UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-04878
SEI Institutional Managed Trust
(Exact name of registrant as specified in charter)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices) (Zip code)
CT Corporation
155 Federal Street
Boston, MA 02110
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-800-342-5734
Date of fiscal year end: September 30, 2017
Date of reporting period: September 30, 2017
Item 1. Reports to Stockholders.
September 30, 2017
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 | |
![]() | Tax-Managed International Managed Volatility Fund | |
![]() | Real Estate Fund | |
![]() | Enhanced Income Fund | |
![]() | Core Fixed Income Fund | |
![]() | U.S. Fixed Income Fund | |
![]() | High Yield Bond Fund | |
![]() | Conservative Income Fund | |
![]() | Tax-Free Conservative Income 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 for the first and third quarter of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust’s Forms N-Q are 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.
September 30, 2017 (Unaudited)
To Our Shareholders
Looking back, the expectations we shared for the Funds’ most recently completed fiscal year, from the start of October 2016 through the end of September 2017, largely came to pass. The pace of interest-rate increases by the Federal Reserve (“Fed”) followed the market’s more modest expectations rather than those projected by Federal Open Market Committee members. The European Central Bank’s (“ECB”) commitment to stimulus efforts entrenched euro weakness relative to the U.S. dollar for part of the period; the same can be said for the Bank of Japan (“BOJ”) and the yen. China continued to guide its currency lower, hitting a low near the end of the fiscal period. The global oil supply-demand imbalance persisted throughout the year; the Organization of Petroleum Exporting Countries’ (“OPEC”) agreement to curb production in January temporarily bolstered markets, but prices retraced due to record U.S. inventories and rising U.S. production before rebounding during the final quarter of the period.
Geopolitical events
Geopolitical threats and an assortment of other noneconomic influences continued in various regions: civil war and domestic struggle in parts of the Middle East and Africa, the suffering of refugees and migrants in bordering countries and Europe, and acts of global terror.
Severe unrest continued in certain areas of the Middle East, driven by the opposing and overlapping regional interests of extremist groups, nationalist fighters and state actors. Syrian government forces appeared to consolidate military gains in and around Aleppo, with assistance from Russia, while Iraqi forces, supported by U.S. military resources, made notable progress in reversing Islamic State gains. The U.S. military increased its air support during the period, targeting both Syrian government and extremist positions, while also raising the profile of its involvement in Afghanistan by targeting Islamic State strongholds.
Despite the considerable aforementioned instability in the Middle East, the price of oil remained mostly insulated from regional developments. Oil-price weakness, which began to moderate in 2016, remained primarily attributable to oversupply. Energy-export-dependent Venezuela succumbed to the economically depressive effects of low oil prices during the period, as food shortages and a breakdown of the rule of law appeared to worsen, despite an eventual rebound in the price of oil. Brazil’s prospects also paled, then recovered partially, as a corruption investigation centering on its lead state-run oil company enveloped a cross-section of political leaders. The OPEC reached an agreement in late 2016 with the cooperation of non-OPEC producers to enact production cuts in pursuit of a balanced market.
It will be interesting to see the ultimate effects of the ensuing Syrian migrant crisis on the European Union (“EU”). Immigration served as one of the key points of contention leading up to Great Britain’s Brexit vote to leave the European Union prior to the reporting year. Prime Minister May triggered Article 50 during the fiscal period and began the formal withdrawal process.
Immigration-driven uncertainty took center stage in the months leading up to the U.S. presidential election, which Donald Trump ultimately won in November with a tough stance on immigration. President Trump’s early actions following his inauguration in January demonstrated a commitment to follow through on tighter U.S. immigration policy.
A raft of political surprises unfolded late in the fiscal period. The U.K. Conservative party relinquished its parliamentary majority and was forced to seek a partner to form a minority government. Emmanuel Macron’s early-May victory in the French presidential election amounted to a significant win for the establishment. In the U.S., a high-profile special prosecutor was appointed to investigate the possibility of collusion between Donald Trump’s presidential campaign and Russia. In Brazil, an ongoing top-level corruption scandal was blown wide open in mid-May as potential evidence emerged of a taped conversation featuring President Michel Temer approving a large hush-money bribe.
Toward the end of the fiscal year, political tensions weighed heavily on investor attitudes. President Trump stated that aggression from North Korea would be met with “fire and fury” while controversy over Trump’s response to violent clashes between protesters in Charlottesville, Virginia drove sentiment after the president dissolved two advisory councils. Setbacks in the Trump administration’s efforts to repeal and replace Obamacare sparked volatility, as investors assumed that tax and budget resolutions would have to wait until health care legislation was resolved.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 1 |
LETTER TO SHAREHOLDERS (Continued)
September 30, 2017 (Unaudited)
Economic performance
U.S. economic growth accelerated in the fourth quarter of 2016, slumped early in 2017, and then rebounded solidly in the second quarter as both consumer and government spending boosted the economy. The labor market remained historically strong throughout the year: the unemployment rate fell, finishing the period at 4.2%, while the labor-force participation rate ended at 63.1%, marginally higher than a year ago. Average hourly earnings gained, bouncing around a mean of about 0.2% growth per month over the year; although a modest increase in price pressures weighed on real personal income growth as the period progressed. The Fed raised its target interest rate in mid-December 2016, and again in both March and June 2017, representing two of three projected rate increases in 2017. The Fed also announced that it would start to reduce the size of its balance sheet and reverse some of the quantitative easing that has been so supportive of bond prices in recent years.
The ECB held its benchmark interest rate unchanged at a historic low through the fiscal period, while the Bank of England did the same with the hope of stimulating the U.K. economy following the Brexit vote. Quarterly growth in the eurozone expanded at its quickest pace since 2015, emphasizing the area’s notable economic performance at a time that many thought would be plagued by political uncertainty. Year-on-year growth was 2.3% at the end of the second quarter of 2017, with France, Italy and Greece all beating expectations. The U.K. economy grew at 1.5% year-on-year through the second quarter of 2017, but slowed significantly toward the end of the fiscal period as a weakened pound dampened consumer spending to its lowest level in three years.
Japanese GDP grew 1.4% year-on-year at the end of the second quarter of 2017, while the BOJ maintained stimulus to try to rejuvenate the economy. Meanwhile, economic growth in China expanded by 6.9% year-on-year in the second quarter of 2017 after China’s government provided substantial fiscal stimulus early in the period to support the government’s growth targets.
Market developments
For the fiscal period ending September 30, 2017, geopolitical events dominated global equity markets. Market movements were driven by periods of risk-on and risk-off rallies. The early part of the fiscal period was marked by continued, but uninspiring, economic expansion and populist movements surprisingly sweeping political elections in the U.K. and the U.S. The second half saw a synchronized global economic recovery.
Investors positioned defensively into the U.S. presidential elections. Though candidate Trump presented a source of uncertainty to markets, promises of deregulation, corporate-tax reform and fiscally expansionary policies sparked a sharp rally in cyclical assets, and defensive assets that were bid up during prior years sold off. OPEC’s decision to curb output and the Fed’s rate hike also contributed to the sharp rally for traditional value sectors (financials, industrials and energy).
The turn of the calendar year marked the beginning of the reversal of the cyclical rally (dubbed the Trump reflation trade). The first few months saw setbacks for the Trump administration after Washington failed to pass a replacement for the Affordable Care Act and controversies involving Russian election meddling plagued the new administration. There was a realization that the growth expected from promised regulatory changes would take a while to play out, and markets began to unwind the reflation trade. At the same time, assets such as defensive sectors and technology stocks that sold off during the reflation trade rallied during this period. The risk-on sentiment that pushed equities higher over the quarter was also visible in fixed income markets, with credit outperforming government bonds. U.S. Treasury yields rose across the curve with short-term yields rising more than long-term yields. Yields for 10-year government bonds began the fiscal period around 1.6% and ended around 2.3%, reflecting increased optimism around economic growth, but remained below their late-2016 peak.
Stocks rallied toward the end of the fiscal period amid signs of global economic synchronization, strong earnings and continued central-bank stimulus.
The U.K. stunned investors prior to the start of the fiscal year with the British vote to leave the EU and joined the list of frustrations for European equities that included Italian banks with oversized debt. The result was a lack of enthusiasm for stocks in the region despite continued stimulus from the ECB. European stocks experienced a small rally after the Brexit vote as investors looked past the results, and saw an even greater rally after Donald Trump’s surprising victory in the U.S. elections. President Trump’s promises of deregulation and fiscal stimulus, along with
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
the Fed’s three rate increases during the period, sparked a cyclical rally in European stocks, with banks leading the way. At the turn of the year, despite political volatility from French and Dutch elections and the possibility of further fragmentation in the EU, signs of economic recovery emerged in the region, and European equities rallied on the back of recovering economic growth and victories for pro-EU parties in elections nearer the end of the fiscal period.
Looking back on market performance for the full period, the MSCI ACWI Index, a proxy for global equities in both developed and emerging markets, rose 18.65% in U.S. dollar terms. U.S. markets marginally lagged, as the S&P 500 Index returned 18.61%.
The U.S. equity market began the fiscal year with investors focused on the presidential election campaign. Value stocks in general and the financial sector, in particular, rose sharply after the election, while high-dividend-yield segments of the market, such as utilities and real-estate investment trusts (“REITs”), lagged as they were seen as less attractive in a rising interest-rate environment. One trend that reversed as the fiscal year progressed was the underperformance of growth stocks. Many growth managers outperformed value managers, as internet-commerce and information-technology stocks were market leaders for the final three quarters of the fiscal year, and information technology became the second best-performing sector (after financials) for the full fiscal year. The latter group’s rally in the final fiscal quarter provided a boost to growth stocks, propelling the Russell 1000® Growth Index to 21.94% for the period, while the Russell 1000® Value Index returned 15.12%.
Small-cap stocks outperformed as well. U.S. small caps (Russell 2000® Index) outpaced large caps (Russell 1000® Index), delivering 20.74% and 18.54%, respectively.
After hitting lows early in the fiscal period on the heels of deflationary fears caused by low commodity prices and Brexit-related concerns, rates began to rise. Economic growth exceeded expectations, and Trump’s victory sparked expectations of reflationary fiscal policy. The market began to price in a December 2016 Fed rate hike, causing Treasury yields to rise, particularly those at the front end of the yield curve. The Fed voted to increase the federal-funds rate target range to 1.00-1.25% after a third rate hike during the period in June 2017, and increased its projection for the pace of rate hikes in 2017 from two to three, citing strengthening labor-market conditions and firming inflation as the rationale.
Inflation-sensitive assets, such as commodities and Treasury inflation-protected securities, were mixed. The Bloomberg Commodity Total Return Index (which represents the broad commodity market) eased 0.29% lower during the period, as the energy and agriculture sectors dragged down the index, while the Bloomberg Barclays 1-10 Year US TIPS Index (“USD”) ebbed 0.14%.
Global fixed income, as measured by the Bloomberg Barclays Global Aggregate Index, fell 1.26% in U.S. dollar terms during the reporting period, while the high-yield market was strong, with the BofA Merrill Lynch US High Yield Constrained Index delivering 9.05%.
U.S. investment-grade corporate debt was positive, as the Bloomberg Barclays Investment Grade US Corporate Index returned 2.21%. U.S. asset-backed and mortgage-backed securities were both marginally positive during the fiscal year, although both faced headwinds late in the period from rising interest-rate expectations.
Emerging-market debt delivered positive performance. The J.P. Morgan GBI Emerging Markets Global Diversified Index, which tracks local-currency-denominated emerging-market bonds, gained 7.32% in U.S. dollar terms during the reporting period thanks to an impressive rally in the second half of the period. The J.P. Morgan EMBI Global Diversified Index, which tracks emerging-market debt denominated in external currencies (such as the U.S. dollar), advanced by 4.61%.
Our view
Neither devastating hurricanes nor all-around political dysfunction have done much to halt the U.S. equity market’s rise. Even the game of nuclear chess being played between North Korea’s Kim Jong-un and President Donald Trump has failed to elicit much of a response. To be sure, all good things eventually come to an end. Yet when we consider valuations, the upward momentum of the U.S. economy and earnings, and the likely path of Fed policy and inflation, we still conclude that the U.S. equity bull market isn’t dead yet.
On the issue of valuations, there is no denying that U.S. equities are trading at elevated levels. But the exceedingly low level of prevailing interest rates is an important mitigating factor. There has been a strong inverse relationship
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 3 |
LETTER TO SHAREHOLDERS (Concluded)
September 30, 2017 (Unaudited)
between bond yields and valuations over the past four decades, which we believe justifies structurally elevated valuations.
The overriding question among investors is a simple one: is a recession on the horizon? We are confident that the answer is “no.” Financial stress, a harbinger of recession, is virtually non-existent. Recent economic data also point to the continuation of slow-but-steady economic growth.
A large portion of the world appears to be growing at a slightly better-than-trend pace. The breadth of the improvement is particularly impressive; as of July 2017, 72% of the countries that make up the Organization for Economic Cooperation and Development’s (“OECD”) Composite Leading Indicator index have posted improvement over the past year—and 75% of countries in the index came in above 100. This means above-trend growth will likely continue in the months ahead on a global basis.
According to the OECD’s calculations, Brazil’s economic situation is improving at the fastest rate. The eurozone as a whole looks set to grow above trend, as does Japan. China’s momentum remains toward the upside, even though recent economic data suggest some deceleration. The U.S. economy, by contrast, is growing somewhat below trend. India also is signaling below-trend growth, but has begun to rebound. On balance, things are looking up in much of the world.
One of the big surprises of 2017 is the extensive weakness of the U.S. dollar, which has fallen by about 8% against a trade-weighted basket of foreign currencies since the end of last year. The U.S. dollar can appreciate and depreciate in long cycles. If the peak at the end of 2016 proves to be the top of the current cycle, the most recent upswing would be shorter in duration than previously experienced—but the magnitude of the trough-to-peak rise would be similar to that of the up-cycle that occurred from April 1995 to March 2002 (about 41%).
The drop in the greenback coincides with the improved global macroeconomic outlook. Economic growth of developed economies around the world is converging with that of the U.S. While U.S. monetary policy is further along the path toward tightening, other central banks have already begun to raise rates (“Canada”) or may do so soon (the “U.K.”). Even the ECB is expected to announce its first steps away from unconventional monetary stimulus by the end of this year.
Political considerations are coming into play as well. Participants in the currency markets have adopted a far more sanguine view regarding the political stability of the eurozone following a series of national elections this year that enhanced the position of parties favoring further European integration. While confidence in the eurozone has increased, international confidence in the U.S. has ebbed. The Trump administration’s decision to pull out of the Trans-Pacific Partnership and Paris climate accord was controversial in the U.S.; it was especially confounding to those outside the U.S., and raised questions of whether it is relinquishing its role as leader of the free world. Confidence in the existing international economic order was also hurt by the threat of additional U.S. trade discord with Canada, Mexico, South Korea and China. Trump was voted into office partially owing to his populist stance on trade; but we think a trade war could be as dangerous an economic blunder today as it was during the Great Depression.
We continue to expect a U.S. business-friendly tax package to be enacted and signed by the Trump administration before the end of the year. However, the absence of such legislation could further dampen investors’ expectations for U.S. economic growth—thereby causing a serious correction in the overall U.S. equity market, especially hurting economically sensitive small-company and value stocks.
As noted above, the upturn in global economic activity has spurred the world’s major central banks to reassess their policy stance. The danger is that they could make a policy mistake, either by acting too quickly or not fast enough. The BOE faces the greatest policy challenge, with an accelerating inflation rate at a time when its overall economic growth has been somewhat below that of the U.S. and eurozone. Although the BOE has signaled its intention to reverse the easing implemented in the aftermath of the Brexit vote, it is unclear whether the correct policy course calls for further tightening moves.
In the run-up to this October’s all-important National Congress of the Communist Party of China, the country’s economic policy has been geared toward growth. President Xi Jinping’s government has been focused on restraining rampant speculation in the property markets and curtailing growth of the shadow-banking system—with
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
mixed success. As soon as China’s economy begins to weaken and financial markets exhibit signs of stress, its economic planners tend to reengage the accelerator.
It may be time to step on the brake again following the National Congress and the likely strengthening of President Xi’s political power coming out of that meeting. The current inflation rate for Chinese manufacturing producer prices is near the peak levels recorded in 2004, 2008 and 2011. A cyclical slowdown in China’s economy would likely be bad news for commodity prices and other emerging economies. Since the overall consumer price index remains at less than a 2% rate, we expect the People’s Bank of China to try a gentle tap on the brake.
While we would not rule out a correction in asset values more notable than others that occurred in the past 18 months, our investment mantra of buying on the dip still holds.
Our equity strategies remain positioned for further cyclical improvement around the world. They generally have a smaller-company and value bias versus their benchmarks. We tend to favor momentum-oriented opportunities, and view equity markets outside the U.S. as more attractive than U.S. equity markets. Indeed, our caution toward equities is most pronounced in the U.S., where the outlook for earnings growth is more modest than elsewhere in the world.
On the fixed-income side, we expect yields will slowly move higher as global growth becomes more entrenched and central banks begin to remove the extraordinary stimulative measures of quantitative easing and zero (or negative) interest rates. Our underlying managers are generally short duration versus their benchmarks, favor credit-spread strategies and are positioned for a further narrowing of the yield curve, especially in the U.S.
On behalf of SEI Investments, I thank you for your continued confidence. We are working every day to maintain that confidence, and look forward to serving your investment needs in the future.
Sincerely,
William Lawrence, CFA
Managing Director, Portfolio Management Team
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 5 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Large Cap Fund
I. Objective
The Large Cap Fund (the “Fund”) seeks to provide long-term growth of capital and income.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment philosophies and strategies to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to sub-advisers are managed directly by SIMC. During the year ended September 30, 2017, the Fund utilized the following sub-advisers: AQR Capital Management, LLC, BlackRock Investment Management, LLC, Brandywine Global Investment Management LLC, Coho Partners, Ltd., Fiera Capital Inc., Jackson Square Partners, LLC, LSV Asset Management, Parametric Portfolio Associates LLC, and Snow Capital Management, L.P.
III. Returns
For the year ended September 30, 2017, the Large Cap Fund, Class F, returned 17.88%. The Fund’s benchmark—the Russell 1000® Index—returned 18.54%.
IV. Performance Discussion
The U.S. equity market began the fiscal year with investors focused on the presidential election campaign. Although the controversial election process and its outcome left many feeling that the country was deeply divided, the equity market rallied on hopes of deregulation, infrastructure spending and a corporate tax cut. Value stocks in general and the financial sector, in particular, rose sharply after the election, as noted in the shareholder letter, while market participants gained conviction that the economy would stay on track and that the upward path of short-term interest rates would continue. High-dividend-yield segments of the market, such as utilities and real-estate investment trusts (“REITs”), lagged as they were seen as less attractive in a rising interest-rate environment. Initially, information-technology and internet-commerce stocks declined after the election when investors quickly shifted preference toward industries that may be bigger beneficiaries of deregulation and infrastructure spending. Although many of the trends that began with the election continued, one trend that reversed as the fiscal year progressed was the underperformance of growth stocks. Many growth managers outperformed value managers, as internet-commerce and information-technology stocks were market leaders for the final three quarters of the fiscal
year, and information technology became the second best-performing sector (after financials) for the full fiscal year.
Stock selection within the energy and financials sectors contributed to benchmark-relative returns. An underweight to REITs was also beneficial as short-term interest rates rose and demand declined for REITs as income-producing securities. Security selection within the consumer-discretionary sector, and the media industry, in particular, detracted. A tilt toward value stocks detracted as growth stocks led the market advance.
From a manager perspective, stability-oriented manager Coho lagged in the rising market as the excitement around more volatile stocks caused stable stocks to be largely ignored by investors for much of the year. Coho’s underweight to the information-technology sector caused it to miss some of the opportunity provided by the rising market. Coho’s stock selection within the consumer-discretionary sector also detracted. Snow, our concentrated deep-value manager, outperformed due to its exposure to banks within the financials sector. Snow also benefited by avoiding the telecommunication-services sector and REITs as those areas both lagged in the rising market. Brandywine, another fundamental deep-value manager, also benefited from exposure to banks within the financials sector. Brandywine’s stock selection within the information-technology sector contributed to performance. Brandywine also benefited by avoiding the consumer-staples sector and REITs, as those areas lagged in the rising market. LSV’s slight pro-cyclical tilt was beneficial. Stock selection within the industrials sector and exposure to the aerospace and defense industry, in particular, contributed positively to LSV’s return. SIMC’s factor-based strategy benefited from an underweight to the energy sector, but its value tilt was a headwind and its decision to hold cash detracted from positive equity performance. AQR’s stock selection within the industrial sector contributed to performance. AQR also benefited from underweights to the energy sector and REITs. Jackson Square’s stock selection within the information-technology and consumer-discretionary sectors detracted from performance. Blackrock’s performance benefited from its growth exposure, but stock selection within the industrials sector detracted.
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
AVERAGE ANNUAL TOTAL RETURN1 |
| |||||||||||||||
| ||||||||||||||||
1 Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
| ||||||||||||||||
Large Cap Fund, Class F‡ | 17.88% | 8.46% | 12.77% | 12.26% | ||||||||||||
| ||||||||||||||||
Large Cap Fund, Class Y | 18.16% | 8.71% | 12.93% | 12.35% | ||||||||||||
| ||||||||||||||||
Russell 1000® Index | 18.54% | 10.63% | 14.27% | 13.89% | ||||||||||||
|
Comparison of Change in the Value of a $100,000 Investment in the Large Cap Fund, Class F and Class Y, versus the Russell 1000® Index
¹ | For the year ended 9/30/17. Past performance is no indication of future performance. Class F shares were offered beginning 9/30/09. Class Y shares were offered beginning 12/31/14. Class Y shares performance for the period prior to 12/31/14 is derived from the performance of Class F shares adjusted for the lower expenses of Class Y shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 7 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Large Cap Value Fund
I. Objective
The Large Cap Value Fund (the “Fund”) seeks to provide long-term growth of capital and income.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment philosophies and strategies to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to sub-advisers are managed directly by SIMC. The Fund utilized the following sub-advisers during the year ended September 30, 2017: AQR Capital Management, LLC, Brandywine Global Investment Management, LLC, Coho Partners, Ltd., LSV Asset Management, Parametric Portfolio Associates LLC, and Snow Capital Management, LP. No manager changes were made during the Fund’s fiscal year.
III. Returns
For the year ended September 30, 2017, the Large Cap Value Fund, Class F, returned 18.13%. The Fund’s benchmark—the Russell 1000® Value Index—returned 15.12%.
IV. Performance Discussion
The U.S. equity market began the fiscal year with investors focused on the presidential election campaign. Although the controversial election process and its outcome left many feeling that the country was deeply divided, the equity market rallied on hopes of deregulation, infrastructure spending and a corporate tax cut. Value stocks in general and the financial sector, in particular, rose sharply after the election, as noted in the shareholder letter, while market participants gained conviction that the economy would stay on track and that the upward path of short-term interest rates would continue. High-dividend-yield segments of the market, such as utilities and real-estate investment trusts (“REITs”), lagged as they were seen as less attractive in a rising interest-rate environment. Initially, information-technology and internet-commerce stocks declined after the election when investors quickly shifted preference toward industries that may be bigger beneficiaries of deregulation and infrastructure spending. Although many of the trends that began with the election continued, one trend that reversed as the fiscal year progressed was the underperformance of growth stocks. Internet-commerce and information-technology stocks turned out to be market leaders for the final three quarters of the fiscal year, and information technology became the second
best-performing sector (after financials) for the full fiscal year.
Stock selection within the information-technology and financials sectors contributed significantly to outperformance. However, stock selection within the telecommunication-services sector detracted. An underweight to the energy sector was beneficial to benchmark-relative returns, as was an underweight to REITs, as market demand for income-producing securities declined with the rise in short-term interest rates.
From a manager perspective, stability-oriented manager Coho performed in-line with the benchmark. Its underweight to the financials sector detracted, but its security selection within the energy and information-technology sectors was favorable. Snow, our concentrated deep-value manager, produced favorable stock selection within the financials sector but its stock selection within the energy sector detracted. Brandywine, another fundamental deep-value manager, outperformed due to strong stock selection within the information-technology sector. SIMC’s factor-based allocation benefited from underweighting the energy sector and by emphasizing the refiners within the sector. AQR achieved modest gains from favorable stock selection within the healthcare sector. LSV provided favorable stock selection in multiple sectors, particularly energy and industrials.
AVERAGE ANNUAL TOTAL RETURN1 |
| |||||||||||||||||||
1 Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
| ||||||||||||||||||||
Large Cap Value Fund, Class F‡ | 18.13% | 6.89% | 12.33% | 5.00% | 9.01% | |||||||||||||||
| ||||||||||||||||||||
Large Cap Value Fund, Class I | 17.84% | 6.66% | 12.09% | 4.76% | 8.72% | |||||||||||||||
| ||||||||||||||||||||
Large Cap Value Fund, Class Y | 18.37% | 7.04% | 12.43% | 5.04% | 9.03% | |||||||||||||||
| ||||||||||||||||||||
Russell 1000® Value Index | 15.12% | 8.53% | 13.20% | 5.92% | 9.96% | |||||||||||||||
|
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Comparison of Change in the Value of a $100,000 Investment in the Large Cap Value Fund, Class F, Class I, and Class Y, versus the Russell 1000® Index
¹ | For the year ended 9/30/17. Past performance is no indication of future performance. Class F shares were offered beginning 10/3/94 and Class I shares were offered beginning 8/6/01. The performance of Class I shares prior to 8/6/01 is calculated using the performance of the fund’s Class F shares adjusted for the higher expenses of the Class I shares. Class Y shares were offered beginning 10/30/15. Class Y Shares performance for the period prior to 10/30/15 is derived from the performance of Class F shares adjusted for the lower expenses of Class Y shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 9 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Large Cap Growth Fund
I. Objective
The Large Cap Growth Fund (the “Fund”) seeks to provide capital appreciation.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment philosophies and strategies to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to sub-advisers are managed directly by SIMC. The Fund utilized the following sub-advisers during the year ended September 30, 2017: BlackRock Investment Managers, LLC, Fiera Capital Inc., Jackson Square Partners, LLC, and Parametric Portfolio Associates LLC.
During the period, Fiera Capital Inc. was added to the Fund.
III. Returns
For the year ended September 30, 2017, the Large Cap Growth Fund, Class F, returned 16.89%. The Fund’s benchmark—the Russell 1000® Growth Index—returned 21.94%.
IV. Performance Discussion
The U.S. equity market began the fiscal year with investors focused on the presidential election campaign. Although the controversial election process and its outcome left many feeling that the country was deeply divided, the equity market rallied on hopes of deregulation, infrastructure spending and a corporate tax cut. Value stocks in general and the financial sector, in particular, rose sharply after the election, as noted in the shareholder letter, while market participants gained conviction that the economy would stay on track and that the upward path of short-term interest rates would continue. High-dividend-yield segments of the market, such as utilities and real-estate investment trusts (“REITs”), lagged as they were seen as less attractive in a rising interest-rate environment. Initially, information-technology and internet-commerce stocks declined after the election when investors quickly shifted preference toward industries that may be bigger beneficiaries of deregulation and infrastructure spending. Although many of the trends that began with the election continued, one trend that reversed as the fiscal year progressed was the underperformance of growth stocks. Internet-commerce and information-technology stocks turned out to be market leaders for the final three quarters of the fiscal
year, and information technology became the second best-performing sector (after financials) for the full fiscal year.
The Fund’s performance was held back by an underweight to, and poor stock selection within, the industrials sector. Additionally, the Fund’s stock picks within the technology and consumer-discretionary sectors did not keep up with the benchmark holdings in those sectors. However, the Fund benefited from an underweight to the consumer-staples sector, which failed to keep up in the rising market.
From a manager perspective, Jackson Square Partners, our concentrated-growth manager, lagged due to stock selection within the consumer-discretionary sector. Additionally, Jackson Square’s underweight to the industrials sector detracted from benchmark-relative performance. SIMC’s factor-based allocation benefited from overweighting the airlines industry within the industrials sector. Blackrock’s stock selection within the industrials sector detracted, while stock selection within the consumer-discretionary sector benefited Fund performance.
10 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
AVERAGE ANNUAL TOTAL RETURN1 | ||||||||||||||||||||
1 Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
| ||||||||||||||||||||
Large Cap Growth Fund, Class F‡ | 16.89% | 9.70% | 12.44% | 7.07% | 8.22% | |||||||||||||||
| ||||||||||||||||||||
Large Cap Growth Fund, Class I | 16.63% | 9.46% | 12.20% | 6.83% | 7.91% | |||||||||||||||
| ||||||||||||||||||||
Large Cap Growth Fund, Class Y | 17.17% | 9.88% | 12.55% | 7.12% | 8.24% | |||||||||||||||
| ||||||||||||||||||||
Russell 1000® Growth Index | 21.94% | 12.69% | 15.26% | 9.08% | 9.44% | |||||||||||||||
|
Comparison of Change in the Value of a $100,000 Investment in the Large Cap Growth Fund, Class F, Class I, and Class Y, versus the Russell 1000® Index
¹ | For the year ended 9/30/17. Past performance is no indication of future performance. Class F shares were offered beginning 12/20/94 and Class I shares were offered beginning 8/6/01. The performance of Class I shares prior to 8/6/01 is calculated using the performance of the fund’s Class F shares adjusted for the higher expenses of the Class I shares. Class Y shares were offered beginning 10/30/15 Class Y shares performance for the period prior to 10/30/15 is derived from the performance of Class F shares adjusted for the lower expenses of Class Y shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 11 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Tax-Managed Large Cap Fund
I. Objective
The Tax-Managed Large Cap Fund (the “Fund”) seeks to provide high, long-term after-tax returns.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to sub-advisers are managed directly by SIMC. The Fund utilized the following sub-advisers during the year ended September 30, 2017: AQR Capital Management, LLC, BlackRock Investment Management LLC, Brandywine Global Investment Management LLC, Coho Partners, Ltd., Fiera Capital Inc., Jackson Square Partners, LLC, LSV Asset Management, Parametric Portfolio Associates LLC, and Snow Capital Management, LP.
During the period, Fiera Capital Inc. was added to the Fund.
III. Returns
For the year ended September 30, 2017, the Tax-Managed Large Cap Fund, Class F, returned 17.19%. The Fund’s benchmark — the Russell 1000® Index — returned 18.54%.
IV. Performance Discussion
The U.S. equity market began the fiscal year with investors focused on the presidential election campaign. Although the controversial election process and its outcome left many feeling that the country was deeply divided, the equity market rallied on hopes of deregulation, infrastructure spending and a corporate tax cut. Value stocks in general and the financial sector, in particular, rose sharply after the election, as noted in the shareholder letter, while market participants gained conviction that the economy would stay on track and that the upward path of short-term interest rates would continue. High-dividend-yield segments of the market, such as utilities and real-estate investment trusts (“REITs”), lagged as they were seen as less attractive in a rising interest-rate environment. Initially, information-technology and internet-commerce stocks declined after the election when investors quickly shifted preference toward industries that may be bigger beneficiaries of deregulation and infrastructure spending. Although many of the trends that began with the election continued, one
trend that reversed as the fiscal year progressed was the underperformance of growth stocks. Many growth managers outperformed value managers, as internet-commerce and information-technology stocks were market leaders for the final three quarters of the fiscal year, and information technology became the second best-performing sector (after financials) for the full fiscal year.
Cash in the portfolio created a headwind against positive equity market performance. Stock selection within the energy and financials sectors contributed to benchmark-relative returns. An underweight to REITs was also beneficial as short-term interest rates rose and demand declined for REITs as income-producing securities. Security selection within the consumer-discretionary sector, and the media industry, in particular, detracted. A tilt toward value stocks detracted as growth stocks led the market advance.
From a manager perspective, stability-oriented manager Coho lagged in the rising market as the excitement around more volatile stocks caused stable stocks to be largely ignored by investors for much of the year. Coho’s underweight to the information-technology sector caused it to miss some of the opportunity provided by the rising market. Coho’s stock selection within the consumer-discretionary sector also detracted. Snow, our concentrated deep-value manager, outperformed due to its exposure to banks within the financials sector. Snow also benefited by avoiding the telecommunication-services sector and REITs as those areas both lagged in the rising market. Brandywine, another fundamental deep-value manager, also benefited from exposure to banks within the financials sector. Brandywine’s stock selection within the information-technology sector contributed to performance. Brandywine also benefited by avoiding the consumer-staples sector and REITs, as those areas lagged in the rising market. LSV’s slight pro-cyclical tilt was beneficial. Stock selection within the industrials sector and exposure to the aerospace and defense industry, in particular, contributed to LSV’s return. SIMC’s factor-based strategy benefited from an underweight to the energy sector, but its value tilt was a headwind and its decision to hold cash detracted from positive equity performance. AQR’s stock selection within the industrial sector contributed to performance. AQR also benefited from underweights to the energy sector and REITs. Jackson Square’s stock selection within the information-technology and consumer-discretionary sectors detracted from performance. Blackrock’s performance benefited from its growth
12 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
exposure, but stock selection within the industrials sector detracted.
AVERAGE ANNUAL TOTAL RETURN1 | ||||||||||||||||||||
| ||||||||||||||||||||
1 Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
| ||||||||||||||||||||
Tax-Managed Large Cap Fund, Class F‡ | 17.19% | 7.92% | 12.61% | 6.10% | 5.53% | |||||||||||||||
| ||||||||||||||||||||
Tax-Managed Large Cap Fund, Class Y | 17.52% | 8.17% | 12.77% | 6.18% | 5.57% | |||||||||||||||
| ||||||||||||||||||||
Russell 1000® Index | 18.54% | 10.63% | 14.27% | 7.55% | 6.86% | |||||||||||||||
|
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Large Cap Fund, Class F and Class Y, versus the Russell 1000® Index
¹ | For the year ended 9/30/17. Past performance is no indication of future performance. Class F shares were offered beginning 3/5/98. Class Y shares were offered beginning 12/31/14. Class Y shares performance for the period prior to 12/31/14 is derived from the performance of Class F shares adjusted for the lower expenses of Class Y shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 13 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
S&P 500 Index Fund
I. Objective
The S&P 500 Index Fund (the “Fund”) seeks to provide investment results that correspond to the aggregate price and dividend performance of the securities in the S&P 500 Index.
II. Investment Approach
During the year ended September 30, 2017, the Fund used a single sub-adviser, SSgA Funds Management, Inc., (“SSgA”), under the general supervision of SEI Investments Management Corporation (“SIMC”). No manager changes were made during the Fund’s fiscal year.
III. Returns
For the year ended September 30, 2017, the S&P 500 Index Fund, Class F, returned 18.12%. The Fund’s benchmark—the S&P 500 Index—returned 18.61%.
IV. Performance Discussion
The Fund achieved its objective of tracking, before fees and expenses, the performance of the S&P 500 Index.
The U.S. equity market began the fiscal year with investors focused on the presidential election campaign. Although the controversial election process and its outcome left many feeling that the country was deeply divided, the equity market rallied on hopes of deregulation, infrastructure spending and a corporate tax cut. Value stocks in general and the financial sector, in particular, rose sharply after the election, as noted in the shareholder letter, while market participants gained conviction that the economy would stay on track and that the upward path of short-term interest rates would continue. High-dividend-yield segments of the market, such as utilities and real-estate investment trusts (“REITs”), lagged as they were seen as less attractive in a rising interest-rate environment. Initially, information-technology and internet-commerce stocks declined after the election when investors quickly shifted preference toward industries that may be bigger beneficiaries of deregulation and infrastructure spending. Although many of the trends that began with the election continued, one trend that reversed as the fiscal year progressed was the underperformance of growth stocks. Internet-commerce and information-technology stocks turned out to be market leaders for the final three quarters of the fiscal year, and information technology became the second best-performing sector (after financials) for the full fiscal year.
Derivatives were used for the purposes of equitizing cash flows and hedging back to the Fund’s passive mandate. There was a negligible impact on performance.
AVERAGE ANNUAL TOTAL RETURN1 | ||||||||||||||||||||
| ||||||||||||||||||||
1 Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
| ||||||||||||||||||||
S&P 500 Index Fund, Class E | 18.32% | 10.57% | 13.97% | 7.21% | 10.55% | |||||||||||||||
| ||||||||||||||||||||
S&P 500 Index Fund, Class F‡ | 18.12% | 10.37% | 13.76% | 7.02% | 8.12% | |||||||||||||||
| ||||||||||||||||||||
S&P 500 Index Fund, Class I | 17.87% | 10.12% | 13.51% | 6.79% | 7.83% | |||||||||||||||
| ||||||||||||||||||||
S&P 500 Index Fund, Class Y | 18.31% | 10.56% | 13.96% | 7.21% | 10.55% | |||||||||||||||
| ||||||||||||||||||||
S&P 500 Index | 18.61% | 10.81% | 14.22% | 7.44% | 8.56% | |||||||||||||||
|
Comparison of Change in the Value of a $100,000 Investment in the S&P 500 Index Fund, Class F, Class I and Class Y, versus the S&P 500 Index
14 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Comparison of Change in the Value of a $5,000,000 Investment in the S&P 500 Index Fund, Class E, versus the S&P 500 Index
¹ | For the year ended 9/30/17. Past performance is not an indication of future performance. Class F shares were offered beginning 2/28/96. Class E shares were offered beginning 7/31/85. Class I shares were offered beginning 6/28/02. Class Y shares were offered beginning 10/30/15. Class Y shares performance for the period prior to 10/30/15 is derived from the performance of Class F shares adjusted for the lower expenses of Class Y shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. The performance of Class I shares prior to 6/28/02 is calculated using the performance of the fund’s Class F shares adjusted for the higher expenses of the Class I shares. Effective 7/31/97, the Board of Trustees approved the renaming of Class F and Class E shares to Class E and Class F shares, respectively. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 15 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Small Cap Fund
I. Objective
The Small Cap Fund (the “Fund”) seeks to provide capital appreciation.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to sub-advisers are managed directly by SIMC. The Fund utilized the following sub-advisers during the year ended September 30, 2017: AllianceBernstein, L.P., AQR Capital Management, LLC, EAM Investors, LLC, Falcon Point Capital, LLC, Mesirow Financial Equity Management, Parametric Portfolio Associates LLC, Rice Hall James & Associates, LLC, Robeco Investment Management, Inc., and Snow Capital Management, LP.
During the period, Alliance Bernstein, L.P. was removed from the Fund, while Rice Hall James & Associates, LLC was added.
III. Returns
For the year ended September 30, 2017, the Small Cap Fund, Class F, returned 14.29%. The Fund’s benchmark—the Russell 2000® Index—returned 20.74%.
IV. Performance Discussion
The U.S. equity market began the fiscal year with investors focused on the presidential election. The Trump victory was followed closely by a sharp market rally on expectations for deregulation, infrastructure spending and a corporate-tax cut, as noted in the shareholder letter. Value stocks in general and the financial sector, in particular, rose significantly after the election as market participants gained conviction that the economy would stay on track and that the upward path of short-term interest rates would continue.
High-dividend-yield segments of the market, such as utilities and real-estate investment trusts, lagged as they were seen as less attractive in a rising interest-rate environment. Initially, information-technology and internet-commerce stocks declined after the election when investors quickly shifted preference toward industries that may be bigger beneficiaries of deregulation and infrastructure spending. Domestically-focused, smaller-cap companies were seen as poised to benefit from a lower corporate-tax rate as well since their
effective tax rates are typically higher than larger, more internationally-exposed companies.
Although many of the trends that began with the election continued into the new year, one trend that reversed as the fiscal year progressed was the underperformance of growth stocks. The “Trump trade” unwound and healthcare (largely driven by the biotechnology sector) and information-technology stocks turned out to be market leaders for the middle two quarters of the fiscal year. Financials, industrials and materials, however, remained the best-performing sectors for the overall fiscal year because of the risk-on, cyclical trade in November, aided by a slight resurgence of a similar trade in September when hopes for corporate-tax reform were briefly renewed.
These sectors were ultimately the market leaders because of strong bookended performance during the fiscal year. More traditionally growth-oriented sectors led the pack in the first and second quarters of 2017. Energy was the only sector that saw a negative return for the year, as U.S. shale refiners stepped up production and supply cuts by the Organization of Petroleum Exporting Countries failed to effectively stem the glut for a time. Oil prices suffered during the summer months and only began to recover toward the end of the fiscal period.
The Fund underperformed the benchmark for the fiscal year. Our managers were able to capitalize on outperformance by the information-technology sector and strong security selection made the sector a leading contributor to excess performance. An underweight to the real-estate sector was also a boon to performance. The largest detractors were the consumer-discretionary, energy and healthcare sectors—their effect outweighed the contribution from information technology and real estate. This was largely attributable to poor stock selection in each sector, although a slight overweight to energy among our value managers compounded this.
For the most part, our managers followed the style trends and our growth managers were able to ride tailwinds during the last three quarters of the year. Rice Hall James, EAM and Mesirow were the Fund’s top-contributing managers during the period. Rice Hall James was able to capture healthcare’s outperformance through selection, and EAM succeeded in healthcare and information technology as momentum gained strength in those sectors. Falcon Point was plagued by poor selection throughout the year and was our worst-performing manager. Robeco and AQR struggled with value-style headwinds and also detracted. Robeco
16 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
suffered especially hard from an overweight to the energy sector.
AVERAGE ANNUAL TOTAL RETURN1
| ||||||||||||||||
1 Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
| ||||||||||||||||
Small Cap Fund, Class F‡ | 14.29% | 7.10% | 11.17% | 10.98% | ||||||||||||
| ||||||||||||||||
Small Cap Fund, Class Y | 14.51% | 7.34% | 11.32% | 11.07% | ||||||||||||
| ||||||||||||||||
Russell 2000® Index | 20.74% | 12.18% | 13.79% | 13.48% | ||||||||||||
|
Comparison of Change in the Value of a $100,000 Investment in the Small Cap Fund, Class F and Class Y, versus the Russell 2000® Index
¹ | For the year ended 9/30/17. Past performance is not an indication of future performance. Class F shares were offered beginning 6/14/96. Class Y shares were offered beginning 12/31/14. Class Y shares performance for the period prior to 12/31/14 is derived from the performance of Class F shares adjusted for the lower expenses of the Class Y shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 17 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Small Cap Value Fund
I. Objective
The Small Cap Value Fund (the “Fund”) seeks to provide capital appreciation.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to sub-advisers are managed directly by SIMC. The Fund utilized the following sub-advisers during the year ended September 30, 2017: AQR Capital Management, LLC, Boston Partners Global Investor’s, Inc., Cardinal Capital Management LLC, LSV Asset Management, Mesirow Financial Equity Management, Parametric Portfolio Associates LLC, and Snow Capital Management, LP. No manager changes were made during the Fund’s fiscal year.
III. Returns
For the year ended September 30, 2017, the Small Cap Value Fund, Class F, returned 15.61%. The Fund’s benchmark—the Russell 2000® Value Index—returned 20.55%.
IV. Performance Discussion
The U.S. equity market began the fiscal year with investors focused on the presidential election. The Trump victory was followed closely by a sharp market rally on expectations for deregulation, infrastructure spending and a corporate-tax cut, as noted in the shareholder letter. Value stocks in general and the financial sector, in particular, rose significantly after the election as market participants gained conviction that the economy would stay on track and that the upward path of short-term interest rates would continue.
High-dividend-yield segments of the market, such as utilities and real-estate investment trusts, lagged as they were seen as less attractive in a rising interest-rate environment. Initially, information-technology and internet-commerce stocks declined after the election when investors quickly shifted preference toward industries that may be bigger beneficiaries of deregulation and infrastructure spending. Domestically-focused, smaller-cap companies were seen as poised to benefit from a lower corporate-tax rate as well since their effective tax rates are typically higher than larger, more internationally-exposed companies.
Although many of the trends that began with the election continued into the new year, one trend that reversed as the fiscal year progressed was the underperformance of growth stocks. The “Trump trade” unwound and healthcare (largely driven by the biotechnology sector) and information-technology stocks turned out to be market leaders for the middle two quarters of the fiscal year. Financials, industrials and materials, however, remained the best-performing sectors for the overall fiscal year because of the risk-on, cyclical trade in November, aided by a slight resurgence of a similar trade in September when hopes for corporate-tax reform were briefly renewed.
These sectors were ultimately the market leaders because of strong bookended performance during the fiscal year. More traditionally growth-oriented sectors led the pack in the first and second quarters of 2017. Energy was the only sector that saw a negative return for the year, as U.S. shale refiners stepped up production and supply cuts by the Organization of Petroleum Exporting Countries failed to effectively stem the glut for a time. Oil prices suffered during the summer months and only began to recover toward the end of the fiscal period.
The Fund underperformed mostly due to stock selection within energy and healthcare. A slight overweight to energy and a larger underweight to financials compounded this detraction. Strong security selection within telecommunications and materials contributed to return, but not by enough to defray the negative effects.
For the most part, our deeper-value managers suffered more from style headwinds for the last three quarters of the fiscal year. Robeco and Snow were the largest detractors from performance as a result of overexposure to energy and poor selection within healthcare. The SIMC factor-based strategy contributed the most to return, thanks to an underweight in real estate and stock selection within financials. Cardinal and Mesirow contributed as well, and LSV was relatively flat to the benchmark.
AVERAGE ANNUAL TOTAL RETURN1
| ||||||||||||||||||||
1 Year Return | Annualized 3 Year | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
| ||||||||||||||||||||
Small Cap Value Fund, Class F‡ | 15.61% | 8.59% | 11.50% | 6.00% | 10.15% | |||||||||||||||
| ||||||||||||||||||||
Small Cap Value Fund, Class I | 15.37% | 8.34% | 11.25% | 5.76% | 9.83% | |||||||||||||||
| ||||||||||||||||||||
Small Cap Value Fund, Class Y | 15.94% | 8.78% | 11.61% | 6.06% | 10.17% | |||||||||||||||
| ||||||||||||||||||||
Russell 2000® Value Index | 20.55% | 12.12% | 13.27% | 7.14% | 10.94% | |||||||||||||||
|
18 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Comparison of Change in the Value of a $100,000 Investment in the Small Cap Value Fund, Class F, Class I, and Class Y, versus the Russell 2000® Index
¹ | For the year ended 9/30/17. Past performance is no indication of future performance. Class F shares were offered beginning 12/20/94 and Class I shares were offered beginning 2/11/02. Class I shares performance for the period prior to 2/11/02 is derived from the performance of Class F shares adjusted for the higher expenses of the Class I shares. Class Y shares were offered beginning 10/30/15. Class Y shares performance for the period prior to 10/30/15 is derived from the performance of Class F shares adjusted for the lower expenses of the Class Y shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 19 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Small Cap Growth Fund
I. Objective
The Small Cap Growth Fund (the “Fund”) seeks to provide long-term capital appreciation.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to sub-advisers are managed directly by SIMC. The Fund utilized the following sub-advisers during the year ended September 30, 2017: AllianceBernstein, L.P., ArrowMark Partners (formerly Arrowpoint Asset Management, LLC), Axiom International Investors LLC, EAM Investors LLC, Falcon Point Capital, LLC, and Parametric Portfolio Associates LLC. No manager changes were made during the Fund’s fiscal year.
III. Returns
For the year ended September 30, 2017, the Small Cap Growth Fund, Class F, returned 19.27%. The Fund’s benchmark—the Russell 2000® Growth Index—returned 20.98%.
IV. Performance Discussion
The U.S. equity market began the fiscal year with investors focused on the presidential election. The Trump victory was followed closely by a sharp market rally on expectations for deregulation, infrastructure spending and a corporate-tax cut, as noted in the shareholder letter. Value stocks in general and the financial sector, in particular, rose significantly after the election as market participants gained conviction that the economy would stay on track and that the upward path of short-term interest rates would continue.
High-dividend-yield segments of the market, such as utilities and real-estate investment trusts, lagged as they were seen as less attractive in a rising interest-rate environment. Initially, information-technology and internet-commerce stocks declined after the election when investors quickly shifted preference toward industries that may be bigger beneficiaries of deregulation and infrastructure spending. Domestically-focused, smaller-cap companies were seen as poised to benefit from a lower corporate-tax rate as well since their effective tax rates are typically higher than larger, more internationally-exposed companies.
Although many of the trends that began with the election continued into the new year, one trend that reversed as the fiscal year progressed was the underperformance of growth stocks. The “Trump trade” unwound and healthcare (largely driven by the biotechnology sector) and information-technology stocks turned out to be market leaders for the middle two quarters of the fiscal year. Financials, industrials and materials, however, remained the best-performing sectors for the overall fiscal year because of the risk-on, cyclical trade in November, aided by a slight resurgence of a similar trade in September when hopes for corporate-tax reform were briefly renewed.
These sectors were ultimately the market leaders because of strong bookended performance during the fiscal year. More traditionally growth-oriented sectors led the pack in the first and second quarters of 2017. Energy was the only sector that saw a negative return for the year, as U.S. shale refiners stepped up production and supply cuts by the Organization of Petroleum Exporting Countries failed to effectively stem the glut for a time. Oil prices suffered during the summer months and only began to recover toward the end of the fiscal period.
The Fund underperformed the benchmark during the fiscal year. Poor security selection within consumer discretionary—particularly media and retail—detracted; strong stock selection within information technology and healthcare benefited Fund performance, though not by enough to outweigh the detractors.
All managers except Falcon Point outperformed the benchmark. AllianceBernstein was the leading contributor to performance, followed closely by ArrowMark. AllianceBernstein had strong stock selection in information technology and consumer staples, while ArrowMark was overweight in industrials and had strong selection within information technology. Falcon Point struggled with stock selection throughout the period, unable to capitalize on the style tailwinds. SIMC also lagged and was unable to capitalize on its factor-based strategy.
20 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
AVERAGE ANNUAL TOTAL RETURN1 | ||||||||||
| ||||||||||
Annualized | Annualized | Annualized | Annualized | |||||||
1 Year Return | 3 Year Return | 5 Year Return | 10 Year Return | Inception to Date | ||||||
| ||||||||||
Small Cap Growth Fund, Class F‡ | 19.27% | 9.87% | 13.23% | 5.59% | 9.28% | |||||
| ||||||||||
Small Cap Growth Fund, Class I | 18.97% | 9.60% | 12.95% | 5.32% | 8.96% | |||||
| ||||||||||
Small Cap Growth Fund, Class Y | 19.57% | 10.05% | 13.35% | 5.64% | 9.30% | |||||
| ||||||||||
Russell 2000® Growth Index | 20.98% | 12.17% | 14.28% | 8.47% | 8.02% | |||||
|
Comparison of Change in the Value of a $100,000 Investment in the Small Cap Growth Fund, Class F, Class I, and Class Y, versus the Russell 2000® Growth Index.
¹ | For the year ended 9/30/17. Past performance is not an indication of future performance. Class F shares were offered beginning 4/20/92 and Class I shares were offered beginning 8/6/01. Class I shares performance for the period prior to 8/6/01 is derived from the performance of Class F shares adjusted for the higher expenses of Class I shares. Class Y shares were offered beginning 10/30/15. Class Y shares performance for the period prior to 10/30/15 is derived from the performance of Class F shares adjusted for the lower expenses of Class Y shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and/or reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 21 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Tax-Managed Small/Mid Cap Fund
I. Objective
The Tax-Managed Small/Mid Cap Fund (the “Fund”) seeks to provide high, long-term after-tax returns.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to sub-advisers are managed directly by SIMC. The Fund utilized the following sub-advisers during the year ended September 30, 2017: AllianceBernstein, L.P., AQR Capital Management, LLC, Cardinal Capital Management LLC, CastleArk Management, LLC, Mesirow Financial Investment Management, Inc., Parametric Portfolio Associates LLC and Snow Capital Management LP. No manager changes were made during the Fund’s fiscal year.
III. Returns
For the year ended September 30, 2017, the Tax-Managed Small/ Mid Cap Fund, Class F, returned 16.91%. The Fund’s benchmark — the Russell 2500® Index — returned 17.79%.
IV. Performance Discussion
The U.S. equity market began the fiscal year with investors focused on the 2016 presidential election. The Trump victory was followed by a sharp market rally on expectations for deregulation, infrastructure spending and a corporate-tax cut, as noted in the shareholder letter. Value stocks in general and the financial sector, in particular, rose significantly after the election as market participants gained conviction that the economy would stay on track and that the upward path of short-term interest rates would continue.
High-dividend-yield and bond-proxy segments of the market like utilities and real-estate investment trusts (“REITs”) lagged, as they were seen as less attractive in a rising interest-rate environment. Initially, information-technology and internet-commerce stocks declined after the election when investors shifted preference toward industries that may have been greater beneficiaries of deregulation and infrastructure spending. Domestically focused, smaller-cap companies were seen as poised to benefit from a lower corporate-tax rate as well, since their effective tax rates are typically higher than larger companies with more international exposure.
Although many of the trends that began with the election continued, one trend that reversed as the fiscal year progressed was the underperformance of growth stocks. The “Trump trade” unwound and health care, largely driven by the biotechnology sector, and information-technology stocks turned out to be market leaders for the last three quarters of the fiscal year.
Technology, financials and industrials were the best-performing sectors for the fiscal year overall. Energy was negative over the fiscal year, as U.S. shale refiners stepped up production and Organization of Petroleum Exporting Country supply cuts failed to effectively stem the glut for a time. Oil prices suffered especially hard during the summer months and only began to recover toward the end of the fiscal period.
The Fund underperformed the benchmark during the fiscal period. The largest detracting sector was healthcare, with poor selection overall and an underweight to biotechnology stocks. A slight overweight in energy also detracted. The headwinds were slightly mitigated by a beneficial underweight to real estate and strong selection in information technology. Selection within the financial sector also contributed.
Stylistically, manager performance was mixed. AQR was the leading detractor from performance due to poor selection in information technology. CastleArk also detracted due to poor selection in healthcare. AllianceBerstein contributed to performance thanks to selection within, and an overweight to, information-technology stocks. Security selection within software was a benefit. The SIMC factor-based strategy followed, boosted by a slight underweight to, and strong security selection within, real estate. The strategy also had positive selection in energy and consumer staples.
AVERAGE ANNUAL TOTAL RETURN1
1 Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
| ||||||||||||||||||||
Tax-Managed Small/Mid Cap Fund, Class F‡ | 16.91% | 8.48% | 12.39% | 6.18% | 6.99% | |||||||||||||||
| ||||||||||||||||||||
Tax-Managed Small/Mid Cap Fund, Class Y | 17.14% | 8.69% | 12.52% | 6.25% | 7.02% | |||||||||||||||
| ||||||||||||||||||||
Russell 2500® Index | 17.79% | 10.60% | 13.86% | 8.19% | 8.77% | |||||||||||||||
|
22 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Small/Mid Cap Fund, Class F and Class Y, versus the Russell 2500® Index
¹ | For the year ended 9/30/17. Past performance is no indication of future performance. Class F shares were offered beginning 10/31/00. Class Y shares were offered beginning 12/31/14. Class Y shares performance for the period prior to 12/31/14 is derived from the performance of Class F shares adjusted for the lower expenses of Class Y shares. Class Y shares performance for the period prior to 10/30/15 is derived from the performance of Class F shares adjusted for the lower expenses of Class Y shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 23 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Mid-Cap Fund
I. Objective
The Mid-Cap Fund (the “Fund”) seeks to provide long-term capital appreciation.
II. Investment Approach
The Fund used a single sub-adviser, Quantitative Management Associates LLC (“QMA”) under the general supervision of SEI Investments Management Corporation (“SIMC”) during the year ended September 30, 2017. No manager changes were made during the Fund’s fiscal year.
III. Returns
For the year ended September 30, 2017, the Mid-Cap Fund, Class F, returned 17.52%. The Fund’s benchmark — the Russell Midcap® Index — returned 15.32%.
IV. Performance Discussion
The U.S. equity market began the fiscal year with investors focused on the 2016 presidential election. The Trump victory was followed by a sharp market rally on expectations for deregulation, infrastructure spending and a corporate-tax cut, as noted in the shareholder letter. Value stocks in general and the financial sector, in particular, rose significantly after the election as market participants gained conviction that the economy would stay on track and that the upward path of short-term interest rates would continue.
High-dividend-yield and bond-proxy segments of the market like utilities and real-estate investment trusts (“REITs”) lagged, as they were seen as less attractive in a rising interest-rate environment. Initially, information-technology and internet-commerce stocks declined after the election when investors shifted preference toward industries that may have been greater beneficiaries of deregulation and infrastructure spending. Domestically focused, smaller-cap companies were seen as poised to benefit from a lower corporate-tax rate as well, since their effective tax rates are typically higher than larger companies with more international exposure.
Although many of the trends that began with the election continued, one trend that reversed as the fiscal year progressed was the underperformance of growth stocks. The “Trump trade” unwound and health care, largely driven by the biotechnology sector, and information-technology stocks turned out to be market leaders for the last three quarters of the fiscal year.
Technology, financials and industrials were the best-performing sectors for the fiscal year overall. Energy
was negative over the fiscal year, as U.S. shale refiners stepped up production and Organization of Petroleum Exporting Country supply cuts failed to effectively stem the glut for a time. Oil prices suffered especially hard during the summer months before partially recovering.
The Fund outperformed its benchmark during the fiscal year. Performance for QMA, the Fund’s only sub-adviser, came mostly from stock selection within the industrial sector—specifically in aerospace & defense and airlines. QMA also benefited from a large underweight in real estate, along with security selection among REITs. The only sector that detracted from the manager’s excess performance was utilities, mostly due to selection.
AVERAGE ANNUAL TOTAL RETURN1 | ||||||||||
| ||||||||||
Annualized | Annualized | Annualized | Annualized | |||||||
1 Year | 3 Year | 5 Year | 10 Year | Inception | ||||||
Return | Return | Return | Return | to Date | ||||||
| ||||||||||
Mid-Cap Fund, Class F‡ | 17.52% | 10.52% | 14.87% | 7.11% | 10.25% | |||||
| ||||||||||
Mid-Cap Fund, Class I | 17.32% | 10.28% | 14.61% | 6.87% | 9.95% | |||||
| ||||||||||
Mid-Cap Fund, Class Y | 17.84% | 10.70% | 14.98% | 7.17% | 10.27% | |||||
| ||||||||||
Russell Midcap® Index | 15.32% | 9.54% | 14.26% | 8.08% | 11.14% | |||||
|
Comparison of Change in the Value of a $100,000 Investment in the Mid-Cap Fund, Class F, Class I, and Class Y, versus the Russell Midcap® Index
¹ | For the year ended 09/30/17. Past performance is not indication of future performance. Class F shares were offered beginning 2/16/93 and Class I shares were offered beginning 10/01/07. Class I shares performance for the period prior to 10/01/07 is derived from the performance of Class F shares adjusted for the higher expenses of the Class I Shares. Class Y shares were offered beginning 10/30/15. Class Y shares performance for the period prior to 10/30/15 is derived from the performance of Class F shares adjusted for the lower expenses of the Class Y shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
24 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
U.S. Managed Volatility Fund
I. Objective
The U.S. Managed Volatility Fund (the “Fund”) seeks to provide capital appreciation with less volatility than the broad U.S. equity markets.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub-advisers during the year ended September 30, 2017: AJO, LLC, Analytic Investors, LLC, and LSV Asset Management. No manager changes were made during the Fund’s fiscal year.
III. Returns
For the year ended September 30, 2017, the U.S. Managed Volatility Fund, Class F, returned 11.85%. The Fund’s benchmark—the Russell 3000® Index—returned 18.71%.
IV. Performance Discussion
For the year ended September 30, 2017, the Fund delivered strong absolute returns in what was generally a good environment for equity investing. Supportive macroeconomic data, strong corporate earnings, investor optimism, “Trumpflation” and interest-rate hikes all contributed to the equity-market rally, as noted in the shareholder letter. Given such market dynamics, cyclical sectors, namely financials, industrials, information technology and materials outperformed their more defensive peers, such as consumer staples, telecommunications, utilities and healthcare. The latter category was particularly vulnerable to the Federal Reserve’s interest-rate hikes and higher bond yields.
Generally, the Fund is likely to underperform in a steeply-rising market environment but seeks to mitigate losses in a falling market environment by targeting a lower volatility compared to the broad market. In times of stress, the Fund’s relatively lower volatility and defensiveness compare to the market have historically translated into better relative performance for the Fund. Hence, as compared to the broad market, the Fund faced strong headwinds, as high-risk equities rallied in the face of an improving economy. Rising long-term government bond yields created further difficulties for classic defensives, while at the same time propelling volatile financials. The focus on low-risk names and defensive sectors almost entirely explained the Fund’s
relative performance for the fiscal period. From a sector standpoint, an underweight to cheap and volatile sectors, like materials and financials, at the expense of expensive low-beta sectors, such as consumer staples, was a key detractor over the period. On the positive side, the Fund’s preference for value, even within the low-volatility space, mitigated some of the negatives of targeting low risk.
All three managers underperformed due to their strategic focus on risk reduction. AJO was more resilient as its overweight to low-beta names was less prominent than those of Analytic and LSV, which target much lower volatility segments of the market. This was a key performance differential as the lowest volatility segments of the market performed the worst.
AVERAGE ANNUAL TOTAL RETURN1
| ||||||||||||||||||||
1 Year Return | Annualized 3 Year | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
| ||||||||||||||||||||
U.S. Managed Volatility Fund, Class F‡ | 11.85% | 9.44% | 12.99% | 7.81% | 9.00% | |||||||||||||||
| ||||||||||||||||||||
U.S. Managed Volatility Fund, Class I | 11.58% | 9.20% | 12.72% | 7.55% | 8.69% | |||||||||||||||
| ||||||||||||||||||||
U.S. Managed Volatility Fund, Class Y | 12.13% | 9.68% | 13.14% | 7.88% | 9.06% | |||||||||||||||
| ||||||||||||||||||||
Russell 3000® Index | 18.71% | 10.74% | 14.23% | 7.57% | 8.89% | |||||||||||||||
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 25 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
U.S. Managed Volatility Fund (Concluded)
Comparison of Change in the Value of a $100,000 Investment in the U.S. Managed Volatility Fund, Class F, Class I, and Class Y, versus the Russell 3000® Index
¹ | For the year ended 9/30/17. Past performance is no indication of future performance. Class F shares were offered beginning 10/28/04 and Class I shares were offered beginning 6/29/07. Class I shares performance for the period prior to 06/29/07 is derived from the performance of Class F shares adjusted for the higher expenses of the Class I shares. Class Y shares were offered beginning 12/31/14. Class Y shares performance for the period prior to 12/31/14 is derived from the performance of Class F shares adjusted for the lower expenses of the Class Y shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
26 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Global Managed Volatility Fund
I. Objective
The Global Managed Volatility Fund (the “Fund”) seeks to provide capital appreciation with less volatility than the broad global equity markets.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub-advisers during the year ended September 30, 2017: Acadian Asset Management LLC and Analytic Investors, LLC. No manager changes were made during the Fund’s fiscal year.
III. Returns
For the year ended September 30, 2017, the Global Managed Volatility Fund, Class F, returned 11.16%. The Fund’s benchmark—the MSCI World Index—returned 18.17%.
IV. Performance Discussion
For the year ended September 30, 2017, the Fund delivered strong absolute returns in what was generally a good environment for equity investing. Supportive macroeconomic data, strong corporate earnings, investor optimism, “Trumpflation” and interest rate hikes, all contributed to the equity-market rally, as noted in the shareholder letter. Given such market dynamics, cyclical sectors—namely financials, industrials, information technology and materials—outperformed their more defensive peers, such as consumer staples, telecommunications, utilities and healthcare. The latter category was particularly vulnerable to the Federal Reserve’s interest-rate hikes and higher bond yields.
Over the long term, the Fund is expected to achieve a return similar to that of the MSCI World Index, but with a lower level of volatility. However, given that the Fund’s investment strategy focuses on absolute return and risk, the Fund’s country, sector and market capitalization exposures will typically vary from the index and may cause significant performance deviations relative to the index over shorter-term periods. In times of stress, low volatility and defensiveness have historically translated into better performance. However, the Fund is likely to underperform in a steeply-rising market environment. Hence, during the fiscal year, the Fund faced strong headwinds, as high-risk equities rallied in the face of an improving economy. Rising long-term government-
bond yields created further difficulties for classic defensive sectors, while at the same time propelling volatile financials. The focus on low-risk names and defensive sectors almost entirely explained the Fund’s relative performance for the fiscal period. From a sector standpoint, an underweight to cheap and volatile sectors, like materials and financials, at the expense of expensive low-beta sectors, such as consumer staples, was a key detractor over the period.
Both managers underperformed due to their strategic focus on risk reduction. Acadian was slightly more resilient as their overweights to low-beta names were less prominent than those of Analytic, which targeted the lowest-volatility segment of the market. As a result, Acadian’s underweight to the financials sector was less pronounced than that of Analytic, which explained the performance difference to some extent.
During the fiscal year, the Fund used currency forwards to hedge currency risk. The Fund had exposures to Canada and Australia, whose currencies appreciated against the U.S. dollar. Thus, hedging back to the U.S. dollar from local currency helped the Fund meet its objective of reduced volatility.
AVERAGE ANNUAL TOTAL RETURN1
1 Year Return | Annualized 3 Year | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
| ||||||||||||||||||||
Global Managed Volatility Fund, Class F‡ | 11.16% | 9.99% | 11.79% | 4.69% | 5.41% | |||||||||||||||
| ||||||||||||||||||||
Global Managed Volatility Fund, Class I | 10.80% | 9.69% | 11.53% | 4.42% | 5.11% | |||||||||||||||
| ||||||||||||||||||||
Global Managed Volatility Fund, Class Y | 11.32% | 10.25% | 11.95% | 4.76% | 5.47% | |||||||||||||||
| ||||||||||||||||||||
MSCI World Index | 18.17% | 7.69% | 10.99% | 4.22% | 6.00% | |||||||||||||||
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 27 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Global Managed Volatility Fund (Concluded)
Comparison of Change in the Value of a $100,000 Investment in the Global Managed Volatility Fund, Class F, Class I, and Class Y, versus the MSCI World Index
¹ | For the year ended 9/30/17. Past performance is no indication of future performance. Class F shares were offered beginning 7/27/06 and Class I shares were offered beginning 6/29/07. Class I shares performance for the period prior to 06/29/07 is derived from the performance of Class F shares adjusted for the higher expenses of the Class I shares. Class Y shares were offered beginning 12/31/14. Class Y shares performance for the period prior to 12/31/14 is derived from the performance of Class F shares adjusted for the lower expenses of the Class Y shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
28 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Tax-Managed Managed Volatility Fund
I. Objective
The Tax-Managed Managed Volatility Fund (the “Fund”) seeks to maximize after-tax returns, but with a lower level of volatility than the broad U.S. equity markets.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub-advisers during the year ended September 30, 2017: AJO, L.P., Analytic Investors LLC, LSV Asset Management, and Parametric Portfolio Associates LLC. No manager changes were made during the Fund’s fiscal year.
III. Returns
For the year ended September 30, 2017, the Tax-Managed Managed Volatility Fund, Class F, returned 12.84%. The Fund’s benchmark — the Russell 3000® Index — returned 18.71%.
IV. Performance Discussion
For the year ended September 30, 2017, the Fund delivered strong absolute returns in what was generally a good environment for equity investing. Supportive macroeconomic data, strong corporate earnings, investor optimism, “Trumpflation” and interest-rate hikes all contributed to the equity-market rally, as noted in the shareholder letter. Given such market dynamics, cyclical sectors, namely financials, industrials, information technology and materials outperformed their more defensive peers, such as consumer staples, telecommunications, utilities and healthcare. The latter category was particularly vulnerable to the Federal Reserve’s interest-rate hikes and higher bond yields.
Generally, the Fund is likely to underperform in a steeply-rising market environment but seeks to mitigate losses in a falling market environment by targeting a lower volatility compared to the broad market. In times of stress, the Fund’s relatively lower volatility and defensiveness compared to the market have historically translated into better relative performance for the Fund. Hence, as compared to the broad market, the Fund faced strong headwinds, as high-risk equities rallied in the face of an improving economy. Rising long-term government bond yields created further difficulties for classic defensives, while at the same time propelling volatile financials. The focus on low-risk names and
defensive sectors almost entirely explained the Fund’s relative performance for the fiscal period. From a sector standpoint, an underweight to cheap and volatile sectors, like materials and financials, at the expense of expensive low-beta sectors, such as consumer staples, was a key detractor over the period. On the positive side, the Fund’s preference for value, even within the low-volatility space, mitigated some of the negatives of targeting low risk.
Analytic and LSV underperformed, as expected, due to their strategic focus on risk reduction. AJO marginally outperformed the broad market as their overweights to low-beta names were less prominent than those of Analytic and LSV, which target much lower-volatility segments of the market. This was a key performance differential as the lowest-volatility segments of the market performed the worst. In addition, they benefited from some value effects in a period when value worked as an alpha source.
AVERAGE ANNUAL TOTAL RETURN1
1 Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
| ||||||||||||||||
Tax-Managed Managed Volatility Fund, Class F‡ | 12.84% | 10.29% | 13.22% | 9.02% | ||||||||||||
| ||||||||||||||||
Tax-Managed Managed Volatility Fund, Class Y | 13.12% | 10.49% | 13.35% | 9.08% | ||||||||||||
| ||||||||||||||||
Russell 3000® Index | 18.71% | 10.74% | 14.23% | 8.18% | ||||||||||||
|
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Managed Volatility Fund, Class F and Class Y, versus the Russell 3000® Index.
¹ | For the year ended 9/30/17. Past performance is not an indication of future performance. Class F shares were offered beginning 12/20/07 and Class Y shares were offered beginning 4/30/15. Class Y shares performance for the period prior to 4/30/15 is derived from the performance of Class F shares adjusted for the lower expenses of Class Y shares. Returns for Class Y shares |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 29 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Tax-Managed Managed Volatility Fund (Concluded)
are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and/or reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
30 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Tax-Managed International Managed Volatility Fund
I. Objective
The Tax-Managed International Managed Volatility Fund (the “Fund”) seeks tax-sensitive long-term capital appreciation with a lower level of volatility than the broad U.S. equity markets.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub-advisers during the period ended September 30, 2017: Acadian Asset Management, Analytic Investors, LSV Asset Management, and Parametric Portfolio Associates LLC. No manager changes were made during the Fund’s fiscal period.
III. Returns
For the period from October 17, 2016 (the Fund’s inception date) through September 30, 2017, the Tax-Managed Managed Volatility Fund, Class F, returned 15.65%. The Fund’s benchmark — the MSCI EAFE Index — returned 22.29%.
IV. Performance Discussion
For the period ended September 30, 2017, the Fund delivered strong absolute returns in what was generally a good environment for equity investing. Supportive macroeconomic data, strong corporate earnings, investor optimism, “Trumpflation” and interest-rate hikes all contributed to the equity-market rally, as noted in the shareholder letter. Given such market dynamics, cyclical sectors, namely financials, industrials, information technology and materials outperformed their more defensive peers, such as consumer staples, telecommunications, utilities and healthcare. The latter category was particularly vulnerable to the Federal Reserve’s interest-rate hikes and higher bond yields.
Generally, the Fund is likely to underperform in a steeply-rising market environment but seeks to mitigate losses in a falling market environment by targeting a lower volatility compared to the broad market. In times of stress, the Fund’s relatively lower volatility and defensiveness compared to the market have historically translated into better relative performance for the Fund. Hence, as compared to the broad market, the Fund faced strong headwinds, as high-risk equities rallied in the face of an improving economy. Rising long-term government bond yields created further difficulties for
classic defensives, while at the same time propelling volatile financials. The focus on low-risk names and defensive sectors almost entirely explained the Fund’s relative performance for the fiscal period. From a sector standpoint, an underweight to cheap and volatile sectors, like materials and financials, at the expense of expensive low-beta sectors, such as consumer staples, was a key detractor over the period. On the positive side, the Fund’s preference for value, even within the low-volatility space, mitigated some of the negatives of targeting low risk.
All three managers underperformed due to their strategic focus on risk reduction. LSV was slightly more resilient than the other two managers, given the value effects in its process in a period when value outperformed as an alpha source. Analytic performed the worst as its overweights to low-beta names were more prominent than those of Acadian and LSV. This was a key detractor for Analytic as the lowest-volatility segments of the market performed the worst. Similarly, sectors like financials and information technology, where Analytic exhibited stronger underweights than the other two managers, performed the best.
AVERAGE ANNUAL TOTAL RETURN1
Cumulative Inception to Date | ||||
| ||||
Tax-Managed International Managed Volatility Fund, Class F‡ | 15.65% | |||
| ||||
Tax-Managed International Managed Volatility Fund, Class Y | 15.90% | |||
| ||||
MSCI EAFE Index | 22.29% | |||
|
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed International Managed Volatility Fund, Class F and Class Y, versus the MSCI EAFE Index.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 31 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Tax-Managed International Managed Volatility Fund (Concluded)
¹ | For the period ended 9/30/17. Past performance is not an indication of future performance. Class F shares and Class Y shares were offered beginning 10/17/16. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and/or reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
32 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Real Estate Fund
I. Objective
The Real Estate Fund (the “Fund”) seeks to provide total return including current income and capital appreciation.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers during the year ended of September 30, 2017: Center Square Investment Management and Security Capital Research and Management, Inc. No manager changes were made during the Fund’s fiscal year.
III. Returns
For the year ended September 30, 2017, the Real Estate Fund, Class F, returned -0.57%. The Fund’s benchmark — Wilshire U.S. Real Estate Securities Index — returned 0.80%.
IV. Performance Discussion
The U.S. equity market began the fiscal year with investors focused on the presidential election. The Trump victory was followed closely by a sharp market rally on expectations for deregulation, infrastructure spending and a corporate-tax cut. As noted in the shareholder letter, value stocks in general, and the financial sector, in particular, rose significantly after the election, while market participants gained conviction that the economy would stay on track and that the upward path of short-term interest rates would continue.
High-dividend-yield segments of the market like utilities and real estate investment trusts (“REITs”) lagged as they were seen as less attractive in a rising interest-rate environment. The Federal Reserve (the “Fed”) raised its benchmark rate three times during the fiscal period. It’s possible the Fed will maintain this trajectory with multiple rate hikes per year moving forward. This could continue to put pressure on these high-yield sectors of the market as comparable-yielding assets become more attractive.
The Fund underperformed during the period, hurt by selection within REITs. Security Capital struggled in this area the most, which detracted from performance, while Center Square contributed, due mostly to holdings within the hotels, restaurants & leisure sector.
AVERAGE ANNUAL TOTAL RETURN1
1 Year Return | Annualized 3 Year | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
| ||||||||||||||||||||
Real Estate Fund, Class F‡ | -0.57% | 9.08% | 8.80% | 4.28% | 8.95% | |||||||||||||||
| ||||||||||||||||||||
Real Estate Fund, Class I | -0.80% | 8.83% | 8.55% | 4.05% | 8.70% | |||||||||||||||
| ||||||||||||||||||||
Real Estate Fund, Class Y | -0.37% | 9.31% | 8.94% | 4.35% | 9.00% | |||||||||||||||
| ||||||||||||||||||||
Wilshire U.S. Real Estate Securities Index | 0.80% | 10.17% | 9.86% | 5.62% | 9.58% | |||||||||||||||
|
Comparison of Change in the Value of a $100,000 Investment in the Real Estate Fund, Class F, Class I and Class Y, versus the Wilshire U.S. Real Estate Securities Index.
¹ | For the year ended 9/30/17. Past performance is not an indication of future performance. Class F shares were offered beginning 11/13/03 and Class I shares were offered beginning 10/01/07. Class I shares performance for the period prior to 10/01/07 is derived from the performance of Class F shares adjusted for the higher expenses of Class I shares. Class Y shares were offered beginning 12/31/14. Class Y shares performance for the period prior to 12/31/14 is derived from the performance of Class F shares adjusted for the lower expenses of Class Y shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and/or reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 33 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Enhanced Income Fund
I. Objective
The Enhanced Income Fund (the “Fund”) seeks to provide capital appreciation and income.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp (“SIMC”). The Fund utilized the following sub-advisers during the year ended September 30, 2017: Ares Management LLC and Wellington Management Company, LLP. No manager changes were made during the Fund’s fiscal year.
III. Returns
For the year ended September 30, 2017, the Enhanced Income Fund, Class F, returned 3.60%. The Fund’s benchmark—BofA Merrill Lynch 3-Month LIBOR Constant Maturity Index—returned 1.03%.
IV. Performance Discussion
The Fund benefited from the continued spread tightening in both the bank-loan market as well as the investment-grade short-duration space. Bank loans were the biggest contributor to both absolute and benchmark-relative return in the period. The risk-on sentiment that drove equity returns was evident in the fixed-income market, as credit outperformed government bonds, as addressed in the shareholder letter. Loans benefitted from the recovery in credit. Short-duration bonds in the financial sector, especially banks and insurance companies, were also a big contributor to performance. Financial sector returns were enhanced by both rising yields and the prospects for a comprehensive review of the most onerous regulatory reforms by the Trump administration. Holdings in the securitized space also contributed to performance, specifically higher-quality auto asset-backed securities (“ABS”) and collateralized-loan obligations. There was no material detractors to performance during the fiscal year.
From a sub-adviser perspective, Wellington Management Company, LLP, which manages the Fund’s exposure to ABS and financial-sector bonds, contributed to both absolute and relative performance. Ares Management LLC, which manages the Fund’s bank-loan allocation, also contributed to absolute and benchmark-relative performance.
AVERAGE ANNUAL TOTAL RETURN1
1 Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
| ||||||||||||||||||||
Enhanced Income Fund, Class F‡ | 3.60% | 2.08% | 2.09% | -0.04% | 0.32% | |||||||||||||||
| ||||||||||||||||||||
Enhanced Income Fund, Class I | 3.33% | 1.81% | 1.81% | -0.31% | 0.01% | |||||||||||||||
| ||||||||||||||||||||
Enhanced Income Fund, Class Y | 3.76% | 2.16% | 2.14% | -0.02% | 0.34% | |||||||||||||||
| ||||||||||||||||||||
BofA Merrill Lynch 3-Month LIBOR Constant Maturity Index | 1.03% | 0.59% | 0.46% | 0.95% | 1.43% | |||||||||||||||
|
Comparison of Change in the Value of a $100,000 Investment in the Enhanced Income Fund, Class F, Class I, and Class Y, versus the BofA Merrill Lynch 3-Month LIBOR Constant Maturity Index
¹ | For the year ended 9/30/17. Past performance is no indication of future performance. Class F shares were offered beginning 6/14/96 and Class I shares were offered beginning 6/29/07. Class I shares performance for the period prior to 06/29/07 is derived from the performance of Class F shares adjusted for the higher expenses of the Class I shares. Class Y shares were offered beginning 12/31/14. Class Y shares performance for the period prior to 12/31/14 is derived from the performance of Class F shares adjusted for the lower expenses of the Class Y shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
34 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Core Fixed Income Fund
I. Objective
The Core Fixed Income Fund (the” Fund”) seeks to provide current income consistent with the preservation of capital.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers during the year ended September 30, 2017: Jennison Associates LLC, Metropolitan West Asset Management LLC, Wells Capital Management Incorporated, Western Asset Management Company and Western Asset Management Company Limited. There were no manager changes during the year.
III. Returns
For the year ended September 30, 2017, the Core Fixed Income Fund, Class F, returned 1.02%, while the Fund’s benchmark — the Bloomberg Barclays U.S. Aggregate Bond Index — returned 0.07%.
IV. Performance Discussion
U.S. Treasury yields rose across the entirety of the yield curve, increasing from their post-Brexit record lows as the Federal Reserve (the “Fed”) raised rates three times during the fiscal year. As the shareholder letter addressed, short-term yields increased in a greater magnitude than long-term yields due to the Fed’s benchmark rate increases, while long-term yield increases were muted due to contained inflation expectations. The Fund’s yield-curve flattening bias was additive, as an overweight to 30-year bonds enhanced returns. A slightly shorter-duration posture was a modest positive as yields rose.
The Fund maintained a small allocation to below-investment-grade credit and emerging-market sovereign bonds, which added to returns as these two markets benefited from the demand for yield and increasing oil prices. Despite record new issuance, investment-grade corporate bonds outperformed comparable U.S. Treasury bonds, and the Fund’s overweight was additive. The Fund maintained an allocation to non-agency mortgage-backed securities (“MBS”), which benefited from the recovery of the housing market over the last several years, mortgage principal pay downs, and a shrinking supply of these securities. The Fund’s overweight to commercial MBS was positive, as the
demand for, and fundamentals of, commercial properties improved in line with modest U.S. economic growth, leading to outperformance. Lastly, the Fund’s overweight to asset-backed securities (“ABS”) contributed to performance as the historically strong labor market, which was referenced in the shareholder letter, improved the debt profile of the U.S. consumer and enabled these securities to outperform. Agency MBS was the only spread sector to underperform, and while the Fund was underweight, security selection offset the benefit of being underweight an underperforming sector.
Over the full fiscal period, all four sub-advisers outperformed the benchmark, with Western Asset Management Company producing the best returns through its yield-curve flattening posture and corporate overweight. Wells Capital Management, Inc. benefited from security selection in both ABS and MBS. Metropolitan West Asset Management LLC’s returns benefited from its allocation to non-agency mortgages and slightly shorter-duration posture. Jennison Associates LLC also outperformed, primarily due to its yield-curve flattening posture, while a more conservative corporate allocation held back relative performance.
Treasury futures and interest-rate swaps were utilized to help manage the Fund’s duration and yield-curve exposure. These exposures performed as described earlier. To a limited extent, the Fund utilized currency-forward contracts to manage currency exposure, which was a modest detractor.
AVERAGE ANNUAL TOTAL RETURN1
1 Year Return | Annualized 3 Year | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
| ||||||||||||||||||||
Core Fixed Income Fund, Class F‡ | 1.02% | 2.99% | 2.58% | 4.94% | 6.23% | |||||||||||||||
| ||||||||||||||||||||
Core Fixed Income Fund, Class I | 0.80% | 2.76% | 2.36% | 4.70% | 5.84% | |||||||||||||||
| ||||||||||||||||||||
Core Fixed Income Fund, Class Y | 1.27% | 3.18% | 2.70% | 5.00% | 6.25% | |||||||||||||||
| ||||||||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.07% | 2.71% | 2.06% | 4.27% | 6.39% | |||||||||||||||
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 35 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Core Fixed Income Fund (Concluded)
Comparison of Change in the Value of a $100,000 Investment in the Core Fixed Income Fund, Class F, Class I and Class Y, versus the Bloomberg Barclays U.S. Aggregate Bond Index
¹ | For the year ended 9/30/17. Past performance is no indication of future performance. Class F shares were offered beginning 5/1/87 and Class I shares were offered beginning 8/06/01. Class I shares performance for the period prior to 06/29/07 is derived from the performance of Class F shares adjusted for the higher expenses of the Class I shares. Class Y shares were offered beginning 06/30/15. Class Y shares performance for the period prior to 06/30/15 is derived from the performance of Class F shares adjusted for the lower expenses of the Class Y shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
36 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
U.S. Fixed Income Fund
I. Objective
The U.S. Fixed Income Fund (the “Fund”) seeks to provide current income consistent with the preservation of capital.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers during the year ended September 30, 2017: Jennison Associates LLC, Metropolitan West Asset Management LLC, Wells Capital Management Incorporated, Western Asset Management Company, and Western Asset Management Company Limited. No manager changes were made during the Fund’s fiscal year.
III. Returns
For the year ended September 30, 2017, the U.S. Fixed Income Fund, Class F, returned -0.11%, while the Fund’s benchmark—the Bloomberg Barclays U.S. Aggregate Bond Index—returned 0.07%.
IV. Performance Discussion
U.S. Treasury yields rose across the entirety of the yield curve, increasing from their post-Brexit record lows as the Federal Reserve (“Fed”) raised rates three times during the fiscal year. As the shareholder letter addressed, short-term yields increased in a greater magnitude than long-term yields due to the Fed’s benchmark rate increases, while long-term increases were muted due to contained inflation expectations. The Fund’s yield-curve flattening bias was additive, as an overweight to 30-year bonds enhanced returns. A slightly shorter-duration posture was a modest positive as yields rose.
Despite record new issuance, investment-grade corporate bonds outperformed comparable U.S. Treasury bonds and the Fund’s overweight was additive. The Fund maintained an allocation to non-agency mortgage-backed securities (“MBS”), which benefited from the recovery of the housing market over the last several years, mortgage principal pay downs and a shrinking supply of these securities. The Fund’s overweight to commercial MBS was positive as the demand for, and fundamentals of, commercial properties improved in line with modest U.S. economic growth, leading to outperformance. Lastly, the Fund’s overweight
to asset-backed securities (“ABS”) contributed to performance as the historically strong labor market, which the shareholder letter addressed, improved the debt profile of the U.S. consumer and enabled these securities to outperform. Agency MBS was the only spread sector to underperform, and while the Fund was underweight, security selection offset the benefit of being underweight an underperforming sector.
Over the full fiscal period, all four sub-advisers outperformed the benchmark, with Western Asset Management Company producing the best returns through its yield-curve flattening posture and corporate overweight. Wells Capital Management, Inc. benefited from security selection in both ABS and MBS.
Metropolitan West Asset Management LLC’s returns benefited from its allocation to non-agency mortgages and slightly shorter-duration posture. Jennison Associates LLC also outperformed, primarily due to its yield-curve flattening posture, while a more conservative corporate allocation held back relative performance. Treasury futures and interest-rate swaps were utilized to help manage the Fund’s duration and yield-curve exposure. These exposures performed as described earlier.
AVERAGE ANNUAL TOTAL RETURN1
1 Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
| ||||||||||||||||
U.S. Fixed Income Fund, Class F‡ | -0.11% | 2.48% | 1.93% | 4.16% | ||||||||||||
| ||||||||||||||||
U.S. Fixed Income Fund, Class Y | 0.14% | 2.70% | 2.06% | 4.25% | ||||||||||||
| ||||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.07% | 2.71% | 2.06% | 3.90% | ||||||||||||
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 37 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
U.S. Fixed Income Fund (Concluded)
Comparison of Change in the Value of a $100,000 Investment in the U.S. Fixed Income Fund, Class F and Class Y, versus the Bloomberg Barclays U.S. Aggregate Bond Index.
¹ | For the year ended 9/30/16. Past performance is not an indication of future performance. Class F shares were offered beginning 7/2/09 and Class Y shares were offered beginning 12/31/14. Class Y shares performance for the period prior to 12/31/14 is derived from the performance of Class F shares adjusted for the lower expenses of Class Y shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and/or reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
38 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
High Yield Bond Fund
I. Objective
The High Yield Bond Fund (the “Fund”) seeks total return.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to sub-advisers are managed directly by SIMC. The Fund utilized the following sub-advisers during the year ended September 30, 2017: Ares Management LLC, Benefit Street Partners, LLC, Brigade Capital Management, LLC, and J.P. Morgan Investment Management, Inc. No manager changes were made during the Fund’s fiscal year.
III. Returns
For the year ended September 30, 2017, the High Yield Bond Fund, Class F, returned 9.75%. The Fund’s benchmark — the BofA Merrill Lynch U.S. High Yield Constrained Index — returned 9.05%.
IV. Performance Discussion
The momentum seen in the high-yield market prior to the fiscal year carried into the reporting period, as the high-yield market finished up more than 9% for the period, as noted in the shareholder letter, with positive returns in 9 of 12 months. Healthy corporate fundamentals and a favorable technical environment were supportive of the high-yield market. All the primary sectors were positive for the period, with transportation the top-performing sector, up over 17%. The energy sector—the largest of the high-yield market—has been a primary focus over the past few years and returned just under 12% for the fiscal year. The market yield began the period at 6.25%, hit a period high of 6.86% on November 14, and finished the period at 5.48%. The market spread followed a similar path, beginning the period at 497 basis points, reaching its period high of 520 basis points on November 4, and finished the period at 356 basis points.
An overweight to collateralized-loan obligations (“CLO”) was beneficial as CLOs outperformed the high-yield bond market over the period driven by healthy corporate fundamentals and a favorable technical environment that pushed prices higher. CLO equity positions continued to generate strong quarterly cash flows as a result of a benign default environment, while CLO debt positions benefited from spread tightening across the entire
capital structure. CLOs saw significant markdowns in early 2016 but recovered those losses leading into and during the fiscal year.
An overweight to structured credit was beneficial, as higher loan prices and low defaults led to strong CLO performance over the fiscal period. Security selection within healthcare (primarily health facilities) and telecommunications (primarily wireless) was mitigated only somewhat by poor selection within retail and underweights to, and selection within, energy (primarily exploration & production) and transportation.
Brigade had the Fund’s best relative performance, as overweights and security selection in retail and media benefited, as did selection within healthcare, telecommunications and basic industry. Overweights to, and security selection within, retail and media, and an off-benchmark allocation to Puerto Rico detracted. Ares also contributed, with beneficial security selection within healthcare, basic industry and media, while poor selection within energy, services and transportation detracted. Benefit Street Partners also contributed to Fund relative performance during the fiscal year, with an overweight and security selection within the services sector, and selection within media and basic industry. Overweights to, and poor security selection within, technology & electronics, capital goods and healthcare provided a headwind.
J.P. Morgan was the lone detractor, with selection within leisure, telecommunications and healthcare outweighed by poor selection within retail, as well as underweights to, and poor security selection within, energy and basic industry.
The Fund used derivatives throughout the year ended September 30, 2017, to help efficiently manage duration, yield-curve positioning and spread duration. High-yield CDX, futures and total-return swaps were used for this purpose, which had a negligible impact on overall Fund performance.
AVERAGE ANNUAL TOTAL RETURN1
| ||||||||||||||||||||
1 Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
High Yield Bond Fund, Class F‡ | 9.75% | 5.47% | 6.05% | 6.94% | 7.35% | |||||||||||||||
| ||||||||||||||||||||
High Yield Bond Fund, Class I | 9.65% | 5.03% | 5.61% | 6.34% | 7.03% | |||||||||||||||
| ||||||||||||||||||||
High Yield Bond Fund, Class Y | 9.87% | 5.64% | 6.16% | 6.99% | 7.37% | |||||||||||||||
| ||||||||||||||||||||
BofA Merrill Lynch U.S. High Yield Constrained Index | 9.05% | 5.88% | 6.39% | 7.81% | N/A | |||||||||||||||
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 39 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
High Yield Bond Fund (Concluded)
Comparison of Change in the Value of a $100,000 Investment in the High Yield Bond Fund, Class F, Class I and Class Y, versus the BofA Merrill Lynch U.S. High Yield Constrained Index.
¹ | For the year ended 9/30/17. Past performance is not an indication of future performance. Class F shares were offered beginning 1/11/95 and Class I shares were offered beginning 10/1/07. Class I shares performance for the period prior to 10/1/07 is derived from the performance of Class F shares adjusted for the higher expenses of the Class I shares. Class Y shares were offered beginning 12/31/14. Class Y shares performance for the period prior to 12/31/14 is derived from the performance of Class F shares adjusted for the lower expenses of the Class Y shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and/ or reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
N/A — Not available
40 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Conservative Income Fund
I. Objective
The Conservative Income Fund (the “Fund”) seeks current income consistent with the preservation of principal and a high degree of liquidity.
II. Investment Approach
The Fund uses a sub-adviser to manage the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (“SIMC”). The sole sub-adviser for the year ended September 30, 2017 was BlackRock Advisors, LLC. There were no sub-adviser changes during the period.
III. Returns
For the year ended September 30, 2017, the
Conservative Income Fund, Class F, returned 0.83%. The Fund’s benchmark—the BofA Merrill Lynch U.S. 3-Month Treasury Bill Index—returned 0.66%.
IV. Performance Discussion
Front-end Treasury yields moved higher during the fiscal year as the Federal Reserve (“Fed”) raised its benchmark rate three times during the period. As noted in the shareholder letter, the Fed also announced that balance-sheet reduction would begin in October by allowing a small, but increasing amount, of securities to mature without reinvestment each month, starting with up to $6 billion for Treasurys and up to $4 billion for agency mortgages. The Fed’s interest-rate projections still suggest an interest-rate hike in December and three more in 2018. In addition, Congress agreed to a continuing resolution to keep the federal government open until mid-December and allowed the debt limit to be extended until that time. The 3-month London Interbank Offered Rate rose from 0.85% to 1.33% and 3-month Treasury bill yields increased from 0.27% to 1.04%.
The Fund benefited from fixed- and floating-rate commercial paper and certificates of deposit issued by Australian, Canadian and Japanese banks and non-bank issuers maturing in the 5-13 month range that offer attractive yield advantages relative to overnight rates. Moreover, the Fund increased its exposure to floating-rate notes, and will look for additional opportunities, with the expectation that the Fed will continue to increase interest rates.
Over the full reporting period, all four sub-advisers outperformed the benchmark, with Western Asset Management Company producing the best returns through its yield-curve flattening posture and corporate
overweight. Wells Capital Management, Inc. was the next best performer and benefited from security selection in both asset-backed securities and non-agency mortgage-backed securities. Jennison Associates LLC also outperformed primarily due to its yield-curve flattening posture. Metropolitan West Asset Management LLC’s returns were slightly ahead of the benchmark, but were held back by more conservative positioning within the corporate sector and, to a lesser degree, by a shorter-duration posture.
Blackrock is closely watching the new administration, new policies and Fed for indication of further rate hikes. Blackrock will continue to focus on high-quality bank paper. The Fund is well-diversified across Canadian, Australian, Japanese and U.S. banks.
AVERAGE ANNUAL TOTAL RETURN1 | ||||||||
| 1 Year Return | | | Annualized Inception | | |||
Conservative Income Fund, Class F‡ | 0.83% | 0.69% | ||||||
Conservative Income Fund, Class Y | 0.94% | 0.80% | ||||||
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.66% | 0.56% |
Comparison of Change in the Value of a $100,000 Investment in the Core Fixed Income Fund, Class F and Class Y, versus the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index
¹ | For the year ended 9/30/17. Past performance is no indication of future performance. Class F shares and Class Y shares were offered beginning 4/1/16. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 41 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Tax-Free Conservative Income Fund
I. Objective
The Tax-Free Conservative Income Fund (the “Fund”) seeks current income exempt from federal income taxes consistent with the preservation of principal and a high degree of liquidity.
II. Investment Approach
The Fund uses a sub-adviser to manage the Fund under the general supervision of SEI Investments Management Corp. (“SIMC”). The sole sub-adviser for the year ended September 30, 2017 was BlackRock Advisors, LLC. There were no sub-adviser changes during the period.
III. Returns
For the year ended September 30, 2017, the Tax-Free Conservative Income Fund, Class F, returned 0.51%. The Fund’s benchmark—the S&P Municipal Bond 6-Month High-Grade Rate—returned 0.82%.
IV. Performance Discussion
The 7-day Securities Industry and Financial Markets Association yield moved higher during the fiscal year, from 0.84% to 0.94%, as yields increased across the curve, as noted in the enclosed shareholder letter. Despite increased issuance and multiple rate hikes by the Federal Reserve during the fiscal period, non-traditional investor participation limited pressure on the yield curve.
While Variable Rate Demand Note (“VRDN”) securities have attracted non-traditional investors, a strong technical backdrop in municipals persists and has provided dealers with an opportunity to probe lower yield levels well through their taxable counterparts. The Fund benefited from its exposure to VRDNs and focused on diversifying these holdings. Moreover, the Fund opportunistically invested in commercial paper and longer-duration fixed-rate securities.
BlackRock is closely watching the new administration and new policies, particularly on tax reform, as well as the Federal Reserve for indications of further rate hikes. Blackrock will continue to focus on high-quality bank paper and remains well diversified.
AVERAGE ANNUAL TOTAL RETURN1 | ||||||||
1 Year Return | Annualized Inception to Date | |||||||
Tax-Free Conservative Income Fund, Class F‡ | 0.51 | % | 0.44 | % | ||||
Tax-Free Conservative Income Fund, Class Y | 0.60 | % | 0.53 | % | ||||
S&P Municipal 6-Month High-Grade | 0.82 | % | 0.68 | % |
Comparison of Change in the Value of a $100,000 Investment in the Tax-Free Conservative Income Fund Fund, Class F and Class Y, versus the S&P Municipal Bond 6-Month High-Grade Index.
¹ | For the year ended 9/30/17. Past performance is no indication of future performance. Class F shares and Class Y shares were offered beginning 4/22/16. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
42 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Real Return Fund
I. Objective
The Real Return Fund (the “Fund”) seeks to provide total return exceeding the rate of inflation.
II. Investment Approach
For the year ended September 30, 2017, the Fund was managed by the SEI Fixed Income Portfolio Management Team of SEI Investments Management Corporation (“SIMC”).
III. Returns
For the year ended September 30, 2017, the Real Return Fund, Class F, returned 0.03%. The Fund’s benchmark — Bloomberg Barclays 1-5 Year U.S. TIPS Index — returned 0.41%.
IV. Performance Discussion
The Treasury Inflation-Protected Securities (“TIPS”) market was positively impacted by increased expectations for expansionary fiscal policy in the U.S. during the Fund’s fiscal year, as noted in the shareholder letter. The TIPs market outperformed matched-maturity nominal Treasury bonds, as breakeven inflation widened across the curve. The five-year inflation breakeven widened approximately 29 basis points over the period. Higher commodity prices flowed through U.S. realized-inflation calculations, with a 2.2% increase in the reference index delivering positive inflation accretion.
Real yields shifted higher in parallel fashion and detracted from Fund performance after the Federal Reserve delivered three 25 basis-point hikes over the period.
AVERAGE ANNUAL TOTAL RETURN1
1 Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
Real Return Fund, Class F‡ | 0.03% | 0.25% | -0.26% | 1.55% | ||||||||||||
Real Return Fund, Class Y | 0.11% | 0.37% | -0.18% | 1.60% | ||||||||||||
Bloomberg Barclays 1-5 Year U.S. TIPS Index | 0.41% | 0.67% | 0.19% | 1.98% |
Comparison of Change in the Value of a $100,000 Investment in the Real Return Fund, Class F and Class Y, versus the Bloomberg Barclays 1-5 Year U.S. TIPS Index
1 | For the year ended 9/30/17. Past performance is no indication of future performance. Class F shares were offered beginning 7/2/09 and Class Y shares were offered beginning 12/31/14. Class Y shares performance for the period prior to 12/31/14 is derived from the performance of Class F shares adjusted for the lower expenses of the Class Y shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 43 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Dynamic Asset Allocation Fund
I. Objective
The Dynamic Asset Allocation Fund (the “Fund”) seeks long-term total return.
II. Investment Approach
During the year ended September 30, 2017, the Fund used a single sub-adviser, SSgA Funds Management, Inc. (“SSgA”), under the general supervision of SEI Investments Management Corporation (“SIMC”). No manager changes were made during the Fund’s fiscal year.
III. Returns
For the year ended September 30, 2017, the Dynamic Asset Allocation Fund, Class F, returned 19.95%, and the S&P 500 Index returned 18.61%.
IV. Performance Discussion
The majority of the Fund’s volatility is driven by the underlying beta, the S&P 500 Index. As such, the largest driver of absolute return in the Fund was the S&P 500 Index, which was positive as noted in the shareholder letter. However, positive performance from the Fund’s tactical trades did cause the Fund to outperform the S&P 500 Index.
The U.S. equity market began the fiscal year with investors focused on the presidential election campaign. Although the controversial election process and its outcome left many feeling that the country was deeply divided, the equity market rallied on hopes of deregulation, infrastructure spending and a corporate tax cut.
Within the S&P 500 Index, the financial sector had the best performance during the fiscal year, followed by technology, industrials and materials. Healthcare and consumer discretionary also had strong performance, and utilities were firm. Telecommunications had the deepest decline, and energy was also negative, while consumer staples were modestly positive.
The largest contributors to relative performance were a long-Indian-rupee, short-Korean-won currency trade, a U.S. breakeven-inflation swap and a put-option position on the euro currency. The Indian-rupee against Korean-won trade has been in place since September 2015 and contributed as the Indian rupee appreciated relative to the Korean won. The U.S. breakeven-inflation swap was initiated in August 2016, and the position appreciated as inflation expectations rose. This trade was closed in December 2016. The euro currency put
option position was initiated in September 2016, and the position appreciated, and then expired in the money in December 2016.
The largest detractors from relative performance were a long-European-equity against short-U.S.-equity trade, a long-Indian-rupee against short-Taiwan-dollar and Singapore-dollar currency trade, and an S&P 500 Index put-option spread. The long-European-equity and short-U.S.-equity trade was initiated in March 2017. This detracted as U.S. equities have outperformed European equities over the measurement period. The long-Indian-rupee and short-Taiwan-dollar and Singapore-dollar trade was initiated in January 2017 and detracted as the two Asian currencies appreciated against the Indian rupee. The S&P 500 Index put-option spread initiated in June 2016 detracted as it expired out of the money in September 2017.
Derivatives are used to obtain the Fund’s tactical exposures. In the past year, these have included futures, foreign-currency forward contracts, options and total-return swaps. The use of derivatives had a material impact on performance since all tactical trades are implemented through their use.
AVERAGE ANNUAL TOTAL RETURN1
| ||||||||
1 Year Return | Annualized Inception to Date | |||||||
| ||||||||
Dynamic Asset Allocation Fund, Class F‡ | 19.95% | 9.82% | ||||||
| ||||||||
Dynamic Asset Allocation Fund, Class Y | 20.17% | 10.04% | ||||||
| ||||||||
S&P 500 Index | 18.61% | 10.89% | ||||||
|
44 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Comparison of Change in the Value of a $100,000 Investment in the Dynamic Asset Allocation Fund, Class F and Class Y, versus the S&P 500 Index
1 | For the year ended 9/30/17. Past performance is no indication of future performance. Class F shares and Class Y shares were offered beginning 7/30/15. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 45 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Multi-Strategy Alternative Fund
I. Objective
The Multi-Strategy Alternative Fund (the “Fund”) allocates its assets among a variety of investment strategies to seek to generate an absolute return with reduced correlation to the stock and bond markets.
II. Investment Approach
The Fund’s assets are managed under the direction of SEI Investments Management Corporation (“SIMC”), which manages the Fund’s assets in a way that it believes will achieve the Fund’s investment objective. In order to achieve its investment objective, the Fund may allocate its assets among a variety of investment strategies through the use of: (i) affiliated and unaffiliated funds, including open-end funds, closed-end funds and exchange traded funds (underlying funds); and (ii) one or more investment sub-advisers. During the year ended September 30, 2017, the Fund allocated its assets among unaffiliated funds and one affiliated fund.
During the year ended September 30, 2017, the Fund utilized the following sub-advisers: Acadian Asset Management, Brigade Capital Management, LLC, Caerus Investors LLC, EMSO Partners Ltd., Kettle Hill Capital Management, LLC, Mountaineer Partners Management, LLC, and Ramius Advisors, LLC.
During the period, Brigade Capital Management, LLC and Caerus Investors LLC were added to the Fund.
III. Returns
For the ended September 30, 2017, the Multi-Strategy Alternative Fund, Class F, returned 4.62%. The Fund’s benchmark—BofA Merrill Lynch 3-Month U.S. Treasury Bill Index—returned 0.66%.
Although the Fund’s performance is benchmarked against the return of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index, an investment in the Fund is substantially different from an investment in U.S. Treasury Bills. Among other things, Treasury bills are backed by the full faith and credit of the U.S. government and have a fixed rate of return. Treasury bill investors do not risk losing their investment, whereas loss of money is a risk of investing in the Fund. Further, an investment in the Fund is expected to be substantially more volatile than an investment in Treasury bills because of the breadth and types of securities and other instruments in which the Fund may invest.
IV. Performance Discussion
The Fund performed well for the fiscal year ended September 30, 2017, outperforming the 3-Month U.S. Treasury Bills Index. Three of the Fund’s four investment strategies delivered positive returns; only the global macro strategy detracted.
The U.S. presidential election and the ensuing “Trump trade” that denoted the simultaneous surge in stocks, Treasury yields and the U.S. dollar dominated the fourth quarter of 2016. The broad rally across equity markets continued throughout 2017 despite the lack of realized progress made on the pro-growth agenda and provided a substantial tailwind for managers running more directional equity strategies. Stronger global growth, notably from Europe and emerging markets, coupled with healthy employment figures, a weaker dollar, low yields across other asset classes and the potential for tax reform sustained the consistent upward trajectory of equity markets, as noted in the shareholder letter. Uncertainty surrounding U.S. politics, particularly as it relates to tax reform, trade agreements and North Korean tensions remained one of the most pressing concerns that threatened the global growth narrative. Following the U.S., global central banks began to normalize policy and marginally increased rates. As in the previous fiscal period, high-yield corporate bonds remained one of the better-performing asset classes as investors continued to search for yield. The U.S. dollar rose in the fourth quarter of 2016 with the Trump trade, but then weakened through 2017 as confidence in the administration’s ability to deliver on its growth-boosting agenda waned and the economic outlook in Europe improved.
During the period, the composition of the Fund shifted slightly as we continued to transition some of the third-party mutual fund investments to the sub-advisers listed in Section II. We believe this change will improve investment outcomes over time and it made a contribution over the period. The event strategy contributed most, particularly the segment sub-advised by Mountaineer Partners. It benefited from a focus on undervalued mid-cap equities coupled with an emphasis on catalysts, as well as its more directional bias. The balance of the event strategy was invested in merger arbitrage, which also posted moderate gains. The equity hedge strategy was the second largest contributor, with gains led by Caerus Investors who were added in January. Caerus runs a fundamental, low-net strategy focused on consumer equities that generated significant alpha over the period on both the long and short side. All investments within the relative-value strategy
46 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
��
delivered positive returns and had a material impact on overall performance. EMSO, an emerging-markets debt specialist, was the top performer within the strategy and benefited from well-timed positions in the bonds of Argentina, Brazil, Greece and Egypt. The global macro allocation, which is composed of two managed futures funds, posted a negative return for the year. Systematic trend- following strategies performed poorly over the fiscal period, given the frequency of trend reversals across fixed income, currency and commodity markets. Not surprisingly, equities have been the one asset class where managed-futures funds were able to generate steady returns due to the more consistent trends. Despite the disappointing performance, the strategy provides an important diversification role in the portfolio and is expected to further enhance the return profile as the macro backdrop stabilizes.
Derivatives used in the Fund consisted primarily of currency futures and forwards, interest-rate swaps, credit default swaps and equity and equity-index options. Derivatives in the Fund were primarily used by sub-advisers for hedging and risk management. Derivatives performance did not have a material impact on Fund returns over the period.
AVERAGE ANNUAL TOTAL RETURN1
| ||||||||||||||||
1 Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
| ||||||||||||||||
Multi-Strategy Alternative Fund, Class F‡ | 4.62% | 1.63% | 2.13% | 1.36% | ||||||||||||
| ||||||||||||||||
Multi-Strategy Alternative Fund, Class Y | 4.90% | 1.84% | 2.26% | 1.44% | ||||||||||||
| ||||||||||||||||
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.66% | 0.32% | 0.22% | 0.18% | ||||||||||||
|
Comparison of Change in the Value of a $100,000 Investment in the Multi-Strategy Alternative Fund, Class F and Class Y, versus the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index
1 | For the year ended 9/30/17. Past performance is no indication of future performance. Class F shares were offered beginning 3/31/10 and Class Y shares were offered beginning 4/30/15. Class Y shares performance for the period prior to 4/30/15 is derived from the performance of Class F shares adjusted for the lower expenses of the Class Y shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. Although the Fund’s performance is benchmarked against the return of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index, an investment in the Fund is substantially different from an investment in U.S. Treasury bills. Among other things, Treasury bills are backed by the full faith and credit of the U.S. Government and have a fixed rate of return. Investors in Treasury bills do not risk losing their investment, whereas loss of money is a risk of investing in the Fund. Further, an investment in the Fund is expected to be substantially more volatile than an investment in Treasury bills because of the breadth and types of securities and other instruments in which the Fund may invest. |
‡ | See Note 1 in Notes to Financial Statements. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 47 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Multi-Asset Accumulation Fund
I. Objective
The Multi-Asset Accumulation Fund (the “Fund”) seeks to provide total return, including capital appreciation and income.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment strategies to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers during the year ended September 30, 2017: AQR Capital Management, LLC and PanAgora Asset Management Inc. No manager changes were made during the Fund’s fiscal year.
III. Returns
For the year ended September 30, 2017 the Multi-Asset Accumulation Fund, Class F, returned 4.33%. The Fund’s blended benchmark — MSCI World Index (Net) (Hedged) (USD) Index (60%) and Bloomberg Barclays Global Aggregate Index, (Hedged) (USD) (40%) — returned 10.69%.
IV. Performance Discussion
Most major asset classes had positive performance during the Fund’s fiscal year. Both developed- and emerging-market equities did well during the period. Stocks rallied through most of the fiscal year as global economic synchronization, strong earnings and continued central-bank stimulus drove market performance as the shareholder letter addressed. Developed-market sovereign bonds were modestly negative when hedged back to the U.S. dollar, as most major markets experienced higher rates over the past year. The risk-on sentiment that drove equity returns was also evident in the fixed-income market, as credit outperformed government bonds. Commodities were slightly negative over the past year; however, their performance was positive in the third quarter of 2017. The Fund’s exposure to developed- and emerging-market equities contributed to absolute performance as both asset types performed well during the period. However, the Fund’s lower-than-benchmark exposure to equities detracted from relative performance. Additionally, the Fund’s greater-than-benchmark exposure to nominal sovereign bonds detracted from both absolute and relative performance during the period.
Both sub-advisers experienced positive performance in the period but trailed their blended benchmarks. AQR Capital Management, LLC and PanAgora Asset Management Inc.’s greater-than-benchmark exposures to developed-market bonds detracted from relative performance. In addition, both AQR Capital Management, LLC and PanAgora Asset Management Inc.’s exposures to commodity futures detracted from both absolute and benchmark-relative performance, as commodities experienced negative performance in the period. Additionally, AQR Capital Management, LLC’s exposure to emerging-market currencies contributed to relative performance as most major emerging-market currencies appreciated against the U.S. dollar.
The Fund used equity-index futures, bond-index futures, interest-rate swaps, commodity futures, total-return swaps and currency forwards in order to provide cost-effective exposures to the desired asset classes. Derivatives had a meaningful impact on Fund performance during the period. Sovereign bond-index futures, interest-rate swaps and, to a lesser extent, sovereign bond total-return swaps (used for market exposure) detracted from performance, as interest rates increased (on average) over the period. The greater capital weight to sovereign bonds contributed to underperformance during the period. Global-equity futures (used for market exposure) were a meaningful contributor to performance. While equity futures had a positive impact on total returns, a lower notional exposure to equities detracted from relative performance. The Fund has a controlled foreign corporation designed to provide commodity exposure, primarily through commodity futures and, to a lesser extent, commodity total-return swaps, as commodities are a key part of the Fund’s strategy. The commodity futures provide strategic exposure to a diversified mix of underlying commodities. However, this exposure detracted from total returns over the period. Forward-currency contracts on emerging-market currencies (used for market exposure) were a contributor to both total and benchmark-relative returns. Forward currency contracts on developed-market currencies were principally used to hedge foreign-currency risk relative to the U.S. dollar. These exposures slightly detracted from performance over the Fund’s fiscal year.
48 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
AVERAGE ANNUAL TOTAL RETURN1
1 Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
Multi-Asset Accumulation Fund, Class F‡ | 4.33% | 3.71% | 4.24% | 4.89% | ||||||||||||
Multi-Asset Accumulation Fund, Class Y | 4.55% | 3.95% | 4.39% | 5.02% | ||||||||||||
MSCI World Index (Net) (Hedged) (USD) | 18.47% | 9.17% | 12.86% | 12.35% | ||||||||||||
Bloomberg Barclays Global Aggregate Index, (Hedged) (USD) | -0.17% | 3.13% | 3.07% | 3.42% | ||||||||||||
60/40 Hybrid consisting of the MSCI World Index (Net) (Hedged) (USD) and Bloomberg Barclays Global Aggregate Index, (Hedged) (USD) | 10.69% | 6.85% | 8.96% | 8.82% |
Comparison of Change in the Value of a $100,000 Investment in the Multi-Asset Accumulation Fund, Class F and Class Y, versus the 60/40 Hybrid consisting of the MSCI World Index (Net) (Hedged) (USD) and Barclays Global Aggregate Index, (Hedged) (USD), the MSCI World Index (Net) (Hedged) (USD), and the Bloomberg Barclays Global Aggregate Index (Hedged) (USD)
1 | For the year ended 9/30/17. Past performance is no indication of future performance. Class F shares were offered beginning 4/09/12 and Class Y shares were offered beginning 12/31/14. Class Y shares performance for the period prior to 12/31/14 is derived from the performance of Class F shares adjusted for the lower expenses of the Class Y shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 49 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Multi-Asset Income Fund
I. Objective
The Multi-Asset Income Fund (the “Fund”) seeks to provide total return with an emphasis on current income.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment strategies to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund used the following sub-advisers during the year ended September 30, 2017: Goldman Sachs Asset Management, L.P. (“Goldman”), Guggenheim Partners Investment Management, LLC (“Guggenheim”), and SSgA Funds Management, Inc., (“SSgA”). No manager changes were made during the Fund’s fiscal year.
III. Returns
For the year ended September 30, 2017, the Multi-Asset Income Fund, Class F, returned 6.90%. The Fund’s blended benchmark—Bloomberg Barclays U.S. Aggregate Bond Index (45%), the BofA Merrill Lynch U.S. High Yield Constrained Index (40%) and the S&P 500 Index (15%)—returned 6.29%.
IV. Performance Discussion
Credit markets rallied during the Fund’s fiscal year, and credit spreads tightened across the board but were most pronounced in the below-investment-grade credit market, which includes high-yield bonds and bank loans. Investment-grade corporate credit also performed well during the year as spreads tightened in those sectors. Securitized assets such as asset-backed securities (“ABS”), non-agency mortgage-backed securities (“MBS”) and commercial mortgage-backed securities (“CMBS”) performed relatively well, as they benefited from favorable supply and demand dynamics and improving collateral. Non-agency MBS also performed well as the U.S. housing market continued to improve, while collateralized-loan obligations (“CLOs”) benefited from strong demand over the past year, which supported the underlying collateral in bank loans. Emerging-market debt, as noted in the shareholder letter, also enjoyed strong performance over the fiscal period, as commodity markets stabilized and outlooks for certain countries improved. While the Fund’s exposure to high-yield bonds contributed to absolute returns, their lower-than-benchmark weight detracted on a benchmark-relative basis. The Fund’s off-benchmark exposure to
emerging-market debt contributed to both absolute and benchmark-relative performance. The Fund’s meaningful exposure to securitized assets (“ABS”, “MBS” and “CLOs”) contributed to performance during the measurement period.
All three sub-advisers contributed to total return.
Guggenheim’s meaningful exposure to CLOs, bank loans and ABS helped. Goldman Sachs contributed, principally through exposures to high-yield bonds and emerging-markets debt. Despite its relatively modest weight, the covered-call strategy implemented by SSgA provided above-average performance in the period, contributing to relative performance.
The Fund used total-return swaps on bond futures, interest-rate swaps and futures and options on exchange-traded funds, equity indexes and currency forwards. Derivatives were employed for various reasons, including fixed-income relative value, to generate option income and hedge interest-rate risk. Derivatives had a modest impact on Fund performance. Interest-rate futures used to manage duration detracted as rates rose during the period. Options used as part of the covered-call strategy contributed, as did relative-value positions between European sovereign bonds and U.S. Treasury bonds. Currency forwards had a slightly negative impact on performance.
AVERAGE ANNUAL TOTAL RETURN1
1 Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
Multi-Asset Income Fund, Class F‡ | 6.90% | 5.86% | 6.40% | 6.84% | ||||||||||||
Multi-Asset Income Fund, Class Y | 7.00% | 5.95% | 6.45% | 6.89% | ||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.07% | 2.71% | 2.06% | 2.44% | ||||||||||||
BofA Merrill Lunch U.S. High Yield Constrained Index | 9.05% | 5.88% | 6.39% | 7.08% | ||||||||||||
S&P 500 Index | 18.61% | 10.81% | 14.22% | 13.97% | ||||||||||||
45/40/15 Hybrid consisting of the Bloomberg Barclays U.S. Aggregate Bond Index, BofA Merrill Lynch U.S. High Yield Constrained Index and S&P 500 Index | 6.29% | 5.25% | 5.62% | 6.04% |
50 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Comparison of Change in the Value of a $100,000 Investment in the Multi-Asset Income Fund, Class F and Class Y, versus the 45/40/15 Hybrid consisting of the Bloomberg Barclays U.S. Aggregate Bond Index, BofA Merrill Lynch U.S. High Yield Constrained Index, and S&P 500 Index, the Bloomberg Barclays U.S. Aggregate Bond Index, the BofA Merrill Lynch U.S. High Yield Constrained Index, and the S&P 500 Index
¹ | For the year ended September 30, 2017. Past performance is not an indication of future performance. Class F shares were offered beginning 4/9/12. Class Y shares performance for the period prior to 12/31/14 is derived from the performance of Class F shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 51 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Multi-Asset Inflation Managed Fund
I. Objective
The Multi-Asset Inflation-Managed Fund (the “Fund”) seeks to provide total return exceeding the rate of inflation.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment strategies to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers during the year ended September 30, 2017: AllianceBernstein, L.P, Cohen & Steers and QS Investors, LLC. No manager changes were made during the Fund’s fiscal year.
III. Returns
For the year ended September 30, 2017, the Multi-Asset Inflation Managed Fund, Class F, returned -2.07%. The Fund’s blended benchmark — the Bloomberg Barclays 1-5 Year U.S. TIPS Index (70%), the Bloomberg Commodity Index Total Return Index (20%) and the S&P 500 Index (10%) — returned 1.78%.
IV. Performance Discussion
The real-assets market experienced mixed performance over the fiscal year, as noted in the shareholder letter. While commodities had a negative return over the one-year period, U.S. Treasury Inflation-Protected Securities (“TIPS”) experienced muted performance across the curve. Commodity-related equities diverged from their underlying commodities and delivered positive returns during the measurement period. Stocks rallied through most of the year as global economic synchronization, strong earnings and continued central-bank stimulus drove market performance, as the shareholder letter addressed. Real-estate investment trusts were positive over the period.
Sub-adviser performance was mixed. Cohen & Steers’ unfavorable security selection within the commodities sector detracted from relative performance during the period. AllianceBernstein, L.P.’s U.S. TIPS allocation contributed to both absolute and relative performance. Outperformance for AllianceBernstein was largely due to an overweight to credit-spread sectors. QS Investors’ inflation-sensitive equity long/short strategy detracted from absolute and relative performance. The strategic sector allocation within the long/short strategy was out-of-favor over the period as its value tilt lagged a market that favored U.S. growth stocks.
The Fund used commodity futures, bond-index futures, equity-index futures and interest-rate swaps during the period. The use of derivatives had a meaningful impact on Fund performance. A short position in U.S. Treasury futures and interest-rate swaps was used to hedge duration risk for a portion of the Fund’s corporate-bond exposure. This hedge contributed to total returns as interest rates increased. A short position in global equity total-return swaps was used to hedge equity-market risk for a portion of the Fund’s long-equity positions. This hedge detracted from total returns, as equity-market returns were positive. Within the Fund, a controlled foreign corporation has been established to provide additional exposure to commodities, including commodity futures. The commodity futures exposure, used to provide a strategic exposure to a diversified mix of underlying commodities, detracted from total returns. Forward-currency contracts on developed-market currencies were principally used to hedge foreign-currency risk relative to the U.S. dollar and had a slightly negative effect on performance.
AVERAGE ANNUAL TOTAL RETURN1
1 Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
Multi-Asset Inflation Managed Fund, Class F‡ | -2.07% | -2.66% | -2.93% | -2.41% | ||||||||||||
Multi-Asset Inflation Managed Fund, Class Y | -1.90% | -2.46% | -2.81% | -2.30% | ||||||||||||
Bloomberg Barclays 1-5 Year U.S. TIPS Index | 0.41% | 0.67% | 0.19% | 0.31% | ||||||||||||
Bloomberg Commodity Total Return Index | -0.29% | -10.41% | -10.47% | -8.75% | ||||||||||||
S&P 500 Index | 18.61% | 10.81% | 14.22% | 13.97% | ||||||||||||
70/20/10 Hybrid consisting of the Bloomberg Barclays 1-5 Year U.S. TIPS Index, Bloomberg Commodity Total Return Index and S&P 500 Index | 1.78% | -0.42% | -0.56% | -0.38% |
52 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Comparison of Change in the Value of a $100,000 Investment in the Multi-Asset Inflation Managed Fund, Class F and Class Y, versus a 70/20/10 Hybrid consisting of the the Bloomberg Barclays 1-5 Year U.S. TIPS Index, Bloomberg Commodity Total Return Index and the S&P 500 Index
1 | For the year ended 9/30/17. Past performance is no indication of future performance. Class F shares were offered beginning 4/09/12 and Class Y shares were offered beginning 12/31/14. Class Y shares performance for the period prior to 12/31/14 is derived from the performance of Class F shares adjusted for the lower expenses of the Class Y shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 53 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Multi-Asset Capital Stability Fund
I. Objective
The Multi-Asset Capital Stability Fund (the “Fund”) seeks to manage the risk of a loss while providing current income and an opportunity for capital appreciation.
II. Investment Approach
For the year ended September 30, 2017, the Fund used a single sub-adviser, AllianceBernstein, L.P. (“AllianceBernstein”), under the general supervision of SEI Investments Management Corporation (“SIMC”). No manager changes were made during the Fund’s fiscal year.
III. Returns
For the year ended September 30, 2017, the Multi-Asset Capital Stability Fund, Class F, returned 1.78%. The Fund’s blended benchmark—the Bloomberg Barclays 1-3 Year U.S. Government/Credit Index (95%) and S&P 500 Composite Stock Price Index (5%)—returned 1.51%.
IV. Performance Discussion
Most major asset classes had positive performance during the Fund’s fiscal year. Both developed- and emerging-market equities did well during the period. Stocks rallied through most of the fiscal year as global economic synchronization, strong earnings and continued central-bank stimulus drove market performance, as the shareholder letter addressed. Developed-market bonds performed reasonably well with mid-single-digit returns (when hedged back to the U.S. dollar). The risk-on sentiment that drove equity returns was also evident in the fixed-income market, as credit outperformed government bonds.
The Fund had positive absolute performance and outperformed relative to its blended benchmark. A greater-than-average benchmark exposure to equity and credit helped both absolute and relative performance. The Fund’s tactical positions in emerging-market currency forward contracts contributed to both absolute and relative performance.
The Fund used credit-default swaps, equity-index futures, bond-index futures, interest-rate swaps, equity options and currency forwards. Derivatives are primarily used to provide cost-effective exposures to the desired asset classes and had a meaningful impact on Fund performance in the period. Stock-index futures, primarily developed-market equities used for market exposure, resulted in positive performance during the Fund’s fiscal year. Interest-rate futures and swaps generally detracted from performance as interest rates rose on
average during the period. Small positions in credit-default swaps, used to gain exposure to high-yield and investment-grade credit, contributed modestly to total return. Forward-currency contracts on developed-market currencies were principally used to hedge foreign-currency risk relative to the U.S. dollar. The effect of these hedges on performance was largely neutral. Tactical positions in primarily emerging-market currencies contributed to performance.
AVERAGE ANNUAL TOTAL RETURN1
1 Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
Multi-Asset Capital Stability Fund, Class F‡ | 1.78% | 1.27% | 1.18% | 1.34% | ||||||||||||
Multi-Asset Capital Stability Fund, Class Y | 1.88% | 1.37% | 1.24% | 1.39% | ||||||||||||
Bloomberg Barclays 1-3 year U.S. Government/Credit Index | 0.66% | 1.05% | 0.91% | 0.96% | ||||||||||||
S&P 500 Index | 18.61% | 10.81% | 14.22% | 13.97% | ||||||||||||
95/5 Hybrid consisting of Bloomberg Barclays 1-3 Year U.S. Government/Credit Index and S&P 500 Index | 1.51% | 1.55% | 1.56% | 1.60% |
54 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Comparison of Change in the Value of a $100,000 Investment in the Multi-Asset Capital Stability Fund, Class F and Class Y, versus a 95/5 Hybrid of the following indexes: the Bloomberg Barclays 1-3 Year U.S. Government/Credit Index, and the S&P 500 Index.
¹ | For the year ended 9/30/17. Past performance is not an indication of future performance. Class F shares were offered beginning 4/9/12 and Class Y shares were offered beginning 12/31/14. Class Y shares performance for the period prior to 12/31/14 is derived from the performance of Class F shares adjusted for the lower expenses of the Class Y shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and/or reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 55 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2017 (Unaudited)
Long/Short Alternative Fund
I. Objective
The Long/Short Alternative Fund (the “Fund”) seeks to provide long term capital appreciation.
II. Investment Approach
For the year ended September 30, 2017, the Fund used a single sub-adviser, Beachhead Capital Management LLC, under the general supervision of SEI Investments Management Corporation (“SIMC”). No manager changes were made during the Fund’s fiscal year.
III. Returns
For the year ended September 30, 2017, the Long/Short Alternative Fund, Class F, returned 11.13%. The Fund’s benchmark—Equity Hedge Index (“HFRX”)—returned 7.91%.
IV. Performance Discussion
During the Fund’s fiscal year, performance was driven predominantly by long exposure to U.S., developed-market and emerging-market equities. Despite the various geopolitical headwinds, stronger global growth, healthy employment figures, a weaker dollar, low yields across other asset classes and the potential for tax reform helped propel the equity rally. Global equity markets generally exhibited a resilient upward trajectory over the period, with the exception of emerging-markets, which sold off in the fourth quarter of 2016 before rebounding sharply in the subsequent quarters.
The Fund benefited from being positioned short emerging-market equities at the end of 2016. However, within equities, the Fund’s sizable long positions in the S&P 400 and Nasdaq Composite indexes were the largest contributors. Allocations to currencies and, to a lesser extent, corporate credit, had a marginal, but positive, impact on performance, as noted in the shareholder letter. The Fund was positioned long the U.S. dollar throughout the first half of the fiscal year before rotating short in April as confidence in President Trump’s ability to deliver on a growth-boosting agenda waned and the economic outlook in Europe improved. During the period, the Fund maintained a modest, but consistent, long allocation to high-yield corporate credit, which offset a small loss from its investment-grade credit exposure for an overall net gain from the asset class. The Fund’s short position in 30-year Treasury bonds was the only material detractor for the year, with most of the losses suffered during the fourth quarter of 2016 and second quarter of 2017. At the end of the fiscal period, the Fund retained its long U.S., developed-market,
and emerging-market equities positioning, albeit at a considerably lower gross exposure. In addition, the Fund remained modestly long high-yield corporate credit and short 30-year Treasuries and the U.S. dollar.
The Fund achieved the foregoing exposure and related performance primarily through the use of index futures to obtain broad exposure to global financial markets including U.S. and international equities, U.S. government bonds, and currencies.
AVERAGE ANNUAL TOTAL RETURN1
1 Year Return | Annualized Inception to Date | |||||||
Long/Short Alternative Fund, Class F‡ | 11.13% | 3.08% | ||||||
Long/Short Alternative Fund, Class Y | 11.42% | 3.25% | ||||||
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.66% | 0.34% | ||||||
HFRX Equity Hedge Index | 7.91% | 1.80% |
56 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Comparison of Change in the Value of a $100,000 Investment in the Long/Short Alternative Fund, Class F and Class Y, versus the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index and the HFRX Equity Hedge Index
1 | For the year ended 9/30/17. Past performance is no indication of future performance. Class F Shares were offered beginning 12/19/14 and Class Y shares were offered beginning 4/30/15. Class Y shares performance for the period prior to 4/30/15 is derived from the performance of Class F shares adjusted for the lower expenses of the Class Y shares. Returns for Class Y shares are substantially similar to those of Class F shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class F shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
‡ | See Note 1 in Notes to Financial Statements. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 57 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Large Cap Fund
†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 94.1% |
| |||||||||||
Consumer Discretionary — 13.2% |
| |||||||||||
Amazon.com, Cl A* | 0.8 | % | 21,914 | $ | 21,067 | |||||||
Dollar General | 1.4 | 434,146 | 35,188 | |||||||||
General Motors | 0.8 | 472,051 | 19,061 | |||||||||
Home Depot | 0.8 | 118,932 | 19,453 | |||||||||
Lowe’s | 1.6 | 511,300 | 40,873 | |||||||||
Nike, Cl B | 0.8 | 376,866 | 19,540 | |||||||||
Omnicom Group | 0.6 | 204,096 | 15,117 | |||||||||
TJX | 1.1 | 389,684 | 28,731 | |||||||||
Other Securities (A) | 5.3 | 133,552 | ||||||||||
|
|
| ||||||||||
332,582 | ||||||||||||
|
|
| ||||||||||
Consumer Staples — 8.3% |
| |||||||||||
Colgate-Palmolive | 0.8 | 266,300 | 19,400 | |||||||||
Constellation Brands, Cl A | 0.7 | 90,979 | 18,146 | |||||||||
CVS Health | 1.4 | 444,177 | 36,120 | |||||||||
JM Smucker | 1.1 | 256,553 | 26,920 | |||||||||
Kroger | 0.6 | 742,980 | 14,904 | |||||||||
PepsiCo | 0.7 | 151,620 | 16,895 | |||||||||
Philip Morris International | 0.9 | 206,045 | 22,873 | |||||||||
Other Securities | 2.1 | 54,043 | ||||||||||
|
|
| ||||||||||
209,301 | ||||||||||||
|
|
| ||||||||||
Energy — 4.6% |
| |||||||||||
Chevron | 0.8 | 169,088 | 19,868 | |||||||||
Occidental Petroleum | 0.7 | 251,909 | 16,175 | |||||||||
Other Securities (A) | 3.1 | 77,986 | ||||||||||
|
|
| ||||||||||
114,029 | ||||||||||||
|
|
| ||||||||||
Financials — 16.2% |
| |||||||||||
Aflac | 0.9 | 283,786 | 23,097 | |||||||||
Bank of America | 0.8 | 746,855 | 18,925 | |||||||||
Citigroup | 0.8 | 277,690 | 20,199 | |||||||||
JPMorgan Chase | 0.8 | 201,687 | 19,263 | |||||||||
Moody’s | 1.4 | 258,578 | 35,997 | |||||||||
MSCI, Cl A | 0.8 | 177,080 | 20,701 | |||||||||
State Street | 1.1 | 295,256 | 28,209 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (continued) |
| |||||||||||
Travelers | 0.6 | % | 120,998 | $ | 14,825 | |||||||
US Bancorp | 0.7 | 332,777 | 17,833 | |||||||||
Wells Fargo | 0.8 | 343,897 | 18,966 | |||||||||
Other Securities (B) | 7.5 | 190,583 | ||||||||||
|
|
| ||||||||||
408,598 | ||||||||||||
|
|
| ||||||||||
Health Care — 16.5% |
| |||||||||||
Abbott Laboratories | 0.7 | 330,021 | 17,610 | |||||||||
Amgen, Cl A | 1.3 | 168,167 | 31,355 | |||||||||
Becton Dickinson | 1.9 | 244,078 | 47,827 | |||||||||
Biogen* | 1.0 | 82,480 | 25,826 | |||||||||
Johnson & Johnson | 2.1 | 405,060 | 52,662 | |||||||||
Merck | 0.8 | 328,657 | 21,044 | |||||||||
Mettler Toledo International* | 1.2 | 47,321 | 29,631 | |||||||||
UnitedHealth Group | 2.8 | 356,899 | 69,899 | |||||||||
Other Securities | 4.7 | 120,275 | ||||||||||
|
|
| ||||||||||
�� | 416,129 | |||||||||||
|
|
| ||||||||||
Industrials — 9.4% |
| |||||||||||
3M | 1.5 | 183,684 | 38,555 | |||||||||
Delta Air Lines, Cl A | 0.6 | 307,382 | 14,822 | |||||||||
Graco | 0.8 | 165,305 | 20,447 | |||||||||
Illinois Tool Works | 1.2 | 204,357 | 30,237 | |||||||||
Middleby* | 0.7 | 132,095 | 16,931 | |||||||||
Other Securities (A) | 4.6 | 115,097 | ||||||||||
|
|
| ||||||||||
236,089 | ||||||||||||
|
|
| ||||||||||
Information Technology — 18.7% |
| |||||||||||
Alphabet, Cl A* | 1.0 | 26,718 | 26,016 | |||||||||
Alphabet, Cl C* | 0.4 | 10,762 | 10,322 | |||||||||
Analog Devices | 0.8 | 226,408 | 19,510 | |||||||||
Apple | 0.6 | 102,380 | 15,779 | |||||||||
Applied Materials | 0.7 | 319,888 | 16,663 | |||||||||
Intel | 0.7 | 477,390 | 18,179 | |||||||||
Mastercard, Cl A | 1.6 | 293,258 | 41,408 | |||||||||
Microsoft | 1.6 | 540,211 | 40,240 | |||||||||
Oracle, Cl B | 0.8 | 420,383 | 20,326 | |||||||||
Visa, Cl A | 0.9 | 220,943 | 23,252 | |||||||||
Other Securities (A) | 9.6 | 239,531 | ||||||||||
|
|
| ||||||||||
471,226 | ||||||||||||
|
|
| ||||||||||
Materials — 4.6% |
| |||||||||||
Sherwin-Williams, Cl A | 1.4 | 97,200 | 34,801 | |||||||||
Other Securities | 3.2 | 81,668 | ||||||||||
|
|
| ||||||||||
116,469 | ||||||||||||
|
|
| ||||||||||
Real Estate — 1.1% | ||||||||||||
Other Securities ‡(A) | 1.1 | 27,880 | ||||||||||
|
|
| ||||||||||
Telecommunication Services — 0.4% |
| |||||||||||
Other Securities | 0.4 | 9,289 | ||||||||||
|
|
|
58 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||
COMMON STOCK (continued) | ||||||||||
Utilities — 1.1% | ||||||||||
Other Securities | 1.1% | $ | 27,167 | |||||||
|
|
| ||||||||
Total Common Stock | 2,368,759 | |||||||||
|
|
| ||||||||
AFFILIATED PARTNERSHIP — 1.1% | ||||||||||
SEI Liquidity Fund, L.P. 1.110% **†(C) | 1.1 | 27,250,897 | 27,259 | |||||||
|
|
| ||||||||
Total Affiliated Partnership | 27,259 | |||||||||
|
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||
CASH EQUIVALENT — 5.9% | ||||||||||
SEI Daily Income Trust, Government Fund, Cl F 0.840% **† | 5.9% | 149,182,956 | $ | 149,183 | ||||||
|
|
| ||||||||
Total Cash Equivalent | 149,183 | |||||||||
|
|
| ||||||||
Total Investments in Securities — 101.1% | $ | 2,545,201 | ||||||||
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2017 is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||
S&P 500 Index E-MINI | 93 | Dec-2017 | $11,444 | $11,700 | $256 | |||||||||||||||
S&P Mid Cap 400 Index E-MINI | 7 | Dec-2017 | 1,211 | 1,257 | 46 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$12,655 | $12,957 | $302 | ||||||||||||||||||
|
|
|
|
|
|
Percentages are based on a Net Assets of $2,518,510 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017, was $26,596 ($ Thousands). |
(B) | Security is a Master Limited Partnership. At September 30, 2017, such securities amounted to $2,531 ($ Thousands), or 0.10% of Net Assets (see Note 2). |
(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 September 30, 2017 was $27,259 ($ Thousands). |
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 September 30, 2017, 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 | $ | 2,368,759 | $ | – | $ | – | $ | 2,368,759 | ||||||||
Affiliated Partnership | – | 27,259 | – | 27,259 | ||||||||||||
Cash Equivalent | 149,183 | – | – | 149,183 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,517,942 | $ | 27,259 | $ | – | $ | 2,545,201 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 302 | $ | — | $ | — | $ | 302 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 302 | $ | — | $ | — | $ | 302 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 either $0 or have been rounded to $0.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 59 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Large Cap Fund (Concluded)
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Liquidity Fund, L.P. | $261,551 | $253,106 | $(487,406) | $(2) | $10 | $27,259 | $407 | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 149,115 | 346,199 | (346,131) | — | — | 149,183 | 724 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
Totals | $410,666 | $599,305 | $(833,537) | $(2) | $10 | $176,442 | $1,131 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
60 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Large Cap Value Fund
†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 94.2% |
| |||||||||||
Consumer Discretionary — 9.0% |
| |||||||||||
Dollar General | 1.4 | % | 239,968 | $ | 19,449 | |||||||
General Motors | 1.1 | 391,373 | 15,804 | |||||||||
Lowe’s | 1.2 | 215,553 | 17,231 | |||||||||
Omnicom Group | 1.1 | 196,869 | 14,582 | |||||||||
Ross Stores | 0.6 | 136,549 | 8,817 | |||||||||
Other Securities(A) | 3.6 | 48,843 | ||||||||||
|
|
| ||||||||||
124,726 | ||||||||||||
|
|
| ||||||||||
Consumer Staples — 9.0% |
| |||||||||||
CVS Health | 2.3 | 387,219 | 31,489 | |||||||||
JM Smucker | 1.7 | 226,190 | 23,734 | |||||||||
Kroger | 1.0 | 720,240 | 14,448 | |||||||||
Philip Morris International | 1.3 | 168,397 | 18,694 | |||||||||
Procter & Gamble | 0.7 | 103,495 | 9,416 | |||||||||
Other Securities | 2.0 | 27,170 | ||||||||||
|
|
| ||||||||||
124,951 | ||||||||||||
|
|
| ||||||||||
Energy — 9.2% |
| |||||||||||
BP ADR | 0.8 | 275,876 | 10,602 | |||||||||
Chevron | 1.5 | 179,230 | 21,060 | |||||||||
ExxonMobil | 0.7 | 118,981 | 9,754 | |||||||||
Occidental Petroleum | 1.1 | 233,673 | 15,004 | |||||||||
Royal Dutch Shell ADR, Cl A | 0.7 | 155,127 | 9,398 | |||||||||
Valero Energy | 0.7 | 133,676 | 10,284 | |||||||||
Other Securities(A) | 3.7 | 50,997 | ||||||||||
|
|
| ||||||||||
127,099 | ||||||||||||
|
|
| ||||||||||
Financials — 22.5% |
| |||||||||||
Aflac | 1.7 | 282,472 | 22,990 | |||||||||
Allstate | 0.7 | 104,248 | 9,581 | |||||||||
Bank of America | 1.7 | 938,088 | 23,771 | |||||||||
Citigroup | 2.0 | 376,201 | 27,365 | |||||||||
Discover Financial Services | 0.7 | 141,677 | 9,135 | |||||||||
JPMorgan Chase | 1.9 | 281,224 | 26,860 | |||||||||
Marsh & McLennan | 1.1 | 178,232 | 14,938 | |||||||||
State Street | 1.8 | 267,765 | 25,582 | |||||||||
SunTrust Banks | 0.8 | 183,395 | 10,962 | |||||||||
Travelers | 0.8 | 87,793 | 10,756 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (continued) |
| |||||||||||
Other Securities‡(B) | 9.3 | % | $ | 129,991 | ||||||||
|
|
| ||||||||||
311,931 | ||||||||||||
|
|
| ||||||||||
Health Care — 15.4% |
| |||||||||||
Abbott Laboratories | 1.5 | 380,086 | 20,281 | |||||||||
Aetna, Cl A | 0.7 | 59,309 | 9,431 | |||||||||
AmerisourceBergen, Cl A | 0.7 | 118,509 | 9,807 | |||||||||
Amgen, Cl A | 2.0 | 150,955 | 28,146 | |||||||||
Anthem | 0.8 | 57,621 | 10,941 | |||||||||
Becton Dickinson | 1.0 | 68,651 | 13,452 | |||||||||
Johnson & Johnson | 1.6 | 165,051 | 21,458 | |||||||||
Merck | 1.6 | 337,604 | 21,617 | |||||||||
Pfizer | 0.8 | 314,605 | 11,231 | |||||||||
UnitedHealth Group | 1.2 | 86,850 | 17,010 | |||||||||
Other Securities | 3.5 | 49,729 | ||||||||||
|
|
| ||||||||||
213,103 | ||||||||||||
|
|
| ||||||||||
Industrials — 9.2% |
| |||||||||||
3M | 0.9 | 60,264 | 12,649 | |||||||||
American Airlines Group | 0.6 | 171,193 | 8,130 | |||||||||
Delta Air Lines, Cl A | 0.9 | 266,828 | 12,866 | |||||||||
Illinois Tool Works | 1.2 | 110,335 | 16,325 | |||||||||
WW Grainger(A) | 1.0 | 79,368 | 14,266 | |||||||||
Other Securities | 4.6 | 62,986 | ||||||||||
|
|
| ||||||||||
127,222 | ||||||||||||
|
|
| ||||||||||
Information Technology — 8.9% |
| |||||||||||
Automatic Data Processing | 0.9 | 116,867 | 12,776 | |||||||||
Cisco Systems | 1.1 | 442,616 | 14,885 | |||||||||
Intel | 1.0 | 364,930 | 13,897 | |||||||||
Microchip Technology(A) | 1.0 | 145,954 | 13,104 | |||||||||
Other Securities(A) | 4.9 | 68,412 | ||||||||||
|
|
| ||||||||||
123,074 | ||||||||||||
|
|
| ||||||||||
Materials — 3.7% |
| |||||||||||
Eastman Chemical | 0.8 | 120,517 | 10,906 | |||||||||
International Paper | 0.6 | 151,191 | 8,591 | |||||||||
LyondellBasell Industries, Cl A | 0.7 | 102,542 | 10,157 | |||||||||
Other Securities(A) | 1.6 | 22,198 | ||||||||||
|
|
| ||||||||||
51,852 | ||||||||||||
|
|
| ||||||||||
Real Estate — 2.1% |
| |||||||||||
Other Securities‡(A) | 2.1 | 29,748 | ||||||||||
|
|
| ||||||||||
Telecommunication Services — 1.8% |
| |||||||||||
AT&T | 1.1 | 382,575 | 14,985 | |||||||||
Other Securities | 0.7 | 10,390 | ||||||||||
|
|
| ||||||||||
25,375 | ||||||||||||
|
|
| ||||||||||
Utilities — 3.4% |
| |||||||||||
Exelon | 0.7 | 273,188 | 10,291 | |||||||||
Other Securities | 2.7 | 36,637 | ||||||||||
|
|
| ||||||||||
46,928 | ||||||||||||
|
|
| ||||||||||
Total Common Stock (Cost $1,020,178) |
| 1,306,009 | ||||||||||
|
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 61 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Large Cap Value Fund (Concluded)
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AFFILIATED PARTNERSHIP — 2.2% |
| |||||||||||
SEI Liquidity Fund, L.P. 1.110% **†(C) | 2.2 | % | 30,530,593 | $ | 30,531 | |||||||
|
|
| ||||||||||
Total Affiliated Partnership |
| 30,531 | ||||||||||
|
|
| ||||||||||
CASH EQUIVALENT — 3.9% |
| |||||||||||
SEI Daily Income Trust, Government Fund, Cl F 0.840% **† 3.9 |
| 54,156,796 | 54,157 | |||||||||
|
|
| ||||||||||
Total Cash Equivalent |
| 54,157 | ||||||||||
|
|
| ||||||||||
Total Investments in Securities — 100.3% |
| $ | 1,390,697 | |||||||||
|
|
|
Percentages are based on a Net Assets of $1,386,098 ($ Thousands).
** | The rate reported is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017, was $29,863 ($ Thousands). |
(B) | Security is a Master Limited Partnership. At September 30, 2017, such securities amounted to $9,286 ($ Thousands), or 0.67% of Net Assets (see Note 2). |
(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 September 30, 2017 was $30,531 ($ Thousands). |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
The following is a list of the level of inputs used as of September 30, 2017, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,306,009 | $ | – | $ | – | $ | 1,306,009 | ||||||||
Affiliated Partnership | – | 30,531 | – | 30,531 | ||||||||||||
Cash Equivalent | 54,157 | – | – | 54,157 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,360,166 | $ | 30,531 | $ | – | $ | 1,390,697 | ||||||||
|
|
|
|
|
|
|
|
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 either $0 or have been rounded to $0.
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Liquidity Fund, L.P. | $49,707 | $228,552 | $(247,727) | $(2) | $1 | $30,531 | $85 | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 47,204 | 323,633 | (316,680) | — | — | 54,157 | 336 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
Totals | $96,911 | $552,185 | $(564,407) | $(2) | $1 | $84,688 | $421 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
62 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Large Cap Growth Fund
†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||
COMMON STOCK†† — 95.3% | ||||||||||
Consumer Discretionary — 15.9% | ||||||||||
Amazon.com, Cl A* | 2.5% | 38,954 | $ | 37,448 | ||||||
Autozone* | 1.1 | 27,455 | 16,339 | |||||||
Domino’s Pizza | 0.8 | 59,012 | 11,717 | |||||||
Home Depot | 0.8 | 71,150 | 11,637 | |||||||
Lowe’s | 1.1 | 213,743 | 17,087 | |||||||
Nike, Cl B | 1.4 | 414,317 | 21,482 | |||||||
Priceline Group* | 0.9 | 7,309 | 13,381 | |||||||
TJX | 1.7 | 335,369 | 24,727 | |||||||
Tractor Supply | 0.9 | 213,880 | 13,536 | |||||||
Ulta Beauty* | 0.8 | 55,295 | 12,500 | |||||||
Other Securities(A) | 3.9 | 57,304 | ||||||||
|
|
| ||||||||
237,158 | ||||||||||
|
|
| ||||||||
Consumer Staples — 4.3% | ||||||||||
Colgate-Palmolive | 1.4 | 287,107 | 20,916 | |||||||
Constellation Brands, Cl A | 1.0 | 76,271 | 15,212 | |||||||
PepsiCo | 1.5 | 197,826 | 22,044 | |||||||
Other Securities | 0.4 | 6,346 | ||||||||
|
|
| ||||||||
64,518 | ||||||||||
|
|
| ||||||||
Energy — 0.6% | ||||||||||
Other Securities | 0.6 | 8,546 | ||||||||
|
|
| ||||||||
Financials — 11.5% | ||||||||||
CME Group | 1.0 | 109,614 | 14,872 | |||||||
Factset Research Systems | 0.8 | 69,903 | 12,590 | |||||||
Moody’s | 2.4 | 262,006 | 36,474 | |||||||
MSCI, Cl A | 1.5 | 186,831 | 21,841 | |||||||
US Bancorp | 1.3 | 353,068 | 18,921 | |||||||
Wells Fargo | 1.3 | 353,024 | 19,469 | |||||||
Other Securities | 3.2 | 46,593 | ||||||||
|
|
| ||||||||
170,760 | ||||||||||
|
|
| ||||||||
Health Care — 17.0% | ||||||||||
Alexion Pharmaceuticals* | 0.9 | 95,843 | 13,446 | |||||||
Becton Dickinson | 2.3 | 177,432 | 34,768 | |||||||
Biogen* | 1.4 | 65,831 | 20,613 | |||||||
Celgene, Cl A* | 1.1 | 114,597 | 16,710 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||
COMMON STOCK (continued) | ||||||||||
Johnson & Johnson | 1.9% | 218,651 | $ | 28,427 | ||||||
Mettler Toledo International* | 1.6 | 39,168 | 24,525 | |||||||
UnitedHealth Group | 3.6 | 274,030 | 53,669 | |||||||
Varian Medical Systems* | 0.9 | 134,467 | 13,455 | |||||||
Other Securities | 3.3 | 48,276 | ||||||||
|
|
| ||||||||
253,889 | ||||||||||
|
|
| ||||||||
Industrials — 8.8% | ||||||||||
3M | 1.3 | 94,899 | 19,919 | |||||||
Graco | 1.4 | 167,141 | 20,674 | |||||||
Middleby* | 1.1 | 127,542 | 16,347 | |||||||
United Technologies | 1.1 | 137,265 | 15,934 | |||||||
Other Securities(A) | 3.9 | 59,053 | ||||||||
|
|
| ||||||||
131,927 | ||||||||||
|
|
| ||||||||
Information Technology — 30.6% | ||||||||||
Adobe Systems* | 1.1 | 110,614 | 16,501 | |||||||
Alphabet, Cl A* | 2.1 | 32,381 | 31,530 | |||||||
Alphabet, Cl C* | 1.3 | 19,810 | 19,000 | |||||||
Analog Devices | 1.3 | 215,758 | 18,592 | |||||||
Apple | 1.5 | 140,050 | 21,585 | |||||||
ASML Holding, Cl G(A) | 0.9 | 78,012 | 13,356 | |||||||
Autodesk, Cl A* | 0.8 | 108,611 | 12,193 | |||||||
Electronic Arts* | 0.8 | 104,886 | 12,383 | |||||||
Facebook, Cl A* | 1.9 | 164,949 | 28,185 | |||||||
Mastercard, Cl A | 2.6 | 272,991 | 38,546 | |||||||
Microsoft | 3.6 | 718,183 | 53,497 | |||||||
Nvidia | 1.2 | 100,643 | 17,992 | |||||||
Oracle, Cl B | 1.2 | 384,205 | 18,576 | |||||||
PayPal Holdings* | 1.2 | 277,765 | 17,785 | |||||||
Tencent Holdings ADR | 1.0 | 333,965 | 14,666 | |||||||
Visa, Cl A | 2.2 | 314,346 | 33,082 | |||||||
Other Securities(A) | 5.9 | 88,383 | ||||||||
|
|
| ||||||||
455,852 | ||||||||||
|
|
| ||||||||
Materials — 4.9% | ||||||||||
Ecolab | 0.9 | 103,054 | 13,254 | |||||||
Praxair | 1.0 | 101,704 | 14,212 | |||||||
Sherwin-Williams, Cl A | 2.2 | 93,658 | 33,533 | |||||||
Other Securities | 0.8 | 12,205 | ||||||||
|
|
| ||||||||
73,204 | ||||||||||
|
|
| ||||||||
Real Estate — 1.6% | ||||||||||
Other Securities‡ | 1.6 | 23,372 | ||||||||
|
|
| ||||||||
Telecommunication Services — 0.1% | ||||||||||
Other Securities | 0.1 | 1,459 | ||||||||
|
|
| ||||||||
Total Common Stock | 1,420,685 | |||||||||
|
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 63 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Large Cap Growth Fund (Concluded)
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AFFILIATED PARTNERSHIP — 1.3% |
| |||||||||||
SEI Liquidity Fund, L.P. 1.110% **†(B) | 1.3 | % | 18,752,337 | $ | 18,752 | |||||||
|
|
| ||||||||||
Total Affiliated Partnership |
| 18,752 | ||||||||||
|
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) |
CASH EQUIVALENT — 3.4% | ||||||||||||
SEI Daily Income Trust, Government Fund, Cl F 0.840% **† | 3.4 | % | 51,512,276 | $ | 51,512 | |||||||
|
|
| ||||||||||
Total Cash Equivalent |
| 51,512 | ||||||||||
|
|
| ||||||||||
Total Investments in Securities — 100.0% |
| $ | 1,490,949 | |||||||||
|
|
|
A list of the open futures contracts held at September 30, 2017 is as follows:
Number of | Unrealized | |||||||||
Type of | Contracts | Expiration | Notional Amount | Value | Appreciation | |||||
Contract | Long | Date | ($ Thousands) | ($ Thousands) | ($ Thousands) | |||||
S&P 500 Index E-MINI | 3 | Dec-2017 | $376 | $377 | $1 | |||||
|
Percentages are based on a Net Assets of $1,490,926 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
†† | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017, was $18,513 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2017 was $18,752 ($ Thousands). |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P— Standard & Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the level of inputs used as of September 30, 2017, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,420,685 | $ | – | $ | – | $ | 1,420,685 | ||||||||
Affiliated Partnership | – | 18,752 | – | 18,752 | ||||||||||||
Cash Equivalent | 51,512 | – | – | 51,512 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities | $ | 1,472,197 | $ | 18,752 | $ | – | $ | 1,490,949 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 1 | $ | — | $ | — | $ | 1 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Other Financial Instruments | $ | 1 | $ | — | $ | — | $ | 1 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* Futures contracts are valued at the unrealized appreciation on the instrument.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 either $0 or have been rounded to $0.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Liquidity Fund, L.P. | $4,044 | $182,934 | $(168,226 | ) | $(1 | ) | $1 | $18,752 | $110 | |||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 62,626 | 332,436 | (343,550 | ) | — | — | 51,512 | 273 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
Totals | $66,670 | $515,370 | $(511,776 | ) | $(1 | ) | $1 | $70,264 | $383 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
64 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Managed Large Cap Fund
†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||
COMMON STOCK — 95.6% | ||||||||||
Consumer Discretionary — 13.8% | ||||||||||
Amazon.com, Cl A* | 1.1% | 43,128 | $ | 41,461 | ||||||
Dollar General | 0.9 | 387,947 | 31,443 | |||||||
Home Depot | 0.5 | 118,848 | 19,439 | |||||||
Lear | 0.5 | 115,549 | 19,999 | |||||||
Lowe’s | 1.4 | 639,720 | 51,139 | |||||||
Nike, Cl B | 0.6 | 389,570 | 20,199 | |||||||
TJX | 0.9 | 431,984 | 31,850 | |||||||
Other Securities (A) | 7.9 | 293,494 | ||||||||
|
|
| ||||||||
509,024 | ||||||||||
|
|
| ||||||||
Consumer Staples — 7.7% | ||||||||||
Colgate-Palmolive | 0.5 | 260,311 | 18,964 | |||||||
CVS Health | 0.9 | 397,990 | 32,365 | |||||||
JM Smucker | 0.5 | 185,331 | 19,447 | |||||||
PepsiCo | 0.5 | 177,686 | 19,800 | |||||||
Philip Morris International | 0.7 | 237,485 | 26,363 | |||||||
Tyson Foods, Cl A | 0.5 | 281,181 | 19,809 | |||||||
Other Securities | 4.1 | 149,784 | ||||||||
|
|
| ||||||||
286,532 | ||||||||||
|
|
| ||||||||
Energy — 4.2% | ||||||||||
Chevron | 0.7 | 213,036 | 25,032 | |||||||
Other Securities (A) | 3.5 | 130,263 | ||||||||
|
|
| ||||||||
155,295 | ||||||||||
|
|
| ||||||||
Financials — 16.4% | ||||||||||
Bank of America | 1.2 | 1,730,747 | 43,857 | |||||||
Citigroup | 0.7 | 379,987 | 27,640 | |||||||
JPMorgan Chase | 1.2 | 478,943 | 45,744 | |||||||
Moody’s | 1.1 | 288,575 | 40,172 | |||||||
MSCI, Cl A | 0.7 | 225,501 | 26,361 | |||||||
State Street | 0.6 | 214,861 | 20,528 | |||||||
Wells Fargo | 0.6 | 427,725 | 23,589 | |||||||
Other Securities (A)(B) | 10.3 | 380,638 | ||||||||
|
|
| ||||||||
608,529 | ||||||||||
|
|
| ||||||||
Health Care — 16.3% | ||||||||||
Amgen, Cl A | 0.7 | 145,948 | 27,212 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||
COMMON STOCK (continued) | ||||||||||
Becton Dickinson | 1.5% | 281,078 | $ | 55,077 | ||||||
Biogen* | 0.9 | 109,633 | 34,328 | |||||||
Celgene, Cl A* | 1.0 | 245,980 | 35,869 | |||||||
Johnson & Johnson | 1.5 | 434,135 | 56,442 | |||||||
Merck | 0.6 | 327,650 | 20,979 | |||||||
Mettler Toledo International* | 0.5 | 31,398 | 19,660 | |||||||
Pfizer | 0.7 | 706,138 | 25,209 | |||||||
UnitedHealth Group | 2.2 | 421,525 | 82,556 | |||||||
Other Securities | 6.7 | 246,031 | ||||||||
|
|
| ||||||||
603,363 | ||||||||||
|
|
| ||||||||
Industrials — 9.1% | ||||||||||
3M | 1.2 | 213,078 | 44,725 | |||||||
Graco | 0.7 | 211,588 | 26,171 | |||||||
Illinois Tool Works | 1.0 | 260,216 | 38,502 | |||||||
Raytheon | 0.5 | 106,117 | 19,799 | |||||||
Other Securities (A) | 5.7 | 206,828 | ||||||||
|
|
| ||||||||
336,025 | ||||||||||
|
|
| ||||||||
Information Technology — 19.8% | ||||||||||
Adobe Systems* | 0.6 | 137,412 | 20,499 | |||||||
Alphabet, Cl A* | 0.7 | 27,622 | 26,896 | |||||||
Alphabet, Cl C* | 0.7 | 26,751 | 25,657 | |||||||
Apple | 1.2 | 284,529 | 43,852 | |||||||
Applied Materials | 0.7 | 507,844 | 26,454 | |||||||
Facebook, Cl A* | 1.0 | 209,203 | 35,747 | |||||||
Intel | 0.6 | 570,596 | 21,728 | |||||||
Intuit | 0.6 | 156,005 | 22,175 | |||||||
Mastercard, Cl A | 1.4 | 372,740 | 52,631 | |||||||
Microsoft | 1.4 | 704,989 | 52,515 | |||||||
Texas Instruments | 0.5 | 211,061 | 18,920 | |||||||
Visa, Cl A | 1.2 | 417,202 | 43,906 | |||||||
Other Securities (A) | 9.2 | 342,471 | ||||||||
|
|
| ||||||||
733,451 | ||||||||||
|
|
| ||||||||
Materials — 4.3% | ||||||||||
International Paper | 0.6 | 367,473 | 20,880 | |||||||
Sherwin-Williams, Cl A | 0.8 | 78,752 | 28,196 | |||||||
Other Securities | 2.9 | 111,747 | ||||||||
|
|
| ||||||||
160,823 | ||||||||||
|
|
| ||||||||
Real Estate — 1.7% | ||||||||||
Crown Castle International‡ | 0.5 | 198,875 | 19,884 | |||||||
Equinix‡ | 0.5 | 41,936 | 18,716 | |||||||
Other Securities‡ | 0.7 | 25,538 | ||||||||
|
|
| ||||||||
64,138 | ||||||||||
|
|
| ||||||||
Telecommunication Services — 0.7% |
| |||||||||
Other Securities | 0.7 | 26,620 | ||||||||
|
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 65 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Managed Large Cap Fund (Concluded)
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (continued) |
| |||||||||||
Utilities — 1.6% |
| |||||||||||
Other Securities | 1.6 | % | $ | 57,852 | ||||||||
|
| |||||||||||
Total Common Stock |
| 3,541,652 | ||||||||||
|
| |||||||||||
RIGHTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | 115 | ||||||||||
|
| |||||||||||
Total Rights |
| 115 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
AFFILIATED PARTNERSHIP — 1.0% |
| |||||||||||
SEI Liquidity Fund, L.P. | 1.0 | 36,830,858 | 36,832 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 36,832 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
CASH EQUIVALENT — 4.4% |
| |||||||||||
SEI Daily Income Trust, Government Fund, Cl F 0.840% **† | 4.4 | 162,414,973 | 162,415 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 162,415 | ||||||||||
|
| |||||||||||
Total Investments in Securities —101.0% |
| $ | 3,741,014 | |||||||||
|
|
Percentages are based on a Net Assets of $3,703,372 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017, was $36,073 ($ Thousands). |
(B) | Security is a Master Limited Partnership. At September 30, 2017, such securities amounted to $6,910 ($ Thousands), or 0.19% of Net Assets (see Note 2). |
(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 September 30, 2017 was $36,832 ($ 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 level of inputs used as of September 30, 2017, 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 | $ | 3,541,652 | $ | – | $ | – | $ | 3,541,652 | ||||||||
Rights | – | 115 | – | 115 | ||||||||||||
Affiliated Partnership | – | 36,832 | – | 36,832 | ||||||||||||
Cash Equivalent | 162,415 | – | – | 162,415 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 3,704,067 | $ | 36,947 | $ | – | $ | 3,741,014 | ||||||||
|
|
|
|
|
|
|
|
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 either $0 or have been rounded to $0.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Liquidity Fund, L.P. | $111,917 | $340,014 | $(415,097) | $(5) | $3 | $36,832 | $158 | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 222,382 | 526,968 | (586,935) | — | — | 162,415 | 1,039 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
Totals | $334,299 | $866,982 | $(1,002,032) | $(5) | $3 | $199,247 | $1,197 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
66 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
S&P 500 Index Fund
†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).
|
| |||||||||||
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.9% |
| |||||||||||
Consumer Discretionary — 11.6% |
| |||||||||||
Amazon.com, Cl A* | 1.7 | % | 14,249 | $ | 13,698 | |||||||
Comcast, Cl A | 0.8 | 168,596 | 6,488 | |||||||||
Home Depot | 0.9 | 42,245 | 6,910 | |||||||||
McDonald’s | 0.6 | 29,117 | 4,562 | |||||||||
Walt Disney | 0.7 | 55,453 | 5,466 | |||||||||
Other Securities (A) | 6.9 | 54,578 | ||||||||||
|
|
| ||||||||||
91,702 | ||||||||||||
|
|
| ||||||||||
Consumer Staples — 8.1% |
| |||||||||||
Altria Group | 0.5 | 68,973 | 4,374 | |||||||||
Coca-Cola | 0.8 | 137,549 | 6,191 | |||||||||
PepsiCo | 0.7 | 51,315 | 5,718 | |||||||||
Philip Morris International | 0.8 | 55,687 | 6,182 | |||||||||
Procter & Gamble | 1.0 | 91,408 | 8,316 | |||||||||
Wal-Mart Stores | 0.5 | 52,561 | 4,107 | |||||||||
Other Securities | 3.8 | 28,865 | ||||||||||
|
|
| ||||||||||
63,753 | ||||||||||||
|
|
| ||||||||||
Energy — 6.0% |
| |||||||||||
Chevron | 1.0 | 67,923 | 7,981 | |||||||||
ExxonMobil | 1.6 | 151,846 | 12,448 | |||||||||
Schlumberger, Cl A | 0.4 | 49,900 | 3,481 | |||||||||
Other Securities (A) | 3.0 | 23,251 | ||||||||||
|
|
| ||||||||||
47,161 | ||||||||||||
|
|
| ||||||||||
Financials — 14.3% |
| |||||||||||
Bank of America | 1.1 | 351,645 | 8,911 | |||||||||
Berkshire Hathaway, Cl B* | 1.6 | 68,917 | 12,634 | |||||||||
Citigroup | 0.9 | 97,851 | 7,118 | |||||||||
JPMorgan Chase | 1.5 | 126,100 | 12,044 | |||||||||
Wells Fargo | 1.1 | 160,115 | 8,830 | |||||||||
Other Securities | 8.1 | 63,530 | ||||||||||
|
|
| ||||||||||
113,067 | ||||||||||||
|
|
| ||||||||||
Health Care — 14.0% |
| |||||||||||
AbbVie | 0.6 | 57,168 | 5,080 | |||||||||
Amgen, Cl A | 0.6 | 26,229 | 4,890 | |||||||||
Bristol-Myers Squibb | 0.5 | 58,792 | 3,747 | |||||||||
Celgene, Cl A* | 0.5 | 28,105 | 4,098 | |||||||||
Gilead Sciences | 0.5 | 46,966 | 3,805 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (continued) |
| |||||||||||
Johnson & Johnson | 1.6 | % | 96,154 | $ | 12,501 | |||||||
Medtronic | 0.5 | 48,672 | 3,785 | |||||||||
Merck | 0.8 | 97,974 | 6,273 | |||||||||
Pfizer | 1.0 | 213,856 | 7,635 | |||||||||
UnitedHealth Group | 0.9 | 34,628 | 6,782 | |||||||||
Other Securities | 6.5 | 51,584 | ||||||||||
|
|
| ||||||||||
110,180 | ||||||||||||
|
|
| ||||||||||
Industrials — 10.3% |
| |||||||||||
3M | 0.6 | 21,401 | 4,492 | |||||||||
Boeing | 0.6 | 19,941 | 5,069 | |||||||||
General Electric | 0.9 | 310,309 | 7,503 | |||||||||
Honeywell International | 0.5 | 27,351 | 3,877 | |||||||||
Union Pacific | 0.4 | 28,793 | 3,339 | |||||||||
Other Securities (A) | 7.3 | 56,862 | ||||||||||
|
|
| ||||||||||
81,142 | ||||||||||||
|
|
| ||||||||||
Information Technology — 22.7% |
| |||||||||||
Alphabet, Cl A* | 1.3 | 10,646 | 10,366 | |||||||||
Alphabet, Cl C* | 1.3 | 10,770 | 10,330 | |||||||||
Apple | 3.6 | 185,182 | 28,540 | |||||||||
Broadcom | 0.4 | 14,446 | 3,504 | |||||||||
Cisco Systems | 0.8 | 179,161 | 6,025 | |||||||||
Facebook, Cl A* | 1.8 | 85,009 | 14,525 | |||||||||
Intel | 0.8 | 168,363 | 6,411 | |||||||||
International Business | ||||||||||||
Machines | 0.6 | 30,733 | 4,459 | |||||||||
Mastercard, Cl A | 0.6 | 33,517 | 4,733 | |||||||||
Microsoft | 2.6 | 276,089 | 20,566 | |||||||||
Nvidia | 0.5 | 21,365 | 3,819 | |||||||||
Oracle, Cl B | 0.7 | 108,023 | 5,223 | |||||||||
Visa, Cl A | 0.9 | 65,518 | 6,895 | |||||||||
Other Securities (A) | 6.8 | 54,125 | ||||||||||
|
|
| ||||||||||
179,521 | ||||||||||||
|
|
| ||||||||||
Materials — 2.9% |
| |||||||||||
DowDuPont | 0.7 | 83,821 | 5,803 | |||||||||
Other Securities | 2.2 | 17,300 | ||||||||||
|
|
| ||||||||||
23,103 | ||||||||||||
|
|
| ||||||||||
Real Estate — 2.9% |
| |||||||||||
Other Securities ‡ | 2.9 | 23,033 | ||||||||||
|
|
| ||||||||||
Telecommunication Services — 2.1% |
| |||||||||||
AT&T | 1.1 | 220,059 | 8,620 | |||||||||
Verizon Communications | 0.9 | 146,196 | 7,235 | |||||||||
Other Securities (A) | 0.1 | 943 | ||||||||||
|
|
| ||||||||||
16,798 | ||||||||||||
|
|
| ||||||||||
Utilities — 3.0% |
| |||||||||||
Other Securities | 3.0 | 24,060 | ||||||||||
|
|
| ||||||||||
Total Common Stock |
| |||||||||||
(Cost $347,838) ($ Thousands) | 773,520 | |||||||||||
|
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 67 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
S&P 500 Index Fund (Concluded)
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
U.S. TREASURY OBLIGATIONS — 0.1% |
| |||||||||||
Other Securities (C) | 0.1 | % | $ | 805 | ||||||||
|
|
| ||||||||||
Total U.S. Treasury Obligations | 805 | |||||||||||
|
|
| ||||||||||
AFFILIATED PARTNERSHIP — 0.5% |
| |||||||||||
SEI Liquidity Fund, L.P. | 0.5 | 3,765,592 | 3,765 | |||||||||
|
|
| ||||||||||
Total Affiliated Partnership | 3,765 | |||||||||||
|
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
CASH EQUIVALENT — 1.9% | ||||||||||||
SEI Daily Income Trust, Government Fund, Cl F 0.840% **† | 1.9 | % | 14,705,096 | $ | 14,705 | |||||||
|
|
| ||||||||||
Total Cash Equivalent | 14,705 | |||||||||||
|
|
| ||||||||||
Total Investments in Securities — 100.4% |
| $ | 792,795 | |||||||||
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2017 is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||
S&P 500 Index E-MINI | 130 | Dec-2017 | $16,048 | $16,355 | $307 | |||||||||||||||
|
|
Percentages are based on a Net Assets of $789,983 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017, was $3,681 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2017 was $3,765 ($ 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 September 30, 2017, 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 | $ | 773,520 | $ | – | $ | – | $ | 773,520 | ||||||||
U.S. Treasury Obligations | – | 805 | – | 805 | ||||||||||||
Affiliated Partnership | – | 3,765 | – | 3,765 | ||||||||||||
Cash Equivalent | 14,705 | – | – | 14,705 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 788,225 | $ | 4,570 | $ | – | $ | 792,795 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| ||||||||||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| ||||||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 307 | $ | – | $ | – | $ | 307 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 307 | $ | – | $ | – | $ | 307 | ||||||||
|
|
|
|
|
|
|
|
* Futures contracts are valued at the unrealized appreciation on the instrument.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 either $0 or have been rounded to $0.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Liquidity Fund, L.P. | $3,172 | $26,881 | $(26,288) | $— | $— | $3,765 | $14 | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 15,141 | 191,132 | (191,568) | — | — | 14,705 | 81 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
Totals | $18,313 | $218,013 | $(217,856) | $— | $— | $18,470 | $95 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
68 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Small Cap Fund
†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).
|
| |||||||||||
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 92.8% |
| |||||||||||
Consumer Discretionary — 13.1% |
| |||||||||||
Cheesecake Factory | 0.4 | % | 63,080 | $ | 2,657 | |||||||
Jack in the Box | 0.4 | 27,978 | 2,852 | |||||||||
LCI Industries | 0.6 | 32,196 | 3,730 | |||||||||
LKQ* | 0.6 | 99,001 | 3,563 | |||||||||
Vail Resorts | 0.6 | 15,431 | 3,520 | |||||||||
William Lyon Homes, Cl A*(A) | 0.4 | 110,745 | 2,546 | |||||||||
Other Securities (A) | 10.1 | 63,368 | ||||||||||
|
|
| ||||||||||
82,236 | ||||||||||||
|
|
| ||||||||||
Consumer Staples — 2.0% |
| |||||||||||
Other Securities (A) | 2.0 | 12,697 | ||||||||||
|
|
| ||||||||||
Energy — 2.8% | ||||||||||||
Gulfport Energy* | 0.5 | 198,341 | 2,844 | |||||||||
Other Securities (A) | 2.3 | 14,790 | ||||||||||
|
|
| ||||||||||
17,634 | ||||||||||||
|
|
| ||||||||||
Financials — 14.0% |
| |||||||||||
American Equity Investment Life Holding | 0.6 | 125,128 | 3,639 | |||||||||
Bank of the Ozarks | 0.6 | 73,184 | 3,516 | |||||||||
CNO Financial Group | 0.4 | 113,252 | 2,643 | |||||||||
First Commonwealth Financial | 0.4 | 195,069 | 2,756 | |||||||||
FNB (Pennsylvania) | 0.5 | 231,314 | 3,245 | |||||||||
Wintrust Financial | 0.7 | 53,430 | 4,184 | |||||||||
Other Securities ‡(A) | 10.8 | 67,641 | ||||||||||
|
|
| ||||||||||
87,624 | ||||||||||||
|
|
| ||||||||||
Health Care — 15.0% |
| |||||||||||
Acadia Healthcare, Cl A*(A) | 0.7 | 90,254 | 4,310 | |||||||||
AMN Healthcare Services* | 0.7 | 99,284 | 4,537 | |||||||||
Emergent BioSolutions* | 0.4 | 66,147 | 2,676 | |||||||||
Ligand Pharmaceuticals*(A) | 1.2 | 54,936 | 7,480 | |||||||||
Nektar Therapeutics, Cl A* | 0.6 | 158,808 | 3,811 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($Thousands) | |||||||||
COMMON STOCK (continued) |
| |||||||||||
NeoGenomics* | 0.4 | % | 244,825 | $ | 2,725 | |||||||
Prestige Brands Holdings, Cl A* | 0.7 | 86,511 | 4,333 | |||||||||
Supernus Pharmaceuticals* | 0.9 | 135,567 | 5,423 | |||||||||
Teleflex | 0.7 | 17,424 | 4,216 | |||||||||
Other Securities (A) | 8.7 | 54,241 | ||||||||||
|
|
| ||||||||||
93,752 | ||||||||||||
|
|
| ||||||||||
Industrials — 15.7% |
| |||||||||||
Apogee Enterprises(A) | 0.5 | 59,930 | 2,892 | |||||||||
BWX Technologies, Cl W | 0.5 | 51,997 | 2,913 | |||||||||
Curtiss-Wright | 0.4 | 26,938 | 2,816 | |||||||||
Deluxe(A) | 0.7 | 58,269 | 4,251 | |||||||||
MasTec* | 0.5 | 75,263 | 3,492 | |||||||||
On Assignment* | 0.6 | 68,303 | 3,667 | |||||||||
Tetra Tech | 0.5 | 67,866 | 3,159 | |||||||||
WageWorks* | 0.6 | 62,902 | 3,818 | |||||||||
XPO Logistics* | 0.9 | 80,947 | 5,487 | |||||||||
Other Securities (A) | 10.5 | 66,084 | ||||||||||
|
|
| ||||||||||
98,579 | ||||||||||||
|
|
| ||||||||||
Information Technology — 20.6% |
| |||||||||||
Acxiom* | 0.5 | 121,038 | 2,982 | |||||||||
Blackhawk Network Holdings, Cl A* | 0.9 | 133,923 | 5,866 | |||||||||
CalAmp* | 0.7 | 198,008 | 4,604 | |||||||||
Callidus Software* | 0.5 | 119,013 | 2,934 | |||||||||
Cornerstone OnDemand* | 0.4 | 67,965 | 2,760 | |||||||||
Criteo ADR*(A) | 0.6 | 85,711 | 3,557 | |||||||||
Electronics For Imaging* | 0.4 | 60,584 | 2,586 | |||||||||
Finisar* | 0.5 | 134,364 | 2,979 | |||||||||
FireEye*(A) | 0.6 | 212,285 | 3,560 | |||||||||
Integrated Device Technology* | 0.6 | 131,459 | 3,494 | |||||||||
j2 Global | 0.5 | 39,377 | 2,909 | |||||||||
MAXIMUS | 1.0 | 98,463 | 6,351 | |||||||||
ON Semiconductor* | 0.8 | 261,871 | 4,837 | |||||||||
Stamps.com* | 0.9 | 28,622 | 5,800 | |||||||||
STMicroelectronics, Cl Y | 0.5 | 164,357 | 3,192 | |||||||||
Other Securities (A) | 11.2 | 70,887 | ||||||||||
|
|
| ||||||||||
129,298 | ||||||||||||
|
|
| ||||||||||
Materials — 3.2% |
| |||||||||||
US Concrete*(A) | 0.4 | 34,169 | 2,607 | |||||||||
Other Securities (A) | 2.8 | 17,520 | ||||||||||
|
|
| ||||||||||
20,127 | ||||||||||||
|
|
| ||||||||||
Real Estate — 3.7% |
| |||||||||||
Equity Commonwealth*‡ | 0.4 | 91,782 | 2,790 | |||||||||
Park Hotels & Resorts‡ | 0.4 | 92,933 | 2,561 | |||||||||
Other Securities ‡(A) | 2.9 | 18,073 | ||||||||||
|
|
| ||||||||||
23,424 | ||||||||||||
|
|
| ||||||||||
Telecommunication Services — 0.2% |
| |||||||||||
Other Securities (A) | 0.2 | 1,330 | ||||||||||
|
|
| ||||||||||
Utilities — 2.5% |
| |||||||||||
ALLETE | 0.5 | 38,381 | 2,966 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 69 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Small Cap Fund (Concluded)
| ||||||||||||
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
| ||||||||||||
COMMON STOCK (continued) |
| |||||||||||
Other Securities | 2.0 | % | $ | 12,851 | ||||||||
|
|
| ||||||||||
15,817 | ||||||||||||
|
|
| ||||||||||
Total Common Stock |
| 582,518 | ||||||||||
|
|
| ||||||||||
RIGHTS — 0.0% | ||||||||||||
Other Securities | 0.0 | — | ||||||||||
|
|
| ||||||||||
Total Rights | — | |||||||||||
|
|
|
| ||||||||||||
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
| ||||||||||||
AFFILIATED PARTNERSHIP — 9.7% |
| |||||||||||
SEI Liquidity Fund, L.P. 1.110% **†(B) | 9.7 | % | 60,703,060 | $ | 60,702 | |||||||
|
|
| ||||||||||
Total Affiliated Partnership |
| 60,702 | ||||||||||
|
|
| ||||||||||
CASH EQUIVALENT — 7.2% |
| |||||||||||
SEI Daily Income Trust, Government Fund, Cl F 0.840% **† | 7.2 | 45,088,888 | 45,089 | |||||||||
|
|
| ||||||||||
Total Cash Equivalent |
| 45,089 | ||||||||||
|
|
| ||||||||||
Total Investments in Securities — 109.7% |
| $ | 688,309 | |||||||||
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2017 is as follows:
| ||||||||||||||||||||
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||
| ||||||||||||||||||||
Russell 2000 Index E-MINI | 266 | Dec-2017 | $18,878 | $19,856 | $978 | |||||||||||||||
|
|
Percentages are based on a Net Assets of $627,490 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017, was $59,669 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2017 was $60,702 ($ 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 level of inputs used as of September 30, 2017, 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 | $ | 582,518 | $ | – | $ | – | $ | 582,518 | ||||||||
Rights | – | – | – | – | ||||||||||||
Affiliated Partnership | – | 60,702 | – | 60,702 | ||||||||||||
Cash Equivalent | 45,089 | – | – | 45,089 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities | $ | 627,607 | $ | 60,702 | $ | – | $ | 688,309 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
| ||||||||||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| ||||||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 978 | $ | — | $ | — | $ | 978 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Other Financial Instruments | $ | 978 | $ | — | $ | — | $ | 978 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 either $0 or have been rounded to $0.
70 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Liquidity Fund, L.P. | $52,352 | $191,557 | $(183,206) | $(1) | $— | $60,702 | $698 | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 35,775 | 196,946 | (187,632) | — | — | 45,089 | 199 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
Totals | $88,127 | $388,503 | $(370,838) | $(1) | $— | $105,791 | $897 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 71 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Small Cap Value Fund
†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||
COMMON STOCK ††— 94.7% | ||||||||||
Consumer Discretionary — 10.0% |
| |||||||||
Big Lots(A) | 0.6% | 40,025 | $ | 2,144 | ||||||
Dana | 0.5 | 68,012 | 1,902 | |||||||
Lithia Motors, Cl A | 0.7 | 21,621 | 2,601 | |||||||
Nexstar Media Group, Cl A | 0.6 | 34,887 | 2,174 | |||||||
Six Flags Entertainment | 0.6 | 37,170 | 2,265 | |||||||
Other Securities (A) | 7.0 | 27,876 | ||||||||
|
|
| ||||||||
38,962 | ||||||||||
|
|
| ||||||||
Consumer Staples — 3.7% | ||||||||||
Sanderson Farms(A) | 0.7 | 17,233 | 2,783 | |||||||
Other Securities | 3.0 | 11,389 | ||||||||
|
|
| ||||||||
14,172 | ||||||||||
|
|
| ||||||||
Energy — 4.8% | ||||||||||
Callon Petroleum* | 0.6 | 188,970 | 2,124 | |||||||
Gulfport Energy* | 0.5 | 136,226 | 1,953 | |||||||
Parsley Energy, Cl A* | 0.5 | 77,491 | 2,041 | |||||||
PBF Energy, Cl A(A) | 0.6 | 89,631 | 2,475 | |||||||
Other Securities (A) | 2.6 | 10,208 | ||||||||
|
|
| ||||||||
18,801 | ||||||||||
|
|
| ||||||||
Financials — 26.8% | ||||||||||
American Equity Investment Life Holding | 0.9 | 120,011 | 3,490 | |||||||
BGC Partners, Cl A | 0.7 | 193,233 | 2,796 | |||||||
Central Pacific Financial | 0.5 | 58,078 | 1,869 | |||||||
CNO Financial Group | 0.8 | 137,691 | 3,214 | |||||||
Columbia Banking System | 0.8 | 70,409 | 2,965 | |||||||
First Commonwealth Financial | 0.8 | 207,955 | 2,938 | |||||||
FNB (Pennsylvania) | 0.7 | 184,733 | 2,592 | |||||||
Fulton Financial | 0.6 | 120,960 | 2,268 | |||||||
Hanover Insurance Group, Cl A | 0.6 | 22,241 | 2,156 | |||||||
IBERIABANK | 0.7 | 31,303 | 2,572 | |||||||
MB Financial | 0.8 | 69,136 | 3,113 | |||||||
MGIC Investment* | 0.5 | 166,948 | 2,092 | |||||||
OFG Bancorp | 0.5 | 224,695 | 2,056 | |||||||
Old National Bancorp, Cl A | 0.6 | 123,994 | 2,269 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||
COMMON STOCK (continued) | ||||||||||
PacWest Bancorp | 1.0% | 75,057 | $ | 3,791 | ||||||
South State | 0.6 | 24,795 | 2,233 | |||||||
Starwood Property Trust‡ | 0.7 | 133,544 | 2,901 | |||||||
Other Securities ‡(A) | 15.0 | 58,725 | ||||||||
|
|
| ||||||||
104,040 | ||||||||||
|
|
| ||||||||
Health Care — 4.8% | ||||||||||
Lannett*(A) | 0.6 | 128,997 | 2,380 | |||||||
Ligand Pharmaceuticals*(A) | 0.9 | 26,481 | 3,605 | |||||||
Other Securities (A) | 3.3 | 12,674 | ||||||||
|
|
| ||||||||
18,659 | ||||||||||
|
|
| ||||||||
Industrials — 15.4% | ||||||||||
Atlas Air Worldwide Holdings* | 0.5 | 29,603 | 1,948 | |||||||
BWX Technologies, Cl W | 0.6 | 39,855 | 2,233 | |||||||
Genesee & Wyoming, Cl A* | 0.8 | 43,712 | 3,235 | |||||||
ITT | 0.6 | 49,796 | 2,204 | |||||||
KAR Auction Services | 0.7 | 60,201 | 2,874 | |||||||
Meritor* | 0.5 | 77,991 | 2,029 | |||||||
Teledyne Technologies* | 0.8 | 18,161 | 2,891 | |||||||
Other Securities (A) | 10.9 | 42,525 | ||||||||
|
|
| ||||||||
59,939 | ||||||||||
|
|
| ||||||||
Information Technology — 11.6% |
| |||||||||
ACI Worldwide* | 0.5 | 83,964 | 1,913 | |||||||
IAC* | 0.9 | 30,606 | 3,599 | |||||||
Sanmina* | 0.7 | 74,103 | 2,753 | |||||||
Tech Data* | 0.5 | 23,227 | 2,064 | |||||||
Other Securities (A) | 9.0 | 34,943 | ||||||||
|
|
| ||||||||
45,272 | ||||||||||
|
|
| ||||||||
Materials — 6.2% | ||||||||||
FMC | 0.7 | 32,353 | 2,889 | |||||||
Silgan Holdings | 0.8 | 99,914 | 2,940 | |||||||
Valvoline | 0.7 | 110,805 | 2,598 | |||||||
Other Securities (A) | 4.0 | 15,748 | ||||||||
|
|
| ||||||||
24,175 | ||||||||||
|
|
| ||||||||
Real Estate — 7.6% | ||||||||||
Gaming and Leisure Properties‡ | 0.6 | 60,524 | 2,233 | |||||||
Getty Realty‡ | 0.5 | 65,648 | 1,878 | |||||||
Howard Hughes* | 0.6 | 20,585 | 2,428 | |||||||
Medical Properties Trust‡(A) | 0.6 | 174,357 | 2,289 | |||||||
Other Securities ‡(A) | 5.3 | 20,733 | ||||||||
|
|
| ||||||||
29,561 | ||||||||||
|
|
| ||||||||
Telecommunication Services — 0.2% |
| |||||||||
Other Securities (A) | 0.2 | 821 | ||||||||
|
|
| ||||||||
Utilities — 3.6% | ||||||||||
ALLETE | 0.5 | 25,691 | 1,986 | |||||||
PNM Resources | 0.5 | 51,658 | 2,082 | |||||||
Portland General Electric | 0.6 | 47,923 | 2,187 |
72 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||
COMMON STOCK (continued) | ||||||||||
Other Securities | 2.0% | $ | 7,788 | |||||||
|
|
| ||||||||
14,043 | ||||||||||
|
|
| ||||||||
Total Common Stock |
| 368,445 | ||||||||
|
|
| ||||||||
AFFILIATED PARTNERSHIP — 8.5% | ||||||||||
SEI Liquidity Fund, L.P. | 8.5 | 33,168,176 | 33,169 | |||||||
|
|
| ||||||||
Total Affiliated Partnership |
| 33,169 | ||||||||
|
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||
CASH EQUIVALENT — 3.1% | ||||||||||
SEI Daily Income Trust, Government Fund, Cl F 0.840% **† | 3.1% | 11,855,222 | $ | 11,855 | ||||||
|
|
| ||||||||
Total Cash Equivalent |
| 11,855 | ||||||||
|
|
| ||||||||
Total Investments in Securities — 106.3% |
| $ | 413,469 | |||||||
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2017 is as follows:
| ||||||||||||||||||||
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation) ($ Thousands) | |||||||||||||||
| ||||||||||||||||||||
Russell 2000 Index E-MINI | 50 | Dec-2017 | $3,724 | $3,732 | $8 | |||||||||||||||
|
|
Percentages are based on a Net Assets of $389,005 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
†† | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017, was $32,558 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2017 was $33,169 ($ 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 level of inputs used as of September 30, 2017, 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 | $ | 368,445 | $ | – | $ | – | $ | 368,445 | ||||||||
Affiliated Partnership | – | 33,169 | – | 33,169 | ||||||||||||
Cash Equivalent | 11,855 | – | – | 11,855 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities | $ | 380,300 | $ | 33,169 | $ | – | $ | 413,469 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 8 | $ | — | $ | — | $ | 8 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Other Financial Instruments | $ | 8 | $ | — | $ | — | $ | 8 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 either $0 or have been rounded to $0.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Liquidity Fund, L.P. | $104,013 | $162,697 | $(233,540 | ) | $(2 | ) | $1 | $33,169 | $511 | |||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 17,700 | 114,773 | (120,618 | ) | — | — | 11,855 | 97 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
Totals | $121,713 | $277,470 | $(354,158 | ) | $(2 | ) | $1 | $45,024 | $608 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 73 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Small Cap Growth Fund
†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK†† — 95.1% |
| |||||||||||
Consumer Discretionary — 11.5% |
| |||||||||||
Bright Horizons Family Solutions* | 0.8 | % | 33,451 | $ | 2,884 | |||||||
Grand Canyon Education* | 0.7 | 27,520 | 2,499 | |||||||||
Ollie’s Bargain Outlet Holdings* | 0.9 | 64,996 | 3,016 | |||||||||
Planet Fitness, Cl A | 1.1 | 134,274 | 3,623 | |||||||||
Sally Beauty Holdings* | 0.6 | 102,708 | 2,011 | |||||||||
Other Securities (A) | 7.4 | 25,469 | ||||||||||
|
|
| ||||||||||
39,502 | ||||||||||||
|
|
| ||||||||||
Consumer Staples — 1.3% |
| |||||||||||
Other Securities (A) | 1.3 | 4,488 | ||||||||||
|
|
| ||||||||||
Energy — 0.9% |
| |||||||||||
Other Securities | 0.9 | 3,153 | ||||||||||
�� |
|
|
| |||||||||
Financials — 4.6% |
| |||||||||||
Eagle Bancorp* | 0.7 | 36,867 | 2,472 | |||||||||
Wintrust Financial | 0.8 | 36,144 | 2,830 | |||||||||
Other Securities (A)(B)(C)(D)(E) | 3.1 | 10,582 | ||||||||||
|
|
| ||||||||||
15,884 | ||||||||||||
|
|
| ||||||||||
Health Care — 23.4% |
| |||||||||||
Acadia Healthcare, Cl A*(A) | 0.6 | 45,812 | 2,188 | |||||||||
AMN Healthcare Services* | 0.9 | 66,240 | 3,027 | |||||||||
Exact Sciences* | 0.7 | 54,254 | 2,556 | |||||||||
Immunomedics*(A) | 0.6 | 153,846 | 2,151 | |||||||||
Medidata Solutions* | 0.8 | 36,231 | 2,828 | |||||||||
Nevro* | 0.6 | 22,100 | 2,008 | |||||||||
Omnicell* | 0.6 | 38,959 | 1,989 | |||||||||
PRA Health Sciences* | 0.9 | 39,282 | 2,992 | |||||||||
Prestige Brands Holdings, Cl A* | 0.9 | 59,148 | 2,963 | |||||||||
Supernus Pharmaceuticals* | 0.8 | 64,200 | 2,568 | |||||||||
Vocera Communications* | 0.7 | 75,566 | 2,371 | |||||||||
Other Securities (A) | 15.3 | 52,677 | ||||||||||
|
|
| ||||||||||
80,318 | ||||||||||||
|
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (continued) |
| |||||||||||
Industrials — 20.8% |
| |||||||||||
Air Transport Services Group* | 0.7 | % | 97,075 | $ | 2,363 | |||||||
Apogee Enterprises | 0.6 | 39,805 | 1,921 | |||||||||
Deluxe | 1.0 | 47,514 | 3,467 | |||||||||
Healthcare Services Group | 0.8 | 51,806 | 2,796 | |||||||||
Heartland Express | 0.6 | 84,262 | 2,113 | |||||||||
Heritage-Crystal Clean* | 0.6 | 91,560 | 1,991 | |||||||||
John Bean Technologies, Cl A | 1.3 | 44,960 | 4,545 | |||||||||
Kennametal | 0.6 | 49,212 | 1,985 | |||||||||
MasTec* | 0.6 | 43,610 | 2,023 | |||||||||
Mercury Systems* | 1.1 | 69,272 | 3,594 | |||||||||
On Assignment* | 0.6 | 38,770 | 2,081 | |||||||||
SP Plus* | 0.7 | 57,255 | 2,262 | |||||||||
TriNet Group* | 0.7 | 73,375 | 2,467 | |||||||||
WageWorks* | 0.7 | 38,501 | 2,337 | |||||||||
XPO Logistics* | 0.8 | 41,710 | 2,827 | |||||||||
Other Securities (A) | 9.4 | 32,469 | ||||||||||
|
|
| ||||||||||
71,241 | ||||||||||||
|
|
| ||||||||||
Information Technology — 28.8% |
| |||||||||||
2U* | 0.6 | 36,798 | 2,062 | |||||||||
Blackhawk Network Holdings, Cl A* | 0.9 | 67,636 | 2,962 | |||||||||
CalAmp* | 0.6 | 87,333 | 2,030 | |||||||||
Callidus Software* | 0.9 | 125,475 | 3,093 | |||||||||
Cognex | 0.6 | 19,477 | 2,148 | |||||||||
Coherent* | 0.6 | 9,157 | 2,153 | |||||||||
Euronet Worldwide* | 0.9 | 30,800 | 2,920 | |||||||||
Exa* | 0.6 | 80,693 | 1,951 | |||||||||
FireEye*(A) | 0.9 | 178,365 | 2,991 | |||||||||
Littelfuse | 1.0 | 17,690 | 3,465 | |||||||||
LogMeIn | 0.8 | 24,792 | 2,728 | |||||||||
MAXIMUS | 0.6 | 32,564 | 2,100 | |||||||||
Monolithic Power Systems | 1.0 | 32,645 | 3,478 | |||||||||
Proofpoint*(A) | 0.5 | 21,450 | 1,871 | |||||||||
Q2 Holdings* | 0.8 | 63,388 | 2,640 | |||||||||
RingCentral, Cl A* | 0.9 | 76,857 | 3,209 | |||||||||
Other Securities (A) | 16.6 | 56,979 | ||||||||||
|
|
| ||||||||||
98,780 | ||||||||||||
|
|
| ||||||||||
Materials — 2.2% |
| |||||||||||
Summit Materials, Cl A* | 0.7 | 72,333 | 2,317 | |||||||||
Other Securities | 1.5 | 5,087 | ||||||||||
|
|
| ||||||||||
7,404 | ||||||||||||
|
|
| ||||||||||
Real Estate — 1.4% |
| |||||||||||
Other Securities ‡(A) | 1.4 | 4,981 | ||||||||||
|
|
|
74 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (continued) |
| |||||||||||
Telecommunication Services — 0.2% |
| |||||||||||
Other Securities | 0.2 | % | $ | 776 | ||||||||
|
|
| ||||||||||
Total Common Stock |
| 326,527 | ||||||||||
|
|
| ||||||||||
RIGHTS — 0.0% | ||||||||||||
Other Securities (C) | 0.0 | — | ||||||||||
|
|
| ||||||||||
Total Rights | — | |||||||||||
|
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AFFILIATED PARTNERSHIP — 8.0% |
| |||||||||||
SEI Liquidity Fund, L.P. | 8.0 | % | 27,404,461 | $ | 27,403 | |||||||
|
|
| ||||||||||
Total Affiliated Partnership | 27,403 | |||||||||||
|
|
| ||||||||||
CASH EQUIVALENT — 3.7% |
| |||||||||||
SEI Daily Income Trust, Government Fund, Cl F 0.840% **† | 3.7 | 12,752,780 | 12,753 | |||||||||
|
|
| ||||||||||
Total Cash Equivalent | 12,753 | |||||||||||
|
|
| ||||||||||
Total Investments in Securities — 106.8% |
| $ | 366,683 | |||||||||
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||
Russell 2000 Index E-MINI | 14 | Dec-2017 | $1,043 | $1,045 | $2 | |||||||||||||||
|
|
Percentages are based on Net Assets of $343,284 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
†† | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017 was $27,115 ($ Thousands). |
(B) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2017 was $61 ($ Thousands) and represented 0.0% of the Net Assets of the Fund. |
(C) | Level 3 security in accordance with fair value hierarchy. |
(D) | Securities considered illiquid. The total value of such securities as of September 30, 2017 was $61 ($ Thousands) and represented 0.0% of the Net Assets of the Fund. |
(E) | Securities considered restricted. The total market value of such securities as of September 30, 2017 was $61 ($ Thousands) and represented 0.0% of the Net Assets of the Fund. |
(F) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2017 was $27,403 ($ 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 level of inputs used as of September 30, 2017, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Common Stock | $ | 326,466 | $ | – | $ | 61 | $ | 326,527 | ||||||||
Rights | – | – | – | – | ||||||||||||
Affiliated Partnership | – | 27,403 | – | 27,403 | ||||||||||||
Cash Equivalent | 12,753 | – | – | 12,753 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities | $ | 339,219 | $ | 27,403 | $ | 61 | $ | 366,683 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 2 | $ | — | $ | — | $ | 2 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Other Financial Instruments | $ | 2 | $ | — | $ | — | $ | 2 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
(1) A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets. Management has concluded that Level 3 investments are not material in relation to net assets.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 either $0 or have been rounded to $0.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 75 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Small Cap Growth Fund (Concluded)
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Liquidity Fund, L.P. | $31,161 | $107,931 | $(111,687) | $(1) | $(1) | $27,403 | $557 | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 12,401 | 105,328 | (104,976) | — | — | 12,753 | 72 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
Totals | $43,562 | $213,259 | $(216,663) | $(1) | $(1) | $40,156 | $629 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
76 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Managed Small/Mid Cap Fund
†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 94.5% |
| |||||||||||
Consumer Discretionary — 10.9% |
| |||||||||||
Big Lots(A) | 0.4 | % | 62,582 | $ | 3,352 | |||||||
Lithia Motors, Cl A(A) | 0.8 | 53,748 | 6,466 | |||||||||
Six Flags Entertainment | 0.7 | 94,131 | 5,736 | |||||||||
Skechers U.S.A., Cl A* | 0.4 | 144,632 | 3,629 | |||||||||
Vail Resorts | 0.4 | 16,565 | 3,779 | |||||||||
Other Securities(A) | 8.2 | 70,154 | ||||||||||
|
|
| ||||||||||
93,116 | ||||||||||||
|
|
| ||||||||||
Consumer Staples — 3.1% |
| |||||||||||
Other Securities(A) | 3.1 | 26,470 | ||||||||||
|
|
| ||||||||||
Energy — 3.8% |
| |||||||||||
PBF Energy, Cl A(A) | 0.5 | 153,336 | 4,234 | |||||||||
RSP Permian* | 0.5 | 114,471 | 3,959 | |||||||||
Other Securities(A) | 2.8 | 24,196 | ||||||||||
|
|
| ||||||||||
32,389 | ||||||||||||
|
|
| ||||||||||
Financials — 19.0% |
| |||||||||||
American Equity Investment Life Holding | 0.5 | 160,817 | 4,677 | |||||||||
BGC Partners, Cl A | 0.6 | 327,534 | 4,739 | |||||||||
Capitol Federal Financial | 0.4 | 221,123 | 3,251 | |||||||||
Columbia Banking System | 0.5 | 95,842 | 4,036 | |||||||||
East West Bancorp | 0.4 | 57,713 | 3,450 | |||||||||
Everest Re Group | 0.4 | 13,363 | 3,052 | |||||||||
Green Dot, Cl A* | 0.6 | 111,315 | 5,519 | |||||||||
Hanover Insurance Group, Cl A | 0.4 | 34,803 | 3,373 | |||||||||
MB Financial | 0.9 | 161,930 | 7,290 | |||||||||
PacWest Bancorp | 0.8 | 143,406 | 7,243 | |||||||||
Selective Insurance Group | 0.4 | 56,285 | 3,031 | |||||||||
SLM* | 0.4 | 260,629 | 2,989 | |||||||||
South State | 0.4 | 41,797 | 3,764 | |||||||||
Starwood Property Trust‡ | 0.6 | 224,339 | 4,873 | |||||||||
Western Alliance Bancorp* | 0.4 | 71,507 | 3,796 | |||||||||
Zions Bancorporation | 0.5 | 97,856 | 4,617 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (continued) |
| |||||||||||
Other Securities‡(A) | 10.8 | % | $ | 93,395 | ||||||||
|
|
| ||||||||||
163,095 | ||||||||||||
|
|
| ||||||||||
Health Care — 9.4% |
| |||||||||||
Align Technology* | 0.4 | 19,671 | 3,664 | |||||||||
Chemed | 0.4 | 14,754 | 2,981 | |||||||||
Ligand Pharmaceuticals*(A) | 1.1 | 65,105 | 8,864 | |||||||||
PRA Health Sciences* | 0.4 | 48,881 | 3,723 | |||||||||
Other Securities(A) | 7.1 | 60,964 | ||||||||||
|
|
| ||||||||||
80,196 | ||||||||||||
|
|
| ||||||||||
Industrials — 16.0% |
| |||||||||||
Atlas Air Worldwide Holdings* | 0.4 | 50,906 | 3,350 | |||||||||
BWX Technologies, Cl W | 0.8 | 120,611 | 6,757 | |||||||||
Crane, Cl A | 0.4 | 40,914 | 3,273 | |||||||||
Genesee & Wyoming, Cl A* | 0.9 | 108,236 | 8,011 | |||||||||
Kaman, Cl A | 0.4 | 58,958 | 3,289 | |||||||||
KAR Auction Services | 0.4 | 85,739 | 4,093 | |||||||||
Meritor* | 0.4 | 119,937 | 3,120 | |||||||||
Owens Corning | 0.4 | 42,973 | 3,324 | |||||||||
Teledyne Technologies* | 0.4 | 20,481 | 3,260 | |||||||||
Other Securities(A) | 11.5 | 98,822 | ||||||||||
|
|
| ||||||||||
137,299 | ||||||||||||
|
|
| ||||||||||
Information Technology — 17.3% |
| |||||||||||
ACI Worldwide* | 0.4 | 169,259 | 3,856 | |||||||||
IAC* | 1.2 | 84,810 | 9,972 | |||||||||
j2 Global | 0.4 | 43,501 | 3,214 | |||||||||
Littelfuse | 0.4 | 16,324 | 3,198 | |||||||||
RingCentral, Cl A* | 0.4 | 86,143 | 3,596 | |||||||||
Silicon Motion Technology ADR(A) | 0.4 | 76,065 | 3,653 | |||||||||
Take-Two Interactive Software, Cl A* | 0.5 | 46,012 | 4,704 | |||||||||
VeriFone Holdings* | 0.4 | 177,965 | 3,609 | |||||||||
Other Securities(A) | 13.2 | 112,723 | ||||||||||
|
|
| ||||||||||
148,525 | ||||||||||||
|
|
| ||||||||||
Materials — 6.0% |
| |||||||||||
FMC | 1.1 | 102,396 | 9,145 | |||||||||
Silgan Holdings | 0.3 | 104,708 | 3,082 | |||||||||
Other Securities(A) | 4.6 | 39,661 | ||||||||||
|
|
| ||||||||||
51,888 | ||||||||||||
|
|
| ||||||||||
Real Estate — 6.6% |
| |||||||||||
CoreCivic‡ | 0.4 | 115,755 | 3,099 | |||||||||
Gaming and Leisure Properties‡ | 0.4 | 89,751 | 3,311 | |||||||||
Howard Hughes* | 0.5 | 36,098 | 4,257 | |||||||||
Medical Properties Trust‡(A) | 0.5 | 314,009 | 4,123 | |||||||||
Other Securities‡(A) | 4.8 | 41,589 | ||||||||||
|
|
| ||||||||||
56,379 | ||||||||||||
|
|
| ||||||||||
Telecommunication Services — 0.3% |
| |||||||||||
Other Securities | 0.3 | 3,007 | ||||||||||
|
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 77 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Managed Small/Mid Cap Fund (Concluded)
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (continued) |
| |||||||||||
Utilities — 2.1% |
| |||||||||||
Other Securities | 2.1 | % | $ | 17,993 | ||||||||
|
|
| ||||||||||
Total Common Stock |
| 810,357 | ||||||||||
|
|
| ||||||||||
RIGHTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | 12 | ||||||||||
|
|
| ||||||||||
Total Rights |
| 12 | ||||||||||
|
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AFFILIATED PARTNERSHIP — 9.0% |
| |||||||||||
SEI Liquidity Fund, L.P. | 9.0 | % | 76,978,282 | $ | 76,976 | |||||||
|
|
| ||||||||||
Total Affiliated Partnership |
| 76,976 | ||||||||||
|
|
| ||||||||||
CASH EQUIVALENT — 5.5% |
| |||||||||||
SEI Daily Income Trust, Government Fund, Cl F | 5.5 | 47,191,647 | 47,192 | |||||||||
|
|
| ||||||||||
Total Cash Equivalent |
| 47,192 | ||||||||||
|
|
| ||||||||||
Total Investments in Securities — 109.0% |
| $ | 934,537 | |||||||||
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2017, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||
Russell 2000 Index E-MINI | 14 | Dec-2017 | $994 | $1,046 | $52 | |||||||||||||||
S&P Mid Cap 400 Index E-MINI | 7 | Dec-2017 | 1,203 | 1,257 | 54 | |||||||||||||||
|
| |||||||||||||||||||
$2,197 | $2,303 | $106 | ||||||||||||||||||
|
|
Percentages are based on a Net Assets of $857,632 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017, was $75,724 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2017 was $76,976 ($ Thousands). |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the level of inputs used as of September 30, 2017, 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 | $ | 810,357 | $ | – | $ | – | $ | 810,357 | ||||||||
Rights | – | 12 | – | 12 | ||||||||||||
Affiliated Partnership | – | 76,976 | – | 76,976 | ||||||||||||
Cash Equivalent | 47,192 | – | – | 47,192 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 857,549 | $ | 76,988 | $ | – | $ | 934,537 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 106 | $ | — | $ | — | $ | 106 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 106 | $ | — | $ | — | $ | 106 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation on the instrument. |
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 either $0 or have been rounded to $0.
78 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Liquidity Fund, L.P. | $180,708 | $431,952 | $(535,679 | ) | $(4 | ) | $(1 | ) | $76,976 | $925 | ||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 33,689 | 152,805 | (139,302 | ) | – | – | 47,192 | 207 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
Totals | $214,397 | $584,757 | $(674,981 | ) | $(4 | ) | $(1 | ) | $124,168 | $1,132 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 79 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Mid-Cap Fund
†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 95.9% |
| |||||||||||
Consumer Discretionary — 14.1% |
| |||||||||||
Adient | 0.7 | % | 9,400 | $ | 790 | |||||||
Best Buy | 0.8 | 17,000 | 968 | |||||||||
Hilton Worldwide Holdings | 0.7 | 11,900 | 826 | |||||||||
Lear | 0.8 | 5,300 | 917 | |||||||||
LKQ* | 0.7 | 22,200 | 799 | |||||||||
NVR* | 0.8 | 340 | 971 | |||||||||
PVH | 0.7 | 6,500 | 819 | |||||||||
Ross Stores | 0.7 | 12,000 | 775 | |||||||||
Royal Caribbean Cruises | 0.9 | 8,300 | 984 | |||||||||
Yum China Holdings* | 0.7 | 20,900 | 835 | |||||||||
Other Securities(A) | 6.6 | 7,625 | ||||||||||
|
|
| ||||||||||
16,309 | ||||||||||||
|
|
| ||||||||||
Consumer Staples — 3.3% |
| |||||||||||
Dr Pepper Snapple Group | 0.7 | 8,700 | 770 | |||||||||
Tyson Foods, Cl A | 0.9 | 14,100 | 993 | |||||||||
Other Securities | 1.7 | 2,066 | ||||||||||
|
|
| ||||||||||
3,829 | ||||||||||||
|
|
| ||||||||||
Energy — 4.0% |
| |||||||||||
Andeavor | 0.7 | 8,100 | 836 | |||||||||
Devon Energy | 0.8 | 26,300 | 965 | |||||||||
Marathon Petroleum | 0.9 | 19,500 | 1,094 | |||||||||
Other Securities | 1.6 | 1,778 | ||||||||||
|
|
| ||||||||||
4,673 | ||||||||||||
|
|
| ||||||||||
Financials — 12.4% |
| |||||||||||
Ameriprise Financial | 0.8 | 6,600 | 980 | |||||||||
Citizens Financial Group | 0.8 | 24,600 | 932 | |||||||||
Comerica | 0.7 | 11,100 | 847 | |||||||||
Fifth Third Bancorp | 0.8 | 31,900 | 893 | |||||||||
Lincoln National | 0.7 | 11,800 | 867 | |||||||||
Regions Financial | 0.8 | 57,000 | 868 | |||||||||
Unum Group | 0.8 | 17,200 | 879 | |||||||||
Other Securities‡ | 7.0 | 8,010 | ||||||||||
|
|
| ||||||||||
14,276 | ||||||||||||
|
|
| ||||||||||
Health Care — 10.7% |
| |||||||||||
Agilent Technologies | 0.8 | 14,600 | 937 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (continued) |
| |||||||||||
Centene* | 0.9 | % | 10,600 | $ | 1,026 | |||||||
Cerner* | 0.9 | 14,700 | 1,048 | |||||||||
IDEXX Laboratories* | 0.7 | 5,300 | 824 | |||||||||
Mylan* | 0.7 | 25,400 | 797 | |||||||||
Zoetis, Cl A | 1.0 | 18,000 | 1,148 | |||||||||
Other Securities | 5.7 | 6,580 | ||||||||||
|
|
| ||||||||||
12,360 | ||||||||||||
|
|
| ||||||||||
Industrials — 12.2% |
| |||||||||||
Cummins | 0.8 | 5,800 | 975 | |||||||||
Huntington Ingalls Industries, Cl A | 0.8 | 4,200 | 951 | |||||||||
Ingersoll-Rand | 0.8 | 10,100 | 901 | |||||||||
Orbital ATK | 0.7 | 5,900 | 786 | |||||||||
Spirit AeroSystems Holdings, Cl A | 0.8 | 12,000 | 933 | |||||||||
United Rentals* | 0.7 | 5,700 | 791 | |||||||||
Other Securities | 7.6 | 8,788 | ||||||||||
|
|
| ||||||||||
14,125 | ||||||||||||
|
|
| ||||||||||
Information Technology — 16.6% |
| |||||||||||
Applied Materials | 0.7 | 15,000 | 781 | |||||||||
Cadence Design Systems* | 0.7 | 19,800 | 781 | |||||||||
CDW | 0.7 | 11,700 | 772 | |||||||||
Electronic Arts* | 0.7 | 6,600 | 779 | |||||||||
KLA-Tencor | 0.8 | 8,300 | 880 | |||||||||
Lam Research | 1.0 | 6,300 | 1,166 | |||||||||
Skyworks Solutions | 0.8 | 9,000 | 917 | |||||||||
Symantec, Cl A | 0.8 | 29,000 | 951 | |||||||||
Synopsys* | 0.7 | 10,500 | 845 | |||||||||
Total System Services | 0.7 | 12,200 | 799 | |||||||||
Other Securities | 9.0 | 10,452 | ||||||||||
|
|
| ||||||||||
19,123 | ||||||||||||
|
|
| ||||||||||
Materials — 6.5% |
| |||||||||||
WestRock | 0.7 | 13,700 | 777 | |||||||||
Other Securities | 5.8 | 6,688 | ||||||||||
|
|
| ||||||||||
7,465 | ||||||||||||
|
|
| ||||||||||
Real Estate — 8.5% |
| |||||||||||
CBRE Group, Cl A* | 0.7 | 21,000 | 795 | |||||||||
ProLogis‡ | 0.8 | 14,600 | 926 | |||||||||
Other Securities‡ | 7.0 | 8,058 | ||||||||||
|
|
| ||||||||||
9,779 | ||||||||||||
|
|
| ||||||||||
Telecommunication Services — 0.6% |
| |||||||||||
Other Securities | 0.6 | 722 | ||||||||||
|
|
| ||||||||||
Utilities — 7.0% |
| |||||||||||
DTE Energy | 0.7 | 7,800 | 837 | |||||||||
Eversource Energy | 0.7 | 13,700 | 828 | |||||||||
PPL | 0.8 | 25,100 | 953 | |||||||||
Other Securities | 4.8 | 5,487 | ||||||||||
|
|
| ||||||||||
8,105 | ||||||||||||
|
|
| ||||||||||
Total Common Stock |
| 110,766 | ||||||||||
|
|
|
80 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AFFILIATED PARTNERSHIP — 0.0% |
| |||||||||||
SEI Liquidity Fund, L.P. | 0.0 | % | 52,107 | $ | 52 | |||||||
|
|
| ||||||||||
Total Affiliated Partnership |
| 52 | ||||||||||
|
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
CASH EQUIVALENT — 4.0% |
| |||||||||||
SEI Daily Income Trust, Government Fund, Cl F | 4.0 | % | 4,669,400 | $ | 4,669 | |||||||
|
|
| ||||||||||
Total Cash Equivalent |
| 4,669 | ||||||||||
|
|
| ||||||||||
Total Investments in Securities — 99.9% |
| $ | 115,487 | |||||||||
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2017 is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||
S&P Mid Cap 400 Index E-MINI | 5 | Dec-2017 | $859 | $898 | $39 | |||||||||||||||
|
|
Percentages are based on a Net Assets of $115,554 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017, was $52 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2017 was $52 ($ Thousands). |
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 September 30, 2017, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 110,766 | $ | – | $ | – | $ | 110,766 | ||||||||
Affiliated Partnership | – | 52 | – | 52 | ||||||||||||
Cash Equivalent | 4,669 | – | – | 4,669 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities | $ | 115,435 | $ | 52 | $ | – | $ | 115,487 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 39 | $ | — | $ | — | $ | 39 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Other Financial Instruments | $ | 39 | $ | — | $ | — | $ | 39 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 either $0 or have been rounded to $0.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Liquidity Fund, L.P. | $5,714 | $8,801 | $(14,463) | $— | $— | $52 | $18 | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 2,189 | 36,701 | (34,221) | — | — | 4,669 | 28 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
Totals | $7,903 | $45,502 | $(48,684) | $— | $— | $4,721 | $46 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 81 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Managed Volatility Fund
†Percentages are based on total investments.
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.7% |
| |||||||||||
Consumer Discretionary — 10.1% |
| |||||||||||
Darden Restaurants | 0.7 | % | 135,545 | $ | 10,678 | |||||||
McDonald’s | 0.9 | 94,320 | 14,778 | |||||||||
Target, Cl A | 0.8 | 200,400 | 11,826 | |||||||||
Walt Disney | 0.7 | 113,646 | 11,202 | |||||||||
Other Securities | 7.0 | 110,882 | ||||||||||
|
|
| ||||||||||
159,366 | ||||||||||||
|
|
| ||||||||||
Consumer Staples — 15.8% |
| |||||||||||
Altria Group | 1.2 | 293,759 | 18,630 | |||||||||
Costco Wholesale | 0.9 | 82,114 | 13,491 | |||||||||
CVS Health | 0.6 | 112,600 | 9,157 | |||||||||
Dr Pepper Snapple Group | 1.0 | 180,579 | 15,976 | |||||||||
Kimberly-Clark | 0.7 | 90,119 | 10,605 | |||||||||
McCormick | 0.7 | 101,092 | 10,376 | |||||||||
PepsiCo | 0.9 | 134,450 | 14,982 | |||||||||
Philip Morris International | 0.8 | 113,868 | 12,640 | |||||||||
Procter & Gamble | 0.8 | 140,680 | 12,799 | |||||||||
Sanderson Farms | 0.6 | 56,492 | 9,125 | |||||||||
Sysco, Cl A | 0.6 | 183,443 | 9,897 | |||||||||
Tyson Foods, Cl A | 0.9 | 194,530 | 13,705 | |||||||||
Wal-Mart Stores | 1.6 | 320,160 | 25,017 | |||||||||
Other Securities | 4.5 | 73,927 | ||||||||||
|
|
| ||||||||||
250,327 | ||||||||||||
|
|
| ||||||||||
Energy — 1.5% |
| |||||||||||
ExxonMobil | 0.6 | 111,500 | 9,141 | |||||||||
Other Securities | 0.9 | 14,188 | ||||||||||
|
|
| ||||||||||
23,329 | ||||||||||||
|
|
| ||||||||||
Financials — 14.2% |
| |||||||||||
Allstate | 0.7 | 125,495 | 11,534 | |||||||||
Arch Capital Group* | 0.6 | 90,931 | 8,957 | |||||||||
Axis Capital Holdings | 0.7 | 192,717 | 11,045 | |||||||||
Berkshire Hathaway, Cl B* | 0.9 | 75,500 | 13,841 | |||||||||
CBOE Holdings | 0.7 | 102,115 | 10,991 | |||||||||
Everest Re Group | 1.0 | 66,152 | 15,108 | |||||||||
Progressive | 0.7 | 211,774 | 10,254 | |||||||||
Travelers | 0.9 | 113,859 | 13,950 | |||||||||
Validus Holdings | 0.7 | 235,678 | 11,598 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (continued) |
| |||||||||||
Other Securities‡ | 7.3 | % | $ | 116,620 | ||||||||
|
|
| ||||||||||
223,898 | ||||||||||||
|
|
| ||||||||||
Health Care — 15.7% |
| |||||||||||
Anthem | 0.6 | 48,900 | 9,285 | |||||||||
Baxter International | 1.0 | 252,970 | 15,874 | |||||||||
Johnson & Johnson | 2.3 | 276,385 | 35,933 | |||||||||
Merck | 2.2 | 530,453 | 33,965 | |||||||||
Pfizer | 1.5 | 670,034 | 23,920 | |||||||||
UnitedHealth Group | 0.7 | 57,996 | 11,359 | |||||||||
Other Securities | 7.4 | 118,158 | ||||||||||
|
|
| ||||||||||
248,494 | ||||||||||||
|
|
| ||||||||||
Industrials — 7.2% |
| |||||||||||
Boeing | 0.8 | 51,502 | 13,092 | |||||||||
Republic Services | 0.8 | 180,600 | 11,930 | |||||||||
Waste Management | 1.5 | 311,108 | 24,350 | |||||||||
Other Securities | 4.1 | 65,372 | ||||||||||
|
|
| ||||||||||
114,744 | ||||||||||||
|
|
| ||||||||||
Information Technology — 12.0% |
| |||||||||||
Amdocs | 1.6 | 387,743 | 24,940 | |||||||||
Apple | 1.2 | 128,646 | 19,827 | |||||||||
Cisco Systems | 0.9 | 410,200 | 13,795 | |||||||||
Dell Technologies, Cl V* | 0.6 | 119,541 | 9,230 | |||||||||
Intel | 0.7 | 300,634 | 11,448 | |||||||||
International Business Machines | 0.7 | 73,000 | 10,591 | |||||||||
Other Securities | 6.3 | 100,820 | ||||||||||
|
|
| ||||||||||
190,651 | ||||||||||||
|
|
| ||||||||||
Materials — 1.8% |
| |||||||||||
Other Securities | 1.8 | 29,169 | ||||||||||
|
|
| ||||||||||
Real Estate — 3.3% |
| |||||||||||
Other Securities‡ | 3.3 | 52,241 | ||||||||||
|
|
| ||||||||||
Telecommunication Services — 5.1% |
| |||||||||||
AT&T | 1.6 | 658,033 | 25,775 | |||||||||
Verizon Communications | 1.8 | 583,229 | 28,864 | |||||||||
Other Securities | 1.7 | 25,404 | ||||||||||
|
|
| ||||||||||
80,043 | ||||||||||||
|
|
| ||||||||||
Utilities — 11.0% |
| |||||||||||
American Electric Power | 1.2 | 259,230 | 18,208 | |||||||||
Edison International | 0.8 | 157,821 | 12,179 | |||||||||
Entergy | 0.7 | 149,509 | 11,416 | |||||||||
Exelon | 1.5 | 645,690 | 24,323 | |||||||||
PPL | 0.8 | 333,990 | 12,675 | |||||||||
Public Service Enterprise Group | 0.7 | 238,745 | 11,042 | |||||||||
Other Securities | 5.3 | 83,705 | ||||||||||
|
|
| ||||||||||
173,548 | ||||||||||||
|
|
| ||||||||||
Total Common Stock |
| 1,545,810 | ||||||||||
|
|
|
82 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
CASH EQUIVALENT — 2.1% |
| |||||||||||
SEI Daily Income Trust, Government Fund, Cl F | 2.1 | % | 32,713,195 | $ | 32,713 | |||||||
|
|
| ||||||||||
Total Cash Equivalent |
| 32,713 | ||||||||||
|
|
| ||||||||||
Total Investments in Securities — 99.8% |
| $ | 1,578,523 | |||||||||
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||
S&P 500 Index E-MINI | 169 |
| Dec-2017 |
| $20,977 | $21,261 | $284 | |||||||||||||
|
|
Percentages are based on a Net Assets of $1,581,542 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
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 September 30, 2017, 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 | $ | 1,545,810 | $ | – | $ | – | $ | 1,545,810 | ||||||||
Cash Equivalent | 32,713 | – | – | 32,713 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities | $ | 1,578,523 | $ | – | $ | – | $ | 1,578,523 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 284 | $ | — | $ | — | $ | 284 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Other Financial Instruments | $ | 284 | $ | — | $ | — | $ | 284 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* | Futures Contracts are valued at the unrealized appreciation on the instrument. |
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 either $0 or have been rounded to $0.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | $39,118 | $428,961 | $ | (435,366) | $— | $— | $32,713 | $146 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 83 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Global Managed Volatility Fund
†Percentages are based on total investments.
|
| |||||||||||
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.1% |
| |||||||||||
Australia — 2.9% |
| |||||||||||
Wesfarmers | 0.6 | % | 283,998 | $ | 9,210 | |||||||
Other Securities ‡ | 2.3 | 33,043 | ||||||||||
|
|
| ||||||||||
42,253 | ||||||||||||
|
|
| ||||||||||
Austria — 1.4% |
| |||||||||||
voestalpine | 0.8 | 238,610 | 12,171 | |||||||||
Other Securities | 0.6 | 8,866 | ||||||||||
|
|
| ||||||||||
21,037 | ||||||||||||
|
|
| ||||||||||
Belgium — 0.7% | ||||||||||||
Other Securities | 0.7 | 9,613 | ||||||||||
|
|
| ||||||||||
Canada — 7.3% |
| |||||||||||
Bank of Montreal | 0.7 | 134,217 | 10,134 | |||||||||
National Bank of Canada | 0.7 | 216,700 | 10,405 | |||||||||
Rogers Communications, Cl B | 0.7 | 193,700 | 9,965 | |||||||||
Other Securities ‡ | 5.2 | 76,250 | ||||||||||
|
|
| ||||||||||
106,754 | ||||||||||||
|
|
| ||||||||||
China — 0.0% | ||||||||||||
Other Securities | 0.0 | 273 | ||||||||||
|
|
| ||||||||||
Denmark — 2.3% | ||||||||||||
Carlsberg, Cl B | 0.7 | 93,237 | 10,205 | |||||||||
Other Securities | 1.6 | 23,484 | ||||||||||
|
|
| ||||||||||
33,689 | ||||||||||||
|
|
| ||||||||||
Finland — 0.3% | ||||||||||||
Other Securities | 0.3 | 4,782 | ||||||||||
|
|
| ||||||||||
France — 1.3% | ||||||||||||
Other Securities | 1.3 | 18,782 | ||||||||||
|
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (continued) |
| |||||||||||
Germany — 1.7% |
| |||||||||||
Other Securities | 1.7 | % | $ | 24,088 | ||||||||
|
|
| ||||||||||
Guernsey — 0.6% | ||||||||||||
Amdocs | 0.6 | 141,376 | 9,093 | |||||||||
|
|
| ||||||||||
Hong Kong — 4.8% | ||||||||||||
CLP Holdings, Cl B | 1.1 | 1,624,656 | 16,651 | |||||||||
Other Securities ‡(A) | 3.7 | 53,290 | ||||||||||
|
|
| ||||||||||
69,941 | ||||||||||||
|
|
| ||||||||||
Ireland — 0.0% | ||||||||||||
Other Securities ‡ | 0.0 | 616 | ||||||||||
|
|
| ||||||||||
Israel — 1.6% | ||||||||||||
Bank Hapoalim | 0.7 | 1,360,351 | 9,528 | |||||||||
Other Securities | 0.9 | 13,801 | ||||||||||
|
|
| ||||||||||
23,329 | ||||||||||||
|
|
| ||||||||||
Italy — 0.7% | ||||||||||||
Other Securities | 0.7 | 9,930 | ||||||||||
|
|
| ||||||||||
Japan — 7.0% | ||||||||||||
Other Securities ‡ | 7.0 | 101,325 | ||||||||||
|
|
| ||||||||||
Jersey — 0.1% | ||||||||||||
Other Securities | 0.1 | 761 | ||||||||||
|
|
| ||||||||||
Luxembourg — 0.2% | ||||||||||||
Other Securities | 0.2 | 2,917 | ||||||||||
|
|
| ||||||||||
Netherlands — 0.2% | ||||||||||||
Other Securities (A) | 0.2 | 3,605 | ||||||||||
|
|
| ||||||||||
New Zealand — 2.0% | ||||||||||||
Other Securities ‡ | 2.0 | 29,198 | ||||||||||
|
|
| ||||||||||
Norway — 1.6% | ||||||||||||
Orkla | 0.7 | 1,036,596 | 10,639 | |||||||||
Telenor | 0.7 | 476,079 | 10,071 | |||||||||
Other Securities | 0.2 | 2,337 | ||||||||||
|
|
| ||||||||||
23,047 | ||||||||||||
|
|
| ||||||||||
Panama — 0.7% | ||||||||||||
Carnival | 0.7 | 148,112 | 9,564 | |||||||||
|
|
| ||||||||||
Portugal — 0.3% | ||||||||||||
Other Securities | 0.3 | 4,133 | ||||||||||
|
|
|
84 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (continued) |
| |||||||||||
Singapore — 1.9% |
| |||||||||||
Other Securities ‡ | 1.9 | % | $ | 27,889 | ||||||||
|
|
| ||||||||||
Spain — 0.4% | ||||||||||||
Other Securities | 0.4 | 6,156 | ||||||||||
|
|
| ||||||||||
Sweden — 2.3% | ||||||||||||
ICA Gruppen | 0.7 | 258,567 | 9,697 | |||||||||
Swedish Match | 0.8 | 339,138 | 11,871 | |||||||||
Other Securities | 0.8 | 12,287 | ||||||||||
|
|
| ||||||||||
33,855 | ||||||||||||
|
|
| ||||||||||
Switzerland — 6.0% | ||||||||||||
Nestle | 1.2 | 211,811 | 17,753 | |||||||||
Novartis | 1.0 | 166,517 | 14,266 | |||||||||
Other Securities | 3.8 | 54,845 | ||||||||||
|
|
| ||||||||||
86,864 | ||||||||||||
|
|
| ||||||||||
United Kingdom — 3.4% | ||||||||||||
Other Securities ‡ | 3.4 | 49,892 | ||||||||||
|
|
| ||||||||||
United States — 45.4% | ||||||||||||
AGNC Investment ‡ | 1.3 | 871,601 | 18,896 | |||||||||
Altria Group | 0.8 | 186,895 | 11,853 | |||||||||
Annaly Capital Management ‡ | 0.7 | 865,718 | 10,553 | |||||||||
Bio-Rad Laboratories, Cl A * | 0.7 | 47,156 | 10,479 | |||||||||
Chemed | 0.7 | 52,849 | 10,678 | |||||||||
Clorox | 1.1 | 120,559 | 15,903 | |||||||||
Coca-Cola | 1.0 | 313,619 | 14,116 | |||||||||
Colgate-Palmolive | 0.7 | 135,965 | 9,905 | |||||||||
Danaher, Cl A | 0.7 | 117,032 | 10,039 | |||||||||
Estee Lauder, Cl A | 0.7 | 96,068 | 10,360 | |||||||||
Home Depot | 0.7 | 63,923 | 10,455 | |||||||||
Humana | 0.8 | 50,401 | 12,279 | |||||||||
Johnson & Johnson | 1.4 | 151,599 | 19,709 | |||||||||
Lincoln National | 0.6 | 124,572 | 9,154 | |||||||||
ManpowerGroup | 0.7 | 82,673 | 9,741 | |||||||||
Mastercard, Cl A | 0.6 | 66,479 | 9,387 | |||||||||
McDonald’s | 1.4 | 129,952 | 20,361 | |||||||||
Merck | 0.7 | 157,053 | 10,056 | |||||||||
MetLife | 0.7 | 205,195 | 10,660 | |||||||||
Mettler Toledo International * | 0.8 | 17,574 | 11,004 | |||||||||
PepsiCo | 1.0 | 134,313 | 14,966 | |||||||||
Pfizer | 0.7 | 294,129 | 10,500 | |||||||||
Philip Morris International | 0.7 | 88,791 | 9,857 | |||||||||
Procter & Gamble | 1.2 | 187,363 | 17,046 | |||||||||
Quest Diagnostics | 0.7 | 107,105 | 10,029 | |||||||||
Reliance Steel & Aluminum | 0.6 | 123,148 | 9,380 | |||||||||
Republic Services | 0.8 | 178,981 | 11,823 | |||||||||
Sysco, Cl A | 0.8 | 222,527 | 12,005 | |||||||||
Teleflex | 0.8 | 46,842 | 11,334 | |||||||||
United Parcel Service, Cl B | 0.7 | 84,008 | 10,089 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (continued) |
| |||||||||||
United States (continued) |
| |||||||||||
Voya Financial | 0.8 | % | 285,179 | $ | 11,376 | |||||||
Wal-Mart Stores | 0.7 | 123,212 | 9,628 | |||||||||
Walt Disney | 0.6 | 94,631 | 9,328 | |||||||||
Waste Management | 0.8 | 145,909 | 11,420 | |||||||||
Other Securities ‡ | 17.7 | 257,277 | ||||||||||
|
|
| ||||||||||
661,646 | ||||||||||||
|
|
| ||||||||||
Total Common Stock |
| 1,415,032 | ||||||||||
|
|
| ||||||||||
PREFERRED STOCK — 0.3% | ||||||||||||
Germany — 0.3% | ||||||||||||
Other Securities | 0.3 | 3,410 | ||||||||||
|
|
| ||||||||||
Sweden — 0.0% | ||||||||||||
Other Securities | 0.0 | 482 | ||||||||||
|
|
| ||||||||||
Total Preferred Stock |
| 3,892 | ||||||||||
|
|
| ||||||||||
RIGHTS* — 0.0% | ||||||||||||
New Zealand — 0.0% | ||||||||||||
Other Securities | 0.0 | — | ||||||||||
|
|
| ||||||||||
Singapore — 0.0% | ||||||||||||
Other Securities | 0.0 | 103 | ||||||||||
|
|
| ||||||||||
Total Rights |
| 103 | ||||||||||
|
|
| ||||||||||
CASH EQUIVALENT — 2.3% | ||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | 2.3 | 34,015,918 | 34,016 | |||||||||
|
|
| ||||||||||
Total Cash Equivalent |
| 34,016 | ||||||||||
|
|
| ||||||||||
Total Investments in Securities — 99.7% |
| $ | 1,453,043 | |||||||||
|
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 85 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Global Managed Volatility Fund (Concluded)
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Type of Contract | Number of Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||
DJ Euro Stoxx 50 Index | 60 | Dec-2017 | $2,511 | $2,537 | $56 | |||||||||||||||
FTSE 100 Index | 15 | Dec-2017 | 1,463 | 1,475 | 3 | |||||||||||||||
Hang Seng Index | 3 | Oct-2017 | 526 | 528 | 2 | |||||||||||||||
S&P 500 Index E-MINI | 85 | Dec-2017 | 10,478 | 10,693 | 215 | |||||||||||||||
SPI 200 Index | 7 | Dec-2017 | 792 | 778 | (4 | ) | ||||||||||||||
TOPIX Index | 11 | Dec-2017 | 1,609 | 1,637 | 59 | |||||||||||||||
|
| |||||||||||||||||||
$17,379 | $17,648 | $331 | ||||||||||||||||||
|
|
A list of the open forward foreign currency contracts held by the Fund at September 30, 2017, is as follows:
Counterparty | Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 11 | NOK | 84 | $— | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 10 | GBP | 8 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 34 | GBP | 26 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 51 | SEK | 416 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 65 | NZD | 90 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 2 | NZD | 3 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 70 | DKK | 441 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 158 | CAD | 195 | (2 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 140 | HKD | 1,091 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 86 | HKD | 668 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 242 | CHF | 234 | 1 | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 258 | EUR | 219 | 1 | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 72 | JPY | 8,145 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 210 | JPY | 23,507 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/30/17 | GBP | 18,931 | USD | 25,566 | 149 | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | SGD | 20,212 | USD | 14,963 | 69 | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | SGD | 22 | USD | 16 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | NZD | 20,962 | USD | 15,232 | 92 | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | NZD | 167 | USD | 120 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/30/17 | AUD | 28,933 | USD | 22,978 | 287 | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | AUD | 123 | USD | 96 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | CHF | 105 | USD | 109 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | CHF | 43,639 | USD | 45,114 | (80 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/30/17 | EUR | 54,414 | USD | 64,696 | 277 | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | EUR | 400 | USD | 470 | (2 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/30/17 | CAD | 64,728 | USD | 52,436 | 664 | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | CAD | 240 | USD | 192 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | NOK | 92,121 | USD | 11,802 | 219 | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | NOK | 1,268 | USD | 159 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | DKK | 106,133 | USD | 16,959 | 69 | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | DKK | 916 | USD | 145 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | SEK | 144,150 | USD | 17,971 | 281 | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | SEK | 1,148 | USD | 141 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | HKD | 152 | USD | 19 | — |
86 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Counterparty | Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | HKD | 279,538 | USD | 35,802 | $(16) | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | JPY | 5,847,354 | USD | 52,376 | 351 | ||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | JPY | 33,245 | USD | 296 | — | ||||||||||||||||||
|
|
| ||||||||||||||||||||||
$2,358 | ||||||||||||||||||||||||
|
|
|
Percentages are based on a Net Assets of $1,457,726 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2017, the value of these securities amounted to $8,208 ($ Thousands), representing 0.6% of the net assets of the Fund. |
AUD — Australian Dollar
CAD — Canadian Dollar
CHF — Swiss Franc
Cl — Class
DJ — Dow Jones
DKK — Danish Krone
EUR — Euro
FTSE — Financial Times and Stock Exchange
GBP — British Pound Sterling
HKD — Hong Kong Dollar
JPY — Japanese Yen
NOK — Norwegian Krone
NZD — New Zealand Dollar
S&P — Standard & Poor’s
SEK — Swedish Krona
SGD — Singapore Dollar
SPI — Share Price Index
TOPIX — Tokyo Price 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 list of the level of inputs used as of September 30, 2017, 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 | $ | 1,413,141 | $ | 1,891 | $ | – | $ | 1,415,032 | ||||||||
Preferred Stock | 3,892 | – | – | 3,892 | ||||||||||||
Rights | 103 | – | – | 103 | ||||||||||||
Cash Equivalent | 34,016 | – | – | 34,016 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities | $ | 1,451,152 | $ | 1,891 | $ | – | $ | 1,453,043 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 335 | $ | – | $ | – | $ | 335 | ||||||||
Unrealized Depreciation | (4 | ) | – | – | (4 | ) | ||||||||||
Forwards Contracts * | ||||||||||||||||
Unrealized Appreciation | – | 2,460 | – | 2,460 | ||||||||||||
Unrealized Depreciation | – | (102 | ) | – | (102 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Other Financial Instruments | $ | 331 | $ | 2,358 | $ | – | $ | 2,689 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* | Futures contracts and forwards contracts are valued at unrealized appreciation (depreciation) on the instrument. |
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 either $0 or have been rounded to $0.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | $83,471 | $178,236 | $(227,691) | $– | $– | $34,016 | $186 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 87 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Managed Managed Volatility Fund
†Percentages are based on total investments.
|
| |||||||||||
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.7% | ||||||||||||
Consumer Discretionary — 7.1% |
| |||||||||||
Target, Cl A | 0.6 | % | 114,100 | $ | 6,733 | |||||||
Walt Disney | 1.3 | 140,049 | 13,805 | |||||||||
Other Securities | 5.2 | 54,611 | ||||||||||
|
|
| ||||||||||
75,149 | ||||||||||||
|
|
| ||||||||||
Consumer Staples — 16.6% | ||||||||||||
Altria Group | 1.4 | 234,072 | 14,845 | |||||||||
Clorox | 0.7 | 54,877 | 7,239 | |||||||||
Costco Wholesale | 0.6 | 40,733 | 6,692 | |||||||||
Hershey | 0.7 | 69,527 | 7,590 | |||||||||
Kimberly-Clark | 0.7 | 65,486 | 7,706 | |||||||||
McCormick | 0.7 | 72,119 | 7,402 | |||||||||
PepsiCo | 1.0 | 98,075 | 10,929 | |||||||||
Philip Morris International | 0.7 | 62,123 | 6,896 | |||||||||
Procter & Gamble | 0.8 | 93,908 | 8,544 | |||||||||
Sysco, Cl A | 0.7 | 134,231 | 7,242 | |||||||||
Wal-Mart Stores | 1.9 | 251,605 | 19,660 | |||||||||
Other Securities | 6.7 | 70,622 | ||||||||||
|
|
| ||||||||||
175,367 | ||||||||||||
|
|
| ||||||||||
Energy — 0.7% | ||||||||||||
Other Securities | 0.7 | 7,779 | ||||||||||
|
|
| ||||||||||
Financials — 16.1% |
| |||||||||||
Arch Capital Group* | 0.7 | 78,888 | 7,770 | |||||||||
Axis Capital Holdings | 1.0 | 177,972 | 10,200 | |||||||||
Berkshire Hathaway, Cl B* | 1.0 | 59,100 | 10,834 | |||||||||
CBOE Holdings | 1.2 | 120,129 | 12,930 | |||||||||
Everest Re Group | 1.1 | 51,645 | 11,795 | |||||||||
RenaissanceRe Holdings | 1.2 | 96,760 | 13,076 | |||||||||
Travelers | 1.0 | 87,605 | 10,733 | |||||||||
Validus Holdings | 1.0 | 210,877 | 10,377 | |||||||||
Other Securities‡ | 7.9 | 81,774 | ||||||||||
|
|
| ||||||||||
169,489 | ||||||||||||
|
|
| ||||||||||
Health Care — 15.7% | ||||||||||||
Aetna, Cl A | 0.7 | 49,474 | 7,867 | |||||||||
Anthem | 0.9 | 47,477 | 9,015 | |||||||||
Baxter International | 0.7 | 124,505 | 7,813 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (continued) |
| |||||||||||
Eli Lilly | 0.8 | % | 93,318 | $ | 7,982 | |||||||
Johnson & Johnson | 2.7 | 215,102 | 27,965 | |||||||||
Merck | 1.6 | 265,429 | 16,995 | |||||||||
Pfizer | 2.2 | 646,425 | 23,077 | |||||||||
UnitedHealth Group | 0.7 | 39,100 | 7,658 | |||||||||
Other Securities | 5.4 | 57,335 | ||||||||||
|
|
| ||||||||||
165,707 | ||||||||||||
|
|
| ||||||||||
Industrials — 12.3% |
| |||||||||||
Boeing | 0.8 | 32,700 | 8,313 | |||||||||
Lockheed Martin | 1.0 | 34,838 | 10,810 | |||||||||
Northrop Grumman | 1.5 | 53,546 | 15,406 | |||||||||
Raytheon | 1.7 | 96,700 | 18,042 | |||||||||
Republic Services | 0.9 | 146,100 | 9,651 | |||||||||
Waste Management | 1.0 | 137,382 | 10,753 | |||||||||
Other Securities | 5.4 | 56,945 | ||||||||||
|
|
| ||||||||||
129,920 | ||||||||||||
|
|
| ||||||||||
Information Technology — 11.2% |
| |||||||||||
Amdocs | 1.1 | 177,838 | 11,439 | |||||||||
Apple | 0.9 | 59,200 | 9,124 | |||||||||
Cisco Systems | 0.8 | 242,600 | 8,159 | |||||||||
Dell Technologies Class V, Cl V* | 0.8 | 108,346 | 8,365 | |||||||||
Intel | 0.9 | 265,600 | 10,114 | |||||||||
Other Securities | 6.7 | 70,974 | ||||||||||
|
|
| ||||||||||
118,175 | ||||||||||||
|
|
| ||||||||||
Materials — 1.5% |
| |||||||||||
Other Securities | 1.5 | 15,324 | ||||||||||
|
|
| ||||||||||
Real Estate — 1.4% |
| |||||||||||
Other Securities‡ | 1.4 | 15,250 | ||||||||||
|
|
| ||||||||||
Telecommunication Services — 3.8% |
| |||||||||||
AT&T | 1.9 | 503,175 | 19,710 | |||||||||
Other Securities | 1.9 | 20,101 | ||||||||||
|
|
| ||||||||||
39,811 | ||||||||||||
|
|
| ||||||||||
Utilities — 11.3% |
| |||||||||||
American Electric Power | 0.8 | 122,164 | 8,581 | |||||||||
Consolidated Edison | 1.3 | 165,942 | 13,388 | |||||||||
Edison International | 0.9 | 125,527 | 9,687 | |||||||||
Entergy | 0.8 | 113,176 | 8,642 | |||||||||
Eversource Energy | 0.6 | 113,570 | 6,864 | |||||||||
PG&E | 0.9 | 133,963 | 9,121 | |||||||||
Public Service Enterprise Group | 0.8 | 194,029 | 8,974 | |||||||||
Southern | 0.6 | 138,614 | 6,811 | |||||||||
WEC Energy Group | 0.7 | 119,032 | 7,473 |
88 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (continued) |
| |||||||||||
Other Securities | 3.9% | $ | 40,008 | |||||||||
|
|
| ||||||||||
119,549 | ||||||||||||
|
|
| ||||||||||
Total Common Stock |
| 1,031,520 | ||||||||||
|
|
| ||||||||||
RIGHTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | 91 | ||||||||||
|
|
| ||||||||||
Total Rights |
| 91 | ||||||||||
|
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
CASH EQUIVALENT — 2.1% |
| |||||||||||
SEI Daily Income Trust, | 2.1 | % | 22,607,229 | $ | 22,607 | |||||||
|
|
| ||||||||||
Total Cash Equivalent |
| 22,607 | ||||||||||
|
|
| ||||||||||
Total Investments in Securities — 99.8% |
| $ | 1,054,218 | |||||||||
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||
S&P 500 Index E-MINI | 81 | Dec-2017 | $9,967 | $10,190 | $223 | |||||||||||||||
|
|
Percentages are based on a Net Assets of $1,055,815 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
Cl — Class
S&P — Standard & Poors
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the level of inputs used as of September 30, 2017, 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 | $ | 1,031,520 | $ | – | $ | – | $ | 1,031,520 | ||||||||
Rights | – | 91 | – | 91 | ||||||||||||
Cash Equivalent | 22,607 | – | – | 22,607 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities | $ | 1,054,127 | $ | 91 | $ | – | $ | 1,054,218 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 223 | $ | — | $ | — | $ | 223 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Other Financial Instruments | $ | 223 | $ | — | $ | — | $ | 223 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* Futures contracts are valued at unrealized appreciation on the instrument.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 either $0 or have been rounded to $0.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | $34,072 | $176,900 | $ | (188,365) | $– | $– | $22,607 | $124 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 89 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Managed International Managed Volatility Fund
†Percentages are based on total investments.
