast | ||||||||
6.950%, 08/15/2037 | $ | 450 | $ | 632 | ||||
6.550%, 07/01/2039 | 270 | 367 | ||||||
6.400%, 03/01/2040 | 150 | 203 | ||||||
4.400%, 08/15/2035 | 315 | 341 | ||||||
4.200%, 08/15/2034 | 200 | 211 | ||||||
3.375%, 02/15/2025 | 310 | 330 | ||||||
Cox Communications (B) | ||||||||
4.800%, 02/01/2035 | 215 | 188 | ||||||
4.700%, 12/15/2042 | 10 | 8 | ||||||
CSC Holdings | ||||||||
6.750%, 11/15/2021 | 60 | 62 | ||||||
Daimler Finance North America LLC (B) | ||||||||
2.375%, 08/01/2018 | 735 | 747 | ||||||
1.125%, 03/10/2017 | 975 | 974 | ||||||
Discovery Communications | ||||||||
4.900%, 03/11/2026 | 395 | 407 | ||||||
DISH DBS | ||||||||
5.875%, 07/15/2022 | 250 | 237 | ||||||
5.875%, 11/15/2024 | 1,010 | 927 | ||||||
5.125%, 05/01/2020 | 80 | 79 | ||||||
Dollar Tree | ||||||||
5.750%, 03/01/2023 (B) | 310 | 329 | ||||||
ERAC USA Finance (B) | ||||||||
5.625%, 03/15/2042 | 499 | 562 | ||||||
4.500%, 02/15/2045 | 160 | 157 | ||||||
Fiat Chrysler Automobiles | ||||||||
4.500%, 04/15/2020 | 200 | 203 | ||||||
Ford Motor | ||||||||
4.750%, 01/15/2043 | 1,640 | 1,645 | ||||||
Ford Motor Credit | ||||||||
5.875%, 08/02/2021 | 230 | 264 | ||||||
3.200%, 01/15/2021 | 770 | 787 | ||||||
Ford Motor Credit LLC | ||||||||
3.219%, 01/09/2022 | 480 | 489 | ||||||
2.597%, 11/04/2019 | 775 | 778 | ||||||
1.700%, 05/09/2016 | 2,000 | 2,001 | ||||||
General Motors | ||||||||
6.750%, 04/01/2046 | 120 | 136 | ||||||
6.600%, 04/01/2036 | 910 | 1,001 | ||||||
6.250%, 10/02/2043 | 100 | 107 | ||||||
5.000%, 04/01/2035 | 295 | 276 | ||||||
General Motors Financial | ||||||||
5.250%, 03/01/2026 | 525 | 549 | ||||||
4.750%, 08/15/2017 | 1,000 | 1,032 | ||||||
4.375%, 09/25/2021 | 180 | 186 | ||||||
4.250%, 05/15/2023 | 110 | 111 | ||||||
4.200%, 03/01/2021 | 660 | 682 | ||||||
3.450%, 04/10/2022 | 610 | 599 | ||||||
3.250%, 05/15/2018 | 60 | 61 | ||||||
3.100%, 01/15/2019 | 290 | 293 | ||||||
2.750%, 05/15/2016 | 200 | 200 | ||||||
Goodyear Tire & Rubber | ||||||||
5.125%, 11/15/2023 | 300 | 307 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Grupo Televisa | ||||||||
6.125%, 01/31/2046 | $ | 255 | $ | 270 | ||||
5.000%, 05/13/2045 | 270 | 249 | ||||||
Hilton Worldwide Finance | ||||||||
5.625%, 10/15/2021 | 920 | 953 | ||||||
Home Depot | ||||||||
3.000%, 04/01/2026 | 340 | 357 | ||||||
2.000%, 04/01/2021 | 860 | 869 | ||||||
Hyundai Capital America | ||||||||
2.125%, 10/02/2017 (B) | 270 | 271 | ||||||
L Brands | ||||||||
5.625%, 10/15/2023 | 110 | 121 | ||||||
McDonald’s MTN | ||||||||
4.875%, 12/09/2045 | 640 | 699 | ||||||
3.700%, 01/30/2026 | 530 | 562 | ||||||
2.750%, 12/09/2020 | 285 | 295 | ||||||
NBCUniversal Media | ||||||||
4.375%, 04/01/2021 | 270 | 302 | ||||||
NCL | ||||||||
4.625%, 11/15/2020 (B) | 310 | 311 | ||||||
Netflix | ||||||||
5.875%, 02/15/2025 | 110 | 116 | ||||||
5.500%, 02/15/2022 | 50 | 52 | ||||||
Newell Rubbermaid | ||||||||
5.500%, 04/01/2046 | 424 | 461 | ||||||
4.200%, 04/01/2026 | 759 | 794 | ||||||
3.850%, 04/01/2023 | 340 | 352 | ||||||
3.150%, 04/01/2021 | 1,770 | 1,818 | ||||||
Numericable-SFR SAS (B) | ||||||||
6.250%, 05/15/2024 | 380 | 368 | ||||||
6.000%, 05/15/2022 | 400 | 390 | ||||||
QVC | ||||||||
5.950%, 03/15/2043 | 20 | 17 | ||||||
Scripps Networks Interactive | ||||||||
3.950%, 06/15/2025 | 235 | 235 | ||||||
3.900%, 11/15/2024 | 440 | 444 | ||||||
3.500%, 06/15/2022 | 255 | 255 | ||||||
2.800%, 06/15/2020 | 290 | 291 | ||||||
Sky PLC | ||||||||
3.750%, 09/16/2024 (B) | 570 | 588 | ||||||
Taylor Morrison Communities | ||||||||
5.250%, 04/15/2021 (B) | 460 | 451 | ||||||
Time Warner | ||||||||
7.700%, 05/01/2032 | 1,010 | 1,297 | ||||||
6.250%, 03/29/2041 | 265 | 306 | ||||||
4.850%, 07/15/2045 | 109 | 111 | ||||||
4.750%, 03/29/2021 | 730 | 805 | ||||||
3.550%, 06/01/2024 | 1,365 | 1,404 | ||||||
Time Warner Cable | ||||||||
8.250%, 04/01/2019 | 2,265 | 2,637 | ||||||
7.300%, 07/01/2038 | 190 | 223 | ||||||
6.550%, 05/01/2037 | 635 | 696 | ||||||
Time Warner Entertainment | ||||||||
8.375%, 07/15/2033 | 270 | 343 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 55 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Toyota Motor Credit MTN | ||||||||
1.250%, 10/05/2017 | $ | 1,150 | $ | 1,152 | ||||
United Business Media | ||||||||
5.750%, 11/03/2020 (B) | 490 | 531 | ||||||
Univision Communications | ||||||||
6.750%, 09/15/2022 (B) | 310 | 329 | ||||||
Viacom | ||||||||
5.250%, 04/01/2044 | 155 | 139 | ||||||
4.850%, 12/15/2034 | 330 | 293 | ||||||
4.250%, 09/01/2023 | 100 | 102 | ||||||
3.875%, 04/01/2024 | 100 | 100 | ||||||
Volkswagen Group of America Finance | ||||||||
2.400%, 05/22/2020 (B) | 335 | 328 | ||||||
Volkswagen International Finance | ||||||||
1.125%, 11/18/2016 (B) | 1,115 | 1,110 | ||||||
|
| |||||||
51,328 | ||||||||
|
| |||||||
Consumer Staples — 2.3% | ||||||||
Altria Group | ||||||||
9.950%, 11/10/2038 | 150 | 264 | ||||||
9.250%, 08/06/2019 | 1,250 | 1,544 | ||||||
5.375%, 01/31/2044 | 410 | 501 | ||||||
4.750%, 05/05/2021 | 720 | 817 | ||||||
2.850%, 08/09/2022 | 260 | 269 | ||||||
Anheuser-Busch InBev Finance | ||||||||
4.900%, 02/01/2046 | 4,964 | 5,548 | ||||||
3.650%, 02/01/2026 | 5,606 | 5,895 | ||||||
3.300%, 02/01/2023 | 1,830 | 1,902 | ||||||
2.650%, 02/01/2021 | 1,406 | 1,445 | ||||||
1.900%, 02/01/2019 | 570 | 578 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
5.375%, 01/15/2020 | 1,140 | 1,285 | ||||||
5.000%, 04/15/2020 | 430 | 482 | ||||||
2.500%, 07/15/2022 | 330 | 333 | ||||||
Anheuser-Busch LLC | ||||||||
5.050%, 10/15/2016 | 940 | 961 | ||||||
Coca-Cola Femsa | ||||||||
2.375%, 11/26/2018 | 680 | 690 | ||||||
CVS Health | ||||||||
5.750%, 05/15/2041 | 970 | 1,185 | ||||||
5.125%, 07/20/2045 | 1,920 | 2,224 | ||||||
4.875%, 07/20/2035 | 350 | 390 | ||||||
3.875%, 07/20/2025 | 300 | 324 | ||||||
3.500%, 07/20/2022 | 100 | 107 | ||||||
Diageo Capital PLC | ||||||||
4.828%, 07/15/2020 | 1,580 | 1,779 | ||||||
Kraft Heinz Foods | ||||||||
6.500%, 02/09/2040 | 225 | 280 | ||||||
5.375%, 02/10/2020 | 455 | 508 | ||||||
5.200%, 07/15/2045 (B) | 680 | 761 | ||||||
5.000%, 07/15/2035 (B) | 270 | 298 | ||||||
4.875%, 02/15/2025 (B) | 97 | 107 | ||||||
3.950%, 07/15/2025 (B) | 300 | 319 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.500%, 06/06/2022 | $ | 1,150 | $ | 1,209 | ||||
3.500%, 07/15/2022 (B) | 500 | 525 | ||||||
2.800%, 07/02/2020 (B) | 855 | 878 | ||||||
1.600%, 06/30/2017 (B) | 1,018 | 1,021 | ||||||
Kroger | ||||||||
6.900%, 04/15/2038 | 260 | 342 | ||||||
2.950%, 11/01/2021 | 375 | 391 | ||||||
Molson Coors Brewing | ||||||||
3.500%, 05/01/2022 | 100 | 103 | ||||||
Mondelez International | ||||||||
4.000%, 02/01/2024 | 360 | 387 | ||||||
PepsiCo | ||||||||
4.000%, 03/05/2042 | 110 | 114 | ||||||
Pernod Ricard (B) | ||||||||
5.500%, 01/15/2042 | 150 | 162 | ||||||
4.450%, 01/15/2022 | 1,050 | 1,133 | ||||||
2.950%, 01/15/2017 | 360 | 364 | ||||||
Philip Morris International | ||||||||
4.500%, 03/20/2042 | 390 | 419 | ||||||
2.900%, 11/15/2021 | 690 | 730 | ||||||
2.500%, 08/22/2022 | 340 | 350 | ||||||
1.875%, 02/25/2021 | 120 | 121 | ||||||
1.375%, 02/25/2019 | 360 | 361 | ||||||
Reynolds American | ||||||||
8.125%, 06/23/2019 | 20 | 24 | ||||||
5.850%, 08/15/2045 | 1,350 | 1,649 | ||||||
5.700%, 08/15/2035 | 430 | 503 | ||||||
3.250%, 06/12/2020 | 162 | 169 | ||||||
Spectrum Brands | ||||||||
5.750%, 07/15/2025 | 130 | 138 | ||||||
Tyson Foods | ||||||||
5.150%, 08/15/2044 | 130 | 145 | ||||||
Walgreens Boots Alliance | ||||||||
4.800%, 11/18/2044 | 885 | 879 | ||||||
3.300%, 11/18/2021 | 590 | 608 | ||||||
Wal-Mart Stores | ||||||||
4.300%, 04/22/2044 | 1,055 | 1,180 | ||||||
Wm Wrigley Jr (B) | ||||||||
3.375%, 10/21/2020 | 765 | 797 | ||||||
2.900%, 10/21/2019 | 1,119 | 1,149 | ||||||
2.400%, 10/21/2018 | 430 | 434 | ||||||
2.000%, 10/20/2017 | 205 | 206 | ||||||
|
| |||||||
47,287 | ||||||||
|
| |||||||
Energy — 3.6% | ||||||||
Anadarko Finance, Ser B | ||||||||
7.500%, 05/01/2031 | 810 | 877 | ||||||
Anadarko Petroleum | ||||||||
6.600%, 03/15/2046 | 320 | 327 | ||||||
5.550%, 03/15/2026 | 555 | 560 | ||||||
4.850%, 03/15/2021 | 600 | 606 | ||||||
4.500%, 07/15/2044 | 400 | 314 | ||||||
Apache | ||||||||
5.100%, 09/01/2040 | 80 | 73 | ||||||
4.250%, 01/15/2044 | 950 | 798 |
56 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Atwood Oceanics | ||||||||
6.500%, 02/01/2020 | $ | 240 | $ | 114 | ||||
Baker Hughes | ||||||||
7.500%, 11/15/2018 | 1,230 | 1,379 | ||||||
BG Energy Capital PLC | ||||||||
4.000%, 10/15/2021 (B) | 910 | 951 | ||||||
BP Capital Markets PLC | ||||||||
3.561%, 11/01/2021 | 50 | 52 | ||||||
3.506%, 03/17/2025 | 530 | 538 | ||||||
3.245%, 05/06/2022 | 160 | 165 | ||||||
California Resources | ||||||||
6.000%, 11/15/2024 | 620 | 140 | ||||||
5.500%, 09/15/2021 | 60 | 13 | ||||||
Canadian Oil Sands | ||||||||
6.000%, 04/01/2042 (B) | 228 | 178 | ||||||
Chesapeake Energy | ||||||||
6.875%, 11/15/2020 | 450 | 177 | ||||||
6.500%, 08/15/2017 | 275 | 184 | ||||||
Chevron | ||||||||
2.411%, 03/03/2022 | 765 | 779 | ||||||
1.365%, 03/02/2018 | 900 | 903 | ||||||
CNOOC Finance | ||||||||
3.500%, 05/05/2025 | 1,370 | 1,347 | ||||||
Concho Resources | ||||||||
5.500%, 10/01/2022 | 130 | 128 | ||||||
5.500%, 04/01/2023 | 60 | 59 | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/2031 | 50 | 55 | ||||||
ConocoPhillips | ||||||||
5.900%, 10/15/2032 | 10 | 10 | ||||||
5.900%, 05/15/2038 | 420 | 430 | ||||||
4.150%, 11/15/2034 | 630 | 563 | ||||||
Continental Resources | ||||||||
5.000%, 09/15/2022 | 90 | 77 | ||||||
4.500%, 04/15/2023 | 80 | 67 | ||||||
Devon Energy | ||||||||
5.850%, 12/15/2025 | 450 | 434 | ||||||
5.600%, 07/15/2041 | 380 | 298 | ||||||
5.000%, 06/15/2045 | 580 | 433 | ||||||
3.250%, 05/15/2022 | 270 | 227 | ||||||
Devon Financing LLC | ||||||||
7.875%, 09/30/2031 | 260 | 255 | ||||||
Ecopetrol | ||||||||
5.875%, 05/28/2045 | 640 | 504 | ||||||
5.375%, 06/26/2026 | 570 | 519 | ||||||
Enbridge Energy Partners | ||||||||
5.875%, 10/15/2025 | 750 | 756 | ||||||
Energy Transfer Partners | ||||||||
8.250%, 11/15/2029 | 1,315 | 1,445 | ||||||
6.125%, 12/15/2045 | 75 | 67 | ||||||
4.750%, 01/15/2026 | 250 | 227 | ||||||
4.150%, 10/01/2020 | 235 | 226 | ||||||
2.500%, 06/15/2018 | 460 | 445 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ensco | ||||||||
4.700%, 03/15/2021 | $ | 220 | $ | 154 | ||||
Exxon Mobil | ||||||||
4.114%, 03/01/2046 | 875 | 928 | ||||||
3.043%, 03/01/2026 | 1,281 | 1,311 | ||||||
2.222%, 03/01/2021 | 2,121 | 2,159 | ||||||
1.708%, 03/01/2019 | 1,000 | 1,013 | ||||||
Florida Gas Transmission LLC | ||||||||
7.900%, 05/15/2019 (B) | 1,000 | 1,119 | ||||||
Gulfstream Natural Gas System | ||||||||
5.950%, 10/15/2045 (B) | 320 | 315 | ||||||
Halliburton | ||||||||
5.000%, 11/15/2045 | 230 | 225 | ||||||
3.800%, 11/15/2025 | 865 | 866 | ||||||
2.700%, 11/15/2020 | 180 | 183 | ||||||
Kerr-McGee | ||||||||
7.875%, 09/15/2031 | 430 | 470 | ||||||
6.950%, 07/01/2024 | 44 | 46 | ||||||
Kinder Morgan | ||||||||
6.950%, 06/01/2028 | 6,750 | 5,996 | ||||||
5.300%, 12/01/2034 | 340 | 293 | ||||||
4.300%, 06/01/2025 | 1,635 | 1,555 | ||||||
Magellan Midstream Partners | ||||||||
5.000%, 03/01/2026 | 185 | 200 | ||||||
Marathon Oil | ||||||||
5.200%, 06/01/2045 | 175 | 122 | ||||||
Marathon Petroleum | ||||||||
5.850%, 12/15/2045 | 205 | 185 | ||||||
5.000%, 09/15/2054 | 55 | 43 | ||||||
MEG Energy | ||||||||
6.500%, 03/15/2021 (B) | 60 | 36 | ||||||
MPLX (B) | ||||||||
5.500%, 02/15/2023 | 320 | 310 | ||||||
4.875%, 12/01/2024 | 400 | 369 | ||||||
4.875%, 06/01/2025 | 110 | 100 | ||||||
Murray Energy | ||||||||
11.250%, 04/15/2021 (B) | 450 | 60 | ||||||
Noble Energy | ||||||||
5.250%, 11/15/2043 | 180 | 155 | ||||||
4.150%, 12/15/2021 | 690 | 689 | ||||||
3.900%, 11/15/2024 | 500 | 470 | ||||||
Oasis Petroleum | ||||||||
7.250%, 02/01/2019 | 60 | 46 | ||||||
6.875%, 03/15/2022 | 280 | 207 | ||||||
Occidental Petroleum | ||||||||
4.625%, 06/15/2045 | 150 | 156 | ||||||
4.400%, 04/15/2046 | 370 | 372 | ||||||
3.400%, 04/15/2026 | 515 | 520 | ||||||
3.125%, 02/15/2022 | 330 | 341 | ||||||
ONEOK Partners | ||||||||
2.000%, 10/01/2017 | 450 | 436 | ||||||
Panhandle Eastern Pipeline | ||||||||
8.125%, 06/01/2019 | 2,500 | 2,619 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 57 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Petrobras Global Finance | ||||||||
6.850%, 06/05/2115 | $ | 620 | $ | 432 | ||||
6.250%, 03/17/2024 | 720 | 576 | ||||||
Petrobras Global Finance BV | ||||||||
5.750%, 01/20/2020 | 574 | 499 | ||||||
Petrobras International Finance | ||||||||
5.375%, 01/27/2021 | 2,670 | 2,207 | ||||||
Petro-Canada | ||||||||
6.800%, 05/15/2038 | 1,665 | 1,825 | ||||||
Petroleos Mexicanos | ||||||||
6.875%, 08/04/2026 (B) | 685 | 742 | ||||||
6.625%, 06/15/2035 | 1,667 | 1,601 | ||||||
6.375%, 01/23/2045 | 820 | 760 | ||||||
5.625%, 01/23/2046 | 395 | 332 | ||||||
5.500%, 06/27/2044 (B) | 90 | 74 | ||||||
2.460%, 12/15/2025 | 1,180 | 1,210 | ||||||
2.378%, 04/15/2025 | 627 | 641 | ||||||
Pioneer Natural Resources | ||||||||
3.450%, 01/15/2021 | 430 | 428 | ||||||
Plains All American Pipeline | ||||||||
4.650%, 10/15/2025 | 115 | 106 | ||||||
Pride International | ||||||||
6.875%, 08/15/2020 | 80 | 58 | ||||||
QEP Resources | ||||||||
6.875%, 03/01/2021 | 520 | 477 | ||||||
5.250%, 05/01/2023 | 90 | 78 | ||||||
Range Resources | ||||||||
5.000%, 03/15/2023 | 680 | 577 | ||||||
4.875%, 05/15/2025 (B) | 30 | 26 | ||||||
Regency Energy Partners | ||||||||
4.500%, 11/01/2023 | 690 | 609 | ||||||
Sabine Pass Liquefaction | ||||||||
5.750%, 05/15/2024 | 220 | 210 | ||||||
5.625%, 02/01/2021 | 140 | 135 | ||||||
Schlumberger Holdings (B) | ||||||||
4.000%, 12/21/2025 | 330 | 341 | ||||||
3.000%, 12/21/2020 | 1,690 | 1,713 | ||||||
SESI LLC | ||||||||
7.125%, 12/15/2021 | 180 | 136 | ||||||
Shelf Drilling Holdings | ||||||||
8.625%, 11/01/2018 (B) | 140 | 94 | ||||||
Shell International Finance | ||||||||
4.375%, 03/25/2020 | 690 | 753 | ||||||
4.375%, 05/11/2045 | 1,280 | 1,284 | ||||||
4.125%, 05/11/2035 | 2,570 | 2,633 | ||||||
3.400%, 08/12/2023 | 595 | 617 | ||||||
Sinopec Group Overseas Development (B) | ||||||||
4.375%, 04/10/2024 | 1,150 | 1,227 | ||||||
2.750%, 05/17/2017 | 490 | 496 | ||||||
SM Energy | ||||||||
6.500%, 01/01/2023 | 110 | 78 | ||||||
6.125%, 11/15/2022 | 270 | 197 | ||||||
5.000%, 01/15/2024 | 200 | 138 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Southern Natural Gas LLC | ||||||||
8.000%, 03/01/2032 | $ | 170 | $ | 180 | ||||
Spectra Energy Partners | ||||||||
4.500%, 03/15/2045 | 800 | 710 | ||||||
Statoil | ||||||||
3.700%, 03/01/2024 | 355 | 371 | ||||||
TC PipeLines | ||||||||
4.650%, 06/15/2021 | 160 | 155 | ||||||
Tennessee Gas Pipeline LLC | ||||||||
8.375%, 06/15/2032 | 1,638 | 1,770 | ||||||
Total Capital International | ||||||||
2.875%, 02/17/2022 | 850 | 872 | ||||||
TransCanada PipeLines | ||||||||
4.625%, 03/01/2034 | 815 | 779 | ||||||
Transcontinental Gas Pipe Line | ||||||||
7.850%, 02/01/2026 (B) | 1,050 | 1,198 | ||||||
Valero Energy | ||||||||
4.900%, 03/15/2045 | 305 | 272 | ||||||
Western Gas Partners | ||||||||
5.450%, 04/01/2044 | 110 | 87 | ||||||
5.375%, 06/01/2021 | 170 | 165 | ||||||
3.950%, 06/01/2025 | 350 | 300 | ||||||
Whiting Petroleum | ||||||||
6.250%, 04/01/2023 | 590 | 397 | ||||||
5.750%, 03/15/2021 | 170 | 113 | ||||||
Williams | ||||||||
7.875%, 09/01/2021 | 505 | 467 | ||||||
7.750%, 06/15/2031 | 861 | 712 | ||||||
Williams Partners | ||||||||
6.125%, 07/15/2022 | 680 | 632 | ||||||
4.875%, 03/15/2024 | 100 | 87 | ||||||
4.000%, 09/15/2025 | 220 | 177 | ||||||
|
| |||||||
74,523 | ||||||||
|
| |||||||
Financials — 10.9% | ||||||||
ABN AMRO Bank | ||||||||
4.750%, 07/28/2025 (B) | 360 | 363 | ||||||
AIA Group MTN (B) | ||||||||
4.500%, 03/16/2046 | 480 | 482 | ||||||
3.200%, 03/11/2025 | 280 | 282 | ||||||
Allstate | ||||||||
3.150%, 06/15/2023 | 555 | 571 | ||||||
Ally Financial | ||||||||
7.500%, 09/15/2020 | 626 | 693 | ||||||
American Express | ||||||||
6.800%, 09/01/2066 (A) | 1,790 | 1,795 | ||||||
American Express Credit MTN | ||||||||
2.250%, 08/15/2019 | 1,025 | 1,038 | ||||||
American International Group | ||||||||
6.250%, 03/15/2037 | 1,220 | 1,257 | ||||||
4.800%, 07/10/2045 | 65 | 64 | ||||||
4.375%, 01/15/2055 | 180 | 157 | ||||||
3.900%, 04/01/2026 | 1,555 | 1,560 | ||||||
3.750%, 07/10/2025 | 337 | 337 |
58 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American Tower‡ | ||||||||
3.500%, 01/31/2023 | $ | 577 | $ | 582 | ||||
3.450%, 09/15/2021 | 590 | 603 | ||||||
3.300%, 02/15/2021 | 335 | 341 | ||||||
2.800%, 06/01/2020 | 300 | 302 | ||||||
Bank of America MTN | ||||||||
8.950%, 05/18/2017 (A) | 1,790 | 1,780 | ||||||
8.680%, 05/02/2017 (A) | 3,160 | 3,128 | ||||||
6.250%, 09/29/2049 (A) | 1,030 | 1,009 | ||||||
6.050%, 05/16/2016 | 350 | 352 | ||||||
6.000%, 09/01/2017 | 680 | 719 | ||||||
5.750%, 12/01/2017 | 305 | 324 | ||||||
5.700%, 05/02/2017 | 1,300 | 1,352 | ||||||
5.650%, 05/01/2018 | 270 | 290 | ||||||
5.625%, 07/01/2020 | 110 | 124 | ||||||
5.420%, 03/15/2017 | 4,300 | 4,447 | ||||||
5.000%, 05/13/2021 | 90 | 100 | ||||||
5.000%, 01/21/2044 | 1,590 | 1,755 | ||||||
4.875%, 04/01/2044 | 780 | 850 | ||||||
4.450%, 03/03/2026 | 1,632 | 1,681 | ||||||
4.200%, 08/26/2024 | 830 | 845 | ||||||
4.000%, 04/01/2024 | 3,310 | 3,472 | ||||||
4.000%, 01/22/2025 | 875 | 876 | ||||||
3.875%, 03/22/2017 | 280 | 287 | ||||||
3.875%, 08/01/2025 | 1,230 | 1,275 | ||||||
3.300%, 01/11/2023 | 160 | 161 | ||||||
2.625%, 10/19/2020 | 451 | 454 | ||||||
2.600%, 01/15/2019 | 670 | 681 | ||||||
Bank of New York Mellon | ||||||||
3.400%, 05/15/2024 | 1,865 | 1,951 | ||||||
2.500%, 04/15/2021 | 1,680 | 1,713 | ||||||
2.200%, 03/04/2019 | 630 | 640 | ||||||
Barclays Bank PLC | ||||||||
6.050%, 12/04/2017 (B) | 420 | 443 | ||||||
4.375%, 01/12/2026 | 1,290 | 1,265 | ||||||
Bear Stearns | ||||||||
6.400%, 10/02/2017 | 70 | 75 | ||||||
4.650%, 07/02/2018 | 995 | 1,057 | ||||||
Berkshire Hathaway | ||||||||
4.500%, 02/11/2043 | 600 | 655 | ||||||
3.125%, 03/15/2026 | 1,805 | 1,851 | ||||||
Berkshire Hathaway Finance | ||||||||
4.400%, 05/15/2042 | 1,000 | 1,082 | ||||||
BNP Paribas MTN | ||||||||
2.375%, 09/14/2017 | 320 | 324 | ||||||
Boeing Capital | ||||||||
4.700%, 10/27/2019 | 490 | 544 | ||||||
Boston Properties‡ | ||||||||
3.800%, 02/01/2024 | 1,250 | 1,310 | ||||||
BPCE | ||||||||
5.150%, 07/21/2024 (B) | 210 | 215 | ||||||
Capital One Bank USA | ||||||||
1.150%, 11/21/2016 | 1,000 | 1,000 | ||||||
Capital One Financial | ||||||||
4.200%, 10/29/2025 | 515 | 521 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Chase Capital VI | ||||||||
1.241%, 08/01/2028 (A) | $ | 1,750 | $ | 1,356 | ||||
Chubb INA Holdings | ||||||||
4.350%, 11/03/2045 | 400 | 436 | ||||||
3.350%, 05/03/2026 | 855 | 892 | ||||||
2.300%, 11/03/2020 | 160 | 163 | ||||||
CIT Group | ||||||||
5.000%, 08/15/2022 | 120 | 121 | ||||||
5.000%, 08/01/2023 | 580 | 583 | ||||||
Citigroup | ||||||||
8.125%, 07/15/2039 | 69 | 102 | ||||||
6.675%, 09/13/2043 | 130 | 157 | ||||||
6.625%, 06/15/2032 | 100 | 117 | ||||||
6.300%, 12/29/2049 (A) | 520 | 499 | ||||||
5.950%, 12/29/2049 (A) | 360 | 347 | ||||||
5.950%, 12/31/2049 (A) | 1,250 | 1,203 | ||||||
5.900%, 12/29/2049 (A) | 140 | 137 | ||||||
5.500%, 09/13/2025 | 750 | 821 | ||||||
5.350%, 05/29/2049 (A) | 390 | 360 | ||||||
5.300%, 05/06/2044 | 180 | 188 | ||||||
4.650%, 07/30/2045 | 1,985 | 2,079 | ||||||
4.600%, 03/09/2026 | 655 | 672 | ||||||
4.450%, 09/29/2027 | 1,865 | 1,877 | ||||||
4.400%, 06/10/2025 | 810 | 826 | ||||||
4.300%, 11/20/2026 | 180 | 179 | ||||||
4.050%, 07/30/2022 | 70 | 73 | ||||||
3.700%, 01/12/2026 | 905 | 929 | ||||||
3.500%, 05/15/2023 | 500 | 500 | ||||||
2.500%, 09/26/2018 | 3,330 | 3,381 | ||||||
1.800%, 02/05/2018 | 660 | 659 | ||||||
1.750%, 05/01/2018 | 1,835 | 1,830 | ||||||
1.550%, 08/14/2017 | 980 | 980 | ||||||
0.906%, 06/09/2016 (A) | 3,650 | 3,648 | ||||||
Citigroup Capital III | ||||||||
7.625%, 12/01/2036 | 1,500 | 1,855 | ||||||
Commonwealth Bank of Australia MTN | ||||||||
5.000%, 10/15/2019 (B) | 10 | 11 | ||||||
Compass Bank | ||||||||
3.875%, 04/10/2025 | 430 | 403 | ||||||
Cooperatieve Centrale | ||||||||
11.000%, 12/31/2049 (A) (B) | 1,050 | 1,260 | ||||||
5.250%, 08/04/2045 | 310 | 335 | ||||||
4.625%, 12/01/2023 | 1,100 | 1,161 | ||||||
4.375%, 08/04/2025 | 650 | 669 | ||||||
Countrywide Financial | ||||||||
6.250%, 05/15/2016 | 1,080 | 1,086 | ||||||
Credit Agricole | ||||||||
8.375%, 12/31/2049 (A) (B) | 1,550 | 1,709 | ||||||
Credit Suisse Group Funding Guernsey | ||||||||
4.875%, 05/15/2045 | 890 | 848 | ||||||
3.800%, 09/15/2022 | 1,025 | 1,020 | ||||||
3.125%, 12/10/2020 (B) | 1,740 | �� | 1,730 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 59 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
DDR‡ | ||||||||
4.625%, 07/15/2022 | $ | 720 | $ | 764 | ||||
3.375%, 05/15/2023 | 590 | 573 | ||||||
Deutsche Bank | ||||||||
1.350%, 05/30/2017 | 800 | 794 | ||||||
Discover Bank | ||||||||
3.100%, 06/04/2020 | 1,500 | 1,511 | ||||||
Farmers Exchange Capital | ||||||||
7.050%, 07/15/2028 (B) | 1,000 | 1,176 | ||||||
Farmers Exchange Capital II | ||||||||
6.151%, 11/01/2053 (A) (B) | 2,150 | 2,194 | ||||||
First Industrial MTN | ||||||||
7.500%, 12/01/2017 | 970 | 1,041 | ||||||
Ford Motor Credit LLC | ||||||||
8.125%, 01/15/2020 | 660 | 784 | ||||||
General Electric MTN | ||||||||
4.375%, 09/16/2020 | 30 | 33 | ||||||
Goldman Sachs Capital II | ||||||||
4.000%, 06/01/2043 (A) | 107 | 77 | ||||||
Goldman Sachs Group | ||||||||
7.500%, 02/15/2019 | 950 | 1,094 | ||||||
6.750%, 10/01/2037 | 483 | 577 | ||||||
6.250%, 02/01/2041 | 1,550 | 1,927 | ||||||
6.150%, 04/01/2018 | 1,780 | 1,925 | ||||||
6.000%, 06/15/2020 | 170 | 194 | ||||||
5.950%, 01/18/2018 | 260 | 279 | ||||||
5.750%, 01/24/2022 | 110 | 127 | ||||||
5.375%, 03/15/2020 | 2,860 | 3,173 | ||||||
5.250%, 07/27/2021 | 340 | 383 | ||||||
5.150%, 05/22/2045 | 490 | 498 | ||||||
4.750%, 10/21/2045 | 852 | 890 | ||||||
4.250%, 10/21/2025 | 945 | 961 | ||||||
4.000%, 03/03/2024 | 490 | 514 | ||||||
3.850%, 07/08/2024 | 830 | 858 | ||||||
3.750%, 02/25/2026 | 1,050 | 1,076 | ||||||
2.875%, 02/25/2021 | 875 | 890 | ||||||
2.375%, 01/22/2018 | 1,370 | 1,388 | ||||||
2.236%, 11/29/2023 (A) | 700 | 698 | ||||||
HBOS PLC MTN | ||||||||
6.750%, 05/21/2018 (B) | 2,100 | 2,271 | ||||||
HCP‡ | ||||||||
4.200%, 03/01/2024 | 765 | 755 | ||||||
3.150%, 08/01/2022 | 1,000 | 957 | ||||||
Health Care‡ | ||||||||
5.250%, 01/15/2022 | 900 | 983 | ||||||
Highwoods Properties‡ | ||||||||
7.500%, 04/15/2018 | 1,142 | 1,256 | ||||||
HSBC Bank PLC | ||||||||
4.750%, 01/19/2021(B) | 1,760 | 1,939 | ||||||
HSBC Holdings PLC | ||||||||
6.800%, 06/01/2038 | 180 | 218 | ||||||
4.300%, 03/08/2026 | 1,650 | 1,706 | ||||||
4.250%, 03/14/2024 | 985 | 995 | ||||||
4.250%, 08/18/2025 | 750 | 741 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.000%, 03/30/2022 | $ | 330 | $ | 347 | ||||
3.400%, 03/08/2021 | 1,888 | 1,926 | ||||||
Huntington Bancshares | ||||||||
3.150%, 03/14/2021 | 435 | 442 | ||||||
ILFC E-Capital Trust II | ||||||||
4.490%, 12/21/2065 (A) (B) | 400 | 324 | ||||||
ING Bank (B) | ||||||||
5.800%, 09/25/2023 | 920 | 1,003 | ||||||
2.750%, 03/22/2021 | 565 | 573 | ||||||
International Lease Finance | ||||||||
7.125%, 09/01/2018 (B) | 2,080 | 2,267 | ||||||
Intesa Sanpaolo MTN (B) | ||||||||
5.710%, 01/15/2026 | 205 | 199 | ||||||
5.017%, 06/26/2024 | 1,610 | 1,508 | ||||||
John Deere Capital | ||||||||
1.700%, 01/15/2020 | 160 | 160 | ||||||
JPMorgan Chase | ||||||||
6.000%, 01/15/2018 | 135 | 145 | ||||||
4.950%, 06/01/2045 | 998 | 1,053 | ||||||
4.500%, 01/24/2022 | 180 | 199 | ||||||
4.400%, 07/22/2020 | 210 | 229 | ||||||
4.350%, 08/15/2021 | 215 | 235 | ||||||
4.250%, 10/15/2020 | 330 | 357 | ||||||
3.900%, 07/15/2025 | 1,115 | 1,182 | ||||||
3.875%, 09/10/2024 | 780 | 800 | ||||||
3.375%, 05/01/2023 | 600 | 603 | ||||||
3.300%, 04/01/2026 | 1,085 | 1,094 | ||||||
2.550%, 03/01/2021 | 2,190 | 2,209 | ||||||
2.250%, 01/23/2020 | 1,010 | 1,018 | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 07/05/2017 | 2,250 | 2,373 | ||||||
6.000%, 10/01/2017 | 1,000 | 1,062 | ||||||
0.962%, 06/13/2016 (A) | 1,300 | 1,300 | ||||||
JPMorgan Chase Capital XIII | ||||||||
1.579%, 09/30/2034 (A) | 550 | 433 | ||||||
JPMorgan Chase Capital XXIII | ||||||||
1.618%, 05/15/2047 (A) | 1,900 | 1,283 | ||||||
KKR Group Finance II | ||||||||
5.500%, 02/01/2043 (B) | 60 | 61 | ||||||
Lazard Group LLC | ||||||||
4.250%, 11/14/2020 | 490 | 512 | ||||||
3.750%, 02/13/2025 | 820 | 757 | ||||||
Liberty Mutual Group | ||||||||
4.850%, 08/01/2044 (B) | 465 | 445 | ||||||
Lloyds Banking Group | ||||||||
4.650%, 03/24/2026 | 560 | 555 | ||||||
M&T Bank | ||||||||
6.875%, 12/29/2049 | 1,740 | 1,747 | ||||||
Macquarie Bank MTN | ||||||||
1.249%, 10/27/2017 (A) (B) | 1,180 | 1,175 | ||||||
Markel | ||||||||
5.000%, 04/05/2046 | 100 | 101 | ||||||
Marsh & McLennan | ||||||||
3.750%, 03/14/2026 | 500 | 512 |
60 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Massachusetts Mutual Life Insurance | ||||||||
8.875%, 06/01/2039 (B) | $ | 605 | $ | 877 | ||||
MetLife | ||||||||
6.750%, 06/01/2016 | 375 | 379 | ||||||
6.400%, 12/15/2036 | 220 | 227 | ||||||
4.600%, 05/13/2046 | 190 | 195 | ||||||
MetLife Capital Trust IV | ||||||||
7.875%, 12/15/2037 (B) | 800 | 920 | ||||||
Metropolitan Life Global Funding MTN | ||||||||
2.500%, 12/03/2020 (B) | 400 | 407 | ||||||
Metropolitan Life Global Funding I MTN | ||||||||
1.950%, 12/03/2018 (B) | 155 | 156 | ||||||
Mid-America Apartments‡ | ||||||||
4.300%, 10/15/2023 | 250 | 263 | ||||||
4.000%, 11/15/2025 | 280 | 286 | ||||||
3.750%, 06/15/2024 | 540 | 548 | ||||||
Morgan Stanley MTN | ||||||||
7.300%, 05/13/2019 | 545 | 627 | ||||||
5.500%, 07/24/2020 | 500 | 562 | ||||||
4.750%, 03/22/2017 | 140 | 145 | ||||||
4.000%, 07/23/2025 | 1,880 | 1,966 | ||||||
3.950%, 04/23/2027 | 520 | 521 | ||||||
3.875%, 01/27/2026 | 1,000 | 1,043 | ||||||
2.800%, 06/16/2020 | 956 | 973 | ||||||
1.070%, 10/18/2016 (A) | 5,965 | 5,961 | ||||||
Murray Street Investment Trust I | ||||||||
4.647%, 03/09/2017 (D) | 1,041 | 1,070 | ||||||
Nationwide Building Society MTN | ||||||||
3.900%, 07/21/2025 (B) | 310 | 327 | ||||||
Nationwide Mutual Insurance | ||||||||
2.924%, 12/15/2024 (A) (B) | 2,975 | 2,889 | ||||||
Navient MTN | ||||||||
5.625%, 08/01/2033 | 145 | 102 | ||||||
New York Life Global Funding | ||||||||
1.550%, 11/02/2018 (B) | 1,000 | 1,002 | ||||||
New York Life Insurance (B) | ||||||||
6.750%, 11/15/2039 | 415 | 544 | ||||||
2.100%, 01/02/2019 | 575 | 585 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/2040 (B) | 690 | 848 | ||||||
PNC Bank | ||||||||
2.400%, 10/18/2019 | 625 | 638 | ||||||
2.250%, 07/02/2019 | 545 | 553 | ||||||
Quicken Loans | ||||||||
5.750%, 05/01/2025 (B) | 200 | 194 | ||||||
Royal Bank of Canada | ||||||||
4.650%, 01/27/2026 | 635 | 646 | ||||||
2.300%, 03/22/2021 | 760 | 769 | ||||||
Royal Bank of Scotland | ||||||||
4.650%, 06/04/2018 | 270 | 278 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Royal Bank of Scotland Group PLC | ||||||||
7.648%, 08/31/2049 (A) | $ | 110 | $ | 129 | ||||
7.640%, 09/29/2017 (A) | 100 | 97 | ||||||
6.400%, 10/21/2019 | 280 | 314 | ||||||
6.125%, 12/15/2022 | 390 | 414 | ||||||
6.100%, 06/10/2023 | 550 | 563 | ||||||
6.000%, 12/19/2023 | 860 | 871 | ||||||
5.125%, 05/28/2024 | 490 | 471 | ||||||
4.800%, 04/05/2026 | 1,250 | 1,254 | ||||||
Santander Issuances | ||||||||
5.179%, 11/19/2025 | 455 | 440 | ||||||
Santander UK Group Holdings | ||||||||
4.750%, 09/15/2025 (B) | 540 | 511 | ||||||
2.875%, 10/16/2020 | 761 | 757 | ||||||
Skandinaviska Enskilda Banken MTN | ||||||||
2.625%, 11/17/2020 (B) | 1,075 | 1,090 | ||||||
SL Green Realty‡ | ||||||||
7.750%, 03/15/2020 | 1,000 | 1,171 | ||||||
Standard Chartered | ||||||||
5.700%, 03/26/2044 (B) | 1,420 | 1,279 | ||||||
State Street | ||||||||
4.956%, 03/15/2018 | 1,300 | 1,366 | ||||||
SunTrust Banks | ||||||||
2.900%, 03/03/2021 | 547 | 555 | ||||||
Svenska Handelsbanken MTN | ||||||||
2.450%, 03/30/2021 | 780 | 787 | ||||||
Synchrony Financial | ||||||||
4.500%, 07/23/2025 | 565 | 581 | ||||||
Tanger Properties‡ | ||||||||
3.875%, 12/01/2023 | 305 | 312 | ||||||
3.750%, 12/01/2024 | 265 | 266 | ||||||
Teachers Insurance & Annuity Association of America (B) | ||||||||
6.850%, 12/16/2039 | 1,300 | 1,674 | ||||||
4.900%, 09/15/2044 | 85 | 91 | ||||||
Toronto-Dominion Bank | ||||||||
2.250%, 03/15/2021 (B) | 1,415 | 1,426 | ||||||
Trinity Acquisition | ||||||||
4.400%, 03/15/2026 | 160 | 162 | ||||||
3.500%, 09/15/2021 | 295 | 300 | ||||||
UBS MTN | ||||||||
1.375%, 06/01/2017 | 2,000 | 1,997 | ||||||
UBS Group Funding Jersey (B) | ||||||||
4.125%, 09/24/2025 | 1,190 | 1,192 | ||||||
4.125%, 04/15/2026 | 710 | 709 | ||||||
3.000%, 04/15/2021 | 1,045 | 1,046 | ||||||
US Bank | ||||||||
2.125%, 10/28/2019 | 435 | 443 | ||||||
Ventas Realty L.P.‡ | ||||||||
2.700%, 04/01/2020 | 1,450 | 1,460 | ||||||
Visa | ||||||||
4.300%, 12/14/2045 | 570 | 623 | ||||||
3.150%, 12/14/2025 | 1,710 | 1,785 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 61 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.800%, 12/14/2022 | $ | 1,230 | $ | 1,283 | ||||
2.200%, 12/14/2020 | 325 | 333 | ||||||
Wachovia Capital Trust III | ||||||||
5.570%, 05/31/2016 (A) | 2,700 | 2,666 | ||||||
WEA Finance (B) | ||||||||
4.750%, 09/17/2044 | 230 | 233 | ||||||
3.750%, 09/17/2024 | 780 | 794 | ||||||
3.250%, 10/05/2020 | 795 | 812 | ||||||
Wells Fargo MTN | ||||||||
5.875%, 12/31/2049 (A) | 930 | 993 | ||||||
5.375%, 11/02/2043 | 410 | 463 | ||||||
4.900%, 11/17/2045 | 650 | 698 | ||||||
4.650%, 11/04/2044 | 190 | 195 | ||||||
4.600%, 04/01/2021 | 160 | 178 | ||||||
4.300%, 07/22/2027 | 1,400 | 1,485 | ||||||
3.676%, 06/15/2016 (D) | 680 | 684 | ||||||
3.450%, 02/13/2023 | 430 | 441 | ||||||
3.000%, 01/22/2021 | 1,010 | 1,047 | ||||||
2.125%, 04/22/2019 | 420 | 427 | ||||||
Wells Fargo Bank MTN | ||||||||
6.000%, 11/15/2017 | 250 | 268 | ||||||
1.650%, 01/22/2018 | 1,670 | 1,683 | ||||||
Welltower‡ | ||||||||
4.950%, 01/15/2021 | 2,820 | 3,065 | ||||||
ZFS Finance USA Trust II | ||||||||
6.450%, 12/15/2065 (A) (B) | 1,100 | 1,098 | ||||||
|
| |||||||
228,129 | ||||||||
|
| |||||||
Health Care — 2.5% | ||||||||
AbbVie | ||||||||
4.700%, 05/14/2045 | 1,000 | 1,063 | ||||||
4.500%, 05/14/2035 | 570 | 592 | ||||||
4.400%, 11/06/2042 | 755 | 763 | ||||||
3.600%, 05/14/2025 | 90 | 95 | ||||||
2.500%, 05/14/2020 | 835 | 850 | ||||||
1.750%, 11/06/2017 | 650 | 653 | ||||||
Actavis Funding SCS | ||||||||
4.750%, 03/15/2045 | 2,355 | 2,477 | ||||||
4.550%, 03/15/2035 | 10 | 11 | ||||||
3.800%, 03/15/2025 | 1,405 | 1,462 | ||||||
3.450%, 03/15/2022 | 1,815 | 1,884 | ||||||
3.000%, 03/12/2020 | 540 | 555 | ||||||
2.350%, 03/12/2018 | 425 | 430 | ||||||
Aetna | ||||||||
2.200%, 03/15/2019 | 310 | 316 | ||||||
Amgen | ||||||||
5.650%, 06/15/2042 | 475 | 558 | ||||||
5.375%, 05/15/2043 | 120 | 137 | ||||||
5.150%, 11/15/2041 | 1,625 | 1,793 | ||||||
3.625%, 05/22/2024 | 210 | 221 | ||||||
Anthem | ||||||||
5.875%, 06/15/2017 | 1,155 | 1,215 | ||||||
5.100%, 01/15/2044 | 110 | 116 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AstraZeneca | ||||||||
3.375%, 11/16/2025 | $ | 500 | $ | 518 | ||||
Baxalta (B) | ||||||||
5.250%, 06/23/2045 | 610 | 648 | ||||||
4.000%, 06/23/2025 | 245 | 249 | ||||||
3.600%, 06/23/2022 | 920 | 935 | ||||||
Becton Dickinson | ||||||||
4.685%, 12/15/2044 | 120 | 130 | ||||||
3.734%, 12/15/2024 | 350 | 372 | ||||||
2.675%, 12/15/2019 | 455 | 466 | ||||||
Biogen | ||||||||
5.200%, 09/15/2045 | 1,299 | 1,441 | ||||||
4.050%, 09/15/2025 | 323 | 345 | ||||||
3.625%, 09/15/2022 | 260 | 275 | ||||||
Celgene | ||||||||
5.000%, 08/15/2045 | 2,115 | 2,287 | ||||||
3.875%, 08/15/2025 | 670 | 704 | ||||||
3.550%, 08/15/2022 | 605 | 635 | ||||||
2.875%, 08/15/2020 | 335 | 345 | ||||||
Centene Escrow (B) | ||||||||
6.125%, 02/15/2024 | 110 | 116 | ||||||
5.625%, 02/15/2021 | 190 | 198 | ||||||
DaVita HealthCare Partners | ||||||||
5.125%, 07/15/2024 | 310 | 313 | ||||||
EMD Finance | ||||||||
2.400%, 03/19/2020 (B) | 1,045 | 1,043 | ||||||
Express Scripts Holding | ||||||||
4.500%, 02/25/2026 | 390 | 404 | ||||||
Fresenius Medical Care US Finance | ||||||||
5.750%, 02/15/2021 (B) | 160 | 173 | ||||||
Fresenius Medical Care US Finance II (B) | ||||||||
5.875%, 01/31/2022 | 190 | 209 | ||||||
4.125%, 10/15/2020 | 100 | 102 | ||||||
Gilead Sciences | ||||||||
4.750%, 03/01/2046 | 520 | 569 | ||||||
3.700%, 04/01/2024 | 1,555 | 1,669 | ||||||
3.650%, 03/01/2026 | 960 | 1,020 | ||||||
3.250%, 09/01/2022 | 405 | 428 | ||||||
GlaxoSmithKline Capital | ||||||||
5.650%, 05/15/2018 | 810 | 887 | ||||||
HCA | ||||||||
7.500%, 11/15/2095 | 3,800 | 3,667 | ||||||
Humana | ||||||||
7.200%, 06/15/2018 | 1,150 | 1,279 | ||||||
4.625%, 12/01/2042 | 130 | 126 | ||||||
3.850%, 10/01/2024 | 790 | 826 | ||||||
3.150%, 12/01/2022 | 170 | 172 | ||||||
Johnson & Johnson | ||||||||
4.500%, 12/05/2043 | 600 | 689 | ||||||
3.550%, 03/01/2036 | 1,000 | 1,040 | ||||||
Kindred Healthcare | ||||||||
8.750%, 01/15/2023 | 300 | 287 | ||||||
Mallinckrodt International Finance | ||||||||
5.500%, 04/15/2025 (B) | 20 | 18 |
62 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Medtronic | ||||||||
4.450%, 03/15/2020 | $ | 630 | $ | 700 | ||||
3.625%, 03/15/2024 | 940 | 1,009 | ||||||
3.500%, 03/15/2025 | 840 | 897 | ||||||
Merck | ||||||||
2.750%, 02/10/2025 | 400 | 410 | ||||||
2.350%, 02/10/2022 | 685 | 698 | ||||||
Mylan | ||||||||
2.550%, 03/28/2019 | 660 | 661 | ||||||
Novartis Capital | ||||||||
4.000%, 11/20/2045 | 500 | 535 | ||||||
Perrigo Finance Unlimited | ||||||||
4.375%, 03/15/2026 | 645 | 664 | ||||||
3.900%, 12/15/2024 | 535 | 532 | ||||||
3.500%, 12/15/2021 | 235 | 240 | ||||||
Tenet Healthcare | ||||||||
8.125%, 04/01/2022 | 300 | 308 | ||||||
6.750%, 06/15/2023 | 170 | 163 | ||||||
Thermo Fisher Scientific | ||||||||
3.600%, 08/15/2021 | 350 | 362 | ||||||
3.300%, 02/15/2022 | 270 | 275 | ||||||
UnitedHealth Group | ||||||||
6.000%, 06/15/2017 | 51 | 54 | ||||||
5.800%, 03/15/2036 | 280 | 356 | ||||||
4.625%, 07/15/2035 | 1,010 | 1,127 | ||||||
3.875%, 10/15/2020 | 530 | 574 | ||||||
3.100%, 03/15/2026 | 735 | 752 | ||||||
2.875%, 12/15/2021 | 580 | 602 | ||||||
2.125%, 03/15/2021 | 530 | 535 | ||||||
Valeant Pharmaceuticals International | ||||||||
5.375%, 03/15/2020 (B) | 740 | 603 | ||||||
VPII Escrow | ||||||||
7.500%, 07/15/2021 (B) | 490 | 408 | ||||||
Wyeth LLC | ||||||||
5.950%, 04/01/2037 | 340 | 437 | ||||||
Zimmer Biomet Holdings | ||||||||
4.450%, 08/15/2045 | 160 | 157 | ||||||
|
| |||||||
52,835 | ||||||||
|
| |||||||
Industrials — 2.0% | ||||||||
ABB Finance USA | ||||||||
4.375%, 05/08/2042 | 80 | 84 | ||||||
AerCap Ireland Capital | ||||||||
4.625%, 07/01/2022 | 210 | 214 | ||||||
3.750%, 05/15/2019 | 520 | 518 | ||||||
American Airlines Pass-Through Trust, Ser 2013-2 | ||||||||
4.950%, 01/15/2023 | 2,100 | 2,247 | ||||||
AP Moeller - Maersk | ||||||||
3.875%, 09/28/2025 (B) | 467 | 446 | ||||||
BAE Systems | ||||||||
4.750%, 10/11/2021 (B) | 1,350 | 1,478 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Burlington Northern Santa Fe | ||||||||
4.700%, 09/01/2045 | $ | 340 | $ | 379 | ||||
4.150%, 04/01/2045 | 505 | 518 | ||||||
Caterpillar Financial Services MTN | ||||||||
2.750%, 08/20/2021 | 620 | 638 | ||||||
Catholic Health Initiatives | ||||||||
4.350%, 11/01/2042 | 80 | 79 | ||||||
2.950%, 11/01/2022 | 800 | 802 | ||||||
Continental Airlines Pass-Through Trust, | ||||||||
7.256%, 03/15/2020 | 1,463 | 1,567 | ||||||
Continental Airlines Pass-Through Trust, Ser 2007-1, Cl A | ||||||||
5.983%, 04/19/2022 | 1,344 | 1,485 | ||||||
Continental Airlines Pass-Through Trust, Ser 2009-1 | ||||||||
9.000%, 07/08/2016 | 1,953 | 1,995 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2007-1, Cl A | ||||||||
6.821%, 08/10/2022 | 1,053 | 1,211 | ||||||
Eaton | ||||||||
4.150%, 11/02/2042 | 440 | 439 | ||||||
2.750%, 11/02/2022 | 950 | 951 | ||||||
1.500%, 11/02/2017 | 270 | 270 | ||||||
FedEx | ||||||||
4.550%, 04/01/2046 | 390 | 401 | ||||||
Florida East Coast Holdings | ||||||||
6.750%, 05/01/2019 (B) | 460 | 460 | ||||||
GE Capital International Funding MTN (B) | ||||||||
4.418%, 11/15/2035 | 1,610 | 1,749 | ||||||
2.342%, 11/15/2020 | 1,890 | 1,936 | ||||||
0.964%, 04/15/2016 | 2,762 | 2,762 | ||||||
General Electric MTN | ||||||||
6.875%, 01/10/2039 | 171 | 248 | ||||||
5.875%, 01/14/2038 | 192 | 250 | ||||||
5.300%, 02/11/2021 | 184 | 214 | ||||||
4.500%, 03/11/2044 | 220 | 246 | ||||||
1.098%, 08/15/2036 (A) | 1,550 | 1,280 | ||||||
1.001%, 05/05/2026 (A) | 1,950 | 1,775 | ||||||
JetBlue Airways Pass-Through Trust, Ser 2004-2, Cl G1 | ||||||||
0.993%, 08/15/2016 (A) | 416 | 414 | ||||||
Lockheed Martin | ||||||||
4.700%, 05/15/2046 | 315 | 352 | ||||||
4.500%, 05/15/2036 | 90 | 97 | ||||||
3.550%, 01/15/2026 | 1,958 | 2,074 | ||||||
3.350%, 09/15/2021 | 920 | 974 | ||||||
3.100%, 01/15/2023 | 50 | 52 | ||||||
2.500%, 11/23/2020 | 540 | 553 | ||||||
Northrop Grumman | ||||||||
3.850%, 04/15/2045 | 215 | 213 | ||||||
3.250%, 08/01/2023 | 3,160 | 3,304 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 63 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Parker-Hannifin MTN | ||||||||
3.300%, 11/21/2024 | $ | 220 | $ | 231 | ||||
Penske Truck Leasing LP (B) | ||||||||
3.375%, 02/01/2022 | 635 | 627 | ||||||
3.200%, 07/15/2020 | 745 | 745 | ||||||
3.050%, 01/09/2020 | 160 | 159 | ||||||
Raytheon | ||||||||
3.125%, 10/15/2020 | 430 | 459 | ||||||
Siemens Financieringsmaatschappij | ||||||||
2.900%, 05/27/2022 (B) | 1,075 | 1,119 | ||||||
Union Pacific | ||||||||
4.050%, 03/01/2046 | 395 | 407 | ||||||
United Air Lines Pass-Through Trust, Ser 2009-2A | ||||||||
9.750%, 01/15/2017 | 78 | 82 | ||||||
United Rentals North America | ||||||||
5.500%, 07/15/2025 | 310 | 308 | ||||||
United Technologies | ||||||||
4.500%, 06/01/2042 | 340 | 368 | ||||||
US Airways Pass-Through Trust, | ||||||||
4.625%, 06/03/2025 | 829 | 878 | ||||||
Valmont Industries | ||||||||
5.250%, 10/01/2054 | 310 | 267 | ||||||
Verisk Analytics | ||||||||
5.500%, 06/15/2045 | 85 | 83 | ||||||
Waste Management | ||||||||
7.375%, 05/15/2029 | 330 | 451 | ||||||
3.500%, 05/15/2024 | 310 | 324 | ||||||
West | ||||||||
5.375%, 07/15/2022 (B) | 430 | 394 | ||||||
|
| |||||||
41,577 | ||||||||
|
| |||||||
Information Technology — 1.0% | ||||||||
Activision Blizzard | ||||||||
5.625%, 09/15/2021 (B) | 300 | 315 | ||||||
Alibaba Group Holding | ||||||||
3.600%, 11/28/2024 | 520 | 524 | ||||||
Analog Devices | ||||||||
5.300%, 12/15/2045 | 245 | 275 | ||||||
Apple | ||||||||
4.650%, 02/23/2046 | 2,520 | 2,751 | ||||||
4.375%, 05/13/2045 | 1,090 | 1,141 | ||||||
3.850%, 05/04/2043 | 640 | 622 | ||||||
3.250%, 02/23/2026 | 611 | 638 | ||||||
2.850%, 02/23/2023 | 735 | 762 | ||||||
2.250%, 02/23/2021 | 1,090 | 1,111 | ||||||
Cisco Systems | ||||||||
2.200%, 02/28/2021 | 1,315 | 1,341 | ||||||
1.600%, 02/28/2019 | 520 | 528 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Fidelity National Information Services | ||||||||
5.000%, 10/15/2025 | $ | 340 | $ | 367 | ||||
4.500%, 10/15/2022 | 250 | 267 | ||||||
3.625%, 10/15/2020 | 505 | 522 | ||||||
2.850%, 10/15/2018 | 630 | 640 | ||||||
Harris | ||||||||
5.054%, 04/27/2045 | 190 | 203 | ||||||
Hewlett Packard Enterprise (B) | ||||||||
6.350%, 10/15/2045 | 565 | 555 | ||||||
4.900%, 10/15/2025 | 515 | 530 | ||||||
Intel | ||||||||
4.900%, 07/29/2045 | 120 | 135 | ||||||
3.700%, 07/29/2025 | 140 | 153 | ||||||
Micron Technology | ||||||||
5.625%, 01/15/2026 (B) | 120 | 95 | ||||||
5.500%, 02/01/2025 | 80 | 65 | ||||||
Microsoft | ||||||||
4.200%, 11/03/2035 | 895 | 959 | ||||||
3.750%, 02/12/2045 | 950 | 941 | ||||||
3.500%, 02/12/2035 | 885 | 867 | ||||||
3.125%, 11/03/2025 | 1,400 | 1,470 | ||||||
National Semiconductor | ||||||||
6.600%, 06/15/2017 | 170 | 181 | ||||||
Oracle | ||||||||
3.900%, 05/15/2035 | 1,195 | 1,192 | ||||||
1.200%, 10/15/2017 | 1,050 | 1,056 | ||||||
Total System Services | ||||||||
4.800%, 04/01/2026 | 220 | 227 | ||||||
3.800%, 04/01/2021 | 245 | 252 | ||||||
TSMC Global | ||||||||
1.625%, 04/03/2018 (B) | 875 | 870 | ||||||
|
| |||||||
21,555 | ||||||||
|
| |||||||
Materials — 1.0% | ||||||||
Albemarle | ||||||||
5.450%, 12/01/2044 | 305 | 292 | ||||||
ArcelorMittal | ||||||||
8.000%, 10/15/2039 | 180 | 156 | ||||||
7.250%, 02/25/2022 | 120 | 119 | ||||||
6.500%, 03/01/2021 | 140 | 138 | ||||||
6.125%, 06/01/2025 | 240 | 222 | ||||||
Ardagh Packaging Finance | ||||||||
3.634%, 12/15/2019 (A) (B) | 640 | 630 | ||||||
Axiall | ||||||||
4.875%, 05/15/2023 | 140 | 137 | ||||||
Barrick Gold | ||||||||
4.100%, 05/01/2023 | 328 | 319 | ||||||
Barrick North America Finance | ||||||||
4.400%, 05/30/2021 | 1,665 | 1,702 | ||||||
BHP Billiton Finance USA | ||||||||
6.750%, 10/19/2075 (A) (B) | 620 | 620 | ||||||
5.000%, 09/30/2043 | 460 | 468 | ||||||
3.850%, 09/30/2023 | 400 | 412 | ||||||
3.250%, 11/21/2021 | 1,400 | 1,440 |
64 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Celulosa Arauco y Constitucion | ||||||||
4.750%, 01/11/2022 | $ | 520 | $ | 551 | ||||
Dow Chemical | ||||||||
3.000%, 11/15/2022 | 1,265 | 1,294 | ||||||
Eagle Spinco | ||||||||
4.625%, 02/15/2021 | 680 | 658 | ||||||
Eastman Chemical | ||||||||
2.700%, 01/15/2020 | 695 | 709 | ||||||
Ecolab | ||||||||
4.350%, 12/08/2021 | 220 | 243 | ||||||
FMG Resources (August 2006) Property Limited | ||||||||
9.750%, 03/01/2022 (B) | 120 | 120 | ||||||
Freeport-McMoRan | ||||||||
4.000%, 11/14/2021 | 530 | 375 | ||||||
Freeport-McMoran Oil & Gas | ||||||||
6.875%, 02/15/2023 | 75 | 58 | ||||||
6.500%, 11/15/2020 | 104 | 83 | ||||||
Glencore Finance Canada | ||||||||
2.700%, 10/25/2017 (B) | 1,080 | 1,058 | ||||||
Glencore Funding | ||||||||
2.875%, 04/16/2020 (B) | 940 | 837 | ||||||
International Paper | ||||||||
5.150%, 05/15/2046 | 490 | 493 | ||||||
5.000%, 09/15/2035 | 695 | 716 | ||||||
LYB International Finance | ||||||||
4.875%, 03/15/2044 | 230 | 229 | ||||||
LyondellBasell Industries | ||||||||
5.750%, 04/15/2024 | 200 | 231 | ||||||
Mosaic | ||||||||
5.625%, 11/15/2043 | 160 | 167 | ||||||
OCP | ||||||||
4.500%, 10/22/2025 (B) | 1,650 | 1,581 | ||||||
Potash Corp of Saskatchewan | ||||||||
4.875%, 03/30/2020 | 280 | 302 | ||||||
Reynolds Group Issuer | ||||||||
6.875%, 02/15/2021 | 180 | 186 | ||||||
Rio Tinto Finance USA | ||||||||
6.500%, 07/15/2018 | 810 | 885 | ||||||
3.750%, 06/15/2025 | 855 | 833 | ||||||
Rio Tinto Finance USA PLC | ||||||||
2.250%, 12/14/2018 | 200 | 201 | ||||||
Southern Copper | ||||||||
5.250%, 11/08/2042 | 1,550 | 1,273 | ||||||
Steel Dynamics | ||||||||
6.375%, 08/15/2022 | 220 | 227 | ||||||
Vale Overseas | ||||||||
6.875%, 11/21/2036 (C) | 1,510 | 1,192 | ||||||
WestRock RKT | ||||||||
4.000%, 03/01/2023 | 70 | 72 | ||||||
3.500%, 03/01/2020 | 320 | 324 | ||||||
|
| |||||||
21,553 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Telecommunication Services — 1.7% |
| |||||||
America Movil | ||||||||
5.625%, 11/15/2017 | $ | 440 | $ | 468 | ||||
5.000%, 03/30/2020 | 750 | 830 | ||||||
3.125%, 07/16/2022 | 260 | 267 | ||||||
AT&T | ||||||||
6.500%, 09/01/2037 | 765 | 908 | ||||||
6.450%, 06/15/2034 | 625 | 715 | ||||||
6.000%, 08/15/2040 | 845 | 939 | ||||||
5.650%, 02/15/2047 | 285 | 315 | ||||||
5.550%, 08/15/2041 | 200 | 215 | ||||||
4.750%, 05/15/2046 | 1,635 | 1,595 | ||||||
4.450%, 04/01/2024 | 565 | 612 | ||||||
4.350%, 06/15/2045 | 240 | 220 | ||||||
3.950%, 01/15/2025 | 770 | 800 | ||||||
3.800%, 03/15/2022 | 138 | 145 | ||||||
3.400%, 05/15/2025 | 4,772 | 4,783 | ||||||
3.000%, 06/30/2022 | 975 | 989 | ||||||
Bharti Airtel | ||||||||
4.375%, 06/10/2025 (B) | 940 | 955 | ||||||
CenturyLink | ||||||||
5.800%, 03/15/2022 | 70 | 67 | ||||||
5.625%, 04/01/2020 | 140 | 142 | ||||||
5.625%, 04/01/2025 | 180 | 161 | ||||||
Deutsche Telekom International Finance | ||||||||
2.250%, 03/06/2017 (B) | 905 | 913 | ||||||
Intelsat Jackson Holdings | ||||||||
7.500%, 04/01/2021 | 10 | 6 | ||||||
Sprint | ||||||||
7.875%, 09/15/2023 | 320 | 245 | ||||||
7.625%, 02/15/2025 | 710 | 527 | ||||||
7.250%, 09/15/2021 | 50 | 38 | ||||||
Sprint Communications | ||||||||
11.500%, 11/15/2021 | 810 | 721 | ||||||
Telefonica Emisiones SAU | ||||||||
6.221%, 07/03/2017 | 100 | 105 | ||||||
5.877%, 07/15/2019 | 90 | 101 | ||||||
5.134%, 04/27/2020 | 300 | 332 | ||||||
Verizon Communications | ||||||||
6.550%, 09/15/2043 | 4,163 | 5,484 | ||||||
6.400%, 09/15/2033 | 1,234 | 1,518 | ||||||
5.150%, 09/15/2023 | 1,115 | 1,287 | ||||||
4.862%, 08/21/2046 | 2,050 | 2,162 | ||||||
4.522%, 09/15/2048 | 983 | 985 | ||||||
4.400%, 11/01/2034 | 2,350 | 2,376 | ||||||
4.272%, 01/15/2036 | 1,335 | 1,328 | ||||||
3.850%, 11/01/2042 | 130 | 118 | ||||||
3.000%, 11/01/2021 | 775 | 805 | ||||||
2.500%, 09/15/2016 | 580 | 584 | ||||||
Vodafone Group PLC | ||||||||
2.950%, 02/19/2023 | 755 | 753 | ||||||
|
| |||||||
35,514 | ||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 65 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Utilities — 2.2% | ||||||||
AES | ||||||||
7.375%, 07/01/2021 | $ | 40 | $ | 45 | ||||
4.875%, 05/15/2023 | 920 | 885 | ||||||
American Electric Power | ||||||||
1.650%, 12/15/2017 | 735 | 731 | ||||||
Berkshire Hathaway Energy | ||||||||
6.500%, 09/15/2037 | 1,160 | 1,513 | ||||||
4.500%, 02/01/2045 | 1,010 | 1,075 | ||||||
Calpine | ||||||||
5.875%, 01/15/2024 (B) | 280 | 294 | ||||||
Commonwealth Edison | ||||||||
3.700%, 03/01/2045 | 120 | 118 | ||||||
Consolidated Edison of New York | ||||||||
4.500%, 12/01/2045 | 250 | 273 | ||||||
4.450%, 03/15/2044 | 810 | 882 | ||||||
Dominion Resources | ||||||||
4.700%, 12/01/2044 | 360 | 361 | ||||||
3.900%, 10/01/2025 | 135 | 139 | ||||||
2.500%, 12/01/2019 | 610 | 617 | ||||||
Duke Energy | ||||||||
4.800%, 12/15/2045 | 220 | 234 | ||||||
3.750%, 04/15/2024 | 270 | 282 | ||||||
Duke Energy Carolinas | ||||||||
4.250%, 12/15/2041 | 600 | 641 | ||||||
4.000%, 09/30/2042 | 1,000 | 1,032 | ||||||
3.875%, 03/15/2046 | 220 | 224 | ||||||
2.500%, 03/15/2023 | 435 | 440 | ||||||
Duke Energy Florida | ||||||||
3.850%, 11/15/2042 | 165 | 160 | ||||||
Duke Energy Progress | ||||||||
3.250%, 08/15/2025 | 495 | 519 | ||||||
Duquesne Light Holdings | ||||||||
6.400%, 09/15/2020 (B) | 1,450 | 1,661 | ||||||
El Paso Electric | ||||||||
5.000%, 12/01/2044 | 170 | 183 | ||||||
Electricite de France (B) | ||||||||
5.250%, 10/13/2055 | 230 | 226 | ||||||
4.950%, 10/13/2045 | 160 | 165 | ||||||
Exelon | ||||||||
5.625%, 06/15/2035 | 880 | 993 | ||||||
3.950%, 06/15/2025 (B) | 550 | 570 | ||||||
FirstEnergy | ||||||||
2.750%, 03/15/2018 | 280 | 283 | ||||||
FirstEnergy, Ser C | 2,965 | 3,601 | ||||||
Florida Gas Transmission LLC | ||||||||
3.875%, 07/15/2022 (B) | 1,000 | 968 | ||||||
Indiana Michigan Power | ||||||||
4.550%, 03/15/2046 | 220 | 226 | ||||||
IPALCO Enterprises | ||||||||
5.000%, 05/01/2018 | 1,200 | 1,260 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
KCP&L Greater Missouri Operations | ||||||||
8.270%, 11/15/2021 | $ | 2,700 | $ | 3,312 | ||||
KeySpan Gas East | ||||||||
5.819%, 04/01/2041 (B) | 1,250 | 1,508 | ||||||
Majapahit Holding BV | ||||||||
7.750%, 01/20/2020 | 420 | 480 | ||||||
Metropolitan Edison | ||||||||
3.500%, 03/15/2023 (B) | 2,425 | 2,456 | ||||||
MidAmerican Energy | ||||||||
4.250%, 05/01/2046 | 305 | 328 | ||||||
3.500%, 10/15/2024 | 305 | 326 | ||||||
NextEra Energy Capital Holdings | ||||||||
2.056%, 09/01/2017 | 2,000 | 2,011 | ||||||
NiSource Finance | ||||||||
6.800%, 01/15/2019 | 2,261 | 2,528 | ||||||
Oncor Electric Delivery LLC | ||||||||
6.800%, 09/01/2018 | 1,075 | 1,199 | ||||||
4.550%, 12/01/2041 | 690 | 713 | ||||||
Pacific Gas & Electric | ||||||||
8.250%, 10/15/2018 | 280 | 325 | ||||||
6.050%, 03/01/2034 | 270 | 344 | ||||||
5.800%, 03/01/2037 | 710 | 882 | ||||||
4.450%, 04/15/2042 | 700 | 757 | ||||||
2.950%, 03/01/2026 | 373 | 377 | ||||||
PECO Energy | ||||||||
4.150%, 10/01/2044 | 625 | 651 | ||||||
3.150%, 10/15/2025 | 560 | 584 | ||||||
PPL Electric Utilities | ||||||||
4.150%, 10/01/2045 | 340 | 358 | ||||||
PSEG Power LLC | ||||||||
2.750%, 09/15/2016 | 320 | 323 | ||||||
Public Service of New Hampshire | ||||||||
3.500%, 11/01/2023 | 310 | 328 | ||||||
Public Service of New Mexico | ||||||||
7.950%, 05/15/2018 | 1,265 | 1,416 | ||||||
Puget Energy | ||||||||
6.000%, 09/01/2021 | 790 | 901 | ||||||
Sempra Energy | ||||||||
2.850%, 11/15/2020 | 560 | 569 | ||||||
Southern | ||||||||
2.150%, 09/01/2019 | 615 | 618 | ||||||
Southwestern Electric Power | ||||||||
3.900%, 04/01/2045 | 310 | 284 | ||||||
Texas-New Mexico Power | ||||||||
6.950%, 04/01/2043 (B) | 880 | 1,186 | ||||||
Virginia Electric & Power | ||||||||
4.650%, 08/15/2043 | 405 | 450 | ||||||
3.150%, 01/15/2026 | 440 | 455 | ||||||
|
| |||||||
46,270 | ||||||||
|
| |||||||
Total Corporate Obligations | 620,571 | |||||||
|
|
66 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 25.9% |
| |||||||
U.S. Treasury Bills(E) | ||||||||
0.416%, 08/18/2016 | $ | 7,985 | $ | 7,975 | ||||
0.260%, 04/14/2016 | 6,315 | 6,315 | ||||||
0.233%, 04/21/2016 | 4,275 | 4,275 | ||||||
0.205%, 04/28/2016 | 410 | 410 | ||||||
0.180%, 04/07/2016 (F) | 17,805 | 17,804 | ||||||
U.S. Treasury Bonds | ||||||||
3.750%, 11/15/2043 | 2,470 | 3,068 | ||||||
3.375%, 05/15/2044 | 150 | 174 | ||||||
3.000%, 11/15/2044 | 5,323 | 5,744 | ||||||
3.000%, 05/15/2045 | 18,690 | 20,157 | ||||||
3.000%, 11/15/2045 | 11,657 | 12,585 | ||||||
2.875%, 05/15/2043 | 8,550 | 9,009 | ||||||
2.875%, 08/15/2045 | 10,725 | 11,281 | ||||||
2.778%, 05/15/2045 | 3,295 | 1,478 | ||||||
2.772%, 08/15/2045 | 1,850 | 823 | ||||||
2.750%, 08/15/2042 | 3,570 | 3,686 | ||||||
2.625%, 11/15/2020 | 14,324 | 15,235 | ||||||
2.500%, 02/15/2045 (F) | 29,934 | 29,188 | ||||||
2.500%, 02/15/2046 | 22,784 | 22,215 | ||||||
U.S. Treasury Inflation Protected Securities | ||||||||
2.500%, 07/15/2016 | 4,358 | 4,437 | ||||||
2.125%, 02/15/2040 | 932 | 1,190 | ||||||
1.750%, 01/15/2028 | 1,233 | 1,429 | ||||||
1.375%, 02/15/2044 | 12,844 | 14,379 | ||||||
1.000%, 02/15/2046 | 4,659 | 4,860 | ||||||
0.750%, 02/15/2042 | 1,321 | 1,282 | ||||||
0.750%, 02/15/2045 | 5,991 | 5,797 | ||||||
0.625%, 01/15/2024 | 2,904 | 3,024 | ||||||
0.625%, 02/15/2043 | 1,927 | 1,809 | ||||||
0.375%, 07/15/2023 | 4,205 | 4,331 | ||||||
0.375%, 07/15/2025 | 3,503 | 3,580 | ||||||
0.250%, 01/15/2025 | 7,937 | 8,004 | ||||||
0.125%, 07/15/2024 | 3,842 | 3,855 | ||||||
U.S. Treasury Notes | ||||||||
3.500%, 05/15/2020 | 14,855 | 16,273 | ||||||
2.625%, 08/15/2020 | 5,110 | 5,430 | ||||||
2.500%, 06/30/2017 | 3,675 | 3,758 | ||||||
2.375%, 08/15/2024 | 470 | 495 | ||||||
2.250%, 03/31/2021 | 4,457 | 4,673 | ||||||
2.250%, 11/15/2025 | 1,390 | 1,447 | ||||||
2.125%, 08/31/2020 | 3,025 | 3,149 | ||||||
2.125%, 12/31/2021 | 2,025 | 2,106 | ||||||
2.000%, 11/30/2020 | 3,103 | 3,214 | ||||||
2.000%, 02/28/2021 | 3,132 | 3,246 | ||||||
2.000%, 08/15/2025 | 4,950 | 5,045 | ||||||
1.875%, 08/31/2017 | 9,320 | 9,474 | ||||||
1.875%, 09/30/2017 | 4,515 | 4,593 | ||||||
1.625%, 12/31/2019 | 1,320 | 1,348 | ||||||
1.625%, 02/15/2026 | 29,439 | 29,011 | ||||||
1.500%, 11/30/2019 | 4,285 | 4,357 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
1.500%, 02/28/2023 | $ | 20,101 | $ | 20,045 | ||||
1.375%, 02/29/2020 | 3,085 | 3,119 | ||||||
1.375%, 01/31/2021 | 30,389 | 30,607 | ||||||
1.250%, 03/31/2021 | 44,098 | 44,138 | ||||||
1.125%, 02/28/2021 | 4,722 | 4,703 | ||||||
1.000%, 03/15/2019 | 21,394 | 21,478 | ||||||
0.875%, 08/15/2017 | 1,465 | 1,468 | ||||||
0.875%, 11/30/2017 | 7,817 | 7,836 | ||||||
0.875%, 03/31/2018 | 3,912 | 3,922 | ||||||
0.750%, 10/31/2017 | 20,125 | 20,132 | ||||||
0.750%, 01/31/2018 | 16,280 | 16,286 | ||||||
0.750%, 02/28/2018 | 8,419 | 8,421 | ||||||
0.750%, 03/31/2018 | 6,076 | 6,075 | ||||||
0.750%, 04/15/2018 | 2,074 | 2,073 | ||||||
0.750%, 02/15/2019 | 15,170 | 15,125 | ||||||
0.625%, 05/31/2017 | 4,985 | 4,982 | ||||||
0.625%, 08/31/2017 | 4,765 | 4,759 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 542,187 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 9.5% |
| |||||||
Automotive — 2.0% | ||||||||
Ally Auto Receivables Trust, | ||||||||
1.530%, 04/15/2019 | 507 | 508 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.390%, 09/16/2019 | 610 | 611 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.490%, 11/15/2019 | 506 | 508 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.200%, 08/15/2018 | 940 | 941 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Ser 2012-3A, Cl A | ||||||||
2.100%, 03/20/2019 (B) | 560 | 559 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Ser 2013-1A, Cl A | ||||||||
1.920%, 09/20/2019 (B) | 1,473 | 1,460 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Ser 2013-2A, Cl A | ||||||||
2.970%, 02/20/2020 (B) | 350 | 356 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2014-2A, Cl A | ||||||||
2.500%, 02/20/2021 (B) | 390 | 390 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2016-1A, Cl A | ||||||||
2.990%, 06/20/2022 (B) | 730 | 730 | ||||||
Bank of The West Auto Trust, | ||||||||
1.090%, 03/15/2019 (B) | 429 | 429 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 67 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
California Republic Auto Receivables Trust, | ||||||||
1.570%, 12/16/2019 | $ | 281 | $ | 281 | ||||
California Republic Auto Receivables Trust, | ||||||||
1.790%, 03/16/2020 | 281 | 283 | ||||||
California Republic Auto Receivables Trust, | ||||||||
1.820%, 09/15/2020 | 513 | 513 | ||||||
California Republic Auto Receivables Trust, | ||||||||
1.310%, 08/15/2019 | 317 | 317 | ||||||
California Republic Auto Receivables Trust, | ||||||||
2.580%, 06/15/2021 (B) | 535 | 543 | ||||||
California Republic Auto Receivables Trust, | ||||||||
1.600%, 09/17/2018 (B) | 398 | 399 | ||||||
California Republic Auto Receivables Trust, | ||||||||
1.890%, 05/15/2020 | 685 | 686 | ||||||
California Republic Auto Receivables Trust, | ||||||||
2.240%, 10/15/2021 | 381 | 382 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-2, Cl A4 | ||||||||
1.560%, 07/20/2018 | 429 | 429 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-3, Cl A4 | ||||||||
1.680%, 04/20/2018 | 264 | 264 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-4, Cl A4 | ||||||||
1.470%, 07/20/2018 | 452 | 453 | ||||||
Capital Auto Receivables Asset Trust, Ser 2014-1, Cl A4 | ||||||||
1.690%, 10/22/2018 | 618 | 619 | ||||||
Capital Auto Receivables Asset Trust, Ser 2014-2, Cl A4 | ||||||||
1.620%, 10/22/2018 | 266 | 266 | ||||||
Capital Auto Receivables Asset Trust, Ser 2014-3, Cl A4 | ||||||||
1.830%, 04/22/2019 | 243 | 244 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-1, Cl A3 | ||||||||
1.610%, 06/20/2019 | 678 | 678 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-1, Cl A4 | ||||||||
1.860%, 10/21/2019 | $ | 394 | $ | 395 | ||||
Capital Auto Receivables Asset Trust, Ser 2015-2, Cl A2 | ||||||||
1.390%, 09/20/2018 | 330 | 330 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-2, Cl A4 | ||||||||
1.970%, 01/21/2020 | 931 | 933 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-2, Cl A3 | ||||||||
1.730%, 09/20/2019 | 628 | 628 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-3, Cl A1A | ||||||||
1.390%, 02/20/2018 (B) | 1,599 | 1,599 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-3, Cl A3 | ||||||||
1.940%, 01/21/2020 | 691 | 693 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-4, Cl A2 | ||||||||
1.620%, 03/20/2019 | 425 | 425 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-4, Cl A4 | ||||||||
2.010%, 07/20/2020 | 349 | 348 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-4, Cl A3 | ||||||||
1.830%, 03/20/2020 | 813 | 815 | ||||||
Capital Auto Receivables Asset Trust, Ser 2016-1, Cl A3 | ||||||||
1.730%, 04/20/2020 | 725 | 726 | ||||||
Capital Auto Receivables Asset Trust, Ser 2016-1, Cl A2A | ||||||||
1.500%, 11/20/2018 | 890 | 890 | ||||||
Capital Auto Receivables Asset Trust, Ser 2016-1, Cl A4 | ||||||||
1.980%, 10/20/2020 | 325 | 326 | ||||||
Ford Credit Auto Owner Trust, Ser 2013-B, Cl A3 | ||||||||
0.570%, 10/15/2017 | 73 | 73 | ||||||
Ford Credit Auto Owner Trust, Ser 2014-1, Cl A | ||||||||
2.260%, 11/15/2025 (B) | 2,305 | 2,335 | ||||||
Ford Credit Auto Owner Trust, Ser 2014-C, Cl A3 | ||||||||
1.060%, 05/15/2019 | 672 | 672 | ||||||
Ford Credit Auto Owner Trust, Ser 2015-1, Cl A | ||||||||
2.120%, 07/15/2026 (B) | 965 | 966 | ||||||
Ford Credit Auto Owner Trust, Ser 2015-2, Cl A | ||||||||
2.440%, 01/15/2027 (B) | 1,215 | 1,232 | ||||||
Ford Credit Auto Owner Trust, Ser 2016-1, Cl A | ||||||||
2.310%, 08/15/2027 (B) | 2,246 | 2,253 |
68 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ford Credit Auto Owner Trust, Ser 2016-A, Cl A2A | ||||||||
1.120%, 12/15/2018 | $ | 826 | $ | 826 | ||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-2, Cl A | ||||||||
1.920%, 01/15/2019 | 529 | 531 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2013-5, Cl A1 | ||||||||
1.500%, 09/15/2018 | 270 | 270 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl A1 | ||||||||
1.200%, 02/15/2019 | 306 | 306 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2014-4, Cl A1 | ||||||||
1.400%, 08/15/2019 | 1,220 | 1,219 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2015-2, Cl A2 | ||||||||
1.001%, 01/15/2022 (A) | 1,150 | 1,135 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2016-1, Cl A2 | ||||||||
1.336%, 02/15/2021 (A) | 816 | 816 | ||||||
Hertz Vehicle Financing, | ||||||||
3.520%, 03/25/2021 (B) | 1,500 | 1,495 | ||||||
Hertz Vehicle Financing, | ||||||||
4.350%, 03/25/2021 (B) | 650 | 648 | ||||||
Hertz Vehicle Financing, | ||||||||
2.730%, 03/25/2021 (B) | 988 | 988 | ||||||
Honda Auto Receivables Owner Trust, Ser 2013-3, Cl A3 | ||||||||
0.770%, 05/15/2017 | 343 | 342 | ||||||
Honda Auto Receivables Owner Trust, Ser 2015-4, Cl A2 | ||||||||
0.820%, 07/23/2018 | 1,690 | 1,687 | ||||||
Hyundai Auto Receivables Trust, Ser 2013-A, Cl A4 | ||||||||
0.750%, 09/17/2018 | 228 | 228 | ||||||
Hyundai Auto Receivables Trust, Ser 2013-B, Cl A4 | ||||||||
1.010%, 02/15/2019 | 223 | 223 | ||||||
Hyundai Auto Receivables Trust, Ser 2013-C, Cl A3 | ||||||||
1.010%, 02/15/2018 | 13 | 13 | ||||||
Hyundai Auto Receivables Trust, Ser 2014-B, Cl A3 | ||||||||
0.900%, 12/17/2018 | 517 | 517 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2015-C, Cl A2A | ||||||||
0.870%, 11/15/2018 | 1,705 | 1,702 | ||||||
|
| |||||||
41,434 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Cards — 0.3% | ||||||||
American Express Credit Account Master Trust, Ser 2014-3, Cl A | ||||||||
1.490%, 04/15/2020 | $ | 1,619 | $ | 1,625 | ||||
Capital One Multi-Asset Execution Trust, Ser 2015-A1, Cl A1 | ||||||||
1.390%, 01/15/2021 | 288 | 289 | ||||||
Chase Issuance Trust, | ||||||||
0.486%, 04/15/2019 (A) | 445 | 444 | ||||||
Chase Issuance Trust, | ||||||||
0.706%, 05/15/2019 (A) | 1,015 | 1,015 | ||||||
Citibank Credit Card Issuance Trust, Ser 2014-A3, Cl A3 | ||||||||
0.641%, 05/09/2018 (A) | 1,695 | 1,695 | ||||||
Discover Card Execution Note Trust, Ser 2015-A4, Cl A4 | ||||||||
2.190%, 04/17/2023 | 655 | 666 | ||||||
World Financial Network Credit Card Master Trust, | ||||||||
1.540%, 08/16/2021 | 225 | 226 | ||||||
|
| |||||||
5,960 | ||||||||
|
| |||||||
Mortgage Related Securities — 0.8% |
| |||||||
AFC Home Equity Loan Trust, Ser 1998-1, Cl 1A2 | ||||||||
0.583%, 04/25/2028 (A) | 10 | 9 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
0.833%, 08/25/2043 (A) | 697 | 686 | ||||||
Centex Home Equity, | ||||||||
0.683%, 06/25/2036 (A) | 4,917 | 4,556 | ||||||
Citigroup Mortgage Loan Trust, Ser 2006-HE2, Cl A2D | ||||||||
0.673%, 08/25/2036 (A) | 4,200 | 3,523 | ||||||
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9 | ||||||||
7.090%, 04/15/2028 | – | – | ||||||
EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1 | ||||||||
1.373%, 05/25/2039 (A) (B) | 487 | 463 | ||||||
Master Asset-Backed Securities Trust, Ser 2007-HE1, Cl A4 | ||||||||
0.713%, 05/25/2037 (A) | 5,500 | 3,631 | ||||||
New Century Home Equity Loan Trust, Ser 2005-2, Cl M1 | ||||||||
0.863%, 06/25/2035 (A) | 1,720 | 1,716 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 69 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
New Century Home Equity Loan Trust, Ser 2005-3, Cl M2 | ||||||||
0.923%, 07/25/2035 (A) | $ | 3,500 | $ | 3,382 | ||||
|
| |||||||
17,966 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 6.4% |
| |||||||
Academic Loan Funding Trust, Ser 2012-1A, Cl A2 | ||||||||
1.533%, 12/27/2044 (A) (B) | 2,100 | 2,034 | ||||||
Ally Master Owner Trust, | ||||||||
1.540%, 09/15/2019 | 2,374 | 2,373 | ||||||
Ally Master Owner Trust, | ||||||||
1.330%, 03/15/2019 | 195 | 195 | ||||||
Ally Master Owner Trust, | ||||||||
1.430%, 06/17/2019 | 2,673 | 2,671 | ||||||
Ally Master Owner Trust, | ||||||||
0.926%, 10/15/2019 (A) | 1,101 | 1,097 | ||||||
Ally Master Owner Trust, | ||||||||
1.001%, 01/15/2021 (A) | 642 | 640 | ||||||
Brazos Higher Education Authority, Ser 2010-1, Cl A2 | ||||||||
1.593%, 02/25/2035 (A) | 2,200 | 2,143 | ||||||
Brazos Higher Education Authority, Ser 2011-2, Cl A3 | ||||||||
1.619%, 10/27/2036 (A) | 1,750 | 1,682 | ||||||
Centerpoint Energy Transition Bond III, Ser 2008-A, Cl A1 | ||||||||
4.192%, 02/01/2020 | 134 | 135 | ||||||
CIT Education Loan Trust, Ser 2007-1, Cl A | ||||||||
0.720%, 03/25/2042 (A) (B) | 1,346 | 1,233 | ||||||
Citicorp Residential Mortgage Trust, Ser 2007-1, Cl A5 | ||||||||
5.811%, 03/25/2037 (D) | 1,970 | 2,038 | ||||||
Conseco Financial, | ||||||||
7.050%, 01/15/2019 | 54 | 55 | ||||||
Consumer Credit Origination Loan Trust, Ser 2015-1, Cl A | ||||||||
2.820%, 03/15/2021 (B) | 241 | 242 | ||||||
Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1 | ||||||||
1.033%, 06/25/2033 (A) | 38 | 32 | ||||||
Countrywide Asset-Backed Certificates, Ser 2007-13, Cl 2A2 | ||||||||
1.233%, 10/25/2047 (A) | 3,349 | 2,821 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit-Based Asset Servicing and Securities, Ser 2006-CB3, Cl AV4 | ||||||||
0.693%, 03/25/2036 (A) | $ | 5,000 | $ | 3,765 | ||||
CWABS Revolving Home Equity Loan Trust, Ser 2004-K, Cl 2A | ||||||||
0.631%, 02/15/2034 (A) | 309 | 278 | ||||||
Educational Funding of the South, Ser 2011-1, Cl A2 | ||||||||
1.269%, 04/25/2035 (A) | 1,661 | 1,609 | ||||||
First Franklin Mortgage Loan Trust, Ser 2005-FF8, Cl M1 | ||||||||
0.923%, 09/25/2035 (A) | 2,843 | 2,761 | ||||||
Global SC Finance II SRL, | ||||||||
3.090%, 07/17/2029 (B) | 1,058 | 991 | ||||||
Green Tree, Ser 2008-MH1, Cl A3 | ||||||||
8.970%, 04/25/2038 (A) (B) | 285 | 291 | ||||||
Green Tree, Ser 2008-MH1, Cl A2 | ||||||||
8.970%, 04/25/2038 (A) (B) | 358 | 366 | ||||||
Greenpoint Manufactured Housing, Ser 1999-2, Cl A2 | ||||||||
3.029%, 03/18/2029 (A) | 450 | 389 | ||||||
Greenpoint Manufactured Housing, Ser 1999-3, Cl 1A7 | ||||||||
7.270%, 06/15/2029 | 913 | 899 | ||||||
Greenpoint Manufactured Housing, Ser 1999-3, Cl 2A2 | ||||||||
3.565%, 06/19/2029 (A) | 250 | 214 | ||||||
Greenpoint Manufactured Housing, Ser 1999-4, Cl A2 | ||||||||
3.925%, 02/20/2030 (A) | 375 | 325 | ||||||
Greenpoint Manufactured Housing, Ser 2001-2, Cl IIA2 | ||||||||
3.925%, 03/13/2032 (A) | 375 | 336 | ||||||
Greenpoint Manufactured Housing, Ser 2001-2, Cl IA2 | ||||||||
3.924%, 02/20/2032 (A) | 175 | 159 | ||||||
GSAMP Trust, Ser 2003-SEA, Cl A1 | ||||||||
0.833%, 02/25/2033 (A) | 1,430 | 1,325 | ||||||
GSAMP Trust, | ||||||||
0.683%, 05/25/2046 (A) | 3,300 | 2,274 | ||||||
Higher Education Funding I, | ||||||||
1.443%, 05/25/2034 (A) (B) | 1,500 | 1,456 | ||||||
HSI Asset Securitization Trust, Ser 2006-OPT3, Cl 3A3 | ||||||||
0.613%, 02/25/2036 (A) | 439 | 416 | ||||||
JGWPT XXX LLC, | ||||||||
4.080%, 01/17/2073 (B) | 927 | 951 | ||||||
JGWPT XXXII, Ser 2014-2A, Cl A | ||||||||
3.610%, 01/17/2073 (B) | 1,260 | 1,235 | ||||||
Lehman Manufactured Housing Contract Trust, Ser 2001-B, Cl A4 | ||||||||
5.270%, 09/15/2018 | 569 | 584 |
70 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Mid-State Trust, Ser 2003-11, Cl A1 | ||||||||
4.864%, 07/15/2038 | $ | 2,343 | $ | 2,488 | ||||
Morgan Stanley Re-Remic Trust, Ser 2015-R7, Cl 1BXA | ||||||||
11.275%, 02/26/2036 (A) (B) | 930 | 993 | ||||||
National Collegiate Student Loan Trust, Ser 2005-3, Cl A4 | ||||||||
0.713%, 04/25/2029 (A) | 354 | 349 | ||||||
National Collegiate Student Loan Trust, Ser 2006-3, Cl A4 | ||||||||
0.703%, 03/26/2029 (A) | 1,750 | 1,522 | ||||||
National Collegiate Student Loan Trust, Ser 2007-4, Cl A3L | ||||||||
1.283%, 03/25/2038 (A) | 4,306 | 2,444 | ||||||
Navient Private Education Loan Trust, Ser 2014-AA, Cl A2B | ||||||||
1.686%, 02/15/2029 (A) (B) | 234 | 228 | ||||||
Navient Private Education Loan Trust, Ser 2015-AA, Cl A2B | ||||||||
1.631%, 12/15/2028 (A) (B) | 216 | 208 | ||||||
Navient Private Education Loan Trust, Ser 2015-AA, Cl A2A | ||||||||
2.650%, 12/15/2028 (B) | 344 | 340 | ||||||
Navient Private Education Loan Trust, Ser 2015-CA, Cl A | ||||||||
1.936%, 01/16/2035 (A) (B) | 697 | 697 | ||||||
Navient Private Education Loan Trust, Ser 2015-CA, Cl B | ||||||||
3.250%, 05/15/2040 (B) | 408 | 398 | ||||||
Navient Private Education Loan Trust, Ser 2016-AA, Cl A2A | ||||||||
3.910%, 12/15/2045 (B) | 828 | 837 | ||||||
Navient Private Education Loan Trust, Ser 2016-AA, Cl A2B | ||||||||
2.706%, 12/15/2045 (A) (B) | 234 | 229 | ||||||
Navient Private Education Loan Trust, Ser 2016-AA, Cl A1 | ||||||||
1.656%, 12/15/2025 (A) (B) | 633 | 633 | ||||||
Navient Student Loan Trust, Ser 2014-1, Cl A3 | ||||||||
0.946%, 06/25/2031 (A) | 3,320 | 3,158 | ||||||
Navient Student Loan Trust, Ser 2014-2, Cl A | ||||||||
1.076%, 03/25/2083 (A) | 2,831 | 2,642 | ||||||
Navient Student Loan Trust, Ser 2014-3, Cl A | ||||||||
1.056%, 03/25/2083 (A) | 2,849 | 2,664 | ||||||
Navient Student Loan Trust, Ser 2014-4, Cl A | ||||||||
1.056%, 03/25/2083 (A) | 2,117 | 1,980 | ||||||
Navient Student Loan Trust, Ser 2014-8, Cl A2 | ||||||||
0.876%, 04/25/2023 (A) | 379 | 375 | ||||||
NCSEA, Ser 2011-2, Cl A2 | ||||||||
1.120%, 07/25/2025 (A) | 876 | 860 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nelnet Student Loan Trust, Ser 2004-3, Cl A5 | ||||||||
0.799%, 10/27/2036 (A) | $ | 790 | $ | 753 | ||||
Nelnet Student Loan Trust, Ser 2004-4, Cl A5 | ||||||||
0.779%, 01/25/2037 (A) | 668 | 636 | ||||||
Nelnet Student Loan Trust, Ser 2005-1, Cl A5 | ||||||||
0.729%, 10/25/2033 (A) | 746 | 696 | ||||||
Nelnet Student Loan Trust, Ser 2005-2, Cl A5 | ||||||||
0.724%, 03/23/2037 (A) | 708 | 662 | ||||||
Nelnet Student Loan Trust, Ser 2005-3, Cl A5 | ||||||||
0.744%, 12/24/2035 (A) | 768 | 720 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.804%, 03/22/2032 (A) | 290 | 254 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.708%, 11/23/2022 (A) | 7 | 7 | ||||||
Nelnet Student Loan Trust, | ||||||||
1.233%, 04/25/2046 (A) (B) | 263 | 260 | ||||||
Nelnet Student Loan Trust, | ||||||||
1.033%, 10/27/2036 (A) (B) | 1,839 | 1,740 | ||||||
Nelnet Student Loan Trust, | ||||||||
1.386%, 11/25/2043 (A) (B) | 1,655 | 1,490 | ||||||
Nelnet Student Loan Trust, Ser 2015-2A, Cl A2 | ||||||||
1.036%, 09/25/2042 (A) (B) | 2,960 | 2,792 | ||||||
Origen Manufactured Housing, Ser 2006-A, Cl A2 | ||||||||
2.379%, 10/15/2037 (A) | 2,734 | 2,386 | ||||||
Park Place Securities, | ||||||||
1.453%, 09/25/2034 (A) | 700 | 698 | ||||||
RAMP Trust, Ser 2006-RZ3, Cl M1 | ||||||||
0.783%, 08/25/2036 (A) | 6,530 | 4,695 | ||||||
Residential Asset Mortgage Products Trust, | ||||||||
1.531%, 12/25/2033 (A) | 182 | 166 | ||||||
RSB BondCo, Ser 2007-A, Cl A3 | ||||||||
5.820%, 06/28/2019 | 775 | 793 | ||||||
Scholar Funding Trust, | ||||||||
1.521%, 10/28/2043 (A) (B) | 869 | 829 | ||||||
SLC Student Loan Trust, | ||||||||
1.018%, 05/15/2028 (A) | 217 | 213 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 71 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Private Education Loan Trust, Ser 2012-B, Cl A2 | ||||||||
3.480%, 10/15/2030 (B) | $ | 423 | $ | 431 | ||||
SLM Private Education Loan Trust, Ser 2012-C, Cl A1 | ||||||||
1.536%, 08/15/2023 (A) (B) | 207 | 207 | ||||||
SLM Private Education Loan Trust, Ser 2012-D, Cl A2 | ||||||||
2.950%, 02/15/2046 (B) | 1,239 | 1,249 | ||||||
SLM Private Education Loan Trust, Ser 2012-E, Cl A1 | ||||||||
1.186%, 10/16/2023 (A) (B) | 157 | 157 | ||||||
SLM Private Education Loan Trust, Ser 2012-E, Cl A2B | ||||||||
2.186%, 06/15/2045 (A) (B) | 344 | 344 | ||||||
SLM Private Education Loan Trust, Ser 2013-1, Cl B | ||||||||
2.233%, 11/25/2043 (A) | 245 | 220 | ||||||
SLM Private Education Loan Trust, Ser 2013-A, Cl A2B | ||||||||
1.486%, 05/17/2027 (A) (B) | 533 | 529 | ||||||
SLM Private Education Loan Trust, Ser 2013-B, Cl A1 | ||||||||
1.086%, 07/15/2022 (A) (B) | 335 | 333 | ||||||
SLM Private Education Loan Trust, Ser 2013-B, Cl A2A | ||||||||
1.850%, 06/17/2030 (B) | 782 | 766 | ||||||
SLM Student Loan Trust, | ||||||||
0.914%, 09/15/2022 (A) (B) | 406 | 402 | ||||||
SLM Student Loan Trust, | ||||||||
1.169%, 04/27/2026 (A) (B) | 1,237 | 1,221 | ||||||
SLM Student Loan Trust, | ||||||||
0.789%, 07/25/2023 (A) | 869 | 843 | ||||||
SLM Student Loan Trust, | ||||||||
1.079%, 01/25/2040 (A) | 139 | 120 | ||||||
SLM Student Loan Trust, | ||||||||
1.119%, 04/25/2024 (A) (B) | 1,023 | 1,012 | ||||||
SLM Student Loan Trust, | ||||||||
0.719%, 04/25/2025 (A) | 65 | 65 | ||||||
SLM Student Loan Trust, | ||||||||
0.759%, 10/25/2028 (A) | 1,138 | 1,070 | ||||||
SLM Student Loan Trust, | ||||||||
0.759%, 10/27/2031 (A) | 821 | 771 | ||||||
SLM Student Loan Trust, | ||||||||
1.819%, 07/27/2026 (A) | 265 | 266 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, | ||||||||
0.769%, 10/25/2029 (A) | $ | 613 | $ | 576 | ||||
SLM Student Loan Trust, | ||||||||
0.739%, 01/27/2025 (A) | 277 | 276 | ||||||
SLM Student Loan Trust, | ||||||||
0.789%, 01/25/2041 (A) | 1,900 | 1,639 | ||||||
SLM Student Loan Trust, | ||||||||
0.719%, 01/25/2021 (A) | 989 | 949 | ||||||
SLM Student Loan Trust, | ||||||||
0.779%, 01/25/2041 (A) | 1,900 | 1,619 | ||||||
SLM Student Loan Trust, | ||||||||
0.789%, 07/25/2025 (A) | 391 | 307 | ||||||
SLM Student Loan Trust, | ||||||||
0.679%, 07/25/2022 (A) | 3,211 | 2,945 | ||||||
SLM Student Loan Trust, | ||||||||
0.659%, 04/25/2019 (A) | 1,467 | 1,447 | ||||||
SLM Student Loan Trust, | ||||||||
0.699%, 01/25/2024 (A) | 377 | 372 | ||||||
SLM Student Loan Trust, | ||||||||
1.469%, 04/27/2043 (A) | 439 | 345 | ||||||
SLM Student Loan Trust, | ||||||||
1.819%, 01/25/2029 (A) | 525 | 448 | ||||||
SLM Student Loan Trust, | ||||||||
1.819%, 04/25/2029 (A) | 525 | 442 | ||||||
SLM Student Loan Trust, | ||||||||
2.469%, 04/25/2029 (A) | 525 | 468 | ||||||
SLM Student Loan Trust, | ||||||||
2.319%, 07/25/2023 (A) | 1,580 | 1,586 | ||||||
SLM Student Loan Trust, | ||||||||
2.469%, 07/25/2029 (A) | 525 | 470 | ||||||
SLM Student Loan Trust, | ||||||||
1.919%, 01/25/2018 (A) | 2 | 2 | ||||||
SLM Student Loan Trust, | ||||||||
2.469%, 07/25/2029 (A) | 525 | 490 | ||||||
SLM Student Loan Trust, | ||||||||
2.469%, 07/25/2029 (A) | 525 | 457 |
72 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, | ||||||||
2.869%, 10/25/2029 (A) | $ | 525 | $ | 500 | ||||
SLM Student Loan Trust, | ||||||||
2.119%, 04/25/2023 (A) | 2,271 | 2,246 | ||||||
SLM Student Loan Trust, | ||||||||
2.869%, 10/25/2029 (A) | 525 | 497 | ||||||
SLM Student Loan Trust, | ||||||||
0.833%, 03/25/2025 (A) | 549 | 531 | ||||||
SLM Student Loan Trust, | ||||||||
1.186%, 05/26/2026 (A) | 385 | 369 | ||||||
SLM Student Loan Trust, | ||||||||
1.433%, 04/27/2043 (A) | 564 | 499 | ||||||
SLM Student Loan Trust, | ||||||||
1.933%, 09/25/2043 (A) | 291 | 262 | ||||||
SLM Student Loan Trust, | ||||||||
0.986%, 06/25/2027 (A) | 1,038 | 992 | ||||||
SLM Student Loan Trust, | ||||||||
1.770%, 05/17/2027 (B) | 246 | 244 | ||||||
SLM Student Loan Trust, | ||||||||
2.940%, 10/15/2031 (B) | 240 | 243 | ||||||
SLM Student Loan Trust, | ||||||||
3.500%, 10/28/2029 (B) | 1,103 | 1,084 | ||||||
SLM Student Loan Trust, | ||||||||
1.023%, 03/26/2029 (A) | 696 | 661 | ||||||
SLM Student Loan Trust, | ||||||||
2.590%, 01/15/2026 (B) | 421 | 425 | ||||||
SLM Student Loan Trust, | ||||||||
1.031%, 07/15/2022 (A) (B) | 504 | 501 | ||||||
Small Business Administration, Ser 2015- 20D, Cl 1 | ||||||||
2.510%, 04/01/2035 | 206 | 210 | ||||||
SMB Private Education Loan Trust, Ser 2015-A, Cl A1 | ||||||||
1.031%, 07/17/2023 (A) (B) | 180 | 178 | ||||||
SMB Private Education Loan Trust, Ser 2015-A, Cl A2A | ||||||||
2.490%, 06/15/2027 (B) | 1,003 | 986 | ||||||
SMB Private Education Loan Trust, Ser 2015-A, Cl A2B | ||||||||
1.431%, 06/15/2027 (A) (B) | 776 | 744 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
SMB Private Education Loan Trust, Ser 2015-B, Cl A2B | ||||||||
1.631%, 07/15/2027 (A) (B) | $ | 716 | $ | 712 | ||||
SMB Private Education Loan Trust, Ser 2015-B, Cl A2A | ||||||||
2.980%, 07/15/2027 (B) | 1,065 | 1,064 | ||||||
SMB Private Education Loan Trust, Ser 2015-C, Cl A1 | ||||||||
1.331%, 07/15/2022 (A) (B) | 726 | 725 | ||||||
SMB Private Education Loan Trust, Ser 2015-C, Cl A2B | ||||||||
1.836%, 07/15/2027 (A) (B) | 381 | 373 | ||||||
SMB Private Education Loan Trust, Ser 2015-C, Cl A2A | ||||||||
2.750%, 07/15/2027 (B) | 914 | 904 | ||||||
SOFI Consumer Loan Program Trust, Ser 2015 1-A | ||||||||
3.280%, 09/15/2023 | 3,370 | 3,354 | ||||||
Structured Asset Securities Mortgage Loan Trust, Ser 2005-WF3, Cl M3 | ||||||||
1.013%, 07/25/2035 (A) | 2,432 | 1,734 | ||||||
Structured Asset Securities Mortgage Loan Trust, Ser 2008-BC4, Cl A3 | ||||||||
0.683%, 11/25/2037 (A) | 412 | 411 | ||||||
Trade Maps, Ltd. | ||||||||
1.142%, 12/10/2018 (A) (B) | 1,400 | 1,391 | ||||||
United States Small Business Administration, | ||||||||
2.820%, 09/01/2035 | 419 | 430 | ||||||
Wells Fargo Home Equity Asset-Backed SecuritiesTrust, | ||||||||
0.683%, 07/25/2036 (A) | 4,000 | 3,751 | ||||||
|
| |||||||
133,715 | ||||||||
|
| |||||||
Total Asset-Backed Securities (Cost $201,188) ($ Thousands) | 199,075 | |||||||
|
| |||||||
SOVEREIGN DEBT — 2.4% |
| |||||||
Brazil Notas do Tesouro Nacional, Ser B | ||||||||
16.818%, 08/15/2050 | BRL | 1,292 | 977 | |||||
Brazil Notas do Tesouro Nacional, Ser F | ||||||||
10.000%, 01/01/2017 | BRL | 12,230 | 3,364 | |||||
Brazilian Government International Bond | ||||||||
5.625%, 01/07/2041 | 1,120 | 966 | ||||||
5.000%, 01/27/2045 | 560 | 448 | ||||||
2.625%, 01/05/2023 | 200 | 171 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 73 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
China Government Bond | ||||||||
3.390%, 05/21/2025 | CNY | 2,000 | $ | 300 | ||||
3.380%, 11/21/2024 | CNY | 1,000 | 149 | |||||
3.310%, 11/30/2025 | CNY | 11,500 | 1,694 | |||||
Colombia Government International Bond | ||||||||
5.625%, 02/26/2044 | 1,110 | 1,104 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank | ||||||||
5.750%, 12/01/2043 | 250 | 291 | ||||||
FMS Wertmanagement AoeR | ||||||||
1.000%, 11/21/2017 | 640 | 640 | ||||||
Hashemite Kingdom of Jordan Government AID Bond | ||||||||
2.578%, 06/30/2022 | 854 | 894 | ||||||
Indonesia Government International Bond MTN | ||||||||
5.875%, 03/13/2020 | 240 | 267 | ||||||
5.875%, 01/15/2024 (B) | 840 | 943 | ||||||
4.875%, 05/05/2021 | 200 | 215 | ||||||
Israel Government International Bond | ||||||||
4.500%, 01/30/2043 | 265 | 281 | ||||||
2.875%, 03/16/2026 | 315 | 315 | ||||||
Japan Bank for International Cooperation | ||||||||
1.750%, 05/28/2020 | 850 | 851 | ||||||
Japan Finance Organization for Municipalities | ||||||||
4.000%, 01/13/2021 | 1,800 | 1,974 | ||||||
Japan Treasury Discount Bills (E) | ||||||||
0.000%, 06/10/2016 | JPY | 430,000 | 3,826 | |||||
0.000%, 06/27/2016 | JPY | 380,000 | 3,382 | |||||
Mexico Government International Bond MTN | ||||||||
5.750%, 10/12/2110 | 667 | 675 | ||||||
5.550%, 01/21/2045 | 2,610 | 2,891 | ||||||
4.750%, 03/08/2044 | 1,010 | 1,007 | ||||||
4.125%, 01/21/2026 | 1,213 | 1,272 | ||||||
3.600%, 01/30/2025 | 780 | 796 | ||||||
Paraguay Government International Bond (B) | ||||||||
6.100%, 08/11/2044 | 325 | 332 | ||||||
5.000%, 04/15/2026 | 490 | 492 | ||||||
Peruvian Government International Bond | ||||||||
6.550%, 03/14/2037 | 90 | 112 | ||||||
5.625%, 11/18/2050 | 580 | 653 | ||||||
Poland Government Bond | ||||||||
3.250%, 07/25/2025 | PLN | 18,030 | 5,058 | |||||
2.500%, 07/25/2026 | PLN | 13,280 | 3,462 | |||||
2.000%, 04/25/2021 | PLN | 1,220 | 325 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Poland Government International Bond | ||||||||
4.000%, 01/22/2024 | $ | 1,790 | $ | 1,911 | ||||
3.250%, 04/06/2026 | 545 | 544 | ||||||
Portugal Government International Bond MTN | ||||||||
5.125%, 10/15/2024 (B) | 1,100 | 1,107 | ||||||
Province of Ontario Canada | ||||||||
1.625%, 01/18/2019 | 885 | 890 | ||||||
Russia Government International Bond | ||||||||
7.500%, 03/31/2030 (B) | 327 | 399 | ||||||
Russian Foreign Bond - Eurobond | ||||||||
7.500%, 03/31/2030 (D) | 742 | 906 | ||||||
4.500%, 04/04/2022 | 400 | 409 | ||||||
Slovenia Government International Bond (B) | ||||||||
5.850%, 05/10/2023 | 245 | 282 | ||||||
5.500%, 10/26/2022 | 528 | 597 | ||||||
5.250%, 02/18/2024 | 1,215 | 1,361 | ||||||
Turkey Government International Bond | ||||||||
5.625%, 03/30/2021 | 161 | 174 | ||||||
United Mexican States MTN | ||||||||
6.050%, 01/11/2040 | 248 | 291 | ||||||
|
| |||||||
Total Sovereign Debt | 48,998 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.0% |
| |||||||
FHLB | ||||||||
1.250%, 06/28/2030 (D) | 3,405 | 3,421 | ||||||
0.875%, 05/24/2017 | 40 | 40 | ||||||
FHLMC | ||||||||
1.620%, 11/21/2019 | 390 | 390 | ||||||
FICO STRIPS, PO | ||||||||
0.092%, 11/02/2018 | 1,800 | 1,754 | ||||||
0.090%, 04/06/2018 | 1,270 | 1,247 | ||||||
0.040%, 08/03/2018 | 780 | 764 | ||||||
0.010%, 05/11/2018 | 3,295 | 3,226 | ||||||
FNMA | ||||||||
4.896%, 10/09/2019 | 2,925 | 2,779 | ||||||
Residual Funding Principal STRIPS | ||||||||
1.990%, 10/15/2020 | 2,600 | 2,422 | ||||||
0.902%, 10/15/2019 | 230 | 219 | ||||||
Tennessee Valley Authority | ||||||||
5.250%, 09/15/2039 | 590 | 753 | ||||||
4.250%, 09/15/2065 | 761 | 803 | ||||||
3.875%, 02/15/2021 | 1,510 | 1,679 | ||||||
2.875%, 09/15/2024 | 1,433 | 1,507 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 21,004 | ||||||
|
|
74 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS — 0.8% |
| |||||||
Activision Blizzard | ||||||||
3.250%, 10/12/2020 | $ | 146 | $ | 147 | ||||
Air Medical | ||||||||
4.250%, 04/28/2022 | 741 | 722 | ||||||
American Airlines | ||||||||
3.250%, 06/27/2020 | 639 | 635 | ||||||
American Builders & Contract Supply, Term Loan B | ||||||||
3.500%, 04/16/2020 | 214 | 214 | ||||||
Aramark, 1st Lien | ||||||||
3.250%, 02/24/2021 (A) | 263 | 262 | ||||||
Berry Plastics, 1st Lien | ||||||||
4.000%, 09/16/2022 | 83 | 83 | ||||||
Burger King Term Loan B | ||||||||
3.750%, 12/10/2021 | 453 | 452 | ||||||
Dollar Tree, 1st Lien Term Loan B1 | ||||||||
3.500%, 07/06/2022 | 284 | 285 | ||||||
Energy Future Immediate Holding, 1st Lien Term Loan | ||||||||
4.250%, 06/19/2016 | 2,200 | 2,197 | ||||||
First Data, 1st Lien Term Loan | ||||||||
3.934%, 09/24/2018 | 1,000 | 998 | ||||||
3.932%, 03/23/2018 | 1,223 | 1,219 | ||||||
FMG Resources Property, Cov-Lite, 1st Lien | ||||||||
4.250%, 06/30/2019 (A) | 603 | 508 | ||||||
Gardner Denver, 1st Lien Term Loan | ||||||||
4.250%, 07/30/2020 (A) | 406 | 369 | ||||||
Gardner Denver, Inc., Initial Dollar Term Loan | ||||||||
4.250%, 07/30/2020 | 103 | 93 | ||||||
Hilton Worldwide Holdings, 1st Lien Term Loan B | ||||||||
3.500%, 10/26/2020 | 184 | 184 | ||||||
3.500%, 10/25/2020 (A) | 214 | 214 | ||||||
Ina Beteiligungs, 1st Lien Term Loan B | ||||||||
4.250%, 05/15/2020 | 135 | 136 | ||||||
Intelsat Jackson Holdings | ||||||||
3.750%, 06/30/2019 (A) | 671 | 625 | ||||||
Jarden Corporation | ||||||||
3.189%, 07/29/2022 | 100 | 100 | ||||||
Keurig, 1st Lien Term Loan B | ||||||||
5.250%, 01/21/2023 | 426 | 425 | ||||||
Michaels Stores, Term Loan B | ||||||||
3.750%, 01/28/2020 (A) | 187 | 187 | ||||||
Michaels Stores, Term Loan, Tranche 1 | ||||||||
3.750%, 01/28/2020 (A) | 279 | 279 | ||||||
MPH Acquisition Holdings | ||||||||
3.750%, 03/31/2021 (A) | 49 | 48 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Murray Energy, Cov-Lite, 1st Lien Term Loan B2 | ||||||||
7.500%, 04/16/2020 | $ | 537 | $ | 272 | ||||
NRG Energy, Term Loan | ||||||||
2.750%, 07/01/2018 (A) | 634 | 627 | ||||||
Party City, Term Loan B | ||||||||
4.250%, 08/19/2022 | 579 | 574 | ||||||
PetSmart, Inc., Cov-Lite, Term Loan B1 | ||||||||
4.250%, 03/10/2022 | 210 | 209 | ||||||
PetSmart, Inc., Tranche B-1 Loan | ||||||||
4.250%, 03/10/2022 | 418 | 416 | ||||||
Select Medical, 1st Lein Term Loan F | ||||||||
0.397%, 03/03/2021 | 580 | 580 | ||||||
Servicemaster, 1st Lien Term Loan | ||||||||
4.250%, 07/01/2021 | 269 | 269 | ||||||
Station Casinao’s, 1st Lien Term Loan | ||||||||
4.250%, 03/01/2020 | 55 | 55 | ||||||
Telesat Canada, Term Loan B | ||||||||
3.500%, 03/28/2019 (A) | 483 | 480 | ||||||
T-Mobile USA Inc., 1st Lien Term Loan B | ||||||||
3.500%, 11/03/2022 (A) | 400 | 401 | ||||||
Univision Communications | ||||||||
4.000%, 03/01/2020 | 1,694 | 1,675 | ||||||
Virgin Media Investment Holdings | ||||||||
3.500%, 06/30/2023 | 498 | 487 | ||||||
XPO Logistics | ||||||||
5.500%, 11/01/2021 | 210 | 211 | ||||||
|
| |||||||
Total Loan Participations | 16,638 | |||||||
|
| |||||||
MUNICIPAL BONDS — 0.5% |
| |||||||
California — 0.2% | ||||||||
California State, Build America Project, GO | ||||||||
7.600%, 11/01/2040 | 475 | 736 | ||||||
California State, GO | ||||||||
6.200%, 03/01/2019 | 1,775 | 2,015 | ||||||
Los Angeles, Community College District, | ||||||||
Build America Project, GO | ||||||||
6.750%, 08/01/2049 | 520 | 777 | ||||||
|
| |||||||
3,528 | ||||||||
|
| |||||||
Nevada — 0.1% | ||||||||
Clark County, Department of Aviation, Build America Project, Ser C, RB | ||||||||
6.820%, 07/01/2045 | 770 | 1,142 | ||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 75 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
New Jersey — 0.0% | ||||||||
New Jersey State, Turnpike Authority, Build America Project, Ser C, RB | ||||||||
7.102%, 01/01/2041 | $ | 688 | $ | 999 | ||||
|
| |||||||
New York — 0.1% | ||||||||
New York and New Jersey, Port Authority, RB | ||||||||
4.458%, 10/01/2062 | 710 | 742 | ||||||
New York City, Build America Project, Ser F1, GO Callable 12/01/20 @ 100 | ||||||||
6.646%, 12/01/2031 | 900 | 1,057 | ||||||
New York City, Water & Sewer System, Build America Project, RB | ||||||||
5.952%, 06/15/2042 | 750 | 1,019 | ||||||
|
| |||||||
2,818 | ||||||||
|
| |||||||
Ohio — 0.0% | ||||||||
Ohio State University, Ser A, RB | ||||||||
4.800%, 06/01/2111 | 212 | 228 | ||||||
|
| |||||||
Texas — 0.1% | ||||||||
Brazos Higher Education Authority, Ser 2006-2, RB, GTD STD LNS | ||||||||
0.640%, 12/26/2024 (A) | 547 | 524 | ||||||
North Texas, Tollway Authority, Build America Project, | ||||||||
6.718%, 01/01/2049 | 614 | 890 | ||||||
|
| |||||||
1,414 | ||||||||
|
| |||||||
Total Municipal Bonds | 10,129 | |||||||
|
| |||||||
COLLATERALIZED DEBT OBLIGATIONS — 0.4% |
| |||||||
Ballyrock CLO, Ser 2014-1A, Cl A1 | ||||||||
1.797%, 10/20/2026 (A) (B) | 450 | 444 | ||||||
Cent CLO 18, Ser 2013-18A, Cl A | ||||||||
1.739%, 07/23/2025 (A) (B) | 1,600 | 1,575 | ||||||
Community Funding CLO, Ser 2015-1A, Cl A | ||||||||
5.750%, 11/01/2027 (B) (D) | 1,510 | 1,463 | ||||||
Flatiron CLO, Ser 2014-1A, Cl A1 | ||||||||
1.695%, 07/17/2026 (A) (B) | 1,600 | 1,564 | ||||||
Voya CLO, Ser 2014-1A, Cl A1 | ||||||||
2.120%, 04/18/2026 (A) (B) | 1,780 | 1,771 | ||||||
Voya CLO, Ser 2014-2A, Cl A1 | ||||||||
1.765%, 07/17/2026 (A) (B) | 1,730 | 1,717 | ||||||
|
| |||||||
Total Collateralized Debt Obligations (Cost $8,650) ($ Thousands) | 8,534 | |||||||
|
|
Description | Shares/Contracts | Market Value ($ Thousands) | ||||||
PREFERRED STOCK — 0.0% |
| |||||||
Citigroup Capital XIII, 7.875% (A) | 24,750 | $ | 651 | |||||
|
| |||||||
Total Preferred Stock | 651 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 0.0% |
| |||||||
SEI Liquidity Fund, L.P. | 764,849 | 765 | ||||||
|
| |||||||
Total Affiliated Partnership | 765 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.3% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 68,263,851 | 68,264 | ||||||
|
| |||||||
Total Cash Equivalent | 68,264 | |||||||
|
| |||||||
Total Investments — 104.7% | $ | 2,190,149 | ||||||
|
| |||||||
PURCHASED OPTION (H) — 0.0% |
| |||||||
June 2016, USD/JPY Currency Put, | 5,866 | 30 | ||||||
|
| |||||||
Total Purchased Option | $ | 30 | ||||||
|
| |||||||
WRITTEN OPTION (H) — 0.0% |
| |||||||
June 2016, U.S. 10 Year Future Option Call, | (102 | ) | (36 | ) | ||||
|
| |||||||
Total Written Option |
| $ | (36 | ) | ||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
90-Day Euro$ | (52 | ) | Mar-2018 | $ | (27 | ) | ||||||
90-Day Euro$ | (1,048 | ) | Dec-2016 | (207 | ) | |||||||
90-Day Euro$ | (361 | ) | Jun-2016 | (59 | ) | |||||||
90-Day Euro$ | 147 | Mar-2017 | 119 | |||||||||
90-Day Euro$ | (122 | ) | Dec-2017 | (146 | ) | |||||||
Euro FX Currency | (18 | ) | Jun-2016 | (85 | ) | |||||||
Euro-Bobl | (18 | ) | Jun-2016 | 5 | ||||||||
Euro-Bund Index | (86 | ) | Jun-2016 | (45 | ) | |||||||
U.S. 10-Year Treasury Note | 120 | Jun-2016 | 70 | |||||||||
U.S. 10-Year Treasury Note | (11 | ) | Jun-2016 | (13 | ) | |||||||
U.S. 2-Year Treasury Note | 66 | Jul-2016 | 79 | |||||||||
U.S. 5-Year Treasury Note | 988 | Jun-2016 | 629 | |||||||||
U.S. Long Treasury Bond | (585 | ) | Jun-2016 | 330 | ||||||||
U.S. Ultra Long Treasury Bond | 408 | Jun-2016 | (530 | ) | ||||||||
|
| |||||||||||
$ | 120 | |||||||||||
|
|
76 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
For the period ended March 31, 2016, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
A list of the open forward foreign currency contracts held by the Fund at March 31, 2016, is as follows:
Settlement Date | Currency | Currency | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
04/12/16 | USD | 2,979 | EUR | 2,630 | $ | 18 | ||||||||||||||
04/12/16 | PLN | 11,190 | USD | 2,966 | (40 | ) | ||||||||||||||
04/12/16 | BRL | 15,272 | USD | 3,659 | (637 | ) | ||||||||||||||
04/12/16-04/12/16 | USD | 15,634 | CNY | 101,000 | (15 | ) | ||||||||||||||
04/12/16-05/13/16 | EUR | 22,924 | USD | 25,410 | (731 | ) | ||||||||||||||
04/12/16-07/14/16 | CNY | 215,690 | USD | 32,672 | (612 | ) | ||||||||||||||
04/12/16-06/27/16 | JPY | 1,840,525 | USD | 15,677 | (721 | ) | ||||||||||||||
05/13/16 | GBP | 1,489 | USD | 2,143 | 3 | |||||||||||||||
05/13/16 | USD | 5,967 | CAD | 8,342 | 483 | |||||||||||||||
07/14/16 | USD | 5,816 | INR | 390,610 | (6 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (2,258 | ) | ||||||||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2016, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Depreciation ($ Thousands) | |||||||||
Bank of America | $ | (17,139 | ) | $ | 16,893 | $ | (246 | ) | ||||
Barclays PLC | (62,646 | ) | 61,012 | (1,634 | ) | |||||||
Citigroup | (33,851 | ) | 33,507 | (344 | ) | |||||||
Morgan Stanley | (67 | ) | 66 | (1 | ) | |||||||
UBS | (1,958 | ) | 1,925 | (33 | ) | |||||||
|
| |||||||||||
$ | (2,258 | ) | ||||||||||
|
|
For the period ended March 31, 2016 the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
A list of open OTC swap agreements held by the Fund at March 31, 2016, 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 | $3,245 | $ | (424 | ) | |||||
|
|
Credit Default Swaps | ||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Appreciation (Deprecition) ($ Thousands) | ||||||||||
Deutsche Bank | Berkshire Hathaway Inc. | SELL | 1.00% | 03/20/24 | $ | (1,230 | ) | $ | 1 | |||||||
Deutsche Bank | Brazil CDS | SELL | 1.00% | 12/20/20 | (544 | ) | 79 | |||||||||
Goldman Sachs | Metlife Inc. | SELL | 1.00% | 06/20/21 | (750 | ) | (20 | ) | ||||||||
Goldman Sachs | Metlife Inc. | SELL | 1.00% | 06/20/21 | (840 | ) | (23 | ) | ||||||||
|
| |||||||||||||||
$ | 37 | |||||||||||||||
|
|
A list of open centrally cleared swap agreements held by the Fund at March 31, 2016, is as follows:
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Depreciation ($ Thousands) | |||||||||
Barclays | 3.676% | REC 3-Month USD LIBOR | 11/15/43 | $ | 2,275 | $ | (771 | ) | ||||||
Barclays | 1.90% | REC 3-Month USD LIBOR | 11/30/22 | 34,472 | (1,166 | ) | ||||||||
UBS Warmburg | 2.720% | REC 3-Month USD LIBOR | 02/15/41 | 6,996 | (842 | ) | ||||||||
UBS Warmburg | 1.897% | REC 3-Month USD LIBOR | 08/31/22 | 22,800 | (777 | ) | ||||||||
Morgan Stanley | 0.55% | 1-DAY FED FUNDS | 07/27/16 | 201,200 | (32 | ) | ||||||||
Morgan Stanley | 0.42% | 1-DAY FED FUNDS | 06/15/16 | 860,930 | (49 | ) | ||||||||
|
| |||||||||||||
$ | (3,637 | ) | ||||||||||||
|
|
Credit Default Swaps | ||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||
UBS Warburg | CDX.NA.HY.24 | SELL | 5.00% | 12/20/20 | $ | (1,510 | ) | $ | 34 | |||||||
UBS Warburg | CDX.NA.IG.24 | SELL | 1.00% | 12/20/20 | (6,760 | ) | (7 | ) | ||||||||
|
| |||||||||||||||
$ | 27 | |||||||||||||||
|
|
For the period ended March 31, 2016, 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 period.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 77 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Concluded)
March 31, 2016
Percentages are based on a Net Assets of $2,091,859 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
(1) | In U.S. Dollars unless otherwise indicated. |
(A) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2016. |
(B) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” |
(C) | This security or a partial position of this security is on loan at March 31, 2016 (see Note 10). The total market value of securities on loan at March 31, 2016 was $735 ($ Thousands). |
(D) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on March 31, 2016. The coupon on a step bond changes on a specified date. |
(E) | The rate reported is the effective yield at time of purchase. |
(F) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(G) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of March 31, 2016 was $765 ($Thousands). |
(H) | For the period ended March 31, 2016, the total amount of open purchased options and written options, as presented in the Schedule of Investments, are representative of the volume of activity for these derivative types during the period. |
ABS — Asset-Backed Security
ACES — Alternative Credit Enhancement Structure
AID — Agency for International Development
ARM — Adjustable Rate Mortgage
BRL — Brazilian Real
CAD — Canadian Dollar
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
FICO — Financing Corporation
FNMA — Federal National Mortgage Association
GBP — British Pound Sterling
GNMA — Government National Mortgage Association
GO — General Obligation
INR — Indian Rupee
IO — Interest Only
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 Association
OTC — Over the Counter
PIK — Payment-in-Kind
PIPE — Private Investment in Public Entity
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 March 31, 2016, 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 | $ | — | $ | 653,333 | $ | — | $ | 653,333 | ||||||||
Corporate Obligations | — | 620,571 | — | 620,571 | ||||||||||||
U.S. Treasury Obligations | — | 542,187 | — | 542,187 | ||||||||||||
Asset-Backed Securities | — | 199,075 | — | 199,075 | ||||||||||||
Sovereign Debt | — | 48,998 | — | 48,998 | ||||||||||||
U.S. Government Agency Obligations | — | 21,004 | — | 21,004 | ||||||||||||
Loan Participations | — | 16,638 | — | 16,638 | ||||||||||||
Municipal Bonds | — | 10,129 | — | 10,129 | ||||||||||||
Collateralized Debt Obligations | — | 8,534 | — | 8,534 | ||||||||||||
Preferred Stock | 651 | — | — | 651 | ||||||||||||
Affiliated Partnership | — | 765 | — | 765 | ||||||||||||
Cash Equivalent | 68,264 | — | — | 68,264 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 68,915 | $ | 2,121,234 | $ | — | $ | 2,190,149 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Option | $ | — | $ | 30 | $ | — | $ | 30 | ||||||||
Written Option | (36 | ) | — | — | (36 | ) | ||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | 1,232 | — | — | 1,232 | ||||||||||||
Unrealized Depreciation | (1,112 | ) | — | — | (1,112 | ) | ||||||||||
Forwards Contracts * | ||||||||||||||||
Unrealized Appreciation | — | 504 | — | 504 | ||||||||||||
Unrealized Depreciation | — | (2,762 | ) | — | (2,762 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Credit Default Swaps * | ||||||||||||||||
Unrealized Appreciation | — | 80 | — | 80 | ||||||||||||
Unrealized Depreciation | — | (43 | ) | — | (43 | ) | ||||||||||
Interest Rate Swaps * | ||||||||||||||||
Unrealized Depreciation | — | (424 | ) | — | (424 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Credit Default Swaps * | ||||||||||||||||
Unrealized Appreciation | — | 34 | — | 34 | ||||||||||||
Unrealized Depreciation | — | (7 | ) | — | (7 | ) | ||||||||||
Interest Rate Swaps * | ||||||||||||||||
Unrealized Depreciation | — | (3,637 | ) | — | (3,637 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 84 | $ | (6,225 | ) | $ | — | $ | (6,141 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts, forwards contracts and swap contracts are valued at the unrealized appreciation/ (depreciation) on the instrument. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
78 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 37.6% |
| |||||||
U.S. Treasury Bills (A) | ||||||||
0.416%, 08/18/2016 | $ | 8,025 | $ | 8,014 | ||||
0.345%, 05/05/2016 | 11,965 | 11,964 | ||||||
0.281%, 04/28/2016 | 2,130 | 2,130 | ||||||
0.260%, 04/14/2016 | 4,815 | 4,815 | ||||||
0.233%, 04/21/2016 | 1,490 | 1,490 | ||||||
0.180%, 04/07/2016 (H) | 9,595 | 9,595 | ||||||
U.S. Treasury Bonds | ||||||||
3.750%, 11/15/2043 | 790 | 981 | ||||||
3.000%, 11/15/2044 | 3,024 | 3,263 | ||||||
3.000%, 05/15/2045 (H) | 17,900 | 19,305 | ||||||
3.000%, 11/15/2045 | 7,427 | 8,018 | ||||||
2.875%, 05/15/2043 | 8,710 | 9,178 | ||||||
2.875%, 08/15/2045 | 11,939 | 12,558 | ||||||
2.778%, 05/15/2045 | 2,045 | 917 | ||||||
2.772%, 08/15/2045 | 1,320 | 587 | ||||||
2.750%, 08/15/2042 | 915 | 945 | ||||||
2.750%, 11/15/2042 | 2,850 | 2,938 | ||||||
2.625%, 11/15/2020 | 16,694 | 17,756 | ||||||
2.500%, 02/15/2045 | 15,260 | 14,880 | ||||||
2.500%, 02/15/2046 | 20,690 | 20,174 | ||||||
1.750%, 09/30/2019 | 80 | 82 | ||||||
1.375%, 02/29/2020 | 3,585 | 3,624 | ||||||
U.S. Treasury Inflation Protected Securities | ||||||||
2.500%, 07/15/2016 | 1,971 | 2,007 | ||||||
2.125%, 02/15/2040 | 230 | 294 | ||||||
1.750%, 01/15/2028 | 418 | 485 | ||||||
1.375%, 02/15/2044 | 4,219 | 4,723 | ||||||
1.000%, 02/15/2046 | 830 | 866 | ||||||
0.750%, 02/15/2042 | 220 | 214 | ||||||
0.750%, 02/15/2045 | 2,103 | 2,034 | ||||||
0.625%, 01/15/2024 | 152 | 159 | ||||||
0.625%, 02/15/2043 | 3,483 | 3,269 | ||||||
0.375%, 07/15/2025 | 1,474 | 1,506 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
0.250%, 01/15/2025 | $ | 2,695 | $ | 2,718 | ||||
0.125%, 07/15/2024 | 1,901 | 1,907 | ||||||
U.S. Treasury Notes | ||||||||
3.500%, 05/15/2020 | 15,255 | 16,711 | ||||||
3.375%, 05/15/2044 | 90 | 104 | ||||||
2.625%, 08/15/2020 | 4,680 | 4,973 | ||||||
2.500%, 06/30/2017 | 3,875 | 3,962 | ||||||
2.250%, 03/31/2021 | 2,685 | 2,815 | ||||||
2.250%, 11/15/2024 | 3,710 | 3,868 | ||||||
2.250%, 11/15/2025 | 520 | 541 | ||||||
2.125%, 08/31/2020 | 2,575 | 2,681 | ||||||
2.125%, 12/31/2021 | 12,880 | 13,396 | ||||||
2.000%, 07/31/2020 | 220 | 228 | ||||||
2.000%, 11/30/2020 | 12,911 | 13,374 | ||||||
2.000%, 02/28/2021 | 2,478 | 2,568 | ||||||
2.000%, 11/30/2022 | 2,980 | 3,070 | ||||||
2.000%, 08/15/2025 | 920 | 938 | ||||||
1.875%, 08/31/2017 | 9,880 | 10,043 | ||||||
1.875%, 09/30/2017 | 4,215 | 4,288 | ||||||
1.875%, 05/31/2022 | 2,400 | 2,459 | ||||||
1.750%, 03/31/2022 | 1,770 | 1,802 | ||||||
1.625%, 12/31/2019 | 1,590 | 1,624 | ||||||
1.625%, 02/15/2026 | 23,810 | 23,464 | ||||||
1.500%, 07/31/2016 | 360 | 361 | ||||||
1.500%, 11/30/2019 | 3,640 | 3,701 | ||||||
1.500%, 02/28/2023 | 6,015 | 5,998 | ||||||
1.375%, 09/30/2020 | 30 | 30 | ||||||
1.375%, 01/31/2021 | 40,570 | 40,862 | ||||||
1.250%, 03/31/2021 | 13,168 | 13,180 | ||||||
1.125%, 02/28/2021 | 3,800 | 3,784 | ||||||
1.000%, 12/31/2017 | 3,690 | 3,708 | ||||||
1.000%, 03/15/2019 | 15,434 | 15,494 | ||||||
0.875%, 08/15/2017 | 1,970 | 1,975 | ||||||
0.875%, 11/30/2017 | 3,731 | 3,740 | ||||||
0.875%, 03/31/2018 | 3,110 | 3,118 | ||||||
0.750%, 10/31/2017 | 4,495 | 4,497 | ||||||
0.750%, 01/31/2018 | 42,832 | 42,847 | ||||||
0.750%, 02/28/2018 | 19,155 | 19,160 | ||||||
0.750%, 03/31/2018 | 4,833 | 4,833 | ||||||
0.750%, 04/15/2018 | 1,652 | 1,651 | ||||||
0.625%, 05/31/2017 | 3,250 | 3,248 | ||||||
0.625%, 08/31/2017 | 4,385 | 4,380 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 462,872 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 28.9% |
| |||||||
Agency Mortgage-Backed Obligations — 24.7% |
| |||||||
FHLMC | ||||||||
10.000%, 03/17/2026 | 135 | 142 | ||||||
7.500%, 01/01/2032 to 02/01/2038 | 409 | 488 | ||||||
6.500%, 10/01/2031 to 09/01/2038 | 503 | 574 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 79 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.000%, 02/01/2018 to 09/01/2038 | $ | 663 | $ | 738 | ||||
5.500%, 06/01/2020 to 08/01/2037 | 1,114 | 1,176 | ||||||
5.000%, 03/01/2034 to 07/01/2044 | 2,250 | 2,505 | ||||||
4.500%, 08/01/2020 to 03/01/2044 | 5,446 | 5,953 | ||||||
4.000%, 10/01/2029 to 04/01/2046 | 17,466 | 18,805 | ||||||
3.500%, 11/01/2029 to 04/01/2046 | 38,595 | 40,700 | ||||||
3.000%, 08/01/2030 to 03/01/2046 | 7,796 | 8,010 | ||||||
2.500%, 09/01/2030 | 946 | 972 | ||||||
FHLMC ARM | ||||||||
3.090%, 02/01/2045 (B) | 372 | 388 | ||||||
2.880%, 01/01/2044 (B) | 280 | 289 | ||||||
2.627%, 12/01/2042 (B) | 322 | 331 | ||||||
FHLMC CMO, Ser 2002-2399, Cl XG | ||||||||
6.500%, 01/15/2032 | 162 | 182 | ||||||
FHLMC CMO, Ser 2005-2945, Cl SA | ||||||||
11.509%, 03/15/2020 (B) | 15 | 16 | ||||||
FHLMC CMO, Ser 2007-3316, Cl JO, PO | ||||||||
0.000%, 05/15/2037 | 12 | 11 | ||||||
FHLMC CMO, Ser 2011-3804, Cl FN | ||||||||
0.886%, 03/15/2039 (B) | 216 | 217 | ||||||
FHLMC CMO, Ser 2011-3947, Cl SG, IO | ||||||||
5.514%, 10/15/2041 (B) | 708 | 118 | ||||||
FHLMC CMO, Ser 2012-271, Cl 30 | ||||||||
3.000%, 08/15/2042 | 895 | 923 | ||||||
FHLMC CMO, Ser 2012-283, Cl IO, IO | ||||||||
3.500%, 10/15/2027 | 1,158 | 127 | ||||||
FHLMC CMO, Ser 2012-4146, Cl DI, IO | ||||||||
3.000%, 12/15/2031 | 1,285 | 135 | ||||||
FHLMC CMO, Ser 2013-299, Cl 300 | ||||||||
3.000%, 01/15/2043 | 794 | 804 | ||||||
FHLMC CMO, Ser 2013-300, Cl 300 | ||||||||
3.000%, 01/15/2043 | 1,146 | 1,173 | ||||||
FHLMC CMO, Ser 2013-4194, Cl BI, IO | ||||||||
3.500%, 04/15/2043 | 568 | 73 | ||||||
FHLMC CMO, Ser 2013-4203, Cl PS, IO | ||||||||
5.814%, 09/15/2042 (B) | 489 | 93 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2013-4206, Cl CZ | ||||||||
3.000%, 05/15/2043 | $ | 109 | $ | 109 | ||||
FHLMC CMO, Ser 2013-4210, Cl Z | ||||||||
3.000%, 05/15/2043 | 213 | 207 | ||||||
FHLMC CMO, Ser 2013-4226, Cl GZ | ||||||||
3.000%, 07/15/2043 | 108 | 105 | ||||||
FHLMC CMO, Ser 2013-4227, Cl AB | ||||||||
3.500%, 10/15/2037 | 498 | 521 | ||||||
FHLMC CMO, Ser 2013-4239, Cl IO, IO | ||||||||
3.500%, 06/15/2027 | 850 | 97 | ||||||
FHLMC CMO, Ser 2014-328, Cl S4, IO | ||||||||
1.839%, 02/15/2038 (B) | 218 | 15 | ||||||
FHLMC CMO, Ser 2014-4335, Cl SW, IO | ||||||||
5.564%, 05/15/2044 (B) | 176 | 35 | ||||||
FHLMC CMO, Ser 2014-4415, Cl IO, IO | ||||||||
1.724%, 04/15/2041 (B) | 160 | 12 | ||||||
FHLMC CMO, Ser 2015-342, Cl 300 | ||||||||
3.000%, 02/15/2045 | 1,751 | 1,792 | ||||||
FHLMC CMO, Ser 2015-4425, Cl A | ||||||||
4.000%, 09/15/2040 | 707 | 756 | ||||||
FHLMC CMO, Ser 2950, Cl JO, PO | ||||||||
0.000%, 03/15/2020 | 15 | 14 | ||||||
FHLMC CMO, Ser T-76, Cl 2A | ||||||||
2.929%, 10/25/2037 (B) | 202 | 210 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K151, Cl A3 | ||||||||
3.511%, 04/25/2030 | 485 | 519 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KJ03, Cl A2 | ||||||||
2.328%, 06/25/2021 | 170 | 174 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN1, Cl M2 | ||||||||
2.636%, 02/25/2024 (B) | 250 | 249 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN2, Cl M2 | ||||||||
2.086%, 04/25/2024 (B) | 510 | 503 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-HQ1, Cl M1 | ||||||||
2.083%, 08/25/2024 (B) | 150 | 150 |
80 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DN1, Cl M1 | ||||||||
1.683%, 01/25/2025 (B) | $ | 90 | $ | 90 | ||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA2, Cl M2 | ||||||||
3.033%, 12/25/2027 (B) | 560 | 559 | ||||||
FHLMC TBA | ||||||||
4.000%, 06/15/2041 | 4,700 | 4,997 | ||||||
3.500%, 05/01/2041 to 06/01/2041 | 3,600 | 3,760 | ||||||
FHLMC, Ser 2007-3281, Cl AI, IO | ||||||||
5.994%, 02/15/2037 (B) | 126 | 25 | ||||||
FNMA | ||||||||
7.500%, 10/01/2037 to 04/01/2039 | 309 | 379 | ||||||
7.000%, 04/01/2032 to 01/01/2039 | 181 | 208 | ||||||
6.500%, 05/01/2027 to 10/01/2038 | 352 | 409 | ||||||
6.000%, 10/01/2019 to 10/01/2040 | 1,669 | 1,899 | ||||||
5.717%, 08/25/2045 | 191 | 42 | ||||||
5.500%, 02/01/2021 to 02/01/2035 | 184 | 206 | ||||||
5.000%, 01/01/2020 to 07/01/2044 | 2,599 | 2,884 | ||||||
4.640%, 01/01/2021 | 469 | 524 | ||||||
4.540%, 01/01/2020 | 457 | 501 | ||||||
4.500%, 01/01/2020 to 02/01/2046 | 9,617 | 10,557 | ||||||
4.410%, 05/01/2021 | 365 | 406 | ||||||
4.380%, 04/01/2021 | 484 | 538 | ||||||
4.360%, 05/01/2021 | 975 | 1,086 | ||||||
4.300%, 04/01/2021 | 240 | 266 | ||||||
4.250%, 04/01/2021 to 04/01/2021 | 750 | 833 | ||||||
4.240%, 06/01/2021 | 963 | 1,068 | ||||||
4.230%, 03/01/2020 | 377 | 410 | ||||||
4.060%, 07/01/2021 | 1,000 | 1,104 | ||||||
4.000%, 01/01/2029 to 03/01/2046 | 18,441 | 19,906 | ||||||
3.840%, 08/01/2021 | 911 | 996 | ||||||
3.765%, 12/01/2025 | 350 | 386 | ||||||
3.590%, 12/01/2020 | 456 | 492 | ||||||
3.500%, 12/01/2029 to 03/01/2046 | 28,707 | 30,309 | ||||||
3.430%, 10/01/2020 | 919 | 987 | ||||||
3.410%, 10/01/2030 | 845 | 876 | ||||||
3.340%, 07/01/2030 | 600 | 620 | ||||||
3.290%, 10/01/2020 | 336 | 359 | ||||||
3.280%, 02/01/2028 | 465 | 494 | ||||||
3.260%, 10/01/2030 | 745 | 772 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.230%, 11/01/2020 | $ | 330 | $ | 351 | ||||
3.110%, 02/01/2028 | 465 | 487 | ||||||
3.080%, 04/01/2030 | 500 | 509 | ||||||
3.040%, 04/01/2030 | 500 | 507 | ||||||
3.000%, 08/01/2033 to 08/01/2043 | 10,683 | 11,021 | ||||||
2.920%, 02/01/2030 | 1,000 | 1,003 | ||||||
2.500%, 10/01/2042 | 313 | 312 | ||||||
FNMA ACES, Ser 2014-M12, Cl FA | ||||||||
0.726%, 10/25/2021 (B) | 486 | 480 | ||||||
FNMA ARM | ||||||||
4.375%, 04/01/2040 (B) | 194 | 207 | ||||||
3.192%, 10/01/2043 (B) | 235 | 245 | ||||||
2.822%, 05/01/2043 (B) | 126 | 130 | ||||||
2.791%, 11/01/2042 (B) | 731 | 755 | ||||||
2.738%, 02/01/2045 (B) | 332 | 344 | ||||||
2.734%, 01/01/2045 (B) | 375 | 388 | ||||||
2.727%, 01/01/2045 (B) | 369 | 382 | ||||||
0.780%, 01/01/2023 (B) | 467 | 467 | ||||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||||
5.500%, 03/25/2029 | 60 | 66 | ||||||
FNMA CMO, Ser 2005-117, Cl LC | ||||||||
5.500%, 11/25/2035 | 357 | 388 | ||||||
FNMA CMO, Ser 2005-29, Cl ZA | ||||||||
5.500%, 04/25/2035 | 359 | 402 | ||||||
FNMA CMO, Ser 2005-360, Cl 2, IO | ||||||||
5.000%, 08/01/2035 | 246 | 51 | ||||||
FNMA CMO, Ser 2007-108, Cl AN | ||||||||
8.204%, 11/25/2037 (B) | 82 | 100 | ||||||
FNMA CMO, Ser 2009-103, Cl MB | ||||||||
2.498%, 12/25/2039 (B) | 176 | 186 | ||||||
FNMA CMO, Ser 2009-86, Cl BO, PO | ||||||||
0.000%, 03/25/2037 | 821 | 760 | ||||||
FNMA CMO, Ser 2011-87, Cl SG, IO | ||||||||
6.117%, 04/25/2040 (B) | 503 | 88 | ||||||
FNMA CMO, Ser 2012-101, Cl AI, IO | ||||||||
3.000%, 06/25/2027 | 819 | 76 | ||||||
FNMA CMO, Ser 2012-112, Cl DA | ||||||||
3.000%, 10/25/2042 | 1,439 | 1,483 | ||||||
FNMA CMO, Ser 2012-118, Cl CI, IO | ||||||||
3.500%, 12/25/2039 | 895 | 101 | ||||||
FNMA CMO, Ser 2012-134, Cl LC | ||||||||
3.000%, 12/25/2042 | 172 | 179 | ||||||
FNMA CMO, Ser 2012-411, Cl A3 | ||||||||
3.000%, 08/25/2042 | 196 | 201 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 81 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2013-126, Cl CS, IO | ||||||||
5.717%, 09/25/2041 (B) | $ | 800 | $ | 119 | ||||
FNMA CMO, Ser 2013-73, Cl IB, IO | ||||||||
3.500%, 07/25/2028 | 236 | 25 | ||||||
FNMA CMO, Ser 2013-73, Cl IA, IO | ||||||||
3.000%, 09/25/2032 | 904 | 98 | ||||||
FNMA CMO, Ser 2014-47, Cl AI, IO | ||||||||
1.758%, 08/25/2044 (B) | 1,276 | 90 | ||||||
FNMA CMO, Ser 2015-56, Cl AS, IO | ||||||||
5.717%, 08/25/2045 (B) | 96 | 25 | ||||||
FNMA Connecticut Avenue Securities, Ser 2014-C03, Cl 1M1 | ||||||||
1.633%, 07/25/2024 (B) | 144 | 143 | ||||||
FNMA, Ser 2014-M8, Cl X2, IO | ||||||||
0.427%, 06/25/2024 (B) | 8,823 | 245 | ||||||
FNMA, Ser 2015-37, Cl ST, IO | ||||||||
5.187%, 06/25/2045 (B) | 458 | 83 | ||||||
FNMA, Ser 2015-M10, Cl A2 | ||||||||
3.092%, 04/25/2027 (B) | 544 | 575 | ||||||
FNMA TBA | ||||||||
5.000%, 05/01/2038 | 1,500 | 1,658 | ||||||
4.500%, 04/14/2033 | 695 | 756 | ||||||
4.000%, 04/01/2039 | 23,725 | 25,349 | ||||||
3.500%, 04/01/2041 to 05/15/2045 | 2,325 | 2,455 | ||||||
3.000%, 04/25/2026 to 04/01/2043 | 5,080 | 5,242 | ||||||
2.500%, 04/25/2027 | 2,945 | 3,023 | ||||||
FREMF Mortgage Trust, Ser 2014-K36, Cl C | ||||||||
4.363%, 12/25/2046 (B) (C) | 120 | 109 | ||||||
FREMF Mortgage Trust, Ser 2014-K503, Cl C | ||||||||
3.009%, 10/25/2047 (B) (C) | 10 | 10 | ||||||
FREMF Mortgage Trust, Ser 2014-K714, Cl C | ||||||||
3.987%, 01/25/2047 (B) (C) | 60 | 58 | ||||||
FREMF Mortgage Trust, Ser 2015-K44, Cl C | ||||||||
3.685%, 01/25/2048 (B) (C) | 180 | 148 | ||||||
GNMA | ||||||||
7.500%, 10/15/2037 | 67 | 74 | ||||||
7.000%, 09/15/2031 | 50 | 61 | ||||||
6.500%, 12/15/2035 | 473 | 567 | ||||||
6.000%, 09/20/2038 | 116 | 132 | ||||||
5.000%, 11/20/2045 | 85 | 94 | ||||||
4.500%, 07/01/2045 to 02/20/2046 | 1,261 | 1,383 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.000%, 10/15/2041 to 03/20/2046 | $ | 12,258 | $ | 13,220 | ||||
3.500%, 07/20/2045 to 01/20/2046 | 2,673 | 2,828 | ||||||
3.000%, 04/15/2045 to 08/20/2045 | 4,015 | 4,164 | ||||||
1.750%, 02/20/2034 (B) | 361 | 377 | ||||||
GNMA ARM | ||||||||
2.500%, 05/20/2045 to 10/20/2045 (B) | 1,889 | 1,931 | ||||||
GNMA CMO, Ser 2007-78, Cl SA, IO | ||||||||
6.100%, 12/16/2037 (B) | 1,056 | 189 | ||||||
GNMA CMO, Ser 2009-66, Cl XS, IO | ||||||||
6.370%, 07/16/2039 (B) | 1,358 | 241 | ||||||
GNMA CMO, Ser 2010-4, Cl NS, IO | ||||||||
5.960%, 01/16/2040 (B) | 2,207 | 424 | ||||||
GNMA CMO, Ser 2010-H11, Cl FA | ||||||||
1.439%, 06/20/2060 (B) | 584 | 590 | ||||||
GNMA CMO, Ser 2011-142, Cl IO, IO | ||||||||
0.838%, 09/16/2046 (B) | 4,871 | 182 | ||||||
GNMA CMO, Ser 2011-H08, Cl FD | ||||||||
0.925%, 02/20/2061 (B) | 406 | 402 | ||||||
GNMA CMO, Ser 2012-112, Cl IO, IO | ||||||||
0.366%, 02/16/2053 (B) | 1,268 | 46 | ||||||
GNMA CMO, Ser 2012-34, Cl SA, IO | ||||||||
5.618%, 03/20/2042 (B) | 191 | 41 | ||||||
GNMA CMO, Ser 2012-H25, Cl FA | ||||||||
1.125%, 12/20/2061 (B) | 850 | 851 | ||||||
GNMA CMO, Ser 2013-178, Cl IO, IO | ||||||||
0.919%, 06/16/2055 (B) | 1,023 | 57 | ||||||
GNMA CMO, Ser 2013-63, Cl IO, IO | ||||||||
0.769%, 09/16/2051 (B) | 1,637 | 96 | ||||||
GNMA CMO, Ser 2013-69, Cl AI, IO | ||||||||
3.500%, 05/20/2043 | 790 | 119 | ||||||
GNMA CMO, Ser 2014-117, Cl SJ, IO | ||||||||
5.168%, 08/20/2044 (B) | 321 | 49 | ||||||
GNMA CMO, Ser 2014-5, Cl SP, IO | ||||||||
5.709%, 06/16/2043 (B) | 901 | 117 | ||||||
GNMA CMO, Ser 2014-H10, Cl TA | ||||||||
1.025%, 04/20/2064 (B) | 815 | 808 |
82 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2015-H10, Cl FC | ||||||||
0.905%, 04/20/2065 (B) | $ | 493 | $ | 484 | ||||
GNMA CMO, Ser 2015-H18, Cl FA | ||||||||
0.875%, 06/20/2065 (B) | 384 | 378 | ||||||
GNMA CMO, Ser 2015-H20, Cl FA | ||||||||
0.663%, 08/20/2065 (B) | 384 | 378 | ||||||
GNMA, Ser 2012-27, Cl IO, IO | ||||||||
1.211%, 04/16/2053 (B) | 1,825 | 98 | ||||||
GNMA, Ser 2012-43, Cl SN, IO | ||||||||
6.170%, 04/16/2042 (B) | 114 | 27 | ||||||
GNMA, Ser 2012-44, Cl A | ||||||||
2.170%, 04/16/2041 | 172 | 174 | ||||||
GNMA, Ser 2013-145, Cl IO, IO | ||||||||
1.070%, 09/16/2044 (B) | 1,530 | 97 | ||||||
GNMA, Ser 2013-96, Cl IO, IO | ||||||||
0.533%, 10/16/2054 (B) | 2,095 | 79 | ||||||
GNMA, Ser 2014-47, Cl IA, IO | ||||||||
1.192%, 02/16/2048 (B) | 689 | 43 | ||||||
GNMA, Ser 2014-50, Cl IO, IO | ||||||||
0.952%, 09/16/2055 (B) | 1,404 | 89 | ||||||
GNMA, Ser 2014-92, Cl IX, IO | ||||||||
0.820%, 05/16/2054 (B) | 9,205 | 469 | ||||||
GNMA, Ser 2015-167, Cl OI, IO | ||||||||
4.000%, 04/16/2045 | 97 | 19 | ||||||
GNMA, Ser 2015-5, Cl IK, IO | ||||||||
0.811%, 11/16/2054 (B) | 7,720 | 465 | ||||||
GNMA, Ser 2015-73, Cl IO, IO | ||||||||
0.894%, 11/16/2055 (B) | 2,265 | 155 | ||||||
GNMA, Ser 2015-85, Cl AB | ||||||||
2.800%, 02/16/2047 (B) | 483 | 496 | ||||||
GNMA TBA | ||||||||
4.000%, 04/01/2040 | 100 | 107 | ||||||
3.500%, 05/15/2041 to 04/15/2045 | 12,710 | 13,410 | ||||||
3.000%, 04/15/2043 to 05/01/2043 | 15,900 | 16,443 | ||||||
NCUA Guaranteed Notes, Ser 2010-C1, Cl A2 | ||||||||
2.900%, 10/29/2020 | 70 | 71 | ||||||
NCUA Guaranteed Notes, Ser 2010-C1, Cl APT | ||||||||
2.650%, 10/29/2020 | 75 | 75 | ||||||
|
| |||||||
303,839 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 4.2% |
| |||||||
American General Mortgage Loan Trust, Ser 2010-1A, Cl A3 | ||||||||
5.650%, 03/25/2058 (B) (C) | 29 | 29 | ||||||
American Home Mortgage Investment Trust, Ser 2004-4, Cl 4A | ||||||||
2.866%, 02/25/2045 (B) | 640 | 640 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ASG Resecuritization Trust, Ser 2009-3, Cl A65 | ||||||||
2.099%, 03/26/2037 (B) (C) | $ | 226 | $ | 224 | ||||
BAMLL Commercial Mortgage Securities Trust, Ser 2012-PARK, Cl A | ||||||||
2.959%, 12/10/2030 (C) | 235 | 241 | ||||||
Banc of America Commercial Mortgage Trust, Ser 2007-2, Cl A4 | ||||||||