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 93.9% |
| |||||||||||
Australia — 6.1% |
| |||||||||||
AGL Energy | 1.1 | % | 213,908 | $ | 3,923 | |||||||
ASX | 0.5 | 44,853 | 1,845 | |||||||||
South32 | 0.5 | 667,586 | 1,713 | |||||||||
Telstra, Cl B | 0.5 | 698,709 | 1,913 | |||||||||
Wesfarmers | 0.5 | 50,650 | 1,643 | |||||||||
Other Securities ‡ | 3.0 | 10,344 | ||||||||||
|
|
| ||||||||||
21,381 | ||||||||||||
|
|
| ||||||||||
Austria — 1.6% | ||||||||||||
Other Securities | 1.6 | 5,448 | ||||||||||
|
|
| ||||||||||
Belgium — 1.3% | ||||||||||||
Other Securities | 1.3 | 4,593 | ||||||||||
|
|
| ||||||||||
Canada — 2.0% |
| |||||||||||
TELUS | 0.7 | 65,261 | 2,342 | |||||||||
Toronto-Dominion Bank | 0.8 | 48,192 | 2,707 | |||||||||
Other Securities | 0.5 | 1,933 | ||||||||||
|
|
| ||||||||||
6,982 | ||||||||||||
|
|
| ||||||||||
Denmark — 2.3% | ||||||||||||
Danske Bank | 0.7 | 64,629 | 2,585 | |||||||||
Other Securities | 1.6 | 5,621 | ||||||||||
|
|
| ||||||||||
8,206 | ||||||||||||
|
|
| ||||||||||
Finland — 1.0% | ||||||||||||
Other Securities | 1.0 | 3,605 | ||||||||||
|
|
| ||||||||||
France — 5.6% | ||||||||||||
Atos | 0.6 | 12,547 | 1,947 | |||||||||
Sanofi | 1.5 | 53,623 | 5,326 | |||||||||
TOTAL | 0.5 | 32,778 | 1,761 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (continued) |
| |||||||||||
France (continued) |
| |||||||||||
Other Securities | 3.0 | % | $ | 10,582 | ||||||||
|
|
| ||||||||||
19,616 | ||||||||||||
|
|
| ||||||||||
Germany — 6.1% | ||||||||||||
Muenchener Rueckversicherungs- Gesellschaft in Muenchen | 0.8 | 12,362 | 2,644 | |||||||||
Siemens | 0.6 | 14,297 | 2,015 | |||||||||
Other Securities (A) | 4.7 | 16,795 | ||||||||||
|
|
| ||||||||||
21,454 | ||||||||||||
|
|
| ||||||||||
Hong Kong — 5.6% | ||||||||||||
CLP Holdings, Cl B | 0.9 | 319,000 | 3,269 | |||||||||
Kerry Properties | 0.6 | 480,000 | 1,988 | |||||||||
WH Group (A) | 0.9 | 2,963,500 | 3,149 | |||||||||
Other Securities ‡(A) | 3.2 | 11,270 | ||||||||||
|
|
| ||||||||||
19,676 | ||||||||||||
|
|
| ||||||||||
Ireland — 0.4% | ||||||||||||
Other Securities ‡ | 0.4 | 1,262 | ||||||||||
|
|
| ||||||||||
Israel — 1.6% | ||||||||||||
Bank Hapoalim | 0.8 | 381,085 | 2,669 | |||||||||
Other Securities | 0.8 | 2,943 | ||||||||||
|
|
| ||||||||||
5,612 | ||||||||||||
|
|
| ||||||||||
Italy — 0.8% |
| |||||||||||
Other Securities | 0.8 | 2,653 | ||||||||||
|
|
| ||||||||||
Japan — 20.3% | ||||||||||||
Asahi Kasei | 0.7 | 187,000 | 2,301 | |||||||||
Astellas Pharma | 0.6 | 171,100 | 2,176 | |||||||||
Canon | 0.5 | 55,500 | 1,896 | |||||||||
KDDI | 0.6 | 77,400 | 2,040 | |||||||||
McDonald’s Holdings Japan | 0.5 | 42,500 | 1,880 | |||||||||
Mitsubishi Tanabe Pharma | 1.1 | 163,100 | 3,738 | |||||||||
Nippon Telegraph & Telephone | 1.1 | 81,800 | 3,748 | |||||||||
Nissan Motor | 0.6 | 200,300 | 1,983 | |||||||||
NTT DOCOMO | 0.6 | 85,800 | 1,959 | |||||||||
Osaka Gas | 0.5 | 95,200 | 1,769 | |||||||||
Other Securities ‡ | 13.5 | 47,688 | ||||||||||
|
|
| ||||||||||
71,178 | ||||||||||||
|
|
| ||||||||||
Jersey — 0.1% | ||||||||||||
Other Securities | 0.1 | 336 | ||||||||||
|
|
| ||||||||||
Luxembourg — 0.7% | ||||||||||||
Other Securities | 0.7 | 2,261 | ||||||||||
|
|
| ||||||||||
Netherlands — 2.0% |
| |||||||||||
NN Group | 0.7 | 61,181 | 2,561 |
90 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (continued) |
| |||||||||||
Netherlands (continued) |
| |||||||||||
Other Securities (A) | 1.3 | % | $ | 4,247 | ||||||||
|
|
| ||||||||||
6,808 | ||||||||||||
|
|
| ||||||||||
New Zealand — 1.6% | ||||||||||||
Other Securities | 1.6 | 5,730 | ||||||||||
|
|
| ||||||||||
Norway — 1.3% | ||||||||||||
Other Securities | 1.3 | 4,692 | ||||||||||
|
|
| ||||||||||
Portugal — 0.3% | ||||||||||||
Other Securities | 0.3 | 1,057 | ||||||||||
|
|
| ||||||||||
Singapore — 4.5% | ||||||||||||
DBS Group Holdings | 1.0 | 223,200 | 3,422 | |||||||||
Other Securities ‡ | 3.5 | 12,357 | ||||||||||
|
|
| ||||||||||
15,779 | ||||||||||||
|
|
| ||||||||||
Spain — 2.1% | ||||||||||||
Endesa | 0.6 | 96,739 | 2,182 | |||||||||
Iberdrola | 0.6 | 244,197 | 1,897 | |||||||||
Other Securities | 0.9 | 3,408 | ||||||||||
|
|
| ||||||||||
7,487 | ||||||||||||
|
|
| ||||||||||
Sweden — 2.3% | ||||||||||||
Other Securities (A) | 2.3 | 8,096 | ||||||||||
|
|
| ||||||||||
Switzerland — 11.8% | ||||||||||||
Kuehne & Nagel International | 0.9 | 16,601 | 3,076 | |||||||||
Nestle | 0.8 | 31,510 | 2,641 | |||||||||
Novartis | 1.0 | 40,191 | 3,443 | |||||||||
Roche Holding | 1.9 | 26,028 | 6,650 | |||||||||
Schindler Holding | 0.5 | 7,369 | 1,629 | |||||||||
Sonova Holding | 0.6 | 13,289 | 2,257 | |||||||||
Swiss Life Holding | 1.1 | 10,672 | 3,762 | |||||||||
Swiss Prime Site | 0.6 | 25,135 | 2,261 | |||||||||
Swiss Re | 1.0 | 37,429 | 3,393 | |||||||||
Swisscom | 0.7 | 4,862 | 2,493 | |||||||||
Zurich Insurance Group | 0.7 | 7,712 | 2,355 | |||||||||
Other Securities | 2.0 | 7,200 | ||||||||||
|
|
| ||||||||||
41,160 | ||||||||||||
|
|
| ||||||||||
United Kingdom — 11.8% |
| |||||||||||
BAE Systems | 1.0 | 404,324 | 3,426 | |||||||||
BP | 0.5 | 267,986 | 1,716 | |||||||||
Carnival | 0.8 | 42,963 | 2,734 | |||||||||
GlaxoSmithKline | 1.3 | 222,293 | 4,439 | |||||||||
HSBC Holdings | 0.5 | 186,206 | 1,842 | |||||||||
Imperial Brands | 0.6 | 44,720 | 1,910 | |||||||||
Rio Tinto | 0.5 | 32,457 | 1,694 | |||||||||
SSE | 0.9 | 169,314 | 3,173 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (continued) |
| |||||||||||
United Kingdom (continued) |
| |||||||||||
Other Securities ‡ | 5.7 | % | $ | 20,193 | ||||||||
|
|
| ||||||||||
41,127 | ||||||||||||
|
|
| ||||||||||
United States — 0.7% |
| |||||||||||
Other Securities | 0.7 | 2,383 | ||||||||||
|
|
| ||||||||||
Total Common Stock |
| 328,582 | ||||||||||
|
|
| ||||||||||
PREFERRED STOCK — 0.3% |
| |||||||||||
Germany — 0.3% | ||||||||||||
Other Securities | 0.3 | 922 | ||||||||||
|
|
| ||||||||||
Total Preferred Stock |
| 922 | ||||||||||
|
|
| ||||||||||
RIGHTS — 0.0% | ||||||||||||
Singapore — 0.0% | ||||||||||||
Other Securities | 0.0 | 34 | ||||||||||
|
|
| ||||||||||
Total Rights |
| 34 | ||||||||||
|
|
| ||||||||||
Shares | ||||||||||||
|
|
| ||||||||||
CASH EQUIVALENT — 4.3% |
| |||||||||||
SEI Daily Income Trust, Government Fund, Cl F | 4.3 | 15,270,354 | 15,270 | |||||||||
|
|
| ||||||||||
Total Cash Equivalent |
| 15,270 | ||||||||||
|
|
| ||||||||||
Total Investments in Securities — 98.5% |
| $ | 344,808 | |||||||||
|
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 91 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Managed International Managed Volatility Fund (Concluded)
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
| ||||||||||||||||||||
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||
| ||||||||||||||||||||
DJ Euro Stoxx 50 Index | 104 | Dec-2017 | $4,348 | $4,397 | $101 | |||||||||||||||
FTSE 100 Index | 24 | Dec-2017 | 2,339 | 2,360 | (5 | ) | ||||||||||||||
Hang Seng Index | 2 | Oct-2017 | 350 | 352 | 2 | |||||||||||||||
SPI 200 Index | 10 | Dec-2017 | 1,130 | 1,112 | (6 | ) | ||||||||||||||
TOPIX Index | 19 | Dec-2017 | 2,772 | 2,827 | 118 | |||||||||||||||
$10,939 | $11,048 | $210 | ||||||||||||||||||
Percentages are based on a Net Assets of $350,002 ($ Thousands).
** | The rate reported is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2017, the value of these securities amounted to $6,697 ($ Thousands), representing 1.9% of the Net Assets of the Fund. |
Cl — Class
DJ — Dow Jones
FTSE— Financial Times and Stock Exchange
SPI — Share Price Index
TOPIX — Tokyo Price Index
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the level of inputs used as of September 30, 2017, 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 | $ | 327,837 | $ | 745 | $ | – | $ | 328,582 | ||||||||
Preferred Stock | 922 | – | – | 922 | ||||||||||||
Rights | – | 34 | – | 34 | ||||||||||||
Cash Equivalent | 15,270 | – | – | 15,270 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities | $ | 344,029 | $ | 779 | $ | – | $ | 344,808 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 221 | $ | — | $ | — | $ | 221 | ||||||||
Unrealized Depreciation | (11 | ) | — | — | (11 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Other Financial Instruments | $ | 210 | $ | — | $ | — | $ | 210 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation (depreciation) on the instrument. |
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 either $0 or have been rounded to $0.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | $– | $299,290 | $(284,020 | ) | $– | $– | $15,270 | $50 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
92 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Real Estate Fund
†Percentages are based on total investments.
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.1% |
| |||||||
Consumer Discretionary — 0.8% |
| |||||||
Hilton Worldwide Holdings | 20,070 | $ | 1,394 | |||||
|
|
| ||||||
Real Estate — 96.3% | ||||||||
Alexandria Real Estate Equities ‡ | 36,805 | 4,379 | ||||||
American Homes 4 Rent, Cl A ‡ | 132,535 | 2,877 | ||||||
Apartment Investment & Management, Cl A ‡ | 73,690 | 3,232 | ||||||
AvalonBay Communities ‡ | 47,656 | 8,503 | ||||||
Boston Properties ‡ | 43,170 | 5,305 | ||||||
Camden Property Trust ‡ | 13,890 | 1,270 | ||||||
Chesapeake Lodging Trust ‡ | 31,540 | 851 | ||||||
Columbia Property Trust ‡ | 37,230 | 811 | ||||||
CoreSite Realty ‡ | 15,350 | 1,718 | ||||||
Corporate Office Properties Trust ‡ | 14,850 | 488 | ||||||
CubeSmart ‡ | 203,345 | 5,279 | ||||||
CyrusOne ‡ | 45,195 | 2,663 | ||||||
DDR ‡ | 230,175 | 2,108 | ||||||
Digital Realty Trust, Cl A ‡ | 15,790 | 1,868 | ||||||
Douglas Emmett ‡ | 99,890 | 3,938 | ||||||
Duke Realty ‡ | 69,604 | 2,006 | ||||||
Education Realty Trust ‡ | 4,972 | 179 | ||||||
Equinix ‡ | 21,640 | 9,658 | ||||||
Equity Residential ‡ | 55,000 | 3,626 | ||||||
Essex Property Trust ‡ | 17,874 | 4,541 | ||||||
Extra Space Storage ‡ | 27,450 | 2,194 | ||||||
Federal Realty Investment Trust ‡ | 16,300 | 2,025 | ||||||
First Industrial Realty Trust ‡ | 18,190 | 547 | ||||||
GGP ‡ | 86,810 | 1,803 | ||||||
HCP ‡ | 175,780 | 4,892 | ||||||
Healthcare Trust of America, Cl A ‡ | 73,950 | 2,204 | ||||||
Highwoods Properties ‡ | 38,710 | 2,016 | ||||||
Host Hotels & Resorts ‡ | 217,564 | 4,023 | ||||||
Hudson Pacific Properties ‡ | 76,570 | 2,567 | ||||||
JBG SMITH Properties *‡ | 30,530 | 1,044 | ||||||
Kilroy Realty ‡ | 27,240 | 1,937 | ||||||
Kimco Realty ‡ | 102,780 | 2,009 | ||||||
Kite Realty Group Trust ‡ | 62,225 | 1,260 | ||||||
LaSalle Hotel Properties ‡ | 56,975 | 1,653 | ||||||
Liberty Property Trust ‡ | 54,350 | 2,232 | ||||||
Life Storage ‡ | 41,000 | 3,354 | ||||||
Macerich ‡ | 70,879 | 3,896 | ||||||
Mack-Cali Realty ‡ | 49,570 | 1,175 | ||||||
Medical Properties Trust ‡ | 52,240 | 686 | ||||||
Omega Healthcare Investors ‡ | 17,280 | 551 | ||||||
Park Hotels & Resorts ‡ | 18,776 | 517 | ||||||
Pebblebrook Hotel Trust ‡ | 27,950 | 1,010 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
ProLogis ‡ | 166,757 | $ | 10,582 | |||||
PS Business Parks ‡ | 2,820 | 377 | ||||||
Public Storage ‡ | 25,016 | 5,353 | ||||||
Regency Centers ‡ | 55,163 | 3,422 | ||||||
Senior Housing Properties Trust ‡ | 58,516 | 1,144 | ||||||
Simon Property Group ‡ | 79,324 | 12,772 | ||||||
STAG Industrial ‡ | 33,260 | 914 | ||||||
Starwood Waypoint Homes ‡ | 62,900 | 2,288 | ||||||
Sun Communities ‡ | 13,710 | 1,175 | ||||||
Sunstone Hotel Investors ‡ | 49,680 | 798 | ||||||
Taubman Centers ‡ | 18,550 | 922 | ||||||
UDR ‡ | 107,715 | 4,096 | ||||||
Urban Edge Properties ‡ | 26,164 | 631 | ||||||
Ventas ‡ | 31,300 | 2,039 | ||||||
Vornado Realty Trust ‡ | 52,145 | 4,009 | ||||||
Washington ‡ | 12,390 | 406 | ||||||
Weingarten Realty Investors ‡ | 119,527 | 3,794 | ||||||
Welltower ‡ | 73,353 | 5,155 | ||||||
|
| |||||||
168,772 | ||||||||
|
| |||||||
Total Common Stock |
| 170,166 | ||||||
|
| |||||||
CASH EQUIVALENT —2.7% |
| |||||||
SEI Daily Income Trust, Government Fund, Cl F 0.840%**† | 4,717,606 | 4,718 | ||||||
|
| |||||||
Total Cash Equivalent |
| 4,718 | ||||||
|
| |||||||
Total Investments in Securities— 99.8% |
| $ | 174,884 | |||||
|
|
Percentages are based on Net Assets of $175,298 ($ Thousands). |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
Cl — Class
L.P. — Limited Partnership
As of September 30, 2017, all of the Fund’s investments were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 $0.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 93 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Real Estate Fund (Concluded)
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
| ||||||||||||||||||||||||||||
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
| ||||||||||||||||||||||||||||
SEI Liquidity Fund, L.P. | $1,024 | $2,560 | $(3,584 | ) | $— | $— | $— | $1 | ||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 7,522 | 75,421 | (78,225 | ) | — | — | 4,718 | 20 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
Totals | $8,546 | $77,981 | $(81,809 | ) | $— | $— | $4,718 | $21 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
94 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Enhanced Income Fund
†Percentages are based on total investments.
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
CORPORATE OBLIGATIONS — 40.1% |
| |||||||
Consumer Discretionary — 4.7% |
| |||||||
American Honda Finance MTN | ||||||||
1.700%, 02/22/2019 | $ | 250 | $ | 250 | ||||
AutoZone | ||||||||
1.625%, 04/21/2019 | 70 | 70 | ||||||
Daimler Finance North America LLC | ||||||||
1.650%, 05/18/2018 (A) | 300 | 300 | ||||||
1.500%, 07/05/2019 (A) | 285 | 283 | ||||||
Discovery Communications | ||||||||
2.200%, 09/20/2019 | 50 | 50 | ||||||
Ford Motor Credit LLC | ||||||||
2.140%, VAR ICE LIBOR USD 3 Month+0.830%, 03/12/2019 | 200 | 201 | ||||||
1.897%, 08/12/2019 | 350 | 348 | ||||||
General Motors Financial | ||||||||
2.400%, 04/10/2018 | 200 | 200 | ||||||
2.234%, VAR ICE LIBOR USD 3 Month+0.930%, 04/13/2020 | 150 | 151 | ||||||
Hyundai Capital America MTN | ||||||||
2.000%, 07/01/2019 (A) | 300 | 298 | ||||||
NBCUniversal Enterprise | ||||||||
1.989%, VAR ICE LIBOR USD 3 Month+0.685%, 04/15/2018 (A) | 300 | 301 | ||||||
Nissan Motor Acceptance MTN | ||||||||
2.194%, VAR ICE LIBOR USD 3 Month+0.890%, 01/13/2022 (A) | 200 | 201 | ||||||
Sinclair Television Group | ||||||||
5.625%, 08/01/2024 (A) | 200 | 205 | ||||||
Sirius XM Radio | ||||||||
5.375%, 04/15/2025 (A) | 200 | 211 |
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Six Flags Entertainment |
| |||||||
4.875%, 07/31/2024 (A) | $ | 225 | $ | 229 | ||||
Volkswagen Group of America Finance | ||||||||
1.785%, VAR ICE LIBOR USD 3 Month+0.470%, 05/22/2018 (A) | 300 | 300 | ||||||
|
| |||||||
3,598 | ||||||||
|
| |||||||
Consumer Staples — 3.7% | ||||||||
Anheuser-Busch InBev Finance | ||||||||
1.900%, 02/01/2019 | 320 | 321 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
2.001%, VAR ICE LIBOR USD 3 Month+0.690%, 08/01/2018 | 250 | 251 | ||||||
CVS Health | ||||||||
1.900%, 07/20/2018 | 350 | 351 | ||||||
JM Smucker | ||||||||
1.750%, 03/15/2018 | 180 | 180 | ||||||
Kraft Heinz Foods | ||||||||
2.129%, VAR ICE LIBOR USD 3 Month+0.820%, 08/10/2022 | 125 | 125 | ||||||
Kroger | ||||||||
2.000%, 01/15/2019 | 220 | 220 | ||||||
Kroger MTN | ||||||||
1.500%, 09/30/2019 | 285 | 282 | ||||||
Molson Coors Brewing | ||||||||
1.450%, 07/15/2019 | 140 | 138 | ||||||
Mondelez International | ||||||||
1.831%, VAR ICE LIBOR USD 3 Month+0.520%, 02/01/2019 | 225 | 225 | ||||||
Reckitt Benckiser Treasury Services | ||||||||
1.888%, VAR ICE LIBOR USD 3 Month+0.560%, 06/24/2022 (A) | 200 | 201 | ||||||
Reynolds American | ||||||||
2.300%, 06/12/2018 | 245 | 246 | ||||||
Skandinaviska Enskilda Banken | ||||||||
1.887%, VAR ICE LIBOR USD 3 Month+0.570%, 09/13/2019 (A) | 300 | 302 | ||||||
|
| |||||||
2,842 | ||||||||
|
| |||||||
Energy — 2.6% | ||||||||
Anadarko Petroleum | ||||||||
6.950%, 06/15/2019 | 235 | 253 | ||||||
Blue Racer Midstream | ||||||||
6.125%, 11/15/2022 (A) | 250 | 260 | ||||||
BP Capital Markets PLC | ||||||||
1.959%, VAR ICE LIBOR USD 3 Month+0.630%, 09/26/2018 | 250 | 251 | ||||||
Energy Transfer Partners | ||||||||
2.500%, 06/15/2018 | 350 | 351 | ||||||
Enterprise Products Operating | ||||||||
6.650%, 04/15/2018 | 250 | 257 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 95 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Enhanced Income Fund (Continued)
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Kinder Morgan | ||||||||
2.000%, 12/01/2017 | $ | 270 | $ | 270 | ||||
Phillips 66 | ||||||||
2.054%, VAR ICE LIBOR USD 3 Month+0.750%, 04/15/2020 (A) | 125 | 125 | ||||||
Texas Energy (Escrow Security) | ||||||||
3.720%, 12/31/2034 | 4 | 1 | ||||||
Total Capital International | ||||||||
1.839%, VAR ICE LIBOR USD 3 Month+0.570%, 08/10/2018 | 225 | 226 | ||||||
|
| |||||||
1,994 | ||||||||
|
| |||||||
Financials — 17.7% | ||||||||
ABN AMRO Bank | ||||||||
1.944%, VAR ICE LIBOR USD 3 Month+0.640%, 01/18/2019 (A) | 300 | 301 | ||||||
AIG Global Funding | ||||||||
1.815%, VAR ICE LIBOR USD 3 Month+0.480%, 07/02/2020 (A) | 250 | 250 | ||||||
Bank of America MTN | ||||||||
5.650%, 05/01/2018 | 110 | 113 | ||||||
2.467%, VAR ICE LIBOR USD 3 Month+1.160%, 01/20/2023 | 150 | 152 | ||||||
1.971%, VAR ICE LIBOR USD 3 Month+0.650%, 10/01/2021 | 225 | 226 | ||||||
Bank of Montreal MTN | ||||||||
1.910%, VAR ICE LIBOR USD 3 Month+0.600%, 12/12/2019 | 350 | 353 | ||||||
Bank of Nova Scotia | ||||||||
1.650%, 06/14/2019 | 200 | 199 | ||||||
Barclays Bank PLC MTN | ||||||||
6.050%, 12/04/2017 (A) | 150 | 151 | ||||||
BB&T MTN | ||||||||
1.971%, VAR ICE LIBOR USD 3 Month+0.660%, 02/01/2019 | 325 | 327 | ||||||
BPCE MTN | ||||||||
2.535%, VAR ICE LIBOR USD 3 Month+1.220%, 05/22/2022 (A) | 250 | 253 | ||||||
Branch Banking & Trust | ||||||||
1.450%, 05/10/2019 | 260 | 259 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
2.041%, VAR ICE LIBOR USD 3 Month+0.720%, 06/16/2022 | 275 | 276 | ||||||
Capital One | ||||||||
2.461%, VAR ICE LIBOR USD 3 Month+1.150%, 01/30/2023 | 250 | 251 | ||||||
Citibank | ||||||||
1.810%, VAR ICE LIBOR USD 3 Month+0.500%, 06/12/2020 | 250 | 251 | ||||||
Citigroup | ||||||||
1.867%, VAR ICE LIBOR USD 3 Month+0.550%, 08/25/2036 | 500 | 416 |
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Citizens Bank | ||||||||
2.127%, VAR ICE LIBOR USD 3 Month+0.810%, 05/26/2022 | $ | 275 | $ | 274 | ||||
Cooperatieve Rabobank UA | ||||||||
2.134%, VAR ICE LIBOR USD 3 Month+0.830%, 01/10/2022 | 300 | 303 | ||||||
Credit Agricole MTN | ||||||||
2.287%, VAR ICE LIBOR USD 3 Month+0.970%, 06/10/2020 (A) | 250 | 254 | ||||||
Credit Suisse NY | ||||||||
1.700%, 04/27/2018 | 250 | 250 | ||||||
Danske Bank | ||||||||
1.896%, VAR ICE LIBOR USD 3 Month+0.580%, 09/06/2019 (A) | 200 | 201 | ||||||
Deutsche Bank | ||||||||
1.989%, VAR ICE LIBOR USD 3 Month+0.680%, 02/13/2018 | 240 | 240 | ||||||
Fifth Third Bank MTN | ||||||||
2.226%, VAR ICE LIBOR USD 3 Month+0.910%, 08/20/2018 | 250 | 252 | ||||||
Goldman Sachs Group | ||||||||
2.485%, VAR ICE LIBOR USD 3 Month+1.170%, 11/15/2021 | 275 | 279 | ||||||
2.424%, VAR ICE LIBOR USD 3 Month+1.110%, 04/26/2022 | 250 | 253 | ||||||
HSBC Bank PLC | ||||||||
1.955%, VAR ICE LIBOR USD 3 Month+0.640%, 05/15/2018 (A) | 300 | 301 | ||||||
Huntington National Bank | ||||||||
1.827%, VAR ICE LIBOR USD 3 Month+0.510%, 03/10/2020 | 250 | 252 | ||||||
ING Bank | ||||||||
1.989%, VAR ICE LIBOR USD 3 Month+0.690%, 10/01/2019 (A) | 200 | 201 | ||||||
Jackson National Life Global Funding | ||||||||
2.060%, VAR ICE LIBOR USD 3 Month+0.730%, 06/27/2022 (A) | 125 | 126 | ||||||
1.875%, 10/15/2018 (A) | 200 | 200 | ||||||
JPMorgan Chase | ||||||||
1.944%, VAR ICE LIBOR USD 3 | ||||||||
Month+0.630%, 01/28/2019 | 300 | 302 | ||||||
KeyBank | ||||||||
2.350%, 03/08/2019 | 250 | 252 | ||||||
Manufacturers & Traders Trust | ||||||||
1.927%, VAR ICE LIBOR USD 3 Month+0.610%, 05/18/2022 | 250 | 251 | ||||||
Metropolitan Life Global Funding I | ||||||||
1.754%, VAR ICE LIBOR USD 3 Month+0.430%, 12/19/2018 (A) | 300 | 301 | ||||||
1.659%, VAR ICE LIBOR USD 3 Month+0.340%, 09/14/2018 (A) | 200 | 201 |
96 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Morgan Stanley | ||||||||
2.487%, VAR ICE LIBOR USD 3 Month+1.180%, 01/20/2022 | $ | 175 | $ | 177 | ||||
2.163%, VAR ICE LIBOR USD 3 Month+0.850%, 01/24/2019 | 225 | 227 | ||||||
National Bank of Canada MTN | ||||||||
1.870%, VAR ICE LIBOR USD 3 Month+0.560%, 06/12/2020 | 250 | 251 | ||||||
Nordea Bank MTN | ||||||||
1.953%, VAR ICE LIBOR USD 3 Month+0.620%, 09/30/2019 (A) | 200 | 202 | ||||||
PNC Bank | ||||||||
1.717%, VAR ICE LIBOR USD 3 Month+0.400%, 12/07/2018 | 350 | 351 | ||||||
Principal Life Global Funding II MTN | ||||||||
1.500%, 04/18/2019 (A) | 250 | 248 | ||||||
Protective Life Global Funding | ||||||||
1.722%, 04/15/2019 (A) | 235 | 234 | ||||||
Prudential Financial MTN | ||||||||
2.095%, VAR ICE LIBOR USD 3 Month+0.780%, 08/15/2018 | 250 | 251 | ||||||
Royal Bank of Canada MTN | ||||||||
2.017%, VAR ICE LIBOR USD 3 Month+0.700%, 12/10/2018 | 200 | 201 | ||||||
1.754%, VAR ICE LIBOR USD 3 Month+0.450%, 01/10/2019 | 200 | 201 | ||||||
Santander UK MTN | ||||||||
2.167%, VAR ICE LIBOR USD 3 Month+0.850%, 08/24/2018 | 300 | 302 | ||||||
Societe Generale MTN | ||||||||
2.379%, VAR ICE LIBOR USD 3 Month+1.080%, 10/01/2018 | 300 | 303 | ||||||
Standard Chartered MTN | ||||||||
1.944%, VAR ICE LIBOR USD 3 Month+0.640%, 04/17/2018 (A) | 200 | 200 | ||||||
State Street | ||||||||
2.320%, VAR ICE LIBOR USD 3 Month+1.000%, 06/15/2037 | 375 | 342 | ||||||
Sumitomo Mitsui Banking | ||||||||
1.845%, VAR ICE LIBOR USD 3 Month+0.540%, 01/11/2019 | 250 | 251 | ||||||
SunTrust Bank | ||||||||
1.841%, VAR ICE LIBOR USD 3 Month+0.530%, 01/31/2020 | 250 | 251 | ||||||
Synchrony Financial | ||||||||
2.541%, VAR ICE LIBOR USD 3 Month+1.230%, 02/03/2020 | 200 | 202 | ||||||
Toronto-Dominion Bank MTN | ||||||||
1.450%, 08/13/2019 | 200 | 199 | ||||||
UBS MTN | ||||||||
1.949%, VAR ICE LIBOR USD 3 Month+0.640%, 08/14/2019 | 250 | 252 |
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Wells Fargo | ||||||||
2.423%, VAR ICE LIBOR USD 3 Month+1.110%, 01/24/2023 | $ | 150 | $ | 153 | ||||
Wells Fargo MTN | ||||||||
1.991%, VAR ICE LIBOR USD 3 Month+0.680%, 01/30/2020 | 250 | 253 | ||||||
|
| |||||||
13,522 | ||||||||
|
| |||||||
Health Care — 2.7% |
| |||||||
Aetna | ||||||||
1.700%, 06/07/2018 | 350 | 350 | ||||||
Allergan Funding SCS | ||||||||
2.390%, VAR ICE LIBOR USD 3 Month+1.080%, 03/12/2018 | 300 | 301 | ||||||
Amgen | ||||||||
1.759%, VAR ICE LIBOR USD 3 Month+0.450%, 05/11/2020 | 150 | 151 | ||||||
Baxalta | ||||||||
2.103%, VAR ICE LIBOR USD 3 Month+0.780%, 06/22/2018 | 250 | 251 | ||||||
Cardinal Health | ||||||||
2.090%, VAR ICE LIBOR USD 3 Month+0.770%, 06/15/2022 | 275 | 276 | ||||||
Celgene | ||||||||
2.125%, 08/15/2018 | 275 | 276 | ||||||
DaVita | ||||||||
5.000%, 05/01/2025 | 142 | 140 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | ||||||||
1.400%, 07/20/2018 | 325 | 324 | ||||||
|
| |||||||
2,069 | ||||||||
|
| |||||||
Industrials — 3.2% |
| |||||||
Air Lease | ||||||||
2.125%, 01/15/2020 | 250 | 249 | ||||||
Catholic Health Initiatives | ||||||||
2.600%, 08/01/2018 | 305 | 307 | ||||||
Fortive | ||||||||
1.800%, 06/15/2019 | 315 | 315 | ||||||
Hutchison Whampoa International 14 | ||||||||
1.625%, 10/31/2017 (A) | 250 | 250 | ||||||
ILFC E-Capital Trust I | ||||||||
4.360%, 12/21/2065 (A) | 500 | 475 | ||||||
Nielsen Finance | ||||||||
5.000%, 04/15/2022 (A) | 300 | 311 | ||||||
PACCAR Financial MTN | ||||||||
1.300%, 05/10/2019 | 195 | 194 | ||||||
Sensata Technologies | ||||||||
5.000%, 10/01/2025 (A) | 300 | 316 | ||||||
|
| |||||||
2,417 | ||||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 97 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Enhanced Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Information Technology — 2.3% |
| |||||||
Broadcom | ||||||||
2.375%, 01/15/2020 (A) | $ | 300 | $ | 302 | ||||
Cisco Systems | ||||||||
1.665%, VAR ICE LIBOR USD 3 Month+0.340%, 09/20/2019 | 225 | 226 | ||||||
DXC Technology | ||||||||
2.875%, 03/27/2020 | 105 | 106 | ||||||
eBay | ||||||||
2.181%, VAR ICE LIBOR USD 3 Month+0.870%, 01/30/2023 | 300 | 301 | ||||||
Fidelity National Information Services | ||||||||
2.850%, 10/15/2018 | 250 | 253 | ||||||
Hewlett Packard Enterprise | ||||||||
2.100%, 10/04/2019 (A) | 250 | 250 | ||||||
QUALCOMM | ||||||||
1.766%, VAR ICE LIBOR USD 3 Month+0.450%, 05/20/2020 | 275 | 277 | ||||||
|
| |||||||
1,715 | ||||||||
|
| |||||||
Materials — 0.9% |
| |||||||
Air Liquide Finance | ||||||||
1.375%, 09/27/2019 (A) | 225 | 222 | ||||||
Boart Longyear Management Pty | ||||||||
10.500% cash/0% PIK, 12/31/2022 | 390 | 339 | ||||||
Owens-Brockway Glass Container | ||||||||
5.875%, 08/15/2023 (A) | 121 | 134 | ||||||
|
| |||||||
695 | ||||||||
|
| |||||||
Real Estate — 0.3% |
| |||||||
Equinix | ||||||||
5.750%, 01/01/2025 | 200 | 215 | ||||||
|
| |||||||
Telecommunication Services — 0.7% |
| |||||||
AT&T | ||||||||
2.263%, VAR ICE LIBOR USD 3 Month+0.930%, 06/30/2020 | 300 | 304 | ||||||
Inmarsat Finance | ||||||||
4.875%, 05/15/2022 (A) | 250 | 255 | ||||||
|
| |||||||
559 | ||||||||
|
| |||||||
Utilities — 1.3% |
| |||||||
DTE Energy | ||||||||
1.500%, 10/01/2019 | 260 | 256 | ||||||
Emera US Finance | ||||||||
2.150%, 06/15/2019 | 175 | 175 | ||||||
NextEra Energy Capital Holdings | ||||||||
1.649%, 09/01/2018 | 90 | 90 | ||||||
Sempra Energy | ||||||||
1.625%, 10/07/2019 | 155 | 154�� |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Southern | ||||||||
1.550%, 07/01/2018 | $ | 350 | $ | 350 | ||||
|
| |||||||
1,025 | ||||||||
|
| |||||||
Total Corporate Obligations (Cost $30,576) ($ Thousands) | 30,651 | |||||||
|
| |||||||
LOAN PARTICIPATIONS — 29.6% |
| |||||||
Consumer Discretionary — 3.4% |
| |||||||
CCM Merger, (MotorCity Casino Hotel), Term Loan, 1st Lien | ||||||||
3.989%, VAR LIBOR+2.750%, 08/06/2021 | 142 | 143 | ||||||
Comfort Holding, LLC, Initial Term Loan, 1st Lien | ||||||||
5.981%, VAR LIBOR+4.750%, 02/05/2024 | 119 | 107 | ||||||
Conduent, Term B Loan, 1st Lien | ||||||||
5.235%, VAR LIBOR+4.000%, 12/07/2023 | 107 | 107 | ||||||
Cumulus Media Holdings, Term Loan, 1st Lien | ||||||||
4.490%, VAR LIBOR+3.250%, 12/23/2020 | 54 | 45 | ||||||
ESH Hospitality, Repriced Term Loan, 1st Lien | ||||||||
3.735%, VAR LIBOR+2.500%, 08/30/2023 | 421 | 422 | ||||||
Harland Clarke, Cov-Lite, Term B6 Loan, 1st Lien | ||||||||
6.833%, 02/09/2022 | 57 | 57 | ||||||
Mission Broadcasting, Term B-2 Loan, 1st Lien | ||||||||
3.732%, VAR LIBOR+2.500%, 01/17/2024 | 23 | 23 | ||||||
Mohegan Tribal Gaming Authority, Term B Loan, 1st Lien | ||||||||
5.235%, VAR LIBOR+4.000%, 10/13/2023 | 294 | 297 | ||||||
Nexstar Broadcasting, Term B-2 Loan, 1st Lien | ||||||||
3.737%, VAR LIBOR+2.500%, 01/17/2024 |
| 185 |
|
| 185 |
| ||
Numericable U.S. LLC, USD Term Loan B, 1st Lien | ||||||||
4.061%, VAR LIBOR+2.750%, 07/31/2025 | 155 | 154 | ||||||
Penn National Gaming, Term B Facility Refinancing Loan, 1st Lien | ||||||||
3.735%, VAR LIBOR+2.500%, 01/19/2024 | 40 | 40 |
98 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Scientific Games International, Cov-Lite, Initial Term B-4 Loan, 1st Lien | ||||||||
4.522%, VAR LIBOR+3.250%, 08/14/2024 | $ | 90 | $ | 91 | ||||
Scientific Games International, Initial Term B-4 Loan, 1st Lien | ||||||||
4.485%, VAR LIBOR+3.250%, 08/14/2024 | 25 | 25 | ||||||
Univision Communications, Cov-Lite, 2017 Replacement Repriced Term Loan, 1st Lien | ||||||||
3.985%, VAR LIBOR+2.750%, 03/15/2024 | 228 | 226 | ||||||
WaveDivision Holdings, LLC, Initial Term Loan, 1st Lien | ||||||||
4.030%, VAR LIBOR+2.750%, 10/15/2019 | 397 | 396 | ||||||
WMG Acquisition, Tranche D Term Loan, 1st Lien | ||||||||
3.737%, VAR LIBOR+2.500%, 11/01/2023 | 250 | 250 | ||||||
|
| |||||||
2,568 | ||||||||
|
| |||||||
Consumer Staples — 1.8% |
| |||||||
1011778 BC ULC/New Red Finance (aka Burger King/Tim Hortons), Term Loan B3, 1st Lien | ||||||||
3.583%, VAR LIBOR+2.250%, 02/16/2024 | 25 | 25 | ||||||
3.485%, VAR LIBOR+2.250%, 02/16/2024 | 40 | 40 | ||||||
Albertson’s LLC, 2017-1 Term B-4 Loan, 1st Lien | ||||||||
3.985%, VAR LIBOR+2.750%, 08/25/2021 | 92 | 89 | ||||||
BJ’s Wholesale Club, Tranche B Term Loan, 1st Lien | ||||||||
4.982%, VAR LIBOR+3.750%, 02/03/2024 | 45 | 43 | ||||||
General Nutrition Centers, Initial Term Loan, 1st Lien | ||||||||
3.740%, VAR LIBOR+2.500%, 03/04/2019 | 152 | 145 | ||||||
Harbor Freight Tools USA, Initial Loan (2016), 1st Lien | ||||||||
4.485%, VAR LIBOR+3.250%, 08/18/2023 | 211 | 212 | ||||||
JBS USA Lux S.A. (fka JBS USA, LLC), Initial Term Loan, 1st Lien | ||||||||
3.804%, VAR LIBOR+2.500%, 10/30/2022 | 141 | 139 | ||||||
3.757%, VAR LIBOR+2.500%, 10/30/2022 | — | — |
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Party City, 2016 Replacement Term Loan, 1st Lien | ||||||||
4.340%, VAR LIBOR+3.000%, 08/19/2022 | $ | 4 | $ | 4 | ||||
4.320%, VAR LIBOR+3.000%, 08/19/2022 | 62 | 62 | ||||||
Petco Animal Supplies, Cov-Lite, Term Loan B1, 1st Lien | ||||||||
4.311%, VAR LIBOR+3.000%, 01/26/2023 | 84 | 69 | ||||||
PetSmart, Cov-Lite, Term Loan B, 1st Lien | ||||||||
4.240%, VAR LIBOR+3.000%, 03/11/2022 | 38 | 32 | ||||||
Refresco, Term Loan B, 1st Lien | ||||||||
0.000%, 09/27/2024 (C) | 36 | 36 | ||||||
Seminole Hard Rock Entertainment (Seminole Hard Rock International, LLC), Term Loan, 1st Lien | ||||||||
4.046%, VAR LIBOR+2.750%, 05/14/2020 | 485 | 485 | ||||||
Toys ‘R’ US-Delaware, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
8.740%, VAR LIBOR+7.500%, 01/22/2019 | 16 | 16 | ||||||
|
| |||||||
1,397 | ||||||||
|
| |||||||
Energy — 1.2% |
| |||||||
California Resources, Term Loan, 1st Lien | ||||||||
11.609%, VAR LIBOR+10.375%, 12/31/2021 | 68 | 72 | ||||||
Chief Exploration & Development LLC, Term Loan, 1st Lien | ||||||||
7.959%, VAR LIBOR+6.500%, 05/16/2021 | 460 | 449 | ||||||
Energy Transfer Equity, L.P., Term Loan, 1st Lien | ||||||||
3.981%, VAR LIBOR+2.750%, 02/02/2024 | 250 | 251 | ||||||
FTS International, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
5.985%, VAR LIBOR+4.750%, 04/16/2021 | 205 | 191 | ||||||
|
| |||||||
963 | ||||||||
|
| |||||||
Financials — 2.7% |
| |||||||
Affinion Group, Term Loan, 1st Lien | ||||||||
9.059%, VAR LIBOR+7.750%, 05/10/2022 | 40 | 40 | ||||||
AmWINS Group, Term Loan, 1st Lien | ||||||||
3.989%, VAR LIBOR+2.750%, 01/25/2024 | 92 | 92 | ||||||
3.981%, VAR LIBOR+2.750%, 01/25/2024 | 37 | 37 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 99 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Enhanced Income Fund (Continued)
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Asurion, Term Loan B2, 2nd Lien | ||||||||
7.235%, VAR LIBOR+6.000%, 08/04/2025 | $ | 176 | $ | 179 | ||||
CH Hold, Initial Term Loan, 1st Lien | ||||||||
8.485%, VAR LIBOR+7.250%, 02/03/2025 | 22 | 22 | ||||||
4.235%, VAR LIBOR+3.000%, 02/01/2024 | 35 | 35 | ||||||
Checkout Holding, Term Loan B, 1st Lien | ||||||||
4.735%, VAR LIBOR+3.500%, 04/09/2021 | 141 | 118 | ||||||
Emerald 2 Limited, Facility B1, 1st Lien | ||||||||
5.333%, VAR LIBOR+4.000%, 05/14/2021 | 46 | 46 | ||||||
Hub International Limited, Initial Term Loan, 1st Lien | ||||||||
4.312%, VAR LIBOR+3.000%, 10/02/2020 | 297 | 299 | ||||||
Tempo Acquisition, Cov-Lite, Term Loan B, 1st Lien | ||||||||
4.235%, VAR LIBOR+3.000%, 05/01/2024 | 190 | 190 | ||||||
Trans Union LLC, 2017 Replacement Term B-3 Loan, 1st Lien | ||||||||
3.235%, VAR LIBOR+2.000%, 04/10/2023 | 174 | 174 | ||||||
UPC Financing Partnership , Facility AP Term Loan, 1st Lien | ||||||||
3.984%, VAR LIBOR+2.750%, 04/15/2025 | 360 | 361 | ||||||
York Risk Services Holding (Onex York Finance LP), Term Loan, 1st Lien | ||||||||
4.985%, VAR LIBOR+3.750%, 10/01/2021 | 466 | 458 | ||||||
|
| |||||||
2,051 | ||||||||
|
| |||||||
Health Care — 3.7% |
| |||||||
Acadia Healthcare, Tranche B-1 Term Loan, 1st Lien | ||||||||
3.985%, VAR LIBOR+2.750%, 02/11/2022 | 195 | 196 | ||||||
Acadia Healthcare, Tranche B-2 Term Loan, 1st Lien | ||||||||
3.982%, VAR LIBOR+2.750%, 02/16/2023 | 197 | 198 | ||||||
Auris Luxembourg III SARL, Incremental Facility B7, 1st Lien | ||||||||
4.333%, VAR LIBOR+3.000%, 01/17/2022 | 317 | 318 | ||||||
BPA Laboratories, Initial Term Loan, 2nd Lien | ||||||||
3.811%, 04/29/2020 | 44 | 42 |
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
DJO Finance LLC, Initial Term Loan, 1st Lien | ||||||||
4.487%, VAR LIBOR+3.250%, 06/08/2020 | $ | 115 | $ | 115 | ||||
4.485%, VAR LIBOR+3.250%, 06/08/2020 | 112 | 112 | ||||||
Envision Healthcare (fka Emergency Medical Services Corporation), Initial Term Loan, 2nd Lien | ||||||||
4.240%, VAR LIBOR+3.000%, 12/01/2023 | 238 | 239 | ||||||
Equinox, Cov-Lite, Term Loan, 1st Lien | ||||||||
4.485%, VAR LIBOR+3.250%, 03/08/2024 | 286 | 287 | ||||||
Equinox, Cov-Lite, Term Loan, 2nd Lien | ||||||||
8.235%, VAR LIBOR+7.000%, 09/06/2024 | 75 | 76 | ||||||
Jaguar Holding, 2017 Term Loan, 1st Lien | ||||||||
4.083%, VAR LIBOR+2.750%, 08/18/2022 | 119 | 119 | ||||||
Life Time Fitness, 2017 Refinancing Term Loan, 1st Lien | ||||||||
4.317%, VAR LIBOR+3.000%, 06/10/2022 | 249 | 250 | ||||||
Press Ganey Holdings, Initial Term Loan, 1st Lien | ||||||||
4.485%, VAR LIBOR+3.250%, 10/23/2023 | 298 | 299 | ||||||
Sterigenics-Nordion Holdings, Incremental Term Loan, 1st Lien | ||||||||
4.235%, VAR LIBOR+3.000%, 05/15/2022 | 264 | 264 | ||||||
Team Health Holdings, Initial Term Loan, 1st Lien | ||||||||
3.985%, VAR LIBOR+2.750%, 02/06/2024 | 203 | 199 | ||||||
U.S. Renal Care, Initial Term Loan, 1st Lien | ||||||||
5.583%, VAR LIBOR+4.250%, 12/30/2022 | 51 | 50 | ||||||
Valeant Pharmaceuticals International, Ser F Tranche B Term Loan, 1st Lien | ||||||||
5.990%, VAR LIBOR+4.750%, 04/01/2022 | 48 | 49 | ||||||
|
| |||||||
2,813 | ||||||||
|
| |||||||
Industrials — 3.2% |
| |||||||
Air Medical Group Holdings, Initial Term Loan, 1st Lien | ||||||||
4.485%, VAR LIBOR+3.250%, 04/28/2022 | 216 | 214 | ||||||
A-L Parent LLC, Initial Term Loan, 1st Lien | ||||||||
4.490%, VAR LIBOR+3.250%, 12/01/2023 | 45 | 45 |
100 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Atotech BV, Initial Term B-1 Loan, 1st Lien |
| |||||||
4.333%, VAR LIBOR+3.000%, 01/31/2024 | $ | 69 | $ | 70 | ||||
Clark Equipment, Tranche B Term Loan, 1st Lien | ||||||||
4.083%, VAR LIBOR+2.750%, 05/18/2024 | 50 | 50 | ||||||
Columbus McKinnon, Initial Term Loan, 1st Lien | ||||||||
4.296%, VAR LIBOR+3.000%, 01/31/2024 | 51 | 51 | ||||||
Dex Media, Term Loan, 1st Lien | ||||||||
11.235%, VAR LIBOR+10.000%, 07/29/2021 | 47 | 48 | ||||||
DH Publishing, Term B-5 Loan, 1st Lien | ||||||||
3.731%, VAR LIBOR+2.500%, 08/21/2023 | 193 | 193 | ||||||
Fort Dearborn Holding, Initial Term Loan, 1st Lien | ||||||||
5.299%, VAR LIBOR+4.000%, 10/19/2023 | 37 | 37 | ||||||
5.232%, VAR LIBOR+4.000%, 10/19/2023 | 1 | — | ||||||
Forterra Finance, Cov-Lite, Term Loan B, 1st Lien | ||||||||
4.239%, VAR LIBOR+3.000%, 10/25/2023 | 297 | 251 | ||||||
Garda World, Cov-Lite, Term Loan, 1st Lien | ||||||||
7.250%, 05/24/2024 | — | — | ||||||
5.311%, 05/24/2024 | 99 | 100 | ||||||
Gardner Denver, Cov-Lite, Term Loan B, 1st Lien | ||||||||
4.083%, VAR LIBOR+2.750%, 07/30/2024 | 105 | 105 | ||||||
KEMET Electronics, Initial Term Loan, 1st Lien | ||||||||
7.235%, VAR LIBOR+6.000%, 04/26/2024 | 62 | 62 | ||||||
McGraw-Hill Global Education Holdings, LLC, Term B Loan, 1st Lien | ||||||||
5.235%, VAR LIBOR+4.000%, 05/04/2022 | 99 | 97 | ||||||
Multi-Color, Term Loan B, 1st Lien 0.000%, 09/20/2024 (C) | 54 | 54 | ||||||
Pardus Oil & Gas LLC, Cov-Lite PIK, Initial Term Loan, 2nd Lien | ||||||||
5.000%, 05/13/2022 (B) | 33 | — | ||||||
Pardus Oil and Gas LLC (fka Energy & Exploration Partners, LLC), Tranche A Term Loan, 1st Lien | ||||||||
13.000%, VAR PIK Interest+13.000%, 11/12/2021 (B) | 67 | 6 |
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
RBS Global (Rexnord LLC), Term B Loan Refinancing, 1st Lien | ||||||||
4.080%, VAR LIBOR+2.750%, 08/21/2023 | $ | 112 | $ | 113 | ||||
4.062%, VAR LIBOR+2.750%, 08/21/2023 | 129 | 129 | ||||||
3.987%, VAR LIBOR+2.750%, 08/21/2023 | 9 | 9 | ||||||
3.985%, VAR LIBOR+2.750%, 08/21/2023 | 26 | 26 | ||||||
Sai Global, Term Loan B, 1st Lien | ||||||||
5.833%, 12/08/2023 | 58 | 59 | ||||||
5.796%, 12/08/2023 | 15 | 15 | ||||||
Seadrill Operating LP (Seadrill Partners Finco LLC), Initial Term Loan, 1st Lien | ||||||||
4.333%, VAR LIBOR+3.000%, 02/21/2021 | 79 | 58 | ||||||
Sequa Mezzanine Holdings, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
6.814%, VAR LIBOR+5.500%, 11/28/2021 | 113 | 114 | ||||||
6.758%, VAR LIBOR+5.500%, 11/28/2021 | — | — | ||||||
Sequa Mezzanine Holdings, Cov-Lite, Initial Term Loan, 2nd Lien | ||||||||
10.314%, VAR LIBOR+9.000%, 04/28/2022 | 89 | 91 | ||||||
Terex, Cov-Lite, Incremental U.S. Term Loan, 1st Lien | ||||||||
3.583%, VAR LIBOR+2.250%, 01/31/2024 | 179 | 179 | ||||||
Transdigm, Cov-Lite, Term Loan D, 1st Lien | ||||||||
4.333%, VAR LIBOR+3.000%, 06/04/2021 | 233 | 233 | ||||||
4.235%, VAR LIBOR+3.000%, 06/04/2021 | 15 | 15 | ||||||
Wrangler Buyer, Term Loan B, 1st Lien | ||||||||
4.234%, 09/20/2024 | 41 | 41 | ||||||
2,465 | ||||||||
Information Technology — 4.0% | ||||||||
Applied Systems, Cov-Lite, Term Loan B, 1st Lien | ||||||||
4.574%, 09/19/2024 | 174 | 176 | ||||||
Applied Systems, Initial Term Loan, 2nd Lien | ||||||||
8.324%, 09/19/2025 | 14 | 14 | ||||||
Dell International L.L.C. (EMC), New Term B Loan, 1st Lien | ||||||||
3.740%, VAR LIBOR+2.500%, 09/07/2023 | 181 | 181 | ||||||
Diebold Nixdorf, Term Loan B, 1st Lien | ||||||||
4.000%, VAR LIBOR+2.750%, 11/06/2023 | 40 | 40 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 101 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Enhanced Income Fund (Continued)
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
EIG Investors, Refinancing Loan, 1st Lien | ||||||||
5.318%, VAR LIBOR+4.000%, 02/09/2023 | $ | 357 | $ | 360 | ||||
5.236%, VAR LIBOR+4.000%, 02/09/2023 | 3 | 3 | ||||||
Epicor Software (fka Eagle Parent), Term B Loan, 1st Lien | ||||||||
4.990%, VAR LIBOR+3.750%, 06/01/2022 | 295 | 295 | ||||||
Evergreen Skills Lux SARL, Initial Term Loan, 1st Lien | ||||||||
5.985%, VAR LIBOR+4.750%, 04/28/2021 | 282 | 266 | ||||||
First Data, 2024 New Dollar Term Loan, 1st Lien | ||||||||
3.737%, VAR LIBOR+2.500%, 04/26/2024 | 215 | 215 | ||||||
Go Daddy Operating LLC (GD Finance), Initial Term Loan, 1st Lien | ||||||||
3.735%, VAR LIBOR+2.500%, 02/15/2024 | 245 | 246 | ||||||
GTT Communications, Tranche B Term Loan, 1st Lien | ||||||||
4.500%, VAR LIBOR+3.250%, 01/09/2024 | 77 | 77 | ||||||
Infoblox, Term Loan, 1st Lien | ||||||||
6.235%, VAR LIBOR+5.000%, 11/07/2023 | 177 | 178 | ||||||
Ivanti Software (fka LANDesk Group), Term Loan, 1st Lien | ||||||||
5.490%, VAR LIBOR+4.250%, 01/20/2024 | 63 | 62 | ||||||
Kronos, Incremental Term Loan, 1st Lien | ||||||||
4.812%, VAR LIBOR+3.500%, 11/01/2023 | 102 | 103 | ||||||
Misys Limited, Cov-Lite, Initial Term Loan, 2nd Lien | ||||||||
8.567%, VAR LIBOR+7.250%, 06/13/2025 | 75 | 76 | ||||||
Misys Limited, Dollar Term Loan, 1st Lien | ||||||||
4.817%, VAR LIBOR+3.500%, 06/13/2024 | 154 | 155 | ||||||
Oberthur Technologies Holding SAS (fka OT Frenchco 1 SAS), Facility B1 (USD), 1st Lien | ||||||||
5.083%, VAR LIBOR+3.750%, 01/10/2024 | 72 | 70 | ||||||
ON Semiconductor, Cov-Lite, 2017 New Replacement Term Loan, 1st Lien | ||||||||
3.485%, VAR LIBOR+2.250%, 03/31/2023 | 66 | 66 | ||||||
Optiv, Initial Term Loan, 1st Lien | ||||||||
8.563%, VAR LIBOR+7.250%, 01/31/2025 | 47 | 43 |
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
4.563%, VAR LIBOR+3.250%, 02/01/2024 | $ | 111 | $ | 104 | ||||
Quintiles, Cov-Lite, Term Loan B-2, 1st Lien | ||||||||
3.321%, 01/17/2025 | 51 | 51 | ||||||
Rocket Software, Cov-Lite, Term Loan, 1st Lien | ||||||||
5.546%, VAR LIBOR+4.250%, 10/14/2023 | 71 | 72 | ||||||
Rocket Software, Cov-Lite, Term Loan, 2nd Lien | ||||||||
10.796%, VAR LIBOR+9.500%, 10/14/2024 | 25 | 25 | ||||||
Solera, LLC (Solera Finance), Dollar Term Loan, 1st Lien | ||||||||
4.485%, VAR LIBOR+3.250%, 03/03/2023 | 46 | 46 | ||||||
VF Holding, Term B-1 Loan, 1st Lien | ||||||||
4.485%, 06/30/2023 | 104 | 104 | ||||||
|
| |||||||
3,028 | ||||||||
|
| |||||||
Materials — 5.6% | ||||||||
Berlin Packaging, Cov-Lite, Term Loan B, 1st Lien | ||||||||
4.590%, VAR LIBOR+3.250%, 10/01/2021 | 74 | 74 | ||||||
4.490%, VAR LIBOR+3.250%, 10/01/2021 | 124 | 125 | ||||||
Ceramtec Acquisition, Dollar Term Loan B1, 1st Lien | ||||||||
4.067%, 08/30/2020 | 163 | 164 | ||||||
Ceramtec Acquisition, Dollar Term Loan B3, 1st Lien | ||||||||
4.067%, 08/30/2020 | 49 | 50 | ||||||
Ceramtec Acquisition, Initial Dollar Term Loan B2, 1st Lien | ||||||||
4.067%, 08/30/2020 | 20 | 20 | ||||||
Charter NEX, Initial Term Loan, 1st Lien | ||||||||
4.485%, VAR LIBOR+3.250%, 05/16/2024 | 146 | 146 | ||||||
Constantia Flexibles, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
4.296%, 04/30/2022 | 32 | 32 | ||||||
Constantia Flexibles, Cov-Lite, Term Loan B2A, 1st Lien | ||||||||
4.296%, 04/30/2022 | 164 | 163 | ||||||
Emerald Performance Materials, LLC, Initial Term Loan, 1st Lien | ||||||||
4.735%, VAR LIBOR+3.500%, 07/30/2021 | 98 | 98 | ||||||
Fairmount Minerals, Term Loan B2, 1st Lien | ||||||||
4.735%, VAR LIBOR+3.500%, 09/05/2019 | 239 | 237 |
102 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Flex Acquisition, Initial Term Loan, 1st Lien | ||||||||
5.000%, VAR LIBOR+3.000%, 12/29/2023 | $ | 136 | $ | 136 | ||||
Huntsman International LLC, 2023 Term B Loan, 1st Lien | ||||||||
4.239%, VAR LIBOR+3.000%, 04/01/2023 | 133 | 134 | ||||||
INEOS, Dollar Term Loan, 1st Lien | ||||||||
3.985%, 03/31/2022 | 352 | 354 | ||||||
Jeld-Wen, Cov-Lite, Term Loan B, 1st Lien | ||||||||
4.333%, VAR LIBOR+3.000%, 07/01/2022 | 533 | 537 | ||||||
Kraton Polymers LLC, Cov-Lite, Term Loan, 1st Lien | ||||||||
4.235%, VAR LIBOR+3.000%, 01/06/2022 | 70 | 71 | ||||||
LBM Borrower, LLC, Cov-Lite, Term Loan, 1st Lien | ||||||||
5.735%, 08/20/2022 | 127 | 128 | ||||||
Mueller Water Products, Term Loan B, 1st Lien | ||||||||
3.833%, VAR LIBOR+2.500%, 11/25/2021 | 76 | 77 | ||||||
3.796%, VAR LIBOR+2.500%, 11/25/2021 | 15 | 15 | ||||||
3.739%, VAR LIBOR+2.500%, 11/25/2021 | 4 | 4 | ||||||
Murray Energy, Term B-2 Loan, 1st Lien | ||||||||
8.546%, VAR LIBOR+7.250%, 04/16/2020 | 260 | 237 | ||||||
Peabody Energy, Term Loan, 1st Lien | ||||||||
4.735%, VAR LIBOR+3.500%, 03/31/2022 | 70 | 71 | ||||||
Pike, Initial Term Loan, 1st Lien | ||||||||
4.740%, VAR LIBOR+3.500%, 09/20/2024 | 29 | 29 | ||||||
Pregis Holding I, Term Loan, 1st Lien | ||||||||
4.833%, VAR LIBOR+3.500%, 05/20/2021 | 120 | 120 | ||||||
Reynolds Group Holdings, Cov-Lite, Term Loan, 1st Lien | ||||||||
4.235%, VAR LIBOR+2.750%, 02/05/2023 | 381 | 382 | ||||||
Ring Container Technologies Group, Term Loan, 1st Lien | ||||||||
0.000%, 09/27/2024 (C) | 49 | 49 | ||||||
Royal Adhesives & Sealants, Cov-Lite, Term Loan, 1st Lien | ||||||||
4.583%, 06/20/2022 | 125 | 125 |
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Signode Industrial Group Lux S.A. (Signode Industrial Group US), Initial Term B Loan, 1st Lien | ||||||||
4.083%, VAR LIBOR+2.750%, 05/01/2021 | $ | 99 | $ | 99 | ||||
3.985%, VAR LIBOR+2.750%, 05/01/2021 | 64 | 65 | ||||||
Tricorbraun Holdings, Closing Date Term Loan, 1st Lien | ||||||||
5.046%, 11/30/2023 | 69 | 69 | ||||||
Tronox Finance, Cov-Lite, Term Loan B, 1st Lien | ||||||||
3.000%, 09/23/2024 | 178 | 179 | ||||||
Wilsonart LLC, Tranche D Term Loan, 1st Lien | ||||||||
4.590%, VAR LIBOR+3.250%, 12/19/2023 | 298 | 299 | ||||||
|
| |||||||
4,289 | ||||||||
|
| |||||||
Real Estate — 0.7% | ||||||||
Communications Sales & Leasing, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
4.235%, VAR LIBOR+3.000%, 10/24/2022 | 272 | 251 | ||||||
RE/MAX, LLC (fka RE/MAX International, LLC), Term Loan, 1st Lien | ||||||||
4.046%, VAR LIBOR+2.750%, 12/15/2023 | 254 | 255 | ||||||
|
| |||||||
506 | ||||||||
|
| |||||||
Retailing — 0.1% | ||||||||
Academy Ltd., Cov-Lite, Term Loan B, 1st Lien | ||||||||
5.314%, VAR LIBOR+4.000%, 07/01/2022 | 21 | 14 | ||||||
5.232%, VAR LIBOR+4.000%, 07/01/2022 | 6 | 4 | ||||||
5.235%, VAR LIBOR+4.000%, 07/01/2022 | 61 | 41 | ||||||
5.318%, VAR LIBOR+4.000%, 07/01/2022 | 40 | 27 | ||||||
|
| |||||||
86 | ||||||||
|
| |||||||
Telecommunications — 3.0% | ||||||||
CenturyLink, Cov-Lite, Term Loan B, 1st Lien | ||||||||
2.750%, VAR Ticking Fee+2.750%, |
| |||||||
01/31/2025 | 110 | 107 | ||||||
Digicel, Cov-Lite, Term Loan, 1st Lien | ||||||||
5.070%, VAR LIBOR+3.750%, 05/27/2024 | 100 | 100 | ||||||
DigitalGlobe, Term Loan, 1st Lien | ||||||||
3.985%, VAR LIBOR+2.750%, 01/15/2024 | 199 | 198 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 103 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Enhanced Income Fund (Continued)
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Greeneden U.S. Holdings I, LLC, Tranche B-2 Dollar Term Loan, 1st Lien | ||||||||
5.083%, VAR LIBOR+3.750%, 12/01/2023 | $ | 5 | $ | 5 | ||||
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 1st Lien | ||||||||
4.071%, VAR LIBOR+2.750%, 06/30/2019 | 244 | 243 | ||||||
Level 3 Financing, Cov-Lite, Tranche B 2024 Term Loan B, 1st Lien | ||||||||
3.486%, VAR LIBOR+2.250%, 02/22/2024 | 250 | 250 | ||||||
LTS Buyer LLC (Sidera Networks, Inc.), Term B Loan, 1st Lien | ||||||||
4.546%, VAR LIBOR+3.250%, 04/13/2020 | 276 | 276 | ||||||
MacDonald Dettwiler, Term Loan B, 1st Lien | ||||||||
0.000%, 10/04/2024 (C) | 206 | 206 | ||||||
Masergy Holdings, Term Loan, 1st Lien | ||||||||
5.083%, 12/15/2023 | 59 | 59 | ||||||
Radiate Holdco, LLC, Closing Date Term Loan, 1st Lien | ||||||||
4.235%, VAR LIBOR+3.000%, 02/01/2024 | 120 | 118 | ||||||
Sprint Communications, Initial Term Loan, 1st Lien | ||||||||
3.750%, VAR LIBOR+2.500%, 02/02/2024 | 233 | 233 | ||||||
Syniverse Holdings, Initial Term Loan, 1st Lien | ||||||||
4.311%, VAR LIBOR+3.000%, 04/23/2019 | 15 | 14 | ||||||
Telenet Financing, Term Loan, 1st Lien | ||||||||
3.984%, VAR LIBOR+2.750%, 06/30/2025 | 150 | 150 | ||||||
WideOpenWest Finance, LLC, Eighth Amendment Term B Loan, 1st Lien | ||||||||
4.484%, VAR LIBOR+3.250%, 08/18/2023 | 307 | 306 | ||||||
|
| |||||||
2,265 | ||||||||
|
| |||||||
Utilities — 0.2% | ||||||||
Dynegy, Tranche C-1 Term Loan, 1st Lien | ||||||||
4.485%, VAR LIBOR+3.250%, 02/07/2024 | 85 | 86 | ||||||
Vistra Operations Company LLC (fka Tex Operations Company LLC), 2016 Incremental Term Loan, 1st Lien | ||||||||
3.984%, VAR LIBOR+2.750%, 12/14/2023 | 85 | 86 |
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
3.982%, VAR LIBOR+2.750%, 12/14/2023 | $ | 28 | $ | 28 | ||||
|
| |||||||
200 | ||||||||
|
| |||||||
Total Loan Participations | 22,631 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 16.1% |
| |||||||
Automotive — 6.6% | ||||||||
American Credit Acceptance Receivables Trust, Ser 2017-2, Cl A | ||||||||
1.840%, 07/13/2020 (A) | 208 | 208 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2015-1, Cl A3 | ||||||||
1.260%, 11/08/2019 | 39 | 39 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2016-2, Cl A3 | ||||||||
1.600%, 11/09/2020 | 205 | 205 | ||||||
Americredit Automobile Receivables Trust, Ser 2016-4, Cl A2A | ||||||||
1.340%, 04/08/2020 | 196 | 196 | ||||||
Chrysler Capital Auto Receivables Trust, Ser 2014-AA, Cl A4 | ||||||||
1.310%, 05/15/2019 (A) | 1 | 1 | ||||||
Credit Acceptance Auto Loan Trust, Ser 2017- 2A, Cl A | ||||||||
2.550%, 02/17/2026 (A) | 250 | 250 | ||||||
Enterprise Fleet Financing, Ser 2016-2, Cl A2 | ||||||||
1.740%, 02/22/2022 (A) | 210 | 210 | ||||||
Enterprise Fleet Financing, Ser 2017-2, Cl A2 | ||||||||
1.970%, 01/20/2023 (A) | 100 | 100 | ||||||
First Investors Auto Owner Trust, Ser 2016- 1A, Cl A1 | ||||||||
1.920%, 05/15/2020 (A) | 76 | 76 | ||||||
First Investors Auto Owner Trust, Ser 2017- 2A, Cl A1 | ||||||||
1.860%, 10/15/2021 (A) | 55 | 55 | ||||||
Flagship Credit Auto Trust, Ser 2017-2, Cl A | ||||||||
1.850%, 07/15/2021 (A) | 107 | 107 | ||||||
Flagship Credit Auto Trust, Ser 2017-3, Cl A | ||||||||
1.880%, 10/15/2021 (A) | 146 | 146 | ||||||
Ford Credit Auto Lease Trust, Ser 2015-B,Cl B | ||||||||
1.920%, 03/15/2019 | 325 | 325 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2016-4, Cl A | ||||||||
1.757%, VAR LIBOR USD 1 Month+0.530%, 07/15/2020 | 290 | 291 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2016-5, Cl A1 | ||||||||
1.950%, 11/15/2021 | 150 | 150 |
104 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
GLS Auto Receivables Trust, Ser 2016-1A, Cl A | ||||||||
2.730%, 10/15/2020 (A) | $ | 118 | $ | 118 | ||||
GLS Auto Receivables Trust, Ser 2017-1A, Cl A2 | ||||||||
2.670%, 04/15/2021 (A) | 205 | 205 | ||||||
GM Financial Automobile Leasing Trust, Ser 2015-1, Cl A3 | ||||||||
1.530%, 09/20/2018 | 64 | 64 | ||||||
GM Financial Automobile Leasing Trust, Ser 2015-2, Cl A3 | ||||||||
1.680%, 12/20/2018 | 53 | 53 | ||||||
GM Financial Automobile Leasing Trust, Ser 2016-2, Cl A3 | ||||||||
1.620%, 09/20/2019 | 230 | 230 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2016-B, Cl A3 | ||||||||
1.520%, 10/15/2019 (A) | 200 | 200 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2017-A, Cl A2A | ||||||||
1.560%, 07/15/2019 (A) | 191 | 191 | ||||||
Prestige Auto Receivables Trust, Ser 2017-1A, Cl A3 | ||||||||
2.050%, 10/15/2021 (A) | 300 | 300 | ||||||
Santander Drive Auto Receivables Trust, Ser 2016-1, Cl B | ||||||||
2.470%, 12/15/2020 | 250 | 251 | ||||||
Santander Drive Auto Receivables Trust, Ser 2016-3, Cl C | ||||||||
2.460%, 03/15/2022 | 150 | 151 | ||||||
Securitized Term Auto Receivables Trust, Ser 2017-2A, Cl A2A | ||||||||
1.775%, 01/27/2020 (A) | 65 | 65 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2016-B, Cl A3 | ||||||||
1.300%, 04/15/2020 | 100 | 100 | ||||||
United Auto Credit Securitization Trust, Ser 2017-1, Cl A | ||||||||
1.890%, 05/10/2019 (A) | 185 | 184 | ||||||
Westlake Automobile Receivables Trust, Ser 2016-2A, Cl A2 | ||||||||
1.570%, 06/17/2019 (A) | 120 | 120 | ||||||
Westlake Automobile Receivables Trust, Ser 2016-2A, Cl B | ||||||||
2.300%, 11/15/2019 (A) | 350 | 351 | ||||||
Westlake Automobile Receivables Trust, Ser 2017-1A, Cl A2 | ||||||||
1.780%, 04/15/2020 (A) | 100 | 100 | ||||||
|
| |||||||
5,042 | ||||||||
|
| |||||||
Credit Cards — 0.9% | ||||||||
Cabela’s Credit Card Master Note Trust, Ser 2016-1, Cl A1 | ||||||||
1.780%, 06/15/2022 | 355 | 354 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) |
ASSET-BACKED SECURITIES (continued) |
| |||||||
Capital One Multi-Asset Execution Trust, Ser 2016-A1, Cl A1 | ||||||||
1.684%, VAR LIBOR USD 1 Month+0.450%, 02/15/2022 | $ | 300 | $ | 302 | ||||
|
| |||||||
656 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 8.6% |
| |||||||
Accredited Mortgage Loan Trust, Ser 2004-4, Cl A1A | ||||||||
1.914%, VAR ICE LIBOR USD 1 Month+0.680%, 01/25/2035 | 143 | 143 | ||||||
Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates, Ser 2004-3, Cl A2B | ||||||||
2.337%, VAR ICE LIBOR USD 1 Month+1.100%, 09/25/2034 | 19 | 19 | ||||||
Apidos CLO XII, Ser 2013-12A, Cl A | ||||||||
2.258%, VAR ICE LIBOR USD 3 Month+1.100%, 04/15/2025 (A) | 495 | 496 | ||||||
Cent CLO, Ser 2014-16AR, Cl A1AR | ||||||||
2.420%, VAR ICE LIBOR USD 3 Month+1.250%, 08/01/2024 (A) | 406 | 407 | ||||||
Cent CLO, Ser 2017-20A, Cl AR | ||||||||
2.414%, VAR ICE LIBOR USD 3 Month+1.100%, 01/25/2026 (A) | 325 | 325 | ||||||
Chesapeake Funding II, Ser 2017-2A, Cl A1 | ||||||||
1.990%, 05/15/2029 (A) | 200 | 200 | ||||||
CIFC Funding, Ser 2017-1A, Cl A1R | ||||||||
2.561%, VAR ICE LIBOR USD 3 Month+1.250%, 07/16/2030 (A) | 250 | 251 | ||||||
CNH Equipment Trust, Ser 2016-B, Cl A2A | ||||||||
1.310%, 10/15/2019 | 114 | 114 | ||||||
Dryden XXXI Senior Loan Fund, Ser 2017-31A,Cl AR | ||||||||
2.238%, VAR ICE LIBOR USD 3 Month+1.080%, 04/18/2026 (A) | 350 | 351 | ||||||
First Franklin Mortgage Loan Trust, Ser 2006-FF1, Cl 2A3 | ||||||||
1.477%, VAR ICE LIBOR USD 1 Month+0.240%, 01/25/2036 | 6 | 6 | ||||||
Limerock CLO II, Ser 2017-2A, Cl AR | ||||||||
2.458%, VAR ICE LIBOR USD 3 Month+1.300%, 04/18/2026 (A) | 300 | 301 | ||||||
MMAF Equipment Finance, Ser 2017-AA, Cl A2 | ||||||||
1.730%, 05/18/2020 (A) | 100 | 100 | ||||||
Nationstar HECM Loan Trust, Ser 2016-2A, Cl A | ||||||||
2.239%, 06/25/2026 (A) | 75 | 76 | ||||||
Nationstar HECM Loan Trust, Ser 2017-1A, Cl A | ||||||||
1.968%, 05/25/2027 (A) | 68 | 68 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 105 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Enhanced Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Nationstar HECM Loan Trust, Ser 2017-2A, Cl A1 | ||||||||
2.038%, 09/25/2027 (A) | $ | 100 | $ | 100 | ||||
NYCTL Trust, Ser 2017-A, Cl A | ||||||||
1.870%, 11/10/2030 (A) | 215 | 215 | ||||||
NYCTL Trust, Ser 2015-A, Cl A | ||||||||
1.340%, 11/10/2028 (A) | 58 | 58 | ||||||
NYCTL Trust, Ser 2016-A, Cl A | ||||||||
1.470%, 11/10/2029 (A) | 47 | 47 | ||||||
Octagon Investment Partners XVI Ltd., Ser 2013-1A, Cl A | ||||||||
2.424%, VAR ICE LIBOR USD 3 Month+1.120%, 07/17/2025 (A) | 550 | 551 | ||||||
Octagon Investment Partners XX, Ser 2017- 1A, Cl AR | ||||||||
2.439%, VAR ICE LIBOR USD 3 Month+1.130%, 08/12/2026 (A) | 250 | 252 | ||||||
OHA Credit Partners VIII Ltd., Ser 2013-8A, Cl A | ||||||||
2.276%, VAR ICE LIBOR USD 3 Month+1.120%, 04/20/2025 (A) | 306 | 307 | ||||||
SLM Student Loan Trust, Ser 2005-4, Cl A3 | ||||||||
1.434%, VAR ICE LIBOR USD 3 Month+0.120%, 01/25/2027 | 122 | 122 | ||||||
SLM Student Loan Trust, Ser 2008-5, Cl A4 | ||||||||
3.014%, VAR ICE LIBOR USD 3 Month+1.700%, 07/25/2023 | 305 | 314 | ||||||
SLM Student Loan Trust, Ser 2008-9, Cl A | ||||||||
2.814%, VAR ICE LIBOR USD 3 Month+1.500%, 04/25/2023 | 142 | 145 | ||||||
SLM Student Loan Trust, Ser 2011-1, Cl A1 | ||||||||
1.757%, VAR ICE LIBOR USD 1 Month+0.520%, 03/25/2026 | 224 | 225 | ||||||
SoFi Professional Loan Program, Ser 2014-A, Cl A1 | ||||||||
2.832%, VAR ICE LIBOR USD 1 Month+1.600%, 06/25/2025 (A) | 113 | 115 | ||||||
SPS Servicer Advance Receivables Trust, Ser 2016-T1, Cl AT1 | ||||||||
2.530%, 11/16/2048 (A) | 151 | 150 | ||||||
Symphony CLO Ltd., Ser 2014-8AR, Cl BR | ||||||||
2.905%, VAR ICE LIBOR USD 1 Month+1.750%, 01/09/2023 (A) | 805 | 804 | ||||||
VOLT LX, Ser 2017-NPL7, Cl A1 | ||||||||
3.250%, 04/25/2059 (A) | 84 | 84 | ||||||
Voya CLO, Ser 2017-4A, Cl A2AR | ||||||||
2.754%, VAR ICE LIBOR USD 3 Month+1.450%, 10/14/2026 (A) | 250 | 250 | ||||||
6,596 | ||||||||
Total Asset-Backed Securities | 12,294 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 11.1% |
| |||||||
Agency Mortgage-Backed Obligations — 3.4% |
| |||||||
FHLMC | ||||||||
6.000%, 09/01/2026 | $ | 46 | $ | 52 | ||||
FNMA | ||||||||
6.500%, 09/01/2026 | 37 | 41 | ||||||
6.000%, 11/01/2026 to 04/01/2040 (E) | 293 | 331 | ||||||
5.000%, 02/01/2023 to 03/01/2025 | 65 | 68 | ||||||
FNMA TBA | ||||||||
3.500%, 10/16/2027 | 900 | 937 | ||||||
FNMA, Ser 2017-KT01 | ||||||||
1.556%, 02/25/2020 | 65 | 65 | ||||||
FREMF Mortgage Trust, Ser 2014-K503, Cl C | ||||||||
3.078%, 10/25/2047 (A) | 155 | 154 | ||||||
FREMF Mortgage Trust, Ser K703, Cl B | ||||||||
5.045%, 07/25/2044 (A) | 250 | 254 | ||||||
FREMF Mortgage Trust, Ser K706, Cl C | ||||||||
4.169%, 11/25/2044 (A) | 150 | 152 | ||||||
NCUA Guaranteed Notes, Ser 2010-R1, Cl 1A | ||||||||
1.681%, VAR LIBOR USD 1 Month+ 0.450%, 10/07/2020 | 191 | 192 | ||||||
NCUA Guaranteed Notes, Ser 2011-R1, Cl 1A | ||||||||
1.681%, VAR LIBOR USD 1 Month+ 0.450%, 01/08/2020 | 263 | 264 | ||||||
NCUA Guaranteed Notes, Ser 2011-R3, Cl 1A | ||||||||
1.629%, VAR LIBOR USD 1 Month+0.400%, 03/11/2020 | 80 | 80 | ||||||
NCUA Guaranteed Notes, Ser 2011-R4, Cl 1A | ||||||||
1.607%, VAR LIBOR USD 1 Month+0.380%, 03/06/2020 | 2 | 2 | ||||||
2,592 | ||||||||
Non-Agency Mortgage-Backed Obligations — 7.7% |
| |||||||
BAMLL Re-REMIC Trust 2015, Ser FR11, Cl A705 | ||||||||
1.836%, 09/27/2044 (A) | 200 | 197 | ||||||
Banc of America Mortgage Securities, Ser 2004-J, Cl 2A1 | ||||||||
3.382%, 11/25/2034 | 45 | 46 | ||||||
Banc of America Mortgage Securities, Ser 2005-C, Cl 2A2 | ||||||||
3.679%, 04/25/2035 | 142 | 134 | ||||||
Banc of America Mortgage Securities, Ser 2005-I, Cl 2A1 | ||||||||
3.282%, 10/25/2035 | 116 | 110 | ||||||
BBCMS 2017-DELC Mortgage Trust, Ser DELC, Cl A | ||||||||
2.077%, VAR LIBOR USD 1 Month+0.850%, 08/15/2036 (A) | 250 | 250 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2008-C7, Cl A4 | ||||||||
6.427%, 12/10/2049 | 34 | 34 |
106 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Citigroup Mortgage Loan Trust, Ser 2004- HYB3, Cl 1A | ||||||||
3.574%, 09/25/2034 | $ | 30 | $ | 30 | ||||
COLT Mortgage Loan Trust, Ser 2016-3, Cl A3 | ||||||||
3.750%, 12/26/2046 (A) | 125 | 129 | ||||||
COLT Mortgage Loan Trust, Ser 2017-1, Cl A1 | ||||||||
2.614%, 05/27/2047 (A) | 81 | 82 | ||||||
COMM Mortgage Trust, Ser 2013-CR10, Cl A1 | ||||||||
1.278%, 08/10/2046 | 84 | 84 | ||||||
Deephaven Residential Mortgage Trust, Ser 2017-1A, Cl A1 | ||||||||
2.725%, 12/26/2046 (A) | 77 | 77 | ||||||
Deephaven Residential Mortgage Trust, Ser 2017-2A, Cl A1 | ||||||||
2.453%, 06/25/2047 (A) | 88 | 87 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, ser 2017-HQAl CL M1 | ||||||||
2.434%, 04/25/2029 | 239 | 241 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2013-DN1, Cl M1 | ||||||||
4.637%, VAR ICE LIBOR USD 1 Month+3.400%, 07/25/2023 | 138 | 140 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN2, Cl M2 | ||||||||
2.884%, VAR ICE LIBOR USD 1 Month+1.650%, 04/25/2024 | 199 | 201 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DN1, Cl M2 | ||||||||
3.637%, VAR ICE LIBOR USD 1 Month+2.400%, 01/25/2025 | 70 | 70 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQ1, Cl M3 | ||||||||
5.037%, VAR ICE LIBOR USD 1 Month+3.800%, 03/25/2025 | 250 | 269 | ||||||
FNMA Connecticut Avenue Securities, Ser 2014-C02, Cl 2M1 | ||||||||
2.184%, VAR ICE LIBOR USD 1 Month+0.950%, 05/25/2024 | 15 | 15 | ||||||
FNMA Connecticut Avenue Securities, Ser 2014-C02, Cl 1M1 | ||||||||
2.184%, VAR ICE LIBOR USD 1 Month+0.950%, 05/25/2024 | 99 | 100 | ||||||
FNMA Connecticut Avenue Securities, Ser 2014-C03, Cl 1M1 | ||||||||
2.434%, VAR ICE LIBOR USD 1 Month+1.200%, 07/25/2024 | 42 | 42 | ||||||
FNMA Connecticut Avenue Securities, Ser 2017-C02, Cl 2M1 | ||||||||
2.384%, VAR ICE LIBOR USD 1 | ||||||||
Month+1.150%, 09/25/2029 | 101 | 102 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
GS Mortgage Securities Trust, Ser- 2017 500K, Cl A | ||||||||
1.934%, VAR LIBOR USD 1 Month+0.700%, 07/15/2032 (A) | $ | 135 | $ | 135 | ||||
GS Mortgage Securities, Ser 2010-C2, Cl A1 | ||||||||
3.849%, 12/10/2043 (A) | 47 | 48 | ||||||
GS Mortgage Securities, Ser 2013-GC13, Cl A1 | ||||||||
1.206%, 07/10/2046 | 1 | 1 | ||||||
Impac CMB Trust, Ser 2005-1, Cl 1A1 | ||||||||
1.754%, VAR ICE LIBOR USD 1 Month+0.520%, 04/25/2035 | 142 | 135 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2008-C1, Cl A2 | ||||||||
6.319%, 04/15/2041 | 252 | 254 | ||||||
LSTAR Securities Investment Trust, Ser 2017- 3, Cl A1 | ||||||||
3.235%, VAR ICE LIBOR USD 1 Month+2.000%, 04/01/2022 (A) | 75 | 75 | ||||||
MFA Trust, Ser 2017-RPL1, Cl A1 | ||||||||
2.588%, 02/25/2057 (A) | 92 | 92 | ||||||
Mill City Mortgage Loan Trust, Ser 2017-3, Cl A1 | ||||||||
2.750%, 02/25/2058 (A) | 100 | 101 | ||||||
Morgan Stanley Re-REMIC Trust, Ser 2012-IO, Cl AXA | ||||||||
1.000%, 03/27/2051 (A) | 81 | 82 | ||||||
Mortgage Repurchase Agreement Financing Trust, Ser 2016-5, Cl A | ||||||||
2.401%, VAR ICE LIBOR USD 1 Month+1.170%, 06/10/2019 (A) | 300 | 300 | ||||||
MortgageIT Trust, Ser 2005-5, Cl A1 | ||||||||
1.494%, VAR ICE LIBOR USD 1 Month+0.260%, 12/25/2035 | 399 | 398 | ||||||
New Residential Mortgage Loan Trust, Ser 2017-3A, Cl A1 | ||||||||
4.000%, 04/25/2057 (A) | 114 | 119 | ||||||
Option One Mortgage Loan Trust, Ser 2005- 1, Cl A1A | ||||||||
1.734%, VAR ICE LIBOR USD 1 Month+0.500%, 02/25/2035 | 53 | 53 | ||||||
Sequoia Mortgage Trust, Ser 2004-10, Cl A2 | ||||||||
1.876%, VAR ICE LIBOR USD 1 Month+0.640%, 11/20/2034 | 95 | 94 | ||||||
Sequoia Mortgage Trust, Ser 2004-11, Cl A1 | ||||||||
1.836%, VAR ICE LIBOR USD 1 Month+0.600%, 12/20/2034 | 73 | 71 | ||||||
Sequoia Mortgage Trust, Ser 2005-2, Cl A1 | ||||||||
1.456%, VAR ICE LIBOR USD 1 Month+0.220%, 03/20/2035 | 46 | 44 | ||||||
Series RRX Trust, Ser 2014-1A, Cl A, PO | ||||||||
0.000%, 08/26/2044 (A) | 200 | 196 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 107 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Enhanced Income Fund (Continued)
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Towd Point Mortgage Trust, Ser 2015-4, Cl A1B | ||||||||
2.750%, 04/25/2055 (A) | $ | 108 | $ | 108 | ||||
Towd Point Mortgage Trust, Ser 2015-5, Cl A1B | ||||||||
2.750%, 05/25/2055 (A) | 114 | 114 | ||||||
Towd Point Mortgage Trust, Ser 2016-1, Cl A1B | ||||||||
2.750%, 02/25/2055 (A) | 115 | 115 | ||||||
Towd Point Mortgage Trust, Ser 2016-3, Cl A1 | ||||||||
2.250%, 04/25/2056 (A) | 239 | 238 | ||||||
Towd Point Mortgage Trust, Ser 2016-4, Cl A1 | ||||||||
2.250%, 07/25/2056 (A) | 377 | 374 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1 |
| |||||||
2.912%, 03/25/2036 | 183 | 174 | ||||||
Wells Fargo Mortgage-Backed Securities |
| |||||||
3.089%, 01/25/2035 | 109 | 110 | ||||||
5,871 | ||||||||
Total Mortgage-Backed Securities (Cost $8,471) ($ Thousands) | 8,463 | |||||||
MUNICIPAL BONDS — 1.1% | ||||||||
California — 0.3% | ||||||||
California State, RB | ||||||||
2.012%, 04/01/2047 (D) | 250 | 251 | ||||||
Florida — 0.5% | ||||||||
Florida State, Board of Administration |
| |||||||
2.163%, 07/01/2019 | 350 | 351 | ||||||
Illinois — 0.2% | ||||||||
Illinois State, GO | ||||||||
5.665%, 03/01/2018 | 135 | 137 | ||||||
5.163%, 02/01/2018 | 5 | 5 | ||||||
142 | ||||||||
Indiana — 0.1% | ||||||||
City of Whiting, AMT, RB | ||||||||
1.690%, 12/01/2044 (D) | 100 | 100 | ||||||
Total Municipal Bonds | 844 |
| ||||||||
Description | Shares | Market Value ($ Thousands) | ||||||
| ||||||||
PREFERRED STOCK — 0.2% |
| |||||||
TE Holdcorp, 0.000% * | 16,542 | $ | 153 | |||||
Total Preferred Stock | 153 | |||||||
COMMON STOCK — 0.1% | ||||||||
Boart Longyear * | 1,766,201 | 34 | ||||||
Energy & Exploration Partners * | 85 | — | ||||||
TE Holdcorp * | 11,340 | 30 | ||||||
Total Common Stock (Cost $512) ($ Thousands) | 64 | |||||||
| Number of Rights | | ||||||
RIGHTS* — 0.0% | ||||||||
Texas Competitive Electric Holdings LLC, Taxable Receivable Agreement Rights 0.000 ‡‡ | 2,451 | 2 | ||||||
Total Rights | 2 | |||||||
| Number of Warrants | | ||||||
WARRANTS* — 0.0% | ||||||||
Lion Holding Warrants, Cl A, Expires 12/30/2027 | 385 | – | ||||||
Total Warrants | ||||||||
(Cost $—) ($ Thousands) | – | |||||||
Shares | ||||||||
CASH EQUIVALENT — 2.5% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F 0.840%**† | 1,877,667 | 1,878 | ||||||
Total Cash Equivalent | 1,878 |
108 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
REPURCHASE AGREEMENT — 0.9% |
| |||||||
Goldman Sachs | ||||||||
1.020%, dated 09/29/2017, to be repurchased on 10/02/2017, repurchase price $700,060 (collateralized by various FNMA obligations, ranging in par value $97,662 - $795,456, 3.409% - 3.500%, 12/01/2040 - 05/01/2047; total market value $714,000) (F) | $ | 700 | $ | 700 | ||||
|
| |||||||
Total Repurchase Agreement | 700 | |||||||
|
| |||||||
Total Investments in Securities— 101.7% | $ | 77,680 | ||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Type of Contract | Number of Contracts Long/(Short) | Expiration Date | Notional Amount | Value | Unrealized (Depreciation) ($Thousands) | |||||||||||||||||||||||||||
U.S. 10-Year Treasury Note | (8) | Dec-2017 | $ | (1,013 | ) | $ | (1,003 | ) | $ | 10 | ||||||||||||||||||||||
U.S. 2-Year Treasury Note | (12) | Jan-2018 | (2,594 | ) | (2,588 | ) | 6 | |||||||||||||||||||||||||
U.S. 5-Year Treasury Note | 4 | Dec-2017 | 473 | 470 | (3 | ) | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
$ | (3,134 | ) | $ | (3,121 | ) | $ | 13 | |||||||||||||||||||||||||
|
|
Percentages are based on Net Assets of $76,364 ($ Thousands). |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
‡‡ | Expiration date not available. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2017, the value of these securities amounted to $21,329 ($ Thousands), representing 27.9% of the Net Assets of the Fund. |
(B) | Level 3 security in accordance with fair value hierarchy. |
(C) | Unsettled bank loan. Interest rate not available. |
(D) | Variable or floating rate security, the interest rate of which adjusts periodically based on prevailing interest rates. |
(E) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(F) | Tri-Party Repurchase Agreement. |
AMT | — Alternative Minimum Tax |
Cl | — Class |
CLO | — Collateralized Loan Obligation |
FHLMC | — Federal Home Loan Mortgage Corporation |
FNMA | — Federal National Mortgage Association |
FREMF— | Freddie Mac Multi-Family |
GO | — General Obligation |
ICE— | Intercontinental Exchange |
LIBOR | — London Interbank Offered Rate |
LLC | — Limited Liability Company |
LP | — Limited Partnership |
Ltd. — Limited
MTN — Medium Term Note
NCUA — National Credit Union Association
PIK — Payment-in-Kind
PLC — Public Limited Company
Pty — Proprietary
RB — Revenue Bond
Re-REMIC — Resecuritization of Real Estate Mortgage Investment Conduit
Ser — Series
TBA — To Be Announced
ULC — Unlimited Liability Company
USD — U.S. Dollar
VAR — Variable Rate
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 109 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Enhanced Income Fund (Concluded)
The following is a list of the level of inputs used as of September 30, 2017, 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 | $ | – | $ | 30,651 | $ | – | $ | 30,651 | ||||||||
Loan Participations | – | 22,625 | 6 | 22,631 | ||||||||||||
Asset-Backed Securities | – | 12,294 | – | 12,294 | ||||||||||||
Mortgage-Backed Securities | – | 8,463 | – | 8,463 | ||||||||||||
Municipal Bonds | – | 844 | – | 844 | ||||||||||||
Repurchase Agreement | – | 700 | – | 700 | ||||||||||||
Preferred Stock | – | 153 | – | 153 | ||||||||||||
Common Stock | – | 64 | – | 64 | ||||||||||||
Warrants | – | – | – | – | ||||||||||||
Right | – | 2 | – | 2 | ||||||||||||
Cash Equivalent | 1,878 | – | – | 1,878 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,878 | $ | 75,796 | $ | 6 | $ | 77,680 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 16 | $ | – | $ | – | $ | 16 | ||||||||
Unrealized Depreciation | (3 | ) | – | – | (3 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 13 | $ | – | $ | – | $ | 13 | ||||||||
|
|
|
|
|
|
|
|
* 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 net assets. Management has concluded that Level 3 investments are not material in relation to net assets.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 $0.
The following is a summary of the Fund’s transactions with affiliated for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | $5,121 | $27,597 | $ | (30,840) | $— | $— | $1,878 | $12 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
110 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Core Fixed Income Fund
†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 33.4% |
| |||||||
Agency Mortgage-Backed Obligations — 27.9% |
| |||||||
FHLMC | ||||||||
7.500%, 05/01/2031 to 09/01/2032 | $ | 267 | $ | 290 | ||||
7.000%, 05/01/2024 to 03/01/2039 | 281 | 310 | ||||||
6.500%, 10/01/2031 to 09/01/2039 | 126 | 141 | ||||||
6.000%, 03/01/2020 to 07/01/2037 | 769 | 825 | ||||||
5.500%, 06/01/2020 to 11/01/2035 | 600 | 644 | ||||||
5.000%, 10/01/2018 to 06/01/2044 | 4,079 | 4,455 | ||||||
4.500%, 08/01/2020 to 06/01/2047 | 3,499 | 3,779 | ||||||
4.000%, 04/01/2019 to 07/01/2047 | 16,807 | 17,760 | ||||||
3.500%, 09/01/2026 to 01/01/2047 | 39,687 | 41,244 | ||||||
3.000%, 03/01/2031 to 02/01/2047 | 22,828 | 22,961 | ||||||
2.500%, 12/01/2031 | 3,111 | 3,136 | ||||||
FHLMC ARM | ||||||||
3.091%, VAR ICE LIBOR USD 12 Month+1.622%, 02/01/2045 | 339 | 347 | ||||||
2.624%, VAR ICE LIBOR USD 12 | ||||||||
Month+1.633%, 07/01/2046 | 786 | 798 | ||||||
FHLMC CMO, Ser 1988-1, Cl Z | ||||||||
9.300%, 04/15/2019 | 1 | 1 | ||||||
FHLMC CMO, Ser 1997-1983, Cl Z | ||||||||
6.500%, 12/15/2023 | 351 | 380 | ||||||
FHLMC CMO, Ser 2001-2277, Cl B | ||||||||
7.500%, 01/15/2031 | 79 | 93 | ||||||
FHLMC CMO, Ser 2002-2399, Cl XG | ||||||||
6.500%, 01/15/2032 | 411 | 457 | ||||||
FHLMC CMO, Ser 2005-2945, Cl SA | ||||||||
10.072%, VAR LIBOR USD 1 Month+12.294%, 03/15/2020 | 60 | 61 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FHLMC CMO, Ser 2006-R007, Cl ZA | ||||||||
6.000%, 05/15/2036 | $ | 868 | $ | 974 | ||||
FHLMC CMO, Ser 2007-3294, Cl CB | ||||||||
5.500%, 03/15/2037 | 185 | 205 | ||||||
FHLMC CMO, Ser 2008-3451, Cl SB, IO | ||||||||
4.796%, VAR LIBOR USD 1 Month+6.030%, 05/15/2038 | 62 | 8 | ||||||
FHLMC CMO, Ser 2010-3621, Cl SB, IO | ||||||||
5.003%, VAR LIBOR USD 1 Month+6.230%, 01/15/2040 | 75 | 12 | ||||||
FHLMC CMO, Ser 2011-3829, Cl ED | ||||||||
3.500%, 10/15/2028 | 101 | 102 | ||||||
FHLMC CMO, Ser 2011-3838, Cl QE | ||||||||
3.500%, 01/15/2029 | 190 | 191 | ||||||
FHLMC CMO, Ser 2011-3947, Cl SG, IO | ||||||||
4.716%, VAR LIBOR USD 1 Month+5.950%, 10/15/2041 | 547 | 92 | ||||||
FHLMC CMO, Ser 2012-4054, Cl SA, IO | ||||||||
4.816%, VAR LIBOR USD 1 Month+6.050%, 08/15/2039 | 960 | 150 | ||||||
FHLMC CMO, Ser 2012-4092, Cl AI, IO | ||||||||
3.000%, 09/15/2031 | 979 | 91 | ||||||
FHLMC CMO, Ser 2013-4174, Cl SA, IO | ||||||||
4.973%, VAR LIBOR USD 1 Month+6.200%, 05/15/2039 | 314 | 37 | ||||||
FHLMC CMO, Ser 2013-4203, Cl PS, IO | ||||||||
5.016%, VAR LIBOR USD 1 Month+6.250%, 09/15/2042 | 323 | 51 | ||||||
FHLMC CMO, Ser 2014-4415, Cl IO, IO | ||||||||
1.752%, 04/15/2041 (A) | 539 | 28 | ||||||
FHLMC CMO, Ser 2015-4425, Cl A | ||||||||
4.000%, 09/15/2040 | 558 | 588 | ||||||
FHLMC CMO, Ser 2015-4529, Cl HC | ||||||||
3.000%, 10/15/2039 | 224 | 228 | ||||||
FHLMC CMO, Ser 2016-353, Cl S1, IO | ||||||||
4.766%, VAR LIBOR USD 1 Month+6.000%, 12/15/2046 | 469 | 102 | ||||||
FHLMC CMO, Ser 2016-4604, Cl AB | ||||||||
3.000%, 08/15/2046 | 536 | 547 | ||||||
FHLMC CMO, Ser 2016-4640, Cl LD | ||||||||
4.000%, 09/15/2043 | 1,809 | 1,908 | ||||||
FHLMC CMO, Ser 2017-4700, Cl QJ | ||||||||
4.000%, 07/15/2044 | 1,340 | 1,415 | ||||||
FHLMC CMO, Ser 2017-4705, Cl A | ||||||||
4.500%, 09/15/2042 | 898 | 962 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K015, Cl X1, IO | ||||||||
1.769%, 07/25/2021 (A) | 1,314 | 67 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K016, Cl X1, IO | ||||||||
1.686%, 10/25/2021 (A) | 282 | 14 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 111 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Core Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K064, Cl X1, IO | ||||||||
0.745%, 03/25/2027 (A) | $ | 4,986 | $ | 244 | ||||
FHLMC Multifamily Structured Pass-Through | ||||||||
Certificates, Ser K151, Cl A3 3.511%, 04/25/2030 | 1,465 | 1,527 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KF34, Cl A | ||||||||
1.592%, VAR LIBOR USD 1 Month+0.360%, 08/25/2024 | 735 | 736 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KW02, Cl A1 | ||||||||
2.896%, 04/25/2026 | 930 | 954 | ||||||
FHLMC TBA | ||||||||
4.000%, 10/14/2040 to 11/01/2040 | 8,365 | 8,803 | ||||||
3.500%, 10/15/2041 | 7,300 | 7,529 | ||||||
3.000%, 10/15/2042 | 4,000 | 4,015 | ||||||
FNMA | ||||||||
7.000%, 09/01/2026 to 02/01/2039 | 980 | 1,108 | ||||||
6.500%, 03/01/2031 to 05/01/2040 | 69 | 75 | ||||||
6.000%, 10/01/2019 to 07/01/2037 | 2,101 | 2,387 | ||||||
5.500%, 06/01/2018 to 09/01/2056 | 618 | 683 | ||||||
5.000%, 01/01/2020 to 08/01/2056 | 8,017 | 8,871 | ||||||
4.500%, 01/01/2020 to 04/01/2056 | 55,163 | 59,601 | ||||||
4.000%, 08/01/2020 to 08/01/2047 | 70,954 | 75,321 | ||||||
3.840%, 08/01/2021 | 2,894 | 3,061 | ||||||
3.762%, 12/01/2020 | 2,484 | 2,595 | ||||||
3.665%, 10/01/2020 | 1,294 | 1,350 | ||||||
3.619%, 12/01/2020 | 1,629 | 1,703 | ||||||
3.500%, 08/01/2028 to 03/01/2057 | 26,488 | 27,565 | ||||||
3.330%, 10/01/2029 | 1,235 | 1,271 | ||||||
3.190%, 05/01/2030 | 1,297 | 1,319 | ||||||
3.168%, VAR ICE LIBOR USD 12 Month+1.500%, 10/01/2047 | 555 | 572 | ||||||
3.010%, 04/01/2028 | 1,320 | 1,335 | ||||||
3.000%, 02/01/2027 to 02/01/2047 | 11,783 | 11,960 | ||||||
2.940%, 07/01/2027 | 400 | 401 | ||||||
2.830%, 06/01/2022 | 1,148 | 1,179 | ||||||
2.820%, 07/01/2027 | 590 | 590 | ||||||
2.600%, 10/01/2031 | 1,370 | 1,320 | ||||||
2.510%, 08/01/2026 | 1,317 | 1,295 | ||||||
2.500%, 10/01/2042 | 698 | 679 | ||||||
FNMA ACES, Ser 2012-M14, Cl X2, IO | ||||||||
0.577%, 09/25/2022 (A) | 17,668 | 338 | ||||||
FNMA ACES, Ser 2014-M2, Cl A2 | ||||||||
3.513%, 12/25/2023 (A) | 1,770 | 1,869 | ||||||
FNMA ACES, Ser 2015-M13, Cl A2 | ||||||||
2.802%, 06/25/2025 (A) | 130 | 130 | ||||||
FNMA ACES, Ser 2015-M2, Cl A3 | ||||||||
3.148%, 12/25/2024 (A) | 2,534 | 2,607 | ||||||
FNMA ARM | ||||||||
4.377%, VAR ICE LIBOR USD 12 Month+1.776%, 04/01/2040 | 230 | 243 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
3.234%, VAR ICE LIBOR USD 12 Month+1.620%, 06/01/2047 | $ | 734 | $ | 756 | ||||
3.192%, VAR ICE LIBOR USD 12 Month+1.562%, 10/01/2043 | 297 | 305 | ||||||
3.137%, VAR ICE LIBOR USD 12 Month+1.620%, 03/01/2047 | 786 | 810 | ||||||
2.977%, VAR ICE LIBOR USD 12 Month+1.602%, 05/01/2047 | 183 | 188 | ||||||
2.753%, VAR 12 Month Treas Avg+1.973%, 11/01/2035 | 206 | 216 | ||||||
2.713%, VAR 12 Month Treas Avg+1.934%, 11/01/2035 | 864 | 904 | ||||||
2.690%, VAR 12 Month Treas Avg+1.889%, 10/01/2035 | 949 | 992 | ||||||
2.627%, VAR 12 Month Treas Avg+1.835%, 10/01/2035 | 144 | 150 | ||||||
FNMA CMO STRIPS, Ser 2012-409, Cl C22, IO | ||||||||
4.500%, 11/25/2039 | 531 | 122 | ||||||
FNMA CMO STRIPS, Ser 2012-409, Cl C13, IO | ||||||||
3.500%, 11/25/2041 | 480 | 83 | ||||||
FNMA CMO STRIPS, Ser 2012-409, Cl C2, IO | ||||||||
3.000%, 04/25/2027 | 697 | 60 | ||||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||||
5.500%, 03/25/2029 | 201 | 220 | ||||||
FNMA CMO, Ser 2005-117, Cl LC | ||||||||
5.500%, 11/25/2035 | 588 | 624 | ||||||
FNMA CMO, Ser 2005-360, Cl 2, IO | ||||||||
5.000%, 08/01/2035 | 1,465 | 287 | ||||||
FNMA CMO, Ser 2006-112, Cl ST, IO | ||||||||
5.463%, VAR LIBOR USD 1 Month+6.700%, 11/25/2036 | 1,329 | 146 | ||||||
FNMA CMO, Ser 2007-108, Cl AN | ||||||||
8.204%, 11/25/2037 (A) | 102 | 118 | ||||||
FNMA CMO, Ser 2008-22, Cl SI, IO | ||||||||
5.196%, VAR LIBOR USD 1 Month+6.430%, 03/25/2037 | 1,867 | 71 | ||||||
FNMA CMO, Ser 2009-86, Cl BO, PO | ||||||||
0.000%, 03/25/2037 (B) | 1,570 | 1,444 | ||||||
FNMA CMO, Ser 2010-150, Cl SK, IO | ||||||||
6.345%, VAR LIBOR USD 1 Month+6.530%, 01/25/2041 | 422 | 77 | ||||||
FNMA CMO, Ser 2011-43, Cl AN | ||||||||
3.500%, 12/25/2028 | 189 | 190 | ||||||
FNMA CMO, Ser 2011-59, Cl NZ | ||||||||
5.500%, 07/25/2041 | 2,396 | 2,696 | ||||||
FNMA CMO, Ser 2011-90, Cl QI, IO | ||||||||
5.000%, 05/25/2034 | 549 | 36 | ||||||
FNMA CMO, Ser 2011-96, Cl SA, IO | ||||||||
5.313%, VAR LIBOR USD 1 Month+6.550%, 10/25/2041 | 1,497 | 260 | ||||||
FNMA CMO, Ser 2012-133, Cl CS, IO | ||||||||
4.913%, VAR LIBOR USD 1 Month+6.150%, 12/25/2042 | 437 | 82 |
112 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA CMO, Ser 2012-28, Cl B | ||||||||
6.500%, 06/25/2039 | $ | 73 | $ | 80 | ||||
FNMA CMO, Ser 2012-35, Cl SC, IO | ||||||||
5.263%, VAR LIBOR USD 1 Month+6.500%, 04/25/2042 | 128 | 26 | ||||||
FNMA CMO, Ser 2012-46, Cl BA | ||||||||
6.000%, 05/25/2042 | 379 | 431 | ||||||
FNMA CMO, Ser 2012-70, Cl YS, IO | ||||||||
5.416%, VAR LIBOR USD 1 Month+6.650%, 02/25/2041 | 116 | 15 | ||||||
FNMA CMO, Ser 2012-74, Cl SA, IO | ||||||||
5.413%, VAR LIBOR USD 1 Month+6.650%, 03/25/2042 | 461 | 74 | ||||||
FNMA CMO, Ser 2012-74, Cl OA, PO | ||||||||
0.000%, 03/25/2042 (B) | 35 | 32 | ||||||
FNMA CMO, Ser 2012-75, Cl AO, PO | ||||||||
0.000%, 03/25/2042 (B) | 71 | 65 | ||||||
FNMA CMO, Ser 2013-124, Cl SB, IO | ||||||||
4.713%, VAR LIBOR USD 1 Month+5.950%, 12/25/2043 | 446 | 90 | ||||||
FNMA CMO, Ser 2013-30, Cl CA | ||||||||
1.500%, 04/25/2043 | 269 | 249 | ||||||
FNMA CMO, Ser 2013-35, Cl CL | ||||||||
3.000%, 02/25/2043 | 6,875 | 6,844 | ||||||
FNMA CMO, Ser 2013-54, Cl BS, IO | ||||||||
4.913%, VAR LIBOR USD 1 Month+6.150%, 06/25/2043 | 136 | 28 | ||||||
FNMA CMO, Ser 2013-9, Cl SA, IO | ||||||||
4.913%, VAR LIBOR USD 1 Month+6.150%, 03/25/2042 | 567 | 79 | ||||||
FNMA CMO, Ser 2013-9, Cl BC | ||||||||
6.500%, 07/25/2042 | 416 | 480 | ||||||
FNMA CMO, Ser 2013-9, Cl CB | ||||||||
5.500%, 04/25/2042 | 3,098 | 3,428 | ||||||
FNMA CMO, Ser 2014-40, Cl EP | ||||||||
3.500%, 10/25/2042 | 407 | 424 | ||||||
FNMA CMO, Ser 2014-M4, Cl A2 | ||||||||
3.346%, 03/25/2024 (A) | 2,795 | 2,927 | ||||||
FNMA CMO, Ser 2015-55, Cl IO, IO | ||||||||
1.453%, 08/25/2055 (A) | 1,026 | 55 | ||||||
FNMA CMO, Ser 2016-59, Cl CA | ||||||||
3.500%, 09/25/2043 | 1,775 | 1,855 | ||||||
FNMA CMO, Ser 2016-60, Cl QS, IO | ||||||||
4.863%, VAR LIBOR USD 1 Month+6.100%, 09/25/2046 | 489 | 82 | ||||||
FNMA CMO, Ser 2017-13, Cl PA | ||||||||
3.000%, 08/25/2046 | 649 | 659 | ||||||
FNMA CMO, Ser 2017-33, Cl LB | ||||||||
3.000%, 05/25/2039 | 867 | 885 | ||||||
FNMA CMO, Ser 2017-76, Cl SB, IO | ||||||||
4.866%, VAR LIBOR USD 1 Month+6.100%, 10/25/2057 | 1,600 | 300 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA CMO, Ser 2017-GS, Cl SA, IO | ||||||||
0.000%, 03/31/2036 | $ | 500 | $ | 87 | ||||
FNMA Multifamily Megas, Ser 141, Cl 1 | ||||||||
2.966%, 05/01/2027 (A) | 2,222 | 2,245 | ||||||
FNMA TBA | ||||||||
5.000%, 10/01/2038 | 1,500 | 1,636 | ||||||
4.500%, 11/15/2034 | 8,690 | 9,317 | ||||||
4.000%, 11/12/2039 to 10/01/2040 | 17,020 | 17,910 | ||||||
3.500%, 11/01/2040 to 10/15/2042 | 30,635 | 31,558 | ||||||
3.000%, 11/25/2026 to 10/15/2042 | 21,045 | 21,417 | ||||||
FNMA, Ser 2014-M12, Cl FA | ||||||||
1.563%, VAR LIBOR USD 1 Month+0.300%, 10/25/2021 | 496 | 495 | ||||||
FNMA, Ser 2015-M3, Cl FA | ||||||||
1.457%, VAR LIBOR USD 1 Month+0.220%, 06/25/2018 | 146 | 146 | ||||||
FNMA, Ser 2017-M4, Cl A2 | ||||||||
2.684%, 12/25/2026 (A) | 440 | 431 | ||||||
FNMA, Ser 2017-M7, Cl A2 | ||||||||
2.961%, 02/25/2027 (A) | 397 | 406 | ||||||
FREMF Mortgage Trust, Ser 2012-K20, Cl X2A, IO | ||||||||
0.200%, 05/25/2045 (C) | 12,422 | 93 | ||||||
GNMA | ||||||||
8.000%, 11/15/2029 to 09/15/2030 | 51 | 55 | ||||||
7.500%, 03/15/2029 | 56 | 66 | ||||||
6.500%, 07/15/2028 to 09/15/2035 | 1,742 | 1,971 | ||||||
6.000%, 10/15/2023 to 10/20/2040 | 3,471 | 3,940 | ||||||
5.000%, 12/20/2039 to 05/20/2047 | 3,103 | 3,354 | ||||||
4.500%, 04/20/2041 to 09/15/2047 | 2,820 | 3,071 | ||||||
4.000%, 07/15/2045 to 08/20/2047 | 9,392 | 9,956 | ||||||
3.500%, 03/20/2046 to 04/20/2047 | 10,534 | 10,965 | ||||||
3.000%, 12/20/2046 | 4,613 | 4,683 | ||||||
GNMA CMO, Ser 2007-17, Cl IB, IO | ||||||||
5.019%, VAR LIBOR USD 1 Month+6.250%, 04/20/2037 | 667 | 108 | ||||||
GNMA CMO, Ser 2010-31, Cl GS, IO | ||||||||
5.264%, VAR LIBOR USD 1 Month+6.500%, 03/20/2039 | 71 | 5 | ||||||
GNMA CMO, Ser 2010-4, Cl NS, IO | ||||||||
5.156%, VAR LIBOR USD 1 Month+6.390%, 01/16/2040 | 4,725 | 838 | ||||||
GNMA CMO, Ser 2010-85, Cl HS, IO | ||||||||
5.419%, VAR LIBOR USD 1 Month+6.650%, 01/20/2040 | 82 | 10 | ||||||
GNMA CMO, Ser 2010-H27, Cl FA | ||||||||
1.604%, VAR ICE LIBOR USD 1 Month+0.380%, 12/20/2060 | 1,408 | 1,401 | ||||||
GNMA CMO, Ser 2010-H28, Cl FE | ||||||||
1.624%, VAR ICE LIBOR USD 1 Month+0.400%, 12/20/2060 | 740 | 738 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 113 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Core Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GNMA CMO, Ser 2011-H08, Cl FG | ||||||||
1.704%, VAR ICE LIBOR USD 1 Month+0.480%, 03/20/2061 | $ | 844 | $ | 843 | ||||
GNMA CMO, Ser 2011-H09, Cl AF | ||||||||
1.724%, VAR ICE LIBOR USD 1 Month+0.500%, 03/20/2061 | 611 | 611 | ||||||
GNMA CMO, Ser 2012-152, Cl IO, IO | ||||||||
0.778%, 01/16/2054 (A) | 7,973 | 427 | ||||||
GNMA CMO, Ser 2012-34, Cl SA, IO | ||||||||
4.819%, VAR LIBOR USD 1 Month+6.050%, 03/20/2042 | 545 | 93 | ||||||
GNMA CMO, Ser 2012-43, Cl SN, IO | ||||||||
5.366%, VAR LIBOR USD 1 Month+6.600%, 04/16/2042 | 43 | 10 | ||||||
GNMA CMO, Ser 2012-66, Cl CI, IO | ||||||||
3.500%, 02/20/2038 | 663 | 53 | ||||||
GNMA CMO, Ser 2012-98, Cl SA, IO | ||||||||
5.666%, VAR LIBOR USD 1 Month+6.100%, 08/16/2042 | 345 | 60 | ||||||
GNMA CMO, Ser 2013-53, Cl OI, IO | ||||||||
3.500%, 04/20/2043 | 374 | 55 | ||||||
GNMA CMO, Ser 2015-167, Cl OI, IO | ||||||||
4.000%, 04/16/2045 | 151 | 30 | ||||||
GNMA CMO, Ser 2016-135, Cl SB, IO | ||||||||
4.866%, VAR LIBOR USD 1 Month+6.100%, 10/16/2046 | 361 | 98 | ||||||
GNMA CMO, Ser 2017-H18, Cl BI, IO | ||||||||
1.627%, 09/20/2067 (A) | 5,700 | 588 | ||||||
GNMA TBA | ||||||||
4.500%, 10/15/2039 to 12/15/2039 | 15,245 | 16,237 | ||||||
4.000%, 10/01/2039 | 12,800 | 13,492 | ||||||
3.500%, 10/15/2041 to 11/15/2041 | 22,845 | 23,747 | ||||||
3.000%, 10/01/2042 | 27,545 | 27,928 | ||||||
NCUA Guaranteed Notes, Ser 2010-R2, Cl 1A | ||||||||
1.601%, VAR LIBOR USD 1 Month+0.370%, 11/06/2017 | 705 | 705 | ||||||
|
|
| ||||||
582,514 | ||||||||
|
|
| ||||||
Non-Agency Mortgage-Backed Obligations — 5.5% |
| |||||||
1211 Avenue of the Americas Trust, Ser 2015- 1211, Cl A1A2 | ||||||||
3.901%, 08/10/2035 (C) | 805 | 852 | ||||||
Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 3A1 | ||||||||
2.879%, 02/25/2035 (A) | 1,388 | 1,350 | ||||||
Adjustable Rate Mortgage Trust, Ser 2007-1, Cl 5A31 | ||||||||
1.374%, VAR ICE LIBOR USD 1 Month+0.140%, 03/25/2037 | 2,045 | 1,699 | ||||||
Alternative Loan Trust, Ser 2005-36, Cl 3A1 | ||||||||
3.413%, 08/25/2035 (A) | 1,688 | 1,420 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Alternative Loan Trust, Ser 2006-18CB, Cl A6 | ||||||||
23.662%, VAR ICE LIBOR USD 1 Month+28.600%, 07/25/2036 | $ | 301 | $ | 456 | ||||
Alternative Loan Trust, Ser 2006-OA11, Cl A4 | ||||||||
1.424%, VAR ICE LIBOR USD 1 Month+0.190%, 09/25/2046 | 442 | 367 | ||||||
Alternative Loan Trust, Ser 2007-23CB, Cl A7 | ||||||||
1.637%, VAR ICE LIBOR USD 1 Month+0.400%, 09/25/2037 | 2,343 | 1,469 | ||||||
American Home Mortgage Assets Trust, Ser 2006-6, Cl A1A | ||||||||
1.424%, VAR ICE LIBOR USD 1 Month+0.190%, 12/25/2046 | 1,508 | 1,253 | ||||||
American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A | ||||||||
3.453%, VAR ICE LIBOR USD 6 Month+2.000%, 06/25/2045 | 2,957 | 2,993 | ||||||
American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A | ||||||||
3.205%, VAR ICE LIBOR USD 6 Month+1.750%, 11/25/2045 | 1,607 | 1,283 | ||||||
BAMLL Commercial Mortgage Securities Trust, Ser 2014-520M, Cl A | ||||||||
4.266%, 08/15/2034 (A)(C) | 440 | 471 | ||||||
BAMLL Re-REMIC Trust, Ser 2016-RRGG10, Cl AJA | ||||||||
5.950%, 08/10/2045 (A)(C) | 1,812 | 1,577 | ||||||
BANK, Ser 2017-BNK7, Cl A5 | ||||||||
3.435%, 09/15/2060 | 570 | 583 | ||||||
Bayview Opportunity Master Fund IVa Trust, Ser 2017-RT1, Cl A1 | ||||||||
3.000%, 03/28/2057 (A)(C) | 1,284 | 1,298 | ||||||
BCAP Trust, Ser 2015-RR2, Cl 21A1 | ||||||||
1.634%, 03/28/2037 (A)(C) | 1,127 | 1,072 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A | ||||||||
2.952%, 05/25/2034 (A) | 141 | 131 | ||||||
Bear Stearns Asset-Backed Securities I Trust, Ser 2005-AC6, Cl 1A3 | ||||||||
5.500%, 09/25/2035 (A) | 1,380 | 1,356 | ||||||
Bear Stearns Asset-Backed Securities I Trust, Ser 2005-AC8, Cl A3, IO | ||||||||
6.413%, VAR ICE LIBOR USD 1 Month+7.650%, 11/25/2035 | 4,245 | 1,264 | ||||||
BX Trust, Ser 2017-APPL, Cl A | ||||||||
2.114%, VAR LIBOR USD 1 Month+0.880%, 07/15/2034 (C) | 590 | 590 | ||||||
CD Commercial Mortgage Trust, Ser 2006- CD3, Cl AJ | ||||||||
5.688%, 10/15/2048 | 170 | 87 | ||||||
CD Commercial Mortgage Trust, Ser 2007- CD4, Cl AJ | ||||||||
5.398%, 12/11/2049 (A) | 51 | 29 |
114 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
CD Commercial Mortgage Trust, Ser 2016- CD1, Cl ASB | ||||||||
2.622%, 08/10/2049 | $ | 517 | $ | 511 | ||||
CD Commercial Mortgage Trust, Ser 2016- CD1, Cl A1 | ||||||||
1.443%, 08/10/2049 | 162 | 160 | ||||||
CD Commercial Mortgage Trust, Ser 2017- CD4, Cl ASB | ||||||||
3.317%, 05/10/2050 | 221 | 227 | ||||||
CD Commercial Mortgage Trust, Ser 2017- CD5, Cl XA, IO | ||||||||
1.060%, 08/15/2050 (A) | 8,750 | 576 | ||||||
CD Commercial Mortgage Trust, Ser 2017- CD5, Cl A4 | ||||||||
3.431%, 08/15/2050 | 570 | 583 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2011- C1, Cl A4 | ||||||||
4.961%, 04/15/2044 (A)(C) | 459 | 487 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2016-C3, Cl A1 | ||||||||
1.793%, 01/10/2048 | 267 | 266 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2016-C4, Cl A4 | ||||||||
3.283%, 05/10/2058 | 294 | 297 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2016-C7, Cl A2 | ||||||||
3.585%, 12/10/2054 | 290 | 298 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2016-C7, Cl A3 | ||||||||
3.839%, 12/10/2054 | 226 | 237 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2017-C8, Cl A1 | ||||||||
1.965%, 06/15/2050 | 175 | 174 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2017-C8, Cl A4 | ||||||||
3.572%, 06/15/2050 | 276 | 283 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2017-C8, Cl ASB | ||||||||
3.367%, 06/15/2050 | 230 | 236 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2006-C5, Cl AJ | ||||||||
5.482%, 10/15/2049 | 200 | 189 | ||||||
Citigroup Commercial Mortgage Trust, Ser 20098-C7, Cl AJA | ||||||||
6.395%, 12/10/2049 (A) | 140 | 82 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2013-375P, Cl A | ||||||||
3.251%, 05/10/2035 (C) | 1,205 | 1,236 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Cl A4 | ||||||||
3.093%, 04/10/2046 | 174 | 178 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Cl A2 | ||||||||
1.987%, 04/10/2046 | $ | 484 | $ | 484 | ||||
Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Cl AAB | ||||||||
2.690%, 04/10/2046 | 198 | 200 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2014-GC19, Cl E | ||||||||
4.565%, 03/10/2047 (A)(C) | 780 | 586 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2014-GC25, Cl A4 | ||||||||
3.635%, 10/10/2047 | 514 | 536 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2015-GC29, Cl A4 | ||||||||
3.192%, 04/10/2048 | 262 | 265 | ||||||
Cold Storage Trust, Ser 2017-ICE3, Cl B | ||||||||
2.484%, VAR LIBOR USD 1 Month+1.250%, 04/15/2036 (C) | 1,740 | 1,751 | ||||||
COMM Mortgage Trust, Ser 2010-C1, Cl A2 | ||||||||
3.830%, 07/10/2046 (C) | 55 | 56 | ||||||
COMM Mortgage Trust, Ser 2010-C1, Cl XWB, IO | ||||||||
0.865%, 07/10/2046 (A)(C) | 13,060 | 270 | ||||||
COMM Mortgage Trust, Ser 2012-CR4, Cl A2 | ||||||||
1.801%, 10/15/2045 | 107 | 107 | ||||||
COMM Mortgage Trust, Ser 2013-300P, Cl A1 | ||||||||
4.353%, 08/10/2030 (C) | 620 | 670 | ||||||
COMM Mortgage Trust, Ser 2013-CR10, Cl A2 | ||||||||
2.972%, 08/10/2046 | 211 | 213 | ||||||
COMM Mortgage Trust, Ser 2013-CR11, Cl A1 | ||||||||
1.468%, 08/10/2050 | 71 | 71 | ||||||
COMM Mortgage Trust, Ser 2013-CR12, Cl A4 | ||||||||
4.046%, 10/10/2046 | 74 | 79 | ||||||
COMM Mortgage Trust, Ser 2013-CR12, Cl AM | ||||||||
4.300%, 10/10/2046 | 100 | 106 | ||||||
COMM Mortgage Trust, Ser 2013-CR12, Cl C | ||||||||
5.252%, 10/10/2046 (A) | 40 | 42 | ||||||
COMM Mortgage Trust, Ser 2013-CR12, Cl B | ||||||||
4.762%, 10/10/2046 (A) | 90 | 95 | ||||||
COMM Mortgage Trust, Ser 2013-CR12, Cl A3 | ||||||||
3.765%, 10/10/2046 | 78 | 82 | ||||||
COMM Mortgage Trust, Ser 2013-CR12, Cl A1 | ||||||||
1.295%, 10/10/2046 | 14 | 14 | ||||||
COMM Mortgage Trust, Ser 2013-CR6, Cl A2 | ||||||||
2.122%, 03/10/2046 | 719 | 719 | ||||||
COMM Mortgage Trust, Ser 2013-CR9, Cl E | ||||||||
4.397%, 07/10/2045 (A)(C) | 780 | 609 | ||||||
COMM Mortgage Trust, Ser 2013-CR9, Cl ASB | ||||||||
3.834%, 07/10/2045 | 632 | 664 | ||||||
COMM Mortgage Trust, Ser 2014-CR19, Cl C | ||||||||
4.873%, 08/10/2024 (A) | 550 | 560 | ||||||
COMM Mortgage Trust, Ser 2014-UBS4, Cl A5 | ||||||||
3.694%, 08/10/2047 | 170 | 178 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 115 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Core Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
COMM Mortgage Trust, Ser 2014-UBS5, Cl ASB | ||||||||
3.548%, 09/10/2047 | $ | 191 | $ | 199 | ||||
COMM Mortgage Trust, Ser 2014-UBS6, Cl AM | ||||||||
4.048%, 12/10/2047 | 488 | 511 | ||||||
COMM Mortgage Trust, Ser 2014-UBS6, Cl A5 | ||||||||
3.644%, 12/10/2047 | 421 | 438 | ||||||
COMM Mortgage Trust, Ser 2016-787S, Cl A | ||||||||
3.545%, 02/10/2036 (C) | 650 | 669 | ||||||
COMM Mortgage Trust, Ser 2016-COR1, Cl ASB | ||||||||
2.972%, 10/10/2049 | 226 | 229 | ||||||
COMM Mortgage Trust, Ser 2017-COR2, Cl A3 | ||||||||
3.510%, 09/10/2050 | 356 | 365 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR3, Cl A3 | ||||||||
2.822%, 11/15/2045 | 233 | 236 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2013-WWP, Cl A2 | ||||||||
3.424%, 03/10/2031 (C) | 100 | 105 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2014-UBS2, Cl A5 | ||||||||
3.961%, 03/10/2047 | 78 | 83 | ||||||
Core Industrial Trust, Ser 2015-TEXW, Cl E | ||||||||
3.977%, 02/10/2034 (A)(C) | 630 | 624 | ||||||
Credit Suisse Commercial Mortgage Trust, Ser 2006-C3, Cl AJ | ||||||||
6.454%, 06/15/2038 (A) | 124 | 64 | ||||||
Credit Suisse Commercial Mortgage Trust, Ser 2006-C5, Cl AJ | ||||||||
5.373%, 12/15/2039 | 380 | 324 | ||||||
Credit Suisse Commercial Mortgage Trust, Ser 2007-C5, Cl AM | ||||||||
5.869%, 09/15/2040 (A) | 215 | 213 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 | ||||||||
3.468%, 10/25/2033 (A) | 925 | 922 | ||||||
Credit Suisse Group Funding Guernsey, | ||||||||
Ser 2015-3GNA, Cl A1 | ||||||||
3.087%, 03/12/2020 | 1,086 | 1,428 | ||||||
Credit Suisse Group Funding Guernsey, Ser 2015-3GNA, Cl A2 | ||||||||
4.332%, 03/12/2020 | 382 | 502 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser CHOP, Cl G | ||||||||
6.854%, VAR LIBOR USD 1 Month+5.620%, 07/15/2032 (C) | 1,000 | 995 | ||||||
Credit Suisse Mortgage Trust, Ser 2014-USA, Cl E | ||||||||
4.373%, 09/15/2037 (C) | 590 | 526 | ||||||
Credit Suisse Mortgage Trust, Ser 2014-USA, Cl A2 | ||||||||
3.953%, 09/15/2037 (C) | 250 | 259 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Credit Suisse Mortgage Trust, Ser 2015-4R, Cl 3A1 | ||||||||
1.542%, VAR ICE LIBOR USD 1 Month+0.310%, 10/27/2036 (C) | $ | 600 | $ | 533 | ||||
Credit Suisse Mortgage Trust, Ser 2015- Town, Cl F | ||||||||
5.727%, VAR LIBOR USD 1 Month+4.500%, 03/15/2028 (C) | 650 | 650 | ||||||
Credit Suisse Mortgage Trust, Ser 2017-RPL1, Cl M2 | ||||||||
3.084%, 07/25/2057 (A)(C) | 1,760 | 1,478 | ||||||
CSAIL Commercial Mortgage Trust, Ser 2014- C3, Cl A4 | ||||||||
3.718%, 08/15/2048 | 302 | 315 | ||||||
CSAIL Commercial Mortgage Trust, Ser 2015- C2, Cl C | ||||||||
4.351%, 06/15/2057 (A) | 635 | 577 | ||||||
CSAIL Commercial Mortgage Trust, Ser 2015- C4, Cl A4 | ||||||||
3.808%, 11/15/2048 | 762 | 798 | ||||||
CSAIL Commercial Mortgage Trust, Ser 2016- C5, Cl ASB | ||||||||
3.533%, 11/15/2048 | 112 | 117 | ||||||
CSMC Trust, Ser 2014-11R, Cl 9A2 | ||||||||
1.374%, VAR ICE LIBOR USD 1 Month+0.140%, 10/27/2036 (C) | 2,620 | 1,683 | ||||||
DBJPM Mortgage Trust, Ser 2017-C6, Cl ASB | ||||||||
3.121%, 06/10/2050 | 131 | 133 | ||||||
Downey Savings & Loan Association Mortgage Loan Trust, Ser 2004-AR2, Cl A2B | ||||||||
2.037%, VAR ICE LIBOR USD 1 Month+0.800%, 11/19/2044 | 869 | 805 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA2, Cl M3 | ||||||||
5.884%, VAR ICE LIBOR USD 1 Month+4.650%, 10/25/2028 | 360 | 404 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2017-DNA2, Cl M1 | ||||||||
2.437%, VAR ICE LIBOR USD 1 Month+1.200%, 10/25/2029 | 1,369 | 1,384 | ||||||
FNMA Connecticut Avenue Securities, Ser 2014-C03, Cl 1M2 | ||||||||
4.234%, VAR ICE LIBOR USD 1 Month+3.000%, 07/25/2024 | 4,810 | 5,064 | ||||||
GS Mortgage Securities II, Ser 2015-GC30, Cl B | ||||||||
4.149%, 05/10/2050 (A) | 680 | 672 | ||||||
GS Mortgage Securities Trust, Ser 2006-GG8, Cl AJ | ||||||||
5.622%, 11/10/2039 | 269 | 253 |
116 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
GS Mortgage Securities Trust, Ser 2007- GG10, Cl AM | ||||||||
5.950%, 08/10/2045 (A) | $ | 771 | $ | 787 | ||||
GS Mortgage Securities Trust, Ser 2012-GCJ7, Cl AAB | ||||||||
2.935%, 05/10/2045 | 78 | 79 | ||||||
GS Mortgage Securities Trust, Ser 2013-GC14, Cl AAB | ||||||||
3.817%, 08/10/2046 | 711 | 747 | ||||||
GS Mortgage Securities Trust, Ser 2013- GC16, Cl A2 | ||||||||
3.033%, 11/10/2046 | 186 | 188 | ||||||
GS Mortgage Securities Trust, Ser 2013- GC16, Cl B | ||||||||
5.161%, 11/10/2046 (A) | 180 | 196 | ||||||
GS Mortgage Securities Trust, Ser 2014-GC18, Cl A3 | ||||||||
3.801%, 01/10/2047 | 197 | 207 | ||||||
GS Mortgage Securities Trust, Ser 2014- GC26, Cl B | ||||||||
4.215%, 11/10/2047 (A) | 680 | 702 | ||||||
GS Mortgage Securities Trust, Ser 2016-GS3, Cl AAB | ||||||||
2.777%, 10/10/2049 | 342 | 343 | ||||||
GS Mortgage Securities Trust, Ser 2016-GS3, Cl A4 | ||||||||
2.850%, 10/10/2049 | 228 | 224 | ||||||
GS Mortgage Securities Trust, Ser 2017-GS7, Cl A4 | ||||||||
3.430%, 08/10/2050 | 542 | 553 | ||||||
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A | ||||||||
8.000%, 09/19/2027 (A)(C) | 20 | 20 | ||||||
GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1 | ||||||||
3.285%, 10/25/2033 (A) | 285 | 288 | ||||||
GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 3A5 | ||||||||
3.383%, 07/25/2035 (A) | 3,098 | 2,993 | ||||||
HarborView Mortgage Loan, Ser 2004-3, Cl 1A | ||||||||
3.085%, 05/19/2034 (A) | 1,524 | 1,554 | ||||||
Impact Funding LLC, Ser 2010-1, Cl A1 | ||||||||
5.314%, 01/25/2051 (C) | 1,479 | 1,630 | ||||||
IndyMac IMSC Mortgage Loan Trust, Ser 2007-HOA1, Cl A22 | ||||||||
1.417%, VAR LIBOR USD 1 Month+0.180%, 07/25/2047 | 1,499 | 1,064 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C15, Cl A2 | ||||||||
2.977%, 11/15/2045 | 302 | 305 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C15, Cl C | ||||||||
5.250%, 11/15/2045 (A) | 190 | 197 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C17, Cl B | ||||||||
5.052%, 01/15/2047 (A) | $ | 100 | $ | 106 | ||||
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C21, Cl A5 | ||||||||
3.775%, 08/15/2047 | 576 | 606 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C23, Cl A4 | ||||||||
3.670%, 09/15/2047 | 252 | 263 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C24, Cl AS | ||||||||
3.914%, 11/15/2047 (A) | 610 | 633 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, Cl A3 | ||||||||
2.912%, 10/15/2048 | 1,147 | 1,142 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, Cl A4 | ||||||||
3.227%, 10/15/2048 | 166 | 169 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, Cl A2 | ||||||||
2.773%, 10/15/2048 | 211 | 214 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C30, Cl ASB | ||||||||
3.559%, 07/15/2048 | 301 | 315 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C30, Cl AS | ||||||||
4.226%, 07/15/2048 (A) | 303 | 319 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2016-C1, Cl ASB | ||||||||
3.316%, 03/15/2049 | 522 | 539 | ||||||
JPMCC Commercial Mortgage Securities Trust, Ser 2017-JP6, Cl ASB | ||||||||
3.283%, 07/15/2050 | 247 | 254 | ||||||
JPMDB Commercial Mortgage Securities Trust, Ser 2017-C5, Cl ASB | ||||||||
3.492%, 03/15/2050 | 87 | 90 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-CB18, Cl AJ | ||||||||
5.502%, 06/12/2047 (A) | 1,495 | 1,233 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-CB19, Cl AJ | ||||||||
5.990%, 02/12/2049 (A) | 250 | 197 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-LDP12, Cl AJ | ||||||||
6.154%, 02/15/2051 (A) | 13 | 12 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-C2, Cl A2 | ||||||||
3.616%, 11/15/2043 (C) | 26 | 26 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-CNTR, Cl A2 | ||||||||
4.311%, 08/05/2032 (C) | 805 | 834 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 117 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Core Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-CNTR, Cl A1 | ||||||||
3.300%, 08/05/2032 (C) | $ | 143 | $ | 144 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C3, Cl A3 | ||||||||
4.388%, 02/15/2046 (C) | 2,495 | 2,517 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C4, Cl A3 | ||||||||
4.106%, 07/15/2046 (C) | 1,182 | 1,195 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2012-CBX, Cl A4 | ||||||||
3.483%, 06/15/2045 | 339 | 352 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2012-LC9, Cl A2 | ||||||||
1.677%, 12/15/2047 | 41 | 41 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2013-C13, Cl A2 | ||||||||
2.665%, 01/15/2046 | 698 | 703 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl C | ||||||||
4.724%, 07/15/2047 (A) | 610 | 611 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl A2 | ||||||||
2.872%, 07/15/2047 | 202 | 205 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl A5 | ||||||||
3.805%, 07/15/2047 | 500 | 526 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-JP1, Cl ASB | ||||||||
3.733%, 01/15/2049 | 267 | 282 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP2, Cl ASB | ||||||||
2.713%, 08/15/2049 | 308 | 307 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP2, Cl A1 | ||||||||
1.324%, 08/15/2049 | 202 | 199 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP3, Cl A5 | ||||||||
2.870%, 08/15/2049 | 980 | 965 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2017-JP5, Cl ASB | ||||||||
3.549%, 03/15/2050 | 640 | 668 | ||||||
Liberty Street Trust, Ser 2016-225L, Cl A | ||||||||
3.597%, 02/10/2036 (C) | 650 | 673 | ||||||
LSTAR Commercial Mortgage Trust, Ser 2015- 3, Cl A2 | ||||||||
2.729%, 04/20/2048 (A)(C) | 1,549 | 1,554 | ||||||
MASTR Reperforming Loan Trust, Ser 2005-1, Cl 1A1 | ||||||||
6.000%, 08/25/2034 (C) | 1,577 | 1,484 | ||||||
Merrill Lynch Mortgage Investors Trust, Ser 2004-A1, Cl 4A | ||||||||
3.625%, 02/25/2034 (A) | 138 | 139 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
ML-CFC Commercial Mortgage Trust, Ser 2007-5, Cl AJFL | ||||||||
5.450%, 08/12/2048 (A)(C) | $ | 41 | $ | 34 | ||||
ML-CFC Commercial Mortgage Trust, Ser 2007-5, Cl AJ | ||||||||
5.450%, 08/12/2048 (A) | 315 | 261 | ||||||
ML-CFC Commercial Mortgage Trust, Ser 2007-9, Cl AJ | ||||||||
6.193%, 09/12/2049 (A) | 880 | 762 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C6, Cl A2 | ||||||||
1.868%, 11/15/2045 | 1 | 1 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C10, Cl A2 | ||||||||
2.964%, 07/15/2046 | 104 | 104 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C9, Cl A2 | ||||||||
1.970%, 05/15/2046 | 38 | 38 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C21, Cl E | ||||||||
3.012%, 03/15/2048 (C) | 1,000 | 670 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C22, Cl C | ||||||||
4.383%, 04/15/2048 (A) | 630 | 622 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C27, Cl A4 | ||||||||
3.753%, 12/15/2047 | 389 | 407 | ||||||
Morgan Stanley Capital I Trust, Ser 2006- IQ12, Cl AJ | ||||||||
5.399%, 12/15/2043 | 591 | 477 | ||||||
Morgan Stanley Capital I Trust, Ser 2007- IQ16, Cl AJ | ||||||||
6.367%, 12/12/2049 (A) | 1,010 | 948 | ||||||
Morgan Stanley Capital I Trust, Ser 2016- UB11, Cl ASB | ||||||||
2.606%, 08/15/2049 | 258 | 256 | ||||||
Morgan Stanley Capital I Trust, Ser 2016- UB11, Cl A1 | ||||||||
1.445%, 08/15/2049 | 466 | 460 | ||||||
Morgan Stanley Capital I Trust, Ser 2016- UBS9, Cl A1 | ||||||||
1.711%, 03/15/2049 | 265 | 262 | ||||||
New Residential Mortgage Loan Trust, Ser 2017-3A, Cl A1 | ||||||||
4.000%, 04/25/2057 (A)(C) | 1,275 | 1,339 | ||||||
OBP Depositor Trust, Ser 2010-OBP, Cl A | ||||||||
4.646%, 07/15/2045 (C) | 560 | 591 | ||||||
One Market Plaza Trust, Ser 2017-1MKT, Cl A | ||||||||
3.614%, 02/10/2032 (C) | 1,360 | 1,413 | ||||||
Prime Mortgage Trust, Ser 2006-DR1, Cl 2A1 | ||||||||
5.500%, 05/25/2035 (C) | 1,307 | 1,249 | ||||||
RAMP Trust, Ser 2004-SL1, Cl A8 | ||||||||
6.500%, 11/25/2031 | 96 | 101 |
118 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
RBS Commercial Funding Trust, Ser 2013- 1A, Cl A | ||||||||
3.961%, 01/13/2032 (A)(C) | $ | 640 | $ | 672 | ||||
Residential Asset Securitization Trust, Ser 2004-A6, Cl A1 | ||||||||
5.000%, 08/25/2019 | 27 | 27 | ||||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||||
3.383%, 12/25/2034 (A) | 256 | 257 | ||||||
STRU TCW, Ser 1091, Cl COLL | ||||||||
3.490%, 02/25/2033 | 1,315 | 1,343 | ||||||
Structured Asset Securities, Ser 2005-17, Cl 5A1 | ||||||||
5.500%, 10/25/2035 | 731 | 609 | ||||||
Towd Point Mortgage Funding, Ser 2016- V1A, Cl A1 | ||||||||
1.482%, VAR ICE LIBOR GDP 3 Month+1.200%, 02/20/2054 (C) | GBP | 736 | 992 | |||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A2 | ||||||||
2.113%, 05/10/2063 | $ | 12 | 12 | |||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl D | ||||||||
4.631%, 12/10/2045 (A)(C) | 670 | 657 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl A2 | ||||||||
1.712%, 12/10/2045 | 35 | 35 | ||||||
VNDO Mortgage Trust, Ser 2012-6AVE, Cl A | ||||||||
2.996%, 11/15/2030 (C) | 225 | 230 | ||||||
VNO Mortgage Trust, Ser 2013-PENN, Cl A | ||||||||
3.808%, 12/13/2029 (C) | 630 | 657 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, Ser 2007-OA1, Cl A1A | ||||||||
1.530%, VAR 12 Month Treas Avg+0.700%, 02/25/2047 | 2,464 | 2,179 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust, Ser 2007-OA2, Cl 2A | ||||||||
1.530%, VAR 12 Month Treas Avg+0.700%, 01/25/2047 | 1,510 | 1,211 | ||||||
Washington Mutual MSC Mortgage Pass- Through Certificates, Ser 2003-MS1, Cl 1A | ||||||||
5.000%, 02/25/2018 | 1 | 1 | ||||||
Waterfall Commercial Mortgage Trust, Ser 2015-SBC5, Cl A | ||||||||
4.104%, 09/19/2022 (A)(C) | 951 | 950 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2013-LC12, Cl B | ||||||||
4.430%, 07/15/2046 (A) | 20 | 21 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2014-LC18, Cl A5 | ||||||||
3.405%, 12/15/2024 | 570 | 586 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Wells Fargo Commercial Mortgage Trust, Ser 2016-C37, Cl A5 |
| |||||||
3.794%, 11/15/2026 | $ | 550 | $ | 580 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl A1 | ||||||||
3.354%, 06/25/2034 (A) | 552 | 560 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2011-C3, Cl XA, IO | ||||||||
1.535%, 03/15/2044 (A)(C) | 7,353 | 246 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2011-C4, Cl A3 | ||||||||
4.394%, 06/15/2044 (C) | 1,513 | 1,545 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2012-C7, Cl XA, IO | ||||||||
1.609%, 06/15/2045 (A)(C) | 321 | 17 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2014-C19, Cl B | ||||||||
4.723%, 03/15/2047 (A) | 110 | 117 | ||||||
|
|
| ||||||
114,628 | ||||||||
|
|
| ||||||
Total Mortgage-Backed Securities | 697,142 | |||||||
|
|
| ||||||
CORPORATE OBLIGATIONS — 28.9% |
| |||||||
Consumer Discretionary — 2.2% |
| |||||||
1011778 BC ULC / New Red Finance | ||||||||
6.000%, 04/01/2022 (C) | 172 | 177 | ||||||
5.000%, 10/15/2025 (C)(D) | 180 | 182 | ||||||
21st Century Fox America | ||||||||
7.250%, 05/18/2018 | 1,500 | 1,549 | ||||||
6.650%, 11/15/2037 (D) | 180 | 237 | ||||||
6.200%, 12/15/2034 | 65 | 81 | ||||||
Altice Financing | ||||||||
6.625%, 02/15/2023 (C) | 400 | 424 | ||||||
Amazon.com | ||||||||
4.950%, 12/05/2044 | 360 | 416 | ||||||
4.250%, 08/22/2057 (C) | 118 | 121 | ||||||
4.050%, 08/22/2047 (C) | 535 | 545 | ||||||
3.875%, 08/22/2037 (C) | 300 | 305 | ||||||
3.150%, 08/22/2027 (C)(D) | 2,164 | 2,180 | ||||||
2.800%, 08/22/2024 (C) | 538 | 540 | ||||||
2.400%, 02/22/2023 (C) | 753 | 751 | ||||||
1.900%, 08/21/2020 (C)(D) | 709 | 711 | ||||||
American Axle & Manufacturing | ||||||||
6.625%, 10/15/2022 (D) | 380 | 392 | ||||||
American Honda Finance MTN | ||||||||
3.875%, 09/21/2020 (C) | 1,065 | 1,121 | ||||||
AutoZone | ||||||||
3.750%, 06/01/2027 | 440 | 444 | ||||||
BMW US Capital | ||||||||
2.150%, 04/06/2020 (C) | 555 | 558 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 119 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Core Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
CBS | ||||||||
3.375%, 02/15/2028 | $ | 340 | $ | 330 | ||||
2.500%, 02/15/2023 (D) | 675 | 666 | ||||||
CCO Holdings | ||||||||
5.125%, 05/01/2027 (C)(D) | 160 | 162 | ||||||
Charter Communications Operating | ||||||||
6.484%, 10/23/2045 | 410 | 481 | ||||||
6.384%, 10/23/2035 | 10 | 12 | ||||||
5.375%, 05/01/2047 (C) | 478 | 497 | ||||||
4.908%, 07/23/2025 | 580 | 620 | ||||||
4.464%, 07/23/2022 | 1,900 | 2,010 | ||||||
4.200%, 03/15/2028 (C) | 320 | 324 | ||||||
3.750%, 02/15/2028 (C) | 265 | 259 | ||||||
Comcast | ||||||||
6.950%, 08/15/2037 | 20 | 28 | ||||||
6.550%, 07/01/2039 | 80 | 107 | ||||||
6.400%, 03/01/2040 | 100 | 134 | ||||||
4.400%, 08/15/2035 | 315 | 341 | ||||||
4.200%, 08/15/2034 | 200 | 213 | ||||||
4.000%, 08/15/2047 | 115 | 117 | ||||||
3.150%, 02/15/2028 | 879 | 876 | ||||||
2.350%, 01/15/2027 | 285 | 266 | ||||||
Daimler Finance North America | ||||||||
2.375%, 08/01/2018 (C) | 735 | 739 | ||||||
2.300%, 01/06/2020 (C) | 830 | 834 | ||||||
Discovery Communications | ||||||||
5.200%, 09/20/2047 | 136 | 138 | ||||||
4.950%, 05/15/2042 | 120 | 119 | ||||||
4.875%, 04/01/2043 | 235 | 229 | ||||||
3.950%, 03/20/2028 | 222 | 220 | ||||||
DISH DBS | ||||||||
6.750%, 06/01/2021 | 80 | 88 | ||||||
5.875%, 07/15/2022 (D) | 180 | 191 | ||||||
5.875%, 11/15/2024 (D) | 570 | 598 | ||||||
Dollar Tree | ||||||||
5.750%, 03/01/2023 | 240 | 253 | ||||||
ERAC USA Finance | ||||||||
4.500%, 02/15/2045 (C) | 100 | 99 | ||||||
3.300%, 12/01/2026 (C) | 494 | 485 | ||||||
2.700%, 11/01/2023 (C) | 135 | 132 | ||||||
Fiat Chrysler Automobiles | ||||||||
4.500%, 04/15/2020 (D) | 200 | 208 | ||||||
Ford Motor (D) | ||||||||
5.291%, 12/08/2046 | 470 | 490 | ||||||
4.750%, 01/15/2043 | 210 | 206 | ||||||
Ford Motor Credit | ||||||||
5.875%, 08/02/2021 | 230 | 256 | ||||||
3.810%, 01/09/2024 | 360 | 367 | ||||||
3.339%, 03/28/2022 | 530 | 538 | ||||||
2.979%, 08/03/2022 | 990 | 986 | ||||||
Ford Motor Credit LLC | ||||||||
2.597%, 11/04/2019 | 775 | 781 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
General Motors | ||||||||
6.600%, 04/01/2036 | $ | 670 | $ | 796 | ||||
6.250%, 10/02/2043 (D) | 100 | 114 | ||||||
5.400%, 04/01/2048 (D) | 216 | 224 | ||||||
5.150%, 04/01/2038 | 410 | 421 | ||||||
4.200%, 10/01/2027 | 196 | 199 | ||||||
3.500%, 10/02/2018 (D) | 1,000 | 1,016 | ||||||
General Motors Financial | ||||||||
4.375%, 09/25/2021 | 180 | 191 | ||||||
4.350%, 01/17/2027 (D) | 990 | 1,017 | ||||||
4.250%, 05/15/2023 (D) | 110 | 115 | ||||||
3.450%, 04/10/2022 | 90 | 91 | ||||||
3.250%, 05/15/2018 | 60 | 61 | ||||||
Goodyear Tire & Rubber | ||||||||
5.125%, 11/15/2023 (D) | 220 | 230 | ||||||
5.000%, 05/31/2026 | 140 | 146 | ||||||
Grupo Televisa | ||||||||
5.000%, 05/13/2045 | 270 | 271 | ||||||
Hilton Worldwide Finance | ||||||||
4.875%, 04/01/2027 (D) | 290 | 305 | ||||||
Hyundai Capital America | ||||||||
2.125%, 10/02/2017 (C) | 140 | 140 | ||||||
Hyundai Capital America MTN | ||||||||
3.250%, 09/20/2022 (C)(D) | 389 | 388 | ||||||
Lennar | ||||||||
4.500%, 04/30/2024 | 170 | 175 | ||||||
McDonald’s MTN | ||||||||
4.875%, 12/09/2045 | 467 | 526 | ||||||
3.500%, 03/01/2027 (D) | 450 | 462 | ||||||
2.750%, 12/09/2020 | 265 | 270 | ||||||
Myriad International Holdings BV | ||||||||
4.850%, 07/06/2027 (C) | 550 | 569 | ||||||
NBCUniversal Media | ||||||||
4.450%, 01/15/2043 | 75 | 80 | ||||||
4.375%, 04/01/2021 | 270 | 290 | ||||||
NCL | ||||||||
4.750%, 12/15/2021 (C) | 40 | 42 | ||||||
4.625%, 11/15/2020 (C) | 310 | 318 | ||||||
Netflix | ||||||||
5.875%, 02/15/2025 | 110 | 120 | ||||||
5.500%, 02/15/2022 | 50 | 55 | ||||||
Newell Brands | ||||||||
4.200%, 04/01/2026 | 260 | 274 | ||||||
3.850%, 04/01/2023 | 290 | 304 | ||||||
3.150%, 04/01/2021 | 170 | 174 | ||||||
QVC | ||||||||
5.950%, 03/15/2043 | 20 | 20 | ||||||
SFR Group | ||||||||
7.375%, 05/01/2026 (C) | 400 | 432 | ||||||
Taylor Morrison Communities | ||||||||
5.250%, 04/15/2021 (C) | 460 | 472 |
120 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Time Warner | ||||||||
6.250%, 03/29/2041 | $ | 185 | $ | 222 | ||||
4.850%, 07/15/2045 | 50 | 51 | ||||||
4.750%, 03/29/2021 | 730 | 786 | ||||||
3.800%, 02/15/2027 | 295 | 295 | ||||||
3.550%, 06/01/2024 | 1,365 | 1,388 | ||||||
Time Warner Cable | ||||||||
8.250%, 04/01/2019 | 2,265 | 2,463 | ||||||
7.300%, 07/01/2038 | 420 | 527 | ||||||
6.550%, 05/01/2037 | 145 | 170 | ||||||
Time Warner Entertainment | ||||||||
8.375%, 07/15/2033 | 270 | 367 | ||||||
Toyota Motor Credit MTN | ||||||||
2.600%, 01/11/2022 | 820 | 830 | ||||||
1.250%, 10/05/2017 | 1,150 | 1,150 | ||||||
Viacom | ||||||||
4.850%, 12/15/2034 | 264 | 249 | ||||||
4.375%, 03/15/2043 | 130 | 112 | ||||||
4.250%, 09/01/2023 | 100 | 103 | ||||||
3.875%, 04/01/2024 | 100 | 100 | ||||||
|
|
| ||||||
45,255 | ||||||||
|
|
| ||||||
Consumer Staples — 2.2% |
| |||||||
Alimentation Couche-Tard | ||||||||
3.550%, 07/26/2027 (C) | 415 | 419 | ||||||
2.700%, 07/26/2022 (C) | 695 | 697 | ||||||
Altria Group | ||||||||
9.250%, 08/06/2019 | 1,250 | 1,416 | ||||||
4.750%, 05/05/2021 | 20 | 21 | ||||||
Anheuser-Busch InBev Finance | ||||||||
4.900%, 02/01/2046 (D) | 2,846 | 3,215 | ||||||
3.650%, 02/01/2026 | 1,014 | 1,049 | ||||||
3.300%, 02/01/2023 (D) | 2,084 | 2,160 | ||||||
2.650%, 02/01/2021 | 1,520 | 1,545 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
5.375%, 01/15/2020 | 1,140 | 1,226 | ||||||
5.000%, 04/15/2020 | 430 | 462 | ||||||
2.500%, 07/15/2022 (D) | 330 | 333 | ||||||
BAT Capital | ||||||||
4.540%, 08/15/2047 (C) | 775 | 797 | ||||||
3.557%, 08/15/2027 (C) | 1,751 | 1,769 | ||||||
3.222%, 08/15/2024 (C) | 412 | 413 | ||||||
2.764%, 08/15/2022 (C)(D) | 1,822 | 1,832 | ||||||
2.297%, 08/14/2020 (C) | 308 | 309 | ||||||
Church & Dwight | ||||||||
3.950%, 08/01/2047 | 160 | 159 | ||||||
3.150%, 08/01/2027 | 257 | 254 | ||||||
2.450%, 08/01/2022 | 160 | 159 | ||||||
Coca-Cola Femsa | ||||||||
2.375%, 11/26/2018 | 302 | 304 | ||||||
Costco Wholesale | ||||||||
3.000%, 05/18/2027 | 750 | 752 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
2.750%, 05/18/2024 | $ | 650 | $ | 651 | ||||
2.300%, 05/18/2022 | 750 | 751 | ||||||
Cott Holdings | ||||||||
5.500%, 04/01/2025 (C) | 220 | 229 | ||||||
CVS Health | ||||||||
5.125%, 07/20/2045 | 1,750 | 2,013 | ||||||
3.875%, 07/20/2025 | 266 | 277 | ||||||
3.500%, 07/20/2022 | 100 | 104 | ||||||
Danone | ||||||||
2.947%, 11/02/2026 (C) | 250 | 242 | ||||||
2.589%, 11/02/2023 (C) | 1,040 | 1,022 | ||||||
Diageo Capital PLC | ||||||||
4.828%, 07/15/2020 | 1,450 | 1,562 | ||||||
Kraft Heinz Foods | ||||||||
6.500%, 02/09/2040 | 225 | 282 | ||||||
5.375%, 02/10/2020 | 315 | 338 | ||||||
5.200%, 07/15/2045 | 60 | 66 | ||||||
5.000%, 07/15/2035 | 180 | 196 | ||||||
5.000%, 06/04/2042 | 50 | 53 | ||||||
4.375%, 06/01/2046 | 1,413 | 1,395 | ||||||
3.950%, 07/15/2025 | 700 | 721 | ||||||
3.500%, 06/06/2022 (D) | 840 | 870 | ||||||
3.500%, 07/15/2022 | 640 | 662 | ||||||
3.000%, 06/01/2026 (D) | 725 | 695 | ||||||
2.800%, 07/02/2020 | 815 | 830 | ||||||
Kroger | ||||||||
2.950%, 11/01/2021 | 375 | 378 | ||||||
Lamb Weston Holdings | ||||||||
4.625%, 11/01/2024 (C) | 210 | 219 | ||||||
Molson Coors Brewing | ||||||||
3.500%, 05/01/2022 | 100 | 104 | ||||||
Mondelez International Holdings | ||||||||
Netherlands BV | ||||||||
2.000%, 10/28/2021 (C) | 2,030 | 1,994 | ||||||
1.625%, 10/28/2019 (C) | 2,055 | 2,039 | ||||||
PepsiCo | ||||||||
4.000%, 03/05/2042 | 110 | 113 | ||||||
Pernod Ricard | ||||||||
4.450%, 01/15/2022 (C) | 180 | 193 | ||||||
Philip Morris International | ||||||||
4.500%, 03/20/2042 | 60 | 65 | ||||||
2.900%, 11/15/2021 | 370 | 378 | ||||||
2.500%, 08/22/2022 | 340 | 340 | ||||||
2.000%, 02/21/2020 | 1,130 | 1,131 | ||||||
Reckitt Benckiser Treasury Services | ||||||||
2.750%, 06/26/2024 (C) | 1,250 | 1,241 | ||||||
Reynolds American | ||||||||
8.125%, 06/23/2019 | 20 | 22 | ||||||
5.850%, 08/15/2045 | 791 | 968 | ||||||
3.250%, 06/12/2020 | 162 | 166 | ||||||
Spectrum Brands | ||||||||
5.750%, 07/15/2025 (D) | 130 | 139 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 121 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Core Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Walgreens Boots Alliance | ||||||||
4.800%, 11/18/2044 | $ | 470 | $ | 499 | ||||
3.450%, 06/01/2026 | 1,625 | 1,620 | ||||||
3.300%, 11/18/2021 | 590 | 609 | ||||||
Wal-Mart Stores | ||||||||
4.300%, 04/22/2044 | 855 | 942 | ||||||
Wm Wrigley Jr | ||||||||
2.900%, 10/21/2019 (C) | 480 | 487 | ||||||
2.400%, 10/21/2018 (C) | 130 | 131 | ||||||
|
|
| ||||||
46,028 | ||||||||
|
|
| ||||||
Energy — 3.1% | ||||||||
Anadarko Finance, Ser B | ||||||||
7.500%, 05/01/2031 | 810 | 1,008 | ||||||
Anadarko Petroleum | ||||||||
6.600%, 03/15/2046 | 50 | 62 | ||||||
6.450%, 09/15/2036 | 30 | 35 | ||||||
5.550%, 03/15/2026 (D) | 567 | 633 | ||||||
4.850%, 03/15/2021 | 423 | 449 | ||||||
4.500%, 07/15/2044 (D) | 605 | 576 | ||||||
Apache | ||||||||
5.100%, 09/01/2040 | 130 | 136 | ||||||
4.250%, 01/15/2044 (D) | 850 | 798 | ||||||
BG Energy Capital PLC | ||||||||
4.000%, 10/15/2021 (C) | 910 | 961 | ||||||
BP Capital Markets PLC | ||||||||
3.723%, 11/28/2028 | 85 | 88 | ||||||
3.588%, 04/14/2027 | 660 | 679 | ||||||
3.561%, 11/01/2021 | 50 | 52 | ||||||
3.506%, 03/17/2025 | 530 | 547 | ||||||
3.245%, 05/06/2022 | 160 | 166 | ||||||
3.216%, 11/28/2023 | 1,600 | 1,639 | ||||||
3.119%, 05/04/2026 | 100 | 100 | ||||||
Canadian Natural Resources | ||||||||
3.850%, 06/01/2027 | 267 | 270 | ||||||
Cheniere Corpus Christi Holdings | ||||||||
5.125%, 06/30/2027 (C) | 200 | 206 | ||||||
Chesapeake Energy (D) | ||||||||
8.000%, 12/15/2022 (C) | 20 | 22 | ||||||
5.750%, 03/15/2023 | 50 | 46 | ||||||
Chevron | ||||||||
2.954%, 05/16/2026 | 730 | 729 | ||||||
2.895%, 03/03/2024 | 1,130 | 1,146 | ||||||
Cimarex Energy | ||||||||
4.375%, 06/01/2024 | 380 | 402 | ||||||
CNOOC Finance | ||||||||
3.500%, 05/05/2025 | 1,370 | 1,391 | ||||||
Concho Resources | ||||||||
4.875%, 10/01/2047 | 165 | 172 | ||||||
3.750%, 10/01/2027 | 355 | 357 | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/2031 | 50 | 67 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
ConocoPhillips | ||||||||
5.900%, 10/15/2032 | $ | 10 | $ | 12 | ||||
5.900%, 05/15/2038 (D) | 420 | 523 | ||||||
4.150%, 11/15/2034 | 630 | 650 | ||||||
Devon Energy | ||||||||
5.850%, 12/15/2025 (D) | 450 | 519 | ||||||
5.600%, 07/15/2041 | 380 | 416 | ||||||
5.000%, 06/15/2045 | 580 | 611 | ||||||
3.250%, 05/15/2022 (D) | 270 | 273 | ||||||
Devon Financing LLC | ||||||||
7.875%, 09/30/2031 | 260 | 343 | ||||||
Ecopetrol | ||||||||
5.875%, 05/28/2045 (D) | 1,290 | 1,261 | ||||||
Enbridge | ||||||||
3.700%, 07/15/2027 | 340 | 345 | ||||||
2.900%, 07/15/2022 | 496 | 499 | ||||||
Enbridge Energy Partners | ||||||||
7.375%, 10/15/2045 | 140 | 180 | ||||||
5.500%, 09/15/2040 | 240 | 251 | ||||||
Encana | ||||||||
6.500%, 02/01/2038 | 320 | 379 | ||||||
Energy Transfer | ||||||||
8.250%, 11/15/2029 | 1,315 | 1,703 | ||||||
6.125%, 12/15/2045 | 357 | 392 | ||||||
4.500%, 11/01/2023 | 690 | 723 | ||||||
2.500%, 06/15/2018 | 410 | 412 | ||||||
Ensco | ||||||||
8.000%, 01/31/2024 (D) | 218 | 214 | ||||||
4.700%, 03/15/2021 | 2 | 2 | ||||||
EOG Resources | ||||||||
4.150%, 01/15/2026 | 230 | 244 | ||||||
ExxonMobil (D) | ||||||||
4.114%, 03/01/2046 | 150 | 162 | ||||||
3.043%, 03/01/2026 | 460 | 468 | ||||||
Florida Gas Transmission LLC | ||||||||
7.900%, 05/15/2019 (C) | 1,000 | 1,087 | ||||||
Halliburton | ||||||||
5.000%, 11/15/2045 | 480 | 526 | ||||||
4.850%, 11/15/2035 | 60 | 65 | ||||||
3.800%, 11/15/2025 | 540 | 555 | ||||||
Hess | ||||||||
5.800%, 04/01/2047 | 105 | 108 | ||||||
Kerr-McGee | ||||||||
7.875%, 09/15/2031 | 510 | 648 | ||||||
Kinder Morgan | ||||||||
5.550%, 06/01/2045 | 220 | 237 | ||||||
5.000%, 02/15/2021 (C) | 835 | 896 | ||||||
4.300%, 06/01/2025 | 1,295 | 1,357 | ||||||
3.150%, 01/15/2023 | 782 | 786 | ||||||
Kinder Morgan Energy Partners | ||||||||
5.400%, 09/01/2044 | 220 | 229 |
122 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Marathon Oil | ||||||||
6.600%, 10/01/2037 (D) | $ | 174 | $ | 201 | ||||
Marathon Petroleum | ||||||||
5.000%, 09/15/2054 | 240 | 232 | ||||||
4.750%, 09/15/2044 | 105 | 104 | ||||||
MPLX | ||||||||
4.875%, 12/01/2024 | 320 | 345 | ||||||
4.875%, 06/01/2025 | 110 | 118 | ||||||
Newfield Exploration | ||||||||
5.625%, 07/01/2024 | 210 | 225 | ||||||
Noble Energy | ||||||||
5.250%, 11/15/2043 | 180 | 189 | ||||||
4.950%, 08/15/2047 | 150 | 153 | ||||||
4.150%, 12/15/2021 (D) | 690 | 727 | ||||||
3.900%, 11/15/2024 | 500 | 512 | ||||||
3.850%, 01/15/2028 | 280 | 280 | ||||||
Occidental Petroleum | ||||||||
4.625%, 06/15/2045 (D) | 150 | 164 | ||||||
4.400%, 04/15/2046 (D) | 90 | 95 | ||||||
4.100%, 02/15/2047 (D) | 320 | 329 | ||||||
3.400%, 04/15/2026 | 270 | 276 | ||||||
3.125%, 02/15/2022 (D) | 330 | 340 | ||||||
3.000%, 02/15/2027 (D) | 230 | 226 | ||||||
Panhandle Eastern Pipeline | ||||||||
8.125%, 06/01/2019 | 2,000 | 2,178 | ||||||
Petrobras Global Finance | ||||||||
6.850%, 06/05/2115 | 620 | 592 | ||||||
6.250%, 03/17/2024 | 1,084 | 1,158 | ||||||
Petrobras Global Finance BV | ||||||||
7.375%, 01/17/2027 | 310 | 341 | ||||||
6.125%, 01/17/2022 | 130 | 140 | ||||||
5.299%, 01/27/2025 (C) | 1,278 | 1,276 | ||||||
Petro-Canada | ||||||||
6.800%, 05/15/2038 | 825 | 1,105 | ||||||
Petroleos Mexicanos | ||||||||
6.625%, 06/15/2035 (D) | 727 | 783 | ||||||
6.500%, 03/13/2027 (C) | 291 | 322 | ||||||
6.375%, 01/23/2045 | 490 | 499 | ||||||
5.625%, 01/23/2046 | 385 | 358 | ||||||
5.500%, 06/27/2044 (D) | 90 | 84 | ||||||
2.460%, 12/15/2025 | 1,003 | 1,008 | ||||||
2.378%, 04/15/2025 | 528 | 532 | ||||||
Petroleos Mexicanos MTN | ||||||||
6.750%, 09/21/2047 | 295 | 314 | ||||||
6.500%, 03/13/2027 (C) | 395 | 438 | ||||||
Phillips 66 Partners | ||||||||
4.900%, 10/01/2046 | 355 | 355 | ||||||
Plains All American Pipeline | ||||||||
4.650%, 10/15/2025 | 500 | 515 | ||||||
4.500%, 12/15/2026 | 100 | 101 | ||||||
QEP Resources | ||||||||
6.875%, 03/01/2021 (D) | 340 | 358 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Range Resources | ||||||||
5.875%, 07/01/2022 (C) | $ | 10 | $ | 10 | ||||
5.000%, 03/15/2023 (C)(D) | 340 | 337 | ||||||
4.875%, 05/15/2025 (D) | 20 | 20 | ||||||
Sabine Pass Liquefaction | ||||||||
5.875%, 06/30/2026 | 210 | 234 | ||||||
5.750%, 05/15/2024 | 220 | 245 | ||||||
5.625%, 03/01/2025 | 700 | 772 | ||||||
5.000%, 03/15/2027 | 407 | 434 | ||||||
4.200%, 03/15/2028 | 80 | 81 | ||||||
Schlumberger Holdings | ||||||||
4.000%, 12/21/2025 (C) | 330 | 346 | ||||||
3.000%, 12/21/2020 (C) | 1,690 | 1,731 | ||||||
Shelf Drilling Holdings | ||||||||
9.500%, 11/02/2020 (C) | 36 | 37 | ||||||
Shell International Finance BV | ||||||||
4.550%, 08/12/2043 | 200 | 217 | ||||||
4.375%, 03/25/2020 | 690 | 732 | ||||||
4.375%, 05/11/2045 (D) | 280 | 300 | ||||||
4.125%, 05/11/2035 | 920 | 972 | ||||||
4.000%, 05/10/2046 (D) | 507 | 513 | ||||||
2.875%, 05/10/2026 (D) | 700 | 696 | ||||||
Sinopec Group Overseas Development | ||||||||
4.375%, 04/10/2024 (C) | 860 | 923 | ||||||
Southern Natural Gas LLC | ||||||||
8.000%, 03/01/2032 | 170 | 231 | ||||||
Spectra Energy Partners | ||||||||
3.500%, 03/15/2025 | 415 | 418 | ||||||
Statoil | ||||||||
3.700%, 03/01/2024 | 355 | 374 | ||||||
TC PipeLines | ||||||||
3.900%, 05/25/2027 | 320 | 321 | ||||||
Tennessee Gas Pipeline LLC | ||||||||
8.375%, 06/15/2032 | 1,638 | 2,113 | ||||||
Texas Eastern Transmission | ||||||||
2.800%, 10/15/2022 (C) | 750 | 738 | ||||||
Total Capital International | ||||||||
2.875%, 02/17/2022 | 850 | 868 | ||||||
TransCanada PipeLines | ||||||||
4.625%, 03/01/2034 | 815 | 891 | ||||||
Transcontinental Gas Pipe Line | ||||||||
7.850%, 02/01/2026 | 590 | 762 | ||||||
Williams | ||||||||
7.875%, 09/01/2021 | 475 | 558 | ||||||
7.750%, 06/15/2031 (D) | 461 | 561 | ||||||
Williams Partners | ||||||||
5.100%, 09/15/2045 | 265 | 279 | ||||||
4.875%, 03/15/2024 | 100 | 105 | ||||||
3.900%, 01/15/2025 | 750 | 765 | ||||||
3.750%, 06/15/2027 | 455 | 454 | ||||||
WPX Energy | ||||||||
8.250%, 08/01/2023 | 50 | 56 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 123 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Core Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
6.000%, 01/15/2022 | $ | 10 | $ | 10 | ||||
|
|
| ||||||
64,890 | ||||||||
|
|
| ||||||
Financials — 10.2% | ||||||||
ABN AMRO Bank | ||||||||
4.750%, 07/28/2025 (C) | 360 | 382 | ||||||
Ally Financial | ||||||||
7.500%, 09/15/2020 | 526 | 592 | ||||||
American Campus Communities Operating Partnership | ||||||||
3.750%, 04/15/2023 | 1,050 | 1,081 | ||||||
American Express | ||||||||
7.000%, 03/19/2018 | 800 | 820 | ||||||
2.500%, 08/01/2022 | 830 | 829 | ||||||
American Express Credit MTN | ||||||||
2.250%, 08/15/2019 | 1,025 | 1,033 | ||||||
2.200%, 03/03/2020 | 1,500 | 1,508 | ||||||
American International Group | ||||||||
6.250%, 05/01/2036 | 335 | 428 | ||||||
6.250%, VAR ICE LIBOR USD 3 Month+2.056%, 03/15/2037 | 1,220 | 1,336 | ||||||
4.375%, 01/15/2055 | 80 | 78 | ||||||
3.900%, 04/01/2026 | 560 | 583 | ||||||
Banco Santander | ||||||||
4.250%, 04/11/2027 | 285 | 296 | ||||||
3.500%, 04/11/2022 | 370 | 379 | ||||||
Bank of America | ||||||||
7.625%, 06/01/2019 | 3,400 | 3,711 | ||||||
6.875%, 11/15/2018 (D) | 1,250 | 1,317 | ||||||
6.250%, VAR ICE LIBOR USD 3 Month+3.705%, 09/29/2049 | 720 | 794 | ||||||
5.750%, 12/01/2017 | 305 | 307 | ||||||
Bank of America MTN | ||||||||
6.875%, 04/25/2018 | 675 | 694 | ||||||
5.650%, 05/01/2018 | 1,000 | 1,023 | ||||||
5.625%, 07/01/2020 | 110 | 120 | ||||||
5.000%, 01/21/2044 (D) | 770 | 892 | ||||||
4.450%, 03/03/2026 | 417 | 441 | ||||||
4.244%, VAR ICE LIBOR USD 3 Month+1.814%, 04/24/2038 | 444 | 469 | ||||||
4.200%, 08/26/2024 (D) | 830 | 873 | ||||||
4.000%, 04/01/2024 (D) | 3,310 | 3,497 | ||||||
4.000%, 01/22/2025 | 810 | 838 | ||||||
3.875%, 08/01/2025 | 1,972 | 2,066 | ||||||
3.824%, VAR ICE LIBOR USD 3 Month+1.575%, 01/20/2028 | 874 | 899 | ||||||
3.593%, VAR ICE LIBOR USD 3 Month+1.370%, 07/21/2028 (D) | 2,020 | 2,040 | ||||||
3.500%, 04/19/2026 (D) | 60 | 61 | ||||||
3.300%, 01/11/2023 (D) | 160 | 164 | ||||||
3.093%, VAR ICE LIBOR USD 3 Month+1.090%, 10/01/2025 | 930 | 929 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
2.625%, 04/19/2021 | $ | 2,365 | $ | 2,381 | ||||
2.600%, 01/15/2019 | 670 | 675 | ||||||
2.503%, 10/21/2022 | 1,050 | 1,040 | ||||||
2.369%, VAR ICE LIBOR USD 3 Month+0.660%, 07/21/2021 | 1,025 | 1,025 | ||||||
Bank of New York Mellon | ||||||||
3.400%, 05/15/2024 | 770 | 796 | ||||||
Bank of New York Mellon MTN | ||||||||
3.250%, 05/16/2027 | 654 | 664 | ||||||
2.200%, 03/04/2019 | 630 | 633 | ||||||
Barclays Bank PLC MTN | ||||||||
6.050%, 12/04/2017 (C) | 420 | 423 | ||||||
Bear Stearns | ||||||||
6.400%, 10/02/2017 | 70 | 70 | ||||||
4.650%, 07/02/2018 | 995 | 1,016 | ||||||
Berkshire Hathaway Finance | ||||||||
4.400%, 05/15/2042 | 1,000 | 1,098 | ||||||
BNP Paribas | ||||||||
4.625%, 03/13/2027 (C) | 200 | 212 | ||||||
Boeing Capital | ||||||||
4.700%, 10/27/2019 | 490 | 519 | ||||||
BPCE | ||||||||
5.150%, 07/21/2024 (C)(D) | 210 | 226 | ||||||
Brighthouse Financial | ||||||||
4.700%, 06/22/2047 (C) | 205 | 200 | ||||||
3.700%, 06/22/2027 (C) | 560 | 550 | ||||||
Capital One | ||||||||
2.650%, 08/08/2022 | 887 | 883 | ||||||
Capital One Financial | ||||||||
4.200%, 10/29/2025 | 141 | 145 | ||||||
3.750%, 03/09/2027 (D) | 200 | 202 | ||||||
Chubb INA Holdings | ||||||||
4.350%, 11/03/2045 | 320 | 352 | ||||||
3.350%, 05/03/2026 | 170 | 174 | ||||||
2.300%, 11/03/2020 | 160 | 161 | ||||||
Citibank | ||||||||
2.100%, 06/12/2020 | 1,885 | 1,888 | ||||||
Citigroup | ||||||||
8.125%, 07/15/2039 | 69 | 109 | ||||||
6.675%, 09/13/2043 | 70 | 95 | ||||||
6.625%, 06/15/2032 | 100 | 127 | ||||||
6.300%, VAR ICE LIBOR USD 3 Month+3.423%, 12/29/2049 | 520 | 564 | ||||||
5.950%, VAR ICE LIBOR USD 3 Month+3.905%, 12/31/2049 | 1,250 | 1,352 | ||||||
5.950%, VAR ICE LIBOR USD 3 Month+4.068%, 12/29/2049 | 360 | 387 | ||||||
5.900%, VAR ICE LIBOR USD 3 Month+4.230%, 12/29/2049 | 140 | 151 | ||||||
5.500%, 09/13/2025 | 750 | 842 | ||||||
5.350%, VAR ICE LIBOR USD 3 Month+3.466%, 05/29/2049 | 390 | 405 |
124 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
5.300%, 05/06/2044 | $ | 178 | $ | 208 | ||||
4.750%, 05/18/2046 (D) | 70 | 76 | ||||||
4.650%, 07/30/2045 | 567 | 628 | ||||||
4.450%, 09/29/2027 | 1,490 | 1,573 | ||||||
4.400%, 06/10/2025 | 810 | 853 | ||||||
4.300%, 11/20/2026 | 180 | 188 | ||||||
4.050%, 07/30/2022 | 70 | 73 | ||||||
3.700%, 01/12/2026 | 905 | 928 | ||||||
3.500%, 05/15/2023 | 500 | 509 | ||||||
3.400%, 05/01/2026 | 605 | 606 | ||||||
3.200%, 10/21/2026 | 180 | 177 | ||||||
2.500%, 09/26/2018 | 4,100 | 4,127 | ||||||
2.050%, 12/07/2018 | 2,000 | 2,003 | ||||||
1.750%, 05/01/2018 | 1,835 | 1,836 | ||||||
Citigroup Capital III | ||||||||
7.625%, 12/01/2036 | 1,500 | 1,942 | ||||||
Commonwealth Bank of Australia MTN | ||||||||
5.000%, 10/15/2019 (C) | 10 | 11 | ||||||
3.900%, 07/12/2047 (C)(D) | 510 | 512 | ||||||
Compass Bank | ||||||||
3.875%, 04/10/2025 | 430 | 429 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank | ||||||||
5.250%, 08/04/2045 | 310 | 369 | ||||||
4.625%, 12/01/2023 | 1,100 | 1,182 | ||||||
4.375%, 08/04/2025 (D) | 650 | 682 | ||||||
Cooperatieve Rabobank UA | ||||||||
11.000%, VAR ICE LIBOR USD 3 Month+10.868%, 12/31/2049 (C) | 920 | 1,040 | ||||||
Credit Agricole | ||||||||
8.375%, VAR ICE LIBOR USD 3 Month+6.982%, 12/31/2049 (C) | 1,090 | 1,207 | ||||||
Credit Suisse Group | ||||||||
2.997%, VAR ICE LIBOR USD 3 Month+1.200%, 12/14/2023 (C) | 845 | 843 | ||||||
Credit Suisse Group Funding Guernsey | ||||||||
4.875%, 05/15/2045 | 890 | 994 | ||||||
4.550%, 04/17/2026 | 580 | 622 | ||||||
3.800%, 09/15/2022 | 290 | 301 | ||||||
3.800%, 06/09/2023 | 285 | 295 | ||||||
Discover Bank | ||||||||
2.600%, 11/13/2018 | 995 | 1,002 | ||||||
DNB Bank | ||||||||
2.125%, 10/02/2020 (C) | 1,040 | 1,039 | ||||||
Farmers Exchange Capital | ||||||||
7.050%, 07/15/2028 (C) | 1,000 | 1,256 | ||||||
Farmers Exchange Capital II | ||||||||
6.151%, VAR ICE LIBOR USD 3 Month+3.744%, 11/01/2053 (C) | 1,650 | 1,879 | ||||||
Ford Motor Credit LLC | ||||||||
8.125%, 01/15/2020 | 660 | 743 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
General Electric MTN | ||||||||
4.375%, 09/16/2020 | $ | 30 | $ | 32 | ||||
Goldman Sachs Capital II | ||||||||
4.000%, VAR ICE LIBOR USD 3 Month+0.768%, 06/01/2043 | 10 | 9 | ||||||
Goldman Sachs Group | ||||||||
6.750%, 10/01/2037 | 714 | 942 | ||||||
6.250%, 02/01/2041 | 750 | 990 | ||||||
6.150%, 04/01/2018 | 2,780 | 2,841 | ||||||
5.950%, 01/18/2018 | 260 | 263 | ||||||
5.750%, 01/24/2022 | 110 | 123 | ||||||
5.250%, 07/27/2021 | 340 | 374 | ||||||
5.150%, 05/22/2045 (D) | 600 | 687 | ||||||
4.750%, 10/21/2045 | 390 | 434 | ||||||
4.250%, 10/21/2025 | 520 | 542 | ||||||
3.750%, 02/25/2026 | 435 | 445 | ||||||
3.691%, VAR ICE LIBOR USD 3 Month+1.510%, 06/05/2028 | 1,380 | 1,391 | ||||||
3.500%, 11/16/2026 | 516 | 517 | ||||||
3.272%, VAR ICE LIBOR USD 3 Month+1.201%, 09/29/2025 | 1,925 | 1,928 | ||||||
2.750%, 09/15/2020 | 490 | 496 | ||||||
2.375%, 01/22/2018 | 2,370 | 2,376 | ||||||
Goldman Sachs Group MTN | ||||||||
7.500%, 02/15/2019 | 3,930 | 4,221 | ||||||
6.000%, 06/15/2020 | 170 | 187 | ||||||
5.375%, 03/15/2020 (D) | 2,860 | 3,072 | ||||||
4.000%, 03/03/2024 (D) | 490 | 517 | ||||||
3.850%, 07/08/2024 | 830 | 864 | ||||||
Goodman US Finance Three | ||||||||
4.500%, 10/15/2037 (C) | 116 | 117 | ||||||
Guardian Life Global Funding | ||||||||
1.950%, 10/27/2021 (C) | 750 | 737 | ||||||
Guardian Life Global Funding MTN | ||||||||
2.000%, 04/26/2021 (C) | 1,000 | 987 | ||||||
Guardian Life Insurance of America | ||||||||
4.850%, 01/24/2077 (C) | 36 | 39 | ||||||
HBOS PLC MTN | ||||||||
6.750%, 05/21/2018 (C) | 2,100 | 2,162 | ||||||
HSBC Bank PLC | ||||||||
4.750%, 01/19/2021 (C) | 1,760 | 1,894 | ||||||
HSBC Holdings | ||||||||
4.375%, 11/23/2026 | 947 | 987 | ||||||
4.250%, 08/18/2025 | 750 | 777 | ||||||
4.041%, VAR ICE LIBOR USD 3 Month+1.546%, 03/13/2028 | 335 | 350 | ||||||
3.400%, 03/08/2021 (D) | 1,020 | 1,052 | ||||||
3.262%, VAR ICE LIBOR USD 3 Month+1.055%, 03/13/2023 | �� | 1,020 | 1,041 | |||||
2.650%, 01/05/2022 | 1,250 | 1,255 | ||||||
HSBC Holdings PLC | ||||||||
4.250%, 03/14/2024 | 985 | 1,030 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 125 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Core Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
4.000%, 03/30/2022 | $ | 330 | $ | 349 | ||||
ILFC E-Capital Trust II | ||||||||
4.610%, 12/21/2065 (A)(C) | 400 | 381 | ||||||
ING Bank | ||||||||
5.800%, 09/25/2023 (C) | 920 | 1,050 | ||||||
ING Groep | ||||||||
3.950%, 03/29/2027 | 430 | 448 | ||||||
3.150%, 03/29/2022 | 495 | 505 | ||||||
International Lease Finance | ||||||||
7.125%, 09/01/2018 (C) | 2,080 | 2,178 | ||||||
Intesa Sanpaolo | ||||||||
3.875%, 07/14/2027 (C) | 865 | 868 | ||||||
3.125%, 07/14/2022 (C) | 1,090 | 1,093 | ||||||
Intesa Sanpaolo MTN | ||||||||
5.017%, 06/26/2024 (C) | 1,610 | 1,637 | ||||||
John Deere Capital | ||||||||
1.700%, 01/15/2020 | 160 | 159 | ||||||
JPMorgan Chase | ||||||||
6.300%, 04/23/2019 | 2,000 | 2,134 | ||||||
6.000%, 01/15/2018 | 3,635 | 3,681 | ||||||
4.950%, 06/01/2045 | 150 | 171 | ||||||
4.500%, 01/24/2022 | 180 | 195 | ||||||
4.400%, 07/22/2020 | 210 | 223 | ||||||
4.350%, 08/15/2021 (D) | 160 | 171 | ||||||
4.260%, VAR ICE LIBOR USD 3 | 575 | 603 | ||||||
4.250%, 10/15/2020 | 330 | 349 | ||||||
4.250%, 10/01/2027 (D) | 130 | 137 | ||||||
4.032%, VAR ICE LIBOR USD 3 | 695 | 706 | ||||||
3.900%, 07/15/2025 | 2,115 | 2,227 | ||||||
3.882%, VAR ICE LIBOR USD 3 | 750 | 756 | ||||||
3.875%, 09/10/2024 (D) | 620 | 646 | ||||||
3.250%, 09/23/2022 | 45 | 47 | ||||||
3.220%, VAR ICE LIBOR USD 3 Month+1.155%, 03/01/2025 | 2,605 | 2,647 | ||||||
2.972%, 01/15/2023 (D) | 1,060 | 1,077 | ||||||
2.950%, 10/01/2026 | 1,134 | 1,110 | ||||||
2.776%, VAR ICE LIBOR USD 3 | 1,275 | 1,282 | ||||||
2.700%, 05/18/2023 | 1,045 | 1,045 | ||||||
JPMorgan Chase MTN | ||||||||
2.295%, 08/15/2021 | 925 | 924 | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 10/01/2017 | 1,600 | 1,600 | ||||||
Kemper | ||||||||
4.350%, 02/15/2025 (D) | 515 | 522 | ||||||
KKR Group Finance II | ||||||||
5.500%, 02/01/2043 (C) | 60 | 68 | ||||||
Lazard Group LLC | ||||||||
3.750%, 02/13/2025 | 650 | 663 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Macquarie Bank MTN | ||||||||
1.947%, VAR ICE LIBOR USD 3 | $ | 1,180 | $ | 1,181 | ||||
Massachusetts Mutual Life Insurance | ||||||||
8.875%, 06/01/2039 (C) | 107 | 174 | ||||||
MetLife Capital Trust IV | ||||||||
7.875%, 12/15/2037 (C) | 800 | 1,072 | ||||||
Metropolitan Life Global Funding I | ||||||||
3.450%, 12/18/2026 (C) | 1,150 | 1,183 | ||||||
1.950%, 09/15/2021 (C) | 330 | 325 | ||||||
Mitsubishi UFJ Financial Group | ||||||||
2.998%, 02/22/2022 | 230 | 233 | ||||||
Morgan Stanley | ||||||||
4.375%, 01/22/2047 | 105 | 112 | ||||||
3.625%, 01/20/2027 | 681 | 690 | ||||||
2.109%, VAR ICE LIBOR USD 3 | 4,500 | 4,523 | ||||||
Morgan Stanley MTN | ||||||||
7.300%, 05/13/2019 | 545 | 590 | ||||||
6.625%, 04/01/2018 | 1,000 | 1,024 | ||||||
5.950%, 12/28/2017 | 2,000 | 2,020 | ||||||
5.500%, 07/24/2020 (D) | 500 | 543 | ||||||
4.350%, 09/08/2026 | 37 | 39 | ||||||
3.971%, VAR ICE LIBOR USD 3 | 390 | 392 | ||||||
3.125%, 07/27/2026 | 135 | 132 | ||||||
2.750%, 05/19/2022 | 1,370 | 1,378 | ||||||
2.625%, 11/17/2021 | 2,478 | 2,487 | ||||||
2.500%, 04/21/2021 | 575 | 577 | ||||||
2.243%, VAR ICE LIBOR USD 3 | 2,045 | 2,053 | ||||||
Nationwide Mutual Insurance | ||||||||
3.610%, VAR ICE LIBOR USD 3 | 2,975 | 2,972 | ||||||
New York Life Global Funding | ||||||||
1.550%, 11/02/2018 (C) | 1,000 | 999 | ||||||
New York Life Insurance | ||||||||
6.750%, 11/15/2039 (C) | 415 | 577 | ||||||
Nippon Life Insurance | ||||||||
4.000%, VAR USD ICE Swap 11:00 NY 5 | 490 | 485 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/2040 (C) | 690 | 908 | ||||||
3.850%, 09/30/2047 (C) | 435 | 430 | ||||||
PNC Bank | ||||||||
2.550%, 12/09/2021 | 250 | 252 | ||||||
2.250%, 07/02/2019 | 545 | 549 | ||||||
PNC Bank MTN | ||||||||
2.400%, 10/18/2019 | 625 | 630 | ||||||
Protective Life Global Funding | ||||||||
1.722%, 04/15/2019 (C) | 1,600 | 1,595 |
126 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Quicken Loans | ||||||||
5.750%, 05/01/2025 (C)(D) | $ | 200 | $ | 210 | ||||
Royal Bank of Scotland Group PLC |
| |||||||
6.125%, 12/15/2022 (D) | 390 | 429 | ||||||
6.100%, 06/10/2023 | 550 | 609 | ||||||
6.000%, 12/19/2023 | 860 | 951 | ||||||
5.125%, 05/28/2024 | 490 | 522 | ||||||
Santander Holdings USA | ||||||||
4.500%, 07/17/2025 (D) | 80 | 83 | ||||||
Santander UK Group Holdings | ||||||||
2.875%, 08/05/2021 | 1,485 | 1,492 | ||||||
Standard Chartered | ||||||||
5.700%, 03/26/2044 (C)(D) | 1,160 | 1,363 | ||||||
State Street | ||||||||
4.956%, 03/15/2018 | 1,300 | 1,318 | ||||||
Sumitomo Mitsui Financial Group | ||||||||
2.058%, 07/14/2021 | 340 | 335 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/2039 (C) | 110 | 152 | ||||||
4.900%, 09/15/2044 (C) | 175 | 198 | ||||||
4.270%, 05/15/2047 (C) | 125 | 129 | ||||||
UBS Group Funding Switzerland | ||||||||
4.253%, 03/23/2028 (C) | 720 | 755 | ||||||
4.125%, 09/24/2025 (C) | 200 | 210 | ||||||
3.491%, 05/23/2023 (C) | 1,655 | 1,695 | ||||||
2.650%, 02/01/2022 (C) | 1,025 | 1,021 | ||||||
US Bancorp MTN | ||||||||
3.150%, 04/27/2027 | 247 | 248 | ||||||
US Bank | ||||||||
2.125%, 10/28/2019 | 435 | 438 | ||||||
Wachovia MTN | ||||||||
5.750%, 02/01/2018 | 2,000 | 2,028 | ||||||
Wachovia Capital Trust III | ||||||||
5.570%, VAR ICE LIBOR USD 3 Month+0.930%, 05/31/2016 (D) | 2,340 | 2,346 | ||||||
WEA Finance | ||||||||
4.750%, 09/17/2044 (C) | 230 | 237 | ||||||
3.750%, 09/17/2024 (C) | 780 | 795 | ||||||
3.250%, 10/05/2020 (C) | 1,750 | 1,787 | ||||||
3.150%, 04/05/2022 (C) | 555 | 562 | ||||||
Wells Fargo | ||||||||
5.875%, VAR ICE LIBOR USD 3 Month+3.990%, 12/29/2049 | 120 | 133 | ||||||
3.000%, 04/22/2026 | 1,935 | 1,901 | ||||||
3.000%, 10/23/2026 | 1,310 | 1,281 | ||||||
2.100%, 07/26/2021 | 1,280 | 1,269 | ||||||
Wells Fargo MTN | ||||||||
4.900%, 11/17/2045 | 650 | 725 | ||||||
4.750%, 12/07/2046 (D) | 500 | 549 | ||||||
4.650%, 11/04/2044 | 260 | 278 | ||||||
4.600%, 04/01/2021 (D) | 160 | 172 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
4.400%, 06/14/2046 (D) | $ | 820 | $ | 851 | ||||
4.300%, 07/22/2027 (D) | 1,500 | 1,586 | ||||||
3.450%, 02/13/2023 | 430 | 441 | ||||||
3.000%, 01/22/2021 | 1,010 | 1,033 | ||||||
2.625%, 07/22/2022 (D) | 3,340 | 3,346 | ||||||
Wells Fargo Bank | ||||||||
6.000%, 11/15/2017 | 250 | 251 | ||||||
Wells Fargo Bank MTN | ||||||||
1.650%, 01/22/2018 | 1,670 | 1,671 | ||||||
|
|
| ||||||
212,834 | ||||||||
|
|
| ||||||
Health Care — 2.6% | ||||||||
Abbott Laboratories | ||||||||
4.900%, 11/30/2046 | 435 | 486 | ||||||
4.750%, 11/30/2036 | 170 | 188 | ||||||
3.750%, 11/30/2026 | 2,735 | 2,806 | ||||||
3.400%, 11/30/2023 | 2,080 | 2,145 | ||||||
AbbVie | ||||||||
4.700%, 05/14/2045 | 500 | 545 | ||||||
4.500%, 05/14/2035 | 510 | 549 | ||||||
4.450%, 05/14/2046 | 535 | 563 | ||||||
3.600%, 05/14/2025 | 90 | 93 | ||||||
3.200%, 05/14/2026 (D) | 360 | 361 | ||||||
2.900%, 11/06/2022 | 190 | 193 | ||||||
2.500%, 05/14/2020 | 790 | 799 | ||||||
1.800%, 05/14/2018 | 750 | 751 | ||||||
Aetna | ||||||||
2.800%, 06/15/2023 | 1,665 | 1,675 | ||||||
2.200%, 03/15/2019 | 310 | 312 | ||||||
Allergan Funding SCS | ||||||||
4.750%, 03/15/2045 | 41 | 44 | ||||||
4.550%, 03/15/2035 | 60 | 64 | ||||||
3.800%, 03/15/2025 | 2,495 | 2,591 | ||||||
3.450%, 03/15/2022 | 530 | 550 | ||||||
Amgen | ||||||||
5.150%, 11/15/2041 | 745 | 852 | ||||||
4.663%, 06/15/2051 | 500 | 549 | ||||||
4.400%, 05/01/2045 | 745 | 789 | ||||||
3.625%, 05/22/2024 (D) | 100 | 104 | ||||||
Anthem | ||||||||
3.500%, 08/15/2024 | 500 | 514 | ||||||
Baxalta | ||||||||
3.600%, 06/23/2022 | 920 | 953 | ||||||
Becton Dickinson | ||||||||
4.685%, 12/15/2044 (D) | 505 | 534 | ||||||
3.734%, 12/15/2024 (D) | 162 | 166 | ||||||
3.700%, 06/06/2027 | 455 | 460 | ||||||
3.363%, 06/06/2024 | 1,115 | 1,125 | ||||||
2.894%, 06/06/2022 | 575 | 577 | ||||||
2.404%, 06/05/2020 | 680 | 682 | ||||||
Biogen | ||||||||
3.625%, 09/15/2022 | 260 | 273 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 127 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Core Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Cardinal Health | ||||||||
3.079%, 06/15/2024 | $ | 220 | $ | 221 | ||||
2.616%, 06/15/2022 | 170 | 170 | ||||||
Celgene | ||||||||
5.000%, 08/15/2045 | 2,125 | 2,402 | ||||||
3.875%, 08/15/2025 | 220 | 232 | ||||||
3.550%, 08/15/2022 | 300 | 314 | ||||||
Centene | ||||||||
6.125%, 02/15/2024 (D) | 110 | 119 | ||||||
4.750%, 05/15/2022 | 210 | 219 | ||||||
4.750%, 01/15/2025 | 130 | 135 | ||||||
Cigna | ||||||||
3.050%, 10/15/2027 | 1,005 | 991 | ||||||
DaVita | ||||||||
5.000%, 05/01/2025 | 20 | 20 | ||||||
Eli Lilly | ||||||||
3.950%, 05/15/2047 | 170 | 176 | ||||||
3.100%, 05/15/2027 | 475 | 478 | ||||||
2.350%, 05/15/2022 | 190 | 190 | ||||||
EMD Finance | ||||||||
2.400%, 03/19/2020 (C) | 1,045 | 1,053 | ||||||
Fresenius Medical Care US Finance II |
| |||||||
5.875%, 01/31/2022 (C) | 170 | 191 | ||||||
5.625%, 07/31/2019 (C) | 750 | 796 | ||||||
Gilead Sciences | ||||||||
4.750%, 03/01/2046 | 470 | 526 | ||||||
3.700%, 04/01/2024 (D) | 775 | 819 | ||||||
3.650%, 03/01/2026 | 310 | 323 | ||||||
3.500%, 02/01/2025 | 1,030 | 1,073 | ||||||
3.250%, 09/01/2022 | 405 | 418 | ||||||
GlaxoSmithKline Capital | ||||||||
5.650%, 05/15/2018 | 810 | 831 | ||||||
Humana | ||||||||
7.200%, 06/15/2018 | 1,150 | 1,193 | ||||||
4.950%, 10/01/2044 | 50 | 57 | ||||||
4.800%, 03/15/2047 (D) | 20 | 22 | ||||||
4.625%, 12/01/2042 (D) | 130 | 140 | ||||||
3.950%, 03/15/2027 | 50 | 52 | ||||||
3.850%, 10/01/2024 | 790 | 830 | ||||||
3.150%, 12/01/2022 | 170 | 173 | ||||||
Johnson & Johnson | ||||||||
4.500%, 12/05/2043 | 600 | 689 | ||||||
3.625%, 03/03/2037 | 260 | 270 | ||||||
Kaiser Foundation Hospitals | ||||||||
3.150%, 05/01/2027 | 2,500 | 2,516 | ||||||
Laboratory Corp of America Holdings |
| |||||||
3.600%, 09/01/2027 | 335 | 337 | ||||||
3.250%, 09/01/2024 | 335 | 336 | ||||||
Medtronic | ||||||||
3.625%, 03/15/2024 | 465 | 490 | ||||||
3.500%, 03/15/2025 (D) | 840 | 876 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Medtronic Global Holdings SCA | ||||||||
3.350%, 04/01/2027 | $ | 330 | $ | 339 | ||||
Merck | ||||||||
2.750%, 02/10/2025 (D) | 230 | 231 | ||||||
Perrigo Finance Unlimited | ||||||||
4.375%, 03/15/2026 | 365 | 379 | ||||||
3.900%, 12/15/2024 | 235 | 240 | ||||||
Pfizer | ||||||||
4.000%, 12/15/2036 | 410 | 440 | ||||||
Providence St. Joseph Health Obligated Group |
| |||||||
2.746%, 10/01/2026 | 1,200 | 1,151 | ||||||
RWJ Barnabas Health | ||||||||
3.949%, 07/01/2046 | 1,030 | 1,026 | ||||||
Shire Acquisitions Investments Ireland |
| |||||||
3.200%, 09/23/2026 | 810 | 798 | ||||||
2.875%, 09/23/2023 | 685 | 681 | ||||||
1.900%, 09/23/2019 | 2,200 | 2,196 | ||||||
Tenet Healthcare | ||||||||
8.125%, 04/01/2022 (D) | 60 | 61 | ||||||
Teva Pharmaceutical Finance BV | ||||||||
2.950%, 12/18/2022 (D) | 120 | 117 | ||||||
Teva Pharmaceutical Finance Netherlands III BV |
| |||||||
3.150%, 10/01/2026 (D) | 190 | 175 | ||||||
2.800%, 07/21/2023 (D) | 50 | 48 | ||||||
2.200%, 07/21/2021 | 10 | 9 | ||||||
Thermo Fisher Scientific | ||||||||
4.100%, 08/15/2047 | 356 | 357 | ||||||
3.200%, 08/15/2027 | 555 | 549 | ||||||
UnitedHealth Group | ||||||||
5.800%, 03/15/2036 | 280 | 353 | ||||||
4.750%, 07/15/2045 (D) | 950 | 1,097 | ||||||
3.875%, 10/15/2020 | 530 | 557 | ||||||
2.875%, 12/15/2021 | 580 | 595 | ||||||
Valeant Pharmaceuticals International | ||||||||
7.500%, 07/15/2021 (C) | 1,040 | 1,037 | ||||||
7.000%, 03/15/2024 (C) | 200 | 213 | ||||||
6.500%, 03/15/2022 (C) | 70 | 74 | ||||||
5.875%, 05/15/2023 (C)(D) | 90 | 80 | ||||||
5.375%, 03/15/2020 (C) | 60 | 60 | ||||||
Wyeth LLC | ||||||||
5.950%, 04/01/2037 (D) | 340 | 445 | ||||||
|
|
| ||||||
55,279 | ||||||||
|
|
| ||||||
Industrials — 1.5% | ||||||||
ABB Finance USA | ||||||||
4.375%, 05/08/2042 | 80 | 86 | ||||||
AerCap Ireland Capital | ||||||||
4.625%, 07/01/2022 | 210 | 225 | ||||||
3.750%, 05/15/2019 (D) | 520 | 532 |
128 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Air Lease | ||||||||
3.625%, 04/01/2027 | $ | 505 | $ | 506 | ||||
2.625%, 07/01/2022 (D) | 800 | 794 | ||||||
BAE Systems | ||||||||
4.750%, 10/11/2021 (C) | 1,350 | 1,456 | ||||||
Burlington Northern Santa Fe | ||||||||
4.150%, 04/01/2045 | 505 | 536 | ||||||
Caterpillar Financial Services MTN | ||||||||
2.750%, 08/20/2021 | 620 | 629 | ||||||
2.100%, 01/10/2020 | 265 | 266 | ||||||
Catholic Health Initiatives | ||||||||
4.350%, 11/01/2042 | 80 | 75 | ||||||
Cintas No. 2 | ||||||||
3.700%, 04/01/2027 | 260 | 272 | ||||||
2.900%, 04/01/2022 | 230 | 234 | ||||||
CK Hutchison International 17 | ||||||||
2.750%, 03/29/2023 (C) | 270 | 269 | ||||||
Continental Airlines Pass-Through Trust, | ||||||||
Ser 1999-2, Cl C-2 | ||||||||
7.256%, 03/15/2020 | 966 | 1,027 | ||||||
Continental Airlines Pass-Through Trust, Ser 2007-1, Cl A | ||||||||
5.983%, 04/19/2022 | 1,252 | 1,378 | ||||||
DAE Funding | ||||||||
5.000%, 08/01/2024 (C) | 90 | 92 | ||||||
4.500%, 08/01/2022 (C) | 100 | 103 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2007- 1, Cl A | ||||||||
6.821%, 08/10/2022 | 368 | 424 | ||||||
Eaton | ||||||||
4.150%, 11/02/2042 | 440 | 442 | ||||||
2.750%, 11/02/2022 | 450 | 453 | ||||||
1.500%, 11/02/2017 | 270 | 270 | ||||||
FedEx | ||||||||
4.550%, 04/01/2046 | 485 | 516 | ||||||
4.400%, 01/15/2047 | 223 | 232 | ||||||
GE Capital International Funding | ||||||||
4.418%, 11/15/2035 | 227 | 247 | ||||||
2.342%, 11/15/2020 (D) | 530 | 535 | ||||||
General Dynamics | ||||||||
2.625%, 11/15/2027 | 450 | 436 | ||||||
General Electric | ||||||||
4.500%, 03/11/2044 (D) | 220 | 246 | ||||||
General Electric MTN | ||||||||
6.875%, 01/10/2039 | 521 | 763 | ||||||
5.875%, 01/14/2038 | 182 | 238 | ||||||
5.300%, 02/11/2021 | 184 | 202 | ||||||
1.795%, VAR ICE LIBOR USD 3 Month+0.480%, 08/15/2036 | 1,550 | 1,380 | ||||||
Illinois Tool Works | ||||||||
2.650%, 11/15/2026 | 275 | 268 |
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
International Lease Finance | ||||||||
8.625%, 01/15/2022 | $ | 10 | $ | 12 | ||||
John Deere Capital MTN | ||||||||
2.800%, 09/08/2027 | 487 | 479 | ||||||
2.150%, 09/08/2022 | 389 | 385 | ||||||
Lockheed Martin | ||||||||
4.500%, 05/15/2036 | 90 | 98 | ||||||
3.550%, 01/15/2026 | 530 | 547 | ||||||
3.350%, 09/15/2021 | 920 | 956 | ||||||
3.100%, 01/15/2023 | 50 | 52 | ||||||
Mexico City Airport Trust | ||||||||
5.500%, 07/31/2047 (C) | 335 | 339 | ||||||
3.875%, 04/30/2028 (C)(D) | 315 | 314 | ||||||
Northrop Grumman | ||||||||
3.850%, 04/15/2045 | 200 | 195 | ||||||
3.250%, 08/01/2023 | 1,400 | 1,443 | ||||||
3.200%, 02/01/2027 | 690 | 694 | ||||||
Park Aerospace Holdings (D) | ||||||||
5.500%, 02/15/2024 (C) | 160 | 168 | ||||||
5.250%, 08/15/2022 (C) | 80 | 83 | ||||||
Penske Truck Leasing L.P. | ||||||||
3.400%, 11/15/2026 (C)(D) | 595 | 588 | ||||||
3.375%, 02/01/2022 (C) | 370 | 380 | ||||||
2.700%, 03/14/2023 (C) | 506 | 501 | ||||||
Raytheon | ||||||||
3.125%, 10/15/2020 | 430 | 445 | ||||||
Republic Services | ||||||||
3.800%, 05/15/2018 | 1,254 | 1,270 | ||||||
Siemens Financieringsmaatschappij | ||||||||
2.900%, 05/27/2022 (C) | 825 | 843 | ||||||
2.200%, 03/16/2020 (C) | 695 | 702 | ||||||
2.000%, 09/15/2023 (C) | 1,030 | 996 | ||||||
Union Pacific | ||||||||
3.000%, 04/15/2027 | 560 | 563 | ||||||
United Business Media | ||||||||
5.750%, 11/03/2020 (C) | 490 | 514 | ||||||
United Rentals North America | ||||||||
5.500%, 07/15/2025 (D) | 240 | 257 | ||||||
4.875%, 01/15/2028 | 70 | 71 | ||||||
United Technologies | ||||||||
4.500%, 06/01/2042 | 200 | 215 | ||||||
US Airways Pass-Through Trust, Ser 2012-2, Cl A | ||||||||
4.625%, 06/03/2025 (D) | 738 | 790 | ||||||
Valmont Industries | ||||||||
5.250%, 10/01/2054 | 295 | 289 | ||||||
Wabtec | ||||||||
3.450%, 11/15/2026 | 460 | 452 | ||||||
Waste Management | ||||||||
7.375%, 05/15/2029 | 330 | 435 | ||||||
3.500%, 05/15/2024 | 280 | 291 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 129 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Core Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
West | ||||||||
5.375%, 07/15/2022 (C) | $ | 300 | $ | 303 | ||||
4.750%, 07/15/2021 (C) | 90 | 91 | ||||||
|
|
| ||||||
30,893 | ||||||||
|
|
| ||||||
Information Technology — 1.6% | ||||||||
Analog Devices | ||||||||
3.500%, 12/05/2026 | 350 | 353 | ||||||
3.125%, 12/05/2023 | 460 | 467 | ||||||
2.500%, 12/05/2021 | 430 | 431 | ||||||
Apple | ||||||||
4.375%, 05/13/2045 | 595 | 647 | ||||||
4.250%, 02/09/2047 | 40 | 43 | ||||||
3.850%, 05/04/2043 | 640 | 645 | ||||||
3.350%, 02/09/2027 | 570 | 587 | ||||||
3.200%, 05/11/2027 | 575 | 585 | ||||||
3.000%, 02/09/2024 | 760 | 779 | ||||||
2.850%, 05/11/2024 | 855 | 865 | ||||||
2.700%, 05/13/2022 | 140 | 143 | ||||||
2.450%, 08/04/2026 | 680 | 656 | ||||||
2.300%, 05/11/2022 | 1,940 | 1,948 | ||||||
1.800%, 05/11/2020 | 920 | 920 | ||||||
Cisco Systems | ||||||||
1.850%, 09/20/2021 | 725 | 717 | ||||||
1.400%, 09/20/2019 | 1,185 | 1,179 | ||||||
CommScope Technologies | ||||||||
5.000%, 03/15/2027 (C)(D) | 130 | 130 | ||||||
Dell International | ||||||||
4.420%, 06/15/2021 (C) | 820 | 861 | ||||||
3.480%, 06/01/2019 (C) | 1,160 | 1,183 | ||||||
Fidelity National Information Services | ||||||||
3.625%, 10/15/2020 | 265 | 276 | ||||||
2.850%, 10/15/2018 | 590 | 597 | ||||||
2.250%, 08/15/2021 | 337 | 335 | ||||||
Harris | ||||||||
5.054%, 04/27/2045 | 190 | 218 | ||||||
Hewlett Packard Enterprise | ||||||||
6.350%, 10/15/2045 | 515 | 546 | ||||||
4.900%, 10/15/2025 | 200 | 211 | ||||||
Intel | ||||||||
4.900%, 07/29/2045 (D) | 120 | 143 | ||||||
3.700%, 07/29/2025 | 140 | 148 | ||||||
Microsoft | ||||||||
4.500%, 02/06/2057 | 95 | 107 | ||||||
4.100%, 02/06/2037 (D) | 675 | 732 | ||||||
3.950%, 08/08/2056 | 100 | 103 | ||||||
3.750%, 02/12/2045 | 950 | 964 | ||||||
3.700%, 08/08/2046 | 425 | 429 | ||||||
3.500%, 02/12/2035 | 685 | 697 | ||||||
3.450%, 08/08/2036 (D) | 220 | 222 | ||||||
3.300%, 02/06/2027 (D) | 1,000 | 1,035 | ||||||
2.875%, 02/06/2024 | 1,315 | 1,344 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
2.700%, 02/12/2025 (D) | $ | 160 | $ | 162 | ||||
2.400%, 02/06/2022 | 770 | 778 | ||||||
2.400%, 08/08/2026 | 2,260 | 2,184 | ||||||
2.000%, 08/08/2023 | 515 | 505 | ||||||
Nokia | ||||||||
4.375%, 06/12/2027 | 120 | 123 | ||||||
3.375%, 06/12/2022 | 880 | 888 | ||||||
Oracle | ||||||||
3.900%, 05/15/2035 | 1,195 | 1,253 | ||||||
1.200%, 10/15/2017 | 1,050 | 1,050 | ||||||
TSMC Global | ||||||||
1.625%, 04/03/2018 (C) | 875 | 874 | ||||||
Visa | ||||||||
4.300%, 12/14/2045 (D) | 570 | 631 | ||||||
3.650%, 09/15/2047 | 395 | 393 | ||||||
3.150%, 12/14/2025 (D) | 1,050 | 1,075 | ||||||
2.800%, 12/14/2022 | 255 | 261 | ||||||
VMware | ||||||||
3.900%, 08/21/2027 | 335 | 339 | ||||||
2.950%, 08/21/2022 | 560 | 563 | ||||||
2.300%, 08/21/2020 | 675 | 677 | ||||||
|
|
| ||||||
33,002 | ||||||||
|
|
| ||||||
Materials — 1.0% | ||||||||
Air Liquide Finance | ||||||||
2.250%, 09/27/2023 (C) | 325 | 313 | ||||||
Alcoa Nederland Holding BV | ||||||||
6.750%, 09/30/2024 (C) | 270 | 299 | ||||||
Amcor Finance USA | ||||||||
3.625%, 04/28/2026 (C) | 1,050 | 1,042 | ||||||
Anglo American Capital | ||||||||
4.750%, 04/10/2027 (C) | 210 | 219 | ||||||
4.000%, 09/11/2027 (C) | 200 | 198 | ||||||
3.750%, 04/10/2022 (C)(D) | 280 | 287 | ||||||
3.625%, 09/11/2024 (C) | 200 | 200 | ||||||
ArcelorMittal | ||||||||
7.500%, 10/15/2039 | 120 | 144 | ||||||
7.250%, 02/25/2022 | 120 | 138 | ||||||
Barrick | ||||||||
5.250%, 04/01/2042 (D) | 70 | 80 | ||||||
Barrick North America Finance | ||||||||
5.750%, 05/01/2043 | 120 | 145 | ||||||
5.700%, 05/30/2041 | 455 | 543 | ||||||
4.400%, 05/30/2021 | 303 | 326 | ||||||
BHP Billiton Finance USA | ||||||||
6.750%, VAR USD Swap Semi 30/360 5 Year Curr+5.093%, 10/19/2075 (C)(D) | 620 | 730 | ||||||
5.000%, 09/30/2043 (D) | 455 | 537 | ||||||
2.875%, 02/24/2022 | 35 | 36 | ||||||
Celulosa Arauco y Constitucion | ||||||||
4.750%, 01/11/2022 | 100 | 106 |
130 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
CF Industries | ||||||||
4.500%, 12/01/2026 (C)(D) | $ | 322 | $ | 337 | ||||
3.400%, 12/01/2021 (C) | 415 | 423 | ||||||
Dow Chemical | ||||||||
3.000%, 11/15/2022 | 1,265 | 1,288 | ||||||
Eastman Chemical | ||||||||
2.700%, 01/15/2020 | 695 | 703 | ||||||
Ecolab | ||||||||
4.350%, 12/08/2021 | 220 | 238 | ||||||
EI du Pont de Nemours | ||||||||
2.200%, 05/01/2020 | 280 | 282 | ||||||
Equate Petrochemical BV MTN | ||||||||
4.250%, 11/03/2026 (C) | 410 | 422 | ||||||
Freeport-McMoRan | ||||||||
6.875%, 02/15/2023 (D) | 50 | 55 | ||||||
6.500%, 11/15/2020 | 104 | 106 | ||||||
5.450%, 03/15/2043 | 195 | 182 | ||||||
4.000%, 11/14/2021 | 360 | 362 | ||||||
Glencore Finance Canada | ||||||||
2.700%, 10/25/2017 (C) | 1,080 | 1,080 | ||||||
Glencore Funding (D) | ||||||||
4.125%, 05/30/2023 (C) | 60 | 62 | ||||||
4.000%, 03/27/2027 (C) | 990 | 996 | ||||||
International Paper | ||||||||
5.150%, 05/15/2046 | 470 | 526 | ||||||
5.000%, 09/15/2035 | 360 | 399 | ||||||
LyondellBasell Industries | ||||||||
5.750%, 04/15/2024 | 200 | 229 | ||||||
Nacional del Cobre de Chile | ||||||||
4.500%, 08/01/2047 (C) | 245 | 249 | ||||||
3.625%, 08/01/2027 (C) | 345 | 343 | ||||||
OCP | ||||||||
4.500%, 10/22/2025 (C) | 1,650 | 1,660 | ||||||
Potash Corp of Saskatchewan | ||||||||
4.875%, 03/30/2020 (D) | 280 | 295 | ||||||
Reynolds Group Issuer | ||||||||
6.875%, 02/15/2021 | 117 | 120 | ||||||
5.125%, 07/15/2023 (C) | 170 | 177 | ||||||
Sherwin-Williams | ||||||||
3.450%, 06/01/2027 | 194 | 195 | ||||||
2.750%, 06/01/2022 | 505 | 509 | ||||||
Southern Copper | ||||||||
5.250%, 11/08/2042 | 900 | 952 | ||||||
Vale Overseas | ||||||||
6.875%, 11/21/2036 | 1,510 | 1,729 | ||||||
6.250%, 08/10/2026 (D) | 325 | 369 | ||||||
Vulcan Materials | ||||||||
4.500%, 06/15/2047 | 225 | 228 | ||||||
Westlake Chemical | ||||||||
4.875%, 05/15/2023 | 140 | 146 | ||||||
4.625%, 02/15/2021 | 60 | 62 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
WestRock RKT | ||||||||
4.000%, 03/01/2023 (D) | $ | 70 | $ | 74 | ||||
3.500%, 03/01/2020 | 320 | 328 | ||||||
|
|
| ||||||
20,469 | ||||||||
|
|
| ||||||
Real Estate — 0.9% | ||||||||
Alexandria Real Estate Equities | ||||||||
2.750%, 01/15/2020 | 2,000 | 2,020 | ||||||
Boston Properties | ||||||||
3.800%, 02/01/2024 (D) | 1,250 | 1,307 | ||||||
Crown Castle International | ||||||||
3.200%, 09/01/2024 (D) | 1,000 | 995 | ||||||
DDR | ||||||||
4.625%, 07/15/2022 | 575 | 609 | ||||||
3.375%, 05/15/2023 | 525 | 518 | ||||||
Digital Realty Trust | ||||||||
3.700%, 08/15/2027 | 335 | 338 | ||||||
2.750%, 02/01/2023 | 156 | 155 | ||||||
First Industrial MTN | ||||||||
7.500%, 12/01/2017 | 970 | 979 | ||||||
GLP Capital | ||||||||
5.375%, 04/15/2026 | 80 | 87 | ||||||
HCP | ||||||||
4.200%, 03/01/2024 | 765 | 801 | ||||||
3.150%, 08/01/2022 | 1,000 | 1,012 | ||||||
Highwoods Properties | ||||||||
7.500%, 04/15/2018 | 1,142 | 1,176 | ||||||
Mid-America Apartments | ||||||||
4.300%, 10/15/2023 | 215 | 228 | ||||||
4.000%, 11/15/2025 | 265 | 275 | ||||||
3.750%, 06/15/2024 | 505 | 521 | ||||||
3.600%, 06/01/2027 | 320 | 321 | ||||||
Public Storage | ||||||||
3.094%, 09/15/2027 | 447 | 446 | ||||||
2.370%, 09/15/2022 | 1,541 | 1,539 | ||||||
Regency Centers | ||||||||
3.600%, 02/01/2027 | 209 | 209 | ||||||
SL Green Realty | ||||||||
7.750%, 03/15/2020 | 1,000 | 1,114 | ||||||
Tanger Properties | ||||||||
3.875%, 12/01/2023 | 270 | 275 | ||||||
3.750%, 12/01/2024 | 250 | 250 | ||||||
Ventas Realty L.P. | ||||||||
2.700%, 04/01/2020 | 1,450 | 1,464 | ||||||
2.000%, 02/15/2018 | 1,000 | 1,001 | ||||||
Washington Prime Group | ||||||||
5.950%, 08/15/2024 | 200 | 204 | ||||||
Welltower | ||||||||
4.950%, 01/15/2021 (D) | 820 | 880 | ||||||
4.000%, 06/01/2025 | 625 | 652 | ||||||
|
|
| ||||||
19,376 | ||||||||
|
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 131 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Core Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Telecommunication Services — 1.4% |
| |||||||
America Movil | ||||||||
5.625%, 11/15/2017 (D) | $ | 440 | $ | 442 | ||||
5.000%, 03/30/2020 | 750 | 802 | ||||||
AT&T | ||||||||
6.000%, 08/15/2040 | 845 | 952 | ||||||
5.450%, 03/01/2047 | 490 | 518 | ||||||
5.300%, 08/14/2058 | 244 | 247 | ||||||
5.250%, 03/01/2037 | 1,945 | 2,047 | ||||||
5.150%, 02/14/2050 | 223 | 224 | ||||||
4.900%, 08/14/2037 | 600 | 606 | ||||||
4.750%, 05/15/2046 | 1,530 | 1,471 | ||||||
4.500%, 03/09/2048 (D) | 1,998 | 1,843 | ||||||
4.450%, 04/01/2024 | 555 | 589 | ||||||
4.350%, 06/15/2045 | 240 | 220 | ||||||
4.250%, 03/01/2027 | 170 | 175 | ||||||
3.950%, 01/15/2025 | 240 | 247 | ||||||
3.900%, 08/14/2027 | 1,094 | 1,096 | ||||||
3.600%, 02/17/2023 | 400 | 412 | ||||||
3.400%, 05/15/2025 | 3,482 | 3,435 | ||||||
Bharti Airtel | ||||||||
4.375%, 06/10/2025 (C) | 940 | 952 | ||||||
Sprint | ||||||||
7.875%, 09/15/2023 (D) | 340 | 394 | ||||||
7.625%, 02/15/2025 (D) | 310 | 356 | ||||||
7.250%, 09/15/2021 | 40 | 44 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/2032 | 300 | 384 | ||||||
Telefonica Emisiones SAU | ||||||||
5.877%, 07/15/2019 | 90 | 96 | ||||||
5.213%, 03/08/2047 | 450 | 495 | ||||||
5.134%, 04/27/2020 | 300 | 322 | ||||||
Verizon Communications | ||||||||
5.500%, 03/16/2047 (D) | 130 | 144 | ||||||
5.250%, 03/16/2037 | 1,100 | 1,206 | ||||||
5.012%, 08/21/2054 | 199 | 200 | ||||||
4.862%, 08/21/2046 | 475 | 481 | ||||||
4.522%, 09/15/2048 (D) | 435 | 421 | ||||||
4.500%, 08/10/2033 (D) | 1,005 | 1,030 | ||||||
4.400%, 11/01/2034 | 2,495 | 2,497 | ||||||
4.272%, 01/15/2036 | 1,335 | 1,311 | ||||||
4.125%, 03/16/2027 (D) | 1,825 | 1,904 | ||||||
4.125%, 08/15/2046 | 980 | 891 | ||||||
3.850%, 11/01/2042 | 130 | 115 | ||||||
3.500%, 11/01/2024 | 120 | 122 | ||||||
2.946%, 03/15/2022 | 395 | 402 | ||||||
2.625%, 08/15/2026 (D) | 910 | 855 | ||||||
Vodafone Group PLC | ||||||||
2.950%, 02/19/2023 | 430 | 437 | ||||||
|
|
| ||||||
30,385 | ||||||||
|
|
|
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Utilities — 2.2% | ||||||||
AEP Texas Central Transition Funding II | ||||||||
5.170%, 01/01/2018 | $ | 42 | $ | 42 | ||||
AEP Transmission | ||||||||
3.100%, 12/01/2026 | 1,700 | 1,705 | ||||||
AES | ||||||||
4.875%, 05/15/2023 (D) | 470 | 484 | ||||||
Alabama Power | ||||||||
2.450%, 03/30/2022 | 490 | 490 | ||||||
American Electric Power | ||||||||
1.650%, 12/15/2017 | 655 | 655 | ||||||
Appalachian Power | ||||||||
3.300%, 06/01/2027 | 320 | 323 | ||||||
Baltimore Gas & Electric | ||||||||
3.750%, 08/15/2047 | 390 | 388 | ||||||
Berkshire Hathaway Energy | ||||||||
6.500%, 09/15/2037 | 1,160 | 1,550 | ||||||
Commonwealth Edison | ||||||||
3.750%, 08/15/2047 | 131 | 131 | ||||||
2.950%, 08/15/2027 | 450 | 448 | ||||||
Consolidated Edison of New York | ||||||||