5.608%, 04/10/2049 (B) | 1,000 | 1,015 | ||||||
Banc of America Funding Trust, Ser 2004-C, Cl 1A1 | ||||||||
3.085%, 12/20/2034 (B) | 25 | 24 | ||||||
Banc of America Funding Trust, Ser 2010-R11A, Cl 1A6 | ||||||||
5.149%, 08/26/2035 (B) (C) | 37 | 38 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Ser 2006-3, Cl A4 | ||||||||
5.889%, 07/10/2044 (B) | 103 | 103 | ||||||
BB-UBS Trust, Ser 2012-SHOW, Cl A | ||||||||
3.430%, 11/05/2036 (C) | 600 | 612 | ||||||
BB-UBS Trust, Ser 2012-TFT, Cl A | ||||||||
2.892%, 06/05/2030 (C) | 150 | 149 | ||||||
BCAP LLC Trust, Ser 2009-RR5, Cl 8A1 | ||||||||
5.500%, 11/26/2034 (C) | 131 | 136 | ||||||
BCAP LLC Trust, Ser 2010-RR7, Cl 1A5 | ||||||||
2.812%, 04/26/2035 (B) (C) | 9 | 9 | ||||||
BCAP LLC Trust, Ser 2011-RR5, Cl 11A3 | ||||||||
0.586%, 05/28/2036 (B) (C) | 39 | 39 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A | ||||||||
3.129%, 05/25/2034 (B) | 22 | 22 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-5, Cl A1 | ||||||||
2.320%, 08/25/2035 (B) | 76 | 77 | ||||||
Bear Stearns ALT-A Trust, Ser 2004-12, Cl 1A3 | ||||||||
1.133%, 01/25/2035 (B) | 241 | 235 | ||||||
Bear Stearns ALT-A Trust, Ser 2004-6, Cl 1A | ||||||||
1.073%, 07/25/2034 (B) | 155 | 146 | ||||||
Bear Stearns ARM Trust, Ser 2003-7, Cl 9A | ||||||||
2.762%, 10/25/2033 (B) | 699 | 688 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 83 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR8, Cl X1, IO | ||||||||
0.258%, 06/11/2041 (B) (C) | $ | 80 | $ | — | ||||
CD Mortgage Trust, Ser 2006-CD2, Cl AM | ||||||||
5.355%, 01/15/2046 (B) | 20 | 20 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2011-C1, Cl A4 | ||||||||
4.961%, 04/15/2044 (B) (C) | 359 | 400 | ||||||
Chase Mortgage Finance, Ser 2007-A1, Cl 9A1 | ||||||||
2.738%, 02/25/2037 (B) | 31 | 31 | ||||||
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1 | ||||||||
2.653%, 02/25/2037 (B) | 52 | 52 | ||||||
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1 | ||||||||
2.697%, 07/25/2037 (B) | 65 | 64 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2013-375P, Cl A | ||||||||
3.251%, 05/10/2035 (C) | 295 | 306 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2013-SMP, Cl A | ||||||||
2.110%, 01/12/2030 (C) | 453 | 456 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2014-GC23, Cl A4 | ||||||||
3.622%, 07/10/2047 | 80 | 85 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2014-GC25, Cl AS | ||||||||
4.017%, 10/10/2047 | 140 | 150 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2016-GC36, Cl A5 | ||||||||
3.616%, 02/10/2049 | 215 | 227 | ||||||
Citigroup Global Markets Mortgage Securities VII, Ser 2003-HYB1, Cl A | ||||||||
2.740%, 09/25/2033 (B) | 58 | 58 | ||||||
Citigroup Mortgage Loan Trust, Ser 2008- AR4, Cl 1A1A | ||||||||
2.772%, 11/25/2038 (B) (C) | 87 | 86 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2006-CD2, Cl X, IO | ||||||||
0.035%, 01/15/2046 (B) (C) | 2,154 | — | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2007-CD4, Cl XC, IO | ||||||||
0.354%, 12/11/2049 (B) (C) | 7,078 | 20 | ||||||
COMM Mortgage Trust, Ser 2010-C1, Cl A3 | ||||||||
4.205%, 07/10/2046 (C) | 508 | 553 | ||||||
COMM Mortgage Trust, Ser 2010-C1, Cl A2 | ||||||||
3.830%, 07/10/2046 (C) | 57 | 59 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
COMM Mortgage Trust, Ser 2012-CR1, Cl A2 | ||||||||
2.350%, 05/15/2045 | $ | 404 | $ | 407 | ||||
COMM Mortgage Trust, Ser 2012-CR2, Cl XA, IO | ||||||||
1.800%, 08/15/2045 (B) | 671 | 56 | ||||||
COMM Mortgage Trust, Ser 2012-CR4, Cl A2 | ||||||||
1.801%, 10/15/2045 | 94 | 94 | ||||||
COMM Mortgage Trust, Ser 2012-CR4, Cl AM | ||||||||
3.251%, 10/15/2045 | 590 | 606 | ||||||
COMM Mortgage Trust, Ser 2012-LC4, Cl A4 | ||||||||
3.288%, 12/10/2044 | 79 | 84 | ||||||
COMM Mortgage Trust, Ser 2013-300P, Cl A1 | ||||||||
4.353%, 08/10/2030 (C) | 215 | 239 | ||||||
COMM Mortgage Trust, Ser 2013-CR10, Cl A2 | ||||||||
2.972%, 08/10/2046 | 117 | 120 | ||||||
COMM Mortgage Trust, Ser 2013-CR11, Cl A1 | ||||||||
1.468%, 10/10/2046 | 104 | 103 | ||||||
COMM Mortgage Trust, Ser 2013-CR12, Cl A1 | ||||||||
1.295%, 10/10/2046 | 38 | 38 | ||||||
COMM Mortgage Trust, Ser 2013-CR12, Cl AM | ||||||||
4.300%, 10/10/2046 | 70 | 76 | ||||||
COMM Mortgage Trust, Ser 2013-CR12, Cl B | ||||||||
4.762%, 10/10/2046 (B) | 30 | 33 | ||||||
COMM Mortgage Trust, Ser 2013-CR12, Cl A4 | ||||||||
4.046%, 10/10/2046 | 32 | 35 | ||||||
COMM Mortgage Trust, Ser 2013-CR12, Cl C | ||||||||
5.084%, 10/10/2046 (B) | 10 | 10 | ||||||
COMM Mortgage Trust, Ser 2013-CR13, Cl XA, IO | ||||||||
1.141%, 12/10/2023 (B) | 4,008 | 187 | ||||||
COMM Mortgage Trust, Ser 2013-CR6, Cl A1 | ||||||||
0.719%, 03/10/2046 | 64 | 64 | ||||||
COMM Mortgage Trust, Ser 2014-CR18, Cl XA, IO | ||||||||
1.282%, 07/15/2047 (B) | 3,764 | 239 | ||||||
COMM Mortgage Trust, Ser 2014-CR18, Cl ASB | ||||||||
3.452%, 07/15/2047 | 165 | 174 | ||||||
COMM Mortgage Trust, Ser 2014-CR19, Cl A5 | ||||||||
3.796%, 08/10/2047 | 400 | 432 |
84 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
COMM Mortgage Trust, Ser 2014-SAVA, Cl D | ||||||||
3.537%, 06/15/2034 (B) (C) | $ | 320 | $ | 298 | ||||
COMM Mortgage Trust, Ser 2014-UBS3, Cl A4 | ||||||||
3.819%, 06/10/2047 | 224 | 241 | ||||||
COMM Mortgage Trust, Ser 2014-UBS4, Cl A5 | ||||||||
3.694%, 08/10/2047 | 524 | 557 | ||||||
COMM Mortgage Trust, Ser 2014-UBS5, Cl ASB | ||||||||
3.548%, 09/10/2047 | 103 | 109 | ||||||
COMM Mortgage Trust, Ser 2015-3BP, Cl A | ||||||||
3.178%, 02/10/2035 (C) | 235 | 242 | ||||||
COMM Mortgage Trust, Ser 2015-CR25, Cl A4 | ||||||||
3.759%, 08/10/2048 | 188 | 202 | ||||||
COMM Mortgage Trust, Ser 2015-PC1, Cl A5 | ||||||||
3.902%, 07/10/2050 | 168 | 182 | ||||||
COMM Mortgage Trust, Ser 2016-787S, Cl A | ||||||||
3.545%, 02/10/2036 (B) (C) | 310 | 326 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2014-SAVA, Cl A | ||||||||
1.577%, 06/15/2034 (B) (C) | 267 | 262 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2014-UBS2, Cl XA, IO | ||||||||
1.241%, 03/10/2047 (B) | 2,245 | 161 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2014-UBS6, Cl ASB | ||||||||
3.387%, 12/10/2047 | 224 | 235 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2014-UBS6, Cl AM | ||||||||
4.048%, 12/10/2047 | 372 | 397 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A3 | ||||||||
5.250%, 11/25/2033 | 103 | 104 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1 | ||||||||
7.000%, 12/25/2033 | 74 | 78 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 | ||||||||
2.704%, 10/25/2033 (B) | 616 | 603 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-16R, Cl 7A3 | ||||||||
3.500%, 12/27/2036 (B) (C) | $ | 52 | $ | 52 | ||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-6R, Cl 3A1 | ||||||||
3.005%, 07/28/2036 (B) (C) | 41 | 41 | ||||||
CSAIL Commercial Mortgage Trust, Ser 2015-C4, Cl A4 | ||||||||
3.808%, 11/15/2048 | 390 | 418 | ||||||
CSAIL Commercial Mortgage Trust, Ser 2015-C4, Cl ASB | ||||||||
3.617%, 11/15/2048 | 438 | 465 | ||||||
CSAIL Commercial Mortgage Trust, Ser 2016-C5, Cl ASB | ||||||||
3.533%, 06/15/2025 | 205 | 218 | ||||||
CSMC, Ser 2009-2R, Cl 1A14 | ||||||||
2.753%, 09/26/2034 (B) (C) | 503 | 492 | ||||||
CSMC, Ser 2009-2R, Cl 1A16 | ||||||||
2.753%, 09/26/2034 (B) (C) | 1,000 | 995 | ||||||
CSMC, Ser 2010-16, Cl A3 | ||||||||
4.250%, 06/25/2050 (B) (C) | 25 | 25 | ||||||
CSMC, Ser 2010-3R, Cl 2A3 | ||||||||
4.500%, 12/26/2036 (B) (C) | 770 | 758 | ||||||
CSMC, Ser 2014-7R, Cl 8A1 | ||||||||
2.389%, 07/27/2037 (B) (C) | 879 | 873 | ||||||
CSMC, Ser 2015-5R, Cl 1A1 | ||||||||
1.066%, 09/27/2046 (C) | 920 | 894 | ||||||
DBJPM, Ser 2016-C1, Cl A4 | ||||||||
3.276%, 05/10/2049 | 185 | 191 | ||||||
DBRR Trust, Ser 2011-LC2, Cl A4A | ||||||||
4.537%, 07/12/2044 (B) (C) | 500 | 549 | ||||||
DBUBS Mortgage Trust, Ser 2011-LC1A, Cl A1 | ||||||||
3.742%, 11/10/2046 (C) | 29 | 29 | ||||||
DBUBS Mortgage Trust, Ser 2011-LC2A, Cl A4 | ||||||||
4.537%, 07/10/2044 (C) | 643 | 713 | ||||||
FDIC Trust, Ser 2013-N1, Cl A | ||||||||
4.500%, 10/25/2018 (C) | 4 | 4 | ||||||
GE Business Loan Trust, Ser 2007-1A, Cl A | ||||||||
0.606%, 04/16/2035 (B) (C) | 186 | 171 | ||||||
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl AM | ||||||||
5.290%, 11/10/2045 (B) | 154 | 154 | ||||||
Greenwich Capital Commercial Funding, Ser 2007-GG11, Cl A4 | ||||||||
5.736%, 12/10/2049 | 32 | 33 | ||||||
GS Mortgage Securities II, Ser 2013-KING, Cl A | ||||||||
2.706%, 12/10/2027 (C) | 110 | 112 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 85 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GS Mortgage Securities Trust, Ser 2006-GG8, Cl X, IO | ||||||||
0.576%, 11/10/2039 (B) (C) | $ | 2,254 | $ | 2 | ||||
GS Mortgage Securities Trust, Ser 2011-GC5, Cl A2 | ||||||||
2.999%, 08/10/2044 | 741 | 742 | ||||||
GS Mortgage Securities Trust, Ser 2012-GCJ7, Cl A2 | ||||||||
2.318%, 05/10/2045 | 362 | 364 | ||||||
GS Mortgage Securities Trust, Ser 2012-GCJ7, Cl A1 | ||||||||
1.144%, 05/10/2045 | 16 | 16 | ||||||
GS Mortgage Securities Trust, Ser 2012-GCJ7, Cl AAB | ||||||||
2.935%, 05/10/2045 | 44 | 45 | ||||||
GS Mortgage Securities Trust, Ser 2013-GC16, Cl B | ||||||||
5.161%, 11/10/2046 (B) | 90 | 99 | ||||||
GS Mortgage Securities Trust, Ser 2013-GC16, Cl A1 | ||||||||
1.264%, 11/10/2046 | 53 | 53 | ||||||
GS Mortgage Securities Trust, Ser 2013-NYC5, Cl A | ||||||||
2.318%, 01/10/2030 (C) | 122 | 123 | ||||||
GS Mortgage Securities Trust, Ser 2014-GC18, Cl AAB | ||||||||
3.648%, 01/10/2047 | 153 | 163 | ||||||
GS Mortgage Securities Trust, Ser 2014-GC20, Cl AAB | ||||||||
3.655%, 04/10/2047 | 220 | 235 | ||||||
GS Mortgage Securities Trust, Ser 2014-GC26, Cl AAB | ||||||||
3.365%, 11/10/2047 | 212 | 223 | ||||||
GS Mortgage Securities Trust, Ser 2015-GC34, Cl AAB | ||||||||
3.278%, 10/10/2048 | 300 | 313 | ||||||
GS Mortgage Securities Trust, Ser 2015-GS1, Cl A3 | ||||||||
3.734%, 11/10/2048 | 67 | 72 | ||||||
GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1 | ||||||||
2.667%, 10/25/2033 (B) | 124 | 124 | ||||||
GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3 | ||||||||
6.000%, 09/25/2034 | 66 | 68 | ||||||
GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4 | ||||||||
5.500%, 01/25/2037 | 19 | 18 | ||||||
Homestar Mortgage Acceptance, Ser 2004-5, Cl A1 | ||||||||
0.883%, 10/25/2034 (B) | 567 | 557 | ||||||
Impac Secured Assets Trust, Ser 2004-3, Cl M1 | ||||||||
1.333%, 11/25/2034 (B) | 720 | 633 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Impac Secured Assets Trust, Ser 2006-2, Cl 2A1 | ||||||||
0.783%, 08/25/2036 (B) | $ | 44 | $ | 43 | ||||
Impac Secured Assets Trust, Ser 2007-2, Cl 2A | ||||||||
0.683%, 04/25/2037 (B) | 187 | 172 | ||||||
Impac Secured Assets Trust, Ser 2007-A, Cl M1 | ||||||||
0.833%, 05/25/2037 (B) (C) | 504 | 467 | ||||||
Impact Funding LLC, Ser 2010-1, Cl A1 | ||||||||
5.314%, 01/25/2051 (C) | 879 | 1,022 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C15, Cl C | ||||||||
5.081%, 11/15/2045 (B) | 60 | 62 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C17, Cl B | ||||||||
4.887%, 01/15/2047 (B) | 30 | 33 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C22, Cl C | ||||||||
4.561%, 09/15/2047 (B) | 120 | 111 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C25, Cl ASB | ||||||||
3.407%, 11/15/2047 | 33 | 35 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, Cl A3 | ||||||||
2.912%, 10/15/2048 | 286 | 288 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C30, Cl AS | ||||||||
4.226%, 07/15/2048 (B) | 270 | 291 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C31, Cl ASB | ||||||||
3.540%, 08/15/2048 | 141 | 150 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2016-C1, Cl ASB | ||||||||
3.316%, 03/15/2049 | 366 | 383 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2004-LN2, Cl A2 | ||||||||
5.115%, 07/15/2041 | 6 | 6 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-CB15, Cl X1, IO | ||||||||
0.272%, 06/12/2043 (B) | 7,473 | 6 |
86 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-LDP9, Cl A3SF | ||||||||
0.591%, 05/15/2047 (B) | $ | 51 | $ | 50 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-C2, Cl A3 | ||||||||
4.070%, 11/15/2043 (C) | 280 | 300 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-CNTR, Cl A2 | ||||||||
4.311%, 08/05/2032 (C) | 249 | 268 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-CNTR, Cl A1 | ||||||||
3.300%, 08/05/2032 (C) | 78 | 80 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C3, Cl A2 | ||||||||
3.673%, 02/15/2046 (C) | 44 | 44 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C4, Cl A3 | ||||||||
4.106%, 07/15/2046 (C) | 1,583 | 1,653 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C5, Cl A2 | ||||||||
3.149%, 08/15/2046 | 943 | 947 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C5, Cl B | ||||||||
5.323%, 08/15/2046 (B) (C) | 296 | 327 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2012-LC9, Cl A2 | ||||||||
1.677%, 12/15/2047 | 117 | 117 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl A5 | ||||||||
3.805%, 07/15/2047 | 1,502 | 1,621 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-C31, Cl A3 | ||||||||
3.801%, 08/15/2048 | 580 | 622 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-JP1, Cl ASB | ||||||||
3.733%, 01/15/2049 | 74 | 80 | ||||||
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 5A3 | ||||||||
2.683%, 11/25/2033 (B) | 99 | 99 | ||||||
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1 | ||||||||
2.716%, 08/25/2034 (B) | 199 | 200 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Trust, Ser 2015-5, Cl A9 | ||||||||
2.896%, 05/25/2045 (B) (C) | $ | 461 | $ | 456 | ||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl XCL, IO | ||||||||
0.267%, 02/15/2041 (B) (C) | 1,287 | — | ||||||
Liberty Street Trust, Ser 2016-225L, Cl A | ||||||||
3.597%, 02/10/2026 (C) | 310 | 320 | ||||||
Master Resecuritization Trust, Ser 2005, Cl 3PO, PO | ||||||||
0.000%, 05/28/2035 (C) | 17 | 14 | ||||||
Merrill Lynch Mortgage Investors Trust, Ser 2003-A4, Cl 2A | ||||||||
2.725%, 07/25/2033 (B) | 26 | 24 | ||||||
Merrill Lynch Mortgage Investors Trust, Ser 2004-A1, Cl 4A | ||||||||
2.875%, 02/25/2034 (B) | 122 | 121 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl XC, IO | ||||||||
0.613%, 12/12/2049 (B) (C) | 2,103 | 7 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C6, Cl B | ||||||||
3.930%, 11/15/2045 | 390 | 397 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C10, Cl A1 | ||||||||
1.394%, 07/15/2046 | 168 | 168 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C7, Cl A4 | ||||||||
2.918%, 02/15/2046 | 50 | 51 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C7, Cl AS | ||||||||
3.214%, 02/15/2046 | 21 | 22 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C9, Cl A2 | ||||||||
1.970%, 05/15/2046 | 116 | 117 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C9, Cl AS | ||||||||
3.456%, 05/15/2046 | 80 | 82 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C23, Cl A3 | ||||||||
3.451%, 07/15/2050 | 109 | 115 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C25, Cl ASB | ||||||||
3.383%, 10/15/2048 | 235 | 247 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 87 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C25, Cl A5 | ||||||||
3.635%, 10/15/2048 | $ | 250 | $ | 265 | ||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C27, Cl A4 | ||||||||
3.753%, 12/15/2047 | 84 | 90 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2016-C28, Cl ASB | ||||||||
3.288%, 01/15/2049 | 366 | 382 | ||||||
Morgan Stanley Capital I Trust, Ser 2007-HQ11, Cl X, IO | ||||||||
0.208%, 02/12/2044 (B) (C) | 6,290 | 9 | ||||||
Morgan Stanley Capital I Trust, Ser 2007-HQ11, Cl A4FL | ||||||||
0.573%, 02/12/2044 (B) | 990 | 980 | ||||||
Morgan Stanley Capital I Trust, Ser 2011-C2, Cl A2 | ||||||||
3.476%, 06/15/2044 (C) | 73 | 73 | ||||||
Morgan Stanley Capital I Trust, Ser 2011-C3, Cl A2 | ||||||||
3.224%, 07/15/2049 | 368 | 369 | ||||||
Morgan Stanley Capital I Trust, Ser 2014-CPT, Cl AM | ||||||||
3.402%, 07/13/2029 (B) (C) | 770 | 789 | ||||||
Morgan Stanley Capital I Trust, Ser 2014-CPT, Cl B | ||||||||
3.446%, 07/13/2029 (B) (C) | 650 | 661 | ||||||
Morgan Stanley Capital I Trust, Ser 2016-UBS9, Cl A1 | ||||||||
1.711%, 03/15/2049 | 275 | 275 | ||||||
Morgan Stanley Re-REMIC Trust, Ser 2012-IO, Cl AXA | ||||||||
1.000%, 03/27/2051 (C) | 2 | 2 | ||||||
Morgan Stanley Re-REMIC Trust, Ser 2012-XA, Cl A | ||||||||
2.000%, 07/27/2049 (C) | — | — | ||||||
MSCG Trust, Ser 2015-ALDR, Cl A2 | ||||||||
3.577%, 06/07/2035 (B) (C) | 250 | 261 | ||||||
Nomura Asset Acceptance Alternative Loan Trust, Ser 2007-1, Cl 1A3 | ||||||||
5.957%, 03/25/2047 | 156 | 157 | ||||||
Nomura Asset Acceptance Alternative Loan Trust, Ser 2007-1, Cl 1A4 | ||||||||
6.138%, 03/25/2047 | 128 | 129 | ||||||
Nomura Resecuritization Trust, Ser 2015-4R, Cl 3A1 | ||||||||
2.475%, 01/26/2036 (B) (C) | 797 | 814 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Prime Mortgage Trust, Ser 2004-CL1, Cl 1A1 | ||||||||
6.000%, 02/25/2034 | $ | 42 | $ | 44 | ||||
Prime Mortgage Trust, Ser 2004-CL1, Cl 1PO, PO | ||||||||
0.000%, 02/25/2034 | 11 | 9 | ||||||
RAMP Trust, Ser 2004-SL1, Cl A8 | ||||||||
6.500%, 11/25/2031 | 262 | 265 | ||||||
RBSCF Trust, Ser 2013-GSP, Cl A | ||||||||
3.834%, 01/13/2032 (B) (C) | 215 | 232 | ||||||
Residential Accredit Loans, Ser 2003-QS15, Cl A7 | ||||||||
5.500%, 08/25/2033 | 284 | 284 | ||||||
Residential Accredit Loans, Ser 2004-QA7, Cl A4 | ||||||||
5.500%, 05/25/2034 | 238 | 242 | ||||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||||
2.694%, 12/25/2034 (B) | 393 | 391 | ||||||
Sequoia Mortgage Trust, Ser 2004-11, Cl A1 | ||||||||
1.032%, 12/20/2034 (B) | 179 | 172 | ||||||
SFAVE Commercial Mortgage Securities Trust, Ser 2015-5AVE, Cl A1 | ||||||||
3.872%, 01/05/2043 (B) (C) | 240 | 234 | ||||||
Springleaf Mortgage Loan Trust, Ser 2013-2A, Cl A | ||||||||
1.780%, 12/25/2065 (B) (C) | 335 | 335 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser 2004-6, Cl 5A4 | ||||||||
2.454%, 06/25/2034 (B) | 14 | 14 | ||||||
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2002-AL1, Cl A2 | ||||||||
3.450%, 02/25/2032 | 51 | 50 | ||||||
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2003-24A, Cl 3A2 | ||||||||
2.510%, 07/25/2033 (B) | 152 | 151 | ||||||
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2003-32, Cl 1A1 | ||||||||
5.254%, 11/25/2033 (B) | 28 | 28 | ||||||
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2004-5H, Cl A4 | ||||||||
5.540%, 12/25/2033 | 151 | 155 |
88 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Structured Asset Securities, Ser 2003-37A, Cl 2A | ||||||||
4.422%, 12/25/2033 (B) | $ | 45 | $ | 45 | ||||
UBS Commercial Mortgage Trust, Ser 2012-C1, Cl XA, IO | ||||||||
2.178%, 05/10/2045 (B) (C) | 2,985 | 287 | ||||||
UBS-BAMLL Trust, Ser 2012-WRM, Cl A | ||||||||
3.663%, 06/10/2030 (C) | 145 | 151 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A2 | ||||||||
2.113%, 05/10/2063 | 203 | 204 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A4 | ||||||||
3.525%, 05/10/2063 | 1,295 | 1,377 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2013-C5, Cl A4 | ||||||||
3.185%, 03/10/2046 | 121 | 126 | ||||||
VNO Mortgage Trust, Ser 2012-6AVE, Cl A | ||||||||
2.996%, 11/15/2030 (C) | 335 | 343 | ||||||
VNO Mortgage Trust, Ser 2013-PENN, Cl A | ||||||||
3.808%, 12/13/2029 (C) | 250 | 264 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7 | ||||||||
2.537%, 10/25/2033 (B) | 114 | 116 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7 | ||||||||
2.412%, 08/25/2033 (B) | 62 | 62 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR8, Cl A | ||||||||
2.476%, 08/25/2033 (B) | 31 | 31 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6 | ||||||||
2.521%, 09/25/2033 (B) | 99 | 99 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10 | ||||||||
16.272%, 06/25/2033 (B) | 11 | 14 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8 | ||||||||
5.250%, 10/25/2033 | 220 | 224 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2 | ||||||||
2.470%, 06/25/2034 (B) | 66 | 66 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-RA4, Cl 3A | ||||||||
7.500%, 07/25/2034 | $ | 188 | $ | 201 | ||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-S2, Cl 2A4 | ||||||||
5.500%, 06/25/2034 | 5 | 5 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A3 | ||||||||
1.213%, 10/25/2045 (B) | 799 | 765 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2013-120B, Cl A | ||||||||
2.710%, 03/18/2028 (B) (C) | 200 | 204 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-E, Cl A2 | ||||||||
2.756%, 05/25/2034 (B) | 16 | 16 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A1 | ||||||||
2.742%, 12/25/2034 (B) | 89 | 89 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl A1 | ||||||||
2.742%, 06/25/2034 (B) | 170 | 170 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl 1A1 | ||||||||
2.787%, 07/25/2034 (B) | 109 | 110 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR8, Cl 2A1 | ||||||||
2.788%, 06/25/2035 (B) | 86 | 87 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR8, Cl 3A1 | ||||||||
2.850%, 04/25/2036 (B) | 878 | 889 | ||||||
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 | 848 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2012-C10, Cl XA, IO | ||||||||
1.740%, 12/15/2045 (B) (C) | 1,601 | 128 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2012-C7, Cl XA, IO | ||||||||
1.520%, 06/15/2045 (B) (C) | 367 | 25 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2013-C13, Cl XA, IO | ||||||||
1.416%, 05/15/2045 (B) (C) | 1,111 | 75 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 89 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WFRBS Commercial Mortgage Trust, Ser 2014-C20, Cl XA, IO | ||||||||
1.205%, 01/15/2024 | $ | 3,104 | $ | 192 | ||||
WFRBS Commercial Mortgage Trust, Ser 2014-C21, Cl B | ||||||||
4.213%, 08/15/2047 (B) | 300 | 311 | ||||||
|
| |||||||
52,166 | ||||||||
|
| |||||||
U.S. Government Agency Obilgation — 0.0% |
| |||||||
FHLMC | ||||||||
1.620%, 11/21/2019 | 130 | 130 | ||||||
|
| |||||||
130 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities (Cost $350,958) ($ Thousands) | 356,135 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 25.2% |
| |||||||
Consumer Discretionary — 1.9% | ||||||||
21st Century Fox America | ||||||||
7.250%, 05/18/2018 | 50 | 55 | ||||||
6.900%, 08/15/2039 | 10 | 12 | ||||||
6.750%, 01/09/2038 | 20 | 24 | ||||||
6.650%, 11/15/2037 | 25 | 31 | ||||||
6.150%, 03/01/2037 | 20 | 24 | ||||||
6.150%, 02/15/2041 | 15 | 18 | ||||||
4.950%, 10/15/2045 | 135 | 144 | ||||||
3.700%, 10/15/2025 | 350 | 367 | ||||||
Amazon.com | ||||||||
4.950%, 12/05/2044 | 230 | 265 | ||||||
American Honda Finance MTN | ||||||||
3.875%, 09/21/2020 (C) | 495 | 534 | ||||||
CCO Safari II | ||||||||
6.484%, 10/23/2045 (C) | 816 | 908 | ||||||
6.384%, 10/23/2035 (C) | 10 | 11 | ||||||
4.908%, 07/23/2025 (C) | 540 | 569 | ||||||
4.464%, 07/23/2022 (C) | 700 | 732 | ||||||
Comcast | ||||||||
7.050%, 03/15/2033 | 90 | 124 | ||||||
6.950%, 08/15/2037 | 50 | 70 | ||||||
6.400%, 03/01/2040 | 60 | 81 | ||||||
4.400%, 08/15/2035 | 375 | 406 | ||||||
4.250%, 01/15/2033 | 60 | 64 | ||||||
4.200%, 08/15/2034 | 30 | 32 | ||||||
3.375%, 02/15/2025 | 70 | 75 | ||||||
Comcast Cable Communications Holdings | ||||||||
9.455%, 11/15/2022 | 180 | 255 | ||||||
Comcast Cable Holdings | ||||||||
10.125%, 04/15/2022 | 45 | 60 | ||||||
Cox Communications | ||||||||
4.800%, 02/01/2035 (C) | 230 | 201 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Daimler Finance North America LLC | ||||||||
2.625%, 09/15/2016 (C) | $ | 150 | $ | 151 | ||||
2.375%, 08/01/2018 (C) | 435 | 442 | ||||||
1.125%, 03/10/2017 (C) | 555 | 555 | ||||||
Discovery Communications | ||||||||
4.900%, 03/11/2026 | 310 | 320 | ||||||
ERAC USA Finance | ||||||||
5.625%, 03/15/2042 (C) | 325 | 366 | ||||||
4.500%, 02/15/2045 (C) | 95 | 93 | ||||||
Ford Motor | ||||||||
4.750%, 01/15/2043 | 240 | 241 | ||||||
Ford Motor Credit | ||||||||
5.875%, 08/02/2021 | 550 | 630 | ||||||
3.336%, 03/18/2021 | 500 | 514 | ||||||
3.200%, 01/15/2021 | 260 | 266 | ||||||
2.597%, 11/04/2019 | 480 | 482 | ||||||
Ford Motor Credit LLC | ||||||||
3.984%, 06/15/2016 | 300 | 302 | ||||||
3.219%, 01/09/2022 | 305 | 311 | ||||||
2.375%, 03/12/2019 | 200 | 201 | ||||||
1.700%, 05/09/2016 | 200 | 200 | ||||||
1.684%, 09/08/2017 | 200 | 199 | ||||||
General Motors | ||||||||
6.750%, 04/01/2046 | 410 | 466 | ||||||
6.600%, 04/01/2036 | 190 | 209 | ||||||
6.250%, 10/02/2043 | 160 | 171 | ||||||
5.000%, 04/01/2035 | 175 | 164 | ||||||
General Motors Financial | ||||||||
5.250%, 03/01/2026 | 420 | 439 | ||||||
4.200%, 03/01/2021 | 525 | 542 | ||||||
3.450%, 04/10/2022 | 320 | 314 | ||||||
3.200%, 07/13/2020 | 118 | 118 | ||||||
3.100%, 01/15/2019 | 230 | 233 | ||||||
Grupo Televisa | ||||||||
5.000%, 05/13/2045 | 225 | 207 | ||||||
Home Depot | ||||||||
4.250%, 04/01/2046 | 48 | 53 | ||||||
3.750%, 02/15/2024 | 66 | 73 | ||||||
3.000%, 04/01/2026 | 270 | 283 | ||||||
2.000%, 04/01/2021 | 685 | 692 | ||||||
Hyundai Capital America | ||||||||
2.400%, 10/30/2018 (C) | 38 | 38 | ||||||
2.125%, 10/02/2017 (C) | 60 | 60 | ||||||
Lowe’s MTN | ||||||||
7.110%, 05/15/2037 | 110 | 151 | ||||||
5.125%, 11/15/2041 | 11 | 13 | ||||||
McDonald’s MTN | ||||||||
5.350%, 03/01/2018 | 100 | 108 | ||||||
4.875%, 12/09/2045 | 505 | 552 | ||||||
3.700%, 01/30/2026 | 225 | 238 | ||||||
2.750%, 12/09/2020 | 225 | 233 | ||||||
NBCUniversal Enterprise | ||||||||
1.974%, 04/15/2019 (C) | 200 | 203 |
90 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
NBCUniversal Media | ||||||||
5.950%, 04/01/2041 | $ | 50 | $ | 64 | ||||
4.375%, 04/01/2021 | 120 | 134 | ||||||
Newell Rubbermaid | ||||||||
5.500%, 04/01/2046 | 337 | 366 | ||||||
4.200%, 04/01/2026 | 568 | 594 | ||||||
3.850%, 04/01/2023 | 980 | 1,016 | ||||||
3.150%, 04/01/2021 | 60 | 62 | ||||||
QVC | ||||||||
5.950%, 03/15/2043 | 10 | 9 | ||||||
Scripps Networks Interactive | ||||||||
3.950%, 06/15/2025 | 185 | 185 | ||||||
3.900%, 11/15/2024 | 260 | 263 | ||||||
3.500%, 06/15/2022 | 150 | 150 | ||||||
2.800%, 06/15/2020 | 200 | 200 | ||||||
Sky PLC | ||||||||
3.750%, 09/16/2024 (C) | 310 | 320 | ||||||
Time Warner | ||||||||
7.700%, 05/01/2032 | 530 | 680 | ||||||
7.625%, 04/15/2031 | 385 | 491 | ||||||
7.570%, 02/01/2024 | 30 | 38 | ||||||
5.375%, 10/15/2041 | 12 | 13 | ||||||
4.850%, 07/15/2045 | 87 | 89 | ||||||
3.550%, 06/01/2024 | 385 | 396 | ||||||
Time Warner Cable | ||||||||
8.250%, 04/01/2019 | 200 | 233 | ||||||
7.300%, 07/01/2038 | 110 | 129 | ||||||
6.750%, 07/01/2018 | 40 | 44 | ||||||
6.550%, 05/01/2037 | 170 | 186 | ||||||
5.875%, 11/15/2040 | 210 | 217 | ||||||
5.500%, 09/01/2041 | 44 | 44 | ||||||
5.000%, 02/01/2020 | 320 | 347 | ||||||
Toyota Motor Credit MTN | ||||||||
2.100%, 01/17/2019 | 174 | 178 | ||||||
1.250%, 10/05/2017 | 250 | 250 | ||||||
Viacom | ||||||||
5.250%, 04/01/2044 | 90 | 81 | ||||||
4.850%, 12/15/2034 | 259 | 230 | ||||||
4.250%, 09/01/2023 | 30 | 30 | ||||||
3.875%, 04/01/2024 | 30 | 30 | ||||||
Volkswagen Group of America Finance | ||||||||
2.400%, 05/22/2020 (C) | 205 | 201 | ||||||
Volkswagen International Finance | ||||||||
1.125%, 11/18/2016 (C) | 580 | 578 | ||||||
WPP Finance | ||||||||
5.125%, 09/07/2042 | 60 | 59 | ||||||
|
| |||||||
23,802 | ||||||||
|
| |||||||
Consumer Staples — 2.0% | ||||||||
Altria Group | ||||||||
9.950%, 11/10/2038 | 50 | 88 | ||||||
5.375%, 01/31/2044 | 190 | 232 | ||||||
4.750%, 05/05/2021 | 230 | 261 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.850%, 08/09/2022 | $ | 550 | $ | 568 | ||||
Anheuser-Busch InBev Finance | ||||||||
4.900%, 02/01/2046 | 2,112 | 2,360 | ||||||
3.650%, 02/01/2026 | 3,641 | 3,829 | ||||||
3.300%, 02/01/2023 | 995 | 1,034 | ||||||
2.650%, 02/01/2021 | 877 | 901 | ||||||
1.900%, 02/01/2019 | 450 | 457 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
7.750%, 01/15/2019 | 18 | 21 | ||||||
2.500%, 07/15/2022 | 420 | 423 | ||||||
1.375%, 07/15/2017 | 105 | 106 | ||||||
Coca-Cola | ||||||||
1.800%, 09/01/2016 | 60 | 60 | ||||||
Coca-Cola Femsa | ||||||||
2.375%, 11/26/2018 | 400 | 406 | ||||||
Costco Wholesale | ||||||||
2.250%, 02/15/2022 | 56 | 57 | ||||||
CVS Health | ||||||||
5.750%, 05/15/2041 | 50 | 61 | ||||||
5.125%, 07/20/2045 | 710 | 822 | ||||||
4.875%, 07/20/2035 | 110 | 123 | ||||||
3.875%, 07/20/2025 | 100 | 108 | ||||||
3.500%, 07/20/2022 | 110 | 118 | ||||||
2.750%, 12/01/2022 | 550 | 565 | ||||||
CVS Pass-Through Trust | ||||||||
5.926%, 01/10/2034 (C) | 87 | 96 | ||||||
Diageo Investment | ||||||||
2.875%, 05/11/2022 | 580 | 606 | ||||||
Kraft Heinz Foods | ||||||||
6.875%, 01/26/2039 | 49 | 62 | ||||||
6.500%, 02/09/2040 | 140 | 175 | ||||||
6.125%, 08/23/2018 | 225 | 248 | ||||||
5.375%, 02/10/2020 | 16 | 18 | ||||||
5.200%, 07/15/2045 (C) | 810 | 906 | ||||||
5.000%, 07/15/2035 (C) | 100 | 110 | ||||||
5.000%, 06/04/2042 | 35 | 38 | ||||||
4.875%, 02/15/2025 (C) | 70 | 77 | ||||||
3.950%, 07/15/2025 (C) | 90 | 96 | ||||||
3.500%, 06/06/2022 | 820 | 862 | ||||||
3.500%, 07/15/2022 (C) | 325 | 341 | ||||||
2.800%, 07/02/2020 (C) | 510 | 524 | ||||||
Kroger | ||||||||
7.500%, 04/01/2031 | 90 | 118 | ||||||
6.900%, 04/15/2038 | 80 | 105 | ||||||
5.400%, 07/15/2040 | 14 | 16 | ||||||
2.950%, 11/01/2021 | 235 | 245 | ||||||
2.200%, 01/15/2017 | 40 | 40 | ||||||
Mondelez International | ||||||||
4.000%, 02/01/2024 | 140 | 150 | ||||||
PepsiCo | ||||||||
7.900%, 11/01/2018 | 11 | 13 | ||||||
4.250%, 10/22/2044 | 100 | 107 | ||||||
4.000%, 03/05/2042 | 50 | 52 | ||||||
3.100%, 07/17/2022 | 59 | 63 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 91 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.000%, 08/25/2021 | $ | 31 | $ | 33 | ||||
2.500%, 05/10/2016 | 35 | 35 | ||||||
1.250%, 08/13/2017 | 72 | 72 | ||||||
Pernod Ricard | ||||||||
4.450%, 01/15/2022 (C) | 370 | 399 | ||||||
Philip Morris International | ||||||||
4.500%, 03/20/2042 | 200 | 215 | ||||||
2.500%, 08/22/2022 | 250 | 257 | ||||||
1.875%, 02/25/2021 | 96 | 97 | ||||||
1.375%, 02/25/2019 | 285 | 286 | ||||||
Reynolds American | ||||||||
8.125%, 06/23/2019 | 370 | 442 | ||||||
5.850%, 08/15/2045 | 510 | 623 | ||||||
5.700%, 08/15/2035 | 255 | 298 | ||||||
3.250%, 06/12/2020 | 54 | 57 | ||||||
SABMiller Holdings | ||||||||
3.750%, 01/15/2022 (C) | 245 | 260 | ||||||
Tyson Foods | ||||||||
5.150%, 08/15/2044 | 270 | 302 | ||||||
3.950%, 08/15/2024 | 60 | 64 | ||||||
Walgreens Boots Alliance | ||||||||
4.800%, 11/18/2044 | 875 | 870 | ||||||
3.300%, 11/18/2021 | 377 | 388 | ||||||
Wal-Mart Stores | ||||||||
5.625%, 04/15/2041 | 20 | 26 | ||||||
4.750%, 10/02/2043 | 200 | 236 | ||||||
4.300%, 04/22/2044 | 605 | 676 | ||||||
3.300%, 04/22/2024 | 60 | 65 | ||||||
Wm Wrigley Jr | ||||||||
3.375%, 10/21/2020 (C) | 455 | 474 | ||||||
2.900%, 10/21/2019 (C) | 566 | 581 | ||||||
2.400%, 10/21/2018 (C) | 210 | 212 | ||||||
2.000%, 10/20/2017 (C) | 115 | 116 | ||||||
|
| |||||||
24,752 | ||||||||
|
| |||||||
Energy — 2.5% | ||||||||
Anadarko Finance, Ser B | ||||||||
7.500%, 05/01/2031 | 60 | 65 | ||||||
Anadarko Petroleum | ||||||||
6.600%, 03/15/2046 | 255 | 260 | ||||||
6.450%, 09/15/2036 | 110 | 110 | ||||||
6.375%, 09/15/2017 | 70 | 73 | ||||||
5.550%, 03/15/2026 | 440 | 444 | ||||||
4.850%, 03/15/2021 | 330 | 334 | ||||||
4.500%, 07/15/2044 | 125 | 98 | ||||||
Apache | ||||||||
5.100%, 09/01/2040 | 120 | 109 | ||||||
4.250%, 01/15/2044 | 180 | 151 | ||||||
3.250%, 04/15/2022 | 109 | 105 | ||||||
Baker Hughes | ||||||||
7.500%, 11/15/2018 | 170 | 191 | ||||||
BG Energy Capital PLC | ||||||||
4.000%, 10/15/2021 (C) | 575 | 601 | ||||||
Boardwalk Pipelines | ||||||||
5.875%, 11/15/2016 | 350 | 351 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BP Capital Markets PLC | ||||||||
3.994%, 09/26/2023 | $ | 95 | $ | 100 | ||||
3.814%, 02/10/2024 | 83 | 86 | ||||||
3.506%, 03/17/2025 | 90 | 91 | ||||||
3.245%, 05/06/2022 | 90 | 93 | ||||||
3.062%, 03/17/2022 | 50 | 51 | ||||||
1.846%, 05/05/2017 | 172 | 173 | ||||||
Canadian Natural Resources | ||||||||
6.450%, 06/30/2033 | 50 | 46 | ||||||
Chevron | ||||||||
3.191%, 06/24/2023 | 22 | 23 | ||||||
2.411%, 03/03/2022 | 450 | 458 | ||||||
2.355%, 12/05/2022 | 15 | 15 | ||||||
1.365%, 03/02/2018 | 510 | 512 | ||||||
CNOOC Finance | ||||||||
3.500%, 05/05/2025 | 450 | 443 | ||||||
CNOOC Nexen Finance | ||||||||
4.250%, 04/30/2024 | 200 | 207 | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/2031 | 130 | 144 | ||||||
ConocoPhillips | ||||||||
6.000%, 01/15/2020 | 100 | 111 | ||||||
4.150%, 11/15/2034 | 395 | 353 | ||||||
Continental Resources | ||||||||
5.000%, 09/15/2022 | 10 | 9 | ||||||
Devon Energy | ||||||||
6.300%, 01/15/2019 | 80 | 81 | ||||||
5.850%, 12/15/2025 | 150 | 145 | ||||||
5.600%, 07/15/2041 | 110 | 86 | ||||||
5.000%, 06/15/2045 | 190 | 142 | ||||||
4.750%, 05/15/2042 | 17 | 12 | ||||||
3.250%, 05/15/2022 | 137 | 115 | ||||||
Devon Financing LLC | ||||||||
7.875%, 09/30/2031 | 40 | 39 | ||||||
Ecopetrol | ||||||||
5.875%, 05/28/2045 | 210 | 165 | ||||||
5.375%, 06/26/2026 | 190 | 173 | ||||||
4.125%, 01/16/2025 | 43 | 37 | ||||||
Enbridge Energy Partners | ||||||||
5.875%, 10/15/2025 (D) | 200 | 202 | ||||||
Energy Transfer Partners | ||||||||
8.250%, 11/15/2029 | 675 | 742 | ||||||
6.125%, 12/15/2045 | 55 | 49 | ||||||
5.150%, 03/15/2045 | 14 | 11 | ||||||
4.750%, 01/15/2026 | 195 | 177 | ||||||
4.150%, 10/01/2020 | 135 | 130 | ||||||
3.600%, 02/01/2023 | 45 | 39 | ||||||
2.500%, 06/15/2018 | 275 | 266 | ||||||
Enterprise Products Operating | ||||||||
5.700%, 02/15/2042 | 40 | 40 | ||||||
Exxon Mobil | ||||||||
4.114%, 03/01/2046 | 735 | 779 | ||||||
3.043%, 03/01/2026 | 839 | 859 | ||||||
2.397%, 03/06/2022 | 100 | 101 |
92 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.222%, 03/01/2021 | $ | 1,288 | $ | 1,311 | ||||
1.708%, 03/01/2019 | 790 | 800 | ||||||
Florida Gas Transmission | ||||||||
7.900%, 05/15/2019 (C) | 350 | 392 | ||||||
Gulfstream Natural Gas System | ||||||||
5.950%, 10/15/2045 (C) | 190 | 187 | ||||||
Halliburton | ||||||||
5.000%, 11/15/2045 | 135 | 132 | ||||||
3.800%, 11/15/2025 | 380 | 381 | ||||||
3.500%, 08/01/2023 | 50 | 50 | ||||||
2.700%, 11/15/2020 | 60 | 61 | ||||||
Hess | ||||||||
8.125%, 02/15/2019 | 150 | 165 | ||||||
Kerr-McGee | ||||||||
7.875%, 09/15/2031 | 100 | 109 | ||||||
6.950%, 07/01/2024 | 337 | 357 | ||||||
Kinder Morgan | ||||||||
5.300%, 12/01/2034 | 200 | 172 | ||||||
4.300%, 06/01/2025 | 1,030 | 980 | ||||||
Magellan Midstream Partners | ||||||||
5.000%, 03/01/2026 | 150 | 162 | ||||||
Marathon Oil | ||||||||
5.200%, 06/01/2045 | 140 | 98 | ||||||
Marathon Petroleum | ||||||||
5.850%, 12/15/2045 | 120 | 108 | ||||||
5.000%, 09/15/2054 | 30 | 23 | ||||||
Noble Energy | ||||||||
5.250%, 11/15/2043 | 60 | 52 | ||||||
5.050%, 11/15/2044 | 29 | 25 | ||||||
4.150%, 12/15/2021 | 230 | 229 | ||||||
3.900%, 11/15/2024 | 150 | 141 | ||||||
Occidental Petroleum | ||||||||
4.625%, 06/15/2045 | 130 | 136 | ||||||
4.400%, 04/15/2046 | 295 | 297 | ||||||
3.500%, 06/15/2025 | 45 | 46 | ||||||
3.400%, 04/15/2026 | 195 | 197 | ||||||
2.700%, 02/15/2023 | 129 | 127 | ||||||
1.750%, 02/15/2017 | 35 | 35 | ||||||
ONEOK Partners | ||||||||
2.000%, 10/01/2017 | 240 | 232 | ||||||
Petrobras Global Finance | ||||||||
6.850%, 06/05/2115 | 200 | 139 | ||||||
6.250%, 03/17/2024 | 310 | 248 | ||||||
Petrobras International Finance | ||||||||
5.375%, 01/27/2021 | 1,060 | 876 | ||||||
Petro-Canada | ||||||||
6.800%, 05/15/2038 | 475 | 521 | ||||||
Petrofac | ||||||||
3.400%, 10/10/2018 (C) | 250 | 230 | ||||||
Petroleos Mexicanos | ||||||||
6.875%, 08/04/2026 (C) | 325 | 352 | ||||||
6.625%, 06/15/2035 | 350 | 336 | ||||||
6.375%, 01/23/2045 | 530 | 491 | ||||||
5.625%, 01/23/2046 | 297 | 250 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.500%, 06/27/2044 | $ | 30 | $ | 25 | ||||
4.875%, 01/18/2024 | 32 | 31 | ||||||
2.460%, 12/15/2025 | 665 | 682 | ||||||
2.378%, 04/15/2025 | 337 | 345 | ||||||
Phillips 66 | ||||||||
5.875%, 05/01/2042 | 35 | 38 | ||||||
Pioneer Natural Resources | ||||||||
3.450%, 01/15/2021 | 255 | 254 | ||||||
Plains All American Pipeline | ||||||||
4.650%, 10/15/2025 | 65 | 60 | ||||||
Pride International | ||||||||
6.875%, 08/15/2020 | 30 | 22 | ||||||
Schlumberger Holdings | ||||||||
4.000%, 12/21/2025 (C) | 120 | 124 | ||||||
3.000%, 12/21/2020 (C) | 1,000 | 1,014 | ||||||
Schlumberger Investment | ||||||||
3.650%, 12/01/2023 | 61 | 63 | ||||||
3.300%, 09/14/2021 (C) | 47 | 49 | ||||||
Shell International Finance | ||||||||
4.375%, 03/25/2020 | 140 | 153 | ||||||
4.375%, 05/11/2045 | 515 | 516 | ||||||
4.125%, 05/11/2035 | 1,681 | 1,722 | ||||||
3.400%, 08/12/2023 | 465 | 482 | ||||||
2.125%, 05/11/2020 | 56 | 57 | ||||||
Sinopec Group Overseas Development | ||||||||
4.375%, 04/10/2024 (C) | 380 | 405 | ||||||
Spectra Energy Partners | ||||||||
5.950%, 09/25/2043 | 30 | 31 | ||||||
4.500%, 03/15/2045 | 400 | 355 | ||||||
Statoil | ||||||||
5.250%, 04/15/2019 | 140 | 154 | ||||||
3.700%, 03/01/2024 | 210 | 219 | ||||||
TC PipeLines | ||||||||
4.650%, 06/15/2021 | 85 | 82 | ||||||
Total Capital International | ||||||||
3.700%, 01/15/2024 | 42 | 45 | ||||||
2.875%, 02/17/2022 | 505 | 518 | ||||||
TransCanada Pipelines | ||||||||
4.625%, 03/01/2034 | 470 | 449 | ||||||
Transcontinental Gas Pipe Line | ||||||||
7.850%, 02/01/2026 (C) | 270 | 308 | ||||||
Transocean | ||||||||
5.800%, 12/15/2016 | 70 | 70 | ||||||
3.000%, 10/15/2017 | 260 | 247 | ||||||
Valero Energy | ||||||||
4.900%, 03/15/2045 | 185 | 165 | ||||||
Western Gas Partners | ||||||||
5.450%, 04/01/2044 | 65 | 52 | ||||||
5.375%, 06/01/2021 | 120 | 116 | ||||||
4.000%, 07/01/2022 | 35 | 31 | ||||||
3.950%, 06/01/2025 | 280 | 240 | ||||||
Williams | ||||||||
7.875%, 09/01/2021 | 496 | 459 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 93 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Williams Partners | ||||||||
4.000%, 09/15/2025 | $ | 130 | $ | 105 | ||||
|
| |||||||
30,333 | ||||||||
|
| |||||||
Financials — 9.6% | ||||||||
AIA Group MTN | ||||||||
4.500%, 03/16/2046 (C) | 380 | 382 | ||||||
3.200%, 03/11/2025 (C) | 270 | 271 | ||||||
AIG Global Funding MTN | ||||||||
1.650%, 12/15/2017 (C) | 42 | 42 | ||||||
American Express | ||||||||
7.000%, 03/19/2018 | 170 | 186 | ||||||
American Express Credit MTN | ||||||||
2.600%, 09/14/2020 | 345 | 354 | ||||||
2.375%, 05/26/2020 | 64 | 65 | ||||||
2.250%, 08/15/2019 | 625 | 633 | ||||||
1.875%, 11/05/2018 | 44 | 44 | ||||||
1.800%, 07/31/2018 | 65 | 65 | ||||||
American International Group | ||||||||
4.800%, 07/10/2045 | 50 | 49 | ||||||
4.375%, 01/15/2055 | 105 | 92 | ||||||
4.125%, 02/15/2024 | 107 | 111 | ||||||
3.900%, 04/01/2026 | 1,225 | 1,229 | ||||||
3.875%, 01/15/2035 | 30 | 27 | ||||||
3.750%, 07/10/2025 | 268 | 268 | ||||||
American Tower | ||||||||
3.500%, 01/31/2023‡ | 423 | 427 | ||||||
3.450%, 09/15/2021‡ | 345 | 353 | ||||||
3.300%, 02/15/2021‡ | 200 | 203 | ||||||
2.800%, 06/01/2020‡ | 180 | 181 | ||||||
Aon | ||||||||
6.250%, 09/30/2040 | 19 | 22 | ||||||
3.500%, 06/14/2024 | 65 | 65 | ||||||
Bank of America | ||||||||
6.875%, 04/25/2018 | 100 | 110 | ||||||
6.500%, 08/01/2016 | 1,325 | 1,349 | ||||||
6.400%, 08/28/2017 | 150 | 159 | ||||||
6.100%, 06/15/2017 | 2,600 | 2,719 | ||||||
6.000%, 09/01/2017 | 375 | 396 | ||||||
5.750%, 12/01/2017 | 70 | 74 | ||||||
5.700%, 01/24/2022 | 5 | 6 | ||||||
5.650%, 05/01/2018 | 1,100 | 1,181 | ||||||
5.625%, 07/01/2020 | 105 | 118 | ||||||
5.420%, 03/15/2017 | 200 | 207 | ||||||
5.000%, 05/13/2021 | 410 | 455 | ||||||
5.000%, 01/21/2044 | 700 | 772 | ||||||
4.875%, 04/01/2044 | 260 | 283 | ||||||
4.450%, 03/03/2026 | 1,289 | 1,328 | ||||||
4.250%, 10/22/2026 | 47 | 48 | ||||||
4.200%, 08/26/2024 | 700 | 713 | ||||||
4.125%, 01/22/2024 | 290 | 307 | ||||||
4.100%, 07/24/2023 | 340 | 358 | ||||||
4.000%, 04/01/2024 | 290 | 304 | ||||||
4.000%, 01/22/2025 | 433 | 434 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.950%, 04/21/2025 | $ | 123 | $ | 122 | ||||
3.875%, 08/01/2025 | 704 | 730 | ||||||
3.300%, 01/11/2023 | 440 | 444 | ||||||
2.625%, 10/19/2020 | 355 | 357 | ||||||
2.600%, 01/15/2019 | 160 | 163 | ||||||
2.250%, 04/21/2020 | 100 | 99 | ||||||
Bank of Montreal MTN | ||||||||
2.375%, 01/25/2019 | 55 | 56 | ||||||
1.400%, 09/11/2017 | 53 | 53 | ||||||
Bank of New York Mellon | ||||||||
4.600%, 01/15/2020 | 40 | 44 | ||||||
3.550%, 09/23/2021 | 34 | �� | 36 | |||||
3.400%, 05/15/2024 | 1,075 | 1,124 | ||||||
3.250%, 09/11/2024 | 100 | 103 | ||||||
2.500%, 04/15/2021 | 770 | 785 | ||||||
2.200%, 03/04/2019 | 425 | 432 | ||||||
Bank of Nova Scotia | ||||||||
1.850%, 04/14/2020 | 160 | 159 | ||||||
Bank of Tokyo-Mitsubishi | ||||||||
4.100%, 09/09/2023 (C) | 200 | 216 | ||||||
Barclays Bank | ||||||||
5.000%, 09/22/2016 | 100 | 102 | ||||||
Barclays Bank PLC | ||||||||
4.375%, 01/12/2026 | 660 | 647 | ||||||
BB&T | ||||||||
5.250%, 11/01/2019 | 200 | 219 | ||||||
3.950%, 04/29/2016 | 160 | 161 | ||||||
Bear Stearns | ||||||||
7.250%, 02/01/2018 | 1,500 | 1,647 | ||||||
Berkshire Hathaway | ||||||||
3.750%, 08/15/2021 | 500 | 547 | ||||||
3.400%, 01/31/2022 | 65 | 70 | ||||||
3.125%, 03/15/2026 | 1,400 | 1,435 | ||||||
Berkshire Hathaway Finance | ||||||||
5.400%, 05/15/2018 | 110 | 120 | ||||||
4.400%, 05/15/2042 | 316 | 342 | ||||||
BNP Paribas MTN | ||||||||
4.375%, 09/28/2025 (C) | 460 | 460 | ||||||
2.700%, 08/20/2018 | 380 | 388 | ||||||
2.375%, 09/14/2017 | 110 | 111 | ||||||
Boston Properties | ||||||||
5.625%, 11/15/2020‡ | 450 | 506 | ||||||
BPCE | ||||||||
5.150%, 07/21/2024 (C) | 200 | 204 | ||||||
Capital One Bank USA | ||||||||
1.200%, 02/13/2017 | 750 | 749 | ||||||
Capital One Financial | ||||||||
4.750%, 07/15/2021 | 50 | 55 | ||||||
4.200%, 10/29/2025 | 353 | 357 | ||||||
Chubb INA Holdings | ||||||||
4.350%, 11/03/2045 | 235 | 256 | ||||||
3.350%, 05/03/2026 | 455 | 475 | ||||||
3.150%, 03/15/2025 | 74 | 76 | ||||||
2.875%, 11/03/2022 | 39 | 40 |
94 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.300%, 11/03/2020 | $ | 50 | $ | 51 | ||||
Citigroup | ||||||||
8.125%, 07/15/2039 | 170 | 252 | ||||||
5.875%, 01/30/2042 | 250 | 301 | ||||||
5.500%, 09/13/2025 | 269 | 294 | ||||||
5.300%, 05/06/2044 | 40 | 42 | ||||||
4.650%, 07/30/2045 | 775 | 812 | ||||||
4.600%, 03/09/2026 | 520 | 533 | ||||||
4.500%, 01/14/2022 | 380 | 416 | ||||||
4.450%, 09/29/2027 | 930 | 936 | ||||||
4.400%, 06/10/2025 | 270 | 275 | ||||||
4.300%, 11/20/2026 | 60 | 60 | ||||||
3.700%, 01/12/2026 | 595 | 611 | ||||||
3.500%, 05/15/2023 | 130 | 130 | ||||||
3.300%, 04/27/2025 | 120 | 120 | ||||||
2.500%, 09/26/2018 | 990 | 1,005 | ||||||
2.150%, 07/30/2018 | 71 | 71 | ||||||
1.800%, 02/05/2018 | 505 | 505 | ||||||
1.700%, 04/27/2018 | 160 | 159 | ||||||
1.550%, 08/14/2017 | 580 | 580 | ||||||
1.179%, 08/25/2036 (B) | 1,500 | 970 | ||||||
CME Group | ||||||||
3.000%, 03/15/2025 | 51 | 52 | ||||||
Commonwealth Bank of Australia | ||||||||
2.250%, 03/16/2017 (C) | 250 | 254 | ||||||
Cooperatieve Rabobank | ||||||||
4.625%, 12/01/2023 | 530 | 559 | ||||||
3.875%, 02/08/2022 | 30 | 32 | ||||||
3.375%, 01/19/2017 | 370 | 377 | ||||||
Credit Agricole | ||||||||
8.375%, 12/31/2049 (B) (C) | 170 | 187 | ||||||
Credit Suisse Group Funding Guernsey | ||||||||
4.875%, 05/15/2045 | 280 | 267 | ||||||
3.800%, 09/15/2022 | 595 | 592 | ||||||
3.125%, 12/10/2020 (C) | 980 | 975 | ||||||
DDR | ||||||||
4.625%, 07/15/2022‡ | 425 | 451 | ||||||
3.375%, 05/15/2023‡ | 355 | 345 | ||||||
Deutsche Bank | ||||||||
1.350%, 05/30/2017 | 460 | 457 | ||||||
Discover Bank | ||||||||
3.100%, 06/04/2020 | 500 | 504 | ||||||
Discover Financial Services | ||||||||
6.450%, 06/12/2017 | 250 | 262 | ||||||
Duke Realty | ||||||||
4.375%, 06/15/2022‡ | 50 | 53 | ||||||
Education Realty Operating Partnership | ||||||||
4.600%, 12/01/2024‡ | 505 | 498 | ||||||
ERP Operating | ||||||||
5.750%, 06/15/2017‡ | 125 | 132 | ||||||
4.625%, 12/15/2021‡ | 64 | 71 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Farmers Exchange Capital | ||||||||
7.200%, 07/15/2048 (C) | $ | 1,021 | $ | 1,160 | ||||
Fifth Third Bancorp | ||||||||
2.875%, 10/01/2021 | 200 | 204 | ||||||
2.300%, 03/01/2019 | 30 | 30 | ||||||
Goldman Sachs Group | ||||||||
7.500%, 02/15/2019 | 710 | 818 | ||||||
6.750%, 10/01/2037 | 342 | 408 | ||||||
6.250%, 09/01/2017 | 350 | 373 | ||||||
6.250%, 02/01/2041 | 300 | 373 | ||||||
6.150%, 04/01/2018 | 780 | 844 | ||||||
6.000%, 06/15/2020 | 880 | 1,003 | ||||||
5.750%, 01/24/2022 | 300 | 346 | ||||||
5.375%, 03/15/2020 | 950 | 1,054 | ||||||
5.150%, 05/22/2045 | 140 | 142 | ||||||
4.750%, 10/21/2045 | 496 | 518 | ||||||
4.250%, 10/21/2025 | 460 | 468 | ||||||
4.000%, 03/03/2024 | 200 | 210 | ||||||
3.850%, 07/08/2024 | 121 | 125 | ||||||
3.750%, 05/22/2025 | 50 | 51 | ||||||
3.750%, 02/25/2026 | 1,575 | 1,613 | ||||||
3.500%, 01/23/2025 | 64 | 65 | ||||||
2.900%, 07/19/2018 | 220 | 225 | ||||||
2.875%, 02/25/2021 | 695 | 707 | ||||||
2.750%, 09/15/2020 | 35 | 36 | ||||||
2.375%, 01/22/2018 | 520 | 527 | ||||||
HBOS PLC MTN | ||||||||
6.750%, 05/21/2018 (C) | 200 | 216 | ||||||
HCP | ||||||||
4.250%, 11/15/2023‡ | 580 | 582 | ||||||
4.000%, 06/01/2025‡ | 450 | 432 | ||||||
3.400%, 02/01/2025‡ | 57 | 53 | ||||||
2.625%, 02/01/2020‡ | 28 | 28 | ||||||
Healthcare Realty Trust | ||||||||
3.875%, 05/01/2025‡ | 200 | 194 | ||||||
3.750%, 04/15/2023‡ | 400 | 394 | ||||||
Highwoods Realty | ||||||||
5.850%, 03/15/2017‡ | 750 | 777 | ||||||
HSBC Bank PLC | ||||||||
4.125%, 08/12/2020 (C) | 100 | 107 | ||||||
HSBC Finance | ||||||||
6.676%, 01/15/2021 | 850 | 975 | ||||||
HSBC Holdings PLC | ||||||||
5.250%, 03/14/2044 | 520 | 527 | ||||||
4.875%, 01/14/2022 | 100 | 110 | ||||||
4.300%, 03/08/2026 | 1,135 | 1,173 | ||||||
4.250%, 08/18/2025 | 250 | 247 | ||||||
4.000%, 03/30/2022 | 206 | 217 | ||||||
3.400%, 03/08/2021 | 1,079 | 1,101 | ||||||
HSBC USA | ||||||||
2.350%, 03/05/2020 | 100 | 99 | ||||||
Huntington Bancshares | ||||||||
3.150%, 03/14/2021 | 345 | 351 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 95 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ING Bank | ||||||||
5.800%, 09/25/2023 (C) | $ | 430 | $ | 468 | ||||
2.750%, 03/22/2021 (C) | 450 | 457 | ||||||
Intercontinental Exchange | ||||||||
4.000%, 10/15/2023 | 65 | 68 | ||||||
2.500%, 10/15/2018 | 85 | 86 | ||||||
International Lease Finance | ||||||||
7.125%, 09/01/2018 (C) | 500 | 545 | ||||||
6.750%, 09/01/2016 (C) | 640 | 650 | ||||||
Intesa Sanpaolo MTN | ||||||||
5.017%, 06/26/2024 (C) | 510 | 478 | ||||||
JPMorgan Chase | ||||||||
5.400%, 01/06/2042 | 25 | 30 | ||||||
4.950%, 06/01/2045 | 409 | 432 | ||||||
4.500%, 01/24/2022 | 660 | 728 | ||||||
4.125%, 12/15/2026 | 520 | 540 | ||||||
3.875%, 09/10/2024 | 20 | 20 | ||||||
3.625%, 05/13/2024 | 230 | 240 | ||||||
3.375%, 05/01/2023 | 140 | 141 | ||||||
3.300%, 04/01/2026 | 865 | 872 | ||||||
3.250%, 09/23/2022 | 240 | 250 | ||||||
3.200%, 01/25/2023 | 100 | 103 | ||||||
3.150%, 07/05/2016 | 180 | 181 | ||||||
2.550%, 03/01/2021 | 1,735 | 1,750 | ||||||
2.250%, 01/23/2020 | 645 | 650 | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 10/01/2017 | 1,927 | 2,046 | ||||||
JPMorgan Chase Capital XIII | ||||||||
1.579%, 09/30/2034 (B) | 500 | 394 | ||||||
KKR Group Finance II | ||||||||
5.500%, 02/01/2043 (C) | 20 | 20 | ||||||
Lazard Group LLC | ||||||||
4.250%, 11/14/2020 | 290 | 303 | ||||||
3.750%, 02/13/2025 | 485 | 447 | ||||||
Liberty Mutual Group | ||||||||
4.850%, 08/01/2044 (C) | 275 | 263 | ||||||
Liberty Mutual Insurance | ||||||||
8.500%, 05/15/2025 (C) | 100 | 126 | ||||||
Lloyds Banking Group | ||||||||
4.650%, 03/24/2026 | 445 | 441 | ||||||
Lloyds TSB Bank MTN | ||||||||
5.800%, 01/13/2020 (C) | 310 | 350 | ||||||
Macquarie Bank | ||||||||
5.000%, 02/22/2017 (C) | 170 | 175 | ||||||
Macquarie Group | ||||||||
6.250%, 01/14/2021 (C) | 166 | 187 | ||||||
Markel | ||||||||
5.000%, 04/05/2046 | 80 | 80 | ||||||
Marsh & McLennan | ||||||||
3.750%, 03/14/2026 | 295 | 302 | ||||||
Massachusetts Mutual Life Insurance | ||||||||
8.875%, 06/01/2039 (C) | 295 | 428 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MetLife | ||||||||
6.750%, 06/01/2016 | $ | 390 | $ | 394 | ||||
6.400%, 12/15/2036 | 945 | 976 | ||||||
5.700%, 06/15/2035 | 15 | 17 | ||||||
4.600%, 05/13/2046 | 150 | 154 | ||||||
Metropolitan Life Global Funding MTN | ||||||||
2.500%, 12/03/2020 (C) | 325 | 330 | ||||||
1.500%, 01/10/2018 (C) | 313 | 314 | ||||||
Mid-America Apartments | ||||||||
4.300%, 10/15/2023 ‡ | 140 | 148 | ||||||
4.000%, 11/15/2025 ‡ | 160 | 163 | ||||||
3.750%, 06/15/2024 ‡ | 320 | 325 | ||||||
Mizuho Bank | ||||||||
1.800%, 03/26/2018 (C) | 200 | 200 | ||||||
Morgan Stanley MTN | ||||||||
7.300%, 05/13/2019 | 320 | 368 | ||||||
6.625%, 04/01/2018 | 2,050 | 2,240 | ||||||
5.950%, 12/28/2017 | 200 | 214 | ||||||
5.750%, 01/25/2021 | 100 | 115 | ||||||
5.625%, 09/23/2019 | 350 | 390 | ||||||
5.550%, 04/27/2017 | 100 | 104 | ||||||
5.450%, 01/09/2017 | 470 | 485 | ||||||
4.000%, 07/23/2025 | 1,368 | 1,431 | ||||||
3.950%, 04/23/2027 | 355 | 355 | ||||||
3.875%, 01/27/2026 | 330 | 344 | ||||||
3.700%, 10/23/2024 | 94 | 97 | ||||||
2.800%, 06/16/2020 | 566 | 576 | ||||||
Murray Street Investment Trust I | ||||||||
4.647%, 03/09/2017 (E) | 612 | 629 | ||||||
National City | ||||||||
6.875%, 05/15/2019 | 50 | 56 | ||||||
National City Bank | ||||||||
1.006%, 06/07/2017 (B) | 600 | 596 | ||||||
Nationwide Mutual Insurance | ||||||||
2.924%, 12/15/2024 (B) (C) | 760 | 738 | ||||||
New York Life Global Funding | ||||||||
2.150%, 06/18/2019 (C) | 73 | 74 | ||||||
New York Life Insurance | ||||||||
6.750%, 11/15/2039 (C) | 255 | 334 | ||||||
2.100%, 01/02/2019 (C) | 330 | 336 | ||||||
Nordea Bank | ||||||||
4.875%, 05/13/2021 (C) | 250 | 271 | ||||||
1.625%, 05/15/2018 (C) | 220 | 220 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/2040 (C) | 430 | 529 | ||||||
Pacific Life Global Funding MTN | ||||||||
5.000%, 05/15/2017 (C) | 50 | 52 | ||||||
Pipeline Funding | ||||||||
7.500%, 01/15/2030 (C) | 444 | 492 | ||||||
PNC Bank | ||||||||
2.400%, 10/18/2019 | 400 | 408 | ||||||
2.250%, 07/02/2019 | 325 | 330 |
96 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Post Apartment Homes | ||||||||
4.750%, 10/15/2017 | $ | 700 | $ | 724 | ||||
Pricoa Global Funding MTN | ||||||||
1.600%, 05/29/2018 (C) | 150 | 149 | ||||||
Prudential Financial MTN | ||||||||
5.625%, 05/12/2041 | 10 | 11 | ||||||
Prudential Insurance of America | ||||||||
8.300%, 07/01/2025 (C) | 150 | 194 | ||||||
Realty Income | ||||||||
3.250%, 10/15/2022‡ | 70 | 69 | ||||||
Regency Centers | ||||||||
5.875%, 06/15/2017‡ | 375 | 393 | ||||||
Reliance Standard Life Global Funding II MTN | ||||||||
2.500%, 04/24/2019 (C) | 750 | 755 | ||||||
Royal Bank of Canada | ||||||||
4.650%, 01/27/2026 | 375 | 382 | ||||||
2.300%, 07/20/2016 | 60 | 60 | ||||||
2.300%, 03/22/2021 | 605 | 612 | ||||||
2.000%, 10/01/2018 | 183 | 185 | ||||||
1.875%, 02/05/2020 | 180 | 181 | ||||||
1.200%, 01/23/2017 | 60 | 60 | ||||||
1.200%, 09/19/2017 | 140 | 140 | ||||||
Royal Bank of Scotland | ||||||||
4.650%, 06/04/2018 | 350 | 360 | ||||||
Royal Bank of Scotland Group | ||||||||
1.875%, 03/31/2017 | 250 | 249 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
4.800%, 04/05/2026 | 810 | 813 | ||||||
Santander Holdings USA | ||||||||
3.450%, 08/27/2018 | 230 | 234 | ||||||
Santander Issuances | ||||||||
5.179%, 11/19/2025 | 300 | 290 | ||||||
Santander UK Group Holdings | ||||||||
4.750%, 09/15/2025 (C) | 215 | 203 | ||||||
2.875%, 10/16/2020 | 606 | 603 | ||||||
Simon Property Group | ||||||||
4.375%, 03/01/2021‡ | 38 | 42 | ||||||
2.150%, 09/15/2017‡ | 125 | 126 | ||||||
Skandinaviska Enskilda Banken MTN | ||||||||
2.625%, 11/17/2020 (C) | 625 | 634 | ||||||
Standard Chartered | ||||||||
5.700%, 03/26/2044 (C) | 560 | 504 | ||||||
State Street | ||||||||
4.956%, 03/15/2018 | 270 | 284 | ||||||
3.700%, 11/20/2023 | 138 | 148 | ||||||
3.300%, 12/16/2024 | 70 | 73 | ||||||
SunTrust Banks | ||||||||
2.900%, 03/03/2021 | 434 | 440 | ||||||
Svenska Handelsbanken MTN | ||||||||
2.450%, 03/30/2021 | 620 | 626 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Synchrony Financial | ||||||||
4.500%, 07/23/2025 | $ | 340 | $ | 350 | ||||
Tanger Properties | ||||||||
3.875%, 12/01/2023‡ | 175 | 179 | ||||||
3.750%, 12/01/2024‡ | 155 | 156 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/2039 (C) | 150 | 193 | ||||||
4.900%, 09/15/2044 (C) | 290 | 311 | ||||||
Toronto-Dominion Bank | ||||||||
2.250%, 03/15/2021 (C) | 1,125 | 1,134 | ||||||
1.750%, 07/23/2018 | 72 | 72 | ||||||
Trinity Acquisition | ||||||||
4.400%, 03/15/2026 | 125 | 127 | ||||||
3.500%, 09/15/2021 | 235 | 239 | ||||||
UBS MTN | ||||||||
1.800%, 03/26/2018 | 445 | 446 | ||||||
1.375%, 06/01/2017 | 350 | 350 | ||||||
UBS Group Funding Jersey | ||||||||
4.125%, 09/24/2025 (C) | 230 | 230 | ||||||
4.125%, 04/15/2026 (C) | 560 | 560 | ||||||
3.000%, 04/15/2021 (C) | 835 | 836 | ||||||
US Bancorp MTN | ||||||||
2.950%, 07/15/2022 | 25 | 26 | ||||||
US Bank | ||||||||
2.125%, 10/28/2019 | 260 | 265 | ||||||
Ventas Realty | ||||||||
4.125%, 01/15/2026‡ | 29 | 30 | ||||||
Visa | ||||||||
4.300%, 12/14/2045 | 120 | 131 | ||||||
3.150%, 12/14/2025 | 825 | 861 | ||||||
2.800%, 12/14/2022 | 840 | 876 | ||||||
2.200%, 12/14/2020 | 340 | 349 | ||||||
Wachovia Capital Trust III | ||||||||
5.570%, 12/31/2049 (B) | 500 | 494 | ||||||
WEA Finance | ||||||||
3.750%, 09/17/2024 (C) | 210 | 214 | ||||||
3.250%, 10/05/2020 (C) | 505 | 516 | ||||||
Wells Fargo MTN | ||||||||
5.375%, 11/02/2043 | �� | 125 | 141 | |||||
4.900%, 11/17/2045 | 259 | 278 | ||||||
4.650%, 11/04/2044 | 121 | 124 | ||||||
4.300%, 07/22/2027 | 533 | 566 | ||||||
4.125%, 08/15/2023 | 900 | 960 | ||||||
3.500%, 03/08/2022 | 430 | 459 | ||||||
3.450%, 02/13/2023 | 230 | 236 | ||||||
3.300%, 09/09/2024 | 105 | 108 | ||||||
3.000%, 01/22/2021 | 575 | 596 | ||||||
2.550%, 12/07/2020 | 46 | 47 | ||||||
2.500%, 03/04/2021 | 95 | 96 | ||||||
2.150%, 01/30/2020 | 70 | 71 | ||||||
2.125%, 04/22/2019 | 70 | 71 | ||||||
Wells Fargo Bank | ||||||||
6.000%, 11/15/2017 | 590 | 633 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 97 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
1.650%, 01/22/2018 | $ | 585 | $ | 589 | ||||
Welltower | ||||||||
6.125%, 04/15/2020‡ | 525 | 592 | ||||||
4.500%, 01/15/2024‡ | 102 | 106 | ||||||
Westpac Banking | ||||||||
4.875%, 11/19/2019 | 170 | 188 | ||||||
2.450%, 11/28/2016 (C) | 200 | 202 | ||||||
ZFS Finance USA Trust II | ||||||||
6.450%, 12/15/2065 (B) (C) | 750 | 748 | ||||||
|
| |||||||
117,710 | ||||||||
|
| |||||||
Health Care — 2.3% | ||||||||
AbbVie | ||||||||
4.500%, 05/14/2035 | 395 | 410 | ||||||
4.400%, 11/06/2042 | 450 | 455 | ||||||
3.600%, 05/14/2025 | 520 | 546 | ||||||
3.200%, 11/06/2022 | 44 | 45 | ||||||
2.900%, 11/06/2022 | 10 | 10 | ||||||
2.500%, 05/14/2020 | 495 | 504 | ||||||
1.750%, 11/06/2017 | 120 | 121 | ||||||
Actavis | ||||||||
3.250%, 10/01/2022 | 13 | 13 | ||||||
Actavis Funding SCS | ||||||||
4.750%, 03/15/2045 | 505 | 531 | ||||||
4.550%, 03/15/2035 | 10 | 10 | ||||||
3.800%, 03/15/2025 | 1,360 | 1,415 | ||||||
3.450%, 03/15/2022 | 1,095 | 1,137 | ||||||
3.000%, 03/12/2020 | 352 | 362 | ||||||
2.350%, 03/12/2018 | 235 | 238 | ||||||
Aetna | ||||||||
2.200%, 03/15/2019 | 180 | 183 | ||||||
Amgen | ||||||||
5.750%, 03/15/2040 | 62 | 73 | ||||||
5.650%, 06/15/2042 | 227 | 267 | ||||||
5.375%, 05/15/2043 | 40 | 46 | ||||||
5.150%, 11/15/2041 | 1,105 | 1,219 | ||||||
3.875%, 11/15/2021 | 150 | 163 | ||||||
3.625%, 05/22/2024 | 60 | 63 | ||||||
2.125%, 05/01/2020 | 22 | 22 | �� | |||||
Anthem | ||||||||
5.100%, 01/15/2044 | 65 | 69 | ||||||
4.625%, 05/15/2042 | 41 | 40 | ||||||
3.500%, 08/15/2024 | 90 | 91 | ||||||
3.125%, 05/15/2022 | 468 | 470 | ||||||
2.300%, 07/15/2018 | 65 | 66 | ||||||
AstraZeneca | ||||||||
3.375%, 11/16/2025 | 500 | 518 | ||||||
Baxalta | ||||||||
5.250%, 06/23/2045 (C) | 357 | 380 | ||||||
4.000%, 06/23/2025 (C) | 145 | 147 | ||||||
3.600%, 06/23/2022 (C) | 627 | 637 | ||||||
Bayer US Finance | ||||||||
3.375%, 10/08/2024 (C) | 200 | 211 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Becton Dickinson | ||||||||
4.685%, 12/15/2044 | $ | 110 | $ | 119 | ||||
3.734%, 12/15/2024 | 166 | 177 | ||||||
2.675%, 12/15/2019 | 297 | 304 | ||||||
Biogen | ||||||||
5.200%, 09/15/2045 | 583 | 647 | ||||||
4.050%, 09/15/2025 | 257 | 274 | ||||||
3.625%, 09/15/2022 | 170 | 180 | ||||||
Celgene | ||||||||
5.250%, 08/15/2043 | 40 | 45 | ||||||
5.000%, 08/15/2045 | 1,027 | 1,110 | ||||||
3.875%, 08/15/2025 | 250 | 263 | ||||||
3.625%, 05/15/2024 | 69 | 71 | ||||||
3.550%, 08/15/2022 | 220 | 231 | ||||||
2.875%, 08/15/2020 | 200 | 206 | ||||||
1.900%, 08/15/2017 | 63 | 63 | ||||||
EMD Finance | ||||||||
2.400%, 03/19/2020 (C) | 670 | 669 | ||||||
Express Scripts Holding | ||||||||
4.500%, 02/25/2026 | 310 | 321 | ||||||
3.300%, 02/25/2021 | 800 | 820 | ||||||
2.650%, 02/15/2017 | 405 | 410 | ||||||
Forest Laboratories | ||||||||
5.000%, 12/15/2021 (C) | 35 | 39 | ||||||
Gilead Sciences | ||||||||
5.650%, 12/01/2041 | 35 | 42 | ||||||
4.750%, 03/01/2046 | 180 | 197 | ||||||
4.500%, 02/01/2045 | 20 | 21 | ||||||
3.700%, 04/01/2024 | 665 | 714 | ||||||
3.650%, 03/01/2026 | 473 | 503 | ||||||
3.250%, 09/01/2022 | 296 | 313 | ||||||
GlaxoSmithKline Capital PLC | ||||||||
2.850%, 05/08/2022 | 170 | 178 | ||||||
1.500%, 05/08/2017 | 160 | 161 | ||||||
Humana | ||||||||
7.200%, 06/15/2018 | 159 | 177 | ||||||
4.625%, 12/01/2042 | 40 | 39 | ||||||
3.850%, 10/01/2024 | 495 | 517 | ||||||
3.150%, 12/01/2022 | 390 | 395 | ||||||
Johnson & Johnson | ||||||||
4.500%, 12/05/2043 | 250 | 287 | ||||||
3.700%, 03/01/2046 | 835 | 877 | ||||||
3.550%, 03/01/2036 | 500 | 520 | ||||||
Medtronic | ||||||||
4.625%, 03/15/2045 | 130 | 146 | ||||||
4.375%, 03/15/2035 | 81 | 88 | ||||||
3.625%, 03/15/2024 | 545 | 585 | ||||||
3.500%, 03/15/2025 | 330 | 352 | ||||||
3.150%, 03/15/2022 | 65 | 69 | ||||||
Merck | ||||||||
2.750%, 02/10/2025 | 130 | 133 | ||||||
2.400%, 09/15/2022 | 29 | 30 | ||||||
2.350%, 02/10/2022 | 466 | 475 |
98 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Mylan | ||||||||
2.550%, 03/28/2019 | $ | 390 | $ | 390 | ||||
Novartis Capital | ||||||||
4.000%, 11/20/2045 | 200 | 214 | ||||||
Perrigo Finance Unlimited | ||||||||
4.375%, 03/15/2026 | 535 | 551 | ||||||
3.900%, 12/15/2024 | 290 | 288 | ||||||
3.500%, 12/15/2021 | 200 | 204 | ||||||
Pfizer | ||||||||
6.200%, 03/15/2019 | 120 | 137 | ||||||
Stryker | ||||||||
4.625%, 03/15/2046 | 675 | 721 | ||||||
Thermo Fisher Scientific | ||||||||
3.300%, 02/15/2022 | 465 | 474 | ||||||
UnitedHealth Group | ||||||||
4.625%, 07/15/2035 | 363 | 405 | ||||||
3.875%, 10/15/2020 | 180 | 195 | ||||||
3.750%, 07/15/2025 | 80 | 86 | ||||||
3.375%, 11/15/2021 | 75 | 80 | ||||||
3.350%, 07/15/2022 | 28 | 30 | ||||||
3.100%, 03/15/2026 | 580 | 594 | ||||||
2.875%, 12/15/2021 | 365 | 379 | ||||||
2.875%, 03/15/2023 | 50 | 51 | ||||||
2.125%, 03/15/2021 | 420 | 424 | ||||||
Wyeth LLC | ||||||||
5.950%, 04/01/2037 | 130 | 167 | ||||||
Zimmer Biomet Holdings | ||||||||
4.450%, 08/15/2045 | 60 | 59 | ||||||
|
| |||||||
28,679 | ||||||||
|
| |||||||
Industrials — 1.9% | ||||||||
ABB Finance USA | ||||||||
4.375%, 05/08/2042 | 30 | 32 | ||||||
ABB Treasury Center USA | ||||||||
2.500%, 06/15/2016 (C) | 325 | 326 | ||||||
American Airlines Pass-Through Trust, Ser 2013-2 | ||||||||
4.950%, 01/15/2023 | 840 | 899 | ||||||
AP Moeller - Maersk | ||||||||
3.875%, 09/28/2025 (C) | 275 | 263 | ||||||
Aviation Capital Group | ||||||||
6.750%, 04/06/2021 (C) | 180 | 203 | ||||||
BAE Systems | ||||||||
4.750%, 10/11/2021 (C) | 750 | 821 | ||||||
Boeing | ||||||||
4.875%, 02/15/2020 | 210 | 236 | ||||||
Burlington Northern Santa Fe | ||||||||
7.290%, 06/01/2036 | 90 | 122 | ||||||
5.750%, 03/15/2018 | 950 | 1,033 | ||||||
5.400%, 06/01/2041 | 50 | 59 | ||||||
4.700%, 09/01/2045 | 200 | 223 | ||||||
4.150%, 04/01/2045 | 165 | 169 | ||||||
3.850%, 09/01/2023 | 340 | 372 | ||||||
3.450%, 09/15/2021 | 91 | 97 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Canadian Pacific Railway | ||||||||
6.125%, 09/15/2115 | $ | 44 | $ | 47 | ||||
Caterpillar Financial Services MTN | ||||||||
2.750%, 08/20/2021 | 405 | 417 | ||||||
Catholic Health Initiatives | ||||||||
4.350%, 11/01/2042 | 30 | 30 | ||||||
Continental Airlines Pass-Through Trust, Ser 1999-2, Cl A-1 | ||||||||
7.256%, 03/15/2020 | 144 | 155 | ||||||
Continental Airlines Pass-Through Trust, Ser 2000-1, Cl A-1 | ||||||||
8.048%, 11/01/2020 | 225 | 247 | ||||||
Continental Airlines Pass-Through Trust, Ser 2007-1, Cl A | ||||||||
5.983%, 04/19/2022 | 648 | 716 | ||||||
Continental Airlines Pass-Through Trust, Ser 2009-2, Cl A | ||||||||
7.250%, 11/10/2019 | 144 | 162 | ||||||
CSX | ||||||||
6.250%, 03/15/2018 | 155 | 169 | ||||||
3.950%, 05/01/2050 | 21 | 19 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2007-1, Cl A | ||||||||
6.821%, 08/10/2022 | 111 | 128 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2010-1, Cl A | ||||||||
6.200%, 07/02/2018 | 316 | 338 | ||||||
Eaton | ||||||||
7.625%, 04/01/2024 | 75 | 95 | ||||||
4.150%, 11/02/2042 | 110 | 110 | ||||||
2.750%, 11/02/2022 | 450 | 450 | ||||||
1.500%, 11/02/2017 | 60 | 60 | ||||||
FedEx | ||||||||
4.550%, 04/01/2046 | 310 | 319 | ||||||
GE Capital International Funding | ||||||||
4.418%, 11/15/2035 (C) | 1,979 | 2,150 | ||||||
2.342%, 11/15/2020 (C) | 695 | 712 | ||||||
General Electric | ||||||||
6.875%, 01/10/2039 | 175 | 253 | ||||||
6.150%, 08/07/2037 | 254 | 342 | ||||||
6.000%, 08/07/2019 | 185 | 213 | ||||||
5.875%, 01/14/2038 | 109 | 142 | ||||||
5.625%, 09/15/2017 | 100 | 107 | ||||||
5.500%, 01/08/2020 | 180 | 206 | ||||||
5.400%, 02/15/2017 | 200 | 208 | ||||||
5.300%, 02/11/2021 | 154 | 179 | ||||||
4.650%, 10/17/2021 | 140 | 160 | ||||||
4.625%, 01/07/2021 | 205 | 232 | ||||||
4.500%, 03/11/2044 | 635 | 709 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 99 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.375%, 09/16/2020 | $ | 10 | $ | 11 | ||||
3.100%, 01/09/2023 | 100 | 106 | ||||||
2.300%, 04/27/2017 | 45 | 46 | ||||||
2.200%, 01/09/2020 | 43 | 44 | ||||||
2.100%, 12/11/2019 | 30 | 31 | ||||||
1.098%, 08/15/2036 (B) | 850 | 702 | ||||||
1.001%, 05/05/2026 (B) | 155 | 141 | ||||||
Glencore Funding LLC | ||||||||
2.500%, 01/15/2019 (C) | 190 | 174 | ||||||
Lockheed Martin | ||||||||
4.700%, 05/15/2046 | 250 | 280 | ||||||
4.500%, 05/15/2036 | 60 | 65 | ||||||
4.070%, 12/15/2042 | 91 | 92 | ||||||
3.550%, 01/15/2026 | 1,380 | 1,462 | ||||||
3.350%, 09/15/2021 | 575 | 608 | ||||||
2.500%, 11/23/2020 | 430 | 440 | ||||||
2.125%, 09/15/2016 | 37 | 37 | ||||||
Northrop Grumman | ||||||||
3.850%, 04/15/2045 | 141 | 139 | ||||||
3.250%, 08/01/2023 | 1,775 | 1,856 | ||||||
Parker-Hannifin MTN | ||||||||
3.300%, 11/21/2024 | 140 | 147 | ||||||
Penske Truck Leasing LP | ||||||||
3.375%, 02/01/2022 (C) | 496 | 490 | ||||||
3.200%, 07/15/2020 (C) | 450 | 450 | ||||||
3.050%, 01/09/2020 (C) | 90 | 89 | ||||||
Siemens Financieringsmaatschappij | ||||||||
2.900%, 05/27/2022 (C) | 760 | 791 | ||||||
Union Pacific | ||||||||
4.050%, 03/01/2046 | 310 | 319 | ||||||
United Technologies | ||||||||
8.875%, 11/15/2019 | 110 | 135 | ||||||
4.500%, 06/01/2042 | 17 | 19 | ||||||
4.150%, 05/15/2045 | 59 | 61 | ||||||
US Airways Pass-Through Trust, Ser 1998-1A | ||||||||
6.850%, 01/30/2018 | 544 | 563 | ||||||
Valmont Industries | ||||||||
5.250%, 10/01/2054 | 175 | 150 | ||||||
Verisk Analytics | ||||||||
5.500%, 06/15/2045 | 50 | 49 | ||||||
Waste Management | ||||||||
4.600%, 03/01/2021 | 90 | 96 | ||||||
3.500%, 05/15/2024 | 100 | 105 | ||||||
|
| |||||||
23,628 | ||||||||
|
| |||||||
Information Technology — 1.1% | ||||||||
Alibaba Group Holding | ||||||||
3.600%, 11/28/2024 | 270 | 272 | ||||||
Analog Devices | ||||||||
5.300%, 12/15/2045 | 145 | 163 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Apple | ||||||||
4.650%, 02/23/2046 | $ | 1,430 | $ | 1,561 | ||||
4.375%, 05/13/2045 | 400 | 419 | ||||||
3.850%, 05/04/2043 | 500 | 486 | ||||||
3.450%, 02/09/2045 | 31 | 28 | ||||||
3.250%, 02/23/2026 | 486 | 507 | ||||||
3.200%, 05/13/2025 | 64 | 67 | ||||||
2.850%, 05/06/2021 | 113 | 119 | ||||||
2.850%, 02/23/2023 | 585 | 606 | ||||||
2.250%, 02/23/2021 | 870 | 886 | ||||||
2.150%, 02/09/2022 | 82 | 83 | ||||||
0.869%, 05/03/2018 (B) | 69 | 69 | ||||||
Cisco Systems | ||||||||
2.200%, 02/28/2021 | 1,040 | 1,061 | ||||||
1.600%, 02/28/2019 | 413 | 419 | ||||||
Fidelity National Information Services | ||||||||
5.000%, 10/15/2025 | 200 | 216 | ||||||
4.500%, 10/15/2022 | 145 | 155 | ||||||
3.625%, 10/15/2020 | 300 | 310 | ||||||
2.850%, 10/15/2018 | 375 | 381 | ||||||
Harris | ||||||||
5.054%, 04/27/2045 | 60 | 64 | ||||||
Hewlett Packard Enterprise | ||||||||
6.350%, 10/15/2045 (C) | 445 | 437 | ||||||
4.900%, 10/15/2025 (C) | 380 | 391 | ||||||
Intel | ||||||||
3.700%, 07/29/2025 | 83 | 91 | ||||||
3.300%, 10/01/2021 | 35 | 38 | ||||||
3.100%, 07/29/2022 | 35 | 37 | ||||||
KLA-Tencor | ||||||||
4.125%, 11/01/2021 | 370 | 386 | ||||||
MasterCard | ||||||||
3.375%, 04/01/2024 | 250 | 267 | ||||||
Microsoft | ||||||||
4.750%, 11/03/2055 | 43 | 48 | ||||||
4.200%, 11/03/2035 | 671 | 719 | ||||||
4.000%, 02/12/2055 | 24 | 24 | ||||||
3.750%, 02/12/2045 | 330 | 327 | ||||||
3.625%, 12/15/2023 | 89 | 97 | ||||||
3.500%, 02/12/2035 | 593 | 581 | ||||||
3.125%, 11/03/2025 | 480 | 504 | ||||||
2.375%, 02/12/2022 | 20 | 21 | ||||||
2.375%, 05/01/2023 | 20 | 20 | ||||||
Oracle | ||||||||
3.900%, 05/15/2035 | 780 | 778 | ||||||
1.200%, 10/15/2017 | 250 | 252 | ||||||
Total System Services | ||||||||
4.800%, 04/01/2026 | 175 | 181 | ||||||
3.800%, 04/01/2021 | 195 | 200 | ||||||
TSMC Global | ||||||||
1.625%, 04/03/2018 (C) | 460 | 457 | ||||||
|
| |||||||
13,728 | ||||||||
|
|
100 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Materials — 0.6% | ||||||||
Albemarle | ||||||||
5.450%, 12/01/2044 | $ | 180 | $ | 172 | ||||
Barrick Gold | ||||||||
4.100%, 05/01/2023 | 94 | 91 | ||||||
Barrick North America Finance | ||||||||
4.400%, 05/30/2021 | 320 | 327 | ||||||
BHP Billiton Finance USA | ||||||||
6.750%, 10/19/2075 (B) (C) | 210 | 210 | ||||||
6.500%, 04/01/2019 | 125 | 141 | ||||||
5.000%, 09/30/2043 | 150 | 153 | ||||||
4.125%, 02/24/2042 | 40 | 37 | ||||||
3.850%, 09/30/2023 | 275 | 283 | ||||||
3.250%, 11/21/2021 | 360 | 370 | ||||||
2.050%, 09/30/2018 | 44 | 44 | ||||||
Celulosa Arauco y Constitucion | ||||||||
4.750%, 01/11/2022 | 170 | 180 | ||||||
Dow Chemical | ||||||||
5.250%, 11/15/2041 | 25 | 27 | ||||||
3.000%, 11/15/2022 | 800 | 818 | ||||||
Eastman Chemical | ||||||||
2.700%, 01/15/2020 | 435 | 444 | ||||||
Freeport-McMoRan | ||||||||
4.000%, 11/14/2021 | 280 | 198 | ||||||
Freeport-McMoran Oil & Gas | ||||||||
6.500%, 11/15/2020 | 23 | 18 | ||||||
Glencore Finance Canada | ||||||||
2.700%, 10/25/2017 (C) | 250 | 245 | ||||||
Glencore Funding | ||||||||
2.875%, 04/16/2020 (C) | 220 | 196 | ||||||
International Paper | ||||||||
5.150%, 05/15/2046 | 290 | 292 | ||||||
5.000%, 09/15/2035 | 445 | 458 | ||||||
LYB International Finance | ||||||||
4.875%, 03/15/2044 | 135 | 135 | ||||||
Mosaic | ||||||||
5.625%, 11/15/2043 | 95 | 99 | ||||||
OCP | ||||||||
4.500%, 10/22/2025 (C) | 290 | 278 | ||||||
Rio Tinto Finance USA | ||||||||
6.500%, 07/15/2018 | 200 | 219 | ||||||
3.750%, 09/20/2021 | 240 | 249 | ||||||
3.750%, 06/15/2025 | 500 | 487 | ||||||
Southern Copper | ||||||||
5.250%, 11/08/2042 | 370 | 304 | ||||||
Teck Resources | ||||||||
6.250%, 07/15/2041 | 5 | 3 | ||||||
Vale Overseas | ||||||||
6.875%, 11/21/2036 | 190 | 150 | ||||||
4.375%, 01/11/2022 | 35 | 30 | ||||||
|
| |||||||
6,658 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Telecommunication Services — 1.4% |
| |||||||
America Movil | ||||||||
5.625%, 11/15/2017 | $ | 400 | $ | 425 | ||||
3.125%, 07/16/2022 | 335 | 344 | ||||||
1.632%, 09/12/2016 (B) | 220 | 220 | ||||||
AT&T | ||||||||
6.300%, 01/15/2038 | 270 | 310 | ||||||
6.000%, 08/15/2040 | 290 | 323 | ||||||
5.800%, 02/15/2019 | 210 | 234 | ||||||
5.650%, 02/15/2047 | 225 | 248 | ||||||
5.500%, 02/01/2018 | 100 | 107 | ||||||
5.150%, 03/15/2042 | 25 | 25 | ||||||
4.800%, 06/15/2044 | 240 | 234 | ||||||
4.750%, 05/15/2046 | 535 | 522 | ||||||
4.450%, 04/01/2024 | 335 | 363 | ||||||
4.350%, 06/15/2045 | 110 | 101 | ||||||
4.300%, 12/15/2042 | 200 | 183 | ||||||
3.950%, 01/15/2025 | 455 | 473 | ||||||
3.875%, 08/15/2021 | 250 | 266 | ||||||
3.800%, 03/15/2022 | 175 | 184 | ||||||
3.400%, 05/15/2025 | 2,269 | 2,274 | ||||||
3.000%, 06/30/2022 | 771 | 782 | ||||||
1.600%, 02/15/2017 | 45 | 45 | ||||||
Bharti Airtel | ||||||||
4.375%, 06/10/2025 (C) | 200 | 203 | ||||||
British Telecommunications | ||||||||
5.950%, 01/15/2018 | 200 | 216 | ||||||
CenturyLink | ||||||||
7.650%, 03/15/2042 | 15 | 12 | ||||||
Deutsche Telekom International Finance | ||||||||
2.250%, 03/06/2017 (C) | 770 | 777 | ||||||
Nippon Telegraph & Telephone | ||||||||
1.400%, 07/18/2017 | 65 | 65 | ||||||
Telefonica Emisiones | ||||||||
5.462%, 02/16/2021 | 23 | 26 | ||||||
5.134%, 04/27/2020 | 362 | 401 | ||||||
Verizon Communications | ||||||||
6.550%, 09/15/2043 | 1,232 | 1,623 | ||||||
6.400%, 09/15/2033 | 367 | 451 | ||||||
5.150%, 09/15/2023 | 120 | 138 | ||||||
5.050%, 03/15/2034 | 92 | 100 | ||||||
4.862%, 08/21/2046 | 1,247 | 1,315 | ||||||
4.522%, 09/15/2048 | 1,050 | 1,052 | ||||||
4.400%, 11/01/2034 | 1,312 | 1,326 | ||||||
4.272%, 01/15/2036 | 520 | 517 | ||||||
3.850%, 11/01/2042 | 200 | 182 | ||||||
3.000%, 11/01/2021 | 480 | 499 | ||||||
2.625%, 02/21/2020 | 24 | 25 | ||||||
2.500%, 09/15/2016 | 475 | 479 | ||||||
2.450%, 11/01/2022 | 90 | 89 | ||||||
Verizon Global Funding | ||||||||
5.850%, 09/15/2035 | 40 | 46 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 101 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Vodafone Group PLC | ||||||||
2.950%, 02/19/2023 | $ | 380 | $ | 379 | ||||
|
| |||||||
17,584 | ||||||||
|
| |||||||
Utilities — 1.9% | ||||||||
AEP Texas Central | ||||||||
6.650%, 02/15/2033 | 500 | 632 | ||||||
5.170%, 01/01/2018 | 390 | 405 | ||||||
AGL Capital | ||||||||
6.375%, 07/15/2016 | 50 | 51 | ||||||
American Electric Power | ||||||||
1.650%, 12/15/2017 | 423 | 420 | ||||||
Arizona Public Service | ||||||||
2.200%, 01/15/2020 | 20 | 20 | ||||||
Berkshire Hathaway Energy | ||||||||
4.500%, 02/01/2045 | 320 | 341 | ||||||
3.750%, 11/15/2023 | 156 | 166 | ||||||
Boston Gas | ||||||||
4.487%, 02/15/2042 (C) | 35 | 35 | ||||||
Carolina Power & Light | ||||||||
5.300%, 01/15/2019 | 175 | 193 | ||||||
3.000%, 09/15/2021 | 194 | 203 | ||||||
2.800%, 05/15/2022 | 25 | 26 | ||||||
Cleco Power | ||||||||
6.000%, 12/01/2040 | 700 | 784 | ||||||
Commonwealth Edison | ||||||||
3.700%, 03/01/2045 | 70 | 69 | ||||||
Consolidated Edison of New York | ||||||||
4.500%, 12/01/2045 | 150 | 164 | ||||||
4.450%, 03/15/2044 | 470 | 512 | ||||||
Dominion Resources | ||||||||
4.700%, 12/01/2044 | 215 | 216 | ||||||
4.104%, 04/01/2021 (E) | 800 | 818 | ||||||
3.900%, 10/01/2025 | 107 | 110 | ||||||
2.500%, 12/01/2019 | 385 | 389 | ||||||
Duke Energy | ||||||||
4.800%, 12/15/2045 | 130 | 138 | ||||||
3.750%, 04/15/2024 | 155 | 162 | ||||||
3.550%, 09/15/2021 | 76 | 80 | ||||||
Duke Energy Carolinas | ||||||||
4.300%, 06/15/2020 | 39 | 43 | ||||||
4.250%, 12/15/2041 | 28 | 30 | ||||||
3.875%, 03/15/2046 | 175 | 178 | ||||||
2.500%, 03/15/2023 | 345 | 349 | ||||||
Duke Energy Florida | ||||||||
3.850%, 11/15/2042 | 215 | 209 | ||||||
Duke Energy Indiana | ||||||||
4.200%, 03/15/2042 | 30 | 31 | ||||||
3.750%, 07/15/2020 | 52 | 56 | ||||||
Duke Energy Progress | ||||||||
4.100%, 05/15/2042 | 425 | 442 | ||||||
3.250%, 08/15/2025 | 295 | 309 | ||||||
Duquesne Light Holdings | ||||||||
6.400%, 09/15/2020 (C) | 500 | 573 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
El Paso Electric | ||||||||
5.000%, 12/01/2044 | $ | 135 | $ | 145 | ||||
Electricite de France | ||||||||
5.250%, 10/13/2055 (C) | 130 | 127 | ||||||
4.950%, 10/13/2045 (C) | 125 | 129 | ||||||
Entergy | ||||||||
5.125%, 09/15/2020 | 400 | 439 | ||||||
4.700%, 01/15/2017 | 500 | 509 | ||||||
Exelon | ||||||||
3.950%, 06/15/2025 (C) | 375 | 389 | ||||||
FirstEnergy | ||||||||
4.250%, 03/15/2023 | 340 | 354 | ||||||
2.750%, 03/15/2018 | 70 | 71 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/2031 | 480 | 583 | ||||||
Indiana Michigan Power | ||||||||
4.550%, 03/15/2046 | 500 | 514 | ||||||
ITC Holdings | ||||||||
3.650%, 06/15/2024 | 633 | 634 | ||||||
Jersey Central Power & Light | ||||||||
7.350%, 02/01/2019 | 100 | 112 | ||||||
5.625%, 05/01/2016 | 300 | 301 | ||||||
4.700%, 04/01/2024 (C) | 200 | 214 | ||||||
Kansas City Power & Light | ||||||||
5.300%, 10/01/2041 | 100 | 114 | ||||||
KeySpan Gas East | ||||||||
5.819%, 04/01/2041 (C) | 400 | 483 | ||||||
Metropolitan Edison | ||||||||
3.500%, 03/15/2023 (C) | 350 | 354 | ||||||
MidAmerican Energy | ||||||||
4.250%, 05/01/2046 | 380 | 408 | ||||||
3.500%, 10/15/2024 | 180 | 192 | ||||||
MidAmerican Energy Holdings | ||||||||
6.500%, 09/15/2037 | 200 | 261 | ||||||
NextEra Energy Capital Holdings | ||||||||
2.300%, 04/01/2019 | 500 | 503 | ||||||
NiSource Finance | ||||||||
5.800%, 02/01/2042 | 149 | 180 | ||||||
Oncor Electric Delivery LLC | ||||||||
6.800%, 09/01/2018 | 460 | 513 | ||||||
5.250%, 09/30/2040 | 250 | 286 | ||||||
Pacific Gas & Electric | ||||||||
8.250%, 10/15/2018 | 180 | 209 | ||||||
6.050%, 03/01/2034 | 220 | 280 | ||||||
5.800%, 03/01/2037 | 70 | 87 | ||||||
5.625%, 11/30/2017 | 525 | 559 | ||||||
5.400%, 01/15/2040 | 42 | 50 | ||||||
4.500%, 12/15/2041 | 48 | 52 | ||||||
3.250%, 09/15/2021 | 12 | 13 | ||||||
2.950%, 03/01/2026 | 295 | 298 | ||||||
PECO Energy | ||||||||
4.150%, 10/01/2044 | 385 | 401 | ||||||
3.150%, 10/15/2025 | 330 | 344 |
102 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
PPL Electric Utilities | ||||||||
4.150%, 10/01/2045 | $ | 200 | $ | 211 | ||||
Progress Energy | ||||||||
3.150%, 04/01/2022 | 280 | 284 | ||||||
PSEG Power LLC | ||||||||
2.750%, 09/15/2016 | 200 | 202 | ||||||
Public Service of New Hampshire | ||||||||
3.500%, 11/01/2023 | 205 | 217 | ||||||
Puget Energy | ||||||||
6.000%, 09/01/2021 | 470 | 536 | ||||||
Sempra Energy | ||||||||
2.850%, 11/15/2020 | 330 | 336 | ||||||
Southern | ||||||||
2.150%, 09/01/2019 | 375 | 377 | ||||||
Southern California Edison | ||||||||
4.050%, 03/15/2042 | 5 | 5 | ||||||
3.500%, 10/01/2023 | 205 | 220 | ||||||
Southwestern Electric Power | ||||||||
3.900%, 04/01/2045 | 185 | 170 | ||||||
Texas-New Mexico Power | ||||||||
9.500%, 04/01/2019 (C) | 1,100 | 1,301 | ||||||
Virginia Electric & Power | ||||||||
4.650%, 08/15/2043 | 245 | 272 | ||||||
3.150%, 01/15/2026 | 260 | 269 | ||||||
2.950%, 01/15/2022 | 330 | 343 | ||||||
|
| |||||||
23,005 | ||||||||
|
| |||||||
Total Corporate Obligations (Cost $301,033) ($ Thousands) | 309,879 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 7.8% |
| |||||||
Automotive — 2.2% | ||||||||
Ally Auto Receivables Trust, Ser 2013-2, Cl A3 | ||||||||
0.790%, 01/15/2018 | 196 | 196 | ||||||
Ally Auto Receivables Trust, Ser 2014-1, Cl A4 | ||||||||
1.530%, 04/15/2019 | 297 | 298 | ||||||
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 | ||||||
Ally Auto Receivables Trust, Ser 2016-1, Cl A2A | ||||||||
1.200%, 08/15/2018 | 595 | 595 | ||||||
American Credit Acceptance Receivables Trust, Ser 2014-4, Cl A | ||||||||
1.330%, 07/10/2018 (C) | 23 | 23 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American Credit Acceptance Receivables Trust, Ser 2015-1, Cl A | ||||||||
1.430%, 08/12/2019 (C) | $ | 67 | $ | 66 | ||||
AmeriCredit Automobile Receivables Trust, Ser 2013-4, Cl A3 | ||||||||
0.960%, 04/09/2018 | 59 | 59 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2013-5, Cl A3 | ||||||||
0.900%, 09/10/2018 | 124 | 124 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2012-3A, Cl A | ||||||||
2.100%, 03/20/2019 (C) | 336 | 336 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2013-1A, Cl A | ||||||||
1.920%, 09/20/2019 (C) | 1,390 | 1,378 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2013-2A, Cl A | ||||||||
2.970%, 02/20/2020 (C) | 190 | 193 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2014-2A, Cl A | ||||||||
2.500%, 02/20/2021 (C) | 310 | 310 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2016-1A, Cl A | ||||||||
2.990%, 06/20/2022 (C) | 580 | 580 | ||||||
Bank of The West Auto Trust, Ser 2014-1, Cl A3 | ||||||||
1.090%, 03/15/2019 (C) | 231 | 231 | ||||||
California Republic Auto Receivables Trust, Ser 2014-2, Cl A4 | ||||||||
1.570%, 12/16/2019 | 148 | 148 | ||||||
California Republic Auto Receivables Trust, Ser 2014-3, Cl A4 | ||||||||
1.790%, 03/16/2020 | 154 | 155 | ||||||
California Republic Auto Receivables Trust, Ser 2015-1, Cl A4 | ||||||||
1.820%, 09/15/2020 | 284 | 284 | ||||||
California Republic Auto Receivables Trust, Ser 2015-2, Cl A3 | ||||||||
1.310%, 08/15/2019 | 325 | 325 | ||||||
California Republic Auto Receivables Trust, Ser 2015-4, Cl A4 | ||||||||
2.580%, 06/15/2021 (C) | 316 | 321 | ||||||
California Republic Auto Receivables Trust, Ser 2015-4, Cl A2 | ||||||||
1.600%, 09/17/2018 (C) | 235 | 236 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 103 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
California Republic Auto Receivables Trust, Ser 2016-1, Cl A3 | ||||||||
1.890%, 05/15/2020 | $ | 544 | $ | 545 | ||||
California Republic Auto Receivables Trust, Ser 2016-1, Cl A4 | ||||||||
2.240%, 10/15/2021 | 303 | 304 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-2, Cl A4 | ||||||||
1.560%, 07/20/2018 | 205 | 205 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-2, Cl A3 | ||||||||
1.240%, 10/20/2017 | 28 | 28 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-3, Cl A4 | ||||||||
1.680%, 04/20/2018 | 135 | 135 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-4, Cl A4 | ||||||||
1.470%, 07/20/2018 | 358 | 359 | ||||||
Capital Auto Receivables Asset Trust, Ser 2014-1, Cl A4 | ||||||||
1.690%, 10/22/2018 | 343 | 344 | ||||||
Capital Auto Receivables Asset Trust, Ser 2014-2, Cl A2 | ||||||||
0.910%, 04/20/2017 | 15 | 15 | ||||||
Capital Auto Receivables Asset Trust, Ser 2014-2, Cl A4 | ||||||||
1.620%, 10/22/2018 | 137 | 137 | ||||||
Capital Auto Receivables Asset Trust, Ser 2014-3, Cl A4 | ||||||||
1.830%, 04/22/2019 | 175 | 176 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-1, Cl A4 | ||||||||
1.860%, 10/21/2019 | 238 | 238 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-1, Cl A3 | ||||||||
1.610%, 06/20/2019 | 432 | 432 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-2, Cl A3 | ||||||||
1.730%, 09/20/2019 | 343 | 343 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-2, Cl A4 | ||||||||
1.970%, 01/21/2020 | 509 | 510 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-2, Cl A2 | ||||||||
1.390%, 09/20/2018 | 237 | 237 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-3, Cl A1A | ||||||||
1.390%, 02/20/2018 (C) | 943 | 943 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-3, Cl A3 | ||||||||
1.940%, 01/21/2020 | 383 | 384 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-4, Cl A2 | ||||||||
1.620%, 03/20/2019 | $ | 244 | $ | 244 | ||||
Capital Auto Receivables Asset Trust, Ser 2015-4, Cl A4 | ||||||||
2.010%, 07/20/2020 | 201 | 201 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-4, Cl A3 | ||||||||
1.830%, 03/20/2020 | 646 | 647 | ||||||
Capital Auto Receivables Asset Trust, Ser 2016-1, Cl A2A | ||||||||
1.500%, 11/20/2018 | 705 | 705 | ||||||
Capital Auto Receivables Asset Trust, Ser 2016-1, Cl A3 | ||||||||
1.730%, 04/20/2020 | 575 | 576 | ||||||
Capital Auto Receivables Asset Trust, Ser 2016-1, Cl A4 | ||||||||
1.980%, 10/20/2020 | 260 | 261 | ||||||
CarFinance Capital Auto Trust, Ser 2015-1A, Cl A | ||||||||
1.750%, 06/15/2021 (C) | 61 | 61 | ||||||
CFC LLC, Ser 2014-1A, Cl A | ||||||||
1.460%, 12/17/2018 (C) | 37 | 36 | ||||||
CPS Auto Receivables Trust, Ser 2011-C, Cl A | ||||||||
4.210%, 03/15/2019 (C) | 15 | 15 | ||||||
CPS Auto Receivables Trust, Ser 2013-C, Cl A | ||||||||
1.640%, 04/16/2018 (C) | 51 | 51 | ||||||
DT Auto Owner Trust, Ser 2014-3A, Cl A | ||||||||
0.980%, 04/16/2018 (C) | 35 | 35 | ||||||
DT Auto Owner Trust, Ser 2015-1A, Cl A | ||||||||
1.060%, 09/17/2018 (C) | 49 | 49 | ||||||
Exeter Automobile Receivables Trust, Ser 2014-1A, Cl A | ||||||||
1.290%, 05/15/2018 (C) | 7 | 7 | ||||||
Exeter Automobile Receivables Trust, Ser 2014-2A, Cl A | ||||||||
1.060%, 08/15/2018 (C) | 28 | 28 | ||||||
Fifth Third Auto Trust, Ser 2013-1, Cl A3 | ||||||||
0.880%, 10/16/2017 | 18 | 19 | ||||||
First Investors Auto Owner Trust, Ser 2013-1A, Cl A2 | ||||||||
0.900%, 10/15/2018 (C) | 1 | 1 | ||||||
Ford Credit Auto Lease Trust, Ser 2014-B, Cl A4 | ||||||||
1.100%, 11/15/2017 | 22 | 22 | ||||||
Ford Credit Auto Lease Trust, Ser 2014-B, Cl A3 | ||||||||
0.890%, 09/15/2017 | 52 | 52 |
104 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ford Credit Auto Owner Trust, Ser 2013-B, Cl A3 | ||||||||
0.570%, 10/15/2017 | $ | 39 | $ | 39 | ||||
Ford Credit Auto Owner Trust, Ser 2014-1, Cl A | ||||||||
2.260%, 11/15/2025 (C) | 1,303 | 1,320 | ||||||
Ford Credit Auto Owner Trust, Ser 2014-C, Cl A2 | ||||||||
0.610%, 08/15/2017 | 34 | 34 | ||||||
Ford Credit Auto Owner Trust, Ser 2014-C, Cl A3 | ||||||||
1.060%, 05/15/2019 | 517 | 517 | ||||||
Ford Credit Auto Owner Trust, Ser 2015-1, Cl A | ||||||||
2.120%, 07/15/2026 (C) | 1,125 | 1,126 | ||||||
Ford Credit Auto Owner Trust, Ser 2015-2, Cl A | ||||||||
2.440%, 01/15/2027 (C) | 798 | 809 | ||||||
Ford Credit Auto Owner Trust, Ser 2015-A, Cl A2A | ||||||||
0.810%, 01/15/2018 | 75 | 75 | ||||||
Ford Credit Auto Owner Trust, Ser 2015-B, Cl A2A | ||||||||
0.720%, 03/15/2018 | 175 | 175 | ||||||
Ford Credit Auto Owner Trust, Ser 2016-1, Cl A | ||||||||
2.310%, 08/15/2027 (C) | 1,780 | 1,785 | ||||||
Ford Credit Auto Owner Trust, Ser 2016-A, Cl A2A | ||||||||
1.120%, 12/15/2018 | 488 | 488 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-2, Cl A | ||||||||
1.920%, 01/15/2019 | 421 | 423 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2013-5, Cl A1 | ||||||||
1.500%, 09/15/2018 | 275 | 275 | ||||||
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 2014-4, Cl A1 | ||||||||
1.400%, 08/15/2019 | 640 | 640 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2015-2, Cl A2 | ||||||||
1.001%, 01/15/2022 (B) | 763 | 753 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2016-1, Cl A2 | ||||||||
1.336%, 02/15/2021 (B) | 648 | 648 | ||||||
Hertz Vehicle Financing, Ser 2013-1A, Cl A2 | ||||||||
1.830%, 08/25/2019 (C) | 625 | 618 | ||||||
Hertz Vehicle Financing, Ser 2015-1A, Cl A | ||||||||
2.730%, 03/25/2021 (C) | 269 | 269 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Honda Auto Receivables Owner Trust, Ser 2014-3, Cl A3 | ||||||||
0.880%, 06/15/2018 | $ | 566 | $ | 566 | ||||
Honda Auto Receivables Owner Trust, Ser 2015-4, Cl A2 | ||||||||
0.820%, 07/23/2018 | 575 | 574 | ||||||
Hyundai Auto Receivables Trust, Ser 2013-A, Cl A4 | ||||||||
0.750%, 09/17/2018 | 127 | 127 | ||||||
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 | 7 | 7 | ||||||
Hyundai Auto Receivables Trust, Ser 2014-B, Cl A3 | ||||||||
0.900%, 12/17/2018 | 305 | 305 | ||||||
Nissan Auto Lease Trust, Ser 2015-A, Cl A2A | ||||||||
0.990%, 11/15/2017 | 221 | 221 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2015-C, Cl A2A | ||||||||
0.870%, 11/15/2018 | 575 | 574 | ||||||
Prestige Auto Receivables Trust, Ser 2014-1A, Cl A2 | ||||||||
0.970%, 03/15/2018 (C) | 67 | 67 | ||||||
Prestige Auto Receivables Trust, Ser 2015-1, Cl A2 | ||||||||
1.090%, 02/15/2019 (C) | 82 | 82 | ||||||
Santander Drive Auto Receivables Trust, Ser 2014-3, Cl A3 | ||||||||
0.810%, 07/16/2018 | — | — | ||||||
|
| |||||||
27,698 | ||||||||
|
| |||||||
Credit Cards — 0.3% | ||||||||
American Express Credit Account Master Trust, Ser 2014-2, Cl A | ||||||||
1.260%, 01/15/2020 | 411 | 412 | ||||||
American Express Credit Account Master Trust, Ser 2014-3, Cl A | ||||||||
1.490%, 04/15/2020 | 1,283 | 1,288 | ||||||
BA Credit Card Trust, Ser 2014-A3, Cl A | ||||||||
0.726%, 01/15/2020 (B) | 585 | 585 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2015-A1, Cl A1 | ||||||||
1.390%, 01/15/2021 | 227 | 228 | ||||||
Chase Issuance Trust, Ser 2012-A2, Cl A2 | ||||||||
0.706%, 05/15/2019 (B) | 570 | 570 | ||||||
Citibank Credit Card Issuance Trust, Ser 2014-A3, Cl A3 | ||||||||
0.641%, 05/09/2018 (B) | 560 | 560 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 105 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Discover Card Execution Note Trust, Ser 2015-A4, Cl A4 | ||||||||
2.190%, 04/17/2023 | $ | 492 | $ | 500 | ||||
World Financial Network Credit Card Master Trust, Ser 2014-C, Cl A | ||||||||
1.540%, 08/16/2021 | 131 | 131 | ||||||
|
| |||||||
4,274 | ||||||||
|
| |||||||
Mortgage Related Securities — 0.6% |
| |||||||
ABFC Trust, Ser 2004-OPT4, Cl A2 | ||||||||
1.053%, 04/25/2034 (B) | 64 | 62 | ||||||
Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1 | ||||||||
1.483%, 01/25/2034 (B) | 505 | 444 | ||||||
Aegis Asset-Backed Securities Trust, Ser 2004-5, Cl M1 | ||||||||
1.408%, 12/25/2034 (B) | 200 | 199 | ||||||
Ameriquest Mortgage Security Asset-Backed Pass-Through Certificates, Ser 2003-9, Cl AV1 | ||||||||
1.196%, 09/25/2033 (B) | 159 | 146 | ||||||
Argent Securities, Ser 2003-W5, Cl M1 | ||||||||
1.486%, 10/25/2033 (B) | 417 | 406 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2004-HE10, Cl M1 | ||||||||
1.411%, 12/25/2034 (B) | 429 | 399 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2005-SD1, Cl 1A3 | ||||||||
0.833%, 08/25/2043 (B) | 281 | 276 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2006-1, Cl A | ||||||||
0.713%, 02/25/2036 (B) | 25 | 25 | ||||||
Citifinancial Mortgage Securities, Ser 2004-1, Cl AF4 | ||||||||
4.570%, 04/25/2034 | 370 | 384 | ||||||
Citigroup Global Markets Mortgage Securities VII, Ser 2003-UP1, Cl A | ||||||||
3.950%, 04/25/2032 (C) (E) | 29 | 29 | ||||||
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9 | ||||||||
7.090%, 04/15/2028 | — | — | ||||||
HSBC Home Equity Loan Trust, Ser 2007-1, Cl M2 | ||||||||
0.912%, 03/20/2036 (B) | 2,000 | 1,875 | ||||||
HSBC Home Equity Loan Trust, Ser 2007-1, Cl AS | ||||||||
0.632%, 03/20/2036 (B) | 27 | 27 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HSBC Home Equity Loan Trust, Ser 2007-3, Cl APT | ||||||||
1.632%, 11/20/2036 (B) | $ | 263 | $ | 262 | ||||
Master Asset Backed Securities Trust, Ser 2005-OPT1, Cl M1 | ||||||||
1.033%, 03/25/2035 (B) | 181 | 181 | ||||||
Morgan Stanley Capital I Trust, Ser 2005-HE5, Cl M1 | ||||||||
1.063%, 09/25/2035 (B) | 293 | 292 | ||||||
Morgan Stanley Capital I Trust, Ser 2005-HE6, Cl A2C | ||||||||
0.753%, 11/25/2035 (B) | 242 | 241 | ||||||
New Century Home Equity Loan Trust, Ser 2003-A, Cl A | ||||||||
1.156%, 10/25/2033 (B) (C) | 155 | 140 | ||||||
New Century Home Equity Loan Trust, Ser 2005-3, Cl M1 | ||||||||
0.913%, 07/25/2035 (B) | 230 | 229 | ||||||
Nomura Home Equity Loan Home Equity Loan Trust, Ser 2006-HE1, Cl A4 | ||||||||
0.723%, 02/25/2036 (B) | 1,031 | 1,026 | ||||||
NovaStar Mortgage Funding Trust, Ser 2004-4, Cl M4 | ||||||||
2.083%, 03/25/2035 (B) | 518 | 512 | ||||||
Saxon Asset Securities Trust, Ser 2003-1, Cl AF6 | ||||||||
4.795%, 06/25/2033 (E) | 23 | 23 | ||||||
|
| |||||||
7,178 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 4.7% |
| |||||||
Academic Loan Funding Trust, Ser 2012-1A, Cl A1 | ||||||||
1.233%, 12/27/2022 (B) (C) | 65 | 65 | ||||||
Academic Loan Funding Trust, Ser 2013-1A, Cl A | ||||||||
1.236%, 12/26/2044 (B) (C) | 161 | 155 | ||||||
Access Group, Ser 2004-2, Cl A3 | ||||||||
0.809%, 10/25/2024 (B) | 400 | 347 | ||||||
Airspeed, Ser 2007-1A, Cl G2 | ||||||||
0.716%, 06/15/2032 (B) (C) | 402 | 325 | ||||||
Ally Master Owner Trust, Ser 2012-5, Cl A | ||||||||
1.540%, 09/15/2019 | 1,984 | 1,983 | ||||||
Ally Master Owner Trust, Ser 2014-3, Cl A | ||||||||
1.330%, 03/15/2019 | 175 | 175 | ||||||
Ally Master Owner Trust, Ser 2014-4, Cl A2 | ||||||||
1.430%, 06/17/2019 | 1,328 | 1,327 | ||||||
Ally Master Owner Trust, Ser 2014-5, Cl A1 | ||||||||
0.926%, 10/15/2019 (B) | 818 | 815 |
106 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ally Master Owner Trust, Ser 2015-2, Cl A1 | ||||||||
1.001%, 01/15/2021 (B) | $ | 379 | $ | 378 | ||||
Axis Equipment Finance Receivables III, Ser 2015-1A, Cl A2 | ||||||||
1.900%, 03/20/2020 (C) | 131 | 131 | ||||||
Brazos Higher Education Authority, Ser 2010-1, Cl A2 | ||||||||
1.593%, 02/25/2035 (B) | 850 | 828 | ||||||
Brazos Higher Education Authority, Ser 2011-2, Cl A3 | ||||||||
1.619%, 10/27/2036 (B) | 400 | 384 | ||||||
Business Loan Express Business Loan Trust, Ser 2004-A, Cl A | ||||||||
0.863%, 02/25/2031 (B) (C) | 156 | 148 | ||||||
Carlyle Global Market Strategies Commodities Funding, Ser 2014-1A, Cl A | ||||||||
2.522%, 10/15/2021 (B) (C) | 250 | 250 | ||||||
Chase Funding Mortgage Loan Asset- Backed Certificates, Ser 2003-6, Cl 1A5 | ||||||||
5.350%, 11/25/2034 (E) | 97 | 100 | ||||||
CIT Education Loan Trust, Ser 2007-1, Cl A | ||||||||
0.720%, 03/25/2042 (B) (C) | 543 | 497 | ||||||
Consumer Credit Origination Loan Trust, Ser 2015-1, Cl A | ||||||||
2.820%, 03/15/2021 (C) | 93 | 93 | ||||||
Countrywide Asset-Backed Certificates, Ser 2004-5, Cl 1A | ||||||||
0.933%, 10/25/2034 (B) | 614 | 562 | ||||||
Countrywide Asset-Backed Certificates, Ser 2004-6, Cl 1A1 | ||||||||
0.973%, 12/25/2034 (B) | 511 | 465 | ||||||
Countrywide Asset-Backed Certificates, Ser 2007-4, Cl A4W | ||||||||
5.288%, 04/25/2047 | 488 | 470 | ||||||
Countrywide Home Equity Loan Trust, Ser 2006-F, Cl 2A1A | ||||||||
0.576%, 07/15/2036 (B) | 987 | 863 | ||||||
CWHEQ Revolving Home Equity Loan Trust, Ser 2005-D, Cl 2A | ||||||||
0.626%, 11/15/2035 (B) | 452 | 398 | ||||||
DRB Prime Student Loan Trust, Ser 2015-B, Cl A2 | ||||||||
3.170%, 07/25/2031 (C) | 329 | 327 | ||||||
Educational Funding of the South, Ser 2011-1, Cl A2 | ||||||||
1.269%, 04/25/2035 (B) | 364 | 352 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2004-FF5, Cl A3C | ||||||||
1.433%, 08/25/2034 (B) | $ | 984 | $ | 911 | ||||
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2005-FF4, Cl M1 | ||||||||
1.078%, 05/25/2035 (B) | 140 | 139 | ||||||
Global SC Finance, Ser 2014-1A, Cl A2 | ||||||||
3.090%, 07/17/2029 (C) | 350 | 328 | ||||||
GSAMP Trust, Ser 2005-HE4, Cl M1 | ||||||||
0.883%, 07/25/2045 (B) | 349 | 349 | ||||||
Higher Education Funding, Ser 2014-1, Cl A | ||||||||
1.443%, 05/25/2034 (B) (C) | 455 | 441 | ||||||
JGWPT XXX LLC, Ser 2013-3A, Cl A | ||||||||
4.080%, 01/17/2073 (C) | 287 | 295 | ||||||
JGWPT XXXI LLC, Ser 2014-1A, Cl A | ||||||||
3.960%, 03/15/2063 (C) | 272 | 276 | ||||||
JGWPT XXXII, Ser 2014-2A, Cl A | ||||||||
3.610%, 01/17/2073 (C) | 387 | 379 | ||||||
JGWPT XXXIII, Ser 2014-3A, Cl A | ||||||||
3.500%, 06/15/2077 (C) | 189 | 187 | ||||||
JPMorgan Chase Acquisition, Ser 2005-OPT1, Cl M1 | ||||||||
0.883%, 06/25/2035 (B) | 669 | 666 | ||||||
Lehman Manufactured Housing Contract Trust, Ser 2001-B, Cl A4 | ||||||||
5.270%, 04/15/2040 | 207 | 213 | ||||||
Magnetite XII, Ser 2015-12A, Cl A | ||||||||
1.821%, 04/15/2027 (B) (C) | 200 | 199 | ||||||
Mid-State Trust, Ser 2003-11, Cl A1 | ||||||||
4.864%, 07/15/2038 | 764 | 811 | ||||||
Navient Private Education Loan Trust, Ser 2014-AA, Cl A2B | ||||||||
1.686%, 02/15/2029 (B) (C) | 187 | 182 | ||||||
Navient Private Education Loan Trust, Ser 2015-AA, Cl A2B | ||||||||
1.631%, 12/15/2028 (B) (C) | 128 | 124 | ||||||
Navient Private Education Loan Trust, Ser 2015-AA, Cl A2A | ||||||||
2.650%, 12/15/2028 (C) | 178 | 176 | ||||||
Navient Private Education Loan Trust, Ser 2015-CA, Cl A | ||||||||
1.936%, 01/16/2035 (B) (C) | 409 | 409 | ||||||
Navient Private Education Loan Trust, Ser 2015-CA, Cl B | ||||||||
3.250%, 05/15/2040 (C) | 239 | 233 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 107 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Navient Private Education Loan Trust, Ser 2016-AA, Cl A1 | ||||||||
1.656%, 12/15/2025 (B) (C) | $ | 482 | $ | 482 | ||||
Navient Private Education Loan Trust, Ser 2016-AA, Cl A2B | ||||||||
2.706%, 12/15/2045 (B) (C) | 178 | 174 | ||||||
Navient Private Education Loan Trust, Ser 2016-AA, Cl A2A | ||||||||
3.910%, 12/15/2045 (C) | 631 | 638 | ||||||
Navient Student Loan Trust, Ser 2014-1, Cl A3 | ||||||||
0.946%, 06/25/2031 (B) | 1,005 | 956 | ||||||
Navient Student Loan Trust, Ser 2014-2, Cl A | ||||||||
1.076%, 03/25/2083 (B) | 878 | 820 | ||||||
Navient Student Loan Trust, Ser 2014-3, Cl A | ||||||||
1.056%, 03/25/2083 (B) | 884 | 827 | ||||||
Navient Student Loan Trust, Ser 2014-4, Cl A | ||||||||
1.056%, 03/25/2083 (B) | 504 | 471 | ||||||
Navient Student Loan Trust, Ser 2014-8, Cl A2 | ||||||||
0.876%, 04/25/2023 (B) | 639 | 632 | ||||||
Navient Student Loan Trust, Ser 2014-8, Cl B | ||||||||
1.936%, 07/26/2049 (B) | 54 | 47 | ||||||
NCSEA, Ser 2011-2, Cl A2 | ||||||||
1.120%, 07/25/2025 (B) | 394 | 387 | ||||||
Nelnet Student Loan Trust, Ser 2004-3, Cl A5 | ||||||||
0.799%, 10/27/2036 (B) | 442 | 421 | ||||||
Nelnet Student Loan Trust, Ser 2004-4, Cl A5 | ||||||||
0.779%, 01/25/2037 (B) | 361 | 343 | ||||||
Nelnet Student Loan Trust, Ser 2005-1, Cl A5 | ||||||||
0.729%, 10/25/2033 (B) | 492 | 459 | ||||||
Nelnet Student Loan Trust, Ser 2005-2, Cl A5 | ||||||||
0.724%, 03/23/2037 (B) | 393 | 368 | ||||||
Nelnet Student Loan Trust, Ser 2005-3, Cl A5 | ||||||||
0.744%, 12/24/2035 (B) | 1,642 | 1,539 | ||||||
Nelnet Student Loan Trust, Ser 2005-4, Cl A4 | ||||||||
0.804%, 03/22/2032 (B) | 161 | 141 | ||||||
Nelnet Student Loan Trust, Ser 2006-1, Cl A4 | ||||||||
0.708%, 11/23/2022 (B) | 4 | 4 | ||||||
Nelnet Student Loan Trust, Ser 2007-2A, Cl A3L | ||||||||
0.980%, 03/25/2026 (B) (C) | 137 | 134 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nelnet Student Loan Trust, Ser 2008-3, Cl A4 | ||||||||
2.279%, 11/25/2024 (B) | $ | 630 | $ | 631 | ||||
Nelnet Student Loan Trust, Ser 2010-4A, Cl A | ||||||||
1.233%, 04/25/2046 (B) (C) | 121 | 120 | ||||||
Nelnet Student Loan Trust, Ser 2011-1A, Cl A | ||||||||
1.283%, 02/25/2043 (B) (C) | 707 | 688 | ||||||
Nelnet Student Loan Trust, Ser 2013-5A, Cl A | ||||||||
1.063%, 01/25/2037 (B) (C) | 628 | 608 | ||||||
Nelnet Student Loan Trust, Ser 2014-4A, Cl A2 | ||||||||
1.386%, 11/25/2043 (B) (C) | 500 | 450 | ||||||
Nelnet Student Loan Trust, Ser 2015-2A, Cl A2 | ||||||||
1.036%, 09/25/2042 (B) (C) | 965 | 910 | ||||||
OneMain Financial Issuance Trust, Ser 2016-2A, Cl A | ||||||||
4.100%, 03/20/2028 (C) | 1,100 | 1,107 | ||||||
Park Place Securities, Ser 2004-MCW1, Cl M1 | ||||||||
1.371%, 10/25/2034 (B) | 22 | 22 | ||||||
Park Place Securities, Ser 2004-WCW1, Cl M2 | ||||||||
1.453%, 09/25/2034 (B) | 276 | 275 | ||||||
RAMP Trust, Ser 2005-EFC5, Cl M1 | ||||||||
0.833%, 10/25/2035 (B) | 431 | 428 | ||||||
RAMP Trust, Ser 2005-RZ3, Cl A3 | ||||||||
0.833%, 09/25/2035 (B) | 342 | 341 | ||||||
RAMP Trust, Ser 2006-RZ1, Cl A3 | ||||||||
0.733%, 03/25/2036 (B) | 114 | 112 | ||||||
RSB BondCo, Ser 2007-A, Cl A3 | ||||||||
5.820%, 06/28/2019 | 405 | 415 | ||||||
Scholar Funding Trust, Ser 2011-A, Cl A | ||||||||
1.521%, 10/28/2043 (B) (C) | 267 | 255 | ||||||
SLC Student Loan Trust, Ser 2007-2, Cl A2 | ||||||||
1.018%, 05/15/2028 (B) | 97 | 96 | ||||||
SLM Private Education Loan Trust, Ser 2011-A, Cl A1 | ||||||||
1.436%, 10/15/2024 (B) (C) | 17 | 17 | ||||||
SLM Private Education Loan Trust, Ser 2012-C, Cl A1 | ||||||||
1.536%, 08/15/2023 (B) (C) | 117 | 117 | ||||||
SLM Private Education Loan Trust, Ser 2012-D, Cl A2 | ||||||||
2.950%, 02/15/2046 (C) | 667 | 672 | ||||||
SLM Private Education Loan Trust, Ser 2012-E, Cl A2B | ||||||||
2.186%, 06/15/2045 (B) (C) | 274 | 274 |
108 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Private Education Loan Trust, Ser 2012-E, Cl A1 | ||||||||
1.186%, 10/16/2023 (B) (C) | $ | 26 | $ | 25 | ||||
SLM Private Education Loan Trust, Ser 2013-1, Cl B | ||||||||
2.233%, 11/25/2043 (B) | 180 | 161 | ||||||
SLM Private Education Loan Trust, Ser 2013-A, Cl A2B | ||||||||
1.486%, 05/17/2027 (B) (C) | 314 | 311 | ||||||
SLM Private Education Loan Trust, Ser 2013-A, Cl A1 | ||||||||
1.036%, 08/15/2022 (B) (C) | 106 | 106 | ||||||
SLM Private Education Loan Trust, Ser 2013-B, Cl A1 | ||||||||
1.086%, 07/15/2022 (B) (C) | 154 | 153 | ||||||
SLM Private Education Loan Trust, Ser 2013-B, Cl A2A | ||||||||
1.850%, 06/17/2030 (C) | 617 | 605 | ||||||
SLM Student Loan Trust, Ser 2003-11, Cl A6 | ||||||||
1.384%, 12/15/2025 (B) (C) | 350 | 335 | ||||||
SLM Student Loan Trust, Ser 2004-10, Cl A6A | ||||||||
1.169%, 04/27/2026 (B) (C) | 676 | 667 | ||||||
SLM Student Loan Trust, Ser 2004-3, Cl A5 | ||||||||
0.789%, 07/25/2023 (B) | 482 | 468 | ||||||
SLM Student Loan Trust, Ser 2004-8, Cl B | ||||||||
1.079%, 01/25/2040 (B) | 115 | 99 | ||||||
SLM Student Loan Trust, Ser 2005-5, Cl A4 | ||||||||
0.759%, 10/25/2028 (B) | 574 | 540 | ||||||
SLM Student Loan Trust, Ser 2005-5, Cl A3 | ||||||||
0.719%, 04/25/2025 (B) | 53 | 53 | ||||||
SLM Student Loan Trust, Ser 2005-6, Cl A6 | ||||||||
0.759%, 10/27/2031 (B) | 474 | 445 | ||||||
SLM Student Loan Trust, Ser 2005-6, Cl A5B | ||||||||
1.819%, 07/27/2026 (B) | 128 | 128 | ||||||
SLM Student Loan Trust, Ser 2005-7, Cl A4 | ||||||||
0.769%, 10/25/2029 (B) | 337 | 317 | ||||||
SLM Student Loan Trust, Ser 2005-9, Cl A5 | ||||||||
0.739%, 01/27/2025 (B) | 341 | 340 | ||||||
SLM Student Loan Trust, Ser 2006-2, Cl A6 | ||||||||
0.789%, 01/25/2041 (B) | 540 | 466 | ||||||
SLM Student Loan Trust, Ser 2006-3, Cl A5 | ||||||||
0.719%, 01/25/2021 (B) | 531 | 510 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, Ser 2006-8, Cl A6 | ||||||||
0.779%, 01/25/2041 (B) | $ | 540 | $ | 460 | ||||
SLM Student Loan Trust, Ser 2007-2, Cl A4 | ||||||||
0.679%, 07/25/2022 (B) | 618 | 567 | ||||||
SLM Student Loan Trust, Ser 2007-2, Cl A3 | ||||||||
0.659%, 01/25/2019 (B) | 601 | 594 | ||||||
SLM Student Loan Trust, Ser 2007-2, Cl B | ||||||||
0.789%, 07/25/2025 (B) | 178 | 140 | ||||||
SLM Student Loan Trust, Ser 2007-3, Cl A3 | ||||||||
0.659%, 04/25/2019 (B) | 818 | 806 | ||||||
SLM Student Loan Trust, Ser 2007-5, Cl A5 | ||||||||
0.699%, 01/25/2024 (B) | 208 | 205 | ||||||
SLM Student Loan Trust, Ser 2007-6, Cl B | ||||||||
1.469%, 04/27/2043 (B) | 134 | 105 | ||||||
SLM Student Loan Trust, Ser 2007-7, Cl B | ||||||||
1.369%, 10/25/2028 (B) | 250 | 199 | ||||||
SLM Student Loan Trust, Ser 2008-2, Cl B | ||||||||
1.819%, 01/25/2029 (B) | 160 | 137 | ||||||
SLM Student Loan Trust, Ser 2008-3, Cl B | ||||||||
1.819%, 04/25/2029 (B) | 160 | 135 | ||||||
SLM Student Loan Trust, Ser 2008-4, Cl B | ||||||||
2.469%, 04/25/2029 (B) | 160 | 143 | ||||||
SLM Student Loan Trust, Ser 2008-4, Cl A4 | ||||||||
2.269%, 07/25/2022 (B) | 1,300 | 1,295 | ||||||
SLM Student Loan Trust, Ser 2008-5, Cl B | ||||||||
2.469%, 07/25/2029 (B) | 160 | 143 | ||||||
SLM Student Loan Trust, Ser 2008-5, Cl A4 | ||||||||
2.319%, 07/25/2023 (B) | 945 | 949 | ||||||
SLM Student Loan Trust, Ser 2008-5, Cl A3 | ||||||||
1.919%, 01/25/2018 (B) | 1 | 1 | ||||||
SLM Student Loan Trust, Ser 2008-6, Cl B | ||||||||
2.469%, 07/25/2029 (B) | 160 | 149 | ||||||
SLM Student Loan Trust, Ser 2008-7, Cl B | ||||||||
2.469%, 07/25/2029 (B) | 160 | 139 | ||||||
SLM Student Loan Trust, Ser 2008-8, Cl B | ||||||||
2.869%, 10/25/2029 (B) | 160 | 152 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 109 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, Ser 2008-9, Cl A | ||||||||
2.119%, 04/25/2023 (B) | $ | 786 | $ | 777 | ||||
SLM Student Loan Trust, Ser 2008-9, Cl B | ||||||||
2.869%, 10/25/2029 (B) | 160 | 151 | ||||||
SLM Student Loan Trust, Ser 2010-1, Cl A | ||||||||
0.833%, 03/25/2025 (B) | 241 | 234 | ||||||
SLM Student Loan Trust, Ser 2012-6, Cl A3 | ||||||||
1.186%, 05/26/2026 (B) | 211 | 202 | ||||||
SLM Student Loan Trust, Ser 2012-6, Cl B | ||||||||
1.433%, 04/27/2043 (B) | 249 | 220 | ||||||
SLM Student Loan Trust, Ser 2012-B, Cl A2 | ||||||||
3.480%, 10/15/2030 (C) | 150 | 152 | ||||||
SLM Student Loan Trust, Ser 2013-3, Cl B | ||||||||
1.933%, 09/25/2043 (B) | 136 | 122 | ||||||
SLM Student Loan Trust, Ser 2013-4, Cl A | ||||||||
0.986%, 06/25/2027 (B) | 309 | 296 | ||||||
SLM Student Loan Trust, Ser 2013-A, Cl A2A | ||||||||
1.770%, 05/17/2027 (C) | 145 | 144 | ||||||
SLM Student Loan Trust, Ser 2013-C, Cl A2A | ||||||||
2.940%, 10/15/2031 (C) | 129 | 131 | ||||||
SLM Student Loan Trust, Ser 2013-M1, Cl M1 | ||||||||
3.500%, 10/28/2029 (C) | 442 | 434 | ||||||
SLM Student Loan Trust, Ser 2014-2, Cl A3 | ||||||||
1.023%, 03/26/2029 (B) | 448 | 425 | ||||||
SLM Student Loan Trust, Ser 2014-A, Cl A2A | ||||||||
2.590%, 01/15/2026 (C) | 225 | 227 | ||||||
SLM Student Loan Trust, Ser 2014-A, Cl A1 | ||||||||
1.031%, 07/15/2022 (B) (C) | 282 | 280 | ||||||
Small Business Administration, Ser 2013- 20L, Cl 1 | ||||||||
3.380%, 12/01/2033 | 160 | 170 | ||||||
Small Business Administration, Ser 2015- 20A, Cl 1 | ||||||||
2.520%, 01/01/2035 | 237 | 242 | ||||||
Small Business Administration, Ser 2015- 20D, Cl 1 | ||||||||
2.510%, 04/01/2035 | 69 | 70 | ||||||
Small Business Administration, Ser 2016- 20A, Cl 1 | ||||||||
2.780%, 01/01/2036 | 220 | 227 |
Description | Face Amount (1) ($ Thousands) | Market Value ($ Thousands) | ||||||
SMB Private Education Loan Trust, Ser 2015-A, Cl A2A | ||||||||
2.490%, 06/15/2027 (C) | $ | 593 | $ | 583 | ||||
SMB Private Education Loan Trust, Ser 2015-A, Cl A2B | ||||||||
1.431%, 06/15/2027 (B) (C) | 634 | 608 | ||||||
SMB Private Education Loan Trust, Ser 2015-A, Cl A1 | ||||||||
1.031%, 07/17/2023 (B) (C) | 102 | 101 | ||||||
SMB Private Education Loan Trust, Ser 2015-B, Cl A2A | ||||||||
2.980%, 07/15/2027 (C) | 1,157 | 1,156 | ||||||
SMB Private Education Loan Trust, Ser 2015-B, Cl A1 | ||||||||
1.136%, 02/15/2023 (B) (C) | 170 | 169 | ||||||
SMB Private Education Loan Trust, Ser 2015-B, Cl A2B | ||||||||
1.631%, 07/15/2027 (B) (C) | 637 | 634 | ||||||
SMB Private Education Loan Trust, Ser 2015-C, Cl A1 | ||||||||
1.331%, 07/15/2022 (B) (C) | 419 | 419 | ||||||
SMB Private Education Loan Trust, Ser 2015-C, Cl A2B | ||||||||
1.836%, 07/15/2027 (B) (C) | 220 | 215 | ||||||
SMB Private Education Loan Trust, Ser 2015-C, Cl A2A | ||||||||
2.750%, 07/15/2027 (C) | 724 | 716 | ||||||
Structured Asset Investment Loan Trust, Ser 2004-8, Cl A2 | ||||||||
0.983%, 09/25/2034 (B) | 495 | 470 | ||||||
Structured Asset Securities Mortgage Loan Trust, Ser 2005-WF2, Cl A3 | ||||||||
1.033%, 05/25/2035 (B) | 766 | 766 | ||||||
Trade Maps, Ser 2013-1A, Cl A | ||||||||
1.142%, 12/10/2018 (B) (C) | 737 | 732 | ||||||
VOLT XL, Ser 2015-NP14, Cl A1 | ||||||||
4.375%, 11/27/2045 (C) | 248 | 247 | ||||||
|
| |||||||
57,505 | ||||||||
|
| |||||||
Total Asset-Backed Securities (Cost $96,590) ($ Thousands) | 96,655 | |||||||
|
| |||||||
SOVEREIGN DEBT — 1.4% | ||||||||
Colombia Government International Bond | ||||||||
5.625%, 02/26/2044 | 1,070 | 1,065 | ||||||
FMS Wertmanagement AoeR | ||||||||
1.000%, 11/21/2017 | 200 | 200 | ||||||
Hashemite Kingdom of Jordan Government AID Bond | ||||||||
2.578%, 06/30/2022 | 476 | 498 | ||||||
Indonesia Government International Bond MTN | ||||||||
3.750%, 04/25/2022 (C) | 470 | 474 |
110 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Israel Government International Bond | ||||||||
4.500%, 01/30/2043 | 365 | $ | 387 | |||||
2.875%, 03/16/2026 | 245 | 245 | ||||||
Japan Bank for International Cooperation | ||||||||
1.750%, 05/28/2020 | 465 | 465 | ||||||
Japan Treasury Discount Bills | ||||||||
-0.069%, 06/10/2016 (I) | JPY 140,000 | 1,246 | ||||||
-0.108%, 06/27/2016 (I) | JPY 170,000 | 1,513 | ||||||
Mexico Government International Bond MTN | ||||||||
5.750%, 10/12/2110 | 395 | 400 | ||||||
5.550%, 01/21/2045 | 3,172 | 3,513 | ||||||
4.750%, 03/08/2044 | 60 | 60 | ||||||
4.125%, 01/21/2026 | 1,159 | 1,215 | ||||||
3.600%, 01/30/2025 | 520 | 530 | ||||||
Peruvian Government International Bond | ||||||||
6.550%, 03/14/2037 | 50 | 62 | ||||||
5.625%, 11/18/2050 | 414 | 466 | ||||||
Poland Government International Bond | ||||||||
5.000%, 03/23/2022 | 100 | 112 | ||||||
4.000%, 01/22/2024 | 1,257 | 1,342 | ||||||
3.250%, 04/06/2026 | 435 | 434 | ||||||
Province of Ontario Canada | ||||||||
1.625%, 01/18/2019 | 520 | 523 | ||||||
Province of Quebec Canada | ||||||||
2.625%, 02/13/2023 | 620 | 637 | ||||||
Russia Government International Bond | ||||||||
7.500%, 03/31/2030 (C) | 691 | 844 | ||||||
Slovenia Government International Bond | ||||||||
5.850%, 05/10/2023 (C) | 200 | 231 | ||||||
5.500%, 10/26/2022 (C) | 400 | 452 | ||||||
5.250%, 02/18/2024 (C) | 615 | 689 | ||||||
United Mexican States MTN | ||||||||
6.050%, 01/11/2040 | 100 | 117 | ||||||
|
| |||||||
Total Sovereign Debt (Cost $16,881) ($ Thousands) | 17,720 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.8% |
| |||||||
FHLB | ||||||||
1.250%, 06/28/2030 (E) | 1,110 | 1,115 | ||||||
0.875%, 05/24/2017 | 10 | 10 | ||||||
FHLB (A) | ||||||||
0.431%, 07/18/2016 | 1,875 | 1,873 | ||||||
FICO STRIPS | ||||||||
9.800%, 11/30/2017 | 875 | 1,004 | ||||||
0.000%, 05/11/2018 to 09/26/2019 (A) | 660 | 644 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA | ||||||||
2.628%, 10/09/2019 | $ | 4,270 | $ | 4,057 | ||||
Tennessee Valley Authority | ||||||||
4.250%, 09/15/2065 | 424 | 447 | ||||||
2.875%, 09/15/2024 | 775 | 815 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations (Cost $9,687) ($ Thousands) |
| 9,965 | ||||||
|
| |||||||
MUNICIPAL BONDS — 0.4% |
| |||||||
California — 0.1% | ||||||||
California State, Build America Project, GO | ||||||||
6.650%, 03/01/2022 | 250 | 307 | ||||||
7.600%, 11/01/2040 | 265 | 410 | ||||||
California State, GO | ||||||||
6.200%, 03/01/2019 | 300 | 341 | ||||||
Los Angeles, Community College District, Build America Project, GO | ||||||||
6.750%, 08/01/2049 | 285 | 426 | ||||||
|
| |||||||
1,484 | ||||||||
|
| |||||||
Nevada — 0.1% | ||||||||
Clark County, Airport System Revenue, | ||||||||
Build America Project, Ser C, RB | ||||||||
6.820%, 07/01/2045 | 590 | 875 | ||||||
|
| |||||||
New Jersey — 0.1% | ||||||||
New Jersey State, Turnpike Authority, Build America Project, Ser C, RB | ||||||||
7.102%, 01/01/2041 | 386 | 561 | ||||||
|
| |||||||
New York — 0.1% | ||||||||
New York and New Jersey, Port Authority, RB | ||||||||
4.458%, 10/01/2062 | 395 | 413 | ||||||
New York City, Transitional Finance Authority, Future Tax Secured, RB | ||||||||
5.508%, 08/01/2037 | 275 | 345 | ||||||
|
| |||||||
758 | ||||||||
|
| |||||||
Ohio — 0.0% | ||||||||
Ohio State University, Ser A, RB | ||||||||
4.800%, 06/01/2111 | 281 | 303 | ||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 111 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands)/ Shares/Contracts | Market Value ($ Thousands) | ||||||
Texas — 0.0% | ||||||||
North Texas, Tollway Authority, Build America Project, Ser B, RB | ||||||||
6.718%, 01/01/2049 | $ | 341 | $ | 494 | ||||
|
| |||||||
Total Municipal Bonds (Cost $3,828) ($ Thousands) | 4,475 | |||||||
|
| |||||||
COLLATERALIZED DEBT OBLIGATIONS — 0.2% |
| |||||||
Ballyrock CLO, Ser 2014-1A, Cl A1 | ||||||||
1.797%, 10/20/2026 (B) (C) | 150 | 148 | ||||||
Cent 18, Ser 2013-18A, Cl A | ||||||||
1.739%, 07/23/2025 (B) (C) | 500 | 492 | ||||||
Flatiron CLO, Ser 2014-1A, Cl A1 | ||||||||
1.695%, 07/17/2026 (B) (C) | 500 | 489 | ||||||
Voya CLO, Ser 2014-2A, Cl A1 | ||||||||
1.765%, 07/17/2026 (B) (C) | 500 | 496 | ||||||
Voya, Ser 2014-1A, Cl A1 | ||||||||
2.120%, 04/18/2026 (B) (C) | 540 | 537 | ||||||
|
| |||||||
Total Collateralized Debt Obligations (Cost $2,184) ($ Thousands) |
| 2,162 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 0.0% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.380%**† (F) | 210,162 | 210 | ||||||
|
| |||||||
Total Affiliated Partnership (Cost $210) ($ Thousands) | 210 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.6% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.300%**† | 44,516,538 | 44,517 | ||||||
|
| |||||||
Total Cash Equivalent (Cost $44,517) ($ Thousands) | 44,517 | |||||||
|
| |||||||
Total Investments — 105.9% |
| $ | 1,304,590 | |||||
|
| |||||||
WRITTEN OPTION(G) — 0.0% |
| |||||||
June 2016, U.S. 10 - Year Future Call, Expires 05/21/2016 Strike Price $132.00* | (39 | ) | $ | (14 | ) | |||
|
| |||||||
Total Written Option | $ | (14 | ) | |||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
90-Day Euro$ | (20 | ) | Mar-2018 | $ | (10 | ) | ||||||
90-Day Euro$ | 51 | Mar-2017 | 40 | |||||||||
90-Day Euro$ | (473 | ) | Dec-2016 | (95 | ) | |||||||
90-Day Euro$ | (41 | ) | Dec-2017 | (49 | ) | |||||||
90-Day Euro$ | (124 | ) | Jun-2016 | (20 | ) | |||||||
U.S. 10-Year Ultra Bond | (11 | ) | Jun-2016 | (12 | ) | |||||||
U.S. 10-Year Treasury Note | (212 | ) | Jun-2016 | 9 | ||||||||
U.S. 2-Year Treasury Note | (26 | ) | Jul-2016 | 7 | ||||||||
U.S. 5-Year Treasury Note | 480 | Jun-2016 | 238 | |||||||||
U.S. Long Treasury Bond | (269 | ) | Jun-2016 | 161 | ||||||||
U.S. Ultra Long Treasury Bond | (10 | ) | Jun-2016 | 222 | ||||||||
|
| |||||||||||
$ | 491 | |||||||||||
|
|
For the period ended March 31, 2016, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
A list of the open forward foreign currency contracts held by the Fund at March 31, 2016, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency (Thousands) | Unrealized Depreciation ($ Thousands) | |||||||||||||||||
06/10/16-06/27/16 | JPY | 310,000 | USD | 2,662 | $ | (104 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (104 | ) | ||||||||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2016, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to ($Thousands) | Unrealized Depreciation ($ Thousands) | |||||||||
Barclays PLC | $ | (2,766 | ) | $ | 2,662 | $ | (104 | ) | ||||
|
| |||||||||||
$ | (104 | ) | ||||||||||
|
|
For the period ended March 31, 2016, 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 period.
112 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
A list of outstanding OTC swap contracts held by the Fund at March 31, 2016, 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 | $ | (109 | ) | |||||
|
|
A list of outstanding centrally cleared swap contracts held by the Fund at March 31, 2016, 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 | $ | (246 | ) | |||||
|
|
Percentages are based on a Net Assets of $1,231,999 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
(1) | In U.S. dollars unless otherwise indicated. |
(A) | The rate reported is the effective yield at time of purchase. |
(B) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2016. |
(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.” |
(D) | This security or a partial position of this security is on loan at March 31, 2016. The total market value of securities on loan at March 31, 2016 was $201 ($ Thousands). |
(E) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on March 31, 2016. The coupon on a step bond changes on a specified date. |
(F) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of March 31, 2016 was $210 ($ Thousands). |
(G) | For the period ended March 31, 2016, the total amount of open written options, as presented in the Schedule of Investments, are representative of the volume of activity for these derivative types during the period. |
(H) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
(I) | Rate is negative due to the decrease in value of the foreign currency against the U.S. dollar. |
AID — Agency for International Development
ARM — Adjustable Rate Mortgage
Cl — Class
CLO — Collateralized Loan Obligation
CMO — Collateralized Mortgage Obligation
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FICO — Financing Corporation
FNMA — Federal National Mortgage Association
GNMA — Government National Mortgage Association
GO — General Obligation
IO — Interest Only
JPY — Japanese Yen
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
L.P. — Limited Partnership
MTN — Medium Term Note
NCUA — National Credit Union Association
PLC — Public Limited Company
PO — Principle Only
RB — Revenue Bond
REMIC — Real Estate Mortgage Investment Conduit
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Securities
TBA — To Be Announced
USD — United States Dollar
The following is a list of the level of inputs used as of March 31, 2016 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 462,872 | $ | — | $ | 462,872 | ||||||||
Mortgage-Backed Securities | — | 356,135 | — | 356,135 | ||||||||||||
Corporate Obligations | — | 309,879 | — | 309,879 | ||||||||||||
Asset-Backed Securities | — | 96,655 | — | 96,655 | ||||||||||||
Sovereign Debt | — | 17,720 | — | 17,720 | ||||||||||||
U.S. Government Agency Obligations | — | 9,965 | — | 9,965 | ||||||||||||
Municipal Bonds | — | 4,475 | — | 4,475 | ||||||||||||
Collateralized Debt Obligations | — | 2,162 | — | 2,162 | ||||||||||||
Affiliated Partnership | — | 210 | — | 210 | ||||||||||||
Cash Equivalent | 44,517 | — | — | 44,517 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 44,517 | $ | 1,260,073 | $ | — | $ | 1,304,590 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Option | $ | (14 | ) | $ | — | $ | — | $ | (14 | ) | ||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 677 | — | — | 677 | ||||||||||||
Unrealized Depreciation | (186 | ) | — | — | (186 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Depreciation | — | (104 | ) | — | (104 | ) | ||||||||||
Purchased Options | — | — | — | — | ||||||||||||
OTC Swaps | ||||||||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Depreciation | — | (109 | ) | — | (109 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Depreciation | — | (246 | ) | — | (246 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 477 | $ | (459 | ) | $ | — | $ | 18 | |||||||
|
|
|
|
|
|
|
|
* | Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation/(depreciation) on the instruments. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 113 |
SCHEDULE OF INVESTMENTS (Unaudited)
High-Yield Bond Fund
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 77.6% |
| |||||||
Consumer Discretionary — 21.1% |
| |||||||
1011778 BC ULC/New Red Finance | ||||||||
6.000%, 04/01/2022 (A) | $ | 1,976 | $ | 2,055 | ||||
Adelphia Communications (Escrow Security) | ||||||||
10.250%, 06/15/2011 (B) | 150 | 1 | ||||||
0.000%, 02/15/2004 (B) | 25 | — | ||||||
0.000%, 01/15/2009 (B) | 225 | 1 | ||||||
Affinity Gaming | ||||||||
9.000%, 05/15/2018 | 4,890 | 4,963 | ||||||
Altice | ||||||||
7.750%, 05/15/2022 (A) | 5,707 | 5,616 | ||||||
7.625%, 02/15/2025 (A) | 200 | 192 | ||||||
Altice Financing | ||||||||
6.625%, 02/15/2023 (A) | 2,230 | 2,236 | ||||||
6.500%, 01/15/2022 (A) | 1,845 | 1,877 | ||||||
Altice Finco | ||||||||
8.125%, 01/15/2024 (A) | 610 | 604 | ||||||
7.625%, 02/15/2025 (A) | 205 | 196 | ||||||
Altice US Finance | ||||||||
7.750%, 07/15/2025 (A) | 970 | 948 | ||||||
5.375%, 07/15/2023 (A) | 3,329 | 3,419 | ||||||
AMC Entertainment | ||||||||
5.750%, 06/15/2025 | 2,485 | 2,541 | ||||||
AMC Networks | ||||||||
5.000%, 04/01/2024 | 830 | 833 | ||||||
American Axle & Manufacturing | ||||||||
6.625%, 10/15/2022 | 440 | 457 | ||||||
6.250%, 03/15/2021 | 405 | 418 | ||||||
Apex Tool Group | ||||||||
7.000%, 02/01/2021 (A) | 1,830 | 1,482 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | �� | |||||
Ashtead Capital | ||||||||
6.500%, 07/15/2022 (A) | $ | 3,515 | $ | 3,735 | ||||
Aventine (Escrow Security) | ||||||||
0.000%, 10/15/2049 (B) (C) (D) (E) | 2,750 | 1 | ||||||
Beazer Homes USA | ||||||||
5.750%, 06/15/2019 | 1,560 | 1,388 | ||||||
Belo | ||||||||
7.750%, 06/01/2027 | 1,675 | 1,775 | ||||||
Bon-Ton Department Stores | ||||||||
8.000%, 06/15/2021 | 8,050 | 3,441 | ||||||
Boyd Gaming | ||||||||
9.000%, 07/01/2020 | 895 | 947 | ||||||
6.875%, 05/15/2023 | 970 | 1,033 | ||||||
6.375%, 04/01/2026 (A) | 2,805 | 2,910 | ||||||
Brookfield Residential Properties | ||||||||
6.375%, 05/15/2025 (A) | 458 | 394 | ||||||
Cablevision Systems | ||||||||
7.750%, 04/15/2018 | 500 | 520 | ||||||
5.875%, 09/15/2022 | 1,917 | 1,615 | ||||||
Caesars Entertainment Operating | ||||||||
9.000%, 02/15/2020 (B) | 4,310 | 3,661 | ||||||
8.500%, 02/15/2020 (B) | 1,260 | 1,068 | ||||||
Caesars Entertainment Resort Properties | ||||||||
8.000%, 10/01/2020 | 3,259 | 3,191 | ||||||
Caleres | ||||||||
6.250%, 08/15/2023 | 845 | 845 | ||||||
CCO Holdings | ||||||||
6.625%, 01/31/2022 | 1,510 | 1,589 | ||||||
6.500%, 04/30/2021 | 1,000 | 1,036 | ||||||
5.875%, 04/01/2024 (A) | 745 | 780 | ||||||
5.875%, 05/01/2027 (A) | 1,304 | 1,330 | ||||||
5.375%, 05/01/2025 (A) | 1,115 | 1,135 | ||||||
5.250%, 09/30/2022 | 1,765 | 1,818 | ||||||
5.125%, 02/15/2023 | 2,000 | 2,040 | ||||||
5.125%, 05/01/2023 (A) | 790 | 804 | ||||||
CCO Safari II | ||||||||
6.384%, 10/23/2035 (A) | 315 | 348 | ||||||
4.908%, 07/23/2025 (A) | 1,054 | 1,112 | ||||||
CCOH Safari | ||||||||
5.750%, 02/15/2026 (A) | 4,102 | 4,246 | ||||||
Cedar Fair | ||||||||
5.375%, 06/01/2024 | 1,174 | 1,215 | ||||||
5.250%, 03/15/2021 | 2,250 | 2,332 | ||||||
Century Communities | ||||||||
6.875%, 05/15/2022 | 1,830 | 1,748 | ||||||
Chester Downs & Marina | ||||||||
9.250%, 02/01/2020 (A) | 6,135 | 4,448 | ||||||
Chinos Intermediate Holdings | ||||||||
7.750%, 05/01/2019 (A) | 1,504 | 741 |
114 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Cinemark USA | ||||||||
7.375%, 06/15/2021 | $ | 220 | $ | 229 | ||||
5.125%, 12/15/2022 | 1,390 | 1,423 | ||||||
4.875%, 06/01/2023 (A) | 800 | 807 | ||||||
Claire’s Stores | ||||||||
9.000%, 03/15/2019 (A) | 3,790 | 2,700 | ||||||
8.875%, 03/15/2019 | 2,950 | 797 | ||||||
Clear Channel Worldwide Holdings | ||||||||
7.625%, 03/15/2020 | 3,720 | 3,383 | ||||||
6.500%, 11/15/2022 | 3,750 | 3,693 | ||||||
ClubCorp Club Operations | ||||||||
8.250%, 12/15/2023 (A) | 1,520 | 1,452 | ||||||
Cogeco Communications | ||||||||
4.875%, 05/01/2020 (A) | 1,050 | 1,080 | ||||||
CSC Holdings | ||||||||
8.625%, 02/15/2019 | 2,125 | 2,337 | ||||||
6.750%, 11/15/2021 | 1,250 | 1,284 | ||||||
5.250%, 06/01/2024 | 1,334 | 1,189 | ||||||
CST Brands | ||||||||
5.000%, 05/01/2023 | 350 | 354 | ||||||
Cumulus Media Holdings | ||||||||
7.750%, 05/01/2019 | 3,970 | 1,509 | ||||||
Dana Holding | ||||||||
6.750%, 02/15/2021 | 1,108 | 1,139 | ||||||
6.000%, 09/15/2023 | 1,385 | 1,364 | ||||||
5.500%, 12/15/2024 | 465 | 439 | ||||||
DISH DBS | ||||||||
6.750%, 06/01/2021 | 1,405 | 1,450 | ||||||
5.875%, 07/15/2022 | 1,966 | 1,863 | ||||||
5.875%, 11/15/2024 | 4,015 | 3,684 | ||||||
5.000%, 03/15/2023 | 2,835 | 2,502 | ||||||
Dollar Tree | ||||||||
5.750%, 03/01/2023 (A) | 565 | 599 | ||||||
DreamWorks Animation | ||||||||
6.875%, 08/15/2020 (A) | 1,025 | 1,035 | ||||||
Empire Today | ||||||||
11.375%, 02/01/2017 (A) | 2,000 | 1,950 | ||||||
ESH Hospitality | ||||||||
5.250%, 05/01/2025‡, (A) | 4,060 | 3,948 | ||||||
Expo Event Transco | ||||||||
9.000%, 06/15/2021 (A) | 1,950 | 1,862 | ||||||
Fiat Chrysler Automobiles | ||||||||
5.250%, 04/15/2023 | 410 | 408 | ||||||
Fontainebleau Las Vegas Holdings | ||||||||
10.250%, 06/15/2015 (A) (B) | 3,108 | — | ||||||
Gannett | ||||||||
5.500%, 09/15/2024 (A) | 336 | 346 | ||||||
4.875%, 09/15/2021 (A) | 160 | 165 | ||||||
General Motors | ||||||||
4.875%, 10/02/2023 | 1,180 | 1,237 | ||||||
General Motors Financial | ||||||||
3.450%, 04/10/2022 | 250 | 245 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Gibson Brands | ||||||||
8.875%, 08/01/2018 (A) | $ | 1,414 | $ | 820 | ||||
Goodyear Tire & Rubber | ||||||||
8.750%, 08/15/2020 | 155 | 182 | ||||||
6.500%, 03/01/2021 | 2,145 | 2,257 | ||||||
5.125%, 11/15/2023 | 1,995 | 2,040 | ||||||
Group 1 Automotive | ||||||||
5.250%, 12/15/2023 (A) | 775 | 765 | ||||||
Guitar Center | ||||||||
9.625%, 04/15/2020 (A) | 4,560 | 3,158 | ||||||
6.500%, 04/15/2019 (A) | 2,870 | 2,583 | ||||||
Gymboree | ||||||||
9.125%, 12/01/2018 | 785 | 259 | ||||||
Harrah’s Operating | ||||||||
11.250%, 06/01/2017 (B) | 530 | 446 | ||||||
Hillman Group | ||||||||
6.375%, 07/15/2022 (A) | 710 | 593 | ||||||
Hilton Worldwide Finance | ||||||||
5.625%, 10/15/2021 | 290 | 300 | ||||||
Hot Topic | ||||||||
9.250%, 06/15/2021 (A) | 1,580 | 1,584 | ||||||
iHeartCommunications | ||||||||
14.000%, 02/01/2021 | 3,480 | 783 | ||||||
10.625%, 03/15/2023 | 951 | 658 | ||||||
9.000%, 12/15/2019 | 774 | 573 | ||||||
9.000%, 03/01/2021 | 425 | 296 | ||||||
9.000%, 09/15/2022 | 2,748 | 1,910 | ||||||
Inn of the Mountain Gods Resort & Casino | ||||||||
9.250%, 11/30/2020 | 4,420 | 4,088 | ||||||
International Game Technology | ||||||||
6.500%, 02/15/2025 (A) | 875 | 866 | ||||||
6.250%, 02/15/2022 (A) | 720 | 733 | ||||||
Interval Acquisition | ||||||||
5.625%, 04/15/2023 (A) | 620 | 622 | ||||||
Isle of Capri Casinos | ||||||||
5.875%, 03/15/2021 | 535 | 551 | ||||||
Jarden | ||||||||
5.000%, 11/15/2023 (A) | 1,800 | 1,886 | ||||||
JC Penney | ||||||||
8.125%, 10/01/2019 | 440 | 452 | ||||||
7.950%, 04/01/2017 | 733 | 755 | ||||||
6.375%, 10/15/2036 | 840 | 691 | ||||||
5.750%, 02/15/2018 | 726 | 735 | ||||||
Kosmos Energy | ||||||||
7.875%, 08/01/2021 | 3,195 | 2,684 | ||||||
L Brands | ||||||||
6.950%, 03/01/2033 | 1,146 | 1,180 | ||||||
6.875%, 11/01/2035 | 2,225 | 2,415 | ||||||
6.625%, 04/01/2021 | 465 | 523 | ||||||
5.625%, 02/15/2022 | 1,175 | 1,280 | ||||||
5.625%, 10/15/2023 | 585 | 642 | ||||||
Landry’s | ||||||||
9.375%, 05/01/2020 (A) | 2,420 | 2,541 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 115 |
SCHEDULE OF INVESTMENTS (Unaudited)
High-Yield Bond Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Lear | ||||||||
5.250%, 01/15/2025 | $ | 345 | $ | 358 | ||||
Liberty Media LLC | ||||||||
8.250%, 02/01/2030 | 3,205 | 3,285 | ||||||
LIN Television | ||||||||
5.875%, 11/15/2022 | 1,332 | 1,349 | ||||||
LKQ | ||||||||
4.750%, 05/15/2023 | 530 | 515 | ||||||
LTF Merger | ||||||||
8.500%, 06/15/2023 (A) | 3,056 | 2,964 | ||||||
Lynx I | ||||||||
5.375%, 04/15/2021 (A) | 1,922 | 2,003 | ||||||
M/I Homes | ||||||||
6.750%, 01/15/2021 | 1,235 | 1,213 | ||||||
McClatchy | ||||||||
9.000%, 12/15/2022 | 2,570 | 2,371 | ||||||
McGraw-Hill Global Education Holdings | ||||||||
9.750%, 04/01/2021 | 450 | 488 | ||||||
MDC Partners | ||||||||
6.750%, 04/01/2020 (A) | 1,375 | 1,421 | ||||||
MGM Resorts International | ||||||||
7.750%, 03/15/2022 | 3,340 | 3,720 | ||||||
6.625%, 12/15/2021 | 2,900 | 3,110 | ||||||
6.000%, 03/15/2023 | 4,497 | 4,654 | ||||||
5.250%, 03/31/2020 | 1,150 | 1,179 | ||||||
Midcontinent Communications & Midcontinent Finance | ||||||||
6.875%, 08/15/2023 (A) | 3,005 | 3,110 | ||||||
6.250%, 08/01/2021 (A) | 400 | 412 | ||||||
Millennium (Escrow Security) | ||||||||
7.625%, 11/15/2026 (B) | 175 | — | ||||||
Mohegan Tribal Gaming Authority | ||||||||
9.750%, 09/01/2021 | 9,692 | 9,934 | ||||||
Monitronics International | ||||||||
9.125%, 04/01/2020 | 7,870 | 6,375 | ||||||
Murphy Oil USA | ||||||||
6.000%, 08/15/2023 | 1,350 | 1,397 | ||||||
Neiman Marcus Group | ||||||||
8.000%, 10/15/2021 (A) | 995 | 856 | ||||||
Neiman Marcus Group PIK | ||||||||
8.750%, 10/15/2021 (A) | 675 | 520 | ||||||
Neptune Finco | ||||||||
10.875%, 10/15/2025 (A) | 2,627 | 2,856 | ||||||
10.125%, 01/15/2023 (A) | 5,087 | 5,443 | ||||||
6.625%, 10/15/2025 (A) | 535 | 578 | ||||||
Netflix | ||||||||
5.875%, 02/15/2025 | 1,684 | 1,772 | ||||||
5.500%, 02/15/2022 | 405 | 424 | ||||||
Nexstar Broadcasting | ||||||||
6.875%, 11/15/2020 | 2,900 | 3,009 | ||||||
6.125%, 02/15/2022 (A) | 365 | 362 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nine West Holdings | ||||||||
8.250%, 03/15/2019 (A) | $ | 5,289 | $ | 1,454 | ||||
Numericable-SFR | ||||||||
6.250%, 05/15/2024 (A) | 4,501 | 4,364 | ||||||
6.000%, 05/15/2022 (A) | 4,405 | 4,295 | ||||||
Outfront Media Capital | ||||||||
5.875%, 03/15/2025 | 1,485 | 1,548 | ||||||
5.250%, 02/15/2022 | 390 | 400 | ||||||
Party City Holdings | ||||||||
6.125%, 08/15/2023 (A) | 495 | 506 | ||||||
Pinnacle Entertainment | ||||||||
7.500%, 04/15/2021 | 3,000 | 3,120 | ||||||
6.375%, 08/01/2021 | 660 | 700 | ||||||
PulteGroup | ||||||||
5.500%, 03/01/2026 | 275 | 283 | ||||||
Quebecor Media | ||||||||
5.750%, 01/15/2023 | 1,225 | 1,262 | ||||||
Quebecor Media (Escrow Security) | ||||||||
0.000%, 11/15/2013 (B) (G) | 1,725 | 2 | ||||||
0.000%, 03/15/2016 (B) | 1,915 | 3 | ||||||
Radio One | ||||||||
9.250%, 02/15/2020 (A) | 2,946 | 2,018 | ||||||
7.375%, 04/15/2022 (A) | 3,447 | 3,102 | ||||||
Radio Systems | ||||||||
8.375%, 11/01/2019 (A) | 910 | 946 | ||||||
RCN Telecom Services | ||||||||
8.500%, 08/15/2020 (A) | 920 | 920 | ||||||
Regal Entertainment Group | ||||||||
5.750%, 03/15/2022 | 480 | 497 | ||||||
5.750%, 06/15/2023 | 130 | 132 | ||||||
RSI Home Products | ||||||||
6.500%, 03/15/2023 (A) | 885 | 923 | ||||||
Sally Holdings | ||||||||
5.750%, 06/01/2022 | 200 | 209 | ||||||
5.625%, 12/01/2025 | 2,824 | 3,008 | ||||||
Schaeffler Finance PIK | ||||||||
6.750%, 11/15/2022 (A) | 625 | 680 | ||||||
Schaeffler Finance MTN | ||||||||
4.750%, 05/15/2021 (A) | 265 | 272 | ||||||
4.750%, 05/15/2023 (A) | 250 | 251 | ||||||
4.250%, 05/15/2021 (A) | 1,000 | 1,017 | ||||||
Scientific Games International | ||||||||
10.000%, 12/01/2022 | 3,207 | 2,598 | ||||||
7.000%, 01/01/2022 (A) | 1,050 | 1,071 | ||||||
Seminole Tribe of Florida | ||||||||
6.535%, 10/01/2020 (A) | 380 | 395 | ||||||
Serta Simmons Bedding | ||||||||
8.125%, 10/01/2020 (A) | 2,255 | 2,340 | ||||||
Service International | ||||||||
7.500%, 04/01/2027 | 1,295 | 1,489 | ||||||
5.375%, 05/15/2024 | 211 | 223 | ||||||
ServiceMaster | ||||||||
7.250%, 03/01/2038 | 2,990 | 2,814 |
116 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Shingle Springs Tribal Gaming Authority | ||||||||
9.750%, 09/01/2021 (A) | $ | 520 | $ | 564 | ||||
Sinclair Television Group | ||||||||
6.375%, 11/01/2021 | 255 | 269 | ||||||
6.125%, 10/01/2022 | 995 | 1,046 | ||||||
5.625%, 08/01/2024 (A) | 2,693 | 2,706 | ||||||
5.375%, 04/01/2021 | 4,795 | 4,945 | ||||||
Sirius XM Radio | ||||||||
6.000%, 07/15/2024 (A) | 583 | 614 | ||||||
5.875%, 10/01/2020 (A) | 1,000 | 1,045 | ||||||
5.750%, 08/01/2021 (A) | 1,065 | 1,114 | ||||||
5.375%, 04/15/2025 (A) | 3,650 | 3,714 | ||||||
4.625%, 05/15/2023 (A) | 2,100 | 2,066 | ||||||
4.250%, 05/15/2020 (A) | 3,268 | 3,321 | ||||||
Six Flags Entertainment | ||||||||
5.250%, 01/15/2021 (A) | 3,200 | 3,288 | ||||||
Spanish Broadcasting System | ||||||||
12.500%, 04/15/2017 (A) | 1,603 | 1,571 | ||||||
Taylor Morrison Communities | ||||||||
5.625%, 03/01/2024 (A) | 1,755 | 1,680 | ||||||
TEGNA | ||||||||
6.375%, 10/15/2023 | 65 | 70 | ||||||
Tempur Sealy International | ||||||||
6.875%, 12/15/2020 | 575 | 607 | ||||||
5.625%, 10/15/2023 (A) | 1,570 | 1,615 | ||||||
TI Group Automotive Systems | ||||||||
8.750%, 07/15/2023 (A) | 5,359 | 5,145 | ||||||
Time | ||||||||
5.750%, 04/15/2022 (A) | 740 | 657 | ||||||
Time Warner Cable | ||||||||
6.750%, 06/15/2039 | 525 | 591 | ||||||
5.500%, 09/01/2041 | 710 | 704 | ||||||
Townsquare Media | ||||||||
6.500%, 04/01/2023 (A) | 2,805 | 2,689 | ||||||
Toys R Us | ||||||||
10.375%, 08/15/2017 | 6,175 | 5,588 | ||||||
7.375%, 10/15/2018 | 1,310 | 1,042 | ||||||
Tribune Media | ||||||||
5.875%, 07/15/2022 (A) | 2,555 | 2,496 | ||||||
UCI International | ||||||||
8.625%, 02/15/2019 (B) | 1,165 | 224 | ||||||
Unitymedia GmbH | ||||||||
6.125%, 01/15/2025 (A) | 795 | 826 | ||||||
Unitymedia Hessen GmbH & KG | ||||||||
5.500%, 01/15/2023 (A) | 2,480 | 2,542 | ||||||
5.000%, 01/15/2025 (A) | 1,100 | 1,097 | ||||||
Univision Communications | ||||||||
8.500%, 05/15/2021 (A) | 2,155 | 2,198 | ||||||
5.125%, 02/15/2025 (A) | 1,600 | 1,580 | ||||||
UPCB Finance IV | ||||||||
5.375%, 01/15/2025 (A) | 1,380 | 1,397 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
UPCB Finance VI | ||||||||
6.875%, 01/15/2022 (A) | $ | 579 | $ | 612 | ||||
Videotron | ||||||||
5.375%, 06/15/2024 (A) | 635 | 659 | ||||||
5.000%, 07/15/2022 | 1,975 | 2,044 | ||||||
Viking Cruises | ||||||||
6.250%, 05/15/2025 (A) | 4,215 | 3,530 | ||||||
Virgin Media Finance | ||||||||
5.750%, 01/15/2025 (A) | 397 | 402 | ||||||
5.500%, 01/15/2025 (A) | 200 | 206 | ||||||
5.250%, 01/15/2026 (A) | 3,335 | 3,335 | ||||||
Vista Outdoor | ||||||||
5.875%, 10/01/2023 (A) | 405 | 424 | ||||||
VTR Finance | ||||||||
6.875%, 01/15/2024 (A) | 1,665 | 1,623 | ||||||
Wave Holdco PIK | ||||||||
8.250%, 07/15/2019 (A) | 398 | 388 | ||||||
WideOpenWest Finance | ||||||||
10.250%, 07/15/2019 | 1,375 | 1,375 | ||||||
WMG Acquisition | ||||||||
6.000%, 01/15/2021 (A) | 851 | 870 | ||||||
5.625%, 04/15/2022 (A) | 65 | 66 | ||||||
Wynn Las Vegas | ||||||||
5.500%, 03/01/2025 (A) | 2,410 | 2,272 | ||||||
4.250%, 05/30/2023 (A) | 479 | 431 | ||||||
Yum! Brands | ||||||||
6.875%, 11/15/2037 | 2,755 | 2,617 | ||||||
5.350%, 11/01/2043 | 130 | 100 | ||||||
ZF North America Capital | ||||||||
4.750%, 04/29/2025 (A) | 1,055 | 1,050 | ||||||
4.500%, 04/29/2022 (A) | 575 | 586 | ||||||
|
| |||||||
359,530 | ||||||||
|
| |||||||
Consumer Staples — 3.3% |
| |||||||
Bumble Bee Holdco PIK | ||||||||
9.625%, 03/15/2018 (A) | 2,092 | 2,061 | ||||||
Bumble Bee Holdings | ||||||||
9.000%, 12/15/2017 (A) | 1,106 | 1,109 | ||||||
Central Garden & Pet | ||||||||
6.125%, 11/15/2023 | 570 | 593 | ||||||
Constellation Brands | ||||||||
4.750%, 11/15/2024 | 540 | 563 | ||||||
4.750%, 12/01/2025 | 345 | 357 | ||||||
4.250%, 05/01/2023 | 420 | 429 | ||||||
Cott Beverages | ||||||||
5.375%, 07/01/2022 | 1,525 | 1,548 | ||||||
CVS Health | ||||||||
5.000%, 12/01/2024 (A) | 1,095 | 1,256 | ||||||
4.750%, 12/01/2022 (A) | 142 | 159 | ||||||
Darling Ingredients | ||||||||
5.375%, 01/15/2022 | 125 | 128 | ||||||
Dean Foods | ||||||||
6.500%, 03/15/2023 (A) | 960 | 987 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 117 |
SCHEDULE OF INVESTMENTS (Unaudited)
High-Yield Bond Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Elizabeth Arden | ||||||||
7.375%, 03/15/2021 | $ | 2,359 | $ | 1,510 | ||||
Energizer Holdings | ||||||||
5.500%, 06/15/2025 (A) | 715 | 718 | ||||||
HRG Group | ||||||||
7.875%, 07/15/2019 | 1,734 | 1,829 | ||||||
7.750%, 01/15/2022 | 1,717 | 1,704 | ||||||
Innovation Ventures | ||||||||
9.500%, 08/15/2019 (A) | 1,630 | 1,697 | ||||||
JBS USA | ||||||||
5.875%, 07/15/2024 (A) | 530 | 478 | ||||||
5.750%, 06/15/2025 (A) | 1,445 | 1,265 | ||||||
KeHE Distributors | ||||||||
7.625%, 08/15/2021 (A) | 1,900 | 1,819 | ||||||
Kronos Acquisition Holdings | ||||||||
9.000%, 08/15/2023 (A) | 1,085 | 998 | ||||||
New Albertsons | ||||||||
8.700%, 05/01/2030 | 360 | 346 | ||||||
8.000%, 05/01/2031 | 8,010 | 7,569 | ||||||
7.750%, 06/15/2026 | 160 | 150 | ||||||
7.450%, 08/01/2029 | 1,605 | 1,456 | ||||||
Post Holdings | ||||||||
8.000%, 07/15/2025 (A) | 420 | 466 | ||||||
7.750%, 03/15/2024 (A) | 1,455 | 1,597 | ||||||
7.375%, 02/15/2022 | 2,310 | 2,443 | ||||||
6.000%, 12/15/2022 (A) | 1,324 | 1,364 | ||||||
Rite Aid | ||||||||
7.700%, 02/15/2027 | 2,550 | 3,060 | ||||||
6.125%, 04/01/2023 (A) | 4,948 | 5,245 | ||||||
Spectrum Brands | ||||||||
6.625%, 11/15/2022 | 990 | 1,070 | ||||||
6.125%, 12/15/2024 | 1,786 | 1,907 | ||||||
5.750%, 07/15/2025 | 926 | 984 | ||||||
SUPERVALU | ||||||||
7.750%, 11/15/2022 | 2,055 | 1,741 | ||||||
6.750%, 06/01/2021 | 4,245 | 3,619 | ||||||
TreeHouse Foods | ||||||||
6.000%, 02/15/2024 (A) | 275 | 291 | ||||||
Vector Group | ||||||||
7.750%, 02/15/2021 | 2,595 | 2,725 | ||||||
|
| |||||||
57,241 | ||||||||
|
| |||||||
Energy — 7.9% |
| |||||||
Access Midstream Partners | ||||||||
4.875%, 03/15/2024 | 285 | 249 | ||||||
Alberta Energy | ||||||||
8.125%, 09/15/2030 | 135 | 122 | ||||||
7.375%, 11/01/2031 | 110 | 97 | ||||||
Alpha Natural Resources | ||||||||
6.250%, 06/01/2021 (B) | 600 | 2 | ||||||
6.000%, 06/01/2019 (B) | 1,825 | 7 | ||||||
American Energy-Permian Basin | ||||||||
8.000%, 06/15/2020 (A) | 2,266 | 1,858 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American Greetings | ||||||||
7.375%, 12/01/2021 | $ | 555 | $ | 567 | ||||
Anadarko Petroleum | ||||||||
3.450%, 07/15/2024 | 613 | 546 | ||||||
Antero Resources | ||||||||
6.000%, 12/01/2020 | 700 | 665 | ||||||
5.625%, 06/01/2023 | 2,025 | 1,863 | ||||||
5.375%, 11/01/2021 | 505 | 467 | ||||||
5.125%, 12/01/2022 | 465 | 422 | ||||||
Archrock Partners | ||||||||
6.000%, 04/01/2021 | 475 | 337 | ||||||
Atlas Energy Holdings Operating | ||||||||
9.250%, 08/15/2021 | 2,050 | 318 | ||||||
7.750%, 01/15/2021 | 1,250 | 181 | ||||||
Atwood Oceanics | ||||||||
6.500%, 02/01/2020 | 1,005 | 477 | ||||||
Basic Energy Services | ||||||||
7.750%, 02/15/2019 | 2,680 | 854 | ||||||
7.750%, 10/15/2022 | 865 | 251 | ||||||
Bellatrix Exploration | ||||||||
8.500%, 05/15/2020 (A) | 1,606 | 807 | ||||||
Berry Petroleum | ||||||||
6.750%, 11/01/2020 (B) | 1,060 | 191 | ||||||
6.375%, 09/15/2022 (B) | 2,218 | 399 | ||||||
Blue Racer Midstream | ||||||||
6.125%, 11/15/2022 (A) | 3,810 | 3,172 | ||||||
BreitBurn Energy Partners | ||||||||
8.625%, 10/15/2020 | 740 | 74 | ||||||
7.875%, 04/15/2022 | 479 | 48 | ||||||
California Resources | ||||||||
8.000%, 12/15/2022 (A) | 691 | 266 | ||||||
Calumet Specialty Products Partners | ||||||||
7.625%, 01/15/2022 | 1,345 | 952 | ||||||
Carrizo Oil & Gas | ||||||||
7.500%, 09/15/2020 | 375 | 350 | ||||||
6.250%, 04/15/2023 | 286 | 252 | ||||||
CHC Helicopter | ||||||||
9.250%, 10/15/2020 | 139 | 59 | ||||||
Chesapeake Energy | ||||||||
8.000%, 12/15/2022 (A) | 1,062 | 520 | ||||||
7.250%, 12/15/2018 | 628 | 342 | ||||||
3.872%, 04/15/2019 (H) | 175 | 68 | ||||||
Cloud Peak Energy Resources | ||||||||
8.500%, 12/15/2019 | 887 | 390 | ||||||
Comstock Resources | ||||||||
10.000%, 03/15/2020 (A) | 685 | 337 | ||||||
Concho Resources | ||||||||
5.500%, 10/01/2022 | 550 | 541 | ||||||
5.500%, 04/01/2023 | 1,685 | 1,651 | ||||||
CONSOL Energy | ||||||||
5.875%, 04/15/2022 | 3,511 | 2,530 |
118 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Continental Resources | ||||||||
5.000%, 09/15/2022 | $ | 1,353 | $ | 1,166 | ||||
4.500%, 04/15/2023 | 641 | 536 | ||||||
Crestwood Midstream Partners | ||||||||
6.250%, 04/01/2023 (A) | 365 | 270 | ||||||
CSI Compressco | ||||||||
7.250%, 08/15/2022 | 195 | 136 | ||||||
Denbury Resources | ||||||||
5.500%, 05/01/2022 | 815 | 367 | ||||||
4.625%, 07/15/2023 | 1,484 | 619 | ||||||
Encana | ||||||||
7.200%, 11/01/2031 | 150 | 132 | ||||||
6.625%, 08/15/2037 | 195 | 164 | ||||||
Endeavor Energy Resources | ||||||||
7.000%, 08/15/2021 (A) | 3,600 | 3,366 | ||||||
Energy Transfer Equity | ||||||||
7.500%, 10/15/2020 | 280 | 270 | ||||||
5.875%, 01/15/2024 | 6,121 | 5,233 | ||||||
5.500%, 06/01/2027 | 400 | 321 | ||||||
Energy Transfer Partners | ||||||||
6.625%, 10/15/2036 | 440 | 404 | ||||||
6.500%, 02/01/2042 | 95 | 86 | ||||||
6.125%, 12/15/2045 | 1,350 | 1,212 | ||||||
6.050%, 06/01/2041 | 110 | 95 | ||||||
5.200%, 02/01/2022 | 450 | 427 | ||||||
5.150%, 02/01/2043 | 175 | 135 | ||||||
4.900%, 03/15/2035 | 800 | 633 | ||||||
EnLink Midstream Partners | ||||||||
4.400%, 04/01/2024 | 225 | 181 | ||||||
4.150%, 06/01/2025 | 918 | 712 | ||||||
2.700%, 04/01/2019 | 555 | 496 | ||||||
EP Energy | ||||||||
9.375%, 05/01/2020 | 1,685 | 850 | ||||||
7.750%, 09/01/2022 | 435 | 202 | ||||||
EV Energy Partners | ||||||||
8.000%, 04/15/2019 | 860 | 215 | ||||||
EXCO Resources | ||||||||
8.500%, 04/15/2022 | 545 | 101 | ||||||
Genesis Energy | ||||||||
6.750%, 08/01/2022 | 2,172 | 2,009 | ||||||
6.000%, 05/15/2023 | 1,463 | 1,287 | ||||||
5.750%, 02/15/2021 | 105 | 95 | ||||||
Gibson Energy | ||||||||
6.750%, 07/15/2021 (A) | 3,750 | 3,450 | ||||||
Halcon Resources | ||||||||
13.000%, 02/15/2022 (A) | 1,006 | 299 | ||||||
8.625%, 02/01/2020 (A) | 905 | 643 | ||||||
Hess | ||||||||
7.300%, 08/15/2031 | 623 | 662 | ||||||
Hiland Partners | ||||||||
7.250%, 10/01/2020 (A) | 2,634 | 2,733 | ||||||
5.500%, 05/15/2022 (A) | 975 | 977 | ||||||
Hilcorp Energy I | ||||||||
5.750%, 10/01/2025 (A) | 621 | 534 | ||||||
5.000%, 12/01/2024 (A) | 667 | 562 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
IronGate Energy Services | ||||||||
11.000%, 07/01/2018 (A) | $ | 400 | $ | 96 | ||||
Jupiter Resources | ||||||||
8.500%, 10/01/2022 (A) | 3,680 | 1,950 | ||||||
Kinder Morgan | ||||||||
5.000%, 02/15/2021 (A) | 441 | 450 | ||||||
Laredo Petroleum | ||||||||
7.375%, 05/01/2022 | 450 | 383 | ||||||
Legacy Reserves | ||||||||
8.000%, 12/01/2020 | 2,040 | 393 | ||||||
6.625%, 12/01/2021 | 1,505 | 286 | ||||||
Linn Energy | ||||||||
6.250%, 11/01/2019 | 4,035 | 444 | ||||||
MEG Energy | ||||||||
7.000%, 03/31/2024 (A) | 2,715 | 1,602 | ||||||
6.500%, 03/15/2021 (A) | 1,016 | 613 | ||||||
6.375%, 01/30/2023 (A) | 1,140 | 673 | ||||||
Memorial Production Partners | ||||||||
7.625%, 05/01/2021 | 3,725 | 1,043 | ||||||
6.875%, 08/01/2022 | 4,695 | 1,268 | ||||||
Midstates Petroleum | ||||||||
10.750%, 10/01/2020 | 2,540 | 102 | ||||||
10.000%, 06/01/2020 | 720 | 268 | ||||||
9.250%, 06/01/2021 | 360 | 14 | ||||||
Milagro Oil & Gas | ||||||||
10.500%, 05/15/2016 (B) | 1,700 | 468 | ||||||
MPLX | ||||||||
5.500%, 02/15/2023 (A) | 280 | 271 | ||||||
4.875%, 12/01/2024 (A) | 3,184 | 2,940 | ||||||
4.875%, 06/01/2025 (A) | 1,290 | 1,176 | ||||||
Murray Energy | ||||||||
11.250%, 04/15/2021 (A) | 3,005 | 398 | ||||||
Newfield Exploration | ||||||||
5.750%, 01/30/2022 | 285 | 278 | ||||||
5.625%, 07/01/2024 | 905 | 848 | ||||||
5.375%, 01/01/2026 | 1,820 | 1,656 | ||||||
NGL Energy Partners | ||||||||
6.875%, 10/15/2021 | 1,600 | 944 | ||||||
Noble Energy | ||||||||
5.625%, 05/01/2021 | 2,565 | 2,578 | ||||||
Noble Holding International | ||||||||
5.000%, 03/16/2018 | 665 | 618 | ||||||
NuStar Logistics | ||||||||
6.750%, 02/01/2021 | 1,110 | 1,038 | ||||||
Oasis Petroleum | ||||||||
6.875%, 03/15/2022 | 795 | 588 | ||||||
6.875%, 01/15/2023 | 325 | 240 | ||||||
ONEOK | ||||||||
7.500%, 09/01/2023 | 1,250 | 1,216 | ||||||
Pacific Drilling | ||||||||
5.375%, 06/01/2020 (A) | 1,517 | 478 | ||||||
Parker Drilling | ||||||||
6.750%, 07/15/2022 | 3,855 | 2,776 | ||||||
PBF Holding | ||||||||
7.000%, 11/15/2023 (A) | 805 | 764 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 119 |
SCHEDULE OF INVESTMENTS (Unaudited)
High-Yield Bond Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Peabody Energy | ||||||||
6.250%, 11/15/2021 | $ | 420 | $ | 30 | ||||
Petrobras Global Finance | ||||||||
6.850%, 06/05/2115 | 695 | 485 | ||||||
6.750%, 01/27/2041 | 1,475 | 1,060 | ||||||
Range Resources | ||||||||
4.875%, 05/15/2025 (A) | 1,010 | 884 | ||||||
Regency Energy Partners | ||||||||
6.500%, 07/15/2021 | 85 | 84 | ||||||
5.875%, 03/01/2022 | 2,890 | 2,807 | ||||||
5.750%, 09/01/2020 | 88 | 88 | ||||||
5.500%, 04/15/2023 | 1,449 | 1,292 | ||||||
5.000%, 10/01/2022 | 447 | 420 | ||||||
Rockies Express Pipeline | ||||||||
5.625%, 04/15/2020 (A) | 3,660 | 3,459 | ||||||
Rose Rock Midstream | ||||||||
5.625%, 07/15/2022 | 4,776 | 3,176 | ||||||
Rowan | ||||||||
5.850%, 01/15/2044 | 704 | 410 | ||||||
RSP Permian | ||||||||
6.625%, 10/01/2022 | 250 | 246 | ||||||
Sabine Pass Liquefaction | ||||||||
6.250%, 03/15/2022 | 2,530 | 2,476 | ||||||
5.750%, 05/15/2024 | 2,730 | 2,607 | ||||||
5.625%, 02/01/2021 | 3,095 | 2,975 | ||||||
5.625%, 04/15/2023 | 1,845 | 1,753 | ||||||
5.625%, 03/01/2025 | 1,523 | 1,453 | ||||||
Sanchez Energy | ||||||||
7.750%, 06/15/2021 | 85 | 50 | ||||||
6.125%, 01/15/2023 | 575 | 310 | ||||||
SandRidge Energy | ||||||||
8.750%, 01/15/2020 | 212 | 11 | ||||||
8.750%, 06/01/2020 (A) | 644 | 156 | ||||||
8.125%, 10/15/2022 | 26 | 2 | ||||||
7.500%, 02/15/2023 | 3,515 | 171 | ||||||
SESI LLC | ||||||||
7.125%, 12/15/2021 | 407 | 307 | ||||||
Seventy Seven Energy | ||||||||
6.500%, 07/15/2022 | 305 | 14 | ||||||
SM Energy | ||||||||
6.500%, 01/01/2023 | 643 | 453 | ||||||
6.125%, 11/15/2022 | 465 | 339 | ||||||
5.625%, 06/01/2025 | 375 | 261 | ||||||
Southwestern Energy | ||||||||
4.950%, 01/23/2025 | 2,418 | 1,656 | ||||||
Summit Midstream Holdings | ||||||||
5.500%, 08/15/2022 | 1,120 | 795 | ||||||
Targa Resources Partners | ||||||||
6.875%, 02/01/2021 | 699 | 685 | ||||||
6.750%, 03/15/2024 (A) | 2,385 | 2,343 | ||||||
6.625%, 10/01/2020 (A) | 1,869 | 1,846 | ||||||
5.250%, 05/01/2023 | 40 | 37 | ||||||
4.125%, 11/15/2019 | 165 | 156 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Tesoro Logistics | ||||||||
6.250%, 10/15/2022 (A) | $ | 255 | $ | 253 | ||||
6.125%, 10/15/2021 | 215 | 215 | ||||||
5.875%, 10/01/2020 | 783 | 776 | ||||||
5.500%, 10/15/2019 (A) | 220 | 219 | ||||||
Transocean | ||||||||
6.000%, 03/15/2018 | 660 | 620 | ||||||
Trinidad Drilling | ||||||||
7.875%, 01/15/2019 (A) | 735 | 561 | ||||||
Ultra Petroleum | ||||||||
6.125%, 10/01/2024 (A) (B) | 445 | 33 | ||||||
5.750%, 12/15/2018 (A) | 1,400 | 98 | ||||||
Unit | ||||||||
6.625%, 05/15/2021 | 2,130 | 1,070 | ||||||
Vanguard Natural Resources | ||||||||
7.875%, 04/01/2020 | 420 | 60 | ||||||
Walter Energy | ||||||||
9.875%, 12/15/2020 (B) | 3,745 | 1 | ||||||
8.500%, 04/15/2021 (B) | 1,455 | — | ||||||
Weatherford International | ||||||||
5.950%, 04/15/2042 | 3,760 | 2,613 | ||||||
Western Gas Partners | ||||||||
4.000%, 07/01/2022 | 167 | 149 | ||||||
Western Refining Logistics | ||||||||
7.500%, 02/15/2023 | 1,135 | 1,010 | ||||||
Whiting Petroleum | ||||||||
6.500%, 10/01/2018 | 400 | 272 | ||||||
6.250%, 04/01/2023 | 1,825 | 1,293 | ||||||
5.750%, 03/15/2021 | 2,735 | 1,958 | ||||||
1.250%, 04/01/2020 (A) | 280 | 163 | ||||||
Williams | ||||||||
4.550%, 06/24/2024 | 802 | 610 | ||||||
Williams Partners | ||||||||
6.300%, 04/15/2040 | 915 | 755 | ||||||
6.125%, 07/15/2022 | 620 | 576 | ||||||
5.800%, 11/15/2043 | 460 | 359 | ||||||
5.400%, 03/04/2044 | 290 | 217 | ||||||
4.900%, 01/15/2045 | 815 | 583 | ||||||
4.875%, 05/15/2023 | 75 | 65 | ||||||
4.000%, 09/15/2025 | 335 | 270 | ||||||
3.900%, 01/15/2025 | 505 | 408 | ||||||
3.600%, 03/15/2022 | 205 | 169 | ||||||
WPX Energy | ||||||||
8.250%, 08/01/2023 | 1,241 | 962 | ||||||
5.250%, 09/15/2024 | 225 | 156 | ||||||
|
| |||||||
134,463 | ||||||||
|
| |||||||
Financials — 7.5% | ||||||||
AAF Holdings PIK | ||||||||
12.000%, 07/01/2019 (A) | 1,048 | 912 | ||||||
Ally Financial | ||||||||
8.000%, 03/15/2020 | 1,204 | 1,349 | ||||||
5.750%, 11/20/2025 | 1,865 | 1,823 | ||||||
5.125%, 09/30/2024 | 6,798 | 6,951 |
120 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.625%, 05/19/2022 | $ | 805 | $ | 809 | ||||
4.625%, 03/30/2025 | 1,450 | 1,430 | ||||||
4.125%, 03/30/2020 | 740 | 734 | ||||||
3.500%, 01/27/2019 | 1,480 | 1,458 | ||||||
American Equity Investment Life Holding | ||||||||
6.625%, 07/15/2021 | 1,900 | 1,952 | ||||||
Argos Merger | ||||||||
7.125%, 03/15/2023 (A) | 1,660 | 1,765 | ||||||
Bank of America | ||||||||
8.000%, 12/29/2049 (H) | 1,580 | 1,546 | ||||||
6.500%, 12/31/2049 (H) | 2,280 | 2,353 | ||||||
5.125%, 12/31/2049 (H) | 1,917 | 1,812 | ||||||
CIT Group | ||||||||
6.625%, 04/01/2018 (A) | 250 | 263 | ||||||
5.500%, 02/15/2019 (A) | 3,225 | 3,336 | ||||||
3.875%, 02/19/2019 | 655 | 653 | ||||||
Citigroup | ||||||||
5.950%, 12/29/2049 (H) | 1,950 | 1,879 | ||||||
City National Bank | ||||||||
9.000%, 08/12/2019 | 3,384 | 4,084 | ||||||
Communications Sales & Leasing | ||||||||
8.250%, 10/15/2023‡ | 1,470 | 1,360 | ||||||
6.000%, 04/15/2023‡ (A) | 2,024 | 1,968 | ||||||
Corrections Corp of America | ||||||||
5.000%, 10/15/2022‡ | 245 | 255 | ||||||
4.625%, 05/01/2023‡ | 1,465 | 1,480 | ||||||
Credit Acceptance | ||||||||
7.375%, 03/15/2023 | 3,935 | 3,748 | ||||||
6.125%, 02/15/2021 | 345 | 326 | ||||||
Credit Suisse Group | ||||||||
7.500%, 12/11/2048 (A) (H) | 1,365 | 1,342 | ||||||
CTR Partnership | ||||||||
5.875%, 06/01/2021‡ | 1,970 | 1,980 | ||||||
Equinix | ||||||||
5.875%, 01/15/2026‡ | 1,470 | 1,550 | ||||||
5.750%, 01/01/2025‡ | 710 | 746 | ||||||
5.375%, 01/01/2022‡ | 200 | 208 | ||||||
4.875%, 04/01/2020‡ | 1,675 | 1,733 | ||||||
FelCor Lodging | ||||||||
6.000%, 06/01/2025 | 108 | 112 | ||||||
Genworth Holdings | ||||||||
7.625%, 09/24/2021 | 5,355 | 4,568 | ||||||
6.500%, 06/15/2034 | 230 | 154 | ||||||
GEO Group | ||||||||
5.875%, 01/15/2022‡ | 1,340 | 1,357 | ||||||
5.875%, 10/15/2024‡ | 1,870 | 1,886 | ||||||
5.125%, 04/01/2023‡ | 740 | 720 | ||||||
GLP Capital | ||||||||
4.875%, 11/01/2020 | 643 | 669 | ||||||
Harland Clarke Holdings | ||||||||
9.750%, 08/01/2018 (A) | 85 | 84 | ||||||
9.250%, 03/01/2021 (A) | 8,273 | 6,339 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HUB International | ||||||||
9.250%, 02/15/2021 (A) | $ | 350 | $ | 363 | ||||
7.875%, 10/01/2021 (A) | 4,805 | 4,733 | ||||||
Infinity Acquisition | ||||||||
7.250%, 08/01/2022 (A) | 585 | 503 | ||||||
Iron Mountain | ||||||||
6.000%, 10/01/2020‡ (A) | 540 | 569 | ||||||
6.000%, 08/15/2023‡ | 605 | 635 | ||||||
Jefferies Finance | ||||||||
6.875%, 04/15/2022 (A) | 2,645 | 2,242 | ||||||
JPMorgan Chase | ||||||||
7.900%, 04/29/2049 (H) | 1,967 | 1,967 | ||||||
6.750%, 08/29/2049 (H) | 3,485 | 3,826 | ||||||
6.000%, 12/29/2049 (H) | 3,525 | 3,548 | ||||||
Kennedy-Wilson | ||||||||
5.875%, 04/01/2024 | 700 | 684 | ||||||
Lamar Media | ||||||||
5.750%, 02/01/2026 (A) | 1,125 | 1,181 | ||||||
Lloyds Banking Group | ||||||||
7.500%, 12/01/2099 (H) | 6,085 | 6,024 | ||||||
Mattamy Group | ||||||||
6.500%, 11/15/2020 (A) | 1,530 | 1,377 | ||||||
Morgan Stanley | ||||||||
5.550%, 12/29/2049 (H) | 1,860 | 1,833 | ||||||
MPT Operating Partnership | ||||||||
6.375%, 03/01/2024‡ | 1,019 | 1,073 | ||||||
MSCI | ||||||||
5.750%, 08/15/2025 (A) | 566 | 596 | ||||||
5.250%, 11/15/2024 (A) | 1,310 | 1,352 | ||||||
National Life Insurance | ||||||||
10.500%, 09/15/2039 (A) | 990 | 1,461 | ||||||
Nationstar Mortgage | ||||||||
6.500%, 08/01/2018 | 1,350 | 1,308 | ||||||
6.500%, 07/01/2021 | 1,525 | 1,353 | ||||||
NSG Holdings | ||||||||
7.750%, 12/15/2025 (A) | 1,792 | 1,922 | ||||||
Popular | ||||||||
7.000%, 07/01/2019 | 2,488 | 2,420 | ||||||
Quicken Loans | ||||||||
5.750%, 05/01/2025 (A) | 3,595 | 3,487 | ||||||
RHP Hotel Properties | ||||||||
5.000%, 04/15/2021‡ | 2,508 | 2,571 | ||||||
5.000%, 04/15/2023‡ | 720 | 736 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
8.000%, 12/29/2049 (H) | 1,745 | 1,664 | ||||||
5.125%, 05/28/2024 | 780 | 750 | ||||||
Santander Issuances | ||||||||
5.179%, 11/19/2025 | 400 | 387 | ||||||
US Bancorp | ||||||||
5.125%, 12/29/2049 (H) | 1,845 | 1,880 | ||||||
USI | ||||||||
7.750%, 01/15/2021 (A) | 1,240 | 1,240 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 121 |
SCHEDULE OF INVESTMENTS (Unaudited)
High-Yield Bond Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Walter Investment Management | ||||||||
7.875%, 12/15/2021 | $ | 1,342 | $ | 872 | ||||
4.500%, 11/01/2019 | 1,156 | 660 | ||||||
Wells Fargo | ||||||||
7.980%, 03/15/2018 (H) | 950 | 983 | ||||||
Wilton Re Finance LLC | ||||||||
5.875%, 03/30/2033 (A) (H) | 1,900 | 2,063 | ||||||
XLIT | ||||||||
6.500%, 12/31/2049 (H) | 1,105 | 765 | ||||||
York Risk Services Holding | ||||||||
8.500%, 10/01/2022 (A) | 2,250 | 1,440 | ||||||
|
| |||||||
128,162 | ||||||||
|
| |||||||
Health Care — 9.1% | ||||||||
21st Century Oncology | ||||||||
11.000%, 05/01/2023 (A) | 605 | 515 | ||||||
Acadia Healthcare | ||||||||
6.500%, 03/01/2024 (A) | 611 | 635 | ||||||
5.625%, 02/15/2023 | 1,170 | 1,188 | ||||||
5.125%, 07/01/2022 | 1,600 | 1,616 | ||||||
Alere | ||||||||
6.500%, 06/15/2020 | 215 | 219 | ||||||
6.375%, 07/01/2023 (A) | 305 | 320 | ||||||
Alphabet Holding PIK | ||||||||
7.750%, 11/01/2017 | 1,960 | 1,975 | ||||||
Amsurg | ||||||||
5.625%, 11/30/2020 | 700 | 723 | ||||||
5.625%, 07/15/2022 | 4,195 | 4,321 | ||||||
Aurora Diagnostics Holdings | ||||||||
10.750%, 01/15/2018 | 4,385 | 3,508 | ||||||
Centene Escrow | ||||||||
6.125%, 02/15/2024 (A) | 923 | 972 | ||||||
5.625%, 02/15/2021 (A) | 926 | 965 | ||||||
CHS | ||||||||
8.000%, 11/15/2019 | 725 | 706 | ||||||
7.125%, 07/15/2020 | 2,650 | 2,504 | ||||||
6.875%, 02/01/2022 | 1,364 | 1,231 | ||||||
Concordia Healthcare | ||||||||
9.500%, 10/21/2022 (A) | 500 | 484 | ||||||
7.000%, 04/15/2023 (A) | 2,000 | 1,715 | ||||||
Crimson Merger | ||||||||
6.625%, 05/15/2022 (A) | 1,655 | 1,235 | ||||||
DaVita HealthCare Partners | ||||||||
5.125%, 07/15/2024 | 2,465 | 2,490 | ||||||
5.000%, 05/01/2025 | 6,175 | 6,113 | ||||||
DJO Finco | ||||||||
8.125%, 06/15/2021 (A) | 1,510 | 1,336 | ||||||
DPx Holdings | ||||||||
7.500%, 02/01/2022 (A) | 530 | 527 | ||||||
Endo | ||||||||
6.000%, 07/15/2023 (A) | 1,397 | 1,315 | ||||||
ExamWorks Group | ||||||||
5.625%, 04/15/2023 | 1,680 | 1,714 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Fresenius Medical Care US Finance II | ||||||||
5.625%, 07/31/2019 (A) | $ | 1,375 | $ | 1,500 | ||||
4.750%, 10/15/2024 (A) | 800 | 813 | ||||||
4.125%, 10/15/2020 (A) | 2,250 | 2,295 | ||||||
Grifols Worldwide Operations | ||||||||
5.250%, 04/01/2022 | 2,370 | 2,435 | ||||||
HCA | ||||||||
7.500%, 02/15/2022 | 5,682 | 6,435 | ||||||
5.875%, 05/01/2023 | 3,405 | 3,571 | ||||||
5.875%, 02/15/2026 | 2,715 | 2,796 | ||||||
5.375%, 02/01/2025 | 6,100 | 6,167 | ||||||
5.250%, 04/15/2025 | 2,495 | 2,570 | ||||||
5.250%, 06/15/2026 | 2,253 | 2,309 | ||||||
5.000%, 03/15/2024 | 863 | 883 | ||||||
HealthSouth | ||||||||
5.750%, 11/01/2024 | 2,753 | 2,789 | ||||||
5.750%, 09/15/2025 | 2,037 | 2,058 | ||||||
5.125%, 03/15/2023 | 463 | 461 | ||||||
Hill-Rom Holdings | ||||||||
5.750%, 09/01/2023 (A) | 2,035 | 2,106 | ||||||
Hologic | ||||||||
5.250%, 07/15/2022 (A) | 705 | 735 | ||||||
IASIS Healthcare | ||||||||
8.375%, 05/15/2019 | 4,112 | 4,055 | ||||||
Immucor | ||||||||
11.125%, 08/15/2019 | 520 | 478 | ||||||
IMS Health | ||||||||
6.000%, 11/01/2020 (A) | 685 | 704 | ||||||
inVentiv Health | ||||||||
10.000%, 08/15/2018 | 388 | 377 | ||||||
9.000%, 01/15/2018 (A) | 980 | 1,012 | ||||||
inVentiv Health PIK | ||||||||
10.000%, 08/15/2018 (A) | 640 | 646 | ||||||
Ironwood Pharmaceuticals | ||||||||
11.000%, 06/15/2024 (A) | 2,489 | 2,570 | ||||||
Jaguar Holding II | ||||||||
6.375%, 08/01/2023 (A) | 530 | 544 | ||||||
JLL PIK | ||||||||
8.750%, 05/01/2020 (A) | 200 | 195 | ||||||
Kindred Healthcare | ||||||||
8.750%, 01/15/2023 | 595 | 570 | ||||||
8.000%, 01/15/2020 | 825 | 819 | ||||||
6.375%, 04/15/2022 | 3,975 | 3,582 | ||||||
Kinetic Concepts | ||||||||
12.500%, 11/01/2019 | 430 | 374 | ||||||
10.500%, 11/01/2018 | 1,965 | 1,970 | ||||||
7.875%, 02/15/2021 (A) | 882 | 933 | ||||||
LifePoint Health | ||||||||
5.875%, 12/01/2023 | 1,355 | 1,416 | ||||||
LifePoint Hospitals | ||||||||
5.500%, 12/01/2021 | 2,940 | 3,072 |
122 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Mallinckrodt International Finance | ||||||||
5.750%, 08/01/2022 (A) | $ | 1,965 | $ | 1,810 | ||||
5.625%, 10/15/2023 (A) | 690 | 626 | ||||||
5.500%, 04/15/2025 (A) | 1,791 | 1,581 | ||||||
4.875%, 04/15/2020 (A) | 409 | 383 | ||||||
4.750%, 04/15/2023 | 2,076 | 1,703 | ||||||
MEDNAX | ||||||||
5.250%, 12/01/2023 (A) | 1,500 | 1,560 | ||||||
Molina Healthcare | ||||||||
5.375%, 11/15/2022 (A) | 406 | 417 | ||||||
MPH Acquisition Holdings | ||||||||
6.625%, 04/01/2022 (A) | 1,140 | 1,186 | ||||||
Opal Acquisition | ||||||||
8.875%, 12/15/2021 (A) | 3,700 | 2,581 | ||||||
Prestige Brands | ||||||||
6.375%, 03/01/2024 (A) | 220 | 230 | ||||||
5.375%, 12/15/2021 (A) | 1,225 | 1,240 | ||||||
Quintiles Transnational | ||||||||
4.875%, 05/15/2023 (A) | 1,980 | 2,031 | ||||||
Select Medical | ||||||||
6.375%, 06/01/2021 | 1,950 | 1,843 | ||||||
Sterigenics-Nordion Holdings | ||||||||
6.500%, 05/15/2023 (A) | 1,300 | 1,297 | ||||||
Surgical Care Affiliates | ||||||||
6.000%, 04/01/2023 (A) | 667 | 672 | ||||||
Team Health | ||||||||
7.250%, 12/15/2023 (A) | 1,005 | 1,075 | ||||||
Tenet Healthcare | ||||||||
8.125%, 04/01/2022 | 3,160 | 3,251 | ||||||
8.000%, 08/01/2020 | 660 | 679 | ||||||
6.750%, 02/01/2020 | 1,861 | 1,861 | ||||||
6.750%, 06/15/2023 | 6,891 | 6,598 | ||||||
6.000%, 10/01/2020 | 455 | 484 | ||||||
5.500%, 03/01/2019 | 1,323 | 1,310 | ||||||
4.750%, 06/01/2020 | 115 | 118 | ||||||
4.500%, 04/01/2021 | 260 | 261 | ||||||
4.134%, 06/15/2020 | 545 | 541 | ||||||
Truven Health Analytics | ||||||||
10.625%, 06/01/2020 | 1,591 | 1,697 | ||||||
Valeant Pharmaceuticals International | ||||||||
7.250%, 07/15/2022 (A) | 1,033 | 826 | ||||||
7.000%, 10/01/2020 (A) | 2,770 | 2,327 | ||||||
6.750%, 08/15/2021 (A) | 905 | 738 | ||||||
6.125%, 04/15/2025 (A) | 3,516 | 2,707 | ||||||
5.875%, 05/15/2023 (A) | 2,231 | 1,749 | ||||||
5.500%, 03/01/2023 (A) | 3,193 | 2,510 | ||||||
5.375%, 03/15/2020 (A) | 351 | 286 | ||||||
Valeant Pharmaceuticals International Escrow | ||||||||
7.500%, 07/15/2021 (A) | 4,980 | 4,149 | ||||||
Vizient | ||||||||
10.375%, 03/01/2024 (A) | 910 | 976 | ||||||
|
| |||||||
154,870 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Industrials — 7.3% | ||||||||
ACCO Brands | ||||||||
6.750%, 04/30/2020 | $ | 955 | $ | 1,010 | ||||
Actuant | ||||||||
5.625%, 06/15/2022 | 3,000 | 3,045 | ||||||
ADT | ||||||||
6.250%, 10/15/2021 | 1,200 | 1,206 | ||||||
3.500%, 07/15/2022 | 955 | 826 | ||||||
AECOM | ||||||||
5.875%, 10/15/2024 | 330 | 340 | ||||||
5.750%, 10/15/2022 | 135 | 140 | ||||||
AerCap Ireland Capital | ||||||||
4.625%, 10/30/2020 | 310 | 318 | ||||||
4.625%, 07/01/2022 | 275 | 280 | ||||||
4.500%, 05/15/2021 | 2,637 | 2,695 | ||||||
Air Medical Merger | ||||||||
6.375%, 05/15/2023 (A) | 2,870 | 2,691 | ||||||
Aircastle | ||||||||
7.625%, 04/15/2020 | 210 | 237 | ||||||
5.125%, 03/15/2021 | 110 | 114 | ||||||
5.000%, 04/01/2023 | 525 | 528 | ||||||
Algeco Scotsman Global Finance | ||||||||
8.500%, 10/15/2018 (A) | 2,385 | 1,836 | ||||||
Allegion | ||||||||
5.875%, 09/15/2023 | 435 | 458 | ||||||
Allegion US Holding | ||||||||
5.750%, 10/01/2021 | 1,031 | 1,080 | ||||||
American Builders & Contractors Supply | ||||||||
5.750%, 12/15/2023 (A) | 665 | 690 | ||||||
5.625%, 04/15/2021 (A) | 700 | 721 | ||||||
American Tire Distributors | ||||||||
10.250%, 03/01/2022 (A) | 1,115 | 1,003 | ||||||
APX Group | ||||||||
8.750%, 12/01/2020 | 6,555 | 5,653 | ||||||
6.375%, 12/01/2019 | 940 | 943 | ||||||
Associated Materials | ||||||||
9.125%, 11/01/2017 | 385 | 291 | ||||||
Avis Budget Car Rental | ||||||||
6.375%, 04/01/2024 (A) | 275 | 276 | ||||||
5.500%, 04/01/2023 | 960 | 931 | ||||||
5.250%, 03/15/2025 (A) | 1,470 | 1,345 | ||||||
5.125%, 06/01/2022 (A) | 110 | 104 | ||||||
Beacon Roofing Supply | ||||||||
6.375%, 10/01/2023 (A) | 895 | 949 | ||||||
BlueLine Rental Finance | ||||||||
7.000%, 02/01/2019 (A) | 865 | 797 | ||||||
Bombardier | ||||||||
7.500%, 03/15/2025 (A) | 1,195 | 908 | ||||||
Builders FirstSource | ||||||||
10.750%, 08/15/2023 (A) | 1,440 | 1,451 | ||||||
7.625%, 06/01/2021 (A) | 1,218 | 1,267 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 123 |
SCHEDULE OF INVESTMENTS (Unaudited)
High-Yield Bond Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CDW | ||||||||
5.500%, 12/01/2024 | $ | 563 | $ | 580 | ||||
5.000%, 09/01/2023 | 1,750 | 1,767 | ||||||
CEB | ||||||||
5.625%, 06/15/2023 (A) | 200 | 203 | ||||||
Cenveo | ||||||||
8.500%, 09/15/2022 (A) | 5,400 | 1,836 | ||||||
6.000%, 08/01/2019 (A) | 4,380 | 3,186 | ||||||
Ceridian HCM Holding | ||||||||
11.000%, 03/15/2021 (A) | 819 | 770 | ||||||
CEVA Group | ||||||||
7.000%, 03/01/2021 (A) | 950 | 758 | ||||||
Clean Harbors | ||||||||
5.250%, 08/01/2020 | 1,793 | 1,838 | ||||||
5.125%, 06/01/2021 (A) | 260 | 263 | ||||||
CNH Industrial Capital | ||||||||
4.875%, 04/01/2021 | 730 | 727 | ||||||
4.375%, 11/06/2020 | 685 | 673 | ||||||
DigitalGlobe | ||||||||
5.250%, 02/01/2021 (A) | 4,375 | 3,981 | ||||||
EnPro Industries | ||||||||
5.875%, 09/15/2022 | 222 | 226 | ||||||
FGI Operating | ||||||||
7.875%, 05/01/2020 | 930 | 558 | ||||||
Florida East Coast Holdings | ||||||||
6.750%, 05/01/2019 (A) | 2,139 | 2,139 | ||||||
Gardner Denver | ||||||||
6.875%, 08/15/2021 (A) | 1,827 | 1,494 | ||||||
GCP Applied Technologies | ||||||||
9.500%, 02/01/2023 (A) | 989 | 1,073 | ||||||
GenCorp | ||||||||
7.125%, 03/15/2021 | 1,200 | 1,245 | ||||||
General Cable | ||||||||
5.750%, 10/01/2022 | 990 | 782 | ||||||
GFL Environmental | ||||||||
9.875%, 02/01/2021 (A) | 820 | 853 | ||||||
Global A&T Electronics | ||||||||
10.000%, 02/01/2019 (A) | 400 | 254 | ||||||
Great Lakes Dredge & Dock | ||||||||
7.375%, 02/01/2019 | 1,087 | 1,030 | ||||||
H&E Equipment Services | ||||||||
7.000%, 09/01/2022 | 835 | 848 | ||||||
HD Supply | ||||||||
11.500%, 07/15/2020 | 435 | 483 | ||||||
7.500%, 07/15/2020 | 1,567 | 1,663 | ||||||
5.750%, 04/15/2024 (A) | 3,120 | 3,206 | ||||||
5.250%, 12/15/2021 (A) | 590 | 619 | ||||||
Hertz | ||||||||
7.500%, 10/15/2018 | 265 | 269 | ||||||
7.375%, 01/15/2021 | 365 | 372 | ||||||
6.250%, 10/15/2022 | 1,170 | 1,170 | ||||||
5.875%, 10/15/2020 | 670 | 678 | ||||||
Huntington Ingalls Industries | ||||||||
5.000%, 11/15/2025 (A) | 1,251 | 1,309 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Icahn Enterprises | ||||||||
5.875%, 02/01/2022 | $ | 1,615 | $ | 1,532 | ||||
4.875%, 03/15/2019 | 1,632 | 1,567 | ||||||
International Lease Finance | ||||||||
6.250%, 05/15/2019 | 800 | 853 | ||||||
5.875%, 04/01/2019 | 1,455 | 1,537 | ||||||
5.875%, 08/15/2022 | 1,060 | 1,150 | ||||||
4.625%, 04/15/2021 | 35 | 36 | ||||||
Jack Cooper Holdings | ||||||||
9.250%, 06/01/2020 (A) | 1,095 | 772 | ||||||
James Hardie International Finance | ||||||||
5.875%, 02/15/2023 (A) | 1,585 | 1,601 | ||||||
JCH Parent PIK | ||||||||
10.500%, 03/15/2019 (A) | 422 | 215 | ||||||
KLX | ||||||||
5.875%, 12/01/2022 (A) | 2,075 | 2,065 | ||||||
Kratos Defense & Security Solutions | ||||||||
7.000%, 05/15/2019 | 731 | 581 | ||||||
Manitowoc Foodservice | ||||||||
9.500%, 02/15/2024 (A) | 585 | 638 | ||||||
Masonite International | ||||||||
5.625%, 03/15/2023 (A) | 475 | 496 | ||||||
NCI Building Systems | ||||||||
8.250%, 01/15/2023 (A) | 680 | 716 | ||||||
Nielsen Finance | ||||||||
5.000%, 04/15/2022 (A) | 5,445 | 5,581 | ||||||
Nielsen Luxembourg | ||||||||
5.500%, 10/01/2021 (A) | 205 | 213 | ||||||
Nortek | ||||||||
8.500%, 04/15/2021 | 1,700 | 1,764 | ||||||
OPE KAG Finance | ||||||||
7.875%, 07/31/2023 (A) | 980 | 978 | ||||||
Orbital ATK | ||||||||
5.250%, 10/01/2021 | 475 | 493 | ||||||
Oshkosh | ||||||||
5.375%, 03/01/2022 | 420 | 428 | ||||||
5.375%, 03/01/2025 | 170 | 171 | ||||||
RR Donnelley & Sons | ||||||||
7.625%, 06/15/2020 | 953 | 960 | ||||||
RSC Equipment Rental | ||||||||
8.250%, 02/01/2021 | 341 | 356 | ||||||
Sensata Technologies | ||||||||
5.625%, 11/01/2024 (A) | 395 | 411 | ||||||
5.000%, 10/01/2025 (A) | 1,174 | 1,183 | ||||||
4.875%, 10/15/2023 (A) | 1,730 | 1,738 | ||||||
Sensata Technologies UK Financing | ||||||||
6.250%, 02/15/2026 (A) | 1,985 | 2,114 | ||||||
Standard Industries | ||||||||
6.000%, 10/15/2025 (A) | 645 | 682 | ||||||
5.500%, 02/15/2023 (A) | 471 | 482 | ||||||
5.125%, 02/15/2021 (A) | 296 | 303 |
124 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
StandardAero Aviation Holdings | ||||||||
10.000%, 07/15/2023 (A) | $ | 4,875 | $ | 4,656 | ||||
Summit Materials | ||||||||
8.500%, 04/15/2022 (A) | 415 | 427 | ||||||
6.125%, 07/15/2023 | 1,270 | 1,207 | ||||||
Terex | ||||||||
6.500%, 04/01/2020 | 480 | 463 | ||||||
6.000%, 05/15/2021 | 3,140 | 3,038 | ||||||
TransDigm | ||||||||
6.500%, 07/15/2024 | 840 | 833 | ||||||
6.500%, 05/15/2025 | 825 | 806 | ||||||
6.000%, 07/15/2022 | 375 | 374 | ||||||
Triumph Group | ||||||||
4.875%, 04/01/2021 | 860 | 780 | ||||||
United Air Lines, Ser 95A1 | ||||||||
9.020%, 04/19/2012 (B) | — | — | ||||||
3.000%, 10/19/2018 (B) | — | — | ||||||
United Airlines Pass-Through Trust, Ser 2013-1, Cl B | ||||||||
5.375%, 08/15/2021 | 1,295 | 1,328 | ||||||
United Rentals North America | ||||||||
7.625%, 04/15/2022 | 680 | 724 | ||||||
6.125%, 06/15/2023 | 680 | 702 | ||||||
5.750%, 11/15/2024 | 1,240 | 1,240 | ||||||
5.500%, 07/15/2025 | 1,245 | 1,239 | ||||||
Univar | ||||||||
6.750%, 07/15/2023 (A) | 396 | 387 | ||||||
USG | ||||||||
5.500%, 03/01/2025 (A) | 2,005 | 2,085 | ||||||
Vander Intermediate Holding II PIK | ||||||||
9.750%, 02/01/2019 (A) | 495 | 366 | ||||||
XPO Logistics | ||||||||
6.500%, 06/15/2022 (A) | 2,100 | 2,040 | ||||||
|
| |||||||
125,297 | ||||||||
|
| |||||||
Information Technology — 6.7% |
| |||||||
ACI Worldwide | ||||||||
6.375%, 08/15/2020 (A) | 510 | 523 | ||||||
Activision Blizzard | ||||||||
5.625%, 09/15/2021 (A) | 3,500 | 3,679 | ||||||
Advanced Micro Devices | ||||||||
7.750%, 08/01/2020 | 2,930 | 2,036 | ||||||
7.500%, 08/15/2022 | 2,430 | 1,665 | ||||||
7.000%, 07/01/2024 | 3,160 | 2,070 | ||||||
Aegis Merger | ||||||||
10.250%, 02/15/2023 (A) | 1,908 | 1,803 | ||||||
Amkor Technology | ||||||||
6.625%, 06/01/2021 | 556 | 528 | ||||||
6.375%, 10/01/2022 | 1,630 | 1,557 | ||||||
Anixter | ||||||||
5.500%, 03/01/2023 (A) | 1,675 | 1,696 | ||||||
Aspect Software | ||||||||
10.625%, 05/15/2017 (B) | 785 | 275 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Avaya | ||||||||
10.500%, 03/01/2021 (A) | $ | 699 | $ | 215 | ||||
9.000%, 04/01/2019 (A) | 2,220 | 1,499 | ||||||
7.000%, 04/01/2019 (A) | 1,140 | 769 | ||||||
Bankrate | ||||||||
6.125%, 08/15/2018 (A) | 2,296 | 2,296 | ||||||
Belden | ||||||||
5.500%, 09/01/2022 (A) | 845 | 849 | ||||||
Blackboard | ||||||||
7.750%, 11/15/2019 (A) | 340 | 274 | ||||||
BMC Software Finance | ||||||||
8.125%, 07/15/2021 (A) | 6,930 | 4,990 | ||||||
Boxer Parent PIK | ||||||||
9.000%, 10/15/2019 (A) | 4,470 | 3,084 | ||||||
Cimpress | ||||||||
7.000%, 04/01/2022 (A) | 237 | 235 | ||||||
CommScope | ||||||||
5.500%, 06/15/2024 (A) | 2,436 | 2,460 | ||||||
CommScope Technologies Finance | ||||||||
6.000%, 06/15/2025 (A) | 2,597 | 2,621 | ||||||
Denali International | ||||||||
5.625%, 10/15/2020 (A) | 805 | 849 | ||||||
EarthLink Holdings | ||||||||
7.375%, 06/01/2020 | 1,950 | 2,018 | ||||||
Emdeon | ||||||||
6.000%, 02/15/2021 (A) | 1,300 | 1,268 | ||||||
Entegris | ||||||||
6.000%, 04/01/2022 (A) | 1,535 | 1,558 | ||||||
First Data | ||||||||
7.000%, 12/01/2023 (A) | 4,155 | 4,197 | ||||||
6.750%, 11/01/2020 (A) | 1,096 | 1,152 | ||||||
5.750%, 01/15/2024 (A) | 4,993 | 4,993 | ||||||
5.375%, 08/15/2023 (A) | 1,845 | 1,891 | ||||||
5.000%, 01/15/2024 (A) | 5,167 | 5,173 | ||||||
Hughes Satellite Systems | ||||||||
7.625%, 06/15/2021 | 2,100 | 2,342 | ||||||
Infor Software Parent | ||||||||
7.125%, 05/01/2021 (A) | 1,928 | 1,441 | ||||||
Infor US | ||||||||
6.500%, 05/15/2022 | 4,128 | 3,757 | ||||||
5.750%, 08/15/2020 (A) | 400 | 412 | ||||||
Informatica | ||||||||
7.125%, 07/15/2023 (A) | 855 | 825 | ||||||
Magnachip Semiconductor | ||||||||
6.625%, 07/15/2021 | 915 | 659 | ||||||
Micron Technology | ||||||||
5.875%, 02/15/2022 | 1,740 | 1,505 | ||||||
5.500%, 02/01/2025 | 560 | 454 | ||||||
5.250%, 01/15/2024 (A) | 1,260 | 1,014 | ||||||
Microsemi | ||||||||
9.125%, 04/15/2023 (A) | 1,905 | 2,091 | ||||||
NCR | ||||||||
5.000%, 07/15/2022 | 2,015 | 1,995 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 125 |
SCHEDULE OF INVESTMENTS (Unaudited)
High-Yield Bond Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
NeuStar | ||||||||
4.500%, 01/15/2023 | $ | 1,985 | $ | 1,618 | ||||
Nortel Networks | ||||||||
9.003%, 07/15/2011 (B) | 1,605 | 1,400 | ||||||
NXP Funding | ||||||||
5.750%, 02/15/2021 (A) | 3,030 | 3,174 | ||||||
5.750%, 03/15/2023 (A) | 1,685 | 1,782 | ||||||
Plantronics | ||||||||
5.500%, 05/31/2023 (A) | 590 | 580 | ||||||
Qorvo | ||||||||
7.000%, 12/01/2025 (A) | 1,340 | 1,393 | ||||||
6.750%, 12/01/2023 (A) | 1,072 | 1,107 | ||||||
Riverbed Technology | ||||||||
8.875%, 03/01/2023 (A) | 1,060 | 1,055 | ||||||
Sabre GLBL | ||||||||
5.375%, 04/15/2023 (A) | 650 | 667 | ||||||
5.250%, 11/15/2023 (A) | 2,380 | 2,421 | ||||||
Solera | ||||||||
10.500%, 03/01/2024 (A) | 2,610 | 2,623 | ||||||
SPCM | ||||||||
6.000%, 01/15/2022 (A) | 1,311 | 1,336 | ||||||
SS&C Technologies Holdings | ||||||||
5.875%, 07/15/2023 (A) | 1,770 | 1,828 | ||||||
VeriSign | ||||||||
4.625%, 05/01/2023 | 1,300 | 1,313 | ||||||
Western Digital | ||||||||
10.500%, 04/01/2024 (A) | 4,156 | 4,166 | ||||||
7.375%, 04/01/2023 (A) | 3,729 | 3,804 | ||||||
WEX | ||||||||
4.750%, 02/01/2023 (A) | 2,230 | 1,962 | ||||||
Zayo Group | ||||||||
6.375%, 05/15/2025 | 555 | 542 | ||||||
6.000%, 04/01/2023 | 5,947 | 5,936 | ||||||
Zebra Technologies | ||||||||
7.250%, 10/15/2022 | 1,405 | 1,524 | ||||||
|
| |||||||
114,949 | ||||||||
|
| |||||||
Materials — 6.6% | ||||||||
AK Steel | ||||||||
8.750%, 12/01/2018 | 584 | 560 | ||||||
7.625%, 05/15/2020 | 1,910 | 1,194 | ||||||
Albea Beauty Holdings | ||||||||
8.375%, 11/01/2019 (A) | 940 | 989 | ||||||
Alcoa | ||||||||
6.750%, 01/15/2028 | 110 | 107 | ||||||
5.125%, 10/01/2024 | 2,167 | 2,056 | ||||||
Aleris International | ||||||||
9.500%, 04/01/2021 (A) | 1,642 | 1,674 | ||||||
ArcelorMittal | ||||||||
10.850%, 06/01/2019 | 360 | 402 | ||||||
6.500%, 03/01/2021 | 1,313 | 1,293 | ||||||
6.125%, 06/01/2025 | 1,869 | 1,729 | ||||||
Ardagh Finance Holdings | ||||||||
8.625%, 06/15/2019 (A) | 582 | 562 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ardagh Packaging Finance | ||||||||
9.125%, 10/15/2020 (A) | $ | 1,835 | $ | 1,899 | ||||
7.000%, 11/15/2020 (A) | 77 | 73 | ||||||
6.750%, 01/31/2021 (A) | 225 | 218 | ||||||
6.000%, 06/30/2021 (A) | 2,383 | 2,264 | ||||||
3.634%, 12/15/2019 (A) (H) | 695 | 684 | ||||||
Ashland | ||||||||
4.750%, 08/15/2022 | 1,460 | 1,482 | ||||||
Axalta Coating Systems US Holdings | ||||||||
7.375%, 05/01/2021 (A) | 365 | 387 | ||||||
Ball | ||||||||
5.250%, 07/01/2025 | 4,042 | 4,244 | ||||||
5.000%, 03/15/2022 | 1,150 | 1,202 | ||||||
4.375%, 12/15/2020 | 440 | 458 | ||||||
Berry Plastics | ||||||||
6.000%, 10/15/2022 (A) | 258 | 271 | ||||||
5.125%, 07/15/2023 | 55 | 55 | ||||||
BHP Billiton Finance USA | ||||||||
6.250%, 10/19/2075 | 345 | 348 | ||||||
Blue Cube Spinco | ||||||||
9.750%, 10/15/2023 (A) | 3,368 | 3,848 | ||||||
Boart Longyear Management Properties | ||||||||
10.000%, 10/01/2018 (A) | 2,000 | 1,400 | ||||||
7.000%, 04/01/2021 (A) | 4,090 | 1,432 | ||||||
BWAY Holding | ||||||||
9.125%, 08/15/2021 (A) | 1,479 | 1,320 | ||||||
Cemex | ||||||||
7.750%, 04/16/2026 (A) | 445 | 456 | ||||||
7.250%, 01/15/2021 (A) | 1,405 | 1,461 | ||||||
Chemours | ||||||||
7.000%, 05/15/2025 (A) | 587 | 470 | ||||||
6.625%, 05/15/2023 (A) | 1,005 | 819 | ||||||
Constellium | ||||||||
7.875%, 04/01/2021 (A) | 3,193 | 3,190 | ||||||
5.750%, 05/15/2024 (A) | 250 | 180 | ||||||
Cornerstone Chemical | ||||||||
9.375%, 03/15/2018 (A) | 5,530 | 5,157 | ||||||
First Quantum Minerals | ||||||||
7.250%, 10/15/2019 (A) | 438 | 314 | ||||||
6.750%, 02/15/2020 (A) | 1,670 | 1,144 | ||||||
FMG Resources | ||||||||
6.875%, 04/01/2022 (A) | 580 | 464 | ||||||
Freeport-McMoRan | ||||||||
5.450%, 03/15/2043 | 1,675 | 1,026 | ||||||
2.300%, 11/14/2017 | 745 | 687 | ||||||
Freeport-McMoran Oil & Gas | ||||||||
6.500%, 11/15/2020 | 2,155 | 1,724 | ||||||
Graphic Packaging International | ||||||||
4.750%, 04/15/2021 | 1,067 | 1,107 | ||||||
Hecla Mining | ||||||||
6.875%, 05/01/2021 | 1,546 | 1,245 |
126 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hexion | ||||||||
10.000%, 04/15/2020 | $ | 3,359 | $ | 3,023 | ||||
Hexion US Finance | ||||||||
8.875%, 02/01/2018 | 635 | 435 | ||||||
6.625%, 04/15/2020 | 7,365 | 6,113 | ||||||
Huntsman International | ||||||||
5.125%, 11/15/2022 (A) | 695 | 674 | ||||||
4.875%, 11/15/2020 | 870 | 861 | ||||||
IAMGOLD | ||||||||
6.750%, 10/01/2020 (A) | 4,980 | 3,785 | ||||||
INEOS Group Holdings | ||||||||
5.875%, 02/15/2019 (A) | 1,775 | 1,788 | ||||||
Joseph T Ryerson & Son | ||||||||
11.250%, 10/15/2018 | 330 | 221 | ||||||
Kissner Milling | ||||||||
7.250%, 06/01/2019 (A) | 590 | 553 | ||||||
Kraton Polymers | ||||||||
10.500%, 04/15/2023 (A) | 600 | 566 | ||||||
LSB Industries | ||||||||
7.750%, 08/01/2019 | 1,080 | 991 | ||||||
Mirabela Nickel | ||||||||
1.000%, 07/31/2044 | 31 | — | ||||||
New Gold | ||||||||
7.000%, 04/15/2020 (A) | 1,055 | 1,007 | ||||||
6.250%, 11/15/2022 (A) | 1,777 | 1,502 | ||||||
Nexeo Solutions | ||||||||
8.375%, 03/01/2018 | 630 | 629 | ||||||
Noranda Aluminum Acquisition | ||||||||
11.000%, 06/01/2019 (B) | 355 | 4 | ||||||
NOVA Chemicals | ||||||||
5.000%, 05/01/2025 (A) | 2,225 | 2,164 | ||||||
Novelis | ||||||||
8.375%, 12/15/2017 | 423 | 430 | ||||||
Owens-Brockway Glass Container | ||||||||
6.375%, 08/15/2025 (A) | 600 | 631 | ||||||
5.875%, 08/15/2023 (A) | 460 | 479 | ||||||
Plastipak Holdings | ||||||||
6.500%, 10/01/2021 (A) | 1,235 | 1,204 | ||||||
Platform Specialty Products | ||||||||
10.375%, 05/01/2021 (A) | 69 | 67 | ||||||
Rain CII Carbon | ||||||||
8.250%, 01/15/2021 (A) | 5,280 | 3,749 | ||||||
8.000%, 12/01/2018 (A) | 1,825 | 1,515 | ||||||
Rayonier AM Products | ||||||||
5.500%, 06/01/2024 (A) | 798 | 654 | ||||||
Reichhold Holdings | ||||||||
12.000%, 03/31/2017 (C) | 797 | 797 | ||||||
Reichhold Industries | ||||||||
15.000%, 03/13/2017 (C) | 450 | 450 | ||||||
12.000%, 03/31/2017 (C) | 290 | 290 | ||||||
9.000%, 05/08/2017 (A) (B) | 859 | — | ||||||
Rentech Nitrogen Partners | ||||||||
6.500%, 04/15/2021(A) | 340 | 335 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Reynolds Group | ||||||||
9.875%, 08/15/2019 | $ | 1,821 | $ | 1,886 | ||||
9.000%, 04/15/2019 | 1,086 | 1,100 | ||||||
8.250%, 02/15/2021 | 3,044 | 3,120 | ||||||
6.875%, 02/15/2021 | 1,775 | 1,837 | ||||||
5.750%, 10/15/2020 | 4,045 | 4,151 | ||||||
Sappi Papier Holdings | ||||||||
7.750%, 07/15/2017 (A) | 300 | 314 | ||||||
Scotts Miracle-Gro | ||||||||
6.000%, 10/15/2023 (A) | 1,520 | 1,604 | ||||||
Sealed Air | ||||||||
4.875%, 12/01/2022 (A) | 332 | 345 | ||||||
Signode Industrial Group | ||||||||
6.375%, 05/01/2022 (A) | 5,590 | 5,080 | ||||||
Smurfit Kappa Acquisitions | ||||||||
4.875%, 09/15/2018 (A) | 1,400 | 1,447 | ||||||
Steel Dynamics | ||||||||
5.500%, 10/01/2024 | 1,040 | 1,053 | ||||||
TPC Group | ||||||||
8.750%, 12/15/2020 (A) | 1,009 | 706 | ||||||
Trinseo Materials Operating | ||||||||
6.750%, 05/01/2022 (A) | 200 | 200 | ||||||
Unifrax I | ||||||||
7.500%, 02/15/2019 (A) | 600 | 371 | ||||||
United States Steel | ||||||||
7.000%, 02/01/2018 | 627 | 564 | ||||||
WR Grace & Co. | ||||||||
5.625%, 10/01/2024 (A) | 80 | 83 | ||||||
5.125%, 10/01/2021 (A) | 1,552 | 1,614 | ||||||
|
| |||||||
111,987 | ||||||||
|
| |||||||
Telecommunication Services — 6.7% |
| |||||||
CenturyLink | ||||||||
7.500%, 04/01/2024 | 1,672 | 1,676 | ||||||
6.750%, 12/01/2023 | 3,910 | 3,802 | ||||||
5.800%, 03/15/2022 | 1,035 | 996 | ||||||
5.625%, 04/01/2020 | 1,120 | 1,135 | ||||||
5.625%, 04/01/2025 | 1,369 | 1,225 | ||||||
Clearwire Communications | ||||||||
8.250%, 12/01/2040 (A) | 371 | 369 | ||||||
Cogent Communications Finance | ||||||||
5.625%, 04/15/2021 (A) | 1,880 | 1,819 | ||||||
Cogent Communications Group | ||||||||
5.375%, 03/01/2022 (A) | 1,113 | 1,094 | ||||||
Columbus International | ||||||||
7.375%, 03/30/2021 (A) | 2,345 | 2,480 | ||||||
Digicel | ||||||||
6.000%, 04/15/2021 (A) | 995 | 891 | ||||||
Digicel Group | ||||||||
8.250%, 09/30/2020 (A) | 4,085 | 3,503 | ||||||
6.750%, 03/01/2023 (A) | 2,415 | 2,131 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 127 |
SCHEDULE OF INVESTMENTS (Unaudited)
High-Yield Bond Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Frontier Communications | ||||||||
11.000%, 09/15/2025 (A) | $ | 9,984 | $ | 10,034 | ||||
10.500%, 09/15/2022 (A) | 4,472 | 4,584 | ||||||
8.875%, 09/15/2020 (A) | 975 | 1,013 | ||||||
7.625%, 04/15/2024 | 1,726 | 1,532 | ||||||
7.125%, 01/15/2023 | 950 | 840 | ||||||
6.875%, 01/15/2025 | 315 | 266 | ||||||
6.250%, 09/15/2021 | 160 | 148 | ||||||
GCI | ||||||||
6.750%, 06/01/2021 | 625 | 638 | ||||||
Gray Television | ||||||||
7.500%, 10/01/2020 | 1,845 | 1,946 | ||||||
Intelsat Jackson Holdings | ||||||||
8.000%, 02/15/2024 (A) | 1,676 | 1,726 | ||||||
7.500%, 04/01/2021 | 1,855 | 1,178 | ||||||
7.250%, 04/01/2019 | 445 | 328 | ||||||
7.250%, 10/15/2020 | 4,435 | 2,861 | ||||||
6.625%, 12/15/2022 | 1,147 | 614 | ||||||
5.500%, 08/01/2023 | 2,445 | 1,473 | ||||||
Intelsat Luxembourg | ||||||||
7.750%, 06/01/2021 | 3,890 | 1,157 | ||||||
Level 3 Communications | ||||||||
5.750%, 12/01/2022 | 505 | 521 | ||||||
Level 3 Financing | ||||||||
5.625%, 02/01/2023 | 65 | 67 | ||||||
5.375%, 01/15/2024 (A) | 1,652 | 1,673 | ||||||
5.375%, 05/01/2025 | 4,757 | 4,816 | ||||||
5.125%, 05/01/2023 | 2,067 | 2,090 | ||||||
Qwest Capital Funding | ||||||||
7.750%, 02/15/2031 | 550 | 459 | ||||||
Sable International Finance | ||||||||
6.875%, 08/01/2022 (A) | 650 | 650 | ||||||
SBA Communications | ||||||||
4.875%, 07/15/2022 | 780 | 790 | ||||||
SoftBank Group | ||||||||
6.000%, 07/30/2025 | 375 | 388 | ||||||
5.375%, 07/30/2022 | 265 | 275 | ||||||
4.500%, 04/15/2020 (A) | 2,251 | 2,282 | ||||||
Sprint | ||||||||
7.875%, 09/15/2023 | 9,840 | 7,526 | ||||||
7.625%, 02/15/2025 | 6,522 | 4,843 | ||||||
7.250%, 09/15/2021 | 2,356 | 1,799 | ||||||
7.125%, 06/15/2024 | 3,940 | 2,925 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/2032 | 3,745 | 2,931 | ||||||
6.900%, 05/01/2019 | 370 | 321 | ||||||
6.875%, 11/15/2028 | 5,544 | 4,047 | ||||||
Sprint Communications | ||||||||
9.000%, 11/15/2018 (A) | 715 | 749 | ||||||
7.000%, 03/01/2020 (A) | 445 | 445 | ||||||
Telecom Italia | ||||||||
5.303%, 05/30/2024 (A) | 860 | 881 | ||||||
T-Mobile USA | ||||||||
6.731%, 04/28/2022 | 2,020 | 2,110 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.633%, 04/28/2021 | $ | 330 | $ | 345 | ||||
6.625%, 04/01/2023 | 5,440 | 5,726 | ||||||
6.542%, 04/28/2020 | 875 | 903 | ||||||
6.500%, 01/15/2026 | 4,145 | 4,306 | ||||||
6.375%, 03/01/2025 | 420 | 430 | ||||||
6.000%, 03/01/2023 | 885 | 904 | ||||||
6.000%, 04/15/2024 | 1,275 | 1,291 | ||||||
United States Cellular | ||||||||
6.700%, 12/15/2033 | 585 | 526 | ||||||
Wind Acquisition Finance | ||||||||
7.375%, 04/23/2021 (A) | 2,110 | 1,910 | ||||||
4.750%, 07/15/2020 (A) | 850 | 803 | ||||||
Windstream | ||||||||
7.750%, 10/01/2021 | 3,085 | 2,516 | ||||||
7.500%, 06/01/2022 | 270 | 207 | ||||||
Windstream Services | ||||||||
6.375%, 08/01/2023 | 225 | 165 | ||||||
|
| |||||||
114,079 | ||||||||
|
| |||||||
Utilities — 1.4% | ||||||||
AES | ||||||||
7.375%, 07/01/2021 | 2,585 | 2,895 | ||||||
5.500%, 04/15/2025 | 1,165 | 1,124 | ||||||
4.875%, 05/15/2023 | 215 | 207 | ||||||
AmeriGas Finance | ||||||||
7.000%, 05/20/2022 | 4,057 | 4,158 | ||||||
Calpine | ||||||||
5.750%, 01/15/2025 | 616 | 592 | ||||||
5.500%, 02/01/2024 | 600 | 576 | ||||||
5.375%, 01/15/2023 | 580 | 562 | ||||||
Dynegy | ||||||||
7.625%, 11/01/2024 | 320 | 290 | ||||||
7.375%, 11/01/2022 | 640 | 592 | ||||||
5.875%, 06/01/2023 | 967 | 808 | ||||||
Enel | ||||||||
8.750%, 09/24/2073 (A) (H) | 728 | 810 | ||||||
Ferrellgas | ||||||||
6.500%, 05/01/2021 | 2,825 | 2,507 | ||||||
GenOn Americas Generation | ||||||||
9.125%, 05/01/2031 | 165 | 101 | ||||||
GenOn Energy | ||||||||
7.875%, 06/15/2017 | 373 | 280 | ||||||
LBC Tank Terminals Holding Netherlands | ||||||||
6.875%, 05/15/2023 (A) | 2,800 | 2,604 | ||||||
Mirant Americas Generation LLC | ||||||||
8.500%, 10/01/2021 | 3,850 | 2,512 | ||||||
NRG Energy | ||||||||
7.875%, 05/15/2021 | 215 | 214 | ||||||
6.250%, 07/15/2022 | 615 | 572 | ||||||
6.250%, 05/01/2024 | 1,913 | 1,755 | ||||||
NRG Yield Operating | ||||||||
5.375%, 08/15/2024 | 617 | 574 |
128 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Talen Energy Supply | ||||||||
6.500%, 06/01/2025 | $ | 161 | $ | 134 | ||||
|
| |||||||
23,867 | ||||||||
|
| |||||||
Total Corporate Obligations (Cost $1,453,103) ($ Thousands) | 1,324,445 | |||||||
|
| |||||||
LOAN PARTICIPATIONS — 8.5% |
| |||||||
21st Century Oncology Holdings, 1st Lien Term Loan B | ||||||||
0.065%, 04/28/2022 | 925 | 826 | ||||||
Acadia Healthcare Company, Term Loan B | ||||||||
0.043%, 02/11/2022 | 792 | 792 | ||||||
Accudyne Industries LLC, Refinancing Term Loan | ||||||||
0.040%, 12/13/2019 (H) | 845 | 735 | ||||||
Affinion Group, Term Loan B | ||||||||
5.000%, 10/08/2016 | 3 | 2 | ||||||
0.068%, 04/30/2018 | 1,047 | 926 | ||||||
Albertson’s LLC, Term Loan B-4 | ||||||||
0.055%, 08/25/2021 | 1,215 | 1,215 | ||||||
Alinta Energy Finance Property Limited, Delayed Draw Term Loan | ||||||||
0.064%, 08/13/2018 | 166 | 159 | ||||||
Alinta Energy Finance Property Limited, Term Loan B | ||||||||
0.064%, 08/13/2019 | 2,496 | 2,394 | ||||||
Amaya, Cov-Lite, 1st Lien Term Loan | ||||||||
5.000%, 08/01/2021 | 1,255 | 1,151 | ||||||
American Renal Holdings, 1st Lien Term Loan B | ||||||||
0.045%, 08/20/2019 | 1,979 | 1,974 | ||||||
American Renal Holdings, 2nd Lien Initial Term Loan | ||||||||
0.085%, 03/20/2020 | 1,699 | 1,665 | ||||||
American Tire Distributors, Initial Term Loan | ||||||||
0.053%, 09/01/2021 | 993 | 988 | ||||||
Anaren, 1st Lien Term Loan | ||||||||
0.055%, 02/18/2021 | 1,797 | 1,617 | ||||||
Applied Systems, 2nd Lien Initial Term Loan | ||||||||
0.075%, 01/24/2022 | 1,200 | 1,129 | ||||||
Ascena Retail Group, Term Loan B | ||||||||
0.053%, 08/21/2022 | 1,682 | 1,636 | ||||||
Aspect Software, Term Loan B | ||||||||
0.073%, 05/07/2016 | 1,326 | 1,313 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Asurion, LLC, 2nd Lien Term Loan | ||||||||
0.085%, 03/03/2021 | $ | 3,120 | $ | 2,915 | ||||
Asurion, LLC, Incremental Term Loan B4 | ||||||||
0.050%, 07/29/2022 | 1,479 | 1,447 | ||||||
Atkore International, 2nd Lien Initial Term Loan | ||||||||
0.078%, 10/09/2021 | 245 | 223 | ||||||
Avago Technologies Cayman, 1st Lien Term Loan B | ||||||||
4.250%, 02/01/2023 (H) | 3,795 | 3,774 | ||||||
Avago, Cov-Lite, 1st Lien Delayed Draw Term Loan B1 | ||||||||
4.250%, 02/01/2023 | 935 | 930 | ||||||
BJ’s Wholesale Club, 2nd Lien Replacement Loan | ||||||||
0.085%, 03/26/2020 | 1,311 | 1,204 | ||||||
Blue Ribbon LLC, 1st Lien Initial Term Loan | ||||||||
0.055%, 11/15/2021 | 680 | 677 | ||||||
Blue Ribbon LLC, 2nd Lien Initial Term Loan | ||||||||
0.093%, 11/14/2022 | 230 | 223 | ||||||
BWAY, Cov Lite, 1st Lien Term Loan B | ||||||||
5.500%, 08/14/2020 | 22 | 21 | ||||||
0.055%, 08/14/2020 | 514 | 497 | ||||||
CCO Holdings LLC, Bridge Term Loan | ||||||||
0.000%, 05/26/2016 (H) (I) | 1,325 | — | ||||||
Cengage Learning Acquisitions, Exit Term Loan | ||||||||
0.070%, 03/31/2020 | 2,439 | 2,425 | ||||||
Ceva Group PLC, 1st Lien Synthetic Line of Credit | ||||||||
6.500%, 03/19/2021 | 203 | 167 | ||||||
Ceva Intercompany BV, 1st Lien Term Loan | ||||||||
6.500%, 03/19/2021 | 211 | 173 | ||||||
Ceva Logistics Canada, Canadian Term Loan | ||||||||
6.500%, 03/19/2021 | 36 | 30 | ||||||
Ceva Logistics U.S. Holdings, U.S. Term Loan | ||||||||
0.065%, 03/19/2021 | 290 | 239 | ||||||
ClubCorp Club Operations, 1st Lien Term Loan | ||||||||
4.250%, 07/24/2020 | 275 | 275 | ||||||
Colouroz Investment 2 LLC, 2nd Lien Initial Term Loan B2 | ||||||||
8.250%, 09/05/2022 | 1,100 | 985 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 129 |
SCHEDULE OF INVESTMENTS (Unaudited)
High-Yield Bond Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Cowlitz Tribal Gaming Authority, 1st Lien Term Loan | ||||||||
11.500%, 12/04/2020 (H) | $ | 3,000 | $ | 2,805 | ||||
CTI Foods Holding LLC, 2nd Lien Term Loan | ||||||||
0.083%, 06/28/2021 | 1,190 | 1,077 | ||||||
Cumulus Media Holdings, 1st Lien Term Loan B | ||||||||
0.043%, 12/23/2020 | 2,136 | 1,436 | ||||||
Dex Media West LLC, New Term Loan | ||||||||
0.080%, 12/30/2016 | 1,299 | 507 | ||||||
Dollar Tree, Term Loan B2 | ||||||||
0.043%, 07/06/2022 | 248 | 248 | ||||||
Drillships Financing Holding, Term Loan B1 | ||||||||
0.060%, 03/31/2021 | 2,523 | 897 | ||||||
Drillships Ocean Ventures, Term Loan | ||||||||
0.055%, 07/25/2021 | 1,923 | 876 | ||||||
Empire Generating, 1st Lien Term Loan B | ||||||||
0.053%, 03/12/2021 | 1,641 | 1,362 | ||||||
Empire Generating, 1st Lien Term Loan C | ||||||||
0.053%, 03/12/2021 | 120 | 100 | ||||||
Energy & Exploration Partners, 1st Lien Term Loan | ||||||||
11.000%, 01/22/2019 | 85 | 85 | ||||||
Energy & Exploration Partners, 1st Lien Term Loan B | ||||||||
0.078%, 01/22/2019 | 1,381 | 147 | ||||||
Evergreen Skills Lux S.À R.L., 2nd Lien Initial Term Loan | ||||||||
9.250%, 04/28/2022 | 915 | 412 | ||||||
Evergreen Skillsoft, 1st Lien Initial Term Loan | ||||||||
5.750%, 04/28/2021 | 1,832 | 1,461 | ||||||
FMG Resources Property Limited, 1st Lien Term Loan | ||||||||
0.043%, 06/30/2019 (H) | 2,872 | 2,419 | ||||||
Gardner Denver, 1st Lien Term Loan | ||||||||
4.250%, 07/30/2020 (H) | 512 | 466 | ||||||
Gates Global, Cov-Lite, 1st Lien Term Loan | �� | |||||||
4.250%, 07/06/2021 | 2 | 2 | ||||||
Global Aviation Holdings, 2nd Lien Term Loan | ||||||||
10.000%, 07/13/2017 (B) (C) | 1,877 | — | ||||||
Global Aviation Holdings, 3rd Lien Term Loan | ||||||||
3.000%, 02/13/2018 (B) (C) | 611 | — |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Greenway Health LLC, 2nd Lien Term Loan | ||||||||
0.093%, 11/04/2021 | $ | 900 | $ | 693 | ||||
Gymboree, 1st Lien Term Loan | ||||||||
0.050%, 02/23/2018 | 340 | 213 | ||||||
Hanson Building, Cov-Lite, 1st Lien Term Loan | ||||||||
6.500%, 03/14/2022 | 1,165 | 1,153 | ||||||
Hercules Achievement, 1st Lien Initial Term Loan | ||||||||
0.050%, 12/10/2021 | 1,066 | 1,062 | ||||||
Hertz, Term Loan B2 | ||||||||
0.030%, 03/11/2018 | 1 | 1 | ||||||
iHeartCommunications, Term Loan D | ||||||||
0.072%, 01/30/2019 | 5,436 | 3,764 | ||||||
Indivior, 1st Lien Term Loan | ||||||||
7.000%, 12/19/2019 | 24 | 23 | ||||||
0.070%, 12/19/2019 | 1,823 | 1,726 | ||||||
Integra Telecom Holdings, Term Loan B1 | ||||||||
0.053%, 08/14/2020 | 873 | 821 | ||||||
Intelsat Jackson Holdings | ||||||||
3.750%, 06/30/2019 (H) | 620 | 577 | ||||||
J. Crew Group, 1st Lien Term Loan | ||||||||
0.040%, 03/05/2021 | 2,017 | 1,565 | ||||||
JC Penney, 1st Lien Term Loan | ||||||||
0.060%, 05/22/2018 | 1,157 | 1,158 | ||||||
KCA Deutag US Finance LLC, 1st Lien Term Loan B | ||||||||
6.250%, 05/15/2020 | 1,019 | 686 | ||||||
Keurig, 1st Lien Term Loan B | ||||||||
5.250%, 01/21/2023 | 2,262 | 2,259 | ||||||
KIK Custom Products, 1st Lien Term Loan | ||||||||
0.060%, 08/26/2022 | 889 | 855 | ||||||
Kraton Polymers, 1st Lien Term Loan B | ||||||||
6.000%, 01/06/2022 | 240 | 226 | ||||||
Lions Gate Entertainment, 2nd Lien Term Loan | ||||||||
0.050%, 03/17/2022 | 2,340 | 2,276 | ||||||
MacDermid Incorporated, Term Loan B3 | ||||||||
0.055%, 06/05/2020 | 539 | 520 | ||||||
Magic Newco LLC, 1st Lien Term Loan | ||||||||
0.050%, 12/12/2018 | 1,170 | 1,169 | ||||||
Magic Newco LLC, 2nd Lien Term Loan | ||||||||
0.120%, 06/12/2019 | 1,250 | 1,282 |
130 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Marina District Finance Company, 1st Lien Term Loan | ||||||||
0.065%, 08/15/2018 | $ | 1,000 | $ | 998 | ||||
Mashantucket (Western) Pequot Tribe, Term Loan A | ||||||||
0.050%, 07/01/2018 | 316 | 253 | ||||||
Mashantucket (Western) Pequot Tribe, Term Loan B | ||||||||
0.094%, 06/30/2020 | 6,265 | 5,098 | ||||||
Mauser Holding S.À.R.L., 2nd Lien Initial Term Loan | ||||||||
0.088%, 07/31/2022 | 680 | 585 | ||||||
Medical Card System, Term Loan | ||||||||
1.500%, 05/31/2019 (C) | 1,975 | 1,224 | ||||||
0.000% (I) (J) | 265 | — | ||||||
Metroflag, 2nd Lien | ||||||||
14.000%, 01/06/2009 (B) | 300 | — | ||||||
Microsemi, 1st Lien Revolding Credit | ||||||||
5.250%, 12/17/2020 | 7 | 7 | ||||||
Millenium Laboratories, 1st Lien Term Loan | ||||||||
0.075%, 12/21/2020 | 728 | 688 | ||||||
Mohegan Tribal Gaming Authority, 1st Lien Term Loan B | ||||||||
5.500%, 11/19/2019 | 1,775 | 1,714 | ||||||
Moxie Liberty LLC, 1st Lien Term Loan B1 | ||||||||
0.075%, 08/21/2020 | 1,965 | 1,778 | ||||||
Murray Energy, Cov-Lite, 1st Lien Term Loan B2 | ||||||||
7.500%, 04/16/2020 | 1 | 1 | ||||||
0.075%, 04/16/2020 | 527 | 266 | ||||||
NaNa Development, 1st Lien Term Loan | ||||||||
0.080%, 03/15/2018 | 282 | 247 | ||||||
Nelson Education, 1st Lien Term Loan | ||||||||
12.000%, 10/01/2020 | 679 | 272 | ||||||
0.000% (I) (J) | 115 | — | ||||||
New LightSquared LLC, 1st Lien Term Loan | ||||||||
9.750%, 06/15/2020 | 1,950 | 1,720 | ||||||
New LightSquared LLC, 2nd Lien Term Loan | ||||||||
13.500%, 12/07/2020 | 2,124 | 1,476 | ||||||
New MMI, Term Loan B | ||||||||
0.090%, 01/31/2020 | 3,036 | 2,429 | ||||||
Nexstar Broadcasting, Bridge Loan | ||||||||
0.000%, 12/31/2049 (I) | 2,985 | 2,985 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nine West Holdings, Initial Term Loan (Unsecured) | ||||||||
0.063%, 01/08/2020 | $ | 5,775 | $ | 1,588 | ||||
ON Semiconductor, Cov-Lite, 1st Lien Term Loan B | ||||||||
0.000%, 03/31/2023 (I) | 2,390 | 2,391 | ||||||
Onex Carestream Finance LP, 2nd Lien Term Loan | ||||||||
0.095%, 12/07/2019 | 5,508 | 4,535 | ||||||
Onex York Acquisition, 1st Lien Term Loan B | ||||||||
4.750%, 10/01/2021 | 998 | 847 | ||||||
Ortho-Clinical Diagnostics Holdings Luxembourg S.À.R.L., Initial Term Loan | ||||||||
4.750%, 06/30/2021 | 783 | 724 | ||||||
Oxbow Carbon LLC, 2nd Lien Initial Term Loan | ||||||||
0.080%, 01/17/2020 | 2,394 | 1,857 | ||||||
Panda Sherman Power LLC, 1st Lien Term Loan | ||||||||
0.090%, 09/14/2018 | 1,630 | 1,385 | ||||||
Peak 10, 2nd Lien Term Loan | ||||||||
8.250%, 06/17/2022 | 2,300 | 1,840 | ||||||
Penton Media, 2nd Lien Initial Term Loan | ||||||||
0.090%, 10/02/2020 | 1,970 | 1,891 | ||||||
PETCO, Cov-Lite, 1st Lien Term Loan B1 | ||||||||
5.750%, 01/15/2023 | 2,060 | 2,057 | ||||||
RCHP, 2nd Lien Term Loan | ||||||||
11.250%, 10/23/2019 | 1,592 | 1,600 | ||||||
Reddy Ice, 2nd Lien Term Loan B | ||||||||
0.108%, 11/01/2019 | 1,670 | 1,102 | ||||||
Rite Aid, 2nd Lien Term Loan 10.058%, 08/21/2020 | 492 | 493 | ||||||
Riverbed Technology, 1st Lien Term Loan | ||||||||
0.060%, 04/24/2022 | 690 | 691 | ||||||
Road Infrastructure Investment LLC, 2nd Lien Term Loan | ||||||||
0.078%, 09/30/2021 | 300 | 285 | ||||||
Royal Holdings, 2nd Lien Initial Term Loan | ||||||||
0.085%, 06/19/2023 | 319 | 301 | ||||||
Rue21, Term Loan B | ||||||||
0.056%, 10/09/2020 | 1,509 | 1,189 | ||||||
SolarWinds, Cov-Lite, 1st Lien Term Loan | ||||||||
6.500%, 02/01/2023 | 1,300 | 1,285 | ||||||
Solera, Cov-Lite, 1st Lien Term Loan | ||||||||
5.750%, 02/28/2023 | 435 | 434 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 131 |
SCHEDULE OF INVESTMENTS (Unaudited)
High-Yield Bond Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Steinway Musical Instruments, 1st Lien Term Loan | ||||||||
0.048%, 09/19/2019 | $ | 945 | $ | 907 | ||||
Sterigenics, Bridge Loan | ||||||||
0.000%, 04/16/2023 (I) | 714 | — | ||||||
Supervalu Cov-Lite, 1st Lien Term Loan B | ||||||||
4.500%, 03/21/2019 (H) | 370 | 361 | ||||||
Syncreon Holdings, Cov-Lite, 1st Lien Term Loan | ||||||||
0.053%, 10/28/2020 | 895 | 733 | ||||||
Syniverse, 1st Lien Incremental Term Loan B | ||||||||
4.000%, 04/23/2019 | 170 | 125 | ||||||
Syniverse, 1st Lien Term Loan | ||||||||
5.000%, 04/23/2019 | 300 | 221 | ||||||
Templar Energy LLC, 2nd Lien New Term Loan | ||||||||
0.085%, 11/25/2020 | 2,067 | 205 | ||||||
Texas Competitive Electric Holdings Company LLC (TXU), 1st Lien Non- Extending Term Loan | ||||||||
0.047%, 04/25/2015 (B) | 93 | 26 | ||||||
0.047%, 11/18/2015 (B) | 11,452 | 3,187 | ||||||
Texas Competitive Electric Holdings Company, 1st Lien Extending Term Loan | ||||||||
0.047%, 10/10/2017 (B) | 1,677 | 478 | ||||||
The Hillman Companies, 1st Lien Term Loan B | ||||||||
4.500%, 06/30/2021 | 300 | 292 | ||||||
The Neiman Marcus Group, 1st Lien Term Loan | ||||||||
0.043%, 10/25/2020 | 1,303 | 1,191 | ||||||
Toys ‘R’ US-Delaware, Term Loan B4 | ||||||||
0.098%, 04/09/2020 | 1,384 | 1,111 | ||||||
Trans Union LLC, Term Loan B2 | ||||||||
0.035%, 04/09/2021 | 1,531 | 1,514 | ||||||
Travelport, 1st Lien Term Loan | ||||||||
7.250%, 08/13/2021 | 6 | 6 | ||||||
0.058%, 09/02/2021 | 2,282 | 2,278 | ||||||
True Religion Apparel, 1st Lien Term Loan | ||||||||
5.875%, 07/30/2019 | 759 | 334 | ||||||
TSAM (Delaware) LLC, Term Loan | ||||||||
7.750%, 09/12/2019 (C) | 887 | 877 | ||||||
U.S. Renal Care, 1st Lien Term Loan | ||||||||
5.250%, 11/17/2022 | 2,087 | 2,077 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Valeant Pharmaceuticals International, Term Loan B | ||||||||
0.040%, 04/01/2022 | $ | 995 | $ | 938 | ||||
Vertafore, 2nd Lien Term Loan | ||||||||
0.098%, 10/27/2017 | 560 | 559 | ||||||
Vizient, 1st Lien Term Loan | ||||||||
6.250%, 02/09/2023 | 1,190 | 1,197 | ||||||
Walter Investment Management, Term Loan B | ||||||||
0.048%, 12/18/2020 | 956 | 830 | ||||||
Weight Watchers International, 1st Lien Term Loan B2 | ||||||||
3.870%, 04/02/2020 | 1 | 1 | ||||||
0.040%, 04/02/2020 | 457 | 336 | ||||||
Western Digital, Cov-Lite, 1st Lien Term Loan B | ||||||||
0.000%, 03/30/2023 (I) | 1,679 | 1,658 | ||||||
Wilton Brands LLC, Term Loan B | ||||||||
0.085%, 08/30/2018 | 3,101 | 2,807 | ||||||
Windstream, 1st Lien Term Loan B | ||||||||
5.750%, 03/15/2021 | 612 | 606 | ||||||
|
| |||||||
Total Loan Participations | ||||||||
(Cost $171,100) ($ Thousands) | 144,147 | |||||||
|
| |||||||
COLLATERALIZED DEBT OBLIGATIONS — 8.0% |
| |||||||
B&M CLO, Ser 2014-1A, Cl D | ||||||||
5.370%, 04/16/2026 (A) (H) | 3,471 | 1,788 | ||||||
B&M CLO, Ser 2014-1A, Cl C | ||||||||
4.370%, 04/16/2026 (A) (H) | 2,108 | 1,439 | ||||||
B&M CLO, Ser 2014-1A, Cl E | ||||||||
6.370%, 04/16/2026 (A) (H) | 2,480 | 917 | ||||||
Battalio CLO Warehouse Note | ||||||||
0.000%, (J) | 21 | 2,040 | ||||||
Battalion CLO IV, Ser 2013-4A | ||||||||
0.000%, 10/22/2025 (A) | 5,640 | 1,128 | ||||||
Battalion CLO V, Ser 2014-5A | ||||||||
0.000%, 04/17/2026 (A) | 3,274 | 655 | ||||||
Battalion CLO VII, | ||||||||
5.920%, 10/17/2026 (A) (H) | 2,260 | 1,571 | ||||||
Battalion CLO VII, Ser 2014-7A | ||||||||
0.000%, 10/17/2026 (A) | 4,007 | 1,282 | ||||||
Battalion CLO VIII, Ser 2015-8A | ||||||||
0.000%, 04/18/2027 (A)(C) | 3,655 | 2,339 | ||||||
Battalion CLO VIII, | ||||||||
6.071%, 04/18/2027 (A) (H) | 982 | 705 | ||||||
Battalion CLO, Ser 2012-3A | ||||||||
0.000%, 01/18/2025 (A) | 2,303 | 967 | ||||||
Benefit Street Partners CLO III, Ser 2013-IIIA | ||||||||
0.000%, 01/20/2026 (A)(C) | 3,466 | 1,733 |
132 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Benefit Street Partners CLO IV | ||||||||
0.000%, 07/20/2026 (A)(C) | $ | 3 | $ | 2,010 | ||||
Benefit Street Partners CLO V | ||||||||
0.000%, 10/20/2026 (A) | 6,387 | 2,555 | ||||||
Benefit Street Partners CLO VII, Ser 2015-VIII | ||||||||
0.000%, 07/18/2027 | 6,715 | 4,709 | ||||||
Benefit Street Partners CLO VIII | ||||||||
0.000%, 01/20/2028 (A) | 40 | 3,281 | ||||||
Benefit Street Partners CLO, Ser 2015-VIA | ||||||||
0.000%, 04/18/2027 | 7,502 | 4,632 | ||||||
Carlyle Global Market Strategies CLO, Ser 2014-3A | ||||||||
0.000%, 07/27/2026 (A) | 3,588 | 2,081 | ||||||
Cathedral Lake CLO, Ser 2015-3A, Cl E | ||||||||
7.866%, 01/15/2026 (A) (H) | 1,175 | 1,093 | ||||||
Cathedral Lake CLO, Ser 2015-3A, Cl D | ||||||||
5.816%, 01/15/2026 (A) (H) | 1,282 | 1,266 | ||||||
Cathedral Lake III Equity Tranche | ||||||||
0.000%, 01/15/2026 (A) | 1,869 | 1,477 | ||||||
CIFC Funding II, Ser 2012-2A | ||||||||
0.000%, 12/05/2024 (A) | 23 | 911 | ||||||
CVP Cascade CLO, Ser 2014-2A, Cl E | ||||||||
6.420%, 07/18/2026 (A) (H) | 2,469 | 796 | ||||||
CVP Cascade CLO, Ser 2014-2A, Cl D | ||||||||
5.420%, 07/18/2026 (A) (H) | 1,709 | 923 | ||||||
Fifth Street Senior Loan Fund, Ser 2015-1A, Cl E | ||||||||
7.824%, 01/20/2027 (A) (H) | 3,890 | 3,355 | ||||||
Fifth Street Senior Loan Fund, Ser 2015-2A | ||||||||
0.000%, 09/29/2027 (A) | 5,483 | 4,880 | ||||||
Figueroa CLO, Ser 2013-1I | ||||||||
0.000%, 03/21/2024 | 18,856 | 10,793 | ||||||
Figueroa CLO, Ser 2013-2A | ||||||||
0.000%, 12/15/2025 (A) | 2,930 | 1,867 | ||||||
Fortress Credit Opportunities III CLO, Ser 2014-3A, Cl E | ||||||||
6.867%, 04/28/2026 (A) (H) | 3,482 | 2,726 | ||||||
Fortress Credit Opportunities VI CLO, Ser 2015-6A, Cl F | ||||||||
7.385%, 10/10/2026 (A) (H) | 1,730 | 1,406 | ||||||
Great Lakes CLO, Ser 2012-1A, Cl E | ||||||||
6.122%, 01/15/2023 (A) (H) | 2,811 | 2,010 | ||||||
Great Lakes CLO, Ser 2012-1A | ||||||||
0.000%, 01/15/2023 (A) | 2,457 | 1,517 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Great Lakes CLO, Ser 2014-1A | ||||||||
0.000%, 04/15/2025 (A) (H) | $ | 6,943 | $ | 4,287 | ||||
Great Lakes CLO, Ser 2014-1A, Cl F | ||||||||
6.622%, 04/15/2025 (A) (H) | 2,480 | 1,228 | ||||||
Great Lakes CLO, Ser 2015-1A, Cl E | ||||||||
7.322%, 07/15/2026 (A) (H) | 2,896 | 1,824 | ||||||
Great Lakes CLO, Ser 2015-1A, Cl F | ||||||||
8.122%, 07/15/2026 (A) (H) | 1,319 | 673 | ||||||
Great Lakes CLO, Ser 2015-1A | ||||||||
0.000%, 07/15/2026 (A) (H) | 4,202 | 3,015 | ||||||
Hildene CLO II, Ser 2014-2A, Cl D | ||||||||
4.320%, 07/19/2026 (A) (H) | 1,987 | 1,760 | ||||||
Hildene CLO II, Ser 2014-2A, Cl E | ||||||||
5.720%, 07/19/2026 (A) (H) | 1,987 | 1,445 | ||||||
Ivy Hill Middle Market Credit Fund VII, Ser 2013-7A | ||||||||
0.000%, 10/20/2025 (A) | 3,198 | 2,231 | ||||||
Jamestown CLO VII, Ser 2015-7A, Cl E | ||||||||
7.369%, 07/25/2027 (A) (H) | 1,709 | 1,016 | ||||||
Jamestown CLO VII, Ser 2015-7A, Cl D | ||||||||
6.119%, 07/25/2027 (A) (H) | 1,709 | 1,022 | ||||||
JFIN Revolver CLO, Ser 2013-1A, Cl B | ||||||||
2.624%, 01/20/2021 (A) (H) | 1,990 | 1,960 | ||||||
JFIN Revolver CLO, Ser 2014-2A, Cl C | ||||||||
3.368%, 02/20/2022 (A) (H) | 1,951 | 1,873 | ||||||
KVK CLO, Ser 2012-2A | ||||||||
0.000%, 02/10/2025 (A) | 2,471 | 630 | ||||||
Lockwood Grove CLO, Ser 2014-1A | ||||||||
0.000%, 01/25/2024 (A) | 3,797 | 2,468 | ||||||
Lockwood Grove CLO, Ser 2014-1A, Cl E | ||||||||
7.179%, 01/25/2024 (A) (H) | 2,191 | 2,016 | ||||||
MidOcean Credit CLO III, Ser 2014-3A, Cl F | ||||||||
6.624%, 07/21/2026 (A) (H) | 1,968 | 1,071 | ||||||
Nelder Grove CLO, | ||||||||
7.386%, 08/28/2026 (A) (H) | 2,926 | 1,990 | ||||||
Nelder Grove CLO, | ||||||||
5.156%, 08/28/2026 (A) (H) | 1,951 | 1,722 | ||||||
Neuberger Berman CLO XIII, Ser 2012-13A | ||||||||
0.000%, 01/23/2024 (A) | 447 | 125 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 133 |
SCHEDULE OF INVESTMENTS (Unaudited)
High-Yield Bond Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Neuberger Berman CLO XVI, Ser 2014-16A | ||||||||
0.000%, 04/15/2026 to 04/15/2026 (A) | $ | 2,613 | $ | 665 | ||||
NewStar Arlington Senior Loan Program, Ser 2014-1A, Cl E | ||||||||
6.719%, 07/25/2025 (A) (H) | 1,974 | 1,603 | ||||||
NewStar Clarendon Fund CLO, Ser 2015- 1A, Cl E | ||||||||
6.669%, 01/25/2027 (A) (H) | 3,439 | 2,644 | ||||||
NXT Capital CLO, Ser 2012-1A, Cl E | ||||||||
8.120%, 07/20/2022 (A) (H) | 2,417 | 2,242 | ||||||
OCP CLO, Ser 2012-2A | ||||||||
0.000%, 11/22/2023 (A) | 2,615 | 588 | ||||||
Peaks CLO, Ser 2014-1A, Cl D | ||||||||
5.122%, 06/15/2026 (A) (H) | 985 | 867 | ||||||
Rockwall CDO, Ser 2007-1A, Cl A1LA | ||||||||
0.866%, 08/01/2024 (A) (H) | 11,579 | 11,145 | ||||||
Shackleton CLO, Ser 2014-6A | ||||||||
0.000%, 07/17/2026 (A) | 7,935 | 2,222 | ||||||
Trinitas CLO I, Ser 2014-1A | ||||||||
0.000%, 04/15/2026 (A) | 3,507 | 1,526 | ||||||
Trinitas CLO II, Ser 2014-2A, Cl D | ||||||||
4.422%, 07/15/2026 (A) (H) | 1,184 | 852 | ||||||
Venture CDO, Ser 2012-10A | ||||||||
0.000%, 07/20/2022 (A) | 5,284 | 2,219 | ||||||
Venture X CLO, Ser 2013-12A | ||||||||
0.000%, 02/28/2024 (A) | 3,305 | 1,454 | ||||||
Venture XI CLO, Ser 2012-11A | ||||||||
0.000%, 11/14/2022 (A) | 5,403 | 1,675 | ||||||
Venture XIV CLO, Ser 2013-14A | ||||||||
0.000%, 08/25/2025 to 08/25/2025 (A) | 1,833 | 675 | ||||||
Venture XV CLO, Ser 2013-15A | ||||||||
0.000%, 07/15/2025 (A) | 1,022 | 434 | ||||||
Venture XXII CLO, Ser 2016-22A | ||||||||
0.000%, 01/15/2028 (A) (H) | 21 | 1,478 | ||||||
Venture XXII CLO, Ser 2016-22A, Cl E | ||||||||
7.371%, 01/15/2028 (A) (H) | 1,136 | 1,022 | ||||||
Venture XXII CLO, Ser 2016-22A, Cl F | ||||||||
8.471%, 01/15/2028 (A) (H) | 792 | 594 | ||||||
|
| |||||||
Total Collateralized Debt Obligations |
| 137,113 | ||||||
|
|
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
MUNICIPAL BONDS — 0.6% |
| |||||||
Connecticut — 0.2% | ||||||||
Mohegan Tribal, Finance Authority, RB | ||||||||
7.000%, 02/01/2045 (A) | $ | 3,625 | $ | 3,626 | ||||
|
| |||||||
Puerto Rico — 0.2% | ||||||||
Commonwealth of Puerto Rico, Ser A, GO | ||||||||
Callable 07/01/17 @ 100 | ||||||||
5.250%, 07/01/2037 | 130 | 77 | ||||||
Commonwealth of Puerto Rico, Ser A, GO | ||||||||
5.125%, 07/01/2037 | 775 | 462 | ||||||
5.000%, 07/01/2041 | 890 | 526 | ||||||
Commonwealth of Puerto Rico, Ser A, GO | ||||||||
8.000%, 07/01/2035 | 2,103 | 1,451 | ||||||
|
| |||||||
2,516 | ||||||||
|
| |||||||
Texas — 0.2% | ||||||||
Texas State, Public Finance Authority, RB | ||||||||
8.250%, 07/01/2024 | 3,970 | 4,045 | ||||||
|
| |||||||
Total Municipal Bonds (Cost $10,740) ($ Thousands) | 10,187 | |||||||
|
| |||||||
COMMON STOCK — 0.3% |
| |||||||
Cengage Learning Holdings II* | 2,408 | 45 | ||||||
Ceva Holdings* (C) | 561 | 252 | ||||||
CUI Acquisition* (C) | 3 | 247 | ||||||
Dana Holding | 112,964 | 1,592 | ||||||
Global Aviation Holdings, Cl A* | 97,655 | — | ||||||
Millennium* | 21,260 | 322 | ||||||
Mirabela Nickel* (C) | 5,869,596 | — | ||||||
Mmodal* (C) | 42,430 | 557 | ||||||
NII Holdings* | 51,236 | 283 | ||||||
Quad | 654 | 9 | ||||||
Reichhold Industries* (C) | 1,427 | 848 | ||||||
|
| |||||||
Total Common Stock (Cost $6,642) ($ Thousands) | 4,155 | |||||||
|
| |||||||
PREFERRED STOCK — 0.2% |
| |||||||
Ally Financial, 8.500% (H) | 8,340 | 212 | ||||||
Aspen Insurance Holdings, 5.950% (H) | 86,000 | 2,271 | ||||||
Ceva Holdings, 0.000%* (C) | 1,214 | 546 | ||||||
SLM, 1.934% (H) | 20,597 | 876 | ||||||
|
| |||||||
Total Preferred Stock |
| 3,905 | ||||||
|
|
134 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CONVERTIBLE BONDS — 0.2% |
| |||||||
Liberty Media CV to 16.7764 | ||||||||
3.750%, 02/15/2030 | $ | 4,082 | $ | 2,286 | ||||
Liberty Media CV to 22.94686 | ||||||||
4.000%, 11/15/2029 | 1,663 | 940 | ||||||
Mirabela Nickel | ||||||||
9.500%, 06/24/2019 | 1,471 | 382 | ||||||
Mirant CV to 14.7167 | ||||||||
0.000%, 06/15/2021 (B) | 2,200 | — | ||||||
|
| |||||||
Total Convertible Bonds (Cost $5,071) ($ Thousands) | 3,608 | |||||||
|
| |||||||
ASSET-BACKED SECURITY — 0.0% |
| |||||||
Other Asset-Backed Securities — 0.0% |
| |||||||
Airplanes Pass-Through Trust, Ser 2001-1A, Cl A9 | ||||||||
0.986%, 03/15/2019 (A) (H) | 1,062 | 266 | ||||||
|
| |||||||
Total Asset-Backed Security (Cost $874) ($ Thousands) |
| 266 | ||||||
|
|
Description | Number of Warrants/Shares | Market Value ($ Thousands) | ||||||
WARRANTS — 0.0% |
| |||||||
Mmodal, Expires 07/31/2017 | ||||||||
Strike Price $48* | 35,128 | $ | 1 | |||||
|
| |||||||
Total Warrants (Cost $15) ($ Thousands) | 1 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 0.0% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.380%**† (K) | 6,086 | 6 | ||||||
|
| |||||||
Total Affiliated Partnership (Cost $6) ($ Thousands) | 6 | |||||||
|
| |||||||
CASH EQUIVALENT — 4.1% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.300%**† | 69,824,291 | 69,824 | ||||||
|
| |||||||
Total Cash Equivalent (Cost $69,824) ($ Thousands) | 69,824 | |||||||
|
| |||||||
Total Investments — 99.5% |
| $ | 1,697,657 | |||||
|
|
A list of the outstanding centrally cleared swap agreements held by the Fund at March 31, 2016 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 | 06/20/2020 | $ | (3,600 | ) | $ | 384 | |||||||
JPMorgan Chase Bank | CDX.NA.HY, SERIES 25 | SELL | 5.00 | 12/20/2020 | (6,500 | ) | — | |||||||||
|
| |||||||||||||||
$ | 384 | |||||||||||||||
|
|
For the period ended March 31, 2016 the total amount of open swap agreements, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $1,706,357 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” |
(B) | Security is in default on interest payment. |
(C) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of March 31, 2016 was $12,553 ($ Thousands) and represented 0.7% of Net Assets. |
(D) | Security considered illiquid. The total value of such security as of March 31, 2016 was $1 ($ Thousands) and represented 0.0% of Net Assets. |
(E) | Security considered restricted. The total market value of such security as of March 31, 2016 was $1 ($ Thousands) and represented 0.0% of Net Assets. |
(F) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on March 31, 2016. The coupon on a step bond changes on a specified date. |
(G) | This security or a partial position of this security is on loan at March 31, 2016. The total market value of securities on loan at March 31, 2016 was $1 ($ Thousands). |
(H) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2016. |
(I) | Unsettled bank loan. Interest rate not available. |
(J) | Maturity date is unavailable. |
(K) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of March 31, 2016 was $6 ($Thousands). |
CDO — Collateralized Debt Obligation
Cl — Class
CLO — Collateralized Loan Obligation
CV — Convertible Security
GO — General Obligation
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
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 135 |
SCHEDULE OF INVESTMENTS (Unaudited)
High-Yield Bond Fund (Concluded)
March 31, 2016
The following is a list of the level of inputs used as of March 31, 2016 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 | $ | — | $ | 1,314,956 | $ | 9,489 | $ | 1,324,445 | ||||||||
Loan Participations | — | 135,350 | 8,797 | 144,147 | ||||||||||||
Collateralized Debt Obligations | — | — | 137,113 | 137,113 | ||||||||||||
Municipal Bonds | — | 2,516 | 7,671 | 10,187 | ||||||||||||
Common Stock | 2,251 | 557 | 1,347 | 4,155 | ||||||||||||
Preferred Stock | 2,483 | 876 | 546 | 3,905 | ||||||||||||
Convertible Bonds | — | 3,226 | 382 | 3,608 | ||||||||||||
Asset-Backed Security | — | 266 | — | 266 | ||||||||||||
Warrants | — | 1 | — | 1 | ||||||||||||
Affiliated Partnership | — | 6 | — | 6 | ||||||||||||
Cash Equivalent | 69,824 | — | — | 69,824 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 74,558 | $ | 1,457,754 | $ | 165,345 | $ | 1,697,657 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Appreciation | $ | — | $ | 384 | $ | — | $ | 384 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | — | $ | 384 | $ | — | $ | 384 | ||||||||
|
|
|
|
|
|
|
|
* | Swap contracts are valued at the unrealized appreciation on the instrument. |
(1) | Of the $165,345 ($ Thousands) in Level 3 securities as of March 31, 2016, $12,555 ($ Thousands) or 0.7% 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. |
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining fair value ($ Thousands):
Investments in Corporate Obligations | Investments in Loan Participations | Investments in Collateralized Debt Obligations | Investments in Municipal Bonds | Investments in Common Stock | Investments in Preferred Stock | Investments in Convertible Bonds | Investments in Warrants | |||||||||||||||||||||||||
Balance as of October 31, 2015 | $ | 5,626 | $ | 6,047 | $ | 167,799 | $ | — | $ | 1,569 | $ | — | $ | 435 | $ | 9 | ||||||||||||||||
Accrued discounts/premiums | 20 | 18 | 166 | — | — | — | (2 | ) | — | |||||||||||||||||||||||
Realized gain/(loss) | (18 | ) | (410 | ) | 107 | — | 33 | — | — | — | ||||||||||||||||||||||
Change in unrealized appreciation/(depreciation) | (41 | ) | 194 | (28,474 | ) | — | 205 | — | (118 | ) | (9 | ) | ||||||||||||||||||||
Purchases | 39 | 860 | 17,386 | — | — | — | 67 | — | ||||||||||||||||||||||||
Sales | — | (849 | ) | (19,871 | ) | — | (33 | ) | — | — | — | |||||||||||||||||||||
Net transfer into Level 3 | 3,863 | 5,234 | — | 7,671 | 252 | 546 | — | — | ||||||||||||||||||||||||
Net transfer out of Level 3 | — | (2,297 | ) | — | — | (679 | ) | — | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Ending Balance as of March 31, 2016 | $ | 9,489 | $ | 8,797 | $ | 137,113 | $ | 7,671 | $ | 1,347 | $ | 546 | $ | 382 | $ | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | (3,412 | ) | $ | (329 | ) | $ | (28,156 | ) | $ | 126 | $ | 19 | $ | (546 | ) | $ | (521 | ) | $ | (8 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, there have been transfers in and out of Level 2 and 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 $0.
The accompanying notes are an integral part of the financial statements.
136 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Real Return Fund
March 31, 2016
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 99.4% |
| |||||||
U.S. Treasury Inflation Protected Securities | ||||||||
2.625%, 07/15/2017 | $ | 11,589 | $ | 12,203 | ||||
2.125%, 01/15/2019 | 11,429 | 12,338 | ||||||
1.875%, 07/15/2019 | 13,010 | 14,143 | ||||||
1.625%, 01/15/2018 | 12,445 | 13,013 | ||||||
1.375%, 07/15/2018 | 12,887 | 13,597 | ||||||
1.375%, 01/15/2020 | 15,778 | 16,890 | ||||||
1.250%, 07/15/2020 | 24,321 | 26,145 | ||||||
1.125%, 01/15/2021 | 29,139 | 31,139 | ||||||
0.125%, 04/15/2017 | 36,910 | 37,333 | ||||||
0.125%, 04/15/2018 | 41,053 | 41,780 | ||||||
0.125%, 04/15/2019 | 41,602 | 42,499 | ||||||
0.125%, 04/15/2020 | 40,806 | 41,662 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 302,742 | |||||||
|
| |||||||
CASH EQUIVALENT — 0.8% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.300%**† | 2,414,111 | 2,414 | ||||||
|
| |||||||
Total Cash Equivalent | 2,414 | |||||||
|
| |||||||
Total Investments — 100.2% | $ | 305,156 | ||||||
|
|
Percentages are based on a Net Assets of $304,413 ($ Thousands).
** | Rate shown is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
Cl — Class
The following is a list of the level of inputs used as of March 31, 2016, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 302,742 | $ | — | $ | 302,742 | ||||||||
Cash Equivalent | 2,414 | — | — | 2,414 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,414 | $ | 302,742 | $ | — | $ | 305,156 | ||||||||
|
|
|
|
|
|
|
|
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 137 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Dynamic Asset Allocation Fund
March 31, 2016
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 98.5% |
| |||||||||||
Consumer Discretionary — 12.7% |
| |||||||||||
Amazon.com, Cl A* | 1.3 | % | 10,436 | $ | 6,196 | |||||||
Comcast, Cl A | 0.8 | 65,790 | 4,019 | |||||||||
Home Depot | 0.9 | 34,282 | 4,573 | |||||||||
McDonald’s | 0.6 | 24,407 | 3,066 | |||||||||
Walt Disney | 0.8 | 40,281 | 4,000 | |||||||||
Other Securities | 8.3 | 40,556 | ||||||||||
|
| |||||||||||
62,410 | ||||||||||||
|
| |||||||||||
Consumer Staples — 10.2% |
| |||||||||||
Altria Group | 0.7 | 52,469 | 3,288 | |||||||||
Coca-Cola | 1.0 | 105,282 | 4,883 | |||||||||
CVS Health | 0.6 | 29,399 | 3,049 | |||||||||
PepsiCo | 0.8 | 38,740 | 3,970 | |||||||||
Philip Morris International | 0.8 | 41,537 | 4,075 | |||||||||
Procter & Gamble | 1.2 | 71,609 | 5,895 | |||||||||
Wal-Mart Stores | 0.6 | 41,976 | 2,874 | |||||||||
Other Securities | 4.5 | 22,183 | ||||||||||
|
| |||||||||||
50,217 | ||||||||||||
|
| |||||||||||
Energy — 6.7% |
| |||||||||||
Chevron | 1.0 | 50,526 | 4,821 | |||||||||
Exxon Mobil | 1.9 | 112,000 | 9,363 | |||||||||
Schlumberger, Cl A | 0.5 | 33,552 | 2,473 | |||||||||
Other Securities | 3.3 | 16,095 | ||||||||||
|
| |||||||||||
32,752 | ||||||||||||
|
| |||||||||||
Financials — 15.3% |
| |||||||||||
Bank of America | 0.7 | 276,745 | 3,742 | |||||||||
Berkshire Hathaway, Cl B* | 1.5 | 50,530 | 7,169 | |||||||||
Citigroup | 0.7 | 78,945 | 3,296 | |||||||||
JPMorgan Chase | 1.2 | 99,117 | 5,870 | |||||||||
Wells Fargo | 1.2 | 124,733 | 6,033 | |||||||||
Other Securities | 10.0 | 48,880 | ||||||||||
|
| |||||||||||
74,990 | ||||||||||||
|
| |||||||||||
Health Care — 14.1% |
| |||||||||||
Allergan* | 0.6 | 10,580 | 2,836 | |||||||||
Amgen, Cl A | 0.6 | 20,163 | 3,024 | |||||||||
Bristol-Myers Squibb | 0.6 | 44,738 | 2,858 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Gilead Sciences | 0.7 | % | 36,613 | $ | 3,364 | |||||||
Johnson & Johnson | 1.7 | 74,444 | 8,056 | |||||||||
Medtronic | 0.6 | 37,641 | 2,823 | |||||||||
Merck | 0.8 | 74,966 | 3,966 | |||||||||
Pfizer | 1.0 | 163,357 | 4,842 | |||||||||
UnitedHealth Group | 0.6 | 25,511 | 3,289 | |||||||||
Other Securities | 6.9 | 34,065 | ||||||||||
|
| |||||||||||
69,123 | ||||||||||||
|
| |||||||||||
Industrials — 10.0% |
| |||||||||||
3M | 0.6 | 16,226 | 2,704 | |||||||||
General Electric | 1.6 | 251,793 | 8,004 | |||||||||
Other Securities | 7.8 | 38,339 | ||||||||||
|
| |||||||||||
49,047 | ||||||||||||
|
| |||||||||||
Information Technology — 20.6% |
| |||||||||||
Alphabet, Cl C* | 1.2 | 7,993 | 5,954 | |||||||||
Alphabet, Cl A* | 1.2 | 7,869 | 6,004 | |||||||||
Apple | 3.3 | 149,530 | 16,298 | |||||||||
Cisco Systems | 0.8 | 134,872 | 3,839 | |||||||||
Facebook, Cl A* | 1.5 | 61,971 | 7,072 | |||||||||
Intel | 0.8 | 127,597 | 4,128 | |||||||||
International Business Machines | 0.8 | 23,868 | 3,615 | |||||||||
MasterCard, Cl A | 0.5 | 26,282 | 2,484 | |||||||||
Microsoft | 2.4 | 213,296 | 11,781 | |||||||||
Oracle, Cl B | 0.7 | 84,433 | 3,454 | |||||||||
Visa, Cl A | 0.8 | 51,432 | 3,934 | |||||||||
Other Securities | 6.6 | 32,306 | ||||||||||
|
| |||||||||||
100,869 | ||||||||||||
|
| |||||||||||
Materials — 2.8% |
| |||||||||||
Other Securities | 2.8 | 13,639 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.7% |
| |||||||||||
AT&T | 1.3 | 166,003 | 6,502 | |||||||||
Verizon Communications | 1.3 | 109,998 | 5,949 | |||||||||
Other Securities | 0.1 | 1,074 | ||||||||||
|
| |||||||||||
13,525 | ||||||||||||
|
| |||||||||||
Utilities — 3.4% |
| |||||||||||
Other Securities | 3.4 | 16,641 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 483,213 | ||||||||||
|
| |||||||||||
Total Investments — 98.5% |
| $ | 483,213 | |||||||||
|
|
138 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Contracts | Market Value ($ Thousands) | ||||||||
PURCHASED OPTION (A)* — 0.1% |
| |||||||||
June 2016 SPX Call, | 1,743 | $ | 374 | |||||||
|
| |||||||||
Total Purchased Option |
| 374 | ||||||||
|
| |||||||||
WRITTEN OPTION (A)* — (0.1)% |
| |||||||||
June 2016 SPX Put, | (249 | ) | (271 | ) | ||||||
|
| |||||||||
Total Written Option |
| $ | (271 | ) | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long/ (Short) | Expiration Date | Unrealized Appreciation/ (Depreciation) ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 60 | Jun-2016 | $ | 132 | ||||||||
Topix Index | 152 | Jun-2016 | (56 | ) | ||||||||
U.S. 10-Year Treasury Note | (220 | ) | Jun-2016 | (207 | ) | |||||||
|
| |||||||||||
$ | (131 | ) | ||||||||||
|
|
For the period ended March 31, 2016, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
A list of the open forward foreign currency contracts held by the Fund at March 31, 2016, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive | Unrealized Appreciation/ (Depreciation) ($ Thousands) | |||||||||||||||||
04/20/16 | USD | 219 | EUR | 202 | $ | 11 | ||||||||||||||
04/20/16 | USD | 478 | JPY | 57,812 | 36 | |||||||||||||||
04/20/16 | USD | 19,032 | TWD | 614,733 | 112 | |||||||||||||||
04/20/16 | USD | 19,118 | SGD | 26,019 | 208 | |||||||||||||||
04/20/16 | JPY | 20,983 | USD | 179 | (8 | ) | ||||||||||||||
04/20/16 | EUR | 21,903 | USD | 23,906 | (1,066 | ) | ||||||||||||||
04/20/16 | TWD | 614,733 | USD | 18,317 | (827 | ) | ||||||||||||||
04/20/16 | SGD | 81,608,390 | EUR | 25,554,925 | (6,331 | ) | ||||||||||||||
04/21/16 | USD | 48,803 | INR | 3,310,956 | 1,085 | |||||||||||||||
04/21/16 | INR | 61,241 | USD | 891 | (32 | ) | ||||||||||||||
01/09/17 | USD | 792 | SAR | 3,019 | 8 | |||||||||||||||
01/09/17-01/19/17 | SAR | 94,829 | USD | 24,601 | (525 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (7,329 | ) | ||||||||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2016, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation/ (Depreciation) ($ Thousands) | |||||||||
Standard Chartered Bank | $ | (142,440 | ) | $ | 136,109 | $ | (6,331 | ) | ||||
Bank of America | (75,644 | ) | 76,180 | 536 | ||||||||
Bank of Montreal | (24,972 | ) | 23,906 | (1,066 | ) | |||||||
Citigroup | (57,294 | ) | 56,786 | (508 | ) | |||||||
Goldman Sachs | (698 | ) | 746 | 48 | ||||||||
JPMorgan Chase Bank | (187 | ) | 179 | (8 | ) | |||||||
|
| |||||||||||
$ | (7,329 | ) | ||||||||||
|
|
For the period ended March 31, 2016 the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
A list of outstanding OTC swap contracts held by the Fund at March 31, 2016, is as follows:
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Appreciation/ (Depreciation) ($ Thousands) | |||||||||
Bank of America | 1.99% | US CPI URBAN CONSUMERS NSA | 12/24/2045 | $ | 13,820 | $ | 37 | |||||||
Bank of America | 2.06% | US CPI URBAN CONSUMERS NSA | 11/13/2045 | 9,140 | (204 | ) | ||||||||
Bank of America | UK RPI ALL ITEMS NSA | 3.46% | 12/24/2045 | 5,170 | 721 | |||||||||
Bank of America | UK RPI ALL ITEMS NSA | 3.47% | 11/13/2045 | 3,530 | 543 | |||||||||
|
| |||||||||||||
$ | 1,097 | |||||||||||||
|
|
For the period ended March 31, 2016, the total amount of all open swap contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
Percentages are based on a Net Assets of $490,571 ($ Thousands).
* | Non-income producing security. |
(A) | For the period ended March 31, 2016, the total amount of open purchased options and written options, as presented in the Schedule of Investments, are representative of the volume of activity for these derivative types during the period. |
Cl — Class
CPI — Consumer Price Index
EUR — Euro
INR — Indian Rupee
JPY — Japanese Yen
NSA — Not seasonally adjusted
RPI — Retail Prices Index
S&P — Standard & Poor’s
SAR — South African Rand
SGD — Singapore Dollar
TWD — Taiwan 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.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 139 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Dynamic Asset Allocation Fund (Concluded)
March 31, 2016
The following is a list of the level of inputs used as of March 31, 2016 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 | $ | 483,213 | $ | — | $ | — | $ | 483,213 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 483,213 | $ | — | $ | — | $ | 483,213 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Option | $ | 374 | $ | — | $ | — | $ | 374 | ||||||||
Written Option | (271 | ) | — | — | (271 | ) | ||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 132 | — | — | 132 | ||||||||||||
Unrealized Depreciation | (263 | ) | — | — | (263 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 1,460 | — | 1,460 | ||||||||||||
Unrealized Depreciation | — | (8,789 | ) | — | (8,789 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Appreciation | — | 1,301 | — | 1,301 | ||||||||||||
Unrealized Depreciation | — | (204 | ) | — | (204 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (28 | ) | $ | (6,232 | ) | $ | — | $ | (6,260 | ) | |||||
|
|
|
|
|
|
|
|
* | Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation/ (depreciation) on the instruments. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
140 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Strategy Alternative Fund
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
REGISTERED INVESTMENT COMPANIES — 61.7% |
| |||||||
AQR Managed Futures Strategy Fund, Cl I | 2,829,569 | $ | 28,918 | |||||
ASG Managed Futures Strategy Fund, Cl Y | 2,194,489 | 24,271 | ||||||
Blackrock Global Long/Short Credit Fund, Cl I | 6,500,987 | 63,060 | ||||||
Driehaus Active Income Fund, Cl I | 4,486,047 | 44,188 | ||||||
Gotham Neutral Fund, Cl Institutional | 1,941,053 | 19,663 | ||||||
Merger Fund, Cl I | 4,391,914 | 67,679 | ||||||
Robeco Boston Partners Long/Short Research Fund, Cl I | 3,301,654 | 48,963 | ||||||
SEI Institutional Managed Trust Long/Short Alternative Fund, Cl Y† | 4,257,580 | 40,788 | ||||||
|
| |||||||
Total Registered Investment Companies | 337,530 | |||||||
|
| |||||||
COMMON STOCK — 15.6% |
| |||||||
Consumer Discretionary — 3.0% | ||||||||
Apollo Education Group, Cl A* | 11,695 | 96 | ||||||
Cablevision Systems, Cl A | 15,937 | 526 | ||||||
J Alexander’s Holdings* | 2,549 | 27 | ||||||
Media General* | 56,646 | 924 | ||||||
Starwood Hotels & Resorts Worldwide | 37,441 | 3,124 | ||||||
Time Warner Cable, Cl A | 42,319 | 8,659 | ||||||
WCI Communities* | 116,212 | 2,159 | ||||||
William Lyon Homes, Cl A* | 56,598 | 820 | ||||||
|
| |||||||
16,335 | ||||||||
|
| |||||||
Consumer Staples — 0.2% | ||||||||
Rite Aid* | 164,447 | 1,340 | ||||||
|
| |||||||
Energy — 1.1% | ||||||||
Columbia Pipeline Group | 26,368 | 662 | ||||||
Continental Resources, Cl A* | 35,303 | 1,072 | ||||||
Diamondback Energy, Cl A | 27,889 | 2,152 | ||||||
RSP Permian* | 75,519 | 2,193 | ||||||
|
| |||||||
6,079 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Financials — 0.4% | ||||||||
Astoria Financial | 34,643 | $ | 549 | |||||
KeyCorp | 20,149 | 222 | ||||||
SLM* | 186,258 | 1,185 | ||||||
|
| |||||||
1,956 | ||||||||
|
| |||||||
Health Care — 3.6% | ||||||||
Alere* | 12,531 | 634 | ||||||
Allergan* | 33,317 | 8,930 | ||||||
Baxalta | 151,365 | 6,115 | ||||||
Cigna | 6,984 | 959 | ||||||
Humana | 17,573 | 3,215 | ||||||
Pfizer | 39 | 1 | ||||||
|
| |||||||
19,854 | ||||||||
|
| |||||||
Industrials — 1.3% | ||||||||
ADT, Cl A | 3,341 | 138 | ||||||
Aena* (A) | 17,550 | 2,269 | ||||||
BWX Technologies, Cl W | 64,300 | 2,158 | ||||||
Casella Waste Systems, Cl A* | 64,000 | 429 | ||||||
Hertz Global Holdings* | 195,465 | 2,058 | ||||||
|
| |||||||
7,052 | ||||||||
|
| |||||||
Information Technology — 3.4% | ||||||||
EMC | 277,919 | 7,406 | ||||||
Ingram Micro, Cl A | 27,507 | 988 | ||||||
Lam Research | 5,915 | 488 | ||||||
Micron Technology* | 160,900 | 1,685 | ||||||
PayPal Holdings* | 54,200 | 2,092 | ||||||
SanDisk | 59,687 | 4,541 | ||||||
SunEdison Semiconductor* | 253,381 | 1,642 | ||||||
|
| |||||||
18,842 | ||||||||
|
| |||||||
Materials — 1.8% | ||||||||
Cemex ADR* | 308,500 | 2,246 | ||||||
Constellium, Cl A* | 354,739 | 1,841 | ||||||
Norbord | 111,100 | 2,219 | ||||||
Orion Engineered Carbons | 131,712 | 1,860 | ||||||
Syngenta ADR | 18,927 | 1,568 | ||||||
|
| |||||||
9,734 | ||||||||
|
| |||||||
Telecommunication Services — 0.7% |
| |||||||
Level 3 Communications* | 41,200 | 2,178 | ||||||
ORBCOMM* | 173,867 | 1,761 | ||||||
|
| |||||||
3,939 | ||||||||
|
| |||||||
Utilities — 0.1% | ||||||||
ITC Holdings | 10,214 | 445 | ||||||
|
| |||||||
Total Common Stock | 85,576 | |||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 141 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Strategy Alternative Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SOVEREIGN DEBT — 4.2% |
| |||||||
Argentine Republic Government International Bond | ||||||||
7.820%, 12/31/33 (B) | $ | 4,324 | $ | 5,469 | ||||
Brazilian Government International Bond | ||||||||
6.000%, 04/07/26 | 1,088 | 1,104 | ||||||
EP PetroEcuador via Noble Sovereign Funding I | ||||||||
6.258%, 09/24/19 (C) | 754 | 657 | ||||||
Hellenic Republic Government Bond | ||||||||
4.750%, 04/17/19 (A) | 3,000 | 3,002 | ||||||
3.650%, 02/24/23 (D) | 259 | 213 | ||||||
3.650%, 02/24/24 (D) | 259 | 208 | ||||||
3.650%, 02/24/25 (D) | 259 | 204 | ||||||
3.650%, 02/24/26 (D) | 259 | 199 | ||||||
3.650%, 02/24/27 (D) | 259 | 194 | ||||||
3.650%, 02/24/28 (D) | 259 | 190 | ||||||
3.650%, 02/24/29 (D) | 259 | 186 | ||||||
3.650%, 02/24/30 (D) | 259 | 182 | ||||||
3.650%, 02/24/31 (D) | 259 | 180 | ||||||
3.650%, 02/24/32 (D) | 259 | 177 | ||||||
3.650%, 02/24/33 (D) | 259 | 172 | ||||||
3.650%, 02/24/34 (D) | 259 | 169 | ||||||
3.650%, 02/24/35 (D) | 259 | 169 | ||||||
3.650%, 02/24/36 (D) | 259 | 166 | ||||||
3.650%, 02/24/37 (D) | 259 | 163 | ||||||
3.650%, 02/24/38 (D) | 259 | 165 | ||||||
3.650%, 02/24/39 (D) | 259 | 165 | ||||||
3.650%, 02/24/40 (D) | 259 | 165 | ||||||
3.650%, 02/24/41 (D) | 259 | 165 | ||||||
3.650%, 02/24/42 (D) | 259 | 165 | ||||||
3.375%, 07/17/17 (A) | 3,017 | 3,197 | ||||||
Indonesia Government International Bond MTN | ||||||||
4.750%, 01/08/26 | 215 | 226 | ||||||
Mexico Government International Bond | ||||||||
4.000%, 10/02/23 | 724 | 759 | ||||||
Pakistan Government International Bond | ||||||||
6.750%, 12/03/19 | 1,000 | 1,045 | ||||||
Paraguay Government International Bond | ||||||||
4.625%, 01/25/23 | 533 | 538 | ||||||
Petroleos de Venezuela | ||||||||
6.000%, 11/15/26 | 2,448 | 755 | ||||||
Russian Foreign Bond - Eurobond | ||||||||
5.625%, 04/04/42 | 2,000 | 2,022 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
Sri Lanka Government International Bond | ||||||||
6.850%, 11/03/25 | $ | 767 | $ | 731 | ||||
|
| |||||||
Total Sovereign Debt | 23,102 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 1.4% |
| |||||||
Energy — 0.7% |
| |||||||
Petrobras Global Finance | ||||||||
6.850%, 06/05/2115 | 2,117 | 1,477 | ||||||
4.875%, 03/17/2020 | 1,625 | 1,352 | ||||||
Petroleos Mexicanos MTN | ||||||||
6.875%, 08/04/2026 | 308 | 333 | ||||||
4.250%, 01/15/2025 | 420 | 389 | ||||||
|
| |||||||
3,551 | ||||||||
|
| |||||||
Government — 0.7% | ||||||||
Argentine Republic Government International Bond | ||||||||
8.750%, 06/02/2017 (B) | 1,582 | 1,871 | ||||||
Bahrain Government International Bond | ||||||||
7.000%, 01/26/2026 | 1,584 | 1,569 | ||||||
Iraq International Bond | ||||||||
5.800%, 01/15/2028 | 701 | 481 | ||||||
|
| |||||||
3,921 | ||||||||
|
| |||||||
Total Corporate Obligations | 7,472 | |||||||
|
| |||||||
PREFERRED STOCK — 0.1% |
| |||||||
Financials — 0.1% | ||||||||
FHLMC, 8.375%* (C) | 86,279 | 267 | ||||||
FNMA, 8.250%* (C) | 114,003 | 347 | ||||||
|
| |||||||
Total Preferred Stock | 614 | |||||||
|
| |||||||
CASH EQUIVALENT — 14.5% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.300%**† | 79,410,562 | 79,411 | ||||||
|
| |||||||
Total Cash Equivalent (Cost $79,411) ($ Thousands) | 79,411 | |||||||
|
| |||||||
Total Investments — 97.5% | $ | 533,705 | ||||||
|
|
142 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Shares | Market Value ($ Thousands) | ||||||
EXCHANGE TRADED FUNDS SOLD SHORT— (1.2)% |
| |||||||
iShares iBoxx USD High Yield Corporate Bond ETF | (13,375 | ) | $ | (1,093 | ) | |||
SPDR Barclays High Yield Bond ETF | (13,982 | ) | (479 | ) | ||||
SPDR S&P 500 ETF Trust | (23,774 | ) | (4,887 | ) | ||||
|
| |||||||
Total Exchange Traded Funds Sold Short |
| (6,459 | ) | |||||
|
| |||||||
COMMON STOCK SOLD SHORT — (7.2)% |
| |||||||
Consumer Discretionary — (2.0)% |
| |||||||
Charter Communications, Cl A* | (31,495 | ) | (6,376 | ) | ||||
Fossil Group* | (10,381 | ) | (461 | ) | ||||
Garmin | (11,793 | ) | (471 | ) | ||||
Interval Leisure Group | (11,760 | ) | (170 | ) | ||||
J.C. Penney* | (42,415 | ) | (469 | ) | ||||
Liberty Global, Cl C* | (15,738 | ) | (591 | ) | ||||
NetFlix* | (5,317 | ) | (544 | ) | ||||
Nexstar Broadcasting Group, Cl A | (7,075 | ) | (313 | ) | ||||
Select Comfort* | (28,296 | ) | (549 | ) | ||||
Tesla Motors* | (5,441 | ) | (1,250 | ) | ||||
| �� | |||||||
(11,194 | ) | |||||||
|
| |||||||
Consumer Staples — (0.1)% |
| |||||||
Sanderson Farms | (5,921 | ) | (534 | ) | ||||
|
| |||||||
Energy — 0.0% | ||||||||
BW LPG | (47,000 | ) | (286 | ) | ||||
|
| |||||||
Financials — (0.2)% | ||||||||
First Niagara Financial Group | (29,645 | ) | (287 | ) | ||||
New York Community Bancorp | (34,657 | ) | (551 | ) | ||||
|
| |||||||
(838 | ) | |||||||
|
| |||||||
Health Care — (3.3)% |
| |||||||
Aetna, Cl A | (18,192 | ) | (2,044 | ) | ||||
Anthem | (3,622 | ) | (503 | ) | ||||
Mylan* | (4,883 | ) | (226 | ) | ||||
Pfizer | (380,697 | ) | (11,284 | ) | ||||
Shire ADR | (22,819 | ) | (3,923 | ) | ||||
|
| |||||||
(17,980 | ) | |||||||
|
| |||||||
Industrials — (0.1)% |
| |||||||
JetBlue Airways* | (22,042 | ) | (465 | ) | ||||
|
| |||||||
Information Technology — (1.0)% | ||||||||
KLA-Tencor | (11,892 | ) | (866 | ) | ||||
MobileIron* | (17,623 | ) | (80 | ) | ||||
Mobileye* | (25,847 | ) | (964 | ) | ||||
NeuStar, Cl A* | (34,924 | ) | (859 | ) |
Description | Shares/Contracts | Market Value ($ Thousands) | ||||||
Rosetta Stone* | (34,197 | ) | $ | (229 | ) | |||
VMware, Cl A* | (30,918 | ) | (1,617 | ) | ||||
Western Digital | (14,264 | ) | (674 | ) | ||||
|
| |||||||
(5,289 | ) | |||||||
|
| |||||||
Materials — (0.5)% |
| |||||||
Airgas | (14,418 | ) | (2,042 | ) | ||||
Ball | (2,740 | ) | (195 | ) | ||||
Cabot | (12,139 | ) | (587 | ) | ||||
|
| |||||||
(2,824 | ) | |||||||
|
| |||||||
Utilities — 0.0% |
| |||||||
Fortis | (7,695 | ) | (243 | ) | ||||
|
| |||||||
Total Common Stock Sold Short (Proceeds $38,325) ($ Thousands) | (39,653 | ) | ||||||
|
| |||||||
Total Investments Sold Short — (8.4)% |
| $ | (46,112 | ) | ||||
|
| |||||||
PURCHASED OPTIONS(E)* — 0.2% |
| |||||||
ADT Put, Expires 07/15/16, | 247 | 10 | ||||||
Aetna Put, Expires 05/20/16, Strike Price $105.00 | 91 | 15 | ||||||
Aetna Put, Expires 05/20/16, Strike Price $110.00 | 28 | 8 | ||||||
Aetna Put, Expires 04/15/16, Strike Price $105.00 | 33 | 1 | ||||||
Alere Call, Expires 05/20/16, Strike Price $55.00 | 78 | 1 | ||||||
Alere Put, Expires 08/19/16, Strike Price $40.00 | 78 | 4 | ||||||
Allergan Call, Expires 04/15/16, Strike Price $240.00 | 50 | 144 | ||||||
Allergan Call, Expires 04/15/16, Strike Price $285.00 | 18 | 4 | ||||||
Allergan Call, Expires 05/20/16, Strike Price $200.00 | 60 | 440 | ||||||
Allergan Call, Expires 04/15/16, Strike Price $290.00 | 27 | 4 | ||||||
Apollo Education Group Put, Expires 08/19/16, | 196 | 1 | ||||||
Apollo Education Group Put, | 63 | 1 | ||||||
April 2016, S&P 500 Index Put, Expires 04/15/16, Strike Price $30.00 | 37 | 34 | ||||||
April 2016, S&P 500 Index Put, Expires 04/29/16, | 13 | 24 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 143 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Strategy Alternative Fund (Continued)
March 31, 2016
Description | Contracts | Market Value ($ Thousands) | ||||||
April 2016, S&P 500 Index Put, Expires 04/29/16, Strike Price $20.00 | 46 | $ | 70 | |||||
April 2016, S&P 500 Index Put, Expires 04/29/16, Strike Price $840.00 | 13 | 2 | ||||||
April 2016, S&P 500 Index Put, Expires 04/29/16, Strike Price $820.00 | 46 | 6 | ||||||
April 2016, S&P 500 Index Put, Expires 04/15/16, Strike Price $830.00 | 37 | 2 | ||||||
Baxalta Put, Expires 05/20/16, Strike Price $35.00 | 104 | 1 | ||||||
Baxalta Put, Expires 05/20/16, Strike Price $30.00 | 78 | — | ||||||
Baxalta Put, Expires 04/15/16, Strike Price $35.00 | 117 | 1 | ||||||
Charter Communications Call, Expires 04/15/16, Strike Price $210.00 | 20 | 4 | ||||||
Charter Communications Put, Expires 05/20/16, Strike Price $180.00 | 20 | 6 | ||||||
Charter Communications Put, Expires 04/15/16, Strike Price $190.00 | 39 | 7 | ||||||
Cigna Put, Expires 04/15/16, | 31 | 2 | ||||||
EI du Pont de Nemours Call, Expires 04/15/16, Strike Price $70.00 | 39 | — | ||||||
EI du Pont de Nemours Call, Expires 07/15/16, Strike Price $70.00 | 20 | 1 | ||||||
EI du Pont de Nemours Call, Expires 04/15/16, Strike Price $67.50 | 20 | — | ||||||
EMC Put, Expires 04/15/16, Strike Price $23.00 | 315 | 3 | ||||||
EMC Put, Expires 04/15/16, Strike Price $24.00 | 315 | 3 | ||||||
EMC Put, Expires 04/15/16, Strike Price $25.00 | 110 | 1 | ||||||
Humana Put, Expires 04/15/16, Strike Price $180.00 | 49 | 5 | ||||||
Humana Put, Expires 04/15/16, Strike Price $170.00 | 15 | 1 | ||||||
Liberty Global Call, Expires 04/15/16, Strike Price $45.00 | 146 | 1 | ||||||
Liberty Global Call, Expires 04/15/16, Strike Price $47.50 | 16 | — |
Description | Contracts | Market Value ($ Thousands) | ||||||
Liberty Global Call, Expires 04/15/16, Strike Price $42.50 | 19 | $ | — | |||||
Mylan Call, Expires 07/15/16, Strike Price $50.00 | 26 | 6 | ||||||
Mylan Call, Expires 04/15/16, Strike Price $55.00 | 44 | — | ||||||
Mylan Call, Expires 04/15/16, Strike Price $52.50 | 36 | — | ||||||
Mylan Call, Expires 07/15/16, Strike Price $52.50 | 20 | 3 | ||||||
Nexstar Broadcasting Group Put, Expires 06/17/16, Strike Price $40.00 | 29 | 4 | ||||||
Nexstar Broadcasting Group Put, Expires 06/17/16, Strike Price $35.00 | 50 | 2 | ||||||
Pfizer Call, Expires 09/16/16, Strike Price $33.00 | 118 | 4 | ||||||
Pfizer Call, Expires 09/16/16, Strike Price $34.00 | 260 | 4 | ||||||
Pfizer Call, Expires 04/15/16, Strike Price $33.00 | 719 | 1 | ||||||
Pfizer Call, Expires 07/15/16, Strike Price $33.00 | 327 | 5 | ||||||
Pfizer Call, Expires 04/15/16, Strike Price $32.00 | 470 | 1 | ||||||
Pfizer Call, Expires 07/15/16, Strike Price $34.00 | 290 | 2 | ||||||
Pfizer Put, Expires 04/15/16, Strike Price $30.00 | 392 | 24 | ||||||
Pfizer Put, Expires 04/15/16, Strike Price $31.00 | 392 | 51 | ||||||
Pfizer Put, Expires 04/15/16, Strike Price $32.00 | 392 | 84 | ||||||
SanDisk Put, Expires 05/20/16, Strike Price $65.00 | 39 | 3 | ||||||
SanDisk Put, Expires 04/15/16, Strike Price $65.00 | 38 | 1 | ||||||
SPDR S&P 500 ETF Trust Put, Expires 04/15/16, Strike Price $180.00 | 43 | — | ||||||
Staples Call, Expires 09/16/16, Strike Price $12.00 | 66 | 6 | ||||||
Staples Call, Expires 06/17/16, Strike Price $13.00 | 69 | 3 | ||||||
Starwood Hotels & Resorts Worldwide Call, Expires 04/15/16, | 98 | 5 | ||||||
VMware Put, Expires 04/15/16, Strike Price $51.00 | 35 | 2 |
144 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Contracts | Market Value ($ Thousands) | ||||||
Western Digital Put, Expires 04/15/16, Strike Price $40.00 | 53 | $ | 1 | |||||
Western Digital Put, Expires 05/20/16, Strike Price $40.00 | 17 | 2 | ||||||
|
| |||||||
Total Purchased Options (Cost $1,398) ($ Thousands) | $ | 1,021 | ||||||
|
| |||||||
WRITTEN OPTIONS(E) — 0.0% |
| |||||||
Aetna Put, Expires 5/20/16 | (28 | ) | (3 | ) | ||||
Aetna Put, Expires 5/20/16 | (91 | ) | (5 | ) | ||||
April 16, S&P 500 Index Put, | (74 | ) | (9 | ) | ||||
April 16, S&P 500 Index Put, | (26 | ) | (13 | ) | ||||
April 16, S&P 500 Index Put, | (92 | ) | (37 | ) | ||||
Humana Put, Expires 4/15/16 | (49 | ) | (11 | ) | ||||
Liberty Global Call, Expires 4/15/16 | (16 | ) | — | |||||
Pfizer Call, Expires 4/15/16 | (255 | ) | (1 | ) | ||||
Pfizer Call, Expires 4/15/16 | (392 | ) | (9 | ) | ||||
|
| |||||||
Total Written Options |
| $ | (88 | ) | ||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Short | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | (11 | ) | Jun-2016 | $ | (23 | ) | ||||||
U.S. 10-Year Treasury Note | (12 | ) | Jun-2016 | — | ||||||||
U.S. Long Treasury Bond | (13 | ) | Jun-2016 | — | ||||||||
|
| |||||||||||
$ | (23 | ) | ||||||||||
|
|
For the period ended March 31, 2016, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
A list of the open forward foreign currency contracts held by the Fund at March 31, 2016, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
04/04/16 | USD | 2,752 | BRL | 10,534 | $ | 217 | ||||||||||||||
04/04/16 | BRL | 10,534 | USD | 2,740 | (229 | ) | ||||||||||||||
04/18/16 | KRW | 1,829,362 | USD | 1,529 | (75 | ) | ||||||||||||||
06/15/16 | USD | 2,096 | MXP | 37,652 | 86 | |||||||||||||||
06/15/16 | EUR | 13,893 | USD | 15,477 | (391 | ) | ||||||||||||||
06/15/16-08/22/16 | CNH | 29,803 | USD | 4,502 | (95 | ) | ||||||||||||||
06/15/16 | MXP | 37,652 | USD | 2,174 | (9 | ) | ||||||||||||||
06/15/16 | JPY | 134,352 | USD | 1,185 | (13 | ) | ||||||||||||||
01/19/17 | SAR | 9,333 | USD | 2,431 | (42 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (551 | ) | ||||||||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2016, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Depreciation $ Thousands | |||||||||
Credit Suisse First Boston | $ | (19,990 | ) | $ | 19,661 | $ | (329 | ) | ||||
Morgan Stanley | (14,204 | ) | 14,051 | (153 | ) | |||||||
UBS | (1,545 | ) | 1,476 | (69 | ) | |||||||
|
| |||||||||||
$ | (551 | ) | ||||||||||
|
|
For the period ended March 31, 2016, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
A list of open OTC swap agreements held by the Fund at March 31, 2016, is as follows:
Total Return Swaps | ||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($Thousands) | ||||||||||
Morgan Stanley | Cable & Wireless Communications | 1-Month USD - LIBOR | Asset Return | 12/12/17 | $ | (26 | ) | $ | 32 | |||||||
Morgan Stanley | Rexam PLC | 1-Month USD - LIBOR | Asset Return | 12/12/17 | (455 | ) | 32 | |||||||||
Morgan Stanley | Meda AB | 1-Month USD - LIBOR | Asset Return | 02/14/18 | (257 | ) | 20 | |||||||||
Morgan Stanley | Meda AB | 1-Month SEK - STIBOR | Asset Return | 02/21/18 | (8,363 | ) | 5 | |||||||||
Morgan Stanley | Opera Software ASA | 1 Week NOK - NIBOR | Asset Return | 02/21/18 | (6,684 | ) | (19 | ) | ||||||||
|
| |||||||||||||||
$ | 70 | |||||||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 145 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Strategy Alternative Fund (Concluded)
March 31, 2016
A list of open centrally cleared swap agreements held by the Fund at March 31, 2016, 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) | ||||||||||
State Street | Republic Of South Africa | BUY | 1.00% | 06/20/21 | $ | 1,156 | $ | — | ||||||||
State Street | Republic Of Turkey | BUY | 1.00% | 12/20/20 | 2,696 | (63 | ) | |||||||||
|
| |||||||||||||||
$ | (63 | ) | ||||||||||||||
|
|
For the period ended March 31, 2016, the total amount of all swap contracts, as represented 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 $547,173 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2016. |
† | 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 be sold only to dealers in that program or other “accredited investors.” |
(B) | Security is in default on interest payment. |
(C) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2016. |
(D) | Step Bonds – The rate reflected on the Schedule of Investments is the effective yield on March 31, 2016. The coupon on a step bond changes on a specified date. |
(E) | For the period ended March 31, 2016, the total amount of open purchased and written options, as presented in the Schedule of Investments, are representative of the volume of activity for these derivative types during the period. |
ADR — American Depositary Receipt
BRL — Brazilian Real
Cl — Class
CNH — Chinese Offshore Yen
ETF — Exchanged Traded Fund
EUR — Euro
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
JPY — Japanese Yen
KRW — Korean Won
LIBOR — London Interbank Offered Rate
MTN — Medium Term Note
MXP — Mexican Peso
NIBOR — Norwegian Interbank Offered Rate
NOK — Norwegian Krone
SAR — Saudi Riyal
S&P — Standard & Poor’s
SEK — Swedish Krona
SPDR — Standard & Poor’s Depository Receipt
STIBOR — Stockholm Interbank Offered Rate
USD — U.S. Dollar
The following is a list of the levels of inputs used as of March 31, 2016 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Registered Investment Companies | $ | 337,530 | $ | — | $ | — | $ | 337,530 | ||||||||
Common Stock | 85,576 | — | — | 85,576 | ||||||||||||
Sovereign Debt | — | 23,102 | — | 23,102 | ||||||||||||
Corporate Obligations | — | 7,472 | — | 7,472 | ||||||||||||
Preferred Stock | 614 | — | — | 614 | ||||||||||||
Cash Equivalent | 79,411 | — | — | 79,411 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 503,131 | $ | 30,574 | $ | — | $ | 533,705 | ||||||||
|
|
|
|
|
|
|
|
Securities Sold Short | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | (6,459 | ) | $ | — | $ | — | $ | (6,459 | ) | ||||||
Common Stock | (39,653 | ) | — | — | (39,653 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Securities Sold Short | $ | (46,112 | ) | $ | — | $ | — | $ | (46,112 | ) | ||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Options | $ | 1,021 | $ | — | $ | — | $ | 1,021 | ||||||||
Written Options | (88 | ) | — | — | (88 | ) | ||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | (23 | ) | — | — | (23 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 303 | — | 303 | ||||||||||||
Unrealized Depreciation | — | (854 | ) | — | (854 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Total Return Swaps* | ||||||||||||||||
Unrealized Appreciation | — | 89 | — | 89 | ||||||||||||
Unrealized Depreciation | — | (19 | ) | — | (19 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Depreciation | — | (63 | ) | — | (63 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 910 | $ | (544 | ) | $ | — | $ | 366 | |||||||
|
|
|
|
|
|
|
|
* | Futures contracts, forwards contracts, and swap contracts are valued at the unrealized appreciation/ (depreciation) on the instrument. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
146 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
U.S. TREASURY OBLIGATIONS — 22.8% |
| |||||||||
U.S. Treasury Bills (A) (C) | ||||||||||
0.511%, 09/15/2016 | $ | 2,328 | $ | 2,325 | ||||||
0.456%, 08/25/2016 | 1,667 | 1,665 | ||||||||
0.441%, 09/22/2016 | 1,322 | 1,320 | ||||||||
0.414%, 06/02/2016 | 43,790 | 43,778 | ||||||||
0.345%, 05/26/2016 | 41,108 | 41,099 | ||||||||
0.327%, 05/19/2016 | 43,936 | 43,928 | ||||||||
0.307%, 05/12/2016 | 23,750 | 23,747 | ||||||||
U.S. Treasury Inflation Protected Securities | ||||||||||
3.875%, 04/15/2029 | 605 | 866 | ||||||||
3.625%, 04/15/2028 | 825 | 1,136 | ||||||||
2.625%, 07/15/2017 | 686 | 722 | ||||||||
2.500%, 07/15/2016 | 737 | 750 | ||||||||
2.500%, 01/15/2029 | 393 | 493 | ||||||||
2.375%, 01/15/2017 | 235 | 242 | ||||||||
2.375%, 01/15/2025 | 3,103 | 3,695 | ||||||||
2.375%, 01/15/2027 | 764 | 933 | ||||||||
2.125%, 01/15/2019 | 331 | 357 | ||||||||
2.125%, 02/15/2041 | 1,153 | 1,484 | ||||||||
2.000%, 01/15/2026 | 2,489 | 2,914 | ||||||||
1.875%, 07/15/2019 | 781 | 849 | ||||||||
1.750%, 01/15/2028 | 1,101 | 1,277 | ||||||||
1.375%, 07/15/2018 | 439 | 464 | ||||||||
1.375%, 01/15/2020 | 956 | 1,024 | ||||||||
1.375%, 02/15/2044 | 1,017 | 1,138 | ||||||||
1.250%, 07/15/2020 | 493 | 530 | ||||||||
1.125%, 01/15/2021 | 1,984 | 2,120 | ||||||||
0.750%, 02/15/2042 | 1,520 | 1,476 | ||||||||
0.625%, 07/15/2021 | 2,292 | 2,405 | ||||||||
0.625%, 01/15/2024 | 2,335 | 2,432 | ||||||||
0.375%, 07/15/2023 | 458 | 472 | ||||||||
0.375%, 07/15/2025 | 48,014 | 49,062 | ||||||||
0.250%, 01/15/2025 | 1,300 | 46,480 | ||||||||
0.125%, 04/15/2016 | 884 | 885 | ||||||||
0.125%, 04/15/2017 | 417 | 422 | ||||||||
0.125%, 04/15/2018 | 1,486 | 1,512 | ||||||||
0.125%, 04/15/2019 | 2,022 | 77,860 | ||||||||
0.125%, 04/15/2020 | 84,056 | 85,819 | ||||||||
0.125%, 01/15/2022 | 1,779 | 1,806 | ||||||||
0.125%, 07/15/2022 | 2,009 | 2,044 | ||||||||
0.125%, 01/15/2023 | 154 | 155 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
0.125%, 07/15/2024 | 1,497 | $ | 35,483 | |||||||||
|
| |||||||||||
Total U.S. Treasury Obligations (Cost $478,823) ($ Thousands) |
| 487,169 | ||||||||||
|
| |||||||||||
SOVEREIGN DEBT — 12.2% |
| |||||||||||
African Development Bank MTN (C) | ||||||||||||
1.125%, 03/15/2017 | 200 | 201 | ||||||||||
0.875%, 03/15/2018 | 500 | 499 | ||||||||||
Andina de Fomento (C) | ||||||||||||
4.375%, 06/15/2022 | 250 | 275 | ||||||||||
Asian Development Bank MTN (C) | ||||||||||||
5.593%, 07/16/2018 | 250 | 275 | ||||||||||
1.125%, 03/15/2017 | 150 | 150 | ||||||||||
0.500%, 06/20/2016 | 1,000 | 1,000 | ||||||||||
Bundesrepublik Deutschland Bundesobligation Inflation Linked Bond | ||||||||||||
0.750%, 04/15/2018 | EUR | 1,871 | 2,213 | |||||||||
0.750%, 04/15/2018 | EUR | 327 | 386 | |||||||||
Canada Government International Bond (C) | ||||||||||||
1.625%, 02/27/2019 | 500 | 509 | ||||||||||
0.875%, 02/14/2017 | 1,200 | 1,202 | ||||||||||
Chile Government International Bond (C) | ||||||||||||
3.875%, 08/05/2020 | 250 | 271 | ||||||||||
Council of Europe Development Bank MTN (C) | ||||||||||||
1.500%, 02/22/2017 | 850 | 856 | ||||||||||
Deutsche Bundesrepublik Inflation Linked Bond | ||||||||||||
1.750%, 04/15/2020 | EUR | 4,094 | 7,242 | |||||||||
1.750%, 04/15/2020 | EUR | 15,644 | 19,832 | |||||||||
1.500%, 04/15/2016 | EUR | 280 | 320 | |||||||||
0.500%, 04/15/2030 | EUR | 3,035 | 4,025 | |||||||||
0.100%, 04/15/2023 | EUR | 828 | 13,476 | |||||||||
0.100%, 04/15/2026 | EUR | 992 | 31,129 | |||||||||
0.100%, 04/15/2046 | EUR | 200 | 266 | |||||||||
Development Bank of Japan (C) | ||||||||||||
5.125%, 02/01/2017 | 200 | 206 | ||||||||||
European Bank for Reconstruction & Development MTN (C) | ||||||||||||
1.500%, 03/16/2020 | 250 | 251 | ||||||||||
1.000%, 02/16/2017 | 600 | 601 | ||||||||||
0.750%, 09/01/2017 | 200 | 200 | ||||||||||
European Investment Bank MTN (C) | ||||||||||||
4.875%, 02/15/2036 | 250 | 323 | ||||||||||
1.000%, 12/15/2017 | 150 | 150 | ||||||||||
Export Development Canada (C) | ||||||||||||
0.750%, 12/15/2017 | 750 | 749 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 147 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2016
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
FMS Wertmanagement AoeR (C) | ||||||||||||
1.000%, 11/21/2017 | 950 | $ | 949 | |||||||||
0.625%, 04/18/2016 | 750 | 750 | ||||||||||
France Government Bond OAT | ||||||||||||
3.400%, 07/25/2029 | EUR | 236 | 411 | |||||||||
3.150%, 07/25/2032 | EUR | 694 | 1,243 | |||||||||
2.250%, 07/25/2020 | EUR | 613 | 21,572 | |||||||||
2.100%, 07/25/2023 | EUR | 1,063 | 1,473 | |||||||||
1.850%, 07/25/2027 | EUR | 1,546 | 2,247 | |||||||||
1.800%, 07/25/2040 | EUR | 964 | 1,615 | |||||||||
1.300%, 07/25/2019 | EUR | 239 | 294 | |||||||||
1.100%, 07/25/2022 | EUR | 1,198 | 1,544 | |||||||||
1.100%, 07/25/2022 | EUR | 6,623 | 8,538 | |||||||||
1.000%, 07/25/2017 | EUR | 1,066 | 1,255 | |||||||||
0.700%, 07/25/2030 (B) | EUR | 198 | 260 | |||||||||
0.250%, 07/25/2018 | EUR | 1,536 | 1,822 | |||||||||
0.250%, 07/25/2024 | EUR | 6,202 | 7,683 | |||||||||
0.250%, 07/25/2024 | EUR | 1,200 | 1,487 | |||||||||
0.100%, 07/25/2021 | EUR | 1,201 | 8,043 | |||||||||
0.100%, 03/01/2025 | EUR | 1,290 | 8,673 | |||||||||
French Treasury Note BTAN | ||||||||||||
0.450%, 07/25/2016 | EUR | 603 | 696 | |||||||||
Hydro-Quebec (C) | ||||||||||||
2.000%, 06/30/2016 | 250 | 250 | ||||||||||
1.375%, 06/19/2017 | 150 | 151 | ||||||||||
Inter-American Development Bank (C) | ||||||||||||
7.000%, 06/15/2025 | 500 | 690 | ||||||||||
3.875%, 09/17/2019 | 350 | 382 | ||||||||||
1.125%, 03/15/2017 | 300 | 301 | ||||||||||
International Bank for Reconstruction & Development (C) | ||||||||||||
4.750%, 02/15/2035 | 250 | 323 | ||||||||||
0.875%, 04/17/2017 | 450 | 451 | ||||||||||
International Finance MTN (C) | ||||||||||||
2.125%, 11/17/2017 | 750 | 765 | ||||||||||
1.750%, 09/04/2018 | 200 | 203 | ||||||||||
1.125%, 11/23/2016 | 750 | 752 | ||||||||||
1.000%, 04/24/2017 | 300 | 301 | ||||||||||
Italy Buoni Poliennali Del Tesoro | ||||||||||||
3.100%, 09/15/2026 | EUR | 940 | 1,355 | |||||||||
2.600%, 09/15/2023 | EUR | 1,202 | 1,621 | |||||||||
2.550%, 09/15/2041 | EUR | 942 | 1,399 | |||||||||
2.350%, 09/15/2019 | EUR | 545 | 683 | |||||||||
2.350%, 09/15/2024 (B) | EUR | 594 | 790 | |||||||||
2.350%, 09/15/2035 | EUR | 594 | 849 | |||||||||
2.100%, 09/15/2016 | EUR | 538 | 626 | |||||||||
2.100%, 09/15/2017 | EUR | 973 | 1,160 | |||||||||
2.100%, 09/15/2021 | EUR | 587 | 752 | |||||||||
1.700%, 09/15/2018 | EUR | 896 | 1,083 | |||||||||
1.700%, 09/15/2018 | EUR | 100 | 120 | |||||||||
Korea Development Bank (C) | ||||||||||||
4.625%, 11/16/2021 | 250 | 281 |
Description | Face Amount (1) (Thousands)/ Shares | Market Value ($ Thousands) | ||||||||||
Nordic Investment Bank MTN (C) | ||||||||||||
1.000%, 03/07/2017 | 750 | $ | 752 | |||||||||
0.750%, 01/17/2018 | 200 | 199 | ||||||||||
0.500%, 04/14/2016 | 750 | 750 | ||||||||||
North American Development Bank (C) | ||||||||||||
2.400%, 10/26/2022 | 200 | 203 | ||||||||||
Province of British Columbia Canada (C) | ||||||||||||
6.500%, 01/15/2026 | 250 | 337 | ||||||||||
2.000%, 10/23/2022 | 250 | 252 | ||||||||||
Province of Manitoba Canada (C) | ||||||||||||
3.050%, 05/14/2024 | 250 | 264 | ||||||||||
Province of Ontario Canada (C) | ||||||||||||
2.450%, 06/29/2022 | 250 | 256 | ||||||||||
Province of Quebec Canada (C) | ||||||||||||
7.500%, 09/15/2029 | 200 | 298 | ||||||||||
Svensk Exportkredit (C) | ||||||||||||
5.125%, 03/01/2017 | 150 | 156 | ||||||||||
United Kingdom Gilt Inflation Linked | ||||||||||||
4.125%, 07/22/2030 | GBP | 100 | 483 | |||||||||
2.500%, 07/26/2016 | GBP | 50 | 230 | |||||||||
2.500%, 04/16/2020 | GBP | 429 | 2,224 | |||||||||
2.500%, 07/17/2024 | GBP | 340 | 1,675 | |||||||||
2.000%, 01/26/2035 | GBP | 432 | 1,460 | |||||||||
1.875%, 11/22/2022 | GBP | 881 | 1,540 | |||||||||
1.250%, 11/22/2017 | GBP | 200 | 301 | |||||||||
1.250%, 11/22/2027 | GBP | 1,200 | 2,198 | |||||||||
1.250%, 11/22/2032 | GBP | 684 | 1,373 | |||||||||
1.250%, 11/22/2055 | GBP | 320 | 956 | |||||||||
1.125%, 11/22/2037 | GBP | 998 | 2,145 | |||||||||
0.750%, 03/22/2034 | GBP | 947 | 1,805 | |||||||||
0.750%, 11/22/2047 | GBP | 810 | 1,877 | |||||||||
0.625%, 03/22/2040 | GBP | 1,757 | 3,569 | |||||||||
0.625%, 11/22/2042 | GBP | 1,005 | 2,123 | |||||||||
0.500%, 03/22/2050 | GBP | 424 | 960 | |||||||||
0.375%, 03/22/2062 | GBP | 486 | 1,278 | |||||||||
0.250%, 03/22/2052 | GBP | 642 | 1,393 | |||||||||
0.125%, 03/22/2024 | GBP | 267 | 29,391 | |||||||||
0.125%, 03/22/2026 | GBP | 14,431 | 23,188 | |||||||||
0.125%, 03/22/2029 | GBP | 109 | 180 | |||||||||
0.125%, 03/22/2044 | GBP | 107 | 204 | |||||||||
0.125%, 03/22/2058 | GBP | 1,214 | 2,758 | |||||||||
0.125%, 03/22/2068 | GBP | 311 | 818 | |||||||||
|
| |||||||||||
Total Sovereign Debt |
| 260,046 | ||||||||||
|
| |||||||||||
FOREIGN COMMON STOCK — 4.5% |
| |||||||||||
Australia — 0.3% | ||||||||||||
AGL Energy | 25,712 | 364 |
148 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Amcor | 3,900 | $ | 43 | |||||||
APA Group | 38,075 | 258 | ||||||||
Aristocrat Leisure | 20,061 | 159 | ||||||||
Asciano | 15,358 | 106 | ||||||||
ASX | 2,472 | 79 | ||||||||
Aurizon Holdings | 21,309 | 65 | ||||||||
AusNet Services | 264,595 | 303 | ||||||||
BHP Billiton | 5,561 | 72 | ||||||||
Brambles | 9,655 | 90 | ||||||||
Caltex Australia | 6,748 | 177 | ||||||||
CIMIC Group | 4,686 | 125 | ||||||||
Coca-Cola Amatil | 19,358 | 132 | ||||||||
Cochlear | 2,895 | 228 | ||||||||
Computershare | 58,392 | 439 | ||||||||
Crown Resorts | 10,576 | 101 | ||||||||
CSL | 3,596 | 281 | ||||||||
DUET Group | 92,883 | 163 | ||||||||
Fortescue Metals Group | 27,506 | 54 | ||||||||
Harvey Norman Holdings | 38,002 | 137 | ||||||||
Healthscope | 82,236 | 168 | ||||||||
Iluka Resources | 13,740 | 69 | ||||||||
Incitec Pivot | 29,314 | 72 | ||||||||
Insurance Australia Group | 17,664 | 76 | ||||||||
LendLease Group | 3,959 | 42 | ||||||||
Origin Energy | 40,531 | 159 | ||||||||
Qantas Airways | 25,771 | 81 | ||||||||
Ramsay Health Care | 5,073 | 239 | ||||||||
REA Group | 2,602 | 108 | ||||||||
Rio Tinto | 2,745 | 90 | ||||||||
Santos | 26,897 | 83 | ||||||||
Scentre Group‡ | 11,668 | 40 | ||||||||
SEEK | 7,445 | 93 | ||||||||
Sonic Healthcare | 16,500 | 238 | ||||||||
South32 | 36,210 | 41 | ||||||||
Sydney Airport | 20,066 | 103 | ||||||||
Tabcorp Holdings | 34,462 | 113 | ||||||||
Tatts Group | 44,420 | 129 | ||||||||
Telstra, Cl B | 88,932 | 365 | ||||||||
TPG Telecom | 33,522 | 292 | ||||||||
Transurban Group | 13,849 | 121 | ||||||||
Treasury Wine Estates | 30,987 | 230 | ||||||||
Vicinity Centres‡ | 28,772 | 71 | ||||||||
Wesfarmers | 4,028 | 128 | ||||||||
Westfield‡ | 9,207 | 71 | ||||||||
Westpac Banking | 2,441 | 57 | ||||||||
Woodside Petroleum | 6,856 | 137 | ||||||||
Woolworths | 9,620 | 164 | ||||||||
|
| |||||||||
6,956 | ||||||||||
|
| |||||||||
Austria — 0.0% | ||||||||||
Andritz | 4,304 | 237 | ||||||||
Erste Group Bank | 2,296 | 64 | ||||||||
OMV | 9,074 | 256 | ||||||||
Raiffeisen Bank International | 5,812 | 88 | ||||||||
voestalpine | 5,195 | 174 | ||||||||
|
| |||||||||
819 | ||||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||||
Belgium — 0.1% | ||||||||||
Ageas | 2,714 | $ | 108 | |||||||
Anheuser-Busch InBev | 1,572 | 196 | ||||||||
Colruyt | 6,336 | 370 | ||||||||
Delhaize Group | 2,391 | 250 | ||||||||
KBC Groep | 1,942 | 100 | ||||||||
Proximus | 12,349 | 423 | ||||||||
Solvay | 1,290 | 129 | ||||||||
Telenet Group Holding* | 6,085 | 308 | ||||||||
UCB, Cl A | 5,104 | 391 | ||||||||
Umicore | 4,213 | 210 | ||||||||
|
| |||||||||
2,485 | ||||||||||
|
| |||||||||
Canada — 0.4% | ||||||||||
Agnico Eagle Mines | 2,432 | 88 | ||||||||
Agrium | 572 | 51 | ||||||||
Alimentation Couche-Tard, Cl B | 5,390 | 241 | ||||||||
Atco, Cl I | 9,853 | 299 | ||||||||
Bank of Montreal | 1,312 | 80 | ||||||||
Bank of Nova Scotia, Cl C | 1,590 | 78 | ||||||||
Barrick Gold | 2,713 | 37 | ||||||||
BCE | 8,954 | 410 | ||||||||
BlackBerry* | 20,413 | 166 | ||||||||
Bombardier, Cl B* | 106,088 | 108 | ||||||||
CAE | 9,180 | 107 | ||||||||
Canadian National Railway | 2,192 | 138 | ||||||||
Canadian Natural Resources | 4,257 | 116 | ||||||||
Canadian Pacific Railway | 641 | 85 | ||||||||
Canadian Tire, Cl A | 1,794 | 187 | ||||||||
Canadian Utilities, Cl A | 11,446 | 322 | ||||||||
CGI Group, Cl A* | 6,993 | 336 | ||||||||
CI Financial | 3,354 | 74 | ||||||||
Constellation Software | 754 | 310 | ||||||||
Crescent Point Energy, Cl F | 4,916 | 68 | ||||||||
Dollarama | 3,747 | 265 | ||||||||
Empire, Cl A | 8,607 | 150 | ||||||||
Enbridge | 913 | 36 | ||||||||
Encana | 8,974 | 55 | ||||||||
Fairfax Financial Holdings | 200 | 112 | ||||||||
Finning International | 5,472 | 81 | ||||||||
First Capital Realty | 4,150 | 66 | ||||||||
First Quantum Minerals (Canada) | 2,143 | 11 | ||||||||
Fortis | 11,351 | 357 | ||||||||
Franco-Nevada | 1,000 | 62 | ||||||||
George Weston | 2,819 | 253 | ||||||||
Gildan Activewear | 4,096 | 125 | ||||||||
H&R‡ | 4,787 | 78 | ||||||||
Husky Energy | 82 | 1 | ||||||||
Imperial Oil | 2,707 | 91 | ||||||||
Intact Financial | 1,580 | 111 | ||||||||
Jean Coutu Group PJC, Cl A | 11,072 | 188 | ||||||||
Kinross Gold* | 14,314 | 49 | ||||||||
Loblaw | 4,968 | 279 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 149 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||||
Magna International, Cl A | 2,438 | $ | 105 | |||||||
Methanex | 1,070 | 35 | ||||||||
Metro, Cl A | 7,776 | 271 | ||||||||
National Bank of Canada | 2,275 | 75 | ||||||||
Open Text | 4,874 | 254 | ||||||||
Potash Corp of Saskatchewan | 2,157 | 37 | ||||||||
Restaurant Brands International | 2,608 | 102 | ||||||||
RioCan, Cl Trust Unit‡ | 3,430 | 71 | ||||||||
Rogers Communications, Cl B | 8,565 | 344 | ||||||||
Royal Bank of Canada | 1,066 | 62 | ||||||||
Saputo | 5,318 | 171 | ||||||||
Shaw Communications, Cl B | 7,879 | 153 | ||||||||
Silver Wheaton, Cl H | 3,032 | 51 | ||||||||
SNC-Lavalin Group | 2,856 | 105 | ||||||||
Suncor Energy | 2,370 | 66 | ||||||||
Teck Resources, Cl B | 2,423 | 18 | ||||||||
TELUS | 9,642 | 315 | ||||||||
Thomson Reuters, Cl B | 4,373 | 178 | ||||||||
Toronto-Dominion Bank | 1,857 | 80 | ||||||||
TransCanada | 2,000 | 79 | ||||||||
Turquoise Hill Resources* | 6,748 | 17 | ||||||||
Valeant Pharmaceuticals International* | 7,636 | 201 | ||||||||
Vermilion Energy | 2,483 | 73 | ||||||||
|
| |||||||||
8,534 | ||||||||||
|
| |||||||||
Chile — 0.0% | ||||||||||
Antofagasta | 8,667 | 58 | ||||||||
|
| |||||||||
China — 0.0% | ||||||||||
Sands China | 18,800 | 76 | ||||||||
Yangzijiang Shipbuilding Holdings | 175,548 | 128 | ||||||||
|
| |||||||||
204 | ||||||||||
|
| |||||||||
Denmark — 0.2% | ||||||||||
AP Moeller - Maersk, Cl A | 102 | 130 | ||||||||
AP Moeller - Maersk, Cl B | 99 | 130 | ||||||||
Carlsberg, Cl B | 3,116 | 297 | ||||||||
Chr Hansen Holding | 4,349 | 292 | ||||||||
Coloplast, Cl B | 4,159 | 316 | ||||||||
Danske Bank | 6,879 | 195 | ||||||||
Genmab* | 996 | 138 | ||||||||
Novo Nordisk, Cl B | 5,821 | 316 | ||||||||
Novozymes, Cl B | 7,255 | 327 | ||||||||
Pandora | 1,416 | 186 | ||||||||
TDC | 68,288 | 335 | ||||||||
Tryg | 10,215 | 199 | ||||||||
Vestas Wind Systems | 1,356 | 96 | ||||||||
William Demant Holding* | 4,218 | 425 | ||||||||
|
| |||||||||
3,382 | ||||||||||
|
| |||||||||
Finland — 0.1% | ||||||||||
Elisa | 10,422 | 406 | ||||||||
Fortum | 21,754 | 330 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Kone, Cl B | 2,993 | $ | 144 | |||||||
Metso | 2,878 | 69 | ||||||||
Neste | 12,215 | 403 | ||||||||
Nokia | 39,354 | 234 | ||||||||
Nokian Renkaat | 5,363 | 190 | ||||||||
Orion, Cl B | 11,412 | 378 | ||||||||
Sampo, Cl A | 3,627 | 172 | ||||||||
Stora Enso, Cl R | 16,819 | 151 | ||||||||
UPM-Kymmene, Cl V | 9,046 | 164 | ||||||||
Wartsila | 2,318 | 105 | ||||||||
|
| |||||||||
2,746 | ||||||||||
|
| |||||||||
France — 0.3% | ||||||||||
Accor | 875 | 37 | ||||||||
Aeroports de Paris, Cl A | 373 | 46 | ||||||||
Air Liquide | 1,030 | 116 | ||||||||
Arkema | 1,313 | 99 | ||||||||
Atos | 2,646 | 216 | ||||||||
AXA | 1,932 | 46 | ||||||||
Bouygues | 892 | 36 | ||||||||
Bureau Veritas | 900 | 20 | ||||||||
Capital Gemini | 2,071 | 195 | ||||||||
Carrefour | 1,443 | 40 | ||||||||
Christian Dior, Cl B | 506 | 92 | ||||||||
CNP Assurances | 1,903 | 30 | ||||||||
Credit Agricole | 5,388 | 58 | ||||||||
Danone | 1,646 | 117 | ||||||||
Dassault Systemes | 3,513 | 279 | ||||||||
Electricite de France | 11,810 | 133 | ||||||||
Engie | 8,471 | 132 | ||||||||
Essilor International | 3,685 | 456 | ||||||||
Eutelsat Communications | 1,501 | 49 | ||||||||
Fonciere Des Regions‡ | 434 | 41 | ||||||||
Gecina‡ | 699 | 96 | ||||||||
Groupe Eurotunnel | 4,624 | 52 | ||||||||
Hermes International | 26 | 9 | ||||||||
ICADE‡ | 512 | 39 | ||||||||
Iliad | 1,128 | 291 | ||||||||
Ingenico Group | 1,174 | 135 | ||||||||
JCDecaux | 1,173 | 51 | ||||||||
Kering | 389 | 70 | ||||||||
Klepierre‡ | 1,965 | 94 | ||||||||
L’Oreal | 607 | 109 | ||||||||
LVMH Moet Hennessy Louis Vuitton | 241 | 41 | ||||||||
Natixis | 5,679 | 28 | ||||||||
Nokia | — | — | ||||||||
Numericable-SFR | 536 | 23 | ||||||||
Orange | 12,973 | 228 | ||||||||
Pernod Ricard | 1,010 | 113 | ||||||||
Remy Cointreau | 1,323 | 101 | ||||||||
Renault | 450 | 45 | ||||||||
Rexel | 3,641 | 52 | ||||||||
Sanofi | 3,584 | 289 | ||||||||
Schneider Electric | 577 | 36 |
150 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Shares | Market Value ($ Thousands) | ||||||||
SCOR | 1,457 | $ | 52 | |||||||
SES | 1,713 | 50 | ||||||||
Societe BIC | 289 | 43 | ||||||||
STMicroelectronics | 30,387 | 169 | ||||||||
Suez Environnement | 8,879 | 163 | ||||||||
Technip | 5,328 | 296 | ||||||||
Thales, Cl A | 1,585 | 139 | ||||||||
TOTAL | 5,406 | 247 | ||||||||
Valeo | 335 | 52 | ||||||||
Veolia Environnement | 8,189 | 198 | ||||||||
Vinci | 822 | 61 | ||||||||
Vivendi | 5,328 | 112 | ||||||||
Wendel | 681 | 74 | ||||||||
|
| |||||||||
5,796 | ||||||||||
|
| |||||||||
Germany — 0.3% | ||||||||||
adidas | 861 | 101 | ||||||||
Allianz | 347 | 57 | ||||||||
BASF | 1,028 | 78 | ||||||||
Bayer | 1,449 | 171 | ||||||||
Beiersdorf | 1,696 | 153 | ||||||||
Brenntag | 527 | 30 | ||||||||
Commerzbank* | 5,497 | 48 | ||||||||
Continental | 286 | 65 | ||||||||
Deutsche Bank | 2,043 | 35 | ||||||||
Deutsche Boerse | 283 | 24 | ||||||||
Deutsche Lufthansa | 5,273 | 85 | ||||||||
Deutsche Post | 2,302 | 64 | ||||||||
Deutsche Telekom | 15,661 | 282 | ||||||||
Deutsche Wohnen | 1,750 | 54 | ||||||||
E.ON | 26,305 | 253 | ||||||||
Fraport Frankfurt Airport Services Worldwide | 1,521 | 92 | ||||||||
Fresenius | 4,273 | 313 | ||||||||
Fresenius Medical Care | 3,975 | 353 | ||||||||
GEA Group | 1,568 | 77 | ||||||||
Hannover Rueck | 619 | 72 | ||||||||
HeidelbergCement | 879 | 75 | ||||||||
Henkel & KGaA | 1,543 | 152 | ||||||||
Infineon Technologies | 20,066 | 286 | ||||||||
K+S | 2,963 | 69 | ||||||||
LANXESS | 1,587 | 76 | ||||||||
Linde | 488 | 71 | ||||||||
MAN | 398 | 43 | ||||||||
Merck KGaA | 2,187 | 183 | ||||||||
Metro | 4,277 | 133 | ||||||||
Muenchener Rueckversicherungs-Gesellschaft in Muenchen | 274 | 56 | ||||||||
OSRAM Licht | 1,575 | 81 | ||||||||
QIAGEN* | 7,992 | 178 | ||||||||
RTL Group | 682 | 58 | ||||||||
RWE | 17,258 | 224 | ||||||||
SAP | 4,196 | 340 | ||||||||
Siemens | 850 | 90 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Symrise | 2,361 | $ | 159 | |||||||
Telefonica Deutschland Holding | 49,505 | 269 | ||||||||
ThyssenKrupp | 3,604 | 75 | ||||||||
TUI | 3,217 | 50 | ||||||||
United Internet | 6,170 | 310 | ||||||||
Volkswagen | 135 | 20 | ||||||||
|
| |||||||||
5,405 | ||||||||||
|
| |||||||||
Hong Kong — 0.3% | ||||||||||
AIA Group | 13,800 | 78 | ||||||||
ASM Pacific Technology | 55,600 | 436 | ||||||||
BOC Hong Kong Holdings | 15,500 | 46 | ||||||||
Cathay Pacific Airways | 77,000 | 133 | ||||||||
Cheung Kong Infrastructure Holdings | 43,438 | 425 | ||||||||
Cheung Kong Property Holdings | 5,708 | 37 | ||||||||
CK Hutchison Holdings | 8,208 | 107 | ||||||||
CLP Holdings, Cl B | 63,000 | 570 | ||||||||
Galaxy Entertainment Group | 6,000 | 22 | ||||||||
HK Electric Investments & HK Electric | ||||||||||
Investments (B) | 290,500 | 256 | ||||||||
HKT Trust and HKT | 283,920 | 391 | ||||||||
Hong Kong & China Gas | 181,962 | 340 | ||||||||
Hopewell Hong Kong Properties* | 660 | – | ||||||||
Kerry Properties | 13,000 | 36 | ||||||||
Li & Fung | 154,000 | 91 | ||||||||
Link‡ | 13,500 | 80 | ||||||||
MGM China Holdings | 30,000 | 46 | ||||||||
MTR | 39,500 | 195 | ||||||||
NWS Holdings | 90,000 | 144 | ||||||||
PCCW | 686,000 | 444 | ||||||||
Power Assets Holdings | 44,602 | 456 | ||||||||
Shangri-La Asia | 82,000 | 94 | ||||||||
SJM Holdings | 52,000 | 37 | ||||||||
Swire Pacific, Cl A | 4,000 | 43 | ||||||||
Swire Properties | 7,800 | 21 | ||||||||
Techtronic Industries | 31,500 | 124 | ||||||||
WH Group*(B) | 605,500 | 439 | ||||||||
Wynn Macau | 27,600 | 43 | ||||||||
Yue Yuen Industrial Holdings | 30,500 | 105 | ||||||||
|
| |||||||||
5,239 | ||||||||||
|
| |||||||||
Ireland — 0.1% | ||||||||||
Accenture, Cl A | 1,033 | 119 | ||||||||
Bank of Ireland* | 430,737 | 125 | ||||||||
CRH | 8,888 | 252 | ||||||||
Eaton | 1,420 | 89 | ||||||||
Kerry Group, Cl A | 4,069 | 380 | ||||||||
Paddy Power Betfair | 2,779 | 388 | ||||||||
Ryanair Holdings ADR | 4,036 | 346 | ||||||||
|
| |||||||||
1,699 | ||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 151 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||||
Israel — 0.1% | ||||||||||
Azrieli Group | 2,954 | $ | 116 | |||||||
Bank Hapoalim | 29,177 | 151 | ||||||||
Bank Leumi Le-Israel* | 39,720 | 143 | ||||||||
Bezeq The Israeli Telecommunication | 203,497 | 459 | ||||||||
Check Point Software Technologies* | 3,321 | 290 | ||||||||
Delek Group | 2,049 | 351 | ||||||||
Israel Chemicals | 66,305 | 288 | ||||||||
Mizrahi Tefahot Bank | 12,761 | 150 | ||||||||
NICE-Systems | 6,857 | 450 | ||||||||
Teva Pharmaceutical Industries | 8,087 | 436 | ||||||||
|
| |||||||||
2,834 | ||||||||||
|
| |||||||||
Italy — 0.1% | ||||||||||