4.450%, 03/15/2044 | 810 | 898 | ||||||
Dominion Energy | ||||||||
2.000%, 08/15/2021 | 295 | 290 | ||||||
1.866%, VAR ICE LIBOR USD 3 Month+0.550%, 06/01/2019 (C)(D) | 1,000 | 1,004 | ||||||
1.600%, 08/15/2019 | 390 | 387 | ||||||
DTE Energy | ||||||||
1.500%, 10/01/2019 | 490 | 483 | ||||||
Duke Energy | ||||||||
3.950%, 08/15/2047 | 130 | 129 | ||||||
3.150%, 08/15/2027 | 98 | 97 | ||||||
1.800%, 09/01/2021 | 445 | 436 | ||||||
Duke Energy Carolinas | ||||||||
4.250%, 12/15/2041 | 600 | 652 | ||||||
4.000%, 09/30/2042 | 1,000 | 1,043 | ||||||
3.875%, 03/15/2046 | 210 | 215 | ||||||
2.500%, 03/15/2023 | 330 | 332 | ||||||
Duke Energy Florida | ||||||||
3.850%, 11/15/2042 | 165 | 167 | ||||||
3.400%, 10/01/2046 | 200 | 189 | ||||||
3.200%, 01/15/2027 | 635 | 642 | ||||||
Duquesne Light Holdings | ||||||||
6.400%, 09/15/2020 (C) | 1,450 | 1,611 | ||||||
3.616%, 08/01/2027 (C) | 575 | 571 | ||||||
Electricite de France | ||||||||
6.000%, 01/22/2114 (C) | 260 | 290 | ||||||
Emera US Finance | ||||||||
2.150%, 06/15/2019 (D) | 2,049 | 2,050 | ||||||
Enel Finance International | ||||||||
2.875%, 05/25/2022 (C) | 990 | 996 |
132 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Exelon | ||||||||
5.625%, 06/15/2035 | $ | 760 | $ | 915 | ||||
FirstEnergy | ||||||||
3.900%, 07/15/2027 (D) | 540 | 548 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/2031 (D) | 2,965 | 3,944 | ||||||
Florida Gas Transmission LLC | ||||||||
3.875%, 07/15/2022 (C) | 1,000 | 1,042 | ||||||
Georgia Power | ||||||||
4.300%, 03/15/2042 | 100 | 105 | ||||||
Indiana Michigan Power | ||||||||
4.550%, 03/15/2046 | 210 | 233 | ||||||
IPALCO Enterprises | ||||||||
3.700%, 09/01/2024 (C) | 340 | 341 | ||||||
KCP&L Greater Missouri Operations | ||||||||
8.270%, 11/15/2021 | 2,700 | 3,151 | ||||||
KeySpan Gas East | ||||||||
2.742%, 08/15/2026 (C) | 675 | 655 | ||||||
Majapahit Holding BV | ||||||||
7.750%, 01/20/2020 | 420 | 468 | ||||||
Metropolitan Edison | ||||||||
3.500%, 03/15/2023 (C) | 2,425 | 2,493 | ||||||
MidAmerican Energy | ||||||||
4.800%, 09/15/2043 | 510 | 593 | ||||||
4.250%, 05/01/2046 | 500 | 536 | ||||||
NiSource Finance | ||||||||
6.800%, 01/15/2019 | 347 | 368 | ||||||
3.950%, 03/30/2048 | 117 | 115 | ||||||
Northern States Power | ||||||||
3.600%, 09/15/2047 | 488 | 481 | ||||||
Oklahoma Gas & Electric | ||||||||
4.150%, 04/01/2047 | 410 | 434 | ||||||
Oncor Electric Delivery LLC | ||||||||
6.800%, 09/01/2018 (D) | 1,075 | 1,124 | ||||||
4.550%, 12/01/2041 | 690 | 767 | ||||||
Pacific Gas & Electric | ||||||||
8.250%, 10/15/2018 | 280 | 298 | ||||||
6.050%, 03/01/2034 | 340 | 443 | ||||||
5.800%, 03/01/2037 | 710 | 905 | ||||||
4.450%, 04/15/2042 | 200 | 221 | ||||||
PECO Energy | ||||||||
4.150%, 10/01/2044 | 625 | 665 | ||||||
3.150%, 10/15/2025 | 525 | 533 | ||||||
PPL Electric Utilities | ||||||||
4.150%, 10/01/2045 | 345 | 368 | ||||||
Public Service of New Hampshire | ||||||||
3.500%, 11/01/2023 | 310 | 324 | ||||||
Public Service of New Mexico | ||||||||
7.950%, 05/15/2018 | 1,265 | 1,312 | ||||||
Sierra Pacific Power | ||||||||
2.600%, 05/01/2026 | 450 | 435 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Southern | ||||||||
4.400%, 07/01/2046 | $ | 275 | $ | 285 | ||||
2.150%, 09/01/2019 | 615 | 616 | ||||||
Southern Gas Capital | ||||||||
2.450%, 10/01/2023 | 300 | 294 | ||||||
Southwestern Electric Power | ||||||||
3.900%, 04/01/2045 | 140 | 141 | ||||||
Southwestern Public Service | ||||||||
3.700%, 08/15/2047 | 293 | 292 | ||||||
SP PowerAssets MTN | ||||||||
3.000%, 09/26/2027 (C) | 231 | 230 | ||||||
Virginia Electric & Power | ||||||||
4.650%, 08/15/2043 | 405 | 452 | ||||||
2.950%, 11/15/2026 | 285 | 283 | ||||||
2.750%, 03/15/2023 (D) | 500 | 506 | ||||||
|
|
| ||||||
45,614 | ||||||||
|
|
| ||||||
Total Corporate Obligations |
| 604,025 | ||||||
|
|
| ||||||
U.S. TREASURY OBLIGATIONS — 28.6% |
| |||||||
U.S. Treasury Bills | ||||||||
1.082%, 03/01/2018 (B)(K) | 297 | 296 | ||||||
1.034%, 01/04/2018 (B) | 5,435 | 5,420 | ||||||
U.S. Treasury Bonds | ||||||||
6.250%, 05/15/2030 | 1,630 | 2,315 | ||||||
5.250%, 11/15/2028 | 1,725 | 2,214 | ||||||
5.250%, 02/15/2029 | 750 | 966 | ||||||
3.816%, 02/15/2045 (B) | 4,000 | 1,797 | ||||||
3.750%, 11/15/2043 | 15,470 | 18,134 | ||||||
3.000%, 05/15/2045 | 19,410 | 19,986 | ||||||
3.000%, 11/15/2045 | 1,726 | 1,775 | ||||||
3.000%, 02/15/2047 | 7,584 | 7,801 | ||||||
3.000%, 05/15/2047 | 9,233 | 9,501 | ||||||
2.882%, 08/15/2045 (B) | 2,120 | 937 | ||||||
2.875%, 08/15/2045 | 49,895 | 50,109 | ||||||
2.875%, 11/15/2046 | 1,754 | 1,760 | ||||||
2.750%, 08/15/2047 | 43,243 | 42,304 | ||||||
2.500%, 02/15/2045 (K) | 25,565 | 23,843 | ||||||
2.500%, 02/15/2046 | 17,201 | 15,996 | ||||||
2.500%, 05/15/2046 | 11,245 | 10,449 | ||||||
2.250%, 08/15/2046 | 7,290 | 6,410 | ||||||
U.S. Treasury Inflation Protected Securities | ||||||||
1.375%, 02/15/2044 | 798 | 881 | ||||||
0.875%, 02/15/2047 | 6,707 | 6,609 | ||||||
0.750%, 02/15/2042 | 2,112 | 2,041 | ||||||
0.625%, 01/15/2024 | 3,000 | 3,064 | ||||||
0.375%, 07/15/2023 | 1,399 | 1,417 | ||||||
0.375%, 07/15/2027 | 10,947 | 10,825 | ||||||
0.125%, 04/15/2018 | 3,939 | 3,941 | ||||||
0.125%, 04/15/2021 | 3,259 | 3,269 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 133 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Core Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS (continued) |
| |||||||
0.125%, 04/15/2022 | $ | 1,641 | $ | 1,641 | ||||
0.125%, 07/15/2026 | 4,705 | 4,672 | ||||||
U.S. Treasury Notes | ||||||||
2.375%, 05/15/2027 | 3,384 | 3,398 | ||||||
2.250%, 02/15/2027 | 10,086 | 10,025 | ||||||
2.250%, 08/15/2027 | 27,170 | 26,985 | ||||||
2.125%, 12/31/2022 | 8,600 | 8,662 | ||||||
2.125%, 09/30/2024 | 3,930 | 3,920 | ||||||
2.000%, 08/31/2021 | 1,915 | 1,930 | ||||||
2.000%, 10/31/2021 | 5,924 | 5,967 | ||||||
2.000%, 12/31/2021 | 7,821 | 7,870 | ||||||
2.000%, 02/15/2025 | 3,875 | 3,822 | ||||||
2.000%, 11/15/2026 | 5,369 | 5,232 | ||||||
1.875%, 01/31/2022 | 384 | 384 | ||||||
1.875%, 03/31/2022 | 12,220 | 12,216 | ||||||
1.875%, 07/31/2022 | 8,190 | 8,172 | ||||||
1.875%, 09/30/2022 | 43,588 | 43,482 | ||||||
1.875%, 08/31/2024 | 664 | 652 | ||||||
1.750%, 12/31/2020 | 1,031 | 1,033 | ||||||
1.750%, 01/31/2023 | 3,225 | 3,186 | ||||||
1.625%, 07/31/2020 | 7,126 | 7,130 | ||||||
1.625%, 08/31/2022 (D) | 50,622 | 49,926 | ||||||
1.500%, 08/31/2018 | 5,485 | 5,492 | ||||||
1.500%, 05/31/2020 | 10,157 | 10,135 | ||||||
1.500%, 08/15/2020 | 4,986 | 4,971 | ||||||
1.500%, 08/15/2026 | 5,912 | 5,536 | ||||||
1.375%, 07/31/2018 | 5,460 | 5,462 | ||||||
1.375%, 11/30/2018 | 2,085 | 2,084 | ||||||
1.375%, 07/31/2019 (D) | 11,934 | 11,915 | ||||||
1.375%, 09/30/2019 | 21,011 | 20,967 | ||||||
1.375%, 08/31/2020 | 1,239 | 1,230 | ||||||
1.375%, 09/15/2020 (D) | 22,581 | 22,425 | ||||||
1.375%, 01/31/2021 | 9,070 | 8,974 | ||||||
1.250%, 06/30/2019 | 1,967 | 1,960 | ||||||
1.250%, 08/31/2019 (D) | 8,611 | 8,574 | ||||||
1.125%, 01/15/2019 | 3,605 | 3,592 | ||||||
1.125%, 02/28/2021 | 2,146 | 2,104 | ||||||
1.125%, 07/31/2021 | 347 | 339 | ||||||
1.000%, 08/15/2018 | 16,080 | 16,031 | ||||||
|
|
| ||||||
Total U.S. Treasury Obligations |
| 596,156 | ||||||
|
|
| ||||||
ASSET-BACKED SECURITIES — 8.4% |
| |||||||
Automotive — 0.8% |
| |||||||
Ally Auto Receivables Trust, Ser 2015-1, Cl A3 |
| |||||||
1.390%, 09/16/2019 | 300 | 300 | ||||||
Ally Auto Receivables Trust, Ser 2016-3, Cl A2 | ||||||||
1.190%, 12/17/2018 | 58 | 58 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Avis Budget Rental Car Funding AESOP, Ser 2014-2A, Cl A | ||||||||
2.500%, 02/20/2021 (C) | $ | 1,377 | $ | 1,380 | ||||
Bank of The West Auto Trust, Ser 2014-1, Cl A3 | ||||||||
1.090%, 03/15/2019 (C) | 6 | 6 | ||||||
California Republic Auto Receivables Trust, Ser 2016-1, Cl A4 | ||||||||
2.240%, 10/15/2021 | 381 | 383 | ||||||
California Republic Auto Receivables Trust, Ser 2017-1, Cl A3 | ||||||||
1.900%, 03/15/2021 | 491 | 491 | ||||||
California Republic Auto Receivables Trust, Ser 2017-1, Cl A4 | ||||||||
2.280%, 06/15/2022 | 225 | 226 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-4, Cl A2 | ||||||||
1.620%, 03/20/2019 | 207 | 207 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-4, Cl A4 | ||||||||
2.010%, 07/20/2020 | 349 | 350 | ||||||
Capital Auto Receivables Asset Trust, Ser 2016-1, Cl A4 | ||||||||
1.980%, 10/20/2020 | 325 | 326 | ||||||
Capital Auto Receivables Asset Trust, Ser 2016-2, Cl A2A | ||||||||
1.320%, 01/22/2019 | 38 | 38 | ||||||
Capital Auto Receivables Asset Trust, Ser 2016-3, Cl A2A | ||||||||
1.360%, 04/22/2019 | 120 | 120 | ||||||
Capital Auto Receivables Asset Trust, Ser 2016-3, Cl A4 | ||||||||
1.690%, 03/20/2021 | 268 | 267 | ||||||
Enterprise Fleet Financing, Ser 2017-2, Cl A3 | ||||||||
2.220%, 01/20/2023 (C) | 608 | 608 | ||||||
Flagship Credit Auto Trust, Ser 2016-3, Cl A2 | ||||||||
2.050%, 11/15/2020 (C) | 365 | 365 | ||||||
Ford Credit Auto Owner Trust, Ser 2014-1, Cl A | ||||||||
2.260%, 11/15/2025 (C) | 1,055 | 1,063 | ||||||
Ford Credit Auto Owner Trust, Ser 2015-1, Cl A | ||||||||
2.120%, 07/15/2026 (C) | 965 | 969 | ||||||
Ford Credit Auto Owner Trust, Ser 2017-2, Cl A | ||||||||
2.360%, 03/15/2029 (C) | 1,988 | 1,977 | ||||||
Hertz Vehicle Financing II, Ser 2015-1A, Cl A | ||||||||
2.730%, 03/25/2021 (C) | 937 | 938 | ||||||
Hertz Vehicle Financing II, Ser 2015-1A, Cl C | ||||||||
4.350%, 03/25/2021 (C) | 650 | 650 | ||||||
Hertz Vehicle Financing II, Ser 2015-3A, Cl A | ||||||||
2.670%, 09/25/2021 (C) | 1,030 | 1,021 |
134 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Hertz Vehicle Financing, Ser 2016-2A, Cl A | ||||||||
2.950%, 03/25/2022 (C) | $ | 524 | $ | 522 | ||||
Hertz Vehicle Financing, Ser 2016-3A, Cl A | ||||||||
2.270%, 07/25/2020 (C) | 716 | 713 | ||||||
Hertz Vehicle Financing, Ser 2016-3A, Cl B | ||||||||
3.110%, 07/25/2020 (C) | 233 | 231 | ||||||
Hertz Vehicle Financing, Ser 2016-4A, Cl A | ||||||||
2.650%, 07/25/2022 (C) | 698 | 687 | ||||||
Honda Auto Receivables Owner Trust, Ser 2016-2, Cl A2 | ||||||||
1.130%, 09/17/2018 | 196 | 196 | ||||||
Mercedes-Benz Auto Lease Trust, Ser 2017-A, Cl A3 | ||||||||
1.790%, 04/15/2020 | 1,680 | 1,682 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2015-C, Cl A2A | ||||||||
0.870%, 11/15/2018 | 61 | 61 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2016-C, Cl A2A | ||||||||
1.070%, 05/15/2019 | 165 | 165 | ||||||
Santander Drive Auto Receivables Trust, Ser 2017-3, Cl A3 | ||||||||
1.870%, 06/15/2021 | 477 | 476 | ||||||
TCF Auto Receivables Owner Trust, Ser 2016- 1A, Cl A3 | ||||||||
1.710%, 04/15/2021 (C) | 248 | 247 | ||||||
TCF Auto Receivables Owner Trust, Ser 2016- 1A, Cl A4 | ||||||||
2.030%, 02/15/2022 (C) | 184 | 183 | ||||||
TCF Auto Receivables Owner Trust, Ser 2016- PT1A, Cl A | ||||||||
1.930%, 06/15/2022 (C) | 118 | 118 | ||||||
World Omni Auto Receivables Trust, Ser 2014-B, Cl A4 | ||||||||
1.680%, 12/15/2020 | 219 | 219 | ||||||
|
|
| ||||||
17,243 | ||||||||
|
|
| ||||||
Credit Cards — 0.3% | ||||||||
American Express Credit Account Master Trust, Ser 2017-4, Cl A | ||||||||
1.640%, 12/15/2021 | 645 | 644 | ||||||
Barclays Dryrock Issuance Trust, Ser 2017-2, Cl A | ||||||||
1.534%, VAR LIBOR USD 1 Month+0.300%, 05/15/2023 | 556 | 557 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2015-A1, Cl A1 | ||||||||
1.390%, 01/15/2021 | 65 | 65 | ||||||
Chase Issuance Trust, Ser 2014-A7, Cl A7 | ||||||||
1.380%, 11/15/2019 | 675 | 675 | ||||||
Chase Issuance Trust, Ser 2016-A6, Cl A6 | ||||||||
1.100%, 01/15/2020 | 100 | 100 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Synchrony Credit Card Master Note Trust, Ser 2014-1, Cl A | ||||||||
1.610%, 11/15/2020 | $ | 389 | $ | 389 | ||||
Synchrony Credit Card Master Note Trust, Ser 2015-1, Cl A | ||||||||
2.370%, 03/15/2023 | 304 | 307 | ||||||
Synchrony Credit Card Master Note Trust, Ser 2015-4, Cl A | ||||||||
2.380%, 09/15/2023 | 523 | 527 | ||||||
Synchrony Credit Card Master Note Trust, Ser 2016-2, Cl A | ||||||||
2.210%, 05/15/2024 | 456 | 456 | ||||||
Synchrony Credit Card Master Note Trust, Ser 2016-3, Cl A | ||||||||
1.580%, 09/15/2022 | 183 | 182 | ||||||
Synchrony Credit Card Master Note Trust, Ser 2017-1, Cl A | ||||||||
1.930%, 06/15/2023 | 661 | 659 | ||||||
World Financial Network Credit Card Master Trust, Ser 2014-C, Cl A | ||||||||
1.540%, 08/16/2021 | 110 | 110 | ||||||
World Financial Network Credit Card Master Trust, Ser 2015-B, Cl A | ||||||||
2.550%, 06/17/2024 | 46 | 46 | ||||||
World Financial Network Credit Card Master Trust, Ser 2016-A, Cl A | ||||||||
2.030%, 04/15/2025 | 1,297 | 1,282 | ||||||
World Financial Network Credit Card Master Trust, Ser 2016-C, Cl A | ||||||||
1.720%, 08/15/2023 | 502 | 499 | ||||||
World Financial Network Credit Card Master Trust, Ser 2017-A, Cl A | ||||||||
2.120%, 03/15/2024 | 733 | 733 | ||||||
|
|
| ||||||
7,231 | ||||||||
|
|
| ||||||
Mortgage Related Securities — 0.7% |
| |||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2005-SD1, Cl 1A3 | ||||||||
2.037%, VAR ICE LIBOR USD 1 Month+0.800%, 08/25/2043 | 48 | 48 | ||||||
Centex Home Equity, Ser 2006-A, Cl AV4 | ||||||||
1.484%, VAR ICE LIBOR USD 1 Month+0.250%, 06/25/2036 | 3,393 | 3,377 | ||||||
Citigroup Mortgage Loan Trust, Ser 2006- HE2, Cl A2D | ||||||||
1.474%, VAR ICE LIBOR USD 1 Month+0.240%, 08/25/2036 | 4,200 | 4,148 | ||||||
EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1 | ||||||||
2.177%, VAR LIBOR USD 1 Month+0.470%, 05/25/2039 (C) | 229 | 218 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 135 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Core Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Master Asset-Backed Securities Trust, Ser 2007-HE1, Cl A4 | ||||||||
1.514%, VAR ICE LIBOR USD 1 Month+0.280%, 05/25/2037 | $ | 5,500 | $ | 4,019 | ||||
New Century Home Equity Loan Trust, Ser 2005-3, Cl M2 | ||||||||
1.727%, VAR ICE LIBOR USD 1 Month+0.490%, 07/25/2035 | 2,055 | 2,058 | ||||||
|
|
| ||||||
13,868 | ||||||||
|
|
| ||||||
Other Asset-Backed Securities — 6.6% | ||||||||
Academic Loan Funding Trust, Ser 2012-1A, Cl A2 | ||||||||
2.337%, VAR ICE LIBOR USD 1 Month+1.100%, 12/27/2044 (C) | 2,100 | 2,096 | ||||||
Ally Master Owner Trust, Ser 2017-1, Cl A | ||||||||
1.634%, VAR LIBOR USD 1 Month+0.400%, 02/15/2021 | 328 | 329 | ||||||
Bravo Mortgage Asset Trust, Ser 2006-1A, Cl A2 | ||||||||
1.477%, VAR ICE LIBOR USD 1 Month+0.240%, 07/25/2036 (C) | 1,107 | 1,093 | ||||||
Brazos Higher Education Authority, Ser 2010- 1, Cl A2 | ||||||||
2.389%, VAR ICE LIBOR USD 3 Month+1.200%, 02/25/2035 | 2,200 | 2,249 | ||||||
Brazos Higher Education Authority, Ser 2011- 2, Cl A3 | ||||||||
2.156%, VAR ICE LIBOR USD 3 Month+1.000%, 10/27/2036 | 1,750 | 1,761 | ||||||
CIT Education Loan Trust, Ser 2007-1, Cl A | ||||||||
1.386%, VAR ICE LIBOR USD 3 Month+0.090%, 03/25/2042 (C) | 1,132 | 1,064 | ||||||
Citicorp Residential Mortgage Trust, Ser 2007-1, Cl A5 | ||||||||
5.557%, 03/25/2037 | 1,970 | 2,002 | ||||||
College Ave Student Loans, Ser 2017-A, Cl A1 | ||||||||
2.887%, VAR ICE LIBOR USD 1 Month+1.650%, 11/26/2046 (C) | 393 | 393 | ||||||
Community Funding CLO, Ser 2015-1A, Cl A | ||||||||
5.750%, 11/01/2027 (C) | 1,510 | 1,506 | ||||||
Countrywide Asset-Backed Certificates, Ser 2007-13, Cl 2A2 | ||||||||
2.034%, VAR ICE LIBOR USD 1 Month+0.800%, 10/25/2047 | 2,372 | 2,348 | ||||||
CWABS Revolving Home Equity Loan Trust, Ser 2004-K, Cl 2A | ||||||||
1.527%, VAR ICE LIBOR USD 1 Month+0.300%, 02/15/2034 | 185 | 173 | ||||||
Eaton Vance CLO, Ser 2017-1A, Cl AR | ||||||||
2.504%, VAR ICE LIBOR USD 3 Month+1.200%, 07/15/2026 (C) | 900 | 903 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Educational Funding of the South, Ser 2011- 1, Cl A2 | ||||||||
1.964%, VAR ICE LIBOR USD 3 Month+0.650%, 04/25/2035 | $ | 1,154 | $ | 1,151 | ||||
First Franklin Mortgage Loan Trust, Ser 2005-FF8, Cl M1 | ||||||||
1.724%, VAR ICE LIBOR USD 1 Month+0.490%, 09/25/2035 | 1,604 | 1,610 | ||||||
Flatiron CLO, Ser 2017-1A, Cl A1R | ||||||||
2.338%, VAR ICE LIBOR USD 3 Month+1.180%, 07/17/2026 (C) | 1,600 | 1,607 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2017-1, Cl A1 | ||||||||
2.070%, 05/15/2022 | 965 | 968 | ||||||
Global SC Finance II SRL, Ser 2014-1A, Cl A2 | ||||||||
3.090%, 07/17/2029 (C) | 868 | 859 | ||||||
Greenpoint Manufactured Housing, Ser 1999-3, Cl 1A7 | ||||||||
7.270%, 06/15/2029 | 738 | 757 | ||||||
Greenpoint Manufactured Housing, Ser 1999- 3, Cl 2A2 | ||||||||
4.890%, 06/19/2029 (A) | 200 | 174 | ||||||
Greenpoint Manufactured Housing, Ser 2001-2, Cl IA2 | ||||||||
4.726%, 02/20/2032 (A) | 50 | 47 | ||||||
Greenpoint Manufactured Housing, Ser 2001-2, Cl IIA2 | ||||||||
4.724%, 03/13/2032 (A) | 250 | 237 | ||||||
GSAMP Trust, Ser 2003-SEA, Cl A1 | ||||||||
1.634%, VAR ICE LIBOR USD 1 Month+0.400%, 02/25/2033 | 1,114 | 1,097 | ||||||
GSAMP Trust, Ser 2006-HE3, Cl A2D | ||||||||
1.484%, VAR ICE LIBOR USD 1 Month+0.250%, 05/25/2046 | 3,300 | 2,934 | ||||||
Higher Education Funding I, Ser 2014-1, Cl A | ||||||||
2.239%, VAR ICE LIBOR USD 3 Month+1.050%, 05/25/2034 (C) | 1,500 | 1,495 | ||||||
HSI Asset Securitization Trust, Ser 2006- OPT3, Cl 3A3 | ||||||||
1.414%, VAR ICE LIBOR USD 1 Month+0.180%, 02/25/2036 | 339 | 337 | ||||||
JGWPT XXX LLC, Ser 2013-3A, Cl A | ||||||||
4.080%, 01/17/2073 (C) | 826 | 845 | ||||||
JGWPT XXXII, Ser 2014-2A, Cl A | ||||||||
3.610%, 01/17/2073 (C) | 1,118 | 1,098 | ||||||
Lehman Manufactured Housing Contract Trust, Ser 2001-B, Cl A4 | ||||||||
5.270%, 09/15/2018 | 260 | 265 | ||||||
Magnetite XI, Ser 2017-11A, Cl A1R | ||||||||
2.424%, VAR ICE LIBOR USD 3 Month+1.120%, 01/18/2027 (C) | 1,730 | 1,736 | ||||||
Mid-State Trust, Ser 2003-11, Cl A1 | ||||||||
4.864%, 07/15/2038 | 2,014 | 2,088 |
136 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Morgan Stanley Re-REMIC Trust, Ser 2015-R7, Cl 1BXA | ||||||||
9.970%, 02/26/2036 (A)(C) | $ | 930 | $ | 1,022 | ||||
National Collegiate Student Loan Trust, Ser 2007-4, Cl A3L | ||||||||
2.084%, VAR ICE LIBOR USD 1 Month+0.850%, 03/25/2038 | 3,933 | 2,709 | ||||||
Navient Private Education Loan Trust, Ser 2014-AA, Cl A3 | ||||||||
2.834%, VAR ICE LIBOR USD 1 Month+1.600%, 10/15/2031 (C) | 646 | 659 | ||||||
Navient Private Education Loan Trust, Ser 2014-CTA, Cl A | ||||||||
1.934%, VAR ICE LIBOR USD 1 Month+0.700%, 09/16/2024 (C) | 372 | 372 | ||||||
Navient Private Education Loan Trust, Ser 2015-AA, Cl A2B | ||||||||
2.434%, VAR ICE LIBOR USD 1 Month+1.200%, 12/15/2028 (C) | 202 | 205 | ||||||
Navient Private Education Loan Trust, Ser 2015-CA, Cl B | ||||||||
3.250%, 05/15/2040 (C) | 408 | 412 | ||||||
Navient Private Education Loan Trust, Ser 2016-AA, Cl A2A | ||||||||
3.910%, 12/15/2045 (C) | 1,347 | 1,393 | ||||||
Navient Private Education Loan Trust, Ser 2016-AA, Cl A2B | ||||||||
3.384%, VAR ICE LIBOR USD 1 Month+2.150%, 12/15/2045 (C) | 396 | 412 | ||||||
Navient Student Loan Trust, Ser 2014-1, Cl A3 | ||||||||
1.744%, VAR ICE LIBOR USD 1 Month+0.510%, 06/25/2031 | 3,748 | 3,733 | ||||||
Navient Student Loan Trust, Ser 2014-2, Cl A | ||||||||
1.874%, VAR ICE LIBOR USD 1 Month+0.640%, 03/25/2083 | 2,439 | 2,419 | ||||||
Navient Student Loan Trust, Ser 2014-3, Cl A | ||||||||
1.854%, VAR ICE LIBOR USD 1 Month+0.620%, 03/25/2083 | 2,471 | 2,447 | ||||||
Navient Student Loan Trust, Ser 2014-4, Cl A | ||||||||
1.857%, VAR ICE LIBOR USD 1 Month+0.620%, 03/25/2083 | 1,833 | 1,816 | ||||||
Navient Student Loan Trust, Ser 2016-1A, Cl A | ||||||||
1.937%, VAR ICE LIBOR USD 1 Month+0.700%, 02/25/2070 (C) | 1,946 | 1,930 | ||||||
Navient Student Loan Trust, Ser 2016-5A, Cl A | ||||||||
2.487%, VAR ICE LIBOR USD 1 Month+1.250%, 06/25/2065 (C) | 308 | 314 | ||||||
Navient Student Loan Trust, Ser 2016-7A, Cl A | ||||||||
2.387%, VAR ICE LIBOR USD 1 Month+1.150%, 03/25/2066 (C) | 666 | 674 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Navient Student Loan Trust, Ser 2017-1A, Cl A3 | ||||||||
2.387%, VAR ICE LIBOR USD 1 Month+1.150%, 07/26/2066 (C) | $ | 2,283 | $ | 2,329 | ||||
Navient Student Loan Trust, Ser 2017-2A, Cl A | ||||||||
2.284%, VAR ICE LIBOR USD 1 Month+1.050%, 12/27/2066 (C) | 1,528 | 1,549 | ||||||
Navient Student Loan Trust, Ser 2017-3A, Cl A3 | ||||||||
2.384%, 07/26/2066 | 2,817 | 2,853 | ||||||
Navient Student Loan Trust, Ser 2017-4A, Cl A3 | ||||||||
2.237%, VAR ICE LIBOR USD 1 Month+1.000%, 09/27/2066 (C) | 1,660 | 1,675 | ||||||
Navient Student Loan Trust, Ser 2017-5A, Cl A | ||||||||
2.048%, VAR ICE LIBOR USD 1 Month+0.800%, 07/26/2066 (C) | 2,179 | 2,180 | ||||||
Nelnet Student Loan Trust, Ser 2004-3, Cl A5 | ||||||||
1.336%, VAR ICE LIBOR USD 3 Month+0.180%, 10/27/2036 | 642 | 629 | ||||||
Nelnet Student Loan Trust, Ser 2004-4, Cl A5 | ||||||||
1.474%, VAR ICE LIBOR USD 3 Month+0.160%, 01/25/2037 | 541 | 535 | ||||||
Nelnet Student Loan Trust, Ser 2005-1, Cl A5 | ||||||||
1.424%, VAR ICE LIBOR USD 3 Month+0.110%, 10/25/2033 | 1,927 | 1,890 | ||||||
Nelnet Student Loan Trust, Ser 2005-2, Cl A5 | ||||||||
1.387%, VAR ICE LIBOR USD 3 Month+0.100%, 03/23/2037 | 630 | 615 | ||||||
Nelnet Student Loan Trust, Ser 2005-3, Cl A5 | ||||||||
1.407%, VAR ICE LIBOR USD 3 Month+0.120%, 12/24/2035 | 1,398 | 1,375 | ||||||
Nelnet Student Loan Trust, Ser 2005-4, Cl A4 | ||||||||
1.467%, VAR ICE LIBOR USD 3 Month+0.180%, 03/22/2032 | 393 | 379 | ||||||
Nelnet Student Loan Trust, Ser 2006-2, Cl A6 | ||||||||
1.434%, VAR ICE LIBOR USD 3 Month+0.120%, 04/25/2031 | 1,337 | 1,336 | ||||||
Nelnet Student Loan Trust, Ser 2010-4A, Cl A | ||||||||
2.034%, VAR ICE LIBOR USD 1 Month+0.800%, 04/25/2046 (C) | 175 | 176 | ||||||
Nelnet Student Loan Trust, Ser 2012-5A, Cl A | ||||||||
1.834%, VAR ICE LIBOR USD 1 Month+0.600%, 10/27/2036 (C) | 1,445 | 1,435 | ||||||
Nelnet Student Loan Trust, Ser 2014-4A, Cl A2 | ||||||||
2.184%, VAR ICE LIBOR USD 1 Month+0.950%, 11/25/2048 (C) | 1,655 | 1,628 | ||||||
Nelnet Student Loan Trust, Ser 2015-2A, Cl A2 | ||||||||
1.837%, VAR ICE LIBOR USD 1 Month+0.600%, 09/25/2047 (C) | 2,247 | 2,221 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 137 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Core Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Nelnet Student Loan Trust, Ser 2016-1A, Cl A | ||||||||
2.037%, VAR ICE LIBOR USD 1 Month+0.800%, 09/25/2065 (C) | $ | 713 | $ | 723 | ||||
Nelnet Student Loan Trust, Ser 2017-2A, Cl A | ||||||||
2.007%, VAR ICE LIBOR USD 1 Month+0.770%, 09/25/2065 (C) | 1,091 | 1,095 | ||||||
North Carolina State Education Assistance Authority, Ser 2011-2, Cl A2 | ||||||||
1.956%, VAR ICE LIBOR USD 3 Month+0.800%, 07/25/2025 | 571 | 572 | ||||||
Origen Manufactured Housing, Ser 2006-A, Cl A2 | ||||||||
3.329%, 10/15/2037 (A) | 2,119 | 1,972 | ||||||
RAMP Trust, Ser 2003-RS11, Cl MII1 | ||||||||
2.329%, VAR ICE LIBOR USD 1 Month+1.095%, 12/25/2033 | 145 | 138 | ||||||
RAMP Trust, Ser 2006-RZ3, Cl M1 | ||||||||
1.584%, VAR ICE LIBOR USD 1 Month+0.350%, 08/25/2036 | 6,530 | 6,114 | ||||||
Scholar Funding Trust, Ser 2011-A, Cl A | ||||||||
2.214%, VAR ICE LIBOR USD 3 Month+0.900%, 10/28/2043 (C) | 676 | 674 | ||||||
SLM Student Loan Trust, Ser 2003-1, Cl A5C | ||||||||
2.070%, VAR ICE LIBOR USD 3 Month+0.750%, 12/15/2032 (C) | 462 | 458 | ||||||
SLM Student Loan Trust, Ser 2004-10, Cl A7A | ||||||||
2.064%, VAR ICE LIBOR USD 3 Month+0.750%, 10/25/2029 (C) | 1,078 | 1,075 | ||||||
SLM Student Loan Trust, Ser 2004-8, Cl B | ||||||||
1.774%, VAR ICE LIBOR USD 3 Month+0.460%, 01/25/2040 | 117 | 109 | ||||||
SLM Student Loan Trust, Ser 2005-6, Cl A5B | ||||||||
2.514%, VAR ICE LIBOR USD 3 Month+1.200%, 07/27/2026 | 83 | 83 | ||||||
SLM Student Loan Trust, Ser 2005-A, Cl A4 | ||||||||
1.630%, VAR ICE LIBOR USD 3 Month+0.310%, 12/15/2038 | 1,560 | 1,459 | ||||||
SLM Student Loan Trust, Ser 2006-2, Cl A6 | ||||||||
1.484%, VAR ICE LIBOR USD 3 Month+0.170%, 01/25/2041 | 1,900 | 1,835 | ||||||
SLM Student Loan Trust, Ser 2006-3, Cl A5 | ||||||||
1.414%, VAR ICE LIBOR USD 3 Month+0.100%, 01/25/2021 | 989 | 978 | ||||||
SLM Student Loan Trust, Ser 2006-8, Cl A6 | ||||||||
1.474%, VAR ICE LIBOR USD 3 Month+0.160%, 01/25/2041 | 1,900 | 1,791 | ||||||
SLM Student Loan Trust, Ser 2007-2, Cl A4 | ||||||||
1.374%, VAR ICE LIBOR USD 3 Month+0.060%, 07/25/2022 | 3,211 | 3,118 | ||||||
SLM Student Loan Trust, Ser 2007-2, Cl B | ||||||||
1.484%, VAR ICE LIBOR USD 3 Month+0.170%, 07/25/2025 | 391 | 330 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
SLM Student Loan Trust, Ser 2007-6, Cl B | ||||||||
2.164%, VAR ICE LIBOR USD 3 Month+0.850%, 04/27/2043 | $ | 374 | $ | 354 | ||||
SLM Student Loan Trust, Ser 2008-2, Cl B | ||||||||
2.514%, VAR ICE LIBOR USD 3 Month+1.200%, 01/25/2083 | 525 | 494 | ||||||
SLM Student Loan Trust, Ser 2008-3, Cl B | ||||||||
2.514%, VAR ICE LIBOR USD 3 Month+1.200%, 04/26/2083 | 525 | 492 | ||||||
SLM Student Loan Trust, Ser 2008-4, Cl B | ||||||||
3.164%, VAR ICE LIBOR USD 3 Month+1.850%, 04/25/2073 | 525 | 513 | ||||||
SLM Student Loan Trust, Ser 2008-5, Cl A4 | ||||||||
3.014%, VAR ICE LIBOR USD 3 Month+1.700%, 07/25/2023 | 1,205 | 1,240 | ||||||
SLM Student Loan Trust, Ser 2008-5, Cl B | ||||||||
3.164%, VAR ICE LIBOR USD 3 Month+1.850%, 07/25/2073 | 525 | 524 | ||||||
SLM Student Loan Trust, Ser 2008-6, Cl B | ||||||||
3.164%, VAR ICE LIBOR USD 3 Month+1.850%, 07/26/2083 | 525 | 519 | ||||||
SLM Student Loan Trust, Ser 2008-7, Cl B | ||||||||
3.164%, VAR ICE LIBOR USD 3 Month+1.850%, 07/26/2083 | 525 | 520 | ||||||
SLM Student Loan Trust, Ser 2008-8, Cl B | ||||||||
3.564%, VAR ICE LIBOR USD 3 Month+2.250%, 10/25/2075 | 525 | 527 | ||||||
SLM Student Loan Trust, Ser 2008-9, Cl B | ||||||||
3.564%, VAR ICE LIBOR USD 3 Month+2.250%, 10/25/2083 | 525 | 536 | ||||||
SLM Student Loan Trust, Ser 2010-1, Cl A | ||||||||
1.637%, VAR ICE LIBOR USD 1 Month+0.400%, 03/25/2025 | 408 | 403 | ||||||
SLM Student Loan Trust, Ser 2012-1, Cl A3 | ||||||||
2.184%, VAR ICE LIBOR USD 1 Month+0.950%, 09/25/2028 | 1,740 | 1,754 | ||||||
SLM Student Loan Trust, Ser 2012-2, Cl A | ||||||||
1.937%, VAR ICE LIBOR USD 1 Month+0.700%, 01/25/2029 | 662 | 663 | ||||||
SLM Student Loan Trust, Ser 2012-6, Cl A3 | ||||||||
1.987%, VAR ICE LIBOR USD 1 Month+0.750%, 05/26/2026 | 355 | 353 | ||||||
SLM Student Loan Trust, Ser 2012-6, Cl B | ||||||||
2.237%, VAR ICE LIBOR USD 1 Month+1.000%, 04/27/2043 | 289 | 264 | ||||||
SLM Student Loan Trust, Ser 2012-D, Cl A2 | ||||||||
2.950%, 02/15/2046 (C) | 120 | 120 | ||||||
SLM Student Loan Trust, Ser 2013-1, Cl B | ||||||||
3.034%, VAR ICE LIBOR USD 1 Month+1.800%, 11/25/2043 | 245 | 246 | ||||||
SLM Student Loan Trust, Ser 2013-B, Cl A2B | ||||||||
2.334%, VAR ICE LIBOR USD 1 Month+1.100%, 06/17/2030 (C) | 127 | 128 |
138 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
SLM Student Loan Trust, Ser 2013-M1, Cl M1 | ||||||||
3.500%, 10/28/2029 (C) | $ | 626 | $ | 618 | ||||
SLM Student Loan Trust, Ser 2014-2, Cl A3 | ||||||||
1.827%, VAR ICE LIBOR USD 1 Month+0.590%, 03/25/2055 | 964 | 966 | ||||||
SMB Private Education Loan Trust, Ser 2015- A, Cl A2A | ||||||||
2.490%, 06/15/2027 (C) | 262 | 263 | ||||||
SMB Private Education Loan Trust, Ser 2015- A, Cl A2B | ||||||||
2.234%, VAR ICE LIBOR USD 1 Month+1.000%, 06/15/2027 (C) | 776 | 784 | ||||||
SMB Private Education Loan Trust, Ser 2015- B, Cl A2A | ||||||||
2.980%, 07/15/2027 (C) | 336 | 342 | ||||||
SMB Private Education Loan Trust, Ser 2015- B, Cl A2B | ||||||||
2.434%, VAR ICE LIBOR USD 1 Month+1.200%, 07/15/2027 (C) | 1,047 | 1,070 | ||||||
SMB Private Education Loan Trust, Ser 2015- C, Cl A2A | ||||||||
2.750%, 07/15/2027 (C) | 546 | 552 | ||||||
SMB Private Education Loan Trust, Ser 2015- C, Cl A2B | ||||||||
2.634%, VAR ICE LIBOR USD 1 Month+1.400%, 07/15/2027 (C) | 369 | 377 | ||||||
SMB Private Education Loan Trust, Ser 2016- A, Cl A2A | ||||||||
2.700%, 05/15/2031 (C) | 1,339 | 1,343 | ||||||
SMB Private Education Loan Trust, Ser 2016- A, Cl A2B | ||||||||
2.734%, VAR ICE LIBOR USD 1 Month+1.500%, 05/15/2031 (C) | 1,023 | 1,052 | ||||||
SMB Private Education Loan Trust, Ser 2016- B, Cl A2A | ||||||||
2.430%, 02/17/2032 (C) | 868 | 861 | ||||||
SMB Private Education Loan Trust, Ser 2016- B, Cl A2B | ||||||||
2.684%, VAR ICE LIBOR USD 1 Month+1.450%, 02/17/2032 (C) | 1,002 | 1,036 | ||||||
SMB Private Education Loan Trust, Ser 2016- C, Cl A2A | ||||||||
2.340%, 09/15/2034 (C) | 1,135 | 1,120 | ||||||
SMB Private Education Loan Trust, Ser 2016- C, Cl A2B | ||||||||
2.334%, VAR ICE LIBOR USD 1 Month+1.100%, 09/15/2034 (C) | 1,131 | 1,151 | ||||||
SMB Private Education Loan Trust, Ser 2017- A, Cl A2A | ||||||||
2.880%, 09/15/2034 (C) | 1,018 | 1,027 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
SMB Private Education Loan Trust, Ser 2017- A, Cl A2B | ||||||||
2.134%, VAR ICE LIBOR USD 1 Month+0.900%, 09/15/2034 (C) | $ | 3,097 | $ | 3,124 | ||||
SoFi Professional Loan Program, Ser 2016-A, Cl A2 | ||||||||
2.760%, 12/26/2036 (C) | 696 | 703 | ||||||
SoFi Professional Loan Program, Ser 2016-D, Cl A1 | ||||||||
2.187%, VAR ICE LIBOR USD 1 Month+0.950%, 01/25/2039 (C) | 156 | 158 | ||||||
SoFi Professional Loan Program, Ser 2016-E, Cl A1 | ||||||||
2.087%, VAR ICE LIBOR USD 1 Month+0.850%, 07/25/2039 (C) | 408 | 411 | ||||||
SoFi Professional Loan Program, Ser 2017-A, Cl A1 | ||||||||
1.937%, VAR ICE LIBOR USD 1 Month+0.700%, 03/26/2040 (C) | 366 | 368 | ||||||
SoFi Professional Loan Program, Ser 2017-A, Cl A2B | ||||||||
2.400%, 03/26/2040 (C) | 360 | 357 | ||||||
SoFi Professional Loan Program, Ser 2017-B, Cl A2FX | ||||||||
2.740%, 05/25/2040 (C) | 670 | 673 | ||||||
SoFi Professional Loan Program, Ser 2017-C, Cl A2B | ||||||||
2.630%, 07/25/2040 (C) | 585 | 584 | ||||||
SoFi Professional Loan Program, Ser 2017-D, Cl A2FX | ||||||||
2.650%, 09/25/2040 (C) | 1,013 | 1,007 | ||||||
United States Small Business Administration, Ser 2017-20G, Cl 1 | ||||||||
2.980%, 07/01/2037 | 310 | 314 | ||||||
Upstart Securitization Trust, Ser 2017-1, Cl A | ||||||||
2.639%, 06/20/2024 (C) | 1,236 | 1,236 | ||||||
Verizon Owner Trust, Ser 2016-1A, Cl A | ||||||||
1.420%, 01/20/2021 (C) | 815 | 811 | ||||||
Verizon Owner Trust, Ser 2016-2A, Cl A | ||||||||
1.680%, 05/20/2021 (C) | 290 | 289 | ||||||
Verizon Owner Trust, Ser 2017-2A, Cl A | ||||||||
1.920%, 12/20/2021 (C) | 830 | 829 | ||||||
Voya CLO, Ser 2016-1A, Cl A1R | ||||||||
2.634%, VAR ICE LIBOR USD 3 Month+1.330%, 04/18/2026 (C) | 680 | 680 | ||||||
Wells Fargo Home Equity Asset-Backed Securities Trust, Ser 2006-2, Cl A4 | ||||||||
1.484%, VAR ICE LIBOR USD 1 Month+0.250%, 07/25/2036 | 2,318 | 2,310 | ||||||
|
|
| ||||||
137,134 | ||||||||
|
|
| ||||||
Total Asset-Backed Securities | 175,476 | |||||||
|
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 139 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Core Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
SOVEREIGN DEBT — 2.3% |
| |||||||
Argentine Bonos del Tesoro | ||||||||
18.200%, 10/03/2021 | ARS | 19,870 | $ | 1,178 | ||||
Argentine Republic Government International Bond | ||||||||
7.625%, 04/22/2046 (D) | $ | 180 | 200 | |||||
7.500%, 04/22/2026 | 280 | 314 | ||||||
7.125%, 07/06/2036 | 220 | 231 | ||||||
6.875%, 04/22/2021 | 420 | 458 | ||||||
5.625%, 01/26/2022 | 1,300 | 1,365 | ||||||
Brazil Notas do Tesouro Nacional, Ser F | ||||||||
10.000%, 01/01/2021 | BRL | 10,399 | 3,403 | |||||
10.000%, 01/01/2023 | 3,994 | 1,298 | ||||||
Brazilian Government International Bond | ||||||||
5.625%, 01/07/2041 | $ | 1,120 | 1,128 | |||||
5.000%, 01/27/2045 | 560 | 521 | ||||||
2.625%, 01/05/2023 | 200 | 192 | ||||||
Chile Government International Bond | ||||||||
3.860%, 06/21/2047 | 285 | 290 | ||||||
China Government Bond | ||||||||
3.390%, 05/21/2025 | CNY | 2,000 | 291 | |||||
3.310%, 11/30/2025 | 11,500 | 1,662 | ||||||
Colombia Government International Bond | ||||||||
5.625%, 02/26/2044 | $ | 820 | 917 | |||||
3.875%, 04/25/2027 (D) | 316 | 321 | ||||||
FMS Wertmanagement AoeR | ||||||||
1.000%, 11/21/2017 | 640 | 640 | ||||||
Indonesia Government International Bond MTN | ||||||||
5.875%, 03/13/2020 | 240 | 261 | ||||||
5.875%, 01/15/2024 (C) | 840 | 963 | ||||||
5.250%, 01/08/2047 (C) | 200 | 225 | ||||||
5.125%, 01/15/2045 (C) | 200 | 221 | ||||||
4.350%, 01/08/2027 (C) | 450 | 477 | ||||||
3.850%, 07/18/2027 (C) | 200 | 206 | ||||||
3.700%, 01/08/2022 (C) | 250 | 260 | ||||||
Israel Government International Bond | ||||||||
4.500%, 01/30/2043 | 260 | 282 | ||||||
Japan Bank for International Cooperation | ||||||||
2.250%, 02/24/2020 | 882 | 886 | ||||||
1.875%, 04/20/2021 | 256 | 253 | ||||||
1.750%, 05/28/2020 | 650 | 645 | ||||||
Japan Finance Organization for Municipalities | ||||||||
4.000%, 01/13/2021 | 1,800 | 1,890 | ||||||
Japan Treasury Discount Bills | ||||||||
-0.158%, 01/10/2018 (B)(E) | JPY | 465,000 | 4,132 | |||||
-0.143%, 11/20/2017 (B)(E) | 1,135,000 | 10,085 | ||||||
Kuwait International Government Bond | ||||||||
3.500%, 03/20/2027 (C) | $ | 780 | 802 | |||||
Mexico Government International Bond MTN | ||||||||
6.050%, 01/11/2040 | 1,110 | 1,332 | ||||||
5.750%, 10/12/2110 | 603 | 646 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
SOVEREIGN DEBT (continued) |
| |||||||
4.750%, 03/08/2044 | $ | 1,330 | $ | 1,371 | ||||
4.000%, 10/02/2023 | 363 | 384 | ||||||
3.600%, 01/30/2025 (D) | 780 | 799 | ||||||
Paraguay Government International Bond | ||||||||
6.100%, 08/11/2044 (C) | 325 | 365 | ||||||
Peruvian Government International Bond | ||||||||
6.550%, 03/14/2037 | 90 | 121 | ||||||
5.625%, 11/18/2050 | 580 | 732 | ||||||
Province of Ontario Canada | ||||||||
1.625%, 01/18/2019 (D) | 785 | 784 | ||||||
Provincia de Buenos Aires | ||||||||
7.875%, 06/15/2027 (C) | 250 | 271 | ||||||
6.500%, 02/15/2023 (C) | 300 | 316 | ||||||
Republic of Poland Government International Bond | ||||||||
4.000%, 01/22/2024 | 1,310 | 1,410 | ||||||
Russian Foreign Bond - Eurobond | ||||||||
7.500%, 03/31/2030 (C) | 278 | 327 | ||||||
7.500%, 03/31/2030 | 630 | 741 | ||||||
4.500%, 04/04/2022 | 400 | 427 | ||||||
Saudi Government International Bond MTN | ||||||||
4.625%, 10/04/2047 (C) | 230 | 230 | ||||||
3.625%, 03/04/2028 (C) | 600 | 598 | ||||||
2.875%, 03/04/2023 (C) | 980 | 977 | ||||||
|
|
| ||||||
Total Sovereign Debt |
| 47,828 | ||||||
|
|
| ||||||
LOAN PARTICIPATIONS — 1.0% |
| |||||||
1011778 BC ULC/ New Red Finance, Term Loan B2, 1st Lien | ||||||||
3.485%, VAR LIBOR+2.250%, 02/16/2024 | 554 | 553 | ||||||
Air Medical Group Holdings, Initial Term Loan, 1st Lien | ||||||||
4.485%, VAR LIBOR+3.250%, 04/28/2022 | 728 | 722 | ||||||
Albertson’s LLC, Term Loan B4, 1st Lien | ||||||||
3.985%, VAR LIBOR+2.750%, 08/25/2021 | 329 | 317 | ||||||
Albertson’s LLC, Term Loan B6, 1st Lien | ||||||||
4.317%, VAR LIBOR+3.000%, 06/22/2023 | 234 | 225 | ||||||
American Airlines, 2017 Replacement Term Loan, 1st Lien | ||||||||
3.237%, VAR LIBOR+2.000%, 06/27/2020 | 624 | 624 | ||||||
American Builders & Contractors Supply, Term Loan B1, 1st Lien | ||||||||
3.735%, VAR LIBOR+2.500%, 10/31/2023 | 595 | 597 |
140 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Aristocrat Leisure, Cov-Lite, Term Loan B2, 1st Lien | ||||||||
3.557%, VAR LIBOR+2.000%, 10/20/2021 | $ | 71 | $ | 71 | ||||
Avolon, Borrower 1 (US) Initial Term Loan B2, 1st Lien | ||||||||
3.986%, VAR LIBOR+2.750%, 03/21/2022 | 559 | 560 | ||||||
Berry Global, Term Loan M, 1st Lien | ||||||||
3.485%, VAR LIBOR+2.250%, 10/01/2022 | 487 | 489 | ||||||
Boyd Gaming, Refinancing Term Loan B, 1st Lien | ||||||||
3.694%, VAR LIBOR+2.500%, 09/15/2023 | 294 | 294 | ||||||
Caesars Entertainment Resort Properties, LLC, Term Loan B, 1st Lien | ||||||||
4.735%, VAR LIBOR+3.500%, 10/11/2020 | 499 | 499 | ||||||
CenturyLink, Initial Term Loan B, 1st Lien | ||||||||
2.750%, VAR Ticking Fee+2.750%, 01/31/2025 | 570 | 552 | ||||||
Charter Communications Operating, LLC, Term Loan E1, 1st Lien | ||||||||
3.240%, VAR LIBOR+2.000%, 07/01/2020 | 592 | 594 | ||||||
CSC Holdings, LLC, March 2017 Refinancing Term Loan, 2nd Lien | ||||||||
3.484%, VAR LIBOR+2.250%, 07/17/2025 | 131 | 130 | ||||||
Dell International LLC, Term Loan A2, 1st Lien | ||||||||
3.490%, VAR LIBOR+2.250%, 09/07/2021 | 573 | 573 | ||||||
Delos Finance, New Term Loan, 1st Lien | ||||||||
3.333%, VAR LIBOR+2.000%, 10/06/2023 | 1,000 | 1,006 | ||||||
Energy Future Intermediate Holding, Term Loan, 1st Lien | ||||||||
4.235%, VAR LIBOR+3.000%, 06/30/2018 (F) | 1,170 | 1,176 | ||||||
First Data, New Dollar Term Loan B1, 1st Lien | ||||||||
3.737%, VAR LIBOR+2.500%, 04/26/2024 | 1,041 | 1,044 | ||||||
First Data, New Dollar Term Loan, 1st Lien | ||||||||
3.487%, VAR LIBOR+2.250%, 07/08/2022 | 916 | 917 | ||||||
Flying Fortress Holdings, LLC, New Term Loan, 1st Lien | ||||||||
3.333%, VAR LIBOR+2.000%, 10/30/2022 | 560 | 563 | ||||||
Golden Nugget, Cov-Lite, Term Loan B, 1st Lien | ||||||||
4.488%, 10/04/2023 | 296 | 297 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
HCA, Term Loan, Tranche B8, 1st Lien | ||||||||
3.485%, VAR LIBOR+2.250%, 02/15/2024 | $ | 596 | $ | 598 | ||||
Hilton Worldwide Finance LLC, Term Loan B2, 1st Lien | ||||||||
3.237%, VAR LIBOR+2.000%, 10/25/2023 | 272 | 273 | ||||||
3.234%, VAR LIBOR+2.000%, 10/25/2023 | 291 | 293 | ||||||
3.216%, VAR LIBOR+2.000%, 10/25/2023 | 55 | 55 | ||||||
Jaguar Holding I, LLC, Initial Term Loan, 1st Lien | ||||||||
4.083%, VAR LIBOR+2.750%, 08/18/2022 | 567 | 570 | ||||||
Level 3 Financing, Term Loan, Tranche B, 1st Lien | ||||||||
3.486%, VAR LIBOR+2.250%, 02/22/2024 | 590 | 590 | ||||||
MGM Growth Properties Operating Partnership L.P., Term Loan B, 1st Lien | ||||||||
3.485%, VAR LIBOR+2.250%, 04/25/2023 | 556 | 557 | ||||||
Michaels Stores, New Replacement Term Loan B1, 1st Lien | ||||||||
3.985%, VAR LIBOR+2.750%, 01/30/2023 | 64 | 65 | ||||||
3.984%, VAR LIBOR+2.750%, 01/30/2023 | 494 | 493 | ||||||
MPH Acquisition Holdings LLC, Initial Term Loan, 1st Lien | ||||||||
4.333%, VAR LIBOR+3.000%, 06/07/2023 | 536 | 540 | ||||||
Party City Holdings, Replacement Term Loan, Tranche 1, 1st Lien | ||||||||
4.320%, VAR LIBOR+3.000%, 08/19/2022 | 327 | 329 | ||||||
Party City Holdings, Replacement Term Loan, Tranche 2, 1st Lien | ||||||||
4.320%, VAR LIBOR+3.000%, 08/19/2022 | 157 | 158 | ||||||
Party City Holdings, Replacement Term Loan, Tranche 3, 1st Lien | ||||||||
4.340%, VAR LIBOR+3.000%, 08/19/2022 | 29 | 29 | ||||||
Party City Holdings, Replacement Term Loan, Tranche 4, 1st Lien | ||||||||
4.340%, VAR LIBOR+3.000%, 08/19/2022 | 14 | 14 | ||||||
Petco Animal Supplies, Term Loan, 1st Lien | ||||||||
4.311%, VAR LIBOR+3.000%, 01/26/2023 | 504 | 415 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 141 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Core Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
PetSmart, Term Loan, Tranche B2, 1st Lien | ||||||||
4.240%, VAR LIBOR+3.000%, 03/11/2022 | $ | 679 | $ | 572 | ||||
Post Holdings, Incremental Term Loan B, 1st Lien | ||||||||
3.490%, VAR LIBOR+2.250%, 05/24/2024 | 379 | 380 | ||||||
Reynolds Group Holdings, Incremental U.S. Term Loan, 1st Lien | ||||||||
4.235%, VAR LIBOR+2.750%, 02/05/2023 (F) | 536 | 538 | ||||||
RPI Finance Trust, Initial Term Loan B6, 1st Lien | ||||||||
3.333%, VAR LIBOR+2.000%, 03/27/2023 | 103 | 103 | ||||||
Univision Communications, Cov-Lite, Replacement Term Loan, 1st Lien | ||||||||
3.985%, VAR LIBOR+2.750%, 03/15/2024 | 1,667 | 1,651 | ||||||
UPC Financing, Facility Term Loan AP, 1st Lien | ||||||||
3.984%, VAR LIBOR+2.750%, 04/15/2025 | 600 | 602 | ||||||
Virgin Media Bristol LLC, Facility Term Loan, 1st Lien | ||||||||
3.984%, VAR LIBOR+2.750%, 01/31/2025 | 408 | 409 | ||||||
XPO Logistics, Refinanced Term Loan B, 1st Lien | ||||||||
3.554%, VAR LIBOR+2.250%, 11/01/2021 (F) | 297 | 297 | ||||||
|
|
| ||||||
Total Loan Participations | 21,334 | |||||||
|
|
| ||||||
MUNICIPAL BONDS — 0.5% | ||||||||
California — 0.2% | ||||||||
California State, Build America Project, GO | ||||||||
7.600%, 11/01/2040 | 355 | 554 | ||||||
California State, GO | ||||||||
6.200%, 03/01/2019 | 1,775 | 1,882 | ||||||
Los Angeles, Community College District, Build America Project, GO | ||||||||
6.750%, 08/01/2049 | 488 | 743 | ||||||
|
|
| ||||||
3,179 | ||||||||
|
|
| ||||||
Massachusetts — 0.1% | ||||||||
Commonwealth of Massachusetts, GO | ||||||||
4.910%, 05/01/2029 | 900 | 1,054 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MUNICIPAL BONDS (continued) |
| |||||||
Commonwealth of Massachusetts, Ser 2016- E, GO | ||||||||
Callable 04/01/2025 @ 100 3.000%, 04/01/2041 | $ | 1,500 | $ | 1,409 | ||||
|
|
| ||||||
2,463 | ||||||||
|
|
| ||||||
Nevada — 0.0% | ||||||||
Clark County, Department of Aviation, Build America Project, Ser C, RB | ||||||||
6.820%, 07/01/2045 | 458 | 671 | ||||||
|
|
| ||||||
New York — 0.1% | ||||||||
New York and New Jersey, Port Authority, RB | ||||||||
4.458%, 10/01/2062 | 670 | 749 | ||||||
New York City, Build America Project, Ser F1, GO | ||||||||
Callable 12/01/2020 @ 100 6.646%, 12/01/2031 | 900 | 1,024 | ||||||
New York City, Water & Sewer System, Build America Project, RB | ||||||||
5.952%, 06/15/2042 | 750 | 1,021 | ||||||
|
|
| ||||||
2,794 | ||||||||
|
|
| ||||||
Ohio — 0.0% | ||||||||
Ohio State University, Ser A, RB | ||||||||
4.800%, 06/01/2111 | 207 | 225 | ||||||
|
|
| ||||||
Texas — 0.1% | ||||||||
Brazos Higher Education Authority, Ser 2006- 2, RB | ||||||||
1.338%, 12/26/2024 (G) | 500 | 500 | ||||||
North Texas, Tollway Authority, Build America Project, Ser B, RB | ||||||||
6.718%, 01/01/2049 (D) | 459 | 680 | ||||||
|
|
| ||||||
1,180 | ||||||||
|
|
| ||||||
Total Municipal Bonds | 10,512 | |||||||
|
|
| ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.4% |
| |||||||
FICO STRIPS, PO | ||||||||
0.000%, 11/02/2018 (B) | 1,800 | 1,771 | ||||||
0.000%, 05/11/2018 (B) | 1,910 | 1,893 | ||||||
FNMA | ||||||||
4.823%, 10/09/2019 (B) | 3,275 | 3,157 |
142 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||
Tennessee Valley Authority | ||||||||
3.875%, 02/15/2021 | $ | 1,510 | $ | 1,610 | ||||
|
|
| ||||||
Total U.S. Government Agency Obligations |
| 8,431 | ||||||
|
|
| ||||||
Shares | ||||||||
|
|
| ||||||
PREFERRED STOCK — 0.0% | ||||||||
Citigroup Capital XIII, 7.875% | 18,975 | 527 | ||||||
|
|
| ||||||
Total Preferred Stock |
| 527 | ||||||
|
|
| ||||||
AFFILIATED PARTNERSHIP — 6.6% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
1.110% **†(H) | 137,582,877 | 137,563 | ||||||
|
|
| ||||||
Total Affiliated Partnership |
| 137,563 | ||||||
|
|
| ||||||
CASH EQUIVALENT — 6.1% |
| |||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
0.840%**† | 127,390,391 | 127,390 | ||||||
|
|
| ||||||
Total Cash Equivalent |
| 127,390 | ||||||
|
|
|
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
REPURCHASE AGREEMENT(I) — 2.6% |
| |||||||
Deutsche Bank | ||||||||
1.040%, dated 09/29/2017, to be repurchased on 10/02/2017, repurchased price $53,604,645 (collateralized by U.S. Treasury Inflation Protected Security, par value $54,119,000, 0.125%, 04/15/2022; total market value $53,604,645) | $ | 53,600 | $ | 53,600 | ||||
|
|
| ||||||
Total Repurchase Agreement |
| 53,600 | ||||||
|
|
| ||||||
Total Investments in Securities— 118.8% |
| $ | 2,479,984 | |||||
|
|
| ||||||
Contracts | ||||||||
|
|
| ||||||
PURCHASED OPTIONS* — 0.0% | ||||||||
Total Purchased Options (J) | 938 | $ | 203 | |||||
|
|
| ||||||
WRITTEN OPTIONS* — 0.0% | ||||||||
Total Written Options (J) | (1,204 | ) | $ | (175 | ) | |||
|
|
|
A list of the exchange traded option contracts held by the Fund at September 30, 2017, is as follows:
Description | Number of Contracts | Notional Amount ($ Thousands) | Exercise Price | Expiration Date | Value ($ Thousands) | |||||||||||||||
PURCHASED OPTIONS — 0.0% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
March 2018, Euro Future* | 58 | $ | 3 | $ | 98.25 | 03/17/18 | $ | 3 | ||||||||||||
November 2017, U.S. 10-Year Future* | 96 | 23 | 125.00 | 10/21/17 | 38 | |||||||||||||||
November 2017, U.S. 5-Year Future* | 10 | 1 | 117.25 | 10/21/17 | 2 | |||||||||||||||
November 2017, U.S. 5-Year Future* | 53 | 17 | 118.00 | 10/21/17 | 33 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
44 | 76 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Call Options | ||||||||||||||||||||
November 2017, 90-Day Euro$ Future* | 136 | 4 | 98.38 | 11/18/17 | 3 | |||||||||||||||
November 2017, U.S. 10-Year Future* | 106 | 29 | 127.00 | 10/21/17 | 10 | |||||||||||||||
November 2017, U.S. 10-Year Future* | 43 | 17 | 125.75 | 10/21/17 | 15 | |||||||||||||||
November 2017, U.S. 10-Year Future* | 54 | 19 | 126.50 | 10/21/17 | 9 | |||||||||||||||
November 2017, U.S. 10-Year Future* | 42 | 20 | 125.50 | 10/21/17 | 18 | |||||||||||||||
November 2017, U.S. 5-Year Future* | 43 | 7 | 118.00 | 10/21/17 | 5 | |||||||||||||||
November 2017, U.S. 5-Year Future* | 69 | 18 | 117.75 | 10/21/17 | 13 | |||||||||||||||
November 2017, U.S. 5-Year Future* | 42 | 7 | 118.50 | 10/21/17 | 2 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 143 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Core Fixed Income Fund (Continued)
Description | Number of Contracts | Notional Amount ($ Thousands) | Exercise Price | Expiration Date | Value ($ Thousands) | |||||||||||||||
PURCHASED OPTIONS (continued) | ||||||||||||||||||||
November 2017, U.S. Bond Future* | 26 | $ | 13 | $ | 157.00 | 10/21/17 | $ | 5 | ||||||||||||
November 2017, U.S. Bond Future* | 22 | 23 | 153.00 | 10/21/17 | 26 | |||||||||||||||
October 2017, U.S. Long Treasury Bond* | 11 | 9 | 155.50 | 10/21/17 | 2 | |||||||||||||||
October 2017, U.S. Long Treasury Bond* | 21 | 13 | 153.50 | 10/21/17 | 13 | |||||||||||||||
October 2017, U.S. Long Treasury Bond* | 21 | 16 | 155.00 | 10/21/17 | 5 | |||||||||||||||
September 2017, U.S. 5-Year Future* | 85 | 4 | 118.00 | 10/21/17 | 1 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
199 | 127 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Purchased Options | $ | 243 | $ | 203 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
WRITTEN OPTIONS — 0.0% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
December 2017, U.S. 10-Year Future* | (31 | ) | $ | (11 | ) | 124.00 | 11/18/17 | $ | (9 | ) | ||||||||||
December 2017, U.S. 5-Year Future* | (43 | ) | (7 | ) | 117.00 | 11/18/17 | (10 | ) | ||||||||||||
March 2018, Euro Future* | (58 | ) | (1 | ) | 98.13 | 03/17/18 | (1 | ) | ||||||||||||
November 2017, U.S. 10-Year Future* | (41 | ) | (7 | ) | 125.50 | 10/21/17 | (26 | ) | ||||||||||||
November 2017, U.S. 10-Year Future* | (42 | ) | (8 | ) | 123.50 | 10/21/17 | (3 | ) | ||||||||||||
November 2017, U.S. 5-Year Future* | (42 | ) | (7 | ) | 117.50 | 10/21/17 | (13 | ) | ||||||||||||
November 2017, U.S. 5-Year Future* | (21 | ) | (5 | ) | 117.75 | 10/21/17 | (9 | ) | ||||||||||||
November 2017, U.S. Bond Future* | (10 | ) | (6 | ) | 153.00 | 10/21/17 | (13 | ) | ||||||||||||
November 2017, U.S. Bond Future* | (22 | ) | (9 | ) | 150.50 | 10/21/17 | (9 | ) | ||||||||||||
November 2017, U.S. Bond Future* | (11 | ) | (4 | ) | 150.00 | 10/21/17 | (3 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||||
(65 | ) | (96 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Call Options | ||||||||||||||||||||
December 2017, U.S. 10-Year Future* | (147 | ) | (31 | ) | 129.00 | 11/18/17 | (11 | ) | ||||||||||||
December 2017, U.S. 10-Year Future* | (31 | ) | (13 | ) | 128.50 | 11/18/17 | (3 | ) | ||||||||||||
December 2017, U.S. 5-Year Future* | (84 | ) | (10 | ) | 119.00 | 11/18/17 | (6 | ) | ||||||||||||
December 2017, U.S. 5-Year Future* | (96 | ) | (18 | ) | 119.25 | 11/18/17 | (5 | ) | ||||||||||||
December 2017, U.S. Bond Future* | (52 | ) | (18 | ) | 160.00 | 11/18/17 | (10 | ) | ||||||||||||
December 2017, U.S. Bond Future* | (52 | ) | (15 | ) | 161.00 | 11/18/17 | (8 | ) | ||||||||||||
November 2017, U.S. 10-Year Future* | (42 | ) | (11 | ) | 128.00 | 10/21/17 | (2 | ) | ||||||||||||
November 2017, U.S. 10-Year Future* | (86 | ) | (12 | ) | 126.75 | 10/21/17 | (11 | ) | ||||||||||||
November 2017, U.S. 10-Year Future* | (21 | ) | (5 | ) | 129.00 | 10/21/17 | (1 | ) | ||||||||||||
November 2017, U.S. 10-Year Future* | (62 | ) | (13 | ) | 129.50 | 10/21/17 | (2 | ) | ||||||||||||
November 2017, U.S. Bond Future* | (10 | ) | (6 | ) | 154.50 | 10/21/17 | (6 | ) | ||||||||||||
November 2017, U.S. Bond Future* | (105 | ) | (29 | ) | 160.00 | 10/21/17 | (7 | ) | ||||||||||||
November 2017, U.S. Bond Future* | (10 | ) | (6 | ) | 158.00 | 10/21/17 | (1 | ) | ||||||||||||
November 2017, U.S. Bond Future* | (21 | ) | (15 | ) | 159.00 | 10/21/17 | (2 | ) | ||||||||||||
October 2017, U.S. Long Treasury Bond* | (42 | ) | (11 | ) | 157.00 | 10/21/17 | (3 | ) | ||||||||||||
October 2017, U.S. Long Treasury Bond* | (22 | ) | (7 | ) | 157.50 | 10/21/17 | (1 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||||
(220 | ) | (79 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Written Options | $ | (285 | ) | $ | (175 | ) | ||||||||||||||
|
|
|
|
|
|
144 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||
90-Day Euro$ | (811 | ) | Dec-2017 | $(199,835 | ) | $(199,749 | ) | $85 | ||||||||||||
90-Day Euro$ | 58 | Dec-2018 | 14,261 | 14,230 | (31 | ) | ||||||||||||||
90-Day Euro$ | (209 | ) | Dec-2019 | (50,984 | ) | (51,176 | ) | (192 | ) | |||||||||||
90-Day Euro$ | (42 | ) | Jun-2018 | (10,337 | ) | (10,322 | ) | 15 | ||||||||||||
90-Day Euro$ | (42 | ) | Sep-2018 | (10,330 | ) | (10,313 | ) | 17 | ||||||||||||
Euro | (18 | ) | Dec-2017 | (2,695 | ) | (2,670 | ) | 25 | ||||||||||||
Euro-Bobl | (46 | ) | Dec-2017 | (7,224 | ) | (7,134 | ) | 25 | ||||||||||||
Euro-BTP | 126 | Dec-2017 | 20,280 | 20,103 | (79 | ) | ||||||||||||||
Euro-Bund | (282 | ) | Dec-2017 | (54,353 | ) | (53,678 | ) | 392 | ||||||||||||
U.S. 10-Year Treasury Note | 934 | Dec-2017 | 118,015 | 117,042 | (973 | ) | ||||||||||||||
U.S. 5-Year Treasury Note | 1,344 | Dec-2017 | 158,843 | 157,920 | (923 | ) | ||||||||||||||
U.S. 2-Year Treasury Note | 269 | Jan-2018 | 58,162 | 58,024 | (138 | ) | ||||||||||||||
U.S. Long Treasury Bond | (405 | ) | Dec-2017 | (63,008 | ) | (61,889 | ) | 1,119 | ||||||||||||
U.S. Ultra Long Treasury Bond | (62 | ) | Dec-2017 | (10,404 | ) | (10,238 | ) | 166 | ||||||||||||
Ultra 10-Year U.S. Treasury Note | (126 | ) | Dec-2017 | (17,129 | ) | (16,925 | ) | 204 | ||||||||||||
|
|
| ||||||||||||||||||
$(56,738 | ) | $(56,775 | ) | $(288 | ) | |||||||||||||||
|
|
|
A list of the open forward foreign currency contracts held by the Fund at September 30, 2017, is as follows:
Counterparty | Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) (Thousands) | ||||||||||||||||||||
Bank of America | 11/20/17 | JPY | 1,135,000 | USD | 10,468 | $ | 359 | |||||||||||||||||
Citigroup | 10/18/17 | USD | 4,630 | INR | 301,350 | (30 | ) | |||||||||||||||||
Citigroup | 10/19/17 | USD | 104 | GBP | 80 | 4 | ||||||||||||||||||
Citigroup | 10/19/17 | GBP | 1,190 | USD | 1,615 | 18 | ||||||||||||||||||
Citigroup | 10/19/17 | USD | 1,733 | EUR | 1,503 | 46 | ||||||||||||||||||
Citigroup | 10/19/17 | USD | 477 | EUR | 400 | (3 | ) | |||||||||||||||||
Citigroup | 10/19/17 | EUR | 1,600 | USD | 1,913 | 19 | ||||||||||||||||||
Citigroup | 10/19/17 | EUR | 620 | USD | 729 | (5 | ) | |||||||||||||||||
Citigroup | 10/19/17 | USD | 4,373 | IDR | 59,300,390 | 26 | ||||||||||||||||||
Citigroup | 10/19/17 | USD | 5,649 | BRL | 18,940 | 325 | ||||||||||||||||||
Citigroup | 10/19/17 | CNH | 29,200 | USD | 4,254 | (134 | ) | |||||||||||||||||
Citigroup | 10/19/17 | CNY | 72,168 | USD | 10,539 | (311 | ) | |||||||||||||||||
Citigroup | 10/19/17 | TWD | 180,300 | USD | 5,896 | (51 | ) | |||||||||||||||||
Citigroup | 10/19/17 | JPY | 1,260,085 | USD | 11,248 | 41 | ||||||||||||||||||
Citigroup | 10/30/17 | IDR | 533,430 | USD | 40 | — | ||||||||||||||||||
Deutsche Bank | 10/19/17 | EUR | 295 | USD | 351 | 2 | ||||||||||||||||||
Deutsche Bank | 10/19/17 | USD | 6,002 | TWD | 180,300 | (55 | ) | |||||||||||||||||
Deutsche Bank | 11/15/17 | PHP | 300,620 | USD | 5,818 | (77 | ) | |||||||||||||||||
Goldman Sachs | 01/10/18 | JPY | 465,000 | USD | 4,146 | (8 | ) | |||||||||||||||||
Morgan Stanley | 10/19/17 | EUR | 10 | USD | 12 | — | ||||||||||||||||||
|
|
| ||||||||||||||||||||||
$ | 166 | |||||||||||||||||||||||
|
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 145 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Core Fixed Income Fund (Concluded)
A list of the open centrally cleared swap agreements held by the Fund at September 30, 2017 is as follows:
Interest Rate Swaps | ||||||||||||||||||||
Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount (Thousands) | Value ($ Thousands) | Upfront Payments/ Receipts ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||
1.58% | MONTH USD -LIBOR | Quarterly | 06/13/2026 | USD | $9,520 | $509 | $– | $ | 509 | |||||||||||
2.47% | MONTH USD -LIBOR | Quarterly | 11/15/2043 | USD | 14,066 | 243 | 242 | – | ||||||||||||
1.50% | 6-MONTH EUR - EURIBOR | Monthly | 08/23/2047 | EUR | 2,845 | 87 | 3 | 85 | ||||||||||||
1.27% | 3-MONTH USD -LIBOR | Quarterly | 05/15/2023 | USD | 22,656 | 961 | 7 | 952 | ||||||||||||
3-MONTH USD -LIBOR | 1.19% | Quarterly | 06/13/2021 | USD | 9,530 | (248) | – | (248) | ||||||||||||
1.90% | 3-MONTH USD -LIBOR | Quarterly | 08/31/2022 | USD | 22,800 | 118 | – | 117 | ||||||||||||
1.90% | 3-MONTH USD -LIBOR | Quarterly | 11/30/2022 | USD | 34,472 | 218 | – | 216 | ||||||||||||
|
|
|
| |||||||||||||||||
$1,888 | $252 | $ | 1,631 | |||||||||||||||||
|
|
|
|
Credit Default Swaps | ||||||||||||||||||||||||||||||||
Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Payment Frequency | Termination Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Upfront Payments/ Receipts ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||||||||||||||
CDX.NA.HY.29 | Buy | 5.00% | Quarterly | 12/20/2022 | 12,010 | $ | (937 | ) | $ | (907 | ) | $ | (30 | ) | ||||||||||||||||||
CDX.NA.IG.27 | Sell | 1.00% | Quarterly | 12/20/2021 | (9,100 | ) | 203 | 148 | 55 | |||||||||||||||||||||||
CDXNA IG28 | Sell | 1.00% | Quarterly | 06/20/2022 | (12,960 | ) | 273 | 259 | 14 | |||||||||||||||||||||||
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|
|
|
|
|
|
|
| ||||||||||||||||||||||||
$ | (461 | ) | $ | (500 | ) | $ | 39 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
Percentages are based on Net Assets of $2,086,666 ($ Thousands). |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
(B) | Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase. |
(C) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2017, the value of these securities amounted to $235,067 ($ Thousands), representing 11.3% of the Net Assets of the Fund. |
(D) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017 was $134,251 ($ Thousands). |
(E) | Rate is negative due to the decrease in value of the foreign currency against the U.S. Dollar. |
(F) | Unsettled bank loan. Interest rate not available. |
(G) | Variable or floating rate security, the interest rate of which adjusts periodically based on prevailing interest rates. |
(H) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2017 was $137,563 ($ Thousands). |
(I) | Tri-Party Repurchase Agreement. |
(J) | Refer to table below for details on Options Contracts. |
(K) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ACES — Alternative Credit Enhancement Structure
ARM — Adjustable Rate Mortgage
ARS — Argentine Peso
BRL — Brazilian Real
Cl — Class
CLO — Collateralized Loan Obligation
CMO — Collateralized Mortgage Obligation
CNH — Chinese Offshore Yuan
CNY — Chinese Yuan
EUR — Euro
EURIBOR — Euro Interbank Offered Rate
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
IDR — Indonesian Rupiah
INR — Indian Rupee
ICE — Intercontinental Exchange
IO — Interest Only — face amount represents notional amount.
JPY — Japanese Yen
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
L.P. — Limited Partnership
146 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Ltd. — Limited
MTN — Medium Term Note
NCUA — National Credit Union Association
PHP — Philippine Peso
PLC — Public Limited Company
PO — Principal Only
RB — Revenue Bond
Re-REMIC — Resecuritization of Real Estate Mortgage Investment Conduit
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Securities
TBA — To Be Announced
TWD — Taiwanese Dollar
ULC — Unlimited Liability Company
USD — United States Dollar
The following is a list of the level of inputs used as of September 30, 2017, 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 | $ | – | $ | 697,142 | $ | – | $ | 697,142 | ||||||||
Corporate Obligations | – | 604,025 | – | 604,025 | ||||||||||||
U.S. Treasury Obligations | – | 596,156 | – | 596,156 | ||||||||||||
Asset-Backed Securities | – | 175,476 | – | 175,476 | ||||||||||||
Sovereign Debt | – | 47,828 | – | 47,828 | ||||||||||||
Loan Participations | – | 21,334 | – | 21,334 | ||||||||||||
Municipal Bonds | – | 10,512 | – | 10,512 | ||||||||||||
U.S. Government Agency Obligations | – | 8,431 | – | 8,431 | ||||||||||||
Preferred Stock | 527 | – | – | 527 | ||||||||||||
Affiliated Partnership | – | 137,563 | – | 137,563 | ||||||||||||
Cash Equivalent | 127,390 | – | – | 127,390 | ||||||||||||
Repurchase Agreement | – | 53,600 | – | 53,600 | ||||||||||||
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|
|
| |||||
Total Investments in Securities | $ | 127,917 | $ | 2,352,067 | $ | – | $ | 2,479,984 | ||||||||
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|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Options | $ | 203 | $ | — | $ | — | $ | 203 | ||||||||
Written Options | (175 | ) | — | — | (175 | ) | ||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | 2,048 | — | — | 2,048 | ||||||||||||
Unrealized Depreciation | (2,336 | ) | — | — | (2,336 | ) | ||||||||||
Forwards Contracts * | ||||||||||||||||
Unrealized Appreciation | — | 840 | — | 840 | ||||||||||||
Unrealized Depreciation | — | (674 | ) | — | (674 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Interest Rate Swaps * | ||||||||||||||||
Unrealized Appreciation | — | 1,879 | — | 1,879 | ||||||||||||
Unrealized Depreciation | — | (248 | ) | — | (248 | ) | ||||||||||
Credit Default Swaps * | ||||||||||||||||
Unrealized Appreciation | — | 69 | — | 69 | ||||||||||||
Unrealized Depreciation | — | (30 | ) | — | (30 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Other Financial Instruments | $ | (260 | ) | $ | 1,836 | $ | — | $ | 1,576 | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
* Futures contracts, forward contracts and swaps contracts are valued at the unrealized appreciation (depreciation) on the instrument.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 $0.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Liquidity Fund, L.P. | $14,020 | $1,172,361 | $(1,048,813 | ) | $(1) | $(4) | $137,563 | $400 | ||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 56,416 | 1,693,087 | (1,622,113 | ) | — | — | 127,390 | 320 | ||||||||||||||||||||
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| |||||||||||||
Totals | $70,436 | $2,865,448 | $(2,670,926 | ) | $(1) | $(4) | $264,953 | $720 | ||||||||||||||||||||
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The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 147 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Fixed Income Fund
†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
U.S. TREASURY OBLIGATIONS — 33.1% |
| |||||||||||
U.S. Treasury Bills | ||||||||||||
1.082%, 03/01/2018 (A)(B) | $ | 220 | $ | 219 | ||||||||
U.S. Treasury Bonds | ||||||||||||
6.250%, 05/15/2030 | 3,965 | 5,631 | ||||||||||
5.250%, 11/15/2028 | 5,125 | 6,576 | ||||||||||
5.250%, 02/15/2029 | 870 | 1,120 | ||||||||||
3.816%, 02/15/2045 (A) | 3,105 | 1,395 | ||||||||||
3.750%, 11/15/2043 | 16,300 | 19,107 | ||||||||||
3.000%, 05/15/2045 (B) | 13,430 | 13,829 | ||||||||||
3.000%, 11/15/2045 | 810 | 833 | ||||||||||
3.000%, 02/15/2047 | 12,232 | 12,582 | ||||||||||
3.000%, 05/15/2047 | 9,457 | 9,731 | ||||||||||
2.875%, 08/15/2045 | 8,745 | 8,783 | ||||||||||
2.875%, 11/15/2046 | 7,100 | 7,125 | ||||||||||
2.772%, 08/15/2045 (A) | 2,810 | 1,242 | ||||||||||
2.750%, 08/15/2047 | 27,547 | 26,949 | ||||||||||
2.500%, 02/15/2045 | 14,820 | 13,822 | ||||||||||
2.500%, 02/15/2046 | 23,570 | 21,919 | ||||||||||
2.500%, 05/15/2046 | 8,993 | 8,356 | ||||||||||
2.250%, 08/15/2046 | 5,985 | 5,262 | ||||||||||
2.000%, 02/15/2025 | 6,900 | 6,806 | ||||||||||
U.S. Treasury Inflation Protected Securities |
| |||||||||||
1.375%, 07/15/2018 | 2,378 | 2,417 | ||||||||||
1.375%, 02/15/2044 | 63 | 69 | ||||||||||
0.875%, 02/15/2047 | 4,974 | 4,902 | ||||||||||
0.750%, 02/15/2042 | 238 | 230 | ||||||||||
0.625%, 01/15/2024 | 157 | 161 | ||||||||||
0.625%, 02/15/2043 | 2,949 | 2,756 | ||||||||||
0.375%, 07/15/2027 | 7,215 | 7,146 | ||||||||||
0.125%, 04/15/2018 | 2,891 | 2,892 | ||||||||||
0.125%, 04/15/2021 | 2,381 | 2,388 | ||||||||||
0.125%, 04/15/2022 | 1,213 | 1,213 | ||||||||||
0.125%, 07/15/2026 | 4,514 | 4,389 | ||||||||||
U.S. Treasury Notes | ||||||||||||
2.375%, 05/15/2027 | 4,504 | 4,523 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS (continued) |
| |||||||
2.250%, 02/15/2027 | $ | 754 | $ | 749 | ||||
2.250%, 08/15/2027 (C) | 33,599 | 33,371 | ||||||
2.125%, 12/31/2022 | 16,600 | 16,721 | ||||||
2.000%, 08/31/2021 | 285 | 287 | ||||||
2.000%, 10/31/2021 | 2,942 | 2,963 | ||||||
2.000%, 12/31/2021 | 9,794 | 9,855 | ||||||
2.000%, 11/15/2026 | 5,430 | 5,291 | ||||||
1.875%, 01/31/2022 | 10,731 | 10,736 | ||||||
1.875%, 03/31/2022 | 11,495 | 11,491 | ||||||
1.875%, 04/30/2022 | 2,228 | 2,226 | ||||||
1.875%, 05/31/2022 | 4,445 | 4,442 | ||||||
1.875%, 07/31/2022 | 14,540 | 14,508 | ||||||
1.875%, 09/30/2022 | 48,504 | 48,387 | ||||||
1.875%, 08/31/2024 | 764 | 750 | ||||||
1.750%, 12/31/2020 | 1,199 | 1,201 | ||||||
1.750%, 01/31/2023 | 4,180 | 4,129 | ||||||
1.625%, 07/31/2020 | 1,788 | 1,789 | ||||||
1.625%, 08/31/2022 (C) | 43,563 | 42,964 | ||||||
1.500%, 08/31/2018 | 15,700 | 15,719 | ||||||
1.500%, 05/31/2020 | 2,878 | 2,872 | ||||||
1.500%, 08/15/2020 | 4,867 | 4,853 | ||||||
1.500%, 08/15/2026 | 15,064 | 14,105 | ||||||
1.375%, 07/31/2018 | 8,295 | 8,298 | ||||||
1.375%, 11/30/2018 | 2,860 | 2,859 | ||||||
1.375%, 07/31/2019 (C) | 14,615 | 14,592 | ||||||
1.375%, 09/30/2019 | 26,039 | 25,985 | ||||||
1.375%, 08/31/2020 | 1,419 | 1,409 | ||||||
1.375%, 09/15/2020 (C) | 14,802 | 14,700 | ||||||
1.375%, 01/31/2021 | 17,230 | 17,048 | ||||||
1.250%, 04/30/2019 | 13,685 | 13,645 | ||||||
1.250%, 05/31/2019 | 1,915 | 1,909 | ||||||
1.250%, 06/30/2019 | 1,064 | 1,060 | ||||||
1.250%, 08/31/2019 (C) | 8,403 | 8,367 | ||||||
1.125%, 01/15/2019 | 5,730 | 5,709 | ||||||
1.125%, 02/28/2021 | 7,137 | 6,998 | ||||||
1.125%, 07/31/2021 | 3,894 | 3,799 | ||||||
1.000%, 12/31/2017 | 3,690 | 3,689 | ||||||
1.000%, 08/15/2018 | 11,730 | 11,694 | ||||||
|
|
| ||||||
Total U.S. Treasury Obligations |
| 595,543 | ||||||
|
|
| ||||||
MORTGAGE-BACKED SECURITIES — 32.3% |
| |||||||
Agency Mortgage-Backed Obligations — 28.4% |
| |||||||
FHLMC | ||||||||
10.000%, 03/17/2026 | 47 | 47 | ||||||
7.500%, 01/01/2032 to 02/01/2038 | 323 | 369 | ||||||
6.500%, 10/01/2031 to 09/01/2038 | 293 | 327 | ||||||
6.000%, 02/01/2018 to 09/01/2038 | 384 | 423 | ||||||
5.500%, 06/01/2020 to 08/01/2037 | 397 | 414 | ||||||
5.000%, 03/01/2034 to 06/01/2044 | 1,567 | 1,729 | ||||||
4.500%, 08/01/2020 to 06/01/2047 | 5,516 | 5,953 |
148 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
4.000%, 10/01/2029 to 07/01/2047 | $ | 15,459 | $ | 16,379 | ||||
3.500%, 09/01/2026 to 04/01/2047 | 31,067 | 32,345 | ||||||
3.000%, 03/01/2031 to 03/01/2047 | 16,066 | 16,149 | ||||||
FHLMC ARM | ||||||||
3.091%, VAR ICE LIBOR USD 12 Month+1.622%, 02/01/2045 | 270 | 276 | ||||||
2.624%, VAR ICE LIBOR USD 12 Month+1.633%, 07/01/2046 | 859 | 872 | ||||||
FHLMC CMO, Ser 2002-2399, Cl XG | ||||||||
6.500%, 01/15/2032 | 103 | 115 | ||||||
FHLMC CMO, Ser 2005-2945, Cl SA | ||||||||
10.072%, VAR LIBOR USD 1 Month+12.294%, 03/15/2020 | 3 | 3 | ||||||
FHLMC CMO, Ser 2005-2950, Cl JO, PO | ||||||||
0.000%, 03/15/2020 (A) | 2 | 2 | ||||||
FHLMC CMO, Ser 2007-3281, Cl AI, IO | ||||||||
5.196%, VAR LIBOR USD 1 Month+6.430%, 02/15/2037 | 100 | 18 | ||||||
FHLMC CMO, Ser 2007-3316, Cl JO, PO | ||||||||
0.000%, 05/15/2037 (A) | 4 | 4 | ||||||
FHLMC CMO, Ser 2011-3804, Cl FN | ||||||||
1.684%, VAR LIBOR USD 1 Month+0.450%, 03/15/2039 | 57 | 57 | ||||||
FHLMC CMO, Ser 2011-3829, Cl ED | ||||||||
3.500%, 10/15/2028 | 108 | 109 | ||||||
FHLMC CMO, Ser 2011-3838, Cl QE | ||||||||
3.500%, 01/15/2029 | 203 | 204 | ||||||
FHLMC CMO, Ser 2011-3947, Cl SG, IO | ||||||||
4.716%, VAR LIBOR USD 1 Month+5.950%, 10/15/2041 | 469 | 79 | ||||||
FHLMC CMO, Ser 2012-283, Cl IO, IO | ||||||||
3.500%, 10/15/2027 | 786 | 78 | ||||||
FHLMC CMO, Ser 2012-4146, Cl DI, IO | ||||||||
3.000%, 12/15/2031 | 1,003 | 101 | ||||||
FHLMC CMO, Ser 2013-4194, Cl BI, IO | ||||||||
3.500%, 04/15/2043 | 435 | 68 | ||||||
FHLMC CMO, Ser 2013-4203, Cl PS, IO | ||||||||
5.016%, VAR LIBOR USD 1 Month+6.250%, 09/15/2042 | 377 | 59 | ||||||
FHLMC CMO, Ser 2013-4210, Cl Z | ||||||||
3.000%, 05/15/2043 | 223 | 209 | ||||||
FHLMC CMO, Ser 2013-4239, Cl IO, IO | ||||||||
3.500%, 06/15/2027 | 597 | 59 | ||||||
FHLMC CMO, Ser 2014-328, Cl S4, IO | ||||||||
1.928%, 02/15/2038 (D) | 46 | 3 | ||||||
FHLMC CMO, Ser 2014-4335, Cl SW, IO | ||||||||
4.766%, VAR LIBOR USD 1 Month+6.000%, 05/15/2044 | 145 | 28 | ||||||
FHLMC CMO, Ser 2014-4415, Cl IO, IO | ||||||||
1.816%, 04/15/2041 (D) | 162 | 8 | ||||||
FHLMC CMO, Ser 2015-4425, Cl A | ||||||||
4.000%, 09/15/2040 | 406 | 428 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FHLMC CMO, Ser 2015-4529, Cl HC | ||||||||
3.000%, 10/15/2039 | $ | 242 | $ | 246 | ||||
FHLMC CMO, Ser 2016-353, Cl S1, IO | ||||||||
4.766%, VAR LIBOR USD 1 Month+6.000%, 12/15/2046 | 281 | 61 | ||||||
FHLMC CMO, Ser 2016-4604, Cl AB | ||||||||
3.000%, 08/15/2046 | 612 | 625 | ||||||
FHLMC CMO, Ser 2016-4639, Cl HZ | ||||||||
1.750%, 04/15/2053 | 1,568 | 1,454 | ||||||
FHLMC CMO, Ser 2016-4640, Cl LD | ||||||||
4.000%, 09/15/2043 | 1,932 | 2,038 | ||||||
FHLMC CMO, Ser 2017-4700, Cl QJ | ||||||||
4.000%, 07/15/2044 | 1,550 | 1,637 | ||||||
FHLMC CMO, Ser 2017-4705, Cl A | ||||||||
4.500%, 09/15/2042 | 1,027 | 1,100 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K151, Cl A3 | ||||||||
3.511%, 04/25/2030 | 485 | 506 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K723, Cl X1, IO | ||||||||
1.079%, 08/25/2023 (D) | 7,680 | 357 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KF34, Cl A | ||||||||
1.592%, VAR LIBOR USD 1 Month+0.360%, 08/25/2024 | 940 | 941 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KIR1, Cl X, IO | ||||||||
1.229%, 03/25/2026 (D) | 6,241 | 448 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KJ03, Cl A2 | ||||||||
2.328%, 06/25/2021 | 170 | 172 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KS03, Cl A4 | ||||||||
3.161%, 05/25/2025 (D) | 1,650 | 1,702 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser S8FX, Cl A2 | ||||||||
3.291%, 03/25/2027 | 320 | 329 | ||||||
FHLMC Structured Pass-Through Certificates, Ser 2007-76, Cl 2A | ||||||||
2.029%, 10/25/2037 (D) | 167 | 171 | ||||||
FHLMC TBA | ||||||||
4.000%, 10/14/2040 to 11/01/2040 | 9,030 | 9,503 | ||||||
3.500%, 10/15/2041 | 14,595 | 15,053 | ||||||
3.000%, 10/15/2042 | 5,300 | 5,319 | ||||||
FNMA | ||||||||
7.500%, 10/01/2037 to 04/01/2039 | 235 | 285 | ||||||
7.000%, 04/01/2032 to 01/01/2039 | 132 | 151 | ||||||
6.500%, 05/01/2027 to 10/01/2038 | 266 | 299 | ||||||
6.000%, 10/01/2019 to 10/01/2040 | 1,071 | 1,206 | ||||||
5.500%, 02/01/2021 to 02/01/2035 | 121 | 134 | ||||||
5.000%, 01/01/2020 to 08/01/2056 | 5,077 | 5,592 | ||||||
4.540%, 01/01/2020 | 444 | 467 | ||||||
4.500%, 01/01/2020 to 04/01/2056 | 43,056 | 46,604 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 149 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
4.410%, 05/01/2021 | $ | 355 | $ | 380 | ||||
4.360%, 05/01/2021 | 953 | 1,019 | ||||||
4.350%, 04/01/2021 | 745 | 795 | ||||||
4.300%, 04/01/2021 | 234 | 250 | ||||||
4.250%, 04/01/2021 | 250 | 266 | ||||||
4.240%, 06/01/2021 | 941 | 1,003 | ||||||
4.230%, 03/01/2020 | 361 | 377 | ||||||
4.200%, 04/01/2021 | 666 | 707 | ||||||
4.060%, 07/01/2021 | 983 | 1,046 | ||||||
4.000%, 04/01/2024 to 08/01/2056 | 61,600 | 65,355 | ||||||
3.590%, 12/01/2020 | 441 | 460 | ||||||
3.500%, 08/01/2028 to 03/01/2057 | 22,794 | 23,750 | ||||||
3.430%, 10/01/2020 | 891 | 926 | ||||||
3.410%, 10/01/2030 | 826 | 856 | ||||||
3.390%, 01/01/2031 | 700 | 724 | ||||||
3.340%, 07/01/2030 | 600 | 617 | ||||||
3.290%, 10/01/2020 to 09/01/2032 | 1,003 | 1,033 | ||||||
3.260%, 10/01/2030 | 726 | 742 | ||||||
3.240%, 06/01/2029 | 955 | 983 | ||||||
3.230%, 11/01/2020 | 320 | 331 | ||||||
3.168%, VAR ICE LIBOR USD 12 Month+1.500%, 10/01/2047 | 642 | 661 | ||||||
3.120%, 06/01/2035 | 850 | 824 | ||||||
3.110%, 02/01/2028 | 465 | 474 | ||||||
3.080%, 04/01/2030 | 500 | 507 | ||||||
3.040%, 04/01/2030 | 500 | 505 | ||||||
3.000%, 02/01/2027 to 02/01/2047 | 7,275 | 7,404 | ||||||
2.600%, 10/01/2031 | 735 | 708 | ||||||
2.500%, 10/01/2042 | 254 | 247 | ||||||
FNMA ARM | ||||||||
4.377%, VAR ICE LIBOR USD 12 Month+1.776%, 04/01/2040 | 126 | 133 | ||||||
3.234%, VAR ICE LIBOR USD 12 Month+1.620%, 06/01/2047 | 837 | 862 | ||||||
3.164%, VAR ICE LIBOR USD 12 Month+1.562%, 10/01/2043 | 158 | 162 | ||||||
3.137%, VAR ICE LIBOR USD 12 Month+1.620%, 03/01/2047 | 851 | 877 | ||||||
2.977%, VAR ICE LIBOR USD 12 Month+1.602%, 05/01/2047 | 209 | 214 | ||||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||||
5.500%, 03/25/2029 | 50 | 55 | ||||||
FNMA CMO, Ser 2005-117, Cl LC | ||||||||
5.500%, 11/25/2035 | 229 | 243 | ||||||
FNMA CMO, Ser 2005-29, Cl ZA | ||||||||
5.500%, 04/25/2035 | 240 | 270 | ||||||
FNMA CMO, Ser 2005-360, Cl 2, IO | ||||||||
5.000%, 08/25/2035 | 163 | 32 | ||||||
FNMA CMO, Ser 2007-108, Cl AN | ||||||||
8.068%, 11/25/2037 (D) | 57 | 67 | ||||||
FNMA CMO, Ser 2009-103, Cl MB | ||||||||
3.498%, 12/25/2039 (D) | 128 | 137 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA CMO, Ser 2009-86, Cl BO, PO | ||||||||
6.302%, 03/25/2037 (A) | $ | 559 | $ | 514 | ||||
FNMA CMO, Ser 2011-43, Cl AN | ||||||||
3.500%, 12/25/2028 | 202 | 202 | ||||||
FNMA CMO, Ser 2011-87, Cl SG, IO | ||||||||
5.313%, VAR LIBOR USD 1 Month+6.550%, 04/25/2040 | 380 | 47 | ||||||
FNMA CMO, Ser 2012-101, Cl AI, IO | ||||||||
3.000%, 06/25/2027 | 581 | 49 | ||||||
FNMA CMO, Ser 2012-118, Cl CI, IO | ||||||||
3.500%, 12/25/2039 | 618 | 70 | ||||||
FNMA CMO, Ser 2012-35, Cl SC, IO | ||||||||
5.263%, VAR LIBOR USD 1 Month+6.500%, 04/25/2042 | 128 | 26 | ||||||
FNMA CMO, Ser 2013-124, Cl SB, IO | ||||||||
4.713%, VAR LIBOR USD 1 Month+5.950%, 12/25/2043 | 223 | 45 | ||||||
FNMA CMO, Ser 2013-126, Cl CS, IO | ||||||||
4.913%, VAR LIBOR USD 1 Month+6.150%, 09/25/2041 | 618 | 88 | ||||||
FNMA CMO, Ser 2013-30, Cl CA | ||||||||
1.500%, 04/25/2043 | 312 | 288 | ||||||
FNMA CMO, Ser 2013-54, Cl BS, IO | ||||||||
4.913%, VAR LIBOR USD 1 Month+6.150%, 06/25/2043 | 136 | 28 | ||||||
FNMA CMO, Ser 2013-73, Cl IA, IO | ||||||||
3.000%, 09/25/2032 | 712 | 75 | ||||||
FNMA CMO, Ser 2013-73, Cl IB, IO | ||||||||
3.500%, 07/25/2028 | 169 | 18 | ||||||
FNMA CMO, Ser 2014-40, Cl EP | ||||||||
3.500%, 10/25/2042 | 451 | 470 | ||||||
FNMA CMO, Ser 2014-47, Cl AI, IO | ||||||||
1.834%, 08/25/2044 (D) | 399 | 24 | ||||||
FNMA CMO, Ser 2015-56, Cl AS, IO | ||||||||
4.913%, VAR LIBOR USD 1 Month+6.150%, 08/25/2045 | 80 | 18 | ||||||
FNMA CMO, Ser 2016-59, Cl CA | ||||||||
3.500%, 09/25/2043 | 1,500 | 1,568 | ||||||
FNMA CMO, Ser 2017-13, Cl PA | ||||||||
3.000%, 08/25/2046 | 834 | 846 | ||||||
FNMA CMO, Ser 2017-33, Cl LB | ||||||||
3.000%, 05/25/2039 | 987 | 1,007 | ||||||
FNMA CMO, Ser 2017-76, Cl SB, IO | ||||||||
4.866%, VAR LIBOR USD 1 Month+6.100%, 10/25/2057 | 1,000 | 187 | ||||||
FNMA CMO, Ser 2017-GS, Cl SA, IO | ||||||||
0.000%, 03/31/2036 | 300 | 52 | ||||||
FNMA TBA | ||||||||
5.000%, 10/01/2038 | 1,500 | 1,636 | ||||||
4.500%, 11/15/2034 | 9,965 | 10,684 | ||||||
4.000%, 11/12/2039 to 10/01/2040 | 28,035 | 29,495 | ||||||
3.500%, 11/01/2040 to 10/15/2042 | 32,870 | 33,856 | ||||||
3.000%, 11/25/2026 to 10/15/2042 | 17,935 | 18,228 |
150 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
2.500%, 11/25/2027 | $ | 6,700 | $ | 6,738 | ||||
FNMA, Ser 2014-M12, Cl FA | ||||||||
1.579%, VAR LIBOR USD 1 Month+0.300%, 10/25/2021 | 155 | 155 | ||||||
FNMA, Ser 2014-M8, Cl X2, IO | ||||||||
0.520%, 06/25/2024 (D) | 8,586 | 194 | ||||||
FNMA, Ser 2015-M10, Cl A2 | ||||||||
3.092%, 04/25/2027 (D) | 544 | 551 | ||||||
FNMA, Ser 2015-M3, Cl FA | ||||||||
1.457%, VAR LIBOR USD 1 Month+0.220%, 06/25/2018 | 147 | 147 | ||||||
FNMA, Ser 2017-M4, Cl A2 | ||||||||
2.684%, 12/25/2026 (D) | 504 | 494 | ||||||
FNMA, Ser 2017-M7, Cl A2 | ||||||||
2.961%, 02/25/2027 (D) | 453 | 463 | ||||||
GNMA | ||||||||
7.500%, 10/15/2037 | 42 | 50 | ||||||
7.000%, 09/15/2031 | 39 | 46 | ||||||
6.500%, 12/15/2035 | 361 | 419 | ||||||
6.000%, 09/20/2038 | 77 | 86 | ||||||
5.000%, 12/20/2039 to 11/20/2045 | 91 | 102 | ||||||
4.500%, 05/20/2045 to 09/15/2047 | 1,378 | 1,510 | ||||||
4.000%, 07/15/2045 to 08/20/2047 | 8,232 | 8,727 | ||||||
3.500%, 04/20/2046 to 06/20/2047 | 10,201 | 10,618 | ||||||
3.000%, 04/15/2045 to 09/20/2047 | 4,274 | 4,338 | ||||||
2.375%, VAR US Treas Yield Curve Rate | ||||||||
T Note Const Mat 1 Yr+1.500%, 02/20/2034 | 295 | 307 | ||||||
GNMA CMO, Ser 2007-78, Cl SA, IO | ||||||||
5.296%, VAR LIBOR USD 1 Month+6.530%, 12/16/2037 | 781 | 117 | ||||||
GNMA CMO, Ser 2009-66, Cl XS, IO | ||||||||
5.566%, VAR LIBOR USD 1 Month+6.800%, 07/16/2039 | 904 | 134 | ||||||
GNMA CMO, Ser 2010-4, Cl NS, IO | ||||||||
5.156%, VAR LIBOR USD 1 Month+6.390%, 01/16/2040 | 1,536 | 272 | ||||||
GNMA CMO, Ser 2010-H11, Cl FA | ||||||||
2.236%, VAR ICE LIBOR USD 1 Month+1.000%, 06/20/2060 | 522 | 530 | ||||||
GNMA CMO, Ser 2011-H08, Cl FD | ||||||||
1.731%, VAR ICE LIBOR USD 1 Month+0.500%, 02/20/2061 | 355 | 354 | ||||||
GNMA CMO, Ser 2012-34, Cl SA, IO | ||||||||
4.814%, VAR LIBOR USD 1 Month+6.050%, 03/20/2042 | 149 | 25 | ||||||
GNMA CMO, Ser 2012-43, Cl SN, IO | ||||||||
5.366%, VAR LIBOR USD 1 Month+6.600%, 04/16/2042 | 86 | 19 | ||||||
GNMA CMO, Ser 2012-H25, Cl FA | ||||||||
1.931%, VAR ICE LIBOR USD 1 Month+0.700%, 12/20/2061 | 632 | 634 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
GNMA CMO, Ser 2013-69, Cl AI, IO | ||||||||
3.500%, 05/20/2043 | $ | 619 | $ | 102 | ||||
GNMA CMO, Ser 2014-117, Cl SJ, IO | ||||||||
4.364%, VAR LIBOR USD 1 Month+5.600%, 08/20/2044 | 220 | 32 | ||||||
GNMA CMO, Ser 2014-5, Cl SP, IO | ||||||||
4.916%, VAR LIBOR USD 1 Month+6.150%, 06/16/2043 | 521 | 65 | ||||||
GNMA CMO, Ser 2014-H10, Cl TA | ||||||||
1.831%, VAR ICE LIBOR USD 1 Month+0.600%, 04/20/2064 | 711 | 713 | ||||||
GNMA CMO, Ser 2015-167, Cl OI, IO | ||||||||
4.000%, 04/16/2045 | 75 | 15 | ||||||
GNMA CMO, Ser 2015-H10, Cl FC | ||||||||
1.711%, VAR ICE LIBOR USD 1 Month+0.480%, 04/20/2065 | 426 | 424 | ||||||
GNMA CMO, Ser 2015-H18, Cl FA | ||||||||
1.681%, VAR ICE LIBOR USD 1 Month+0.450%, 06/20/2065 | 314 | 313 | ||||||
GNMA CMO, Ser 2015-H20, Cl FA | ||||||||
1.701%, VAR ICE LIBOR USD 1 Month+0.470%, 08/20/2065 | 309 | 308 | ||||||
GNMA TBA | ||||||||
4.500%, 11/15/2039 to 12/15/2039 | 15,040 | 15,998 | ||||||
4.000%, 10/01/2039 | 9,250 | 9,750 | ||||||
3.500%, 10/15/2041 to 11/15/2041 | 24,815 | 25,802 | ||||||
3.000%, 10/01/2042 | 30,545 | 30,970 | ||||||
GNMA, Ser 2012-112, Cl IO, IO | ||||||||
0.311%, 02/16/2053 (D) | 1,088 | 26 | ||||||
GNMA, Ser 2012-27, Cl IO, IO | ||||||||
1.012%, 04/16/2053 (D) | 1,488 | 54 | ||||||
GNMA, Ser 2013-145, Cl IO, IO | ||||||||
1.072%, 09/16/2044 (D) | 1,369 | 74 | ||||||
GNMA, Ser 2013-63, Cl IO, IO | ||||||||
0.777%, 09/16/2051 (D) | 22 | 1 | ||||||
GNMA, Ser 2013-96, Cl IO, IO | ||||||||
0.527%, 10/16/2054 (D) | 1,948 | 64 | ||||||
GNMA, Ser 2014-47, Cl IA, IO | ||||||||
0.385%, 02/16/2048 (D) | 298 | 12 | ||||||
GNMA, Ser 2014-50, Cl IO, IO | ||||||||
0.870%, 09/16/2055 (D) | 1,209 | 66 | ||||||
GNMA, Ser 2014-92, Cl IX, IO | ||||||||
0.694%, 05/16/2054 (D) | 6,860 | 248 | ||||||
GNMA, Ser 2015-5, Cl IK, IO | ||||||||
0.702%, 11/16/2054 (D) | 6,705 | 307 | ||||||
|
|
| ||||||
511,212 | ||||||||
|
|
| ||||||
Non-Agency Mortgage-Backed Obligations — 3.9% |
| |||||||
7 WTC Depositor Trust, Ser 2012-7WTC, Cl A | ||||||||
4.082%, 03/13/2031 (E) | 64 | 65 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 151 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
American Home Mortgage Investment Trust, Ser 2004-4, Cl 4A | ||||||||
3.453%, VAR ICE LIBOR USD 6 Month+2.000%, 02/25/2045 | $ | 444 | $ | 453 | ||||
AOA Mortgage Trust, Ser 2015-1177, Cl A | ||||||||
2.957%, 12/13/2029 (E) | 930 | 946 | ||||||
ASG Resecuritization Trust, Ser 2009-3, Cl A65 | ||||||||
2.838%, 03/26/2037 (D)(E) | 76 | 76 | ||||||
Banc of America Funding Trust, Ser 2004-C, Cl 1A1 | ||||||||
3.231%, 12/20/2034 (D) | 20 | 20 | ||||||
Banc of America Funding Trust, Ser 2006-G, Cl 2A4 | ||||||||
1.526%, VAR ICE LIBOR USD 1 Month+0.290%, 07/20/2036 | 1,357 | 1,358 | ||||||
BANK, Ser 2017-BNK7, Cl A5 | ||||||||
3.435%, 09/15/2060 | 330 | 338 | ||||||
BB-UBS Trust, Ser 2012-SHOW, Cl A | ||||||||
3.430%, 11/05/2036 (E) | 600 | 614 | ||||||
BB-UBS Trust, Ser 2012-TFT, Cl A | ||||||||
2.892%, 06/05/2030 (E) | 150 | 149 | ||||||
BCAP LLC Trust, Ser 2009-RR5, Cl 8A1 | ||||||||
5.500%, 11/26/2034 (D)(E) | 70 | 72 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A | ||||||||
3.692%, 05/25/2034 (D) | 14 | 15 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-5, Cl A1 | ||||||||
3.280%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.050%, 08/25/2035 | 52 | 53 | ||||||
Bear Stearns ALT-A Trust, Ser 2004-12, Cl 1A3 | ||||||||
1.937%, VAR ICE LIBOR USD 1 Month+0.700%, 01/25/2035 | 142 | 141 | ||||||
Bear Stearns ALT-A Trust, Ser 2004-6, Cl 1A | ||||||||
1.877%, VAR ICE LIBOR USD 1 Month+0.640%, 07/25/2034 | 90 | 89 | ||||||
Bear Stearns ARM Trust, Ser 2003-7, Cl 9A | ||||||||
3.413%, 10/25/2033 (D) | 507 | 508 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR8, Cl X1, IO | ||||||||
0.521%, 06/11/2041 (D)(E) | 23 | – | ||||||
CD Commercial Mortgage Trust, Ser 2016- CD1, Cl ASB | ||||||||
2.622%, 08/10/2049 | 537 | 531 | ||||||
CD Commercial Mortgage Trust, Ser 2016- CD1, Cl A1 | ||||||||
1.443%, 08/10/2049 | 132 | 130 | ||||||
CD Commercial Mortgage Trust, Ser 2016-CD2 | ||||||||
3.526%, 11/01/2049 | 290 | 300 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
CD Commercial Mortgage Trust, Ser 2017- CD4, Cl ASB | ||||||||
3.317%, 05/10/2050 | $ | 253 | $ | 260 | ||||
CD Commerical Mortgage Trust, Ser 2017- CD3, Cl A4 | ||||||||
3.631%, 02/10/2050 | 310 | 323 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2011- C1, Cl A4 | ||||||||
4.961%, 04/15/2044 (D)(E) | 359 | 381 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2016-C3, Cl A1 | ||||||||
1.793%, 01/10/2048 | 218 | 217 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2016-C4, Cl A4 | ||||||||
3.283%, 05/10/2058 | 332 | 335 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2016-C7, Cl A2 | ||||||||
3.585%, 12/10/2054 | 332 | 341 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2016-C7, Cl A3 | ||||||||
3.839%, 12/10/2054 | 241 | 252 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2017-C8, Cl A1 | ||||||||
1.965%, 06/15/2050 | 201 | 200 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2017-C8, Cl ASB | ||||||||
3.367%, 06/15/2050 | 264 | 271 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2017-C8, Cl A4 | ||||||||
3.572%, 06/15/2050 | 345 | 354 | ||||||
CGBAM Commercial Mortgage Trust, Ser 2016-IMC, Cl D | ||||||||
6.634%, VAR LIBOR USD 1 Month+5.400%, 11/15/2021 (E) | 930 | 929 | ||||||
Chase Mortgage Finance, Ser 2007-A1, Cl 9A1 | ||||||||
3.556%, 02/25/2037 (D) | 25 | 25 | ||||||
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1 | ||||||||
3.679%, 02/25/2037 (D) | 33 | 33 | ||||||
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1 | ||||||||
3.652%, 07/25/2037 (D) | 40 | 40 | ||||||
Chicago Skyscraper Trust, Ser 2017-SKY, Cl C | ||||||||
2.484%, VAR LIBOR USD 1 Month+1.250%, 02/15/2030 (E) | 320 | 320 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Cl AAB | ||||||||
2.690%, 04/10/2046 | 226 | 229 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Cl A4 | ||||||||
3.093%, 04/10/2046 | 200 | 204 |
152 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Cl A2 | ||||||||
1.987%, 04/10/2046 | $ | 391 | $ | 391 | ||||
Citigroup Commercial Mortgage Trust, Ser 2013-SMP, Cl A | ||||||||
2.110%, 01/12/2030 (E) | 428 | 428 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2014-GC25, Cl A4 | ||||||||
3.635%, 10/10/2047 | 587 | 612 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2014-GC25, Cl AS | ||||||||
4.017%, 10/10/2047 | 140 | 146 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2015-GC29, Cl A4 | ||||||||
3.192%, 04/10/2048 | 299 | 303 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2015-GC33, Cl A4 | ||||||||
3.778%, 09/10/2058 | 290 | 305 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2017-P8, Cl A4 | ||||||||
3.465%, 09/15/2050 | 330 | 339 | ||||||
Citigroup Global Markets Mortgage Securities VII, Ser 2003-HYB1, Cl A | ||||||||
3.714%, 09/25/2033 (D) | 37 | 38 | ||||||
Citigroup Global Markets Mortgage Securities VII, Ser 2003-UP1, Cl A | ||||||||
3.950%, 04/25/2032 (E) | 14 | 14 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2006-CD2, Cl X, IO | ||||||||
0.023%, 01/15/2046 (D)(E) | 511 | – | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2007-CD4, Cl XC, IO | ||||||||
0.742%, 12/11/2049 (D)(E) | 323 | – | ||||||
COMM Mortgage Trust, Ser 2010-C1, Cl A2 | ||||||||
3.830%, 07/10/2046 (E) | 32 | 32 | ||||||
COMM Mortgage Trust, Ser 2012-CR2, Cl XA, IO | ||||||||
1.838%, 08/15/2045 (D) | 638 | 42 | ||||||
COMM Mortgage Trust, Ser 2012-CR4, Cl AM | ||||||||
3.251%, 10/15/2045 | 590 | 598 | ||||||
COMM Mortgage Trust, Ser 2012-CR4, Cl A2 | ||||||||
1.801%, 10/15/2045 | 59 | 59 | ||||||
COMM Mortgage Trust, Ser 2012-LC4, Cl A4 | ||||||||
3.288%, 12/10/2044 | 79 | 81 | ||||||
COMM Mortgage Trust, Ser 2013-300P, Cl A1 | ||||||||
4.353%, 08/10/2030 (E) | 215 | 232 | ||||||
COMM Mortgage Trust, Ser 2013-CR10, Cl A2 | ||||||||
2.972%, 08/10/2046 | 117 | 118 | ||||||
COMM Mortgage Trust, Ser 2013-CR11, Cl A1 | ||||||||
1.468%, 08/10/2050 | 55 | 55 | ||||||
COMM Mortgage Trust, Ser 2013-CR12, Cl A3 | ||||||||
3.765%, 10/10/2046 | 89 | 94 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
COMM Mortgage Trust, Ser 2013-CR12, Cl A4 | ||||||||
4.046%, 10/10/2046 | $ | 86 | $ | 92 | ||||
COMM Mortgage Trust, Ser 2013-CR12, Cl A1 | ||||||||
1.295%, 10/10/2046 | 11 | 11 | ||||||
COMM Mortgage Trust, Ser 2013-CR12, Cl C | ||||||||
5.251%, 10/10/2046 (D) | 10 | 10 | ||||||
COMM Mortgage Trust, Ser 2013-CR12, Cl B | ||||||||
4.762%, 10/10/2046 (D) | 30 | 32 | ||||||
COMM Mortgage Trust, Ser 2013-CR12, Cl AM | ||||||||
4.300%, 10/10/2046 | 30 | 32 | ||||||
COMM Mortgage Trust, Ser 2013-CR13, Cl XA, IO | ||||||||
1.083%, 11/12/2046 (D) | 3,935 | 139 | ||||||
COMM Mortgage Trust, Ser 2013-CR6, Cl B | ||||||||
3.397%, 03/10/2046 (E) | 299 | 300 | ||||||
COMM Mortgage Trust, Ser 2013-CR6, Cl A2 | ||||||||
2.122%, 03/10/2046 | 749 | 750 | ||||||
COMM Mortgage Trust, Ser 2013-CR9, Cl ASB | ||||||||
3.834%, 07/10/2045 | 722 | 759 | ||||||
COMM Mortgage Trust, Ser 2014-CR18, Cl XA, IO | ||||||||
1.387%, 07/15/2047 (D) | 3,676 | 186 | ||||||
COMM Mortgage Trust, Ser 2014-UBS4, Cl A5 | ||||||||
3.694%, 08/10/2047 | 196 | 205 | ||||||
COMM Mortgage Trust, Ser 2014-UBS5, Cl ASB | ||||||||
3.548%, 09/10/2047 | 103 | 108 | ||||||
COMM Mortgage Trust, Ser 2014-UBS6, Cl A5 | ||||||||
3.644%, 12/10/2047 | 482 | 502 | ||||||
COMM Mortgage Trust, Ser 2015-CR25, Cl A4 | ||||||||
3.759%, 08/10/2048 | 188 | 198 | ||||||
COMM Mortgage Trust, Ser 2015-LC19, Cl XA, IO | ||||||||
1.349%, 02/10/2048 (D) | 6,253 | 423 | ||||||
COMM Mortgage Trust, Ser 2016-787S, Cl A | ||||||||
3.545%, 02/10/2036 (E) | 310 | 319 | ||||||
COMM Mortgage Trust, Ser 2016-COR1, Cl ASB | ||||||||
2.972%, 10/10/2049 | 254 | 258 | ||||||
COMM Mortgage Trust, Ser 2016-GCT, Cl A | ||||||||
2.681%, 08/10/2021 | 370 | 374 | ||||||
COMM Mortgage Trust, Ser 2016-SAVA | ||||||||
2.947%, 10/15/2018 | 1,310 | 1,315 | ||||||
COMM Mortgage Trust, Ser 2017-COR2, Cl A3 | ||||||||
3.510%, 09/10/2050 | 414 | 424 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR3, Cl A3 | ||||||||
2.822%, 10/15/2045 | 266 | 269 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2014-UBS2, Cl XA, IO | ||||||||
1.535%, 03/10/2047 (D) | 2,211 | 125 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 153 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Commercial Mortgage Pass-Through Certificates, Ser 2014-UBS2, Cl A5 | ||||||||
3.961%, 03/10/2047 | $ | 90 | $ | 95 | ||||
Commercial Mortgage Pass-Through Certificates, Ser 2014-UBS6, Cl AM | ||||||||
4.048%, 12/10/2047 | 372 | 389 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A3 | ||||||||
5.250%, 11/25/2033 | 66 | 67 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1 | ||||||||
7.000%, 12/25/2033 | 60 | 64 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 | ||||||||
3.530%, 10/25/2033 (D) | 397 | 395 | ||||||
CSAIL Commercial Mortgage Trust, Ser 2014- C3, Cl A4 | ||||||||
3.718%, 08/15/2048 | 349 | 364 | ||||||
CSAIL Commercial Mortgage Trust, Ser 2015- C4, Cl A4 | ||||||||
3.808%, 11/15/2048 | 882 | 924 | ||||||
CSAIL Commercial Mortgage Trust, Ser 2016- C5, Cl ASB | ||||||||
3.533%, 11/15/2048 | 90 | 94 | ||||||
CSMC, Ser 2009-2R, Cl 1A14 | ||||||||
3.403%, 09/26/2034 (D)(E) | 503 | 507 | ||||||
CSMC, Ser 2009-2R, Cl 1A16 | ||||||||
3.403%, 09/26/2034 (D)(E) | 755 | 761 | ||||||
CSMC, Ser 2010-3R, Cl 2A3 | ||||||||
4.500%, 12/26/2036 (D)(E) | 770 | 789 | ||||||
CSMC, Ser 2014-7R, Cl 8A1 | ||||||||
3.185%, 07/27/2037 (D)(E) | 599 | 600 | ||||||
CSMC, Ser 2015-5R, Cl 1A1 | ||||||||
1.066%, 09/27/2046 (E) | 700 | 695 | ||||||
CSMC, Ser 2016-BDWN, Cl B | ||||||||
5.734%, VAR LIBOR USD 1 Month+4.500%, 02/15/2029 (E) | 370 | 371 | ||||||
DBJPM Mortgage Trust, Ser 2017-C6, Cl ASB | ||||||||
3.121%, 06/10/2050 | 150 | 153 | ||||||
DBUBS Mortgage Trust, Ser 2011-LC2A, Cl A4 | ||||||||
4.537%, 07/10/2044 (E) | 100 | 106 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN1, Cl M2 | ||||||||
3.437%, VAR ICE LIBOR USD 1 Month+2.200%, 02/25/2024 | 501 | 517 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN2, Cl M2 | ||||||||
2.887%, VAR ICE LIBOR USD 1 Month+1.650%, 04/25/2024 | 338 | 342 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA2, Cl M2 | ||||||||
3.837%, VAR ICE LIBOR USD 1 Month+2.600%, 12/25/2027 | 354 | 361 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA3, Cl M2 | ||||||||
4.087%, VAR ICE LIBOR USD 1 Month+2.850%, 04/25/2028 | $ | 694 | $ | 719 | ||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2017-DNA1, Cl M1 | ||||||||
2.437%, VAR ICE LIBOR USD 1 Month+1.200%, 07/25/2029 | 780 | 789 | ||||||
GS Mortgage Securities Trust, Ser 2006-GG8, Cl X, IO | ||||||||
1.084%, 11/10/2039 (D)(E) | 313 | – | ||||||
GS Mortgage Securities Trust, Ser 2012-GCJ7, Cl AAB | ||||||||
2.935%, 05/10/2045 | 44 | 45 | ||||||
GS Mortgage Securities Trust, Ser 2013-GC14, Cl AAB | ||||||||
3.817%, 08/10/2046 | 811 | 852 | ||||||
GS Mortgage Securities Trust, Ser 2013- GC16, Cl B | ||||||||
5.161%, 11/10/2046 (D) | 90 | 98 | ||||||
GS Mortgage Securities Trust, Ser 2013- GC16, Cl A2 | ||||||||
3.033%, 11/10/2046 | 192 | 194 | ||||||
GS Mortgage Securities Trust, Ser 2013- KING, Cl A | ||||||||
2.706%, 12/10/2027 (E) | 103 | 104 | ||||||
GS Mortgage Securities Trust, Ser 2013- NYC5, Cl A | ||||||||
2.318%, 01/10/2030 (E) | 122 | 122 | ||||||
GS Mortgage Securities Trust, Ser 2014-GC18, Cl A3 | ||||||||
3.801%, 01/10/2047 | 228 | 240 | ||||||
GS Mortgage Securities Trust, Ser 2016-GS3, Cl A4 | ||||||||
2.850%, 10/10/2049 | 185 | 182 | ||||||
GS Mortgage Securities Trust, Ser 2016-GS3, Cl AAB | ||||||||
2.777%, 10/10/2049 | 277 | 278 | ||||||
GS Mortgage Securities Trust, Ser 2017-GS7, Cl A4 | ||||||||
3.430%, 08/10/2050 | 628 | 641 | ||||||
GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1 | ||||||||
3.360%, 10/25/2033 (D) | 95 | 96 | ||||||
GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3 | ||||||||
6.000%, 09/25/2034 | 36 | 37 | ||||||
GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4 | ||||||||
5.500%, 01/25/2037 | 12 | 12 |
154 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Homestar Mortgage Acceptance, Ser 2004- 5, Cl A1 | ||||||||
2.137%, VAR ICE LIBOR USD 1 Month+0.900%, 10/25/2034 | $ | 177 | $ | 179 | ||||
Impac CMB Trust, Ser 2007-A, Cl M1 | ||||||||
2.037%, VAR ICE LIBOR USD 1 Month+0.800%, 05/25/2037 (E) | 389 | 363 | ||||||
Impac Secured Assets Trust, Ser 2004-4, Cl 1A3 | ||||||||
2.097%, VAR ICE LIBOR USD 1 Month+0.860%, 02/25/2035 | 379 | 379 | ||||||
Impac Secured Assets Trust, Ser 2006-2, Cl 2A1 | ||||||||
1.587%, VAR ICE LIBOR USD 1 Month+0.350%, 08/25/2036 | 29 | 28 | ||||||
Impact Funding LLC, Ser 2010-1, Cl A1 | ||||||||
5.314%, 01/25/2051 (E) | 789 | 870 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C15, Cl C | ||||||||
5.250%, 11/15/2045 (D) | 60 | 62 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C15, Cl A2 | ||||||||
2.977%, 11/15/2045 | 345 | 348 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C17, Cl B | ||||||||
5.052%, 01/15/2047 (D) | 30 | 32 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C21, Cl A5 | ||||||||
3.775%, 08/15/2047 | 666 | 701 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C22, Cl C | ||||||||
4.711%, 09/15/2047 (D) | 120 | 121 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C23, Cl A4 | ||||||||
3.670%, 09/15/2047 | 289 | 302 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, Cl A2 | ||||||||
2.773%, 10/15/2048 | 226 | 229 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, Cl A4 | ||||||||
3.227%, 10/15/2048 | 191 | 194 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, Cl A3 | ||||||||
2.912%, 10/15/2048 | 1,434 | 1,428 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C30, Cl ASB | ||||||||
3.559%, 07/15/2048 | 343 | 359 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C30, Cl AS | ||||||||
4.226%, 07/15/2048 (D) | 270 | 285 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2016-C1, Cl ASB | ||||||||
3.316%, 03/15/2049 | 604 | 623 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
JPMCC Commercial Mortgage Securities Trust, Ser 2017-JP6, Cl ASB | ||||||||
3.283%, 07/15/2050 | $ | 282 | $ | 290 | ||||
JPMDB Commercial Mortgage Securities Trust, Ser 2017-C5, Cl C | ||||||||
4.512%, 03/15/2050 (D) | 970 | 1,012 | ||||||
JPMDB Commercial Mortgage Securities Trust, Ser 2017-C5, Cl ASB | ||||||||
3.492%, 03/15/2050 | 100 | 104 | ||||||
JPMDB Commercial Mortgage Securities Trust, Ser 2017-C5, Cl B | ||||||||
4.009%, 03/15/2050 (D) | 740 | 758 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-CB15, Cl X1, IO | ||||||||
0.449%, 06/12/2043 (D) | 1,736 | 2 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-LDP9, Cl A3SF | ||||||||
1.382%, VAR LIBOR USD 1 Month+0.155%, 05/15/2047 | 42 | 42 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-C2, Cl A2 | ||||||||
3.616%, 11/15/2043 (E) | 21 | 21 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-CNTR, Cl A2 | ||||||||
4.311%, 08/05/2032 (E) | 789 | 818 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-CNTR, Cl A1 | ||||||||
3.300%, 08/05/2032 (E) | 54 | 55 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C4, Cl A3 | ||||||||
4.106%, 07/15/2046 (E) | 846 | 855 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C5, Cl B | ||||||||
5.588%, 08/15/2046 (D)(E) | 296 | 322 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2012-CBX, Cl A4 | ||||||||
3.483%, 06/15/2045 | 388 | 403 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2012-LC9, Cl A2 | ||||||||
1.677%, 12/15/2047 | 23 | 23 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2013-C13, Cl A2 | ||||||||
2.665%, 01/15/2046 | 796 | 802 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl A2 | ||||||||
2.872%, 07/15/2047 | 214 | 217 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl A5 | ||||||||
3.805%, 07/15/2047 | 2,502 | 2,633 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-C31, Cl A3 | ||||||||
3.801%, 08/15/2048 | 570 | 599 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 155 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-JP1, Cl ASB | ||||||||
3.733%, 01/15/2049 | $ | 309 | $ | 326 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP2, Cl A1 | ||||||||
1.324%, 08/15/2049 | 213 | 210 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP2, Cl ASB | ||||||||
2.713%, 08/15/2049 | 292 | 291 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP3, Cl A5 | ||||||||
2.870%, 08/15/2049 | 840 | 827 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2017-JP5, Cl ASB | ||||||||
3.549%, 03/15/2050 | 733 | 765 | ||||||
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 5A3 | ||||||||
3.321%, 11/25/2033 (D) | 61 | 62 | ||||||
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1 | ||||||||
3.728%, 08/25/2034 (D) | 122 | 123 | ||||||
JPMorgan Mortgage Trust, Ser 2015-5, Cl A9 | ||||||||
2.859%, 05/25/2045 (D)(E) | 291 | 292 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl XCL, IO | ||||||||
0.251%, 02/15/2041 (D)(E) | 652 | – | ||||||
Liberty Street Trust, Ser 2016-225L, Cl A | ||||||||
3.597%, 02/10/2036 (E) | 310 | 321 | ||||||
Master Resecuritization Trust, Ser 2005-PO, Cl 3PO, PO | ||||||||
0.000%, 05/28/2035 (A)(E) | 8 | 6 | ||||||
Merrill Lynch Mortgage Investors Trust, Ser 2003-A4, Cl 2A | ||||||||
3.554%, 07/25/2033 (D) | 20 | 20 | ||||||
Merrill Lynch Mortgage Investors Trust, Ser 2004-A1, Cl 4A | ||||||||
3.625%, 02/25/2034 (D) | 46 | 46 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl XC, IO | ||||||||
0.707%, 12/12/2049 (D)(E) | 89 | – | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C6, Cl A2 | ||||||||
1.868%, 11/15/2045 | 1 | 1 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C6, Cl B | ||||||||
3.930%, 11/15/2045 | 390 | 400 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C10, Cl A2 | ||||||||
2.964%, 07/15/2046 | 84 | 84 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C9, Cl AS | ||||||||
3.456%, 05/15/2046 | 80 | 82 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C9, Cl A2 | ||||||||
1.970%, 05/15/2046 | $ | 21 | $ | 21 | ||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C25, Cl A5 | ||||||||
3.635%, 10/15/2048 | 250 | 261 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C27, Cl A4 | ||||||||
3.753%, 12/15/2047 | 447 | 468 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2016-C32, Cl A4 | ||||||||
3.720%, 12/15/2049 | 290 | 305 | ||||||
Morgan Stanley Capital I Trust, Ser 2005- HE5, Cl M1 | ||||||||
1.867%, VAR ICE LIBOR USD 1 Month+0.630%, 09/25/2035 | 29 | 29 | ||||||
Morgan Stanley Capital I Trust, Ser 2007- HQ11, Cl X, IO | ||||||||
0.443%, 02/12/2044 (D)(E) | 1,182 | 14 | ||||||
Morgan Stanley Capital I Trust, Ser 2013- WLSR, Cl A | ||||||||
2.695%, 01/11/2032 (E) | 460 | 462 | ||||||
Morgan Stanley Capital I Trust, Ser 2014- MP, Cl A | ||||||||
3.469%, 08/11/2033 (E) | 440 | 455 | ||||||
Morgan Stanley Capital I Trust, Ser 2015- 420, Cl A | ||||||||
3.727%, 10/11/2050 (E) | 440 | 457 | ||||||
Morgan Stanley Capital I Trust, Ser 2016- BNK2, Cl XA, IO | ||||||||
1.249%, 11/15/2049 (D) | 3,495 | 248 | ||||||
Morgan Stanley Capital I Trust, Ser 2016- UB11, Cl ASB | ||||||||
2.606%, 08/15/2049 | 210 | 208 | ||||||
Morgan Stanley Capital I Trust, Ser 2016- UB11, Cl A1 | ||||||||
1.445%, 08/15/2049 | 381 | 376 | ||||||
Morgan Stanley Capital I Trust, Ser 2016- UBS9, Cl A1 | ||||||||
1.711%, 03/15/2049 | 211 | 208 | ||||||
Mortgage Repurchase Agreement Financing Trust, Ser 2016-4, Cl A1 | ||||||||
2.435%, VAR ICE LIBOR USD 1 Month+1.200%, 05/10/2019 (E) | 760 | 758 | ||||||
MSCG Trust, Ser 2015-ALDR, Cl A2 | ||||||||
3.577%, 06/07/2035 (D)(E) | 250 | 249 | ||||||
MSCG Trust, Ser 2016-SNR, Cl C | ||||||||
5.205%, 11/15/2034 (E) | 300 | 307 | ||||||
New Residential Mortgage Loan Trust, Ser 2017-1A, Cl A1 | ||||||||
4.000%, 02/25/2057 (D)(E) | 2,009 | 2,103 |
156 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Nomura Asset Acceptance Alternative Loan Trust, Ser 2007-1, Cl 1A3 | ||||||||
5.957%, 03/25/2047 | $ | 129 | $ | 129 | ||||
Nomura Asset Acceptance Alternative Loan Trust, Ser 2007-1, Cl 1A4 | ||||||||
6.138%, 03/25/2047 | 106 | 106 | ||||||
Nomura Resecuritization Trust, Ser 2015-4R, Cl 3A1 | ||||||||
3.549%, 02/26/2036 (D)(E) | 182 | 184 | ||||||
Prime Mortgage Trust, Ser 2004-CL1, Cl 1A1 | ||||||||
6.000%, 02/25/2034 | 30 | 31 | ||||||
Prime Mortgage Trust, Ser 2004-CL1, Cl 1PO, PO | ||||||||
0.000%, 02/25/2034 (A) | 8 | 7 | ||||||
RAMP Trust, Ser 2004-SL1, Cl A8 | ||||||||
6.500%, 11/25/2031 | 179 | 188 | ||||||
RAMP Trust, Ser 2005-EFC4, Cl M3 | ||||||||
1.717%, VAR ICE LIBOR USD 1 Month+0.480%, 09/25/2035 | 790 | 788 | ||||||
RAMP Trust, Ser 2005-EFC5, Cl M1 | ||||||||
1.637%, VAR ICE LIBOR USD 1 Month+0.400%, 10/25/2035 | 89 | 89 | ||||||
RAMP Trust, Ser 2006-RZ1, Cl M1 | ||||||||
1.637%, VAR ICE LIBOR USD 1 Month+0.400%, 03/25/2036 | 1,594 | 1,580 | ||||||
RBSCF Trust, Ser 2013-GSP, Cl A | ||||||||
3.961%, 01/13/2032 (D)(E) | 280 | 294 | ||||||
Residential Accredit Loans, Ser 2004-QS7, Cl A4 | ||||||||
5.500%, 05/25/2034 | 171 | 174 | ||||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||||
3.429%, 12/25/2034 (D) | 256 | 257 | ||||||
SFAVE Commercial Mortgage Securities Trust, Ser 2015-5AVE, Cl A1 | ||||||||
3.872%, 01/05/2043 (D)(E) | 390 | 386 | ||||||
Springleaf Mortgage Loan Trust, Ser 2013- 2A, Cl A | ||||||||
1.780%, 12/25/2065 (D)(E) | 118 | 118 | ||||||
Structured Asset Securities Mortgage Pass- Through Certificates, Ser 2002-AL1, Cl A2 | ||||||||
3.450%, 02/25/2032 | 39 | 39 | ||||||
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2003-24A, Cl 3A2 | ||||||||
3.388%, 07/25/2033 (D) | 105 | 105 | ||||||
Structured Asset Securities Mortgage Pass- Through Certificates, Ser 2003-37A, Cl 2A | ||||||||
3.241%, 12/25/2033 (D) | 32 | 32 | ||||||
Structured Asset Securities Mortgage Pass- Through Certificates, Ser 2004-5H, Cl A4 | ||||||||
5.540%, 12/25/2033 | 107 | 110 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
UBS Commercial Mortgage Trust, Ser 2012- C1, Cl XA, IO | ||||||||
2.269%, 05/10/2045 (D)(E) | $ | 2,691 | $ | 207 | ||||
UBS Commercial Mortgage Trust, Ser 2017- C3, Cl AS | ||||||||
3.739%, 08/15/2050 (D) | 330 | 336 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A2 | ||||||||
2.113%, 05/10/2063 | 6 | 6 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl A2 | ||||||||
1.712%, 12/10/2045 | 28 | 28 | ||||||
VNO Mortgage Trust, Ser 2012-6AVE, Cl A | ||||||||
2.996%, 11/15/2030 (E) | 335 | 342 | ||||||
VNO Mortgage Trust, Ser 2013-PENN, Cl A | ||||||||
3.808%, 12/13/2029 (E) | 705 | 736 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7 | ||||||||
3.015%, 10/25/2033 (D) | 80 | 82 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7 | ||||||||
3.129%, 08/25/2033 (D) | 41 | 41 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR8, Cl A | ||||||||
3.204%, 08/25/2033 (D) | 22 | 23 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6 | ||||||||
3.305%, 09/25/2033 (D) | 68 | 69 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10 | ||||||||
14.060%, VAR ICE LIBOR USD 1 Month+17.463%, 06/25/2033 | 9 | 11 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8 | ||||||||
5.250%, 10/25/2033 | 152 | 159 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2 | ||||||||
3.145%, 06/25/2034 (D) | 49 | 50 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-RA4, Cl 3A | ||||||||
7.500%, 07/25/2034 | 128 | 138 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A3 | ||||||||
2.017%, VAR ICE LIBOR USD 1 Month+0.780%, 10/25/2045 | 615 | 644 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2016-C35, Cl C | ||||||||
4.176%, 07/15/2048 (D) | 330 | 334 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2016-C36, Cl A4 | ||||||||
3.065%, 11/15/2059 | 530 | 528 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 157 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Wells Fargo Commercial Mortgage Trust, Ser 2016-C36, Cl XA | ||||||||
1.507%, 11/15/2059 (D) | $ | 5,718 | $ | 497 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-E, Cl A2 | ||||||||
3.318%, 05/25/2034 (D) | 1 | 1 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A1 | ||||||||
3.328%, 12/25/2034 (D) | 56 | 57 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl 1A1 | ||||||||
3.354%, 06/25/2034 (D) | 121 | 123 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl 1A1 | ||||||||
3.336%, 07/25/2034 (D) | 76 | 78 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR8, Cl 2A1 | ||||||||
3.369%, 06/25/2035 (D) | 58 | 59 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR8, Cl 3A1 | ||||||||
3.172%, 04/25/2036 (D) | 549 | 578 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2012-C7, Cl XA, IO | ||||||||
1.603%, 06/15/2045 (D)(E) | 347 | 18 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2013-C13, Cl XA, IO | ||||||||
1.489%, 05/15/2045 (D)(E) | 1,077 | 54 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2014-C20, Cl XA, IO | ||||||||
1.302%, 01/15/2024 | 3,027 | 150 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2014-C21, Cl B | ||||||||
4.213%, 08/15/2047 (D) | 300 | 309 | ||||||
|
|
| ||||||
69,812 | ||||||||
|
|
| ||||||
Total Mortgage-Backed Securities |
| 581,024 | ||||||
|
|
| ||||||
CORPORATE OBLIGATIONS — 27.2% |
| |||||||
Consumer Discretionary — 2.0% |
| |||||||
21st Century Fox America | ||||||||
7.250%, 05/18/2018 | 1,020 | 1,054 | ||||||
6.900%, 08/15/2039 | 10 | 13 | ||||||
6.750%, 01/09/2038 | 20 | 26 | ||||||
6.650%, 11/15/2037 (C) | 25 | 33 | ||||||
6.150%, 03/01/2037 | 20 | 25 | ||||||
6.150%, 02/15/2041 | 15 | 19 | ||||||
Amazon.com | ||||||||
4.950%, 12/05/2044 | 140 | 162 | ||||||
4.250%, 08/22/2057 (E) | 135 | 138 | ||||||
4.050%, 08/22/2047 (E) | 475 | 484 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
3.875%, 08/22/2037 (E) | $ | 240 | $ | 244 | ||||
3.150%, 08/22/2027 (C)(E) | 1,203 | 1,212 | ||||||
2.800%, 08/22/2024 (E) | 1,355 | 1,360 | ||||||
2.400%, 02/22/2023 (E) | 873 | 871 | ||||||
1.900%, 08/21/2020 (C)(E) | 817 | 819 | ||||||
American Honda Finance MTN | ||||||||
3.875%, 09/21/2020 (E) | 495 | 521 | ||||||
AutoZone | ||||||||
3.750%, 06/01/2027 | 505 | 510 | ||||||
BMW US Capital | ||||||||
2.150%, 04/06/2020 (E) | 635 | 639 | ||||||
CBS | ||||||||
3.375%, 02/15/2028 | 385 | 374 | ||||||
2.500%, 02/15/2023 (C) | 780 | 769 | ||||||
Charter Communications Operating | ||||||||
6.484%, 10/23/2045 | 250 | 293 | ||||||
6.384%, 10/23/2035 | 10 | 12 | ||||||
5.375%, 05/01/2047 (E) | 614 | 638 | ||||||
4.908%, 07/23/2025 | 720 | 770 | ||||||
4.464%, 07/23/2022 | 810 | 857 | ||||||
4.200%, 03/15/2028 (E) | 370 | 374 | ||||||
3.750%, 02/15/2028 (E) | 305 | 299 | ||||||
Comcast | ||||||||
7.050%, 03/15/2033 | 90 | 123 | ||||||
4.400%, 08/15/2035 | 875 | 949 | ||||||
4.200%, 08/15/2034 | 20 | 21 | ||||||
4.000%, 08/15/2047 | 135 | 137 | ||||||
3.150%, 02/15/2028 | 1,016 | 1,012 | ||||||
2.350%, 01/15/2027 | 325 | 304 | ||||||
Comcast Cable Communications Holdings | ||||||||
10.125%, 04/15/2022 | 45 | 58 | ||||||
9.455%, 11/15/2022 | 180 | 239 | ||||||
Daimler Finance North America | ||||||||
2.375%, 08/01/2018 (E) | 990 | 995 | ||||||
2.300%, 01/06/2020 (E) | 690 | 693 | ||||||
Discovery Communications | ||||||||
5.200%, 09/20/2047 | 158 | 160 | ||||||
4.950%, 05/15/2042 | 135 | 134 | ||||||
4.875%, 04/01/2043 | 270 | 263 | ||||||
3.950%, 03/20/2028 | 257 | 255 | ||||||
ERAC USA Finance | ||||||||
4.500%, 02/15/2045 (E) | 115 | 114 | ||||||
3.300%, 12/01/2026 (E) | 572 | 561 | ||||||
2.700%, 11/01/2023 (E) | 160 | 157 | ||||||
Ford Motor | ||||||||
5.291%, 12/08/2046 (C) | 540 | 563 | ||||||
Ford Motor Credit | ||||||||
5.875%, 08/02/2021 | 350 | 389 | ||||||
3.810%, 01/09/2024 | 335 | 342 | ||||||
3.339%, 03/28/2022 | 610 | 620 | ||||||
2.979%, 08/03/2022 | 1,135 | 1,130 | ||||||
2.597%, 11/04/2019 | 700 | 706 |
158 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
2.551%, 10/05/2018 | $ | 750 | $ | 755 | ||||
Ford Motor Credit LLC | ||||||||
2.375%, 03/12/2019 | 200 | 201 | ||||||
General Motors | ||||||||
6.250%, 10/02/2043 | 160 | 183 | ||||||
5.400%, 04/01/2048 (C) | 249 | 258 | ||||||
5.150%, 04/01/2038 | 475 | 487 | ||||||
4.875%, 10/02/2023 | 315 | 341 | ||||||
4.200%, 10/01/2027 | 226 | 229 | ||||||
2.112%, VAR ICE LIBOR USD 3 Month+0.800%, 08/07/2020 | 1,000 | 1,001 | ||||||
General Motors Financial | ||||||||
4.350%, 01/17/2027 (C) | 1,010 | 1,038 | ||||||
3.450%, 04/10/2022 | 30 | 30 | ||||||
3.200%, 07/13/2020 | 118 | 121 | ||||||
Grupo Televisa | ||||||||
5.000%, 05/13/2045 | 225 | 226 | ||||||
Historic TW | ||||||||
6.625%, 05/15/2029 | 122 | 152 | ||||||
Home Depot | ||||||||
4.250%, 04/01/2046 | 48 | 52 | ||||||
3.750%, 02/15/2024 | 66 | 70 | ||||||
Hyundai Capital America MTN | ||||||||
3.250%, 09/20/2022 (C)(E) | 452 | 451 | ||||||
2.400%, 10/30/2018 (E) | 38 | 38 | ||||||
McDonald’s MTN | ||||||||
5.350%, 03/01/2018 | 100 | 101 | ||||||
4.875%, 12/09/2045 | 539 | 607 | ||||||
3.700%, 01/30/2026 | 140 | 146 | ||||||
3.500%, 03/01/2027 | 120 | 123 | ||||||
2.750%, 12/09/2020 | 305 | 311 | ||||||
NBCUniversal Enterprise | ||||||||
1.974%, 04/15/2019 (E) | 200 | 201 | ||||||
NBCUniversal Media | ||||||||
5.950%, 04/01/2041 | 50 | 64 | ||||||
4.450%, 01/15/2043 | 90 | 96 | ||||||
Newell Brands | ||||||||
4.200%, 04/01/2026 | 120 | 126 | ||||||
3.850%, 04/01/2023 | 130 | 137 | ||||||
3.150%, 04/01/2021 | 60 | 61 | ||||||
QVC | ||||||||
5.950%, 03/15/2043 | 10 | 10 | ||||||
Time Warner | ||||||||
7.570%, 02/01/2024 | 30 | 37 | ||||||
5.375%, 10/15/2041 | 302 | 326 | ||||||
4.850%, 07/15/2045 | 55 | 56 | ||||||
3.800%, 02/15/2027 | 1,440 | 1,440 | ||||||
3.550%, 06/01/2024 | 385 | 392 | ||||||
Time Warner Cable | ||||||||
8.250%, 04/01/2019 | 200 | 217 | ||||||
7.300%, 07/01/2038 | 110 | 138 | ||||||
6.750%, 07/01/2018 | 40 | 41 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
6.550%, 05/01/2037 | $ | 245 | $ | 288 | ||||
5.875%, 11/15/2040 | 130 | 143 | ||||||
5.500%, 09/01/2041 | 44 | 46 | ||||||
5.000%, 02/01/2020 | 320 | 338 | ||||||
TJX | ||||||||
2.250%, 09/15/2026 | 120 | 112 | ||||||
Toyota Motor Credit MTN | ||||||||
2.600%, 01/11/2022 | 860 | 870 | ||||||
2.100%, 01/17/2019 | 174 | 175 | ||||||
1.250%, 10/05/2017 | 250 | 250 | ||||||
Viacom | ||||||||
4.850%, 12/15/2034 (C) | 307 | 289 | ||||||
4.375%, 03/15/2043 | 150 | 129 | ||||||
4.250%, 09/01/2023 | 30 | 31 | ||||||
3.875%, 04/01/2024 | 30 | 30 | ||||||
WPP Finance | ||||||||
5.125%, 09/07/2042 | 60 | 62 | ||||||
|
|
| ||||||
35,467 | ||||||||
|
|
| ||||||
Consumer Staples — 2.2% |
| |||||||
Alimentation Couche-Tard | ||||||||
3.550%, 07/26/2027 (C)(E) | 1,130 | 1,139 | ||||||
2.700%, 07/26/2022 (E) | 805 | 808 | ||||||
Altria Group | ||||||||
4.750%, 05/05/2021 | 180 | 195 | ||||||
2.850%, 08/09/2022 | 190 | 194 | ||||||
Anheuser-Busch InBev Finance | ||||||||
4.900%, 02/01/2046 (C) | 2,036 | 2,300 | ||||||
3.650%, 02/01/2026 | 982 | 1,016 | ||||||
3.300%, 02/01/2023 (C) | 1,903 | 1,973 | ||||||
2.650%, 02/01/2021 | 1,435 | 1,458 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
7.750%, 01/15/2019 | 18 | 19 | ||||||
3.750%, 07/15/2042 | 230 | 221 | ||||||
2.500%, 07/15/2022 | 420 | 424 | ||||||
BAT Capital | ||||||||
4.540%, 08/15/2047 (E) | 540 | 556 | ||||||
3.557%, 08/15/2027 (E) | 1,189 | 1,201 | ||||||
3.222%, 08/15/2024 (E) | 478 | 479 | ||||||
2.764%, 08/15/2022 (E) | 1,694 | 1,703 | ||||||
2.297%, 08/14/2020 (E) | 358 | 359 | ||||||
Church & Dwight | ||||||||
3.950%, 08/01/2047 | 180 | 178 | ||||||
3.150%, 08/01/2027 | 297 | 294 | ||||||
2.450%, 08/01/2022 | 180 | 180 | ||||||
Coca-Cola Femsa | ||||||||
2.375%, 11/26/2018 | 324 | 326 | ||||||
Costco Wholesale | ||||||||
3.000%, 05/18/2027 | 870 | 872 | ||||||
2.750%, 05/18/2024 | 755 | 757 | ||||||
2.300%, 05/18/2022 | 865 | 866 | ||||||
2.250%, 02/15/2022 | 56 | 56 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 159 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
CVS Caremark | ||||||||
2.750%, 12/01/2022 | $ | 510 | $ | 511 | ||||
CVS Health | ||||||||
5.125%, 07/20/2045 (C) | 535 | 615 | ||||||
3.875%, 07/20/2025 | 249 | 260 | ||||||
3.500%, 07/20/2022 | 110 | 114 | ||||||
CVS Pass-Through Trust | ||||||||
5.926%, 01/10/2034 (E) | 83 | 94 | ||||||
Danone | ||||||||
2.947%, 11/02/2026 (E) | 500 | 485 | ||||||
2.589%, 11/02/2023 (E) | 330 | 324 | ||||||
2.077%, 11/02/2021 (E) | 230 | 226 | ||||||
Diageo Investment | ||||||||
2.875%, 05/11/2022 | 580 | 595 | ||||||
Kraft Heinz Foods | ||||||||
6.875%, 01/26/2039 | 49 | 63 | ||||||
6.500%, 02/09/2040 | 140 | 175 | ||||||
6.125%, 08/23/2018 | 225 | 234 | ||||||
5.375%, 02/10/2020 | 16 | 17 | ||||||
5.200%, 07/15/2045 | 450 | 493 | ||||||
5.000%, 07/15/2035 | 70 | 76 | ||||||
5.000%, 06/04/2042 | 65 | 69 | ||||||
4.375%, 06/01/2046 | 840 | 829 | ||||||
3.950%, 07/15/2025 | 370 | 381 | ||||||
3.500%, 06/06/2022 | 620 | 642 | ||||||
3.500%, 07/15/2022 | 645 | 668 | ||||||
3.000%, 06/01/2026 (C) | 725 | 695 | ||||||
2.800%, 07/02/2020 | 940 | 957 | ||||||
Kroger | ||||||||
2.950%, 11/01/2021 | 525 | 530 | ||||||
Mondelez International Holdings | ||||||||
2.000%, 10/28/2021 (E) | 2,105 | 2,067 | ||||||
1.625%, 10/28/2019 (E) | 1,395 | 1,384 | ||||||
PepsiCo | ||||||||
4.250%, 10/22/2044 | 100 | 107 | ||||||
4.000%, 03/05/2042 | 50 | 52 | ||||||
3.100%, 07/17/2022 | 59 | 61 | ||||||
3.000%, 08/25/2021 | 31 | 32 | ||||||
Pernod Ricard | ||||||||
4.450%, 01/15/2022 (E) | 370 | 396 | ||||||
Philip Morris International | ||||||||
4.500%, 03/20/2042 | 70 | 76 | ||||||
2.500%, 08/22/2022 | 250 | 250 | ||||||
2.000%, 02/21/2020 | 1,280 | 1,281 | ||||||
Reckitt Benckiser Treasury Services | ||||||||
2.750%, 06/26/2024 (E) | 1,430 | 1,420 | ||||||
Reynolds American | ||||||||
8.125%, 06/23/2019 | 370 | 408 | ||||||
5.850%, 08/15/2045 | 745 | 912 | ||||||
3.250%, 06/12/2020 | 54 | 55 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Walgreens Boots Alliance | ||||||||
4.800%, 11/18/2044 | $ | 630 | $ | 669 | ||||
3.450%, 06/01/2026 | 445 | 444 | ||||||
3.300%, 11/18/2021 | 647 | 668 | ||||||
Wal-Mart Stores | ||||||||
5.625%, 04/15/2041 | 320 | 415 | ||||||
4.750%, 10/02/2043 | 200 | 233 | ||||||
4.300%, 04/22/2044 | 1,240 | 1,366 | ||||||
3.300%, 04/22/2024 (C) | 60 | 63 | ||||||
Wm Wrigley Jr | ||||||||
2.900%, 10/21/2019 (E) | 190 | 193 | ||||||
2.400%, 10/21/2018 (E) | 40 | 40 | ||||||
|
| |||||||
39,219 | ||||||||
|
| |||||||
Energy — 2.7% |
| |||||||
Anadarko Finance, Ser B | ||||||||
7.500%, 05/01/2031 | 60 | 75 | ||||||
Anadarko Petroleum | ||||||||
6.600%, 03/15/2046 | 310 | 384 | ||||||
6.450%, 09/15/2036 | 110 | 130 | ||||||
5.550%, 03/15/2026 (C) | 656 | 733 | ||||||
4.850%, 03/15/2021 | 270 | 286 | ||||||
4.500%, 07/15/2044 (C) | 360 | 343 | ||||||
Apache | ||||||||
5.100%, 09/01/2040 | 120 | 125 | ||||||
4.750%, 04/15/2043 | 300 | 300 | ||||||
4.250%, 01/15/2044 (C) | 445 | 418 | ||||||
3.250%, 04/15/2022 | 109 | 111 | ||||||
BG Energy Capital PLC | ||||||||
4.000%, 10/15/2021 (E) | 575 | 607 | ||||||
BP Capital Markets PLC | ||||||||
3.994%, 09/26/2023 (C) | 95 | 101 | ||||||
3.723%, 11/28/2028 | 100 | 103 | ||||||
3.588%, 04/14/2027 | 765 | 787 | ||||||
3.506%, 03/17/2025 | 90 | 93 | ||||||
3.245%, 05/06/2022 | 90 | 93 | ||||||
3.216%, 11/28/2023 | 1,455 | 1,491 | ||||||
3.119%, 05/04/2026 | 130 | 130 | ||||||
Canadian Natural Resources | ||||||||
6.450%, 06/30/2033 | 50 | 59 | ||||||
3.850%, 06/01/2027 | 195 | 197 | ||||||
Chevron | ||||||||
3.191%, 06/24/2023 | 22 | 23 | ||||||
2.954%, 05/16/2026 | 280 | 279 | ||||||
2.895%, 03/03/2024 | 1,280 | 1,298 | ||||||
2.355%, 12/05/2022 | 15 | 15 | ||||||
Cimarex Energy | ||||||||
4.375%, 06/01/2024 | 435 | 460 | ||||||
CNOOC Nexen Finance | ||||||||
4.250%, 04/30/2024 | 200 | 213 | ||||||
3.500%, 05/05/2025 | 840 | 853 |
160 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Concho Resources | ||||||||
4.875%, 10/01/2047 | $ | 190 | $ | 198 | ||||
3.750%, 10/01/2027 | 412 | 414 | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/2031 | 130 | 175 | ||||||
ConocoPhillips | ||||||||
4.150%, 11/15/2034 | 460 | 475 | ||||||
Devon Energy | ||||||||
5.850%, 12/15/2025 | 450 | 519 | ||||||
5.600%, 07/15/2041 | 110 | 120 | ||||||
5.000%, 06/15/2045 | 190 | 200 | ||||||
4.750%, 05/15/2042 | 17 | 17 | ||||||
3.250%, 05/15/2022 | 137 | 139 | ||||||
Devon Financing LLC | ||||||||
7.875%, 09/30/2031 | 40 | 53 | ||||||
Ecopetrol | ||||||||
5.875%, 05/28/2045 | 1,030 | 1,007 | ||||||
4.125%, 01/16/2025 | 203 | 203 | ||||||
Enbridge | ||||||||
3.700%, 07/15/2027 | 385 | 391 | ||||||
2.900%, 07/15/2022 | 566 | 569 | ||||||
Enbridge Energy Partners | ||||||||
7.375%, 10/15/2045 | 165 | 213 | ||||||
5.875%, 10/15/2025 | 200 | 228 | ||||||
5.500%, 09/15/2040 | 275 | 287 | ||||||
Encana | ||||||||
6.500%, 02/01/2038 | 370 | 438 | ||||||
Energy Transfer | ||||||||
8.250%, 11/15/2029 | 675 | 874 | ||||||
6.125%, 12/15/2045 | 409 | 449 | ||||||
5.150%, 03/15/2045 | 14 | 14 | ||||||
Energy Transfer Partners | ||||||||
2.500%, 06/15/2018 | 475 | 477 | ||||||
Enterprise Products Operating | ||||||||
5.700%, 02/15/2042 | 40 | 48 | ||||||
EOG Resources | ||||||||
4.150%, 01/15/2026 | 90 | 95 | ||||||
ExxonMobil | ||||||||
4.114%, 03/01/2046 | 160 | 173 | ||||||
3.043%, 03/01/2026 | 200 | 203 | ||||||
2.397%, 03/06/2022 | 100 | 101 | ||||||
Florida Gas Transmission | ||||||||
7.900%, 05/15/2019 (E) | 350 | 380 | ||||||
Halliburton | ||||||||
5.000%, 11/15/2045 | 461 | 506 | ||||||
3.800%, 11/15/2025 | 190 | 195 | ||||||
3.500%, 08/01/2023 | 50 | 51 | ||||||
Hess | ||||||||
5.800%, 04/01/2047 | 120 | 123 | ||||||
KazMunayGas National JSC | ||||||||
5.750%, 04/19/2047 (E) | 340 | 335 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Kerr-McGee | ||||||||
7.875%, 09/15/2031 | $ | 100 | $ | 127 | ||||
6.950%, 07/01/2024 | 298 | 354 | ||||||
Kinder Morgan | ||||||||
5.550%, 06/01/2045 | 255 | 275 | ||||||
5.000%, 02/15/2021 (E) | 965 | 1,035 | ||||||
4.300%, 06/01/2025 | 1,485 | 1,556 | ||||||
3.150%, 01/15/2023 (C) | 905 | 910 | ||||||
Kinder Morgan Energy Partners | ||||||||
5.400%, 09/01/2044 | 250 | 260 | ||||||
3.500%, 09/01/2023 | 45 | 45 | ||||||
Marathon Oil | ||||||||
6.600%, 10/01/2037 (C) | 199 | 230 | ||||||
Marathon Petroleum | ||||||||
5.000%, 09/15/2054 | 275 | 266 | ||||||
4.750%, 09/15/2044 (C) | 125 | 124 | ||||||
Noble Energy | ||||||||
5.250%, 11/15/2043 | 80 | 84 | ||||||
5.050%, 11/15/2044 | 29 | 30 | ||||||
4.950%, 08/15/2047 | 90 | 92 | ||||||
4.150%, 12/15/2021 | 230 | 242 | ||||||
3.900%, 11/15/2024 | 150 | 154 | ||||||
3.850%, 01/15/2028 | 170 | 170 | ||||||
Occidental Petroleum | ||||||||
4.625%, 06/15/2045 | 130 | 142 | ||||||
4.400%, 04/15/2046 | 50 | 53 | ||||||
4.100%, 02/15/2047 | 160 | 165 | ||||||
3.500%, 06/15/2025 | 45 | 46 | ||||||
3.000%, 02/15/2027 | 120 | 118 | ||||||
2.700%, 02/15/2023 | 129 | 130 | ||||||
Pertamina Persero | ||||||||
6.000%, 05/03/2042 (E) | 300 | 338 | ||||||
Petrobras Global Finance | ||||||||
6.850%, 06/05/2115 | 200 | 191 | ||||||
6.250%, 03/17/2024 | 310 | 331 | ||||||
5.299%, 01/27/2025 (E) | 1,126 | 1,124 | ||||||
Petro-Canada | ||||||||
6.800%, 05/15/2038 | 380 | 509 | ||||||
Petrofac | ||||||||
3.400%, 10/10/2018 (E) | 250 | 248 | ||||||
Petroleos del Peru | ||||||||
4.750%, 06/19/2032 (E) | 850 | 874 | ||||||
Petroleos Mexicanos | ||||||||
6.625%, 06/15/2035 | 40 | 43 | ||||||
6.500%, 03/13/2027 (E) | 335 | 371 | ||||||
6.375%, 01/23/2045 | 500 | 509 | ||||||
5.625%, 01/23/2046 (C) | 922 | 858 | ||||||
5.500%, 06/27/2044 | 30 | 28 | ||||||
4.875%, 01/18/2024 | 32 | 33 | ||||||
2.460%, 12/15/2025 | 565 | 568 | ||||||
2.378%, 04/15/2025 | 284 | 286 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 161 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Petroleos Mexicanos MTN | ||||||||
6.875%, 08/04/2026 | $ | 120 | $ | 137 | ||||
6.750%, 09/21/2047 (C)(E) | 335 | 356 | ||||||
6.500%, 03/13/2027 (E) | 455 | 504 | ||||||
Phillips 66 | ||||||||
5.875%, 05/01/2042 | 35 | 43 | ||||||
Phillips 66 Partners | ||||||||
4.900%, 10/01/2046 | 405 | 405 | ||||||
Plains All American Pipeline | ||||||||
4.650%, 10/15/2025 | 500 | 515 | ||||||
4.500%, 12/15/2026 | 115 | 117 | ||||||
Sabine Pass Liquefaction | ||||||||
5.875%, 06/30/2026 | 245 | 273 | ||||||
5.625%, 03/01/2025 | 500 | 552 | ||||||
5.000%, 03/15/2027 | 471 | 502 | ||||||
4.200%, 03/15/2028 | 95 | 96 | ||||||
Schlumberger | ||||||||
3.000%, 12/21/2020 (E) | 1,000 | 1,024 | ||||||
Schlumberger Holdings | ||||||||
4.000%, 12/21/2025 (E) | 120 | 126 | ||||||
Schlumberger Investment | ||||||||
3.650%, 12/01/2023 | 61 | 65 | ||||||
3.300%, 09/14/2021 (E) | 47 | 48 | ||||||
Shell International Finance | ||||||||
4.550%, 08/12/2043 | 80 | 87 | ||||||
4.375%, 03/25/2020 | 140 | 149 | ||||||
4.375%, 05/11/2045 (C) | 515 | 552 | ||||||
4.125%, 05/11/2035 | 841 | 888 | ||||||
4.000%, 05/10/2046 (C) | 440 | 445 | ||||||
3.400%, 08/12/2023 | 930 | 975 | ||||||
2.875%, 05/10/2026 | 200 | 199 | ||||||
2.125%, 05/11/2020 | 56 | 56 | ||||||
Sinopec Group Overseas Development | ||||||||
4.375%, 04/10/2024 (E) | 380 | 408 | ||||||
Spectra Energy Partners | ||||||||
5.950%, 09/25/2043 | 30 | 36 | ||||||
3.500%, 03/15/2025 | 400 | 403 | ||||||
Statoil | ||||||||
5.250%, 04/15/2019 | 140 | 148 | ||||||
3.700%, 03/01/2024 | 210 | 221 | ||||||
Suncor Energy | ||||||||
3.600%, 12/01/2024 | 340 | 351 | ||||||
Sunoco Logistics Partners Operations | ||||||||
5.400%, 10/01/2047 | 743 | 756 | ||||||
TC PipeLines | ||||||||
3.900%, 05/25/2027 | 370 | 371 | ||||||
Texas Eastern Transmission | ||||||||
2.800%, 10/15/2022 (E) | 402 | 396 | ||||||
Total Capital International | ||||||||
2.875%, 02/17/2022 | 815 | 832 | ||||||
TransCanada Pipelines | ||||||||
4.625%, 03/01/2034 | 470 | 514 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Transcontinental Gas Pipe Line | ||||||||
7.850%, 02/01/2026 | $ | 480 | $ | 620 | ||||
Western Gas Partners | ||||||||
5.375%, 06/01/2021 | 25 | 27 | ||||||
4.650%, 07/01/2026 | 40 | 42 | ||||||
4.000%, 07/01/2022 | 35 | 36 | ||||||
Williams | ||||||||
7.875%, 09/01/2021 | 260 | 306 | ||||||
Williams Partners | ||||||||
5.100%, 09/15/2045 | 300 | 315 | ||||||
3.750%, 06/15/2027 | 515 | 514 | ||||||
3.600%, 03/15/2022 | 1,200 | 1,240 | ||||||
|
| |||||||
47,946 | ||||||||
|
| |||||||
Financials — 9.1% | ||||||||
AIG Global Funding MTN | ||||||||
1.650%, 12/15/2017 (E) | 42 | 42 | ||||||
American Express | ||||||||
7.000%, 03/19/2018 | 1,170 | 1,199 | ||||||
2.500%, 08/01/2022 | 995 | 994 | ||||||
American Express Credit MTN | ||||||||
2.375%, 05/26/2020 (C) | 64 | 65 | ||||||
2.250%, 08/15/2019 | 1,135 | 1,144 | ||||||
1.875%, 11/05/2018 | 44 | 44 | ||||||
1.800%, 07/31/2018 | 65 | 65 | ||||||
American International Group | ||||||||
6.250%, 05/01/2036 | 370 | 473 | ||||||
4.375%, 01/15/2055 | 90 | 87 | ||||||
4.125%, 02/15/2024 | 107 | 114 | ||||||
3.900%, 04/01/2026 | 615 | 640 | ||||||
3.875%, 01/15/2035 | 30 | 29 | ||||||
Aon | ||||||||
6.250%, 09/30/2040 | 19 | 24 | ||||||
3.500%, 06/14/2024 | 65 | 67 | ||||||
Banco Santander | ||||||||
4.250%, 04/11/2027 | 335 | 348 | ||||||
3.500%, 04/11/2022 | 450 | 461 | ||||||
Bank of America | ||||||||
7.625%, 06/01/2019 | 500 | 546 | ||||||
5.750%, 12/01/2017 | 70 | 70 | ||||||
5.700%, 01/24/2022 | 5 | 6 | ||||||
Bank of America MTN | ||||||||
6.875%, 04/25/2018 | 2,250 | 2,315 | ||||||
5.650%, 05/01/2018 | 2,780 | 2,843 | ||||||
5.625%, 07/01/2020 | 30 | 33 | ||||||
5.000%, 05/13/2021 | 180 | 196 | ||||||
5.000%, 01/21/2044 | 240 | 278 | ||||||
4.450%, 03/03/2026 | 664 | 702 | ||||||
4.244%, VAR ICE LIBOR USD 3 Month+1.814%, 04/24/2038 (C) | 515 | 544 | ||||||
4.200%, 08/26/2024 | 700 | 736 | ||||||
4.125%, 01/22/2024 | 290 | 309 |
162 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.100%, 07/24/2023 | $ | 340 | $ | 362 | ||||
4.000%, 04/01/2024 | 290 | 306 | ||||||
4.000%, 01/22/2025 | 683 | 707 | ||||||
3.875%, 08/01/2025 | 190 | 199 | ||||||
3.824%, VAR ICE LIBOR USD 3 Month+1.575%, 01/20/2028 | 1,016 | 1,045 | ||||||
3.705%, VAR ICE LIBOR USD 3 Month+1.512%, 04/24/2028 (C) | 1,985 | 2,016 | ||||||
3.593%, VAR ICE LIBOR USD 3 Month+1.370%, 07/21/2028 | 270 | 273 | ||||||
3.500%, 04/19/2026 (C) | 1,244 | 1,265 | ||||||
3.300%, 01/11/2023 | 1,835 | 1,880 | ||||||
3.093%, VAR ICE LIBOR USD 3 Month+1.090%, 10/01/2025 | 1,215 | 1,214 | ||||||
2.600%, 01/15/2019 | 160 | 161 | ||||||
2.503%, 10/21/2022 | 1,210 | 1,199 | ||||||
2.369%, VAR ICE LIBOR USD 3 Month+0.660%, 07/21/2021 | 1,180 | 1,180 | ||||||
2.250%, 04/21/2020 | 100 | 100 | ||||||
Bank of Montreal MTN | ||||||||
2.375%, 01/25/2019 | 55 | 55 | ||||||
Bank of New York Mellon | ||||||||
3.550%, 09/23/2021 | 34 | 35 | ||||||
3.400%, 05/15/2024 | 1,175 | 1,215 | ||||||
Bank of New York Mellon MTN | ||||||||
4.600%, 01/15/2020 | 40 | 43 | ||||||
3.250%, 09/11/2024 | 100 | 102 | ||||||
3.250%, 05/16/2027 (C) | 752 | 763 | ||||||
2.500%, 04/15/2021 | 327 | 330 | ||||||
2.200%, 03/04/2019 | 425 | 427 | ||||||
Bank of Nova Scotia | ||||||||
1.850%, 04/14/2020 | 160 | 159 | ||||||
Bank of Tokyo-Mitsubishi | ||||||||
4.100%, 09/09/2023 (E) | 200 | 213 | ||||||
BB&T | ||||||||
5.250%, 11/01/2019 | 200 | 213 | ||||||
Bear Stearns | ||||||||
7.250%, 02/01/2018 | 2,500 | 2,547 | ||||||
6.400%, 10/02/2017 | 500 | 500 | ||||||
Berkshire Hathaway | ||||||||
3.750%, 08/15/2021 | 500 | 530 | ||||||
3.400%, 01/31/2022 | 65 | 68 | ||||||
Berkshire Hathaway Finance | ||||||||
5.400%, 05/15/2018 | 110 | 113 | ||||||
4.400%, 05/15/2042 | 316 | 347 | ||||||
BNP Paribas MTN | ||||||||
2.700%, 08/20/2018 | 380 | 383 | ||||||
BPCE | ||||||||
5.150%, 07/21/2024 (E) | 200 | 216 | ||||||
Brighthouse Financial | ||||||||
4.700%, 06/22/2047 (E) | 230 | 225 | ||||||
3.700%, 06/22/2027 (C)(E) | 860 | 844 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Capital One | ||||||||
2.650%, 08/08/2022 | $ | 1,027 | $ | 1,022 | ||||
Capital One Financial | ||||||||
4.750%, 07/15/2021 | 50 | 54 | ||||||
4.200%, 10/29/2025 | 164 | 168 | ||||||
3.750%, 03/09/2027 (C) | 230 | 233 | ||||||
Chubb INA Holdings | ||||||||
4.350%, 11/03/2045 (C) | 370 | 407 | ||||||
3.350%, 05/03/2026 | 30 | 31 | ||||||
3.150%, 03/15/2025 | 74 | 75 | ||||||
2.875%, 11/03/2022 | 39 | 40 | ||||||
2.300%, 11/03/2020 | 50 | 50 | ||||||
Citibank | ||||||||
2.100%, 06/12/2020 | 2,110 | 2,114 | ||||||
Citigroup | ||||||||
8.125%, 07/15/2039 | 370 | 585 | ||||||
6.125%, 11/21/2017 | 1,095 | 1,102 | ||||||
6.125%, 05/15/2018 | 3,150 | 3,233 | ||||||
5.500%, 09/13/2025 | 200 | 224 | ||||||
5.300%, 05/06/2044 | 47 | 55 | ||||||
4.750%, 05/18/2046 | 30 | 33 | ||||||
4.650%, 07/30/2045 | 336 | 372 | ||||||
4.500%, 01/14/2022 | 380 | 409 | ||||||
4.450%, 09/29/2027 | 1,385 | 1,462 | ||||||
4.400%, 06/10/2025 | 270 | 284 | ||||||
4.300%, 11/20/2026 | 60 | 62 | ||||||
3.887%, VAR ICE LIBOR USD 3 Month+1.563%, 01/10/2028 | 69 | 71 | ||||||
3.700%, 01/12/2026 | 595 | 610 | ||||||
3.668%, VAR ICE LIBOR USD 3 Month+1.390%, 07/24/2028 (C) | 1,000 | 1,010 | ||||||
3.500%, 05/15/2023 | 130 | 132 | ||||||
3.400%, 05/01/2026 | 260 | 261 | ||||||
3.300%, 04/27/2025 | 120 | 121 | ||||||
3.200%, 10/21/2026 | 920 | 905 | ||||||
2.150%, 07/30/2018 | 71 | 71 | ||||||
1.867%, VAR ICE LIBOR USD 3 Month+0.550%, 08/25/2036 | 600 | 500 | ||||||
1.800%, 02/05/2018 | 1,000 | 1,000 | ||||||
1.700%, 04/27/2018 | 160 | 160 | ||||||
CME Group | ||||||||
3.000%, 03/15/2025 | 51 | 52 | ||||||
Commonwealth Bank of Australia MTN | ||||||||
3.900%, 07/12/2047 (E) | 290 | 291 | ||||||
Cooperatieve Rabobank UA | ||||||||
4.625%, 12/01/2023 | 530 | 570 | ||||||
4.375%, 08/04/2025 | 1,000 | 1,050 | ||||||
Cooperatieve Rabobank UA MTN | ||||||||
3.875%, 02/08/2022 | 30 | 32 | ||||||
Credit Agricole | ||||||||
8.375%, VAR ICE LIBOR USD 3 Month+6.982%, 12/31/2049 (E) | 170 | 188 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 163 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Credit Suisse Group | ||||||||
2.997%, VAR ICE LIBOR USD 3 Month+1.200%, 12/14/2023 (E) | $ | 1,020 | $ | 1,017 | ||||
Credit Suisse Group Funding Guernsey | ||||||||
4.875%, 05/15/2045 | 1,280 | 1,431 | ||||||
4.550%, 04/17/2026 (C) | 635 | 681 | ||||||
3.800%, 09/15/2022 | 295 | 306 | ||||||
3.800%, 06/09/2023 (C) | 290 | 300 | ||||||
Discover Bank | ||||||||
2.000%, 02/21/2018 | 1,000 | 1,002 | ||||||
DNB Bank | ||||||||
2.125%, 10/02/2020 (E) | 1,210 | 1,209 | ||||||
Farmers Exchange Capital | ||||||||
7.200%, 07/15/2048 (E) | 1,021 | 1,328 | ||||||
Fifth Third Bancorp | ||||||||
2.300%, 03/01/2019 | 30 | 30 | ||||||
Fifth Third Bank | ||||||||
2.875%, 10/01/2021 | 200 | 204 | ||||||
Goldman Sachs Group | ||||||||
6.750%, 10/01/2037 | 794 | 1,047 | ||||||
6.250%, 02/01/2041 | 300 | 396 | ||||||
6.150%, 04/01/2018 | 1,750 | 1,788 | ||||||
5.950%, 01/18/2018 | 1,250 | 1,266 | ||||||
5.750%, 01/24/2022 | 300 | 336 | ||||||
5.250%, 07/27/2021 | 400 | 440 | ||||||
5.150%, 05/22/2045 | 360 | 412 | ||||||
4.750%, 10/21/2045 | 530 | 589 | ||||||
4.250%, 10/21/2025 | 600 | 626 | ||||||
3.750%, 02/25/2026 | 340 | 348 | ||||||
3.500%, 11/16/2026 | 721 | 723 | ||||||
3.272%, VAR ICE LIBOR USD 3 Month+1.201%, 09/29/2025 | 2,915 | 2,919 | ||||||
2.900%, 07/19/2018 | 220 | 222 | ||||||
2.750%, 09/15/2020 (C) | 600 | 608 | ||||||
2.375%, 01/22/2018 | 520 | 521 | ||||||
Goldman Sachs Group MTN | ||||||||
7.500%, 02/15/2019 | 1,315 | 1,412 | ||||||
6.000%, 06/15/2020 | 880 | 966 | ||||||
5.375%, 03/15/2020 | 950 | 1,021 | ||||||
4.000%, 03/03/2024 | 200 | 211 | ||||||
3.850%, 07/08/2024 | 121 | 126 | ||||||
2.905%, VAR ICE LIBOR USD 3 Month+0.990%, 07/24/2023 | 1,210 | 1,211 | ||||||
Goodman US Finance Three | ||||||||
4.500%, 10/15/2037 (E) | 135 | 137 | ||||||
Guardian Life Global Funding | ||||||||
1.950%, 10/27/2021 (E) | 780 | 766 | ||||||
Guardian Life Global Funding MTN | ||||||||
2.000%, 04/26/2021 (E) | 700 | 691 | ||||||
Guardian Life Insurance of America | ||||||||
4.850%, 01/24/2077 (C)(E) | 42 | 45 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
HBOS PLC MTN | ||||||||
6.750%, 05/21/2018 (E) | $ | 200 | $ | 206 | ||||
HSBC Bank PLC | ||||||||
4.125%, 08/12/2020 (E) | 100 | 105 | ||||||
HSBC Finance | ||||||||
6.676%, 01/15/2021 | 246 | 278 | ||||||
HSBC Holdings PLC | ||||||||
4.875%, 01/14/2022 | 100 | 109 | ||||||
4.375%, 11/23/2026 | 700 | 730 | ||||||
4.300%, 03/08/2026 | 1,055 | 1,133 | ||||||
4.250%, 03/14/2024 | 370 | 387 | ||||||
4.250%, 08/18/2025 | 250 | 259 | ||||||
4.041%, VAR ICE LIBOR USD 3 Month+1.546%, 03/13/2028 | 385 | 402 | ||||||
4.000%, 03/30/2022 | 206 | 218 | ||||||
3.400%, 03/08/2021 | 890 | 918 | ||||||
3.262%, VAR ICE LIBOR USD 3 Month+1.055%, 03/13/2023 (C) | 1,155 | 1,179 | ||||||
2.650%, 01/05/2022 | 1,330 | 1,335 | ||||||
HSBC USA | ||||||||
2.350%, 03/05/2020 | 100 | 101 | ||||||
ING Bank | ||||||||
5.800%, 09/25/2023 (E) | 430 | 491 | ||||||
ING Groep | ||||||||
3.950%, 03/29/2027 (C) | 490 | 510 | ||||||
3.150%, 03/29/2022 | 565 | 576 | ||||||
Intercontinental Exchange | ||||||||
4.000%, 10/15/2023 | 65 | 70 | ||||||
2.500%, 10/15/2018 | 85 | 86 | ||||||
International Lease Finance | ||||||||
7.125%, 09/01/2018 (E) | 1,000 | 1,047 | ||||||
Intesa Sanpaolo | ||||||||
3.875%, 07/14/2027 (E) | 985 | 989 | ||||||
3.125%, 07/14/2022 (E) | 990 | 992 | ||||||
Intesa Sanpaolo MTN | ||||||||
5.017%, 06/26/2024 (E) | 510 | 519 | ||||||
JPMorgan Chase | ||||||||
6.000%, 01/15/2018 | 1,500 | 1,519 | ||||||
4.950%, 06/01/2045 | 30 | 34 | ||||||
4.500%, 01/24/2022 | 660 | 715 | ||||||
4.260%, VAR ICE LIBOR USD 3 Month+1.580%, 02/22/2048 | 665 | 698 | ||||||
4.250%, 10/01/2027 | 590 | 622 | ||||||
4.125%, 12/15/2026 | 520 | 542 | ||||||
4.032%, VAR ICE LIBOR USD 3 Month+1.460%, 07/24/2048 | 795 | 808 | ||||||
3.900%, 07/15/2025 | 805 | 848 | ||||||
3.882%, VAR ICE LIBOR USD 3 Month+1.360%, 07/24/2038 | 855 | 862 | ||||||
3.875%, 09/10/2024 | 520 | 541 | ||||||
3.625%, 05/13/2024 | 230 | 240 | ||||||
3.625%, 12/01/2027 | 360 | 361 |
164 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
3.540%, VAR ICE LIBOR USD 3 Month+1.380%, 05/01/2028 (C) | $ | 1,000 | $ | 1,009 | ||||
3.250%, 09/23/2022 | 240 | 248 | ||||||
3.220%,��VAR ICE LIBOR USD 3 Month+1.155%, 03/01/2025 | 2,000 | 2,032 | ||||||
3.200%, 01/25/2023 | 100 | 103 | ||||||
2.972%, 01/15/2023 (C) | 1,220 | 1,239 | ||||||
2.950%, 10/01/2026 | 1,310 | 1,282 | ||||||
2.776%, VAR ICE LIBOR USD 3 Month+0.935%, 04/25/2023 | 325 | 327 | ||||||
2.700%, 05/18/2023 | 1,285 | 1,285 | ||||||
2.250%, 01/23/2020 | 905 | 910 | ||||||
JPMorgan Chase MTN | ||||||||
2.295%, 08/15/2021 (C) | 1,070 | 1,069 | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 10/01/2017 | 2,427 | 2,427 | ||||||
Kemper | ||||||||
4.350%, 02/15/2025 (C) | 590 | 598 | ||||||
KKR Group Finance II | ||||||||
5.500%, 02/01/2043 (E) | 20 | 23 | ||||||
Lazard Group LLC | ||||||||
3.750%, 02/13/2025 | 760 | 775 | ||||||
Liberty Mutual Insurance | ||||||||
8.500%, 05/15/2025 (E) | 100 | 130 | ||||||
Lloyds Banking Group | ||||||||
3.100%, 07/06/2021 | 490 | 498 | ||||||
Lloyds TSB Bank MTN | ||||||||
5.800%, 01/13/2020 (E) | 310 | 335 | ||||||
Macquarie Group | ||||||||
6.250%, 01/14/2021 (E) | 166 | 185 | ||||||
Massachusetts Mutual Life Insurance | ||||||||
8.875%, 06/01/2039 (E) | 89 | 144 | ||||||
MetLife | ||||||||
6.400%, 12/15/2036 | 915 | 1,055 | ||||||
5.700%, 06/15/2035 | 15 | 18 | ||||||
Metropolitan Life Global Funding | ||||||||
3.450%, 12/18/2026 (E) | 1,225 | 1,260 | ||||||
1.950%, 09/15/2021 (E) | 380 | 374 | ||||||
1.500%, 01/10/2018 (E) | 313 | 313 | ||||||
Mizuho Bank | ||||||||
1.800%, 03/26/2018 (E) | 200 | 200 | ||||||
Morgan Stanley | ||||||||
4.375%, 01/22/2047 | 120 | 128 | ||||||
3.625%, 01/20/2027 (C) | 789 | 800 | ||||||
2.109%, VAR ICE LIBOR USD 3 Month+0.800%, 02/14/2020 | 2,250 | 2,261 | ||||||
Morgan Stanley MTN | ||||||||
7.300%, 05/13/2019 | 420 | 455 | ||||||
6.625%, 04/01/2018 | 3,300 | 3,381 | ||||||
5.950%, 12/28/2017 | 200 | 202 | ||||||
5.625%, 09/23/2019 | 350 | 374 | ||||||
4.350%, 09/08/2026 | 43 | 45 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
3.971%, VAR ICE LIBOR USD 3 Month+1.455%, 07/22/2038 | $ | 455 | $ | 457 | ||||
3.125%, 07/27/2026 | 55 | 54 | ||||||
2.750%, 05/19/2022 (C) | 1,580 | 1,589 | ||||||
2.625%, 11/17/2021 | 2,649 | 2,658 | ||||||
2.500%, 04/21/2021 | 450 | 451 | ||||||
2.243%, VAR ICE LIBOR USD 3 Month+0.930%, 07/22/2022 | 1,000 | 1,004 | ||||||
National City | ||||||||
6.875%, 05/15/2019 | 50 | 54 | ||||||
Nationwide Mutual Insurance | ||||||||
3.610%, VAR ICE LIBOR USD 3 Month+2.290%, 12/15/2024 (E) | 760 | 759 | ||||||
New York Life Global Funding | ||||||||
2.150%, 06/18/2019 (E) | 73 | 73 | ||||||
New York Life Global Funding MTN | ||||||||
2.100%, 01/02/2019 (E) | 330 | 332 | ||||||
New York Life Insurance | ||||||||
6.750%, 11/15/2039 (E) | 255 | 355 | ||||||
Nippon Life Insurance | ||||||||
4.000%, VAR USD ICE Swap 11:00 NY 5 Yr+2.880%, 09/19/2047 (C)(E) | 565 | 559 | ||||||
Nordea Bank | ||||||||
4.875%, 05/13/2021 (E) | 250 | 268 | ||||||
Nordea Bank MTN | ||||||||
1.625%, 05/15/2018 (E) | 220 | 220 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/2040 (E) | 680 | 895 | ||||||
3.850%, 09/30/2047 (E) | 500 | 494 | ||||||
Pipeline Funding | ||||||||
7.500%, 01/15/2030 (E) | 434 | 513 | ||||||
PNC Bank | ||||||||
2.550%, 12/09/2021 | 780 | 787 | ||||||
2.250%, 07/02/2019 | 325 | 327 | ||||||
PNC Bank MTN | ||||||||
2.400%, 10/18/2019 | 400 | 404 | ||||||
Pricoa Global Funding MTN | ||||||||
1.600%, 05/29/2018 (E) | 150 | 150 | ||||||
Protective Life Global Funding | ||||||||
1.722%, 04/15/2019 (E) | 870 | 867 | ||||||
Prudential Financial MTN | ||||||||
5.625%, 05/12/2041 | 10 | 12 | ||||||
Royal Bank of Canada | ||||||||
2.000%, 10/01/2018 | 183 | 183 | ||||||
1.875%, 02/05/2020 | 180 | 180 | ||||||
Santander UK Group Holdings | ||||||||
2.875%, 08/05/2021 | 200 | 201 | ||||||
Standard Chartered | ||||||||
5.700%, 03/26/2044 (E) | 600 | 705 | ||||||
State Street | ||||||||
4.956%, 03/15/2018 | 270 | 274 | ||||||
3.700%, 11/20/2023 | 138 | 147 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 165 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
3.300%, 12/16/2024 | $ | 70 | $ | 72 | ||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/2039 (E) | 14 | 19 | ||||||
4.900%, 09/15/2044 (E) | 440 | 497 | ||||||
4.270%, 05/15/2047 (E) | 145 | 150 | ||||||
Toronto-Dominion Bank MTN | ||||||||
1.750%, 07/23/2018 | 72 | 72 | ||||||
UBS MTN | ||||||||
1.800%, 03/26/2018 | 445 | 446 | ||||||
UBS Group Funding Switzerland | ||||||||
4.253%, 03/23/2028 (E) | 410 | 430 | ||||||
3.491%, 05/23/2023 (E) | 1,460 | 1,495 | ||||||
2.650%, 02/01/2022 (C)(E) | 1,045 | 1,041 | ||||||
US Bancorp MTN | ||||||||
3.150%, 04/27/2027 | 286 | 288 | ||||||
2.950%, 07/15/2022 | 25 | 25 | ||||||
US Bank | ||||||||
2.125%, 10/28/2019 | 260 | 262 | ||||||
Wachovia MTN | ||||||||
5.750%, 02/01/2018 | 3,140 | 3,183 | ||||||
Wachovia Capital Trust III | ||||||||
5.570%, VAR ICE LIBOR USD 3 Month+0.930%, 12/31/2049 | 450 | 451 | ||||||
WEA Finance | ||||||||
3.750%, 09/17/2024 (E) | 210 | 214 | ||||||
3.150%, 04/05/2022 (E) | 630 | 637 | ||||||
Wells Fargo | ||||||||
3.000%, 04/22/2026 | 920 | 904 | ||||||
3.000%, 10/23/2026 | 930 | 909 | ||||||
2.100%, 07/26/2021 | 1,550 | 1,537 | ||||||
Wells Fargo MTN | ||||||||
4.900%, 11/17/2045 | 384 | 428 | ||||||
4.750%, 12/07/2046 | 200 | 220 | ||||||
4.650%, 11/04/2044 | 1 | 1 | ||||||
4.400%, 06/14/2046 | 550 | 571 | ||||||
4.300%, 07/22/2027 (C) | 1,010 | 1,068 | ||||||
4.125%, 08/15/2023 | 900 | 953 | ||||||
3.500%, 03/08/2022 | 430 | 447 | ||||||
3.450%, 02/13/2023 | 230 | 236 | ||||||
3.000%, 01/22/2021 | 575 | 588 | ||||||
2.625%, 07/22/2022 | 1,680 | 1,683 | ||||||
2.550%, 12/07/2020 (C) | 46 | 46 | ||||||
2.150%, 01/30/2020 | 70 | 70 | ||||||
Wells Fargo Bank MTN | ||||||||
2.150%, 12/06/2019 | 1,125 | 1,131 | ||||||
1.650%, 01/22/2018 | 585 | 585 | ||||||
Westpac Banking | ||||||||
4.875%, 11/19/2019 | 170 | 180 | ||||||
|
|
| ||||||
162,709 | ||||||||
|
|
|
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Health Care — 2.8% | ||||||||
Abbott Laboratories | ||||||||
4.900%, 11/30/2046 | $ | 320 | $ | 357 | ||||
4.750%, 11/30/2036 | 90 | 99 | ||||||
3.750%, 11/30/2026 | 2,290 | 2,350 | ||||||
3.400%, 11/30/2023 | 2,165 | 2,233 | ||||||
AbbVie | ||||||||
4.500%, 05/14/2035 | 615 | 662 | ||||||
4.450%, 05/14/2046 | 615 | 647 | ||||||
3.600%, 05/14/2025 | 520 | 539 | ||||||
3.200%, 11/06/2022 (C) | 44 | 45 | ||||||
3.200%, 05/14/2026 (C) | 415 | 416 | ||||||
2.900%, 11/06/2022 (C) | 230 | 233 | ||||||
2.500%, 05/14/2020 | 910 | 921 | ||||||
1.800%, 05/14/2018 | 500 | 501 | ||||||
Actavis | ||||||||
3.250%, 10/01/2022 (C) | 13 | 13 | ||||||
Aetna | ||||||||
3.875%, 08/15/2047 | 90 | 91 | ||||||
2.800%, 06/15/2023 | 1,800 | 1,811 | ||||||
2.200%, 03/15/2019 | 180 | 181 | ||||||
Allergan Funding SCS | ||||||||
4.750%, 03/15/2045 | 14 | 15 | ||||||
4.550%, 03/15/2035 | 280 | 299 | ||||||
3.800%, 03/15/2025 | 1,140 | 1,184 | ||||||
3.450%, 03/15/2022 | 395 | 410 | ||||||
2.350%, 03/12/2018 | 500 | 501 | ||||||
Amgen | ||||||||
5.150%, 11/15/2041 | 760 | 869 | ||||||
4.663%, 06/15/2051 | 1,158 | 1,270 | ||||||
4.400%, 05/01/2045 | 512 | 542 | ||||||
3.875%, 11/15/2021 | 150 | 159 | ||||||
3.625%, 05/22/2024 | 30 | 31 | ||||||
2.125%, 05/01/2020 | 22 | 22 | ||||||
Anthem | ||||||||
4.625%, 05/15/2042 | 41 | 44 | ||||||
3.500%, 08/15/2024 | 90 | 93 | ||||||
3.125%, 05/15/2022 | 468 | 478 | ||||||
2.300%, 07/15/2018 | 65 | 65 | ||||||
1.875%, 01/15/2018 | 1,100 | 1,101 | ||||||
AstraZeneca | ||||||||
3.375%, 11/16/2025 | 500 | 508 | ||||||
Baxalta | ||||||||
3.600%, 06/23/2022 | 912 | 945 | ||||||
2.875%, 06/23/2020 | 500 | 507 | ||||||
Baylor Scott & White Holdings | ||||||||
4.185%, 11/15/2045 (C) | 1,000 | 1,052 | ||||||
Becton Dickinson | ||||||||
4.685%, 12/15/2044 (C) | 550 | 581 | ||||||
3.734%, 12/15/2024 | 70 | 72 | ||||||
3.700%, 06/06/2027 (C) | 525 | 531 | ||||||
3.363%, 06/06/2024 | 975 | 984 |
166 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.894%, 06/06/2022 | $ | 665 | $ | 667 | ||||
2.404%, 06/05/2020 | 790 | 793 | ||||||
Biogen | ||||||||
3.625%, 09/15/2022 | 170 | 179 | ||||||
Cardinal Health | ||||||||
3.079%, 06/15/2024 | 130 | 131 | ||||||
2.616%, 06/15/2022 | 100 | 100 | ||||||
Celgene | ||||||||
5.250%, 08/15/2043 | 40 | 46 | ||||||
5.000%, 08/15/2045 | 1,347 | 1,523 | ||||||
3.875%, 08/15/2025 | 260 | 274 | ||||||
3.625%, 05/15/2024 | 69 | 72 | ||||||
3.550%, 08/15/2022 | 60 | 63 | ||||||
Cigna | ||||||||
3.050%, 10/15/2027 | 740 | 730 | ||||||
Eli Lilly | ||||||||
3.950%, 05/15/2047 | 195 | 202 | ||||||
3.100%, 05/15/2027 | 435 | 438 | ||||||
2.350%, 05/15/2022 (C) | 215 | 215 | ||||||
EMD Finance | ||||||||
2.400%, 03/19/2020 (E) | 950 | 957 | ||||||
Forest Laboratories | ||||||||
5.000%, 12/15/2021 (E) | 35 | 38 | ||||||
Fresenius Medical Care US Finance II | ||||||||
6.500%, 09/15/2018 (E) | 1,250 | 1,303 | ||||||
Gilead Sciences | ||||||||
5.650%, 12/01/2041 | 35 | 44 | ||||||
4.750%, 03/01/2046 | 320 | 358 | ||||||
4.500%, 02/01/2045 | 10 | 11 | ||||||
4.150%, 03/01/2047 | 260 | 266 | ||||||
3.700%, 04/01/2024 | 220 | 232 | ||||||
3.650%, 03/01/2026 | 150 | 157 | ||||||
3.250%, 09/01/2022 | 265 | 274 | ||||||
2.950%, 03/01/2027 | 550 | 545 | ||||||
1.850%, 09/20/2019 | 280 | 280 | ||||||
GlaxoSmithKline Capital PLC | ||||||||
2.850%, 05/08/2022 | 170 | 174 | ||||||
Humana | ||||||||
7.200%, 06/15/2018 | 1,559 | 1,617 | ||||||
4.950%, 10/01/2044 | 10 | 12 | ||||||
4.800%, 03/15/2047 | 10 | 11 | ||||||
4.625%, 12/01/2042 | 40 | 43 | ||||||
3.950%, 03/15/2027 | 20 | 21 | ||||||
3.850%, 10/01/2024 | 680 | 714 | ||||||
3.150%, 12/01/2022 | 390 | 397 | ||||||
Johnson & Johnson | ||||||||
4.500%, 12/05/2043 | 250 | 287 | ||||||
3.700%, 03/01/2046 | 170 | 176 | ||||||
Kaiser Foundation Hospitals | ||||||||
3.150%, 05/01/2027 | 1,100 | 1,107 | ||||||
Laboratory Corp of America Holdings | ||||||||
3.600%, 09/01/2027 | 386 | 388 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
3.250%, 09/01/2024 | $ | 385 | $ | 386 | ||||
Medtronic | ||||||||
4.625%, 03/15/2045 | 60 | 68 | ||||||
4.375%, 03/15/2035 | 76 | 84 | ||||||
3.625%, 03/15/2024 | 590 | 622 | ||||||
3.500%, 03/15/2025 | 200 | 209 | ||||||
3.150%, 03/15/2022 | 65 | 67 | ||||||
Medtronic Global Holdings SCA | ||||||||
3.350%, 04/01/2027 | 190 | 195 | ||||||
Merck | ||||||||
2.750%, 02/10/2025 | 100 | 101 | ||||||
2.400%, 09/15/2022 | 29 | 29 | ||||||
New York and Presbyterian Hospital | ||||||||
3.563%, 08/01/2036 | 730 | 713 | ||||||
Perrigo Finance Unlimited | ||||||||
4.375%, 03/15/2026 | 300 | 311 | ||||||
3.900%, 12/15/2024 | 265 | 271 | ||||||
Pfizer | ||||||||
4.400%, 05/15/2044 | 345 | 381 | ||||||
4.000%, 12/15/2036 | 630 | 676 | ||||||
Providence St. Joseph Health Obligated Group | ||||||||
2.746%, 10/01/2026 | 500 | 480 | ||||||
Shire Acquisitions Investments Ireland | ||||||||
3.200%, 09/23/2026 (C) | 935 | 922 | ||||||
2.875%, 09/23/2023 | 795 | 790 | ||||||
1.900%, 09/23/2019 | 1,000 | 998 | ||||||
Stryker | ||||||||
4.625%, 03/15/2046 (C) | 675 | 735 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | ||||||||
1.400%, 07/20/2018 (C) | 750 | 747 | ||||||
Thermo Fisher Scientific | ||||||||
4.100%, 08/15/2047 (C) | 412 | 413 | ||||||
3.300%, 02/15/2022 | 465 | 481 | ||||||
3.200%, 08/15/2027 | 645 | 638 | ||||||
UnitedHealth Group | ||||||||
4.750%, 07/15/2045 (C) | 200 | 231 | ||||||
4.625%, 07/15/2035 | 28 | 32 | ||||||
4.250%, 04/15/2047 | 450 | 483 | ||||||
3.875%, 10/15/2020 | 180 | 189 | ||||||
3.750%, 07/15/2025 | 70 | 74 | ||||||
3.375%, 11/15/2021 | 75 | 78 | ||||||
3.350%, 07/15/2022 | 28 | 29 | ||||||
2.875%, 12/15/2021 | 655 | 672 | ||||||
2.875%, 03/15/2023 | 50 | 51 | ||||||
Wyeth LLC | ||||||||
5.950%, 04/01/2037 | 130 | 170 | ||||||
|
| |||||||
50,533 | ||||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 167 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Industrials — 1.7% | ||||||||
ABB Finance USA | ||||||||
4.375%, 05/08/2042 | $ | 30 | $ | 32 | ||||
AerCap Ireland Capital | ||||||||
4.500%, 05/15/2021 | 370 | 391 | ||||||
Air Lease | ||||||||
3.625%, 04/01/2027 | 580 | 580 | ||||||
2.625%, 07/01/2022 (C) | 920 | 914 | ||||||
Aviation Capital Group | ||||||||
6.750%, 04/06/2021 (E) | 120 | 136 | ||||||
BAE Systems | ||||||||
4.750%, 10/11/2021 (E) | 750 | 809 | ||||||
Boeing | ||||||||
4.875%, 02/15/2020 | 210 | 225 | ||||||
Burlington Northern Santa Fe | ||||||||
7.290%, 06/01/2036 | 90 | 127 | ||||||
5.750%, 03/15/2018 | 950 | 968 | ||||||
5.400%, 06/01/2041 | 50 | 62 | ||||||
4.150%, 04/01/2045 | 165 | 175 | ||||||
3.450%, 09/15/2021 | 91 | 95 | ||||||
Canadian Pacific Railway | ||||||||
6.125%, 09/15/2115 | 44 | 56 | ||||||
Caterpillar Financial Services MTN | ||||||||
2.750%, 08/20/2021 | 405 | 411 | ||||||
2.100%, 01/10/2020 | 550 | 553 | ||||||
Catholic Health Initiatives | ||||||||
4.350%, 11/01/2042 | 30 | 28 | ||||||
Cintas No. 2 | ||||||||
3.700%, 04/01/2027 | 140 | 146 | ||||||
2.900%, 04/01/2022 | 170 | 173 | ||||||
CK Hutchison International 17 | ||||||||
2.750%, 03/29/2023 (E) | 369 | 367 | ||||||
Continental Airlines Pass-Through Trust, Ser 1999-2, Cl C-2 | ||||||||
7.256%, 03/15/2020 | 95 | 101 | ||||||
Continental Airlines Pass-Through Trust, | ||||||||
8.048%, 11/01/2020 | 153 | 169 | ||||||
Continental Airlines Pass-Through Trust, | ||||||||
5.983%, 04/19/2022 | 604 | 664 | ||||||
Continental Airlines Pass-Through Trust, | ||||||||
7.250%, 11/10/2019 | 130 | 143 | ||||||
CSX | ||||||||
3.950%, 05/01/2050 | 21 | 20 | ||||||
Delta Air Lines Pass-Through Trust, | ||||||||
6.821%, 08/10/2022 | 97 | 112 | ||||||
Delta Air Lines Pass-Through Trust, | ||||||||
6.200%, 07/02/2018 | 235 | 242 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Eaton | ||||||||
7.625%, 04/01/2024 | $ | 75 | $ | 90 | ||||
4.150%, 11/02/2042 | 110 | 110 | ||||||
2.750%, 11/02/2022 | 450 | 453 | ||||||
1.500%, 11/02/2017 | 60 | 60 | ||||||
FedEx | ||||||||
4.550%, 04/01/2046 (C) | 560 | 597 | ||||||
4.400%, 01/15/2047 | 258 | 268 | ||||||
GE Capital International Funding | ||||||||
4.418%, 11/15/2035 | 1,081 | 1,176 | ||||||
2.342%, 11/15/2020 | 695 | 702 | ||||||
General Dynamics | ||||||||
2.625%, 11/15/2027 | 520 | 503 | ||||||
General Electric | ||||||||
4.500%, 03/11/2044 | 635 | 711 | ||||||
2.100%, 12/11/2019 | 30 | 30 | ||||||
General Electric MTN | ||||||||
6.875%, 01/10/2039 | 205 | 300 | ||||||
6.150%, 08/07/2037 | 254 | 337 | ||||||
6.000%, 08/07/2019 | 185 | 199 | ||||||
5.875%, 01/14/2038 | 209 | 274 | ||||||
5.500%, 01/08/2020 | 180 | 194 | ||||||
5.300%, 02/11/2021 | 109 | 120 | ||||||
4.650%, 10/17/2021 | 140 | 153 | ||||||
4.625%, 01/07/2021 | 135 | 146 | ||||||
4.375%, 09/16/2020 | 10 | 11 | ||||||
2.200%, 01/09/2020 | 43 | 43 | ||||||
1.795%, VAR ICE LIBOR USD 3 Month+0.480%, 08/15/2036 | 850 | 757 | ||||||
Illinois Tool Works | ||||||||
2.650%, 11/15/2026 | 280 | 273 | ||||||
International Lease Finance | ||||||||
8.625%, 01/15/2022 | 170 | 208 | ||||||
John Deere Capital MTN | ||||||||
2.800%, 09/08/2027 | 563 | 553 | ||||||
2.150%, 09/08/2022 | 450 | 446 | ||||||
Lockheed Martin | ||||||||
4.070%, 12/15/2042 | 91 | 93 | ||||||
3.550%, 01/15/2026 | 880 | 908 | ||||||
3.350%, 09/15/2021 | 575 | 598 | ||||||
Mexico City Airport Trust | ||||||||
5.500%, 10/31/2046 (E) | 680 | 694 | ||||||
5.500%, 07/31/2047 (E) | 405 | 410 | ||||||
3.875%, 04/30/2028 (C)(E) | 370 | 369 | ||||||
Northrop Grumman | ||||||||
3.850%, 04/15/2045 (C) | 231 | 225 | ||||||
3.250%, 08/01/2023 | 1,625 | 1,675 | ||||||
3.200%, 02/01/2027 | 795 | 800 | ||||||
Penske Truck Leasing L.P. | ||||||||
3.400%, 11/15/2026 (C)(E) | 680 | 672 | ||||||
3.375%, 02/01/2022 (E) | 431 | 442 | ||||||
2.700%, 03/14/2023 (E) | 586 | 581 |
168 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Republic Services | ||||||||
3.800%, 05/15/2018 | $ | 1,000 | $ | 1,013 | ||||
Siemens Financieringsmaatschappij | ||||||||
2.900%, 05/27/2022 (E) | 1,050 | 1,073 | ||||||
2.350%, 10/15/2026 (E) | 555 | 523 | ||||||
2.200%, 03/16/2020 (E) | 790 | 798 | ||||||
Union Pacific | ||||||||
3.000%, 04/15/2027 | 635 | 639 | ||||||
United Technologies | ||||||||
8.875%, 11/15/2019 | 110 | 125 | ||||||
4.150%, 05/15/2045 | 59 | 61 | ||||||
3.750%, 11/01/2046 (C) | 685 | 661 | ||||||
1.950%, 11/01/2021 | 85 | 84 | ||||||
0.000%, 05/04/2018 (F) | 850 | 850 | ||||||
US Airways Pass-Through Trust, Ser 1998-1A | ||||||||
6.850%, 01/30/2018 | 117 | 119 | ||||||
Valmont Industries | ||||||||
5.250%, 10/01/2054 | 335 | 328 | ||||||
Wabtec | ||||||||
3.450%, 11/15/2026 | 530 | 521 | ||||||
Waste Management | ||||||||
4.600%, 03/01/2021 | 90 | 97 | ||||||
3.500%, 05/15/2024 | 90 | 93 | ||||||
30,865 | ||||||||
Information Technology — 1.6% |
| |||||||
Analog Devices | ||||||||
3.500%, 12/05/2026 | 405 | 409 | ||||||
3.125%, 12/05/2023 | 540 | 548 | ||||||
2.500%, 12/05/2021 | 495 | 496 | ||||||
Apple | ||||||||
4.650%, 02/23/2046 | 270 | 306 | ||||||
4.375%, 05/13/2045 | 390 | 424 | ||||||
4.250%, 02/09/2047 | 45 | 48 | ||||||
3.850%, 05/04/2043 | 740 | 745 | ||||||
3.450%, 02/09/2045 (C) | 31 | 29 | ||||||
3.350%, 02/09/2027 (C) | 660 | 680 | ||||||
3.200%, 05/13/2025 | 64 | 66 | ||||||
3.200%, 05/11/2027 | 665 | 677 | ||||||
3.000%, 02/09/2024 | 875 | 897 | ||||||
2.850%, 05/06/2021 | 113 | 116 | ||||||
2.850%, 05/11/2024 | 990 | 1,002 | ||||||
2.700%, 05/13/2022 | 505 | 515 | ||||||
2.450%, 08/04/2026 | 730 | 704 | ||||||
2.300%, 05/11/2022 | 2,240 | 2,249 | ||||||
2.150%, 02/09/2022 | 82 | 82 | ||||||
1.800%, 05/11/2020 | 1,065 | 1,065 | ||||||
1.561%, VAR ICE LIBOR USD 3 Month+0.250%, 05/03/2018 | 69 | 69 | ||||||
Cisco Systems | ||||||||
1.850%, 09/20/2021 | 835 | 826 | ||||||
1.400%, 09/20/2019 | 1,375 | 1,368 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Dell International | ||||||||
4.420%, 06/15/2021 (E) | $ | 640 | $ | 672 | ||||
3.480%, 06/01/2019 (E) | 500 | 510 | ||||||
Fidelity National Information Services | ||||||||
3.625%, 10/15/2020 | 310 | 323 | ||||||
2.850%, 10/15/2018 | 690 | 698 | ||||||
2.250%, 08/15/2021 | 395 | 392 | ||||||
Harris | ||||||||
5.054%, 04/27/2045 | 80 | 92 | ||||||
4.854%, 04/27/2035 | 80 | 88 | ||||||
Hewlett Packard Enterprise | ||||||||
6.350%, 10/15/2045 | 590 | 625 | ||||||
4.900%, 10/15/2025 (C) | 225 | 238 | ||||||
Intel | ||||||||
3.700%, 07/29/2025 | 83 | 88 | ||||||
3.300%, 10/01/2021 | 35 | 37 | ||||||
3.100%, 07/29/2022 | 35 | 36 | ||||||
Mastercard | ||||||||
3.375%, 04/01/2024 | 250 | 261 | ||||||
Microsoft | ||||||||
4.750%, 11/03/2055 | 43 | 51 | ||||||
4.500%, 02/06/2057 | 110 | 124 | ||||||
4.100%, 02/06/2037 (C) | 556 | 603 | ||||||
4.000%, 02/12/2055 (C) | 24 | 25 | ||||||
3.950%, 08/08/2056 | 140 | 144 | ||||||
3.750%, 02/12/2045 | 330 | 335 | ||||||
3.700%, 08/08/2046 | 660 | 666 | ||||||
3.625%, 12/15/2023 | 89 | 95 | ||||||
3.500%, 02/12/2035 | 452 | 460 | ||||||
3.450%, 08/08/2036 (C) | 235 | 237 | ||||||
3.300%, 02/06/2027 | 550 | 569 | ||||||
2.875%, 02/06/2024 | 1,150 | 1,175 | ||||||
2.700%, 02/12/2025 | 90 | 91 | ||||||
2.400%, 02/06/2022 | 885 | 895 | ||||||
2.400%, 08/08/2026 | 480 | 464 | ||||||
2.375%, 02/12/2022 | 20 | 20 | ||||||
2.375%, 05/01/2023 | 20 | 20 | ||||||
2.000%, 08/08/2023 | 595 | 583 | ||||||
Oracle | ||||||||
3.900%, 05/15/2035 | 1,375 | 1,442 | ||||||
1.200%, 10/15/2017 | 250 | 250 | ||||||
TSMC Global | ||||||||
1.625%, 04/03/2018 (E) | 460 | 459 | ||||||
Visa | ||||||||
4.300%, 12/14/2045 | 120 | 133 | ||||||
3.650%, 09/15/2047 | 460 | 457 | ||||||
3.150%, 12/14/2025 | 360 | 369 | ||||||
2.800%, 12/14/2022 | 295 | 302 | ||||||
2.200%, 12/14/2020 | 80 | 81 | ||||||
VMware | ||||||||
3.900%, 08/21/2027 | 385 | 389 | ||||||
2.950%, 08/21/2022 | 645 | 649 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 169 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.300%, 08/21/2020 | $ | 775 | $ | 777 | ||||
|
|
| ||||||
29,246 | ||||||||
Materials — 0.8% |
| |||||||
Air Liquide Finance | ||||||||
2.250%, 09/27/2023 (E) | 265 | 256 | ||||||
Amcor Finance USA | ||||||||
3.625%, 04/28/2026 (E) | 1,375 | 1,365 | ||||||
Anglo American Capital | ||||||||
3.625%, 09/11/2024 (E) | 510 | 509 | ||||||
Barrick | ||||||||
5.250%, 04/01/2042 | 10 | 11 | ||||||
Barrick North America Finance | ||||||||
5.750%, 05/01/2043 | 170 | 206 | ||||||
5.700%, 05/30/2041 | 565 | 674 | ||||||
BHP Billiton Finance USA | ||||||||
6.750%, VAR USD Swap Semi 30/360 5 Year Curr+5.093%, 10/19/2075 (E) | 210 | 247 | ||||||
5.000%, 09/30/2043 (C) | 375 | 443 | ||||||
4.125%, 02/24/2042 | 40 | 42 | ||||||
2.875%, 02/24/2022 | 15 | 15 | ||||||
Celulosa Arauco y Constitucion | ||||||||
4.750%, 01/11/2022 | 60 | 63 | ||||||
CF Industries | ||||||||
4.500%, 12/01/2026 (E) | 375 | 393 | ||||||
3.400%, 12/01/2021 (E) | 480 | 489 | ||||||
Dow Chemical | ||||||||
5.250%, 11/15/2041 | 25 | 28 | ||||||
3.000%, 11/15/2022 | 1,320 | 1,345 | ||||||
Eastman Chemical | ||||||||
2.700%, 01/15/2020 | 805 | 815 | ||||||
EI du Pont de Nemours | ||||||||
2.200%, 05/01/2020 | 320 | 322 | ||||||
Equate Petrochemical BV MTN | ||||||||
4.250%, 11/03/2026 (E) | 370 | 380 | ||||||
Freeport-McMoRan | ||||||||
4.000%, 11/14/2021 | 280 | 281 | ||||||
Glencore Finance Canada | ||||||||
2.700%, 10/25/2017 (E) | 250 | 250 | ||||||
Glencore Funding | ||||||||
4.125%, 05/30/2023 (E) | 200 | 208 | ||||||
4.000%, 03/27/2027 (E) | 220 | 221 | ||||||
International Paper | ||||||||
5.150%, 05/15/2046 | 535 | 599 | ||||||
5.000%, 09/15/2035 | 215 | 238 | ||||||
Nacional del Cobre de Chile | ||||||||
4.500%, 08/01/2047 (E) | 275 | 279 | ||||||
3.625%, 08/01/2027 (E) | 1,065 | 1,061 | ||||||
OCP | ||||||||
4.500%, 10/22/2025 (E) | 290 | 292 | ||||||
Sherwin-Williams | ||||||||
3.450%, 06/01/2027 | 226 | 227 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.750%, 06/01/2022 (C) | $ | 584 | $ | 588 | ||||
Southern Copper | ||||||||
5.250%, 11/08/2042 | 1,130 | 1,196 | ||||||
Teck Resources | ||||||||
6.250%, 07/15/2041 | 5 | 6 | ||||||
Vale Overseas | ||||||||
6.875%, 11/21/2036 | 310 | 355 | ||||||
6.250%, 08/10/2026 (C) | 1,140 | 1,293 | ||||||
Vulcan Materials | ||||||||
4.500%, 06/15/2047 | 260 | 264 | ||||||
|
|
| ||||||
14,961 | ||||||||
|
|
| ||||||
Real Estate — 0.8% |
| |||||||
Alexandria Real Estate Equities | ||||||||
3.950%, 01/15/2027 | 750 | 765 | ||||||
2.750%, 01/15/2020 | 591 | 597 | ||||||
Boston Properties | ||||||||
5.625%, 11/15/2020 | 450 | 493 | ||||||
DDR | ||||||||
4.625%, 07/15/2022 | 665 | 705 | ||||||
3.375%, 05/15/2023 | 605 | 597 | ||||||
Digital Realty Trust | ||||||||
3.700%, 08/15/2027 | 385 | 389 | ||||||
2.750%, 02/01/2023 | 180 | 179 | ||||||
Duke Realty | ||||||||
4.375%, 06/15/2022 | 50 | 53 | ||||||
Education Realty Operating Partnership | ||||||||
4.600%, 12/01/2024 | 505 | 521 | ||||||
ERP Operating | ||||||||
4.625%, 12/15/2021 | 64 | 69 | ||||||
HCP | ||||||||
4.250%, 11/15/2023 | 580 | 616 | ||||||
4.000%, 12/01/2022 | 450 | 474 | ||||||
2.625%, 02/01/2020 | 28 | 28 | ||||||
Healthcare Realty Trust | ||||||||
3.875%, 05/01/2025 | 200 | 201 | ||||||
3.750%, 04/15/2023 | 400 | 407 | ||||||
Mid-America Apartments | ||||||||
4.300%, 10/15/2023 | 250 | 265 | ||||||
4.000%, 11/15/2025 | 300 | 312 | ||||||
3.750%, 06/15/2024 | 585 | 603 | ||||||
3.600%, 06/01/2027 | 370 | 372 | ||||||
Public Storage | ||||||||
3.094%, 09/15/2027 | 1,258 | 1,254 | ||||||
2.370%, 09/15/2022 | 1,784 | 1,782 | ||||||
Realty Income | ||||||||
3.250%, 10/15/2022 | 70 | 72 | ||||||
Regency Centers | ||||||||
3.600%, 02/01/2027 | 238 | 238 | ||||||
Simon Property Group | ||||||||
4.375%, 03/01/2021 | 38 | 40 |
170 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description |
Face Amount |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Tanger Properties | ||||||||
3.875%, 12/01/2023 | $ | 315 | $ | 320 | ||||
3.750%, 12/01/2024 | 295 | 296 | ||||||
Ventas Realty | ||||||||
4.125%, 01/15/2026 | 29 | 30 | ||||||
3.850%, 04/01/2027 | 500 | 509 | ||||||
2.000%, 02/15/2018 | 804 | 805 | ||||||
Washington Prime Group | ||||||||
5.950%, 08/15/2024 | 225 | 229 | ||||||
Welltower | ||||||||
6.125%, 04/15/2020 | 525 | 576 | ||||||
4.500%, 01/15/2024 | 102 | 109 | ||||||
|
| |||||||
13,906 | ||||||||
|
| |||||||
Telecommunication Services — 1.5% |
| |||||||
America Movil | ||||||||
5.625%, 11/15/2017 | 540 | 543 | ||||||
AT&T | ||||||||
6.000%, 08/15/2040 | 925 | 1,042 | ||||||
5.800%, 02/15/2019 | 210 | 221 | ||||||
5.500%, 02/01/2018 | 100 | 101 | ||||||
5.450%, 03/01/2047 | 560 | 592 | ||||||
5.300%, 08/14/2058 | 283 | 286 | ||||||
5.250%, 03/01/2037 | 1,645 | 1,731 | ||||||
5.150%, 03/15/2042 | 25 | 25 | ||||||
5.150%, 02/14/2050 | 258 | 259 | ||||||
4.900%, 08/14/2037 | 580 | 586 | ||||||
4.800%, 06/15/2044 | 240 | 234 | ||||||
4.750%, 05/15/2046 | 845 | 813 | ||||||
4.500%, 03/09/2048 | 345 | 318 | ||||||
4.450%, 04/01/2024 | 645 | 684 | ||||||
4.350%, 06/15/2045 | 735 | 675 | ||||||
4.250%, 03/01/2027 | 200 | 206 | ||||||
4.125%, 02/17/2026 | 500 | 513 | ||||||
3.950%, 01/15/2025 | 275 | 283 | ||||||
3.900%, 08/14/2027 | 1,232 | 1,234 | ||||||
3.875%, 08/15/2021 | 70 | 73 | ||||||
3.800%, 03/15/2022 | 400 | 417 | ||||||
3.400%, 08/14/2024 | 380 | 381 | ||||||
3.400%, 05/15/2025 | 3,019 | 2,978 | ||||||
3.000%, 06/30/2022 | 180 | 182 | ||||||
Bharti Airtel | ||||||||
4.375%, 06/10/2025 (E) | 200 | 203 | ||||||
British Telecommunications | ||||||||
5.950%, 01/15/2018 | 200 | 202 | ||||||
Sprint Spectrum | ||||||||
3.360%, 09/20/2021 (E) | 1,740 | 1,766 | ||||||
Telefonica Emisiones | ||||||||
5.462%, 02/16/2021 | 23 | 25 | ||||||
5.134%, 04/27/2020 | 362 | 388 | ||||||
Telefonica Emisiones SAU | ||||||||
5.213%, 03/08/2047 (C) | 345 | 380 |
Description |
Face Amount |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Verizon Communications | ||||||||
5.500%, 03/16/2047 | $ | 60 | $ | 67 | ||||
5.250%, 03/16/2037 | 830 | 910 | ||||||
5.150%, 09/15/2023 (C) | 330 | 370 | ||||||
5.012%, 08/21/2054 | 231 | 232 | ||||||
4.862%, 08/21/2046 | 500 | 507 | ||||||
4.522%, 09/15/2048 (C) | 1,130 | 1,094 | ||||||
4.500%, 08/10/2033 | 430 | 440 | ||||||
4.400%, 11/01/2034 | 1,787 | 1,788 | ||||||
4.272%, 01/15/2036 | 815 | 801 | ||||||
4.125%, 03/16/2027 (C) | 705 | 736 | ||||||
4.125%, 08/15/2046 | 1,130 | 1,027 | ||||||
3.850%, 11/01/2042 | 750 | 664 | ||||||
3.376%, 02/15/2025 (E) | 218 | 219 | ||||||
2.946%, 03/15/2022 | 455 | 463 | ||||||
2.625%, 08/15/2026 | 90 | 84 | ||||||
Vodafone Group PLC | ||||||||
2.950%, 02/19/2023 | 540 | 548 | ||||||
|
| |||||||
27,291 | ||||||||
|
| |||||||
Utilities — 2.0% |
| |||||||
AEP Texas | ||||||||
6.650%, 02/15/2033 | 500 | 633 | ||||||
AEP Texas Central Transition Funding II | ||||||||
5.170%, 01/01/2018 | 126 | 127 | ||||||
Alabama Power | ||||||||
2.450%, 03/30/2022 | 575 | 575 | ||||||
American Electric Power | ||||||||
1.650%, 12/15/2017 | 423 | 423 | ||||||
Appalachian Power | ||||||||
3.300%, 06/01/2027 | 365 | 369 | ||||||
Arizona Public Service | ||||||||
2.200%, 01/15/2020 | 20 | 20 | ||||||
Baltimore Gas & Electric | ||||||||
3.750%, 08/15/2047 (C) | 450 | 448 | ||||||
Berkshire Hathaway Energy | ||||||||
6.500%, 09/15/2037 | 850 | 1,136 | ||||||
3.750%, 11/15/2023 | 156 | 164 | ||||||
Boston Gas | ||||||||
4.487%, 02/15/2042 (E) | 35 | 38 | ||||||
Carolina Power & Light | ||||||||
5.300%, 01/15/2019 | 175 | 183 | ||||||
3.000%, 09/15/2021 | 194 | 199 | ||||||
2.800%, 05/15/2022 | 25 | 26 | ||||||
Cleco Power | ||||||||
6.000%, 12/01/2040 | 700 | 861 | ||||||
Comision Federal de Electricidad | ||||||||
4.750%, 02/23/2027 (E) | 240 | 253 | ||||||
Commonwealth Edison | ||||||||
3.750%, 08/15/2047 | 153 | 153 | ||||||
2.950%, 08/15/2027 | 520 | 518 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 171 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Fixed Income Fund (Continued)
Description |
Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Consolidated Edison of New York | ||||||||
4.450%, 03/15/2044 | $ | 690 | $ | 765 | ||||
Dominion Energy | ||||||||
2.500%, 12/01/2019 | 385 | 388 | ||||||
2.000%, 08/15/2021 | 340 | 335 | ||||||
1.600%, 08/15/2019 | 455 | 452 | ||||||
DTE Energy | ||||||||
1.500%, 10/01/2019 | 395 | 389 | ||||||
Duke Energy | ||||||||
3.550%, 09/15/2021 | 76 | 79 | ||||||
3.150%, 08/15/2027 (C) | 653 | 647 | ||||||
2.400%, 08/15/2022 | 340 | 338 | ||||||
1.800%, 09/01/2021 | 515 | 505 | ||||||
Duke Energy Carolinas | ||||||||
4.300%, 06/15/2020 | 39 | 41 | ||||||
4.250%, 12/15/2041 | 28 | 31 | ||||||
3.875%, 03/15/2046 | 240 | 246 | ||||||
3.750%, 06/01/2045 | 680 | 684 | ||||||
2.500%, 03/15/2023 | 380 | 382 | ||||||
Duke Energy Florida | ||||||||
3.850%, 11/15/2042 | 215 | 218 | ||||||
3.400%, 10/01/2046 | 225 | 212 | ||||||
3.200%, 01/15/2027 | 445 | 450 | ||||||
Duke Energy Indiana | ||||||||
4.200%, 03/15/2042 | 30 | 31 | ||||||
3.750%, 07/15/2020 | 52 | 55 | ||||||
Duke Energy Progress | ||||||||
4.100%, 05/15/2042 | 425 | 445 | ||||||
Duquesne Light Holdings | ||||||||
6.400%, 09/15/2020 (E) | 500 | 556 | ||||||
3.616%, 08/01/2027 (E) | 655 | 650 | ||||||
Electricite de France | ||||||||
6.000%, 01/22/2114 (E) | 300 | 334 | ||||||
Enel Finance International | ||||||||
2.875%, 05/25/2022 (E) | 1,140 | 1,147 | ||||||
Entergy | ||||||||
5.125%, 09/15/2020 | 400 | 428 | ||||||
Exelon | ||||||||
3.950%, 06/15/2025 | 375 | 392 | ||||||
FirstEnergy | ||||||||
4.250%, 03/15/2023 | 340 | 360 | ||||||
3.900%, 07/15/2027 | 310 | 315 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/2031 | 480 | 639 | ||||||
Georgia Power | ||||||||
4.300%, 03/15/2042 | 115 | 120 | ||||||
Indiana Michigan Power | ||||||||
4.550%, 03/15/2046 | 565 | 628 | ||||||
ITC Holdings | ||||||||
3.650%, 06/15/2024 | 633 | 651 | ||||||
Jersey Central Power & Light | ||||||||
7.350%, 02/01/2019 | 100 | 107 |
Description |
Face Amount |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
4.700%, 04/01/2024 (E) | $ | 700 | $ | 760 | ||||
Kansas City Power & Light | ||||||||
5.300%, 10/01/2041 | 100 | 117 | ||||||
KeySpan Gas East | ||||||||
2.742%, 08/15/2026 (E) | 350 | 340 | ||||||
Metropolitan Edison | ||||||||
3.500%, 03/15/2023 (E) | 350 | 360 | ||||||
MidAmerican Energy | ||||||||
4.800%, 09/15/2043 | 320 | 372 | ||||||
4.250%, 05/01/2046 | 200 | 214 | ||||||
NextEra Energy Capital Holdings | ||||||||
2.300%, 04/01/2019 | 500 | 503 | ||||||
NiSource Finance | ||||||||
5.800%, 02/01/2042 | 149 | 178 | ||||||
3.950%, 03/30/2048 | 136 | 134 | ||||||
Northern States Power | ||||||||
3.600%, 09/15/2047 | 565 | 557 | ||||||
Oklahoma Gas & Electric | ||||||||
4.150%, 04/01/2047 | 475 | 503 | ||||||
Oncor Electric Delivery | ||||||||
5.250%, 09/30/2040 | 250 | 301 | ||||||
Oncor Electric Delivery LLC | ||||||||
6.800%, 09/01/2018 (C) | 460 | 481 | ||||||
Pacific Gas & Electric | ||||||||
8.250%, 10/15/2018 | 180 | 192 | ||||||
6.050%, 03/01/2034 | 530 | 690 | ||||||
5.800%, 03/01/2037 | 70 | 89 | ||||||
5.625%, 11/30/2017 | 525 | 529 | ||||||
5.400%, 01/15/2040 | 42 | 52 | ||||||
4.500%, 12/15/2041 | 48 | 52 | ||||||
4.450%, 04/15/2042 | 390 | 430 | ||||||
3.250%, 09/15/2021 | 12 | 12 | ||||||
PECO Energy | ||||||||
4.150%, 10/01/2044 | 930 | 989 | ||||||
3.150%, 10/15/2025 | 605 | 614 | ||||||
Pennsylvania Electric | ||||||||
5.200%, 04/01/2020 | 200 | 212 | ||||||
Perusahaan Listrik Negara MTN | ||||||||
4.125%, 05/15/2027 (E) | 670 | 670 | ||||||
PPL Electric Utilities | ||||||||
4.150%, 10/01/2045 | 400 | 426 | ||||||
Progress Energy | ||||||||
3.150%, 04/01/2022 | 280 | 285 | ||||||
Public Service of New Hampshire | ||||||||
3.500%, 11/01/2023 | 205 | 214 | ||||||
Sierra Pacific Power | ||||||||
2.600%, 05/01/2026 | 530 | 512 | ||||||
Southern | ||||||||
4.400%, 07/01/2046 | 315 | 326 | ||||||
2.150%, 09/01/2019 | 855 | 857 | ||||||
Southern California Edison | ||||||||
4.050%, 03/15/2042 | 5 | 5 |
172 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
3.500%, 10/01/2023 | $ | 205 | $ | 216 | ||||
Southern Gas Capital | ||||||||
2.450%, 10/01/2023 | 345 | 337 | ||||||
Southwestern Electric Power | ||||||||
5.875%, 03/01/2018 | 345 | 351 | ||||||
3.900%, 04/01/2045 | 160 | 160 | ||||||
Southwestern Public Service | ||||||||
3.700%, 08/15/2047 | 340 | 338 | ||||||
SP PowerAssets MTN | ||||||||
3.000%, 09/26/2027 (E) | 279 | 278 | ||||||
Texas-New Mexico Power | ||||||||
9.500%, 04/01/2019 (E) | 1,100 | 1,216 | ||||||
Virginia Electric & Power | ||||||||
4.650%, 08/15/2043 | 630 | 703 | ||||||
2.950%, 01/15/2022 | 330 | 337 | ||||||
2.950%, 11/15/2026 | 335 | 333 | ||||||
West Penn Power | ||||||||
5.950%, 12/15/2017 (E) | 500 | 504 | ||||||
35,895 | ||||||||
Total Corporate Obligations | 488,038 | |||||||
ASSET-BACKED SECURITIES — 8.1% |
| |||||||
Automotive — 1.1% |
| |||||||
Ally Auto Receivables Trust, Ser 2015-1, Cl A3 | ||||||||
1.390%, 09/16/2019 | 197 | 197 | ||||||
Ally Auto Receivables Trust, Ser 2016-3, Cl A2 | ||||||||
1.190%, 12/17/2018 | 95 | 95 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2014-2A, Cl A | ||||||||
2.500%, 02/20/2021 (E) | 1,591 | 1,595 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2017-1A, Cl A | ||||||||
3.070%, 09/20/2023 (E) | 999 | 1,007 | ||||||
Bank of The West Auto Trust, Ser 2014-1, Cl A3 | ||||||||
1.090%, 03/15/2019 (E) | 3 | 3 | ||||||
California Republic Auto Receivables Trust, Ser 2016-1, Cl A4 | ||||||||
2.240%, 10/15/2021 | 970 | 975 | ||||||
California Republic Auto Receivables Trust, Ser 2017-1, Cl A3 | ||||||||
1.900%, 03/15/2021 | 550 | 550 | ||||||
California Republic Auto Receivables Trust, Ser 2017-1, Cl A4 | ||||||||
2.280%, 06/15/2022 | 252 | 253 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-4, Cl A2 | ||||||||
1.620%, 03/20/2019 | 119 | 119 |
Description |
Face Amount |
Market Value | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Capital Auto Receivables Asset Trust, | ||||||||
2.010%, 07/20/2020 | $ | 201 | $ | 202 | ||||
Capital Auto Receivables Asset Trust, | ||||||||
1.980%, 10/20/2020 | 260 | 261 | ||||||
Capital Auto Receivables Asset Trust, | ||||||||
1.320%, 01/22/2019 | 31 | 31 | ||||||
Capital Auto Receivables Asset Trust, | ||||||||
1.360%, 04/22/2019 | 98 | 98 | ||||||
Capital Auto Receivables Asset Trust, | ||||||||
1.690%, 03/20/2021 | 218 | 217 | ||||||
Enterprise Fleet Financing, Ser 2017-2, Cl A3 | ||||||||
2.220%, 01/20/2023 (E) | 694 | 694 | ||||||
Flagship Credit Auto Trust, Ser 2016-3, Cl A2 | ||||||||
2.050%, 11/15/2020 (E) | 295 | 295 | ||||||
Ford Credit Auto Owner Trust, Ser 2014-1, Cl A | ||||||||
2.260%, 11/15/2025 (E) | 610 | 614 | ||||||
Ford Credit Auto Owner Trust, Ser 2015-1, Cl A | ||||||||
2.120%, 07/15/2026 (E) | 675 | 678 | ||||||
Ford Credit Auto Owner Trust, Ser 2017-2, Cl A | ||||||||
2.360%, 03/15/2029 (E) | 2,308 | 2,296 | ||||||
Hertz Vehicle Financing, Ser 2013-1A, Cl A2 | ||||||||
1.830%, 08/25/2019 (E) | 625 | 623 | ||||||
Hertz Vehicle Financing, Ser 2015-1A, Cl A | ||||||||
2.730%, 03/25/2021 (E) | 1,610 | 1,611 | ||||||
Hertz Vehicle Financing, Ser 2015-3A, Cl A | ||||||||
2.670%, 09/25/2021 (E) | 1,158 | 1,148 | ||||||
Hertz Vehicle Financing, Ser 2016-2A, Cl A | ||||||||
2.950%, 03/25/2022 (E) | 604 | 602 | ||||||
Hertz Vehicle Financing, Ser 2016-3A, Cl A | ||||||||
2.270%, 07/25/2020 (E) | 573 | 570 | ||||||
Hertz Vehicle Financing, Ser 2016-3A, Cl B | ||||||||
3.110%, 07/25/2020 (E) | 254 | 252 | ||||||
Hertz Vehicle Financing, Ser 2016-4A, Cl A | ||||||||
2.650%, 07/25/2022 (E) | 811 | 799 | ||||||
Hertz Vehicle Financing, Ser 2017-1A, Cl A | ||||||||
2.960%, 10/25/2021 (E) | 1,240 | 1,234 | ||||||
Honda Auto Receivables Owner Trust, Ser 2016-2, Cl A2 | ||||||||
1.130%, 09/17/2018 | 156 | 156 | ||||||
Mercedes-Benz Auto Lease Trust, | ||||||||
1.790%, 04/15/2020 | 1,925 | 1,927 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
0.870%, 11/15/2018 | 20 | 20 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 173 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Fixed Income Fund (Continued)
Description |
Face Amount |
Market Value | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Nissan Auto Receivables Owner Trust, | ||||||||
1.070%, 05/15/2019 | $ | 137 | $ | 137 | ||||
Santander Drive Auto Receivables Trust, | ||||||||
1.870%, 06/15/2021 | 552 | 551 | ||||||
TCF Auto Receivables Owner Trust, | ||||||||
1.710%, 04/15/2021 (E) | 201 | 200 | ||||||
TCF Auto Receivables Owner Trust, | ||||||||
2.030%, 02/15/2022 (E) | 150 | 149 | ||||||
TCF Auto Receivables Owner Trust, | ||||||||
1.930%, 06/15/2022 (E) | 136 | 136 | ||||||
World Omni Auto Receivables Trust, | ||||||||
1.680%, 12/15/2020 | 251 | 251 | ||||||
|
| |||||||
20,546 | ||||||||
|
| |||||||
Credit Cards — 0.5% |
| |||||||
American Express Credit Account Master | ||||||||
1.640%, 12/15/2021 | 745 | 744 | ||||||
Barclays Dryrock Issuance Trust, Ser 2017-2, Cl A | ||||||||
1.534%, VAR LIBOR USD 1 Month+0.300%, 05/15/2023 | 647 | 648 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2015-A1, Cl A1 | ||||||||
1.390%, 01/15/2021 | 52 | 52 | ||||||
Chase Issuance Trust, Ser 2014-A7, Cl A7 | ||||||||
1.380%, 11/15/2019 | 1,015 | 1,015 | ||||||
Chase Issuance Trust, | ||||||||
1.100%, 01/15/2020 | 100 | 100 | ||||||
Synchrony Credit Card Master Note Trust, | ||||||||
1.610%, 11/15/2020 | 446 | 446 | ||||||
Synchrony Credit Card Master Note Trust, | ||||||||
2.370%, 03/15/2023 | 351 | 354 | ||||||
Synchrony Credit Card Master Note Trust, | ||||||||
2.380%, 09/15/2023 | 596 | 601 | ||||||
Synchrony Credit Card Master Note Trust, | ||||||||
2.210%, 05/15/2024 | 586 | 585 | ||||||
Synchrony Credit Card Master Note Trust, | ||||||||
1.580%, 09/15/2022 | 255 | 253 | ||||||
Synchrony Credit Card Master Note Trust, | ||||||||
1.930%, 06/15/2023 | 664 | 661 |
Description |
Face Amount |
Market Value | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
World Financial Network Credit Card Master | ||||||||
1.540%, 08/16/2021 | $ | 87 | $ | 87 | ||||
World Financial Network Credit Card Master | ||||||||
2.550%, 06/17/2024 | 53 | 54 | ||||||
World Financial Network Credit Card Master | ||||||||
2.030%, 04/15/2025 | 1,501 | 1,484 | ||||||
World Financial Network Credit Card Master | ||||||||
1.720%, 08/15/2023 | 538 | 535 | ||||||
World Financial Network Credit Card Master | ||||||||
2.120%, 03/15/2024 | 844 | 844 | ||||||
|
| |||||||
8,463 | ||||||||
|
| |||||||
Mortgage Related Securities — 0.6% |
| |||||||
ACE Securities Home Equity Loan Trust, | ||||||||
1.457%, VAR ICE LIBOR USD 1 Month+0.220%, 12/25/2035 | 1,118 | 1,116 | ||||||
Aegis Asset-Backed Securities Trust, | ||||||||
2.287%, VAR ICE LIBOR USD 1 Month+1.050%, 01/25/2034 | 505 | 469 | ||||||
Aegis Asset-Backed Securities Trust, | ||||||||
1.487%, VAR ICE LIBOR USD 1 Month+0.250%, 12/25/2035 | 1,362 | 1,357 | ||||||
Ameriquest Mortgage Security Asset-Backed Pass-Through Certificates, Ser 2003-9, Cl AV1 | ||||||||
1.997%, VAR ICE LIBOR USD 1 Month+0.760%, 09/25/2033 | 129 | 129 | ||||||
Argent Securities, Ser 2003-W5, Cl M1 | ||||||||
2.287%, VAR ICE LIBOR USD 1 Month+1.050%, 10/25/2033 | 235 | 236 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2004-HE10, Cl M1 | ||||||||
2.212%, VAR ICE LIBOR USD 1 Month+0.975%, 12/25/2034 | 429 | 422 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2005-SD1, Cl 1A3 | ||||||||
2.037%, VAR ICE LIBOR USD 1 Month+0.800%, 08/25/2043 | 19 | 19 | ||||||
Citifinancial Mortgage Securities, Ser 2004-1, Cl AF4 | ||||||||
5.070%, 04/25/2034 | 370 | 380 | ||||||
HSBC Home Equity Loan Trust, Ser 2007-3, Cl APT | ||||||||
2.436%, VAR LIBOR USD 1 Month+1.200%, 11/20/2036 | 15 | 15 |
174 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description |
Face Amount |
Market Value | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Morgan Stanley ABS Capital I Trust, Ser 2005-HE1, Cl M1 | ||||||||
1.912%, VAR ICE LIBOR USD 1 Month+0.675%, 12/25/2034 | $ | 736 | $ | 718 | ||||
New Century Home Equity Loan Trust, Ser 2003-A, Cl A | ||||||||
1.957%, VAR ICE LIBOR USD 1 Month+0.720%, 10/25/2033 (E) | 140 | 136 | ||||||
New Century Home Equity Loan Trust, Ser 2005-3, Cl M2 | ||||||||
1.727%, VAR ICE LIBOR USD 1 Month+0.490%, 07/25/2035 | 922 | 923 | ||||||
NovaStar Mortgage Funding Trust, Ser 2004- 4, Cl M4 | ||||||||
2.887%, VAR LIBOR USD 1 Month+1.650%, 03/25/2035 | 47 | 48 | ||||||
Option One Mortgage Loan Trust, Ser 2005- 4, Cl M1 | ||||||||
1.677%, VAR ICE LIBOR USD 1 Month+0.440%, 11/25/2035 | 1,107 | 1,105 | ||||||
Option One Mortgage Loan Trust, Ser 2006- 1, Cl 1A1 | ||||||||
1.457%, VAR ICE LIBOR USD 1 Month+0.220%, 01/25/2036 | 2,435 | 2,423 | ||||||
People’s Choice Home Loan Securities Trust, Ser 2004-1, Cl M1 | ||||||||
2.122%, VAR ICE LIBOR USD 1 Month+0.885%, 06/25/2034 | 650 | 622 | ||||||
Saxon Asset Securities Trust, Ser 2003-1, Cl AF6 | ||||||||
4.795%, 06/25/2033 | 10 | 10 | ||||||
|
| |||||||
10,128 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 5.9% |
| |||||||
Academic Loan Funding Trust, Ser 2012-1A, Cl A1 | ||||||||
2.037%, VAR ICE LIBOR USD 1 Month+0.800%, 12/27/2022 (E) | 12 | 12 | ||||||
Airspeed, Ser 2007-1A, Cl G2 | ||||||||
1.514%, VAR LIBOR USD 1 Month+0.280%, 06/15/2032 (E) | 337 | 304 | ||||||
Ally Master Owner Trust, Ser 2017-1, Cl A | ||||||||
1.634%, VAR LIBOR USD 1 Month+0.400%, 02/15/2021 | 372 | 373 | ||||||
Ballyrock CLO, Ser 2017-1A, Cl A1R | ||||||||
2.457%, VAR ICE LIBOR USD 3 Month+1.150%, 10/20/2026 (E) | 150 | 150 | ||||||
Brazos Higher Education Authority, Ser 2010- 1, Cl A2 | ||||||||
2.517%, VAR ICE LIBOR USD 3 Month+1.200%, 02/25/2035 | 850 | 869 |
Description |
Face Amount |
Market Value | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Brazos Higher Education Authority, Ser 2011- 2, Cl A3 | ||||||||
2.314%, VAR ICE LIBOR USD 3 Month+1.000%, 10/27/2036 | $ | 400 | $ | 403 | ||||
Business Loan Express Business Loan Trust, Ser 2004-A, Cl A | ||||||||
1.667%, VAR ICE LIBOR USD 1 Month+0.430%, 02/25/2031 (E) | 94 | 91 | ||||||
CCG Receivables Trust, Ser 2017-1, Cl A2 | 355 | 351 | ||||||
Cent 18, Ser 2013-18A, Cl A | ||||||||
2.433%, VAR ICE LIBOR USD 3 Month+1.120%, 07/23/2025 (E) | 500 | 500 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A5 | ||||||||
5.102%, 11/25/2034 | 75 | 78 | ||||||
CIT Education Loan Trust, Ser 2007-1, Cl A | ||||||||
1.418%, VAR ICE LIBOR USD 3 Month+0.090%, 03/25/2042 (E) | 456 | 429 | ||||||
College Ave Student Loans, Ser 2017-A, Cl A1 | ||||||||
2.887%, VAR ICE LIBOR USD 1 Month+1.650%, 11/26/2046 (E) | 448 | 448 | ||||||
Countrywide Asset-Backed Certificates, Ser 2004-5, Cl 1A | ||||||||
1.737%, VAR ICE LIBOR USD 1 Month+0.500%, 10/25/2034 | 614 | 603 | ||||||
Countrywide Asset-Backed Certificates, Ser 2004-6, Cl 1A1 | ||||||||
1.777%, VAR ICE LIBOR USD 1 Month+0.540%, 12/25/2034 | 450 | 436 | ||||||
Countrywide Asset-Backed Certificates, Ser 2007-4, Cl A4W | ||||||||
5.027%, 04/25/2047 | 456 | 444 | ||||||
Countrywide Home Equity Loan Trust, Ser 2006-F, Cl 2A1A | ||||||||
1.374%, VAR ICE LIBOR USD 1 Month+0.140%, 07/15/2036 | 691 | 651 | ||||||
CWHEQ Revolving Home Equity Loan Trust, Ser 2005-D, Cl 2A | ||||||||
1.424%, VAR ICE LIBOR USD 1 Month+0.190%, 11/15/2035 | 298 | 277 | ||||||
DRB Prime Student Loan Trust, Ser 2015-B, Cl A2 | ||||||||
3.170%, 07/25/2031 (E) | 195 | 198 | ||||||
Eaton Vance CLO, Ser 2017-1A, Cl AR | ||||||||
2.504%, VAR ICE LIBOR USD 3 Month+1.200%, 07/15/2026 (E) | 575 | 577 | ||||||
Educational Funding of the South, Ser 2011- 1, Cl A2 | ||||||||
1.964%, VAR ICE LIBOR USD 3 Month+0.650%, 04/25/2035 | 253 | 252 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 175 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Encore Credit Receivables Trust, Ser 2005-3, Cl M2 | ||||||||
1.972%, VAR ICE LIBOR USD 1 Month+0.735%, 10/25/2035 | $ | 1,131 | $ | 1,134 | ||||
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2004-FF5, Cl A3C | ||||||||
2.237%, VAR ICE LIBOR USD 1 Month+1.000%, 08/25/2034 | 743 | 722 | ||||||
Flatiron CLO, Ser 2017-1A, Cl A1R | ||||||||
2.338%, VAR ICE LIBOR USD 3 Month+1.180%, 07/17/2026 (E) | 500 | 502 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2017-1, Cl A1 | ||||||||
2.070%, 05/15/2022 | 1,110 | 1,113 | ||||||
Global SC Finance, Ser 2014-1A, Cl A2 | ||||||||
3.090%, 07/17/2029 (E) | 287 | 284 | ||||||
GSAMP Trust, Ser 2006-HE1, Cl A2D | ||||||||
1.547%, VAR ICE LIBOR USD 1 Month+0.310%, 01/25/2036 | 1,740 | 1,739 | ||||||
Higher Education Funding, Ser 2014-1, Cl A | ||||||||
2.367%, VAR ICE LIBOR USD 3 Month+1.050%, 05/25/2034 (E) | 455 | 453 | ||||||
JGWPT XXX LLC, Ser 2013-3A, Cl A | ||||||||
4.080%, 01/17/2073 (E) | 256 | 262 | ||||||
JGWPT XXXI LLC, Ser 2014-1A, Cl A | ||||||||
3.960%, 03/15/2063 (E) | 241 | 249 | ||||||
JGWPT XXXII, Ser 2014-2A, Cl A | ||||||||
3.610%, 01/17/2073 (E) | 343 | 337 | ||||||
JGWPT XXXIII, Ser 2014-3A, Cl A | ||||||||
3.500%, 06/15/2077 (E) | 170 | 170 | ||||||
JPMorgan Chase Acquisition, Ser 2005-OPT1, Cl M1 | ||||||||
1.912%, VAR ICE LIBOR USD 1 Month+0.675%, 06/25/2035 | 82 | 82 | ||||||
Lehman Manufactured Housing Contract Trust, Ser 2001-B, Cl A4 | ||||||||
5.270%, 04/15/2040 | 95 | 96 | ||||||
Magnetite XII, Ser 2016-12A, Cl AR | ||||||||
2.634%, VAR ICE LIBOR USD 3 Month+1.330%, 04/15/2027 (E) | 600 | 604 | ||||||
Mid-State Trust, Ser 2003-11, Cl A1 | ||||||||
4.864%, 07/15/2038 | 656 | 681 | ||||||
Navient Private Education Loan Trust, Ser 2014-AA, Cl A3 | ||||||||
2.834%, VAR ICE LIBOR USD 1 Month+1.600%, 10/15/2031 (E) | 684 | 697 | ||||||
Navient Private Education Loan Trust, Ser 2014-CTA, Cl A | ||||||||
1.934%, VAR ICE LIBOR USD 1 Month+0.700%, 09/16/2024 (E) | 301 | 301 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Navient Private Education Loan Trust, Ser 2015-AA, Cl A2B | ||||||||
2.434%, VAR ICE LIBOR USD 1 Month+1.200%, 12/15/2028 (E) | $ | 260 | $ | 264 | ||||
Navient Private Education Loan Trust, Ser 2015-CA, Cl B | ||||||||
3.250%, 05/15/2040 (E) | 239 | 242 | ||||||
Navient Private Education Loan Trust, Ser 2016-AA, Cl A2A | ||||||||
3.910%, 12/15/2045 (E) | 1,540 | 1,593 | ||||||
Navient Private Education Loan Trust, Ser 2016-AA, Cl A2B | ||||||||
3.384%, VAR ICE LIBOR USD 1 Month+2.150%, 12/15/2045 (E) | 454 | 472 | ||||||
Navient Student Loan Trust, Ser 2014-1, Cl A3 | ||||||||
1.744%, VAR ICE LIBOR USD 1 Month+0.510%, 06/25/2031 | 1,580 | 1,574 | ||||||
Navient Student Loan Trust, Ser 2014-2, Cl A | ||||||||
1.874%, VAR ICE LIBOR USD 1 Month+0.640%, 03/25/2083 | 757 | 750 | ||||||
Navient Student Loan Trust, Ser 2014-3, Cl A | ||||||||
1.854%, VAR ICE LIBOR USD 1 Month+0.620%, 03/25/2083 | 767 | 759 | ||||||
Navient Student Loan Trust, Ser 2014-4, Cl A | ||||||||
1.857%, VAR ICE LIBOR USD 1 Month+0.620%, 03/25/2083 | 436 | 432 | ||||||
Navient Student Loan Trust, Ser 2016-1A, Cl A | ||||||||
1.937%, VAR ICE LIBOR USD 1 Month+0.700%, 02/25/2070 (E) | 3,058 | 3,032 | ||||||
Navient Student Loan Trust, Ser 2016-2A, Cl A3 | ||||||||
2.737%, VAR ICE LIBOR USD 1 Month+1.500%, 06/25/2065 (E) | 1,270 | 1,317 | ||||||
Navient Student Loan Trust, Ser 2016-5A, Cl A | ||||||||
2.487%, VAR ICE LIBOR USD 1 Month+1.250%, 06/25/2065 (E) | 348 | 355 | ||||||
Navient Student Loan Trust, Ser 2016-7A, Cl A | ||||||||
2.387%, VAR ICE LIBOR USD 1 Month+1.150%, 03/25/2066 (E) | 684 | 692 | ||||||
Navient Student Loan Trust, Ser 2017-1A, Cl A2 | ||||||||
1.987%, VAR ICE LIBOR USD 1 Month+0.750%, 07/26/2066 (E) | 700 | 708 | ||||||
Navient Student Loan Trust, Ser 2017-1A, Cl A3 | ||||||||
2.387%, VAR ICE LIBOR USD 1 Month+1.150%, 07/26/2066 (E) | 2,557 | 2,609 | ||||||
Navient Student Loan Trust, Ser 2017-2A, Cl A | ||||||||
2.284%, VAR ICE LIBOR USD 1 Month+1.050%, 12/27/2066 (E) | 1,747 | 1,771 | ||||||
Navient Student Loan Trust, Ser 2017-3A, Cl A3 | ||||||||
2.384%, 07/26/2066 | 2,476 | 2,507 |
176 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Navient Student Loan Trust, Ser 2017-4A, Cl A3 | ||||||||
2.237%, VAR ICE LIBOR USD 1 Month+1.000%, 09/27/2066 (E) | $ | 1,901 | $ | 1,918 | ||||
Navient Student Loan Trust, Ser 2017-5A, Cl A | ||||||||
2.048%, VAR ICE LIBOR USD 1 Month+0.800%, 07/26/2066 (E) | 2,522 | 2,523 | ||||||
Nelnet Student Loan Trust, Ser 2004-3, Cl A5 | ||||||||
1.494%, VAR ICE LIBOR USD 3 Month+0.180%, 10/27/2036 | 359 | 352 | ||||||
Nelnet Student Loan Trust, Ser 2004-4, Cl A5 | ||||||||
1.474%, VAR ICE LIBOR USD 3 Month+0.160%, 01/25/2037 | 292 | 289 | ||||||
Nelnet Student Loan Trust, Ser 2005-1, Cl A5 | ||||||||
1.424%, VAR ICE LIBOR USD 3 Month+0.110%, 10/25/2033 | 2,230 | 2,187 | ||||||
Nelnet Student Loan Trust, Ser 2005-2, Cl A5 | ||||||||
1.423%, VAR ICE LIBOR USD 3 Month+0.100%, 03/23/2037 | 350 | 342 | ||||||
Nelnet Student Loan Trust, Ser 2005-3, Cl A5 | ||||||||
1.407%, VAR ICE LIBOR USD 3 Month+0.120%, 12/24/2035 | 2,690 | 2,646 | ||||||
Nelnet Student Loan Trust, Ser 2005-4, Cl A4 | ||||||||
1.467%, VAR ICE LIBOR USD 3 Month+0.180%, 03/22/2032 | 272 | 262 | ||||||
Nelnet Student Loan Trust, Ser 2006-2, Cl A6 | ||||||||
1.434%, VAR ICE LIBOR USD 3 Month+0.120%, 04/25/2031 | 1,476 | 1,475 | ||||||
Nelnet Student Loan Trust, Ser 2007-2A, Cl A3L | ||||||||
1.678%, VAR ICE LIBOR USD 3 Month+0.350%, 03/25/2026 (E) | 101 | 100 | ||||||
Nelnet Student Loan Trust, Ser 2008-3, Cl A4 | ||||||||
2.967%, VAR ICE LIBOR USD 3 Month+1.650%, 11/25/2024 | 535 | 545 | ||||||
Nelnet Student Loan Trust, Ser 2010-4A, Cl A | ||||||||
2.034%, VAR ICE LIBOR USD 1 Month+0.800%, 04/25/2046 (E) | 80 | 81 | ||||||
Nelnet Student Loan Trust, Ser 2011-1A, Cl A | ||||||||
2.084%, VAR ICE LIBOR USD 1 Month+0.850%, 02/25/2048 (E) | 493 | 494 | ||||||
Nelnet Student Loan Trust, Ser 2013-1A, Cl A | ||||||||
1.834%, VAR ICE LIBOR USD 1 Month+0.600%, 06/25/2041 (E) | 1,189 | 1,186 | ||||||
Nelnet Student Loan Trust, Ser 2014-2A, Cl A3 | ||||||||
2.084%, VAR ICE LIBOR USD 1 Month+0.850%, 07/27/2037 (E) | 950 | 935 | ||||||
Nelnet Student Loan Trust, Ser 2014-4A, Cl A2 | ||||||||
2.187%, VAR ICE LIBOR USD 1 Month+0.950%, 11/25/2048 (E) | 500 | 492 |
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Nelnet Student Loan Trust, Ser 2015-2A, Cl A2 | ||||||||
1.837%, VAR ICE LIBOR USD 1 Month+0.600%, 09/25/2047 (E) | $ | 733 | $ | 724 | ||||
Nelnet Student Loan Trust, Ser 2016-1A, Cl A | ||||||||
2.037%, VAR ICE LIBOR USD 1 Month+0.800%, 09/25/2065 (E) | 824 | 835 | ||||||
Nelnet Student Loan Trust, Ser 2017-2A, Cl A | ||||||||
2.007%, VAR ICE LIBOR USD 1 Month+0.770%, 09/25/2065 (E) | 1,249 | 1,253 | ||||||
North Carolina State Education Assistance Authority, Ser 2011-2, Cl A2 | ||||||||
2.114%, VAR ICE LIBOR USD 3 Month+0.800%, 07/25/2025 | 257 | 257 | ||||||
Ownit Mortgage Loan Trust, Ser 2005-3, Cl A3 | ||||||||
2.237%, VAR ICE LIBOR USD 1 Month+1.000%, 06/25/2036 | 469 | 470 | ||||||
Prosper Marketplace Issuance Trust, Ser 2017-2A, Cl A | ||||||||
2.410%, 09/15/2023 (E) | 840 | 841 | ||||||
Rosslyn Portfolio Trust, Ser 2017-R17 | ||||||||
2.177%, 06/15/2033 | 330 | 330 | ||||||
Scholar Funding Trust, Ser 2011-A, Cl A | ||||||||
2.214%, VAR ICE LIBOR USD 3 Month+0.900%, 10/28/2043 (E) | 208 | 207 | ||||||
SLC Student Loan Trust, Ser 2005-3, Cl A4 | ||||||||
1.470%, VAR ICE LIBOR USD 3 Month+0.150%, 12/15/2039 | 1,240 | 1,186 | ||||||
SLM Student Loan Trust, Ser 2003-1, Cl A5C | ||||||||
2.070%, VAR ICE LIBOR USD 3 Month+0.750%, 12/15/2032 (E) | 514 | 510 | ||||||
SLM Student Loan Trust, Ser 2003-10A, Cl A3 | ||||||||
1.790%, VAR LIBOR USD 3 Month+0.550%, 12/15/2027 (E) | 1,352 | 1,356 | ||||||
SLM Student Loan Trust, Ser 2004-10, Cl A7A | ||||||||
2.064%, VAR ICE LIBOR USD 3 Month+0.750%, 10/25/2029 (E) | 1,196 | 1,192 | ||||||
SLM Student Loan Trust, Ser 2004-8, Cl B | ||||||||
1.774%, VAR ICE LIBOR USD 3 Month+0.460%, 01/25/2040 | 96 | 90 | ||||||
SLM Student Loan Trust, Ser 2005-6, Cl A5B | ||||||||
2.514%, VAR ICE LIBOR USD 3 Month+1.200%, 07/27/2026 | 40 | 40 | ||||||
SLM Student Loan Trust, Ser 2006-2, Cl A6 | ||||||||
1.484%, VAR ICE LIBOR USD 3 Month+0.170%, 01/25/2041 | 540 | 521 | ||||||
SLM Student Loan Trust, Ser 2006-3, Cl A5 | ||||||||
1.414%, VAR ICE LIBOR USD 3 Month+0.100%, 01/25/2021 | 1,031 | 1,019 | ||||||
SLM Student Loan Trust, Ser 2006-8, Cl A6 | ||||||||
1.474%, VAR ICE LIBOR USD 3 Month+0.160%, 01/25/2041 | 540 | 509 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 177 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Fixed Income Fund (Continued)
Description |
Face Amount |
Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
SLM Student Loan Trust, Ser 2007-2, Cl A4 | ||||||||
1.374%, VAR ICE LIBOR USD 3 Month+0.060%, 07/25/2022 | $ | 1,048 | $ | 1,018 | ||||
SLM Student Loan Trust, Ser 2007-2, Cl B | ||||||||
1.484%, VAR ICE LIBOR USD 3 Month+0.170%, 07/25/2025 | 344 | 290 | ||||||
SLM Student Loan Trust, Ser 2007-6, Cl A4 | ||||||||
1.694%, VAR ICE LIBOR USD 3 | ||||||||
Month+0.380%, 10/25/2024 | 1,140 | 1,141 | ||||||
SLM Student Loan Trust, Ser 2007-6, Cl B | ||||||||
2.164%, VAR ICE LIBOR USD 3 Month+0.850%, 04/27/2043 | 114 | 108 | ||||||
SLM Student Loan Trust, Ser 2007-7, Cl B | ||||||||
2.064%, VAR ICE LIBOR USD 3 Month+0.750%, 10/27/2070 | 250 | 229 | ||||||
SLM Student Loan Trust, Ser 2008-2, Cl B | ||||||||
2.514%, VAR ICE LIBOR USD 3 Month+1.200%, 01/25/2083 | 160 | 151 | ||||||
SLM Student Loan Trust, Ser 2008-3, Cl B | ||||||||
2.514%, VAR ICE LIBOR USD 3 Month+1.200%, 04/26/2083 | 160 | 150 | ||||||
SLM Student Loan Trust, Ser 2008-4, Cl A4 | ||||||||
2.964%, VAR ICE LIBOR USD 3 Month+1.650%, 07/25/2022 | 1,068 | 1,096 | ||||||
SLM Student Loan Trust, Ser 2008-4, Cl B | ||||||||
3.164%, VAR ICE LIBOR USD 3 Month+1.850%, 04/25/2073 | 160 | 156 | ||||||
SLM Student Loan Trust, Ser 2008-5, Cl A4 | ||||||||
3.014%, VAR ICE LIBOR USD 3 Month+1.700%, 07/25/2023 | 720 | 742 | ||||||
SLM Student Loan Trust, Ser 2008-5, Cl B | ||||||||
3.164%, VAR ICE LIBOR USD 3 Month+1.850%, 07/25/2073 | 160 | 160 | ||||||
SLM Student Loan Trust, Ser 2008-6, Cl B | ||||||||
3.164%, VAR ICE LIBOR USD 3 Month+1.850%, 07/26/2083 | 160 | 158 | ||||||
SLM Student Loan Trust, Ser 2008-7, Cl B | ||||||||
3.164%, VAR ICE LIBOR USD 3 Month+1.850%, 07/26/2083 | 160 | 159 | ||||||
SLM Student Loan Trust, Ser 2008-8, Cl B | ||||||||
3.564%, VAR ICE LIBOR USD 3 Month+2.250%, 10/25/2075 | 160 | 161 | ||||||
SLM Student Loan Trust, Ser 2008-9, Cl A | ||||||||
2.814%, VAR ICE LIBOR USD 3 Month+1.500%, 04/25/2023 | 599 | 613 | ||||||
SLM Student Loan Trust, Ser 2008-9, Cl B | ||||||||
3.564%, VAR ICE LIBOR USD 3 Month+2.250%, 10/25/2083 | 160 | 163 | ||||||
SLM Student Loan Trust, Ser 2009-3, Cl A | ||||||||
1.987%, VAR ICE LIBOR USD 1 Month+0.750%, 01/25/2045 (E) | 808 | 804 |
Description |
Face Amount |
Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
SLM Student Loan Trust, Ser 2010-1, Cl A | ||||||||
1.637%, VAR ICE LIBOR USD 1 Month+0.400%, 03/25/2025 | $ | 179 | $ | 177 | ||||
SLM Student Loan Trust, Ser 2012-1, Cl A3 | ||||||||
2.184%, VAR ICE LIBOR USD 1 Month+0.950%, 09/25/2028 | 1,985 | 2,000 | ||||||
SLM Student Loan Trust, Ser 2012-2, Cl A | ||||||||
1.937%, VAR ICE LIBOR USD 1 Month+0.700%, 01/25/2029 | 709 | 710 | ||||||
SLM Student Loan Trust, Ser 2012-6, Cl A3 | ||||||||
1.987%, VAR ICE LIBOR USD 1 Month+0.750%, 05/26/2026 | 195 | 194 | ||||||
SLM Student Loan Trust, Ser 2012-6, Cl B | ||||||||
2.237%, VAR ICE LIBOR USD 1 Month+1.000%, 04/27/2043 | 249 | 227 | ||||||
SLM Student Loan Trust, Ser 2012-D, Cl A2 | ||||||||
2.950%, 02/15/2046 (E) | 137 | 137 | ||||||
SLM Student Loan Trust, Ser 2013-1, Cl B | ||||||||
3.037%, VAR ICE LIBOR USD 1 Month+1.800%, 11/25/2070 | 180 | 181 | ||||||
SLM Student Loan Trust, Ser 2013-4, Cl A | ||||||||
1.787%, VAR ICE LIBOR USD 1 Month+0.550%, 06/25/2043 | 234 | 235 | ||||||
SLM Student Loan Trust, Ser 2013-B, Cl A2B | ||||||||
2.334%, VAR ICE LIBOR USD 1 Month+1.100%, 06/17/2030 (E) | 115 | 116 | ||||||
SLM Student Loan Trust, Ser 2013-C, Cl A2A | ||||||||
2.940%, 10/15/2031 (E) | 237 | 239 | ||||||
SLM Student Loan Trust, Ser 2013-M1, Cl M1 | ||||||||
3.500%, 10/28/2029 (E) | 251 | 248 | ||||||
SLM Student Loan Trust, Ser 2014-2, Cl A3 | ||||||||
1.827%, VAR ICE LIBOR USD 1 Month+0.590%, 03/25/2055 | 1,097 | 1,100 | ||||||
SMB Private Education Loan Trust, Ser 2015- A, Cl A2A | ||||||||
2.490%, 06/15/2027 (E) | 300 | 301 | ||||||
SMB Private Education Loan Trust, Ser 2015- A, Cl A2B | ||||||||
2.234%, VAR ICE LIBOR USD 1 Month+1.000%, 06/15/2027 (E) | 634 | 640 | ||||||
SMB Private Education Loan Trust, Ser 2015- B, Cl A1 | ||||||||
1.934%, VAR ICE LIBOR USD 1 Month+0.700%, 02/15/2023 (E) | 18 | 18 | ||||||
SMB Private Education Loan Trust, Ser 2015- B, Cl A2A | ||||||||
2.980%, 07/15/2027 (E) | 450 | 459 | ||||||
SMB Private Education Loan Trust, Ser 2015- B, Cl A2B | ||||||||
2.434%, VAR ICE LIBOR USD 1 Month+1.200%, 07/15/2027 (E) | 2,634 | 2,693 |
178 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
SMB Private Education Loan Trust, Ser 2015- C, Cl A2A | ||||||||
2.750%, 07/15/2027 (E) | $ | 567 | $ | 573 | ||||
SMB Private Education Loan Trust, Ser 2015- C, Cl A2B | ||||||||
2.634%, VAR ICE LIBOR USD 1 Month+1.400%, 07/15/2027 (E) | 424 | 433 | ||||||
SMB Private Education Loan Trust, Ser 2016- A, Cl A2A | ||||||||
2.700%, 05/15/2031 (E) | 1,072 | 1,075 | ||||||
SMB Private Education Loan Trust, Ser 2016- A, Cl A2B | ||||||||
2.734%, VAR ICE LIBOR USD 1 Month+1.500%, 05/15/2031 (E) | 1,927 | 1,982 | ||||||
SMB Private Education Loan Trust, Ser 2016- B, Cl A2A | ||||||||
2.430%, 02/17/2032 (E) | 953 | 946 | ||||||
SMB Private Education Loan Trust, Ser 2016- B, Cl A2B | ||||||||
2.684%, VAR ICE LIBOR USD 1 Month+1.450%, 02/17/2032 (E) | 1,740 | 1,799 | ||||||
SMB Private Education Loan Trust, Ser 2016- C, Cl A2A | ||||||||
2.340%, 09/15/2034 (E) | 1,314 | 1,297 | ||||||
SMB Private Education Loan Trust, Ser 2016- C, Cl A2B | ||||||||
2.334%, VAR ICE LIBOR USD 1 Month+1.100%, 09/15/2034 (E) | 2,176 | 2,214 | ||||||
SMB Private Education Loan Trust, Ser 2017- A, Cl A2A | ||||||||
2.880%, 09/15/2034 (E) | 1,131 | 1,141 | ||||||
SMB Private Education Loan Trust, Ser 2017- A, Cl A2B | ||||||||
2.134%, VAR ICE LIBOR USD 1 Month+0.900%, 09/15/2034 (E) | 1,008 | 1,017 | ||||||
SoFi Professional Loan Program, Ser 2016-A, Cl A2 | ||||||||
2.760%, 12/26/2036 (E) | 789 | 797 | ||||||
SoFi Professional Loan Program, Ser 2016-D, Cl A1 | ||||||||
2.187%, VAR ICE LIBOR USD 1 Month+0.950%, 01/25/2039 (E) | 168 | 170 | ||||||
SoFi Professional Loan Program, Ser 2016-E, Cl A1 | ||||||||
2.087%, VAR ICE LIBOR USD 1 Month+0.850%, 07/25/2039 (E) | 466 | 470 | ||||||
SoFi Professional Loan Program, Ser 2017-A, Cl A1 | ||||||||
1.937%, VAR ICE LIBOR USD 1 Month+0.700%, 03/26/2040 (E) | 409 | 411 | ||||||
SoFi Professional Loan Program, Ser 2017-A, Cl A2B | ||||||||
2.400%, 03/26/2040 (E) | 404 | 401 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
SoFi Professional Loan Program, Ser 2017-B, Cl A2FX | ||||||||
2.740%, 05/25/2040 (E) | $ | 882 | $ | 886 | ||||
SoFi Professional Loan Program, Ser 2017-C, Cl A2B | ||||||||
2.630%, 07/25/2040 (E) | 674 | 673 | ||||||
SoFi Professional Loan Program, Ser 2017-D, Cl A2FX | ||||||||
2.650%, 09/25/2040 (E) | 1,160 | 1,153 | ||||||
Structured Asset Investment Loan Trust, Ser 2004-8, Cl A2 | ||||||||
1.787%, VAR ICE LIBOR USD 1 Month+0.550%, 09/25/2034 | 495 | 482 | ||||||
Structured Asset Investment Loan Trust, Ser 2005-HE1, Cl M1 | ||||||||
1.942%, VAR ICE LIBOR USD 1 Month+0.705%, 07/25/2035 | 1,710 | 1,713 | ||||||
Structured Asset Securities Mortgage Loan Trust, Ser 2005-WF2, Cl A3 | ||||||||
1.837%, VAR ICE LIBOR USD 1 Month+0.600%, 05/25/2035 | 138 | 138 | ||||||
Structured Asset Securities Mortgage Loan Trust, Ser 2005-WF4, Cl M2 | ||||||||
1.667%, VAR ICE LIBOR USD 1 Month+0.430%, 11/25/2035 | 857 | 858 | ||||||
Towd Point Mortgage Trust, Ser 2017-1, Cl A1 | ||||||||
2.750%, 10/25/2056 (D)(E) | 1,406 | 1,420 | ||||||
United States Small Business Administration, Ser 2017-20E, Cl 1 | ||||||||
2.880%, 05/01/2037 | 270 | 274 | ||||||
Verizon Owner Trust, Ser 2016-1A, Cl A | ||||||||
1.420%, 01/20/2021 (E) | 880 | 876 | ||||||
Verizon Owner Trust, Ser 2016-2A, Cl A | ||||||||
1.680%, 05/20/2021 (E) | 430 | 429 | ||||||
Verizon Owner Trust, Ser 2017-2A, Cl A | ||||||||
1.920%, 12/20/2021 (E) | 950 | 949 | ||||||
VOLT XL, Ser 2015-NP14, Cl A1 | ||||||||
4.375%, 11/27/2045 (E) | 95 | 96 | ||||||
Voya CLO, Ser 2016-1A, Cl A1R | ||||||||
2.634%, VAR ICE LIBOR USD 3 Month+1.330%, 04/18/2026 (E) | 610 | 610 | ||||||
Voya CLO, Ser 2017-3A, Cl A1R | ||||||||
2.354%, VAR ICE LIBOR USD 3 Month+1.050%, 01/18/2026 (E) | 500 | 501 | ||||||
|
|
| ||||||
105,874 | ||||||||
|
|
| ||||||
Total Asset-Backed Securities |
| 145,011 | ||||||
|
|
| ||||||
SOVEREIGN DEBT — 2.4% |
| |||||||
Brazilian Government International Bond | ||||||||
6.000% , 04/07/2026 | 210 | 233 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 179 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
SOVEREIGN DEBT (continued) |
| |||||||
Chile Government International Bond | ||||||||
3.860% , 06/21/2047 | $ | 555 | $ | 565 | ||||
Colombia Government International Bond | ||||||||
5.625% , 02/26/2044 | 690 | 771 | ||||||
5.000% , 06/15/2045 | 830 | 854 | ||||||
3.875% , 04/25/2027 (C) | 401 | 407 | ||||||
Export-Import Bank of India | ||||||||
3.375% , 08/05/2026 (E) | 350 | 344 | ||||||
FMS Wertmanagement AoeR | ||||||||
1.000% , 11/21/2017 | 200 | 200 | ||||||
Indonesia Government International Bond MTN | ||||||||
5.250% , 01/08/2047 (E) | 200 | 225 | ||||||
5.125% , 01/15/2045 (E) | 200 | 221 | ||||||
4.350% , 01/08/2027 (E) | 315 | 334 | ||||||
3.850% , 07/18/2027 (E) | 600 | 617 | ||||||
3.750% , 04/25/2022 (E) | 740 | 768 | ||||||
3.700% , 01/08/2022 (E) | 685 | 711 | ||||||
Israel Government International Bond | ||||||||
4.500% , 01/30/2043 | 315 | 342 | ||||||
Japan Bank for International Cooperation | ||||||||
2.250% , 02/24/2020 | 1,006 | 1,011 | ||||||
1.875% , 04/20/2021 | 238 | 235 | ||||||
1.750% , 05/28/2020 | 712 | 706 | ||||||
Japan Treasury Discount Bills | ||||||||
-0.158% , 01/10/2018 (A)(G) | JPY | 1,255,000 | 11,153 | |||||
-0.143% , 11/20/2017 (A)(G) | 865,000 | 7,686 | ||||||
Kazakhstan Government International Bond | ||||||||
4.875% , 10/14/2044 (E) | $ | 660 | 675 | |||||
Kuwait International Government Bond | ||||||||
3.500% , 03/20/2027 (E) | 450 | 463 | ||||||
Mexico Government International Bond MTN | ||||||||
6.050% , 01/11/2040 | 100 | 120 | ||||||
5.750% , 10/12/2110 | 687 | 736 | ||||||
4.750% , 03/08/2044 | 3,210 | 3,308 | ||||||
4.000% , 10/02/2023 | 416 | 440 | ||||||
3.600% , 01/30/2025 | 520 | 533 | ||||||
Panama Government International Bond | ||||||||
4.500% , 05/15/2047 | 640 | 675 | ||||||
Peruvian Government International Bond | ||||||||
6.550% , 03/14/2037 | 50 | 67 | ||||||
5.625% , 11/18/2050 | 574 | 725 | ||||||
Province of Ontario Canada | ||||||||
1.625% , 01/18/2019 | 905 | 904 | ||||||
Province of Quebec Canada | ||||||||
2.625% , 02/13/2023 | 620 | 629 | ||||||
Republic of Poland Government International Bond | ||||||||
5.000% , 03/23/2022 | 100 | 110 | ||||||
4.000% , 01/22/2024 | 1,757 | 1,891 | ||||||
Saudi Government International Bond MTN | ||||||||
4.625% , 10/04/2047 (E) | 260 | 260 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
SOVEREIGN DEBT (continued) | ||||||||
3.625% , 03/04/2028 (E) | $ | 695 | $ | 693 | ||||
2.875% , 03/04/2023 (E) | 2,155 | 2,148 | ||||||
Uruguay Government International Bond | ||||||||
5.100% , 06/18/2050 | 650 | 686 | ||||||
|
|
| ||||||
Total Sovereign Debt |
| 42,446 | ||||||
|
|
| ||||||
MUNICIPAL BONDS — 0.4% | ||||||||
California — 0.2% | ||||||||
California, Health Facilities Financing Authority, RB | ||||||||
Callable 10/01/2026 @ 100 4.000%, 10/01/2047 | 700 | 725 | ||||||
California State, GO | ||||||||
6.200%, 03/01/2019 | 300 | 318 | ||||||
Los Angeles Community College District, GO | ||||||||
6.750%, 08/01/2049 | 560 | 853 | ||||||
State of California, GO | ||||||||
7.600%, 11/01/2040 | 410 | 640 | ||||||
6.650%, 03/01/2022 | 250 | 290 | ||||||
|
|
| ||||||
2,826 | ||||||||
|
|
| ||||||
Illinois — 0.0% | ||||||||
Carlyle City, GO | ||||||||
3.737%, 07/15/2019 | 17 | 17 | ||||||
|
|
| ||||||
Massachusetts — 0.1% | ||||||||
Commonwealth of Massachusetts, Ser D, GO | ||||||||
4.500%, 08/01/2031 | 1,110 | 1,256 | ||||||
|
|
| ||||||
Nevada — 0.0% | ||||||||
County of Clark Department of Aviation, Ser C, RB | ||||||||
6.820%, 07/01/2045 | 505 | 740 | ||||||
|
|
| ||||||
New York — 0.1% | ||||||||
New York and New Jersey, Port Authority, RB | ||||||||
4.458%, 10/01/2062 | 770 | 860 | ||||||
New York City, Transitional Finance Authority, Future Tax Secured Revenue, RB | ||||||||
5.508%, 08/01/2037 | 275 | 345 | ||||||
New York City, Transitional Finance Authority, Future Tax Secured Revenue, Sub-Ser A-5, RB | ||||||||
Callable 08/01/2027 @ 100 3.280%, 08/01/2029 | 595 | 593 | ||||||
New York State, Dormitory Authority, RB | ||||||||
5.500%, 03/15/2030 | 400 | 471 | ||||||
|
|
| ||||||
2,269 | ||||||||
|
|
|
180 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MUNICIPAL BONDS (continued) |
| |||||||
Ohio — 0.0% |
| |||||||
Ohio State University, Ser A, RB | ||||||||
4.800%, 06/01/2111 | $ | 226 | $ | 245 | ||||
|
|
| ||||||
Texas — 0.0% |
| |||||||
North Texas, Tollway Authority, Ser B, RB | ||||||||
6.718%, 01/01/2049 (C) | 531 | 787 | ||||||
|
|
| ||||||
Total Municipal Bonds |
| 8,140 | ||||||
|
|
| ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.4% |
| |||||||
FHLB | ||||||||
3.000%, 09/11/2026 | 590 | 611 | ||||||
1.375%, 11/15/2019 | 1,370 | 1,365 | ||||||
FICO STRIPS, PO | ||||||||
0.000%, 05/11/2018 (A) | 460 | 456 | ||||||
FNMA | ||||||||
2.563%, 10/09/2019 (A) | 5,565 | 5,364 | ||||||
|
|
| ||||||
Total U.S. Government Agency Obligations |
| 7,796 | ||||||
|
|
| ||||||
Shares | ||||||||
|
|
| ||||||
AFFILIATED PARTNERSHIP — 5.9% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
1.110% **†(H) | 105,685,241 | 105,671 | ||||||
|
|
| ||||||
Total Affiliated Partnership |
| 105,671 | ||||||
|
|
| ||||||
CASH EQUIVALENT — 12.8% |
| |||||||
SEI Daily Income Trust, Government Fund, Cl F | �� | |||||||
0.840%**† | 230,643,508 | 230,644 | ||||||
Total Cash Equivalent |
| 230,644 | ||||||
|
|
| ||||||
Total Investments in Securities— 122.6% |
| $ | 2,204,313 | |||||
|
|
| ||||||
Contracts | ||||||||
|
|
| ||||||
PURCHASED OPTIONS* — 0.0% |
| |||||||
Total Purchased Options(I) | 545 | $ | 117 | |||||
|
|
|
Description | Contracts | Market Value ($ Thousands) | ||||||
WRITTEN OPTIONS* — 0.0% |
| |||||||
Total Written Options(I) | (693 | ) | $ | (100) | ||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 181 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Fixed Income Fund (Continued)
A list of the open contracts held by the Fund at September 30, 2017, is as follows:
Description | Number of Contracts | Notional Amount ($Thousands) | Exercise Price | Expiration Date | Value ($ Thousands) | |||||||||||||||||
PURCHASED OPTIONS — 0.0% | ||||||||||||||||||||||
Put Options | ||||||||||||||||||||||
March 2018, Euro Future* | 34 | $ | 2 | $ | 98.25 | 03/17/18 | $ | 2 | ||||||||||||||
November 2017, U.S. 10-Year Future* | 56 | 13 | 125.00 | 10/21/17 | 22 | |||||||||||||||||
November 2017, U.S. 5-Year Future* | 30 | 9 | 118.00 | 10/21/17 | 19 | |||||||||||||||||
November 2017, U.S. 5-Year Future* | 6 | 1 | 117.25 | 10/21/17 | 1 | |||||||||||||||||
|
|
|
|
| ||||||||||||||||||
25 | 44 | |||||||||||||||||||||
|
|
|
|
| ||||||||||||||||||
Call Options | ||||||||||||||||||||||
November 2017, 90-Day Euro$ Future* | 79 | 2 | 98.38 | 11/18/17 | 2 | |||||||||||||||||
November 2017, U.S. 10-Year Future* | 32 | 11 | 126.50 | 10/21/17 | 6 | |||||||||||||||||
November 2017, U.S. 10-Year Future* | 62 | 16 | 127.00 | 10/21/17 | 6 | |||||||||||||||||
November 2017, U.S. 10-Year Future* | 25 | 10 | 125.75 | 10/21/17 | 9 | |||||||||||||||||
November 2017, U.S. 10-Year Future* | 24 | 11 | 125.50 | 10/21/17 | 10 | |||||||||||||||||
November 2017, U.S. 5-Year Future* | 25 | 4 | 118.00 | 10/21/17 | 3 | |||||||||||||||||
November 2017, U.S. 5-Year Future* | 25 | 4 | 118.50 | 10/21/17 | 1 | |||||||||||||||||
November 2017, U.S. 5-Year Future* | 40 | 11 | 117.75 | 10/21/17 | 8 | |||||||||||||||||
November 2017, U.S. Bond Future* | 15 | 8 | 157.00 | 10/21/17 | 3 | |||||||||||||||||
November 2017, U.S. Bond Future* | 12 | 13 | 153.00 | 10/21/17 | 13 | |||||||||||||||||
October 2017, U.S. Long Treasury Bond* | 6 | 5 | 155.50 | 10/21/17 | 1 | |||||||||||||||||
October 2017, U.S. Long Treasury Bond* | 12 | 8 | 153.50 | 10/21/17 | 8 | |||||||||||||||||
October 2017, U.S. Long Treasury Bond* | 12 | 9 | 155.00 | 10/21/17 | 3 | |||||||||||||||||
September 2017, U.S. 5-Year Future* | 50 | 2 | 118.00 | 10/21/17 | – | |||||||||||||||||
|
|
|
|
| ||||||||||||||||||
114 | 73 | |||||||||||||||||||||
|
|
|
|
| ||||||||||||||||||
Total Purchased Options | $ | 139 | $ | 117 | ||||||||||||||||||
|
|
|
|
| ||||||||||||||||||
WRITTEN OPTIONS — 0.0% | ||||||||||||||||||||||
Put Options | ||||||||||||||||||||||
December 2017, U.S. 10-Year Future* | (18 | ) | (6) | 124.00 | 11/18/17 | (5 | ) | |||||||||||||||
December 2017, U.S. 5-Year Future* | (25 | ) | (4) | 117.00 | 11/18/17 | (6 | ) | |||||||||||||||
March 2018, Euro Future* | (34 | ) | (1) | 98.13 | 03/17/18 | (1 | ) | |||||||||||||||
November 2017, U.S. 10-Year Future* | (24 | ) | (4) | 125.50 | 10/21/17 | (15 | ) | |||||||||||||||
November 2017, U.S. 10-Year Future* | (24 | ) | (4) | 123.50 | 10/21/17 | (2 | ) | |||||||||||||||
November 2017, U.S. 5-Year Future* | (24 | ) | (4) | 117.50 | 10/21/17 | (7 | ) | |||||||||||||||
November 2017, U.S. 5-Year Future* | (12 | ) | (3) | 117.75 | 10/21/17 | (5 | ) | |||||||||||||||
November 2017, U.S. Bond Future* | (12 | ) | (5) | 150.50 | 10/21/17 | (5 | ) | |||||||||||||||
November 2017, U.S. Bond Future* | (6 | ) | (4) | 153.00 | 10/21/17 | (8 | ) | |||||||||||||||
November 2017, U.S. Bond Future* | (6 | ) | (2) | 150.00 | 10/21/17 | (2 | ) | |||||||||||||||
|
|
|
|
| ||||||||||||||||||
(37) | (56 | ) | ||||||||||||||||||||
|
|
|
|
| ||||||||||||||||||
Call Options | ||||||||||||||||||||||
December 2017, U.S. 10-Year Future* | (84 | ) | (18) | 129.00 | 11/18/17 | (6 | ) | |||||||||||||||
December 2017, U.S. 10-Year Future* | (18 | ) | (8) | 128.50 | 11/18/17 | (2 | ) | |||||||||||||||
December 2017, U.S. 5-Year Future* | (50 | ) | (6) | 119.00 | 11/18/17 | (4 | ) | |||||||||||||||
December 2017, U.S. 5-Year Future* | (54 | ) | (10) | 119.25 | 11/18/17 | (3 | ) | |||||||||||||||
December 2017, U.S. Bond Future* | (30 | ) | (10) | 160.00 | 11/18/17 | (6 | ) | |||||||||||||||
December 2017, U.S. Bond Future* | (30 | ) | (8) | 161.00 | 11/18/17 | (5 | ) | |||||||||||||||
November 2017, U.S. 10-Year Future* | (36 | ) | (8) | 129.50 | 10/21/17 | (1 | ) | |||||||||||||||
November 2017, U.S. 10-Year Future* | (50 | ) | (7) | 126.75 | 10/21/17 | (6 | ) | |||||||||||||||
November 2017, U.S. 10-Year Future* | (12 | ) | (3) | 129.00 | 10/21/17 | – | ||||||||||||||||
November 2017, U.S. 10-Year Future* | (24 | ) | (6) | 128.00 | 10/21/17 | (1 | ) | |||||||||||||||
November 2017, U.S. Bond Future* | (4 | ) | (2) | 154.50 | 10/21/17 | (2 | ) | |||||||||||||||
November 2017, U.S. Bond Future* | (62 | ) | (17) | 160.00 | 10/21/17 | (4 | ) |
182 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Number of Contracts | Notional Amount ($Thousands) | Exercise Price | Expiration Date | Value ($ Thousands) | |||||||||||||||
WRITTEN OPTIONS (continued) | ||||||||||||||||||||
November 2017, U.S. Bond Future* | (6) | $ | (5) | $158.00 | 10/21/17 | $ | (1) | |||||||||||||
November 2017, U.S. Bond Future* | (12) | (8) | 159.00 | 10/21/17 | (1) | |||||||||||||||
October 2017, U.S. Long Treasury Bond* | (24) | (6) | 157.00 | 10/21/17 | (1) | |||||||||||||||
October 2017, U.S. Long Treasury Bond* | (12) | (4) | 157.50 | 10/21/17 | (1) | |||||||||||||||
|
|
|
| |||||||||||||||||
(126) | (44) | |||||||||||||||||||
|
|
|
| |||||||||||||||||
Total Written Options | $ | (163) | $ | (100) | ||||||||||||||||
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||
90-Day Euro$ | (24) | Jun-2018 | $(5,907) | $(5,898) | $9 | |||||||||||||||
90-Day Euro$ | (120) | Dec-2019 | (29,273) | (29,384) | (111) | |||||||||||||||
90-Day Euro$ | (24) | Sep-2018 | (5,903) | (5,893) | 10 | |||||||||||||||
90-Day Euro$ | 33 | Dec-2018 | 8,076 | 8,096 | 20 | |||||||||||||||
90-Day Euro$ | (470) | Dec-2017 | (115,817) | (115,761) | 56 | |||||||||||||||
Euro-Bobl | (34) | Dec-2017 | (5,340) | (5,273) | 18 | |||||||||||||||
U.S. 10-Year Treasury Note | 134 | Dec-2017 | 16,946 | 16,792 | (154) | |||||||||||||||
U.S. 5-Year Treasury Note | 580 | Dec-2017 | 68,560 | 68,150 | (410) | |||||||||||||||
U.S. 2-Year Treasury Note | 294 | Jan-2018 | 63,569 | 63,417 | (152) | |||||||||||||||
U.S. Long Treasury Bond | (295) | Dec-2017 | (45,858) | (45,080) | 778 | |||||||||||||||
U.S. Ultra Long Treasury Bond | (26) | Dec-2017 | (4,399) | (4,293) | 106 | |||||||||||||||
Ultra 10-Year U.S. Treasury Note | (39) | Dec-2017 | (5,299) | (5,239) | 60 | |||||||||||||||
|
| |||||||||||||||||||
$(60,645) | $(60,366) | $230 | ||||||||||||||||||
|
|
A list of the open forward foreign currency contracts held by the Fund at September 30, 2017, is as follows:
Counterparty | Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||||||
Bank of America | 11/20/17 | JPY | 865,000 | USD | 7,977 | $ | 273 | |||||||||||||
Goldman Sachs | 01/10/18 | JPY | 1,255,000 | USD | 11,189 | (22 | ) | |||||||||||||
|
|
| ||||||||||||||||||
$ | 251 | |||||||||||||||||||
|
|
|
A list of the open centrally cleared swap agreements held by the Fund at September 30, 2017 is as follows:
Credit Default Swaps | ||||||||||||||||||||||||
Reference Entity/ Obligation | Buy/Sell Protection | (Pays)/Receives Rate | Payment Frequency | Termination Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Upfront Payments/ Receipts ($ Thousands) | Net Unrealized Appreciation ($ Thousands) | ||||||||||||||||
CDX.HY.IG.28 | Sell | 1.00% | Quarterly | 06/20/2022 | (8,300 | ) | $ | 175 | $ | 163 | $ | 12 | ||||||||||||
|
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 183 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Fixed Income Fund (Concluded)
Interest Rate Swaps | ||||||||||||||||||||||||||||||
Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount (Thousands) | Value ($ Thousands) | Upfront Payments/ Receipts ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($Thousands) | ||||||||||||||||||||||
0.024744% | 3-MONTH USD - LIBOR | Quarterly | 11/15/2043 | USD | 8,265 | $ | 143 | $ | 155 | $ | (12 | ) | ||||||||||||||||||
1.26653 | 3-MONTH USD - LIBOR | Quarterly | 05/15/2023 | USD | 33,024 | 1,400 | 329 | 1,071 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
$ | 1,543 | $ | 484 | $ | 1,059 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
Percentages are based on Net Assets of $1,797,351 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase. |
(B) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(C) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017 was $103,091 ($ Thousands). |
(D) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
(E) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2017, the value of these securities amounted to $187,621 ($ Thousands), representing 10.4% of the Net Assets of the Fund. |
(F) | Step Bonds – The rate reflected on the Schedule of Investments is the effective yield on September 30, 2017. The coupon on a step bond changes on a specified date. |
(G) | Rate is negative due to the decrease in value of the foreign currency against the U.S. Dollar. |
(H) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2017 was $105,671 ($ Thousands). |
(I) | Refer to table below for details on Options Contracts. |
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
ICE — Intercontinental Exchange
IO — Interest Only — face amount represents notional amount.
JPY — Japanese Yen
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
L.P. — Limited Partnership
MTN — Medium Term Note
PLC — Public Limited Company
PO — Principle Only
RB — Revenue Bond
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Securities
TBA — To Be Announced
VAR — Variable Rate
USD — United States Dollar
The following is a list of the level of inputs used as of September 30, 2017, 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 | $ | – | $ | 595,543 | $ | – | $ | 595,543 | ||||||||
Mortgage-Backed Securities | – | 581,024 | – | 581,024 | ||||||||||||
Corporate Obligations | – | 488,038 | – | 488,038 | ||||||||||||
Asset-Backed Securities | – | 145,011 | – | 145,011 | ||||||||||||
Sovereign Debt | – | 42,446 | – | 42,446 | ||||||||||||
Municipal Bonds | – | 8,140 | – | 8,140 | ||||||||||||
U.S. Government Agency Obligations | – | 7,796 | – | 7,796 | ||||||||||||
Affiliated Partnership | – | 105,671 | – | 105,671 | ||||||||||||
Cash Equivalent | 230,644 | – | – | 230,644 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Total Investments in Securities | $ | 230,644 | $ | 1,973,669 | $ | – | $ | 2,204,313 | ||||||||
|
|
|
|
|
|
|
|
| ||||||||
| ||||||||||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| ||||||||||||||||
Purchased Options | $ | 117 | $ | – | $ | – | $ | 117 | ||||||||
Written Options | (100 | ) | – | – | (100 | ) | ||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | 1,057 | – | – | 1,057 | ||||||||||||
Unrealized Depreciation | (827 | ) | – | – | (827 | ) | ||||||||||
Forwards Contracts * | ||||||||||||||||
Unrealized Appreciation | – | 273 | – | 273 | ||||||||||||
Unrealized Depreciation | – | (22 | ) | – | (22 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Credit Default Swaps * | ||||||||||||||||
Unrealized Appreciation | – | 12 | – | 12 | ||||||||||||
Interest Rate Swaps * | ||||||||||||||||
Unrealized Appreciation | – | 1,071 | – | 1,071 | ||||||||||||
Unrealized Depreciation | – | (12 | ) | – | (12 | ) | ||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Total Other Financial Instruments | $ | 247 | $ | 1,322 | $ | – | $ | 1,569 | ||||||||
|
|
|
|
|
|
|
|
|
* Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 $0.
184 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Liquidity Fund, L.P. | $629 | $1,053,638 | $(948,594) | $(2) | $– | $105,671 | $199 | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, | 31,642 | 1,547,774 | (1,348,772) | – | – | 230,644 | 551 | |||||||||||||||||||||
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|
|
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|
|
|
|
|
|
|
| ||||||||
Totals | $32,271 | $2,601,412 | $(2,297,366) | $(2) | $ - | $336,315 | $750 | |||||||||||||||||||||
|
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|
|
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 185 |
SCHEDULE OF INVESTMENTS
September 30, 2017
High Yield Bond Fund
†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).
Description |
Face Amount | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 74.8% |
| |||||||
Consumer Discretionary — 20.1% |
| |||||||
1011778 BC ULC / New Red Finance | ||||||||
5.000%, 10/15/2025 (A) | $ | 3,415 | $ | 3,457 | ||||
4.250%, 05/15/2024 (A) | 3,056 | 3,067 | ||||||
Adelphia Communications (Escrow Security) | ||||||||
10.250%, 06/15/2011 (B) (E) | 150 | 1 | ||||||
9.500%, 02/15/2004 (B) (E) | 25 | – | ||||||
7.875%, 01/15/2009 (B) (E) | 225 | – | ||||||
Adient Global Holdings | ||||||||
4.875%, 08/15/2026 (A) | 2,130 | 2,178 | ||||||
Altice | ||||||||
7.750%, 05/15/2022 (A) | 4,407 | 4,677 | ||||||
7.625%, 02/15/2025 (A) | 2,850 | 3,074 | ||||||
Altice Financing | ||||||||
7.500%, 05/15/2026 (A) | 4,922 | 5,414 | ||||||
6.625%, 02/15/2023 (A) | 345 | 366 | ||||||
6.500%, 01/15/2022 (A) | 300 | 312 | ||||||
Altice Finco | ||||||||
8.125%, 01/15/2024 (A) | 610 | 659 | ||||||
Altice Finco MTN | ||||||||
7.625%, 02/15/2025 (A) | 205 | 216 | ||||||
Altice US Finance | ||||||||
5.375%, 07/15/2023 (A) | 1,946 | 2,058 | ||||||
AMC Entertainment Holdings | ||||||||
5.875%, 11/15/2026 | 921 | 908 | ||||||
5.750%, 06/15/2025 | 1,840 | 1,808 | ||||||
AMC Networks | ||||||||
5.000%, 04/01/2024 | 1,573 | 1,624 | ||||||
4.750%, 12/15/2022 | 2,210 | 2,273 | ||||||
4.750%, 08/01/2025 | 2,215 | 2,237 |
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
American Axle & Manufacturing | ||||||||
6.625%, 10/15/2022 | $ | 440 | $ | 454 | ||||
6.500%, 04/01/2027 (A) | 660 | 666 | ||||||
6.250%, 04/01/2025 (A) | 540 | 551 | ||||||
Apex Tool Group | ||||||||
7.000%, 02/01/2021 (A) | 1,520 | 1,406 | ||||||
Aramark Services | ||||||||
4.750%, 06/01/2026 | 700 | 737 | ||||||
Ashtead Capital | ||||||||
4.375%, 08/15/2027 (A) | 269 | 277 | ||||||
4.125%, 08/15/2025 (A) | 269 | 277 | ||||||
Aventine (Escrow Security) | ||||||||
0.000%, 10/15/2049 (B) (C) (D) (E) | 2,750 | – | ||||||
Belo | ||||||||
7.750%, 06/01/2027 | 1,675 | 1,897 | ||||||
Block Communications | ||||||||
6.875%, 02/15/2025 (A) | 1,422 | 1,543 | ||||||
Bon-Ton Department Stores | ||||||||
8.000%, 06/15/2021 | 6,770 | 2,437 | ||||||
Boyd Gaming | ||||||||
6.375%, 04/01/2026 | 1,400 | 1,528 | ||||||
Brookfield Residential Properties | ||||||||
6.375%, 05/15/2025 (A) | 458 | 482 | ||||||
Burger King Worldwide | ||||||||
6.000%, 04/01/2022 (A) | 477 | 492 | ||||||
Cablevision Systems | ||||||||
5.875%, 09/15/2022 | 1,500 | 1,552 | ||||||
Caesars Entertainment Operating | ||||||||
11.250%, 06/01/2017 (E) | 521 | 673 | ||||||
9.000%, 02/15/2020 (E) | 3,654 | 4,850 | ||||||
8.500%, 02/15/2020 (E) | 1,239 | 1,644 | ||||||
CBS Radio | ||||||||
7.250%, 11/01/2024 (A) | 230 | 246 | ||||||
CCM Merger | ||||||||
6.000%, 03/15/2022 (A) | 695 | 719 | ||||||
CCO Holdings | ||||||||
5.875%, 04/01/2024 (A) | 1,820 | 1,931 | ||||||
5.750%, 02/15/2026 (A) | 2,625 | 2,752 | ||||||
5.500%, 05/01/2026 (A) | 3,670 | 3,803 | ||||||
5.375%, 05/01/2025 (A) | 2,340 | 2,425 | ||||||
5.250%, 09/30/2022 | 250 | 258 | ||||||
5.125%, 05/01/2027 (A) | 5,068 | 5,138 | ||||||
5.000%, 02/01/2028 (A) | 1,416 | 1,411 | ||||||
CEC Entertainment | ||||||||
8.000%, 02/15/2022 | 1,283 | 1,331 | ||||||
Cedar Fair | ||||||||
5.375%, 06/01/2024 | 1,174 | 1,234 | ||||||
Cengage Learning | ||||||||
9.500%, 06/15/2024 (A) | 4,720 | 4,106 | ||||||
Century Communities | ||||||||
6.875%, 05/15/2022 | 1,920 | 2,028 |
186 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Cequel Communications Holdings I | ||||||||
7.750%, 07/15/2025 (A) | $ | 895 | $ | 989 | ||||
5.125%, 12/15/2021 (A) | 620 | 631 | ||||||
Cinemark USA | ||||||||
4.875%, 06/01/2023 | 500 | 505 | ||||||
Claire’s Stores | ||||||||
9.000%, 03/15/2019 (A) | 1,590 | 912 | ||||||
Clear Channel Worldwide Holdings | ||||||||
7.625%, 03/15/2020 | 3,629 | 3,583 | ||||||
6.500%, 11/15/2022 | 3,325 | 3,421 | ||||||
Constellation | ||||||||
8.500%, 09/15/2025 (A) | 485 | 477 | ||||||
Cooper-Standard Automotive | ||||||||
5.625%, 11/15/2026 (A) | 430 | 440 | ||||||
CSC Holdings | ||||||||
10.875%, 10/15/2025 (A) | 4,618 | 5,709 | ||||||
10.125%, 01/15/2023 (A) | 2,185 | 2,521 | ||||||
6.750%, 11/15/2021 | 1,250 | 1,381 | ||||||
6.625%, 10/15/2025 (A) | 420 | 460 | ||||||
5.250%, 06/01/2024 | 2,249 | 2,274 | ||||||
Cumulus Media Holdings | ||||||||
7.750%, 05/01/2019 | 4,580 | 1,317 | ||||||
Dana | ||||||||
6.000%, 09/15/2023 | 1,000 | 1,052 | ||||||
5.500%, 12/15/2024 | 470 | 494 | ||||||
Dana Financing Luxembourg Sarl | ||||||||
6.500%, 06/01/2026 (A) | 145 | 157 | ||||||
Delphi Jersey Holdings | ||||||||
5.000%, 10/01/2025 (A) | 5,031 | 5,119 | ||||||
Diamond Resorts International | ||||||||
10.750%, 09/01/2024 (A) | 1,880 | 2,002 | ||||||
DISH DBS | ||||||||
7.750%, 07/01/2026 | 280 | 322 | ||||||
5.875%, 07/15/2022 | 1,366 | 1,451 | ||||||
5.875%, 11/15/2024 | 11,244 | 11,785 | ||||||
5.000%, 03/15/2023 | 3,240 | 3,311 | ||||||
Eldorado Resorts | ||||||||
6.000%, 04/01/2025 | 2,420 | 2,541 | ||||||
ESH Hospitality | ||||||||
5.250%, 05/01/2025 (A) | 3,760 | 3,887 | ||||||
EW Scripps | ||||||||
5.125%, 05/15/2025 (A) | 735 | 750 | ||||||
Fiat Chrysler Automobiles | ||||||||
5.250%, 04/15/2023 | 410 | 437 | ||||||
Fontainebleau Las Vegas Holdings | ||||||||
10.250%, 06/15/2015 (A)(B)(E) | 3,108 | – | ||||||
Gannett | ||||||||
5.500%, 09/15/2024 (A) | 336 | 354 | ||||||
Golden Nugget | ||||||||
8.750%, 10/01/2025 (A) | 740 | 753 | ||||||
Goodyear Tire & Rubber | ||||||||
5.125%, 11/15/2023 | 425 | 445 |
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Gray Television | ||||||||
5.875%, 07/15/2026 (A) | $ | 1,065 | $ | 1,097 | ||||
5.125%, 10/15/2024 (A) | 2,400 | 2,412 | ||||||
Group 1 Automotive | ||||||||
5.250%, 12/15/2023 (A) | 775 | 785 | ||||||
Guitar Center | ||||||||
9.625%, 04/15/2020 (A) | 5,165 | 3,202 | ||||||
6.500%, 04/15/2019 (A) | 1,300 | 1,180 | ||||||
Hanesbrands | ||||||||
4.875%, 05/15/2026 (A) | 155 | 161 | ||||||
Herc Rentals | ||||||||
7.750%, 06/01/2024 (A) | 756 | 820 | ||||||
7.500%, 06/01/2022 (A) | 352 | 381 | ||||||
Hilton Domestic Operating | ||||||||
4.250%, 09/01/2024 | 2,278 | 2,324 | ||||||
Hilton Grand Vacations Borrower | ||||||||
6.125%, 12/01/2024 (A) | 115 | 126 | ||||||
Hilton Worldwide Finance | ||||||||
4.875%, 04/01/2027 | 115 | 121 | ||||||
4.625%, 04/01/2025 | 230 | 237 | ||||||
iHeartCommunications | ||||||||
14.000% cash/14.000% PIK, | ||||||||
02/01/2021 | 6,016 | 812 | ||||||
10.625%, 03/15/2023 | 951 | 671 | ||||||
9.000%, 12/15/2019 | 2,239 | 1,690 | ||||||
9.000%, 03/01/2021 | 2,075 | 1,473 | ||||||
9.000%, 09/15/2022 | 2,173 | 1,532 | ||||||
iHeartCommunications (Escrow Security) | ||||||||
12.000%, 08/01/2021 (B) | 3,515 | – | ||||||
IHO Verwaltungs GmbH | ||||||||
4.500% cash/5.250% PIK, | ||||||||
09/15/2023 (A) | 510 | 519 | ||||||
Inn of the Mountain Gods Resort & Casino | ||||||||
9.250%, 11/30/2020 (A) (F) | 4,420 | 3,978 | ||||||
International Game Technology | ||||||||
6.500%, 02/15/2025 (A) | 1,025 | 1,152 | ||||||
6.250%, 02/15/2022 (A) | 320 | 354 | ||||||
Interval Acquisition | ||||||||
5.625%, 04/15/2023 | 620 | 639 | ||||||
Jack Ohio Finance | ||||||||
6.750%, 11/15/2021 (A) | 2,150 | 2,255 | ||||||
Jacobs Entertainment | ||||||||
7.875%, 02/01/2024 (A) | 830 | 894 | ||||||
JC Penney | ||||||||
6.375%, 10/15/2036 | 505 | 357 | ||||||
5.875%, 07/01/2023 (A) | 1,569 | 1,585 | ||||||
KFC Holding | ||||||||
5.000%, 06/01/2024 (A) | 1,994 | 2,101 | ||||||
4.750%, 06/01/2027 (A) | 835 | 860 | ||||||
L Brands | ||||||||
6.950%, 03/01/2033 | 646 | 632 | ||||||
6.875%, 11/01/2035 | 945 | 917 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 187 |
SCHEDULE OF INVESTMENTS
September 30, 2017
High Yield Bond Fund (Continued)
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
6.750%, 07/01/2036 | $ | 1,395 | $ | 1,349 | ||||
5.625%, 02/15/2022 | 1,000 | 1,067 | ||||||
Landry’s | ||||||||
6.750%, 10/15/2024 (A) | 2,709 | 2,739 | ||||||
Lee Enterprises | ||||||||
9.500%, 03/15/2022 (A) | 1,300 | 1,350 | ||||||
Liberty Media | ||||||||
8.250%, 02/01/2030 | 2,205 | 2,437 | ||||||
Lions Gate Entertainment | ||||||||
5.875%, 11/01/2024 (A) | 1,000 | 1,050 | ||||||
Lithia Motors | ||||||||
5.250%, 08/01/2025 (A) | 180 | 187 | ||||||
Live Nation Entertainment | ||||||||
4.875%, 11/01/2024 (A) | 90 | 93 | ||||||
M/I Homes | ||||||||
6.750%, 01/15/2021 | 935 | 976 | ||||||
5.625%, 08/01/2025 (A) | 1,780 | 1,818 | ||||||
Mattamy Group | ||||||||
6.500%, 10/01/2025 (A) | 1,135 | 1,163 | ||||||
McClatchy | ||||||||
9.000%, 12/15/2022 | 2,960 | 3,056 | ||||||
McGraw-Hill Global Education Holdings | ||||||||
7.875%, 05/15/2024 (A) | 162 | 160 | ||||||
MGM Resorts International | ||||||||
7.750%, 03/15/2022 | 1,615 | 1,885 | ||||||
6.000%, 03/15/2023 | 3,488 | 3,846 | ||||||
4.625%, 09/01/2026 | 1,872 | 1,895 | ||||||
Midcontinent Communications | ||||||||
6.875%, 08/15/2023 (A) | 1,320 | 1,422 | ||||||
Millennium (Escrow Security) | ||||||||
7.625%, 11/15/2026 (B) (E) | 175 | – | ||||||
Mohegan Gaming & Entertainment | ||||||||
7.875%, 10/15/2024 (A) | 2,739 | 2,910 | ||||||
Monitronics International | ||||||||
9.125%, 04/01/2020 | 5,651 | 5,029 | ||||||
Neiman Marcus Group | ||||||||
8.750% cash/9.500% PIK, 10/15/2021 (A) | 675 | 317 | ||||||
8.000%, 10/15/2021 (A) | 365 | 190 | ||||||
Nexstar Broadcasting | ||||||||
6.125%, 02/15/2022 (A) | 380 | 396 | ||||||
5.625%, 08/01/2024 (A) | 2,823 | 2,922 | ||||||
Nine West Holdings | ||||||||
8.250%, 03/15/2019 (A) | 4,619 | 831 | ||||||
PetSmart | ||||||||
8.875%, 06/01/2025 (A) | 420 | 334 | ||||||
7.125%, 03/15/2023 (A) | 1,225 | 955 | ||||||
5.875%, 06/01/2025 (A) | 340 | 297 | ||||||
Pinnacle Entertainment | ||||||||
5.625%, 05/01/2024 | 1,350 | 1,380 | ||||||
PulteGroup | ||||||||
5.000%, 01/15/2027 | 987 | 1,026 |
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Quebecor Media | ||||||||
5.750%, 01/15/2023 | $ | 2,270 | $ | 2,469 | ||||
Quebecor Media (Escrow Security) | ||||||||
0.000%, 11/15/2013 (B) (E) (G) | 1,725 | 2 | ||||||
0.000%, 03/15/2016 (B) (E) | 1,915 | – | ||||||
QVC | ||||||||
4.450%, 02/15/2025 | 595 | 604 | ||||||
Radiate Holdco | ||||||||
6.625%, 02/15/2025 (A) | 3,764 | 3,679 | ||||||
Regal Entertainment Group | ||||||||
5.750%, 03/15/2022 | 305 | 315 | ||||||
5.750%, 06/15/2023 | 280 | 288 | ||||||
Ritchie Bros Auctioneers | ||||||||
5.375%, 01/15/2025 (A) | 329 | 348 | ||||||
Sally Holdings | ||||||||
5.625%, 12/01/2025 | 1,848 | 1,894 | ||||||
Scientific Games International | ||||||||
7.000%, 01/01/2022 (A) | 1,994 | 2,116 | ||||||
Seminole Tribe of Florida | ||||||||
6.535%, 10/01/2020 (A) | 310 | 316 | ||||||
Service International | ||||||||
7.500%, 04/01/2027 | 1,295 | 1,551 | ||||||
ServiceMaster | ||||||||
5.125%, 11/15/2024 (A) | 621 | 638 | ||||||
SFR Group | ||||||||
7.375%, 05/01/2026 (A) | 9,444 | 10,200 | ||||||
6.250%, 05/15/2024 (A) | 1,991 | 2,102 | ||||||
6.000%, 05/15/2022 (A) | 1,805 | 1,886 | ||||||
Silversea Cruise Finance | ||||||||
7.250%, 02/01/2025 (A) | 2,190 | 2,343 | ||||||
Sinclair Television Group | ||||||||
6.125%, 10/01/2022 | 795 | 819 | ||||||
5.625%, 08/01/2024 (A) | 840 | 862 | ||||||
5.125%, 02/15/2027 (A) | 3,489 | 3,389 | ||||||
Sirius XM Radio | ||||||||
6.000%, 07/15/2024 (A) | 748 | 805 | ||||||
5.375%, 04/15/2025 (A) | 4,420 | 4,663 | ||||||
5.375%, 07/15/2026 (A) | 2,475 | 2,605 | ||||||
5.000%, 08/01/2027 (A) | 1,220 | 1,245 | ||||||
4.625%, 05/15/2023 (A) | 730 | 750 | ||||||
Six Flags Entertainment | ||||||||
5.500%, 04/15/2027 (A) | 1,675 | 1,717 | ||||||
4.875%, 07/31/2024 (A) | 3,203 | 3,259 | ||||||
Staples | ||||||||
8.500%, 09/15/2025 (A) | 755 | 734 | ||||||
Station Casinos | ||||||||
5.000%, 10/01/2025 (A) | 2,568 | 2,574 | ||||||
Sugarhouse HSP Gaming Prop Mezz | ||||||||
5.875%, 05/15/2025 (A) | 3,105 | 3,051 | ||||||
Taylor Morrison Communities | ||||||||
5.625%, 03/01/2024 (A) | 1,755 | 1,825 |
188 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
TEGNA | ||||||||
6.375%, 10/15/2023 | $ | 250 | $ | 266 | ||||
Tempur Sealy International | ||||||||
5.625%, 10/15/2023 | 595 | 626 | ||||||
5.500%, 06/15/2026 | 455 | 466 | ||||||
Tenneco | ||||||||
5.000%, 07/15/2026 | 340 | 349 | ||||||
Tesla | ||||||||
5.300%, 08/15/2025 (A) | 4,231 | 4,125 | ||||||
TI Group Automotive Systems | ||||||||
8.750%, 07/15/2023 (A) | 3,724 | 3,947 | ||||||
Time | ||||||||
5.750%, 04/15/2022 (A) | 545 | 558 | ||||||
Tribune Media | ||||||||
5.875%, 07/15/2022 | 3,140 | 3,266 | ||||||
Unitymedia GmbH | ||||||||
6.125%, 01/15/2025 (A) | 795 | 848 | ||||||
Unitymedia Hessen GmbH & KG | ||||||||
5.000%, 01/15/2025 (A) | 1,100 | 1,156 | ||||||
Univision Communications | ||||||||
5.125%, 02/15/2025 (A) | 5,151 | 5,196 | ||||||
UPCB Finance IV | ||||||||
5.375%, 01/15/2025 (A) | 1,630 | 1,695 | ||||||
Urban One | ||||||||
9.250%, 02/15/2020 (A) | 4,076 | 3,862 | ||||||
7.375%, 04/15/2022 (A) | 3,022 | 3,022 | ||||||
Videotron | ||||||||
5.375%, 06/15/2024 (A) | 635 | 689 | ||||||
5.125%, 04/15/2027 (A) | 1,810 | 1,882 | ||||||
Viking Cruises | ||||||||
6.250%, 05/15/2025 (A) | 3,215 | 3,316 | ||||||
5.875%, 09/15/2027 (A) | 1,575 | 1,580 | ||||||
Virgin Media Finance | ||||||||
5.750%, 01/15/2025 (A) | 2,197 | 2,277 | ||||||
Virgin Media Secured Finance | ||||||||
5.500%, 01/15/2025 (A) | 200 | 210 | ||||||
5.500%, 08/15/2026 (A) | 480 | 506 | ||||||
5.250%, 01/15/2026 (A) | 2,635 | 2,744 | ||||||
Vista Outdoor | ||||||||
5.875%, 10/01/2023 | 1,075 | 1,106 | ||||||
Wave Holdco | ||||||||
8.250% cash/9.000% PIK, | ||||||||
07/15/2019 (A) | 416 | 417 | ||||||
WMG Acquisition | ||||||||
5.625%, 04/15/2022 (A) | 58 | 60 | ||||||
4.875%, 11/01/2024 (A) | 135 | 139 | ||||||
Wynn Las Vegas | ||||||||
5.500%, 03/01/2025 (A) | 2,090 | 2,176 | ||||||
5.250%, 05/15/2027 (A) | 646 | 658 | ||||||
Yum! Brands | ||||||||
6.875%, 11/15/2037 | 1,915 | 2,104 | ||||||
5.350%, 11/01/2043 | 130 | 122 |
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Ziggo Bond Finance BV | ||||||||
6.000%, 01/15/2027 (A) | $ | 2,000 | $ | 2,070 | ||||
Ziggo Secured Finance BV | ||||||||
5.500%, 01/15/2027 (A) | 1,535 | 1,573 | ||||||
|
| |||||||
333,064 | ||||||||
|
| |||||||
Consumer Staples — 2.2% |
| |||||||
Albertsons | ||||||||
6.625%, 06/15/2024 | 590 | 551 | ||||||
5.750%, 03/15/2025 | 1,247 | 1,097 | ||||||
Avon International Operations | ||||||||
7.875%, 08/15/2022 (A) | 648 | 672 | ||||||
Avon Products | ||||||||
7.000%, 03/15/2023 | 269 | 236 | ||||||
B&G Foods | ||||||||
5.250%, 04/01/2025 | 1,200 | 1,230 | ||||||
Central Garden & Pet | ||||||||
6.125%, 11/15/2023 | 495 | 527 | ||||||
Clearwater Seafoods | ||||||||
6.875%, 05/01/2025 (A) | 880 | 934 | ||||||
Cott Holdings | ||||||||
5.500%, 04/01/2025 (A) | 815 | 850 | ||||||
Energizer Holdings | ||||||||
5.500%, 06/15/2025 (A) | 775 | 816 | ||||||
First Quality Finance | ||||||||
5.000%, 07/01/2025 (A) | 1,150 | 1,186 | ||||||
High Ridge Brands | ||||||||
8.875%, 03/15/2025 (A) | 405 | 386 | ||||||
HRG Group | ||||||||
7.875%, 07/15/2019 | 140 | 143 | ||||||
7.750%, 01/15/2022 | 2,062 | 2,152 | ||||||
KeHE Distributors | ||||||||
7.625%, 08/15/2021 (A) | 1,900 | 1,910 | ||||||
Lamb Weston Holdings | ||||||||
4.875%, 11/01/2026 (A) | 2,000 | 2,100 | ||||||
New Albertson’s | ||||||||
8.000%, 05/01/2031 | 4,610 | 3,688 | ||||||
7.750%, 06/15/2026 | 160 | 131 | ||||||
7.450%, 08/01/2029 | 1,605 | 1,244 | ||||||
Pilgrim’s Pride | ||||||||
5.875%, 09/30/2027 (A)(B) | 1,947 | 1,988 | ||||||
Post Holdings | ||||||||
5.750%, 03/01/2027 (A) | 940 | 968 | ||||||
5.500%, 03/01/2025 (A) | 290 | 301 | ||||||
5.000%, 08/15/2026 (A) | 3,628 | 3,619 | ||||||
Rite Aid | ||||||||
7.700%, 02/15/2027 | 2,550 | 2,253 | ||||||
6.125%, 04/01/2023 (A) | 3,632 | 3,528 | ||||||
Spectrum Brands | ||||||||
5.750%, 07/15/2025 | 926 | 986 | ||||||
SUPERVALU | ||||||||
6.750%, 06/01/2021 | 1,995 | 1,890 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 189 |
SCHEDULE OF INVESTMENTS
September 30, 2017
High Yield Bond Fund (Continued)
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
TreeHouse Foods | ||||||||
6.000%, 02/15/2024 (A) | $ | 645 | $ | 689 | ||||
|
|
| ||||||
36,075 | ||||||||
|
|
| ||||||
Energy — 10.7% |
| |||||||
Alta Mesa Holdings | ||||||||
7.875%, 12/15/2024 (A) | 1,810 | 1,955 | ||||||
American Greetings | ||||||||
7.875%, 02/15/2025 (A) | 65 | 70 | ||||||
Andeavor Logistics | ||||||||
6.375%, 05/01/2024 | 250 | 271 | ||||||
6.250%, 10/15/2022 | 255 | 271 | ||||||
6.125%, 10/15/2021 | 285 | 294 | ||||||
5.875%, 10/01/2020 | 500 | 509 | ||||||
5.250%, 01/15/2025 | 205 | 220 | ||||||
Antero Midstream Partners | ||||||||
5.375%, 09/15/2024 | 280 | 290 | ||||||
Antero Resources | ||||||||
5.625%, 06/01/2023 | 1,252 | 1,305 | ||||||
5.125%, 12/01/2022 | 655 | 670 | ||||||
Archrock Partners | ||||||||
6.000%, 04/01/2021 | 475 | 466 | ||||||
Atwood Oceanics | ||||||||
6.500%, 02/01/2020 | 967 | 961 | ||||||
Blue Racer Midstream | ||||||||
6.125%, 11/15/2022 (A) | 5,680 | 5,893 | ||||||
Boardwalk Pipelines | ||||||||
5.950%, 06/01/2026 | 425 | 475 | ||||||
Calfrac Holdings | ||||||||
7.500%, 12/01/2020 (A) | 3,693 | 3,550 | ||||||
California Resources | ||||||||
8.000%, 12/15/2022 (A) | 2,855 | 1,856 | ||||||
Calumet Specialty Products Partners | ||||||||
6.500%, 04/15/2021 | 3,021 | 2,951 | ||||||
Carrizo Oil & Gas | ||||||||
8.250%, 07/15/2025 | 1,201 | 1,305 | ||||||
7.500%, 09/15/2020 | 200 | 204 | ||||||
6.250%, 04/15/2023 | 320 | 325 | ||||||
Cheniere Corpus Christi Holdings | ||||||||
5.875%, 03/31/2025 | 1,733 | 1,865 | ||||||
5.125%, 06/30/2027 (A) | 1,895 | 1,952 | ||||||
Chesapeake Energy | ||||||||
8.000%, 12/15/2022 (A) | 1,021 | 1,100 | ||||||
8.000%, 01/15/2025 (A) | 2,886 | 2,915 | ||||||
8.000%, 06/15/2027 (A) | 1,140 | 1,129 | ||||||
Cloud Peak Energy Resources | ||||||||
12.000%, 11/01/2021 | 745 | 782 | ||||||
CONSOL Energy | ||||||||
5.875%, 04/15/2022 | 1,853 | 1,872 | ||||||
Continental Resources | ||||||||
5.000%, 09/15/2022 | 850 | 864 | ||||||
4.500%, 04/15/2023 | 3,690 | 3,699 |
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Covey Park Energy | ||||||||
7.500%, 05/15/2025 (A) | $ | 170 | $ | 176 | ||||
Crestwood Midstream Partners | ||||||||
6.250%, 04/01/2023 | 365 | 376 | ||||||
5.750%, 04/01/2025 | 4,075 | 4,162 | ||||||
CSI Compressco | ||||||||
7.250%, 08/15/2022 | 195 | 180 | ||||||
DCP Midstream Operating | ||||||||
5.850%, VAR ICE LIBOR USD 3 Month+3.850%, 05/21/2043 (A) | 646 | 602 | ||||||
Delek Logistics Partners | ||||||||
6.750%, 05/15/2025 (A) | 811 | 817 | ||||||
Denbury Resources | ||||||||
9.000%, 05/15/2021 (A) | 1,031 | 1,007 | ||||||
5.500%, 05/01/2022 | 125 | 71 | ||||||
4.625%, 07/15/2023 | 1,595 | 845 | ||||||
Diamond Offshore Drilling | ||||||||
7.875%, 08/15/2025 | 804 | 850 | ||||||
Energy Transfer | ||||||||
5.500%, 04/15/2023 | 510 | 525 | ||||||
Energy Transfer Equity | ||||||||
5.875%, 01/15/2024 | 977 | 1,049 | ||||||
EnLink Midstream Partners | ||||||||
5.050%, 04/01/2045 | 1,253 | 1,207 | ||||||
4.400%, 04/01/2024 | 560 | 579 | ||||||
Ensco | ||||||||
8.000%, 01/31/2024 | 962 | 945 | ||||||
5.750%, 10/01/2044 | 1,705 | 1,224 | ||||||
EP Energy | ||||||||
9.375%, 05/01/2020 | 545 | 454 | ||||||
8.000%, 11/29/2024 (A) | 545 | 550 | ||||||
8.000%, 02/15/2025 (A) | 1,118 | 871 | ||||||
7.750%, 09/01/2022 | 210 | 133 | ||||||
Exterran Energy Solutions | ||||||||
8.125%, 05/01/2025 (A) | 465 | 481 | ||||||
Extraction Oil & Gas | ||||||||
7.875%, 07/15/2021 (A) | 2,625 | 2,769 | ||||||
7.375%, 05/15/2024 (A) | 589 | 613 | ||||||
FTS International | ||||||||
8.820%, VAR ICE LIBOR USD 3 Month+7.500%, 06/15/2020 (A) | 1,028 | 1,045 | ||||||
6.250%, 05/01/2022 | 4,551 | 4,164 | ||||||
Genesis Energy | ||||||||
6.750%, 08/01/2022 | 2,470 | 2,525 | ||||||
6.500%, 10/01/2025 | 805 | 796 | ||||||
6.000%, 05/15/2023 | 1,640 | 1,628 | ||||||
Gulfport Energy | ||||||||
6.000%, 10/15/2024 | 830 | 836 | ||||||
Halcon Resources | ||||||||
6.750%, 02/15/2025 (A) | 765 | 792 | ||||||
Hilcorp Energy I | ||||||||
5.750%, 10/01/2025 (A) | 1,600 | 1,618 |
190 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
IronGate Energy Services | ||||||||
11.000%, 07/01/2018 (A)(E) | $ | 400 | $ | 140 | ||||
Jones Energy Holdings | ||||||||
9.250%, 03/15/2023 | 2,106 | 1,748 | ||||||
Jupiter Resources | ||||||||
8.500%, 10/01/2022 (A) | 3,510 | 2,518 | ||||||
KCA Deutag UK Finance | ||||||||
9.875%, 04/01/2022 (A) | 1,130 | 1,172 | ||||||
Laredo Petroleum | ||||||||
7.375%, 05/01/2022 | 2,132 | 2,207 | ||||||
5.625%, 01/15/2022 | 80 | 80 | ||||||
MEG Energy | ||||||||
7.000%, 03/31/2024 (A) | 3,467 | 2,973 | ||||||
6.500%, 01/15/2025 (A) | 4,825 | 4,710 | ||||||
6.375%, 01/30/2023 (A) | 1,665 | 1,453 | ||||||
Midstates Petroleum | ||||||||
10.750%, 10/01/2020 (B) (E) | 2,540 | – | ||||||
10.000%, 06/01/2020 (B) (E) | 720 | – | ||||||
9.250%, 06/01/2021 (B) (E) | 360 | – | ||||||
Murphy Oil | ||||||||
6.875%, 08/15/2024 | 420 | 448 | ||||||
Murray Energy | ||||||||
11.250%, 04/15/2021 (A) | 2,608 | 1,555 | ||||||
Nabors Industries | ||||||||
5.500%, 01/15/2023 | 125 | 123 | ||||||
Newfield Exploration | ||||||||
5.750%, 01/30/2022 | 300 | 320 | ||||||
5.625%, 07/01/2024 | 905 | 971 | ||||||
5.375%, 01/01/2026 | 830 | 872 | ||||||
NGL Energy Partners | ||||||||
7.500%, 11/01/2023 | 2,280 | 2,269 | ||||||
6.125%, 03/01/2025 | 1,208 | 1,123 | ||||||
NGPL PipeCo | ||||||||
4.875%, 08/15/2027 (A) | 95 | 100 | ||||||
4.375%, 08/15/2022 (A) | 385 | 399 | ||||||
Noble Holding International | ||||||||
7.750%, 01/15/2024 | 5,229 | 4,641 | ||||||
Oasis Petroleum | ||||||||
6.875%, 03/15/2022 | 400 | 407 | ||||||
6.875%, 01/15/2023 | 790 | 802 | ||||||
6.500%, 11/01/2021 | 185 | 189 | ||||||
Parker Drilling | ||||||||
6.750%, 07/15/2022 | 3,920 | 3,126 | ||||||
Parsley Energy | ||||||||
5.375%, 01/15/2025 (A) | 1,734 | 1,771 | ||||||
5.250%, 08/15/2025 (A) | 1,075 | 1,092 | ||||||
PBF Holding | ||||||||
7.000%, 11/15/2023 | 805 | 828 | ||||||
PDC Energy | ||||||||
7.750%, 10/15/2022 | 500 | 521 | ||||||
6.125%, 09/15/2024 | 246 | 257 |
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Peabody Energy | ||||||||
6.375%, 03/31/2025 (A) | $ | 2,675 | $ | 2,749 | ||||
6.000%, 03/31/2022 (A) | 436 | 450 | ||||||
Plains All American Pipeline | ||||||||
4.500%, 12/15/2026 | 1,878 | 1,906 | ||||||
Precision Drilling | ||||||||
7.750%, 12/15/2023 | 257 | 262 | ||||||
Pride International | ||||||||
7.875%, 08/15/2040 | 245 | 208 | ||||||
Range Resources | ||||||||
5.000%, 08/15/2022 (A) | 65 | 65 | ||||||
5.000%, 03/15/2023 (A) | 270 | 268 | ||||||
4.875%, 05/15/2025 | 869 | 856 | ||||||
Rowan | ||||||||
7.375%, 06/15/2025 | 2,908 | 2,843 | ||||||
5.850%, 01/15/2044 | 1,745 | 1,387 | ||||||
5.400%, 12/01/2042 | 370 | 281 | ||||||
RSP Permian | ||||||||
6.625%, 10/01/2022 | 250 | 262 | ||||||
5.250%, 01/15/2025 (A) | 140 | 142 | ||||||
Sabine Pass Liquefaction | ||||||||
5.875%, 06/30/2026 | 140 | 156 | ||||||
5.750%, 05/15/2024 | 1,690 | 1,880 | ||||||
5.000%, 03/15/2027 | 350 | 374 | ||||||
Sable Permian Resources (Escrow) | ||||||||
8.000%, 06/15/2020 (A) | 1,411 | 1,437 | ||||||
Sanchez Energy | ||||||||
7.750%, 06/15/2021 | 65 | 62 | ||||||
6.125%, 01/15/2023 | 445 | 380 | ||||||
SemGroup/Rose Rock Financial | ||||||||
5.625%, 07/15/2022 | 5,290 | 5,171 | ||||||
SESI LLC | ||||||||
7.125%, 12/15/2021 | 2,017 | 2,057 | ||||||
Seventy Seven Energy (Escrow) | ||||||||
6.500%, 07/15/2022 (E) | 305 | – | ||||||
Seventy Seven Operating (Escrow) | ||||||||
6.625%, 11/15/2019 (B)(E) | 1,869 | – | ||||||
SM Energy | ||||||||
6.500%, 11/15/2021 | 250 | 253 | ||||||
6.500%, 01/01/2023 | 180 | 181 | ||||||
6.125%, 11/15/2022 | 465 | 466 | ||||||
5.625%, 06/01/2025 | 295 | 280 | ||||||
5.000%, 01/15/2024 | 1,288 | 1,214 | ||||||
Southwestern Energy | ||||||||
7.750%, 10/01/2027 | 744 | 772 | ||||||
7.500%, 04/01/2026 | 744 | 774 | ||||||
6.700%, 01/23/2025 | 2,715 | 2,755 | ||||||
4.100%, 03/15/2022 | 1,546 | 1,486 | ||||||
Summit Midstream Holdings | ||||||||
5.750%, 04/15/2025 | 2,940 | 2,984 | ||||||
5.500%, 08/15/2022 | 1,548 | 1,556 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 191 |
SCHEDULE OF INVESTMENTS
September 30, 2017
High Yield Bond Fund (Continued)
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Tallgrass Energy Partners | ||||||||
5.500%, 01/15/2028 (A) | $ | 330 | $ | 335 | ||||
Targa Resources Partners | ||||||||
6.750%, 03/15/2024 | 2,495 | 2,707 | ||||||
5.125%, 02/01/2025 | 160 | 165 | ||||||
4.250%, 11/15/2023 | 65 | 64 | ||||||
Texas Energy (Escrow Security) | ||||||||
3.832%, 12/31/2034 (B) | 167 | 23 | ||||||
Transocean | ||||||||
9.000%, 07/15/2023 (A) | 1,790 | 1,929 | ||||||
7.500%, 04/15/2031 | 1,619 | 1,473 | ||||||
5.800%, 10/15/2022 | 3,605 | 3,542 | ||||||
Tullow Oil | ||||||||
6.250%, 04/15/2022 (A) | 904 | 879 | ||||||
6.000%, 11/01/2020 (A) | 471 | 468 | ||||||
Ultra Resources | ||||||||
6.875%, 04/15/2022 (A) | 2,000 | 2,040 | ||||||
Weatherford International | ||||||||
9.875%, 02/15/2024 (A) | 635 | 699 | ||||||
8.250%, 06/15/2023 | 1,941 | 1,999 | ||||||
5.950%, 04/15/2042 | 2,520 | 2,066 | ||||||
Whiting Petroleum | ||||||||
6.250%, 04/01/2023 | 3,569 | 3,511 | ||||||
5.750%, 03/15/2021 | 1,169 | 1,149 | ||||||
WildHorse Resource Development | ||||||||
6.875%, 02/01/2025 (A) | 1,502 | 1,500 | ||||||
Williams | ||||||||
4.550%, 06/24/2024 | 802 | 830 | ||||||
WPX Energy | ||||||||
8.250%, 08/01/2023 | 800 | 897 | ||||||
7.500%, 08/01/2020 | 734 | 798 | ||||||
6.000%, 01/15/2022 | 235 | 243 | ||||||
5.250%, 09/15/2024 | 813 | 815 | ||||||
|
|
| ||||||
176,773 | ||||||||
|
|
| ||||||
Financials — 4.7% |
| |||||||
Ally Financial | ||||||||
5.750%, 11/20/2025 | 2,620 | 2,840 | ||||||
5.125%, 09/30/2024 | 80 | 87 | ||||||
4.625%, 05/19/2022 | 835 | 875 | ||||||
4.250%, 04/15/2021 | 390 | 404 | ||||||
4.125%, 03/30/2020 | 595 | 613 | ||||||
4.125%, 02/13/2022 | 95 | 98 | ||||||
ASP AMC | ||||||||
8.000%, 05/15/2025 (A) | 2,196 | 2,114 | ||||||
AssuredPartners | ||||||||
7.000%, 08/15/2025 (A) | 1,419 | 1,453 | ||||||
Bank of America | ||||||||
8.000%, VAR ICE LIBOR USD 3 | ||||||||
Month+3.630%, 12/31/2049 | 1,670 | 1,694 | ||||||
6.500%, VAR ICE LIBOR USD 3 | ||||||||
Month+4.174%, 12/31/2049 | 1,380 | 1,560 |
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
5.125%, VAR ICE LIBOR USD 3 Month+3.387%, 12/31/2049 | $ | 1,917 | $ | 1,958 | ||||
BCD Acquisition | ||||||||
9.625%, 09/15/2023 (A) | 1,890 | 2,079 | ||||||
Citigroup | ||||||||
5.950%, VAR ICE LIBOR USD 3 Month+3.905%, 12/31/2049 | 50 | 54 | ||||||
5.950%, VAR ICE LIBOR USD 3 Month+4.068%, 12/29/2049 | 1,250 | 1,345 | ||||||
5.875%, VAR ICE LIBOR USD 3 Month+4.059%, 12/29/2049 | 280 | 293 | ||||||
5.800%, VAR ICE LIBOR USD 3 Month+4.093%, 11/29/2049 | 280 | 289 | ||||||
City National Bank | ||||||||
9.000%, 08/12/2019 (B) | 3,384 | 3,751 | ||||||
CNG Holdings | ||||||||
9.375%, 05/15/2020 (A) | 1,330 | 1,164 | ||||||
Credit Acceptance | ||||||||
7.375%, 03/15/2023 | 1,780 | 1,882 | ||||||
6.125%, 02/15/2021 | 1,195 | 1,213 | ||||||
Credit Suisse Group | ||||||||
7.500%, VAR USD Swap Semi 30/360 5 Year Curr+4.598%, 12/31/2049 (A) | 765 | 864 | ||||||
CSTN | ||||||||
6.750%, 08/15/2024 (A) | 1,005 | 1,002 | ||||||
CTR Partnership | ||||||||
5.250%, 06/01/2025 | 2,110 | 2,171 | ||||||
Donnelley Financial Solutions | ||||||||
8.250%, 10/15/2024 | 1,206 | 1,290 | ||||||
FBM Finance | ||||||||
8.250%, 08/15/2021 (A) | 707 | 756 | ||||||
HUB International | ||||||||
7.875%, 10/01/2021 (A) | 3,710 | 3,863 | ||||||
Infinity Acquisition | ||||||||
7.250%, 08/01/2022 (A) | 585 | 572 | ||||||
JPMorgan Chase | ||||||||
7.900%, VAR ICE LIBOR USD 3 Month+3.470%, 12/31/2049 | 1,967 | 2,026 | ||||||
6.750%, VAR ICE LIBOR USD 3 Month+3.780%, 12/31/2049 | 1,485 | 1,699 | ||||||
6.000%, VAR ICE LIBOR USD 3 Month+3.300%, 12/29/2049 | 1,865 | 2,028 | ||||||
Lloyds Banking Group | ||||||||
7.500%, VAR USD Swap Semi 30/360 5 Year Curr+4.760%, 12/01/2099 | 1,965 | 2,203 | ||||||
LPL Holdings | ||||||||
5.750%, 09/15/2025 (A) | 3,287 | 3,408 | ||||||
MGIC Investment | ||||||||
5.750%, 08/15/2023 | 1,320 | 1,452 | ||||||
MGM Growth Properties Operating Partnership | ||||||||
5.625%, 05/01/2024 | 2,843 | 3,080 | ||||||
4.500%, 09/01/2026 | 2,795 | 2,837 |
192 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
4.500%, 01/15/2028 (A) | $ | 95 | $ | 96 | ||||
MSCI | ||||||||
5.750%, 08/15/2025 (A) | 566 | 618 | ||||||
4.750%, 08/01/2026 (A) | 955 | 1,005 | ||||||
National Life Insurance | ||||||||
10.500%, 09/15/2039 (A) | 990 | 1,643 | ||||||
Nationstar Mortgage | ||||||||
6.500%, 07/01/2021 | 1,525 | 1,556 | ||||||
Navient | ||||||||
7.250%, 09/25/2023 | 1,176 | 1,277 | ||||||
6.625%, 07/26/2021 | 2,390 | 2,557 | ||||||
6.500%, 06/15/2022 | 420 | 446 | ||||||
NSG Holdings | ||||||||
7.750%, 12/15/2025 (A) | 1,687 | 1,827 | ||||||
Popular | ||||||||
7.000%, 07/01/2019 | 1,288 | 1,323 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
8.000%, VAR USD Swap Semi 30/360 | ||||||||
5 Year Curr+5.720%, 12/29/2049 | 1,340 | 1,484 | ||||||
5.125%, 05/28/2024 | 780 | 830 | ||||||
Springleaf Finance | ||||||||
7.750%, 10/01/2021 | 1,790 | 2,022 | ||||||
6.125%, 05/15/2022 | 810 | 858 | ||||||
Starwood Property Trust | ||||||||
5.000%, 12/15/2021 | 1,275 | 1,331 | ||||||
Syniverse Foreign Holdings | ||||||||
9.125%, 01/15/2022 (A) | 1,305 | 1,328 | ||||||
Wells Fargo | ||||||||
7.980%, VAR ICE LIBOR USD 3 | ||||||||
Month+3.770%, 03/29/2049 | 950 | 979 | ||||||
York Risk Services Holding | ||||||||
8.500%, 10/01/2022 (A) | 2,250 | 2,216 | ||||||
|
|
| ||||||
78,413 | ||||||||
|
|
| ||||||
Health Care — 8.7% |
| |||||||
21st Century Oncology | ||||||||
11.000%, 05/01/2023 (A)(E) | 619 | 433 | ||||||
Air Medical Group Holdings | ||||||||
6.375%, 05/15/2023 (A) | 2,937 | 2,827 | ||||||
Alere | ||||||||
6.500%, 06/15/2020 | 215 | 219 | ||||||
6.375%, 07/01/2023 (A) | 325 | 350 | ||||||
Aurora Diagnostics Holdings | ||||||||
12.250%, 01/15/2020 | 4,845 | 4,482 | ||||||
Avantor | ||||||||
6.000%, 10/01/2024 (A) | 350 | 359 | ||||||
BioScrip | ||||||||
8.875%, 02/15/2021 | 3,211 | 2,938 | ||||||
Centene | ||||||||
6.125%, 02/15/2024 | 660 | 713 | ||||||
4.750%, 05/15/2022 | 1,570 | 1,639 | ||||||
4.750%, 01/15/2025 | 4,075 | 4,228 |
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
CHS | ||||||||
6.875%, 02/01/2022 | $ | 1,455 | $ | 1,142 | ||||
Concordia International | ||||||||
9.000%, 04/01/2022 (A) | 227 | 177 | ||||||
DaVita | ||||||||
5.000%, 05/01/2025 | 2,910 | 2,871 | ||||||
DaVita HealthCare Partners | ||||||||
5.125%, 07/15/2024 | 2,465 | 2,471 | ||||||
DJO Finco | ||||||||
8.125%, 06/15/2021 (A) | 4,821 | 4,616 | ||||||
Endo | ||||||||
6.000%, 07/15/2023 (A) | 825 | 681 | ||||||
5.875%, 10/15/2024 (A) | 1,604 | 1,680 | ||||||
Envision Healthcare | ||||||||
6.250%, 12/01/2024 (A) | 1,800 | 1,931 | ||||||
5.625%, 07/15/2022 | 2,075 | 2,163 | ||||||
Gates Global | ||||||||
6.000%, 07/15/2022 (A) | 765 | 786 | ||||||
HCA | ||||||||
7.500%, 02/15/2022 | 1,920 | 2,202 | ||||||
5.875%, 05/01/2023 | 2,765 | 3,007 | ||||||
5.875%, 02/15/2026 | 3,435 | 3,688 | ||||||
5.375%, 02/01/2025 | 9,688 | 10,209 | ||||||
5.250%, 04/15/2025 | 4,108 | 4,442 | ||||||
5.250%, 06/15/2026 | 1,815 | 1,956 | ||||||
HealthSouth | ||||||||
5.750%, 11/01/2024 | 692 | 710 | ||||||
5.750%, 09/15/2025 | 877 | 913 | ||||||
Hill-Rom Holdings | ||||||||
5.750%, 09/01/2023 (A) | 2,360 | 2,490 | ||||||
5.000%, 02/15/2025 (A) | 185 | 191 | ||||||
IASIS Healthcare | ||||||||
8.375%, 05/15/2019 | 790 | 793 | ||||||
inVentiv Group Holdings | ||||||||
7.500%, 10/01/2024 (A) | 606 | 673 | ||||||
Kindred Healthcare | ||||||||
8.750%, 01/15/2023 | 910 | 849 | ||||||
6.375%, 04/15/2022 | 3,975 | 3,597 | ||||||
Kinetic Concepts | ||||||||
7.875%, 02/15/2021 (A) | 785 | 823 | ||||||
Mallinckrodt International Finance | ||||||||
5.625%, 10/15/2023 (A) | 315 | 294 | ||||||
5.500%, 04/15/2025 (A) | 2,102 | 1,897 | ||||||
4.750%, 04/15/2023 | 1,951 | 1,663 | ||||||
Molina Healthcare | ||||||||
5.375%, 11/15/2022 | 3,021 | 3,114 | ||||||
4.875%, 06/15/2025 (A) | 3,177 | 3,129 | ||||||
MPH Acquisition Holdings | ||||||||
7.125%, 06/01/2024 (A) | 1,028 | 1,105 | ||||||
Opal Acquisition | ||||||||
10.000%, 10/01/2024 (A) | 1,764 | 1,528 | ||||||
7.500%, 07/01/2024 (A) | 232 | 226 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 193 |
SCHEDULE OF INVESTMENTS
September 30, 2017
High Yield Bond Fund (Continued)
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Ortho-Clinical Diagnostics | ||||||||
6.625%, 05/15/2022 (A) | $ | 1,080 | $ | 1,058 | ||||
Quintiles IMS | ||||||||
5.000%, 10/15/2026 (A) | 3,101 | 3,287 | ||||||
4.875%, 05/15/2023 (A) | 1,980 | 2,059 | ||||||
RegionalCare Hospital Partners Holdings | ||||||||
8.250%, 05/01/2023 (A) | 2,825 | 2,970 | ||||||
Select Medical | ||||||||
6.375%, 06/01/2021 | 2,920 | 3,008 | ||||||
SP Finco | ||||||||
6.750%, 07/01/2025 (A) | 403 | 379 | ||||||
Sterigenics-Nordion Holdings | ||||||||
6.500%, 05/15/2023 (A) | 1,426 | 1,483 | ||||||
Tenet Healthcare | ||||||||
8.125%, 04/01/2022 | 1,845 | 1,877 | ||||||
7.500%, 01/01/2022 (A) | 1,080 | 1,143 | ||||||
7.000%, 08/01/2025 (A) | 220 | 207 | ||||||
6.750%, 02/01/2020 | 350 | 360 | ||||||
6.750%, 06/15/2023 | 6,136 | 5,891 | ||||||
5.125%, 05/01/2025 (A) | 1,524 | 1,503 | ||||||
4.625%, 07/15/2024 (A) | 1,920 | 1,903 | ||||||
4.500%, 04/01/2021 | 810 | 826 | ||||||
Valeant Pharmaceuticals International | ||||||||
7.500%, 07/15/2021 (A) | 6,210 | 6,194 | ||||||
7.250%, 07/15/2022 (A) | 1,033 | 1,007 | ||||||
7.000%, 10/01/2020 (A) | 270 | 272 | ||||||
7.000%, 03/15/2024 (A) | 1,930 | 2,060 | ||||||
6.750%, 08/15/2021 (A) | 445 | 437 | ||||||
6.500%, 03/15/2022 (A) | 2,787 | 2,947 | ||||||
6.125%, 04/15/2025 (A) | 5,982 | 5,242 | ||||||
5.875%, 05/15/2023 (A) | 2,360 | 2,085 | ||||||
5.625%, 12/01/2021 (A) | 790 | 739 | ||||||
5.500%, 03/01/2023 (A) | 2,925 | 2,567 | ||||||
5.375%, 03/15/2020 (A) | 3,955 | 3,950 | ||||||
WellCare Health Plans | ||||||||
5.250%, 04/01/2025 | 3,245 | 3,415 | ||||||
|
|
| ||||||
145,074 | ||||||||
|
|
| ||||||
Industrials — 8.0% |
| |||||||
ACCO Brands | ||||||||
5.250%, 12/15/2024 (A) | 270 | 280 | ||||||
Actuant | ||||||||
5.625%, 06/15/2022 | 3,000 | 3,079 | ||||||
ADT | ||||||||
4.125%, 06/15/2023 | 80 | 81 | ||||||
3.500%, 07/15/2022 | 695 | 695 | ||||||
AECOM | ||||||||
5.875%, 10/15/2024 | 295 | 327 | ||||||
5.750%, 10/15/2022 | 135 | 141 | ||||||
Aircastle | ||||||||
5.000%, 04/01/2023 | 525 | 562 |
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Allegion | ||||||||
5.875%, 09/15/2023 | $ | 125 | $ | 135 | ||||
Allegion US Holding | ||||||||
5.750%, 10/01/2021 | 340 | 350 | ||||||
Allison Transmission | ||||||||
5.000%, 10/01/2024 (A) | 2,238 | 2,323 | ||||||
American Builders & Contractors Supply | ||||||||
5.750%, 12/15/2023 (A) | 665 | 708 | ||||||
AMN Healthcare | ||||||||
5.125%, 10/01/2024 (A) | 2,899 | 3,004 | ||||||
Arconic | ||||||||
6.750%, 01/15/2028 | 1,845 | 2,140 | ||||||
5.900%, 02/01/2027 | 475 | 524 | ||||||
5.400%, 04/15/2021 | 943 | 1,012 | ||||||
Avis Budget Car Rental | ||||||||
6.375%, 04/01/2024 (A) | 735 | 766 | ||||||
5.500%, 04/01/2023 | 2,301 | 2,353 | ||||||
Beacon Roofing Supply | ||||||||
6.375%, 10/01/2023 | 515 | 548 | ||||||
BMC East | ||||||||
5.500%, 10/01/2024 (A) | 1,495 | 1,559 | ||||||
Bombardier | ||||||||
7.500%, 03/15/2025 (A) | 845 | 845 | ||||||
6.000%, 10/15/2022 (A) | 3,127 | 3,025 | ||||||
Builders FirstSource | ||||||||
5.625%, 09/01/2024 (A) | 2,451 | 2,592 | ||||||
CD&R Waterworks | ||||||||
6.125%, 08/15/2025 (A) | 1,704 | 1,749 | ||||||
CDW | ||||||||
5.000%, 09/01/2025 | 760 | 798 | ||||||
Cenveo | ||||||||
8.500%, 09/15/2022 (A) | 5,650 | 2,543 | ||||||
6.000%, 08/01/2019 (A) | 2,395 | 1,898 | ||||||
Ceridian HCM Holding | ||||||||
11.000%, 03/15/2021 (A) | 827 | 878 | ||||||
CEVA Group | ||||||||
7.000%, 03/01/2021 (A) | 950 | 921 | ||||||
Cloud Crane | ||||||||
10.125%, 08/01/2024 (A) | 432 | 479 | ||||||
CNH Industrial Capital | ||||||||
4.875%, 04/01/2021 | 480 | 510 | ||||||
4.375%, 04/05/2022 | 325 | 341 | ||||||
DAE Funding | ||||||||
5.000%, 08/01/2024 (A) | 713 | 731 | ||||||
4.500%, 08/01/2022 (A) | 480 | 492 | ||||||
FGI Operating | ||||||||
7.875%, 05/01/2020 | 910 | 591 | ||||||
Fortress Transportation & Infrastructure | ||||||||
Investors | ||||||||
6.750%, 03/15/2022 (A) | 1,795 | 1,867 | ||||||
General Cable | ||||||||
5.750%, 10/01/2022 | 1,035 | 1,040 |
194 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Global A&T Electronics | ||||||||
10.000%, 02/01/2019 (A)(E) | $ | 1,050 | $ | 882 | ||||
Great Lakes Dredge & Dock | ||||||||
8.000%, 05/15/2022 | 300 | 311 | ||||||
Grinding Media | ||||||||
7.375%, 12/15/2023 (A) | 595 | 646 | ||||||
HD Supply | ||||||||
5.750%, 04/15/2024 (A) | 565 | 605 | ||||||
Hertz | ||||||||
7.625%, 06/01/2022 (A) | 2,034 | 2,098 | ||||||
6.250%, 10/15/2022 | 1,115 | 1,059 | ||||||
5.875%, 10/15/2020 | 470 | 466 | ||||||
5.500%, 10/15/2024 (A) | 1,630 | 1,467 | ||||||
Hillman Group | ||||||||
6.375%, 07/15/2022 (A) | 3,003 | 2,988 | ||||||
Icahn Enterprises | ||||||||
6.750%, 02/01/2024 | 2,613 | 2,757 | ||||||
6.250%, 02/01/2022 | 2,553 | 2,661 | ||||||
5.875%, 02/01/2022 | 1,499 | 1,544 | ||||||
James Hardie International Finance | ||||||||
5.875%, 02/15/2023 (A) | 610 | 640 | ||||||
KAR Auction Services | ||||||||
5.125%, 06/01/2025 (A) | 2,461 | 2,559 | ||||||
KLX | ||||||||
5.875%, 12/01/2022 (A) | 850 | 891 | ||||||
Kratos Defense & Security Solutions | ||||||||
7.000%, 05/15/2019 | 591 | 605 | ||||||
LTF Merger | ||||||||
8.500%, 06/15/2023 (A) | 3,061 | 3,252 | ||||||
Masonite International | ||||||||
5.625%, 03/15/2023 (A) | 1,066 | 1,116 | ||||||
Multi-Color | ||||||||
4.875%, 11/01/2025 (A) | 214 | 216 | ||||||
Nielsen Finance | ||||||||
5.000%, 04/15/2022 (A) | 2,233 | 2,314 | ||||||
Nielsen Luxembourg Sarl | ||||||||
5.000%, 02/01/2025 (A) | 3,640 | 3,790 | ||||||
Novelis | ||||||||
6.250%, 08/15/2024 (A) | 230 | 240 | ||||||
5.875%, 09/30/2026 (A) | 1,695 | 1,720 | ||||||
Oshkosh | ||||||||
5.375%, 03/01/2025 | 170 | 180 | ||||||
Park Aerospace Holdings | ||||||||
5.500%, 02/15/2024 (A) | 675 | 709 | ||||||
5.250%, 08/15/2022 (A) | 1,195 | 1,243 | ||||||
Prime Security Services Borrower | ||||||||
9.250%, 05/15/2023 (A) | 5,576 | 6,153 | ||||||
RR Donnelley & Sons | ||||||||
7.625%, 06/15/2020 | 445 | 481 | ||||||
6.000%, 04/01/2024 | 3,255 | 3,039 | ||||||
RSI Home Products | ||||||||
6.500%, 03/15/2023 (A) | 1,040 | 1,092 |
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Sensata Technologies | ||||||||
5.000%, 10/01/2025 (A) | $ | 1,614 | $ | 1,701 | ||||
4.875%, 10/15/2023 (A) | 1,600 | 1,682 | ||||||
Sensata Technologies UK Financing | ||||||||
6.250%, 02/15/2026 (A) | 2,235 | 2,447 | ||||||
SPX FLOW | ||||||||
5.875%, 08/15/2026 (A) | 701 | 740 | ||||||
5.625%, 08/15/2024 (A) | 1,211 | 1,268 | ||||||
Standard Industries | ||||||||
6.000%, 10/15/2025 (A) | 825 | 900 | ||||||
StandardAero Aviation Holdings | ||||||||
10.000%, 07/15/2023 (A) | 3,300 | 3,655 | ||||||
Summit Materials | ||||||||
6.125%, 07/15/2023 | 2,090 | 2,205 | ||||||
5.125%, 06/01/2025 (A) | 750 | 773 | ||||||
Team Health Holdings | ||||||||
6.375%, 02/01/2025 (A) | 2,289 | 2,169 | ||||||
Terex | ||||||||
5.625%, 02/01/2025 (A) | 425 | 448 | ||||||
TransDigm | ||||||||
6.500%, 07/15/2024 | 620 | 640 | ||||||
6.500%, 05/15/2025 | 1,300 | 1,339 | ||||||
6.375%, 06/15/2026 | 623 | 638 | ||||||
TriMas | ||||||||
4.875%, 10/15/2025 (A) | 205 | 207 | ||||||
Triumph Group | ||||||||
7.750%, 08/15/2025 (A) | 1,000 | 1,053 | ||||||
4.875%, 04/01/2021 | 750 | 739 | ||||||
Tutor Perini | ||||||||
6.875%, 05/01/2025 (A) | 2,460 | 2,669 | ||||||
United Continental Holdings | ||||||||
4.250%, 10/01/2022 | 532 | 536 | ||||||
United Rentals North America | ||||||||
5.875%, 09/15/2026 | 1,355 | 1,472 | ||||||
5.750%, 11/15/2024 | 1,305 | 1,385 | ||||||
5.500%, 07/15/2025 | 1,245 | 1,333 | ||||||
5.500%, 05/15/2027 | 751 | 801 | ||||||
4.875%, 01/15/2028 | 605 | 608 | ||||||
USG | ||||||||
4.875%, 06/01/2027 (A) | 1,390 | 1,451 | ||||||
Wabash National | ||||||||
5.500%, 10/01/2025 (A) | 135 | 138 | ||||||
Weekley Homes | ||||||||
6.625%, 08/15/2025 (A) | 3,395 | 3,285 | ||||||
Welbilt | ||||||||
9.500%, 02/15/2024 | 240 | 276 | ||||||
West | ||||||||
5.375%, 07/15/2022 (A) | 650 | 656 | ||||||
Wrangler Buyer | ||||||||
6.000%, 10/01/2025 (A) | 134 | 136 | ||||||
Xerium Technologies | ||||||||
9.500%, 08/15/2021 | 3,770 | 3,902 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 195 |
SCHEDULE OF INVESTMENTS
September 30, 2017
High Yield Bond Fund (Continued)
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
XPO Logistics | ||||||||
6.500%, 06/15/2022 (A) | $ | 540 | $ | 567 | ||||
6.125%, 09/01/2023 (A) | 800 | 835 | ||||||
|
|
| ||||||
132,265 | ||||||||
|
|
| ||||||
Information Technology — 5.7% |
| |||||||
ACI Worldwide | ||||||||
6.375%, 08/15/2020 (A) | 510 | 519 | ||||||
Aegis Merger | ||||||||
10.250%, 02/15/2023 (A) | 1,078 | 1,186 | ||||||
Alliance Data Systems | ||||||||
5.375%, 08/01/2022 (A) | 1,058 | 1,090 | ||||||
Alliance Data Systems MTN | ||||||||
5.875%, 11/01/2021 (A) | 925 | 962 | ||||||
Amkor Technology | ||||||||
6.375%, 10/01/2022 | 1,625 | 1,679 | ||||||
Anixter | ||||||||
5.500%, 03/01/2023 | 575 | 625 | ||||||
Ascend Learning | ||||||||
6.875%, 08/01/2025 (A) | 215 | 227 | ||||||
Avaya | ||||||||
9.000%, 04/01/2019 (A)(E) | 1,760 | 1,496 | ||||||
7.000%, 04/01/2019 (A)(E) | 1,034 | 874 | ||||||
BMC Software Finance | ||||||||
8.125%, 07/15/2021 (A) | 3,147 | 3,222 | ||||||
Booz Allen Hamilton | ||||||||
5.125%, 05/01/2025 (A) | 900 | 909 | ||||||
Cardtronics | ||||||||
5.500%, 05/01/2025 (A) | 1,475 | 1,509 | ||||||
5.125%, 08/01/2022 | 1,600 | 1,652 | ||||||
CDK Global | ||||||||
4.875%, 06/01/2027 (A) | 125 | 128 | ||||||
Cimpress | ||||||||
7.000%, 04/01/2022 (A) | 237 | 246 | ||||||
CommScope Technologies | ||||||||
6.000%, 06/15/2025 (A) | 1,870 | 1,999 | ||||||
Dell International | ||||||||
8.350%, 07/15/2046 (A) | 1,385 | 1,779 | ||||||
8.100%, 07/15/2036 (A) | 1,890 | 2,365 | ||||||
7.125%, 06/15/2024 (A) | 3,030 | 3,348 | ||||||
6.020%, 06/15/2026 (A) | 2,866 | 3,183 | ||||||
5.450%, 06/15/2023 (A) | 515 | 563 | ||||||
Entegris | ||||||||
6.000%, 04/01/2022 (A) | 830 | 867 | ||||||
First Data | ||||||||
7.000%, 12/01/2023 (A) | 1,901 | 2,030 | ||||||
5.750%, 01/15/2024 (A) | 3,215 | 3,364 | ||||||
5.375%, 08/15/2023 (A) | 1,489 | 1,557 | ||||||
5.000%, 01/15/2024 (A) | 1,723 | 1,789 | ||||||
Gartner | ||||||||
5.125%, 04/01/2025 (A) | 245 | 258 |
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Genesys Telecommunications Laboratories | ||||||||
10.000%, 11/30/2024 (A) | $ | 3,318 | $ | 3,749 | ||||
Harland Clarke Holdings | ||||||||
9.250%, 03/01/2021 (A) | 1,956 | 2,015 | ||||||
Hughes Satellite Systems | ||||||||
7.625%, 06/15/2021 | 1,200 | 1,362 | ||||||
6.625%, 08/01/2026 | 140 | 150 | ||||||
5.250%, 08/01/2026 | 900 | 936 | ||||||
Infor Software Parent | ||||||||
7.125% cash/7.875% PIK, 05/01/2021 (A) | 880 | 896 | ||||||
Infor US | ||||||||
6.500%, 05/15/2022 | 1,795 | 1,861 | ||||||
Informatica | ||||||||
7.125%, 07/15/2023 (A) | 735 | 739 | ||||||
j2 Cloud Services | ||||||||
6.000%, 07/15/2025 (A) | 1,630 | 1,705 | ||||||
MagnaChip Semiconductor | ||||||||
6.625%, 07/15/2021 | 915 | 874 | ||||||
5.000%, 03/01/2021 (A) | 300 | 455 | ||||||
Micron Technology | ||||||||
7.500%, 09/15/2023 | 360 | 400 | ||||||
5.250%, 08/01/2023 (A) | 2,655 | 2,769 | ||||||
5.250%, 01/15/2024 (A) | 1,045 | 1,100 | ||||||
Microsemi | ||||||||
9.125%, 04/15/2023 (A) | 399 | 456 | ||||||
NCR | ||||||||
5.000%, 07/15/2022 | 2,240 | 2,290 | ||||||
Nuance Communications | ||||||||
5.625%, 12/15/2026 (A) | 1,500 | 1,590 | ||||||
NXP BV | ||||||||
4.625%, 06/01/2023 (A) | 455 | 489 | ||||||
NXP Funding | ||||||||
5.750%, 03/15/2023 (A) | 1,185 | 1,237 | ||||||
Open Text | ||||||||
5.875%, 06/01/2026 (A) | 1,588 | 1,743 | ||||||
Perstorp Holding | ||||||||
8.500%, 06/30/2021 (A) | 1,826 | 1,949 | ||||||
Plantronics | ||||||||
5.500%, 05/31/2023 (A) | 2,070 | 2,148 | ||||||
Rackspace Hosting | ||||||||
8.625%, 11/15/2024 (A) | 695 | 742 | ||||||
Riverbed Technology | ||||||||
8.875%, 03/01/2023 (A) | 850 | 810 | ||||||
RP Crown Parent | ||||||||
7.375%, 10/15/2024 (A) | 268 | 274 | ||||||
Sabre | ||||||||
5.375%, 04/15/2023 (A) | 250 | 259 | ||||||
5.250%, 11/15/2023 (A) | 3,556 | 3,654 | ||||||
Solera | ||||||||
10.500%, 03/01/2024 (A) | 1,335 | 1,520 |
196 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Symantec | ||||||||
5.000%, 04/15/2025 (A) | $ | 1,945 | $ | 2,034 | ||||
TIBCO Software | ||||||||
11.375%, 12/01/2021 (A) | 2,590 | 2,836 | ||||||
Unisys | ||||||||
10.750%, 04/15/2022 (A) | 2,060 | 2,281 | ||||||
VeriSign | ||||||||
5.250%, 04/01/2025 | 500 | 540 | ||||||
4.750%, 07/15/2027 (A) | 539 | 555 | ||||||
Veritas US | ||||||||
10.500%, 02/01/2024 (A) | 990 | 1,061 | ||||||
Western Digital | ||||||||
10.500%, 04/01/2024 | 1,355 | 1,592 | ||||||
7.375%, 04/01/2023 (A) | 1,065 | 1,167 | ||||||
WEX | ||||||||
4.750%, 02/01/2023 (A) | 1,000 | 1,025 | ||||||
Zayo Group | ||||||||
6.375%, 05/15/2025 | 555 | 598 | ||||||
6.000%, 04/01/2023 | 1,808 | 1,910 | ||||||
5.750%, 01/15/2027 (A) | 1,235 | 1,309 | ||||||
Zebra Technologies | ||||||||
7.250%, 10/15/2022 | 282 | 299 | ||||||
|
|
| ||||||
94,805 | ||||||||
|
|
| ||||||
Materials — 5.7% |
| |||||||
Alcoa Nederland Holding BV | ||||||||
7.000%, 09/30/2026 (A) | 633 | 717 | ||||||
6.750%, 09/30/2024 (A) | 488 | 540 | ||||||
Aleris International | ||||||||
9.500%, 04/01/2021 (A) | 1,753 | 1,867 | ||||||
7.875%, 11/01/2020 | 308 | 308 | ||||||
Allegheny Technologies | ||||||||
9.375%, 06/01/2019 | 1,445 | 1,579 | ||||||
7.875%, 08/15/2023 | 1,655 | 1,793 | ||||||
Alpha 3 BV | ||||||||
6.250%, 02/01/2025 (A) | 3,600 | 3,663 | ||||||
ARD Finance | ||||||||
7.125% cash/7.875% PIK, 09/15/2023 | 1,702 | 1,822 | ||||||
Ardagh Packaging Finance | ||||||||
7.250%, 05/15/2024 (A) | 735 | 806 | ||||||
6.000%, 02/15/2025 (A) | 2,155 | 2,282 | ||||||
Ashland | ||||||||
4.750%, 08/15/2022 | 680 | 718 | ||||||
Axalta Coating Systems | ||||||||
4.875%, 08/15/2024 (A) | 290 | 302 | ||||||
Big River Steel | ||||||||
7.250%, 09/01/2025 (A) | 2,329 | 2,471 | ||||||
Blue Cube Spinco | ||||||||
9.750%, 10/15/2023 | 1,665 | 2,023 | ||||||
BlueScope Steel Finance | ||||||||
6.500%, 05/15/2021 (A) | 636 | 666 |
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Boart Longyear Management Pty | ||||||||
10.000% cash/12.000% PIK, 12/31/2022 | $ | 2,226 | $ | 1,937 | ||||
1.500% cash/1.500% PIK, 12/31/2022 | 1,280 | 378 | ||||||
Boise Cascade | ||||||||
5.625%, 09/01/2024 (A) | 511 | 537 | ||||||
CF Industries | ||||||||
5.150%, 03/15/2034 | 310 | 309 | ||||||
3.450%, 06/01/2023 | 1,297 | 1,281 | ||||||
Chemours | ||||||||
6.625%, 05/15/2023 | 920 | 979 | ||||||
5.375%, 05/15/2027 | 511 | 530 | ||||||
Compass Minerals International | ||||||||
4.875%, 07/15/2024 (A) | 1,014 | 996 | ||||||
Constellium | ||||||||
7.875%, 04/01/2021 (A) | 340 | 360 | ||||||
6.625%, 03/01/2025 (A) | 360 | 369 | ||||||
5.750%, 05/15/2024 (A) | 1,549 | 1,548 | ||||||
CVR Partners | ||||||||
9.250%, 06/15/2023 (A) | 1,317 | 1,403 | ||||||
First Quantum Minerals | ||||||||
7.500%, 04/01/2025 (A) | 1,750 | 1,789 | ||||||
7.250%, 04/01/2023 (A) | 785 | 809 | ||||||
Flex Acquisition | ||||||||
6.875%, 01/15/2025 (A) | 824 | 855 | ||||||
FMG Resources August 2006 Pty | ||||||||
9.750%, 03/01/2022 (A) | 410 | 461 | ||||||
5.125%, 05/15/2024 (A) | 1,053 | 1,066 | ||||||
4.750%, 05/15/2022 (A) | 1,196 | 1,211 | ||||||
Freeport-McMoRan | ||||||||
5.450%, 03/15/2043 | 4,490 | 4,196 | ||||||
5.400%, 11/14/2034 | 950 | 907 | ||||||
4.550%, 11/14/2024 | 140 | 140 | ||||||
3.875%, 03/15/2023 | 3,278 | 3,229 | ||||||
GCP Applied Technologies | ||||||||
9.500%, 02/01/2023 (A) | 415 | 469 | ||||||
Hecla Mining | ||||||||
6.875%, 05/01/2021 | 2,013 | 2,089 | ||||||
Hexion | ||||||||
10.000%, 04/15/2020 | 1,604 | 1,536 | ||||||
6.625%, 04/15/2020 | 5,175 | 4,631 | ||||||
Hudbay Minerals | ||||||||
7.625%, 01/15/2025 (A) | 191 | 207 | ||||||
7.250%, 01/15/2023 (A) | 326 | 347 | ||||||
Huntsman International | ||||||||
5.125%, 11/15/2022 | 1,055 | 1,134 | ||||||
INEOS Group Holdings | ||||||||
5.625%, 08/01/2024 (A) | 1,305 | 1,356 | ||||||
Kaiser Aluminum | ||||||||
5.875%, 05/15/2024 (A) | 1,055 | 1,129 | ||||||
Kissner Holdings | ||||||||
8.375%, 12/01/2022 (A) | 816 | 824 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 197 |
SCHEDULE OF INVESTMENTS
September 30, 2017
High Yield Bond Fund (Continued)
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Kraton Polymers | ||||||||
10.500%, 04/15/2023 (A) | $ | 600 | $ | 685 | ||||
7.000%, 04/15/2025 (A) | 1,044 | 1,120 | ||||||
LSB Industries | ||||||||
8.500%, 08/01/2019 (F) | 953 | 934 | ||||||
Mirabela Nickel | ||||||||
1.000%, 07/31/2044 (B)(E) | 31 | – | ||||||
New Gold | ||||||||
6.375%, 05/15/2025 (A) | 430 | 455 | ||||||
6.250%, 11/15/2022 (A) | 2,577 | 2,677 | ||||||
Noranda Aluminum Acquisition | ||||||||
11.000%, 06/01/2019 (B)(E) | 355 | – | ||||||
NOVA Chemicals | ||||||||
5.250%, 06/01/2027 (A) | 873 | 882 | ||||||
5.000%, 05/01/2025 (A) | 1,700 | 1,726 | ||||||
4.875%, 06/01/2024 (A) | 831 | 841 | ||||||
Owens-Brockway Glass Container | ||||||||
6.375%, 08/15/2025 (A) | 600 | 679 | ||||||
5.875%, 08/15/2023 (A) | 670 | 740 | ||||||
PaperWorks Industries | ||||||||
9.500%, 08/15/2019 (A) | 2,618 | 1,931 | ||||||
Platform Specialty Products | ||||||||
6.500%, 02/01/2022 (A) | 1,725 | 1,787 | ||||||
Rain CII Carbon | ||||||||
7.250%, 04/01/2025 (A) | 4,585 | 4,837 | ||||||
Reichhold Industries | ||||||||
9.000%, 05/01/2018 (A)(B)(E) | 859 | – | ||||||
Reynolds Group | ||||||||
7.000%, 07/15/2024 (A) | 860 | 916 | ||||||
5.750%, 10/15/2020 | 1,095 | 1,114 | ||||||
Scotts Miracle-Gro | ||||||||
6.000%, 10/15/2023 | 720 | 769 | ||||||
5.250%, 12/15/2026 | 100 | 105 | ||||||
SunCoke Energy Partners | ||||||||
7.500%, 06/15/2025 (A) | 189 | 195 | ||||||
TPC Group | ||||||||
8.750%, 12/15/2020 (A) | 4,154 | 4,029 | ||||||
Trinseo Materials Operating | ||||||||
5.375%, 09/01/2025 (A) | 995 | 1,024 | ||||||
Tronox Finance | ||||||||
7.500%, 03/15/2022 (A) | 1,644 | 1,732 | ||||||
5.750%, 10/01/2025 (A) | 417 | 428 | ||||||
United States Steel | ||||||||
6.875%, 08/15/2025 | 469 | 480 | ||||||
US Concrete | ||||||||
6.375%, 06/01/2024 | 297 | 320 | ||||||
Valvoline | ||||||||
4.375%, 08/15/2025 (A) | 625 | 637 | ||||||
Venator Finance Sarl | ||||||||
5.750%, 07/15/2025 (A) | 2,406 | 2,502 | ||||||
|
|
| ||||||
94,114 |
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Real Estate — 1.5% |
| |||||||
CoreCivic | ||||||||
5.000%, 10/15/2022 | $ | 245 | $ | 255 | ||||
4.625%, 05/01/2023 | 1,465 | 1,498 | ||||||
Equinix | ||||||||
5.875%, 01/15/2026 | 1,470 | 1,615 | ||||||
5.750%, 01/01/2025 | 80 | 86 | ||||||
GEO Group | ||||||||
6.000%, 04/15/2026 | 3,305 | 3,474 | ||||||
5.875%, 01/15/2022 | 1,265 | 1,311 | ||||||
5.125%, 04/01/2023 | 35 | 36 | ||||||
GLP Capital | ||||||||
5.375%, 04/15/2026 | 590 | 644 | ||||||
Howard Hughes | ||||||||
5.375%, 03/15/2025 (A) | 1,205 | 1,229 | ||||||
Kennedy-Wilson | ||||||||
5.875%, 04/01/2024 | 700 | 721 | ||||||
Lamar Media | ||||||||
5.750%, 02/01/2026 | 1,125 | 1,220 | ||||||
MPT Operating Partnership | ||||||||
5.000%, 10/15/2027 | 797 | 817 | ||||||
Realogy Group | ||||||||
4.875%, 06/01/2023 (A) | 2,979 | 3,061 | ||||||
RHP Hotel Properties | ||||||||
5.000%, 04/15/2021 | 1,331 | 1,361 | ||||||
5.000%, 04/15/2023 | 460 | 476 | ||||||
Sabra Health Care | ||||||||
5.125%, 08/15/2026 | 2,861 | 2,935 | ||||||
SBA Communications | ||||||||
4.875%, 09/01/2024 | 485 | 499 | ||||||
Uniti Group | ||||||||
8.250%, 10/15/2023 | 1,140 | 1,009 | ||||||
7.125%, 12/15/2024 (A) | 410 | 347 | ||||||
6.000%, 04/15/2023 (A) | 2,240 | 2,145 | ||||||
|
|
| ||||||
24,739 | ||||||||
|
|
| ||||||
Telecommunication Services — 6.3% |
| |||||||
AT&T | ||||||||
3.400%, 08/14/2024 | 285 | 285 | ||||||
C&W Senior Financing Designated Activity | ||||||||
6.875%, 09/15/2027 (A) | 2,346 | 2,440 | ||||||
CenturyLink | ||||||||
7.500%, 04/01/2024 | 100 | 103 | ||||||
6.750%, 12/01/2023 | 3,300 | 3,338 | ||||||
5.625%, 04/01/2025 | 3,797 | 3,636 | ||||||
Cogent Communications Finance | ||||||||
5.625%, 04/15/2021 (A) | 1,880 | 1,927 | ||||||
Cogent Communications Group | ||||||||
5.375%, 03/01/2022 (A) | 1,188 | 1,249 | ||||||
Digicel | ||||||||
6.000%, 04/15/2021 (A) | 2,335 | 2,279 |
198 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Digicel Group | ||||||||
8.250%, 09/30/2020 (A) | $ | 2,205 | $ | 2,154 | ||||
7.125%, 04/01/2022 (A) | 1,820 | 1,649 | ||||||
6.750%, 03/01/2023 (A) | 1,085 | 1,063 | ||||||
Embarq | ||||||||
7.995%, 06/01/2036 | 1,320 | 1,340 | ||||||
Frontier Communications | ||||||||
11.000%, 09/15/2025 | 3,689 | 3,127 | ||||||
10.500%, 09/15/2022 | 805 | 698 | ||||||
7.125%, 01/15/2023 | 310 | 238 | ||||||
6.875%, 01/15/2025 | 4,080 | 3,050 | ||||||
GCI | ||||||||
6.875%, 04/15/2025 | 170 | 183 | ||||||
6.750%, 06/01/2021 | 640 | 656 | ||||||
GTT Communications | ||||||||
7.875%, 12/31/2024 | 485 | 515 | ||||||
Inmarsat Finance | ||||||||
6.500%, 10/01/2024 (A) | 1,190 | 1,282 | ||||||
4.875%, 05/15/2022 (A) | 2,480 | 2,530 | ||||||
Intelsat Jackson Holdings | ||||||||
9.750%, 07/15/2025 (A) | 1,564 | 1,579 | ||||||
9.500%, 09/30/2022 (A) | 218 | 258 | ||||||
8.000%, 02/15/2024 (A) | 2,493 | 2,680 | ||||||
7.500%, 04/01/2021 | 3,167 | 3,001 | ||||||
7.250%, 10/15/2020 | 2,940 | 2,830 | ||||||
5.500%, 08/01/2023 | 2,145 | 1,818 | ||||||
Intelsat Luxembourg | ||||||||
7.750%, 06/01/2021 | 1,020 | 658 | ||||||
Level 3 Financing | ||||||||
5.625%, 02/01/2023 | 265 | 273 | ||||||
5.375%, 01/15/2024 | 570 | 584 | ||||||
5.375%, 05/01/2025 | 4,385 | 4,508 | ||||||
5.125%, 05/01/2023 | 130 | 132 | ||||||
Nortel Networks | ||||||||
0.000%, 07/15/2011 (E) | 113 | 25 | ||||||
Qwest Capital Funding | ||||||||
7.750%, 02/15/2031 | 555 | 516 | ||||||
Sable International Finance | ||||||||
6.875%, 08/01/2022 (A) | 650 | 699 | ||||||
SoftBank Group | ||||||||
6.000%, 07/30/2025 | 375 | 402 | ||||||
Sprint | ||||||||
7.875%, 09/15/2023 | 8,503 | 9,863 | ||||||
7.625%, 02/15/2025 | 7,502 | 8,604 | ||||||
7.250%, 09/15/2021 | 3,031 | 3,368 | ||||||
7.125%, 06/15/2024 | 860 | 968 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/2032 | 2,500 | 3,197 | ||||||
6.900%, 05/01/2019 | 370 | 394 | ||||||
6.875%, 11/15/2028 | 4,439 | 4,972 | ||||||
Telecom Italia | ||||||||
5.303%, 05/30/2024 (A) | 610 | 663 |
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Telesat Canada | ||||||||
8.875%, 11/15/2024 (A) | $ | 2,440 | $ | 2,748 | ||||
T-Mobile USA | ||||||||
6.500%, 01/15/2024 | 430 | 458 | ||||||
6.500%, 01/15/2026 | 2,931 | 3,235 | ||||||
6.375%, 03/01/2025 | 1,910 | 2,057 | ||||||
6.000%, 04/15/2024 | 1,930 | 2,048 | ||||||
4.000%, 04/15/2022 | 1,627 | 1,685 | ||||||
United States Cellular | ||||||||
6.700%, 12/15/2033 | 1,614 | 1,681 | ||||||
Wind Acquisition Finance | ||||||||
7.375%, 04/23/2021 (A) | 2,085 | 2,168 | ||||||
Windstream Services | ||||||||
7.750%, 10/15/2020 | 125 | 100 | ||||||
7.750%, 10/01/2021 | 1,050 | 777 | ||||||
7.500%, 06/01/2022 | 1,755 | 1,262 | ||||||
6.375%, 08/01/2023 | 25 | 18 | ||||||
|
|
| ||||||
103,971 | ||||||||
|
|
| ||||||
Utilities — 1.2% |
| |||||||
AES | ||||||||
6.000%, 05/15/2026 | 140 | 151 | ||||||
5.500%, 03/15/2024 | 1,707 | 1,777 | ||||||
AmeriGas Partners | ||||||||
5.875%, 08/20/2026 | 135 | 141 | ||||||
5.500%, 05/20/2025 | 340 | 349 | ||||||
Calpine | ||||||||
5.375%, 01/15/2023 | 580 | 565 | ||||||
Dynegy | ||||||||
8.000%, 01/15/2025 (A) | 285 | 295 | ||||||
7.625%, 11/01/2024 | 1,045 | 1,083 | ||||||
7.375%, 11/01/2022 | 235 | 244 | ||||||
Ferrellgas | ||||||||
6.750%, 01/15/2022 | 195 | 189 | ||||||
6.750%, 06/15/2023 | 400 | 386 | ||||||
6.500%, 05/01/2021 | 1,285 | 1,247 | ||||||
Ferrellgas Partners | ||||||||
8.625%, 06/15/2020 | 335 | 318 | ||||||
GenOn Americas Generation | ||||||||
9.125%, 05/01/2031 (E) | 150 | 137 | ||||||
8.500%, 10/01/2021 (E) | 909 | 834 | ||||||
LBC Tank Terminals Holding Netherlands | ||||||||
6.875%, 05/15/2023 (A) | 697 | 732 | ||||||
NextEra Energy Operating Partners | ||||||||
4.500%, 09/15/2027 (A) | 2,139 | 2,179 | ||||||
4.250%, 09/15/2024 (A) | 544 | 556 | ||||||
NRG Energy | ||||||||
7.875%, 05/15/2021 | 31 | 32 | ||||||
7.250%, 05/15/2026 | 2,955 | 3,169 | ||||||
6.625%, 01/15/2027 | 55 | 57 | ||||||
6.250%, 07/15/2022 | 35 | 37 | ||||||
6.250%, 05/01/2024 | 1,225 | 1,274 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 199 |
SCHEDULE OF INVESTMENTS
September 30, 2017
High Yield Bond Fund (Continued)
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Pattern Energy Group | ||||||||
5.875%, 02/01/2024 (A) | $ | 326 | $ | 344 | ||||
Talen Energy Supply | ||||||||
6.500%, 06/01/2025 | 161 | 123 | ||||||
4.625%, 07/15/2019 (A) | 277 | 273 | ||||||
TerraForm Power Operating | ||||||||
6.375%, 02/01/2023 (A) (F) | 1,178 | 1,225 | ||||||
6.625%, 06/15/2025 (A) (F) | 2,103 | 2,240 | ||||||
|
|
| ||||||
19,957 | ||||||||
|
|
| ||||||
Total Corporate Obligations | ||||||||
(Cost $1,226,028) ($ Thousands) | 1,239,250 | |||||||
|
|
| ||||||
ASSET-BACKED SECURITIES — 9.4% |
| |||||||
Other Asset-Backed Securities — 9.4% |
| |||||||
Airplanes Pass-Through Trust, Ser 2001-1A, Cl A9 | ||||||||
1.777%, VAR ICE LIBOR USD 1 Month+0.550%, 03/15/2019 (A) | 679 | 49 | ||||||
B&M CLO, Ser 2014-1A, Cl D | ||||||||
6.054%, VAR ICE LIBOR USD 3 Month+4.750%, 04/16/2026 (A)(B) | 2,148 | 2,068 | ||||||
B&M CLO, Ser 2014-1A, Cl E | ||||||||
7.054%, VAR ICE LIBOR USD 3 Month+5.750%, 04/16/2026 (A)(B) | 2,480 | 2,156 | ||||||
Battalion CLO III, Ser 2012-3A | ||||||||
0.000%, 01/18/2025 (A)(B) | 2,303 | 555 | ||||||
Battalion CLO IV, Ser 2013-4A | ||||||||
0.000%, 10/22/2025 (A)(B) | 5,640 | 1,466 | ||||||
Battalion CLO V, Ser 2014-5A | ||||||||
0.000%, 04/17/2026 (A)(B) | 3,274 | 1,277 | ||||||
Battalion CLO VII, Ser 2014-7A | ||||||||
0.000%, 10/17/2026 (A)(B) | 4,007 | 1,883 | ||||||
Battalion CLO VIII, Ser 2015-8A | ||||||||
0.000%, 04/18/2030 (A)(B)(H) | 3,390 | 2,376 | ||||||
Battalion CLO X, Ser 2016-10A | ||||||||
0.000%, 01/24/2029 (A)(B)(H) | 4,450 | 3,600 | ||||||
Battalion CLO XI, Ser 2017-11A | ||||||||
0.000%, 10/24/2029 (A)(B) | 5,857 | 5,125 | ||||||
Benefit Street Partners CLO III, Ser 2013-IIIA |
| |||||||
0.000%, 01/20/2026 (A)(B)(H) | 2,531 | 1,443 | ||||||
Benefit Street Partners CLO IV | ||||||||
0.000%, 07/20/2026 (A)(B) | 3 | 2,128 | ||||||
Benefit Street Partners CLO IX | ||||||||
0.000%, 07/20/2025 (A)(B) | 2,092 | 1,778 | ||||||
Benefit Street Partners CLO V | ||||||||
0.000%, 10/20/2026 (A)(B) | 6,387 | 3,577 | ||||||
Benefit Street Partners CLO VI, Ser 2015-VIA |
| |||||||
0.000%, 10/18/2029 (A)(B) | 7,502 | 6,002 | ||||||
Benefit Street Partners CLO VII, Ser 2015-VIII |
| |||||||
0.000%, 07/18/2027 (B) | 6,715 | 4,803 |
Description | Face Amount (Thousands) |
Market Value | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Benefit Street Partners CLO VIII | ||||||||
0.000%, 01/20/2028 (A)(B)(H) | $ | 6,720 | $ | 5,443 | ||||
Benefit Street Partners CLO X, Ser 2016-10A | ||||||||
0.000%, 01/15/2029 (A)(B) | 6,228 | 5,493 | ||||||
Carlyle Global Market Strategies CLO, Ser 2014-3A | ||||||||
0.000%, 07/27/2026 (A)(B) | 1,666 | 1,233 | ||||||
Cathedral Lake CLO, Ser 2015-3A | ||||||||
0.000%, 01/15/2026 (A)(B) | 1,869 | 1,598 | ||||||
Cathedral Lake CLO, Ser 2017-3A | ||||||||
8.254%, VAR ICE LIBOR USD 3 Month+6.950%, 07/16/2029 (A)(B) | 1,175 | 1,178 | ||||||
CIFC Funding, Ser 2012-2A | ||||||||
0.000%, 12/05/2024 (A)(B) | 1,653 | 827 | ||||||
CVP Cascade CLO, Ser 2014-2A, Cl D | ||||||||
6.104%, VAR ICE LIBOR USD 3 Month+4.800%, 07/18/2026 (A)(B) | 759 | 702 | ||||||
CVP Cascade CLO, Ser 2014-2A, Cl E | ||||||||
7.104%, VAR ICE LIBOR USD 3 Month+5.800%, 07/18/2026 (A)(B) | 2,469 | 2,047 | ||||||
Fifth Street Senior Loan Fund, Ser 2015-1A, Cl E | ||||||||
8.507%, VAR ICE LIBOR USD 3 Month+7.200%, 01/20/2027 (A)(B) | 3,890 | 3,853 | ||||||
Figueroa CLO, Ser 2013-1I | ||||||||
0.000%, 03/21/2024 (B) | 18,856 | 5,798 | ||||||
Figueroa CLO, Ser 2013-2A | ||||||||
0.000%, 06/20/2027 (A)(B) | 2,907 | 1,366 | ||||||
Fortress Credit Opportunities III CLO, Ser 2014-3A, Cl E | ||||||||
7.553%, VAR ICE LIBOR USD 3 Month+6.250%, 04/28/2026 (A)(B) | 3,482 | 3,358 | ||||||
Fortress Credit Opportunities VI CLO, Ser 2015-6A, Cl F | ||||||||
8.067%, VAR ICE LIBOR USD 3 Month+6.750%, 10/10/2026 (A)(B) | 1,730 | 1,711 | ||||||
Great Lakes CLO, Ser 2012-1A | ||||||||
0.000%, 01/15/2023 (A) | 2,457 | 1,572 | ||||||
Great Lakes CLO, Ser 2012-1A, Cl E | ||||||||
6.804%, VAR ICE LIBOR USD 3 Month+5.500%, 01/15/2023 (A)(B) | 2,811 | 2,783 | ||||||
Great Lakes CLO, Ser 2014-1A | ||||||||
0.000%, 04/15/2025 (A)(B) | 6,943 | 4,305 | ||||||
Great Lakes CLO, Ser 2014-1A, Cl F | ||||||||
7.304%, VAR ICE LIBOR USD 3 Month+6.000%, 04/15/2025 (A)(B) | 2,480 | 2,480 | ||||||
Great Lakes CLO, Ser 2015-1A | ||||||||
0.000%, 07/15/2026 (A)(B) | 4,202 | 2,899 | ||||||
Great Lakes CLO, Ser 2015-1A, Cl E | ||||||||
8.004%, VAR ICE LIBOR USD 3 Month+6.700%, 07/15/2026 (A)(B) | 2,896 | 2,853 |
200 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) |
Market Value | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Great Lakes CLO, Ser 2015-1A, Cl F | ||||||||
8.804%, VAR ICE LIBOR USD 3 Month+7.500%, 07/15/2026 (A)(B) | $ | 1,319 | $ | 1,161 | ||||
Ivy Hill Middle Market Credit Fund VII, Ser 2013-7A | ||||||||
0.000%, 10/20/2025 (A)(B) | 3,198 | 2,367 | ||||||
Ivy Hill Middle Market Credit Fund XII, Ser 2017-12A | ||||||||
0.000%, 07/20/2029 (A)(B) | 651 | 651 | ||||||
Ivy Hill Middle Market Credit Fund XII, Ser 2017-12A, Cl D | ||||||||
8.873%, VAR ICE LIBOR USD 3 Month+7.560%, 07/20/2029 (A)(B) | 3,223 | 3,184 | ||||||
JFIN Revolver CLO, Ser 2014-2A, Cl C | ||||||||
4.066%, VAR ICE LIBOR USD 3 Month+2.750%, 02/20/2022 (A)(B) | 1,951 | 1,951 | ||||||
Lockwood Grove CLO, Ser 2014-1A | ||||||||
0.000%, 01/25/2024 (A)(B) | 3,797 | 2,639 | ||||||
Lockwood Grove CLO, Ser 2016-1A, Cl ER | ||||||||
9.064%, VAR ICE LIBOR USD 3 Month+7.750%, 04/25/2025 (A)(B) | 2,192 | 2,214 | ||||||
Nelder Grove CLO, Ser 2017-1A, Cl ER | ||||||||
8.011%, VAR ICE LIBOR USD 3 Month+6.700%, 08/28/2026 (A)(B) | 2,926 | 2,911 | ||||||
Neuberger Berman CLO XIII, Ser 2012-13A | ||||||||
0.000%, 01/23/2024 (A)(B) | 447 | 6 | ||||||
Neuberger Berman CLO XVI, Ser 2014-16A | ||||||||
0.000%, 04/15/2026 to 04/15/2026 (A) (B) | 2,613 | 1,071 | ||||||
Neuberger Berman CLO XXII, Ser 2016-22A | ||||||||
0.100%, 10/17/2027 (A)(B) | 112 | 86 | ||||||
0.000%, 10/17/2027 (A)(B) | 3,640 | 2,694 | ||||||
NewStar Arlington Senior Loan Program, | ||||||||
Ser 2014-1A, Cl E | ||||||||
7.414%, VAR ICE LIBOR USD 3 Month+6.100%, 07/25/2025 (A)(B) | 1,974 | 1,852 | ||||||
NewStar Clarendon Fund CLO, Ser 2015-1A, | ||||||||
Cl E | ||||||||
7.364%, VAR ICE LIBOR USD 3 Month+6.050%, 01/25/2027 (A)(B) | 3,439 | 3,276 | ||||||
NewStar Fairfield Fund CLO, Ser 2015-2A | ||||||||
0.000%, 09/29/2027 (A)(B) | 5,483 | 3,509 | ||||||
NXT Capital CLO, Ser 2012-1A, Cl E | ||||||||
8.807%, VAR ICE LIBOR USD 3 Month+7.500%, 07/20/2022 (A)(B) | 2,417 | 2,409 | ||||||
OCP CLO, Ser 2012-2A | ||||||||
0.000%, 11/22/2023 (A)(B) | 2,615 | 1,373 | ||||||
Shackleton CLO, Ser 2014-6A | ||||||||
0.000%, 07/17/2026 (A)(B) | 7,935 | 3,253 | ||||||
TCP Waterman CLO, Ser 2017-1I | ||||||||
0.000%, 08/20/2029 (B) | 9,085 | 8,176 | ||||||
TCW CLO, Ser 2017-1A | ||||||||
0.000%, 07/29/2029 (A)(B) | 4,194 | 3,728 |
Description | Face Amount (Thousands) |
Market Value | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Venture CDO, Ser 2012-10A | ||||||||
0.000%, 04/20/2027 (A)(B) | $ | 7,108 | $ | 4,058 | ||||
Venture CDO, Ser 2016-25A | ||||||||
0.000%, 04/20/2029 (A)(B) | 2,030 | 1,736 | ||||||
Venture XI CLO, Ser 2012-11A | ||||||||
0.000%, 11/14/2022 (A)(B) | 6,354 | 254 | ||||||
Venture XIV CLO, Ser 2013-14A | ||||||||
0.100%, 08/28/2029 (A)(B) | 105 | 45 | ||||||
Venture XXII CLO, Ser 2016-22A, Cl F | ||||||||
9.154%, VAR ICE LIBOR USD 3 Month+7.850%, 01/15/2028 (A)(B) | 792 | 776 | ||||||
Venture XXIV CLO, Ser 2016-24A | ||||||||
0.000%, 10/20/2028 (A)(B) | 2,795 | 2,432 | ||||||
Venture XXVI CLO, Ser 2017-26A | ||||||||
0.000%, 01/20/2029 (A)(B) | 2,145 | 1,866 | ||||||
Venture XXVIII CLO, Ser 2017-28A | ||||||||
0.000%, 07/20/2030 (A)(B) | 4,193 | 3,837 | ||||||
|
|
| ||||||
Total Asset-Backed Securities | ||||||||
(Cost $132,111) ($ Thousands) | 155,300 | |||||||
|
|
| ||||||
LOAN PARTICIPATIONS — 8.0% |
| |||||||
21st Century Oncology, Delayed Term Loan, 1st Lien | ||||||||
8.820%, 11/29/2017 (K) | 100 | 101 | ||||||
21st Century Oncology, Initial Term Loan, 1st Lien | ||||||||
7.425%, VAR LIBOR+6.125%, 04/30/2022 | 914 | 858 | ||||||
Academy Ltd., Cov-Lite, Term Loan B, 1st Lien | ||||||||
5.318%, VAR LIBOR+4.000%, 07/01/2022 | 569 | 383 | ||||||
5.314%, VAR LIBOR+4.000%, 07/01/2022 | 303 | 204 | ||||||
5.235%, VAR LIBOR+4.000%, 07/01/2022 | 872 | 588 | ||||||
5.232%, VAR LIBOR+4.000%, 07/01/2022 | 81 | 55 | ||||||
Accudyne Industries, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
5.083%, VAR LIBOR+3.750%, 08/18/2024 | 775 | 776 | ||||||
Air Medical Group Holdings, Cov-Lite, Term Loan B, 1st Lien | ||||||||
0.000%, 09/26/2024 (I) | 1,105 | 1,104 | ||||||
Air Medical Group Holdings, Initial Term Loan, 1st Lien | ||||||||
4.485%, VAR LIBOR+3.250%, 04/28/2022 | 987 | 980 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 201 |
SCHEDULE OF INVESTMENTS
September 30, 2017
High Yield Bond Fund (Continued)
Description | Face Amount (Thousands) |
Market Value | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Alvogen Pharma US, Cov-Lite, Intitial Term Loan, 1st Lien | ||||||||
6.240%, VAR LIBOR+5.000%, 04/01/2022 (B) | $ | 1,404 | $ | 1,397 | ||||
American Tire Distributors, Initial Term Loan, 1st Lien | ||||||||
5.485%, VAR LIBOR+4.250%, 09/01/2021 | 975 | 984 | ||||||
Anaren, Initial Term Loan, 1st Lien | ||||||||
5.833%, VAR LIBOR+4.500%, 02/18/2021 (B) | 760 | 764 | ||||||
Applied Systems, Initial Term Loan, 2nd Lien | ||||||||
8.324%, 09/19/2025 | 336 | 346 | ||||||
Ascend Learning, Cov-Lite, Term Loan B, 1st Lien | ||||||||
4.485%, VAR LIBOR+3.250%, 07/12/2024 | 145 | 146 | ||||||
Asurion, Cov-Lite, Term Loan B4, 1st Lien | ||||||||
3.985%, VAR LIBOR+2.750%, 08/04/2022 | 1,431 | 1,435 | ||||||
Asurion, Term Loan B2, 2nd Lien | ||||||||
7.235%, VAR LIBOR+6.000%, 08/04/2025 | 2,572 | 2,629 | ||||||
Atlas Iron, Term Loan B, 1st Lien | ||||||||
8.580%, VAR LIBOR+7.330%, 05/06/2021 | 181 | 170 | ||||||
BCP Raptor, Term Loan B, 1st Lien | ||||||||
5.522%, VAR LIBOR+4.250%, 06/24/2024 | 1,382 | 1,391 | ||||||
Big River Steel, Closing Date Term Loan, 1st Lien | ||||||||
6.333%, VAR LIBOR+5.000%, 08/23/2023 (B) | 1,322 | 1,335 | ||||||
Blount International, Initial Term Loan, 1st Lien | ||||||||
8.250%, VAR LIBOR+5.000%, 04/12/2023 | 6 | 6 | ||||||
6.237%, VAR LIBOR+5.000%, 04/12/2023 | 1,212 | 1,222 | ||||||
BMC Foreign Holding, Cov-Lite, Term Loan B1, 1st Lien | ||||||||
5.333%, VAR LIBOR+4.000%, 09/10/2022 | 988 | 985 | ||||||
5.235%, VAR LIBOR+4.000%, 09/10/2022 | 799 | 802 | ||||||
Boart Longyear Management, Initial Term Loan, 1st Lien | ||||||||
10.000%, 10/23/2020 (B)(H) | 141 | 141 | ||||||
BPA Laboratories, Initial Term Loan, 2nd Lien | ||||||||
3.811%, 04/29/2020 | 181 | 172 |
Description | Face Amount (Thousands) |
Market Value | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
BWAY Holding, Cov-Lite, Term Loan B, 1st Lien | ||||||||
4.481%, VAR LIBOR+3.250%, 04/03/2024 | $ | 1,142 | $ | 1,145 | ||||
Calceus Acquisition, Cov-Lite, Term Loan B1, 1st Lien | ||||||||
5.240%, VAR LIBOR+4.000%, 01/31/2020 | 82 | 76 | ||||||
California Resources, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
11.609%, VAR LIBOR+10.375%, 12/31/2021 | 3,168 | 3,372 | ||||||
California Resources, Initial Term Loan, 1st Lien | ||||||||
4.235%, VAR LIBOR+3.000%, 11/25/2019 | 656 | 630 | ||||||
Carestream Health Cov-Lite, Initial Term Loan, 2nd Lien | ||||||||
9.796%, VAR LIBOR+8.500%, 12/07/2019 | 4,001 | 3,906 | ||||||
Carestream Health, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
5.239%, VAR LIBOR+4.000%, 06/07/2019 | 205 | 205 | ||||||
Cengage Learning, Cov-Lite, Term Loan B, 1st Lien | ||||||||
5.485%, VAR LIBOR+4.250%, 06/07/2023 | 1,557 | 1,433 | ||||||
CEVA Group PLC, Synthetic LC Loan, 1st Lien | ||||||||
6.500%, 03/19/2021 | 203 | 195 | ||||||
Ceva Intercompany, Dutch BV Term Loan , 1st Lien | ||||||||
6.814%, VAR LIBOR+5.500%, 03/19/2021 | 207 | 200 | ||||||
Ceva Logistics Canada, Cov-Lite, Canadian Term Loan, 1st Lien | ||||||||
6.814%, VAR LIBOR+5.500%, 03/19/2021 | 36 | 34 | ||||||
Ceva Logistics U.S. Holdings, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
6.814%, VAR LIBOR+5.500%, 03/19/2021 | 285 | 275 | ||||||
Checkout Holding, Term Loan B, 1st Lien | ||||||||
4.735%, VAR LIBOR+3.500%, 04/09/2021 | 1,671 | 1,399 | ||||||
Chesapeake Energy, Class A Loan, 1st Lien | ||||||||
8.814%, VAR LIBOR+7.500%, 08/23/2021 | 3,353 | 3,610 | ||||||
Chief Exploration & Development, Initial Term Loan, 2nd Lien | ||||||||
7.959%, VAR LIBOR+6.500%, 05/16/2021 | 1,140 | 1,113 |
202 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) |
Market Value | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
CityCenter Holdings, Term Loan B, 1st Lien | ||||||||
3.735%, VAR LIBOR+2.500%, 04/18/2024 | $ | 274 | $ | 275 | ||||
Clear Channel Communications, Term Loan D, 1st Lien | ||||||||
8.083%, VAR LIBOR+6.750%, 01/30/2019 (B) | 760 | 586 | ||||||
ClubCorp Operations, Cov-Lite, Term Loan B, 1st Lien | ||||||||
4.588%, 09/18/2024 | 1,005 | 998 | ||||||
Communications Sales & Leasing, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
4.235%, VAR LIBOR+3.000%, 10/24/2022 | 1,747 | 1,614 | ||||||
Conduent, Term Loan B, 1st Lien | ||||||||
5.235%, VAR LIBOR+4.000%, 12/07/2023 | 1,332 | 1,336 | ||||||
Contura Energy, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
6.280%, VAR LIBOR+5.000%, 03/18/2024 (B) | 1,564 | 1,538 | ||||||
Coral-U.S. Co-Borrower, Cov-Lite, Term Loan B3, 1st Lien | ||||||||
4.735%, VAR LIBOR+3.500%, 01/31/2025 | 1,053 | 1,041 | ||||||
Cowlitz Tribal Gaming Authority, Term Loan B, 1st Lien | ||||||||
11.796%, VAR US LIBOR+10.500%, 12/06/2021 (B) | 3,000 | 3,330 | ||||||
CTI Foods, Initial Term Loan, 2nd Lien | ||||||||
8.490%, VAR LIBOR+7.250%, 06/28/2021 | 1,190 | 953 | ||||||
Cumulus Media Holdings, Term Loan B, 1st Lien | ||||||||
4.490%, VAR LIBOR+3.250%, 12/23/2020 | 3,687 | 3,069 | ||||||
Delta 2 (Lux) Sarl, Extended Cov-Lite, Term Loan B3, 1st Lien | ||||||||
4.235%, VAR LIBOR+3.000%, 02/01/2024 | 2,700 | 2,716 | ||||||
Dex Media, Initial Term Loan, 1st Lien | ||||||||
11.235%, VAR LIBOR+10.000%, 07/29/2021 | 586 | 596 | ||||||
DJO Finance LLC, Initial Term Loan, 1st Lien | ||||||||
4.487%, VAR LIBOR+3.250%, 06/08/2020 | 315 | 314 | ||||||
4.485%, VAR LIBOR+3.250%, 06/08/2020 | 307 | 307 | ||||||
East Valley Tourist Development Authority , Term Loan B, 1st Lien | ||||||||
9.296%, VAR LIBOR+8.000%, 09/30/2020 (B) | 2,449 | 2,461 |
Description | Face Amount (Thousands) |
Market Value | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Empire Generating, Term Loan B, 1st Lien | ||||||||
5.570%, VAR LIBOR+4.250%, 03/12/2021 | $ | 1,217 | $ | 1,126 | ||||
Empire Generating, Term Loan C, 1st Lien | ||||||||
5.570%, VAR LIBOR+4.250%, 03/12/2021 | 120 | 111 | ||||||
Engility, Term Loan B2, 1st Lien | ||||||||
6.500%, VAR LIBOR+3.250%, 08/14/2023 | 803 | 811 | ||||||
Evergreen Skills Lux Sarl, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
5.985%, VAR LIBOR+4.750%, 04/28/2021 | 2,665 | 2,516 | ||||||
Fairmount Minerals, Term Loan B2, 1st Lien | ||||||||
4.735%, VAR LIBOR+3.500%, 09/05/2019 | 2,783 | 2,755 | ||||||
Flex Acquisition, Initial Term Loan, 1st Lien | ||||||||
5.000%, VAR LIBOR+3.000%, 12/29/2023 | 1,070 | 1,073 | ||||||
Foresight Energy, Term Loan B, 1st Lien | ||||||||
7.083%, VAR LIBOR+5.750%, 03/28/2022 | 1,351 | 1,261 | ||||||
Frontier Communications, Term Loan B1, 1st Lien | ||||||||
4.990%, VAR LIBOR+3.750%, 06/15/2024 | 1,179 | 1,118 | ||||||
FTS International, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
5.985%, VAR LIBOR+4.750%, 04/16/2021 | 400 | 373 | ||||||
Gardner Denver, Cov-Lite, Term Loan B, 1st Lien | ||||||||
4.083%, VAR LIBOR+2.750%, 07/30/2024 | 646 | 647 | ||||||
Gavilan Resources, Initial Term Loan, 1st Lien | ||||||||
7.230%, VAR LIBOR+6.000%, 03/01/2024 | 1,503 | 1,450 | ||||||
General Nutrition Centers, Initial Term Loan, 1st Lien | ||||||||
3.740%, VAR LIBOR+2.500%, 03/04/2019 | 1,942 | 1,851 | ||||||
Green Energy Partners/Stonewall, Term Loan B1, 1st Lien | ||||||||
6.833%, VAR LIBOR+5.500%, 11/13/2021 | 411 | 386 | ||||||
Gulf Finance, Term Loan B, 1st Lien | ||||||||
6.590%, VAR LIBOR+5.250%, 08/25/2023 | 517 | 486 | ||||||
Gymboree, DIP New Money, Initial Term Loan, 1st Lien | ||||||||
13.234%, 12/11/2017 (K) | 58 | 58 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 203 |
SCHEDULE OF INVESTMENTS
September 30, 2017
High Yield Bond Fund (Continued)
Description | Face Amount (Thousands) |
Market Value | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Gymboree, DIP Roll Up, Initial Term Loan, 1st Lien | ||||||||
5.000%, VAR LIBOR+3.500%, 12/11/2017 | $ | 204 | $ | 75 | ||||
Gymboree, Initial Term Loan, 1st Lien | ||||||||
8.750%, 02/23/2018 (E) | 2,034 | 750 | ||||||
Hercules Achievement, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
4.739%, VAR LIBOR+3.500%, 12/10/2021 | 4 | 4 | ||||||
4.732%, VAR LIBOR+3.500%, 12/10/2021 | 513 | 516 | ||||||
Hillman, Term Loan B, 1st Lien | ||||||||
4.796%, 06/30/2021 | 295 | 296 | ||||||
Indivior Finance Sarl, Initial Term Loan, 1st Lien | ||||||||
7.320%, 12/19/2019 (B) | 1,273 | 1,276 | ||||||
J. Crew Group, Initial Term Loan, 1st Lien | ||||||||
4.455%, VAR LIBOR+3.220%, 03/05/2021 | 1,362 | 822 | ||||||
4.454%, VAR LIBOR+3.220%, 03/05/2021 | 401 | 242 | ||||||
KCA Deutag US Finance, Term Loan B, 1st Lien | ||||||||
7.065%, VAR LIBOR+5.750%, 05/15/2020 | 1,001 | 964 | ||||||
Kraton Polymers LLC, Cov-Lite, Term Loan, 1st Lien | ||||||||
4.235%, VAR LIBOR+3.000%, 01/06/2022 | 94 | 95 | ||||||
Ligado Networks, Cov-Lite, Initial Term Loan, 2nd Lien | ||||||||
13.820%, VAR LIBOR+12.500%, 12/07/2020 | 2,373 | 1,431 | ||||||
Mashantucket Pequot, Term Loan A, 1st Lien | ||||||||
5.239%, VAR LIBOR+4.000%, 07/01/2018 | 1,281 | 1,198 | ||||||
Mashantucket Pequot, Term Loan B, 1st Lien | ||||||||
9.375%, VAR LIBOR+8.125%, 06/30/2020 | 7,115 | 6,516 | ||||||
Medical Card Systems, Initial Term Loan | ||||||||
1.500%, VAR LIBOR+0.500%, 05/31/2019 (B)(H) | 1,421 | 1,251 | ||||||
MEG Energy, Initial Term Loan, 1st Lien | ||||||||
4.734%, VAR LIBOR+3.500%, 12/31/2023 | 299 | 297 | ||||||
Metroflag, 2nd Lien | ||||||||
14.000%, 01/06/2009 (B)(E) | 300 | — | ||||||
Misys Limited, Cov-Lite, Initial Term Loan, 2nd Lien | ||||||||
8.567%, VAR LIBOR+7.250%, 06/13/2025 | 1,082 | 1,099 |
Description | Face Amount (Thousands) |
Market Value | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
MMM Holdings, Initial Term Loan, 1st Lien | ||||||||
10.250%, VAR LIBOR+8.750%, | ||||||||
06/30/2019 (B) | $ | 281 | $ | 278 | ||||
Moneygram International, Initial Term Loan, 1st Lien | ||||||||
4.583%, VAR LIBOR+3.250%, 03/27/2020 | 1,207 | 1,205 | ||||||
Moxie Liberty, Term Loan B1, 1st Lien | ||||||||
7.796%, VAR LIBOR+6.500%, 08/21/2020 | 1,934 | 1,710 | ||||||
MSO of Puerto Rico, Initial Term Loan, 1st Lien | ||||||||
10.250%, 06/30/2019 (B) | 204 | 202 | ||||||
Murray Energy, Term Loan B2, 1st Lien | ||||||||
8.583%, VAR LIBOR+7.250%, 04/16/2020 | 3,879 | 3,548 | ||||||
Nana Development, Initial Term Loan, 1st Lien | ||||||||
8.080%, VAR LIBOR+6.750%, 03/15/2018 | 19 | 19 | ||||||
Neiman Marcus Group, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
4.481%, VAR LIBOR+3.250%, 10/25/2020 | 1,283 | 953 | ||||||
New LightSquared, PIK Exit Term Loan, 1st Lien | ||||||||
10.067%, VAR LIBOR+0.000%, 06/15/2020 | 2,261 | 2,115 | ||||||
New MMI, Initial Term Loan, 1st Lien | ||||||||
9.061%, VAR LIBOR+7.750%, 01/31/2020 | 2,930 | 2,857 | ||||||
New Rue 21, DIP New Money Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
12.000%, 10/31/2017 | 144 | 142 | ||||||
Nine West Holdings, Cov-Lite Unsecured Guaranteed, Initial Term Loan, No Lien | ||||||||
6.553%, VAR LIBOR+5.250%, 01/08/2020 | 4,638 | 1,654 | ||||||
Optiv, Initial Term Loan, 1st Lien | ||||||||
8.562%, VAR LIBOR+7.250%, 01/31/2025 | 291 | 266 | ||||||
Ortho-Clinical Diagnostics, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
5.046%, VAR LIBOR+3.750%, 06/30/2021 | 769 | 771 | ||||||
Oxbow Carbon, Initial Term Loan, 2nd Lien | ||||||||
8.235%, VAR LIBOR+7.000%, 01/17/2020 | 1,994 | 1,996 | ||||||
P2 Upstream Acquisition, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
5.230%, VAR LIBOR+4.000%, 10/30/2020 | 725 | 702 |
204 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) |
Market Value | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Pardus Oil & Gas LLC, Cov-Lite PIK, Initial Term Loan, 2nd Lien | ||||||||
5.000%, 05/13/2022 (B) | $ | 76 | $ | — | ||||
Pardus Oil & Gas, Cov-Lite PIK, Term Loan A, 1st Lien | ||||||||
13.000%, VAR PIK Interest+13.000%, 11/12/2021 (B)(H) | 147 | 13 | ||||||
Petco Animal Supplies, Cov-Lite, Term Loan B1, 1st Lien | ||||||||
4.311%, VAR LIBOR+3.000%, 01/26/2023 | 887 | 729 | ||||||
PetSmart, Cov-Lite, Term Loan B, 1st Lien | ||||||||
4.240%, VAR LIBOR+3.000%, 03/11/2022 | 670 | 565 | ||||||
PQ, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
4.562%, VAR LIBOR+3.250%, 11/04/2022 | 418 | 422 | ||||||
Quorum Health, Term Loan B, 1st Lien | ||||||||
8.067%, VAR LIBOR+6.750%, 04/29/2022 | 944 | 956 | ||||||
7.985%, VAR LIBOR+6.750%, 04/29/2022 | 25 | 25 | ||||||
Radio One, Term Loan B, 1st Lien | ||||||||
5.300%, VAR LIBOR+4.000%, 04/18/2023 | 657 | 644 | ||||||
Revlon Consumer Products, Term Loan B, 1st Lien | ||||||||
4.735%, VAR LIBOR+3.500%, 09/07/2023 | 672 | 601 | ||||||
Royal Holdings, Cov-Lite, Initial Term Loan, 2nd Lien | ||||||||
8.833%, VAR LIBOR+7.500%, 06/19/2023 | 176 | 176 | ||||||
Seadrill Partners Finco, Initial Term Loan, 1st Lien | ||||||||
4.333%, VAR LIBOR+3.000%, 02/21/2021 | 932 | 679 | ||||||
Sequa Mezzanine Holdings, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
6.814%, VAR LIBOR+5.500%, 11/28/2021 | 961 | 966 | ||||||
Sequa Mezzanine Holdings, Cov-Lite, Initial Term Loan, 2nd Lien | ||||||||
10.314%, VAR LIBOR+9.000%, 04/28/2022 | 863 | 883 | ||||||
Staples, Cov-Lite, Term Loan B, 1st Lien | ||||||||
5.310%, VAR LIBOR+4.000%, 09/12/2024 | 2,333 | 2,322 | ||||||
Steinway Musical Instruments, Initial Term Loan, 1st Lien | ||||||||
5.061%, 09/19/2019 | 940 | 912 |
Description | Face Amount (Thousands) |
Market Value | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Syncreon Global Finance (US), Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
5.485%, VAR LIBOR+4.250%, 10/28/2020 | $ | 680 | $ | 594 | ||||
Syniverse Holdings, Initial Term Loan, 1st Lien | ||||||||
4.311%, VAR LIBOR+3.000%, 04/23/2019 | 2,728 | 2,636 | ||||||
Syniverse Holdings, Term Loan B, 1st Lien | ||||||||
4.333%, VAR LIBOR+3.000%, 04/23/2019 | 1,096 | 1,059 | ||||||
Toys ‘R’ US-Delaware, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
8.740%, VAR LIBOR+7.500%, 01/22/2019 | 232 | 234 | ||||||
Traverse Midstream Partners, Term Loan B, 1st Lien | ||||||||
5.330%, 09/27/2024 | 1,813 | 1,836 | ||||||
0.000%, 06/30/2018 (B)(H)(I) | 910 | 910 | ||||||
Veritas US, Cov-Lite, Term Loan B1, 1st Lien | ||||||||
5.833%, VAR LIBOR+4.500%, 01/27/2023 | 3,073 | 3,100 | ||||||
Walter Investment Management, Initial Term Loan, 1st Lien | ||||||||
4.985%, VAR LIBOR+3.750%, 12/18/2020 | 874 | 801 | ||||||
Weight Watchers International, Cov-Lite, Term Loan B2, 1st Lien | ||||||||
4.550%, VAR LIBOR+3.250%, 04/02/2020 | 292 | 288 | ||||||
4.490%, VAR LIBOR+3.250%, 04/02/2020 | 159 | 156 | ||||||
Western Digital, Cov-Lite, Term Loan B2, 1st Lien | ||||||||
3.985%, VAR LIBOR+2.750%, 04/29/2023 | 1,191 | 1,197 | ||||||
Windstream Services, Term Loan B, 1st Lien | ||||||||
5.240%, VAR LIBOR+4.000%, 03/29/2021 | 1,371 | 1,220 | ||||||
|
|
| ||||||
Total Loan Participations | ||||||||
(Cost $136,847) ($ Thousands) | 132,897 | |||||||
|
|
| ||||||
Shares | ||||||||
COMMON STOCK — 1.2% |
| |||||||
Amplify Energy * | 100,766 | 1,033 | ||||||
Aspect Software, Cl CR1 *(B)(H) | 27,500 | 282 | ||||||
Aspect Software, Cl CR2 *(B)(H) | 11,134 | 114 | ||||||
Atlas Iron | 242,063 | 3 | ||||||
Berry Pete *(B) | 129,459 | 1,295 | ||||||
Berry Petroleum (Escrow Security) *(B) | 3,278,000 | — | ||||||
Boart Longyear * | 168,550,191 | 3,306 | ||||||
Cengage Learning Holdings II * | 2,408 | 20 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 205 |
SCHEDULE OF INVESTMENTS
September 30, 2017
High Yield Bond Fund (Continued)
| ||||||||
Description | Shares |
Market Value | ||||||
| ||||||||
COMMON STOCK (continued) | ||||||||
CEVA Holdings *(B) | 561 | $ | 224 | |||||
CHC Group * | 1,075 | 8 | ||||||
CUI Acquisition *(B)(H) | 3 | 246 | ||||||
Energy & Exploration Partners *(B) | 185 | — | ||||||
Global Aviation Holdings, Cl A *(B) | 97,655 | — | ||||||
Halcon Resources * | 68,040 | 463 | ||||||
Linn Energy * | 25,722 | 921 | ||||||
Medical Card Systems *(B) | 264,653 | — | ||||||
Midstates Petroleum *(H) | 14,067 | 219 | ||||||
Mmodal * | 42,430 | 962 | ||||||
NII Holdings * | 51,236 | 24 | ||||||
Patterson-UTI Energy | 51,454 | 1,077 | ||||||
Peabody Energy * | 11,262 | 327 | ||||||
Peabody Energy (Escrow Security) * | 420,000 | — | ||||||
Reichhold Industries *(B)(H) | 1,427 | 1,063 | ||||||
Rue 21 * | 55,057 | 189 | ||||||
SandRidge Energy * | 3,800,163 | 947 | ||||||
TE Holdcorp * | 50,160 | 132 | ||||||
Texas Competitive Electric Holdings (B) | 361,919 | 380 | ||||||
Titan Energy * | 22,243 | 100 | ||||||
UCI International Holdings *(B)(H) | 27,268 | 518 | ||||||
Vistra Energy | 361,919 | 6,764 | ||||||
|
|
| ||||||
Total Common Stock | 20,617 | |||||||
|
|
| ||||||
Face Amount (Thousands) | ||||||||
MUNICIPAL BONDS — 0.6% | ||||||||
Connecticut — 0.2% | ||||||||
Mohegan Tribal, Finance Authority, RB (B) | ||||||||
7.000%, 02/01/2045 (A) | $ | 3,540 | 3,736 | |||||
|
|
| ||||||
Puerto Rico — 0.2% | ||||||||
Commonwealth of Puerto Rico, Ser A, GO | ||||||||
5.250%, 07/01/2037 (E) | 130 | 60 | ||||||
Commonwealth of Puerto Rico, Ser A, GO | ||||||||
8.000%, 07/01/2035 (E) | 2,450 | 1,188 | ||||||
Commonwealth of Puerto Rico, Ser A, GO | ||||||||
5.125%, 07/01/2037 (E) | 775 | 356 | ||||||
5.000%, 07/01/2041 (E) | 705 | 316 | ||||||
Government Development Bank for Puerto Rico, Ser A, RB | ||||||||
4.375%, 02/01/2019 (E) | 985 | 308 | ||||||
Government Development Bank for Puerto | ||||||||
5.500%, 08/01/2020 (E) | 635 | 198 | ||||||
Government Development Bank for Puerto | ||||||||
5.000%, 12/01/2016 (E) | 360 | 112 | ||||||
4.704%, 05/01/2016 (E) | 320 | 100 |
| ||||||||
Description | Face Amount (Thousands) |
Market Value | ||||||
| ||||||||
MUNICIPAL BONDS (continued) | ||||||||
Government Development Bank for Puerto Rico, Ser B, RB (B) | ||||||||
5.000%, 12/01/2017 (E) | $ | 85 | $ | 27 | ||||
Government Development Bank for Puerto Rico, Ser C, RB (B) | ||||||||
5.400%, 08/01/2019 (E) | 265 | 83 | ||||||
Government Development Bank for Puerto Rico, Ser H, RB | ||||||||
5.000%, 08/01/2023 (E) | 345 | 108 | ||||||
|
|
| ||||||
2,856 | ||||||||
|
|
| ||||||
Texas — 0.2% | ||||||||
Texas State, Public Finance Authority, RB (B) Callable 07/01/2019 @ 100 | ||||||||
8.250%, 07/01/2024 | 3,220 | 3,367 | ||||||
|
|
| ||||||
Total Municipal Bonds | 9,959 | |||||||
|
|
| ||||||
CONVERTIBLE BONDS — 0.5% | ||||||||
CHC Group CV to 125.0000 | ||||||||
0.000%, 10/01/2020 | 55 | 84 | ||||||
Cheniere Energy CV to 7.2265 | ||||||||
4.250%, 03/15/2045 | 615 | 426 | ||||||
Chesapeake Energy CV to 116.7134 | ||||||||
5.500%, 09/15/2026 (A) | 602 | 552 | ||||||
Ensco Jersey Finance CV to 71.3343 | ||||||||
3.000%, 01/31/2024 (A) | 659 | 560 | ||||||
GenOn CV to 14.7167 | ||||||||
0.000%, 06/15/2021 (B)(E) | 2,200 | – | ||||||
Liberty Media CV to 16.7764 | ||||||||
3.750%, 02/15/2030 | 4,070 | 2,869 | ||||||
Liberty Media CV to 22.94686 | ||||||||
4.000%, 11/15/2029 | 1,656 | 1,175 | ||||||
MGIC Investment CV to 74.0741 | ||||||||
9.000%, 04/01/2063 (A) | 2,065 | 2,801 | ||||||
Mirabela Nickel CV to 5.9242 | ||||||||
9.500%, 06/24/2019 (A)(B)(E) | 1,541 | 139 | ||||||
Weatherford International CV to 129.1656 | ||||||||
5.875%, 07/01/2021 | 267 | 292 | ||||||
|
|
| ||||||
Total Convertible Bonds | 8,898 | |||||||
|
|
| ||||||
Shares | ||||||||
PREFERRED STOCK — 0.4% | ||||||||
Aspen Insurance Holdings, 5.950% | 86,000 | 2,396 | ||||||
Berry Petroleum, 0.000% *(B) | 196,693 | 2,262 | ||||||
CEVA Holdings, 0.000% *(B) | 1,214 | 485 | ||||||
TE Holdcorp, 0.000% * | 74,814 | 692 |
206 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
| ||||||||
Description | Shares |
Market Value | ||||||
| ||||||||
PREFERRED STOCK (continued) | ||||||||
Vici Properties, 12.000% *(B)(H) | 11,652 | $ | 243 | |||||
|
|
| ||||||
Total Preferred Stock | 6,078 | |||||||
|
|
| ||||||
Number of Rights | ||||||||
RIGHTS — 0.0% | ||||||||
CZR - Senior Secured *‡‡(B) | 447,084 | 557 | ||||||
|
|
| ||||||
Total Rights | 557 | |||||||
|
|
| ||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Jack Cooper Holdings, Expires 04/26/2027 | 2,496 | – | ||||||
Lion Holding Warrants, Cl A, Expires 12/30/2027 | 1,575 | – | ||||||
Midstates Petroleum, Expires 04/21/2020 | 9,541 | 1 | ||||||
SandRidge Energy, Expires 10/04/2022 | 7,382 | 6 | ||||||
SandRidge Energy, Expires 10/04/2022 | 3,108 | 2 | ||||||
|
|
| ||||||
Total Warrants | 9 | |||||||
|
|
| ||||||
Shares | ||||||||
AFFILIATED PARTNERSHIP — 0.0% | ||||||||
SEI Liquidity Fund, L.P. | ||||||||
1.110% **†(J) | 6,096 | 6 | ||||||
|
|
| ||||||
Total Affiliated Partnership | 6 | |||||||
|
|
| ||||||
CASH EQUIVALENT — 4.9% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
0.840%**† | 81,200,142 | 81,200 | ||||||
|
|
| ||||||
Total Cash Equivalent | 81,200 | |||||||
|
|
| ||||||
Total Investments in Securities — 99.8% | $ | 1,654,771 | ||||||
|
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 207 |
SCHEDULE OF INVESTMENTS
September 30, 2017
High Yield Bond Fund (Concluded)
A list of the open centrally cleared swap agreements held by the Fund at September 30, 2017 is as follows:
Credit Default Swaps | ||||||||||||||||||||||||||||||||
Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Payment Frequency | Termination Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Upfront Payments/ Receipts ($ Thousands) | Net Unrealized Appreciation ($ Thousands) | ||||||||||||||||||||||||
CDX.NA.HY.27 | Sell | 5.00% | Quarterly | 12/20/2021 | $ | (850 | ) | $ | 66 | $ | 54 | $ | 12 | |||||||||||||||||||
CDX.NA.HY.28 | Sell | 5.00% | Quarterly | 06/20/2022 | (11,529 | ) | 902 | 831 | 71 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||
$ | 968 | $ | 885 | $ | 83 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
A list of the open OTC swap agreements held by the Fund at September 30, 2017 is as follows:
Total Return Swap | ||||||||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount (Thousands) | Value ($ Thousands) | Upfront Payments/ Receipts ($ Thousands) | Net Unrealized Depreciation ($ Thousands) | ||||||||||||||||
Bank of America | IBOXHY | IBOXHY | 3-Month USD -LIBOR | Quarterly | 12/20/2017 | USD | 20,200 | $ | (341 | ) | $ | 26 | $ | (367 | ) | |||||||||||
|
|
|
Percentages are based on Net Assets of $1,657,714 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
‡‡ | Expiration date not available. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2017, the value of these securities amounted to $807,197 ($ Thousands), representing 48.7% of the Net Assets of the Fund. |
(B) | Level 3 security in accordance with fair value hierarchy. |
(C) | Securities considered illiquid. The total value of such securities as of September 30, 2017 was $0 ($ Thousands) and represented –% of the Net Assets of the Fund. |
(D) | Securities considered restricted. The total market value of such securities as of September 30, 2017 was $0 ($ Thousands) and represented 0.0% of the Net Assets of the Fund. |
(E) | Security is in default on interest payment. |
(F) | Step Bonds – The rate reflected on the Schedule of Investments is the effective yield on September 30, 2017. The coupon on a step bond changes on a specified date. |
(G) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017 was $1 ($ Thousands). |
(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 September 30, 2017 was $17,862 ($ Thousands) and represented 1.1% of the Net Assets of the Fund. |
(I) | Unsettled bank loan. Interest rate not available. |
(J) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2017 was $6 ($ Thousands). |
(K) | Represents a security which has additional commitments and contingencies. Principal amount and value excludes unfunded commitments. |
CDO — Collateralized Debt Obligation
Cl — Class
CLO — Collateralized Loan Obligation
CV — Convertible Security
GO — General Obligation
ICE — Intercontinental Exchange
L.P. — Limited Partnership
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
MTN — Medium Term Note
OTC — Over-the-counter
PIK — Payment-in-Kind
PLC — Public Limited Company
RB — Revenue Bond
Ser — Series
ULC — Unlimited Liability Company
USD — United States Dollar
VAR — Variable Rate Security
The following is a list of the level of inputs used as of September 30, 2017, 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 | $ | – | $ | 1,233,486 | $ | 5,764 | $ | 1,239,250 | ||||||||
Asset-Backed Securities | – | 1,621 | 153,679 | 155,300 | ||||||||||||
Loan Participations | – | 117,415 | 15,482 | 132,897 | ||||||||||||
Common Stock | 11,042 | 5,453 | 4,122 | 20,617 | ||||||||||||
Municipal Bonds | – | 2,448 | 7,511 | 9,959 | ||||||||||||
Convertible Bonds | – | 8,759 | 139 | 8,898 | ||||||||||||
Preferred Stock | 2,396 | 692 | 2,990 | 6,078 | ||||||||||||
Rights | – | – | 557 | 557 | ||||||||||||
Warrants | – | 8 | 1 | 9 | ||||||||||||
Affiliated Partnership | – | 6 | – | 6 | ||||||||||||
Cash Equivalent | 81,200 | – | – | 81,200 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 94,638 | $ | 1,369,888 | $ | 190,245 | $ | 1,654,771 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| ||||||||||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| ||||||||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Credit Default Swaps * | ||||||||||||||||
Unrealized Appreciation | $ | — | $ | 83 | $ | — | $ | 83 | ||||||||
OTC Swap | ||||||||||||||||
Total Return Swap * | ||||||||||||||||
Unrealized Depreciation | — | (367) | — | (367) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | — | $ | (284) | $ | — | $ | (284) | ||||||||
|
|
|
|
|
|
|
|
* Swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.
208 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Investments in Corporate Obligations | Investments in Asset-Backed Securities | Investments in Loan Participations | Investments in Common Stock | Investments in Municipal Bonds | Investments in Convertible Bonds | Investments in Preferred Stock | Investments in Rights | Investments in Warrants | ||||||||||||||||||||||||||||
Balance as of October 1, 2016 | $ | 5,566 | $ | 162,028 | $ | 13,534 | $ | 2,338 | $ | 7,946 | $ | 432 | $ | 425 | $ | — | $ | 5 | ||||||||||||||||||
Accrued discounts/premiums | (63) | 104 | (141) | — | — | (2) | — | — | — | |||||||||||||||||||||||||||
Realized gain/(loss) | 36 | 17,367 | 33 | (2,358) | 47 | — | — | — | (14) | |||||||||||||||||||||||||||
Change in unrealized appreciation/ (depreciation) | (258) | 13,309 | 535 | 2,749 | (13) | (291) | 113 | — | 10 | |||||||||||||||||||||||||||
Purchases | 21 | 38,580 | 724 | 396 | — | — | 190 | — | — | |||||||||||||||||||||||||||
Sales | (1,549) | (76,009) | (1,472) | — | (876) | — | — | — | — | |||||||||||||||||||||||||||
Net transfer into Level 3 | 2,011 | — | 10,814 | 1,676 | 407 | — | 2,262 | 557 | — | |||||||||||||||||||||||||||
Net transfer out of Level 3 | — | (1,700) | (8,545) | (679) | — | — | — | — | — | |||||||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||||
Ending Balance as of September 30, 2017 | $ | 5,764 | $ | 153,679 | $ | 15,482 | $ | 4,122 | $ | 7,511 | $ | 139 | $ | 2,990 | $ | 557 | $ | 1 | ||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||||
Changes in unrealized gains/(losses)included in earnings related to securities still held at reporting date | $ | 5,566 | $ | 162,028 | $ | 13,534 | $ | 2,338 | $ | 7,946 | $ | 432 | $ | 425 | $ | 557 | $ | 1 | ||||||||||||||||||
|
|
|
(1) Of the $190,245 ($ Thousands) in Level 3 securities as of September 30, 2017, $4,784 ($ Thousands) or 0.3% of Net Assets are not valued via third party pricing vendors and broker quotes. If significant, the disclosure of the unobservable inputs and the interrelationships and sensitivity between these inputs are required for those Level 3 securities that are not valued by third party pricing vendors or broker quotes. The value of these securities is immaterial and no further disclosure is required.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, there were transfers between 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 $0.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
| ||||||||||||||||||||||||||||
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
| ||||||||||||||||||||||||||||
SEI Liquidity Fund, L.P. | $6 | $— | $— | $— | $— | $6 | $— | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 51,074 | 959,537 | (929,411) | — | — | 81,200 | 333 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
Totals | $51,080 | $959,537 | $(929,411) | $— | $— | $81,206 | $333 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 209 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Conservative Income Fund
†Percentages are based on total investments.
Description |
Face Amount | Market Value ($ Thousands) | ||||||
COMMERCIAL PAPER — 58.4% |
| |||||||
Banks — 18.7% |
| |||||||
Bank of Nova Scotia | ||||||||
1.652%, 07/06/2018 (A)(B) | $ | 2,000 |
| $ | 1,975 | |||
Commonwealth Bank of Australia | ||||||||
1.660%, 12/08/2017 (B) | 2,000 | 2,001 | ||||||
DBS Bank | ||||||||
1.314%, 11/15/2017 (A)(B) | 3,000 | 2,995 | ||||||
1.170%, 10/05/2017 (A)(B) | 2,500 | 2,500 | ||||||
DNB Bank | ||||||||
1.337%, 01/19/2018 (B) | 3,000 | 3,000 | ||||||
1.130%, 10/02/2017 (A)(B) | 3,000 | 3,000 | ||||||
Federation des Caisses Desjardins du Quebec | ||||||||
1.170%, 10/03/2017 (A)(B) | 7,000 | 6,999 | ||||||
1.070%, 10/02/2017 (A)(B) | 1,500 | 1,500 | ||||||
Macquarie Bank | ||||||||
1.347%, 10/04/2017 (A)(B) | 4,000 | 3,999 | ||||||
Oversea-Chinese Banking | ||||||||
1.501%, 03/28/2018 (B) | 1,000 | 1,000 | ||||||
1.375%, 11/10/2017 (B) | 4,000 | 4,001 | ||||||
United Overseas Bank | ||||||||
1.400%, 02/20/2018 (A)(B) | 2,500 | 2,486 | ||||||
1.399%, 02/09/2018 (A)(B) | 2,000 | 1,990 | ||||||
1.364%, 01/11/2018 (A)(B) | 2,000 | 1,992 | ||||||
|
| |||||||
39,438 | ||||||||
|
| |||||||
Energy — 1.0% |
| |||||||
Duke Energy | ||||||||
1.320%, 10/05/2017 (A)(B) | 2,000 | 2,000 | ||||||
|
| |||||||
Financial — 37.0% |
| |||||||
Albion Capital | ||||||||
1.220%,��10/06/2017 (A) | 2,250 | 2,249 | ||||||
American Honda Finance | ||||||||
1.315%, 10/24/2017 (A) | 4,000 | 3,997 | ||||||
BNZ International Funding | ||||||||
1.717%, 02/01/2018 (A)(B) | 3,000 | 3,004 | ||||||
CAFCO | ||||||||
1.260%, 12/05/2017 (A)(B) | 1,151 | 1,148 | ||||||
CDP Financial | ||||||||
1.461%, 01/10/2018 (A)(B) | 5,000 | 4,982 | ||||||
1.460%, 01/22/2018 (A)(B) | 2,500 | 2,490 | ||||||
Charta | ||||||||
1.304%, 11/07/2017 (A)(B) | 4,450 | 4,444 |
Description |
Face Amount | Market Value ($ Thousands) | ||||||
COMMERCIAL PAPER (continued) |
| |||||||
Collateralized Commercial Paper Co LLC |
| |||||||
1.387%, 02/21/2018 | $ | 4,500 | $ | 4,501 | ||||
CRC Funding | ||||||||
1.304%, 11/28/2017 (A)(B) | 4,000 | 3,992 | ||||||
Crown Point Capital | ||||||||
1.150%, 10/02/2017 (A)(B) | 6,000 | 5,999 | ||||||
Enterprise Products Operating | ||||||||
1.380%, 10/05/2017 (A)(B) | 2,000 | 2,000 | ||||||
Fairway Finance | ||||||||
1.314%, 12/08/2017 (A)(B) | 4,000 | 3,990 | ||||||
JPMorgan Securities | ||||||||
1.483%, 02/23/2018 (A) | 3,000 | 2,983 | ||||||
Jupiter Securitization | ||||||||
1.190%, 10/02/2017 (A)(B) | 4,000 | 4,000 | ||||||
Manhattan Asset Funding | ||||||||
1.452%, 01/26/2018 (A)(B) | 1,000 | 995 | ||||||
Old Line Funding | ||||||||
1.294%, 11/20/2017 (A)(B) | 4,000 | 3,993 | ||||||
1.293%, 10/03/2017 (A)(B) | 3,095 | 3,094 | ||||||
Southern California Edison | ||||||||
1.220%, 10/06/2017 (A)(B) | 2,000 | 1,999 | ||||||
Suncorp-Metway | ||||||||
1.471%, 02/05/2018 (A)(B) | 2,500 | 2,487 | ||||||
1.471%, 02/13/2018 (A)(B) | 1,900 | 1,889 | ||||||
1.348%, 10/30/2017 (A)(B) | 4,000 | 3,996 | ||||||
Thunder Bay Funding | ||||||||
1.253%, 11/06/2017 (A)(B) | 5,000 | 4,993 | ||||||
Victory Receivables | ||||||||
1.070%, 10/02/2017 (A)(B) | 4,680 | 4,680 | ||||||
|
| |||||||
77,905 | ||||||||
|
| |||||||
Industrial & Other Commercial Paper — 1.7% |
| |||||||
Toyota Credit Canada | ||||||||
1.410%, 12/07/2017 | 3,500 | 3,492 | ||||||
|
| |||||||
Total Commercial Paper |
| 122,835 | ||||||
|
| |||||||
CORPORATE OBLIGATIONS — 6.2% |
| |||||||
Consumer Discretionary — 2.8% |
| |||||||
Jets Stadium Development | ||||||||
1.250%, 04/01/2047 | 4,000 | 4,000 | ||||||
Toyota Motor Credit MTN | ||||||||
1.566%, VAR ICE LIBOR | 2,000 | 2,001 | ||||||
|
| |||||||
6,001 | ||||||||
|
| |||||||
Financials — 3.4% |
| |||||||
Canadian Imperial Bank of Commerce | ||||||||
1.863%, VAR ICE LIBOR | 2,500 | 2,501 |
210 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description |
Face Amount |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Metropolitan Life Global Funding | ||||||||
1.500%, 01/10/2018 (B) | $ | 3,000 | $ | 3,000 | ||||
TD Bank | ||||||||
1.756%, VAR ICE LIBOR USD 1 | 1,700 | 1,701 | ||||||
|
| |||||||
7,202 | ||||||||
|
| |||||||
Total Corporate Obligations |
| 13,203 | ||||||
|
| |||||||
MUNICIPAL BOND — 0.5% |
| |||||||
New Jersey — 0.5% |
| |||||||
RBC Municipal Products Trust, Ser E-82, RB, | ||||||||
Callable 10/25/2017 @ 100 | ||||||||
1.230%, 12/17/2018 (B)(C)(D) | 1,000 | 1,000 | ||||||
|
| |||||||
Total Municipal Bond |
| 1,000 | ||||||
|
| |||||||
CERTIFICATES OF DEPOSIT — 33.0% |
| |||||||
Bank of Nova Scotia | ||||||||
1.711%, 11/01/2017 (B) | 2,000 | 2,001 | ||||||
1.474%, 10/17/2018 | 2,000 | 2,000 | ||||||
Bank of Tokyo-Mitsubishi UFJ NY | ||||||||
1.520%, 11/06/2017 | 3,000 | 3,001 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
1.787%, 12/01/2017 | 1,500 | 1,500 | ||||||
1.444%, 07/16/2018 | 2,500 | 2,500 | ||||||
Commonwealth Bank of Australia | ||||||||
1.664%, 02/09/2018 (B) | 1,000 | 1,001 | ||||||
1.644%, 02/15/2018 (B) | 1,500 | 1,502 | ||||||
Mitsubishi UFJ Trust & Banking | ||||||||
1.436%, 02/13/2018 | 2,000 | 2,001 | ||||||
National Australia Bank | ||||||||
1.656%, 12/06/2017 (B) | 4,000 | 4,003 | ||||||
Norinchukin Bank | ||||||||
1.500%, 10/27/2017 | 1,200 | 1,201 | ||||||
1.486%, 10/13/2017 | 1,700 | 1,700 | ||||||
1.415%, 03/09/2018 | 2,000 | 2,000 | ||||||
Oversea Chinese Banking | ||||||||
1.310%, 11/02/2017 | 2,500 | 2,500 | ||||||
Royal Bank of Canada NY | ||||||||
1.581%, 03/07/2018 | 2,000 | 2,002 | ||||||
1.477%, 04/19/2018 | 3,500 | 3,502 | ||||||
1.434%, 07/16/2018 | 1,000 | 1,000 | ||||||
Sumitomo Mitsui Banking | ||||||||
1.531%, 10/04/2017 | 1,500 | 1,500 | ||||||
1.516%, 11/20/2017 | 2,000 | 2,001 | ||||||
1.416%, 11/22/2017 | 4,000 | 4,001 |
Description |
Face Amount |
Market Value | ||||||
CERTIFICATES OF DEPOSIT (continued) |
| |||||||
Sumitomo Mitsui Trust Bank Limited | ||||||||
1.517%, 11/21/2017 | $ | 4,000 | $ | 4,001 | ||||
1.437%, 01/19/2018 | 5,000 | 5,001 | ||||||
Swedbank AB | ||||||||
1.130%, 10/04/2017 | 7,000 | 7,000 | ||||||
Toronto-Dominion Bank | ||||||||
1.467%, 09/25/2018 (B) | 1,000 | 1,000 | ||||||
Toronto-Dominion Bank MTN | ||||||||
1.576%, 03/13/2018 | 2,500 | 2,503 | ||||||
1.400%, 12/08/2017 | 2,000 | 2,000 | ||||||
Toyota Motor Credit | ||||||||
1.437%, 03/14/2018 | 2,000 | 2,001 | ||||||
1.437%, 05/22/2018 | 1,000 | 1,000 | ||||||
Westpac Banking | ||||||||
1.657%, 10/20/2017 (B) | 2,000 | 2,001 | ||||||
1.427%, 09/14/2018 (B) | 1,000 | 1,000 | ||||||
1.230%, 01/09/2018 | 1,000 | 1,001 | ||||||
|
| |||||||
Total Certificates of Deposit |
| 69,424 | ||||||
|
| |||||||
Shares | ||||||||
|
| |||||||
CASH EQUIVALENT — 0.0% |
| |||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
0.840%**† | 1,719 | 2 | ||||||
|
| |||||||
Total Cash Equivalent |
| 2 | ||||||
|
| |||||||
Face Amount (Thousands) | ||||||||
|
| |||||||
REPURCHASE AGREEMENTS — 1.9% |
| |||||||
Goldman Sachs & Co | ||||||||
1.020%, dated 9/29/2017, to be repurchased on 10/02/2017, repurchase price $2,000,170 (collateralized by various FNMA & GNMA obligations, par value $100,000 - $3,800,000, 3.500% -6.000%, 4/25/2047 - 6/15/2019; total market value $2,040,041) (E) | $ | 2,000 | 2,000 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 211 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Conservative Income Fund (Concluded)
Description |
Face Amount | Market Value ($ Thousands) | ||||||
REPURCHASE AGREEMENTS (continued) |
| |||||||
TD Securities | ||||||||
1.060%, dated 9/29/2017, to be repurchased on 10/02/2017, repurchase price $2,000,177 (collateralized by a U.S. Treasury Note, par value $2,046,000, 0.000%, 12/26/2017; total market value $2,040,803) (E) | 2,000 | $ | 2,000 | |||||
|
|
| ||||||
Total Repurchase Agreements |
| 4,000 | ||||||
|
|
| ||||||
Total Investments in Securities — 100.0% |
| $ | 210,464 | |||||
|
|
|
Percentages are based on Net Assets of $210,424 ($ Thousands). |
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase. |
(B) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2017, the value of these securities amounted to $122,121 ($ Thousands), representing 58.0% of the Net Assets of the Fund. |
(C) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2017. |
(D) | Securities are held in connection with a letter of credit issued by a major bank. |
(E) | Tri-Party Repurchase Agreement. |
Cl — Class
FNMA — Federal National Mortgage Association
GNMA —Government National Mortgage Association
ICE — Intercontinental Exchange
LIBOR — London Interbank Offered Rate
MTN — Medium Term Note
RB — Revenue Bond
Ser —Series
Var — Variable Rate
USD —United States Dollar
The following is a list of the level of inputs used as of September 30, 2017, in valuing the Fund’s investments carried at value ($ Thousands):
| ||||||||||||||||
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| ||||||||||||||||
Commercial Paper | $ | – | $ | 122,835 | $ | – | $ | 122,835 | ||||||||
Corporate Obligations | – | 13,203 | – | 13,203 | ||||||||||||
Municipal Bond | – | 1,000 | – | 1,000 | ||||||||||||
Certificates of Deposit | – | 69,424 | – | 69,424 | ||||||||||||
Cash Equivalent | 2 | – | – | 2 | ||||||||||||
Repurchase Agreements | – | 4,000 | – | 4,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2 | $ | 210,462 | $ | – | $ | 210,464 | ||||||||
|
|
|
|
|
|
|
|
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 $0.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value | Dividend Income | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | $ 51 | $ 53,428 | $ (53,477) | $ – | $ – | $ 2 | $ 1 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
212 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Free Conservative Income Fund
†Percentages are based on total investments.