Assicurazioni Generali | 2,134 | 32 | ||||||||
Atlantia | 3,095 | 86 | ||||||||
CNH Industrial | 12,849 | 87 | ||||||||
Enel | 50,173 | 223 | ||||||||
Enel Green Power | 79,805 | 172 | ||||||||
Eni | 10,812 | 164 | ||||||||
EXOR | 1,900 | 68 | ||||||||
Ferrari* | 856 | 36 | ||||||||
Fiat Chrysler Automobiles | 8,569 | 69 | ||||||||
Finmeccanica* | 5,105 | 65 | ||||||||
Luxottica Group | 2,908 | 161 | ||||||||
Mediobanca | 8,384 | 60 | ||||||||
Prysmian | 5,661 | 128 | ||||||||
Saipem | 373,982 | 150 | ||||||||
Snam Rete Gas | 39,115 | 245 | ||||||||
Telecom Italia | 386,623 | 373 | ||||||||
Tenaris | 15,473 | 193 | ||||||||
Terna Rete Elettrica Nazionale | 44,057 | 252 | ||||||||
UnipolSai | 31,346 | 73 | ||||||||
|
| |||||||||
2,637 | ||||||||||
|
| |||||||||
Japan — 0.7% | ||||||||||
Aeon, Cl H | 5,800 | 84 | ||||||||
AEON Financial Service | 1,200 | 28 | ||||||||
Air Water | 5,000 | 74 | ||||||||
Aisin Seiki | 800 | 30 | ||||||||
Ajinomoto | 7,000 | 158 | ||||||||
Alfresa Holdings | 6,800 | 131 | ||||||||
ANA Holdings | 20,000 | 56 | ||||||||
Aozora Bank | 12,000 | 42 | ||||||||
Asahi Group Holdings | 2,800 | 87 | ||||||||
Asahi Kasei | 9,000 | 61 | ||||||||
Astellas Pharma | 8,000 | 106 | ||||||||
Bank of Kyoto | 4,000 | 26 | ||||||||
Bank of Yokohama | 9,000 | 42 | ||||||||
Benesse, Cl A | 2,700 | 78 | ||||||||
Bridgestone | 2,000 | 75 | ||||||||
Calbee | 2,000 | 80 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Canon | 2,600 | $ | 78 | |||||||
Central Japan Railway | 400 | 71 | ||||||||
Chiba Bank, Cl B | 4,000 | 20 | ||||||||
Chubu Electric Power | 11,300 | 158 | ||||||||
Chugai Pharmaceutical | 2,500 | 77 | ||||||||
Chugoku Electric Power | 12,200 | 165 | ||||||||
Credit Saison | 1,300 | 23 | ||||||||
Daicel | 3,800 | 52 | ||||||||
Daito Trust Construction | 500 | 71 | ||||||||
Daiwa House Industry | 3,000 | 84 | ||||||||
Daiwa Securities Group | 11,000 | 68 | ||||||||
Dentsu | 1,000 | 50 | ||||||||
Eisai | 2,000 | 120 | ||||||||
Electric Power Development | 6,100 | 191 | ||||||||
FamilyMart, Cl H | 2,600 | 135 | ||||||||
Fast Retailing | 100 | 32 | ||||||||
Fuji Heavy Industries | 900 | 32 | ||||||||
FUJIFILM Holdings | 2,200 | 87 | ||||||||
Fukuoka Financial Group | 17,000 | 55 | ||||||||
Gunma Bank | 14,000 | 58 | ||||||||
Hachijuni Bank | 9,000 | 39 | ||||||||
Hankyu Hanshin Holdings | 7,000 | 45 | ||||||||
Hirose Electric | 840 | 93 | ||||||||
Hiroshima Bank | 11,000 | 40 | ||||||||
Hitachi Chemical | 3,039 | 55 | ||||||||
Hitachi Metals | 5,000 | 52 | ||||||||
Hokuhoku Financial Group | 22,000 | 29 | ||||||||
Hokuriku Electric Power | 11,100 | 157 | ||||||||
Idemitsu Kosan | 15,500 | 277 | ||||||||
Inpex | 21,000 | 159 | ||||||||
Itochu Techno-Solutions | 4,800 | 91 | ||||||||
Iyo Bank | 8,900 | 58 | ||||||||
J Front Retailing | 3,000 | 40 | ||||||||
Japan Prime Realty Investment, Cl A‡ | 24 | 98 | ||||||||
Japan Real Estate Investment‡ | 16 | 93 | ||||||||
Japan Retail Fund Investment, Cl A‡ | 32 | 77 | ||||||||
Joyo Bank | 21,000 | 72 | ||||||||
JX Holdings | 56,400 | 218 | ||||||||
Kajima | 7,000 | 44 | ||||||||
Kamigumi | 8,000 | 75 | ||||||||
Kaneka | 12,000 | 103 | ||||||||
Kansai Electric Power* | 10,800 | 96 | ||||||||
Kansai Paint | 3,000 | 48 | ||||||||
Kao | 1,800 | 96 | ||||||||
KDDI | 12,600 | 337 | ||||||||
Keikyu | 4,000 | 35 | ||||||||
Keio | 3,000 | 26 | ||||||||
Keyence | 200 | 109 | ||||||||
Kikkoman | 4,000 | 132 | ||||||||
Kintetsu Group Holdings | 15,000 | 61 | ||||||||
Kirin Holdings | 6,100 | 86 | ||||||||
Konami Holdings | 3,656 | 108 |
152 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Kyocera | 900 | $ | 40 | |||||||
Kyowa Hakko Kirin | 7,000 | 112 | ||||||||
Kyushu Electric Power* | 9,400 | 90 | ||||||||
Lawson | 1,600 | 134 | ||||||||
LIXIL Group | 3,000 | 61 | ||||||||
M3 | 4,000 | 101 | ||||||||
Maruichi Steel Tube | 3,200 | 88 | ||||||||
McDonald’s Holdings Japan | 1,623 | 38 | ||||||||
Medipal Holdings | 6,500 | 103 | ||||||||
MEIJI Holdings | 2,000 | 161 | ||||||||
Miraca Holdings | 2,800 | 115 | ||||||||
Mitsubishi Chemical Holdings, Cl B | 4,700 | 25 | ||||||||
Mitsubishi Motors | 4,200 | 31 | ||||||||
Mitsubishi Tanabe Pharma | 7,400 | 129 | ||||||||
Mitsui Chemicals | 9,000 | 30 | ||||||||
Mizuho Financial Group | 45,700 | 68 | ||||||||
Murata Manufacturing | 500 | 60 | ||||||||
NEC | 12,000 | 30 | ||||||||
NGK Spark Plug | 2,600 | 50 | ||||||||
NH Foods | 4,000 | 88 | ||||||||
NHK Spring | 3,000 | 29 | ||||||||
Nintendo | 500 | 71 | ||||||||
Nippon Building Fund‡ | 13 | 77 | ||||||||
Nippon Express | 13,000 | 59 | ||||||||
Nippon Prologis‡ | 18 | 40 | ||||||||
Nippon Steel & Sumitomo Metal | 2,855 | 55 | ||||||||
Nippon Telegraph & Telephone | 8,900 | 384 | ||||||||
Nisshin Seifun Group | 9,415 | 150 | ||||||||
Nissin Food Products | 2,000 | 94 | ||||||||
Nitori Holdings | 400 | 37 | ||||||||
NOK | 1,500 | 26 | ||||||||
Nomura Research Institute | 1,980 | 67 | ||||||||
NTT Data | 2,000 | 101 | ||||||||
NTT DOCOMO | 18,200 | 413 | ||||||||
Odakyu Electric Railway | 3,000 | 33 | ||||||||
Oji Holdings | 22,000 | 88 | ||||||||
Ono Pharmaceutical | 3,500 | 148 | ||||||||
Oracle Japan | 1,900 | 107 | ||||||||
Osaka Gas | 78,000 | 300 | ||||||||
Otsuka Holdings | 3,400 | 124 | ||||||||
Resona Holdings | 16,900 | 60 | ||||||||
Rohm | 800 | 34 | ||||||||
Ryohin Keikaku | 200 | 42 | ||||||||
Sankyo | 1,100 | 41 | ||||||||
Santen Pharmaceutical | 5,600 | 84 | ||||||||
Sekisui Chemical | 3,000 | 37 | ||||||||
Seven & i Holdings | 2,100 | 90 | ||||||||
Seven Bank | 11,700 | 50 | ||||||||
Shikoku Electric Power | 9,400 | 126 | ||||||||
Shimadzu | 6,000 | 94 | ||||||||
Shimizu | 3,000 | 25 | ||||||||
Shin-Etsu Chemical, Cl A | 1,100 | 57 | ||||||||
Shiseido | 3,900 | 87 | ||||||||
Showa Shell Sekiyu | 29,300 | 263 |
Description | Shares | Market Value ($ Thousands) | ||||||||
SoftBank | 4,100 | $ | 196 | |||||||
Sumitomo | 6,500 | 65 | ||||||||
Sumitomo Metal Mining | 8,000 | 80 | ||||||||
Suntory Beverage & Food | 2,800 | 126 | ||||||||
Suzuken | 2,760 | 94 | ||||||||
Sysmex | 1,700 | 106 | ||||||||
Taisei | 5,000 | 33 | ||||||||
Takeda Pharmaceutical | 2,600 | 119 | ||||||||
Teijin | 24,000 | 84 | ||||||||
Terumo | 4,000 | 144 | ||||||||
Tobu Railway | 17,000 | 85 | ||||||||
Toho | 1,600 | 42 | ||||||||
Toho Gas | 42,063 | 299 | ||||||||
Tohoku Electric Power | 8,400 | 109 | ||||||||
Tokyo Gas | 62,000 | 289 | ||||||||
Tokyu | 4,000 | 34 | ||||||||
TonenGeneral Sekiyu | 32,000 | 290 | ||||||||
Toray Industries | 10,000 | 85 | ||||||||
TOTO | 1,000 | 31 | ||||||||
Toyo Seikan Group Holdings | 1,900 | 36 | ||||||||
Toyo Suisan Kaisha | 3,000 | 108 | ||||||||
Toyota Industries | 1,900 | 86 | ||||||||
Toyota Motor | 1,700 | 90 | ||||||||
Unicharm | 4,900 | 107 | ||||||||
United Urban Investment‡ | 66 | 107 | ||||||||
USS | 5,600 | 90 | ||||||||
Yakult Honsha | 1,800 | 80 | ||||||||
Yamaguchi Financial Group | 1,000 | 9 | ||||||||
Yamato Holdings | 1,400 | 28 | ||||||||
Yamazaki Baking | 7,000 | 148 | ||||||||
|
| |||||||||
14,081 | ||||||||||
|
| |||||||||
Netherlands — 0.2% | ||||||||||
Aegon | 10,544 | 58 | ||||||||
Akzo Nobel | 2,588 | 177 | ||||||||
Altice* | 7,879 | 141 | ||||||||
Altice, Cl B* | 11,055 | 199 | ||||||||
ArcelorMittal | 34,373 | 156 | ||||||||
ASML Holding | 3,148 | 320 | ||||||||
Gemalto | 4,556 | 337 | ||||||||
Heineken | 1,925 | 175 | ||||||||
ING Groep | 6,346 | 77 | ||||||||
Koninklijke Ahold | 9,243 | 208 | ||||||||
Koninklijke Boskalis Westminster | 1,861 | 73 | ||||||||
Koninklijke DSM | 3,445 | 190 | ||||||||
Koninklijke Philips | 3,383 | 96 | ||||||||
Koninklijke Vopak | 10,682 | 533 | ||||||||
LyondellBasell Industries, Cl A | 2,321 | 199 | ||||||||
NN Group | 2,710 | 89 | ||||||||
NXP Semiconductors* | 2,141 | 173 | ||||||||
OCI* | 4,290 | 84 | ||||||||
Randstad Holding | 1,641 | 91 | ||||||||
RELX | 10,973 | 192 | ||||||||
Royal KPN | 91,067 | 382 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 153 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||||
TNT Express | 11,374 | $ | 102 | |||||||
Unibail-Rodamco‡ | 139 | 38 | ||||||||
Unilever | 3,312 | 149 | ||||||||
Wolters Kluwer | 4,597 | 184 | ||||||||
|
| |||||||||
4,423 | ||||||||||
|
| |||||||||
New Zealand — 0.1% | ||||||||||
Auckland International Airport | 81,807 | 365 | ||||||||
Contact Energy | 79,201 | 275 | ||||||||
Fletcher Building | 46,704 | 256 | ||||||||
Meridian Energy | 197,096 | 359 | ||||||||
Mighty River Power | 112,969 | 229 | ||||||||
Ryman Healthcare | 67,499 | 391 | ||||||||
Spark New Zealand | 167,157 | 424 | ||||||||
|
| |||||||||
2,299 | ||||||||||
|
| |||||||||
Norway — 0.1% | ||||||||||
DNB, Cl A | 9,226 | 109 | ||||||||
Gjensidige Forsikring | 10,608 | 181 | ||||||||
Norsk Hydro | 51,688 | 213 | ||||||||
Orkla | 35,918 | 325 | ||||||||
Schibsted, Cl B* | 4,860 | 135 | ||||||||
Statoil | 21,274 | 335 | ||||||||
Telenor | 17,631 | 285 | ||||||||
Yara International | 3,178 | 120 | ||||||||
|
| |||||||||
1,703 | ||||||||||
|
| |||||||||
Panama — 0.0% | ||||||||||
Carnival | 1,282 | 68 | ||||||||
|
| |||||||||
Portugal — 0.0% | ||||||||||
Banco Comercial Portugues, Cl R* | 2,115,756 | 86 | ||||||||
Banco Espirito Santo* | 50,830 | — | ||||||||
EDP - Energias de Portugal | 85,324 | 304 | ||||||||
Galp Energia | 20,070 | 253 | ||||||||
Jeronimo Martins | 16,644 | 273 | ||||||||
|
| |||||||||
916 | ||||||||||
|
| |||||||||
Singapore — 0.1% | ||||||||||
CapitaLand | 33,800 | 77 | ||||||||
CapitaLand Commercial Trust‡ | 53,667 | 59 | ||||||||
DBS Group Holdings | 7,800 | 89 | ||||||||
Genting Singapore | 238,600 | 148 | ||||||||
Global Logistic Properties | 42,000 | 60 | ||||||||
Golden Agri-Resources | 928,100 | 283 | ||||||||
Hutchison Port Holdings, Cl U | 150,126 | 75 | ||||||||
Jardine Cycle & Carriage | 6,200 | 184 | ||||||||
Keppel | 16,600 | 72 | ||||||||
Noble Group | 170,100 | 56 | ||||||||
Oversea-Chinese Banking | 12,800 | 84 | ||||||||
Sembcorp Industries | 31,300 | 70 | ||||||||
Sembcorp Marine | 42,000 | 51 | ||||||||
Singapore Airlines | 21,300 | 181 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Singapore Exchange | 22,900 | $ | 135 | |||||||
Singapore Press Holdings | 97,800 | 290 | ||||||||
Singapore Technologies Engineering | 25,400 | 61 | ||||||||
Singapore Telecommunications | 116,700 | 331 | ||||||||
StarHub | 141,300 | 352 | ||||||||
United Overseas Bank | 5,300 | 74 | ||||||||
UOL Group | 7,072 | 31 | ||||||||
Wilmar International | 89,200 | 223 | ||||||||
|
| |||||||||
2,986 | ||||||||||
|
| |||||||||
Spain — 0.2% | ||||||||||
Abertis Infraestructuras | 5,513 | 91 | ||||||||
ACS Actividades de Construccion y Servicios | 2,833 | 85 | ||||||||
Amadeus IT Holding, Cl A | 11,484 | 493 | ||||||||
Banco Bilbao Vizcaya Argentaria | 3,923 | 26 | ||||||||
Banco Santander | 24,737 | 109 | ||||||||
Bankia | 12,911 | 12 | ||||||||
CaixaBank | 30,255 | 90 | ||||||||
Distribuidora Internacional de Alimentacion | 38,251 | 199 | ||||||||
Enagas | 5,493 | 165 | ||||||||
Endesa | 4,836 | 93 | ||||||||
Ferrovial | 4,529 | 97 | ||||||||
Gas Natural SDG | 6,561 | 133 | ||||||||
Grifols | 14,620 | 326 | ||||||||
Iberdrola | 26,058 | 174 | ||||||||
Industria de Diseno Textil | 9,200 | 310 | ||||||||
International Consolidated Airlines Group | 7,033 | 56 | ||||||||
Red Electrica, Cl B | 2,080 | 181 | ||||||||
Repsol, Cl A | 25,262 | 286 | ||||||||
Telefonica* | 18,046 | 203 | ||||||||
Zardoya Otis | 7,495 | 87 | ||||||||
|
| |||||||||
3,216 | ||||||||||
|
| |||||||||
Sweden — 0.2% | ||||||||||
Alfa Laval | 3,670 | �� | 60 | |||||||
Atlas Copco, Cl A | 1,818 | 46 | ||||||||
Atlas Copco, Cl B | 1,891 | 45 | ||||||||
Boliden | 12,111 | 194 | ||||||||
Electrolux | 4,260 | 112 | ||||||||
Getinge, Cl B | 14,372 | 332 | ||||||||
Hennes & Mauritz, Cl B | 4,059 | 136 | ||||||||
Hexagon, Cl B | 8,618 | 336 | ||||||||
Husqvarna, Cl B | 17,924 | 131 | ||||||||
ICA Gruppen | 6,378 | 211 | ||||||||
Industrivarden, Cl C | 4,865 | 83 | ||||||||
Investment Kinnevik, Cl B | 1,565 | 44 | ||||||||
Lundin Petroleum* | 20,495 | 348 | ||||||||
Millicom International Cellular | 2,887 | 158 | ||||||||
Nordea Bank | 6,982 | 67 | ||||||||
Skandinaviska Enskilda Banken, Cl A | 7,936 | 76 |
154 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Shares | Market Value ($ Thousands) | ||||||||
SKF, Cl B | 8,542 | $ | 154 | |||||||
Svenska Cellulosa SCA, Cl B | 6,221 | 195 | ||||||||
Svenska Handelsbanken, Cl A | 2,082 | 26 | ||||||||
Swedbank, Cl A | 2,347 | 51 | ||||||||
Swedish Match | 5,303 | 180 | ||||||||
Tele2, Cl B | 24,845 | 231 | ||||||||
Telefonaktiebolaget LM Ericsson, Cl B | 34,456 | 346 | ||||||||
TeliaSonera | 44,427 | 231 | ||||||||
Volvo, Cl B | 6,277 | 69 | ||||||||
|
| |||||||||
3,862 | ||||||||||
|
| |||||||||
Switzerland — 0.2% | ||||||||||
ABB | 4,545 | 89 | ||||||||
Actelion | 1,191 | 179 | ||||||||
Adecco | 1,187 | 78 | ||||||||
Aryzta | 1,814 | 75 | ||||||||
Baloise Holding | 496 | 63 | ||||||||
Barry Callebaut | 121 | 132 | ||||||||
Chocoladefabriken Lindt & Spruengli | 31 | 331 | ||||||||
Cie Financiere Richemont | 1,741 | 115 | ||||||||
Coca-Cola HBC | 3,429 | 73 | ||||||||
Dufry* | 1,505 | 186 | ||||||||
EMS-Chemie Holding | 353 | 184 | ||||||||
Galenica | 90 | 136 | ||||||||
Geberit | 215 | 81 | ||||||||
Givaudan | 89 | 175 | ||||||||
Kuehne & Nagel International | 661 | 94 | ||||||||
LafargeHolcim | 843 | 40 | ||||||||
Lonza Group | 1,178 | 200 | ||||||||
Nestle | 1,850 | 139 | ||||||||
Novartis | 2,503 | 182 | ||||||||
Partners Group Holding | 322 | 130 | ||||||||
Roche Holding | 773 | 191 | ||||||||
Schindler Holding | 1,164 | 215 | ||||||||
SGS, Cl B | 41 | 87 | ||||||||
Sika | 37 | 147 | ||||||||
Sonova Holding | 1,666 | 214 | ||||||||
Swatch Group, Cl B | 331 | 115 | ||||||||
Swatch Group | 1,778 | 120 | ||||||||
Swiss Life Holding | 254 | 68 | ||||||||
Swisscom | 947 | 517 | ||||||||
Syngenta | 389 | 162 | ||||||||
TE Connectivity | 1,250 | 77 | ||||||||
Transocean | 28,797 | 257 | ||||||||
|
| |||||||||
4,852 | ||||||||||
|
| |||||||||
United Kingdom — 0.4% | ||||||||||
Admiral Group | 3,076 | 88 | ||||||||
Anglo American | 18,749 | 149 | ||||||||
ARM Holdings | 18,595 | 271 | ||||||||
Associated British Foods | 2,191 | 105 | ||||||||
AstraZeneca | 3,801 | 213 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Auto Trader Group (B) | 48,359 | $ | 271 | |||||||
Aviva | 4,112 | 27 | ||||||||
BHP Billiton | 4,135 | 46 | ||||||||
BP | 50,616 | 255 | ||||||||
British American Tobacco | 1,681 | 99 | ||||||||
BT Group, Cl A | 41,849 | 265 | ||||||||
Bunzl | 3,000 | 87 | ||||||||
Burberry Group | 1,376 | 27 | ||||||||
Capita | 2,265 | 34 | ||||||||
Centrica | 91,279 | 299 | ||||||||
Compass Group | 5,292 | 93 | ||||||||
Croda International | 2,603 | 114 | ||||||||
Delphi Automotive | 1,026 | 77 | ||||||||
Diageo | 2,888 | 78 | ||||||||
Dixons Carphone | 10,596 | 65 | ||||||||
easyJet | 3,512 | 77 | ||||||||
Ensco, Cl A | 8,792 | 91 | ||||||||
Experian | 2,610 | 47 | ||||||||
G4S | 16,567 | 45 | ||||||||
GlaxoSmithKline | 14,130 | 287 | ||||||||
Glencore | 59,217 | 134 | ||||||||
IMI | 1,574 | 21 | ||||||||
Imperial Brands | 2,202 | 122 | ||||||||
Inmarsat | 19,273 | 273 | ||||||||
InterContinental Hotels Group | 1,529 | 63 | ||||||||
Intertek Group | 544 | 25 | ||||||||
ITV | 11,950 | 41 | ||||||||
J Sainsbury | 21,670 | 86 | ||||||||
Johnson Matthey | 1,866 | 74 | ||||||||
Marks & Spencer Group | 10,789 | 63 | ||||||||
Melrose Industries | 1 | – | ||||||||
National Grid | 20,542 | 291 | ||||||||
Next, Cl A | 560 | 43 | ||||||||
Pearson | 7,800 | 98 | ||||||||
Pentair | 1,504 | 82 | ||||||||
Petrofac | 13,115 | 174 | ||||||||
Reckitt Benckiser Group | 1,075 | 104 | ||||||||
RELX | 3,034 | 56 | ||||||||
Rexam | 15,230 | 139 | ||||||||
Rio Tinto | 1,309 | 37 | ||||||||
Royal Dutch Shell, Cl A | 9,648 | 233 | ||||||||
Royal Dutch Shell, Cl B | 9,779 | 239 | ||||||||
Royal Mail | 6,924 | 48 | ||||||||
RSA Insurance Group | 7,664 | 52 | ||||||||
SABMiller | 1,731 | 106 | ||||||||
Sage Group | 40,140 | 363 | ||||||||
Severn Trent | 8,989 | 281 | ||||||||
Shire | 3,125 | 178 | ||||||||
Sky | 5,534 | 81 | ||||||||
Smith & Nephew | 15,129 | 250 | ||||||||
Smiths Group | 4,570 | 71 | ||||||||
SSE | 11,470 | 246 | ||||||||
Tate & Lyle | 7,790 | 65 | ||||||||
Travis Perkins | 3,353 | 88 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 155 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||||
Unilever | 2,107 | $ | 95 | |||||||
United Utilities Group, Cl B | 17,772 | 236 | ||||||||
Vodafone Group | 83,074 | 264 | ||||||||
Whitbread | 1,095 | 62 | ||||||||
Wm Morrison Supermarkets | 34,659 | 99 | ||||||||
Worldpay Group*(B) | 57,601 | 228 | ||||||||
WPP | 2,771 | 65 | ||||||||
|
| |||||||||
8,486 | ||||||||||
|
| |||||||||
Total Foreign Common Stock | 95,686 | |||||||||
|
| |||||||||
COMMON STOCK — 3.1% | ||||||||||
United States — 3.1% | ||||||||||
Consumer Discretionary — 0.3% | ||||||||||
Advance Auto Parts | 455 | 73 | ||||||||
Amazon.com, Cl A* | 164 | 97 | ||||||||
Autonation* | 925 | 43 | ||||||||
Autozone* | 115 | 92 | ||||||||
Bed Bath & Beyond* | �� | 871 | 43 | |||||||
Best Buy | 2,195 | 71 | ||||||||
BorgWarner | 3,275 | 126 | ||||||||
Cablevision Systems, Cl A | 2,820 | 93 | ||||||||
CarMax* | 974 | 50 | ||||||||
CBS, Cl B | 891 | 49 | ||||||||
Chipotle Mexican Grill, Cl A* | 131 | 62 | ||||||||
Coach | 2,031 | 81 | ||||||||
Comcast, Cl A | 1,221 | 75 | ||||||||
Darden Restaurants | 1,212 | 80 | ||||||||
Discovery Communications, Cl A* | 1,971 | 56 | ||||||||
Discovery Communications, Cl C* | 3,273 | 88 | ||||||||
Dollar General | 1,154 | 99 | ||||||||
Dollar Tree* | 1,039 | 86 | ||||||||
DR Horton | 2,237 | 68 | ||||||||
Expedia | 660 | 71 | ||||||||
Ford Motor | 2,814 | 38 | ||||||||
GameStop, Cl A | 2,084 | 66 | ||||||||
Gap | 3,519 | 103 | ||||||||
Garmin | 1,579 | 63 | ||||||||
General Motors | 2,216 | 70 | ||||||||
Genuine Parts | 684 | 68 | ||||||||
Goodyear Tire & Rubber | 1,985 | 65 | ||||||||
H&R Block | 2,909 | 77 | ||||||||
Hanesbrands | 2,380 | 67 | ||||||||
Harley-Davidson, Cl A | 750 | 38 | ||||||||
Harman International Industries, Cl A | 559 | 50 | ||||||||
Hasbro | 950 | 76 | ||||||||
Home Depot | 660 | 88 | ||||||||
Interpublic Group | 2,930 | 67 | ||||||||
Johnson Controls | 1,192 | 46 | ||||||||
Kohl’s | 1,084 | 51 | ||||||||
L Brands | 1,100 | 97 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Leggett & Platt | 1,629 | $ | 79 | |||||||
Lennar, Cl A | 1,255 | 61 | ||||||||
Lowe’s | 1,189 | 90 | ||||||||
Macy’s | 1,427 | 63 | ||||||||
Marriott International, Cl A | 974 | 69 | ||||||||
Mattel | 1,549 | 52 | ||||||||
McDonald’s | 1,006 | 126 | ||||||||
Michael Kors Holdings* | 1,063 | 61 | ||||||||
Mohawk Industries* | 384 | 73 | ||||||||
NetFlix* | 344 | 35 | ||||||||
Newell Rubbermaid, Cl B | 1,797 | 80 | ||||||||
News, Cl A | 3,347 | 43 | ||||||||
News, Cl B | 3,300 | 44 | ||||||||
Nike, Cl B | 1,442 | 89 | ||||||||
Nordstrom | 882 | 50 | ||||||||
Omnicom Group | 1,019 | 85 | ||||||||
O’Reilly Automotive* | 309 | 85 | ||||||||
Priceline Group* | 50 | 64 | ||||||||
PulteGroup | 2,869 | 54 | ||||||||
PVH | 529 | 52 | ||||||||
Ralph Lauren, Cl A | 721 | 69 | ||||||||
Ross Stores | 1,460 | 85 | ||||||||
Royal Caribbean Cruises | 434 | 36 | ||||||||
Scripps Networks Interactive, Cl A | 899 | 59 | ||||||||
Signet Jewelers | 550 | 68 | ||||||||
Staples | 8,000 | 88 | ||||||||
Starbucks | 1,667 | 100 | ||||||||
Starwood Hotels & Resorts Worldwide | 802 | 67 | ||||||||
Target, Cl A | 1,487 | 122 | ||||||||
TEGNA | 3,155 | 74 | ||||||||
Tiffany | 1,091 | 80 | ||||||||
Time Warner | 1,132 | 82 | ||||||||
Time Warner Cable, Cl A | 430 | 88 | ||||||||
TJX | 1,183 | 93 | ||||||||
Tractor Supply | 780 | 71 | ||||||||
TripAdvisor* | 606 | 40 | ||||||||
Twenty-First Century Fox, Cl A | 2,526 | 70 | ||||||||
Twenty-First Century Fox, Cl B | 1,200 | 34 | ||||||||
Under Armour, Cl A* | 870 | 74 | ||||||||
Urban Outfitters* | 3,420 | 113 | ||||||||
VF | 892 | 58 | ||||||||
Viacom, Cl B | 1,904 | 79 | ||||||||
Walt Disney | 771 | 77 | ||||||||
Whirlpool | 397 | 72 | ||||||||
Wyndham Worldwide | 1,075 | 82 | ||||||||
Wynn Resorts | 1,311 | 122 | ||||||||
Yum! Brands | 892 | 73 | ||||||||
|
| |||||||||
6,064 | ||||||||||
|
| |||||||||
Consumer Staples — 0.4% | ||||||||||
Altria Group | 3,188 | 200 | ||||||||
Archer-Daniels-Midland | 5,219 | 189 | ||||||||
Brown-Forman, Cl B | 2,047 | 202 |
156 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Campbell Soup | 3,516 | $ | 224 | |||||||
Church & Dwight | 1,700 | 157 | ||||||||
Clorox | 1,950 | 246 | ||||||||
Coca-Cola | 5,902 | 274 | ||||||||
Coca-Cola Enterprises | 3,797 | 193 | ||||||||
Colgate-Palmolive | 3,224 | 228 | ||||||||
ConAgra Foods | 5,328 | 238 | ||||||||
Constellation Brands, Cl A | 1,246 | 188 | ||||||||
Costco Wholesale | 1,313 | 207 | ||||||||
CVS Health | 1,903 | 197 | ||||||||
Dr Pepper Snapple Group | 2,402 | 215 | ||||||||
Estee Lauder, Cl A | 2,569 | 242 | ||||||||
General Mills | 4,478 | 284 | ||||||||
Hershey | 2,261 | 208 | ||||||||
Hormel Foods | 5,338 | 231 | ||||||||
JM Smucker | 1,849 | 240 | ||||||||
Kellogg | 3,168 | 242 | ||||||||
Kimberly-Clark | 1,516 | 204 | ||||||||
Kraft Heinz | 2,431 | 191 | ||||||||
Kroger | 4,174 | 160 | ||||||||
McCormick | 2,128 | 212 | ||||||||
Mead Johnson Nutrition, Cl A | 2,463 | 209 | ||||||||
Molson Coors Brewing, Cl B | 2,477 | 238 | ||||||||
Mondelez International, Cl A | 5,619 | 225 | ||||||||
Monster Beverage* | 1,167 | 156 | ||||||||
PepsiCo | 2,423 | 248 | ||||||||
Philip Morris International | 1,881 | 184 | ||||||||
Procter & Gamble | 2,984 | 246 | ||||||||
Reynolds American | 3,315 | 167 | ||||||||
SYSCO, Cl A | 5,177 | 242 | ||||||||
Tyson Foods, Cl A | 2,734 | 182 | ||||||||
Walgreens Boots Alliance | 2,355 | 198 | ||||||||
Wal-Mart Stores | 2,509 | 172 | ||||||||
Whole Foods Market | 5,641 | 175 | ||||||||
|
| |||||||||
7,814 | ||||||||||
|
| |||||||||
Energy — 0.3% | ||||||||||
Anadarko Petroleum, Cl A | 2,311 | 108 | ||||||||
Apache | 2,649 | 129 | ||||||||
Baker Hughes | 3,210 | 141 | ||||||||
Cabot Oil & Gas | 6,882 | 156 | ||||||||
Cameron International* | 2,640 | 177 | ||||||||
Chesapeake Energy | 16,231 | 67 | ||||||||
Chevron | 1,331 | 127 | ||||||||
Cimarex Energy | 1,622 | 158 | ||||||||
Columbia Pipeline Group | 7,251 | 182 | ||||||||
Concho Resources* | 1,500 | 152 | ||||||||
ConocoPhillips | 3,516 | 142 | ||||||||
Devon Energy | 4,496 | 123 | ||||||||
Diamond Offshore Drilling | 4,770 | 104 | ||||||||
EOG Resources | 2,015 | 146 | ||||||||
EQT | 2,159 | 145 | ||||||||
Exxon Mobil | 1,690 | 141 | ||||||||
FMC Technologies* | 5,544 | 152 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Halliburton | 4,294 | $ | 153 | |||||||
Helmerich & Payne | 2,048 | 120 | ||||||||
Hess | 1,897 | 100 | ||||||||
Kinder Morgan | 6,052 | 108 | ||||||||
Marathon Oil | 10,683 | 119 | ||||||||
Marathon Petroleum | 4,014 | 149 | ||||||||
Murphy Oil | 4,307 | 109 | ||||||||
National Oilwell Varco, Cl A | 3,508 | 109 | ||||||||
Newfield Exploration* | 4,105 | 136 | ||||||||
Noble Energy | 3,878 | 122 | ||||||||
Occidental Petroleum | 2,730 | 187 | ||||||||
Oneok | 6,107 | 182 | ||||||||
Phillips 66 | 2,183 | 189 | ||||||||
Pioneer Natural Resources | 1,104 | 155 | ||||||||
Range Resources | 3,619 | 117 | ||||||||
Schlumberger, Cl A | 2,162 | 159 | ||||||||
Southwestern Energy* | 14,564 | 118 | ||||||||
Spectra Energy | 5,665 | 173 | ||||||||
Tesoro | 1,406 | 121 | ||||||||
Valero Energy | 2,803 | 180 | ||||||||
Williams | 4,902 | 79 | ||||||||
|
| |||||||||
5,235 | ||||||||||
|
| |||||||||
Financials — 0.3% | ||||||||||
Affiliated Managers Group* | 586 | 95 | ||||||||
Aflac | 669 | 42 | ||||||||
Allstate | 963 | 65 | ||||||||
American Express | 1,241 | 76 | ||||||||
American International Group | 985 | 53 | ||||||||
American Tower, Cl A‡ | 1,028 | 105 | ||||||||
Ameriprise Financial | 614 | 58 | ||||||||
Aon | 1,040 | 109 | ||||||||
Apartment Investment & Management, Cl A‡ | 1,239 | 52 | ||||||||
Assurant | 976 | 75 | ||||||||
AvalonBay Communities‡ | 370 | 70 | ||||||||
Bank of America | 3,043 | 41 | ||||||||
Bank of New York Mellon | 1,559 | 57 | ||||||||
BB&T | 1,795 | 60 | ||||||||
Berkshire Hathaway, Cl B* | 698 | 99 | ||||||||
BlackRock | 151 | 51 | ||||||||
Boston Properties‡ | 488 | 62 | ||||||||
Capital One Financial | 700 | 49 | ||||||||
CBRE Group, Cl A* | 1,563 | 45 | ||||||||
Charles Schwab | 2,369 | 66 | ||||||||
Chubb | 1,185 | 141 | ||||||||
Cincinnati Financial | 2,017 | 132 | ||||||||
Citigroup | 1,388 | 58 | ||||||||
Citizens Financial Group | 3,013 | 63 | ||||||||
CME Group | 627 | 60 | ||||||||
Comerica | 1,055 | 40 | ||||||||
Crown Castle International‡ | 1,247 | 108 | ||||||||
Discover Financial Services | 1,159 | 59 | ||||||||
E*Trade Financial* | 2,457 | 60 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 157 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||||
Equinix‡ | 102 | $ | 34 | |||||||
Equity Residential‡ | 941 | 71 | ||||||||
Essex Property Trust‡ | 340 | 80 | ||||||||
Extra Space Storage‡ | 605 | 57 | ||||||||
Federal Realty Investment Trust‡ | 355 | 55 | ||||||||
Fifth Third Bancorp | 5,885 | 98 | ||||||||
Franklin Resources | 1,671 | 65 | ||||||||
General Growth Properties‡ | 2,355 | 70 | ||||||||
Goldman Sachs Group | 268 | 42 | ||||||||
Hartford Financial Services Group | 2,184 | 101 | ||||||||
HCP‡ | 1,674 | 55 | ||||||||
Host Hotels & Resorts‡ | 3,192 | 53 | ||||||||
Huntington Bancshares | 5,352 | 51 | ||||||||
Intercontinental Exchange | 310 | 73 | ||||||||
Invesco | 1,903 | 59 | ||||||||
Iron Mountain‡ | 1,719 | 58 | ||||||||
JPMorgan Chase | 873 | 52 | ||||||||
KeyCorp | 3,605 | 40 | ||||||||
Kimco Realty‡ | 2,593 | 75 | ||||||||
Legg Mason | 1,384 | 48 | ||||||||
Leucadia National | 2,506 | 41 | ||||||||
Lincoln National | 1,000 | 39 | ||||||||
Loews | 1,145 | 44 | ||||||||
M&T Bank | 901 | 100 | ||||||||
Macerich‡ | 1,104 | 88 | ||||||||
Marsh & McLennan | 1,756 | 107 | ||||||||
McGraw-Hill | 587 | 58 | ||||||||
MetLife | 873 | 38 | ||||||||
Moody’s | 673 | 65 | ||||||||
Morgan Stanley | 1,399 | 35 | ||||||||
Nasdaq, Cl A | 1,585 | 105 | ||||||||
Navient | 5,548 | 66 | ||||||||
Northern Trust | 1,046 | 68 | ||||||||
People’s United Financial | 4,631 | 74 | ||||||||
PNC Financial Services Group | 968 | 82 | ||||||||
Principal Financial Group, Cl A | 2,672 | 105 | ||||||||
Progressive | 2,974 | 105 | ||||||||
ProLogis‡ | 2,009 | 89 | ||||||||
Prudential Financial | 1,201 | 87 | ||||||||
Public Storage‡ | 541 | 149 | ||||||||
Realty Income‡ | 1,430 | 89 | ||||||||
Regions Financial | 5,512 | 43 | ||||||||
Simon Property Group‡ | 325 | 68 | ||||||||
SL Green Realty‡ | 445 | 43 | ||||||||
State Street | 770 | 45 | ||||||||
SunTrust Banks | 1,338 | 48 | ||||||||
Synchrony Financial* | 2,143 | 61 | ||||||||
T. Rowe Price Group | 832 | 61 | ||||||||
Torchmark, Cl A | 1,565 | 85 | ||||||||
Travelers | 849 | 99 | ||||||||
UDR‡ | 1,300 | 50 | ||||||||
Unum Group | 1,475 | 46 | ||||||||
US Bancorp | 2,336 | 95 | ||||||||
Ventas‡ | 1,347 | 85 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Vornado Realty Trust‡ | 658 | $ | 62 | |||||||
Wells Fargo | 1,167 | 56 | ||||||||
Welltower‡ | 867 | 60 | ||||||||
Weyerhaeuser‡ | 4,633 | 144 | ||||||||
Willis Towers Watson | 432 | 51 | ||||||||
XL Group, Cl A | 2,550 | 94 | ||||||||
Zions Bancorporation | 2,651 | 64 | ||||||||
|
| |||||||||
6,282 | ||||||||||
|
| |||||||||
Health Care — 0.3% | ||||||||||
Abbott Laboratories | 3,250 | 136 | ||||||||
AbbVie | 1,735 | 99 | ||||||||
Aetna, Cl A | 1,342 | 151 | ||||||||
Agilent Technologies | 3,255 | 130 | ||||||||
Alexion Pharmaceuticals* | 748 | 104 | ||||||||
Allergan* | 392 | 105 | ||||||||
AmerisourceBergen | 1,376 | 119 | ||||||||
Amgen, Cl A | 840 | 126 | ||||||||
Anthem | 1,099 | 153 | ||||||||
Baxalta | 2,273 | 92 | ||||||||
Baxter International | 3,243 | 133 | ||||||||
Becton Dickinson | 1,133 | 172 | ||||||||
Biogen* | 324 | 84 | ||||||||
Boston Scientific* | 6,797 | 128 | ||||||||
Bristol-Myers Squibb | 2,001 | 128 | ||||||||
C.R. Bard | 751 | 152 | ||||||||
Cardinal Health | 1,831 | 150 | ||||||||
Celgene, Cl A* | 912 | 91 | ||||||||
Cerner* | 2,136 | 113 | ||||||||
Cigna | 920 | 126 | ||||||||
DaVita HealthCare Partners* | 1,726 | 127 | ||||||||
Dentsply Sirona | 2,721 | 168 | ||||||||
Edwards Lifesciences, Cl A* | 1,836 | 162 | ||||||||
Eli Lilly | 1,524 | 110 | ||||||||
Endo International* | 2,242 | 63 | ||||||||
Express Scripts Holding* | 1,768 | 121 | ||||||||
Gilead Sciences | 1,056 | 97 | ||||||||
HCA Holdings* | 1,422 | 111 | ||||||||
Henry Schein* | 830 | 143 | ||||||||
Humana | 561 | 103 | ||||||||
Illumina* | 693 | 112 | ||||||||
Intuitive Surgical* | 262 | 157 | ||||||||
Johnson & Johnson | 1,602 | 173 | ||||||||
Laboratory Corp of America Holdings* | 954 | 112 | ||||||||
Mallinckrodt* | 1,409 | 86 | ||||||||
McKesson | 792 | 125 | ||||||||
Medtronic | 1,421 | 107 | ||||||||
Merck | 2,621 | 139 | ||||||||
Mylan* | 2,083 | 97 | ||||||||
Patterson | 2,743 | 128 | ||||||||
PerkinElmer | 2,942 | 145 | ||||||||
Perrigo | 573 | 73 | ||||||||
Pfizer | 4,108 | 122 |
158 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Quest Diagnostics | 1,743 | $ | 125 | |||||||
Regeneron Pharmaceuticals* | 227 | 82 | ||||||||
St. Jude Medical | 1,964 | 108 | ||||||||
Stryker | 1,505 | 161 | ||||||||
Taro Pharmaceutical Industries* | 2,232 | 320 | ||||||||
Tenet Healthcare* | 4,398 | 127 | ||||||||
Thermo Fisher Scientific | 1,047 | 148 | ||||||||
UnitedHealth Group | 1,173 | 151 | ||||||||
Universal Health Services, Cl B | 1,166 | 145 | ||||||||
Varian Medical Systems* | 1,374 | 110 | ||||||||
Vertex Pharmaceuticals* | 1,215 | 97 | ||||||||
Waters* | 1,193 | 157 | ||||||||
Zimmer Biomet Holdings | 1,217 | 130 | ||||||||
Zoetis, Cl A | 1,908 | 85 | ||||||||
|
| |||||||||
7,219 | ||||||||||
|
| |||||||||
Industrials — 0.3% | ||||||||||
3M | 528 | 88 | ||||||||
ADT, Cl A | 1,823 | 75 | ||||||||
Allegion | 1,531 | 98 | ||||||||
American Airlines Group | 1,867 | 77 | ||||||||
Ametek | 1,885 | 94 | ||||||||
Boeing | 707 | 90 | ||||||||
C.H. Robinson Worldwide | 1,277 | 95 | ||||||||
Caterpillar, Cl A | 1,117 | 85 | ||||||||
Cintas | 1,129 | 101 | ||||||||
CSX | 2,876 | 74 | ||||||||
Cummins | 612 | 67 | ||||||||
Danaher, Cl A | 1,081 | 103 | ||||||||
Deere | 725 | 56 | ||||||||
Delta Air Lines, Cl A | 2,132 | 104 | ||||||||
Dover | 1,286 | 83 | ||||||||
Dun & Bradstreet | 1,003 | 103 | ||||||||
Emerson Electric | 1,193 | 65 | ||||||||
Equifax | 1,030 | 118 | ||||||||
Expeditors International of Washington | 1,954 | 95 | ||||||||
Fastenal, Cl A | 2,002 | 98 | ||||||||
FedEx | 581 | 95 | ||||||||
Flowserve | 1,736 | 77 | ||||||||
Fluor | 1,781 | 96 | ||||||||
General Dynamics | 849 | 111 | ||||||||
General Electric | 3,393 | 108 | ||||||||
Honeywell International | 835 | 94 | ||||||||
Illinois Tool Works | 945 | 97 | ||||||||
Ingersoll-Rand | 1,653 | 102 | ||||||||
Jacobs Engineering Group* | 1,910 | 83 | ||||||||
JB Hunt Transport Services | 1,000 | 84 | ||||||||
Kansas City Southern | 1,143 | 98 | ||||||||
L-3 Communications Holdings | 643 | 76 | ||||||||
Lockheed Martin | 518 | 115 | ||||||||
Masco | 2,110 | 66 | ||||||||
Nielsen Holdings | 1,849 | 97 | ||||||||
Norfolk Southern | 909 | 76 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Northrop Grumman | 759 | $ | 150 | |||||||
PACCAR | 1,691 | 92 | ||||||||
Parker-Hannifin, Cl A | 653 | 73 | ||||||||
Pitney Bowes | 4,588 | 99 | ||||||||
Quanta Services* | 3,494 | 79 | ||||||||
Raytheon | 872 | 107 | ||||||||
Republic Services | 2,778 | 132 | ||||||||
Robert Half International | 1,948 | 91 | ||||||||
Rockwell Automation | 815 | 93 | ||||||||
Rockwell Collins | 1,112 | 103 | ||||||||
Roper Technologies | 466 | 85 | ||||||||
Ryder System | 1,472 | 95 | ||||||||
Snap-on | 801 | 126 | ||||||||
Southwest Airlines, Cl A | 3,040 | 136 | ||||||||
Stanley Black & Decker | 854 | 90 | ||||||||
Stericycle, Cl A* | 907 | 114 | ||||||||
Textron | 2,415 | 88 | ||||||||
Tyco International | 2,113 | 78 | ||||||||
Union Pacific | 1,324 | 105 | ||||||||
United Continental Holdings* | 1,455 | 87 | ||||||||
United Parcel Service, Cl B | 975 | 103 | ||||||||
United Rentals* | 1,181 | 73 | ||||||||
United Technologies | 716 | 72 | ||||||||
Verisk Analytics, Cl A* | 950 | 76 | ||||||||
Waste Management | 2,460 | 145 | ||||||||
WW Grainger | 279 | 65 | ||||||||
Xylem | 1,952 | 80 | ||||||||
|
| |||||||||
5,881 | ||||||||||
|
| |||||||||
Information Technology — 0.3% | ||||||||||
Activision Blizzard | 1,200 | 41 | ||||||||
Adobe Systems* | 1,333 | 125 | ||||||||
Akamai Technologies* | 1,004 | 56 | ||||||||
Alliance Data Systems* | 225 | 49 | ||||||||
Alphabet, Cl A* | 135 | 103 | ||||||||
Alphabet, Cl C* | 101 | 75 | ||||||||
Amphenol, Cl A | 1,661 | 96 | ||||||||
Analog Devices | 1,682 | 100 | ||||||||
Apple | 785 | 86 | ||||||||
Applied Materials | 3,455 | 73 | ||||||||
Autodesk, Cl A* | 1,304 | 76 | ||||||||
Automatic Data Processing | 1,236 | 111 | ||||||||
Broadcom | 1,040 | 161 | ||||||||
CA | 2,697 | 83 | ||||||||
Cisco Systems | 3,423 | 97 | ||||||||
Citrix Systems* | 1,207 | 95 | ||||||||
Cognizant Technology Solutions, Cl A* | 1,460 | 92 | ||||||||
Corning, Cl B | 3,400 | 71 | ||||||||
CSRA | 2,977 | 80 | ||||||||
eBay* | 1,509 | 36 | ||||||||
Electronic Arts* | 1,167 | 77 | ||||||||
EMC | 2,880 | 77 | ||||||||
F5 Networks, Cl A* | 656 | 69 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 159 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||||
Facebook, Cl A* | 855 | $ | 98 | |||||||
Fidelity National Information Services, Cl B | 1,370 | 87 | ||||||||
First Solar* | 948 | 65 | ||||||||
Fiserv, Cl A* | 1,220 | 125 | ||||||||
Flir Systems | 3,188 | 105 | ||||||||
Harris | 1,073 | 84 | ||||||||
Hewlett Packard Enterprise | 5,885 | 104 | ||||||||
HP | 8,533 | 105 | ||||||||
Intel | 2,316 | 75 | ||||||||
International Business Machines | 503 | 76 | ||||||||
Intuit | 1,158 | 120 | ||||||||
Juniper Networks | 2,664 | 68 | ||||||||
KLA-Tencor | 1,572 | 114 | ||||||||
Lam Research | 1,034 | 85 | ||||||||
Linear Technology | 1,618 | 72 | ||||||||
MasterCard, Cl A | 1,158 | 109 | ||||||||
Microchip Technology | 1,617 | 78 | ||||||||
Micron Technology* | 3,500 | 37 | ||||||||
Microsoft | 2,267 | 125 | ||||||||
Mobileye* | 5,790 | 216 | ||||||||
Motorola Solutions | 1,038 | 79 | ||||||||
NetApp | 2,048 | 56 | ||||||||
Nvidia | 2,712 | 97 | ||||||||
Oracle, Cl B | 2,124 | 87 | ||||||||
Paychex | 2,240 | 121 | ||||||||
PayPal Holdings* | 1,509 | 58 | ||||||||
Qorvo* | 1,591 | 80 | ||||||||
Qualcomm | 1,365 | 70 | ||||||||
Red Hat* | 1,165 | 87 | ||||||||
salesforce.com* | 1,252 | 92 | ||||||||
SanDisk | 1,208 | 92 | ||||||||
Seagate Technology | 2,625 | 90 | ||||||||
Skyworks Solutions | 820 | 64 | ||||||||
Symantec, Cl A | 4,377 | 80 | ||||||||
Teradata* | 3,726 | 98 | ||||||||
Texas Instruments | 1,935 | 111 | ||||||||
Total System Services | 1,926 | 92 | ||||||||
VeriSign* | 949 | 84 | ||||||||
Visa, Cl A | 1,380 | 106 | ||||||||
Western Digital | 1,750 | 83 | ||||||||
Western Union | 3,646 | 70 | ||||||||
Xerox | 7,739 | 86 | ||||||||
Xilinx | 2,202 | 104 | ||||||||
Yahoo!* | 1,891 | 70 | ||||||||
|
| |||||||||
5,934 | ||||||||||
|
| |||||||||
Materials — 0.2% | ||||||||||
Air Products & Chemicals | 1,608 | 232 | ||||||||
Airgas | 1,746 | 247 | ||||||||
Alcoa | 17,041 | 163 | ||||||||
Avery Dennison | 3,753 | 271 | ||||||||
Ball | 2,492 | 178 | ||||||||
CF Industries Holdings | 4,979 | 156 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Dow Chemical, Cl A | 2,989 | $ | 152 | |||||||
E.I. Du Pont de Nemours | 2,614 | 166 | ||||||||
Eastman Chemical | 2,650 | 191 | ||||||||
Ecolab | 2,115 | 236 | ||||||||
FMC | 4,986 | 201 | ||||||||
Freeport-McMoRan, Cl B | 19,467 | 201 | ||||||||
International Flavors & Fragrances | 1,898 | 216 | ||||||||
International Paper | 5,522 | 227 | ||||||||
Martin Marietta Materials, Cl A | 1,209 | 193 | ||||||||
Monsanto | 2,237 | 196 | ||||||||
Mosaic | 5,406 | 146 | ||||||||
Newmont Mining | 9,999 | 266 | ||||||||
Nucor | 4,278 | 202 | ||||||||
Owens-Illinois* | 11,409 | 182 | ||||||||
PPG Industries | 1,820 | 203 | ||||||||
Praxair | 1,738 | 199 | ||||||||
Sealed Air | 4,871 | 234 | ||||||||
Sherwin-Williams, Cl A | 716 | 204 | ||||||||
Vulcan Materials | 1,726 | 182 | ||||||||
WestRock | 4,821 | 188 | ||||||||
|
| |||||||||
5,232 | ||||||||||
|
| |||||||||
Telecommunication Services — 0.3% |
| |||||||||
AT&T | 43,547 | 1,706 | ||||||||
CenturyTel | 49,753 | 1,590 | ||||||||
Frontier Communications | 218,558 | 1,222 | ||||||||
Level 3 Communications* | 17,530 | 926 | ||||||||
Verizon Communications | 30,555 | 1,652 | ||||||||
|
| |||||||||
7,096 | ||||||||||
|
| |||||||||
Utilities — 0.4% | ||||||||||
AES | 29,657 | 350 | ||||||||
AGL Resources | 4,961 | 323 | ||||||||
Ameren | 5,930 | 297 | ||||||||
American Electric Power | 4,566 | 303 | ||||||||
American Water Works | 4,800 | 331 | ||||||||
Centerpoint Energy | 15,541 | 325 | ||||||||
CMS Energy | 7,204 | 306 | ||||||||
Consolidated Edison | 3,969 | 304 | ||||||||
Dominion Resources | 4,207 | 316 | ||||||||
DTE Energy | 3,434 | 311 | ||||||||
Duke Energy | 4,270 | 345 | ||||||||
Edison International | 4,086 | 294 | ||||||||
Entergy | 4,127 | 327 | ||||||||
Eversource Energy | 4,941 | 288 | ||||||||
Exelon | 8,743 | 314 | ||||||||
FirstEnergy | 8,630 | 310 | ||||||||
NextEra Energy | 2,479 | 293 | ||||||||
NiSource | 10,377 | 245 | ||||||||
NRG Energy | 23,696 | 308 | ||||||||
PG&E | 4,865 | 291 | ||||||||
Pinnacle West Capital | 3,750 | 282 | ||||||||
PPL | 6,646 | 253 | ||||||||
Public Service Enterprise Group | 7,002 | 330 |
160 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Share/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
SCANA | 3,841 | $ | 269 | |||||||
Sempra Energy | 2,911 | 303 | ||||||||
Southern | 5,336 | 276 | ||||||||
TECO Energy | 8,074 | 222 | ||||||||
WEC Energy Group | 4,763 | 286 | ||||||||
Xcel Energy | 6,996 | 293 | ||||||||
|
| |||||||||
8,695 | ||||||||||
|
| |||||||||
Total Common Stock |
| 65,452 | ||||||||
|
| |||||||||
CORPORATE OBLIGATIONS (C) — 0.8% |
| |||||||||
Consumer Discretionary — 0.0% |
| |||||||||
Toyota Motor Credit MTN | ||||||||||
3.400%, 09/15/2021 | $ | 150 | 161 | |||||||
Trustees of Dartmouth College | ||||||||||
4.750%, 06/01/2019 | 250 | 276 | ||||||||
University of Southern California | ||||||||||
5.250%, 10/01/2111 | 100 | 119 | ||||||||
|
| |||||||||
556 | ||||||||||
|
| |||||||||
Consumer Staples — 0.0% | ||||||||||
Colgate-Palmolive MTN | ||||||||||
2.300%, 05/03/2022 | 250 | 259 | ||||||||
Wal-Mart Stores | ||||||||||
2.800%, 04/15/2016 | 300 | 300 | ||||||||
|
| |||||||||
559 | ||||||||||
|
| |||||||||
Energy — 0.2% | ||||||||||
Chevron | ||||||||||
4.950%, 03/03/2019 | 150 | 165 | ||||||||
Exxon Mobil | ||||||||||
3.176%, 03/15/2024 | 500 | 521 | ||||||||
Nexen Energy ULC | ||||||||||
5.875%, 03/10/2035 | 100 | 110 | ||||||||
Statoil | ||||||||||
2.450%, 01/17/2023 | 250 | 242 | ||||||||
XTO Energy | ||||||||||
6.750%, 08/01/2037 | 300 | 422 | ||||||||
6.500%, 12/15/2018 | 750 | 847 | ||||||||
|
| |||||||||
2,307 | ||||||||||
|
| |||||||||
Financials — 0.4% | ||||||||||
Australia & New Zealand Banking Group NY MTN | ||||||||||
2.250%, 06/13/2019 | 300 | 303 | ||||||||
1.875%, 10/06/2017 | 250 | 252 | ||||||||
Bank of Montreal MTN | ||||||||||
2.550%, 11/06/2022 | 250 | 253 | ||||||||
1.400%, 09/11/2017 | 200 | 201 | ||||||||
Bank of New York Mellon | ||||||||||
3.550%, 09/23/2021 | 200 | 213 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
Bank of Nova Scotia | ||||||||||
2.050%, 10/30/2018 | $ | 250 | $ | 252 | ||||||
Berkshire Hathaway | ||||||||||
3.400%, 01/31/2022 | 150 | 160 | ||||||||
Berkshire Hathaway Finance | ||||||||||
5.400%, 05/15/2018 | 250 | 273 | ||||||||
CME Group | ||||||||||
3.000%, 09/15/2022 | 100 | 104 | ||||||||
Commonwealth Bank of Australia NY | ||||||||||
2.300%, 09/06/2019 | 250 | 253 | ||||||||
2.250%, 03/13/2019 | 250 | 254 | ||||||||
1.900%, 09/18/2017 | 150 | 151 | ||||||||
Cooperatieve Rabobank | ||||||||||
3.375%, 01/19/2017 | 250 | 255 | ||||||||
HSBC Holdings | ||||||||||
5.100%, 04/05/2021 | 250 | 275 | ||||||||
KFW | ||||||||||
2.375%, 08/25/2021 | 500 | 520 | ||||||||
0.875%, 09/05/2017 | 200 | 200 | ||||||||
Landwirtschaftliche Rentenbank | ||||||||||
1.875%, 09/17/2018 | 550 | 561 | ||||||||
1.750%, 04/15/2019 | 200 | 203 | ||||||||
1.375%, 10/23/2019 | 500 | 502 | ||||||||
1.000%, 04/04/2018 | 200 | 200 | ||||||||
0.875%, 09/12/2017 | 300 | 300 | ||||||||
National Australia Bank | ||||||||||
3.000%, 01/20/2023 | 200 | 204 | ||||||||
Royal Bank of Canada MTN | ||||||||||
2.200%, 07/27/2018 | 250 | 254 | ||||||||
2.150%, 03/15/2019 | 200 | 203 | ||||||||
1.800%, 07/30/2018 | 200 | 201 | ||||||||
Svenska Handelsbanken MTN | ||||||||||
2.875%, 04/04/2017 | 200 | 203 | ||||||||
2.500%, 01/25/2019 | 200 | 205 | ||||||||
2.250%, 06/17/2019 | 300 | 305 | ||||||||
Toronto-Dominion Bank MTN | ||||||||||
2.375%, 10/19/2016 | 250 | 252 | ||||||||
2.125%, 07/02/2019 | 250 | 254 | ||||||||
US Bank | ||||||||||
2.125%, 10/28/2019 | 400 | 407 | ||||||||
Westpac Banking | ||||||||||
4.875%, 11/19/2019 | 200 | 221 | ||||||||
|
| |||||||||
8,394 | ||||||||||
|
| |||||||||
Health Care — 0.1% | ||||||||||
Johns Hopkins University | ||||||||||
5.250%, 07/01/2019 | 18 | 20 | ||||||||
Johnson & Johnson | ||||||||||
5.950%, 08/15/2037 | 300 | 407 | ||||||||
3.375%, 12/05/2023 | 500 | 551 | ||||||||
McKesson | ||||||||||
0.950%, 12/31/2049 | — | — |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 161 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||||
Novartis Securities Investment | ||||||||||
5.125%, 02/10/2019 | $ | 150 | $ | 166 | ||||||
Sanofi | ||||||||||
4.000%, 03/29/2021 | 150 | 165 | ||||||||
|
| |||||||||
1,309 | ||||||||||
|
| |||||||||
Industrials — 0.0% | ||||||||||
3M MTN | ||||||||||
5.700%, 03/15/2037 | 150 | 195 | ||||||||
|
| |||||||||
Information Technology — 0.1% |
| |||||||||
Apple | ||||||||||
2.400%, 05/03/2023 | 250 | 251 | ||||||||
3.625%, 05/19/2021 | 150 | 165 | ||||||||
Microsoft | ||||||||||
2.125%, 11/15/2022 | 500 | 506 | ||||||||
0.875%, 11/15/2017 | 1,500 | 1,501 | ||||||||
|
| |||||||||
2,423 | ||||||||||
|
| |||||||||
Telecommunication Services — 0.0% |
| |||||||||
Nippon Telegraph & Telephone | ||||||||||
1.400%, 07/18/2017 | 200 | 200 | ||||||||
|
| |||||||||
Utilities — 0.0% | ||||||||||
Southern California Gas | ||||||||||
5.125%, 11/15/2040 | 150 | 180 | ||||||||
|
| |||||||||
Total Corporate Obligations | 16,123 | |||||||||
|
| |||||||||
EXCHANGE TRADED FUND — 0.7% |
| |||||||||
United States — 0.7% |
| |||||||||
iShares iBoxx Investment Grade Corporate Bond Fund | 134,643 | 15,998 | ||||||||
|
| |||||||||
Total Exchange Traded Fund |
| 15,998 | ||||||||
|
| |||||||||
PREFERRED STOCK — 0.0% |
| |||||||||
Germany — 0.0% |
| |||||||||
Fuchs Petrolub | 1,520 | 68 | ||||||||
Henkel & KGaA | 1,296 | 143 | ||||||||
Porsche Automobil Holding | 342 | 18 | ||||||||
Volkswagen | 65 | 8 | ||||||||
|
| |||||||||
Total Preferred Stock |
| 237 | ||||||||
|
|
Description | Number of Rights/ Number of Warrants/ Shares | Market Value ($ Thousands) | ||||||||
RIGHTS* — 0.0% |
| |||||||||
Safeway CVR - Casa Ley | 2,823 | $ | 3 | |||||||
Safeway CVR - PDC | 2,823 | — | ||||||||
|
| |||||||||
Total Rights |
| 3 | ||||||||
|
| |||||||||
WARRANTS* — 0.0% |
| |||||||||
Olam International, Strike Price: $1.291 |
| |||||||||
Expires 12/31/17 | 4,698 | — | ||||||||
|
| |||||||||
Total Warrants |
| — | ||||||||
|
| |||||||||
CASH EQUIVALENT — 35.9% |
| |||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 765,585,123 | 765,585 | ||||||||
|
| |||||||||
Total Cash Equivalent |
| 765,585 | ||||||||
|
| |||||||||
Total Investments — 80.0% |
| $ | 1,706,299 | |||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($Thousands) | |||||||||
Amsterdam Index | 1 | Apr-2016 | $ | — | ||||||||
Australian 10-Year Bond | 1,290 | Jun-2016 | 1,480 | |||||||||
CAC40 10 Euro | 48 | Apr-2016 | (17 | ) | ||||||||
Canadian 10-Year Bond | 1,626 | Jun-2016 | (984 | ) | ||||||||
CBT 10-Year T-Bonds | 517 | Jun-2016 | 656 | |||||||||
Dax Index | 6 | Jun-2016 | 6 | |||||||||
DJ Euro Stoxx 50 Index | 602 | Jun-2016 | (414 | ) | ||||||||
Euro-Bobl | 90 | Jun-2016 | (43 | ) | ||||||||
Euro-BTP | 634 | Jun-2016 | 1,600 | |||||||||
Euro-Bund | 1,837 | Jun-2016 | 112 | |||||||||
Euro-Buxl 30 Year Bond | 38 | Jun-2016 | 153 | |||||||||
FTSE 100 Index | 208 | Jun-2016 | 87 | |||||||||
FTSE/JSE Top 40 Index | 301 | Apr-2016 | (45 | ) | ||||||||
H-Shares | 63 | Apr-2016 | 122 | |||||||||
Hang Seng Index | 78 | Apr-2016 | 227 | |||||||||
IBEX 35 Plus Index | 3 | Apr-2016 | (7 | ) | ||||||||
Japanese 10-Year Bond | 1,736 | Jun-2016 | 651 | |||||||||
KOSPI 200 Index | 34 | Jun-2016 | 85 | |||||||||
Long Gilt 10-Year Bond | 574 | Jun-2016 | (489 | ) | ||||||||
MSCI Emerging Index E-MINI | 1,116 | Jun-2016 | 1,716 | |||||||||
OMX Index | 13 | Apr-2016 | (1 | ) | ||||||||
Russell 2000 Index E-MINI | 687 | Jun-2016 | 2,322 | |||||||||
S&P 500 Index EMINI | 2,504 | Jun-2016 | 5,536 | |||||||||
S&P Composite Index | 25 | Jun-2016 | 265 | |||||||||
S&P Mid 400 Index E-MINI | 194 | Jun-2016 | 897 | |||||||||
S&P TSE 60 Index | 3 | Jun-2016 | — | |||||||||
SGX S&P CNX Nifty Index | 236 | Apr-2016 | 27 | |||||||||
SPI 200 Index | 2 | Jun-2016 | (4 | ) | ||||||||
Taiwan Index | 191 | Apr-2016 | 56 | |||||||||
Topix Index | 317 | Jun-2016 | 186 | |||||||||
U.S. 10-Year Treasury Note | 3,865 | Jun-2016 | 140 | |||||||||
U.S. 2-Year Treasury Note | 24 | Jul-2016 | — | |||||||||
U.S. 5-Year Treasury Note | 203 | Jun-2016 | 34 | |||||||||
U.S. Long Treasury Bond | 367 | Jun-2016 | (142 | ) | ||||||||
Brent Crude Penultimate*** | 73 | Apr-2016 | 90 | |||||||||
Brent Crude Penultimate*** | 299 | Jun-2016 | (290 | ) | ||||||||
Cocoa*** | 290 | Jul-2016 | (262 | ) |
162 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($Thousands) | |||||||||
Coffee ‘C’*** | 170 | Jul-2016 | $ | 435 | ||||||||
Copper*** | 103 | May-2016 | 326 | |||||||||
Corn*** | 239 | Jul-2016 | (208 | ) | ||||||||
Cotton No. 2*** | 180 | Jul-2016 | 92 | |||||||||
Crude Oil*** | 284 | May-2016 | (291 | ) | ||||||||
DJ UBS Commodity Index*** | 676 | Jun-2016 | (29 | ) | ||||||||
Feeder Cattle*** | 60 | Aug-2016 | (34 | ) | ||||||||
Feeder Cattle*** | 30 | May-2016 | (26 | ) | ||||||||
Gas Oil ICE*** | 98 | Jun-2016 | (111 | ) | ||||||||
Gasoil*** | 54 | May-2016 | (90 | ) | ||||||||
Gasoline*** | 11 | Apr-2016 | (4 | ) | ||||||||
Gasoline RBOB*** | 26 | May-2016 | (5 | ) | ||||||||
Gold*** | 376 | Jun-2016 | (643 | ) | ||||||||
Goldman Sachs Index*** | 36 | Apr-2016 | (64 | ) | ||||||||
Heating Oil*** | 62 | May-2016 | 43 | |||||||||
Lean Hogs*** | 37 | Aug-2016 | 13 | |||||||||
Lean Hogs*** | 224 | Jun-2016 | 5 | |||||||||
Live Cattle*** | 104 | Jul-2016 | (64 | ) | ||||||||
Live Cattle*** | 194 | Sep-2016 | (40 | ) | ||||||||
LME Copper*** | 167 | Jun-2016 | 1,725 | |||||||||
LME Lead*** | 47 | Jun-2016 | 75 | |||||||||
LME Nickel*** | 77 | Apr-2016 | 112 | |||||||||
LME Nickel*** | 34 | Jun-2016 | 22 | |||||||||
LME Primary Aluminum*** | 210 | Apr-2016 | (10 | ) | ||||||||
LME Primary Aluminum*** | 326 | Jun-2016 | 233 | |||||||||
LME Zinc*** | 117 | Apr-2016 | 252 | |||||||||
LME Zinc*** | 61 | Jun-2016 | 244 | |||||||||
Natural Gas*** | 268 | Jun-2016 | 262 | |||||||||
Natural Gas*** | 90 | May-2016 | (178 | ) | ||||||||
Silver*** | 325 | May-2016 | 886 | �� | ||||||||
Soybean*** | 267 | Jul-2016 | 352 | |||||||||
Soybean Meal*** | 225 | Jul-2016 | (47 | ) | ||||||||
Soybean Oil*** | 200 | Jul-2016 | 33 | |||||||||
Soybean Oil*** | 170 | May-2016 | 328 | |||||||||
Sugar #11*** | 791 | Sep-2016 | 789 | |||||||||
Wheat*** | 194 | Jul-2016 | 35 | |||||||||
|
| |||||||||||
$ | 18,168 | |||||||||||
|
|
For the period ended March 31, 2016, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
A list of the open forward foreign currency contracts held by the Fund at March 31, 2016, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
04/28/16-06/15/16 | CHF | 4,704 | USD | 4,840 | $ | (80 | ) | |||||||||||||
04/28/16 | AUD | 9,100 | USD | 6,855 | (135 | ) | ||||||||||||||
04/28/16 | CAD | 10,900 | USD | 8,266 | (163 | ) | ||||||||||||||
04/28/16-06/15/16 | HKD | 61,910 | USD | 7,979 | (5 | ) | ||||||||||||||
04/28/16-06/15/16 | GBP | 64,622 | USD | 91,442 | (1,443 | ) | ||||||||||||||
04/28/16-06/15/16 | EUR | 264,687 | USD | 290,901 | (11,289 | ) | ||||||||||||||
04/28/16 | JPY | 1,594,900 | USD | 14,086 | (119 | ) | ||||||||||||||
06/15/16 | USD | 48 | CHF | 48 | 2 | |||||||||||||||
06/15/16 | USD | 111 | JPY | 12,550 | 1 | |||||||||||||||
06/15/16 | USD | 153 | CAD | 207 | 7 | |||||||||||||||
06/15/16 | TRY | 2,200 | USD | 752 | (13 | ) | ||||||||||||||
06/15/16 | USD | 4,030 | HKD | 31,294 | 7 | |||||||||||||||
06/15/16 | PLN | 8,200 | USD | 2,169 | (33 | ) | ||||||||||||||
06/15/16 | USD | 13,696 | ZAR | 219,900 | 1,032 | |||||||||||||||
06/15/16 | USD | 16,118 | EUR | 14,388 | 315 | |||||||||||||||
06/15/16 | USD | 18,044 | INR | 1,240,600 | 494 | |||||||||||||||
06/15/16 | USD | 22,692 | BRL | 91,100 | 2,478 | |||||||||||||||
06/15/16 | USD | 23,400 | HUF | 6,632,600 | 645 | |||||||||||||||
06/15/16 | USD | 24,575 | MXP | 444,200 | 1,169 | |||||||||||||||
06/15/16 | USD | 25,886 | KRW | 31,476,500 | 1,746 | |||||||||||||||
06/15/16 | ZAR | 28,900 | USD | 1,852 | (83 | ) | ||||||||||||||
06/15/16 | USD | 29,173 | CNH | 192,900 | 612 | |||||||||||||||
06/15/16 | USD | 29,211 | PLN | 114,900 | 1,643 | |||||||||||||||
06/15/16 | USD | 41,217 | TRY | 124,300 | 2,028 | |||||||||||||||
06/15/16 | MXP | 44,700 | USD | 2,556 | (34 | ) | ||||||||||||||
06/15/16 | CNH | 140,200 | USD | 21,482 | (166 | ) | ||||||||||||||
06/15/16 | KRW | 1,552,800 | USD | 1,322 | (41 | ) | ||||||||||||||
06/15/16 | HUF | 1,883,500 | USD | 6,710 | (119 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (1,544 | ) | ||||||||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2016, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Bank of New York | $ | (6,990 | ) | $ | 6,855 | $ | (135 | ) | ||||
Barclays PLC | (33,794 | ) | 33,225 | (569 | ) | |||||||
Brown Brothers Harriman | (19,453 | ) | 19,333 | (120 | ) | |||||||
Citigroup | (570,847 | ) | 570,881 | 34 | ||||||||
Northern Trust | (8,429 | ) | 8,266 | (163 | ) | |||||||
State Street | (83,778 | ) | 83,187 | (591 | ) | |||||||
|
| |||||||||||
$ | (1,544 | ) | ||||||||||
|
|
For the period ended March 31, 2016 the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
A list of open OTC swap agreements held by the Fund at March 31, 2016, 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 | 04/14/16 | BRL | 7,645 | $ | 2,078 | ||||||||||||
Bank of America | H-Shares Index | Negative Price Return | Positve Price Return | 04/28/16 | HKD | 30,581 | 841 | |||||||||||||
Bank of America | Hang Seng Index | Negative Price Return | Positve Price Return | 04/28/16 | HKD | 3,621 | 73 | |||||||||||||
Bank of America | SGX S&P CNX Nifty Index | Negative Price Return | Positve Price Return | 04/28/16 | 249 | 2 | ||||||||||||||
Bank of America | Taiwan Index | Negative Price Return | Positve Price Return | 04/28/16 | 13,814 | 105 | ||||||||||||||
Bank of America | Japanese 10-Year Bond | Negative Price Return | Positve Price Return | 06/10/16 | JPY | 5,385 | 19 | |||||||||||||
JPMorgan Chase Bank | KOSPI 200 Index | Negative Price Return | Positve Price Return | 06/10/16 | KRW | 14,651 | 1,133 | |||||||||||||
Bank of America | Euro-Bund | Negative Price Return | Positve Price Return | 06/10/16 | EUR | 104,967 | 4,501 | |||||||||||||
JPMorgan Chase Bank | Swiss Market Index | Negative Price Return | Positve Price Return | 06/17/16 | CHF | 5,847 | 68 | |||||||||||||
Bank of America | Canadian 10-Year Bond | Negative Price Return | Positve Price Return | 06/30/16 | CAD | 1,963 | 111 | |||||||||||||
Bank of America | Long Gilt 10-Year Bond | Negative Price Return | Positve Price Return | 06/30/16 | GBP | 2,439 | 39 | |||||||||||||
Bank of America | U.S. Treasury 10-Year Note | Negative Price Return | Positve Price Return | 06/30/16 | 393,780 | (284 | ) | |||||||||||||
BoA Merrill Lynch | Soybean Oil*** | Negative Price Return | Positve Price Return | 05/24/16 | 3,080 | 278 | ||||||||||||||
Citigroup | Soybean Oil*** | Negative Price Return | Positve Price Return | 05/24/16 | 1,889 | 147 | ||||||||||||||
Deutsche Bank | Soybean Oil*** | Negative Price Return | Positve Price Return | 05/24/16 | 226 | 20 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 163 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2016
Total Return Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Termination Date | Currency | Notional Amount (Thousands)(1) | Net Unrealized Appreciation (Depreciation) ($Thousands) | |||||||||||||
Citigroup | Brent Crude*** | Negative Price Return | Positve Price Return | 06/01/16 | GBP | 7,502 | $ | (162 | ) | |||||||||||
BoA Merrill Lynch | Lean Hogs*** | Negative Price Return | Positve Price Return | 06/16/16 | 5,562 | 2 | ||||||||||||||
Deutsche Bank | Heating Oil*** | Negative Price Return | Positve Price Return | 06/29/16 | 1,666 | (35 | ) | |||||||||||||
Deutsche Bank | Unleaded Gas RBOB*** | Negative Price Return | Positve Price Return | 06/29/16 | 2,209 | 65 | ||||||||||||||
BoA Merrill Lynch | Gas Oil*** | Negative Price Return | Positve Price Return | 06/30/16 | 2,180 | (61 | ) | |||||||||||||
Citigroup | Natural Gas*** | Negative Price Return | Positve Price Return | 06/30/16 | 1,048 | 62 | ||||||||||||||
Citibank | WTI Crude*** | Negative Price Return | Positve Price Return | 06/30/16 | 6,996 | (93 | ) | |||||||||||||
Citigroup | Corn Future*** | Negative Price Return | Positve Price Return | 07/01/16 | 4,803 | (157 | ) | |||||||||||||
BoA Merrill Lynch | Corn*** | Negative Price Return | Positve Price Return | 07/18/16 | 1,121 | (36 | ) | |||||||||||||
Deutsche Bank | Corn*** | Negative Price Return | Positve Price Return | 07/18/16 | 3,771 | (104 | ) | |||||||||||||
BoA Merrill Lynch | Live Cattle *** | Negative Price Return | Positve Price Return | 07/18/16 | 4,316 | (71 | ) | |||||||||||||
Deutsche Bank | Live Cattle *** | Negative Price Return | Positve Price Return | 07/18/16 | 546 | (9 | ) | |||||||||||||
Citibank | Soybean*** | Negative Price Return | Positve Price Return | 07/18/16 | 7,434 | 205 | ||||||||||||||
Deutsche Bank | Soybean*** | Negative Price Return | Positve Price Return | 07/18/16 | 3,258 | 96 | ||||||||||||||
BoA Merrill Lynch | Soybean*** | Negative Price Return | Positve Price Return | 07/18/16 | 8,535 | 155 | ||||||||||||||
Citigroup | Soybean*** | Negative Price Return | Positve Price Return | 07/18/16 | 628 | (7 | ) | |||||||||||||
BoA Merrill Lynch | Soybean Meal*** | Negative Price Return | Positve Price Return | 07/18/16 | 137 | — | ||||||||||||||
BoA Merrill Lynch | Wheat *** | Negative Price Return | Positve Price Return | 07/18/16 | 144 | 1 | ||||||||||||||
Citibank | Wheat *** | Negative Price Return | Positve Price Return | 07/18/16 | 337 | 5 | ||||||||||||||
Citigroup | Cotton No.2 *** | Negative Price Return | Positve Price Return | 07/21/16 | 1,108 | 17 | ||||||||||||||
Deutsche Bank | Cotton No.2 *** | Negative Price Return | Positve Price Return | 07/21/16 | 1,312 | 25 | ||||||||||||||
Citigroup | Cocoa *** | Negative Price Return | Positve Price Return | 07/29/16 | 30 | (1 | ) | |||||||||||||
Citigroup | Wheat *** | Negative Price Return | Positve Price Return | 07/29/16 | 292 | 1 | ||||||||||||||
|
| |||||||||||||||||||
$ | 9,029 | |||||||||||||||||||
|
|
A list of open centrally cleared swap agreements held by the Fund at March 31, 2016, are as follows:
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Appreciation ($ Thousands) | |||||||||
JPMorgan Chase Bank | 2.00% | 3-Month USD - LIBOR | 06/15/2021 | $ | 25,000 | $ | 772 | |||||||
JPMorgan Chase Bank | 2.00% | 3-Month USD - LIBOR | 06/15/2021 | 127,986 | 908 | |||||||||
JPMorgan Chase Bank | 1.25% | 3-Month USD - LIBOR | 06/15/2018 | 65,000 | 616 | |||||||||
JPMorgan Chase Bank | 1.25% | 3-Month USD - LIBOR | 06/15/2018 | 288,555 | 787 | |||||||||
|
| |||||||||||||
$ | 3,083 | |||||||||||||
|
|
For the period ended March 31, 2016, the total amount of all open swap agreements, as presented in the tables above, are representative of the volume of activity for this derivative type during the period.
(1) | In U.S. dollars unless otherwise indicated. |
Percentages are based on a Net Assets of $2,132,278 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2016. |
*** | Futures and swap contracts held by Accumulation Commodity Strategy Subsidiary, Ltd. as of March 31, 2016. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated security (see Note 6). |
(A) | The rate reported is the effective yield at time of purchase. |
(B) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” |
(C) | Security, or portion thereof, is held by Accumulation Commodity Strategy Subsidiary, Ltd. as of March 31, 2016. |
ADR — American Depositary Receipt
AUD — Australian Dollar
BRL — Brazilian Real
CAD — Canadian Dollar
CHF — Swiss Franc
Cl — Class
CNH — Chinese Offshore Yuan
CVR — Contingent Value Rights
EUR — Euro
FTSE — Financial Times Stock Exchange
GBP — British Pound
HKD — Hong Kong Dollar
HUF — Hungarian Forint
INR — Indian Rupee
JPY — Japanese Yen
JSE — Johannesburg Stock Exchange
KOSPI — Korea Composite Stock Price Index
KRW — Korean Won
LIBOR — London Interbank Offered Rate
LME — London Metal Exchange
MSCI — Morgan Stanley Capital International
MTN — Medium Term Note
MXP — Mexican Peso
OTC — Over the Counter
PLC — Public Limited Company
PLN — Polish Zloty
RBOB — Reformulated Blendstock for Oxygenate Blending
S&P — Standard & Poor’s
SGX — Singapore Exchange
TRY — New Turkish Lira
TSE — Tokyo Stock Exchange
USD — U.S. Dollar
ZAR — South African Rand
164 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
The following is a list of the level of inputs used as of March 31, 2016 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 487,169 | $ | — | $ | 487,169 | ||||||||
Sovereign Debt | — | 260,046 | — | 260,046 | ||||||||||||
Foreign Common Stock | 95,644 | 42 | — | 95,686 | ||||||||||||
Common Stock | 65,452 | — | — | 65,452 | ||||||||||||
Corporate Obligations | — | 16,123 | — | 16,123 | ||||||||||||
Exchange Traded Fund | 15,998 | — | — | 15,998 | ||||||||||||
Preferred Stock | 237 | — | — | 237 | ||||||||||||
Rights | — | 3 | — | 3 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Cash Equivalent | 765,585 | — | — | 765,585 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 942,916 | $ | 763,383 | $ | — | $ | 1,706,299 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 22,710 | $ | — | $ | — | $ | 22,710 | ||||||||
Unrealized Depreciation | (4,542 | ) | — | — | (4,542 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 12,179 | — | 12,179 | ||||||||||||
Unrealized Depreciation | — | (13,723 | ) | — | (13,723 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Total Return Swaps* | ||||||||||||||||
Unrealized Appreciation | — | 10,049 | — | 10,049 | ||||||||||||
Unrealized Depreciation | — | (1,020 | ) | — | (1,020 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Appreciation | — | 3,083 | — | 3,083 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 18,168 | $ | 10,568 | $ | — | $ | 28,736 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts, Forwards contracts and Swap contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, there have been transfers 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 $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 165 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 21.7% |
| |||||||
Consumer Discretionary — 3.6% |
| |||||||
21st Century Fox America | ||||||||
4.950%, 10/15/2045 | $ | 250 | $ | 267 | ||||
Ahern Rentals | ||||||||
7.375%, 05/15/2023 (A) | 150 | 103 | ||||||
Altice Financing | ||||||||
6.625%, 02/15/2023 (A) | 500 | 501 | ||||||
5.250%, 02/15/2023 | 300 | 349 | ||||||
Altice US Finance | ||||||||
5.375%, 07/15/2023 (A) | 200 | 205 | ||||||
Amazon.com | ||||||||
4.950%, 12/05/2044 | 400 | 461 | ||||||
AMC Networks | ||||||||
5.000%, 04/01/2024 | 400 | 401 | ||||||
CCO Safari II | ||||||||
6.484%, 10/23/2045 (A) | 150 | 167 | ||||||
4.908%, 07/23/2025 (A) | 250 | 263 | ||||||
3.579%, 07/23/2020 (A) | 450 | 460 | ||||||
CCOH Safari | ||||||||
5.750%, 02/15/2026 (A) | 1,000 | 1,035 | ||||||
Clear Channel Worldwide Holdings | ||||||||
6.500%, 11/15/2022 | 300 | 286 | ||||||
Comcast | ||||||||
3.375%, 08/15/2025 | 300 | 319 | ||||||
DISH DBS | ||||||||
5.875%, 11/15/2024 | 2,150 | 1,973 | ||||||
Ford Motor Credit | ||||||||
5.875%, 08/02/2021 | 350 | 401 | ||||||
General Motors | ||||||||
3.500%, 10/02/2018 | 250 | 256 | ||||||
L Brands | ||||||||
6.875%, 11/01/2035 | 250 | 271 | ||||||
5.625%, 02/15/2022 | 200 | 218 | ||||||
MDC Partners | ||||||||
6.750%, 04/01/2020 (A) | 3,285 | 3,396 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MGM Resorts International | ||||||||
6.750%, 10/01/2020 | $ | 600 | $ | 649 | ||||
Midas Intermediate Holdco II | ||||||||
7.875%, 10/01/2022 (A) | 750 | 698 | ||||||
Midcontinent Communications & Midcontinent Finance | ||||||||
6.875%, 08/15/2023 (A) | 1,200 | 1,242 | ||||||
Neptune Finco | ||||||||
6.625%, 10/15/2025 (A) | 1,450 | 1,568 | ||||||
Numericable-SFR | ||||||||
6.250%, 05/15/2024 (A) | 700 | 679 | ||||||
6.000%, 05/15/2022 (A) | 2,300 | 2,242 | ||||||
Schaeffler Finance | ||||||||
4.750%, 05/15/2023 (A) | 275 | 276 | ||||||
Seminole Hard Rock Entertainment | ||||||||
5.875%, 05/15/2021 (A) | 300 | 301 | ||||||
Sirius XM Radio | ||||||||
5.375%, 04/15/2025 (A) | 400 | 407 | ||||||
4.625%, 05/15/2023 (A) | 250 | 246 | ||||||
Univision Communications | ||||||||
5.125%, 02/15/2025 (A) | 350 | 346 | ||||||
UPCB Finance IV | ||||||||
5.375%, 01/15/2025 (A) | 200 | 203 | ||||||
Virgin Media Secured Finance | ||||||||
4.875%, 01/15/2027 | 100 | 137 | ||||||
WMG Acquisition | ||||||||
6.750%, 04/15/2022 (A) | 1,600 | 1,584 | ||||||
5.625%, 04/15/2022 (A) | 250 | 254 | ||||||
Wynn Las Vegas | ||||||||
5.500%, 03/01/2025 (A) | 1,600 | 1,508 | ||||||
|
| |||||||
23,672 | ||||||||
|
| |||||||
Consumer Staples — 2.1% | ||||||||
Anheuser-Busch InBev Finance | ||||||||
4.900%, 02/01/2046 | 725 | 810 | ||||||
3.650%, 02/01/2026 | 375 | 395 | ||||||
BAT International Finance | ||||||||
3.950%, 06/15/2025 (A) | 425 | 465 | ||||||
2.750%, 06/15/2020 (A) | 350 | 360 | ||||||
Bumble Bee Holdings | ||||||||
9.000%, 12/15/2017 (A) | 3,216 | 3,224 | ||||||
Central Garden & Pet | ||||||||
6.125%, 11/15/2023 | 700 | 728 | ||||||
CVS Health | ||||||||
5.125%, 07/20/2045 | 150 | 174 | ||||||
3.875%, 07/20/2025 | 375 | 404 | ||||||
KeHE Distributors | ||||||||
7.625%, 08/15/2021 (A) | 550 | 527 | ||||||
Kraft Heinz Foods | ||||||||
3.500%, 07/15/2022 (A) | 350 | 367 | ||||||
Lindley | ||||||||
4.625%, 04/12/2023 | 190 | 193 | ||||||
Reynolds American | ||||||||
5.850%, 08/15/2045 | 425 | 519 |
166 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.450%, 06/12/2025 | $ | 425 | $ | 468 | ||||
SABMiller Holdings | ||||||||
4.950%, 01/15/2042 (A) | 300 | 335 | ||||||
Sysco | ||||||||
4.850%, 10/01/2045 | 150 | 161 | ||||||
3.750%, 10/01/2025 | 350 | 368 | ||||||
US Foods | ||||||||
8.500%, 06/30/2019 | 1,000 | 1,027 | ||||||
Vector Group | ||||||||
7.750%, 02/15/2021 | 3,050 | 3,202 | ||||||
|
| |||||||
13,727 | ||||||||
|
| |||||||
Energy — 2.7% | ||||||||
Anadarko Petroleum | ||||||||
3.450%, 07/15/2024 | 150 | 134 | ||||||
Antero Resources | ||||||||
6.000%, 12/01/2020 | 325 | 309 | ||||||
Apache | ||||||||
4.750%, 04/15/2043 | 150 | 135 | ||||||
4.250%, 01/15/2044 | 150 | 126 | ||||||
Approach Resources | ||||||||
7.000%, 06/15/2021 | 850 | 406 | ||||||
Atlas Energy Holdings Operating | ||||||||
9.250%, 08/15/2021 | 1,250 | 194 | ||||||
7.750%, 01/15/2021 | 789 | 114 | ||||||
BreitBurn Energy Partners | ||||||||
9.250%, 05/18/2020 (H) | 813 | 407 | ||||||
Comstock Resources | ||||||||
10.000%, 03/15/2020 (A) | 1,125 | 554 | ||||||
ConocoPhillips | ||||||||
4.950%, 03/15/2026 | 500 | 522 | ||||||
3.350%, 11/15/2024 | 350 | 338 | ||||||
CONSOL Energy | ||||||||
8.000%, 04/01/2023 | 1,000 | 747 | ||||||
ContourGlobal Power Holdings | ||||||||
7.125%, 06/01/2019 (A) | 1,650 | 1,603 | ||||||
Devon Energy | ||||||||
3.250%, 05/15/2022 | 200 | 168 | ||||||
Dynagas LNG Partners | ||||||||
6.250%, 10/30/2019 | 1,800 | 1,206 | ||||||
Enterprise Products Operating | ||||||||
3.750%, 02/15/2025 | 500 | 499 | ||||||
3.700%, 02/15/2026 | 300 | 294 | ||||||
EP Energy | ||||||||
9.375%, 05/01/2020 | 500 | 252 | ||||||
Gazprom Neft OAO Via GPN Capital | ||||||||
6.000%, 11/27/2023 | 920 | 911 | ||||||
Halcon Resources | ||||||||
8.625%, 02/01/2020 (A) (F) | 1,100 | 781 | ||||||
Halliburton | ||||||||
3.375%, 11/15/2022 | 200 | 204 | ||||||
Husky Energy | ||||||||
3.950%, 04/15/2022 | 400 | 398 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Kinder Morgan | ||||||||
5.050%, 02/15/2046 | $ | 175 | $ | 149 | ||||
Laredo Petroleum | ||||||||
7.375%, 05/01/2022 | 150 | 128 | ||||||
6.250%, 03/15/2023 | 300 | 251 | ||||||
Petrobras Global Finance | ||||||||
6.250%, 03/17/2024 | 110 | 88 | ||||||
4.375%, 05/20/2023 | 90 | 66 | ||||||
Petrobras Global Finance BV | ||||||||
5.750%, 01/20/2020 | 50 | 43 | ||||||
Petroleos de Venezuela | ||||||||
6.000%, 05/16/2024 | 1,370 | 425 | ||||||
6.000%, 11/15/2026 | 1,280 | 395 | ||||||
Petroleos Mexicanos MTN | ||||||||
6.875%, 08/04/2026 (A) | 670 | 725 | ||||||
Sabine Pass Liquefaction | ||||||||
5.750%, 05/15/2024 | 400 | 382 | ||||||
SandRidge Energy | ||||||||
8.750%, 06/01/2020 (A) | 800 | 194 | ||||||
Schahin II Finance | ||||||||
5.875%, 09/25/2022 (A) (B) | 1,737 | 253 | ||||||
SM Energy | ||||||||
5.000%, 01/15/2024 | 200 | 138 | ||||||
Sunoco Logistics Partners Operations | ||||||||
5.950%, 12/01/2025 | 1,500 | 1,507 | ||||||
TOTAL MTN | ||||||||
2.625%, 12/29/2049 (C) | 400 | 415 | ||||||
Unit | ||||||||
6.625%, 05/15/2021 | 420 | 211 | ||||||
Weatherford International | ||||||||
6.800%, 06/15/2037 | 50 | 37 | ||||||
6.500%, 08/01/2036 | 50 | 37 | ||||||
4.500%, 04/15/2022 | 50 | 40 | ||||||
Western Gas Partners | ||||||||
4.000%, 07/01/2022 | 200 | 179 | ||||||
Whiting Petroleum | ||||||||
5.750%, 03/15/2021 | 200 | 133 | ||||||
5.000%, 03/15/2019 | 425 | 294 | ||||||
Williams Partners | ||||||||
4.300%, 03/04/2024 | 375 | 312 | ||||||
3.600%, 03/15/2022 | 800 | 659 | ||||||
YPF | ||||||||
8.875%, 12/19/2018 | 30 | 31 | ||||||
|
| |||||||
17,394 | ||||||||
|
| |||||||
Financials — 5.5% | ||||||||
American Express | ||||||||
6.800%, 09/01/2066 (C) | 250 | 251 | ||||||
American Tower | ||||||||
3.300%, 02/15/2021‡ | 350 | 356 | ||||||
Banco do Brasil | ||||||||
9.000%, 06/29/2049 (C) | 360 | 250 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 167 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bank of America | ||||||||
6.300%, 12/31/2049 (C) | $ | 700 | $ | 721 | ||||
6.100%, 12/29/2049 (C) | 1,600 | 1,576 | ||||||
5.125%, 12/31/2049 (C) | 525 | 496 | ||||||
4.000%, 04/01/2024 | 650 | 682 | ||||||
Barclays | ||||||||
6.625%, 06/29/2049 (C) | 200 | 179 | ||||||
BNP Paribas | ||||||||
7.625%, 12/29/2049 (A) (C) | 200 | 201 | ||||||
BPCE MTN | ||||||||
4.875%, 04/01/2026 (A) | 200 | 198 | ||||||
CIC Receivables Master Trust | ||||||||
4.890%, 10/07/2021 (H) | 2,800 | 2,793 | ||||||
Citigroup | ||||||||
5.950%, 12/29/2049*(C) | 3,070 | 2,946 | ||||||
5.950%, 12/31/2049 (C) | 350 | 337 | ||||||
5.875%, 12/29/2049 (C) | 2,595 | 2,488 | ||||||
Communications Sales & Leasing | ||||||||
6.000%, 04/15/2023‡, (A) | 525 | 511 | ||||||
Credit Suisse Group | ||||||||
6.250%, 12/29/2049 (A) (C) | 200 | 183 | ||||||
Customers Bank | ||||||||
6.125%, 06/26/2029 (A) (C) | 2,300 | 2,300 | ||||||
DuPont Fabros Technology | ||||||||
5.875%, 09/15/2021‡ | 250 | 262 | ||||||
5.625%, 06/15/2023‡ | 200 | 205 | ||||||
Equinix | ||||||||
5.875%, 01/15/2026‡ | 1,000 | 1,054 | ||||||
Fifth Third Bancorp | ||||||||
5.100%, 12/31/2049 (C) | 1,662 | 1,508 | ||||||
4.900%, 12/29/2049 (C) | 1,200 | 1,047 | ||||||
Greystar Real Estate Partners | ||||||||
8.250%, 12/01/2022 (A) | 375 | 387 | ||||||
International Lease Finance | ||||||||
7.125%, 09/01/2018 (A) | 500 | 545 | ||||||
Intesa Sanpaolo MTN | ||||||||
7.700%, 12/29/2049 (A) (C) | 300 | 275 | ||||||
5.017%, 06/26/2024 (A) | 475 | 445 | ||||||
Iron Mountain Europe | ||||||||
6.125%, 09/15/2022‡ | 150 | 218 | ||||||
Jefferies Finance | ||||||||
7.375%, 04/01/2020 (A) | 2,000 | 1,730 | ||||||
Jefferies LoanCore | ||||||||
6.875%, 06/01/2020 (A) | 300 | 256 | ||||||
JPMorgan Chase | ||||||||
5.300%, 12/29/2049 (C) | 800 | 802 | ||||||
5.000%, 12/29/2049 (C) | 900 | 860 | ||||||
Kennedy-Wilson | ||||||||
5.875%, 04/01/2024 | 1,000 | 978 | ||||||
Lamar Media | ||||||||
5.750%, 02/01/2026 (A) | 200 | 210 | ||||||
Lloyds Banking Group PLC | ||||||||
4.500%, 11/04/2024 | 200 | 201 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley MTN | ||||||||
4.000%, 07/23/2025 | $ | 750 | $ | 784 | ||||
3.700%, 10/23/2024 | 300 | 310 | ||||||
National Financial Partners | ||||||||
9.000%, 07/15/2021 (A) | 400 | 384 | ||||||
Nationstar Mortgage | ||||||||
6.500%, 08/01/2018 | 225 | 218 | ||||||
Navient MTN | ||||||||
5.500%, 01/15/2019 | 600 | 590 | ||||||
Oxford Finance | ||||||||
7.250%, 01/15/2018 (A) | 2,250 | 2,228 | ||||||
ProSight Global | ||||||||
7.500%, 11/20/2020 (H) | 250 | 259 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
5.125%, 05/28/2024 | 500 | 481 | ||||||
Santander UK Group Holdings MTN | ||||||||
4.750%, 09/15/2025 (A) | 400 | 378 | ||||||
Speedy Cash Intermediate Holdings | ||||||||
10.750%, 05/15/2018 (A) | 275 | 165 | ||||||
SunTrust Banks | ||||||||
5.625%, 12/15/2019 (C) | 2,490 | 2,440 | ||||||
UBS Group | ||||||||
7.000%, 12/29/2049 (C) | 200 | 204 | ||||||
Wells Fargo MTN | ||||||||
3.000%, 02/19/2025 | 400 | 403 | ||||||
|
| |||||||
36,295 | ||||||||
|
| |||||||
Health Care — 1.6% | ||||||||
Actavis Funding SCS | ||||||||
3.800%, 03/15/2025 | 975 | 1,015 | ||||||
Bayer | ||||||||
3.750%, 07/01/2074 (C) | 100 | 118 | ||||||
2.375%, 04/02/2075 (C) | 250 | 278 | ||||||
CHS | ||||||||
6.875%, 02/01/2022 | 150 | 135 | ||||||
5.125%, 08/15/2018 | 500 | 504 | ||||||
DaVita HealthCare Partners | ||||||||
5.000%, 05/01/2025 | 200 | 198 | ||||||
Endo | ||||||||
6.000%, 07/15/2023 (A) | 200 | 188 | ||||||
Endo Finance | ||||||||
6.000%, 02/01/2025 (A) | 200 | 188 | ||||||
Fresenius Medical Care US Finance II | ||||||||
4.750%, 10/15/2024 (A) | 200 | 203 | ||||||
HCA | ||||||||
6.500%, 02/15/2020 | 250 | 274 | ||||||
5.875%, 02/15/2026 | 1,000 | 1,030 | ||||||
Merck KGaA | ||||||||
3.375%, 12/12/2074 (C) | 200 | 230 | ||||||
2.625%, 12/12/2074 (C) | 250 | 286 | ||||||
Mexico Cetes | ||||||||
0.000%, 06/23/2016 | 707,515 | 4,091 |
168 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Opal Acquisition | ||||||||
8.875%, 12/15/2021 (A) | $ | 1,515 | $ | 1,057 | ||||
Tenet Healthcare | ||||||||
4.134%, 06/15/2020 (A) (C) | 725 | 720 | ||||||
UnitedHealth Group | ||||||||
4.750%, 07/15/2045 | 200 | 229 | ||||||
|
| |||||||
10,744 | ||||||||
|
| |||||||
Industrials — 0.7% | ||||||||
Air Canada | ||||||||
6.750%, 10/01/2019 (A) | 300 | 310 | ||||||
HD Supply | ||||||||
5.750%, 04/15/2024 (A) | 290 | 298 | ||||||
5.250%, 12/15/2021 (A) | 250 | 262 | ||||||
Icahn Enterprises | ||||||||
5.875%, 02/01/2022 | 1,000 | 949 | ||||||
LMI Aerospace | ||||||||
7.375%, 07/15/2019 | 250 | 235 | ||||||
Princess Juliana International Airport Operating | ||||||||
5.500%, 12/20/2027 (A) | 953 | 940 | ||||||
Standard Life | ||||||||
6.546%, 11/29/2049 (C) | 100 | 148 | ||||||
StandardAero Aviation Holdings | ||||||||
10.000%, 07/15/2023 (A) | 900 | 860 | ||||||
United Rentals North America | ||||||||
4.625%, 07/15/2023 | 375 | 373 | ||||||
|
| |||||||
4,375 | ||||||||
|
| |||||||
Information Technology — 1.6% | ||||||||
Apple | ||||||||
4.650%, 02/23/2046 | 25 | 27 | ||||||
3.850%, 05/04/2043 | 400 | 389 | ||||||
Avaya | ||||||||
7.000%, 04/01/2019 (A) | 1,250 | 844 | ||||||
Fidelity National Information Services | ||||||||
5.000%, 10/15/2025 | 300 | 324 | ||||||
First Data | ||||||||
5.750%, 01/15/2024 (A) | 3,500 | 3,500 | ||||||
5.000%, 01/15/2024 (A) | 150 | 150 | ||||||
Infor US | ||||||||
6.500%, 05/15/2022 | 1,000 | 910 | ||||||
Micron Technology | ||||||||
5.250%, 08/01/2023 (A) | 1,000 | 818 | ||||||
NCR | ||||||||
5.875%, 12/15/2021 | 795 | 813 | ||||||
NXP BV | ||||||||
3.750%, 06/01/2018 (A) | 250 | 253 | ||||||
Qorvo | ||||||||
6.750%, 12/01/2023 (A) | 250 | 258 | ||||||
Sabre GLBL | ||||||||
5.250%, 11/15/2023 (A) | 125 | 127 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
VeriSign | ||||||||
5.250%, 04/01/2025 | $ | 150 | $ | 151 | ||||
Western Digital | ||||||||
7.375%, 04/01/2023 (A) | 150 | 153 | ||||||
Zayo Group | ||||||||
6.000%, 04/01/2023 | 1,450 | 1,447 | ||||||
|
| |||||||
10,164 | ||||||||
|
| |||||||
Materials — 1.9% | ||||||||
Advanced Disposal Services | ||||||||
8.250%, 10/01/2020 | 600 | 612 | ||||||
Ardagh Finance Holdings | ||||||||
8.625%, 06/15/2019 (A) | 225 | 217 | ||||||
Ardagh Packaging Finance | ||||||||
9.250%, 10/15/2020 | 100 | 119 | ||||||
Ashland | ||||||||
6.875%, 05/15/2043 | 200 | 190 | ||||||
BHP Billiton Finance USA | ||||||||
6.750%, 10/19/2075 (A) (C) | 1,900 | 1,900 | ||||||
Brazil Minas SPE via State of Minas Gerais | ||||||||
5.333%, 02/15/2028 | 1,000 | 852 | ||||||
Crown European Holdings | ||||||||
3.375%, 05/15/2025 | 200 | 226 | ||||||
Eldorado | ||||||||
6.125%, 12/15/2020 (A) | 700 | 639 | ||||||
Mirabela Nickel | ||||||||
1.000%, 07/31/2044 | 3 | – | ||||||
Newcrest Finance | ||||||||
4.200%, 10/01/2022 (A) | 2,000 | 1,895 | ||||||
Reynolds Group | ||||||||
9.000%, 04/15/2019 | 375 | 380 | ||||||
Reynolds Group Issuer | ||||||||
7.875%, 08/15/2019 | 1,500 | 1,552 | ||||||
7.125%, 04/15/2019 | 900 | 916 | ||||||
Sociedad Quimica y Minera de Chile | ||||||||
4.375%, 01/28/2025 | 220 | 207 | ||||||
TPC Group | ||||||||
8.750%, 12/15/2020 (A) | 1,584 | 1,109 | ||||||
Unifrax I | ||||||||
7.500%, 02/15/2019 (A) | 85 | 52 | ||||||
Yamana | ||||||||
4.950%, 07/15/2024 | 1,900 | 1,606 | ||||||
|
| |||||||
12,472 | ||||||||
|
| |||||||
Telecommunication Services — 1.2% |
| |||||||
Frontier Communications | ||||||||
11.000%, 09/15/2025 (A) | 300 | 302 | ||||||
Intelsat Jackson Holdings | ||||||||
5.500%, 08/01/2023 | 300 | 181 | ||||||
Intelsat Luxembourg | ||||||||
8.125%, 06/01/2023 | 125 | 37 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 169 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SoftBank Group | ||||||||
4.500%, 04/15/2020 (A) | $ | 445 | $ | 451 | ||||
Sprint | ||||||||
7.875%, 09/15/2023 | 325 | 249 | ||||||
7.625%, 02/15/2025 | 500 | 371 | ||||||
7.125%, 06/15/2024 | 300 | 223 | ||||||
Sprint Communications | ||||||||
7.000%, 08/15/2020 | 500 | 398 | ||||||
Sprint Nextel | ||||||||
9.000%, 11/15/2018 (A) | 1,350 | 1,414 | ||||||
7.000%, 03/01/2020 (A) | 1,500 | 1,500 | ||||||
Telecom Italia | ||||||||
5.303%, 05/30/2024 (A) | 400 | 410 | ||||||
Telefonica Europe BV | ||||||||
5.875%, 03/31/2049 (C) | 100 | 116 | ||||||
T-Mobile USA | ||||||||
6.500%, 01/15/2026 | 650 | 675 | ||||||
Verizon Communications | ||||||||
5.150%, 09/15/2023 | 525 | 606 | ||||||
4.862%, 08/21/2046 | 275 | 290 | ||||||
Wind Acquisition Finance | ||||||||
4.750%, 07/15/2020 (A) | 450 | 425 | ||||||
|
| |||||||
7,648 | ||||||||
|
| |||||||
Utilities — 0.8% | ||||||||
AES | ||||||||
3.635%, 06/01/2019 (C) | 2,250 | 2,171 | ||||||
AmeriGas Partners | ||||||||
6.500%, 05/20/2021 | 1,000 | 1,015 | ||||||
Calpine | ||||||||
7.875%, 01/15/2023 (A) | 200 | 212 | ||||||
Dynegy | ||||||||
6.750%, 11/01/2019 | 350 | 348 | ||||||
EDP - Energias de Portugal | ||||||||
5.375%, 09/16/2075 (C) | 200 | 223 | ||||||
Electricite de France MTN | ||||||||
4.125%, 01/29/2049 (C) | 200 | 218 | ||||||
Enel | ||||||||
8.750%, 09/24/2073 (A) (C) | 200 | 222 | ||||||
Ferrellgas | ||||||||
6.750%, 06/15/2023 (A) | 900 | 790 | ||||||
NRG Energy | ||||||||
8.250%, 09/01/2020 | 125 | 126 | ||||||
|
| |||||||
5,325 | ||||||||
|
| |||||||
Total Corporate Obligations | 141,816 | |||||||
|
| |||||||
LOAN PARTICIPATIONS — 17.6% |
| |||||||
AABS Bridge Term Loan | ||||||||
4.875%, 01/15/2038 | 813 | 802 | ||||||
Acosta, Revolving Credit 1st Lien Term Loan | ||||||||
3.250%, 09/26/2019 (G) | 238 | (14 | ) |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
0.500%, 09/26/2019 (G) | $ | 1,762 | $ | (100 | ) | |||
Acrisure, 1st Lien Term Loan | ||||||||
6.500%, 05/19/2022 | 1,246 | 1,221 | ||||||
Active Network, 1st Lien Term Loan | ||||||||
5.500%, 11/13/2020 | 467 | 442 | ||||||
Advance Pierre Foods, 1st Lien Term Loan | ||||||||
5.750%, 07/10/2017 | 357 | 357 | ||||||
Advance Pierre Foods, 2nd Lien Term Loan | ||||||||
9.500%, 10/02/2017 | 326 | 323 | ||||||
Advance Pierre Foods, Term Loan | ||||||||
5.750%, 07/10/2017 | 1 | 1 | ||||||
Advanced Computer, 2nd Lien Term Loan | ||||||||
10.500%, 01/31/2023 | 750 | 688 | ||||||
Advanced Disposal Services | ||||||||
3.750%, 10/09/2019 (C) | 275 | 272 | ||||||
Advantage Sales & Marketing Revolver Loan (G) | ||||||||
3.871%, 07/25/2019 | 50 | 42 | ||||||
3.250%, 07/25/2019 | 102 | 9 | ||||||
0.500%, 07/25/2019 | 298 | 25 | ||||||
Advantage Sales, 1st Lien Term Loan | ||||||||
4.250%, 07/23/2021 | 1,719 | 1,686 | ||||||
Affordable Care Holdings, 1st Lien Term Loan | ||||||||
5.750%, 10/22/2022 | 1,000 | 984 | ||||||
Aircell/GoGo, 1st Lien Term Loan B2 | ||||||||
7.500%, 03/21/2018 | 245 | 235 | ||||||
Albertson’s LLC, Term Loan B-4 | ||||||||
5.500%, 08/25/2021 | 3,431 | 3,433 | ||||||
Alexander Mann, 1st Lien Term Loan B | ||||||||
5.750%, 12/20/2019 | 315 | 309 | ||||||
AlixPartners, 1st Lien Term Loan B | ||||||||
4.500%, 07/28/2022 | 249 | 249 | ||||||
AlliedBarton, Cov-Lite, 1st Lien Term Loan | ||||||||
4.250%, 02/12/2021 | 900 | 877 | ||||||
American Renal Holdings, 1st Lien Term Loan B | ||||||||
4.500%, 08/20/2019 | 225 | 224 | ||||||
American Seafoods, 1st Lien Term Loan | ||||||||
6.000%, 08/19/2021 | 987 | 958 | ||||||
AmWINS, Cov-Lite, 1st Lien Term Loan B | ||||||||
5.250%, 09/06/2019 | 147 | 147 | ||||||
Anaren, 1st Lien Term Loan | ||||||||
5.500%, 02/18/2021 | 473 | 426 | ||||||
Araren, 2nd Lien Term Loan | ||||||||
9.250%, 08/18/2021 | 500 | 456 |
170 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Arctic Glacier, Cov-Lite, 1st Lien Term Loan B | ||||||||
6.000%, 05/10/2019 | $ | 309 | $ | 293 | ||||
Aspect Software | ||||||||
3.000%, 09/30/2016 | 44 | — | ||||||
Aspect Software, Term Loan B | ||||||||
9.500%, 05/07/2016 | 545 | 539 | ||||||
Asurion 3/14 Cov-Lite 2nd Lien, Term Loan | ||||||||
8.500%, 03/03/2021 | 150 | 140 | ||||||
Asurion, LLC, Incremental Term Loan B4 | ||||||||
5.000%, 07/29/2022 | 273 | 267 | ||||||
Atkore, Cov-Lite, 1st Lien Term Loan | ||||||||
4.500%, 04/09/2021 | 1,556 | 1,513 | ||||||
Atkore, Cov-Lite, 2nd Lien Term Loan | ||||||||
7.750%, 10/09/2021 | 350 | 318 | ||||||
Atlas, 1st Lien Term Loan | ||||||||
4.875%, 12/15/2039 (H) | 1,178 | 1,161 | ||||||
Authentic Brands Cov-Lite, 1st Lien, Term Loan | ||||||||
5.500%, 05/27/2021 | 665 | 641 | ||||||
0.000%, 05/27/2021 (G) | 26 | (1 | ) | |||||
Avago Technologies Cayman, 1st Lien Term Loan B | ||||||||
4.250%, 02/01/2023 (C) | 592 | 588 | ||||||
Avago, Cov-Lite, 1st Lien Delayed Draw Term Loan B1 | ||||||||
4.250%, 02/01/2023 | 58 | 58 | ||||||
Avaya, 1st Lien Term Loan B | ||||||||
6.500%, 03/31/2018 | 1,065 | 780 | ||||||
6.250%, 05/29/2020 | 1,882 | 1,252 | ||||||
Axalta Coating Systems Dutch Holding B B.V. (Axalta Coating Systems U.S. Holdings, Inc.), Refinanced Term B Loan | ||||||||
3.750%, 02/01/2020 | 325 | 323 | ||||||
Berry Plastics, 1st Lien Term Loan F | ||||||||
4.000%, 09/16/2022 | 250 | 250 | ||||||
BJ’s Wholesale Club 11/13 Cov-Lite, 2nd Lien, Term Loan | ||||||||
8.500%, 03/26/2020 | 75 | 69 | ||||||
BJ’s Wholesale Club, Cov-Lite, 1st Lien Term Loan | ||||||||
4.500%, 09/26/2019 | 1,875 | 1,823 | ||||||
BMC Software, 1st Lien Term Loan | ||||||||
5.000%, 09/10/2020 | 550 | 460 | ||||||
Burger King Term Loan B | ||||||||
3.750%, 12/10/2021 | 525 | 524 | ||||||
BWAY, Cov Lite, 1st Lien Term Loan B | ||||||||
5.500%, 08/14/2020 | 675 | 652 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
California Pizza Kitchen, 1st Lien Term Loan | ||||||||
5.250%, 03/29/2018 | $ | 232 | $ | 197 | ||||
Calpine 5/15 B5 Cov-Lite TL | ||||||||
3.500%, 05/20/2022 | 550 | 542 | ||||||
Camp Systems, Cov-Lite, 1st Lien Term Loan | ||||||||
4.750%, 05/31/2019 | 147 | 142 | ||||||
Camp Systems, Cov-Lite, 2nd Lien Term Loan | ||||||||
8.250%, 11/29/2019 | 200 | 180 | ||||||
Capital Automotive, 2nd Lien Term Loan | ||||||||
6.000%, 04/30/2020 | 210 | 209 | ||||||
Carcore National, 1st Lien Term Loan | ||||||||
5.500%, 03/05/2021 | 1,709 | 1,589 | ||||||
Castlelake Aircraft Securitization Trust, Ser 2014-1, Cl A1 | ||||||||
5.250%, 02/15/2029 | 1 | 1 | ||||||
Castlelake Aircraft Securitization Trust, Ser 2014-1, Cl B | ||||||||
7.500%, 02/15/2029 | 1,366 | 1,347 | ||||||
Ceridian, Cov-Lite, 1st Lien Term Loan | ||||||||
4.500%, 09/15/2020 | 5 | 4 | ||||||
0.003%, 09/15/2020 | 444 | 428 | ||||||
Ceva Group PLC, 1st Lien Synthetic Line of Credit | ||||||||
6.500%, 03/19/2021 | 433 | 356 | ||||||
Ceva Intercompany BV, 1st Lien Term Loan | ||||||||
6.500%, 03/19/2021 | 449 | 369 | ||||||
Ceva Logistics Canada, Canadian Term Loan | ||||||||
6.500%, 03/19/2021 | 77 | 64 | ||||||
Charter Communications, 1st Lien Term Loan H | ||||||||
3.250%, 07/23/2021 | 650 | 648 | ||||||
Checkout Holdings, 1st Lien Term Loan B | ||||||||
4.500%, 04/09/2021 | 275 | 234 | ||||||
CHG Healthcare, 1st Lien Term Loan | ||||||||
4.250%, 11/19/2019 | 952 | 945 | ||||||
Community Health 5/15 | ||||||||
4.000%, 01/27/2021 | 275 | 270 | ||||||
CompuCom, Cov-Lite, 1st Lien Term Loan | ||||||||
4.250%, 05/07/2020 | 914 | 640 | ||||||
Connolly, 1st Lien Term Loan | ||||||||
4.500%, 05/14/2021 | 1,478 | 1,452 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 171 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CPI Card Group, Cov-Lite, 1st Lien Term Loan B | ||||||||
5.500%, 08/17/2022 | $ | 359 | $ | 355 | ||||
CSC Holdings, 1st Lien Term Loan | ||||||||
5.000%, 09/23/2022 | 875 | 875 | ||||||
CTI Foods, 1st Lien Term Loan | ||||||||
4.500%, 06/12/2020 | 197 | 189 | ||||||
CTI Foods, 2nd Lien Term Loan | ||||||||
8.250%, 06/28/2021 | 350 | 317 | ||||||
Cunningham Lindsey, Cov-Lite, 1st Lien Term Loan B | ||||||||
5.000%, 12/10/2019 | 190 | 128 | ||||||
DAE Aviation (Standard Aero), 1st Lien Term Loan | ||||||||
5.250%, 07/07/2022 | 998 | 993 | ||||||
Deltek, 1st Lien Term Loan | ||||||||
5.000%, 06/25/2022 | 419 | 416 | ||||||
Dematic, Cov-Lite, 1st Lien Term Loan | ||||||||
4.250%, 12/28/2019 | 1,216 | 1,203 | ||||||
DJO Finance, 1st Lien Term Loan | ||||||||
4.250%, 06/08/2020 | 243 | 238 | ||||||
Dollar Tree 6/15, 1st Lien, Term Loan | ||||||||
3.500%, 07/06/2022 | 250 | 251 | ||||||
Doncasters, Cov-Lite, 2nd Lien Term Loan | ||||||||
9.500%, 10/09/2020 | 84 | 76 | ||||||
Endo Finance, 1st Lien Term Loan B | ||||||||
3.750%, 06/24/2022 | 325 | 320 | ||||||
Endurance International, 1st Lien Term Loan | ||||||||
6.230%, 11/09/2019 | 778 | 742 | ||||||
0.000%, 02/09/2023† | 200 | 185 | ||||||
Energy Solutions, 1st Lien Term Loan | ||||||||
6.750%, 05/29/2020 | 400 | 368 | ||||||
Ennis-Flint, 2nd Lien Term Loan | ||||||||
7.750%, 09/30/2021 | 200 | 190 | ||||||
Ennis-Flint, Cov-Lite, 1st Lien Term Loan | ||||||||
4.250%, 03/31/2021 | 737 | 718 | ||||||
Equinox Fitness Clubs, Cov-Lite, 1st Lien Term Loan B | ||||||||
5.000%, 01/31/2020 | �� | 667 | 663 | |||||
Exopack, Cov-Lite, 1st Lien Term Loan | ||||||||
4.500%, 05/08/2019 | 158 | 154 | ||||||
Expert Global, 1st Lien Term Loan B | ||||||||
8.000%, 04/02/2018 | 447 | 438 | ||||||
Eyemart, 1st Lien Term Loan B | ||||||||
5.000%, 12/18/2021 | 935 | 919 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Eze Castle, 2nd Lien Term Loan | ||||||||
7.250%, 04/05/2021 | $ | 150 | $ | 141 | ||||
Fender Musical, 1st Lien Term Loan B | ||||||||
5.750%, 04/03/2019 | 159 | 157 | ||||||
Filtration Group, Cov-Lite, 1st Lien Term Loan | ||||||||
4.250%, 11/23/2020 | 1,467 | 1,459 | ||||||
First Data, 1st Lien Term Loan | ||||||||
3.932%, 03/23/2018 | 275 | 274 | ||||||
First Data, Extended 1st Lien Term Loan | ||||||||
4.427%, 03/24/2021 | 802 | 799 | ||||||
Fitness International, 1st Lien Term Loan B | ||||||||
5.500%, 07/01/2020 | 690 | 664 | ||||||
Flakt Woods, 2nd Lien Term Loan | ||||||||
4.750%, 03/20/2017 (H) | 657 | 741 | ||||||
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 | 139 | ||||||
Gates Global, Cov-Lite, 1st Lien Term Loan | ||||||||
4.250%, 07/06/2021 | 1,194 | 1,125 | ||||||
Getty Images Cov-Lite, 1st Lien Term Loan B | ||||||||
4.750%, 10/03/2019 | 300 | 222 | ||||||
Global Payments INC | ||||||||
0.000%, 03/24/2023 (C) | 125 | 126 | ||||||
GlobalLogic, 1st Lien Term Loan B | ||||||||
6.250%, 05/31/2019 | 294 | 287 | ||||||
GOGO, 1st Lien Term Loan B1 | ||||||||
11.250%, 06/21/2017 | 448 | 450 | ||||||
Goodpack, Cov-Lite, 1st Lien Term Loan | ||||||||
4.750%, 09/09/2021 | 410 | 378 | ||||||
Greenway Medical, 1st Lien Term Loan | ||||||||
6.000%, 11/04/2020 | 882 | 759 | ||||||
Greenway Medical, 2nd Lien Term Loan | ||||||||
9.250%, 11/04/2021 | 100 | 77 | ||||||
Gypsum, Cov-Lite, 1st Lien Term Loan | ||||||||
4.750%, 04/01/2021 | 1,180 | 1,112 | ||||||
Hardware Holdings, Cov-Lite, 1st Lien Term Loan | ||||||||
6.750%, 03/30/2020 (H) | 988 | 963 | ||||||
HCP, 1st Lien Term Loan | ||||||||
2.945%, 05/01/2018 | 525 | 525 |
172 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HD Supply, 1st Lien Term Loan | ||||||||
3.750%, 08/13/2021 | $ | 325 | $ | 323 | ||||
Hearthside Food, Cov-Lite, 1st Lien Term Loan | ||||||||
4.500%, 06/02/2021 | 1,528 | 1,486 | ||||||
Hoffmaster, 1st Lien Term Loan | ||||||||
5.250%, 05/09/2020 | 739 | 726 | ||||||
Hostess Brands, Cov-Lite, 1st Lien Term Loan B | ||||||||
4.500%, 07/29/2022 | 499 | 499 | ||||||
Hub International, 1st Lien Term Loan | ||||||||
4.000%, 10/02/2020 | 1,376 | 1,338 | ||||||
Hyland Software, Cov-Lite, 1st Lien Term Loan | ||||||||
4.750%, 07/01/2022 | 257 | 255 | ||||||
IHC Holding, 1st Lien Term Loan | ||||||||
7.000%, 04/30/2021 (H) | 1,244 | 1,213 | ||||||
Infor, 1st Lien Term Loan B | ||||||||
3.750%, 06/03/2020 | 275 | 266 | ||||||
Insight Fourth Hospitality, 1st Lien Term Loan | ||||||||
7.250%, 07/14/2021 (H) | 1,000 | 1,388 | ||||||
Intelsat Jackson Holdings | ||||||||
3.750%, 06/30/2019 (C) | 325 | 303 | ||||||
Intrawest Holdings (H) | ||||||||
4.500%, 12/10/2018 | 157 | — | ||||||
0.375%, 12/10/2018 | 43 | — | ||||||
Invenergy Thermal, 1st Lien Term Loan | ||||||||
6.500%, 10/07/2022 | 1,496 | 1,406 | ||||||
J. Crew Cov-Lite, 1st Lien Term Loan | ||||||||
4.000%, 03/05/2021 | 200 | 155 | ||||||
Jacobs Entertainment, 1st Lien Term Loan | ||||||||
5.250%, 10/29/2018 | 376 | 365 | ||||||
LANDesk Software, 1st Lien Term Loan | ||||||||
5.000%, 02/25/2020 | 637 | 621 | ||||||
Learning Care, Cov-Lite, 1st Lien Term Loan | ||||||||
5.000%, 05/05/2021 | 1,478 | 1,471 | ||||||
Level 3 Financing, Cov-Lite, 1st Lien Term Loan | ||||||||
3.500%, 05/31/2022 | 250 | 249 | ||||||
Lineage Logistics, 1st Lien Term Loan | ||||||||
4.500%, 04/07/2021 | 2,142 | 1,794 | ||||||
Lions Gate Entertainment, 2nd Lien Term Loan | ||||||||
5.000%, 03/17/2022 | 550 | 535 | ||||||
LPL Holdings, 1st Lien Term Loan | ||||||||
4.750%, 11/18/2022 | 800 | 784 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Magic Newco LLC, 1st Lien Term Loan | ||||||||
5.000%, 12/12/2018 | $ | 780 | $ | 780 | ||||
Magic Newco LLC, 2nd Lien Term Loan | ||||||||
12.000%, 06/12/2019 | 350 | 359 | ||||||
Match Group, 1st Lien Term Loan B1 | ||||||||
5.500%, 11/16/2022 | 1,050 | 1,049 | ||||||
Mavis Tire Supply, Term Loan | ||||||||
6.250%, 11/02/2020 (H) | 1,493 | 1,460 | ||||||
Med Finance Merger, 1st Lien Term Loan (H) | ||||||||
7.250%, 08/11/2021 | 401 | 393 | ||||||
0.000%, 08/11/2021 | 98 | 95 | ||||||
MEG Energy | ||||||||
3.750%, 03/21/2020 | 550 | 442 | ||||||
Men’s Warehouse, Cov-Lite, 1st Lien Term Loan B | ||||||||
4.500%, 06/18/2021 | 531 | 510 | ||||||
Mergermarket, 1st Lien Term Loan | ||||||||
4.500%, 02/04/2021 | 737 | 715 | ||||||
Milacron 4/15 Cov-Lite TLB | ||||||||
4.500%, 09/28/2020 | 150 | 148 | ||||||
Mitchell International, Cov-Lite, 2nd Lien Term Loan | ||||||||
8.500%, 10/11/2021 | 895 | 785 | ||||||
MPH Acquisition Holdings | ||||||||
3.750%, 03/31/2021 (C) | 325 | 322 | ||||||
NANA Development, 1st Lien Term Loan | ||||||||
8.000%, 03/15/2018 | 163 | 142 | ||||||
National Veterinary Associates, Cov-Lite, 2nd Lien Term Loan | ||||||||
8.000%, 08/14/2022 | 250 | 242 | ||||||
National Veterinary Associaties, Cov-Lite, 1st Lien Term Loan | ||||||||
4.750%, 08/14/2021 | 905 | 896 | ||||||
National Vision, Cov-Lite, 1st Lien Term Loan | ||||||||
4.000%, 03/12/2021 | 1,277 | 1,238 | ||||||
Navistar International, 1st Lien Term Loan B | ||||||||
6.500%, 08/17/2017 | 1,000 | 910 | ||||||
Neiman Marcus, Cov-Lite, 1st Lien Term Loan | ||||||||
4.250%, 10/25/2020 | 2,218 | 2,028 | ||||||
NEP/NCP Holdco, Cov-Lite, 1st Lien Incremental Term Loan | ||||||||
5.000%, 01/22/2020 | 275 | 254 | ||||||
NEP/NCP Holdco, Cov-Lite, 2nd Lien Term Loan | ||||||||
10.000%, 07/22/2020 | 100 | 92 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 173 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
NES Global, 1st Lien Term Loan | ||||||||
6.500%, 10/03/2019 | $ | 967 | $ | 870 | ||||
Nord Anglia, Cov-Lite, 1st Lien Term Loan | ||||||||
5.000%, 03/31/2021 | 743 | 730 | ||||||
NXP B.V. (NXP Funding LLC), Tranche B Loan | ||||||||
3.750%, 12/07/2020 | 450 | 451 | ||||||
One Call Medical, Cov-Lite, 1st Lien Term Loan | ||||||||
5.000%, 11/27/2020 | 864 | 758 | ||||||
Ortho-Clinical Diagnostics Holdings Luxembourg S.À R.L., Initial Term Loan | ||||||||
4.750%, 06/30/2021 | 75 | 69 | ||||||
Packers Sanitation Services, 1st Lien Term Loan | ||||||||
5.000%, 12/02/2021 | 990 | 986 | ||||||
Panda Temple, 1st Lien Term Loan B | ||||||||
7.250%, 04/03/2019 | 350 | 292 | ||||||
Party City, Cov-Lite, 1st Lien Term Loan | ||||||||
4.250%, 08/19/2022 | 1,596 | 1,582 | ||||||
Pelican Products, 2nd Lien Term Loan | ||||||||
9.250%, 04/09/2021 | 1,000 | 835 | ||||||
Performance Food Group, Cov-Lite, 2nd Lien Term Loan | ||||||||
6.000%, 11/14/2019 | 94 | 94 | ||||||
6.000%, 11/07/2019 | 401 | 401 | ||||||
PetSmart, Inc., Tranche B-1 Loan | ||||||||
4.250%, 03/10/2022 | 250 | 249 | ||||||
Phillips-Medisize, Cov-Lite, 1st Lien Term Loan | ||||||||
4.750%, 06/16/2021 | 493 | 484 | ||||||
Prolamina, 1st Lien Term Loan | ||||||||
5.750%, 08/18/2022 | 499 | 487 | ||||||
PSS Companies, 1st Lien Term Loan | ||||||||
5.500%, 01/28/2020 | 269 | 175 | ||||||
Reddy Ice, 1st Lien Term Loan | ||||||||
7.750%, 05/01/2019 | 1 | 1 | ||||||
Reddy Ice, 1st Lien Term Loan | ||||||||
6.750%, 05/01/2019 | 339 | 283 | ||||||
Reddy Ice, Cov-Lite, 2nd Lien Term Loan | ||||||||
10.750%, 11/01/2019 | 225 | 148 | ||||||
Rise Term Loan A | ||||||||
4.750%, 02/12/2039 | 2,625 | 2,579 | ||||||
Ryan, 1st Lien Term Loan B | ||||||||
6.750%, 08/05/2020 | 488 | 472 | ||||||
SBA Senior Finance, Incremental Term B-1 Loan | ||||||||
3.250%, 03/24/2021 | 250 | 249 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Scientific Games International, Inc., Initial Term B-2 Loan | ||||||||
6.000%, 09/17/2021 | $ | 200 | $ | 193 | ||||
Sears Roebuck Acceptance, 1st Lien Term Loan | ||||||||
5.500%, 06/30/2018 | 489 | 464 | ||||||
Sedgwick Cms Holdings, | ||||||||
3.750%, 03/01/2021 | 275 | 267 | ||||||
0.000%, 02/28/2022 | 125 | 116 | ||||||
Shearer’s Foods, First Lien | ||||||||
4.938%, 06/30/2021 | 275 | 271 | ||||||
Shearer’s Foods, Second Lien | ||||||||
7.750%, 06/30/2022 | 150 | 138 | ||||||
SI Organization, 1st Lien Term Loan | ||||||||
5.750%, 11/23/2019 | 439 | 435 | ||||||
SIG Combibloc, Cov-Lite, 1st Lien | ||||||||
4.250%, 03/11/2022 | 250 | 249 | ||||||
SIRVA, 1st Lien Term Loan | ||||||||
7.500%, 03/27/2019 | 807 | 762 | ||||||
Sky Bet, Cov-Lite, 1st Lien Term Loan | ||||||||
6.500%, 02/25/2022 | 650 | 932 | ||||||
Solera, Cov-Lite, 1st Lien Term Loan | ||||||||
5.750%, 02/28/2023 | 850 | 848 | ||||||
Southern Graphic Systems, Cov-Lite, 1st Lien Term Loan | ||||||||
4.250%, 10/17/2019 | 402 | 398 | ||||||
Sparta Systems | ||||||||
6.500%, 07/28/2020 (H) | 669 | 664 | ||||||
Spring Industries, 1st Lien Term Loan | ||||||||
7.500%, 06/01/2021 (H) | 600 | 586 | ||||||
Sun Products, 1st lien Term Loan | ||||||||
6.500%, 03/21/2020 | 275 | 265 | ||||||
ThermaSys, 1st Lien Term Loan | ||||||||
6.500%, 05/03/2019 | 2 | 2 | ||||||
5.250%, 05/03/2019 | 349 | 277 | ||||||
Thomas Learning, Exit Cov-Lite, 1st Lien Term Loan | ||||||||
7.000%, 03/31/2020 | 891 | 886 | ||||||
Tibco Software, Cov-Lite, 1st Lien Term Loan B | ||||||||
6.500%, 12/04/2020 | 1,985 | 1,780 | ||||||
TMS, Cov-Lite, 1st Lien Term Loan B | ||||||||
4.500%, 10/16/2020 | 387 | 342 | ||||||
TNT Logistics, Cov-Lite, 1st Lien Term Loan | ||||||||
6.500%, 03/19/2021 | 620 | 509 | ||||||
Transdigm, 1st Lien Term Loan | ||||||||
3.500%, 05/13/2022 | 675 | 664 | ||||||
Travelport, 1st Lien Term Loan | ||||||||
7.250%, 08/13/2021 | 5 | 5 | ||||||
5.750%, 09/02/2021 | 1,967 | 1,964 |
174 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
TSAM Delaware | ||||||||
7.750%, 09/12/2019 (H) | $ | 434 | $ | 429 | ||||
TXU/TCEH, Delayed 1st Lien Term Loan | ||||||||
3.750%, 11/07/2016 | 282 | 281 | ||||||
U.S. Renal Care, 1st Lien Term Loan | ||||||||
5.250%, 11/17/2022 | 375 | 373 | ||||||
Univar, Cov-Lite, Initial Term Loan | ||||||||
4.250%, 07/01/2022 | 275 | 271 | ||||||
Univar, Term Loan, 1st Lien | ||||||||
4.250%, 07/01/2022 | 75 | 74 | ||||||
Univision, 1st Lien Term Loan C4 | ||||||||
4.000%, 03/01/2020 | 475 | 470 | ||||||
US Foods, Cov-Lite, Incremental Term Loan | ||||||||
4.500%, 03/31/2019 | 975 | 970 | ||||||
Valeant Pharmaceuticals International, Term Loan B | ||||||||
4.000%, 04/01/2022 | 1,375 | 1,297 | ||||||
VGroup, Cov-Lite, 1st Lien Term Loan | ||||||||
5.000%, 06/25/2021 | 495 | 483 | ||||||
Wencor, Cov-Lite Term Loan | ||||||||
0.000%, 06/19/2019 | 62 | 53 | ||||||
Wencor, Cov-Lite, Revolving Credit 1st Lien Term Loan | ||||||||
3.697%, 06/19/2019 | 215 | 181 | ||||||
0.500%, 06/19/2019 | 187 | 29 | ||||||
WTG Holdings, Cov-Lite, 1st Lien Term Loan | ||||||||
4.750%, 01/15/2021 | 490 | 479 | ||||||
Ziggo, 1st Lien Term Loan B1 | ||||||||
3.500%, 01/15/2022 | 148 | 146 | ||||||
Ziggo, 1st Lien Term Loan B2 | ||||||||
3.500%, 01/15/2022 | 95 | 94 | ||||||
Ziggo, 1st Lien Term Loan B3 | ||||||||
3.601%, 01/15/2022 | 157 | 155 | ||||||
|
| |||||||
Total Loan Participations |
| 114,853 | ||||||
|
| |||||||
COLLATERALIZED DEBT OBLIGATIONS — 14.6% |
| |||||||
ACAS CLO, Ser 2013-1A, Cl C | ||||||||
3.067%, 04/20/2025 (A) (C) | 1,000 | 948 | ||||||
ACAS CLO, Ser 2014-1A, Cl CR | ||||||||
3.819%, 09/20/2023 (A) (C) | 2,500 | 2,449 | ||||||
ACIS CLO, Ser 2013-1A, Cl D | ||||||||
4.815%, 04/18/2024 (A) (C) | 800 | 665 | ||||||
ACIS CLO, Ser 2013-2A, Cl D | ||||||||
4.473%, 10/14/2022 (A) (C) | 1,100 | 980 | ||||||
AMMC CLO XI, Ser 2012-11A, Cl SUB | ||||||||
0.000%, 10/30/2023 (A) | 2,100 | 726 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AMMC CLO XIV, Ser 2014-14A, Cl A3L | ||||||||
3.120%, 07/27/2026 (A) (C) | $ | 1,000 | $ | 944 | ||||
Ares XXV CLO, Ser 2012-3A, Cl SUB | ||||||||
0.000%, 01/17/2024 (A) | 750 | 246 | ||||||
ARES XXVI CLO, Ser 2013-1A, Cl SUB | ||||||||
0.000%, 04/15/2025 (A) | 2,400 | 1,140 | ||||||
ARES XXVI CLO, Ser 2013-1A, Cl C | ||||||||
3.071%, 04/15/2025 (A) (C) | 750 | 678 | ||||||
ARES XXVI CLO, Ser 2013-1X, Cl SUB | ||||||||
0.000%, 04/15/2025 | 500 | 238 | ||||||
Atlas Senior Loan Fund II, | ||||||||
0.000%, 01/30/2024 (A) | 950 | 415 | ||||||
Atlas Senior Loan Fund, Ser 2013-2A, Cl A3L | ||||||||
3.318%, 02/17/2026 | 1,350 | 1,263 | ||||||
Avery Point III CLO, Ser 2013-3X, Cl COM | ||||||||
0.697%, 01/18/2025 | 3,000 | 2,353 | ||||||
Babson CLO, Ser 2012-2A, Cl SUB | ||||||||
2.378%, 05/15/2023 (A) | 3,000 | 1,287 | ||||||
Babson CLO, Ser 2014-IA, Cl SUB | ||||||||
0.793%, 07/20/2025 (A) | 2,400 | 878 | ||||||
Black Diamond CLO Luxembourg, Ser 2007-1A, Cl C | ||||||||
1.308%, 04/29/2019 (A) (C) | 1,100 | 1,030 | ||||||
BlackRock Senior Income, | ||||||||
0.000%, 09/15/2016 (A) | 950 | — | ||||||
Carlyle Global Market Strategies CLO, Ser 2012-3A, Cl SUB | ||||||||
0.000%, 10/14/2024 (A) | 750 | 371 | ||||||
Carlyle Global Market Strategies CLO, Ser 2014-2A, Cl DR | ||||||||
4.217%, 07/20/2023 (A) (C) | 1,000 | 923 | ||||||
Cent CLO, Ser 2014-16A, Cl BR | ||||||||
3.529%, 08/01/2024 (A) (C) | 2,500 | 2,500 | ||||||
Cerberus Onshore II CLO, | ||||||||
4.122%, 10/15/2023 (A) (C) | 250 | 248 | ||||||
3.625%, 10/15/2023 (A) (C) | 750 | 739 | ||||||
Cerberus Onshore II CLO, | ||||||||
4.622%, 10/15/2023 (A) (C) | 250 | 231 | ||||||
4.425%, 10/15/2023 (A) (C) | 750 | 698 | ||||||
COA Summit CLO, Ser 2014-1A, Cl C | ||||||||
4.167%, 04/20/2023 (A) (C) | 500 | 442 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 175 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Copper River CLO, Ser 2007-1A, Cl INC | ||||||||
0.000%, 01/20/2021 (A) (C) | $ | 3,000 | $ | 564 | ||||
Covenant Credit Partners CLO I, | ||||||||
3.237%, 07/20/2026 (A) (C) | 500 | 431 | ||||||
DIVCORE CLO, Ser 2013-1A, Cl B | ||||||||
4.331%, 11/15/2032 | 750 | 748 | ||||||
Dryden 37 Senior Loan Fund, | ||||||||
0.000%, 04/15/2027 (A) | 1,100 | 759 | ||||||
Dryden 37 Senior Loan Fund, | ||||||||
0.000%, 04/15/2027 (A) | 1,000 | 895 | ||||||
Dryden 41 Senior Loan Fund, | ||||||||
0.000%, 10/15/2027 (A) | 1,600 | 1,216 | ||||||
Dryden XXIII Senior Loan Fund, | ||||||||
3.271%, 07/17/2023 (A) (C) | 1,750 | 1,689 | ||||||
Duane Street CLO IV, Ser 2007-4A, Cl D | ||||||||
2.612%, 11/14/2021 (A) (C) | 1,850 | 1,778 | ||||||
Fifth Street SLF II, Ser 2015-2A, Cl A2 | ||||||||
3.139%, 09/29/2027 (A) (C) | 1,000 | 979 | ||||||
Finn Square CLO, | ||||||||
0.000%, 12/24/2023 (A) | 1,000 | 350 | ||||||
Fortress Credit Funding V, Ser 2015-5A, Cl BR | ||||||||
4.012%, 08/15/2022 (A) (C) | 2,000 | 1,963 | ||||||
Fortress Credit Opportunities III CLO, Ser 2014-3A, Cl C | ||||||||
3.573%, 04/28/2026 (A) (C) | 2,500 | 2,378 | ||||||
Fortress Credit Opportunities V CLO, Ser 2014-5A, Cl C | ||||||||
4.167%, 10/15/2026 (A) (C) | 2,250 | 2,157 | ||||||
Fortress Credit Opportunities V CLO, Ser 2014-5A, Cl D | ||||||||
5.117%, 10/15/2026 (A) (C) | 1,000 | 884 | ||||||
Fortress Credit Opportunities VI CLO, Ser 2015-6A, Cl D | ||||||||
5.635%, 10/10/2026 (A) (C) | 1,000 | 858 | ||||||
Galaxy XIX CLO, | ||||||||
0.000%, 01/24/2027 (A) | 1,000 | 867 | ||||||
Gallatin CLO VII, Ser 2014-1A, Cl D | ||||||||
4.081%, 07/15/2023 (A) (C) | 500 | 469 | ||||||
Garrison Funding CLO, Ser 2013-2A, Cl B | ||||||||
5.019%, 09/25/2023 (A) (C) | 250 | 246 | ||||||
Golub Capital Partners CLO, | ||||||||
3.820%, 04/25/2026 (A) (C) | 600 | 575 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Golub Capital Partners CLO, | ||||||||
4.320%, 04/25/2026 (A) (C) | $ | 300 | $ | 270 | ||||
Golub Capital Partners CLO, | ||||||||
3.620%, 10/25/2026 (A) (C) | 1,200 | 1,134 | ||||||
Golub Capital Partners CLO, | ||||||||
4.083%, 02/05/2027 (A) (C) | 2,000 | 1,900 | ||||||
Golub Capital Partners CLO, | ||||||||
4.138%, 08/05/2027 (A) (C) | 1,000 | 942 | ||||||
Gramercy Park CLO, Ser 2012-1A, Cl SUB | ||||||||
2.092%, 07/17/2023 (A) | 1,100 | 480 | ||||||
Gramercy Park CLO, | ||||||||
4.365%, 07/17/2023 (A) (C) | 600 | 564 | ||||||
Gramercy Real Estate, Ser 2007-1A, Cl A1 | ||||||||
0.898%, 08/15/2056 (A) (C) | 3,284 | 2,890 | ||||||
Grayson CLO, Ser 2006-1A, Cl A2 | ||||||||
0.739%, 11/01/2021 (A) (C) | 700 | 642 | ||||||
Great Lakes CLO, Ser 2012-1A | ||||||||
0.000%, 01/15/2023 (A) | 1,000 | 617 | ||||||
Great Lakes CLO, Ser 2014-1A, Cl C | ||||||||
4.021%, 04/15/2025 (A) (C) | 2,500 | 2,408 | ||||||
Great Lakes CLO, Ser 2014-1A, Cl D | ||||||||
4.521%, 04/15/2025 (A)(C) | 500 | 452 | ||||||
Greywolf CLO III, Ser 2014-1A, Cl B | ||||||||
3.170%, 04/22/2026 (A) (C) | 750 | 724 | ||||||
Halcyon Loan Investors CLO II, | ||||||||
1.720%, 04/24/2021 (A) (C) | 500 | 469 | ||||||
Helios Series I Multi Asset, | ||||||||
1.586%, 12/13/2036 (A) (C) | 886 | 869 | ||||||
Highland Park I, Ser 2006-1A, Cl A1 | ||||||||
0.959%, 11/25/2051 (A) (C) | 529 | 500 | ||||||
Kingsland CLO III, Ser 2006-3A, Cl C1 | ||||||||
1.982%, 08/24/2021 (A) (C) | 1,350 | 1,238 | ||||||
KKR CLO 12, Ser 2015-12, Cl C | ||||||||
3.283%, 07/15/2027 (A) (C) | 1,000 | 909 | ||||||
KVK CLO, Ser 2013-1A, Cl SUB | ||||||||
0.000%, 04/14/2025 (A) | 3,500 | 1,298 | ||||||
KVK CLO, Ser 2014-1A, Cl C | ||||||||
3.262%, 05/15/2026 (A) (C) | 1,000 | 837 | ||||||
KVK CLO, Ser 2014-2A, Cl C | ||||||||
3.321%, 07/15/2026 (A) (C) | 1,000 | 915 |
176 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Lime Street CLO, Ser 2007-1A, Cl D | ||||||||
3.070%, 06/20/2021 (A) (C) | $ | 750 | $ | 697 | ||||
Marathon CLO II, Ser 2005-2A, Cl INC | ||||||||
0.000%, 12/20/2019 (A) (C) | 750 | — | ||||||
Marathon CLO VI, Ser 2014-6A, Cl B | ||||||||
3.468%, 05/13/2025 (A) (C) | 1,000 | 860 | ||||||
MCF CLO III, Ser 2014-3A, Cl D | ||||||||
3.462%, 01/20/2024 (A) (C) | 250 | 219 | ||||||
MCF CLO IV, Ser 2014-1A, Cl E | ||||||||
6.197%, 10/15/2025 (A) (C) | 500 | 404 | ||||||
Mountain Hawk II CLO, Ser 2013-2A, Cl C | ||||||||
2.917%, 07/22/2024 (A) (C) | 1,000 | 835 | ||||||
Mountain Hawk II CLO, Ser 2013-2A, Cl D | ||||||||
3.467%, 07/22/2024 (A) (C) | 1,000 | 794 | ||||||
MT Wilson CLO II, Ser 2007-2A, Cl D | ||||||||
3.071%, 07/11/2020 (A) (C) | 3,000 | 2,730 | ||||||
NewStar Arlington Senior Loan Program, Ser 2014-1A, Cl C1 | ||||||||
3.620%, 07/25/2025 (A) (C) | 1,000 | 945 | ||||||
NewStar Arlington Senior Loan Program, Ser 2014-1A, Cl D | ||||||||
4.570%, 07/25/2025 (A) (C) | 750 | 639 | ||||||
Newstar Commercial Loan Trust, Ser 2007-1A, Cl C | ||||||||
1.936%, 09/30/2022 (A) (C) | 500 | 482 | ||||||
Newstar Trust, Ser 2012-2A, Cl D | ||||||||
6.874%, 01/20/2023 (A) (C) | 500 | 487 | ||||||
N-Star REL CDO VIII, Ser 2006-8A, Cl A2 | ||||||||
0.798%, 02/01/2041 (A) (C) | 1,000 | 963 | ||||||
N-Star VIII, Ser 2006-8A, Cl A1 | ||||||||
0.513%, 02/01/2041 | 671 | 659 | ||||||
Oaktree EIF II, Ser 2014-A2, Cl C | ||||||||
3.817%, 11/15/2025 (A) (C) | 1,000 | 930 | ||||||
OCP CLO, Ser 2014-6A, Cl B | ||||||||
3.720%, 07/17/2026 (A) (C) | 1,000 | 964 | ||||||
Octagon Loan Funding, Ser 2014-1A, Cl SUB | ||||||||
0.000%, 11/18/2026 (A) | 1,000 | 514 | ||||||
Palmer Square CLO, Ser 2014-1A, Cl C | ||||||||
4.165%, 10/17/2022 (A) (C) | 2,000 | 1,825 | ||||||
Palmer Square CLO, Ser 2014-1A, Cl B | ||||||||
2.865%, 10/17/2022 (A) (C) | 1,000 | 963 | ||||||
Primus CLO II, Ser 2007-2A, Cl C | ||||||||
1.239%, 07/15/2021 (A) (C) | 1,500 | 1,387 | ||||||
Putnam Structured Product Funding, Ser 2002-1A, Cl A2 | ||||||||
1.109%, 01/10/2038 (A) (C) | 910 | 872 | ||||||
Race Point CLO, Ser 2014-5A, Cl DR | ||||||||
4.262%, 12/15/2022 (A) (C) | 1,600 | 1,531 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
RAIT CRE CDO I, Ser 2006-1X, Cl A1B | ||||||||
0.762%, 11/20/2046 (C) | $ | 1,774 | $ | 1,651 | ||||
Shackleton CLO, Ser 2012-2A, Cl D | ||||||||
4.674%, 10/20/2023 (A) (C) | 1,000 | 895 | ||||||
Steele Creek CLO, Ser 2014-1A, Cl C | ||||||||
3.578%, 08/21/2026 (A) (C) | 500 | 462 | ||||||
Symphony CLO XI, Ser 2013-11A, Cl D | ||||||||
4.315%, 01/17/2025 (A) (C) | 1,000 | 930 | ||||||
Telos CLO, Ser 2013-3A, Cl D | ||||||||
4.565%, 01/17/2024 (A) (C) | 1,050 | 899 | ||||||
Telos CLO, Ser 2014-6A, Cl C | ||||||||
3.315%, 01/17/2027 (A) (C) | 3,000 | 2,805 | ||||||
TICP CLO II, Ser 2014-2A, Cl B | ||||||||
3.317%, 07/20/2026 (A) (C) | 600 | 554 | ||||||
Treman Park CLO, Ser 2015-1A, Cl COM | ||||||||
0.457%, 04/20/2027 (A) | 3,000 | 2,603 | ||||||
Venture XIV CLO, Ser 2013-14A, Cl C | ||||||||
3.162%, 08/28/2025 (A) (C) | 500 | 481 | ||||||
Venture XV CLO, Ser 2013-15A, Cl C | ||||||||
3.421%, 07/15/2025 (A) (C) | 250 | 237 | ||||||
Vibrant CLO II, Ser 2013-2A, Cl B | ||||||||
3.070%, 07/24/2024 (A) (C) | 1,000 | 910 | ||||||
West CLO, Ser 2013-1A, Cl B | ||||||||
3.244%, 11/07/2025 (A) (C) | 1,000 | 823 | ||||||
West CLO, Ser 2013-1A, Cl SUB | ||||||||
0.000%, 11/07/2025 (A) | 1,350 | 205 | ||||||
|
| |||||||
Total Collateralized Debt Obligations | 95,411 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 13.3% |
| |||||||
Credit Cards — 0.0% | ||||||||
Citi Holdings Liquidating Unrated Performing Assets, Ser 2012-BIZ, Cl A | ||||||||
0.128%, 12/15/2049 (A) | 130 | 103 | ||||||
|
| |||||||
Mortgage Related Securities — 0.2% |
| |||||||
GSAA Home Equity Trust, Ser 2005-10, Cl M4 | ||||||||
1.080%, 06/25/2035 (C) | 950 | 869 | ||||||
GSAA Home Equity Trust, Ser 2006-14, Cl A3A | ||||||||
0.683%, 09/25/2036 (C) | 580 | 322 | ||||||
New Century Home Equity Loan Trust, Ser 2004-4, Cl M2 | ||||||||
1.227%, 02/25/2035 (C) | 261 | 215 | ||||||
|
| |||||||
1,406 | ||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 177 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Non-Agency Mortgage-Backed Obligations — 0.5% |
| |||||||
GS Mortgage Securities Trust 2016-ICE2, Ser ICE2, Cl E | ||||||||
8.938%, 02/15/2033 (A) (C) | $ | 3,300 | $ | 3,301 | ||||
|
| |||||||
Other Asset-Backed Securities — 12.6% |
| |||||||
AASET, Ser 2014-1, Cl B | ||||||||
7.375%, 12/15/2029 (C) | 4,745 | 4,703 | ||||||
AASET, Ser 2014-1, Cl A | ||||||||
5.125%, 12/15/2029 (C) | 4,971 | 4,785 | ||||||
ACE Securities Home Equity Loan Trust, Ser 2006-ASP2, Cl A2D | ||||||||
0.713%, 03/25/2036 (C) | 1,555 | 1,400 | ||||||
Acis CLO 2013-1, Ser 2013-1A, Cl ACOM | ||||||||
1.847%, 04/18/2024 (A) (C) | 1,000 | 944 | ||||||
Acis CLO 2013-2, Ser 2013-2A, Cl A | ||||||||
1.124%, 10/14/2022 (A) (C) | 540 | 533 | ||||||
ACIS CLO 2014-4, Ser 2014-4A, Cl A | ||||||||
2.036%, 05/01/2026 (A) (C) | 500 | 490 | ||||||
AIM Aviation Finance, Ser 2015-1A, Cl B1 | ||||||||
5.072%, 02/15/2040 (A) | 923 | 914 | ||||||
Airplanes Pass-Through Trust, Ser 2001-1A, Cl A9 | ||||||||
0.986%, 03/15/2019 (A) (C) | 1,341 | 335 | ||||||
ALM VI, Ser 2012-6A, Cl SUB | ||||||||
0.000%, 06/14/2023 (A) | 500 | 335 | ||||||
ALM VII, Ser 2013-7RA, Cl C | ||||||||
3.770%, 04/24/2024 (A) (C) | 1,250 | 1,146 | ||||||
ALM XIV, Ser 2014-14A, Cl C | ||||||||
3.773%, 07/28/2026 (A) (C) | 1,250 | 1,094 | ||||||
ALM XIV, Ser 2014-14A, Cl B | ||||||||
3.273%, 07/28/2026 (A) (C) | 1,000 | 967 | ||||||
Anchorage Capital CLO 4, Ser 2014-4A, Cl A1A | ||||||||
2.071%, 07/28/2026 (A) (C) | 300 | 297 | ||||||
Anchorage Capital CLO 6, Ser 2015-6A, Cl A1 | ||||||||
2.162%, 04/15/2027 (A) (C) | 750 | 740 | ||||||
Avalon IV Capital, Ser 2014-1A, Cl DR | ||||||||
4.165%, 04/17/2023 (A) (C) | 750 | 684 | ||||||
Bank of America Student Loan Trust 2010-1, Ser 2010-1A, Cl A | ||||||||
1.419%, 04/25/2020 (A) (C) | 373 | 363 | ||||||
Bayview Opportunity Master Fund IIIa Trust 2014-16RPL, Ser 2014-16RP, Cl A | ||||||||
3.840%, 11/28/2016 (A) | 1,302 | 1,297 | ||||||
Brad, Ser 2014-1, Cl B | ||||||||
5.438%, 03/12/2026 (H) | 913 | 922 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CIFC Funding, Ser 2014-1A, Cl C | ||||||||
3.420%, 04/18/2025 (A) (C) | $ | 750 | $ | 699 | ||||
CIFC Funding, Ser 2014-1A, Cl A3R | ||||||||
3.688%, 08/14/2024 (A) (C) | 1,000 | 975 | ||||||
CIFC Funding, Ser 2014-3X | ||||||||
0.000%, 07/22/2026 | 2,000 | 910 | ||||||
CIT Education Loan Trust 2005-1, Ser 2005-1, Cl A3 | ||||||||
0.754%, 03/15/2026 (C) | 1,164 | 1,151 | ||||||
Connecticut Valley Structured Credit CDO III, Ser 2006-3A, Cl B2 | ||||||||
6.676%, 03/23/2023 (A) | 35 | 35 | ||||||
Duane Street CLO IV, Ser 2007-4A, Cl A1R | ||||||||
0.878%, 11/14/2021 (A) (C) | 1,255 | 1,234 | ||||||
ECAF I, Ser 2015-1A, Cl B1 | ||||||||
5.802%, 06/15/2040 (A) | 4,509 | 4,396 | ||||||
Emerald Aviation Finance, Ser 2013-1, Cl B | ||||||||
6.350%, 10/15/2038 (A) | 1,194 | 1,211 | ||||||
First Frankin Mortgage Loan Trust, Ser 2006-FF1, Cl 2A4 | ||||||||
0.773%, 01/25/2036 (C) | 500 | 440 | ||||||
Fortress Credit Investments IV, Ser 2015-4A, Cl D | ||||||||
3.815%, 07/17/2023 (A) (C) | 1,000 | 901 | ||||||
GCAT, Ser 2014-2, Cl A1 | ||||||||
3.721%, 10/25/2019 (A) | 4,559 | 4,525 | ||||||
GCAT, Ser 2015-1, Cl A1 | ||||||||
3.625%, 05/26/2020 (A) | 1,387 | 1,376 | ||||||
GreenPoint Mortgage Funding Trust, Ser 2005-HE4, Cl M1 | ||||||||
0.906%, 07/25/2030 (C) | 1,633 | 1,577 | ||||||
Halcyon Loan Advisors Funding 2013-1, Ser 2013-1A, Cl A1 | ||||||||
1.772%, 04/15/2025 (A) (C) | 500 | 490 | ||||||
Halcyon Loan Advisors Funding 2014-1, Ser 2014-1A, Cl A1 | ||||||||
2.150%, 04/18/2026 (A) (C) | 650 | 643 | ||||||
Halcyon Loan Advisors Funding, Ser 2012-1A, Cl B | ||||||||
3.618%, 08/15/2023 (A) (C) | 500 | 447 | ||||||
Halcyon Loan Advisors Funding, Ser 2012-2A, Cl C | ||||||||
3.420%, 12/20/2024 (A) (C) | 500 | 439 | ||||||
Kingsland IV, Ser 2007-4A, Cl D | ||||||||
1.767%, 04/16/2021 (A) (C) | 500 | 439 | ||||||
LCM X, Ser 2014-10A, Cl DR | ||||||||
4.070%, 04/15/2022 (A) (C) | 1,000 | 970 | ||||||
Lehman XS Trust, Ser 2007-2N, Cl 2A | ||||||||
0.613%, 02/25/2037 (C) | 93 | 62 |
178 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Long Beach Mortgage Loan Trust 2006-5, Ser 2006-5, Cl 2A3 | ||||||||
0.690%, 06/25/2036 (C) | $ | 3,104 | $ | 1,286 | ||||
Nationstar HECM Loan Trust, Ser 2015-1A, Cl A | ||||||||
3.844%, 05/25/2018 (A) | 1,241 | 1,235 | ||||||
Neuberger Berman CLO, Ser 2012-12A, Cl SUB | ||||||||
0.000%, 07/25/2023 (A) | 3,200 | 1,373 | ||||||
Newstar Commercial Loan Funding, Ser 2013-1A, Cl D | ||||||||
5.119%, 09/20/2023 (A) (C) | 600 | 555 | ||||||
Newstar Commercial Loan Funding, Ser 2013-1A, Cl E | ||||||||
5.870%, 09/20/2023 (A) (C) | 250 | 238 | ||||||
Newstar Commercial Loan Funding, Ser 2014-1A, Cl C | ||||||||
3.917%, 04/20/2025 (A) (C) | 1,500 | 1,437 | ||||||
Newstar Commercial Loan Funding, Ser 2014-1A, Cl D | ||||||||
5.067%, 04/20/2025 (A) (C) | 750 | 691 | ||||||
Newstar Commercial Loan Funding, Ser 2015-1A, Cl C | ||||||||
4.167%, 01/20/2027 (A) (C) | 1,000 | 909 | ||||||
Northwoods Capital XIV, Ser 2014-14A, Cl B | ||||||||
2.816%, 11/12/2025 (A) (C) | 1,500 | 1,436 | ||||||
Northwoods Capital XIV, Ser 2014-14A, Cl C | ||||||||
3.706%, 11/12/2025 (A) (C) | 1,500 | 1,394 | ||||||
NRPL Trust, Ser 2014-2A, Cl A1 | ||||||||
3.750%, 10/25/2057 (A) (C) | 934 | 924 | ||||||
NRPL Trust, Ser 2015-1A, Cl A1 | ||||||||
3.875%, 11/01/2054 (A) | 2,560 | 2,554 | ||||||
Oak Hill Advisors Residential Loan Trust, Ser 2015-NPL2, Cl A1 | ||||||||
3.721%, 07/25/2055 (A) | 2,114 | 2,100 | ||||||
Octagon Investment Partners XV, Ser 2013-1A, Cl C | ||||||||
3.165%, 01/19/2025 (A) (C) | 500 | 457 | ||||||
Octagon Investment Partners XX, Ser 2014-1A, Cl E | ||||||||
5.868%, 08/12/2026 (A) (C) | 2,750 | 2,073 | ||||||
OFSI Fund VI, Ser 2014-6A, Cl A1 | ||||||||
1.652%, 03/20/2025 (A) (C) | 650 | 634 | ||||||
OFSI Fund VII, Ser 2014-7A, Cl A | ||||||||
1.960%, 10/18/2026 (A) (C) | 601 | 582 | ||||||
OHA Credit Partners IX, Ser 2013-9A, Cl ACOM | ||||||||
0.474%, 10/20/2025 (A) | 2,000 | 1,636 | ||||||
OHA Credit Partners VII, Ser 2012-7A, Cl D | ||||||||
4.370%, 11/20/2023 (A) (C) | 1,000 | 916 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
OZLM Funding V, Ser 2013-5A, Cl B | ||||||||
3.315%, 01/17/2026 (A) (C) | $ | 750 | $ | 725 | ||||
Panhandle-Plains Higher Education Authority, Ser 2011-1, Cl A2 | ||||||||
1.562%, 07/01/2024 (C) | 1,464 | 1,450 | ||||||
Sound Point CLO VI, Ser 2014-2A, Cl A1 | ||||||||
1.984%, 10/20/2026 (A) (C) | 400 | 395 | ||||||
Structured Asset Securities Mortgage Loan Trust, Ser 2007-BC1, Cl A4 | ||||||||
0.563%, 02/25/2037 (C) | 1,850 | 1,607 | ||||||
Triaxx Prime, Ser 2006-2A, Cl A1A | ||||||||
0.700%, 10/02/2039 (A) (C) | 6,400 | 5,968 | ||||||
Turbine Engines Securitization, Ser 2013-1A, Cl A | ||||||||
5.125%, 12/15/2048 (A) | 997 | 966 | ||||||
Turbine Engines Securitization, Ser 2013-1A, Cl B | ||||||||
6.375%, 12/15/2048 (A) | 614 | 603 | ||||||
Wachovia Asset Securitization Issuance II, Ser 2007-HE1, Cl A | ||||||||
0.573%, 07/25/2037 (A) (C) | 784 | 655 | ||||||
WhiteHorse VIII, Ser 2014-1A, Cl C | ||||||||
3.366%, 05/01/2026 (A) (C) | 1,000 | 890 | ||||||
Willis Engine Securitization Trust II, Ser 2012-A, Cl A | ||||||||
5.500%, 09/15/2037 (A) | 1,509 | 1,469 | ||||||
|
| |||||||
82,027 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 86,837 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 8.3% |
| |||||||
Non-Agency Mortgage-Backed Obligations — 8.3% |
| |||||||
Alliance Bancorp Trust, Ser 2007-OA1, Cl A1 | ||||||||
0.673%, 07/25/2037 (C) | 1,171 | 726 | ||||||
American Home Mortgage Assets Trust, | ||||||||
0.623%, 12/25/2046 (C) | 15 | 10 | ||||||
American Home Mortgage Assets Trust, Ser 2007-1, Cl A1 | ||||||||
1.022%, 02/25/2047 (C) | 5,000 | 2,741 | ||||||
American Home Mortgage Investment Trust, Ser 2006-1, Cl 12A1 | ||||||||
0.833%, 03/25/2046 (C) | 1,639 | 1,304 | ||||||
Bank of America Funding, | ||||||||
0.647%, 11/03/2041 (A) (C) | 6,060 | 5,608 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 179 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Capmark Military Housing Trust, | ||||||||
6.063%, 10/10/2052 (A) | $ | 979 | $ | 988 | ||||
CDGJ Commercial Mortgage Trust, Ser 2014-BXCH, | ||||||||
4.677%, 12/15/2027 (A) (C) | 4,000 | 3,974 | ||||||
Chase Mortgage Finance, Ser 2006-S3, Cl 1A2 | ||||||||
6.000%, 11/25/2036 | 5 | 4 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DN1, Cl M3 | ||||||||
4.583%, 01/25/2025 (C) | 300 | 302 | ||||||
GE Business Loan Trust, Ser 2007-1, Cl C | ||||||||
0.886%, 04/16/2035 (A) (C) | 1,694 | 1,480 | ||||||
GreenPoint Mortgage Funding Trust, Ser 2006-AR1, Cl A1A | ||||||||
0.723%, 02/25/2036 (C) | 1,848 | 1,423 | ||||||
GreenPoint Mortgage Funding Trust, Ser 2007-AR1, Cl 1A1A | ||||||||
0.513%, 02/25/2047 (C) | 502 | 492 | ||||||
HarborView Mortgage Loan Trust, | ||||||||
0.580%, 01/25/2047 (C) | 4,894 | 3,617 | ||||||
Lehman XS Trust, | ||||||||
0.643%, 07/25/2046 (C) | 1,273 | 981 | ||||||
Lehman XS Trust, Ser 2006-16N, Cl A4A | ||||||||
0.623%, 11/25/2046 (C) | 3,501 | 2,698 | ||||||
Lehman XS Trust, | ||||||||
0.677%, 08/25/2037 (C) | 2,159 | 1,638 | ||||||
LSTAR Securities Investment Trust, Ser 2015-1, Cl A | ||||||||
2.426%, 01/01/2020 (A)(C) | 3,833 | 3,761 | ||||||
Luminent Mortgage Trust, Ser 2006-2, Cl A1A | ||||||||
0.636%, 02/25/2046 (C) | 4,641 | 2,996 | ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
0.932%, 06/26/2036 (A) (C) | 893 | 604 | ||||||
Motel 6 Trust, Ser 2015-MTL6, Cl E | ||||||||
5.279%, 02/05/2030 (A) | 3,800 | 3,676 | ||||||
Nomura Resecuritization Trust, | ||||||||
0.879%, 08/27/2047 (A) (C) | 2,649 | 2,577 | ||||||
Nomura Resecuritization Trust, Ser 2015-4R, Cl 5A1 | ||||||||
0.855%, 03/26/2036 (A) (C) | 1,112 | 988 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
RALI Series Trust, Ser 2006-QO2, Cl A2 | ||||||||
0.703%, 02/25/2046 (C) | $ | 2,033 | $ | 836 | ||||
RALI Series Trust, Ser 2007-QO2, Cl A1 | ||||||||
0.583%, 02/25/2047 (C) | 1,633 | 850 | ||||||
Resource Capital, Ser 2015-CRE3, Cl D | ||||||||
4.430%, 03/15/2032 (A) (C) | 1,000 | 953 | ||||||
Resource Capital, Ser 2015-CRE4, Cl B | ||||||||
3.427%, 08/15/2032 (A) (C) | 1,000 | 870 | ||||||
SRERS Funding, Ser 2011-RS, Cl A1B1 | ||||||||
0.679%, 05/09/2046 (A) (C) | 1,679 | 1,606 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-8, Cl A6 | ||||||||
4.654%, 10/25/2036 | 1,302 | 767 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||||
1.162%, 11/25/2046 (C) | 7,304 | 4,924 | ||||||
Wells Fargo Alternative Loan Trust, Ser 2007-PA3, Cl 3A1 | ||||||||
6.250%, 07/25/2037 | 8 | 7 | ||||||
Wells Fargo Mortgage Backed Securities 2005-AR12 Trust, | ||||||||
2.841%, 06/25/2035 (C) | 655 | 664 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 54,065 | |||||||
|
| |||||||
COMMON STOCK — 8.2% | ||||||||
Consumer Discretionary — 1.1% | ||||||||
Advance Auto Parts | 225 | 36 | ||||||
Amazon.com, Cl A* | 1,131 | 671 | ||||||
Autonation* | 202 | 9 | ||||||
Autozone* | 88 | 70 | ||||||
Bed Bath & Beyond* | 469 | 23 | ||||||
Best Buy | 921 | 30 | ||||||
BorgWarner | 699 | 27 | ||||||
Cablevision Systems, Cl A | 602 | 20 | ||||||
CarMax* | 624 | 32 | ||||||
Carnival | 1,315 | 69 | ||||||
CBS, Cl B | 1,248 | 69 | ||||||
Cengage Learning Holdings II* | 5,114 | 97 | ||||||
Chipotle Mexican Grill, Cl A* | 88 | 41 | ||||||
Coach | 851 | 34 | ||||||
Comcast, Cl A | 7,104 | 434 | ||||||
Darden Restaurants | 325 | 22 | ||||||
Delphi Automotive | 805 | 60 | ||||||
Discovery Communications, Cl A* | 406 | 12 |
180 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Shares | Market Value ($ Thousands) | ||||||
Discovery Communications, Cl C* | 778 | $ | 21 | |||||
Dollar General | 866 | 74 | ||||||
Dollar Tree* | 675 | 56 | ||||||
DR Horton | 919 | 28 | ||||||
Expedia | 338 | 36 | ||||||
Ford Motor | 11,506 | 155 | ||||||
GameStop, Cl A | 298 | 9 | ||||||
Gap | 712 | 21 | ||||||
Garmin | 320 | 13 | ||||||
General Motors | 4,070 | 128 | ||||||
Genuine Parts | 438 | 44 | ||||||
Goodyear Tire & Rubber | 836 | 28 | ||||||
H&R Block | 703 | 19 | ||||||
Hanesbrands | 1,086 | 31 | ||||||
Harley-Davidson, Cl A | 544 | 28 | ||||||
Harman International Industries, Cl A | 228 | 20 | ||||||
Hasbro | 348 | 28 | ||||||
Home Depot | 3,687 | 492 | ||||||
Interpublic Group | 1,157 | 27 | ||||||
Johnson Controls | 1,853 | 72 | ||||||
Kohl’s | 589 | 27 | ||||||
L Brands | 732 | 64 | ||||||
Leggett & Platt | 367 | 18 | ||||||
Lennar, Cl A | 492 | 24 | ||||||
Lowe’s | 2,674 | 203 | ||||||
Macy’s | 913 | 40 | ||||||
Marriott International, Cl A | 554 | 39 | ||||||
Mattel | 1,041 | 35 | ||||||
McDonald’s | 2,647 | 333 | ||||||
Michael Kors Holdings* | 521 | 30 | ||||||
Mohawk Industries* | 186 | 36 | ||||||
NetFlix* | 1,228 | 126 | ||||||
Newell Rubbermaid, Cl B | 821 | 36 | ||||||
News, Cl A | 1,254 | 16 | ||||||
News, Cl B | 191 | 3 | ||||||
Nike, Cl B | 3,937 | 242 | ||||||
Nordstrom | 377 | 22 | ||||||
Omnicom Group | 699 | 58 | ||||||
O’Reilly Automotive* | 282 | 77 | ||||||
Priceline Group* | 145 | 187 | ||||||
PulteGroup | 877 | 16 | ||||||
PVH | 225 | 22 | ||||||
Ralph Lauren, Cl A | 168 | 16 | ||||||
Ross Stores | 1,164 | 67 | ||||||
Royal Caribbean Cruises | 493 | 40 | ||||||
Scripps Networks Interactive, Cl A | 303 | 20 | ||||||
Signet Jewelers | 231 | 29 | ||||||
Staples | 2,024 | 22 | ||||||
Starbucks | 4,330 | 258 | ||||||
Starwood Hotels & Resorts Worldwide | 515 | 43 | ||||||
Target, Cl A | 1,771 | 146 | ||||||
TEGNA | 592 | 14 |
Description | Shares | Market Value ($ Thousands) | ||||||
Tiffany | 302 | $ | 22 | |||||
Time Warner | 2,298 | 167 | ||||||
Time Warner Cable, Cl A | 835 | 171 | ||||||
TJX | 1,924 | 151 | ||||||
Tractor Supply | 408 | 37 | ||||||
TripAdvisor* | 307 | 20 | ||||||
Twenty-First Century Fox, Cl A | 3,343 | 93 | ||||||
Twenty-First Century Fox, Cl B | 1,200 | 34 | ||||||
Under Armour, Cl A* | 544 | 46 | ||||||
Urban Outfitters* | 276 | 9 | ||||||
VF | 967 | 63 | ||||||
Viacom, Cl B | 1,007 | 42 | ||||||
Walt Disney | 4,424 | 439 | ||||||
Whirlpool | 218 | 39 | ||||||
Wyndham Worldwide | 329 | 25 | ||||||
Wynn Resorts | 220 | 21 | ||||||
Yum! Brands | 1,166 | 95 | ||||||
|
| |||||||
6,869 | ||||||||
|
| |||||||
Consumer Staples — 0.8% | ||||||||
Altria Group | 5,708 | 358 | ||||||
Archer-Daniels-Midland | 1,690 | 61 | ||||||
Brown-Forman, Cl B | 294 | 29 | ||||||
Campbell Soup | 550 | 35 | ||||||
Church & Dwight | 400 | 37 | ||||||
Clorox | 371 | 47 | ||||||
Coca-Cola | 11,380 | 528 | ||||||
Coca-Cola Enterprises | 594 | 30 | ||||||
Colgate-Palmolive | 2,578 | 182 | ||||||
ConAgra Foods | 1,248 | 56 | ||||||
Constellation Brands, Cl A | 498 | 75 | ||||||
Costco Wholesale | 1,278 | 202 | ||||||
CVS Health | 3,225 | 335 | ||||||
Dr Pepper Snapple Group | 549 | 49 | ||||||
Estee Lauder, Cl A | 663 | 63 | ||||||
General Mills | 1,709 | 108 | ||||||
Hershey | 421 | 39 | ||||||
Hormel Foods | 792 | 34 | ||||||
JM Smucker | 347 | 45 | ||||||
Kellogg | 736 | 56 | ||||||
Kimberly-Clark | 1,043 | 140 | ||||||
Kraft Heinz | 1,709 | 134 | ||||||
Kroger | 2,798 | 107 | ||||||
McCormick | 349 | 35 | ||||||
Mead Johnson Nutrition, Cl A | 542 | 46 | ||||||
Molson Coors Brewing, Cl B | 525 | 51 | ||||||
Mondelez International, Cl A | 4,643 | 186 | ||||||
Monster Beverage* | 433 | 58 | ||||||
PepsiCo | 4,238 | 434 | ||||||
Philip Morris International | 4,507 | 442 | ||||||
Procter & Gamble | 7,769 | 640 | ||||||
Reynolds American | 2,382 | 120 | ||||||
SYSCO, Cl A | 1,506 | 70 | ||||||
Tyson Foods, Cl A | 855 | 57 | ||||||
Walgreens Boots Alliance | 2,544 | 214 | ||||||
Wal-Mart Stores | 4,570 | 313 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 181 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Whole Foods Market | 1,039 | $ | 32 | |||||
|
| |||||||
5,448 | ||||||||
|
| |||||||
Energy — 0.6% | ||||||||
Anadarko Petroleum, Cl A | 1,461 | 68 | ||||||
Apache | 1,098 | 54 | ||||||
Baker Hughes | 1,237 | 54 | ||||||
Breitburn Energy Partners* (H) | 60,394 | 132 | ||||||
Cabot Oil & Gas | 1,398 | 32 | ||||||
California Resources | 1 | — | ||||||
Cameron International* | 582 | 39 | ||||||
Chesapeake Energy | 1,199 | 5 | ||||||
Chevron | 5,518 | 526 | ||||||
Cimarex Energy | 282 | 27 | ||||||
Columbia Pipeline Group | 1,157 | 29 | ||||||
Concho Resources* | 359 | 36 | ||||||
ConocoPhillips | 3,648 | 147 | ||||||
Devon Energy | 1,549 | 43 | ||||||
Diamond Offshore Drilling | 230 | 5 | ||||||
EOG Resources | 1,580 | 115 | ||||||
EQT | 452 | 30 | ||||||
Exxon Mobil | 12,152 | 1,016 | ||||||
FMC Technologies* | 634 | 17 | ||||||
Halliburton | 2,439 | 87 | ||||||
Helmerich & Payne | 337 | 20 | ||||||
Hess | 795 | 42 | ||||||
Kinder Morgan | 5,230 | 93 | ||||||
Marathon Oil | 2,532 | 28 | ||||||
Marathon Petroleum | 1,531 | 57 | ||||||
Murphy Oil | 473 | 12 | ||||||
National Oilwell Varco, Cl A | 1,055 | 33 | ||||||
Newfield Exploration * | 507 | 17 | ||||||
Noble Energy | 1,262 | 40 | ||||||
Occidental Petroleum | 2,195 | 150 | ||||||
Oneok | 584 | 18 | ||||||
Phillips 66 | 1,365 | 118 | ||||||
Pioneer Natural Resources | 465 | 66 | ||||||
Range Resources | 466 | 15 | ||||||
Schlumberger, Cl A | 3,676 | 271 | ||||||
Southwestern Energy* | 1,040 | 8 | ||||||
Spectra Energy | 1,916 | 59 | ||||||
Tesoro | 335 | 29 | ||||||
Transocean | 908 | 8 | ||||||
Valero Energy | 1,373 | 88 | ||||||
Williams | 1,927 | 31 | ||||||
|
| |||||||
3,665 | ||||||||
|
| |||||||
Financials — 1.4% | ||||||||
Affiliated Managers Group* | 155 | 25 | ||||||
Aflac | 1,227 | 77 | ||||||
Allstate | 1,113 | 75 | ||||||
American Express | 2,405 | 148 | ||||||
American International Group | 3,323 | 180 | ||||||
American Tower, Cl A‡ | 1,217 | 125 |
Description | Shares | Market Value ($ Thousands) | ||||||
Ameriprise Financial | 500 | $ | 47 | |||||
Aon | 787 | 82 | ||||||
Apartment Investment & Management, Cl A‡ | 493 | 21 | ||||||
Assurant | 193 | 15 | ||||||
AvalonBay Communities‡ | 393 | 75 | ||||||
Bank of America | 30,298 | 410 | ||||||
Bank of New York Mellon | 3,141 | 116 | ||||||
BB&T | 2,220 | 74 | ||||||
Berkshire Hathaway, Cl B* | 5,485 | 778 | ||||||
BlackRock | 363 | 124 | ||||||
Boston Properties‡ | 442 | 56 | ||||||
California Republic Bancorp* | 48,000 | 1,208 | ||||||
Capital One Financial | 1,529 | 106 | ||||||
CBRE Group, Cl A* | 870 | 25 | ||||||
Charles Schwab | 3,443 | 96 | ||||||
Chubb | 1,359 | 162 | ||||||
Cincinnati Financial | 417 | 27 | ||||||
Citigroup | 8,611 | 360 | ||||||
Citizens Financial Group | 1,500 | 31 | ||||||
CME Group | 972 | 93 | ||||||
Comerica | 494 | 19 | ||||||
Crown Castle International‡ | 959 | 83 | ||||||
Discover Financial Services | 1,229 | 63 | ||||||
E*Trade Financial* | 923 | 23 | ||||||
Equinix‡ | 197 | 65 | ||||||
Equity Residential‡ | 1,036 | 78 | ||||||
Essex Property Trust‡ | 199 | 47 | ||||||
Extra Space Storage‡ | 376 | 35 | ||||||
Federal Realty Investment Trust‡ | 200 | 31 | ||||||
Fifth Third Bancorp | 2,307 | 39 | ||||||
Franklin Resources | 1,138 | 44 | ||||||
General Growth Properties‡ | 1,675 | 50 | ||||||
Goldman Sachs Group | 1,160 | 182 | ||||||
Hartford Financial Services Group | 1,185 | 55 | ||||||
HCP‡ | 1,341 | 44 | ||||||
Host Hotels & Resorts‡ | 2,097 | 35 | ||||||
Huntington Bancshares | 2,246 | 21 | ||||||
Intercontinental Exchange | 341 | 80 | ||||||
Invesco | 1,188 | 37 | ||||||
Iron Mountain‡ | 593 | 20 | ||||||
JPMorgan Chase | 10,696 | 633 | ||||||
KeyCorp | 2,575 | 28 | ||||||
Kimco Realty‡ | 1,261 | 36 | ||||||
Legg Mason | 267 | 9 | ||||||
Leucadia National | 1,070 | 17 | ||||||
Lincoln National | 766 | 30 | ||||||
Loews | 787 | 30 | ||||||
M&T Bank | 463 | 51 | ||||||
Macerich‡ | 364 | 29 | ||||||
Marsh & McLennan | 1,488 | 90 | ||||||
McGraw-Hill | 773 | 77 | ||||||
MetLife | 3,195 | 140 | ||||||
Moody’s | 499 | 48 |
182 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Shares | Market Value ($ Thousands) | ||||||
Morgan Stanley | 4,524 | $ | 113 | |||||
Nasdaq, Cl A | 311 | 21 | ||||||
Navient | 961 | 12 | ||||||
Northern Trust | 629 | 41 | ||||||
People’s United Financial | 856 | 14 | ||||||
PNC Financial Services Group | 1,460 | 123 | ||||||
Principal Financial Group, Cl A | 798 | 31 | ||||||
Progressive | 1,684 | 59 | ||||||
ProLogis‡ | 1,507 | 67 | ||||||
Prudential Financial | 1,282 | 93 | ||||||
Public Storage‡ | 436 | 120 | ||||||
Realty Income‡ | 749 | 47 | ||||||
Regions Financial | 3,999 | 31 | ||||||
Simon Property Group‡ | 905 | 188 | ||||||
SL Green Realty‡ | 306 | 30 | ||||||
State Street | 1,159 | 68 | ||||||
SunTrust Banks | 1,472 | 53 | ||||||
Synchrony Financial* | 2,367 | 68 | ||||||
T. Rowe Price Group | 722 | 53 | ||||||
Torchmark, Cl A | 340 | 18 | ||||||
Travelers | 869 | 101 | ||||||
UDR‡ | 800 | 31 | ||||||
Unum Group | 694 | 21 | ||||||
US Bancorp | 4,804 | 195 | ||||||
Ventas‡ | 949 | 60 | ||||||
Vornado Realty Trust‡ | 511 | 48 | ||||||
Wells Fargo | 13,504 | 653 | ||||||
Welltower‡ | 1,005 | 70 | ||||||
Weyerhaeuser‡ | 2,273 | 70 | ||||||
Willis Towers Watson | 413 | 49 | ||||||
XL Group, Cl A | 869 | 32 | ||||||
Zions Bancorporation | 574 | 14 | ||||||
|
| |||||||
9,399 | ||||||||
|
| |||||||
Health Care — 1.1% | ||||||||
Abbott Laboratories | 4,288 | 179 | ||||||
AbbVie | 4,766 | 272 | ||||||
Aetna, Cl A | 1,002 | 113 | ||||||
Agilent Technologies | 962 | 38 | ||||||
Alexion Pharmaceuticals* | 648 | 90 | ||||||
Allergan* | 1,159 | 311 | ||||||
AmerisourceBergen | 556 | 48 | ||||||
Amgen, Cl A | 2,208 | 331 | ||||||
Anthem | 747 | 104 | ||||||
Baxalta | 1,974 | 80 | ||||||
Baxter International | 1,556 | 64 | ||||||
Becton Dickinson | 602 | 91 | ||||||
Biogen* | 641 | 167 | ||||||
Boston Scientific* | 3,817 | 72 | ||||||
Bristol-Myers Squibb | 4,903 | 313 | ||||||
C.R. Bard | 213 | 43 | ||||||
Cardinal Health | 946 | 78 | ||||||
Celgene, Cl A* | 2,292 | 229 | ||||||
Centene* | 500 | 31 |
Description | Shares | Market Value ($ Thousands) | ||||||
Cerner* | 880 | $ | 47 | |||||
Cigna | 737 | 101 | ||||||
DaVita HealthCare Partners* | 489 | 36 | ||||||
DENTSPLY SIRONA | 709 | 44 | ||||||
Edwards Lifesciences, Cl A* | 645 | 57 | ||||||
Eli Lilly | 2,850 | 205 | ||||||
Endo International* | 597 | 17 | ||||||
Express Scripts Holding* | 1,944 | 134 | ||||||
Gilead Sciences | 3,979 | 366 | ||||||
HCA Holdings* | 905 | 71 | ||||||
Henry Schein* | 251 | 43 | ||||||
Hologic* | 700 | 24 | ||||||
Humana | 422 | 77 | ||||||
Illumina* | 421 | 68 | ||||||
Intuitive Surgical* | 107 | 64 | ||||||
Johnson & Johnson | 8,077 | 874 | ||||||
Laboratory Corp of America Holdings* | 280 | 33 | ||||||
Mallinckrodt* | 347 | 21 | ||||||
McKesson | 661 | 104 | ||||||
Medtronic | 4,097 | 307 | ||||||
Merck | 8,126 | 430 | ||||||
Mylan* | 1,174 | 54 | ||||||
Patterson | 243 | 11 | ||||||
PerkinElmer | 309 | 15 | ||||||
Perrigo | 415 | 53 | ||||||
Pfizer | 17,724 | 525 | ||||||
Quest Diagnostics | 442 | 32 | ||||||
Regeneron Pharmaceuticals* | 223 | 80 | ||||||
St. Jude Medical | 850 | 47 | ||||||
Stryker | 908 | 97 | ||||||
Tenet Healthcare* | 269 | 8 | ||||||
Thermo Fisher Scientific | 1,147 | 162 | ||||||
UnitedHealth Group | 2,790 | 360 | ||||||
Universal Health Services, Cl B | 269 | 34 | ||||||
Varian Medical Systems* | 279 | 22 | ||||||
Vertex Pharmaceuticals* | 699 | 56 | ||||||
Waters* | 250 | 33 | ||||||
Zimmer Biomet Holdings | 514 | 55 | ||||||
Zoetis, Cl A | 1,317 | 58 | ||||||
|
| |||||||
7,479 | ||||||||
|
| |||||||
Industrials — 0.8% | ||||||||
3M | 1,794 | 299 | ||||||
ADT, Cl A | 464 | 19 | ||||||
Allegion | 276 | 18 | ||||||
American Airlines Group | 1,793 | 74 | ||||||
Ametek | 699 | 35 | ||||||
Boeing | 1,838 | 233 | ||||||
C.H. Robinson Worldwide | 437 | 33 | ||||||
Caterpillar, Cl A | 1,722 | 132 | ||||||
Cintas | 270 | 24 | ||||||
CSX | 2,785 | 72 | ||||||
Cummins | 492 | 54 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 183 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Danaher, Cl A | 1,763 | $ | 167 | |||||
Deere | 896 | 69 | ||||||
Delta Air Lines, Cl A | 2,260 | 110 | ||||||
Dover | 478 | 31 | ||||||
Dun & Bradstreet | 101 | 10 | ||||||
Eaton | 1,326 | 83 | ||||||
Emerson Electric | 1,881 | 102 | ||||||
Equifax | 360 | 41 | ||||||
Expeditors International of Washington | 532 | 26 | ||||||
Fastenal, Cl A | 845 | 41 | ||||||
FedEx | 752 | 122 | ||||||
Flowserve | 405 | 18 | ||||||
Fluor | 446 | 24 | ||||||
General Dynamics | 854 | 112 | ||||||
General Electric | 27,408 | 871 | ||||||
Honeywell International | 2,248 | 252 | ||||||
Illinois Tool Works | 940 | 96 | ||||||
Ingersoll-Rand | 783 | 49 | ||||||
Jacobs Engineering Group* | 348 | 15 | ||||||
JB Hunt Transport Services | 259 | 22 | ||||||
Kansas City Southern | 326 | 28 | ||||||
L-3 Communications Holdings | 228 | 27 | ||||||
Lockheed Martin | 760 | 168 | ||||||
Masco | 975 | 31 | ||||||
Nielsen Holdings | 1,046 | 55 | ||||||
Norfolk Southern | 858 | 71 | ||||||
Northrop Grumman | 522 | 103 | ||||||
PACCAR | 1,044 | 57 | ||||||
Parker-Hannifin, Cl A | 391 | 44 | ||||||
Pentair | 558 | 30 | ||||||
Pitney Bowes | 554 | 12 | ||||||
Quanta Services* | 532 | 12 | ||||||
Raytheon | 865 | 106 | ||||||
Republic Services | 673 | 32 | ||||||
Robert Half International | 380 | 18 | ||||||
Rockwell Automation | 386 | 44 | ||||||
Rockwell Collins | 387 | 36 | ||||||
Roper Technologies | 302 | 55 | ||||||
Ryder System | 144 | 9 | ||||||
Snap-on | 161 | 25 | ||||||
Southwest Airlines, Cl A | 1,869 | 84 | ||||||
Stanley Black & Decker | 440 | 46 | ||||||
Stericycle, Cl A* | 250 | 32 | ||||||
Textron | 843 | 31 | ||||||
Tyco International | 1,215 | 45 | ||||||
Union Pacific | 2,495 | 199 | ||||||
United Continental Holdings* | 1,072 | 64 | ||||||
United Parcel Service, Cl B | 2,033 | 214 | ||||||
United Rentals* | 302 | 19 | ||||||
United Technologies | 2,270 | 227 | ||||||
Verisk Analytics, Cl A* | 472 | 38 | ||||||
Waste Management | 1,193 | 70 | ||||||
WW Grainger | 175 | 41 |
Description | Shares | Market Value ($ Thousands) | ||||||
Xylem | 483 | $ | 20 | |||||
|
| |||||||
5,347 | ||||||||
|
| |||||||
Information Technology — 1.7% | ||||||||
Accenture, Cl A | 1,826 | 211 | ||||||
Activision Blizzard | 1,450 | 49 | ||||||
Adobe Systems* | 1,434 | 135 | ||||||
Akamai Technologies* | 546 | 30 | ||||||
Alliance Data Systems* | 177 | 39 | ||||||
Alphabet, Cl A* | 857 | 654 | ||||||
Alphabet, Cl C* | 870 | 648 | ||||||
Amphenol, Cl A | 886 | 51 | ||||||
Analog Devices | 904 | 54 | ||||||
Apple | 16,176 | 1,763 | ||||||
Applied Materials | 3,272 | 69 | ||||||
Autodesk, Cl A* | 656 | 38 | ||||||
Automatic Data Processing | 1,326 | 119 | ||||||
Broadcom | 1,094 | 169 | ||||||
CA | 870 | 27 | ||||||
Cisco Systems | 14,770 | 421 | ||||||
Citrix Systems* | 427 | 34 | ||||||
Cognizant Technology Solutions, Cl A* | 1,739 | 109 | ||||||
Corning, Cl B | 3,150 | 66 | ||||||
CSRA | 385 | 10 | ||||||
eBay* | 3,142 | 75 | ||||||
Electronic Arts* | 893 | 59 | ||||||
EMC | 5,748 | 153 | ||||||
F5 Networks, Cl A* | 200 | 21 | ||||||
Facebook, Cl A* | 6,719 | 767 | ||||||
Fidelity National Information Services, Cl B | 797 | 50 | ||||||
First Solar* | 218 | 15 | ||||||
Fiserv, Cl A* | 657 | 67 | ||||||
Flir Systems | 394 | 13 | ||||||
Harris | 367 | 29 | ||||||
Hewlett Packard Enterprise | 5,132 | 91 | ||||||
HP | 5,132 | 63 | ||||||
Intel | 13,728 | 444 | ||||||
International Business Machines | 2,580 | 391 | ||||||
Intuit | 755 | 79 | ||||||
Juniper Networks | 1,049 | 27 | ||||||
KLA-Tencor | 445 | 32 | ||||||
Lam Research | 461 | 38 | ||||||
Linear Technology | 729 | 32 | ||||||
MasterCard, Cl A | 2,888 | 273 | ||||||
Microchip Technology | 628 | 30 | ||||||
Micron Technology* | 3,121 | 33 | ||||||
Microsoft | 23,184 | 1,280 | ||||||
Motorola Solutions | 473 | 36 | ||||||
NetApp | 795 | 22 | ||||||
Nvidia | 1,469 | 52 | ||||||
Oracle, Cl B | 9,253 | 379 | ||||||
Paychex | 922 | 50 |
184 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Shares | Market Value ($ Thousands) | ||||||
PayPal Holdings* | 3,188 | $ | 123 | |||||
Qorvo* | 400 | 20 | ||||||
Qualcomm | 4,334 | 222 | ||||||
Red Hat* | 530 | 39 | ||||||
salesforce.com* | 1,864 | 138 | ||||||
SanDisk | 577 | 44 | ||||||
Seagate Technology | 836 | 29 | ||||||
Skyworks Solutions | 557 | 43 | ||||||
Symantec, Cl A | 1,973 | 36 | ||||||
TE Connectivity | 1,110 | 69 | ||||||
Teradata* | 402 | 11 | ||||||
Texas Instruments | 2,916 | 167 | ||||||
Total System Services | 530 | 25 | ||||||
VeriSign* | 283 | 25 | ||||||
Visa, Cl A | 5,663 | 433 | ||||||
Western Digital | 704 | 33 | ||||||
Western Union | 1,394 | 27 | ||||||
Xerox | 2,716 | 30 | ||||||
Xilinx | 780 | 37 | ||||||
Yahoo!* | 2,476 | 91 | ||||||
|
| |||||||
10,939 | ||||||||
|
| |||||||
Materials — 0.2% | ||||||||
Air Products & Chemicals | 557 | 80 | ||||||
Airgas | 192 | 27 | ||||||
Alcoa | 3,789 | 36 | ||||||
Avery Dennison | 247 | 18 | ||||||
Ball | 421 | 30 | ||||||
CF Industries Holdings | 718 | 23 | ||||||
Dow Chemical, Cl A | 3,232 | 164 | ||||||
E.I. Du Pont de Nemours | 2,519 | 160 | ||||||
Eastman Chemical | 457 | 33 | ||||||
Ecolab | 764 | 85 | ||||||
FMC | 378 | 15 | ||||||
Freeport-McMoRan, Cl B | 3,797 | 39 | ||||||
International Flavors & Fragrances | 223 | 25 | ||||||
International Paper | 1,247 | 51 | ||||||
LyondellBasell Industries, Cl A | 1,025 | 88 | ||||||
Martin Marietta Materials, Cl A | 195 | 31 | ||||||
Mirabela Nickel* (H) | 597,236 | — | ||||||
Monsanto | 1,264 | 111 | ||||||
Mosaic | 1,082 | 29 | ||||||
Newmont Mining | 1,594 | 42 | ||||||
Nucor | 924 | 44 | ||||||
Owens-Illinois* | 471 | 8 | ||||||
PPG Industries | 766 | 86 | ||||||
Praxair | 819 | 94 | ||||||
Sealed Air | 570 | 27 | ||||||
Sherwin-Williams, Cl A | 226 | 64 | ||||||
Vulcan Materials | 390 | 41 | ||||||
WestRock | 707 | 28 | ||||||
|
| |||||||
1,479 | ||||||||
|
|
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Telecommunication Services — 0.2% |
| |||||||
AT&T | 18,012 | $ | 705 | |||||
CenturyTel | 1,555 | 50 | ||||||
Frontier Communications | 3,318 | 19 | ||||||
Level 3 Communications* | 873 | 46 | ||||||
Verizon Communications | 11,932 | 645 | ||||||
|
| |||||||
1,465 | ||||||||
|
| |||||||
Utilities — 0.3% | ||||||||
AES | 1,824 | 21 | ||||||
AGL Resources | 373 | 24 | ||||||
Ameren | 740 | 37 | ||||||
American Electric Power | 1,411 | 94 | ||||||
American Water Works | 500 | 34 | ||||||
Centerpoint Energy | 1,193 | 25 | ||||||
CMS Energy | 845 | 36 | ||||||
Consolidated Edison | 836 | 64 | ||||||
Dominion Resources | 1,711 | 129 | ||||||
DTE Energy | 541 | 49 | ||||||
Duke Energy | 2,031 | 164 | ||||||
Edison International | 937 | 67 | ||||||
Entergy | 521 | 41 | ||||||
Eversource Energy | 948 | 55 | ||||||
Exelon | 2,710 | 97 | ||||||
FirstEnergy | 1,278 | 46 | ||||||
NextEra Energy | 1,359 | 161 | ||||||
NiSource | 961 | 23 | ||||||
NRG Energy | 935 | 12 | ||||||
PG&E | 1,410 | 84 | ||||||
Pinnacle West Capital | 318 | 24 | ||||||
PPL | 1,907 | 73 | ||||||
Public Service Enterprise Group | 1,454 | 69 | ||||||
SCANA | 403 | 28 | ||||||
Sempra Energy | 669 | 70 | ||||||
Southern | 2,698 | 140 | ||||||
TECO Energy | 648 | 18 | ||||||
WEC Energy Group | 906 | 54 | ||||||
Xcel Energy | 1,511 | 63 | ||||||
|
| |||||||
1,802 | ||||||||
|
| |||||||
Total Common Stock | 53,892 | |||||||
|
| |||||||
SOVEREIGN DEBT — 6.2% | ||||||||
Angolan Government International Bond | ||||||||
9.500%, 11/12/2025 | $ | 200 | 182 | |||||
Argentine Republic Government International Bond | ||||||||
8.280%, 12/31/2033 (B) | 182 | 218 | ||||||
8.280%, 12/31/2033 (B) | 112 | 131 | ||||||
7.820%, 12/31/2033 (B) | 130 | 164 | ||||||
2.500%, 12/31/2038 (B) (D) | 320 | 214 | ||||||
0.000%, 12/15/2035 (C) | 1,870 | 216 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 185 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Armenia International Bond | ||||||||
7.150%, 03/26/2025 | $ | 200 | $ | 197 | ||||
Brazilian Government International Bond | ||||||||
6.000%, 04/07/2026 | 210 | 213 | ||||||
4.250%, 01/07/2025 | 610 | 560 | ||||||
Chile Government International Bond | ||||||||
3.125%, 01/21/2026 | 920 | 930 | ||||||
Colombia Government International Bond | ||||||||
4.500%, 01/28/2026 | 2,480 | 2,536 | ||||||
3.875%, 03/22/2026 | 190 | 218 | ||||||
Costa Rica Government International Bond | ||||||||
7.158%, 03/12/2045 | 880 | 796 | ||||||
7.000%, 04/04/2044 | 200 | 181 | ||||||
Croatia Government International Bond | ||||||||
6.625%, 07/14/2020 | 940 | 1,033 | ||||||
Dominican Republic International Bond | ||||||||
6.850%, 01/27/2045 (A) | 4,100 | 4,059 | ||||||
6.850%, 01/27/2045 | 130 | 129 | ||||||
5.875%, 04/18/2024 | 3,090 | 3,167 | ||||||
Ecuador Government International Bond | ||||||||
7.950%, 06/20/2024 | 450 | 373 | ||||||
El Salvador Government International Bond | ||||||||
7.650%, 06/15/2035 | 850 | 744 | ||||||
Gabon Government International Bond | ||||||||
6.950%, 06/16/2025 | 530 | 441 | ||||||
Ghana Government International Bond | ||||||||
8.125%, 01/18/2026 | 560 | 440 | ||||||
7.875%, 08/07/2023 | 200 | 158 | ||||||
Guatemala Government Bond | ||||||||
5.750%, 06/06/2022 | 700 | 763 | ||||||
Honduras Government International Bond | ||||||||
7.500%, 03/15/2024 | 630 | 666 | ||||||
Hungary Government International Bond | ||||||||
6.250%, 01/29/2020 | 1,430 | 1,590 | ||||||
5.750%, 11/22/2023 | 550 | 626 | ||||||
Indonesia Government International Bond MTN | ||||||||
4.750%, 01/08/2026 | 2,000 | 2,098 | ||||||
3.375%, 07/30/2025 | 310 | 352 | ||||||
Ivory Coast Government International Bond | ||||||||
5.750%, 12/31/2032 | 200 | 184 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Kazakhstan Government International Bond MTN | ||||||||
5.125%, 07/21/2025 | $ | 890 | $ | 920 | ||||
Kenya Government International Bond | ||||||||
6.875%, 06/24/2024 (A) | 4,045 | 3,813 | ||||||
6.875%, 06/24/2024 | 500 | 471 | ||||||
Mexico Government International Bond | ||||||||
4.600%, 01/23/2046 | 280 | 273 | ||||||
4.000%, 10/02/2023 | 1,660 | 1,739 | ||||||
Namibia International Bonds | ||||||||
5.250%, 10/29/2025 | 910 | 878 | ||||||
Nigeria Government International Bond | ||||||||
6.375%, 07/12/2023 | 200 | 184 | ||||||
Pakistan Government International Bond | ||||||||
8.250%, 09/30/2025 | 290 | 308 | ||||||
Paraguay Government International Bond | ||||||||
6.100%, 08/11/2044 | 350 | 357 | ||||||
5.000%, 04/15/2026 (A) | 200 | 201 | ||||||
Perusahaan Penerbit SBSN Indonesia III | ||||||||
4.550%, 03/29/2026 (A) | 330 | 330 | ||||||
Philippine Government International Bond | ||||||||
5.500%, 03/30/2026 | 200 | 250 | ||||||
Poland Government International Bond | ||||||||
3.250%, 04/06/2026 | 40 | 40 | ||||||
Russian Federal Bond - OFZ | ||||||||
8.500%, 09/17/2031 | 19,460 | 279 | ||||||
Serbia International Bond | ||||||||
7.250%, 09/28/2021 | 280 | 313 | ||||||
South Africa Government International Bond | ||||||||
6.250%, 03/08/2041 | 210 | 229 | ||||||
5.875%, 09/16/2025 | 960 | 1,039 | ||||||
Sri Lanka Government International Bond | ||||||||
6.850%, 11/03/2025 | 390 | 372 | ||||||
5.875%, 07/25/2022 | 940 | 885 | ||||||
Turkey Government International Bond | ||||||||
7.375%, 02/05/2025 | 1,300 | 1,558 | ||||||
4.875%, 10/09/2026 | 280 | 284 | ||||||
Venezuela Government International Bond | ||||||||
8.250%, 10/13/2024 | 10 | 3 | ||||||
7.750%, 10/13/2019 | 2,660 | 998 |
186 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
Vietnam Government International Bond | ||||||||
4.800%, 11/19/2024 | $ | 400 | $ | 401 | ||||
Zambia Government International Bond | ||||||||
8.970%, 07/30/2027 | 710 | 584 | ||||||
8.970%, 07/30/2027 | 200 | 166 | ||||||
|
| |||||||
Total Sovereign Debt | 40,454 | |||||||
|
| |||||||
COMMERCIAL PAPER (E) — 0.9% |
| |||||||
Airgas | ||||||||
0.700%, 04/12/2016 | 3,500 | 3,499 | ||||||
Harley-Davidson Financial Services | ||||||||
0.570%, 04/07/2016 | 2,500 | 2,500 | ||||||
|
| |||||||
Total Commercial Paper | 5,999 | |||||||
|
| |||||||
PREFERRED STOCK*† — 0.7% |
| |||||||
Financials — 0.0% | ||||||||
ALM Loan Funding, | 392 | 263 | ||||||
GSC Partners Fund V, Ser 2004-5A, | 1,800 | — | ||||||
GSC Partners Fund V, Ser 2004-5I, | 100 | — | ||||||
WhiteHorse II, | 11,000 | — | ||||||
|
| |||||||
263 | ||||||||
|
| |||||||
Industrials — 0.7% | ||||||||
Seaspan, 6.375% | 175,014 | 4,333 | ||||||
|
| |||||||
Total Preferred Stock | 4,596 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 0.6% |
| |||||||
U.S. Treasury Bonds | ||||||||
2.875%, 08/15/2045 | 300 | 316 | ||||||
U.S. Treasury Inflation Protected Securities | ||||||||
0.125%, 04/15/2019 | 1,921 | 1,963 | ||||||
0.125%, 04/15/2020 | 1,922 | 1,962 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 4,241 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.3% |
| |||||||
BCAP Trust, | ||||||||
6.000%, 04/25/2037 | 1,192 | 973 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||
0.733%, 10/25/2035 (C) | $ | 1,492 | $ | 1,314 | ||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 2,287 | ||||||
|
| |||||||
MUNICIPAL BONDS — 0.1% | ||||||||
Puerto Rico — 0.1% | ||||||||
Commonwealth of Puerto Rico, | ||||||||
8.000%, 07/01/2035 | 610 | 419 | ||||||
Puerto Rico Commonwealth Aqueduct & Sewer Authority, | ||||||||
5.000%, 07/01/2033 | 25 | 16 | ||||||
Puerto Rico Commonwealth Aqueduct & Sewer Authority, | ||||||||
6.000%, 07/01/2038 | 55 | 37 | ||||||
Puerto Rico Sales Tax Financing Sales Tax Revenue, RB | ||||||||
5.500%, 08/01/2028 | 35 | 15 | ||||||
Puerto Rico Sales Tax Financing Sales Tax Revenue, Sub-Ser A, RB | ||||||||
6.000%, 08/01/2042 | 125 | 53 | ||||||
Puerto Rico Sales Tax Financing Sales Tax Revenue, Sub-Ser A, RB | ||||||||
5.500%, 08/01/2037 | 90 | 37 | ||||||
5.375%, 08/01/2039 | 960 | 394 | ||||||
Puerto Rico Sales Tax Financing Sales Tax Revenue, Sub-Ser A-1, RB Callable 08/01/21 @ 100 | ||||||||
5.000%, 08/01/2043 | 40 | 16 | ||||||
Puerto Rico Sales Tax Financing Sales Tax Revenue, Sub-Ser C, RB | ||||||||
5.250%, 08/01/2041 | 30 | 12 | ||||||
|
| |||||||
Total Municipal Bonds | 999 | |||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 187 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands)/Contracts | Market Value ($ Thousands) | ||||||
CONVERTIBLE BOND — 0.0% |
| |||||||
Mirabela Nickel | ||||||||
9.500%, 06/24/19 (A) (H) | $ | 160 | $ | 42 | ||||
|
| |||||||
Total Convertible Bond | 42 | |||||||
|
| |||||||
Total Investments — 92.5% |
| $ | 605,492 | |||||
|
| |||||||
PURCHASED OPTIONS*††— 0.1% |
| |||||||
August 2016, U.S. Call, CNH Put, Expires 08/20/2016, | ||||||||
Strike Price $6.66 | 11,500,000 | 123 | ||||||
August 2016, U.S. Call, SAR Put, Expires 08/20/2016, | ||||||||
Strike Price $3.78 | 11,500,000 | 41 | ||||||
June 2016 Puts on SPX, Expires 06/18/2016, | ||||||||
Strike Price $18.00 | 78 | 70 | ||||||
September 2016, EUR Put, DKK Call, Expires 09/17/2016, | ||||||||
Strike Price $7.45 | 19,216,980 | 57 | ||||||
September 2016, U.S. Call, TWD Put, Expires 09/17/2016, | ||||||||
Strike Price $32.48 | 5,800,000 | 89 | ||||||
|
| |||||||
Total Purchased Options | $ | 380 | ||||||
|
| |||||||
WRITTEN OPTIONS*††— (0.5)% |
| |||||||
April 2016 Calls on SPX, | (84 | ) | (666 | ) | ||||
April 2016 Calls on SPX, | (266 | ) | (2,367 | ) | ||||
June 2016 Puts on SPX, | (78 | ) | (20 | ) | ||||
|
| |||||||
Total Written Options |
| $ | (3,053 | ) | ||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Euro-Bond Index | (190 | ) | Jun-2016 | $ | (152 | ) | ||||||
S&P 500 Index E-MINI | 190 | Jun-2016 | 417 | |||||||||
U.S. 10-Year Treasury Note | (34 | ) | Jun-2016 | (80 | ) | |||||||
U.S. 10-Year Treasury Note | 18 | Jun-2016 | 36 | |||||||||
U.S. 2-Year Treasury Note | 50 | Jul-2016 | 15 | |||||||||
U.S. 5-Year Treasury Note | 104 | Jun-2016 | 62 | |||||||||
U.S. Long Treasury Bond | 5 | Jun-2016 | 15 | |||||||||
U.S. Ultra Long Treasury Bond | (7 | ) | Jun-2016 | 2 | ||||||||
|
| |||||||||||
$ | 315 | |||||||||||
|
|
For the period ended March 31, 2016, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
A list of the open forward foreign currency contracts held by the Fund at March 31, 2016, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Depreciation ($ Thousands) | |||||||||||||||||
04/07/16-04/11/16 | GBP | 2,007 | USD | 2,856 | $ | (29 | ) | |||||||||||||
04/11/16-05/19/16 | EUR | 3,874 | USD | 4,340 | (79 | ) | ||||||||||||||
05/10/16-06/23/16 | MXP | 69,991 | USD | 3,890 | (176 | ) | ||||||||||||||
05/12/16 | RUB | 17,760 | USD | 226 | (37 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (321 | ) | ||||||||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2016, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Bank of America | $ | (4,040 | ) | $ | 3,940 | $ | (99 | ) | ||||
Bank of New York (The) | (3,146 | ) | 3,008 | (138 | ) | |||||||
Citigroup | (3,326 | ) | 3,280 | (46 | ) | |||||||
JPMorgan Chase Bank | (356 | ) | 355 | (1 | ) | |||||||
Morgan Stanley | (626 | ) | 558 | (38 | ) | |||||||
State Street Global Markets, LLC | (139 | ) | 140 | 1 | ||||||||
|
| |||||||||||
$ | (321 | ) | ||||||||||
|
|
For the period ended March 31, 2016 the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
A list of open OTC swap agreements held by the Fund at March 31, 2016, is as follows:
Interest Rate Swaps | ||||||||||||||
Broker | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Depreciation ($ Thousands) | |||||||||
Bank of America | 2.70% | 3 Month USD - LIBOR | 07/18/23 | $ | 600 | $ | (2 | ) | ||||||
Bank of America | 1.56% | 3 Month USD - LIBOR | 07/03/18 | 7,150 | (3 | ) | ||||||||
|
| |||||||||||||
$ | (5 | ) | ||||||||||||
|
|
188 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Total Return Swaps | ||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($Thousands) | ||||||||||
Bank of America | U.S. Treasury Note 2.250% | 6 Month - 0.40% | Asset Return | 04/14/16 | $ | 331 | $ | 34,772 | ||||||||
Bank of America | U.S. Treasury Note 2.250% | 6 Month - 0.40% | Asset Return | 04/14/16 | (33,466 | ) | (33,466 | ) | ||||||||
|
| |||||||||||||||
$ | 1,306 | |||||||||||||||
|
|
A list of open centrally cleared swap agreements held by the Fund at March 31, 2016, is as follows:
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount ($Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Bank of America | 2.23% | 3 Month USD-LIBOR | 11/16/25 | $ | 1,350 | $ | (83 | ) | ||||||
Bank of America | 2.27% | 3 Month USD-LIBOR | 08/17/25 | 550 | (33 | ) | ||||||||
Bank of America | 2.27% | 3 Month USD-LIBOR | 08/17/25 | 600 | (36 | ) | ||||||||
Morgan Stanley | 2.00% | GBP -LIBOR - BBA EUR | 06/15/26 | 180 | — | |||||||||
Morgan Stanley | 1.00% | EURIBOR - TELERATE | 06/15/26 | 1,140 | (5 | ) | ||||||||
Morgan Stanley | 0.50% | EUR - EURIBOR - TELERATE | 06/15/21 | 1,310 | 12 | |||||||||
|
| |||||||||||||
$ | (145 | ) | ||||||||||||
|
|
Credit Default Swaps | ||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount ($Thousands) | Net Unrealized Appreciation ($Thousands) | ||||||||||
Morgan Stanley | CDX.NA.HY.25-V1 | SELL | 5.00 | 12/20/20 | $ | (4,150 | ) | $ | 73 | |||||||
Morgan Stanley | CDX.NA.IG.25-V1 | SELL | 1.00 | 12/20/20 | (4,050 | ) | 10 | |||||||||
|
| |||||||||||||||
$ | 83 | |||||||||||||||
|
|
For the period ended March 31, 2016, 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 period.
Percentages are based on a Net Assets of $654,269 ($ Thousands).
* | Non-income producing security. |
† | Rate unavailable. |
‡ | Real Estate Investment Trust. |
†† | For the period ended March 31, 2016, 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 period. |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” |
(B) | Security is in default on interest payment. |
(C) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2016. |
(D) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on March 31, 2016. The coupon on a step bond changes on a specified date. |
(E) | The rate reported is the effective yield at time of purchase. |
(F) | Security or portion thereof, has been pledged as collateral on reverse repurchase agreements. |
(G) | Unfunded bank loan. |
(H) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of March 31, 2016 was $13,648 ($ Thousands) and represented 2.1% of Net Assets. |
CDO | — Collateralized Debt Obligation |
Cl | — Class |
CLO | — Collateralized Loan Obligation |
CNH | — Chinese Offshore Yuan |
DKK | — Danish Krone |
ETF | — Exchange Traded Fund |
EUR | — Euro |
EURIBOR | — Euro InterBank Rate |
FHLMC | — Federal Home Loan Mortgage Corporation |
GBP | — British Pound |
GO | — General Obligation |
LIBOR | — London Interbank Offered Rate |
LLC | — Limited Liability Company |
MTN | — Medium Term Note |
MXP | — Mexican Peso |
OTC | — Over The Counter |
PLC | — Public Limited Company |
RB | — Revenue Bond |
REMIC | — Real Estate Mortgage Investment Conduit |
RUB | — Russian ruble |
S&P | — Standard & Poor’s |
SAR | — Saudi Arabian Riyal |
Ser | — Series |
SPX | — S&P 500 Stock Index |
TWD | — Taiwan Dollar |
USD | — United States Dollar |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 189 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund (Concluded)
March 31, 2016
The following is a list of the level of inputs used as of March 31, 2016 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3‡ | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 138,357 | $ | 3,459 | $ | 141,816 | ||||||||
Loan Participations | — | 105,615 | 9,238 | 114,853 | ||||||||||||
Collateralized Debt Obligations | — | 94,794 | 617 | 95,411 | ||||||||||||
Asset-Backed Securities | — | 85,915 | 922 | 86,837 | ||||||||||||
Mortgage-Backed Securities | — | 54,065 | — | 54,065 | ||||||||||||
Common Stock | 53,760 | — | 132 | 53,892 | ||||||||||||
Sovereign Debt | — | 40,454 | — | 40,454 | ||||||||||||
Commercial Paper | — | 5,999 | — | 5,999 | ||||||||||||
Preferred Stock | 4,333 | 263 | — | 4,596 | ||||||||||||
U.S. Treasury Obligations | — | 4,241 | — | 4,241 | ||||||||||||
U.S. Government Agency Obligations | — | 2,287 | — | 2,287 | ||||||||||||
Municipal Bonds | — | 999 | — | 999 | ||||||||||||
Convertible Bond | — | — | 42 | 42 | ||||||||||||
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Total Investments in Securities | $ | 58,093 | $ | 532,989 | $ | 14,410 | $ | 605,492 | ||||||||
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Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Options | $ | 380 | $ | — | $ | — | $ | 380 | ||||||||
Written Options | (3,053 | ) | — | — | (3,053 | ) | ||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 547 | — | — | 547 | ||||||||||||
Unrealized Depreciation | (232 | ) | — | — | (232 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Depreciation | — | (321 | ) | — | (321 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Depreciation | — | (5 | ) | — | (5 | ) | ||||||||||
Total Return Swaps* | ||||||||||||||||
Unrealized Appreciation | — | 34,772 | — | 34,772 | ||||||||||||
Unrealized Depreciation | — | (33,466 | ) | — | (33,466 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Appreciation | — | 12 | — | 12 | ||||||||||||
Unrealized Depreciation | — | (157 | ) | — | (157 | ) | ||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Appreciation | — | 83 | — | 83 | ||||||||||||
Reverse Repurchase Agreements** | (230 | ) | — | — | (230 | ) | ||||||||||
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| |||||||||
Total Other Financial Instruments | $ | (2,588 | ) | $ | 918 | $ | — | $ | (1,670 | ) | ||||||
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* | 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. |
‡ | 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 | Common Stock | Convertible Bond | |||||||||||||||||||||||||
Beginning balance as of October 1, 2015 | $ | 2,010 | $ | 960 | $ | 8,925 | $ | 4,185 | $ | 315 | $ | 47 | ||||||||||||||||||
Accrued discounts/premiums | — | — | 12 | (4 | ) | — | — | |||||||||||||||||||||||
Realized gain/(loss) | — | — | (56 | ) | (193 | ) | — | — | ||||||||||||||||||||||
Change in unrealized appreciation/(depreciation) | (13 | ) | (3 | ) | (135 | ) | (252 | ) | (183 | ) | (12 | ) | ||||||||||||||||||
Purchases | — | — | 772 | — | — | 7 | ||||||||||||||||||||||||
Sales | — | (35 | ) | (280 | ) | (277 | ) | — | — | |||||||||||||||||||||
Transfer out of Level 3 | (1,380 | ) | — | — | — | — | — | |||||||||||||||||||||||
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Ending balance as of March 31, 2016 | $ | 617 | $ | 922 | $ | 9,238 | $ | 3,459 | $ | 132 | $ | 42 | ||||||||||||||||||
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Changes in unrealized gains/(losses) in earnings related to securities held at reporting date | $ | (521 | ) | $ | (3 | ) | $ | (67 | ) | $ | (365 | ) | $ | (183 | ) | $ | (12 | ) | ||||||||||||
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For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, there were transfers 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 $0.
The accompanying notes are an integral part of the financial statements.
190 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Inflation Managed Fund
March 31, 2016
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 68.3% |
| |||||||
U.S. Treasury Bills (A) (E) (G) | ||||||||
0.436%, 06/02/2016 | $ | 79,600 | $ | 79,579 | ||||
0.328%, 05/12/2016 | 55,500 | 55,494 | ||||||
0.105%, 04/21/2016 | 31,000 | 30,998 | ||||||
U.S. Treasury Inflation Protected Securities | ||||||||
2.125%, 01/15/2019 (F) | 17,423 | 18,809 | ||||||
1.375%, 01/15/2020 (F) | 40,176 | 43,010 | ||||||
1.250%, 07/15/2020 | 58,435 | 62,816 | ||||||
0.625%, 07/15/2021 | 40,941 | 42,970 | ||||||
0.250%, 01/15/2025 | 2,451 | 2,471 | ||||||
0.125%, 04/15/2017 (F) | 74,834 | 75,690 | ||||||
0.125%, 04/15/2018 (F) | 104,548 | 106,398 | ||||||
0.125%, 04/15/2019 (F) | 111,229 | 113,629 | ||||||
0.125%, 04/15/2020 (F) | 77,083 | 78,699 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 710,563 | |||||||
|
| |||||||
COMMON STOCK — 28.0% | ||||||||
Consumer Discretionary — 0.0% |
| |||||||
MDC Partners, Cl A | 12,500 | 295 | ||||||
|
| |||||||
Consumer Staples — 4.5% | ||||||||
Altria Group | 104,100 | 6,523 | ||||||
Avon Products | 261,300 | 1,257 | ||||||
Campbell Soup | 94,500 | 6,028 | ||||||
Central Garden & Pet, Cl A* | 17,900 | 292 | ||||||
Clorox | 6,000 | 756 | ||||||
Coca-Cola | 32,800 | 1,522 | ||||||
CVS Health | 31,400 | 3,257 | ||||||
Dean Foods | 215,300 | 3,729 | ||||||
Dr Pepper Snapple Group | 32,400 | 2,897 | ||||||
Farmer Brothers* | 2,100 | 58 | ||||||
Fresh Del Monte Produce | 8,000 | 337 | ||||||
Hormel Foods | 62,600 | 2,707 | ||||||
Ingredion | 2,900 | 310 | ||||||
John B Sanfilippo & Son | 5,600 | 387 | ||||||
Kroger | 28,200 | 1,079 | ||||||
Medifast | 9,000 | 272 | ||||||
Natural Health Trends | 16,600 | 550 | ||||||
Omega Protein* | 19,000 | 322 | ||||||
PepsiCo | 20,600 | 2,111 | ||||||
Post Holdings* | 12,500 | 860 |
Description | Shares | Market Value ($ Thousands) | ||||||
Procter & Gamble | 39,200 | $ | 3,226 | |||||
Reynolds American | 31,800 | 1,600 | ||||||
Seaboard* | 46 | 138 | ||||||
SYSCO, Cl A | 34,500 | 1,612 | ||||||
Tyson Foods, Cl A | 21,400 | 1,426 | ||||||
Universal | 18,600 | 1,057 | ||||||
Walgreens Boots Alliance | 2,600 | 219 | ||||||
Wal-Mart Stores | 30,300 | 2,075 | ||||||
|
| |||||||
46,607 | ||||||||
|
| |||||||
Energy — 7.4% | ||||||||
Alon USA Energy | 66,000 | 681 | ||||||
Antero Resources* | 70,000 | 1,741 | ||||||
Atwood Oceanics, Cl A | 472,900 | 4,336 | ||||||
Chevron | 42,890 | 4,092 | ||||||
CVR Energy | 12,000 | 313 | ||||||
DHT Holdings | 531,500 | 3,061 | ||||||
Diamond Offshore Drilling | 251,800 | 5,472 | ||||||
EP Energy, Cl A* | 255,927 | 1,157 | ||||||
Exxon Mobil | 163,130 | 13,636 | ||||||
Frontline | 34,620 | 290 | ||||||
Hallador Energy | 24,900 | 114 | ||||||
Marathon Petroleum | 26,100 | 970 | ||||||
McDermott International* | 669,300 | 2,737 | ||||||
Noble | 501,300 | 5,188 | ||||||
Nordic American Tankers, Cl US | 89,900 | 1,267 | ||||||
PHI* | 4,900 | 92 | ||||||
Renewable Energy Group* | 28,800 | 272 | ||||||
REX American Resources* | 13,400 | 743 | ||||||
Rowan, Cl A | 368,800 | 5,938 | ||||||
Schlumberger, Cl A | 73,500 | 5,421 | ||||||
Superior Energy Services | 90,100 | 1,206 | ||||||
Teekay Shipping | 47,300 | 410 | ||||||
Tesoro | 44,700 | 3,845 | ||||||
Transocean | 452,800 | 4,139 | ||||||
Valero Energy | 115,600 | 7,415 | ||||||
Western Refining | 100,300 | 2,918 | ||||||
|
| |||||||
77,454 | ||||||||
|
| |||||||
Financials — 3.2% | ||||||||
Altisource Portfolio Solutions* | 64,900 | 1,567 | ||||||
AmTrust Financial Services | 21,000 | 544 | ||||||
Annaly Capital Management‡ | 318,700 | 3,270 | ||||||
Aon | 9,600 | 1,003 | ||||||
Banc of California | 44,500 | 779 | ||||||
Bancorp* | 32,000 | 183 | ||||||
Cincinnati Financial | 12,400 | 810 | ||||||
CoreSite Realty‡ | 22,900 | 1,603 | ||||||
Digital Realty Trust, Cl A‡ | 23,200 | 2,053 | ||||||
Dynex Capital‡ | 13,500 | 90 | ||||||
First BanCorp Puerto Rico* | 40,300 | 118 | ||||||
Franklin Financial Network* | 4,100 | 111 | ||||||
Getty Realty‡ | 3,443 | 68 | ||||||
Heartland Financial USA | 11,200 | 345 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 191 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Inflation Managed Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
International. FCStone* | 4,800 | $ | 128 | |||||
Jones Lang LaSalle | 4,800 | 563 | ||||||
Kimco Realty‡ | 87,600 | 2,521 | ||||||
Lamar Advertising, Cl A‡ | 31,100 | 1,913 | ||||||
Old Republic International | 51,000 | 932 | ||||||
Popular | 189,700 | 5,427 | ||||||
Public Storage‡ | 2,200 | 607 | ||||||
RE, Cl A | 12,400 | 425 | ||||||
Ryman Hospitality Properties‡ | 39,500 | 2,033 | ||||||
Simon Property Group‡ | 9,700 | 2,015 | ||||||
SunTrust Banks | 12,900 | 465 | ||||||
Weyerhaeuser‡ | 115,680 | 3,584 | ||||||
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33,157 | ||||||||
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Health Care — 7.2% | ||||||||
Aetna, Cl A | 8,200 | 921 | ||||||
Amedisys* | 47,100 | 2,277 | ||||||
Amgen, Cl A | 26,900 | 4,033 | ||||||
AMN Healthcare Services* | 26,500 | 891 | ||||||
Anthem | 2,800 | 389 | ||||||
Bristol-Myers Squibb | 31,800 | 2,031 | ||||||
Bruker BioSciences | 66,100 | 1,851 | ||||||
Cambrex* | 78,200 | 3,441 | ||||||
Centene* | 133,836 | 8,240 | ||||||
Charles River Laboratories International* | 28,800 | 2,187 | ||||||
Cigna | 300 | 41 | ||||||
Computer Programs & Systems | 21,800 | 1,136 | ||||||
Enanta Pharmaceuticals* | 2,900 | 85 | ||||||
Gilead Sciences | 94,000 | 8,635 | ||||||
Hologic* | 51,100 | 1,763 | ||||||
ICU Medical* | 8,900 | 926 | ||||||
INC Research Holdings, Cl A* | 10,400 | 429 | ||||||
Johnson & Johnson | 68,100 | 7,368 | ||||||
Lannett* | 5,800 | 104 | ||||||
LeMaitre Vascular | 16,000 | 248 | ||||||
Magellan Health* | 9,400 | 639 | ||||||
Merck | 20,600 | 1,090 | ||||||
Mettler Toledo International* | 7,340 | 2,531 | ||||||
Molina Healthcare* | 91,800 | 5,920 | ||||||
OraSure Technologies* | 79,500 | 575 | ||||||
PDL BioPharma | 377,100 | 1,256 | ||||||
Pfizer | 147,800 | 4,381 | ||||||
Quintiles Transnational Holdings* | 40,800 | 2,656 | ||||||
ResMed | 28,800 | 1,665 | ||||||
Sucampo Pharmaceuticals, Cl A* | 64,300 | 703 | ||||||
Supernus Pharmaceuticals* | 11,300 | 172 | ||||||
United Therapeutics* | 400 | 45 | ||||||
UnitedHealth Group | 19,800 | 2,552 | ||||||
Waters* | 27,100 | 3,575 | ||||||
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74,756 | ||||||||
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Industrials — 1.4% | ||||||||
Argan | 34,300 | 1,206 | ||||||
Comfort Systems USA | 25,600 | 813 |
Description | Shares | Market Value ($ Thousands) | ||||||
Ennis | 19,500 | $ | 381 | |||||
FreightCar America, Cl A | 10,600 | 165 | ||||||
Greenbrier | 70,700 | 1,954 | ||||||
Hawaiian Holdings* | 128,000 | 6,041 | ||||||
Heidrick & Struggles International | 13,600 | 322 | ||||||
JetBlue Airways* | 43,100 | 910 | ||||||
RPX* | 46,800 | 527 | ||||||
Skywest | 27,500 | 550 | ||||||
Spirit AeroSystems Holdings, Cl A* | 14,900 | 676 | ||||||
United Continental Holdings* | 1,700 | 102 | ||||||
USA Truck* | 10,100 | 190 | ||||||
Wabash National* | 28,600 | 378 | ||||||
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14,215 | ||||||||
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Information Technology — 2.6% | ||||||||
Accenture, Cl A | 27,800 | 3,208 | ||||||
Brightcove* | 41,200 | 257 | ||||||
CACI International, Cl A* | 9,500 | 1,014 | ||||||
Cadence Design Systems* | 55,300 | 1,304 | ||||||
EarthLink Holdings | 217,400 | 1,233 | ||||||
Electronic Arts* | 44,500 | 2,942 | ||||||
ExlService Holdings* | 12,400 | 642 | ||||||
Gigamon* | 16,200 | 503 | ||||||
Hackett Group | 33,800 | 511 | ||||||
Heartland Payment Systems | 2,600 | 251 | ||||||
Leidos Holdings | 22,600 | 1,137 | ||||||
Manhattan Associates* | 52,700 | 2,997 | ||||||
Microsoft | 53,600 | 2,960 | ||||||
NeuStar, Cl A* | 162,800 | 4,005 | ||||||
Nuance Communications* | 55,000 | 1,028 | ||||||
Paycom Software* | 32,500 | 1,157 | ||||||
Unisys* | 43,500 | 335 | ||||||
Vantiv, Cl A* | 5,300 | 286 | ||||||
Vasco Data Security International* | 54,900 | 845 | ||||||
Zix* | 44,400 | 174 | ||||||
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26,789 | ||||||||
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Telecommunication Services — 0.8% |
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AT&T | 91,500 | 3,584 | ||||||
Atlantic Telegraph-Network | 3,300 | 250 | ||||||
IDT, Cl B | 23,100 | 360 | ||||||
Inteliquent | 46,000 | 738 | ||||||
magicJack VocalTec* | 21,704 | 143 | ||||||
Shenandoah Telecommunications | 31,200 | 835 | ||||||
Telephone & Data Systems | 24,200 | 728 | ||||||
US Cellular* | 2,600 | 119 | ||||||
Verizon Communications | 33,900 | 1,833 | ||||||
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8,590 | ||||||||
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Utilities — 0.9% | ||||||||
Entergy | 17,700 | 1,403 | ||||||
Exelon | 55,100 | 1,976 | ||||||
National Fuel Gas | 9,600 | 481 |
192 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
NiSource | 70,800 | $ | 1,668 | |||||
PPL | 78,800 | 3,000 | ||||||
UGI | 15,300 | 616 | ||||||
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9,144 | ||||||||
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Total Common Stock | 291,007 | |||||||
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CORPORATE OBLIGATIONS — 9.2% |
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Consumer Discretionary — 1.2% | ||||||||
21st Century Fox America | ||||||||
6.150%, 02/15/2041 | $ | 165 | 197 | |||||
4.500%, 02/15/2021 | 260 | 287 | ||||||
4.000%, 10/01/2023 | 185 | 199 | ||||||
3.000%, 09/15/2022 | 405 | 417 | ||||||
CBS | ||||||||
3.500%, 01/15/2025 | 835 | 846 | ||||||
Comcast | ||||||||
6.450%, 03/15/2037 | 185 | 245 | ||||||
Cox Communications | ||||||||
2.950%, 06/30/2023 (B) | 240 | 223 | ||||||
CSC Holdings | ||||||||
8.625%, 02/15/2019 | 162 | 178 | ||||||
Dana Holding | ||||||||
6.000%, 09/15/2023 | 148 | 146 | ||||||
Discovery Communications | ||||||||
3.450%, 03/15/2025 | 450 | 425 | ||||||
Ford Motor Credit | ||||||||
5.875%, 08/02/2021 | 695 | 797 | ||||||
2.597%, 11/04/2019 | 1,152 | 1,156 | ||||||
General Motors | ||||||||
3.500%, 10/02/2018 | 465 | 476 | ||||||
International Game Technology | ||||||||
6.250%, 02/15/2022 (B) | 560 | 570 | ||||||
KB Home | ||||||||
4.750%, 05/15/2019 | 382 | 381 | ||||||
Kohl’s | ||||||||
4.250%, 07/17/2025 | 1,313 | 1,297 | ||||||
MCE Finance | ||||||||
5.000%, 02/15/2021 (B) | 405 | 386 | ||||||
Newell Rubbermaid | ||||||||
3.850%, 04/01/2023 | 395 | 409 | ||||||
3.150%, 04/01/2021 | 1,351 | 1,388 | ||||||
Numericable-SFR | ||||||||
5.375%, 05/15/2022 (B) | 235 | 272 | ||||||
RELX Capital | ||||||||
8.625%, 01/15/2019 | 475 | 552 | ||||||
Time Warner | ||||||||
3.550%, 06/01/2024 | 745 | 766 | ||||||
Time Warner Cable | ||||||||
4.500%, 09/15/2042 | 330 | 293 | ||||||
Viacom | ||||||||
3.875%, 04/01/2024 | 344 | 343 | ||||||
Virgin Media Finance | ||||||||
5.250%, 02/15/2022 | 200 | 181 | ||||||
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12,430 | ||||||||
|
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Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Consumer Staples — 0.7% | ||||||||
Altria Group | ||||||||
4.750%, 05/05/2021 | $ | 210 | $ | 238 | ||||
2.625%, 01/14/2020 | 1,160 | 1,199 | ||||||
Bunge Finance | ||||||||
8.500%, 06/15/2019 | 9 | 10 | ||||||
CVS Health | ||||||||
3.875%, 07/20/2025 | 1,045 | 1,128 | ||||||
Grupo Bimbo | ||||||||
3.875%, 06/27/2024 (B) | 703 | 706 | ||||||
Kraft Heinz Foods | ||||||||
3.500%, 07/15/2022 (B) | 664 | 697 | ||||||
2.800%, 07/02/2020 (B) | 520 | 534 | ||||||
Reynolds American | ||||||||
4.000%, 06/12/2022 | 908 | 987 | ||||||
Tyson Foods | ||||||||
3.950%, 08/15/2024 | 715 | 762 | ||||||
2.650%, 08/15/2019 | 219 | 225 | ||||||
Virgolino de Oliveira Finance | ||||||||
10.500%, 01/28/2018 (B) (C) | 660 | 24 | ||||||
Walgreens Boots Alliance | ||||||||
3.800%, 11/18/2024 | 1,160 | 1,194 | ||||||
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7,704 | ||||||||
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Energy — 1.1% | ||||||||
Cenovus Energy | ||||||||
5.700%, 10/15/2019 | 261 | 262 | ||||||
3.000%, 08/15/2022 | 52 | 46 | ||||||
DCP Midstream | ||||||||
4.750%, 09/30/2021 (B) | 220 | 173 | ||||||
Diamond Offshore Drilling | ||||||||
4.875%, 11/01/2043 | 370 | 244 | ||||||
Ecopetrol | ||||||||
5.875%, 05/28/2045 | 309 | 243 | ||||||
Energy Transfer Partners | ||||||||
6.125%, 02/15/2017 | 200 | 205 | ||||||
5.200%, 02/01/2022 | 465 | 441 | ||||||
EnLink Midstream Partners | ||||||||
5.050%, 04/01/2045 | 507 | 341 | ||||||
Enterprise Products Operating | ||||||||
5.200%, 09/01/2020 | 340 | 371 | ||||||
3.700%, 02/15/2026 | 1,103 | 1,082 | ||||||
Husky Energy | ||||||||
7.250%, 12/15/2019 | 151 | 167 | ||||||
Kinder Morgan Energy Partners | ||||||||
3.950%, 09/01/2022 | 990 | 950 | ||||||
Korea National Oil | ||||||||
3.125%, 04/03/2017 (B) | 465 | 473 | ||||||
Marathon Petroleum | ||||||||
5.125%, 03/01/2021 | 196 | 204 | ||||||
Noble Energy | ||||||||
8.250%, 03/01/2019 | 153 | 168 | ||||||
4.150%, 12/15/2021 | 475 | 474 | ||||||
3.900%, 11/15/2024 | 606 | 571 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 193 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Inflation Managed Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ONEOK | ||||||||
4.250%, 02/01/2022 | $ | 300 | $ | 249 | ||||
Petrobras Global Finance BV | ||||||||
5.750%, 01/20/2020 | 888 | 771 | ||||||
Petroleos Mexicanos | ||||||||
3.500%, 07/18/2018 | 263 | 267 | ||||||
Plains All American Pipeline | ||||||||
3.600%, 11/01/2024 | 902 | 778 | ||||||
Regency Energy Partners | ||||||||
4.500%, 11/01/2023 | 114 | 101 | ||||||
Schlumberger Holdings | ||||||||
3.000%, 12/21/2020 (B) | 1,345 | 1,364 | ||||||
SM Energy | ||||||||
6.500%, 01/01/2023 | 43 | 30 | ||||||
Transocean | ||||||||
6.500%, 11/15/2020 | 535 | 374 | ||||||
Valero Energy | ||||||||
6.125%, 02/01/2020 | 480 | 527 | ||||||
Williams Partners | ||||||||
3.900%, 01/15/2025 | 217 | 175 | ||||||
|
| |||||||
11,051 | ||||||||
|
| |||||||
Financials — 2.4% | ||||||||
American International Group | ||||||||
4.875%, 06/01/2022 | 520 | 572 | ||||||
American Tower | ||||||||
4.700%, 03/15/2022‡ | 365 | 395 | ||||||
3.500%, 01/31/2023‡ | 485 | 490 | ||||||
Bank of America MTN | ||||||||
6.500%, 12/31/2049 (D) | 292 | 301 | ||||||
0.599%, 03/28/2018 (D) | 1,100 | 1,242 | ||||||
Barclays | ||||||||
3.650%, 03/16/2025 | 330 | 309 | ||||||
Barclays Bank | ||||||||
7.750%, 04/10/2023 (D) | 393 | 413 | ||||||
7.625%, 11/21/2022 | 207 | 222 | ||||||
6.860%, 09/29/2049 (B) (D) | 131 | 150 | ||||||
6.625%, 03/30/2022 | 103 | 139 | ||||||
Citigroup | ||||||||
3.875%, 03/26/2025 | 905 | 897 | ||||||
Cooperatieve Rabobank UA | ||||||||
4.375%, 08/04/2025 | 657 | 676 | ||||||
Credit Agricole | ||||||||
8.125%, 12/31/2049 (B) (D) | 260 | 260 | ||||||
Credit Suisse Group Funding Guernsey | ||||||||
3.750%, 03/26/2025 (B) | 995 | 950 | ||||||
Goldman Sachs Group MTN | ||||||||
2.236%, 11/29/2023 (D) | 1,795 | 1,790 | ||||||
Hartford Financial Services Group | ||||||||
5.125%, 04/15/2022 | 655 | 733 | ||||||
HBOS Capital Funding | ||||||||
4.939%, 05/29/2049 (D) | 1,006 | 1,146 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Healthcare Realty Trust | ||||||||
5.750%, 01/15/2021‡ | $ | 285 | $ | 317 | ||||
Host Hotels & Resorts | ||||||||
5.250%, 03/15/2022‡ | 190 | 205 | ||||||
3.750%, 10/15/2023‡ | 16 | 16 | ||||||
Intesa Sanpaolo MTN | ||||||||
5.017%, 06/26/2024 (B) | 746 | 699 | ||||||
JPMorgan Chase | ||||||||
5.400%, 01/06/2042 | 175 | 209 | ||||||
Lincoln National | ||||||||
4.200%, 03/15/2022 | 355 | 373 | ||||||
MetLife | ||||||||
5.700%, 06/15/2035 | 80 | 94 | ||||||
5.250%, 12/29/2049 (D) | 874 | 835 | ||||||
Metropolitan Life Global Funding I | ||||||||
3.875%, 04/11/2022 (B) | 275 | 294 | ||||||
Mizuho Financial Group Cayman 3 | ||||||||
4.600%, 03/27/2024 (B) | 840 | 866 | ||||||
Morgan Stanley MTN | ||||||||
5.500%, 07/28/2021 | 585 | 668 | ||||||
Murray Street Investment Trust I | ||||||||
4.647%, 03/09/2017 | 55 | 56 | ||||||
Nationwide Financial Services | ||||||||
5.375%, 03/25/2021 (B) | 470 | 515 | ||||||
Navient MTN | ||||||||
7.250%, 01/25/2022 | 52 | 49 | ||||||
Nomura Holdings MTN | ||||||||
2.000%, 09/13/2016 | 804 | 806 | ||||||
PNC Bank | ||||||||
3.800%, 07/25/2023 | 960 | 1,009 | ||||||
Prudential Financial | ||||||||
5.625%, 06/15/2043 (D) | 295 | 300 | ||||||
Rabobank Capital Funding Trust III | ||||||||
5.254%, 10/21/2016 (B) (D) | 380 | 378 | ||||||
Royal Bank of Scotland MTN | ||||||||
9.500%, 03/16/2022 (D) | 32 | 34 | ||||||
Royal Bank of Scotland Group | ||||||||
7.500%, 12/29/2049 (D) | 525 | 488 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
7.640%, 09/29/2017 (D) | 100 | 97 | ||||||
Santander Bank | ||||||||
1.551%, 01/12/2018 (D) | 1,205 | 1,194 | ||||||
Santander Issuances | ||||||||
5.179%, 11/19/2025 | 600 | 580 | ||||||
Santander UK | ||||||||
5.000%, 11/07/2023 (B) | 700 | 710 | ||||||
Societe Generale | ||||||||
8.000%, 12/30/2049 (B) (D) | 510 | 495 | ||||||
5.922%, 04/05/2017 (B) (D) | 115 | 114 | ||||||
Standard Chartered | ||||||||
6.409%, 01/30/2049 (B) (D) | 400 | 382 | ||||||
Trust F | ||||||||
5.250%, 12/15/2024‡, (B) | 830 | 844 | ||||||
UBS Group Funding Jersey | ||||||||
4.125%, 09/24/2025 (B) | 689 | 690 |
194 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Welltower | ||||||||
5.250%, 01/15/2022‡ | $ | 695 | $ | 759 | ||||
XLIT | ||||||||
5.500%, 03/31/2045 | 225 | 216 | ||||||
|
| |||||||
24,977 | ||||||||
|
| |||||||
Health Care — 0.9% | ||||||||
AbbVie | ||||||||
3.600%, 05/14/2025 | 654 | 686 | ||||||
Actavis Funding SCS | ||||||||
3.850%, 06/15/2024 | 297 | 311 | ||||||
3.800%, 03/15/2025 | 1,096 | 1,141 | ||||||
Baxalta | ||||||||
3.600%, 06/23/2022 (B) | 1,040 | 1,057 | ||||||
Bayer US Finance | ||||||||
3.375%, 10/08/2024 (B) | 405 | 427 | ||||||
Becton Dickinson | ||||||||
3.734%, 12/15/2024 | 513 | 546 | ||||||
Biogen | ||||||||
3.625%, 09/15/2022 | 647 | 684 | ||||||
Celgene | ||||||||
3.875%, 08/15/2025 | 785 | 825 | ||||||
Gilead Sciences | ||||||||
3.650%, 03/01/2026 | 1,009 | 1,072 | ||||||
Laboratory Corp of America Holdings | ||||||||
3.600%, 02/01/2025 | 385 | 390 | ||||||
Medtronic | ||||||||
3.500%, 03/15/2025 | 1,170 | 1,249 | ||||||
Perrigo Finance Unlimited | ||||||||
3.900%, 12/15/2024 | 430 | 428 | ||||||
3.500%, 12/15/2021 | 227 | 231 | ||||||
Thermo Fisher Scientific | ||||||||
4.150%, 02/01/2024 | 365 | 385 | ||||||
Valeant Pharmaceuticals International | ||||||||
6.125%, 04/15/2025 (B) | 600 | 462 | ||||||
|
| |||||||
9,894 | ||||||||
|
| |||||||
Industrials — 0.2% | ||||||||
AerCap Aviation Solutions BV | ||||||||
6.375%, 05/30/2017 | 234 | 241 | ||||||
Empresa de Transporte de Pasajeros Metro | ||||||||
4.750%, 02/04/2024 (B) | 360 | 375 | ||||||
General Electric | ||||||||
5.000%, 12/29/2049 (D) | 300 | 309 | ||||||
Hutchison Whampoa International 14 | ||||||||
1.625%, 10/31/2017 (B) | 424 | 424 | ||||||
International Lease Finance | ||||||||
5.875%, 04/01/2019 | 325 | 343 | ||||||
Odebrecht Finance | ||||||||
5.250%, 06/27/2029 (B) | 457 | 191 | ||||||
|
| |||||||
1,883 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Information Technology — 0.3% | ||||||||
Advanced Micro Devices | ||||||||
6.750%, 03/01/2019 | $ | 416 | $ | 333 | ||||
eBay | ||||||||
3.800%, 03/09/2022 | 357 | 368 | ||||||
KLA-Tencor | ||||||||
4.650%, 11/01/2024 | 894 | 901 | ||||||
Seagate HDD Cayman | ||||||||
4.750%, 01/01/2025 | 427 | 333 | ||||||
Tencent Holdings MTN | ||||||||
3.375%, 05/02/2019 (B) | 676 | 700 | ||||||
Total System Services | ||||||||
2.375%, 06/01/2018 | 262 | 262 | ||||||
|
| |||||||
2,897 | ||||||||
|
| |||||||
Materials — 0.7% | ||||||||
Barrick Gold | ||||||||
4.100%, 05/01/2023 | 64 | 62 | ||||||
Basell Finance BV | ||||||||
8.100%, 03/15/2027 (B) | 220 | 285 | ||||||
Dow Chemical | ||||||||
4.250%, 11/15/2020 | 131 | 142 | ||||||
Eastman Chemical | ||||||||
3.800%, 03/15/2025 | 420 | 431 | ||||||
Freeport-McMoran Oil & Gas | ||||||||
6.500%, 11/15/2020 | 173 | 138 | ||||||
Glencore Funding | ||||||||
3.125%, 04/29/2019 (B) | 1,840 | 1,670 | ||||||
International Paper | ||||||||
4.750%, 02/15/2022 | 361 | 396 | ||||||
LyondellBasell Industries | ||||||||
5.750%, 04/15/2024 | 1,100 | 1,273 | ||||||
Minsur | ||||||||
6.250%, 02/07/2024 (B) | 168 | 158 | ||||||
Nacional del Cobre de Chile | ||||||||
4.500%, 09/16/2025 (B) | 925 | 943 | ||||||
NOVA Chemicals | ||||||||
5.250%, 08/01/2023 (B) | 420 | 411 | ||||||
Novelis | ||||||||
8.375%, 12/15/2017 | 99 | 101 | ||||||
Reynolds Group | ||||||||
5.750%, 10/15/2020 | 515 | 529 | ||||||
Sealed Air | ||||||||
5.250%, 04/01/2023 (B) | 332 | 351 | ||||||
Sociedad Quimica y Minera de Chile | ||||||||
3.625%, 04/03/2023 (B) | 408 | 372 | ||||||
Yamana | ||||||||
4.950%, 07/15/2024 | 462 | 390 | ||||||
|
| |||||||
7,652 | ||||||||
|
| |||||||
Telecommunication Services — 1.0% |
| |||||||
AT&T | ||||||||
4.450%, 04/01/2024 | 763 | 826 | ||||||
3.800%, 03/15/2022 | 262 | 276 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 195 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Inflation Managed Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.400%, 05/15/2025 | $ | 1,905 | $ | 1,910 | ||||
3.000%, 02/15/2022 | 465 | 474 | ||||||
Comcel Trust via Comunicaciones Celulares | ||||||||
6.875%, 02/06/2024 (B) | 208 | 195 | ||||||
Rogers Communications | ||||||||
4.000%, 06/06/2022 | 60 | 51 | ||||||
SBA Tower Trust | ||||||||
3.156%, 10/15/2020 (B) | 950 | 950 | ||||||
Sprint Capital | ||||||||
6.900%, 05/01/2019 | 1,485 | 1,288 | ||||||
Telefonica Emisiones | ||||||||
5.462%, 02/16/2021 | 200 | 227 | ||||||
Verizon Communications | ||||||||
7.350%, 04/01/2039 | 350 | 460 | ||||||
6.550%, 09/15/2043 | 360 | 474 | ||||||
4.600%, 04/01/2021 | 1,160 | 1,288 | ||||||
4.272%, 01/15/2036 | 1,170 | 1,164 | ||||||
Wind Acquisition Finance | ||||||||
4.750%, 07/15/2020 (B) | 535 | 506 | ||||||
|
| |||||||
10,089 | ||||||||
|
| |||||||
Utilities — 0.7% | ||||||||
AES | ||||||||
7.375%, 07/01/2021 | 415 | 465 | ||||||
Berkshire Hathaway Energy | ||||||||
6.125%, 04/01/2036 | 390 | 483 | ||||||
CMS Energy | ||||||||
5.050%, 03/15/2022 | 185 | 207 | ||||||
Constellation Energy Group | ||||||||
5.150%, 12/01/2020 | 70 | 77 | ||||||
Entergy | ||||||||
4.000%, 07/15/2022 | 907 | 962 | ||||||
Exelon | ||||||||
2.850%, 06/15/2020 | 1,695 | 1,730 | ||||||
Exelon Generation | ||||||||
4.250%, 06/15/2022 | 460 | 482 | ||||||
Israel Electric | ||||||||
5.000%, 11/12/2024 (B) | 792 | 840 | ||||||
NRG Energy | ||||||||
6.250%, 05/01/2024 | 315 | 289 | ||||||
Talent Yield Investments | ||||||||
4.500%, 04/25/2022 (B) | 1,301 | 1,387 | ||||||
|
| |||||||
6,922 | ||||||||
|
| |||||||
Total Corporate Obligations | 95,499 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 6.2% |
| |||||||
Agency Mortgage-Backed Obligations — 1.6% |
| |||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2013-DN2, Cl M2 | ||||||||
4.686%, 11/25/2023 (D) | 1,035 | 1,020 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN3, Cl M3 | ||||||||
4.436%, 08/25/2024 (D) | $ | 1,165 | $ | 1,136 | ||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN4, Cl M3 | ||||||||
4.986%, 10/25/2024 (D) | 250 | 248 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-HQ3, Cl M3 | ||||||||
5.186%, 10/25/2024 (D) | 785 | 791 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA1, Cl M3 | ||||||||
3.736%, 10/25/2027 (D) | 280 | 264 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA2, Cl M2 | ||||||||
3.033%, 12/25/2027 (D) | 1,489 | 1,487 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA3, Cl M3 | ||||||||
5.133%, 04/25/2028 (D) | 354 | 337 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQ1, Cl M2 | ||||||||
2.633%, 03/25/2025 (D) | 530 | 531 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQA1, Cl M2 | ||||||||
3.083%, 03/25/2028 (D) | 1,290 | 1,287 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQA2, Cl M2 | ||||||||
3.233%, 05/25/2028 (D) | 476 | 478 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQA2, Cl M3 | ||||||||
5.233%, 05/25/2028 (D) | 316 | 301 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA1, Cl M3 | ||||||||
5.983%, 07/25/2028 (D) | 513 | 515 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-HQA1, Cl M3 | ||||||||
6.791%, 09/25/2028 (D) | 482 | 499 | ||||||
FNMA Connecticut Avenue Securities, Ser 2014-C03, Cl 1M1 | ||||||||
1.633%, 07/25/2024 (D) | 254 | 253 | ||||||
FNMA Connecticut Avenue Securities, Ser 2014-C04, Cl 1M2 | ||||||||
5.333%, 11/25/2024 (D) | 678 | 681 |
196 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA Connecticut Avenue Securities, Ser 2014-C04, Cl 2M2 | ||||||||
5.433%, 11/25/2024 (D) | $ | 255 | $ | 260 | ||||
FNMA Connecticut Avenue Securities, Ser 2015-C01, Cl 1M2 | ||||||||
4.733%, 02/25/2025 (D) | 530 | 526 | ||||||
FNMA Connecticut Avenue Securities, Ser 2015-C02, Cl 2M2 | ||||||||
4.433%, 05/25/2025 (D) | 620 | 603 | ||||||
FNMA Connecticut Avenue Securities, Ser 2015-C03, Cl 1M2 | ||||||||
5.433%, 07/25/2025 (D) | 1,021 | 1,021 | ||||||
FNMA Connecticut Avenue Securities, Ser 2015-C03, Cl 1M1 | ||||||||
1.933%, 07/25/2025 (D) | 536 | 536 | ||||||
FNMA Connecticut Avenue Securities, Ser 2015-C03, Cl 2M2 | ||||||||
5.433%, 07/25/2025 (D) | 1,129 | 1,123 | ||||||
FNMA Connecticut Avenue Securities, Ser 2015-C04, Cl 1M2 | ||||||||
6.133%, 04/25/2028 (D) | 312 | 314 | ||||||
FNMA Connecticut Avenue Securities, Ser 2015-C04, Cl 2M2 | ||||||||
5.983%, 04/25/2028 (D) | 980 | 977 | ||||||
FNMA Connecticut Avenue Securities, Ser 2016-C01, Cl 2M2 | ||||||||
7.383%, 08/25/2028 (D) | 310 | 330 | ||||||
FNMA Connecticut Avenue Securities, Ser 2016-C01, Cl 1M2 | ||||||||
7.183%, 08/25/2028 (D) | 708 | 756 | ||||||
FNMA Connecticut Avenue Securities, Ser 2016-C02, Cl 1M2 | ||||||||
6.435%, 09/25/2028 (D) | 814 | 830 | ||||||
|
| |||||||
17,104 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 4.6% |
| |||||||
Alternative Loan Trust, Ser 2005-20CB, Cl 3A6 | ||||||||
5.500%, 07/25/2035 | 153 | 143 | ||||||
Alternative Loan Trust, Ser 2005-57CB, Cl 4A3 | ||||||||
5.500%, 12/25/2035 | 382 | 343 | ||||||
Alternative Loan Trust, Ser 2006-23CB, Cl 1A7 | ||||||||
6.000%, 08/25/2036 | 241 | 230 | ||||||
Alternative Loan Trust, Ser 2006-24CB, Cl A16 | ||||||||
5.750%, 06/25/2036 | 604 | 505 | ||||||
Alternative Loan Trust, Ser 2006-28CB, Cl A14 | ||||||||
6.250%, 10/25/2036 | 411 | 342 | ||||||
Alternative Loan Trust, Ser 2006-9T1, Cl A1 | ||||||||
5.750%, 05/25/2036 | 265 | 218 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Alternative Loan Trust, Ser 2006-J1, Cl 1A13 | ||||||||
5.500%, 02/25/2036 | $ | 363 | $ | 322 | ||||
Alternative Loan Trust, Ser 2007-2CB, Cl 2A4 | ||||||||
5.750%, 03/25/2037 | 363 | 313 | ||||||
Banc of America Commercial Mortgage Trust, Ser 2007-4, Cl A1A | ||||||||
5.774%, 02/10/2051 (D) | 1,729 | 1,792 | ||||||
Banc of America Commercial Mortgage Trust, Ser 2007-5, Cl AM | ||||||||
5.772%, 02/10/2051 (D) | 262 | 271 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, Ser 2006-PW13, Cl AJ | ||||||||
5.611%, 09/11/2041 (D) | 718 | 715 | ||||||
Bellemeade Re, Ser 2015-1A, Cl M1 | ||||||||
2.933%, 07/25/2025 (B) (D) | 538 | 533 | ||||||
BHMS Mortgage Trust, Ser 2014-ATLS, Cl AFX | ||||||||
3.600%, 07/05/2033 (B) | 1,180 | 1,204 | ||||||
Carefree Portfolio Trust, Ser 2014-CARE, Cl A | ||||||||
1.756%, 11/15/2019 (B) (D) | 653 | 650 | ||||||
CGRBS Commercial Mortgage Trust, Ser 2013-VN05, Cl A | ||||||||
3.369%, 03/13/2035 (B) | 915 | 952 | ||||||
Chase Mortgage Finance Trust Series, Ser 2007-S5, Cl 1A17 | ||||||||
6.000%, 07/25/2037 | 198 | 162 | ||||||
CHL Mortgage Pass-Through Trust, Ser 2006-10, Cl 1A8 | ||||||||
6.000%, 05/25/2036 | 346 | 315 | ||||||
CHL Mortgage Pass-Through Trust, Ser 2006-13, Cl 1A18 | ||||||||
6.250%, 09/25/2036 | 460 | 412 | ||||||
CHL Mortgage Pass-Through Trust, | ||||||||
6.250%, 09/25/2036 | 166 | 149 | ||||||
CHL Mortgage Pass-Through Trust, | ||||||||
2.819%, 02/25/2047 (D) | 498 | 442 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2006-C4, Cl A1A | ||||||||
5.912%, 03/15/2049 (D) | 57 | 57 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Cl D | ||||||||
4.457%, 04/10/2046 (B) (D) | 784 | 714 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2015-GC27, Cl A5 | ||||||||
3.137%, 02/10/2048 | 980 | 998 | ||||||
COBALT CMBS Commercial Mortgage Trust, Ser 2007-C3, Cl A4 | ||||||||
5.767%, 05/15/2046 (D) | 478 | 494 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 197 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Inflation Managed Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
COMM Mortgage Trust, | ||||||||
5.292%, 12/10/2046 | $ | 885 | $ | 898 | ||||
Commercial Mortgage Loan Trust, | ||||||||
6.097%, 12/10/2049 (D) | 1,574 | 1,656 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2013-SFS, Cl A1 | ||||||||
1.873%, 04/12/2035 (B) | 353 | 350 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2014-KYO, Cl A | ||||||||
1.329%, 06/11/2027 (B) (D) | 835 | 826 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2014-SAVA, Cl A | ||||||||
1.577%, 06/15/2034 (B) (D) | 391 | 384 | ||||||
Commercial Mortgage Trust, Ser 2007- GG9, Cl A4 | ||||||||
5.444%, 03/10/2039 | 635 | 648 | ||||||
Commercial Mortgage Trust, Ser 2007- GG9, Cl AM | ||||||||
5.475%, 03/10/2039 | 613 | 623 | ||||||
Credit Suisse Commercial Mortgage Trust Series, Ser 2007-C3, Cl AM | ||||||||
5.699%, 06/15/2039 (D) | 581 | 588 | ||||||
CSAIL Commercial Mortgage Trust, | ||||||||
3.691%, 08/15/2048 | 959 | 1,023 | ||||||
CSMC, Ser 2010-6R, Cl 3A2 | ||||||||
5.875%, 01/26/2038 (B) | 592 | 490 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust, Ser 2006-AR4, Cl A2 | ||||||||
2.059%, 04/10/2031 (D) | 611 | 602 | ||||||
0.623%, 12/25/2036 (D) | 709 | 427 | ||||||
Extended Stay America Trust, Ser 2013- ESH7, Cl A17 | ||||||||
2.295%, 12/05/2031 (B) | 560 | 560 | ||||||
First Horizon Alternative Mortgage Securities Trust, Ser 2006-FA3, Cl A9 | ||||||||
6.000%, 07/25/2036 | 374 | 297 | ||||||
GS Mortgage Securities II, Ser 2007-GG10, Cl A4 | ||||||||
5.794%, 08/10/2045 (D) | 764 | 787 | ||||||
GS Mortgage Securities II, | ||||||||
2.706%, 12/10/2027 (B) | 802 | 819 | ||||||
H/2 Asset Funding, Ser 2015-1A | ||||||||
2.082%, 06/24/2049 | 994 | 986 | ||||||
HomeBanc Mortgage Trust, Ser 2005-1, Cl A1 | ||||||||
0.683%, 03/25/2035 (D) | 312 | 263 | ||||||
JP Morgan Mortgage Trust, Ser 2007-S3, Cl 1A8 | ||||||||
6.000%, 08/25/2037 | 286 | 247 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C32, Cl C | ||||||||
4.669%, 11/15/2048 (D) | $ | 849 | $ | 724 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
4.838%, 07/15/2041 (B) (D) | 255 | 255 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.372%, 05/15/2047 | 548 | 550 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-CB19, Cl AM | ||||||||
5.702%, 02/12/2049 (D) | 300 | 306 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-LD12, Cl AM | ||||||||
6.010%, 02/15/2051 (D) | 254 | 265 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-LD12, Cl A4 | ||||||||
5.882%, 02/15/2051 (D) | 930 | 961 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-LDPX, Cl A3 | ||||||||
5.420%, 01/15/2049 | 834 | 851 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-LDPX, Cl A1A | ||||||||
5.439%, 01/15/2049 | 1,717 | 1,755 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-INN, Cl A | ||||||||
1.356%, 06/15/2029 (B) (D) | 1,145 | 1,118 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-C31, Cl A3 | ||||||||
3.801%, 08/15/2048 | 889 | 953 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-SGP, Cl A | ||||||||
2.136%, 07/15/2036 (B) (D) | 1,283 | 1,273 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C6, Cl AJ | ||||||||
5.452%, 09/15/2039 (D) | 462 | 453 | ||||||
LB-UBS Commercial Mortgage Trust, Ser C1, Cl AM | ||||||||
5.455%, 02/15/2040 | 395 | 401 | ||||||
LSTAR Commercial Mortgage Trust, Ser 2014-2, Cl A2 | ||||||||
2.767%, 01/20/2041 (B) | 623 | 624 |
198 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LSTAR Commercial Mortgage Trust, Ser 2015-3, Cl A2 | ||||||||
2.729%, 04/20/2048 (B) (D) | $ | 1,030 | $ | 1,050 | ||||
Merrill Lynch Mortgage Trust, Ser 2006-C2, Cl A1A | ||||||||
5.739%, 08/12/2043 (D) | 562 | 565 | ||||||
ML-CFC Commercial Mortgage Trust, Ser 2006-4, Cl A1A | ||||||||
5.166%, 12/12/2049 | 947 | 960 | ||||||
ML-CFC Commercial Mortgage Trust, Ser 2007-9, Cl A4 | ||||||||
5.700%, 09/12/2049 | 1,171 | 1,214 | ||||||
Morgan Stanley Capital I Trust, Ser 2015- XLF2, Cl SNMA | ||||||||
2.386%, 11/15/2026 (B) (D) | 270 | 269 | ||||||
Morgan Stanley Capital I Trust, Ser 2015- XLF2, Cl AFSA | ||||||||
2.286%, 08/15/2026 (B) (D) | 270 | 269 | ||||||
PFP III, Ser 2014-1, Cl A | ||||||||
1.599%, 06/14/2031 (B) (D) | 12 | 12 | ||||||
RBSSP Resecuritization Trust, Ser 2009-7, Cl 10A3 | ||||||||
6.000%, 08/26/2037 (B) | 830 | 711 | ||||||
RBSSP Resecuritization Trust, Ser 2010-9, Cl 7A6 | ||||||||
6.706%, 05/26/2037 (B) (D) | 729 | 613 | ||||||
Resource Capital, | ||||||||
1.480%, 04/15/2032 (B) (D) | 351 | 345 | ||||||
Starwood Retail Property Trust, Ser 2014, Cl A | ||||||||
1.647%, 11/15/2027 (B) (D) | 773 | 755 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
2.850%, 12/10/2045 | 596 | 610 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2014-C3, Cl A4 | ||||||||
3.091%, 08/10/2049 | 297 | 309 | ||||||
UBS-Citigroup Commercial Mortgage Trust, Ser 2011-C1, Cl E | ||||||||
5.888%, 01/10/2045 (B) (D) | 361 | 389 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2006-C26, Cl A1A | ||||||||
6.009%, 06/15/2045 (D) | 327 | 327 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2015-SG1, Cl C | ||||||||
4.471%, 12/15/2047 (D) | 794 | 770 | ||||||
Wells Fargo Credit Risk Transfer Securities Trust, Ser 2015-WF1, Cl 1M2 | ||||||||
5.683%, 11/25/2025 (B) (D) | 613 | 605 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wells Fargo Credit Risk Transfer Securities Trust, Ser 2015-WF1, Cl 2M2 | ||||||||
5.933%, 11/25/2025 (B) (D) | $ | 163 | $ | 160 | ||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2007-8, Cl 2A5 | ||||||||
5.750%, 07/25/2037 | 224 | 218 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2012-C9, Cl D | ||||||||
4.803%, 11/15/2045 (B) (D) | 517 | 489 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2013-C14, Cl A5 | ||||||||
3.337%, 06/15/2046 | 856 | 901 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2014-C20, Cl A2 | ||||||||
3.036%, 05/15/2047 | 701 | 727 | ||||||
|
| |||||||
47,507 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities (Cost $65,599) ($ Thousands) | 64,611 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 4.3% |
| |||||||
Automotive — 2.3% | ||||||||
Ally Auto Receivables Trust, Ser 2015-2, Cl A3 | ||||||||
1.490%, 11/15/2019 | 509 | 511 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2013-3, Cl A3 | ||||||||
0.920%, 04/09/2018 | 195 | 194 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2013-4, Cl A3 | ||||||||
0.960%, 04/09/2018 | 108 | 108 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2014-1, Cl A3 | ||||||||
0.900%, 02/08/2019 | 333 | 333 | ||||||
ARI Fleet Lease Trust, Ser 2014-A, Cl A2 | ||||||||
0.810%, 11/15/2022 (B) | 160 | 160 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2012-3A, Cl A | ||||||||
2.100%, 03/20/2019 (B) | 435 | 434 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2013-2A, Cl A | ||||||||
2.970%, 02/20/2020 (B) | 594 | 603 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2016-1A, Cl A | ||||||||
2.990%, 06/20/2022 (B) | 646 | 646 | ||||||
Bank of The West Auto Trust, Ser 2015-1, Cl A3 | ||||||||
1.310%, 10/15/2019 (B) | 1,025 | 1,023 | ||||||
California Republic Auto Receivables Trust, Ser 2014-2, Cl A4 | ||||||||
1.570%, 12/16/2019 | 907 | 908 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 199 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Inflation Managed Fund (Continued)
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
California Republic Auto Receivables Trust, Ser 2015-2, Cl A3 | ||||||||
1.310%, 08/15/2019 | $ | 771 | $ | 772 | ||||
Capital Auto Receivables Asset Trust, Ser 2014-1, Cl B | ||||||||
2.220%, 01/22/2019 | 200 | 200 | ||||||
CPS Auto Receivables Trust, Ser 2013-B, Cl A | ||||||||
1.820%, 09/15/2020 (B) | 321 | 317 | ||||||
CPS Auto Receivables Trust, Ser 2014-B, Cl A | ||||||||
1.110%, 11/15/2018 (B) | 242 | 240 | ||||||
Drive Auto Receivables Trust, Ser 2015-BA, Cl A2A | ||||||||
0.930%, 12/15/2017 (B) | 168 | 168 | ||||||
Drive Auto Receivables Trust, Ser 2015-CA, Cl A2A | ||||||||
1.030%, 02/15/2018 (B) | 168 | 168 | ||||||
Drive Auto Receivables Trust, Ser 2015-DA, Cl A2A | ||||||||
1.230%, 06/15/2018 (B) | 451 | 451 | ||||||
Drive Auto Receivables Trust, Ser 2016-AA, Cl A2A | ||||||||
1.500%, 03/15/2018 (B) | 152 | 152 | ||||||
Enterprise Fleet Financing, Ser 2014-1, Cl A2 | ||||||||
0.870%, 09/20/2019 (B) | 169 | 169 | ||||||
Enterprise Fleet Financing, Ser 2015-1, Cl A2 | ||||||||
1.300%, 09/20/2020 (B) | 856 | 851 | ||||||
Exeter Automobile Receivables Trust, Ser 2014-1A, Cl A | ||||||||
1.290%, 05/15/2018 (B) | 22 | 22 | ||||||
Exeter Automobile Receivables Trust, Ser 2014-2A, Cl A | ||||||||
1.060%, 08/15/2018 (B) | 62 | 62 | ||||||
Exeter Automobile Receivables Trust, Ser 2016-1A, Cl D | ||||||||
7.910%, 02/15/2023 (B) | 440 | 437 | ||||||
Flagship Credit Auto Trust, Ser 2013-1, Cl A | ||||||||
1.320%, 04/16/2018 (B) | 10 | 10 | ||||||
Ford Credit Auto Owner Trust, Ser 2012-D, Cl B | ||||||||
1.010%, 05/15/2018 | 240 | 239 | ||||||
Ford Credit Auto Owner Trust, Ser 2014-2, Cl A | ||||||||
2.310%, 04/15/2026 (B) | 816 | 827 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl A1 | ||||||||
1.200%, 02/15/2019 | 999 | 998 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2015-2, Cl A2 | ||||||||
1.001%, 01/15/2022 (D) | 954 | 942 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GM Financial Automobile Leasing Trust, Ser 2015-1, Cl A2 | ||||||||
1.100%, 12/20/2017 | $ | 684 | $ | 684 | ||||
GM Financial Automobile Leasing Trust, Ser 2015-2, Cl A3 | ||||||||
1.680%, 12/20/2018 | 1,190 | 1,192 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2014-1, Cl A3 | ||||||||
1.100%, 09/15/2019 | 420 | 419 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2015-2, Cl A3 | ||||||||
1.300%, 03/16/2020 | 1,025 | 1,023 | ||||||
Hertz Fleet Lease Funding, Ser 2013-3, Cl A | ||||||||
0.992%, 12/10/2027 (B) (D) | 561 | 560 | ||||||
Hertz Vehicle Financing II, Ser 2015-2A, Cl A | ||||||||
2.020%, 09/25/2019 (B) | 700 | 699 | ||||||
Hertz Vehicle Financing, Ser 2013-1A, Cl B2 | ||||||||
2.480%, 08/25/2019 (B) | 579 | 563 | ||||||
Hertz Vehicle Financing, Ser 2016-1A, Cl A | ||||||||
2.320%, 03/25/2020 (B) | 524 | 524 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2015-A, Cl A2 | ||||||||
1.000%, 10/16/2017 (B) | 485 | 485 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2015-B, Cl A3 | ||||||||
1.400%, 11/15/2018 (B) | 817 | 818 | ||||||
Hyundai Auto Receivables Trust, Ser 2012-B, Cl C | ||||||||
1.950%, 10/15/2018 | 175 | 176 | ||||||
Mercedes Benz Auto Lease Trust, Ser 2015-B, Cl A3 | ||||||||
1.340%, 07/16/2018 | 495 | 496 | ||||||
Nissan Auto Lease Trust, Ser 2015-A, Cl A3 | ||||||||
1.400%, 06/15/2018 | 880 | 881 | ||||||
Porsche Innovative Lease Owner Trust, Ser 2015-1, Cl A4 | ||||||||
1.430%, 05/21/2021 (B) | 1,021 | 1,022 | ||||||
Santander Drive Auto Receivables Trust, Ser 2015-3, Cl A2A | ||||||||
1.020%, 09/17/2018 | 535 | 535 | ||||||
Santander Drive Auto Receivables Trust, Ser 2015-4, Cl A2A | ||||||||
1.200%, 12/17/2018 | 388 | 387 | ||||||
TCF Auto Receivables Owner Trust, Ser 2015-1A, Cl A2 | ||||||||
1.020%, 08/15/2018 (B) | 750 | 750 | ||||||
Westlake Automobile Receivables Trust, Ser 2015-3A, Cl A2A | ||||||||
1.420%, 05/17/2021 (B) | 442 | 441 | ||||||
|
| |||||||
23,600 | ||||||||
|
|
200 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Cards — 1.0% | ||||||||
Barclays Dryrock Issuance Trust, Ser 2014-3, Cl A | ||||||||
2.410%, 07/15/2022 | $ | 570 | $ | 584 | ||||
Barclays Dryrock Issuance Trust, Ser 2015-1, Cl A | ||||||||
2.240%, 12/15/2022 | 989 | 999 | ||||||
Barclays Dryrock Issuance Trust, Ser 2015-2, Cl A | ||||||||
1.560%, 03/15/2021 | 1,123 | 1,129 | ||||||
Cabela’s Credit Card Master Note Trust, Ser 2014-1, Cl A | ||||||||
0.786%, 03/16/2020 (D) | 500 | 499 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2015-A5, Cl A5 | ||||||||
1.600%, 05/17/2021 | 1,045 | 1,051 | ||||||
Discover Card Execution Note Trust, Ser 2015-A1, Cl A1 | ||||||||
0.777%, 08/17/2020 (D) | 750 | 750 | ||||||
Discover Card Execution Note Trust, Ser 2015-A2, Cl A | ||||||||
1.900%, 10/17/2022 | 1,020 | 1,027 | ||||||
First National Master Note Trust, Ser 2013-2, Cl A | ||||||||
0.961%, 10/15/2019 (D) | 794 | 794 | ||||||
Synchrony Credit Card Master Note Trust, Ser 2012-2, Cl A | ||||||||
2.220%, 01/15/2022 | 1,389 | 1,406 | ||||||
Synchrony Credit Card Master Note Trust, Ser 2016-1, Cl A | ||||||||
2.040%, 03/15/2022 | 401 | 404 | ||||||
World Financial Network Credit Card | ||||||||
Master Trust, Ser 2012-B, Cl A | ||||||||
1.760%, 05/17/2021 | 380 | 381 | ||||||
World Financial Network Credit Card | ||||||||
Master Trust, Ser 2013-A, Cl A | ||||||||
1.610%, 12/15/2021 | 385 | 385 | ||||||
World Financial Network Credit Card | ||||||||
Master Trust, Ser 2015-A, Cl A | ||||||||
0.916%, 02/15/2022 (D) | 571 | 570 | ||||||
|
| |||||||
9,979 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 1.0% |
| |||||||
Ally Master Owner Trust, Ser 2014-1, Cl A2 | ||||||||
1.290%, 01/15/2019 | 1,405 | 1,403 | ||||||
Ally Master Owner Trust, Ser 2015-3, Cl A | ||||||||
1.630%, 05/15/2020 | 1,079 | 1,077 | ||||||
BMW Floorplan Master Owner Trust, Ser 2015-1A, Cl A | ||||||||
0.931%, 07/15/2020 (B) (D) | 1,565 | 1,562 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
CIT Equipment Collateral, Ser 2014-VT1, Cl A2 | ||||||||||||
0.860%, 05/22/2017 (B) | 529 | $ | 529 | |||||||||
Citi Held For Asset Issuance, Ser 2016-PM1, Cl A | ||||||||||||
4.650%, 04/15/2025 (B) | 703 | 700 | ||||||||||
CNH Equipment Trust, Ser 2015-A, Cl A4 | ||||||||||||
1.850%, 04/15/2021 | 673 | 679 | ||||||||||
Dell Equipment Finance Trust, Ser 2015-1, Cl A3 | ||||||||||||
1.300%, 03/23/2020 (B) | 333 | 333 | ||||||||||
Dell Equipment Finance Trust, Ser 2015-2, Cl A2A | ||||||||||||
1.420%, 12/22/2017 (B) | 455 | 454 | ||||||||||
GE Dealer Floorplan Master Note Trust, Ser 2014-1, Cl A | ||||||||||||
0.812%, 07/20/2019 (D) | 579 | 576 | ||||||||||
GE Dealer Floorplan Master Note Trust, Ser 2015-1, Cl A | ||||||||||||
0.932%, 01/20/2020 (D) | 856 | 853 | ||||||||||
GMF Floorplan Owner Revolving Trust, Ser 2015-1, Cl A1 | ||||||||||||
1.650%, 05/15/2020 (B) | 496 | 496 | ||||||||||
Navistar Financial Dealer Note Master Trust, Ser 2014-1, Cl A | ||||||||||||
1.183%, 10/25/2019 (B) (D) | 768 | 765 | ||||||||||
Volkswagen Credit Auto Master Trust, Ser 2014-1A, Cl A1 | ||||||||||||
0.782%, 07/22/2019 (B) (D) | 500 | 494 | ||||||||||
Volvo Financial Equipment, Ser 2015-1A, Cl A3 | ||||||||||||
1.510%, 06/17/2019 (B) | 986 | 986 | ||||||||||
|
| |||||||||||
10,907 | ||||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 44,486 | |||||||||||
|
| |||||||||||
SOVEREIGN DEBT — 0.4% |
| |||||||||||
Brazil Notas do Tesouro Nacional, Ser F | ||||||||||||
10.000%, 01/01/2017 | BRL | 6,145 | 1,690 | |||||||||
10.000%, 01/01/2027 | BRL | 9,305 | 2,104 | |||||||||
Mexico Government International Bond MTN | ||||||||||||
5.950%, 03/19/2019 | 164 | 183 | ||||||||||
|
| |||||||||||
Total Sovereign Debt | 3,977 | |||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 201 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Inflation Managed Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
PREFERRED STOCK — 0.0% |
| |||||||
Financials — 0.0% | ||||||||
Allstate, 5.100% (D) | 2,250 | $ | 59 | |||||
|
| |||||||
Total Preferred Stock | 59 | |||||||
|
| |||||||
Total Investments — 116.4% |
| $ | 1,210,202 | |||||
|
| |||||||
COMMON STOCK SOLD SHORT— (14.0)% |
| |||||||
Consumer Discretionary — (6.6)% |
| |||||||
1-800-Flowers.com, Cl A* | (48,500 | ) | (382 | ) | ||||
2U* | (24,100 | ) | (545 | ) | ||||
America’s Car-Mart* | (20,500 | ) | (512 | ) | ||||
Arctic Cat | (72,300 | ) | (1,215 | ) | ||||
Ascent Capital Group, Cl A* | (8,500 | ) | (126 | ) | ||||
Beazer Homes USA, Cl A* | (248,900 | ) | (2,170 | ) | ||||
Belmond, Cl A* | (24,800 | ) | (235 | ) | ||||
Boot Barn Holdings* | (9,100 | ) | (86 | ) | ||||
BorgWarner | (108,300 | ) | (4,159 | ) | ||||
Brinker International | (39,900 | ) | (1,833 | ) | ||||
Buffalo Wild Wings* | (14,600 | ) | (2,163 | ) | ||||
Cabela’s* | (50,000 | ) | (2,434 | ) | ||||
Career Education* | (22,800 | ) | (103 | ) | ||||
CarMax* | (113,000 | ) | (5,774 | ) | ||||
Carmike Cinemas* | (2,100 | ) | (63 | ) | ||||
Cherokee* | (7,100 | ) | (126 | ) | ||||
Chipotle Mexican Grill, Cl A* | (2,787 | ) | (1,313 | ) | ||||
Choice Hotels International | (14,200 | ) | (767 | ) | ||||
Christopher & Banks* | (47,577 | ) | (114 | ) | ||||
ClubCorp Holdings | (17,200 | ) | (241 | ) | ||||
Del Frisco’s Restaurant Group* | (48,800 | ) | (809 | ) | ||||
Delphi Automotive | (4,500 | ) | (338 | ) | ||||
Destination XL Group* | (19,700 | ) | (102 | ) | ||||
Dollar Tree* | (700 | ) | (58 | ) | ||||
DSW, Cl A | (39,900 | ) | (1,103 | ) | ||||
EW Scripps, Cl A | (21,900 | ) | (341 | ) | ||||
Fiesta Restaurant Group* | (41,800 | ) | (1,370 | ) | ||||
Fox Factory Holding* | (26,600 | ) | (421 | ) | ||||
Fred’s, Cl A | (10,600 | ) | (158 | ) | ||||
FTD* | (8,800 | ) | (231 | ) | ||||
Gentherm* | (17,200 | ) | (715 | ) | ||||
Global Eagle Entertainment* | (10,300 | ) | (88 | ) | ||||
Grand Canyon Education* | (10,100 | ) | (432 | ) | ||||
Harley-Davidson, Cl A | (135,900 | ) | (6,976 | ) | ||||
Harte-Hanks | (14,900 | ) | (38 | ) | ||||
HSN, Cl A | (11,700 | ) | (612 | ) | ||||
Jarden* | (18,100 | ) | (1,067 | ) | ||||
Kate Spade* | (102,000 | ) | (2,603 | ) | ||||
Kona Grill* | (47,600 | ) | (616 | ) | ||||
La Quinta Holdings* | (17,400 | ) | (217 | ) | ||||
Liberty Tax | (4,200 | ) | (82 | ) | ||||
Liberty Ventures, Ser A* | (26,700 | ) | (1,044 | ) | ||||
Lions Gate Entertainment | (14,700 | ) | (321 | ) |
Description | Shares | Market Value ($ Thousands) | ||||||
Malibu Boats, Cl A* | (22,000 | ) | $ | (361 | ) | |||
MarineMax* | (5,600 | ) | (109 | ) | ||||
Matthews International, Cl A | (2,400 | ) | (124 | ) | ||||
Media General* | (109,300 | ) | (1,783 | ) | ||||
MGM Mirage* | (26,000 | ) | (557 | ) | ||||
Monro Muffler | (10,000 | ) | (715 | ) | ||||
Motorcar Parts & Accesories* | (12,600 | ) | (479 | ) | ||||
NetFlix* | (33,100 | ) | (3,384 | ) | ||||
New Home* | (21,600 | ) | (265 | ) | ||||
New Media Investment Group | (23,200 | ) | (386 | ) | ||||
Service International | (23,200 | ) | (573 | ) | ||||
Signet Jewelers | (3,100 | ) | (384 | ) | ||||
Sotheby’s | (41,000 | ) | (1,096 | ) | ||||
Spartan Motors | (18,900 | ) | (75 | ) | ||||
Starz - Liberty Capital* | (35,400 | ) | (932 | ) | ||||
Stoneridge* | (12,200 | ) | (178 | ) | ||||
Taylor Morrison Home, Cl A* | (45,900 | ) | (648 | ) | ||||
Thor Industries | (2,400 | ) | (153 | ) | ||||
TripAdvisor* | (53,300 | ) | (3,544 | ) | ||||
Tuesday Morning* | (70,300 | ) | (575 | ) | ||||
Under Armour, Cl A* | (77,900 | ) | (6,608 | ) | ||||
Universal Technical Institute | (9,690 | ) | (42 | ) | ||||
VF | (16,500 | ) | (1,069 | ) | ||||
William Lyon Homes, Cl A* | (51,200 | ) | (742 | ) | ||||
Winnebago Industries | (2,400 | ) | (54 | ) | ||||
|
| |||||||
(68,939 | ) | |||||||
|
| |||||||
Financials — (1.0)% | ||||||||
Citizens & Northern | (1,800 | ) | (36 | ) | ||||
CoBiz Financial | (4,400 | ) | (52 | ) | ||||
Enova International* | (8,000 | ) | (51 | ) | ||||
Genworth Financial, Cl A* | (579,200 | ) | (1,581 | ) | ||||
Horizon Bancorp | (2,500 | ) | (62 | ) | ||||
M&T Bank | (8,595 | ) | (954 | ) | ||||
Moody’s | (37,700 | ) | (3,640 | ) | ||||
Principal Financial Group, Cl A | (16,600 | ) | (655 | ) | ||||
Santander Consumer USA Holdings* | (99,800 | ) | (1,047 | ) | ||||
TFS Financial | (96,500 | ) | (1,676 | ) | ||||
|
| |||||||
(9,754 | ) | |||||||
|
| |||||||
Industrials — (1.4)% | ||||||||
Ameresco, Cl A* | (11,600 | ) | (55 | ) | ||||
American Science & Engineering, Cl A | (2,600 | ) | (72 | ) | ||||
Builders FirstSource* | (84,500 | ) | (952 | ) | ||||
CECO Environmental | (8,900 | ) | (55 | ) | ||||
Celadon Group | (3,900 | ) | (41 | ) | ||||
Donaldson, Cl A | (4,500 | ) | (144 | ) | ||||
Forward Air | (2,700 | ) | (122 | ) | ||||
H&E Equipment Services | (13,200 | ) | (231 | ) | ||||
IHS, Cl A* | (15,100 | ) | (1,875 | ) | ||||
KBR | (152,000 | ) | (2,353 | ) | ||||
Kirby* | (17,000 | ) | (1,025 | ) |
202 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Description | Shares | Market Value ($ Thousands) | ||||||
Knight Transportation | (91,500 | ) | $ | (2,393 | ) | |||
Kratos Defense & Security Solutions* | (28,300 | ) | (140 | ) | ||||
LMI Aerospace* | (5,200 | ) | (44 | ) | ||||
Primoris Services | (21,400 | ) | (520 | ) | ||||
Raven Industries | (39,700 | ) | (636 | ) | ||||
RBC Bearings* | (4,300 | ) | (315 | ) | ||||
Rush Enterprises, Cl A* | (49,000 | ) | (894 | ) | ||||
Sensata Technologies Holding* | (2,600 | ) | (101 | ) | ||||
Sparton* | (4,900 | ) | (88 | ) | ||||
SPX | (97,000 | ) | (1,457 | ) | ||||
Team* | (1,900 | ) | (58 | ) | ||||
Univar* | (18,600 | ) | (320 | ) | ||||
Wesco Aircraft Holdings* | (46,000 | ) | (662 | ) | ||||
Woodward | (7,400 | ) | (385 | ) | ||||
|
| |||||||
(14,938 | ) | |||||||
|
| |||||||
Information Technology — (2.8)% |
| |||||||
Apple | (13,800 | ) | (1,504 | ) | ||||
Applied Micro Circuits* | (158,200 | ) | (1,022 | ) | ||||
Applied Optoelectronics* | (8,100 | ) | (121 | ) | ||||
Atmel | (80,100 | ) | (651 | ) | ||||
Avid Technology* | (30,800 | ) | (208 | ) | ||||
Broadcom | (6,300 | ) | (973 | ) | ||||
Calix* | (17,400 | ) | (123 | ) | ||||
Cavium* | (7,900 | ) | (483 | ) | ||||
Cognex | (47,600 | ) | (1,854 | ) | ||||
CommScope Holding* | (49,000 | ) | (1,368 | ) | ||||
CUI Global* | (13,300 | ) | (108 | ) | ||||
Cypress Semiconductor | (671,600 | ) | (5,816 | ) | ||||
Daktronics | (15,800 | ) | (125 | ) | ||||
Exar* | (59,700 | ) | (343 | ) | ||||
FARO Technologies* | (25,500 | ) | (821 | ) | ||||
Lattice Semiconductor* | (462,200 | ) | (2,625 | ) | ||||
M/A-COM Technology Solutions* | (12,800 | ) | (561 | ) | ||||
PDF Solutions* | (3,900 | ) | (52 | ) | ||||
Power Integrations | (27,300 | ) | (1,356 | ) | ||||
Radisys* | (26,800 | ) | (106 | ) | ||||
Ruckus Wireless* | (79,700 | ) | (782 | ) | ||||
SanDisk | (28,000 | ) | (2,130 | ) | ||||
Semtech* | (72,500 | ) | (1,594 | ) | ||||
Silicon Graphics International* | (69,000 | ) | (491 | ) | ||||
Sonus Networks* | (91,800 | ) | (691 | ) | ||||
Synaptics* | (1,800 | ) | (144 | ) | ||||
Ultratech* | (15,600 | ) | (341 | ) | ||||
Veeco Instruments* | (8,200 | ) | (160 | ) | ||||
Viasat* | (1,500 | ) | (110 | ) | ||||
Zebra Technologies, Cl A* | (26,800 | ) | (1,849 | ) | ||||
|
| |||||||
(28,512 | ) | |||||||
|
| |||||||
Materials — (2.2)% | ||||||||
Albemarle | (12,800 | ) | (818 | ) | ||||
Allegheny Technologies | (85,000 | ) | (1,385 | ) |
Description | Shares | Market Value ($ Thousands) | ||||||
American Vanguard, Cl B | (31,100 | ) | $ | (491 | ) | |||
Axiall | (25,800 | ) | (563 | ) | ||||
CF Industries Holdings | (9,000 | ) | (282 | ) | ||||
Chemours | (41,500 | ) | (291 | ) | ||||
Compass Minerals International, Cl A | (26,800 | ) | (1,899 | ) | ||||
Deltic Timber | (2,500 | ) | (150 | ) | ||||
Eagle Materials | (59,900 | ) | (4,200 | ) | ||||
FMC | (91,000 | ) | (3,674 | ) | ||||
Freeport-McMoRan, Cl B | (568,600 | ) | (5,879 | ) | ||||
International Flavors & Fragrances | (8,300 | ) | (944 | ) | ||||
TimkenSteel | (118,600 | ) | (1,079 | ) | ||||
WestRock | (12,700 | ) | (496 | ) | ||||
WR Grace* | (13,200 | ) | (940 | ) | ||||
|
| |||||||
(23,091 | ) | |||||||
|
| |||||||
Total Common Stock Sold Short |
| $ | (145,234 | ) | ||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Canadian 10-Year Bond | 49 | Jun-2016 | $ | (30 | ) | |||||||
Euro-Bobl | (125 | ) | Jun-2016 | 61 | ||||||||
MSCI EAFE Index E-MINI | (185 | ) | Jun-2016 | (132 | ) | |||||||
S&P 500 Index E-MINI | (158 | ) | Jun-2016 | (359 | ) | |||||||
U.S. 10-Year Treasury Note | (181 | ) | Jun-2016 | 4 | ||||||||
U.S. 5-Year Treasury Note | (42 | ) | Jun-2016 | (5 | ) | |||||||
Brent Crude Penultimate** | 385 | Jun-2016 | (301 | ) | ||||||||
Coffee Robusta** | 336 | Jul-2016 | 81 | |||||||||
Copper** | 137 | May-2016 | 154 | |||||||||
Corn** | 51 | Sep-2016 | (14 | ) | ||||||||
Corn** | 800 | May-2016 | (581 | ) | ||||||||
Corn** | 77 | Dec-2016 | (71 | ) | ||||||||
Cotton No. 2** | (166 | ) | Dec-2016 | (155 | ) | |||||||
Cotton No. 2** | 157 | May-2016 | 142 | |||||||||
Cotton No. 2** | 269 | Jul-2016 | 253 | |||||||||
Crude Oil** | 246 | Jun-2016 | (52 | ) | ||||||||
Crude Oil** | (212 | ) | May-2016 | (889 | ) | |||||||
Crude Oil** | 315 | Apr-2016 | 1,657 | |||||||||
Crude Oil** | 41 | Nov-2017 | 152 | |||||||||
Crude Oil** | (93 | ) | Nov-2016 | 18 | ||||||||
Feeder Cattle** | (89 | ) | May-2016 | 44 | ||||||||
Gasoline** | 99 | Apr-2016 | 1,044 | |||||||||
Gold** | (46 | ) | Aug-2016 | (7 | ) | |||||||
Gold** | 232 | Jun-2016 | (597 | ) | ||||||||
Heating Oil** | 115 | Jul-2016 | (137 | ) | ||||||||
ICE Brent Crude** | 26 | Oct-2017 | 235 | |||||||||
Lean Hogs** | 111 | Jun-2016 | (81 | ) | ||||||||
Lean Hogs** | 128 | Oct-2016 | 165 | |||||||||
Live Cattle** | 62 | Jul-2016 | (9 | ) | ||||||||
LME Nickel** | 125 | May-2016 | 210 | |||||||||
LME Nickel** | 39 | Jul-2016 | 6 | |||||||||
LME Nickel** | (39 | ) | Dec-2016 | (8 | ) | |||||||
LME Zinc** | 188 | May-2016 | 230 | |||||||||
LME Zinc** | 44 | Jul-2016 | 14 | |||||||||
LME Zinc** | (44 | ) | Dec-2016 | (17 | ) | |||||||
Natural Gas Swap Future** | 684 | May-2016 | (1,812 | ) | ||||||||
NYMEX Coffee** | (101 | ) | Jul-2016 | 132 | ||||||||
NYMEX Coffee** | 93 | May-2016 | 333 | |||||||||
PRI LME Aluminum** | 24 | May-2016 | 23 | |||||||||
RBOB Gasoline** | 138 | May-2016 | 877 | |||||||||
Silver** | 41 | Jul-2016 | 30 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 203 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Inflation Managed Fund (Continued)
March 31, 2016
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Silver** | 75 | Sep-2016 | $ | 245 | ||||||||
Silver** | 114 | May-2016 | (24 | ) | ||||||||
Soybean** | 192 | May-2016 | 395 | |||||||||
Soybean** | 43 | Nov-2016 | 43 | |||||||||
Soybean** | 26 | Jul-2016 | 30 | |||||||||
Soybean Meal** | 4 | May-2016 | 3 | |||||||||
Soybean Oil** | 602 | May-2016 | 985 | |||||||||
Sugar No. 11** | 104 | Jul-2016 | 271 | |||||||||
Sugar No. 11** | (212 | ) | Sep-2016 | 30 | ||||||||
Sugar No. 11** | 338 | May-2017 | 275 | |||||||||
Wheat** | 174 | May-2016 | 97 | |||||||||
Wheat** | 274 | May-2016 | 79 | |||||||||
|
| |||||||||||
$ | 3,037 | |||||||||||
|
|
For the period ended March 31, 2016, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
A list of the open forward foreign currency contracts held by the Fund at March 31, 2016, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
02/16/16-05/13/16 | EUR | 6,280 | USD | 6,900 | $ | (265 | ) | |||||||||||||
04/04/16 | USD | 1,215 | BRL | 4,843 | 150 | |||||||||||||||
04/04/16-05/03/21 | BRL | 26,123 | USD | 6,740 | (473 | ) | ||||||||||||||
04/06/16 | USD | 3,674 | NOK | 31,746 | 164 | |||||||||||||||
04/06/16 | SEK | 31,626 | USD | 3,852 | (50 | ) |
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
04/06/16 | NOK | 31,739 | SEK | 31,602 | $ | 62 | ||||||||||||||
04/08/16 | USD | 162 | CAD | 222 | 10 | |||||||||||||||
04/08/16 | CAD | 3,582 | USD | 2,671 | (99 | ) | ||||||||||||||
04/08/16 | SGD | 5,680 | USD | 4,023 | (195 | ) | ||||||||||||||
04/14/16 | USD | 1,866 | MXP | 33,978 | 114 | |||||||||||||||
04/20/16 | JPY | 350,211 | USD | 3,113 | (6 | ) | ||||||||||||||
05/12/16 | GBP | 2,356 | USD | 3,370 | (16 | ) | ||||||||||||||
05/13/16 | USD | 4,063 | EUR | 3,598 | 42 | |||||||||||||||
05/20/16 | TWD | 128,002 | USD | 3,920 | (70 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (632 | ) | ||||||||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2016, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
BNP Paribas | $ | (3,674 | ) | $ | 3,838 | $ | 164 | |||||
Brown Brothers Harriman | (3,064 | ) | 2,919 | (145 | ) | |||||||
Charter One | (4,218 | ) | 4,023 | (195 | ) | |||||||
Goldman Sachs | (2,083 | ) | 2,223 | 140 | ||||||||
JPMorgan Chase Bank | (5,812 | ) | 5,731 | (81 | ) | |||||||
Morgan Stanley | (31,729 | ) | 31,214 | (515 | ) | |||||||
|
| |||||||||||
$ | (632 | ) | ||||||||||
|
|
For the period ended March 31, 2016 the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
A list of open OTC swap agreements held by the Fund at March 31, 2016, is as follows:
Interest Rate Swaps | ||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Depreciation ($ Thousands) | |||||||
JPMorgan Chase Bank | 2.83% | 3 Month USD - LIBOR | 04/12/42 | $2,790 | $ | (465 | ) | |||||
|
|
Credit Default Swaps | ||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Appreciation ($ Thousands) | ||||||||||
Bank of America | Societe Generale | SELL | 3.00% | 12/20/17 | $ | (550 | ) | $ | 15 | |||||||
Citibank | Advanced Micro Devices Inc | BUY | 5.00% | 03/20/19 | 416 | 29 | ||||||||||
Citibank | Sprint Communications Inc | BUY | 5.00% | 06/20/19 | 692 | 122 | ||||||||||
Citibank | Sprint Communications Inc | BUY | 5.00% | 06/20/19 | 793 | 141 | ||||||||||
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 | ) | 1 | |||||||||
Credit Suisse | Kohl’s Corporation | SELL | 1.00% | 06/20/19 | (53 | ) | 1 | |||||||||
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 | ) | — | |||||||||
|
| |||||||||||||||
$ | 311 | |||||||||||||||
|
|
A list of open centrally cleared swap agreements held by the Fund at March 31, 2016, is 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 | $ | (209 | ) | ||||||||
Morgan Stanley | 2.63% | 3-Month USD - LIBOR | 11/10/35 | 2,970 | (320 | ) | ||||||||||
Morgan Stanley | 3-Month USD - LIBOR | 3.31% | 05/06/34 | 1,510 | 329 | |||||||||||
Morgan Stanley | 2.29% | 3-Month USD - LIBOR | 08/04/25 | 5,780 | (362 | ) | ||||||||||
Morgan Stanley | 6-Month AUD - BBR | 3.38% | 06/09/25 | AUD | 3,130 | 170 | ||||||||||
Morgan Stanley | 2.49% | 3-Month USD - LIBOR | 06/09/25 | 1,710 | (145 | ) | ||||||||||
Morgan Stanley | 3-Month NZD - BKBM | 4.07% | 06/09/25 | NZD | 5,270 | 380 | ||||||||||
Morgan Stanley | 3-Month USD - LIBOR | 2.31% | 05/18/25 | 2,820 | (196 | ) | ||||||||||
Morgan Stanley | FLOATING | 3-Month USD - LIBOR | 04/21/25 | 2,760 | (115 | ) |
204 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Interest Rate Swaps | ||||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Currency | Notional Amount (Thousands) (1) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||
Morgan Stanley | 6-Month AUD - BBR | 2.97% | 03/11/25 | AUD | 4,780 | $ | 123 | |||||||||
Morgan Stanley | 3-Month USD - LIBOR | 2.69% | 09/24/24 | 3,090 | 288 | |||||||||||
Morgan Stanley | 3-Month USD - LIBOR | 2.67% | 07/18/24 | 2,060 | 194 | |||||||||||
Morgan Stanley | 2.67% | 3-Month USD - LIBOR | 07/10/24 | 2,570 | (245 | ) | ||||||||||
Morgan Stanley | 2.63% | 3-Month USD - LIBOR | 07/02/24 | 4,100 | (378 | ) | ||||||||||
Morgan Stanley | 3-Month USD - LIBOR | 2.63% | 05/29/24 | 1,990 | 189 | |||||||||||
Morgan Stanley | 2.63% | 3-Month USD - LIBOR | 05/23/24 | 3,980 | (379 | ) | ||||||||||
Morgan Stanley | 2.82% | 3-Month USD - LIBOR | 04/28/24 | 3,520 | (394 | ) | ||||||||||
Morgan Stanley | 2.89% | 3-Month USD - LIBOR | 02/14/24 | 2,310 | (250 | ) | ||||||||||
Morgan Stanley | 2.98% | 3-Month USD - LIBOR | 01/14/24 | 2,630 | (307 | ) | ||||||||||
Morgan Stanley | 2.24% | 3-Month USD - LIBOR | 06/25/21 | 2,100 | (122 | ) | ||||||||||
Morgan Stanley | 1.69% | 3-Month USD - LIBOR | 08/06/20 | 10,830 | (281 | ) | ||||||||||
Morgan Stanley | 6-Month GBP - LIBOR | 1.65% | 06/05/20 | GBP | 8,350 | 389 | ||||||||||
Morgan Stanley | 3 Month USD - LIBOR | 1.57% | 04/01/20 | 10,270 | (199 | ) | ||||||||||
Morgan Stanley | 3-Month USD - LIBOR | 1.75% | 10/31/19 | 4,860 | 154 | |||||||||||
Morgan Stanley | 3-Month USD - LIBOR | 1.70% | 07/02/19 | 1,900 | 49 | |||||||||||
Morgan Stanley | 1.92% | 3-Month AUD - BBR | 10/30/17 | AUD | 21,790 | 62 | ||||||||||
Morgan Stanley | 2.22% | 3-Month AUD - BBR | 06/09/17 | AUD | 28,860 | (14 | ) | |||||||||
Morgan Stanley | 3.37% | 3-Month NZD - BKBM | 06/09/17 | NZD | 45,220 | (702 | ) | |||||||||
Morgan Stanley | 1.05% | 3-Month CAD - CDOR | 06/05/17 | CAD | 22,950 | (49 | ) | |||||||||
Morgan Stanley | 3-Month USD -LIBOR | 0.81% | 05/18/17 | 18,010 | (52 | ) | ||||||||||
Morgan Stanley | 2.14% | 3-Month AUD - BBR | 03/11/17 | AUD | 31,390 | 14 | ||||||||||
Morgan Stanley | 0.97% | 3-Month CAD - CDOR | 03/10/17 | CAD | 23,700 | (17 | ) | |||||||||
Morgan Stanley | 0.54% | 3-Month USD - LIBOR | 05/06/16 | 56,710 | (66 | ) | ||||||||||
|
| |||||||||||||||
$ | (2,461 | ) | ||||||||||||||
|
|
For the period ended March 31, 2016, the total amount of all open swap agreements, as presented in the tables above, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
Percentages | are based on a Net Assets of $1,040,296 ($ Thousands). |
(1) | In U.S. Dollars unless otherwise indicated. |
* | Non-income producing security. |
** | Future is held by Inflation Commodity Strategy Subsidiary, Ltd. as of March 31, 2016. |
‡ | Real Estate Investment Trust. |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” |
(B) | Security is in default on interest payment. |
(C) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2016. |
(D) | Step Bonds – The rate reflected on the Schedule of Investments is the effective yield on March 31, 2016. 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 March 31, 2016. |
(F) | Security or portion thereof, has been pledged as collateral on reverse repurchase agreements. |
(G) | The rate reported is the effective yield at the time of purchase. |
AUD — Australian Dollar
BBR — Australian Bank Bill Rate
BRL — Brazilian Real
CAD — Canadian Dollar
CDOR — Canadian Dollar Offered Rate
Cl — Class
CMBS — Commercial Mortgage-Backed Securities
EAFE — Europe, Australasia and Far East
EUR — Euro
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GBP — British Pound
HKD — Hong Kong Dollar
JPY — Japanese Yen
L.P. — Limited Partnership
LIBOR — London Interbank Offered Rate
LME — London Metal Exchange
MSCI — Morgan Stanley Capital International
MTN — Medium Term Note
MXP — Mexican Peso
NOK — Norwegian Krone
NYMEX — New York Mercantile Exchange
NZD — New Zealand Dollar
OTC — Over the Counter
PLC — Public Limited Company
RBOB — Reformulated Blendstock for Oxygenate Blending
S&P — Standard & Poor’s
SEK — Swedish Krona
Ser — Series
SGD — Singapore Dollar
TWD — Taiwanese Dollar
USD — U.S. Dollar
ZAR — South African Rand
The following is a list of the level of inputs used as of March 31, 2016 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 710,563 | $ | — | $ | 710,563 | ||||||||
Common Stock | 291,007 | — | — | 291,007 | ||||||||||||
Corporate Obligations | — | 95,499 | — | 95,499 | ||||||||||||
Mortgage-Backed Securities | — | 64,611 | — | 64,611 | ||||||||||||
Asset-Backed Securities | — | 44,486 | — | 44,486 | ||||||||||||
Sovereign Debt | — | 3,977 | — | 3,977 | ||||||||||||
Preferred Stock | — | 59 | — | 59 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 291,007 | $ | 919,195 | $ | — | $ | 1,210,202 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Securities Sold Short | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | (145,234 | ) | $ | — | $ | — | $ | (145,234 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Securities Sold Short | $ | (145,234 | ) | $ | — | $ | — | $ | (145,234 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 205 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Inflation Managed Fund (Concluded)
March 31, 2016
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 8,318 | $ | — | $ | — | $ | 8,318 | ||||||||
Unrealized Depreciation | (5,281 | ) | — | — | (5,281 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 542 | — | 542 | ||||||||||||
Unrealized Depreciation | — | (1,174 | ) | — | (1,174 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Depreciation | — | (465 | ) | — | (465 | ) | ||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Appreciation | — | 311 | — | 311 | ||||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Appreciation | — | 2,341 | — | 2,341 | ||||||||||||
Unrealized Depreciation | — | (4,802 | ) | — | (4,802 | ) | ||||||||||
Reverse Repurchase Agreements** | — | (222,537 | ) | — | (222,537 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 3,037 | $ | (225,784 | ) | $ | — | $ | (222,747 | ) | ||||||
|
|
|
|
|
|
|
|
* | 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 period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
206 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Capital Stability Fund
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 16.7% |
| |||||||
U.S. Treasury Inflation Protected Securities |
| |||||||
3.875%, 04/15/2029 | $ | 1,561 | $ | 2,234 | ||||
3.625%, 04/15/2028 | 1,283 | 1,766 | ||||||
3.375%, 04/15/2032 | 673 | 974 | ||||||
2.625%, 07/15/2017 | 1,422 | 1,497 | ||||||
2.500%, 01/15/2029 | 1,895 | 2,380 | ||||||
2.375%, 01/15/2025 | 2,595 | 3,090 | ||||||
2.375%, 01/15/2027 | 1,726 | 2,108 | ||||||
2.125%, 01/15/2019 | 1,377 | 1,487 | ||||||
2.125%, 02/15/2040 | 913 | 1,167 | ||||||
2.125%, 02/15/2041 | 1,157 | 1,489 | ||||||
2.000%, 01/15/2026 | 2,526 | 2,958 | ||||||
1.875%, 07/15/2019 | 1,565 | 1,702 | ||||||
1.750%, 01/15/2028 | 1,919 | 2,225 | ||||||
1.625%, 01/15/2018 | 1,534 | 1,604 | ||||||
1.375%, 07/15/2018 | 1,480 | 1,561 | ||||||
1.375%, 01/15/2020 | 1,899 | 2,033 | ||||||
1.375%, 02/15/2044 | 2,276 | 2,548 | ||||||
1.250%, 07/15/2020 | 2,917 | 3,136 | ||||||
1.125%, 01/15/2021 | 4,232 | 4,522 | ||||||
1.000%, 02/15/2046 | 764 | 797 | ||||||
0.750%, 02/15/2042 | 2,033 | 1,973 | ||||||
0.750%, 02/15/2045 | 2,430 | 2,351 | ||||||
0.625%, 07/15/2021 | 3,543 | 3,719 | ||||||
0.625%, 01/15/2024 | 4,009 | 4,175 | ||||||
0.625%, 01/15/2026 | 1,905 | 1,997 | ||||||
0.625%, 02/15/2043 | 1,502 | 1,410 | ||||||
0.375%, 07/15/2023 | 4,019 | 4,139 | ||||||
0.375%, 07/15/2025 | 3,947 | 4,033 | ||||||
0.250%, 01/15/2025 | 5,397 | 5,443 | ||||||
0.125%, 04/15/2017 | 4,703 | 4,756 | ||||||
0.125%, 04/15/2018 | 5,795 | 5,897 | ||||||
0.125%, 04/15/2019 | 5,114 | 5,225 | ||||||
0.125%, 04/15/2020 | 6,170 | 6,299 | ||||||
0.125%, 01/15/2022 | 4,922 | 4,994 | ||||||
0.125%, 07/15/2022 | 4,033 | 4,103 | ||||||
0.125%, 01/15/2023 | 5,124 | 5,166 | ||||||
0.125%, 07/15/2024 | 4,999 | 5,016 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 111,974 | |||||||
|
|
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 4.4% |
| |||||||
FHLMC | ||||||||
1.375%, 05/01/2020 | $ | 15,530 | $ | 15,652 | ||||
FNMA | ||||||||
5.000%, 05/11/2017 | 13,370 | 14,007 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations | 29,659 | |||||||
|
| |||||||
CORPORATE OBLIGATION — 1.2% |
| |||||||
United Kingdom — 1.2% | ||||||||
Royal Bank of Scotland Group PLC | ||||||||
7.640%, 09/29/2017 (A) | 8,100 | 7,867 | ||||||
|
| |||||||
Total Corporate Obligation | 7,867 | |||||||
|
| |||||||
PREFERRED STOCK — 0.8% |
| |||||||
United States — 0.8% | ||||||||
Apartment Investment & Management‡ | 51,000 | 1,394 | ||||||
Hersha Hospitality Trust‡ | 49,075 | 1,336 | ||||||
Pebblebrook Hotel Trust‡ | 54,050 | 1,390 | ||||||
Sabra Health Care‡ | 43,875 | 1,123 | ||||||
|
| |||||||
Total Preferred Stock | 5,243 | |||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.3% |
| |||||||
United States — 0.3% |
| |||||||
iShares Core MSCI Emerging Markets ETF | 37,260 | 1,551 | ||||||
|
| |||||||
Total Exchange Traded Fund | 1,551 | |||||||
|
| |||||||
FOREIGN COMMON STOCK — 0.1% |
| |||||||
Brazil — 0.1% | ||||||||
Petroleo Brasileiro ADR, Cl A* | 53,760 | 314 | ||||||
|
| |||||||
China — 0.0% | ||||||||
China Merchants Shekou Industrial Zone, Cl A* | 119,253 | 278 | ||||||
|
| |||||||
Total Foreign Common Stock | 592 | |||||||
|
| |||||||
Total Investments — 23.5% | $ | 156,886 | ||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 207 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Capital Stability Fund (Continued)
March 31, 2016
Description | Contracts | Market Value ($ Thousands) | ||||||
PURCHASED OPTION* (B) — 0.0% |
| |||||||
June 2016, GBP Put, USD Call, | ||||||||
Expires 06/22/2016, Strike Price $0.74 | 9,400,000 | $ | 90 | |||||
|
| |||||||
Total Purchased Option | 90 | |||||||
|
| |||||||
WRITTEN OPTION* (B) — 0.0% | ||||||||
June 2016, GBP Call, USD Put, Expires 06/22/2016 | ||||||||
Strike Price $0.68 | (9,400,000 | ) | (149 | ) | ||||
|
| |||||||
Total Written Option | $ | (149 | ) | |||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 40 | Jun-2016 | $ | (26 | ) | |||||||
Long Gilt 10-Year Bond | 200 | Jun-2016 | 296 | |||||||||
MSCI EAFE Index E-MINI | 361 | Jun-2016 | 34 | |||||||||
Nikkei 225 Index | 5 | Jun-2016 | 0 | |||||||||
S&P 500 Index E-MINI | 324 | Jun-2016 | 997 | |||||||||
S&P TSE 60 Index | 24 | Jun-2016 | 33 | |||||||||
Topix Index | 17 | Jun-2016 | 11 | |||||||||
U.S. 10-Year Treasury Note | 680 | Jun-2016 | 61 | |||||||||
U.S. 5-Year Treasury Note | 142 | Jun-2016 | 37 | |||||||||
U.S. Ultra Long Treasury Bond | 83 | Jun-2016 | (80 | ) | ||||||||
|
| |||||||||||
$ | 1,363 | |||||||||||
|
|
For the period ended March 31, 2016, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
A list of the open forward foreign currency contracts held by the Fund at March 31, 2016, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
06/17/16 | CAD | 1,679 | USD | 1,293 | $ | (5 | ) | |||||||||||||
06/17/16 | EUR | 3,043 | SEK | 28,475 | 49 | |||||||||||||||
06/17/16 | USD | 4,058 | CAD | 5,474 | 175 | |||||||||||||||
06/17/16 | USD | 6,626 | KRW | 8,159,193 | 536 | |||||||||||||||
06/17/16 | SEK | 28,475 | EUR | 3,083 | (3 | ) | ||||||||||||||
06/17/16 | JPY | 750,830 | AUD | 8,905 | 126 | |||||||||||||||
06/17/16 | KRW | 8,159,193 | USD | 6,804 | (358 | ) | ||||||||||||||
06/24/16 | USD | 4,497 | GBP | 3,187 | 84 | |||||||||||||||
|
| |||||||||||||||||||
$ | 604 | |||||||||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2016, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Barclays PLC | $ | (6,698 | ) | $ | 6,824 | $ | 126 | |||||
BNP Paribas | (7,797 | ) | 7,454 | (343 | ) | |||||||
Brown Brothers Harriman | (3,518 | ) | 3,578 | 60 | ||||||||
Citigroup | (3,524 | ) | 3,521 | (3 | ) | |||||||
HSBC | (6,626 | ) | 7,162 | 536 | ||||||||
Montgomery/Bank of America | (4,497 | ) | 4,581 | 84 | ||||||||
Morgan Stanley | (1,204 | ) | 1,299 | 95 | ||||||||
Standard Bank | (3,475 | ) | 3,524 | 49 | ||||||||
|
| |||||||||||
$ | 604 | |||||||||||
|
|
For the period ended March 31, 2016 the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
A list of open centrally cleared swap agreements held by the Fund at March 31, 2016, is as follows:
Credit Default Swaps | ||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount ($ Thousands) | Net Unrealized ($ Thousands) | ||||||||||
Morgan Stanley | CDX.NA.HY, SERIES 25, VERSION 1 | SELL | 5.00% | 12/20/20 | $ | (390 | ) | $ | 18 | |||||||
Morgan Stanley | CDX.NA.HY, SERIES 25, VERSION 1 | SELL | 5.00% | 12/20/20 | (590 | ) | 10 | |||||||||
Morgan Stanley | CDX.NA.HY, SERIES 25, VERSION 1 | SELL | 5.00% | 12/20/20 | (590 | ) | 6 | |||||||||
Morgan Stanley | CDX.NA.HY, SERIES 25, VERSION 1 | SELL | 5.00% | 12/20/20 | (260 | ) | 3 | |||||||||
Morgan Stanley | CDX.NA.HY, SERIES 25, VERSION 1 | SELL | 5.00% | 12/20/20 | (470 | ) | (6 | ) | ||||||||
Morgan Stanley | CDX.NA.HY, SERIES 25, VERSION 1 | SELL | 5.00% | 12/20/20 | (1,230 | ) | 4 | |||||||||
Morgan Stanley | CDX.NA.HY, SERIES 25, VERSION 1, 5YR | SELL | 5.00% | 12/20/20 | (410 | ) | (3 | ) | ||||||||
Morgan Stanley | CDX.NA.IG, SERIES 25, VERSION 1 | SELL | 1.00% | 06/20/21 | (630 | ) | 1 | |||||||||
Morgan Stanley | CDX.NA.IG, SERIES 25, VERSION 1 | SELL | 1.00% | 12/20/20 | (380 | ) | (2 | ) | ||||||||
Morgan Stanley | CDX.NA.IG, SERIES 25, VERSION 1 | SELL | 1.00% | 12/20/20 | (1,220 | ) | (9 | ) | ||||||||
Morgan Stanley | CDX.NA.IG, SERIES 25, VERSION 1 | SELL | 1.00% | 12/20/20 | (1,820 | ) | (9 | ) | ||||||||
Morgan Stanley | CDX.NA.IG, SERIES 25, VERSION 1 | SELL | 1.00% | 12/20/20 | (470 | ) | 3 | |||||||||
Morgan Stanley | CDX.NA.IG, SERIES 25, VERSION 1 | SELL | 1.00% | 12/20/20 | (760 | ) | 2 | |||||||||
Morgan Stanley | CDX.NA.IG, SERIES 25, VERSION 1 | SELL | 1.00% | 12/20/20 | (460 | ) | 1 | |||||||||
Morgan Stanley | CDX.NA.IG, SERIES 25, VERSION 1 | SELL | 1.00% | 12/20/20 | (200 | ) | — | |||||||||
Morgan Stanley | CDX.NA.IG, SERIES 25, VERSION 1 | SELL | 1.00% | 12/20/20 | (1,060 | ) | (5 | ) | ||||||||
Morgan Stanley | CDX.NA.IG, SERIES 25, VERSION 1, 5YR | SELL | 1.00% | 12/20/20 | (360 | ) | (2 | ) | ||||||||
Morgan Stanley | ITRAXX.XO.VER.SERIES 24, VERSION 1 | SELL | 5.00% | 12/20/20 | (4,420 | ) | (18 | ) | ||||||||
|
| |||||||||||||||
$ | (6 | ) | ||||||||||||||
|
|
208 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Interest Rate Swaps | ||||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Currency | Notional Amount (Thousands) (1) | Net Unrealized Appreciation ($ Thousands) | ||||||||||
Morgan Stanley | 6-Month AUD - BBSW | 2.76% | 03/24/26 | AUD | 7,430 | $ | 73 | |||||||||
Morgan Stanley | 6-Month AUD - BBSW | 2.94% | 01/11/26 | AUD | 5,920 | 140 | ||||||||||
Morgan Stanley | 6-Month AUD - BBSW | 3.05% | 12/04/25 | AUD | 5,090 | 162 | ||||||||||
Morgan Stanley | 6-Month AUD - BBSW | 2.96% | 10/21/25 | AUD | 2,110 | 57 | ||||||||||
Morgan Stanley | 6-Month AUD - BBSW | 2.80% | 10/06/25 | AUD | 2,960 | 47 | ||||||||||
Morgan Stanley | 6-Month AUD - BBSW | 2.92% | 09/25/25 | AUD | 4,530 | 97 | ||||||||||
|
| |||||||||||||||
$ | 576 | |||||||||||||||
|
|
For the period ended March 31, 2016, the total amount of all open swap agreements, as presented in the tables above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $669,286 ($ Thousands).
* | Non-income producing security. |
‡ | Real Estate Investment Trust. |
(1) | In U.S. Dollars unless otherwise indicated. |
(A) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2016. |
(B) | For the period ended March 31, 2016, the total amount of open purchased and written options, as presented in the Schedule of Investments, are representative of the volume of activity for these derivative types during the period. |
ADR — American Depositary Receipt
AUD — Australian Dollar
BBSW — Australian Bank Bill Swap Rate
CAD — Canadian Dollar
Cl — Class
ETF — Exchange Traded Fund
EUR — Euro
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GBP — British Pound
JPY — Japanese Yen
KRW — Korean Won
MSCI — Morgan Stanley Capital International
PLC — Public Limited Company
S&P — Standard & Poor’s
SEK — Swedish Krona
TSE — Tokyo Stock Exchange
USD — U.S. Dollar
The following is a list of the level of inputs used as of March 31, 2016 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 111,974 | $ | — | $ | 111,974 | ||||||||
U.S. Government Agency Obligations | — | 29,659 | — | 29,659 | ||||||||||||
Corporate Obligation | — | 7,867 | — | 7,867 | ||||||||||||
Preferred Stock | — | 5,243 | — | 5,243 | ||||||||||||
Exchange Traded Fund | 1,551 | — | — | 1,551 | ||||||||||||
Foreign Common Stock | 592 | — | — | 592 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,143 | $ | 154,743 | $ | — | $ | 156,886 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Options | $ | 90 | $ | — | $ | — | $ | 90 | ||||||||
Written Options | (149 | ) | — | — | (149 | ) | ||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 1,469 | — | — | 1,469 | ||||||||||||
Unrealized Depreciation | (106 | ) | — | — | (106 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 970 | — | 970 | ||||||||||||
Unrealized Depreciation | — | (366 | ) | — | (366 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Appreciation | — | 48 | — | 48 | ||||||||||||
Unrealized Depreciation | — | (54 | ) | — | (54 | ) | ||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Appreciation | — | 576 | — | 576 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1,304 | $ | 1,174 | $ | — | $ | 2,478 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts, forwards contracts and swap contracts are valued at the unrealized appreciation/ (depreciation) on the instrument. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 209 |
SCHEDULE OF INVESTMENTS (Unaudited)
Long/Short Alternative Fund
March 31, 2016
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
COMMERCIAL PAPER (A) — 83.0% |
| |||||||
Banks — 22.2% |
| |||||||
Australia & New Zealand Banking Group | ||||||||
0.551%, 05/03/2016 (B) | $ | 1,000 | $ | 1,000 | ||||
Canadian Imperial Holdings | ||||||||
0.531%, 06/06/2016 | 1,384 | 1,383 | ||||||
Commonwealth Bank of Australia | ||||||||
0.541%, 05/31/2016 (B) | 1,309 | 1,308 | ||||||
National Australia Bank | ||||||||
0.501%, 05/17/2016 (B) | 1,500 | 1,499 | ||||||
Nordea Bank | ||||||||
0.531%, 06/30/2016 (B) | 1,380 | 1,378 | ||||||
Svenska Handelsbanken | ||||||||
0.722%, 08/09/2016 (B) | 1,000 | 997 | ||||||
Westpac Banking | ||||||||
0.813%, 08/24/2016 (B) | 1,500 | 1,496 | ||||||
|
| |||||||
9,061 | ||||||||
|
| |||||||
Financials — 6.5% | ||||||||
Export Development Canada | ||||||||
0.270%, 04/07/2016 | 1,168 | 1,168 | ||||||
Novartis Finance | ||||||||
0.380%, 04/11/2016 (B) | 1,500 | 1,500 | ||||||
|
| |||||||
2,668 | ||||||||
|
| |||||||
Gas Transmission — 3.7% | ||||||||
Total Capital Canada | ||||||||
0.430%, 04/25/2016 (B) | 1,500 | 1,500 | ||||||
|
| |||||||
Industrial & Other Commercial Paper — 50.6% |
| |||||||
Alphabet | ||||||||
0.450%, 05/18/2016 (B) | 1,500 | 1,499 | ||||||
Apple | ||||||||
0.440%, 04/22/2016 (B) | 1,500 | 1,500 | ||||||
BMW US Capital | ||||||||
0.380%, 04/12/2016 (B) | 661 | 661 | ||||||
0.350%, 04/01/2016 (B) | 1,000 | 1,000 | ||||||
Chevron | ||||||||
0.400%, 04/04/2016 (B) | 1,698 | 1,698 | ||||||
Coca-Cola | ||||||||
0.380%, 04/21/2016 (B) | 1,000 | 1,000 | ||||||
Exxon Mobil | ||||||||
0.350%, 04/05/2016 | 1,500 | 1,500 | ||||||
Microsoft | ||||||||
0.400%, 05/04/2016 (B) | 1,500 | 1,499 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
Nestle Finance International | ||||||||
0.591%, 07/11/2016 | $ | 1,500 | $ | 1,497 | ||||
PepsiCo | ||||||||
0.340%, 04/18/2016 (B) | 1,500 | 1,500 | ||||||
Pfizer | ||||||||
0.400%, 05/26/2016 (B) | 1,500 | 1,499 | ||||||
Praxair | ||||||||
0.270%, 04/01/2016 | 1,500 | 1,500 | ||||||
Procter & Gamble | ||||||||
0.300%, 04/29/2016 (B) | 1,500 | 1,500 | ||||||
Roche Holdings | ||||||||
0.400%, 04/06/2016 (B) | 1,300 | 1,300 | ||||||
Toyota Motor Credit | ||||||||
0.410%, 05/16/2016 | 1,500 | 1,499 | ||||||
|
| |||||||
20,652 | ||||||||
|
| |||||||
Total Commercial Paper | 33,881 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 9.3% |
| |||||||
FHLB (A) | ||||||||
0.375%, 04/22/2016 | 393 | 393 | ||||||
0.320%, 04/13/2016 | 1,361 | 1,361 | ||||||
0.300%, 05/06/2016 | 1,377 | 1,377 | ||||||
0.255%, 04/15/2016 | 669 | 669 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 3,800 | ||||||
|
| |||||||
EXCHANGE TRADED FUND — 4.8% |
| |||||||
iShares iBoxx USD High Yield Corporate Bond ETF | 23,907 | 1,953 | ||||||
|
| |||||||
Total Exchange Traded Fund | 1,953 | |||||||
|
| |||||||
Total Investments — 97.1% | $ | 39,634 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
MSCI EAFE Index E-MINI | 82 | Jun-2016 | $ | 136 | ||||||||
MSCI Emerging Markets E-MINI | (220 | ) | Jun-2016 | (507 | ) | |||||||
NASDAQ 100 Index E-Mini | 70 | Jun-2016 | 267 | |||||||||
S&P Mid Cap 400 Index E-MINI | 63 | Jun-2016 | 379 | |||||||||
U.S. Dollar Index | 25 | Jun-2016 | (67 | ) | ||||||||
U.S. Long Treasury Bond | (48 | ) | Jun-2016 | 46 | ||||||||
|
| |||||||||||
$ | 254 | |||||||||||
|
|
For the period ended March 31, 2016, 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.
210 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Percentages are based on a Net Assets of $40,821 ($ Thousands).
(A) | The rate reported is the effective yield at time of purchase. |
(B) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” |
EAFE — Europe, Australasia and Far East
ETF — Exchange Traded Fund
FHLB — Federal Home Loan Bank
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 level of inputs used as of March 31, 2016 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Commercial Paper | $ | — | $ | 33,881 | $ | — | $ | 33,881 | ||||||||
U.S. Government Agency Obligations | — | 3,800 | — | 3,800 | ||||||||||||
Exchange Traded Fund | 1,953 | — | — | 1,953 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,953 | $ | 37,681 | $ | — | $ | 39,634 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 828 | $ | — | $ | — | $ | 828 | ||||||||
Unrealized Depreciation | (574 | ) | — | — | (574 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 254 | $ | — | $ | — | $ | 254 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 211 |
Statements of Assets and Liabilities ($ Thousands)
March 31, 2016 (Unaudited)
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value† | $2,301,035 | * | $1,295,866 | * | $1,383,598 | * | ||||||
Affiliated Investments, at value†† | 427,969 | 56,882 | 44,176 | |||||||||
Cash | 15 | — | — | |||||||||
Receivable for Investment Securities Sold | — | 10,133 | — | |||||||||
Receivable for Fund Shares Sold | 1,688 | 1,066 | 647 | |||||||||
Dividends and Interest Receivable | 2,300 | 2,095 | 410 | |||||||||
Receivable for Variation Margin | — | — | 2 | |||||||||
Prepaid Expenses | 44 | — | — | |||||||||
Total Assets | 2,733,051 | 1,366,042 | 1,428,833 | |||||||||
LIABILITIES: | ||||||||||||
Payable Upon Return on Securities Loaned | 370,911 | 35,135 | 2,602 | |||||||||
Payable for Investment Securities Purchased | — | 7,344 | — | |||||||||
Payable for Fund Shares Redeemed | 5,667 | 1,031 | 1,339 | |||||||||
Payable to Custodian | — | 1 | — | |||||||||
Payable for Variation Margin | — | — | 19 | |||||||||
Investment Advisory Fees Payable | 619 | 346 | 430 | |||||||||
Administration Fees Payable | 592 | 332 | 298 | |||||||||
Shareholder Servicing Fees Payable Class A | 458 | 271 | 293 | |||||||||
Shareholder Servicing Fees Payable Class I | — | — | 1 | |||||||||
Chief Compliance Officer Fees Payable | 2 | 1 | 1 | |||||||||
Administration Servicing Fees Payable Class I | — | 1 | 1 | |||||||||
Accrued Expense Payable | 62 | 3 | 4 | |||||||||
Total Liabilites | 378,311 | 44,465 | 4,988 | |||||||||
Net Assets | $2,354,740 | $1,321,577 | $1,423,845 | |||||||||
†Cost of Investments | 2,039,397 | 1,183,707 | 1,141,474 | |||||||||
††Cost of Affiliated Investments | 427,969 | 56,882 | 44,176 | |||||||||
* Includes Market Value of Securities on Loan | 362,892 | 34,335 | 2,534 | |||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital — (Unlimited Authorization — No Par Value) | $2,158,332 | $1,281,550 | $1,257,052 | |||||||||
Undistributed Net Investment Income/(Accumulated Net Investment Loss) | 7,034 | 10,891 | 1,932 | |||||||||
Accumulated Net Realized Gain (Loss) on Investments and Futures Contracts | (72,264 | ) | (83,023 | ) | (77,667 | ) | ||||||
Net Unrealized Appreciation (Depreciation) on Investments | 261,638 | 112,159 | 242,124 | |||||||||
Net Unrealized Appreciation on Futures Contracts | — | — | 404 | |||||||||
Net Unrealized Depreciation on Forward Foreign Currency Contracts, Foreign Currencies and Translation of Other Assets and Liabilities Denominated in Foreign Currencies | — | — | — | |||||||||
Net Assets | $2,354,740 | $1,321,577 | $1,423,845 | |||||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $11.94 | $20.14 | $27.98 | |||||||||
| ($2,184,893,239 ÷ 183,023,700 shares | ) |
| ($1,295,764,884 ÷ 64,335,541 shares | ) |
| ($1,399,544,947 ÷ 50,022,403 shares | ) | ||||
Net Asset Value, Offering and Redemption Price Per Share — Class E | N/A | N/A | N/A | |||||||||
Net Asset Value, Offering and Redemption Price Per Share — Class I | N/A | $20.15 | $27.46 | |||||||||
| ($6,538,820 ÷ 324,583 shares | ) |
| ($5,211,941 ÷ 189,817 shares | ) | |||||||
Net Asset Value, Offering and Redemption Price Per Share — Class Y | $11.94 | $20.14 | $28.01 | |||||||||
| ($169,846,821 ÷ 14,220,286 shares | ) |
| ($19,273,167 ÷ 956,772 shares | ) |
| ($19,088,380 ÷ 681,426 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.
212 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
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 | ||||||||||||||||||||
$3,323,247 | * | $646,355 | * | $525,461 | * | $367,427 | * | $290,490 | * | $608,894 | * | $78,588 | * | |||||||||||||
139,237 | 12,417 | 95,824 | 157,163 | 64,539 | 296,810 | 32,441 | ||||||||||||||||||||
— | 26 | 6 | 21 | — | 9 | 19 | ||||||||||||||||||||
7,843 | 86 | 2,111 | 1,776 | 1,842 | 2,108 | 2,754 | ||||||||||||||||||||
3,328 | 254 | 497 | 132 | 125 | 606 | 363 | ||||||||||||||||||||
3,569 | 777 | 552 | 661 | 115 | 638 | 180 | ||||||||||||||||||||
— | — | 32 | — | 10 | 21 | 1 | ||||||||||||||||||||
— | — | 9 | — | — | — | 1 | ||||||||||||||||||||
3,477,224 | 659,915 | 624,492 | 527,180 | 357,121 | 909,086 | 114,347 | ||||||||||||||||||||
26,646 | 2,212 | 66,530 | 145,351 | 53,934 | 261,748 | 27,260 | ||||||||||||||||||||
5,922 | 689 | 271 | 2,844 | 2,415 | 834 | 3,053 | ||||||||||||||||||||
3,676 | 167 | 1,319 | 229 | 181 | 913 | 24 | ||||||||||||||||||||
3 | — | — | — | — | — | — | ||||||||||||||||||||
9 | 21 | — | — | — | — | — | ||||||||||||||||||||
901 | 16 | 257 | 176 | 131 | 299 | 27 | ||||||||||||||||||||
860 | 101 | 137 | 94 | 74 | 160 | — | ||||||||||||||||||||
679 | 59 | 106 | 76 | 60 | 109 | 17 | ||||||||||||||||||||
— | 1 | — | — | 1 | — | — | ||||||||||||||||||||
3 | 1 | — | — | — | 1 | — | ||||||||||||||||||||
— | 1 | — | 1 | — | — | 21 | ||||||||||||||||||||
7 | 19 | 16 | 2 | 1 | 4 | 2 | ||||||||||||||||||||
38,706 | 3,287 | 68,636 | 148,773 | 56,797 | 264,068 | 30,404 | ||||||||||||||||||||
$3,438,518 | $656,628 | $555,856 | $378,407 | $300,324 | $645,018 | $83,943 | ||||||||||||||||||||
2,255,136 | 344,323 | 502,980 | 334,604 | 300,974 | 451,924 | 74,837 | ||||||||||||||||||||
139,237 | 12,417 | 95,824 | 157,163 | 64,539 | 296,810 | 32,441 | ||||||||||||||||||||
26,271 | 2,176 | 65,235 | 142,235 | 53,035 | 256,627 | 26,884 | ||||||||||||||||||||
$2,528,807 | $344,701 | $557,154 | $366,074 | $349,285 | $497,956 | $83,117 | ||||||||||||||||||||
10,459 | 3,021 | 523 | 589 | (1,646 | ) | 221 | 347 | |||||||||||||||||||
| (168,879 | ) | 6,628 | (24,946 | ) | (21,079 | ) | (37,030 | ) | (10,861 | ) | (3,428 | ) | |||||||||||||
1,068,111 | 302,032 | 22,481 | 32,823 | (10,484 | ) | 156,970 | 3,751 | |||||||||||||||||||
20 | 246 | 644 | — | 199 | 733 | 156 | ||||||||||||||||||||
| — |
| — | — | — | — | (1 | ) | — | |||||||||||||||||
$3,438,518 | $656,628 | $555,856 | $378,407 | $300,324 | $645,018 | $83,943 | ||||||||||||||||||||
$19.73 | $50.66 | $10.81 | $21.30 | $25.96 | $17.79 | $22.62 | ||||||||||||||||||||
| ($3,261,229,258 165,272,273 shares | ÷ ) |
| ($403,732,122 7,968,984 shares | ÷ ) |
| ($516,639,684 47,800,685 shares | ÷ ) |
| ($368,615,187 17,302,077 shares | ÷ ) |
| ($291,405,500 11,224,655 shares | ÷ ) |
| ($601,732,083 33,825,589 shares | ÷ ) |
| ($82,715,951 3,656,944 shares | ÷ ) | ||||||
N/A | $51.00 | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||
| ($245,526,429 4,814,597 shares | ÷ ) | ||||||||||||||||||||||||
N/A | $50.91 | N/A | $21.14 | $25.07 | N/A | $22.59 | ||||||||||||||||||||
| ($6,415,503 126,005 shares | ÷ ) |
| ($3,157,637 149,372 shares | ÷ ) |
| ($2,490,855 99,366 shares | ÷ ) |
| ($921,822 40,815 shares | ÷ ) | |||||||||||||||
$19.74 | $50.68 | $10.84 | $21.32 | $25.99 | $17.80 | $22.63 | ||||||||||||||||||||
| ($177,289,030 8,979,638 shares | ÷ ) |
| ($954,154 18,828 shares | ÷ ) |
| ($39,216,203 3,616,751 shares | ÷ ) |
| ($6,633,702 311,143 shares | ÷ ) |
| ($6,427,458 247,280 shares | ÷ ) |
| ($43,286,329 2,431,888 shares | ÷ ) |
| ($305,053 13,478 shares | ÷ ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 213 |
Statements of Assets and Liabilities ($ Thousands) (Continued)
March 31, 2016 (Unaudited)
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value† | $1,430,938 | $1,647,895 | $1,040,902 | |||||||||
Affiliated Investments, at value†† | 58,765 | 68,141 | 52,325 | |||||||||
Repurchase Agreement† | — | — | — | |||||||||
Cash | 224 | 9,029 | — | |||||||||
Foreign Currency, at value††† | 1,334 | 2,197 | 11 | |||||||||
Cash Collateral on Futures | — | — | — | |||||||||
Cash Collateral on Swaps | — | — | — | |||||||||
Receivable for Investment Securities Sold | 2,446 | 4,822 | 2,767 | |||||||||
Receivable for Fund Shares Sold | 2,793 | 14,063 | 2,567 | |||||||||
Dividends and Interest Receivable | 3,164 | 4,346 | 2,011 | |||||||||
Receivable for Variation Margin | — | 33 | — | |||||||||
OTC Swap Contracts, at value†††† | — | — | — | |||||||||
Options Purchased, at value # | — | — | — | |||||||||
Foreign Tax Reclaim Receivable | 1,907 | 3 | ||||||||||
Unrealized Gain on Forward Foreign Currency Contracts | — | 112 | — | |||||||||
Unrealized Gain on Foreign Spot Currency Contracts | — | 12 | — | |||||||||
Prepaid Expenses | 26 | 37 | 16 | |||||||||
Total Assets | 1,499,690 | 1,752,594 | 1,100,602 | |||||||||
LIABILITIES: | ||||||||||||
Payable Upon Return on Securities Loaned | — | — | — | |||||||||
Payable for Investment Securities Purchased | 1,102 | 6,367 | 865 | |||||||||
Payable for Fund Shares Redeemed | 2,304 | 14,741 | 1,759 | |||||||||
Payable to Custodian | — | — | 1 | |||||||||
Payable for Variation Margin | 68 | 221 | 52 | |||||||||
Investment Advisory Fees Payable | 525 | 745 | 383 | |||||||||
Administration Fees Payable | 370 | 429 | 270 | |||||||||
Shareholder Servicing Fees Payable Class A | 210 | 336 | 219 | |||||||||
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 # | — | — | — | |||||||||
Unrealized Loss on Forward Foreign Currency Contracts | — | 8,678 | — | |||||||||
Interest Payable | — | — | ||||||||||
Accrued Expense Payable | 45 | 43 | 23 | |||||||||
Total Liabilites | 4,625 | 31,562 | 3,573 | |||||||||
Net Assets | $1,495,065 | $1,721,032 | $1,097,029 | |||||||||
†Cost of Investments and Repurchase Agreements | 1,220,903 | 1,432,215 | 802,258 | |||||||||
††Cost of Affiliated Investments | 58,765 | 68,141 | 52,325 | |||||||||
†††Cost of Foreign Currency | 1,267 | 2,172 | 11 | |||||||||
††††Premiums Received/(Paid) | — | — | — | |||||||||
# Premiums Received/(Paid) | — | — | — | |||||||||
* Includes Market Value of Securities on Loan | — | — | — | |||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital — (Unlimited Authorization — No Par Value) | $1,272,910 | $1,540,816 | $852,180 | |||||||||
Undistributed (Distributions in Excess of) Net Investment Income/(Accumulated Net Investment Loss) | 7,002 | 2,368 | 4,822 | |||||||||
Accumulated Net Realized Gain (Loss) on Investments, Option Contracts, Futures Contracts, Swap Contracts, Swaptions and Foreign Currency | 4,011 | (30,133 | ) | 652 | ||||||||
Net Unrealized Appreciation (Depreciation) on Investments, | 210,035 | 215,680 | 238,644 | |||||||||
Net Unrealized Appreciation (Depreciation) on Futures Contracts | 1,038 | 848 | 727 | |||||||||
Net Unrealized Appreciation (Depreciation) on Swap Contracts | — | — | — | |||||||||
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 | 69 | (8,547 | ) | 4 | ||||||||
Net Assets | $1,495,065 | $1,721,032 | $1,097,029 | |||||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $16.60 | $11.06 | $14.43 | |||||||||
| ($1,022,596,323 ÷ 61,615,192 shares | ) |
| ($1,619,423,940 ÷ 146,408,048 shares | ) |
| ($1,068,464,285 ÷ 74,046,332 shares | ) | ||||
Net Asset Value, Offering and Redemption Price Per Share — Class I | $16.58 | $10.85 | N/A | |||||||||
| ($1,824,992 ÷ 110,059 shares | ) |
| ($1,529,217 ÷ 140,887 shares | ) | |||||||
Net Asset Value, Offering and Redemption Price Per Share — Class Y | $16.60 | $11.08 | $14.44 | |||||||||
| ($470,644,492 ÷ 28,344,871 shares | ) |
| ($100,078,476 ÷ 9,033,025 shares | ) |
| ($28,564,278 ÷ 1,978,617 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.
214 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
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 | ||||||||||||||||||||
$189,709 | $202,049 | $2,121,120 | * | $1,259,863 | * | $1,627,827 | * | $302,742 | $483,213 | |||||||||||||||||
5,245 | 4,725 | 69,029 | 44,727 | 69,830 | 2,414 | — | ||||||||||||||||||||
— | 2,700 | — | — | — | — | — | ||||||||||||||||||||
— | 696 | — | 927 | 1,018 | — | 6,065 | ||||||||||||||||||||
— | — | 349 | — | — | — | — | ||||||||||||||||||||
— | 30 | 3,207 | 832 | — | — | 1,251 | ||||||||||||||||||||
— | — | 3,665 | 70 | 569 | — | 7,846 | ||||||||||||||||||||
691 | 334 | 123,615 | 84,193 | 27,140 | — | 71 | ||||||||||||||||||||
136 | 211 | 1,746 | 1,014 | 1,643 | 313 | 531 | ||||||||||||||||||||
604 | 670 | 11,137 | 5,812 | 29,145 | 519 | 584 | ||||||||||||||||||||
— | 1 | 707 | 225 | 7 | — | — | ||||||||||||||||||||
— | — | — | — | — | — | 25,186 | ||||||||||||||||||||
— | — | 30 | — | — | — | 374 | ||||||||||||||||||||
— | — | 16 | 10 | 9 | — | — | ||||||||||||||||||||
— | — | 504 | — | — | — | 1,460 | ||||||||||||||||||||
— | — | 58 | — | — | — | 7 | ||||||||||||||||||||
4 | 4 | 4 | 20 | 29 | 5 | — | ||||||||||||||||||||
196,389 | 211,420 | 2,335,187 | 1,397,693 | 1,757,217 | 305,993 | 526,588 | ||||||||||||||||||||
— | — | 765 | 210 | 6 | — | — | ||||||||||||||||||||
1,014 | 3,442 | 235,222 | 161,994 | 41,972 | 873 | 1,529 | ||||||||||||||||||||
274 | 286 | 1,527 | 1,778 | 6,735 | 596 | 762 | ||||||||||||||||||||
— | — | 4 | — | — | — | — | ||||||||||||||||||||
— | 4 | 911 | 497 | 5 | — | 285 | ||||||||||||||||||||
91 | 44 | 299 | 162 | 572 | 32 | 66 | ||||||||||||||||||||
48 | 26 | 351 | 206 | 284 | 51 | 122 | ||||||||||||||||||||
32 | 22 | 424 | 238 | 316 | 23 | 92 | ||||||||||||||||||||
— | — | 2 | 1 | 2 | — | — | ||||||||||||||||||||
— | — | — | — | 1 | — | — | ||||||||||||||||||||
— | — | 419 | 277 | 886 | — | — | ||||||||||||||||||||
— | — | 478 | 109 | — | — | 24,089 | ||||||||||||||||||||
— | — | 36 | 14 | — | — | 271 | ||||||||||||||||||||
— | — | 2,762 | 104 | — | — | 8,789 | ||||||||||||||||||||
— | 2 | — | — | — | — | |||||||||||||||||||||
4 | 24 | 126 | 104 | 81 | 5 | 12 | ||||||||||||||||||||
1,463 | 3,848 | 243,328 | 165,694 | 50,860 | 1,580 | 36,017 | ||||||||||||||||||||
$194,926 | $207,572 | $2,091,859 | $1,231,999 | $1,706,357 | $304,413 | $490,571 | ||||||||||||||||||||
138,547 | 210,490 | 2,096,978 | 1,235,945 | 1,813,535 | 299,598 | 469,907 | ||||||||||||||||||||
5,245 | 4,725 | 69,029 | 44,727 | 69,830 | 2,414 | — | ||||||||||||||||||||
— | — | 332 | — | — | — | — | ||||||||||||||||||||
— | — | 91 | — | — | — | — | ||||||||||||||||||||
— | — | (13 | ) | 11 | — | — | 19 | |||||||||||||||||||
— | — | 735 | 201 | 1 | — | — | ||||||||||||||||||||
$135,853 | $339,247 | $2,077,029 | $1,206,479 | $2,024,229 | $310,319 | $485,684 | ||||||||||||||||||||
| 98 |
| 848 | (1,488 | ) | (189 | ) | 17,624 | (5,248 | ) | 2,013 | |||||||||||||||
| 7,813 |
| (126,783 | ) | (1,712 | ) | 1,762 | (150,172 | ) | (3,802 | ) | (4,191 | ) | |||||||||||||
51,162 | (5,741 | ) | 24,142 | 23,918 | (185,708 | ) | 3,144 | 13,306 | ||||||||||||||||||
— | 1 | 120 | 491 | — | — | (131 | ) | |||||||||||||||||||
— | — | (3,997 | ) | (355 | ) | 384 | — | 1,097 | ||||||||||||||||||
— | — | (19 | ) | (3 | ) | — | — | 122 | ||||||||||||||||||
| — |
| — | (2,216 | ) | (104 | ) | — | — | (7,329 | ) | |||||||||||||||
$194,926 | $207,572 | $2,091,859 | $1,231,999 | $1,706,357 | $304,413 | $490,571 | ||||||||||||||||||||
$19.46 | $7.40 | $11.46 | $10.39 | $6.59 | $10.05 | $9.59 | ||||||||||||||||||||
| ($158,158,061 8,126,369 shares | ÷ ) |
| ($189,227,685 25,584,915 shares | ÷ ) |
| ($2,024,240,541 176,705,624 shares | ÷ ) |
| ($1,137,736,678 109,499,925 shares | ÷ ) |
| ($1,514,931,326 229,749,163 shares | ÷ ) |
| ($277,077,596 27,581,456 shares | ÷ ) |
| ($443,316,170 46,206,296 shares | ÷ ) | ||||||
$19.44 | $7.38 | $11.45 | N/A | $6.37 | N/A | N/A | ||||||||||||||||||||
| ($637,820 32,804 shares | ÷ ) |
| ($249,483 33,801 shares | ÷ ) |
| ($8,949,285 781,590 shares | ÷ ) |
| ($5,538,432 869,226 shares | ÷ ) | |||||||||||||||
$19.47 | $7.39 | $11.46 | $10.39 | $6.59 | $10.07 | $9.60 | ||||||||||||||||||||
| ($36,129,761 1,856,038 shares | ÷ ) |
| ($18,094,935 2,448,604 shares | ÷ ) |
| ($58,668,961 5,120,178 shares | ÷ ) |
| ($94,262,370 9,073,648 shares | ÷ ) |
| ($185,887,411 28,190,882 shares | ÷ ) |
| ($27,335,193 2,715,050 shares | ÷ ) |
| ($47,255,006 4,920,947 shares | ÷ ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 215 |
Statements of Assets and Liabilities/Consolidated
Statements of Assets and Liabilities ($ Thousands) (Concluded)
March 31, 2016 (Unaudited)
Multi-Strategy Alternative Fund | Multi-Asset Accumulation Fund | |||||||
ASSETS: | ||||||||
Investments, at value† | $ | 413,506 | $ | 940,714 | ||||
Affiliated Investments, at value†† | 120,199 | 765,585 | ||||||
Cash | 53,676 | 370,788 | ||||||
Foreign Currency, at value††† | 716 | 4,854 | ||||||
Cash Collateral on Futures | 132 | 47,859 | ||||||
Cash Collateral on Swaps | 940 | 8,238 | ||||||
Receivable for Investment Securities Sold | 10,126 | 5,766 | ||||||
Receivable for Fund Shares Sold | 449 | 1,641 | ||||||
Dividends and Interest Receivable | 558 | 2,019 | ||||||
Receivable for Variation Margin | 2 | 1,206 | ||||||
OTC Swap Contracts, at value†††† | 89 | 10,049 | ||||||
Options Purchased, at value # | 1,021 | — | ||||||
Foreign Tax Reclaim Receivable | — | 97 | ||||||
Unrealized Gain on Forward Foreign Currency Contracts | 303 | 12,179 | ||||||
Unrealized Gain on Foreign Spot Currency Contracts | — | 1 | ||||||
Prepaid Expenses | 8 | 34 | ||||||
Total Assets | 601,725 | 2,171,030 | ||||||
LIABILITIES: | ||||||||
Payable for Securities Sold Short@ | 46,112 | — | ||||||
Payable for Investment Securities Purchased | 6,140 | 11,198 | ||||||
Payable for Fund Shares Redeemed | 942 | 4,125 | ||||||
Payable for Variation Margin | 20 | 6,651 | ||||||
Investment Advisory Fees Payable | 150 | 1,055 | ||||||
Administration Fees Payable | 97 | 533 | ||||||
Shareholder Servicing Fees Payable Class A | 115 | 402 | ||||||
Chief Compliance Officer Fees Payable | — | 1 | ||||||
Trustees Fees Payable | — | 1 | ||||||
Income Distribution Payable | — | — | ||||||
OTC Swap Contracts, at value†††† | 19 | 1,020 | ||||||
Options Written, at value # | 88 | — | ||||||
Reverse Repurchase Agreements | — | — | ||||||
Unrealized Loss on Forward Foreign Currency Contracts | 854 | 13,723 | ||||||
Unrealized Loss on Foreign Spot Currency Contracts | — | — | ||||||
Interest Payable | 4 | — | ||||||
Accrued Expense Payable | 11 | 43 | ||||||
Total Liabilities | 54,552 | 38,752 | ||||||
Net Assets | $ | 547,173 | $ | 2,132,278 | ||||
†Cost of Investments | 422,016 | 910,673 | ||||||
††Cost of Affiliated Investments | 122,106 | 765,585 | ||||||
†††Cost of Foreign Currency | 693 | 4,777 | ||||||
††††Premiums Received/(Paid) | — | — | ||||||
# Premiums Received/(Paid) | (1,246 | ) | — | |||||
@ Premiums Received | 44,541 | — | ||||||
NET ASSETS: | ||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 574,809 | $ | 2,278,829 | ||||
Undistributed (Distributions in Excess of) Net Investment Income/(Accumulated Net Investment Loss) | (239 | ) | (29,276 | ) | ||||
Accumulated Net Realized Loss on Investments, Securities Sold Short, Option Contracts, Futures Contracts, Swap Contracts, Swaptions and Foreign Currency | (14,564 | ) | (169,461 | ) | ||||
Net Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, and Securities Sold Short | (11,988 | ) | 30,041 | |||||
Net Unrealized Appreciation (Depreciation) on Futures Contracts | (23 | ) | 18,168 | |||||
Net Unrealized Appreciation (Depreciation) on Swap Contracts | 7 | 12,111 | ||||||
Net Unrealized Depreciation on Options | (313 | ) | — | |||||
Net Unrealized Appreciation (Depreciation) on Forward Foreign Currency Contracts, Foreign Currencies and Translation of Other Assets and Liabilities Denominated in Foreign Currencies | (516 | ) | (8,134 | ) | ||||
Net Assets | $ | 547,173 | $ | 2,132,278 | ||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $9.40 | $9.59 | ||||||
| ($546,024,651 ÷ 58,062,562 shares | ) |
| ($1,930,163,848 ÷ 201,358,312 shares | ) | |||
Net Asset Value, Offering and Redemption Price Per Share — Class Y | $9.40 | $9.62 | ||||||
| ($1,148,159 ÷ 122,111 shares | ) |
| ($202,114,442 ÷ 21,014,223 shares | ) |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
216 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Multi-Asset Income Fund | Multi-Asset Inflation Managed Fund | Multi-Asset Capital Stability Fund | Long/Short Alternative Fund | |||||||||||
$605,492 | $1,210,202 | $156,886 | $39,634 | |||||||||||
— | — | — | — | |||||||||||
34,703 | 193,271 | 501,621 | — | |||||||||||
24 | 3,131 | 1,730 | — | |||||||||||
18,063 | 2,057 | 5,638 | 1,340 | |||||||||||
115 | 540 | 1,311 | — | |||||||||||
7,779 | 41 | 2,324 | — | |||||||||||
2,359 | 781 | 847 | — | |||||||||||
4,536 | 2,225 | 659 | — | |||||||||||
63 | 3,068 | 535 | 10 | |||||||||||
34,772 | 279 | — | — | |||||||||||
380 | — | 90 | — | |||||||||||
4 | 15 | — | — | |||||||||||
— | 541 | 970 | — | |||||||||||
— | 48 | — | — | |||||||||||
11 | 19 | 10 | — | |||||||||||
708,301 | 1,416,218 | 672,621 | 40,984 | |||||||||||
— | 145,234 | — | — | |||||||||||
13,130 | 311 | 745 | — | |||||||||||
867 | 1,912 | 1,310 | — | |||||||||||
231 | 3,307 | 420 | 130 | |||||||||||
194 | 324 | 96 | 20 | |||||||||||
165 | 219 | 177 | 11 | |||||||||||
47 | 200 | 52 | — | |||||||||||
1 | 1 | 1 | — | |||||||||||
— | — | — | — | |||||||||||
2,292 | — | — | — | |||||||||||
33,471 | 465 | — | — | |||||||||||
3,053 | — | 149 | — | |||||||||||
230 | 222,537 | — | — | |||||||||||
321 | 1,173 | 366 | — | |||||||||||
— | 11 | — | — | |||||||||||
— | — | 3 | — | |||||||||||
30 | 228 | 16 | 2 | |||||||||||
54,032 | 375,922 | 3,335 | 163 | |||||||||||
$654,269 | $1,040,296 | $669,286 | $40,821 | |||||||||||
637,294 | 1,183,909 | 153,936 | 39,748 | |||||||||||
— | — | — | — | |||||||||||
24 | 3,125 | 1,603 | — | |||||||||||
— | (32 | ) | — | — | ||||||||||
367 | — | (33 | ) | — | ||||||||||
— | 145,149 | — | — | |||||||||||
$692,988 | $1,157,208 | $669,778 | $42,715 | |||||||||||
| 1,139 | | (13,023 | ) | (1,491 | ) | (350 | ) | ||||||
| (6,694 | ) | (129,921 | ) | (4,511 | ) | (1,684 | ) | ||||||
| (31,802 | ) | 26,208 | 2,950 | (114 | ) | ||||||||
315 | 3,037 | 1,363 | 254 | |||||||||||
1,239 | (2,615 | ) | 570 | — | ||||||||||
(2,306 | ) | — | (92 | ) | — | |||||||||
| (610 | ) | (598 | ) | 719 | — | ||||||||
$654,269 | $1,040,296 | $669,286 | $40,821 | |||||||||||
$10.00 | $8.59 | $10.05 | $9.57 | |||||||||||
| ($565,675,511 56,571,079 shares | ÷ ) |
| ($950,839,723 110,741,566 shares | ÷ ) |
| ($616,960,605 61,387,597 shares | ÷ ) |
| ($18,932 1,979 shares | ÷ ) | |||
$10.00 | $8.59 | $10.07 | $9.58 | |||||||||||
| ($88,593,248 8,860,636 shares | ÷ ) |
| ($89,455,983 10,410,542 shares | ÷ ) |
| ($52,325,787 5,198,417 shares | ÷ ) |
| ($40,802,406 4,257,589 shares | ÷ ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 217 |
Statements of Operations ($ Thousands)
For the six month period ended March 31, 2016 (Unaudited)
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 24,320 | $ | 16,678 | $ | 8,584 | ||||||
Dividends from Affiliated Investments*† | 89 | 45 | 46 | |||||||||
Interest Income | 2 | 1 | 2 | |||||||||
Securities Lending Income — Net | 139 | 146 | 23 | |||||||||
Less: Foreign Taxes Witheld | (75 | ) | (76 | ) | (40 | ) | ||||||
Total Investment Income | 24,475 | 16,794 | 8,615 | |||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 4,624 | 2,309 | 2,947 | |||||||||
Administration Fees | 3,557 | 1,979 | 2,210 | |||||||||
Shareholder Servicing Fees Class A | 2,762 | 1,631 | 1,826 | |||||||||
Shareholder Servicing Fees Class I | — | 9 | 7 | |||||||||
Administration Servicing Fees Class I | — | 9 | 7 | |||||||||
Proxy Fees | 163 | 113 | 118 | |||||||||
Printing Fees | 115 | 63 | 71 | |||||||||
Custodian/Wire Agent Fees | 73 | 39 | 43 | |||||||||
Professional Fees | 64 | 35 | 39 | |||||||||
Trustee Fees | 16 | 9 | 10 | |||||||||
Registration Fees | 35 | 23 | 25 | |||||||||
Chief Compliance Officer Fees | 6 | 4 | 4 | |||||||||
Interest Expense | — | — | — | |||||||||
Other Expenses | 31 | 16 | 18 | |||||||||
Total Expenses | 11,446 | 6,239 | 7,325 | |||||||||
Less: | ||||||||||||
Waiver of Investment Advisory Fees | (917 | ) | (245 | ) | (273 | ) | ||||||
Waiver of Shareholder Servicing Fees Class A | — | — | — | |||||||||
Waiver of Shareholder Servicing Fees Class I | — | (1 | ) | (1 | ) | |||||||
Waiver of Administration Fees | — | — | (368 | ) | ||||||||
Fees Paid Indirectly | — | — | — | |||||||||
Net Expenses | 10,529 | 5,993 | 6,683 | |||||||||
Net Investment Income (Loss) | 13,946 | 10,801 | 1,932 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | (28,002 | ) | (49,957 | ) | (69,280 | ) | ||||||
Futures Contracts | (541 | ) | 1,462 | 661 | ||||||||
Net Change in Unrealized Appreciation on: | ||||||||||||
Investments | 120,085 | 87,082 | 110,888 | |||||||||
Futures Contracts | 1,078 | 222 | 895 | |||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 106,566 | $ | 49,610 | $ | 45,096 |
* | 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.
218 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
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 | |||||||||||||||||
$ | 33,306 | $ | 7,475 | $ | 3,282 | $ | 3,550 | $ | 1,076 | $ | 4,647 | |||||||||||
141 | 8 | 32 | 19 | 14 | 29 | |||||||||||||||||
3 | — | 1 | 1 | — | 1 | |||||||||||||||||
504 | 16 | 354 | 155 | 401 | 427 | |||||||||||||||||
(165 | ) | — | (19 | ) | (13 | ) | (5 | ) | (17 | ) | ||||||||||||
33,789 | 7,499 | 3,650 | 3,712 | 1,486 | 5,087 | |||||||||||||||||
6,727 | 98 | 1,757 | 1,201 | 1,018 | 2,049 | |||||||||||||||||
5,045 | 717 | 811 | 554 | 470 | 946 | |||||||||||||||||
4,017 | 496 | 632 | 455 | 385 | 745 | |||||||||||||||||
— | 9 | — | 4 | 3 | — | |||||||||||||||||
— | 9 | — | 4 | 3 | — | |||||||||||||||||
189 | 75 | 56 | 65 | 58 | 53 | |||||||||||||||||
159 | 31 | 26 | 17 | 15 | 30 | |||||||||||||||||
94 | 19 | 16 | 10 | 9 | 18 | |||||||||||||||||
88 | 17 | 14 | 10 | 8 | 17 | |||||||||||||||||
22 | 4 | 3 | 3 | 2 | 4 | |||||||||||||||||
44 | 13 | 9 | 6 | 5 | 9 | |||||||||||||||||
9 | 2 | 1 | 1 | 1 | 2 | |||||||||||||||||
— | 93 | — | — | — | — | |||||||||||||||||
40 | 9 | 10 | 7 | 7 | 10 | |||||||||||||||||
16,434 | 1,592 | 3,335 | 2,337 | 1,984 | 3,883 | |||||||||||||||||
(1,444 | ) | — | (236 | ) | (157 | ) | (186 | ) | (275 | ) | ||||||||||||
— | (139 | ) | — | — | — | (89 | ) | |||||||||||||||
— | (4 | ) | — | — | — | — | ||||||||||||||||
— | (184 | ) | — | — | — | — | ||||||||||||||||
— | — | (1 | ) | (5 | ) | — | — | |||||||||||||||
14,990 | 1,265 | 3,098 | 2,175 | 1,798 | 3,519 | |||||||||||||||||
18,799 | 6,234 | 552 | 1,537 | (312 | ) | 1,568 | ||||||||||||||||
(27,379 | ) | 9,451 | (15,572 | ) | (9,359 | ) | (16,704 | ) | (6,998 | ) | ||||||||||||
3,631 | 407 | 346 | (3,360 | ) | (29 | ) | (129 | ) | ||||||||||||||
117,627 | 34,136 | 15,342 | 23,009 | 9,353 | 13,452 | |||||||||||||||||
652 | 494 | 1,014 | 36 | 515 | 1,129 | |||||||||||||||||
$ | 113,330 | $ | 50,722 | $ | 1,682 | $ | 11,863 | $ | (7,177 | ) | $ | 9,022 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 219 |
Statements of Operations ($ Thousands) (Continued)
For the six month period ended March 31, 2016 (Unaudited)
Mid-Cap Fund | U.S. Managed Volatility Fund | Global Managed Volatility Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 1,181 | $ | 20,231 | $ | 26,808 | ||||||
Dividends from Affiliated Investments*† | 3 | 42 | 104 | |||||||||
Interest Income | — | 2 | 6 | |||||||||
Securities Lending Income — Net | 1 | — | — | |||||||||
Less: Foreign Taxes Witheld | — | (95 | ) | (1,138 | ) | |||||||
Total Investment Income | 1,185 | 20,180 | 25,780 | |||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 176 | �� | 4,612 | 7,207 | ||||||||
Administration Fees | 132 | 2,129 | 3,326 | |||||||||
Shareholder Servicing Fees Class A | 109 | 1,246 | 2,646 | |||||||||
Shareholder Servicing Fees Class I | 1 | 2 | 2 | |||||||||
Administration Servicing Fees Class I | 1 | 2 | 2 | |||||||||
Proxy Fees | 21 | 112 | 155 | |||||||||
Printing Fees | 4 | 67 | 111 | |||||||||
Custodian/Wire Agent Fees | 3 | 39 | 87 | |||||||||
Professional Fees | 2 | 37 | 61 | |||||||||
Trustee Fees | 1 | 9 | 15 | |||||||||
Registration Fees | 1 | 13 | 42 | |||||||||
Chief Compliance Officer Fees | — | 4 | 6 | |||||||||
Other Expenses | 2 | 18 | 35 | |||||||||
Total Expenses | 453 | 8,290 | 13,695 | |||||||||
Less: | ||||||||||||
Waiver of Investment Advisory Fees | — | (1,597 | ) | (1,339 | ) | |||||||
Waiver of Shareholder Servicing Fees Class I | — | — | — | |||||||||
Waiver of Administration Fees | — | — | — | |||||||||
Fees Paid Indirectly | — | — | — | |||||||||
Net Expenses | 453 | 6,693 | 12,356 | |||||||||
Net Investment Income | 732 | 13,487 | 13,424 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | (2,937 | ) | 7,639 | (28,029 | ) | |||||||
Futures Contracts | (74 | ) | 982 | 3,114 | ||||||||
Options | — | — | — | |||||||||
Swaptions | — | — | — | |||||||||
Swap Contracts | — | — | — | |||||||||
Foreign Currency Transactions | — | 7 | 3,793 | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 6,504 | 89,868 | 170,838 | |||||||||
Futures Contracts | 193 | 1,264 | 2,326 | |||||||||
Options | — | — | — | |||||||||
Swaptions | — | — | — | |||||||||
Swap Contracts | — | — | — | |||||||||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | — | 76 | (10,946 | ) | ||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 4,418 | $ | 113,323 | $ | 154,520 |
* | 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.
220 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Tax-Managed Managed Volatility Fund | Real Estate Fund | Enhanced Income Fund | Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | |||||||||||||||||
$ | 13,473 | $ | 2,176 | $ | — | $ | 30 | $ | — | $ | 391 | |||||||||||
37 | 8 | 5 | 65 | 54 | 58 | |||||||||||||||||
2 | — | 2,593 | 30,786 | 15,469 | 59,161 | |||||||||||||||||
— | — | — | 39 | 12 | — | |||||||||||||||||
(54 | ) | — | — | — | — | (19 | ) | |||||||||||||||
13,458 | 2,184 | 2,598 | 30,920 | 15,535 | 59,591 | |||||||||||||||||
3,175 | 669 | 409 | 2,851 | 1,664 | 4,065 | |||||||||||||||||
1,465 | 309 | 307 | 2,902 | 1,694 | 2,502 | |||||||||||||||||
1,208 | 226 | 238 | 2,534 | 1,399 | 1,884 | |||||||||||||||||
— | 1 | — | 12 | — | 2 | |||||||||||||||||
— | 1 | — | 12 | — | 2 | |||||||||||||||||
61 | 28 | 31 | 154 | 102 | 181 | |||||||||||||||||
45 | 10 | 10 | 98 | 57 | 80 | |||||||||||||||||
26 | 6 | 6 | 58 | 34 | 48 | |||||||||||||||||
25 | 6 | 5 | 55 | 32 | 44 | |||||||||||||||||
6 | 1 | 2 | 14 | 8 | 11 | |||||||||||||||||
13 | 3 | 3 | 27 | 16 | 24 | |||||||||||||||||
3 | 1 | 1 | 5 | 3 | 4 | |||||||||||||||||
12 | 3 | 39 | 271 | 181 | 110 | |||||||||||||||||
6,039 | 1,264 | 1,051 | 8,993 | 5,190 | 8,957 | |||||||||||||||||
(1,101 | ) | (86 | ) | (138 | ) | (1,084 | ) | (715 | ) | (703 | ) | |||||||||||
— | — | (105 | ) | (1 | ) | — | — | |||||||||||||||
— | — | (171 | ) | (829 | ) | (484 | ) | (834 | ) | |||||||||||||
— | (5 | ) | — | — | — | — | ||||||||||||||||
4,938 | 1,173 | 637 | 7,079 | 3,991 | 7,420 | |||||||||||||||||
8,520 | 1,011 | 1,961 | 23,841 | 11,544 | 52,171 | |||||||||||||||||
1,624 | 10,408 | (548 | ) | 9,140 | 15,412 | (44,089 | ) | |||||||||||||||
798 | (49 | ) | 3,273 | (2,488 | ) | — | ||||||||||||||||
— | — | — | (541 | ) | (164 | ) | — | |||||||||||||||
— | — | — | 101 | — | — | |||||||||||||||||
— | — | — | (760 | ) | (164 | ) | 956 | |||||||||||||||
(12 | ) | — | — | 61 | 2 | — | ||||||||||||||||
75,398 | 12,347 | (937 | ) | 13,665 | 755 | (36,605 | ) | |||||||||||||||
1,014 | — | 15 | (30 | ) | 1,044 | — | ||||||||||||||||
— | — | — | 179 | 64 | — | |||||||||||||||||
— | — | — | (104 | ) | — | — | ||||||||||||||||
— | — | — | (2,519 | ) | (54 | ) | (517 | ) | ||||||||||||||
| 4 | | — | — | (1,387 | ) | (56 | ) | — | |||||||||||||
$ | 87,346 | $ | 23,766 | $ | 442 | $ | 44,919 | $ | 25,895 | $ | (28,084 | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 221 |
Statements of Operations/Consolidated Statements of Operations ($ Thousands) (Concluded)
For the six month period ended March 31, 2016 (Unaudited)
Real Return Fund | Dynamic Asset Allocation Fund | Multi-Strategy Alternative Fund | Multi-Asset Accumulation Fund‡ | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends | $ | — | $ | 5,213 | $ | 6,671 | $ | 2,049 | ||||||||
Dividends from Affiliated Investments*† | 2 | — | 64 | 675 | ||||||||||||
Interest Income | (2,795 | )†† | — | 1,060 | (3,925 | )†† | ||||||||||
Less: Foreign Taxes Witheld | — | — | (43 | ) | (99 | ) | ||||||||||
Total Investment Income (Loss) | (2,793 | ) | 5,213 | 7,752 | (1,300 | ) | ||||||||||
Expenses: | ||||||||||||||||
Investment Advisory Fees | 325 | 1,344 | 4,055 | 7,696 | ||||||||||||
Administration Fees | 443 | 672 | 811 | 3,078 | ||||||||||||
Shareholder Servicing Fees Class A | 337 | 500 | 674 | 2,315 | ||||||||||||
Proxy Fees | 35 | 44 | 59 | 148 | ||||||||||||
Printing Fees | 14 | 18 | 25 | 94 | ||||||||||||
Custodian/Wire Agent Fees | 8 | 7 | 15 | 41 | ||||||||||||
Professional Fees | 8 | 11 | 14 | 52 | ||||||||||||
Trustee Fees | 2 | 3 | 4 | 13 | ||||||||||||
Registration Fees | 4 | 14 | 7 | 23 | ||||||||||||
Chief Compliance Officer Fees | 1 | 1 | 1 | 5 | ||||||||||||
Dividend Expense | — | — | 170 | — | ||||||||||||
Interest Expense | — | — | — | — | ||||||||||||
Other Expenses | 3 | 4 | 86 | 50 | ||||||||||||
Total Expenses | 1,180 | 2,618 | 5,921 | 13,515 | ||||||||||||
Less: | ||||||||||||||||
Waiver of Investment Advisory Fees | (141 | ) | (952 | ) | — | (1,598 | ) | |||||||||
Waiver of Shareholder Servicing Fees Class A | (202 | ) | — | (3,271 | ) | — | ||||||||||
Waiver of Administration Fees | (148 | ) | — | (403 | ) | — | ||||||||||
Net Expenses | 689 | 1,666 | 2,247 | 11,917 | ||||||||||||
Net Investment Income (Loss) | (3,482 | ) | 3,547 | 5,505 | (13,217 | ) | ||||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investments | (459 | ) | (959 | ) | (13,746 | ) | (716 | ) | ||||||||
Securities Sold Short | — | — | — | — | ||||||||||||
Futures Contracts | — | (3,521 | ) | (171 | ) | 24,537 | ||||||||||
Options | — | (170 | ) | (12 | ) | — | ||||||||||
Swap Contracts | — | — | 609 | 3,210 | ||||||||||||
Foreign Currency Transactions | — | 1,202 | (355 | ) | (5,784 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investments | 8,128 | 19,519 | 14,002 | 41,754 | ||||||||||||
Securities Sold Short | — | — | (1,571 | ) | — | |||||||||||
Affiliated Investments | — | — | (382 | ) | — | |||||||||||
Futures Contracts | — | (94 | ) | (23 | ) | 19,259 | ||||||||||
Options | — | 122 | (313 | ) | — | |||||||||||
Swap Contracts | — | 1,097 | 7 | 11,707 | ||||||||||||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | — | (7,390 | ) | (516 | ) | (9,073 | ) | |||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 4,187 | $ | 13,353 | $ | 3,034 | $ | 71,677 |
* | 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. |
†† | Negative interest income is due to negative yields on U.S. Treasury and Foreign Sovereign Debt Inflation Protected Securities. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
222 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Multi-Asset Income Fund | Multi-Asset Inflation Managed Fund‡ | Multi-Asset Capital Stability Fund | Long/Short Alternative Fund | |||||||||||
$ | 2,467 | $ | 3,413 | $ | 189 | $ | 83 | |||||||
— | — | — | — | |||||||||||
15,975 | (639 | )†† | 578 | 24 | ||||||||||
(64 | ) | (13 | ) | — | — | |||||||||
18,378 | 2,761 | 767 | 107 | |||||||||||
1,960 | 2,824 | 1,284 | 166 | |||||||||||
980 | 1,541 | 963 | 62 | |||||||||||
748 | 1,177 | 739 | — | |||||||||||
62 | 91 | 53 | 4 | |||||||||||
30 | 48 | 30 | 2 | |||||||||||
10 | 15 | 44 | 1 | |||||||||||
17 | 27 | 17 | 1 | |||||||||||
4 | 7 | 4 | — | |||||||||||
9 | — | 9 | 1 | |||||||||||
2 | 3 | 2 | — | |||||||||||
— | 775 | — | — | |||||||||||
20 | 529 | — | — | |||||||||||
68 | 300 | 9 | 1 | |||||||||||
3,910 | 7,337 | 3,154 | 238 | |||||||||||
(742 | ) | (920 | ) | (43 | ) | (47 | ) | |||||||
(449 | ) | — | (443 | ) | — | |||||||||
(46 | ) | (257 | ) | (645 | ) | — | ||||||||
2,673 | 6,160 | 2,023 | 191 | |||||||||||
15,705 | (3,399 | ) | (1,256 | ) | (84 | ) | ||||||||
(2,643 | ) | (18,732 | ) | 16 | (5 | ) | ||||||||
— | 23,220 | — | — | |||||||||||
(1,280 | ) | (24,789 | ) | 47 | (1,014 | ) | ||||||||
415 | (110 | ) | (884 | ) | — | |||||||||
(4,992 | ) | (74 | ) | (1,309 | ) | — | ||||||||
334 | 1,120 | 302 | — | |||||||||||
(10,792 | ) | 42,500 | 3,674 | (31 | ) | |||||||||
— | (40,997 | ) | — | — | ||||||||||
— | — | — | — | |||||||||||
881 | 8,522 | 1,802 | 772 | |||||||||||
(3,355 | ) | 11 | 101 | — | ||||||||||
2,889 | (695 | ) | 1,104 | — | ||||||||||
| (528) | | (1,086 | ) | 471 | — | ||||||||
$ | (3,366 | ) | $ | (14,509 | ) | $ | 4,068 | $ | (362 | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 223 |
Statements of Changes in Net Assets ($ Thousands)
For the six month period ended March 31, 2016 (Unaudited) and the year ended September 30, 2015
Large Cap Fund | Large Cap | Large Cap Growth Fund(3) | ||||||||||||||||||||||
10/01/15 to 03/31/16 | 10/01/14 to | 10/01/15 to 03/31/16 | 10/01/14 to | 10/01/15 to 03/31/16 | 10/01/14 to | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 13,946 | $ | 20,982 | $ | 10,801 | $ | 19,388 | $ | 1,932 | $ | 3,767 | ||||||||||||
Net Realized Gain (Loss) from Investments and Futures Contracts | (28,543 | ) | 383,661 | (48,495 | ) | 171,067 | (68,619 | ) | 250,177 | |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments and Futures Contracts | 121,163 | (452,335 | ) | 87,304 | (271,656 | ) | 111,783 | (203,071 | ) | |||||||||||||||
Net Increase (Decrease) in Net Assets from Operations | 106,566 | (47,692 | ) | 49,610 | (81,201 | ) | 45,096 | 50,873 | ||||||||||||||||
Dividends and Distributions from: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Class A | (10,603 | ) | (16,450 | ) | (7,571 | ) | (14,922 | ) | — | (2,496 | ) | |||||||||||||
Class E | — | — | — | — | — | — | ||||||||||||||||||
Class I | — | — | (33 | ) | (69 | ) | — | (4 | ) | |||||||||||||||
Class T‡ | — | — | — | — | — | — | ||||||||||||||||||
Class Y(2) | (899 | ) | (1,174 | ) | — | — | — | — | ||||||||||||||||
Net Capital Gains: | ||||||||||||||||||||||||
Class A | (369,451 | ) | (207,875 | ) | (170,943 | ) | (100,168 | ) | (247,678 | ) | (116,418 | ) | ||||||||||||
Class E | — | — | — | — | — | — | ||||||||||||||||||
Class I | — | — | (838 | ) | (623 | ) | (854 | ) | (538 | ) | ||||||||||||||
Class Y | (25,458 | ) | — | (2 | ) | — | (3 | ) | — | |||||||||||||||
Total Dividends and Distributions | (406,411 | ) | (225,499 | ) | (179,387 | ) | (115,782 | ) | (248,535 | ) | (119,456 | ) | ||||||||||||
Capital Share Transactions(1): | ||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 351,146 | 782,487 | 112,701 | 172,834 | 126,670 | 175,310 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | 344,453 | 203,519 | 167,876 | 108,520 | 233,681 | 112,489 | ||||||||||||||||||
Cost of Shares Redeemed | (712,494 | ) | (818,271 | ) | (153,930 | ) | (312,977 | ) | (199,789 | ) | (327,559 | ) | ||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | (16,895 | ) | 167,735 | 126,647 | (31,623 | ) | 160,562 | (39,760 | ) | |||||||||||||||
Class E: | ||||||||||||||||||||||||
Proceeds from Shares Issued | — | — | — | — | — | — | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | — | — | — | — | ||||||||||||||||||
Cost of Shares Redeemed | — | — | — | — | — | — | ||||||||||||||||||
Decrease in Net Assets Derived from Class E Transactions | — | — | — | — | — | — | ||||||||||||||||||
Class I: | ||||||||||||||||||||||||
Proceeds from Shares Issued | — | — | 1,528 | 1,079 | 951 | 1,138 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | 696 | 583 | 627 | 428 | ||||||||||||||||||
Cost of Shares Redeemed | — | — | (2,537 | ) | (2,545 | ) | (1,261 | ) | (2,987 | ) | ||||||||||||||
Increase (Decrease) in Net Assets Derived from Class I Transactions | — | — | (313 | ) | (883 | ) | 317 | (1,421 | ) | |||||||||||||||
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 | 27,371 | 243,048 | 17,836 | — | 18,433 | — | ||||||||||||||||||
Reinvestment of Dividends and Distributions | 26,357 | 1,174 | — | — | — | — | ||||||||||||||||||
Cost of Shares Redeemed | (21,988 | ) | (80,970 | ) | (326 | ) | — | (232 | ) | — | ||||||||||||||
Increase in Net Assets Derived from Class Y Transactions(2) | 31,740 | 163,252 | 17,510 | — | 18,201 | — | ||||||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 14,845 | 330,987 | 143,844 | (32,506 | ) | 179,080 | (41,181 | ) | ||||||||||||||||
Net Increase (Decrease) in Net Assets | (285,000 | ) | 57,796 | 14,067 | (229,489 | ) | (24,359 | ) | (109,764 | ) | ||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of Period | 2,639,740 | 2,581,944 | 1,307,510 | 1,536,999 | 1,448,204 | 1,557,968 | ||||||||||||||||||
End of Period | $ | 2,354,740 | $ | 2,639,740 | $ | 1,321,577 | $ | 1,307,510 | $ | 1,423,845 | $ | 1,448,204 | ||||||||||||
Undistributed Net Investment Income/(Accumulated Net Investment Loss) Included in Net Assets at Period End | $ | 7,034 | $ | 4,950 | $ | 10,891 | $ | 7,694 | $ | 1,932 | $ | — |
(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 October 30, 2015. |
@ | Includes realized gains of $1,179,815 ($ Thousands) for 2015, due to affiliated and in-kind transactions (see Notes 6 and 13). |
* | Includes redemptions as a result of affiliated and in-kind transactions (see Notes 6 and 13). |
‡ | 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.