Description |
Face Amount (Thousands) |
Market Value | ||||||
MUNICIPAL BONDS — 93.6% |
| |||||||
Alaska — 3.0% | ||||||||
Alaska State, Housing Finance Authority, Ser B, RB | ||||||||
Callable 10/05/2017 @ 100 | ||||||||
0.940%, 12/01/2041 (A) | $ | 5,000 | $ | 5,000 | ||||
|
|
| ||||||
California — 0.2% |
| |||||||
Palm Desert, Redevelopment Agency Successor, | ||||||||
2.000%, 10/01/2017 | 400 | 400 | ||||||
|
|
| ||||||
Connecticut — 3.1% |
| |||||||
Connecticut State, Housing Finance Authority, Mortgage Finance Program, Sub-Ser A-3, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.940%, 11/15/2045 (A) | 1,150 | 1,150 | ||||||
Connecticut State, Housing Finance Authority, Mortgage Finance Program, Sub-Ser C-3, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.940%, 11/15/2045 (A) | 1,000 | 1,000 | ||||||
Connecticut State, Ser C, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
1.050%, 05/15/2034 (A) | 2,000 | 2,000 | ||||||
Connecticut State, Ser F, GO | ||||||||
4.000%, 11/15/2017 | 1,000 | 1,004 | ||||||
|
|
| ||||||
5,154 | ||||||||
|
|
| ||||||
District of Columbia — 2.5% |
| |||||||
District of Columbia, Community Connections Real Estate Foundation Project, Ser A, RB | ||||||||
Callable 11/01/2017 @ 100 | ||||||||
0.990%, 07/01/2032 (A)(B) | 2,500 | 2,500 | ||||||
District of Columbia, Georgetown University Project, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.930%, 04/01/2041 (A)(B) | 540 | 540 | ||||||
District of Columbia, Medlantic/Helix Project, Ser A, RB | ||||||||
Callable 11/01/2017 @ 100 | ||||||||
0.930%, 08/15/2038 (A)(B) | 1,100 | 1,100 | ||||||
|
|
| ||||||
4,140 | ||||||||
|
|
|
Description |
Face Amount (Thousands) |
Market Value | ||||||
MUNICIPAL BONDS (continued) |
| |||||||
Florida — 7.8% | ||||||||
Escambia County, Health Facilities Authority, Azalea Trace Project, Ser B, RB, AGC | ||||||||
Callable 11/01/2017 @ 100 | ||||||||
1.020%, 11/15/2029 (A) | $ | 600 | $ | 600 | ||||
JEA, Electric System Revenue, Ser 2008A, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.960%, 10/01/2036 (A) | 1,150 | 1,150 | ||||||
JEA, Electric System Revenue, Sub-Ser A, RB | ||||||||
2.000%, 10/01/2017 | 500 | 500 | ||||||
Miami-Dade County, Industrial Development Authority, Dave and Mary Alper Jewish Community Center Project, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.930%, 04/01/2032 (A)(B) | 5,695 | 5,695 | ||||||
Miami-Dade, Water & Sewer Authority, Ser B, RB | ||||||||
0.873%, 11/21/2017 | 5,000 | 4,999 | ||||||
Monroe County, School District, RB | ||||||||
2.000%, 10/01/2017 | 100 | 100 | ||||||
|
|
| ||||||
13,044 | ||||||||
|
|
| ||||||
Georgia — 1.4% | ||||||||
Georgia State, Municipal Electric Authority, Project One, Sub-Ser B, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.940%, 01/01/2048 (A)(B) | 2,300 | 2,300 | ||||||
|
|
| ||||||
Illinois — 4.2% | ||||||||
Elmhurst, Industrial Development Revenue Authority, Randall Manufacturing Production Project, AMT, RB | ||||||||
1.390%, 02/01/2027 (A)(B) | 1,565 | 1,565 | ||||||
Illinois State, Finance Authority, Advocate Healthcare Network Project, Ser B, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.930%, 11/01/2038 (A) | 3,000 | 3,000 | ||||||
Saint Clair County, McKendree College Project, RB | ||||||||
Callable 11/01/2017 @ 100 | ||||||||
1.030%, 06/01/2034 (A)(B) | 1,180 | 1,180 | ||||||
Tender Option Bond Trust Receipts, Ser 2017- XG0133, RB | ||||||||
0.980%, 08/16/2018 (A)(C) | 1,300 | 1,300 | ||||||
|
|
| ||||||
7,045 | ||||||||
|
|
| ||||||
Indiana — 6.8% | ||||||||
Elkhart County, Multi-Family Housing Authority, Ashton Pines Apartments Project, Ser A, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.960%, 09/01/2043 (A)(B) | 4,100 | 4,100 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 213 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Free Conservative Income Fund (Continued)
Description |
Face Amount (Thousands) |
Market Value | ||||||
MUNICIPAL BONDS (continued) |
| |||||||
Indiana State, Finance Authority, Goodwill Industries of Central Indiana Project, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.970%, 12/01/2036 (A)(B) | $ | 800 | $ | 800 | ||||
Indiana State, Finance Authority, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.930%, 02/01/2039 (A) | 6,400 | 6,400 | ||||||
|
|
| ||||||
11,300 | ||||||||
|
|
| ||||||
Iowa — 6.8% | ||||||||
Iowa State, Finance Authority, Cedarwood Hills Project, Ser A, RB | ||||||||
Callable 11/01/2017 @ 100 | ||||||||
0.950%, 05/01/2031 (A) | 3,000 | 3,000 | ||||||
Iowa State, Finance Authority, Midwestern Disaster Area Economic Development, CJ Bio America Project, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
1.280%, 04/01/2022 (A)(B) | 4,300 | 4,300 | ||||||
Iowa State, Finance Authority, Pollution Control Facilities, MidAmerican Energy Project, RB | ||||||||
Callable 11/01/2017 @ 100 | ||||||||
0.960%, 09/01/2036 (A) | 1,500 | 1,500 | ||||||
Iowa State, Finance Authority, Pollution Control Facilities, MidAmerican Energy Project, Ser B, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.960%, 05/01/2023 (A) | 2,500 | 2,500 | ||||||
|
|
| ||||||
11,300 | ||||||||
|
|
| ||||||
Kansas — 1.4% | ||||||||
Manhattan, Industrial Development Authority, Florence Kansas Project, AMT, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.980%, 04/01/2028 (A)(B) | 2,400 | 2,400 | ||||||
|
|
| ||||||
Kentucky — 3.6% | ||||||||
Louisville & Jefferson County, Metropolitan Sewer District, RB | ||||||||
3.500%, 11/15/2017 | 6,000 | 6,017 | ||||||
|
|
| ||||||
Louisiana — 1.6% | ||||||||
Ascension Parish, Industrial Development Board, BASF Project, RB | ||||||||
Callable 11/01/2017 @ 100 | ||||||||
1.040%, 10/01/2039 (A) | 2,000 | 2,000 | ||||||
Louisiana State, Public Facilities Authority, Air Products and Chemicals Project, RB | ||||||||
0.940%, 08/01/2050 (A) | 700 | 700 | ||||||
|
|
| ||||||
2,700 | ||||||||
|
|
|
Description |
Face Amount (Thousands) |
Market Value | ||||||
MUNICIPAL BONDS (continued) |
| |||||||
Maryland — 1.2% |
| |||||||
Maryland State, Community Development Administration, Department of Housing and Community Development, Crusader Arms Apartments Project, Ser D, RB | ||||||||
Callable 11/01/2017 @ 100 | ||||||||
1.000%, 02/01/2041 (A) | $ | 1,070 | $ | 1,070 | ||||
Maryland State, Economic Development Authority, Academy of Sciences Project, RB | ||||||||
1.030%, 04/01/2033 (A)(B) | 1,000 | 1,000 | ||||||
|
|
| ||||||
2,070 | ||||||||
|
|
| ||||||
Massachusetts — 4.1% | ||||||||
Massachusetts State, Department of Transportation, Metropolitan Highway System, Commonwealth Contract Assistance, Ser A-1, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.930%, 01/01/2029 (A) | 1,300 | 1,300 | ||||||
Massachusetts State, Water Resources Authority, Sub-Ser A-3, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.930%, 08/01/2037 (A) | 1,600 | 1,600 | ||||||
Quincy, BAN, GO | ||||||||
2.000%, 01/19/2018 | 2,000 | 2,006 | ||||||
Scituate, BAN, GO | ||||||||
2.000%, 02/02/2018 | 2,000 | 2,008 | ||||||
|
|
| ||||||
6,914 | ||||||||
|
|
| ||||||
Michigan — 2.8% | ||||||||
Michigan State, Building Authority, Multi- Model Facilities Program, Ser I, RB | ||||||||
0.970%, 10/15/2043 (A)(B) | 2,000 | 2,000 | ||||||
Michigan State, Finance Authority, Higher Education Facilities, University of Detroit Mercy Project, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
1.050%, 11/01/2040 (A)(B) | 1,960 | 1,960 | ||||||
Michigan State, Strategic Fund, Kay Screen Printing Project, AMT, RB | ||||||||
1.110%, 05/01/2020 (A)(B) | 800 | 800 | ||||||
|
|
| ||||||
4,760 | ||||||||
|
|
| ||||||
Minnesota — 1.2% | ||||||||
RBC Municipal Products Trust, Ser E-89, RB | ||||||||
Callable 11/06/2017 @ 100 | ||||||||
0.970%, 07/01/2018 (A)(B)(C) | 2,000 | 2,000 | ||||||
|
|
| ||||||
Mississippi — 1.0% | ||||||||
Jackson County, Chevron USA Project, RB | ||||||||
Callable 11/01/2017 @ 100 | ||||||||
0.940%, 06/01/2023 (A) | 500 | 500 |
214 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description |
Face Amount |
Market Value | ||||||
MUNICIPAL BONDS (continued) | ||||||||
Mississippi State, Business Finance, Chevron USA Project, Ser G, RB | ||||||||
Callable 11/01/2017 @ 100 | ||||||||
0.960%, 11/01/2035 (A) | $ | 900 | $ | 900 | ||||
Mississippi State, Development Bank, Mississippi Highway Construction Project, RB | ||||||||
2.000%, 01/01/2018 | 250 | 251 | ||||||
|
| |||||||
1,651 | ||||||||
|
| |||||||
Missouri — 1.4% | ||||||||
Kansas City, Special Obligation, H Roe Bartle Project, Ser E, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.960%, 04/15/2034 (A)(B) | 2,300 | 2,300 | ||||||
|
| |||||||
New Jersey — 3.6% | ||||||||
Burlington County, Bridge Commission, Ser 2016, RB | ||||||||
2.000%, 11/16/2017 | 5,000 | 5,006 | ||||||
Passaic County, BAN, Ser A, GO | ||||||||
2.000%, 12/11/2017 | 1,000 | 1,002 | ||||||
|
| |||||||
6,008 | ||||||||
|
| |||||||
New York — 13.3% | ||||||||
Albany, Industrial Development Agency, Medical Center Hospital Project, Ser A, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.990%, 07/01/2035 (A)(B) | 5,000 | 5,000 | ||||||
New York City, Housing Development Authority, Hewitt House Apartments Project, Ser A, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.920%, 11/01/2048 (A)(B) | 2,000 | 2,000 | ||||||
New York City, Municipal Water Finance Authority, Water and Sewer System, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.980%, 06/15/2048 (A) | 200 | 200 | ||||||
New York City, Sub-Ser J-8-R, GO | ||||||||
Callable 11/06/2017 @ 100 | ||||||||
1.000%, 08/01/2021 (A)(B) | 5,000 | 5,000 | ||||||
New York State, Housing Finance Agency, 600 W. 42nd Street Project, Ser A, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.910%, 05/15/2041 (A)(B) | 4,500 | 4,500 | ||||||
Oswego County, Industrial Development Agency, O.H. Properties Project, Ser A, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
1.190%, 06/01/2024 (A)(B) | 835 | 835 | ||||||
Tender Option Bond Trust Receipts, Ser 2017- XF0550, RB | ||||||||
Callable 02/15/2027 @ 100 | ||||||||
0.990%, 02/15/2042 (A)(C) | 2,000 | 2,000 |
Description |
Face Amount |
Market Value | ||||||
MUNICIPAL BONDS (continued) | ||||||||
Triborough, Bridge & Tunnel Authority, Ser C, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.960%, 01/01/2032 (A)(B) | $ | 1,250 | $ | 1,250 | ||||
Westchester County, Industrial Development Authority, Northern West Chester Hospital Project, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.940%, 11/01/2024 (A)(B) | 1,400 | 1,400 | ||||||
|
| |||||||
22,185 | ||||||||
|
| |||||||
Ohio — 3.7% | ||||||||
Avon City, Municipal Recreation Facility, GO | ||||||||
2.000%, 09/06/2018 | 1,000 | 1,008 | ||||||
Cuyahoga County, Oakwood Village, Various Purpose, BAN, GO | ||||||||
2.125%, 09/20/2018 | 600 | 606 | ||||||
Franklin County, HealthCare Facilities Refunding and Improvement Authority, Ohio Presbyterian Retirement Services Project, RB | ||||||||
Callable 10/05/2017 @ 100 | ||||||||
0.970%, 07/01/2035 (A)(B) | 300 | 300 | ||||||
Franklin County, Hospital Revenue Authority, Nationwide Hospital Project, Ser B, RB | ||||||||
Callable 10/05/2017 @ 100 | ||||||||
0.920%, 11/01/2040 (A) | 100 | 100 | ||||||
Hamilton County, HealthCare Facilities Authority, Children’s Home Project, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.940%, 03/01/2033 (A)(B) | 1,000 | 1,000 | ||||||
Hamilton, Multi-Family Housing Authority, Affordable Housing Project, Ser B, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
1.040%, 01/01/2035 (A)(B) | 1,694 | 1,694 | ||||||
Kirtland, BAN, Various Purpose, Ser-2017, GO | ||||||||
2.000%, 06/21/2018 | 500 | 503 | ||||||
Ohio State University, Ser B-1, RB | ||||||||
Callable 11/01/2017 @ 100 | ||||||||
0.900%, 12/01/2034 (A) | 500 | 500 | ||||||
Woodmere Village, Various Purpose, BAN, GO | ||||||||
2.000%, 10/03/2018 | 495 | 499 | ||||||
|
| |||||||
6,210 | ||||||||
|
| |||||||
Oregon — 0.3% | ||||||||
Oregon State, Veterans’ Welfare Bonds, GO | ||||||||
Callable 10/11/2017 @ 100 | ||||||||
0.920%, 06/01/2040 (A) | 500 | 500 | ||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 215 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Free Conservative Income Fund (Concluded)
Description |
Face Amount |
Market Value | ||||||
MUNICIPAL BONDS (continued) | ||||||||
Pennsylvania — 1.6% | ||||||||
Montgomery County, Industrial Development Authority, Acts Retirement Life Communities, RB, AGC | ||||||||
Callable 11/01/2017 @ 100 | ||||||||
1.020%, 11/15/2029 (A) | $ | 2,000 | $ | 2,000 | ||||
Philadelphia, Gas Works Authority, Ser D, RB Callable 11/01/2017 @ 100 | ||||||||
0.940%, 08/01/2031 (A)(B) | 600 | 600 | ||||||
|
| |||||||
2,600 | ||||||||
|
| |||||||
Rhode Island — 0.6% | ||||||||
Cranston, Ser 1, BAN, GO | ||||||||
2.000%, 09/06/2018 | 1,000 | 1,008 | ||||||
|
| |||||||
Tennessee — 5.9% | ||||||||
Clarksville, Public Building Authority, Pooled Financing, RB | ||||||||
Callable 11/01/2017 @ 100 | ||||||||
1.040%, 06/01/2029 (A)(B) | 4,300 | 4,300 | ||||||
Shelby County, Health Educational & Housing Facilities Authority, Providence Place Apartments Project, RB | ||||||||
Callable 10/05/2017 @ 100 | ||||||||
0.960%, 12/15/2042 (A)(B) | 5,500 | 5,500 | ||||||
|
| |||||||
9,800 | ||||||||
|
| |||||||
Texas — 6.6% | ||||||||
Harris County, Health Facilities Development, Methodist Hospital Systems Project, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.980%, 12/01/2041 (A) | 800 | 800 | ||||||
Port of Port Arthur, Navigation District, Total Petrochemicals Project, RB | ||||||||
Callable 12/01/2017 @ 100 | ||||||||
1.000%, 03/01/2039 (A) | 5,300 | 5,300 | ||||||
Texas State, RB | ||||||||
4.000%, 08/30/2018 | 2,000 | 2,054 | ||||||
Texas State, Veterans Bonds, GO | ||||||||
Callable 11/01/2017 @ 100 | ||||||||
0.960%, 12/01/2047 (A) | 2,800 | 2,800 | ||||||
|
| |||||||
10,954 | ||||||||
|
| |||||||
Virginia — 2.4% | ||||||||
Albemarle County, Industrial Development Authority, Jefferson Scholars Foundation Project, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
1.050%, 10/01/2037 (A)(B) | 2,000 | 2,000 |
Description |
Face Amount |
Market Value | ||||||
MUNICIPAL BONDS (continued) |
| |||||||
Lexington, Industrial Development Authority, Washington & Lee University Project, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.920%, 01/01/2035 (A) | $ | 1,000 | $ | 1,000 | ||||
Loudoun County, Economic Development Authority, Loudoun County Roads and Public Facilities Project, RB | ||||||||
5.000%, 12/01/2017 | 1,000 | 1,007 | ||||||
|
| |||||||
4,007 | ||||||||
|
| |||||||
Washington — 0.2% |
| |||||||
King & Pierce County, Auburn School District No. 408, GO | ||||||||
3.000%, 12/01/2017 | 400 | 401 | ||||||
|
| |||||||
Wisconsin — 1.3% |
| |||||||
Oshkosh, Industrial Development Authority, Oshkosh Coil Spring Project, Ser A, AMT, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
1.110%, 12/01/2020 (A)(B) | 700 | 700 | ||||||
Wisconsin State, Housing & Economic Development Authority, Ser C, RB | ||||||||
Callable 10/04/2017 @ 100 | ||||||||
0.940%, 03/01/2031 (A) | 1,400 | 1,400 | ||||||
|
| |||||||
2,100 | ||||||||
|
| |||||||
Total Municipal Bonds |
| 156,268 | ||||||
|
| |||||||
TAX-EXEMPT COMMERCIAL PAPER — 6.6% |
| |||||||
Fort Bend, Independent School District | ||||||||
0.860%, 10/06/2017 | 2,000 | 2,000 | ||||||
Harris County | ||||||||
0.970%, 12/01/2017 | 3,000 | 3,000 | ||||||
Houston | ||||||||
0.950%, 10/25/2017 | 5,000 | 5,000 | ||||||
Nashville & Davidson County, Metropolitan Government | ||||||||
0.950%, 10/11/2017 | 1,000 | 1,000 | ||||||
|
| |||||||
Total Commercial Paper |
| 11,000 | ||||||
|
| |||||||
Total Investments in Securities — 100.2% |
| $ | 167,268 | |||||
|
|
Percentages are based on Net Assets of $167,001 ($ Thousands). |
(A) | Variable or floating rate security, the interest rate of which adjusts periodically based on prevailing interest rates. |
216 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
(B) | Securities are held in connection with a letter of credit issued by a major bank. |
(C) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2017, the value of these securities amounted to $5,300 ($ Thousands), representing 3.2% of the Net Assets of the Fund. |
AGC — Assured Guaranty Corporation
AMT — Alternative Minimum Tax
BAN — Bond Anticipation Note
GO — General Obligation
RB — Revenue Bond
Ser — Series
TA — Tax Allocation
As of September 30, 2017, all of the Fund’s investments were considered Level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 217 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Real Return Fund
† Percentages are based on total investments.
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 99.7% |
| |||||||
U.S. Treasury Inflation Protected Securities | ||||||||
2.125%, 01/15/2019 | $ | 9,210 | $ | 9,497 | ||||
1.875%, 07/15/2019 | 10,485 | 10,923 | ||||||
1.375%, 01/15/2020 | 12,740 | 13,197 | ||||||
1.250%, 07/15/2020 | 19,656 | 20,484 | ||||||
1.125%, 01/15/2021 | 22,491 | 23,386 | ||||||
0.625%, 07/15/2021 | 23,881 | 24,545 | ||||||
0.125%, 04/15/2019 | 32,881 | 33,003 | ||||||
0.125%, 04/15/2020 | 32,895 | 33,057 | ||||||
0.125%, 04/15/2021 | 28,601 | 28,690 | ||||||
0.125%, 01/15/2022 | 26,380 | 26,463 | ||||||
0.125%, 04/15/2022 | 18,952 | 18,951 | ||||||
0.125%, 07/15/2022 | 27,466 | 27,598 | ||||||
|
|
| ||||||
Total U.S. Treasury Obligations | 269,794 | |||||||
|
|
| ||||||
Shares | ||||||||
CASH EQUIVALENT — 0.2% |
| |||||||
SEI Daily Income Trust, Government Fund, Cl F | 570,155 | 570 | ||||||
|
|
| ||||||
Total Cash Equivalent |
| 570 | ||||||
|
|
| ||||||
Total Investments in Securities — 99.9% |
| $ | 270,364 | |||||
|
|
|
Percentages are based on Net Assets of $270,538 ($ Thousands). |
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
† | Investment in Affiliated Security (see Note 6). |
The following is a list of the level of inputs used as of September 30, 2017, in valuing the Fund’s investments carried at value ($ Thousands):
| ||||||||||||||||
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| ||||||||||||||||
U.S. Treasury Obligations | $ | – | $ | 269,794 | $ | – | $ | 269,794 | ||||||||
Cash Equivalent | 570 | – | – | 570 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities | $ | 570 | $ | 269,794 | $ | – | $ | 270,364 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 $0.
Cl — Class
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | $ 5,456 | $ 47,190 | $ (52,076) | $ – | $ – | $ 570 | $ 5 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
218 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Dynamic Asset Allocation Fund
†Percentages are based on total investments.
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.4% |
| |||||||||||
Consumer Discretionary — 11.4% |
| |||||||||||
Amazon.com, Cl A* | 1.7% | 13,736 | $ | 13,205 | ||||||||
Comcast, Cl A | 0.8 | 161,980 | 6,233 | |||||||||
Home Depot | 0.9 | 40,582 | 6,638 | |||||||||
McDonald’s | 0.5 | 27,907 | 4,372 | |||||||||
Walt Disney | 0.7 | 53,181 | 5,242 | |||||||||
Other Securities | 6.8 | 52,425 | ||||||||||
|
| |||||||||||
88,115 | ||||||||||||
|
| |||||||||||
Consumer Staples — 7.9% |
| |||||||||||
Altria Group | 0.5 | 66,169 | 4,196 | |||||||||
Coca-Cola | 0.8 | 132,182 | 5,949 | |||||||||
PepsiCo | 0.7 | 49,140 | 5,476 | |||||||||
Philip Morris International | 0.8 | 53,637 | 5,954 | |||||||||
Procter & Gamble | 1.0 | 87,609 | 7,971 | |||||||||
Wal-Mart Stores | 0.5 | 50,676 | 3,960 | |||||||||
Other Securities | 3.6 | 27,643 | ||||||||||
|
| |||||||||||
61,149 | ||||||||||||
|
| |||||||||||
Energy — 5.9% |
| |||||||||||
Chevron | 1.0 | 65,126 | 7,652 | |||||||||
ExxonMobil | 1.6 | 145,700 | 11,944 | |||||||||
Schlumberger, Cl A | 0.4 | 47,637 | 3,323 | |||||||||
Other Securities | 2.9 | 22,313 | ||||||||||
|
| |||||||||||
45,232 | ||||||||||||
|
| |||||||||||
Financials — 14.0% |
| |||||||||||
Bank of America | 1.1 | 337,645 | 8,556 | |||||||||
Berkshire Hathaway, Cl B* | 1.6 | 66,130 | 12,123 | |||||||||
Citigroup | 0.9 | 93,845 | 6,826 | |||||||||
JPMorgan Chase | 1.5 | 121,017 | 11,558 | |||||||||
Wells Fargo | 1.1 | 154,033 | 8,495 | |||||||||
Other Securities | 7.8 | 59,810 | ||||||||||
|
| |||||||||||
107,368 | ||||||||||||
|
| |||||||||||
Health Care — 13.8% |
| |||||||||||
Abbott Laboratories | 0.4 | 59,824 | 3,192 | |||||||||
AbbVie | 0.6 | 55,025 | 4,890 | |||||||||
Amgen, Cl A | 0.6 | 25,163 | 4,692 | |||||||||
Bristol-Myers Squibb | 0.5 | 56,538 | 3,604 | |||||||||
Celgene, Cl A* | 0.5 | 26,794 | 3,907 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (continued) |
| |||||||||||
Gilead Sciences | 0.5% | 44,813 | $ | 3,631 | ||||||||
Johnson & Johnson | 1.6 | 92,544 | 12,032 | |||||||||
Medtronic | 0.5 | 46,941 | 3,651 | |||||||||
Merck | 0.8 | 94,066 | 6,023 | |||||||||
Pfizer | 0.9 | 205,157 | 7,324 | |||||||||
UnitedHealth Group | 0.8 | 33,411 | 6,544 | |||||||||
Other Securities | 6.1 | 46,676 | ||||||||||
|
| |||||||||||
106,166 | ||||||||||||
|
| |||||||||||
Industrials — 10.1% |
| |||||||||||
3M | 0.6 | 20,526 | 4,308 | |||||||||
Boeing | 0.6 | 19,209 | 4,883 | |||||||||
General Electric | 0.9 | 298,093 | 7,208 | |||||||||
Honeywell International | 0.5 | 26,152 | 3,707 | |||||||||
Union Pacific | 0.4 | 27,819 | 3,226 | |||||||||
Other Securities | 7.1 | 54,455 | ||||||||||
|
| |||||||||||
77,787 | ||||||||||||
|
| |||||||||||
Information Technology — 22.4% |
| |||||||||||
Alphabet, Cl A* | 1.3 | 10,269 | 9,999 | |||||||||
Alphabet, Cl C* | 1.3 | 10,393 | 9,968 | |||||||||
Apple | 3.5 | 177,930 | 27,423 | |||||||||
Broadcom | 0.4 | 14,075 | 3,414 | |||||||||
Cisco Systems | 0.7 | 171,972 | 5,783 | |||||||||
Facebook, Cl A* | 1.8 | 81,471 | 13,921 | |||||||||
Intel | 0.8 | 161,897 | 6,165 | |||||||||
International Business Machines | 0.6 | 29,868 | 4,333 | |||||||||
Mastercard, Cl A | 0.6 | 32,182 | 4,544 | |||||||||
Microsoft | 2.6 | 265,396 | 19,769 | |||||||||
Nvidia | 0.5 | 20,748 | 3,709 | |||||||||
Oracle, Cl B | 0.6 | 104,333 | 5,045 | |||||||||
Visa, Cl A | 0.9 | 63,032 | 6,634 | |||||||||
Other Securities | 6.8 | 52,025 | ||||||||||
|
| |||||||||||
172,732 | ||||||||||||
|
| |||||||||||
Materials — 2.9% |
| |||||||||||
DowDuPont | 0.7 | 80,375 | 5,564 | |||||||||
Other Securities | 2.2 | 16,548 | ||||||||||
|
| |||||||||||
22,112 | ||||||||||||
|
| |||||||||||
Real Estate — 2.9% |
| |||||||||||
Other Securities ‡ | 2.9 | 22,084 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.1% |
| |||||||||||
AT&T | 1.1 | 211,803 | 8,296 | |||||||||
Verizon Communications | 0.9 | 140,198 | 6,938 | |||||||||
Other Securities | 0.1 | 893 | ||||||||||
|
| |||||||||||
16,127 | ||||||||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 219 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Dynamic Asset Allocation Fund (Continued)
Description |
Percentage of | Shares | Market Value ($ Thousands) | |||||||
COMMON STOCK (continued) |
| |||||||||
Utilities — 3.0% |
| |||||||||
Other Securities | 3.0% | $ | 22,998 | |||||||
|
|
| ||||||||
Total Common Stock | 741,870 | |||||||||
|
|
|
Description |
Percentage of | Shares | Market Value ($ Thousands) | |||||||
COMMON STOCK (continued) |
| |||||||||
Total Investments in Securities — 96.4% | $ | 741,870 | ||||||||
|
|
| ||||||||
PURCHASED OPTION * — 0.1% |
| |||||||||
Total Purchased Option (A) | $ | 883 | ||||||||
|
|
| ||||||||
WRITTEN OPTION * — (0.1)% |
| |||||||||
Total Written Option (A) | $ | (425 | ) | |||||||
|
|
|
A list of the exchange traded option contracts held by the Fund at September 30, 2017, is as follows:
Description | Number of Contracts | Notional Amount ($ Thousands) | Exercise Price | Expiration Date | Value ($ Thousands) | |||||||||||
PURCHASED OPTION — 0.1% | ||||||||||||||||
Put Options | ||||||||||||||||
December 2017, S&P 500 Index Option Put* | 607 | $ 1,525 | $2,370 | 12/18/17 | $ | 883 | ||||||||||
|
| |||||||||||||||
WRITTEN OPTION — (0.1)% | ||||||||||||||||
Put Options | ||||||||||||||||
December 2017, S&P 500 Index Option Put* | (607) | (781) | 2,250 | 12/18/17 | $ | (425 | ) | |||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||
CAC40 10 Euro Index | 494 | Oct-2017 | $30,425 | $31,107 | $1,097 | |||||||||||||||
DAX Index | 82 | Dec-2017 | 30,543 | 31,016 | 887 | |||||||||||||||
IBEX 35 Index | 242 | Oct-2017 | 29,704 | 29,556 | 81 | |||||||||||||||
IBEX Index | 9 | Oct-2017 | 1,098 | 1,099 | 1 | |||||||||||||||
S&P 500 Index E-MINI | (1,138) | Dec-2017 | (140,300) | (143,166) | (2,866) | |||||||||||||||
TOPIX Index | 518 | Dec-2017 | 75,163 | 77,080 | 3,851 | |||||||||||||||
|
| |||||||||||||||||||
$26,633 | $26,692 | $3,051 | ||||||||||||||||||
|
|
A list of the open forward foreign currency contracts held by the Fund at September 30, 2017, is as follows:
Counterparty | Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) (Thousands) | ||||||||||||||||||||
Bank of America | 01/09/18 | USD | 108,224 | INR | 7,163,322 | $ | 68 | |||||||||||||||||
Bank of America | 10/11/17 - 01/09/18 | USD | 115,594 | INR | 7,541,322 | (405 | ) | |||||||||||||||||
Bank of America | 10/11/17 | INR | 7,163,322 | USD | 109,264 | (211 | ) | |||||||||||||||||
Bank of America | 01/09/18 | SAR | 143,858 | USD | 38,051 | (303 | ) | |||||||||||||||||
Bank of Montreal | 10/11/17 | SGD | 570 | USD | 420 | 1 | ||||||||||||||||||
Bank of Montreal | 10/11/17 | USD | 5,562 | JPY | 621,866 | (34 | ) | |||||||||||||||||
Bank of Montreal | 01/09/18 | JPY | 614,025 | USD | 5,516 | 31 | ||||||||||||||||||
Barclays PLC | 10/11/17 | SGD | 201 | USD | 146 | (2 | ) | |||||||||||||||||
BNP Paribas | 10/11/17 | USD | 601 | JPY | 66,154 | (13 | ) | |||||||||||||||||
Citigroup | 10/11/17 | SGD | 141 | USD | 104 | — | ||||||||||||||||||
Credit Suisse First Boston | 01/09/18 | EUR | 2,798 | USD | 3,326 | (1 | ) | |||||||||||||||||
Goldman Sachs | 10/11/17 | USD | 2,507 | EUR | 2,125 | 7 |
220 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Counterparty | Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation | ||||||||||||||||||||||||
Goldman Sachs | 10/11/17 - 01/09/18 | EUR | 7,613 | USD | 8,777 | $ | (242 | ) | ||||||||||||||||||||
Goldman Sachs | 10/11/17 - 01/09/18 | JPY | 832,633 | USD | 7,455 | 35 | ||||||||||||||||||||||
HSBC | 01/09/18 | SGD | 743 | USD | 548 | — | ||||||||||||||||||||||
JPMorgan Chase Bank | 10/11/17 | USD | 1,490 | EUR | 1,252 | (9 | ) | |||||||||||||||||||||
JPMorgan Chase Bank | 10/11/17 | JPY | 266,622 | USD | 2,386 | 16 | ||||||||||||||||||||||
Morgan Stanley | 10/11/17 | USD | 18,588 | TWD | 562,651 | (30 | ) | |||||||||||||||||||||
Morgan Stanley | 10/11/17 - 01/09/18 | TWD | 583,761 | USD | 19,390 | 57 | ||||||||||||||||||||||
Morgan Stanley | 10/11/17 - 01/09/18 | TWD | 561,841 | USD | 18,468 | (65 | ) | |||||||||||||||||||||
Standard Chartered | 10/11/17 | USD | 1,796 | EUR | 1,565 | 55 | ||||||||||||||||||||||
Standard Chartered | 10/11/17 | USD | 73,765 | KRW | 83,932,360 | (450 | ) | |||||||||||||||||||||
Standard Chartered | 10/11/17 - 01/09/18 | KRW | 167,864,720 | USD | 147,436 | 673 | ||||||||||||||||||||||
Standard Chartered | 01/09/18 | KRW | 4,230,000 | USD | 3,698 | (3 | ) | |||||||||||||||||||||
TD Securities | 10/11/17 | USD | 644 | EUR | 546 | 1 | ||||||||||||||||||||||
UBS | 10/11/17 | USD | 18,697 | SGD | 25,323 | (45 | ) | |||||||||||||||||||||
UBS | 01/09/18 | SGD | 25,323 | USD | 18,712 | 35 | ||||||||||||||||||||||
UBS | 10/11/17 | SGD | 24,411 | USD | 17,663 | (318 | ) | |||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||
$ | (1,152 | ) | ||||||||||||||||||||||||||
|
|
|
A list of the open OTC swap agreements held by the Fund at September 30, 2017, is as follows:
Total Return Swaps | ||||||||||||||||||||||
Counterparty | Reference Entity/ Obligation | Fund Pays | Fund Receives | Payment Frequency | Termination Date | Notional (Thousands) | Value (Thousands) | Upfront Payments/ Receipts (Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
Morgan Stanley | Russell 1000 Growth Index | Index Return | 3M USD-LIBOR plus 25BPS | Monthly | 09/18/2018 | $74,260 | $(310) | $– | $(274) | |||||||||||||
Morgan Stanley | Russell 1000 Value Index | 3M USD-LIBOR plus 30BPS | Index Return | Monthly | 09/18/2018 | (74,260) | 733 | – | 696 | |||||||||||||
|
| |||||||||||||||||||||
$– | $422 | |||||||||||||||||||||
|
|
Percentages are based on a Net Assets of $769,622 ($ Thousands). |
* | Non-income producing security. |
‡ | Real Estate Investment Trust. |
(A) | Refer to table below for details on Options Contracts. |
BPS — Basis Point
Cl — Class
DAX — Deutscher Aktien Exchange
EUR — Euro
IBEX — Spanish Exchange
INR — Indian Rupee
JPY — Japanese Yen
KRW — Korean Won
LIBOR — London Interbank Offered Rate
S&P— Standard & Poor’s
SAR— Saudi Riyal
SGD — Singapore Dollar
TOPIX — Tokyo Stock Exchange
TWD — Taiwan Dollar
USD — United States Dollar
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 221 |
SUMMARY SCHEDULE OF INVESTMENTS
September 30, 2017
Dynamic Asset Allocation Fund (Concluded)
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the level of inputs used as of September 30, 2017, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
| ||||||||||||||||
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| ||||||||||||||||
Common Stock | $ | 741,870 | $ | – | $ | – | $ | 741,870 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities | $ | 741,870 | $ | – | $ | – | $ | 741,870 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
| ||||||||||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| ||||||||||||||||
Purchased Option | $ | 883 | $ | — | $ | — | $ | 883 | ||||||||
Written Option | (425) | — | — | (425) | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | 5,917 | — | — | 5,917 | ||||||||||||
Unrealized Depreciation | (2,866) | — | — | (2,866) | ||||||||||||
Forwards Contracts * | ||||||||||||||||
Unrealized Appreciation | — | 979 | — | 979 | ||||||||||||
Unrealized Depreciation | — | (2,131) | — | (2,131) | ||||||||||||
OTC Swaps | ||||||||||||||||
Total Return Swaps * | ||||||||||||||||
Unrealized Appreciation | — | 696 | — | 696 | ||||||||||||
Unrealized Depreciation | — | (274) | — | (274) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Other Financial Instruments | $ | 3,509 | $ | (730) | $ | — | $ | 2,779 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instruments.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
222 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Strategy Alternative Fund
![]() |
†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).
Description | Shares |
Market Value | ||||||
COMMON STOCK — 37.8% |
| |||||||
Consumer Discretionary — 11.4% |
| |||||||
Adient,(A) | 28,173 | $ | 2,366 | |||||
Amazon.com, Cl A * | 501 | 482 | ||||||
American Eagle Outfitters | 20,160 | 288 | ||||||
Bandai Namco Holdings | 10,900 | 374 | ||||||
Burlington Stores * | 4,260 | 407 | ||||||
Callaway Golf | 67,351 | 972 | ||||||
Charter Communications, Cl A * | 2,708 | 984 | ||||||
Comcast, Cl A | 8,815 | 339 | ||||||
CTS Eventim & KGaA | 1,377 | 60 | ||||||
DeNA | 111,661 | 2,502 | ||||||
Discovery Communications, Cl C * | 852 | 17 | ||||||
Dollarama | 4,100 | 448 | ||||||
Eldorado Resorts * | 57,384 | 1,472 | ||||||
Extended Stay America | 50,367 | 1,007 | ||||||
Gentex | 20,417 | 404 | ||||||
H&R Block | 19,251 | 510 | ||||||
Hennes & Mauritz, Cl B | 17,902 | 463 | ||||||
Hilton Worldwide Holdings,(A) | 35,047 | 2,434 | ||||||
Home Depot | 3,779 | 618 | ||||||
Houghton Mifflin Harcourt * | 126,651 | 1,526 | ||||||
Industria de Diseno Textil | 8,713 | 328 | ||||||
International Game Technology | 77,295 | 1,898 | ||||||
Interpublic Group | 18,491 | 384 | ||||||
John Wiley & Sons, Cl A | 2,544 | 136 | ||||||
L Brands | 19,579 | 815 | ||||||
Lands’ End * | 28,190 | 372 | ||||||
Lear | 3,312 | 573 | ||||||
Lennar, Cl B | 11,208 | 505 |
Description | Shares |
Market Value | ||||||
COMMON STOCK (continued) |
| |||||||
Liberty Media -Liberty Formula One, Cl C * | 30,708 | $ | 1,170 | |||||
Live Nation * | 12,479 | 543 | ||||||
Lowe’s | 18,934 | 1,514 | ||||||
lululemon athletica * | 8,792 | 547 | ||||||
Madison Square Garden * | 6,709 | 1,436 | ||||||
Malibu Boats, Cl A * | 17,119 | 542 | ||||||
Mediaset * | 21,701 | 75 | ||||||
Mediaset Espana Comunicacion | 42,834 | 484 | ||||||
Melco Resorts & Entertainment ADR | 76,527 | 1,846 | ||||||
Michael Kors Holdings * | 7,972 | 381 | ||||||
Newell Brands, Cl B | 28,590 | 1,220 | ||||||
Norwegian Cruise Line Holdings * | 16,920 | 915 | ||||||
Omnicom Group | 171 | 13 | ||||||
Pandora | 1,793 | 177 | ||||||
Penn National Gaming * | 74,351 | 1,739 | ||||||
Ralph Lauren, Cl A | 546 | 48 | ||||||
Ross Stores | 6,604 | 426 | ||||||
Scripps Networks Interactive, Cl A | 78,077 | 6,706 | ||||||
Sega Sammy Holdings | 27,500 | 384 | ||||||
Shaw Communications, Cl B | 17,300 | 397 | ||||||
Shimamura | 3,000 | 360 | ||||||
Sirius XM Holdings | 71,021 | 392 | ||||||
Start Today | 14,400 | 456 | ||||||
Time Warner | 88,654 | 9,083 | ||||||
TJX | 5,413 | 399 | ||||||
Toho | 10,600 | 370 | ||||||
Tribune Media, Cl A | 34,614 | 1,414 | ||||||
USS | 4,000 | 81 | ||||||
Walt Disney | 5,200 | 513 | ||||||
William Lyon Homes, Cl A(A) | 41,726 | 959 | ||||||
Williams-Sonoma | 8,192 | 408 | ||||||
World Wrestling Entertainment, Cl A | 23,349 | 550 | ||||||
WPP | 13,826 | 257 | ||||||
|
|
| ||||||
58,489 | ||||||||
|
|
| ||||||
Consumer Staples — 2.1% |
| |||||||
Conagra Brands | 3,650 | 123 | ||||||
Distribuidora Internacional de Alimentacion | 57,848 | 337 | ||||||
George Weston | 3,692 | 321 | ||||||
Hain Celestial Group * | 26,535 | 1,092 | ||||||
Japan Tobacco | 4,900 | 160 | ||||||
Jeronimo Martins SGPS | 26,653 | 526 | ||||||
Kao | 5,900 | 347 | ||||||
Kirin Holdings | 16,400 | 386 | ||||||
Lancaster Colony | 2,442 | 293 | ||||||
Lion | 27,800 | 507 | ||||||
Loblaw | 600 | 33 | ||||||
Marine Harvest | 21,871 | 433 | ||||||
Nestle | 7,034 | 590 | ||||||
Nu Skin Enterprises, Cl A | 2,369 | 146 | ||||||
PepsiCo | 1,603 | 179 | ||||||
Pola Orbis Holdings | 15,000 | 454 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 223 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Strategy Alternative Fund (Continued)
Description | Shares |
Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Saputo | 11,800 | $ | 407 | |||||
Seven & i Holdings | 4,900 | 189 | ||||||
Spectrum Brands Holdings | 2,941 | 311 | ||||||
Suntory Beverage & Food | 5,300 | 236 | ||||||
Swedish Match | 15,343 | 537 | ||||||
Tyson Foods, Cl A | 39,148 | 2,758 | ||||||
Unicharm | 15,500 | 355 | ||||||
|
|
| ||||||
|
10,720 |
| ||||||
|
|
| ||||||
Energy — 1.2% | ||||||||
Apache | 4,497 | 206 | ||||||
Chevron | 3,510 | 412 | ||||||
Devon Energy | 12,106 | 444 | ||||||
Enbridge Income Fund Holdings | 6,752 | 174 | ||||||
ExxonMobil | 6,102 | 500 | ||||||
Galp Energia SGPS | 21,158 | 375 | ||||||
Husky Energy * | 38,100 | 476 | ||||||
Imperial Oil | 12,600 | 402 | ||||||
Neste | 9,905 | 433 | ||||||
Newfield Exploration * | 13,280 | 394 | ||||||
NexGen Energy * | 177,428 | 393 | ||||||
Petrofac | 113,638 | 686 | ||||||
Royal Dutch Shell, Cl A | 4,751 | 144 | ||||||
Statoil | 3,933 | 79 | ||||||
Suncor Energy | 11,500 | 402 | ||||||
Valero Energy | 5,660 | 435 | ||||||
|
|
| ||||||
5,955 | ||||||||
|
|
| ||||||
Financials — 0.7% | ||||||||
AGNC Investment ‡ | 17,874 | 388 | ||||||
Bankia | 26,379 | 127 | ||||||
Berkshire Hathaway, Cl B * | 59 | 11 | ||||||
CF * | 15,653 | 175 | ||||||
Erste Group Bank | 9,830 | 425 | ||||||
Hang Seng Bank | 17,300 | 422 | ||||||
Hong Kong Exchanges & Clearing | 2,700 | 73 | ||||||
Japan Post Holdings | 10,400 | 123 | ||||||
Lazard, Cl A (B) | 8,358 | 378 | ||||||
Northern Trust | 4,115 | 378 | ||||||
Partners Group Holding | 533 | 362 | ||||||
Starwood Property Trust ‡ | 12,306 | 267 | ||||||
State Street | 6,400 | 611 | ||||||
|
|
| ||||||
3,740 | ||||||||
|
|
| ||||||
Health Care — 4.5% | ||||||||
Akorn * | 5,714 | 190 | ||||||
Alere * | 17,134 | 874 | ||||||
Astellas Pharma | 39,400 | 501 | ||||||
AstraZeneca ADR | 2,878 | 98 | ||||||
Bioverativ * | 6,543 | 373 | ||||||
Bruker BioSciences | 20,015 | 595 | ||||||
C.R. Bard | 22,458 | 7,198 |
Description | Shares |
Market Value | ||||||
COMMON STOCK (continued) | ||||||||
DaVita * | 6,460 | $ | 384 | |||||
Exelixis * | 19,935 | 483 | ||||||
HCA Healthcare * | 4,690 | 373 | ||||||
Hoya | 10,200 | 550 | ||||||
ICON * | 4,611 | 525 | ||||||
INC Research Holdings, Cl A * | 5,590 | 292 | ||||||
Mallinckrodt * | 10,390 | 388 | ||||||
Masimo * | 4,234 | 366 | ||||||
Mettler Toledo International * | 964 | 604 | ||||||
Molina Healthcare * | 5,469 | 376 | ||||||
Novo Nordisk, Cl B | 12,473 | 596 | ||||||
Perrigo | 4,723 | 400 | ||||||
PRA Health Sciences * | 3,863 | 294 | ||||||
Quest Diagnostics | 3,397 | 318 | ||||||
Regeneron Pharmaceuticals * | 20 | 9 | ||||||
Roche Holding | 1,442 | 368 | ||||||
Sumitomo Dainippon Pharma | 26,400 | 343 | ||||||
Taro Pharmaceutical Industries * | 4,107 | 463 | ||||||
United Therapeutics * | 4,421 | 518 | ||||||
Universal Health Services, Cl B | 2,450 | 272 | ||||||
Valeant Pharmaceuticals International * | 25,595 | 366 | ||||||
Varex Imaging * (A) | 71,649 | 2,425 | ||||||
Varian Medical Systems * | 1,704 | 171 | ||||||
Vertex Pharmaceuticals * | 3,003 | 457 | ||||||
Vifor Pharma | 4,760 | 561 | ||||||
VWR * | 27,730 | 918 | ||||||
Waters * | 1,196 | 215 | ||||||
WellCare Health Plans * | 2,031 | 349 | ||||||
|
|
| ||||||
23,213 | ||||||||
|
|
| ||||||
Industrials — 5.1% | ||||||||
3M | 1,866 | 392 | ||||||
Advisory Board * | 24,095 | 1,292 | ||||||
Aena (C) | 11,650 | 2,104 | ||||||
Briggs & Stratton | 17,942 | 422 | ||||||
Builders FirstSource *(A) | 177,224 | 3,188 | ||||||
BWX Technologies, Cl W (A) | 43,450 | 2,434 | ||||||
CAE | 17,443 | 304 | ||||||
Casella Waste Systems, Cl A * | 63,080 | 1,186 | ||||||
Central Japan Railway | 3,100 | 543 | ||||||
CK Hutchison Holdings | 27,500 | 352 | ||||||
Copart * | 4,367 | 150 | ||||||
Delta Air Lines, Cl A (A) | 45,486 | 2,193 | ||||||
Deutsche Lufthansa | 22,584 | 628 | ||||||
General Dynamics | 1,176 | 242 | ||||||
Graco | 3,368 | 417 | ||||||
Hawaiian Holdings | 6,037 | 227 | ||||||
Herc Holdings * | 10,537 | 518 | ||||||
ISS | 9,067 | 365 | ||||||
Jacobs Engineering Group | 7,067 | 412 | ||||||
Japan Airlines | 15,500 | 524 | ||||||
Jardine Strategic Holdings | 7,000 | 302 |
224 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares |
Market Value | ||||||
COMMON STOCK (continued) |
| |||||||
ManpowerGroup | 3,523 | $ | 415 | |||||
MTR | 66,000 | 385 | ||||||
Northrop Grumman | 1,451 | 417 | ||||||
Republic Services | 5,686 | 376 | ||||||
Robert Half International | 10,645 | 536 | ||||||
Rockwell Automation | 2,212 | 394 | ||||||
Rollins | 9,833 | 454 | ||||||
SGS, Cl B | 153 | 367 | ||||||
Spirit AeroSystems Holdings, Cl A | 4,727 | 367 | ||||||
Team * | 22,676 | 303 | ||||||
United Continental Holdings *(A) | 33,109 | 2,016 | ||||||
Vestas Wind Systems | 6,338 | 569 | ||||||
Waste Management | 4,900 | 383 | ||||||
WSP Global | 8,900 | 369 | ||||||
WW Grainger | 2,163 | 389 | ||||||
|
|
| ||||||
25,935 | ||||||||
|
|
| ||||||
Information Technology — 6.6% |
| |||||||
Activision Blizzard | 11,569 | 746 | ||||||
Angie’s List * | 16,258 | 202 | ||||||
Ansys * | 3,034 | 372 | ||||||
Blackhawk Network Holdings, Cl A * | 52,081 | 2,281 | ||||||
Cadence Design Systems * | 10,992 | 434 | ||||||
Cars.com *(A) | 67,138 | 1,786 | ||||||
Check Point Software Technologies * | 3,456 | 394 | ||||||
Cision * | 36,419 | 474 | ||||||
Citrix Systems * | 4,483 | 344 | ||||||
CommerceHub * | 41,078 | 927 | ||||||
Constellation Software | 1,100 | 599 | ||||||
Etsy * | 95,322 | 1,609 | ||||||
Facebook, Cl A * | 3,410 | 583 | ||||||
Fortinet * | 4,805 | 172 | ||||||
Fujitsu | 5,000 | 37 | ||||||
Immersion * | 23,210 | 190 | ||||||
Imperva * | 15,144 | 657 | ||||||
Instructure * | 28,948 | 960 | ||||||
Internap * | 136,246 | 593 | ||||||
Intuit | 3,033 | 431 | ||||||
Jack Henry & Associates | 3,766 | 387 | ||||||
Kakaku.com | 29,600 | 377 | ||||||
Logitech International | 15,309 | 559 | ||||||
Manhattan Associates * | 7,769 | 323 | ||||||
Mastercard, Cl A | 3,198 | 451 | ||||||
Match Group * | 51,449 | 1,193 | ||||||
MAXIMUS | 3,204 | 207 | ||||||
MercadoLibre | 1,492 | 386 | ||||||
Methanex | 6,500 | 326 | ||||||
Mixi | 9,700 | 468 | ||||||
MobileIron * | 80,372 | 297 | ||||||
MoneyGram International * | 5,580 | 90 | ||||||
NCR * | 35,118 | 1,318 | ||||||
Nintendo ADR | 44,921 | 2,064 |
Description | Shares |
Market Value | ||||||
COMMON STOCK (continued) |
| |||||||
Nomura Research Institute | 6,300 | $ | 246 | |||||
NXP Semiconductors * | 61,649 | 6,972 | ||||||
Otsuka | 3,000 | 192 | ||||||
Red Hat * | 4,344 | 482 | ||||||
Rightmove | 4,139 | 225 | ||||||
SCREEN Holdings | 400 | 28 | ||||||
Seagate Technology | 12,202 | 405 | ||||||
Skyworks Solutions | 5,501 | 560 | ||||||
Square Enix Holdings | 4,300 | 162 | ||||||
Teradata * | 18,072 | 611 | ||||||
Trivago ADR * | 4,626 | 50 | ||||||
VMware, Cl A * | 5,438 | 594 | ||||||
VTech Holdings | 20,700 | 302 | ||||||
Zynga, Cl A * | 210,323 | 795 | ||||||
|
|
| ||||||
33,861 | ||||||||
|
|
| ||||||
Materials — 2.2% |
| |||||||
Albemarle | 396 | 54 | ||||||
Allegheny Technologies | 102,843 | 2,458 | ||||||
AptarGroup | 4,320 | 373 | ||||||
Bemis | 7,556 | 344 | ||||||
Boliden | 10,494 | 354 | ||||||
Chemours | 9,291 | 470 | ||||||
Commercial Metals, Cl A | 9,385 | 179 | ||||||
Constellium, Cl A * | 66,634 | 683 | ||||||
Forterra * | 6,711 | 30 | ||||||
Fortescue Metals Group | 70,082 | 283 | ||||||
Freeport-McMoRan, Cl B * | 25,146 | 353 | ||||||
Huntsman | 23,834 | 654 | ||||||
Ingevity *(A) | 38,687 | 2,417 | ||||||
Louisiana-Pacific * | 20,100 | 544 | ||||||
Olympic Steel | 55,327 | 1,217 | ||||||
Teck Resources, Cl B | 17,100 | 359 | ||||||
West Fraser Timber, Cl O | 1,100 | 63 | ||||||
Worthington Industries | 7,837 | 361 | ||||||
|
|
| ||||||
11,196 | ||||||||
|
|
| ||||||
Real Estate — 1.0% |
| |||||||
Gaming and Leisure Properties ‡ | 36,555 | 1,348 | ||||||
New York | 153,919 | 1,208 | ||||||
RLJ Lodging Trust ‡ | 66,316 | 1,459 | ||||||
STORE Capital | 52,901 | 1,316 | ||||||
|
|
| ||||||
5,331 | ||||||||
|
|
| ||||||
Telecommunication Services — 1.8% |
| |||||||
AT&T | 4,466 | 175 | ||||||
BCE | 8,202 | 384 | ||||||
Frontier Communications | 20,004 | 236 | ||||||
General Communication, Cl A * | 4,417 | 180 | ||||||
Level 3 Communications * | 13,046 | 695 | ||||||
Millicom International Cellular | 1,498 | 99 | ||||||
NII Holdings * | 198,824 | 92 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 225 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Strategy Alternative Fund (Continued)
Description | Shares |
Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Nippon Telegraph & Telephone | 11,500 | $ | 527 | |||||
NTT DOCOMO | 21,100 | 482 | ||||||
PCCW | 574,000 | 311 | ||||||
Rogers Communications, Cl B | 7,700 | 396 | ||||||
Spark New Zealand | 105,507 | 278 | ||||||
Straight Path Communications * | 4,117 | 744 | ||||||
Swisscom | 808 | 414 | ||||||
Telenor | 22,045 | 466 | ||||||
Telia | 44,632 | 210 | ||||||
T-Mobile US * | 15,086 | 930 | ||||||
Zayo Group Holdings * | 71,389 | 2,457 | ||||||
|
| |||||||
9,076 | ||||||||
|
| |||||||
Utilities — 1.2% | ||||||||
AGL Energy | 797 | 15 | ||||||
AusNet Services | 130,844 | 174 | ||||||
Calpine * | 127,756 | 1,884 | ||||||
Canadian Utilities, Cl A | 12,700 | 394 | ||||||
Centerpoint Energy | 12,944 | 378 | ||||||
Centrica | 136,105 | 341 | ||||||
CLP Holdings, Cl B | 56,000 | 574 | ||||||
Dominion Energy | 4,676 | 360 | ||||||
EDP - Energias de Portugal | 31,842 | 120 | ||||||
Endesa | 14,920 | 336 | ||||||
Hong Kong & China Gas | 203,500 | 382 | ||||||
MDU Resources Group | 14,156 | 367 | ||||||
National Grid | 11,641 | 144 | ||||||
Power Assets Holdings | 40,500 | 351 | ||||||
SSE | 19,138 | 359 | ||||||
|
| |||||||
6,179 | ||||||||
|
| |||||||
Total Common Stock (Cost $177,266) ($ Thousands) | 193,695 | |||||||
|
| |||||||
REGISTERED INVESTMENT COMPANIES — 31.7% |
| |||||||
AQR Managed Futures Strategy HV, Cl I | 1,581,822 | 13,493 | ||||||
ASG Managed Futures Strategy Fund , Cl Y | 1,688,825 | 16,821 | ||||||
Blackrock Global Long/Short Credit Fund, Cl I | 4,721,717 | 49,153 | ||||||
Merger Fund , Cl I | 3,055,379 | 48,825 | ||||||
SEI Institutional Managed Trust Long/Short | ||||||||
Alternative Fund , Cl Y † | 3,142,922 | 34,352 | ||||||
|
| |||||||
Total Registered Investment Companies (Cost $166,426) ($ Thousands) | 162,644 | |||||||
|
| |||||||
Face Amount (Thousands) | ||||||||
CORPORATE OBLIGATIONS — 5.2% | ||||||||
Consumer Discretionary — 0.8% | ||||||||
Altice Financing | ||||||||
7.500%, 05/15/2026 (C) | $ | 425 | 468 |
Description |
Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Bon-Ton Department Stores | ||||||||
8.000%, 06/15/2021 | $ | 315 | $ | 113 | ||||
CCO Holdings | ||||||||
5.125%, 05/01/2027 (C) | 155 | 157 | ||||||
Cengage Learning | ||||||||
9.500%, 06/15/2024 (C) | 185 | 161 | ||||||
CSC Holdings | ||||||||
10.875%, 10/15/2025 (C) | 105 | 130 | ||||||
10.125%, 01/15/2023 (C) | 25 | 29 | ||||||
Cumulus Media Holdings | ||||||||
7.750%, 05/01/2019 | 115 | 33 | ||||||
Diamond Resorts International | ||||||||
10.750%, 09/01/2024 (C) | 150 | 160 | ||||||
DISH DBS | ||||||||
5.875%, 11/15/2024 | 150 | 157 | ||||||
Guitar Center | ||||||||
9.625%, 04/15/2020 (C) | 575 | 357 | ||||||
Hilton Domestic Operating | ||||||||
4.250%, 09/01/2024 | 105 | 107 | ||||||
iHeartCommunications | ||||||||
14.000% cash/0% PIK, 02/01/2021 | 748 | 101 | ||||||
9.000%, 12/15/2019 | 100 | 75 | ||||||
9.000%, 03/01/2021 | 115 | 82 | ||||||
Inn of the Mountain Gods Resort & Casino | ||||||||
9.250%, 11/30/2020 (C) (D) | 220 | 198 | ||||||
Jacobs Entertainment | ||||||||
7.875%, 02/01/2024 (C) | 95 | 102 | ||||||
KFC Holding | ||||||||
5.250%, 06/01/2026 (C) | 150 | 159 | ||||||
McClatchy | ||||||||
9.000%, 12/15/2022 | 150 | 155 | ||||||
Monitronics International | ||||||||
9.125%, 04/01/2020 | 405 | 360 | ||||||
Penn National Gaming | ||||||||
5.625%, 01/15/2027 (C) | 165 | 171 | ||||||
Scientific Games International | ||||||||
7.000%, 01/01/2022 (C) | 225 | 239 | ||||||
SFR Group | ||||||||
7.375%, 05/01/2026 (C) | 175 | 189 | ||||||
Sugarhouse HSP Gaming Prop Mezz | ||||||||
5.875%, 05/15/2025 (C) | 160 | 157 | ||||||
Urban One | ||||||||
9.250%, 02/15/2020 (C) | 315 | 298 | ||||||
7.375%, 04/15/2022 (C) | 30 | 30 | ||||||
|
| |||||||
4,188 | ||||||||
|
| |||||||
Consumer Staples — 0.1% | ||||||||
New Albertson’s | ||||||||
8.000%, 05/01/2031 | 30 | 24 | ||||||
7.450%, 08/01/2029 | 385 | 298 |
226 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Rite Aid | ||||||||
7.700%, 02/15/2027 | $ | 165 | $ | 146 | ||||
|
| |||||||
468 | ||||||||
|
| |||||||
Energy — 1.8% |
| |||||||
California Resources | ||||||||
8.000%, 12/15/2022 (C) | 170 | 111 | ||||||
Crestwood Midstream Partners | ||||||||
5.750%, 04/01/2025 | 245 | 250 | ||||||
Ensco | ||||||||
5.750%, 10/01/2044 | 165 | 119 | ||||||
EP PetroEcuador via Noble Sovereign | ||||||||
Funding I | ||||||||
6.961%, VAR ICE LIBOR USD 3 | ||||||||
Month+5.630%, 09/24/2019 | 213 | 214 | ||||||
Jupiter Resources | ||||||||
8.500%, 10/01/2022 (C) | 205 | 147 | ||||||
KCA Deutag UK Finance | ||||||||
9.875%, 04/01/2022 (C) | 100 | 104 | ||||||
MEG Energy | ||||||||
6.500%, 01/15/2025 (C) | 115 | 112 | ||||||
Noble Holding International | ||||||||
8.700%, 04/01/2045 | 85 | 70 | ||||||
7.750%, 01/15/2024 | 75 | 67 | ||||||
Parker Drilling | ||||||||
6.750%, 07/15/2022 | 200 | 160 | ||||||
Petrobras Global Finance BV | ||||||||
8.375%, 05/23/2021 | 1,325 | 1,533 | ||||||
6.250%, 03/17/2024 | 627 | 670 | ||||||
6.125%, 01/17/2022 | 1,286 | 1,382 | ||||||
Petrobras International Finance | ||||||||
5.375%, 01/27/2021 | 368 | 388 | ||||||
Petroleos Mexicanos | ||||||||
6.375%, 02/04/2021 | 549 | 601 | ||||||
5.375%, 03/13/2022 | 395 | 422 | ||||||
4.967%, VAR ICE LIBOR USD 3 | ||||||||
Month+3.650%, 03/11/2022 | 278 | 303 | ||||||
4.250%, 01/15/2025 | 330 | 328 | ||||||
Petroleos Mexicanos MTN | ||||||||
6.875%, 08/04/2026 | 196 | 223 | ||||||
3.750%, 02/21/2024 | EUR | 196 | 246 | |||||
1.875%, 04/21/2022 | 456 | 547 | ||||||
Rowan | ||||||||
5.850%, 01/15/2044 | $ | 350 | 278 | |||||
5.400%, 12/01/2042 | 55 | 42 | ||||||
Transocean | ||||||||
6.800%, 03/15/2038 | 290 | 236 | ||||||
5.800%, 10/15/2022 | 135 | 133 | ||||||
Ultra Resources | ||||||||
6.875%, 04/15/2022 (C) | 60 | 61 | ||||||
Weatherford International | ||||||||
9.875%, 02/15/2024 (C) | 45 | 49 |
Description |
Face Amount | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
5.950%, 04/15/2042 | $ | 130 | $ | 107 | ||||
|
| |||||||
8,903 | ||||||||
|
| |||||||
Financials — 0.9% |
| |||||||
Africa Finance | ||||||||
3.875%, 04/13/2024 | 622 | 627 | ||||||
BCD Acquisition | ||||||||
9.625%, 09/15/2023 (C) | 140 | 154 | ||||||
Citigroup Global Markets Holdings | ||||||||
17.762%, 03/13/2018 | 11,903 | 624 | ||||||
Citigroup Global Markets Holdings MTN (E) | ||||||||
20.503%, 12/21/2017 | EGP | 12,412 | 676 | |||||
18.546%, 10/12/2017 | 10,304 | 581 | ||||||
17.489%, 10/26/2017 | 11,418 | 639 | ||||||
17.592%, 03/01/2018 | 7,475 | 394 | ||||||
CNG Holdings | ||||||||
9.375%, 05/15/2020 (C) | $ | 100 | 87 | |||||
JPMorgan Chase | ||||||||
5.150%, VAR ICE LIBOR USD 3 | ||||||||
Month+3.250%, 04/05/2023 | 150 | 156 | ||||||
Navient | ||||||||
7.250%, 09/25/2023 | 100 | 108 | ||||||
6.625%, 07/26/2021 | 10 | 11 | ||||||
6.500%, 06/15/2022 | 35 | 37 | ||||||
Springleaf Finance | ||||||||
7.750%, 10/01/2021 | 215 | 243 | ||||||
|
| |||||||
4,337 | ||||||||
|
| |||||||
Health Care — 0.3% | ||||||||
Aurora Diagnostics Holdings | ||||||||
12.250%, 01/15/2020 | 350 | 324 | ||||||
Centene | ||||||||
4.750%, 01/15/2025 | 150 | 156 | ||||||
Envision Healthcare | ||||||||
6.250%, 12/01/2024 (C) | 130 | 139 | ||||||
Kindred Healthcare | ||||||||
6.375%, 04/15/2022 | 250 | 226 | ||||||
Ortho-Clinical Diagnostics | ||||||||
6.625%, 05/15/2022 (C) | 60 | 59 | ||||||
Tenet Healthcare | ||||||||
8.125%, 04/01/2022 | 145 | 147 | ||||||
Valeant Pharmaceuticals International | ||||||||
7.500%, 07/15/2021 (C) | 470 | 469 | ||||||
7.000%, 03/15/2024 (C) | 30 | 32 | ||||||
6.750%, 08/15/2021 (C) | 20 | 20 | ||||||
5.875%, 05/15/2023 (C) | 25 | 22 | ||||||
|
| |||||||
1,594 | ||||||||
|
| |||||||
Industrials — 0.4% | ||||||||
AMN Healthcare | ||||||||
5.125%, 10/01/2024 (C) | 150 | 155 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 227 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Strategy Alternative Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Builders FirstSource | ||||||||
5.625%, 09/01/2024 (C) | $ | 150 | $ | 159 | ||||
Cenveo | ||||||||
8.500%, 09/15/2022 (C) | 505 | 227 | ||||||
6.000%, 08/01/2019 (C) | 100 | 80 | ||||||
Global A&T Electronics | ||||||||
10.000%, 02/01/2019 (C)(G) | 450 | 378 | ||||||
Prime Security Services Borrower | ||||||||
9.250%, 05/15/2023 (C) | 175 | 193 | ||||||
RR Donnelley & Sons | ||||||||
6.000%, 04/01/2024 | 450 | 420 | ||||||
Standard Industries | ||||||||
6.000%, 10/15/2025 (C) | 65 | 71 | ||||||
Xerium Technologies | ||||||||
9.500%, 08/15/2021 | 280 | 290 | ||||||
|
|
| ||||||
1,973 | ||||||||
|
|
| ||||||
Information Technology — 0.3% |
| |||||||
Boxer Parent | ||||||||
9.000% cash/0% PIK, 10/15/2019 (C) | 250 | 250 | ||||||
Dell International | ||||||||
8.100%, 07/15/2036 (C) | 150 | 188 | ||||||
7.125%, 06/15/2024 (C) | 275 | 304 | ||||||
Rackspace Hosting | ||||||||
8.625%, 11/15/2024 (C) | 290 | 309 | ||||||
Symantec | ||||||||
5.000%, 04/15/2025 (C) | 200 | 209 | ||||||
Unisys | ||||||||
10.750%, 04/15/2022 (C) | 155 | 172 | ||||||
United Group BV | ||||||||
4.375%, VAR Euribor 3 Month+4.375%, 07/01/2023 (C) | EUR | 100 | 119 | |||||
|
|
| ||||||
1,551 | ||||||||
|
|
| ||||||
Materials — 0.3% |
| |||||||
Allegheny Technologies | ||||||||
9.375%, 06/01/2019 | $ | 175 | 191 | |||||
Alpha 3 BV | ||||||||
6.250%, 02/01/2025 (C) | 100 | 102 | ||||||
Big River Steel | ||||||||
7.250%, 09/01/2025 (C) | 95 | 101 | ||||||
First Quantum Minerals | ||||||||
7.500%, 04/01/2025 (C) | 75 | 77 | ||||||
7.250%, 04/01/2023 (C) | 35 | 36 | ||||||
7.000%, 02/15/2021 (C) | 175 | 180 | ||||||
Freeport-McMoRan | ||||||||
5.450%, 03/15/2043 | 265 | 248 | ||||||
Hexion | ||||||||
6.625%, 04/15/2020 | 225 | 201 | ||||||
Rain CII Carbon | ||||||||
7.250%, 04/01/2025 (C) | 310 | 327 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
TPC Group | ||||||||
8.750%, 12/15/2020 (C) | $ | 260 | $ | 252 | ||||
|
|
| ||||||
1,715 | ||||||||
|
|
| ||||||
Real Estate — 0.0% | ||||||||
Sabra Health Care | ||||||||
5.125%, 08/15/2026 | 150 | 154 | ||||||
|
|
| ||||||
Telecommunication Services — 0.3% |
| |||||||
C&W Senior Financing Designated Activity | ||||||||
6.875%, 09/15/2027 (C) | 110 | 114 | ||||||
CenturyLink | ||||||||
6.750%, 12/01/2023 | 35 | 36 | ||||||
5.625%, 04/01/2025 | 280 | 268 | ||||||
Digicel | ||||||||
6.000%, 04/15/2021 (C) | 215 | 210 | ||||||
Digicel Group | ||||||||
7.125%, 04/01/2022 (C) | 200 | 181 | ||||||
Embarq | ||||||||
7.995%, 06/01/2036 | 150 | 152 | ||||||
GTH Finance BV | ||||||||
6.250%, 04/26/2020 | 200 | 212 | ||||||
Intelsat Jackson Holdings | ||||||||
7.250%, 10/15/2020 | 165 | 159 | ||||||
Sprint | ||||||||
7.875%, 09/15/2023 | 135 | 157 | ||||||
T-Mobile USA | ||||||||
6.375%, 03/01/2025 | 95 | 102 | ||||||
|
|
| ||||||
1,591 | ||||||||
|
|
| ||||||
Utilities — 0.0% |
| |||||||
NRG Energy | ||||||||
7.250%, 05/15/2026 | 155 | 166 | ||||||
|
|
| ||||||
Total Corporate Obligations |
| 26,640 | ||||||
|
|
| ||||||
SOVEREIGN DEBT — 3.9% |
| |||||||
Argentina Bonar Bonds | ||||||||
23.025%, VAR 30-35d Argentina | ||||||||
BADLAR Private Banks+3.000%, | ||||||||
10/09/2017 | ARS | 20,405 | 1,237 | |||||
Argentina POM Politica Monetaria |
| |||||||
26.250%, VAR Argentina Central | ||||||||
Bank 7D Repo Ref Rate+0.000%, | ||||||||
06/21/2020 | 10,125 | 621 | ||||||
Argentine Bonos del Tesoro | ||||||||
21.200%, 09/19/2018 | 8,726 | 499 |
228 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) |
Market Value | ||||||
SOVEREIGN DEBT (continued) |
| |||||||
Argentine Republic Government International Bond | ||||||||
7.820%, 12/31/2033 | EUR | 407 | $ | 537 | ||||
7.820%, 12/31/2033 | 1,409 | 1,840 | ||||||
5.625%, 01/26/2022 | $ | 501 | 526 | |||||
3.875%, 01/15/2022 | EUR | 776 | 935 | |||||
3.380%, 03/31/2019 (D) | 228 | 181 | ||||||
3.380%, 03/31/2019 (D) | 1,426 | 1,146 | ||||||
Eastern and Southern African Trade and Development Bank MTN | ||||||||
5.375%, 03/14/2022 | $ | 665 | 684 | |||||
Ecuador Government International Bond | ||||||||
10.750%, 03/28/2022 | 263 | 294 | ||||||
Egypt Government International Bond MTN | ||||||||
6.125%, 01/31/2022 | 866 | 896 | ||||||
Egypt Treasury Bills | ||||||||
373.444%, 01/23/2018 (E) | EGP | 44,104 | 2,366 | |||||
Hellenic Republic Government Bond | ||||||||
4.750%, 04/17/2019 (C) | EUR | 889 | 1,076 | |||||
Honduras Government International Bond | ||||||||
8.750%, 12/16/2020 | $ | 200 | 228 | |||||
Iraq International Bond | ||||||||
6.752%, 03/09/2023 | 200 | 199 | ||||||
Mexican Bonos | ||||||||
6.500%, 06/10/2021 | MXN | 31,080 | 1,701 | |||||
6.500%, 06/09/2022 | 21,370 | 1,166 | ||||||
Paraguay Government International Bond | ||||||||
4.625%, 01/25/2023 | $ | 733 | 772 | |||||
Republic of South Africa Government Bond | ||||||||
10.500%, 12/21/2026 | ZAR | 15,600 | 1,296 | |||||
7.000%, 02/28/2031 | 4,712 | 291 | ||||||
Russian Federal Bond - OFZ | ||||||||
7.400%, 12/07/2022 | RUB | 55,188 | 956 | |||||
Second Pakistan International Sukuk | ||||||||
6.750%, 12/03/2019 | $ | 321 | 336 | |||||
Ukraine Government International Bond | ||||||||
7.750%, 09/01/2021 | 333 | 353 | ||||||
|
| |||||||
Total Sovereign Debt |
| 20,136 | ||||||
|
| |||||||
LOAN PARTICIPATIONS — 2.1% |
| |||||||
84 Lumber Company, Initial Term Loan, |
| |||||||
6.984%, 10/25/2023 | 145 | 147 | ||||||
Acosta, (fka Acosta Holdco), Tranche B-1 |
| |||||||
4.489%, 09/26/2021 | 183 | 162 | ||||||
Advantage Sales, 1st Lien Term Loan | ||||||||
4.546%, 07/23/2021 | 71 | 67 |
Description | Face Amount (Thousands) |
Market Value | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Advantage Solutions, Term Loan B, 1st Lien | ||||||||
4.561%, 07/23/2021 | $ | 96 | $ | 90 | ||||
AgroFresh, Term Loan, 1st Lien | ||||||||
6.050%, 07/31/2021 (F) | 147 | 146 | ||||||
Air Medical Group Holdings, Initial Term Loan, 1st Lien | ||||||||
4.485%, VAR LIBOR+3.250%, 04/28/2022 | 146 | 145 | ||||||
Albaugh, LLC, Initial Term Loan | ||||||||
6.235%, 05/31/2021 | 142 | 143 | ||||||
Alliance HealthCare Services, Initial Term Loan, 1st Lien | ||||||||
4.570%, 06/03/2019 | 21 | 21 | ||||||
4.567%, 06/03/2019 | 26 | 26 | ||||||
4.561%, 06/03/2019 | 55 | 55 | ||||||
4.554%, 06/03/2019 | 44 | 44 | ||||||
Aricent Technologies (Aricent US), Initial Term Loan, 1st Lien | ||||||||
5.737%, 04/14/2021 | 302 | 301 | ||||||
Aruba Investments, USD Term B-1 Loan, 2nd Lien | ||||||||
4.796%, 02/02/2022 (F) | 218 | 219 | ||||||
BioClinica Holding I, LP, Initial Term Loan, 1st Lien | ||||||||
5.563%, 10/20/2023 | 63 | 62 | ||||||
5.500%, 10/20/2023 | 27 | 26 | ||||||
BMC Foreign Holding, Cov-Lite, Term Loan B1, 1st Lien | ||||||||
5.235%, VAR LIBOR+4.000%, 09/10/2022 | 61 | 61 | ||||||
Brickman Group, Initial Term Loan, 1st Lien | ||||||||
4.234%, 12/18/2020 | 76 | 77 | ||||||
4.228%, 12/18/2020 | 94 | 94 | ||||||
Calceus Acquisition, Cov-Lite, Term Loan B1, 1st Lien | ||||||||
5.240%, VAR LIBOR+4.000%, 01/31/2020 | 198 | 183 | ||||||
Carestream Health Cov-Lite, Initial Term Loan, 2nd Lien | ||||||||
9.796%, VAR LIBOR+8.500%, 12/07/2019 | 355 | 347 | ||||||
Carestream Health, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
5.239%, VAR LIBOR+4.000%, 06/07/2019 | 42 | 42 | ||||||
Cengage Learning, 2016 Refinancing Term Loan, 2nd Lien | ||||||||
5.485%, 06/07/2023 | 244 | 224 | ||||||
CenturyLink, Initial Term B Loan | ||||||||
2.750%, VAR Ticking Fee+2.750%, 01/31/2025 | 131 | 127 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 229 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Strategy Alternative Fund (Continued)
Description | Face Amount (Thousands) |
Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Change Healthcare Holdings, (fka Emdeon), Closing Date Term Loan, 1st Lien | ||||||||
3.985%, 03/01/2024 | $ | 66 | $ | 66 | ||||
3.985%, 02/03/2024 | 85 | 86 | ||||||
Checkers Drive-In, Term Loan, 1st Lien | ||||||||
5.490%, 04/17/2024 | 120 | 120 | ||||||
CHS/Community Health Systems, Incremental 2021 Term H Loan, 1st Lien | ||||||||
4.317%, 01/27/2021 (H) | 128 | 127 | ||||||
Communications Sales & Leasing, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
4.235%, VAR LIBOR+3.000%, | 227 | 210 | ||||||
CompuCom Systems, Term Loan, 1st Lien | ||||||||
4.485%, VAR LIBOR+3.250%, 05/09/2020 | 335 | 291 | ||||||
Coral-U.S. Co-Borrower, Cov-Lite, Term Loan B3, 1st Lien | ||||||||
4.735%, VAR LIBOR+3.500%, | 58 | 57 | ||||||
Cumulus Media Holdings, Term Loan B, 1st Lien | ||||||||
4.490%, VAR LIBOR+3.250%, 12/23/2020 | 363 | 302 | ||||||
Digicel International Finance Limited, Initial Term B Loan, 1st Lien | ||||||||
5.070%, VAR LIBOR+3.750%, | 75 | 75 | ||||||
Diversey, Term Loan, 1st Lien | ||||||||
4.316%, 07/25/2024 (H) | 340 | 339 | ||||||
Doncaster PLC, Term Loan | ||||||||
4.796%, 04/09/2020 | 110 | 106 | ||||||
DTZ U.S. Borrower, LLC (DTZ AUS Holdco PTY Limited), 2015-1 Additional Term Loan | ||||||||
4.567%, 11/04/2021 | 98 | 99 | ||||||
4.561%, 11/04/2021 | 44 | 44 | ||||||
4.546%, 11/04/2021 | 6 | 6 | ||||||
Expera, Term Loan B, 1st Lien | ||||||||
0.000%, 11/03/2023 (H) | 68 | 68 | ||||||
Expera, Term Loan, 1st Lien | ||||||||
5.989%, 11/03/2023 | 145 | 145 | ||||||
Fort Dearborn Holding, Initial Term Loan, 1st Lien | ||||||||
5.299%, VAR LIBOR+4.000%, | 61 | 61 | ||||||
Forterra Finance, Cov-Lite, Term Loan, 1st Lien | ||||||||
4.239%, VAR LIBOR+3.000%, | 126 | 106 | ||||||
Gates Global LLC, Initial B-1 Dollar Term Loan, 1st Lien | ||||||||
4.583%, VAR LIBOR+3.250%, | 118 | 119 |
Description |
Face Amount |
Market Value | ||||||
| ||||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Go Daddy Operating Company, LLC (GD Finance Co), Initial Term Loan | ||||||||
3.735%, VAR LIBOR+2.500%, 02/15/2024 | $ | 100 | $ | 100 | ||||
Harrah’s, Cov-Lite, Term Loan, 1st Lien | ||||||||
0.000%, 10/07/2024 (H) | 103 | 103 | ||||||
Hoffmaster Group, Initial Term Loan, 1st Lien | ||||||||
5.833%, VAR LIBOR+4.500%, 11/21/2023 | 199 | 200 | ||||||
Horseshoe Baltimore, Cov-Lite, Term Loan B, 1st Lien | ||||||||
5.239%, 06/28/2024 | 215 | 216 | ||||||
KCA Deutag US Finance, Term Loan B, 1st Lien | ||||||||
7.065%, VAR LIBOR+5.750%, 05/15/2020 | 63 | 61 | ||||||
Lantheus Medical Imaging, Initial Term Loan, 1st Lien | ||||||||
5.739%, 06/30/2022 | 90 | 90 | ||||||
Leap Legal Software, Term Loan B, 1st Lien | ||||||||
0.000%, 09/12/2022 (F)(H) | 300 | 235 | ||||||
Libbey Glass, 1st Lien | ||||||||
4.235%, 04/09/2021 | 33 | 31 | ||||||
Lumiileds, Cov-Lite, Term Loan, 1st Lien | ||||||||
5.833%, 06/30/2034 | 158 | 159 | ||||||
Mashantucket Pequot, Term Loan A, 1st Lien | ||||||||
5.239%, VAR LIBOR+4.000%, 07/01/2018 | 126 | 118 | ||||||
Mashantucket Pequot, Term Loan B, 1st Lien | ||||||||
9.375%, VAR LIBOR+8.125%, 06/30/2020 | 518 | 475 | ||||||
McGraw-Hill Global Education Holdings, LLC, Term B Loan, 1st Lien | ||||||||
5.235%, VAR LIBOR+4.000%, 05/04/2022 | 154 | 151 | ||||||
Misys Ltd., Cov-Lite, Term Loan B, 1st Lien | ||||||||
4.817%, VAR LIBOR+3.500%, 06/13/2024 | 136 | 136 | ||||||
Mohegan Tribal Gaming Authority, Term Loan B, 1st Lien | ||||||||
5.226%, VAR LIBOR+4.000%, 10/13/2023 | 145 | 146 | ||||||
Mount Airy LLC, Term Loan, 1st Lien | ||||||||
13.500%, 04/19/2018 (F) | 170 | 172 | ||||||
Ortho-Clinical Diagnostics, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
5.046%, VAR LIBOR+3.750%, 06/30/2021 | 318 | 319 | ||||||
Patterson Medical, Term Loan, 1st Lien | ||||||||
5.989%, 08/29/2022 | 212 | 205 | ||||||
Peak, Term Loan B, 1st Lien | ||||||||
4.811%, 08/01/2024 | 110 | 110 |
230 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) |
Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Radio One, Term Loan B, 1st Lien | ||||||||
5.300%, VAR LIBOR+4.000%, | $ | 120 | $ | 118 | ||||
Red Lobster Management LLC, Initial Term Loan, 1st Lien | ||||||||
6.486%, 07/28/2021 (H) | 147 | 149 | ||||||
Revlon Consumer Products, Term Loan B, 1st Lien | ||||||||
4.735%, VAR LIBOR+3.500%, | 162 | 145 | ||||||
Spencer Gifts LLC (Spirit Halloween Superstores LLC), Term B-1 Loan | ||||||||
5.510%, 07/16/2021 | 181 | 124 | ||||||
Sprint Communications, Initial Term Loan, 1st Lien | ||||||||
3.750%, VAR LIBOR+2.500%, | 332 | 332 | ||||||
Supervalu, Delay Draw, 1st Lien | ||||||||
4.735%, 06/08/2024 | 60 | 57 | ||||||
SuperValue, Term Loan, 1st Lien | ||||||||
4.735%, 06/08/2024 | 100 | 95 | ||||||
Switch, Tem Loan, 1st Lien | ||||||||
3.984%, 06/27/2024 | 135 | 136 | ||||||
Syniverse Holdings, Initial Term Loan, 1st Lien | ||||||||
4.311%, VAR LIBOR+3.000%, | 214 | 207 | ||||||
Syniverse Holdings, Term Loan B, 1st Lien | ||||||||
4.333%, VAR LIBOR+3.000%, | 121 | 117 | ||||||
Team Health Holdings, Initial Term Loan | ||||||||
3.985%, VAR LIBOR+2.750%, | 230 | 225 | ||||||
Transdigm, Term Loan, 1st Lien | ||||||||
4.235%, 08/22/2024 | 108 | 109 | ||||||
Tronc, Inc. (fka Tribune Publishing Company), Initial Term Loan, 1st Lien | ||||||||
5.989%, 08/04/2021 | 70 | 70 | ||||||
Ultra Resources, Loan, 1st Lien | ||||||||
4.309%, 04/05/2024 | 98 | 98 | ||||||
UPC Financing Partnership , Facility AP | ||||||||
3.984%, VAR LIBOR+2.750%, | 158 | 158 | ||||||
Valeant Pharmaceuticals International, Series F Tranche B Term Loan, 1st Lien | ||||||||
5.990%, VAR LIBOR+4.750%, | 67 | 68 | ||||||
Virgin Media, Cov-Lite, Term Loan, 1st Lien | ||||||||
3.984%, VAR LIBOR+2.750%, | 172 | 173 |
Description | Face Amount (Thousands) |
Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Windstream Services, Term Loan B, 1st Lien | ||||||||
5.240%, VAR LIBOR+4.000%, | $ | 106 | $ | 95 | ||||
|
| |||||||
Total Loan Participations | 10,739 | |||||||
|
| |||||||
Shares | ||||||||
PREFERRED STOCK — 0.2% | ||||||||
Financials — 0.2% | ||||||||
FHLMC, 8.375% * | 59,838 | 409 | ||||||
FNMA, 8.250% * | 61,884 | 431 | ||||||
|
| |||||||
840 | ||||||||
|
| |||||||
Total Preferred Stock | 840 | |||||||
|
| |||||||
Face Amount (Thousands) | ||||||||
CONVERTIBLE BONDS — 0.1% | ||||||||
Liberty Media CV to 16.7764 | ||||||||
3.750%, 02/15/2030 | 180 | 127 | ||||||
Liberty Media CV to 22.94686 | ||||||||
4.000%, 11/15/2029 | 371 | 263 | ||||||
MGIC Investment CV to 74.0741 | ||||||||
9.000%, 04/01/2063 (C) | 230 | 312 | ||||||
|
| |||||||
Total Convertible Bonds |
| 702 | ||||||
|
| |||||||
MUNICIPAL BONDS — 0.1% | ||||||||
Puerto Rico — 0.1% | ||||||||
Commonwealth of Puerto Rico, Ser A, GO | ||||||||
8.000%, 07/01/2035 (G) | 500 | 242 | ||||||
Government Development Bank for Puerto Rico, Ser A, RB | ||||||||
4.375%, 02/01/2019 (G) | 50 | 16 | ||||||
Government Development Bank for Puerto Rico, Ser A, RB | ||||||||
5.500%, 08/01/2020 (G) | 40 | 13 | ||||||
Government Development Bank for Puerto Rico, Ser B, RB | ||||||||
5.000%, 12/01/2016 (G) | 15 | 5 | ||||||
4.704%, 05/01/2016 (G) | 20 | 6 | ||||||
Government Development Bank for Puerto Rico, Ser B, RB | ||||||||
5.000%, 12/01/2017 (G) | 5 | 2 | ||||||
Government Development Bank for Puerto Rico, Ser C, RB | ||||||||
5.400%, 08/01/2019 (G) | 30 | 9 | ||||||
Government Development Bank for Puerto Rico, Ser H, RB | ||||||||
4.150%, 08/01/2017 (G) | 10 | 3 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 231 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Strategy Alternative Fund (Continued)
Description | Face Amount (Thousands) |
Market Value | ||||||
MUNICIPAL BONDS (continued) |
| |||||||
Government Development Bank for Puerto Rico, Ser H, RB | ||||||||
4.500%, 08/01/2019 (G) | $ | 20 | $ | 6 | ||||
Government Development Bank for Puerto | ||||||||
Rico, Ser H, RB | ||||||||
5.000%, 08/01/2023 (G) | 100 | 31 | ||||||
|
| |||||||
333 | ||||||||
|
| |||||||
Texas — 0.0% |
| |||||||
Texas State, Public Finance Authority, RB | ||||||||
Callable 07/01/2019 @ 100 | ||||||||
8.250%, 07/01/2024 | 300 | 314 | ||||||
|
| |||||||
Total Municipal Bonds |
| 647 | ||||||
|
| |||||||
GOVERNMENT AGENCY OBLIGATION — 0.1% |
| |||||||
National Highways Authority of India | ||||||||
7.300%, 05/18/2022 | INR | 40,000 | 617 | |||||
|
| |||||||
Total U.S. Government Agency Obligation |
| 617 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATION — 2.5% |
| |||||||
U.S. Treasury Bills | ||||||||
0.754%, 11/09/2017 (E) | $ | 13,000 | 12,987 | |||||
|
| |||||||
Total U.S. Treasury Obligation |
| 12,987 | ||||||
|
| |||||||
Shares | ||||||||
CASH EQUIVALENT — 15.5% |
| |||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
0.840%**† | 79,353,926 | 79,354 | ||||||
|
| |||||||
Total Cash Equivalent |
| 79,354 | ||||||
|
| |||||||
Total Investments in Securities — 99.2% |
| $ | 509,001 | |||||
|
| |||||||
COMMON STOCK SOLD SHORT— (19.6)% |
| |||||||
Consumer Discretionary — (4.3)% |
| |||||||
adidas | (4,752) | (1,075) | ||||||
Adient | (5,725) | (481) | ||||||
Amazon.com, Cl A * | (372) | (358) |
Description | Shares |
Market Value | ||||||
COMMON STOCK SOLD SHORT (continued) |
| |||||||
Bayerische Motoren Werke | (3,884) | $ | (394) | |||||
Bloomin’ Brands | (12,110) | (213) | ||||||
Burlington Stores * | (5,979) | (571) | ||||||
Canada Goose Holdings * | (22,915) | (471) | ||||||
Charter Communications, Cl A * | (1,548) | (562) | ||||||
Daimler | (3,345) | (267) | ||||||
Domino’s Pizza | (2,482) | (493) | ||||||
Gentex | (56,692) | (1,122) | ||||||
Goodyear Tire & Rubber | (9,216) | (306) | ||||||
Harley-Davidson, Cl A | (21,315) | (1,028) | ||||||
Hilton Worldwide Holdings | (3,945) | (274) | ||||||
Las Vegas Sands | (8,909) | (572) | ||||||
LCI Industries | (1,970) | (228) | ||||||
Lennar, Cl A | (11,208) | (592) | ||||||
Liberty Broadband, Cl C * | (6,137) | (585) | ||||||
Liberty Ventures, Ser A * | (2,764) | (159) | ||||||
Live Nation * | (8,979) | (391) | ||||||
Mattel | (24,046) | (372) | ||||||
Michaels * | (10,564) | (227) | ||||||
MSG Networks * | (13,700) | (290) | ||||||
NetFlix * | (3,217) | (583) | ||||||
Papa John’s International, Cl A | (3,773) | (276) | ||||||
Party City Holdco * | (10,879) | (147) | ||||||
Pinnacle Entertainment * | (18,096) | (386) | ||||||
Polaris Industries | (12,055) | (1,261) | ||||||
Priceline Group * | (345) | (632) | ||||||
Red Rock Resorts, Cl A | (15,267) | (354) | ||||||
Renault | (4,105) | (403) | ||||||
Restaurant Brands International | (9,560) | (611) | ||||||
Ross Stores | (13,163) | (850) | ||||||
Royal Caribbean Cruises | (3,416) | (405) | ||||||
SEB | (2,181) | (400) | ||||||
Select Comfort * | (38,763) | (1,204) | ||||||
Sinclair Broadcast Group, Cl A | (7,949) | (255) | ||||||
Tesla * | (1,595) | (544) | ||||||
TJX | (11,205) | (826) | ||||||
Toyota Industries | (6,100) | (351) | ||||||
TripAdvisor * | (5,730) | (232) | ||||||
Universal Electronics * | (2,965) | (188) | ||||||
Winnebago Industries | (11,842) | (530) | ||||||
Wynn Resorts | (3,481) | (518) | ||||||
Yoox Net-A-Porter Group, Cl A * | (5,760) | (226) | ||||||
|
| |||||||
(22,213) | ||||||||
|
| |||||||
Consumer Staples — (1.5)% | ||||||||
Anheuser-Busch InBev | (127) | (15) | ||||||
Anheuser-Busch InBev ADR | (3,160) | (377) | ||||||
Church & Dwight | (15,218) | (737) | ||||||
Clorox | (5,566) | (734) | ||||||
Colgate-Palmolive | (3,478) | (253) | ||||||
Costco Wholesale | (5,210) | (856) | ||||||
Coty, Cl A | (25,500) | (422) |
232 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares |
Market Value | ||||||
COMMON STOCK SOLD SHORT (continued) | ||||||||
Davide Campari-Milano | (51,374 | ) | $ | (373 | ) | |||
Dr Pepper Snapple Group | (8,272 | ) | (732 | ) | ||||
Flowers Foods | (32,311 | ) | (608 | ) | ||||
J&J Snack Foods | (2,334 | ) | (307 | ) | ||||
Kellogg | (6,460 | ) | (403 | ) | ||||
Kimberly-Clark | (2,109 | ) | (248 | ) | ||||
National Beverage, Cl A | (2,284 | ) | (283 | ) | ||||
Pilgrim’s Pride * | (8,280 | ) | (235 | ) | ||||
Sanderson Farms | (5,921 | ) | (956 | ) | ||||
|
|
| ||||||
(7,539 | ) | |||||||
|
|
| ||||||
Energy — (0.9)% | ||||||||
BP ADR | (24 | ) | (1 | ) | ||||
Centennial Resource Development, Cl A * | (23,593 | ) | (424 | ) | ||||
Cheniere Energy * | (12,306 | ) | (554 | ) | ||||
Diamondback Energy, Cl A * | (3,874 | ) | (379 | ) | ||||
Oasis Petroleum * | (24,886 | ) | (227 | ) | ||||
Parsley Energy, Cl A * | (17,334 | ) | (457 | ) | ||||
Patterson-UTI Energy | (23,664 | ) | (495 | ) | ||||
Schlumberger, Cl A | (6,717 | ) | (469 | ) | ||||
Tenaris ADR | (12,683 | ) | (359 | ) | ||||
US Silica Holdings | (8,206 | ) | (255 | ) | ||||
Weatherford International * | (80,065 | ) | (367 | ) | ||||
WPX Energy * | (32,580 | ) | (375 | ) | ||||
|
|
| ||||||
(4,362 | ) | |||||||
|
|
| ||||||
Financials — (1.4)% | ||||||||
ASML Holding | (2,394 | ) | (408 | ) | ||||
Australia & New Zealand Banking Group | (17,488 | ) | (406 | ) | ||||
Banco BPM * | (127,738 | ) | (530 | ) | ||||
BNP Paribas | (2,377 | ) | (192 | ) | ||||
Citigroup | (158 | ) | (11 | ) | ||||
Commonwealth Bank of Australia | (1,974 | ) | (117 | ) | ||||
Credit Acceptance, Cl A * | (5,100 | ) | (1,429 | ) | ||||
Credit Suisse Group | (13,301 | ) | (211 | ) | ||||
Deutsche Bank | (22,172 | ) | (383 | ) | ||||
Fukuoka Financial Group | (78,000 | ) | (360 | ) | ||||
Macquarie Group | (5,048 | ) | (360 | ) | ||||
National Australia Bank | (16,262 | ) | (402 | ) | ||||
Signature Bank, Cl B * | (2,904 | ) | (372 | ) | ||||
Svenska Handelsbanken, Cl A | (26,057 | ) | (392 | ) | ||||
Trisura Group * | (14 | ) | — | |||||
UniCredit | (21,964 | ) | (468 | ) | ||||
Unione di Banche Italiane | (103,008 | ) | (534 | ) | ||||
Wells Fargo | (7,002 | ) | (386 | ) | ||||
|
|
| ||||||
(6,961 | ) | |||||||
|
|
| ||||||
Health Care — (2.0)% | ||||||||
ACADIA Pharmaceuticals * | (3,585 | ) | (135 | ) | ||||
Agios Pharmaceuticals * | (5,509 | ) | (368 | ) | ||||
Alnylam Pharmaceuticals * | (4,286 | ) | (504 | ) |
Description | Shares |
Market Value | ||||||
COMMON STOCK SOLD SHORT (continued) | ||||||||
Amgen, Cl A | (2,150 | ) | $ | (401 | ) | |||
Becton Dickinson | (11,399 | ) | (2,234 | ) | ||||
Bluebird Bio * | (3,762 | ) | (517 | ) | ||||
Clovis Oncology * | (3,486 | ) | (287 | ) | ||||
Cotiviti Holdings * | (9,823 | ) | (353 | ) | ||||
DexCom * | (5,182 | ) | (253 | ) | ||||
Envision Healthcare * | (8,325 | ) | (374 | ) | ||||
Evolent Health, Cl A * | (733 | ) | (13 | ) | ||||
Grifols | (5,712 | ) | (166 | ) | ||||
ICU Medical * | (2,236 | ) | (415 | ) | ||||
Insulet * | (6,694 | ) | (369 | ) | ||||
Johnson & Johnson | (2,720 | ) | (354 | ) | ||||
Juno Therapeutics * | (6,058 | ) | (272 | ) | ||||
Medicines * | (4,197 | ) | (155 | ) | ||||
Medtronic | (781 | ) | (61 | ) | ||||
Merck | (186 | ) | (12 | ) | ||||
Nektar Therapeutics, Cl A * | (16,425 | ) | (394 | ) | ||||
Neogen, Cl B * | (8,054 | ) | (624 | ) | ||||
Neurocrine Biosciences * | (7,870 | ) | (482 | ) | ||||
PeptiDream * | (12,000 | ) | (370 | ) | ||||
Portola Pharmaceuticals, Cl A * | (2,227 | ) | (120 | ) | ||||
Puma Biotechnology * | (3,510 | ) | (420 | ) | ||||
Sanofi | (3,794 | ) | (377 | ) | ||||
Sarepta Therapeutics * | (1,586 | ) | (72 | ) | ||||
Ultragenyx Pharmaceutical * | (4,106 | ) | (219 | ) | ||||
|
|
| ||||||
(10,321 | ) | |||||||
|
|
| ||||||
Industrials — (2.4)% | ||||||||
Airbus | (6,477 | ) | (616 | ) | ||||
Allison Transmission Holdings | (16,123 | ) | (605 | ) | ||||
Amerco | (1,619 | ) | (607 | ) | ||||
AP Moller - Maersk, Cl B | (180 | ) | (342 | ) | ||||
Argan | (27,230 | ) | (1,831 | ) | ||||
Atlantia | (12,917 | ) | (408 | ) | ||||
Axon Enterprise * | (5,303 | ) | (120 | ) | ||||
Bollore | (80,048 | ) | (400 | ) | ||||
Bombardier, Cl B * | (297,389 | ) | (537 | ) | ||||
CNH Industrial | (51,069 | ) | (613 | ) | ||||
GEA Group | (1,210 | ) | (55 | ) | ||||
Harmonic Drive Systems | (700 | ) | (36 | ) | ||||
Hawaiian Holdings | (16,265 | ) | (611 | ) | ||||
Kirby * | (7,102 | ) | (468 | ) | ||||
Kone, Cl B | (7,193 | ) | (381 | ) | ||||
Meritor * | (23,257 | ) | (605 | ) | ||||
MonotaRO | (13,500 | ) | (361 | ) | ||||
Navistar International * | (10,971 | ) | (484 | ) | ||||
Parker-Hannifin, Cl A | (861 | ) | (151 | ) | ||||
Patrick Industries * | (4,365 | ) | (367 | ) | ||||
Snap-on | (7,822 | ) | (1,166 | ) | ||||
Volvo, Cl B | (25,861 | ) | (497 | ) | ||||
Wabtec | (8,971 | ) | (680 | ) | ||||
Weir Group | (6,782 | ) | (179 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 233 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Strategy Alternative Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK SOLD SHORT (continued) |
| |||||||
Westpac Banking | (16,006) | $ | (401) | |||||
|
| |||||||
(12,521) | ||||||||
|
| |||||||
Information Technology — (4.2)% |
| |||||||
Advanced Micro Devices * | (28,933) | (369) | ||||||
Alphabet, Cl A * | (390) | (380) | ||||||
ams | (7,069) | (513) | ||||||
Apple | (3,736) | (576) | ||||||
Arista Networks * | (2,652) | (503) | ||||||
Broadcom | (2,395) | (581) | ||||||
Brocade Communications Systems | (63,050) | (753) | ||||||
Cisco Systems | (6,610) | (222) | ||||||
Coherent * | (1,898) | (446) | ||||||
Cypress Semiconductor | (16,042) | (241) | ||||||
Diodes * | (21,635) | (647) | ||||||
Facebook, Cl A * | (2,175) | (372) | ||||||
FleetCor Technologies * | (3,326) | (515) | ||||||
Fortinet * | (8,486) | (304) | ||||||
Global Payments | (4,113) | (391) | ||||||
GrubHub * | (8,194) | (431) | ||||||
Impinj * | (7,373) | (307) | ||||||
InterXion Holding * | (8,087) | (412) | ||||||
Keysight Technologies * | (9,567) | (399) | ||||||
Lam Research | (861) | (159) | ||||||
Leidos Holdings | (6,658) | (394) | ||||||
LogMeIn | (3,398) | (374) | ||||||
Lumentum Holdings * | (5,025) | (273) | ||||||
MACOM Technology Solutions Holdings * | (7,102) | (317) | ||||||
Microchip Technology | (1,714) | (154) | ||||||
Micron Technology * | (14,086) | (554) | ||||||
Microsoft | (4,833) | (360) | ||||||
MKS Instruments | (1,638) | (155) | ||||||
MoneyGram International * | (8,732) | (141) | ||||||
MuleSoft, Cl A * | (22,857) | (460) | ||||||
NETGEAR * | (15,913) | (757) | ||||||
Nice ADR | (4,517) | (367) | ||||||
Nintendo | (1,600) | (591) | ||||||
Nvidia | (2,360) | (422) | ||||||
Pandora Media * | (36,090) | (278) | ||||||
Proofpoint * | (3,474) | (303) | ||||||
Renesas Electronics * | (27,400) | (298) | ||||||
Rosetta Stone * | (47,380) | (484) | ||||||
Shopify * | (3,815) | (443) | ||||||
Silver Spring Networks * | (9,168) | (148) | ||||||
Snap, Cl A * | (23,892) | (347) | ||||||
Sumco | (27,000) | (424) | ||||||
Symantec, Cl A | (12,917) | (424) | ||||||
SYNNEX | (2,360) | (299) | ||||||
Telefonaktiebolaget LM Ericsson, Cl B | (50,907) | (292) | ||||||
Ultra Clean Holdings * | (5,099) | (156) | ||||||
Universal Display | (3,732) | (481) | ||||||
Vantiv, Cl A * | (43,081) | (3,036) |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK SOLD SHORT (continued) |
| |||||||
Zillow Group, Cl C * | (8,108) | $ | (326) | |||||
|
| |||||||
(21,579) | ||||||||
|
| |||||||
Materials — (1.2)% |
| |||||||
Cabot | (14,907) | (832) | ||||||
CF Industries Holdings | (8,700) | (306) | ||||||
DowDuPont | (2,408) | (167) | ||||||
First Quantum Minerals (Canada) | (46,402) | (520) | ||||||
K+S | (15,657) | (427) | ||||||
L’Oreal | (1,765) | (375) | ||||||
Louisiana-Pacific * | (20,942) | (567) | ||||||
LyondellBasell Industries, Cl A | (3,081) | (305) | ||||||
Monsanto | (12,906) | (1,546) | ||||||
Mosaic | (14,510) | (313) | ||||||
OCI * | (23,941) | (561) | ||||||
Yara International | (7,878) | (353) | ||||||
|
| |||||||
(6,272) | ||||||||
|
| |||||||
Real Estate — (0.5)% |
| |||||||
Host Hotels & Resorts ‡ | (20,681) | (382) | ||||||
Kennedy-Wilson Holdings ‡ | (26,666) | (495) | ||||||
Quality Care Properties ‡* | (102,884) | (1,595) | ||||||
|
| |||||||
(2,472) | ||||||||
|
| |||||||
Telecommunication Services — (1.2)% |
| |||||||
AT&T | (108,891) | (4,265) | ||||||
Boingo Wireless * | (50,649) | (1,083) | ||||||
CenturyLink | (20,471) | (387) | ||||||
Globalstar * | (146,800) | (239) | ||||||
SFR Group * | (5,172) | (211) | ||||||
|
| |||||||
(6,185) | ||||||||
|
| |||||||
Utilities — 0.0% |
| |||||||
Electricite de France | (20,965) | (255) | ||||||
|
| |||||||
Total Common Stock Sold Short |
| (100,680) | ||||||
|
| |||||||
EXCHANGE TRADED FUNDS SOLD SHORT— (2.9)% |
| |||||||
Consumer Staples Select Sector SPDR Fund | (22,326) | (1,205) | ||||||
CurrencyShares Japanese Yen Trust | (29,356) | (2,506) | ||||||
SPDR S&P500 ETF Trust | (24,754) | (6,219) | ||||||
VanEck Vectors Semiconductor ETF | (50,643) | (4,726) | ||||||
|
| |||||||
Total Exchange Traded Funds Sold Short |
| (14,656) | ||||||
|
|
234 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
PREFERRED STOCK SOLD SHORT— (0.3)% |
| |||||||
Consumer Discretionary — (0.2)% |
| |||||||
Porsche Automobil Holding, 0.000% | (9,393) | $ | (601) | |||||
Volkswagen, 0.000% | (3,625) | (591) | ||||||
|
|
| ||||||
(1,192) | ||||||||
|
|
| ||||||
Health Care — (0.1)% |
| |||||||
Sartorius, 0.000% | (3,377) | (323) | ||||||
|
|
| ||||||
Total Preferred Stock Sold Short |
| (1,515) | ||||||
|
|
| ||||||
Number of Rights | ||||||||
RIGHTS* — 0.0% |
| |||||||
United States — 0.0% |
| |||||||
Bollore SA Euro Right, Expires | (80) | – | ||||||
|
|
| ||||||
Total Rights | – | |||||||
|
|
| ||||||
Total Investments Sold Short — (22.8)% (Proceeds $107,559) ($ Thousands) | $ | (116,851) | ||||||
|
|
| ||||||
Contracts | ||||||||
PURCHASED OPTIONS* — 0.0% |
| |||||||
Total Purchased Options (I) | 5,117 | $ | 223 | |||||
|
|
| ||||||
WRITTEN OPTIONS* — 0.0% |
| |||||||
Total Written Options (I) | (431) | $ | (30) | |||||
|
|
|
A list of the open contracts held by the Fund at September 30, 2017, is as follows:
Description | Number of Contracts | Notional Amount ($ Thousands) | Exercise Price | Expiration Date | Value ($ Thousands) | |||||||||||||||
PURCHASED OPTIONS — 0.0% |
| |||||||||||||||||||
Put Options | ||||||||||||||||||||
AT&T* | 153 | $ | 7 | $ | 38.00 | 10/21/17 | $ | 5 | ||||||||||||
Calpine* | 9 | – | 14.00 | 12/16/17 | – | |||||||||||||||
Calpine* | 23 | – | 14.00 | 10/21/17 | – | |||||||||||||||
Discovery Communications* | 18 | 3 | 20.00 | 01/20/18 | 2 | |||||||||||||||
Discovery Communications* | 134 | 17 | 20.00 | 12/16/17 | 13 | |||||||||||||||
Kite Pharma* | 525 | 4 | 110.00 | 10/21/17 | 3 | |||||||||||||||
Kite Pharma* | 1 | – | 130.00 | 10/21/17 | – | |||||||||||||||
Kite Pharma* | 175 | 1 | 115.00 | 10/21/17 | 1 | |||||||||||||||
Kite Pharma* | 951 | 7 | 105.00 | 10/21/17 | 5 | |||||||||||||||
MoneyGram International* | 89 | 6 | 17.50 | 11/18/17 | 15 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 235 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Strategy Alternative Fund (Continued)
Description | Number of Contracts | Notional Amount ($ Thousands) | Exercise Price | Expiration Date | Value ($ Thousands) | |||||||||||||||
PURCHASED OPTIONS (continued) |
| |||||||||||||||||||
Neuroderm* | 6 | $ | – | $ | 35.00 | 02/17/18 | $ | – | ||||||||||||
Neuroderm* | 11 | – | 35.00 | 11/18/17 | – | |||||||||||||||
October 17 Puts on SPX* | 6 | 8 | 2,490.00 | 10/21/17 | – | |||||||||||||||
October 17 Puts on SPX* | 20 | 28 | 2,500.00 | 10/21/17 | – | |||||||||||||||
October 17 Puts on SPX* | 20 | 4 | 2,340.00 | 10/21/17 | – | |||||||||||||||
October 17 Puts on SPX* | 6 | 1 | 2,330.00 | 10/21/17 | – | |||||||||||||||
October 17 Puts on SPX* | 28 | 39 | 2,480.00 | 10/21/17 | 27 | |||||||||||||||
October 17 Puts on SPX* | 28 | 6 | 2,320.00 | 10/21/17 | 5 | |||||||||||||||
Papa John’s International* | 32 | 8 | 70.00 | 11/18/17 | 6 | |||||||||||||||
Scripps Networks Interactive* | 41 | 5 | 80.00 | 12/16/17 | 5 | |||||||||||||||
Scripps Networks Interactive* | 1 | – | 70.00 | 12/16/17 | – | |||||||||||||||
Scripps Networks Interactive* | 76 | 4 | 75.00 | 12/16/17 | 3 | |||||||||||||||
Scripps Networks Interactive* | 121 | 7 | 75.00 | 03/17/18 | 10 | |||||||||||||||
SPDR S&P500 ETF Trust* | 68 | 36 | 240.00 | 12/16/17 | 13 | |||||||||||||||
SPDR S&P500 ETF Trust* | 68 | 31 | 243.00 | 10/21/17 | 2 | |||||||||||||||
SPDR S&P500 ETF Trust* | 58 | 37 | 245.00 | 12/16/17 | 15 | |||||||||||||||
Straight Path Communications* | 17 | 3 | 135.00 | 02/17/18 | – | |||||||||||||||
VanEck Vectors Semiconductor ETF* | 18 | 2 | 91.00 | 10/21/17 | 1 | |||||||||||||||
VanEck Vectors Semiconductor ETF* | 54 | 7 | 82.00 | 10/21/17 | – | |||||||||||||||
VanEck Vectors Semiconductor ETF* | 104 | 14 | 93.00 | 10/21/17 | 1 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
285 | 132 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Call Options | ||||||||||||||||||||
CenturyLink* | 93 | 6 | 26.00 | 01/20/18 | – | |||||||||||||||
CenturyLink* | 55 | 7 | 23.00 | 01/20/18 | 2 | |||||||||||||||
CenturyLink* | 55 | 6 | 30.00 | 01/20/18 | – | |||||||||||||||
CenturyLink* | 93 | 5 | 27.00 | 10/21/17 | – | |||||||||||||||
CenturyLink* | 37 | 3 | 25.00 | 01/20/18 | 1 | |||||||||||||||
CenturyLink* | 154 | 5 | 28.00 | 10/21/17 | 1 | |||||||||||||||
CenturyLink* | 9 | 1 | 20.00 | 01/20/18 | 1 | |||||||||||||||
CenturyLink* | 1 | – | 20.00 | 10/21/17 | – | |||||||||||||||
CenturyLink* | 28 | 3 | 23.00 | 10/21/17 | – | |||||||||||||||
CenturyLink* | 16 | 1 | 21.00 | 10/21/17 | – | |||||||||||||||
CenturyLink* | 320 | 19 | 22.00 | 10/21/17 | 2 | |||||||||||||||
CenturyLink* | 36 | 2 | 26.00 | 10/21/17 | – | |||||||||||||||
Charter Communications* | 5 | 6 | 365.00 | 10/21/17 | 4 | |||||||||||||||
Discovery Communications* | 7 | 1 | 22.50 | 10/21/17 | – | |||||||||||||||
Discovery Communications* | 35 | 5 | 25.00 | 03/17/18 | 1 | |||||||||||||||
Discovery Communications* | 101 | 14 | 25.00 | 10/21/17 | – | |||||||||||||||
Ensco* | 185 | 3 | 10.00 | 12/16/17 | – | |||||||||||||||
Ensco* | 33 | 1 | 8.00 | 01/20/18 | 1 | |||||||||||||||
Ensco* | 119 | 3 | 8.00 | 12/16/17 | 1 | |||||||||||||||
Ensco* | 122 | 4 | 9.00 | 12/16/17 | 1 | |||||||||||||||
NXP Semiconductors* | 7 | 2 | 115.00 | 01/20/18 | 1 | |||||||||||||||
NXP Semiconductors* | 101 | 9 | 115.00 | 10/21/17 | 2 | |||||||||||||||
NXP Semiconductors* | 114 | 18 | 115.00 | 12/16/17 | 13 | |||||||||||||||
NXP Semiconductors* | 149 | 42 | 110.00 | 10/21/17 | 48 | |||||||||||||||
SeaWorld Entertainment* | 69 | 4 | 15.00 | 01/20/18 | 3 | |||||||||||||||
SeaWorld Entertainment* | 83 | 4 | 15.00 | 12/16/17 | 3 | |||||||||||||||
Sinclair Broadcast Group* | 35 | 6 | 41.00 | 12/16/17 | 1 | |||||||||||||||
Synchronoss Technologies* | 9 | 2 | 10.00 | 03/17/18 | 2 | |||||||||||||||
Synchronoss Technologies* | 18 | 4 | 10.00 | 12/16/17 | 2 | |||||||||||||||
T-Mobile US* | 85 | 4 | 75.00 | 11/18/17 | 1 |
236 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Number of Contracts | Notional Amount ($ Thousands) | Exercise Price | Expiration Date | Value ($Thousands) | |||||||||||||||
PURCHASED OPTIONS (continued) | ||||||||||||||||||||
Tribune Media* | 82 | $ | 2 | $45.00 | 10/21/17 | $ | – | |||||||||||||
|
|
|
|
|
| |||||||||||||||
192 | 91 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Purchased Options | $ | 477 | $ | 223 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
WRITTEN OPTIONS — 0.0% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
AT&T* | (153 | ) | $ | (3 | ) | 37.00 | 10/21/17 | $ | (2 | ) | ||||||||||
Discovery Communications* | (35 | ) | (2 | ) | 20.00 | 10/21/17 | (1 | ) | ||||||||||||
October 17 Puts on SPX* | (56 | ) | (28 | ) | 2,400.00 | 10/21/17 | (19 | ) | ||||||||||||
October 17 Puts on SPX* | (40 | ) | (18 | ) | 2,420.00 | 10/21/17 | – | |||||||||||||
October 17 Puts on SPX* | (12 | ) | (5 | ) | 2,410.00 | 10/21/17 | – | |||||||||||||
Papa John’s International* | (32 | ) | (3 | ) | 65.00 | 11/18/17 | (3 | ) | ||||||||||||
VanEck Vectors Semiconductor ETF* | (70 | ) | (5 | ) | 87.00 | 10/21/17 | (2 | ) | ||||||||||||
|
|
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|
| |||||||||||||||
(64 | ) | (27 | ) | |||||||||||||||||
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|
|
|
| |||||||||||||||
Call Options | ||||||||||||||||||||
NXP Semiconductors* | (1 | ) | – | 120.00 | 10/21/17 | – | ||||||||||||||
Papa John’s International* | (32 | ) | (3 | ) | 75.00 | 10/21/17 | (3 | ) | ||||||||||||
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|
| |||||||||||||||
(3 | ) | (3 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Written Options | $ | (67 | ) | $ | (30 | ) | ||||||||||||||
|
|
|
|
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 237 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Strategy Alternative Fund (Continued)
A list of the open contracts held by the Fund at September 30, 2017 is as follows:
Type of Contract | Number of Contracts Short | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||
Euro-Bobl | (11) | Dec-2017 | $(1,729) | $(1,706) | $6 | |||||||||||||||
Euro-Bund | (12) | Dec-2017 | (2,328) | (2,284) | 21 | |||||||||||||||
Euro-Buxl 30 Year Bond | (7) | Dec-2017 | (1,395) | (1,351) | 32 | |||||||||||||||
S&P 500 Index E-MINI | (7) | Dec-2017 | (870) | (881) | (11) | |||||||||||||||
U.S. 10-Year Treasury Note | (13) | Dec-2017 | (1,648) | (1,629) | 19 | |||||||||||||||
|
| |||||||||||||||||||
$(7,970) | $(7,851) | $67 | ||||||||||||||||||
|
|
A list of the open forward foreign currency contracts held by the Fund at September 30, 2017 is as follows:
Counterparty | Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) (Thousands) | ||||||||||||||
Barclays PLC | 12/20/17 | KRW | 667,317 | USD | 590 | $ | 6 | |||||||||||
Deutsche Bank | 12/20/17 | USD | 773 | RUB | 45,246 | 2 | ||||||||||||
Deutsche Bank | 12/20/17 | USD | 819 | TRY | 2,887 | (26 | ) | |||||||||||
Deutsche Bank | 12/20/17 | ZAR | 14,082 | USD | 1,055 | 25 | ||||||||||||
Deutsche Bank | 12/20/17 | MXN | 20,973 | USD | 1,168 | 28 | ||||||||||||
Deutsche Bank | 12/20/17 | KRW | 1,331,774 | USD | 1,176 | 11 | ||||||||||||
JPMorgan Chase Bank | 12/20/17 | USD | 1,623 | EUR | 1,351 | (18 | ) | |||||||||||
JPMorgan Chase Bank | 12/20/17 | EUR | 3,782 | USD | 4,546 | 54 | ||||||||||||
JPMorgan Chase Bank | 12/20/17 | RUB | 69,747 | USD | 1,192 | (1 | ) | |||||||||||
Merrill Lynch | 10/03/17 | USD | 1,018 | BRL | 3,243 | 7 | ||||||||||||
Merrill Lynch | 10/03/17 | BRL | 3,243 | USD | 1,036 | 12 | ||||||||||||
Morgan Stanley | 10/12/17 | USD | 1,627 | INR | 104,224 | (34 | ) | |||||||||||
Morgan Stanley | 10/12/17 - 12/20/17 | INR | 144,697 | USD | 2,222 | 16 | ||||||||||||
Morgan Stanley | 10/31/17 | USD | 474 | GBP | 354 | — | ||||||||||||
Morgan Stanley | 10/31/17 | USD | 81 | GBP | 60 | — | ||||||||||||
Morgan Stanley | 10/31/17 | GBP | 1,155 | USD | 1,552 | 1 | ||||||||||||
Morgan Stanley | 11/29/17 - 01/10/18 | EUR | 3,182 | CZK | 84,680 | 97 | ||||||||||||
Morgan Stanley | 12/15/17 - 01/10/18 | CZK | 44,491 | EUR | 1,663 | (63 | ) | |||||||||||
Morgan Stanley | 12/20/17 | USD | 12 | ZAR | 165 | — | ||||||||||||
Morgan Stanley | 12/20/17 | USD | 370 | EUR | 313 | 1 | ||||||||||||
Morgan Stanley | 12/20/17 | USD | 585 | RUB | 34,243 | 1 | ||||||||||||
Morgan Stanley | 12/20/17 | USD | 647 | TRY | 2,301 | (15 | ) | |||||||||||
Morgan Stanley | 12/20/17 | EUR | 2,277 | USD | 2,734 | 30 | ||||||||||||
Morgan Stanley | 01/10/18 | EUR | 3 | USD | 3 | — | ||||||||||||
Morgan Stanley | 12/20/17 | ZAR | 7,813 | USD | 584 | 13 | ||||||||||||
Morgan Stanley | 12/20/17 | CNH | 7,846 | USD | 1,188 | 14 | ||||||||||||
Morgan Stanley | 12/20/17 | MXN | 31,879 | USD | 1,774 | 41 | ||||||||||||
Morgan Stanley | 12/20/17 | RUB | 65,724 | USD | 1,123 | (2 | ) | |||||||||||
|
|
| ||||||||||||||||
$ | 200 | |||||||||||||||||
|
|
|
238 | SEI Institutional Managed Trust / Annual Report /September 30, 2017 |
A list of the open OTC swap agreements held by the Fund at September 30, 2017 is as follows:
Credit Default Swaps | ||||||||||||||||||||||
Counterparty | Reference Entity/ Obligation | Buy/Sell Protection | (Pays)/Receives Rate | Payment Frequency | Termination Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Upfront Payments/ Receipts ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
Barclays | Macy’s | Buy | 1.00% | – | 12/20/2021 | 320 | 12 | $ | 12 | $ | – | |||||||||||
Barclays | Nordstom | Buy | 1.00% | – | 12/20/2021 | 465 | 28 | 5 | 23 | |||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 17 | $ | 23 | |||||||||||||||||||
|
|
|
|
|
|
Cross Currency Swaps | ||||||||||||||||||||||||
Counterparty | Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount | Value ($ Thousands) | Upfront Payment ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||
Deutsche Bank | 3-MONTH USD -LIBOR | 10.42% | Quarterly | 12/20/2022 | USD | 4,616 | $ | (10 | ) | $ | – | $ | (10 | ) | ||||||||||
Bank of America | 3-MONTH USD -LIBOR | 10.325% | Quarterly | 12/20/2022 | USD | 2,707 | (6 | ) | – | (6 | ) | |||||||||||||
|
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|
|
|
|
|
| ||||||||||||||||
$ | (16 | ) | $ | – | $ | (16 | ) | |||||||||||||||||
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|
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|
|
Total Return Swaps | ||||||||||||||||||||||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount | Value ($ Thousands) | Upfront Payments/ Receipts($Thousands) | Net Unrealized (Depreciation) | ||||||||||||||||||||||||||||||
Morgan Stanley | Clariant | 1-Month USD -LIBOR | Asset Return | Monthly | 2/27/2019 | USD | 232 | (9 | ) | $ | – | $ | (9 | ) | ||||||||||||||||||||||||||
Deutsche Bank | | Egyptian Government 0% 11/28/17 |
| Cash Deposit of Notional | Price Return | Monthly | 11/25/2017 | EGP | 13,125 | 724 | 661 | 63 | ||||||||||||||||||||||||||||
Deutsche Bank | | Egyptian Government 0% 2/13/18 |
| Cash Deposit of Notional | Price Return | Monthly | 02/13/2018 | EGP | 21,525 | 1,143 | 1,110 | 33 | ||||||||||||||||||||||||||||
Bank of America | IBOXHY | IBOXHY | 3-Month USD -LIBOR | Quarterly | 12/20/2017 | USD | 3,962 | (67 | ) | – | (67 | ) | ||||||||||||||||||||||||||||
Morgan Stanley | Kennedy Wilson | 1-Month USD - LIBOR | Asset Return | Monthly | 12/31/2018 | USD | (1,902) | 52 | – | 52 | ||||||||||||||||||||||||||||||
Morgan Stanley | Paysafe | 1-Month USD - LIBOR | Asset Return | Monthly | 01/30/2019 | GBP | (2,540) | (6 | ) | – | (6 | ) | ||||||||||||||||||||||||||||
Morgan Stanley | Sky | | 1-Day Tom Next Offered Indexed Swap | | Asset Return | Monthly | 02/27/2019 | GBP | (3,147) | (156 | ) | – | (156 | ) | ||||||||||||||||||||||||||
Morgan Stanley | Worldpay | 1-Month USD - LIBOR | Asset Return | Monthly | 01/30/2019 | USD | (3,351) | 147 | – | 147 | ||||||||||||||||||||||||||||||
Morgan Stanley | Zodiac Aerospace | 1-Month EUR - LIBOR | Asset Return | Monthly | 01/30/2019 | EUR | 586 | (21 | ) | – | (21 | ) | ||||||||||||||||||||||||||||
|
|
|
|
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| |||||||||||||||||||||||||||||||||||
$ | 1,771 | $ | 36 | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 239 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Strategy Alternative Fund (Concluded)
A list of the open centrally cleared swap agreements held by the Fund at September 30, 2017 is as follows:
Credit Default Swaps | ||||||||||||||||||||||||
Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Payment Frequency | Termination Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Upfront Payments/ Receipts ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||||||
ITRAXX.EUR.XOVER | Sell | 5.00% | Quarterly | 06/20/2021 | (1,000 | ) | $ | 142 | $ | 76 | $ | 66 | ||||||||||||
Mexico | Buy | 1.00% | Quarterly | 12/20/2021 | 1,269 | (8 | ) | 28 | (36 | ) | ||||||||||||||
Republic of South Africa | Buy | 1.00% | Quarterly | 12/20/2021 | 1,823 | 37 | 81 | (44 | ) | |||||||||||||||
Republic of Korea | Buy | 1.00% | Quarterly | 12/20/2021 | 1,402 | (21 | ) | (34 | ) | 13 | ||||||||||||||
Republic of South Africa | Buy | 1.00% | Quarterly | 06/20/2022 | 1,140 | 35 | 53 | (18 | ) | |||||||||||||||
Republic of Turkey | Buy | 1.00% | Quarterly | 12/20/2020 | 2,654 | 13 | 151 | (138 | ) | |||||||||||||||
Republic of Turkey | Buy | 1.00% | Quarterly | 12/20/2021 | 307 | 6 | 16 | (10 | ) | |||||||||||||||
Russia | Sell | 1.00% | Quarterly | 06/20/2021 | (2,345 | ) | 1 | (123 | ) | 124 | ||||||||||||||
Russia | Sell | 1.00% | Quarterly | 12/20/2021 | (248 | ) | (1 | ) | (8 | ) | 7 | |||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||||||||
$ | 204 | $ | 240 | $ | (36 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
Interest Rate Swaps | ||||||||||||||||||||||||
Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount (Thousands) | Value ($ Thousands) | Upfront Payments/ Receipts($Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||||||
1.596 | 6-MONTH GBP - LIBOR | Semi | 12/01/2046 | GBP | 254 | $ | 5 | $ | – | $ | 5 | |||||||||||||
1.556 | 6-MONTH GBP - LIBOR | Semi | 11/29/2046 | GBP | 520 | 18 | – | 18 | ||||||||||||||||
6-MONTH HUF -BUBOR | 3.78% | Semi | 07/25/2027 | HUF | 245,010 | 13 | – | 13 | ||||||||||||||||
1.41% | 6-MONTH GBP - LIBOR | Semi | 08/04/2067 | GBP | 393 | 18 | – | 18 | ||||||||||||||||
1.370 | 6-MONTH GBP - LIBOR | Semi | 01/05/2067 | GBP | 500 | 40 | – | 40 | ||||||||||||||||
1.440 | 6-MONTH GBP - LIBOR | Semi | 01/05/2047 | GBP | 572 | 45 | – | 45 | ||||||||||||||||
28-DAY MXN - TIIE | 7.275% | Monthly | 05/26/2027 | MXN | 11,856 | 10 | – | 10 | ||||||||||||||||
1-DAY BRL - CETIP | 9.38% | Annual | 01/04/2021 | BRL | 4,871 | 28 | – | 28 | ||||||||||||||||
1-DAY BRL - CETIP | 9.94% | Annual | 01/04/2021 | BRL | 3,083 | 34 | – | 34 | ||||||||||||||||
6-MONTH HUF -BUBOR | 3.87% | Semi | 07/12/2027 | HUF | 170,211 | 12 | – | 12 | ||||||||||||||||
28-DAY MXN - TIIE | 7.30% | Monthly | 05/26/2027 | MXN | 11,855 | 12 | – | 12 | ||||||||||||||||
28-DAY MXN - TIIE | 6.815% | Monthly | 07/15/2022 | MXN | 19,231 | 1 | – | 1 | ||||||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||||||||
$ | 236 | $ | – | $ | 236 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
Percentages are based on Net Assets of $512,887 ($ Thousands). |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Security, or a portion thereof, has been pledged as collateral on securities sold short. |
(B) | Security is a Master Limited Partnership. At September 30, 2017, such securities amounted to $378 ($ Thousands), or 0.1% of the net assets of the Fund (See Note 2). |
(C) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2017, the value of these securities amounted to $12,457 ($ Thousands), representing 2.4% of the Net Assets of the Fund. |
(D) | Step Bonds – The rate reflected on the Schedule of Investments is the effective yield on September 30, 2017. The coupon on a step bond changes on a specified date. |
(E) | Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase. |
(F) | Level 3 security in accordance with fair value hierarchy. |
(G) | Security is in default on interest payment. |
(H) | Unsettled bank loan. Interest rate not available. |
(I) | Refer to table below for details on Options Contracts. |
ADR — American Depositary Receipt
BRL — Brazilian Real
Cl — Class
CNH — Chinese Yuan Offshore
CZK — Czech Koruna
EGP — Egyptian Pound
ETF — Exchange Traded Fund
EUR — Euro
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GBP — British Pound Sterling
GO — General Obligation
HUF —Hungarian Forint
ICE— Intercontinental Exchange
INR — Indian Rupee
KRW — Korean Won
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
LP — Limited Partnership
Ltd. — Limited
240 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
MTN — Medium Term Note
MXN — Mexican Peso
OTC — Over-the-counter
PIK — Payment-in-Kind
PLC — Public Limited Company
Pty — Proprietary
RB — Revenue Bond
RUB — Russian Ruble
S&P — Standard & Poor’s
Ser — Series
SPDR — S&P Depository Receipts
TRY — Turkish Lira
USD — United States Dollar
VAR — Variable Rate
ZAR — South African Rand
Investments in Securities | Level 1 | Level 2 | Level 3^ | Total | ||||||||||||
Common Stock | $ | 193,695 | $ | – | $ | – | $ | 193,695 | ||||||||
Registered Investment | ||||||||||||||||
Companies | 162,644 | – | – | 162,644 | ||||||||||||
Corporate Obligations | – | 26,640 | – | 26,640 | ||||||||||||
Sovereign Debt | – | 20,136 | – | 20,136 | ||||||||||||
Loan Participations | – | 9,906 | 833 | 10,739 | ||||||||||||
Preferred Stock | 840 | – | – | 840 | ||||||||||||
Convertible Bonds | – | 702 | – | 702 | ||||||||||||
Municipal Bonds | – | 647 | – | 647 | ||||||||||||
Government Agency Obligation | – | 617 | – | 617 | ||||||||||||
U.S. Treasury Obligation | – | 12,987 | – | 12,987 | ||||||||||||
Cash Equivalent | 79,354 | – | – | 79,354 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities | $ | 436,533 | $ | 71,635 | $ | 833 | $ | 509,001 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Securities Sold Short | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | (100,680 | ) | $ | – | $ | – | $ | (100,680 | ) | ||||||
Exchange Traded Funds | (14,656 | ) | – | – | (14,656 | ) | ||||||||||
Preferred Stock | (1,515 | ) | – | – | (1,515 | ) | ||||||||||
Right | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Securities Sold Short | $ | (116,851 | ) | $ | – | $ | – | $ | (116,851 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Options | $ | 223 | $ | — | $ | — | $ | 223 | ||||||||
Written Options | (30 | ) | — | — | (30 | ) | ||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | 78 | — | — | 78 | ||||||||||||
Unrealized Depreciation | (11 | ) | — | — | (11 | ) | ||||||||||
Forwards Contracts * | ||||||||||||||||
Unrealized Appreciation | — | 359 | — | 359 | ||||||||||||
Unrealized Depreciation | — | (159 | ) | — | (159 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Credit Default Swaps * | ||||||||||||||||
Unrealized Appreciation | — | 23 | — | 23 | ||||||||||||
Cross Currency Swaps * | ||||||||||||||||
Unrealized Depreciation | — | (16 | ) | — | (16 | ) | ||||||||||
Total Return Swaps * | ||||||||||||||||
Unrealized Appreciation | — | 295 | — | 295 | ||||||||||||
Unrealized Depreciation | — | (259 | ) | — | (259 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Credit Default Swaps * | ||||||||||||||||
Unrealized Appreciation | — | 210 | — | 210 | ||||||||||||
Unrealized Depreciation | — | (246 | ) | — | (246 | ) | ||||||||||
Interest Rate Swaps * | ||||||||||||||||
Unrealized Appreciation | — | 236 | — | 236 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Other Financial Instruments | $ | 260 | $ | 443 | $ | ��� | $ | 703 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
^ A reconciliation of Level 3 investments and disclosures of significant unobservable inputs are presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to Net Assets. Management has concluded that Level 3 investments are not material in relation to Net Assets.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 $0.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Institutional Managed Trust Long/Short Alternative Fund, CI Y | $41,767 | $— | $(11,000) | $(147) | $3,732 | $34,352 | $1 | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 94,332 | 556,122 | (571,100) | — | — | 79,354 | 425 | |||||||||||||||||||||
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| ||||||||
Totals | $136,099 | $556,122 | $(582,100) | $(147) | $3,732 | $113,706 | $426 | |||||||||||||||||||||
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|
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 241 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Accumulation Fund
†Percentages are based on total investments.
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 48.6% |
| |||||||
U.S. Treasury Bills | ||||||||
1.161%, 01/25/2018 (A)(B) | $ | 25,081 | $ | 24,997 | ||||
1.146%, 03/15/2018 (A)(B) | 16,505 | 16,418 | ||||||
1.137%, 02/01/2018 (A)(B) | 109,007 | 108,614 | ||||||
1.136%, 01/04/2018 (A)(B) | 1,805 | 1,800 | ||||||
1.121%, 03/08/2018 (A)(B) | 4,826 | 4,802 | ||||||
1.116%, 12/28/2017 (B) | 13,942 | 13,907 | ||||||
1.115%, 03/01/2018 (A)(B) | 4,405 | 4,384 | ||||||
1.106%, 12/14/2017 (B) | 35,016 | 34,948 | ||||||
1.102%, 01/18/2018 (B) | 412,459 | 411,209 | ||||||
1.062%, 11/30/2017 (A)(B) | 63,636 | 63,533 | ||||||
1.056%, 11/24/2017 (A)(B) | 27,432 | 27,392 | ||||||
1.049%, 12/07/2017 (A)(B)(E) | 163,909 | 163,613 | ||||||
1.025%, 11/16/2017 (A)(B) | 25,679 | 25,648 | ||||||
0.980%, 11/02/2017 (A)(B) | 4,634 | 4,630 | ||||||
0.958%, 10/26/2017 (A)(B) | 7,490 | 7,485 | ||||||
0.914%, 10/05/2017 (A)(B) | 9,887 | 9,887 | ||||||
U.S. Treasury Inflation Protected Securities |
| |||||||
3.875%, 04/15/2029 | 2,114 | 2,876 | ||||||
3.625%, 04/15/2028 | 852 | 1,115 | ||||||
3.375%, 04/15/2032 | 2,069 | 2,852 | ||||||
2.500%, 01/15/2029 | 2,116 | 2,554 | ||||||
2.375%, 01/15/2025 | 3,206 | 3,663 | ||||||
2.375%, 01/15/2027 | 789 | 922 | ||||||
2.125%, 01/15/2019 | 4,332 | 4,467 | ||||||
2.125%, 02/15/2041 | 1,192 | 1,508 | ||||||
2.000%, 01/15/2026 | 2,571 | 2,892 | ||||||
1.875%, 07/15/2019 | 1,724 | 1,796 | ||||||
1.750%, 01/15/2028 | 1,138 | 1,274 | ||||||
1.375%, 07/15/2018 | 454 | 461 | ||||||
1.375%, 01/15/2020 | 2,686 | 2,782 | ||||||
1.375%, 02/15/2044 | 1,050 | 1,159 | ||||||
1.250%, 07/15/2020 | 3,203 | 3,338 | ||||||
1.125%, 01/15/2021 | 2,050 | 2,132 | ||||||
1.000%, 02/15/2046 | 3,099 | 3,144 | ||||||
0.750%, 02/15/2042 | 1,571 | 1,518 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS (continued) |
| |||||||
0.750%, 02/15/2045 | $ 780 | $ | 744 | |||||
0.625%, 07/15/2021 | 2,368 | 2,434 | ||||||
0.625%, 01/15/2024 | 10,806 | 11,034 | ||||||
0.625%, 01/15/2026 | 40,672 | 41,222 | ||||||
0.625%, 02/15/2043 | 2,928 | 2,736 | ||||||
0.375%, 07/15/2023 | 2,577 | 2,611 | ||||||
0.375%, 07/15/2025 | 32,123 | 32,127 | ||||||
0.250%, 01/15/2025 (E) | 2,377 | 2,353 | ||||||
0.125%, 04/15/2018 | 1,535 | 1,536 | ||||||
0.125%, 04/15/2019 | 3,134 | 3,146 | ||||||
0.125%, 04/15/2020 | 96,706 | 97,180 | ||||||
0.125%, 04/15/2021 | 106,577 | 106,910 | ||||||
0.125%, 01/15/2022 | 1,839 | 1,844 | ||||||
0.125%, 07/15/2022 | 2,076 | 2,086 | ||||||
0.125%, 01/15/2023 | 1,750 | 1,745 | ||||||
0.125%, 07/15/2024 | 1,546 | 1,531 | ||||||
0.125%, 07/15/2026 | 41,972 | 40,814 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 1,315,773 |
| |||||
|
| |||||||
SOVEREIGN DEBT — 15.1% |
| |||||||
African Development Bank | ||||||||
2.375%, 09/23/2021 (A) | 1,250 | 1,270 | ||||||
1.375%, 02/12/2020 (A) | 1,250 | 1,240 | ||||||
1.250%, 07/26/2021 (A) | 1,250 | 1,218 | ||||||
1.125%, 03/04/2019 (A) | 1,500 | 1,491 | ||||||
1.125%, 09/20/2019 | 1,000 | 989 | ||||||
Andina de Fomento | ||||||||
4.375%, 06/15/2022 | 250 | 270 | ||||||
Asian Development Bank MTN | ||||||||
2.625%, 01/12/2027 | 750 | 760 | ||||||
2.000%, 04/24/2026 | 500 | 483 | ||||||
1.750%, 01/10/2020 (A) | 1,000 | 1,001 | ||||||
1.625%, 08/26/2020 | 1,000 | 996 | ||||||
1.500%, 01/22/2020 (A) | 1,000 | 996 | ||||||
1.375%, 01/15/2019 (A) | 1,000 | 998 | ||||||
1.375%, 03/23/2020 (A) | 1,000 | 993 | ||||||
1.000%, 08/16/2019 | 1,000 | 988 | ||||||
Bundesrepublik Deutschland Bundesobligation Inflation Linked Bond | ||||||||
0.750%, 04/15/2018 | EUR 218 | 260 | ||||||
Canada Government International Bond | ||||||||
1.625%, 02/27/2019 | $ 2,250 | 2,254 | ||||||
1.125%, 03/19/2018 (A) | 1,000 | 999 | ||||||
Chile Government International Bond | ||||||||
3.875%, 08/05/2020 | 250 | 263 | ||||||
Council of Europe Development Bank | ||||||||
1.875%, 01/27/2020 (A) | 1,000 | 1,004 | ||||||
1.750%, 11/14/2019 | 1,000 | 1,001 | ||||||
1.625%, 03/16/2021 | 500 | 495 |
242 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
SOVEREIGN DEBT (continued) | ||||||||
Deutsche Bundesrepublik Inflation Linked Bond | ||||||||
1.750%, 04/15/2020 | EUR | 3,700 | $ | 4,751 | ||||
0.500%, 04/15/2030 | 5,541 | 7,506 | ||||||
0.100%, 04/15/2023 | 28,561 | 36,448 | ||||||
0.100%, 04/15/2026 | 37,661 | 48,938 | ||||||
0.100%, 04/15/2046 | 728 | 970 | ||||||
European Bank for Reconstruction & Development MTN | ||||||||
2.125%, 03/07/2022 | $ | 250 | 251 | |||||
2.000%, 02/01/2021 (A) | 1,000 | 1,003 | ||||||
1.750%, 06/14/2019 | 1,000 | 999 | ||||||
1.750%, 11/26/2019 | 1,000 | 1,000 | ||||||
1.625%, 11/15/2018 (A) | 1,000 | 1,000 | ||||||
1.625%, 05/05/2020 | 500 | 498 | ||||||
1.500%, 03/16/2020 | 250 | 249 | ||||||
European Investment Bank | ||||||||
4.875%, 02/15/2036 | 250 | 323 | ||||||
4.000%, 02/16/2021 (A) | 1,000 | 1,068 | ||||||
3.250%, 01/29/2024 | 750 | 792 | ||||||
2.250%, 03/15/2022 | 750 | 757 | ||||||
2.125%, 10/15/2021 | 1,000 | 1,005 | ||||||
2.125%, 04/13/2026 | 500 | 488 | ||||||
2.000%, 03/15/2021 | 500 | 502 | ||||||
1.625%, 12/15/2020 | 1,000 | 993 | ||||||
1.375%, 06/15/2020 | 750 | 743 | ||||||
1.000%, 12/15/2017 | 150 | 150 | ||||||
Export Development Canada | ||||||||
2.000%, 05/17/2022 (A) | 1,500 | 1,495 | ||||||
1.750%, 08/19/2019 | 500 | 501 | ||||||
1.750%, 07/21/2020 (A) | 1,000 | 1,000 | ||||||
1.625%, 01/17/2020 | 250 | 250 | ||||||
1.625%, 06/01/2020 (A) | 1,000 | 997 | ||||||
1.500%, 10/03/2018 | 500 | 500 | ||||||
1.500%, 05/26/2021 | 1,000 | 985 | ||||||
1.375%, 10/21/2021 | 500 | 488 | ||||||
1.000%, 11/01/2018 (A) | 2,000 | 1,988 | ||||||
0.750%, 12/15/2017 | 750 | 749 | ||||||
FMS Wertmanagement AoeR | ||||||||
1.750%, 01/24/2020 | 500 | 500 | ||||||
1.750%, 03/17/2020 | 500 | 500 | ||||||
1.250%, 07/30/2018 (A) | 1,000 | 998 | ||||||
1.000%, 11/21/2017 | 950 | 950 | ||||||
France Government Bond OAT | ||||||||
3.400%, 07/25/2029 | EUR | 879 | 1,538 | |||||
3.150%, 07/25/2032 | 1,990 | 3,616 | ||||||
2.250%, 07/25/2020 | 2,514 | 3,319 | ||||||
2.100%, 07/25/2023 | 1,400 | 1,985 | ||||||
2.100%, 07/25/2023 | 1,091 | 1,547 | ||||||
1.850%, 07/25/2027 | 7,307 | 10,850 | ||||||
1.800%, 07/25/2040 | 2,412 | 4,121 | ||||||
1.300%, 07/25/2019 | 245 | 307 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
SOVEREIGN DEBT (continued) | ||||||||
1.100%, 07/25/2022 | EUR | 1,246 | $ | 1,662 | ||||
1.100%, 07/25/2022 | 23,515 | 31,350 | ||||||
0.700%, 07/25/2030 (C) | 1,633 | 2,212 | ||||||
0.250%, 07/25/2018 | 1,599 | 1,934 | ||||||
0.250%, 07/25/2024 | 2,915 | 3,777 | ||||||
0.250%, 07/25/2024 | 167 | 216 | ||||||
0.100%, 03/01/2021 | 2,051 | 2,568 | ||||||
0.100%, 07/25/2021 | 6,571 | 8,242 | ||||||
0.100%, 03/01/2025 | 8,246 | 10,463 | ||||||
Inter-American Development Bank MTN | ||||||||
7.000%, 06/15/2025 | $ | 500 | 641 | |||||
3.875%, 09/17/2019 | 350 | 365 | ||||||
3.000%, 10/04/2023 | 250 | 261 | ||||||
3.000%, 02/21/2024 | 250 | 260 | ||||||
2.125%, 11/09/2020 | 250 | 252 | ||||||
2.000%, 06/02/2026 | 500 | 483 | ||||||
1.875%, 06/16/2020 (A) | 1,000 | 1,002 | ||||||
1.875%, 03/15/2021 | 500 | 500 | ||||||
1.750%, 10/15/2019 | 1,000 | 1,002 | ||||||
1.625%, 05/12/2020 | 500 | 499 | ||||||
1.125%, 09/12/2019 | 1,000 | 989 | ||||||
International Bank for Reconstruction & Development | ||||||||
4.750%, 02/15/2035 | 250 | 313 | ||||||
2.250%, 06/24/2021 | 1,000 | 1,012 | ||||||
2.000%, 01/26/2022 | 500 | 500 | ||||||
1.875%, 03/15/2019 | 1,000 | 1,005 | ||||||
1.625%, 03/09/2021 | 1,000 | 993 | ||||||
International Finance MTN | ||||||||
2.125%, 11/17/2017 | 750 | 751 | ||||||
2.125%, 04/07/2026 (A) | 1,750 | 1,712 | ||||||
1.750%, 09/04/2018 | 200 | 200 | ||||||
1.625%, 07/16/2020 (A) | 1,000 | 997 | ||||||
Italy Buoni Poliennali Del Tesoro | ||||||||
3.100%, 09/15/2026 | EUR | 1,196 | 1,695 | |||||
2.600%, 09/15/2023 | 2,304 | 3,130 | ||||||
2.550%, 09/15/2041 | 980 | 1,346 | ||||||
2.350%, 09/15/2019 | 2,269 | 2,875 | ||||||
2.350%, 09/15/2024 (C) | 1,133 | 1,513 | ||||||
2.350%, 09/15/2035 | 2,456 | 3,374 | ||||||
2.100%, 09/15/2021 | 1,499 | 1,962 | ||||||
1.700%, 09/15/2018 | 933 | 1,139 | ||||||
1.700%, 09/15/2018 | 104 | 127 | ||||||
1.250%, 09/15/2032 (C) | 2,000 | 2,350 | ||||||
Korea Development Bank | ||||||||
4.625%, 11/16/2021 | $ | 250 | 268 | |||||
Korea International Bond | ||||||||
2.750%, 01/19/2027 | 1,000 | 970 | ||||||
Nordic Investment Bank MTN | ||||||||
2.125%, 02/01/2022 | 750 | 753 | ||||||
1.500%, 09/29/2020 | 1,000 | 992 | ||||||
1.125%, 03/19/2018 | 1,000 | 998 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 243 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Accumulation Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
SOVEREIGN DEBT (continued) | ||||||||
1.125%, 02/25/2019 | $ | 500 | $ | 497 | ||||
0.750%, 01/17/2018 | 200 | 200 | ||||||
North American Development Bank | ||||||||
2.400%, 10/26/2022 | 200 | 199 | ||||||
Province of British Columbia Canada | ||||||||
6.500%, 01/15/2026 | 250 | 314 | ||||||
2.650%, 09/22/2021 (A) | 1,000 | 1,023 | ||||||
2.000%, 10/23/2022 | 250 | 247 | ||||||
Province of Manitoba Canada | ||||||||
3.050%, 05/14/2024 | 250 | 258 | ||||||
2.125%, 05/04/2022 | 250 | 248 | ||||||
Province of Ontario Canada | ||||||||
4.000%, 10/07/2019 | 500 | 521 | ||||||
2.450%, 06/29/2022 | 250 | 252 | ||||||
2.400%, 02/08/2022 | 750 | 756 | ||||||
2.000%, 01/30/2019 | 500 | 502 | ||||||
1.875%, 05/21/2020 | 500 | 500 | ||||||
Province of Quebec Canada | ||||||||
7.500%, 09/15/2029 | 200 | 285 | ||||||
2.875%, 10/16/2024 | 250 | 257 | ||||||
2.500%, 04/20/2026 | 750 | 743 | ||||||
Svensk Exportkredit MTN | ||||||||
1.750%, 03/10/2021 (A) | 1,000 | 993 | ||||||
United Kingdom Gilt Inflation Linked | ||||||||
4.125%, 07/22/2030 | GBP | 1,000 | 4,870 | |||||
2.500%, 04/16/2020 | 429 | 2,115 | ||||||
2.500%, 07/17/2024 | 340 | 1,664 | ||||||
2.000%, 01/26/2035 | 932 | 3,304 | ||||||
1.875%, 11/22/2022 | 1,592 | 2,615 | ||||||
1.250%, 11/22/2017 | 211 | 286 | ||||||
1.250%, 11/22/2027 | 1,406 | 2,507 | ||||||
1.250%, 11/22/2032 | 721 | 1,441 | ||||||
1.250%, 11/22/2055 | 1,616 | 5,179 | ||||||
1.125%, 11/22/2037 | 1,053 | 2,303 | ||||||
0.750%, 03/22/2034 | 999 | 1,923 | ||||||
0.750%, 11/22/2047 | 854 | 2,112 | ||||||
0.625%, 03/22/2040 | 1,853 | 3,930 | ||||||
0.625%, 11/22/2042 | 1,317 | 2,931 | ||||||
0.500%, 03/22/2050 | 1,343 | 3,281 | ||||||
0.375%, 03/22/2062 | 1,091 | 3,209 | ||||||
0.250%, 03/22/2052 | 1,127 | 2,683 | ||||||
0.125%, 03/22/2024 | 25,779 | 39,626 | ||||||
0.125%, 03/22/2026 | 18,388 | 28,910 | ||||||
0.125%, 03/22/2029 | 1,149 | 1,885 | ||||||
0.125%, 03/22/2044 | 4,503 | 9,192 | ||||||
0.125%, 03/22/2058 | 1,280 | 3,252 | ||||||
0.125%, 11/22/2065 | 750 | 2,175 | ||||||
0.125%, 03/22/2068 | 437 | 1,328 | ||||||
|
| |||||||
Total Sovereign Debt | 409,756 | |||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
FOREIGN COMMON STOCK — 4.4% | ||||||||
Australia — 0.3% | ||||||||
AGL Energy | 25,712 | $ | 471 | |||||
Amcor | 3,900 | 46 | ||||||
APA Group | 46,575 | 305 | ||||||
Aristocrat Leisure | 11,728 | 193 | ||||||
ASX | 2,472 | 102 | ||||||
Aurizon Holdings | 21,309 | 82 | ||||||
AusNet Services | 264,595 | 351 | ||||||
BHP Billiton | 5,561 | 112 | ||||||
Brambles | 9,655 | 68 | ||||||
Caltex Australia | 19,918 | 502 | ||||||
CIMIC Group | 4,686 | 163 | ||||||
Coca-Cola Amatil | 19,358 | 117 | ||||||
Cochlear | 2,349 | 293 | ||||||
Computershare | 58,392 | 663 | ||||||
Crown Resorts | 10,576 | 94 | ||||||
CSL | 3,069 | 323 | ||||||
Domino’s Pizza Enterprises | 2,369 | 85 | ||||||
Fortescue Metals Group | 27,506 | 111 | ||||||
Harvey Norman Holdings | 38,002 | 116 | ||||||
Healthscope | 82,236 | 108 | ||||||
Incitec Pivot | 29,314 | 83 | ||||||
Insurance Australia Group | 17,664 | 88 | ||||||
LendLease Group | 3,959 | 56 | ||||||
Oil Search | 43,422 | 238 | ||||||
Origin Energy * | 40,531 | 238 | ||||||
Qantas Airways | 25,771 | 118 | ||||||
Ramsay Health Care | 5,073 | 248 | ||||||
REA Group | 2,602 | 137 | ||||||
Scentre Group ‡ | 11,668 | 36 | ||||||
SEEK | 7,445 | 97 | ||||||
Sonic Healthcare | 16,500 | 271 | ||||||
South32 | 36,210 | 93 | ||||||
Sydney Airport | 20,066 | 112 | ||||||
Tabcorp Holdings | 34,462 | 115 | ||||||
Tatts Group | 44,420 | 139 | ||||||
Telstra, Cl B | 151,094 | 414 | ||||||
TPG Telecom | 73,247 | 280 | ||||||
Transurban Group | 13,849 | 129 | ||||||
Treasury Wine Estates | 30,987 | 333 | ||||||
Vicinity Centres ‡ | 28,772 | 60 | ||||||
Wesfarmers | 4,028 | 131 | ||||||
Westfield ‡ | 9,207 | 57 | ||||||
Westpac Banking | 2,441 | 61 | ||||||
Woodside Petroleum | 6,856 | 156 | ||||||
Woolworths | 9,620 | 190 | ||||||
|
| |||||||
8,185 | ||||||||
|
| |||||||
Austria — 0.1% | ||||||||
Andritz | 3,371 | 195 | ||||||
Erste Group Bank * | 4,076 | 176 | ||||||
OMV | 9,074 | 529 |
244 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Raiffeisen Bank International * | 6,043 | $ | 202 | |||||
voestalpine | 5,195 | 265 | ||||||
|
|
| ||||||
1,367 | ||||||||
|
|
| ||||||
Belgium — 0.1% | ||||||||
Ageas | 2,714 | 127 | ||||||
Anheuser-Busch InBev | 2,858 | 342 | ||||||
Colruyt | 6,336 | 325 | ||||||
Groupe Bruxelles Lambert | 357 | 37 | ||||||
KBC Group | 1,942 | 165 | ||||||
Proximus SADP | 13,839 | 477 | ||||||
Solvay | 1,290 | 193 | ||||||
Telenet Group Holding * | 6,800 | 450 | ||||||
UCB, Cl A | 6,939 | 494 | ||||||
Umicore | 4,213 | 349 | ||||||
|
|
| ||||||
2,959 | ||||||||
|
|
| ||||||
Canada — 0.4% | ||||||||
Alimentation Couche-Tard, Cl B | 5,390 | 245 | ||||||
Atco, Cl I | 8,416 | 308 | ||||||
Bank of Montreal | 518 | 39 | ||||||
Bank of Nova Scotia, Cl C | 1,590 | 102 | ||||||
Barrick Gold | 4,739 | 76 | ||||||
BCE | 9,904 | 463 | ||||||
BlackBerry * | 20,413 | 228 | ||||||
Bombardier, Cl B * | 74,372 | 134 | ||||||
CAE | 9,180 | 160 | ||||||
Canadian National Railway | 2,192 | 181 | ||||||
Canadian Natural Resources | 4,257 | 142 | ||||||
Canadian Pacific Railway | 641 | 107 | ||||||
Canadian Tire, Cl A | 1,352 | 168 | ||||||
Canadian Utilities, Cl A | 11,282 | 350 | ||||||
CGI Group, Cl A * | 6,993 | 362 | ||||||
CI Financial | 3,354 | 73 | ||||||
Constellation Software | 636 | 346 | ||||||
Crescent Point Energy, Cl F | 4,916 | 39 | ||||||
Dollarama | 2,451 | 268 | ||||||
Emera | 5,208 | 197 | ||||||
Empire, Cl A | 15,307 | 270 | ||||||
Enbridge | 2,263 | 94 | ||||||
Encana | 8,974 | 105 | ||||||
Fairfax Financial Holdings | 200 | 104 | ||||||
Finning International | 7,855 | 179 | ||||||
First Capital Realty | 4,150 | 65 | ||||||
First Quantum Minerals (Canada) | 2,143 | 24 | ||||||
Fortis | 11,814 | 423 | ||||||
Franco-Nevada | 1,000 | 77 | ||||||
George Weston | 2,265 | 197 | ||||||
Gildan Activewear | 6,126 | 191 | ||||||
H&R ‡ | 4,787 | 83 | ||||||
Hydro One (C) | 9,377 | 170 | ||||||
Imperial Oil | 2,707 | 86 |
Description | Shares | Market Value ($ Thousands) | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Intact Financial | 1,580 | $ | 130 | |||||
Jean Coutu Group PJC, Cl A | 14,642 | 285 | ||||||
Loblaw | 4,092 | 223 | ||||||
Magna International, Cl A | 2,438 | 130 | ||||||
Methanex | 1,070 | 54 | ||||||
Metro, Cl A | 7,776 | 267 | ||||||
National Bank of Canada | 870 | 42 | ||||||
Open Text | 9,748 | 314 | ||||||
Potash Corp of Saskatchewan | 2,157 | 42 | ||||||
PrairieSky Royalty | 2,615 | 67 | ||||||
Restaurant Brands International | 2,608 | 166 | ||||||
RioCan ‡ | 3,430 | 66 | ||||||
Rogers Communications, Cl B | 7,402 | 381 | ||||||
Royal Bank of Canada | 1,066 | 82 | ||||||
Saputo | 7,448 | 257 | ||||||
Shaw Communications, Cl B | 7,879 | 181 | ||||||
Shopify * | 1,760 | 204 | ||||||
SNC-Lavalin Group | 1,669 | 75 | ||||||
Suncor Energy | 2,894 | 101 | ||||||
Teck Resources, Cl B | 2,423 | 51 | ||||||
TELUS | 10,607 | 381 | ||||||
Thomson Reuters, Cl B | 3,166 | 145 | ||||||
Toronto-Dominion Bank | 1,857 | 104 | ||||||
TransCanada | 2,000 | 99 | ||||||
Turquoise Hill Resources * | 6,748 | 21 | ||||||
Valeant Pharmaceuticals International * | 19,715 | 282 | ||||||
Vermilion Energy | 2,483 | 88 | ||||||
Wheaton Precious Metals | 2,275 | 43 | ||||||
|
|
| ||||||
10,337 | ||||||||
|
|
| ||||||
Chile — 0.0% | ||||||||
Antofagasta | 8,667 | 110 | ||||||
|
|
| ||||||
China — 0.0% | ||||||||
Sands China | 18,800 | 98 | ||||||
Yangzijiang Shipbuilding Holdings | 175,548 | 185 | ||||||
|
|
| ||||||
283 | ||||||||
|
|
| ||||||
Denmark — 0.2% | ||||||||
AP Moller - Maersk, Cl A | 102 | 188 | ||||||
AP Moller - Maersk, Cl B | 99 | 188 | ||||||
Carlsberg, Cl B | 3,461 | 379 | ||||||
Chr Hansen Holding | 4,349 | 373 | ||||||
Coloplast, Cl B | 3,496 | 284 | ||||||
Danske Bank | 6,879 | 275 | ||||||
DONG Energy (C) | 7,632 | 437 | ||||||
Genmab * | 996 | 220 | ||||||
Novo Nordisk, Cl B | 5,821 | 278 | ||||||
Novozymes, Cl B | 7,255 | 372 | ||||||
Pandora | 2,136 | 211 | ||||||
TDC | 79,788 | 468 | ||||||
Tryg | 10,215 | 236 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 245 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Accumulation Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Vestas Wind Systems | 1,356 | $ | 122 | |||||
William Demant Holding * | 13,916 | 367 | ||||||
|
|
| ||||||
4,398 | ||||||||
|
|
| ||||||
Finland — 0.1% | ||||||||
Elisa | 10,422 | 449 | ||||||
Fortum | 21,754 | 434 | ||||||
Kone, Cl B | 2,993 | 158 | ||||||
Metso | 2,878 | 106 | ||||||
Neste | 18,237 | 797 | ||||||
Nokia | 58,083 | 349 | ||||||
Nokian Renkaat | 5,363 | 238 | ||||||
Orion, Cl B | 9,382 | 435 | ||||||
Sampo, Cl A | 3,627 | 192 | ||||||
Stora Enso, Cl R | 16,819 | 238 | ||||||
UPM-Kymmene, Cl V | 9,046 | 245 | ||||||
Wartsila Abp | 2,318 | 164 | ||||||
|
|
| ||||||
3,805 | ||||||||
|
|
| ||||||
France — 0.3% | ||||||||
Accor | 875 | 44 | ||||||
Aeroports de Paris, Cl A | 373 | 60 | ||||||
Air Liquide | 1,030 | 137 | ||||||
Arkema | 1,313 | 161 | ||||||
Atos | 2,252 | 349 | ||||||
AXA | 1,932 | 59 | ||||||
Bouygues | 892 | 42 | ||||||
Bureau Veritas | 900 | 23 | ||||||
Capgemini | 2,596 | 304 | ||||||
Carrefour | 1,443 | 29 | ||||||
Christian Dior, Cl B | 506 | 162 | ||||||
CNP Assurances | 1,903 | 45 | ||||||
Credit Agricole | 5,388 | 98 | ||||||
Danone | 1,646 | 129 | ||||||
Dassault Systemes | 3,513 | 356 | ||||||
Electricite de France | 11,810 | 144 | ||||||
Engie | 13,671 | 232 | ||||||
Essilor International | 3,166 | 392 | ||||||
Eutelsat Communications | 1,501 | 45 | ||||||
Fonciere Des Regions ‡ | 434 | 45 | ||||||
Gecina ‡ | 699 | 113 | ||||||
Groupe Eurotunnel | 4,624 | 56 | ||||||
Hermes International | 96 | 48 | ||||||
ICADE ‡ | 512 | 46 | ||||||
Iliad | 1,128 | 300 | ||||||
Ingenico Group | 3,300 | 313 | ||||||
JCDecaux | 1,173 | 44 | ||||||
Kering | 389 | 155 | ||||||
Klepierre ‡ | 1,965 | 77 | ||||||
L’Oreal | 607 | 129 | ||||||
LVMH Moet Hennessy Louis Vuitton | 241 | 67 | ||||||
Natixis | 5,679 | 46 |
Description | Shares | Market Value ($ Thousands) | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Orange | 22,713 | $ | 372 | |||||
Pernod Ricard | 1,010 | 140 | ||||||
Remy Cointreau | 1,323 | 157 | ||||||
Renault | 450 | 44 | ||||||
Rexel | 3,641 | 63 | ||||||
Sanofi | 4,184 | 416 | ||||||
Schneider Electric * | 577 | 50 | ||||||
SCOR | 1,457 | 61 | ||||||
Societe BIC | 289 | 35 | ||||||
Societe Generale | 2,531 | 148 | ||||||
STMicroelectronics | 22,340 | 432 | ||||||
Suez | 14,785 | 270 | ||||||
Thales, Cl A | 1,344 | 152 | ||||||
TOTAL | 13,193 | 709 | ||||||
Valeo | 527 | 39 | ||||||
Veolia Environnement | 8,189 | 189 | ||||||
Vinci | 822 | 78 | ||||||
Vivendi | 5,328 | 135 | ||||||
Wendel | 681 | 110 | ||||||
|
|
| ||||||
7,850 | ||||||||
|
|
| ||||||
Germany — 0.3% | ||||||||
adidas | 861 | 195 | ||||||
Allianz | 347 | 78 | ||||||
BASF | 1,028 | 109 | ||||||
Bayer | 1,449 | 197 | ||||||
Beiersdorf | 1,696 | 183 | ||||||
Brenntag | 527 | 29 | ||||||
CECONOMY | 4,277 | 50 | ||||||
Commerzbank * | 5,497 | 75 | ||||||
Continental | 286 | 73 | ||||||
Covestro (C) | 1,507 | 130 | ||||||
Deutsche Bank | 2,043 | 35 | ||||||
Deutsche Boerse | 283 | 31 | ||||||
Deutsche Lufthansa | 5,273 | 147 | ||||||
Deutsche Post | 2,302 | 102 | ||||||
Deutsche Telekom | 20,670 | 386 | ||||||
Deutsche Wohnen | 1,750 | 74 | ||||||
E.ON | 26,305 | 298 | ||||||
Fraport Frankfurt Airport Services Worldwide | 1,521 | 144 | ||||||
Fresenius | 4,273 | 345 | ||||||
Fresenius Medical Care | 3,975 | 389 | ||||||
GEA Group | 1,568 | 71 | ||||||
Hannover Rueck | 619 | 75 | ||||||
HeidelbergCement | 879 | 90 | ||||||
Henkel & KGaA | 1,543 | 188 | ||||||
HUGO BOSS | 2,069 | 182 | ||||||
Infineon Technologies | 17,463 | 439 | ||||||
K+S | 2,963 | 81 | ||||||
LANXESS | 1,587 | 125 | ||||||
Linde | 488 | 102 | ||||||
MAN | 398 | 45 |
246 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Merck KGaA | 2,187 | $ | 243 | |||||
METRO * | 4,277 | 90 | ||||||
Muenchener Rueckversicherungs-Gesellschaft in Muenchen | 274 | 59 | ||||||
OSRAM Licht | 1,575 | 126 | ||||||
QIAGEN * | 7,696 | 242 | ||||||
RWE * | 14,159 | 322 | ||||||
SAP | 3,666 | 402 | ||||||
Siemens | 850 | 120 | ||||||
Symrise | 2,361 | 179 | ||||||
Telefonica Deutschland Holding | 49,505 | 278 | ||||||
thyssenkrupp | 3,604 | 107 | ||||||
TUI | 3,217 | 55 | ||||||
United Internet | 6,170 | 384 | ||||||
Volkswagen | 135 | 23 | ||||||
|
|
| ||||||
7,098 | ||||||||
|
|
| ||||||
Hong Kong — 0.2% | ||||||||
AIA Group | 13,800 | 102 | ||||||
ASM Pacific Technology | 51,400 | 740 | ||||||
BOC Hong Kong Holdings | 23,000 | 112 | ||||||
CK Asset Holdings ‡ | 5,708 | 47 | ||||||
CK Hutchison Holdings | 8,208 | 105 | ||||||
CK Infrastructure Holdings | 50,438 | 434 | ||||||
CLP Holdings, Cl B | 51,500 | 528 | ||||||
Galaxy Entertainment Group * | 6,000 | 42 | ||||||
HK Electric Investments & HK Electric Investments (C) | 352,000 | 321 | ||||||
HKT Trust and HKT | 327,920 | 398 | ||||||
Hong Kong & China Gas | 220,173 | 414 | ||||||
Hutchison Port Holdings, Cl U | 584,226 | 251 | ||||||
Kerry Properties | 13,000 | 54 | ||||||
Li & Fung | 672,000 | 337 | ||||||
Link ‡ | 13,500 | 109 | ||||||
MGM China Holdings | 30,000 | 72 | ||||||
MTR | 39,500 | 231 | ||||||
NWS Holdings | 90,000 | 175 | ||||||
PCCW | 785,000 | 425 | ||||||
Power Assets Holdings | 44,602 | 386 | ||||||
Shangri-La Asia | 82,000 | 152 | ||||||
SJM Holdings | 52,000 | 48 | ||||||
Swire Pacific, Cl A ‡ | 4,000 | 39 | ||||||
Swire Properties | 18,400 | 63 | ||||||
Techtronic Industries | 56,500 | 302 | ||||||
WH Group (C) | 412,500 | 438 | ||||||
Wynn Macau | 27,600 | 74 | ||||||
Yue Yuen Industrial Holdings | 68,500 | 261 | ||||||
|
|
| ||||||
6,660 | ||||||||
|
|
| ||||||
Ireland — 0.1% | ||||||||
Accenture, Cl A | 1,029 | 139 | ||||||
Bank of Ireland Group * | 29,648 | 243 |
Description | Shares | Market Value ($ Thousands) | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
CRH | 8,888 | $ | 339 | |||||
Eaton | 2,114 | 162 | ||||||
Kerry Group, Cl A | 5,639 | 542 | ||||||
Paddy Power Betfair | 3,752 | 375 | ||||||
Ryanair Holdings ADR * | 3,511 | 370 | ||||||
|
|
| ||||||
2,170 | ||||||||
|
|
| ||||||
Israel — 0.1% | ||||||||
Azrieli Group | 4,495 | 250 | ||||||
Bank Hapoalim | 29,177 | 204 | ||||||
Bank Leumi Le-Israel | 39,720 | 211 | ||||||
Bezeq The Israeli Telecommunication | 318,697 | 456 | ||||||
Check Point Software Technologies * | 3,822 | 436 | ||||||
Elbit Systems | 1,358 | 199 | ||||||
Frutarom Industries | 5,414 | 417 | ||||||
Israel Chemicals | 66,305 | 294 | ||||||
Mizrahi Tefahot Bank | 12,761 | 229 | ||||||
NICE-Systems | 6,158 | 491 | ||||||
|
|
| ||||||
3,187 | ||||||||
|
|
| ||||||
Italy — 0.2% | ||||||||
Assicurazioni Generali | 2,134 | 40 | ||||||
Atlantia | 3,095 | 98 | ||||||
CNH Industrial | 12,849 | 154 | ||||||
Enel | 67,914 | 409 | ||||||
Eni | 16,512 | 273 | ||||||
EXOR | 1,900 | 121 | ||||||
Ferrari | 2,608 | 288 | ||||||
Fiat Chrysler Automobiles * | 18,029 | 323 | ||||||
Leonardo-Finmeccanica | 10,324 | 193 | ||||||
Luxottica Group | 2,908 | 163 | ||||||
Mediobanca | 8,384 | 90 | ||||||
Prysmian | 5,661 | 191 | ||||||
Saipem * | 71,504 | 308 | ||||||
Snam Rete Gas | 114,066 | 550 | ||||||
Telecom Italia * | 511,570 | 425 | ||||||
Tenaris | 15,473 | 220 | ||||||
Terna Rete Elettrica Nazionale | 54,270 | 317 | ||||||
UnipolSai Assicurazioni | 31,346 | 73 | ||||||
|
|
| ||||||
4,236 | ||||||||
|
|
| ||||||
Japan — 0.6% | ||||||||
Aeon, Cl H | 5,800 | 86 | ||||||
Air Water | 5,000 | 92 | ||||||
Aisin Seiki * | 800 | 42 | ||||||
Ajinomoto | 7,000 | 137 | ||||||
ANA Holdings | 2,000 | 76 | ||||||
Aozora Bank | 3,100 | 118 | ||||||
Asahi Group Holdings | 2,800 | 113 | ||||||
Asahi Kasei | 9,000 | 111 | ||||||
Astellas Pharma | 10,800 | 137 | ||||||
Bank of Kyoto | 800 | 41 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 247 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Accumulation Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Calbee | 2,000 | $ | 70 | |||||
Canon | 2,600 | 89 | ||||||
Central Japan Railway | 400 | 70 | ||||||
Chubu Electric Power | 11,300 | 140 | ||||||
Chugai Pharmaceutical | 2,500 | 104 | ||||||
Chugoku Bank | 7,600 | 104 | ||||||
Chugoku Electric Power * | 17,500 | 186 | ||||||
Credit Saison | 5,700 | 118 | ||||||
Daicel | 3,800 | 46 | ||||||
Daito Trust Construction | 500 | 91 | ||||||
Daiwa House Industry | 3,000 | 104 | ||||||
Daiwa Securities Group | 18,000 | 102 | ||||||
Dentsu | 1,000 | 44 | ||||||
Eisai | 2,000 | 103 | ||||||
Electric Power Development | 6,100 | 153 | ||||||
FamilyMart UNY Holdings, Cl H | 2,600 | 137 | ||||||
Fast Retailing | 300 | 88 | ||||||
FUJIFILM Holdings | 3,100 | 120 | ||||||
Fukuoka Financial Group | 17,000 | 79 | ||||||
Hankyu Hanshin Holdings | 1,400 | 53 | ||||||
Hino Motors | 3,600 | 44 | ||||||
Hirose Electric | 840 | 118 | ||||||
Hiroshima Bank | 9,000 | 73 | ||||||
Hisamitsu Pharmaceutical | 2,500 | 120 | ||||||
Hitachi Chemical | 3,039 | 83 | ||||||
Idemitsu Kosan | 11,100 | 313 | ||||||
Inpex | 21,000 | 223 | ||||||
J Front Retailing | 3,000 | 41 | ||||||
Japan Prime Realty Investment, Cl A ‡ | 24 | 80 | ||||||
Japan Real Estate Investment ‡ | 16 | 77 | ||||||
Japan Retail Fund Investment, Cl A ‡ | 32 | 57 | ||||||
JXTG Holdings | 96,000 | 494 | ||||||
Kamigumi | 4,000 | 93 | ||||||
Kaneka | 12,000 | 93 | ||||||
Kansai Electric Power | 14,400 | 184 | ||||||
Kansai Paint | 3,000 | 75 | ||||||
Kao | 1,800 | 106 | ||||||
KDDI | 10,900 | 287 | ||||||
Keikyu | 2,000 | 41 | ||||||
Keio | 600 | 25 | ||||||
Kikkoman | 4,000 | 123 | ||||||
Kirin Holdings | 6,100 | 143 | ||||||
Konami Holdings | 2,056 | 99 | ||||||
Kyocera * | 1,500 | 93 | ||||||
Kyushu Electric Power | 14,300 | 152 | ||||||
Lawson | 1,200 | 79 | ||||||
LIXIL Group | 3,000 | 80 | ||||||
M3 * | 4,900 | 140 | ||||||
Marubeni | 5,000 | 34 | ||||||
Maruichi Steel Tube | 3,200 | 93 | ||||||
McDonald’s Holdings Japan | 1,723 | 76 | ||||||
Mebuki Financial Group | 19,230 | 74 |
Description | Shares | Market Value ($ Thousands) | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Medipal Holdings | 6,500 | $ | 113 | |||||
MEIJI Holdings | 2,000 | 158 | ||||||
Miraca Holdings | 2,800 | 130 | ||||||
Mitsubishi Chemical Holdings, Cl B * | 4,700 | 45 | ||||||
Mitsubishi Motors | 8,800 | 70 | ||||||
Mitsubishi Tanabe Pharma | 7,400 | 170 | ||||||
Mitsui Chemicals | 1,800 | 55 | ||||||
Mizuho Financial Group | 45,700 | 80 | ||||||
Murata Manufacturing | 500 | 73 | ||||||
NEC | 3,300 | 89 | ||||||
NGK Spark Plug | 2,600 | 55 | ||||||
NH Foods | 4,000 | 110 | ||||||
Nippon Building Fund ‡ | 13 | 65 | ||||||
Nippon Prologis ‡ | 36 | 76 | ||||||
Nippon Telegraph & Telephone | 8,400 | 385 | ||||||
Nisshin Seifun Group | 9,415 | 158 | ||||||
Nissin Food Products | 2,000 | 122 | ||||||
NOK | 1,500 | 34 | ||||||
Nomura Research Institute | 2,178 | 85 | ||||||
NTT Data | 10,000 | 107 | ||||||
NTT DOCOMO | 16,300 | 372 | ||||||
Odakyu Electric Railway | 1,500 | 28 | ||||||
Oji Holdings | 22,000 | 119 | ||||||
Ono Pharmaceutical | 5,600 | 127 | ||||||
Oracle Japan * | 1,900 | 149 | ||||||
Osaka Gas | 15,600 | 290 | ||||||
Otsuka Holdings | 3,400 | 135 | ||||||
Resona Holdings | 17,500 | 90 | ||||||
Ryohin Keikaku | 200 | 59 | ||||||
Sankyo | 2,500 | 80 | ||||||
Santen Pharmaceutical | 7,500 | 118 | ||||||
Sekisui Chemical | 3,000 | 59 | ||||||
Seven & i Holdings | 2,100 | 81 | ||||||
Seven Bank | 30,200 | 109 | ||||||
Shimadzu | 6,000 | 118 | ||||||
Shimizu | 3,000 | 33 | ||||||
Shin-Etsu Chemical, Cl A | 1,100 | 98 | ||||||
Shizuoka Bank | 12,000 | 108 | ||||||
Showa Shell Sekiyu | 29,300 | 337 | ||||||
SoftBank | 3,800 | 307 | ||||||
Subaru | 2,200 | 79 | ||||||
Sumitomo | 6,500 | 93 | ||||||
Sumitomo Rubber Industries | 3,400 | 62 | ||||||
Suntory Beverage & Food | 2,800 | 125 | ||||||
Suzuken | 2,760 | 98 | ||||||
Sysmex | 1,700 | 108 | ||||||
Taisei | 1,000 | 52 | ||||||
Taisho Pharmaceutical Holdings | 1,800 | 137 | ||||||
Takeda Pharmaceutical | 2,600 | 144 | ||||||
Teijin | 4,800 | 95 | ||||||
Terumo | 4,000 | 157 | ||||||
Tobu Railway | 3,400 | 93 |
248 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Toho | 1,600 | $ | 56 | |||||
Toho Gas | 6,813 | 199 | ||||||
Tohoku Electric Power | 8,400 | 107 | ||||||
Tokyo Electric Power Holdings * | 32,000 | 129 | ||||||
Tokyo Gas | 12,400 | 304 | ||||||
Tokyu | 2,000 | 28 | ||||||
Toray Industries | 10,000 | 97 | ||||||
TOTO | 1,000 | 42 | ||||||
Toyo Seikan Group Holdings | 1,900 | 32 | ||||||
Toyo Suisan Kaisha | 3,000 | 110 | ||||||
Toyota Industries | 1,900 | 109 | ||||||
Toyota Motor * | 1,700 | 101 | ||||||
Trend Micro * | 1,900 | 94 | ||||||
Unicharm | 4,900 | 112 | ||||||
United Urban Investment ‡ | 66 | 97 | ||||||
Yakult Honsha | 1,800 | 130 | ||||||
Yamaguchi Financial Group | 9,000 | 105 | ||||||
Yamato Holdings | 1,400 | 28 | ||||||
Yamazaki Baking | 5,000 | 90 | ||||||
|
|
| ||||||
14,977 | ||||||||
|
|
| ||||||
Luxembourg — 0.0% | ||||||||
RTL Group | 682 | 52 | ||||||
SES, Cl A | 1,713 | 37 | ||||||
|
|
| ||||||
89 | ||||||||
|
|
| ||||||
Netherlands — 0.2% | ||||||||
Aegon | 27,244 | 159 | ||||||
Akzo Nobel | 2,588 | 239 | ||||||
Altice * | 7,879 | 158 | ||||||
Altice, Cl B * | 11,055 | 221 | ||||||
ArcelorMittal * | 7,178 | 185 | ||||||
ASML Holding | 3,148 | 536 | ||||||
Coca-Cola European Partners | 2,967 | 124 | ||||||
Gemalto | 4,556 | 204 | ||||||
Heineken | 1,925 | 190 | ||||||
ING Groep | 10,046 | 185 | ||||||
Koninklijke Ahold Delhaize | 14,293 | 267 | ||||||
Koninklijke Boskalis Westminster | 1,861 | 65 | ||||||
Koninklijke DSM | 3,445 | 282 | ||||||
Koninklijke KPN | 91,067 | 313 | ||||||
Koninklijke Philips | 7,163 | 296 | ||||||
Koninklijke Vopak | 12,357 | 542 | ||||||
LyondellBasell Industries, Cl A | 3,960 | 392 | ||||||
NN Group | 3,780 | 158 | ||||||
NXP Semiconductors * | 2,141 | 242 | ||||||
Randstad Holding | 1,641 | 102 | ||||||
RELX | 10,973 | 234 | ||||||
Unibail-Rodamco ‡ | 139 | 34 | ||||||
Unilever | 3,312 | 196 |
Description | Shares | Market Value ($ Thousands) | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Wolters Kluwer | 4,597 | $ | 212 | |||||
|
|
| ||||||
5,536 | ||||||||
|
|
| ||||||
New Zealand — 0.1% | ||||||||
Auckland International Airport | 59,637 | 277 | ||||||
Contact Energy | 79,201 | 315 | ||||||
Fletcher Building | 46,704 | 270 | ||||||
Mercury NZ | 112,969 | 277 | ||||||
Meridian Energy | 170,649 | 351 | ||||||
Ryman Healthcare | 58,689 | 393 | ||||||
Spark New Zealand | 147,825 | 390 | ||||||
|
|
| ||||||
2,273 | ||||||||
|
|
| ||||||
Norway — 0.1% | ||||||||
DNB, Cl A | 9,226 | 186 | ||||||
Gjensidige Forsikring | 10,608 | 185 | ||||||
Marine Harvest * | 13,283 | 263 | ||||||
Norsk Hydro | 51,688 | 376 | ||||||
Orkla | 30,555 | 313 | ||||||
Schibsted, Cl A | 5,700 | 147 | ||||||
Schibsted, Cl B | 7,617 | 180 | ||||||
Statoil | 26,354 | 527 | ||||||
Telenor | 22,751 | 481 | ||||||
Yara International | 7,741 | 347 | ||||||
|
|
| ||||||
3,005 | ||||||||
|
|
| ||||||
Panama — 0.0% | ||||||||
Carnival | 1,461 | 94 | ||||||
|
|
| ||||||
Portugal — 0.0% | ||||||||
Banco Espirito Santo *(D) | 50,830 | – | ||||||
EDP - Energias de Portugal | 85,324 | 321 | ||||||
Galp Energia SGPS | 25,094 | 445 | ||||||
Jeronimo Martins SGPS | 16,644 | 329 | ||||||
|
|
| ||||||
1,095 | ||||||||
|
|
| ||||||
Singapore — 0.1% | ||||||||
CapitaLand | 33,800 | 89 | ||||||
CapitaLand Commercial Trust ‡ | 53,667 | 66 | ||||||
DBS Group Holdings | 7,800 | 120 | ||||||
Genting Singapore | 238,600 | 206 | ||||||
Global Logistic Properties | 42,000 | 102 | ||||||
Golden Agri-Resources | 1,474,000 | 407 | ||||||
Jardine Cycle & Carriage | 6,200 | 180 | ||||||
Keppel | 16,600 | 79 | ||||||
Oversea-Chinese Banking | 12,800 | 105 | ||||||
Sembcorp Industries | 31,300 | 68 | ||||||
Singapore Airlines | 21,300 | 158 | ||||||
Singapore Exchange | 33,500 | 182 | ||||||
Singapore Press Holdings | 176,700 | 354 | ||||||
Singapore Technologies Engineering | 25,400 | 64 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 249 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Accumulation Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Singapore Telecommunications | 116,700 | $ | 316 | |||||
StarHub | 230,000 | 440 | ||||||
United Overseas Bank | 5,300 | 92 | ||||||
UOL Group | 7,072 | 42 | ||||||
Wilmar International | 89,200 | 209 | ||||||
|
|
| ||||||
3,279 | ||||||||
|
|
| ||||||
Spain — 0.2% | ||||||||
Abertis Infraestructuras | 5,513 | 111 | ||||||
ACS Actividades de Construccion y Servicios | 2,833 | 105 | ||||||
Aena (C) | 765 | 138 | ||||||
Amadeus IT Group, Cl A | 10,255 | 667 | ||||||
Banco Bilbao Vizcaya Argentaria | 10,923 | 98 | ||||||
Banco Santander | 16,470 | 115 | ||||||
Bankia | 20,227 | 97 | ||||||
CaixaBank | 30,255 | 152 | ||||||
Distribuidora Internacional de Alimentacion | 38,251 | 223 | ||||||
Enagas | 12,242 | 345 | ||||||
Endesa | 4,836 | 109 | ||||||
Ferrovial | 4,529 | 100 | ||||||
Gas Natural SDG | 6,561 | 145 | ||||||
Grifols | 14,620 | 426 | ||||||
Iberdrola | 26,058 | 202 | ||||||
Industria de Diseno Textil | 9,200 | 347 | ||||||
Red Electrica | 8,320 | 175 | ||||||
Repsol, Cl A | 21,631 | 399 | ||||||
Telefonica | 18,046 | 196 | ||||||
|
|
| ||||||
4,150 | ||||||||
|
|
| ||||||
Sweden — 0.2% | ||||||||
Alfa Laval | 3,670 | 89 | ||||||
Atlas Copco, Cl A | 1,818 | 77 | ||||||
Atlas Copco, Cl B | 1,891 | 73 | ||||||
Boliden | 12,111 | 409 | ||||||
Electrolux | 4,260 | 144 | ||||||
Essity, Cl B * | 7,171 | 195 | ||||||
Getinge, Cl B | 16,980 | 318 | ||||||
Hennes & Mauritz, Cl B | 4,059 | 105 | ||||||
Hexagon, Cl B | 8,618 | 426 | ||||||
Husqvarna, Cl B | 17,924 | 184 | ||||||
ICA Gruppen | 7,278 | 273 | ||||||
Industrivarden, Cl C | 4,865 | 123 | ||||||
Kinnevik | 1,565 | 51 | ||||||
Lundin Petroleum * | 24,445 | 534 | ||||||
Millicom International Cellular | 3,667 | 242 | ||||||
Nordea Bank | 6,982 | 94 | ||||||
Skandinaviska Enskilda Banken, Cl A | 7,936 | 104 | ||||||
SKF, Cl B | 8,542 | 186 | ||||||
Svenska Handelsbanken, Cl A | 2,082 | 31 | ||||||
Swedbank, Cl A | 2,347 | 65 | ||||||
Swedish Match | 7,003 | 245 | ||||||
Tele2, Cl B | 24,845 | 284 |
Description | Shares | Market Value ($ Thousands) | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Telefonaktiebolaget LM Ericsson, Cl B | 53,405 | $ | 306 | |||||
Telia | 65,127 | 306 | ||||||
Volvo, Cl B | 6,277 | 121 | ||||||
|
|
| ||||||
4,985 | ||||||||
|
|
| ||||||
Switzerland — 0.2% | ||||||||
ABB | 4,545 | 112 | ||||||
Adecco Group | 1,187 | 93 | ||||||
Baloise Holding | 496 | 79 | ||||||
Barry Callebaut * | 121 | 186 | ||||||
Chocoladefabriken Lindt & Spruengli | 31 | 304 | ||||||
Cie Financiere Richemont | 1,741 | 159 | ||||||
Coca-Cola HBC | 3,429 | 116 | ||||||
Dufry * | 1,505 | 239 | ||||||
EMS-Chemie Holding | 353 | 235 | ||||||
Geberit | 215 | 102 | ||||||
Givaudan | 186 | 405 | ||||||
Kuehne & Nagel International | 661 | 122 | ||||||
LafargeHolcim | 843 | 49 | ||||||
Lonza Group | 1,178 | 309 | ||||||
Nestle | 1,850 | 155 | ||||||
Novartis | 2,503 | 214 | ||||||
Partners Group Holding | 322 | 219 | ||||||
Roche Holding | 898 | 229 | ||||||
Schindler Holding | 1,164 | 254 | ||||||
SGS, Cl B | 41 | 98 | ||||||
Sika | 37 | 276 | ||||||
Sonova Holding | 1,666 | 283 | ||||||
Straumann Holding | 271 | 174 | ||||||
Swatch Group | 1,778 | 142 | ||||||
Swatch Group, Cl B | 331 | 138 | ||||||
Swiss Life Holding | 254 | 90 | ||||||
Swiss Re | 978 | 89 | ||||||
Swisscom | 1,199 | 615 | ||||||
TE Connectivity | 1,422 | 118 | ||||||
Transocean * | 31,055 | 334 | ||||||
Vifor Pharma | 1,610 | 190 | ||||||
|
|
| ||||||
6,128 | ||||||||
|
|
| ||||||
United Kingdom — 0.3% | ||||||||
Admiral Group | 3,076 | 75 | ||||||
Anglo American | 8,527 | 153 | ||||||
Associated British Foods | 2,191 | 94 | ||||||
AstraZeneca | 3,801 | 253 | ||||||
Auto Trader Group (C) | 48,359 | 255 | ||||||
Aviva | 4,112 | 28 | ||||||
Barratt Developments | 14,410 | 119 | ||||||
BP | 50,616 | 324 | ||||||
British American Tobacco | 1,681 | 105 | ||||||
BT Group, Cl A | 59,549 | 227 | ||||||
Bunzl | 3,000 | 91 | ||||||
Burberry Group | 1,376 | 32 |
250 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Capita | 2,265 | $ | 17 | |||||
Carnival | 2,105 | 134 | ||||||
Centrica | 91,279 | 229 | ||||||
Cobham * | 76,406 | 149 | ||||||
Compass Group | 7,733 | 164 | ||||||
Croda International | 2,513 | 128 | ||||||
Delphi Automotive | 1,026 | 101 | ||||||
Diageo | 2,888 | 95 | ||||||
Dixons Carphone | 10,596 | 27 | ||||||
easyJet | 3,512 | 57 | ||||||
Experian | 2,610 | 52 | ||||||
G4S | 16,567 | 62 | ||||||
GlaxoSmithKline | 14,130 | 282 | ||||||
Glencore | 35,516 | 163 | ||||||
Hikma Pharmaceuticals | 5,080 | 83 | ||||||
IMI | 1,574 | 26 | ||||||
Imperial Brands | 2,202 | 94 | ||||||
Inmarsat | 37,473 | 324 | ||||||
InterContinental Hotels Group | 1,219 | 65 | ||||||
Intertek Group | 544 | 36 | ||||||
ITV | 11,950 | 28 | ||||||
J Sainsbury | 21,670 | 69 | ||||||
Johnson Matthey | 1,866 | 86 | ||||||
Marks & Spencer Group | 10,789 | 51 | ||||||
Mediclinic International | 15,345 | 134 | ||||||
National Grid | 24,779 | 307 | ||||||
Next, Cl A | 560 | 40 | ||||||
Pearson | 16,363 | 134 | ||||||
Petrofac | 56,980 | 344 | ||||||
Reckitt Benckiser Group | 1,075 | 98 | ||||||
RELX | 3,034 | 67 | ||||||
Rio Tinto | 4,054 | 204 | ||||||
Royal Dutch Shell, Cl A | 14,028 | 423 | ||||||
Royal Dutch Shell, Cl B | 13,418 | 413 | ||||||
Royal Mail | 6,924 | 36 | ||||||
RSA Insurance Group | 7,664 | 64 | ||||||
Sage Group | 34,684 | 325 | ||||||
Severn Trent | 8,989 | 262 | ||||||
Shire | 3,125 | 159 | ||||||
Sky * | 5,534 | 68 | ||||||
Smith & Nephew | 15,129 | 274 | ||||||
Smiths Group | 4,570 | 97 | ||||||
SSE | 20,367 | 382 | ||||||
Standard Life Aberdeen | 3,369 | 20 | ||||||
Tate & Lyle | 7,790 | 68 | ||||||
Travis Perkins | 3,353 | 65 | ||||||
Unilever | 2,107 | 122 | ||||||
United Utilities Group, Cl B | 17,772 | 204 | ||||||
Vodafone Group | 136,374 | 382 | ||||||
Whitbread | 1,095 | 55 | ||||||
Wm Morrison Supermarkets | 34,659 | 109 | ||||||
Worldpay Group (C) | 57,601 | 315 |
Description | Shares | Market Value ($ Thousands) | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
WPP | 1,441 | $ | 27 | |||||
|
|
| ||||||
9,476 | ||||||||
|
|
| ||||||
Total Foreign Common Stock | 117,732 | |||||||
|
|
| ||||||
COMMON STOCK — 3.7% | ||||||||
Consumer Discretionary — 0.4% | ||||||||
Advance Auto Parts | 1,136 | 113 | ||||||
Amazon.com, Cl A * | 111 | 107 | ||||||
Autonation * | 3,088 | 147 | ||||||
Autozone * | 218 | 130 | ||||||
Bed Bath & Beyond | 3,904 | 92 | ||||||
Best Buy | 2,195 | 125 | ||||||
BorgWarner | 2,086 | 107 | ||||||
CarMax * | 1,714 | 130 | ||||||
CBS, Cl B | 1,671 | 97 | ||||||
Charter Communications, Cl A * | 297 | 108 | ||||||
Chipotle Mexican Grill, Cl A * | 282 | 87 | ||||||
Coach | 3,725 | 150 | ||||||
Comcast, Cl A | 2,442 | 94 | ||||||
Darden Restaurants | 1,472 | 116 | ||||||
Discovery Communications, Cl A * | 4,903 | 104 | ||||||
Discovery Communications, Cl C * | 5,240 | 106 | ||||||
DISH Network, Cl A * | 1,627 | 88 | ||||||
Dollar General | 1,837 | 149 | ||||||
Dollar Tree * | 1,756 | 152 | ||||||
DR Horton | 2,237 | 89 | ||||||
Expedia | 732 | 105 | ||||||
Foot Locker, Cl A | 3,089 | 109 | ||||||
Ford Motor | 8,016 | 96 | ||||||
Gap | 5,746 | 170 | ||||||
Garmin | 1,579 | 85 | ||||||
General Motors | 2,986 | 121 | ||||||
Genuine Parts | 1,553 | 149 | ||||||
Goodyear Tire & Rubber | 2,895 | 96 | ||||||
H&R Block | 4,738 | 125 | ||||||
Hanesbrands | 6,692 | 165 | ||||||
Harley-Davidson, Cl A | 1,846 | 89 | ||||||
Hasbro | 950 | 93 | ||||||
Home Depot | 660 | 108 | ||||||
Interpublic Group | 4,700 | 98 | ||||||
Kohl’s | 4,005 | 183 | ||||||
L Brands | 2,667 | 111 | ||||||
Leggett & Platt | 1,629 | 78 | ||||||
Lennar, Cl A | 2,151 | 114 | ||||||
LKQ * | 4,279 | 154 | ||||||
Lowe’s | 1,189 | 95 | ||||||
Macy’s | 5,542 | 121 | ||||||
Marriott International, Cl A | 1,166 | 129 | ||||||
Mattel | 6,081 | 94 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 251 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Accumulation Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
McDonald’s | 689 | $ | 108 | |||||
Michael Kors Holdings * | 4,899 | 234 | ||||||
Mohawk Industries * | 603 | 149 | ||||||
NetFlix * | 483 | 88 | ||||||
Newell Brands, Cl B | 1,797 | 77 | ||||||
News, Cl A | 6,656 | 88 | ||||||
News, Cl B | 6,800 | 93 | ||||||
Nike, Cl B | 3,230 | 167 | ||||||
Nordstrom | 1,762 | 83 | ||||||
Omnicom Group | 1,422 | 105 | ||||||
O’Reilly Automotive * | 530 | 114 | ||||||
Priceline Group * | 50 | 91 | ||||||
PulteGroup | 3,900 | 107 | ||||||
PVH | 1,566 | 197 | ||||||
Ralph Lauren, Cl A | 2,432 | 215 | ||||||
Ross Stores | 2,214 | 143 | ||||||
Royal Caribbean Cruises | 781 | 93 | ||||||
Scripps Networks Interactive, Cl A | 1,434 | 123 | ||||||
Signet Jewelers | 2,361 | 157 | ||||||
Starbucks | 2,467 | 132 | ||||||
Target, Cl A | 2,518 | 149 | ||||||
TEGNA | 7,208 | 96 | ||||||
Tiffany | 1,465 | 134 | ||||||
Time Warner | 1,132 | 116 | ||||||
TJX | 2,072 | 153 | ||||||
Tractor Supply | 2,314 | 146 | ||||||
TripAdvisor * | 3,872 | 157 | ||||||
Twenty-First Century Fox, Cl A | 4,316 | 114 | ||||||
Twenty-First Century Fox, Cl B | 3,644 | 94 | ||||||
Ulta Beauty * | 470 | 106 | ||||||
Under Armour, Cl A * | 7,140 | 118 | ||||||
Under Armour, Cl C * | 7,753 | 116 | ||||||
VF | 2,986 | 190 | ||||||
Viacom, Cl B | 1,904 | 53 | ||||||
Walt Disney | 1,190 | 117 | ||||||
Whirlpool | 397 | 73 | ||||||
Wyndham Worldwide | 1,075 | 113 | ||||||
Wynn Resorts | 659 | 98 | ||||||
Yum! Brands | 2,076 | 153 | ||||||
|
|
| ||||||
9,839 | ||||||||
|
|
| ||||||
Consumer Staples — 0.4% | ||||||||
Altria Group | 3,905 | 248 | ||||||
Archer-Daniels-Midland | 6,839 | 291 | ||||||
British American Tobacco ADR | 2,128 | 133 | ||||||
Brown-Forman, Cl B | 6,136 | 333 | ||||||
Campbell Soup | 6,114 | 286 | ||||||
Church & Dwight | 6,428 | 311 | ||||||
Clorox | 1,950 | 257 | ||||||
Coca-Cola | 5,902 | 266 | ||||||
Colgate-Palmolive | 3,495 | 255 | ||||||
Conagra Brands | 10,614 | 358 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Constellation Brands, Cl A | 1,639 | $ | 327 | |||||
Costco Wholesale | 1,834 | 301 | ||||||
Coty, Cl A | 15,157 | 251 | ||||||
CVS Health | 3,591 | 292 | ||||||
Dr Pepper Snapple Group | 3,443 | 305 | ||||||
Estee Lauder, Cl A | 3,029 | 327 | ||||||
General Mills | 5,791 | 300 | ||||||
Hershey | 2,764 | 302 | ||||||
Hormel Foods | 11,944 | 384 | ||||||
JM Smucker | 3,041 | 319 | ||||||
Kellogg | 4,338 | 271 | ||||||
Kimberly-Clark | 2,375 | 279 | ||||||
Kraft Heinz | 2,775 | 215 | ||||||
Kroger | 11,876 | 238 | ||||||
McCormick | 4,402 | 452 | ||||||
Molson Coors Brewing, Cl B | 3,812 | 311 | ||||||
Mondelez International, Cl A | 5,619 | 228 | ||||||
Monster Beverage * | 6,570 | 363 | ||||||
PepsiCo | 2,423 | 270 | ||||||
Philip Morris International | 2,328 | 258 | ||||||
Procter & Gamble | 3,530 | 321 | ||||||
Sysco, Cl A | 4,263 | 230 | ||||||
Tyson Foods, Cl A | 5,625 | 396 | ||||||
Walgreens Boots Alliance | 3,532 | 273 | ||||||
Wal-Mart Stores | 3,510 | 274 | ||||||
|
|
| ||||||
10,225 | ||||||||
|
|
| ||||||
Energy — 0.3% | ||||||||
Anadarko Petroleum, Cl A | 4,928 | 241 | ||||||
Andeavor | 2,422 | 250 | ||||||
Apache | 5,099 | 234 | ||||||
Baker Hughes a GE | 4,278 | 157 | ||||||
Cabot Oil & Gas | 10,929 | 292 | ||||||
Chesapeake Energy * | 50,940 | 219 | ||||||
Chevron | 2,251 | 265 | ||||||
Cimarex Energy | 2,603 | 296 | ||||||
Concho Resources * | 2,397 | 316 | ||||||
ConocoPhillips | 4,596 | 230 | ||||||
Devon Energy | 7,486 | 275 | ||||||
EOG Resources | 2,565 | 248 | ||||||
EQT | 5,001 | 326 | ||||||
ExxonMobil | 2,881 | 236 | ||||||
Halliburton | 5,364 | 247 | ||||||
Helmerich & Payne | 5,012 | 261 | ||||||
Hess | 5,888 | 276 | ||||||
Kinder Morgan | 12,379 | 237 | ||||||
Marathon Oil | 20,023 | 272 | ||||||
Marathon Petroleum | 4,014 | 225 | ||||||
Murphy Oil | 10,332 | 274 | ||||||
National Oilwell Varco, Cl A | 8,276 | 296 | ||||||
Newfield Exploration * | 8,020 | 238 | ||||||
Noble Energy | 8,457 | 240 |
252 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Occidental Petroleum | 4,454 | $ | 286 | |||||
Oneok | 5,078 | 281 | ||||||
Phillips 66 | 2,695 | 247 | ||||||
Pioneer Natural Resources | 1,705 | 252 | ||||||
Range Resources | 10,960 | 214 | ||||||
Schlumberger, Cl A | 3,885 | 271 | ||||||
TechnipFMC * | 8,997 | 251 | ||||||
Valero Energy | 3,081 | 237 | ||||||
Williams | 9,377 | 281 | ||||||
|
|
| ||||||
8,471 | ||||||||
|
|
| ||||||
Financials — 0.3% | ||||||||
Affiliated Managers Group | 586 | 111 | ||||||
Aflac | 1,295 | 105 | ||||||
Allstate | 963 | 89 | ||||||
American Express | 950 | 86 | ||||||
American International Group | 1,242 | 76 | ||||||
Ameriprise Financial | 614 | 91 | ||||||
Aon | 680 | 99 | ||||||
Arthur J. Gallagher | 2,093 | 129 | ||||||
Assurant | 976 | 93 | ||||||
Bank of America | 5,801 | 147 | ||||||
Bank of New York Mellon | 2,543 | 135 | ||||||
BB&T | 1,795 | 84 | ||||||
Berkshire Hathaway, Cl B * | 698 | 128 | ||||||
BlackRock | 151 | 68 | ||||||
Brighthouse Financial * | 142 | 9 | ||||||
Capital One Financial | 700 | 59 | ||||||
CBOE Holdings | 1,054 | 113 | ||||||
Charles Schwab | 2,369 | 104 | ||||||
Chubb | 852 | 121 | ||||||
Cincinnati Financial | 2,017 | 154 | ||||||
Citigroup | 1,388 | 101 | ||||||
Citizens Financial Group | 3,013 | 114 | ||||||
CME Group | 772 | 105 | ||||||
Comerica | 1,055 | 80 | ||||||
Discover Financial Services | 1,159 | 75 | ||||||
E*Trade Financial * | 2,418 | 105 | ||||||
Fifth Third Bancorp | 3,964 | 111 | ||||||
Franklin Resources | 2,773 | 123 | ||||||
Goldman Sachs Group | 268 | 64 | ||||||
Hartford Financial Services Group | 2,184 | 121 | ||||||
Huntington Bancshares | 9,087 | 127 | ||||||
Intercontinental Exchange | 1,550 | 107 | ||||||
Invesco | 1,903 | 67 | ||||||
JPMorgan Chase | 873 | 83 | ||||||
KeyCorp | 5,335 | 100 | ||||||
Leucadia National | 4,320 | 109 | ||||||
Lincoln National | 1,000 | 74 | ||||||
Loews | 2,625 | 126 | ||||||
M&T Bank | 598 | 96 | ||||||
Marsh & McLennan | 1,142 | 96 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
MetLife | 1,562 | $ | 81 | |||||
Moody’s | 1,083 | 151 | ||||||
Morgan Stanley | 1,873 | 90 | ||||||
Nasdaq, Cl A | 1,585 | 123 | ||||||
Navient | 5,548 | 83 | ||||||
Northern Trust | 1,046 | 96 | ||||||
People’s United Financial | 8,554 | 155 | ||||||
PNC Financial Services Group | 968 | 131 | ||||||
Principal Financial Group, Cl A | 1,498 | 96 | ||||||
Progressive | 1,877 | 91 | ||||||
Prudential Financial | 736 | 78 | ||||||
Raymond James Financial | 1,182 | 100 | ||||||
Regions Financial | 6,723 | 102 | ||||||
S&P Global | 545 | 85 | ||||||
State Street | 770 | 74 | ||||||
SunTrust Banks | 2,220 | 133 | ||||||
Synchrony Financial | 3,561 | 111 | ||||||
T. Rowe Price Group | 1,457 | 132 | ||||||
Torchmark, Cl A | 1,442 | 116 | ||||||
Travelers | 849 | 104 | ||||||
Unum Group | 1,475 | 75 | ||||||
US Bancorp | 2,336 | 125 | ||||||
Wells Fargo | 1,955 | 108 | ||||||
Willis Towers Watson | 767 | 118 | ||||||
XL Group | 2,550 | 101 | ||||||
Zions Bancorporation | 1,499 | 71 | ||||||
|
|
| ||||||
6,715 | ||||||||
|
|
| ||||||
Health Care — 0.4% | ||||||||
Abbott Laboratories | 3,210 | 171 | ||||||
AbbVie | 1,754 | 156 | ||||||
Aetna, Cl A | 1,014 | 161 | ||||||
Agilent Technologies | 3,209 | 206 | ||||||
Alexion Pharmaceuticals * | 1,063 | 149 | ||||||
Allergan | 620 | 127 | ||||||
AmerisourceBergen, Cl A | 1,376 | 114 | ||||||
Amgen, Cl A | 840 | 157 | ||||||
Anthem | 784 | 149 | ||||||
Baxter International | 2,892 | 181 | ||||||
Becton Dickinson | 914 | 179 | ||||||
Biogen * | 478 | 150 | ||||||
Boston Scientific * | 5,968 | 174 | ||||||
Bristol-Myers Squibb | 2,871 | 183 | ||||||
C.R. Bard | 521 | 167 | ||||||
Cardinal Health | 2,281 | 153 | ||||||
Celgene, Cl A * | 937 | 137 | ||||||
Centene * | 1,976 | 191 | ||||||
Cerner * | 3,217 | 229 | ||||||
Cigna | 1,044 | 195 | ||||||
Cooper, Cl A | 642 | 152 | ||||||
DaVita * | 2,885 | 171 | ||||||
DENTSPLY SIRONA | 2,721 | 163 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 253 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Accumulation Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Edwards Lifesciences, Cl A * | 1,426 | $ | 156 | |||||
Eli Lilly | 1,884 | 161 | ||||||
Envision Healthcare * | 3,032 | 136 | ||||||
Express Scripts Holding * | 2,680 | 170 | ||||||
Gilead Sciences | 2,209 | 179 | ||||||
HCA Healthcare * | 1,960 | 156 | ||||||
Henry Schein * | 2,192 | 180 | ||||||
Hologic * | 3,960 | 145 | ||||||
Humana | 697 | 170 | ||||||
Idexx Laboratories * | 915 | 142 | ||||||
Illumina * | 1,071 | 213 | ||||||
Incyte * | 1,025 | 120 | ||||||
Intuitive Surgical * | 178 | 186 | ||||||
Johnson & Johnson | 1,285 | 167 | ||||||
Laboratory Corp of America Holdings * | 1,268 | 191 | ||||||
Mallinckrodt * | 3,248 | 121 | ||||||
McKesson | 792 | 122 | ||||||
Medtronic | 1,675 | 130 | ||||||
Merck | 1,876 | 120 | ||||||
Mettler Toledo International * | 275 | 172 | ||||||
Mylan * | 3,267 | 103 | ||||||
Patterson | 4,307 | 166 | ||||||
PerkinElmer | 2,942 | 203 | ||||||
Perrigo | 1,993 | 169 | ||||||
Pfizer | 4,453 | 159 | ||||||
Quest Diagnostics | 1,742 | 163 | ||||||
Regeneron Pharmaceuticals * | 245 | 110 | ||||||
Stryker | 1,159 | 165 | ||||||
Taro Pharmaceutical Industries * | 3,772 | 425 | ||||||
Teva Pharmaceutical Industries ADR | 20,230 | 356 | ||||||
Thermo Fisher Scientific | 934 | 177 | ||||||
UnitedHealth Group | 909 | 178 | ||||||
Universal Health Services, Cl B | 1,717 | 191 | ||||||
Varian Medical Systems * | 1,691 | 169 | ||||||
Vertex Pharmaceuticals * | 1,215 | 185 | ||||||
Waters * | 930 | 167 | ||||||
Zimmer Biomet Holdings | 1,214 | 142 | ||||||
Zoetis, Cl A | 1,874 | 120 | ||||||
|
|
| ||||||
10,300 | ||||||||
|
|
| ||||||
Industrials — 0.4% | ||||||||
3M | 677 | 142 | ||||||
Acuity Brands | 803 | 138 | ||||||
Alaska Air Group | 1,774 | 135 | ||||||
Allegion | 1,615 | 140 | ||||||
American Airlines Group | 1,938 | 92 | ||||||
Ametek | 1,885 | 124 | ||||||
Arconic | 5,255 | 131 | ||||||
Boeing | 738 | 188 | ||||||
C.H. Robinson Worldwide | 2,024 | 154 | ||||||
Caterpillar, Cl A | 1,117 | 139 | ||||||
Cintas | 1,509 | 218 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
CSX | 2,266 | $ | 123 | |||||
Cummins | 871 | 146 | ||||||
Danaher, Cl A | 1,722 | 148 | ||||||
Deere | 1,000 | 126 | ||||||
Delta Air Lines, Cl A | 3,091 | 149 | ||||||
Dover | 1,914 | 175 | ||||||
Emerson Electric | 2,411 | 151 | ||||||
Equifax | 1,030 | 109 | ||||||
Expeditors International of Washington | 2,620 | 157 | ||||||
Fastenal, Cl A | 3,531 | 161 | ||||||
FedEx | 581 | 131 | ||||||
Flowserve | 3,192 | 136 | ||||||
Fluor | 3,126 | 132 | ||||||
Fortive | 1,984 | 140 | ||||||
Fortune Brands Home & Security | 2,268 | 152 | ||||||
General Dynamics | 849 | 175 | ||||||
General Electric | 3,393 | 82 | ||||||
Honeywell International | 835 | 118 | ||||||
Illinois Tool Works | 945 | 140 | ||||||
Ingersoll-Rand | 1,653 | 147 | ||||||
Jacobs Engineering Group | 1,976 | 115 | ||||||
JB Hunt Transport Services | 1,842 | 205 | ||||||
Johnson Controls International | 3,007 | 121 | ||||||
Kansas City Southern | 1,630 | 177 | ||||||
L3 Technologies | 894 | 168 | ||||||
Lockheed Martin | 518 | 161 | ||||||
Masco | 3,446 | 134 | ||||||
Nielsen Holdings | 2,902 | 120 | ||||||
Norfolk Southern | 1,093 | 145 | ||||||
Northrop Grumman | 572 | 165 | ||||||
PACCAR | 2,161 | 156 | ||||||
Parker-Hannifin, Cl A | 653 | 114 | ||||||
Pentair | 2,268 | 154 | ||||||
Quanta Services * | 3,494 | 131 | ||||||
Raytheon | 1,052 | 196 | ||||||
Republic Services | 3,099 | 205 | ||||||
Robert Half International | 3,077 | 155 | ||||||
Rockwell Automation | 996 | 177 | ||||||
Rockwell Collins | 1,609 | 210 | ||||||
Roper Technologies | 676 | 165 | ||||||
Ryder System | 2,196 | 186 | ||||||
Snap-on | 986 | 147 | ||||||
Southwest Airlines, Cl A | 2,241 | 125 | ||||||
Stanley Black & Decker | 854 | 129 | ||||||
Stericycle, Cl A * | 2,628 | 188 | ||||||
Textron | 2,415 | 130 | ||||||
TransDigm Group * | 624 | 159 | ||||||
Union Pacific | 1,324 | 154 | ||||||
United Continental Holdings * | 1,713 | 104 | ||||||
United Parcel Service, Cl B | 1,422 | 171 | ||||||
United Rentals * | 1,181 | 164 | ||||||
United Technologies | 1,125 | 131 |
254 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Verisk Analytics, Cl A * | 1,825 | $ | 152 | |||||
Waste Management | 2,667 | 209 | ||||||
WW Grainger | 802 | 144 | ||||||
Xylem | 2,249 | 141 | ||||||
|
|
| ||||||
10,007 | ||||||||
|
|
| ||||||
Information Technology — 0.3% | ||||||||
Activision Blizzard | 2,166 | 140 | ||||||
Adobe Systems * | 870 | 130 | ||||||
Advanced Micro Devices * | 7,885 | 100 | ||||||
Akamai Technologies * | 3,128 | 152 | ||||||
Alliance Data Systems | 484 | 107 | ||||||
Alphabet, Cl A * | 135 | 131 | ||||||
Alphabet, Cl C * | 107 | 103 | ||||||
Amphenol, Cl A | 2,314 | 196 | ||||||
Analog Devices | 1,714 | 148 | ||||||
Apple | 729 | 112 | ||||||
Applied Materials | 3,039 | 158 | ||||||
Autodesk, Cl A * | 1,057 | 119 | ||||||
Automatic Data Processing | 1,236 | 135 | ||||||
Broadcom | 452 | 110 | ||||||
CA | 4,037 | 135 | ||||||
Cisco Systems | 4,373 | 147 | ||||||
Citrix Systems * | 1,812 | 139 | ||||||
Cognizant Technology Solutions, Cl A | 2,178 | 158 | ||||||
Corning, Cl B | 4,549 | 136 | ||||||
CSRA | 4,599 | 148 | ||||||
DXC Technology | 1,620 | 139 | ||||||
eBay * | 3,501 | 135 | ||||||
Electronic Arts * | 1,157 | 137 | ||||||
F5 Networks, Cl A * | 1,077 | 130 | ||||||
Facebook, Cl A * | 855 | 146 | ||||||
Fidelity National Information Services, Cl B | 1,370 | 128 | ||||||
Fiserv, Cl A * | 1,220 | 157 | ||||||
Flir Systems | 4,599 | 179 | ||||||
Gartner * | 1,047 | 130 | ||||||
Global Payments | 1,650 | 157 | ||||||
Harris | 1,193 | 157 | ||||||
Hewlett Packard Enterprise | 8,829 | 130 | ||||||
HP | 7,329 | 146 | ||||||
Intel | 4,494 | 171 | ||||||
International Business Machines | 793 | 115 | ||||||
Intuit | 1,040 | 148 | ||||||
Juniper Networks | 4,939 | 137 | ||||||
KLA-Tencor | 1,572 | 167 | ||||||
Lam Research | 960 | 178 | ||||||
Mastercard, Cl A | 762 | 107 | ||||||
Micro Focus International ADR * | 1,212 | 39 | ||||||
Microchip Technology | 1,703 | 153 | ||||||
Micron Technology * | 3,782 | 149 | ||||||
Microsoft | 1,573 | 117 | ||||||
Motorola Solutions | 1,647 | 140 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
NetApp | 3,680 | $ | 161 | |||||
Nvidia | 777 | 139 | ||||||
Oracle, Cl B | 2,724 | 132 | ||||||
Paychex | 2,240 | 134 | ||||||
PayPal Holdings * | 2,142 | 137 | ||||||
Qorvo * | 1,591 | 112 | ||||||
Qualcomm | 2,828 | 147 | ||||||
Red Hat * | 1,237 | 137 | ||||||
salesforce.com * | 1,809 | 169 | ||||||
Seagate Technology | 2,644 | 88 | ||||||
Skyworks Solutions | 1,430 | 146 | ||||||
Symantec, Cl A | 4,111 | 135 | ||||||
Synopsys * | 1,972 | 159 | ||||||
Teradata * | 5,408 | 183 | ||||||
Texas Instruments | 1,935 | 173 | ||||||
Total System Services | 2,756 | 180 | ||||||
VeriSign * | 1,436 | 153 | ||||||
Visa, Cl A | 1,380 | 145 | ||||||
Western Digital | 1,247 | 108 | ||||||
Western Union | 7,451 | 143 | ||||||
Xerox | 4,750 | 158 | ||||||
Xilinx | 2,202 | 156 | ||||||
|
|
| ||||||
9,391 | ||||||||
|
|
| ||||||
Materials — 0.3% | ||||||||
Air Products & Chemicals | 2,754 | 416 | ||||||
Albemarle | 3,380 | 461 | ||||||
Avery Dennison | 4,309 | 424 | ||||||
Ball | 6,952 | 287 | ||||||
CF Industries Holdings | 13,684 | 481 | ||||||
DowDuPont | 9,065 | 628 | ||||||
Eastman Chemical | 3,217 | 291 | ||||||
Ecolab | 2,840 | 365 | ||||||
FMC | 4,104 | 366 | ||||||
Freeport-McMoRan, Cl B * | 30,043 | 422 | ||||||
International Flavors & Fragrances | 2,706 | 387 | ||||||
International Paper | 5,522 | 314 | ||||||
Martin Marietta Materials, Cl A | 1,465 | 302 | ||||||
Monsanto | 2,890 | 346 | ||||||
Mosaic | 17,155 | 370 | ||||||
Newmont Mining | 15,646 | 587 | ||||||
Nucor | 6,312 | 354 | ||||||
PPG Industries | 2,761 | 300 | ||||||
Praxair | 2,704 | 378 | ||||||
Sealed Air | 7,243 | 309 | ||||||
Sherwin-Williams, Cl A | 901 | 323 | ||||||
Vulcan Materials | 2,659 | 318 | ||||||
WestRock | 5,916 | 336 | ||||||
|
|
| ||||||
8,765 | ||||||||
|
|
| ||||||
Real Estate — 0.1% | ||||||||
Alexandria Real Estate Equities ‡ | 1,025 | 122 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 255 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Accumulation Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
American Tower, Cl A ‡ | 805 | $ | 110 | |||||
Apartment Investment & Management, Cl A ‡ | 2,812 | 123 | ||||||
AvalonBay Communities ‡ | 651 | 116 | ||||||
Boston Properties ‡ | 881 | 108 | ||||||
CBRE Group, Cl A * | 3,263 | 124 | ||||||
Crown Castle International ‡ | 1,247 | 125 | ||||||
Digital Realty Trust, Cl A ‡ | 1,000 | 118 | ||||||
Equinix ‡ | 207 | 92 | ||||||
Equity Residential ‡ | 1,670 | 110 | ||||||
Essex Property Trust ‡ | 351 | 89 | ||||||
Extra Space Storage ‡ | 1,522 | 122 | ||||||
Federal Realty Investment Trust ‡ | 1,020 | 127 | ||||||
GGP ‡ | 3,887 | 81 | ||||||
HCP ‡ | 2,765 | 77 | ||||||
Host Hotels & Resorts ‡ | 7,223 | 134 | ||||||
Iron Mountain ‡ | 1,775 | 69 | ||||||
Kimco Realty ‡ | 6,490 | 127 | ||||||
Macerich ‡ | 1,962 | 108 | ||||||
Mid-America Apartment Communities ‡ | 1,107 | 118 | ||||||
ProLogis ‡ | 2,009 | 128 | ||||||
Public Storage ‡ | 541 | 116 | ||||||
Realty Income ‡ | 2,310 | 132 | ||||||
Regency Centers ‡ | 1,875 | 116 | ||||||
Simon Property Group ‡ | 423 | 68 | ||||||
SL Green Realty ‡ | 1,090 | 110 | ||||||
UDR ‡ | 2,944 | 112 | ||||||
Ventas ‡ | 1,347 | 88 | ||||||
Vornado Realty Trust ‡ | 1,108 | 85 | ||||||
Welltower ‡ | 1,515 | 106 | ||||||
Weyerhaeuser ‡ | 3,188 | 109 | ||||||
|
|
| ||||||
3,370 | ||||||||
|
|
| ||||||
Telecommunication Services — 0.3% | ||||||||
AT&T | 67,381 | 2,639 | ||||||
CenturyLink | 116,311 | 2,198 | ||||||
Level 3 Communications * | 38,659 | 2,060 | ||||||
Verizon Communications | 49,350 | 2,443 | ||||||
|
|
| ||||||
9,340 | ||||||||
|
|
| ||||||
Utilities — 0.5% | ||||||||
AES | 34,577 | 381 | ||||||
Alliant Energy | 13,217 | 549 | ||||||
Ameren | 9,333 | 540 | ||||||
American Electric Power | 6,545 | 460 | ||||||
American Water Works | 4,182 | 338 | ||||||
Centerpoint Energy | 14,910 | 436 | ||||||
CMS Energy | 10,372 | 481 | ||||||
Consolidated Edison | 5,764 | 465 | ||||||
Dominion Energy | 5,881 | 452 | ||||||
DTE Energy | 4,364 | 469 | ||||||
Duke Energy | 4,970 | 417 | ||||||
Edison International | 5,948 | 459 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Entergy | 5,464 | $ | 417 | |||||
Eversource Energy | 7,484 | 452 | ||||||
Exelon | 12,325 | 464 | ||||||
FirstEnergy | 14,493 | 447 | ||||||
NextEra Energy | 3,440 | 504 | ||||||
NiSource | 18,717 | 479 | ||||||
NRG Energy | 19,666 | 503 | ||||||
PG&E | 6,752 | 460 | ||||||
Pinnacle West Capital | 5,992 | 507 | ||||||
PPL | 11,490 | 436 | ||||||
Public Service Enterprise Group | 10,392 | 481 | ||||||
SCANA | 7,259 | 352 | ||||||
Sempra Energy | 4,307 | 492 | ||||||
Southern | 8,657 | 425 | ||||||
WEC Energy Group | 7,761 | 487 | ||||||
Xcel Energy | 10,425 | 493 | ||||||
|
|
| ||||||
12,846 | ||||||||
|
|
| ||||||
Total Common Stock | 99,269 | |||||||
|
|
| ||||||
Face Amount (Thousands) | ||||||||
CORPORATE OBLIGATIONS — 1.9% | ||||||||
Consumer Discretionary — 0.0% | ||||||||
Toyota Motor Credit MTN | ||||||||
3.400%, 09/15/2021 | $ | 150 | 157 | |||||
Trustees of Dartmouth College | ||||||||
4.750%, 06/01/2019 | 150 | 157 | ||||||
University of Southern California | ||||||||
5.250%, 10/01/2111 | 100 | 122 | ||||||
|
|
| ||||||
436 | ||||||||
|
|
| ||||||
Consumer Staples — 0.1% | ||||||||
Coca-Cola | ||||||||
3.200%, 11/01/2023 | 500 | 522 | ||||||
1.150%, 04/01/2018 | 1,000 | 999 | ||||||
Colgate-Palmolive MTN | ||||||||
2.300%, 05/03/2022 | 250 | 252 | ||||||
Procter & Gamble | ||||||||
1.850%, 02/02/2021 | 250 | 248 | ||||||
|
|
| ||||||
2,021 | ||||||||
|
|
| ||||||
Energy — 0.2% | ||||||||
Chevron | ||||||||
4.950%, 03/03/2019 | 150 | 157 | ||||||
2.954%, 05/16/2026 | 1,000 | 998 | ||||||
2.100%, 05/16/2021 | 1,000 | 1,001 | ||||||
ExxonMobil | ||||||||
3.176%, 03/15/2024 | 500 | 518 | ||||||
Nexen Energy ULC | ||||||||
5.875%, 03/10/2035 | 100 | 120 |
256 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Shell International Finance BV | ||||||||
3.250%, 05/11/2025 | $ | 250 | $ | 256 | ||||
Statoil | ||||||||
2.450%, 01/17/2023 | 250 | 249 | ||||||
XTO Energy | ||||||||
6.750%, 08/01/2037 | 300 | 419 | ||||||
6.500%, 12/15/2018 | 750 | 792 | ||||||
|
|
| ||||||
4,510 | ||||||||
|
|
| ||||||
Financials — 1.2% | ||||||||
Australia & New Zealand Banking Group NY MTN | ||||||||
2.250%, 06/13/2019 | 1,300 | 1,308 | ||||||
1.875%, 10/06/2017 | 250 | 250 | ||||||
Bank of Montreal MTN | ||||||||
2.550%, 11/06/2022 | 250 | 250 | ||||||
1.900%, 08/27/2021 | 750 | 740 | ||||||
1.500%, 07/18/2019 | 1,000 | 994 | ||||||
Bank of New York Mellon | ||||||||
3.550%, 09/23/2021 | 200 | 209 | ||||||
Bank of Nova Scotia | ||||||||
4.375%, 01/13/2021 | 250 | 266 | ||||||
2.700%, 03/07/2022 | 500 | 505 | ||||||
Berkshire Hathaway | ||||||||
3.400%, 01/31/2022 | 150 | 157 | ||||||
2.750%, 03/15/2023 | 1,000 | 1,017 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
1.600%, 09/06/2019 (A) | 1,000 | 994 | ||||||
CME Group | ||||||||
3.000%, 09/15/2022 | 100 | 103 | ||||||
3.000%, 03/15/2025 | 1,000 | 1,014 | ||||||
Commonwealth Bank of Australia NY MTN | ||||||||
2.550%, 03/15/2021 | 1,000 | 1,007 | ||||||
Cooperatieve Rabobank UA | ||||||||
2.250%, 01/14/2019 | 1,000 | 1,007 | ||||||
HSBC Holdings | ||||||||
5.100%, 04/05/2021 | 250 | 272 | ||||||
JPMorgan Chase Bank | ||||||||
1.650%, 09/23/2019 | 1,000 | 996 | ||||||
Kreditanstalt fuer Wiederaufbau | ||||||||
2.500%, 11/20/2024 | 1,500 | 1,515 | ||||||
2.375%, 08/25/2021 | 1,000 | 1,016 | ||||||
2.125%, 06/15/2022 | 500 | 501 | ||||||
1.875%, 11/30/2020 | 1,000 | 1,001 | ||||||
1.500%, 06/15/2021 | 500 | 493 | ||||||
Kreditanstalt fuer Wiederaufbau MTN | ||||||||
2.750%, 09/08/2020 (A) | 1,000 | 1,027 | ||||||
Landwirtschaftliche Rentenbank | ||||||||
2.375%, 06/10/2025 | 250 | 250 | ||||||
2.250%, 10/01/2021 | 2,000 | 2,021 | ||||||
2.000%, 01/13/2025 | 250 | 244 | ||||||
1.875%, 09/17/2018 | 550 | 552 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
1.750%, 04/15/2019 | $ | 200 | $ | 200 | ||||
1.375%, 10/23/2019 | 500 | 497 | ||||||
1.000%, 04/04/2018 | 200 | 200 | ||||||
Landwirtschaftliche Rentenbank MTN | ||||||||
1.750%, 07/27/2026 | 750 | 706 | ||||||
National Australia Bank | ||||||||
3.000%, 01/20/2023 | 200 | 203 | ||||||
1.875%, 07/12/2021 | 750 | 736 | ||||||
Oesterreichische Kontrollbank | ||||||||
1.875%, 01/20/2021 | 1,000 | 999 | ||||||
1.750%, 01/24/2020 (A) | 1,000 | 1,000 | ||||||
1.625%, 03/12/2019 (A) | 1,000 | 1,000 | ||||||
Royal Bank of Canada MTN | ||||||||
1.500%, 07/29/2019 | 1,000 | 994 | ||||||
Svenska Handelsbanken | ||||||||
2.500%, 01/25/2019 | 200 | 202 | ||||||
Svenska Handelsbanken MTN | ||||||||
2.450%, 03/30/2021 | 1,000 | 1,007 | ||||||
Toronto-Dominion Bank MTN | ||||||||
2.125%, 04/07/2021 | 500 | 499 | ||||||
US Bank | ||||||||
2.125%, 10/28/2019 | 400 | 403 | ||||||
Wells Fargo Bank | ||||||||
1.750%, 05/24/2019 | 1,000 | 999 | ||||||
Wells Fargo Bank MTN | ||||||||
2.150%, 12/06/2019 | 500 | 503 | ||||||
Westpac Banking | ||||||||
4.875%, 11/19/2019 | 200 | 212 | ||||||
2.600%, 11/23/2020 | 1,000 | 1,014 | ||||||
2.000%, 08/19/2021 | 750 | 740 | ||||||
|
|
| ||||||
31,823 | ||||||||
|
|
| ||||||
Health Care — 0.1% | ||||||||
Johns Hopkins University | ||||||||
5.250%, 07/01/2019 | 18 | 19 | ||||||
Johnson & Johnson | ||||||||
5.950%, 08/15/2037 | 300 | 402 | ||||||
3.375%, 12/05/2023 | 500 | 534 | ||||||
2.450%, 03/01/2026 | 1,000 | 982 | ||||||
Novartis Securities Investment | ||||||||
5.125%, 02/10/2019 | 150 | 157 | ||||||
Sanofi | ||||||||
4.000%, 03/29/2021 | 150 | 159 | ||||||
|
|
| ||||||
2,253 | ||||||||
|
|
| ||||||
Industrials — 0.0% | ||||||||
3M MTN | ||||||||
5.700%, 03/15/2037 | 150 | 196 | ||||||
|
|
| ||||||
Information Technology — 0.2% | ||||||||
Alphabet | ||||||||
3.625%, 05/19/2021 | 150 | 158 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 257 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Accumulation Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Apple | ||||||||
3.250%, 02/23/2026 | $ | 1,000 | $ | 1,027 | ||||
2.850%, 02/23/2023 | 1,000 | 1,024 | ||||||
2.400%, 05/03/2023 | 250 | 250 | ||||||
Automatic Data Processing | ||||||||
2.250%, 09/15/2020 | 500 | 505 | ||||||
Microsoft | ||||||||
3.700%, 08/08/2046 | 500 | 504 | ||||||
3.300%, 02/06/2027 | 1,000 | 1,036 | ||||||
2.125%, 11/15/2022 | 500 | 497 | ||||||
0.875%, 11/15/2017 | 1,500 | 1,499 | ||||||
|
|
| ||||||
6,500 | ||||||||
|
|
| ||||||
Utilities — 0.1% | ||||||||
Duke Energy Carolinas | ||||||||
2.950%, 12/01/2026 | 1,000 | 996 | ||||||
Florida Power & Light | ||||||||
3.125%, 12/01/2025 | 1,000 | 1,015 | ||||||
Southern California Gas | ||||||||
5.125%, 11/15/2040 | 150 | 178 | ||||||
|
|
| ||||||
2,189 | ||||||||
|
|
| ||||||
Total Corporate Obligations | 49,928 | |||||||
|
|
|
Description | Shares | Market Value ($Thousands) | ||||||
EXCHANGE TRADED FUND — 1.5% | ||||||||
United States — 1.5% | ||||||||
iShares iBoxx Investment Grade Corporate Bond Fund | 341,704 | $ | 41,425 | |||||
|
|
| ||||||
Total Exchange Traded Fund | 41,425 | |||||||
|
|
| ||||||
PREFERRED STOCK — 0.0% | ||||||||
Fuchs Petrolub, 0.000% | 1,520 | 90 | ||||||
Henkel & KGaA, 0.000% | 1,296 | 176 | ||||||
Porsche Automobil Holding, 0.000% | 342 | 22 | ||||||
Volkswagen, 0.000% | 65 | 11 | ||||||
|
|
| ||||||
Total Preferred Stock | 299 | |||||||
|
|
| ||||||
Number of Rights | ||||||||
RIGHTS — 0.0% | ||||||||
CapitaLand Commercial Trust, Expires 10/24/2017 * | 8,909 | 2 | ||||||
Safeway CVR - Casa Ley *‡‡ | 2,823 | – | ||||||
Safeway CVR - PDC *‡‡ | 2,823 | 3 | ||||||
|
|
| ||||||
Total Rights | 5 | |||||||
|
|
| ||||||
Total Investments in Securities — 75.2% | $ | 2,034,187 | ||||||
|
|
| ||||||
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
Amsterdam Index | 150 | Oct-2017 | $18,854 | $19,042 | $361 | |||||||||||||
Australian 10-Year Bond | 1,729 | Dec-2017 | 179,474 | 172,353 | (2,964) | |||||||||||||
CAC40 10 Euro Index | 281 | Oct-2017 | 17,447 | 17,695 | 413 | |||||||||||||
Canadian 10-Year Bond | 1,597 | Dec-2017 | 175,840 | 172,769 | (3,483) | |||||||||||||
10-Year USD Interest Rate Swap | 1,026 | Dec-2017 | 106,586 | 104,075 | (2,511) | |||||||||||||
5-Year USD Interest Rate Swap | 664 | Dec-2017 | 67,906 | 67,002 | (904) | |||||||||||||
DAX Index | 100 | Dec-2017 | 37,367 | 37,825 | 808 | |||||||||||||
DJ Euro Stoxx 50 Index | 1,487 | Dec-2017 | 62,091 | 62,864 | 1,376 | |||||||||||||
Euro-Bobl | 321 | Dec-2017 | 50,163 | 49,781 | (142) | |||||||||||||
Euro-BTP | 614 | Dec-2017 | 98,686 | 97,964 | (245) | |||||||||||||
Euro-Bund | 1,571 | Dec-2017 | 302,814 | 299,034 | (2,133) | |||||||||||||
Euro-Buxl 30 Year Bond | 109 | Dec-2017 | 21,427 | 21,038 | (286) | |||||||||||||
FTSE 100 Index | 589 | Dec-2017 | 57,300 | 57,920 | (94) | |||||||||||||
FTSE MIB | 51 | Dec-2017 | 6,738 | 6,823 | 146 | |||||||||||||
FTSE/JSE Top 40 Index | 266 | Dec-2017 | 10,061 | 9,877 | (39) |
258 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
Hang Seng Index | 108 | Oct-2017 | $19,007 | $19,023 | $13 | |||||||||||||
IBEX 35 Plus Index | 60 | Oct-2017 | 7,391 | 7,328 | 9 | |||||||||||||
Japanese 10-Year Bond | 41 | Dec-2017 | 57,052 | 54,763 | (253) | |||||||||||||
Japanese 10-Year Bond E-MINI | 1,211 | Dec-2017 | 168,673 | 161,782 | (717) | |||||||||||||
KOSPI 200 Index | 45 | Dec-2017 | 3,104 | 3,120 | 46 | |||||||||||||
Long Gilt 10-Year Bond | 528 | Dec-2017 | 85,960 | 87,756 | (2,157) | |||||||||||||
MSCI Emerging Markets E-MINI | 1,984 | Dec-2017 | 109,868 | 108,059 | (1,810) | |||||||||||||
OMX Index | 173 | Oct-2017 | 3,420 | 3,469 | 129 | |||||||||||||
Russell 2000 Index E-MINI | 1,950 | Dec-2017 | 137,389 | 145,558 | 8,169 | |||||||||||||
S&P 500 Index | 34 | Dec-2017 | 21,159 | 21,387 | 228 | |||||||||||||
S&P 500 Index E-MINI | 3,613 | Dec-2017 | 447,119 | 454,533 | 7,414 | |||||||||||||
S&P Mid Cap 400 Index E-MINI | 271 | Dec-2017 | 46,856 | 48,663 | 1,807 | |||||||||||||
S&P TSX 60 Index | 205 | Dec-2017 | 29,607 | 30,118 | 1,364 | |||||||||||||
SGX S&P CNX Nifty Index | 507 | Oct-2017 | 10,029 | 9,940 | (88) | |||||||||||||
SPI 200 Index | 128 | Dec-2017 | 14,609 | 14,232 | (95) | |||||||||||||
TOPIX Index | 608 | Dec-2017 | 88,121 | 90,472 | 4,934 | |||||||||||||
U.S. 10-Year Treasury Note | 3,825 | Dec-2017 | 484,114 | 479,320 | (4,793) | |||||||||||||
U.S. 2-Year Treasury Note | 919 | Jan-2018 | 198,785 | 198,231 | (554) | |||||||||||||
U.S. Long Treasury Bond | 327 | Dec-2017 | 50,647 | 49,970 | (677) | |||||||||||||
Feeder Cattle** | 34 | Jan-2018 | 2,483 | 2,576 | 93 | |||||||||||||
Feeder Cattle** | 33 | Oct-2017 | 2,330 | 2,512 | 181 | |||||||||||||
Feeder Cattle** | 107 | Nov-2017 | 7,961 | 8,239 | 278 | |||||||||||||
Coffee** | 191 | Dec-2017 | 9,661 | 9,172 | (489) | |||||||||||||
Copper** | 136 | Dec-2017 | 9,922 | 10,047 | 125 | |||||||||||||
Corn** | 819 | Dec-2017 | 16,286 | 14,547 | (1,739) | |||||||||||||
Corn** | 179 | Mar-2018 | 3,429 | 3,291 | (137) | |||||||||||||
Cotton No. 2** | 329 | Dec-2017 | 11,948 | 11,260 | (688) | |||||||||||||
Crude Oil** | 515 | Nov-2017 | 25,561 | 26,754 | 1,193 | |||||||||||||
Dow Jones-UBS Commodity Index** | 1,110 | Dec-2017 | 9,459 | 9,391 | (68) | |||||||||||||
S&P - Goldman Sachs Commodity Index** | 309 | Oct-2017 | 30,055 | 30,830 | 775 | |||||||||||||
Gasoil** | 232 | Dec-2017 | 11,447 | 12,383 | 936 | |||||||||||||
Gasoline** | 137 | Nov-2017 | 8,569 | 9,155 | 586 | |||||||||||||
Gasoline RBOB** | 218 | Dec-2017 | 14,178 | 14,455 | 276 | |||||||||||||
Gold** | 418 | Dec-2017 | 52,153 | 53,705 | 1,552 | |||||||||||||
ICE Brent Crude** | 182 | Oct-2017 | 9,542 | 10,336 | 794 | |||||||||||||
ICE Brent Crude** | 865 | Dec-2017 | 46,849 | 48,950 | 2,101 | |||||||||||||
KC HRW Wheat** | 40 | Dec-2017 | 1,120 | 886 | (235) | |||||||||||||
Lean Hogs** | 212 | Feb-2018 | 5,479 | 5,516 | 37 | |||||||||||||
Lean Hogs** | 96 | Dec-2017 | 2,274 | 2,302 | 28 | |||||||||||||
Live Cattle** | 613 | Dec-2017 | 27,017 | 28,259 | 1,242 | |||||||||||||
Live Cattle** | 30 | Feb-2018 | 1,391 | 1,424 | 33 | |||||||||||||
LME Aluminum** | 886 | Dec-2017 | 44,237 | 46,504 | 2,267 | |||||||||||||
LME Copper** | 130 | Dec-2017 | 19,550 | 21,058 | 1,508 | |||||||||||||
LME Lead** | 63 | Dec-2017 | 3,637 | 3,922 | 285 | |||||||||||||
LME Nickel** | 112 | Dec-2017 | 6,419 | 7,049 | 630 | |||||||||||||
LME Nickel** | 105 | Nov-2017 | 7,429 | 6,589 | (840) | |||||||||||||
LME Zinc** | 260 | Dec-2017 | 19,376 | 20,579 | 1,203 | |||||||||||||
Natural Gas** | 221 | Dec-2017 | 7,120 | 7,030 | (90) | |||||||||||||
Natural Gas** | 257 | Oct-2017 | 7,909 | 7,728 | (181) | |||||||||||||
NY Harbor ULSD** | 107 | Dec-2017 | 7,517 | 8,117 | 600 | |||||||||||||
NYMEX Cocoa** | 386 | Dec-2017 | 7,446 | 7,886 | 440 | |||||||||||||
Silver** | 354 | Dec-2017 | 29,983 | 29,517 | (467) | |||||||||||||
Soybean** | 86 | Nov-2017 | 4,144 | 4,163 | 19 | |||||||||||||
Soybean** | 93 | Jan-2018 | 4,507 | 4,550 | 43 | |||||||||||||
Soybean Meal** | 102 | Dec-2017 | 3,114 | 3,221 | 107 | |||||||||||||
Soybean Oil** | 662 | Dec-2017 | 13,506 | 13,036 | (470) |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 259 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Accumulation Fund (Continued)
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||
Sugar No. 11** | 756 | Feb-2018 | $12,255 | $11,939 | $(317) | |||||||||||||||
Wheat** | 395 | Dec-2017 | 9,698 | 8,853 | (845) | |||||||||||||||
|
| |||||||||||||||||||
$3,712,625 | $3,711,517 | $14,038 | ||||||||||||||||||
|
|
A list of the open forward foreign currency contracts held by the Fund at September 30, 2017, is as follows:
Counterparty | Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) (Thousands) | ||||||||||||||||||
Barclays PLC | 10/25/17 - 10/30/17 | GBP | 58,279 | USD | 78,987 | $ | 743 | |||||||||||||||
Barclays PLC | 10/25/17 | EUR | 72,345 | USD | 86,944 | 1,307 | ||||||||||||||||
BNP Paribas | 10/30/17 | EUR | 132 | USD | 156 | – | ||||||||||||||||
BNP Paribas | 10/30/17 | HKD | 50,000 | USD | 6,406 | (1 | ) | |||||||||||||||
Citigroup | 12/20/17 | CHF | 4 | USD | 4 | – | ||||||||||||||||
Citigroup | 12/20/17 | CAD | 72 | USD | 57 | – | ||||||||||||||||
Citigroup | 12/20/17 | USD | 42 | CAD | 53 | – | ||||||||||||||||
Citigroup | 12/20/17 | USD | 122 | CAD | 151 | (1 | ) | |||||||||||||||
Citigroup | 12/20/17 | PLN | 300 | USD | 82 | – | ||||||||||||||||
Citigroup | 12/20/17 | USD | 374 | CHF | 355 | (5 | ) | |||||||||||||||
Citigroup | 12/20/17 | CNY | 800 | USD | 121 | 1 | ||||||||||||||||
Citigroup | 12/20/17 | USD | 3,574 | HKD | 27,890 | 4 | ||||||||||||||||
Citigroup | 12/20/17 | CNH | 7,000 | USD | 1,053 | 5 | ||||||||||||||||
Citigroup | 12/20/17 | CNH | 3,500 | USD | 523 | (1 | ) | |||||||||||||||
Citigroup | 12/20/17 | USD | 1,440 | CNH | 9,659 | 6 | ||||||||||||||||
Citigroup | 12/20/17 | USD | 11,681 | CNH | 77,141 | (135 | ) | |||||||||||||||
Citigroup | 12/20/17 | TRY | 8,400 | USD | 2,329 | 22 | ||||||||||||||||
Citigroup | 12/20/17 | TRY | 5,900 | USD | 1,614 | (7 | ) | |||||||||||||||
Citigroup | 12/20/17 | USD | 10,288 | EUR | 8,700 | 44 | ||||||||||||||||
Citigroup | 12/20/17 | USD | 11,308 | EUR | 9,400 | (144 | ) | |||||||||||||||
Citigroup | 12/20/17 | USD | 27,944 | ZAR | 369,700 | (914 | ) | |||||||||||||||
Citigroup | 12/20/17 | USD | 28,383 | INR | 1,836,000 | (565 | ) | |||||||||||||||
Citigroup | 12/20/17 | USD | 40,930 | KRW | 46,077,200 | (623 | ) | |||||||||||||||
Citigroup | 12/20/17 | USD | 11,319 | BRL | 36,320 | 44 | ||||||||||||||||
Citigroup | 12/20/17 | USD | 30,838 | BRL | 97,880 | (217 | ) | |||||||||||||||
Citigroup | 12/20/17 | HKD | 297 | USD | 38 | – | ||||||||||||||||
Citigroup | 12/20/17 | HKD | 42,830 | USD | 5,493 | (3 | ) | |||||||||||||||
Citigroup | 12/20/17 | USD | 45,505 | HUF | 11,630,200 | (1,030 | ) | |||||||||||||||
Citigroup | 12/20/17 | USD | 47,991 | PLN | 171,100 | (1,010 | ) | |||||||||||||||
Citigroup | 12/20/17 | ZAR | 34,400 | USD | 2,555 | 40 | ||||||||||||||||
Citigroup | 12/20/17 | ZAR | 14,300 | USD | 1,043 | (3 | ) | |||||||||||||||
Citigroup | 12/20/17 | GBP | 48,901 | USD | 63,309 | (2,454 | ) | |||||||||||||||
Citigroup | 12/20/17 | USD | 61,857 | TRY | 219,900 | (1,467 | ) | |||||||||||||||
Citigroup | 12/20/17 | MXN | 43,300 | USD | 2,401 | 47 | ||||||||||||||||
Citigroup | 12/20/17 | MXN | 19,200 | USD | 1,039 | (4 | ) | |||||||||||||||
Citigroup | 12/20/17 | USD | 65,082 | MXN | 1,175,900 | (1,164 | ) | |||||||||||||||
Citigroup | 12/20/17 | EUR | 233,174 | USD | 280,136 | 3,215 | ||||||||||||||||
Citigroup | 12/20/17 | EUR | 14,004 | USD | 16,603 | (29 | ) | |||||||||||||||
Citigroup | 12/20/17 | INR | 213,400 | USD | 3,242 | 9 | ||||||||||||||||
Citigroup | 12/20/17 | INR | 66,600 | USD | 1,001 | (8 | ) | |||||||||||||||
Citigroup | 12/20/17 | HUF | 3,230,800 | USD | 12,621 | 266 |
260 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Counterparty | Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) (Thousands) | ||||||||||||||||||
Citigroup | 12/20/17 | HUF | 2,225,000 | USD | 8,447 | $ | (62 | ) | ||||||||||||||
Citigroup | 12/20/17 | KRW | 5,162,300 | USD | 4,558 | 42 | ||||||||||||||||
Citigroup | 12/20/17 | KRW | 2,890,300 | USD | 2,525 | (4 | ) | |||||||||||||||
JPMorgan Chase Bank | 10/30/17 | CHF | 5,400 | USD | 5,564 | (29 | ) | |||||||||||||||
JPMorgan Chase Bank | 10/30/17 | CAD | 12,700 | USD | 10,269 | 110 | ||||||||||||||||
JPMorgan Chase Bank | 10/30/17 | EUR | 32,800 | USD | 38,743 | (93 | ) | |||||||||||||||
JPMorgan Chase Bank | 10/30/17 | JPY | 1,690,400 | USD | 15,100 | 57 | ||||||||||||||||
State Street | 10/30/17 | AUD | 10,600 | USD | 8,359 | 47 | ||||||||||||||||
|
|
| ||||||||||||||||||||
$ | (3,964 | ) | ||||||||||||||||||||
|
|
|
A list of the open OTC swap agreements held by the Fund at September 30, 2017 is as follows:
Total Return Swaps | ||||||||||||||||||||||||||||
Counterparty | Reference Entity/ Obligation | Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount (Thousands) | Value (Thousands) | Upfront Payments/ Receipts (Thousands) | Net Unrealized Appreciation | ||||||||||||||||||
JPMorgan Chase Bank | Taiwan Index | Negative Price Return | Positive Price Return | At Maturity | 10/18/2017 | TWD | $1,905 | $1,837 | $– | $(53) | ||||||||||||||||||
Bank of America | Taiwan Index | Negative Price Return | Positive Price Return | At Maturity | 10/18/2017 | TWD | 5,270 | 5,104 | – | (124) | ||||||||||||||||||
Bank of America | Bovespa Index | Negative Price Return | Positive Price Return | At Maturity | 10/18/2017 | BRL | 326 | 354 | – | 27 | ||||||||||||||||||
JPMorgan Chase Bank | Bovespa Index | Negative Price Return | Positive Price Return | At Maturity | 10/18/2017 | BRL | 15,625 | 16,985 | – | 1,287 | ||||||||||||||||||
Bank of America | Euro-Bund | Negative Price Return | Positive Price Return | At Maturity | 12/07/2017 | EUR | 112,807 | 110,972 | – | (949) | ||||||||||||||||||
Bank of America | S&P CNX Nifty | Negative Price Return | Positive Price Return | At Maturity | 10/26/2017 | USD | 4,146 | 4,097 | – | (49) | ||||||||||||||||||
JPMorgan Chase Bank | S&P CNX Nifty | Negative Price Return | Positive Price Return | At Maturity | 10/26/2017 | USD | 5,916 | 5,843 | – | (73) | ||||||||||||||||||
Bank of America | H-Shares Index | Negative Price Return | Positive Price Return | At Maturity | 10/30/2017 | HKD | 42,364 | 42,168 | – | (208) | ||||||||||||||||||
JPMorgan Chase Bank | H-Shares Index | Negative Price Return | Positive Price Return | At Maturity | 10/30/2017 | HKD | 24,175 | 23,946 | – | (238) | ||||||||||||||||||
JPMorgan Chase Bank | Taiwan Index | Negative Price Return | Positive Price Return | At Maturity | 10/30/2017 | USD | 22,569 | 22,544 | – | (25) | ||||||||||||||||||
Bank of America | Taiwan Index | Negative Price Return | Positive Price Return | At Maturity | 10/30/2017 | USD | 6,916 | 6,886 | – | (30) | ||||||||||||||||||
Bank of America | Hang Seng Index | Negative Price Return | Positive Price Return | At Maturity | 10/30/2017 | HKD | 9,704 | 9,688 | – | (19) | ||||||||||||||||||
JPMorgan Chase Bank | Hang Seng Index | Negative Price Return | Positive Price Return | At Maturity | 10/30/2017 | HKD | 8,317 | 8,278 | – | (41) | ||||||||||||||||||
Bank of America | KOSPI Index | Negative Price Return | Positive Price Return | At Maturity | 12/14/2017 | KRW | 10,277 | 10,331 | – | 170 | ||||||||||||||||||
JPMorgan Chase Bank | KOSPI Index | Negative Price Return | Positive Price Return | At Maturity | 12/14/2017 | KRW | 21,567 | 21,702 | – | 395 | ||||||||||||||||||
JPMorgan Chase Bank | Swiss Market | Negative Price Return | Positive Price Return | At Maturity | 12/15/2017 | CHF | 8,264 | 8,304 | – | 94 | ||||||||||||||||||
Bank of America | Swiss Market | Negative Price Return | Positive Price Return | At Maturity | 12/15/2017 | CHF | 9,926 | 10,003 | – | 124 | ||||||||||||||||||
Bank of America | Canadian 10-Year Bond | Negative Price Return | Positive Price Return | At Maturity | 12/29/2017 | CAD | 1,320 | 1,298 | – | (26) | ||||||||||||||||||
Bank of America | U.S. 10-Year Treasury Note | Negative Price Return | Positive Price Return | At Maturity | 12/29/2017 | USD | 367,871 | 364,158 | – | (3,713) | ||||||||||||||||||
Citibank | Brent Crude** | Negative Price Return | Positive Price Return | At Maturity | 12/01/2017 | USD | 9,355 | 9,847 | – | 492 | ||||||||||||||||||
Citibank | Gasoline** | Negative Price Return | Positive Price Return | At Maturity | 12/01/2017 | USD | 651 | 663 | – | 12 | ||||||||||||||||||
BoA Merrill Lynch | Gasoline** | Negative Price Return | Positive Price Return | At Maturity | 12/01/2017 | USD | 2,398 | 2,453 | – | 55 | ||||||||||||||||||
BoA Merrill Lynch | Gasoil** | Negative Price Return | Positive Price Return | At Maturity | 12/31/2017 | USD | 5,008 | 5,284 | – | 276 | ||||||||||||||||||
Citibank | Gasoil** | Negative Price Return | Positive Price Return | At Maturity | 12/31/2017 | USD | 5,801 | 6,138 | – | 337 | ||||||||||||||||||
Citibank | Heating Oil** | Negative Price Return | Positive Price Return | At Maturity | 12/01/2017 | USD | 3,052 | 3,186 | – | 134 | ||||||||||||||||||
BoA Merrill Lynch | Heating Oil** | Negative Price Return | Positive Price Return | At Maturity | 12/01/2017 | USD | 4,003 | 4,172 | – | 169 | ||||||||||||||||||
BoA Merrill Lynch | Lean Hogs** | Negative Price Return | Positive Price Return | At Maturity | 12/14/2017 | USD | 6,679 | 6,762 | – | 83 | ||||||||||||||||||
Citibank | Corn** | Negative Price Return | Positive Price Return | At Maturity | 12/15/2017 | USD | 15,912 | 14,423 | – | (1,489) | ||||||||||||||||||
BoA Merrill Lynch | Corn** | Negative Price Return | Positive Price Return | At Maturity | 12/15/2017 | USD | 1,109 | 1,013 | – | (96) | ||||||||||||||||||
Citibank | Soybean Meal** | Negative Price Return | Positive Price Return | At Maturity | 12/15/2017 | USD | 3,633 | 3,695 | – | 62 | ||||||||||||||||||
BoA Merrill Lynch | Soybean Meal** | Negative Price Return | Positive Price Return | At Maturity | 12/15/2017 | USD | 2,328 | 2,305 | – | (23) | ||||||||||||||||||
BoA Merrill Lynch | KC HRW Wheat** | Negative Price Return | Positive Price Return | At Maturity | 12/15/2017 | USD | 27 | 22 | – | (5) | ||||||||||||||||||
Citibank | KC HRW Wheat** | Negative Price Return | Positive Price Return | At Maturity | 12/15/2017 | USD | 786 | 620 | – | (166) | ||||||||||||||||||
BoA Merrill Lynch | Cotton No. 2** | Negative Price Return | Positive Price Return | At Maturity | 12/15/2017 | USD | 2,201 | 2,190 | – | (11) | ||||||||||||||||||
Citibank | Cotton No. 2** | Negative Price Return | Positive Price Return | At Maturity | 12/15/2017 | USD | 3,452 | 3,251 | – | (201) | ||||||||||||||||||
Citibank | NYMEX Cocoa** | Negative Price Return | Positive Price Return | At Maturity | 12/15/2017 | USD | 238 | 245 | – | 7 | ||||||||||||||||||
Citibank | LME Aluminum** | Negative Price Return | Positive Price Return | At Maturity | 12/20/2017 | USD | 1,234 | 1,365 | – | 131 | ||||||||||||||||||
Citibank | LME Copper** | Negative Price Return | Positive Price Return | At Maturity | 12/19/2017 | USD | 2,372 | 2,592 | – | 220 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 261 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Accumulation Fund (Concluded)
Total Return Swaps | ||||||||||||||||||||||||||||
Counterparty | Reference Entity/ Obligation | Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount (Thousands) | Value (Thousands) | Upfront | Net Unrealized Appreciation | ||||||||||||||||||
Citibank | LME Lead** | Negative Price Return | Positive Price Return | At Maturity | 12/20/2017 | USD | $1,663 | $1,805 | $– | $142 | ||||||||||||||||||
Citibank | LME Nickel** | Negative Price Return | Positive Price Return | At Maturity | 12/20/2017 | USD | 1,187 | 1,196 | – | 9 | ||||||||||||||||||
Citibank | LME Zinc** | Negative Price Return | Positive Price Return | At Maturity | 12/19/2017 | USD | 842 | 950 | – | 108 | ||||||||||||||||||
BoA Merrill Lynch | Soybean Oil** | Negative Price Return | Positive Price Return | At Maturity | 12/26/2017 | USD | 2,406 | 2,462 | – | 56 | ||||||||||||||||||
Citibank | Soybean Oil** | Negative Price Return | Positive Price Return | At Maturity | 12/26/2017 | USD | 2,812 | 2,777 | – | (35) | ||||||||||||||||||
Citibank | Silver** | Negative Price Return | Positive Price Return | At Maturity | 12/29/2017 | USD | 253 | 250 | – | (3) | ||||||||||||||||||
BoA Merrill Lynch | Silver** | Negative Price Return | Positive Price Return | At Maturity | 12/29/2017 | USD | 85 | 83 | – | (2) | ||||||||||||||||||
Citibank | Gold** | Negative Price Return | Positive Price Return | At Maturity | 12/29/2017 | USD | 16,799 | 17,216 | – | 417 | ||||||||||||||||||
BoA Merrill Lynch | Gold** | Negative Price Return | Positive Price Return | At Maturity | 12/29/2017 | USD | 739 | 771 | – | 32 | ||||||||||||||||||
BoA Merrill Lynch | Coffee** | Negative Price Return | Positive Price Return | At Maturity | 12/29/2017 | USD | 758 | 720 | – | (38) | ||||||||||||||||||
Citibank | Coffee** | Negative Price Return | Positive Price Return | At Maturity | 12/29/2017 | USD | 4,249 | 4,082 | – | (167) | ||||||||||||||||||
BoA Merrill Lynch | Live Cattle** | Negative Price Return | Positive Price Return | At Maturity | 12/29/2017 | USD | 11,340 | 11,848 | – | 508 | ||||||||||||||||||
Citibank | Natural Gas** | Negative Price Return | Positive Price Return | At Maturity | 12/31/2017 | USD | 1,628 | 1,622 | – | (6) | ||||||||||||||||||
BoA Merrill Lynch | Soybean** | Negative Price Return | Positive Price Return | At Maturity | 01/12/2018 | USD | 12,130 | 12,182 | – | 52 | ||||||||||||||||||
Citibank | Soybean** | Negative Price Return | Positive Price Return | At Maturity | 01/12/2018 | USD | 11,114 | 11,204 | – | 90 | ||||||||||||||||||
BoA Merrill Lynch | Sugar No. 11** | Negative Price Return | Positive Price Return | At Maturity | 02/28/2018 | USD | 568 | 537 | – | (31) | ||||||||||||||||||
Citibank | Sugar No. 11** | Negative Price Return | Positive Price Return | At Maturity | 02/28/2018 | USD | 279 | 269 | – | (10) | ||||||||||||||||||
Citibank | Wheat** | Negative Price Return | Positive Price Return | At Maturity | 12/15/2017 | USD | 5,574 | 4,796 | – | (778) | ||||||||||||||||||
BoA Merrill Lynch | Wheat** | Negative Price Return | Positive Price Return | At Maturity | 12/15/2017 | USD | 211 | 179 | – | (32) | ||||||||||||||||||
BoA Merrill Lynch | WTI Crude Oil** | Negative Price Return | Positive Price Return | At Maturity | 11/20/2017 | USD | 9,621 | 10,078 | – | 457 | ||||||||||||||||||
Citibank | WTI Crude Oil** | Negative Price Return | Positive Price Return | At Maturity | 11/20/2017 | USD | 18,089 | 19,014 | – | 925 | ||||||||||||||||||
|
| |||||||||||||||||||||||||||
$– | $(1,770) | |||||||||||||||||||||||||||
|
|
A list of the open centrally cleared swap agreements held by the Fund at September 30, 2017 is as follows:
Interest Rate Swaps | ||||||||||||||||||||||||
Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount (Thousands) | Value ($ Thousands) | Upfront Payments/ Receipts ($ Thousands) | Net Unrealized Depreciation ($ Thousands) | ||||||||||||||||
3-MONTH USD - LIBOR | 2.25% | Quarterly | 12/20/2022 | USD | $185,384 | $1,781 | $2,919 | $(1,138) | ||||||||||||||||
3-MONTH USD - LIBOR | 2.00% | Quarterly | 12/20/2019 | USD | 495,838 | 1,936 | 3,054 | (1,118) | ||||||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||||||||
$3,717 | $5,973 | $(2,256) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
Percentages are based on Net Assets of $2,706,416 ($ Thousands).