224 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Tax-Managed | S&P 500 | Small Cap | Small Cap Value Fund(3) | Small Cap Growth Fund(3) | ||||||||||||||||||||||||||||||||||
10/01/15 to 03/31/16 | 10/01/14 to | 10/01/15 to 03/31/16 | 10/01/14 to | 10/01/15 to 03/31/16 | 10/01/14 to | 10/01/15 to 03/31/16 | 10/01/14 to | 10/01/15 to 03/31/16 | 10/01/14 to | |||||||||||||||||||||||||||||
$ | 18,799 | $ | 23,526 | $ | 6,234 | $ | 16,255 | $ | 552 | $ | (520 | ) | $ | 1,537 | $ | 2,129 | $ | (312 | ) | $ | (1,716 | ) | ||||||||||||||||
(23,748 | ) | 114,462 | 9,858 | 1,258,319 | @ | (15,226 | ) | | 52,132 | | (12,719 | ) | 20,141 | (16,733 | ) | 60,950 | ||||||||||||||||||||||
| 118,279 | | (213,359 | ) | 34,630 | (1,199,416 | ) | 16,356 | (55,301 | ) | 23,045 | (23,946 | ) | 9,868 | (49,856 | ) | ||||||||||||||||||||||
113,330 | (75,371 | ) | 50,722 | 75,158 | 1,682 | (3,689 | ) | 11,863 | (1,676 | ) | (7,177 | ) | 9,378 | |||||||||||||||||||||||||
(13,459 | ) | (20,052 | ) | (3,154 | ) | (6,880 | ) | — | — | (1,686 | ) | (2,503 | ) | — | — | |||||||||||||||||||||||
— | — | (2,204 | ) | (17,505 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | — | (51 | ) | (113 | ) | — | — | (12 | ) | (18 | ) | — | — | |||||||||||||||||||||||||
— | (1 | ) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||
(727 | ) | (704 | ) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | — | (563 | ) | (35,643 | ) | (53,729 | ) | (40,220 | ) | (23,148 | ) | (29,816 | ) | — | — | |||||||||||||||||||||||
— | — | (352 | ) | (103,471 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | — | (10 | ) | (692 | ) | — | — | (176 | ) | (337 | ) | — | — | |||||||||||||||||||||||||
— | — | — | — | (3,378 | ) | — | (1 | ) | — | — | — | |||||||||||||||||||||||||||
(14,186 | ) | (20,757 | ) | (6,334 | ) | (164,304 | ) | (57,107 | ) | (40,220 | ) | (25,023 | ) | (32,674 | ) | — | — | |||||||||||||||||||||
409,491 | 695,876 | 75,705 | 108,597 | 90,516 | 165,162 | 67,212 | 49,533 | 19,925 | 47,183 | |||||||||||||||||||||||||||||
12,071 | 17,867 | 3,486 | 40,147 | 47,563 | 35,322 | 23,264 | 29,963 | — | — | |||||||||||||||||||||||||||||
(325,041 | ) | (642,867 | ) | (88,032 | ) | (112,883 | ) | (63,747 | ) | (146,610 | ) | (53,611 | ) | (74,752 | ) | (46,359 | ) | (67,002 | ) | |||||||||||||||||||
| 96,521 |
| 70,876 | (8,841 | ) |
| 35,861 |
| 74,332 | 53,874 | 36,865 | 4,744 | (26,434 | ) | (19,819 | ) | ||||||||||||||||||||||
— | — | 4,601 | 41,342 | — | — | — | — | — | — | |||||||||||||||||||||||||||||
— | — | 2,319 | 119,019 | — | — | — | — | — | — | |||||||||||||||||||||||||||||
— | — | (21,327 | ) | (1,943,969 | )* | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | — | (14,407 | ) | (1,783,608 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | — | 1,120 | 2,602 | — | — | 1,222 | 797 | 1,024 | 951 | |||||||||||||||||||||||||||||
— | — | 34 | 487 | — | — | 160 | 317 | — | — | |||||||||||||||||||||||||||||
— | — | (3,012 | ) | (2,435 | ) | — | — | (1,873 | ) | (1,185 | ) | (1,224 | ) | (1,200 | ) | |||||||||||||||||||||||
— | — | (1,858 | ) | 654 | | — | | — | (491 | ) | (71 | ) | (200 | ) | (249 | ) | ||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
— | 1 | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
— | (498 | ) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| — |
|
| (497 | ) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||
48,771 | 153,508 | 975 | — | 10,970 | 40,512 | 5,982 | — | 6,117 | — | |||||||||||||||||||||||||||||
727 | 704 | — | — | 3,378 | — | — | — | — | — | |||||||||||||||||||||||||||||
(9,419 | ) | (16,000 | ) | (108 | ) | — | (5,454 | ) | (5,704 | ) | (119 | ) | — | (109 | ) | — | ||||||||||||||||||||||
40,079 |
| 138,212 |
| 867 | — | 8,894 | 34,808 | 5,863 | — | 6,008 | — | |||||||||||||||||||||||||||
| 136,600 |
| 208,591 | (24,239 | ) | (1,747,093 | ) | 83,226 | 88,682 | 42,237 | 4,673 | (20,626 | ) | (20,068 | ) | |||||||||||||||||||||||
235,744 | 112,463 | 20,149 | (1,836,239 | ) | 27,801 | 44,773 | 29,077 | (29,677 | ) | (27,803 | ) | (10,690 | ) | |||||||||||||||||||||||||
3,202,774 | 3,090,311 | 636,479 | 2,472,718 | 528,055 | 483,282 | 349,330 | 379,007 | 328,127 | 338,817 | |||||||||||||||||||||||||||||
$ | 3,438,518 | $ | 3,202,774 | $ | 656,628 | $ | 636,479 | $ | 555,856 | $ | 528,055 | $ | 378,407 | $ | 349,330 | $ | 300,324 | $ | 328,127 | |||||||||||||||||||
$ | 10,459 | | $ | 5,846 | $ | 3,021 | $ | 2,196 | $ | 523 | $ | (29 | ) | $ | 589 | $ | 750 | $ | (1,646 | ) | $ | (1,334 | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 225 |
Statements of Changes in Net Assets ($ Thousands) (Continued)
For the six month period ended March 31, 2016 (Unaudited) and the year ended September 30, 2015
Tax-Managed | ||||||||
10/01/15 to 03/31/16 | 10/01/14 to 09/30/15 | |||||||
Operations: | ||||||||
Net Investment Income | $ | 1,568 | $ | 813 | ||||
Net Realized Gain (Loss) from Investments and Futures Contracts | (7,127 | ) | (2,210 | ) | ||||
Net Realized Gain (Loss) on Foreign Currency Transactions | — | — | ||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments and Futures Contracts | 14,581 | 2,088 | ||||||
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 | 9,022 | 691 | ||||||
Dividends and Distributions from: | ||||||||
Net Investment Income: | ||||||||
Class A | (1,379 | ) | (492 | ) | ||||
Class I | — | — | ||||||
Class Y | (116 | ) | (24 | ) | ||||
Net Capital Gains: | ||||||||
Class A | — | (6,161 | ) | |||||
Class I | — | — | ||||||
Class Y | — | — | ||||||
Total Dividends and Distributions | (1,495 | ) | (6,677 | ) | ||||
Capital Share Transactions(1): | ||||||||
Class A: | ||||||||
Proceeds from Shares Issued | 82,932 | 146,045 | ||||||
Reinvestment of Dividends and Distributions | 1,225 | 5,876 | ||||||
Cost of Shares Redeemed | (77,938 | ) | (130,722 | ) | ||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 6,219 | 21,199 | ||||||
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 | 16,146 | 33,638 | ||||||
Reinvestment of Dividends and Distributions | 116 | 24 | ||||||
Cost of Shares Redeemed | (2,792 | ) | (4,248 | ) | ||||
Increase in Net Assets Derived from Class Y Transactions(2) | 13,470 | 29,414 | ||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 19,689 | 50,613 | ||||||
Net Increase (Decrease) in Net Assets | 27,216 | 44,627 | ||||||
Net Assets: | ||||||||
Beginning of Period | 617,802 | 573,175 | ||||||
End of Period | $ | 645,018 | $ | 617,802 | ||||
Undistributed Net Investment Income Included in Net Assets at Period End | $ | 221 | $ | 148 |
(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 October 30, 2015. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
226 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Mid-Cap | U.S. Managed | Global Managed | ||||||||||||||||||||
10/01/15 to 03/31/16 | 10/01/14 to | 10/01/15 to 03/31/16 | 10/01/14 to | 10/01/15 to 03/31/16 | 10/01/14 to | |||||||||||||||||
$ | 732 | $ | 593 | $ | 13,487 | $ | 19,059 | $ | 13,424 | $ | 35,558 | |||||||||||
(3,011 | ) | 15,211 | 8,621 | 78,952 | (24,915 | ) | 31,072 | |||||||||||||||
— | — | 7 | (64 | ) | 3,793 | 111,849 | ||||||||||||||||
6,697 | (15,787 | ) | 91,132 | (60,314 | ) | 173,164 | (68,468 | ) | ||||||||||||||
— | — |
| 76 |
| 2 | (10,946 | ) | (5,649 | ) | |||||||||||||
4,418 | 17 | 113,323 | 37,635 | 154,520 | 104,362 | |||||||||||||||||
(779 | ) | (229 | ) | (8,145 | ) | (14,740 | ) | (121,131 | ) | (96,403 | ) | |||||||||||
— | (1 | ) | (3,698 | ) | (20 | ) | (66 | ) | (54 | ) | ||||||||||||
(7 | ) | — | (10 | ) | (3,149 | ) | (4,789 | ) | — | |||||||||||||
(14,310 | ) | (8,477 | ) | (49,368 | ) | (109,056 | ) | (30,756 | ) | (108,330 | ) | |||||||||||
(133 | ) | (74 | ) | (78 | ) | (175 | ) | (17 | ) | (69 | ) | |||||||||||
(3 | ) | — | (19,030 | ) | — | (1,174 | ) | — | ||||||||||||||
(15,232 | ) | (8,781 | ) | (80,329 | ) | (127,140 | ) | (157,933 | ) | (204,856 | ) | |||||||||||
23,381 | 56,163 | 268,227 | 346,255 | 425,701 | 849,169 | |||||||||||||||||
13,241 | 7,637 | 50,477 | 108,070 | 142,990 | 190,920 | |||||||||||||||||
(37,063 | ) | (54,886 | ) | (272,708 | ) | (420,910 | ) | (1,176,283 | ) | (504,130 | ) | |||||||||||
(441 | ) | 8,914 | 45,996 | 33,415 | (607,592 | ) | 535,959 | |||||||||||||||
70 | 216 | 245 | 1,200 | 362 | 356 | |||||||||||||||||
140 | 75 | 88 | 196 | 83 | 123 | |||||||||||||||||
(88 | ) | (484 | ) | (19 | ) | (1,046 | ) | (248 | ) | (146 | ) | |||||||||||
122 | (193 | ) | 314 | 350 | 197 | 333 | ||||||||||||||||
318 | — | 115,956 | 473,581 | 52,305 | 106,183 | |||||||||||||||||
— | — | 22,666 | 3,139 | 5,963 | — | |||||||||||||||||
(48 | ) | — | (75,811 | ) | (70,875 | ) | (57,027 | ) | (12,258 | ) | ||||||||||||
270 | — | 62,811 | 405,845 | 1,241 | 93,925 | |||||||||||||||||
(49 | ) | 8,721 | 109,121 | 439,610 | (606,154 | ) | 630,217 | |||||||||||||||
(10,863 | ) | (43 | ) | 142,115 | 350,105 | (609,567 | ) | 529,723 | ||||||||||||||
94,806 | 94,849 | 1,352,950 | 1,002,845 | 2,330,599 | 1,800,876 | |||||||||||||||||
$ | 83,943 | $ | 94,806 | $ | 1,495,065 | $ | 1,352,950 | $ | 1,721,032 | $ | 2,330,599 | |||||||||||
$ | 347 | $ | 401 | $ | 7,002 | $ | 5,368 | $ | 2,368 | $ | 114,930 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 227 |
Statements of Changes in Net Assets ($ Thousands) (Continued)
For the six month period ended March 31, 2016 (Unaudited) and the year ended September 30, 2015
Tax-Managed | Real Estate | Enhanced | ||||||||||||||||||||||
10/01/15 to 03/31/16 | 10/01/14 to | 10/01/15 to 03/31/16 | 10/01/14 to | 10/01/15 to 03/31/16 | 10/01/14 to | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 8,520 | $ | 12,159 | $ | 1,011 | $ | 1,079 | $ | 1,961 | $ | 4,023 | ||||||||||||
Net Realized Gain (Loss) from Investments, Futures Contracts, Options, Swaptions and Swap Contracts | 2,422 | 41,085 | 10,408 | 13,008 | (597 | ) | (520 | ) | ||||||||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | (12 | ) | (36 | ) | — | — | — | — | ||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Affiliated Investments, Futures Contracts, Options, Swaptions and Swap Contracts | 76,412 | (9,817 | ) | 12,347 | 10,977 | (922 | ) | (3,013 | ) | |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | 4 | 8 | — | — | — | — | ||||||||||||||||||
Net Increase (Decrease) in Net Assets from Operations | 87,346 | 43,399 | 23,766 | 25,064 | 442 | 490 | ||||||||||||||||||
Dividends and Distributions from: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Class A | (6,790 | ) | (11,964 | ) | (880 | ) | (3,342 | ) | (2,109 | ) | (3,921 | ) | ||||||||||||
Class I | — | — | (3 | ) | (8 | ) | (2 | ) | (6 | ) | ||||||||||||||
Class Y(2) | (3 | ) | — | (118 | ) | (147 | ) | (130 | ) | (366 | ) | |||||||||||||
Net Capital Gains: | ||||||||||||||||||||||||
Class A | (37,938 | ) | (50,428 | ) | (6,363 | ) | (9,691 | ) | — | — | ||||||||||||||
Class I | — | — | (24 | ) | (29 | ) | — | — | ||||||||||||||||
Class Y(2) | (8 | ) | — | (573 | ) | (355 | ) | — | — | |||||||||||||||
Total Dividends and Distributions | (44,739 | ) | (62,392 | ) | (7,961 | ) | (13,572 | ) | (2,241 | ) | (4,293 | ) | ||||||||||||
Capital Share Transactions(1): | ||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 223,935 | 299,438 | 26,208 | 57,178 | 34,510 | 79,695 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | 37,991 | 52,717 | 6,825 | 12,341 | 1,715 | 3,219 | ||||||||||||||||||
Cost of Shares Redeemed | (134,314 | ) | (197,877 | ) | (80,445 | ) | (116,047 | ) | (35,890 | ) | (119,541 | ) | ||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 127,612 | 154,278 | (47,412 | ) | (46,528 | ) | 335 | (36,627 | ) | |||||||||||||||
Class I: | ||||||||||||||||||||||||
Proceeds from Shares Issued | — | — | 30 | 53 | 47 | 67 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | 27 | 38 | 2 | 6 | ||||||||||||||||||
Cost of Shares Redeemed | — | — | (191 | ) | (23 | ) | (30 | ) | (213 | ) | ||||||||||||||
Increase (Decrease) in Net Assets Derived from Class I Transactions | — | — | (134 | ) | 68 | 19 | (140 | ) | ||||||||||||||||
Class Y(2): | ||||||||||||||||||||||||
Proceeds from Shares Issued | 27,014 | 320 | 18,082 | 24,117 | 8,190 | 34,988 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | 10 | — | 691 | 502 | 130 | 366 | ||||||||||||||||||
Cost of Shares Redeemed | (1,563 | ) | — | (4,393 | ) | (4,766 | ) | (1,443 | ) | (23,930 | ) | |||||||||||||
Increase (Decrease) in Net Assets Derived from Class Y Transactions(2) | 25,461 | 320 | 14,380 | 19,853 | 6,877 | 11,424 | ||||||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 153,073 | 154,598 | (33,166 | ) | (26,607 | ) | 7,231 | (25,343 | ) | |||||||||||||||
Net Increase (Decrease) in Net Assets | 195,680 | 135,605 | (17,361 | ) | (15,115 | ) | 5,432 | (29,146 | ) | |||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of Period | 901,349 | 765,744 | 212,287 | 227,402 | 202,140 | 231,286 | ||||||||||||||||||
End of Period | $ | 1,097,029 | $ | 901,349 | $ | 194,926 | $ | 212,287 | $ | 207,572 | $ | 202,140 | ||||||||||||
Undistributed (Distributions in Excess of) Net Investment Income/(Accumulated Net Investment Loss) Included in Net Assets at Period End | $ | 4,822 | $ | 3,095 | $ | 98 | $ | 88 | $ | 848 | $ | 1,128 |
(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.
228 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Core Fixed | U.S. Fixed | High Yield | Real Return | Dynamic Asset | Multi-Strategy | |||||||||||||||||||||||||||||||||||||||||
10/01/15 to 03/31/16 | 10/01/14 to | 10/01/15 to 03/31/16 | 10/01/14 to | 10/01/15 to 03/31/16 | 10/01/14 to | 10/01/15 to 03/31/16 | 10/01/14 to | 10/01/15 to 03/31/16 | 10/01/14 to | 10/01/15 to 03/31/16 | 10/01/14 to | |||||||||||||||||||||||||||||||||||
$ | 23,841 | $ | 48,651 | $ | 11,544 | $ | 22,338 | $ | 52,171 | $ | 99,796 | $ | (3,482 | ) | $ | (2,742 | ) | $ | 3,547 | $ | 209 | $ | 5,505 | $ | 8,025 | |||||||||||||||||||||
| 11,213 | | 30,840 | 12,596 | 12,791 | (43,133 | ) | (17,997 | ) | (459 | ) | (742 | ) | (4,650 | ) | (742 | ) | (13,320 | ) | 10,930 | ||||||||||||||||||||||||||
61 | 2,242 | 2 | (2 | ) | — | — | — | — | 1,202 | 4 | (355 | ) | — | |||||||||||||||||||||||||||||||||
11,191 |
| (31,800 | ) | 1,809 | (5,940 | ) | (37,122 | ) | (139,096 | ) | 8,128 | (1,056 | ) | 20,644 |
| (6,250 | ) | 11,720 | (35,082 | ) | ||||||||||||||||||||||||||
(1,387 | ) |
| (2,305 | ) | (56 | ) | (48 | ) | — | — | — | — | (7,390 | ) | | 61 | | (516 | ) | — | ||||||||||||||||||||||||||
44,919 | 47,628 | 25,895 | 29,139 | (28,084 | ) | (57,297 | ) | 4,187 | (4,540 | ) | 13,353 | (6,718 | ) | 3,034 | (16,127 | ) | ||||||||||||||||||||||||||||||
(23,603 | ) | (48,772 | ) | (10,907 | ) | (21,502 | ) | (46,803 | ) | (91,740 | ) | — | (344 | ) | (1,545 | ) | — | (8,678 | ) | (8,032 | ) | |||||||||||||||||||||||||
(101 | ) | (215 | ) | — | — | (38 | ) | (373 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||||||
(477 | ) | (99 | ) | (998 | ) | (1,561 | ) | (5,171 | ) | (6,435 | ) | — | — | (203 | ) | — | — | — | ||||||||||||||||||||||||||||
(22,282 | ) | — | (11,458 | ) | (1,985 | ) | (20,752 | ) | (9,791 | ) | — | — | — | — | (5,493 | ) | — | |||||||||||||||||||||||||||||
(88 | ) | — | — | — | (14 | ) | (21 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
(251 | ) | — | (904 | ) | — | (1,965 | ) | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
(46,802 | ) | (49,086 | ) | (24,267 | ) | (25,048 | ) | (74,743 | ) | (108,360 | ) | — | (344 | ) | (1,748 | ) | — | (14,171 | ) | (8,032 | ) | |||||||||||||||||||||||||
184,889 | 378,385 | 178,566 | 325,292 | 302,936 | 585,697 | 58,189 | 90,001 | 461,288 | 24,838 | 94,046 | 165,330 | |||||||||||||||||||||||||||||||||||
41,401 | 44,243 | 18,912 | 20,101 | 59,713 | 89,537 | — | 294 | 1,436 | — | 12,520 | 7,058 | |||||||||||||||||||||||||||||||||||
(268,204 | ) | (394,000 | ) | (174,804 | ) | (335,149 | ) | (301,511 | ) | (677,590 | ) | (48,792 | ) | (106,478 | ) | (49,744 | ) | (1,318 | ) | (77,149 | ) | (118,528 | ) | |||||||||||||||||||||||
(41,914 | ) |
| 28,628 |
| 22,674 | 10,244 | 61,138 | (2,356 | ) | 9,397 | (16,183 | ) | 412,980 | 23,520 | 29,417 | 53,860 | ||||||||||||||||||||||||||||||
5,997 | 5,064 | — | — | 4,614 | 30,476 | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
119 | 147 | — | — | 51 | 351 | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
(9,719 | ) | (3,212 | ) | — | — | (83 | ) | (32,994 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||||||
(3,603 | ) |
| 1,999 |
| — | — | 4,582 | (2,167 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||||||
36,272 | 23,516 | 17,606 | 101,947 | 58,462 | 168,948 | 6,792 | 29,060 | 2,883 | 54,351 | 4,453 | 20 | |||||||||||||||||||||||||||||||||||
727 | 99 | 1,898 | 1,581 | 7,129 | 6,525 | — | — | 203 | — | — | — | |||||||||||||||||||||||||||||||||||
(1,810 | ) | (470 | ) | (14,409 | ) | (13,741 | ) | (15,246 | ) | (23,450 | ) | (5,376 | ) | (3,524 | ) | (6,843 | ) | (1,410 | ) | (3,371 | ) | — | ||||||||||||||||||||||||
35,189 |
| 23,145 |
| 5,095 | 89,787 | 50,345 | 152,023 | 1,416 | 25,536 | (3,757 | ) | 52,941 | 1,082 | 20 | ||||||||||||||||||||||||||||||||
(10,328 | ) |
| 53,772 |
| 27,769 | 100,031 | 116,065 | 147,500 | 10,813 | 9,353 | 409,223 | 76,461 | 30,499 | 53,880 | ||||||||||||||||||||||||||||||||
(12,211 | ) | 52,314 | 29,397 | 104,122 | 13,238 | (18,157 | ) | 15,000 | 4,469 | 420,828 | 69,743 | 19,362 | 29,721 | |||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||
$ | 2,091,859 | $ | 2,104,070 | $ | 1,231,999 | $ | 1,202,602 | $ | 1,706,357 | $ | 1,693,119 | $ | 304,413 | $ | 289,413 | $ | 490,571 | $ | 69,743 | $ | 547,173 | $ | 527,811 | |||||||||||||||||||||||
$ | (1,488 | ) | $ | (1,148 | ) | $ | (189 | ) | $ | 172 | $ | 17,624 | $ | 17,465 | $ | (5,248 | ) | $ | (1,766 | ) | $ | 2,013 | $ | 214 |
| $ | (239 | ) | $ | 2,934 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 229 |
Consolidated Statements of Changes in Net Assets/Statements of Changes in Net Assets ($ Thousands) (Concluded)
For the six month period ended March 31, 2016 (Unaudited) and the year ended September 30, 2015
Multi-Asset | ||||||||
10/01/15 to 03/31/16 | 10/01/14 to | |||||||
Operations: | ||||||||
Net Investment Income (Loss) | $ | (13,217 | ) | $ | (17,632 | ) | ||
Net Realized Gain (Loss) from Investments, Securities Sold Short, Futures Contracts, Options and Swap Contracts | 27,031 | (81,069 | ) | |||||
Net Realized Gain (Loss) on Foreign Currency Transactions | (5,784 | ) | (8,451 | ) | ||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Affiliated Investments, Securities Sold Short, Futures Contracts, Options and Swap Contracts | 72,720 | 14,046 | ||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | (9,073 | ) | 1,263 | |||||
Net Increase (Decrease) in Net Assets from Operations | 71,677 | (91,843 | ) | |||||
Dividends and Distributions from: | ||||||||
Net Investment Income: | ||||||||
Class A | — | (21,898 | ) | |||||
Class Y(2) | — | — | ||||||
Net Capital Gains: | ||||||||
Class A | (52,441 | ) | (155,829 | ) | ||||
Class Y(2) | (5,687 | ) | — | |||||
Total Dividends and Distributions | (58,128 | ) | (177,727 | ) | ||||
Capital Share Transactions(1): | ||||||||
Class A: | ||||||||
Proceeds from Shares Issued | 319,456 | 668,657 | ||||||
Reinvestment of Dividends and Distributions | 48,391 | 161,925 | ||||||
Cost of Shares Redeemed | (253,639 | ) | (636,334 | ) | ||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 114,208 | 194,248 | ||||||
Class Y(2): | ||||||||
Proceeds from Shares Issued | 18,242 | 233,302 | ||||||
Reinvestment of Dividends and Distributions | 5,687 | — | ||||||
Cost of Shares Redeemed | (25,338 | ) | (17,896 | ) | ||||
Increase (Decrease) in Net Assets Derived from Class Y Transactions(2) | (1,409 | ) | 215,406 | |||||
Increase in Net Assets Derived from Capital Share Transactions | 112,799 | 409,654 | ||||||
Net Increase (Decrease) in Net Assets | 126,348 | 140,084 | ||||||
Net Assets: | ||||||||
Beginning of Period | 2,005,930 | 1,865,846 | ||||||
End of Period | $ | 2,132,278 | $ | 2,005,930 | ||||
Undistributed (Distributions in Excess of) Net Investment Income/(Accumulated Net Investment Loss) Included in Net Assets at Period End | $ | (29,276 | ) | $ | (16,059 | ) |
(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.
230 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Multi-Asset Income Fund | Multi-Asset Inflation Managed Fund | Multi-Asset Capital Stability Fund | Long/Short Alternative Fund(3)(4) | |||||||||||||||||||||||||||
10/01/15 to 03/31/16 | 10/01/14 to 09/30/15 | 10/01/15 to 03/31/16 | 10/01/14 to 09/30/15 | 10/01/15 to 03/31/16 | 10/01/14 to 09/30/15 | 10/01/15 to 03/31/16 | 10/01/14 to 09/30/15 | |||||||||||||||||||||||
$ | 15,705 | $ | 30,610 | $ | (3,399 | ) | $ | (17 | ) | $ | (1,256 | ) | $ | (2,202 | ) | $ | (84 | ) | $ | (266 | ) | |||||||||
(8,500 | ) | 1,276 | (20,485 | ) | (85,398 | ) | (2,130 | ) | 7,875 | (1,019 | ) | (665 | ) | |||||||||||||||||
334 | 4,342 | 1,120 | 2,781 | 302 | 1,638 | — | — | |||||||||||||||||||||||
(10,377 | ) | (17,363 | ) |
| 9,341 |
| 15,262 | 6,681 | (4,834 | ) | 741 | (601 | ) | |||||||||||||||||
(528 | ) |
| (626 | ) | (1,086 | ) | (234 | ) | 471 | 25 | — | — | ||||||||||||||||||
(3,366 | ) | 18,239 | (14,509 | ) | (67,606 | ) | 4,068 | 2,502 | (362 | ) | (1,532 | ) | ||||||||||||||||||
(18,008 | ) | (23,778 | ) | (4,527 | ) | — | — | (254 | ) | — | — | |||||||||||||||||||
(1,678 | ) | (1,166 | ) | (590 | ) | — | — | — | — | — | ||||||||||||||||||||
(6,367 | ) | (2,779 | ) | — | — | (6,779 | ) | (10,427 | ) | — | — | |||||||||||||||||||
(332 | ) | — | — | — | (583 | ) | — | — | — | |||||||||||||||||||||
(26,385 | ) | (27,723 | ) | (5,117 | ) | — | (7,362 | ) | (10,681 | ) | — | — | ||||||||||||||||||
121,656 | 225,257 | 175,369 | 333,123 | 139,038 | 209,534 | — | 36,289 | |||||||||||||||||||||||
19,699 | 21,766 | 3,967 | — | 5,291 | 8,724 | — | — | |||||||||||||||||||||||
(162,505 | ) | (162,300 | ) | (134,391 | ) | (267,036 | ) | (90,027 | ) | (185,686 | ) | — | (36,631 | ) | ||||||||||||||||
(21,150 | ) | 84,723 | 44,945 | 66,087 | 54,302 | 32,572 | — | (342 | ) | |||||||||||||||||||||
58,909 | 37,444 | 14,083 | 94,894 | 5,971 | 57,966 | — | 43,057 | |||||||||||||||||||||||
1,991 | 1,166 | 590 | — | 583 | — | — | — | |||||||||||||||||||||||
(4,213 | ) | (4,870 | ) | (6,992 | ) | (9,620 | ) | (4,647 | ) | (7,590 | ) | — | — | |||||||||||||||||
56,687 | 33,740 | 7,681 | 85,274 | 1,907 | 50,376 | — | 43,057 | |||||||||||||||||||||||
35,537 | 118,463 | 52,626 | 151,361 | 56,209 | 82,948 | — | 42,715 | |||||||||||||||||||||||
5,786 | 108,979 | 33,000 | 83,755 | 52,915 | 74,769 | (362 | ) | 41,183 | ||||||||||||||||||||||
648,483 | 539,504 | 1,007,296 | 923,541 | 616,371 | 541,602 | 41,183 | — | |||||||||||||||||||||||
$ | 654,269 | $ | 648,483 | $ | 1,040,296 | $ | 1,007,296 | $ | 669,286 | $ | 616,371 | $ | 40,821 | $ | 41,183 | |||||||||||||||
$ | 1,139 | $ | 5,120 |
| $ | (13,023 | ) | $ | (4,507 | ) | $ | (1,491 | ) | $ | (235 | ) | $ | (350 | ) | $ | (266 | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 231 |
Consolidated Statement of Cash Flows ($ Thousands)
For the six month period ended March 31, 2016 (Unaudited)
Multi-Asset Inflation Managed Fund | ||||
Cash Flows from Operating Activities: | ||||
Net Decrease in Net Assets from Operations | $ | (14,509 | ) | |
Adjustments to Reconcile Net Decrease in Net Assets Resulting from Operations to Net Cash Provided by Operating Activities: | ||||
Purchase of Investment Securities | (545,239 | ) | ||
Proceeds from Disposition of Investment Securities | 618,659 | |||
Proceeds from Securities Sold Short | 148,313 | |||
Purchases to Cover Securities Sold Short | (165,483 | ) | ||
Proceeds from Sale of Options/Expired Options | 36 | |||
Amortization (Accretion of Market Discount) | 5,869 | |||
Net Realized (Gain) Loss on: | ||||
Investments and Securities Sold Short | (4,488 | ) | ||
Options | 110 | |||
Net Change in Unrealized (Appreciation) Depreciation on: | ||||
Investments and Securities Sold Short | (1,503 | ) | ||
Options | (11 | ) | ||
Changes in assets: | ||||
Foreign Currency, at value | (3,086 | ) | ||
Cash Collateral on Swaps | (121 | ) | ||
Cash Collateral on Futures | 202 | |||
Receivable for Investment Securities Sold | 3,563 | |||
Dividends and Interest Receivable | 316 | |||
Receivable for Variation Margin | 458 | |||
OTC Swap Contracts, at value | (22 | ) | ||
Foreign Tax Reclaim Receivable | (2 | ) | ||
Unrealized Gain on Forward Foreign Currency Contracts | (70 | ) | ||
Unrealized Gain on Foreign Spot Currency Contracts | (34 | ) | ||
Prepaid Expenses | (9 | ) | ||
Changes in liabilities: | ||||
Payable for Investment Securities Purchased | (4,600 | ) | ||
Payable for Variation Margin | (118 | ) | ||
Investment Advisory Fees Payable | 33 | |||
Administration Fees Payable | 14 | |||
Shareholder Servicing Fees Payable Class A | 12 | |||
OTC Swap Contracts, at value | 242 | |||
Unrealized Loss on Forward Foreign Currency Contracts | 981 | |||
Unrealized Loss on Foreign Spot Currency Contracts | 8 | |||
Accrued Expense Payable | 15 | |||
Net Provided by Operating Activities | 39,536 | |||
Cash Flows from Financing Activities: | ||||
Reverse Repurchase Agreements | (43,753 | ) | ||
Dividends and Distributions | (4,527 | ) | ||
Proceeds from Shares Issued | 190,649 | |||
Reinvestment of Dividends and Distributions | 3,967 | |||
Cost of Shares Redeemed | (140,869 | ) | ||
Net Cash Provided by Financing Activities | 5,467 | |||
Net Change in Cash | 45,003 | |||
Cash at Beginning of Period | 148,268 | |||
Cash at End of Period | $ | 193,271 |
The accompanying notes are an integral part of the financial statements.
232 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
For the period ended March 31, 2016 (Unaudited) and the years or periods ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
Net Asset Value, Beginning of Period | Net Investment Income (1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Large Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 13.71 | $ | 0.07 | $ | 0.55 | $ | 0.62 | $ | (0.06 | ) | $ | (2.33 | ) | $ | (2.39 | ) | $ | 11.94 | 4.32 | % | $ | 2,184,893 | 0.91 | %(28) | 0.91 | %(28) | 0.98 | % | 1.16 | % | 47 | % | |||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 13.71 | $ | 0.09 | $ | 0.54 | $ | 0.63 | $ | (0.07 | ) | $ | (2.33 | ) | $ | (2.40 | ) | $ | 11.94 | 4.43 | % | $ | 169,847 | 0.66 | %(28) | 0.66 | %(28) | 0.74 | % | 1.42 | % | 47 | % | |||||||||||||||||||||||||||
2015(24) | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 22.35 | $ | 0.17 | $ | 0.69 | $ | 0.86 | $ | (0.12 | ) | $ | (2.95 | ) | $ | (3.07 | ) | $ | 20.14 | 3.75 | % | $ | 1,295,765 | 0.91 | %(28) | 0.91 | %(28) | 0.95 | % | 1.64 | % | 48 | % | |||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 22.35 | $ | 0.14 | $ | 0.71 | $ | 0.85 | $ | (0.10 | ) | $ | (2.95 | ) | $ | (3.05 | ) | $ | 20.15 | 3.66 | % | $ | 6,539 | 1.13 | %(28) | 1.13 | %(28) | 1.20 | % | 1.38 | % | 48 | % | |||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class Y@ |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016 | $ | 23.90 | $ | 0.18 | $ | (0.93 | ) | $ | (0.75 | ) | $ | (0.06 | ) | $ | (2.95 | ) | $ | (3.01 | ) | $ | 20.14 | (3.27 | )% | $ | 19,273 | 0.66 | %(28) | 0.66 | %(28) | 0.72 | % | 2.30 | % | 48 | % | |||||||||||||||||||||||||
Large Cap Growth Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 32.22 | $ | 0.04 | $ | 1.23 | $ | 1.27 | $ | — | $ | (5.51 | ) | $ | (5.51 | ) | $ | 27.98 | 3.24 | % | $ | 1,399,545 | 0.91 | %(28) | 0.91 | %(28) | 1.00 | % | 0.26 | % | 59 | % | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 31.75 | $ | 0.01 | $ | 1.21 | $ | 1.22 | $ | — | $ | (5.51 | ) | $ | (5.51 | ) | $ | 27.46 | 3.12 | % | $ | 5,212 | 1.13 | %(28) | 1.13 | %(28) | 1.25 | % | 0.05 | % | 59 | % | ||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
Class Y@ |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016 | $ | 34.91 | $ | 0.07 | $ | (1.46 | ) | $ | (1.39 | ) | $ | — | $ | (5.51 | ) | $ | (5.51 | ) | $ | 28.01 | (4.61 | )% | $ | 19,088 | 0.66 | %(28) | 0.66 | %(28) | 0.77 | % | 0.63 | % | 59 | % | ||||||||||||||||||||||||||
Tax-Managed Large Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 19.13 | $ | 0.11 | $ | 0.57 | $ | 0.68 | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | $ | 19.73 | 3.56 | % | $ | 3,261,229 | 0.90 | %(28) | 0.90 | %(28) | 0.99 | % | 1.11 | % | 49 | % | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 19.13 | $ | 0.14 | $ | 0.58 | $ | 0.72 | $ | (0.11 | ) | $ | — | $ | (0.11 | ) | $ | 19.74 | 3.74 | % | $ | 177,289 | 0.65 | %(28) | 0.65 | %(28) | 0.74 | % | 1.40 | % | 49 | % | ||||||||||||||||||||||||||||
2015(24) | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 47.23 | $ | 0.45 | $ | 3.44 | $ | 3.89 | $ | (0.39 | ) | $ | (0.07 | ) | $ | (0.46 | ) | $ | 50.66 | 8.26 | % | $ | 403,732 | 0.46 | %(28) | 0.46 | %(28) | 0.58 | % | 1.85 | % | 7 | % | |||||||||||||||||||||||||||
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 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 233 |
Financial Highlights (Continued)
For the period ended March 31, 2016 (Unaudited) and the years or periods ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
S&P 500 Index Fund (continued) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class E |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 47.54 | $ | 0.50 | $ | 3.46 | $ | 3.96 | $ | (0.43 | ) | $ | (0.07 | ) | $ | (0.50 | ) | $ | 51.00 | 8.36 | % | $ | 245,526 | 0.27 | %(28) | 0.27 | %(28) | 0.33 | % | 2.03 | % | 7 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 47.46 | $ | 0.40 | $ | 3.46 | $ | 3.86 | $ | (0.34 | ) | $ | (0.07 | ) | $ | (0.41 | ) | $ | 50.91 | 8.14 | % | $ | 6,416 | 0.67 | %(28) | 0.67 | %(28) | 0.83 | % | 1.63 | % | 7 | % | |||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
Class Y@ |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016 | $ | 51.04 | $ | 0.46 | $ | (0.49 | ) | $ | (0.03 | ) | $ | (0.26 | ) | $ | (0.07 | ) | $ | (0.33 | ) | $ | 50.68 | (0.05 | )% | $ | 954 | 0.21 | %(28) | 0.21 | %(28) | 0.35 | % | 2.28 | % | 7 | % | |||||||||||||||||||||||||
Small Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 11.99 | $ | 0.01 | $ | 0.07 | $ | 0.08 | $ | — | $ | (1.26 | ) | $ | (1.26 | ) | $ | 10.81 | 0.32 | % | $ | 516,640 | 1.16 | %(28) | 1.16 | %(28) | 1.25 | % | 0.19 | % | 67 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 12.01 | $ | 0.03 | $ | 0.06 | $ | 0.09 | $ | — | $ | (1.26 | ) | $ | (1.26 | ) | $ | 10.84 | 0.40 | % | $ | 39,216 | 0.92 | %(28) | 0.92 | %(28) | 1.00 | % | 0.45 | % | 67 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 21.80 | $ | 0.09 | $ | 0.82 | $ | 0.91 | $ | (0.10 | ) | $ | (1.31 | ) | $ | (1.41 | ) | $ | 21.30 | 4.22 | % | $ | 368,615 | 1.18 | %(28) | 1.18 | %(28) | 1.26 | % | 0.83 | % | 87 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 21.64 | $ | 0.06 | $ | 0.82 | $ | 0.88 | $ | (0.07 | ) | $ | (1.31 | ) | $ | (1.38 | ) | $ | 21.14 | 4.13 | % | $ | 3,158 | 1.39 | %(28) | 1.39 | %(28) | 1.51 | % | 0.58 | % | 87 | % | |||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class Y@ |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016 | $ | 22.95 | $ | 0.13 | $ | (1.76 | ) | $ | (1.63 | ) | $ | — | $ | — | $ | — | $ | 21.32 | (1.05 | )% | $ | 6,634 | 0.93 | %(28) | 0.93 | %(28) | 1.07 | % | 1.52 | % | 87 | % | ||||||||||||||||||||||||||||
Small Cap Growth Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 26.60 | $ | (0.02 | ) | $ | (0.62 | ) | $ | (0.64 | ) | $ | — | $ | — | $ | — | $ | 25.96 | (2.41 | )% | $ | 291,406 | 1.15 | %(28) | 1.15 | %(28) | 1.40 | % | (0.20 | )% | 131 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 25.71 | $ | (0.05 | ) | $ | (0.59 | ) | $ | (0.64 | ) | $ | — | $ | — | $ | — | $ | 25.07 | (2.49 | )% | $ | 2,491 | 1.40 | %(28) | 1.40 | %(28) | 1.52 | % | (0.45 | )% | 131 | % | |||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class Y@ |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016 | $ | 27.72 | $ | 0.02 | $ | (1.75 | ) | $ | (1.73 | ) | $ | — | $ | — | $ | — | $ | 25.99 | (6.24 | )% | $ | 6,427 | 0.90 | %(28) | 0.90 | %(28) | 1.08 | % | 0.19 | % | 131 | % |
234 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
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† | ||||||||||||||||||||||||||||||||||||||||||||||
Tax-Managed Small/Mid Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 17.53 | $ | 0.04 | $ | 0.26 | $ | 0.30 | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | 17.79 | 1.71 | % | $ | 601,732 | 1.13 | %(28) | 1.13 | %(28) | 1.25 | % | 0.48 | % | 65 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 17.55 | $ | 0.08 | $ | 0.24 | $ | 0.32 | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 17.80 | 1.82 | % | $ | 43,286 | 0.92 | %(28) | 0.92 | %(28) | 1.00 | % | 0.77 | % | 65 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 25.08 | $ | 0.19 | $ | 1.42 | $ | 1.61 | $ | (0.20 | ) | $ | (3.87 | ) | $ | (4.07 | ) | $ | 22.62 | 6.88 | % | $ | 82,716 | 1.03 | %(28) | 1.03 | %(28) | 1.03 | % | 1.67 | % | 53 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 25.04 | $ | 0.17 | $ | 1.42 | $ | 1.59 | $ | (0.17 | ) | $ | (3.87 | ) | $ | (4.04 | ) | $ | 22.59 | 6.80 | % | $ | 922 | 1.26 | %(28) | 1.26 | %(28) | 1.29 | % | 1.51 | % | 53 | % | |||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class Y@ |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016 | $ | 26.61 | $ | 0.24 | $ | (0.19 | ) | $ | 0.05 | $ | (0.16 | ) | $ | (3.87 | ) | $ | (4.03 | ) | $ | 22.63 | 0.62 | % | $ | 305 | 0.78 | %(28) | 0.78 | %(28) | 0.86 | % | 2.76 | % | 53 | % | ||||||||||||||||||||||||||
U.S. Managed Volatility Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 16.23 | $ | 0.15 | $ | 1.15 | $ | 1.30 | $ | (0.13 | ) | $ | (0.80 | ) | $ | (0.93 | ) | $ | 16.60 | 8.29 | % | $ | 1,022,596 | 1.02 | %(28) | 1.02 | %(28) | �� | 1.24 | % | 1.82 | % | 22 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 16.21 | $ | 0.13 | $ | 1.14 | $ | 1.27 | $ | (0.10 | ) | $ | (0.80 | ) | $ | (0.90 | ) | $ | 16.58 | 8.10 | % | $ | 1,825 | 1.27 | %(28) | 1.27 | %(28) | 1.50 | % | 1.60 | % | 22 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 16.24 | $ | 0.17 | $ | 1.14 | $ | 1.31 | $ | (0.15 | ) | $ | (0.80 | ) | $ | (0.95 | ) | $ | 16.60 | 8.35 | % | $ | 470,644 | 0.77 | %(28) | 0.77 | %(28) | 1.00 | % | 2.10 | % | 22 | % | |||||||||||||||||||||||||||
2015(24) | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 10.83 | $ | 0.07 | $ | 0.85 | $ | 0.92 | $ | (0.55 | ) | $ | (0.14 | ) | $ | (0.69 | ) | $ | 11.06 | 8.66 | % | $ | 1,619,424 | 1.13 | %(28) | 1.13 | %(28) | 1.25 | % | 1.20 | % | 33 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 10.62 | $ | 0.06 | $ | 0.83 | $ | 0.89 | $ | (0.52 | ) | $ | (0.14 | ) | $ | (0.66 | ) | $ | 10.85 | 8.57 | % | $ | 1,529 | 1.39 | %(28) | 1.39 | %(28) | 1.51 | % | 1.09 | % | 33 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 10.85 | $ | 0.08 | $ | 0.86 | �� | $ | 0.94 | $ | (0.57 | ) | $ | (0.14 | ) | $ | (0.71 | ) | $ | 11.08 | 8.87 | % | $ | 100,079 | 0.88 | %(28) | 0.88 | %(28) | 1.01 | % | 1.55 | % | 33 | % | ||||||||||||||||||||||||||
2015(24) | 10.73 | 0.19 | (0.07 | ) | 0.12 | — | — | — | 10.85 | 1.12 | 94,522 | 0.86 | 0.86 | 0.99 | 2.23 | 52 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 235 |
Financial Highlights (Continued)
For the period ended March 31, 2016 (Unaudited) and the years or periods ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Tax-Managed Managed Volatility Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 13.88 | $ | 0.12 | $ | 1.09 | $ | 1.21 | $ | (0.10 | ) | $ | (0.56 | ) | $ | (0.66 | ) | $ | 14.43 | 9.02 | % | $ | 1,068,465 | 1.01 | %(28) | 1.01 | %(28) | 1.24 | % | 1.74 | % | 19 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 13.89 | $ | 0.17 | $ | 1.06 | $ | 1.23 | $ | (0.12 | ) | $ | (0.56 | ) | $ | (0.68 | ) | $ | 14.44 | 9.15 | % | $ | 28,564 | 0.76 | %(28) | 0.76 | %(28) | 1.02 | % | 2.48 | % | 19 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 17.96 | $ | 0.09 | $ | 2.08 | $ | 2.17 | $ | (0.09 | ) | $ | (0.58 | ) | $ | (0.67 | ) | $ | 19.46 | 12.36 | % | $ | 158,158 | 1.17 | %(28) | 1.17 | %(28) | 1.26 | % | 1.03 | % | 33 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 17.94 | $ | 0.08 | $ | 2.07 | $ | 2.15 | $ | (0.07 | ) | $ | (0.58 | ) | $ | (0.65 | ) | $ | 19.44 | 12.28 | % | $ | 638 | 1.39 | %(28) | 1.39 | %(28) | 1.51 | % | 0.85 | % | 33 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 17.96 | $ | 0.06 | $ | 2.15 | $ | 2.21 | $ | (0.12 | ) | $ | (0.58 | ) | $ | (0.70 | ) | $ | 19.47 | 12.58 | % | $ | 36,130 | 0.92 | %(28) | 0.92 | %(28) | 1.03 | % | 0.64 | % | 33 | % | |||||||||||||||||||||||||||
2015(24) | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 7.46 | $ | 0.07 | $ | (0.05 | ) | $ | 0.02 | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | $ | 7.40 | 0.30 | % | $ | 189,228 | 0.63 | %(28) | 0.63 | %(28) | 1.04 | % | 1.91 | % | 44 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 7.45 | $ | 0.06 | $ | (0.06 | ) | $ | — | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 7.38 | 0.02 | % | $ | 249 | 0.88 | %(28) | 0.88 | %(28) | 1.30 | % | 1.66 | % | 44 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 7.46 | $ | 0.08 | $ | (0.06 | ) | $ | 0.02 | $ | (0.09 | ) | $ | — | $ | (0.09 | ) | $ | 7.39 | 0.23 | % | $ | 18,095 | 0.49 | %(28) | 0.49 | %(28) | 0.81 | % | 2.07 | % | 44 | % | |||||||||||||||||||||||||||
2015(24) | 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 | ||||||||||||||||||||||||||||||||||||||||||
Core Fixed Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 11.47 | $ | 0.13 | $ | 0.11 | $ | 0.24 | $ | (0.13 | ) | $ | (0.12 | ) | $ | (0.25 | ) | $ | 11.46 | 2.20 | % | $ | 2,024,241 | 0.69 | %(28) | 0.69 | %(28) | 0.87 | % | 2.30 | % | 184 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 11.46 | $ | 0.12 | $ | 0.11 | $ | 0.23 | $ | (0.12 | ) | $ | (0.12 | ) | $ | (0.24 | ) | $ | 11.45 | 2.09 | % | $ | 8,949 | 0.91 | %(28) | 0.91 | %(28) | 1.12 | % | 2.07 | % | 184 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 11.47 | $ | 0.15 | $ | 0.11 | $ | 0.26 | $ | (0.15 | ) | $ | (0.12 | ) | $ | (0.27 | ) | $ | 11.46 | 2.33 | % | $ | 58,669 | 0.44 | %(28) | 0.44 | %(28) | 0.63 | % | 2.58 | % | 184 | % | |||||||||||||||||||||||||||
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 |
236 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
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. Fixed Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 10.38 | $ | 0.10 | $ | 0.12 | $ | 0.22 | $ | (0.10 | ) | $ | (0.11 | ) | $ | (0.21 | ) | $ | 10.39 | 2.12 | % | $ | 1,137,737 | 0.68 | %(28) | 0.68 | %(28) | 0.88 | % | 1.89 | % | 226 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 10.38 | $ | 0.11 | $ | 0.12 | $ | 0.23 | $ | (0.11 | ) | $ | (0.11 | ) | $ | (0.22 | ) | $ | 10.39 | 2.24 | % | $ | 94,262 | 0.43 | %(28) | 0.43 | %(28) | 0.63 | % | 2.14 | % | 226 | % | |||||||||||||||||||||||||||
2015(24) | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 7.01 | $ | 0.21 | $ | (0.33 | ) | $ | (0.12 | ) | $ | (0.21 | ) | $ | (0.09 | ) | $ | (0.30 | ) | $ | 6.59 | (1.69 | )% | $ | 1,514,931 | 0.91 | %(28) | 0.91 | %(28) | 1.10 | % | 6.24 | % | 24 | % | |||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 6.78 | $ | 0.20 | $ | (0.33 | ) | $ | (0.13 | ) | $ | (0.19 | ) | $ | (0.09 | ) | $ | (0.28 | ) | $ | 6.37 | (1.81 | )% | $ | 5,538 | 1.13 | %(28) | 1.13 | %(28) | 1.39 | % | 6.19 | % | 24 | % | |||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 7.01 | $ | 0.22 | $ | (0.33 | ) | $ | (0.11 | ) | $ | (0.22 | ) | $ | (0.09 | ) | $ | (0.31 | ) | $ | 6.59 | (1.56 | )% | $ | 185,888 | 0.66 | %(28) | 0.66 | %(28) | 0.85 | % | 6.52 | % | 24 | % | |||||||||||||||||||||||||
2015(24) | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 9.91 | $ | (0.12 | ) | $ | 0.26 | $ | 0.14 | $ | — | $ | — | $ | — | $ | 10.05 | 1.41 | % | $ | 277,078 | 0.47 | %(28) | 0.47 | %(28) | 0.82 | % | (2.36 | )% | 13 | % | |||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 9.92 | $ | (0.11 | ) | $ | 0.26 | $ | 0.15 | $ | — | $ | — | $ | — | $ | 10.07 | 1.51 | % | $ | 27,335 | 0.37 | %(28) | 0.37 | %(28) | 0.57 | % | (2.26 | )% | 13 | % | |||||||||||||||||||||||||||||
2015(24) | 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 |
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2016** | $ | 9.09 | $ | 0.07 | $ | 0.47 | $ | 0.54 | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | 9.59 | 5.88 | % | $ | 443,316 | 0.77 | %(28) | 0.77 | %(28) | 1.20 | % | 1.56 | % | 4 | % | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 9.09 | $ | 0.08 | $ | 0.47 | $ | 0.55 | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | 9.60 | 6.05 | % | $ | 47,255 | 0.52 | %(28) | 0.52 | %(28) | 0.94 | % | 1.77 | % | 4 | % | ||||||||||||||||||||||||||||
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 |
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Class A |
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2016** | $ | 9.60 | $ | 0.10 | $ | (0.05 | ) | $ | 0.05 | $ | (0.15 | ) | $ | (0.10 | ) | $ | (0.25 | ) | $ | 9.40 | 0.52 | % | $ | 546,025 | 0.83 | %(27)(28) | 0.83 | %(27)(28) | 2.19 | %(27) | 2.04 | % | 38 | % | ||||||||||||||||||||||||||
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 |
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2016** | $ | 9.60 | $ | (0.01 | ) | $ | 0.09 | (5) | $ | 0.08 | $ | (0.18 | ) | $ | (0.10 | ) | $ | (0.28 | ) | $ | 9.40 | 0.76 | % | $ | 1,148 | 0.74 | %(27)(28) | 0.74 | %(27)(28) | 2.02 | %(27) | (0.15 | )% | 38 | % | |||||||||||||||||||||||||
2015(7) | 9.97 | 0.04 | (0.41 | ) | (0.37 | ) | — | — | — | 9.60 | (3.71 | ) | 19 | 0.25 | 0.25 | 1.83 | 1.03 | 35 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 237 |
Financial Highlights/Consolidated Financial Highlights
For the period ended March 31, 2016 (Unaudited) and the years or periods ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Multi-Asset Accumulation Fund |
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Class A |
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2016** | $ | 9.53 | $ | (0.06 | ) | $ | 0.39 | $ | 0.33 | $ | — | $ | (0.27 | ) | $ | (0.27 | ) | $ | 9.59 | 3.58 | % | $ | 1,930,164 | 1.19 | %(28) | 1.19 | %(28) | 1.34 | % | (1.31 | )% | 52 | % | |||||||||||||||||||||||||||
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 |
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2016** | $ | 9.55 | $ | (0.05 | ) | $ | 0.39 | $ | 0.34 | $ | — | $ | (0.27 | ) | $ | (0.27 | ) | $ | 9.62 | 3.68 | % | $ | 202,114 | 0.94 | %(28) | 0.94 | %(28) | 1.09 | % | (1.10 | )% | 52 | % | |||||||||||||||||||||||||||
2015(24) | 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 |
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Class A |
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2016** | $ | 10.46 | $ | 0.24 | $ | (0.30 | ) | $ | (0.06 | ) | $ | (0.30 | ) | $ | (0.10 | ) | $ | (0.40 | ) | $ | 10.00 | (0.48 | )% | $ | 565,676 | 0.83 | %(25)(28) | 0.83 | %(25)(28) | 1.22 | %(25) | 4.78 | % | 39 | % | |||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016** | $ | 10.46 | $ | 0.26 | $ | (0.31 | ) | $ | (0.05 | ) | $ | (0.31 | ) | $ | (0.10 | ) | $ | (0.41 | ) | $ | 10.00 | (0.44 | )% | $ | 88,593 | 0.73 | %(25)(28) | 0.73 | %(25)(28) | 0.98 | %(25) | 5.19 | % | 39 | % | |||||||||||||||||||||||||
2015(24) | 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 |
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Class A |
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2016** | $ | 8.75 | $ | (0.03 | ) | $ | (0.09 | ) | $ | (0.12 | ) | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | 8.59 | (1.36 | )% | $ | 950,840 | 1.22 | %(26)(28) | 1.22 | %(26)(28) | 1.45 | %(25) | (0.68 | )% | 18 | % | |||||||||||||||||||||||||
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 |
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2016** | $ | 8.77 | $ | (0.02 | ) | $ | (0.10 | ) | $ | (0.12 | ) | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | $ | 8.59 | (1.34 | )% | $ | 89,456 | 0.97 | %(26)(28) | 0.97 | %(26)(28) | 1.20 | %(26) | (0.47 | )% | 18 | % | |||||||||||||||||||||||||
2015(24) | 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 |
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Class A |
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2016** | $ | 10.11 | $ | (0.02 | ) | $ | 0.08 | $ | 0.06 | $ | — | $ | (0.12 | ) | $ | (0.12 | ) | $ | 10.05 | 0.57 | % | $ | 616,961 | 0.64 | %(28) | 0.64 | %(28) | 1.00 | % | (0.40 | )% | 77 | % | |||||||||||||||||||||||||||
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 |
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2016** | $ | 10.12 | $ | (0.02 | ) | $ | 0.09 | $ | 0.07 | $ | — | $ | (0.12 | ) | $ | (0.12 | ) | $ | 10.07 | 0.67 | % | $ | 52,325 | 0.54 | %(28) | 0.54 | %(28) | 0.75 | % | (0.30 | )% | 77 | % | |||||||||||||||||||||||||||
2015(24) | 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 |
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Class A |
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2016** | $ | 9.67 | $ | (0.03 | ) | $ | (0.07 | ) | $ | (0.10 | ) | $ | — | $ | — | $ | — | $ | 9.57 | (1.03 | )% | $ | 19 | 1.17 | %(28) | 1.17 | %(28) | 1.40 | % | (0.65 | )% | 2 | % | |||||||||||||||||||||||||||
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 |
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2016** | $ | 9.67 | $ | (0.02 | ) | $ | (0.07 | ) | $ | (0.09 | ) | $ | — | $ | — | $ | — | $ | 9.58 | (0.93 | )% | $ | 40,802 | 0.92 | %(28) | 0.92 | %(28) | 1.15 | % | (0.40 | )% | 2 | % | |||||||||||||||||||||||||||
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. |
** | For the six month period ended March 31, 2016. All ratios for the period have been annualized. |
@ | Class Y commenced operations on October 30, 2015. 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%. |
238 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
(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%. |
(24) | Class Y commenced operations on December 31, 2014. All ratios for the period have been annualized. |
(25) | The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.82%, 0.82% and 1.21% for Class A and 0.73%, 0.73% and 0.97% for Class Y, respectively. |
(26) | The expense ratio includes dividend and interest expense. Had this expense been excluded the ratios would have been 0.97%, 0.97% and 1.25% for Class A and 0.72%, 0.72% and 0.95% for Class Y, respectively. |
(27) | The expense ratio includes dividend expense. Had this expense been excluded the ratios would have been 0.77%, 0.77% and 2.13% for Class A and 0.68%, 0.68% and 1.96% for Class Y, respectively. |
(28) | The expense ratio includes expenses that are not subject to any voluntary expense waiver or reimbursement agreement (see Note 6). |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 239 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited)
March 31, 2016
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 28 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, Multi-Strategy Alternative, Multi-Asset Accumulation, Multi-Asset Income, Multi-Asset Inflation Managed, Multi-Asset Capital Stability, Long/Short Alternative, Conservative Income and Tax-Free Conservative Income 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 Statements of Assets and Liabilities, Consolidated Statements of Operations, Consolidated Statements of Changes in Net Assets and Consolidated Statement of Cash Flows.
The Trust is registered to offer: Class A shares of the Funds and Class Y 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. The assets of each Fund are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. The Funds’ prospectuses provide a description of each Fund’s investment objective and its principal strategies and risks.
As of March 31, 2016, Conservative Income and Tax-Free Conservative Income Funds have 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. Class Y commenced operations on October 30, 2015 in the following Funds: Large Cap Value, Large Cap Growth, S&P 500 Index, Small Cap Value, Small Cap Growth and Mid-Cap Funds.
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 (other than securities traded on National Association of Securities Dealers Automated Quotations (NASDAQ) or as otherwise noted below) at the last quoted sale price on an exchange or market (foreign or domestic) on which the securities are traded, or, if there is no such reported sale, at the most recent quoted bid price. The Funds value securities traded on NASDAQ at the NASDAQ Official Closing Price. If available, debt securities, swaps (which are not centrally cleared), bank loans or collateralized debt obligations (including collateralized loan obligations), such as those held by the Funds, 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. Redeemable securities issued by open-end investment companies are valued at the investment company’s applicable net asset value, with the exception of ETFs, which are priced as equity securities. The prices of foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. If a security’s price cannot be obtained, as noted above, the
240 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Funds will value the securities using a bid price from at least one independent broker. If such prices are not readily available or cannot be valued using the methodologies described above, the Funds will value the security using the Funds’ Fair Value Pricing Policies and Procedures (“Fair Value Procedures”), as described below.
On the first day a new debt security purchase is recorded, if a price is not available from a third-party pricing agent or an independent broker, the security may be valued at its purchase price. Each day thereafter, the debt security will be valued according to the Funds’ Fair Value Procedures until a price from an independent source can be secured. Securities held by a Fund with remaining maturities of 60 days or less may be valued by the amortized cost method, which involves valuing a security at its cost on the date of purchase and thereafter (absent unusual circumstances) assuming a constant amortization to maturity of any discount or premium, regardless of the impact of fluctuations in general market rates of interest on the value of the instrument. While this method provides certainty in valuation, it may result in periods during which value, as determined by this method, is higher or lower than the price a Fund would receive if it sold the instrument. Further, the value of securities in the Fund can be expected to vary inversely with changes in prevailing interest rates. Should existing credit, liquidity or interest rate conditions in the relevant markets and issuer-specific circumstances suggest that amortized cost does not approximate fair value, then the amortized cost method may not be used.
Options are valued at the last quoted sales price. If there is no such reported sale on the valuation date, long positions are valued at the most recent bid price, and short positions are valued at the most recent ask price.
Futures and swaps cleared through a central clearing house (“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 financial futures and centrally cleared swaps are provided by an independent source. On days when there is excessive volume, market volatility or the future or centrally cleared swap does not end trading by the time a Fund calculates its NAV, the settlement price may not be available at the time at which the Fund calculates its NAV. On such days, the best available price (which is typically the last sales price) may be used to value a Fund’s futures or centrally cleared swaps position.
Foreign currency forward contracts are valued at the current day’s interpolated foreign exchange rate, as calculated using the current day’s spot rate, and the thirty, sixty, ninety and one-hundred eighty day forward rates provided by an independent source.
Prices for most securities held by a Fund are provided daily by third-party independent pricing agents. SEI Investments Management Corporation (“SIMC”) or a Sub-Adviser (“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, will continuously monitor the reliability of prices obtained from any pricing service and shall promptly notify the Funds’ administrator if it believes that a particular pricing service is no longer a reliable source of prices. The Funds’ administrator, in turn, will notify the Fair Value Pricing 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.
The Funds’ Fair Value Procedures provide that any change in a primary pricing agent or a pricing methodology requires prior approval by the Board of Trustees (“Board”) or its designated sub-committee. However, when the change would not materially affect valuation of a Fund’s net assets or involve a material departure in pricing methodology from that of the Fund’s existing pricing agent or pricing methodology, approval may be obtained at the next regularly scheduled meeting of the Board.
Securities for which market prices are not readily available, for which market prices are determined to be unreliable, or which cannot be valued using the methodologies described above are valued in accordance with the Fair Value Procedures established by the Board. The Funds’ Fair Value Procedures are implemented through the Committee designated by the Board. The Committee is currently composed of two members of the Board, as well as representatives from SIMC and its affiliates. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: (i) the security’s trading has been halted or suspended, (ii) the security has been delisted from a national exchange, (iii) the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open, or (iv) 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 include: (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 (“NAV”). The closing prices of such securities may no longer reflect their market value at the time a Fund calculates NAV if an event that could materially affect the value of those securities (a “Significant
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 241 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016
Event”), including substantial fluctuations in domestic or foreign markets or occurrences not tied directly to the securities markets, such as natural disasters, armed conflicts or significant governmental actions, has occurred between the time of the security’s last close and the time that the Fund calculates NAV. A Fund may invest in securities that are primarily listed on foreign exchanges that trade on weekends or other days when the Fund does not price its shares. As a result, the NAV of the Fund’s shares may change on days when shareholders will not be able to purchase or redeem Fund shares.
A Significant Event may relate to a single issuer or to an entire market sector. If SIMC or a Sub-Adviser 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 the Funds calculate NAV, it may request that a Committee meeting be called. In addition, the Funds use several processes, with respect to certain securities to monitor the pricing data supplied by various sources, including price comparisons and price movements. Any identified discrepancies are researched and subject to the procedures described above.
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.
In accordance with U.S. GAAP, fair value is defined as the price that a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources
independent of the reporting entity. Unobservable inputs are inputs
that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.
The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:
Level 1 — quoted prices in active markets for identical investments
Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risks, etc.)
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.
Debt securities are valued in accordance with the evaluated bid price supplied by the pricing service and generally categorized as Level 2 in the hierarchy. Other securities that are categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, warrants, swaps and forward contracts. The Fund may use a systematic fair valuation model provided by an independent pricing service to value foreign equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the NYSE. These are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. For certain collateralized debt obligations, corporate obligations, mortgage backed securities, auction rate preferred securities and loan participations where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
The valuation techniques used by the Funds to measure fair value during the six month period ended March 31, 2016, maximized the use of observable inputs and minimized the use of unobservable inputs.
For the six month period ended March 31, 2016, there have been no significant changes to the Trust’s fair valuation methodologies.
The following table summarizes the quantitative inputs and assumptions used for items categorized as recurring Level 3 assets as of March 31, 2016. The disclosures below also include qualitative information on the sensitivity of the fair value measurements to changes in the significant unobservable inputs.
242 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Multi-Asset Income Fund
Assets | Fair Value (in Thousands) at 03/31/2016 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | ||||||||
Asset-Backed Security | $ | 922 | OAS off 01/29/2016 Single broker price | Indicative Quote | 407 | |||||||
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| |||||||||||
Loan Participations | 1,161 | 01/29/2016 Single Broker price | Broker Quote | 422 | ||||||||
963 | 03/30/2016 Single Broker price | Broker Quote | 658 | |||||||||
6,969 | Internal Model price | Indicative Quote | 580-718 | |||||||||
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| |||||||||||
Total Loan Participations | 9,093 | |||||||||||
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Corporate Obligations | 407 | OAS off 01/29/2016 Single broker price | Indicative Quote | 2902 | ||||||||
2,793 | OAS off 03/15/2016 Single broker price | Indicative Quote | 394 | |||||||||
259 | 01/29/2016 Single Broker price | Broker Quote | 536 | |||||||||
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Total Corporate Obligations | 3,459 | |||||||||||
|
| |||||||||||
Common Stock | 132 | Internal Model price | Indicative Quote | N/A | ||||||||
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Convertible Bond | 42 | Internal Model price | Indicative Quote | 5874 | ||||||||
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|
The unobservable inputs used to determine fair value of reoccurring Level 3 assets may have similar or diverging impacts on valuation. Significant increases and decreases in these inputs in isolation and interrelationships between those inputs could result in significantly higher or lower fair value measurement.
Security Transactions and Investment Income — Security transactions are recorded on the trade date. Costs used in determining net realized capital gains and losses on the sale of securities are on the basis of specific identification. Dividend income is recognized on the ex-dividend date, and interest income is recognized using the accrual basis of accounting. Income from payment-in-kind securities is recorded daily based on the effective interest method of accrual.
Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Trust estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions.
Amortization and accretion is calculated using the scientific interest method, which 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 March 31, 2016 were as follows:
MULTI-ASSET INCOME FUND
Principal Amount | Counterparty | Value ($ Thousands) | ||||||
$(230) | Barclays, (7.00)% | $ | (230 | ) | ||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 243 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016
MULTI-ASSET INFLATION MANAGED FUND
Principal Amount ($ Thousands) | Counterparty | Value ($ Thousands) | ||||||
$(46,088) | Chase Securities, 0.53% | $ | (46,088 | ) | ||||
(40,700) | Merrill Lynch, 0.75% | (40,700 | ) | |||||
(30,525) | Chase Securities, 0.55% | (30,525 | ) | |||||
(22,154) | Chase Securities, 0.53% | (22,154 | ) | |||||
(19,831) | Chase Securities, 0.57% | (19,831 | ) | |||||
(14,180) | Chase Securities, 0.53% | (14,180 | ) | |||||
(12,962) | Chase Securities, 0.53% | (12,962 | ) | |||||
(10,175) | Merrill Lynch, 0.54% | (10,175 | ) | |||||
(9,858) | Merrill Lynch, 0.53% | (9,858 | ) | |||||
(6,669) | Merrill Lynch, 0.53% | (6,669 | ) | |||||
(4,715) | Merrill Lynch, 0.53% | (4,715 | ) | |||||
(4,680) | Merrill Lynch, 0.53% | (4,680 | ) | |||||
|
| |||||||
$ | (222,537 | ) | ||||||
|
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Classes — Class-specific expenses are borne by that class of shares. Income, realized and unrealized gains/losses and non class-specific expenses are allocated to the respective class on the basis of relative daily net assets.
Expenses — Expenses that are directly related to a Fund are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative daily net assets.
Commodity-Linked Investments — To the extent consistent with its Investment Objective and Strategies, the Multi-Asset Accumulation Fund and the Multi-Asset Inflation Managed Fund may invest in commodity investments to provide exposure to the investment returns of the commodities markets. Commodity investments include notes with interest payments that are tied to an underlying commodity or commodity index, ETFs or other exchange-traded products that are tied to the performance of a commodity or commodity index or other types of investment vehicles or instruments that provide returns that are tied to commodities or commodity indices. The Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds may also invest in equity securities of issuers in commodity-related industries.
The Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds may also seek to gain exposure to the commodity markets, in whole or in part, through investments in a wholly owned Subsidiary. The Subsidiary, unlike the Fund, may invest to a significant extent directly in commodities and in equity-linked securities and commodity-linked derivative instruments, including options, futures contracts, swaps, options on futures contracts and commodity-linked structured notes. The Subsidiary may also invest in other instruments in which the Fund is permitted to invest, either as investments or to serve as margin or collateral for its derivative positions. A Fund may invest up to 25% of its total assets in its Subsidiary.
In order for a Fund to qualify as a regulated investment company under Subchapter M of the Code, the Fund must derive at least 90% of its gross income each taxable year from qualifying income. The status of certain commodity-linked derivative instruments as qualifying income has been addressed in Revenue Ruling 2006-1 and Revenue Ruling 2006-31 which provide that income from certain commodity-
linked derivative instruments in which the Fund invests will not be considered qualifying income. To the extent the Multi-Asset Accumulation and the Multi-Asset Inflation Managed Funds 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 March 31, 2016, 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 addi-
244 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
tion, fixed income funds will utilize futures contracts to help manage duration and yield curve exposure. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract.
Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the Fund could lose more than the original margin deposit required to initiate a futures transaction.
Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities or Consolidated Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding open futures contracts as of March 31, 2016, 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 from writing or purchasing options/swaptions which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction,
including brokerage commissions, is also treated as a realized gain or loss. If an option/swaption is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss on investment transactions.
The risk in writing a call option/swaption is that the Funds give up the opportunity for profit if the market price of the security increases. The risk in writing a put option/swaption is that the Funds may incur a loss if the market price of the security decreases and the option/swaption is exercised. The risk in purchasing an option/swaption is that the Funds pay a premium whether or not the option/swaption is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option/swaption contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes.
Finally, the risk exists that losses on written options could exceed amounts disclosed on the Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding open option/swaption contracts as of March 31, 2016, 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 March 31, 2016, 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,
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 245 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016
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 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 March 31, 2016, 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
246 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than its underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class.
The risks of an investment in a CDO depend largely on its Class and its collateral securities. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Funds as illiquid securities; however, an active dealer market may exist for CDOs, allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Funds may invest in CDOs that are subordinate to
other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.
Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.
Restricted Securities — At March 31, 2016, the following Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption therefrom. In addition, the Funds have generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these investments. These investments are valued at fair value as determined in accordance with the procedures approved by the Board of Trustees. The acquisition dates of these investments, the enforceable right to acquire these securities, along with their cost and values at March 31, 2016, 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 | $ | 76 | 0.02 | % | |||||||||||||||
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Enhanced Income | ||||||||||||||||||||||||
JHT Holding, 2nd Lien | $ | 53 | 12/16/2008 | 12/16/2008 | $ | 54 | $ | 18 | 0.01 | % | ||||||||||||||
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High Yield Bond Fund | ||||||||||||||||||||||||
Aventine (Escrow Security) | $ | 2,750 | 11/30/2010 | 11/30/2010 | $ | — | $ | 1 | 0.00 | % | ||||||||||||||
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Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid to shareholders quarterly for the Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, S&P 500 Index, Small Cap, Small Cap Value, Small Cap Growth, Tax-Managed Small/Mid Cap, Mid-Cap, U.S. Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income and Real Return Funds; are declared and paid annually for the Global Managed Volatility, Multi-Strategy Alternative, Multi-Asset Accumulation, Multi-Asset Inflation Managed, Multi-Asset Capital Stability, Dynamic Asset Allocation and Long/Short Alternative Funds; are declared daily and paid monthly for the Core Fixed Income, U.S. Fixed Income and High Yield Bond Funds; are declared and paid monthly for the Multi-Asset Income Fund. 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.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 247 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016
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.
3. CREDIT DERIVATIVES
A Fund may use credit default swaps to reduce risk where a Fund has exposure to the issuer, or to take an active long or short position with respect to the likelihood of an event of default. The reference obligation of the swap can be a single issuer, a “basket” of issuers, or an index. The underlying referenced assets are corporate debt, sovereign debt and asset backed securities.
The buyer of a credit default swap is generally obligated to pay the seller a periodic stream of payments over the term of the contract in return for a contingent payment upon the occurrence of a credit event
with respect to an underlying reference obligation. Generally, a credit event for corporate or sovereign reference obligations means bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down.
If a Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index.
If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Certain Funds are party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”). These agreements are with select counterparties and they govern transactions, including certain over-the counter derivative and foreign exchange contracts, entered into by the Funds and the counterparty.
As of March 31, 2016, the Multi-Asset Inflation Managed Fund is the buyer (“receiving protection”) on a total notional amount of $1.9 million. As of March 31, 2016, Core Fixed Income Fund, High Yield Bond Fund, Multi-Asset Inflation Managed Fund and Multi-Asset Capital Stability Fund are the sellers (“providing protection”) on a total notional amount of $11.6 million, $10.1 million, $1.4 million and $16.9 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 | $ | (48,170 | ) | $ | (5,373 | ) | $ | — | $ | 81,229 | $ | 27,686 | ||||||||
Maximum potential amount of future payments | 2,820,000 | 544,000 | — | 8,270,000 | 11,634,000 | |||||||||||||||
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
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248 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
HIGH YIELD BOND 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 | $ | — | $ | — | $ | — | $ | 361,444 | $ | 361,444 | ||||||||||
Maximum potential amount of future payments | — | — | — | 10,100,000 | 10,100,000 | |||||||||||||||
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
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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 | $ | 25,123 | $ | — | $ | — | $ | — | $ | 25,123 | ||||||||||
Maximum potential amount of future payments | 1,437,752 | — | — | — | 1,437,752 | |||||||||||||||
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 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 | $ | — | $ | — | $ | — | $ | 523,811 | $ | 523,811 | ||||||||||
Maximum potential amount of future payments | — | — | — | 16,336,807 | 16,336,807 | |||||||||||||||
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 | MORE THAN 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points)[1] | ||||||||||||||||||||||||
0-100 | $ | — | $ | — | $ | 6,760,000 | $ | — | $ | — | $ | 6,760,000 | ||||||||||||
101-200 | — | — | — | 2,820,000 | — | 2,820,000 | ||||||||||||||||||
201-300 | — | — | — | — | — | — | ||||||||||||||||||
301-400 | — | — | — | — | — | — | ||||||||||||||||||
> than 400 | — | — | 2,054,000 | — | — | 2,054,000 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 8,814,000 | $ | 2,820,000 | $ | — | $ | 11,634,000 | ||||||||||||
MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM | ||||||||||||||||||||||||
HIGH YIELD BOND FUND | 0-6 MONTHS | 6-12 MONTHS | 1-5 YEARS | 5-10 YEARS | MORE THAN 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points)[1] | ||||||||||||||||||||||||
0-100 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
101-200 | — | — | — | — | — | — | ||||||||||||||||||
201-300 | — | — | — | — | — | — | ||||||||||||||||||
301-400 | — | — | 3,600,000 | — | — | 3,600,000 | ||||||||||||||||||
> than 400 | — | — | 6,500,000 | — | — | 6,500,000 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 10,100,000 | $ | — | $ | — | $ | 10,100,000 | ||||||||||||
MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM | ||||||||||||||||||||||||
MULTI-ASSET INFLATION MANAGED FUND | 0-6 MONTHS | 6-12 MONTHS | 1-5 YEARS | 5-10 YEARS | MORE THAN 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points)[1] | ||||||||||||||||||||||||
0-100 | $ | — | $ | — | $ | 937,752 | $ | — | $ | — | $ | 937,752 | ||||||||||||
101-200 | — | — | 500,000 | — | — | 500,000 | ||||||||||||||||||
201-300 | — | — | — | — | — | — | ||||||||||||||||||
301-400 | — | — | — | — | — | — | ||||||||||||||||||
> than 400 | — | — | — | — | — | — | ||||||||||||||||||
Total | $ | — | $ | — | $ | 1,437,752 | $ | — | $ | — | $ | 1,437,752 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 249 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016
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 | MORE THAN 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points)[1] | ||||||||||||||||||||||||
0-100 | $ | — | $ | — | $ | 6,730,000 | $ | 630,000 | $ | — | $ | 7,360,000 | ||||||||||||
101-200 | — | — | — | — | — | — | ||||||||||||||||||
201-300 | — | — | — | — | — | — | ||||||||||||||||||
301-400 | — | — | 5,036,807 | — | — | 5,036,807 | ||||||||||||||||||
> than 400 | — | — | 3,940,000 | — | — | 3,940,000 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 15,706,807 | $ | 630,000 | $ | — | $ | 16,336,807 |
* | The credit spread on the underlying asset is generally indicative of the current status of the underlying risk of the Fund having to perform. The spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a contract. Higher credit spreads with a shorter contract term is indicative of a higher likelihood of performance by the Fund. |
The credit spread disclosed above for each reference obligation where the Fund is the seller of protection is a representation of the current payment/performance risk of the swap.
4. DERIVATIVE TRANSACTIONS
The following tables include only Funds that had exposure to more than one type of risk on derivatives held throughout the period. For Funds that held derivatives throughout the period with only one type of risk exposure, additional information can be found on the Summary Schedule of Investments, Schedule of Investments or Consolidated Schedule of Investments and the Statement of Operations or Consolidated Statement of Operations.
The fair value of derivative instruments as of March 31, 2016 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 | $ | 970 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 122 | * | ||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 115 | Unrealized loss on forward foreign currency contracts | 8,681 | ||||||||
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Total Derivatives not accounted for as hedging instruments | $ | 1,085 | $ | 8,803 | ||||||||
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Core Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 1,232 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 1,112 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | — | † | Net Assets — Unrealized depreciation on swap contracts | 4,061 | † | |||||||
Options Purchased, at value | — | Options written, at value | 36 | |||||||||
Swaptions Purchased, at value | Swaptions written, at value | |||||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 504 | Unrealized loss on forward foreign currency contracts | 2,762 | ||||||||
Options Purchased, at value | 30 | Options written, at value | — | |||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 114 | † | Net Assets — Unrealized depreciation on swap contracts | 50† | |||||||
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Total Derivatives not accounted for as hedging instruments | $ | 1,880 | $ | 8,021 | ||||||||
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U.S. Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 677 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 186 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | — | † | Net Assets — Unrealized depreciation on swap contracts | 355 | † | |||||||
Options Purchased, at value | — | Options written, at value | 14 | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | — | Unrealized loss on forward foreign currency contracts | 104 | ||||||||
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Total Derivatives not accounted for as hedging instruments | $ | 677 | $ | 659 | ||||||||
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Dynamic Asset Allocation Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | — | * | Net Assets — Unrealized depreciation on futures contracts | $ | 207 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | 1,301 | † | Net Assets — Unrealized depreciation on swap contracts | 204 | † | |||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | 132 | * | Net Assets — Unrealized depreciation on futures contracts | 56 | * | ||||||
Options purchased, at value | 374 | Options written, at value | 271 | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 1,460 | Unrealized loss on forward foreign currency contracts | 8,789 | ||||||||
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Total Derivatives not accounted for as hedging instruments | $ | 3,267 | $ | 9,527 | ||||||||
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250 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
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-Strategy Alternative Fund | ||||||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | $ | 303 | Unrealized loss on forward foreign currency contracts | $ | 854 | ||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | — | * | Net Assets — Unrealized depreciation on futures contracts | 23 | * | ||||||
Options Purchased, at value | 1,021 | Options written, at value | 88 | |||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 89 | † | Net Assets — Unrealized depreciation on swap contracts | 19 | † | ||||||
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Total Derivatives not accounted for as hedging instruments | $ | 1,413 | $ | 984 | ||||||||
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Multi-Asset Accumulation Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 4,826 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 1,658 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | 7,753 | † | Net Assets — Unrealized depreciation on swap contracts | 284 | † | |||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | 11,532 | * | Net Assets — Unrealized depreciation on futures contracts | 581 | * | ||||||
Net Assets — Unrealized appreciation on swaps contracts | 4,300 | † | Net Assets — Unrealized depreciation on swap contracts | — | † | |||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 12,179 | Unrealized loss on forward foreign currency contracts | 13,723 | ||||||||
Commodity contracts | Net Assets — Unrealized appreciation on futures contracts | 6,352 | * | Net Assets — Unrealized depreciation on futures contracts | 2,303 | * | ||||||
Net Assets — Unrealized appreciation on swaps contracts | 1,079 | † | Net Assets — Unrealized depreciation on swap contracts | 736 | † | |||||||
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Total Derivatives not accounted for as hedging instruments | $ | 48,021 | $ | 19,285 | ||||||||
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Multi-Asset Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on swap contracts | $ | 12 | † | Net Assets — Unrealized depreciation on swap contracts | $ | 162 | † | ||||
Net Assets — Unrealized appreciation on futures contracts | 130 | * | Net Assets — Unrealized depreciation on futures contracts | 232 | * | |||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | 417 | * | Net Assets — Unrealized depreciation on futures contracts | — | * | ||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | — | Unrealized loss on forward foreign currency contracts | 321 | ||||||||
Options purchased, at value | 380 | Options written, at value | 3,053 | |||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 34,855 | † | Net Assets — Unrealized depreciation on swap contracts | 33,466 | † | ||||||
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Total Derivatives not accounted for as hedging instruments | $ | 35,794 | $ | 37,234 | ||||||||
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Multi-Asset Inflation Managed Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 65 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 35 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | 2,341 | † | Net Assets — Unrealized depreciation on swap contracts | 5,267 | † | |||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | — | * | Net Assets — Unrealized depreciation on futures contracts | 491 | * | ||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 542 | Unrealized loss on forward foreign currency contracts | 1,174 | ||||||||
Commodity contracts | Net Assets — Unrealized appreciation on futures contracts | 8,253 | * | Net Assets — Unrealized depreciation on futures contracts | 4,755 | * | ||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 311 | † | Net Assets — Unrealized depreciation on swap contracts | — | † | ||||||
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Total Derivatives not accounted for as hedging instruments | $ | 11,512 | $ | 11,722 | ||||||||
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Multi-Asset Capital Stability Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 394 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 80 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | 576 | † | Net Assets — Unrealized depreciation on swap contracts | — | † | |||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | 1,075 | * | Net Assets — Unrealized depreciation on futures contracts | 26 | * | ||||||
Foreign exchange contracts | Options purchased, at value | 90 | Options written, at value | 149 | ||||||||
Unrealized gain on forward foreign currency contracts | 970 | Unrealized loss on forward foreign currency contracts | 366 | |||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 48 | † | Net Assets — Unrealized depreciation on swap contracts | 54 | † | ||||||
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Total Derivatives not accounted for as hedging instruments | $ | 3,153 | $ | 675 | ||||||||
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SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 251 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016
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 | |||||||||
Long/Short Alternative Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 46 | * | Net Assets — Unrealized depreciation on futures contracts | $ | — | |||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | 782 | * | Net Assets — Unrealized depreciation on futures contracts | 574 | * | ||||||
|
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| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 828 | $ | 574 | ||||||||
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* | 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 six month period ended March 31, 2016.
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 | $ | — | $ | — | $ | 3,114 | $ | — | $ | — | $ | 3,114 | ||||||||||||
Foreign exchange contracts | — | — | — | 3,504 | — | 3,504 | ||||||||||||||||||
Total | $ | — | �� | $ | — | $ | 3,114 | $ | 3,504 | $ | — | $ | 6,618 | |||||||||||
Core Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | (479 | ) | $ | 101 | $ | 3,273 | $ | — | $ | (873 | ) | $ | 2,022 | ||||||||||
Foreign exchange contracts | (62 | ) | — | — | 41 | — | (21 | ) | ||||||||||||||||
Credit contracts | — | — | — | — | 113 | 113 | ||||||||||||||||||
Total | $ | (541 | ) | $ | 101 | $ | 3,273 | $ | 41 | $ | (760 | ) | $ | 2,114 | ||||||||||
U.S. Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | (164 | ) | $ | — | $ | (2,488 | ) | $ | — | $ | (164 | ) | $ | (2,816 | ) | ||||||||
Foreign exchange contracts | — | — | — | (28 | ) | — | (28 | ) | ||||||||||||||||
Total | $ | (164 | ) | $ | — | $ | (2,488 | ) | $ | (28 | ) | $ | (164 | ) | $ | (2,844 | ) | |||||||
High Yield Bond Fund | ||||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | 352 | $ | 352 | ||||||||||||
Interest rate contracts | — | — | — | — | 604 | 604 | ||||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | 956 | $ | 956 | ||||||||||||
Dynamic Asset Allocation Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | (510 | ) | $ | — | $ | — | $ | (510 | ) | ||||||||||
Equity contracts | (170 | ) | — | (3,011 | ) | — | — | (3,181 | ) | |||||||||||||||
Foreign exchange contracts | — | — | — | 1,202 | — | 1,202 | ||||||||||||||||||
Total | $ | (170 | ) | $ | — | $ | (3,521 | ) | $ | 1,202 | $ | — | $ | (2,489 | ) | |||||||||
Multi-Strategy Alternative Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | (119 | ) | $ | — | $ | — | $ | (119 | ) | ||||||||||
Equity contracts | (12 | ) | — | (52 | ) | — | 609 | 545 | ||||||||||||||||
Foreign exchange contracts | — | — | — | (338 | ) | — | (338 | ) | ||||||||||||||||
Total | $ | (12 | ) | $ | — | $ | (171 | ) | $ | (338 | ) | $ | 609 | $ | 88 | |||||||||
Multi-Asset Accumulation Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | 60,544 | $ | — | $ | 20,739 | $ | 81,283 | ||||||||||||
Equity contracts | — | — | (16,229 | ) | — | (7,364 | ) | (23,593 | ) | |||||||||||||||
Foreign exchange contracts | — | — | — | 6,921 | — | 6,921 | ||||||||||||||||||
Credit contracts | — | — | (19,778 | ) | — | (10,165 | ) | (29,943 | ) | |||||||||||||||
Total | $ | — | $ | — | $ | 24,537 | $ | 6,921 | $ | 3,210 | $ | 34,668 | ||||||||||||
Multi-Asset Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | (269 | ) | $ | — | $ | (4,992 | ) | $ | (5,261 | ) | |||||||||
Equity contracts | 903 | — | 388 | — | — | 1,291 | ||||||||||||||||||
Foreign exchange contracts | (488 | ) | — | — | 152 | — | (336 | ) | ||||||||||||||||
Commodity contracts | — | — | (1,399 | ) | — | — | (1,399 | ) | ||||||||||||||||
Total | $ | 415 | $ | — | $ | (1,280 | ) | $ | 152 | $ | (4,992 | ) | $ | (5,705 | ) |
252 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Derivatives Not Accounted for as Hedging Instruments | Options | Swaptions | Futures | Forward Currency Contracts | Swaps | Total | ||||||||||||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | (1,144 | ) | $ | — | $ | (39 | ) | $ | (1,183 | ) | |||||||||
Equity contracts | — | — | (181 | ) | — | — | (181 | ) | ||||||||||||||||
Foreign exchange contracts | 36 | — | — | (375 | ) | — | (339 | ) | ||||||||||||||||
Commodity contracts | (146 | ) | — | (23,464 | ) | — | — | (23,610 | ) | |||||||||||||||
Credit contracts | — | — | — | — | (35 | ) | (35 | ) | ||||||||||||||||
Total | $ | (110 | ) | $ | — | $ | (24,789 | ) | $ | (375 | ) | $ | (74 | ) | $ | (25,348 | ) | |||||||
Multi-Asset Capital Stability Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | 894 | $ | — | $ | (1,243 | ) | $ | (349 | ) | ||||||||||
Equity contracts | (645 | ) | — | (847 | ) | — | — | (1,492 | ) | |||||||||||||||
Foreign exchange contracts | (239 | ) | — | — | 637 | — | 398 | |||||||||||||||||
Credit contracts | — | — | — | — | (66 | ) | (66 | ) | ||||||||||||||||
Total | $ | (884 | ) | $ | — | $ | 47 | $ | 637 | $ | (1,309 | ) | $ | (1,509 | ) | |||||||||
Long/Short Alternative Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | (795 | ) | $ | — | $ | — | $ | (795 | ) | ||||||||||
Equity contracts | — | — | (258 | ) | — | — | (258 | ) | ||||||||||||||||
Credit contracts | — | — | 39 | — | — | 39 | ||||||||||||||||||
Total | $ | — | $ | — | $ | (1,014 | ) | $ | — | $ | — | $ | (1,014 | ) |
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 | $ | — | $ | — | $ | 2,326 | $ | — | $ | — | $ | 2,326 | ||||||||||||
Foreign exchange contracts | — | — | — | (8,566 | ) | — | (8,566 | ) | ||||||||||||||||
Total | $ | — | $ | — | $ | 2,326 | $ | (8,566 | ) | $ | — | $ | (6,240 | ) | ||||||||||
Core Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | 190 | $ | (104 | ) | $ | (30 | ) | $ | — | $ | (2,579 | ) | $ | (2,523 | ) | ||||||||
Foreign exchange contracts | (11 | ) | — | — | (1,419 | ) | — | (1,430 | ) | |||||||||||||||
Credit contracts | — | — | — | — | 60 | 60 | ||||||||||||||||||
Total | $ | 179 | $ | (104 | ) | $ | (30 | ) | $ | (1,419 | ) | $ | (2,519 | ) | $ | (3,893 | ) | |||||||
U.S. Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | 64 | $ | — | $ | 1,044 | $ | — | $ | (54 | ) | $ | 1,054 | |||||||||||
Foreign exchange contracts | — | — | — | (56 | ) | — | (56 | ) | ||||||||||||||||
Total | $ | 64 | $ | — | $ | 1,044 | $ | (56 | ) | $ | (54 | ) | $ | 998 | ||||||||||
High Yield Bond Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | — | $ | — | $ | (277 | ) | $ | (277 | ) | ||||||||||
Credit contracts | — | — | — | — | (240 | ) | (240 | ) | ||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | (517 | ) | $ | (517 | ) | ||||||||||
Dynamic Asset Allocation Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | (207 | ) | $ | — | $ | 1,097 | $ | 890 | |||||||||||
Equity contracts | 122 | — | 113 | — | — | 235 | ||||||||||||||||||
Foreign exchange contracts | — | — | — | (7,390 | ) | — | (7,390 | ) | ||||||||||||||||
Total | $ | 122 | $ | — | $ | (94 | ) | $ | (7,390 | ) | $ | 1,097 | $ | (6,265 | ) | |||||||||
Multi-Strategy Alternative Fund | ||||||||||||||||||||||||
Equity contracts | $ | (313 | ) | $ | — | $ | (23 | ) | $ | — | $ | — | $ | (336 | ) | |||||||||
Foreign exchange contracts | — | — | — | (551 | ) | — | (551 | ) | ||||||||||||||||
Credit contracts | — | — | — | — | 7 | 7 | ||||||||||||||||||
Total | $ | (313 | ) | $ | — | $ | (23 | ) | $ | (551 | ) | $ | 7 | $ | (880 | ) | ||||||||
Multi-Asset Accumulation Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | (7,300 | ) | $ | — | $ | 3,639 | $ | (3,661 | ) | ||||||||||
Equity contracts | — | — | 17,166 | — | 5,770 | 22,936 | ||||||||||||||||||
Foreign exchange contracts | — | — | — | (1,544 | ) | — | (1,544 | ) | ||||||||||||||||
Commodity contracts | — | — | 9,393 | — | 2,298 | 11,691 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 19,259 | $ | (1,544 | ) | $ | 11,707 | $ | 29,422 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 253 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016
Derivatives Not Accounted for as Hedging Instruments | Options | Swaptions | Futures | Forward Currency Contracts | Swaps | Total | ||||||||||||||||||
Multi-Asset Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | 50 | $ | — | $ | 2,889 | $ | 2,939 | ||||||||||||
Equity contracts | (3,265 | ) | — | 983 | — | — | (2,282 | ) | ||||||||||||||||
Foreign exchange contracts | (90 | ) | — | (152 | ) | (301 | ) | — | (543 | ) | ||||||||||||||
Total | $ | (3,355 | ) | $ | — | $ | 881 | $ | (301 | ) | $ | 2,889 | $ | 114 | ||||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | 368 | $ | — | $ | (711 | ) | $ | (343 | ) | ||||||||||
Equity contracts | — | — | (1,165 | ) | — | — | (1,165 | ) | ||||||||||||||||
Foreign exchange contracts | — | — | — | (911 | ) | — | (911 | ) | ||||||||||||||||
Commodity contracts | 11 | — | 9,319 | — | — | 9,330 | ||||||||||||||||||
Credit contracts | — | — | — | — | 16 | 16 | ||||||||||||||||||
Total | $ | 11 | $ | — | $ | 8,522 | $ | (911 | ) | $ | (695 | ) | $ | 6,927 | ||||||||||
Multi-Asset Capital Stability Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | (95 | ) | $ | — | $ | 1,075 | $ | 980 | |||||||||||
Equity contracts | 193 | — | 1,897 | — | — | 2,090 | ||||||||||||||||||
Foreign exchange contracts | (92 | ) | — | — | 389 | — | 297 | |||||||||||||||||
Credit contracts | — | — | — | — | 29 | 29 | ||||||||||||||||||
Total | $ | 101 | $ | — | $ | 1,802 | $ | 389 | $ | 1,104 | $ | 3,396 | ||||||||||||
Long/Short Alternative Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | 5 | $ | — | $ | — | $ | 5 | ||||||||||||
Equity contracts | — | — | 767 | — | — | 767 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 772 | $ | — | $ | — | $ | 772 |
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 $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury Securities and U.S. dollar cash are generally the preferred forms of collateral. Securities and cash pledged as collateral are reflected as assets on the
Statements of Assets and Liabilities/Consolidated Statements of Assets and Liabilities as either a component of investments at value (securities) or deposits due from counterparties (cash). Cash collateral received is not typically held in a segregated account and as such is reflected as a liability on the Statements of Assets and Liabilities/Consolidated Statements of Assets and Liabilities as deposits due to counterparties. The market value of any securities received as collateral is not reflected as a component of net asset value. A Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement.
Customer Account Agreements and related addendums govern exchange traded derivatives transactions such as futures, options on futures, and centrally cleared swaps. Exchange traded derivative transactions require posting of initial margin as determined by each relevant clearing agency which is segregated at a broker account registered with the Commodities Futures Trading Commission (CFTC), or the applicable regulator. In the US, counterparty risk is reduced as placement due to the Fund assets in the segregated account. Additionally, portability of exposure in the event of default further reduces risk to the Funds. Variation margin, or changes in market value, are exchanged daily, but may not be netted between futures and cleared OTC derivatives.
254 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
The following is a summary of the market value and variation margin of exchange-traded or centrally cleared financial derivative instruments of the Funds as of March 31, 2016 ($ 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 Growth Fund | $ | — | $ | 2 | $ | — | $ | 2 | $ | — | $ | 19 | $ | — | $ | 19 | ||||||||||||||||||
Tax-Managed Large Cap Fund | — | — | — | — | — | 9 | — | 9 | ||||||||||||||||||||||||||
S&P 500 Index Fund | — | — | — | — | — | 21 | — | 21 | ||||||||||||||||||||||||||
Small Cap Fund | — | 32 | — | 32 | — | — | — | — | ||||||||||||||||||||||||||
Small Cap Value Fund | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
Small Cap Growth Fund | — | 10 | — | 10 | — | — | — | — | ||||||||||||||||||||||||||
Tax-Managed Small/Mid Cap Fund | — | 21 | — | 21 | — | — | — | — | ||||||||||||||||||||||||||
Mid-Cap Fund | — | 1 | — | 1 | — | — | — | — | ||||||||||||||||||||||||||
U.S. Managed Volatility Fund | — | — | — | — | — | 68 | — | 68 | ||||||||||||||||||||||||||
Global Managed Volatility Fund | — | 33 | — | 33 | — | 221 | — | 221 | ||||||||||||||||||||||||||
Tax-Managed Managed Volatility Fund | — | — | — | — | — | 52 | — | 52 | ||||||||||||||||||||||||||
Real Estate Fund | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
Enhanced Income Fund | — | 1 | — | 1 | — | 4 | — | 4 | ||||||||||||||||||||||||||
Core Fixed Income Fund | — | 704 | 3 | 707 | 36 | 715 | 196 | 947 | ||||||||||||||||||||||||||
U.S. Fixed Income Fund | — | 225 | — | 225 | 14 | 492 | 5 | 511 | ||||||||||||||||||||||||||
High Yield Bond Fund | — | 7 | 7 | 14 | — | — | 5 | 5 | ||||||||||||||||||||||||||
Multi-Strategy Alternative Fund | 1,021 | 2 | — | 1,023 | 88 | 17 | 3 | 108 | ||||||||||||||||||||||||||
Multi-Asset Accumulation Fund | — | 660 | 546 | 1,206 | — | 6,651 | — | 6,651 | ||||||||||||||||||||||||||
Multi-Asset Income Fund | 380 | 41 | 22 | 443 | 3,053 | 208 | 23 | 3,284 | ||||||||||||||||||||||||||
Multi-Asset Inflation Managed Fund | — | 1,699 | 1,369 | 3,068 | — | 1,941 | 1,366 | 3,307 | ||||||||||||||||||||||||||
Multi-Asset Capital Stability Fund | 90 | 478 | 57 | 625 | 149 | 420 | — | 569 | ||||||||||||||||||||||||||
Long/Short Alternative Fund | — | 10 | — | 10 | — | 130 | — | 130 | ||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared | $ | 1,491 | $ | 3,926 | $ | 2,004 | $ | 7,421 | $ | 3,340 | $ | 10,968 | $ | 1,598 | $ | 15,906 |
Securities with an aggregate marked value of $18,690 ($ Thousands) have been pledged as collateral for exchange-traded and centrally cleared derivative instruments as of March 31, 2016.
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 March 31, 2016 ($ Thousands):
Financial Derivative Assets |
| Financial Derivative Liabilities |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
Fund | Forward Foreign Currency Contracts | Purchased Options and Swaptions | Swap Agreements | Total Over the Counter | Forward Foreign Currency Contracts | Written Options and Swaptions | Reverse Repurchase Agreement | Swap Agreements | Total Over Counter | Net Market Value of OTC Derivatives | Collateral (Received)/ Pledged | Net Exposures(1) | ||||||||||||||||||||||||||||||||||||||||||
Global Managed Volatility Fund | $ | 112 | $ | — | $ | — | $ | 112 | $ | 8,678 | $ | — | $ | — | $ | — | $ | 8,678 | $ | (8,566 | ) | $ | — | $ | (8,566 | ) | ||||||||||||||||||||||||||||
Core Fixed Income Fund | 504 | 30 | — | 534 | 2,762 | — | — | 478 | 3,240 | (2,706 | ) | 3,665 | 959 | |||||||||||||||||||||||||||||||||||||||||
U.S. Fixed Income Fund | — | — | — | — | — | — | — | 109 | 109 | (109 | ) | 70 | (39 | ) | ||||||||||||||||||||||||||||||||||||||||
Multi-Strategy Alternative Fund | 303 | 1,021 | 89 | 1,413 | 854 | 88 | — | 19 | 961 | 452 | — | 452 | ||||||||||||||||||||||||||||||||||||||||||
Multi-Asset Accumulation Fund | 12,179 | — | 10,049 | 22,228 | 13,723 | — | — | 1,021 | 14,744 | 7,484 | 8,238 | 15,722 | ||||||||||||||||||||||||||||||||||||||||||
Multi-Asset Income Fund | — | — | 34,772 | 34,772 | 321 | — | 230 | 33,471 | 34,022 | 750 | 781 | 1,531 | ||||||||||||||||||||||||||||||||||||||||||
Multi-Asset Inflation Managed Fund | 304 | — | 311 | 615 | 936 | — | 222,537 | 465 | 223,938 | (223,323 | ) | 223,077 | (246 | ) | ||||||||||||||||||||||||||||||||||||||||
Multi-Asset Capital Stability Fund | 970 | — | — | 970 | 366 | — | — | — | 366 | 604 | 1,311 | 1,915 | ||||||||||||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 14,372 | $ | 1,051 | $ | 45,221 | $ | 60,644 | $ | 27,640 | $ | 88 | $ | 222,767 | $ | 35,563 | $ | 286,058 |
(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. |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 255 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016
Securities with an aggregate market value of $0 have been pledged and $0 have been received as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2016.
Written Options transactions entered into during the six month period ended March 31, 2016 are summarized as follows:
Core Fixed | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at beginning of period | 1,155 | $ | 412 | |||||
Written | 3,011 | 925 | ||||||
Expired | (3,090 | ) | (884 | ) | ||||
Closing Buys | (974 | ) | (425 | ) | ||||
Balance at end of period | 102 | $ | 28 |
U.S. Fixed Income Fund | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at beginning of period | 396 | $ | 142 | |||||
Written | 1,038 | 321 | ||||||
Expired | (1,055 | ) | (304 | ) | ||||
Closing Buys | (340 | ) | (148 | ) | ||||
Balance at end of period | 39 | $ | 11 |
Multi-Asset Income Fund | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at beginning of period | 2,815 | $ | 1,870 | |||||
Written | 2,214 | 9,521 | ||||||
Expired | (2,390 | ) | (64 | ) | ||||
Closing Buys | (2,211 | ) | (9,595 | ) | ||||
Balance at end of period | 428 | $ | 1,732 |
Multi-Asset Capital Stability | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at beginning of period | 1,929 | $ | 362 | |||||
Written | 45,444,900 | 350 | ||||||
Expired | — | — | ||||||
Closing Buys | (36,046,829 | ) | (639 | ) | ||||
Balance at end of period | 9,400,000 | $ | 73 |
Written Swaptions transactions entered into during the period ended March 31, 2016 are summarized as follows:
Core Fixed Income Fund | ||||||||
Notional Amount ($ Thousands) | Premium ($ Thousands) | |||||||
Balance at beginning of period | $ | 13,905 | $ | 360 | ||||
Closing Buys | (13,905 | ) | (360 | ) | ||||
Balance at end of period | $ | — | $ | — |
At March 31, 2016, 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 ASSETS AT MARCH 31, 2016 ($ THOUSANDS) | % OF TOTAL NET ASSETS AT MARCH 31, 2016 | ||||||||
Accumulation Commodity Strategy Subsidiary, Ltd | April 9, 2012 | $ | 346,637 | 16.3 | % | |||||
Inflation Commodity Strategy Subsidiary, Ltd. | April 9, 2012 | 198,317 | 19.1 | % |
256 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
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 | $ | 414 | $ | 218 | ||||
Net Realized Gain (Loss) on: | ||||||||
Investments | 646 | — | ||||||
Futures Contracts | (20,112 | ) | (23,464 | ) | ||||
Purchased Options | — | (146 | ) | |||||
Swap Contracts | (10,165 | ) | — | |||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||
Investments | 228 | 40 | ||||||
Futures Contracts | 9,300 | 9,319 | ||||||
Swap Contracts | 2,298 | — | ||||||
Purchased Options | — | 11 | ||||||
|
|
|
| |||||
Total losses attributed to the Funds’ investments in Subsidiaries | $ | (17,391 | ) | $ | (14,022 | ) | ||
|
|
|
|
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. (SIDCo.) is the distributor of the shares of the Funds. The Funds have adopted a shareholder services plan and agreement (the Service Plan) with respect to Class A and
Class I Shares that allows such shares to pay service providers a fee, based on average daily net assets of each respective Class of Shares, in connection with the ongoing servicing of shareholder accounts owning such shares. The Funds have also adopted an administrative services plan and agreement (the Administrative Service Plan) with respect to Class I Shares that allows such Shares to pay service providers a fee, based on average daily net assets of the Class I Shares, in connection with ongoing administrative services for shareholder accounts owning such Shares.
The Service Plan and Administrative Service Plan provide that shareholder service fees and administrative service fees, respectively, on Class A and Class I Shares will be paid to SIDCo., which may then be used by SIDCo. to compensate financial intermediaries for providing shareholder services and administrative services, as applicable, with respect to the Shares. During the six month period ended March 31, 2016, the Distributor voluntarily waived a portion of its fee for all of the Funds except the Large Cap, 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, proxy 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, 2015, 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 | % | ||||||||||
Class Y | 0.3500 | % | 0.30 | % | — | — | 0.64 | % | ||||||||||||
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 | % | ||||||||||
Class Y | 0.4000 | % | 0.30 | % | — | — | 0.64 | % | ||||||||||||
Tax-Managed Large Cap Fund |
| |||||||||||||||||||
Class A | 0.4000 | % | 0.30 | % | 0.25 | % | — | 0.89 | % | |||||||||||
Class Y | 0.4000 | % | 0.30 | % | — | — | 0.64 | % |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 257 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016
Advisory Fee | Administration Fee | Shareholder Servicing Fee | Administrative Servicing Fee | Voluntary Expense Limitation | ||||||||||||||||
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 | % | ||||||||||
Class Y | 0.0300 | % | 0.22 | % | — | — | 0.18 | % | ||||||||||||
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 | % | ||||||||||
Class Y | 0.6500 | % | 0.30 | % | — | — | 0.89 | % | ||||||||||||
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 | % | ||||||||||
Class Y | 0.6500 | % | 0.30 | % | — | — | 0.86 | % | ||||||||||||
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 | % | 1.20 | % | ||||||||||
Class Y | 0.4000 | % | 0.30 | % | — | — | 0.73 | % | ||||||||||||
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 | % | — | — | 0.81 | % | ||||||||||||
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 | % | 0.25 | % | — | 0.75 | % | |||||||||||
Class Y | 0.6000 | % | 0.30 | % | — | — | 0.50 | % | ||||||||||||
Multi-Strategy Alternative Fund |
| |||||||||||||||||||
Class A | 1.5000 | % | 0.30 | % | 0.25 | % | — | 0.81 | %* | |||||||||||
Class Y | 1.5000 | % | 0.30 | % | — | — | 0.56 | %* | ||||||||||||
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 | % | — | 0.95 | % | |||||||||||
Class Y | 0.5500 | % | 0.30 | % | — | — | 0.76 | % | ||||||||||||
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 | % | — | 1.14 | % | |||||||||||
Class Y | 0.8000 | % | 0.30 | % | — | — | 0.91 | % |
* | Voluntary expense limitations in effect as of March 31, 2016. Prior to December 31, 2015, the voluntary expense limitation was 0.61% for Class A and 0.36% for Class Y. Prior to November 6, 2015, the voluntary expense limitation was 0.49% for Class A and 0.24% for Class Y. As of May 3, 2016, the voluntary expense limitation was 0.91% for Class A and 0.66% for Class Y. |
258 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
As of March 31, 2016, 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 |
AQR Capital Management, LLC |
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 |
Parametric Portfolio Associates LLC |
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 |
Falcon Point Capital, LLC |
Mesirow Financial Investment Management, Inc. |
Parametric Portfolio Associates LLC |
Robeco Investment Management, Inc. |
Snow Capital Management L.P. |
Small Cap Value Fund |
AQR Capital Management, LLC |
Cardinal Capital Management, L.L.C. |
Mesirow Financial Investment Management, Inc. |
LSV Asset Management |
Parametric Portfolio Associates LLC |
Robeco Investment Management, Inc. |
Snow Capital Management, L.P. |
Small Cap Growth Fund |
AllianceBernstein, L.P. |
Arrowpoint Asset Management, LLC |
Axiom International Investors, LLC |
EAM Investors, LLC |
Falcon Point Capital, LLC |
Parametric Portfolio Associates LLC |
Tax-Managed Small/Mid Cap Fund |
AllianceBernstein, L.P. |
AQR Capital Management, LLC |
Cardinal Capital Management, L.L.C. |
Castle Ark Management, LLC |
Mesirow Financial Investment Management, Inc. |
Parametric Portfolio Associates LLC |
Snow Capital Management L.P. |
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 |
CenterSquare Investment Management Inc. |
Security Capital Research and Management Incorporated |
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 Incorporated |
Western Asset Management Company |
Western Asset Management Company Limited |
U.S. Fixed Income Fund |
Jennison Associates LLC |
Metropolitan West Asset Management LLC |
Wells Capital Management Incorporated |
Western Asset Management Company |
Western Asset Management Company Limited |
High Yield Bond Fund |
Ares Management LLC |
Benefit Street Partners, LLC |
Brigade Capital Management LP |
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-Strategy Alternative Fund |
Emso Partners Limited Management, LLC |
Mountaineer Partners |
Ramius Advisors, LLC |
Multi-Asset Accumulation Fund |
AQR Capital Management, LLC |
PanAgora Asset Management Inc. |
Multi-Asset Income Fund |
Goldman Sachs Asset Management, LP |
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 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 259 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016
Under the investment sub-advisory agreements, each sub-adviser receives an annual fee paid by SIMC.
Other — The Distributor may receive compensation on fund transactions effected for the Trust in accordance with the rules of the Securities and Exchange Commission (“SEC”). Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. SEC rules require that such commissions not exceed usual and customary commissions.
Such commissions for the six month period ended March 31, 2016 were as follows ($ Thousands):
Small Cap Value Fund | $ | 5 | ||
Real Estate Fund | 6 | |||
|
| |||
$ | 11 | |||
|
|
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 indirect subsidiary of SEI Investment Co.) 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 six month period ended March 31, 2016 were as follows ($ Thousands):
Large Cap Fund | $ | 125 | ||
Large Cap Value Fund | 99 | |||
Tax-Managed Large Cap Fund | 178 | |||
Small Cap Value Fund | 165 | |||
U.S. Managed Volatility Fund | 632 | |||
Tax-Managed Managed Volatility Fund | 478 | |||
|
| |||
$ | 1,677 | |||
|
|
Fees Paid Indirectly — The Funds may direct certain fund trades to the Distributor who pays a portion of the Funds’ expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, and the effect on the Funds’ expense ratio, as a percentage of the Funds’ average daily net assets for the six month period ended March 31, 2016, can be found on the Statements 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 six month period ended March 31, 2016 ($ Thousands):
SEI Liquidity Fund | Value 9/30/2015 | Purchases at Cost | Proceeds from Sales | Value 3/31/2016 | Dividend Income | |||||||||||||||
Large Cap Fund | $ | 36,418 | $ | 1,344,991 | $ | (1,010,498 | ) | $ | 370,911 | $ | 139 | |||||||||
Large Cap Value Fund | 33,726 | 181,154 | (179,745 | ) | 35,135 | 146 | ||||||||||||||
Large Cap Growth Fund | 5,199 | 82,821 | (85,418 | ) | 2,602 | 23 | ||||||||||||||
Tax-Managed Large Cap Fund | 41,280 | 238,602 | (253,236 | ) | 26,646 | 504 | ||||||||||||||
S&P 500 Index Fund | 1,328 | 13,233 | (12,349 | ) | 2,212 | 16 | ||||||||||||||
Small Cap Fund | 30,125 | 140,817 | (104,412 | ) | 66,530 | 354 | ||||||||||||||
Small Cap Value Fund | 16,899 | 194,061 | (65,609 | ) | 145,351 | 155 | ||||||||||||||
Small Cap Growth Fund | 25,078 | 127,468 | (98,612 | ) | 53,934 | 401 | ||||||||||||||
Tax-Managed Small/Mid Cap Fund | 251,945 | 393,063 | (383,260 | ) | 261,748 | 427 | ||||||||||||||
Mid-Cap Fund | — | 29,838 | (2,578 | ) | 27,260 | 1 | ||||||||||||||
Real Estate Fund | — | 899 | (899 | ) | — | — | ||||||||||||||
Core Fixed Income Fund | 3,456 | 143,756 | (146,447 | ) | 765 | 39 | ||||||||||||||
U.S. Fixed Income Fund | — | 141,213 | (141,003 | ) | 210 | 12 | ||||||||||||||
High Yield Fund | 6 | — | — | 6 | — | |||||||||||||||
SDIT Prime Obligation | ||||||||||||||||||||
Large Cap Fund | $ | 189,621 | $ | 207,709 | $ | (340,273 | ) | $ | 57,057 | 89 | ||||||||||
Large Cap Value Fund | 71,835 | 165,820 | (215,908 | ) | 21,747 | 45 | ||||||||||||||
Large Cap Growth Fund | 78,356 | 247,265 | (284,047 | ) | 41,574 | 46 | ||||||||||||||
Tax-Managed Large Cap Fund | 188,812 | 465,241 | (541,462 | ) | 112,591 | 141 | ||||||||||||||
S&P 500 Index Fund | 9,086 | 103,524 | (102,405 | ) | 10,205 | 8 | ||||||||||||||
Small Cap Fund | 40,025 | 154,438 | (165,169 | ) | 29,294 | 32 | ||||||||||||||
Small Cap Value Fund | 14,504 | 135,573 | (138,265 | ) | 11,812 | 19 | ||||||||||||||
Small Cap Growth Fund | 20,247 | 63,057 | (72,699 | ) | 10,605 | 14 | ||||||||||||||
Tax-Managed Small/Mid Cap Fund | 31,840 | 88,419 | (85,197 | ) | 35,062 | 29 | ||||||||||||||
Mid-Cap Fund | 4,774 | 37,780 | (37,373 | ) | 5,181 | 3 | ||||||||||||||
U.S. Managed Volatility Fund | 26,035 | 240,192 | (207,462 | ) | 58,765 | 42 | ||||||||||||||
Global Managed Volatility Fund | 108,089 | 407,166 | (447,114 | ) | 68,141 | 104 | ||||||||||||||
Tax-Managed Managed Volatility Fund | 27,260 | 253,198 | (228,133 | ) | 52,325 | 37 |
260 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SDIT Prime Obligation | Value 9/30/2015 | Purchases at Cost | Proceeds from Sales | Value 3/31/2016 | Dividend Income | |||||||||||||||
Real Estate Fund | $ | 6,435 | $ | 37,608 | $ | (38,798 | ) | $ | 5,245 | 8 | ||||||||||
Enhanced Income Fund | 5,674 | 9,224 | (10,173 | ) | 4,725 | 5 | ||||||||||||||
Core Fixed Income Fund | 85,704 | 604,012 | (621,452 | ) | 68,264 | 65 | ||||||||||||||
U.S. Fixed Income Fund | 55,864 | 525,224 | (536,572 | ) | 44,516 | 54 | ||||||||||||||
High Yield Fund | 60,505 | 354,552 | (345,233 | ) | 69,824 | 58 | ||||||||||||||
Real Return Fund | 227 | 21,304 | (19,117 | ) | 2,414 | 2 | ||||||||||||||
Multi-Strategy Alternative Fund | 22,920 | 345,507 | (289,017 | ) | 79,410 | 64 | ||||||||||||||
Multi-Asset Accumulation Fund | 765,254 | 331 | — | 765,585 | 675 |
SEI Institutional Managed Trust Long/Short Alternative Fund | Value 9/30/15 | Purchases at Cost | Proceeds from Sales | Value 3/31/2016 | Change in Unrealized Depreciation | Dividend Income | ||||||||||||||||||
Multi-Strategy Alternative Fund | $ | 41,171 | $ | — | $ | — | $ | 40,788 | $ | (383 | ) | $ | — |
Affiliated Transactions — 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 six month period ended March 31, 2016, the Trust borrowed funds from the SEI Liquid Asset Trust Prime Obligation Fund. The amount borrowed, interest paid on the borrowing and the corresponding interest rate were as follows ($ Thousands):
Borrowing Date | Maturity Date | Amount Borrowed | Interest Paid | Interest Rate | ||||||||||||||||
Mid Cap Fund | 01/21/16 | 01/22/16 | $ | 6,750 | $ | — | 0.49 | % | ||||||||||||
Mid Cap Fund | 01/22/16 | 01/25/16 | $ | 6,750 | — | 0.48 |
7. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
For the six month period ended March 31, 2016 (Unaudited) and the year ended September 30, 2015.
Large Cap | Large Cap Value Fund | Large Cap Growth Fund | Tax-Managed Large Cap Fund | S&P 500 Index Fund | ||||||||||||||||||||||||||||||||||||
10/01/15 to 03/31/16 | 10/01/14 to 09/30/15 | 10/01/15 to 03/31/16 | 10/01/14 to 09/30/15 | 10/01/15 to | 10/01/14 to | 10/01/15 to | 10/01/14 to | 10/01/15 to | 10/01/14 to | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 27,709 | 52,908 | 5,458 | 6,976 | 4,158 | 5,116 | 20,966 | 34,115 | 1,538 | 2,154 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of | 28,385 | 13,912 | 8,227 | 4,360 | 8,011 | 3,377 | 607 | 872 | 70 | 792 | ||||||||||||||||||||||||||||||
Shares Redeemed | (54,254 | ) | (55,593 | ) | (7,511 | ) | (12,596 | ) | (6,915 | ) | (9,579 | ) | (16,972 | ) | (31,607 | ) | (1,806 | ) | (2,216 | ) | ||||||||||||||||||||
Total Class A Transactions | 1,840 | 11,227 | 6,174 | (1,260 | ) | 5,254 | (1,086 | ) | 4,601 | 3,380 | (198 | ) | 730 | |||||||||||||||||||||||||||
Class E: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | — | — | — | — | — | — | 93 | 792 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of | — | — | — | — | — | — | — | — | 47 | 2,330 | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | — | — | — | — | — | — | (436 | ) | (36,856 | )(1) | ||||||||||||||||||||||||||||
Total Class E Transactions | — | — | — | — | — | — | — | — | (296 | ) | (33,734 | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 261 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016
Large Cap Fund | Large Cap Value Fund(7) | Large Cap Growth Fund(7) | Tax-Managed Large Cap Fund | S&P 500 Index Fund(7) | ||||||||||||||||||||||||||||||||||||
10/01/15 to | 10/01/14 to | 10/01/15 to | 10/01/14 to | 10/01/15 to | 10/01/14 to | 10/01/15 to | 10/01/14 to | 10/01/15 to | 10/01/14 to | |||||||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | 76 | 44 | 33 | 33 | — | — | 22 | 52 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of | — | — | 34 | 24 | 22 | 13 | — | — | 1 | 9 | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | (120 | ) | (102 | ) | (40 | ) | (88 | ) | — | — | (61 | ) | (47 | ) | ||||||||||||||||||||||||
Total Class I Transactions | — | — | (10 | ) | (34 | ) | 15 | (42 | ) | — | — | (38 | ) | 14 | ||||||||||||||||||||||||||
Class T(4): | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | — | — | — | — | — | (23 | ) | — | — | |||||||||||||||||||||||||||||
Total Class T Transactions | — | — | — | — | — | — | — | (23 | ) | — | — | |||||||||||||||||||||||||||||
Class Y(2): | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 2,421 | 16,678 | 974 | — | 690 | — | 2,653 | 7,528 | 21 | — | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of | 2,169 | 79 | — | — | — | — | 37 | 34 | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | (1,758 | ) | (5,369 | ) | (17 | ) | — | (9 | ) | — | (493 | ) | (779 | ) | (2 | ) | — | |||||||||||||||||||||||
Total Class Y Transactions | 2,832 | 11,388 | 957 | — | 681 | — | 2,197 | 6,783 | 19 | — | ||||||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 4,672 | 22,615 | 7,121 | (1,294 | ) | 5,950 | (1,128 | ) | 6,798 | 10,140 | (513 | ) | (32,990 | ) | ||||||||||||||||||||||||||
Small Cap Fund | Small Cap Value Fund(7) | Small Cap Growth Fund(7) | Tax-Managed Small/Mid Cap Fund | Mid-Cap Fund(7) | ||||||||||||||||||||||||||||||||||||
10/01/15 to | 10/01/14 to | 10/01/15 to | 10/01/14 to | 10/01/15 to | 10/01/14 to | 10/01/15 to | 10/01/14 to | 10/01/15 to | 10/01/14 to | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 8,124 | 12,620 | 3,004 | 2,087 | 763 | 1,639 | 4,747 | 7,830 | 1,016 | 2,089 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of | 4,266 | 2,773 | 1,094 | 1,284 | — | — | 67 | 319 | 598 | 293 | ||||||||||||||||||||||||||||||
Shares Redeemed | (5,892 | ) | (11,240 | ) | (2,648 | ) | (3,156 | ) | (1,771 | ) | (2,348 | ) | (4,625 | ) | (7,033 | ) | (1,703 | ) | (2,040 | ) | ||||||||||||||||||||
Total Class A Transactions | 6,498 | 4,153 | 1,450 | 215 | (1,008 | ) | (709 | ) | 189 | 1,116 | (89 | ) | 342 | |||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | 58 | 34 | 40 | 35 | — | — | 3 | 8 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of | — | — | 8 | 14 | — | — | — | — | 6 | 3 | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | (90 | ) | (51 | ) | (49 | ) | (45 | ) | — | — | (3 | ) | (18 | ) | ||||||||||||||||||||||||
Total Class I Transactions | — | — | (24 | ) | (3 | ) | (9 | ) | (10 | ) | — | — | 6 | (7 | ) | |||||||||||||||||||||||||
Class Y(2): | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 1,084 | 3,161 | 317 | — | 252 | — | 988 | 1,823 | 15 | — | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of | 302 | — | — | — | — | — | 7 | 1 | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | (501 | ) | (429 | ) | (6 | ) | — | (5 | ) | — | (163 | ) | (224 | ) | (2 | ) | — | |||||||||||||||||||||||
Total Class Y Transactions | 885 | 2,732 | 311 | — | 247 | — | 832 | 1,600 | 13 | — | ||||||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 7,383 | 6,885 | 1,737 | 212 | (770 | ) | (719 | ) | 1,021 | 2,716 | (70 | ) | 335 | |||||||||||||||||||||||||||
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | Real Estate Fund | Enhanced Income Fund | ||||||||||||||||||||||||||||||||||||
10/01/15 to | 10/01/14 to | 10/01/15 to | 10/01/14 to | 10/01/15 to | 10/01/14 to | 10/01/15 to | 10/01/14 to | 10/01/15 to | 10/01/14 to | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 16,726 | 20,272 | 38,771 | 76,701 | 16,183 | 20,888 | 1,415 | 3,021 | 4,674 | 10,582 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of | 3,180 | 6,453 | 13,170 | 17,258 | 2,778 | 3,723 | 378 | 674 | 232 | 427 | ||||||||||||||||||||||||||||||
Shares Redeemed | (17,398 | ) | (24,866 | ) | (111,969 | ) | (45,201 | ) | (9,839 | ) | (13,858 | ) | (4,416 | ) | (6,249 | ) | (4,868 | ) | (15,851 | ) | ||||||||||||||||||||
Total Class A Transactions | 2,508 | 1,859 | (60,028 | ) | 48,758 | 9,122 | 10,753 | (2,623 | ) | (2,554 | ) | 38 | (4,842 | ) | ||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 15 | 70 | 34 | 32 | — | — | 2 | 3 | 7 | 9 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 5 | 12 | 8 | 11 | — | — | 1 | 2 | — | 1 | ||||||||||||||||||||||||||||||
Shares Redeemed | (1 | ) | (64 | ) | (23 | ) | (13 | ) | — | — | (10 | ) | (2 | ) | (4 | ) | (29 | ) | ||||||||||||||||||||||
Total Class I Transactions | 19 | 18 | 19 | 30 | — | — | (7 | ) | 3 | 3 | (19 | ) |
262 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
| U.S. Managed Volatility Fund | | | Global Managed Volatility Fund | |
| Tax-Managed Managed Volatility Fund(6) |
| Real Estate Fund | | Enhanced Income Fund | | ||||||||||||||||||||||||||||
10/01/15 to 03/31/16 | 10/01/14 to 09/30/15 | 10/01/15 to 03/31/16 | 10/01/14 to 09/30/15 | 10/01/15 to 03/31/16 | 10/01/14 to 09/30/15 | 10/01/15 to 03/31/16 | 10/01/14 to 09/30/15 | 10/01/15 to 03/31/16 | 10/01/14 to 09/30/15 | |||||||||||||||||||||||||||||||
Class Y(2): | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 7,452 | 28,155 | 5,173 | 9,804 | 2,068 | 23 | 1,025 | 1,256 | 1,117 | 4,658 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of | 1,427 | 184 | 549 | — | 1 | — | 38 | 28 | 18 | 48 | ||||||||||||||||||||||||||||||
Shares Redeemed | (4,693 | ) | (4,180 | ) | (5,400 | ) | (1,093 | ) | (113 | ) | — | (240 | ) | (251 | ) | (196 | ) | (3,196 | ) | |||||||||||||||||||||
Total Class Y Transactions | 4,186 | 24,159 | 322 | 8,711 | 1,956 | 23 | 823 | 1,033 | 939 | 1,510 | ||||||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 6,713 | 26,036 | (59,687 | ) | 57,499 | 11,078 | 10,776 | (1,807 | ) | (1,518 | ) | 980 | (3,351 | ) |
Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | Real Return Fund | Dynamic Asset | Multi-Strategy Alternative Fund(6) | |||||||||||||||||||||||||||||||||||||||||||
10/01/15 to | 10/01/14 to | 10/01/15 to | 10/01/14 to | 10/01/15 to | 10/01/14 to | 10/01/15 to | 10/01/14 to | 10/01/15 to 03/31/16 | 07/30/15 to 09/30/15 | 10/01/15 to | 10/01/14 to | |||||||||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||||||||||
Shares Issued | 16,276 | 32,646 | 17,341 | 31,167 | 45,109 | 77,938 | 5,880 | 9,026 | 49,014 | 2,513 | 9,924 | 16,684 | ||||||||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 3,656 | 3,816 | 1,845 | 1,924 | 8,946 | 11,990 | — | 30 | 146 | — | 1,326 | 711 | ||||||||||||||||||||||||||||||||||||
Shares Redeemed | (23,629 | ) | (34,049 | ) | (16,990 | ) | (32,075 | ) | (45,243 | ) | (90,628 | ) | (4,930 | ) | (10,681 | ) | (5,322 | ) | (145 | ) | (8,182 | ) | (11,970 | ) | ||||||||||||||||||||||||
Total Class A Transactions | (3,697 | ) | 2,413 | 2,196 | 1,016 | 8,812 | (700 | ) | 950 | (1,625 | ) | 43,838 | 2,368 | 3,068 | 5,425 | |||||||||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||||||||||
Shares Issued | 534 | 440 | — | — | 723 | 4,129 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 10 | 13 | — | — | 8 | 48 | — | — |
| — |
| — | — | — | ||||||||||||||||||||||||||||||||||
Shares Redeemed | (853 | ) | (277 | ) | — | — | (13 | ) | (4,533 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
Total Class I Transactions | (309 | ) | 176 | — | — | 718 | (356 | ) | — | — |
| — |
| — | — | — | ||||||||||||||||||||||||||||||||
Class Y(2): | ||||||||||||||||||||||||||||||||||||||||||||||||
Shares Issued | 3,212 | 2,036 | 1,715 | 9,745 | 9,002 | 22,731 | 686 | 2,926 | 313 | 5,455 | 485 | 2 | ||||||||||||||||||||||||||||||||||||
Shares Issued in Lieu of | 64 | 9 | 185 | 151 | 1,071 | 879 | — | — | 21 | — | — | — | ||||||||||||||||||||||||||||||||||||
Shares Redeemed | (160 | ) | (41 | ) | (1,403 | ) | (1,319 | ) | (2,324 | ) | (3,168 | ) | (543 | ) | (354 | ) | (719 | ) | (149 | ) | (365 | ) | — | |||||||||||||||||||||||||
Total Class Y Transactions | 3,116 | 2,004 | 497 | 8,577 | 7,749 | 20,442 | 143 | 2,572 | (385 | ) | 5,306 | 120 | 2 | |||||||||||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | (890 | ) | 4,593 | 2,693 | 9,593 | 17,279 | 19,386 | 1,093 | 947 | 43,453 | 7,674 | 3,188 | 5,427 |
Multi-Asset Accumulation Fund | Multi-Asset Income Fund | Multi-Asset Fund | Multi-Asset Fund | Long/Short | ||||||||||||||||||||||||||||||||||||
10/01/15 to | 10/01/14 to | 10/01/15 to | 10/01/14 to | 10/01/15 to | 10/01/14 to | 10/01/15 to | 10/01/14 to | 10/01/15 to 03/31/16 | 12/19/15 to | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 34,045 | 64,416 | 11,944 | 21,108 | 20,360 | 36,915 | 13,886 | 20,564 | — | 3,625 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of | 5,288 | 15,763 | 1,944 | 2,042 | 463 | — | 532 | 865 | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | (27,211 | ) | (62,211 | ) | (16,142 | ) | (15,220 | ) | (15,685 | ) | (29,661 | ) | (8,992 | ) | (18,288 | ) | — | (3,623 | ) | |||||||||||||||||||||
Total Class A Transactions | 12,122 | 17,968 | (2,254 | ) | 7,930 | 5,138 | 7,254 | 5,426 | 3,141 | — | 2 | |||||||||||||||||||||||||||||
Class Y(2): | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 1,966 | 22,926 | 5,905 | 3,525 | 1,664 | 10,575 | 597 | 5,752 | — | 4,258 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of | 619 | — | 198 | 109 | 69 | �� | — | 58 | — | — | — | |||||||||||||||||||||||||||||
Shares Redeemed | (2,752 | ) | (1,744 | ) | (419 | ) | (457 | ) | (818 | ) | (1,080 | ) | (464 | ) | (745 | ) | — | — | ||||||||||||||||||||||
Total Class Y Transactions | (167 | ) | 21,182 | 5,684 | 3,177 | 915 | 9,495 | 191 | 5,007 | — | 4,258 | |||||||||||||||||||||||||||||
Increase in Share Transactions | 11,955 | 39,150 | 3,430 | 11,107 | 6,053 | 16,749 | 5,617 | 8,148 | — | 4,260 |
(1) | Includes redemptions as a result of affiliated and in-kind transactions (see Notes 6 and 13). |
(2) | Class Y commenced operations on December 31, 2014, unless stated otherwise. |
(3) | Commenced operations on July 30, 2015. |
(4) | Class T closed on December 30, 2014. |
(5) | Commenced operations on December 19, 2014. |
(6) | Class Y commenced operations on April 30, 2015. |
(7) | Class Y commenced operations on October 30, 2015. |
Amounts designated as “—” are zero or have been rounded to zero.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 263 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016
8. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities, other than temporary cash investments and futures, during the six month period ended March 31, 2016, were as follows:
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||
Large Cap Fund | ||||||||||||
Purchases | $ | — | $ | 1,075,334 | $ | 1,075,334 | ||||||
Sales | — | 1,306,992 | 1,306,992 | |||||||||
Large Cap Value Fund | ||||||||||||
Purchases | — | 629,892 | 629,892 | |||||||||
Sales | — | 606,303 | 606,303 | |||||||||
Large Cap Growth Fund | ||||||||||||
Purchases | — | 833,607 | 833,607 | |||||||||
Sales | — | 863,986 | 863,986 | |||||||||
Tax-Managed Large Cap Fund | ||||||||||||
Purchases | — | 1,803,958 | 1,803,958 | |||||||||
Sales | — | 1,575,227 | 1,575,227 | |||||||||
S&P 500 Index Fund | ||||||||||||
Purchases | — | 46,374 | 46,374 | |||||||||
Sales | — | 70,924 | 70,924 | |||||||||
Small Cap Fund | ||||||||||||
Purchases | — | 377,715 | 377,715 | |||||||||
Sales | — | 339,890 | 339,890 | |||||||||
Small Cap Value Fund | ||||||||||||
Purchases | — | 222,003 | 222,003 | |||||||||
Sales | — | 203,312 | 203,312 | |||||||||
Small Cap Growth Fund | ||||||||||||
Purchases | — | 245,350 | 245,350 | |||||||||
Sales | — | 255,674 | 255,674 | |||||||||
Tax-Managed Small/Mid Cap Fund | ||||||||||||
Purchases | — | 407,509 | 407,509 | |||||||||
Sales | — | 390,856 | 390,856 | |||||||||
Mid-Cap Fund | ||||||||||||
Purchases | — | 43,934 | 43,934 | |||||||||
Sales | — | 58,985 | 58,985 | |||||||||
U.S. Managed Volatility Fund | ||||||||||||
Purchases | — | 323,403 | 323,403 | |||||||||
Sales | — | 307,267 | 307,267 | |||||||||
Global Managed Volatility Fund | ||||||||||||
Purchases | — | 688,912 | 688,912 | |||||||||
Sales | — | 1,250,368 | 1,250,368 | |||||||||
Tax-Managed Managed Volatility | ||||||||||||
Purchases | — | 270,586 | 270,586 | |||||||||
Sales | — | 178,168 | 178,168 | |||||||||
Real Estate Fund | ||||||||||||
Purchases | — | 64,739 | 64,739 | |||||||||
Sales | — | 101,261 | 101,261 | |||||||||
Enhanced Income Fund | ||||||||||||
Purchases | 23,863 | 19,480 | 43,343 | |||||||||
Sales | 24,825 | 16,786 | 41,611 | |||||||||
Core Fixed Income Fund | ||||||||||||
Purchases | 3,296,361 | 353,677 | 3,650,038 | |||||||||
Sales | 3,359,868 | 346,222 | 3,706,090 | |||||||||
U.S Fixed Income Fund | ||||||||||||
Purchases | 2,235,097 | 404,311 | 2,639,408 | |||||||||
Sales | 2,214,098 | 414,963 | 2,629,061 | |||||||||
High Yield Bond Fund | ||||||||||||
Purchases | — | 408,329 | 408,329 | |||||||||
Sales | — | 334,632 | 334,632 | |||||||||
Real Return Fund | ||||||||||||
Purchases | 47,567 | — | 47,567 | |||||||||
Sales | 37,471 | — | 37,471 |
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||
Dynamic Asset Allocation Fund | ||||||||||||
Purchases | $ | — | $ | 411,675 | $ | 411,675 | ||||||
Sales | — | 14,966 | 14,966 | |||||||||
Multi-Strategy Alternative Fund | ||||||||||||
Purchases | 4,530 | 166,416 | 170,946 | |||||||||
Sales | 3,262 | 267,162 | 270,424 | |||||||||
Multi-Asset Accumulation Fund | ||||||||||||
Purchases | 261,530 | 214,663 | 476,193 | |||||||||
Sales | 175,987 | 180,288 | 356,275 | |||||||||
Multi-Asset Income Fund | ||||||||||||
Purchases | 12,999 | 143,663 | 156,662 | |||||||||
Sales | 974 | 119,512 | 120,486 | |||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||
Purchases | 92,919 | 118,237 | 211,156 | |||||||||
Sales | 65,783 | 119,338 | 185,121 | |||||||||
Multi-Asset Capital Stability Fund | ||||||||||||
Purchases | 119,484 | 21,717 | 141,201 | |||||||||
Sales | 43,301 | 21,968 | 65,269 | |||||||||
Long/Short Alternative Fund | ||||||||||||
Purchases | — | 145 | 145 | |||||||||
Sales | — | 55 | 55 |
9. FEDERAL TAX INFORMATION
It is each Fund’s intention to continue to qualify as a regulated investment company under Subchapter M of The Internal Revenue Code and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required.
The Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds have each requested private letter rulings from the Internal Revenue Service (“IRS”) concluding that the income generated from their investment in their respective Subsidiaries, each of which invests in commodity-linked derivatives, will be “qualifying income” for regulated investment company (“RIC”) qualification purposes, regardless of whether actual distributions are made to the Funds by the respective Subsidiary.
In July 2011, the IRS suspended the issuance of private letter rulings regarding the investment by RICs into controlled foreign corporations which principally invest in commodities, such as the Subsidiaries, indicating that it was reconsidering its policies surrounding the issuance of these rulings. The IRS subsequently stated that it intends to issue public guidance regarding the use of controlled foreign corporations by RICs to indirectly invest in commodities. It is unclear whether this guidance will continue to permit or somehow restrict the distributions from controlled foreign corporations to be treated as “qualifying income” for purposes of the RIC qualification rules. As a result, there can be no assurance that the IRS will grant the private letter ruling requested by the Funds. The IRS, however, has informally indicated that any guidance regarding the treatment of distributions from controlled foreign corporations will be prospective in application and provide for transition periods for affected RICs. While the private letter ruling request is pending with the IRS, the Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds have secured an opinion of counsel based on customary representations that actual
264 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
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.
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 | ||||||||||||||||
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 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 265 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016
Ordinary Income ($ Thousands) | Long-Term Capital Gain ($ Thousands) | Return of Capital ($ Thousands) | Total ($ Thousands) | |||||||||||||||||
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 | ) | 368 | 54,127 | |||||||||||||||||||||||
Small Cap Value Fund | 1,103 | 21,251 | — | — | — | 3,028 | 111 | 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 | ) | ||||||||||||||||||||||
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 | ) |
266 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
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 March 31, 2016, and the net realized gains or losses on securities sold for the period, were different from amounts reported for financial reporting purposes primarily due to investments in partnerships that captures losses from other securities, and wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Funds at March 31, 2016, were as follows:
Federal Tax Cost ($ Thousands) | Appreciated Securities ($ Thousands) | Depreciated Securities ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
Large Cap Fund | $ | 2,467,366 | $ | 378,405 | $ | (116,767 | ) | $ | 261,638 | |||||||
Large Cap Value Fund | 1,240,589 | 173,799 | (61,640 | ) | 112,159 | |||||||||||
Large Cap Growth Fund | 1,185,650 | 288,215 | (46,091 | ) | 242,124 | |||||||||||
Tax-Managed Large Cap Fund | 2,394,373 | 1,075,138 | (7,027 | ) | 1,068,111 | |||||||||||
S&P 500 Index Fund | 356,740 | 311,705 | (9,673 | ) | 302,032 | |||||||||||
Small Cap Fund | 598,804 | 57,031 | (34,550 | ) | 22,481 | |||||||||||
Small Cap Value Fund | 491,767 | 51,972 | (19,149 | ) | 32,823 | |||||||||||
Small Cap Growth Fund | 365,513 | 18,100 | (28,584 | ) | (10,484 | ) | ||||||||||
Tax-Managed Small/Mid Cap Fund | 748,734 | 158,882 | (1,912 | ) | 156,970 | |||||||||||
Mid-Cap Fund | 107,278 | 7,840 | (4,089 | ) | 3,751 |
Federal Tax Cost ($ Thousands) | Appreciated Securities ($ Thousands) | Depreciated Securities ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
U.S. Managed Volatility Fund | $ | 1,279,668 | $ | 261,005 | $ | (50,970 | ) | $ | 210,035 | |||||||
Global Managed Volatility Fund | 1,500,356 | 249,342 | (33,662 | ) | 215,680 | |||||||||||
Tax-Managed Managed Volatility Fund | 854,583 | 252,445 | (13,801 | ) | 238,644 | |||||||||||
Real Estate Fund | 143,792 | 51,701 | (539 | ) | 51,162 | |||||||||||
Enhanced Income Fund | 215,215 | 706 | (6,447 | ) | (5,741 | ) | ||||||||||
Core Fixed Income Fund | 2,166,007 | 64,859 | (40,717 | ) | 24,142 | |||||||||||
U.S. Fixed Income Fund | 1,280,672 | 29,376 | (5,458 | ) | 23,918 | |||||||||||
High Yield Bond Fund | 1,883,365 | 29,453 | (215,161 | ) | (185,708 | ) | ||||||||||
Real Return Fund | 302,012 | 3,319 | (175 | ) | 3,144 | |||||||||||
Dynamic Asset Alloction Fund | 469,907 | 30,636 | (17,330 | ) | 13,306 | |||||||||||
Multi-Strategy Alternative Fund | 544,122 | 7,916 | (18,333 | ) | (10,417 | ) | ||||||||||
Multi-Asset Accumulation Fund | 1,676,258 | 45,573 | (15,532 | ) | 30,041 | |||||||||||
Multi-Asset Income Fund | 637,294 | 12,754 | (44,556 | ) | (31,802 | ) | ||||||||||
Multi-Asset Inflation Managed Fund | 1,183,909 | 39,808 | (13,515 | ) | 26,293 | |||||||||||
Multi-Asset Capital Stability Fund | 153,936 | 3,743 | (793 | ) | 2,950 | |||||||||||
Long/Short Alternative Fund | 39,748 | 3 | (117 | ) | (114 | ) |
Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years and has concluded that as of March 31, 2016, 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
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 267 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2016
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 March 31, 2016 (in $ Thousands):
Fund | Securities Loaned at Value | Cash Collateral Received(1) | Net Amount | |||||||||
Large Cap Fund | $ | 362,892 | $ | 362,892 | $ | — | ||||||
Large Cap Value Fund | 34,335 | 34,335 | — | |||||||||
Large Cap Growth Fund | 2,534 | 2,534 | — | |||||||||
Tax-Managed Large Cap Fund | 26,271 | 26,271 | — | |||||||||
S&P 500 Index Fund | 2,176 | 2,176 | — | |||||||||
Small Cap Fund | 65,235 | 65,235 | — | |||||||||
Small Cap Value Fund | 142,235 | 142,235 | — | |||||||||
Small Cap Growth Fund | 53,035 | 53,035 | — | |||||||||
Tax-Managed Small/Mid Cap Fund | 256,627 | 256,627 | — | |||||||||
Mid-Cap Fund | 26,884 | 26,884 | — | |||||||||
Core Fixed Income Fund | 735 | 735 | — | |||||||||
U.S. Fixed Income Fund | 201 | 201 | — | |||||||||
High Yield Bond Fund | 1 | 1 | — |
(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, Enhanced Income, Real Return, U.S. Fixed Income, High Yield Bond and Multi-Asset Funds’ investments will change in response to interest rate changes and other factors. During periods of falling interest rates, the values of fixed income securities generally rise. Conversely, during periods of rising interest rates, the values of such securities generally decline. Changes by recognized rating agencies in the ratings of any fixed income security and in the ability of an issuer to make payments of interest and principal may also affect the value of these investments.
The following descriptions provide additional information about some of the risks of investing in the Funds:
Asset-Backed Securities Risk — Payment of principal and interest on asset-backed securities is dependent largely on the cash flows generated by the assets backing the securities, and asset-backed securities may not have the benefit of any security interest in the related assets.
Credit Risk — The risk that the issuer of a security or the counterparty to a contract will default or otherwise become unable to honor a financial obligation.
Currency Risk — Due to a 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 a 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.
268 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
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. CONCENTRATION OF SHAREHOLDERS
SEI Private Trust Company (“SPTC”) and SIMC are subsidiaries of SEI Investments Company. As of March 31, 2016, SPTC held of record the following:
Fund | Class A | Class E | Class I | Class Y | ||||||||||||
Large Cap Fund | 97.82 | % | — | — | 8.04 | % | ||||||||||
Large Cap Value Fund | 95.02 | % | — | 23.11 | % | 100.00 | % | |||||||||
Large Cap Growth Fund | 95.23 | % | — | 26.90 | % | 100.00 | % | |||||||||
Tax-Managed Large Cap Fund | 92.25 | % | — | — | 26.25 | % | ||||||||||
S&P 500 Index Fund | 86.14 | % | 5.22 | % | 47.25 | % | 97.92 | % | ||||||||
Small Cap Fund | 97.89 | % | — | — | 14.87 | % | ||||||||||
Small Cap Value Fund | 81.35 | % | — | 21.77 | % | 100.00 | % | |||||||||
Small Cap Growth Fund | 92.02 | % | — | 27.55 | % | 100.00 | % | |||||||||
Tax-Managed Small/Mid Cap Fund | 94.48 | % | — | — | 33.29 | % | ||||||||||
Mid-Cap Fund | 80.01 | % | — | — | 94.42 | % | ||||||||||
U.S. Managed Volatility Fund | 83.41 | % | — | — | 10.32 | % | ||||||||||
Global Managed Volatility Fund | 85.19 | % | — | 6.39 | % | 52.86 | % | |||||||||
Tax-Managed Managed Volatility Fund | 92.25 | % | — | — | 99.07 | % | ||||||||||
Real Estate Fund | 90.15 | % | — | 1.61 | % | 47.26 | % | |||||||||
Enhanced Income Fund | 90.30 | % | — | — | 39.23 | % | ||||||||||
Core Fixed Income Fund | 94.85 | % | — | 39.27 | % | 60.76 | % | |||||||||
U.S. Fixed Income Fund | 98.40 | % | — | — | 11.27 | % | ||||||||||
High Yield Bond Fund | 96.55 | % | — | 4.52 | % | 22.29 | % | |||||||||
Real Return Fund | 98.04 | % | — | — | 6.85 | % | ||||||||||
Dynamic Asset Allocation Fund | 96.76 | % | — | — | 0.04 | % | ||||||||||
Mult-Strategy Alternative | 97.00 | % | — | — | 98.36 | % | ||||||||||
Multi-Asset Accumulation Fund | 97.87 | % | — | — | 1.76 | % | ||||||||||
Multi-Asset Income Fund | 97.58 | % | — | — | 63.22 | % | ||||||||||
Multi-Asset Inflation Managed Fund | 98.04 | % | — | — | 10.18 | % | ||||||||||
Multi-Asset Capital Stability Fund | 98.31 | % | — | — | 4.07 | % | ||||||||||
Long/Short Alternative Fund | — | — | — | — |
SEI Private Trust Company (“SPTC”) is not a direct service provider to the Funds. However, SPTC performs a role in the comprehensive investment solution that SEI provides to investors. SPTC holds shares in the Funds as custodian for shareholders that are clients of independent registered investment advisers, financial planners, bank
trust departments and other financial advisors. SPTC maintains omnibus accounts at the Funds transfer agent.
13. 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 |
14. 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.
15. 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 May 31, 2016.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 269 |
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 October 1, 2015 to March 31, 2016.
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 3/31/16 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Large Cap Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,043.20 | 0.91 | % | $ | 4.65 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,044.30 | 0.66 | % | $ | 3.37 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.45 | 0.91 | % | $ | 4.60 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,021.70 | 0.66 | % | $ | 3.34 | ||||||||
Large Cap Value Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,037.50 | 0.91 | % | $ | 4.64 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,036.60 | 1.13 | % | $ | 5.75 | ||||||||
Class Y Shares‡ | $ | 1,000.00 | $ | 967.30 | 0.66 | % | $ | 2.71 | ** | |||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.45 | 0.91 | % | $ | 4.60 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,019.35 | 1.13 | % | $ | 5.70 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,021.70 | 0.66 | % | $ | 3.34 |
Beginning Account Value 10/1/15 | Ending Account Value 3/31/16 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Large Cap Growth Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,032.40 | 0.91 | % | $ | 4.62 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,031.20 | 1.13 | % | $ | 5.74 | ||||||||
Class Y Shares‡ | $ | 1,000.00 | $ | 953.90 | 0.66 | % | $ | 2.70 | ** | |||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.50 | 0.91 | % | $ | 4.60 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,019.35 | 1.13 | % | $ | 5.70 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,021.70 | 0.66 | % | $ | 3.34 | ||||||||
Tax-Managed Large Cap Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,035.60 | 0.90 | % | $ | 4.58 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,037.40 | 0.65 | % | $ | 3.31 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.50 | 0.90 | % | $ | 4.55 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,021.75 | 0.65 | % | $ | 3.29 |
270 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
Beginning Account Value 10/1/15 | Ending Account Value 3/31/16 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
S &P 500 Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,082.60 | 0.46 | % | $ | 2.39 | ||||||||
Class E Shares | $ | 1,000.00 | $ | 1,083.60 | 0.27 | % | $ | 1.41 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,081.40 | 0.67 | % | $ | 3.49 | ||||||||
Class Y Shares‡ | $ | 1,000.00 | $ | 999.50 | 0.21 | % | $ | 0.88 | ** | |||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.70 | 0.46 | % | $ | 2.33 | ||||||||
Class E Shares | $ | 1,000.00 | $ | 1,023.65 | 0.27 | % | $ | 1.37 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,021.65 | 0.67 | % | $ | 3.39 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,023.95 | 0.21 | % | $ | 1.06 | ||||||||
Small Cap Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,003.20 | 1.16 | % | $ | 5.81 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,004.00 | 0.92 | % | $ | 4.61 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.20 | 1.16 | % | $ | 5.86 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,020.40 | 0.92 | % | $ | 4.65 | ||||||||
Small Cap Value Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,042.20 | 1.18 | % | $ | 6.02 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,041.30 | 1.39 | % | $ | 7.09 | ||||||||
Class Y Shares‡ | $ | 1,000.00 | $ | 989.50 | 0.93 | % | $ | 3.87 | ** | |||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.10 | 1.18 | % | $ | 5.96 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,018.05 | 1.39 | % | $ | 7.01 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,020.35 | 0.93 | % | $ | 4.70 | ||||||||
Small Cap Growth Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 975.90 | 1.15 | % | $ | 5.68 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 975.10 | 1.40 | % | $ | 6.91 | ||||||||
Class Y Shares‡ | $ | 1,000.00 | $ | 937.60 | 0.90 | % | $ | 3.64 | ** | |||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.25 | 1.15 | % | $ | 5.81 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,018.00 | 1.40 | % | $ | 7.06 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,020.50 | 0.90 | % | $ | 4.55 | ||||||||
Tax-Managed Small/Mid Cap Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,017.10 | 1.13 | % | $ | 5.70 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,018.20 | 0.92 | % | $ | 4.64 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.35 | 1.13 | % | $ | 5.70 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,020.40 | 0.92 | % | $ | 4.65 | ||||||||
Mid-Cap Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,068.80 | 1.03 | % | $ | 5.33 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,068.00 | 1.26 | % | $ | 6.51 | ||||||||
Class Y Shares‡ | $ | 1,000.00 | $ | 1,006.20 | 0.78 | % | $ | 3.27 | ** | |||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.85 | 1.03 | % | $ | 5.20 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,018.70 | 1.26 | % | $ | 6.36 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,021.10 | 0.78 | % | $ | 3.94 | ||||||||
U.S. Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,082.90 | 1.02 | % | $ | 5.31 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,081.00 | 1.27 | % | $ | 6.61 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,083.50 | 0.77 | % | $ | 4.01 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.90 | 1.02 | % | $ | 5.15 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,018.65 | 1.27 | % | $ | 6.41 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,021.15 | 0.77 | % | $ | 3.89 | ||||||||
Global Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,086.60 | 1.13 | % | $ | 5.89 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,085.70 | 1.39 | % | $ | 7.25 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,088.70 | 0.88 | % | $ | 4.60 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.35 | 1.13 | % | $ | 5.70 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,018.05 | 1.39 | % | $ | 7.01 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,020.60 | 0.88 | % | $ | 4.45 |
Beginning Account Value 10/1/15 | Ending Account Value 3/31/16 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Tax-Managed Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,090.20 | 1.01 | % | $ | 5.28 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,091.50 | 0.76 | % | $ | 3.97 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.95 | 1.01 | % | $ | 5.10 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,021.20 | 0.76 | % | $ | 3.84 | ||||||||
Real Estate Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,123.60 | 1.17 | % | $ | 6.21 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,122.80 | 1.39 | % | $ | 7.38 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,125.80 | 0.92 | % | $ | 4.89 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.15 | 1.17 | % | $ | 5.91 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,018.05 | 1.39 | % | $ | 7.01 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,020.40 | 0.92 | % | $ | 4.65 | ||||||||
Enhanced Income Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,003.00 | 0.63 | % | $ | 3.15 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,000.20 | 0.88 | % | $ | 4.40 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,002.30 | 0.49 | % | $ | 2.45 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.85 | 0.63 | % | $ | 3.18 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,020.60 | 0.88 | % | $ | 4.45 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,022.55 | 0.49 | % | $ | 2.48 | ||||||||
Core Fixed Income Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.00 | 0.69 | % | $ | 3.49 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,020.90 | 0.91 | % | $ | 4.60 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,023.30 | 0.44 | % | $ | 2.23 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.55 | 0.69 | % | $ | 3.49 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,020.45 | 0.91 | % | $ | 4.60 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,022.80 | 0.44 | % | $ | 2.23 | ||||||||
U.S. Fixed Income Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.20 | 0.68 | % | $ | 3.44 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,022.40 | 0.43 | % | $ | 2.17 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.60 | 0.68 | % | $ | 3.44 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,022.85 | 0.43 | % | $ | 2.17 | ||||||||
High Yield Bond Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 983.10 | 0.91 | % | $ | 4.51 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 981.90 | 1.13 | % | $ | 5.60 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 984.40 | 0.66 | % | $ | 3.27 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.45 | 0.91 | % | $ | 4.60 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,019.35 | 1.13 | % | $ | 5.70 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,021.70 | 0.66 | % | $ | 3.34 | ||||||||
Real Return Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,014.10 | 0.47 | % | $ | 2.37 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,015.10 | 0.37 | % | $ | 1.86 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.65 | 0.47 | % | $ | 2.38 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,023.15 | 0.37 | % | $ | 1.87 | ||||||||
Dynamic Asset Allocation Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,058.80 | 0.77 | % | $ | 3.96 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,060.50 | 0.52 | % | $ | 2.68 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.15 | 0.77 | % | $ | 3.89 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,022.40 | 0.52 | % | $ | 2.63 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 271 |
Disclosure of Fund Expenses (Unaudited) (Concluded)
Beginning Account Value 10/1/15 | Ending Account Value 3/31/16 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Multi-Strategy Alternative Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,005.20 | 0.83 | % | $ | 4.16 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,007.60 | 0.74 | % | $ | 3.71 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.85 | 0.83 | % | $ | 4.19 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,021.30 | 0.74 | % | $ | 3.74 | ||||||||
Multi-Asset Accumulation Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,035.80 | 1.19 | % | $ | 6.06 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,036.80 | 0.94 | % | $ | 4.79 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.05 | 1.19 | % | $ | 6.01 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,020.30 | 0.94 | % | $ | 4.75 | ||||||||
Multi-Asset Income Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 995.20 | 0.83 | % | $ | 4.14 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 995.60 | 0.73 | % | $ | 3.64 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.85 | 0.83 | % | $ | 4.19 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,021.35 | 0.73 | % | $ | 3.69 | ||||||||
Multi-Asset Inflation Managed Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 986.40 | 1.22 | % | $ | 6.06 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 986.60 | 0.97 | % | $ | 4.82 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,018.90 | 1.22 | % | $ | 6.16 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,020.15 | 0.97 | % | $ | 4.90 | ||||||||
Multi-Asset Capital Stability Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,005.70 | 0.64 | % | $ | 3.21 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,006.70 | 0.54 | % | $ | 2.71 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.80 | 0.64 | % | $ | 3.23 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,022.30 | 0.54 | % | $ | 2.73 | ||||||||
Long/Short Alternative Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 989.70 | 1.17 | % | $ | 5.82 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 990.70 | 0.92 | % | $ | 4.58 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.15 | 1.17 | % | $ | 5.91 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,020.40 | 0.92 | % | $ | 4.65 |
‡ | Class Y Shares commenced operations on October 30, 2015. |
* | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183/366 (to reflect one-half year period shown). |
** | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 153/366 (to reflect the period since inception to period end). |
272 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
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 the 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 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 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 Broadridge, 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 Broadridge and the Funds’ benchmark indices.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 273 |
Board of Trustee Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Continued)
At the March 28-30 meeting of the Board, the Trustees, including a majority of the Independent Trustees, approved the renewal of the Advisory Agreement. Also, each Sub-Advisory Agreement was either initially approved or, if the Sub-Advisory Agreement was already in effect (unless operating under an initial two-year term), renewed at a meeting of the Board during the course of the Trust’s fiscal year. In each case, the Board’s approvals were 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 Broadridge, an independent third-party, which was engaged to prepare an assessment of the Funds in connection with the renewal of the Advisory Agreement (the “Broadridge Report”). The Broadridge Report included metrics on risk analysis volatility versus total return, net total return and performance consistency for the Funds (except when such metric was not available due to a limited operating history) 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 with 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 Broadridge Report, which included various metrics related to fund expenses, including, but not limited to, contractual management fees at various fee levels, actual management fees, and actual total expenses (including, with respect to the Multi-Strategy Alternative Fund, underlying fund expenses) for the Funds and 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 voluntary waiver of management and other fees to prevent total Fund operating expenses from exceeding a specified cap and concluded that SIMC, through waivers, has maintained the Funds’ net operating expenses at competitive levels for their 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
274 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
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.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 | 275 |
Shareholder Voting Proxy Results (Unaudited)
A Special Meeting of Shareholders of the SEI Institutional Managed Trust (the “Trust”) was held on March 14, 2016 for the purpose of considering the proposal to elect, as a slate of nominees, each of the current Trustees and one new Trustee to the Board of Trustees of the Trust. The proposal was approved with the following voting results:
Trustee | Shares Voted | |||
Robert A. Nesher | ||||
For | 1,015,904,420.867 | |||
Withheld | 49,893,060.428 | |||
William M. Doran | ||||
For | 1,016,309,105.947 | |||
Withheld | 49,488,375.348 | |||
George J. Sullivan | ||||
For | 1,016,538,713.693 | |||
Withheld | 49,258,767.602 | |||
Nina Lesavoy | ||||
For | 1,016,867,926.740 | |||
Withheld | 48,929,554.555 | |||
James M. Williams | ||||
For | 1,016,927,090.157 | |||
Withheld | 48,870,391.138 | |||
Mitchell A. Johnson | ||||
For | 1,016,676,276.127 | |||
Withheld | 49,121,205.168 | |||
Hubert L. Harris, Jr. | ||||
For | 1,016,582,512.198 | |||
Withheld | 49,214,969.097 | |||
Susan C. Cote | ||||
For | 1,016,797,597.744 | |||
Withheld | 48,999,883.551 |
A Special Meeting of Shareholders of the SEI Institutional Managed Trust (the “Trust”) was held on March 14, 2016 for the purpose of considering the proposal to amend the Agreement and Declaration of Trust for the Trust to reduce the shareholder quorum requirement from a majority to one-third (33 – 1/3%). The proposal was not approved. The voting results were as follows:
Shares Voted | ||||
For | 892,712,362.326 | |||
Against | 70,391,667.148 | |||
Abstain | 52,267,623.900 | |||
Broker Non-Vote | 50,425,827.921 |
276 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SEI INSTITUTIONAL MANAGED TRUST SEMI-ANNUAL REPORT MARCH 31, 2016
Robert A. Nesher, Chairman
Trustees
William M. Doran
George J. Sullivan, Jr.
Nina Lesavoy
James M. Williams
Mitchell A. Johnson
Hubert L. Harris, Jr.
Susan C. Cote
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-092 (03/16)
Item 2. | Code of Ethics. |
Not applicable for semi-annual report.
Item 3. | Audit Committee Financial Expert. |
Not applicable for semi-annual report.
Item 4. | Principal Accountant Fees and Services. |
Not applicable for semi-annual report.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Schedule of Investments. |
The Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small/Mid Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund and Tax-Managed Managed Volatility Fund are listed below. The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Real Estate Fund, Enhanced Income Fund, Core Fixed Income Fund, U.S. Fixed Income Fund, High Yield Bond Fund, Real Return Fund,
Multi-Strategy Alternative Fund, Multi-Asset Accumulation Fund, Multi-Asset Income Fund, Multi-Asset Inflation Managed Fund, 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 (Unaudited)
Large Cap Fund
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.7% | ||||||||
Consumer Discretionary — 14.9% | ||||||||
Amazon.com, Cl A* (A) | 51,482 | $ | 30,562 | |||||
Autozone* | 5,073 | 4,042 | ||||||
Bed Bath & Beyond* (A) | 47,030 | 2,334 | ||||||
Best Buy (A) | 147,911 | 4,798 | ||||||
Chipotle Mexican Grill, Cl A* (A) | 10,547 | 4,967 | ||||||
Darden Restaurants | 60,763 | 4,029 | ||||||
Dillard’s, Cl A (A) | 75,372 | 6,400 | ||||||
Discovery Communications, Cl C* (A) | 313,797 | 8,472 | ||||||
Dollar General | 35,872 | 3,071 | ||||||
Domino’s Pizza | 20,961 | 2,764 | ||||||
Expedia (A) | 20,299 | 2,189 | ||||||
General Motors | 1,179,439 | 37,070 | ||||||
Genuine Parts (A) | 40,994 | 4,073 | ||||||
Goodyear Tire & Rubber (A) | 362,622 | 11,959 | ||||||
Graham Holdings, Cl B (A) | 4,831 | 2,319 | ||||||
Home Depot | 65,210 | 8,701 | ||||||
Interpublic Group (A) | 101,740 | 2,335 | ||||||
Kohl’s (A) | 186,025 | 8,671 | ||||||
L Brands (A) | 164,532 | 14,447 | ||||||
Lear (A) | 24,681 | 2,744 | ||||||
Liberty Global, Cl A* | 321,315 | 12,371 | ||||||
Liberty Global, Cl C* | 76,039 | 2,856 | ||||||
Liberty Interactive QVC Group, Cl A* | 736,769 | 18,603 | ||||||
Lowe’s | 87,663 | 6,640 | ||||||
Macy’s (A) | 601,574 | 26,523 | ||||||
Marriott International, Cl A (A) | 48,727 | 3,468 | ||||||
Michael Kors Holdings* | 217,546 | 12,391 | ||||||
NetFlix* (A) | 109,877 | 11,233 | ||||||
Nike, Cl B (A) | 121,080 | 7,443 | ||||||
Omnicom Group | 144,228 | 12,004 | ||||||
Ross Stores | 67,567 | 3,912 | ||||||
Skechers U.S.A., Cl A* (A) | 69,849 | 2,127 | ||||||
Starbucks (A) | 81,066 | 4,840 | ||||||
Target, Cl A (A) | 73,665 | 6,061 | ||||||
TJX (A) | 50,220 | 3,935 | ||||||
Toyota Motor ADR (A) | 48,392 | 5,145 | ||||||
TripAdvisor* | 277,564 | 18,458 | ||||||
Tupperware Brands | 41,393 | 2,400 | ||||||
Viacom, Cl B | 352,781 | 14,563 | ||||||
Whirlpool (A) | 34,473 | 6,217 | ||||||
Yum! Brands (A) | 51,618 | 4,225 | ||||||
|
| |||||||
351,362 | ||||||||
|
| |||||||
Consumer Staples — 6.6% | ||||||||
Altria Group | 99,811 | 6,254 | ||||||
Anheuser-Busch InBev ADR (A) | 64,282 | 8,013 | ||||||
Archer-Daniels-Midland (A) | 107,617 | 3,908 | ||||||
Bunge | 59,617 | 3,379 | ||||||
Constellation Brands, Cl A | 78,218 | 11,818 | ||||||
Costco Wholesale (A) | 23,444 | 3,694 | ||||||
CVS Health (A) | 50,732 | 5,263 |
Description | Shares | Market Value ($ Thousands) | ||||||
Dr Pepper Snapple Group | 24,589 | $ | 2,199 | |||||
General Mills | 90,000 | 5,702 | ||||||
Hershey (A) | 39,205 | 3,610 | ||||||
Ingredion | 30,763 | 3,285 | ||||||
JM Smucker | 22,057 | 2,864 | ||||||
Kimberly-Clark | 130,074 | 17,496 | ||||||
Kroger (A) | 188,073 | 7,194 | ||||||
Mead Johnson Nutrition, Cl A (A) | 37,876 | 3,218 | ||||||
PepsiCo | 30,000 | 3,074 | ||||||
Philip Morris International | 82,380 | 8,082 | ||||||
Procter & Gamble | 103,839 | 8,547 | ||||||
Reynolds American | 47,673 | 2,399 | ||||||
SUPERVALU* | 409,234 | 2,357 | ||||||
Tyson Foods, Cl A (A) | 209,918 | 13,993 | ||||||
Walgreens Boots Alliance | 150,846 | 12,707 | ||||||
Wal-Mart Stores | 232,542 | 15,927 | ||||||
|
| |||||||
154,983 | ||||||||
|
| |||||||
Energy — 6.5% | ||||||||
Apache (A) | 106,416 | 5,194 | ||||||
BP ADR (A) | 299,492 | 9,039 | ||||||
California Resources (A) | 15,908 | 16 | ||||||
Canadian Natural Resources | 272,519 | 7,358 | ||||||
Chevron | 204,480 | 19,507 | ||||||
Cimarex Energy (A) | 43,830 | 4,263 | ||||||
Concho Resources* | 21,883 | 2,211 | ||||||
Devon Energy (A) | 730,444 | 20,043 | ||||||
EOG Resources | 30,327 | 2,201 | ||||||
EP Energy, Cl A* (A) | 128,272 | 580 | ||||||
Exxon Mobil (A) | 41,652 | 3,482 | ||||||
Helmerich & Payne (A) | 93,588 | 5,496 | ||||||
HollyFrontier (A) | 106,250 | 3,753 | ||||||
Marathon Petroleum | 240,294 | 8,934 | ||||||
Occidental Petroleum | 169,927 | 11,628 | ||||||
PBF Energy, Cl A | 281,798 | 9,356 | ||||||
Phillips 66 (A) | 78,749 | 6,819 | ||||||
Royal Dutch Shell ADR, Cl A (A) | 161,764 | 7,838 | ||||||
Southwestern Energy* (A) | 1,195,339 | 9,646 | ||||||
Teekay Shipping (A) | 282,012 | 2,442 | ||||||
Tesoro | 29,203 | 2,512 | ||||||
Valero Energy | 190,804 | 12,238 | ||||||
|
| |||||||
154,556 | ||||||||
|
| |||||||
Financials — 16.6% | ||||||||
Aflac | 243,578 | 15,380 | ||||||
Allstate | 40,474 | 2,727 | ||||||
American International Group (A) | 128,618 | 6,952 | ||||||
Ameriprise Financial (A) | 31,220 | 2,935 | ||||||
Assurant | 54,205 | 4,182 | ||||||
Bank of America | 2,600,438 | 35,158 | ||||||
Berkshire Hathaway, Cl B* | 195,174 | 27,691 | ||||||
Blackstone Group (B) | 137,723 | 3,863 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Capital One Financial (A) | 93,037 | $ | 6,448 | |||||
CBL & Associates Properties‡ | 176,542 | 2,101 | ||||||
CBRE Group, Cl A* (A) | 85,271 | 2,458 | ||||||
Citigroup (A) | 668,025 | 27,890 | ||||||
Crown Castle International‡ (A) | 338,894 | 29,314 | ||||||
Cullen/Frost Bankers (A) | 39,240 | 2,163 | ||||||
Discover Financial Services | 188,260 | 9,586 | ||||||
Equinix‡ (A) | 54,336 | 17,970 | ||||||
Everest Re Group | 65,148 | 12,862 | ||||||
Goldman Sachs Group (A) | 22,991 | 3,609 | ||||||
Hatteras Financial‡ (A) | 293,878 | 4,202 | ||||||
Intercontinental Exchange (A) | 57,356 | 13,487 | ||||||
JPMorgan Chase (A) | 638,068 | 37,786 | ||||||
KKR (B) | 448,989 | 6,596 | ||||||
MetLife | 741,989 | 32,603 | ||||||
Moody’s (A) | 87,336 | 8,433 | ||||||
Nomura Holdings ADR (A) | 725,094 | 3,219 | ||||||
Popular | 70,009 | 2,003 | ||||||
Prudential Financial (A) | 40,530 | 2,927 | ||||||
Radian Group (A) | 184,980 | 2,294 | ||||||
Regions Financial | 273,089 | 2,144 | ||||||
Reinsurance Group of America, Cl A | 34,081 | 3,280 | ||||||
Santander Consumer USA | 245,531 | 2,576 | ||||||
State Street (A) | 104,660 | 6,125 | ||||||
SunTrust Banks | 173,071 | 6,244 | ||||||
Synchrony Financial* | 99,173 | 2,842 | ||||||
T. Rowe Price Group (A) | 53,278 | 3,914 | ||||||
Travelers (A) | 156,227 | 18,233 | ||||||
Unum Group (A) | 128,591 | 3,976 | ||||||
Voya Financial | 372,766 | 11,097 | ||||||
Wells Fargo | 60,279 | 2,915 | ||||||
|
| |||||||
390,185 | ||||||||
|
| |||||||
Health Care — 14.1% | ||||||||
Abbott Laboratories (A) | 101,568 | 4,249 | ||||||
AbbVie | 129,131 | 7,376 | ||||||
Aetna, Cl A (A) | 70,474 | 7,918 | ||||||
Alkermes* | 64,116 | 2,192 | ||||||
Allergan* | 90,186 | 24,172 | ||||||
AmerisourceBergen | 102,993 | 8,914 | ||||||
Amgen, Cl A | 50,961 | 7,641 | ||||||
Anthem (A) | 59,518 | 8,272 | ||||||
Baxalta | 148,729 | 6,009 | ||||||
Baxter International | 142,750 | 5,864 | ||||||
Biogen* | 103,244 | 26,876 | ||||||
C.R. Bard | 39,918 | 8,090 | ||||||
Cardinal Health (A) | 43,556 | 3,569 | ||||||
Celgene, Cl A* (A) | 210,127 | 21,032 | ||||||
Community Health Systems* (A) | 400,538 | 7,414 | ||||||
DENTSPLY SIRONA (A) | 129,170 | 7,961 | ||||||
Gilead Sciences (A) | 170,222 | 15,637 | ||||||
HCA Holdings* | 87,890 | 6,860 |
Description | Shares | Market Value ($ Thousands) | ||||||
Horizon Pharma* (A) | 204,769 | $ | 3,393 | |||||
Illumina* | 45,043 | 7,302 | ||||||
Jazz Pharmaceuticals* (A) | 16,006 | 2,090 | ||||||
Johnson & Johnson (A) | 214,607 | 23,220 | ||||||
Mallinckrodt* (A) | 49,493 | 3,033 | ||||||
McKesson | 34,062 | 5,356 | ||||||
Merck | 303,005 | 16,032 | ||||||
Mylan* | 130,843 | 6,064 | ||||||
Novo Nordisk ADR (A) | 141,033 | 7,642 | ||||||
Perrigo | 61,858 | 7,913 | ||||||
Pfizer | 417,434 | 12,373 | ||||||
Quest Diagnostics | 35,560 | 2,541 | ||||||
Regeneron Pharmaceuticals* (A) | 5,415 | 1,952 | ||||||
Teva Pharmaceutical Industries ADR | 144,171 | 7,715 | ||||||
United Therapeutics* (A) | 53,557 | 5,968 | ||||||
UnitedHealth Group (A) | 173,506 | 22,365 | ||||||
Valeant Pharmaceuticals International* | 201,589 | 5,302 | ||||||
Vertex Pharmaceuticals* | 68,766 | 5,466 | ||||||
Zoetis, Cl A | 143,263 | 6,351 | ||||||
|
| |||||||
332,124 | ||||||||
|
| |||||||
Industrials — 7.1% | ||||||||
3M (A) | 13,663 | 2,277 | ||||||
Acuity Brands | 18,195 | 3,969 | ||||||
AECOM* (A) | 93,990 | 2,894 | ||||||
AerCap Holdings* | 174,540 | 6,765 | ||||||
Alaska Air Group | 54,478 | 4,468 | ||||||
American Airlines Group | 160,913 | 6,599 | ||||||
Boeing (A) | 55,502 | 7,045 | ||||||
C.H. Robinson Worldwide (A) | 29,583 | 2,196 | ||||||
Caterpillar, Cl A (A) | 96,916 | 7,418 | ||||||
Chicago Bridge & Iron (A) | 87,002 | 3,183 | ||||||
Deere (A) | 52,256 | 4,023 | ||||||
Delta Air Lines, Cl A | 600,539 | 29,234 | ||||||
Eaton (A) | 283,376 | 17,728 | ||||||
General Dynamics | 23,007 | 3,022 | ||||||
Huntington Ingalls Industries, Cl A | 50,310 | 6,889 | ||||||
Lockheed Martin (A) | 21,027 | 4,658 | ||||||
Masco (A) | 97,863 | 3,078 | ||||||
Nielsen Holdings | 74,848 | 3,942 | ||||||
Norfolk Southern | 29,300 | 2,439 | ||||||
Northrop Grumman (A) | 56,337 | 11,149 | ||||||
Oshkosh Truck (A) | 67,454 | 2,757 | ||||||
Rockwell Collins | 25,630 | 2,363 | ||||||
Southwest Airlines, Cl A (A) | 96,198 | 4,310 | ||||||
Spirit AeroSystems Holdings, Cl A* | 49,465 | 2,244 | ||||||
Terex | 209,973 | 5,224 | ||||||
TransDigm Group* | 10,191 | 2,246 | ||||||
Triumph Group | 327,992 | 10,325 | ||||||
United Continental Holdings* (A) | 105,204 | 6,298 | ||||||
|
| |||||||
168,743 | ||||||||
|
|
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Information Technology — 24.1% |
| |||||||
Activision Blizzard (A) | 189,383 | $ | 6,409 | |||||
Akamai Technologies* | 40,217 | 2,235 | ||||||
Alliance Data Systems* (A) | 27,405 | 6,029 | ||||||
Alphabet, Cl A* | 69,603 | 53,100 | ||||||
Alphabet, Cl C* (A) | 14,792 | 11,019 | ||||||
Amdocs | 132,826 | 8,025 | ||||||
Apple | 288,743 | 31,470 | ||||||
Applied Materials | 182,316 | 3,861 | ||||||
Automatic Data Processing | 55,311 | 4,962 | ||||||
Avnet (A) | 72,898 | 3,229 | ||||||
Broadcom | 32,858 | 5,077 | ||||||
Brocade Communications Systems | 557,160 | 5,895 | ||||||
CA | 43,400 | 1,336 | ||||||
Cisco Systems | 695,950 | 19,814 | ||||||
Citrix Systems* (A) | 30,587 | 2,404 | ||||||
Computer Sciences | 10,700 | 368 | ||||||
CoreLogic* | 20,500 | 711 | ||||||
eBay* | 760,852 | 18,154 | ||||||
Electronic Arts* (A) | 308,628 | 20,403 | ||||||
EMC | 146,521 | 3,905 | ||||||
Facebook, Cl A* | 376,688 | 42,980 | ||||||
FleetCor Technologies* | 43,054 | 6,404 | ||||||
Hewlett Packard Enterprise | 1,144,969 | 20,300 | ||||||
HP (A) | 426,403 | 5,253 | ||||||
Ingram Micro, Cl A | 114,531 | 4,113 | ||||||
Intel (A) | 415,569 | 13,444 | ||||||
International Business Machines (A) | 78,683 | 11,917 | ||||||
Intuit (A) | 171,815 | 17,871 | ||||||
Juniper Networks | 95,031 | 2,424 | ||||||
Lam Research (A) | 70,030 | 5,785 | ||||||
Marvell Technology Group | 271,300 | 2,797 | ||||||
MasterCard, Cl A (A) | 174,423 | 16,483 | ||||||
Microchip Technology (A) | 55,400 | 2,670 | ||||||
Micron Technology* (A) | 1,663,782 | 17,420 | ||||||
Microsoft (A) | 837,668 | 46,264 | ||||||
NetApp (A) | 445,235 | 12,150 | ||||||
PayPal Holdings* | 394,709 | 15,236 | ||||||
Qualcomm (A) | 709,180 | 36,267 | ||||||
Rackspace Hosting* | 100,971 | 2,180 | ||||||
salesforce.com* (A) | 119,936 | 8,855 | ||||||
Tencent Holdings ADR | 363,976 | 7,440 | ||||||
Texas Instruments (A) | 66,904 | 3,842 | ||||||
Visa, Cl A (A) | 585,914 | 44,811 | ||||||
Western Digital (A) | 77,429 | 3,658 | ||||||
Xerox (A) | 377,155 | 4,209 | ||||||
Yelp, Cl A* (A) | 106,273 | 2,113 | ||||||
Zynga, Cl A* | 735,281 | 1,676 | ||||||
|
| |||||||
566,968 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Materials — 3.6% | ||||||||
Ball (A) | 34,281 | $ | 2,444 | |||||
Cabot | 49,995 | 2,416 | ||||||
Eastman Chemical | 151,183 | 10,920 | ||||||
Ecolab (A) | 43,203 | 4,818 | ||||||
Huntsman (A) | 195,133 | 2,595 | ||||||
International Paper (A) | 276,851 | 11,362 | ||||||
Louisiana-Pacific* (A) | 200,116 | 3,426 | ||||||
LyondellBasell Industries, Cl A (A) | 128,057 | 10,959 | ||||||
Mosaic (A) | 404,371 | 10,918 | ||||||
Reliance Steel & Aluminum (A) | 146,586 | 10,142 | ||||||
Sherwin-Williams, Cl A (A) | 44,215 | 12,587 | ||||||
Westlake Chemical (A) | 47,320 | 2,191 | ||||||
|
| |||||||
84,778 | ||||||||
|
| |||||||
Telecommunication Services — 1.3% |
| |||||||
SBA Communications, Cl A* (A) | 47,570 | 4,765 | ||||||
Verizon Communications (A) | 463,293 | 25,055 | ||||||
|
| |||||||
29,820 | ||||||||
|
| |||||||
Utilities — 2.9% | ||||||||
Ameren | 62,345 | 3,123 | ||||||
American Electric Power (A) | 229,420 | 15,234 | ||||||
Entergy (A) | 128,797 | 10,211 | ||||||
Exelon (A) | 518,548 | 18,595 | ||||||
Public Service Enterprise Group (A) | 431,754 | 20,353 | ||||||
|
| |||||||
67,516 | ||||||||
|
| |||||||
Total Common Stock |
| 2,301,035 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 15.8% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.380%**† (C) | 370,911,053 | 370,911 | ||||||
|
| |||||||
Total Affiliated Partnership | 370,911 | |||||||
|
| |||||||
CASH EQUIVALENT — 2.4% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.300%**† | 57,057,707 | 57,058 | ||||||
|
| |||||||
Total Cash Equivalent | 57,058 | |||||||
|
| |||||||
Total Investments — 115.9% | $ | 2,729,004 | ||||||
|
|
Percentages are based on a Net Assets of $2,354,740 ($ Thousands).