* | Non-income producing security. |
‡ | Real Estate Investment Trust. |
‡‡ | Expiration date unavailable. |
** | Futures and swap contracts held by the Accumulation Commodity Strategy Subsidiary, Ltd. as of September 30, 2017. |
(A) | Security, or a portion thereof, is held by the Accumulation Commodity Strategy Subsidiary, Ltd. as of September 30, 2017. |
(B) | Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase. |
(C) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2017, the value of these securities amounted to $8,279 ($ Thousands), representing 0.3% of the Net Assets of the Fund. |
(D) | Level 3 security in accordance with fair value hierarchy. |
(E) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
AUD — Australian Dollar
BRL — Brazilian Real
CAD — Canadian Dollar
CHF — Swiss Franc
Cl — Class
CNH – Chinese Offshore Yuan
CNY – Chinese Yuan Onshore
DJ — Dow Jones
EUR — Euro
EURIBOR — Euro London Interbank Offered Rate
FTSE — Financial Times and the London Stock Exchange
GBP — British Pound Sterling
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
262 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
MSCI — Morgan Stanley Capital International
MTN — Medium Term Note
MXN — Mexican Peso
NYMEX — New York Mercantile Exchange
OTC — Over the Counter
PLN — Polish Zloty
S&P— Standard & Poor’s
SGX — Singapore Exchange
SPI — Share Price Index
TRY — Turkish Lira
TSE — Tokyo Stock Exchange
TSX — Toronto Stock Exchange
USD — United States Dollar
ZAR — South African Rand
The following is a list of the level of inputs used as of September 30, 2017, 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 | $ | – | $ | 1,315,773 | $ | – | $ | 1,315,773 | ||||||||
Sovereign Debt | – | 409,756 | – | 409,756 | ||||||||||||
Foreign Common Stock | 117,732 | – | – | 117,732 | ||||||||||||
Common Stock | 99,269 | – | – | 99,269 | ||||||||||||
Corporate Obligations | – | 49,928 | – | 49,928 | ||||||||||||
Exchange Traded Fund | 41,425 | – | – | 41,425 | ||||||||||||
Preferred Stock | 299 | – | – | 299 | ||||||||||||
Rights | – | 5 | – | 5 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities | $ | 258,725 | $ | 1,775,462 | $ | – | $ | 2,034,187 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 44,549 | $ | – | $ | – | $ | 44,549 | ||||||||
Unrealized Depreciation | (30,511) | – | – | (30,511) | ||||||||||||
Forwards Contracts * | ||||||||||||||||
Unrealized Appreciation | – | 6,009 | – | 6,009 | ||||||||||||
Unrealized Depreciation | – | (9,973) | – | (9,973) | ||||||||||||
OTC Swaps | ||||||||||||||||
Total Return Swaps * | ||||||||||||||||
Unrealized Appreciation | – | 6,871 | – | 6,871 | ||||||||||||
Unrealized Depreciation | – | (8,641) | – | (8,641) | ||||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Interest Rate Swaps * | ||||||||||||||||
Unrealized Depreciation | – | (2,256) | – | (2,256) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Other Financial Instruments | $ | 14,038 | $ | (7,990) | $ | – | $ | 6,048 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “–” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 263 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Income Fund
†Percentages are based on total investments.
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES — 27.0% |
| |||||||
Mortgage Related Securities — 0.1% |
| |||||||
GSAA Home Equity Trust, Ser 2006-14, Cl A3A | ||||||||
1.487%, VAR ICE LIBOR USD 1 Month+0.250%, 09/25/2036 | $ | 466 | $ | 297 | ||||
Soundview Home Loan Trust, Ser 2006- OPT3, Cl 2A4 | ||||||||
1.487%, VAR ICE LIBOR USD 1 Month+0.250%, 06/25/2036 | 1,360 | 1,252 | ||||||
|
|
| ||||||
1,549 | ||||||||
|
|
| ||||||
Other Asset-Backed Securities — 26.9% |
| |||||||
A Voce CLO, Ser 2014-A1, Cl AIR | 2,200 | 2,209 | ||||||
2.464%, 07/15/2026 | ||||||||
AASET Trust, Ser 2017-1A, Cl A | 4,300 | 4,329 | ||||||
3.967%, 05/16/2042 (A) | ||||||||
ABPCI Direct Lending Fund CLO I, Ser 2016-1A, Cl A | ||||||||
4.077%, VAR ICE LIBOR USD 3 Month+2.700%, 12/22/2028 (A) | 3,000 | 3,018 | ||||||
ABPCI Direct Lending Fund CLO II, Ser 2017-1A, Cl A2 | ||||||||
3.186%, VAR ICE LIBOR USD 3 Month+2.350%, 07/20/2029 (A) | 1,000 | 1,016 | ||||||
Academic Loan Funding Trust, Ser 2012-1A, Cl A2 | ||||||||
2.337%, VAR ICE LIBOR USD 1 Month+1.100%, 12/27/2044 (A) | 1,350 | 1,347 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
ACIS CLO, Ser 2013-1A, Cl ACOM | ||||||||
2.531%, VAR ICE LIBOR USD 3 Month+1.227%, 04/18/2024 (A) | $ | 911 | $ | 915 | ||||
ACIS CLO, Ser 2013-1A, Cl D | ||||||||
5.658%, VAR ICE LIBOR USD 3 Month+4.500%, 04/18/2024 (A) | 800 | 808 | ||||||
ACIS CLO, Ser 2014-4A, Cl A | ||||||||
2.731%, VAR ICE LIBOR USD 3 Month+1.420%, 05/01/2026 (A) | 500 | 502 | ||||||
ACIS CLO, Ser 2017-2A, Cl C2R | ||||||||
2.604%, VAR ICE LIBOR USD 3 Month+1.300%, 10/14/2022 (A) | 87 | 86 | ||||||
Adams Mill CLO, Ser 2014-1A, Cl E1 | ||||||||
6.158%, VAR ICE LIBOR USD 3 Month+5.000%, 07/15/2026 (A) | 1,000 | 947 | ||||||
AIM Aviation Finance, Ser 2015-1A, Cl B1 | 815 | 804 | ||||||
5.072%, 02/15/2040 (A) | ||||||||
Aimco CLO, Ser 2017-A | 1,600 | 1,611 | ||||||
2.593%, 07/20/2029 | ||||||||
Airplanes Pass-Through Trust, Ser 2001-1A, Cl A9 | ||||||||
1.777%, VAR ICE LIBOR USD 1 Month+0.550%, 03/15/2019 (A) | 858 | 62 | ||||||
ALM XIV, Ser 2014-14A, Cl C | ||||||||
4.622%, VAR ICE LIBOR USD 3 Month+3.450%, 07/28/2026 (A) | 1,250 | 1,269 | ||||||
AMMC CLO XI, Ser 2012-11A, Cl SUB | 2,100 | 1,115 | ||||||
0.000%, 10/30/2023 (A) | ||||||||
Anchorage Capital CLO 4, Ser 2017-4A, Cl A1AR | ||||||||
2.454%, VAR ICE LIBOR USD 3 Month+1.140%, 07/28/2026 (A) | 1,500 | 1,506 | ||||||
Anchorage Credit Funding 4, Ser 2016-4A, Cl B | ||||||||
4.500%, 02/15/2035 (A) | 1,000 | 1,004 | ||||||
Apidos CLO X, Ser 2012-10A, Cl A | ||||||||
2.731%, VAR ICE LIBOR USD 3 Month+1.420%, 10/30/2022 (A) | 814 | 814 | ||||||
Apidos CLO XIX, Ser 2017-19A, Cl A1R | ||||||||
2.504%, VAR ICE LIBOR USD 3 Month+1.200%, 10/17/2026 (A) | 600 | 600 | ||||||
Apollo Aviation Securitization Equity Trust, Ser 2014-1, Cl A | ||||||||
5.125%, 12/15/2029 (B) | 3,848 | 3,886 | ||||||
Apollo Aviation Securitization Equity Trust, Ser 2014-1, Cl B | ||||||||
7.375%, 12/15/2029 (B) | 3,673 | 3,700 | ||||||
Apollo Aviation Securitization Equity Trust, Ser 2016-2, Cl A | ||||||||
4.212%, 11/15/2041 to 11/15/2041 | 924 | 927 | ||||||
Apollo Aviation Securitization Equity Trust, Ser 2016-2, Cl B | ||||||||
5.926%, 11/15/2041 to 11/15/2041 | 1,201 | 1,207 |
264 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Apollo Aviation Securitization Equity Trust, Ser 2016-2, Cl C | ||||||||
7.869%, 11/15/2041 | $ | 629 | $ | 631 | ||||
0.000%, 11/15/2041 | 205 | 205 | ||||||
ARES XXV CLO, Ser 2013-3A, Cl SUB | 750 | 1 | ||||||
0.000%, 01/17/2024 (A) | ||||||||
ARES XXVI CLO, Ser 2013-1A, Cl C | ||||||||
3.908%, VAR ICE LIBOR USD 3 Month+2.750%, 04/15/2025 (A) | 750 | 753 | ||||||
Atlas Senior Loan Fund II, Ser 2012-2A, Cl SUB | ||||||||
0.000%, 01/30/2024 (A) | 950 | 554 | ||||||
Atlas Senior Loan Fund V, Ser 2017-1A, Cl AR2 | ||||||||
2.564%, VAR ICE LIBOR USD 3 Month+1.260%, 07/16/2029 (A) | 1,700 | 1,712 | ||||||
Atrium X, Ser 2017-10A, Cl AR | ||||||||
2.254%, VAR ICE LIBOR USD 3 Month+0.950%, 07/16/2025 (A) | 1,550 | 1,552 | ||||||
Avery Point III CLO, Ser 2013-3X, Cl COM | 3,000 | 2,555 | ||||||
0.701%, 01/18/2025 | ||||||||
B&M CLO, Ser 2014-1A, Cl A2 | ||||||||
3.254%, VAR ICE LIBOR USD 3 Month+1.950%, 04/16/2026 (A) | 450 | 452 | ||||||
Babson CLO, Ser 2012-2A, Cl SUB | 3,000 | 619 | ||||||
0.000%, 05/15/2023 (A) | ||||||||
Babson CLO, Ser 2014-IA, Cl SUB | 2,400 | 1,186 | ||||||
0.000%, 07/20/2025 (A) | ||||||||
Bank of America Student Loan Trust, Ser 2010-1A, Cl A | ||||||||
2.114%, VAR ICE LIBOR USD 3 Month+0.800%, 02/25/2043 (A) | 234 | 235 | ||||||
Bayview Opportunity Master Fund IIa Trust, Ser 2017-RN5, Cl A1 | ||||||||
3.105%, 08/28/2032 (A) | 1,193 | 1,193 | ||||||
Bayview Opportunity Master Fund IIIa Trust, Ser 2017-RN7, Cl A1 | ||||||||
3.105%, 09/28/2032 (A)(C) | 1,100 | 1,100 | ||||||
Bayview Opportunity Master Fund IIIb Trust, Ser 2017-RN3, Cl A1 | ||||||||
3.228%, 05/28/2032 (A) | 718 | 719 | ||||||
Bayview Opportunity Master Fund IVb Trust, Ser 2017-NPL1, Cl A1 | ||||||||
3.598%, 01/28/2032 (A) | 974 | 972 | ||||||
Bayview Opportunity Master Fund IVb Trust, Ser 2017-RN1, Cl A1 | ||||||||
3.598%, 02/28/2032 (A)(B) | 2,135 | 2,149 | ||||||
Benefit Street Partners CLO II, Ser 2017-IIA, Cl A1R | ||||||||
2.554%, VAR ICE LIBOR USD 3 Month+1.250%, 07/15/2029 (A) | 1,650 | 1,661 | ||||||
Brad Restructuring Trust, Ser 2014-1, Cl B | 799 | 802 | ||||||
5.438%, 03/12/2026 (C)(D) |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Brazos Higher Education Authority, Ser 2005-2, Cl A11 | ||||||||
1.456%, VAR ICE LIBOR USD 3 Month+0.140%, 09/27/2021 | $ | 106 | $ | 106 | ||||
Castlelake Aircraft Securitization Trust, Ser 2017-1, Cl A | ||||||||
3.967%, 07/15/2042 | 2,860 | 2,855 | ||||||
Catamaran CLO, Ser 2016-1A, Cl CR | ||||||||
4.124%, VAR ICE LIBOR USD 3 Month+2.850%, 12/20/2023 (A) | 1,000 | 1,000 | ||||||
Cedar Funding II CLO, Ser 2017-1A, Cl A1R | ||||||||
2.547%, VAR ICE LIBOR USD 3 Month+1.230%, 06/09/2030 (A) | 1,700 | 1,711 | ||||||
Cedar Funding V CLO, Ser 2016-5A, Cl A1 | ||||||||
2.914%, VAR ICE LIBOR USD 3 Month+1.610%, 07/17/2028 (A) | 2,000 | 2,032 | ||||||
Cerberus Loan Funding XVI, Ser 2016-2A, Cl C | ||||||||
5.104%, VAR ICE LIBOR USD 3 Month+3.800%, 11/15/2027 (A) | 1,000 | 1,008 | ||||||
Cerberus Loan Funding XVII, Ser 2016-3A, Cl A | ||||||||
3.688%, VAR ICE LIBOR USD 3 Month+2.530%, 01/15/2028 (A) | 2,000 | 2,010 | ||||||
Cerberus Onshore II CLO, Ser 2014-1A, Cl C | ||||||||
4.804%, VAR ICE LIBOR USD 3 Month+3.500%, 10/15/2023 (A) | 142 | 142 | ||||||
4.372%, VAR ICE LIBOR USD 3 Month+3.350%, 10/15/2023 (A) | 750 | 743 | ||||||
Cerberus Onshore II CLO, Ser 2014-1A, Cl D | ||||||||
5.304%, VAR ICE LIBOR USD 3 Month+4.000%, 10/15/2023 (A) | 250 | 250 | ||||||
5.172%, VAR ICE LIBOR USD 3 Month+4.150%, 10/15/2023 (A) | 750 | 745 | ||||||
Chesapeake Funding II, Ser 2017-2A, Cl A1 | 1,600 | 1,601 | ||||||
1.990%, 05/15/2029 (A) | ||||||||
CIFC Funding, Ser 2016-3A, Cl A1R | ||||||||
2.511%, VAR ICE LIBOR USD 3 Month+1.200%, 01/29/2025 (A) | 1,891 | 1,893 | ||||||
CIT Education Loan Trust, Ser 2005-1, Cl A3 | ||||||||
1.366%, VAR ICE LIBOR USD 3 Month+0.120%, 03/15/2026 | 406 | 405 | ||||||
Citigroup Mortgage Loan Trust, Ser 2005- OPT4, Cl M5 | ||||||||
1.857%, VAR ICE LIBOR USD 1 Month+0.620%, 07/25/2035 | 500 | 497 | ||||||
Copper River CLO, Ser 2007-1A, Cl INC | 3,000 | 409 | ||||||
0.000%, 01/20/2021 (A) | ||||||||
Crestline Denali CLO, Ser 2017-1A, Cl A2LR | ||||||||
2.971%, VAR ICE LIBOR USD 3 Month+1.600%, 10/26/2027 (A) | 1,400 | 1,400 | ||||||
Crown Point CLO, Ser 2015-3A, Cl A1BR | 2,000 | 2,000 | ||||||
2.269%, 12/31/2027 (C)(D) |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 265 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Cutwater, Ser 2017-1A, Cl A1AR | ||||||||
2.554%, VAR ICE LIBOR USD 3 Month+1.250%, 07/15/2026 (A) | $ | 1,600 | $ | 1,608 | ||||
DB Master Finance, Ser 2015-1A, Cl A2II | 1,024 | 1,047 | ||||||
3.980%, 02/20/2045 (A) | ||||||||
DIVCORE CLO, Ser 2013-1A, Cl B | 416 | 416 | ||||||
5.134%, 11/15/2032 | ||||||||
Dryden 37 Senior Loan Fund, Ser 2015-37A, Cl Q | ||||||||
0.211%, 04/15/2027 (A) | 1,000 | 897 | ||||||
Dryden 41 Senior Loan Fund, Ser 2015-41A, Cl SUB | ||||||||
1.315%, 01/15/2028 (A)(B) | 1,600 | 1,040 | ||||||
ECMC Group Student Loan Trust, Ser 2016-1A, Cl A | ||||||||
2.587%, VAR ICE LIBOR USD 1 Month+1.350%, 07/26/2066 (A) | 1,002 | 1,002 | ||||||
Educational Funding of the South, Ser 2011-1, Cl A2 | ||||||||
1.964%, VAR ICE LIBOR USD 3 Month+0.650%, 04/25/2035 | 439 | 439 | ||||||
EFS Volunteer No. 2, Ser 2012-1, Cl A2 | ||||||||
2.587%, VAR ICE LIBOR USD 1 Month+1.350%, 03/25/2036 (A) | 1,300 | 1,319 | ||||||
EFS Volunteer No. 3, Ser 2012-1, Cl A3 | ||||||||
2.237%, VAR ICE LIBOR USD 1 Month+1.000%, 04/25/2033 (A) | 800 | 800 | ||||||
Emerald Aviation Finance, Ser 2013-1, Cl B | 1,062 | 1,091 | ||||||
6.350%, 10/15/2038 (A) | ||||||||
Falcon Aerospace, Ser 2017-1, Cl A | 1,490 | 1,513 | ||||||
4.581%, 02/15/2042 (A) | ||||||||
Falcon Aerospace, Ser 2017-1, Cl B | 1,153 | 1,163 | ||||||
6.300%, 02/15/2042 (A) | ||||||||
Fifth Street SLF II, Ser 2015-2A, Cl A2 | ||||||||
3.980%, VAR ICE LIBOR USD 3 Month+2.810%, 09/29/2027 (A) | 1,000 | 1,000 | ||||||
Flagship VII, Ser 2017-7A, Cl A1R | ||||||||
2.427%, VAR ICE LIBOR USD 3 Month+1.120%, 01/20/2026 (A) | 1,100 | 1,102 | ||||||
Flagship VII, Ser 2017-7A, Cl CR | ||||||||
3.657%, VAR ICE LIBOR USD 3 Month+2.350%, 01/20/2026 (A) | 1,500 | 1,494 | ||||||
Fortress Credit BSL II, Ser 2017-2A, Cl A1FR | ||||||||
2.456%, VAR ICE LIBOR USD 3 Month+1.150%, 10/19/2025 (A) | 2,500 | 2,502 | ||||||
Fortress Credit BSL II, Ser 2017-2A, Cl CR | ||||||||
3.806%, VAR ICE LIBOR USD 3 Month+2.500%, 10/19/2025 (A) | 1,000 | 1,002 | ||||||
Fortress Credit Investments IV, Ser 2015-4A, Cl D | ||||||||
4.804%, VAR ICE LIBOR USD 3 Month+3.500%, 07/17/2023 (A) | 1,000 | 1,002 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Fortress Credit Opportunities III CLO, Ser 2017-3A, Cl A1TR | ||||||||
2.953%, VAR ICE LIBOR USD 3 Month+1.650%, 04/28/2026 (A) | $ | 5,100 | $ | 5,092 | ||||
Fortress Credit Opportunities III CLO, Ser 2017-3A, Cl CR | ||||||||
4.403%, VAR ICE LIBOR USD 3 Month+3.100%, 04/28/2026 (A) | 2,500 | 2,480 | ||||||
Fortress Credit Opportunities V CLO, Ser 2017-5A, Cl CR | ||||||||
4.310%, VAR ICE LIBOR USD 3 Month+3.150%, 10/15/2026 (A) | 2,250 | 2,235 | ||||||
Fortress Credit Opportunities V CLO, Ser 2017-5A, Cl DR | ||||||||
5.554%, VAR ICE LIBOR USD 3 Month+4.250%, 10/15/2026 (A) | 1,000 | 997 | ||||||
Fortress Credit Opportunities VI CLO, Ser 2015-6A, Cl D | ||||||||
6.317%, VAR ICE LIBOR USD 3 Month+5.000%, 10/10/2026 (A) | 1,000 | 992 | ||||||
Fortress Credit Opportunities VII CLO, Ser 2016-7A, Cl B | ||||||||
4.270%, VAR ICE LIBOR USD 3 Month+2.950%, 12/15/2028 (A) | 2,000 | 2,023 | ||||||
Galaxy XVIII CLO, Ser 2017-18A, Cl AR | ||||||||
2.474%, VAR ICE LIBOR USD 3 Month+1.170%, 10/15/2026 (A) | 1,800 | 1,806 | ||||||
Gallatin CLO VII, Ser 2014-1A, Cl D | ||||||||
4.918%, VAR ICE LIBOR USD 3 Month+3.760%, 07/15/2023 (A) | 500 | 499 | ||||||
Garrison Funding, Ser 2016-2A, Cl B | ||||||||
5.316%, VAR ICE LIBOR USD 3 Month+4.000%, 09/29/2027 (A) | 1,000 | 998 | ||||||
GCAT, Ser 2017-1, Cl A1 | 2,455 | 2,445 | ||||||
3.375%, 03/25/2047 (A) | ||||||||
GCAT, Ser 2017-4, Cl A1 | 1,160 | 1,163 | ||||||
3.228%, 05/25/2022 (A) | ||||||||
GoldenTree Loan Opportunities IX, Ser 2016-9A, Cl AR | ||||||||
2.681%, VAR ICE LIBOR USD 3 Month+1.370%, 10/29/2026 (A) | 1,850 | 1,850 | ||||||
Golub Capital Partners CLO, Ser 2014-18A, Cl C | ||||||||
4.656%, VAR ICE LIBOR USD 3 Month+3.500%, 04/25/2026 (A) | 600 | 594 | ||||||
Golub Capital Partners CLO, Ser 2014-18A, Cl D | ||||||||
5.156%, VAR ICE LIBOR USD 3 Month+4.000%, 04/25/2026 (A) | 300 | 295 | ||||||
Golub Capital Partners CLO, Ser 2014-21A, Cl C | ||||||||
4.456%, VAR ICE LIBOR USD 3 Month+3.300%, 10/25/2026 (A) | 1,200 | 1,189 |
266 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Golub Capital Partners CLO, Ser 2015-24A, Cl C | ||||||||
4.921%, VAR ICE LIBOR USD 3 Month+3.750%, 02/05/2027 (A) | $ | 2,000 | $ | 1,998 | ||||
Golub Capital Partners CLO, Ser 2015-25A, Cl C | ||||||||
4.821%, VAR ICE LIBOR USD 3 Month+3.650%, 08/05/2027 (A) | 1,000 | 991 | ||||||
Golub Capital Partners CLO, Ser 2016-33A, Cl A | ||||||||
3.796%, VAR ICE LIBOR USD 3 Month+2.480%, 11/21/2028 (A) | 2,000 | 1,995 | ||||||
Golub Capital Partners CLO, Ser 2017-16A, Cl BR | ||||||||
3.564%, VAR ICE LIBOR USD 3 Month+2.250%, 07/25/2029 (A) | 2,000 | 2,027 | ||||||
Gramercy Park CLO, Ser 2012-1A, Cl SUB | 1,100 | 43 | ||||||
2.122%, 07/17/2023 (A)(B) | ||||||||
Grayson CLO, Ser 2006-1A, Cl A2 | ||||||||
1.580%, VAR ICE LIBOR USD 3 Month+0.410%, 11/01/2021 (A) | 700 | 696 | ||||||
Great Lakes CLO, Ser 2012-1A | 1,000 | 640 | ||||||
0.000%, 01/15/2023 (A) | ||||||||
Great Lakes CLO, Ser 2014-1A, Cl C | ||||||||
4.858%, VAR ICE LIBOR USD 3 Month+3.700%, 04/15/2025 (A) | 2,500 | 2,476 | ||||||
Great Lakes CLO, Ser 2014-1A, Cl D | ||||||||
5.358%, VAR ICE LIBOR USD 3 Month+4.200%, 04/15/2025 (A) | 500 | 486 | ||||||
GSAMP Trust, Ser 2002-HE2, Cl A1 | ||||||||
2.276%, VAR ICE LIBOR USD 1 Month+1.040%, 10/20/2032 (A) | 1,323 | 1,329 | ||||||
Halcyon Loan Advisors Funding, Ser 2012-1A, Cl B | ||||||||
4.182%, VAR ICE LIBOR USD 3 Month+3.000%, 08/15/2023 (A) | 500 | 500 | ||||||
Halcyon Loan Advisors Funding, Ser 2012-2A, Cl C | ||||||||
4.124%, VAR ICE LIBOR USD 3 Month+2.850%, 12/20/2024 (A) | 500 | 501 | ||||||
Halcyon Loan Advisors Funding, Ser 2013-1A, Cl A1 | ||||||||
2.454%, VAR ICE LIBOR USD 3 Month+1.150%, 04/15/2025 (A) | 495 | 496 | ||||||
Halcyon Loan Advisors Funding, Ser 2014-1A, Cl A1R | ||||||||
2.434%, VAR ICE LIBOR USD 3 Month+1.130%, 04/18/2026 (A) | 650 | 651 | ||||||
Jamestown CLO VI, Ser 2017-6A, Cl A1AR | ||||||||
2.466%, VAR ICE LIBOR USD 3 Month+1.150%, 02/20/2027 (A) | 1,700 | 1,704 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Jamestown CLO X, Ser 2017-10A, Cl A1 | ||||||||
2.720%, VAR ICE LIBOR USD 3 Month+1.250%, 07/17/2029 (A) | $ | 3,400 | $ | 3,420 | ||||
JPMorgan Mortgage Acquisition Trust, Ser 2007-CH5, Cl A5 | ||||||||
1.497%, VAR ICE LIBOR USD 1 Month+0.260%, 06/25/2037 | 1,400 | 1,288 | ||||||
Kingsland IV, Ser 2007-4A, Cl D | ||||||||
2.608%, VAR ICE LIBOR USD 3 Month+1.450%, 04/16/2021 (A) | 500 | 484 | ||||||
KVK CLO, Ser 2013-1A, Cl SUB | 3,500 | 1,113 | ||||||
0.000%, 04/14/2025 (A) | ||||||||
KVK CLO, Ser 2017-2A, Cl CR | ||||||||
3.854%, VAR ICE LIBOR USD 3 Month+2.550%, 07/15/2026 (A) | 1,250 | 1,254 | ||||||
LCM XVI, Ser 2017-16A, Cl AR | ||||||||
2.334%, VAR ICE LIBOR USD 3 Month+1.030%, 07/15/2026 (A) | 1,700 | 1,703 | ||||||
Lime Street CLO, Ser 2007-1A, Cl D | ||||||||
3.774%, VAR ICE LIBOR USD 3 Month+2.500%, 06/20/2021 (A) | 750 | 743 | ||||||
Marathon CLO II, Ser 2005-2A, Cl INC | 750 | – | ||||||
0.000%, 12/20/2019 (A)(C) | ||||||||
MCF CLO IV, Ser 2014-1A, Cl E | ||||||||
7.204%, VAR ICE LIBOR USD 3 Month+5.900%, 10/15/2025 (A) | 500 | 500 | ||||||
Montana Higher Education Student Assistance, Ser 2012-1, Cl A3 | ||||||||
2.286%, VAR ICE LIBOR USD 1 Month+1.050%, 07/20/2043 | 700 | 700 | ||||||
Mountain Hawk II CLO, Ser 2013-2A, Cl C | ||||||||
3.756%, VAR ICE LIBOR USD 3 Month+2.600%, 07/22/2024 (A) | 1,000 | 1,004 | ||||||
Mountain Hawk II CLO, Ser 2013-2A, Cl D | ||||||||
4.306%, VAR ICE LIBOR USD 3 Month+3.150%, 07/22/2024 (A) | 1,000 | 988 | ||||||
Mountain View CLO, Ser 2017-1A, Cl AR | ||||||||
2.544%, VAR ICE LIBOR USD 3 Month+1.240%, 10/15/2026 (A)(E) | 1,150 | 1,150 | ||||||
MP CLO III, Ser 2013-1A, Cl C | ||||||||
3.906%, VAR ICE LIBOR USD 3 Month+2.750%, 04/20/2025 (A) | 1,000 | 1,001 | ||||||
Navient Student Loan Trust, Ser 2016-2, Cl A2 | ||||||||
2.287%, VAR ICE LIBOR USD 1 Month+1.050%, 06/25/2065 (A) | 750 | 761 | ||||||
Navient Student Loan Trust, Ser 2016-5A, Cl A | ||||||||
2.487%, VAR ICE LIBOR USD 1 Month+1.250%, 06/25/2065 (A) | 2,111 | 2,153 | ||||||
Navient Student Loan Trust, Ser 2016-7A, Cl A | ||||||||
2.387%, VAR ICE LIBOR USD 1 Month+1.150%, 03/25/2066 (A) | 1,085 | 1,098 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 267 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Navient Student Loan Trust, Ser 2017-2A, Cl A | �� | |||||||
2.284%, VAR ICE LIBOR USD 1 Month+1.050%, 12/27/2066 (A) | $ | 2,382 | $ | 2,414 | ||||
Navient Student Loan Trust, Ser 2017-5A, Cl A | ||||||||
2.048%, VAR ICE LIBOR USD 1 Month+0.800%, 07/26/2066 (A) | 3,600 | 3,602 | ||||||
Nelnet Student Loan Trust, Ser 2013-1, Cl A6 | ||||||||
1.764%, VAR ICE LIBOR USD 3 Month+0.450%, 08/23/2036 (A) | 1,293 | 1,293 | ||||||
NewMark Capital Funding CLO, Ser 2014-2A, Cl E | ||||||||
5.782%, VAR ICE LIBOR USD 3 Month+4.800%, 06/30/2026 (A) | 3,000 | 2,843 | ||||||
NewStar Arlington Senior Loan Program, Ser 2014-1A, Cl C1 | ||||||||
4.456%, VAR ICE LIBOR USD 3 Month+3.300%, 07/25/2025 (A) | 1,000 | 991 | ||||||
NewStar Arlington Senior Loan Program, Ser 2014-1A, Cl D | ||||||||
5.406%, VAR ICE LIBOR USD 3 Month+4.250%, 07/25/2025 (A) | 750 | 721 | ||||||
Newstar Commercial Loan Funding, Ser 2014-1A, Cl C | ||||||||
4.756%, VAR ICE LIBOR USD 3 Month+3.600%, 04/20/2025 (A) | 1,500 | 1,485 | ||||||
Newstar Commercial Loan Funding, Ser 2014-1A, Cl D | ||||||||
5.906%, VAR ICE LIBOR USD 3 Month+4.750%, 04/20/2025 (A) | 750 | 736 | ||||||
Newstar Commercial Loan Funding, | ||||||||
Ser 2015-1A, Cl C | ||||||||
5.006%, VAR ICE LIBOR USD 3 Month+3.850%, 01/20/2027 (A) | 1,000 | 990 | ||||||
Newstar Commercial Loan Funding, Ser 2017-1A, Cl CN | ||||||||
4.774%, VAR ICE LIBOR USD 3 Month+3.500%, 03/20/2027 (A) | 750 | 755 | ||||||
Newstar Trust, Ser 2012-2A, Cl D | ||||||||
7.557%, VAR ICE LIBOR USD 3 Month+6.250%, 01/20/2023 (A) | 500 | 499 | ||||||
Northwoods Capital XIV, Ser 2017-14A, Cl CR | ||||||||
3.759%, VAR ICE LIBOR USD 3 Month+2.450%, 11/12/2025 (A) | 1,500 | 1,512 | ||||||
NRPL Trust, Ser 2014-2A, Cl A1 | 653 | 654 | ||||||
3.750%, 10/25/2057 (A)(B) | ||||||||
NRPL Trust, Ser 2015-1A, Cl A1 | 1,730 | 1,733 | ||||||
3.875%, 11/01/2054 (A) | ||||||||
N-Star REL CDO VIII, Ser 2006-8A, Cl A2 | ||||||||
1.597%, VAR LIBOR USD 1 Month+0.360%, 02/01/2041 (A) | 1,598 | 1,587 | ||||||
NXT Capital CLO, Ser 2017-1A, Cl B | ||||||||
3.780%, VAR ICE LIBOR USD 3 Month+2.350%, 04/20/2029 (A) | 1,000 | 999 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
OCP CLO, Ser 2014-6A, Cl B | ||||||||
4.258%, VAR ICE LIBOR USD 3 Month+3.100%, 07/17/2026 (A) | $ | 1,000 | $ | 1,000 | ||||
OCP CLO, Ser 2016-12A, Cl A1 | ||||||||
2.874%, VAR ICE LIBOR USD 3 Month+1.570%, 10/18/2028 (A) | 1,400 | 1,423 | ||||||
OCP CLO, Ser 2017-13A, Cl A1A | ||||||||
2.561%, VAR ICE LIBOR USD 3 Month+1.260%, 07/15/2030 (A) | 1,700 | 1,710 | ||||||
OCP CLO, Ser 2017-7A, Cl A2AR | ||||||||
2.763%, VAR ICE LIBOR USD 3 Month+1.400%, 10/20/2026 (A) | 2,000 | 2,000 | ||||||
Octagon Investment Partners 24, Ser 2017-1A, Cl A1R | ||||||||
2.250%, VAR ICE LIBOR USD 3 Month+0.900%, 05/21/2027 (A) | 3,700 | 3,704 | ||||||
Octagon Investment Partners XIX, Ser 2017-1A, Cl AR | ||||||||
2.404%, VAR ICE LIBOR USD 3 Month+1.100%, 04/15/2026 (A) | 1,100 | 1,105 | ||||||
Octagon Loan Funding, Ser 2014-1X, Cl COMB | ||||||||
0.000%, 11/18/2026 | 4,800 | 4,201 | ||||||
OFSI Fund VI, Ser 2014-6A, Cl A1 | ||||||||
2.334%, VAR ICE LIBOR USD 3 Month+1.030%, 03/20/2025 (A) | 650 | 651 | ||||||
OFSI Fund VII, Ser 2014-7A, Cl A | ||||||||
2.644%, VAR ICE LIBOR USD 3 Month+1.340%, 10/18/2026 (A) | 601 | 602 | ||||||
OFSI Fund, Ser 2017-7A, Cl AR | ||||||||
0.000%, 10/18/2026 | 600 | 603 | ||||||
OHA Credit Partners IX, Ser 2013-9A, Cl ACOM | ||||||||
0.476%, 10/20/2025 (A) | 2,000 | 1,777 | ||||||
Palmer Square Loan Funding, Ser 2017-1A, Cl A1 | ||||||||
2.060%, VAR ICE LIBOR USD 3 Month+0.740%, 10/15/2025 (A) | 1,800 | 1,800 | ||||||
Panhandle-Plains Higher Education Authority, Ser 2011-1, Cl A2 | ||||||||
2.249%, VAR ICE LIBOR USD 3 Month+0.950%, 07/01/2024 | 767 | 768 | ||||||
PHEAA Student Loan Trust, Ser 2016-1A, Cl A | ||||||||
2.387%, VAR ICE LIBOR USD 1 Month+1.150%, 09/25/2065 (A) | 1,135 | 1,149 | ||||||
Pinnacle Park CLO, Ser 2017-1A, Cl AR | ||||||||
2.564%, VAR ICE LIBOR USD 3 Month+1.260%, 04/15/2026 (A) | 1,500 | 1,500 | ||||||
Popular ABS Mortgage Pass-Through Trust, Ser 2005-6, Cl A4 | ||||||||
4.006%, 01/25/2036 | 1,000 | 980 | ||||||
Putnam Structured Product Funding, Ser 2003-1A, Cl A2 | ||||||||
2.234%, VAR LIBOR USD 1 Month+1.000%, 10/15/2038 (A) | 1,719 | 1,630 |
268 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
RAIT CRE CDO I, Ser 2006-1X, Cl A1B | ||||||||
1.561%, VAR ICE LIBOR USD 1 Month+0.330%, 11/20/2046 | $ | 120 | $ | 120 | ||||
Raspro Trust, Ser 2005-1A, Cl B | ||||||||
1.932%, VAR LIBOR USD 3 Month+0.625%, 03/23/2024 (A) | 4,674 | 4,429 | ||||||
Recette CLO, Ser 2017-1A, Cl AR | ||||||||
2.283%, VAR ICE LIBOR USD 3 Month+0.920%, 10/20/2027 (A) | 2,600 | 2,600 | ||||||
Recette CLO, Ser 2017-1A, Cl BR | ||||||||
2.663%, VAR ICE LIBOR USD 3 Month+1.300%, 10/20/2027 (A) | 1,000 | 1,000 | ||||||
Regatta V Funding, Ser 2017-1A, Cl A1AR | ||||||||
2.474%, VAR ICE LIBOR USD 3 Month+1.160%, 10/25/2026 (A) | 1,800 | 1,811 | ||||||
Scholar Funding Trust, Ser 2011-A, Cl A | ||||||||
2.214%, VAR ICE LIBOR USD 3 Month+0.900%, 10/28/2043 (A) | 1,403 | 1,400 | ||||||
Scholar Funding Trust, Ser 2012-B, Cl A2 | ||||||||
2.334%, VAR ICE LIBOR USD 1 Month+1.100%, 03/28/2046 (A) | 1,589 | 1,589 | ||||||
Shackleton VII CLO, Ser 2015-7A, Cl CR | ||||||||
4.154%, VAR ICE LIBOR USD 3 Month+2.850%, 04/15/2027 (A) | 1,000 | 1,000 | ||||||
SLM Student Loan Trust, Ser 2003-7A, Cl A5A | ||||||||
2.520%, VAR ICE LIBOR USD 3 Month+1.200%, 12/15/2033 (A) | 977 | 990 | ||||||
SLM Student Loan Trust, Ser 2004-8A, Cl A6 | ||||||||
1.944%, VAR ICE LIBOR USD 3 Month+0.630%, 01/25/2040 (A) | 650 | 650 | ||||||
SLM Student Loan Trust, Ser 2005-5, Cl A5 | ||||||||
2.064%, VAR ICE LIBOR USD 3 Month+0.750%, 10/25/2040 | 250 | 246 | ||||||
SLM Student Loan Trust, Ser 2008-3, Cl A3 | ||||||||
2.314%, VAR ICE LIBOR USD 3 Month+1.000%, 10/25/2021 | 556 | 559 | ||||||
SLM Student Loan Trust, Ser 2008-4, Cl A4 | ||||||||
2.964%, VAR ICE LIBOR USD 3 Month+1.650%, 07/25/2022 | 370 | 379 | ||||||
SLM Student Loan Trust, Ser 2008-5, Cl A4 | ||||||||
3.014%, VAR ICE LIBOR USD 3 Month+1.700%, 07/25/2023 | 1,029 | 1,060 | ||||||
SLM Student Loan Trust, Ser 2008-6, Cl A4 | ||||||||
2.414%, VAR ICE LIBOR USD 3 Month+1.100%, 07/25/2023 | 700 | 706 | ||||||
SLM Student Loan Trust, Ser 2008-8, Cl A4 | ||||||||
2.814%, VAR ICE LIBOR USD 3 Month+1.500%, 04/25/2023 | 400 | 409 | ||||||
Sound Point CLO VI, Ser 2017-2A, Cl A1R | ||||||||
2.447%, VAR ICE LIBOR USD 3 Month+1.140%, 10/20/2026 (A) | 850 | 852 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Sound Point CLO XI, Ser 2016-1A, Cl A | ||||||||
2.957%, VAR ICE LIBOR USD 3 Month+1.650%, 07/20/2028 (A) | $ | 2,800 | $ | 2,846 | ||||
Sound Point CLO XI, Ser 2016-1A, Cl B1 | ||||||||
3.707%, VAR ICE LIBOR USD 3 Month+2.400%, 07/20/2028 (A) | 800 | 805 | ||||||
Sound Point CLO XV, Ser 2017-1A, Cl A | ||||||||
2.703%, VAR ICE LIBOR USD 3 Month+1.390%, 01/23/2029 (A) | 2,050 | 2,060 | ||||||
Stanwich Mortgage Loan Trust, Ser 2016-NPA1 | ||||||||
3.844%, 10/16/2046 (A)(B) | 1,749 | 1,747 | ||||||
TCP Waterman CLO, Ser 2016-1A, Cl A2 | ||||||||
4.246%, VAR ICE LIBOR USD 3 Month+3.000%, 12/15/2028 (A) | 1,000 | 1,003 | ||||||
TCW CLO, Ser 2017-1A, Cl A | ||||||||
2.715%, VAR ICE LIBOR USD 3 Month+1.280%, 07/29/2029 (A) | 1,700 | 1,708 | ||||||
Telos CLO, Ser 2017-6A, Cl CR | ||||||||
3.904%, VAR ICE LIBOR USD 3 Month+2.600%, 01/17/2027 (A) | 1,000 | 1,003 | ||||||
THL Credit Wind River CLO, Ser 2017-1A, Cl A | ||||||||
2.644%, VAR ICE LIBOR USD 3 Month+1.340%, 04/18/2029 (A) | 1,200 | 1,212 | ||||||
TICP CLO II, Ser 2014-2A, Cl A1AR | ||||||||
2.467%, VAR ICE LIBOR USD 3 Month+1.160%, 07/20/2026 (A) | 4,500 | 4,509 | ||||||
TICP CLO III, Ser 2014-3A, Cl AR | ||||||||
2.487%, VAR ICE LIBOR USD 3 Month+1.180%, 01/20/2027 (A) | 1,600 | 1,605 | ||||||
TICP CLO VI, Ser 2016-6A, Cl A | ||||||||
2.854%, VAR ICE LIBOR USD 3 Month+1.550%, 01/15/2029 (A) | 1,300 | 1,306 | ||||||
Treman Park CLO, Ser 2015-1A, Cl COM | ||||||||
0.000%, 04/20/2027 (A) | 3,000 | 2,608 | ||||||
Trestles CLO, Ser 2017-1A, Cl A1A | ||||||||
2.594%, VAR ICE LIBOR USD 3 Month+1.290%, 07/25/2029 (A) | 1,500 | 1,506 | ||||||
Turbine Engines Securitization, Ser 2013-1A, Cl A | ||||||||
5.125%, 12/13/2048 (A) | 779 | 766 | ||||||
Turbine Engines Securitization, Ser 2013-1A, Cl B | ||||||||
6.375%, 12/13/2048 (A) | 502 | 482 | ||||||
Venture XIX CLO, Ser 2016-19A, Cl CR | ||||||||
4.154%, VAR ICE LIBOR USD 3 Month+2.850%, 01/15/2027 (A) | 1,000 | 998 | ||||||
Venture XVI CLO, Ser 2017-16A, Cl A1R | ||||||||
2.424%, VAR ICE LIBOR USD 3 Month+1.120%, 04/15/2026 (A) | 1,000 | 1,002 | ||||||
VOLT LIV, Ser 2017-NPL1, Cl A1 | ||||||||
3.500%, 02/25/2047 (A) | 1,482 | 1,491 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 269 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Voya CLO, Ser 2017-4A, Cl A1R | ||||||||
2.254%, VAR ICE LIBOR USD 3 | ||||||||
Month+0.950%, 10/14/2026 (A) | $ | 2,500 | $ | 2,506 | ||||
Wachovia Asset Securitization Issuance II, Ser 2007-HE1, Cl A | ||||||||
1.377%, VAR ICE LIBOR USD 1 | ||||||||
Month+0.140%, 07/25/2037 (A) | 619 | 541 | ||||||
West CLO, Ser 2013-1A, Cl SUB | ||||||||
0.000%, 11/07/2025 (A) | 1,350 | 615 | ||||||
WhiteHorse VIII, Ser 2014-1A, Cl C | ||||||||
3.920%, VAR ICE LIBOR USD 3 | ||||||||
Month+2.750%, 05/01/2026 (A) | 1,000 | 1,000 | ||||||
Willis Engine Securitization Trust II, Ser 2012- A, Cl A | ||||||||
5.500%, 09/15/2037 (A) | 1,355 | 1,348 | ||||||
Woodmont Trust, Ser 2017-2A, Cl B | ||||||||
3.579%, VAR ICE LIBOR USD 3 | ||||||||
Month+2.350%, 07/18/2028 (A) | 2,400 | 2,425 | ||||||
Woodmont Trust, Ser 2017-3A, Cl B | ||||||||
3.495%, VAR ICE LIBOR USD 3 | ||||||||
Month+2.250%, 10/18/2029 (A) | 1,000 | 1,000 | ||||||
York CLO 1, Ser 2017-1A, Cl AR | ||||||||
2.463%, VAR ICE LIBOR USD 3 | ||||||||
Month+1.150%, 01/22/2027 (A) | 1,800 | 1,805 | ||||||
| ||||||||
263,642 | ||||||||
| ||||||||
Total Asset-Backed Securities | 265,191 | |||||||
| ||||||||
CORPORATE OBLIGATIONS — 18.8% | ||||||||
Consumer Discretionary — 1.3% | ||||||||
21st Century Fox America | ||||||||
4.950%, 10/15/2045 | 250 | 274 | ||||||
Altice Financing | ||||||||
7.500%, 05/15/2026 (A) | 1,500 | 1,650 | ||||||
AMC Entertainment Holdings | ||||||||
5.750%, 06/15/2025 | 850 | 835 | ||||||
AMC Networks | ||||||||
5.000%, 04/01/2024 | 400 | 413 | ||||||
Cablevision | ||||||||
6.500%, 06/15/2021 (A) | 150 | 160 | ||||||
Carrols Restaurant Group | ||||||||
8.000%, 05/01/2022 | 350 | 372 | ||||||
CCO Holdings | ||||||||
5.750%, 02/15/2026 (A) | 675 | 708 | ||||||
Cengage Learning | ||||||||
9.500%, 06/15/2024 (A) | 150 | 130 | ||||||
Charter Communications Operating | ||||||||
6.484%, 10/23/2045 | 50 | 59 | ||||||
4.908%, 07/23/2025 | 1,150 | 1,229 | ||||||
Clear Channel Worldwide Holdings | ||||||||
6.500%, 11/15/2022 | 550 | 564 |
Face Amount | Market Value | |||||||
Description | (Thousands) | ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Comcast | ||||||||
3.375%, 08/15/2025 | $ | 300 | $ | 310 | ||||
Discovery Communications | ||||||||
3.950%, 03/20/2028 | 1,150 | 1,142 | ||||||
Ford Motor Credit | ||||||||
5.875%, 08/02/2021 | 350 | 389 | ||||||
General Motors | ||||||||
3.500%, 10/02/2018 | 250 | 254 | ||||||
Gray Television | ||||||||
5.125%, 10/15/2024 (A) | 250 | 251 | ||||||
MDC Partners | ||||||||
6.500%, 05/01/2024 (A) | 250 | 252 | ||||||
Nexstar Broadcasting | ||||||||
5.625%, 08/01/2024 (A) | 200 | 207 | ||||||
Schaeffler Finance | ||||||||
4.750%, 05/15/2023 (A) | 1,025 | 1,057 | ||||||
SFR Group | ||||||||
7.375%, 05/01/2026 (A) | 400 | 432 | ||||||
Sirius XM Radio | ||||||||
5.375%, 04/15/2025 (A) | 400 | 422 | ||||||
4.625%, 05/15/2023 (A) | 250 | 257 | ||||||
Universal Entertainment MTN | ||||||||
8.500% cash/8.500% PIK, 08/24/2020 (A) | 250 | 255 | ||||||
Virgin Media Secured Finance | ||||||||
5.000%, 04/15/2027 | GBP | 800 | 1,104 | |||||
| ||||||||
12,726 | ||||||||
| ||||||||
Consumer Staples — 0.5% | ||||||||
Anheuser-Busch InBev Finance | ||||||||
4.900%, 02/01/2046 | $ | 725 | 819 | |||||
Anheuser-Busch InBev Worldwide | ||||||||
4.950%, 01/15/2042 | 300 | 340 | ||||||
BAT International Finance | ||||||||
3.950%, 06/15/2025 (A) | 425 | 443 | ||||||
2.750%, 06/15/2020 (A) | 350 | 355 | ||||||
Beverages & More | ||||||||
11.500%, 06/15/2022 (A) | 100 | 94 | ||||||
Central American Bottling | ||||||||
5.750%, 01/31/2027 (A) | 180 | 190 | ||||||
CVS Health | ||||||||
5.125%, 07/20/2045 | 150 | 173 | ||||||
3.875%, 07/20/2025 | 332 | 346 | ||||||
Kraft Heinz Foods | ||||||||
4.375%, 06/01/2046 | 300 | 297 | ||||||
3.500%, 07/15/2022 | 350 | 362 | ||||||
Lindley | ||||||||
4.625%, 04/12/2023 | 190 | 196 | ||||||
Reynolds American | ||||||||
5.850%, 08/15/2045 | 250 | 306 | ||||||
4.450%, 06/12/2025 | 425 | 455 |
270 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) |
Market Value | ||||||
| ||||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Sysco | ||||||||
4.850%, 10/01/2045 | $ | 150 | $ | 165 | ||||
3.750%, 10/01/2025 | 350
| 363
| ||||||
| ||||||||
4,904 | ||||||||
| ||||||||
Energy — 3.3% | ||||||||
Antero Resources | ||||||||
5.125%, 12/01/2022 | 1,050 | 1,074 | ||||||
Apache | ||||||||
4.750%, 04/15/2043 | 350 | 350 | ||||||
4.250%, 01/15/2044 | 350 | 329 | ||||||
BreitBurn Energy Partners | ||||||||
9.250%, 05/18/2020 (C)(D)(E) | 813 | 771 | ||||||
Cheniere Energy Partners | ||||||||
5.250%, 10/01/2025 (A) | 635 | 649 | ||||||
Chesapeake Energy | ||||||||
8.000%, 01/15/2025 (A) | 750 | 757 | ||||||
ConocoPhillips | ||||||||
4.950%, 03/15/2026 | 500 | 564 | ||||||
3.350%, 11/15/2024 | 350 | 360 | ||||||
DCP Midstream Operating | ||||||||
5.600%, 04/01/2044 | 700 | 653 | ||||||
Devon Energy | ||||||||
5.850%, 12/15/2025 | 800 | 922 | ||||||
3.250%, 05/15/2022 | 200 | 203 | ||||||
Dolphin Energy | ||||||||
5.500%, 12/15/2021 | 220 | 242 | ||||||
Enterprise Products Operating | ||||||||
3.750%, 02/15/2025 | 500 | 518 | ||||||
3.700%, 02/15/2026 | 300 | 308 | ||||||
FTS International | ||||||||
8.820%, VAR ICE LIBOR USD 3 | ||||||||
Month+7.500%, 06/15/2020 (A) | 675 | 686 | ||||||
Gazprom OAO Via Gaz Capital | ||||||||
9.250%, 04/23/2019 | 310 | 339 | ||||||
Gazprom OAO Via Gaz Capital MTN | ||||||||
7.288%, 08/16/2037 | 200 | 243 | ||||||
GNL Quintero | ||||||||
4.634%, 07/31/2029 | 400 | 419 | ||||||
Greenko Dutch BV | ||||||||
4.875%, 07/24/2022 (A) | 370 | 375 | ||||||
Hess | ||||||||
7.300%, 08/15/2031 | 350 | 409 | ||||||
6.000%, 01/15/2040 | 700 | 725 | ||||||
5.600%, 02/15/2041 | 300 | 301 | ||||||
4.300%, 04/01/2027 | 450 | 446 | ||||||
KazMunayGas National JSC MTN | ||||||||
9.125%, 07/02/2018 | 600 | 628 | ||||||
Kinder Morgan | ||||||||
5.050%, 02/15/2046 | 175 | 179 | ||||||
Neerg Energy | ||||||||
6.000%, 02/13/2022 (A) | 400 | 412 |
Description | Face Amount (Thousands) |
Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Noble Holding International | ||||||||
6.050%, 03/01/2041 | $ | 900 | $ | 614 | ||||
Petrobras Global Finance BV | ||||||||
7.375%, 01/17/2027 | 90 | 99 | ||||||
6.125%, 01/17/2022 | 730 | 785 | ||||||
5.999%, 01/27/2028 (A) | 1,184 | 1,183 | ||||||
5.299%, 01/27/2025 (A) | 340 | 339 | ||||||
Petroleos de Venezuela | ||||||||
6.000%, 10/28/2022 | 8,860 | 2,499 | ||||||
6.000%, 05/16/2024 | 4,870 | 1,481 | ||||||
6.000%, 11/15/2026 | 1,500 | 455 | ||||||
5.500%, 04/12/2037 | 130 | 39 | ||||||
5.375%, 04/12/2027 | 1,050 | 315 | ||||||
Petroleos Mexicanos | ||||||||
6.500%, 03/13/2027 (A) | 420 | 465 | ||||||
6.375%, 02/04/2021 | 220 | 241 | ||||||
6.375%, 01/23/2045 | 30 | 31 | ||||||
5.500%, 06/27/2044 | 70 | 65 | ||||||
5.375%, 03/13/2022 (A) | 180 | 192 | ||||||
4.875%, 01/24/2022 | 10 | 11 | ||||||
3.500%, 07/23/2020 | 100 | 102 | ||||||
Petroleos Mexicanos MTN | ||||||||
6.875%, 08/04/2026 | 700 | 796 | ||||||
6.750%, 09/21/2047 (A) | 340 | 362 | ||||||
6.500%, 03/13/2027 (A) | 370 | 410 | ||||||
5.125%, 03/15/2023 | EUR | 940 | 1,273 | |||||
4.875%, 02/21/2028 | 410 | 521 | ||||||
Plains All American Pipeline | ||||||||
3.650%, 06/01/2022 | $ | 900 | 905 | |||||
3.600%, 11/01/2024 | 175 | 171 | ||||||
Schahin II Finance | ||||||||
5.875%, 09/25/2022 (A)(E) | 1,737 | 174 | ||||||
SM Energy | ||||||||
6.750%, 09/15/2026 | 200 | 200 | ||||||
5.000%, 01/15/2024 | 775 | 730 | ||||||
Sunoco Logistics Partners Operations | ||||||||
4.000%, 10/01/2027 | 1,400 | 1,395 | ||||||
TOTAL MTN | ||||||||
2.625%, VAR EUR Swap Annual 5 | ||||||||
Yr+2.148%, 12/29/2049 | EUR | 800 | 959 | |||||
Trinidad Drilling | ||||||||
6.625%, 02/15/2025 (A) | $ | 200 | 187 | |||||
Weatherford International | ||||||||
6.500%, 08/01/2036 | 150 | 129 | ||||||
Western Gas Partners | ||||||||
4.000%, 07/01/2022 | 200 | 207 | ||||||
Whiting Petroleum | ||||||||
5.750%, 03/15/2021 | 100 | 98 | ||||||
5.000%, 03/15/2019 | 425 | 425 | ||||||
Williams Partners | ||||||||
3.600%, 03/15/2022 | 1,700 | 1,756 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 271 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Income Fund (Continued)
Description |
Face Amount |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
YPF | ||||||||
8.875%, 12/19/2018 | $ | 130 | $ | 139 | ||||
| ||||||||
32,615 | ||||||||
| ||||||||
Financials — 7.4% | ||||||||
American Equity Investment Life Holding | ||||||||
5.000%, 06/15/2027 | 2,300 | 2,384 | ||||||
ASP AMC | ||||||||
8.000%, 05/15/2025 (A) | 1,000 | 962 | ||||||
AXA | ||||||||
6.463%, VAR ICE LIBOR USD 3 | ||||||||
Month+1.449%, 12/14/2018 (A) | 100 | 103 | ||||||
6.463%, VAR ICE LIBOR USD 3 | ||||||||
Month+1.449%, 12/29/2049 | 1,150 | 1,177 | ||||||
Banco Bilbao Vizcaya Argentaria | ||||||||
7.000%, VAR EUR Swap Annual 5 | ||||||||
Yr+6.155%, 12/31/2049 | EUR | 600 | 739 | |||||
Banco de Bogota | ||||||||
6.250%, 05/12/2026 (A) | $ | 580 | 633 | |||||
4.375%, 08/03/2027 (A) | 200 | 202 | ||||||
Banco Mercantil del Norte | ||||||||
7.625%, VAR US Treas Yield Curve Rate | ||||||||
T Note Const Mat 10 Yr+5.353%, 12/31/2049 (A) | 340 | 371 | ||||||
Banco Regional SAECA | ||||||||
8.125%, 01/24/2019 | 290 | 307 | ||||||
Banco Santander | ||||||||
4.250%, 04/11/2027 | 800 | 830 | ||||||
Bank of America | ||||||||
6.500%, VAR ICE LIBOR USD 3 | ||||||||
Month+4.174%, 12/31/2049 | 975 | 1,102 | ||||||
6.300%, VAR ICE LIBOR USD 3 | ||||||||
Month+4.553%, 12/29/2049 | 1,975 | 2,232 | ||||||
6.250%, VAR ICE LIBOR USD 3 | ||||||||
Month+3.705%, 09/29/2049 | 150 | 166 | ||||||
6.100%, VAR ICE LIBOR USD 3 | ||||||||
Month+3.898%, 12/29/2049 | 3,425 | 3,776 | ||||||
Bank of America MTN | ||||||||
4.000%, 04/01/2024 | 650 | 687 | ||||||
3.824%, VAR ICE LIBOR USD 3 | ||||||||
Month+1.575%, 01/20/2028 | 1,300 | 1,336 | ||||||
Bank of New York Mellon | ||||||||
4.625%, VAR ICE LIBOR USD 3 | ||||||||
Month+3.131%, 12/29/2049 | 1,550 | 1,581 | ||||||
Barclays | ||||||||
7.875%, VAR USD Swap Semi 30/360 5 | ||||||||
Year Curr+6.772%, 12/29/2049 | 1,650 | 1,797 | ||||||
CaixaBank | ||||||||
6.750%, VAR EUR Swap Annual 5 | ||||||||
Yr+6.498%, 12/31/2049 | EUR | 600 | 753 | |||||
China Evergrande Group | ||||||||
8.250%, 03/23/2022 | $ | 400 | 414 |
Description |
Face Amount |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
CIC Receivables Master Trust | ||||||||
4.890%, 10/07/2021 (C)(D) | $ | 2,228 | $ | 2,289 | ||||
Citigroup | ||||||||
6.250%, VAR ICE LIBOR USD 3 | ||||||||
Month+4.517%, 12/29/2049 | 3,645 | 4,101 | ||||||
5.950%, VAR ICE LIBOR USD 3 | ||||||||
Month+3.905%, 12/31/2049 | 350 | 378 | ||||||
5.950%, VAR ICE LIBOR USD 3 | ||||||||
Month+4.068%, 12/29/2049 | 1,120 | 1,205 | ||||||
5.950%, VAR ICE LIBOR USD 3 | ||||||||
Month+4.095%, 12/29/2049 | 700 | 738 | ||||||
5.900%, VAR ICE LIBOR USD 3 | ||||||||
Month+4.230%, 12/29/2049 | 675 | 727 | ||||||
Citizens Financial Group | ||||||||
5.500%, VAR ICE LIBOR USD 3 | ||||||||
Month+3.960%, 12/29/2049 | 500 | 521 | ||||||
CoBank ACB | ||||||||
6.250%, VAR ICE LIBOR USD 3 | ||||||||
Month+4.660%, 12/29/2049 | 250 | 276 | ||||||
Credit Suisse Group | ||||||||
6.250%, VAR USD Swap Semi 30/360 | ||||||||
5 Year Curr+3.455%, 12/31/2049 (A) | 200 | 213 | ||||||
Deutsche Bank | ||||||||
4.500%, 04/01/2025 | 1,600 | 1,605 | ||||||
Encore Capital Group | ||||||||
5.625%, 08/11/2024 (C)(D) | 3,200 | 3,188 | ||||||
FBM Finance | ||||||||
8.250%, 08/15/2021 (A) | 600 | 642 | ||||||
Goldman Sachs Group | ||||||||
5.300%, VAR ICE LIBOR USD 3 | ||||||||
Month+3.834%, 12/29/2049 | 2,850 | 3,060 | ||||||
Greystar Real Estate Partners | ||||||||
8.250%, 12/01/2022 (A) | 625 | 667 | ||||||
HSBC Holdings MTN | ||||||||
4.750%, VAR EUR Swap Annual 5 | ||||||||
Yr+3.844%, 12/31/2049 | EUR | 750 | 909 | |||||
International Lease Finance | ||||||||
7.125%, 09/01/2018 (A) | $ | 500 | 524 | |||||
Intesa Sanpaolo MTN | ||||||||
5.017%, 06/26/2024 (A) | 775 | 788 | ||||||
Itau CorpBanca | ||||||||
3.875%, 09/22/2019 | 250 | 258 | ||||||
Jefferies Finance | ||||||||
7.250%, 08/15/2024 (A) | 850 | 852 | ||||||
JPMorgan Chase | ||||||||
6.125%, VAR ICE LIBOR USD 3 | ||||||||
Month+3.330%, 12/29/2049 | 200 | 220 | ||||||
6.100%, VAR ICE LIBOR USD 3 | ||||||||
Month+3.330%, 10/29/2049 | 2,150 | 2,373 | ||||||
6.000%, VAR ICE LIBOR USD 3 | ||||||||
Month+3.300%, 12/29/2049 | 1,400 | 1,523 | ||||||
5.300%, VAR ICE LIBOR USD 3 | ||||||||
Month+3.800%, 12/31/2049 | 800 | 834 |
272 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description |
Face Amount
(Thousands) |
Market Value
($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
5.000%, VAR ICE LIBOR USD 3 | ||||||||
Month+3.320%, 12/29/2049 | $ | 900 | $ | 915 | ||||
KeyCorp | ||||||||
5.000%, VAR ICE LIBOR USD 3 | ||||||||
Month+3.606%, 12/29/2049 | 950 | 983 | ||||||
MetLife | ||||||||
10.750%, 08/01/2039 | 850 | 1,422 | ||||||
Morgan Stanley | ||||||||
5.550%, VAR ICE LIBOR USD 3 | ||||||||
Month+3.810%, 12/29/2049 | 1,050 | 1,094 | ||||||
3.625%, 01/20/2027 | 900 | 912 | ||||||
Morgan Stanley MTN | ||||||||
3.950%, 04/23/2027 | 600 | 610 | ||||||
3.700%, 10/23/2024 | 900 | 933 | ||||||
Navient MTN | ||||||||
5.500%, 01/15/2019 | 600 | 620 | ||||||
NewStar Financial | ||||||||
7.250%, 05/01/2020 (A) | 200 | 206 | ||||||
Royal Bank of Scotland Group | ||||||||
3.655%, VAR ICE LIBOR USD 3 | ||||||||
Month+2.320%, 09/29/2027 | 2,100 | 2,011 | ||||||
Sberbank of Russia Via SB Capital | ||||||||
5.500%, VAR US Treas Yield | ||||||||
Curve Rate T Note Const Mat 5 Yr+4.023%, 02/26/2024 | 200 | 204 | ||||||
TC Ziraat Bankasi MTN | ||||||||
5.125%, 09/29/2023 (A) | 200 | 200 | ||||||
TSG Entertainment Finance | ||||||||
6.250%, 09/22/2031 (C)(D) | 3,400 | 3,482 | ||||||
UniCredit | ||||||||
8.000%, VAR USD Swap Semi 30/360 5 Year Curr+5.180%, 04/03/2049 | 1,050 | 1,106 | ||||||
US Bancorp | ||||||||
5.300%, VAR ICE LIBOR USD 3 | ||||||||
Month+2.914%, 12/29/2049 | 450 | 491 | ||||||
Voya Financial | ||||||||
5.650%, VAR ICE LIBOR USD 3 | ||||||||
Month+3.580%, 05/15/2053 | 1,150 | 1,221 | ||||||
Wells Fargo | ||||||||
5.900%, VAR ICE LIBOR USD 3 | ||||||||
Month+3.110%, 12/29/2049 | 2,300 | 2,504 | ||||||
5.875%, VAR ICE LIBOR USD 3 | ||||||||
Month+3.990%, 12/29/2049 | 2,725 | 3,033 | ||||||
Westpac Banking | ||||||||
5.000%, VAR USD ICE Swap 11:00 NY 5 | ||||||||
Yr+2.888%, 09/21/2065
| 850
| 849
| ||||||
| ||||||||
72,239 | ||||||||
| ||||||||
Health Care — 1.2% | ||||||||
Allergan Funding SCS | ||||||||
3.800%, 03/15/2025 | 1,325 | 1,376 | ||||||
Becton Dickinson | ||||||||
3.363%, 06/06/2024 | 1,300 | 1,312 |
Description |
Face Amount
(Thousands) |
Market Value
($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.894%, 06/06/2022 | $ | 1,300 | $ | 1,304 | ||||
Celgene | ||||||||
3.625%, 05/15/2024 | 700 | 729 | ||||||
CHS | ||||||||
8.000%, 11/15/2019 | 400 | 390 | ||||||
Endo Finance | ||||||||
6.000%, 02/01/2025 (A) | 400 | 324 | ||||||
Fresenius Medical Care US Finance II | ||||||||
4.750%, 10/15/2024 (A) | 200 | 217 | ||||||
HCA | ||||||||
5.000%, 03/15/2024 | 1,175 | 1,251 | ||||||
Mylan | ||||||||
3.950%, 06/15/2026 | 1,575 | 1,604 | ||||||
UnitedHealth Group | ||||||||
4.750%, 07/15/2045 | 200 | 231 | ||||||
Valeant Pharmaceuticals International | ||||||||
5.375%, 03/15/2020 (A) | 2,950 | 2,946 | ||||||
| ||||||||
11,684 | ||||||||
| ||||||||
Industrials — 0.6% | ||||||||
AerCap Ireland Capital | ||||||||
4.625%, 07/01/2022 | 1,400 | 1,500 | ||||||
Aeropuertos Dominicanos Siglo XXI | ||||||||
6.750%, 03/30/2029 (A) | 350 | 378 | ||||||
Great Lakes Dredge & Dock | ||||||||
8.000%, 05/15/2022 | 150 | 156 | ||||||
Hapag-Lloyd | ||||||||
5.125%, 07/15/2024 (A) | EUR | 900 | 1,100 | |||||
Multi-Color | ||||||||
4.875%, 11/01/2025 (A) | $ | 350 | 354 | |||||
Norican | ||||||||
4.500%, 05/15/2023 | EUR | 450 | 536 | |||||
Princess Juliana International Airport Operating | ||||||||
5.500%, 12/20/2027 (A)(C)(D) | $ | 862 | 864 | |||||
StandardAero Aviation Holdings | ||||||||
10.000%, 07/15/2023 (A) | 495 | 548 | ||||||
| ||||||||
5,436 | ||||||||
| ||||||||
Information Technology — 0.9% | ||||||||
Apple | ||||||||
4.650%, 02/23/2046 | 25 | 28 | ||||||
3.850%, 05/04/2043 | 400 | 403 | ||||||
Broadcom | ||||||||
3.875%, 01/15/2027 (A) | 1,000 | 1,030 | ||||||
3.625%, 01/15/2024 (A) | 900 | 925 | ||||||
CURO Financial Technologies | ||||||||
12.000%, 03/01/2022 (A) | 1,100 | 1,182 | ||||||
Dell International | ||||||||
5.450%, 06/15/2023 (A) | 1,250 | 1,368 | ||||||
EIG Investors | ||||||||
10.875%, 02/01/2024 | 100 | 110 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 273 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Income Fund (Continued)
Face Amount |
Market Value | |||||||
Description |
(Thousands) |
($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Fidelity National Information Services | ||||||||
5.000%, 10/15/2025 | $ | 84 | $ | 94 | ||||
First Data | ||||||||
5.000%, 01/15/2024 (A) | 150 | 156 | ||||||
Hewlett Packard Enterprise | ||||||||
4.900%, 10/15/2025 | 600 | 635 | ||||||
Micron Technology | ||||||||
7.500%, 09/15/2023 | 1,475 | 1,639 | ||||||
Qorvo | ||||||||
6.750%, 12/01/2023 | 250 | 272 | ||||||
QUALCOMM | ||||||||
2.900%, 05/20/2024
| 600
| 602
| ||||||
| ||||||||
8,444 | ||||||||
| ||||||||
Materials — 1.1% | ||||||||
ARD Finance | ||||||||
6.625% cash/7.375% PIK, 09/15/2023 | EUR | 750 | 944 | |||||
Ardagh Packaging Finance | ||||||||
4.750%, 07/15/2027 | GBP | 700 | 945 | |||||
BHP Billiton Finance USA | ||||||||
6.750%, VAR USD Swap Semi 30/360 5 | ||||||||
Year Curr+5.093%, 10/19/2075 (A) | $ | 1,900 | 2,237 | |||||
Big River Steel | ||||||||
7.250%, 09/01/2025 (A) | 400 | 424 | ||||||
Brazil Minas SPE via State of Minas Gerais | ||||||||
5.333%, 02/15/2028 | 800 | 812 | ||||||
Glencore Funding | ||||||||
4.000%, 04/16/2025 (A) | 300 | 305 | ||||||
4.000%, 03/27/2027 (A) | 525 | 528 | ||||||
Metinvest BV | ||||||||
9.373% cash/9.372% PIK, 12/31/2021 | 214 | 216 | ||||||
Mirabela Nickel | ||||||||
1.000%, 07/31/2044 (C) | 3 | – | ||||||
Severstal OAO Via Steel Capital | ||||||||
6.700%, 10/25/2017 | 200 | 201 | ||||||
Sherwin-Williams | ||||||||
3.450%, 06/01/2027 | 1,850 | 1,863 | ||||||
Sociedad Quimica y Minera de Chile | ||||||||
4.375%, 01/28/2025 | 220 | 227 | ||||||
Valvoline | ||||||||
4.375%, 08/15/2025 (A) | 500 | 509 | ||||||
Yamana | ||||||||
4.950%, 07/15/2024 | 1,900 | 1,948 | ||||||
| ||||||||
11,159 | ||||||||
| ||||||||
Real Estate — 0.2% | ||||||||
American Tower | ||||||||
3.300%, 02/15/2021 | 350 | 359 | ||||||
DuPont Fabros Technology | ||||||||
5.625%, 06/15/2023 | 200 | 213 | ||||||
Hospitality Properties Trust | ||||||||
5.250%, 02/15/2026 | 500 | 536 |
Face Amount |
Market Value | |||||||
Description |
(Thousands) |
($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
iStar | ||||||||
4.625%, 09/15/2020 | $ | 530 | $ | 542 | ||||
VEREIT Operating Partnership | ||||||||
4.875%, 06/01/2026 | 400 | 428 | ||||||
| ||||||||
2,078 | ||||||||
| ||||||||
Telecommunication Services — 1.9% | ||||||||
AT&T | ||||||||
4.250%, 03/01/2027 | 900 | 926 | ||||||
Comcel Trust via Comunicaciones Celulares | ||||||||
6.875%, 02/06/2024 | 200 | 213 | ||||||
Digicel | ||||||||
6.000%, 04/15/2021 | 400 | 390 | ||||||
Digicel Group | ||||||||
6.750%, 03/01/2023 (A) | 320 | 314 | ||||||
GTH Finance BV | ||||||||
7.250%, 04/26/2023 | 220 | 250 | ||||||
Intelsat Jackson Holdings | ||||||||
9.750%, 07/15/2025 (A) | 650 | 657 | ||||||
7.250%, 10/15/2020 | 3,070 | 2,955 | ||||||
5.500%, 08/01/2023 | 850 | 720 | ||||||
Intelsat Luxembourg | ||||||||
8.125%, 06/01/2023 | 50 | 31 | ||||||
Mauritius Investment | ||||||||
6.500%, 10/13/2026 (A) | 320 | 344 | ||||||
Millicom International Cellular | ||||||||
5.125%, 01/15/2028 (A) | 280 | 282 | ||||||
SoftBank Group | ||||||||
5.250%, 07/30/2027 | EUR | 850 | 1,134 | |||||
Sprint | ||||||||
7.875%, 09/15/2023 | $ | 950 | 1,102 | |||||
Sprint Communications | ||||||||
11.500%, 11/15/2021 | 650 | 826 | ||||||
7.000%, 03/01/2020 (A) | 600 | 656 | ||||||
7.000%, 08/15/2020 | 500 | 547 | ||||||
Telecom Italia | ||||||||
5.303%, 05/30/2024 (A) | 1,750 | 1,903 | ||||||
Telecom Italia Capital | ||||||||
6.000%, 09/30/2034 | 500 | 553 | ||||||
Telefonica Europe BV | ||||||||
5.875%, VAR EUR Swap Annual 10 | ||||||||
Yr+4.301%, 03/31/2049 | EUR | 800 | 1,090 | |||||
Verizon Communications | ||||||||
5.150%, 09/15/2023 | $ | 525 | 588 | |||||
4.862%, 08/21/2046 | 275 | 279 | ||||||
Wind Acquisition Finance | ||||||||
7.375%, 04/23/2021 (A) | 1,794 | 1,866 | ||||||
Windstream Services | ||||||||
7.750%, 10/15/2020 | 675 | 540 | ||||||
7.750%, 10/01/2021 | 650 | 481 | ||||||
| ||||||||
18,647 | ||||||||
|
274 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Face Amount | Market Value | |||||||||||
Description | (Thousands) | ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) | ||||||||||||
Utilities — 0.4% | ||||||||||||
Electricite de France MTN | ||||||||||||
4.125%, VAR EUR Swap Annual 8 Yr+2.441%, 01/29/2049 | EUR | 800 | $ | 1,015 | ||||||||
Enel | ||||||||||||
8.750%, VAR USD Swap Semi 30/360 5 Year Curr+5.880%, 09/24/2073 (A) | $ | 200 | 242 | |||||||||
7.750%, VAR GBP Swap 5 Yr+5.662%, 09/10/2075 | GBP | 200 | 307 | |||||||||
Ferrellgas | ||||||||||||
6.750%, 01/15/2022 | $ | 100 | 97 | |||||||||
6.750%, 06/15/2023 | 1,100 | 1,062 | ||||||||||
6.500%, 05/01/2021 | 1,000 | 970 | ||||||||||
Greenko Investment | ||||||||||||
4.875%, 08/16/2023 (A) | 410 | 406 | ||||||||||
Minejesa Capital BV | ||||||||||||
4.625%, 08/10/2030 (A) | 310 | 316 | ||||||||||
4,415 | ||||||||||||
Total Corporate Obligations | 184,347 | |||||||||||
Shares | ||||||||||||
COMMON STOCK — 11.9% | ||||||||||||
Consumer Discretionary — 1.4% | ||||||||||||
Advance Auto Parts | 369 | 37 | ||||||||||
Amazon.com, Cl A * | 2,127 | 2,045 | ||||||||||
Autozone * | 141 | 84 | ||||||||||
Best Buy | 1,324 | 75 | ||||||||||
BorgWarner | 996 | 51 | ||||||||||
CarMax * | 924 | 70 | ||||||||||
Carnival | 2,089 | 135 | ||||||||||
CBS, Cl B | 1,838 | 107 | ||||||||||
Cengage Learning Holdings II * | 5,114 | 42 | ||||||||||
Charter Communications, Cl A * | 1,081 | 393 | ||||||||||
Chipotle Mexican Grill, Cl A * | 143 | 44 | ||||||||||
Coach | 1,398 | 56 | ||||||||||
Comcast, Cl A | 25,144 | 968 | ||||||||||
Darden Restaurants | 621 | 49 | ||||||||||
Delphi Automotive | 1,454 | 143 | ||||||||||
Discovery Communications, Cl A * | 684 | 15 | ||||||||||
Discovery Communications, Cl C * | 1,052 | 21 | ||||||||||
DISH Network, Cl A * | 1,135 | 62 | ||||||||||
Dollar General | 1,431 | 116 | ||||||||||
Dollar Tree * | 1,302 | 113 | ||||||||||
DR Horton | 1,697 | 68 | ||||||||||
Expedia | 607 | 87 | ||||||||||
Foot Locker, Cl A | 655 | 23 | ||||||||||
Ford Motor | 21,118 | 253 | ||||||||||
Gap | 1,157 | 34 | ||||||||||
Garmin | 581 | 31 | ||||||||||
General Motors | 6,854 | 277 |
Market Value | ||||||||
Description | Shares | ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Genuine Parts | 736 | $ | 70 | |||||
Goodyear Tire & Rubber | 1,197 | 40 | ||||||
H&R Block | 1,034 | 27 | ||||||
Hanesbrands | 1,818 | 45 | ||||||
Harley-Davidson, Cl A | 874 | 42 | ||||||
Hasbro | 562 | 55 | ||||||
Hilton Worldwide Holdings | 1,023 | 71 | ||||||
Home Depot | 6,300 | 1,030 | ||||||
Interpublic Group | 1,972 | 41 | ||||||
Kohl’s | 880 | 40 | ||||||
L Brands | 1,413 | 59 | ||||||
Leggett & Platt | 640 | 31 | ||||||
Lennar, Cl A | 1,014 | 54 | ||||||
LKQ * | 1,539 | 55 | ||||||
Lowe’s | 4,540 | 363 | ||||||
Macy’s | 1,471 | 32 | ||||||
Marriott International, Cl A | 1,698 | 187 | ||||||
Mattel | 1,637 | 25 | ||||||
McDonald’s | 4,336 | 679 | ||||||
MGM Mirage | 2,864 | 93 | ||||||
Michael Kors Holdings * | 778 | 37 | ||||||
Mohawk Industries * | 315 | 78 | ||||||
NetFlix * | 2,319 | 421 | ||||||
Newell Brands, Cl B | 2,694 | 115 | ||||||
News, Cl A | 1,950 | 26 | ||||||
News, Cl B | 450 | 6 | ||||||
Nike, Cl B | 7,063 | 366 | ||||||
Nordstrom | 555 | 26 | ||||||
Omnicom Group | 1,162 | 86 | ||||||
O’Reilly Automotive * | 454 | 98 | ||||||
Priceline Group * | 263 | 482 | ||||||
PulteGroup | 1,417 | 39 | ||||||
PVH | 389 | 49 | ||||||
Ralph Lauren, Cl A | 275 | 24 | ||||||
Ross Stores | 2,127 | 137 | ||||||
Royal Caribbean Cruises | 946 | 112 | ||||||
Scripps Networks Interactive, Cl A | 461 | 40 | ||||||
Signet Jewelers | 341 | 23 | ||||||
Starbucks | 7,753 | 416 | ||||||
Target, Cl A | 2,967 | 175 | ||||||
Tiffany | 535 | 49 | ||||||
Time Warner | 4,176 | 428 | ||||||
TJX | 3,435 | 253 | ||||||
Tractor Supply | 639 | 41 | ||||||
TripAdvisor * | 551 | 22 | ||||||
Twenty-First Century Fox, Cl A | 5,732 | 151 | ||||||
Twenty-First Century Fox, Cl B | 2,213 | 57 | ||||||
Ulta Beauty * | 291 | 66 | ||||||
Under Armour, Cl A * | 922 | 15 | ||||||
Under Armour, Cl C * | 920 | 14 | ||||||
VF | 1,795 | 114 | ||||||
Viacom, Cl B | 1,758 | 49 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 275 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Income Fund (Continued)
Market Value | ||||||||
Description | Shares | ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Walt Disney | 8,255 | $ | 814 | |||||
Whirlpool | 367 | 68 | ||||||
Wyndham Worldwide | 521 | 55 | ||||||
Wynn Resorts | 399 | 59 | ||||||
Yum! Brands | 1,883 | 139 | ||||||
13,588 | ||||||||
Consumer Staples — 1.0% | ||||||||
Altria Group | 10,272 | 651 | ||||||
Archer-Daniels-Midland | 3,075 | 131 | ||||||
Brown-Forman, Cl B | 1,106 | 60 | ||||||
Campbell Soup | 957 | 45 | ||||||
Church & Dwight | 1,244 | 60 | ||||||
Clorox | 643 | 85 | ||||||
Coca-Cola | 20,521 | 924 | ||||||
Colgate-Palmolive | 4,738 | 345 | ||||||
Conagra Brands | 2,316 | 78 | ||||||
Constellation Brands, Cl A | 933 | 186 | ||||||
Costco Wholesale | 2,357 | 387 | ||||||
Coty, Cl A | 2,351 | 39 | ||||||
CVS Health | 5,456 | 444 | ||||||
Dr Pepper Snapple Group | 917 | 81 | ||||||
Estee Lauder, Cl A | 1,224 | 132 | ||||||
General Mills | 3,139 | 162 | ||||||
Hershey | 699 | 76 | ||||||
Hormel Foods | 1,346 | 43 | ||||||
JM Smucker | 618 | 65 | ||||||
Kellogg | 1,259 | 79 | ||||||
Kimberly-Clark | 1,911 | 225 | ||||||
Kraft Heinz | 3,223 | 250 | ||||||
Kroger | 4,555 | 91 | ||||||
McCormick | 669 | 69 | ||||||
Molson Coors Brewing, Cl B | 922 | 75 | ||||||
Mondelez International, Cl A | 8,114 | 330 | ||||||
Monster Beverage * | 2,271 | 125 | ||||||
PepsiCo | 7,639 | 851 | ||||||
Philip Morris International | 8,303 | 922 | ||||||
Procter & Gamble | 13,619 | 1,239 | ||||||
Sysco, Cl A | 2,650 | 143 | ||||||
Tyson Foods, Cl A | 1,503 | 106 | ||||||
Walgreens Boots Alliance | 4,945 | 382 | ||||||
Wal-Mart Stores | 7,839 | 613 | ||||||
9,494 | ||||||||
Energy — 0.9% | ||||||||
Anadarko Petroleum, Cl A | 3,053 | 149 | ||||||
Andeavor | 754 | 78 | ||||||
Apache | 1,898 | 87 | ||||||
Approach Resources, Cl A * | 88,320 | 222 | ||||||
Baker Hughes a GE | 2,371 | 87 | ||||||
Breitburn Energy Partners *(C)(D) | 62,847 | 10 | ||||||
Cabot Oil & Gas | 2,323 | 62 |
Market Value | ||||||||
Description | Shares | ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Chesapeake Energy * | 3,807 | $ | 16 | |||||
Chevron | 10,122 | 1,189 | ||||||
Cimarex Energy | 475 | 54 | ||||||
Concho Resources * | 818 | 108 | ||||||
ConocoPhillips | 6,550 | 328 | ||||||
Devon Energy | 2,624 | 96 | ||||||
EOG Resources | 3,111 | 301 | ||||||
EQT | 865 | 56 | ||||||
ExxonMobil | 22,611 | 1,854 | ||||||
Halliburton | 4,699 | 216 | ||||||
Helmerich & Payne | 533 | 28 | ||||||
Hess | 1,349 | 63 | ||||||
Kinder Morgan | 10,399 | 199 | ||||||
Marathon Oil | 4,248 | 58 | ||||||
Marathon Petroleum | 2,589 | 145 | ||||||
National Oilwell Varco, Cl A | 1,849 | 66 | ||||||
Newfield Exploration * | 1,012 | 30 | ||||||
Noble Energy | 2,715 | 77 | ||||||
Occidental Petroleum | 4,125 | 265 | ||||||
Oneok | 2,085 | 116 | ||||||
Phillips 66 | 2,326 | 213 | ||||||
Pioneer Natural Resources | 929 | 137 | ||||||
Range Resources | 939 | 18 | ||||||
SandRidge Energy * | 59,467 | 1,195 | ||||||
Schlumberger, Cl A | 7,450 | 520 | ||||||
TechnipFMC | 2,302 | 64 | ||||||
Titan Energy * | 13,743 | 62 | ||||||
Valero Energy | 2,398 | 184 | ||||||
Whiting Petroleum * | 10,885 | 59 | ||||||
Williams | 4,515 | 136 | ||||||
8,548 | ||||||||
Financials — 1.7% | ||||||||
Affiliated Managers Group | 283 | 54 | ||||||
Aflac | 2,146 | 175 | ||||||
Allstate | 1,962 | 180 | ||||||
American Express | 3,947 | 357 | ||||||
American International Group | 4,868 | 299 | ||||||
Ameriprise Financial | 761 | 113 | ||||||
Aon | 1,378 | 201 | ||||||
Arthur J. Gallagher | 896 | 55 | ||||||
Assurant | 273 | 26 | ||||||
Bank of America | 52,399 | 1,328 | ||||||
Bank of New York Mellon | 5,568 | 295 | ||||||
BB&T | 4,379 | 206 | ||||||
Berkshire Hathaway, Cl B * | 10,267 | 1,882 | ||||||
BlackRock | 668 | 299 | ||||||
Brighthouse Financial * | 557 | 34 | ||||||
Capital One Financial | 2,618 | 222 | ||||||
CBOE Holdings | 568 | 61 | ||||||
Charles Schwab | 6,428 | 281 | ||||||
Chubb | 2,503 | 357 |
276 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Market Value | ||||||||
Description | Shares | ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Cincinnati Financial | 748 | $ | 57 | |||||
Citigroup | 14,560 | 1,059 | ||||||
Citizens Financial Group | 2,528 | 96 | ||||||
CME Group | 1,836 | 249 | ||||||
Comerica | 878 | 67 | ||||||
Discover Financial Services | 1,898 | 122 | ||||||
E*Trade Financial * | 1,371 | 60 | ||||||
Everest Re Group | 204 | 47 | ||||||
Fifth Third Bancorp | 3,745 | 105 | ||||||
Franklin Resources | 1,709 | 76 | ||||||
Goldman Sachs Group | 1,931 | 458 | ||||||
Hartford Financial Services Group | 1,834 | 102 | ||||||
Huntington Bancshares | 5,426 | 76 | ||||||
Intercontinental Exchange | 3,185 | 219 | ||||||
Invesco | 2,155 | 75 | ||||||
JPMorgan Chase | 18,779 | 1,794 | ||||||
KeyCorp | 5,471 | 103 | ||||||
Leucadia National | 1,616 | 41 | ||||||
Lincoln National | 1,119 | 82 | ||||||
Loews | 1,463 | 70 | ||||||
M&T Bank | 768 | 124 | ||||||
Marsh & McLennan | 2,771 | 232 | ||||||
MetLife | 5,728 | 298 | ||||||
Moody’s | 910 | 127 | ||||||
Morgan Stanley | 7,604 | 366 | ||||||
Nasdaq, Cl A | 569 | 44 | ||||||
Navient | 1,422 | 21 | ||||||
Northern Trust | 1,077 | 99 | ||||||
People’s United Financial | 1,719 | 31 | ||||||
PNC Financial Services Group | 2,578 | 347 | ||||||
Principal Financial Group, Cl A | 1,338 | 86 | ||||||
Progressive | 3,171 | 154 | ||||||
Prudential Financial | 2,307 | 245 | ||||||
Raymond James Financial | 638 | 54 | ||||||
Regions Financial | 6,000 | 91 | ||||||
S&P Global | 1,391 | 217 | ||||||
State Street | 2,028 | 194 | ||||||
SunTrust Banks | 2,616 | 156 | ||||||
Synchrony Financial | 3,844 | 119 | ||||||
T. Rowe Price Group | 1,319 | 120 | ||||||
Torchmark, Cl A | 543 | 43 | ||||||
Travelers | 1,498 | 184 | ||||||
Unum Group | 1,139 | 58 | ||||||
US Bancorp | 8,528 | 457 | ||||||
Wells Fargo | 23,858 | 1,316 | ||||||
Willis Towers Watson | 738 | 114 | ||||||
XL Group | 1,305 | 51 | ||||||
Zions Bancorporation | 1,024 | 48 | ||||||
16,779 | ||||||||
Health Care — 1.7% | ||||||||
Abbott Laboratories | 9,319 | 497 |
Market Value | ||||||||||
Description | Shares | ($ Thousands) | ||||||||
COMMON STOCK (continued) | ||||||||||
AbbVie | 8,530 | $ | 758 | |||||||
Aetna, Cl A | 1,789 | 285 | ||||||||
Agilent Technologies | 1,764 | 113 | ||||||||
Alexion Pharmaceuticals * | 1,212 | 170 | ||||||||
Align Technology * | 377 | 70 | ||||||||
Allergan | 1,797 | 368 | ||||||||
AmerisourceBergen, Cl A | 828 | 69 | ||||||||
Amgen, Cl A | 3,905 | 728 | ||||||||
Anthem | 1,417 | 269 | ||||||||
Baxter International | 2,724 | 171 | ||||||||
Becton Dickinson | 1,230 | 241 | ||||||||
Biogen * | 1,137 | 356 | ||||||||
Boston Scientific * | 7,427 | 217 | ||||||||
Bristol-Myers Squibb | 8,789 | 560 | ||||||||
C.R. Bard | 398 | 128 | ||||||||
Cardinal Health | 1,736 | 116 | ||||||||
Celgene, Cl A * | 4,191 | 611 | ||||||||
Centene * | 860 | 83 | ||||||||
Cerner * | 1,727 | 123 | ||||||||
Cigna | 1,360 | 254 | ||||||||
Cooper, Cl A | 243 | 58 | ||||||||
DaVita * | 756 | 45 | ||||||||
DENTSPLY SIRONA | 1,127 | 67 | ||||||||
Edwards Lifesciences, Cl A * | 1,156 | 126 | ||||||||
Eli Lilly | 5,201 | 445 | ||||||||
Envision Healthcare * | 559 | 25 | ||||||||
Express Scripts Holding * | 3,131 | 198 | ||||||||
Gilead Sciences | 6,997 | 567 | ||||||||
HCA Healthcare * | 1,584 | 126 | ||||||||
Henry Schein * | 792 | 65 | ||||||||
Hologic * | 1,371 | 50 | ||||||||
Humana | 784 | 191 | ||||||||
Idexx Laboratories * | 440 | 68 | ||||||||
Illumina * | 795 | 158 | ||||||||
Incyte * | 941 | 110 | ||||||||
Intuitive Surgical * | 202 | 211 | ||||||||
Johnson & Johnson | 14,322 | 1,862 | ||||||||
Laboratory Corp of America Holdings * | 511 | 77 | ||||||||
McKesson | 1,142 | 175 | ||||||||
Medtronic | 7,259 | 565 | ||||||||
Merck | 14,621 | 936 | ||||||||
Mettler Toledo International * | 129 | 81 | ||||||||
Mylan * | 2,702 | 85 | ||||||||
Patterson | 384 | 15 | ||||||||
PerkinElmer | 524 | 36 | ||||||||
Perrigo | 715 | 61 | ||||||||
Pfizer | 31,882 | 1,138 | ||||||||
Quest Diagnostics | 721 | 68 | ||||||||
Quintiles IMS Holdings * | 843 | 80 | ||||||||
Regeneron Pharmaceuticals * | 417 | 186 | ||||||||
ResMed | 698 | 54 | ||||||||
Stryker | 1,738 | 247 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 277 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Income Fund (Continued)
Market Value | ||||||||
Description | Shares | ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Thermo Fisher Scientific | 2,150 | $ | 407 | |||||
UnitedHealth Group | 5,168 | 1,012 | ||||||
Universal Health Services, Cl B | 446 | 50 | ||||||
Varian Medical Systems * | 459 | 46 | ||||||
Vertex Pharmaceuticals * | 1,366 | 208 | ||||||
Waters * | 399 | 72 | ||||||
Zimmer Biomet Holdings | 1,107 | 130 | ||||||
Zoetis, Cl A | 2,668 | 170 | ||||||
16,458 | ||||||||
Industrials — 1.2% | ||||||||
3M | 3,195 | 671 | ||||||
Acuity Brands | 241 | 41 | ||||||
Alaska Air Group | 617 | 47 | ||||||
Allegion | 522 | 45 | ||||||
American Airlines Group | 2,184 | 104 | ||||||
Ametek | 1,148 | 76 | ||||||
AO Smith | 801 | 48 | ||||||
Arconic | 2,180 | 54 | ||||||
Boeing | 2,973 | 756 | ||||||
C.H. Robinson Worldwide | 703 | 53 | ||||||
Caterpillar, Cl A | 3,175 | 396 | ||||||
Cintas | 431 | 62 | ||||||
CSX | 4,929 | 267 | ||||||
Cummins | 860 | 145 | ||||||
Danaher, Cl A | 3,296 | 283 | ||||||
Deere | 1,731 | 217 | ||||||
Delta Air Lines, Cl A | 3,619 | 175 | ||||||
Dover | 823 | 75 | ||||||
Eaton | 2,413 | 185 | ||||||
Emerson Electric | 3,463 | 218 | ||||||
Equifax | 600 | 64 | ||||||
Expeditors International of Washington | 899 | 54 | ||||||
Fastenal, Cl A | 1,444 | 66 | ||||||
FedEx | 1,330 | 300 | ||||||
Flowserve | 668 | 28 | ||||||
Fluor | 675 | 28 | ||||||
Fortive | 1,673 | 118 | ||||||
Fortune Brands Home & Security | 768 | 52 | ||||||
General Dynamics | 1,500 | 308 | ||||||
General Electric | 46,250 | 1,118 | ||||||
Honeywell International | 4,085 | 579 | ||||||
IHS Markit * | 1,830 | 81 | ||||||
Illinois Tool Works | 1,673 | 248 | ||||||
Ingersoll-Rand | 1,390 | 124 | ||||||
Jacobs Engineering Group | 586 | 34 | ||||||
JB Hunt Transport Services | 434 | 48 | ||||||
Johnson Controls International | 5,051 | 204 | ||||||
Kansas City Southern | 529 | 57 | ||||||
L3 Technologies | 389 | 73 | ||||||
Lockheed Martin | 1,346 | 418 | ||||||
Masco | 1,597 | 62 |
Market Value | ||||||||
Description | Shares | ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Nielsen Holdings | 1,676 | $ | 69 | |||||
Norfolk Southern | 1,561 | 206 | ||||||
Northrop Grumman | 940 | 270 | ||||||
PACCAR | 1,919 | 139 | ||||||
Parker-Hannifin, Cl A | 728 | 127 | ||||||
Pentair | 837 | 57 | ||||||
Quanta Services * | 739 | 28 | ||||||
Raytheon | 1,565 | 292 | ||||||
Republic Services | 1,147 | 76 | ||||||
Robert Half International | 667 | 34 | ||||||
Rockwell Automation | 703 | 125 | ||||||
Rockwell Collins | 892 | 117 | ||||||
Roper Technologies | 558 | 136 | ||||||
Snap-on | 289 | 43 | ||||||
Southwest Airlines, Cl A | 2,995 | 168 | ||||||
Stanley Black & Decker | 838 | 127 | ||||||
Stericycle, Cl A * | 410 | 29 | ||||||
Textron | 1,415 | 76 | ||||||
TransDigm Group | 244 | 62 | ||||||
Union Pacific | 4,293 | 498 | ||||||
United Continental Holdings * | 1,406 | 86 | ||||||
United Parcel Service, Cl B | 3,697 | 444 | ||||||
United Rentals * | 422 | 59 | ||||||
United Technologies | 3,987 | 463 | ||||||
Verisk Analytics, Cl A * | 767 | 64 | ||||||
Waste Management | 2,200 | 172 | ||||||
WW Grainger | 268 | 48 | ||||||
Xylem | 897 | 56 | ||||||
12,053 | ||||||||
Information Technology — 2.7% | ||||||||
Accenture, Cl A | 3,316 | 448 | ||||||
Activision Blizzard | 4,076 | 263 | ||||||
Adobe Systems * | 2,652 | 396 | ||||||
Advanced Micro Devices * | 3,857 | 49 | ||||||
Akamai Technologies * | 863 | 42 | ||||||
Alliance Data Systems | 278 | 62 | ||||||
Alphabet, Cl A * | 1,591 | 1,549 | ||||||
Alphabet, Cl C * | 1,611 | 1,545 | ||||||
Amphenol, Cl A | 1,669 | 141 | ||||||
Analog Devices | 1,999 | 172 | ||||||
Ansys * | 425 | 52 | ||||||
Apple | 27,534 | 4,243 | ||||||
Applied Materials | 5,754 | 300 | ||||||
Autodesk, Cl A * | 1,199 | 135 | ||||||
Automatic Data Processing | 2,398 | 262 | ||||||
Broadcom | 2,180 | 529 | ||||||
CA | 1,564 | 52 | ||||||
Cadence Design Systems * | 1,412 | 56 | ||||||
Cisco Systems | 26,733 | 899 | ||||||
Citrix Systems * | 754 | 58 | ||||||
Cognizant Technology Solutions, Cl A | 3,193 | 232 |
278 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Market Value | ||||||||
Description | Shares | ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Corning, Cl B | 4,924 | $ | 147 | |||||
CSRA | 725 | 23 | ||||||
DXC Technology | 1,556 | 134 | ||||||
eBay * | 5,392 | 207 | ||||||
Electronic Arts * | 1,674 | 198 | ||||||
F5 Networks, Cl A * | 330 | 40 | ||||||
Facebook, Cl A * | 12,646 | 2,161 | ||||||
Fidelity National Information Services, Cl B | 1,807 | 169 | ||||||
Fiserv, Cl A * | 1,148 | 148 | ||||||
Flir Systems | 681 | 26 | ||||||
Gartner * | 451 | 56 | ||||||
Global Payments | 745 | 71 | ||||||
Harris | 608 | 80 | ||||||
Hewlett Packard Enterprise | 8,981 | 132 | ||||||
HP | 9,068 | 181 | ||||||
Intel | 25,120 | 957 | ||||||
International Business Machines | 4,640 | 673 | ||||||
Intuit | 1,320 | 188 | ||||||
Juniper Networks | 1,907 | 53 | ||||||
KLA-Tencor | 782 | 83 | ||||||
Lam Research | 885 | 164 | ||||||
Mastercard, Cl A | 4,998 | 706 | ||||||
Microchip Technology | 1,278 | 115 | ||||||
Micron Technology * | 6,032 | 237 | ||||||
Microsoft | 41,071 | 3,059 | ||||||
Motorola Solutions | 800 | 68 | ||||||
NetApp | 1,352 | 59 | ||||||
Nvidia | 3,216 | 575 | ||||||
Oracle, Cl B | 16,155 | 781 | ||||||
Paychex | 1,670 | 100 | ||||||
PayPal Holdings * | 6,074 | 389 | ||||||
Qlik *(C) | 3,600 | — | ||||||
Qlik, Cl A *(C)(D) | 56 | 61 | ||||||
Qlik, Cl B *(C)(D) | 13,812 | 8 | ||||||
Qorvo * | 634 | 45 | ||||||
Qualcomm | 7,935 | 411 | ||||||
Red Hat * | 887 | 98 | ||||||
salesforce.com * | 3,674 | 343 | ||||||
Seagate Technology | 1,482 | 49 | ||||||
Skyworks Solutions | 921 | 94 | ||||||
Symantec, Cl A | 3,377 | 111 | ||||||
Synopsys * | 750 | 60 | ||||||
TE Connectivity | 1,924 | 160 | ||||||
Texas Instruments | 5,312 | 476 | ||||||
Total System Services | 827 | 54 | ||||||
VeriSign * | 432 | 46 | ||||||
Visa, Cl A | 9,777 | 1,029 | ||||||
Western Digital | 1,610 | 139 | ||||||
Western Union | 2,352 | 45 | ||||||
Xerox | 1,042 | 35 |
Market Value | ||||||||
Description | Shares | ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Xilinx | 1,238 | $ | 88 | |||||
26,817 | ||||||||
Materials — 0.3% | ||||||||
Air Products & Chemicals | 1,183 | 179 | ||||||
Albemarle | 553 | 75 | ||||||
Avery Dennison | 442 | 43 | ||||||
Ball | 1,747 | 72 | ||||||
CF Industries Holdings | 1,135 | 40 | ||||||
DowDuPont | 12,476 | 864 | ||||||
Eastman Chemical | 728 | 66 | ||||||
Ecolab | 1,413 | 182 | ||||||
FMC | 669 | 60 | ||||||
Freeport-McMoRan, Cl B * | 7,413 | 104 | ||||||
International Flavors & Fragrances | 394 | 56 | ||||||
International Paper | 2,261 | 128 | ||||||
LyondellBasell Industries, Cl A | 1,764 | 175 | ||||||
Martin Marietta Materials, Cl A | 313 | 65 | ||||||
Monsanto | 2,368 | 284 | ||||||
Mosaic | 1,663 | 36 | ||||||
Newmont Mining | 2,929 | 110 | ||||||
Nucor | 1,592 | 89 | ||||||
Packaging Corp of America | 463 | 53 | ||||||
PPG Industries | 1,397 | 152 | ||||||
Praxair | 1,548 | 216 | ||||||
Sealed Air | 977 | 42 | ||||||
Sherwin-Williams, Cl A | 448 | 160 | ||||||
Vulcan Materials | 660 | 79 | ||||||
WestRock | 1,253 | 71 | ||||||
3,401 | ||||||||
Real Estate — 0.3% | ||||||||
Alexandria Real Estate Equities ‡ | 455 | 54 | ||||||
American Tower, Cl A ‡ | 2,311 | 316 | ||||||
Apartment Investment & Management, Cl A ‡ | 754 | 33 | ||||||
AvalonBay Communities ‡ | 755 | 135 | ||||||
Boston Properties ‡ | 850 | 104 | ||||||
CBRE Group, Cl A * | 1,501 | 57 | ||||||
Crown Castle International ‡ | 2,198 | 220 | ||||||
Digital Realty Trust, Cl A ‡ | 1,120 | 133 | ||||||
Duke Realty ‡ | 1,775 | 51 | ||||||
Equinix ‡ | 423 | 189 | ||||||
Equity Residential ‡ | 2,008 | 132 | ||||||
Essex Property Trust ‡ | 327 | 83 | ||||||
Extra Space Storage ‡ | 628 | 50 | ||||||
Federal Realty Investment Trust ‡ | 361 | 45 | ||||||
GGP ‡ | 3,500 | 73 | ||||||
HCP ‡ | 2,339 | 65 | ||||||
Host Hotels & Resorts ‡ | 3,913 | 72 | ||||||
Iron Mountain ‡ | 1,493 | 58 | ||||||
Kimco Realty ‡ | 2,124 | 42 | ||||||
Macerich ‡ | 575 | 32 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 279 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Income Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Mid-America Apartment Communities ‡ | 567 | $ | 61 | |||||
ProLogis ‡ | 2,886 | 183 | ||||||
Public Storage ‡ | 813 | 174 | ||||||
Realty Income ‡ | 1,363 | 78 | ||||||
Regency Centers ‡ | 713 | 44 | ||||||
SBA Communications, Cl A *‡ | 600 | 86 | ||||||
Simon Property Group ‡ | 1,677 | 270 | ||||||
SL Green Realty ‡ | 507 | 51 | ||||||
UDR ‡ | 1,335 | 51 | ||||||
Ventas ‡ | 1,948 | 127 | ||||||
Vornado Realty Trust ‡ | 860 | 66 | ||||||
Welltower ‡ | 2,013 | 141 | ||||||
Weyerhaeuser ‡ | 4,111 | 140 | ||||||
|
3,416 |
| ||||||
Telecommunication Services — 0.3% |
| |||||||
AT&T | 32,790 | 1,284 | ||||||
CenturyLink | 2,950 | 56 | ||||||
Level 3 Communications * | 1,461 | 78 | ||||||
Verizon Communications | 21,796 | 1,079 | ||||||
|
2,497 |
| ||||||
Utilities — 0.4% |
| |||||||
AES | 3,142 | 35 | ||||||
Alliant Energy | 1,137 | 47 | ||||||
Ameren | 1,211 | 70 | ||||||
American Electric Power | 2,668 | 187 | ||||||
American Water Works | 939 | 76 | ||||||
Centerpoint Energy | 2,117 | 62 | ||||||
CMS Energy | 1,482 | 69 | ||||||
Consolidated Edison | 1,692 | 137 | ||||||
Dominion Energy | 3,466 | 267 | ||||||
DTE Energy | 987 | 106 | ||||||
Duke Energy | 3,768 | 316 | ||||||
Edison International | 1,778 | 137 | ||||||
Entergy | 878 | 67 | ||||||
Eversource Energy | 1,743 | 105 | ||||||
Exelon | 5,205 | 196 | ||||||
FirstEnergy | 2,168 | 67 | ||||||
NextEra Energy | 2,517 | 369 | ||||||
NiSource | 1,591 | 41 | ||||||
NRG Energy | 1,578 | 40 | ||||||
PG&E | 2,781 | 189 | ||||||
Pinnacle West Capital | 557 | 47 | ||||||
PPL | 3,727 | 141 | ||||||
Public Service Enterprise Group | 2,768 | 128 | ||||||
SCANA | 713 | 35 | ||||||
Sempra Energy | 1,367 | 156 | ||||||
Southern | 5,393 | 265 | ||||||
WEC Energy Group | 1,734 | 109 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Xcel Energy | 2,776 | $ | 131 | |||||
|
3,595 |
| ||||||
Total Common Stock |
| 116,646 | ||||||
Face Amount (Thousands) | ||||||||
LOAN PARTICIPATIONS — 11.0% |
| |||||||
AABS, Bridge Term Loan | ||||||||
4.875%, 01/15/2038 | $ | 499 | 504 | |||||
ABB/Con-Cise Optical Group LLC, Initial Term Loan, 1st Lien | ||||||||
6.246%, 06/15/2023 | 1 | — | ||||||
ABG Intermediate Holdings 2 LLC, Term Loan, 1st Lien | ||||||||
0.000%, 09/26/2024 (C)(F) | 450 | 451 | ||||||
Acosta (fka Acosta Holdco), Dollar Revolving Credit Loan, 1st Lien | ||||||||
6.500%, VAR LIBOR+3.250%, 09/26/2019 (C) (J) | 133 | 112 | ||||||
4.487%, VAR LIBOR+3.250%, 09/26/2019 (C) (J) | 489 | 411 | ||||||
Acosta, (fka Acosta Holdco), Multicurrency Revolving Credit Loan, 1st Lien | ||||||||
4.484%, VAR LIBOR+3.250%, 09/26/2019 (C) (J) | 400 | 337 | ||||||
Acrisure LLC, Term B Loan, 1st Lien | ||||||||
6.272%, VAR LIBOR+5.000%, 11/22/2023 | 697 | 704 | ||||||
Advanced Integration Technology LP, Term B-1 Loan, 1st Lien | ||||||||
5.985%, VAR LIBOR+4.750%, 04/03/2023 (C) | 423 | 421 | ||||||
Affordable Care Holding, Term B Loan, 2nd Lien | ||||||||
5.985%, VAR LIBOR+4.750%, 10/24/2022 (C) | 983 | 985 | ||||||
AI Agua Merger (Culligan), Term Loan B-1, 1st Lien | ||||||||
4.489%, 12/13/2023 | 300 | 301 | ||||||
Air Newco LLC, Initial Term Loan, 2nd Lien | ||||||||
10.815%, VAR LIBOR+9.500%, 01/31/2023 | 750 | 693 | ||||||
Alphabet Holding, Term Loan, 1st Lien | ||||||||
4.833%, 09/26/2024 | 1,900 | 1,876 | ||||||
Alphabet Holding, Term Loan, 2nd Lien | ||||||||
9.083%, 09/15/2025 | 875 | 862 | ||||||
Altice Financing S.A., March 2017 Refinancing Term Loan, 1st Lien | ||||||||
4.054%, VAR LIBOR+2.750%, 07/15/2025 | 875 | 876 |
280 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
American Renal Associates, Term Loan, 1st Lien | ||||||||
4.485%, VAR LIBOR+3.250%, 06/22/2024 | $ | 948 | $ | 941 | ||||
American Tire Distributors, Initial Term Loan, 1st Lien | ||||||||
5.485%, VAR LIBOR+4.250%, 09/01/2021 | 312 | 314 | ||||||
Anaren, Initial Term Loan, 1st Lien | ||||||||
5.833%, VAR LIBOR+4.500%, 02/18/2021 (C) | 463 | 465 | ||||||
Anaren, Term Loan, 2nd Lien | ||||||||
9.583%, VAR LIBOR+8.250%, 08/18/2021 | 500 | 495 | ||||||
Arctic Long Carriers, Term Loan, 1st Lien | ||||||||
5.739%, VAR LIBOR+4.500%, 05/18/2023 | 329 | 331 | ||||||
Ashland, Term B Loan, 1st Lien | ||||||||
3.319%, VAR LIBOR+2.000%, 05/17/2024 | 299 | 300 | ||||||
3.237%, VAR LIBOR+2.000%, 05/17/2024 | 150 | 150 | ||||||
ASP Chromaflo Intermediate Holdings, Initial Tranche B-1 Term Loan, 1st Lien | ||||||||
5.235%, VAR LIBOR+4.000%, 11/20/2023 | 173 | 173 | ||||||
ASP Chromaflo Intermediate Holdings, Initial Tranche B-2 Term Loan, 1st Lien | ||||||||
5.235%, VAR LIBOR+4.000%, 11/20/2023 | 224 | 225 | ||||||
Aspect Software, Initial Term Loan, 1st Lien | ||||||||
11.235%, VAR LIBOR+10.000%, 05/25/2020 | 505 | 496 | ||||||
Atlas, Term Loan, 1st Lien | ||||||||
4.875%, 12/15/2039 | 1,042 | 1,043 | ||||||
Avantor Performance Materials, Term Loan, 1st Lien | ||||||||
0.000%, 09/20/2024 | 200 | 201 | ||||||
Avolon Borrower 1 (US) LLC, Initial Term B-2 Loan, 1st Lien | ||||||||
3.986%, VAR LIBOR+2.750%, 03/21/2022 | 698 | 700 | ||||||
Axalta Coating Systems, Term B-2 Loan, 1st Lien | ||||||||
3.333%, VAR LIBOR+2.000%, 06/01/2024 | 673 | 676 | ||||||
BCP Raptor, Term Loan B, 1st Lien | ||||||||
5.522%, VAR LIBOR+4.250%, 06/24/2024 | 898 | 904 | ||||||
Belk, Closing Date Term Loan, 1st Lien | ||||||||
6.054%, VAR LIBOR+4.750%, 12/12/2022 | 124 | 103 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Big River Steel, Closing Date Term Loan, 1st Lien | ||||||||
6.333%, VAR LIBOR+5.000%, 08/23/2023 (C) | $ | 100 | $ | 101 | ||||
Bioplan USA (Tripolis US LLC), Initial Term Loan, 1st Lien | ||||||||
5.985%, VAR LIBOR+4.750%, 09/23/2021 | 461 | 457 | ||||||
BJ’s Wholesale Club, Initial Term Loan, 1st Lien | ||||||||
8.732%, VAR LIBOR+7.500%, 02/03/2025 | 875 | 834 | ||||||
BJ’s Wholesale Club, Tranche B Term Loan, 1st Lien | ||||||||
4.982%, VAR LIBOR+3.750%, 02/03/2024 | 2,668 | 2,554 | ||||||
BMC Foreign Holding, Cov-Lite, Term Loan B1, 1st Lien | ||||||||
5.235%, VAR LIBOR+4.000%, 09/10/2022 | 1,226 | 1,231 | ||||||
C.H.I. Overhead Doors, Initial Term Loan, 1st Lien | ||||||||
4.583%, VAR LIBOR+3.250%, 07/29/2022 | 269 | 268 | ||||||
Candy Intermediate Holdings, Initial Term Loan | ||||||||
5.735%, VAR LIBOR+4.500%, 06/15/2023 | 798 | 781 | ||||||
Carecore National, LLC, Term Loan, 1st Lien | ||||||||
5.235%, VAR LIBOR+4.000%, 03/05/2021 (C) | 1,624 | 1,640 | ||||||
Cengage Learning, Cov-Lite, Term Loan B, 1st Lien | ||||||||
5.485%, VAR LIBOR+4.250%, 06/07/2023 | 3,072 | 2,826 | ||||||
Checkout Holding, Term Loan B, 1st Lien | ||||||||
4.735%, VAR LIBOR+3.500%, 04/09/2021 | 997 | 835 | ||||||
Chobani LLC (Chobani Idaho, LLC), Closing Date Term Loan, 1st Lien | ||||||||
5.485%, VAR LIBOR+4.250%, 10/10/2023 | 928 | 936 | ||||||
Clark Equipment, Tranche B Term Loan, 1st Lien | ||||||||
4.083%, VAR LIBOR+2.750%, 05/18/2024 | 323 | 325 | ||||||
Clear Channel Communications, Term Loan D, 1st Lien | ||||||||
8.083%, VAR LIBOR+6.750%, 01/30/2019 (C) | 1,300 | 1,002 | ||||||
CompuCom Systems, Term Loan, 1st Lien | ||||||||
4.485%, VAR LIBOR+3.250%, 05/09/2020 | 900 | 783 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 281 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Consolidated Container LLC, Initial Term Loan, 1st Lien | ||||||||
4.735%, VAR LIBOR+3.500%, 05/22/2024 | $ | 1,000 | $ | 1,005 | ||||
CPG International LLC (fka CPG International), New Term Loan, 1st Lien | ||||||||
5.083%, VAR LIBOR+3.750%, 05/05/2024 | 398 | 401 | ||||||
CPI Acquisition, Term Loan, 1st Lien | ||||||||
5.962%, VAR LIBOR+4.500%, 08/17/2022 | 249 | 176 | ||||||
Crosby US Acquisition Corp., Initial Term Loan, 1st Lien | ||||||||
4.315%, VAR LIBOR+3.000%, 11/23/2020 | 1,892 | 1,745 | ||||||
CTI Foods Holding LLC, Term Loan, 1st Lien | ||||||||
4.740%, VAR LIBOR+3.500%, 06/29/2020 | 663 | 597 | ||||||
CTI Foods, Initial Term Loan, 2nd Lien | ||||||||
8.490%, VAR LIBOR+7.250%, 06/28/2021 | 350 | 280 | ||||||
CVS Holdings I LP, Term Loan B-1, 1st Lien | ||||||||
7.485%, VAR LIBOR+6.250%, 08/16/2021 (C) | 490 | 492 | ||||||
Cyan Blue Holdco 2 Limited, 2017 B-2 Term Loan, 1st Lien | ||||||||
4.585%, VAR LIBOR+3.500%, 08/23/2024 | 249 | 250 | ||||||
Cyan Blue Holdco 2 Limited, Initial Term Loan, | ||||||||
4.585%, 02/25/2022 | GBP | 650 | 876 | |||||
DAE Aviation Holdings, Initial Term Loan, 1st Lien | ||||||||
4.985%, VAR LIBOR+3.750%, 07/07/2022 | $ | 1,259 | 1,268 | |||||
Dimora Brands, Initial Term Loan, 1st Lien | ||||||||
5.237%, VAR LIBOR+4.000%, 08/24/2024 (C) | 200 | 201 | ||||||
Diversitech Holdings, Term Loan, 1st Lien | ||||||||
4.840%, VAR LIBOR+3.500%, 06/03/2024 | 249 | 250 | ||||||
DJO Finance LLC, Initial Term Loan, 1st Lien | ||||||||
4.487%, VAR LIBOR+3.250%, 06/08/2020 | 221 | 221 | ||||||
4.485%, VAR LIBOR+3.250%, 06/08/2020 | 216 | 215 | ||||||
Doncasters US Finance LLC (Doncasters US LLC), Second-Lien Term Loans, 1st Lien | ||||||||
9.583%, VAR LIBOR+8.250%, 10/09/2020 | 84 | 79 | ||||||
Endurance International, Term Loan, 1st Lien | ||||||||
5.318%, VAR LIBOR+4.000%, 02/09/2023 | 1,412 | 1,425 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
EnergySolutions LLC (aka Envirocare of Utah, LLC), Term Advance, 1st Lien | ||||||||
6.090%, VAR LIBOR+4.750%, 05/29/2020 | $ | 1,891 | $ | 1,920 | ||||
Engineered Machinery Holdings, Delayed Draw Term Loan | ||||||||
4.583%, VAR LIBOR+3.250%, 07/19/2024 | 30 | 30 | ||||||
Engineered Machinery Holdings, Term Loan, 1st Lien | ||||||||
4.556%, 07/19/2024 | 310 | 310 | ||||||
Epicor Software (fka Eagle Parent), Term B Loan, 1st Lien | ||||||||
4.990%, VAR LIBOR+3.750%, 06/01/2022 | 2,589 | 2,592 | ||||||
Exgen Texas Power LLC, Term Loan, 1st Lien | ||||||||
6.083%, VAR LIBOR+4.750%, 09/18/2021 | 298 | 158 | ||||||
Fitness International LLC, Term B Loan, 1st Lien | ||||||||
7.500%, VAR Prime Rate by Country+3.250%, 07/01/2020 | 584 | 586 | ||||||
Finco LLC, Term Loan, 1st Lien | ||||||||
2.750%, VAR LIBOR+2.750%, 06/10/2022 | 275 | 278 | ||||||
Foterra Finance, Cov-Lite, Term Loan, 1st Lien | ||||||||
4.239%, VAR LIBOR+3.000%, 10/25/2023 | 434 | 367 | ||||||
FTS International, Cov-Lite, Initial Term Loan, 1st Lien | ||||||||
5.985%, VAR LIBOR+4.750%, 04/16/2021 | 475 | 443 | ||||||
Gates Global LLC, Initial B-1 Dollar Term Loan, 1st Lien | ||||||||
4.583%, VAR LIBOR+3.250%, 04/01/2024 | 485 | 486 | ||||||
Getty Images, Initial Term Loan, 1st Lien | ||||||||
4.833%, VAR LIBOR+3.500%, 10/18/2019 | 3,462 | 2,987 | ||||||
Globallogic Holdings, Closing Date Term Loan, 1st Lien | ||||||||
5.833%, VAR LIBOR+4.500%, 06/20/2022 (C) | 238 | 239 | ||||||
GOBP Holdings, Incremental Term Loan | ||||||||
4.833%, VAR LIBOR+3.500%, 10/21/2021 | 985 | 981 | ||||||
Hardware Holdings LLC, Cov-Lite, Term Loan, 1st Lien | ||||||||
7.833%, VAR LIBOR+6.500%, 03/30/2020 (C) | 833 | 808 |
282 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Hayward Industries, Initial Loan, 1st Lien | ||||||||
9.489%, VAR LIBOR+8.250%, 07/18/2025 (C) | $ | 250 | $ | 248 | ||||
Hayward Industries, Initial Term Loan, 1st Lien | ||||||||
4.735%, VAR LIBOR+3.500%, 08/05/2024 | 350 | 352 | ||||||
Hi-Crush Partners LP, Advance, 1st Lien | ||||||||
5.083%, VAR LIBOR+3.750%, 04/28/2021 | 591 | 578 | ||||||
Hoffmaster Group, Initial Term Loan, 1st Lien | ||||||||
5.833%, VAR LIBOR+4.500%, 11/21/2023 | 248 | 250 | ||||||
Hummel Station LLC, Construction Term B Advance, 1st Lien | ||||||||
7.235%, VAR LIBOR+6.000%, 10/27/2022 (C) | 45 | 41 | ||||||
Hummel Station LLC, Delayed Draw Term Loan B, 1st Lien | ||||||||
7.235%, VAR LIBOR+6.000%, 10/27/2022 (C) | 210 | 192 | ||||||
IHC Holding, Incremental Term Loan, 1st Lien | ||||||||
8.071%, 04/30/2021 (C)(D) | 231 | 229 | ||||||
IHC Holding, Term Loan, 1st Lien | ||||||||
8.083%, 04/30/2021 (C)(D) | 1,190 | 1,179 | ||||||
IHeartCommunications (fka Clear Channel Communications), Term Loan, 1st Lien | ||||||||
6.090%, VAR LIBOR+4.750%, 06/21/2022 (C) | 199 | 199 | ||||||
iHeartCommunications (fka Clear Channel Communications), Tranche E Term Loan, 1st Lien | ||||||||
8.833%, VAR LIBOR+7.500%, 07/30/2019 | 100 | 77 | ||||||
Immucor, Term B-3 Loan, 1st Lien | ||||||||
6.235%, VAR LIBOR+5.000%, 06/15/2021 | 449 | 455 | ||||||
Infor U.S., Term Loan B-1, 1st Lien | ||||||||
3.750%, VAR Euribor+2.750%, 02/01/2022 | EUR | 995 | 1,181 | |||||
Insight Fourth Hospitality, Term Loan, 1st Lien | ||||||||
7.250%, 07/15/2021 (C)(D) | GBP | 1,000 | 1,328 | |||||
Intrawest ULC, Term Loan, 1st Lien | ||||||||
4.485%, VAR LIBOR+3.250%, 07/31/2024 | $ | 685 | 688 | |||||
Invenergy Thermal Operating I LLC, Term Loan, 1st Lien | ||||||||
6.833%, VAR LIBOR+5.500%, 10/19/2022 (C) | 1,377 | 1,308 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Ivanti Software (fka LANDesk Group), Term Loan, 1st Lien | ||||||||
5.490%, VAR LIBOR+4.250%, 01/20/2024 | $ | 592 | $ | 577 | ||||
J. Crew Group, Initial Term Loan, 1st Lien | ||||||||
4.455%, VAR LIBOR+3.220%, 03/05/2021 | 1,179 | 711 | ||||||
4.454%, VAR LIBOR+3.220%, 03/05/2021 | 466 | 281 | ||||||
Jazz Acquisition, Revolving Loan, 1st Lien | ||||||||
4.739%, VAR LIBOR+3.500%, 06/19/2019 (C) | 48 | 46 | ||||||
Kronos, Incremental Term Loan, 1st Lien | ||||||||
4.812%, VAR LIBOR+3.500%, 11/01/2023 | 397 | 399 | ||||||
Learning Care Group (US) No. 2, Term Loan, 1st Lien | ||||||||
5.299%, VAR LIBOR+4.000%, 05/05/2021 (C) | 352 | 354 | ||||||
5.276%, VAR LIBOR+4.000%, 05/05/2021 (C) | 1,055 | 1,063 | ||||||
5.272%, VAR LIBOR+4.000%, 05/05/2021 (C) | 29 | 29 | ||||||
Liberty Cablevision of Puerto Rico LLC (fka San Juan Cable, LLC), Term B Loan, 1st Lien | ||||||||
4.804%, VAR LIBOR+3.500%, 01/07/2022 | 425 | 395 | ||||||
Lineage Logistics LLC, Term Loan, 1st Lien | ||||||||
4.735%, VAR LIBOR+3.500%, 04/07/2021 | 2,104 | 2,106 | ||||||
Lytx, Term Loan, 1st Lien | ||||||||
7.989%, 08/31/2023 (C)(D) | 521 | 508 | ||||||
Market Track, Cov-Lite, 1st Lien | ||||||||
5.583%, VAR LIBOR+4.250%, 06/05/2024 (C) | 299 | 298 | ||||||
Mavis Tire Supply LLC, Term Loan | ||||||||
6.485%, 11/02/2020 (C)(D) | 1,466 | 1,454 | ||||||
McGraw-Hill Global Education Holdings, LLC, Term B Loan, 1st Lien | ||||||||
5.235%, VAR LIBOR+4.000%, 05/04/2022 | 1,043 | 1,023 | ||||||
Men’s Wearhouse, 1st Lien Term Loan | ||||||||
4.813%, VAR LIBOR+3.500%, 06/18/2021 | 155 | 150 | ||||||
Men’s Wearhouse, Tranche B Term Loan, 1st Lien | ||||||||
4.750%, VAR LIBOR+3.500%, 06/18/2021 | 338 | 329 | ||||||
MH Sub (Internet Brands), Term Loan, 1st Lien | ||||||||
4.820%, 09/13/2024 | 300 | 298 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 283 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Misys Ltd., Cov-Lite, Term Loan B, 1st Lien | ||||||||
4.817%, VAR LIBOR+3.500%, 06/13/2024 | $ | 2,263 | $ | 2,273 | ||||
Misys Ltd., Term Loan, 1st Lien | ||||||||
4.817%, VAR LIBOR+3.500%, 06/13/2024 | 587 | 589 | ||||||
MRP Generation Holdings LLC, Term Loan, 1st Lien | ||||||||
8.333%, VAR LIBOR+7.000%, 09/29/2022 (C) | 495 | 463 | ||||||
Murray Energy, Term Loan B2, 1st Lien | ||||||||
8.583%, VAR LIBOR+7.250%, 04/16/2020 | 1,269 | 1,161 | ||||||
Nana Development, Initial Term Loan, 1st Lien | ||||||||
8.080%, VAR LIBOR+6.750%, 03/15/2018 | 11 | 11 | ||||||
Navistar, Tranche B Term Loan, 1st Lien | ||||||||
5.240%, VAR LIBOR+4.000%, 08/07/2020 | 983 | 987 | ||||||
Neiman Marcus Group, Other Term Loan, 1st Lien | ||||||||
4.481%, VAR LIBOR+3.250%, 10/25/2020 | 2,456 | 1,824 | ||||||
NEP/NCP Holdco, Amendment No. 4 Incremental Term Loan, 2nd Lien | ||||||||
4.485%, VAR LIBOR+3.250%, 07/21/2022 | 2,431 | 2,424 | ||||||
NEP/NCP Holdco, New Term Loan, 2nd Lien | ||||||||
8.231%, VAR LIBOR+7.000%, 01/23/2023 | 412 | 414 | ||||||
NES Global Talent Finance U.S. LLC, Term Loan, 1st Lien | ||||||||
6.811%, VAR LIBOR+5.500%, 10/03/2019 (C) | 889 | 800 | ||||||
Numericable U.S. LLC, Term Loan, 1st Lien | ||||||||
4.561%, VAR LIBOR+3.250%, 01/14/2025 | 798 | 800 | ||||||
NVA Holdings, Cov-Lite, 1st Lien | ||||||||
4.833%, VAR LIBOR+3.500%, 08/14/2021 | 135 | 136 | ||||||
Oberthur Technologies Holding (fka OT Frenchco 1 SAS), Facility B1 (USD), 1st Lien | ||||||||
5.083%, VAR LIBOR+3.750%, 01/10/2024 | 288 | 279 | ||||||
Opal Acquisition, Cov-Lite, Term Loan, 1st Lien | ||||||||
5.299%, 11/27/2020 | 343 | 322 | ||||||
Opal Acquisition, Term Loan B, 1st Lien | ||||||||
5.333%, VAR LIBOR+4.000%, 11/27/2020 | 506 | 475 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Optiv, Initial Term Loan, 1st Lien | ||||||||
4.563%, VAR LIBOR+3.250%, 02/01/2024 | $ | 645 | $ | 605 | ||||
Palermo Finance, Term Loan, 1st Lien | ||||||||
5.800%, 04/17/2023 (C)(D) | 549 | 544 | ||||||
Panda Temple Power II LLC, Construction Term Loan Advance, 1st Lien | ||||||||
7.333%, VAR LIBOR+6.000%, 04/03/2019 (C) | 292 | 266 | ||||||
Peak, Term Loan B, 1st Lien | ||||||||
4.811%, 08/01/2024 | 300 | 300 | ||||||
Pelican Products, Term Loan, 1st Lien | ||||||||
5.583%, VAR LIBOR+4.250%, 04/10/2020 | 248 | 249 | ||||||
PetSmart, Cov-Lite, Term Loan B, 1st Lien | ||||||||
4.240%, VAR LIBOR+3.000%, 03/11/2022 | 1,696 | 1,430 | ||||||
Planview, Term Loan, 1st Lien | ||||||||
6.485%, 01/27/2023 (C)(D) | 697 | 687 | ||||||
Pregis Holding, Term Loan, 1st Lien | ||||||||
4.833%, VAR LIBOR+3.500%, 05/20/2021 | 299 | 298 | ||||||
Project Ruby Ultimate Parent, Closing Date Term Loan, 1st Lien | ||||||||
4.985%, VAR LIBOR+3.750%, 02/09/2024 | 497 | 500 | ||||||
Prowler Acquisition, Term Loan, 1st Lien | ||||||||
5.833%, VAR LIBOR+4.500%, 01/28/2020 (C) | 264 | 231 | ||||||
Reddy Ice, Term Loan B, 1st Lien | ||||||||
6.875%, VAR LIBOR+5.500%, 04/01/2019 | 333 | 327 | ||||||
Reddy Ice, Term Loan B, 2nd Lien | ||||||||
10.810%, VAR LIBOR+9.500%, 11/01/2019 | 225 | 211 | ||||||
Rise, Term Loan A | ||||||||
4.750%, 02/12/2039 | 2,036 | 2,056 | ||||||
Sears Roebuck Acceptance, Term Loan, 1st Lien | ||||||||
5.735%, VAR LIBOR+4.500%, 06/30/2018 | 754 | 744 | ||||||
Severin Aquisition, Term Loan, 1st Lien | ||||||||
5.990%, 07/30/2021 (C) | 995 | 988 | ||||||
Shearer’s Foods LLC, 2015 Incremental Term Loan, 1st Lien | ||||||||
5.583%, VAR LIBOR+4.250%, 06/30/2021 | 149 | 149 | ||||||
Shearer’s Foods LLC, Term Loan, 2nd Lien | ||||||||
8.083%, VAR LIBOR+6.750%, 06/30/2022 (C) | 825 | 779 | ||||||
5.270%, VAR LIBOR+3.938%, 06/30/2021 | 741 | 740 |
284 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS (continued) |
| |||||||
Spring Industries, Term Loan, 1st Lien | ||||||||
7.737%, 06/01/2021 (C)(D) | $ | 593 | $ | 593 | ||||
Sprint Communications, Initial Term Loan, 1st Lien | ||||||||
3.750%, VAR LIBOR+2.500%, 02/02/2024 | 1,493 | 1,493 | ||||||
Staples, Cov-Lite, Term Loan B, 1st Lien | ||||||||
5.310%, VAR LIBOR+4.000%, 09/12/2024 | 1,075 | 1,070 | ||||||
Surgery Center Holdings, Term Loan, 1st Lien | ||||||||
4.490%, VAR LIBOR+3.250%, 09/02/2024 | 370 | 367 | ||||||
Techem, Term Loan B, 1st Lien | ||||||||
0.000%, 07/26/2024 (F) | EUR | 650 | 772 | |||||
Thermasys, Term Loan, 1st Lien | ||||||||
5.305%, VAR LIBOR+4.000%, 05/03/2019 | $ | 335 | 308 | |||||
TIBCO Software, Term Loan B-1, 1st Lien | ||||||||
4.740%, VAR LIBOR+3.500%, 12/04/2020 | 1,950 | 1,955 | ||||||
Truck Hero, Initial Term Loan, 1st Lien | ||||||||
5.326%, VAR LIBOR+4.000%, 04/22/2024 | 399 | 398 | ||||||
Univision Communications, Cov-Lite, Term Loan, 1st Lien | ||||||||
3.985%, VAR LIBOR+2.750%, 03/15/2024 | 1,745 | 1,729 | ||||||
US Renal Care, Initial Term Loan, 1st Lien | ||||||||
5.583%, VAR LIBOR+4.250%, 12/30/2022 | 1,631 | 1,577 | ||||||
USIC Holdings, Term Loan, 1st Lien | ||||||||
5.004%, VAR LIBOR+3.500%, 12/08/2023 | 517 | 520 | ||||||
Vantiv LLC, Term Loan A-4, 1st Lien | ||||||||
0.000%, 09/20/2022 (F) | 400 | 400 | ||||||
Vencore (fka SI Organization), Initial Term Loan, 1st Lien | ||||||||
6.083%, VAR LIBOR+4.750%, 11/23/2019 | 795 | 802 | ||||||
Viewpoint, Term Loan, 1st Lien | ||||||||
5.703%, 07/19/2024 (C) | 200 | 200 | ||||||
Viva Alamo LLC, Initial Term Loan, 1st Lien | ||||||||
5.567%, VAR LIBOR+4.250%, 02/22/2021 | 594 | 564 | ||||||
Wrangler Buyer, Term Loan B, 1st Lien | ||||||||
4.234%, 09/20/2024 | 175 | 176 | ||||||
Total Loan Participations |
| 107,601 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
SOVEREIGN DEBT — 9.2% |
| |||||||
Abu Dhabi Government International Bond | ||||||||
3.125%, 05/03/2026 | $ | 850 | $ | 866 | ||||
2.125%, 05/03/2021 | 200 | 200 | ||||||
Angolan Government International Bond | ||||||||
9.500%, 11/12/2025 | 400 | 429 | ||||||
Argentina Bonar Bonds | ||||||||
24.605%, VAR 30-35d Argentina BADLAR Private Banks+3.250%, 03/01/2020 | ARS | 3,600 | 217 | |||||
24.105%, VAR 30-35d Argentina BADLAR Private Banks+2.750%, 03/01/2018 | 150 | 9 | ||||||
23.662%, VAR 30-35d Argentina BADLAR Private Banks+3.000%, 10/09/2017 | 3,410 | 206 | ||||||
Argentina POM Politica Monetaria | ||||||||
26.250%, VAR Argentina Central Bank 7D Repo Ref Rate+0.000%, 06/21/2020 | 500 | 31 | ||||||
Argentine Bonos del Tesoro | ||||||||
16.000%, 10/17/2023 | 130 | 8 | ||||||
15.500%, 10/17/2026 | 10 | – | ||||||
Argentine Republic Government International Bond | ||||||||
8.280%, 12/31/2033 | $ | 112 | 127 | |||||
7.820%, 12/31/2033 | EUR | 230 | 300 | |||||
7.820%, 12/31/2033 | 220 | 291 | ||||||
7.500%, 04/22/2026 | $ | 1,460 | 1,641 | |||||
7.125%, 07/06/2036 | 880 | 924 | ||||||
7.125%, 06/28/2117 (A) | 840 | 838 | ||||||
6.875%, 04/22/2021 | 260 | 283 | ||||||
6.875%, 01/26/2027 | 1,060 | 1,145 | ||||||
3.380%, 03/31/2019 (G) | EUR | 70 | 56 | |||||
2.500%, 03/31/2019 (G) | $ | 1,120 | 790 | |||||
Bahrain Government International Bond | ||||||||
7.000%, 10/12/2028 (A) | 230 | 234 | ||||||
6.750%, 09/20/2029 (A) | 380 | 377 | ||||||
Bermuda Government International Bond | ||||||||
3.717%, 01/25/2027 (A) | 240 | 243 | ||||||
Bulgaria Government International Bond | ||||||||
3.125%, 03/26/2035 | EUR | 170 | 215 | |||||
3.000%, 03/21/2028 | 360 | 480 | ||||||
2.950%, 09/03/2024 | 830 | 1,116 | ||||||
Chile Government International Bond | ||||||||
3.860%, 06/21/2047 | $ | 380 | 387 | |||||
3.125%, 01/21/2026 | 1,220 | 1,253 | ||||||
Colombia Government International Bond | ||||||||
5.000%, 06/15/2045 | 1,900 | 1,955 | ||||||
4.500%, 01/28/2026 | 200 | 213 | ||||||
4.000%, 02/26/2024 | 200 | 208 | ||||||
3.875%, 04/25/2027 | 200 | 203 | ||||||
2.625%, 03/15/2023 | 660 | 648 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 285 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Income Fund (Continued)
Face Amount | Market Value | |||||||||
Description | (Thousands) | ($ Thousands) | ||||||||
SOVEREIGN DEBT (continued) | ||||||||||
Costa Rica Government International Bond | ||||||||||
7.158%, 03/12/2045 | $ | 880 | $ | 950 | ||||||
7.000%, 04/04/2044 | 400 | 425 | ||||||||
5.625%, 04/30/2043 | 400 | 366 | ||||||||
Croatia Government International Bond | ||||||||||
3.000%, 03/20/2027 | EUR | 100 | 124 | |||||||
Dominican Republic International Bond | ||||||||||
6.875%, 01/29/2026 | $ | 960 | 1,095 | |||||||
6.850%, 01/27/2045 | 660 | 738 | ||||||||
6.850%, 01/27/2045 (A) | 1,305 | 1,460 | ||||||||
6.600%, 01/28/2024 | 300 | 337 | ||||||||
5.875%, 04/18/2024 | 3,090 | 3,353 | ||||||||
5.500%, 01/27/2025 | 220 | 233 | ||||||||
Eastern and Southern African Trade and Development Bank MTN | ||||||||||
5.375%, 03/14/2022 | 210 | 216 | ||||||||
Ecuador Government International Bond | ||||||||||
10.750%, 03/28/2022 | 200 | 224 | ||||||||
9.650%, 12/13/2026 (A) | 900 | 949 | ||||||||
9.625%, 06/02/2027 (A) | 1,150 | 1,208 | ||||||||
7.950%, 06/20/2024 | 1,290 | 1,275 | ||||||||
Egypt Government International Bond MTN | ||||||||||
8.500%, 01/31/2047 | 420 | 468 | ||||||||
7.500%, 01/31/2027 | 280 | 305 | ||||||||
6.125%, 01/31/2022 | 260 | 269 | ||||||||
El Salvador Government International Bond | ||||||||||
8.625%, 02/28/2029 (A) | 240 | 270 | ||||||||
7.750%, 01/24/2023 | 10 | 11 | ||||||||
7.650%, 06/15/2035 | 630 | 647 | ||||||||
6.375%, 01/18/2027 | 466 | 461 | ||||||||
5.875%, 01/30/2025 | 80 | 78 | ||||||||
Gabon Government International Bond | ||||||||||
6.375%, 12/12/2024 | 220 | 214 | ||||||||
Ghana Government International Bond | ||||||||||
10.750%, 10/14/2030 | 210 | 273 | ||||||||
8.125%, 01/18/2026 | 200 | 212 | ||||||||
Guatemala Government Bond | ||||||||||
5.750%, 06/06/2022 | 700 | 760 | ||||||||
4.875%, 02/13/2028 | 210 | 215 | ||||||||
4.500%, 05/03/2026 (A) | 970 | 977 | ||||||||
4.375%, 06/05/2027 | 200 | 198 | ||||||||
4.375%, 06/05/2027 (A) | 790 | 782 | ||||||||
Hazine Mustesarligi Varlik Kiralama | ||||||||||
5.004%, 04/06/2023 (A) | 1,930 | 1,984 | ||||||||
Honduras Government International Bond | ||||||||||
7.500%, 03/15/2024 | 660 | 751 | ||||||||
Hungary Government International Bond | ||||||||||
6.375%, 03/29/2021 | 540 | 609 | ||||||||
6.250%, 01/29/2020 | 2,310 | 2,518 | ||||||||
5.375%, 02/21/2023 | 130 | 146 | ||||||||
4.125%, 02/19/2018 | 70 | 71 | ||||||||
4.000%, 03/25/2019 | 30 | 31 |
Face Amount | Market Value | |||||||||
Description | (Thousands) | ($ Thousands) | ||||||||
SOVEREIGN DEBT (continued) | ||||||||||
Indonesia Government International Bond MTN | ||||||||||
5.875%, 01/15/2024 | $ | 1,130 | $ | 1,295 | ||||||
4.750%, 01/08/2026 | 2,270 | 2,475 | ||||||||
4.625%, 04/15/2043 | 230 | 238 | ||||||||
4.350%, 01/08/2027 (A) | 320 | 339 | ||||||||
4.125%, 01/15/2025 | 300 | 315 | ||||||||
3.850%, 07/18/2027 (A) | 1,170 | 1,202 | ||||||||
3.750%, 06/14/2028 (A) | EUR | 200 | 265 | |||||||
3.700%, 01/08/2022 (A) | $ | 450 | 467 | |||||||
3.375%, 04/15/2023 | 310 | 315 | ||||||||
3.375%, 07/30/2025 | EUR | 1,390 | 1,813 | |||||||
2.625%, 06/14/2023 (A) | 300 | 377 | ||||||||
2.150%, 07/18/2024 (A) | 340 | 414 | ||||||||
Ivory Coast Government International Bond | ||||||||||
6.375%, 03/03/2028 | $ | 210 | 217 | |||||||
5.750%, 12/31/2032 | 232 | 227 | ||||||||
5.125%, 06/15/2025 (A) | EUR | 210 | 257 | |||||||
Kenya Government International Bond | ||||||||||
6.875%, 06/24/2024 (A) | $ | 1,335 | 1,363 | |||||||
6.875%, 06/24/2024 | 1,510 | 1,541 | ||||||||
Kuwait International Government Bond | ||||||||||
3.500%, 03/20/2027 | 200 | 206 | ||||||||
Macedonia Government International Bond | ||||||||||
5.625%, 07/26/2023 (A) | EUR | 350 | 464 | |||||||
5.625%, 07/26/2023 | 350 | 464 | ||||||||
Mexican Bonos | ||||||||||
8.500%, 11/18/2038 | MXN | 980 | 61 | |||||||
8.000%, 12/07/2023 | 1,396 | 82 | ||||||||
8.000%, 11/07/2047 | 48 | 3 | ||||||||
7.750%, 11/23/2034 | 1,954 | 114 | ||||||||
6.500%, 06/10/2021 | 7,950 | 435 | ||||||||
6.500%, 06/09/2022 | 1,368 | 75 | ||||||||
Mexico Government International Bond | ||||||||||
4.000%, 10/02/2023 | $ | 520 | 550 | |||||||
3.625%, 03/15/2022 | 70 | 73 | ||||||||
Mongolia Government International Bond MTN | ||||||||||
8.750%, 03/09/2024 | 200 | 224 | ||||||||
5.125%, 12/05/2022 | 230 | 224 | ||||||||
Nigeria Government International Bond | ||||||||||
7.875%, 02/16/2032 | 810 | 885 | ||||||||
6.750%, 01/28/2021 | 207 | 220 | ||||||||
6.375%, 07/12/2023 | 200 | 210 | ||||||||
5.625%, 06/27/2022 | 190 | 193 | ||||||||
Pakistan Government International Bond | ||||||||||
8.250%, 04/15/2024 | 210 | 239 | ||||||||
8.250%, 09/30/2025 | 370 | 425 | ||||||||
Paraguay Government International Bond | ||||||||||
6.100%, 08/11/2044 | 350 | 393 | ||||||||
5.000%, 04/15/2026 (A) | 440 | 470 | ||||||||
4.700%, 03/27/2027 (A) | 570 | 594 |
286 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Face Amount | Market Value | |||||||||
Description | (Thousands) | ($ Thousands) | ||||||||
SOVEREIGN DEBT (continued) | ||||||||||
4.625%, 01/25/2023 | $ | 550 | $ | 579 | ||||||
Perusahaan Penerbit SBSN Indonesia III | ||||||||||
4.550%, 03/29/2026 | 200 | 213 | ||||||||
4.550%, 03/29/2026 (A) | 330 | 351 | ||||||||
4.150%, 03/29/2027 (A) | 1,090 | 1,125 | ||||||||
3.400%, 03/29/2022 (A) | 200 | 204 | ||||||||
Philippine Government International Bond | ||||||||||
5.500%, 03/30/2026 | 200 | 239 | ||||||||
Province of Santa Fe | ||||||||||
7.000%, 03/23/2023 | 150 | 160 | ||||||||
7.000%, 03/23/2023 (A) | 150 | 159 | ||||||||
Provincia de Buenos Aires | ||||||||||
25.330%, VAR 30-35d Argentina BADLAR Private Banks+3.830%, 05/31/2022 | ARS | 2,070 | 123 | |||||||
Provincia de la Rioja | ||||||||||
9.750%, 02/24/2025 (A) | $ | 270 | 286 | |||||||
Republic of Azerbaijan International Bond | ||||||||||
3.500%, 09/01/2032 (A) | 160 | 139 | ||||||||
Republic of South Africa Government Bond | ||||||||||
8.750%, 01/31/2044 | ZAR | 640 | 43 | |||||||
8.500%, 01/31/2037 | 4,140 | 276 | ||||||||
7.000%, 02/28/2031 | 6,370 | 393 | ||||||||
6.500%, 02/28/2041 | 660 | 34 | ||||||||
Republic of Suriname | ||||||||||
9.250%, 10/26/2026 (A) | $ | 340 | 367 | |||||||
9.250%, 10/26/2026 | 400 | 432 | ||||||||
Republic of Tajikistan International Bond | ||||||||||
7.125%, 09/14/2027 (A) | 200 | 196 | ||||||||
Romanian Government International Bond | ||||||||||
MTN | ||||||||||
6.750%, 02/07/2022 | 610 | 705 | ||||||||
4.375%, 08/22/2023 | 100 | 107 | ||||||||
3.875%, 10/29/2035 | EUR | 570 | 714 | |||||||
Russian Foreign Bond - Eurobond | ||||||||||
5.250%, 06/23/2047 (A) | $ | 200 | 204 | |||||||
4.875%, 09/16/2023 (A) | 400 | 436 | ||||||||
4.750%, 05/27/2026 (A) | 200 | 212 | ||||||||
4.750%, 05/27/2026 | 1,600 | 1,696 | ||||||||
4.500%, 04/04/2022 (A) | 200 | 214 | ||||||||
4.250%, 06/23/2027 (A) | 800 | 813 | ||||||||
Senegal Government International Bond | ||||||||||
6.250%, 05/23/2033 (A) | 1,700 | 1,748 | ||||||||
South Africa Government International Bond | ||||||||||
8.875%, 02/28/2035 | ZAR | 3,910 | 274 | |||||||
5.875%, 05/30/2022 | $ | 100 | 110 | |||||||
5.875%, 09/16/2025 | 760 | 821 | ||||||||
5.650%, 09/27/2047 | 1,720 | 1,709 | ||||||||
4.875%, 04/14/2026 | 290 | 292 | ||||||||
4.850%, 09/27/2027 | 880 | 872 | ||||||||
4.300%, 10/12/2028 | 400 | 377 |
Face Amount | Market Value | |||||||||
Description | (Thousands) | ($ Thousands) | ||||||||
SOVEREIGN DEBT (continued) | ||||||||||
Sri Lanka Government International Bond | ||||||||||
6.850%, 11/03/2025 | $ | 790 | $ | 867 | ||||||
6.825%, 07/18/2026 (A) | 250 | 275 | ||||||||
6.200%, 05/11/2027 (A) | 380 | 399 | ||||||||
6.125%, 06/03/2025 | 200 | 211 | ||||||||
5.875%, 07/25/2022 | 470 | 501 | ||||||||
5.750%, 01/18/2022 (A) | 200 | 211 | ||||||||
Turkey Government International Bond | ||||||||||
7.375%, 02/05/2025 | 360 | 418 | ||||||||
7.000%, 06/05/2020 | 220 | 240 | ||||||||
6.875%, 03/17/2036 | 130 | 147 | ||||||||
6.625%, 02/17/2045 | 270 | 298 | ||||||||
6.250%, 09/26/2022 | 1,271 | 1,394 | ||||||||
6.000%, 03/25/2027 | 346 | 371 | ||||||||
6.000%, 01/14/2041 | 410 | 421 | ||||||||
5.750%, 03/22/2024 | 1,106 | 1,175 | ||||||||
5.750%, 05/11/2047 | 1,080 | 1,062 | ||||||||
4.875%, 10/09/2026 | 210 | 209 | ||||||||
4.875%, 04/16/2043 | 200 | 177 | ||||||||
3.250%, 06/14/2025 | EUR | 740 | 875 | |||||||
Ukraine Government International Bond | ||||||||||
7.750%, 09/01/2023 | $ | 230 | 241 | |||||||
7.750%, 09/01/2024 | 1,050 | 1,096 | ||||||||
7.750%, 09/01/2025 | 270 | 279 | ||||||||
7.750%, 09/01/2027 | 540 | 554 | ||||||||
7.375%, 09/25/2032 (A) | 200 | 195 | ||||||||
Zambia Government International Bond | ||||||||||
8.970%, 07/30/2027 | 1,040 | 1,129 | ||||||||
5.375%, 09/20/2022 | 280 | 267 | ||||||||
Total Sovereign Debt | 90,455 | |||||||||
MORTGAGE-BACKED SECURITIES — 9.2% | ||||||||||
Agency Mortgage-Backed Obligations — 0.6% | ||||||||||
FNMA CMO, Ser 2012-115, Cl DS, IO | ||||||||||
4.863%, VAR LIBOR USD 1 | ||||||||||
Month+6.100%,10/25/2042 | 981 | 186 | ||||||||
FNMA CMO, Ser 2013-130, Cl SN, IO | ||||||||||
5.413%, VAR LIBOR USD 1 Month+6.650%,10/25/2042 | 3,624 | 671 | ||||||||
FNMA CMO, Ser 2015-30, Cl SJ, IO | ||||||||||
4.363%, VAR LIBOR USD 1 Month+5.600%,05/25/2045 | 1,240 | 197 | ||||||||
FNMA CMO, Ser 2016-69, Cl BS, IO | ||||||||||
4.863%, VAR LIBOR USD 1 Month+6.100%,10/25/2046 | 1,864 | 279 | ||||||||
FNMA CMO, Ser 2016-70, Cl DS, IO | ||||||||||
4.863%, VAR LIBOR USD 1 Month+6.100%,10/25/2046 | 3,382 | 529 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 287 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Income Fund (Continued)
Face Amount | Market Value | |||||||||
Description | (Thousands) | ($ Thousands) | ||||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||||
GNMA CMO, Ser 2010-9, Cl XD, IO | ||||||||||
5.366%, VAR LIBOR USD 1 Month+6.600%,01/16/2040 | $ | 4,116 | $ | 720 | ||||||
GNMA CMO, Ser 2011-51, Cl DS, IO | ||||||||||
5.414%, VAR LIBOR USD 1 Month+6.650%,04/20/2041 | 631 | 99 | ||||||||
GNMA CMO, Ser 2013-124, Cl CS, IO | ||||||||||
4.814%, VAR LIBOR USD 1 Month+6.050%,08/20/2043 | 423 | 64 | ||||||||
GNMA CMO, Ser 2014-117, Cl SJ, IO | ||||||||||
4.364%, VAR LIBOR USD 1 Month+5.600%,08/20/2044 | 1,212 | 177 | ||||||||
GNMA CMO, Ser 2014-158, Cl SA, IO | ||||||||||
4.366%, VAR LIBOR USD 1 Month+5.600%,10/16/2044 | 560 | 87 | ||||||||
GNMA CMO, Ser 2015-110, Cl MS, IO | ||||||||||
4.474%, VAR LIBOR USD 1 Month+5.710%,08/20/2045 | 720 | 104 | ||||||||
GNMA CMO, Ser 2015-111, Cl IM, IO | ||||||||||
4.000%,08/20/2045 | 5,301 | 916 | ||||||||
GNMA CMO, Ser 2015-168, Cl IP, IO | ||||||||||
4.000%,11/20/2045 | 2,626 | 360 | ||||||||
GNMA CMO, Ser 2015-57, Cl AS, IO | ||||||||||
4.364%, VAR LIBOR USD 1 Month+5.600%,04/20/2045 | 4,936 | 710 | ||||||||
GNMA CMO, Ser 2016-109, Cl IH, IO | ||||||||||
4.000%,10/20/2045 | 3,460 | 544 | ||||||||
GNMA CMO, Ser 2016-27, Cl 1A, IO | ||||||||||
4.000%,06/20/2045 | 1,969 | 277 | ||||||||
5,920 | ||||||||||
Non-Agency Mortgage-Backed Obligations — 8.3% | ||||||||||
Alliance Bancorp Trust, Ser 2007-OA1, Cl A1 | ||||||||||
1.474%, VAR ICE LIBOR USD 1 Month+0.240%,07/25/2037 | 1,025 | 913 | ||||||||
American Home Mortgage Assets Trust, | ||||||||||
Ser 2007-1, Cl A1 | ||||||||||
1.589%, VAR 12 Month Treas | ||||||||||
Avg+0.700%,02/25/2047 | 4,415 | 2,944 | ||||||||
American Home Mortgage Investment Trust, | ||||||||||
Ser 2006-1, Cl 12A1 | ||||||||||
1.634%, VAR ICE LIBOR USD 1 Month+0.400%,03/25/2046 | 1,410 | 1,319 | ||||||||
BCAP Trust, Ser 2006-AA2, Cl A1 | ||||||||||
1.407%, VAR ICE LIBOR USD 1 Month+0.170%,01/25/2037 | 764 | 694 | ||||||||
BCAP Trust, Ser 2007-AA2, Cl 2A7 | 939 | 817 | ||||||||
6.000%,04/25/2037 | ||||||||||
Capmark Military Housing Trust, Ser 2007- AET2, Cl A | ||||||||||
6.063%,10/10/2052 (A) | 968 | 1,026 |
Face Amount | Market Value | |||||||||
Description | (Thousands) | ($ Thousands) | ||||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||||
Chase Mortgage Finance Trust, Ser 2007-S5, Cl 1A3 | ||||||||||
6.000%,07/25/2037 | $ | 1,468 | $ | 1,325 | ||||||
CIM Trust, Ser 2017-2, Cl A1 | ||||||||||
3.237%, VAR ICE LIBOR USD 1 Month+2.000%,12/25/2057 (A) | 3,870 | 3,906 | ||||||||
Citigroup Commercial Mortgage Trust, Ser SMPL, Cl E | ||||||||||
4.509%,09/10/2031 (A) | 2,000 | 2,042 | ||||||||
Cosmopolitan Hotel Trust, Ser 2016-CSMO, Cl E | ||||||||||
5.884%, VAR LIBOR USD 1 Month+4.650%,11/15/2033 (A) | 4,200 | 4,231 | ||||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DN1, Cl M3 | ||||||||||
5.387%, VAR ICE LIBOR USD 1 Month+4.150%,01/25/2025 | 450 | 484 | ||||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQA2, Cl M3 | ||||||||||
6.037%, VAR ICE LIBOR USD 1 Month+4.800%,05/25/2028 | 610 | 698 | ||||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA3, Cl M3 | ||||||||||
6.237%, VAR ICE LIBOR USD 1 Month+5.000%,12/25/2028 | 250 | 285 | ||||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA4, Cl M3 | ||||||||||
5.037%, VAR ICE LIBOR USD 1 Month+3.800%,03/25/2029 | 300 | 324 | ||||||||
FirstKey Master Funding, Ser 2017-R1, Cl M4 | ||||||||||
1.452%, VAR ICE LIBOR USD 1 Month+0.220%,11/03/2041 (A)(C)(D) | 1,750 | 1,575 | ||||||||
FirstKey Master Funding, Ser 2017-R1, Cl A6 | ||||||||||
1.452%, VAR ICE LIBOR USD 1 Month+0.220%,11/03/2041 (A)(C)(D) | 2,100 | 2,047 | ||||||||
FNMA Connecticut Avenue Securities, Ser 2016-C04, Cl 1M2 | ||||||||||
5.487%, VAR ICE LIBOR USD 1 Month+4.250%,01/25/2029 | 180 | 197 | ||||||||
GAHR Commercial Mortgage Trust, Ser 2015-NRF, Cl GFX | ||||||||||
3.495%,12/15/2034 (A)(B) | 1,377 | 1,354 | ||||||||
GE Business Loan Trust, Ser 2007-1, Cl C | ||||||||||
1.684%, VAR LIBOR USD 1 Month+0.450%,04/16/2035 (A) | 926 | 850 | ||||||||
GreenPoint Mortgage Funding Trust, Ser 2006-AR1, Cl A1A | ||||||||||
1.527%, VAR ICE LIBOR USD 1 Month+0.290%,02/25/2036 | 1,468 | 1,402 | ||||||||
GreenPoint MTA Trust, Ser 2005-AR1, Cl A2 | ||||||||||
1.677%, VAR ICE LIBOR USD 1 Month+0.440%,06/25/2045 | 596 | 558 |
288 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Face Amount | Market Value | |||||||||
Description | (Thousands) | ($ Thousands) | ||||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||||
GS Mortgage Securities Trust, Ser 2014-GSFL,Cl D | ||||||||||
5.134%, VAR LIBOR USD 1 Month+3.900%,07/15/2031 (A) | $ | 984 | $ | 986 | ||||||
GS Mortgage Securities Trust, Ser 2017-STAY, Cl E | ||||||||||
3.384%,07/15/2032 | 1,000 | 993 | ||||||||
Lehman XS Trust, Ser 2006-10N, Cl 1A3A | ||||||||||
1.447%, VAR ICE LIBOR USD 1 Month+0.210%,07/25/2046 | 988 | 937 | ||||||||
Lehman XS Trust, Ser 2006-16N, Cl A4A | ||||||||||
1.424%, VAR ICE LIBOR USD 1 Month+0.190%,11/25/2046 | 2,804 | 2,546 | ||||||||
LSTAR Securities Investment Trust, Ser 2016-4, Cl A1 | ||||||||||
3.237%, VAR LIBOR USD 1 Month+2.000%,10/01/2021 (A) | 1,979 | 1,979 | ||||||||
LSTAR Securities Investment Trust, Ser 2016-5, Cl A1 | ||||||||||
3.235%, VAR ICE LIBOR USD 1 Month+2.000%,11/01/2021 (A) | 991 | 991 | ||||||||
LSTAR Securities Investment Trust, Ser 2016-7, Cl A1 | ||||||||||
3.237%, VAR ICE LIBOR USD 1 Month+2.000%,12/01/2018 (A) | 4,385 | 4,385 | ||||||||
LSTAR Securities Investment Trust, Ser 2017-3, Cl A1 | ||||||||||
3.235%, VAR ICE LIBOR USD 1 Month+2.000%,04/01/2022 (A) | 2,941 | 2,941 | ||||||||
LSTAR Securities Investment Trust, Ser 2017-6, Cl A | ||||||||||
2.986%, VAR ICE LIBOR USD 1 Month+1.750%,09/01/2022 (A) | 4,600 | 4,596 | ||||||||
LSTAR Securities Investment Trust, Ser 2020-1 | ||||||||||
3.732%,04/01/2020 (C)(D) | 4,261 | 4,224 | ||||||||
Luminent Mortgage Trust, Ser 2006-2, Cl A1A | ||||||||||
1.434%, VAR ICE LIBOR USD 1 Month+0.200%,02/25/2046 | 3,833 | 3,110 | ||||||||
Morgan Stanley Re-REMIC Trust, Ser 2010-R5, Cl 4B | ||||||||||
2.508%,06/26/2036 (A) | 661 | 559 | ||||||||
Mortgage Repurchase Agreement Financing Trust, Ser 2017-1, Cl A2 | ||||||||||
2.185%, VAR ICE LIBOR USD 1 Month+0.950%,04/10/2019 (A) | 950 | 950 | ||||||||
Mortgage Repurchase Agreement Financing Trust, Ser 2017-1, Cl A1 | ||||||||||
2.085%, VAR ICE LIBOR USD 1 Month+0.850%,07/10/2019 (A) | 2,000 | 2,001 |
Face Amount | Market Value | |||||||||
Description | (Thousands) | ($ Thousands) | ||||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||||
Mortgage Repurchase Agreement Financing Trust, Ser 2017-2, Cl A1 | ||||||||||
1.779%, VAR ICE LIBOR USD 1 Month+0.550%,08/12/2019 (A) | $ | 1,850 | $ | 1,850 | ||||||
Nelnet Student Loan Trust, Ser 2006-1, Cl A6 | 1,250 | 1,217 | ||||||||
1.764%,08/23/2036 | ||||||||||
Nomura Resecuritization Trust, Ser 2012-1R, Cl A | ||||||||||
1.676%, VAR LIBOR USD 1 Month+0.440%,08/27/2047 (A) | 425 | 425 | ||||||||
Nomura Resecuritization Trust, Ser 2015-4R, | ||||||||||
1.867%, VAR ICE LIBOR USD 1 Month+0.430%,03/26/2036 (A) | 866 | 831 | ||||||||
PFP III, Ser 2017-3, Cl C | ||||||||||
3.734%, VAR LIBOR USD 1 Month+2.500%,01/14/2035 (A) | 1,000 | 1,004 | ||||||||
RALI Series Trust, Ser 2006-QO2, Cl A2 | ||||||||||
1.507%, VAR ICE LIBOR USD 1 Month+0.270%,02/25/2046 | 1,779 | 817 | ||||||||
RALI Series Trust, Ser 2006-QO3, Cl A1 | ||||||||||
1.447%, VAR ICE LIBOR USD 1 Month+0.210%,04/25/2046 | 1,950 | 1,102 | ||||||||
RALI Series Trust, Ser 2006-QO8, Cl 1A3A | ||||||||||
1.437%, VAR ICE LIBOR USD 1 Month+0.200%,10/25/2046 | 1,302 | 1,199 | ||||||||
RALI Series Trust, Ser 2007-QO2, Cl A1 | ||||||||||
1.387%, VAR ICE LIBOR USD 1 Month+0.150%,02/25/2047 | 1,383 | 906 | ||||||||
Resource Capital, Ser 2015-CRE3, Cl D | ||||||||||
5.228%, VAR LIBOR USD 1 Month+4.000%,03/15/2032 (A) | 1,000 | 1,001 | ||||||||
Resource Capital, Ser 2015-CRE4, Cl B | ||||||||||
4.228%, VAR LIBOR USD 1 Month+3.000%,08/15/2032 (A) | 1,000 | 1,000 | ||||||||
Resource Capital, Ser 2017-CRE5, Cl B | ||||||||||
3.234%, VAR LIBOR USD 1 Month+2.000%,07/15/2034 (A) | 1,000 | 1,000 | ||||||||
SRERS Funding, Ser 2011-RS, Cl A1B2 | ||||||||||
1.479%, VAR LIBOR USD 1 Month+0.250%,05/09/2046 (A) | 1,980 | 1,462 | ||||||||
Station Place Securitization Trust, Ser 2015-2, Cl A | ||||||||||
2.287%, VAR ICE LIBOR USD 1 Month+1.050%,05/15/2018 (A)(C) | 400 | 400 | ||||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19XS, Cl 2A1 | ||||||||||
1.573%, VAR ICE LIBOR USD 1 Month+0.300%,10/25/2035 | 991 | 975 | ||||||||
Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR9, Cl 2A | ||||||||||
1.670%, VAR 12 Month Treas Avg+0.840%,11/25/2046 | 6,272 | 5,287 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 289 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Income Fund (Continued)
Face Amount | Market Value | |||||||||
Description | (Thousands) | ($ Thousands) | ||||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR12, Cl 2A5 | ||||||||||
3.263%,06/25/2035 (B) | $ | 421 | $ | 426 | ||||||
81,091 | ||||||||||
Other Asset-Backed Securities — 0.3% | ||||||||||
Stanwich Mortgage Loan, Ser 2017-NPA1, Cl A1 | ||||||||||
3.598%,03/16/2022 (A)(C) | 2,772 | 2,772 | ||||||||
Total Mortgage-Backed Securities | 89,783 | |||||||||
COMMERCIAL PAPER (H) — 5.9% | ||||||||||
Canadian Imperial Bank of Commerce | ||||||||||
2.312%, 10/30/2017 (A) | 7,000 | 6,993 | ||||||||
Cargill | ||||||||||
1.120%, 10/10/2017 (A) | 8,120 | 8,117 | ||||||||
Colgate-Palmolive | ||||||||||
2.162%, 10/23/2017 (A) | 7,000 | 6,995 | ||||||||
Intercontinental Exchange | 3,125 | 3,122 | ||||||||
2.302%, 11/02/2017 (A) | ||||||||||
John Deere Financial | ||||||||||
1.202%, 10/23/2017 (A) | 6,000 | 5,996 | ||||||||
Mitsubishi UFJ Trust & Banking | ||||||||||
1.221%, 10/16/2017 | 7,000 | 6,996 | ||||||||
Nestle Capital | ||||||||||
1.080%, 10/03/2017 (A) | 6,000 | 5,999 | ||||||||
Toronto-Dominion Holdings USA | ||||||||||
1.222%, 10/16/2017 (A) | 7,000 | 6,996 | ||||||||
Wal-Mart Stores | 6,938 | 6,931 | ||||||||
1.101%, 10/30/2017 (A) | ||||||||||
Total Commercial Paper | 58,145 | |||||||||
U.S. GOVERNMENT AGENCY OBLIGATION (H) — 0.6% | ||||||||||
FHLB DN 1.032%, 11/08/2017 | 6,000 | 5,994 | ||||||||
Total U.S. Government Agency Obligation | 5,994 |
Face Amount | Market Value | |||||||||
Description | (Thousands) | ($ Thousands) | ||||||||
MUNICIPAL BONDS — 0.3% | ||||||||||
Illinois — 0.1% | ||||||||||
Illinois State, GO | ||||||||||
7.350%, 07/01/2035 | $ | 225 | $ | 258 | ||||||
5.100%, 06/01/2033 | 645 | 652 | ||||||||
910 | ||||||||||
Minnesota — 0.0% | ||||||||||
Northstar Education Finance, Ser 2007-1, RB 1.414%, 04/28/2030 (I) | 278 | 275 | ||||||||
North Carolina — 0.1% | ||||||||||
North Carolina State, Education Assistance Authority, Ser A-3, RB | ||||||||||
2.214%, 10/25/2041 (I) | 1,250 | 1,252 | ||||||||
Puerto Rico — 0.1% | ||||||||||
Commonwealth of Puerto Rico, Ser A, GO Callable 07/01/2020 @ | ||||||||||
100 8.000%, 07/01/2035 (E) | 410 | 199 | ||||||||
Puerto Rico Commonwealth, Aqueduct & Sewer Authority, Ser Senior A, RB Callable 07/01/2018 @ 100 | ||||||||||
6.000%, 07/01/2038 | 55 | 42 | ||||||||
Puerto Rico Commonwealth, Aqueduct & Sewer Authority, Ser Senior A, RB Callable 07/01/2022 @ 100 | ||||||||||
5.000%, 07/01/2033 | 25 | 18 | ||||||||
Puerto Rico Commonwealth, Ser B, GO Callable 07/01/2019 @ 100 | ||||||||||
6.000%, 07/01/2039 (E) | 35 | 16 | ||||||||
Puerto Rico Sales Tax Financing Sales Tax Revenue, Sub-Ser A, RB Callable 08/01/2019 @ 100 | ||||||||||
6.500%, 08/01/2044 (E) | 1,020 | 214 | ||||||||
6.000%, 08/01/2042 (E) | 105 | 22 | ||||||||
5.750%, 08/01/2037 (E) | 655 | 136 | ||||||||
5.500%, 08/01/2028 (E) | 35 | 7 | ||||||||
Puerto Rico Sales Tax Financing Sales Tax Revenue, Sub-Ser A, RB Callable 02/01/2020 @ 100 | ||||||||||
5.500%, 08/01/2037 (E) | 90 | 19 | ||||||||
5.375%, 08/01/2039 (E) | 960 | 199 | ||||||||
Puerto Rico Sales Tax Financing Sales Tax Revenue, Sub-Ser A-1, RB Callable 08/01/2021 @ 100 | ||||||||||
5.000%, 08/01/2043 (E) | 40 | 8 |
290 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount
(Thousands) |
Market Value
($ Thousands) | ||||||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||||
Puerto Rico Sales Tax Financing Sales Tax Revenue, Sub-Ser C, RB Callable 08/01/2020 @ 100 | ||||||||||||||
5.250%, 08/01/2041 (E) | $ | 325 | $ | 68 | ||||||||||
|
| |||||||||||||
948 | ||||||||||||||
|
| |||||||||||||
Total Municipal Bonds | 3,385 | |||||||||||||
|
| |||||||||||||
Shares | ||||||||||||||
|
| |||||||||||||
PREFERRED STOCK — 0.2% |
| |||||||||||||
Consumer Discretionary — (0.0)% |
| |||||||||||||
Delphi Financial Group, 0.000% * | 20,807 | 437 | ||||||||||||
|
| |||||||||||||
Industrials — 0.2% |
| |||||||||||||
Seaspan, 6.375% | 54,789 | 1,420 | ||||||||||||
|
| |||||||||||||
Other Asset-Backed Securities — 0.0% |
| |||||||||||||
GSC Partners Fund V, Ser 2004-5I, 0.000% *(C) | 100 | — | ||||||||||||
|
| |||||||||||||
Total Preferred Stock | 1,857 | |||||||||||||
|
| |||||||||||||
Face Amount (Thousands) | ||||||||||||||
|
| |||||||||||||
CONVERTIBLE BONDS — 0.2% |
| |||||||||||||
Mirabela Nickel CV to 5.9242 | 167 | 15 | ||||||||||||
RH CV to 8.6143 | 900 | 825 | ||||||||||||
SM Energy CV to 24.6914 | 650 | 610 | ||||||||||||
|
| |||||||||||||
Total Convertible Bonds | 1,450 | |||||||||||||
|
| |||||||||||||
U.S. TREASURY OBLIGATIONS — 0.1% |
| |||||||||||||
U.S. Treasury Notes | 350 | 350 | ||||||||||||
2.125%, 07/31/2024 | 870 | 869 | ||||||||||||
|
| |||||||||||||
Total U.S. Treasury Obligations | 1,219 | |||||||||||||
|
|
Description | Shares |
Market Value
($ Thousands) | ||||||||||||
EXCHANGE TRADED FUND — 0.1% |
| |||||||||||||
Energy — 0.1% |
| |||||||||||||
Guggenheim Solar Energy | 51,736 | $ | 1,120 | |||||||||||
|
| |||||||||||||
Total Exchange Traded Fund | 1,120 | |||||||||||||
|
| |||||||||||||
Number of Warrants | ||||||||||||||
|
| |||||||||||||
WARRANT — 0.0% |
| |||||||||||||
Comstock Resources, Expires 06/15/2020 Strike Price $0 * | 1,857 | 11 | ||||||||||||
|
| |||||||||||||
Total Warrant | 11 | |||||||||||||
|
| |||||||||||||
Face Amount (Thousands) | ||||||||||||||
|
| |||||||||||||
REPURCHASE AGREEMENTS — 0.1% |
| |||||||||||||
Barclays | ||||||||||||||
0.500%, dated 03/29/2017, total market value $208,500 (K) | $ | 209 | 208 | |||||||||||
Barclays | ||||||||||||||
0.500%, dated 07/11/2017, total market value $526,875 (K) | 527 | 527 | ||||||||||||
|
| |||||||||||||
Total Repurchase Agreements | 735 | |||||||||||||
|
| |||||||||||||
Total Investments in Securities— 94.6% (Cost $911,018) ($ Thousands) | $ | 927,939 | ||||||||||||
|
| |||||||||||||
CORPORATE OBLIGATIONS SOLD SHORT — (0.1)% |
| |||||||||||||
Consumer Discretionary — (0.1)% |
| |||||||||||||
Herc Rentals | ||||||||||||||
7.750%, 06/01/2024 (A) | (500 | ) | (542) | |||||||||||
|
| |||||||||||||
Industrials — 0.0% |
| |||||||||||||
XPO Logistics | ||||||||||||||
6.125%, 09/01/2023 (A) | (200 | ) | (209) | |||||||||||
|
| |||||||||||||
Total Corporate Obligations Sold Short (Proceeds $731) ($ Thousands) | (751) | |||||||||||||
|
| |||||||||||||
Total Investments Sold Short — (0.1)% (Proceeds $731) ($ Thousands) | $ | (751) | ||||||||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 291 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Income Fund (Continued)
Description | Contracts | Market Value ($ Thousands) | ||||||
PURCHASED OPTIONS* — 0.1% |
| |||||||
Total Purchased Options (L) (Cost $2,409) ($ Thousands) | 17,290,395 | $ 494 | ||||||
|
|
A list of the open exchange traded options contracts for the Fund at September 30, 2017, is as follows:
Description | Contracts | Market Value ($ Thousands) | ||||||
WRITTEN OPTIONS* — (0.2)% |
| |||||||
Total Written Options (L) | ||||||||
(Premiums Received $1,858) ($ Thousands) | (3,498 | ) | $ (2,254) | |||||
|
|
Description | Number of Contracts | Notional Amount ($ Thousands) | Exercise Price | Expiration Date | Value ($ Thousands) | |||||||||||
PURCHASED OPTIONS — 0.0% |
| |||||||||||||||
Put Options | ||||||||||||||||
December 19 Put on IMM EUR* | 884 | $ | 1,082 | $97.63 | 12/21/19 | $ | 403 | |||||||||
iShares iBoxx $ High Yield Corporate Bond ETF* | 5,569 | 223 | 84.00 | 10/21/17 | 6 | |||||||||||
October 17 EUR Put GBP Call* | 17,281,033 | 624 | 0.87 | 10/21/17 | 56 | |||||||||||
|
|
|
| |||||||||||||
1,929 | 465 | |||||||||||||||
|
|
|
| |||||||||||||
Call Options | ||||||||||||||||
iShares 20+ Year Treasury Bond ETF* | 2,909 | 480 | 130.00 | 10/21/17 | 29 | |||||||||||
|
|
|
| |||||||||||||
Total Purchased Options | $ | 2,409 | $ | 494 | ||||||||||||
|
|
|
| |||||||||||||
WRITTEN OPTIONS — (0.2)% | ||||||||||||||||
Call Options | ||||||||||||||||
iShares 20+ Year Treasury Bond ETF* | (2,909 | ) | $ | (210) | 133.00 | 10/21/17 | $ | (9) | ||||||||
October 17 Calls on SPX* | (273 | ) | (762) | 2,490.00 | 10/21/17 | (992) | ||||||||||
October 17 Calls on SPX* | (266 | ) | (757) | 2,485.00 | 10/21/17 | (1,053) | ||||||||||
October 17 Calls on SPX* | (20 | ) | (61) | 2,480.00 | 10/21/17 | (90) | ||||||||||
October 17 Calls on SPX* | (5 | ) | (17) | 2,460.00 | 10/21/17 | (31) | ||||||||||
October 17 Calls on SPX* | (25 | ) | (51) | 2,495.00 | 10/21/17 | (79) | ||||||||||
|
|
|
| |||||||||||||
Total Written Options | $ | (1,858) | $ | (2,254) | ||||||||||||
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
S&P 500 Index E-MINI | 255 | Dec-2017 | $31,479 | $32,080 | $601 | |||||||||||||
U.S. 10-Year Treasury Note | 170 | Dec-2017 | 21,500 | 21,303 | (197) | |||||||||||||
U.S. 2-Year Treasury Note | 136 | Jan-2018 | 29,418 | 29,335 | (83) | |||||||||||||
U.S. 5-Year Treasury Note | 414 | Dec-2017 | 48,968 | 48,645 | (323) | |||||||||||||
U.S. Long Treasury Bond | 47 | Dec-2017 | 7,290 | 7,182 | (108) | |||||||||||||
U.S. Ultra Long Treasury Bond | 38 | Dec-2017 | 6,383 | 6,275 | (108) | |||||||||||||
Ultra 10-Year U.S. Treasury Note | 18 | Dec-2017 | 2,446 | 2,418 | (28) | |||||||||||||
|
| |||||||||||||||||
$147,484 | $147,238 | $(246) | ||||||||||||||||
|
|
A list of the open forward foreign currency contracts held by the Fund at September 30, 2017, is as follows:
Counterparty | Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) (Thousands) | ||||||||||||
Bank of America | 10/12/17 | EUR | 1,011 | USD | 1,212 | $16 | ||||||||||
Bank of America | 11/16/17 | GBP | 1,892 | USD | 2,538 | (3) | ||||||||||
Barclays PLC | 10/12/17 | GBP | 1,651 | USD | 2,177 | (39) | ||||||||||
Brown Brothers Harriman | 11/14/17 | ZAR | 12,307 | USD | 915 | 10 |
292 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Counterparty | Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) (Thousands) | ||||||||||||||||||||
Citigroup | 10/12/17 | EUR | 11,793 | USD | 13,902 | $ | (49 | ) | ||||||||||||||||
Goldman Sachs | 10/06/17 | MXN | 5,818 | USD | 328 | 8 | ||||||||||||||||||
Goldman Sachs | 11/02/17 | USD | 76 | EUR | 64 | — | ||||||||||||||||||
HSBC | 10/12/17 | EUR | 3,915 | USD | 4,627 | (4 | ) | |||||||||||||||||
JPMorgan Chase Bank | 10/12/17 | EUR | 635 | USD | 761 | 10 | ||||||||||||||||||
JPMorgan Chase Bank | 11/02/17 | EUR | 64 | USD | 76 | — | ||||||||||||||||||
Macquarie Capital | 10/06/17 | MXN | 8,242 | USD | 460 | 6 | ||||||||||||||||||
|
|
| ||||||||||||||||||||||
$ | (45 | ) | ||||||||||||||||||||||
|
|
|
A list of the open centrally cleared swap agreements held by the Fund at September 30, 2017 is as follows:
Credit Default Swap | ||||||||||||||||||||||||||||||||
Reference Entity/ Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Payment Frequency | Termination Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Upfront Payments/ Receipts ($ Thousands) | Net Unrealized (Depreciation) ($ Thousands) | ||||||||||||||||||||||||
CDX.EM.27 | Buy | 1.00 | % | Quarterly | 06/20/2022 | 5,330 | $ | 168 | $ | 196 | $ | (28 | ) | |||||||||||||||||||
CDX.EM.28 | Buy | 1.00 | % | Quarterly | 12/20/2022 | 5,050 | 204 | 211 | (7 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||
$ | 372 | $ | 407 | $ | (35 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
Interest Rate Swaps | ||||||||||||||||||||||||||||
Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount (Thousands) | Value ($ Thousands) | Upfront Payments/ ($ Thousands) | Net Unrealized ($ Thousands) | ||||||||||||||||||||
1.25% | 6-MONTH GBP -LIBOR | Semi-Annual | 12/20/2027 | GBP | 790 | $ | 21 | $ | (14 | ) | $ | 35 | ||||||||||||||||
1.25% | 6-MONTH GBP - LIBOR | Semi-Annual | 12/20/2024 | GBP | 560 | 1 | (15 | ) | 16 | |||||||||||||||||||
0.50 | 6-MONTH EUR - EURIBOR | Semi-Annual | 12/20/2024 | EUR | 5,370 | 39 | (12 | ) | 51 | |||||||||||||||||||
1.50 | 6-MONTH EUR - EURIBOR | Semi-Annual | 12/20/2037 | EUR | 700 | 3 | (9 | ) | 12 | |||||||||||||||||||
2.50 | 3-MONTH USD - LIBOR | Quarterly | 12/20/2027 | USD | 1,100 | (20 | ) | (29 | ) | 9 | ||||||||||||||||||
1.00 | 6-MONTH EUR -EURIBOR | Semi-Annual | 12/20/2027 | EUR | 2,760 | (13 | ) | (48 | ) | 35 | ||||||||||||||||||
2.70 | 3-MONTH USD - LIBOR | Quarterly | 07/18/2023 | USD | 600 | (28 | ) | – | (28 | ) | ||||||||||||||||||
0.00 | 6-MONTH EUR - EURIBOR | Semi-Annual | 12/20/2019 | EUR | 1,220 | (3 | ) | (4 | ) | 1 | ||||||||||||||||||
1.707 | 3-MONTH USD - LIBOR | Semi-Annual | 12/16/2019 | USD | 2,100 | (7 | ) | – | (7 | ) | ||||||||||||||||||
1.56 | 3-MONTH USD - LIBOR | Quarterly | 07/03/2018 | USD | 7,150 | (62 | ) | – | (62 | ) | ||||||||||||||||||
0.25% | 6-MONTH EUR - EURIBOR | Semi-Annual | 12/20/2022 | EUR | 3,120 | 10 | – | 10 | ||||||||||||||||||||
28-DAY MXN - TIIE | 6.75 | Monthly | 12/14/2022 | MXN | 25,575 | (1 | ) | – | (1 | ) | ||||||||||||||||||
0.25 | 6-MONTH EUR - EURIBOR | Semi-Annual | 12/20/2020 | EUR | 1,520 | (13 | ) | 16 | (29 | ) | ||||||||||||||||||
|
|
| ||||||||||||||||||||||||||
$ | (73 | ) | $ | (115 | ) | $ | 42 | |||||||||||||||||||||
|
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 293 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Income Fund (Concluded)
Percentages are based on Net Assets of $980,747 ($ Thousands). |
* | Non-income producing security. |
‡ | Real Estate Investment Trust. |
(A) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2017, the value of these securities amounted to $390,447 ($ Thousands), representing 39.8% of the Net Assets of the Fund. |
(B) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
(C) | Level 3 security in accordance with fair value hierarchy. |
(D) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2017 was $27,843 ($ Thousands) and represented 2.8% of the Net Assets of the Fund. |
(E) | Security is in default on interest payment. |
(F) | Unsettled bank loan. Interest rate not available. |
(G) | Step Bonds – The rate reflected on the Schedule of Investments is the effective yield on September 30, 2017. The coupon on a step bond changes on a specified date. |
(H) | Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase. |
(I) | Variable or floating rate security, the interest rate of which adjusts periodically based on prevailing interest rates. |
(J) | Represents a security which has additional commitments and contingencies. Principal amount and value excludes unfunded commitments. |
(K) | Open Ended Repurchase Agreement. |
(L) | Refer to table below for details on Options Contracts. |
ABS — Asset-Backed Security
ARS — Argentine Peso
CDO — Collateralized Debt Obligation
Cl — Class
CLO — Collateralized Loan Obligation
CMO — Collateralized Mortgage Obligation
CV — Convertible Security
DN— Discount Note
ETF — Exchange Traded Fund
EUR — Euro
EURIBOR — Euro Interbank Offered Rate
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GBP — British Pound Sterling
GNMA — Government National Mortgage Association
GO — General Obligation
ICE— Intercontinental Exchange
IO — Interest Only — face amount represents notional amount.
IMM — International Monetary Market
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
LP — Limited Partnership
Ltd. — Limited
MTN — Medium Term Note
MXN — Mexican Peso
PIK — Payment-in-Kind
PLC — Public Limited Company
RB — Revenue Bond
Re-REMIC — Re-securitization of Real Estate Mortgage Investment Conduit
S&P— Standard & Poor’s
Ser — Series
SPX — Standard & Poor’s 500 Index
TIIE — Interbank Equilibrium Interest Rate
ULC — Unlimited Liability Company
USD — United States Dollar
VAR — Variable Rate
ZAR — South African Rand
The following is a list of the level of inputs used as of September 30, 2017, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset-Backed Securities | $ | – | $ | 261,289 | $ | 3,902 | $ | 265,191 | ||||||||
Corporate Obligations | – | 173,753 | 10,594 | 184,347 | ||||||||||||
Common Stock | 116,525 | 42 | 79 | 116,646 | ||||||||||||
Loan Participations | – | 85,909 | 21,692 | 107,601 | ||||||||||||
Sovereign Debt | – | 90,455 | – | 90,455 | ||||||||||||
Mortgage-Backed Securities | – | 78,765 | 11,018 | 89,783 | ||||||||||||
Commercial Paper | – | 58,145 | – | 58,145 | ||||||||||||
U.S. Government Agency Obligation | – | 5,994 | – | 5,994 | ||||||||||||
Municipal Bonds | – | 3,385 | – | 3,385 | ||||||||||||
Preferred Stock | 1,857 | – | – | 1,857 | ||||||||||||
Convertible Bonds | – | 1,435 | 15 | 1,450 | ||||||||||||
U.S. Treasury Obligations | – | 1,219 | – | 1,219 | ||||||||||||
Exchange Traded Fund | 1,120 | – | – | 1,120 | ||||||||||||
Repurchase Agreements | – | 735 | – | 735 | ||||||||||||
Warrant | – | 11 | – | 11 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 119,502 | $ | 761,137 | $ | 47,300 | $ | 927,939 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Securities Sold Short | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Obligations | $ | – | $ | (751) | $ | – | $ | (751) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Securities Sold Short | $ | – | $ | (751) | $ | – | $ | (751) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Options | $ | 494 | $ | — | $ | — | $ | 494 | ||||||||
Written Options | (2,254) | — | — | (2,254) | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | 601 | — | — | 601 | ||||||||||||
Unrealized Depreciation | (847) | — | — | (847) | ||||||||||||
Forwards Contracts * | ||||||||||||||||
Unrealized Appreciation | — | 50 | — | 50 | ||||||||||||
Unrealized Depreciation | — | (95) | — | (95) | ||||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Credit Default Swaps * | ||||||||||||||||
Unrealized Depreciation | — | (35) | — | (35) | ||||||||||||
Interest Rate Swaps * | ||||||||||||||||
Unrealized Appreciation | — | 169 | — | 169 | ||||||||||||
Unrealized Depreciation | — | (127) | — | (127) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (2,006) | $ | (38) | $ | — | $ | (2,044) | ||||||||
|
|
|
|
|
|
|
|
* Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.
294 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
|
Investments in Asset- Backed Securities | Investments in Corporate Obligations | Investments in Loan Participations | Investments in Mortgage-Backed Securities | Investments in Common Stock | Investments in Convertible Bonds | Investments in Warrants | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||
Balance as of September 30, 2016 | $ | 2,560 | $ | 3,447 | $ | 8,156 | $ | 1,777 | $ | 71 | $ | 47 | $ | 14 | ||||||||||||||
Accrued discounts/premiums | – | – | (4) | – | – | – | – | |||||||||||||||||||||
Realized gain/(loss) | (1,180) | – | (170) | – | (202) | – | – | |||||||||||||||||||||
Change in unrealized appreciation/ depreciation | 1,180 | 309 | 658 | – | 214 | (32) | – | |||||||||||||||||||||
Purchases | 2,000 | 6,600 | 1,139 | – | (4) | – | – | |||||||||||||||||||||
Sales | (77) | (461) | (3,414) | – | – | – | – | |||||||||||||||||||||
Net transfer into Level 3 | 1,100 | 865 | 15,327 | 11,018 | – | – | – | |||||||||||||||||||||
Net transfer out of Level 3 | (1,681) | (166) | – | (1,777) | – | – | (14) | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Ending Balance as of September 30, 2017 | $ | 3,902 | $ | 10,594 | $ | 21,692 | $ | 11,018 | $ | 79 | $ | 15 | $ | – | ||||||||||||||
|
| |||||||||||||||||||||||||||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | 83 | $ | 233 | $ | (429) | $ | (1) | $ | (449) | $ | (32) | $ | – | ||||||||||||||
|
|
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, there were transfers between 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 $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 295 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Inflation Managed Fund
|
†Percentages are based on total investments.