* | Non-income producing security. |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Concluded)
March 31, 2016
** | Rate shown is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
(A) | This security or a partial position of this security is on loan at March 31, 2016 (see Note 10). The total market value of securities on loan at March 31, 2016 was $362,892 ($ Thousands). |
(B) | Security is a Master Limited Partnership. At March 31, 2016, such securities amounted to $10,459 ($ Thousands), or 0.44% of Net Assets. |
(C) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of March 31, 2016 was $370,911 ($ Thousands). |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
The following is a summary of the level of inputs used as of March 31, 2016, 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 | $ | 2,301,035 | $ | — | $ | — | $ | 2,301,035 | ||||||||
Affiliated Partnership | — | 370,911 | — | 370,911 | ||||||||||||
Cash Equivalent | 57,058 | — | — | 57,058 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,358,093 | $ | 370,911 | $ | — | $ | 2,729,004 | ||||||||
|
|
|
|
|
|
|
|
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 98.1% | ||||||||
Consumer Discretionary — 10.5% | ||||||||
Best Buy | 127,080 | $ | 4,122 | |||||
Brinker International | 43,226 | 1,986 | ||||||
Cablevision Systems, Cl A | 36,722 | 1,212 | ||||||
Carnival | 36,000 | 1,900 | ||||||
Dillard’s, Cl A | 49,639 | 4,215 | ||||||
Dollar General | 92,346 | 7,905 | ||||||
DR Horton | 49,627 | 1,500 | ||||||
GameStop, Cl A (A) | 42,939 | 1,362 | ||||||
General Motors | 903,866 | 28,409 | ||||||
Goodyear Tire & Rubber | 357,518 | 11,791 | ||||||
Graham Holdings, Cl B | 448 | 215 | ||||||
Kohl’s | 172,972 | 8,062 | ||||||
Lear | 33,185 | 3,689 | ||||||
Lowe’s | 29,259 | 2,216 | ||||||
Macy’s | 412,637 | 18,193 | ||||||
Michael Kors Holdings* | 146,027 | 8,318 | ||||||
Omnicom Group | 116,967 | 9,735 | ||||||
Target, Cl A | 28,854 | 2,374 | ||||||
Toyota Motor ADR (A) | 47,880 | 5,091 | ||||||
Tupperware Brands | 48,929 | 2,837 | ||||||
Viacom, Cl B | 217,141 | 8,964 | ||||||
Whirlpool | 27,805 | 5,014 | ||||||
|
| |||||||
139,110 | ||||||||
|
| |||||||
Consumer Staples — 6.2% | ||||||||
Archer-Daniels-Midland | 35,965 | 1,306 | ||||||
Bunge | 36,263 | 2,055 | ||||||
CVS Health | 111,992 | 11,617 | ||||||
Ingredion | 52,076 | 5,561 | ||||||
JM Smucker | 50,448 | 6,550 | ||||||
Kimberly-Clark | 34,917 | 4,697 | ||||||
Philip Morris International | 198,422 | 19,467 | ||||||
Procter & Gamble | 86,669 | 7,134 | ||||||
Reynolds American | 122,676 | 6,172 | ||||||
SUPERVALU* | 298,497 | 1,719 | ||||||
Tyson Foods, Cl A | 162,794 | 10,852 | ||||||
Wal-Mart Stores | 61,482 | 4,211 | ||||||
|
| |||||||
81,341 | ||||||||
|
| |||||||
Energy — 11.5% | ||||||||
Apache | 83,224 | 4,062 | ||||||
BP ADR | 286,037 | 8,633 | ||||||
California Resources | 16,774 | 17 | ||||||
Cameron International* | 21,910 | 1,469 | ||||||
Canadian Natural Resources | 206,051 | 5,563 | ||||||
Chevron | 215,393 | 20,548 | ||||||
Cimarex Energy | 50,063 | 4,870 | ||||||
Devon Energy | 560,853 | 15,390 | ||||||
Exxon Mobil | 150,637 | 12,592 | ||||||
Helmerich & Payne (A) | 106,797 | 6,271 | ||||||
HollyFrontier | 114,047 | 4,028 |
Description | Shares | Market Value ($ Thousands) | ||||||
Marathon Petroleum | 202,420 | $ | 7,526 | |||||
Newfield Exploration* | 40,017 | 1,331 | ||||||
Occidental Petroleum | 179,175 | 12,261 | ||||||
Oceaneering International, Cl A | 55,280 | 1,838 | ||||||
PBF Energy, Cl A | 241,606 | 8,021 | ||||||
Phillips 66 | 101,585 | 8,796 | ||||||
Royal Dutch Shell ADR, Cl A | 142,157 | 6,888 | ||||||
Southwestern Energy* (A) | 869,330 | 7,015 | ||||||
Tesoro | 48,088 | 4,136 | ||||||
Valero Energy | 157,522 | 10,103 | ||||||
|
| |||||||
151,358 | ||||||||
|
| |||||||
Financials — 23.7% | ||||||||
Aflac | 173,489 | 10,954 | ||||||
Allstate | 95,595 | 6,440 | ||||||
Ally Financial* | 70,898 | 1,327 | ||||||
American Homes 4 Rent, Cl A‡ | 124,030 | 1,972 | ||||||
Ameriprise Financial | 29,033 | 2,729 | ||||||
Assurant | 19,613 | 1,513 | ||||||
Bank of America | 2,398,567 | 32,429 | ||||||
Berkshire Hathaway, Cl B* | 60,939 | 8,646 | ||||||
Blackstone Group (B) | 187,747 | 5,266 | ||||||
Capital One Financial | 77,623 | 5,380 | ||||||
CIT Group | 58,606 | 1,819 | ||||||
Citigroup | 530,572 | 22,151 | ||||||
Corporate Office Properties Trust‡ | 109,941 | 2,885 | ||||||
Cullen/Frost Bankers (A) | 66,431 | 3,661 | ||||||
Discover Financial Services | 84,678 | 4,312 | ||||||
Everest Re Group | 40,389 | 7,974 | ||||||
Fifth Third Bancorp | 118,530 | 1,978 | ||||||
Goldman Sachs Group | 10,833 | 1,701 | ||||||
Hatteras Financial‡ | 355,173 | 5,079 | ||||||
Hospitality Properties Trust‡ | 50,594 | 1,344 | ||||||
Huntington Bancshares | 322,922 | 3,081 | ||||||
JPMorgan Chase | 587,316 | 34,781 | ||||||
KeyCorp | 111,186 | 1,227 | ||||||
KKR (B) | 467,232 | 6,864 | ||||||
Lincoln National | 42,120 | 1,651 | ||||||
Marsh & McLennan | 153,364 | 9,323 | ||||||
MetLife | 637,357 | 28,005 | ||||||
Mid-America Apartment Communities‡ | 26,751 | 2,734 | ||||||
Nasdaq, Cl A | 18,895 | 1,254 | ||||||
Nomura Holdings ADR (A) | 610,978 | 2,713 | ||||||
Old Republic International | 105,280 | 1,925 | ||||||
Paramount Group‡ | 78,279 | 1,249 | ||||||
PNC Financial Services Group | 138,980 | 11,754 | ||||||
Popular | 45,469 | 1,301 | ||||||
Post Properties‡ | 20,242 | 1,209 | ||||||
Prudential Financial | 47,585 | 3,437 | ||||||
Radian Group | 103,250 | 1,280 | ||||||
Regions Financial | 276,285 | 2,169 | ||||||
Reinsurance Group of America, Cl A | 67,352 | 6,483 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Santander Consumer USA Holdings* | 288,620 | $ | 3,028 | |||||
State Street | 172,944 | 10,121 | ||||||
SunTrust Banks | 240,477 | 8,676 | ||||||
Synchrony Financial* | 249,537 | 7,152 | ||||||
Taubman Centers‡ | 15,984 | 1,139 | ||||||
Travelers | 70,992 | 8,285 | ||||||
Two Harbors Investment‡ | 317,535 | 2,521 | ||||||
Unum Group | 52,306 | 1,617 | ||||||
Voya Financial | 516,540 | 15,377 | ||||||
Wells Fargo | 38,210 | 1,848 | ||||||
Weyerhaeuser‡ | 44,884 | 1,390 | ||||||
|
| |||||||
313,154 | ||||||||
|
| |||||||
Health Care — 14.0% | ||||||||
Abbott Laboratories | 157,477 | 6,587 | ||||||
AbbVie | 72,100 | 4,118 | ||||||
Aetna, Cl A | 58,285 | 6,548 | ||||||
AmerisourceBergen | 71,616 | 6,198 | ||||||
Amgen, Cl A | 80,038 | 12,000 | ||||||
Anthem | 38,233 | 5,314 | ||||||
Baxalta | 56,005 | 2,263 | ||||||
Baxter International | 239,274 | 9,829 | ||||||
Becton Dickinson | 31,741 | 4,819 | ||||||
Biogen* | 20,000 | 5,207 | ||||||
Community Health Systems* | 248,577 | 4,601 | ||||||
DENTSPLY SIRONA | 21,194 | 1,306 | ||||||
Express Scripts Holding* | 41,792 | 2,871 | ||||||
Gilead Sciences | 97,868 | 8,990 | ||||||
HCA Holdings* | 80,913 | 6,315 | ||||||
Horizon Pharma* | 147,605 | 2,446 | ||||||
Jazz Pharmaceuticals* | 9,620 | 1,256 | ||||||
Johnson & Johnson | 276,053 | 29,869 | ||||||
Laboratory Corp of America Holdings* | 11,245 | 1,317 | ||||||
Mallinckrodt* | 48,694 | 2,984 | ||||||
Merck | 216,717 | 11,467 | ||||||
Mylan* | 43,276 | 2,006 | ||||||
Perrigo | 50,256 | 6,429 | ||||||
Pfizer | 506,483 | 15,012 | ||||||
Quest Diagnostics | 53,172 | 3,799 | ||||||
Teva Pharmaceutical Industries ADR | 138,386 | 7,405 | ||||||
UnitedHealth Group | 80,100 | 10,325 | ||||||
Universal Health Services, Cl B | 11,111 | 1,386 | ||||||
Valeant Pharmaceuticals International* | 71,635 | 1,884 | ||||||
|
| |||||||
184,551 | ||||||||
|
| |||||||
Industrials — 9.7% | ||||||||
3M | 40,100 | 6,682 | ||||||
AECOM* | 79,608 | 2,451 | ||||||
AerCap Holdings* | 147,071 | 5,701 | ||||||
Alaska Air Group | 26,192 | 2,148 | ||||||
American Airlines Group | 172,281 | 7,065 | ||||||
BE Aerospace | 28,696 | 1,324 |
Description | Shares | Market Value ($ Thousands) | ||||||
Boeing | 10,922 | $ | 1,386 | |||||
Caterpillar, Cl A | 88,443 | 6,769 | ||||||
Chicago Bridge & Iron (A) | 91,743 | 3,357 | ||||||
Deere (A) | 37,920 | 2,920 | ||||||
Delta Air Lines, Cl A | 172,333 | 8,389 | ||||||
Eaton | 273,559 | 17,114 | ||||||
Emerson Electric | 43,695 | 2,376 | ||||||
FedEx | 34,961 | 5,689 | ||||||
Fluor | 26,748 | 1,436 | ||||||
General Electric | 159,164 | 5,060 | ||||||
Illinois Tool Works | 87,772 | 8,991 | ||||||
JetBlue Airways* | 136,335 | 2,879 | ||||||
ManpowerGroup | 16,193 | 1,318 | ||||||
Northrop Grumman | 58,445 | 11,566 | ||||||
Oshkosh Truck | 38,255 | 1,564 | ||||||
Owens Corning | 27,406 | 1,296 | ||||||
RR Donnelley & Sons | 79,864 | 1,310 | ||||||
Terex | 146,682 | 3,650 | ||||||
Triumph Group | 243,370 | 7,661 | ||||||
WW Grainger | 34,939 | 8,156 | ||||||
|
| |||||||
128,258 | ||||||||
|
| |||||||
Information Technology — 11.8% |
| |||||||
Activision Blizzard | 44,942 | 1,521 | ||||||
Amdocs | 111,632 | 6,745 | ||||||
Applied Materials | 206,435 | 4,372 | ||||||
Arrow Electronics, Cl A* | 23,777 | 1,531 | ||||||
Automatic Data Processing | 103,513 | 9,286 | ||||||
Avnet | 48,618 | 2,154 | ||||||
Broadcom | 9,302 | 1,437 | ||||||
Brocade Communications Systems | 291,664 | 3,086 | ||||||
CA | 43,393 | 1,336 | ||||||
Cisco Systems | 379,990 | 10,818 | ||||||
CSRA | 63,790 | 1,716 | ||||||
EMC | 75,296 | 2,007 | ||||||
First Solar* | 18,188 | 1,245 | ||||||
Harris | 20,900 | 1,627 | ||||||
Hewlett Packard Enterprise | 952,627 | 16,890 | ||||||
HP | 368,743 | 4,543 | ||||||
Ingram Micro, Cl A | 123,414 | 4,432 | ||||||
Intel | 435,126 | 14,076 | ||||||
International Business Machines | 37,199 | 5,634 | ||||||
Juniper Networks | 75,740 | 1,932 | ||||||
Lam Research | 52,219 | 4,313 | ||||||
Microchip Technology (A) | 175,796 | 8,473 | ||||||
Micron Technology* | 1,265,472 | 13,250 | ||||||
Microsoft | 96,815 | 5,347 | ||||||
NetApp | 292,989 | 7,996 | ||||||
Nuance Communications* | 67,079 | 1,254 | ||||||
Qualcomm | 216,522 | 11,073 | ||||||
Seagate Technology | 38,770 | 1,336 | ||||||
Tech Data* | 17,949 | 1,378 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund (Concluded)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Western Digital | 65,596 | $ | 3,099 | |||||
Xerox | 156,021 | 1,741 | ||||||
|
| |||||||
155,648 | ||||||||
|
| |||||||
Materials — 4.5% | ||||||||
Cabot | 26,288 | 1,271 | ||||||
Dow Chemical, Cl A | 148,129 | 7,534 | ||||||
Eastman Chemical | 145,224 | 10,490 | ||||||
Huntsman | 157,022 | 2,088 | ||||||
International Paper | 274,222 | 11,254 | ||||||
Louisiana-Pacific* | 174,597 | 2,989 | ||||||
Mosaic | 319,081 | 8,615 | ||||||
Newmont Mining | 99,617 | 2,648 | ||||||
Owens-Illinois* | 63,621 | 1,015 | ||||||
Reliance Steel & Aluminum | 143,990 | 9,963 | ||||||
Sonoco Products | 28,379 | 1,378 | ||||||
|
| |||||||
59,245 | ||||||||
|
| |||||||
Telecommunication Services — 1.7% |
| |||||||
AT&T | 79,843 | 3,127 | ||||||
China Mobile ADR | 91,811 | 5,091 | ||||||
Sprint* (A) | 435,515 | 1,516 | ||||||
T-Mobile US* | 68,056 | 2,607 | ||||||
Verizon Communications | 202,425 | 10,947 | ||||||
|
| |||||||
23,288 | ||||||||
|
| |||||||
Utilities — 4.5% | ||||||||
Ameren | 69,343 | 3,474 | ||||||
American Electric Power | 149,051 | 9,897 | ||||||
Atmos Energy | 34,058 | 2,529 | ||||||
Edison International | 63,561 | 4,569 | ||||||
Entergy | 127,953 | 10,144 | ||||||
Exelon | 432,734 | 15,518 | ||||||
FirstEnergy | 34,489 | 1,241 | ||||||
Public Service Enterprise Group | 266,037 | 12,541 | ||||||
|
| |||||||
59,913 | ||||||||
|
| |||||||
Total Common Stock | 1,295,866 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 2.7% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.380%**† (C) | 35,134,666 | 35,135 | ||||||
|
| |||||||
Total Affiliated Partnership | 35,135 | |||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 1.6% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.300%**† | 21,746,751 | $ | 21,747 | |||||
|
| |||||||
Total Cash Equivalent | 21,747 | |||||||
|
| |||||||
Total Investments — 102.4% | $ | 1,352,748 | ||||||
|
|
Percentages are based on a Net Assets of $1,321,577 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
(A) | This security or a partial position of this security is on loan at March 31, 2016 (see Note 10). The total market value of securities on loan at March 31, 2016 was $34,335 ($ Thousands). |
(B) | Security is a Master Limited Partnership. At March 31, 2016, such securities amounted to $12,130 ($ Thousands), or 0.92% of Net Assets. |
(C) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of March 31, 2016 was $35,135 ($ Thousands). |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
The following is a summary of the level of inputs used as of March 31, 2016, 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 | $ | 1,295,866 | $ | — | $ | — | $ | 1,295,866 | ||||||||
Affiliated Partnership | — | 35,135 | — | 35,135 | ||||||||||||
Cash Equivalent | 21,747 | — | — | 21,747 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,317,613 | $ | 35,135 | $ | — | $ | 1,352,748 | ||||||||
|
|
|
|
|
|
|
|
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Growth Fund
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK†† — 97.1% | ||||||||
Consumer Discretionary — 17.8% |
| |||||||
Amazon.com, Cl A* | 69,147 | $ | 41,048 | |||||
AMC Networks, Cl A* | 26,994 | 1,753 | ||||||
Autozone* | 2,252 | 1,794 | ||||||
Chipotle Mexican Grill, Cl A* | 25,497 | 12,008 | ||||||
Delphi Automotive | 24,584 | 1,844 | ||||||
Discovery Communications, Cl C* | 417,503 | 11,273 | ||||||
Domino’s Pizza | 75,934 | 10,013 | ||||||
Gap | 53,581 | 1,575 | ||||||
Home Depot | 86,782 | 11,579 | ||||||
Interpublic Group | 62,328 | 1,430 | ||||||
L Brands | 218,013 | 19,144 | ||||||
Lear | 13,283 | 1,477 | ||||||
Leggett & Platt | 30,253 | 1,464 | ||||||
Liberty Global, Cl A* | 513,461 | 19,768 | ||||||
Liberty Global, Cl C* | 180,000 | 6,761 | ||||||
Liberty Interactive QVC Group, Cl A* | 947,364 | 23,921 | ||||||
Michael Kors Holdings* | 26,171 | 1,491 | ||||||
NetFlix* | 179,914 | 18,393 | ||||||
Nike, Cl B | 300,398 | 18,465 | ||||||
Nordstrom (A) | 44,309 | 2,535 | ||||||
Omnicom Group | 43,820 | 3,647 | ||||||
Ross Stores | 23,655 | 1,370 | ||||||
Starbucks | 70,229 | 4,193 | ||||||
TJX | 42,680 | 3,344 | ||||||
Tractor Supply | 15,273 | 1,382 | ||||||
TripAdvisor* | 444,843 | 29,582 | ||||||
Ulta Salon Cosmetics & Fragrance* | 7,969 | 1,544 | ||||||
|
| |||||||
252,798 | ||||||||
|
| |||||||
Consumer Staples — 7.4% | ||||||||
Altria Group | 36,094 | 2,262 | ||||||
Anheuser-Busch InBev ADR | 174,765 | 21,786 | ||||||
Clorox | 26,709 | 3,367 | ||||||
Constellation Brands, Cl A | 134,310 | 20,293 | ||||||
Costco Wholesale | 87,110 | 13,727 | ||||||
Hershey | 25,000 | 2,302 | ||||||
Kimberly-Clark | 25,331 | 3,407 | ||||||
Kroger | 75,360 | 2,882 | ||||||
Mead Johnson Nutrition, Cl A | 85,732 | 7,285 | ||||||
Philip Morris International | 25,000 | 2,453 | ||||||
Walgreens Boots Alliance | 307,205 | 25,879 | ||||||
|
| |||||||
105,643 | ||||||||
|
| |||||||
Energy — 0.8% | ||||||||
Concho Resources* | 69,972 | 7,070 | ||||||
EOG Resources | 65,922 | 4,785 | ||||||
|
| |||||||
11,855 | ||||||||
|
| |||||||
Financials — 8.0% | ||||||||
Berkshire Hathaway, Cl B* | 174,800 | 24,801 | ||||||
Crown Castle International ‡ | 441,497 | 38,190 |
Description | Shares | Market Value ($ Thousands) | ||||||
Equinix ‡ | 47,746 | $ | 15,790 | |||||
Goldman Sachs Group | 15,296 | 2,401 | ||||||
Intercontinental Exchange | 75,718 | 17,804 | ||||||
Moody’s | 95,962 | 9,266 | ||||||
Morgan Stanley | 230,441 | 5,763 | ||||||
|
| |||||||
114,015 | ||||||||
|
| |||||||
Health Care — 15.6% | ||||||||
AbbVie | 23,754 | 1,357 | ||||||
Allergan* | 129,385 | 34,679 | ||||||
AmerisourceBergen | 18,528 | 1,604 | ||||||
Biogen* | 126,685 | 32,979 | ||||||
Cardinal Health | 16,126 | 1,322 | ||||||
Celgene, Cl A* | 350,829 | 35,114 | ||||||
DENTSPLY SIRONA | 259,380 | 15,986 | ||||||
Illumina* | 101,977 | 16,531 | ||||||
Intuitive Surgical* | 16,129 | 9,694 | ||||||
Medivation* | 45,786 | 2,105 | ||||||
Novo Nordisk ADR | 225,773 | 12,235 | ||||||
Perrigo | 68,361 | 8,745 | ||||||
Regeneron Pharmaceuticals* | 3,262 | 1,176 | ||||||
United Therapeutics* | 69,543 | 7,749 | ||||||
UnitedHealth Group | 196,531 | 25,333 | ||||||
Valeant Pharmaceuticals International* | 174,526 | 4,590 | ||||||
Vertex Pharmaceuticals* | 141,116 | 11,217 | ||||||
|
| |||||||
222,416 | ||||||||
|
| |||||||
Industrials — 5.8% | ||||||||
Acuity Brands | 42,172 | 9,200 | ||||||
Alaska Air Group | 17,364 | 1,424 | ||||||
Boeing | 32,569 | 4,134 | ||||||
Delta Air Lines, Cl A | 342,789 | 16,687 | ||||||
Equifax | 25,000 | 2,857 | ||||||
Honeywell International | 40,000 | 4,482 | ||||||
JB Hunt Transport Services | 30,355 | 2,557 | ||||||
Nielsen Holdings | 287,927 | 15,162 | ||||||
Norfolk Southern | 89,217 | 7,427 | ||||||
Robert Half International | 34,494 | 1,607 | ||||||
Southwest Airlines, Cl A | 38,999 | 1,747 | ||||||
TransDigm Group* | 51,099 | 11,259 | ||||||
United Continental Holdings* | 22,632 | 1,355 | ||||||
United Rentals* | 35,902 | 2,233 | ||||||
|
| |||||||
82,131 | ||||||||
|
| |||||||
Information Technology — 38.5% | ||||||||
Activision Blizzard | 431,547 | 14,604 | ||||||
Alliance Data Systems* | 35,524 | 7,815 | ||||||
Alphabet, Cl A* | 100,282 | 76,505 | ||||||
Alphabet, Cl C* | 27,752 | 20,674 | ||||||
Apple | 381,873 | 41,620 | ||||||
Broadcom | 13,074 | 2,020 | ||||||
eBay* | 828,009 | 19,756 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Growth Fund (Continued)
March 31, 2016
Description | Shares / Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Electronic Arts* | 386,219 | $ | 25,533 | |||||
F5 Networks, Cl A* | 14,878 | 1,575 | ||||||
Facebook, Cl A* | 542,718 | 61,924 | ||||||
Fiserv, Cl A* | 37,023 | 3,798 | ||||||
FleetCor Technologies* | 92,173 | 13,711 | ||||||
Gartner* | 15,893 | 1,420 | ||||||
Intuit | 187,320 | 19,483 | ||||||
Linear Technology | 156,368 | 6,968 | ||||||
MasterCard, Cl A | 293,441 | 27,730 | ||||||
Microsoft | 992,270 | 54,803 | ||||||
PayPal Holdings* | 569,955 | 22,000 | ||||||
Qualcomm | 554,234 | 28,344 | ||||||
salesforce.com* | 201,841 | 14,902 | ||||||
ServiceNow* | 25,389 | 1,553 | ||||||
Tencent Holdings ADR | 631,613 | 12,910 | ||||||
Visa, Cl A | 871,242 | 66,633 | ||||||
|
| |||||||
546,281 | ||||||||
|
| |||||||
Materials — 2.4% | ||||||||
Ecolab | 107,274 | 11,963 | ||||||
LyondellBasell Industries, Cl A | 22,685 | 1,942 | ||||||
Sherwin-Williams, Cl A | 73,707 | 20,982 | ||||||
|
| |||||||
34,887 | ||||||||
|
| |||||||
Telecommunication Services — 0.8% |
| |||||||
SBA Communications, Cl A* | 120,038 | 12,024 | ||||||
|
| |||||||
Total Common Stock |
| 1,382,050 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 0.2% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.380%**† (B) | 2,602,430 | 2,602 | ||||||
|
| |||||||
Total Affiliated Partnership | 2,602 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.390%, 08/18/2016 (C) (D) | $ | 1,550 | 1,548 | |||||
|
| |||||||
Total U.S. Treasury Obligation | 1,548 | |||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 2.9% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.300%**† | 41,573,849 | $ | 41,574 | |||||
|
| |||||||
Total Cash Equivalent | 41,574 | |||||||
|
| |||||||
Total Investments — 100.3% | $ | 1,427,774 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 5 | Jun-2016 | $ | 26 | ||||||||
S&P 500 Index E-MINI | 105 | Jun-2016 | 378 | |||||||||
|
| |||||||||||
$ | 404 | |||||||||||
|
|
For the period ended March 31, 2016, 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 $1,423,845 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
†† | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
‡ | Real Estate Investment Trust. |
(A) | This security or a partial position of this security is on loan at March 31, 2016 (see Note 10). The total market value of securities on loan at March 31, 2016 was $2,534 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of March 31, 2016 was $2,602 ($ 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 March 31, 2016, 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 | $ | 1,382,050 | $ | — | $ | — | $ | 1,382,050 | ||||||||
Affiliated Partnership | — | 2,602 | — | 2,602 | ||||||||||||
U.S. Treasury Obligation | — | 1,548 | — | 1,548 | ||||||||||||
Cash Equivalent | 41,574 | — | — | 41,574 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,423,624 | $ | 4,150 | $ | — | $ | 1,427,774 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 404 | $ | — | $ | — | $ | 404 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 404 | $ | — | $ | — | $ | 404 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Growth Fund (Concluded)
March 31, 2016
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.5% | ||||||||
Consumer Discretionary — 13.7% | ||||||||
Amazon.com, Cl A* | 61,489 | $ | 36,502 | |||||
Autozone* | 1,498 | 1,193 | ||||||
Bed Bath & Beyond* | 18,911 | 939 | ||||||
Best Buy | 152,381 | 4,943 | ||||||
Carnival | 20,442 | 1,079 | ||||||
Chipotle Mexican Grill, Cl A* | 6,879 | 3,240 | ||||||
Comcast, Cl A | 81,471 | 4,976 | ||||||
Darden Restaurants | 34,626 | 2,296 | ||||||
Delphi Automotive | 91,343 | 6,853 | ||||||
Dillard’s, Cl A | 74,365 | 6,314 | ||||||
Discovery Communications, Cl C* | 294,618 | 7,955 | ||||||
Dollar General | 81,182 | 6,949 | ||||||
Domino’s Pizza | 9,132 | 1,204 | ||||||
Expedia | 11,877 | 1,281 | ||||||
Foot Locker, Cl A | 30,000 | 1,935 | ||||||
Ford Motor | 249,297 | 3,365 | ||||||
GameStop, Cl A (A) | 89,722 | 2,847 | ||||||
General Motors | 1,291,657 | 40,597 | ||||||
Genuine Parts | 2,400 | 238 | ||||||
GNC Holdings, Cl A | 38,182 | 1,212 | ||||||
Goodyear Tire & Rubber | 309,167 | 10,196 | ||||||
Graham Holdings, Cl B | 809 | 388 | ||||||
Groupon, Cl A* | 347,146 | 1,385 | ||||||
H&R Block | 52,113 | 1,377 | ||||||
Home Depot | 118,848 | 15,858 | ||||||
International Game Technology | 79,819 | 1,457 | ||||||
Interpublic Group | 55,709 | 1,278 | ||||||
Kohl’s | 210,340 | 9,804 | ||||||
L Brands | 190,811 | 16,755 | ||||||
Lear | 115,549 | 12,846 | ||||||
Liberty Global, Cl A* | 285,110 | 10,977 | ||||||
Liberty Global, Cl C* | 120,018 | 4,508 | ||||||
Liberty Interactive QVC Group, Cl A* | 735,153 | 18,563 | ||||||
Lowe’s | 100,403 | 7,606 | ||||||
Macy’s | 706,704 | 31,159 | ||||||
Magna International, Cl A | 128,083 | 5,502 | ||||||
Marriott International, Cl A (A) | 69,533 | 4,949 | ||||||
Michael Kors Holdings* | 299,879 | 17,081 | ||||||
Murphy USA* | 24,225 | 1,489 | ||||||
NetFlix* | 114,358 | 11,691 | ||||||
Nike, Cl B | 329,743 | 20,269 | ||||||
Omnicom Group | 200,288 | 16,670 | ||||||
Priceline Group* | 7,673 | 9,890 | ||||||
Ross Stores | 42,686 | 2,471 | ||||||
Starbucks | 227,286 | 13,569 | ||||||
Target, Cl A | 57,256 | 4,711 | ||||||
TEGNA | 153,973 | 3,612 | ||||||
Time Warner | 41,985 | 3,046 | ||||||
Time Warner Cable, Cl A | 59,984 | 12,274 | ||||||
TJX | 8,741 | 685 | ||||||
TopBuild* | 51,618 | 1,535 |
Description | Shares | Market Value ($ Thousands) | ||||||
Toyota Motor ADR | 35,477 | $ | 3,772 | |||||
TripAdvisor* | 209,053 | 13,902 | ||||||
Tupperware Brands | 50,100 | 2,905 | ||||||
Viacom, Cl B | 303,117 | 12,513 | ||||||
Walt Disney | 94,000 | 9,335 | ||||||
Whirlpool | 68,064 | 12,275 | ||||||
Yum! Brands | 86,442 | 7,075 | ||||||
|
| |||||||
471,296 | ||||||||
|
| |||||||
Consumer Staples — 7.9% | ||||||||
Altria Group | 127,397 | 7,983 | ||||||
Anheuser-Busch InBev ADR | 111,457 | 13,894 | ||||||
Archer-Daniels-Midland | 148,154 | 5,380 | ||||||
Bunge | 54,861 | 3,109 | ||||||
Clorox | 61,354 | 7,734 | ||||||
Coca-Cola | 84,125 | 3,903 | ||||||
Coca-Cola Enterprises | 20,024 | 1,016 | ||||||
ConAgra Foods | 54,663 | 2,439 | ||||||
Constellation Brands, Cl A | 84,705 | 12,798 | ||||||
Costco Wholesale | 122,223 | 19,260 | ||||||
CVS Health | 213,234 | 22,119 | ||||||
Dr Pepper Snapple Group | 25,908 | 2,317 | ||||||
Estee Lauder, Cl A | 125,092 | 11,797 | ||||||
General Mills | 16,297 | 1,032 | ||||||
Hershey | 3,593 | 331 | ||||||
Ingredion | 22,400 | 2,392 | ||||||
JM Smucker | 40,362 | 5,241 | ||||||
Kimberly-Clark | 51,071 | 6,870 | ||||||
Kraft Heinz | 13,143 | 1,033 | ||||||
Kroger | 530,992 | 20,310 | ||||||
Mead Johnson Nutrition, Cl A | 88,188 | 7,493 | ||||||
Mondelez International, Cl A | 122,182 | 4,902 | ||||||
PepsiCo | 3,825 | 392 | ||||||
Philip Morris International | 140,946 | 13,828 | ||||||
Procter & Gamble | 136,373 | 11,225 | ||||||
Reynolds American | 242,984 | 12,225 | ||||||
Rite Aid* | 127,877 | 1,042 | ||||||
SUPERVALU* | 214,132 | 1,233 | ||||||
Tyson Foods, Cl A | 359,376 | 23,956 | ||||||
Walgreens Boots Alliance | 289,947 | 24,425 | ||||||
Wal-Mart Stores | 289,361 | 19,818 | ||||||
|
| |||||||
271,497 | ||||||||
|
| |||||||
Energy — 6.7% | ||||||||
Apache | 141,776 | 6,920 | ||||||
BP ADR | 450,090 | 13,584 | ||||||
California Resources | 13,615 | 14 | ||||||
Canadian Natural Resources | 424,194 | 11,453 | ||||||
Chevron | 317,807 | 30,319 | ||||||
Cimarex Energy | 38,469 | 3,742 | ||||||
Concho Resources* | 34,048 | 3,440 | ||||||
Devon Energy | 891,623 | 24,466 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Ensco, Cl A | 100,300 | $ | 1,040 | |||||
EP Energy, Cl A* (A) | 1,287,639 | 5,820 | ||||||
Exxon Mobil | 164,776 | 13,774 | ||||||
Helmerich & Payne (A) | 80,079 | 4,702 | ||||||
Hess | 52,408 | 2,759 | ||||||
HollyFrontier | 160,949 | 5,685 | ||||||
Marathon Oil | 290,425 | 3,235 | ||||||
Marathon Petroleum | 330,768 | 12,298 | ||||||
Noble | 297,299 | 3,077 | ||||||
Occidental Petroleum | 84,164 | 5,759 | ||||||
PBF Energy, Cl A | 292,550 | 9,713 | ||||||
Phillips 66 | 151,255 | 13,097 | ||||||
Royal Dutch Shell ADR, Cl A | 219,515 | 10,636 | ||||||
Southwestern Energy* (A) | 1,612,335 | 13,012 | ||||||
Teekay Shipping | 851,869 | 7,377 | ||||||
Tesoro | 86,964 | 7,480 | ||||||
Valero Energy | 260,600 | 16,715 | ||||||
Williams | 102,320 | 1,644 | ||||||
|
| |||||||
231,761 | ||||||||
|
| |||||||
Financials — 16.1% | ||||||||
Aflac | 255,654 | 16,142 | ||||||
Allstate | 59,438 | 4,004 | ||||||
Ally Financial* | 117,898 | 2,207 | ||||||
American Financial Group | 39,790 | 2,800 | ||||||
American International Group | 328,925 | 17,778 | ||||||
Ameriprise Financial | 82,444 | 7,751 | ||||||
Assurant | 132,522 | 10,224 | ||||||
Assured Guaranty | 40,064 | 1,014 | ||||||
Bank of America | 3,156,796 | 42,680 | ||||||
BB&T | 63,748 | 2,121 | ||||||
Berkshire Hathaway, Cl B* | 163,865 | 23,249 | ||||||
Blackstone Group (B) | 314,815 | 8,831 | ||||||
Brandywine Realty Trust‡ | 185,374 | 2,601 | ||||||
Capital One Financial | 113,167 | 7,844 | ||||||
CBL & Associates Properties‡ | 249,474 | 2,969 | ||||||
CBRE Group, Cl A* | 28,198 | 813 | ||||||
Chubb | 29,125 | 3,470 | ||||||
CIT Group | 43,606 | 1,353 | ||||||
Citigroup | 439,797 | 18,361 | ||||||
CME Group | 87,815 | 8,435 | ||||||
Corporate Office Properties Trust‡ | 203,059 | 5,328 | ||||||
Corrections Corp of America‡ | 92,133 | 2,953 | ||||||
Crown Castle International‡ | 321,932 | 27,847 | ||||||
Cullen/Frost Bankers (A) | 21,236 | 1,170 | ||||||
Discover Financial Services | 241,586 | 12,302 | ||||||
Equinix‡ | 48,540 | 16,053 | ||||||
Everest Re Group | 57,218 | 11,297 | ||||||
Fifth Third Bancorp | 478,279 | 7,982 | ||||||
Goldman Sachs Group | 58,460 | 9,177 | ||||||
Hartford Financial Services Group | 101,910 | 4,696 | ||||||
Hatteras Financial‡ | 172,392 | 2,465 |
Description | Shares | Market Value ($ Thousands) | ||||||
Hospitality Properties Trust‡ | 97,540 | $ | 2,591 | |||||
Host Hotels & Resorts‡ | 205,512 | 3,432 | ||||||
Huntington Bancshares | 321,477 | 3,067 | ||||||
Intercontinental Exchange | 50,070 | 11,773 | ||||||
JPMorgan Chase | 685,613 | 40,602 | ||||||
KeyCorp | 816,571 | 9,015 | ||||||
KKR, Cl Miscellaneous (B) | 961,370 | 14,123 | ||||||
Lincoln National | 182,558 | 7,156 | ||||||
Marsh & McLennan | 102,651 | 6,240 | ||||||
McGraw-Hill | 23,272 | 2,303 | ||||||
MetLife | 380,334 | 16,712 | ||||||
MFA Financial‡ | 161,550 | 1,107 | ||||||
Moody’s | 50,687 | 4,894 | ||||||
Morgan Stanley | 242,643 | 6,068 | ||||||
Nomura Holdings ADR | 1,090,848 | 4,843 | ||||||
PNC Financial Services Group | 133,729 | 11,309 | ||||||
Popular | 193,445 | 5,534 | ||||||
Principal Financial Group, Cl A | 45,178 | 1,782 | ||||||
Progressive | 44,272 | 1,556 | ||||||
Prudential Financial | 111,461 | 8,050 | ||||||
Public Storage‡ | 4,106 | 1,133 | ||||||
Radian Group | 92,250 | 1,144 | ||||||
Regions Financial | 507,300 | 3,982 | ||||||
Reinsurance Group of America, Cl A | 80,696 | 7,767 | ||||||
RMR Group* | 914 | 23 | ||||||
Santander Consumer USA Holdings* | 624,999 | 6,556 | ||||||
Simon Property Group‡ | 6,723 | 1,396 | ||||||
State Street | 57,559 | 3,368 | ||||||
SunTrust Banks | 173,467 | 6,259 | ||||||
Synchrony Financial* | 214,119 | 6,137 | ||||||
T. Rowe Price Group | 60,474 | 4,442 | ||||||
Travelers | 120,419 | 14,054 | ||||||
Two Harbors Investment‡ | 663,829 | 5,271 | ||||||
Unum Group | 155,168 | 4,798 | ||||||
Validus Holdings | 28,272 | 1,334 | ||||||
Voya Financial | 599,790 | 17,856 | ||||||
Wells Fargo | 427,725 | 20,685 | ||||||
Weyerhaeuser‡ | 41,353 | 1,281 | ||||||
|
| |||||||
555,560 | ||||||||
|
| |||||||
Health Care — 12.7% | ||||||||
Abbott Laboratories | 99,343 | 4,156 | ||||||
AbbVie | 184,795 | 10,556 | ||||||
Aetna, Cl A | 95,864 | 10,770 | ||||||
Allergan* | 84,692 | 22,700 | ||||||
AmerisourceBergen | 93,688 | 8,109 | ||||||
Amgen, Cl A | 120,417 | 18,054 | ||||||
Anthem | 91,456 | 12,711 | ||||||
Baxalta | 243,535 | 9,839 | ||||||
Baxter International | 180,158 | 7,401 | ||||||
Becton Dickinson | 12,763 | 1,938 | ||||||
Biogen* | 120,318 | 31,321 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Bristol-Myers Squibb | 18,304 | $ | 1,169 | |||||
C.R. Bard | 30,808 | 6,244 | ||||||
Cardinal Health | 108,112 | 8,860 | ||||||
Celgene, Cl A* | 328,637 | 32,893 | ||||||
Centene* | 27,044 | 1,665 | ||||||
Charles River Laboratories International* | 14,173 | 1,076 | ||||||
Cigna | 68,071 | 9,342 | ||||||
DENTSPLY SIRONA | 90,805 | 5,596 | ||||||
Edwards Lifesciences, Cl A* | 60,638 | 5,349 | ||||||
Eli Lilly | 51,961 | 3,742 | ||||||
Endo International* | 29,070 | 818 | ||||||
Gilead Sciences | 183,213 | 16,830 | ||||||
HCA Holdings* | 144,187 | 11,254 | ||||||
Horizon Pharma* | 100,669 | 1,668 | ||||||
Humana | 44,504 | 8,142 | ||||||
Idexx Laboratories* | 72,356 | 5,667 | ||||||
Illumina* | 44,478 | 7,210 | ||||||
Intuitive Surgical* | 10,000 | 6,011 | ||||||
Ionis Pharmaceuticals* | 28,465 | 1,153 | ||||||
Jazz Pharmaceuticals* | 16,531 | 2,158 | ||||||
Johnson & Johnson | 224,386 | 24,279 | ||||||
Mallinckrodt* | 104,436 | 6,400 | ||||||
McKesson | 58,657 | 9,224 | ||||||
Merck | 334,290 | 17,687 | ||||||
Mylan* | 231,302 | 10,721 | ||||||
Novo Nordisk ADR | 252,533 | 13,685 | ||||||
Perrigo | 35,679 | 4,564 | ||||||
Pfizer | 706,138 | 20,930 | ||||||
Quest Diagnostics | 12,728 | 909 | ||||||
Regeneron Pharmaceuticals* | 11,692 | 4,214 | ||||||
Teva Pharmaceutical Industries ADR | 330,225 | 17,670 | ||||||
United Therapeutics* | 54,812 | 6,108 | ||||||
UnitedHealth Group | 136,249 | 17,563 | ||||||
Universal Health Services, Cl B | 10,672 | 1,331 | ||||||
Vertex Pharmaceuticals* | 31,149 | 2,476 | ||||||
Zoetis, Cl A | 93,197 | 4,131 | ||||||
|
| |||||||
436,294 | ||||||||
|
| |||||||
Industrials — 8.7% | ||||||||
3M | 52,661 | 8,775 | ||||||
Acuity Brands | 17,836 | 3,891 | ||||||
AECOM* | 106,835 | 3,289 | ||||||
AerCap Holdings* | 306,996 | 11,899 | ||||||
AGCO | 52,600 | 2,614 | ||||||
Alaska Air Group | 181,446 | 14,882 | ||||||
American Airlines Group | 245,345 | 10,062 | ||||||
BE Aerospace | 22,071 | 1,018 | ||||||
Boeing | 21,948 | 2,786 | ||||||
BWX Technologies, Cl W | 37,080 | 1,244 | ||||||
C.H. Robinson Worldwide | 31,918 | 2,369 | ||||||
Caterpillar, Cl A | 47,565 | 3,641 | ||||||
Chicago Bridge & Iron | 119,576 | 4,375 |
Description | Shares | Market Value ($ Thousands) | ||||||
Danaher, Cl A | 65,204 | $ | 6,185 | |||||
Deere | 48,924 | 3,767 | ||||||
Delta Air Lines, Cl A | 610,995 | 29,743 | ||||||
Eaton | 349,947 | 21,893 | ||||||
FedEx | 20,626 | 3,356 | ||||||
General Dynamics | 19,797 | 2,601 | ||||||
General Electric | 224,840 | 7,148 | ||||||
Huntington Ingalls Industries, Cl A | 63,273 | 8,665 | ||||||
Illinois Tool Works | 117,212 | 12,007 | ||||||
Lockheed Martin | 35,370 | 7,834 | ||||||
ManpowerGroup | 18,167 | 1,479 | ||||||
Masco | 34,867 | 1,097 | ||||||
Nielsen Holdings | 133,708 | 7,041 | ||||||
Norfolk Southern | 69,456 | 5,782 | ||||||
Northrop Grumman | 106,021 | 20,982 | ||||||
Oshkosh Truck | 98,940 | 4,044 | ||||||
Raytheon | 135,818 | 16,655 | ||||||
Rockwell Collins | 13,708 | 1,264 | ||||||
RR Donnelley & Sons | 93,388 | 1,532 | ||||||
Southwest Airlines, Cl A | 278,700 | 12,486 | ||||||
Spirit AeroSystems Holdings, Cl A* | 22,202 | 1,007 | ||||||
Spirit Airlines* | 30,225 | 1,450 | ||||||
SPX | 206,472 | 3,101 | ||||||
SPX FLOW* | 180,775 | 4,534 | ||||||
Terex | 233,816 | 5,817 | ||||||
Textron | 18,331 | 668 | ||||||
TransDigm Group* | 7,723 | 1,702 | ||||||
Trinity Industries | 158,818 | 2,908 | ||||||
Triumph Group | 496,177 | 15,620 | ||||||
United Continental Holdings* | 116,041 | 6,946 | ||||||
Waste Management | 18,232 | 1,076 | ||||||
WW Grainger | 30,341 | 7,082 | ||||||
|
| |||||||
298,317 | ||||||||
|
| |||||||
Information Technology — 23.0% | ||||||||
Accenture, Cl A | 96,547 | 11,142 | ||||||
Activision Blizzard | 225,719 | 7,638 | ||||||
Adobe Systems* | 144,353 | 13,540 | ||||||
Akamai Technologies* | 49,115 | 2,729 | ||||||
Alliance Data Systems* | 12,760 | 2,807 | ||||||
Alphabet, Cl A* | 76,643 | 58,471 | ||||||
Alphabet, Cl C* | 36,437 | 27,144 | ||||||
Amdocs | 87,071 | 5,261 | ||||||
Apple | 449,528 | 48,994 | ||||||
Applied Materials | 507,844 | 10,756 | ||||||
Automatic Data Processing | 65,350 | 5,863 | ||||||
Avnet | 36,856 | 1,633 | ||||||
Baidu ADR* | 69,149 | 13,199 | ||||||
Broadcom | 59,893 | 9,254 | ||||||
Brocade Communications Systems | 402,188 | 4,255 | ||||||
CA | 81,679 | 2,515 | ||||||
Cisco Systems | 518,629 | 14,765 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Citrix Systems* | 61,566 | $ | 4,838 | |||||
Cognizant Technology Solutions, Cl A* | 90,285 | 5,661 | ||||||
Computer Sciences | 28,981 | 997 | ||||||
CoreLogic* | 19,431 | 674 | ||||||
Corning, Cl B | 274,831 | 5,741 | ||||||
DST Systems | 11,635 | 1,312 | ||||||
eBay* | 686,042 | 16,369 | ||||||
Electronic Arts* | 350,191 | 23,151 | ||||||
EMC | 202,941 | 5,408 | ||||||
Facebook, Cl A* | 443,504 | 50,604 | ||||||
First Solar* | 36,075 | 2,470 | ||||||
FleetCor Technologies* | 56,775 | 8,445 | ||||||
Genpact* | 160,287 | 4,358 | ||||||
Harris | 25,220 | 1,964 | ||||||
Hewlett Packard Enterprise | 1,296,452 | 22,986 | ||||||
HP | 883,912 | 10,890 | ||||||
Ingram Micro, Cl A* | 180,237 | 6,472 | ||||||
Intel | 570,596 | 18,459 | ||||||
International Business Machines | 77,645 | 11,759 | ||||||
Intuit | 156,005 | 16,226 | ||||||
Juniper Networks | 88,091 | 2,247 | ||||||
Lam Research | 8,706 | 719 | ||||||
Lexmark International, Cl A | 59,121 | 1,976 | ||||||
LinkedIn, Cl A* | 8,527 | 975 | ||||||
Marvell Technology Group | 578,567 | 5,965 | ||||||
MasterCard, Cl A | 394,592 | 37,289 | ||||||
Microchip Technology | 35,826 | 1,727 | ||||||
Micron Technology* | 2,356,112 | 24,669 | ||||||
Microsoft | 888,941 | 49,096 | ||||||
NetApp | 556,820 | 15,196 | ||||||
Oracle, Cl B | 334,529 | 13,686 | ||||||
Palo Alto Networks* | 6,456 | 1,053 | ||||||
PayPal Holdings* | 500,552 | 19,321 | ||||||
Qualcomm | 869,641 | 44,474 | ||||||
Rackspace Hosting* | 152,258 | 3,287 | ||||||
Red Hat* | 30,465 | 2,270 | ||||||
salesforce.com inc* | 140,828 | 10,397 | ||||||
Seagate Technology | 59,751 | 2,058 | ||||||
ServiceNow* | 18,268 | 1,118 | ||||||
Skyworks Solutions | 31,977 | 2,491 | ||||||
Tableau Software, Cl A* | 45,010 | 2,065 | ||||||
Tech Data* | 22,300 | 1,712 | ||||||
Tencent Holdings ADR | 390,625 | 7,984 | ||||||
Texas Instruments | 211,061 | 12,119 | ||||||
VeriSign* | 91,384 | 8,091 | ||||||
Visa, Cl A | 556,476 | 42,559 | ||||||
Vishay Intertechnology | 88,686 | 1,083 | ||||||
Western Digital | 128,989 | 6,094 | ||||||
Western Union | 56,947 | 1,099 | ||||||
Xerox | 620,348 | 6,923 | ||||||
Yelp, Cl A* | 51,177 | 1,017 |
Description | Shares/Number of Rights | Market Value ($ Thousands) | ||||||
Zynga, Cl A* | 591,995 | $ | 1,350 | |||||
|
| |||||||
790,860 | ||||||||
|
| |||||||
Materials — 3.6% | ||||||||
Cabot | 99,097 | 4,789 | ||||||
Celanese, Ser A | 28,298 | 1,853 | ||||||
CF Industries Holdings | 46,000 | 1,442 | ||||||
Domtar | 28,000 | 1,134 | ||||||
Dow Chemical, Cl A | 265,094 | 13,483 | ||||||
Eastman Chemical | 116,206 | 8,394 | ||||||
Ecolab | 48,941 | 5,458 | ||||||
Freeport-McMoRan, Cl B | 337,923 | 3,494 | ||||||
Huntsman | 307,846 | 4,094 | ||||||
International Paper | 444,488 | 18,242 | ||||||
Louisiana-Pacific* | 240,753 | 4,122 | ||||||
LyondellBasell Industries, Cl A | 180,507 | 15,448 | ||||||
Mosaic | 593,663 | 16,029 | ||||||
Nucor | 25,627 | 1,212 | ||||||
Owens-Illinois* | 225,590 | 3,600 | ||||||
Reliance Steel & Aluminum | 76,389 | 5,285 | ||||||
Sealed Air | 22,988 | 1,104 | ||||||
Sherwin-Williams, Cl A | 39,129 | 11,139 | ||||||
Westlake Chemical | 48,454 | 2,243 | ||||||
WestRock | 84,787 | 3,309 | ||||||
|
| |||||||
125,874 | ||||||||
|
| |||||||
Telecommunication Services — 1.5% |
| |||||||
AT&T | 348,990 | 13,670 | ||||||
China Mobile ADR | 115,235 | 6,390 | ||||||
SBA Communications, Cl A* | 41,018 | 4,109 | ||||||
Verizon Communications | 483,896 | 26,169 | ||||||
|
| |||||||
50,338 | ||||||||
|
| |||||||
Utilities — 2.6% | ||||||||
Ameren | 113,300 | 5,676 | ||||||
American Electric Power | 229,636 | 15,248 | ||||||
Edison International | 234,583 | 16,864 | ||||||
Entergy | 87,753 | 6,957 | ||||||
Exelon | 634,163 | 22,741 | ||||||
FirstEnergy | 138,494 | 4,982 | ||||||
Public Service Enterprise Group | 334,769 | 15,781 | ||||||
|
| |||||||
88,249 | ||||||||
|
| |||||||
Total Common Stock | 3,320,046 | |||||||
|
| |||||||
RIGHTS — 0.0% | ||||||||
United States — 0.0% | ||||||||
Safeway CVR - Casa Ley*‡‡ | 108 | 110 | ||||||
Safeway CVR - PDC*‡‡ | 108 | 5 | ||||||
|
|
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund (Concluded)
March 31, 2016
Description | Number of Rights/Shares/Face ($ Thousands) | Market Value ($ Thousands) | ||||||
Total Rights | $ | 115 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 0.8% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.380% **† (C) | 26,646,489 | 26,646 | ||||||
|
| |||||||
Total Affiliated Partnership | 26,646 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.416%, 08/18/2016 (D) (E) | $ | 3,090 | 3,086 | |||||
|
| |||||||
Total U.S. Treasury Obligation | 3,086 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.3% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.300% **† | 112,590,601 | 112,591 | ||||||
|
| |||||||
Total Cash Equivalent | 112,591 | |||||||
|
| |||||||
Total Investments — 100.7% | ||||||||
(Cost $2,394,373) ($ Thousands) | $ | 3,462,484 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 36 | Jun-2016 | $ | 15 | ||||||||
S&P Mid Cap 400 Index E-MINI | 2 | Jun-2016 | 5 | |||||||||
|
| |||||||||||
$ | 20 | |||||||||||
|
|
For the period ended March 31, 2016, 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 $3,438,518 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
‡‡ | Expiration date unavailable. |
(A) | This security or a partial position of this security is on loan at March 31, 2016 (see Note 10). The total market value of securities on loan at March 31, 2016 was $26,271 ($ Thousands). |
(B) | Security is a Master Limited Partnership. At March 31, 2016, such securities amounted to $22,954 ($ Thousands), or 0.67% of Net Assets. |
(C) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of March 31, 2016 was $26,646 ($ Thousands). |
(D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(E) | The rate reported is the effective yield at time of purchase. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
The following is a summary of the level of inputs used as of March 31, 2016, 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 | $ | 3,320,046 | $ | — | $ | — | $ | 3,320,046 | ||||||||
Affiliated Partnership | — | 26,646 | — | 26,646 | ||||||||||||
U.S. Treasury Obligation | — | 3,086 | — | 3,086 | ||||||||||||
Cash Equivalent | 112,591 | — | — | 112,591 | ||||||||||||
Rights | — | — | 115 | 115 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 3,432,637 | $ | 29,732 | $ | 115 | $ | 3,462,484 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 20 | $ | — | $ | — | $ | 20 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 20 | $ | — | $ | — | $ | 20 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
S&P 500 Index
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 98.3% | ||||||||
Consumer Discretionary — 12.7% | ||||||||
Advance Auto Parts | 2,600 | $ | 417 | |||||
Amazon.com, Cl A* | 13,904 | 8,254 | ||||||
Autonation* | 2,726 | 127 | ||||||
Autozone* | 1,094 | 872 | ||||||
Bed Bath & Beyond | 5,833 | 289 | ||||||
Best Buy | 10,454 | 339 | ||||||
BorgWarner | 8,100 | 311 | ||||||
Cablevision Systems, Cl A | 7,800 | 257 | ||||||
CarMax* (A) | 7,300 | 373 | ||||||
Carnival | 16,484 | 870 | ||||||
CBS, Cl B | 15,495 | 854 | ||||||
Chipotle Mexican Grill, Cl A* | 1,104 | 520 | ||||||
Coach | 9,919 | 398 | ||||||
Comcast, Cl A | 87,348 | 5,335 | ||||||
Darden Restaurants | 4,018 | 266 | ||||||
Delphi Automotive | 10,000 | 750 | ||||||
Discovery Communications, Cl A* | 5,300 | 152 | ||||||
Discovery Communications, Cl C* | 9,100 | 246 | ||||||
Dollar General | 10,400 | 890 | ||||||
Dollar Tree* | 8,454 | 697 | ||||||
DR Horton | 11,758 | 355 | ||||||
Expedia | 4,255 | 459 | ||||||
Ford Motor | 139,537 | 1,884 | ||||||
GameStop, Cl A (A) | 3,700 | 117 | ||||||
Gap | 8,031 | 236 | ||||||
Garmin | 4,205 | 168 | ||||||
General Motors | 50,713 | 1,594 | ||||||
Genuine Parts | 5,436 | 540 | ||||||
Goodyear Tire & Rubber | 9,393 | 310 | ||||||
H&R Block | 8,213 | 217 | ||||||
Hanesbrands | 14,100 | 400 | ||||||
Harley-Davidson, Cl A | 6,708 | 344 | ||||||
Harman International Industries, Cl A | 2,462 | 219 | ||||||
Hasbro | 3,996 | 320 | ||||||
Home Depot | 45,309 | 6,046 | ||||||
Interpublic Group | 14,301 | 328 | ||||||
Johnson Controls | 23,161 | 903 | ||||||
Kohl’s | 6,656 | 310 | ||||||
L Brands | 9,127 | 801 | ||||||
Leggett & Platt | 4,759 | 230 | ||||||
Lennar, Cl A | 6,416 | 310 | ||||||
Lowe’s | 32,749 | 2,481 | ||||||
Macy’s | 11,264 | 497 | ||||||
Marriott International, Cl A (A) | 6,956 | 495 | ||||||
Mattel | 12,131 | 408 | ||||||
McDonald’s | 32,383 | 4,070 | ||||||
Michael Kors Holdings* | 6,600 | 376 | ||||||
Mohawk Industries* | 2,300 | 439 | ||||||
NetFlix* | 15,300 | 1,564 | ||||||
Newell Rubbermaid, Cl B | 9,556 | 423 | ||||||
News, Cl A | 13,375 | 171 |
Description | Shares | Market Value ($ Thousands) | ||||||
News, Cl B | 4,000 | $ | 53 | |||||
Nike, Cl B | 48,294 | 2,969 | ||||||
Nordstrom | 4,607 | 264 | ||||||
Omnicom Group | 8,704 | 724 | ||||||
O’Reilly Automotive* | 3,500 | 958 | ||||||
Priceline Group* | 1,757 | 2,265 | ||||||
PulteGroup | 10,999 | 206 | ||||||
PVH | 2,900 | 287 | ||||||
Ralph Lauren, Cl A | 2,105 | 203 | ||||||
Ross Stores | 14,536 | 842 | ||||||
Royal Caribbean Cruises | 6,200 | 509 | ||||||
Scripps Networks Interactive, Cl A | 3,300 | 216 | ||||||
Signet Jewelers | 2,800 | 347 | ||||||
Staples | 22,636 | 250 | ||||||
Starbucks | 53,134 | 3,172 | ||||||
Starwood Hotels & Resorts Worldwide | 6,035 | 503 | ||||||
Target, Cl A | 22,028 | 1,812 | ||||||
TEGNA | 7,747 | 182 | ||||||
Tiffany | 3,978 | 292 | ||||||
Time Warner | 28,625 | 2,077 | ||||||
Time Warner Cable, Cl A | 10,087 | 2,064 | ||||||
TJX | 23,943 | 1,876 | ||||||
Tractor Supply | 4,800 | 434 | ||||||
TripAdvisor* | 3,955 | 263 | ||||||
Twenty-First Century Fox, Cl A | 41,959 | 1,170 | ||||||
Twenty-First Century Fox, Cl B | 15,500 | 437 | ||||||
Under Armour, Cl A* | 6,505 | 552 | ||||||
Urban Outfitters* | 3,100 | 103 | ||||||
VF | 12,265 | 794 | ||||||
Viacom, Cl B | 12,401 | 512 | ||||||
Walt Disney | 54,444 | 5,407 | ||||||
Whirlpool | 2,805 | 506 | ||||||
Wyndham Worldwide | 4,202 | 321 | ||||||
Wynn Resorts | 2,900 | 271 | ||||||
Yum! Brands | 14,670 | 1,201 | ||||||
|
| |||||||
83,274 | ||||||||
|
| |||||||
Consumer Staples — 10.2% | ||||||||
Altria Group | 70,173 | 4,397 | ||||||
Archer-Daniels-Midland | 21,375 | 776 | ||||||
Brown-Forman, Cl B | 3,696 | 364 | ||||||
Campbell Soup | 6,484 | 414 | ||||||
Church & Dwight | 4,700 | 433 | ||||||
Clorox | 4,642 | 585 | ||||||
Coca-Cola | 140,049 | 6,497 | ||||||
Coca-Cola Enterprises | 7,517 | 381 | ||||||
Colgate-Palmolive | 32,095 | 2,268 | ||||||
ConAgra Foods | 15,465 | 690 | ||||||
Constellation Brands, Cl A | 6,200 | 937 | ||||||
Costco Wholesale | 15,618 | 2,461 | ||||||
CVS Health | 39,652 | 4,113 | ||||||
Dr Pepper Snapple Group | 6,800 | 608 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
S&P 500 Index (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Estee Lauder, Cl A | 8,000 | $ | 755 | |||||
General Mills | 21,386 | 1,355 | ||||||
Hershey | 5,112 | 471 | ||||||
Hormel Foods | 9,708 | 420 | ||||||
JM Smucker | 4,253 | 552 | ||||||
Kellogg | 9,167 | 702 | ||||||
Kimberly-Clark | 13,003 | 1,749 | ||||||
Kraft Heinz | 21,308 | 1,674 | ||||||
Kroger | 34,836 | 1,332 | ||||||
McCormick | 4,166 | 414 | ||||||
Mead Johnson Nutrition, Cl A | 6,634 | 564 | ||||||
Molson Coors Brewing, Cl B | 6,551 | 630 | ||||||
Mondelez International, Cl A | 56,920 | 2,284 | ||||||
Monster Beverage* | 5,400 | 720 | ||||||
PepsiCo | 52,107 | 5,340 | ||||||
Philip Morris International | 55,387 | 5,434 | ||||||
Procter & Gamble | 95,431 | 7,855 | ||||||
Reynolds American | 29,642 | 1,491 | ||||||
SYSCO, Cl A | 18,820 | 879 | ||||||
Tyson Foods, Cl A | 10,603 | 707 | ||||||
Walgreens Boots Alliance | 31,157 | 2,625 | ||||||
Wal-Mart Stores | 56,161 | 3,846 | ||||||
Whole Foods Market | 12,209 | 380 | ||||||
|
| |||||||
67,103 | ||||||||
|
| |||||||
Energy — 6.6% | ||||||||
Anadarko Petroleum, Cl A | 18,185 | 847 | ||||||
Apache | 13,500 | 659 | ||||||
Baker Hughes | 15,649 | 686 | ||||||
Cabot Oil & Gas | 16,413 | 373 | ||||||
California Resources | 501 | 1 | ||||||
Cameron International* | 6,900 | 463 | ||||||
Chesapeake Energy (A) | 17,822 | 73 | ||||||
Chevron | 67,700 | 6,459 | ||||||
Cimarex Energy | 3,304 | 321 | ||||||
Columbia Pipeline Group | 13,592 | 341 | ||||||
Concho Resources* | 4,600 | 465 | ||||||
ConocoPhillips | 44,160 | 1,778 | ||||||
Devon Energy | 18,313 | 502 | ||||||
Diamond Offshore Drilling | 2,200 | 48 | ||||||
EOG Resources | 19,697 | 1,430 | ||||||
EQT | 5,805 | 390 | ||||||
Exxon Mobil | 148,946 | 12,450 | ||||||
FMC Technologies* | 7,900 | 216 | ||||||
Halliburton | 30,642 | 1,095 | ||||||
Helmerich & Payne | 3,805 | 223 | ||||||
Hess | 9,375 | 494 | ||||||
Kinder Morgan | 65,482 | 1,169 | ||||||
Marathon Oil | 29,556 | 329 | ||||||
Marathon Petroleum | 19,064 | 709 | ||||||
Murphy Oil | 5,772 | 145 | ||||||
National Oilwell Varco, Cl A | 13,468 | 419 |
Description | Shares | Market Value ($ Thousands) | ||||||
Newfield Exploration* | 6,900 | $ | 229 | |||||
Noble Energy | 15,300 | 481 | ||||||
Occidental Petroleum | 27,364 | 1,873 | ||||||
Oneok | 7,309 | 218 | ||||||
Phillips 66 | 16,975 | 1,470 | ||||||
Pioneer Natural Resources | 5,804 | 817 | ||||||
Range Resources | 6,000 | 194 | ||||||
Schlumberger, Cl A | 45,160 | 3,331 | ||||||
Southwestern Energy* (A) | 13,900 | 112 | ||||||
Spectra Energy | 24,061 | 736 | ||||||
Tesoro | 4,300 | 370 | ||||||
Transocean (A) | 12,000 | 110 | ||||||
Valero Energy | 17,208 | 1,104 | ||||||
Williams | 24,469 | 393 | ||||||
|
| |||||||
43,523 | ||||||||
|
| |||||||
Financials — 15.4% | ||||||||
Affiliated Managers Group* | 1,900 | 309 | ||||||
Aflac | 15,317 | 967 | ||||||
Allstate | 13,859 | 934 | ||||||
American Express | 29,928 | 1,838 | ||||||
American International Group | 41,130 | 2,223 | ||||||
American Tower, Cl A‡ | 15,200 | 1,556 | ||||||
Ameriprise Financial | 6,284 | 591 | ||||||
Aon | 9,829 | 1,027 | ||||||
Apartment Investment & Management, Cl A‡ | 5,539 | 232 | ||||||
Assurant | 2,305 | 178 | ||||||
AvalonBay Communities‡ | 4,908 | 934 | ||||||
Bank of America | 372,545 | 5,037 | ||||||
Bank of New York Mellon | 39,099 | 1,440 | ||||||
BB&T | 27,906 | 928 | ||||||
Berkshire Hathaway, Cl B* | 67,369 | 9,558 | ||||||
BlackRock | 4,561 | 1,553 | ||||||
Boston Properties‡ | 5,500 | 699 | ||||||
Capital One Financial | 19,066 | 1,321 | ||||||
CBRE Group, Cl A* | 10,209 | 294 | ||||||
Charles Schwab | 42,936 | 1,203 | ||||||
Chubb | 16,534 | 1,970 | ||||||
Cincinnati Financial | 5,183 | 339 | ||||||
Citigroup | 106,551 | 4,449 | ||||||
Citizens Financial Group | 18,900 | 396 | ||||||
CME Group | 12,140 | 1,166 | ||||||
Comerica | 6,392 | 242 | ||||||
Crown Castle International‡ | 11,904 | 1,030 | ||||||
Discover Financial Services | 15,330 | 781 | ||||||
E*Trade Financial* | 10,552 | 258 | ||||||
Equinix‡ | 2,456 | 812 | ||||||
Equity Residential ‡ | 13,044 | 979 | ||||||
Essex Property Trust‡ | 2,400 | 561 | ||||||
Extra Space Storage‡ | 4,400 | 411 | ||||||
Federal Realty Investment Trust‡ | 2,500 | 390 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
S&P 500 Index (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Fifth Third Bancorp | 28,511 | $ | 476 | |||||
Franklin Resources | 13,550 | 529 | ||||||
General Growth Properties‡ | 20,900 | 621 | ||||||
Goldman Sachs Group | 14,165 | 2,224 | ||||||
Hartford Financial Services Group | 14,686 | 677 | ||||||
HCP‡ | 16,700 | 544 | ||||||
Host Hotels & Resorts‡ | 26,974 | 450 | ||||||
Huntington Bancshares | 28,014 | 267 | ||||||
Intercontinental Exchange | 4,281 | 1,007 | ||||||
Invesco | 15,200 | 468 | ||||||
Iron Mountain‡ | 6,638 | 225 | ||||||
JPMorgan Chase | 131,700 | 7,799 | ||||||
KeyCorp | 29,983 | 331 | ||||||
Kimco Realty‡ | 14,813 | 426 | ||||||
Legg Mason | 3,805 | 132 | ||||||
Leucadia National | 11,713 | 189 | ||||||
Lincoln National | 8,698 | 341 | ||||||
Loews | 10,062 | 385 | ||||||
M&T Bank | 5,725 | 635 | ||||||
Macerich‡ | 4,504 | 357 | ||||||
Marsh & McLennan | 18,659 | 1,134 | ||||||
McGraw-Hill | 9,721 | 962 | ||||||
MetLife | 39,839 | 1,751 | ||||||
Moody’s | 6,208 | 599 | ||||||
Morgan Stanley | 54,061 | 1,352 | ||||||
Nasdaq, Cl A | 4,100 | 272 | ||||||
Navient | 12,843 | 154 | ||||||
Northern Trust | 7,809 | 509 | ||||||
People’s United Financial | 11,000 | 175 | ||||||
PNC Financial Services Group | 18,184 | 1,538 | ||||||
Principal Financial Group, Cl A | 9,557 | 377 | ||||||
Progressive | 20,985 | 737 | ||||||
ProLogis‡ | 18,800 | 831 | ||||||
Prudential Financial | 16,066 | 1,160 | ||||||
Public Storage‡ | 5,233 | 1,443 | ||||||
Realty Income‡ | 8,900 | 556 | ||||||
Regions Financial | 45,863 | 360 | ||||||
Simon Property Group‡ | 11,106 | 2,307 | ||||||
SL Green Realty‡ | 3,500 | 339 | ||||||
State Street | 14,491 | 848 | ||||||
SunTrust Banks | 18,296 | 660 | ||||||
Synchrony Financial* | 29,863 | 856 | ||||||
T. Rowe Price Group | 9,008 | 662 | ||||||
Torchmark, Cl A | 4,039 | 219 | ||||||
Travelers | 10,856 | 1,267 | ||||||
UDR‡ | 9,200 | 354 | ||||||
Unum Group | 8,761 | 271 | ||||||
US Bancorp | 58,823 | 2,388 | ||||||
Ventas‡ | 11,932 | 751 | ||||||
Vornado Realty Trust ‡ | 6,377 | 602 | ||||||
Wells Fargo | 166,315 | 8,043 | ||||||
Welltower‡ | 12,700 | 881 |
Description | Shares | Market Value ($ Thousands) | ||||||
Weyerhaeuser‡ | 28,261 | $ | 876 | |||||
Willis Towers Watson | 4,921 | 584 | ||||||
XL Group, Cl A | 10,705 | 394 | ||||||
Zions Bancorporation | 7,160 | 173 | ||||||
|
| |||||||
101,074 | ||||||||
|
| |||||||
Health Care — 14.0% | ||||||||
Abbott Laboratories | 53,363 | 2,232 | ||||||
AbbVie | 58,468 | 3,340 | ||||||
Aetna, Cl A | 12,507 | 1,405 | ||||||
Agilent Technologies | 11,915 | 475 | ||||||
Alexion Pharmaceuticals* | 8,100 | 1,128 | ||||||
Allergan* | 14,153 | 3,793 | ||||||
AmerisourceBergen | 6,996 | 605 | ||||||
Amgen, Cl A | 26,964 | 4,043 | ||||||
Anthem | 9,302 | 1,293 | ||||||
Baxalta | 24,542 | 991 | ||||||
Baxter International | 19,642 | 807 | ||||||
Becton Dickinson | 7,558 | 1,147 | ||||||
Biogen* | 8,000 | 2,083 | ||||||
Boston Scientific* | 48,212 | 907 | ||||||
Bristol-Myers Squibb | 59,692 | 3,813 | ||||||
C.R. Bard | 2,688 | 545 | ||||||
Cardinal Health | 11,759 | 964 | ||||||
Celgene, Cl A* | 28,113 | 2,814 | ||||||
Centene* | 6,100 | 376 | ||||||
Cerner* | 10,900 | 577 | ||||||
Cigna | 9,271 | 1,272 | ||||||
DaVita HealthCare Partners* | 6,005 | 441 | ||||||
DENTSPLY SIRONA | 8,609 | 531 | ||||||
Edwards Lifesciences, Cl A* | 7,700 | 679 | ||||||
Eli Lilly | 34,939 | 2,516 | ||||||
Endo International* | 7,300 | 205 | ||||||
Express Scripts Holding* | 24,170 | 1,660 | ||||||
Gilead Sciences | 48,866 | 4,489 | ||||||
HCA Holdings* | 11,205 | 875 | ||||||
Henry Schein* | 3,000 | 518 | ||||||
Hologic* | 8,900 | 307 | ||||||
Humana | 5,301 | 970 | ||||||
Illumina* | 5,200 | 843 | ||||||
Intuitive Surgical* | 1,320 | 793 | ||||||
Johnson & Johnson | 99,012 | 10,713 | ||||||
Laboratory Corp of America Holdings* | 3,663 | 429 | ||||||
Mallinckrodt* | 4,204 | 258 | ||||||
McKesson | 8,269 | 1,300 | ||||||
Medtronic | 50,272 | 3,770 | ||||||
Merck | 99,974 | 5,290 | ||||||
Mylan* | 14,815 | 687 | ||||||
Patterson | 2,900 | 135 | ||||||
PerkinElmer | 3,940 | 195 | ||||||
Perrigo | 5,204 | 666 | ||||||
Pfizer | 217,456 | 6,445 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
S&P 500 Index (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Quest Diagnostics | 5,024 | $ | 359 | |||||
Regeneron Pharmaceuticals* | 2,800 | 1,009 | ||||||
St. Jude Medical | 10,156 | 559 | ||||||
Stryker | 11,346 | 1,217 | ||||||
Tenet Healthcare* | 3,419 | 99 | ||||||
Thermo Fisher Scientific | 14,252 | 2,018 | ||||||
UnitedHealth Group | 34,060 | 4,390 | ||||||
Universal Health Services, Cl B | 3,200 | 399 | ||||||
Varian Medical Systems* | 3,405 | 272 | ||||||
Vertex Pharmaceuticals* | 8,800 | 699 | ||||||
Waters* | 2,897 | 382 | ||||||
Zimmer Biomet Holdings | 6,460 | 689 | ||||||
Zoetis, Cl A | 16,446 | 729 | ||||||
|
| |||||||
92,146 | ||||||||
|
| |||||||
Industrials — 10.0% | ||||||||
3M | 21,991 | 3,664 | ||||||
ADT, Cl A | 5,750 | 237 | ||||||
Allegion | 3,370 | 215 | ||||||
American Airlines Group | 22,609 | 927 | ||||||
Ametek | 8,500 | 425 | ||||||
Boeing | 22,541 | 2,861 | ||||||
C.H. Robinson Worldwide | 5,105 | 379 | ||||||
Caterpillar, Cl A | 20,806 | 1,593 | ||||||
Cintas | 3,112 | 280 | ||||||
CSX | 34,872 | 898 | ||||||
Cummins | 5,844 | 643 | ||||||
Danaher, Cl A | 21,296 | 2,020 | ||||||
Deere | 11,206 | 863 | ||||||
Delta Air Lines, Cl A | 28,113 | 1,369 | ||||||
Dover | 5,437 | 350 | ||||||
Dun & Bradstreet | 1,305 | 135 | ||||||
Eaton | 16,615 | 1,039 | ||||||
Emerson Electric | 23,415 | 1,273 | ||||||
Equifax | 4,230 | 483 | ||||||
Expeditors International of Washington | 6,709 | 327 | ||||||
Fastenal, Cl A (A) | 10,409 | 510 | ||||||
FedEx | 9,405 | 1,530 | ||||||
Flowserve | 4,700 | 209 | ||||||
Fluor | 4,944 | 266 | ||||||
General Dynamics | 10,630 | 1,396 | ||||||
General Electric | 335,509 | 10,666 | ||||||
Honeywell International | 27,568 | 3,089 | ||||||
Illinois Tool Works | 11,729 | 1,202 | ||||||
Ingersoll-Rand | 9,404 | 583 | ||||||
Jacobs Engineering Group* | 4,304 | 187 | ||||||
JB Hunt Transport Services | 3,300 | 278 | ||||||
Kansas City Southern | 3,900 | 333 | ||||||
L-3 Communications Holdings | 2,823 | 335 | ||||||
Lockheed Martin | 9,498 | 2,104 | ||||||
Masco | 12,068 | 380 | ||||||
Nielsen Holdings | 13,000 | 685 |
Description | Shares | Market Value ($ Thousands) | ||||||
Norfolk Southern | 10,730 | $ | 893 | |||||
Northrop Grumman | 6,523 | 1,291 | ||||||
PACCAR | 12,691 | 694 | ||||||
Parker-Hannifin, Cl A | 4,871 | 541 | ||||||
Pentair | 6,466 | 351 | ||||||
Pitney Bowes | 6,975 | 150 | ||||||
Quanta Services* | 5,500 | 124 | ||||||
Raytheon | 10,773 | 1,321 | ||||||
Republic Services | 8,583 | 409 | ||||||
Robert Half International | 4,732 | 220 | ||||||
Rockwell Automation | 4,730 | 538 | ||||||
Rockwell Collins | 4,678 | 431 | ||||||
Roper Technologies | 3,600 | 658 | ||||||
Ryder System | 1,859 | 120 | ||||||
Snap-on | 2,053 | 322 | ||||||
Southwest Airlines, Cl A | 23,262 | 1,042 | ||||||
Stanley Black & Decker | 5,340 | 562 | ||||||
Stericycle, Cl A* | 3,004 | 379 | ||||||
Textron | 9,607 | 350 | ||||||
Tyco International | 15,200 | 558 | ||||||
Union Pacific | 30,601 | 2,434 | ||||||
United Continental Holdings* | 13,400 | 802 | ||||||
United Parcel Service, Cl B | 24,924 | 2,629 | ||||||
United Rentals* | 3,200 | 199 | ||||||
United Technologies | 27,841 | 2,787 | ||||||
Verisk Analytics, Cl A* | 5,600 | 448 | ||||||
Waste Management | 14,828 | 875 | ||||||
WW Grainger | 2,065 | 482 | ||||||
Xylem | 6,300 | 258 | ||||||
|
| |||||||
65,602 | ||||||||
|
| |||||||
Information Technology — 20.5% | ||||||||
Accenture, Cl A | 22,404 | 2,585 | ||||||
Activision Blizzard | 18,100 | 612 | ||||||
Adobe Systems* | 17,841 | 1,673 | ||||||
Akamai Technologies* | 6,404 | 356 | ||||||
Alliance Data Systems* | 2,200 | 484 | ||||||
Alphabet, Cl A* | 10,567 | 8,062 | ||||||
Alphabet, Cl C* | 10,695 | 7,967 | ||||||
Amphenol, Cl A | 11,009 | 637 | ||||||
Analog Devices | 11,199 | 663 | ||||||
Apple | 199,382 | 21,731 | ||||||
Applied Materials | 41,150 | 872 | ||||||
Autodesk, Cl A* | 8,117 | 473 | ||||||
Automatic Data Processing | 16,559 | 1,485 | ||||||
Broadcom | 13,346 | 2,062 | ||||||
CA | 10,340 | 318 | ||||||
Cisco Systems | 181,561 | 5,169 | ||||||
Citrix Systems* | 5,542 | 435 | ||||||
Cognizant Technology Solutions, Cl A* | 21,805 | 1,367 | ||||||
Corning, Cl B | 39,908 | 834 | ||||||
CSRA | 4,838 | 130 |
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
S&P 500 Index (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
eBay* | 39,549 | $ | 944 | |||||
Electronic Arts* | 11,178 | 739 | ||||||
EMC | 69,366 | 1,849 | ||||||
F5 Networks, Cl A* | 2,500 | 265 | ||||||
Facebook, Cl A* | 82,522 | 9,416 | ||||||
Fidelity National Information Services, Cl B | 9,965 | 631 | ||||||
First Solar* | 2,640 | 181 | ||||||
Fiserv, Cl A* | 8,160 | 837 | ||||||
Flir Systems | 4,800 | 158 | ||||||
Harris | 4,500 | 350 | ||||||
Hewlett Packard Enterprise | 64,391 | 1,142 | ||||||
HP | 64,691 | 797 | ||||||
Intel | 168,863 | 5,463 | ||||||
International Business Machines | 31,946 | 4,838 | ||||||
Intuit | 9,486 | 987 | ||||||
Juniper Networks | 12,700 | 324 | ||||||
KLA-Tencor | 5,471 | 398 | ||||||
Lam Research | 5,722 | 473 | ||||||
Linear Technology | 8,398 | 374 | ||||||
MasterCard, Cl A | 35,413 | 3,347 | ||||||
Microchip Technology | 7,304 | 352 | ||||||
Micron Technology* | 38,969 | 408 | ||||||
Microsoft | 284,389 | 15,707 | ||||||
Motorola Solutions | 5,789 | 438 | ||||||
NetApp | 10,185 | 278 | ||||||
Nvidia | 18,365 | 654 | ||||||
Oracle, Cl B | 113,323 | 4,636 | ||||||
Paychex | 11,469 | 619 | ||||||
PayPal Holdings* | 39,749 | 1,534 | ||||||
Qorvo* | 4,500 | 227 | ||||||
Qualcomm | 53,754 | 2,749 | ||||||
Red Hat* | 6,600 | 492 | ||||||
salesforce.com inc* | 22,309 | 1,647 | ||||||
SanDisk | 7,200 | 548 | ||||||
Seagate Technology | 10,700 | 369 | ||||||
Skyworks Solutions | 6,904 | 538 | ||||||
Symantec, Cl A | 24,247 | 446 | ||||||
TE Connectivity | 13,809 | 855 | ||||||
Teradata* | 4,568 | 120 | ||||||
Texas Instruments | 36,266 | 2,082 | ||||||
Total System Services | 5,889 | 280 | ||||||
VeriSign* | 3,500 | 310 | ||||||
Visa, Cl A | 69,618 | 5,324 | ||||||
Western Digital | 8,304 | 392 | ||||||
Western Union | 17,734 | �� | 342 | |||||
Xerox | 34,206 | 382 | ||||||
Xilinx | 9,209 | 437 | ||||||
Yahoo!* | 31,147 | 1,146 | ||||||
|
| |||||||
134,740 | ||||||||
|
| |||||||
Materials — 2.8% | ||||||||
Air Products & Chemicals | 6,926 | 998 |
Description | Shares | Market Value ($ Thousands) | ||||||
Airgas | 2,300 | $ | 326 | |||||
Alcoa | 47,035 | 451 | ||||||
Avery Dennison | 3,215 | 232 | ||||||
Ball | 4,786 | 341 | ||||||
CF Industries Holdings | 8,150 | 255 | ||||||
Dow Chemical, Cl A | 40,292 | 2,049 | ||||||
E.I. Du Pont de Nemours | 31,348 | 1,985 | ||||||
Eastman Chemical | 5,220 | 377 | ||||||
Ecolab | 9,534 | 1,063 | ||||||
FMC | 4,600 | 186 | ||||||
Freeport-McMoRan, Cl B (A) | 44,836 | 464 | ||||||
International Flavors & Fragrances | 2,894 | 329 | ||||||
International Paper | 14,874 | 610 | ||||||
LyondellBasell Industries, Cl A | 12,904 | 1,104 | ||||||
Martin Marietta Materials, Cl A | 2,400 | 383 | ||||||
Monsanto | 15,757 | 1,383 | ||||||
Mosaic | 12,009 | 324 | ||||||
Newmont Mining | 18,925 | 503 | ||||||
Nucor | 11,495 | 544 | ||||||
Owens-Illinois* | 5,600 | 89 | ||||||
PPG Industries | 9,690 | 1,080 | ||||||
Praxair | 10,199 | 1,167 | ||||||
Sealed Air | 6,928 | 333 | ||||||
Sherwin-Williams, Cl A | 2,816 | 802 | ||||||
Vulcan Materials | 4,749 | 501 | ||||||
WestRock | 9,184 | 358 | ||||||
|
| |||||||
18,237 | ||||||||
|
| |||||||
Telecommunication Services — 2.7% |
| |||||||
AT&T | 221,159 | 8,663 | ||||||
CenturyTel | 19,670 | 629 | ||||||
Frontier Communications | 40,960 | 229 | ||||||
Level 3 Communications* | 10,300 | 544 | ||||||
Verizon Communications | 146,496 | 7,922 | ||||||
|
| |||||||
17,987 | ||||||||
|
| |||||||
Utilities — 3.4% | ||||||||
AES | 24,190 | 285 | ||||||
AGL Resources | 4,200 | 274 | ||||||
Ameren | 8,753 | 439 | ||||||
American Electric Power | 17,615 | 1,170 | ||||||
American Water Works | 6,400 | 441 | ||||||
Centerpoint Energy | 15,485 | 324 | ||||||
CMS Energy | 9,901 | 420 | ||||||
Consolidated Edison | 10,533 | 807 | ||||||
Dominion Resources | 21,340 | 1,603 | ||||||
DTE Energy | 6,445 | 584 | ||||||
Duke Energy | 24,616 | 1,986 | ||||||
Edison International | 11,657 | 838 | ||||||
Entergy | 6,364 | 505 | ||||||
Eversource Energy | 11,335 | 661 | ||||||
Exelon | 32,955 | 1,182 |
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
S&P 500 Index (Concluded)
March 31, 2016
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FirstEnergy | 15,123 | $ | 544 | |||||
NextEra Energy | 16,520 | 1,955 | ||||||
NiSource | 11,192 | 264 | ||||||
NRG Energy | 11,113 | 145 | ||||||
PG&E | 17,529 | 1,047 | ||||||
Pinnacle West Capital | 3,949 | 296 | ||||||
PPL | 24,071 | 916 | ||||||
Public Service Enterprise Group | 18,130 | 855 | ||||||
SCANA | 5,004 | 351 | ||||||
Sempra Energy | 8,470 | 881 | ||||||
Southern | 32,535 | 1,683 | ||||||
TECO Energy | 8,212 | 226 | ||||||
WEC Energy Group | 11,319 | 680 | ||||||
Xcel Energy | 18,136 | 758 | ||||||
|
| |||||||
22,120 | ||||||||
|
| |||||||
Total Common Stock | 645,806 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 0.3% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.380%**† (B) | 2,211,733 | 2,212 | ||||||
|
| |||||||
Total Affiliated Partnership | 2,212 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 0.1% |
| |||||||
United States Treasury Bill | ||||||||
0.346%, 06/16/2016 (C) (D) | $ | 25 | 25 | |||||
0.452%, 09/08/2016 (C) (D) | 525 | 524 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 549 | |||||||
|
| |||||||
CASH EQUIVALENT — 1.6% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.300%**† | 10,204,884 | 10,205 | ||||||
|
| |||||||
Total Cash Equivalent | 10,205 | |||||||
|
| |||||||
Total Investments — 100.3% | $ | 658,772 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long) | Expiration Date | Unrealized Appreciation) ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 112 | Jun-2016 | $ | 246 | ||||||||
|
|
For the period ended March 31, 2016, 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 $656,628 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note6). |
‡ | Real Estate Investment Trust. |
(A) | This security or a partial position of this security is on loan at March 31, 2016 (see Note10). The total market value of securities on loan at March 31, 2016 was $2,176 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note10). The total market value of such securities as of March 31, 2016 was $2,212 ($ Thousands). |
(C) | The rate reported is the effective yield at time of purchase. |
(D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
The following is a list of the levels of inputs used as of March 31, 2016 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 | $ | 645,806 | $ | — | $ | — | $ | 645,806 | ||||||||
Affiliated Partnership | — | 2,212 | — | 2,212 | ||||||||||||
U.S. Treasury Obligations | — | 549 | — | 549 | ||||||||||||
Cash Equivalent | 10,205 | — | — | 10,205 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 656,011 | $ | 2,761 | $ | — | $ | 658,772 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 246 | $ | — | $ | — | $ | 246 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 246 | $ | — | $ | — | $ | 246 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation on the instrument. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 93.9% | ||||||||
Consumer Discretionary — 13.1% | ||||||||
2U* (A) | 31,131 | $ | 703 | |||||
Abercrombie & Fitch, Cl A (A) | 74,757 | 2,358 | ||||||
Bassett Furniture Industries (A) | 6,247 | 199 | ||||||
Big Lots | 36,304 | 1,644 | ||||||
Bright Horizons Family Solutions* | 35,718 | 2,314 | ||||||
Brinker International (A) | 7,200 | 331 | ||||||
Buffalo Wild Wings* | 4,399 | 651 | ||||||
Burlington Stores* | 6,041 | 340 | ||||||
Callaway Golf | 124,954 | 1,140 | ||||||
Capella Education | 3,279 | 173 | ||||||
Carmike Cinemas* (A) | 129,596 | 3,893 | ||||||
Cavco Industries* | 2,934 | 274 | ||||||
Chuy’s Holdings* | 27,347 | 850 | ||||||
ClubCorp Holdings (A) | 68,303 | 959 | ||||||
Cooper Tire & Rubber | 24,846 | 920 | ||||||
Cooper-Standard Holding* | 2,552 | 183 | ||||||
Core-Mark Holding, Cl A (A) | 18,008 | 1,469 | ||||||
Cracker Barrel Old Country Store (A) | 1,589 | 243 | ||||||
CROCS* (A) | 51,875 | 499 | ||||||
Dave & Buster’s Entertainment* | 34,829 | 1,351 | ||||||
Destination XL Group* | 41,000 | 212 | ||||||
Diamond Resorts International* (A) | 50,885 | 1,236 | ||||||
Express* (A) | 33,947 | 727 | ||||||
Fiesta Restaurant Group* | 89,434 | 2,932 | ||||||
Five Below* (A) | 34,033 | 1,407 | ||||||
Francesca’s Holdings* | 1,127 | 22 | ||||||
Genesco* | 16,500 | 1,192 | ||||||
Gray Television* | 41,351 | 485 | ||||||
Haverty Furniture | 803 | 17 | ||||||
Helen of Troy* | 11,121 | 1,153 | ||||||
Hooker Furniture | 2,893 | 95 | ||||||
J Alexander’s Holdings* | 2,750 | 29 | ||||||
Jack in the Box | 29,087 | 1,858 | ||||||
Libbey | 129,967 | 2,417 | ||||||
Lithia Motors, Cl A (A) | 12,482 | 1,090 | ||||||
Marriott Vacations Worldwide | 25,987 | 1,754 | ||||||
Matthews International, Cl A | 33,724 | 1,736 | ||||||
MDC Partners, Cl A | 326,972 | 7,716 | ||||||
Monro Muffler | 17,674 | 1,263 | ||||||
Motorcar Parts of America* | 4,860 | 185 | ||||||
NACCO Industries, Cl A (A) | 153 | 9 | ||||||
National CineMedia | 97,726 | 1,486 | ||||||
Nautilus* | 24,571 | 475 | ||||||
New York Times, Cl A | 3,410 | 42 | ||||||
Nexstar Broadcasting Group, Cl A (A) | 23,784 | 1,053 | ||||||
Nutrisystem | 22,883 | 477 | ||||||
Ollie’s Bargain Outlet Holdings* (A) | 32,580 | 763 | ||||||
Perry Ellis International, Cl A* | 2,805 | 52 | ||||||
Planet Fitness, Cl A* | 41,950 | 681 | ||||||
Pool | 37,509 | 3,291 | ||||||
Ruth’s Chris Steak House | 47,615 | 877 |
Description | Shares | Market Value ($ Thousands) | ||||||
Select Comfort* | 42,140 | $ | 817 | |||||
Shoe Carnival | 25,419 | 685 | ||||||
Six Flags Entertainment (A) | 3,768 | 209 | ||||||
Smith & Wesson Holding* (A) | 19,526 | 520 | ||||||
SodaStream International* (A) | 68,000 | 957 | ||||||
Steven Madden* | 83,077 | 3,077 | ||||||
Strayer Education* (A) | 221 | 11 | ||||||
Tempur-Pedic International* | 16,035 | 975 | ||||||
Tenneco* | 782 | 40 | ||||||
Texas Roadhouse, Cl A | 41,303 | 1,800 | ||||||
Tile Shop Holdings* (A) | 35,260 | 526 | ||||||
Tilly’s, Cl A* | 23,604 | 158 | ||||||
Tower International | 6,660 | 181 | ||||||
Vista Outdoor* | 19,008 | 987 | ||||||
Visteon | 9,683 | 771 | ||||||
VOXX International, Cl A* (A) | 96,600 | 432 | ||||||
Wayfair, Cl A* (A) | 12,419 | 537 | ||||||
William Lyon Homes, Cl A* | 125,222 | 1,814 | ||||||
ZAGG* (A) | 32,647 | 294 | ||||||
Zoe’s Kitchen* (A) | 15,779 | 615 | ||||||
|
| |||||||
72,632 | ||||||||
|
| |||||||
Consumer Staples — 2.4% | ||||||||
Andersons | 38,760 | 1,217 | ||||||
B&G Foods, Cl A | 41,246 | 1,436 | ||||||
Cal-Maine Foods (A) | 3,118 | 162 | ||||||
Central Garden & Pet, Cl A* | 2,941 | 48 | ||||||
Chefs’ Warehouse Holdings* | 46,991 | 953 | ||||||
Dean Foods (A) | 31,055 | 538 | ||||||
Diplomat Pharmacy* | 29,082 | 797 | ||||||
Fresh Del Monte Produce | 7,966 | 335 | ||||||
Fresh Market* | 19,578 | 559 | ||||||
Freshpet* | 141,122 | 1,034 | ||||||
Ingredion | 5,000 | 534 | ||||||
John B Sanfllippo & Son | 12,062 | 833 | ||||||
Lancaster Colony | 2,700 | 298 | ||||||
Landec* (A) | 110,729 | 1,163 | ||||||
Omega Protein* | 104,059 | 1,763 | ||||||
Pinnacle Foods | 5,050 | 226 | ||||||
Post Holdings* | 3,339 | 230 | ||||||
Sanderson Farms (A) | 5,596 | 505 | ||||||
SpartanNash | 6,320 | 192 | ||||||
SUPERVALU* (A) | 130,973 | 754 | ||||||
|
| |||||||
13,577 | ||||||||
|
| |||||||
Energy — 4.3% | ||||||||
Alberta Oilsands* | 184,500 | 17 | ||||||
Alon USA Energy (A) | 1,601 | 16 | ||||||
Ardmore Shipping (A) | 71,555 | 605 | ||||||
Bill Barrett* | 200,100 | 1,245 | ||||||
CARBO Ceramics (A) | 108,511 | 1,541 | ||||||
Carrizo Oil & Gas* (A) | 78,469 | 2,426 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Dril-Quip* | 7,838 | $ | 475 | |||||
Gulfport Energy* | 41,872 | 1,187 | ||||||
Matador Resources* (A) | 37,903 | 719 | ||||||
Matrix Service* | 56,537 | 1,001 | ||||||
Navigator Holdings* (A) | 47,150 | 761 | ||||||
Oil States International* | 57,278 | 1,805 | ||||||
Pacific Ethanol* | 208,851 | 977 | ||||||
Par Pacific Holdings* | 20,376 | 382 | ||||||
Patterson-UTI Energy | 49,830 | 878 | ||||||
PBF Energy, Cl A | 70,882 | 2,353 | ||||||
Prothena* (A) | 10,306 | 424 | ||||||
Scorpio Tankers | 302,880 | 1,766 | ||||||
Southwestern Energy* | 49,941 | 403 | ||||||
StealthGas* (A) | 99,434 | 351 | ||||||
Superior Energy Services (A) | 45,515 | 609 | ||||||
TETRA Technologies* | 193,570 | 1,229 | ||||||
Tidewater, Cl A (A) | 196,150 | 1,340 | ||||||
Western Refining | 14,498 | 422 | ||||||
Westmoreland Coal* (A) | 122,994 | 887 | ||||||
|
| |||||||
23,819 | ||||||||
|
| |||||||
Financials — 20.8% | ||||||||
Agree Realty‡ | 1,666 | 64 | ||||||
American Equity Investment Life Holding | 65,393 | 1,099 | ||||||
American Homes 4 Rent, Cl A‡ | 55,415 | 881 | ||||||
Argo Group International Holdings | 48,347 | 2,775 | ||||||
Armada Hoffler Properties‡ | 47,903 | 539 | ||||||
Axis Capital Holdings | 9,954 | 552 | ||||||
Bancorp* | 164,563 | 941 | ||||||
Capital Bank Financial, Cl A (A) | 20,095 | 620 | ||||||
Capitol Federal Financial | 126,793 | 1,681 | ||||||
CatchMark Timber Trust, Cl A‡ (A) | 117,916 | 1,277 | ||||||
Cedar Realty Trust‡ | 294,278 | 2,128 | ||||||
Central Pacific Financial (A) | 93,659 | 2,039 | ||||||
Chesapeake Lodging Trust‡ | 36,235 | 959 | ||||||
CNO Financial Group (A) | 229,718 | 4,117 | ||||||
Colony Financial, Cl A‡ | 3,686 | 62 | ||||||
Colony Starwood Homes‡ | 46,276 | 1,145 | ||||||
CoreSite Realty‡ (A) | 7,444 | 521 | ||||||
Cowen Group, Cl A* (A) | 6,002 | 23 | ||||||
Customers Bancorp* | 70,327 | 1,662 | ||||||
CyrusOne‡ | 13,110 | 598 | ||||||
Employers Holdings | 69,748 | 1,963 | ||||||
EPR Properties, Cl A‡ (A) | 22,241 | 1,482 | ||||||
Equity Commonwealth*‡ | 66,251 | 1,870 | ||||||
EverBank Financial, Cl A | 56,380 | 851 | ||||||
Evercore Partners, Cl A | 27,994 | 1,449 | ||||||
Everest Re Group | 2,650 | 523 | ||||||
FBL Financial Group, Cl A (A) | 3,392 | 209 | ||||||
FBR | 74,075 | 1,340 | ||||||
FelCor Lodging Trust‡ | 136,544 | 1,109 | ||||||
Fidelity Southern | 1,096 | 18 |
Description | Shares | Market Value ($ Thousands) | ||||||
First Commonwealth Financial | 186,262 | $ | 1,650 | |||||
First Foundation* | 15,500 | 348 | ||||||
First Interstate BancSystem, Cl A | 18,580 | 523 | ||||||
FNB (Pennsylvania) | 107,800 | 1,402 | ||||||
FNFV Group* | 91,559 | 993 | ||||||
Franklin Street Properties‡ | 5,316 | 56 | ||||||
Fulton Financial | 84,159 | 1,126 | ||||||
Geo Group‡ | 99,346 | 3,444 | ||||||
Gramercy Property Trust‡ | 278,764 | 2,356 | ||||||
Great Western Bancorp | 80,335 | 2,191 | ||||||
Green Dot, Cl A* (A) | 183,390 | 4,212 | ||||||
Hanover Insurance Group, Cl A | 42,553 | 3,839 | ||||||
Healthcare Trust of America, Cl A‡ | 95,165 | 2,800 | ||||||
Highwoods Properties‡ | 37,300 | 1,783 | ||||||
Houlihan Lokey, Cl A | 38,115 | 949 | ||||||
IBERIABANK | 24,660 | 1,264 | ||||||
Independent Bank | 2,893 | 42 | ||||||
Infinity Property & Casualty | 111 | 9 | ||||||
International. FCStone* | 6,193 | 166 | ||||||
Investors Bancorp | 260,028 | 3,027 | ||||||
Kearny Financial | 34,900 | 431 | ||||||
Kemper, Cl A | 50,300 | 1,487 | ||||||
Kennedy-Wilson Holdings (A) | 82,860 | 1,815 | ||||||
LaSalle Hotel Properties‡ (A) | 77,926 | 1,972 | ||||||
LendingTree* | 7,457 | 729 | ||||||
Maiden Holdings (A) | 168,927 | 2,186 | ||||||
Manning & Napier, Cl A | 44,600 | 360 | ||||||
Meridian Bancorp | 120,676 | 1,680 | ||||||
National Bank Holdings, Cl A | 61,704 | 1,258 | ||||||
National Health Investors‡ | 17,869 | 1,189 | ||||||
National Storage Affiliates Trust‡ | 26,737 | 567 | ||||||
NBT Bancorp (A) | 6,083 | 164 | ||||||
Northfield Bancorp (A) | 116,467 | 1,915 | ||||||
OFG Bancorp (A) | 455,855 | 3,186 | ||||||
Popular | 45,300 | 1,296 | ||||||
PrivateBancorp, Cl A | 41,900 | 1,617 | ||||||
PS Business Parks‡ (A) | 13,186 | 1,325 | ||||||
QTS Realty Trust, Cl A‡ | 47,852 | 2,267 | ||||||
Ryman Hospitality Properties‡ (A) | 13,185 | 679 | ||||||
Saul Centers‡ | 2,177 | 115 | ||||||
Selective Insurance Group | 41,125 | 1,506 | ||||||
Seritage Growth Properties‡ (A) | 22,500 | 1,124 | ||||||
ServisFirst Bancshares (A) | 4,486 | 199 | ||||||
Signature Bank NY, Cl B* (A) | 5,568 | 758 | ||||||
Sovran Self Storage‡ | 11,344 | 1,338 | ||||||
State Bank Financial | 96,720 | 1,911 | ||||||
Stifel Financial* (A) | 13,255 | 392 | ||||||
SVB Financial Group, Cl B* | 6,704 | 684 | ||||||
TCF Financial | 64,175 | 787 | ||||||
THL Credit | 31,600 | 342 | ||||||
Towne Bank (A) | 1,290 | 25 | ||||||
Two Harbors Investment‡ | 111,471 | 885 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
United Community Banks | 111,286 | $ | 2,055 | |||||
Universal Insurance Holdings (A) | 26,689 | 475 | ||||||
Voya Financial | 16,848 | 502 | ||||||
Webster Financial | 39,300 | 1,411 | ||||||
Western Alliance Bancorp* | 107,348 | 3,583 | ||||||
Wintrust Financial | 79,383 | 3,520 | ||||||
Yadkin Financial (A) | 41,800 | 989 | ||||||
|
| |||||||
115,401 | ||||||||
|
| |||||||
Health Care — 13.3% | ||||||||
ABIOMED* | 33,018 | 3,130 | ||||||
Acadia Healthcare, Cl A* | 11,337 | 625 | ||||||
Accuray* (A) | 358,433 | 2,072 | ||||||
Adamas Pharmaceuticals* | 31,166 | 451 | ||||||
Aimmune Therapeutics* (A) | 12,736 | 173 | ||||||
Akorn* | 18,115 | 426 | ||||||
Alder Biopharmaceuticals* (A) | 20,909 | 512 | ||||||
Alere* | 6,400 | 324 | ||||||
Align Technology* | 11,403 | 829 | ||||||
Almost Family* | 630 | 23 | ||||||
AMAG Pharmaceuticals* (A) | 59,166 | 1,384 | ||||||
Amedisys* | 5,328 | 258 | ||||||
Amicus Therapeutics* (A) | 83,673 | 707 | ||||||
AMN Healthcare Services* | 52,138 | 1,752 | ||||||
Amsurg* | 34,059 | 2,541 | ||||||
Anacor Pharmaceuticals* | 9,863 | 527 | ||||||
Analogic (A) | 33,122 | 2,617 | ||||||
BioDelivery Sciences International* | 455,902 | 1,473 | ||||||
Cambrex* | 16,326 | 718 | ||||||
Capital Senior Living* | 133,351 | 2,470 | ||||||
Community Health Systems* (A) | 104,284 | 1,930 | ||||||
Cross Country Healthcare* | 16,635 | 193 | ||||||
Cynosure, Cl A* | 92,330 | 4,074 | ||||||
Cytokinetics* (A) | 20,411 | 144 | ||||||
DENTSPLY SIRONA | 10,660 | 657 | ||||||
DexCom* | 8,647 | 587 | ||||||
Emergent BioSolutions* | 34,777 | 1,264 | ||||||
Enanta Pharmaceuticals* (A) | 2,679 | 79 | ||||||
FibroGen* | 8,106 | 173 | ||||||
Five Prime Therapeutics* | 13,593 | 552 | ||||||
Flamel Technologies ADR* (A) | 196,158 | 2,166 | ||||||
Globus Medical, Cl A* (A) | 137,626 | 3,269 | ||||||
Hill-Rom Holdings | 4,651 | 234 | ||||||
ICON* (A) | 10,548 | 792 | ||||||
ICU Medical* | 1,708 | 178 | ||||||
Integra LifeSciences Holdings* | 90,260 | 6,080 | ||||||
K2M Group Holdings* | 35,836 | 531 | ||||||
Kindred Healthcare (A) | 128,908 | 1,592 | ||||||
Kite Pharma* | 4,274 | 196 | ||||||
Lannett* (A) | 25,851 | 464 | ||||||
Lexicon Pharmaceuticals* (A) | 50,450 | 603 | ||||||
LHC Group* | 25,335 | 901 |
Description | Shares | Market Value ($ Thousands) | ||||||
Ligand Pharmaceuticals* (A) | 30,487 | $ | 3,265 | |||||
LivaNova* (A) | 5,331 | 288 | ||||||
Masimo* | 5,329 | 223 | ||||||
Medicines* (A) | 8,910 | 283 | ||||||
Molina Healthcare* (A) | 61,170 | 3,945 | ||||||
Myriad Genetics* (A) | 29,326 | 1,098 | ||||||
Natus Medical* | 39,917 | 1,534 | ||||||
Neovasc* | 13,648 | 58 | ||||||
Neurocrine Biosciences* | 8,001 | 316 | ||||||
Nevro* | 22,285 | 1,254 | ||||||
Nuvectra* | 1 | — | ||||||
Ophthotech* | 2,587 | 109 | ||||||
Orthofix International* | 3,026 | 126 | ||||||
PDL BioPharma | 181,096 | 603 | ||||||
Penumbra* (A) | 4,624 | 213 | ||||||
PharMerica* | 27,431 | 607 | ||||||
Premier, Cl A* | 19,004 | 634 | ||||||
Prestige Brands Holdings, Cl A* | 76,314 | 4,074 | ||||||
Sage Therapeutics* (A) | 6,962 | 223 | ||||||
SciClone Pharmaceuticals* | 50,083 | 551 | ||||||
Seres Therapeutics* (A) | 7,270 | 193 | ||||||
Supernus Pharmaceuticals* | 80,879 | 1,233 | ||||||
Surgical Care Affiliates* | 11,199 | 518 | ||||||
SurModics* | 2,845 | 52 | ||||||
TESARO* (A) | 10,955 | 482 | ||||||
Trevena* | 19,543 | 162 | ||||||
Trinity Biotech ADR | 114,500 | 1,335 | ||||||
Triple-S Management, Cl B* | 19,443 | 483 | ||||||
Ultragenyx Pharmaceutical* | 6,948 | 440 | ||||||
|
| |||||||
73,973 | ||||||||
|
| |||||||
Industrials — 15.1% | ||||||||
AAR | 6,860 | 160 | ||||||
Acacia Research (A) | 422,075 | 1,600 | ||||||
ACCO Brands* | 289,015 | 2,595 | ||||||
Actuant, Cl A (A) | 38,958 | 963 | ||||||
Air Transport Services Group* | 47,107 | 724 | ||||||
American Woodmark* | 3,419 | 255 | ||||||
Apogee Enterprises | 78,837 | 3,460 | ||||||
ARC Document Solutions* | 136,300 | 613 | ||||||
Atlas Air Worldwide Holdings* | 51,700 | 2,185 | ||||||
Barnes Group | 45,570 | 1,596 | ||||||
Beacon Roofing Supply* | 24,215 | 993 | ||||||
Carlisle | 14,061 | 1,399 | ||||||
Celadon Group (A) | 16,800 | 176 | ||||||
Comfort Systems USA | 15,165 | 482 | ||||||
Covanta Holding (A) | 30,500 | 514 | ||||||
Crane, Cl A | 37,820 | 2,037 | ||||||
DXP Enterprises* | 28,470 | 500 | ||||||
Dycom Industries* (A) | 21,800 | 1,410 | ||||||
EMCOR Group | 42,486 | 2,065 | ||||||
Engility Holdings* (A) | 49,499 | 929 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Ennis | 9,491 | $ | 186 | |||||
Forward Air | 27,595 | 1,251 | ||||||
FreightCar America, Cl A | 103,787 | 1,617 | ||||||
Generac Holdings* (A) | 18,000 | 670 | ||||||
Genesee & Wyoming, Cl A* (A) | 17,111 | 1,073 | ||||||
Gibraltar Industries* | 7,820 | 224 | ||||||
Global Brass & Copper Holdings | 3,382 | 84 | ||||||
Great Lakes Dredge & Dock* | 446,800 | 1,993 | ||||||
H&E Equipment Services | 72,734 | 1,275 | ||||||
Hawaiian Holdings* | 11,879 | 561 | ||||||
HEICO | 12,385 | 745 | ||||||
Heidrick & Struggles International | 3,508 | 83 | ||||||
Hexcel, Cl A | 22,393 | 979 | ||||||
Huron Consulting Group* | 43,691 | 2,542 | ||||||
ICF International, Cl A* | 71,884 | 2,471 | ||||||
IDEX | 12,447 | 1,032 | ||||||
ITT | 34,190 | 1,261 | ||||||
KBR | 31,700 | 491 | ||||||
Keyw Holding, Cl A* (A) | 119,693 | 795 | ||||||
Kirby* | 15,874 | 957 | ||||||
LB Foster, Cl A | 102,020 | 1,853 | ||||||
Lincoln Electric Holdings | 12,610 | 739 | ||||||
MasTec* | 99,621 | 2,016 | ||||||
Matson | 15,508 | 623 | ||||||
Meritor* | 55,986 | 451 | ||||||
Middleby* | 5,907 | 631 | ||||||
Mistras Group* | 741 | 18 | ||||||
Navigant Consulting* | 2,804 | 44 | ||||||
Northwest Pipe* (A) | 764 | 7 | ||||||
On Assignment* | 85,377 | 3,152 | ||||||
Orion Marine Group* (A) | 172,931 | 896 | ||||||
Patrick Industries* | 13,755 | 624 | ||||||
Paylocity Holding* (A) | 31,147 | 1,020 | ||||||
Primoris Services (A) | 59,646 | 1,449 | ||||||
Proto Labs* (A) | 15,912 | 1,227 | ||||||
RBC Bearings* | 9,022 | 661 | ||||||
Regal Beloit | 18,730 | 1,182 | ||||||
Resources Connection | 8,277 | 129 | ||||||
Scorpio Bulkers* | 1 | — | ||||||
Skywest | 29,034 | 580 | ||||||
Standex International | 18,982 | 1,477 | ||||||
Steelcase, Cl A | 181,402 | 2,706 | ||||||
Swift Transportation, Cl A* | 119,217 | 2,221 | ||||||
Titan Machinery* (A) | 169,124 | 1,955 | ||||||
Triumph Group (A) | 95,895 | 3,019 | ||||||
TrueBlue* | 15,285 | 400 | ||||||
Tutor Perini* | 118,267 | 1,838 | ||||||
United Rentals* | 6,276 | 390 | ||||||
Universal Forest Products | 1,683 | 144 | ||||||
Wabash National* | 49,569 | 654 | ||||||
WageWorks* | 66,104 | 3,345 |
Description | Shares | Market Value ($ Thousands) | ||||||
Wesco Aircraft Holdings* (A) | 246,500 | $ | 3,547 | |||||
|
| |||||||
83,944 | ||||||||
|
| |||||||
Information Technology — 18.6% | ||||||||
Acxiom* | 102,773 | 2,203 | ||||||
Advanced Energy Industries* | 7,526 | 262 | ||||||
Amkor Technology* | 22,958 | 135 | ||||||
Applied Micro Circuits* (A) | 85,000 | 549 | ||||||
Applied Optoelectronics* (A) | 29,149 | 435 | ||||||
Aspen Technology* | 38,533 | 1,392 | ||||||
Atlassian, Cl A* (A) | 15,627 | 393 | ||||||
Autobytel* | 11,672 | 203 | ||||||
AVG Technologies* | 6,395 | 133 | ||||||
Benchmark Electronics* | 20,734 | 478 | ||||||
Black Box | 99,116 | 1,335 | ||||||
Blackbaud, Cl A | 31,522 | 1,982 | ||||||
BroadSoft* (A) | 6,292 | 254 | ||||||
CACI International, Cl A* | 18,635 | 1,988 | ||||||
CalAmp* | 213,875 | 3,835 | ||||||
Callidus Software* | 146,906 | 2,450 | ||||||
Cardtronics* | 60,338 | 2,172 | ||||||
Cavium* | 31,371 | 1,919 | ||||||
Checkpoint Systems* | 19,089 | 193 | ||||||
Ciber* | 208,700 | 440 | ||||||
Ciena* | 61,565 | 1,171 | ||||||
Cimpress* (A) | 10,581 | 960 | ||||||
Coherent* (A) | 2,895 | 266 | ||||||
Cohu | 3,286 | 39 | ||||||
CommVault Systems* | 27,360 | 1,181 | ||||||
comScore* (A) | 21,760 | 654 | ||||||
Comtech Telecommunications | 1,289 | 30 | ||||||
Convergys | 46,980 | 1,305 | ||||||
Cornerstone OnDemand* (A) | 90,944 | 2,980 | ||||||
CoStar Group* | 4,618 | 869 | ||||||
Cypress Semiconductor (A) | 74,980 | 649 | ||||||
DHI Group* (A) | 9,999 | 81 | ||||||
Digi International* (A) | 77,042 | 727 | ||||||
EarthLink Holdings | 6,160 | 35 | ||||||
Electronics For Imaging* | 4,030 | 171 | ||||||
Ellie Mae* (A) | 2,686 | 243 | ||||||
EMCORE* | 17,708 | 89 | ||||||
Exar* | 281,161 | 1,617 | ||||||
ExlService Holdings* | 21,111 | 1,094 | ||||||
Extreme Networks* | 18,958 | 59 | ||||||
Finisar* | 22,800 | 416 | ||||||
GoDaddy, Cl A* (A) | 6,222 | 201 | ||||||
Guidewire Software, Cl Z* | 30,703 | 1,673 | ||||||
Heartland Payment Systems | 9,921 | 958 | ||||||
HubSpot* (A) | 30,224 | 1,318 | ||||||
II-VI* | 12,425 | 270 | ||||||
Imperva* (A) | 3,896 | 197 | ||||||
Infoblox* | 96,979 | 1,658 |
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Inphi* | 31,238 | $ | 1,041 | |||||
Integrated Device Technology* | 14,106 | 288 | ||||||
Ixia* | 11,123 | 139 | ||||||
IXYS | 6,111 | 69 | ||||||
j2 Global | 19,879 | 1,224 | ||||||
Keysight Technologies* | 12,000 | 333 | ||||||
Liquidity Services* | 8,846 | 46 | ||||||
Littelfuse | 17,971 | 2,212 | ||||||
Luxoft Holding, Cl A* | 6,446 | 355 | ||||||
Manhattan Associates* | 6,488 | 369 | ||||||
Marketo* (A) | 117,871 | 2,307 | ||||||
MAXIMUS | 69,081 | 3,636 | ||||||
MaxLinear, Cl A* | 90,278 | 1,670 | ||||||
Mellanox Technologies* | 11,410 | 620 | ||||||
Mercury Systems* | 17,800 | 361 | ||||||
Methode Electronics | 4,964 | 145 | ||||||
Microsemi* | 64,321 | 2,464 | ||||||
Monolithic Power Systems | 46,043 | 2,930 | ||||||
Monotype Imaging Holdings | 65,862 | 1,575 | ||||||
Multi-Fineline Electronix* | 9,880 | 229 | ||||||
NeoPhotonics* (A) | 32,043 | 450 | ||||||
NETGEAR* | 25,138 | 1,015 | ||||||
NeuStar, Cl A* (A) | 21,206 | 522 | ||||||
Oclaro* (A) | 98,978 | 534 | ||||||
Open Text (A) | 37,600 | 1,948 | ||||||
Orbotech* | 47,900 | 1,139 | ||||||
OSI Systems* (A) | 48,129 | 3,152 | ||||||
Pandora Media* (A) | 20,688 | 185 | ||||||
PDF Solutions* | 94,338 | 1,262 | ||||||
Perficient* | 122,234 | 2,655 | ||||||
Photronics* | 58,749 | 612 | ||||||
Plantronics | 8,300 | 325 | ||||||
Progress Software* | 7,668 | 185 | ||||||
Proofpoint* | 67,073 | 3,607 | ||||||
Q2 Holdings* | 11,190 | 269 | ||||||
QAD, Cl A | 32,674 | 694 | ||||||
Qlik Technologies* | 25,190 | 729 | ||||||
QuinStreet* | 4,338 | 15 | ||||||
RetailMeNot* (A) | 21,829 | 175 | ||||||
RingCentral, Cl A* | 51,995 | 819 | ||||||
Rovi* | 21,399 | 439 | ||||||
Rudolph Technologies* | 13,643 | 186 | ||||||
Sanmina* | 22,489 | 526 | ||||||
ShoreTel* | 20,772 | 155 | ||||||
Silicon Graphics International* (A) | 316,609 | 2,254 | ||||||
Silicon Laboratories* | 28,907 | 1,300 | ||||||
SS&C Technologies Holdings | 10,047 | 637 | ||||||
Stamps.com* | 852 | 91 | ||||||
SuperCom* (A) | 79,000 | 314 | ||||||
Sykes Enterprises* | 19,654 | 593 | ||||||
Synaptics* | 12,972 | 1,034 | ||||||
SYNNEX (A) | 7,471 | 692 |
Description | Shares | Market Value ($ Thousands) | ||||||
Take-Two Interactive Software, Cl A* | 107,046 | $ | 4,032 | |||||
Tech Data* | 12,871 | 988 | ||||||
TeleTech Holdings | 2,988 | 83 | ||||||
Tessera Technologies | 4,570 | 142 | ||||||
Ultimate Software Group* | 4,113 | 796 | ||||||
Ultratech* (A) | 67,390 | 1,472 | ||||||
United Online* | 7,788 | 90 | ||||||
VeriFone Holdings* | 12,720 | 359 | ||||||
Viavi Solutions* | 74,953 | 514 | ||||||
Xcerra* | 100,052 | 652 | ||||||
Zendesk* (A) | 7,471 | 156 | ||||||
|
| |||||||
103,472 | ||||||||
|
| |||||||
Materials — 3.0% | ||||||||
AEP Industries | 721 | 48 | ||||||
Allegheny Technologies (A) | 35,100 | 572 | ||||||
American Vanguard, Cl B (A) | 32,800 | 518 | ||||||
Berry Plastics Group* | 106,796 | 3,861 | ||||||
Cabot | 22,091 | 1,068 | ||||||
Carpenter Technology (A) | 15,000 | 513 | ||||||
FMC | 11,000 | 444 | ||||||
FutureFuel (A) | 3,082 | 36 | ||||||
Graphic Packaging Holding | 42,000 | 540 | ||||||
Headwaters, Cl A* | 61,394 | 1,218 | ||||||
Innospec | 2,015 | 87 | ||||||
LSB Industries* | 96,467 | 1,230 | ||||||
Neenah Paper, Cl A | 2,857 | 182 | ||||||
PolyOne | 73,137 | 2,212 | ||||||
Schweitzer-Mauduit International | 25,240 | 794 | ||||||
Sensient Technologies | 7,920 | 503 | ||||||
Stepan | 1,464 | 81 | ||||||
Summit Materials, Cl A* (A) | 34,052 | 662 | ||||||
United States Steel | 59,564 | 956 | ||||||
US Concrete* | 11,490 | 685 | ||||||
Worthington Industries | 7,000 | 249 | ||||||
|
| |||||||
16,459 | ||||||||
|
| |||||||
Telecommunication Services — 0.4% | ||||||||
8x8* | 19,315 | 194 | ||||||
Boingo Wireless* | 30,398 | 235 | ||||||
Cincinnati Bell, Cl A* | 17,877 | 69 | ||||||
IDT, Cl B | 4,288 | 67 | ||||||
Inteliquent | 25,369 | 407 | ||||||
Iridium Communications* (A) | 55,400 | 436 | ||||||
Telephone & Data Systems | 19,091 | 574 | ||||||
Vonage Holdings* | 94,889 | 434 | ||||||
|
| |||||||
2,416 | ||||||||
|
| |||||||
Utilities — 2.9% | ||||||||
ALLETE | 26,260 | 1,473 | ||||||
Cadiz* (A) | 46,300 | 242 | ||||||
California Water Service Group, Cl A (A) | 56,669 | 1,514 |
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
March 31, 2016
Description | Shares/ Number of Rights/ Face Amount | Market Value ($ Thousands) | ||||||
Chesapeake Utilities (A) | 24,252 | $ | 1,527 | |||||
Laclede Group | 48,138 | 3,261 | ||||||
ONE Gas (A) | 1,098 | 67 | ||||||
PNM Resources | 120,533 | 4,064 | ||||||
Portland General Electric (A) | 91,307 | 3,606 | ||||||
South Jersey Industries, Cl A | 18,702 | 532 | ||||||
|
| |||||||
16,286 | ||||||||
|
| |||||||
Total Common Stock | 521,979 | |||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.4% |
| |||||||
Financials — 0.4% | ||||||||
iShares Russell 2000 Value ETF | 24,500 | 2,284 | ||||||
|
| |||||||
Total Exchange Traded Fund | 2,284 | |||||||
|
| |||||||
RIGHTS — 0.0% | ||||||||
United States — 0.0% | ||||||||
Allos Therapeutics‡‡ | 46 | — | ||||||
|
| |||||||
Total Rights | — | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 12.0% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.380%**† (B) | 66,530,189 | 66,530 | ||||||
|
| |||||||
Total Affiliated Partnership | 66,530 | |||||||
�� |
|
| ||||||
U.S. TREASURY OBLIGATION — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.427%, 08/18/2016 (C) (D) | $ | 1,200 | 1,198 | |||||
|
| |||||||
Total U.S. Treasury Obligation | 1,198 | |||||||
|
| |||||||
CASH EQUIVALENT — 5.3% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.300%**† | 29,293,875 | 29,294 | ||||||
|
| |||||||
Total Cash Equivalent | 29,294 | |||||||
|
| |||||||
Total Investments — 111.8% | $ | 621,285 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 124 | Jun-2016 | $ | 644 | ||||||||
|
|
For the period ended March 31, 2016, 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 $555,856 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2016. |
‡‡ | Expiration date unavailable. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (See Note 6). |
(A) | This security or a partial position of this security is on loan at March 31, 2016 (See Note 10). The total market value of securities on loan at March 31, 2016 was $65,235 ($Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (See Note 10). The total market value of such securities as of March 31, 2016 was $66,530 ($Thousands). |
(C) | The rate reported is the effective yield at time of purchase. |
(D) | 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
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Concluded)
March 31, 2016
The following is a list of the levels of inputs used as of March 31, 2016 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 | $ | 521,979 | $ | — | $ | — | $ | 521,979 | ||||||||
Exchange Traded Fund | 2,284 | — | — | 2,284 | ||||||||||||
Affiliated Partnership | — | 66,530 | — | 66,530 | ||||||||||||
Rights | — | — | — | — | ||||||||||||
U.S. Treasury Obligation | — | 1,198 | — | 1,198 | ||||||||||||
Cash Equivalent | 29,294 | — | — | 29,294 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 553,557 | $ | 67,728 | $ | — | $ | 621,285 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 644 | $ | — | $ | — | $ | 644 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 644 | $ | — | $ | — | $ | 644 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation on the instrument. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
7 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK†† — 96.5% | ||||||||
Consumer Discretionary — 9.9% | ||||||||
Abercrombie & Fitch, Cl A (A) | 65,966 | $ | 2,080 | |||||
American Axle & Manufacturing Holdings* | 33,900 | 522 | ||||||
Big 5 Sporting Goods | 25,362 | 282 | ||||||
Big Lots (A) | 24,458 | 1,108 | ||||||
Bright Horizons Family Solutions* | 6,798 | 440 | ||||||
Brinker International (A) | 25,313 | 1,163 | ||||||
CalAtlantic Group (A) | 15,234 | 509 | ||||||
Callaway Golf | 88,642 | 808 | ||||||
Carmike Cinemas* | 54,232 | 1,629 | ||||||
ClubCorp Holdings | 49,238 | 691 | ||||||
Cooper Tire & Rubber (A) | 11,003 | 407 | ||||||
Cooper-Standard Holding* | 18,173 | 1,305 | ||||||
CROCS* (A) | 40,900 | 393 | ||||||
CSS Industries | 19,629 | 548 | ||||||
Dana Holding | 42,579 | 600 | ||||||
Deckers Outdoor* (A) | 3,731 | 223 | ||||||
Destination XL Group* (A) | 44,600 | 231 | ||||||
Fiesta Restaurant Group* | 10,756 | 353 | ||||||
Finish Line, Cl A | 21,700 | 458 | ||||||
GameStop, Cl A | 7,300 | 232 | ||||||
Genesco* (A) | 14,819 | 1,071 | ||||||
Group 1 Automotive | 3,600 | 211 | ||||||
Haverty Furniture | 9,400 | 199 | ||||||
Helen of Troy* (A) | 8,015 | 831 | ||||||
Libbey | 101,216 | 1,883 | ||||||
Lithia Motors, Cl A | 9,616 | 840 | ||||||
Marriott Vacations Worldwide (A) | 17,843 | 1,204 | ||||||
Matthews International, Cl A (A) | 27,020 | 1,391 | ||||||
MDC Partners, Cl A | 188,921 | 4,459 | ||||||
Meritage Homes* | 7,800 | 284 | ||||||
Nexstar Broadcasting Group, Cl A (A) | 12,410 | 549 | ||||||
Outerwall (A) | 6,400 | 237 | ||||||
Pool (A) | 10,795 | 947 | ||||||
Rent-A-Center (A) | 22,000 | 349 | ||||||
Select Comfort* (A) | 27,700 | 537 | ||||||
Sequential Brands Group* (A) | 89,081 | 569 | ||||||
Shoe Carnival | 7,100 | 191 | ||||||
Six Flags Entertainment | 22,218 | 1,233 | ||||||
Smith & Wesson Holding* (A) | 24,251 | 646 | ||||||
SodaStream International* (A) | 50,972 | 718 | ||||||
Sonic Automotive, Cl A | 14,700 | 272 | ||||||
Stage Stores (A) | 40,915 | 330 | ||||||
Steven Madden* (A) | 25,022 | 927 | ||||||
Stoneridge* | 23,900 | 348 | ||||||
Texas Roadhouse, Cl A (A) | 21,315 | 929 | ||||||
Vera Bradley* | 21,900 | 445 | ||||||
Vista Outdoor* | 16,120 | 837 | ||||||
Wendy’s (A) | 84,744 | 923 | ||||||
|
| |||||||
37,342 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Consumer Staples — 3.4% | ||||||||
Andersons (A) | 28,606 | $ | 899 | |||||
B&G Foods, Cl A (A) | 24,131 | 840 | ||||||
Dean Foods | 34,487 | 597 | ||||||
Fresh Del Monte Produce | 12,890 | 542 | ||||||
Freshpet* (A) | 49,768 | 365 | ||||||
Ingles Markets, Cl A | 14,834 | 556 | ||||||
John B Sanfilippo & Son | 4,918 | 340 | ||||||
Landec* (A) | 141,074 | 1,481 | ||||||
Omega Protein* | 74,753 | 1,266 | ||||||
Pinnacle Foods | 21,405 | 956 | ||||||
Sanderson Farms (A) | 20,031 | 1,807 | ||||||
SpartanNash | 45,842 | 1,390 | ||||||
SUPERVALU* | 120,457 | 694 | ||||||
Universal (A) | 15,000 | 852 | ||||||
Weis Markets | 4,700 | 212 | ||||||
|
| |||||||
12,797 | ||||||||
|
| |||||||
Energy — 5.4% | ||||||||
Alon USA Energy | 41,641 | 430 | ||||||
Ardmore Shipping (A) | 84,361 | 713 | ||||||
Bill Barrett* (A) | 156,731 | 975 | ||||||
Bristow Group (A) | 8,000 | 151 | ||||||
CARBO Ceramics (A) | 83,341 | 1,183 | ||||||
Carrizo Oil & Gas* (A) | 35,171 | 1,088 | ||||||
Concho Resources* (A) | 10,376 | 1,048 | ||||||
Dawson Geophysical* | 8,812 | 40 | ||||||
DHT Holdings | 43,900 | 253 | ||||||
Green Plains | 9,700 | 155 | ||||||
Gulfport Energy* | 34,600 | 981 | ||||||
Matrix Service* | 26,600 | 471 | ||||||
Navigator Holdings* | 37,469 | 605 | ||||||
Northern Oil And Gas* (A) | 36,400 | 145 | ||||||
Oil States International* (A) | 17,885 | 564 | ||||||
Pacific Ethanol* (A) | 163,253 | 764 | ||||||
Patterson-UTI Energy (A) | 32,715 | 576 | ||||||
PBF Energy, Cl A | 76,803 | 2,550 | ||||||
Scorpio Tankers (A) | 228,100 | 1,330 | ||||||
Southwestern Energy* (A) | 36,223 | 292 | ||||||
StealthGas* | 108,300 | 382 | ||||||
Superior Energy Services | 50,820 | 680 | ||||||
Teekay Tankers, Cl A (A) | 78,665 | 289 | ||||||
TETRA Technologies* | 175,574 | 1,115 | ||||||
Tidewater, Cl A (A) | 183,577 | 1,254 | ||||||
Westmoreland Coal* (A) | 98,300 | 709 | ||||||
World Fuel Services | 33,584 | 1,632 | ||||||
|
| |||||||
20,375 | ||||||||
|
| |||||||
Financials — 34.6% | ||||||||
1st Source | 14,280 | 455 | ||||||
Affiliated Managers Group* (A) | 5,558 | 903 | ||||||
Agree Realty‡ (A) | 23,175 | 892 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Alexandria Real Estate Equities‡ (A) | 1,000 | $ | 91 | |||||
American Equity Investment Life Holding | 24,109 | 405 | ||||||
American Homes 4 Rent, Cl A‡ | 51,329 | 816 | ||||||
AmTrust Financial Services | 11,200 | 290 | ||||||
Anworth Mortgage Asset‡ | 126,461 | 589 | ||||||
Apartment Investment & Management, Cl A‡ | 2,553 | 107 | ||||||
Apollo Commercial Real Estate Finance‡ (A) | 19,300 | 315 | ||||||
Argo Group International Holdings | 22,038 | 1,265 | ||||||
ARMOUR Residential, Cl REIT‡ (A) | 17,545 | 378 | ||||||
Ashford* | 509 | 23 | ||||||
Ashford Hospitality Prime‡ (A) | 32,573 | 380 | ||||||
Ashford Hospitality Trust‡ (A) | 103,152 | 658 | ||||||
Aspen Insurance Holdings | 16,741 | 799 | ||||||
Banc of California | 17,800 | 312 | ||||||
Banco Latinoamericano de Exportaciones, Cl E | 31,400 | 761 | ||||||
Berkshire Hills Bancorp | 19,546 | 526 | ||||||
BGC Partners, Cl A | 122,404 | 1,108 | ||||||
BlackRock Capital Investment | 72,054 | 678 | ||||||
Brandywine Realty Trust‡ (A) | 24,200 | 340 | ||||||
Brixmor Property Group‡ | 2,550 | 65 | ||||||
Camden National | 10,400 | 437 | ||||||
Camden Property Trust‡ (A) | 475 | 40 | ||||||
Capitol Federal Financial (A) | 71,595 | 949 | ||||||
Cash America International (A) | 12,147 | 469 | ||||||
CatchMark Timber Trust, Cl A‡ (A) | 144,645 | 1,567 | ||||||
CBL & Associates Properties‡ | 28,700 | 342 | ||||||
Cedar Realty Trust‡ | 238,567 | 1,725 | ||||||
Central Pacific Financial | 100,049 | 2,178 | ||||||
Chatham Lodging Trust‡ | 24,600 | 527 | ||||||
Chesapeake Lodging Trust‡ (A) | 24,990 | 661 | ||||||
CNO Financial Group (A) | 218,853 | 3,922 | ||||||
Colony Starwood Homes‡ (A) | 113,334 | 2,805 | ||||||
Columbia Banking System (A) | 73,712 | 2,205 | ||||||
Community Trust Bancorp | 14,480 | 511 | ||||||
Customers Bancorp* | 64,300 | 1,519 | ||||||
CYS Investments‡ (A) | 45,374 | 369 | ||||||
DuPont Fabros Technology‡ | 21,706 | 880 | ||||||
Dynex Capital‡ | 83,469 | 555 | ||||||
Employers Holdings | 73,159 | 2,059 | ||||||
Endurance Specialty Holdings | 20,182 | 1,319 | ||||||
Enterprise Financial Services | 4,550 | 123 | ||||||
EPR Properties, Cl A‡ (A) | 45,058 | 3,002 | ||||||
Equity Commonwealth*‡ | 71,225 | 2,010 | ||||||
Equity One, Cl A‡ | 12,064 | 346 | ||||||
EverBank Financial, Cl A (A) | 46,210 | 697 | ||||||
Evercore Partners, Cl A | 16,794 | 869 | ||||||
Everest Re Group | 2,920 | 577 | ||||||
FBR | 49,200 | 890 | ||||||
Federal Agricultural Mortgage, Cl C | 16,494 | 622 | ||||||
FelCor Lodging Trust‡ (A) | 93,179 | 757 |
Description | Shares | Market Value ($ Thousands) | ||||||
First Busey | 17,533 | $ | 359 | |||||
First Commonwealth Financial (A) | 182,254 | 1,615 | ||||||
First Community Bancshares | 24,295 | 482 | ||||||
First Foundation* | 16,900 | 379 | ||||||
First Interstate BancSystem, Cl A (A) | 23,250 | 654 | ||||||
Flushing Financial | 29,300 | 633 | ||||||
FNB (Pennsylvania) (A) | 19,650 | 256 | ||||||
FNFV Group* | 61,500 | 667 | ||||||
Forest City Realty Trust, Cl A‡ | 39,325 | 829 | ||||||
Franklin Street Properties‡ | 112,407 | 1,193 | ||||||
Fulton Financial (A) | 167,050 | 2,235 | ||||||
Gaming and Leisure Properties‡ (A) | 44,723 | 1,383 | ||||||
GEO Group‡ | 88,800 | 3,079 | ||||||
Gladstone Commercial‡ | 37,317 | 611 | ||||||
Gramercy Property Trust‡ (A) | 168,979 | 1,428 | ||||||
Great Western Bancorp | 42,179 | 1,150 | ||||||
Green Dot, Cl A* (A) | 133,571 | 3,068 | ||||||
Hancock Holding, Cl A (A) | 52,103 | 1,196 | ||||||
Hanover Insurance Group, Cl A | 39,262 | 3,542 | ||||||
Hercules Technology Growth Capital, Cl A | 37,894 | 455 | ||||||
Hersha Hospitality Trust, Cl A‡ (A) | 87,074 | 1,858 | ||||||
Highwoods Properties‡ (A) | 21,772 | 1,041 | ||||||
Hospitality Properties Trust‡ (A) | 12,900 | 343 | ||||||
Howard Hughes* (A) | 13,511 | 1,431 | ||||||
IBERIABANK | 25,857 | 1,326 | ||||||
Infinity Property & Casualty | 4,236 | 341 | ||||||
International Bancshares (A) | 26,800 | 661 | ||||||
Investors Bancorp | 196,931 | 2,292 | ||||||
Kearny Financial | 38,000 | 469 | ||||||
Kemper, Cl A (A) | 54,900 | 1,623 | ||||||
Kennedy-Wilson Holdings (A) | 69,016 | 1,511 | ||||||
Liberty Property Trust‡ | 1,150 | 38 | ||||||
Mack-Cali Realty‡ (A) | 15,200 | 357 | ||||||
Maiden Holdings (A) | 188,437 | 2,438 | ||||||
MainSource Financial Group | 32,593 | 687 | ||||||
MB Financial (A) | 24,311 | 789 | ||||||
Medical Properties Trust‡ (A) | 74,492 | 967 | ||||||
Meridian Bancorp | 106,900 | 1,488 | ||||||
MFA Financial‡ (A) | 45,000 | 308 | ||||||
Mortgage Investment Trust‡ | 31,051 | 406 | ||||||
National Bank Holdings, Cl A | 71,890 | 1,466 | ||||||
National Health Investors‡ | 7,454 | 496 | ||||||
Nelnet, Cl A | 18,916 | 745 | ||||||
New Residential Investment‡ | 31,400 | 365 | ||||||
Northfield Bancorp (A) | 125,367 | 2,061 | ||||||
OceanFirst Financial | 24,200 | 428 | ||||||
OFG Bancorp (A) | 409,011 | 2,859 | ||||||
Old National Bancorp, Cl A (A) | 92,000 | 1,121 | ||||||
Oppenheimer Holdings, Cl A | 11,000 | 174 | ||||||
PacWest Bancorp (A) | 38,520 | 1,431 | ||||||
PennyMac Mortgage Investment Trust‡ | 18,700 | 255 | ||||||
Piedmont Office Realty Trust, Cl A‡ | 25,550 | 519 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Piper Jaffray* | 14,622 | $ | 725 | |||||
Popular | 62,900 | 1,800 | ||||||
Post Properties‡ (A) | 550 | 33 | ||||||
Preferred Bank | 4,500 | 136 | ||||||
Primerica (A) | 9,600 | 428 | ||||||
PrivateBancorp, Cl A (A) | 12,652 | 488 | ||||||
QTS Realty Trust, Cl A‡ (A) | 26,527 | 1,257 | ||||||
Radian Group | 30,107 | 373 | ||||||
Regency Centers‡ (A) | 881 | 66 | ||||||
Republic Bancorp, Cl A | 16,500 | 426 | ||||||
Retail Opportunity Investments‡ (A) | 1,900 | 38 | ||||||
Select Income‡ | 35,300 | 814 | ||||||
Selective Insurance Group | 32,465 | 1,189 | ||||||
Seritage Growth Properties‡ | 24,600 | 1,229 | ||||||
SLM* | 62,872 | 400 | ||||||
Starwood Property Trust‡ | 79,897 | 1,512 | ||||||
State Bank Financial (A) | 85,600 | 1,691 | ||||||
Summit Hotel Properties‡ | 78,954 | 945 | ||||||
Sunstone Hotel Investors‡ | 1,383 | 19 | ||||||
TCF Financial | 128,837 | 1,580 | ||||||
THL Credit | 55,928 | 606 | ||||||
Tompkins Financial (A) | 8,000 | 512 | ||||||
TriCo Bancshares | 6,650 | 168 | ||||||
Two Harbors Investment‡ (A) | 52,900 | 420 | ||||||
Union Bankshares | 18,400 | 453 | ||||||
United Community Banks | 69,000 | 1,274 | ||||||
United Fire Group | 9,380 | 411 | ||||||
United Insurance Holdings | 19,911 | 383 | ||||||
Validus Holdings | 27,291 | 1,288 | ||||||
Walker & Dunlop* (A) | 1,500 | 36 | ||||||
Webster Financial (A) | 27,435 | 985 | ||||||
WesBanco (A) | 10,000 | 297 | ||||||
Western Alliance Bancorp* | 48,055 | 1,604 | ||||||
Western Asset Mortgage Capital‡ (A) | 41,719 | 419 | ||||||
Wintrust Financial | 19,045 | 844 | ||||||
World Acceptance* (A) | 5,149 | 195 | ||||||
Yadkin Financial | 53,743 | 1,272 | ||||||
|
| |||||||
130,912 | ||||||||
|
| |||||||
Health Care — 6.3% | ||||||||
Accuray* | 300,721 | 1,738 | ||||||
Air Methods* (A) | 27,882 | 1,010 | ||||||
Alere* | 7,000 | 354 | ||||||
Amsurg* (A) | 14,869 | 1,109 | ||||||
Analogic (A) | 21,153 | 1,671 | ||||||
Community Health Systems* (A) | 76,640 | 1,419 | ||||||
Cynosure, Cl A* (A) | 16,055 | 708 | ||||||
Emergent BioSolutions* | 30,753 | �� | 1,118 | |||||
Exactech* | 12,600 | 255 | ||||||
Globus Medical, Cl A* (A) | 40,774 | 968 | ||||||
Integra LifeSciences Holdings* (A) | 34,638 | 2,333 | ||||||
Kindred Healthcare | 126,674 | 1,564 |
Description | Shares | Market Value ($ Thousands) | ||||||
Lannett* (A) | 21,364 | $ | 383 | |||||
LHC Group* | 9,111 | 324 | ||||||
LifePoint Hospitals* | 8,400 | 582 | ||||||
Ligand Pharmaceuticals* (A) | 30,092 | 3,223 | ||||||
Luminex* | 17,283 | 335 | ||||||
Magellan Health* | 7,385 | 502 | ||||||
Nuvectra* | — | — | ||||||
PDL BioPharma | 112,744 | 376 | ||||||
PerkinElmer | 7,138 | 353 | ||||||
PharMerica* | 21,876 | 484 | ||||||
Prestige Brands Holdings, Cl A* | 15,910 | 850 | ||||||
SciClone Pharmaceuticals* | 9,400 | 103 | ||||||
Select Medical Holdings (A) | 29,500 | 348 | ||||||
Trinity Biotech ADR | 125,200 | 1,460 | ||||||
Triple-S Management, Cl B* | 16,694 | 415 | ||||||
|
| |||||||
23,985 | ||||||||
|
| |||||||
Industrials — 15.3% | ||||||||
AAR (A) | 20,200 | 470 | ||||||
Acacia Research | 277,393 | 1,051 | ||||||
ACCO Brands* | 285,859 | 2,567 | ||||||
Actuant, Cl A (A) | 23,044 | 569 | ||||||
Aegion, Cl A* | 35,700 | 753 | ||||||
Air Transport Services Group* | 50,500 | 777 | ||||||
Aircastle (A) | 20,300 | 451 | ||||||
Alamo Group | 5,400 | 301 | ||||||
Alaska Air Group (A) | 4,500 | 369 | ||||||
American Railcar Industries (A) | 5,800 | 236 | ||||||
ARC Document Solutions* | 96,637 | 435 | ||||||
ArcBest | 9,200 | 199 | ||||||
Atlas Air Worldwide Holdings* | 48,212 | 2,038 | ||||||
Babcock & Wilcox Enterprises* | 40,105 | 858 | ||||||
Barnes Group | 31,420 | 1,101 | ||||||
Beacon Roofing Supply* (A) | 21,233 | 871 | ||||||
Briggs & Stratton (A) | 17,900 | 428 | ||||||
BWX Technologies, Cl W | 56,627 | 1,900 | ||||||
CEB (A) | 5,770 | 373 | ||||||
Celadon Group (A) | 18,300 | 192 | ||||||
Covanta Holding | 33,200 | 560 | ||||||
Crane, Cl A | 19,781 | 1,065 | ||||||
Deluxe (A) | 8,100 | 506 | ||||||
DXP Enterprises* | 19,896 | 349 | ||||||
EMCOR Group | 31,850 | 1,548 | ||||||
Engility Holdings* | 41,755 | 783 | ||||||
Ennis | 31,957 | 625 | ||||||
Essendant (A) | 6,500 | 208 | ||||||
Forward Air (A) | 23,246 | 1,053 | ||||||
FreightCar America, Cl A | 82,709 | 1,289 | ||||||
Generac Holdings* (A) | 22,839 | 851 | ||||||
Genesee & Wyoming, Cl A* (A) | 18,271 | 1,146 | ||||||
Great Lakes Dredge & Dock* (A) | �� | 488,300 | 2,178 | |||||
H&E Equipment Services | 27,448 | 481 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Hawaiian Holdings* (A) | 18,300 | $ | 864 | |||||
Hillenbrand (A) | 10,600 | 317 | ||||||
Hyster-Yale Materials Handling | 16,739 | 1,115 | ||||||
ICF International, Cl A* | 61,253 | 2,105 | ||||||
ITT | 27,429 | 1,012 | ||||||
JetBlue Airways* (A) | 20,636 | 436 | ||||||
Kadant | 13,205 | 596 | ||||||
Kaman, Cl A (A) | 16,979 | 725 | ||||||
KAR Auction Services | 39,486 | 1,506 | ||||||
KBR | 34,500 | 534 | ||||||
Keyw Holding, Cl A* (A) | 98,000 | 651 | ||||||
LB Foster, Cl A | 56,873 | 1,033 | ||||||
Matson | 11,167 | 449 | ||||||
Meritor* | 65,368 | 527 | ||||||
Navigant Consulting* | 24,108 | 381 | ||||||
Orion Marine Group* (A) | 182,600 | 946 | ||||||
Primoris Services (A) | 32,900 | 799 | ||||||
Proto Labs* | 14,694 | 1,133 | ||||||
Quad | 18,500 | 239 | ||||||
Regal Beloit (A) | 16,587 | 1,046 | ||||||
RR Donnelley & Sons | 18,986 | 311 | ||||||
Scorpio Bulkers* | 1 | — | ||||||
Skywest (A) | 41,622 | 832 | ||||||
Standex International | 13,416 | 1,044 | ||||||
TAL International Group (A) | 10,400 | 161 | ||||||
Teledyne Technologies* (A) | 14,568 | 1,284 | ||||||
Titan Machinery* | 106,137 | 1,227 | ||||||
Triumph Group (A) | 86,901 | 2,736 | ||||||
Tutor Perini* (A) | 112,087 | 1,742 | ||||||
Universal Forest Products | 5,120 | 439 | ||||||
VSE | 3,500 | 238 | ||||||
Wabash National* (A) | 40,100 | 529 | ||||||
Wesco Aircraft Holdings* (A) | 170,106 | 2,448 | ||||||
|
| |||||||
57,986 | ||||||||
|
| |||||||
Information Technology — 13.0% |
| |||||||
ACI Worldwide* (A) | 62,637 | 1,302 | ||||||
Amkor Technology* (A) | 158,775 | 935 | ||||||
Applied Micro Circuits* (A) | 123,521 | 798 | ||||||
Benchmark Electronics* | 53,334 | 1,229 | ||||||
Black Box | 68,208 | 919 | ||||||
Blackbaud, Cl A (A) | 12,840 | 808 | ||||||
CACI International, Cl A* | 11,830 | 1,262 | ||||||
Ciber* | 226,900 | 479 | ||||||
Coherent* | 6,727 | 618 | ||||||
CommVault Systems* | 17,985 | 776 | ||||||
comScore* (A) | 14,305 | 430 | ||||||
Convergys | 98,690 | 2,741 | ||||||
CSG Systems International | 13,339 | 602 | ||||||
Cypress Semiconductor (A) | 48,401 | 419 | ||||||
Digi International* | 75,970 | 716 | ||||||
ePlus* (A) | 2,800 | 225 |
Description | Shares | Market Value ($ Thousands) | ||||||
Exar* (A) | 304,100 | $ | 1,749 | |||||
ExlService Holdings* | 15,714 | 814 | ||||||
Fabrinet* | 15,612 | 505 | ||||||
Finisar* | 28,346 | 517 | ||||||
IAC | 12,688 | 597 | ||||||
Inphi* | 15,139 | 505 | ||||||
Insight Enterprises* | 33,884 | 971 | ||||||
InterDigital | 11,815 | 658 | ||||||
j2 Global | 25,149 | 1,549 | ||||||
Kulicke & Soffa Industries* | 29,000 | 328 | ||||||
Littelfuse | 11,769 | 1,449 | ||||||
MaxLinear, Cl A* | 41,396 | 766 | ||||||
Mentor Graphics | 15,600 | 317 | ||||||
Mercury Systems* | 29,980 | 609 | ||||||
Microsemi* (A) | 24,109 | 924 | ||||||
MoneyGram International* | 26,500 | 162 | ||||||
Monolithic Power Systems (A) | 8,770 | 558 | ||||||
Multi-Fineline Electronix* | 15,337 | 356 | ||||||
NeoPhotonics* | 33,057 | 464 | ||||||
NETGEAR* | 37,845 | 1,528 | ||||||
NeuStar, Cl A* (A) | 15,747 | 387 | ||||||
Open Text | 19,910 | 1,031 | ||||||
Orbotech* | 16,373 | 389 | ||||||
OSI Systems* (A) | 35,715 | 2,339 | ||||||
Photronics* | 57,743 | 601 | ||||||
Plantronics (A) | 13,169 | 516 | ||||||
QAD, Cl A | 34,400 | 731 | ||||||
QLogic* | 60,240 | 810 | ||||||
Qorvo* (A) | 15,417 | 777 | ||||||
Sanmina* | 55,105 | 1,288 | ||||||
Silicon Graphics International* (A) | 225,114 | 1,603 | ||||||
SuperCom* (A) | 86,200 | 343 | ||||||
Sykes Enterprises* | 28,036 | 846 | ||||||
SYNNEX (A) | 15,760 | 1,459 | ||||||
Take-Two Interactive Software, Cl A* | 47,676 | 1,796 | ||||||
Tech Data* | 15,103 | 1,160 | ||||||
TeleTech Holdings (A) | 21,611 | 600 | ||||||
Tessera Technologies | 14,491 | 449 | ||||||
Ultratech* | 63,471 | 1,386 | ||||||
Viavi Solutions* | 53,280 | 366 | ||||||
Xcerra* | 106,900 | 697 | ||||||
|
| |||||||
49,159 | ||||||||
|
| |||||||
Materials — 3.8% | ||||||||
Allegheny Technologies | 38,735 | 632 | ||||||
American Vanguard, Cl B | 21,498 | 339 | ||||||
Cabot | 42,128 | 2,036 | ||||||
Carpenter Technology (A) | 16,400 | 561 | ||||||
Clearwater Paper* | 10,489 | 509 | ||||||
Compass Minerals International, Cl A (A) | 9,629 | 682 | ||||||
Domtar | 7,700 | 312 | ||||||
FMC (A) | 29,434 | 1,188 |
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Glatfelter | 14,800 | $ | 307 | |||||
Headwaters, Cl A* | 43,110 | 855 | ||||||
Huntsman | 36,026 | 479 | ||||||
Innospec | 22,958 | 996 | ||||||
LSB Industries* (A) | 69,387 | 885 | ||||||
Neenah Paper, Cl A | 500 | 32 | ||||||
Schweitzer-Mauduit International | 50,258 | 1,582 | ||||||
Sensient Technologies (A) | 8,348 | 530 | ||||||
Silgan Holdings (A) | 27,729 | 1,474 | ||||||
United States Steel (A) | 49,414 | 793 | ||||||
|
| |||||||
14,192 | ||||||||
|
| |||||||
Telecommunication Services — 0.6% |
| |||||||
Atlantic Telegraph-Network (A) | 4,863 | 369 | ||||||
Inteliquent | 35,000 | 562 | ||||||
Iridium Communications* (A) | 137,000 | 1,078 | ||||||
Vonage Holdings* | 86,726 | 396 | ||||||
|
| |||||||
2,405 | ||||||||
|
| |||||||
Utilities — 4.2% | ||||||||
ALLETE (A) | 21,493 | 1,205 | ||||||
Avista (A) | 13,700 | 559 | ||||||
Black Hills, Cl A | 7,100 | 427 | ||||||
Cadiz* (A) | 50,400 | 263 | ||||||
California Water Service Group, Cl A (A) | 35,710 | 954 | ||||||
Chesapeake Utilities (A) | 24,405 | 1,537 | ||||||
Laclede Group (A) | 27,070 | 1,834 | ||||||
Piedmont Natural Gas | 5,877 | 352 | ||||||
Pinnacle West Capital | 6,076 | 456 | ||||||
PNM Resources | 95,237 | 3,211 | ||||||
Portland General Electric | 92,696 | 3,661 | ||||||
South Jersey Industries, Cl A (A) | 19,571 | 557 | ||||||
Southwest Gas | 13,431 | 884 | ||||||
|
| |||||||
15,900 | ||||||||
|
| |||||||
Total Common Stock | 365,053 | |||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.5% |
| |||||||
Exchange Traded Fund — 0.5% |
| |||||||
iShares Russell 2000 Value ETF | 21,450 | 1,999 | ||||||
|
| |||||||
Total Exchange Traded Fund | 1,999 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 38.4% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.380% **† (B) | 145,351,315 | 145,351 | ||||||
|
|
Description | Shares/Face ($ Thousands) | Market Value ($ Thousands) | ||||||
Total Affiliated Partnership |
| $ | 145,351 | |||||
|
| |||||||
U.S. TREASURY OBLIGATION — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.411%, 08/18/2016 (C) | $ | 375 | 375 | |||||
|
| |||||||
Total U.S. Treasury Obligation |
| 375 | ||||||
|
| |||||||
CASH EQUIVALENT — 3.1% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.300% **† | 11,812,024 | 11,812 | ||||||
|
| |||||||
Total Cash Equivalent |
| 11,812 | ||||||
|
| |||||||
Total Investments — 138.6% |
| $ | 524,590 | |||||
|
|
Percentages are based on a Net Assets of $378,407 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2016. |
†† | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | This security or a partial position of this security is on loan at March 31, 2016 (see Note 10). The total market value of securities on loan at March 31, 2016 was $142,235 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of March 31, 2016 was $145,351 ($ Thousands). |
(C) | The rate reported is the effective yield at time of purchase. |
ADR — American Depositary Receipt
Cl — Class
ETF — Exchange Traded Fund
L.P. — Limited Partnership
The following is a list of the levels of inputs used as of March 31, 2016 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 | $ | 365,053 | $ | — | $ | — | $ | 365,053 | ||||||||
Exchange Traded Fund | 1,999 | — | — | 1,999 | ||||||||||||
Affiliated Partnership | — | 145,351 | — | 145,351 | ||||||||||||
U.S. Treasury Obligation | — | 375 | — | 375 | ||||||||||||
Cash Equivalent | 11,812 | — | — | 11,812 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 378,864 | $ | 145,726 | $ | — | $ | 524,590 | ||||||||
|
|
|
|
|
|
|
|
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund (Concluded)
March 31, 2016
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK†† — 96.5% | ||||||||
Consumer Discretionary — 18.9% | ||||||||
2U* (A) | 71,987 | $ | 1,627 | |||||
American Axle & Manufacturing Holdings* | 17,324 | 267 | ||||||
American Eagle Outfitters | 13,820 | 230 | ||||||
Arctic Cat (A) | 22,117 | 372 | ||||||
Big Lots | 6,311 | 286 | ||||||
Boot Barn Holdings* (A) | 44,022 | 414 | ||||||
Bright Horizons Family Solutions* | 52,353 | 3,391 | ||||||
Buffalo Wild Wings* | 4,065 | 602 | ||||||
Burlington Stores* | 5,032 | 283 | ||||||
Callaway Golf | 37,737 | 344 | ||||||
Carmike Cinemas* | 44,070 | 1,324 | ||||||
Carriage Services (A) | 42,560 | 920 | ||||||
Cavco Industries* | 5,901 | 551 | ||||||
Children’s Place | 3,530 | 295 | ||||||
Chuy’s Holdings* | 12,403 | 385 | ||||||
Cooper-Standard Holding* | 3,402 | 244 | ||||||
Core-Mark Holding, Cl A (A) | 30,448 | 2,483 | ||||||
Dave & Buster’s Entertainment* | 42,759 | 1,658 | ||||||
Del Frisco’s Restaurant Group* | 59,107 | 980 | ||||||
Diamond Resorts International* (A) | 67,943 | 1,651 | ||||||
Dorman Products* (A) | 14,162 | 771 | ||||||
Dunkin’ Brands Group (A) | 12,398 | 585 | ||||||
Express* | 38,668 | 828 | ||||||
Fenix Parts* (A) | 70,449 | 324 | ||||||
Fiesta Restaurant Group* | 36,298 | 1,190 | ||||||
Five Below* (A) | 48,857 | 2,020 | ||||||
Francesca’s Holdings* | 3,300 | 63 | ||||||
G-III Apparel Group* | 16,422 | 803 | ||||||
Grand Canyon Education* | 17,647 | 754 | ||||||
Gray Television* | 118,120 | 1,384 | ||||||
Helen of Troy* | 16,836 | 1,746 | ||||||
Hibbett Sports* (A) | 28,164 | 1,011 | ||||||
IMAX* (A) | 24,802 | 771 | ||||||
Jack in the Box | 21,423 | 1,368 | ||||||
Kate Spade* | 12,039 | 307 | ||||||
Lithia Motors, Cl A | 17,080 | 1,492 | ||||||
Malibu Boats, Cl A* | 20,304 | 333 | ||||||
MarineMax* | 15,847 | 309 | ||||||
MDC Partners, Cl A | 119,379 | 2,817 | ||||||
Monro Muffler | 22,480 | 1,607 | ||||||
Motorcar Parts of America* | 39,845 | 1,513 | ||||||
National CineMedia | 187,083 | 2,846 | ||||||
Nautilus* | 76,901 | 1,486 | ||||||
Nutrisystem | 13,973 | 292 | ||||||
Ollie’s Bargain Outlet Holdings* (A) | 28,178 | 660 | ||||||
Outerwall | 7,265 | 269 | ||||||
Papa Murphy’s Holdings* (A) | 28,313 | 338 | ||||||
Planet Fitness, Cl A* | 39,408 | 640 | ||||||
Pool | 13,018 | 1,142 | ||||||
Sally Beauty Holdings* (A) | 20,156 | 653 | ||||||
Six Flags Entertainment (A) | 5,023 | 279 |
Description | Shares | Market Value ($ Thousands) | ||||||
Smith & Wesson Holding* | 10,914 | $ | 291 | |||||
Steven Madden* | 23,096 | 855 | ||||||
Tempur-Pedic International* | 18,793 | 1,142 | ||||||
Tenneco* | 2,822 | 145 | ||||||
Texas Roadhouse, Cl A | 13,862 | 604 | ||||||
Tile Shop Holdings* (A) | 47,038 | 701 | ||||||
Tumi Holdings* (A) | 17,221 | 462 | ||||||
Visteon | 2,255 | 179 | ||||||
Wayfair, Cl A* (A) | 12,905 | 558 | ||||||
William Lyon Homes, Cl A* | 69,461 | 1,006 | ||||||
Winmark | 5,247 | 514 | ||||||
Wolverine World Wide | 46,391 | 855 | ||||||
Zoe’s Kitchen* (A) | 15,146 | 591 | ||||||
|
| |||||||
56,810 | ||||||||
|
| |||||||
Consumer Staples — 2.4% | ||||||||
Amplify Snack Brands* | 65,029 | 931 | ||||||
Chefs’ Warehouse Holdings* | 32,217 | 654 | ||||||
Dean Foods (A) | 15,267 | 264 | ||||||
Freshpet* | 39,134 | 287 | ||||||
John B Sanfilippo & Son | 6,214 | 429 | ||||||
Post Holdings* | 4,451 | 306 | ||||||
Primo Water* | 46,147 | 466 | ||||||
Spectrum Brands Holdings | 21,998 | 2,404 | ||||||
WD-40 | 12,842 | 1,387 | ||||||
|
| |||||||
7,129 | ||||||||
|
| |||||||
Energy — 1.8% | ||||||||
Carrizo Oil & Gas* | 40,280 | 1,246 | ||||||
Dril-Quip* | 5,565 | 337 | ||||||
Evolution Petroleum | 188,027 | 914 | ||||||
Matador Resources* (A) | 24,826 | 471 | ||||||
Oil States International* | 11,834 | 373 | ||||||
Prothena* (A) | 10,206 | 420 | ||||||
RigNet, Cl A* | 47,497 | 650 | ||||||
Synergy Resources* (A) | 44,834 | 348 | ||||||
US Silica Holdings (A) | 19,250 | 437 | ||||||
Western Refining | 10,279 | 299 | ||||||
|
| |||||||
5,495 | ||||||||
|
| |||||||
Financials — 6.4% | ||||||||
Bank of the Ozarks | 21,319 | 895 | ||||||
Capital Bank Financial, Cl A (A) | 7,584 | 234 | ||||||
CoreSite Realty‡ | 8,237 | 577 | ||||||
Eagle Bancorp* | 23,811 | 1,143 | ||||||
Easterly Acquisition* | 24,712 | 245 | ||||||
Evercore Partners, Cl A | 10,115 | 523 | ||||||
Financial Engines (A) | 29,522 | 928 | ||||||
Great Western Bancorp | 10,760 | 293 | ||||||
Houlihan Lokey, Cl A | 19,877 | 495 | ||||||
IBERIABANK | 4,834 | 248 | ||||||
Jernigan Capital‡ (A) | 22,295 | 348 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
LaSalle Hotel Properties‡ | 45,595 | $ | 1,154 | |||||
LendingTree* | 3,372 | 330 | ||||||
National General Holdings (A) | 91,017 | 1,965 | ||||||
National Storage Affiliates Trust‡ (A) | 74,845 | 1,587 | ||||||
Opus Bank | 22,625 | 769 | ||||||
Pace Holdings* | 27,968 | 279 | ||||||
PennantPark Investment | 99,538 | 603 | ||||||
PrivateBancorp, Cl A | 10,649 | 411 | ||||||
Signature Bank NY, Cl B* | 7,801 | 1,062 | ||||||
Sovran Self Storage‡ | 2,453 | 289 | ||||||
Stifel Financial* | 9,366 | 277 | ||||||
SVB Financial Group, Cl B* | 4,763 | 486 | ||||||
United Community Banks | 62,453 | 1,154 | ||||||
Universal Insurance Holdings | 14,917 | 266 | ||||||
Value Creation* | 145,600 | 59 | ||||||
Western Alliance Bancorp* | 26,092 | 871 | ||||||
Wintrust Financial | 21,987 | 975 | ||||||
WisdomTree Investments (A) | 58,634 | 670 | ||||||
|
| |||||||
19,136 | ||||||||
|
| |||||||
Health Care — 19.9% | ||||||||
ABIOMED* | 22,451 | 2,129 | ||||||
Acadia Healthcare, Cl A* (A) | 30,438 | 1,677 | ||||||
Accelerate Diagnostics* | 20,046 | 288 | ||||||
Adamas Pharmaceuticals* | 18,095 | 262 | ||||||
Aimmune Therapeutics* | 9,003 | 122 | ||||||
Akorn* | 11,605 | 273 | ||||||
Alder Biopharmaceuticals* | 11,687 | 286 | ||||||
Align Technology* | 8,893 | 646 | ||||||
AMAG Pharmaceuticals* (A) | 37,259 | 872 | ||||||
Amicus Therapeutics* (A) | 46,769 | 395 | ||||||
AMN Healthcare Services* (A) | 102,013 | 3,429 | ||||||
Amsurg* | 29,973 | 2,236 | ||||||
Anacor Pharmaceuticals* | 8,145 | 435 | ||||||
BioDelivery Sciences International* | 230,768 | 745 | ||||||
Bluebird Bio* (A) | 7,198 | 306 | ||||||
Cambrex* | 57,047 | 2,510 | ||||||
Capital Senior Living* | 65,033 | 1,204 | ||||||
Castlight Health, Cl B* (A) | 113,098 | 377 | ||||||
Celator Pharmaceuticals* | 31,713 | 350 | ||||||
Chimerix* | 54,210 | 277 | ||||||
Collegium Pharmaceutical* (A) | 13,093 | 238 | ||||||
Concert Pharmaceuticals* (A) | 4,867 | 66 | ||||||
Cynosure, Cl A* | 33,374 | 1,472 | ||||||
Cytokinetics* | 27,205 | 192 | ||||||
DBV Technologies ADR* (A) | 19,699 | 641 | ||||||
DENTSPLY SIRONA | 7,576 | 467 | ||||||
DexCom* | 16,952 | 1,151 | ||||||
Diplomat Pharmacy* | 17,428 | 478 | ||||||
Emergent BioSolutions* | 8,000 | 291 | ||||||
Endologix* (A) | 53,106 | 444 | ||||||
FibroGen* | 18,708 | 398 |
Description | Shares | Market Value ($ Thousands) | ||||||
Five Prime Therapeutics* (A) | 8,142 | $ | 331 | |||||
Flamel Technologies ADR* (A) | 108,879 | 1,202 | ||||||
Glaukos* (A) | 8,399 | 142 | ||||||
Globus Medical, Cl A* (A) | 46,802 | 1,112 | ||||||
GW Pharmaceuticals ADR* | 3,419 | 247 | ||||||
Hill-Rom Holdings | 6,199 | 312 | ||||||
ICON* (A) | 9,602 | 721 | ||||||
ICU Medical* | 3,395 | 353 | ||||||
INC Research Holdings, Cl A* | 28,192 | 1,162 | ||||||
Integra LifeSciences Holdings* (A) | 17,543 | 1,182 | ||||||
K2M Group Holdings* | 32,653 | 484 | ||||||
Kite Pharma* | 5,693 | 261 | ||||||
LDR Holding* (A) | 36,470 | 930 | ||||||
Lexicon Pharmaceuticals* | 28,198 | 337 | ||||||
Ligand Pharmaceuticals* (A) | 25,617 | 2,743 | ||||||
Lipocine* (A) | 18,235 | 185 | ||||||
LivaNova* (A) | 6,000 | 324 | ||||||
Loxo Oncology* | 11,299 | 309 | ||||||
Marinus Pharmaceuticals* (A) | 69,100 | 372 | ||||||
Masimo* | 6,000 | 251 | ||||||
Medicines* (A) | 6,330 | 201 | ||||||
Merit Medical Systems* | 14,855 | 275 | ||||||
Molina Healthcare* (A) | 40,298 | 2,599 | ||||||
Myriad Genetics* (A) | 7,551 | 283 | ||||||
National Research, Cl A (A) | 20,395 | 317 | ||||||
Natus Medical* | 22,674 | 871 | ||||||
NeoGenomics* | 137,076 | 924 | ||||||
Neurocrine Biosciences* | 18,533 | 733 | ||||||
Neuroderm* (A) | 23,089 | 326 | ||||||
Nevro* | 26,080 | 1,467 | ||||||
Novadaq Technologies* | 35,422 | 393 | ||||||
Omeros* | 17,883 | 274 | ||||||
Omnicell* | 27,706 | 772 | ||||||
Ophthotech* | 4,662 | 197 | ||||||
Otonomy* | 17,505 | 261 | ||||||
OvaScience* | 30,802 | 292 | ||||||
Pacific Biosciences of California* (A) | 32,422 | 276 | ||||||
Penumbra* (A) | 8,644 | 398 | ||||||
Premier, Cl A* | 13,419 | 448 | ||||||
Prestige Brands Holdings, Cl A* | 27,682 | 1,478 | ||||||
Quidel* (A) | 21,713 | 375 | ||||||
Radius Health* (A) | 8,813 | 277 | ||||||
Repligen* | 17,264 | 463 | ||||||
Revance Therapeutics* (A) | 18,674 | 326 | ||||||
Sage Therapeutics* (A) | 7,777 | 249 | ||||||
SciClone Pharmaceuticals* | 28,895 | 318 | ||||||
Spark Therapeutics* (A) | 7,673 | 226 | ||||||
Spectranetics* (A) | 35,609 | 517 | ||||||
STERIS (A) | 22,602 | 1,606 | ||||||
Supernus Pharmaceuticals* | 55,729 | 850 | ||||||
Surgical Care Affiliates* | 12,033 | 557 | ||||||
TESARO* (A) | 15,114 | 665 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
TherapeuticsMD* (A) | 40,533 | $ | 259 | |||||
Trevena* | 29,075 | 240 | ||||||
Trupanion* (A) | 39,903 | 393 | ||||||
Ultragenyx Pharmaceutical* | 5,005 | 317 | ||||||
Versartis* (A) | 39,463 | 317 | ||||||
Vocera Communications* | 86,948 | 1,109 | ||||||
Xencor* | 27,490 | 369 | ||||||
|
| |||||||
59,835 | ||||||||
|
| |||||||
Industrials — 16.1% | ||||||||
ABM Industries | 8,998 | 291 | ||||||
American Woodmark* | 16,807 | 1,254 | ||||||
Apogee Enterprises | 63,212 | 2,774 | ||||||
Astec Industries | 14,356 | 670 | ||||||
Builders FirstSource* | 28,628 | 323 | ||||||
Carlisle | 8,288 | 825 | ||||||
CEB | 17,584 | 1,138 | ||||||
Clean Harbors* | 30,265 | 1,493 | ||||||
Comfort Systems USA | 15,090 | 479 | ||||||
Curtiss-Wright | 149 | 11 | ||||||
Deluxe (A) | 12,563 | 785 | ||||||
Dycom Industries* (A) | 39,998 | 2,587 | ||||||
Energy Recovery* | 28,560 | 295 | ||||||
Exponent | 21,244 | 1,084 | ||||||
Forward Air | 22,684 | 1,028 | ||||||
Genesee & Wyoming, Cl A* | 12,078 | 757 | ||||||
Gibraltar Industries* | 9,645 | 276 | ||||||
H&E Equipment Services | 48,935 | 858 | ||||||
Hawaiian Holdings* | 7,861 | 371 | ||||||
Heartland Express (A) | 59,649 | 1,107 | ||||||
Heico, Cl A | 25,245 | 1,202 | ||||||
HEICO (A) | 4,750 | 286 | ||||||
Heritage-Crystal Clean* | 113,138 | 1,125 | ||||||
Hexcel, Cl A | 17,166 | 750 | ||||||
Huron Consulting Group* (A) | 23,819 | 1,386 | ||||||
IDEX | 9,592 | 795 | ||||||
InnerWorkings* (A) | 64,644 | 514 | ||||||
John Bean Technologies, Cl A | 12,176 | 687 | ||||||
Kennametal (A) | 22,454 | 505 | ||||||
Kirby* | 32,999 | 1,990 | ||||||
Lincoln Electric Holdings | 5,911 | 346 | ||||||
MasTec* | 53,562 | 1,084 | ||||||
Matson | 8,251 | 331 | ||||||
Middleby* | 4,118 | 440 | ||||||
MSC Industrial Direct, Cl A | 8,425 | 643 | ||||||
Multi-Color | 5,603 | 299 | ||||||
On Assignment* | 55,829 | 2,061 | ||||||
Park-Ohio Holdings | 18,190 | 779 | ||||||
Patrick Industries* | 12,786 | 580 | ||||||
Paylocity Holding* (A) | 29,839 | 977 | ||||||
PGT* (A) | 40,235 | 396 | ||||||
Proto Labs* (A) | 6,057 | 467 |
Description | Shares | Market Value ($ Thousands) | ||||||
RBC Bearings* | 8,608 | $ | 631 | |||||
Ritchie Bros. Auctioneers (A) | 20,393 | 552 | ||||||
Roadrunner Transportation Systems* | 32,205 | 401 | ||||||
Saia* | 10,489 | 295 | ||||||
SP Plus* | 51,350 | 1,236 | ||||||
Steelcase, Cl A | 79,790 | 1,191 | ||||||
Swift Transportation, Cl A* | 65,027 | 1,211 | ||||||
Taser International* (A) | 16,155 | 317 | ||||||
Tennant | 17,795 | 916 | ||||||
TriNet Group* | 51,865 | 744 | ||||||
TrueBlue* | 48,689 | 1,273 | ||||||
United Rentals* | 5,393 | 335 | ||||||
Viad | 7,829 | 228 | ||||||
Virgin America* | 1,097 | 42 | ||||||
Wabash National* | 26,839 | 354 | ||||||
WageWorks* | 38,103 | 1,928 | ||||||
WESCO International* (A) | 8,498 | 465 | ||||||
XPO Logistics* (A) | 10,754 | 330 | ||||||
|
| |||||||
48,498 | ||||||||
|
| |||||||
Information Technology — 27.6% |
| |||||||
Acxiom* | 61,431 | 1,317 | ||||||
Alarm.com Holdings* | 19,559 | 464 | ||||||
Applied Optoelectronics* (A) | 23,610 | 352 | ||||||
Aspen Technology* | 32,210 | 1,164 | ||||||
Atlassian, Cl A* (A) | 12,401 | 312 | ||||||
Autobytel* | 15,557 | 270 | ||||||
Barracuda Networks* (A) | 28,249 | 435 | ||||||
Blackbaud, Cl A | 33,723 | 2,121 | ||||||
Blackhawk Network Holdings, Cl A* | 30,306 | 1,039 | ||||||
Booz Allen Hamilton Holding, Cl A | 34,604 | 1,048 | ||||||
BroadSoft* (A) | 8,387 | 338 | ||||||
CACI International, Cl A* | 2,677 | 286 | ||||||
CalAmp* | 214,930 | 3,854 | ||||||
Callidus Software* | 122,079 | 2,036 | ||||||
Carbonite* (A) | 86,690 | 691 | ||||||
Cardtronics* (A) | 29,858 | 1,075 | ||||||
Cass Information Systems (A) | 17,229 | 902 | ||||||
Cavium* | 23,789 | 1,455 | ||||||
ChannelAdvisor* | 75,415 | 848 | ||||||
Ciena* (A) | 48,516 | 923 | ||||||
Cimpress* (A) | 18,467 | 1,675 | ||||||
Coherent* | 18,108 | 1,664 | ||||||
comScore* (A) | 10,052 | 302 | ||||||
Cornerstone OnDemand* (A) | 49,347 | 1,617 | ||||||
CoStar Group* | 3,178 | 598 | ||||||
Cray* (A) | 6,352 | 266 | ||||||
CSG Systems International (A) | 32,147 | 1,452 | ||||||
Demandware* (A) | 11,362 | 444 | ||||||
Descartes Systems Group* | 15,735 | 307 | ||||||
DTS* | 15,646 | 341 | ||||||
EarthLink Holdings | 9,903 | 56 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Electronics For Imaging* | 5,371 | $ | 228 | |||||
Envestnet* (A) | 11,826 | 322 | ||||||
EPAM Systems* | 4,376 | 327 | ||||||
Euronet Worldwide* | 35,928 | 2,663 | ||||||
Exa* | 56,237 | 728 | ||||||
ExlService Holdings* | 7,552 | 391 | ||||||
Five9* | 30,149 | 268 | ||||||
Fleetmatics Group* (A) | 10,379 | 422 | ||||||
Forrester Research | 11,076 | 372 | ||||||
Fortinet* | 9,950 | 305 | ||||||
Globant* (A) | 15,079 | 465 | ||||||
GoDaddy, Cl A* (A) | 9,197 | 297 | ||||||
Guidewire Software, Cl Z* | 43,908 | 2,392 | ||||||
Hackett Group | 85,410 | 1,291 | ||||||
Heartland Payment Systems | 10,379 | 1,002 | ||||||
HubSpot* (A) | 28,237 | 1,232 | ||||||
Imperva* (A) | 7,896 | 399 | ||||||
Infoblox* | 54,001 | 923 | ||||||
Inphi* | 10,308 | 344 | ||||||
Integrated Device Technology* | 52,922 | 1,082 | ||||||
Littelfuse | 19,905 | 2,450 | ||||||
LivePerson* (A) | 80,250 | 469 | ||||||
LogMeIn* (A) | 14,624 | 738 | ||||||
Lumentum Holdings* | 47,557 | 1,283 | ||||||
M/A-COM Technology Solutions* (A) | 7,525 | 329 | ||||||
Manhattan Associates* | 26,406 | 1,502 | ||||||
Marketo* (A) | 66,697 | 1,305 | ||||||
MAXIMUS | 41,415 | 2,180 | ||||||
MaxLinear, Cl A* | 35,176 | 651 | ||||||
Mellanox Technologies* | 7,920 | 430 | ||||||
Mesa Laboratories (A) | 3,255 | 314 | ||||||
Microsemi* | 32,605 | 1,249 | ||||||
Monolithic Power Systems | 39,119 | 2,490 | ||||||
Monotype Imaging Holdings | 42,431 | 1,015 | ||||||
NeoPhotonics* | 31,494 | 442 | ||||||
NETGEAR* | 6,140 | 248 | ||||||
New Relic* (A) | 11,587 | 302 | ||||||
Oclaro* | 94,193 | 509 | ||||||
Pandora Media* (A) | 31,159 | 279 | ||||||
Paycom Software* (A) | 13,979 | 498 | ||||||
PDF Solutions* | 75,691 | 1,013 | ||||||
Perficient* | 61,022 | 1,325 | ||||||
PFSweb* | 22,781 | 299 | ||||||
Proofpoint* (A) | 53,644 | 2,885 | ||||||
Q2 Holdings* | 71,173 | 1,711 | ||||||
Qlik Technologies* | 13,818 | 400 | ||||||
RealPage* (A) | 15,686 | 327 | ||||||
RingCentral, Cl A* | 36,004 | 567 | ||||||
Rovi* | 15,864 | 325 | ||||||
Rudolph Technologies* | 18,184 | 248 | ||||||
SciQuest* | 25,629 | 356 | ||||||
ShoreTel* | 27,686 | 206 |
Description | Shares/ Number of Rights | Market Value ($ Thousands) | ||||||
Shutterstock* (A) | 10,143 | $ | 373 | |||||
Silicon Laboratories* | 13,478 | 606 | ||||||
SPS Commerce* | 6,060 | 260 | ||||||
Stamps.com* | 14,404 | 1,531 | ||||||
Stratasys* (A) | 22,122 | 573 | ||||||
Super Micro Computer* | 8,180 | 279 | ||||||
Synaptics* | 13,621 | 1,086 | ||||||
Take-Two Interactive Software, Cl A* | 37,977 | 1,431 | ||||||
Tyler Technologies* | 13,292 | 1,709 | ||||||
Ultimate Software Group* | 2,010 | 389 | ||||||
Universal Display* (A) | 5,505 | 298 | ||||||
VeriFone Holdings* | 9,033 | 255 | ||||||
WebMD Health, Cl A* | 4,874 | 305 | ||||||
Zendesk* (A) | 14,133 | 296 | ||||||
|
| |||||||
82,842 | ||||||||
|
| |||||||
Materials — 2.6% | ||||||||
Balchem | 7,544 | 468 | ||||||
Berry Plastics Group* | 98,257 | 3,552 | ||||||
LSB Industries* | 21,870 | 279 | ||||||
Neenah Paper, Cl A | 3,809 | 242 | ||||||
PolyOne | 38,136 | 1,153 | ||||||
Summit Materials, Cl A* (A) | 79,159 | 1,540 | ||||||
US Concrete* (A) | 11,543 | 688 | ||||||
|
| |||||||
7,921 | ||||||||
|
| |||||||
Telecommunication Services — 0.8% |
| |||||||
8x8* | 176,205 | 1,772 | ||||||
Boingo Wireless* | 40,516 | 313 | ||||||
Telephone & Data Systems | 8,606 | 259 | ||||||
|
| |||||||
2,344 | ||||||||
|
| |||||||
Total Common Stock | 290,010 | |||||||
|
| |||||||
RIGHTS — 0.0% | ||||||||
United States — 0.0% | ||||||||
Durata Therapeutics CVR ‡‡ | 9 | — | ||||||
Dyax, Expires 12/31/2019 | 7 | — | ||||||
|
| |||||||
Total Rights | — | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 18.0% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.380% **† (B) | 53,934,461 | 53,934 | ||||||
|
|
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund (Concluded)
March 31, 2016
Description | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Total Affiliated Partnership | $ | 53,934 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATION — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.433%, 08/18/2016 (C) (D) | $ | 480 | 480 | |||||
|
| |||||||
Total U.S. Treasury Obligation | 480 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.5% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.300% **† | 10,604,660 | 10,605 | ||||||
|
| |||||||
Total Cash Equivalent | 10,605 | |||||||
|
| |||||||
Total Investments — 118.2% | $ | 355,029 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 39 | Jun-2016 | $ | 199 | ||||||||
|
|
For the period ended March 31, 2016, 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 $300,324 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2016. |
†† | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
‡‡ | Expiration date unavailable. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | This security or a partial position of this security is on loan at March 31, 2016 (see Note 10). The total market value of securities on loan at March 31, 2016 was $53,035 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of March 31, 2016 was $53,934 ($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
The following is a list of the levels of inputs used as of March 31, 2016 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 | $ | 289,951 | $ | — | $ | 59 | $ | 290,010 | ||||||||
Affiliated Partnership | — | 53,934 | — | 53,934 | ||||||||||||
U.S. Treasury Obligation | — | 480 | — | 480 | ||||||||||||
Cash Equivalent | 10,605 | — | — | 10,605 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 300,556 | $ | 54,414 | $ | 59 | $ | 355,029 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 199 | $ | — | $ | — | $ | 199 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 199 | $ | — | $ | — | $ | 199 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation on the instrument. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.3% | ||||||||
Consumer Discretionary — 13.5% | ||||||||
2U* (A) | 57,588 | $ | 1,301 | |||||
Abercrombie & Fitch, Cl A (A) | 111,350 | 3,512 | ||||||
American Eagle Outfitters (A) | 29,828 | 497 | ||||||
Aramark | 54,097 | 1,792 | ||||||
Ascena Retail Group* (A) | 38,709 | 428 | ||||||
Autoliv (A) | 7,000 | 829 | ||||||
Beazer Homes USA, Cl A* | 36,364 | 317 | ||||||
Big Lots (A) | 53,307 | 2,414 | ||||||
Bright Horizons Family Solutions* | 31,693 | 2,053 | ||||||
Brinker International (A) | 31,976 | 1,469 | ||||||
Buffalo Wild Wings* (A) | 5,699 | 844 | ||||||
Burlington Stores* (A) | 15,948 | 897 | ||||||
Cablevision Systems, Cl A | 41,101 | 1,356 | ||||||
Carter’s | 2,200 | 232 | ||||||
Cato, Cl A (A) | 9,700 | 374 | ||||||
Chico’s FAS | 24,330 | 323 | ||||||
Children’s Place | 8,175 | 682 | ||||||
Cooper Tire & Rubber (A) | 27,347 | 1,012 | ||||||
Core-Mark Holding, Cl A (A) | 9,829 | 802 | ||||||
Dave & Buster’s Entertainment* | 33,214 | 1,288 | ||||||
Denny’s, Cl A* | 32,085 | 332 | ||||||
Diamond Resorts International* | 72,257 | 1,756 | ||||||
Dillard’s, Cl A (A) | 2,522 | 214 | ||||||