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
U.S. TREASURY OBLIGATIONS — 67.3% |
| |||||||
U.S. Treasury Bills ** | ||||||||
1.033%, 11/09/2017 (A)(H) | $ | 46,720 | $ | 46,673 | ||||
0.983%, 11/30/2017 (A)(H) | 95,440 | 95,285 | ||||||
U.S. Treasury Inflation Protected Securities | ||||||||
1.375%, 01/15/2020 | 44,402 | 45,993 | ||||||
1.250%, 07/15/2020 | 52,569 | 54,782 | ||||||
1.125%, 01/15/2021 | 20,590 | 21,409 | ||||||
0.625%, 07/15/2021 | 103,285 | 106,158 | ||||||
0.375%, 07/15/2025 | 3,389 | 3,389 | ||||||
0.125%, 04/15/2019 | 16,119 | 16,179 | ||||||
0.125%, 04/15/2020 (B) | 83,841 | 84,252 | ||||||
0.125%, 04/15/2021 | 23,999 | 24,074 | ||||||
0.125%, 01/15/2022 | 32,197 | 32,298 | ||||||
0.125%, 04/15/2022 | 19,641 | 19,639 | ||||||
0.125%, 07/15/2022 | 19,234 | 19,326 | ||||||
0.125%, 01/15/2023 | 29,487 | 29,413 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 598,870 | |||||||
|
| |||||||
Shares | ||||||||
|
| |||||||
COMMON STOCK — 28.8% |
| |||||||
Consumer Staples — 6.7% |
| |||||||
Altria Group (C) | 60,886 | 3,861 | ||||||
Andersons | 678 | 23 | ||||||
Archer-Daniels-Midland | 16,649 | 708 | ||||||
B&G Foods, Cl A | 2,578 | 82 | ||||||
Blue Buffalo Pet Products * | 2,700 | 77 | ||||||
Boston Beer, Cl A * | 150 | 23 | ||||||
Brown-Forman, Cl A | 1,828 | 102 | ||||||
Brown-Forman, Cl B | 5,378 | 292 | ||||||
Bunge | 5,359 | 372 | ||||||
Calavo Growers | 450 | 33 | ||||||
Cal-Maine Foods | 650 | 27 |
| ||||||||
Description | Shares | Market Value ($ Thousands) | ||||||
| ||||||||
COMMON STOCK (continued) |
| |||||||
Campbell Soup | 5,750 | $ | 269 | |||||
Casey’s General Stores | 1,298 | 142 | ||||||
Central Garden & Pet, Cl A * | 778 | 29 | ||||||
Church & Dwight | 7,752 | 376 | ||||||
Clorox | 3,902 | 515 | ||||||
Coca-Cola | 120,214 | 5,411 | ||||||
Coca-Cola Bottling Consolidated | 180 | 39 | ||||||
Colgate-Palmolive | 27,471 | 2,001 | ||||||
Conagra Brands | 13,111 | 442 | ||||||
Constellation Brands, Cl A | 5,203 | 1,038 | ||||||
Costco Wholesale | 13,683 | 2,248 | ||||||
Coty, Cl A | 14,200 | 235 | ||||||
CVS Health | 31,203 | 2,537 | ||||||
Darling Ingredients * | 6,436 | 113 | ||||||
Dean Foods | 4,072 | 44 | ||||||
Dr Pepper Snapple Group (C) | 5,359 | 474 | ||||||
Edgewell Personal Care * | 1,978 | 144 | ||||||
Energizer Holdings | 1,713 | 79 | ||||||
Estee Lauder, Cl A | 6,556 | 707 | ||||||
Flowers Foods | 5,950 | 112 | ||||||
Fresh Del Monte Produce | 1,372 | 62 | ||||||
General Mills | 18,078 | 936 | ||||||
Hain Celestial Group * | 3,374 | 139 | ||||||
Herbalife * | 2,491 | 169 | ||||||
Hershey | 4,214 | 460 | ||||||
Hormel Foods | 8,000 | 257 | ||||||
Hostess Brands, Cl A * | 7,232 | 99 | ||||||
HRG Group * | 5,278 | 82 | ||||||
Ingles Markets, Cl A | 579 | 15 | ||||||
Ingredion | 2,336 | 282 | ||||||
J&J Snack Foods | 727 | 95 | ||||||
JM Smucker | 3,426 | 360 | ||||||
Kellogg | 7,440 | 464 | ||||||
Kimberly-Clark | 10,612 | 1,249 | ||||||
Kraft Heinz | 17,824 | 1,382 | ||||||
Kroger | 30,697 | 616 | ||||||
Lamb Weston Holdings | 4,650 | 218 | ||||||
Lancaster Colony | 650 | 78 | ||||||
McCormick | 3,478 | 357 | ||||||
Molson Coors Brewing, Cl B | 4,891 | 399 | ||||||
Mondelez International, Cl A | 44,881 | 1,825 | ||||||
Monster Beverage * | 14,048 | 776 | ||||||
National Beverage, Cl A | 533 | 66 | ||||||
Nu Skin Enterprises, Cl A | 1,972 | 121 | ||||||
PepsiCo | 43,015 | 4,793 | ||||||
Performance Food Group * | 4,526 | 128 | ||||||
Philip Morris International | 49,726 | 5,520 | ||||||
Pilgrim’s Pride * | 1,278 | 36 | ||||||
Pinnacle Foods | 3,750 | 214 | ||||||
Post Holdings * | 2,272 | 201 | ||||||
PriceSmart | 900 | 80 | ||||||
Procter & Gamble | 77,817 | 7,080 |
296 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
| ||||||||
Description | Shares | Market Value ($ Thousands) | ||||||
| ||||||||
COMMON STOCK (continued) |
| |||||||
Rite Aid * | 33,600 | $ | 66 | |||||
Sanderson Farms | 672 | 109 | ||||||
Seaboard | 7 | 32 | ||||||
Snyder’s-Lance | 2,907 | 111 | ||||||
SpartanNash | 1,822 | 48 | ||||||
Spectrum Brands Holdings | 950 | 101 | ||||||
Sprouts Farmers Market * | 5,028 | 94 | ||||||
SUPERVALU * | 932 | 20 | ||||||
Sysco, Cl A | 15,891 | 857 | ||||||
Tootsie Roll Industries | 669 | 25 | ||||||
TreeHouse Foods * | 1,827 | 124 | ||||||
Tyson Foods, Cl A (C) | 8,481 | 597 | ||||||
United Natural Foods * | 1,950 | 81 | ||||||
Universal | 1,022 | 59 | ||||||
US Foods Holding * | 5,727 | 153 | ||||||
Vector Group | 5,355 | 110 | ||||||
Walgreens Boots Alliance | 28,283 | 2,184 | ||||||
Wal-Mart Stores | 44,428 | 3,472 | ||||||
WD-40 | 327 | 37 | ||||||
Weis Markets | 400 | 17 | ||||||
|
| |||||||
59,411 | ||||||||
|
| |||||||
Energy — 7.6% |
| |||||||
Anadarko Petroleum, Cl A | 26,109 | 1,275 | ||||||
Andeavor (C) | 6,800 | 701 | ||||||
Antero Resources * | 13,200 | 263 | ||||||
Apache | 17,864 | 818 | ||||||
Archrock | 6,800 | 85 | ||||||
Atwood Oceanics, Cl A * | 3,633 | 34 | ||||||
Baker Hughes a GE | 19,042 | 697 | ||||||
Bonanza Creek Energy * | 2,024 | 67 | ||||||
C&J Energy Services * | 3,400 | 102 | ||||||
Cabot Oil & Gas | 21,175 | 566 | ||||||
Callon Petroleum * | 8,628 | 97 | ||||||
Carrizo Oil & Gas * | 3,200 | 55 | ||||||
Centennial Resource Development, Cl A * | 7,800 | 140 | ||||||
Cheniere Energy * | 9,677 | 436 | ||||||
Chesapeake Energy * | 46,728 | 201 | ||||||
Chevron (C) | 85,572 | 10,055 | ||||||
Cimarex Energy | 4,318 | 491 | ||||||
Concho Resources * | 6,955 | 916 | ||||||
ConocoPhillips | 55,673 | 2,786 | ||||||
Consol Energy * | 9,885 | 167 | ||||||
Continental Resources, Cl A * | 3,727 | 144 | ||||||
Delek US Holdings | 3,778 | 101 | ||||||
Denbury Resources * | 21,572 | 29 | ||||||
Devon Energy | 24,557 | 902 | ||||||
Diamond Offshore Drilling * | 3,172 | 46 | ||||||
Diamondback Energy, Cl A * | 4,412 | 432 | ||||||
Dril-Quip * | 1,600 | 71 | ||||||
Eclipse Resources * | 22,216 | 56 | ||||||
Energen * | 4,931 | 270 |
| ||||||||
Description | Shares | Market Value ($ Thousands) | ||||||
| ||||||||
COMMON STOCK (continued) |
| |||||||
Ensco, Cl A | 14,778 | $ | 88 | |||||
EOG Resources | 26,628 | 2,576 | ||||||
EQT | 7,804 | 509 | ||||||
Exterran * | 877 | 28 | ||||||
Extraction Oil & Gas * | 8,777 | 135 | ||||||
ExxonMobil (C) | 190,822 | 15,644 | ||||||
Forum Energy Technologies * | 4,587 | 73 | ||||||
GasLog | 6,772 | 118 | ||||||
Golar LNG | 5,035 | 114 | ||||||
Green Plains | 1,100 | 22 | ||||||
Gulfport Energy * | 8,078 | 116 | ||||||
Halliburton | 40,279 | 1,854 | ||||||
Helix Energy Solutions Group * | 3,778 | 28 | ||||||
Helmerich & Payne | 5,450 | 284 | ||||||
Hess | 13,735 | 644 | ||||||
HollyFrontier | 6,928 | 249 | ||||||
Kinder Morgan | 88,084 | 1,689 | ||||||
Kosmos Energy * | 12,600 | 100 | ||||||
Laredo Petroleum * | 7,428 | 96 | ||||||
Marathon Oil | 40,842 | 554 | ||||||
Marathon Petroleum | 23,517 | 1,319 | ||||||
Matador Resources * | 4,464 | 121 | ||||||
McDermott International * | 14,050 | 102 | ||||||
Murphy Oil | 9,862 | 262 | ||||||
Nabors Industries | 20,451 | 165 | ||||||
National Oilwell Varco, Cl A | 17,638 | 630 | ||||||
Newfield Exploration * | 8,650 | 257 | ||||||
Newpark Resources, Cl A * | 6,466 | 65 | ||||||
Noble | 13,500 | 62 | ||||||
Noble Energy | 23,092 | 655 | ||||||
Nordic American Tankers | 3,628 | 19 | ||||||
Oasis Petroleum * | 10,300 | 94 | ||||||
Occidental Petroleum | 35,089 | 2,253 | ||||||
Oceaneering International, Cl A | 4,568 | 120 | ||||||
Oil States International * | 2,528 | 64 | ||||||
Oneok | 9,573 | 530 | ||||||
Par Pacific Holdings * | 4,319 | 90 | ||||||
Parsley Energy, Cl A * | 11,523 | 304 | ||||||
Patterson-UTI Energy | 10,641 | 223 | ||||||
PBF Energy, Cl A | 4,983 | 138 | ||||||
PDC Energy, Cl A * | 2,450 | 120 | ||||||
PHI * | 2,211 | 26 | ||||||
Phillips 66 | 19,897 | 1,823 | ||||||
Pioneer Natural Resources | 7,890 | 1,164 | ||||||
QEP Resources * | 12,200 | 105 | ||||||
Range Resources | 11,264 | 220 | ||||||
Resolute Energy * | 1,713 | 51 | ||||||
REX American Resources * | 747 | 70 | ||||||
Rice Energy * | 8,616 | 249 | ||||||
Ring Energy * | 4,090 | 59 | ||||||
Rowan, Cl A * | 5,700 | 73 | ||||||
RPC | 1,328 | 33 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 297 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Inflation Managed Fund (Continued)
| ||||||||
Description | Shares | Market Value ($ Thousands) | ||||||
| ||||||||
COMMON STOCK (continued) |
| |||||||
RSP Permian * | 5,710 | $ | 198 | |||||
Sanchez Energy * | 6,466 | 31 | ||||||
Schlumberger, Cl A | 62,459 | 4,357 | ||||||
Scorpio Tankers | 11,440 | 39 | ||||||
SEACOR Holdings, Cl A * | 500 | 23 | ||||||
SemGroup, Cl A | 3,400 | 98 | ||||||
Ship Finance International | 6,826 | 99 | ||||||
SM Energy | 4,628 | 82 | ||||||
Southwestern Energy * | 21,750 | 133 | ||||||
SRC Energy * | 10,800 | 104 | ||||||
Stone Energy * | 2,076 | 60 | ||||||
Superior Energy Services * | 8,578 | 92 | ||||||
Targa Resources | 8,564 | 405 | ||||||
Transocean * (C) | 24,863 | 268 | ||||||
Ultra Petroleum * | 13,900 | 121 | ||||||
Unit * | 3,647 | 75 | ||||||
US Silica Holdings | 3,378 | 105 | ||||||
Valero Energy (C) | 20,187 | 1,553 | ||||||
Weatherford International * | 43,950 | 201 | ||||||
Whiting Petroleum * | 25,450 | 139 | ||||||
Williams | 35,142 | 1,055 | ||||||
World Fuel Services | 3,228 | 109 | ||||||
WPX Energy * | 23,825 | 274 | ||||||
|
| |||||||
68,011 | ||||||||
|
| |||||||
Financials — 0.0% |
| |||||||
HFF, Cl A | 900 | 36 | ||||||
|
| |||||||
Health Care — 5.8% |
| |||||||
Abbott Laboratories | 25,117 | 1,340 | ||||||
AbbVie | 23,569 | 2,094 | ||||||
ABIOMED * | 777 | 131 | ||||||
Acadia Healthcare, Cl A * | 700 | 33 | ||||||
ACADIA Pharmaceuticals * | 1,000 | 38 | ||||||
Aetna, Cl A | 4,839 | 769 | ||||||
Agilent Technologies | 5,346 | 343 | ||||||
Agios Pharmaceuticals * | 1,500 | 100 | ||||||
Akorn * | 1,228 | 41 | ||||||
Alere * | 877 | 45 | ||||||
Alexion Pharmaceuticals * | 3,122 | 438 | ||||||
Align Technology * | 1,067 | 199 | ||||||
Alkermes * | 2,595 | 132 | ||||||
Allergan | 5,114 | 1,048 | ||||||
Allscripts Healthcare Solutions * | 2,178 | 31 | ||||||
Alnylam Pharmaceuticals * | 1,286 | 151 | ||||||
AmerisourceBergen, Cl A | 2,628 | 217 | ||||||
Amgen, Cl A (C) | 11,082 | 2,066 | ||||||
AMN Healthcare Services * | 600 | 27 | ||||||
Anthem | 3,694 | 701 | ||||||
athenahealth * | 853 | 106 | ||||||
Baxter International (C) | 7,388 | 464 | ||||||
Becton Dickinson | 2,914 | 571 |
| ||||||||
Description | Shares | Market Value ($ Thousands) | ||||||
| ||||||||
COMMON STOCK (continued) |
| |||||||
Biogen * | 3,226 | $ | 1,010 | |||||
BioMarin Pharmaceuticals * | 2,829 | 263 | ||||||
Bio-Rad Laboratories, Cl A * | 533 | 118 | ||||||
Bio-Techne | 550 | 66 | ||||||
Bioverativ * | 2,232 | 127 | ||||||
Bluebird Bio * | 627 | 86 | ||||||
Boston Scientific * | 19,042 | 555 | ||||||
Bristol-Myers Squibb | 23,985 | 1,529 | ||||||
Brookdale Senior Living, Cl A * | 1,977 | 21 | ||||||
Bruker BioSciences | 1,100 | 33 | ||||||
C.R. Bard | 1,067 | 342 | ||||||
Cambrex * | 450 | 25 | ||||||
Cantel Medical | 400 | 38 | ||||||
Cardinal Health | 4,983 | 333 | ||||||
Catalent * | 1,100 | 44 | ||||||
Celgene, Cl A * | 11,305 | 1,649 | ||||||
Centene * | 2,800 | 271 | ||||||
Cerner * | 4,678 | 334 | ||||||
Charles River Laboratories International * | 853 | 92 | ||||||
Chemed | 480 | 97 | ||||||
Cigna | 3,737 | 699 | ||||||
Clovis Oncology * | 450 | 37 | ||||||
Cooper, Cl A | 832 | 197 | ||||||
DaVita * | 2,914 | 173 | ||||||
DENTSPLY SIRONA | 3,800 | 227 | ||||||
DexCom * | 1,500 | 73 | ||||||
Edwards Lifesciences, Cl A * | 3,218 | 352 | ||||||
Eli Lilly | 14,398 | 1,232 | ||||||
Endo International * | 3,700 | 32 | ||||||
Envision Healthcare * | 2,178 | 98 | ||||||
Exact Sciences * | 1,378 | 65 | ||||||
Exelixis * | 4,101 | 99 | ||||||
Express Scripts Holding * | 8,533 | 540 | ||||||
FibroGen * | 1,386 | 75 | ||||||
Gilead Sciences (C) | 18,478 | 1,497 | ||||||
Globus Medical, Cl A * | 900 | 27 | ||||||
Haemonetics * | 728 | 33 | ||||||
Halyard Health * | 2,666 | 120 | ||||||
HCA Healthcare * | 4,568 | 364 | ||||||
HealthEquity * | 600 | 30 | ||||||
HealthSouth | 1,078 | 50 | ||||||
Henry Schein * | 2,986 | 245 | ||||||
Hill-Rom Holdings | 1,478 | 109 | ||||||
HMS Holdings * | 1,378 | 27 | ||||||
Hologic * | 4,950 | 182 | ||||||
Horizon Pharma * | 1,828 | 23 | ||||||
Humana | 2,268 | 553 | ||||||
ICU Medical * | 533 | 99 | ||||||
Idexx Laboratories * | 1,509 | 235 | ||||||
Illumina * | 2,150 | 428 | ||||||
INC Research Holdings, Cl A * | 1,273 | 67 | ||||||
Incyte * | 2,700 | 315 |
298 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
| ||||||||
Description | Shares | Market Value ($ Thousands) | ||||||
| ||||||||
COMMON STOCK (continued) |
| |||||||
Insulet * | 678 | $ | 37 | |||||
Integra LifeSciences Holdings * | 728 | 37 | ||||||
Intercept Pharmaceuticals * | 278 | 16 | ||||||
Intuitive Surgical * | 618 | 646 | ||||||
Ionis Pharmaceuticals * | 2,076 | 105 | ||||||
Ironwood Pharmaceuticals, Cl A * | 1,628 | 26 | ||||||
Johnson & Johnson (C) | 40,321 | 5,242 | ||||||
Juno Therapeutics * | 2,487 | 112 | ||||||
Kite Pharma * | 600 | 108 | ||||||
Laboratory Corp of America Holdings * | 1,706 | 258 | ||||||
LifePoint Health * | 500 | 29 | ||||||
Ligand Pharmaceuticals * | 278 | 38 | ||||||
Magellan Health * | 822 | 71 | ||||||
Mallinckrodt * | 1,950 | 73 | ||||||
Masimo * | 1,000 | 87 | ||||||
McKesson | 3,070 | 472 | ||||||
Medicines * | 850 | 31 | ||||||
Medidata Solutions * | 629 | 49 | ||||||
MEDNAX * | 2,127 | 92 | ||||||
Medtronic | 19,791 | 1,539 | ||||||
Merck | 40,218 | 2,575 | ||||||
Mettler Toledo International * | 440 | 276 | ||||||
Molina Healthcare * | 1,440 | 99 | ||||||
Mylan * | 7,150 | 224 | ||||||
Nektar Therapeutics, Cl A * | 2,000 | 48 | ||||||
Neogen, Cl B * | 427 | 33 | ||||||
Neurocrine Biosciences * | 1,128 | 69 | ||||||
Nevro * | 278 | 25 | ||||||
NuVasive * | 1,300 | 72 | ||||||
Omnicell * | 650 | 33 | ||||||
Opko Health * | 3,450 | 24 | ||||||
Owens & Minor | 850 | 25 | ||||||
Pacira Pharmaceuticals * | 1,760 | 66 | ||||||
Parexel International * | 476 | 42 | ||||||
Patterson | 2,077 | 80 | ||||||
Penumbra * | 350 | 32 | ||||||
PerkinElmer | 1,927 | 133 | ||||||
Perrigo | 2,336 | 198 | ||||||
Pfizer | 87,147 | 3,111 | ||||||
Portola Pharmaceuticals, Cl A * | 1,437 | 78 | ||||||
Premier, Cl A * | 828 | 27 | ||||||
Prestige Brands Holdings, Cl A * | 600 | 30 | ||||||
Prothena * | 476 | 31 | ||||||
Puma Biotechnology * | 520 | 62 | ||||||
QIAGEN | 4,464 | 141 | ||||||
Quest Diagnostics | 2,506 | 235 | ||||||
Quintiles IMS Holdings * | 2,332 | 222 | ||||||
Regeneron Pharmaceuticals * | 1,102 | 493 | ||||||
Repligen * | 2,986 | 114 | ||||||
ResMed | 2,628 | 202 | ||||||
Sage Therapeutics * | 427 | 27 | ||||||
Sarepta Therapeutics * | 1,437 | 65 |
| ||||||||
Description | Shares | Market Value ($ Thousands) | ||||||
| ||||||||
COMMON STOCK (continued) |
| |||||||
Seattle Genetics * | 1,927 | $ | 105 | |||||
Stryker | 4,631 | 658 | ||||||
Teleflex | 800 | 194 | ||||||
TESARO * | 600 | 77 | ||||||
Theravance Biopharma * | 1,382 | 47 | ||||||
Thermo Fisher Scientific | 5,866 | 1,110 | ||||||
Ultragenyx Pharmaceutical * | 476 | 25 | ||||||
United Therapeutics * | 822 | 96 | ||||||
UnitedHealth Group | 13,438 | 2,632 | ||||||
Universal Health Services, Cl B | 1,478 | 164 | ||||||
Varian Medical Systems * | 1,728 | 173 | ||||||
Veeva Systems, Cl A * | 1,921 | 108 | ||||||
Vertex Pharmaceuticals * | 3,538 | 538 | ||||||
VWR * | 927 | 31 | ||||||
Waters * | 1,173 | 211 | ||||||
WellCare Health Plans * | 822 | 141 | ||||||
West Pharmaceutical Services | 1,478 | 142 | ||||||
Wright Medical Group * | 1,477 | 38 | ||||||
Zimmer Biomet Holdings | 2,907 | 340 | ||||||
Zoetis, Cl A | 6,504 | 415 | ||||||
|
| |||||||
51,626 | ||||||||
|
| |||||||
Industrials — 0.1% |
| |||||||
Danaher, Cl A | 9,119 | 782 | ||||||
|
| |||||||
Information Technology — 2.9% |
| |||||||
Accenture, Cl A | 4,474 | 604 | ||||||
ACI Worldwide * | 1,278 | 29 | ||||||
Activision Blizzard | 6,125 | 395 | ||||||
Adobe Systems * | 3,642 | 543 | ||||||
Akamai Technologies * | 1,600 | 78 | ||||||
Alliance Data Systems | 520 | 115 | ||||||
Alphabet, Cl A * | 2,213 | 2,155 | ||||||
Alphabet, Cl C * | 2,242 | 2,150 | ||||||
Amdocs | 2,720 | 175 | ||||||
Ansys * | 1,076 | 132 | ||||||
Aspen Technology * | 476 | 30 | ||||||
Autodesk, Cl A * | 1,600 | 180 | ||||||
Automatic Data Processing | 3,800 | 415 | ||||||
Blackbaud, Cl A | 960 | 84 | ||||||
Booz Allen Hamilton Holding, Cl A | 700 | 26 | ||||||
Broadridge Financial Solutions | 1,400 | 113 | ||||||
CA | 2,878 | 96 | ||||||
Cadence Design Systems * | 3,426 | 135 | ||||||
CDK Global | 1,765 | 111 | ||||||
Citrix Systems * | 1,500 | 115 | ||||||
Cognizant Technology Solutions, Cl A | 4,879 | 354 | ||||||
Conduent * | 6,644 | 104 | ||||||
CoreLogic * | 678 | 31 | ||||||
CoStar Group * | 229 | 61 | ||||||
CSRA | 877 | 28 | ||||||
Dell Technologies, Cl V * | 476 | 37 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 299 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Inflation Managed Fund (Continued)
| ||||||||
Description | Shares | Market Value ($ Thousands) | ||||||
| ||||||||
COMMON STOCK (continued) |
| |||||||
DST Systems | 400 | $ | 22 | |||||
DXC Technology | 2,133 | 183 | ||||||
eBay * | 8,478 | 326 | ||||||
Electronic Arts * | 2,478 | 293 | ||||||
Ellie Mae * | 300 | 25 | ||||||
EPAM Systems * | 350 | 31 | ||||||
Euronet Worldwide * | 327 | 31 | ||||||
Facebook, Cl A * | 17,711 | 3,026 | ||||||
Fair Isaac | 200 | 28 | ||||||
Fidelity National Information Services, Cl B | 2,927 | 273 | ||||||
First Data, Cl A * | 2,150 | 39 | ||||||
Fiserv, Cl A * | 1,950 | 252 | ||||||
FleetCor Technologies * | 827 | 128 | ||||||
Fortinet * | 850 | 31 | ||||||
Gartner * | 900 | 112 | ||||||
Genpact | 1,050 | 30 | ||||||
Global Payments | 1,600 | 152 | ||||||
Guidewire Software, Cl Z * | 500 | 39 | ||||||
IAC * | 400 | 47 | ||||||
International Business Machines (C) | 6,452 | 936 | ||||||
Intuit | 1,779 | 253 | ||||||
j2 Global | 327 | 24 | ||||||
Jack Henry & Associates | 1,150 | 118 | ||||||
Leidos Holdings | 1,300 | 77 | ||||||
LogMeIn | 327 | 36 | ||||||
Manhattan Associates * | 500 | 21 | ||||||
Mastercard, Cl A | 7,626 | 1,077 | ||||||
MAXIMUS | 427 | 28 | ||||||
Microsoft | 56,419 | 4,203 | ||||||
Nuance Communications * | 1,500 | 24 | ||||||
Oracle, Cl B | 22,077 | 1,067 | ||||||
Paychex | 2,907 | 174 | ||||||
PayPal Holdings * | 8,220 | 526 | ||||||
Proofpoint * | 350 | 31 | ||||||
PTC * | 600 | 34 | ||||||
Red Hat * | 1,750 | 194 | ||||||
Sabre | 1,228 | 22 | ||||||
salesforce.com * | 4,787 | 447 | ||||||
ServiceNow * | 1,090 | 128 | ||||||
Splunk * | 1,505 | 100 | ||||||
Square, Cl A * | 4,058 | 117 | ||||||
SS&C Technologies Holdings | 2,560 | 103 | ||||||
Symantec, Cl A (C) | 5,850 | 192 | ||||||
Synopsys * | 1,665 | 134 | ||||||
Take-Two Interactive Software, Cl A * | 500 | 51 | ||||||
Teradata * | 828 | 28 | ||||||
Total System Services | 1,661 | 109 | ||||||
Twitter * | 6,150 | 104 | ||||||
Tyler Technologies * | 229 | 40 | ||||||
Ultimate Software Group * | 150 | 28 | ||||||
Vantiv, Cl A * | 1,557 | 110 | ||||||
VeriSign * | 1,076 | 115 |
| ||||||||
Description | Shares | Market Value ($ Thousands) | ||||||
| ||||||||
COMMON STOCK (continued) |
| |||||||
Visa, Cl A | 14,985 | $ | 1,577 | |||||
VMware, Cl A * | 900 | 98 | ||||||
Western Union | 4,900 | 94 | ||||||
WEX * | 200 | 23 | ||||||
Workday, Cl A * | 1,250 | 132 | ||||||
Zillow Group, Cl C * | 700 | 28 | ||||||
|
| |||||||
25,967 | ||||||||
|
| |||||||
Real Estate — 2.9% |
| |||||||
Acadia Realty Trust | 2,978 | 85 | ||||||
Agree Realty | 579 | 28 | ||||||
Alexander & Baldwin | 1,928 | 89 | ||||||
Alexander’s | 57 | 24 | ||||||
Alexandria Real Estate Equities ‡ | 1,850 | 220 | ||||||
American Assets Trust | 1,850 | 74 | ||||||
American Campus Communities ‡ | 3,270 | 144 | ||||||
American Homes 4 Rent, Cl A ‡ | 3,924 | 85 | ||||||
American Tower, Cl A ‡ | 10,185 | 1,392 | ||||||
Apartment Investment & Management, Cl A ‡ | 4,000 | 175 | ||||||
Apple Hospitality ‡ | 4,450 | 84 | ||||||
AvalonBay Communities ‡ | 3,070 | 548 | ||||||
Boston Properties ‡ | 3,382 | 416 | ||||||
Brandywine Realty Trust ‡ | 6,021 | 105 | ||||||
Brixmor Property Group ‡ | 5,078 | 96 | ||||||
Camden Property Trust ‡ | 1,777 | 163 | ||||||
CareTrust ‡ | 1,650 | 31 | ||||||
CBL & Associates Properties ‡ | 2,650 | 22 | ||||||
CBRE Group, Cl A * | 6,650 | 252 | ||||||
Chesapeake Lodging Trust ‡ | 1,050 | 28 | ||||||
Colony NorthStar, Cl A | 15,750 | 198 | ||||||
Columbia Property Trust ‡ | 4,550 | 99 | ||||||
CoreCivic ‡ | 3,200 | 86 | ||||||
CoreSite Realty ‡ | 986 | 110 | ||||||
Corporate Office Properties Trust ‡ | 2,828 | 93 | ||||||
Cousins Properties, Cl A ‡ | 11,800 | 110 | ||||||
Crown Castle International ‡ | 8,586 | 858 | ||||||
CubeSmart ‡ | 4,931 | 128 | ||||||
CyrusOne ‡ | 2,336 | 138 | ||||||
DCT Industrial Trust | 2,595 | 150 | ||||||
DDR ‡ | 10,028 | 92 | ||||||
DiamondRock Hospitality ‡ | 7,178 | 79 | ||||||
Digital Realty Trust, Cl A ‡ | 4,929 | 583 | ||||||
Douglas Emmett ‡ | 3,678 | 145 | ||||||
Duke Realty ‡ | 9,050 | 261 | ||||||
EastGroup Properties | 1,076 | 95 | ||||||
Education Realty Trust ‡ | 2,600 | 93 | ||||||
Empire State Realty Trust, Cl A | 4,528 | 93 | ||||||
EPR Properties, Cl A ‡ | 1,453 | 101 | ||||||
Equinix ‡ | 1,813 | 809 | ||||||
Equity Commonwealth *‡ | 3,150 | 96 | ||||||
Equity LifeStyle Properties | 1,950 | 166 | ||||||
Equity Residential ‡ | 7,908 | 521 |
300 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
| ||||||||
Description | Shares | Market Value ($ Thousands) | ||||||
| ||||||||
COMMON STOCK (continued) |
| |||||||
Essex Property Trust ‡ | 1,546 | $ | 393 | |||||
Extra Space Storage ‡ | 2,978 | 238 | ||||||
Federal Realty Investment Trust ‡ | 1,546 | 192 | ||||||
First Industrial Realty Trust ‡ | 3,530 | 106 | ||||||
Forest City Realty Trust, Cl A ‡ | 6,073 | 155 | ||||||
Four Corners Property Trust ‡ | 1,178 | 29 | ||||||
Franklin Street Properties ‡ | 3,050 | 32 | ||||||
Gaming and Leisure Properties ‡ | 5,622 | 207 | ||||||
GEO Group ‡ | 2,958 | 80 | ||||||
GGP ‡ | 13,578 | 282 | ||||||
Global Net Lease ‡ | 1,542 | 34 | ||||||
Government Properties Income Trust, Cl A ‡ | 1,578 | 30 | ||||||
Gramercy Property Trust ‡ | 4,775 | 144 | ||||||
HCP ‡ | 10,848 | 302 | ||||||
Healthcare Realty Trust ‡ | 3,850 | 125 | ||||||
Healthcare Trust of America, Cl A ‡ | 4,101 | 122 | ||||||
Hersha Hospitality Trust, Cl A ‡ | 1,328 | 25 | ||||||
Highwoods Properties ‡ | 2,751 | 143 | ||||||
Hospitality Properties Trust ‡ | 4,200 | 120 | ||||||
Host Hotels & Resorts ‡ | 17,129 | 317 | ||||||
Howard Hughes * | 1,200 | 142 | ||||||
Hudson Pacific Properties ‡ | 3,582 | 120 | ||||||
Invitation Homes | 5,546 | 126 | ||||||
Iron Mountain ‡ | 6,628 | 258 | ||||||
iStar *‡ | 2,150 | 25 | ||||||
JBG SMITH Properties *‡ | 2,000 | 68 | ||||||
Jones Lang LaSalle | 979 | 121 | ||||||
Kennedy-Wilson Holdings | 2,745 | 51 | ||||||
Kilroy Realty ‡ | 2,428 | 173 | ||||||
Kimco Realty ‡ | 9,261 | 181 | ||||||
Kite Realty Group Trust ‡ | 1,828 | 37 | ||||||
Lamar Advertising, Cl A ‡ | 1,925 | 132 | ||||||
LaSalle Hotel Properties ‡ | 2,900 | 84 | ||||||
Lexington Realty Trust ‡ | 9,300 | 95 | ||||||
Liberty Property Trust ‡ | 3,927 | 161 | ||||||
Life Storage ‡ | 1,300 | 106 | ||||||
LTC Properties ‡ | 1,579 | 74 | ||||||
Macerich ‡ | 3,122 | 172 | ||||||
Mack-Cali Realty ‡ | 3,278 | 78 | ||||||
Medical Properties Trust ‡ | 8,278 | 109 | ||||||
Mid-America Apartment Communities ‡ | 2,699 | 289 | ||||||
Monmouth Real Estate Investment, Cl A ‡ | 2,573 | 42 | ||||||
National Health Investors ‡ | 1,150 | 89 | ||||||
National Retail Properties ‡ | 3,500 | 146 | ||||||
National Storage Affiliates Trust ‡ | 1,128 | 27 | ||||||
New Senior Investment Group ‡ | 4,478 | 41 | ||||||
Omega Healthcare Investors ‡ | 4,474 | 143 | ||||||
Outfront Media ‡ | 3,922 | 99 | ||||||
Paramount Group ‡ | 7,078 | 113 | ||||||
Park Hotels & Resorts ‡ | 3,893 | 107 | ||||||
Parkway ‡ | 1,278 | 29 | ||||||
Pebblebrook Hotel Trust ‡ | 1,128 | 41 |
| ||||||||
Description | Shares | Market Value ($ Thousands) | ||||||
| ||||||||
COMMON STOCK (continued) |
| |||||||
Pennsylvania ‡ | 1,600 | $ | 17 | |||||
Physicians Realty Trust ‡ | 5,878 | 104 | ||||||
Piedmont Office Realty Trust, Cl A ‡ | 4,177 | 84 | ||||||
Potlatch ‡ | 1,850 | 94 | ||||||
ProLogis ‡ | 12,279 | 779 | ||||||
PS Business Parks ‡ | 522 | 70 | ||||||
Public Storage ‡ | 3,319 | 710 | ||||||
QTS Realty Trust, Cl A ‡ | 1,878 | 98 | ||||||
Quality Care Properties * | 1,378 | 21 | ||||||
Ramco-Gershenson Properties ‡ | 1,977 | 26 | ||||||
Rayonier ‡ | 3,628 | 105 | ||||||
RE/MAX Holdings, Cl A | 500 | 32 | ||||||
Realogy Holdings | 4,101 | 135 | ||||||
Realty Income ‡ | 6,400 | 366 | ||||||
Regency Centers ‡ | 3,459 | 215 | ||||||
Retail Opportunity Investments ‡ | 5,100 | 97 | ||||||
Retail Properties of America, Cl A ‡ | 7,890 | 104 | ||||||
Rexford Industrial Realty ‡ | 1,328 | 38 | ||||||
RLJ Lodging Trust ‡ | 5,081 | 112 | ||||||
Ryman Hospitality Properties ‡ | 1,072 | 67 | ||||||
Sabra Health Care ‡ | 4,681 | 103 | ||||||
Saul Centers ‡ | 1,866 | 116 | ||||||
SBA Communications, Cl A *‡ | 2,966 | 427 | ||||||
Select Income ‡ | 3,100 | 73 | ||||||
Senior Housing Properties Trust ‡ | 6,644 | 130 | ||||||
Seritage Growth Properties ‡ | 550 | 25 | ||||||
Simon Property Group ‡ | 7,839 | 1,262 | ||||||
SL Green Realty ‡ | 2,378 | 241 | ||||||
Spirit Realty Capital ‡ | 13,807 | 118 | ||||||
St. Joe * | 4,159 | 78 | ||||||
STAG Industrial ‡ | 1,778 | 49 | ||||||
Starwood Waypoint Homes ‡ | 1,228 | 45 | ||||||
STORE Capital ‡ | 4,800 | 119 | ||||||
Summit Hotel Properties ‡ | 1,600 | 26 | ||||||
Sun Communities ‡ | 1,977 | 169 | ||||||
Sunstone Hotel Investors ‡ | 6,328 | 102 | ||||||
Tanger Factory Outlet Centers ‡ | 2,778 | 68 | ||||||
Taubman Centers ‡ | 1,800 | 90 | ||||||
Terreno Realty ‡ | 1,178 | 43 | ||||||
Tier ‡ | 1,628 | 31 | ||||||
UDR ‡ | 6,428 | 245 | ||||||
Uniti Group ‡ | 4,728 | 69 | ||||||
Universal Health Realty Income Trust ‡ | 400 | 30 | ||||||
Urban Edge Properties ‡ | 3,178 | 77 | ||||||
Ventas ‡ | 7,700 | 502 | ||||||
VEREIT ‡ | 21,500 | 178 | ||||||
Vornado Realty Trust ‡ | 3,893 | 299 | ||||||
Washington ‡ | 2,728 | 89 | ||||||
Washington Prime Group ‡ | 3,400 | 28 | ||||||
Weingarten Realty Investors ‡ | 2,977 | 95 | ||||||
Welltower ‡ | 8,481 | 596 | ||||||
Weyerhaeuser ‡ | 19,875 | 676 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 301 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Inflation Managed Fund (Continued)
| ||||||||
Description | Shares | Market Value ($ Thousands) | ||||||
| ||||||||
COMMON STOCK (continued) |
| |||||||
WP Carey ‡ | 2,757 | $ | 186 | |||||
Xenia Hotels & Resorts ‡ | 4,200 | 88 | ||||||
|
| |||||||
25,467 | ||||||||
|
| |||||||
Telecommunication Services — 1.4% |
| |||||||
AT&T | 153,207 | 6,001 | ||||||
CenturyLink | 13,755 | 260 | ||||||
Cogent Communications Holdings | 700 | 34 | ||||||
Consolidated Communications Holdings | 3,466 | 66 | ||||||
Frontier Communications | 2,641 | 31 | ||||||
Iridium Communications * | 5,813 | 60 | ||||||
Level 3 Communications * | 6,281 | 335 | ||||||
Shenandoah Telecommunications | 900 | 33 | ||||||
Sprint * | 17,908 | 139 | ||||||
Straight Path Communications * | 387 | 70 | ||||||
Telephone & Data Systems | 3,450 | 96 | ||||||
T-Mobile US * | 6,488 | 400 | ||||||
US Cellular * | 678 | 24 | ||||||
Verizon Communications | 100,697 | 4,984 | ||||||
Vonage Holdings * | 4,200 | 34 | ||||||
Windstream Holdings | 10,619 | 19 | ||||||
Zayo Group Holdings * | 4,058 | 140 | ||||||
|
| |||||||
12,726 | ||||||||
|
| |||||||
Utilities — 1.4% |
| |||||||
AES | 12,042 | 133 | ||||||
ALLETE | 1,350 | 104 | ||||||
Alliant Energy | 3,878 | 161 | ||||||
Ameren | 3,627 | 210 | ||||||
American Electric Power | 6,764 | 475 | ||||||
American Water Works | 2,491 | 202 | ||||||
Aqua America | 3,300 | 110 | ||||||
Atmos Energy | 1,528 | 128 | ||||||
Avista | 700 | 36 | ||||||
Black Hills, Cl A | 1,400 | 96 | ||||||
Calpine * | 8,350 | 123 | ||||||
Centerpoint Energy | 7,778 | 227 | ||||||
CMS Energy | 4,228 | 196 | ||||||
Connecticut Water Service | 1,100 | 65 | ||||||
Consolidated Edison | 4,256 | 343 | ||||||
Dominion Energy | 9,157 | 704 | ||||||
DTE Energy | 2,600 | 279 | ||||||
Duke Energy | 9,705 | 814 | ||||||
Edison International | 4,412 | 340 | ||||||
El Paso Electric, Cl A | 600 | 33 | ||||||
Entergy | 2,750 | 210 | ||||||
Eversource Energy | 4,750 | 287 | ||||||
Exelon | 11,914 | 449 | ||||||
FirstEnergy | 7,527 | 232 | ||||||
Great Plains Energy | 3,737 | 113 | ||||||
Hawaiian Electric Industries | 2,728 | 91 | ||||||
Idacorp, Cl A | 1,100 | 97 |
| ||||||||
Description | Shares | Market Value ($ Thousands) | ||||||
| ||||||||
COMMON STOCK (continued) |
| |||||||
MDU Resources Group | 3,945 | $ | 102 | |||||
MGE Energy | 400 | 26 | ||||||
National Fuel Gas | 1,600 | 91 | ||||||
New Jersey Resources | 1,972 | 83 | ||||||
NextEra Energy | 6,666 | 977 | ||||||
NiSource | 5,346 | 137 | ||||||
NorthWestern | 1,401 | 80 | ||||||
NRG Energy | 4,532 | 116 | ||||||
NRG Yield, Cl C | 6,400 | 124 | ||||||
OGE Energy | 3,590 | 129 | ||||||
ONE Gas | 1,194 | 88 | ||||||
Ormat Technologies | 500 | 31 | ||||||
Otter Tail | 650 | 28 | ||||||
Pattern Energy Group, Cl A | 1,550 | 37 | ||||||
PG&E | 6,191 | 422 | ||||||
Pinnacle West Capital | 1,650 | 140 | ||||||
PNM Resources | 2,400 | 97 | ||||||
Portland General Electric | 2,076 | 95 | ||||||
PPL | 9,499 | 361 | ||||||
Public Service Enterprise Group | 7,100 | 328 | ||||||
SCANA | 1,900 | 92 | ||||||
Sempra Energy | 3,789 | 432 | ||||||
South Jersey Industries, Cl A | 927 | 32 | ||||||
Southern | 13,944 | 685 | ||||||
Southwest Gas Holdings | 1,076 | 84 | ||||||
Spire | 1,194 | 89 | ||||||
UGI | 2,647 | 124 | ||||||
Unitil | 1,400 | 69 | ||||||
Vectren | 1,713 | 113 | ||||||
WEC Energy Group | 4,723 | 297 | ||||||
Westar Energy, Cl A | 2,336 | 116 | ||||||
WGL Holdings | 1,076 | 91 | ||||||
Xcel Energy | 7,215 | 341 | ||||||
|
| |||||||
12,315 | ||||||||
|
| |||||||
Total Common Stock | ||||||||
(Cost $243,551) ($ Thousands) | 256,341 | |||||||
|
| |||||||
Face Amount (Thousands) | ||||||||
CORPORATE OBLIGATIONS — 7.9% |
| |||||||
Consumer Discretionary — 0.6% |
| |||||||
Adient Global Holdings | ||||||||
4.875%, 08/15/2026 (D) | $ | 238 | 243 | |||||
CBS | ||||||||
3.500%, 01/15/2025 | 835 | 850 | ||||||
Cox Communications | ||||||||
2.950%, 06/30/2023 (D) | 240 | 236 | ||||||
CSC Holdings | ||||||||
6.750%, 11/15/2021 | 160 | 177 | ||||||
Expedia | ||||||||
3.800%, 02/15/2028 (D) | 805 | 798 |
302 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Ford Motor Credit | ||||||||
5.875%, 08/02/2021 | $ | 695 | $ | 773 | ||||
General Motors | ||||||||
3.500%, 10/02/2018 | 465 | 473 | ||||||
International Game Technology | ||||||||
6.250%, 02/15/2022 (D) | 560 | 619 | ||||||
KB Home | ||||||||
4.750%, 05/15/2019 | 382 | 393 | ||||||
SFR Group | ||||||||
5.375%, 05/15/2022 (D) | EUR | 235 | 290 | |||||
Time Warner Cable | ||||||||
4.500%, 09/15/2042 | $ | 330 | 313 | |||||
Virgin Media Finance | ||||||||
5.250%, 02/15/2022 | 200 | 192 | ||||||
Ziggo Secured Finance BV | ||||||||
5.500%, 01/15/2027 (D) | 223 | 228 | ||||||
|
| |||||||
5,585 | ||||||||
|
| |||||||
Consumer Staples — 0.3% |
| |||||||
Bunge Finance | ||||||||
8.500%, 06/15/2019 | 9 | 10 | ||||||
Marfrig Holdings Europe BV | ||||||||
8.000%, 06/08/2023 (D) | 650 | 673 | ||||||
Minerva Luxembourg | ||||||||
6.500%, 09/20/2026 (D) | 286 | 289 | ||||||
Sigma Alimentos | ||||||||
4.125%, 05/02/2026 (D) | 212 | 214 | ||||||
Tyson Foods | ||||||||
3.950%, 08/15/2024 | 715 | 752 | ||||||
2.650%, 08/15/2019 | 219 | 222 | ||||||
Virgolino de Oliveira Finance | ||||||||
10.500%, 01/28/2018 (D)(E) | 660 | 36 | ||||||
|
| |||||||
2,196 | ||||||||
|
| |||||||
Energy — 1.2% |
| |||||||
Cenovus Energy | ||||||||
5.700%, 10/15/2019 | 261 | 277 | ||||||
3.000%, 08/15/2022 | 52 | 51 | ||||||
Cheniere Energy Partners | ||||||||
5.250%, 10/01/2025 (D) | 439 | 449 | ||||||
Diamond Offshore Drilling | ||||||||
4.875%, 11/01/2043 | 370 | 278 | ||||||
Ecopetrol | ||||||||
5.875%, 05/28/2045 | 309 | 302 | ||||||
Energy Transfer | ||||||||
5.200%, 02/01/2022 | 465 | 504 | ||||||
4.500%, 11/01/2023 | 114 | 119 | ||||||
Enterprise Products Operating | ||||||||
5.200%, 09/01/2020 | 340 | 368 | ||||||
3.700%, 02/15/2026 | 730 | 750 | ||||||
Hess | ||||||||
4.300%, 04/01/2027 | 966 | 958 |
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Marathon Petroleum | ||||||||
5.125%, 03/01/2021 | $ | 196 | $ | 213 | ||||
Nabors Industries | ||||||||
5.500%, 01/15/2023 | 885 | 867 | ||||||
Noble Energy | ||||||||
4.150%, 12/15/2021 | 475 | 500 | ||||||
3.900%, 11/15/2024 | 606 | 621 | ||||||
Petrobras Global Finance BV | ||||||||
6.125%, 01/17/2022 | 513 | 552 | ||||||
Petroleos Mexicanos | ||||||||
6.500%, 03/13/2027 (D) | 215 | 238 | ||||||
Petroleos Mexicanos MTN | ||||||||
4.625%, 09/21/2023 | 1,126 | 1,163 | ||||||
Plains All American Pipeline | ||||||||
3.600%, 11/01/2024 | 902 | 881 | ||||||
Sabine Pass Liquefaction | ||||||||
5.000%, 03/15/2027 | 720 | 768 | ||||||
SM Energy | ||||||||
6.500%, 01/01/2023 | 43 | 43 | ||||||
Ultrapar International | ||||||||
5.250%, 10/06/2026 (D) | 562 | 577 | ||||||
Williams Partners | ||||||||
3.900%, 01/15/2025 | 217 | 221 | ||||||
|
| |||||||
10,700 | ||||||||
|
| |||||||
Financials — 2.8% |
| |||||||
ABN AMRO Bank | ||||||||
4.750%, 07/28/2025 (D) | 269 | 286 | ||||||
Banco Santander | ||||||||
3.500%, 04/11/2022 | 600 | 614 | ||||||
Bank of America | ||||||||
6.500%, VAR ICE LIBOR USD 3 | ||||||||
Month+4.174%, 12/31/2049 | 292 | 330 | ||||||
Bank of America MTN | ||||||||
3.824%, VAR ICE LIBOR USD 3 | ||||||||
Month+1.575%, 01/20/2028 | 1,120 | 1,152 | ||||||
Barclays | ||||||||
6.860%, VAR ICE LIBOR USD 6 | ||||||||
Month+1.730%, 12/31/2049 (D) | 131 | 159 | ||||||
3.684%, 01/10/2023 | 695 | 713 | ||||||
3.650%, 03/16/2025 | 330 | 330 | ||||||
BNP Paribas MTN | ||||||||
2.250%, 01/11/2027 | EUR | 434 | 524 | |||||
Citigroup | ||||||||
3.875%, 03/26/2025 | $ | 905 | 926 | |||||
3.668%, VAR ICE LIBOR USD 3 | ||||||||
Month+1.390%, 07/24/2028 | 395 | 399 | ||||||
Compass Bank | ||||||||
2.875%, 06/29/2022 | 905 | 901 | ||||||
Cooperatieve Rabobank UA | ||||||||
4.375%, 08/04/2025 | 657 | 690 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 303 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Inflation Managed Fund (Continued)
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Credit Suisse Group Funding Guernsey | ||||||||
3.800%, 06/09/2023 | $ | 530 | $ | 549 | ||||
3.750%, 03/26/2025 | 570 | 580 | ||||||
Goldman Sachs Group | ||||||||
2.350%, 11/15/2021 | 847 | 840 | ||||||
Goldman Sachs Group MTN | ||||||||
2.917%, VAR ICE LIBOR USD 3 | ||||||||
Month+1.600%, 11/29/2023 | 900 | 933 | ||||||
HSBC Holdings PLC | ||||||||
4.041%, VAR ICE LIBOR USD 3 | ||||||||
Month+1.546%, 03/13/2028 | 835 | 872 | ||||||
Intesa Sanpaolo MTN | ||||||||
5.017%, 06/26/2024 (D) | 546 | 555 | ||||||
3.928%, 09/15/2026 | EUR | 160 | 204 | |||||
JPMorgan Chase | ||||||||
3.782%, VAR ICE LIBOR USD 3 | ||||||||
Month+1.337%, 02/01/2028 | $ | 590 | 607 | |||||
JPMorgan Chase MTN | ||||||||
2.295%, 08/15/2021 | 551 | 551 | ||||||
Lincoln National | ||||||||
4.200%, 03/15/2022 | 355 | 375 | ||||||
Lloyds Banking Group | ||||||||
4.650%, 03/24/2026 | 543 | 574 | ||||||
MetLife | ||||||||
5.700%, 06/15/2035 | 80 | 99 | ||||||
Metropolitan Life Global Funding I | ||||||||
3.875%, 04/11/2022 (D) | 275 | 292 | ||||||
Morgan Stanley MTN | ||||||||
3.591%, VAR ICE LIBOR USD 3 | ||||||||
Month+1.340%, 07/22/2028 | 1,150 | 1,154 | ||||||
Nationwide Financial Services | ||||||||
5.375%, 03/25/2021 (D) | 470 | 511 | ||||||
Navient | ||||||||
6.625%, 07/26/2021 | 770 | 824 | ||||||
Navient MTN | ||||||||
7.250%, 01/25/2022 | 52 | 57 | ||||||
Royal Bank of Scotland Group | ||||||||
8.625%, VAR USD Swap Semi 30/360 5 | ||||||||
Year Curr+7.598%, 12/31/2049 | 825 | 915 | ||||||
3.655%, VAR ICE LIBOR USD 3 | ||||||||
Month+2.320%, 09/29/2027 | 600 | 574 | ||||||
2.001%, VAR Euribor 3 | ||||||||
Month+2.330%, 10/29/2049 | EUR | 100 | 114 | |||||
Santander Holdings USA | ||||||||
4.400%, 07/13/2027 (D) | $ | 1,135 | 1,160 | |||||
Santander Issuances | ||||||||
5.179%, 11/19/2025 | 400 | 430 | ||||||
Santander Issuances MTN | ||||||||
3.250%, 04/04/2026 | EUR | 300 | 381 | |||||
Santander UK | ||||||||
5.000%, 11/07/2023 (D) | $ | 700 | 757 |
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Standard Chartered | ||||||||
7.750%, VAR USD Swap Semi 30/360 5 | ||||||||
Year Curr+5.723%, 12/29/2049 (D) | $ | 200 | $ | 216 | ||||
7.500%, VAR USD Swap Semi 30/360 5 | ||||||||
Year Curr+6.301%, 12/29/2049 | 412 | 440 | ||||||
2.821%, VAR ICE LIBOR USD 3 | ||||||||
Month+1.510%, 01/30/2049 (D) | 400 | 342 | ||||||
Trust F | ||||||||
5.250%, 01/30/2026 (D) | 705 | 753 | ||||||
UBS Group Funding Switzerland | ||||||||
4.125%, 09/24/2025 (D) | 689 | 725 | ||||||
US Bancorp | ||||||||
5.300%, VAR ICE LIBOR USD 3 | ||||||||
Month+2.914%, 12/29/2049 | 474 | 517 | ||||||
Wells Fargo | ||||||||
3.069%, 01/24/2023 | 881 | 896 | ||||||
XLIT | ||||||||
3.250%, VAR Euribor 3 | ||||||||
Month+2.900%, 06/29/2047 | EUR | 240 | 278 | |||||
|
| |||||||
25,099 | ||||||||
|
| |||||||
Health Care — 0.4% |
| |||||||
Mylan | ||||||||
3.950%, 06/15/2026 | $ | 270 | 275 | |||||
3.125%, 11/22/2028 | EUR | 725 | 916 | |||||
Teva Pharmaceutical Finance Netherlands | ||||||||
III BV | ||||||||
3.150%, 10/01/2026 | $ | 1,154 | 1,063 | |||||
2.800%, 07/21/2023 | 1,016 | 969 | ||||||
Valeant Pharmaceuticals International | ||||||||
6.125%, 04/15/2025 (D) | 600 | 526 | ||||||
|
| |||||||
3,749 | ||||||||
|
| |||||||
Industrials — 0.4% |
| |||||||
Adani Ports & Special Economic Zone | ||||||||
3.950%, 01/19/2022 (D) | 670 | 688 | ||||||
Alfa | ||||||||
5.250%, 03/25/2024 (D) | 660 | 718 | ||||||
Allison Transmission | ||||||||
5.000%, 10/01/2024 (D) | 286 | 297 | ||||||
Avis Budget Car Rental | ||||||||
5.250%, 03/15/2025 (D) | 467 | 467 | ||||||
Embraer Netherlands Finance BV | ||||||||
5.400%, 02/01/2027 | 670 | 726 | ||||||
General Electric | ||||||||
5.000%, VAR ICE LIBOR USD 3 | ||||||||
Month+3.330%, 12/29/2049 | 300 | 317 | ||||||
Odebrecht Finance | ||||||||
7.125%, 06/26/2042 (D) | 844 | 317 | ||||||
|
| |||||||
3,530 | ||||||||
|
|
304 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Information Technology — 0.5% |
| |||||||
Broadcom | ||||||||
3.875%, 01/15/2027 (D) | $ | 486 | $ | 501 | ||||
3.625%, 01/15/2024 (D) | 226 | 232 | ||||||
Hewlett Packard Enterprise | ||||||||
2.100%, 10/04/2019 (D) | 794 | 794 | ||||||
Lam Research | ||||||||
2.800%, 06/15/2021 | 640 | 647 | ||||||
Seagate HDD Cayman | ||||||||
4.750%, 01/01/2025 | 427 | 416 | ||||||
SPCM | ||||||||
4.875%, 09/15/2025 (D) | 374 | 387 | ||||||
VMware | ||||||||
2.950%, 08/21/2022 | 359 | 361 | ||||||
Western Digital | ||||||||
7.375%, 04/01/2023 (D) | 762 | 835 | ||||||
|
| |||||||
4,173 | ||||||||
|
| |||||||
Materials — 0.4% | ||||||||
Anglo American Capital | ||||||||
3.750%, 04/10/2022 (D) | 200 | 205 | ||||||
Dow Chemical | ||||||||
4.250%, 11/15/2020 | 131 | 138 | ||||||
Eastman Chemical | ||||||||
3.800%, 03/15/2025 | 318 | 327 | ||||||
Minsur | ||||||||
6.250%, 02/07/2024 (D) | 168 | 184 | ||||||
Nacional del Cobre de Chile | ||||||||
3.625%, 08/01/2027 (D) | 372 | 371 | ||||||
NOVA Chemicals | ||||||||
5.250%, 08/01/2023 (D) | 420 | 433 | ||||||
Sociedad Quimica y Minera de Chile | ||||||||
3.625%, 04/03/2023 (D) | 408 | 408 | ||||||
Vale Overseas | ||||||||
6.875%, 11/21/2036 | 670 | 767 | ||||||
Yamana | ||||||||
4.950%, 07/15/2024 | 462 | 474 | ||||||
|
| |||||||
3,307 | ||||||||
|
| |||||||
Real Estate — 0.2% | ||||||||
Healthcare Realty Trust | ||||||||
5.750%, 01/15/2021 | 285 | 313 | ||||||
Host Hotels & Resorts | ||||||||
3.750%, 10/15/2023 | 16 | 16 | ||||||
SBA Tower Trust | ||||||||
3.156%, 10/08/2020 (D) | 950 | 957 | ||||||
Welltower | ||||||||
4.000%, 06/01/2025 | 550 | 573 | ||||||
|
| |||||||
1,859 | ||||||||
|
|
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Telecommunication Services — 1.0% |
| |||||||
AT&T | ||||||||
4.125%, 02/17/2026 | $ | 574 | $ | 589 | ||||
3.900%, 08/14/2027 | 685 | 686 | ||||||
3.400%, 05/15/2025 | 2,045 | 2,017 | ||||||
CenturyLink | ||||||||
7.500%, 04/01/2024 | 364 | 377 | ||||||
MTN Mauritius Investments | ||||||||
5.373%, 02/13/2022 (D) | ZAR | 561 | 581 | |||||
Rogers Communications | ||||||||
4.000%, 06/06/2022 | CAD | 60 | 51 | |||||
Sprint Capital | ||||||||
6.900%, 05/01/2019 | $ | 1,485 | 1,583 | |||||
Sprint Spectrum | ||||||||
3.360%, 09/20/2021 (D) | 609 | 618 | ||||||
Verizon Communications | ||||||||
5.500%, 03/16/2047 | 245 | 272 | ||||||
3.500%, 11/01/2024 | 675 | 687 | ||||||
2.625%, 08/15/2026 | 731 | 687 | ||||||
Wind Acquisition Finance | ||||||||
4.750%, 07/15/2020 (D) | 535 | 541 | ||||||
|
| |||||||
8,689 | ||||||||
|
| |||||||
Utilities — 0.1% | ||||||||
CMS Energy | ||||||||
5.050%, 03/15/2022 | 185 | 204 | ||||||
Israel Electric | ||||||||
5.000%, 11/12/2024 (D) | 792 | 858 | ||||||
|
| |||||||
1,062 | ||||||||
|
| |||||||
Total Corporate Obligations | ||||||||
(Cost $68,610) ($ Thousands) | 69,949 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 5.5% |
| |||||||
Agency Mortgage-Backed Obligations — 0.6% |
| |||||||
FHLMC, Ser 4693, Cl SL, IO | ||||||||
4.916%,06/15/2047 | 2,973 | 655 | ||||||
FNMA CMO, Ser 2011-131, Cl ST, IO | ||||||||
5.303%, VAR LIBOR USD 1 | ||||||||
Month+6.540%,12/25/2041 | 1,601 | 342 | ||||||
FNMA CMO, Ser 2014-17, Cl SA, IO | ||||||||
4.813%, VAR LIBOR USD 1 | ||||||||
Month+6.050%,04/25/2044 | 3,127 | 605 | ||||||
FNMA CMO, Ser 2014-78, Cl SE, IO | ||||||||
4.863%, VAR LIBOR USD 1 | ||||||||
Month+6.100%,12/25/2044 | 2,980 | 557 | ||||||
FNMA CMO, Ser 2014-92, Cl SX, IO | ||||||||
4.863%, VAR LIBOR USD 1 | ||||||||
Month+6.100%,01/25/2045 | 3,401 | 666 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 305 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Inflation Managed Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA CMO, Ser 2016-77, Cl DS, IO | ||||||||
4.763%, VAR LIBOR USD 1 Month+6.000%,10/25/2046 | $ | 3,076 | $ | 581 | ||||
FNMA CMO, Ser 2017-62, Cl AS, IO | ||||||||
4.913%, VAR LIBOR USD 1 Month+6.150%,08/25/2047 | 2,994 | 639 | ||||||
FNMA CMO, Ser 2017-81, Cl SA, IO | ||||||||
4.977%, VAR LIBOR USD 1 Month+6.200%,10/25/2047 | 3,000 | 689 | ||||||
GNMA CMO, Ser 2017-122, Cl SA, IO | ||||||||
4.964%, VAR LIBOR USD 1 Month+6.200%,08/20/2047 | 1,994 | 443 | ||||||
5,177 | ||||||||
Non-Agency Mortgage-Backed Obligations — 4.9% |
| |||||||
Alternative Loan Trust, | ||||||||
5.500%,07/25/2035 | 116 | 110 | ||||||
Alternative Loan Trust, | ||||||||
5.500%,12/25/2035 | 271 | 246 | ||||||
Alternative Loan Trust, | ||||||||
6.000%,08/25/2036 | 178 | 173 | ||||||
Alternative Loan Trust, | ||||||||
5.750%,06/25/2036 | 462 | 390 | ||||||
Alternative Loan Trust, | ||||||||
6.250%,10/25/2036 | 322 | 272 | ||||||
Alternative Loan Trust, | ||||||||
5.750%,05/25/2036 | 208 | 164 | ||||||
Alternative Loan Trust, | ||||||||
5.500%,02/25/2036 | 264 | 241 | ||||||
Banc of America Commercial Mortgage Trust, | ||||||||
5.772%,02/10/2051 (F) | 256 | 256 | ||||||
Bellemeade Re II, | ||||||||
7.737%, VAR ICE LIBOR USD 1 Month+6.500%,04/25/2026 (D) | 487 | 487 | ||||||
BHMS Mortgage Trust, | ||||||||
3.600%,07/05/2033 (D) | 1,180 | 1,192 | ||||||
CFCRE Commercial Mortgage Trust, | ||||||||
3.283%,05/10/2058 | 670 | 676 | ||||||
CGBAM Commercial Mortgage Trust, | ||||||||
5.184%, VAR LIBOR USD 1 | 340 | 333 | ||||||
CGRBS Commercial Mortgage Trust, | ||||||||
3.187%,03/13/2035 (D) | 915 | 942 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Chase Mortgage Finance Trust, | ||||||||
6.000%,07/25/2037 | $ | 162 | $ | 147 | ||||
CHL Mortgage Pass-Through Trust, | ||||||||
6.000%,05/25/2036 | 257 | 215 | ||||||
CHL Mortgage Pass-Through Trust, | ||||||||
6.250%,09/25/2036 | 134 | 117 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
4.602%,04/10/2046 (D)(F) | 343 | 320 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
3.137%,02/10/2048 | 980 | 987 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
3.818%,11/10/2048 | 435 | 457 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
3.616%,02/10/2049 | 540 | 560 | ||||||
COMM Mortgage Trust, | ||||||||
6.324%,07/10/2046 (D)(F) | 740 | 784 | ||||||
COMM Mortgage Trust, | ||||||||
3.696%,08/10/2048 | 545 | 568 | ||||||
Commercial Mortgage Loan Trust, | ||||||||
6.372%,12/10/2049 (F) | 307 | 307 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2013-SFS, Cl A1 | ||||||||
1.873%,04/12/2035 (D) | 285 | 280 | ||||||
Credit Suisse Mortgage Trust, | ||||||||
5.827%,10/15/2018 | 268 | 270 | ||||||
CSAIL Commercial Mortgage Trust, | ||||||||
3.808%,11/15/2048 | 520 | 545 | ||||||
CSMC, | ||||||||
5.875%,01/26/2038 (D) | 566 | 472 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust, Ser 2006-AR4, Cl A2 | ||||||||
1.427%, VAR ICE LIBOR USD 1 Month+0.190%,12/25/2036 | 582 | 374 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN3, Cl M3 | ||||||||
5.237%, VAR ICE LIBOR USD 1 Month+4.000%,08/25/2024 | 1,141 | 1,217 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN4, Cl M3 | ||||||||
5.784%, VAR ICE LIBOR USD 1 Month+4.550%,10/25/2024 | 234 | 254 |
306 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description |
Face Amount |
Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA1, Cl M3 | ||||||||
4.534%, VAR ICE LIBOR USD 1 Month+3.300%,10/25/2027 | $ | 280 | $ | 311 | ||||
First Horizon Alternative Mortgage Securities Trust, | ||||||||
6.000%,07/25/2036 | 252 | 217 | ||||||
FNMA Connecticut Avenue Securities, | ||||||||
2.434%, VAR ICE LIBOR USD 1 Month+1.200%,07/25/2024 | 24 | 24 | ||||||
FNMA Connecticut Avenue Securities, | ||||||||
6.234%, VAR ICE LIBOR USD 1 Month+5.000%,11/25/2024 | 214 | 240 | ||||||
FNMA Connecticut Avenue Securities, | ||||||||
5.537%, VAR ICE LIBOR USD 1 Month+4.300%,02/25/2025 | 430 | 461 | ||||||
FNMA Connecticut Avenue Securities, | ||||||||
5.234%, VAR ICE LIBOR USD 1 Month+4.000%,05/25/2025 | 532 | 562 | ||||||
FNMA Connecticut Avenue Securities, | ||||||||
5.234%, VAR ICE LIBOR USD 1 Month+4.000%,05/25/2025 | 796 | 848 | ||||||
FNMA Connecticut Avenue Securities, | ||||||||
6.234%, VAR ICE LIBOR USD 1 Month+5.000%,07/25/2025 | 928 | 1,027 | ||||||
FNMA Connecticut Avenue Securities, | ||||||||
6.234%, VAR ICE LIBOR USD 1 Month+5.000%,07/25/2025 | 1,091 | 1,193 | ||||||
FNMA Connecticut Avenue Securities, | ||||||||
6.787%, VAR ICE LIBOR USD 1 Month+5.550%,04/25/2028 | 980 | 1,085 | ||||||
FNMA Connecticut Avenue Securities, | ||||||||
5.894%, VAR ICE LIBOR USD 1 Month+5.700%,04/25/2028 | 312 | 351 | ||||||
FNMA Connecticut Avenue Securities, | ||||||||
8.187%, VAR ICE LIBOR USD 1 Month+6.950%,08/25/2028 | 731 | 865 | ||||||
FNMA Connecticut Avenue Securities, | ||||||||
7.987%, VAR ICE LIBOR USD 1 Month+6.750%,08/25/2028 | 978 | 1,154 |
Description |
Face Amount |
Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA Connecticut Avenue Securities,Ser 2016-C02, Cl 1M2 | ||||||||
7.237%, VAR ICE LIBOR USD 1 Month+6.000%,09/25/2028 | $ | 814 | $ | 943 | ||||
FNMA Connecticut Avenue Securities,Ser 2016-C03, Cl 2M2 | ||||||||
7.134%, VAR ICE LIBOR USD 1 Month+5.900%,10/25/2028 | 1,025 | 1,174 | ||||||
Great Wolf Trust, Ser 2017-WOLF, Cl A | ||||||||
2.090%, VAR LIBOR USD 1 Month+0.850%,09/15/2034 (D) | 680 | 680 | ||||||
GS Mortgage Securities II, | ||||||||
2.706%,12/10/2027 (D) | 751 | 759 | ||||||
GS Mortgage Securities Trust, | ||||||||
5.109%,01/10/2047 (D)(F) | 955 | 816 | ||||||
H/2 Asset Funding, | ||||||||
2.887%,06/24/2049 | 523 | 520 | ||||||
HomeBanc Mortgage Trust, | ||||||||
1.487%, VAR ICE LIBOR USD 1 Month+0.250%,03/25/2035 | 216 | 196 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C22, Cl XA, IO | ||||||||
1.080%,09/15/2047 (F) | 20,324 | 981 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C30, Cl A5 | ||||||||
3.822%,07/15/2048 | 540 | 568 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C32, Cl C | ||||||||
4.818%,11/15/2048 (F) | 849 | 843 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
4.838%,07/15/2041 (D)(F) | 248 | 248 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-LDP9, Cl AM | ||||||||
5.372%,05/15/2047 | 282 | 282 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.990%,02/12/2049 (F) | 27 | 27 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
3.801%,08/15/2048 | 1,092 | 1,148 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
2.927%, VAR LIBOR USD 1 Month+1.700%,07/15/2036 (D) | 1,133 | 1,135 | ||||||
JPMorgan Mortgage Trust, | ||||||||
6.000%,08/25/2037 | 224 | 199 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C6, Cl AJ | ||||||||
5.452%,09/15/2039 (F) | 356 | 284 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 307 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Inflation Managed Fund (Continued)
Description |
Face Amount |
Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
LSTAR Commercial Mortgage Trust, | ||||||||
2.767%,01/20/2041 (D) | $ | 369 | $ | 369 | ||||
LSTAR Commercial Mortgage Trust, | ||||||||
2.729%,04/20/2048 (D)(F) | 910 | 913 | ||||||
LSTAR Commercial Mortgage Trust, | ||||||||
2.458%,03/10/2049 (D) | 971 | 961 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
5.000%,07/15/2056 | 545 | 545 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
3.177%, VAR LIBOR USD 1 Month+1.950%,11/15/2026 (D) | 270 | 268 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
3.097%, VAR LIBOR USD 1 Month+1.870%,08/15/2026 (D) | 239 | 240 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
3.596%,12/15/2049 | 835 | 868 | ||||||
RBSSP Resecuritization Trust, | ||||||||
6.000%,08/26/2037 (D) | 811 | 722 | ||||||
RBSSP Resecuritization Trust, | ||||||||
6.000%,05/26/2037 (D)(F) | 710 | 582 | ||||||
Starwood Retail Property Trust, | ||||||||
2.447%, VAR LIBOR USD 1 Month+1.220%,11/15/2027 (D) | 1,818 | 1,814 | ||||||
UBS-Barclays Commercial Mortgage Trust,Ser 2012-C4, Cl A5 | ||||||||
2.850%,12/10/2045 | 596 | 603 | ||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||
3.789%,09/15/2048 | 485 | 510 | ||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||
4.619%,09/15/2048 (F) | 794 | 777 | ||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||
4.454%,11/15/2049 (F) | 925 | 944 | ||||||
Wells Fargo Credit Risk Transfer Securities Trust, Ser 2015-WF1, Cl 2M2 | ||||||||
6.734%, VAR ICE LIBOR USD 1 Month+5.500%,11/25/2025 (D) | 162 | 185 | ||||||
Wells Fargo Credit Risk Transfer Securities Trust, Ser 2015-WF1, Cl 1M2 | ||||||||
6.484%, VAR ICE LIBOR USD 1 Month+5.250%,11/25/2025 (D) | 612 | 664 |
Description |
Face Amount |
Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2007-8, Cl 2A5 | ||||||||
5.750%,07/25/2037 | $ | 126 | $ | 125 | ||||
WFRBS Commercial Mortgage Trust, | ||||||||
3.337%,06/15/2046 | 490 | 507 | ||||||
44,094 | ||||||||
Total Mortgage-Backed Securities | 49,271 | |||||||
ASSET-BACKED SECURITIES — 2.7% |
| |||||||
Automotive — 1.6% | ||||||||
Ally Auto Receivables Trust, Ser 2015-2, Cl A3 | ||||||||
1.490%, 11/15/2019 | 282 | 282 | ||||||
Avis Budget Rental Car Funding AESOP, | ||||||||
2.100%, 03/20/2019 (D) | 435 | 435 | ||||||
Avis Budget Rental Car Funding AESOP, | ||||||||
2.970%, 02/20/2020 (D) | 594 | 600 | ||||||
Avis Budget Rental Car Funding AESOP, | ||||||||
2.990%, 06/20/2022 (D) | 646 | 652 | ||||||
California Republic Auto Receivables Trust, | ||||||||
1.570%, 12/16/2019 | 377 | 377 | ||||||
California Republic Auto Receivables Trust, | ||||||||
1.310%, 08/15/2019 | 120 | 120 | ||||||
Chrysler Capital Auto Receivables Trust, | ||||||||
1.770%, 10/15/2020 (D) | 1,380 | 1,381 | ||||||
CPS Auto Receivables Trust, | ||||||||
1.820%, 09/15/2020 (D) | 130 | 129 | ||||||
CPS Auto Receivables Trust, | ||||||||
1.680%, 08/17/2020 (D) | 459 | 458 | ||||||
Drive Auto Receivables Trust, | ||||||||
1.670%, 11/15/2019 (D) | 410 | 410 | ||||||
Enterprise Fleet Financing, | ||||||||
1.300%, 09/20/2020 (D) | 145 | 145 | ||||||
Exeter Automobile Receivables Trust, | ||||||||
8.200%, 02/15/2023 (D) | 440 | 464 | ||||||
Exeter Automobile Receivables Trust, | ||||||||
1.840%, 11/16/2020 (D) | 270 | 270 |
308 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Exeter Automobile Receivables Trust, | ||||||||
2.110%, 06/15/2021 (D) | $ | 599 | $ | 600 | ||||
First Investors Auto Owner Trust, | ||||||||
1.530%, 11/16/2020 (D) | 473 | 472 | ||||||
Flagship Credit Auto Trust, | ||||||||
8.560%, 11/15/2023 (D) | 545 | 595 | ||||||
Flagship Credit Auto Trust, | ||||||||
1.960%, 02/16/2021 (D) | 900 | 901 | ||||||
Flagship Credit Auto Trust, | ||||||||
3.890%, 11/15/2022 (D) | 450 | 455 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
1.100%, 09/15/2019 | 55 | 55 | ||||||
Hertz Vehicle Financing II, | ||||||||
2.730%, 03/25/2021 (D) | 675 | 675 | ||||||
Hertz Vehicle Financing II, | ||||||||
3.520%, 03/25/2021 (D) | 491 | 497 | ||||||
Hertz Vehicle Financing II, | ||||||||
2.020%, 09/25/2019 (D) | 700 | 698 | ||||||
Hertz Vehicle Financing, | ||||||||
2.480%, 08/25/2019 (D) | 579 | 576 | ||||||
Hertz Vehicle Financing, | ||||||||
2.320%, 03/25/2020 (D) | 974 | 973 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
2.980%, 04/15/2020 (D) | 1,095 | 1,097 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
1.340%, 11/15/2019 | 261 | 261 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
1.850%, 06/15/2020 | 532 | 532 | ||||||
14,110 | ||||||||
Credit Cards — 0.2% |
| |||||||
Synchrony Credit Card Master Note Trust, Ser 2016-1, Cl A | ||||||||
2.040%, 03/15/2022 | 401 | 403 | ||||||
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 | ||||||||
1.714%, VAR LIBOR USD 1 Month+0.480%, 02/15/2022 | 571 | 572 | ||||||
1,360 | ||||||||
Other Asset-Backed Securities — 0.9% |
| |||||||
Ally Master Owner Trust, Ser 2015-3, Cl A | ||||||||
1.630%, 05/15/2020 | 1,079 | 1,079 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Citi Held For Asset Issuance, | ||||||||
4.650%, 04/15/2025 (D) | $ | 127 | $ | 128 | ||||
CNH Equipment Trust, | ||||||||
1.850%, 04/15/2021 | 673 | 674 | ||||||
GMF Floorplan Owner Revolving Trust, | ||||||||
1.650%, 05/15/2020 (D) | 496 | 496 | ||||||
GMF Floorplan Owner Revolving Trust, | ||||||||
1.960%, 05/17/2021 (D) | 986 | 987 | ||||||
Marlette Funding Trust, | ||||||||
3.060%, 01/17/2023 (D) | 170 | 171 | ||||||
Marlette Funding Trust, | ||||||||
2.827%, 03/15/2024 (D) | 333 | 335 | ||||||
Marlette Funding Trust, | ||||||||
2.390%, 07/15/2024 (D) | 710 | 710 | ||||||
Prosper Marketplace Issuance Trust, Ser 2017-2A, Cl B | ||||||||
3.480%, 09/15/2023 (D) | 260 | 261 | ||||||
SoFi Consumer Loan Program, | ||||||||
3.090%, 10/27/2025 (D) | 405 | 409 | ||||||
SoFi Consumer Loan Program, | ||||||||
3.050%, 12/26/2025 (D) | 536 | 541 | ||||||
SoFi Consumer Loan Program, | ||||||||
3.280%, 02/25/2026 (D) | 552 | 560 | ||||||
SoFi Consumer Loan Program, | ||||||||
2.780%, 09/25/2026 (D) | 780 | 780 | ||||||
Volvo Financial Equipment, | ||||||||
1.510%, 06/17/2019 (D) | 481 | 481 | ||||||
Wells Fargo Dealer Floorplan Master Note Trust, | ||||||||
1.731%, VAR LIBOR USD 1 Month+0.500%, 01/20/2020 | 856 | 857 | ||||||
8,469 | ||||||||
Total Asset-Backed Securities | 23,939 | |||||||
SOVEREIGN DEBT — 1.8% |
| |||||||
Brazil Notas do Tesouro Nacional, Ser F | ||||||||
10.000%, 01/01/2021 | BRL | 2,835 | 928 | |||||
10.000%, 01/01/2027 | 6,200 | 1,989 | ||||||
Egypt Government International Bond MTN | ||||||||
6.125%, 01/31/2022 (D) | $ | 291 | 301 | |||||
Japan Government CPI Linked | ||||||||
0.100%, 03/10/2027 | JPY | 471,854 | 4,374 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 309 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Inflation Managed Fund (Continued)
| ||||||||
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
| ||||||||
SOVEREIGN DEBT (continued) |
| |||||||
Japan Treasury Discount Bill | ||||||||
-0.123%, 12/11/2017 (A)(G) | JPY | 770,000 | $ | 6,842 | ||||
Mexico Government International Bond MTN | ||||||||
4.125%, 01/21/2026 | $ | 707 | 745 | |||||
Turkey Government International Bond | ||||||||
11.000%, 02/24/2027 | TRY | 3,945 | 1,130 | |||||
|
| |||||||
Total Sovereign Debt |
| 16,309 | ||||||
|
| |||||||
Total Investments in Securities— 114.0% |
| $ | 1,014,679 | |||||
|
| |||||||
Shares | ||||||||
COMMON STOCK SOLD SHORT— (13.1)% |
| |||||||
Consumer Discretionary — (8.7)% |
| |||||||
Adient | (6,972) | (586) | ||||||
Adtalem Global Education | (1,547) | (56) | ||||||
Advance Auto Parts | (1,129) | (112) | ||||||
Amazon.com, Cl A * | (6,140) | (5,903) | ||||||
American Axle & Manufacturing Holdings * | (7,300) | (128) | ||||||
American Outdoor Brands * | (4,300) | (66) | ||||||
Aramark | (7,548) | (307) | ||||||
Autonation * | (629) | (30) | ||||||
Autozone * | (498) | (296) | ||||||
Bed Bath & Beyond | (2,978) | (70) | ||||||
Belmond, Cl A * | (1,878) | (26) | ||||||
Best Buy | (4,378) | (249) | ||||||
Big Lots | (500) | (27) | ||||||
Bloomin’ Brands | (3,680) | (65) | ||||||
Bob Evans Farms | (450) | (35) | ||||||
BorgWarner | (16,805) | (861) | ||||||
Boyd Gaming | (4,100) | (107) | ||||||
Bright Horizons Family Solutions * | (1,977) | (170) | ||||||
Brinker International | (2,177) | (69) | ||||||
Brunswick | (4,879) | (273) | ||||||
Buffalo Wild Wings * | (677) | (72) | ||||||
Burlington Stores * | (1,129) | (108) | ||||||
Caesars Acquisition, Cl A * | (2,653) | (57) | ||||||
CalAtlantic Group | (4,474) | (164) | ||||||
Callaway Golf | (6,133) | (89) | ||||||
CarMax * | (2,966) | (225) | ||||||
Carnival | (13,527) | (873) | ||||||
Carter’s | (2,855) | (282) | ||||||
Cavco Industries * | (200) | (30) | ||||||
Cheesecake Factory | (1,900) | (80) | ||||||
Chipotle Mexican Grill, Cl A * | (894) | (275) | ||||||
Choice Hotels International | (1,450) | (93) | ||||||
Churchill Downs | (600) | (124) | ||||||
Coach | (14,880) | (599) | ||||||
Columbia Sportswear | (1,827) | (113) |
| ||||||||
Description | Shares | Market Value ($ Thousands) | ||||||
| ||||||||
COMMON STOCK SOLD SHORT (continued) |
| |||||||
Cooper Tire & Rubber | (4,943) | $ | (185) | |||||
Cooper-Standard Holdings * | (1,350) | (157) | ||||||
Cracker Barrel Old Country Store | (827) | (125) | ||||||
Dana | (11,700) | (327) | ||||||
Darden Restaurants | (3,685) | (290) | ||||||
Dave & Buster’s Entertainment * | (1,600) | (84) | ||||||
Deckers Outdoor * | (1,977) | (135) | ||||||
Delphi Automotive | (22,170) | (2,182) | ||||||
Dick’s Sporting Goods | (829) | (22) | ||||||
Dollar General | (3,890) | (315) | ||||||
Dollar Tree * | (3,382) | (294) | ||||||
Domino’s Pizza | (1,503) | (298) | ||||||
Dorman Products * | (2,100) | (150) | ||||||
DR Horton | (18,314) | (731) | ||||||
Dunkin’ Brands Group | (2,388) | (127) | ||||||
Eldorado Resorts * | (2,666) | (68) | ||||||
Ethan Allen Interiors | (900) | (29) | ||||||
Expedia | (1,973) | (284) | ||||||
Foot Locker, Cl A | (2,578) | (91) | ||||||
Ford Motor | (306,733) | (3,672) | ||||||
Fox Factory Holding * | (1,322) | (57) | ||||||
GameStop, Cl A | (977) | (20) | ||||||
Gap | (3,900) | (115) | ||||||
Garmin | (6,540) | (353) | ||||||
General Motors | (114,125) | (4,608) | ||||||
Gentex | (21,956) | (435) | ||||||
Gentherm * | (2,800) | (104) | ||||||
Genuine Parts | (2,959) | (283) | ||||||
G-III Apparel Group * | (2,350) | (68) | ||||||
Goodyear Tire & Rubber | (19,979) | (664) | ||||||
Graham Holdings, Cl B | (111) | (65) | ||||||
Grand Canyon Education * | (1,727) | (157) | ||||||
H&R Block | (7,300) | (193) | ||||||
Hanesbrands | (20,291) | (500) | ||||||
Harley-Davidson, Cl A | (13,527) | (652) | ||||||
Hasbro | (5,723) | (559) | ||||||
Helen of Troy * | (1,500) | (145) | ||||||
Hilton Grand Vacations * | (2,750) | (106) | ||||||
Hilton Worldwide Holdings | (6,281) | (436) | ||||||
Home Depot | (18,638) | (3,048) | ||||||
Houghton Mifflin Harcourt * | (2,650) | (32) | ||||||
Hyatt Hotels, Cl A * | (800) | (49) | ||||||
ILG | (4,900) | (131) | ||||||
Installed Building Products * | (678) | (44) | ||||||
International Game Technology | (3,700) | (91) | ||||||
International Speedway, Cl A | (650) | (23) | ||||||
iRobot * | (1,578) | (122) | ||||||
J.C. Penney * | (3,978) | (15) | ||||||
Jack in the Box | (1,150) | (117) | ||||||
KB Home | (5,035) | (121) | ||||||
Kohl’s | (2,855) | (130) | ||||||
L Brands | (3,827) | (159) |
310 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK SOLD SHORT (continued) |
| |||||||
La Quinta Holdings * | (1,850 | ) | $ | (32 | ) | |||
Las Vegas Sands | (13,319 | ) | (855 | ) | ||||
La-Z-Boy, Cl Z | (3,327 | ) | (90 | ) | ||||
LCI Industries | (1,777 | ) | (206 | ) | ||||
Lear | (5,619 | ) | (973 | ) | ||||
Leggett & Platt | (7,440 | ) | (355 | ) | ||||
Lennar, Cl A | (10,250 | ) | (541 | ) | ||||
Liberty Expedia Holdings, Cl A * | (629 | ) | (33 | ) | ||||
Liberty Interactive QVC Group, Cl A * | (7,024 | ) | (166 | ) | ||||
Liberty Ventures, Ser A * | (1,272 | ) | (73 | ) | ||||
Lithia Motors, Cl A | (278 | ) | (33 | ) | ||||
LKQ * | (5,255 | ) | (189 | ) | ||||
Lowe’s | (13,385 | ) | (1,070 | ) | ||||
lululemon athletica * | (5,139 | ) | (320 | ) | ||||
M/I Homes * | (1,128 | ) | (30 | ) | ||||
Macy’s | (5,178 | ) | (113 | ) | ||||
Marriott International, Cl A | (10,772 | ) | (1,188 | ) | ||||
Marriott Vacations Worldwide | (976 | ) | (122 | ) | ||||
Mattel | (18,350 | ) | (284 | ) | ||||
McDonald’s | (26,936 | ) | (4,220 | ) | ||||
MDC Holdings | (2,928 | ) | (97 | ) | ||||
Meritage Homes * | (2,728 | ) | (121 | ) | ||||
MGM Mirage | (16,909 | ) | (551 | ) | ||||
Michael Kors Holdings * | (8,720 | ) | (417 | ) | ||||
Michaels * | (1,200 | ) | (26 | ) | ||||
Modine Manufacturing * | (2,228 | ) | (43 | ) | ||||
Mohawk Industries * | (3,429 | ) | (849 | ) | ||||
Motorcar Parts of America * | (1,150 | ) | (34 | ) | ||||
Murphy USA * | (400 | ) | (28 | ) | ||||
NetFlix * | (6,079 | ) | (1,102 | ) | ||||
Newell Brands, Cl B | (25,597 | ) | (1,092 | ) | ||||
Nike, Cl B | (72,527 | ) | (3,761 | ) | ||||
Nordstrom | (2,200 | ) | (104 | ) | ||||
Norwegian Cruise Line Holdings * | (5,600 | ) | (303 | ) | ||||
NVR * | (211 | ) | (602 | ) | ||||
Office Depot | (5,928 | ) | (27 | ) | ||||
O’Reilly Automotive * | (1,546 | ) | (333 | ) | ||||
Oxford Industries, Cl A | (476 | ) | (30 | ) | ||||
Papa John’s International, Cl A | (1,142 | ) | (83 | ) | ||||
Penn National Gaming * | (2,572 | ) | (60 | ) | ||||
Planet Fitness, Cl A | (2,237 | ) | (60 | ) | ||||
Polaris Industries | (3,218 | ) | (337 | ) | ||||
Pool | (750 | ) | (81 | ) | ||||
Priceline Group * | (757 | ) | (1,386 | ) | ||||
PulteGroup | (17,117 | ) | (468 | ) | ||||
PVH | (4,422 | ) | (557 | ) | ||||
Ralph Lauren, Cl A | (3,174 | ) | (280 | ) | ||||
Red Rock Resorts, Cl A | (4,006 | ) | (93 | ) | ||||
Ross Stores | (6,500 | ) | (420 | ) | ||||
Royal Caribbean Cruises | (6,139 | ) | (728 | ) | ||||
Sally Beauty Holdings * | (1,228 | ) | (24 | ) | ||||
Scientific Games, Cl A * | (1,278 | ) | (59 | ) |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK SOLD SHORT (continued) |
| |||||||
SeaWorld Entertainment | (1,400) | $ | (18) | |||||
Service International | (6,550) | (226) | ||||||
ServiceMaster Global Holdings * | (5,128) | (240) | ||||||
Signet Jewelers | (1,250) | (83) | ||||||
Six Flags Entertainment | (1,934) | (118) | ||||||
Skechers U.S.A., Cl A * | (7,222) | (181) | ||||||
Sotheby’s * | (1,622) | (75) | ||||||
Standard Motor Products | (1,493) | (72) | ||||||
Starbucks | (46,821) | (2,515) | ||||||
Steven Madden * | (3,677) | (159) | ||||||
Stoneridge * | (1,578) | (31) | ||||||
Superior Industries International | (1,128) | (19) | ||||||
Target, Cl A | (8,012) | (473) | ||||||
Taylor Morrison Home, Cl A * | (2,933) | (65) | ||||||
Tempur-Pedic International * | (2,601) | (168) | ||||||
Tenneco | (4,750) | (288) | ||||||
Tesla * | (10,096) | (3,444) | ||||||
Texas Roadhouse, Cl A | (2,388) | (117) | ||||||
Thor Industries | (3,685) | (464) | ||||||
Tiffany | (1,713) | (157) | ||||||
TJX | (9,885) | (729) | ||||||
Toll Brothers | (8,720) | (362) | ||||||
TopBuild * | (2,336) | (152) | ||||||
Tower International | (927) | (25) | ||||||
Tractor Supply | (2,076) | (131) | ||||||
TRI Pointe Group * | (8,628) | (119) | ||||||
TripAdvisor * | (1,822) | (74) | ||||||
Tupperware Brands | (2,877) | (178) | ||||||
Ulta Beauty * | (976) | (221) | ||||||
Under Armour, Cl C * | (10,128) | (152) | ||||||
Universal Electronics * | (400) | (25) | ||||||
Vail Resorts | (1,197) | (273) | ||||||
VF | (19,624) | (1,248) | ||||||
Vista Outdoor * | (4,200) | (96) | ||||||
Visteon * | (2,678) | (332) | ||||||
Wayfair, Cl A * | (676) | (46) | ||||||
Wendy’s | (7,600) | (118) | ||||||
Whirlpool | (4,006) | (739) | ||||||
Williams-Sonoma | (829) | (41) | ||||||
Winnebago Industries | (2,550) | (114) | ||||||
Wolverine World Wide | (5,139) | (148) | ||||||
Wyndham Worldwide | (4,110) | (433) | ||||||
Wynn Resorts | (2,491) | (371) | ||||||
Yum China Holdings * | (11,108) | (444) | ||||||
Yum! Brands | (10,822) | (797) | ||||||
|
|
| ||||||
(77,118) | ||||||||
|
|
| ||||||
Information Technology — (2.8)% |
| |||||||
Advanced Energy Industries * | (427) | (34) | ||||||
Advanced Micro Devices * | (7,922) | (101) | ||||||
Amphenol, Cl A | (4,360) | (369) | ||||||
Analog Devices | (4,221) | (364) |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 311 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Inflation Managed Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK SOLD SHORT (continued) |
| |||||||
Apple | (37,943 | ) | $ | (5,848 | ) | |||
Applied Materials | (12,331 | ) | (642 | ) | ||||
Arista Networks * | (876 | ) | (166 | ) | ||||
ARRIS International * | (3,250 | ) | (93 | ) | ||||
Arrow Electronics, Cl A * | (2,328 | ) | (187 | ) | ||||
Avnet | (2,720 | ) | (107 | ) | ||||
AVX | (4,693 | ) | (86 | ) | ||||
Belden | (350 | ) | (28 | ) | ||||
Broadcom | (4,538 | ) | (1,101 | ) | ||||
Brocade Communications Systems | (10,450 | ) | (125 | ) | ||||
Cavium * | (800 | ) | (53 | ) | ||||
CDW | (4,412 | ) | (291 | ) | ||||
Ciena * | (1,000 | ) | (22 | ) | ||||
Cirrus Logic * | (550 | ) | (29 | ) | ||||
Cisco Systems | (57,969 | ) | (1,949 | ) | ||||
Cognex | (1,229 | ) | (136 | ) | ||||
Coherent * | (229 | ) | (54 | ) | ||||
CommScope Holding * | (2,300 | ) | (76 | ) | ||||
Corning, Cl B | (11,627 | ) | (348 | ) | ||||
Cray * | (1,172 | ) | (23 | ) | ||||
Cypress Semiconductor | (2,600 | ) | (39 | ) | ||||
Diebold Nixdorf | (2,850 | ) | (65 | ) | ||||
Dolby Laboratories, Cl A | (579 | ) | (33 | ) | ||||
Electronics For Imaging * | (1,900 | ) | (81 | ) | ||||
Entegris * | (1,150 | ) | (33 | ) | ||||
ePlus * | (1,554 | ) | (144 | ) | ||||
F5 Networks, Cl A * | (950 | ) | (115 | ) | ||||
First Solar * | (989 | ) | (45 | ) | ||||
Flir Systems | (950 | ) | (37 | ) | ||||
Harris | (2,029 | ) | (267 | ) | ||||
Hewlett Packard Enterprise | (23,048 | ) | (339 | ) | ||||
HP | (22,942 | ) | (458 | ) | ||||
II-VI * | (728 | ) | (30 | ) | ||||
Infinera * | (4,199 | ) | (37 | ) | ||||
Integrated Device Technology * | (1,050 | ) | (28 | ) | ||||
Intel | (54,500 | ) | (2,075 | ) | ||||
InterDigital | (327 | ) | (24 | ) | ||||
IPG Photonics * | (278 | ) | (51 | ) | ||||
Jabil | (3,450 | ) | (99 | ) | ||||
Juniper Networks | (7,350 | ) | (205 | ) | ||||
Keysight Technologies * | (3,027 | ) | (126 | ) | ||||
KLA-Tencor | (2,250 | ) | (239 | ) | ||||
Lam Research | (1,890 | ) | (350 | ) | ||||
Littelfuse | (200 | ) | (39 | ) | ||||
Lumentum Holdings * | (579 | ) | (31 | ) | ||||
MACOM Technology Solutions Holdings * | (1 | ) | — | |||||
Marvell Technology Group | (5,800 | ) | (104 | ) | ||||
Maxim Integrated Products | (3,678 | ) | (175 | ) | ||||
Microchip Technology | (2,827 | ) | (254 | ) | ||||
Micron Technology * | (12,198 | ) | (480 | ) | ||||
Microsemi * | (1,728 | ) | (89 | ) | ||||
MKS Instruments | (476 | ) | (45 | ) |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK SOLD SHORT (continued) |
| |||||||
Monolithic Power Systems | (300 | ) | $ | (32 | ) | |||
Motorola Solutions | (2,300 | ) | (195 | ) | ||||
National Instruments | (800 | ) | (34 | ) | ||||
NCR * | (2,850 | ) | (107 | ) | ||||
NetApp | (6,112 | ) | (267 | ) | ||||
NETGEAR * | (1,800 | ) | (86 | ) | ||||
NetScout Systems * | (650 | ) | (21 | ) | ||||
Nvidia | (6,693 | ) | (1,197 | ) | ||||
NXP Semiconductors * | (3,800 | ) | (430 | ) | ||||
ON Semiconductor * | (6,178 | ) | (114 | ) | ||||
Palo Alto Networks * | (934 | ) | (135 | ) | ||||
Plexus * | (450 | ) | (25 | ) | ||||
Pure Storage, Cl A * | (2,200 | ) | (35 | ) | ||||
Qorvo * | (1,557 | ) | (110 | ) | ||||
Qualcomm | (16,389 | ) | (850 | ) | ||||
Sanmina * | (778 | ) | (29 | ) | ||||
Scansource * | (2,000 | ) | (87 | ) | ||||
Skyworks Solutions | (2,378 | ) | (242 | ) | ||||
Stratasys * | (1,278 | ) | (30 | ) | ||||
Super Micro Computer * | (3,350 | ) | (74 | ) | ||||
SYNNEX | (1,573 | ) | (199 | ) | ||||
Tech Data * | (1,827 | ) | (162 | ) | ||||
Teradyne | (3,277 | ) | (122 | ) | ||||
Texas Instruments | (12,532 | ) | (1,123 | ) | ||||
Trimble * | (3,374 | ) | (132 | ) | ||||
Universal Display | (422 | ) | (54 | ) | ||||
USA Technologies * | (6,028 | ) | (38 | ) | ||||
VeriFone Holdings * | (3,472 | ) | (70 | ) | ||||
Versum Materials | (850 | ) | (33 | ) | ||||
Viasat * | (650 | ) | (42 | ) | ||||
Viavi Solutions * | (2,450 | ) | (23 | ) | ||||
Western Digital | (3,841 | ) | (332 | ) | ||||
Xerox | (5,125 | ) | (171 | ) | ||||
Xilinx | (3,400 | ) | (241 | ) | ||||
Zebra Technologies, Cl A * | (950 | ) | (103 | ) | ||||
|
|
| ||||||
(25,314) | ||||||||
|
|
| ||||||
Materials — (1.5)% | ||||||||
Air Products & Chemicals | (3,694 | ) | (559 | ) | ||||
Albemarle | (1,700 | ) | (232 | ) | ||||
Alcoa | (2,528 | ) | (118 | ) | ||||
Allegheny Technologies | (1,350 | ) | (32 | ) | ||||
AptarGroup | (1,200 | ) | (104 | ) | ||||
Ashland Global Holdings | (1,200 | ) | (78 | ) | ||||
Avery Dennison | (1,728 | ) | (170 | ) | ||||
Axalta Coating Systems * | (2,800 | ) | (81 | ) | ||||
Balchem | (350 | ) | (28 | ) | ||||
Ball | (5,700 | ) | (235 | ) | ||||
Bemis | (800 | ) | (36 | ) | ||||
Berry Global Group * | (1,977 | ) | (112 | ) | ||||
Cabot | (553 | ) | (31 | ) | ||||
Carpenter Technology | (678 | ) | (33 | ) |
312 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK SOLD SHORT (continued) |
| |||||||
Celanese, Cl A | (2,000 | ) | $ | (209 | ) | |||
CF Industries Holdings | (3,450 | ) | (121 | ) | ||||
Chemours | (2,699 | ) | (137 | ) | ||||
Commercial Metals, Cl A | (1,278 | ) | (24 | ) | ||||
Compass Minerals International, Cl A | (350 | ) | (23 | ) | ||||
Crown Holdings * | (2,543 | ) | (152 | ) | ||||
Domtar | (650 | ) | (28 | ) | ||||
DowDuPont | (37,110 | ) | (2,569 | ) | ||||
Eagle Materials | (927 | ) | (99 | ) | ||||
Eastman Chemical | (2,491 | ) | (225 | ) | ||||
Ecolab | (4,683 | ) | (602 | ) | ||||
FMC | (2,024 | ) | (181 | ) | ||||
Freeport-McMoRan, Cl B * | (23,098 | ) | (324 | ) | ||||
Graphic Packaging Holding | (6,100 | ) | (85 | ) | ||||
H.B. Fuller | (579 | ) | (34 | ) | ||||
Hecla Mining | (4,350 | ) | (22 | ) | ||||
Huntsman | (3,786 | ) | (104 | ) | ||||
Ingevity * | (476 | ) | (30 | ) | ||||
International Flavors & Fragrances | (1,350 | ) | (193 | ) | ||||
International Paper | (6,778 | ) | (385 | ) | ||||
Louisiana-Pacific * | (1,326 | ) | (36 | ) | ||||
LyondellBasell Industries, Cl A | (4,995 | ) | (495 | ) | ||||
Martin Marietta Materials, Cl A | (979 | ) | (202 | ) | ||||
Minerals Technologies | (350 | ) | (25 | ) | ||||
Monsanto | (6,920 | ) | (829 | ) | ||||
Mosaic | (5,139 | ) | (111 | ) | ||||
NewMarket | (427 | ) | (182 | ) | ||||
Newmont Mining | (7,682 | ) | (288 | ) | ||||
Nucor | (4,906 | ) | (275 | ) | ||||
Olin | (2,250 | ) | (77 | ) | ||||
Owens-Illinois * | (1,547 | ) | (39 | ) | ||||
Packaging Corp of America | (1,401 | ) | (161 | ) | ||||
Platform Specialty Products * | (1,977 | ) | (22 | ) | ||||
PolyOne | (778 | ) | (31 | ) | ||||
PPG Industries | (3,902 | ) | (424 | ) | ||||
Praxair | (5,723 | ) | (800 | ) | ||||
Reliance Steel & Aluminum | (1,298 | ) | (99 | ) | ||||
Royal Gold, Cl A | (1,279 | ) | (110 | ) | ||||
RPM International | (2,228 | ) | (114 | ) | ||||
Scotts Miracle-Gro, Cl A | (877 | ) | (85 | ) | ||||
Sealed Air | (3,550 | ) | (152 | ) | ||||
Sensient Technologies | (1,653 | ) | (127 | ) | ||||
Sherwin-Williams, Cl A | (1,280 | ) | (458 | ) | ||||
Silgan Holdings | (900 | ) | (26 | ) | ||||
Sonoco Products | (2,720 | ) | (137 | ) | ||||
Southern Copper | (2,200 | ) | (87 | ) | ||||
Steel Dynamics | (3,678 | ) | (127 | ) | ||||
Summit Materials, Cl A * | (1,128 | ) | (36 | ) | ||||
Trecora Resources * | (4,370 | ) | (58 | ) | ||||
United States Steel | (2,400 | ) | (62 | ) | ||||
Valvoline | (3,294 | ) | (77 | ) | ||||
Vulcan Materials | (2,128 | ) | (255 | ) |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK SOLD SHORT (continued) |
| |||||||
Westlake Chemical | (427) | $ | (35) | |||||
WestRock | (3,777) | (214) | ||||||
Worthington Industries | (579) | (27) | ||||||
WR Grace | (1,279) | (92) | ||||||
|
| |||||||
(13,771) | ||||||||
|
| |||||||
Total Common Stock Sold Short | ||||||||
(Proceeds $106,754) ($ Thousands) | (116,203) | |||||||
|
| |||||||
Total Investments in Securities Sold | ||||||||
Short — (13.1)% | ||||||||
(Proceeds $106,754) ($ Thousands) | $ | (116,203) | ||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 313 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Inflation Managed Fund (Continued)
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Type of Contract | Number of Long (Short) | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||
CBT Wheat ** | 377 | Dec-2017 | $9,098 | $8,450 | $(648) | |||||||||||||||
Coffee ** | 162 | Dec-2017 | 8,686 | 7,779 | (907) | |||||||||||||||
Coffee Robusta ** | (140) | Nov-2017 | (2,954) | (2,755) | 199 | |||||||||||||||
Copper ** | 120 | Dec-2017 | 8,814 | 8,865 | 51 | |||||||||||||||
Corn ** | 592 | Dec-2017 | 11,567 | 10,515 | (1,052) | |||||||||||||||
Cotton No. 2 ** | (130) | Mar-2018 | (4,524) | (4,406) | 118 | |||||||||||||||
Cotton No. 2 ** | 40 | Dec-2017 | 1,492 | 1,369 | (123) | |||||||||||||||
Crude Oil ** | 34 | Nov-2017 | 1,760 | 1,766 | 6 | |||||||||||||||
Euro-Bobl | (145) | Dec-2017 | (22,776) | (22,487) | 98 | |||||||||||||||
Feeder Cattle ** | (19) | Oct-2017 | (1,333) | (1,446) | (113) | |||||||||||||||
Feeder Cattle ** | (59) | Jan-2018 | (4,438) | (4,470) | (32) | |||||||||||||||
Gold ** | 186 | Dec-2017 | 23,153 | 23,897 | 744 | |||||||||||||||
ICE Brent Crude ** | (77) | Oct-2017 | (4,328) | (4,373) | (45) | |||||||||||||||
ICE Brent Crude ** | 234 | Dec-2017 | 12,763 | 13,242 | 479 | |||||||||||||||
Japanese 10-Year Bond | (3) | Dec-2017 | (4,179) | (4,007) | 19 | |||||||||||||||
KC HRW Wheat ** | (148) | Mar-2018 | (3,348) | (3,406) | (58) | |||||||||||||||
KC HRW Wheat ** | 312 | Dec-2017 | 7,140 | 6,907 | (233) | |||||||||||||||
Lean Hogs ** | (81) | Dec-2017 | (1,925) | (1,942) | (17) | |||||||||||||||
Lean Hogs ** | 101 | Feb-2018 | 2,622 | 2,628 | 6 | |||||||||||||||
Live Cattle ** | 200 | Dec-2017 | 9,030 | 9,220 | 190 | |||||||||||||||
LME Aluminum ** | 280 | Nov-2017 | 14,211 | 14,623 | 412 | |||||||||||||||
LME Nickel ** | 26 | Nov-2017 | 1,769 | 1,632 | (137) | |||||||||||||||
LME Zinc ** | (56) | May-2018 | (4,269) | (4,392) | (123) | |||||||||||||||
LME Zinc ** | 57 | Dec-2018 | 4,251 | 4,358 | 107 | |||||||||||||||
LME Zinc ** | 69 | Nov-2017 | 4,731 | 5,465 | 734 | |||||||||||||||
MSCI EAFE Index E-MINI | (134) | Dec-2017 | (13,117) | (13,255) | (138) | |||||||||||||||
Natural Gas ** | 210 | Jan-2018 | 6,945 | 6,928 | (17) | |||||||||||||||
Natural Gas ** | 238 | Oct-2017 | 7,254 | 7,157 | (97) | |||||||||||||||
NY Harbor ULSD ** | 68 | Oct-2017 | 4,715 | 5,169 | 454 | |||||||||||||||
NY Harbor ULSD ** | 21 | Dec-2017 | 1,405 | 1,593 | 188 | |||||||||||||||
Palladium ** | (31) | Dec-2017 | (2,873) | (2,904) | (31) | |||||||||||||||
Platinum ** | 64 | Jan-2018 | 3,185 | 2,930 | (255) | |||||||||||||||
RBOB Gasoline ** | 91 | Nov-2017 | 5,728 | 6,081 | 353 | |||||||||||||||
S&P 500 Index E-MINI | (208) | Dec-2017 | $(25,943) | $(26,167) | $(224) | |||||||||||||||
Silver ** | 95 | Dec-2017 | 7,987 | 7,921 | (66) | |||||||||||||||
Soybean ** | 225 | Nov-2017 | 10,751 | 10,893 | 142 | |||||||||||||||
Soybean Meal ** | 157 | Dec-2017 | 4,921 | 4,958 | 37 | |||||||||||||||
Soybean Oil ** | 224 | Dec-2017 | 4,421 | 4,411 | (10) | |||||||||||||||
Sugar No. 11 ** | 452 | Feb-2018 | 7,472 | 7,138 | (334) | |||||||||||||||
U.S. 2-Year Treasury Note | (262) | Jan-2018 | (56,678) | (56,514) | 164 | |||||||||||||||
U.S. 5-Year Treasury Note | 112 | Dec-2017 | 13,232 | 13,160 | (72) | |||||||||||||||
U.S. 10-Year Treasury Note | (199) | Dec-2017 | (25,166) | (24,937) | 229 | |||||||||||||||
U.S. Ultra Long Treasury Bond | (5) | Dec-2017 | (835) | (826) | 9 | |||||||||||||||
WTI Crude Oil ** | 273 | Nov-2017 | 13,564 | 14,106 | 542 | |||||||||||||||
|
|
| ||||||||||||||||||
$33,981 | $34,874 | $549 | ||||||||||||||||||
|
|
|
314 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
A list of the open forward foreign currency contracts held by the Fund at September 30, 2017, is as follows:
Counterparty | Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||||||||
Bank of America | 11/03/17 | BRL | 5,169 | USD | 1,611 | $ | (16 | ) | ||||||||||||||
Barclays PLC | 10/26/17 | JPY | 1,300,000 | USD | 11,677 | 111 | ||||||||||||||||
BNP Paribas | 10/04/17 | USD | 618 | EUR | 522 | – | ||||||||||||||||
BNP Paribas | 11/30/17 | NZD | 1,327 | AUD | 1,220 | (2 | ) | |||||||||||||||
BNP Paribas | 12/01/17 | GBP | 1,003 | USD | 1,358 | 11 | ||||||||||||||||
Brown Brothers Harriman | 10/04/17 | USD | 156 | EUR | 132 | – | ||||||||||||||||
Brown Brothers Harriman | 10/04/17 | EUR | 791 | USD | 942 | 7 | ||||||||||||||||
Brown Brothers Harriman | 10/04/17 | EUR | 142 | USD | 167 | (1 | ) | |||||||||||||||
Brown Brothers Harriman | 10/17/17 | USD | 62 | TRY | 217 | (1 | ) | |||||||||||||||
Brown Brothers Harriman | 11/30/17 | NZD | 225 | USD | 163 | – | ||||||||||||||||
Brown Brothers Harriman | 12/13/17 | USD | 888 | SEK | 7,091 | (15 | ) | |||||||||||||||
Citigroup | 10/04/17 | EUR | 477 | USD | 547 | (17 | ) | |||||||||||||||
Citigroup | 10/06/17 | USD | 908 | MXN | 16,374 | (7 | ) | |||||||||||||||
Citigroup | 10/26/17 | KRW | 1,814,144 | USD | 1,623 | 37 | ||||||||||||||||
Citigroup | 11/10/17 | CAD | 5,182 | USD | 4,136 | (9 | ) | |||||||||||||||
Citigroup | 11/22/17 | USD | 1,824 | RUB | 105,346 | (12 | ) | |||||||||||||||
Citigroup | 11/22/17 | TWD | 48,289 | USD | 1,593 | (2 | ) | |||||||||||||||
Credit Suisse First Boston | 10/03/17 | BRL | 5,169 | USD | 1,623 | (11 | ) | |||||||||||||||
Credit Suisse First Boston | 10/26/17 | USD | 1,134 | MYR | 4,871 | 20 | ||||||||||||||||
Credit Suisse First Boston | 10/26/17 | MYR | 4,875 | USD | 1,166 | 10 | ||||||||||||||||
Credit Suisse First Boston | 12/13/17 | SEK | 7,201 | USD | 891 | 5 | ||||||||||||||||
Deutsche Bank | 10/04/17 | EUR | 582 | USD | 667 | (22 | ) | |||||||||||||||
Deutsche Bank | 11/30/17 | AUD | 2,756 | USD | 2,200 | 40 | ||||||||||||||||
JPMorgan Chase Bank | 10/17/17 | USD | 569 | TRY | 1,981 | (15 | ) | |||||||||||||||
JPMorgan Chase Bank | 11/22/17 | USD | 1,608 | TWD | 48,263 | (14 | ) | |||||||||||||||
Morgan Stanley | 12/01/17 | USD | 1,193 | GBP | 877 | (15 | ) | |||||||||||||||
RBS | 11/10/17 | USD | 1,227 | CAD | 1,500 | (27 | ) | |||||||||||||||
RBS | 12/13/17 | USD | 861 | NOK | 6,722 | (15 | ) | |||||||||||||||
Standard Chartered | 10/06/17 | USD | 932 | MXN | 16,495 | (24 | ) | |||||||||||||||
|
|
| ||||||||||||||||||||
$ | 16 | |||||||||||||||||||||
|
|
|
A list of the open OTC swap agreements held by the Fund at September 30, 2017 is as follows:
Interest Rate Swap | ||||||||||||||||||||
Counterparty | Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount (Thousands) | Value ($ Thousands) | Upfront Payments ($ Thousands) | Net Unrealized (Depreciation) ($ Thousands) | |||||||||||
JPMorgan Chase | 2.8325% | 3-MONTH USD - LIBOR | Quarterly | 04/12/2042 | USD | $480 | $(35) | $– | $(35) | |||||||||||
|
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 315 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Inflation Managed Fund (Continued)
Credit Default Swaps | ||||||||||||||||||||||||
Counterparty | Reference Entity/ Obligation | Buy/Sell Protection | (Pays)/Receives Rate | Payment Frequency | Termination Date | Notional | Value ($ Thousands) | Upfront ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||
Deutsche Bank | CMBX.BBB.6 | Sell | 3.00% | Monthly | 05/11/2063 | $(634) | $(96) | $(54) | $(42) | |||||||||||||||
Goldman Sachs | CMBX.BBB.6 | Sell | 3.00% | Monthly | 05/11/2063 | (835) | (127) | (67) | (60) | |||||||||||||||
Goldman Sachs | CMBX.BBB.6 | Sell | 3.00% | Monthly | 05/11/2063 | (261) | (39) | (18) | (21) | |||||||||||||||
Goldman Sachs | CMBX.BBB.6 | Sell | 3.00% | Monthly | 05/11/2063 | (65) | (9) | (7) | (2) | |||||||||||||||
Goldman Sachs | CMBX.BBB.6 | Sell | 3.00% | Monthly | 05/11/2063 | (32) | (5) | (3) | (2) | |||||||||||||||
Goldman Sachs | CMBX.BBB.6 | Sell | 3.00% | Monthly | 05/11/2063 | (16) | (3) | (1) | (2) | |||||||||||||||
Deutsche Bank | CMBX.BBB.6 | Sell | 3.00% | Monthly | 05/11/2063 | (33) | (5) | (4) | (1) | |||||||||||||||
Goldman Sachs | CMBX.BBB.6 | Sell | 3.00% | Monthly | 05/11/2063 | (194) | (30) | (18) | (12) | |||||||||||||||
Goldman Sachs | CMBX.BBB.6 | Sell | 3.00% | Monthly | 05/11/2063 | (32) | (5) | (3) | (2) | |||||||||||||||
Deutsche Bank | CMBX.BBB.6 | Sell | 3.00% | Monthly | 05/11/2063 | (201) | (30) | (27) | (3) | |||||||||||||||
Goldman Sachs | CMBX.NA.AAA.9 | Buy | 0.50% | Monthly | 09/17/2058 | 964 | 1 | 13 | (12) | |||||||||||||||
Credit Suisse | CMBX.NA.AAA.9 | Buy | 0.50% | Monthly | 09/17/2058 | 2,641 | 4 | 34 | (30) | |||||||||||||||
Citibank | CMBX.NA.AAA.9 | Buy | 0.50% | Monthly | 09/17/2058 | 73 | – | 1 | (1) | |||||||||||||||
Credit Suisse | CMBX.NA.AAA.9 | Buy | 0.50% | Monthly | 09/17/2058 | 25 | – | – | – | |||||||||||||||
Deutsche Bank | CMBX.NA.AAA.9 | Buy | 0.50% | Monthly | 09/17/2058 | 881 | 1 | 12 | (11) | |||||||||||||||
Deutsche Bank | CMBX.NA.AAA.9 | Buy | 0.50% | Monthly | 09/17/2058 | 3,320 | 5 | 36 | (31) | |||||||||||||||
Deutsche Bank | CMBX.NA.AAA.9 | Buy | 0.50% | Monthly | 09/17/2058 | 996 | 2 | 11 | (9) | |||||||||||||||
Goldman Sachs | CMBX.NA.AAA.9 | Buy | 0.50% | Monthly | 09/17/2058 | 216 | – | 2 | (2) | |||||||||||||||
Credit Suisse | CMBX.NA.BBB-.6 | Sell | 3.00% | Monthly | 05/11/2063 | (812) | (123) | (55) | (68) | |||||||||||||||
Credit Suisse | CMBX.NA.BBB-.6 | Sell | 3.00% | Monthly | 05/11/2063 | (227) | (34) | (16) | (18) | |||||||||||||||
Goldman Sachs | CMBX.NA.BBB-.6 | Sell | 3.00% | Quarterly | 05/11/2063 | (1,324) | (196) | 2 | (198) | |||||||||||||||
Deutsche Bank | CMBX.NA.BBB-.6 | Sell | 3.00% | Monthly | 05/11/2063 | (1,093) | (166) | (80) | (86) | |||||||||||||||
Deutsche Bank | CMBX.NA.BBB-.6 | Sell | 3.00% | Monthly | 05/11/2063 | (42) | (6) | (2) | (4) | |||||||||||||||
Citibank | CMBX.NA.BBB-.6 | Sell | 3.00% | Monthly | 05/11/2063 | (254) | (38) | (35) | (3) | |||||||||||||||
Goldman Sachs | CMBX.NA.BBB-.6 | Sell | 3.00% | Monthly | 05/11/2063 | (329) | (50) | (47) | (3) | |||||||||||||||
Deutsche Bank | CMBX.NA.BBB-.6 | Sell | 3.00% | Monthly | 05/11/2063 | (113) | (17) | (14) | (3) | |||||||||||||||
Deutsche Bank | CMBX.NA.BBB-.6 | Sell | 3.00% | Monthly | 05/11/2063 | (330) | (50) | (38) | (12) | |||||||||||||||
Goldman Sachs | CMBX.NA.BBB-.6 | Sell | 3.00% | Monthly | 05/11/2063 | (222) | (34) | (25) | (9) | |||||||||||||||
Goldman Sachs | CMBX.NA.BBB-.6 | Sell | 3.00% | Monthly | 05/11/2063 | (727) | (110) | (88) | (22) | |||||||||||||||
Citibank | CMBX.NA.BBB-.6 | Sell | 3.00% | Monthly | 05/11/2063 | (240) | (36) | (34) | (2) | |||||||||||||||
Deutsche Bank | CMBX.NA.BBB-.6 | Sell | 3.00% | Monthly | 05/11/2063 | (112) | (16) | (13) | (3) | |||||||||||||||
Credit Suisse | CMBX-A-.6 | Sell | 2.00% | Monthly | 05/11/2063 | (1,305) | (77) | (31) | (46) | |||||||||||||||
Citibank | Sprint Comminications | Buy | 5.00% | Quarterly | 06/20/2019 | 793 | (63) | (17) | (46) | |||||||||||||||
Citibank | Sprint Comminications | Buy | 5.00% | Quarterly | 06/20/2019 | 692 | (55) | (15) | (40) | |||||||||||||||
|
|
| ||||||||||||||||||||||
$(1,407) | $(601) | $(806) | ||||||||||||||||||||||
|
|
|
316 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
A list of the open centrally cleared swap agreements held by the Fund at September 30, 2017 is as follows:
Interest Rate Swaps | ||||||||||||||||||||||||
Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount (Thousands) | Value ($ Thousands) | Upfront Payments/ Receipts ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||||||
1.60% | 3-MONTH USD - LIBOR | Quarterly | 10/25/2026 | USD | 6,110 | $ | 310 | $ | – | $ | 310 | |||||||||||||
1.66% | 3-MONTH USD - LIBOR | Quarterly | 11/08/2026 | USD | 1,490 | 73 | – | 73 | ||||||||||||||||
1.67% | 3-MONTH USD - LIBOR | Quarterly | 11/09/2026 | USD | 1,490 | 71 | – | 71 | ||||||||||||||||
2.293% | 3-MONTH USD - LIBOR | Quarterly | 08/04/2025 | USD | 2,717 | (22 | ) | – | (22 | ) | ||||||||||||||
1.99% | 3-MONTH USD - LIBOR | Quarterly | 04/21/2025 | USD | 2,760 | 20 | – | 20 | ||||||||||||||||
2.31% | 3-MONTH USD - LIBOR | Quarterly | 05/18/2025 | USD | 2,820 | (44 | ) | – | (44 | ) | ||||||||||||||
2.49% | 3-MONTH USD - LIBOR | Quarterly | 06/09/2025 | USD | 1,710 | (48 | ) | – | (48 | ) | ||||||||||||||
3-MONTH USD - LIBOR | 3.3105% | Semi-Annual | 05/06/2034 | USD | 1,510 | 192 | – | 192 | ||||||||||||||||
2.631% | 3-MONTH USD -LIBOR | Quarterly | 11/10/2035 | USD | 2,970 | (80 | ) | – | (80 | ) | ||||||||||||||
3-MONTH USD - LIBOR | 1.96% | Semi-Annual | 10/25/2046 | USD | 710 | (88 | ) | – | (88 | ) | ||||||||||||||
0.241% | 6-MONTH JPY - LIBOR | Semi-Annual | 08/29/2027 | JPY | 1,316,770 | 66 | – | 66 | ||||||||||||||||
2.44% | 3-MONTH USD - LIBOR | Quarterly | 04/04/2027 | USD | 10,400 | (228 | ) | – | (228 | ) | ||||||||||||||
7.09% | 28-DAY MXN - TIIE | Monthly | 06/14/2027 | MXN | 6,572 | (1 | ) | – | (1 | ) | ||||||||||||||
2.3545% | 3-MONTH USD - LIBOR | Quarterly | 07/12/2027 | USD | 2,140 | (16 | ) | – | (16 | ) | ||||||||||||||
3-MONTH USD - LIBOR | 1.28% | Semi-Annual | 10/25/2021 | USD | 1,465 | (34 | ) | – | (34 | ) | ||||||||||||||
3-MONTH NZD - BKBM | 2.94% | Semi-Annual | 03/31/2022 | NZD | 7,850 | 64 | – | 64 | ||||||||||||||||
3-MONTH SEK -STIBOR | 0.34% | Annual | 03/31/2022 | SEK | 38,480 | 6 | – | 6 | ||||||||||||||||
1.69% | 3-MONTH USD - LIBOR | Quarterly | 08/06/2020 | USD | 10,830 | 38 | – | 38 | ||||||||||||||||
3-MONTH USD - LIBOR | 1.54% | Semi-Annual | 02/27/2019 | USD | 13,065 | (16 | ) | – | (16 | ) | ||||||||||||||
1.567% | 3-MONTH USD -LIBOR | Quarterly | 04/01/2020 | USD | 5,135 | 29 | – | 29 | ||||||||||||||||
28-DAY MXN -TIIE | 6.77% | Monthly | 06/22/2020 | MXN | 18,035 | (3 | ) | – | (3 | ) | ||||||||||||||
3-MONTH USD -LIBOR | 2.63% | Semi-Annual | 05/29/2024 | USD | 1,990 | 77 | – | 77 | ||||||||||||||||
2.674% | 3-MONTH USD - LIBOR | Quarterly | 07/10/2024 | USD | 2,570 | (96 | ) | – | (96 | ) | ||||||||||||||
3-MONTH USD - LIBOR | 2.668% | Semi-Annual | 07/18/2024 | USD | 2,060 | 75 | – | 75 | ||||||||||||||||
2.63% | 3-MONTH USD -LIBOR | Quarterly | 05/23/2024 | USD | 3,980 | (155 | ) | – | (155 | ) | ||||||||||||||
2.9795% | 3-MONTH USD - LIBOR | Quarterly | 01/14/2024 | USD | 2,630 | (146 | ) | – | (146 | ) | ||||||||||||||
2.8885% | 3-MONTH USD - LIBOR | Quarterly | 02/14/2024 | USD | 2,310 | (112 | ) | – | (112 | ) | ||||||||||||||
2.817% | 3-MONTH USD - LIBOR | Quarterly | 04/28/2024 | USD | 3,520 | (185 | ) | – | (185 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||||||||
$ | (253 | ) | $ | – | $ | (253 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
A list of the open reverse repurchase agreements held by the Fund at September 30, 2017 is as follows:
Principal Amount ($ Thousands) | Counterparty | Rate | Maturity | Value ($ Thousands) | ||||||||||
$(38,511) | Chase Securities | 1.28 | % | 10/16/2017 | $ | (38,511 | ) | |||||||
(35,063) | Chase Securities | 1.28 | % | 10/19/2017 | (35,063 | ) | ||||||||
(28,879) | Chase Securities | 1.25 | % | 10/12/2017 | (28,879 | ) | ||||||||
(6,045) | Chase Securities | 1.22 | % | Open Ended | (6,045 | ) | ||||||||
(2,994) | Chase Securities | 1.12 | % | Open Ended | (2,994 | ) | ||||||||
(18,360) | Chase Securities | 1.08 | % | Open Ended | (18,360 | ) | ||||||||
(21,408) | Chase Securities | 1.08 | % | Open Ended | (21,408 | ) | ||||||||
(8,285) | Merrill Lynch | 1.35 | % | 10/10/2017 | (8,285 | ) | ||||||||
|
| |||||||||||||
$(159,545) | ||||||||||||||
|
|
Percentages are based on Net Assets of $889,697 ($ Thousands).
* | Non-income producing security. |
** | Security, or a portion thereof, is held by the Inflation Commodity Strategy Subsidiary, Ltd. as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
(A) | Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase. |
(B) | Security, or a portion thereof, has been pledged as collateral on open swap agreements. |
(C) | Security, or a portion thereof, has been pledged as collateral on securities sold short. |
(D) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2017, the value of these securities amounted to $55,373 ($ Thousands), representing 6.2% of the Net Assets of the Fund. |
(E) | Security is in default on interest payment. |
(F) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
(G) | Rate is negative due to the decrease in value of the foreign currency against the U.S. Dollar. |
(H) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 317 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Inflation Managed Fund (Concluded)
AUD — Australian Dollar
BKBM — Bank Bill Reference Rate
BRL — Brazilian Real
CAD — Canadian Dollar
Cl — Class
CMO — Collateralized Mortgage Obligation
CPI — Consumer Price Index
EAFE — Europe, Australasia and Far East
EUR — Euro
EURIBOR — Euro Interbank Offered Rate
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GBP — British Pound Sterling
GNMA — Government National Mortgage Association
HRW — Hard Red Winter
ICE — Intercontinental Exchange
IO — Interest Only
JPY — Japanese Yen
KRW — Korean Won
LIBOR — London Interbank Offered Rate
LME — London Metal Exchange
MSCI — Morgan Stanley Capital International
MTN — Medium Term Note
MXN — Mexican Peso
MYR — Malaysian Ringgit
NOK — Norwegian Krone
NZD — New Zealand Dollar
OTC — Over-the-Counter
PLC — Public Limited Company
RUB — Russian Ruble
S&P— Standard & Poor’s
SEK — Swedish Krona
Ser — Series
STIBOR — Stockholm Interbank Offered Rate
TIIE — Interbank Equilibrium Interest Rate
TRY — New Turkish Lira
TWD — Taiwanese Dollar
ULSD — Ultra-Low-Sulfur Diesel
USD — United States Dollar
VAR — Variable Rate
WTI — West Texas Intermediate
ZAR — South African Rand
The following is a list of the level of inputs used as of September 30, 2017, 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 | $ | – | $ | 598,870 | $ | – | $ | 598,870 | ||||||||
Common Stock | 256,341 | – | – | 256,341 | ||||||||||||
Corporate Obligations | – | 69,949 | – | 69,949 | ||||||||||||
Mortgage-Backed Securities | – | 49,271 | – | 49,271 | ||||||||||||
Asset-Backed Securities | – | 23,939 | – | 23,939 | ||||||||||||
Sovereign Debt | – | 16,309 | – | 16,309 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities | $ | 256,341 | $ | 758,338 | $ | – | $ | 1,014,679 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Securities Sold Short | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Common Stock | $ | (116,203 | ) | $ | – | $ | – | $ | (116,203 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Securities Sold Short | $ | (116,203 | ) | $ | – | $ | – | $ | (116,203 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 5,281 | $ | — | $ | — | $ | 5,281 | ||||||||
Unrealized Depreciation | (4,732 | ) | — | — | (4,732 | ) | ||||||||||
Forwards Contracts * | ||||||||||||||||
Unrealized Appreciation | — | 241 | — | 241 | ||||||||||||
Unrealized Depreciation | — | (225 | ) | — | (225 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Interest Rate Swap * | ||||||||||||||||
Unrealized Depreciation | — | (35 | ) | — | (35 | ) | ||||||||||
Credit Default Swaps * | ||||||||||||||||
Unrealized Depreciation | — | (806 | ) | — | (806 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Interest Rate Swaps * | ||||||||||||||||
Unrealized Appreciation | — | 1,021 | — | 1,021 | ||||||||||||
Unrealized Depreciation | — | (1,274 | ) | — | (1,274 | ) | ||||||||||
Reverse Repurchase | ||||||||||||||||
Agreements | — | (159,545 | ) | — | (159,545 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Other Financial Instruments | $ | 549 | $ | (160,623 | ) | $ | — | $ | (160,074 | ) | ||||||
|
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|
|
|
|
|
|
|
|
|
|
* Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 $0.
The accompanying notes are an integral part of the financial statements.
318 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Capital Stability Fund
†Percentages are based on total investments.
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||
U.S. TREASURY OBLIGATIONS — 50.7% |
| |||||||||
U.S. Treasury Bills | ||||||||||
1.033%, 11/09/2017 (A) | $ 73,350 | $ 73,276 | ||||||||
1.013%, 11/16/2017 (A) | 73,670 | 73,581 | ||||||||
0.993%, 11/24/2017 (A) | 73,827 | 73,719 | ||||||||
U.S. Treasury Inflation Protected Securities |
| |||||||||
3.875%, 04/15/2029 | 2,801 | 3,810 | ||||||||
3.625%, 04/15/2028 | 1,841 | 2,410 | ||||||||
3.375%, 04/15/2032 | 682 | 940 | ||||||||
2.500%, 01/15/2029 | 2,869 | 3,463 | ||||||||
2.375%, 01/15/2025 | 4,201 | 4,799 | ||||||||
2.375%, 01/15/2027 | 2,545 | 2,976 | ||||||||
2.125%, 01/15/2019 | 2,402 | 2,477 | ||||||||
2.125%, 02/15/2040 | 1,420 | 1,787 | ||||||||
2.125%, 02/15/2041 | 1,433 | 1,813 | ||||||||
2.000%, 01/15/2026 | 3,086 | 3,471 | ||||||||
1.875%, 07/15/2019 | 2,715 | 2,828 | ||||||||
1.750%, 01/15/2028 | 2,524 | 2,825 | ||||||||
1.375%, 01/15/2020 | 1,349 | 1,397 | ||||||||
1.375%, 02/15/2044 | 3,371 | 3,719 | ||||||||
1.250%, 07/15/2020 | 3,437 | 3,582 | ||||||||
1.125%, 01/15/2021 | 5,206 | 5,413 | ||||||||
1.000%, 02/15/2046 | 2,356 | 2,390 | ||||||||
0.875%, 02/15/2047 | 1,741 | 1,715 | ||||||||
0.750%, 02/15/2042 | 2,634 | 2,544 | ||||||||
0.750%, 02/15/2045 | 3,195 | 3,048 | ||||||||
0.625%, 07/15/2021 | 3,697 | 3,800 | ||||||||
0.625%, 01/15/2024 | 4,999 | 5,104 | ||||||||
0.625%, 01/15/2026 | 6,360 | 6,446 | ||||||||
0.625%, 02/15/2043 | 2,097 | 1,959 | ||||||||
0.375%, 07/15/2023 | 7,001 | 7,092 | ||||||||
0.375%, 07/15/2025 | 5,122 | 5,123 | ||||||||
0.375%, 01/15/2027 | 4,849 | 4,790 | ||||||||
0.375%, 07/15/2027 | 3,119 | 3,089 | ||||||||
0.250%, 01/15/2025 | 4,400 | 4,356 | ||||||||
0.125%, 04/15/2019 | 7,307 | 7,335 | ||||||||
0.125%, 04/15/2020 | 7,436 | 7,473 | ||||||||
0.125%, 04/15/2021 | 7,506 | 7,529 | ||||||||
0.125%, 01/15/2022 | 7,787 | 7,811 | ||||||||
0.125%, 04/15/2022 | 4,539 | 4,539 | ||||||||
0.125%, 07/15/2022 | 5,596 | 5,622 | ||||||||
0.125%, 01/15/2023 | 7,004 | 6,987 | ||||||||
0.125%, 07/15/2024 | 6,507 | 6,441 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS (continued) |
| |||||||
0.125%, 07/15/2026 | $ | 4,473 | $ | 4,350 | ||||
|
| |||||||
Total U.S. Treasury Obligations |
| 377,829 | ||||||
|
| |||||||
SOVEREIGN DEBT — 21.4% |
| |||||||
Japan Treasury Discount Bill | ||||||||
-0.201%, 12/11/2017 (A)(B) | JPY 14,324,000 | 127,283 | ||||||
Japanese Government CPI Linked Bond | ||||||||
0.100%, 03/10/2026 | 3,468,022 | 32,031 | ||||||
|
| |||||||
Total Sovereign Debt |
| 159,314 | ||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATION — 2.8% |
| |||||||
FHLMC | ||||||||
1.375%, 05/01/2020 | $ | 20,969 | 20,855 | |||||
|
| |||||||
Total U.S. Government Agency Obligation |
| 20,855 | ||||||
|
| |||||||
Total Investments in Securities— 74.9% |
| $ | 557,998 | |||||
|
| |||||||
Contracts | ||||||||
PURCHASED OPTIONS* — 0.0% |
| |||||||
Total Purchased Options (C) | 2,364,395 | $ | 227 | |||||
|
| |||||||
WRITTEN OPTIONS* — 0.0% |
| |||||||
Total Written Options (C) (Premiums Received $471) ($ Thousands) | (10,464,395 | ) | $ | (192) | ||||
|
|
SEI Institutional Management Trust / Annual Report / September 30, 2017 | 319 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Capital Stability Fund (Continued)
A list of the open exchange traded options contracts held by the Fund at September 30, 2017, is as follows:
Description | Number of Contracts | Notional Amount ($ Thousands) | Exercise Price | Expiration Date | Value ($ Thousands) | |||||||||||||||
PURCHASED OPTION — 0.0% |
| |||||||||||||||||||
Call Options |
| |||||||||||||||||||
SPDR S&P 500 ETF Trust* | 1,195 | $ 73 | $253.00 | 10/21/17 | $ 99 | |||||||||||||||
|
|
|
| |||||||||||||||||
WRITTEN OPTION — 0.0% |
| |||||||||||||||||||
Put Options |
| |||||||||||||||||||
SPDR S&P 500 ETF Trust* | (1,195) | $ (71) | 237.00 | 10/21/17 | $ (21) | |||||||||||||||
|
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|
|
A list of the open OTC options contracts held by the Fund at September 30, 2017, is as follows:
Description | Counterparty | Number of Contracts | Notional Amount ($ Thousands) | Exercise Price | Expiration Date | Value ($ Thousands) | ||||||||||||||||
| ||||||||||||||||||||||
PURCHASED OPTIONS — 0.0% |
| |||||||||||||||||||||
Put Options |
| |||||||||||||||||||||
August 2018, MXN Call, USD Put* | Credit Suisse First Boston | 1,800,000 | $ | 30 |
|
| $17.50 |
|
| 08/18/18 |
| $ | 21 |
| ||||||||
|
|
|
| |||||||||||||||||||
Call Options |
| |||||||||||||||||||||
iShares MSCI Emerging Markets ETF* | Deutsche Bank | 563,200 | 226 | 47.00 | 11/18/17 | 107 | ||||||||||||||||
|
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|
| |||||||||||||||||||
Total Purchased Option |
| $ | 256 | $ | 128 | |||||||||||||||||
|
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| |||||||||||||||||||
WRITTEN OPTIONS — 0.0% |
| |||||||||||||||||||||
Put Options |
| |||||||||||||||||||||
iShares MSCI Emerging Markets ETF* | Deutsche Bank | (563,200) | $ | (231) | 41.50 | 11/18/17 | $ | (130) | ||||||||||||||
October 2017, RUB Put, USD Call* | Citigroup | (3,500,000) | (108) | 77.62 | 10/21/17 | – | ||||||||||||||||
|
|
|
| |||||||||||||||||||
(339) | (130) | |||||||||||||||||||||
|
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|
| |||||||||||||||||||
Call Options |
| |||||||||||||||||||||
August 2018, USD Call, MXN Put* | Credit Suisse First Boston | (1,800,000) | (35) | 22.00 | 08/18/18 | (24) | ||||||||||||||||
November 2017, MXN Put, CAD Call* | Goldman Sachs | (4,600,000) | (26) | 15.00 | 11/18/17 | (17) | ||||||||||||||||
|
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| |||||||||||||||||||
(61) | (41) | |||||||||||||||||||||
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| |||||||||||||||||||
Total Written Option |
| $ | (400) | $ | (171) | |||||||||||||||||
|
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|
|
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
| ||||||||||||||||||
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
| ||||||||||||||||||
Canadian 10-Year Bond | 186 | Dec-2017 | $20,396 | $20,122 | $(342) | |||||||||||||
Japanese 10-Year Bond | (17) | Dec-2017 | (23,681) | (22,706) | 108 | |||||||||||||
Long Gilt 10-Year Bond | 80 | Dec-2017 | 13,010 | 13,296 | (307) | |||||||||||||
MSCI EAFE Index E-MINI | 500 | Dec-2017 | $49,290 | $49,460 | $170 | |||||||||||||
S&P 500 Index E-MINI | 478 | Dec-2017 | 58,909 | 60,135 | 1,226 | |||||||||||||
S&P TSX 60 Index | 36 | Dec-2017 | 5,202 | 5,289 | 242 | |||||||||||||
U.S. 10-Year Treasury Note | 364 | Dec-2017 | 46,100 | 45,614 | (486) | |||||||||||||
U.S. 5-Year Treasury Note | 217 | Dec-2017 | 25,664 | 25,498 | (166) | |||||||||||||
|
| |||||||||||||||||
$194,890 | $196,708 | $445 | ||||||||||||||||
|
|
320 | SEI Institutional Management Trust / Annual Report / September 30, 2017 |
A list of the open forward foreign currency contracts held by the Fund at September 30, 2017, is as follows:
| ||||||||||||||||||||||||||||||||
Counterparty | Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
ANZ | 11/15/17 | USD | 736 | AUD | 928 | $ | (8) | |||||||||||||||||||||||||
ANZ | 11/15/17 | USD | 1,120 | JPY | 124,272 | (13) | ||||||||||||||||||||||||||
ANZ | 11/15/17 | JPY | 123,872 | NZD | 1,530 | 2 | ||||||||||||||||||||||||||
ANZ | 12/13/17 - 12/18/17 | CNH | 67,043 | USD | 10,189 | 152 | ||||||||||||||||||||||||||
ANZ | 01/16/18 | AUD | 1,432 | JPY | 125,340 | (2) | ||||||||||||||||||||||||||
Bank of America | 10/17/17 - 11/15/17 | USD | 4,382 | RUB | 265,820 | 200 | ||||||||||||||||||||||||||
Bank of America | 11/22/17 | USD | 738 | RUB | 42,873 | — | ||||||||||||||||||||||||||
Bank of America | 10/26/17 | KRW | 852,420 | USD | 744 | (1) | ||||||||||||||||||||||||||
Bank of America | 11/03/17 | USD | 3,140 | BRL | 10,024 | 15 | ||||||||||||||||||||||||||
Bank of America | 11/15/17 | CAD | 1,389 | USD | 1,108 | (3) | ||||||||||||||||||||||||||
Bank of America | 11/15/17 | USD | 1,458 | TRY | 5,165 | (25) | ||||||||||||||||||||||||||
Bank of America | 11/15/17 | CHF | 1,785 | USD | 1,854 | 3 | ||||||||||||||||||||||||||
Bank of America | 11/15/17 | USD | 1,826 | INR | 117,412 | (40) | ||||||||||||||||||||||||||
Bank of America | 12/18/17 | USD | 1,543 | PLN | 5,494 | (35) | ||||||||||||||||||||||||||
Bank of America | 12/18/17 | NOK | 5,747 | USD | 744 | 20 | ||||||||||||||||||||||||||
Bank of America | 12/22/17 | JPY | 14,331,291 | USD | 133,161 | 5,274 | ||||||||||||||||||||||||||
Bank of America | 01/16/18 | USD | 1,123 | SEK | 9,078 | (3) | ||||||||||||||||||||||||||
Bank of America | 01/16/18 | USD | 1,827 | MXN | 33,280 | (26) | ||||||||||||||||||||||||||
Bank of America | 01/16/18 | AUD | 2,343 | USD | 1,857 | 21 | ||||||||||||||||||||||||||
Barclays PLC | 10/18/17 - 12/20/17 | USD | 7,436 | TWD | 223,574 | (47) | ||||||||||||||||||||||||||
Barclays PLC | 10/18/17 - 11/15/17 | TWD | 77,799 | USD | 2,574 | 7 | ||||||||||||||||||||||||||
Barclays PLC | 11/03/17 - 12/20/17 | TWD | 134,789 | USD | 4,450 | (6) | ||||||||||||||||||||||||||
Barclays PLC | 10/26/17 | USD | 2,705 | MYR | 11,618 | 48 | ||||||||||||||||||||||||||
Barclays PLC | 10/26/17 | MYR | 7,911 | USD | 1,840 | (35) | ||||||||||||||||||||||||||
Barclays PLC | 11/15/17 | USD | 732 | ZAR | 9,934 | (2) | ||||||||||||||||||||||||||
Barclays PLC | 11/15/17 | USD | 738 | SEK | 5,953 | (6) | ||||||||||||||||||||||||||
Barclays PLC | 11/15/17 | GBP | 832 | USD | 1,119 | 1 | ||||||||||||||||||||||||||
Barclays PLC | 11/15/17 | CHF | 1,055 | SEK | 8,807 | (12) | ||||||||||||||||||||||||||
Barclays PLC | 11/15/17 | USD | 1,075 | TRY | 3,894 | 5 | ||||||||||||||||||||||||||
Barclays PLC | 11/15/17 | USD | 1,121 | CZK | 24,350 | (10) | ||||||||||||||||||||||||||
Barclays PLC | 11/15/17 | NZD | 1,530 | JPY | 120,478 | (32) | ||||||||||||||||||||||||||
Barclays PLC | 12/18/17 | CAD | 691 | USD | 566 | 13 | ||||||||||||||||||||||||||
Barclays PLC | 11/15/17 | CAD | 1,385 | USD | 1,104 | (4) | ||||||||||||||||||||||||||
Barclays PLC | 11/15/17 | USD | 2,625 | JPY | 285,445 | (84) | ||||||||||||||||||||||||||
Barclays PLC | 11/15/17 | CHF | 4,262 | USD | 4,445 | 25 | ||||||||||||||||||||||||||
Barclays PLC | 11/15/17 - 12/14/17 | USD | 9,542 | INR | 614,853 | (198) | ||||||||||||||||||||||||||
Barclays PLC | 11/15/17 | USD | 3,688 | CAD | 4,651 | 32 | ||||||||||||||||||||||||||
Barclays PLC | 11/15/17 - 12/18/17 | USD | 7,598 | CAD | 9,376 | (97) | ||||||||||||||||||||||||||
Barclays PLC | 11/15/17 | SEK | 11,787 | GBP | 1,141 | 85 | ||||||||||||||||||||||||||
Barclays PLC | 11/15/17 | SEK | 35,957 | USD | 4,444 | 26 | ||||||||||||||||||||||||||
Barclays PLC | 11/15/17 | RUB | 65,213 | USD | 1,112 | (11) | ||||||||||||||||||||||||||
Barclays PLC | 11/15/17 - 12/14/17 | INR | 950,531 | USD | 14,620 | 170 | ||||||||||||||||||||||||||
Barclays PLC | 11/15/17 - 01/16/18 | JPY | 4,261,781 | USD | 39,222 | 1,206 | ||||||||||||||||||||||||||
Barclays PLC | 12/13/17 | USD | 753 | CNH | 4,976 | (8) | ||||||||||||||||||||||||||
Barclays PLC | 12/13/17 - 12/15/17 | CNH | 36,453 | USD | 5,540 | | 81 | | ||||||||||||||||||||||||
BNP Paribas | 11/15/17 | USD | 743 | HUF | 191,425 | (13) | ||||||||||||||||||||||||||
BNP Paribas | 11/15/17 | USD | 1,812 | MXN | 32,986 | (9) | ||||||||||||||||||||||||||
BNP Paribas | 11/15/17 - 01/16/18 | CAD | 4,933 | USD | 3,965 | 18 |
SEI Institutional Management Trust / Annual Report / September 30, 2017 | 321 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Capital Stability Fund (Continued)
Counterparty | Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized ($ Thousands) | ||||||||||||||||||||||||||||||
BNP Paribas | 11/15/17 | MXN | 40,034 | USD | 2,227 | $ 39 | ||||||||||||||||||||||||||||
BNP Paribas | 12/18/17 | USD | 1,807 | CZK | 39,194 | (12) | ||||||||||||||||||||||||||||
BNP Paribas | 01/16/18 | NZD | 1,525 | USD | 1,106 | 6 | ||||||||||||||||||||||||||||
Brown Brothers Harriman | 11/15/17 - 12/18/17 | USD | 417 | NZD | 571 | (5) | ||||||||||||||||||||||||||||
Brown Brothers Harriman | 11/15/17 | NZD | 492 | USD | 365 | 10 | ||||||||||||||||||||||||||||
Brown Brothers Harriman | 12/18/17 | NZD | 79 | USD | 57 | — | ||||||||||||||||||||||||||||
Brown Brothers Harriman | 11/15/17 - 12/18/17 | USD | 690 | GBP | 522 | 12 | ||||||||||||||||||||||||||||
Brown Brothers Harriman | 12/18/17 | SGD | 84 | USD | 62 | — | ||||||||||||||||||||||||||||
Brown Brothers Harriman | 12/18/17 | GBP | 261 | USD | 342 | (9) | ||||||||||||||||||||||||||||
Brown Brothers Harriman | 12/18/17 | USD | 282 | HUF | 72,044 | (6) | ||||||||||||||||||||||||||||
Brown Brothers Harriman | 12/18/17 | USD | 396 | CAD | 497 | 2 | ||||||||||||||||||||||||||||
Brown Brothers Harriman | 12/18/17 | USD | 5,605 | SEK | 44,420 | (135) | ||||||||||||||||||||||||||||
Citigroup | 10/17/17 | USD | 1,736 | ARS | 30,981 | 31 | ||||||||||||||||||||||||||||
Citigroup | 10/17/17 | ARS | 30,981 | USD | 1,684 | (83) | ||||||||||||||||||||||||||||
Citigroup | 11/15/17 | EUR | 619 | AUD | 926 | (8) | ||||||||||||||||||||||||||||
Citigroup | 11/15/17 | USD | 734 | RUB | 44,981 | 41 | ||||||||||||||||||||||||||||
Citigroup | 11/15/17 | USD | 737 | HUF | 191,049 | (8) | ||||||||||||||||||||||||||||
Citigroup | 11/15/17 | USD | 737 | SEK | 5,945 | (7) | ||||||||||||||||||||||||||||
Citigroup | 11/15/17 | AUD | 930 | JPY | 80,116 | (16) | ||||||||||||||||||||||||||||
Citigroup | 11/15/17 | USD | 1,116 | EUR | 940 | (2) | ||||||||||||||||||||||||||||
Citigroup | 11/15/17 | EUR | 1,552 | USD | 1,852 | 12 | ||||||||||||||||||||||||||||
Citigroup | 01/16/18 | USD | 1,117 | AUD | 1,426 | — | ||||||||||||||||||||||||||||
Citigroup | 11/15/17 | USD | 737 | AUD | 935 | (4) | ||||||||||||||||||||||||||||
Citigroup | 11/15/17 - 01/16/18 | USD | 2,506 | TRY | 9,138 | 16 | ||||||||||||||||||||||||||||
Citigroup | 11/15/17 | TRY | 2,635 | USD | 743 | 12 | ||||||||||||||||||||||||||||
Citigroup | 11/15/17 | USD | 3,077 | CHF | 2,944 | (24) | ||||||||||||||||||||||||||||
Citigroup | 11/15/17 | CAD | 4,637 | USD | 3,691 | (18) | ||||||||||||||||||||||||||||
Citigroup | 11/15/17 | SEK | 5,875 | GBP | 563 | 34 | ||||||||||||||||||||||||||||
Citigroup | 11/15/17 | SEK | 7,833 | USD | 960 | (3) | ||||||||||||||||||||||||||||
Citigroup | 11/15/17 | ZAR | 9,934 | USD | 738 | 8 | ||||||||||||||||||||||||||||
Citigroup | 11/15/17 | RUB | 29,860 | USD | 497 | (17) | ||||||||||||||||||||||||||||
Citigroup | 12/15/17 | USD | 1,854 | CNH | 12,226 | (23) | ||||||||||||||||||||||||||||
Citigroup | 12/18/17 | USD | 4,049 | NOK | 31,441 | (90) | ||||||||||||||||||||||||||||
Citigroup | 12/18/17 | USD | 6,682 | CNY | 43,915 | (106) | ||||||||||||||||||||||||||||
Citigroup | 12/18/17 | KRW | 454,832 | USD | 401 | 3 | ||||||||||||||||||||||||||||
Citigroup | 01/16/18 | USD | 1,128 | CZK | 24,728 | 8 | ||||||||||||||||||||||||||||
Citigroup | 01/16/18 | CNH | 12,363 | USD | 1,846 | (1) | ||||||||||||||||||||||||||||
Credit Suisse First Boston | 11/15/17 | CAD | 935 | USD | 734 | (14) | ||||||||||||||||||||||||||||
Credit Suisse First Boston | 12/04/17 | USD | 913 | BRL | 2,922 | 3 | ||||||||||||||||||||||||||||
Deutsche Bank | 11/15/17 | USD | 1,108 | SEK | 8,968 | (6) | ||||||||||||||||||||||||||||
Deutsche Bank | 11/15/17 | USD | 1,874 | HUF | 483,593 | (28) | ||||||||||||||||||||||||||||
Deutsche Bank | 11/15/17 - 12/20/17 | TWD | 56,123 | USD | 1,861 | 7 | ||||||||||||||||||||||||||||
Goldman Sachs | 10/03/17 | USD | 2,028 | BRL | 6,467 | 16 | ||||||||||||||||||||||||||||
Goldman Sachs | 10/03/17 | BRL | 2,307 | USD | 726 | (3) | ||||||||||||||||||||||||||||
Goldman Sachs | 11/15/17 | EUR | 621 | NOK | 5,808 | (5) | ||||||||||||||||||||||||||||
Goldman Sachs | 11/15/17 | NOK | 8,641 | EUR | 928 | 13 | ||||||||||||||||||||||||||||
Goldman Sachs | 11/15/17 - 01/16/18 | MXN | 20,458 | USD | 1,112 | — | ||||||||||||||||||||||||||||
Goldman Sachs | 11/15/17 | JPY | 204,382 | USD | 1,858 | 39 | ||||||||||||||||||||||||||||
Goldman Sachs | 12/18/17 | USD | 2,084 | EUR | 1,737 | (21) | ||||||||||||||||||||||||||||
Goldman Sachs | 12/18/17 | NZD | 3,281 | USD | 2,361 | (7) |
322 | SEI Institutional Management Trust / Annual Report / September 30, 2017 |
| ||||||||||||||||||||
Counterparty | Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized ($ Thousands) | ||||||||||||||||
JPMorgan Chase Bank |
|
11/15/17 |
|
USD |
|
1,111 |
|
CAD |
|
1,383 |
|
| $ (5)
|
| ||||||
JPMorgan Chase Bank | 11/15/17 | GBP | 1,965 | USD | 2,572 | (68) | ||||||||||||||
JPMorgan Chase Bank | 11/15/17 | AUD | 2,335 | USD | 1,839 | 8 | ||||||||||||||
JPMorgan Chase Bank | 11/15/17 | USD | 3,705 | JPY | 404,318 | (105) | ||||||||||||||
JPMorgan Chase Bank | 01/16/18 | USD | 2,917 | MXN | 54,060 | 10 | ||||||||||||||
JPMorgan Chase Bank | 11/15/17 | USD | 962 | MXN | 17,442 | (9) | ||||||||||||||
JPMorgan Chase Bank | 11/15/17 | TRY | 3,959 | USD | 1,087 | (11) | ||||||||||||||
JPMorgan Chase Bank | 11/15/17 | JPY | 81,572 | USD | 744 | 18 | ||||||||||||||
Montgomery/Bank of America | 10/17/17 | RUB | 59,158 | USD | 868 | (157) | ||||||||||||||
Morgan Stanley | 11/15/17 | USD | 1,108 | CNH | 7,307 | (12) | ||||||||||||||
Morgan Stanley | 11/15/17 | USD | 1,105 | SEK | 9,071 | 9 | ||||||||||||||
Morgan Stanley | 11/15/17 | USD | 1,849 | SEK | 14,865 | (23) | ||||||||||||||
Morgan Stanley | 12/27/17 | CNH | 12,252 | USD | 1,854 | 20 | ||||||||||||||
Nomura Securities International | 11/15/17 | JPY | 121,909 | USD | 1,109 | 24 | ||||||||||||||
RBS | 11/15/17 | EUR | 622 | USD | 738 | 1 | ||||||||||||||
RBS | 11/15/17 | USD | 1,477 | CAD | 1,830 | (13) | ||||||||||||||
RBS | 11/15/17 | USD | 5,117 | INR | 328,944 | (113) | ||||||||||||||
RBS | 11/15/17 | INR | 110,678 | USD | 1,711 | 28 | ||||||||||||||
RBS | 11/15/17 | HUF | 486,744 | USD | 1,846 | (11) | ||||||||||||||
RBS | 11/15/17 | KRW | 2,899,048 | USD | 2,577 | 42 | ||||||||||||||
RBS | 12/18/17 | SEK | 9,061 | USD | 1,119 | 3 | ||||||||||||||
RBS | 01/16/18 | USD | 1,115 | NZD | 1,525 | (15) | ||||||||||||||
RBS | 01/16/18 | NZD | 2,074 | USD | 1,492 | (4) | ||||||||||||||
Standard Chartered | 11/15/17 | USD | 740 | TRY | 2,586 | (23) | ||||||||||||||
Standard Chartered | 11/15/17 | USD | 1,178 | SEK | 9,590 | – | ||||||||||||||
Standard Chartered | 11/15/17 | CNH | 7,307 | USD | 1,108 | 12 | ||||||||||||||
Standard Chartered | 11/15/17 | SEK | 5,996 | USD | 756 | 20 | ||||||||||||||
Standard Chartered | 11/15/17 | SEK | 5,995 | USD | 733 | (4) | ||||||||||||||
Standard Chartered | 11/15/17 | JPY | 243,678 | USD | 2,199 | 29 | ||||||||||||||
Standard Chartered | 01/16/18 | USD | 747 | GBP | 549 | (8) | ||||||||||||||
UBS | 11/15/17 | USD | 1,120 | JPY | 125,532 | (2) | ||||||||||||||
UBS | 11/15/17 | CHF | 1,061 | USD | 1,105 | 5 | ||||||||||||||
UBS | 01/16/18 | CHF | 1,085 | USD | 1,121 | (10) | ||||||||||||||
UBS | 11/15/17 - 01/16/18 | USD | 3,728 | GBP | 2,761 | (15) | ||||||||||||||
UBS | 11/15/17 | JPY | 160,005 | USD | 1,469 | 44 | ||||||||||||||
|
| |||||||||||||||||||
$ 5,990 | ||||||||||||||||||||
|
|
A list of the open centrally cleared swap agreements held by the Fund at September 30, 2017 is as follows:
Credit Default Swaps | ||||||||||||||||||||||||
Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Payment Frequency | Termination Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Upfront Payments/ ($ Thousands) | Net Unrealized ($ Thousands) | ||||||||||||||||
CDX.NA.IG.27 | Sell | 1.00% | Quarterly | 12/20/2021 | (3,590) | $ 80 | $ 60 | $ 20 | ||||||||||||||||
CDX.NA.IG.27 | Sell | 5.00% | Quarterly | 12/20/2021 | (5,257) | 408 | 374 | 34 | ||||||||||||||||
CDX.NA.IG.28 | Sell | 1.00% | Quarterly | 06/20/2022 | (8,700) | 183 | 150 | 33 | ||||||||||||||||
CDX.NA.IG.28 | Sell | 5.00% | Quarterly | 06/20/2022 | (6,820) | 524 | 505 | 19 | ||||||||||||||||
Itraxx.EUR.Xover.26 | Sell | 5.00% | Quarterly | 12/20/2021 | (710) | 145 | 67 | 78 | ||||||||||||||||
Itraxx.EUR.Xover.27 | Sell | 5.00% | Quarterly | 06/20/2022 | (1,740) | 258 | 198 | 60 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ 1,598 | $ 1,354 | $ 244 | ||||||||||||||||||||||
|
|
|
|
|
|
SEI Institutional Management Trust / Annual Report / September 30, 2017 | 323 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Multi-Asset Capital Stability Fund (Concluded)
Interest Rate Swaps | ||||||||||||||||||||||||||
Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount (Thousands) | Value ($ Thousands) | Upfront Payments/ Receipts ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||||||||
6-MONTH AUD - BBSW | 2.81% | Semi-Annual | 08/23/2027 | AUD | 5,370 | $ | (63) | $ | – | $ | (63) | |||||||||||||||
3-MONTH NZD - BKBM | 3.28% | Semi-Annual | 08/04/2027 | NZD | 4,400 | 9 | – | 9 | ||||||||||||||||||
3-MONTH NZD - BKBM | 3.14% | Semi-Annual | 08/24/2027 | NZD | 6,020 | (38) | – | (38) | ||||||||||||||||||
3-MONTH NZD - BKBM | 3.13% | Semi-Annual | 09/04/2027 | NZD | 5,540 | (40) | – | (40) | ||||||||||||||||||
6-MONTH AUD - BBSW | 2.83% | Semi-Annual | 09/01/2027 | AUD | 4,770 | (52) | – | (52) | ||||||||||||||||||
3-MONTH NZD - BKBM | 3.24% | Semi-Annual | 05/25/2027 | NZD | 3,970 | 3 | – | 3 | ||||||||||||||||||
6-MONTH AUD - BBSW | 2.72% | Semi-Annual | 05/24/2027 | AUD | 3,880 | (65) | – | (65) | ||||||||||||||||||
6-MONTH AUD - BBSW | 2.91% | Semi-Annual | 07/20/2027 | AUD | 3,860 | (17) | – | (17) | ||||||||||||||||||
6-MONTH AUD - BBSW | 2.87% | Semi-Annual | 08/03/2027 | AUD | 4,200 | (32) | – | (32) | ||||||||||||||||||
3-MONTH NZD - BKBM | 3.31% | Semi-Annual | 07/21/2027 | NZD | 4,560 | 18 | – | 18 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (277) | $ | – | $ | (277) | |||||||||||||||||||||
|
|
|
|
|
|
Percentages are based on Net Assets of $744,593 ($ Thousands).
* | Non-income producing security. |
(A) | Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase. |
(B) | Rate is negative due to the decrease in value of the foreign currency against the U.S. Dollar. |
(C) | Refer to table below for details on Options Contracts. |
ARS – Argentine Peso
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
CHF – Swiss Franc
CNH – Chinese Yuan Offshore
CNY – Chinese Yuan Onshore
CPI – Consumer Price Index
CZK – Czech Koruna
EAFE – Europe, Australasia and Far East
ETF – Exchange Traded Fund
EUR – Euro
FHLMC – Federal Home Loan Mortgage Corporation
GBP – British Pound Sterling
HUF – Hungarian Forint
INR – Indian Rupee
JPY – Japanese Yen
KRW – Korean Won
MSCI – Morgan Stanley Capital International
MXN – Mexican Peso
MYR – Malaysian Ringgit
NOK – Norwegian Krone
NZD – New Zealand Dollar
PLN – Polish Zloty
RUB – Russian Ruble
S&P– Standard & Poor’s
SGD – Singapore Dollar
SEK – Swedish Krona
SPDR – S&P Depository Receipts
TRY – Turkish Lira
TSX – Toronto Stock Exchange
TWD – Taiwan Dollar
USD – United States Dollar
ZAR – South African Rand
The following is a list of the level of inputs used as of September 30, 2017, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
| ||||||||||||||||
Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| ||||||||||||||||
U.S. Treasury Obligations | $ | – | $ | 377,829 | $ | – | $ | 377,829 | ||||||||
Sovereign Debt | – | 159,314 | – | 159,314 | ||||||||||||
U.S. Government Agency Obligation | – | 20,855 | – | 20,855 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | – | $ | 557,998 | $ | – | $ | 557,998 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| ||||||||||||||||
Other Financial | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| ||||||||||||||||
Purchased Options | $ | 227 | $ | — | $ | — | $ | 227 | ||||||||
Written Options | (192) | — | — | (192) | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | 1,746 | — | — | 1,746 | ||||||||||||
Unrealized Depreciation | (1,301) | — | — | (1,301) | ||||||||||||
Forwards Contracts * | ||||||||||||||||
Unrealized Appreciation | — | 7,989 | — | 7,989 | ||||||||||||
Unrealized Depreciation | — | (1,999) | — | (1,999) | ||||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Credit Default Swaps * | ||||||||||||||||
Unrealized Appreciation | — | 244 | — | 244 | ||||||||||||
Interest Rate Swaps * | ||||||||||||||||
Unrealized Appreciation | — | 30 | — | 30 | ||||||||||||
Unrealized Depreciation | — | (307) | — | (307) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 480 | $ | 5,957 | $ | — | $ | 6,437 | ||||||||
|
|
|
|
|
|
|
|
* Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 $0.
The accompanying notes are an integral part of the financial statements.
324 | SEI Institutional Management Trust / Annual Report / September 30, 2017 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Long/Short Alternative Fund
†Percentages are based on total investments.
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
COMMERCIAL PAPER (A) — 74.0% |
| |||||||
Banks — 29.3% |
| |||||||
Australia & New Zealand Banking Group |
| |||||||
1.171%, 10/26/2017 (B) | $ | 1,000 | $ | 999 | ||||
Bank of Montreal | ||||||||
1.212%, 10/12/2017 | 1,300 | 1,299 | ||||||
Canadian Imperial Holdings | ||||||||
1.220%, 10/02/2017 | 1,200 | 1,200 | ||||||
Commonwealth Bank of Australia | ||||||||
1.181%, 10/18/2017 (B) | 1,300 | 1,299 | ||||||
Nordea Bank | ||||||||
1.202%, 11/03/2017 (B) | 1,000 | 999 | ||||||
1.201%, 10/03/2017 (B) | 500 | 500 | ||||||
Skandinaviska Enskilda Banken | ||||||||
1.151%, 11/01/2017 (B) | 1,200 | 1,199 | ||||||
Svenska Handelsbanken | ||||||||
1.212%, 11/06/2017 (B) | 1,300 | 1,298 | ||||||
Toronto-Dominion Holdings USA | ||||||||
1.222%, 10/05/2017 (B) | 1,300 | 1,300 | ||||||
|
| |||||||
|
10,093 |
| ||||||
|
| |||||||
Industrial & Other Commercial Paper — 44.7% |
| |||||||
Apple | ||||||||
1.121%, 10/17/2017 (B) | 1,300 | 1,299 | ||||||
BMW US Capital | ||||||||
1.101%, 10/02/2017 (B) | 1,300 | 1,300 | ||||||
Cisco Systems | ||||||||
1.172%, 11/08/2017 (B) | 900 | 899 | ||||||
Coca-Cola | ||||||||
1.122%, 11/06/2017 (B) | 1,000 | 999 | ||||||
Colgate-Palmolive | ||||||||
1.061%, 10/19/2017 (B) | 1,300 | 1,299 | ||||||
Export Development Canada | ||||||||
1.182%, 10/10/2017 | 1,000 | 1,000 | ||||||
ExxonMobil | ||||||||
1.050%, 10/02/2017 | 1,489 | 1,489 | ||||||
Johnson & Johnson | ||||||||
1.101%, 10/02/2017 (B) | 1,252 | 1,252 | ||||||
Microsoft | ||||||||
1.142%, 10/24/2017 (B) | 1,000 | 999 | ||||||
Nestle Finance International | ||||||||
1.121%, 10/16/2017 | 1,224 | 1,223 | ||||||
PepsiCo | ||||||||
1.101%, 10/06/2017 (B) | 1,000 | 1,000 | ||||||
United Parcel Service | ||||||||
1.101%, 10/03/2017 (B) | 1,300 | 1,300 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
COMMERCIAL PAPER (A) (continued) |
| |||||||
Wal-Mart Stores | ||||||||
1.100%, 10/10/2017 (B) | $ | 1,300 | $ | 1,299 | ||||
|
| |||||||
|
15,358 |
| ||||||
|
| |||||||
Total Commercial Paper | 25,451 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (A) — 19.6% |
| |||||||
FHLB DN | ||||||||
1.010%, 10/25/2017 | 2,360 | 2,359 | ||||||
1.001%, 10/27/2017 | 2,323 | 2,321 | ||||||
1.000%, 10/04/2017 | 2,052 | 2,052 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 6,732 | ||||||
|
| |||||||
Shares | ||||||||
EXCHANGE TRADED FUND — 4.7% |
| |||||||
iShares iBoxx $ High Yield Corporate Bond Fund | 18,044 | 1,602 | ||||||
|
| |||||||
Total Exchange Traded Fund | 1,602 | |||||||
|
| |||||||
Total Investments in Securities— 98.3% |
| $ | 33,785 | |||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 325 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Long/Short Alternative Fund (Concluded)
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
| ||||||||||||||||||
MSCI EAFE Index E-MINI | 19 | Dec-2017 | $1,828 | $1,880 | $52 | |||||||||||||
MSCI Emerging Markets E-MINI | 50 | Dec-2017 | 2,709 | 2,723 | 14 | |||||||||||||
NASDAQ 100 Index E-MINI | 28 | Dec-2017 | 3,346 | 3,350 | 4 | |||||||||||||
S&P Mid Cap 400 Index E-MINI | 13 | Dec-2017 | 2,257 | 2,334 | 77 | |||||||||||||
U.S. Dollar Index | (23) | Dec-2017 | (2,107) | (2,136) | (29) | |||||||||||||
U.S. Long Treasury Bond | (24) | Dec-2017 | (3,745) | (3,668) | 77 | |||||||||||||
|
| |||||||||||||||||
$4,288 | $4,483 | $195 | ||||||||||||||||
|
|
Percentages are based on Net Assets of $34,382 ($ Thousands). |
(A) | The rate reported is the effective yield at the time of purchase. |
(B) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2017, the value of these securities amounted to $19,240 ($ Thousands), representing 56.0% of the Net Assets of the Fund. |
DN— Discount Note
EAFE — Europe, Australasia and Far East
FHLB — Federal Home Loan Bank
MSCI — Morgan Stanley Capital International
NASDAQ — National Association of Securities Dealers and Automated Quotations
S&P — Standard & Poor’s
The following is a list of the level of inputs used as of September 30, 2017, 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 | $ | – | $ | 25,451 | $ | – | $ | 25,451 | ||||||||
U.S. Government Agency Obligations | – | 6,732 | – | 6,732 | ||||||||||||
Exchange Traded Fund | 1,602 | – | – | 1,602 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,602 | $ | 32,183 | $ | – | $ | 33,785 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| ||||||||||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| ||||||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 224 | $ | — | $ | — | $ | 224 | ||||||||
Unrealized Depreciation | (29) | — | — | (29) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 195 | $ | — | $ | — | $ | 195 | ||||||||
|
|
|
|
|
|
|
|
* Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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 $0.
The accompanying notes are an integral part of the financial statements.
326 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
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STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
September 30, 2017
Large Cap Fund |
Large Cap Value Fund | |||||||
Assets: | ||||||||
Investments, at value † | $ | 2,368,759* | $ | 1,306,009* | ||||
Affiliated investments, at value †† | 176,442 | 84,688 | ||||||
Cash and cash equivalents | – | – | ||||||
Cash pledged as collateral on futures contracts | 468 | – | ||||||
Cash pledged as collateral on options contracts | – | – | ||||||
Foreign currency, at value ††† | – | – | ||||||
Receivable for fund shares sold | 1,129 | 167 | ||||||
Dividends and interest receivable | 2,037 | 1,710 | ||||||
Receivable for variation margin | 40 | – | ||||||
Receivable for investment securities sold | – | 29,460 | ||||||
Foreign tax reclaim receivable | – | 1 | ||||||
Other receivables | – | – | ||||||
Prepaid expenses | 47 | 35 | ||||||
Total Assets | 2,548,922 | 1,422,070 | ||||||
Liabilities: | ||||||||
Payable upon return on securities loaned | 27,250 | 30,532 | ||||||
Payable for fund shares redeemed | 1,374 | 830 | ||||||
Administration fees payable | 557 | 339 | ||||||
Shareholder servicing fees payable Class E | – | – | ||||||
Shareholder servicing fees payable Class F(1) | 478 | 257 | ||||||
Shareholder servicing fees payable Class I | – | – | ||||||
Payable to custodian | 21 | 23 | ||||||
Payable for investment securities purchased | – | 3,619 | ||||||
Investment advisory fees payable | 667 | 338 | ||||||
Chief Compliance Officer fees payable | 2 | 1 | ||||||
Administration servicing fees payable Class I | – | 1 | ||||||
Accrued expense payable | 63 | 32 | ||||||
Total Liabilities | 30,412 | 35,972 | ||||||
Net Assets | $ | 2,518,510 | $ | 1,386,098 | ||||
† Cost of investments and repurchase agreements | $ | 1,842,024 | $ | 1,020,178 | ||||
†† Cost of affiliated investments | 176,432 | 84,687 | ||||||
††† Cost of foreign currency | – | – | ||||||
* Includes market value of securities on loan | 26,596 | 29,863 |
(1) | Effective January 31, 2017, Class A Shares were renamed as Class F Shares of the same Fund. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
328 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
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 | |||||||||||||||||||||
$ | 1,420,685* | $ | 3,541,767* | $ | 774,325* | $ | 582,518* | $ | 368,445* | $ | 326,527* | $ | 810,369* | $ 110,766* | ||||||||||||||
70,264 | 199,247 | 18,470 | 105,791 | 45,024 | 40,156 | 124,168 | 4,721 | |||||||||||||||||||||
– | – | – | 2 | 1 | – | 10 | 19 | |||||||||||||||||||||
64 | – | – | 737 | 146 | 47 | 98 | 36 | |||||||||||||||||||||
– | – | – | – | – | – | – | – | |||||||||||||||||||||
– | 136 | – | – | – | – | – | – | |||||||||||||||||||||
236 | 740 | 728 | 350 | 120 | 37 | 274 | 69 | |||||||||||||||||||||
357 | 2,614 | 739 | 391 | 507 | 88 | 814 | 166 | |||||||||||||||||||||
2 | – | 54 | 4 | 1 | – | 2 | 1 | |||||||||||||||||||||
48,040 | – | – | 3,806 | 9,083 | 5,088 | – | – | |||||||||||||||||||||
– | 2 | 8 | – | – | – | – | 1 | |||||||||||||||||||||
2 | – | – | – | – | – | – | – | |||||||||||||||||||||
32 | 18 | – | 18 | 15 | 14 | 22 | 10 | |||||||||||||||||||||
1,539,682 | 3,744,524 | 794,324 | 693,617 | 423,342 | 371,957 | 935,757 | 115,789 | |||||||||||||||||||||
18,753 | 36,834 | 3,765 | 60,704 | 33,169 | 27,403 | 76,980 | 52 | |||||||||||||||||||||
533 | 1,760 | 338 | 284 | 242 | 179 | 402 | 98 | |||||||||||||||||||||
368 | 694 | 110 | 149 | 93 | 83 | 205 | 28 | |||||||||||||||||||||
– | – | 10 | – | – | – | – | – | |||||||||||||||||||||
278 | 681 | 51 | 115 | 69 | 62 | 137 | 23 | |||||||||||||||||||||
– | – | 1 | – | – | – | – | – | |||||||||||||||||||||
1 | 1 | 1 | – | – | – | – | – | |||||||||||||||||||||
28,416 | – | – | 4,583 | 584 | 793 | – | – | |||||||||||||||||||||
367 | 1,082 | 19 | 273 | 169 | 142 | 376 | 31 | |||||||||||||||||||||
2 | 3 | 1 | 1 | – | – | 1 | – | |||||||||||||||||||||
– | – | 1 | – | – | – | – | – | |||||||||||||||||||||
38 | 97 | 44 | 18 | 11 | 11 | 24 | 3 | |||||||||||||||||||||
48,756 | 41,152 | 4,341 | 66,127 | 34,337 | 28,673 | 78,125 | 235 | |||||||||||||||||||||
$ | 1,490,926 | $ | 3,703,372 | $ | 789,983 | $ | 627,490 | $ | 389,005 | $ | 343,284 | $ | 857,632 | $ 115,554 | ||||||||||||||
$ | 1,045,700 | $ | 1,965,182 | $ | 348,642 | $ | 503,440 | $ | 303,165 | $ | 275,937 | $ | 510,394 | $ 96,800 | ||||||||||||||
70,263 | 199,244 | 18,470 | 105,791 | 45,023 | 40,157 | 124,169 | 4,721 | |||||||||||||||||||||
– | 129 | – | – | – | – | – | – | |||||||||||||||||||||
18,513 | 36,073 | 3,681 | 59,669 | 32,558 | 27,115 | 75,724 | 52 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 329 |
STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
September 30, 2017
Large Cap Fund |
Large Cap Value Fund | |||||||
Net Assets: | ||||||||
Paid-in capital — (unlimited authorization — no par value) | $ | 1,845,965 | $ | 1,067,634 | ||||
Undistributed (distributions in excess of) net investment income | 5,445 | 9,855 | ||||||
Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures contracts, securities sold short, swap contracts and foreign currency | 140,053 | 22,777 | ||||||
Net unrealized appreciation on investments and securities sold short | 526,745 | 285,832 | ||||||
Net unrealized appreciation on futures contracts | 302 | – | ||||||
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | – | – | ||||||
Net Assets | $ | 2,518,510 | $ | 1,386,098 | ||||
Net Asset Value, Offering and Redemption Price Per Share — Class E
|
| N/A
|
|
| N/A
|
| ||
Net Asset Value, Offering and Redemption Price Per Share — Class F(1) | $
| 14.65 ($2,362,180,468 ÷ 161,249,023 shares) |
| $
| 24.70 ($1,261,075,428 ÷ 51,060,682 shares) |
| ||
Net Asset Value, Offering and Redemption Price Per Share — Class I | N/A | $
| 24.71 ($4,665,943 ÷ 188,845 shares) |
| ||||
Net Asset Value, Offering and Redemption Price Per Share — Class Y | $
| 14.66 ($156,329,343 ÷ 10,665,931 shares) |
| $
| 24.70 ($120,357,017 ÷ 4,872,198 shares) |
|
(1) | Effective January 31, 2017, Class A Shares were renamed as Class F shares of the same Fund. |
Amounts designated as “—“ are either $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.
330 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
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 | |||||||||||||||||||||||
$ | 1,013,784 | $ | 2,101,978 | $ | 358,326 | $ | 511,513 | $ | 297,756 | $ | 299,664 | $ | 547,555 | $ | 93,924 | |||||||||||||||
2,313 | 7,368 | 3,037 | – | 902 | (1,992 | ) | (151 | ) | 190 | |||||||||||||||||||||
99,842 | 17,431 | 2,630 | 35,921 | 25,058 | (4,979 | ) | 10,149 | 7,435 | ||||||||||||||||||||||
374,986 | 1,576,588 | 425,683 | 79,078 | 65,281 | 50,589 | 299,974 | 13,966 | |||||||||||||||||||||||
1 | – | 307 | 978 | 8 | 2 | 106 | 39 | |||||||||||||||||||||||
|
– |
| 7 | – | – | – | – | (1 | ) | – | ||||||||||||||||||||
$ | 1,490,926 | $ | 3,703,372 | $ | 789,983 | $ | 627,490 | $ | 389,005 | $ | 343,284 | $ | 857,632 | $ | 115,554 | |||||||||||||||
N/A | N/A | $
| 60.64 ($323,386,302 5,332,770 share | ÷ s) | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||
$
| 34.72 ($1,364,210,505 39,287,232 share | ÷ s) | $
| 24.11 ($3,385,550,046 140,392,437 share | ÷ s) | $
| 60.22 ($417,307,694 6,930,002 share | ÷ s) | $
| 13.25 ($588,340,658 44,403,308 share | ÷ s) | $
| 26.16 ($349,296,142 13,352,659 share | ÷ s) | $
| 34.42 ($312,759,559 9,087,806 share | ÷ s) | $
| 22.09 ($782,448,820 35,423,575 share | ÷ s) | $
| 27.81 ($112,422,517 4,041,967 share | ÷ s) | |||||||
$
| 34.02 ($ 3,607,204 106,040 share | ÷ s) | N/A | $
| 60.56 ($6,328,322 104,497 share | ÷ s) | N/A | $
| 25.94 ($2,465,727 95,048 share | ÷ s) | $
| 33.11 ($2,079,005 62,800 share | ÷ s) | N/A | $
| 27.78 ($864,100 31,109 share | ÷ s) | |||||||||||||
$
| 34.76 ($ 123,108,529 3,541,697 share | ÷ s) | $
| 24.13 ($317,821,630 13,172,367 share | ÷ s) | $
| 60.22 ($42,961,073 713,350 share | ÷ s) | $
| 13.31 ($39,149,496 2,941,381 share | ÷ s) | $
| 26.18 ($37,242,908 1,422,703 shares | ÷ ) | $
| 34.59 ($28,445,724 822,480 share | ÷ s) | $
| 22.11 ($75,183,019 3,399,855 share | ÷ s) | $
| 27.83 ($2,267,081 81,450 share | ÷ s) |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 331 |
STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
September 30, 2017
U.S. Managed Volatility |
Global Managed | |||||||
Assets: | ||||||||
Investments, at value † | $ | 1,545,810 | $ | 1,419,027 | ||||
Affiliated investments, at value †† | 32,713 | 34,016 | ||||||
Repurchase agreements† | – | – | ||||||
Cash and cash equivalents | – | 6,709 | ||||||
Due from Broker | – | – | ||||||
Cash pledged as collateral on swap contracts | – | – | ||||||
Cash pledged as collateral on futures contracts | 770 | 994 | ||||||
Cash pledged as collateral on options contracts | – | – | ||||||
Foreign currency, at value ††† | 373 | 1,374 | ||||||
Receivable for fund shares sold | 991 | 1,276 | ||||||
Dividends and interest receivable | 2,784 | 3,369 | ||||||
Receivable for investment securities sold | 1,379 | 16 | ||||||
Receivable for variation margin | 71 | 93 | ||||||
Unrealized gain on forward foreign currency contracts | – | 2,460 | ||||||
Unrealized gain on foreign spot currency contracts | – | 1 | ||||||
Options purchased, at value ††††† | – | – | ||||||
Foreign tax reclaim receivable | – | 2,559 | ||||||
Prepaid expenses | 6 | 25 | ||||||
Total Assets | 1,584,897 | 1,471,919 | ||||||
Liabilities: | ||||||||
Payable for fund shares redeemed | 1,258 | 1,515 | ||||||
Payable for investment securities purchased | 952 | 11,246 | ||||||
Administration fees payable | 387 | 359 | ||||||
Shareholder servicing fees payable Class F(1) | 203 | 253 | ||||||
Payable upon return on securities loaned | – | – | ||||||
Income distribution payable | – | – | ||||||
OTC Swap contracts, at value †††† | – | – | ||||||
Options written, at value ††††† | – | – | ||||||
Payable for variation margin | – | 4 | ||||||
Unrealized loss on foreign currency spot contracts | – | 6 | ||||||
Unrealized loss on forward foreign currency contracts | – | 102 | ||||||
Investment advisory fees payable | 539 | 637 | ||||||
Interest payable | – | – | ||||||
Chief Compliance Officer fees payable | – | 1 | ||||||
Administration servicing fees payable Class I | – | – | ||||||
Unfunded commitments on loan participations | – | – | ||||||
Accrued expense payable | 16 | 70 | ||||||
Total Liabilities | 3,355 | 14,193 | ||||||
Net Assets | $ | 1,581,542 | $ | 1,457,726 | ||||
† Cost of investments and repurchase agreements | $ | 1,289,000 | $ | 1,211,859 | ||||
†† Cost of affiliated investments | 32,713 | 34,016 | ||||||
††† Cost of foreign currency | 347 | 1,373 | ||||||
†††† Cost (premiums received) | – | – | ||||||
††††† Cost (premiums received) | – | – | ||||||
* Includes market value of securities on loan | – | – |
(1) | Effective January 31, 2017, Class A Shares were renamed as Class F Shares of the same Fund. |
Amounts designated as “—“ are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements
332 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Tax-Managed Managed Volatility Fund | Tax-Managed International Managed Volatility Fund | Real Estate Fund | Enhanced Income Fund | Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | ||||||||||||||||||||||
$ | 1,031,611 | $ | 329,538 | $ | 170,166 | $ | 75,102 | $ | 2,161,431* | $ | 1,867,999* | $ | 1,573,565* | |||||||||||||||
22,607 | 15,270 | 4,718 | 1,878 | 264,953 | 336,314 | 81,206 | ||||||||||||||||||||||
– | – | – | 700 | 53,600 | – | – | ||||||||||||||||||||||
– | 2,138 | – | 79 | – | 168 | 839 | ||||||||||||||||||||||
– | – | – | – | – | – | 2,081 | ||||||||||||||||||||||
– | – | – | – | 3,182 | 1,100 | 605 | ||||||||||||||||||||||
369 | 565 | – | – | 3,213 | 227 | – | ||||||||||||||||||||||
– | – | – | – | – | – | – | ||||||||||||||||||||||
6 | 866 | – | – | 363 | 12 | – | ||||||||||||||||||||||
381 | 233 | 241 | – | 579 | 1,126 | 524 | ||||||||||||||||||||||
1,530 | 998 | 587 | 289 | 10,708 | 8,906 | 24,380 | ||||||||||||||||||||||
986 | 724 | 704 | 835 | 157,737 | 183,375 | 12,018 | ||||||||||||||||||||||
34 | 55 | – | 3 | 201 | 1,608 | 42 | ||||||||||||||||||||||
– | – | – | – | 840 | 273 | – | ||||||||||||||||||||||
– | – | – | – | 6 | 18 | – | ||||||||||||||||||||||
– | – | – | – | 203 | 117 | – | ||||||||||||||||||||||
2 | 497 | – | 1 | 9 | 6 | 32 | ||||||||||||||||||||||
25 | 5 | 12 | 10 | 42 | 36 | 35 | ||||||||||||||||||||||
1,057,551 | 350,889 | 176,428 | 78,897 | 2,657,067 | 2,401,285 | 1,695,327 | ||||||||||||||||||||||
708 | 277 | 197 | 139 | 1,649 | 1,141 | 4,394 | ||||||||||||||||||||||
183 | 275 | 776 | 2,353 | 428,178 | 493,684 | 31,034 | ||||||||||||||||||||||
259 | 128 | 44 | 9 | 329 | 289 | 267 | ||||||||||||||||||||||
202 | 68 | 29 | 8 | 377 | 333 | 292 | ||||||||||||||||||||||
– | – | – | – | 137,568 | 105,675 | 6 | ||||||||||||||||||||||
– | – | – | – | 323 | 262 | 659 | ||||||||||||||||||||||
– | – | – | – | – | – | 341 | ||||||||||||||||||||||
– | – | – | – | 175 | 100 | – | ||||||||||||||||||||||
– | 5 | – | 1 | 677 | 1,737 | – | ||||||||||||||||||||||
– | – | – | – | – | – | – | ||||||||||||||||||||||
– | – | – | – | 674 | 22 | – | ||||||||||||||||||||||
354 | 118 | 79 | 13 | 270 | 250 | 533 | ||||||||||||||||||||||
– | – | – | – | – | 325 | – | ||||||||||||||||||||||
1 | – | – | – | 2 | 2 | 1 | ||||||||||||||||||||||
– | – | – | – | 1 | – | 1 | ||||||||||||||||||||||
– | – | – | – | – | – | 2 | ||||||||||||||||||||||
29 | 16 | 5 | 10 | 178 | 114 | 83 | ||||||||||||||||||||||
1,736 | 887 | 1,130 | 2,533 | 570,401 | 603,934 | 37,613 | ||||||||||||||||||||||
$ | 1,055,815 | $ | 350,002 | $ | 175,298 | $ | 76,364 | $ | 2,086,666 | $ | 1,797,351 | $ | 1,657,714 | |||||||||||||||
$ | 712,318 | $ | 284,762 | $ | 137,992 | $ | 76,519 | $ | 2,200,067 | $ | 1,863,009 | $ | 1,540,742 | |||||||||||||||
22,607 | 15,270 | 4,718 | 1,878 | 264,957 | 328,485 | 81,206 | ||||||||||||||||||||||
7 | 866 | – | – | 228 | 12 | – | ||||||||||||||||||||||
– | – | – | – | – | – | 26 | ||||||||||||||||||||||
– | – | – | – | (42) | (23) | – | ||||||||||||||||||||||
– | – | – | – | 134,251 | 103,091 | 1 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 333 |
STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
September 30, 2017
U.S. Managed Volatility |
Global Managed | |||||||
Net Assets: | ||||||||
Paid-in capital — (unlimited authorization — no par value) | $ | 1,203,279 | $ | 1,176,963 | ||||
Undistributed (distributions in excess of) net investment income | 6,140 | 888 | ||||||
Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures contracts, securities sold short, swap contracts and foreign currency | 115,006 | 69,959 | ||||||
Net unrealized appreciation (depreciation) on investments and securities sold short | 256,810 | 207,168 | ||||||
Net unrealized appreciation on option contracts | – | – | ||||||
Net unrealized appreciation (depreciation) on futures contracts | 284 | 331 | ||||||
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | 23 | 2,417 | ||||||
Net unrealized appreciation (depreciation) on swap contracts | – | – | ||||||
Net Assets | $ | 1,581,542 | $ | 1,457,726 | ||||
Net Asset Value, Offering and Redemption Price Per Share — Class F(1) | $
| 18.26 ($994,387,368 54,452,188 share | ÷ s) | $
| 11.97 ($1,242,592,493 103,838,832 share | ÷ s) | ||
Net Asset Value, Offering and Redemption Price Per Share — Class I | $
| 18.26 ($1,425,860 78,103 share | ÷ s) | $
| 11.73 ($1,572,967 134,142 share | ÷ s) | ||
Net Asset Value, Offering and Redemption Price Per Share — Class Y | $
| 18.27 ($585,728,722 32,058,152 share | ÷ s) | $
| 12.00 ($213,560,719 17,794,003 share | ÷ s) |
(1) | Effective January 31, 2017, Class A Shares were renamed as Class F Shares of the same Fund. |
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.
334 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Tax-Managed Managed Volatility Fund | Tax-Managed International Managed Volatility Fund | Real Estate Fund | Enhanced Income Fund | Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | ||||||||||||||||||||
$ | 707,500 | $ | 305,029 | $ | 140,517 | $ | 169,796 | $ | 2,096,562 | $ | 1,804,586 | $ | 1,754,057 | |||||||||||||
3,851 | 6,717 | (1,186 | ) | 413 | (3,256 | ) | 207 | 11,451 | ||||||||||||||||||
24,950 | (6,755 | ) | 3,793 | (93,141 | ) | (23,359 | ) | (21,854 | ) | (140,333 | ) | |||||||||||||||
319,293 | 44,776 | 32,174 | (717 | ) | 14,960 | 12,819 | 32,823 | |||||||||||||||||||
– | – | – | – | 70 | 41 | – | ||||||||||||||||||||
223 | 210 | – | 13 | (288 | ) | 230 | – | |||||||||||||||||||
(2 | ) | 25 | – | – | 307 | 251 | – | |||||||||||||||||||
– | – | – | – | 1,670 | 1,071 | (284 | ) | |||||||||||||||||||
$ | 1,055,815 | $ | 350,002 | $ | 175,298 | $ | 76,364 | $ | 2,086,666 | $ | 1,797,351 | $ | 1,657,714 | |||||||||||||
$
| 15.96 ($994,011,144 62,289,683 share | ÷ s) | $
| 11.56 ($336,350,198 29,105,296 share | ÷ s) | $
| 17.15 ($137,876,639 8,040,245 share | ÷ s) | $
| 7.58 ($70,279,206 9,274,032 share | ÷ s) | $
| 11.32 ($1,855,251,225 163,920,082 share | ÷ s) | $
| 10.20 ($1,638,534,060 160,614,874 share | ÷ s) | $
| 7.33 ($1,469,479,892 200,592,394 share | ÷ s) | ||||||
N/A | N/A | $
| 17.13 ($529,310 30,897 share | ÷ s) | $
| 7.56 ($188,301 24,902 share | ÷ s) | $
| 11.31 ($5,974,627 528,126 share | ÷ s) | N/A | $
| 7.08 ($1,147,348 162,046 share | ÷ s) | ||||||||||||
$
| 15.96 ($61,804,254 3,871,627 share | ÷ s) | $
| 11.58 ($13,652,197 1,179,452 share | ÷ s) | $
| 17.15 ($36,892,495 2,151,026 share | ÷ s) | $
| 7.57 ($5,896,341 778,615 share | ÷ s) | $
| 11.32 ($225,440,495 19,909,033 share | ÷ s) | $
| 10.20 ($ 158,816,534 15,569,664 share | ÷ s) | $
| 7.32 ($187,086,850 25,541,045 share | ÷ s) |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 335 |
STATEMENTS OF ASSETS AND LIABILITIES/CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
September 30, 2017
Conservative Income Fund | Tax-Free Conservative Income Fund | |||||||
Assets: | ||||||||
Investments, at value † | $ | 206,462 | $ | 167,268 | ||||
Affiliated investments, at value †† | 2 | – | ||||||
Repurchase agreements† | 4,000 | – | ||||||
Cash and cash equivalents | – | 19 | ||||||
Due from Broker | – | – | ||||||
Cash pledged as collateral on swap contracts | – | – | ||||||
Cash pledged as collateral on futures contracts | – | – | ||||||
Cash pledged as collateral on forward foreign currency contracts | – | – | ||||||
Cash pledged as collateral on options contracts | – | – | ||||||
Foreign currency, at value ††† | – | – | ||||||
Receivable for fund shares sold | 144 | 82 | ||||||
Dividends and interest receivable | 150 | 516 | ||||||
Receivable for investment securities sold | – | – | ||||||
Unrealized gain on forward foreign currency contracts | – | – | ||||||
Unrealized gain on foreign spot currency contracts | – | – | ||||||
OTC Swap contracts, at value †††† | – | – | ||||||
Options purchased, at value ††††† | – | – | ||||||
Foreign tax reclaim receivable | – | – | ||||||
Receivable for variation margin | – | – | ||||||
Prepaid expenses | 3 | 3 | ||||||
Total Assets | 210,761 | 167,888 | ||||||
Liabilities: | ||||||||
Payable for fund shares redeemed | 224 | 124 | ||||||
Income distribution payable | 56 | 17 | ||||||
Administration fees payable | 16 | 12 | ||||||
Shareholder servicing fees payable Class F(1) | 16 | 13 | ||||||
Payable for securities sold short@ | – | – | ||||||
Payable for investment securities purchased | – | 700 | ||||||
OTC Swap contracts, at value †††† | – | – | ||||||
Options written, at value ††††† | – | – | ||||||
Due to broker | – | – | ||||||
Reverse repurchase agreements | – | – | ||||||
Payable to custodian | – | – | ||||||
Payable for variation margin | – | – | ||||||
Unrealized loss on foreign currency spot contracts | – | – | ||||||
Unrealized loss on forward foreign currency contracts | – | – | ||||||
Investment advisory fees payable | 17 | 14 | ||||||
Chief Compliance Officer fees payable | – | – | ||||||
Unfunded commitments on loan participations | – | – | ||||||
Accrued expense payable | 8 | 7 | ||||||
Total Liabilities | 337 | 887 | ||||||
Net Assets | $ | 210,424 | $ | 167,001 | ||||
† Cost of investments and repurchase agreements | $ | 210,429 | $ | 167,274 | ||||
†† Cost of affiliated investments | 2 | – | ||||||
††† Cost of foreign currency | – | – | ||||||
†††† Cost (premiums received) | – | – | ||||||
††††† Cost (premiums received) | – | – | ||||||
@Proceeds from securities sold short | – | – |
(1) | Effective January 31, 2017, Class A Shares were renamed as Class F Shares of the same Fund. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
336 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
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 | |||||||||||||||||||||||
$ | 269,794 | $ | 741,870 | $ | 395,295 | $ | 2,034,187 | $ | 927,204 | $ | 1,014,679 | $ | 557,998 | $ | 33,785 | |||||||||||||||
570 | – | 113,706 | – | – | – | – | – | |||||||||||||||||||||||
– | – | – | – | 735 | – | – | – | |||||||||||||||||||||||
– | 10,177 | 102,204 | 586,883 | 39,287 | 147,527 | 172,609 | 1 | |||||||||||||||||||||||
– | – | 157 | 10,545 | 102 | 1,454 | – | – | |||||||||||||||||||||||
– | – | 4,816 | 10,177 | 639 | 456 | 1,953 | – | |||||||||||||||||||||||
– | 15,586 | 93 | 63,971 | 2,043 | 1,957 | 5,291 | 538 | |||||||||||||||||||||||
– | 1,100 | – | – | – | – | 6 | – | |||||||||||||||||||||||
– | 814 | – | – | 30,587 | – | – | – | |||||||||||||||||||||||
– | – | 939 | 6,551 | 78 | 325 | 634 | – | |||||||||||||||||||||||
151 | 515 | 291 | 1,977 | 1,463 | 500 | 489 | – | |||||||||||||||||||||||
338 | 699 | 1,066 | 1,751 | 5,415 | 2,146 | 431 | – | |||||||||||||||||||||||
– | – | 25,169 | – | 11,845 | – | 1,673 | – | |||||||||||||||||||||||
– | 979 | 359 | 6,009 | 50 | 241 | 7,989 | – | |||||||||||||||||||||||
– | – | 3 | 50 | – | 18 | 2 | – | |||||||||||||||||||||||
– | 696 | 2,106 | 6,871 | – | 13 | – | – | |||||||||||||||||||||||
– | 883 | 223 | – | 494 | – | 227 | – | |||||||||||||||||||||||
– | – | 37 | 166 | 4 | 24 | – | – | |||||||||||||||||||||||
– | 574 | 25 | 3,810 | 130 | 882 | 595 | 71 | |||||||||||||||||||||||
13 | 11 | 17 | 50 | 21 | 26 | 20 | 12 | |||||||||||||||||||||||
270,866 | 773,904 | 646,506 | 2,732,998 | 1,020,097 | 1,170,248 | 749,917 | 34,407 | |||||||||||||||||||||||
232 | 396 | 412 | 1,331 | 878 | 645 | 662 | – | |||||||||||||||||||||||
– | – | – | – | 741 | – | – | – | |||||||||||||||||||||||
45 | 187 | 52 | 590 | 215 | 219 | 183 | 8 | |||||||||||||||||||||||
21 | 140 | 103 | 509 | 65 | 169 | 57 | – | |||||||||||||||||||||||
– | – | 116,851 | – | 751 | 116,203 | – | – | |||||||||||||||||||||||
– | – | 15,069 | 296 | 33,608 | – | 1,915 | – | |||||||||||||||||||||||
– | 274 | 275 | 8,641 | – | 1,455 | – | – | |||||||||||||||||||||||
– | 425 | 30 | – | 2,254 | – | 192 | – | |||||||||||||||||||||||
– | – | 330 | 2,406 | – | – | – | – | |||||||||||||||||||||||
– | – | – | – | – | 159,545 | – | – | |||||||||||||||||||||||
– | – | 8 | – | – | – | – | – | |||||||||||||||||||||||
– | 588 | 25 | 1,331 | 140 | 1,479 | 167 | 1 | |||||||||||||||||||||||
– | – | 1 | 55 | – | 2 | 15 | – | |||||||||||||||||||||||
– | 2,131 | 159 | 9,973 | 95 | 225 | 1,999 | – | |||||||||||||||||||||||
23 | 120 | 279 | 1,363 | 282 | 226 | 112 | 13 | |||||||||||||||||||||||
– | 1 | – | 2 | 1 | 1 | 1 | – | |||||||||||||||||||||||
– | – | – | – | 226 | – | – | – | |||||||||||||||||||||||
7 | 20 | 25 | 85 | 94 | 382 | 21 | 3 | |||||||||||||||||||||||
328 | 4,282 | 133,619 | 26,582 | 39,350 | 280,551 | 5,324 | 25 | |||||||||||||||||||||||
$ | 270,538 | $ | 769,622 | $ | 512,887 | $ | 2,706,416 | $ | 980,747 | $ | 889,697 | $ | 744,593 | $ | 34,382 | |||||||||||||||
$ | 269,848 | $ | 609,860 | $ | 384,374 | $ | 1,970,723 | $ | 911,018 | $ | 999,563 | $ | 565,067 | $ | 33,741 | |||||||||||||||
570 | – | 110,902 | – | – | – | – | – | |||||||||||||||||||||||
– | – | 941 | 13,493 | 77 | 327 | 627 | �� | |||||||||||||||||||||||
– | – | 1,788 | – | – | 755 | – | – | |||||||||||||||||||||||
– | 744 | 410 | – | 551 | – | (142 | ) | – | ||||||||||||||||||||||
– | – | (107,559 | ) | – | (731 | ) | (106,754 | ) | – | – |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 337 |
STATEMENTS OF ASSETS AND LIABILITIES/CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIESs ($ Thousands)
September 30, 2017
Conservative Income Fund | Tax-Free Conservative Income Fund | |||||||
Net Assets: | ||||||||
Paid-in capital – (unlimited authorization – no par value) | $ | 210,388 | $ | 167,012 | ||||
Undistributed (distributions in excess of) net investment income | 1 | (5 | ) | |||||
Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures contracts, securities sold short, swap contracts and foreign currency | 2 | – | ||||||
Net unrealized appreciation (depreciation) on investments and securities sold short | 33 | (6 | ) | |||||
Net unrealized appreciation (depreciation) on option contracts | – | – | ||||||
Net unrealized appreciation (depreciation) on futures contracts | – | – | ||||||
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | – | – | ||||||
Net unrealized appreciation (depreciation) on swap contracts | – | – | ||||||
Net Assets | $ | 210,424 | $ | 167,001 | ||||
Net Asset Value, Offering and Redemption Price Per Share – Class F(1) | $ | 10.00 | $ | 10.00 | ||||
| ($190,439,513 ÷ 19,041,001 shares) | | | ($163,218,509 ÷ 16,323,096 shares) | | |||
Net Asset Value, Offering and Redemption Price Per Share – Class Y | $ | 10.00 | $ | 10.00 | ||||
| ($19,984,191 ÷ 1,997,876 shares) | | | ($3,782,171 ÷ 378,091 shares) | |
(1) Effective January 31, 2017, Class A Shares were renamed as Class F Shares of the same Fund.
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.
338 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
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 | |||||||||||||||||||||||
$ | 274,672 | $ | 623,166 | $ | 503,217 | $ | 2,738,765 | $ | 956,915 | $ | 1,008,158 | $ | 730,938 | $ | 31,401 | |||||||||||||||
(6 | ) | 11,921 | (298 | ) | (19,459 | ) | (2,329 | ) | (2,908 | ) | 6,569 | – | ||||||||||||||||||
(4,074 | ) | 490 | 5,240 | (82,398 | ) | 11,852 | (120,699 | ) | 7,582 | 2,742 | ||||||||||||||||||||
(54 | ) | 132,010 | 4,433 | 63,464 | 16,901 | 5,667 | (7,069 | ) | 44 | |||||||||||||||||||||
– | (286 | ) | (217 | ) | – | (2,311 | ) | – | 177 | – | ||||||||||||||||||||
– | 3,051 | 67 | 14,038 | (246 | ) | 549 | 445 | 195 | ||||||||||||||||||||||
– | (1,152 | ) | 202 | (3,968 | ) | (42 | ) | 24 | 5,984 | – | ||||||||||||||||||||
– | 422 | 243 | (4,026 | ) | 7 | (1,094 | ) | (33 | ) | – | ||||||||||||||||||||
$ | 270,538 | $ | 769,622 | $ | 512,887 | $ | 2,706,416 | $ | 980,747 | $ | 889,697 | $ | 744,593 | $ | 34,382 | |||||||||||||||
$ | 10.03 | $ | 12.10 | $ | 10.11 | $ | 10.01 | $ | 10.88 | $ | 8.52 | $ | 10.25 | $ | 10.88 | |||||||||||||||
| ($ 252,333,073 ÷ 25,162,965 shares | ) | | ($696,462,576 ÷ 57,579,153 shares | ) | | ($508,045,586 ÷ 50,252,659 shares | ) | | ($2,468,846,886 ÷ 246,585,340 shares | ) | | ($813,767,315 ÷ 74,792,874 shares | ) | | ($821,190,857 ÷ 96,391,288 shares | ) | | ($694,246,633 ÷ 67,743,935 shares | ) | | ($21,526 ÷ 1,979 shares | ) | |||||||
$ | 10.06 | $ | 12.12 | $ | 10.12 | $ | 10.06 | $ | 10.88 | $ | 8.53 | $ | 10.27 | $ | 10.93 | |||||||||||||||
| ($18,205,149 ÷ 1,810,328 shares | ) | | ($ 73,159,016 ÷ 6,035,652 shares | ) | | ($ 4,841,252 ÷ 478,607 shares | ) | | ($ 237,568,872 ÷ 23,617,079 shares | ) | | ($166,979,663 ÷ 15,348,702 shares | ) | | ($68,506,392 ÷ 8,028,944 shares | ) | | ($50,346,584 ÷ 4,902,971 shares | ) | | ($34,360,487 ÷ 3,142,932 shares | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 339 |
STATEMENTS OF OPERATIONS ($ Thousands)
For the year ended September 30, 2017
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 41,235 | $ | 31,064 | $ | 15,239 | ||||||
Dividends from affiliated investment company(1) | 724 | 336 | 273 | |||||||||
Interest income | – | – | – | |||||||||
Other income | 1 | 1 | 1 | |||||||||
Security lending income - net(1) (2) | 407 | 85 | 110 | |||||||||
Less: foreign taxes withheld | (146 | ) | (138 | ) | (44 | ) | ||||||
Total Investment Income | 42,221 | 31,348 | 15,579 | |||||||||
Expenses: | ||||||||||||
Investment advisory fees | 9,133 | 4,826 | 5,716 | |||||||||
Administration fees | 6,603 | 4,137 | 4,287 | |||||||||
Shareholder servicing fees Class F(3) | 5,483 | 3,227 | 3,357 | |||||||||
Shareholder servicing fees Class I | – | 15 | 10 | |||||||||
Trustees’ fees | 37 | 22 | 23 | |||||||||
Chief compliance officer fees | 13 | 8 | 8 | |||||||||
Administration servicing fees Class I | – | 15 | 10 | |||||||||
Printing fees | 284 | 172 | 174 | |||||||||
Professional fees | 136 | 78 | 83 | |||||||||
Custodian/Wire agent fees | 127 | 75 | 77 | |||||||||
Registration fees | 86 | 51 | 55 | |||||||||
Pricing fees | 40 | 24 | 23 | |||||||||
Litigation fees | – | – | – | |||||||||
Interest expense | – | – | – | |||||||||
Other expenses | 38 | 21 | 23 | |||||||||
Total Expenses | 21,980 | 12,671 | 13,846 | |||||||||
Less: | ||||||||||||
Waiver of investment advisory fees | (1,443 | ) | (551 | ) | (1,109 | ) | ||||||
Waiver of shareholder servicing fees Class F(3) | (26 | ) | (15 | ) | (16 | ) | ||||||
Waiver of shareholder servicing fees Class I | – | (2 | ) | (1 | ) | |||||||
Waiver of administration fees | – | – | (174 | ) | ||||||||
Net Expenses | 20,511 | 12,103 | 12,546 | |||||||||
Net Investment Income (Loss) | 21,710 | 19,245 | 3,033 | |||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 223,723 | 95,773 | 180,305 | |||||||||
Affiliated investments | (2 | ) | (2 | ) | (1 | ) | ||||||
Futures contracts | 799 | 4 | (19 | ) | ||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 133,541 | 113,985 | 40,956 | |||||||||
Affiliated investments | 10 | 1 | 1 | |||||||||
Futures contracts | 330 | – | 1 | |||||||||
Foreign currency translation of other assets and liabilities denominated in foreign currencies | – | – | – | |||||||||
Net Increase in Net Assets Resulting from Operations | $ | 380,111 | $ | 229,006 | $ | 224,276 |
(1) | See Note 6 in Notes to Financial Statements. |
(2) | Income is from the investment of collateral in an affiliated security. |
(3) | Effective January 31, 2017, Class A Shares were renamed as Class F shares of the same Fund. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
340 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
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 | ||||||||||||||||||||
$ | 58,648 | $ | 14,723 | $ | 5,100 | $ | 5,568 | $ | 1,216 | $ | 8,598 | $ | 1,702 | |||||||||||||
1,039 | 81 | 199 | 97 | 72 | 207 | 28 | ||||||||||||||||||||
– | 6 | – | – | – | – | – | ||||||||||||||||||||
1 | 1 | 1 | 1 | 1 | 1 | 1 | ||||||||||||||||||||
158 | 14 | 698 | 511 | 557 | 925 | 18 | ||||||||||||||||||||
(318 | ) | – | (18 | ) | (12 | ) | (2 | ) | (20 | ) | (1 | ) | ||||||||||||||
59,528 | 14,825 | 5,980 | 6,165 | 1,844 | 9,711 | 1,748 | ||||||||||||||||||||
13,908 | 221 | 3,810 | 2,519 | 2,135 | 5,100 | 423 | ||||||||||||||||||||
8,722 | 1,623 | 1,758 | 1,162 | 985 | 2,354 | 317 | ||||||||||||||||||||
8,046 | 1,008 | 1,375 | 895 | 769 | 1,810 | 258 | ||||||||||||||||||||
– | 16 | – | 7 | 5 | – | 2 | ||||||||||||||||||||
55 | 12 | 9 | 6 | 5 | 12 | 2 | ||||||||||||||||||||
19 | 4 | 3 | 2 | 2 | 4 | 1 | ||||||||||||||||||||
– | 16 | – | 7 | 5 | – | 2 | ||||||||||||||||||||
423 | 90 | 73 | 49 | 41 | 97 | 13 | ||||||||||||||||||||
201 | 43 | 34 | 22 | 19 | 46 | 6 | ||||||||||||||||||||
187 | 40 | 32 | 21 | 18 | 43 | 6 | ||||||||||||||||||||
171 | 28 | 25 | 19 | 17 | 30 | 9 | ||||||||||||||||||||
58 | 16 | 13 | 9 | 7 | 18 | 3 | ||||||||||||||||||||
151 | – | – | – | – | 30 | – | ||||||||||||||||||||
– | 75 | – | – | – | – | – | ||||||||||||||||||||
56 | 12 | 10 | 5 | 6 | 12 | 2 | ||||||||||||||||||||
31,997 | 3,204 | 7,142 | 4,723 | 4,014 | 9,556 | 1,044 | ||||||||||||||||||||
(1,451 | ) | – | (534 | ) | (357 | ) | (400 | ) | (719 | ) | (6 | ) | ||||||||||||||
(38 | ) | (282 | ) | (7 | ) | (4 | ) | (4 | ) | (217 | ) | (1 | ) | |||||||||||||
– | (6 | ) | – | (1 | ) | – | – | – | ||||||||||||||||||
– | (304 | ) | – | – | – | – | – | |||||||||||||||||||
30,508 | 2,612 | 6,601 | 4,361 | 3,610 | 8,620 | 1,037 | ||||||||||||||||||||
29,020 | 12,213 | (621 | ) | 1,804 | (1,766 | ) | 1,091 | 711 | ||||||||||||||||||
183,992 | 5,144 | 51,913 | 38,043 | 24,916 | 16,676 | 8,528 | ||||||||||||||||||||
(5 | ) | – | (1 | ) | (2 | ) | (1 | ) | (4 | ) | – | |||||||||||||||
2,169 | 2,746 | 66 | 575 | 22 | 129 | 77 | ||||||||||||||||||||
328,939 | 102,218 | 24,380 | 15,784 | 34,950 | 105,202 | 7,186 | ||||||||||||||||||||
3 | – | – | 1 | (1 | ) | (1 | ) | – | ||||||||||||||||||
(23 | ) | 3 | 1,016 | 11 | 2 | 104 | 39 | |||||||||||||||||||
7 | – | – | – | – | – | – | ||||||||||||||||||||
$ | 544,102 | $ | 122,324 | $ | 76,753 | $ | 56,216 | $ | 58,122 | $ | 123,197 | $ | 16,541 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 341 |
STATEMENTS OF OPERATIONS ($ Thousands)
For the year or period ended September 30, 2017
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 40,183 | $ | 41,670 | $ | 26,253 | ||||||
Dividends from affiliated investment company(2) | 146 | 186 | 124 | |||||||||
Interest income | – | 26 | – | |||||||||
Other income | 1 | 1 | 1 | |||||||||
Security lending income - net(2) (3) | – | – | – | |||||||||
Less: foreign taxes withheld | (249 | ) | (2,954 | ) | (141 | ) | ||||||
Total Investment Income | 40,081 | 38,929 | 26,237 | |||||||||
Expenses: | ||||||||||||
Investment advisory fees | 10,577 | 9,797 | 6,738 | |||||||||
Administration fees | 4,836 | 4,513 | 3,110 | |||||||||
Shareholder servicing fees Class F(4) | 2,695 | 3,376 | 2,469 | |||||||||
Shareholder servicing fees Class I | 4 | 4 | – | |||||||||
Trustees’ fees | 26 | 25 | 17 | |||||||||
Chief compliance officer fees | 9 | 8 | 6 | |||||||||
Administration servicing fees Class I | 4 | 4 | – | |||||||||
Printing fees | 201 | 186 | 125 | |||||||||
Professional fees | 93 | 86 | 60 | |||||||||
Custodian/Wire agent fees | 89 | 112 | 56 | |||||||||
Registration fees | 60 | 72 | 45 | |||||||||
Pricing fees | 29 | 41 | 19 | |||||||||
Litigation fees | – | – | – | |||||||||
Overdraft fees | – | 12 | – | |||||||||
Interest expense | – | – | – | |||||||||
Other expenses | 26 | 26 | 18 | |||||||||
Total Expenses | 18,649 | 18,262 | 12,663 | |||||||||
Less: | ||||||||||||
Waiver of investment advisory fees | (3,702 | ) | (1,865 | ) | (2,390 | ) | ||||||
Waiver of shareholder servicing fees Class F(4) | (12 | ) | (14 | ) | (12 | ) | ||||||
Waiver of shareholder servicing fees Class I | – | – | – | |||||||||
Waiver of administration fees | – | – | – | |||||||||
Fees paid indirectly | – | – | – | |||||||||
Net Expenses | 14,935 | 16,383 | 10,261 | |||||||||
Net Investment Income | 25,146 | 22,546 | 15,976 | |||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 116,786 | 117,805 | 37,962 | |||||||||
Affiliated investments | – | – | – | |||||||||
Futures contracts | 3,003 | 7,560 | 1,311 | |||||||||
Foreign currency transactions | 89 | 1,332 | 91 | |||||||||
Purchased and written options | – | – | – | |||||||||
Swap contracts | – | – | – | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 39,566 | – | 65,850 | |||||||||
Affiliated investments | – | – | – | |||||||||
Futures contracts | 386 | 255 | 265 | |||||||||
Purchased and written options | – | – | – | |||||||||
Swap contracts | – | – | – | |||||||||
Foreign currency translation of other assets and liabilities denominated in foreign currencies | 20 | 2,282 | 5 | |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 184,996 | $ | 151,780 | $ | 121,460 |
(1) | Commenced operations on October 17, 2016. |
(2) | See Note 6 in Notes to Financial Statements. |
(3) | Income is from the investment of collateral in an affiliated security. |
(4) | Effective January 31, 2017, Class A Shares were renamed as Class F Shares of the same Fund. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
342 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Tax-Managed International Managed Volatility Fund(1) | Real Estate Fund | Enhanced Income Fund | Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | Conservative Income Fund | ||||||||||||||||||||
$ | 10,534 | $ | 2,405 | $ | 7 | $ | 43 | $ | – | $ | 1,758 | $ | – | |||||||||||||
50 | 20 | 12 | 320 | 551 | 333 | 1 | ||||||||||||||||||||
– | – | 2,309 | 58,054 | 41,537 | 107,859 | 2,375 | ||||||||||||||||||||
1 | 1 | 1 | 1 | 1 | 1 | 1 | ||||||||||||||||||||
– | 1 | – | 400 | 199 | – | – | ||||||||||||||||||||
(930) | – | – | – | 5 | (22 | ) | – | |||||||||||||||||||
9,655 | 2,427 | 2,329 | 58,818 | 42,293 | 109,929 | 2,377 | ||||||||||||||||||||
1,837 | 1,211 | 350 | 5,645 | 4,641 | 7,964 | 207 | ||||||||||||||||||||
1,272 | 559 | 202 | 4,425 | 3,648 | 3,657 | 414 | ||||||||||||||||||||
686 | 373 | 201 | 4,753 | 3,842 | 3,622 | 461 | ||||||||||||||||||||
– | 1 | – | 19 | – | 15 | – | ||||||||||||||||||||
4 | 3 | 2 | 33 | 26 | 27 | 3 | ||||||||||||||||||||
2 | 1 | – | 11 | 9 | 9 | 1 | ||||||||||||||||||||
– | 1 | – | 19 | – | 15 | – | ||||||||||||||||||||
37 | 23 | 10 | 249 | 208 | 198 | 27 | ||||||||||||||||||||
17 | 11 | 5 | 118 | 96 | 94 | 12 | ||||||||||||||||||||
49 | 10 | 4 | 110 | 92 | 89 | 10 | ||||||||||||||||||||
2 | 13 | 12 | 78 | 52 | 64 | 5 | ||||||||||||||||||||
21 | 4 | 48 | 555 | 298 | 189 | 12 | ||||||||||||||||||||
– | – | – | – | – | 84 | – | ||||||||||||||||||||
– | – | – | – | – | – | – | ||||||||||||||||||||
– | – | – | – | – | – | – | ||||||||||||||||||||
3 | 3 | 2 | 34 | 23 | 31 | 2 | ||||||||||||||||||||
3,930 | 2,213 | 836 | 16,049 | 12,935 | 16,058 | 1,154 | ||||||||||||||||||||
(805) | (164 | ) | (135 | ) | (2,161 | ) | (1,816 | ) | (1,404 | ) | – | |||||||||||||||
(4) | (2 | ) | (88 | ) | (22 | ) | (19 | ) | (2 | ) | (277 | ) | ||||||||||||||
– | – | – | (2 | ) | – | (17 | ) | – | ||||||||||||||||||
– | – | (97 | ) | (419 | ) | (313 | ) | (412 | ) | (276 | ) | |||||||||||||||
– | (11 | ) | – | – | – | – | – | |||||||||||||||||||
3,121 | 2,036 | 516 | 13,445 | 10,787 | 14,223 | 601 | ||||||||||||||||||||
6,534 | 391 | 1,813 | 45,373 | 31,506 | 95,706 | 1,776 | ||||||||||||||||||||
(7,612) | 10,803 | (856 | ) | (1,127 | ) | (10,227 | ) | 2,434 | 3 | |||||||||||||||||
– | – | – | (1 | ) | (2 | ) | – | – | ||||||||||||||||||
1,342 | – | 25 | 5,990 | 3,825 | – | – | ||||||||||||||||||||
(197) | – | – | 1,209 | 305 | – | – | ||||||||||||||||||||
– | – | – | (102 | ) | (131 | ) | – | – | ||||||||||||||||||
– | – | – | (1,739 | ) | (264 | ) | 894 | – | ||||||||||||||||||
44,776 | (13,186 | ) | 2,124 | (35,074 | ) | (22,580 | ) | 52,918 | 28 | |||||||||||||||||
– | – | – | (4 | ) | – | – | – | |||||||||||||||||||
210 | – | 12 | (1,982 | ) | (741 | ) | – | – | ||||||||||||||||||
– | – | – | 17 | 21 | – | – | ||||||||||||||||||||
– | – | – | 5,531 | 1,538 | (477 | ) | – | |||||||||||||||||||
25 | – | – | 748 | 410 | – | – | ||||||||||||||||||||
$ | 45,078 | $ | (1,992 | ) | $ | 3,118 | $ | 18,839 | $ | 3,660 | $ | 151,475 | $ | 1,807 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 343 |
STATEMENTS OF OPERATIONS/CONSOLIDATED STATEMENTS OF OPERATIONS ($ Thousands)
For the year ended September 30, 2017
Tax-Free Conservative Income Fund | Real Return Fund | Dynamic Asset Allocation Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | – | $ | – | $ | 13,480 | ||||||
Dividends from affiliated investment company(1) | – | 5 | – | |||||||||
Interest income | 1,205 | 4,265 | – | |||||||||
Other income | 1 | 1 | 1 | |||||||||
Security lending income - net(1) (2) | – | – | – | |||||||||
Less: foreign taxes withheld | – | – | – | |||||||||
Total Investment Income | 1,206 | 4,271 | 13,481 | |||||||||
Expenses: | ||||||||||||
Shareholder servicing fees Class F(3) | 361 | 657 | 1,493 | |||||||||
Administration fees | 297 | 637 | 1,969 | |||||||||
Investment advisory fees | 148 | 619 | 3,938 | |||||||||
Trustees’ fees | 2 | 5 | 10 | |||||||||
Chief compliance officer fees | 1 | 2 | 4 | |||||||||
Printing fees | 19 | 34 | 79 | |||||||||
Professional fees | 9 | 16 | 39 | |||||||||
Custodian/Wire agent fees | 8 | 15 | 16 | |||||||||
Registration fees | 3 | 17 | 19 | |||||||||
Dividend expense on securities sold short | – | – | – | |||||||||
Pricing fees | – | 4 | 14 | |||||||||
Litigation fees | – | – | – | |||||||||
Interest expense | – | – | – | |||||||||
Other expenses | 15 | 5 | 9 | |||||||||
Total Expenses | 863 | 2,011 | 7,590 | |||||||||
Less: | ||||||||||||
Waiver of investment advisory fees | – | (290 | ) | (2,805 | ) | |||||||
Waiver of shareholder servicing fees Class F(3) | (217 | ) | (394 | ) | – | |||||||
Waiver of administration fees | (203 | ) | (74 | ) | – | |||||||
Net Expenses | 443 | 1,253 | 4,785 | |||||||||
Net Investment Income (Loss) | 763 | 3,018 | 8,696 | |||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | – | 18 | 537 | |||||||||
Securities sold short | – | – | – | |||||||||
Affiliated investments | – | – | – | |||||||||
Futures contracts | – | – | 219 | |||||||||
Foreign currency transactions | – | – | 7,187 | |||||||||
Purchased and written options | – | – | 593 | |||||||||
Purchased and written swaptions | – | – | – | |||||||||
Swap contracts | – | – | 2,241 | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 8 | (3,124 | ) | 93,543 | ||||||||
Securities sold short | – | – | – | |||||||||
Affiliated investments | – | – | – | |||||||||
Futures contracts | – | – | 3,029 | |||||||||
Purchased and written options | – | – | (177 | ) | ||||||||
Swap contracts | – | – | (154 | ) | ||||||||
Foreign currency translation of other assets and liabilities denominated in foreign currencies | – | – | 1,145 | |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 771 | $ | (88 | ) | $ | 116,859 |
(1) | See Note 6 in Notes to Financial Statements. |
(2) | Income is from the Investment of collateral in an affiliated security. |
(3) | Effective January 31, 2017, Class A Shares were renamed as Class F Shares of the same Fund. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
344 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
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 | |||||||||||||||||
$ | 1,795 | $ | 7,919 | $ | 5,752 | $ | 5,949 | $ | 98 | $ | 99 | |||||||||||
426 | – | – | – | – | – | |||||||||||||||||
4,151 | 18,401 | 39,025 | 14,896 | 4,580 | 246 | |||||||||||||||||
1 | 1 | 1 | 1 | 1 | 1 | |||||||||||||||||
364 | – | – | – | – | – | |||||||||||||||||
(107 | ) | (238 | ) | – | (3 | ) | – | – | ||||||||||||||
6,630 | 26,083 | 44,778 | 20,843 | 4,679 | 346 | |||||||||||||||||
1,276 | 5,733 | 1,795 | 2,074 | 1,695 | – | |||||||||||||||||
1,539 | 6,967 | 2,543 | 2,689 | 2,188 | 103 | |||||||||||||||||
7,697 | 18,910 | 5,086 | 4,930 | 2,918 | 274 | |||||||||||||||||
8 | 42 | 13 | 15 | 12 | 1 | |||||||||||||||||
3 | 13 | 5 | 5 | 4 | – | |||||||||||||||||
63 | 307 | 102 | 109 | 89 | 4 | |||||||||||||||||
30 | 148 | 50 | 51 | 42 | 2 | |||||||||||||||||
28 | 80 | 31 | 36 | 21 | 2 | |||||||||||||||||
25 | 125 | 30 | 40 | 30 | 11 | |||||||||||||||||
1,795 | – | – | 2,196 | – | – | |||||||||||||||||
47 | 105 | 275 | 80 | 15 | 3 | |||||||||||||||||
– | – | – | – | – | – | |||||||||||||||||
– | – | – | 1,625 | – | – | |||||||||||||||||
9 | 41 | 12 | 19 | 11 | 1 | |||||||||||||||||
12,520 | 32,471 | 9,942 | 13,869 | 7,025 | 401 | |||||||||||||||||
(4,447 | ) | (3,499 | ) | (1,917 | ) | (2,012 | ) | (674 | ) | (91 | ) | |||||||||||
(26 | ) | – | (1,077 | ) | – | (1,017 | ) | – | ||||||||||||||
(833 | ) | – | (280 | ) | (117 | ) | (851 | ) | – | |||||||||||||
7,214 | 28,972 | 6,668 | 11,740 | 4,483 | 310 | |||||||||||||||||
(584 | ) | (2,889 | ) | 38,110 | 9,103 | 196 | 36 | |||||||||||||||
16,429 | 4,751 | 7,578 | 39,218 | (910 | ) | (36 | ) | |||||||||||||||
– | – | – | (21,702 | ) | – | – | ||||||||||||||||
(147 | ) | – | – | – | – | – | ||||||||||||||||
75 | 95,320 | 3,266 | (15,658 | ) | 11,364 | 3,294 | ||||||||||||||||
(25 | ) | (4,499 | ) | (702 | ) | (259 | ) | 5,769 | – | |||||||||||||
(527 | ) | – | (3,889 | ) | (183 | ) | 332 | – | ||||||||||||||
– | – | – | – | (16 | ) | – | ||||||||||||||||
412 | 4,631 | 468 | 456 | 526 | – | |||||||||||||||||
9,278 | 19,039 | 14,208 | (23,638 | ) | (10,634 | ) | 24 | |||||||||||||||
(6,190 | ) | – | (20 | ) | (9,068 | ) | – | – | ||||||||||||||
3,732 | – | – | – | – | – | |||||||||||||||||
58 | 8,902 | (378 | ) | 701 | 615 | 271 | ||||||||||||||||
(188 | ) | – | (1,889 | ) | – | (36 | ) | – | ||||||||||||||
3 | (2,500 | ) | 473 | 1,217 | (287 | ) | – | |||||||||||||||
280 | (3,625 | ) | (266 | ) | 1,764 | 6,081 | – | |||||||||||||||
$ | 22,606 | $ | 119,130 | $ | 56,959 | $ | (18,049 | ) | $ | 13,000 | $ | 3,589 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 345 |
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the years ended September 30,
Large Cap Fund | ||||||||||
2017 | 2016 | |||||||||
Operations: | ||||||||||
Net investment income (loss) | $ | 21,710 | $ | 24,209 | ||||||
Net realized gain (loss) from investments, affiliated investments and futures contracts | 224,520 | (40,384 | ) | |||||||
Net realized (loss) on foreign currency transactions | – | – | ||||||||
Net change in unrealized appreciation on investments, affiliated investments and futures contracts | 133,881 | 252,691 | ||||||||
Net change in unrealized appreciation on foreign currency transactions | – | – | ||||||||
Net Increase in Net Assets Resulting from Operations | 380,111 | 236,516 | ||||||||
Dividends and Distributions to Shareholders: | ||||||||||
Net investment income: | ||||||||||
Class E | N/A | N/A | ||||||||
Class F(1) | (19,572 | ) | (22,122 | ) | ||||||
Class I | N/A | N/A | ||||||||
Class Y | (1,713 | ) | (2,019 | ) | ||||||
Net capital gains: | ||||||||||
Class E | N/A | N/A | ||||||||
Class F(1) | – | (369,451 | ) | |||||||
Class I | N/A | N/A | ||||||||
Class Y | – | (25,458 | ) | |||||||
Return of Capital: | ||||||||||
Total Dividends and Distributions | (21,285 | ) | (419,050 | ) | ||||||
Capital Share Transactions:(2) | ||||||||||
Class E: | ||||||||||
Proceeds from shares issued | N/A | N/A | ||||||||
Reinvestment of dividends & distributions | N/A | N/A | ||||||||
Cost of shares redeemed | N/A | N/A | ||||||||
Net increase from Class E transactions | N/A | N/A | ||||||||
Class F(1): | ||||||||||
Proceeds from shares issued | 503,259 | 572,117 | ||||||||
Reinvestment of dividends & distributions | 18,216 | 355,095 | ||||||||
Cost of shares redeemed | (733,220 | ) | (1,000,085 | ) | ||||||
Net increase (decrease) from Class F transactions | (211,745 | ) | (72,873 | ) | ||||||
Class I: | ||||||||||
Proceeds from shares issued | N/A | N/A | ||||||||
Reinvestment of dividends & distributions | N/A | N/A | ||||||||
Cost of shares redeemed | N/A | N/A | ||||||||
Net decrease from Class I transactions | N/A | N/A | ||||||||
Class Y: | ||||||||||
Proceeds from shares issued | 28,591 | 35,851 | ||||||||
Reinvestment of dividends & distributions | 1,709 | 27,475 | ||||||||
Cost of shares redeemed | (61,145 | ) | (45,385 | ) | ||||||
Net increase (decrease) from Class Y transactions | (30,845 | ) | 17,941 | |||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | (242,590 | ) | (54,932 | ) | ||||||
Net Increase (Decrease) in Net Assets | 116,236 | (237,466 | ) | |||||||
Net Assets | ||||||||||
Beginning of year | 2,402,274 | 2,639,740 | ||||||||
End of year | $ | 2,518,510 | $ | 2,402,274 | ||||||
Undistributed Net Investment Income Included in Net Assets at Year End | $ | 5,445 | $ | 5,051 |
(1) Effective January 31, 2017, Class A Shares were renamed as Class F Shares of the same Fund.
(2) See Note 7 in Notes to Financial Statements for additional information.
N/A – Not applicable. Shares currently not offered.
Amounts designated as “–” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
346 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Large Cap Value Fund | Large Cap Growth Fund | Tax-Managed Large Cap Fund | S&P 500 Index Fund | Small Cap Fund | ||||||||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||||||||||||
$ | 19,245 | $ | 20,665 | $ | 3,033 | $ | 932 | $ | 29,020 | $ | 33,081 | $ | 12,213 | $ | 11,509 | $ | (621 | ) | $ | 245 | ||||||||||||||||||
95,775 | (38,340 | ) | 180,285 | (70,590 | ) | 186,156 | (23,600 | ) | 7,890 | 22,525 | 51,978 | (4,935 | ) | |||||||||||||||||||||||||
– | – | – | – | – | (1 | ) | – | – | – | – | ||||||||||||||||||||||||||||
113,986 | 146,991 | 40,958 | 203,284 | 328,919 | 297,817 | 102,221 | 56,121 | 25,396 | 47,891 | |||||||||||||||||||||||||||||
– | – | – | – | 7 | – | – | – | – | – | |||||||||||||||||||||||||||||
229,006 | 129,316 | 224,276 | 133,626 | 544,102 | 307,297 | 122,324 | 90,155 | 76,753 | 43,201 | |||||||||||||||||||||||||||||
N/A | N/A | N/A | N/A | N/A | N/A | (5,115 | ) | (4,549 | ) | N/A | N/A | |||||||||||||||||||||||||||
(17,875 | ) | (18,523 | ) | (1,631 | ) | (440 | ) | (26,038 | ) | (30,096 | ) | (6,341 | ) | (6,553 | ) | (776 | ) | (81 | ) | |||||||||||||||||||
(69 | ) | (79 | ) | – | – | N/A | N/A | (82 | ) | (110 | ) | N/A | N/A | |||||||||||||||||||||||||
(1,137 | ) | (195 | ) | (368 | ) | (18 | ) | (2,553 | ) | (1,885 | ) | (399 | ) | (9 | ) | (110 | ) | (30 | ) | |||||||||||||||||||
N/A | N/A | N/A | N/A | N/A | N/A | (8,334 | ) | (352 | ) | N/A | N/A | |||||||||||||||||||||||||||
– | (170,943 | ) | – | (247,678 | ) | – | – | (11,171 | ) | (563 | ) | – | (53,729 | ) | ||||||||||||||||||||||||
– | (838 | ) | – | (854 | ) | N/A | N/A | (182 | ) | (10 | ) | N/A | N/A | |||||||||||||||||||||||||
– | (3 | ) | – | (3 | ) | – | – | (700 | ) | – | – | (3,378 | ) | |||||||||||||||||||||||||
(19,081 | ) | (190,581 | ) | (1,999 | ) | (248,993 | ) | (28,591 | ) | (31,981 | ) | (32,324 | ) | (12,146 | ) | (886 | ) | (57,218 | ) | |||||||||||||||||||
N/A | N/A | N/A | N/A | N/A | N/A | 53,750 | 33,726 | N/A | N/A | |||||||||||||||||||||||||||||
N/A | N/A | N/A | N/A | N/A | N/A | 12,425 | 4,442 | N/A | N/A | |||||||||||||||||||||||||||||
N/A | N/A | N/A | N/A | N/A | N/A | (57,306 | ) | (33,888 | ) | N/A | N/A | |||||||||||||||||||||||||||
N/A | N/A | N/A | N/A | N/A | N/A | 8,869 | 4,280 | N/A | N/A | |||||||||||||||||||||||||||||
142,401 | 175,232 | 156,484 | 213,121 | 481,708 | 678,227 | 145,341 | 105,268 | 137,004 | 152,199 | |||||||||||||||||||||||||||||
16,756 | 178,150 | 1,530 | 234,095 | 23,445 | 27,092 | 16,200 | 6,660 | 721 | 47,634 | |||||||||||||||||||||||||||||
(396,688 | ) | (289,549 | ) | (421,893 | ) | (351,098 | ) | (1,023,577 | ) | (609,417 | ) | (179,157 | ) | (158,094 | ) | (171,076 | ) | (130,137 | ) | |||||||||||||||||||
(237,531 | ) | 63,833 | (263,879 | ) | 96,118 | (518,424 | ) | 95,902 | (17,616 | ) | (46,166 | ) | (33,351 | ) | 69,696 | |||||||||||||||||||||||
617 | 1,924 | 524 | 1,555 | N/A | N/A | 2,413 | 5,253 | N/A | N/A | |||||||||||||||||||||||||||||
54 | 731 | – | 627 | N/A | N/A | 139 | 71 | N/A | N/A | |||||||||||||||||||||||||||||
(3,045 | ) | (3,668 | ) | (2,294 | ) | (2,584 | ) | N/A | N/A | (3,475 | ) | (7,598 | ) | N/A | N/A | |||||||||||||||||||||||
(2,374 | ) | (1,013 | ) | (1,770 | ) | (402 | ) | N/A | N/A | (923 | ) | (2,274 | ) | N/A | N/A | |||||||||||||||||||||||
95,162 | 19,939 | 94,688 | 19,291 | 119,677 | 69,611 | 42,930 | 1,046 | 8,842 | 13,098 | |||||||||||||||||||||||||||||
1,135 | 195 | 367 | 18 | 2,458 | 1,857 | 1,009 | 9 | 110 | 3,408 | |||||||||||||||||||||||||||||
(8,417 | ) | (1,001 | ) | (7,677 | ) | (942 | ) | (41,196 | ) | (20,114 | ) | (5,258 | ) | (411 | ) | (12,393 | ) | (11,825 | ) | |||||||||||||||||||
87,880 | 19,133 | 87,378 | 18,367 | 80,939 | 51,354 | 38,681 | 644 | (3,441 | ) | 4,681 | ||||||||||||||||||||||||||||
(152,025 | ) | 81,953 | (178,271 | ) | 114,083 | (437,485 | ) | 147,256 | 29,011 | (43,516 | ) | (36,792 | ) | 74,377 | ||||||||||||||||||||||||
57,900 | 20,688 | 44,006 | (1,284 | ) | 78,026 | 422,572 | 119,011 | 34,493 | 39,075 | 60,360 | ||||||||||||||||||||||||||||
1,328,198 | 1,307,510 | 1,446,920 | 1,448,204 | 3,625,346 | 3,202,774 | 670,972 | 636,479 | 588,415 | 528,055 | |||||||||||||||||||||||||||||
$ | 1,386,098 | $ | 1,328,198 | $ | 1,490,926 | $ | 1,446,920 | $ | 3,703,372 | $ | 3,625,346 | $ | 789,983 | $ | 670,972 | $ | 627,490 | $ | 588,415 | |||||||||||||||||||
$ | 9,855 | $ | 9,711 | $ | 2,313 | $ | 1,233 | $ | 7,368 | $ | 6,797 | $ | 3,037 | $ | 2,548 | $ | – | $ | 416 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 347 |
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the years or period ended September 30,
Small Cap Value Fund | Small Cap Growth Fund | Tax-Managed Small/Mid Cap Fund | ||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 1,804 | $ | 2,358 | $ | (1,766 | ) | $ | (966 | ) | $ | 1,091 | $ | 2,358 | ||||||||||
Net realized gain (loss) from investments, affiliated investments and futures contracts | 38,616 | (4,387 | ) | 24,937 | (9,414 | ) | 16,801 | (1,434 | ) | |||||||||||||||
Net realized gain (loss) on foreign currency transactions | — | — | — | — | — | — | ||||||||||||||||||
Net change in unrealized appreciation on investments, affiliated investments and futures contracts | 15,796 | 39,715 | 34,951 | 35,793 | 105,305 | 51,653 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) on foreign currency transactions | — | — | — | — | — | — | ||||||||||||||||||
Net Increase in Net Assets Resulting from Operations | 56,216 | 37,686 | 58,122 | 25,413 | 123,197 | 52,577 | ||||||||||||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||
Class F(3) | (1,967 | ) | (2,620 | ) | — | — | (2,774 | ) | (1,942 | ) | ||||||||||||||
Class I | (10 | ) | (17 | ) | — | — | N/A | N/A | ||||||||||||||||
Class Y | (181 | ) | (26 | ) | — | — | (311 | ) | (205 | ) | ||||||||||||||
Net capital gains: | ||||||||||||||||||||||||
Class F(3) | — | (23,148 | ) | — | — | — | — | |||||||||||||||||
Class I | — | (176 | ) | — | — | N/A | N/A | |||||||||||||||||
Class Y | — | (1 | ) | — | — | — | — | |||||||||||||||||
Return of Capital: | ||||||||||||||||||||||||
Total Dividends and Distributions | (2,158 | ) | (25,988 | ) | — | — | (3,085 | ) | (2,147 | ) | ||||||||||||||
Capital Share Transactions:(4) | ||||||||||||||||||||||||
Class F(3): | ||||||||||||||||||||||||
Proceeds from shares issued | 61,831 | 91,045 | 31,220 | 37,779 | 173,955 | 140,278 | ||||||||||||||||||
Reinvestment of dividends & distributions | 1,824 | 24,137 | N/A | N/A | 2,465 | 1,729 | ||||||||||||||||||
Cost of shares redeemed | (127,809 | ) | (108,797 | ) | (85,178 | ) | (74,997 | ) | (148,277 | ) | (134,198 | ) | ||||||||||||
Net increase (decrease) from Class F transactions | (64,154 | ) | 6,385 | (53,958 | ) | (37,218 | ) | 28,143 | 7,809 | |||||||||||||||
Class I: | ||||||||||||||||||||||||
Proceeds from shares issued | 350 | 1,365 | 293 | 1,127 | N/A | N/A | ||||||||||||||||||
Reinvestment of dividends & distributions | 9 | 164 | — | — | N/A | N/A | ||||||||||||||||||
Cost of shares redeemed | (1,173 | ) | (2,458 | ) | (832 | ) | (1,807 | ) | N/A | N/A | ||||||||||||||
Net increase (decrease) from Class I transactions | (814 | ) | (929 | ) | (539 | ) | (680 | ) | N/A | N/A | ||||||||||||||
Class Y: | ||||||||||||||||||||||||
Proceeds from shares issued | 29,541 | 6,260 | 19,444 | 6,390 | 27,784 | 20,131 | ||||||||||||||||||
Reinvestment of dividends & distributions | 169 | 26 | — | — | 293 | 201 | ||||||||||||||||||
Cost of shares redeemed | (2,260 | ) | (305 | ) | (1,521 | ) | (296 | ) | (9,173 | ) | (5,900 | ) | ||||||||||||
Net increase (decrease) from Class Y transactions | 27,450 | 5,981 | 17,923 | 6,094 | 18,904 | 14,432 | ||||||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | (37,518 | ) | 11,437 | (36,574 | ) | (31,804 | ) | 47,047 | 22,241 | |||||||||||||||
Net Increase (Decrease) in Net Assets | 16,540 | 23,135 | 21,548 | (6,391 | ) | 167,159 | 72,671 | |||||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of year | 372,465 | 349,330 | 321,736 | 328,127 | 690,473 | 617,802 | ||||||||||||||||||
End of year | $ | 389,005 | $ | 372,465 | $ | 343,284 | $ | 321,736 | $ | 857,632 | $ | 690,473 | ||||||||||||
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Year or Period End | $ | 902 | $ | 1,105 | $ | (1,992 | ) | $ | (901 | ) | $ | (151 | ) | $ | 1,093 |
(1) | Commenced operations on October 17, 2016. |
(2) | Includes realized losses of $24,125 ($ Thousands) due to in-kind transactions (See Note 13). |
(3) | Effective January 31, 2017, Class A Shares were renamed as Class F Shares of the same Fund. |
(4) | See Note 7 in Notes to Financial Statements for additional information. |
(5) | Includes redemptions as a result of in-kind transfer of securities (see Note 13). |
N/A — Not applicable. Shares currently not offered.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
348 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Mid-Cap Fund | U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | Tax-Managed International Managed Volatility Fund(1) | ||||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | ||||||||||||||||||||||||||
$ | 711 | $ | 1,045 | $ | 25,146 | $ | 24,083 | $ | 22,546 | $ | 29,649 | $ | 15,976 | $ | 16,234 | $ | 6,534 | |||||||||||||||||
8,605 | (12 | ) | 119,789 | 46,522 | 125,365 | 28,510 | (2) | 39,273 | 13,937 | (6,270 | ) | |||||||||||||||||||||||
— | — | 89 | 66 | 1,332 | 880 | 91 | (21 | ) | (197 | ) | ||||||||||||||||||||||||
7,225 | 9,570 | 39,952 | 97,201 | 255 | 163,880 | 66,115 | 90,442 | 44,986 | ||||||||||||||||||||||||||
— | — | 20 | 10 | 2,282 | (2,264 | ) | 5 | (7 | ) | 25 | ||||||||||||||||||||||||
16,541 | 10,603 | 184,996 | 167,882 | 151,780 | 220,655 | 121,460 | 120,585 | 45,078 | ||||||||||||||||||||||||||
(654 | ) | (1,316 | ) | (16,100 | ) | (16,243 | ) | (46,339 | ) | (121,131 | ) | (15,524 | ) | (15,355 | ) | (10 | ) | |||||||||||||||||
(3 | ) | (11 | ) | (20 | ) | (22 | ) | (41 | ) | (66 | ) | N/A | N/A | N/A | ||||||||||||||||||||
(11 | ) | (3 | ) | (9,125 | ) | (7,953 | ) | (3,425 | ) | (4,789 | ) | (814 | ) | (291 | ) | (3 | ) | |||||||||||||||||
(698 | ) | (14,310 | ) | (31,901 | ) | (49,368 | ) | (59,143 | ) | (30,756 | ) | (24,946 | ) | (37,938 | ) | (90 | ) | |||||||||||||||||
(6 | ) | (133 | ) | (56 | ) | (78 | ) | (58 | ) | (17 | ) | N/A | N/A | N/A | ||||||||||||||||||||
(6 | ) | (3 | ) | (13,880 | ) | (19,030 | ) | (4,213 | ) | (1,174 | ) | (1,096 | ) | (8 | ) | (2 | ) | |||||||||||||||||
(1,378 | ) | (15,776 | ) | (71,082 | ) | (92,694 | ) | (113,219 | ) | (157,933 | ) | (42,380 | ) | (53,592 | ) | (105 | ) | |||||||||||||||||
41,715 | 45,846 | 271,433 | 485,649 | 343,160 | 686,309 | 200,593 | 422,637 | 371,007 | ||||||||||||||||||||||||||
1,086 | 13,666 | 42,085 | 57,534 | 94,813 | 142,990 | 35,107 | 45,387 | 83 | ||||||||||||||||||||||||||
(33,003 | ) | (60,453 | ) | (519,803 | ) | (422,085 | ) | (842,329 | ) | | (1,499,613 | )(5) | (479,179 | ) | (269,936 | ) | (78,131 | ) | ||||||||||||||||
9,798 | (941 | ) | (206,285 | ) | 121,098 | (404,356 | ) | (670,314 | ) | (243,479 | ) | 198,088 | 292,959 | |||||||||||||||||||||
105 | 104 | 220 | 555 | 183 | 1,745 | N/A | N/A | N/A | ||||||||||||||||||||||||||
10 | 144 | 76 | 100 | 99 | 83 | N/A | N/A | N/A | ||||||||||||||||||||||||||
(236 | ) | (229 | ) | (920 | ) | (298 | ) | (1,479 | ) | (511 | ) | N/A | N/A | N/A | ||||||||||||||||||||
(121 | ) | 19 | (624 | ) | 357 | (1,197 | ) | 1,317 | N/A | N/A | N/A | |||||||||||||||||||||||
1,871 | 517 | 258,709 | 183,651 | 126,017 | 60,214 | 30,892 | 36,398 | 13,016 | ||||||||||||||||||||||||||
17 | 2 | 22,886 | 26,906 | 7,336 | 5,963 | 1,549 | 250 | 4 | ||||||||||||||||||||||||||
(304 | ) | (100 | ) | (222,226 | ) | (144,982 | ) | (32,306 | ) | (66,830 | ) | (11,722 | ) | (3,583 | ) | (950 | ) | |||||||||||||||||
1,584 | 419 | 59,369 | 65,575 | 101,047 | (653 | ) | 20,719 | 33,065 | 12,070 | |||||||||||||||||||||||||
11,261 | (503 | ) | (147,540 | ) | 187,030 | (304,506 | ) | (669,650 | ) | (222,760 | ) | 231,153 | 305,029 | |||||||||||||||||||||
26,424 | (5,676 | ) | (33,626 | ) | 262,218 | (265,945 | ) | (606,928 | ) | (143,680 | ) | 298,146 | 350,002 | |||||||||||||||||||||
89,130 | 94,806 | 1,615,168 | 1,352,950 | 1,723,671 | 2,330,599 | 1,199,495 | 901,349 | — | ||||||||||||||||||||||||||
$ | 115,554 | $ | 89,130 | $ | 1,581,542 | $ | 1,615,168 | $ | 1,457,726 | $ | 1,723,671 | $ | 1,055,815 | $ | 1,199,495 | $ | 350,002 | |||||||||||||||||
$ | 190 | $ | 46 | $ | 6,140 | $ | 5,726 | $ | 888 | $ | 21,778 | $ | 3,851 | $ | 3,919 | $ | 6,717 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 349 |
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the years or period ended September 30,
Real Estate Fund | Enhanced Income Fund | Core Fixed Income Fund | ||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 391 | $ | 3,204 | $ | 1,813 | $ | 3,995 | $ | 45,373 | $ | 48,193 | ||||||||||||
Net realized gain (loss) from investments, affiliated investments, futures contracts, options and swap contracts | 10,803 | 22,656 | (831 | ) | (892 | ) | 3,021 | 31,083 | ||||||||||||||||
Net realized gain (loss) on foreign currency transactions | — | — | — | — | 1,209 | (2,737 | ) | |||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments, affiliated investments, futures contracts, options and swap contracts | (13,186 | ) | 6,545 | 2,136 | 1,978 | (31,512 | ) | 38,869 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) on foreign currency transactions | — | — | — | — | 748 | 388 | ||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,992 | ) | 32,405 | 3,118 | 5,081 | 18,839 | 115,796 | |||||||||||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||
Class F(2) | (3,576 | ) | (1,492 | ) | (2,326 | ) | (4,041 | ) | (44,513 | ) | (47,320 | ) | ||||||||||||
Class I | (12 | ) | (5 | ) | (4 | ) | (4 | ) | (159 | ) | (196 | ) | ||||||||||||
Class Y | (926 | ) | (289 | ) | (217 | ) | (333 | ) | (3,743 | ) | (1,281 | ) | ||||||||||||
Net capital gains: | ||||||||||||||||||||||||
Class F(2) | (13,694 | ) | (13,478 | ) | — | — | (38,570 | ) | (22,282 | ) | ||||||||||||||
Class I | (47 | ) | (50 | ) | — | — | (177 | ) | (88 | ) | ||||||||||||||
Class Y | (3,259 | ) | (2,072 | ) | — | — | (2,664 | ) | (251 | ) | ||||||||||||||
Return of Capital: | ||||||||||||||||||||||||
Class F | — | — | — | — | — | — | ||||||||||||||||||
Class Y | — | — | — | — | — | — | ||||||||||||||||||
Total Dividends and Distributions | (21,514 | ) | (17,386 | ) | (2,547 | ) | (4,378 | ) | (89,826 | ) | (71,418 | ) | ||||||||||||
Capital Share Transactions:(3) | ||||||||||||||||||||||||
Class F(2): | ||||||||||||||||||||||||
Proceeds from shares issued | 33,297 | 53,758 | 24,519 | 64,014 | 358,190 | 370,267 | ||||||||||||||||||
Reinvestment of dividends & distributions | 15,915 | 13,986 | 2,097 | 3,328 | 75,098 | 62,831 | ||||||||||||||||||
Cost of shares redeemed | (66,266 | ) | (98,481 | ) | (137,936 | ) | (77,456 | ) | (579,756 | ) | (473,871 | ) | ||||||||||||
Net increase (decrease) from Class F transactions | (17,054 | ) | (30,737 | ) | (111,320 | ) | (10,114 | ) | (146,468 | ) | (40,773 | ) | ||||||||||||
Class I: | ||||||||||||||||||||||||
Proceeds from shares issued | 37 | 51 | 43 | 56 | 2,435 | 7,030 | ||||||||||||||||||
Reinvestment of dividends & distributions | 59 | 55 | 4 | 5 | 216 | 181 | ||||||||||||||||||
Cost of shares redeemed | (147 | ) | (224 | ) | (115 | ) | (38 | ) | (5,651 | ) | (10,645 | ) | ||||||||||||
Net increase (decrease) from Class I transactions | (51 | ) | (118 | ) | (68 | ) | 23 | (3,000 | ) | (3,434 | ) | |||||||||||||
Class Y: | ||||||||||||||||||||||||
Proceeds from shares issued | 7,456 | 20,904 | 1,087 | 9,533 | 177,110 | 48,188 | ||||||||||||||||||
Reinvestment of dividends & distributions | 4,014 | 2,288 | 199 | 325 | 6,270 | 1,528 | ||||||||||||||||||
Cost of shares redeemed | (6,981 | ) | (8,223 | ) | (12,729 | ) | (3,986 | ) | (26,601 | ) | (3,615 | ) | ||||||||||||
Net increase (decrease) from Class Y transactions | 4,489 | 14,969 | (11,443 | ) | 5,872 | 156,779 | 46,101 | |||||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | (12,616 | ) | (15,886 | ) | (122,831 | ) | (4,219 | ) | 7,311 | 1,894 | ||||||||||||||
Net Increase (Decrease) in Net Assets | (36,122 | ) | (867 | ) | (122,260 | ) | (3,516 | ) | (63,676 | ) | 46,272 | |||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of year | 211,420 | 212,287 | 198,624 | 202,140 | 2,150,342 | 2,104,070 | ||||||||||||||||||
End of year | $ | 175,298 | $ | 211,420 | $ | 76,364 | $ | 198,624 | $ | 2,086,666 | $ | 2,150,342 | ||||||||||||
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Year or Period End | $ | (1,186 | ) | $ | 2,193 | $ | 413 | $ | 974 | $ | (3,256 | ) | $ | (3,948 | ) |
(1) | Commenced operations on April 22, 2016 |
(2) | Effective January 31, 2017, Class A Shares were renamed as Class F Shares of the same Fund. |
(3) | See Note 7 in Notes to Financial Statements for additional information. |
N/A — Not applicable. Shares currently not offered.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
350 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
U.S. Fixed Income Fund | High Yield Bond Fund | Conservative Income Fund(1) | Tax-Free Conservative Income Fund(1) | Real Return Fund | ||||||||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||||||||||||
$ | 31,506 | $ | 22,667 | $ | 95,706 | $ | 108,548 | $ | 1,776 | $ | 117 | $ | 763 | $ | 57 | $ | 3,018 | $ | (31 | ) | ||||||||||||||||||
(6,799 | ) | 23,992 | 3,328 | (52,524 | ) | 3 | 1 | — | — | 18 | (745 | ) | ||||||||||||||||||||||||||
305 | 72 | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
(21,762 | ) | 13,681 | 52,441 | 128,300 | 28 | 5 | 8 | (14 | ) | (3,124 | ) | 8,054 | ||||||||||||||||||||||||||
410 | (111 | ) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||
3,660 | 60,301 | 151,475 | 184,324 | 1,807 | 123 | 771 | 43 | (88 | ) | 7,278 | ||||||||||||||||||||||||||||
(29,187 | ) | (21,692 | ) | (81,593 | ) | (97,388 | ) | (1,558 | ) | (82 | ) | (743 | ) | (35 | ) | (2,501 | ) | — | ||||||||||||||||||||
N/A | N/A | (332 | ) | (303 | ) | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||
(3,241 | ) | (1,995 | ) | (10,507 | ) | (11,336 | ) | (217 | ) | (35 | ) | (25 | ) | (22 | ) | (187 | ) | — | ||||||||||||||||||||
(24,147 | ) | (11,458 | ) | (23,294 | ) | (20,752 | ) | (2 | ) | — | — | — | — | — | ||||||||||||||||||||||||
N/A | N/A | (129 | ) | (14 | ) | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||
(2,464 | ) | (904 | ) | (2,750 | ) | (1,965 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||
— | — | — | — | — | — | — | — | (379 | ) | — | ||||||||||||||||||||||||||||
— | — | — | — | — | — | — | — | (27 | ) | — | ||||||||||||||||||||||||||||
(59,039 | ) | (36,049 | ) | (118,605 | ) | (131,758 | ) | (1,777 | ) | (117 | ) | (768 | ) | (57 | ) | (3,094 | ) | — | ||||||||||||||||||||
847,168 | 341,832 | 421,069 | 557,107 | 209,939 | 79,708 | 198,433 | 34,618 | 61,868 | 101,105 | |||||||||||||||||||||||||||||
47,934 | 27,978 | 94,761 | 104,534 | 1,000 | 2 | 552 | N/A | 2,385 | — | |||||||||||||||||||||||||||||
(411,472 | ) | (300,552 | ) | (813,243 | ) | (516,086 | ) | (95,535 | ) | (4,704 | ) | (66,709 | ) | (3,662 | ) | (100,313 | ) | (80,211 | ) | |||||||||||||||||||
483,630 | 69,258 | (297,413 | ) | 145,555 | 115,404 | 75,006 | 132,276 | 30,956 | (36,060 | ) | 20,894 | |||||||||||||||||||||||||||
N/A | N/A | 12,255 | 17,111 | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||||
N/A | N/A | 459 | 257 | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||||
N/A | N/A | (12,837 | ) | (17,757 | ) | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||
N/A | N/A | (123 | ) | (389 | ) | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||
81,982 | 28,070 | 51,520 | 73,327 | 26,187 | 33,606 | 6,787 | 13,904 | 3,214 | 11,568 | |||||||||||||||||||||||||||||
5,656 | 2,884 | 13,057 | 13,277 | 210 | 34 | 19 | 22 | 210 | — | |||||||||||||||||||||||||||||
(20,932 | ) | (24,672 | ) | (80,197 | ) | (39,455 | ) | (23,214 | ) | (16,845 | ) | (16,952 | ) | — | (13,859 | ) | (8,938 | ) | ||||||||||||||||||||
66,706 | 6,282 | (15,620 | ) | 47,149 | 3,183 | 16,795 | (10,146 | ) | 13,926 | (10,435 | ) | 2,630 | ||||||||||||||||||||||||||
550,336 | 75,540 | (313,156 | ) | 192,315 | 118,587 | 91,801 | 122,130 | 44,882 | (46,495 | ) | 23,524 | |||||||||||||||||||||||||||
494,957 | 99,792 | (280,286 | ) | 244,881 | 118,617 | 91,807 | 122,133 | 44,868 | (49,677 | ) | 30,802 | |||||||||||||||||||||||||||
1,302,394 | 1,202,602 | 1,938,000 | 1,693,119 | 91,807 | — | 44,868 | — | 320,215 | 289,413 | |||||||||||||||||||||||||||||
$ | 1,797,351 | $ | 1,302,394 | $ | 1,657,714 | $ | 1,938,000 | $ | 210,424 | $ | 91,807 | $ | 167,001 | $ | 44,868 | $ | 270,538 | $ | 320,215 | |||||||||||||||||||
$ | 207 | $ | 165 | $ | 11,451 | $ | 16,847 | $ | 1 | $ | — | $ | (5 | ) | $ | — | $ | (6 | ) | $ | (336 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 351 |
STATEMENTS OF CHANGES IN NET ASSETS/CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the years ended September 30,
Dynamic Asset Allocation Fund | Multi-Strategy Alternative Fund | Multi-Asset Accumulation Fund | ||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 8,696 | $ | 6,941 | $ | (584 | ) | $ | 5,182 | $ | (2,889 | ) | $ | (10,289 | ) | |||||||||
Net realized gain (loss) from investments, securities sold short, futures contracts, options, swaptions and swap contracts | 3,590 | (2,255 | ) | 16,242 | (8,504 | ) | 104,702 | 173,625 | ||||||||||||||||
Net realized gain (loss) on foreign currency transactions | 7,187 | (3,995 | ) | (25 | ) | 275 | (4,499 | ) | 10,203 | |||||||||||||||
Net change in unrealized appreciation (depreciation) on investments, securities sold short, futures contracts, options and swap contracts | 96,241 | 45,206 | 6,695 | 21,870 | 25,441 | 60,435 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) on foreign currency transactions | 1,145 | (2,358 | ) | 278 | (78 | ) | (3,625 | ) | (1,282 | ) | ||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 116,859 | 43,539 | 22,606 | 18,745 | 119,130 | 232,692 | ||||||||||||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||
Class F(1) | (4,937 | ) | (1,545 | ) | (362 | ) | (8,678 | ) | (17,091 | ) | — | |||||||||||||
Class Y | (539 | ) | (203 | ) | (4 | ) | — | * | (2,213 | ) | — | |||||||||||||
Net capital gains: | ||||||||||||||||||||||||
Class F(1) | — | — | — | (5,493 | ) | (133,300 | ) | (52,441 | ) | |||||||||||||||
Class Y | — | — | — | — | * | (13,339 | ) | (5,687 | ) | |||||||||||||||
Return of Capital: | ||||||||||||||||||||||||
Class Y | — | — | — | — | — | — | ||||||||||||||||||
Total Dividends and Distributions | (5,476 | ) | (1,748 | ) | (366 | ) | (14,171 | ) | (165,943 | ) | (58,128 | ) | ||||||||||||
Capital Share Transactions:(2) | ||||||||||||||||||||||||
Class F(1): | ||||||||||||||||||||||||
Proceeds from shares issued | 213,750 | 528,103 | 112,287 | 171,102 | 748,527 | 552,145 | ||||||||||||||||||
Reinvestment of dividends & distributions | 4,578 | 1,436 | 326 | 12,521 | 137,072 | 48,391 | ||||||||||||||||||
Cost of shares redeemed | (112,077 | ) | (98,390 | ) | (200,431 | ) | (142,145 | ) | (450,101 | ) | (486,245 | ) | ||||||||||||
Net increase (decrease) from Class F transactions | 106,251 | 431,149 | (87,818 | ) | 41,478 | 435,498 | 114,291 | |||||||||||||||||
Class Y: | ||||||||||||||||||||||||
Proceeds from shares issued | 31,483 | 6,305 | 3,857 | 4,953 | 71,209 | 27,220 | ||||||||||||||||||
Reinvestment of dividends & distributions | 539 | 202 | 4 | — | 15,484 | 5,687 | ||||||||||||||||||
Cost of shares redeemed | (17,335 | ) | (11,889 | ) | (500 | ) | (3,712 | ) | (48,067 | ) | (48,587 | ) | ||||||||||||
Net increase (decrease) from Class Y transactions | 14,687 | (5,382 | ) | 3,361 | 1,241 | 38,626 | (15,680 | ) | ||||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 120,938 | 425,767 | (84,457 | ) | 42,719 | 474,124 | 98,611 | |||||||||||||||||
Net Increase (Decrease) in Net Assets | 232,321 | 467,558 | (62,217 | ) | 47,293 | 427,311 | 273,175 | |||||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of year | 537,301 | 69,743 | 575,104 | 527,811 | 2,279,105 | 2,005,930 | ||||||||||||||||||
End of year | $ | 769,622 | $ | 537,301 | $ | 512,887 | $ | 575,104 | $ | 2,706,416 | $ | 2,279,105 | ||||||||||||
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Year End | $ | 11,921 | $ | 1,461 | $ | (298 | ) | $ | 415 | $ | (19,459 | ) | $ | (17,755 | ) |
* | Includes investment income distributions of $351 and capital gains distributions of $195. |
(1) | Effective January 31, 2017, Class A Shares were renamed as Class��F Shares of the same Fund. |
(2) | See Note 7 in Notes to Financial Statements for additional information |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
352 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Multi-Asset Income Fund | Multi-Asset Inflation Managed Fund | Multi-Asset Capital Stability Fund | Long/Short Alternative Fund | |||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||||||
$ | 38,110 | $ | 32,823 | $ | 9,103 | $ | 6,385 | $ | 196 | $ | (422 | ) | $ | 36 | $ | (131 | ) | |||||||||||||
7,423 | (8,640 | ) | 2,131 | (10,310 | ) | 11,296 | 3,682 | 3,258 | 197 | |||||||||||||||||||||
(702 | ) | 597 | (259 | ) | (28 | ) | 5,769 | 1,589 | — | — | ||||||||||||||||||||
12,394 | 24,134 | (30,788 | ) | 18,621 | (10,342 | ) | 5,752 | 295 | 545 | |||||||||||||||||||||
(266 | ) | 306 | 1,764 | (2,228 | ) | 6,081 | (345 | ) | — | — | ||||||||||||||||||||
56,959 | 49,220 | (18,049 | ) | 12,440 | 13,000 | 10,256 | 3,589 | 611 | ||||||||||||||||||||||
(26,811 | ) | (31,119 | ) | (9,561 | ) | (4,527 | ) | (1,044 | ) | — | — | — | ||||||||||||||||||
(5,026 | ) | (3,724 | ) | (888 | ) | (590 | ) | (130 | ) | — | — | — | ||||||||||||||||||
— | (6,367 | ) | — | — | (3,588 | ) | (6,779 | ) | — | — | ||||||||||||||||||||
— | (332 | ) | — | — | (279 | ) | (583 | ) | — | — | ||||||||||||||||||||
— | — | — | — | — | — | (1 | ) | — | ||||||||||||||||||||||
(31,837 | ) | (41,542 | ) | (10,449 | ) | (5,117 | ) | (5,041 | ) | (7,362 | ) | (1 | ) | — | ||||||||||||||||
334,913 | 216,121 | 213,570 | 313,191 | 213,677 | 252,346 | — | — | |||||||||||||||||||||||
22,088 | 30,116 | 8,667 | 3,967 | 3,619 | 5,291 | — | — | |||||||||||||||||||||||
(208,055 | ) | (222,050 | ) | (365,499 | ) | (256,694 | ) | (188,661 | ) | (167,823 | ) | — | — | |||||||||||||||||
148,946 | 24,187 | (143,262 | ) | 60,464 | 28,635 | 89,814 | — | — | ||||||||||||||||||||||
81,243 | 69,963 | 15,276 | 21,292 | 8,247 | 12,540 | — | — | |||||||||||||||||||||||
4,941 | 4,001 | 868 | 590 | 409 | 583 | — | — | |||||||||||||||||||||||
(20,925 | ) | (12,892 | ) | (34,879 | ) | (16,773 | ) | (10,338 | ) | (12,521 | ) | (11,000 | ) | — | ||||||||||||||||
65,259 | 61,072 | (18,735 | ) | 5,109 | (1,682 | ) | 602 | (11,000 | ) | — | ||||||||||||||||||||
214,205 | 85,259 | (161,997 | ) | 65,573 | 26,953 | 90,416 | (11,000 | ) | — | |||||||||||||||||||||
239,327 | 92,937 | (190,495 | ) | 72,896 | 34,912 | 93,310 | (7,412 | ) | 611 | |||||||||||||||||||||
741,420 | 648,483 | 1,080,192 | 1,007,296 | 709,681 | 616,371 | 41,794 | 41,183 | |||||||||||||||||||||||
$ | 980,747 | $ | 741,420 | $ | 889,697 | $ | 1,080,192 | $ | 744,593 | $ | 709,681 | $ | 34,382 | $ | 41,794 | |||||||||||||||
$ | (2,329 | ) | $ | (823 | ) | $ | (2,908 | ) | $ | (1,933 | ) | $ | 6,569 | $ | 1,249 | $ | — | $ | (83 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 353 |
STATEMENT OF CASH FLOWS ($ Thousands)
For the year ended September 30, 2017
Multi-Asset Inflation Managed Fund | ||||
Cash Flows from Operating Activities: | ||||
Net decrease in net assets from operations | $ | (18,049) | ||
Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by operating activities: | ||||
Purchase of Investment Securities | (867,631) | |||
Proceeds from disposition of investment securities | 1,162,142 | |||
Proceeds from securities sold short | 165,526 | |||
Purchases to cover securities sold short | (226,038) | |||
Purchased options/purchases to cover written options | (615) | |||
Proceeds from sale of options/expired options | 432 | |||
Amortization (accretion of market discount) | (5,079) | |||
Net Realized Gain/(Loss) on: | ||||
Investments and securities sold short | (17,516) | |||
Options | 183 | |||
Net Change in Unrealized (Appreciation)/Depreciation on: | ||||
Investments and securities sold short | 32,706 | |||
Changes in Assets: | ||||
Cash collateral on swaps | 511 | |||
Cash collateral on futures | (154) | |||
Foreign currency, at value | (319) | |||
Receivable for investment securities sold | 10,734 | |||
Dividends and interest receivable | 740 | |||
Unrealized gain on forward foreign currency contracts | 16 | |||
Unrealized gain of foreign spot currency contracts | (13) | |||
OTC swap contracts, at value | 9 | |||
Receivable for variation margin | 2,390 | |||
Foreign tax reclaim receivable | (9) | |||
Due from broker | (1,454) | |||
Prepaid expenses | (6) | |||
Changes in Liabilities: | ||||
Shareholder servicing fees payable, Class F | (32) | |||
Payable for investment securities purchased | (12,044) | |||
OTC swap contracts, at value | 295 | |||
Payable for variation margin | (1,163) | |||
Investment advisory fees payable | (56) | |||
Unrealized loss on forward foreign currency contracts | (1,738) | |||
Unrealized loss on foreign currency spot contracts | (6) | |||
Interest payable | (15) | |||
Due to broker | (1,930) | |||
Accrued expenses payable | 189 | |||
Net Cash Provided by Operating Activities | 222,006 | |||
Cash Flows from Financing Activities | ||||
Reverse repurchase agreements | (84,778) | |||
Dividends and distributions | (10,449) | |||
Proceeds from shares issued | 229,386 | |||
Reinvestment of dividends and distributions | 9,535 | |||
Cost of shares redeemed | (400,918) | |||
Net Cash Used in Financing Activities | (257,224) | |||
Net Change in Cash | (35,218) | |||
Cash and cash equivalents at Beginning of Year | $ | 182,745 | ||
Cash and cash equivalents at End of Year | $ | 147,527 |
The accompanying notes are an integral part of the financial statements.