Domino’s Pizza | 8,893 | 1,173 | ||||||
DR Horton | 7,350 | 222 | ||||||
Express* | 34,468 | 738 | ||||||
Five Below* | 44,916 | 1,857 | ||||||
Foot Locker, Cl A (A) | 9,175 | 592 | ||||||
Francesca’s Holdings* | 18,127 | 347 | ||||||
GameStop, Cl A (A) | 25,798 | 819 | ||||||
Gannett (A) | 43,155 | 653 | ||||||
Genesco* (A) | 24,767 | 1,789 | ||||||
Goodyear Tire & Rubber (A) | 20,773 | 685 | ||||||
Harman International Industries, Cl A | 4,858 | 433 | ||||||
Hasbro (A) | 8,180 | 655 | ||||||
Helen of Troy* (A) | 9,229 | 957 | ||||||
Hooker Furniture (A) | 10,815 | 355 | ||||||
Interpublic Group | 48,781 | 1,120 | ||||||
J.C. Penney* | 53,517 | 592 | ||||||
Jarden* | 10,618 | 626 | ||||||
John Wiley & Sons, Cl A | 7,029 | 344 | ||||||
Kate Spade* | 14,037 | 358 | ||||||
Krispy Kreme Doughnuts* | 33,528 | 523 | ||||||
Lear | 15,285 | 1,699 | ||||||
Lithia Motors, Cl A | 34,853 | 3,044 | ||||||
LKQ* | 20,430 | 652 | ||||||
Marriott Vacations Worldwide | 16,786 | 1,133 | ||||||
Mattel (A) | 14,794 | 497 | ||||||
MDC Partners, Cl A (A) | 135,452 | 3,197 | ||||||
Meredith (A) | 12,635 | 600 | ||||||
Michael Kors Holdings* (A) | 5,635 | 321 |
Description | Shares | Market Value ($ Thousands) | ||||||
Michaels* | 25,328 | $ | 708 | |||||
Mohawk Industries* | 1,400 | 267 | ||||||
Murphy USA* | 12,773 | 785 | ||||||
National CineMedia | 108,687 | 1,653 | ||||||
Newell Rubbermaid, Cl B (A) | 17,223 | 763 | ||||||
Nexstar Broadcasting Group, Cl A (A) | 20,328 | 900 | ||||||
NVR* | 262 | 454 | ||||||
Ollie’s Bargain Outlet Holdings* (A) | 40,289 | 944 | ||||||
Oxford Industries, Cl A | 3,452 | 232 | ||||||
Panera Bread, Cl A* (A) | 2,763 | 566 | ||||||
Penn National Gaming* | 52,113 | 870 | ||||||
Planet Fitness, Cl A* (A) | 78,574 | 1,276 | ||||||
Polaris Industries (A) | 5,300 | 522 | ||||||
Pool (A) | 32,128 | 2,819 | ||||||
Ruth’s Chris Steak House | 18,304 | 337 | ||||||
Sally Beauty Holdings* | 19,004 | 615 | ||||||
Select Comfort* (A) | 6,139 | 119 | ||||||
Signet Jewelers | 4,155 | 515 | ||||||
Six Flags Entertainment | 45,162 | 2,506 | ||||||
Skechers U.S.A., Cl A* | 19,536 | 595 | ||||||
Smith & Wesson Holding* | 24,575 | 654 | ||||||
SodaStream International* (A) | 71,054 | 1,000 | ||||||
TEGNA | 18,864 | 443 | ||||||
Tempur Sealy International* (A) | 14,700 | 894 | ||||||
Tenneco* | 34,397 | 1,772 | ||||||
Texas Roadhouse, Cl A (A) | 48,686 | 2,122 | ||||||
Tile Shop Holdings* | 63,059 | 940 | ||||||
Ulta Salon Cosmetics & Fragrance* | 4,115 | 797 | ||||||
Vail Resorts | 7,682 | 1,027 | ||||||
Vista Outdoor* | 24,615 | 1,278 | ||||||
Visteon | 18,746 | 1,492 | ||||||
Wayfair, Cl A* (A) | 12,441 | 538 | ||||||
Wendy’s (A) | 231,107 | 2,517 | ||||||
Whirlpool (A) | 5,200 | 938 | ||||||
Williams-Sonoma | 8,650 | 474 | ||||||
World Wrestling Entertainment, Cl A | 18,207 | 322 | ||||||
ZAGG* | 30,832 | 278 | ||||||
Zoe’s Kitchen* (A) | 28,595 | 1,115 | ||||||
|
| |||||||
86,752 | ||||||||
|
| |||||||
Consumer Staples — 3.4% | ||||||||
Andersons (A) | 46,817 | 1,471 | ||||||
B&G Foods, Cl A (A) | 24,026 | 836 | ||||||
Cal-Maine Foods (A) | 6,074 | 315 | ||||||
Casey’s General Stores (A) | 10,240 | 1,160 | ||||||
Chefs’ Warehouse Holdings* (A) | 48,992 | 994 | ||||||
Dean Foods (A) | 33,138 | 574 | ||||||
Energizer Holdings (A) | 19,026 | 771 | ||||||
Fresh Del Monte Produce | 10,000 | 421 | ||||||
Fresh Market* | 17,502 | 499 | ||||||
Freshpet* (A) | 94,767 | 695 | ||||||
Ingredion | 27,141 | 2,898 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small/Mid Cap Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
J&J Snack Foods | 7,030 | $ | 761 | |||||
Kroger | 19,039 | 728 | ||||||
Lancaster Colony (A) | 2,331 | 258 | ||||||
Molson Coors Brewing, Cl B | 6,535 | 629 | ||||||
Omega Protein* | 86,559 | 1,466 | ||||||
Pilgrim’s Pride* | 18,176 | 462 | ||||||
Pinnacle Foods | 14,411 | 644 | ||||||
Post Holdings* | 14,734 | 1,013 | ||||||
Rite Aid* | 53,734 | 438 | ||||||
Sanderson Farms (A) | 8,462 | 763 | ||||||
SpartanNash | 14,576 | 442 | ||||||
Spectrum Brands Holdings | 9,521 | 1,041 | ||||||
SUPERVALU* | 131,977 | 760 | ||||||
SYSCO, Cl A (A) | 10,784 | 504 | ||||||
TreeHouse Foods* (A) | 5,261 | 456 | ||||||
USANA Health Sciences* | 3,091 | 375 | ||||||
WhiteWave Foods, Cl A* (A) | 20,031 | 814 | ||||||
|
| |||||||
22,188 | ||||||||
|
| |||||||
Energy — 4.1% | ||||||||
CARBO Ceramics (A) | 98,511 | 1,399 | ||||||
Carrizo Oil & Gas* (A) | 44,145 | 1,365 | ||||||
Concho Resources* (A) | 20,638 | 2,085 | ||||||
DHT Holdings | 50,676 | 292 | ||||||
Diamondback Energy, Cl A (A) | 6,772 | 523 | ||||||
Dril-Quip* (A) | 5,684 | 344 | ||||||
Forum Energy Technologies* (A) | 31,746 | 419 | ||||||
Matador Resources* (A) | 34,174 | 648 | ||||||
Newfield Exploration* | 18,773 | 624 | ||||||
Noble | 97,850 | 1,013 | ||||||
Oasis Petroleum* | 62,111 | 452 | ||||||
Oil States International* | 49,180 | 1,550 | ||||||
Patterson-UTI Energy | 70,106 | 1,235 | ||||||
PBF Energy, Cl A | 119,794 | 3,977 | ||||||
PDC Energy, Cl A* | 6,012 | 358 | ||||||
Pioneer Natural Resources (A) | 2,474 | 348 | ||||||
Prothena* (A) | 7,702 | 317 | ||||||
Southwestern Energy* (A) | 102,511 | 827 | ||||||
Superior Energy Services | 49,803 | 667 | ||||||
Teekay Shipping | 62,431 | 541 | ||||||
Tesoro | 7,278 | 626 | ||||||
TETRA Technologies* | 57,489 | 365 | ||||||
Tidewater, Cl A (A) | 360,818 | 2,465 | ||||||
US Silica Holdings | 13,606 | 309 | ||||||
Western Refining (A) | 21,873 | 636 | ||||||
World Fuel Services | 57,428 | 2,790 | ||||||
|
| |||||||
26,175 | ||||||||
|
| |||||||
Financials — 20.0% | ||||||||
Acadia Realty Trust‡ (A) | 50,493 | 1,774 | ||||||
Affiliated Managers Group* (A) | 9,985 | 1,622 | ||||||
Alexandria Real Estate Equities‡ (A) | 10,497 | 954 |
Description | Shares | Market Value ($ Thousands) | ||||||
Allied World Assurance Holdings | 12,900 | $ | 451 | |||||
Allstate | 8,087 | 545 | ||||||
American Assets Trust‡ (A) | 28,220 | 1,127 | ||||||
American Campus Communities‡ (A) | 37,670 | 1,774 | ||||||
American Capital* | 103,311 | 1,574 | ||||||
American Equity Investment Life Holding | 68,766 | 1,155 | ||||||
American Financial Group | 13,800 | 971 | ||||||
American Homes 4 Rent, Cl A‡ | 62,696 | 997 | ||||||
Ameriprise Financial | 4,701 | 442 | ||||||
Amerisafe | 1,639 | 86 | ||||||
Arch Capital Group* | 3,676 | 261 | ||||||
Argo Group International Holdings | 4,935 | 283 | ||||||
Armada Hoffler Properties‡ | 28,819 | 324 | ||||||
ARMOUR Residential, Cl REIT‡ | 22,462 | 484 | ||||||
Artisan Partners Asset Management, Cl A | 12,349 | 381 | ||||||
Aspen Insurance Holdings | 8,500 | 405 | ||||||
Assurant (A) | 10,159 | 784 | ||||||
Axis Capital Holdings | 2,535 | 141 | ||||||
Bank of the Ozarks | 26,740 | 1,122 | ||||||
BankUnited | 32,581 | 1,122 | ||||||
Beneficial Bancorp* | 71,421 | 978 | ||||||
BGC Partners, Cl A | 267,010 | 2,416 | ||||||
Brixmor Property Group‡ (A) | 13,478 | 345 | ||||||
Cash America International (A) | 10,159 | 393 | ||||||
CBL & Associates Properties‡ | 56,037 | 667 | ||||||
Cedar Realty Trust‡ | 44,843 | 324 | ||||||
Central Pacific Financial | 15,480 | 337 | ||||||
Chemical Financial (A) | 9,066 | 324 | ||||||
CNO Financial Group (A) | 103,663 | 1,858 | ||||||
CoBiz Financial | 52,900 | 625 | ||||||
Colony Capital, Cl A‡ | 48,693 | 817 | ||||||
Colony Starwood Homes‡ (A) | 51,237 | 1,268 | ||||||
Columbia Banking System (A) | 85,121 | 2,547 | ||||||
CoreSite Realty‡ | 5,244 | 367 | ||||||
Corrections Corp of America‡ (A) | 36,033 | 1,155 | ||||||
Credit Acceptance, Cl A* (A) | 230 | 42 | ||||||
Digital Realty Trust, Cl A‡ (A) | 4,193 | 371 | ||||||
Douglas Emmett‡ (A) | 4,298 | 129 | ||||||
DuPont Fabros Technology‡ | 28,525 | 1,156 | ||||||
E*Trade Financial* | 19,670 | 482 | ||||||
Eagle Bancorp* | 33,168 | 1,592 | ||||||
East West Bancorp | 42,513 | 1,381 | ||||||
Education Realty Trust‡ (A) | 46,530 | 1,936 | ||||||
Employers Holdings | 17,888 | 503 | ||||||
Endurance Specialty Holdings | 18,808 | 1,229 | ||||||
EPR Properties, Cl A‡ (A) | 33,739 | 2,248 | ||||||
Equity One, Cl A‡ (A) | 16,882 | 484 | ||||||
Erie Indemnity, Cl A (A) | 5,598 | 521 | ||||||
EverBank Financial, Cl A (A) | 45,939 | 693 | ||||||
Evercore Partners, Cl A | 40,512 | 2,096 | ||||||
Everest Re Group | 6,060 | 1,196 | ||||||
Extra Space Storage‡ (A) | 2,600 | 243 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small/Mid Cap Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
FBL Financial Group, Cl A (A) | 3,708 | $ | 228 | |||||
Fidelity Southern | 20,478 | 328 | ||||||
First American Financial (A) | 8,776 | 334 | ||||||
First Commonwealth Financial (A) | 180,295 | 1,597 | ||||||
First Interstate BancSystem, Cl A (A) | 19,006 | 535 | ||||||
First Midwest Bancorp (A) | 35,569 | 641 | ||||||
First Niagara Financial Group | 143,276 | 1,387 | ||||||
FNB (Pennsylvania) (A) | 57,284 | 745 | ||||||
FNF Group | 6,136 | 208 | ||||||
FNFV Group* | 32,120 | 349 | ||||||
Forest City Realty Trust, Cl A‡ | 104,433 | 2,202 | ||||||
Gaming and Leisure Properties‡ (A) | 66,751 | 2,064 | ||||||
Green Dot, Cl A* (A) | 214,528 | 4,928 | ||||||
Hanover Insurance Group, Cl A | 38,140 | 3,441 | ||||||
Healthcare Trust of America, Cl A‡ | 13,399 | 394 | ||||||
Hersha Hospitality Trust, Cl A‡ (A) | 87,219 | 1,861 | ||||||
HFF, Cl A | 10,819 | 298 | ||||||
Highwoods Properties‡ (A) | 69,494 | 3,323 | ||||||
Home BancShares (A) | 27,734 | 1,136 | ||||||
Horace Mann Educators, Cl A | 23,303 | 738 | ||||||
Hospitality Properties Trust‡ (A) | 23,952 | 636 | ||||||
Houlihan Lokey, Cl A | 42,219 | 1,051 | ||||||
Howard Hughes* (A) | 28,980 | 3,069 | ||||||
Huntington Bancshares (A) | 148,998 | 1,421 | ||||||
IBERIABANK | 9,153 | 469 | ||||||
Infinity Property & Casualty | 6,577 | 529 | ||||||
International Bancshares | 20,180 | 498 | ||||||
International. FCStone* (A) | 11,359 | 304 | ||||||
Investors Bancorp | 57,756 | 672 | ||||||
James River Group Holdings | 39,725 | 1,282 | ||||||
Jones Lang LaSalle | 8,108 | 951 | ||||||
Kearny Financial | 22,087 | 273 | ||||||
Lamar Advertising, Cl A‡ (A) | 15,252 | 938 | ||||||
MarketAxess Holdings (A) | 3,601 | 450 | ||||||
MB Financial (A) | 41,446 | 1,345 | ||||||
Medical Properties Trust‡ (A) | 190,106 | 2,468 | ||||||
Mid-America Apartment Communities‡ (A) | 8,042 | 822 | ||||||
Nasdaq, Cl A | 5,050 | 335 | ||||||
National Penn Bancshares | 54,129 | 576 | ||||||
NorthStar Asset Management Group | 43,988 | 499 | ||||||
OFG Bancorp (A) | 596,015 | 4,166 | ||||||
Omega Healthcare Investors‡ (A) | 19,600 | 692 | ||||||
PacWest Bancorp (A) | 42,222 | 1,569 | ||||||
Parkway Properties‡ (A) | 43,809 | 686 | ||||||
Piper Jaffray* | 8,894 | 441 | ||||||
Popular | 47,861 | 1,369 | ||||||
PrivateBancorp, Cl A (A) | 20,103 | 776 | ||||||
ProAssurance | 3,352 | 170 | ||||||
QTS Realty Trust, Cl A‡ (A) | 13,887 | 658 | ||||||
Reinsurance Group of America, Cl A | 13,096 | 1,260 | ||||||
RenaissanceRe Holdings (A) | 1,520 | 182 | ||||||
Ryman Hospitality Properties‡ | 14,227 | 732 |
Description | Shares | Market Value ($ Thousands) | ||||||
Selective Insurance Group | 45,314 | $ | 1,659 | |||||
ServisFirst Bancshares | 7,609 | 338 | ||||||
Signature Bank NY, Cl B* (A) | 22,967 | 3,126 | ||||||
SLM* | 150,433 | 957 | ||||||
Sovran Self Storage‡ | 1,800 | 212 | ||||||
Starwood Property Trust‡ | 131,213 | 2,484 | ||||||
Sterling Bancorp (A) | 67,800 | 1,080 | ||||||
Stifel Financial* | 19,487 | 577 | ||||||
Sun Communities‡ | 5,941 | 425 | ||||||
SunTrust Banks | 17,965 | 648 | ||||||
SVB Financial Group, Cl B* (A) | 21,169 | 2,160 | ||||||
Synovus Financial | 4,169 | 121 | ||||||
Talmer Bancorp, Cl A | 18,281 | 331 | ||||||
TCF Financial | 11,858 | 145 | ||||||
Texas Capital Bancshares* (A) | 7,037 | 270 | ||||||
Unum Group | 29,327 | 907 | ||||||
Validus Holdings | 15,363 | 725 | ||||||
Voya Financial | 34,852 | 1,038 | ||||||
Webster Financial | 7,700 | 276 | ||||||
Western Alliance Bancorp* | 71,507 | 2,387 | ||||||
WSFS Financial | 28,005 | 911 | ||||||
Yadkin Financial | 20,000 | 473 | ||||||
Zions Bancorporation (A) | 17,898 | 433 | ||||||
|
| |||||||
129,211 | ||||||||
|
| |||||||
Health Care — 11.7% | ||||||||
ABIOMED* (A) | 8,661 | 821 | ||||||
Acadia Healthcare, Cl A* (A) | 34,736 | 1,914 | ||||||
Adamas Pharmaceuticals* | 21,962 | 318 | ||||||
Aimmune Therapeutics* | 16,949 | 230 | ||||||
Air Methods* (A) | 32,915 | 1,192 | ||||||
Akorn* (A) | 28,013 | 659 | ||||||
Alere* | 11,757 | 595 | ||||||
Align Technology* (A) | 29,552 | 2,148 | ||||||
AmerisourceBergen | 6,362 | 551 | ||||||
Amicus Therapeutics* (A) | 37,056 | 313 | ||||||
Amsurg* (A) | 46,063 | 3,436 | ||||||
Anacor Pharmaceuticals* (A) | 7,269 | 389 | ||||||
Analogic (A) | 28,432 | 2,246 | ||||||
athenahealth* (A) | 6,963 | 966 | ||||||
Bruker BioSciences | 13,033 | 365 | ||||||
C.R. Bard | 1,624 | 329 | ||||||
Centene* (A) | 29,045 | 1,788 | ||||||
Charles River Laboratories International* | 14,525 | 1,103 | ||||||
Chemed | 7,200 | 975 | ||||||
Community Health Systems* | 54,205 | 1,003 | ||||||
Cynosure, Cl A* (A) | 22,740 | 1,003 | ||||||
DBV Technologies ADR* | 11,981 | 390 | ||||||
DENTSPLY SIRONA (A) | 52,697 | 3,248 | ||||||
DexCom* | 26,872 | 1,825 | ||||||
Diplomat Pharmacy* (A) | 33,214 | 910 | ||||||
Emergent Biosolutions* | 31,721 | 1,153 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small/Mid Cap Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Ensign Group | 13,902 | $ | 315 | |||||
Five Prime Therapeutics* | 11,200 | 455 | ||||||
Glaukos* | 18,293 | 308 | ||||||
Globus Medical, Cl A* (A) | 23,484 | 558 | ||||||
Greatbatch* | 19,811 | 706 | ||||||
GW Pharmaceuticals ADR* | 3,328 | 240 | ||||||
HealthSouth | 19,928 | 750 | ||||||
Hologic* | 38,558 | 1,330 | ||||||
Humana | 5,500 | 1,006 | ||||||
ICON* (A) | 16,233 | 1,219 | ||||||
ICU Medical* | 5,669 | 590 | ||||||
Idexx Laboratories* (A) | 6,675 | 523 | ||||||
Incyte* | 4,314 | 313 | ||||||
Integra LifeSciences Holdings* (A) | 50,072 | 3,373 | ||||||
Ionis Pharmaceuticals* (A) | 8,274 | 335 | ||||||
K2M Group Holdings* (A) | 53,445 | 793 | ||||||
Kindred Healthcare | 171,921 | 2,123 | ||||||
Lannett* (A) | 43,725 | 784 | ||||||
LHC Group* | 8,754 | 311 | ||||||
LifePoint Health* | 3,867 | 268 | ||||||
Ligand Pharmaceuticals* (A) | 68,490 | 7,335 | ||||||
Luminex* | 15,633 | 303 | ||||||
Magellan Health* | 8,334 | 566 | ||||||
Masimo* | 8,888 | 372 | ||||||
Medicines* | 16,794 | 534 | ||||||
MEDNAX* (A) | 14,152 | 915 | ||||||
Mettler Toledo International* (A) | 2,460 | 848 | ||||||
Molina Healthcare* (A) | 15,107 | 974 | ||||||
Myriad Genetics* (A) | 9,898 | 371 | ||||||
Nevro* (A) | 19,869 | 1,118 | ||||||
Nuvectra* | 8,579 | 46 | ||||||
OraSure Technologies* | 49,505 | 358 | ||||||
Orthofix International* | 8,084 | 336 | ||||||
Otonomy* (A) | 21,739 | 324 | ||||||
Parexel International* (A) | 18,480 | 1,159 | ||||||
Patterson (A) | 10,773 | 501 | ||||||
PDL BioPharma | 94,638 | 315 | ||||||
Penumbra* (A) | 15,074 | 693 | ||||||
PerkinElmer | 14,013 | 693 | ||||||
PharMerica* | 19,608 | 434 | ||||||
Premier, Cl A* | 72,243 | 2,410 | ||||||
Quintiles Transnational Holdings* | 31,043 | 2,021 | ||||||
Radius Health* | 11,500 | 362 | ||||||
Sage Therapeutics* | 5,117 | 164 | ||||||
Seres Therapeutics* (A) | 9,575 | 254 | ||||||
STERIS | 14,818 | 1,053 | ||||||
Team Health Holdings* (A) | 14,029 | 587 | ||||||
Teleflex (A) | 3,980 | 625 | ||||||
TESARO* (A) | 17,405 | 766 | ||||||
Triple-S Management, Cl B* | 13,520 | 336 | ||||||
Ultragenyx Pharmaceutical* (A) | 12,476 | 790 | ||||||
United Therapeutics* | 10,414 | 1,161 |
Description | Shares | Market Value ($ Thousands) | ||||||
Universal Health Services, Cl B | 2,343 | $ | 292 | |||||
VCA* | 2,336 | 135 | ||||||
|
| |||||||
75,321 | ||||||||
|
| |||||||
Industrials — 15.6% | ||||||||
AAR | 13,157 | 306 | ||||||
Acacia Research | 469,571 | 1,780 | ||||||
ACCO Brands* | 357,171 | 3,207 | ||||||
Actuant, Cl A (A) | 56,983 | 1,408 | ||||||
Acuity Brands (A) | 8,444 | 1,842 | ||||||
AECOM* (A) | 39,099 | 1,204 | ||||||
Aegion, Cl A* | 16,638 | 351 | ||||||
AGCO (A) | 8,637 | 429 | ||||||
Aircastle (A) | 23,500 | 523 | ||||||
Alaska Air Group (A) | 8,614 | 706 | ||||||
AO Smith | 14,044 | 1,072 | ||||||
Apogee Enterprises | 8,228 | 361 | ||||||
Atlas Air Worldwide Holdings* | 70,561 | 2,983 | ||||||
Babcock & Wilcox Enterprises* | 87,325 | 1,869 | ||||||
Beacon Roofing Supply* | 23,919 | 981 | ||||||
BWX Technologies, Cl W | 119,170 | 3,999 | ||||||
Carlisle | 34,980 | 3,480 | ||||||
CEB (A) | 18,387 | 1,190 | ||||||
Cintas | 12,501 | 1,123 | ||||||
Colfax* | 10,037 | 287 | ||||||
Comfort Systems USA | 16,244 | 516 | ||||||
Crane, Cl A | 51,163 | 2,756 | ||||||
Curtiss-Wright | 15,306 | 1,158 | ||||||
Delta Air Lines, Cl A | 15,622 | 760 | ||||||
Deluxe (A) | 12,883 | 805 | ||||||
Dun & Bradstreet | 8,200 | 845 | ||||||
DXP Enterprises* | 23,339 | 410 | ||||||
Dycom Industries* (A) | 31,809 | 2,057 | ||||||
EMCOR Group | 19,062 | 926 | ||||||
Engility Holdings* | 23,184 | 435 | ||||||
Ennis | 15,773 | 308 | ||||||
Equifax (A) | 2,212 | 253 | ||||||
Federal Signal | 3,905 | 52 | ||||||
G&K Services (A) | 16,788 | 1,230 | ||||||
Genesee & Wyoming, Cl A* (A) | 56,619 | 3,550 | ||||||
Greenbrier (A) | 11,714 | 324 | ||||||
H&E Equipment Services | 70,460 | 1,235 | ||||||
Hawaiian Holdings* (A) | 26,352 | 1,244 | ||||||
HD Supply Holdings* | 42,799 | 1,415 | ||||||
HEICO (A) | 27,149 | 1,632 | ||||||
Hexcel, Cl A (A) | 33,519 | 1,465 | ||||||
HNI | 13,162 | 516 | ||||||
Huntington Ingalls Industries, Cl A | 5,789 | 793 | ||||||
Hyster-Yale Materials Handling | 6,202 | 413 | ||||||
IDEX (A) | 18,517 | 1,535 | ||||||
ITT | 42,059 | 1,552 | ||||||
JetBlue Airways* | 56,336 | 1,190 |
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small/Mid Cap Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
John Bean Technologies, Cl A (A) | 1,377 | $ | 78 | |||||
Kadant | 25,142 | 1,135 | ||||||
Kaman, Cl A (A) | 24,889 | 1,062 | ||||||
KAR Auction Services | 70,288 | 2,681 | ||||||
Kirby* (A) | 23,084 | 1,392 | ||||||
L-3 Communications Holdings | 7,300 | 865 | ||||||
LB Foster, Cl A | 75,966 | 1,380 | ||||||
Lennox International (A) | 7,466 | 1,009 | ||||||
Lincoln Electric Holdings (A) | 17,761 | 1,040 | ||||||
Masco | 22,855 | 719 | ||||||
Matson | 24,996 | 1,004 | ||||||
Meritor* | 38,023 | 306 | ||||||
Middleby* (A) | 11,790 | 1,259 | ||||||
Old Dominion Freight Line, Cl A* (A) | 30,321 | 2,111 | ||||||
Orbital ATK | 6,990 | 608 | ||||||
Owens Corning | 7,414 | 351 | ||||||
Paylocity Holding* (A) | 38,639 | 1,265 | ||||||
Proto Labs* (A) | 20,753 | 1,600 | ||||||
RBC Bearings* (A) | 14,377 | 1,053 | ||||||
Regal Beloit | 10,444 | 659 | ||||||
Resources Connection | 20,994 | 327 | ||||||
Ryder System | 8,900 | 577 | ||||||
Simpson Manufacturing | 19,075 | 728 | ||||||
Spirit AeroSystems Holdings, Cl A* | 32,539 | 1,476 | ||||||
Spirit Airlines* | 7,026 | 337 | ||||||
Teledyne Technologies* (A) | 20,481 | 1,805 | ||||||
Tetra Tech (A) | 16,037 | 478 | ||||||
Titan Machinery* (A) | 118,090 | 1,365 | ||||||
Toro (A) | 11,242 | 968 | ||||||
TransDigm Group* (A) | 3,700 | 815 | ||||||
Triumph Group (A) | 77,591 | 2,443 | ||||||
TrueBlue* (A) | 29,225 | 764 | ||||||
Unifirst | 644 | 70 | ||||||
United Rentals* (A) | 12,187 | 758 | ||||||
Valmont Industries | 3,625 | 449 | ||||||
Wabash National* (A) | 41,485 | 548 | ||||||
Wabtec (A) | 3,600 | 285 | ||||||
WageWorks* (A) | 8,366 | 423 | ||||||
Waste Connections (A) | 4,781 | 309 | ||||||
Watsco (A) | 6,700 | 903 | ||||||
Wesco Aircraft Holdings* (A) | 298,971 | 4,302 | ||||||
Xylem | 18,430 | 754 | ||||||
|
| |||||||
100,937 | ||||||||
|
| |||||||
Information Technology — 17.2% | ||||||||
ACI Worldwide* (A) | 82,362 | 1,712 | ||||||
Acxiom* (A) | 29,729 | 637 | ||||||
Advanced Energy Industries* | 1,400 | 49 | ||||||
Alliance Data Systems* (A) | 1,158 | 255 | ||||||
Ansys* | 7,785 | 696 | ||||||
Aspen Technology* (A) | 64,639 | 2,335 | ||||||
Atlassian, Cl A* | 21,005 | 528 |
Description | Shares | Market Value ($ Thousands) | ||||||
AVG Technologies* | 17,281 | $ | 359 | |||||
Avnet | 8,652 | 383 | ||||||
Belden (A) | 9,618 | 590 | ||||||
Benchmark Electronics* | 25,072 | 578 | ||||||
Black Box | 96,510 | 1,300 | ||||||
Blackbaud, Cl A (A) | 8,918 | 561 | ||||||
Blackhawk Network Holdings, Cl A* | 5,006 | 172 | ||||||
Booz Allen Hamilton Holding, Cl A (A) | 16,397 | 497 | ||||||
Broadcom | 9,282 | 1,434 | ||||||
Broadridge Financial Solutions | 19,654 | 1,166 | ||||||
Brocade Communications Systems | 100,100 | 1,059 | ||||||
CACI International, Cl A* | 10,545 | 1,125 | ||||||
Cadence Design Systems* | 73,065 | 1,723 | ||||||
Cavium* (A) | 16,410 | 1,004 | ||||||
CDW | 24,509 | 1,017 | ||||||
Checkpoint Systems* | 57,018 | 577 | ||||||
Ciena* (A) | 51,625 | 982 | ||||||
Cimpress* | 10,766 | 976 | ||||||
Cirrus Logic* (A) | 17,165 | 625 | ||||||
Coherent* | 5,166 | 475 | ||||||
CommVault Systems* | 32,501 | 1,403 | ||||||
Comtech Telecommunications | 15,975 | 373 | ||||||
Convergys | 105,240 | 2,923 | ||||||
CoreLogic* | 4,518 | 157 | ||||||
CoStar Group* (A) | 11,236 | 2,114 | ||||||
Criteo ADR* | 15,385 | 637 | ||||||
CSG Systems International | 16,700 | 754 | ||||||
Cypress Semiconductor (A) | 91,383 | 791 | ||||||
Electronic Arts* (A) | 15,651 | 1,035 | ||||||
Ellie Mae* | 7,329 | 664 | ||||||
Entegris* | 26,270 | 358 | ||||||
Euronet Worldwide* (A) | 13,631 | 1,010 | ||||||
ExlService Holdings* | 11,961 | 620 | ||||||
Fair Isaac (A) | 6,500 | 690 | ||||||
Fidelity National Information Services, Cl B | 12,644 | 800 | ||||||
First Solar* | 4,879 | 334 | ||||||
Fleetmatics Group* (A) | 9,640 | 392 | ||||||
Fortinet* | 10,522 | 322 | ||||||
Gartner* (A) | 5,828 | 521 | ||||||
Gigamon* | 19,328 | 600 | ||||||
Global Payments (A) | 10,216 | 667 | ||||||
Guidewire Software, Cl Z* | 28,765 | 1,567 | ||||||
Harris | 11,871 | 924 | ||||||
Heartland Payment Systems | 30,098 | 2,907 | ||||||
HubSpot* (A) | 16,755 | 731 | ||||||
IAC | 29,708 | 1,399 | ||||||
II-VI* | 14,655 | 318 | ||||||
Infinera* | 26,379 | 424 | ||||||
Ingram Micro, Cl A | 42,211 | 1,516 | ||||||
Inphi* | 24,989 | 833 | ||||||
Insight Enterprises* | 9,500 | 272 | ||||||
InterDigital | 26,992 | 1,502 |
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small/Mid Cap Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Intersil, Cl A | 28,169 | $ | 377 | |||||
InterXion Holding* | 26,628 | 921 | ||||||
j2 Global | 31,731 | 1,954 | ||||||
Jabil Circuit | 51,600 | 994 | ||||||
Jack Henry & Associates (A) | 5,289 | 447 | ||||||
Keysight Technologies* | 25,280 | 701 | ||||||
Leidos Holdings | 7,816 | 393 | ||||||
Littelfuse | 16,324 | 2,010 | ||||||
LogMeIn* | 6,284 | 317 | ||||||
Lumentum Holdings* | 17,046 | 460 | ||||||
Luxoft Holding, Cl A* | 5,506 | 303 | ||||||
M/A-COM Technology Solutions* | 7,121 | 312 | ||||||
Manhattan Associates* (A) | 10,280 | 585 | ||||||
Marvell Technology Group | 35,377 | 365 | ||||||
MAXIMUS (A) | 14,462 | 761 | ||||||
MaxLinear, Cl A* | 16,173 | 299 | ||||||
Mellanox Technologies* | 12,883 | 700 | ||||||
Mentor Graphics | 16,556 | 337 | ||||||
Methode Electronics | 11,078 | 324 | ||||||
Microchip Technology (A) | 16,167 | 779 | ||||||
Microsemi* (A) | 79,613 | 3,050 | ||||||
Monolithic Power Systems | 22,891 | 1,457 | ||||||
Multi-Fineline Electronix* | 21,052 | 489 | ||||||
NETGEAR* | 16,427 | 663 | ||||||
NeuStar, Cl A* (A) | 12,793 | 315 | ||||||
Nuance Communications* | 65,303 | 1,221 | ||||||
Oclaro* (A) | 160,646 | 867 | ||||||
ON Semiconductor* | 86,707 | 832 | ||||||
Open Text | 52,506 | 2,720 | ||||||
Orbotech* | 53,910 | 1,282 | ||||||
OSI Systems* (A) | 40,275 | 2,638 | ||||||
Palo Alto Networks* (A) | 5,733 | 935 | ||||||
Pandora Media* | 53,878 | 482 | ||||||
Paycom Software* | 9,028 | 321 | ||||||
Proofpoint* | 20,816 | 1,119 | ||||||
Qlik Technologies* | 22,019 | 637 | ||||||
Qorvo* (A) | 32,392 | 1,633 | ||||||
Rackspace Hosting* (A) | 17,788 | 384 | ||||||
RingCentral, Cl A* | 36,679 | 578 | ||||||
Sabre | 24,643 | 713 | ||||||
Sanmina* | 39,282 | 918 | ||||||
Science Applications International | 11,933 | 637 | ||||||
Seagate Technology (A) | 19,200 | 661 | ||||||
Silicon Graphics International* (A) | 427,095 | 3,041 | ||||||
Silicon Laboratories* | 19,462 | 875 | ||||||
Skyworks Solutions (A) | 4,477 | 349 | ||||||
SS&C Technologies Holdings (A) | 17,714 | 1,123 | ||||||
Sykes Enterprises* | 20,228 | 610 | ||||||
Synaptics* | 17,094 | 1,363 | ||||||
SYNNEX | 7,300 | 676 | ||||||
Synopsys* | 20,308 | 984 | ||||||
Take-Two Interactive Software, Cl A* | 60,484 | 2,278 |
Description | Shares | Market Value ($ Thousands) | ||||||
Tech Data* | 11,750 | $ | 902 | |||||
Teradyne | 24,433 | 528 | ||||||
Tessera Technologies | 15,131 | 469 | ||||||
Total System Services | 18,587 | 884 | ||||||
Trimble Navigation* (A) | 28,030 | 695 | ||||||
Tyler Technologies* (A) | 6,113 | 786 | ||||||
Ultimate Software Group* (A) | 10,632 | 2,057 | ||||||
Vantiv, Cl A* | 4,754 | 256 | ||||||
VeriFone Holdings* | 16,906 | 477 | ||||||
Verint Systems* | 7,085 | 237 | ||||||
VeriSign* | 4,021 | 356 | ||||||
Web.com Group* | 24,580 | 487 | ||||||
Western Digital (A) | 6,200 | 293 | ||||||
Zebra Technologies, Cl A* | 13,409 | 925 | ||||||
|
| |||||||
110,915 | ||||||||
|
| |||||||
Materials — 5.3% | ||||||||
Albemarle (A) | 25,763 | 1,647 | ||||||
American Vanguard, Cl B | 39,541 | 624 | ||||||
AptarGroup | 8,800 | 690 | ||||||
Ashland | 2,600 | 286 | ||||||
Avery Dennison | 30,430 | 2,194 | ||||||
Axiall | 14,881 | 325 | ||||||
Bemis (A) | 2,836 | 147 | ||||||
Berry Plastics Group* (A) | 79,859 | 2,887 | ||||||
Cabot | 44,463 | 2,149 | ||||||
Chemtura* | 13,358 | 353 | ||||||
Compass Minerals International, Cl A (A) | 9,529 | 675 | ||||||
Crown Holdings* | 23,491 | 1,165 | ||||||
Eastman Chemical (A) | 3,200 | 231 | ||||||
FMC (A) | 61,052 | 2,465 | ||||||
Graphic Packaging Holding | 53,005 | 681 | ||||||
Headwaters, Cl A* | 66,598 | 1,321 | ||||||
LSB Industries* (A) | 149,444 | 1,905 | ||||||
Martin Marietta Materials, Cl A (A) | 1,281 | 204 | ||||||
Neenah Paper, Cl A | 14,000 | 891 | ||||||
Packaging Corp of America (A) | 10,242 | 619 | ||||||
PolyOne | 61,364 | 1,856 | ||||||
Rayonier Advanced Materials | 43,416 | 412 | ||||||
Sealed Air | 13,010 | 625 | ||||||
Sensient Technologies (A) | 16,062 | 1,019 | ||||||
Silgan Holdings | 52,876 | 2,811 | ||||||
Steel Dynamics | 30,075 | 677 | ||||||
Stepan | 6,908 | 382 | ||||||
Summit Materials, Cl A* | 38,899 | 757 | ||||||
United States Steel (A) | 131,621 | 2,113 | ||||||
US Concrete* | 4,916 | 293 | ||||||
Worthington Industries | 20,346 | 725 | ||||||
WR Grace* | 14,028 | 999 | ||||||
|
| |||||||
34,128 | ||||||||
|
|
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small/Mid Cap Fund (Continued)
March 31, 2016
Description | Shares/ Number of Rights/ Number of Warrants | Market Value ($ Thousands) | ||||||
Telecommunication Services — 0.4% |
| |||||||
Cincinnati Bell, Cl A* | 97,720 | $ | 378 | |||||
Cogent Communications Holdings (A) | 21,690 | 847 | ||||||
Level 3 Communications* | 6,966 | 368 | ||||||
SBA Communications, Cl A* | 2,217 | 222 | ||||||
Telephone & Data Systems | 21,150 | 637 | ||||||
Vonage Holdings* | 63,694 | 291 | ||||||
|
| |||||||
2,743 | ||||||||
|
| |||||||
Utilities — 3.1% | ||||||||
AGL Resources | 20,260 | 1,320 | ||||||
American Water Works (A) | 7,500 | 517 | ||||||
Atmos Energy (A) | 37,031 | 2,750 | ||||||
Avista | 21,700 | 885 | ||||||
Black Hills, Cl A | 9,464 | 569 | ||||||
CMS Energy (A) | 39,058 | 1,658 | ||||||
Edison International | 6,342 | 456 | ||||||
Great Plains Energy | 42,356 | 1,366 | ||||||
Idacorp, Cl A (A) | 10,909 | 814 | ||||||
Laclede Group (A) | 7,863 | 533 | ||||||
National Fuel Gas (A) | 19,648 | 983 | ||||||
New Jersey Resources (A) | 13,772 | 502 | ||||||
PNM Resources | 26,970 | 909 | ||||||
Portland General Electric | 43,378 | 1,713 | ||||||
SCANA | 22,344 | 1,567 | ||||||
Southwest Gas | 15,642 | 1,030 | ||||||
UGI | 37,213 | 1,499 | ||||||
Vectren | 12,804 | 647 | ||||||
|
| |||||||
19,718 | ||||||||
|
| |||||||
Total Common Stock |
| 608,088 | ||||||
|
| |||||||
RIGHTS — 0.0% | ||||||||
United States — 0.0% | ||||||||
Central European Media Enterprises‡‡ | — | — | ||||||
Chelseea Therapeutics International CVR‡‡ | 3 | — | ||||||
Dyax, Expires 12/31/2019 | 7 | — | ||||||
Endo Pharmaceuticals‡‡ | 2 | — | ||||||
Safeway CVR - Casa Ley ‡‡ | 11 | 12 | ||||||
Safeway CVR - PDC‡‡ | 11 | — | ||||||
|
| |||||||
Total Rights | 12 | |||||||
|
| |||||||
WARRANT — 0.0% | ||||||||
Magnum Hunter, Expires 04/20/16 | 467 | — | ||||||
|
|
Description | Number of Warrants/ Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Total Warrant | $ | — | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 40.6% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.380%**† (B) | 261,747,579 | 261,748 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 261,748 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATION — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.416%, 08/18/2016 (C) (D) | $ | 795 | 794 | |||||
|
| |||||||
Total U.S. Treasury Obligation |
| 794 | ||||||
|
| |||||||
CASH EQUIVALENT — 5.4% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.300%**† | 35,062,222 | 35,062 | ||||||
|
| |||||||
Total Cash Equivalent |
| 35,062 | ||||||
|
| |||||||
Total Investments — 140.4% |
| $ | 905,704 | |||||
|
|
7 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small/Mid Cap Fund (Concluded)
March 31, 2016
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 73 | Jun-2016 | $ | 357 | ||||||||
S&P Mid Cap 400 Index E-MINI | 60 | Jun-2016 | 376 | |||||||||
|
| |||||||||||
$ | 733 | |||||||||||
|
|
For the period ended March 31, 2016, 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 $645,018 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2016. |
‡‡ | Expiration date unavailable. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | This security or a partial position of this security is on loan at March 31, 2016 (see Note 10). The total market value of securities on loan at March 31, 2016 was $256,627 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of March 31, 2016 was $261,748 ($Thousands). |
(C) | The rate reported is the effective yield at time of purchase. |
(D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
The following is a list of the levels of inputs used as of March 31, 2016 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 | $ | 608,088 | $ | — | $ | — | $ | 608,088 | ||||||||
Rights | — | 12 | — | 12 | ||||||||||||
Affiliated Partnership | — | 261,748 | — | 261,748 | ||||||||||||
U.S. Treasury Obligation | — | 794 | — | 794 | ||||||||||||
Cash Equivalent | 35,062 | — | — | 35,062 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 643,150 | $ | 262,554 | $ | — | $ | 905,704 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 733 | $ | — | $ | — | $ | 733 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 733 | $ | — | $ | — | $ | 733 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation on the instrument. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
8 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Mid-Cap Fund
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 93.3% | ||||||||
Consumer Discretionary — 14.1% | ||||||||
Aramark | 7,300 | $ | 242 | |||||
Bed Bath & Beyond* (A) | 9,000 | 447 | ||||||
Best Buy | 16,300 | 529 | ||||||
Bloomin’ Brands | 9,700 | 164 | ||||||
Carter’s | 2,000 | 211 | ||||||
Chipotle Mexican Grill, Cl A* (A) | 650 | 306 | ||||||
Dillard’s, Cl A (A) | 1,200 | 102 | ||||||
Dollar General (A) | 4,500 | 385 | ||||||
DR Horton | 18,200 | 550 | ||||||
Extended Stay America | 25,300 | 412 | ||||||
FTD* | 1,100 | 29 | ||||||
Gap | 5,900 | 173 | ||||||
Genuine Parts | 6,900 | 686 | ||||||
GNC Holdings, Cl A | 14,000 | 444 | ||||||
Interpublic Group | 6,300 | 145 | ||||||
Kohl’s | 3,183 | 148 | ||||||
Lear | 3,500 | �� | 389 | |||||
Lennar, Cl A (A) | 2,300 | 111 | ||||||
LKQ* | 12,400 | 396 | ||||||
Macy’s | 15,900 | 701 | ||||||
Michael Kors Holdings* (A) | 11,900 | 678 | ||||||
Mohawk Industries* (A) | 1,200 | 229 | ||||||
Murphy USA* | 6,400 | 393 | ||||||
News, Cl A | 14,400 | 184 | ||||||
NVR* | 340 | 589 | ||||||
PVH | 5,900 | 584 | ||||||
Ross Stores (A) | 2,500 | 145 | ||||||
Royal Caribbean Cruises (A) | 3,000 | 246 | ||||||
Smith & Wesson Holding* (A) | 1,600 | 43 | ||||||
Staples | 50,400 | 556 | ||||||
Taylor Morrison Home, Cl A* (A) | 2,700 | 38 | ||||||
TEGNA (A) | 17,800 | 418 | ||||||
Ulta Salon Cosmetics & Fragrance* | 2,200 | 426 | ||||||
Whirlpool (A) | 1,500 | 271 | ||||||
Wyndham Worldwide (A) | 6,700 | 512 | ||||||
|
| |||||||
11,882 | ||||||||
|
| |||||||
Consumer Staples — 5.8% | ||||||||
Archer-Daniels-Midland | 11,000 | 399 | ||||||
Bunge | 8,900 | 504 | ||||||
Campbell Soup (A) | 6,200 | 396 | ||||||
Clorox | 4,500 | 567 | ||||||
ConAgra Foods | 15,800 | 705 | ||||||
Dr Pepper Snapple Group | 4,300 | 385 | ||||||
Ingredion | 5,700 | 609 | ||||||
Kroger (A) | 13,200 | 505 | ||||||
Tyson Foods, Cl A | 11,900 | 793 | ||||||
|
| |||||||
4,863 | ||||||||
|
| |||||||
Energy — 4.4% | ||||||||
Columbia Pipeline Group | 11,000 | 276 |
Description | Shares | Market Value ($ Thousands) | ||||||
Ensco, Cl A (A) | 29,400 | $ | 305 | |||||
Hess (A) | 11,900 | 627 | ||||||
HollyFrontier (A) | 13,200 | 466 | ||||||
Marathon Oil (A) | 43,500 | 485 | ||||||
Marathon Petroleum | 10,200 | 379 | ||||||
Oneok (A) | 10,700 | 319 | ||||||
Tesoro | 6,100 | 525 | ||||||
Valero Energy | 4,400 | 282 | ||||||
|
| |||||||
3,664 | ||||||||
|
| |||||||
Financials — 19.8% | ||||||||
Aflac | 800 | 50 | ||||||
Alleghany* | 110 | 55 | ||||||
Allstate | 2,400 | 162 | ||||||
American Financial Group | 7,000 | 493 | ||||||
Ameriprise Financial | 6,600 | 620 | ||||||
Annaly Capital Management‡ | 56,100 | 576 | ||||||
Ares Commercial Real Estate‡ | 5,400 | 59 | ||||||
Ashford Hospitality Trust‡ (A) | 13,700 | 87 | ||||||
AvalonBay Communities‡ (A) | 1,700 | 323 | ||||||
CBL & Associates Properties‡ | 33,800 | 402 | ||||||
CBRE Group, Cl A* (A) | 17,800 | 513 | ||||||
Chimera Investment‡ | 31,440 | 427 | ||||||
CIT Group | 5,900 | 183 | ||||||
Citizens Financial Group | 22,900 | 480 | ||||||
CNA Financial | 10,000 | 322 | ||||||
Crown Castle International‡ | 3,800 | 329 | ||||||
East West Bancorp | 12,600 | 409 | ||||||
Equity Commonwealth*‡ | 1,900 | 54 | ||||||
Fifth Third Bancorp (A) | 24,800 | 414 | ||||||
Forest City Realty Trust, Cl A‡ | 16,200 | 342 | ||||||
Franklin Street Properties‡ | 25,300 | 268 | ||||||
Genworth Financial, Cl A* | 21,400 | 58 | ||||||
GEO Group‡ | 5,500 | 191 | ||||||
HCP‡ (A) | 18,400 | 599 | ||||||
Hospitality Properties Trust‡ (A) | 7,400 | 197 | ||||||
Host Hotels & Resorts‡ (A) | 30,400 | 508 | ||||||
Huntington Bancshares (A) | 6,300 | 60 | ||||||
Intercontinental Exchange | 800 | 188 | ||||||
Jones Lang LaSalle | 3,960 | 465 | ||||||
KeyCorp | 37,600 | 415 | ||||||
Ladder Capital, Cl A‡ (A) | 4,229 | 53 | ||||||
Lincoln National | 13,500 | 529 | ||||||
Marcus & Millichap* | 5,000 | 127 | ||||||
Nasdaq, Cl A | 7,400 | 491 | ||||||
Navient (A) | 42,400 | 507 | ||||||
NorthStar Realty Finance‡ | 6,000 | 79 | ||||||
Old Republic International | 28,100 | 514 | ||||||
OneMain Holdings, Cl A* (A) | 8,200 | 225 | ||||||
Piper Jaffray* | 5,500 | 273 | ||||||
Principal Financial Group, Cl A | 2,800 | 110 | ||||||
ProLogis‡ | 17,800 | 786 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Mid-Cap Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Raymond James Financial (A) | 5,800 | $ | 276 | |||||
Realogy Holdings* | 9,800 | 354 | ||||||
Regions Financial | 56,300 | 442 | ||||||
Reinsurance Group of America, Cl A | 1,600 | 154 | ||||||
Starwood Property Trust‡ | 24,300 | 460 | ||||||
Summit Hotel Properties‡ | 10,600 | 127 | ||||||
SunTrust Banks | 17,500 | 631 | ||||||
TCF Financial | 7,000 | 86 | ||||||
Two Harbors Investment‡ | 7,600 | 60 | ||||||
Voya Financial | 9,900 | 295 | ||||||
WP Carey‡ (A) | 8,500 | 529 | ||||||
Xenia Hotels & Resorts‡ | 16,600 | 259 | ||||||
|
| |||||||
16,616 | ||||||||
|
| |||||||
Health Care — 9.8% | ||||||||
Aetna, Cl A (A) | 1,200 | 135 | ||||||
Agilent Technologies | 2,900 | 116 | ||||||
Alkermes* | 5,500 | 188 | ||||||
Baxter International | 10,000 | 411 | ||||||
Boston Scientific* (A) | 25,300 | 476 | ||||||
Bruker BioSciences | 19,500 | 546 | ||||||
C.R. Bard | 3,300 | 669 | ||||||
Cardinal Health | 500 | 41 | ||||||
Centene* (A) | 1,900 | 117 | ||||||
Charles River Laboratories International* | 2,900 | 220 | ||||||
DaVita HealthCare Partners* (A) | 7,700 | 565 | ||||||
Edwards Lifesciences, Cl A* (A) | 8,800 | 776 | ||||||
Hill-Rom Holdings | 2,900 | 146 | ||||||
Hologic* | 14,600 | 504 | ||||||
Intuitive Surgical* (A) | 590 | 355 | ||||||
Jazz Pharmaceuticals* | 3,960 | 517 | ||||||
Magellan Health* | 1,100 | 75 | ||||||
Mallinckrodt* (A) | 8,100 | 496 | ||||||
Quintiles Transnational Holdings* | 5,400 | 351 | ||||||
United Therapeutics* | 3,500 | 390 | ||||||
Universal Health Services, Cl B | 4,400 | 549 | ||||||
Vertex Pharmaceuticals* | 3,100 | 246 | ||||||
VWR* | 13,500 | 365 | ||||||
|
| |||||||
8,254 | ||||||||
|
| |||||||
Industrials — 11.3% | ||||||||
AAR | 1,400 | 33 | ||||||
Acuity Brands (A) | 2,800 | 611 | ||||||
Alaska Air Group (A) | 7,000 | 574 | ||||||
Argan | 1,300 | 46 | ||||||
Babcock & Wilcox Enterprises* | 6,200 | 133 | ||||||
BWX Technologies, Cl W | 8,800 | 295 | ||||||
C.H. Robinson Worldwide (A) | 1,600 | 119 | ||||||
Carlisle | 3,700 | 368 | ||||||
Continental Building Products* | 6,500 | 121 | ||||||
Essendant (A) | 1,400 | 45 | ||||||
HD Supply Holdings* | 14,100 | 466 |
Description | Shares | Market Value ($ Thousands) | ||||||
Huntington Ingalls Industries, Cl A | 4,300 | $ | 589 | |||||
Hyster-Yale Materials Handling | 400 | 27 | ||||||
Ingersoll-Rand | 6,800 | 422 | ||||||
Insteel Industries | 900 | 27 | ||||||
KBR | 25,700 | 398 | ||||||
L-3 Communications Holdings | 500 | 59 | ||||||
ManpowerGroup | 3,500 | 285 | ||||||
Masco | 19,800 | 623 | ||||||
Owens Corning | 3,200 | 151 | ||||||
Robert Half International | 11,000 | 512 | ||||||
Southwest Airlines, Cl A | 18,600 | 833 | ||||||
Spirit AeroSystems Holdings, Cl A* | 10,600 | 481 | ||||||
SPX* | 21,800 | 327 | ||||||
SPX FLOW* | 6,300 | 158 | ||||||
Stanley Black & Decker (A) | 1,400 | 147 | ||||||
Textron | 15,200 | 554 | ||||||
Trinity Industries (A) | 16,700 | 306 | ||||||
United Continental Holdings* (A) | 11,800 | 706 | ||||||
Wabash National* (A) | 7,700 | 102 | ||||||
|
| |||||||
9,518 | ||||||||
|
| |||||||
Information Technology — 14.7% | ||||||||
Activision Blizzard | 18,300 | 619 | ||||||
Akamai Technologies* | 1,400 | 78 | ||||||
Analog Devices (A) | 5,000 | 296 | ||||||
Applied Materials | 6,100 | 129 | ||||||
Arrow Electronics, Cl A* | 4,200 | 271 | ||||||
Avnet | 6,300 | 279 | ||||||
Brocade Communications Systems | 47,500 | 503 | ||||||
CA (A) | 6,500 | 200 | ||||||
CDK Global | 4,600 | 214 | ||||||
CDW | 11,600 | 481 | ||||||
Citrix Systems* (A) | 7,800 | 613 | ||||||
DST Systems | 3,900 | 440 | ||||||
eBay* | 16,400 | 391 | ||||||
Electronic Arts* (A) | 1,500 | 99 | ||||||
F5 Networks, Cl A* (A) | 3,400 | 360 | ||||||
Fiserv, Cl A* (A) | 6,200 | 636 | ||||||
HP | 26,900 | 332 | ||||||
Ingram Micro, Cl A* | 14,900 | 535 | ||||||
Intuit (A) | 6,800 | 707 | ||||||
Jabil Circuit | 2,200 | 42 | ||||||
Juniper Networks (A) | 21,000 | 536 | ||||||
Linear Technology (A) | 11,100 | 495 | ||||||
Maxim Integrated Products | 6,800 | 250 | ||||||
NETGEAR* | 2,000 | 81 | ||||||
Nuance Communications* | 22,600 | 422 | ||||||
ON Semiconductor* | 21,300 | 204 | ||||||
Skyworks Solutions (A) | 6,500 | 506 | ||||||
Symantec, Cl A (A) | 29,700 | 546 | ||||||
Synopsys* | 10,800 | 523 | ||||||
Teradyne | 20,700 | 447 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Mid-Cap Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Tessera Technologies | 7,700 | $ | 239 | |||||
Total System Services | 9,900 | 471 | ||||||
Western Digital (A) | 7,700 | 364 | ||||||
|
| |||||||
12,309 | ||||||||
|
| |||||||
Materials — 5.0% | ||||||||
Cabot | 500 | 24 | ||||||
Crown Holdings* | 9,900 | 491 | ||||||
GCP Applied Technologies* | 7,300 | 146 | ||||||
Huntsman | 44,800 | 596 | ||||||
International Paper (A) | 16,200 | 665 | ||||||
Newmont Mining | 2,200 | 58 | ||||||
Nucor | 13,200 | 624 | ||||||
Packaging Corp of America (A) | 8,900 | 537 | ||||||
Steel Dynamics | 8,000 | 180 | ||||||
Vulcan Materials | 4,600 | 486 | ||||||
Westlake Chemical | 9,000 | 417 | ||||||
|
| |||||||
4,224 | ||||||||
|
| |||||||
Telecommunication Services — 0.9% |
| |||||||
CenturyTel (A) | 23,200 | 741 | ||||||
|
| |||||||
Utilities — 7.5% | ||||||||
AES | 52,600 | 621 | ||||||
Centerpoint Energy | 2,300 | 48 | ||||||
DTE Energy | 1,300 | 118 | ||||||
Edison International | 1,600 | 115 | ||||||
Entergy | 8,800 | 698 | ||||||
Exelon (A) | 11,400 | 409 | ||||||
FirstEnergy | 19,000 | 683 | ||||||
MDU Resources Group | 17,300 | 337 | ||||||
NRG Energy (A) | 23,100 | 301 | ||||||
PPL (A) | 22,200 | 845 | ||||||
Public Service Enterprise Group (A) | 17,300 | 815 | ||||||
Sempra Energy | 6,900 | 718 | ||||||
UGI | 14,500 | 584 | ||||||
|
| |||||||
6,292 | ||||||||
|
| |||||||
Total Common Stock |
| 78,363 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 32.5% |
| |||||||
SEI Liquidity Fund, L.P. |
| |||||||
0.380%**† (B) | 27,260,108 | 27,260 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 27,260 | ||||||
|
|
Description | Face Amount ($ Thousands)/ Shares | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATION (C) (D) — 0.3% |
| |||||||
U.S. Treasury Bills | $ | 225 | $ | 225 | ||||
|
| |||||||
Total U.S. Treasury Obligation |
| 225 | ||||||
|
| |||||||
CASH EQUIVALENT — 6.2% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A |
| |||||||
0.300%**† | 5,181,297 | 5,181 | ||||||
|
| |||||||
Total Cash Equivalent |
| 5,181 | ||||||
|
| |||||||
Total Investments — 132.3% |
| $ | 111,029 | |||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P Mid Cap 400 Index E-MINI | 29 | Jun-2016 | $ | 156 | ||||||||
|
|
For the period ended March 31, 2016, 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 $83,943 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
(A) | This security or a partial position of this security is on loan at March 31, 2016 (see Note 10). The total market value of securities on loan at March 31, 2016 was $26,884 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of March 31, 2016 was $27,260 ($Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at time of purchase. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 78,363 | $ | — | $ | — | $ | 78,363 | ||||||||
Affiliated Partnership | — | 27,260 | — | 27,260 | ||||||||||||
Cash Equivalent | 5,181 | — | — | 5,181 | ||||||||||||
U.S. Treasury Obligation | — | 225 | — | 225 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 83,544 | $ | 27,485 | $ | — | $ | 111,029 | ||||||||
|
|
|
|
|
|
|
|
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Mid-Cap Fund (Concluded)
March 31, 2016
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 156 | $ | — | $ | — | $ | 156 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 156 | $ | — | $ | — | $ | 156 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation on the instrument. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 95.6% | ||||||||
Consumer Discretionary — 11.0% | ||||||||
Aaron’s | 103,791 | $ | 2,605 | |||||
Abercrombie & Fitch, Cl A | 70,286 | 2,217 | ||||||
American Eagle Outfitters | 307,184 | 5,121 | ||||||
Aramark | 250,737 | 8,304 | ||||||
Autozone* | 4,500 | 3,585 | ||||||
Bed Bath & Beyond* | 159,924 | 7,939 | ||||||
Best Buy | 31,153 | 1,011 | ||||||
Big Lots | 128,782 | 5,833 | ||||||
BJ’s Restaurants* | 12,392 | 515 | ||||||
Brinker International | 90,882 | 4,176 | ||||||
Canadian Tire, Cl A | 30,700 | 3,209 | ||||||
Carriage Services | 12,539 | 271 | ||||||
Cheesecake Factory | 93,932 | 4,987 | ||||||
Chico’s FAS | 113,920 | 1,512 | ||||||
Comcast, Cl A | 49,100 | 2,999 | ||||||
Cooper Tire & Rubber | 17,450 | 646 | ||||||
Cooper-Standard Holding* | 8,093 | 581 | ||||||
Core-Mark Holding, Cl A | 3,592 | 293 | ||||||
Cracker Barrel Old Country Store | 3,069 | 469 | ||||||
Darden Restaurants | 35,506 | 2,354 | ||||||
Dillard’s, Cl A | 47,256 | 4,012 | ||||||
Dollar General | 119,286 | 10,211 | ||||||
Domino’s Pizza | 2,609 | 344 | ||||||
DSW, Cl A | 15,944 | 441 | ||||||
Eldorado Resorts* | 12,368 | 141 | ||||||
Escalade | 6,743 | 79 | ||||||
Foot Locker, Cl A | 102,318 | 6,599 | ||||||
GameStop, Cl A | 68,633 | 2,178 | ||||||
Gannett | 79,120 | 1,198 | ||||||
Genuine Parts | 24,329 | 2,417 | ||||||
Graham Holdings, Cl B | 3,995 | 1,918 | ||||||
Grand Canyon Education* | 3,784 | 162 | ||||||
Hemisphere Media Group, Cl A* | 12,296 | 161 | ||||||
Hooker Furniture | 947 | 31 | ||||||
Jack in the Box | 45,070 | 2,879 | ||||||
Kohl’s | 89,800 | 4,186 | ||||||
Lions Gate Entertainment | 45,441 | 993 | ||||||
Macy’s | 37,300 | 1,645 | ||||||
McDonald’s | 22,400 | 2,815 | ||||||
Michael Kors Holdings* | 129,317 | 7,366 | ||||||
MSG Networks* | 157,755 | 2,728 | ||||||
National CineMedia | 42,169 | 641 | ||||||
NVR* | 3,342 | 5,790 | ||||||
Panera Bread, Cl A* | 22,278 | 4,563 | ||||||
Papa John’s International, Cl A | 10,945 | 593 | ||||||
Performance Sports Group* | 6,690 | 21 | ||||||
PetMed Express | 35,402 | 634 | ||||||
Pool | 4,414 | 387 | ||||||
Regal Entertainment Group, Cl A | 15,740 | 333 | ||||||
Scripps Networks Interactive, Cl A | 51,600 | 3,380 | ||||||
SeaWorld Entertainment | 11,508 | 242 |
Description | Shares | Market Value ($ Thousands) | ||||||
Shaw Communications, Cl B | 143,700 | $ | 2,787 | |||||
Staples | 294,013 | 3,243 | ||||||
Starbucks | 53,544 | 3,197 | ||||||
Target, Cl A | 175,409 | 14,433 | ||||||
Thomson Reuters | 46,110 | 1,866 | ||||||
Time Warner Cable, Cl A | 15,000 | 3,069 | ||||||
TJX | 54,243 | 4,250 | ||||||
Tribune Media, Cl A | 37,473 | 1,437 | ||||||
Viacom, Cl B | 40,400 | 1,668 | ||||||
Yum! Brands | 2,608 | 213 | ||||||
|
| |||||||
163,878 | ||||||||
|
| |||||||
Consumer Staples — 19.3% | ||||||||
Altria Group | 338,170 | 21,190 | ||||||
Archer-Daniels-Midland | 51,900 | 1,885 | ||||||
Brown-Forman, Cl B | 28,166 | 2,774 | ||||||
Bunge | 172,974 | 9,802 | ||||||
Calavo Growers | 1,988 | 113 | ||||||
Cal-Maine Foods | 44,720 | 2,321 | ||||||
Campbell Soup | 124,454 | 7,939 | ||||||
Casey’s General Stores | 5,948 | 674 | ||||||
Clorox | 117,493 | 14,811 | ||||||
Coca-Cola Bottling Consolidated | 2,734 | 437 | ||||||
Coca-Cola Enterprises | 120,760 | 6,127 | ||||||
ConAgra Foods | 98,500 | 4,395 | ||||||
Costco Wholesale | 44,213 | 6,967 | ||||||
Coty, Cl A | 179,925 | 5,007 | ||||||
CVS Health | 36,500 | 3,786 | ||||||
Dean Foods | 246,638 | 4,272 | ||||||
Dr Pepper Snapple Group | 204,649 | 18,300 | ||||||
Flowers Foods | 354,320 | 6,541 | ||||||
Fresh Del Monte Produce | 67,900 | 2,857 | ||||||
General Mills | 226,421 | 14,344 | ||||||
Hormel Foods | 190,689 | 8,245 | ||||||
Ingredion | 66,372 | 7,088 | ||||||
J&J Snack Foods | 7,208 | 780 | ||||||
John B Sanfilippo & Son* | 6,595 | 456 | ||||||
Kellogg | 93,145 | 7,130 | ||||||
Kimberly-Clark | 116,783 | 15,708 | ||||||
Kroger | 466,669 | 17,850 | ||||||
Lancaster Colony | 8,253 | 913 | ||||||
McCormick | 113,487 | 11,290 | ||||||
Metro, Cl A | 92,100 | 3,209 | ||||||
National Beverage, Cl A* | 4,077 | 173 | ||||||
Orchids Paper Products | 13,322 | 366 | ||||||
PepsiCo | 157,419 | 16,132 | ||||||
Philip Morris International | 49,227 | 4,830 | ||||||
Pinnacle Foods | 151,463 | 6,767 | ||||||
Procter & Gamble | 50,700 | 4,173 | ||||||
Sanderson Farms | 60,314 | 5,439 | ||||||
Snyder’s-Lance | 8,820 | 278 | ||||||
SYSCO, Cl A | 334,019 | 15,609 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Tyson Foods, Cl A | 89,800 | $ | 5,986 | |||||
Universal | 34,439 | 1,956 | ||||||
Vector Group | 44,202 | 1,010 | ||||||
Wal-Mart Stores | 217,410 | 14,890 | ||||||
Weis Markets | 2,231 | 101 | ||||||
Whole Foods Market | 109,300 | 3,400 | ||||||
|
| |||||||
288,321 | ||||||||
|
| |||||||
Energy — 0.6% | ||||||||
Exxon Mobil | 73,600 | 6,152 | ||||||
Frank’s International | 125,003 | 2,060 | ||||||
Memorial Resource Development* | 53,646 | 546 | ||||||
|
| |||||||
8,758 | ||||||||
|
| |||||||
Financials — 17.1% | ||||||||
Aflac | 93,600 | 5,910 | ||||||
Allied World Assurance Holdings | 193,883 | 6,774 | ||||||
Allstate | 112,660 | 7,590 | ||||||
American Capital Agency, Cl A‡ | 55,100 | 1,026 | ||||||
American Capital Mortgage Investment‡ | 59,245 | 870 | ||||||
American Financial Group | 93,497 | 6,579 | ||||||
American National Insurance | 30,666 | 3,542 | ||||||
Amerisafe | 3,186 | 167 | ||||||
Anchor BanCorp Wisconsin* | 2,762 | 124 | ||||||
Annaly Capital Management‡ | 516,100 | 5,295 | ||||||
Anworth Mortgage Asset‡ | 93,474 | 436 | ||||||
Apollo Commercial Real Estate Finance‡ | 201,926 | 3,291 | ||||||
Arch Capital Group* | 112,163 | 7,975 | ||||||
Ares Commercial Real Estate‡ | 8,823 | 97 | ||||||
Argo Group International Holdings | 4,986 | 286 | ||||||
Aspen Insurance Holdings | 156,283 | 7,455 | ||||||
Assurant | 29,300 | 2,260 | ||||||
Assured Guaranty | 62,710 | 1,587 | ||||||
Atlas Financial Holdings* | 21,013 | 381 | ||||||
Axis Capital Holdings | 236,800 | 13,133 | ||||||
BankUnited | 33,636 | 1,158 | ||||||
Beneficial Bancorp* | 22,780 | 312 | ||||||
BNC Bancorp | 12,458 | 263 | ||||||
BOK Financial | 32,652 | 1,783 | ||||||
Capitol Federal Financial | 81,325 | 1,078 | ||||||
Capstead Mortgage‡ | 50,376 | 498 | ||||||
CBL & Associates Properties‡ | 202,690 | 2,412 | ||||||
CBOE Holdings | 215,459 | 14,076 | ||||||
Charter Financial | 11,684 | 158 | ||||||
Chimera Investment‡ | 92,995 | 1,264 | ||||||
CIT Group | 73,600 | 2,284 | ||||||
CorEnergy Infrastructure Trust‡ | 4,449 | 89 | ||||||
CU Bancorp* | 11,816 | 250 | ||||||
Cullen/Frost Bankers | 6,470 | 357 | ||||||
CYS Investments‡ | 30,641 | 249 | ||||||
Easterly Government Properties‡ | 3,048 | 56 | ||||||
Employers Holdings | 13,786 | 388 |
Description | Shares | Market Value ($ Thousands) | ||||||
Endurance Specialty Holdings | 87,833 | $ | 5,739 | |||||
Enstar Group* | 3,173 | 516 | ||||||
Equity LifeStyle Properties‡ | 64,010 | 4,655 | ||||||
Essent Group* | 29,683 | 617 | ||||||
Everest Re Group | 98,327 | 19,413 | ||||||
Factset Research Systems | 7,200 | 1,091 | ||||||
Farmers Capital Bank | 2,323 | 61 | ||||||
Federated National Holding | 8,239 | 162 | ||||||
Fidelity Southern | 18,137 | 291 | ||||||
First Business Financial Services | 8,452 | 194 | ||||||
FNFV Group* | 27,450 | 298 | ||||||
Franklin Financial Network* | 4,768 | 129 | ||||||
Gaming and Leisure Properties‡ | 70,970 | 2,194 | ||||||
Genworth MI Canada | 71,000 | 1,680 | ||||||
Guaranty Bancorp | 5,796 | 90 | ||||||
Hatteras Financial‡ | 22,899 | 327 | ||||||
Heritage Insurance Holdings | 17,876 | 285 | ||||||
Highwoods Properties‡ | 45,017 | 2,152 | ||||||
Hospitality Properties Trust‡ | 142,040 | 3,773 | ||||||
Ladder Capital, Cl A‡ | 23,820 | 297 | ||||||
Mercury General | 10,337 | 574 | ||||||
MFA Financial‡ | 1,055,596 | 7,231 | ||||||
Mid-America Apartment Communities‡ | 34,700 | 3,547 | ||||||
MidWestOne Financial Group | 3,341 | 92 | ||||||
Monogram Residential Trust‡ | 20,773 | 205 | ||||||
Morningstar, Cl A | 6,151 | 543 | ||||||
National Bank Holdings, Cl A | 22,176 | 452 | ||||||
National Bank of Canada | 96,800 | 3,180 | ||||||
New York Mortgage Trust‡ | 68,459 | 324 | ||||||
Northwest Bancshares | 25,491 | 344 | ||||||
Old Second Bancorp* | 15,242 | 109 | ||||||
OneBeacon Insurance Group, Cl A | 8,763 | 112 | ||||||
Opus Bank | 6,870 | 234 | ||||||
Outfront Media‡ | 77,469 | 1,635 | ||||||
Pacific Premier Bancorp* | 40,691 | 870 | ||||||
PennyMac Financial Services, Cl A* | 7,413 | 87 | ||||||
PennyMac Mortgage Investment Trust‡ | 22,307 | 304 | ||||||
Peoples Financial Services | 3,918 | 146 | ||||||
Piedmont Office Realty Trust, Cl A‡ | 196,820 | 3,997 | ||||||
PNC Financial Services Group | 42,000 | 3,552 | ||||||
Post Properties‡ | 7,038 | 420 | ||||||
Preferred Apartment Communities, Cl A‡ | 12,775 | 162 | ||||||
Preferred Bank | 6,905 | 209 | ||||||
ProAssurance | 19,684 | 996 | ||||||
Progressive | 132,400 | 4,653 | ||||||
Reinsurance Group of America, Cl A | 46,470 | 4,473 | ||||||
RenaissanceRe Holdings | 104,107 | 12,475 | ||||||
Retail Properties of America, Cl A‡ | 15,557 | 247 | ||||||
RLI | 1,568 | 105 | ||||||
RLJ Lodging Trust‡ | 24,285 | 556 | ||||||
Royal Bank of Canada | 58,700 | 3,396 | ||||||
Ryman Hospitality Properties‡ | 75,400 | 3,882 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Santander Consumer USA Holdings* | 132,590 | $ | 1,391 | |||||
Select Income REIT‡ | 15,967 | 368 | ||||||
Silver Bay Realty Trust‡ | 55,216 | 820 | ||||||
Starwood Property Trust‡ | 127,444 | 2,413 | ||||||
Stonegate Bank | 29,167 | 874 | ||||||
Synchrony Financial* | 21,937 | 629 | ||||||
Talmer Bancorp, Cl A | 9,242 | 167 | ||||||
TFS Financial | 8,105 | 141 | ||||||
Travelers | 115,730 | 13,507 | ||||||
Triumph Bancorp* | 2,715 | 43 | ||||||
Two Harbors Investment‡ | 954,430 | 7,578 | ||||||
United Financial Bancorp | 107,408 | 1,352 | ||||||
Validus Holdings | 309,657 | 14,613 | ||||||
Waterstone Financial | 10,262 | 140 | ||||||
Wells Fargo | 90,400 | 4,372 | ||||||
Welltower‡ | 51,400 | 3,564 | ||||||
|
| |||||||
256,501 | ||||||||
|
| |||||||
Health Care — 13.9% | ||||||||
Abbott Laboratories | 18,093 | 757 | ||||||
AbbVie | 63,200 | 3,610 | ||||||
Addus HomeCare* | 14,710 | 253 | ||||||
Aetna, Cl A | 57,900 | 6,505 | ||||||
AmerisourceBergen | 130,233 | 11,272 | ||||||
Amgen, Cl A | 22,600 | 3,388 | ||||||
Anthem | 48,900 | 6,797 | ||||||
Baxalta | 75,000 | 3,030 | ||||||
Bio-Rad Laboratories, Cl A* | 8,754 | 1,197 | ||||||
Bristol-Myers Squibb | 117,789 | 7,524 | ||||||
C.R. Bard | 22,536 | 4,567 | ||||||
Cardinal Health | 171,443 | 14,050 | ||||||
Chemed | 5,505 | 746 | ||||||
Computer Programs & Systems | 10,362 | 540 | ||||||
Conmed | 6,327 | 265 | ||||||
DaVita HealthCare Partners* | 48,510 | 3,560 | ||||||
Eli Lilly | 74,481 | 5,363 | ||||||
Express Scripts Holding* | 43,300 | 2,974 | ||||||
Gilead Sciences | 47,180 | 4,334 | ||||||
HCA Holdings* | 22,760 | 1,776 | ||||||
Henry Schein* | 10,470 | 1,808 | ||||||
Heska* | 13,811 | 394 | ||||||
Hill-Rom Holdings | 82,647 | 4,157 | ||||||
Humana | 18,500 | 3,385 | ||||||
ICON* | 12,470 | 937 | ||||||
ICU Medical* | 6,385 | 665 | ||||||
Johnson & Johnson | 297,813 | 32,223 | ||||||
LeMaitre Vascular | 26,459 | 411 | ||||||
McKesson | 69,018 | 10,853 | ||||||
Merck | 214,567 | 11,353 | ||||||
Meridian Bioscience | 36,644 | 755 | ||||||
MiMedx Group* | 42,781 | 374 | ||||||
Myriad Genetics* | 31,180 | 1,167 |
Description | Shares | Market Value ($ Thousands) | ||||||
NeoGenomics* | 48,210 | $ | 325 | |||||
Nobilis Health* | 29,871 | 93 | ||||||
Owens & Minor | 131,847 | 5,329 | ||||||
Patterson | 95,086 | 4,424 | ||||||
Pfizer | 479,795 | 14,221 | ||||||
PharMerica* | 5,224 | 116 | ||||||
Premier, Cl A* | 4,021 | 134 | ||||||
Quality Systems* | 3,427 | 52 | ||||||
Quest Diagnostics | 117,470 | 8,393 | ||||||
Quintiles Transnational Holdings* | 6,986 | 455 | ||||||
Teleflex | 31,945 | 5,016 | ||||||
United Therapeutics* | 20,070 | 2,236 | ||||||
UnitedHealth Group | 52,700 | 6,793 | ||||||
Utah Medical Products | 1,126 | 70 | ||||||
Varian Medical Systems* | 50,940 | 4,076 | ||||||
Vocera Communications* | 25,181 | 321 | ||||||
Waters* | 26,703 | 3,523 | ||||||
West Pharmaceutical Services | 10,434 | 723 | ||||||
Zoetis, Cl A | 15,974 | 708 | ||||||
|
| |||||||
207,998 | ||||||||
|
| |||||||
Industrials — 4.8% | ||||||||
Alaska Air Group | 15,360 | 1,260 | ||||||
American Airlines Group | 16,682 | 684 | ||||||
Blue Bird* | 5,409 | 59 | ||||||
Boeing | 23,700 | 3,008 | ||||||
Deere | 63,600 | 4,897 | ||||||
Delta Air Lines, Cl A | 94,053 | 4,578 | ||||||
FedEx | 15,900 | 2,587 | ||||||
General Dynamics | 11,400 | 1,498 | ||||||
Global Brass & Copper Holdings | 18,008 | 449 | ||||||
Healthcare Services Group | 3,983 | 147 | ||||||
Hub Group, Cl A* | 7,175 | 293 | ||||||
Huntington Ingalls Industries, Cl A | 18,799 | 2,574 | ||||||
Insperity, Cl A | 7,363 | 381 | ||||||
KAR Auction Services | 109,351 | 4,171 | ||||||
Landstar System | 64,949 | 4,196 | ||||||
Lockheed Martin | 58,364 | 12,928 | ||||||
Masonite International* | 10,979 | 719 | ||||||
Northrop Grumman | 47,300 | 9,361 | ||||||
Orbital ATK | 7,949 | 691 | ||||||
Radiant Logistics* | 22,785 | 81 | ||||||
Raytheon | 62,400 | 7,652 | ||||||
Republic Services | 85,800 | 4,088 | ||||||
United Technologies | 45,000 | 4,504 | ||||||
Waste Management | 12,452 | 735 | ||||||
|
| |||||||
71,541 | ||||||||
|
| |||||||
Information Technology — 10.0% | ||||||||
Accenture, Cl A | 37,078 | 4,279 | ||||||
Activision Blizzard | 73,560 | 2,489 | ||||||
Amdocs | 372,588 | 22,512 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Apple | 27,300 | $ | 2,975 | |||||
Aspen Technology* | 133,528 | 4,824 | ||||||
Blackhawk Network Holdings, Cl A* | 18,251 | 626 | ||||||
Booz Allen Hamilton Holding, Cl A | 162,751 | 4,928 | ||||||
Broadridge Financial Solutions | 83,319 | 4,942 | ||||||
Brocade Communications Systems | 453,949 | 4,803 | ||||||
CA | 97,780 | 3,011 | ||||||
CDW | 56,354 | 2,339 | ||||||
Cisco Systems | 259,800 | 7,396 | ||||||
Comtech Telecommunications | 17,534 | 410 | ||||||
Convergys | 97,600 | 2,710 | ||||||
CSG Systems International | 25,533 | 1,153 | ||||||
DST Systems | 31,924 | 3,600 | ||||||
EarthLink Holdings | 8,141 | 46 | ||||||
eBay* | 163,236 | 3,895 | ||||||
EMC | 135,900 | 3,622 | ||||||
Forrester Research | 9,361 | 315 | ||||||
Genpact* | 19,703 | 536 | ||||||
GTT Communications* | 13,038 | 216 | ||||||
Harris | 37,426 | 2,914 | ||||||
IAC* | 76,262 | 3,590 | ||||||
Ingram Micro, Cl A* | 53,090 | 1,906 | ||||||
Intel | 226,100 | 7,314 | ||||||
International Business Machines | 52,800 | 7,997 | ||||||
Jack Henry & Associates | 74,099 | 6,266 | ||||||
MAXIMUS | 8,279 | 436 | ||||||
Microsoft | 116,200 | 6,418 | ||||||
NetApp | 184,680 | 5,040 | ||||||
NIC | 6,264 | 113 | ||||||
Oracle, Cl B | 69,800 | 2,855 | ||||||
Qualcomm | 43,900 | 2,245 | ||||||
RealPage* | 10,303 | 215 | ||||||
Reis | 11,668 | 275 | ||||||
Sapiens International | 11,726 | 140 | ||||||
Symantec, Cl A | 209,320 | 3,847 | ||||||
Take-Two Interactive Software, Cl A* | 118,664 | 4,470 | ||||||
Tech Data* | 59,647 | 4,579 | ||||||
VeriSign* | 52,093 | 4,612 | ||||||
Western Union | 154,100 | 2,973 | ||||||
|
| |||||||
149,832 | ||||||||
|
| |||||||
Materials — 2.0% | ||||||||
Avery Dennison | 44,400 | 3,202 | ||||||
Bemis | 104,603 | 5,416 | ||||||
Compass Minerals International, Cl A | 42,805 | 3,033 | ||||||
Kaiser Aluminum | 46,805 | 3,957 | ||||||
Mosaic | 55,100 | 1,488 | ||||||
Newmont Mining | 79,668 | 2,118 | ||||||
Royal Gold, Cl A | 21,196 | 1,087 | ||||||
Schweitzer-Mauduit International | 60,500 | 1,904 | ||||||
Scotts Miracle-Gro, Cl A | 34,850 | 2,536 | ||||||
Sonoco Products | 103,900 | 5,046 | ||||||
|
| |||||||
29,787 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Telecommunication Services — 5.2% | ||||||||
AT&T | 800,982 | $ | 31,375 | |||||
BCE | 45,500 | 2,082 | ||||||
Hawaiian Telcom Holdco* | 12,860 | 303 | ||||||
NTT DoCoMo ADR | 260,300 | 5,927 | ||||||
Rogers Communications, Cl B | 84,700 | 3,405 | ||||||
SK Telecom ADR | 191,000 | 3,853 | ||||||
TELUS | 81,600 | 2,667 | ||||||
Verizon Communications | 523,117 | 28,290 | ||||||
|
| |||||||
77,902 | ||||||||
|
| |||||||
Utilities — 11.7% | ||||||||
AES | 69,887 | 825 | ||||||
ALLETE | 10,782 | 605 | ||||||
Ameren | 71,700 | 3,592 | ||||||
American Electric Power | 180,050 | 11,955 | ||||||
Artesian Resources, Cl A | 1,545 | 43 | ||||||
Atmos Energy | 13,959 | 1,037 | ||||||
Avista | 72,462 | 2,955 | ||||||
Cleco | 5,387 | 297 | ||||||
CMS Energy | 109,015 | 4,627 | ||||||
Consolidated Edison | 225,621 | 17,287 | ||||||
DTE Energy | 47,923 | 4,345 | ||||||
Duke Energy | 2,654 | 214 | ||||||
Edison International | 175,329 | 12,604 | ||||||
El Paso Electric, Cl A | 12,081 | 554 | ||||||
Entergy | 162,270 | 12,865 | ||||||
Exelon | 181,900 | 6,523 | ||||||
FirstEnergy | 206,895 | 7,442 | ||||||
Great Plains Energy | 143,008 | 4,612 | ||||||
Hawaiian Electric Industries* | 12,794 | 415 | ||||||
Idacorp, Cl A | 20,248 | 1,510 | ||||||
Laclede Group | 10,146 | 687 | ||||||
NiSource | 185,081 | 4,361 | ||||||
Northwest Natural Gas | 15,885 | 855 | ||||||
NorthWestern | 5,464 | 337 | ||||||
PG&E | 243,279 | 14,529 | ||||||
Pinnacle West Capital | 120,642 | 9,057 | ||||||
PNM Resources | 24,085 | 812 | ||||||
Portland General Electric | 139,209 | 5,497 | ||||||
PPL | 76,200 | 2,901 | ||||||
Public Service Enterprise Group | 285,563 | 13,461 | ||||||
SCANA | 89,200 | 6,257 | ||||||
Southern | 217,141 | 11,233 | ||||||
Southwest Gas | 51,430 | 3,387 | ||||||
Talen Energy* | 9,517 | 86 | ||||||
UGI | 14,373 | 579 | ||||||
Unitil | 20,002 | 850 | ||||||
Vectren | 9,464 | 478 |
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund (Concluded)
March 31, 2016
Description | Shares/ Face Amount | Market Value ($ Thousands) | ||||||
Xcel Energy | 120,578 | $ | 5,043 | |||||
|
| |||||||
174,717 | ||||||||
|
| |||||||
Total Common Stock | 1,429,235 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION (A) (B) — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.416%, 08/18/2016 | $ | 1,705 | 1,703 | |||||
|
| |||||||
Total U.S. Treasury Obligation | 1,703 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.9% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.300% **† | 58,765,094 | 58,765 | ||||||
|
| |||||||
Total Cash Equivalent | 58,765 | |||||||
|
| |||||||
Total Investments — 99.6% | $ | 1,489,703 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 361 | Jun-2016 | $ | 1,038 | ||||||||
|
|
For the period ended March 31, 2016, 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 $1,495,065 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
(A) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(B) | The rate reported is the effective yield at time of purchase. |
ADR — American Depositary Receipt
Cl — Class
S&P — Standard and Poor’s
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,429,235 | $ | — | $ | — | $ | 1,429,235 | ||||||||
U.S. Treasury Obligation | — | 1,703 | — | 1,703 | ||||||||||||
Cash Equivalent | 58,765 | — | — | 58,765 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,488,000 | $ | 1,703 | $ | — | $ | 1,489,703 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 1,038 | $ | — | $ | — | $ | 1,038 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1,038 | $ | — | $ | — | $ | 1,038 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation on the instrument. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 95.3% | ||||||||
Australia — 6.0% | ||||||||
AGL Energy | 349,256 | $ | 4,944 | |||||
Amcor | 899,762 | 9,932 | ||||||
Aristocrat Leisure | 250,158 | 1,982 | ||||||
ASX | 113,968 | 3,632 | ||||||
Aurizon Holdings | 1,027,158 | 3,129 | ||||||
AusNet Services | 2,500,820 | 2,866 | ||||||
Bank of Queensland | 51,314 | 479 | ||||||
Boral | 297,367 | 1,414 | ||||||
CIMIC Group | 41,784 | 1,117 | ||||||
Coca-Cola Amatil | 520,613 | 3,540 | ||||||
Cochlear | 42,028 | 3,307 | ||||||
CSL | 71,485 | 5,578 | ||||||
Flight Centre Travel Group | 103,967 | 3,457 | ||||||
Goodman Group‡ | 455,255 | 2,336 | ||||||
GPT Group‡ | 295,608 | 1,137 | ||||||
Harvey Norman Holdings | 389,088 | 1,407 | ||||||
Healthscope | 684,396 | 1,400 | ||||||
LendLease Group | 415,421 | 4,432 | ||||||
Medibank Pvt | 491,339 | 1,108 | ||||||
Newcrest Mining* | 291,631 | 3,805 | ||||||
Orica | 184,752 | 2,184 | ||||||
Qantas Airways* | 682,013 | 2,135 | ||||||
REA Group | 8,923 | 371 | ||||||
Rio Tinto | 32,037 | 1,052 | ||||||
Sonic Healthcare | 334,076 | 4,826 | ||||||
Stockland‡ | 1,137,418 | 3,736 | ||||||
Sydney Airport | 35,092 | 181 | ||||||
Tabcorp Holdings | 1,059,924 | 3,490 | ||||||
Tatts Group | 1,564,846 | 4,550 | ||||||
Telstra, Cl B | 1,137,846 | 4,665 | ||||||
TPG Telecom | 20,706 | 181 | ||||||
Treasury Wine Estates | 142,493 | 1,057 | ||||||
Vicinity Centres‡ | 256,572 | 630 | ||||||
Wesfarmers | 374,508 | 11,941 | ||||||
Westfield‡ | 162,197 | 1,247 | ||||||
Woolworths | 30,493 | 518 | ||||||
|
| |||||||
103,766 | ||||||||
|
| |||||||
Austria — 0.4% | ||||||||
BUWOG* | 72,157 | 1,553 | ||||||
Conwert Immobilien Invest | 18,019 | 289 | ||||||
Flughafen Wien | 4,647 | 508 | ||||||
Oesterreichische Post | 53,991 | 2,198 | ||||||
Telekom Austria | 112,758 | 695 | ||||||
Verbund | 16,404 | 210 | ||||||
voestalpine | 38,004 | 1,274 | ||||||
|
| |||||||
6,727 | ||||||||
|
| |||||||
Belgium — 0.7% | ||||||||
Befimmo‡ | 15,516 | 998 |
Description | Shares | Market Value ($ Thousands) | ||||||
Cofinimmo‡ | 14,049 | $ | 1,727 | |||||
Colruyt | 90,863 | 5,301 | ||||||
Elia System Operator | 15,067 | 751 | ||||||
Proximus | 82,506 | 2,824 | ||||||
|
| |||||||
11,601 | ||||||||
|
| |||||||
Canada — 12.4% | ||||||||
Alimentation Couche-Tard, Cl B | 93,051 | 4,158 | ||||||
Artis, Cl Trust Unit‡ | 17,909 | 178 | ||||||
Atco, Cl I | 6,800 | 207 | ||||||
Bank of Montreal | 154,017 | 9,391 | ||||||
BCE | 399,694 | 18,235 | ||||||
Canadian Imperial Bank of Commerce | 207,926 | 15,596 | ||||||
Canadian National Railway | 7,960 | 500 | ||||||
Canadian Tire, Cl A | 105,267 | 11,002 | ||||||
CCL Industries, Cl B | 29,848 | 5,688 | ||||||
CGI Group, Cl A* | 8,281 | 397 | ||||||
CI Financial | 91,920 | 2,040 | ||||||
Cineplex | 10,885 | 426 | ||||||
Constellation Software | 13,852 | 5,695 | ||||||
Dollarama | 135,890 | 9,601 | ||||||
Element Financial, Cl Common Subscription Receipt | 3,562 | 39 | ||||||
Emera | 215,229 | 7,911 | ||||||
Empire, Cl A | 176,370 | 3,068 | ||||||
Fairfax Financial Holdings | 7,945 | 4,466 | ||||||
First Capital Realty | 118,980 | 1,897 | ||||||
Fortis, Cl Common Subscription Receipt | 202,178 | 6,363 | ||||||
Franco-Nevada | 56,359 | 3,475 | ||||||
George Weston | 89,875 | 8,080 | ||||||
Great-West Lifeco, Cl Common Subscription Receipt | 36,909 | 1,020 | ||||||
H&R‡ | 222,033 | 3,603 | ||||||
IGM Financial | 25,098 | 759 | ||||||
Industrial Alliance Insurance & Financial Services | 18,358 | 556 | ||||||
Intact Financial, Cl Common Subscription Receipt | 83,190 | 5,848 | ||||||
Jean Coutu Group PJC, Cl A | 67,464 | 1,149 | ||||||
K-Bro Linen | 2,738 | 94 | ||||||
Manitoba Telecom Services | 126,583 | 3,160 | ||||||
Maple Leaf Foods | 9,800 | 206 | ||||||
Metro, Cl A | 201,300 | 7,013 | ||||||
Morguard‡ | 18,037 | 202 | ||||||
National Bank of Canada | 221,490 | 7,276 | ||||||
North West | 34,149 | 764 | ||||||
Open Text | 76,707 | 3,990 | ||||||
Power Corp of Canada | 36,845 | 853 | ||||||
Power Financial | 59,183 | 1,486 | ||||||
Pure Industrial Real Estate Trust, Cl Trust Unit‡ | 155,500 | 572 | ||||||
RioCan, Cl Trust Unit‡ | 172,158 | 3,540 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Rogers Communications, Cl B | 444,524 | $ | 17,871 | |||||
Royal Bank of Canada | 148,086 | 8,567 | ||||||
Saputo | 138,650 | 4,464 | ||||||
Shaw Communications, Cl B | 512,506 | 9,941 | ||||||
Smart Real Estate Investment Trust, Cl Common Subscription Receipt‡ | 42,558 | 1,116 | ||||||
Thomson Reuters, Cl B | 152,130 | 6,189 | ||||||
Toronto-Dominion Bank | 110,664 | 4,796 | ||||||
Valener | 21,328 | 338 | ||||||
|
| |||||||
213,786 | ||||||||
|
| |||||||
China — 0.1% | ||||||||
Yangzijiang Shipbuilding Holdings | 1,278,601 | 931 | ||||||
|
| |||||||
Denmark — 0.4% | ||||||||
Carlsberg, Cl B | 22,433 | 2,141 | ||||||
Chr Hansen Holding | 7,810 | 525 | ||||||
Coloplast, Cl B | 11,254 | 854 | ||||||
Novo Nordisk, Cl B | 10,528 | 572 | ||||||
Schouw | 8,465 | 530 | ||||||
William Demant Holding* | 18,864 | 1,900 | ||||||
|
| |||||||
6,522 | ||||||||
|
| |||||||
Finland — 0.0% | ||||||||
Orion, Cl B | 10,874 | 360 | ||||||
|
| |||||||
France — 0.1% | ||||||||
Boiron | 3,901 | 316 | ||||||
Dassault Systemes | 12,906 | 1,026 | ||||||
SES | 29,430 | 863 | ||||||
Tessi | 181 | 29 | ||||||
Vilmorin & Cie | 1,799 | 133 | ||||||
|
| |||||||
2,367 | ||||||||
|
| |||||||
Germany — 1.0% | ||||||||
Celesio | 64,013 | 1,842 | ||||||
Commerzbank | 198,467 | 1,728 | ||||||
Fielmann | 14,924 | 1,134 | ||||||
Merck KGaA | 58,606 | 4,896 | ||||||
RHOEN-KLINIKUM | 122,774 | 3,826 | ||||||
STADA Arzneimittel | 74,071 | 2,945 | ||||||
|
| |||||||
16,371 | ||||||||
|
| |||||||
Guernsey — 0.6% | ||||||||
Amdocs | 169,204 | 10,223 | ||||||
|
| |||||||
Hong Kong — 3.7% | ||||||||
Bank of East Asia | 167,350 | 626 | ||||||
Cathay Pacific Airways | 873,626 | 1,512 | ||||||
Cheung Kong Infrastructure Holdings | 611,730 | 5,982 | ||||||
CLP Holdings, Cl B | 2,029,046 | 18,351 | ||||||
First Pacific | 993,661 | 742 | ||||||
Hang Lung Properties | 30,811 | 59 | ||||||
Hang Seng Bank | 320,757 | 5,669 | ||||||
HK Electric Investments & HK Electric Investments (A) | 1,123,697 | 989 |
Description | Shares | Market Value ($ Thousands) | ||||||
HKT Trust & HKT | 1,352,483 | $ | 1,862 | |||||
Hong Kong & China Gas | 1,230,800 | 2,301 | ||||||
Hysan Development | 191,286 | 815 | ||||||
Kerry Properties | 343,832 | 944 | ||||||
Link‡ | 1,439,369 | 8,536 | ||||||
MTR | 376,474 | 1,864 | ||||||
New World Development | 561,000 | 534 | ||||||
NWS Holdings | 282,436 | 451 | ||||||
PCCW | 2,439,220 | 1,579 | ||||||
Power Assets Holdings | 147,356 | 1,507 | ||||||
Prosperity‡ | 376,153 | 140 | ||||||
Shangri-La Asia | 174,597 | 199 | ||||||
Sino Land | 88,582 | 140 | ||||||
Sunlight‡ | 378,721 | 195 | ||||||
Swire Pacific, Cl A | 405,681 | 4,367 | ||||||
WH Group* (A) | 1,146,273 | 831 | ||||||
Wheelock | 126,514 | 565 | ||||||
Yue Yuen Industrial Holdings | 714,756 | 2,456 | ||||||
|
| |||||||
63,216 | ||||||||
|
| |||||||
Ireland — 0.2% | ||||||||
Hibernia‡ | 422,769 | 627 | ||||||
James Hardie Industries | 39,106 | 537 | ||||||
UDG Healthcare | 169,223 | 1,421 | ||||||
|
| |||||||
2,585 | ||||||||
|
| |||||||
Israel — 1.2% | ||||||||
Bank Hapoalim | 1,311,424 | 6,802 | ||||||
Bank Leumi Le-Israel* | 1,379,096 | 4,948 | ||||||
Bezeq The Israeli Telecommunication | 142,641 | 322 | ||||||
Formula Systems 1985 | 2,472 | 76 | ||||||
Israel Discount Bank, Cl A* | 490,078 | 829 | ||||||
Osem Investments* | 20,943 | 457 | ||||||
Teva Pharmaceutical Industries | 124,613 | 6,719 | ||||||
|
| |||||||
20,153 | ||||||||
|
| |||||||
Italy — 1.0% | ||||||||
Amplifon | 133,640 | 1,160 | ||||||
CSP International Fashion Group | 775 | 1 | ||||||
DiaSorin | 20,215 | 1,169 | ||||||
Hera | 1,274,171 | 3,813 | ||||||
Parmalat | 69,038 | 191 | ||||||
Terna Rete Elettrica Nazionale | 1,839,170 | 10,511 | ||||||
|
| |||||||
16,845 | ||||||||
|
| |||||||
Japan — 4.4% | ||||||||
Ajis | 834 | 26 | ||||||
Alpen | 11,169 | 184 | ||||||
Aozora Bank | 1,119,555 | 3,915 | ||||||
Can Do | 24,649 | 339 | ||||||
Canon* | 24,300 | 725 | ||||||
Coca-Cola West | 179,411 | 4,447 | ||||||
Daiichi Sankyo | 129,279 | 2,878 | ||||||
Dunlop Sports | 9,821 | 88 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Dydo Drinco | 45,190 | $ | 2,111 | |||||
Earth Chemical | 22,081 | 894 | ||||||
Hokuriku Electric Power | 16,754 | 237 | ||||||
Hoya | 1,862 | 71 | ||||||
Itochu-Shokuhin | 2,503 | 94 | ||||||
Japan Logistics Fund‡ | 215 | 450 | ||||||
Kappa Create | 15,277 | 167 | ||||||
KDDI | 162,375 | 4,343 | ||||||
Key Coffee | 10,848 | 180 | ||||||
KFC Holdings Japan | 11,875 | 208 | ||||||
Kohnan Shoji | 60,146 | 896 | ||||||
Lawson | 36,524 | 3,061 | ||||||
Lion, Cl H | 944,526 | 10,664 | ||||||
Marudai Food | 52,636 | 205 | ||||||
Maruha Nichiro | 89,673 | 1,675 | ||||||
Matsuya Foods | 17,716 | 438 | ||||||
Maxvalu Tokai | 1,605 | 25 | ||||||
Ministop | 59,055 | 1,077 | ||||||
MOS Food Services | 33,058 | 865 | ||||||
Mr Max | 94,103 | 237 | ||||||
Nagoya Railroad | 320,018 | 1,498 | ||||||
Nihon Shokuhin Kako | 1,284 | 4 | ||||||
Nippon Express | 17,973 | 82 | ||||||
Nippon Flour Mills | 121,069 | 996 | ||||||
Nipro | 57,466 | 547 | ||||||
Nisshin Oillio Group | 256,760 | 1,049 | ||||||
Noevir Holdings | 11,757 | 338 | ||||||
NTT DOCOMO | 634,346 | 14,406 | ||||||
Ohsho Food Service | 5,007 | 154 | ||||||
Oracle Japan* | 56,680 | 3,187 | ||||||
Osaka Gas | 336,356 | 1,294 | ||||||
Rock Field | 17,781 | 542 | ||||||
Royal Holdings | 19,257 | 389 | ||||||
Sankyo | 8,473 | 316 | ||||||
Sekisui Chemical | 56,872 | 701 | ||||||
SIA Reit‡ | 38 | 150 | ||||||
Sogo Medical | 4,493 | 153 | ||||||
Studio Alice | 21,632 | 474 | ||||||
Suzuken | 22,274 | 758 | ||||||
Takeda Pharmaceutical | 23,800 | 1,088 | ||||||
Toho Gas | 28,885 | 205 | ||||||
Tokai | 5,905 | 173 | ||||||
TonenGeneral Sekiyu | 99,923 | 905 | ||||||
Trend Micro* | 70,545 | 2,586 | ||||||
USS | 12,068 | 193 | ||||||
Vital KSK Holdings | 52,100 | 412 | ||||||
Yahoo Japan | 44,419 | 189 | ||||||
Yoshinoya Holdings | 229,804 | 2,815 | ||||||
|
| |||||||
76,104 | ||||||||
|
| |||||||
Jersey — 0.0% | ||||||||
Randgold Resources | 5,183 | 475 | ||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Luxembourg — 0.1% | ||||||||
RTL Group | 11,942 | $ | 1,013 | |||||
|
| |||||||
Netherlands — 0.6% | ||||||||
Heineken Holding | 84,798 | 6,627 | ||||||
NN Group | 96,003 | 3,146 | ||||||
|
| |||||||
9,773 | ||||||||
|
| |||||||
New Zealand — 2.3% | ||||||||
Air New Zealand | 725,785 | 1,441 | ||||||
Argosy Property | 430,054 | 354 | ||||||
Auckland International Airport | 1,262,178 | 5,635 | ||||||
Chorus | 160,976 | 448 | ||||||
Contact Energy | 1,425,899 | 4,950 | ||||||
EBOS Group | 17,893 | 214 | ||||||
Fisher & Paykel Healthcare | 402,274 | 2,737 | ||||||
Fletcher Building | 683,313 | 3,743 | ||||||
Genesis Energy | 113,154 | 161 | ||||||
Infratil | 65,956 | 150 | ||||||
Kiwi Property Group‡ | 182,422 | 183 | ||||||
Meridian Energy | 322,575 | 587 | ||||||
Mighty River Power | 392,124 | 795 | ||||||
Nuplex Industries | 133,597 | 482 | ||||||
Port of Tauranga | 23,820 | 303 | ||||||
Restaurant Brands New Zealand | 13,581 | 46 | ||||||
Ryman Healthcare | 316,802 | 1,837 | ||||||
Sky City Entertainment Group | 953,366 | 3,316 | ||||||
SKY Network Television | 558,095 | 1,930 | ||||||
Spark New Zealand | 3,550,566 | 8,998 | ||||||
Summerset Group Holdings | 44,565 | 137 | ||||||
Trade Me Group, Cl H | 69,101 | 211 | ||||||
Z Energy | 339,836 | 1,593 | ||||||
|
| |||||||
40,251 | ||||||||
|
| |||||||
Norway — 1.9% | ||||||||
DNB, Cl A | 161,455 | 1,910 | ||||||
Leroy Seafood Group | 12,146 | 574 | ||||||
Marine Harvest | 115,258 | 1,777 | ||||||
Norsk Hydro | 1,388,074 | 5,717 | ||||||
Orkla | 1,332,666 | 12,076 | ||||||
Telenor | 641,374 | 10,383 | ||||||
|
| |||||||
32,437 | ||||||||
|
| |||||||
Portugal — 0.3% | ||||||||
EDP - Energias de Portugal | 1,042,873 | 3,715 | ||||||
REN - Redes Energeticas Nacionais SGPS | 425,291 | 1,396 | ||||||
Sonaecom - SGPS | 34,299 | 80 | ||||||
|
| |||||||
5,191 | ||||||||
|
| |||||||
Singapore — 2.8% | ||||||||
Ascendas‡ | 1,672,214 | 2,968 | ||||||
CapitaLand Commercial Trust‡ | 2,592,121 | 2,830 | ||||||
CapitaLand Mall Trust‡ | 2,627,425 | 4,078 | ||||||
ComfortDelGro | 1,398,828 | 3,033 | ||||||
First‡ | 89,866 | 82 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Hutchison Port Holdings, Cl U | 632,913 | $ | 317 | |||||
Keppel | 364,278 | 1,577 | ||||||
Metro Holdings | 47,205 | 33 | ||||||
MobileOne | 199,697 | 386 | ||||||
Sabana Shari’ah Compliant Industrial‡ | 556,527 | 260 | ||||||
Singapore Airlines | 260,419 | 2,209 | ||||||
Singapore Exchange | 325,058 | 1,919 | ||||||
Singapore Press Holdings | 1,066,902 | 3,169 | ||||||
Singapore Technologies Engineering | 62,521 | 150 | ||||||
Singapore Telecommunications | 3,930,289 | 11,149 | ||||||
StarHub | 2,370,023 | 5,896 | ||||||
Suntec Real Estate Investment Trust‡ | 263,115 | 327 | ||||||
United Overseas Bank | 186,279 | 2,610 | ||||||
UOL Group | 77,606 | 346 | ||||||
Venture | 195,459 | 1,213 | ||||||
Wilmar International | 1,573,321 | 3,926 | ||||||
|
| |||||||
48,478 | ||||||||
|
| |||||||
Spain — 1.5% | ||||||||
Ebro Foods | 61,231 | 1,339 | ||||||
Endesa | 251,614 | 4,837 | ||||||
Iberdrola | 1,500,148 | 10,019 | ||||||
Red Electrica, Cl B | 116,589 | 10,137 | ||||||
|
| |||||||
26,332 | ||||||||
|
| |||||||
Sweden — 2.0% | ||||||||
Axfood | 341,661 | 6,322 | ||||||
Hennes & Mauritz, Cl B | 126,710 | 4,231 | ||||||
ICA Gruppen | 90,004 | 2,982 | ||||||
Millicom International Cellular | 11,345 | 621 | ||||||
Svenska Cellulosa SCA, Cl B | 157,542 | 4,930 | ||||||
Swedish Match | 389,791 | 13,252 | ||||||
Tele2, Cl B | 225,262 | 2,092 | ||||||
TeliaSonera | 117,979 | 614 | ||||||
|
| |||||||
35,044 | ||||||||
|
| |||||||
Switzerland — 4.0% | ||||||||
Allreal Holding, Cl A | 19,927 | 2,897 | ||||||
Alpiq Holding* | 2,696 | 185 | ||||||
Ascom Holding | 13,429 | 253 | ||||||
Banque Cantonale Vaudoise | 2,324 | 1,626 | ||||||
Barry Callebaut | 729 | 795 | ||||||
Basler Kantonalbank, Cl H | 1,422 | 109 | ||||||
Bell | 30 | 120 | ||||||
Chocoladefabriken Lindt & Spruengli | 126 | 1,612 | ||||||
Coca-Cola HBC | 106,600 | 2,268 | ||||||
Emmi | 786 | 431 | ||||||
EMS-Chemie Holding | 335 | 174 | ||||||
Flughafen Zuerich | 2,335 | 2,099 | ||||||
Galenica | 8,329 | 12,576 | ||||||
Kuehne & Nagel International | 13,460 | 1,921 | ||||||
Mobilezone Holding | 253 | 4 | ||||||
Mobimo Holding | 8,069 | 1,974 |
Description | Shares | Market Value ($ Thousands) | ||||||
Nestle | 137,839 | $ | 10,342 | |||||
Orior | 424 | 28 | ||||||
Schindler Holding | 7,787 | 1,442 | ||||||
SGS, Cl B | 1,148 | 2,436 | ||||||
Siegfried Holding | 3,736 | 692 | ||||||
Sonova Holding | 16,672 | 2,138 | ||||||
Swiss Prime Site, Cl H | 53,171 | 4,708 | ||||||
Swiss Re | 563 | 52 | ||||||
Swisscom | 24,651 | 13,450 | ||||||
Tecan Group | 1,347 | 205 | ||||||
Valora Holding | 7,177 | 1,799 | ||||||
Ypsomed Holding AG | 19,104 | 2,743 | ||||||
|
| |||||||
69,079 | ||||||||
|
| |||||||
United Kingdom — 8.4% | ||||||||
Admiral Group | 124,325 | 3,543 | ||||||
Auto Trader Group (A) | 99,778 | 559 | ||||||
BCA Marketplace | 75,693 | 199 | ||||||
Berendsen | 51,168 | 885 | ||||||
Berkeley Group Holdings | 20,588 | 952 | ||||||
British American Tobacco | 176,429 | 10,371 | ||||||
Britvic | 81,388 | 831 | ||||||
Centrica | 188,729 | 618 | ||||||
Compass Group | 112,654 | 1,988 | ||||||
Cranswick | 45,923 | 1,408 | ||||||
DCC | 15,473 | 1,368 | ||||||
Dechra Pharmaceuticals | 6,726 | 117 | ||||||
Diageo | 123,553 | 3,341 | ||||||
Direct Line Insurance Group | 276,058 | 1,469 | ||||||
EMIS Group | 21,307 | 310 | ||||||
GlaxoSmithKline | 199,322 | 4,045 | ||||||
Greggs | 306,745 | 4,792 | ||||||
Halfords Group | 80,985 | 461 | ||||||
Hammerson‡ | 33,211 | 276 | ||||||
Hansteen Holdings‡ | 100,986 | 154 | ||||||
Imperial Brands | 372,196 | 20,665 | ||||||
Inchcape | 289,749 | 3,013 | ||||||
Indivior | 368,404 | 864 | ||||||
Intu Properties‡ | 209,601 | 943 | ||||||
ITV | 383,866 | 1,331 | ||||||
JD Sports Fashion | 11,611 | 188 | ||||||
KCOM Group | 22,026 | 34 | ||||||
Kennedy Wilson Europe Real Estate | 60,752 | 1,022 | ||||||
LondonMetric Property‡ | 145,234 | 331 | ||||||
Lookers | 121,417 | 276 | ||||||
McBride | 72,348 | 169 | ||||||
Meggitt | 16,214 | 95 | ||||||
Melrose Industries | 49,717 | 255 | ||||||
Merlin Entertainments (A) | 77,404 | 516 | ||||||
Mitie Group | 74,455 | 275 | ||||||
National Grid | 718,722 | 10,198 | ||||||
Next, Cl A | 185,958 | 14,433 |
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Pennon Group | 29,472 | $ | 344 | |||||
Persimmon | 4,573 | 137 | ||||||
QinetiQ Group | 311,563 | 1,021 | ||||||
Reckitt Benckiser Group | 104,858 | 10,143 | ||||||
Rentokil Initial | 1,108,242 | 2,816 | ||||||
Royal Mail | 234,620 | 1,621 | ||||||
Sage Group | 476,218 | 4,305 | ||||||
Shaftesbury‡ | 36,137 | 473 | ||||||
SSE | 700,956 | 15,032 | ||||||
Tate & Lyle | 78,254 | 650 | ||||||
Taylor Wimpey | 153,887 | 421 | ||||||
Tritax Big Box‡ | 179,898 | 348 | ||||||
Unilever | 301,012 | 13,639 | ||||||
United Utilities Group, Cl B | 43,332 | 575 | ||||||
WH Smith | 14,375 | 376 | ||||||
William Hill | 244,159 | 1,148 | ||||||
|
| |||||||
145,344 | ||||||||
|
| |||||||
United States — 39.2% | ||||||||
3M | 847 | 141 | ||||||
Activision Blizzard | 84,453 | 2,858 | ||||||
Altria Group | 209,497 | 13,127 | ||||||
American Capital Agency, Cl A‡ | 21,502 | 401 | ||||||
American Electric Power | 24,714 | 1,641 | ||||||
American Financial Group | 5,284 | 372 | ||||||
AmerisourceBergen | 207,109 | 17,925 | ||||||
Apollo Residential Mortgage‡ | 113,180 | 1,519 | ||||||
Ares Commercial Real Estate‡ | 116,798 | 1,279 | ||||||
AT&T | 483,387 | 18,934 | ||||||
Atlantic Telegraph-Network | 4,375 | 332 | ||||||
Autozone* | 23,202 | 18,485 | ||||||
Beneficial Bancorp* | 198,128 | 2,712 | ||||||
Bio-Rad Laboratories, Cl A* | 13,823 | 1,890 | ||||||
Bunge | 117,666 | 6,668 | ||||||
C.R. Bard | 51,707 | 10,479 | ||||||
CACI International, Cl A* | 92,519 | 9,872 | ||||||
Campbell Soup | 182,902 | 11,667 | ||||||
Capitol Federal Financial | 477,092 | 6,326 | ||||||
Cardinal Health | 138,139 | 11,320 | ||||||
Casey’s General Stores | 8,228 | 932 | ||||||
Chemed | 49,627 | 6,722 | ||||||
Chimera Investment‡ | 290,779 | 3,952 | ||||||
Church & Dwight | 113,976 | 10,506 | ||||||
Cincinnati Financial | 1,516 | 99 | ||||||
Clifton Bancorp | 24,776 | 375 | ||||||
Clorox | 187,120 | 23,588 | ||||||
Coca-Cola | 247,124 | 11,464 | ||||||
Colgate-Palmolive | 145,431 | 10,275 | ||||||
Computer Programs & Systems | 40,344 | 2,103 | ||||||
Consolidated Edison | 80,367 | 6,158 | ||||||
Costco Wholesale | 89,686 | 14,133 | ||||||
CSG Systems International | 12,075 | 545 |
Description | Shares | Market Value ($ Thousands) | ||||||
CYS Investments‡ | 32,603 | $ | 265 | |||||
Darden Restaurants | 79,221 | 5,252 | ||||||
DaVita HealthCare Partners* | 138,535 | 10,166 | ||||||
DENTSPLY SIRONA | 128,243 | 7,904 | ||||||
DHI Group* | 29,705 | 240 | ||||||
Dime Community Bancshares | 42,813 | 754 | ||||||
Dollar General | 101,818 | 8,716 | ||||||
Dr Pepper Snapple Group | 46,790 | 4,184 | ||||||
DST Systems | 26,267 | 2,962 | ||||||
Duke Energy | 78,120 | 6,303 | ||||||
Easterly Government Properties‡ | 20,940 | 388 | ||||||
Edison International | 4,829 | 347 | ||||||
Edwards Lifesciences, Cl A* | 5,223 | 461 | ||||||
Ellington Residential Mortgage‡ | 7,588 | 91 | ||||||
Empire District Electric | 5,978 | 198 | ||||||
Entergy | 8,847 | 701 | ||||||
Express Scripts Holding* | 39,871 | 2,739 | ||||||
Foot Locker, Cl A | 4,998 | 322 | ||||||
Fresh Del Monte Produce | 114,031 | 4,797 | ||||||
GameStop, Cl A | 199,010 | 6,315 | ||||||
General Mills | 332,985 | 21,095 | ||||||
Genworth Financial, Cl A* | 309,864 | 846 | ||||||
Getty Realty‡ | 39,968 | 793 | ||||||
Great Plains Energy | 11,976 | 386 | ||||||
Halyard Health* | 1 | — | ||||||
Henry Schein* | 63,568 | 10,974 | ||||||
Hershey | 55,840 | 5,142 | ||||||
Hill-Rom Holdings | 140,430 | 7,064 | ||||||
Hormel Foods | 63,917 | 2,764 | ||||||
Ingredion | 48,221 | 5,150 | ||||||
J&J Snack Foods | 1,532 | 166 | ||||||
Jack Henry & Associates | 124,048 | 10,491 | ||||||
Johnson & Johnson | 153,226 | 16,579 | ||||||
Kaiser Aluminum | 79,495 | 6,720 | ||||||
Kearny Financial | 117,943 | 1,457 | ||||||
Kellogg | 133,497 | 10,219 | ||||||
Kimberly-Clark | 105,224 | 14,154 | ||||||
Kohl’s | 18,104 | 844 | ||||||
Lamar Advertising, Cl A‡ | 154,557 | 9,505 | ||||||
Lancaster Colony | 15,295 | 1,691 | ||||||
Leggett & Platt | 33,162 | 1,605 | ||||||
LifePoint Health* | 98,206 | 6,801 | ||||||
Lockheed Martin | 12,360 | 2,738 | ||||||
Magellan Health* | 19,978 | 1,357 | ||||||
Mantech International, Cl A | 60,927 | 1,949 | ||||||
McCormick | 115,327 | 11,473 | ||||||
McDonald’s | 123,335 | 15,501 | ||||||
Meridian Bancorp | 23,404 | 326 | ||||||
Meridian Bioscience | 94,895 | 1,956 | ||||||
National HealthCare | 6,696 | 417 | ||||||
NII Holdings* | 147,142 | 814 | ||||||
Northfield Bancorp | 61,626 | 1,013 |
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Northwest Bancshares | 225,272 | $ | 3,043 | |||||
Oil-Dri Corp of America | 2,201 | 74 | ||||||
Omnicom Group | 23,934 | 1,992 | ||||||
O’Reilly Automotive* | 4,007 | 1,097 | ||||||
Owens & Minor | 272,449 | 11,012 | ||||||
Patterson | 95,820 | 4,458 | ||||||
People’s United Financial | 130,670 | 2,082 | ||||||
PepsiCo | 105,074 | 10,768 | ||||||
PG&E | 10,278 | 614 | ||||||
Philip Morris International | 109,808 | 10,773 | ||||||
Pinnacle West Capital | 1,373 | 103 | ||||||
Procter & Gamble | 194,385 | 16,000 | ||||||
Quality Systems* | 168,208 | 2,563 | ||||||
Reading International, Cl A* | 10,388 | 124 | ||||||
Reliance Steel & Aluminum | 41,912 | 2,900 | ||||||
Republic Services | 207,215 | 9,874 | ||||||
ResMed | 13,628 | 788 | ||||||
Silver Bay Realty Trust‡ | 86,765 | 1,288 | ||||||
Southern | 196,740 | 10,177 | ||||||
Spectrum Brands Holdings | 79,005 | 8,634 | ||||||
Sykes Enterprises* | 19,217 | 580 | ||||||
Synopsys* | 31,188 | 1,511 | ||||||
SYSCO, Cl A | 522,632 | 24,423 | ||||||
Target, Cl A | 30,597 | 2,518 | ||||||
Taro Pharmaceutical Industries* | 1,889 | 271 | ||||||
Teleflex | 64,954 | 10,198 | ||||||
Telephone & Data Systems | 34,801 | 1,047 | ||||||
Territorial Bancorp | 4,643 | 121 | ||||||
TJX | 6,204 | 486 | ||||||
Trustco Bank NY | 33,404 | 202 | ||||||
United Parcel Service, Cl B | 98,138 | 10,351 | ||||||
United Therapeutics* | 34,997 | 3,900 | ||||||
Unitil | 47,764 | 2,029 | ||||||
Universal | 86,763 | 4,929 | ||||||
US Cellular* | 9,756 | 446 | ||||||
Varian Medical Systems* | 17,019 | 1,362 | ||||||
Vector Group | 380,057 | 8,680 | ||||||
VeriSign* | 65,789 | 5,825 | ||||||
Voya Financial | 190,102 | 5,659 | ||||||
Wal-Mart Stores | 217,560 | 14,901 | ||||||
Waste Management | 180,447 | 10,646 | ||||||
Waterstone Financial | 28,828 | 394 | ||||||
WD-40 | 9,537 | 1,030 | ||||||
Weis Markets | 12,850 | 579 | ||||||
Xcel Energy | 20,074 | 839 | ||||||
|
| |||||||
675,186 | ||||||||
|
| |||||||
Total Common Stock | 1,640,160 | |||||||
|
|
Description | Shares/Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
PREFERRED STOCK — 0.2% | ||||||||
Germany — 0.2% | ||||||||
Henkel & KGaA | 30,416 | $ | 3,358 | |||||
|
| |||||||
Sweden — 0.0% | ||||||||
Akelius Residential Property | 6,952 | 252 | ||||||
|
| |||||||
Total Preferred Stock | 3,610 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION — 0.2% |
| |||||||
U.S. Treasury Bills | $ | 4,130 | 4,125 | |||||
|
| |||||||
Total U.S. Treasury Obligation | 4,125 | |||||||
|
| |||||||
CASH EQUIVALENT — 4.0% | ||||||||
SEI Daily Income Trust, Prime Obligation | 68,141,096 | 68,141 | ||||||
|
| |||||||
Total Cash Equivalent | 68,141 | |||||||
|
| |||||||
Total Investments — 99.7% | $ | 1,716,036 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 203 | Jun-2016 | $ | (104 | ) | |||||||
FTSE 100 Index | 55 | Jun-2016 | 21 | |||||||||
Hang Seng Index | 6 | Apr-2016 | 16 | |||||||||
S&P 500 Index E-MINI | 295 | Jun-2016 | 933 | |||||||||
SPI 200 Index | 23 | Jun-2016 | (16 | ) | ||||||||
Topix Index | 32 | Jun-2016 | (2 | ) | ||||||||
|
| |||||||||||
$ | 848 | |||||||||||
|
|
For the period ended March 31, 2016, 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.
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund (Concluded)
March 31, 2016
A list of the open forward foreign currency contracts held by the Fund at March 31, 2016, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency To Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
04/28/16 | USD | 80 | DKK | 527 | $ | 1 | ||||||||||||||
04/28/16 | USD | 234 | JPY | 26,439 | 1 | |||||||||||||||
04/28/16 | USD | 335 | HKD | 2,600 | — | |||||||||||||||
04/28/16 | USD | 423 | SEK | 3,469 | 5 | |||||||||||||||
04/28/16 | USD | 518 | NOK | 4,334 | 6 | |||||||||||||||
04/28/16 | USD | 554 | SGD | 754 | 6 | |||||||||||||||
04/28/16 | USD | 634 | NZD | 929 | 10 | |||||||||||||||
04/28/16 | USD | 765 | CHF | 739 | 8 | |||||||||||||||
04/28/16 | USD | 1,314 | EUR | 1,165 | 15 | |||||||||||||||
04/28/16 | USD | 1,433 | AUD | 1,883 | 13 | |||||||||||||||
04/28/16 | USD | 1,981 | GBP | 1,385 | 10 | |||||||||||||||
04/28/16 | USD | 2,917 | CAD | 3,814 | 32 | |||||||||||||||
04/28/16 | DKK | 25,223 | USD | 3,783 | (78 | ) | ||||||||||||||
04/28/16 | NZD | 27,114 | USD | 18,140 | (657 | ) | ||||||||||||||
04/28/16 | CHF | 35,120 | USD | 36,112 | (609 | ) | ||||||||||||||
04/28/16 | SGD | 36,385 | USD | 26,619 | (407 | ) | ||||||||||||||
04/28/16 | SGD | 46,596 | EUR | 4,082 | — | |||||||||||||||
04/28/16 | EUR | 56,081 | USD | 62,724 | (1,221 | ) | ||||||||||||||
04/28/16 | GBP | 56,236 | USD | 79,356 | (1,467 | ) | ||||||||||||||
04/28/16 | AUD | 68,333 | USD | 51,402 | (1,097 | ) | ||||||||||||||
04/28/16 | CAD | 137,758 | USD | 104,308 | (2,210 | ) | ||||||||||||||
04/28/16 | NOK | 139,896 | USD | 16,482 | (435 | ) | ||||||||||||||
04/28/16 | SEK | 157,183 | USD | 19,021 | (390 | ) | ||||||||||||||
04/28/16 | HKD | 260,107 | USD | 33,547 | 5 | |||||||||||||||
04/28/16 | JPY | 4,683,375 | USD | 41,599 | (107 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (8,566 | ) | ||||||||||||||||||
|
|
A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2016, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Depreciation ($ Thousands) | |||||||||
Brown Brothers Harriman | (517,037 | ) | 508,471 | $ | (8,566 | ) | ||||||
|
|
For the period ended March 31, 2016, the total amount of all open forward currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $1,721,032 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(B) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(C) | The rate reported is the effective yield at time of purchase. |
AUD — Australia Dollar
CAD — Canadian Dollar
CHF — Swiss Franc
Cl — Class
DJ — Dow Jones
DKK — Denmark Krone
EUR— Euro
FTSE — Financial Times and the London Stock Exchange
GBP — British Pound
HKD — Hong Kong Dollar
JPY — Japanese Yen
NOK — Norwegian Krone
NZD— New Zealand Dollar
S&P — Standard & Poor’s
SEK — Sweden Krona
SGD — Singapore Dollar
SPI — Swiss Performance Index
USD — United States Dollar
The following is a summary of the inputs used as of March 31, 2016, 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 | $ | 1,630,964 | $ | 9,196 | $ | — | $ | 1,640,160 | ||||||||
Preferred Stock | 3,358 | 252 | — | 3,610 | ||||||||||||
U.S. Treasury Obligation | — | 4,125 | — | 4,125 | ||||||||||||
Cash Equivalent | 68,141 | — | — | 68,141 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,702,463 | $ | 13,573 | $ | — | $ | 1,716,036 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 970 | $ | — | $ | — | $ | 970 | ||||||||
Unrealized Depreciation | (122 | ) | — | — | (122 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 112 | — | 112 | ||||||||||||
Unrealized Depreciation | — | (8,678 | ) | — | (8,678 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 848 | $ | (8,566 | ) | $ | — | $ | (7,718 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures and forwards contracts are valued at the unrealized appreciation/ (depreciation) on the instrument. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
7 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Managed Volatility Fund
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.7% | ||||||||
Consumer Discretionary — 8.9% | ||||||||
Abercrombie & Fitch, Cl A | 125,200 | $ | 3,949 | |||||
American Eagle Outfitters | 235,940 | 3,933 | ||||||
Autozone* | 3,400 | 2,709 | ||||||
Bed Bath & Beyond* | 122,290 | 6,071 | ||||||
Best Buy | 13,870 | 450 | ||||||
Big Lots | 90,390 | 4,094 | ||||||
Brinker International | 74,350 | 3,416 | ||||||
Canadian Tire, Cl A | 29,600 | 3,094 | ||||||
Cheesecake Factory | 55,900 | 2,968 | ||||||
Chico’s FAS | 22,890 | 304 | ||||||
Cogeco Communications | 10,500 | 562 | ||||||
Comcast, Cl A | 42,900 | 2,620 | ||||||
Dillard’s, Cl A | 36,622 | 3,110 | ||||||
Dollar General | 20,227 | 1,731 | ||||||
Dollar Tree* | 15,585 | 1,285 | ||||||
Domino’s Pizza | 9,770 | 1,288 | ||||||
Dunkin’ Brands Group | 43,181 | 2,037 | ||||||
Foot Locker, Cl A | 71,400 | 4,605 | ||||||
Gap | 75,259 | 2,213 | ||||||
Graham Holdings, Cl B | 1,400 | 672 | ||||||
Grand Canyon Education* | 9,070 | 388 | ||||||
Kohl’s | 69,100 | 3,221 | ||||||
Madison Square Garden* | 3,251 | 541 | ||||||
McDonald’s | 62,343 | 7,835 | ||||||
Michael Kors Holdings* | 65,560 | 3,734 | ||||||
MSG Networks* | 37,043 | 640 | ||||||
NVR* | 2,250 | 3,898 | ||||||
Panera Bread, Cl A* | 29,875 | 6,119 | ||||||
Scripps Networks Interactive, Cl A | 46,400 | 3,039 | ||||||
Shaw Communications, Cl B | 92,000 | 1,785 | ||||||
Staples | 35,476 | 391 | ||||||
Target, Cl A | 125,101 | 10,293 | ||||||
Time Warner Cable, Cl A | 13,200 | 2,701 | ||||||
Viacom, Cl B | 28,600 | 1,181 | ||||||
Williams-Sonoma | 13,063 | 715 | ||||||
|
| |||||||
97,592 | ||||||||
|
| |||||||
Consumer Staples — 20.0% | ||||||||
Altria Group | 261,314 | 16,374 | ||||||
Archer-Daniels-Midland | 45,200 | 1,641 | ||||||
Bunge | 41,700 | 2,363 | ||||||
Cal-Maine Foods | 68,600 | 3,561 | ||||||
Campbell Soup | 17,609 | 1,123 | ||||||
Casey’s General Stores | 31,200 | 3,536 | ||||||
Church & Dwight | 61,673 | 5,685 | ||||||
Clorox | 70,061 | 8,832 | ||||||
Coca-Cola | 119,571 | 5,547 | ||||||
Coca-Cola Enterprises | 123,408 | 6,262 | ||||||
Colgate-Palmolive | 75,764 | 5,353 |
Description | Shares | Market Value ($ Thousands) | ||||||
ConAgra Foods | 120,838 | $ | 5,392 | |||||
Costco Wholesale | 58,129 | 9,160 | ||||||
CVS Health | 27,100 | 2,811 | ||||||
Dean Foods | 184,166 | 3,190 | ||||||
Dr Pepper Snapple Group | 78,730 | 7,040 | ||||||
General Mills | 60,437 | 3,829 | ||||||
Hershey | 67,871 | 6,250 | ||||||
Hormel Foods | 200,648 | 8,676 | ||||||
Ingredion | 52,727 | 5,631 | ||||||
JM Smucker | 33,707 | 4,376 | ||||||
Kellogg | 99,026 | 7,580 | ||||||
Kimberly-Clark | 47,826 | 6,433 | ||||||
Kroger | 252,032 | 9,640 | ||||||
McCormick | 72,119 | 7,174 | ||||||
Metro, Cl A | 58,400 | 2,034 | ||||||
PepsiCo | 92,067 | 9,435 | ||||||
Philip Morris International | 79,517 | 7,801 | ||||||
Pinnacle Foods | 4,825 | 216 | ||||||
Procter & Gamble | 93,908 | 7,730 | ||||||
Reynolds American | 137,289 | 6,907 | ||||||
Sanderson Farms | 28,145 | 2,538 | ||||||
Sprouts Farmers Market* | 52,758 | 1,532 | ||||||
SYSCO, Cl A | 193,210 | 9,029 | ||||||
Tyson Foods, Cl A | 58,500 | 3,900 | ||||||
Universal | 16,000 | 909 | ||||||
Wal-Mart Stores | 209,519 | 14,350 | ||||||
Weis Markets | 43,300 | 1,951 | ||||||
Whole Foods Market | 107,279 | 3,337 | ||||||
|
| |||||||
219,128 | ||||||||
|
| |||||||
Energy — 0.5% | ||||||||
Exxon Mobil | 63,000 | 5,266 | ||||||
|
| |||||||
Financials — 18.2% | ||||||||
Aflac | 56,400 | 3,561 | ||||||
Allied World Assurance Holdings | 95,630 | 3,341 | ||||||
Allstate | 86,300 | 5,814 | ||||||
American Capital Agency, Cl A‡ | 97,595 | 1,818 | ||||||
American Financial Group | 90,130 | 6,342 | ||||||
American Homes 4 Rent, Cl A‡ | 39,213 | 624 | ||||||
Annaly Capital Management‡ | 370,000 | 3,796 | ||||||
Apollo Commercial Real Estate Finance‡ | 113,500 | 1,850 | ||||||
Arch Capital Group* | 72,430 | 5,150 | ||||||
Aspen Insurance Holdings | 129,812 | 6,192 | ||||||
Assurant | 33,650 | 2,596 | ||||||
Assured Guaranty | 145,920 | 3,692 | ||||||
Axis Capital Holdings | 136,931 | 7,594 | ||||||
BOK Financial | 52,300 | 2,857 | ||||||
Canadian Imperial Bank of Commerce | 31,000 | 2,325 | ||||||
CBOE Holdings | 154,265 | 10,078 | ||||||
Chubb | 12,399 | 1,477 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Managed Volatility Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Cullen/Frost Bankers | 39,994 | $ | 2,204 | |||||
Endurance Specialty Holdings | 42,200 | 2,757 | ||||||
Equity LifeStyle Properties‡ | 51,170 | 3,722 | ||||||
Everest Re Group | 57,316 | 11,316 | ||||||
Genworth MI Canada | 23,900 | 566 | ||||||
Hanover Insurance Group, Cl A | 19,700 | 1,777 | ||||||
Maiden Holdings | 62,300 | 806 | ||||||
Markel* | 3,151 | 2,809 | ||||||
MFA Financial‡ | 862,161 | 5,906 | ||||||
Mid-America Apartment Communities‡ | 57,610 | 5,888 | ||||||
Morningstar, Cl A | 57,051 | 5,036 | ||||||
National Bank of Canada | 71,400 | 2,346 | ||||||
National Health Investors‡ | 26,300 | 1,750 | ||||||
Piedmont Office Realty Trust, Cl A‡ | 142,900 | 2,902 | ||||||
PNC Financial Services Group | 37,500 | 3,171 | ||||||
Post Properties‡ | 55,654 | 3,325 | ||||||
ProAssurance | 43,569 | 2,205 | ||||||
Progressive | 115,800 | 4,069 | ||||||
Public Storage‡ | 2,500 | 690 | ||||||
Reinsurance Group of America, Cl A | 38,990 | 3,753 | ||||||
RenaissanceRe Holdings | 106,947 | 12,816 | ||||||
RLJ Lodging Trust‡ | 33,770 | 773 | ||||||
Select Income REIT‡ | 65,000 | 1,498 | ||||||
Senior Housing Properties Trust‡ | 132,100 | 2,363 | ||||||
Simon Property Group‡ | 5,380 | 1,117 | ||||||
SLM* | 119,945 | 763 | ||||||
Starwood Property Trust‡ | 113,800 | 2,154 | ||||||
Tanger Factory Outlet Centers‡ | 117,110 | 4,262 | ||||||
TFS Financial | 173,405 | 3,012 | ||||||
Travelers | 97,150 | 11,338 | ||||||
Two Harbors Investment‡ | 318,147 | 2,526 | ||||||
Validus Holdings | 198,574 | 9,371 | ||||||
Wells Fargo | 71,600 | 3,463 | ||||||
Welltower‡ | 51,300 | 3,557 | ||||||
White Mountains Insurance Group | 5,238 | 4,204 | ||||||
XL Group, Cl A | 22,424 | 825 | ||||||
|
| |||||||
200,147 | ||||||||
|
| |||||||
Health Care — 12.1% | ||||||||
AbbVie | 53,300 | 3,044 | ||||||
Aetna, Cl A | 63,300 | 7,112 | ||||||
AmerisourceBergen | 75,737 | 6,555 | ||||||
Amgen, Cl A | 16,800 | 2,519 | ||||||
Anthem | 56,500 | 7,853 | ||||||
AstraZeneca ADR | 107,200 | 3,019 | ||||||
Baxalta | 53,200 | 2,149 | ||||||
C.R. Bard | 8,000 | 1,621 | ||||||
Cardinal Health | 90,100 | 7,384 | ||||||
DaVita HealthCare Partners* | 22,670 | 1,663 | ||||||
Edwards Lifesciences, Cl A* | 2,820 | 249 | ||||||
Express Scripts Holding* | 61,100 | 4,197 | ||||||
Gilead Sciences | 42,040 | 3,862 |
Description | Shares | Market Value ($ Thousands) | ||||||
Hill-Rom Holdings | 69,120 | $ | 3,477 | |||||
Hologic* | 62,870 | 2,169 | ||||||
Humana | 11,900 | 2,177 | ||||||
Johnson & Johnson | 210,803 | 22,809 | ||||||
Laboratory Corp of America Holdings* | 24,911 | 2,918 | ||||||
Masimo* | 14,010 | 586 | ||||||
McKesson | 11,300 | 1,777 | ||||||
Merck | 221,700 | 11,730 | ||||||
Owens & Minor | 91,570 | 3,701 | ||||||
Patterson | 75,082 | 3,493 | ||||||
Pfizer | 315,510 | 9,352 | ||||||
Quest Diagnostics | 40,600 | 2,901 | ||||||
Stryker | 24,310 | 2,608 | ||||||
United Therapeutics* | 31,550 | 3,516 | ||||||
UnitedHealth Group | 61,650 | 7,947 | ||||||
Varian Medical Systems* | 5,500 | 440 | ||||||
|
| |||||||
132,828 | ||||||||
|
| |||||||
Industrials — 6.0% | ||||||||
Alaska Air Group | 50,340 | 4,129 | ||||||
Allegiant Travel, Cl A | 3,000 | 534 | ||||||
American Airlines Group | 87,790 | 3,600 | ||||||
Boeing | 21,700 | 2,755 | ||||||
Deere | 46,700 | 3,595 | ||||||
Delta Air Lines, Cl A | 79,090 | 3,850 | ||||||
General Dynamics | 8,600 | 1,130 | ||||||
Huntington Ingalls Industries, Cl A | 15,320 | 2,098 | ||||||
Kaman, Cl A | 23,100 | 986 | ||||||
L-3 Communications Holdings | 24,400 | 2,891 | ||||||
Landstar System | 72,391 | 4,677 | ||||||
Lockheed Martin | 6,400 | 1,418 | ||||||
Northrop Grumman | 49,100 | 9,717 | ||||||
Orbital ATK | 24,500 | 2,130 | ||||||
Raytheon | 66,100 | 8,106 | ||||||
Republic Services | 61,500 | 2,931 | ||||||
Southwest Airlines, Cl A | 38,120 | 1,708 | ||||||
Stericycle, Cl A* | 38,292 | 4,832 | ||||||
United Technologies | 41,800 | 4,184 | ||||||
Waste Management | 15,779 | 931 | ||||||
|
| |||||||
66,202 | ||||||||
|
| |||||||
Information Technology — 9.0% | ||||||||
Amdocs | 181,340 | 10,957 | ||||||
Apple | 22,500 | 2,452 | ||||||
Aspen Technology* | 107,813 | 3,895 | ||||||
Automatic Data Processing | 41,459 | 3,719 | ||||||
Broadridge Financial Solutions | 44,500 | 2,639 | ||||||
Brocade Communications Systems | 371,323 | 3,929 | ||||||
CA | 69,600 | 2,143 | ||||||
Canon ADR | 87,700 | 2,615 | ||||||
Cisco Systems | 242,600 | 6,907 | ||||||
Convergys | 85,000 | 2,360 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Managed Volatility Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
CSG Systems International | 37,600 | $ | 1,698 | |||||
eBay* | 133,480 | 3,185 | ||||||
Harris | 20,200 | 1,573 | ||||||
IAC* | 9,230 | 435 | ||||||
Intel | 167,200 | 5,409 | ||||||
International Business Machines | 45,300 | 6,861 | ||||||
Jack Henry & Associates | 13,800 | 1,167 | ||||||
Microsoft | 90,100 | 4,976 | ||||||
NetApp | 85,330 | 2,329 | ||||||
Oracle, Cl B | 60,400 | 2,471 | ||||||
Qualcomm | 51,900 | 2,654 | ||||||
Science Applications International | 14,671 | 783 | ||||||
Symantec, Cl A | 394,824 | 7,257 | ||||||
Synopsys* | 58,000 | 2,809 | ||||||
Take-Two Interactive Software, Cl A* | 100,719 | 3,794 | ||||||
Tech Data* | 52,390 | 4,022 | ||||||
VeriSign* | 44,120 | 3,906 | ||||||
Western Union | 118,100 | 2,278 | ||||||
|
| |||||||
99,223 | ||||||||
|
| |||||||
Materials — 1.4% | ||||||||
AptarGroup | 7,900 | 619 | ||||||
Avery Dennison | 31,600 | 2,279 | ||||||
Bemis | 44,400 | 2,299 | ||||||
Kaiser Aluminum | 33,600 | 2,841 | ||||||
Royal Gold, Cl A | 20,338 | 1,043 | ||||||
Silgan Holdings | 42,100 | 2,239 | ||||||
Sonoco Products | 74,703 | 3,628 | ||||||
|
| |||||||
14,948 | ||||||||
|
| |||||||
Telecommunication Services — 4.7% |
| |||||||
AT&T | 438,439 | 17,174 | ||||||
BCE | 53,500 | 2,448 | ||||||
CenturyTel | 105,200 | 3,362 | ||||||
NTT DoCoMo ADR | 130,100 | 2,962 | ||||||
Rogers Communications, Cl B | 68,600 | 2,758 | ||||||
SK Telecom ADR | 129,800 | 2,618 | ||||||
Telephone & Data Systems | 19,850 | 597 | ||||||
TELUS | 90,200 | 2,949 | ||||||
Verizon Communications | 311,702 | 16,857 | ||||||
|
| |||||||
51,725 | ||||||||
|
| |||||||
Utilities — 13.9% | ||||||||
AES | 173,305 | 2,045 | ||||||
Alliant Energy | 6,300 | 468 | ||||||
Ameren | 60,200 | 3,016 | ||||||
American Electric Power | 153,770 | 10,210 | ||||||
Atmos Energy | 7,375 | 548 | ||||||
CMS Energy | 88,120 | 3,740 | ||||||
Consolidated Edison | 165,942 | 12,714 | ||||||
DTE Energy | 54,877 | 4,975 | ||||||
Duke Energy | 60,331 | 4,867 |
Description | Shares/ Number of Rights/ ($ Thousands) | Market Value ($ Thousands) | ||||||
Edison International | 130,710 | $ | 9,397 | |||||
Entergy | 130,190 | 10,321 | ||||||
Eversource Energy | 113,570 | 6,626 | ||||||
Exelon | 161,500 | 5,791 | ||||||
FirstEnergy | 234,790 | 8,445 | ||||||
Great Plains Energy | 120,356 | 3,881 | ||||||
ITC Holdings | 75,342 | 3,283 | ||||||
NiSource | 57,380 | 1,352 | ||||||
NRG Energy | 178,650 | 2,324 | ||||||
PG&E | 171,750 | 10,257 | ||||||
Pinnacle West Capital | 84,172 | 6,319 | ||||||
Portland General Electric | 64,100 | 2,531 | ||||||
PPL | 53,000 | 2,018 | ||||||
Public Service Enterprise Group | 223,120 | 10,518 | ||||||
SCANA | 41,600 | 2,918 | ||||||
Southern | 151,431 | 7,834 | ||||||
Southwest Gas | 37,601 | 2,476 | ||||||
UGI | 57,750 | 2,327 | ||||||
Vectren | 73,315 | 3,707 | ||||||
WEC Energy Group | 119,204 | 7,161 | ||||||
|
| |||||||
152,069 | ||||||||
|
| |||||||
Total Common Stock |
| 1,039,128 | ||||||
|
| |||||||
RIGHTS — 0.0% |
| |||||||
United States — 0.0% | ||||||||
Safeway CVR - Casa Ley*‡‡ | 85 | 87 | ||||||
Safeway CVR - PDC*‡‡ | 85 | 4 | ||||||
|
| |||||||
Total Rights |
| 91 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATION — 0.2% |
| |||||||
U.S. Treasury Bills 0.424%, 08/18/2016 (A) (B) | $ | 1,685 | 1,683 | |||||
|
| |||||||
Total U.S. Treasury Obligation |
| 1,683 | ||||||
|
| |||||||
CASH EQUIVALENT — 4.8% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 52,325,452 | 52,325 | ||||||
|
| |||||||
Total Cash Equivalent |
| 52,325 | ||||||
|
| |||||||
Total Investments — 99.7% |
| $ | 1,093,227 | |||||
|
|
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Managed Volatility Fund (Concluded)
March 31, 2016
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 297 | Jun-2016 | $ | 727 | ||||||||
|
|
For the period ended March 31, 2016, 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 $1,097,029 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2016. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
‡‡ | Expiration date unavailable |
(A) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(B) | The rate reported is the effective yield at time of purchase. |
ADR — American Depositary Receipt
Cl — Class
S&P — Standard & Poor’s
The following is a list of the inputs used as of March 31, 2016, 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 | $ | 1,039,128 | $ | — | $ | — | $ | 1,039,128 | ||||||||
Rights | — | 91 | — | 91 | ||||||||||||
U.S. Treasury Obligation | — | 1,683 | — | 1,683 | ||||||||||||
Cash Equivalent | 52,325 | — | — | 52,325 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,091,453 | $ | 1,774 | $ | — | $ | 1,093,227 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 727 | $ | — | $ | — | $ | 727 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 727 | $ | — | $ | — | $ | 727 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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 $0.
The accompanying notes are an integral part of the financial statements.
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Dynamic Asset Allocation Fund
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 98.5% | ||||||||
Consumer Discretionary — 12.7% | ||||||||
Advance Auto Parts | 1,894 | $ | 304 | |||||
Amazon.com, Cl A* | 10,436 | 6,195 | ||||||
Autonation* | 2,116 | 99 | ||||||
Autozone* | 825 | 657 | ||||||
Bed Bath & Beyond* | 4,655 | 231 | ||||||
Best Buy | 7,878 | 256 | ||||||
BorgWarner | 5,801 | 223 | ||||||
Cablevision Systems, Cl A | 6,312 | 208 | ||||||
CarMax* | 5,456 | 279 | ||||||
Carnival | 11,880 | 627 | ||||||
CBS, Cl B | 11,688 | 644 | ||||||
Chipotle Mexican Grill, Cl A* | 823 | 388 | ||||||
Coach | 7,634 | 306 | ||||||
Comcast, Cl A | 65,790 | 4,018 | ||||||
Darden Restaurants | 3,234 | 214 | ||||||
Delphi Automotive | 7,341 | 551 | ||||||
Discovery Communications, Cl A* | 4,029 | 115 | ||||||
Discovery Communications, Cl C* | 6,593 | 178 | ||||||
Dollar General | 7,873 | 674 | ||||||
Dollar Tree* | 6,285 | 518 | ||||||
DR Horton | 9,286 | 281 | ||||||
Expedia | 3,115 | 336 | ||||||
Ford Motor | 105,776 | 1,428 | ||||||
GameStop, Cl A | 2,745 | 87 | ||||||
Gap | 6,198 | 182 | ||||||
Garmin | 3,304 | 132 | ||||||
General Motors | 37,377 | 1,175 | ||||||
Genuine Parts | 4,004 | 398 | ||||||
Goodyear Tire & Rubber | 7,416 | 245 | ||||||
H&R Block | 6,610 | 175 | ||||||
Hanesbrands | 10,667 | 302 | ||||||
Harley-Davidson, Cl A | 4,955 | 254 | ||||||
Harman International Industries, Cl A | 1,789 | 159 | ||||||
Hasbro | 3,098 | 248 | ||||||
Home Depot | 34,282 | 4,574 | ||||||
Interpublic Group | 11,197 | 257 | ||||||
Johnson Controls | 17,077 | 665 | ||||||
Kohl’s | 4,927 | 230 | ||||||
L Brands | 6,908 | 607 | ||||||
Leggett & Platt | 3,565 | 173 | ||||||
Lennar, Cl A | 4,874 | 236 | ||||||
Lowe’s | 24,845 | 1,882 | ||||||
Macy’s | 8,430 | 372 | ||||||
Marriott International, Cl A | 5,248 | 374 | ||||||
Mattel | 9,299 | 313 | ||||||
McDonald’s | 24,407 | 3,067 | ||||||
Michael Kors Holdings* | 4,828 | 275 | ||||||
Mohawk Industries* | 1,658 | 316 | ||||||
NetFlix* | 11,420 | 1,167 | ||||||
Newell Rubbermaid, Cl B | 7,114 | 315 | ||||||
News, Cl A | 9,930 | 127 |
Description | Shares | Market Value ($ Thousands) | ||||||
News, Cl B | 2,300 | $ | 30 | |||||
Nike, Cl B | 36,138 | 2,221 | ||||||
Nordstrom | 3,766 | 215 | ||||||
Omnicom Group | 6,569 | 547 | ||||||
O’Reilly Automotive* | 2,612 | 715 | ||||||
Priceline Group* | 1,309 | 1,687 | ||||||
PulteGroup | 8,243 | 154 | ||||||
PVH | 2,120 | 210 | ||||||
Ralph Lauren, Cl A | 1,660 | 160 | ||||||
Ross Stores | 11,035 | 639 | ||||||
Royal Caribbean Cruises | 4,710 | 387 | ||||||
Scripps Networks Interactive, Cl A | 2,494 | 163 | ||||||
Signet Jewelers | 2,113 | 262 | ||||||
Staples | 16,101 | 178 | ||||||
Starbucks | 39,557 | 2,362 | ||||||
Starwood Hotels & Resorts Worldwide | 4,754 | 397 | ||||||
Target, Cl A | 16,084 | 1,323 | ||||||
TEGNA | 5,938 | 139 | ||||||
Tiffany | 3,098 | 227 | ||||||
Time Warner | 21,123 | 1,532 | ||||||
Time Warner Cable, Cl A | 7,544 | 1,544 | ||||||
TJX | 18,138 | 1,421 | ||||||
Tractor Supply | 3,546 | 321 | ||||||
TripAdvisor* | 3,097 | 206 | ||||||
Twenty-First Century Fox, Cl A | 29,662 | 827 | ||||||
Twenty-First Century Fox, Cl B | 11,800 | 333 | ||||||
Under Armour, Cl A* | 4,946 | 420 | ||||||
Urban Outfitters* | 2,059 | 68 | ||||||
VF | 9,140 | 592 | ||||||
Viacom, Cl B | 9,330 | 385 | ||||||
Walt Disney | 40,281 | 4,000 | ||||||
Whirlpool | 2,109 | 380 | ||||||
Wyndham Worldwide | 3,219 | 246 | ||||||
Wynn Resorts | 2,117 | 198 | ||||||
Yum! Brands | 10,797 | 884 | ||||||
|
| |||||||
62,410 | ||||||||
|
| |||||||
Consumer Staples — 10.2% | ||||||||
Altria Group | 52,469 | 3,288 | ||||||
Archer-Daniels-Midland | 16,341 | 593 | ||||||
Brown-Forman, Cl B | 2,814 | 277 | ||||||
Campbell Soup | 4,872 | 311 | ||||||
Church & Dwight | 3,400 | 313 | ||||||
Clorox | 3,522 | 444 | ||||||
Coca-Cola | 105,282 | 4,884 | ||||||
Coca-Cola Enterprises | 5,669 | 288 | ||||||
Colgate-Palmolive | 24,248 | 1,713 | ||||||
ConAgra Foods | 12,092 | 539 | ||||||
Constellation Brands, Cl A | 4,670 | 706 | ||||||
Costco Wholesale | 11,776 | 1,856 | ||||||
CVS Health | 29,399 | 3,049 | ||||||
Dr Pepper Snapple Group | 5,089 | 455 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Dynamic Asset Allocation Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Estee Lauder, Cl A | 6,044 | $ | 570 | |||||
General Mills | 16,241 | 1,029 | ||||||
Hershey | 3,786 | 349 | ||||||
Hormel Foods | 7,316 | 316 | ||||||
JM Smucker | 3,304 | 429 | ||||||
Kellogg | 6,794 | 520 | ||||||
Kimberly-Clark | 9,577 | 1,288 | ||||||
Kraft Heinz | 15,800 | 1,241 | ||||||
Kroger | 26,248 | 1,004 | ||||||
McCormick | 3,014 | 300 | ||||||
Mead Johnson Nutrition, Cl A | 5,138 | 437 | ||||||
Molson Coors Brewing, Cl B | 4,924 | 474 | ||||||
Mondelez International, Cl A | 41,853 | 1,679 | ||||||
Monster Beverage* | 4,024 | 537 | ||||||
PepsiCo | 38,740 | 3,970 | ||||||
Philip Morris International | 41,537 | 4,075 | ||||||
Procter & Gamble | 71,609 | 5,894 | ||||||
Reynolds American | 22,464 | 1,130 | ||||||
SYSCO, Cl A | 14,243 | 666 | ||||||
Tyson Foods, Cl A | 7,675 | 512 | ||||||
Walgreens Boots Alliance | 23,107 | 1,946 | ||||||
Wal-Mart Stores | 41,976 | 2,875 | ||||||
Whole Foods Market | 8,351 | 260 | ||||||
|
| |||||||
50,217 | ||||||||
|
| |||||||
Energy — 6.7% | ||||||||
Anadarko Petroleum, Cl A | 13,893 | 647 | ||||||
Apache | 10,101 | 493 | ||||||
Baker Hughes | 11,815 | 518 | ||||||
Cabot Oil & Gas | 12,898 | 293 | ||||||
California Resources | 401 | — | ||||||
Cameron International* | 5,008 | 336 | ||||||
Chesapeake Energy | 11,202 | 46 | ||||||
Chevron | 50,526 | 4,820 | ||||||
Cimarex Energy | 2,449 | 238 | ||||||
Columbia Pipeline Group | 10,443 | 262 | ||||||
Concho Resources* | 3,500 | 354 | ||||||
ConocoPhillips | 33,686 | 1,357 | ||||||
Devon Energy | 14,226 | 390 | ||||||
Diamond Offshore Drilling | 1,378 | 30 | ||||||
EOG Resources | 14,627 | 1,062 | ||||||
EQT | 4,205 | 283 | ||||||
Exxon Mobil | 112,000 | 9,362 | ||||||
FMC Technologies* | 5,813 | 159 | ||||||
Halliburton | 23,342 | 834 | ||||||
Helmerich & Payne | 2,843 | 167 | ||||||
Hess | 7,274 | 383 | ||||||
Kinder Morgan | 49,914 | 891 | ||||||
Marathon Oil | 23,992 | 267 | ||||||
Marathon Petroleum | 14,337 | 533 | ||||||
Murphy Oil | 4,295 | 108 | ||||||
National Oilwell Varco, Cl A | 10,630 | 331 |
Description | Shares | Market Value ($ Thousands) | ||||||
Newfield Exploration* | 5,573 | $ | 185 | |||||
Noble Energy | 11,737 | 369 | ||||||
Occidental Petroleum | 20,700 | 1,417 | ||||||
Oneok | 5,254 | 157 | ||||||
Phillips 66 | 12,799 | 1,108 | ||||||
Pioneer Natural Resources | 4,492 | 632 | ||||||
Range Resources | 4,487 | 145 | ||||||
Schlumberger, Cl A | 33,552 | 2,474 | ||||||
Southwestern Energy* | 11,186 | 90 | ||||||
Spectra Energy | 17,957 | 549 | ||||||
Tesoro | 3,203 | 276 | ||||||
Transocean | 9,031 | 83 | ||||||
Valero Energy | 12,497 | 802 | ||||||
Williams | 18,746 | 301 | ||||||
|
| |||||||
32,752 | ||||||||
|
| |||||||
Financials — 15.3% | ||||||||
Affiliated Managers Group* | 1,529 | 248 | ||||||
Aflac | 11,409 | 720 | ||||||
Allstate | 10,312 | 695 | ||||||
American Express | 21,813 | 1,339 | ||||||
American International Group | 30,705 | 1,660 | ||||||
American Tower, Cl A‡ | 11,316 | 1,158 | ||||||
Ameriprise Financial | 4,617 | 434 | ||||||
Aon | 7,109 | 743 | ||||||
Apartment Investment & Management, Cl A‡ | 3,943 | 165 | ||||||
Assurant | 1,782 | 138 | ||||||
AvalonBay Communities‡ | 3,722 | 708 | ||||||
Bank of America | 276,745 | 3,742 | ||||||
Bank of New York Mellon | 29,243 | 1,077 | ||||||
BB&T | 21,256 | 707 | ||||||
Berkshire Hathaway, Cl B* | 50,530 | 7,169 | ||||||
BlackRock | 3,415 | 1,163 | ||||||
Boston Properties‡ | 4,108 | 522 | ||||||
Capital One Financial | 14,215 | 985 | ||||||
CBRE Group, Cl A* | 7,925 | 228 | ||||||
Charles Schwab | 32,635 | 914 | ||||||
Chubb | 12,466 | 1,485 | ||||||
Cincinnati Financial | 4,093 | 268 | ||||||
Citigroup | 78,945 | 3,296 | ||||||
Citizens Financial Group | 13,800 | 289 | ||||||
CME Group | 9,248 | 888 | ||||||
Comerica | 4,473 | 169 | ||||||
Crown Castle International‡ | 9,128 | 790 | ||||||
Discover Financial Services | 10,946 | 557 | ||||||
E*Trade Financial* | 8,170 | 200 | ||||||
Equinix‡ | 1,859 | 615 | ||||||
Equity Residential‡ | 9,933 | 745 | ||||||
Essex Property Trust‡ | 1,760 | 412 | ||||||
Extra Space Storage‡ | 3,500 | 327 | ||||||
Federal Realty Investment Trust‡ | 2,000 | 312 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Dynamic Asset Allocation Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Fifth Third Bancorp | 21,751 | $ | 363 | |||||
Franklin Resources | 10,436 | 408 | ||||||
General Growth Properties‡ | 15,697 | 467 | ||||||
Goldman Sachs Group | 10,521 | 1,652 | ||||||
Hartford Financial Services Group | 11,061 | 510 | ||||||
HCP‡ | 12,430 | 405 | ||||||
Host Hotels & Resorts‡ | 19,712 | 329 | ||||||
Huntington Bancshares | 22,447 | 214 | ||||||
Intercontinental Exchange | 3,256 | 766 | ||||||
Invesco | 11,212 | 345 | ||||||
Iron Mountain‡ | 5,076 | 172 | ||||||
JPMorgan Chase | 99,117 | 5,870 | ||||||
KeyCorp | 21,553 | 238 | ||||||
Kimco Realty‡ | 11,396 | 328 | ||||||
Legg Mason | 3,009 | 104 | ||||||
Leucadia National | 8,640 | 140 | ||||||
Lincoln National | 6,609 | 259 | ||||||
Loews | 7,389 | 283 | ||||||
M&T Bank | 4,208 | 467 | ||||||
Macerich‡ | 3,265 | 259 | ||||||
Marsh & McLennan | 14,017 | 852 | ||||||
McGraw-Hill | 6,978 | 691 | ||||||
MetLife | 29,212 | 1,284 | ||||||
Moody’s | 4,704 | 454 | ||||||
Morgan Stanley | 40,617 | 1,016 | ||||||
Nasdaq, Cl A | 2,987 | 198 | ||||||
Navient | 10,409 | 125 | ||||||
Northern Trust | 5,671 | 370 | ||||||
People’s United Financial | 8,289 | 132 | ||||||
PNC Financial Services Group | 13,597 | 1,150 | ||||||
Principal Financial Group, Cl A | 7,133 | 281 | ||||||
Progressive | 15,621 | 549 | ||||||
ProLogis‡ | 14,171 | 626 | ||||||
Prudential Financial | 11,977 | 865 | ||||||
Public Storage‡ | 4,000 | 1,103 | ||||||
Realty Income‡ | 6,718 | 420 | ||||||
Regions Financial | 34,660 | 272 | ||||||
Simon Property Group‡ | 8,258 | 1,715 | ||||||
SL Green Realty‡ | 2,615 | 253 | ||||||
SunTrust Banks | 13,839 | 499 | ||||||
Synchrony Financial* | 23,001 | 659 | ||||||
T. Rowe Price Group | 6,740 | 495 | ||||||
Torchmark, Cl A | 3,035 | 164 | ||||||
Travelers | 7,852 | 916 | ||||||
UDR‡ | 7,000 | 270 | ||||||
Unum Group | 6,163 | 191 | ||||||
US Bancorp | 43,602 | 1,770 | ||||||
Ventas‡ | 8,810 | 555 | ||||||
Vornado Realty Trust‡ | 4,831 | 456 | ||||||
Wells Fargo | 124,733 | 6,032 | ||||||
Welltower‡ | 9,507 | 659 | ||||||
Weyerhaeuser‡ | 21,060 | 652 |
Description | Shares | Market Value ($ Thousands) | ||||||
Willis Towers Watson | 3,748 | $ | 445 | |||||
XL Group, Cl A | 8,014 | 295 | ||||||
Zions Bancorporation | 5,337 | 129 | ||||||
|
| |||||||
74,990 | ||||||||
|
| |||||||
Health Care — 14.1% | ||||||||
Abbott Laboratories | 39,315 | 1,645 | ||||||
AbbVie | 43,125 | 2,463 | ||||||
Aetna, Cl A | 9,316 | 1,047 | ||||||
Agilent Technologies | 8,685 | 346 | ||||||
Alexion Pharmaceuticals* | 6,008 | 836 | ||||||
Allergan* | 10,580 | 2,836 | ||||||
AmerisourceBergen | 5,154 | 446 | ||||||
Amgen, Cl A | 20,163 | 3,023 | ||||||
Anthem | 7,138 | 992 | ||||||
Baxalta | 18,551 | 750 | ||||||
Baxter International | 14,651 | 602 | ||||||
Becton Dickinson | 5,752 | 873 | ||||||
Biogen* | 5,850 | 1,523 | ||||||
Boston Scientific* | 36,192 | 681 | ||||||
Bristol-Myers Squibb | 44,738 | 2,858 | ||||||
C.R. Bard | 1,997 | 405 | ||||||
Cardinal Health | 9,003 | 738 | ||||||
Celgene, Cl A* | 21,194 | 2,121 | ||||||
Centene* | 4,600 | 283 | ||||||
Cerner* | 8,212 | 435 | ||||||
Cigna | 7,010 | 962 | ||||||
DaVita HealthCare Partners* | 4,357 | 320 | ||||||
DENTSPLY SIRONA | 6,671 | 411 | ||||||
Edwards Lifesciences, Cl A* | 5,872 | 518 | ||||||
Eli Lilly | 26,013 | 1,873 | ||||||
Endo International* | 5,438 | 153 | ||||||
Express Scripts Holding* | 17,832 | 1,225 | ||||||
Gilead Sciences | 36,613 | 3,363 | ||||||
HCA Holdings* | 8,343 | 651 | ||||||
Henry Schein* | 2,222 | 384 | ||||||
Hologic* | 6,600 | 228 | ||||||
Humana | 4,090 | 748 | ||||||
Illumina* | 3,900 | 632 | ||||||
Intuitive Surgical* | 1,046 | 629 | ||||||
Johnson & Johnson | 74,444 | 8,055 | ||||||
Laboratory Corp of America Holdings* | 2,717 | 318 | ||||||
Mallinckrodt* | 3,311 | 203 | ||||||
McKesson | 6,037 | 949 | ||||||
Medtronic | 37,641 | 2,823 | ||||||
Merck | 74,966 | 3,967 | ||||||
Mylan* | 10,926 | 506 | ||||||
Patterson | 2,462 | 115 | ||||||
PerkinElmer | 2,969 | 147 | ||||||
Perrigo | 4,076 | 522 | ||||||
Pfizer | 163,357 | 4,842 | ||||||
Quest Diagnostics | 4,078 | 291 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Dynamic Asset Allocation Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Regeneron Pharmaceuticals* | 2,115 | $ | 762 | |||||
St. Jude Medical | 7,509 | 413 | ||||||
Stryker | 8,576 | 920 | ||||||
Tenet Healthcare* | 2,913 | 84 | ||||||
Thermo Fisher Scientific | 10,611 | 1,502 | ||||||
UnitedHealth Group | 25,511 | 3,288 | ||||||
Universal Health Services, Cl B | 2,542 | 317 | ||||||
Varian Medical Systems* | 2,565 | 205 | ||||||
Vertex Pharmaceuticals* | 6,758 | 537 | ||||||
Waters* | 2,120 | 280 | ||||||
Zimmer Biomet Holdings | 4,953 | 528 | ||||||
Zoetis, Cl A | 12,373 | 549 | ||||||
|
| |||||||
69,123 | ||||||||
|
| |||||||
Industrials — 10.0% | ||||||||
3M | 16,226 | 2,704 | ||||||
ADT, Cl A | 4,509 | 186 | ||||||
Allegion | 2,494 | 159 | ||||||
American Airlines Group | 15,925 | 653 | ||||||
Ametek | 6,364 | 318 | ||||||
Boeing | 16,909 | 2,146 | ||||||
C.H. Robinson Worldwide | 3,887 | 289 | ||||||
Caterpillar, Cl A | 15,845 | 1,213 | ||||||
Cintas | 2,252 | 202 | ||||||
CSX | 26,188 | 674 | ||||||
Cummins | 4,263 | 469 | ||||||
Danaher, Cl A | 15,991 | 1,517 | ||||||
Deere | 7,913 | 609 | ||||||
Delta Air Lines, Cl A | 20,722 | 1,009 | ||||||
Dover | 4,246 | 273 | ||||||
Dun & Bradstreet | 952 | 98 | ||||||
Eaton | 12,539 | 784 | ||||||
Emerson Electric | 17,426 | 948 | ||||||
Equifax | 3,276 | 374 | ||||||
Expeditors International of Washington | 5,208 | 254 | ||||||
Fastenal, Cl A | 7,722 | 378 | ||||||
FedEx | 6,969 | 1,134 | ||||||
Flowserve | 3,454 | 153 | ||||||
Fluor | 3,692 | 198 | ||||||
General Dynamics | 7,965 | 1,046 | ||||||
General Electric | 251,793 | 8,005 | ||||||
Honeywell International | 20,552 | 2,303 | ||||||
Illinois Tool Works | 8,931 | 915 | ||||||
Ingersoll-Rand | 7,103 | 440 | ||||||
Jacobs Engineering Group* | 3,321 | 145 | ||||||
JB Hunt Transport Services | 2,345 | 198 | ||||||
Kansas City Southern | 2,863 | 245 | ||||||
L-3 Communications Holdings | 2,019 | 239 | ||||||
Lockheed Martin | 7,182 | 1,591 | ||||||
Masco | 9,323 | 293 | ||||||
Nielsen Holdings | 9,880 | 520 | ||||||
Norfolk Southern | 8,002 | 666 |
Description | Shares | Market Value ($ Thousands) | ||||||
Northrop Grumman | 4,861 | $ | 962 | |||||
PACCAR | 9,519 | 521 | ||||||
Parker-Hannifin, Cl A | 3,652 | 406 | ||||||
Pentair | 5,077 | 275 | ||||||
Pitney Bowes | 5,551 | 120 | ||||||
Quanta Services* | 4,382 | 99 | ||||||
Raytheon | 8,099 | 993 | ||||||
Republic Services | 6,662 | 317 | ||||||
Robert Half International | 3,459 | 161 | ||||||
Rockwell Automation | 3,535 | 402 | ||||||
Rockwell Collins | 3,630 | 335 | ||||||
Roper Technologies | 2,714 | 496 | ||||||
Ryder System | 1,523 | 99 | ||||||
Snap-on | 1,555 | 244 | ||||||
Southwest Airlines, Cl A | 17,433 | 781 | ||||||
Stanley Black & Decker | 4,011 | 422 | ||||||
Stericycle, Cl A* | 2,226 | 281 | ||||||
Textron | 7,037 | 257 | ||||||
Tyco International | 11,518 | 423 | ||||||
Union Pacific | 22,619 | 1,799 | ||||||
United Continental Holdings* | 9,500 | 569 | ||||||
United Parcel Service, Cl B | 18,411 | 1,942 | ||||||
United Rentals* | 2,499 | 155 | ||||||
United Technologies | 20,832 | 2,085 | ||||||
Verisk Analytics, Cl A* | 4,300 | 344 | ||||||
Waste Management | 11,182 | 660 | ||||||
WW Grainger | 1,547 | 361 | ||||||
Xylem | 4,648 | 190 | ||||||
|
| |||||||
49,047 | ||||||||
|
| |||||||
Information Technology — 20.6% | ||||||||
Accenture, Cl A | 16,748 | 1,933 | ||||||
Activision Blizzard | 13,500 | 457 | ||||||
Adobe Systems* | 13,264 | 1,244 | ||||||
Akamai Technologies* | 4,774 | 265 | ||||||
Alliance Data Systems* | 1,646 | 362 | ||||||
Alphabet, Cl A* | 7,869 | 6,003 | ||||||
Alphabet, Cl C* | 7,993 | 5,954 | ||||||
Amphenol, Cl A | 8,320 | 481 | ||||||
Analog Devices | 8,443 | 500 | ||||||
Apple | 149,530 | 16,297 | ||||||
Applied Materials | 29,771 | 631 | ||||||
Autodesk, Cl A* | 5,905 | 344 | ||||||
Automatic Data Processing | 12,342 | 1,107 | ||||||
Broadcom | 9,875 | 1,526 | ||||||
CA | 8,433 | 260 | ||||||
Cisco Systems | 134,872 | 3,840 | ||||||
Citrix Systems* | 4,126 | 324 | ||||||
Cognizant Technology Solutions, Cl A* | 16,477 | 1,033 | ||||||
Corning, Cl B | 29,371 | 614 | ||||||
CSRA | 3,466 | 93 | ||||||
eBay* | 29,347 | 700 |
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Dynamic Asset Allocation Fund (Continued)
March 31, 2016
Description | Shares | Market Value ($ Thousands) | ||||||
Electronic Arts* | 8,528 | $ | 564 | |||||
EMC | 52,662 | 1,403 | ||||||
F5 Networks, Cl A* | 1,791 | 190 | ||||||
Facebook, Cl A* | 61,971 | 7,071 | ||||||
Fidelity National Information Services, Cl B | 7,453 | 472 | ||||||
First Solar* | 2,122 | 145 | ||||||
Fiserv, Cl A* | 5,882 | 603 | ||||||
Flir Systems | 3,792 | 125 | ||||||
Harris | 3,227 | 251 | ||||||
Hewlett Packard Enterprise | 45,510 | 807 | ||||||
HP | 45,410 | 559 | ||||||
Intel | 127,597 | 4,128 | ||||||
International Business Machines | 23,868 | 3,615 | ||||||
Intuit | 7,085 | 737 | ||||||
Juniper Networks | 10,033 | 256 | ||||||
KLA-Tencor | 4,249 | 309 | ||||||
Lam Research | 4,520 | 373 | ||||||
Linear Technology | 6,536 | 291 | ||||||
MasterCard, Cl A | 26,282 | 2,484 | ||||||
Microchip Technology | 5,437 | 262 | ||||||
Micron Technology* | 29,071 | 304 | ||||||
Microsoft | 213,296 | 11,780 | ||||||
Motorola Solutions | 4,302 | 326 | ||||||
NetApp | 8,228 | 225 | ||||||
Nvidia | 13,948 | 497 | ||||||
Oracle, Cl B | 84,433 | 3,454 | ||||||
Paychex | 8,600 | 464 | ||||||
PayPal Holdings* | 30,185 | 1,165 | ||||||
Qorvo* | 3,805 | 192 | ||||||
Qualcomm | 40,568 | 2,075 | ||||||
Red Hat* | 4,960 | 370 | ||||||
salesforce.com inc* | 16,772 | 1,238 | ||||||
SanDisk | 5,352 | 407 | ||||||
Seagate Technology | 8,043 | 277 | ||||||
Skyworks Solutions | 5,207 | 406 | ||||||
Symantec, Cl A | 17,908 | 329 | ||||||
TE Connectivity | 9,703 | 601 | ||||||
Teradata* | 3,999 | 105 | ||||||
Texas Instruments | 27,211 | 1,563 | ||||||
Total System Services | 4,667 | 222 | ||||||
VeriSign* | 2,778 | 246 | ||||||
Visa, Cl A | 51,432 | 3,934 | ||||||
Western Digital | 6,361 | 301 | ||||||
Western Union | 13,877 | 268 | ||||||
Xerox | 27,156 | 303 | ||||||
Xilinx | 6,887 | 327 | ||||||
Yahoo!* | 23,832 | 877 | ||||||
|
| |||||||
100,869 | ||||||||
|
| |||||||
Materials — 2.8% | ||||||||
Air Products & Chemicals | 5,161 | 743 | ||||||
Airgas | 1,780 | 252 |
Description | Shares | Market Value ($ Thousands) | ||||||
Alcoa | 34,378 | $ | 329 | |||||
Avery Dennison | 2,376 | 171 | ||||||
Ball | 4,056 | 289 | ||||||
CF Industries Holdings | 5,937 | 186 | ||||||
Dow Chemical, Cl A | 29,789 | 1,515 | ||||||
E.I. Du Pont de Nemours | 23,265 | 1,473 | ||||||
Eastman Chemical | 4,198 | 303 | ||||||
Ecolab | 7,154 | 798 | ||||||
FMC | 3,549 | 143 | ||||||
Freeport-McMoRan, Cl B | 35,362 | 366 | ||||||
International Flavors & Fragrances | 2,215 | 252 | ||||||
International Paper | 11,273 | 463 | ||||||
LyondellBasell Industries, Cl A | 9,143 | 782 | ||||||
Martin Marietta Materials, Cl A | 1,665 | 266 | ||||||
Monsanto | 11,728 | 1,029 | ||||||
Mosaic | 9,410 | 254 | ||||||
Newmont Mining | 14,704 | 391 | ||||||
Nucor | 8,348 | 395 | ||||||
Owens-Illinois* | 3,528 | 56 | ||||||
PPG Industries | 7,270 | 811 | ||||||
Praxair | 7,733 | 885 | ||||||
Sealed Air | 5,058 | 243 | ||||||
Sherwin-Williams, Cl A | 2,113 | 602 | ||||||
Vulcan Materials | 3,530 | 373 | ||||||
WestRock | 6,892 | 269 | ||||||
|
| |||||||
13,639 | ||||||||
|
| |||||||
Telecommunication Services — 2.7% | ||||||||
AT&T | 166,003 | 6,502 | ||||||
CenturyTel | 15,142 | 484 | ||||||
Frontier Communications | 30,139 | 168 | ||||||
Level 3 Communications* | 7,981 | 422 | ||||||
Verizon Communications | 109,998 | 5,949 | ||||||
|
| |||||||
13,525 | ||||||||
|
| |||||||
Utilities — 3.4% | ||||||||
AES | 17,212 | 203 | ||||||
AGL Resources | 3,295 | 215 | ||||||
Ameren | 6,544 | 328 | ||||||
American Electric Power | 13,329 | 885 | ||||||
American Water Works | 4,800 | 331 | ||||||
Centerpoint Energy | 11,917 | 249 | ||||||
CMS Energy | 7,513 | 319 | ||||||
Consolidated Edison | 7,778 | 596 | ||||||
Dominion Resources | 15,904 | 1,195 | ||||||
DTE Energy | 4,841 | 439 | ||||||
Duke Energy | 18,698 | 1,508 | ||||||
Edison International | 8,790 | 632 | ||||||
Entergy | 4,777 | 379 | ||||||
Eversource Energy | 8,544 | 498 | ||||||
Exelon | 24,390 | 875 | ||||||
FirstEnergy | 11,621 | 418 |
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Dynamic Asset Allocation Fund (Continued)
March 31, 2016
Description | Shares/ Contracts | Market Value ($ Thousands) | ||||||
NextEra Energy | 12,498 | $ | 1,479 | |||||
NiSource | 8,213 | 193 | ||||||
NRG Energy | 8,464 | 110 | ||||||
PG&E | 13,093 | 782 | ||||||
Pinnacle West Capital | 3,094 | 232 | ||||||
PPL | 18,039 | 687 | ||||||
Public Service Enterprise Group | 13,657 | 644 | ||||||
SCANA | 3,980 | 279 | ||||||
Sempra Energy | 6,368 | 663 | ||||||
Southern | 24,282 | 1,256 | ||||||
TECO Energy | 6,079 | 167 | ||||||
WEC Energy Group | 8,537 | 513 | ||||||
Xcel Energy | 13,546 | 566 | ||||||
|
| |||||||
16,641 | ||||||||
|
| |||||||
Total Common Stock |
| 483,213 | ||||||
|
| |||||||
Total Investments — 98.5% |
| $ | 483,213 | |||||
|
| |||||||
PURCHASED OPTION (A) — 0.1% |
| |||||||
June 2016 SPX Call, Expires 06/18/2016, Strike Price $2,200.00* | 1,743 | 374 | ||||||
|
| |||||||
Total Purchased Option |
| 374 | ||||||
|
| |||||||
WRITTEN OPTION (A) — (0.1)% |
| |||||||
June 2016 SPX Put, Expires 06/18/2016 Strike Price $1,825.00* | (249 | ) | (271 | ) | ||||
|
| |||||||
Total Written Option |
| (271 | ) | |||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2016, is as follows:
Type of Contract | Number of Contracts Long/(Short) | Expiration Date | Unrealized Appreciation/ (Depreciation) ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 60 | Jun-2016 | $ | 132 | ||||||||
Topix Index | 152 | Jun-2016 | (56 | ) | ||||||||
U.S. 10-Year Treasury Note | (220 | ) | Jun-2016 | (207 | ) | |||||||
|
| |||||||||||
$ | (131 | ) | ||||||||||
|
|
For the period ended March 31, 2016, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
A list of the open forward foreign currency contracts held by the Fund at March 31, 2016, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency To Receive (Thousands) | Unrealized Appreciation/ (Depreciation) ($ Thousands) | |||||||||||||||||
04/20/16 | USD | 219 | EUR | 202 | $ | 11 | ||||||||||||||
04/20/16 | USD | 478 | JPY | 57,812 | 36 | |||||||||||||||
04/20/16 | USD | 19,032 | TWD | 614,733 | 112 | |||||||||||||||
04/20/16 | USD | 19,118 | SGD | 26,019 | 208 | |||||||||||||||
04/20/16 | JPY | 20,983 | USD | 179 | (8 | ) | ||||||||||||||
04/20/16 | EUR | 21,903 | USD | 23,906 | (1,066 | ) | ||||||||||||||
04/20/16 | TWD | 614,733 | USD | 18,317 | (827 | ) | ||||||||||||||
04/20/16 | SGD | 81,608,390 | EUR | 25,554,925 | (6,331 | ) | ||||||||||||||
04/21/16 | USD | 48,803 | INR | 3,310,956 | 1,085 | |||||||||||||||
04/21/16 | INR | 61,241 | USD | 891 | (32 | ) | ||||||||||||||
01/09/17 | USD | 792 | SAR | 3,019 | 8 | |||||||||||||||
01/09/17-01/19/17 | SAR | 94,829 | USD | 24,601 | (525 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (7,329 | ) | ||||||||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2016, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Standard Chartered Bank | $ | (142,440 | ) | $ | 136,109 | $ | (6,331 | ) | ||||
Bank of America | (75,644 | ) | 76,180 | 536 | ||||||||
Bank of Montreal | (24,972 | ) | 23,906 | (1,066 | ) | |||||||
Citigroup | (57,294 | ) | 56,786 | (508 | ) | |||||||
Goldman Sachs | (698 | ) | 746 | 48 | ||||||||
JPMorgan Chase Bank | (187 | ) | 179 | (8 | ) | |||||||
|
| |||||||||||
$ | (7,329 | ) | ||||||||||
|
|
For the period ended March 31, 2016 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.
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
SCHEDULE OF INVESTMENTS (Unaudited)
Dynamic Asset Allocation Fund (Concluded)
March 31, 2016
A list of outstanding OTC swap contracts held by the Fund at March 31, 2016, is as follows:
Interest Rate Swaps | ||||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Appreciation/ (Depreciation) ($ Thousands) | |||||||||||
Bank of America | 1.99% | US CPI URBAN CONSUMERS NSA | 12/24/2045 | 13,820 | $ | 37 | ||||||||||
Bank of America | 2.06% | US CPI URBAN CONSUMERS NSA | 11/13/2045 | 9,140 | (204 | ) | ||||||||||
Bank of America | UK RPI ALL ITEMS NSA | 3.46% | 12/24/2045 | 5,170 | 721 | |||||||||||
Bank of America | UK RPI ALL ITEMS NSA | 3.47% | 11/13/2045 | 3,530 | 543 | |||||||||||
|
| |||||||||||||||
$ | 1,097 | |||||||||||||||
|
|
For the period ended March 31, 2016, the total amount of all open swap contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
Percentages are based on a Net Assets of $490,571 ($ Thousands).
* | Non-income producing security. |
‡ | Real Estate Investment Trust. |
(A) | For the period ended March 31, 2016, the total amount of open purchased options and written options, as presented in the Schedule of Investments, are representative of the volume of activity for these derivative types during the period. |
Cl — Class
CPI — Consumer Price Index
EUR — Euro
INR — Indian Rupee
JPY — Japanese Yen
NSA — Not seasonally adjusted
RPI — Retail Prices Index
S&P — Standard & Poor’s
SAR — South African Rand
SGD — Singapore Dollar
TWD — Taiwan Dollar
The following is a list of the level of inputs used as of March 31, 2016 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 | $ | 483,213 | $ | – | $ | – | $ | 483,213 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 483,213 | $ | – | $ | – | $ | 483,213 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Option | $ | 374 | $ | — | $ | — | $ | 374 | ||||||||
Written Option | (271 | ) | — | — | (271 | ) | ||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 132 | — | — | 132 | ||||||||||||
Unrealized Depreciation | (263 | ) | — | — | (263 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 1,460 | — | 1,460 | ||||||||||||
Unrealized Depreciation | — | (8,789 | ) | — | (8,789 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Appreciation | — | 1,301 | — | 1,301 | ||||||||||||
Unrealized Depreciation | — | (204 | ) | — | (204 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (28 | ) | $ | (6,232 | ) | $ | — | $ | (6,260 | ) | |||||
|
|
|
|
|
|
|
|
* | Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation/ (depreciation) on the instruments. |
For the period ended March 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2016, 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.
7 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2016 |
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 Act (17 CFR 270.30a-3(c))) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)) 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 Act(17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Items 12. | Exhibits. |
(a)(1) Not applicable for semi-annual report.
(a)(2) A separate certification for the principal executive officer and the principal financial officer of the Registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)), are filed herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), also accompany this filing as an exhibit.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SEI Institutional Managed Trust | ||||||
By | /s/ Robert A. Nesher | |||||
Robert A. Nesher, President & CEO |
Date: June 7, 2016
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By | /s/ Robert A. Nesher | |||||
Robert A. Nesher, President & CEO |
Date: June 7, 2016
By | /s/ Arthur Ramanjulu | |||||
Arthur Ramanjulu, Controller & CFO | ||||||
Date: June 7, 2016