354 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
For the years or period 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 Investments(1) | Total Operations | Dividends Investment | Distributions from Net Realized Capital Gains | Total Distributions | Net Asset End of Period | Total Return† | Net Assets ($ Thousands) | Ratio of Net Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers) | 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 | ||||||||||||||||||||||||||||||||||||||||||||||
Large Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 12.54 | $ | 0.12 | $ | 2.11 | $ | 2.23 | $ | (0.12) | $ | — | $ | (0.12) | $ | 14.65 | 17.88 | % | $ | 2,362,181 | 0.89% | 0.89% | 0.95% | 0.91 | % | 100 | % | |||||||||||||||||||||||||||||||||
2016 | 13.71 | 0.12 | 1.16 | 1.28 | (0.12) | (2.33) | (2.45) | 12.54 | 10.15 | 2,237,663 | 0.91(3) | | 0.91(3) | | 0.99(3) | 1.01 | 68 | |||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 12.55 | $ | 0.16 | $ | 2.10 | $ | 2.26 | $ | (0.15) | $ | — | $ | (0.15) | $ | 14.66 | 18.16 | % | $ | 156,329 | 0.64% | 0.64% | 0.70% | 1.16 | % | 100 | % | |||||||||||||||||||||||||||||||||
2016 | 13.71 | 0.16 | 1.16 | 1.32 | (0.15) | (2.33) | (2.48) | 12.55 | 10.50 | 164,611 | 0.66(3) | | 0.66(3) | | 0.74(3) | 1.26 | 68 | |||||||||||||||||||||||||||||||||||||||||||
2015(4) | 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 F(2) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 21.20 | $ | 0.32 | $ | 3.49 | $ | 3.81 | $ | (0.31) | $ | — | $ | (0.31) | $ | 24.70 | 18.13 | % | $ | 1,261,075 | 0.89% | 0.89% | 0.93% | 1.38 | % | 76 | % | |||||||||||||||||||||||||||||||||
2016 | 22.35 | 0.32 | 1.78 | 2.10 | (0.30) | (2.95) | (3.25) | 21.20 | 10.16 | 1,300,029 | 0.91(3) | | 0.91(3) | | | 0.95(3) | | 1.56 | 70 | |||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 21.21 | $ | 0.27 | $ | 3.49 | $ | 3.76 | $ | (0.26) | $ | — | $ | (0.26) | $ | 24.71 | 17.84 | % | $ | 4,666 | 1.11% | 1.11% | 1.18% | 1.16 | % | 76 | % | |||||||||||||||||||||||||||||||||
2016 | 22.35 | 0.28 | 1.78 | 2.06 | (0.25) | (2.95) | (3.20) | 21.21 | 9.93 | 6,165 | 1.13(3) | 1.13(3) | 1.20(3) | 1.33 | 70 | |||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 21.21 | $ | 0.38 | $ | 3.48 | $ | 3.86 | $ | (0.37) | $ | — | $ | (0.37) | $ | 24.70 | 18.37 | % | $ | 120,357 | 0.64% | 0.64% | 0.69% | 1.63 | % | 76 | % | |||||||||||||||||||||||||||||||||
2016(5) | 23.90 | 0.35 | 0.16 | 0.51 | (0.25) | (2.95) | (3.20) | 21.21 | 2.88 | 22,004 | 0.66(3) | 0.66(3) | 0.70(3) | 1.89 | 70 | |||||||||||||||||||||||||||||||||||||||||||||
Large Cap Growth Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 29.74 | $ | 0.06 | $ | 4.96 | $ | 5.02 | $ | (0.04) | $ | — | $ | (0.04) | $ | 34.72 | 16.89 | % | $ | 1,364,210 | 0.89% | 0.89% | 0.98% | 0.20 | % | 95 | % | |||||||||||||||||||||||||||||||||
2016 | 32.22 | 0.02 | 3.02 | 3.04 | (0.01) | (5.51) | (5.52) | 29.74 | 9.77 | 1,421,656 | 0.91(3) | | 0.91(3) | | | 1.00(3) | | 0.06 | 93 | |||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 29.17 | $ | (0.01) | $ | 4.86 | $ | 4.85 | $ | — | $ | — | $ | — | $ | 34.02 | 16.63 | % | $ | 3,607 | 1.11% | 1.11% | 1.23% | (0.03 | )% | 95 | % | |||||||||||||||||||||||||||||||||
2016 | 31.75 | (0.04) | 2.97 | 2.93 | — | (5.51) | (5.51) | 29.17 | 9.54 | 4,783 | 1.13(3) | 1.13(3) | 1.25(3) | (0.15 | ) | 93 | ||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 29.80 | $ | 0.14 | $ | 4.96 | $ | 5.10 | $ | (0.14) | $ | — | $ | (0.14) | $ | 34.76 | 17.17 | % | $ | 123,109 | 0.64% | 0.64% | 0.74% | 0.45 | % | 95 | % | |||||||||||||||||||||||||||||||||
2016(5) | 34.91 | 0.07 | 0.36 | 0.43 | (0.03) | (5.51) | (5.54) | 29.80 | 1.58 | 20,481 | 0.66(3) | | 0.66(3) | | 0.75(3) | 0.25 | 93 |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. |
(2) | Effective January 31, 2017, Class A Shares were renamed as Class F Shares of the same Fund. |
(3) | The expense ratio includes proxy expenses outside of the cap. |
(4) | Commenced operations on December 31, 2014. All ratios for the period have been annualized. |
(5) | Commenced operations on October 30, 2015. All ratios for the period have been annualized. |
Amounts | designated as “—“ are $0 or have been rounded to $0. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 355 |
FINANCIAL HIGHLIGHTS
For the years or period 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 Gains (Losses) on Investments(1) | Total Operations | Dividends Investment | Distributions from Net Realized Capital Gains | Total Distributions | Net Asset End of Period | Total Return† | Net Assets End of Period | Ratio of Net Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Income (Loss) | Portfolio Turnover | ||||||||||||||||||||||||||||||||||||||||||||||
Tax-Managed Large Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 20.74 | $ | 0.18 | $ | 3.37 | $ | 3.55 | $ | (0.18) | $ | — | $ | (0.18) | $ | 24.11 | 17.19 | % | $ | 3,385,550 | 0.90%(3) | 0.90%(3) | 0.94%(3) | 0.82 | % | 88 | % | |||||||||||||||||||||||||||||||||
2016 | 19.13 | 0.19 | 1.60 | 1.79 | (0.18) | — | (0.18) | 20.74 | 9.42 | 3,427,251 | 0.91(4) | 0.91(4) | 1.00(4) | 0.95 | 89 | |||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 20.75 | $ | 0.24 | $ | 3.37 | $ | 3.61 | $ | (0.23) | $ | — | $ | (0.23) | $ | 24.13 | 17.52 | % | $ | 317,822 | 0.65%(3) | 0.65%(3) | 0.69%(3) | 1.07 | % | 88 | % | |||||||||||||||||||||||||||||||||
2016 | 19.13 | 0.24 | 1.61 | 1.85 | (0.23) | — | (0.23) | 20.75 | 9.75 | 198,095 | 0.66(4) | 0.66(4) | 0.75(4) | 1.20 | 89 | |||||||||||||||||||||||||||||||||||||||||||||
2015(5) | 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 E | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 53.68 | $ | 1.00 | $ | 8.51 | $ | 9.51 | $ | (0.96) | $ | (1.59) | $ | (2.55) | $ | 60.64 | | 18.32 | % | $ | 323,386 | 0.25% | 0.25% | 0.29% | 1.76 | % | 21 | % | ||||||||||||||||||||||||||||||||
2016 | 47.54 | 0.95 | 6.18 | 7.13 | (0.92) | (0.07) | (0.99) | 53.68 | 15.14 | 277,242 | 0.27(4) | 0.27(4) | 0.32(4) | 1.88 | 10 | |||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class F(2) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 53.32 | $ | 0.89 | $ | 8.47 | $ | 9.36 | $ | (0.87) | $ | (1.59) | $ | (2.46) | $ | 60.22 | 18.12 | % | $ | 417,308 | 0.43% | 0.43% | 0.54% | 1.58 | % | 21 | % | |||||||||||||||||||||||||||||||||
2016 | 47.23 | 0.86 | 6.13 | 6.99 | (0.83) | (0.07) | (0.90) | 53.32 | 14.93 | 386,477 | 0.45(4) | 0.45(4) | 0.57(4) | 1.69 | 10 | |||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 53.58 | $ | 0.77 | $ | 8.52 | $ | 9.29 | $ | (0.72) | $ | (1.59) | $ | (2.31) | $ | 60.56 | 17.87 | % | $ | 6,328 | 0.65% | 0.65% | 0.79% | 1.36 | % | 21 | % | |||||||||||||||||||||||||||||||||
2016 | 47.46 | 0.76 | 6.15 | 6.91 | (0.72) | (0.07) | (0.79) | 53.58 | 14.67 | 6,473 | 0.67(4) | 0.67(4) | 0.82(4) | 1.49 | 10 | |||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 53.33 | $ | 0.98 | $ | 8.46 | $ | 9.44 | $ | (0.96) | $ | (1.59) | $ | (2.55) | $ | 60.22 | 18.31 | % | $ | 42,961 | 0.25% | 0.25% | 0.29% | 1.71 | % | 21 | % | |||||||||||||||||||||||||||||||||
2016(6) | 51.04 | 0.87 | 2.25 | 3.12 | (0.76) | (0.07) | (0.83) | 53.33 | 6.19 | 780 | 0.28(4) | 0.28(4) | 0.32(4) | 1.88 | 10 | |||||||||||||||||||||||||||||||||||||||||||||
Small Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 11.61 | $ | (0.02 | ) | $ | 1.68 | $ | 1.66 | $ | (0.02) | $ | — | $ | (0.02) | $ | 13.25 | 14.29 | % | $ | 588,341 | 1.14% | 1.14% | 1.24% | (0.12 | )% | 135 | % | ||||||||||||||||||||||||||||||||
2016 | 11.99 | — | 0.88 | 0.88 | — | (1.26) | (1.26) | 11.61 | 7.76 | 550,556 | 1.16(4) | 1.16(4) | 1.26(4) | 0.03 | 104 | |||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 11.66 | $ | 0.02 | $ | 1.67 | $ | 1.69 | $ | (0.04) | $ | — | $ | (0.04) | $ | 13.31 | 14.51 | % | $ | 39,149 | 0.89% | 0.89% | 0.99% | 0.13 | % | 135 | % | |||||||||||||||||||||||||||||||||
2016 | 12.01 | 0.03 | 0.89 | 0.92 | (0.01) | (1.26) | (1.27) | 11.66 | 8.08 | 37,859 | 0.91(4) | 0.91(4) | 1.01(4) | 0.28 | 104 | |||||||||||||||||||||||||||||||||||||||||||||
2015(5) | 12.89 | 0.01 | (0.89) | (0.88) | — | — | — | 12.01 | (6.83 | ) | 32,810 | 0.89 | 0.89 | 0.98 | 0.11 | 137 |
* | Amount represents less than $0.01 per share. |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. |
(2) | Effective January 31, 2017, Class A Shares were renamed as Class F shares of the same Fund. |
(3) | The expense ratio includes litigation expenses outside the cap. |
(4) | The expense ratio includes proxy expenses outside of the cap. |
(5) | Commenced operations on December 31, 2014. All ratios for the period have been annualized. |
(6) | Commenced operations on October 30, 2015. All ratios for the period have been annualized. |
Amounts | designated as “—” are $0 or have been rounded to $0. |
356 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
FINANCIAL HIGHLIGHTS
For the years or period ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Investments(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($ Thousands) | Ratio of Net Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers) | Ratio of Expenses Net Assets | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Small Cap Value Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 22.75 | $ | 0.11 | $ | 3.43 | $ | 3.54 | $ | (0.13) | $ | — | $ | (0.13) | $ | 26.16 | 15.61% | $ | 349,296 | 1.14% | 1.14% | 1.23% | 0.45% | 123% | ||||||||||||||||||||||||||||||||||||
2016 | 21.80 | 0.14 | 2.27 | 2.41 | (0.15) | (1.31) | (1.46) | 22.75 | 11.60 | 362,348 | 1.17(3) | 1.17(3) | 1.26(3) | 0.63 | 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 | |||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 22.57 | $ | 0.05 | $ | 3.41 | $ | 3.46 | $ | (0.09) | $ | — | $ | (0.09) | $ | 25.94 | 15.37% | $ | 2,466 | 1.36% | 1.36% | 1.48% | 0.22% | 123% | ||||||||||||||||||||||||||||||||||||
2016 | 21.64 | 0.09 | 2.25 | 2.34 | (0.10) | (1.31) | (1.41) | 22.57 | 11.34 | 2,910 | 1.39(3) | 1.39(3) | 1.51(3) | 0.40 | 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 | |||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 22.76 | $ | 0.18 | $ | 3.43 | $ | 3.61 | $ | (0.19) | $ | — | $ | (0.19) | $ | 26.18 | 15.94% | $ | 37,243 | 0.89% | 0.89% | 0.99% | 0.74% | 123% | ||||||||||||||||||||||||||||||||||||
2016(4) | 22.95 | 0.18 | 1.09 | 1.27 | (0.15) | (1.31) | (1.46) | 22.76 | 6.04 | 7,207 | 0.92(3) | 0.92(3) | 1.02(3) | 0.91 | 87 | |||||||||||||||||||||||||||||||||||||||||||||
Small Cap Growth Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 28.86 | $ | (0.17) | $ | 5.73 | $ | 5.56 | $ | — | $ | — | $ | — | $ | 34.42 | 19.27% | $ | 312,759 | 1.11% | 1.11% | 1.23% | (0.55)% | 116% | ||||||||||||||||||||||||||||||||||||
2016 | 26.60 | (0.08) | 2.34 | 2.26 | — | — | — | 28.86 | 8.50 | 312,240 | 1.14(3) | 1.14(3) | 1.26(3) | (0.31) | 124 | |||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 27.83 | $ | (0.24) | $ | 5.52 | $ | 5.28 | $ | — | $ | — | $ | — | $ | 33.11 | 18.97% | $ | 2,079 | 1.36% | 1.36% | 1.48% | (0.79)% | 116% | ||||||||||||||||||||||||||||||||||||
2016 | 25.71 | (0.14) | 2.26 | 2.12 | — | — | — | 27.83 | 8.25 | 2,253 | 1.39(3) | 1.39(3) | 1.51(3) | (0.56) | 124 | |||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 28.93 | $ | (0.11) | $ | 5.77 | $ | 5.66 | $ | — | $ | — | $ | — | $ | 34.59 | 19.57% | $ | 28,446 | 0.86% | 0.86% | 0.98% | (0.36)% | 116% | ||||||||||||||||||||||||||||||||||||
2016(4) | 27.72 | (0.02) | 1.23 | 1.21 | — | — | — | 28.93 | 4.37 | 7,243 | 0.89(3) | 0.89(3) | 1.01(3) | (0.08) | 124 | |||||||||||||||||||||||||||||||||||||||||||||
Tax-Managed Small/Mid Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 18.97 | $ | 0.03 | $ | 3.17 | $ | 3.20 | $ | (0.08) | $ | — | $ | (0.08) | $ | 22.09 | 16.91% | $ | 782,449 | 1.11%(5) | 1.11%(5) | 1.24%(5) | 0.12% | 151% | ||||||||||||||||||||||||||||||||||||
2016 | 17.53 | 0.06 | 1.44 | 1.50 | (0.06) | — | (0.06) | 18.97 | 8.55 | 643,288 | 1.13(3) | 1.13(3) | 1.25(3) | 0.35 | 107 | |||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 18.98 | $ | 0.07 | $ | 3.17 | $ | 3.24 | $ | (0.11) | $ | — | $ | (0.11) | $ | 22.11 | 17.14% | $ | 75,183 | 0.90%(5) | 0.90%(5) | 0.99%(5) | 0.34% | 151% | ||||||||||||||||||||||||||||||||||||
2016 | 17.55 | 0.10 | 1.44 | 1.54 | (0.11) | — | (0.11) | 18.98 | 8.79 | 47,185 | 0.91(3) | 0.91(3) | 1.00(3) | 0.58 | 107 | |||||||||||||||||||||||||||||||||||||||||||||
2015(6) | 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 |
* | Amount represents less than $0.01 per share. |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. |
(2) | Effective January 31, 2017, Class A were renamed as Class F shares of the same Fund. |
(3) | The expense ratio includes proxy expenses outside of the cap. |
(4) | Commenced operations on October 30, 2015. All ratios for the period have been annualized. |
(5) | The expense ratio includes litigation expenses outside the cap. |
(6) | Commenced operations on December 31, 2014. All ratios for the period have been annualized. |
Amounts | designated as “—“ are $0 or have been rounded to $0. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 357 |
FINANCIAL HIGHLIGHTS
For the years or period ended September 30, (unless otherwise indicated)
For a share outstanding throughout each period
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Investments(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Net Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers) | 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† | ||||||||||||||||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mid-Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 24.00 | $ | 0.17 | $ | 3.99 | $ | 4.16 | $ | (0.16) | $ | (0.19) | $ | (0.35) | $ | 27.81 | 17.52% | $ | 112,423 | 0.98% | 0.98% | 0.99% | 0.67% | 112% | ||||||||||||||||||||||||||||||||||||
2016 | 25.08 | 0.27 | 2.86 | 3.13 | (0.34) | (3.87) | (4.21) | 24.00 | 14.10 | 87,780 | | 1.01(3) | | | 1.01(3) | | | 1.01(3) | | 1.16 | 115 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 23.96 | $ | 0.12 | $ | 4.00 | $ | 4.12 | $ | (0.11) | $ | (0.19) | $ | (0.30) | $ | 27.78 | 17.32% | $ | 864 | 1.20% | 1.20% | 1.24% | 0.46% | 112% | ||||||||||||||||||||||||||||||||||||
2016 | 25.04 | 0.22 | 2.85 | 3.07 | (0.28) | (3.87) | (4.15) | 23.96 | 13.84 | 871 | 1.24(3) | 1.24(3) | | 1.27(3) | | 0.97 | 115 | |||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 24.01 | $ | 0.24 | $ | 4.00 | $ | 4.24 | $ | (0.23) | $ | (0.19) | $ | (0.42) | $ | 27.83 | 17.84% | $ | 2,267 | 0.73% | 0.73% | 0.74% | 0.93% | 112% | ||||||||||||||||||||||||||||||||||||
2016(4) | 26.61 | 0.30 | 1.29 | 1.59 | (0.32) | (3.87) | (4.19) | 24.01 | 7.56 | 479 | 0.78(3) | 0.78(3) | 0.78(3) | 1.43 | 115 | |||||||||||||||||||||||||||||||||||||||||||||
U.S. Managed Volatility Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 17.04 | $ | 0.25 | $ | 1.72 | $ | 1.97 | $ | (0.26) | $ | (0.49) | $ | (0.75) | $ | 18.26 | 11.85% | $ | 994,387 | 1.00% | 1.00% | 1.23% | 1.45% | 48% | ||||||||||||||||||||||||||||||||||||
2016 | 16.23 | 0.25 | 1.62 | 1.87 | (0.26) | (0.80) | (1.06) | 17.04 | 12.01 | 1,126,685 | 1.02(3) | 1.02(3) | 1.25(3) | 1.53 | 43 | |||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 17.03 | $ | 0.21 | $ | 1.71 | $ | 1.92 | $ | (0.20) | $ | (0.49) | $ | (0.69) | $ | 18.26 | 11.58% | $ | 1,426 | 1.25% | 1.25% | 1.48% | 1.21% | 48% | ||||||||||||||||||||||||||||||||||||
2016 | 16.21 | 0.21 | 1.62 | 1.83 | (0.21) | (0.80) | (1.01) | 17.03 | 11.76 | 1,928 | 1.27(3) | 1.27(3) | 1.50(3) | 1.28 | 43 | |||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 17.05 | $ | 0.30 | $ | 1.71 | $ | 2.01 | $ | (0.30) | $ | (0.49) | $ | (0.79) | $ | 18.27 | 12.13% | $ | 585,729 | 0.75% | 0.75% | 0.98% | 1.73% | 48% | ||||||||||||||||||||||||||||||||||||
2016 | 16.24 | 0.29 | 1.62 | 1.91 | (0.30) | (0.80) | (1.10) | 17.05 | 12.28 | 486,555 | 0.77(3) | 0.77(3) | | 1.00(3) | | 1.78 | 43 | |||||||||||||||||||||||||||||||||||||||||||
2015(5) | 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 |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. |
(2) | Effective January 31, 2017, Class A Shares were renamed as Class F Shares of the same Fund. |
(3) | The expense ratio includes proxy expenses outside of the cap. |
(4) | Commenced operations on October 30, 2015. All ratios for the period have been annualized. |
(5) | Commenced operations on December 31, 2014. All ratios for the period have been annualized. |
Amounts designated as “—” are $0 or have been rounded to $0.
358 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
FINANCIAL HIGHLIGHTS
For the years or period ended September 30, (unless otherwise indicated)
For a share outstanding throughout each period
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Investments(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($ Thousands) | Ratio of Net | Ratio of Expenses | Ratio of Expenses | Ratio of Net | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Global Managed Volatility Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 11.51 | $ | 0.17 | $ | 1.03 | $ | 1.20 | $ | (0.32 | ) | $ | (0.42 | ) | $ | (0.74 | ) | $ | 11.97 | 11.16 | % | $ | 1,242,592 | 1.11% | 1.11% | 1.24% | 1.45% | 61% | ||||||||||||||||||||||||||||||||||||||||||||
2016 | 10.83 | 0.17 | 1.20 | 1.37 | (0.55 | ) | (0.14 | ) | (0.69 | ) | 11.51 | 13.08 | 1,618,549 | | 1.13(3) | | 1.13(3) | | 1.25(3) | | 1.50 | 58 | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 11.29 | $ | 0.14 | $ | 1.00 | $ | 1.14 | $ | (0.28 | ) | $ | (0.42 | ) | $ | (0.70 | ) | $ | 11.73 | 10.80 | % | $ | 1,573 | 1.36% | 1.36% | 1.48% | 1.24% | 61% | ||||||||||||||||||||||||||||||||||||||||||||
2016 | 10.62 | 0.15 | 1.18 | 1.33 | (0.52 | ) | (0.14 | ) | (0.66 | ) | 11.29 | 12.97 | 2,734 | 1.38(3) | 1.38(3) | 1.51(3) | 1.41 | 58 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 11.55 | $ | 0.22 | $ | 1.00 | $ | 1.22 | $ | (0.35 | ) | $ | (0.42 | ) | $ | (0.77 | ) | $ | 12.00 | 11.32 | % | $ | 213,561 | 0.87% | 0.87% | 0.99% | 1.87% | 61% | ||||||||||||||||||||||||||||||||||||||||||||
2016 | 10.85 | 0.21 | 1.20 | 1.41 |
| (0.57 | ) | (0.14 | ) | (0.71 | ) | 11.55 | 13.49 | 102,388 | 0.88(3) | 0.88(3) | 1.01(3) | 1.86 | 58 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(4) | 10.73 | 0.19 | (0.07 | ) | 0.12 | — | — | — | 10.85 | 1.12 | 94,522 | 0.86 | 0.86 | 0.99 | 2.23 | 52 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Tax-Managed Managed Volatility Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 14.74 | $ | 0.23 | $ | 1.61 | $ | 1.84 | $ | (0.23 | ) | $ | (0.39 | ) | $ | (0.62 | ) | $ | 15.96 | 12.84 | % | $ | 994,011 | 1.00% | 1.00% | 1.23% | 1.53% | 22% | ||||||||||||||||||||||||||||||||||||||||||||
2016 | 13.88 | 0.22 | 1.41 | 1.63 | (0.21 | ) | (0.56 | ) | (0.77 | ) | 14.74 | 12.24 | 1,162,478 | 1.02(3) | 1.02(3) | 1.25(3) | 1.52 | 32 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 14.74 | $ | 0.27 | $ | 1.61 | $ | 1.88 | $ | (0.27 | ) | $ | (0.39 | ) | $ | (0.66 | ) | $ | 15.96 | 13.12 | % | $ | 61,804 | 0.75% | 0.75% | 0.98% | 1.80% | 22% | ||||||||||||||||||||||||||||||||||||||||||||
2016 | 13.89 | 0.26 | 1.40 | 1.66 | (0.25 | ) | (0.56 | ) | (0.81 | ) | 14.74 | 12.42 | 37,017 | 0.77(3) | 0.77(3) | 1.01(3) | 1.81 | 32 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(5) | 14.25 | 0.11 | (0.42 | )(6) | (0.31 | ) | (0.05 | ) | — | (0.05 | ) | 13.89 | (2.17 | ) | 323 | 0.81 | 0.81 | 1.06 | 1.77 | 49 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Tax-Managed International Managed Volatility Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017(7) | $ | 10.00 | $ | 0.23 | $ | 1.33 | $ | 1.56 | $ | — | $ | — | $ | — | $ | 11.56 | 15.65 | % | $ | 336,350 | 1.11% | 1.11% | 1.39% | 2.29% | 51% | |||||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017(7) | $ | 10.00 | $ | 0.30 | $ | 1.29 | $ | 1.59 | $ | (0.01 | ) | $ | — | $ | (0.01 | ) | $ | 11.58 | 15.90 | % | $ | 13,652 | 0.86% | 0.86% | 1.15% | 2.92% | 51% |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. |
(2) | Effective January 31, 2017, Class A Shares were renamed as Class F Shares of the same Fund. |
(3) | The expense ratio includes proxy expenses outside of the cap. |
(4) | Commenced operations on December 31, 2014. All ratios for the period have been annualized. |
(5) | Commenced operations on April 30, 2015. All ratios for the period have been annualized. |
(6) | The amount shown for a share outstanding throughout the period does not accord with the aggregate net gains on investments for that period because the sales and repurchase of Fund shares in relation to the fluctuating market value of the Fund. |
(7) | Commenced operations on October 17, 2016. All ratios for the period have been annualized. |
Amounts designated as “—” are $0 or have been rounded to $0.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 359 |
FINANCIAL HIGHLIGHTS
For the years or period ended September 30, (unless otherwise indicated)
For a share outstanding throughout each period
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Investments(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($ Thousands) | Ratio of Net Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers) | Ratio of Expenses Net Assets | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||||||
Real Estate Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 19.37 | $ | 0.03 | $ | (0.21) | $ | (0.18) | $ | (0.41) | $ | (1.63) | $ | (2.04) | $ | 17.15 | (0.57)% | $ | 137,877 | 1.14% | 1.14% | 1.24% | 0.16% | 67% | ||||||||||||||||||||||||||||||||||||||||
2016 | 17.96 | 0.29 | 2.69 | 2.98 | (0.16) | (1.41) | (1.57) | 19.37 | 17.13 | 174,178 | 1.16(3) | 1.16(3) | 1.25(3) | 1.54 | 84 | |||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 19.35 | $ | (0.02) | $ | (0.20) | $ | (0.22) | $ | (0.37) | $ | (1.63) | $ | (2.00) | $ | 17.13 | (0.80)% | $ | 529 | 1.36% | 1.36% | 1.49% | (0.09)% | 67% | ||||||||||||||||||||||||||||||||||||||||
2016 | 17.94 | 0.25 | 2.69 | 2.94 | (0.12) | (1.41) | (1.53) | 19.35 | 16.90 | 651 | 1.38(3) | 1.38(3) | 1.50(3) | 1.33 | 84 | |||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 19.38 | $ | 0.07 | $ | (0.21) | $ | (0.14) | $ | (0.46) | $ | (1.63) | $ | (2.09) | $ | 17.15 | (0.37)% | $ | 36,892 | 0.89% | 0.89% | 0.99% | 0.41% | 67% | ||||||||||||||||||||||||||||||||||||||||
2016 | 17.96 | 0.32 | 2.72 | 3.04 | (0.21) | (1.41) | (1.62) | 19.38 | 17.49 | 36,591 | 0.92(3) | 0.92(3) | 1.01(3) | 1.64 | 84 | |||||||||||||||||||||||||||||||||||||||||||||||||
2015(4) | 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 F(2) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 7.49 | $ | 0.16 | $ | 0.11 | $ | 0.27 | $ | (0.18) | $ | — | $ | (0.18) | $ | 7.58 | 3.60% | $ | 70,279 | 0.60% | 0.60% | 0.98% | 2.06% | 76% | ||||||||||||||||||||||||||||||||||||||||
2016 | 7.46 | 0.15 | 0.04 | 0.19 | (0.16) | — | (0.16) | 7.49 | 2.60 | 181,059 | 0.63(3) | 0.63(3) | 1.04(3) | 1.96 | 90 | |||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 7.47 | $ | 0.14 | $ | 0.11 | $ | 0.25 | $ | (0.16) | $ | — | $ | (0.16) | $ | 7.56 | 3.33% | $ | 188 | 0.85% | 0.85% | 1.23% | 1.81% | 76% | ||||||||||||||||||||||||||||||||||||||||
2016 | 7.45 | 0.13 | 0.03 | 0.16 | (0.14) | — | (0.14) | 7.47 | 2.20 | 255 | 0.88(3) | 0.88(3) | 1.29(3) | 1.71 | 90 | |||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 7.48 | $ | 0.17 | $ | 0.11 | $ | 0.28 | $ | (0.19) | $ | — | $ | (0.19) | $ | 7.57 | 3.76% | $ | 5,897 | 0.46% | 0.46% | 0.72% | 2.20% | 76% | ||||||||||||||||||||||||||||||||||||||||
2016 | 7.46 | 0.16 | 0.03 | 0.19 | (0.17) | — | (0.17) | 7.48 | 2.61 | 17,310 | 0.49(3) | 0.49(3) | 0.79(3) | 2.11 | 90 | |||||||||||||||||||||||||||||||||||||||||||||||||
2015(4) | 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 |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. |
(2) | Effective January 31, 2017, Class A Shares were renamed as Class F Shares of the same Fund. |
(3) | The expense ratio includes proxy expenses outside of the cap. |
(4) | Commenced operations on December 31, 2014. All ratios for the period have been annualized. |
(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 the sales and repurchase of Fund shares in relation to the fluctuating market value of the Fund. |
Amounts designated as “—” are $0 or have been rounded to $0.
360 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
FINANCIAL HIGHLIGHTS
For the years or period ended September 30, (unless otherwise indicated)
For a share outstanding throughout each period
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Investments(1) | Total from | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Dividends and Distributions | Net Asset End of Period | Total Return† | Net Assets End of Period | Ratio of Net | Ratio of Expenses | Ratio of Expenses Net Assets | Ratio of Net | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Core Fixed Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 11.71 | $ | 0.25 | $ | (0.15) | $ | 0.10 | $ | (0.26) | $ | (0.23) | $ | (0.49) | $ | 11.32 | 1.02% | $ | 1,855,251 | 0.67% | 0.67% | 0.80% | 2.19% | 386% | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016 | 11.47 | 0.26 | 0.37 | 0.63 | (0.27) | (0.12) | (0.39) | 11.71 | 5.64 | 2,070,113 | 0.69(3) | 0.69(3) | 0.88(3) | 2.29 | 336 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 11.70 | $ | 0.22 | $ | (0.14) | $ | 0.08 | $ | (0.24) | $ | (0.23) | $ | (0.47) | $ | 11.31 | 0.80% | $ | 5,975 | 0.89% | 0.89% | 1.05% | 1.97% | 386% | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016 | 11.46 | 0.24 | 0.36 | 0.60 | (0.24) | (0.12) | (0.36) | 11.70 | 5.41 | 9,313 | 0.91(3) | 0.91(3) | 1.13(3) | 2.07 | 336 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 11.71 | $ | 0.28 | $ | (0.15) | $ | 0.13 | $ | (0.29) | $ | (0.23) | $ | (0.52) | $ | 11.32 | 1.27% | $ | 225,440 | 0.42% | 0.42% | 0.55% | 2.46% | 386% | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016 | 11.47 | 0.29 | 0.37 | 0.66 | (0.30) | (0.12) | (0.42) | 11.71 | 5.90 | 70,916 | 0.44(3) | 0.44(3) | 0.63(3) | 2.55 | 336 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(4) | 11.47 | 0.08 | — | 0.08 | (0.08) | — | (0.08) | 11.47 | 0.69 | 22,985 | 0.42 | 0.42 | 0.63 | 2.66 | 350 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
U.S. Fixed Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 10.58 | $ | 0.19 | $ | (0.21) | $ | (0.02) | $ | (0.19) | $ | (0.17) | $ | (0.36) | $ | 10.20 | (0.11)% | $ | 1,638,534 | 0.66% | 0.66% | 0.79% | 1.84% | 463% | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016 | 10.38 | 0.19 | 0.32 | 0.51 | (0.20) | (0.11) | (0.31) | 10.58 | 4.94 | 1,205,262 | 0.68(3) | 0.68(3) | 0.88(3) | 1.81 | 401 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 10.58 | $ | 0.21 | $ | (0.20) | $ | 0.01 | $ | (0.22) | $ | (0.17) | $ | (0.39) | $ | 10.20 | 0.14% | $ | 158,817 | 0.41% | 0.41% | 0.54% | 2.09% | 463% | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016 | 10.38 | 0.21 | 0.32 | 0.53 | (0.22) | (0.11) | (0.33) | 10.58 | 5.20 | 97,132 | 0.43(3) | 0.43(3) | 0.63(3) | 2.06 | 401 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(5) | 10.44 | 0.17 | (0.06)(6) | 0.11 | (0.17) | — | (0.17) | 10.38 | 1.03 | 89,000 | 0.41 | 0.41 | 0.61 | 2.16 | 313 |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. |
(2) | Effective January 31, 2017, Class A Shares were renamed as Class F Shares of the same Fund. |
(3) | The expense ratio includes proxy expenses outside of the cap. |
(4) | Commenced operations on June 30, 2015. All ratios for the period have been annualized. |
(5) | Commenced operations on December 31, 2014. All ratios for the period have been annualized. |
(6) | The amount shown for a share outstanding throughout the period does not accord with the aggregate net gains on investments for that period because the sales and repurchase of Fund shares in relation to the fluctuating market value of the Fund. |
Amounts designated as “—” are $0 or have been rounded to $0.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 361 |
FINANCIAL HIGHLIGHTS
For the years or period ended September 30, (unless otherwise indicated)
For a share outstanding throughout each period
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Investments(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($ Thousands) | Ratio of Net Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
High Yield Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 7.18 | $ | 0.42 | $ | 0.26 | $ | 0.68 | $ | (0.41) | $ | (0.12) | $ | (0.53) | $ | 7.33 | 9.75% | $ | 1,469,480 | 0.90%(3) | 0.90%(3) | 1.01%(3) | 5.83% | 62% | ||||||||||||||||||||||||||||||||||||
2016 | 7.01 | 0.42 | 0.26 | 0.68 | (0.42) | (0.09) | (0.51) | 7.18 | 10.44 | 1,737,907 | 0.91(4) | 0.91(4) | 1.10(4) | 6.16 | 56 | |||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 6.93 | $ | 0.39 | $ | 0.26 | $ | 0.65 | $ | (0.38) | $ | (0.12) | $ | (0.50) | $ | 7.08 | 9.65% | $ | 1,147 | 1.12%(3) | 1.12%(3) | 1.25%(3) | 5.58% | 62% | ||||||||||||||||||||||||||||||||||||
2016 | 6.78 | 0.40 | 0.23 | 0.63 | (0.39) | (0.09) | (0.48) | 6.93 | 9.95 | 1,078 | 1.14(4) | 1.14(4) | 1.36(4) | 6.01 | 56 | |||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 7.18 | $ | 0.44 | $ | 0.25 | $ | 0.69 | $ | (0.43) | $ | (0.12) | $ | (0.55) | $ | 7.32 | 9.87% | $ | 187,087 | 0.65%(3) | 0.65%(3) | 0.76%(3) | 6.08% | 62% | ||||||||||||||||||||||||||||||||||||
2016 | 7.01 | 0.44 | 0.26 | 0.70 | (0.44) | (0.09) | (0.53) | 7.18 | 10.72 | 199,015 | 0.66(4) | 0.66(4) | 0.85(4) | 6.42 | 56 | |||||||||||||||||||||||||||||||||||||||||||||
2015(5) | 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 | |||||||||||||||||||||||||||||||||||||||||||||
Conservative Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 10.00 | $ | 0.08 | $ | — | $ | 0.08 | $ | (0.08) | $ | — | $ | (0.08) | $ | 10.00 | 0.83% | $ | 190,440 | 0.30% | 0.30% | 0.58% | 0.84% | –% | ||||||||||||||||||||||||||||||||||||
2016(6) | 10.00 | 0.02 | — | 0.02 | (0.02) | — | (0.02) | 10.00 | 0.16 | 75,011 | 0.30(4) | 0.30(4) | 0.61(4) | 0.37 | – | |||||||||||||||||||||||||||||||||||||||||||||
Class Y |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 10.00 | $ | 0.10 | $ | (0.01) | $ | 0.09 | $ | (0.09) | $ | — | $ | (0.09) | $ | 10.00 | 0.94% | $ | 19,984 | 0.20% | 0.20% | 0.33% | 0.96% | –% | ||||||||||||||||||||||||||||||||||||
2016(6) | 10.00 | 0.02 | — | 0.02 | (0.02) | — | (0.02) | 10.00 | 0.20 | 16,796 | 0.20(4) | 0.20(4) | 0.36(4) | 0.47 | – | |||||||||||||||||||||||||||||||||||||||||||||
Tax-Free Conservative Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 10.00 | $ | 0.05 | $ | — | $ | 0.05 | $ | (0.05) | $ | — | $ | (0.05) | $ | 10.00 | 0.51% | $ | 163,219 | 0.30% | 0.30% | 0.59% | 0.51% | –% | ||||||||||||||||||||||||||||||||||||
2016(6) | 10.00 | 0.01 | — | 0.01 | (0.01) | — | (0.01) | 10.00 | 0.12 | 30,946 | 0.30(4) | 0.30(4) | 0.60(4) | 0.27 | – | |||||||||||||||||||||||||||||||||||||||||||||
Class Y |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 10.00 | $ | 0.06 | $ | — | $ | 0.06 | $ | (0.06) | $ | — | $ | (0.06) | $ | 10.00 | 0.60% | $ | 3,782 | 0.20% | 0.20% | 0.34% | 0.63% | –% | ||||||||||||||||||||||||||||||||||||
2016(6) | 10.00 | 0.02 | — | 0.02 | (0.02) | — | (0.02) | 10.00 | 0.16 | 13,922 | 0.20(4) | 0.20(4) | 0.35(4) | 0.37 | – |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
‡ | 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) | Effective January 31, 2017, Class A Shares were renamed as Class F shares of the same Fund. |
(3) | The expense ratio includes litigation expenses outside the cap. |
(4) | The expense ratio includes proxy expenses outside of the cap. |
(5) | Commenced operations on December 31, 2014. All ratios for the period have been annualized. |
(6) | Commenced operations on April 22, 2016. All ratios for the period have been annualized. |
Amounts | designated as “—” are $0 or have been rounded to $0. |
362 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
FINANCIAL HIGHLIGHTS/CONSOLIDATED FINANCIAL HIGHLIGHTS
For the years or period ended September 30, (unless otherwise indicated)
For a share outstanding throughout each period
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Investments(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($ Thousands) | Ratio of Net Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Real Return Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 10.14 | $ | 0.11 | $ | (0.11) | $ | — | $ | (0.11)(3) | $ | — | $ | (0.11) | $ | 10.03 | 0.03% | $ | 252,333 | 0.45% | 0.45% | 0.73% | 1.07% | 49% | ||||||||||||||||||||||||||||||||||||
2016 | 9.91 | — | 0.23 | 0.23 | — | — | — | 10.14 | 2.32 | 291,380 | 0.47(4) | 0.47(4) | 0.82(4) | (0.02) | 38 | |||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class Y |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 10.17 | $ | 0.12 | $ | (0.11) | $ | 0.01 | $ | (0.12)(3) | $ | — | $ | (0.12) | $ | 10.06 | 0.11% | $ | 18,205 | 0.35% | 0.35% | 0.48% | 1.15% | 49% | ||||||||||||||||||||||||||||||||||||
2016 | 9.92 | 0.01 | 0.24 | 0.25 | — | — | — | 10.17 | 2.52 | 28,835 | 0.37(4) | 0.37(4) | 0.57(4) | 0.07 | 38 | |||||||||||||||||||||||||||||||||||||||||||||
2015(5) | 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 F(2) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 10.18 | $ | 0.15 | $ | 1.87 | $ | 2.02 | $ | (0.10) | $ | — | $ | (0.10) | $ | 12.10 | 19.95% | $ | 696,463 | 0.75% | 0.75% | 1.18% | 1.30% | 3% | ||||||||||||||||||||||||||||||||||||
2016 | 9.09 | 0.14 | 0.99 | 1.13 | (0.04) | — | (0.04) | 10.18 | 12.39 | 488,778 | 0.77(4) | 0.77(4) | 1.21(4) | 1.42 | 7 | |||||||||||||||||||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 10.20 | $ | 0.17 | $ | 1.87 | $ | 2.04 | $ | (0.12) | $ | — | $ | (0.12) | $ | 12.12 | 20.17% | $ | 73,159 | 0.50% | 0.50% | 0.93% | 1.55% | 3% | ||||||||||||||||||||||||||||||||||||
2016 | 9.09 | 0.16 | 0.99 | 1.15 | (0.04) | — | (0.04) | 10.20 | 12.67 | 48,523 | 0.52(4) | 0.52(4) | 0.96(4) | 1.66 | 7 | |||||||||||||||||||||||||||||||||||||||||||||
2015(6) | 10.00 | 0.03 | (0.94) | (0.91) | — | — | — | 9.09 | (9.10) | 48,229 | 0.50 | 0.50 | 0.96 | 1.97 | 2 | |||||||||||||||||||||||||||||||||||||||||||||
Multi-Strategy Alternative Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 9.67 | $ | (0.01) | $ | 0.46 | $ | 0.45 | $ | (0.01) | $ | — | $ | (0.01) | $ | 10.11 | 4.62% | $ | 508,046 | 1.41%(7) | 1.41%(7) | 2.44%(7) | (0.12)% | 37% | ||||||||||||||||||||||||||||||||||||
2016 | 9.60 | 0.09 | 0.23 | 0.32 | (0.15) | (0.10) | (0.25) | 9.67 | 3.40 | 573,752 | 1.12(4)(8) | 1.12(4)(8) | 2.39(4)(8) | 0.95 | 149 | |||||||||||||||||||||||||||||||||||||||||||||
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(9) | 0.64(9) | 2.19(9) | 0.64 | 72 | |||||||||||||||||||||||||||||||||||||||||||||
2013 | 9.62 | 0.07 | 0.15 | 0.22 | (0.05) | — | (0.05) | 9.79 | 2.33 | 426,733 | 0.73(10) | 0.73(10) | 2.22(10) | 0.71 | 139 | |||||||||||||||||||||||||||||||||||||||||||||
Class Y |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 9.68 | $ | 0.03 | $ | 0.44 | $ | 0.47 | $ | (0.03) | $ | — | $ | (0.03) | $ | 10.12 | 4.79% | $ | 4,841 | 1.14%(11) | 1.14%(11) | 2.16%(11) | 0.34% | 37% | ||||||||||||||||||||||||||||||||||||
2016 | 9.60 | — | 0.36 | 0.36 | (0.18) | (0.10) | (0.28) | 9.68 | 3.77 | 1,352 | 0.96(4)(12) | 0.96(4)(12) | 2.18(4)(12) | – | 149 | |||||||||||||||||||||||||||||||||||||||||||||
2015(13) | 9.97 | 0.04 | (0.41) | (0.37) | — | — | — | 9.60 | (3.71) | 19 | 0.25 | 0.25 | 1.83 | 1.03 | 35 |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. |
(2) | Effective January 31, 2017, Class A Shares were renamed as Class F shares of the same Fund. |
(3) | Includes return of capital of $0.01. |
(4) | The expense ratio includes proxy expenses outside of the cap. |
(5) | Commenced operations on December 31, 2014. All ratios for the period have been annualized. |
(6) | Commenced operations on July 30, 2015. All ratios for the period have been annualized. |
(7) | The expense ratio includes dividend and interest expense, and other expenses outside the cap. Had this expense been excluded the ratios would have been 1.06%, 1.06%, and 2.09%. |
(8) | The expense ratio includes dividend and interest expense, and other expenses outside the cap. Had this expense been excluded the ratios would have been 0.85%, 0.85%, and 2.12%. |
(9) | 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%. |
(10) | The expense ratio includes dividend expense and other expenses outside the cap. Had this expense been excluded the ratios would have been 0.60%, 0.60%, and 2.09%. |
(11) | The expense ratio includes dividend and interest expense, and other expenses outside the cap. Had this expense been excluded the ratios would have been 0.79%, 0.79%, and 1.98%. |
(12) | The expense ratio includes dividend and interest expense, and other expenses outside the cap. Had this expense been excluded the ratios would have been 0.69%, 0.69%, and 1.91%. |
(13) | Commenced operations on April 30, 2015. All ratios for the period have been annualized. |
Amounts designated as “—” are $0 or have been rounded to $0.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 363 |
FINANCIAL HIGHLIGHTS/CONSOLIDATED FINANCIAL HIGHLIGHTS
For the years or period ended September 30, (unless otherwise indicated)
For a share outstanding throughout each period
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Investments(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($ Thousands) | Ratio of Net Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Multi-Asset Accumulation Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 10.31 | $ | (0.01) | $ | 0.39 | $ | 0.38 | $ | (0.07) | $ | (0.61) | $ | (0.68) | $ | 10.01 | 4.33% | $ | 2,468,847 | 1.17% | 1.17% | 1.31% | �� | (0.12)% | 28% | |||||||||||||||||||||||||||||||||||
2016 | 9.53 | (0.05) | 1.10 | 1.05 | — | (0.27) | (0.27) | 10.31 | 11.36 | 2,076,240 | 1.19(3) | 1.19(3) | 1.35(3) | (0.50) | 55 | |||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 10.36 | $ | — | $ | 0.41 | $ | 0.41 | $ | (0.10) | $ | (0.61) | $ | (0.71) | $ | 10.06 | 4.55% | $ | 237,569 | 0.92% | 0.92% | 1.06% | (0.03)% | 28% | ||||||||||||||||||||||||||||||||||||
2016 | 9.55 | (0.03) | 1.11 | 1.08 | — | (0.27) | (0.27) | 10.36 | 11.66 | 202,865 | 0.94(3) | 0.94(3) | 1.10(3) | (0.33) | 55 | |||||||||||||||||||||||||||||||||||||||||||||
2015(4) | 10.11 | (0.08) | (0.48) | (0.56) | — | — | — | 9.55 | (5.54) | 202,311 | 0.92 | 0.92 | 1.08 | (1.04) | 94 | |||||||||||||||||||||||||||||||||||||||||||||
Multi-Asset Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 10.56 | $ | 0.48 | $ | 0.24 | $ | 0.72 | $ | (0.40)�� | $ | — | $ | (0.40) | $ | 10.88 | 6.90% | $ | 813,767 | 0.80% | 0.80% | 1.21% | 4.47% | 77% | ||||||||||||||||||||||||||||||||||||
2016 | 10.46 | 0.50 | 0.23 | 0.73 | (0.53) | (0.10) | (0.63) | 10.56 | 7.38 | 643,477 | 0.82(3)(5) | 0.82(3)(5) | 1.23(3)(5) | 4.85 | 72 | |||||||||||||||||||||||||||||||||||||||||||||
2015 | 10.60 | 0.54 | (0.19) | 0.35 | (0.44) | (0.05) | (0.49) | 10.46 | 3.33 | 615,259 | 0.85(6) | 0.85(6) | 1.25(6) | 5.06 | 109 | |||||||||||||||||||||||||||||||||||||||||||||
2014 | 10.60 | 0.51 | 0.13(7) | 0.64 | (0.47) | (0.17) | (0.64) | 10.60 | 6.19 | 539,504 | 0.83(8) | 0.83(8) | 1.27(8) | 4.76 | 124 | |||||||||||||||||||||||||||||||||||||||||||||
2013 | 10.35 | 0.67 | 0.17(7) | 0.84 | (0.52) | (0.07) | (0.59) | 10.60 | 8.24 | 230,356 | 0.98(9) | 0.98(9) | 1.40(9) | 6.22 | 89 | |||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 10.56 | $ | 0.49 | $ | 0.24 | $ | 0.73 | $ | (0.41) | $ | — | $ | (0.41) | $ | 10.88 | 7.00% | $ | 166,980 | 0.70% | 0.70% | 0.96% | 4.60% | 77% | ||||||||||||||||||||||||||||||||||||
2016 | 10.46 | 0.52 | 0.22 | 0.74 | (0.54) | (0.10) | (0.64) | 10.56 | 7.49 | 97,943 | 0.72(3)(10) | 0.72(3)(10) | 0.98(3)(10) | 5.08 | 72 | |||||||||||||||||||||||||||||||||||||||||||||
2015(4) | 10.62 | 0.45 | (0.26) | 0.19 | (0.35) | — | (0.35) | 10.46 | 1.81 | 33,224 | 0.76(11) | 0.76(11) | 1.00(11) | 5.60 | 109 |
* | Amount represents less than $0.01 per share. |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. |
(2) | Effective January 31, 2017, Class A Shares were renamed as Class F shares of the same Fund. |
(3) | The expense ratio includes proxy expenses outside of the cap. |
(4) | Commenced operations on December 31, 2014. All ratios for the period have been annualized. |
(5) | The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.80%, 0.80%, and 1.21%. |
(6) | The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.80%, 0.80%, and 1.20%. |
(7) | The amount shown for a share outstanding throughout the period does not accord with the aggregate net gains on investments for that period because the sales and repurchase of Fund shares in relation to the fluctuating market value of the Fund. |
(8) | The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.80%, 0.80%, and 1.24%. |
(9) | The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.80%, 0.80%, and 1.22%. |
(10) | The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.70%, 0.70%, and 0.96%. |
(11) | The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.70%, 0.70%, and 0.95%. |
Amounts designated as “—” are $0 or have been rounded to $0.
364 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
FINANCIAL HIGHLIGHTS/CONSOLIDATED FINANCIAL HIGHLIGHTS
For the years or period ended September 30, (unless otherwise indicated)
For a share outstanding throughout each period
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Investments(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($ Thousands) | Ratio of Net Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Multi-Asset Inflation Managed Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 8.80 | $ | 0.09 | $ | (0.27) | $ | (0.18) | $ | (0.10) | $ | — | $ | (0.10) | $ | 8.52 | (2.07)% | $ | 821,191 | 1.33%(3) | 1.33%(3) | 1.56%(3) | 1.01% | 68% | ||||||||||||||||||||||||||||||||||||
2016 | 8.75 | 0.05 | 0.04 | 0.09 | (0.04) | — | (0.04) | 8.80 | 1.06 | 990,931 | 1.23(3)(4) | 1.23(3)(4) | 1.46(3)(4) | 0.59 | 73 | |||||||||||||||||||||||||||||||||||||||||||||
2015 | 9.39 | — | (0.64) | (0.64) | — | — | — | 8.75 | (6.82) | 924,048 | 1.11(5) | 1.11(5) | 1.34(5) | (0.05) | 115 | |||||||||||||||||||||||||||||||||||||||||||||
2014 | 9.42 | 0.06 | (0.09) | (0.03) | — | — | — | 9.39 | (0.32) | 923,541 | 1.02(6) | 1.02(6) | 1.30(6) | 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(7) | 0.93(7) | 1.20(7) | 0.59 | 61 | |||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 8.82 | $ | 0.10 | $ | (0.26) | $ | (0.16) | $ | (0.13) | $ | — | $ | (0.13) | $ | 8.53 | (1.90)% | $ | 68,506 | 1.08%(8) | 1.08%(8) | 1.32%(8) | 1.13% | 68% | ||||||||||||||||||||||||||||||||||||
2016 | 8.77 | 0.07 | 0.04 | 0.11 | (0.06) | — | (0.06) | 8.82 | 1.30 | 89,261 | 0.98(4)(8) | 0.98(4)(8) | 1.21(4)(8) | 0.79 | 73 | |||||||||||||||||||||||||||||||||||||||||||||
2015(9) | 8.96 | 0.04 | (0.23) | (0.19) | — | — | — | 8.77 | (2.12) | 83,248 | 0.92(10) | 0.92(10) | 1.15(10) | 0.53 | 115 | |||||||||||||||||||||||||||||||||||||||||||||
Multi-Asset Capital Stability Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 10.14 | $ | — | $ | 0.18 | $ | 0.18 | $ | (0.02) | $ | (0.05) | $ | (0.07) | $ | 10.25 | 1.78% | $ | 694,247 | 0.62% | 0.62% | 0.98% | 0.02% | 159% | ||||||||||||||||||||||||||||||||||||
2016 | 10.11 | (0.01) | 0.16 | 0.15 | — | (0.12) | (0.12) | 10.14 | 1.47 | 658,185 | 0.64(4) | 0.64(4) | 1.00(4) | (0.07) | 234 | |||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 10.16 | $ | 0.01 | $ | 0.17 | $ | 0.18 | $ | (0.02) | $ | (0.05) | $ | (0.07) | $ | 10.27 | 1.88% | $ | 50,346 | 0.52% | 0.52% | 0.73% | 0.11% | 159% | ||||||||||||||||||||||||||||||||||||
2016 | 10.12 | — | 0.16 | 0.16 | — | (0.12) | (0.12) | 10.16 | 1.57 | 51,496 | 0.54(4) | 0.54(4) | 0.75(4) | 0.02 | 234 | |||||||||||||||||||||||||||||||||||||||||||||
2015(9) | 10.06 | (0.02) | 0.08 | 0.06 | — | — | — | 10.12 | 0.60 | 50,662 | 0.52 | 0.52 | 0.74 | (0.30) | 227 | |||||||||||||||||||||||||||||||||||||||||||||
Long/Short Alternative Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F(2) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 9.79 | $ | (0.01) | $ | 1.10 | $ | 1.09 | $ | — | $ | — | $ | — | $ | 10.88 | 11.13% | $ | 22 | 1.14% | 1.14% | 1.42% | (0.13)% | 111% | ||||||||||||||||||||||||||||||||||||
2016 | 9.67 | (0.06) | 0.18 | 0.12 | — | — | — | 9.79 | 1.24 | 19 | 1.17(4) | 1.17(4) | 1.40(4) | (0.57) | 43 | |||||||||||||||||||||||||||||||||||||||||||||
2015(11) | 10.00 | (0.08) | (0.25) | (0.33) | — | — | — | 9.67 | (3.30) | 19 | 1.14 | 1.14 | 1.39 | (0.99) | 198 | |||||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 9.81 | $ | 0.01 | $ | 1.11 | $ | 1.12 | $ | —(12) | $ | — | $ | — | $ | 10.93 | 11.42% | $ | 34,360 | 0.90% | 0.90% | 1.17% | 0.10% | 111% | ||||||||||||||||||||||||||||||||||||
2016 | 9.67 | (0.03) | 0.17 | 0.14 | — | — | — | 9.81 | 1.45 | 41,775 | 0.92(4) | 0.92(4) | 1.15(4) | (0.32) | 43 | |||||||||||||||||||||||||||||||||||||||||||||
2015(13) | 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 portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. |
(2) | Effective January 31, 2017, Class A Shares were renamed as Class F shares of the same Fund. |
(3) | 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 1.14%. |
(4) | The expense ratio includes proxy expenses outside of the cap. |
(5) | The expense ratio includes interest and dividend expense. Had this expense been excluded the ratios would have been 0.95%, 0.95%, and 1.18%. |
(6) | 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%. |
(7) | The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.90%, 0.90%, and 1.17%. |
(8) | The expense ratio includes dividend and interest expense, and other expenses outside the cap. Had this expense been excluded the ratios would have been 0.65%, 0.65%, and 0.89%. |
(9) | Commenced operations on December 31, 2014. All ratios for the period have been annualized. |
(10) | The expense ratio includes dividend and interest expense. Had this expense been excluded the ratios would have been 0.70%, 0.70%, and 0.93%. |
(11) | Commenced operations on December 19, 2014. All ratios for the period have been annualized. |
(12) | Includes return of capital of less than $0.01 per share. |
(13) | Commenced operations on April 30, 2015. All ratios for the period have been annualized. |
Amounts designated as “—“ are $0 or have been rounded to $0.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 365 |
Notes to Financial Statements/Consolidated Notes to Financial Statements
September 30, 2017
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 29 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, Tax-Managed International Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, U.S. Fixed Income, High Yield Bond, Conservative Income, Tax-Free Conservative Income, Real Return, Dynamic Asset Allocation, Multi-Strategy Alternative, Multi-Asset Accumulation, Multi-Asset Income, Multi-Asset Inflation Managed, Multi-Asset Capital Stability and Long/Short Alternative (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 Schedules 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 F shares (formerly 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. Each Fund’s prospectus provides a description of its investment goal and its principal investment strategies and risks.
Tax-Managed International Managed Volatility Fund commenced operations on October 17, 2016.
Effective January 31, 2017, the Trust Class A shares were each re-designated as Class F shares. This share class name change had no impact on any Fund’s operations or investment policies.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Funds. 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.
Use of Estimates — 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,
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the 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
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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 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 its 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
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value foreign equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the NYSE. These are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. For certain collateralized debt obligations, corporate obligations, mortgage backed securities, auction rate preferred securities and loan participations where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
The valuation techniques used by the Funds to measure fair value during the year ended September 30, 2017, maximized the use of observable inputs and minimized the use of unobservable inputs. For details of the investment classification, reference the Summary Schedules of Investments/Schedules of Investments.
For the year ended September 30, 2017, there have been no significant changes to the Trust’s fair valuation methodologies.
The following table summarizes the quantitative inputs and assumptions used for items categorized as recurring Level 3 assets as of September 30, 2017. The disclosures below also include qualitative information on the sensitivity of the fair value measurements to changes in the significant unobservable inputs.
Multi-Asset Income Fund
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Assets | Fair Value ($ Thousands) at September 30, 2017 | Valuation Technique(s) | Range (Weighted Unobservable Input Average) | |||||||
| ||||||||||
Asset-Backed Securities | $ | 802 | OAS off 08/31/17 Broker Quote | Broker Quote | 101 | |||||
864 | Market Comparables | Credit Spread | 607 | |||||||
2,001 | 09/26/2017 Trade Price | Trade Price | 100 | |||||||
|
| |||||||||
Total Asset-Backed Securities | 3,667 | |||||||||
|
| |||||||||
Corporate Obligations | 3,960 | OAS off 08/31/17 Broker Quote | Broker Quote | 92 -100.21858 | ||||||
2,288 | Discounted Cash Flow | Credit Spread | 170 | |||||||
|
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Total Corporate Obligations | 6,248 | |||||||||
|
| |||||||||
Loan Participations | 6,521 | Yield analysis | Yield | 7.04% - 8.82% | ||||||
|
| |||||||||
Mortgage-Backed Securities | 7,846 | OAS off 08/31/17 Broker Quote | Broker Quote | 90.7 - 99.12 | ||||||
3,482 | Discounted Cash Flow | Credit Spread | 400 | |||||||
|
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Total Mortgage-Backed Securities | 11,328 | |||||||||
|
| |||||||||
Common Stock | 79 | Discounted Cash Flow | Discount rate | 13% | ||||||
|
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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
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September 30, 2017
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.
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, Multi-Asset Inflation Managed and Dynamic Asset Allocation 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, Multi-Asset Inflation Managed and Dynamic Asset Allocation Funds may also invest in equity securities of issuers in commodity-related industries.
The Multi-Asset Accumulation, Multi-Asset Inflation Managed and Dynamic Asset Allocation Funds may also
seek to gain exposure to the commodity markets, in whole or in part, through investments in a wholly owned Subsidiary. A 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. A 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, Multi-Asset Inflation Managed, and Dynamic Asset Allocation 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 investment securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of investment 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
370 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
contracts as hedges against either specific transactions, fund positions or anticipated fund positions. A Fund may also engage in currency transactions to enhance that Fund’s returns. All commitments are “marked-to-market” daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Funds realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are recognized as ordinary income or loss for Federal income tax purposes.
The Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities or Consolidated Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding open forward foreign currency contracts as of September 30, 2017, if applicable.
Futures Contracts — To the extent consistent with its Investment Objective and Strategies, a Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. In addition, fixed income funds will utilize futures contracts to help manage duration and yield curve exposure. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract.
Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the Fund could lose more than the original margin deposit required to initiate a futures transaction.
Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities or Consolidated Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments, Summary
Schedule of Investments or Consolidated Schedule of Investments for details regarding open futures contracts as of September 30, 2017 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.
Master Limited Partnerships — Investments in units of master limited partnerships (“MLPs”) involve risks that differ from an investment in common stock. Holders of the units of master limited partnerships have more limited control and limited rights to vote on matters affecting the partnership. There are also certain tax risks associated with an investment in units of master limited partnerships. In addition, conflicts of interest may exist between common unit holders, subordinated unit holders and the general partner of a master limited partnership, including a conflict arising as a result of incentive distribution payments. The benefit a Fund derives from investment in MLP units is largely dependent on the MLPs being treated as partnerships and not as corporations for federal income tax purposes. If an MLP were classified as a corporation for federal income tax purposes, there would be reduction in the after-tax return to a Fund of distributions from the MLP, likely causing a reduction in the value of a Fund’s shares. MLP entities are typically focused in the energy, natural resources and real estate sectors of the economy. A downturn in the energy, natural resources or real estate sectors of the economy could have an adverse impact on a Fund. At times, the performance of securities of companies in the energy, natural resources and real estate sectors of the economy may lag the performance of other sectors or the broader market as a whole.
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
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2017
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 September 30, 2017, 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, potentially unlimited in size, will be recognized upon the close of a short sale.
Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding securities sold short as of September 30, 2017, if applicable.
Swap Agreements — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in swap contracts as an efficient means to synthetically obtain exposure to securities or baskets of securities and to manage a Fund’s interest rate duration and yield curve exposure. Swap contracts may also be used to mitigate a Fund’s overall level of risk and/or a Fund’s risk to particular types of securities, currencies or market segments. Interest rate swaps may further be used to manage a Fund’s yield spread sensitivity. A Fund may buy credit default swaps in an attempt to manage credit risk where a Fund has credit exposure to an issuer, and a Fund may sell credit default swaps to more efficiently gain credit exposure to a security or basket of securities. A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or “basket” of securities representing a particular index. Swap agreements are privately negotiated in the over-the-counter market (“OTC swaps”) or may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“Centrally Cleared swaps”). Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit-default swaps involve periodic payments by a Fund or counterparty based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the recovery rate used to settle the contracts. The recovery rate is a function of how many credit default swap investors wish to deliver the security or receive the security. The recovery rate is determined through an auction process. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to
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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 year 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 or Consolidated Statement of Assets and Liabilities.
Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities or Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements.
This risk is mitigated by having a master netting arrangement between a Fund and the counterparty and by having the counterparty post collateral to cover a Fund’s exposure to the counterparty. See Note 3 for further details. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding open swap agreements as of September 30, 2017, 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 delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security.
Collateralized Debt Obligations — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in collateralized debt obligations (“CDOs”), which include collateralized loan obligations (“CLOs”) and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses.
For CDOs, the cash flows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than its underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class.
The risks of an investment in a CDO depend largely on its Class and its collateral securities. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 373 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2017
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 September 30, 2017, the following Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption therefrom. In addition, the Funds have generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these investments. These investments are valued at fair value as determined in accordance with the procedures approved by the Board of Trustees. The acquisition dates of these investments, the enforceable right to acquire these securities, along with their cost and values at September 30, 2017, were as follows:
| ||||||||||||||||||||||||
Number of Shares/ ($ Thousands) | Acquisition Date | Right to Acquire Date | Cost ($ Thousands) | Market Value ($ Thousands) | % of Net Assets | |||||||||||||||||||
| ||||||||||||||||||||||||
Small Cap Growth Fund |
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Value Creation | | 145,600 | | 8/10/06 | 8/10/06 | $ | 1,491 | $ | 61 | 0.02% | ||||||||||||||
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High Yield Bond Fund |
| |||||||||||||||||||||||
Aventine (Escrow Security) | $ | 2,750 | 11/30/10 | 11/30/10 | $ | – | $ | – | 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, Tax-Managed International 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, High Yield Bond, Conservative Income, Tax-Free Conservative Income, Multi-Asset Income and Multi-Asset Capital Stability Funds. Any net realized capital gains on sales of securities are distributed to shareholders at least annually. Dividends and distributions are recorded on the ex-dividend date.
Investments in Real Estate Investment Trust — With respect to the Real Estate Fund, dividend income is recorded based on the income included in distributions received from the Real Estate Investment Trust (“REIT”) investments using published REIT reclassifications including some management estimates when actual
amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year end, and may differ from the estimated amounts.
Investment in Subsidiary — Each of the Multi-Asset Accumulation, Multi-Asset Inflation Managed and Dynamic Asset Allocation 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, Multi-Asset Inflation Managed and Dynamic Asset Allocation Funds, as investors in their respective Subsidiary, will not have all of the protections offered to investors in registered investment companies.
However, each Fund wholly owns and controls its respective Subsidiary, and the Funds and the
374 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
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 calculated by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Certain Funds are party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”). These agreements are with select counterparties and they govern transactions, including certain over-the counter derivative and foreign exchange contracts, entered into by the Funds and the counterparty.
As of September 30, 2017, the Core Fixed Income Fund, Multi-Strategy Alternative Fund, Multi-Asset Income Fund and the Multi-Asset Inflation Managed Fund are the buyers (“receiving protection”) on a total notional amount of $12 million, $9.4 million, $10 million and $11 million, respectively. As of September 30, 2017, the Core Fixed Income Fund, U.S. Fixed Income Fund, High Yield Bond Fund, Multi-Strategy Alternative Fund, Multi-Asset Inflation Managed Fund and Multi-Asset Capital Stability Fund are the sellers (“providing protection”) on a total notional amount of $22 million, $8.3 million,
$12.4 million, $3.7 million, $9.4 million, and $27.3 million, respectively. The notional amounts of the swaps are not recorded in the financial statements. The notional amounts approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund was the seller of protection and a credit event was to occur.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 375 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2017
Those credit default swaps (“CDS”) for which the Fund is providing protection at the balance sheet date are summarized as follows:
CORE FIXED INCOME FUND WRITTEN CREDIT DERIVATIVE CONTRACTS | SINGLE NAME CDS | CDS ON AN INDEX | ||||||||||||||||||
REFERENCE ASSET | CORP US$ | SOVERIGN US$ | ABS US$ | CORP US$ | Total | |||||||||||||||
Fair value of written credit derivatives | $- | $- | $- | $476,593 | $476,593 | |||||||||||||||
Maximum potential amount of future payments | - | - | - | 22,060,000 | 22,060,000 | |||||||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative | - | - | - | - | - | |||||||||||||||
Collateral held by the Fund can obtain upon occurrence of triggering event
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| -
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| -
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U.S. FIXED INCOME FUND WRITTEN CREDIT DERIVATIVE CONTRACTS | SINGLE NAME CDS | CDS ON AN INDEX | ||||||||||||||||||
REFERENCE ASSET | CORP US$ | SOVERIGN US$ | ABS US$ | CORP US$ | Total | |||||||||||||||
Fair value of written credit derivatives | $- | $- | $- | $174,769 | $174,769 | |||||||||||||||
Maximum potential amount of future payments | - | - | - | 8,300,000 | 8,300,000 | |||||||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative | - | - | - | - | - | |||||||||||||||
Collateral held by the Fund can obtain upon occurrence of triggering event
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| -
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| -
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HIGH YIELD BOND FUND WRITTEN CREDIT DERIVATIVE CONTRACTS | SINGLE NAME CDS | CDS ON AN INDEX | ||||||||||||||||||
REFERENCE ASSET | CORP US$ | SOVERIGN US$ | ABS US$ | CORP US$ | Total | |||||||||||||||
Fair value of written credit derivatives | $- | $- | $- | $968,372 | $968,372 | |||||||||||||||
Maximum potential amount of future payments | - | - | - | 12,379,000 | 12,379,000 | |||||||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative | - | - | - | - | - | |||||||||||||||
Collateral held by the Fund can obtain upon occurrence of triggering event
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| -
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| -
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MULTI-STRATEGY ALTERNATIVE FUND WRITTEN CREDIT DERIVATIVE CONTRACTS | SINGLE NAME CDS | CDS ON AN INDEX | ||||||||||||||||||
REFERENCE ASSET | CORP US$ | SOVERIGN US$ | ABS US$ | CORP US$ | Total | |||||||||||||||
Fair value of written credit derivatives | $- | $11 | $- | $142,477 | $142,488 | |||||||||||||||
Maximum potential amount of future payments | - | 2,593,000 | - | 1,182,201 | 3,775,201 | |||||||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative | - | - | - | - | - | |||||||||||||||
Collateral held by the Fund can obtain upon occurrence of triggering event
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| -
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| -
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| -
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MULTI-ASSET INFLATION MANAGED FUND WRITTEN CREDIT DERIVATIVE CONTRACTS | SINGLE NAME CDS | CDS ON AN INDEX | ||||||||||||||||||
REFERENCE ASSET | CORP US$ | SOVERIGN US$ | ABS US$ | CORP US$ | Total | |||||||||||||||
Fair value of written credit derivatives | $- | $- | $(1,301,481) | $- | $(1,301,481) | |||||||||||||||
Maximum potential amount of future payments | - | - | 9,433,000 | - | 9,433,000 | |||||||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative | - | - | - | - | - | |||||||||||||||
Collateral held by the Fund can obtain upon occurrence of triggering event | - | - | - | - | - |
376 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
MULTI-ASSET CAPITAL STABILITY FUND WRITTEN CREDIT DERIVATIVE CONTRACTS | SINGLE NAME CDS | CDS ON AN INDEX | ||||||||||||||||||
REFERENCE ASSET | CORP US$ | SOVERIGN US$ | ABS US$ | CORP US$ | Total | |||||||||||||||
Fair value of written credit derivatives | $- | $- | $- | $1,600,888 | $1,600,888 | |||||||||||||||
Maximum potential amount of future payments | - | - | - | 27,263,292 | 27,263,292 | |||||||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative | - | - | - | - | - | |||||||||||||||
Collateral held by the Fund can obtain upon occurrence of triggering event | - | - | - | - | - |
1 | Potential recoveries would include purchased credit derivatives to the extent they offset written credit derivatives which have an identical underlying, or a netting arrangement or credit support annex with the counterparty. There may be other potential recoveries from recourse provisions where agreements cover multiple derivative arrangements but those amounts have not been included. |
MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM | ||||||||||||||||||||||||
CORE FIXED INCOME FUND | 0-6 MONTHS | 6-12 MONTHS | 1-5 YEARS | 5-10 YEARS | > 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points) | ||||||||||||||||||||||||
0-100 | $- | $- | $22,060,000 | $- | $- | $22,060,000 | ||||||||||||||||||
101-200 | - | - | - | - | - | - | ||||||||||||||||||
201-300 | - | - | - | - | - | - | ||||||||||||||||||
301-400 | - | - | - | - | - | - | ||||||||||||||||||
> than 400 | - | - | - | - | - | - | ||||||||||||||||||
Total | $- | $- | $22,060,000 | $- | $- | $22,060,000 | ||||||||||||||||||
MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM | ||||||||||||||||||||||||
U.S. FIXED INCOME FUND | 0-6 MONTHS | 6-12 MONTHS | 1-5 YEARS | 5-10 YEARS | > 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points) | ||||||||||||||||||||||||
0-100 | $- | $- | $8,300,000 | $- | $- | $8,300,000 | ||||||||||||||||||
101-200 | - | - | - | - | - | - | ||||||||||||||||||
201-300 | - | - | - | - | - | - | ||||||||||||||||||
301-400 | - | - | - | - | - | - | ||||||||||||||||||
> than 400 | - | - | - | - | - | - | ||||||||||||||||||
Total | $- | $- | $8,300,000 | $- | $- | $8,300,000 | ||||||||||||||||||
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 | > 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points) | ||||||||||||||||||||||||
0-100 | $- | $- | $- | $- | $- | $- | ||||||||||||||||||
101-200 | - | - | - | - | - | - | ||||||||||||||||||
201-300 | - | - | 850,000 | - | - | 850,000 | ||||||||||||||||||
301-400 | - | - | 11,529,000 | - | - | 11,529,000 | ||||||||||||||||||
> than 400 | - | - | - | - | - | - | ||||||||||||||||||
Total | $- | $- | $12,379,000 | $- | $- | $12,379,000 | ||||||||||||||||||
MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM | ||||||||||||||||||||||||
MULTI-STRATEGY ALTERNATIVE FUND | 0-6 MONTHS | 6-12 MONTHS | 1-5 YEARS | 5-10 YEARS | > 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points) | ||||||||||||||||||||||||
0-100 | $- | $- | $2,345,000 | $- | $- | $2,345,000 | ||||||||||||||||||
101-200 | - | - | 248,000 | - | - | 248,000 | ||||||||||||||||||
201-300 | - | - | - | - | - | - | ||||||||||||||||||
301-400 | - | - | - | - | - | - | ||||||||||||||||||
> than 400 | - | - | 1,405,401 | - | - | 1,405,401 | ||||||||||||||||||
Total | $- | $- | $3,998,401 | $- | $- | $3,998,401 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 377 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2017
MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM | ||||||||||||||||||||||||
MULTI-ASSET INFLATION MANAGED FUND | 0-6 MONTHS | 6-12 MONTHS | 1-5 YEARS | 5-10 YEARS | > 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points) | ||||||||||||||||||||||||
0-100 | $- | $- | $- | $- | $- | $- | ||||||||||||||||||
101-200 | - | - | - | - | - | - | ||||||||||||||||||
201-300 | - | - | - | - | - | - | ||||||||||||||||||
301-400 | - | - | - | - | - | - | ||||||||||||||||||
> than 400 | - | - | - | - | 9,433,000 | 9,433,000 | ||||||||||||||||||
Total | $- | $- | $- | $- | $9,433,000 | $9,433,000 | ||||||||||||||||||
MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM | ||||||||||||||||||||||||
MULTI-ASSET CAPITAL STABILITY FUND | 0-6 MONTHS | 6-12 MONTHS | 1-5 YEARS | 5-10 YEARS | > 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points) | ||||||||||||||||||||||||
0-100 | $- | $- | $12,290,000 | $- | $- | $12,290,000 | ||||||||||||||||||
101-200 | - | - | - | - | - | - | ||||||||||||||||||
201-300 | - | - | - | - | - | - | ||||||||||||||||||
301-400 | - | - | - | - | - | - | ||||||||||||||||||
> than 400 | - | - | 14,973,292 | - | - | 14,973,292 | ||||||||||||||||||
Total | $- | $- | $27,263,292 | $- | $- | $27,263,292 |
* | The credit spread on the underlying asset is generally indicative of the current status of the underlying risk of the Fund having to perform. The spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a contract. Higher credit spreads with a shorter contract term is indicative of a higher likelihood of performance by the Fund. |
The credit spread disclosed above for each reference obligation where the Fund is the seller of protection is a representation of the current payment/performance risk of the swap.
4. DERIVATIVE TRANSACTIONS
The following tables include only Funds that had exposure to more than one type of risk on derivatives held throughout the year. For Funds that held derivatives throughout the year with only one type of risk exposure, additional information can be found on the Summary Schedule of Investments, Schedule of Investments or Consolidated Schedule of Investments and the Statement of Operations or Consolidated Statement of Operations.
The fair value of derivative instruments as of September 30, 2017 was as follows ($ Thousands):
Asset Derivatives | Liability Derivatives | |||||||||||
Statement of Assets and Liabilities/Consolidated Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities/Consolidated Statement 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 | $335* | Net Assets — Unrealized depreciation on futures contracts | $4* | ||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 2,460 | Unrealized loss on forward foreign currency contracts | 102 | ||||||||
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Total Derivatives not accounted for as hedging instruments | $2,795 | $106 | ||||||||||
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Core Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $2,048* | Net Assets — Unrealized depreciation on futures contracts | $2,336 * | ||||||||
Net Assets — Unrealized appreciation on swap contracts | 1,879† | Net Assets — Unrealized depreciation on swap contracts | 248† | |||||||||
Options purchased, at value | 203 | Options written, at value | 175 | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign | Unrealized loss on forward foreign | ||||||||||
currency contracts | 840 | currency contracts | 674 | |||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 69† | Net Assets — Unrealized depreciation on swap contracts | 30† | ||||||||
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| |||||||||
Total Derivatives not accounted for as hedging instruments | $5,039 | $3,463 | ||||||||||
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|
|
378 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Asset Derivatives | Liability Derivatives | |||||||||||
Statement of Assets and Liabilities/Consolidated Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities/Consolidated Statement of Assets and Liabilities Location | Fair Value | |||||||||
Derivatives not accounted for as hedging instruments: | ||||||||||||
U.S. Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $1,057* | Net Assets — Unrealized depreciation on futures contracts | $827* | ||||||||
Net Assets — Unrealized appreciation on swap contracts | 1,071† | Net Assets — Unrealized depreciation on swap contracts | 12† | |||||||||
Options purchased, at value | 117 | Options written, at value | 100 | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 273 | Unrealized loss on forward foreign currency contracts | 22 | ||||||||
Credit Contracts | Net Assets — Unrealized appreciation on swap contracts | 12 | Net Assets — Unrealized depreciation on swap contracts | — | ||||||||
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| |||||||||
Total Derivatives not accounted for as hedging instruments | $2,530 | $961 | ||||||||||
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High Yield Bond Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on swap contracts | $—† | Net Assets — Unrealized depreciation on swap contracts | $367† | ||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 83† | Net Assets — Unrealized depreciation on swap contracts | —† | ||||||||
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| |||||||||
Total Derivatives not accounted for as hedging instruments | $83 | $367 | ||||||||||
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Dynamic Asset Allocation Fund | ||||||||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | $5,917* | Net Assets — Unrealized depreciation on futures contracts | $2,866* | ||||||||
Net Assets — Unrealized appreciation on swap contracts | 696† | Net Assets — Unrealized depreciation on swap contracts | 274† | |||||||||
Options purchased, at value | 883 | Options written, at value | 425 | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 979 | Unrealized loss on forward foreign currency contracts | 2,131 | ||||||||
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|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $8,475 | $5,696 | ||||||||||
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|
|
| |||||||||
Multi-Strategy Alternative Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $78* | Net Assets — Unrealized depreciation on futures contracts | $—* | ||||||||
Net Assets — Unrealized appreciation on swap contracts | 332 | Net Assets — Unrealized depreciation on swap contracts | 67 | |||||||||
Equity contracts | Options purchased, at value | 223 | Options written, at value | 30 | ||||||||
Net Assets — Unrealized appreciation on futures contracts | —* | Net Assets — Unrealized depreciation on futures contracts | 11* | |||||||||
Net Assets — Unrealized appreciation on swap contracts | 199† | Net Assets — Unrealized depreciation on swap contracts | 192† | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 359 | Unrealized loss on forward foreign currency contracts | 159 | ||||||||
Net Assets — Unrealized appreciation on cross currency swap contracts | — | Net Assets — Unrealized depreciation on cross currency swap contracts | 16† | |||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 233† | Net Assets — Unrealized depreciation on swap contracts | 246† | ||||||||
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|
| |||||||||
Total Derivatives not accounted for as hedging instruments | | $1,424 | | $721 | ||||||||
|
|
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 379 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2017
Asset Derivatives | Liability Derivatives | |||||||||||
Statement of Assets and Liabilities/Consolidated Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities/Consolidated Statement of Assets and Liabilities Location | Fair Value | |||||||||
Derivatives not accounted for as hedging instruments: | ||||||||||||
Multi-Asset Accumulation Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $—* | Net Assets — Unrealized depreciation on futures contracts | $21,819* | ||||||||
Net Assets — Unrealized appreciation on swap contracts | —† | Net Assets — Unrealized depreciation on swap contracts | 6,944† | |||||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | 27,217* | Net Assets — Unrealized depreciation on futures contracts | 2,126* | ||||||||
Net Assets — Unrealized appreciation on swap contracts | 2,097† | Net Assets — Unrealized depreciation on swap contracts | 860† | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 6,009 | Unrealized loss on forward foreign currency contracts | 9,973 | ||||||||
Commodity contracts | Net Assets — Unrealized appreciation on futures contracts | 17,332* | Net Assets — Unrealized depreciation on futures contracts | 6,566* | ||||||||
Net Assets — Unrealized appreciation on swap contracts | 4,774† | Net Assets — Unrealized depreciation on swap contracts | 3,093† | |||||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $57,429 | $51,381 | ||||||||||
|
|
|
| |||||||||
Multi-Asset Income Fund | ||||||||||||
Interest rate contracts | Options purchased, at value | $35 | Options written, at value | $9 | ||||||||
Net Assets — Unrealized appreciation on futures contracts | —* | Net Assets — Unrealized depreciation on futures contracts | 847* | |||||||||
Net Assets — Unrealized appreciation on swap contracts | 169† | Net Assets — Unrealized depreciation on swap contracts | 127† | |||||||||
Equity contracts | Options purchased, at value | — | Options written, at value | 2,245 | ||||||||
Net Assets — Unrealized appreciation on futures contracts | 601* | Net Assets — Unrealized depreciation on futures contracts | —* | |||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | —† | Net Assets — Unrealized depreciation on swap contracts | 35† | ||||||||
Foreign exchange contracts | Options purchased, at value | 459 | Options written, at value | — | ||||||||
Unrealized gain on forward foreign currency contracts | 50 | Unrealized loss on forward foreign currency contracts | 95 | |||||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $1,314 | $3,358 | ||||||||||
|
|
|
| |||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $519* | Net Assets — Unrealized depreciation on futures contracts | $72* | ||||||||
Net Assets — Unrealized appreciation on swap contracts | 1,021† | Net Assets — Unrealized depreciation on swap contracts | 1,309† | |||||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | —* | Net Assets — Unrealized depreciation on futures contracts | 362* | ||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 241 | Unrealized loss on forward foreign currency contracts | 225 | ||||||||
Commodity contracts | Net Assets — Unrealized appreciation on futures contracts | 4,762* | Net Assets — Unrealized depreciation on future contracts | 4,298* | ||||||||
Credit contracts | Net Assets — Unrealized appreciation on swaps contracts | —† | Net Assets — Unrealized depreciation on swaps contracts | 806† | ||||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $6,543 | $7,072 | ||||||||||
|
|
|
|
380 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Asset Derivatives | Liability Derivatives | |||||||||||
Statement of Assets and Liabilities/Consolidated Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities/Consolidated Statement of Assets and Liabilities Location | Fair Value | |||||||||
Derivatives not accounted for as hedging instruments: | ||||||||||||
Multi-Asset Capital Stability Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $108* | Net Assets — Unrealized depreciation on futures contracts | $1,301* | ||||||||
Net Assets — Unrealized appreciation on swap contracts | 30† | Net Assets — Unrealized depreciation on swap contracts | 307† | |||||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | 1,638* | Net Assets — Unrealized depreciation on futures contracts | —* | ||||||||
Options purchased, at value | 206 | Options written, at value | 151 | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 7,989 | Unrealized loss on forward foreign currency contracts | 1,999 | ||||||||
Options purchased, at value | 21 | Options written, at value | 41 | |||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 244† | Net Assets — Unrealized depreciation on swap contracts | —† | ||||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $10,236 | $3,799 | ||||||||||
|
|
|
| |||||||||
Long/Short Alternative Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on | Net Assets — Unrealized depreciation on futures | ||||||||||
futures contracts | $77* | contracts | $29* | |||||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | 147* | Net Assets — Unrealized depreciation on futures contracts | —* | ||||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $224 | $29 | ||||||||||
|
|
|
|
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets & Liabilities or Consolidated Statements of Assets & Liabilities. |
† | Includes cumulative appreciation/depreciation of swap contracts as reported in the Schedules of Investments. Market Value is reported within the Statements of Assets & Liabilities or Consolidated Statements of Assets & Liabilities for swap contracts that have paid premiums. |
The effect of derivative instruments on the Statements of Operations/Consolidated Statements of Operations for the year ended September 30, 2017.
Amount of realized gain or (loss) on derivatives recognized in income ($ Thousands):
Derivatives Not Accounted for as Hedging Instruments | Options | Swaptions | Futures | Forward Currency Contracts | Swaps | Total | ||||||||||||||||||
Global Managed Volatility Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 7,560 | $ | — | $ | — | $ | 7,560 | ||||||||||||
Foreign exchange contracts | — | — | — | 1,468 | — | 1,468 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 7,560 | $ | 1,468 | $ | — | $ | 9,028 | ||||||||||||
Core Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | (79 | ) | $ | — | $ | 5,966 | $ | — | $ | (1,598 | ) | $ | 4,289 | ||||||||||
Foreign exchange contracts | (23 | ) | — | 24 | 3,113 | — | 3,114 | |||||||||||||||||
Credit contracts | — | — | — | — | (141 | ) | (141 | ) | ||||||||||||||||
Total | $ | (102 | ) | $ | — | $ | 5,990 | $ | 3,113 | $ | (1,739 | ) | $ | 7,262 | ||||||||||
U.S. Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | (131 | ) | $ | — | $ | 3,825 | $ | — | $ | (264 | ) | $ | 3,430 | ||||||||||
Foreign exchange contracts | — | — | — | 795 | — | 795 | ||||||||||||||||||
Total | $ | (131 | ) | $ | — | $ | 3,825 | $ | 795 | $ | (264 | ) | $ | 4,225 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 381 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2017
Derivatives Not Accounted for as Hedging Instruments | Options | Swaptions | Futures | Forward Currency Contracts | Swaps | Total | ||||||||||||||||||
High Yield Bond Fund |
| |||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Credit contracts | — | — | — | — | 894 | 894 | ||||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | 894 | $ | 894 | ||||||||||||
Dynamic Asset Allocation Fund |
| |||||||||||||||||||||||
Equity contracts | $ | (886 | ) | $ | — | $ | 292 | $ | — | $ | — | $ | (594) | |||||||||||
Interest rate contracts | — | — | (73 | ) | — | 2,241 | 2,168 | |||||||||||||||||
Foreign exchange contracts | 1,479 | — | — | 6,816 | — | 8,295 | ||||||||||||||||||
Total | $ | 593 | $ | — | $ | 219 | $ | 6,816 | $ | 2,241 | $ | 9,869 | ||||||||||||
Multi-Strategy Alternative Fund |
| |||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (259 | ) | $ | (259) | |||||||||||
Equity contracts | (518 | ) | — | (190 | ) | — | 594 | (114) | ||||||||||||||||
Interest rate contracts | (9 | ) | — | 265 | — | 77 | 333 | |||||||||||||||||
Foreign exchange contracts | — | — | — | 139 | — | 139 | ||||||||||||||||||
Total | $ | (527 | ) | $ | — | $ | 75 | $ | 139 | $ | 412 | $ | 99 | |||||||||||
Multi-Asset Accumulation Fund |
| |||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 136,688 | $ | — | $ | 25,097 | $ | 161,785 | ||||||||||||
Interest rate contracts | — | — | (29,749 | ) | — | (15,240 | ) | (44,989) | ||||||||||||||||
Foreign exchange contracts | — | — | (4,947 | ) | (5,603 | ) | — | (10,550) | ||||||||||||||||
Commodity contracts | — | — | (6,672 | ) | — | (5,226 | ) | (11,898) | ||||||||||||||||
Total | $ | — | $ | — | $ | 95,320 | $ | (5,603 | ) | $ | 4,631 | $ | 94,348 | |||||||||||
Multi-Asset Income Fund |
| |||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | 30 | $ | 30 | ||||||||||||
Equity contracts | (4,146 | ) | — | 4,090 | — | (251 | ) | (307) | ||||||||||||||||
Interest rate contracts | 257 | — | (824 | ) | — | 689 | 122 | |||||||||||||||||
Foreign exchange contracts | — | — | — | (474 | ) | — | (474) | |||||||||||||||||
Total | $ | (3,889 | ) | $ | — | $ | 3,266 | $ | (474 | ) | $ | 468 | $ | (629) | ||||||||||
Multi-Asset Inflation Managed Fund |
| |||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | 122 | $ | 122 | ||||||||||||
Equity contracts | — | — | (4,825 | ) | — | — | (4,825) | |||||||||||||||||
Interest rate contracts | (105 | ) | — | 69 | — | 334 | 298 | |||||||||||||||||
Foreign exchange contracts | — | — | — | 1,903 | — | 1,903 | ||||||||||||||||||
Commodity contracts | (78 | ) | — | (10,902 | ) | — | — | (10,980) | ||||||||||||||||
Total | $ | (183 | ) | $ | — | $ | (15,658 | ) | $ | 1,903 | $ | 456 | $ | (13,482) | ||||||||||
Multi-Asset Capital Stability Fund |
| |||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | 699 | $ | 699 | ||||||||||||
Equity contracts | 180 | — | 13,826 | — | — | 14,006 | ||||||||||||||||||
Interest rate contracts | — | (16 | ) | (2,462 | ) | — | (173 | ) | (2,651) | |||||||||||||||
Foreign exchange contracts | 152 | — | — | 7,225 | — | 7,377 | ||||||||||||||||||
Total | $ | 332 | $ | (16 | ) | $ | 11,364 | $ | 7,225 | $ | 526 | $ | 19,431 | |||||||||||
Long/Short Alternative Fund |
| |||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 3,433 | $ | — | $ | — | $ | 3,433 | ||||||||||||
Interest rate contracts | — | — | (139 | ) | — | — | (139) | |||||||||||||||||
Total | $ | — | $ | — | $ | 3,294 | $ | — | $ | — | $ | 3,294 |
382 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
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 | $ | — | $ | — | $ | 255 | $ | — | $ | — | $ | 255 | ||||||||||||
Foreign exchange contracts | — | — | — | 2,090 | — | 2,090 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 255 | $ | 2,090 | $ | — | $ | 2,345 | ||||||||||||
Core Fixed Income Fund | ||||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | 59 | $ | 59 | ||||||||||||
Interest rate contracts | 17 | — | (1,982 | ) | — | 5,472 | 3,507 | |||||||||||||||||
Foreign exchange contracts | — | — | — | 641 | — | 641 | ||||||||||||||||||
Total | $ | 17 | $ | — | $ | (1,982 | ) | $ | 641 | $ | 5,531 | $ | 4,207 | |||||||||||
U.S. Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | 21 | $ | — | $ | (741 | ) | $ | — | $ | 1,526 | $ | 804 | |||||||||||
Foreign exchange contracts | — | — | — | 410 | 12 | 422 | ||||||||||||||||||
Total | $ | 21 | $ | — | $ | (741 | ) | $ | 410 | $ | 1,538 | $ | 1,226 | |||||||||||
High Yield Bond Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | — | $ | — | $ | (367 | ) | $ | (367) | |||||||||||
Credit contracts | — | — | — | — | (110 | ) | (110) | |||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | (477 | ) | $ | (477) | |||||||||||
Dynamic Asset Allocation Fund | ||||||||||||||||||||||||
Equity contracts | $ | (286 | ) | $ | — | $ | 3,029 | $ | — | $ | 422 | $ | 3,165 | |||||||||||
Interest rate contracts | 109 | — | — | — | (576 | ) | (467) | |||||||||||||||||
Foreign exchange contracts | — | — | — | 1,145 | — | 1,145 | ||||||||||||||||||
Total | $ | (177 | ) | $ | — | $ | 3,029 | $ | 1,145 | $ | (154 | ) | $ | 3,843 | ||||||||||
Multi-Strategy Alternative Fund | ||||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (111 | ) | $ | (111) | |||||||||||
Equity contracts | (188 | ) | — | (16 | ) | — | (95 | ) | (299) | |||||||||||||||
Interest rate contracts | — | — | 74 | — | 225 | 299 | ||||||||||||||||||
Foreign exchange contracts | — | — | — | 278 | (16 | ) | 262 | |||||||||||||||||
Total | $ | (188 | ) | $ | — | $ | 58 | $ | 278 | $ | 3 | $ | 151 | |||||||||||
Multi-Asset Accumulation Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 21,120 | $ | — | $ | 2,880 | $ | 24,000 | ||||||||||||
Interest rate contracts | — | — | (26,015 | ) | — | (8,253 | ) | (34,268) | ||||||||||||||||
Foreign exchange contracts | — | — | — | (3,983 | ) | — | (3,983) | |||||||||||||||||
Commodity contracts | — | — | 13,797 | — | 2,873 | 16,670 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 8,902 | $ | (3,983 | ) | $ | (2,500 | ) | $ | 2,419 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 383 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2017
Derivatives Not Accounted for as Hedging Instruments | Options | Swaptions | Futures | Forward Currency Contracts | Swaps | Total | ||||||||||||||||||
Multi-Asset Income Fund | ||||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (35 | ) | $ | (35) | |||||||||||
Equity contracts | (175 | ) | — | 533 | — | 239 | 597 | |||||||||||||||||
Interest rate contracts | (467 | ) | — | (911 | ) | — | 269 | (1,109) | ||||||||||||||||
Foreign exchange contracts | (1,247 | ) | — | — | (280 | ) | — | (1,527) | ||||||||||||||||
Total | $ | (1,889 | ) | $ | — | $ | (378 | ) | $ | (280 | ) | $ | 473 | $ | (2,074) | |||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (623 | ) | $ | (623) | |||||||||||
Equity contracts | — | — | (269 | ) | — | — | (269) | |||||||||||||||||
Interest rate contracts | — | — | 657 | — | 1,840 | 2,497 | ||||||||||||||||||
Foreign exchange contracts | — | — | — | 1,722 | — | 1,722 | ||||||||||||||||||
Commodity contracts | — | — | 313 | — | — | 313 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 701 | $ | 1,722 | $ | 1,217 | $ | 3,640 | ||||||||||||
Multi-Asset Capital Stability Fund | ||||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | 251 | $ | 251 | ||||||||||||
Equity contracts | 49 | — | 1,663 | — | — | 1,712 | ||||||||||||||||||
Interest rate contracts | — | — | (1,048 | ) | — | (538 | ) | (1,586) | ||||||||||||||||
Foreign exchange contracts | (85 | ) | — | — | 6,217 | — | 6,132 | |||||||||||||||||
Total | $ | (36 | ) | $ | — | $ | 615 | $ | 6,217 | $ | (287 | ) | $ | 6,509 | ||||||||||
Long/Short Alternative Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 225 | $ | — | $ | — | $ | 225 | ||||||||||||
Interest rate contracts | — | — | 46 | — | — | 46 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 271 | $ | — | $ | — | $ | 271 |
The following table discloses the volume of the Fund’s futures contracts, option contracts, forward foreign currency contracts and swap contracts activity during the year ended September 30, 2017 ($ Thousands):
Large Cap Fund | Large Cap Growth Fund | Tax-Managed Large Cap Fund | S&P 500 Index Fund | Small Cap Fund | ||||||||||||||||
Futures Contracts: | ||||||||||||||||||||
Equity Contracts | ||||||||||||||||||||
Average Notional Balance Long | $ | 14,855 | $ | 31 | $ | 16,952 | $ | 16,846 | $ | 12,679 | ||||||||||
Ending Notional Balance Long | 12,655 | 376 | – | 16,048 | 18,878 | |||||||||||||||
Small Cap Value Fund | Small Cap Growth Fund | Tax-Managed Small/Mid Cap Fund | Mid-Cap Fund | U.S. Managed Volatility Fund | ||||||||||||||||
Futures Contracts: | ||||||||||||||||||||
Equity Contracts | ||||||||||||||||||||
Average Notional Balance Long | $ | 4,231 | $ | 284 | $ | 3,304 | $ | 2,111 | $ | 18,606 | ||||||||||
Ending Notional Balance Long | 3,724 | 1,043 | 2,197 | 859 | 20,977 |
384 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | Tax-Managed International Managed Volatility Fund | Enhanced Income Fund | Core Fixed Income Fund | ||||||||||||||||
Futures Contracts: | ||||||||||||||||||||
Equity Contracts | ||||||||||||||||||||
Average Notional Balance Long | $ | 29,092 | $ | 12,369 | $ | 4,928 | $ | – | $ | – | ||||||||||
Ending Notional Balance Long | 17,379 | 9,967 | 10,939 | – | – | |||||||||||||||
Interest Contracts | ||||||||||||||||||||
Average Notional Balance Long | 1,674 | – | 1,475 | 473 | 352,565 | |||||||||||||||
Average Notional Balance Short | – | – | – | 4,400 | 284,800 | |||||||||||||||
Ending Notional Balance Long | – | – | – | 473 | 369,561 | |||||||||||||||
Ending Notional Balance Short | – | – | – | 3,607 | 423,604 | |||||||||||||||
Currency Contracts | ||||||||||||||||||||
Average Notional Balance Short | – | – | – | – | 1,845 | |||||||||||||||
Ending Notional Balance Short | – | – | – | – | 2,695 | |||||||||||||||
Forward Foreign Currency Contracts: | ||||||||||||||||||||
Average Notional Balance Long | 392,571 | – | – | – | 90,972 | |||||||||||||||
Average Notional Balance Short | 392,213 | – | – | – | 90,521 | |||||||||||||||
Ending Notional Balance Long | 379,620 | – | – | – | 84,441 | |||||||||||||||
Ending Notional Balance Short | 377,264 | – | – | – | 84,269 | |||||||||||||||
Swaps: | ||||||||||||||||||||
Credit Contracts | ||||||||||||||||||||
Average Notional Balance Long | – | – | – | – | 5,500 | |||||||||||||||
Average Notional Balance Short | – | – | – | – | 9,898 | |||||||||||||||
Ending Notional Balance Long | – | – | – | – | 12,010 | |||||||||||||||
Ending Notional Balance Short | – | – | – | – | 22,060 | |||||||||||||||
Interest Contracts | ||||||||||||||||||||
Average Notional Balance Long | – | – | – | – | 103,359 | |||||||||||||||
Average Notional Balance Short | – | – | – | – | 103,359 | |||||||||||||||
Ending Notional Balance Long | – | – | – | – | 115,889 | |||||||||||||||
Ending Notional Balance Short | – | – | – | – | 115,889 | |||||||||||||||
Options | ||||||||||||||||||||
Interest | ||||||||||||||||||||
Average Notional Balance Long | – | – | – | – | 228 | |||||||||||||||
Average Notional Balance Short | – | – | – | – | 275 | |||||||||||||||
Ending Notional Balance Long | – | – | – | – | 243 | |||||||||||||||
Ending Notional Balance Short | – | – | – | – | 285 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 385 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2017
U.S. Fixed Income Fund | High Yield Bond Fund | Dynamic Asset Allocation Fund | Multi-Strategy Alternative Fund | Multi-Asset Accumulation Fund | ||||||||||||||||||||
Futures Contracts: |
| |||||||||||||||||||||||
Commodity Contracts |
| |||||||||||||||||||||||
Average Notional Balance Long | $ | – | $ | – | $ | – | $ | – | $ | 457,722 | ||||||||||||||
Average Notional Balance Short | – | – | – | – | 53 | |||||||||||||||||||
Ending Notional Balance Long | – | – | – | – | 691,455 | |||||||||||||||||||
Equity Contracts |
| |||||||||||||||||||||||
Average Notional Balance Long | – | – | 72,249 | – | 1,130,862 | |||||||||||||||||||
Average Notional Balance Short | – | – | 71,791 | 1,244 | – | |||||||||||||||||||
Ending Notional Balance Long | – | – | 166,933 | – | 1,147,537 | |||||||||||||||||||
Ending Notional Balance Short | – | – | 140,300 | 870 | – | |||||||||||||||||||
Interest Contracts |
| |||||||||||||||||||||||
Average Notional Balance Long | 165,987 | – | 18,316 | 114 | 1,701,857 | |||||||||||||||||||
Average Notional Balance Short | 166,659 | – | – | 8,656 | 1,647 | |||||||||||||||||||
Ending Notional Balance Long | 172,726 | – | – | – | 1,873,634 | |||||||||||||||||||
Ending Notional Balance Short | 233,369 | – | – | 7,100 | – | |||||||||||||||||||
Forward Foreign Currency Contracts: |
| |||||||||||||||||||||||
Average Notional Balance Long | 20,078 | – | 455,240 | 30,046 | 1,170,174 | |||||||||||||||||||
Average Notional Balance Short | 19,924 | – | 455,161 | 30,060 | 1,171,895 | |||||||||||||||||||
Ending Notional Balance Long | 30,321 | – | 747,973 | 37,824 | 1,075,334 | |||||||||||||||||||
Ending Notional Balance Short | 30,052 | – | 749,125 | 37,621 | 1,079,303 | |||||||||||||||||||
Swaps: |
| |||||||||||||||||||||||
Total Return Contracts |
| |||||||||||||||||||||||
Average Notional Balance Long | – | – | 6,188 | 6,629 | 811,504 | |||||||||||||||||||
Average Notional Balance Short | – | 3,367 | 6,188 | 2,703 | – | |||||||||||||||||||
Ending Notional Balance Long | – | – | 74,260 | 14,653 | 851,849 | |||||||||||||||||||
Ending Notional Balance Short | – | 20,200 | 74,260 | 4,886 | – | |||||||||||||||||||
Credit Contracts |
| |||||||||||||||||||||||
Average Notional Balance Long | – | – | – | 12,535 | – | |||||||||||||||||||
Average Notional Balance Short | 1,383 | 10,472 | – | 7,414 | – | |||||||||||||||||||
Ending Notional Balance Long | – | – | – | 9,380 | – | |||||||||||||||||||
Ending Notional Balance Short | 8,300 | 12,379 | – | 3,775 | – | |||||||||||||||||||
Interest Contracts |
| |||||||||||||||||||||||
Average Notional Balance Long | 33,060 | – | 6,578 | 6,452 | 561,470 | |||||||||||||||||||
Average Notional Balance Short | 33,060 | – | 6,578 | 6,452 | 561,470 | |||||||||||||||||||
Ending Notional Balance Long | 41,289 | – | – | 9,464 | 681,222 | |||||||||||||||||||
Ending Notional Balance Short | 41,289 | – | – | 9,464 | 681,222 | |||||||||||||||||||
Foreign Exchange Contracts |
| |||||||||||||||||||||||
Average Notional Balance Long | – | – | – | 994 | 37,043 | |||||||||||||||||||
Average Notional Balance Short | – | – | – | 987 | – | |||||||||||||||||||
Ending Notional Balance Long | – | – | – | 2,059 | 444,511 | |||||||||||||||||||
Ending Notional Balance Short | – | – | – | 2,107 | – | |||||||||||||||||||
Options |
| |||||||||||||||||||||||
Equity |
| |||||||||||||||||||||||
Average Notional Balance Long | – | – | 544 | 333 | – | |||||||||||||||||||
Average Notional Balance Short | – | – | 261 | 89 | – | |||||||||||||||||||
Ending Notional Balance Long | – | – | 1,525 | 477 | – | |||||||||||||||||||
Ending Notional Balance Short | – | – | 781 | 67 | – | |||||||||||||||||||
Interest |
| |||||||||||||||||||||||
Average Notional Balance Long | 126 | – | – | 1 | – | |||||||||||||||||||
Average Notional Balance Short | 143 | – | – | – | – | |||||||||||||||||||
Ending Notional Balance Long | 140 | – | – | – | – | |||||||||||||||||||
Ending Notional Balance Short | 163 | – | – | – | – | |||||||||||||||||||
Currency |
| |||||||||||||||||||||||
Average Notional Balance Long | – | – | 15,381 | – | – |
386 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Multi-Asset Income Fund | Multi-Asset Inflation Managed Fund | Multi-Asset Capital Stability Fund | Long/Short Alternative Fund | |||||||||||||
Futures Contracts: | ||||||||||||||||
Commodity Contracts | ||||||||||||||||
Average Notional Balance Long | $ | – | $ | 203,513 | $ | – | $ | – | ||||||||
Average Notional Balance Short | – | 28,166 | – | – | ||||||||||||
Ending Notional Balance Long | – | 199,434 | – | – | ||||||||||||
Ending Notional Balance Short | – | 29,992 | – | – | ||||||||||||
Equity Contracts | ||||||||||||||||
Average Notional Balance Long | 28,767 | – | 99,661 | 18,112 | ||||||||||||
Average Notional Balance Short | – | 35,390 | – | 783 | ||||||||||||
Ending Notional Balance Long | 31,479 | – | 113,401 | 10,140 | ||||||||||||
Ending Notional Balance Short | – | 39,062 | – | – | ||||||||||||
Interest Contracts | ||||||||||||||||
Average Notional Balance Long | 84,739 | 13,370 | 97,704 | 1,705 | ||||||||||||
Average Notional Balance Short | 14 | 73,575 | 6,233 | 3,348 | ||||||||||||
Ending Notional Balance Long | 116,006 | 13,232 | 105,170 | – | ||||||||||||
Ending Notional Balance Short | – | 109,633 | 23,681 | 3,745 | ||||||||||||
Currency Contracts | ||||||||||||||||
Average Notional Balance Long | – | – | 5,473 | – | ||||||||||||
Average Notional Balance Short | – | – | – | 878 | ||||||||||||
Ending Notional Balance Short | – | – | – | 2,107 | ||||||||||||
Forward Foreign Currency Contracts: | ||||||||||||||||
Average Notional Balance Long | 23,114 | 71,771 | 466,999 | – | ||||||||||||
Average Notional Balance Short | 23,284 | 71,645 | 464,418 | – | ||||||||||||
Ending Notional Balance Long | 27,072 | 48,074 | 432,107 | – | ||||||||||||
Ending Notional Balance Short | 27,117 | 48,041 | 426,130 | – | ||||||||||||
Swaps: | ||||||||||||||||
Total Return Contracts | ||||||||||||||||
Average Notional Balance Long | 41 | – | – | – | ||||||||||||
Credit Contracts | ||||||||||||||||
Average Notional Balance Long | 1,730 | 4,166 | – | – | ||||||||||||
Average Notional Balance Short | 1,125 | 8,424 | 22,527 | – | ||||||||||||
Ending Notional Balance Long | 10,380 | 10,601 | – | – | ||||||||||||
Ending Notional Balance Short | – | 9,433 | 27,263 | – | ||||||||||||
Interest Contracts | ||||||||||||||||
Average Notional Balance Long | 93,588 | 176,420 | 28,226 | – | ||||||||||||
Average Notional Balance Short | 93,588 | 176,420 | 28,226 | – | ||||||||||||
Ending Notional Balance Long | 31,536 | 110,304 | 35,029 | – | ||||||||||||
Ending Notional Balance Short | 31,536 | 110,304 | 35,029 | – | ||||||||||||
Options | ||||||||||||||||
Commodity | ||||||||||||||||
Average Notional Balance Long | – | 133 | – | – | ||||||||||||
Equity | ||||||||||||||||
Average Notional Balance Long | 540 | – | 154 | – | ||||||||||||
Average Notional Balance Short | 1,545 | – | 188 | – | ||||||||||||
Ending Notional Balance Long | 703 | – | 299 | – | ||||||||||||
Ending Notional Balance Short | 1,858 | – | 301 | – | ||||||||||||
Interest | ||||||||||||||||
Average Notional Balance Long | 791 | 9,372 | – | – | ||||||||||||
Average Notional Balance Short | 150 | 5,370 | 5,704 | – | ||||||||||||
Ending Notional Balance Long | 1,082 | – | – | – | ||||||||||||
Currency | ||||||||||||||||
Average Notional Balance Long | 11,521 | – | 16,703 | – | ||||||||||||
Average Notional Balance Short | – | – | 33,340 | – | ||||||||||||
Ending Notional Balance Long | 17,281 | – | 1,800 | – | ||||||||||||
Ending Notional Balance Short | – | – | 9,900 | – |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 387 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2017
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 $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury Securities and U.S. dollar cash are generally the preferred forms of collateral. Securities and cash pledged as collateral are reflected as assets on the Statements of Assets and Liabilities or Consolidated Statements of Assets and Liabilities as either a component of investments at value (securities) or deposits due from counterparties (cash). Cash collateral received is not typically held in a segregated account and as such is reflected as a liability on the Statements of Assets and Liabilities or Consolidated Statements of Assets and Liabilities as deposits due to counterparties. The market value of any securities received as collateral is not reflected as a component of net asset value. A Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement.
Customer Account Agreements and related addendums govern exchange traded derivatives transactions such as futures, options on futures, and centrally cleared swaps. Exchange traded derivative transactions require posting of initial margin as determined by each relevant clearing agency which is segregated at a broker account registered with the Commodities Futures Trading Commission (“CFTC”), or the applicable regulator. In the
U.S., counterparty risk is reduced as placement due to the Fund assets in the segregated account. Additionally, portability of exposure in the event of default further reduces risk to the Funds. Variation margin, or changes in market value, are exchanged daily, but may not be netted between futures and cleared OTC derivatives.
388 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
The following is a summary of the market value and variation margin of exchange-traded or centrally cleared financial derivative instruments of the Funds as of September 30, 2017 ($ Thousands):
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Market Value | Variation Margin Asset | Market Value | Variation Margin Liability | |||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Purchased | Swap | Written | Swap | |||||||||||||||||||||||||||||
Fund | Options | Futures | Agreements | Total | Options | Futures | Agreements | Total | ||||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||
Large Cap Fund | $ — | $ 40 | $ — | $ 40 | $ — | $ — | $ — | $ — | ||||||||||||||||||||||||
Large Cap Growth Fund | — | 2 | — | 2 | — | — | — | — | ||||||||||||||||||||||||
S&P 500 Index Fund | — | 54 | — | 54 | — | — | — | — | ||||||||||||||||||||||||
Small Cap Fund | — | 4 | — | 4 | — | — | — | — | ||||||||||||||||||||||||
Small Cap Value Fund | — | 1 | — | 1 | — | — | — | — | ||||||||||||||||||||||||
Tax-Managed Small/Mid Cap Fund | — | 2 | — | 2 | — | — | — | — | ||||||||||||||||||||||||
Mid-Cap Fund | — | 1 | — | 1 | — | — | — | — | ||||||||||||||||||||||||
U.S. Managed Volatility Fund | — | 71 | — | 71 | — | — | — | — | ||||||||||||||||||||||||
Global Managed Volatility Fund | — | 93 | — | 93 | — | 4 | — | 4 | ||||||||||||||||||||||||
Tax-Managed Managed Volatility Fund | — | 34 | — | 34 | — | — | — | — | ||||||||||||||||||||||||
Tax-Managed International Managed Volatility Fund | — | 55 | — | 55 | — | 5 | — | 5 | ||||||||||||||||||||||||
Enhanced Income Fund | — | 3 | — | 3 | — | 1 | — | 1 | ||||||||||||||||||||||||
Core Fixed Income Fund | 203 | 54 | 147 | 404 | 175 | 597 | 80 | 852 | ||||||||||||||||||||||||
U.S. Fixed Income Fund | 117 | 61 | 1,547 | 1,725 | 100 | 225 | 1,512 | 1,837 | ||||||||||||||||||||||||
High Yield Bond Fund | — | 42 | — | 42 | — | — | — | — | ||||||||||||||||||||||||
Dynamic Asset Allocation Fund | 883 | 574 | — | 1,457 | 425 | 588 | — | 1,013 | ||||||||||||||||||||||||
Multi-Strategy Alternative Fund | 223 | 3 | 22 | 248 | 30 | 14 | 11 | 55 | ||||||||||||||||||||||||
Multi-Asset Accumulation Fund | — | 3,810 | — | 3,810 | — | 859 | 472 | 1,331 | ||||||||||||||||||||||||
Multi-Asset Income Fund | 494 | 125 | 5 | 624 | 2,254 | 128 | 12 | 2,394 | ||||||||||||||||||||||||
Multi-Asset Inflation Managed Fund | — | 661 | 234 | 895 | — | 1,346 | 748 | 2,094 | ||||||||||||||||||||||||
Multi-Asset Capital Stability Fund | 227 | 540 | 55 | 822 | 192 | 155 | 12 | 359 | ||||||||||||||||||||||||
Long/Short Alternative Fund | — | 71 | — | 71 | — | 1 | — | 1 | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared | $2,147 | $6,301 | $2,010 | $10,458 | $3,176 | $3,923 | $2,847 | $9,946 | ||||||||||||||||||||||||
|
|
|
|
Securities with an aggregate market value of $56,209 ($ Thousands) have been pledged and $154,672 ($ Thousands) in cash has been pledged as collateral for exchange-traded and centrally cleared derivative instruments as of September 30, 2017.
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 counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of September 30, 2017 ($ Thousands):
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||
Forward | Purchased | Forward | Written | Net Market | ||||||||||||||||||||||||||||||||||||||||||||
Foreign | Options | Total Over | Foreign | Options | Reverse | Total | Value of | Collateral | ||||||||||||||||||||||||||||||||||||||||
Global Managed Volatility | Currency | and | Swap | the | Currency | and | Swap | Repurchase | Over the | OTC | (Received) | Net | ||||||||||||||||||||||||||||||||||||
Fund | Contracts | Swaptions | Agreements | Counter | Contracts | Swaptions | Agreements | Agreements | Counter | Derivatives | Pledged | Exposures(1) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
| ||||||||||||||||||||||||||||||||||||||||||||
Brown Brothers Harriman | $ 2,460 | $ — | $ — | $ 2,460 | $ 102 | $ — | $ — | $ — | $ 102 | $ 2,358 | $ — | $ 2,358 | ||||||||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||
Total Over the Counter | $ 2,460 | $ — | $ — | $ 2,460 | $ 102 | $ — | $ — | $ — | $ 102 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 389 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2017
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||
Core Fixed Income Fund | Forward Foreign Currency Contracts | Purchased Options and Swaptions | Swap Agreements | Total Over the Counter | Forward Foreign Currency Contracts | Written Options and Swaptions | Swap Agreements | Reverse Repurchase Agreements | Total Over the Counter | Net Market Value of OTC Derivatives | Collateral (Received) Pledged | Net Exposures(1) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
| ||||||||||||||||||||||||||||||||||||||||||||
Bank of America | $ 359 | $ — | $ — | $ 359 | $ — | $ — | $ — | $ — | $ — | $359 | $ — | $ 359 | ||||||||||||||||||||||||||||||||||||
Citigroup | 479 | — | — | 479 | 534 | — | — | — | 534 | (55) | — | (55) | ||||||||||||||||||||||||||||||||||||
Deutsche Bank | 2 | — | — | 2 | 132 | — | — | — | 132 | (130) | — | (130) | ||||||||||||||||||||||||||||||||||||
Goldman Sachs | — | — | — | — | 8 | — | — | — | 8 | (8) | — | (8) | ||||||||||||||||||||||||||||||||||||
Morgan Stanley | — | — | — | — | — | — | — | — | — | — | | — | | — | ||||||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||
Total Over the Counter | $ 840 | $ — | $ — | $ 840 | $ 674 | $ — | $ — | $ — | $ 674 | |||||||||||||||||||||||||||||||||||||||
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||
U.S. Fixed Income Fund | Forward Foreign Currency Contracts | Purchased Options and Swaptions | Swap Agreements | Total Over the Counter | Forward Foreign Currency Contracts | Written Options and Swaptions | Swap Agreements | Reverse Repurchase Agreements | Total Over the Counter | Net Market Value of OTC Derivatives | Collateral (Received) Pledged | Net Exposures(1) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
| ||||||||||||||||||||||||||||||||||||||||||||
Bank of America | $ 273 | $ — | $ — | $ 273 | $ — | $ — | $ — | $ — | $ — | $ 273 | $ — | $273 | ||||||||||||||||||||||||||||||||||||
Goldman Sachs | — | — | — | — | 22 | — | — | — | 22 | (22) | — | (22) | ||||||||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||
Total Over the Counter | $ 273 | $ — | $ — | $ 273 | $ 22 | $ — | $ — | $ — | $ 22 | |||||||||||||||||||||||||||||||||||||||
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||
High Yield Bond Fund | Forward Foreign Currency Contracts | Purchased Options and Swaptions | Swap Agreements | Total Over the Counter | Forward Foreign Currency Contracts | Written Options and Swaptions | Swap Agreements | Reverse Repurchase Agreements | Total Over the Counter | Net Market Value of OTC Derivatives | Collateral (Received) Pledged | Net Exposures(1) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
| ||||||||||||||||||||||||||||||||||||||||||||
Bank of America | $ — | $ — | $ — | $ — | $ — | $ — | $ 367 | $ — | $ 367 | $ (367) | $ — | $(367) | ||||||||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||
Total Over the Counter | $ — | $ — | $ — | $ — | $ — | $ — | $ 367 | $ — | $ 367 | |||||||||||||||||||||||||||||||||||||||
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||
Dynamic Asset Allocation Fund | Forward Foreign Currency Contracts | Purchased Options and Swaptions | Swap Agreements | Total Over the Counter | Forward Foreign Currency Contracts | Written Options and Swaptions | Swap Agreements | Reverse Repurchase Agreements | Total Over the Counter | Net Market Value of OTC Derivatives | Collateral (Received) Pledged | Net Exposures(1) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
| ||||||||||||||||||||||||||||||||||||||||||||
Bank of America | $ 68 | $ — | $ — | $ 68 | $ 919 | $ — | $ — | $ — | $ 919 | $ (851) | $ — | $ (851) | ||||||||||||||||||||||||||||||||||||
Bank of Montreal | 32 | — | — | 32 | 34 | — | — | — | 34 | (2) | — | (2) | ||||||||||||||||||||||||||||||||||||
Barclays PLC | — | — | — | — | 2 | — | — | — | 2 | (2) | — | (2) | ||||||||||||||||||||||||||||||||||||
BNP Paribas | — | — | — | — | 13 | — | — | — | 13 | (13) | — | (13) | ||||||||||||||||||||||||||||||||||||
Citigroup | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||
Credit Suisse First Boston | — | — | — | — | 1 | — | — | — | 1 | (1) | — | (1) | ||||||||||||||||||||||||||||||||||||
Goldman Sachs | 42 | — | — | 42 | 242 | — | — | — | 242 | (200) | — | (200) | ||||||||||||||||||||||||||||||||||||
HSBC | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 16 | — | — | 16 | 9 | — | — | — | 9 | 7 | — | 7 | ||||||||||||||||||||||||||||||||||||
Morgan Stanley | 57 | — | 696 | 753 | 95 | — | 274 | — | 369 | 384 | — | 384 | ||||||||||||||||||||||||||||||||||||
Standard Chartered | 728 | — | — | 728 | 453 | — | — | — | 453 | 275 | — | 275 | ||||||||||||||||||||||||||||||||||||
TD Securities | 1 | — | — | 1 | — | — | — | — | — | 1 | — | 1 | ||||||||||||||||||||||||||||||||||||
UBS | 35 | — | — | 35 | 363 | — | — | — | 363 | (328) | — | (328) | ||||||||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||
Total Over the Counter | $ 979 | $ — | $ 696 | $ 1,675 | $ 2,131 | $ — | $ 274 | $ — | $ 2,405 | |||||||||||||||||||||||||||||||||||||||
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||
Forward | Purchased | Forward | Written | Net Market | ||||||||||||||||||||||||||||||||||||||||||||
Foreign | Options | Total Over | Foreign | Options | Reverse | Total | Value of | Collateral | ||||||||||||||||||||||||||||||||||||||||
Multi-Strategy Alternative | Currency | and | Swap | the | Currency | and | Swap | Repurchase | Over the | OTC | (Received) | Net | ||||||||||||||||||||||||||||||||||||
Fund | Contracts | Swaptions | Agreements | Counter | Contracts | Swaptions | Agreements | Agreements | Counter | Derivatives | Pledged | Exposures(1) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
| ||||||||||||||||||||||||||||||||||||||||||||
Bank of America | $ — | $ — | $ — | $ — | $ — | $ — | $ 73 | $ — | $ 73 | $(73) | $ — | $ (73) | ||||||||||||||||||||||||||||||||||||
Barclays PLC | 6 | — | 23 | 29 | — | — | — | — | — | 29 | — | 29 | ||||||||||||||||||||||||||||||||||||
Deutsche Bank | 66 | — | 96 | 162 | 26 | — | 10 | — | 36 | 126 | — | 126 | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 54 | — | — | 54 | 19 | — | — | — | 19 | 35 | 200 | 235 | ||||||||||||||||||||||||||||||||||||
Merrill Lynch | 19 | — | | — | | 19 | — | — | — | — | — | 19 | — | 19 | ||||||||||||||||||||||||||||||||||
Morgan Stanley | 214 | — | 199 | 413 | 114 | — | 192 | — | 306 | 107 | — | 107 | ||||||||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||
Total Over the Counter | $ 359 | $ — | $ 318 | $ 677 | $ 159 | $ — | $ 275 | $ — | $ 434 |
390 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||
Forward | Purchased | Forward | Written | Net Market | ||||||||||||||||||||||||||||||||||||||||||||
Multi-Asset Accumulation | Foreign | Options | Total Over | Foreign | Options | Reverse | Total | Value of | Collateral | |||||||||||||||||||||||||||||||||||||||
Currency | and | Swap | the | Currency | and | Swap | Repurchase | Over the | OTC | (Received) | Net | |||||||||||||||||||||||||||||||||||||
Fund | Contracts | Swaptions | Agreements | Counter | Contracts | Swaptions | Agreements | Agreements | Counter | Derivatives | Pledged | Exposures(1) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
| ||||||||||||||||||||||||||||||||||||||||||||
Bank of America | $ — | $ — | $ 321 | $ 321 | $ — | $ — | $ 5,118 | $ — | $ 5,118 | $ (4,797) | $ — | $ (4,797) | ||||||||||||||||||||||||||||||||||||
Barclays PLC | 2,050 | — | — | 2,050 | — | — | — | — | — | 2,050 | — | 2,050 | ||||||||||||||||||||||||||||||||||||
BNP Paribas | — | — | — | — | 1 | — | — | — | 1 | (1) | — | (1) | ||||||||||||||||||||||||||||||||||||
BoA Merrill Lynch | — | — | 1,688 | 1,688 | — | — | 238 | — | 238 | 1,450 | �� | — | 1,450 | |||||||||||||||||||||||||||||||||||
Citibank | — | — | 3,086 | 3,086 | — | — | 2,855 | — | 2,855 | 231 | — | 231 | ||||||||||||||||||||||||||||||||||||
Citigroup | 3,745 | — | — | 3,745 | 9,850 | — | — | — | 9,850 | (6,105) | — | (6,105) | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 167 | — | 1,776 | 1,943 | 122 | — | 430 | — | 552 | 1,391 | — | 1,391 | ||||||||||||||||||||||||||||||||||||
State Street | 47 | — | — | 47 | — | — | — | — | — | 47 | — | 47 | ||||||||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||
Total Over the Counter | $ 6,009 | $ — | $ 6,871 | $ 12,880 | $ 9,973 | $ — | $ 8,641 | $ — | $ 18,614 | |||||||||||||||||||||||||||||||||||||||
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||
Forward | Purchased | Forward | Written | Net Market | ||||||||||||||||||||||||||||||||||||||||||||
Multi-Asset Income Fund | Foreign Currency Contracts | Options and Swaptions | Swap Agreements | Total Over the Counter | Foreign Currency Contracts | Options and Swaptions | Swap Agreements | Reverse Repurchase Agreements | Total Over the Counter | Value of OTC Derivatives | Collateral (Received) Pledged | Net Exposures(1) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
| ||||||||||||||||||||||||||||||||||||||||||||
Bank of America | $ 16 | $ — | $ — | $ 16 | $ 3 | $ — | $ — | $ — | $ 3 | $ 13 | $ — | $ 13 | ||||||||||||||||||||||||||||||||||||
Barclays PLC | — | — | — | — | 39 | — | — | — | 39 | (39) | — | (39) | ||||||||||||||||||||||||||||||||||||
Brown Brothers Harriman | 10 | — | — | 10 | — | — | — | — | — | 10 | — | 10 | ||||||||||||||||||||||||||||||||||||
Citigroup | — | — | — | — | 49 | — | — | — | 49 | (49) | — | (49) | ||||||||||||||||||||||||||||||||||||
Goldman Sachs | 8 | — | — | 8 | — | — | — | — | — | 8 | — | 8 | ||||||||||||||||||||||||||||||||||||
HSBC | — | — | — | — | 4 | — | — | — | 4 | (4) | — | (4) | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 10 | — | — | 10 | — | — | — | — | — | 10 | — | 10 | ||||||||||||||||||||||||||||||||||||
Macquarie Capital | 6 | — | — | 6 | — | — | — | — | — | 6 | — | 6 | ||||||||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||
Total Over the Counter | $ 50 | $ — | $ — | $ 50 | $ 95 | $ — | $ — | $ — | $ 95 | |||||||||||||||||||||||||||||||||||||||
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||
Forward | Purchased | Forward | Written | Net Market | ||||||||||||||||||||||||||||||||||||||||||||
Multi-Asset Inflation Managed Fund | Foreign Currency Contracts | Options and Swaptions | Swap Agreements | Total Over the Counter | Foreign Currency Contracts | Options and Swaptions | Swap Agreements | Reverse Repurchase Agreements | Total Over the Counter | Value of OTC Derivatives | Collateral (Received) Pledged | Net Exposures(1) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
| ||||||||||||||||||||||||||||||||||||||||||||
Bank of America | $ — | $ — | $ — | $ — | $ 16 | $ — | $ — | $ — | $ 16 | $ (16) | $ — | $ (16) | ||||||||||||||||||||||||||||||||||||
Barclays PLC | 111 | — | — | 111 | — | — | — | — | — | 111 | — | 111 | ||||||||||||||||||||||||||||||||||||
BNP Paribas | 11 | — | — | 11 | 2 | — | — | — | 2 | 9 | — | 9 | ||||||||||||||||||||||||||||||||||||
Brown Brothers Harriman | 7 | — | — | 7 | 17 | — | — | — | 17 | (10) | — | (10) | ||||||||||||||||||||||||||||||||||||
Chase Securities | — | — | — | — | — | — | — | 151,260 | | 151,260 | | (151,260) | | — | | (151,260) | ||||||||||||||||||||||||||||||||
Citibank | — | — | — | — | — | — | 92 | — | 92 | (92) | — | (92) | ||||||||||||||||||||||||||||||||||||
Citigroup | 37 | — | — | 37 | 47 | — | — | — | 47 | (10) | — | (10) | ||||||||||||||||||||||||||||||||||||
Credit Suisse First Boston | 35 | — | — | 35 | 11 | — | 162 | — | 173 | (138) | — | (138) | ||||||||||||||||||||||||||||||||||||
Deutsche Bank AG London | 40 | — | — | 40 | 22 | — | 205 | — | 227 | (187) | — | (187) | ||||||||||||||||||||||||||||||||||||
Goldman Sachs International | — | — | — | — | — | — | 347 | — | 347 | (347) | — | (347) | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | — | — | — | — | 29 | — | 35 | — | 64 | (64) | — | (64) | ||||||||||||||||||||||||||||||||||||
Merrill Lynch | — | — | — | — | — | — | — | 8,285 | 8,285 | (8,285) | | — | | (8,285) | ||||||||||||||||||||||||||||||||||
Morgan Stanley | — | — | — | — | 15 | — | — | — | 15 | (15) | — | (15) | ||||||||||||||||||||||||||||||||||||
RBS | — | — | — | — | 42 | — | — | — | 42 | (42) | — | (42) | ||||||||||||||||||||||||||||||||||||
Standard Chartered | — | — | — | — | 24 | — | — | — | 24 | (24) | — | (24) | ||||||||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||||
Total Over the Counter | $ 241 | $ — | $ — | $ 241 | $ 225 | $ — | $ 841 | $159,545 | $ 160,611 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 391 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2017
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Multi-Asset Capital Stability Fund | Forward Foreign Currency Contracts | Purchased and Swaptions | Swap Agreements | Total Over the Counter | Forward Foreign Currency Contracts | Written and Swaptions | Swap Agreements | Reverse Repurchase Agreements | Total Over the Counter | Net Market Value of OTC Derivatives | Collateral (Received) Pledged | Net | ||||||||||||||||||||||||||||||||||||||||||||||||||||
ANZ | $ | 154 | $ | — | $ | — | $ 154 | $ | 23 | $ | — | $ | — | $ | — | $ | 23 | $ | 131 | $ | — | $ | 131 | |||||||||||||||||||||||||||||||||||||||||
Bank of America | 5,533 | — | — | 5,533 | 133 | — | — | — | 133 | 5,400 | — | 5,400 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Barclays PLC | 1,699 | — | — | 1,699 | 552 | — | — | — | 552 | 1,147 | — | 1,147 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
BNP Paribas | 63 | — | — | 63 | 34 | — | — | — | 34 | 29 | — | 29 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Brown Brothers Harriman | 24 | — | — | 24 | 155 | — | — | — | 155 | (131) | — | (131) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Citigroup | 165 | — | — | 165 | 410 | — | — | — | 410 | (245) | — | (245) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Credit Suisse | 3 | 21 | — | 24 | 14 | 24 | — | — | 38 | (14) | — | (14) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Deutsche Bank | 7 | 107 | — | 114 | 34 | 130 | — | — | 164 | (50) | — | (50) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Goldman Sachs | 68 | — | — | 68 | 36 | 17 | — | — | 53 | 15 | — | 15 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 36 | — | — | 36 | 198 | — | — | — | 198 | (162) | — | (162) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Montgomery/Bank of America | — | — | — | — | 157 | — | — | — | 157 | (157) | — | (157) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Morgan Stanley | 29 | — | — | 29 | 35 | — | — | — | 35 | (6) | — | (6) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Nomura Securities International | 24 | — | — | 24 | — | — | — | | — | | — | 24 | — | 24 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Royal Bank of Scotland | 74 | — | — | 74 | 156 | — | — | — | 156 | (82) | — | (82) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Standard Chartered | 61 | — | — | 61 | 35 | — | — | — | 35 | 26 | — | 26 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
UBS | 49 | — | — | 49 | 27 | — | — | — | 27 | 22 | — | 22 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 7,989 | $ | 128 | $ | — | $8,117 | $ | 1,999 | $ | 171 | $ | — | $ | — | $ | 2,170 |
(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. |
Securities with an aggregate market value of $0 ($ Thousands) have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2017.
5. BASIS FOR CONSOLIDATION FOR THE MULTI-ASSET ACCUMULATION FUND AND MULTI-ASSET INFLATION MANAGED FUND
The Consolidated Schedules of Investments, Consolidated Statements of Assets and Liabilities, Consolidated Statements of Operations, Consolidated Statements of Changes in Net Assets, Consolidated Statement of Cash Flows, and the Consolidated Financial Highlights of the Multi-Asset Accumulation Fund and Multi-Asset Inflation Managed Fund include the accounts of their respective Subsidiaries. All intercompany 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 September 30, 2017 ($ Thousands) |
| | % of Total Net Assets at September 30, 2017 | | ||||||
Accumulation Commodity Strategy Subsidiary, Ltd. | April 9, 2012 | $459,027 | 17.0% | |||||||||
Inflation Commodity Strategy Subsidiary Ltd. | April 9, 2012 | 170,790 | 19.2% |
392 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Gains and losses attributed to the Funds’ investments in Subsidiaries are as follows:
| Accumulation Commodity Strategy, Ltd. ($Thousands) | | | Inflation Commodity Strategy Subsidiary, Ltd. ($Thousands) | | |||
Investment Income: | ||||||||
Investment Income | $ | 3,593 | $ | 1,075 | ||||
Net Realized Gain (Loss) on: | ||||||||
Investments | (266 | ) | 19,112 | |||||
Futures Contracts | (6,671 | ) | (10,902 | ) | ||||
Swap Contracts | (5,226 | ) | — | |||||
Options | — | (78 | ) | |||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||
Investments | (1,014 | ) | (9,077 | ) | ||||
Futures Contracts | 13,797 | — | ||||||
Swap Contracts | 2,874 | — | ||||||
Purchased Options | — | — | ||||||
Foreign Currency and Translation of Other | ||||||||
Assets and Liabilities Denominated in | ||||||||
Foreign Currency | — | — | ||||||
|
|
|
|
|
| |||
Total gains and losses attributed to the Funds�� investment in Subsidiaries | $ | 7,087 | $ | 130 | ||||
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6. INVESTMENT ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS, INVESTMENT SUBADVISORY 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. “Distributor” 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 F 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 F and Class I Shares will be paid to the Distributor, which may then be used by the Distributor to compensate financial intermediaries for providing shareholder services and administrative services, as applicable, with respect to the Shares.
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 voluntary waivers by the Funds’ Adviser, Administrator and/or Distributor are limited to the Funds’ direct operating expenses and, therefore, do not apply to indirect expenses incurred by the Funds, such as acquired fund fees and expenses. The waivers are voluntarily and the Funds’ Adviser, Administrator and/or Distributor may discontinue all or part of any of these waivers at any time. In addition, some Funds may participate in a commission recapture program where the Funds’ trades may be executed through the Funds’ distributor, and a portion of the commissions paid on those trades are then used to pay the Funds’ expenses.
The following is a summary of annual fees payable to the Adviser and Distributor and the voluntary expense limitations for each fund:
Shareholder | Voluntary | |||||||
Advisory | Servicing | Administrative | Expense | |||||
Fees | Fee | Servicing Fee | Limitation | |||||
Large Cap Fund | ||||||||
Class F (1) | 0.3900% | 0.25% | — | 0.89% | ||||
Class Y | 0.3900% | — | — | 0.64% | ||||
Large Cap Value Fund | ||||||||
Class F (1) | 0.3500% | 0.25% | — | 0.89% | ||||
Class I | 0.3500% | 0.25% | 0.25% | 1.11% | ||||
Class Y | 0.3500% | — | — | 0.64% |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 393 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2017
Advisory Fees | Shareholder Servicing Fee | Administrative Servicing Fee | Voluntary Expense Limitation | |||||
Large Cap Growth Fund | ||||||||
Class F (1) | 0.4000% | 0.25% | — | 0.89% | ||||
Class I | 0.4000% | 0.25% | 0.25% | 1.11% | ||||
Class Y | 0.4000% | — | — | 0.64% | ||||
Tax-Managed Large Cap Fund | ||||||||
Class F (1) | 0.4000% | 0.25% | — | 0.89% | ||||
Class Y | 0.4000% | — | — | 0.64% | ||||
S&P 500 Index Fund | ||||||||
Class E | 0.0300% | — | — | 0.25% | ||||
Class F (1) | 0.0300% | 0.25% | — | 0.43% | ||||
Class I | 0.0300% | 0.25% | 0.25% | 0.65% | ||||
Class Y | 0.0300% | — | — | 0.25% | ||||
Small Cap Fund | ||||||||
Class F (1) | 0.6500% | 0.25% | — | 1.14% | ||||
Class Y | 0.6500% | — | — | 0.89% | ||||
Small Cap Value Fund | ||||||||
Class F (1) | 0.6500% | 0.25% | — | 1.14% | ||||
Class I | 0.6500% | 0.25% | 0.25% | 1.36% | ||||
Class Y | 0.6500% | — | — | 0.89% | ||||
Small Cap Growth Fund | ||||||||
Class F (1) | 0.6500% | 0.25% | — | 1.11% | ||||
Class I | 0.6500% | 0.25% | 0.25% | 1.36% | ||||
Class Y | 0.6500% | — | — | 0.86% | ||||
Tax-Managed Small/Mid Cap Fund | ||||||||
Class F (1) | 0.6500% | 0.25% | — | 1.11% | ||||
Class Y | 0.6500% | — | — | 0.89% | ||||
Mid-Cap Fund | ||||||||
Class F (1) | 0.4000% | 0.25% | — | 0.98% | ||||
Class I | 0.4000% | 0.25% | 0.25% | 1.20% | ||||
Class Y | 0.4000% | — | — | 0.73% | ||||
U.S. Managed Volatility Fund | ||||||||
Class F (1) | 0.6500% | 0.25% | — | 1.00% | ||||
Class I | 0.6500% | 0.25% | 0.25% | 1.25% | ||||
Class Y | 0.6500% | — | — | 0.75% | ||||
Global Managed Volatility Fund | ||||||||
Class F (1) | 0.6500% | 0.25% | — | 1.11% | ||||
Class I | 0.6500% | 0.25% | 0.25% | 1.36% | ||||
Class Y | 0.6500% | — | — | 0.86% | ||||
Tax-Managed Managed Volatility Fund | ||||||||
Class F (1) | 0.6500% | 0.25% | — | 1.00% | ||||
Class Y | 0.6500% | — | — | 0.75% | ||||
Tax-Managed International Managed Volatility Fund | ||||||||
Class F (1) | 0.6500% | 0.25% | — | 1.11% | ||||
Class Y | 0.6500% | — | — | 0.86% | ||||
Real Estate Fund | ||||||||
Class F (1) | 0.6500% | 0.25% | — | 1.14% | ||||
Class I | 0.6500% | 0.25% | 0.25% | 1.36% | ||||
Class Y | 0.6500% | — | — | 0.89% | ||||
Enhanced Income Fund | ||||||||
Class F (1) | 0.4000% | 0.25% | — | 0.60% | ||||
Class I | 0.4000% | 0.25% | 0.25% | 0.85% | ||||
Class Y | 0.4000% | — | — | 0.46% | ||||
Core Fixed Income Fund | ||||||||
Class F (1) | 0.2750% | 0.25% | — | 0.67% | ||||
Class I | 0.2750% | 0.25% | 0.25% | 0.89% | ||||
Class Y | 0.2750% | — | — | 0.42% | ||||
U.S. Fixed Income Fund | ||||||||
Class F (1) | 0.2750% | 0.25% | — | 0.66% | ||||
Class Y | 0.2750% | — | — | 0.41% |
394 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Advisory Fees | Shareholder Servicing Fee | Administrative Servicing Fee | Voluntary Expense Limitation | |||||
High Yield Bond Fund | ||||||||
Class F (1) | 0.4875% | 0.25% | — | 0.89% | ||||
Class I | 0.4875% | 0.25% | 0.25% | 1.11% | ||||
Class Y | 0.4875% | — | — | 0.64% | ||||
Conservative Income Fund | ||||||||
Class F (1) | 0.1000% | 0.25% | — | 0.30% | ||||
Class Y | 0.1000% | — | — | 0.20% | ||||
Tax-Free Conservative Income Fund | ||||||||
Class F (1) | 0.1000% | 0.25% | — | 0.30% | ||||
Class Y | 0.1000% | — | — | 0.20% | ||||
Real Return Fund | ||||||||
Class F (1) | 0.2200% | 0.25% | — | 0.45% | ||||
Class Y | 0.2200% | — | — | 0.35% | ||||
Dynamic Asset Allocation Fund | ||||||||
Class F (1) | 0.6000% | 0.25% | — | 0.75% | ||||
Class Y | 0.6000% | — | — | 0.50% | ||||
Multi-Strategy Alternative Fund | ||||||||
Class F (1) | 1.5000% | 0.25% | — | 1.09% | ||||
Class Y | 1.5000% | — | — | 0.84% | ||||
Multi-Asset Accumulation Fund | ||||||||
Class F (1) | 0.7500% | 0.25% | — | 1.17% | ||||
Class Y | 0.7500% | — | — | 0.92% | ||||
Multi-Asset Income Fund | ||||||||
Class F (1) | 0.6000% | 0.25% | — | 0.80% | ||||
Class Y | 0.6000% | — | — | 0.70% | ||||
Multi-Asset Inflation Managed Fund | ||||||||
Class F (1) | 0.5500% | 0.25% | — | 0.90% | ||||
Class Y | 0.5500% | — | — | 0.65% | ||||
Multi-Asset Capital Stability Fund | ||||||||
Class F (1) | 0.4000% | 0.25% | — | 0.62% | ||||
Class Y | 0.4000% | — | — | 0.52% | ||||
Long/Short Alternative Fund | ||||||||
Class F (1) | 0.8000% | 0.25% | — | 1.14% | ||||
Class Y | 0.8000% | — | — | 0.91% |
(1) | Effective January 31, 2017, Class A Shares were converted to Class F. |
The following is a summary of annual fees payable to the Administrator:
Previous Contractual Fees | Contractual Fees as of January 1, 2017 | |||||||||||||
3/31/2016-12/31/2016 | First $1.5 Billion | Next $500 Million | Next $500 Million | Next $500 Million | Over $3 Billion | |||||||||
Large Cap Fund | 0.300% | 0.300% | 0.2550% | 0.2100% | 0.1650% | 0.120% | ||||||||
Large Cap Value Fund | 0.300% | 0.300% | 0.2550% | 0.2100% | 0.1650% | 0.120% | ||||||||
Large Cap Growth Fund | 0.300% | 0.300% | 0.2550% | 0.2100% | 0.1650% | 0.120% | ||||||||
Tax-Managed Large Cap Fund | 0.300% | 0.300% | 0.2550% | 0.2100% | 0.1650% | 0.120% | ||||||||
Small Cap Fund | 0.300% | 0.300% | 0.2550% | 0.2100% | 0.1650% | 0.120% | ||||||||
Small Cap Value Fund | 0.300% | 0.300% | 0.2550% | 0.2100% | 0.1650% | 0.120% | ||||||||
Small Cap Growth Fund | 0.300% | 0.300% | 0.2550% | 0.2100% | 0.1650% | 0.120% | ||||||||
Tax-Managed Small/Mid Cap Fund | 0.300% | 0.300% | 0.2550% | 0.2100% | 0.1650% | 0.120% | ||||||||
Mid-Cap Fund | 0.300% | 0.300% | 0.2550% | 0.2100% | 0.1650% | 0.120% | ||||||||
U.S. Managed Volatility Fund | 0.300% | 0.300% | 0.2550% | 0.2100% | 0.1650% | 0.120% | ||||||||
Global Managed Volatility Fund | 0.300% | 0.300% | 0.2550% | 0.2100% | 0.1650% | 0.120% | ||||||||
Tax-Managed Managed Volatility Fund | 0.300% | 0.300% | 0.2550% | 0.2100% | 0.1650% | 0.120% | ||||||||
Tax-Managed International Managed Volatility Fund | — | 0.450% | 0.3700% | 0.2900% | 0.2100% | 0.130% | ||||||||
Real Estate Fund | 0.300% | 0.300% | 0.2550% | 0.2100% | 0.1650% | 0.120% | ||||||||
Enhanced Income Fund | 0.300% | 0.200% | 0.1775% | 0.1550% | 0.1325% | 0.110% | ||||||||
Core Fixed Income Fund | 0.280% | 0.200% | 0.1775% | 0.1550% | 0.1325% | 0.110% | ||||||||
U.S. Fixed Income Fund | 0.280% | 0.200% | 0.1775% | 0.1550% | 0.1325% | 0.110% |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 395 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2017
Previous Contractual Fees | Contractual Fees as of January 1, 2017 | |||||||||||||
3/31/2016-12/31/2016 | First $1.5 Billion | Next $500 Million | Next $500 Million | Next $500 Million | Over $3 Billion | |||||||||
High Yield Bond Fund | 0.300% | 0.200% | 0.1775% | 0.1550% | 0.1325% | 0.110% | ||||||||
Conservative Income Fund | 0.200% | 0.200% | 0.1775% | 0.1550% | 0.1325% | 0.110% | ||||||||
Tax-Free Conservative Income Fund | 0.200% | 0.200% | 0.1775% | 0.1550% | 0.1325% | 0.110% | ||||||||
Real Return Fund | 0.300% | 0.200% | 0.1775% | 0.1550% | 0.1325% | 0.110% | ||||||||
Dynamic Asset Allocation Fund | 0.300% | 0.300% | 0.2550% | 0.2100% | 0.1650% | 0.120% | ||||||||
Multi-Strategy Alternative Fund | 0.300% | 0.300% | 0.2550% | 0.2100% | 0.1650% | 0.120% | ||||||||
Multi-Asset Accumulation Fund | 0.300% | 0.300% | 0.2550% | 0.2100% | 0.1650% | 0.120% | ||||||||
Multi-Asset Income Fund | 0.300% | 0.300% | 0.2550% | 0.2100% | 0.1650% | 0.120% | ||||||||
Multi-Asset Inflation Managed Fund | 0.300% | 0.300% | 0.2550% | 0.2100% | 0.1650% | 0.120% | ||||||||
Multi-Asset Capital Stability Fund | 0.300% | 0.300% | 0.2550% | 0.2100% | 0.1650% | 0.120% | ||||||||
Long/Short Alternative Fund | 0.300% | 0.300% | 0.2550% | 0.2100% | 0.1650% | 0.120% | ||||||||
First $2 Billion | Next $500 Million | Next $500 Million | Over $3 Billion | |||||||||||
S&P 500 Index Fund | 0.220% | 0.220% | 0.2100% | 0.1650% | 0.120% |
As of September 30, 2017, SIMC has entered into investment sub-advisory agreements with the following affiliated and unaffiliated parties:
Investment Sub-Adviser |
Large Cap Fund
AQR Capital Management, LLC
BlackRock Investment Management, LLC
Brandywine Global Investment Management, LLC
Coho Partners, Ltd.
Fiera Capital Inc.
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
Fiera Capital Inc.
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.
Fiera Capital Inc.
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
Boston Partners Global Investors Inc.
EAM Investors, LLC
Falcon Point Capital, LLC
Mesirow Financial Investment Management, Inc. Parametric Portfolio Associates LLC
Rice Hall James & Associates
Robeco Investment Management, Inc.
Snow Capital Management L.P.
Small Cap Value Fund
AQR Capital Management, LLC
Boston Partners Global Investors Inc.
Cardinal Capital Management, L.L.C.
LSV Asset Management*
Mesirow Financial Investment Management, Inc. Parametric Portfolio Associates LLC
Snow Capital Management, L.P.
Small Cap Growth Fund
AllianceBernstein, L.P.
Arrowpoint Asset Management, LLC
Axiom International Investors LLC
EAM Investors LLC
FalconPoint 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.
Mid-Cap Fund
Quantitative Management Associates LLC
U.S. Managed Volatility Fund
AJO, LLC
Analytic Investors, LLC
396 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
LSV Asset Management*
Global Managed Volatility Fund
Acadian Asset Management LLC
Analytic Investors, LLC
Tax-Managed Managed Volatility Fund
AJO, LLC
Analytic Investors LLC
LSV Asset Management*
Parametric Portfolio Associates LLC
Tax-Managed International Managed Volatility Fund
Acadian Asset Management LLC
Analytic Investors, LLC
LSV Asset Management*
Parametric Portfolio Associates LLC
Real Estate Fund
CenterSquare Investment Management Inc.
Security Capital Research and Management Inc.
Enhanced Income Fund
Ares Management LLC
Wellington Management Company, LLP
Core Fixed Income Fund
Jennison Associates LLC
Metropolitan West Asset Management LLC
Wells Capital Management 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, LLC
J.P. Morgan Investment Management, Inc.
Conservative Income Fund
BlackRock Advisors, LLC
Tax-Free Conservative Income Fund
BlackRock Advisors, LLC
Dynamic Asset Allocation Fund
SSgA Funds Management, Inc.
Multi-Strategy Alternative Fund
Acadian Asset Management LLC
Brigade Capital Management, LP
Caerus Investors LLC
Emso Partners Limited Management, LLC
Kettle Hill Capital Management LLC
Mountaineer Partners Management, LLC
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.
Cohen & Steers
QS Investors, LLC
Multi-Asset Capital Stability Fund
AllianceBernstein, L.P.
Long/Short Alternative Fund
Beachhead Capital Management, LLC
* Affiliated
Under the investment sub-advisory agreements, each sub-adviser receives a fee paid by SIMC.
Other — The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on fund transactions effected for the Trust in accordance with the rules of the Securities and Exchange Commission (“SEC”). Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. SEC rules require that such commissions not exceed usual and customary commissions.
Such commissions for the year ended September 30, 2017 were as follows ($ Thousands):
Real Estate Fund | $ 14 |
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
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 397 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2017
SIMC. Such fees for the period ended September 30, 2017 were as follows ($ Thousands):
Large Cap Fund | $ | 312 | ||
Large Cap Value Fund | 374 | |||
Tax-Managed Large Cap Fund | 462 | |||
Small Cap Value Fund | 328 | |||
U.S. Managed Volatility Fund | 1,738 | |||
Tax-Managed Managed Volatility Fund | 1,333 | |||
Tax-Managed International Managed Volatility Fund | 328 | |||
|
| |||
$ | 4,875 | |||
|
|
Fees Paid Indirectly — The Funds may direct certain fund trades to the Distributor who pays a portion of the Funds’ expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, and the effect on the Funds’ expense ratio, as a percentage of the Funds’ average daily net assets for the year ended September 30, 2017, can be found on the Statements of Operations or Consolidated Statements of Operations and Financial Highlights or Consolidated Financial Highlights, respectively.
Investment in Affiliated Security — The Funds may invest in the SEI Daily Income Trust Government 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.
Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (“the Program”) with existing or future investment companies registered under the 1940 Act that are advised by SIMC (the “SEI Funds”). The Program
allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in the Program is voluntary for both borrowing and lending funds.
Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (“Repo Rate”), and more favorable to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (“Bank Loan Rate”). The Bank Loan Rate will be determined using a formula annually reviewed by the SEI Funds’ Board of Trustees. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate.
During the year ended September 30, 2017, the following Fund borrowed funds from the SEI Multi-Asset Accumulation Fund. The amount borrowed, interest paid on the borrowing and the corresponding interest rate were as follows ($ Thousands):
Borrowing Date | Maturity Date | Amount Borrowed | Interest Paid | Interest Rate | ||||||||||||||
S&P 500 Index Fund | 05/24/17 | 05/25/17 | $35,000 | $1 | 0.97% | |||||||||||||
Real Estate Fund | 01/19/17 | 01/20/17 | 5,200 | – | 0.75% | |||||||||||||
High Yield Bond Fund | 10/18/16 | 10/21/16 | 20,000 | 1 | 0.51% | |||||||||||||
High Yield Bond Fund | 10/21/16 | 10/24/16 | 7,000 | – | 0.51% | |||||||||||||
High Yield Bond Fund | 10/24/16 | 10/25/16 | 7,000 | – | 0.48% | |||||||||||||
High Yield Bond Fund | 11/04/16 | 11/07/16 | 16,500 | 1 | 0.51% | |||||||||||||
High Yield Bond Fund | 11/07/16 | 11/08/16 | 7,000 | – | 0.50% | |||||||||||||
High Yield Bond Fund | 11/08/16 | 11/10/16 | 7,000 | – | 0.50% |
Amounts designated as “—” are $0 or have been rounded to $0.
7. CAPITAL SHARE TRANSACTIONS
Capital share transactions for the Funds were as follows (Thousands):
For the year ended September 30, 2017 and the year ended September 30, 2016.
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | Tax-Managed Large Cap Fund | |||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Class F(1): | ||||||||||||||||||||||||||||||||
Shares Issued | 37,319 | 45,905 | 6,178 | 8,504 | 5,033 | 7,211 | 21,685 | 34,379 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 1,381 | 29,281 | 739 | 8,742 | 51 | 8,025 | 1,072 | 1,372 | ||||||||||||||||||||||||
Shares Redeemed | (55,842) | (77,979) | (17,167) | (14,097) | (13,592) | (12,209) | (47,648) | (31,139) | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | (17,142) | (2,793) | (10,250) | 3,149 | (8,508) | 3,027 | (24,891) | 4,612 | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||
Shares Issued | – | – | 29 | 92 | 17 | 55 | – | – | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | – | – | 2 | 36 | — | 22 | – | – | ||||||||||||||||||||||||
Shares Redeemed | – | – | (133) | (172) | (75) | (88) | – | – | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Total Decrease in Net Assets Derived from Class I Transactions | – | – | (102) | (44) | (58) | (11) | – | – | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||
Shares Issued | 2,128 | 3,136 | 4,150 | 1,078 | 3,081 | 719 | 5,361 | 3,695 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 130 | 2,264 | 49 | 10 | 12 | 1 | 112 | 94 | ||||||||||||||||||||||||
Shares Redeemed | (4,708) | (3,671) | (365) | (50) | (238) | (33) | (1,849) | (1,024) | ||||||||||||||||||||||||
|
398 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | Tax-Managed Large Cap Fund | |||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | (2,450) | 1,729 | 3,834 | 1,038 | 2,855 | 687 | 3,624 | 2,765 | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Increase (Decrease) in Capital Shares | (19,592) | (1,064) | (6,518) | 4,143 | (5,711) | 3,703 | (21,267) | 7,377 | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
S&P 500 Index Fund | Small Cap Fund | Small Cap Value Fund | Small Cap Growth Fund | |||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Class E: | ||||||||||||||||||||||||||||||||
Shares Issued | 947 | 642 | – | – | – | – | – | – | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 227 | 88 | – | – | – | – | – | – | ||||||||||||||||||||||||
Shares Redeemed | (1,006) | (676) | – | – | – | – | – | – | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Total Increase in Net Assets Derived from Class E Transactions | 168 | 54 | – | – | – | – | – | – | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Class F(1): | ||||||||||||||||||||||||||||||||
Shares Issued | 2,603 | 2,107 | 11,014 | 13,639 | 2,509 | 4,091 | 1,014 | 1,411 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 299 | 132 | 58 | 4,272 | 74 | 1,136 | | – | | | – | | ||||||||||||||||||||
Shares Redeemed | (3,220) | (3,158) | (14,081) | (11,802) | (5,159) | (5,149) | (2,746) | (2,824) | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | (318) | (919) | (3,009) | 6,109 | (2,576) | 78 | (1,732) | (1,413) | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||
Shares Issued | 42 | 103 | – | – | 14 | 65 | 10 | 44 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 3 | 1 | – | – | | – | | 8 | | – | | | – | | ||||||||||||||||||
Shares Redeemed | (62) | (147) | – | – | (48) | (117) | (28) | (71) | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Total Decrease in Net Assets Derived from Class I Transactions | (17) | (43) | – | – | (34) | (44) | (18) | (27) | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||
Shares Issued | 771 | 23 | 706 | 1,277 | 1,190 | 331 | 621 | 261 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 19 | – | 9 | 305 | 7 | 1 | – | | – | | ||||||||||||||||||||||
Shares Redeemed | (92) | (8) | (1,022) | (1,066) | (91) | (15) | (49) | (11) | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | 698 | 15 | (307) | 516 | 1,106 | 317 | 572 | 250 | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Increase (Decrease) in Capital Shares | 531 | (893) | (3,316) | 6,625 | (1,504) | 351 | (1,178) | (1,190) | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Tax-Managed Small/Mid Cap Fund | Mid-Cap Fund | U.S. Managed Volatility Fund | Global Managed Volatility Fund | |||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Class F(1): | ||||||||||||||||||||||||||||||||
Shares Issued | 8,669 | 7,880 | 1,617 | 1,997 | 15,578 | 29,644 | 30,234 | 61,728 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 124 | 95 | 43 | 617 | 2,456 | 3,601 | 8,691 | 13,170 | ||||||||||||||||||||||||
Shares Redeemed | (7,285) | (7,696) | (1,276) | (2,702) | (29,698) | (26,236) | (75,659) | | (140,761)(1) | | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | 1,508 | 279 | 384 | (88) | (11,664) | 7,009 | (36,734) | (65,863) | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||
Shares Issued | – | – | 4 | 4 | 13 | 34 | 17 | 158 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | – | – | 1 | 6 | 4 | 6 | 9 | 8 | ||||||||||||||||||||||||
Shares Redeemed | – | – | (10) | (9) | (52) | (18) | (134) | (46) | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class I Transactions | – | – | (5) | 1 | (35) | 22 | (108) | 120 | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||
Shares Issued | 1,347 | 1,207 | 72 | 24 | 14,802 | 11,471 | 11,078 | 5,869 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 15 | 11 | 1 |
| – |
| 1,333 | 1,680 | 671 | 549 | ||||||||||||||||||||||
Shares Redeemed | (448) | (332) | (12) | (4) | (12,614) | (8,772) | (2,822) | (6,262) | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Total Increase in Net Assets Derived from Class Y Transactions | 914 | 886 | 61 | 20 | 3,521 | 4,379 | 8,927 | 156 | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Increase (Decrease) in Capital Shares | 2,422 | 1,165 | 440 | (67) | (8,178) | 11,410 | (27,915) | (65,587) | ||||||||||||||||||||||||
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 399 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2017
Tax-Managed Managed Volatility Fund | Tax-Managed Managed Volatility Fund(4) | Real Estate Fund | Enhanced Income Fund | |||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2017 | 2016 | 2017 | 2016 | ||||||||||||||||||||||||||
Class F(1): | ||||||||||||||||||||||||||||||||
Shares Issued | 13,234 | 29,839 | 36,497 | 1,899 | 2,811 | 3,263 | 8,644 | |||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 2,372 | 3,286 | 8 | 926 | 749 | 280 | 450 | |||||||||||||||||||||||||
Shares Redeemed | (32,206 | ) | (19,159 | ) | (7,400 | ) | (3,776 | ) | (5,318 | ) | (18,449 | ) | (10,461 | ) | ||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | (16,600 | ) | 13,966 | 29,105 | (951 | ) | (1,758 | ) | (14,906 | ) | (1,367 | ) | ||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||
Shares Issued | – | – | – | 2 | 3 | 6 | 7 | |||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | – | – | – | 3 | 3 | 1 | 1 | |||||||||||||||||||||||||
Shares Redeemed | – | – | – | (8 | ) | (12 | ) | (16 | ) | (5 | ) | |||||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class I Transactions | – | – | – | (3 | ) | (6 | ) | (9 | ) | 3 | ||||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||
Shares Issued | 2,027 | 2,723 | 1,265 | 425 | 1,166 | 144 | 1,298 | |||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 104 | 17 | — | 233 | 121 | 27 | 44 | |||||||||||||||||||||||||
Shares Redeemed | (770 | ) | (252 | ) | (86 | ) | (395 | ) | (432 | ) | (1,706 | ) | (538 | ) | ||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | 1,361 | 2,488 | 1,179 | 263 | 855 | (1,535 | ) | 804 | ||||||||||||||||||||||||
Increase (Decrease) in Capital Shares | (15,239 | ) | 16,454 | 30,284 | (691 | ) | (909 | ) | (16,450 | ) | (560 | ) | ||||||||||||||||||||
Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | Conservative Income Fund(3) | |||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||||||||
Class F(1): | ||||||||||||||||||||||||||||||||
Shares Issued | 31,803 | 32,257 | 82,082 | 32,888 | 58,271 | 81,751 | 20,994 | 7,971 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 6,728 | 5,497 | 4,751 | 2,706 | 13,124 | 15,362 | 100 | — | ||||||||||||||||||||||||
Shares Redeemed | (51,428 | ) | (41,340 | ) | (40,161 | ) | (28,955 | ) | (112,720 | ) | (76,133 | ) | (9,554 | ) | (470 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | (12,897 | ) | (3,586 | ) | 46,672 | 6,639 | (41,325 | ) | 20,980 | 11,540 | 7,501 | |||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||
Shares Issued | 219 | 623 | – | – | 1,779 | 2,636 | – | – | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 19 | 16 | – | – | 66 | 39 | – | – | ||||||||||||||||||||||||
Shares Redeemed | (506 | ) | (934 | ) | – | – | (1,839 | ) | (2,670 | ) | – | – | ||||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class I Transactions | (268 | ) | (295 | ) | – | – | 6 | 5 | – | – | ||||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||
Shares Issued | 15,660 | 4,234 | 7,878 | 2,711 | 7,126 | 11,136 | 2,619 | 3,361 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 561 | 133 | 561 | 279 | 1,808 | 1,951 | 20 | 4 | ||||||||||||||||||||||||
Shares Redeemed | (2,368 | ) | (315 | ) | (2,053 | ) | (2,383 | ) | (11,097 | ) | (5,825 | ) | (2,321 | ) | (1,685 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | 13,853 | 4,052 | 6,386 | 607 | (2,163 | ) | 7,262 | 318 | 1,680 | |||||||||||||||||||||||
Increase (Decrease) in Capital Shares | 688 | 171 | 53,058 | 7,246 | (43,482 | ) | 28,247 | 11,858 | 9,181 | |||||||||||||||||||||||
Tax-Free Conservative Income Fund(3) | Real Return Fund | Dynamic Asset Allocation Fund | ||||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||||||||||
Class F(1): | ||||||||||||||||||||||||||||||||
Shares Issued | 19,843 | 3,462 | 6,129 | 10,142 | 19,143 | 55,755 | ||||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 55 | — | 237 | — | 426 | 146 | ||||||||||||||||||||||||||
Shares Redeemed | (6,671 | ) | (366 | ) | (9,927 | ) | (8,049 | ) | (10,017 | ) | (10,242 | ) | ||||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | 13,227 | 3,096 | (3,561 | ) | 2,093 | 9,552 | 45,659 | |||||||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||
Shares Issued | 679 | 1,391 | 318 | 1,160 | 2,761 | 658 |
400 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Tax-Free Conservative Income Fund(3) | Real Return Fund | Dynamic Asset Allocation Fund | ||||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 2 | 2 | 21 | – | 50 | 21 | ||||||||||||||||||||||||||
Shares Redeemed | (1,696 | ) | – | (1,364 | ) | (897 | ) | (1,533 | ) | (1,227 | ) | |||||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | (1,015 | ) | 1,393 | (1,025 | ) | 263 | 1,278 | (548 | ) | |||||||||||||||||||||||
Increase (Decrease) in Capital Shares | 12,212 | 4,489 | (4,586 | ) | 2,356 | 10,830 | 45,111 | |||||||||||||||||||||||||
Multi-Strategy Alternative Fund | Multi-Asset Accumulation Fund | Multi-Asset Income Fund | ||||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||||||||||
Class F(1): | ||||||||||||||||||||||||||||||||
Shares Issued | 11,399 | 18,039 | 76,710 | 57,375 | 31,215 | 21,092 | ||||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 33 | 1,326 | 14,780 | 5,289 | 2,058 | 2,952 | ||||||||||||||||||||||||||
Shares Redeemed | (20,503 | ) | (15,036 | ) | (46,268 | ) | (50,537 | ) | (19,427 | ) | (21,922 | ) | ||||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | (9,071 | ) | 4,329 | 45,222 | 12,127 | 13,846 | 2,122 | |||||||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||
Shares Issued | 389 | 539 | 7,282 | 2,864 | 7,563 | 6,970 | ||||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | – | – | 1,661 | 620 | 460 | 393 | ||||||||||||||||||||||||||
Shares Redeemed | (50 | ) | (401 | ) | (4,916 | ) | (5,075 | ) | (1,951 | ) | (1,263 | ) | ||||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | 339 | 138 | 4,027 | (1,591 | ) | 6,072 | 6,100 | |||||||||||||||||||||||||
Increase (Decrease) in Capital Shares | (8,732 | ) | 4,467 | 49,249 | 10,536 | 19,918 | �� | 8,222 | ||||||||||||||||||||||||
Multi-Asset Inflation Managed Fund | Multi-Asset Capital Stability Fund | Long/Short Alternative Fund | ||||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||||||||||
Class F(1): | ||||||||||||||||||||||||||||||||
Shares Issued | 24,770 | 36,085 | 21,139 | 25,115 | – | – | ||||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 992 | 463 | 363 | 531 | – | – | ||||||||||||||||||||||||||
Shares Redeemed | (41,920 | ) | (29,602 | ) | (18,664 | ) | (16,702 | ) | – | – | ||||||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | (16,158 | ) | 6,946 | 2,838 | 8,944 | – | – | |||||||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||
Shares Issued | 1,775 | 2,485 | 814 | 1,248 | – | – | ||||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 99 | 69 | 41 | 58 | – | – | ||||||||||||||||||||||||||
Shares Redeemed | (3,963 | ) | (1,931 | ) | (1,020 | ) | (1,245 | ) | (1,115 | ) | – | |||||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | (2,089 | ) | 623 | (165 | ) | 61 | (1,115 | ) | – | |||||||||||||||||||||||
Increase (Decrease) in Capital Shares | (18,247 | ) | 7,569 | 2,673 | 9,005 | (1,115 | ) | – |
(1) Effective January 31, 2017, Class A shares have converted to Class F shares of the same Fund.
(2) Includes redemptions as a result of transactions (See Note 13).
(3) Commenced operations on April 22, 2016.
(4) Commenced operations October 17, 2016.
N/A – Not applicable. Shares currently not offered.
Amounts designated as “–” are zero or have been rounded to zero.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 401 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2017
8. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities, other than temporary cash investments and futures, during the year ended September 30, 2017, were as follows:
| ||||||||||||||||||
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||||||||
| ||||||||||||||||||
Large Cap Fund |
| |||||||||||||||||
Purchases | $ | — | $ | 2,247,507 | $ | 2,247,507 | ||||||||||||
Sales | — | 2,464,262 | 2,464,262 | |||||||||||||||
Large Cap Value Fund |
| |||||||||||||||||
Purchases | — | 1,023,987 | 1,023,987 | |||||||||||||||
Sales | — | 1,177,339 | 1,177,339 | |||||||||||||||
Large Cap Growth Fund |
| |||||||||||||||||
Purchases | — | 1,321,268 | 1,321,268 | |||||||||||||||
Sales | — | 1,490,434 | 1,490,434 | |||||||||||||||
Tax-Managed Large Cap Fund |
| |||||||||||||||||
Purchases | — | 2,925,024 | 2,925,024 | |||||||||||||||
Sales | — | 3,256,670 | 3,256,670 | |||||||||||||||
S&P 500 Index Fund |
| |||||||||||||||||
Purchases | — | 175,254 | 175,254 | |||||||||||||||
Sales | — | 149,252 | 149,252 | |||||||||||||||
Small Cap Fund |
| |||||||||||||||||
Purchases | — | 823,688 | 823,688 | |||||||||||||||
Sales | — | 809,356 | 809,356 | |||||||||||||||
Small Cap Value Fund |
| |||||||||||||||||
Purchases | — | 528,794 | 528,794 | |||||||||||||||
Sales | — | 534,786 | 534,786 | |||||||||||||||
Small Cap Growth Fund |
| |||||||||||||||||
Purchases | — | 397,334 | 397,334 | |||||||||||||||
Sales | — | 412,211 | 412,211 | |||||||||||||||
Tax-Managed Small/Mid Cap Fund |
| |||||||||||||||||
Purchases | — | 1,427,231 | 1,427,231 | |||||||||||||||
Sales | — | 1,317,863 | 1,317,863 | |||||||||||||||
Mid-Cap Fund |
| |||||||||||||||||
Purchases | — | 123,040 | 123,040 | |||||||||||||||
Sales | — | 114,517 | 114,517 | |||||||||||||||
U.S. Managed Volatility Fund |
| |||||||||||||||||
Purchases | — | 764,411 | 764,411 | |||||||||||||||
Sales | — | 946,518 | 946,518 | |||||||||||||||
Global Managed Volatility Fund(1) |
| |||||||||||||||||
Purchases | — | 1,196,942 | 1,196,942 | |||||||||||||||
Sales | — | 879,943 | 879,943 | |||||||||||||||
Tax-Managed Managed Volatility Fund |
| |||||||||||||||||
Purchases | — | 219,436 | 219,436 | |||||||||||||||
Sales | — | 454,282 | 454,282 | |||||||||||||||
Tax-Managed International Managed Volatility Fund |
| |||||||||||||||||
Purchases | — | 439,388 | 439,388 | |||||||||||||||
Sales | — | 147,005 | 147,005 | |||||||||||||||
Real Estate Fund |
| |||||||||||||||||
Purchases | — | 122,675 | 122,675 | |||||||||||||||
Sales | — | 150,919 | 150,919 | |||||||||||||||
Enhanced Income Fund |
| |||||||||||||||||
Purchases | 19,522 | 11,675 | 31,197 | |||||||||||||||
Sales | 23,553 | 69,376 | 92,929 | |||||||||||||||
Core Fixed Income Fund |
| |||||||||||||||||
Purchases | 6,463,680 | 1,781,639 | 8,245,319 | |||||||||||||||
Sales | 6,402,836 | 1,689,498 | 8,092,334 |
| ||||||||||||||||||
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||||||||
| ||||||||||||||||||
U.S. Fixed Income Fund |
| |||||||||||||||||
Purchases | $ | 6,453,412 | $ | 2,110,404 | $ | 8,563,816 | ||||||||||||
Sales | 6,031,324 | 1,899,054 | 7,930,378 | |||||||||||||||
High Yield Bond Fund |
| |||||||||||||||||
Purchases | — | 861,648 | 861,648 | |||||||||||||||
Sales | — | 1,170,212 | 1,170,212 | |||||||||||||||
Real Return Fund |
| |||||||||||||||||
Purchases | 139,105 | — | 139,105 | |||||||||||||||
Sales | 187,235 | — | 187,235 | |||||||||||||||
Dynamic Asset Allocation Fund |
| |||||||||||||||||
Purchases | — | 146,065 | 146,065 | |||||||||||||||
Sales | — | 20,675 | 20,675 | |||||||||||||||
Multi-Strategy Alternative Fund |
| |||||||||||||||||
Purchases | 19,583 | 92,223 | 111,806 | |||||||||||||||
Sales | 8,935 | 214,766 | 223,701 | |||||||||||||||
Multi-Asset Accumulation Fund |
| |||||||||||||||||
Purchases | 352,509 | 316,155 | 668,664 | |||||||||||||||
Sales | 310,527 | 250,179 | 560,706 | |||||||||||||||
Multi-Asset Income Fund |
| |||||||||||||||||
Purchases | 81,624 | 376,180 | 457,804 | |||||||||||||||
Sales | 90,578 | 297,823 | 388,401 | |||||||||||||||
Multi-Asset Inflation Managed Fund |
| |||||||||||||||||
Purchases | 251,088 | 350,631 | 601,719 | |||||||||||||||
Sales | 334,794 | 509,231 | 844,025 | |||||||||||||||
Multi-Asset Capital Stability Fund |
| |||||||||||||||||
Purchases | 402,227 | 3,820 | 406,047 | |||||||||||||||
Sales | 288,514 | 20,761 | 309,275 | |||||||||||||||
Long/Short Alternative Fund |
| |||||||||||||||||
Purchases | — | 3,372 | 3,372 | |||||||||||||||
Sales | — | 3,732 | 3,732 |
(1) Includes 17a-7 related party transactions of $ 182,693 ($ Thousands).
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
402 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
the use of controlled foreign corporations by RICs to indirectly invest in commodities. It is unclear whether this guidance will continue to permit or somehow restrict the distributions from controlled foreign corporations to be treated as “qualifying income” for purposes of the RIC qualification rules. As a result, there can be no assurance that the IRS will grant the private letter ruling requested by the Funds. The IRS, however, has informally indicated that any guidance regarding the treatment of distributions from controlled foreign corporations will be prospective in application and provide for transition periods for affected RICs. While the private letter ruling request is pending with the IRS, the Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds have secured an opinion of counsel based on customary representations that actual distributions made to the Funds should be treated as “qualifying income.” If the IRS does issue public guidance that results in an adverse determination relating to the treatment of income and gain to the Funds from controlled foreign corporations such as the Subsidiaries, the Funds would likely need to significantly change their investment strategies, which could adversely affect such Funds.
The Real Estate Fund has a tax year that ends on December 31. The following tax disclosures are representative as of September 30, 2017, except for the permanent reclassification and tax character of distributions, which are as of December 31, 2016. 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, 2017.
Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under U.S. GAAP. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise.
Accordingly, the following permanent differences, primarily attributable to different treatment for gains and losses on paydowns of mortgage and asset-
backed securities for tax purposes, defaulted bond basis adjustments, reclassification of long term capital gain distributions on REIT securities, reclassification of income and expense from swap transactions, Treasury Inflation-Protected Securities and net operating losses, basis adjustments for investments in partnerships, and gains and losses on passive foreign investment companies, collateralized loan obligation basis adjustments, utilization of earnings and profits on shareholder redemptions, certain foreign currency related transactions, and non-taxable in-kind redemptions, have been reclassified to/from the following accounts as of September 30, 2017:
| ||||||||||||
Undistributed Net Investment Income (Loss) ($ Thousands) | Accumulated ($Thousands) | Paid-in- Capital ($ Thousands) | ||||||||||
| ||||||||||||
Large Cap Fund | $ | (31) | $ | 31 | $ | — | ||||||
Large Cap Value Fund | (20) | 20 | — | |||||||||
Large Cap Growth Fund | 46 | (46) | — | |||||||||
Tax-Managed Large Cap Fund | 142 | (142) | — | |||||||||
S&P 500 Index Fund | 213 | (1,539) | 1,326 | |||||||||
Small Cap Fund | 1,091 | (1,091) | — | |||||||||
Small Cap Value Fund | 151 | (151) | — | |||||||||
Small Cap Growth Fund | 675 | (164) | (511) | |||||||||
Tax-Managed Small/Mid Cap Fund | 750 | (750) | — | |||||||||
Mid-Cap Fund | 101 | (101) | — | |||||||||
U.S. Managed Volatility Fund | 513 | (513) | — | |||||||||
Global Managed Volatility Fund | 6,369 | (34,700) | 28,331 | |||||||||
Tax-Managed Managed Volatility Fund | 294 | (294) | — | |||||||||
Tax-Managed International Managed Volatility Fund | 196 | (196) | — | |||||||||
Real Estate Fund | 744 | (744) | — | |||||||||
Enhanced Income Fund | 173 | 31,662 | (31,835) | |||||||||
Core Fixed Income Fund | 3,734 | (3,734) | — | |||||||||
U.S. Fixed Income Fund | 964 | (964) | — | |||||||||
High Yield Bond Fund | (8,670) | 41,936 | (33,266) | |||||||||
Dynamic Asset Allocation Fund | 7,240 | (7,240) | — | |||||||||
Multi-Strategy Alternative Fund | 237 | (882) | 645 | |||||||||
Multi-Asset Accumulation Fund | 20,489 | (20,489) | — | |||||||||
Multi-Asset Income Fund | (7,779) | 7,779 | — | |||||||||
Multi-Asset Inflation Managed Fund | 371 | (371) | — | |||||||||
Multi-Asset Capital Stability Fund | 6,298 | (6,298) | — | |||||||||
Long/Short Alternative Fund | 48 | (48) | — |
These reclassifications have no impact on net assets or net asset value per share.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 403 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2017
The tax character of dividends and distributions paid during the fiscal years or periods ended September 30, 2017 or September 30, 2016 (unless otherwise indicated) was as follows:
|
Ordinary Income | Long-term Capital Gain | Return of Capital ($ Thousands) | Tax Exempt Income ($ Thousands) | Total ($ Thousands) | ||||||||||||||||||
| ||||||||||||||||||||||
Large Cap Fund | ||||||||||||||||||||||
2017 | $ | 21,285 | $ | — | $ | — | $ | — | $ 21,285 | |||||||||||||
2016 | 24,693 | 394,357 | — | — | 419,050 | |||||||||||||||||
Large Cap Value Fund | ||||||||||||||||||||||
2017 | 19,081 | — | — | — | 19,081 | |||||||||||||||||
2016 | 18,803 | 171,778 | — | — | 190,581 | |||||||||||||||||
Large Cap Growth Fund | ||||||||||||||||||||||
2017 | 1,999 | — | — | — | 1,999 | |||||||||||||||||
2016 | 462 | 248,531 | — | — | 248,993 | |||||||||||||||||
Tax-Managed Large Cap Fund | ||||||||||||||||||||||
2017 | 28,591 | — | — | — | 28,591 | |||||||||||||||||
2016 | 31,981 | — | — | — | 31,981 | |||||||||||||||||
S&P 500 Index Fund | ||||||||||||||||||||||
2017 | 13,125 | 19,199 | — | — | 32,324 | |||||||||||||||||
2016 | 11,761 | 385 | — | — | 12,146 | |||||||||||||||||
Small Cap Fund | ||||||||||||||||||||||
2017 | 886 | — | — | — | 886 | |||||||||||||||||
2016 | 4,317 | 52,901 | — | — | 57,218 | |||||||||||||||||
Small Cap Value Fund | ||||||||||||||||||||||
2017 | 2,158 | — | — | — | 2,158 | |||||||||||||||||
2016 | 2,663 | 23,325 | — | — | 25,988 | |||||||||||||||||
Tax-Managed Small/Mid Cap Fund | ||||||||||||||||||||||
2017 | 2,538 | 547 | — | — | 3,085 | |||||||||||||||||
2016 | 2,147 | — | — | — | 2,147 | |||||||||||||||||
Mid-Cap Fund | ||||||||||||||||||||||
2017 | 1,020 | 358 | — | — | 1,378 | |||||||||||||||||
2016 | 4,049 | 11,727 | — | — | 15,776 | |||||||||||||||||
U.S. Managed Volatility Fund | ||||||||||||||||||||||
2017 | 25,245 | 45,837 | — | — | 71,082 | |||||||||||||||||
2016 | 27,826 | 64,868 | — | — | 92,694 | |||||||||||||||||
Global Managed Volatility Fund | ||||||||||||||||||||||
2017 | 50,137 | 63,082 | — | — | 113,219 | |||||||||||||||||
2016 | 126,506 | 31,427 | — | — | 157,933 | |||||||||||||||||
Tax-Managed Managed Volatility Fund | ||||||||||||||||||||||
2017 | 16,338 | 26,042 | — | — | 42,380 | |||||||||||||||||
2016 | 15,646 | 37,946 | — | — | 53,592 | |||||||||||||||||
Tax-Managed International Managed Volatility Fund | ||||||||||||||||||||||
2017 | 77 | 28 | — | — | 105 | |||||||||||||||||
Real Estate Fund | ||||||||||||||||||||||
2017 | 7,755 | 13,759 | — | — | 21,514 | |||||||||||||||||
2016 | 2,448 | 14,938 | — | — | 17,386 | |||||||||||||||||
Enhanced Income Fund | ||||||||||||||||||||||
2017 | 2,547 | — | — | — | 2,547 | |||||||||||||||||
2016 | 4,378 | — | — | — | 4,378 | |||||||||||||||||
Core Fixed Income Fund | ||||||||||||||||||||||
2017 | 81,841 | 7,985 | — | — | 89,826 | |||||||||||||||||
2016 | 71,418 | — | — | — | 71,418 | |||||||||||||||||
U.S. Fixed Income Fund | ||||||||||||||||||||||
2017 | 56,429 | 2,610 | — | — | 59,039 | |||||||||||||||||
| 2016 | | 35,096 | 953 | — | — | 36,049 | |||||||||||||||
High Yield Bond Fund | ||||||||||||||||||||||
2017 | 118,605 | — | — | — | 118,605 |
404 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
| ||||||||||||||||||||||
Ordinary Income | Long-term Capital Gain | Return of Capital ($ Thousands) | Tax Exempt Income ($ Thousands) | Total ($ Thousands) | ||||||||||||||||||
| ||||||||||||||||||||||
2016 | $ | 131,758 | $ | — | $ | — | $ | — | $ 131,758 | |||||||||||||
Conservative Income Fund | ||||||||||||||||||||||
2017 | 1,777 | — | — | — | 1,777 | |||||||||||||||||
2016 | 117 | — | — | — | 117 | |||||||||||||||||
Tax-Free Conservative Income Fund | ||||||||||||||||||||||
2017 | 1 | — | — | 767 | 768 | |||||||||||||||||
2016 | — | — | — | 57 | 57 | |||||||||||||||||
Real Return Fund | ||||||||||||||||||||||
2017 | 2,688 | — | 406 | — | 3,094 | |||||||||||||||||
2016 | — | — | — | — | — | |||||||||||||||||
Dynamic Asset Allocation Fund | ||||||||||||||||||||||
2017 | 5,476 | — | — | — | 5,476 | |||||||||||||||||
2016 | 1,748 | — | — | — | 1,748 | |||||||||||||||||
Multi-Strategy Alternative Fund | ||||||||||||||||||||||
2017 | 366 | — | — | — | 366 | |||||||||||||||||
2016 | 8,684 | 5,487 | — | — | 14,171 | |||||||||||||||||
Multi-Asset Accumulation Fund | ||||||||||||||||||||||
2017 | 104,451 | 61,492 | — | — | 165,943 | |||||||||||||||||
2016 | 36,119 | 22,009 | — | — | 58,128 | |||||||||||||||||
Multi-Asset Income Fund | ||||||||||||||||||||||
2017 | 31,837 | — | — | — | 31,837 | |||||||||||||||||
2016 | 39,477 | 2,065 | — | — | 41,542 | |||||||||||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||||||||||||
2017 | 10,449 | — | — | — | 10,449 | |||||||||||||||||
2016 | 5,117 | — | — | — | 5,117 | |||||||||||||||||
Multi-Asset Capital Stability Fund | ||||||||||||||||||||||
2017 | 3,419 | 1,622 | — | — | 5,041 | |||||||||||||||||
2016 | 5,061 | 2,301 | — | — | 7,362 | |||||||||||||||||
Long/Short Alternative Fund |
| |||||||||||||||||||||
2017 | — | — | 1 | — | 1 | |||||||||||||||||
2016 | — | — | — | — | — |
As of September 30, 2017, the components of Distributable Earnings/(Accumulated Losses) were as follows:
| ||||||||||||||||||||||||||||||||||||
Undistributed Income | Undistributed Capital Gain ($ Thousands) | Undistributed Tax-Exempt Income ($ Thousands) | Capital Loss Carryforwards | Post- October Losses | Late Year Ordinary Losses | Unrealized Appreciation (Depreciation) ($ Thousands) | Other Temporary | Total Distributable | ||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||
Large Cap Fund | $ | 5,449 | $ | 153,420 | $ | — | $ | — | $ | — | $ | — | $ | 513,683 | $ | (7) | $ | 672,545 | ||||||||||||||||||
Large Cap Value Fund | 9,855 | 48,046 | — | — | — | — | 260,564 | (1) | 318,464 | |||||||||||||||||||||||||||
Large Cap Growth Fund | 2,314 | 103,765 | — | — | — | — | 371,064 | (1) | 477,142 | |||||||||||||||||||||||||||
Tax-Managed Large Cap Fund | 7,371 | 46,086 | — | — | — | — | 1,547,937 | — | 1,601,394 | |||||||||||||||||||||||||||
S&P 500 Index Fund | 4,850 | 4,820 | — | — | — | — | 421,987 | — | 431,657 | |||||||||||||||||||||||||||
Small Cap Fund | 5,463 | 37,356 | — | — | — | — | 73,158 | — | 115,977 | |||||||||||||||||||||||||||
Small Cap Value Fund | 1,835 | 26,056 | — | — | — | — | 63,361 | (3) | 91,249 | |||||||||||||||||||||||||||
Small Cap Growth Fund | — | — | — | (2,742) | — | (1,725) | 48,087 | — | 43,620 | |||||||||||||||||||||||||||
Tax-Managed Small/Mid Cap Fund | — | 10,708 | — | — | — | — | 299,369 | — | 310,077 | |||||||||||||||||||||||||||
Mid-Cap Fund | 3,593 | 4,291 | — | — | — | — | 13,759 | (13) | 21,630 | |||||||||||||||||||||||||||
U.S. Managed Volatility Fund | 27,184 | 99,335 | — | — | — | — | 251,744 | — | 378,263 | |||||||||||||||||||||||||||
Global Managed Volatility Fund | 9,800 | 71,561 | — | — | — | — | 199,400 | 2 | 280,763 | |||||||||||||||||||||||||||
Tax-Managed Managed Volatility Fund | 3,851 | 27,412 | — | — | — | — | 317,054 | (2) | 348,315 | |||||||||||||||||||||||||||
Tax-Managed International Managed Volatility Fund | 8,887 | — | — | — | (6,537) | — | 42,623 | — | 44,973 | |||||||||||||||||||||||||||
Real Estate Fund | — | 6,406 | — | — | — | — | 28,379 | (4) | 34,781 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 405 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2017
| ||||||||||||||||||||||||||||||||||||
Undistributed Income | Undistributed Long-Term Capital Gain ($ Thousands) | Undistributed Tax-Exempt Income ($ Thousands) | Capital Loss | Post- October Losses | Late Year Losses | Unrealized Appreciation (Depreciation) ($ Thousands) | Other Temporary | Total Distributable Earnings (Accumulated Losses) ($ Thousands) | ||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||
Enhanced Income Fund | $ | 413 | $ | — | $ | — | $ | (92,550) | $ | (580) | $ | — | $ | (718) | $ | 3 | $ | (93,432) | ||||||||||||||||||
Core Fixed Income Fund | 1,441 | — | — | (5,483) | (9,701) | — | 13,144 | (9,297) | (9,896) | |||||||||||||||||||||||||||
U.S. Fixed Income Fund | 3,338 | — | — | (3,505) | (10,942) | — | 10,297 | (6,423) | (7,235) | |||||||||||||||||||||||||||
High Yield Bond Fund | 21,960 | — | — | (64,811) | — | — | (44,867) | (8,625) | (96,343) | |||||||||||||||||||||||||||
Conservative Income Fund | 194 | — | — | — | — | — | 33 | (191) | 36 | |||||||||||||||||||||||||||
Tax-Free Conservative Income Fund | — | — | 13 | — | — | — | (6) | (18) | (11) | |||||||||||||||||||||||||||
Real Return Fund | — | — | — | (2,504) | (764) | — | (141) | (725) | (4,134) | |||||||||||||||||||||||||||
Dynamic Asset Allocation Fund | 12,833 | — | — | — | — | — | 133,621 | 2 | 146,456 | |||||||||||||||||||||||||||
Multi-Strategy Alternative Fund | 9,648 | — | — | — | — | — | 1,425 | (1,403) | 9,670 | |||||||||||||||||||||||||||
Multi-Asset Accumulation Fund | 31,672 | 67,595 | — | — | — | — | (123,311) | (8,305) | (32,349) | |||||||||||||||||||||||||||
Multi-Asset Income Fund | 8,323 | 2,671 | — | — | — | — | 17,774 | (4,936) | 23,832 | |||||||||||||||||||||||||||
Multi-Asset Inflation Managed Fund | 8,696 | — | — | (25,118) | — | — | (100,192) | (1,847) | (118,461) | |||||||||||||||||||||||||||
Multi-Asset Capital Stability Fund | 17,953 | 5,031 | — | — | — | — | (8,472) | (857) | 13,655 | |||||||||||||||||||||||||||
Long/Short Alternative Fund | 1,107 | 1,834 | — | — | — | — | 40 | — | 2,981 |
Post October losses represent losses realized on investment transactions from November 1, 2016 through September 30, 2017 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, 2017 through September 30, 2017 and specified losses realized on investment transactions from November 1, 2016 through September 30, 2017, 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 2020 ($ Thousands) | Expires 2019 ($ Thousands) | Expires 2018 ($ Thousands) | Expires 2017 ($ Thousands) | Expires 2016 ($ Thousands) | Total Capital Loss Carryforwards ($ Thousands) | |||||||||||||||||||
| ||||||||||||||||||||||||
Small Cap Growth Fund | $ | — | $ | — | $ | 2,742 | $ | — | $ | — | $ | 2,742 | ||||||||||||
Enhanced Income Fund | — | 26,775 | 61,656 | — | — | 88,431 | ||||||||||||||||||
High Yield Bond Fund | — | — | 3,087 | — | — | 3,087 |
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 | $ | – | $ | 4,120 | $ | 4,120 | ||||||
Core Fixed Income Fund | 1,748 | 3,735 | 5,483 | |||||||||
U.S. Fixed Income Fund | 38 | 3,467 | 3,505 | |||||||||
High Yield Bond Fund | – | 61,724 | 61,724 | |||||||||
Real Return Fund | 456 | 2,048 | 2,504 | |||||||||
Multi-Asset Inflation Managed Fund | 25,118 | – | 25,118 |
* | This table should be used in conjunction with the capital loss carryforwards table. |
406 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
During the fiscal year ended September 30, 2017, the following Funds utilized capital loss carryforward to offset capital gains:
| ||
Amount Utilized ($ Thousands) | ||
| ||
Large Cap Value | $ 3,230 | |
Large Cap Growth | 61,171 | |
Tax-Managed Large Cap Fund | 135,372 | |
Small Cap Fund | 6,430 | |
Small Cap Growth Fund | 25,485 | |
Tax-Managed Small/Mid Cap Fund | 1,073 | |
High Yield Bond Fund | 46,434 | |
Real Return Fund | 464 | |
Dynamic Asset Allocation Fund | 1,756 | |
Multi-Strategy Alternative Fund | 1,398 | |
Multi-Asset Income Fund | 6,235 | |
Multi-Asset Inflation Managed Fund | 739 | |
Long/Short Alternative Fund | 93 |
For Federal income tax purposes, the cost of securities owned at September 30, 2017, 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 total investments held by the Funds at September 30, 2017, were as follows:
| ||||||||||||||||
Federal Tax Cost ($ Thousands) | Appreciated Securities ($ Thousands) | Depreciated Securities ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
| ||||||||||||||||
Large Cap Fund | $ | 2,044,476 | $ | 550,201 | $ | (36,519) | $ | 513,682 | ||||||||
Large Cap Value Fund | 1,130,133 | 309,746 | (49,193) | 260,553 | ||||||||||||
Large Cap Growth Fund | 1,120,261 | 388,331 | (17,265) | 371,066 | ||||||||||||
Tax-Managed Large Cap Fund | 2,193,084 | 1,577,186 | (29,249) | 1,547,937 | ||||||||||||
S&P 500 Index Fund | 387,162 | 432,535 | (10,547) | 421,988 | ||||||||||||
Small Cap Fund | 635,006 | 100,307 | (27,149) | 73,158 | ||||||||||||
Small Cap Value Fund | 353,840 | 78,080 | (14,719) | 63,361 | ||||||||||||
Small Cap Growth Fund | 319,641 | 63,399 | (15,312) | 48,087 | ||||||||||||
Tax-Managed Small/Mid Cap Fund | 637,470 | 300,611 | (1,242) | 299,369 | ||||||||||||
Mid-Cap Fund | 102,626 | 17,248 | (3,489) | 13,759 | ||||||||||||
U.S. Managed Volatility Fund | 1,348,062 | 291,554 | (39,809) | 251,745 | ||||||||||||
Global Managed Volatility Fund | 1,273,709 | 219,715 | (20,315) | 199,400 | ||||||||||||
Tax-Managed Managed Volatility Fund | 747,352 | 322,383 | (5,329) | 317,054 | ||||||||||||
Tax-Managed International Managed Volatility Fund | 313,259 | 46,614 | (3,992) | 42,622 | ||||||||||||
Real Estate Fund | 146,505 | 36,593 | (8,215) | 28,378 |
| ||||||||||||||||
Federal Tax Cost ($ Thousands) | Appreciated Securities ($ Thousands) | Depreciated Securities ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
| ||||||||||||||||
Enhanced Income Fund | $ | 75,276 | $ | 564 | $ | (1,281) | $ | (717) | ||||||||
Core Fixed Income Fund | 2,411,820 | 47,433 | (34,289) | 13,144 | ||||||||||||
U.S. Fixed Income Fund | 2,134,956 | 22,363 | (12,096) | 10,267 | ||||||||||||
High Yield Bond Fund | 1,699,353 | 87,504 | (132,370) | (44,866) | ||||||||||||
Conservative Income Fund | 210,431 | 44 | (11) | 33 | ||||||||||||
Tax-Free Conservative Income Fund | 167,274 | 2 | (8) | (6) | ||||||||||||
Real Return Fund | 270,506 | 2,285 | (2,427) | (142) | ||||||||||||
Dynamic Asset Allocation Fund | 637,661 | 151,025 | (17,404) | 133,621 | ||||||||||||
Multi-Strategy Alternative Fund | 490,660 | 15,540 | (14,110) | 1,430 | ||||||||||||
Multi-Asset Accumulation Fund | 5,359,193 | 80,164 | (203,462) | (123,298) | ||||||||||||
Multi-Asset Income Fund | 1,055,689 | 39,575 | (21,810) | 17,765 | ||||||||||||
Multi-Asset Inflation Managed Fund | 969,404 | 19,564 | (119,731) | (100,167) | ||||||||||||
Multi-Asset Capital Stability Fund | 769,143 | 835 | (9,306) | (8,471) | ||||||||||||
Long/Short Alternative Fund | 38,229 | 45 | (5) | 40 |
Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years and has concluded that as of September 30, 2017, 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, letters of credit or U.S. Government securities. 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,
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 407 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2017
the amount of collateral is adjusted based on the prior day’s market fluctuations and the current day’s lending activity. Income from lending activity is determined by the amount of interest earned on collateral, less any amounts payable to the borrowers of the securities and the lending agent. Lending securities involves certain risks, including the risk that the Fund may be delayed or restricted from recovering the loomed securities or disposing of the collateral for the loan, which could give rise to loss because at adverse market actions expenses and/ or delays in connection with the disposition of the underlying securities.
Cash collateral received in connection with securities lending is invested in eligible securities by the lending agent. These investments may include the SEI Liquidity Fund L.P. (“Liquidity Fund”), and the Fund bears its pro rate portion at the Liquidity Fund’s expenses and is subject to the risk of loss in the underlying investments & Liquidity Fund losses on such investment. There is no guarantee that these investments will not lose value.
The following is a summary of securities lending agreements held by certain Funds which would be subject to offset as of September 30, 2017 ($ Thousands):
Securities Loaned at Value | Cash Collateral Received (1) | Net Amount | ||||||||||
Large Cap Fund | $26,596 | $26,596 | $– | |||||||||
Large Cap Value Fund | 29,863 | 29,863 | – | |||||||||
Large Cap Growth Fund | 18,513 | 18,513 | – | |||||||||
Tax-Managed Large Cap Fund | 36,073 | 36,073 | – | |||||||||
S&P 500 Index Fund | 3,681 | 3,681 | – | |||||||||
Small Cap Fund | 59,669 | 59,669 | – | |||||||||
Small Cap Value Fund | 32,558 | 32,558 | – | |||||||||
Small Cap Growth Fund | 27,115 | 27,115 | – | |||||||||
Tax-Managed Small/Mid Cap Fund | 75,724 | 75,724 | – | |||||||||
Mid-Cap Fund | 52 | 52 | – | |||||||||
Core Fixed Income Fund | 134,251 | 134,251 | – | |||||||||
U.S. Fixed Income Fund | 103,091 | 103,091 | – | |||||||||
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. CONCENTRATION/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.
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.
Bank Loans Risk—With respect to bank loans, the Fund will assume the credit risk of both the borrower and the lender that is selling the participation. The Fund may also have difficulty disposing of bank loans because, in certain cases, the market for such instruments is not highly liquid.
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.
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.
408 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
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.
Leverage Risk — Certain Fund transactions, such as derivatives or reverse repurchase agreements, may give rise to a form of leverage. The use of leverage can amplify the effects of market volatility on the Funds’ share price and make the Funds’ returns more volatile. This is because leverage tends to exaggerate the effect of any increase or decrease in the value of the Funds’ portfolio securities. The use of leverage may also cause the Funds to liquidate portfolio positions when it would not be advantageous to do so in order to satisfy its obligations.
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, September 30, 2017, SPTC held of record the following percentage of outstanding shares of each Fund:
| ||||
Fund | % held
| |||
| ||||
Large Cap Fund | ||||
Class F | 98.29% | |||
Class Y | 12.96 | |||
Large Cap Value Fund | ||||
Class F | 94.88% | |||
Class I | 17.07 | |||
Class Y | 99.52 |
| ||||
Fund | % held
| |||
| ||||
Large Cap Growth Fund | ||||
Class F | 94.93% | |||
Class I | 22.16 | |||
Class Y | 99.15 | |||
Tax-Managed Large Cap Fund | ||||
Class F | 90.46% | |||
Class Y | 48.02 | |||
S&P 500 Index Fund | ||||
Class F | 87.38% | |||
Class E | 9.00 | |||
Class I | 42.01 | |||
Class Y | 59.20 | |||
Small Cap Fund | ||||
Class F | 98.22% | |||
Class Y | 20.65 | |||
Small Cap Value Fund | ||||
Class F | 85.09% | |||
Class I | 10.26 | |||
Class Y | 99.59 | |||
Small Cap Growth Fund | ||||
Class F | 92.27% | |||
Class I | 12.43 | |||
Class Y | 99.02 | |||
Tax-Managed Small/Mid Cap Fund | ||||
Class F | 93.24% | |||
Class Y | 50.61 | |||
Mid-Cap Fund | ||||
Class F | 83.74% | |||
Class I | 0.00 | |||
Class Y | 64.02 | |||
U.S. Managed Volatility Fund | ||||
Class F | 87.04% | |||
Class I | 0.00 | |||
Class Y | 10.02 | |||
Global Managed Volatility Fund | ||||
Class F | 89.97% | |||
Class I | 4.67 | |||
Class Y | 30.58 | |||
Tax-Managed Managed Volatility Fund | ||||
Class F | 89.68% | |||
Class Y | 74.97 | |||
Tax-Managed International Managed Volatility Fund | ||||
Class F | 97.11% | |||
Class Y | 74.80 | |||
Real Estate Fund | ||||
Class F | 91.04% | |||
Class I | 0.00 | |||
Class Y | 45.95 | |||
Enhanced Income Fund | ||||
Class F | 94.46% | |||
Class I | 0.00 | |||
Class Y | 99.72 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 409 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Concluded)
September 30, 2017
| ||||
Fund | % held
| |||
| ||||
Core Fixed Income Fund | ||||
Class F | 94.60% | |||
Class I | 38.53 | |||
Class Y | 65.67 | |||
U.S. Fixed Income Fund | ||||
Class F | 98.55% | |||
Class Y | 9.11 | |||
High Yield Bond Fund | ||||
Class F | 95.69% | |||
Class I | 0.00 | |||
Class Y | 40.04 | |||
Conservative Income Fund | ||||
Class F | 98.11% | |||
Class Y | 15.36 | |||
Tax-Free Conservative Income Fund | ||||
Class F | 99.12% | |||
Class Y | 61.22 | |||
Real Return Fund | ||||
Class F | 98.26% | |||
Class Y | 19.71 | |||
Dynamic Asset Allocation Fund | ||||
Class F | 96.61% | |||
Class Y | 4.87 | |||
Multi-Strategy Alternative Fund | ||||
Class F | 98.02% | |||
Class Y | 43.46 | |||
Multi-Asset Accumulation Fund | ||||
Class F | 98.53% | |||
Class Y | 3.14 | |||
Multi-Asset Income Fund | ||||
Class F | 89.74% | |||
Class Y | 50.03 | |||
Multi-Asset Inflation Managed Fund | ||||
Class F | 98.55% | |||
Class Y | 15.50 | |||
Multi-Asset Capital Stability Fund | ||||
Class F | 98.74% | |||
Class Y | 4.21 | |||
Long/Short Alternative Fund | ||||
Class F | 0.00% | |||
Class Y | 0.00 |
SPTC is not a direct service provider to the SEI 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 advisers. SPTC maintains omnibus accounts at the Fund’s transfer agent.
13. IN-KIND
TRANSACTIONS
During the fiscal year ended September 30, 2016, Global Managed Volatility Fund redeemed shares of beneficial interest in exchange for securities. The securities were redeemed at their current value on the date of the transaction.
| ||||||||||||||||
Transaction Date | Shares Redeemed (Thousands) | Value ($ Thousands) | Cash ($ Thousands) | Loss ($ Thousands) | ||||||||||||
| ||||||||||||||||
01/29/2016 | 80,677 | $ 843,072 | $ — | $ (24,125) |
14. REGULATORY MATTERS
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and amended existing rules (together, final rules) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amended Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. As of August 1, 2017, management has implemented the amendments to Regulation S-X, which did not have a material impact on the Fund’s financial statements and related disclosures or impact the Fund’s net assets or results of operations.
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 September 30, 2017.
410 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Report of Independent Registered Public Accounting Firm
The Board of Trustees and Shareholders
SEI Institutional Managed Trust:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments and summary schedules of investments, of the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small/Mid Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, Tax-Managed Managed Volatility Fund, Tax-Managed International Managed Volatility Fund, Real Estate Fund, Enhanced Income Fund, Core Fixed Income Fund, U.S. Fixed Income Fund, High Yield Bond Fund, Conservative Income Fund, Tax-Free Conservative Income Fund, Real Return Fund, Dynamic Asset Allocation Fund, Multi-Strategy Alternative Fund, Multi-Asset Income Fund, Multi-Asset Capital Stability Fund, and the Long/Short Alternative Fund (twenty-seven of the twenty-nine funds comprising the SEI Institutional Managed Trust (the Trust)), as of September 30, 2017, and the related statements of operations for the year or period then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. We have also audited the accompanying consolidated statements of assets and liabilities, including the consolidated schedules of investments, of the Multi-Asset Accumulation Fund and the Multi-Asset Inflation Managed Fund (two of the twenty-nine funds comprising the Trust), as of September 30, 2017, and the related consolidated statements of operations for the year then ended, the consolidated statements of changes in net assets for each of the years in the two-year period then ended, the consolidated statement of cash flows for the year then ended for the Multi-Asset Inflation Managed Fund, and the consolidated financial highlights for each of the years or periods in the five-year period then ended. These financial statements and consolidated financial statements and financial highlights and consolidated financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and consolidated financial statements and financial highlights and consolidated financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2017, by correspondence with the custodians, transfer agent, and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds comprising SEI Institutional Managed Trust as of September 30, 2017, the results of their operations, the changes in their net assets, their cash flows, and the financial highlights for the years or periods described in the first paragraph, in conformity with U.S. generally accepted accounting principles.
Philadelphia, Pennsylvania
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November 29, 2017 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 411 |
Trustees and Officers of the Trust (Unaudited)
The following chart lists Trustees and Officers as of September 30, 2017.
Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations for the last five years, number of positions in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
Name, Address, and Age | Position(s) Held with Trusts | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee2 | Other Directorships Held by Trustee | |||||
INTERESTED TRUSTEES | ||||||||||
Robert A. Nesher One Freedom Valley Drive Oaks, PA 19456 70 yrs. old | Chairman of the Board of Trustees* | since 1995 | Currently performs various services on behalf of SEI for which Mr. Nesher is compensated. | 104 | Vice Chairman of The Advisors’ Inner Circle Fund III, Winton Series Trust and Winton Diversified Opportunities Fund since 2014. Vice Chairman of Gallery Trust since 2015. President and Director of SEI Structured Credit Fund, LP. Director of SEI Global Master Fund plc, SEI Global Assets Fund plc, SEI Global Investments Fund plc, SEI Investments—Global Funds Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe) Ltd., SEI Multi-Strategy Funds PLC, SEI Global Nominee Ltd and SEI Investments—Unit Trust Management (UK) Limited. Director and President of SEI Opportunity Fund, L.P. to 2010. President, Director and Chief Executive Officer of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 1989 to 2016. Vice Chairman of O’Connor EQUUS (closed-end investment company) from 2014 to 2016. Vice Chairman of The Advisors’ Inner Circle Fund III, Winton Series Trust, Winton Diversified Opportunities Fund (closed-end investment company) and Gallery Trust. Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, and the KP Funds. President, Chief Executive Officer and Trustee of SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, The New Covenant Funds and SEI Catholic Values Trust. | |||||
William M. Doran One Freedom | Trustee* | since 1995 | Self-employed consultant since 2003.Partner, Morgan, Lewis & Bockius LLP (law firm) from 1976 to 2003, counsel to the Trust, SEI, SIMC, the Administrator and the Distributor. | 104 | Director of SEI since 1974; Secretary of SEI since 1978. Director of SEI Investments Distribution Co. since 2003. Director of SEI Investments—Global Funds Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia) Limited, SEI Global Nominee Ltd. and SEI Investments—Unit Trust Management (UK) Limited. Trustee of SEI Liquid Asset Trust from 1982 to 2016. Trustee of O’Connor EQUUS from 2014 to 2016. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, The Advisors’ Inner Circle Fund III, Winton Series Trust, Winton Diversified Opportunities Fund, Gallery Trust, Bishop Street Funds, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, New Covenant Funds, The KP Funds and SEI Catholic Values Trust. | |||||
TRUSTEES | ||||||||||
George J. Sullivan Jr. One Freedom Valley Drive, Oaks, PA 19456 74 yrs. old | Trustee | since 1996 | Retired since January 2012. Self-Employed Consultant, Newfound Consultants Inc. April 1997-December 2011. | 104 | Member of the independent review committee for SEI’s Canadian-registered mutual funds. Director of SEI Opportunity Fund, L.P. to 2010. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 1996 to 2016. Trustee/Director of State Street Navigator Securities Lending Trust, The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, SEI Structured Credit Fund, LP, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, New Covenant Funds, The KP Funds and SEI Catholic Values Trust. |
* | Messrs. Nesher and Doran are Trustees who may be deemed as “interested” persons of the Trust as that term is defined in the 1940 Act by virtue of their affiliation with SIMC and the Trust’s Distributor. |
1 | Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust |
2 | The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust and New Covenant Funds. |
412 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Name Address, and Age | Position(s) Held with Trusts | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee2 | Other Directorships Held by Trustee | |||||
TRUSTEES (continued) | ||||||||||
Nina Lesavoy One Freedom Valley Drive, Oaks, PA 19456 57 yrs. old | Trustee | since 2003 | Founder and Managing Director, Avec Capital (strategic fundraising firm) since 2008. Managing Director, Cue Capital (strategic fundraising firm) from March 2002-March 2008. | 104 | Director of SEI Opportunity Fund, L.P. to 2010. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 2003 to 2016. Trustee/Director of SEI Structured Credit Fund, L.P., SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust and SEI Catholic Values Trust. | |||||
James M. Williams One Freedom Valley Drive, Oaks, PA 19456 69 yrs. old | Trustee | since 2004 | Vice President and Chief Investment Officer, J. Paul Getty Trust, Non-Profit Foundation for Visual Arts, since December 2002. President, Harbor Capital Advisors and Harbor Mutual Funds, 2000-2002. Director of SEI Alpha Strategy Portfolios, L.P. from 2007 to 2013. Manager, Pension Asset Management, Ford Motor Company, 1997-1999. | 104 | Director of SEI Opportunity Fund, L.P. to 2010. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013, Trustee of SEI Liquid Asset Trust from 2004 to 2016. Trustee/Director of Ariel Mutual Funds, SEI Structured Credit Fund, LP, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust and SEI Catholic Values Trust. | |||||
Mitchell A. Johnson One Freedom Valley Drive, Oaks, PA 19456 74 yrs. old | Trustee | since 2007 | Private Investor since 1994. | 104 | Director, Federal Agricultural Mortgage Corporation (Farmer Mac) since 1997. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 2007 to 2016. Trustee of the Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, The KP Funds and SEI Catholic Values Trust. | |||||
Hubert L. Harris, Jr. One Freedom Valley Drive, Oaks, PA 19456 73 yrs. old | Trustee | since 2008 | Retired since December 2005. Owner of Harris Plantation, Inc. since 1995. Chief Executive Officer of Harris CAPM, a consulting asset and property management entity. Chief Executive Officer, INVESCO North America, August 2003-December 2005. Chief Executive Officer and Chair of the Board of Directors, AMVESCAP Retirement, Inc., January 1998- August 2003. | 104 | Director of AMVESCAP PLC from 1993-2004. Served as a director of a bank holding company, 2003-2009. Director, Aaron’s Inc., 2012-present. Chair of the Board of Trustees, Georgia Tech Foundation, Inc. (nonprofit corporation), 2007-2009, and member of the Executive Committee, 2003-2011; currently emeritus trustee. Member of the advisory board of the Georgia Tech Ivan Allen School of Liberal Arts and the Sam Nunn School of International Affairs, 2009-present. Member of the Board of Councilors of the Carter Center (nonprofit corporation). Director of SEI Alpha Strategy Portfolios, LP from 2008 to 2013. Trustee of SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust and SEI Catholic Values Trust. | |||||
Susan C. Cote One Freedom Valley Drive Oaks, PA 19456 61 years old | Trustee | since 2016 | Retired since July 2015. Americas Director of Asset Management, Ernst & Young LLP from 2006-2013. Global Asset Management Assurance Leader, Ernst & Young LLP from 2006-2015. Partner Ernst & Young LLP from 1997-2015. Prudential, 1983-1997. Retirement Investment Committee-Treasurer and Chair of Finance, Investment and Audit Committee of the New York Women’s Foundation. Independent Consultant to SEI Liquid Asset Allocation Trust. | 104 | Trustee of SEI Tax Exempt Trust, SEI Daily Income Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional Investments Trust, SEI Insurance Products Trust, Adviser Managed Trust and SEI Catholic Values Trust. | |||||
OFFICERS | ||||||||||
Robert A. Nesher One Freedom Valley Drive, Oaks, PA 19456 70 yrs. Old | President and CEO | since 2005 | Currently performs various services on behalf of SEI for which Mr. Nesher is compensated. | N/A | N/A | |||||
James J. Hoffmayer One Freedom Valley Drive Oaks, PA 19456 43 yrs. old | Controller and Chief Financial Officer | since 2016 | Senior Director, Funds Accounting and Fund Administration, SEI Investments Global Funds Services (since September 2016); Senior Director of Fund Administration, SEI Investments Global Funds Services (since October 2014). Director of Financial Reporting, SEI Investments Global Funds Services (November 2004 – October 2014). | N/A | N/A |
1 | Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust. |
2 | The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust and New Covenant Funds. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 413 |
Trustees and Officers of the Trust (Unaudited) (Concluded)
Name Address, and Age | Position(s) Held with Trusts | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee2 | Other Directorships Held by Trustee | |||||
OFFICERS (continued) | ||||||||||
Russell Emery One Freedom Valley Drive Oaks, PA 19456 53 yrs. old | Chief Compliance Officer | since 2006 | Chief Compliance Officer of SEI Institutional Investments Trust, SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional International Trust, SEI Tax Exempt Trust, The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II and Bishop Street Funds since March 2006. Chief Compliance Officer of SEI Liquid Asset Trust from 2006 to 2016. Chief Compliance Officer of SEI Structured Credit Fund, LP June 2007. Chief Compliance Officer of Adviser Managed Trust since December 2010. Chief Compliance Officer of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Chief Compliance Officer of SEI Insurance Products Trust and The KP Funds since 2013. Chief Compliance Officer of O’Connor EQUUS from 2014 to 2016. Chief Compliance Officer of The Advisors’ Inner Circle Fund III, Winton Series Trust and Winton Diversified Opportunities Fund since 2014. Chief Compliance Officer of SEI Catholic Values Trust and Gallery Trust since 2015. | N/A | N/A | |||||
Timothy D Barto One Freedom Valley Drive Oaks, PA 19456 48 yrs. old | Vice President and Secretary | since 2002 | Vice President and Secretary of SEI Institutional Transfer Agent, Inc. since 2009. General Counsel and Secretary of SIMC and the Administrator since 2004. Vice President of SIMC and the Administrator since 1999. Vice President and Assistant Secretary of SEI since 2001. | N/A | N/A | |||||
Aaron Buser One Freedom Valley Drive, Oaks, PA 19456 45 yrs. old | Vice President and Assistant Secretary | since 2008 | Vice President and Assistant Secretary of SEI Institutional Transfer Agent, Inc. since 2009. Vice President and Assistant Secretary of SIMC since 2007. Attorney Stark & Stark (law firm), March 2004-July 2007. | N/A | N/A | |||||
David F. McCann One Freedom Valley Drive, Oaks, PA 19456 40 yrs. old | Vice President and Assistant Secretary | since 2009 | Vice President and Assistant Secretary of SEI Institutional Transfer Agent, Inc. since 2009. Vice President and Assistant Secretary of SIMC since 2008. Attorney, Drinker Biddle & Heath, LLP (law firm), May 2005 - October 2008. | N/A | N/A | |||||
Stephen G. MacRae One Freedom Valley Drive, Oaks, PA 19456 47 yrs. old | Vice President | since 2012 | Director of Global Investment Product Management January 2004 - to present. Global Funds Services, March 2005 to June 2006. | N/A | N/A | |||||
Bridget E. Sudall One Freedom Valley Drive Oaks, PA 19456 36 yrs. old | Anti-Money Laundering Compliance Officer and Privacy Officer | since 2015 | Anti-Money Laundering Compliance Officer and Privacy Officer (since 2015), Senior Associate and AML Officer, Morgan Stanley Alternative Investment Partners, April 2011-March 2015, Investor Services Team Lead, Morgan Stanley Alternative Investment Partners, July 2007-April 2011. | N/A | N/A |
1 | Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust. |
2 | The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust and New Covenant Funds. |
414 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Disclosure of Fund Expenses (Unaudited)
September 30, 2017
All mutual funds have operating expenses. As a shareholder of a 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 fund’s gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the fund’s average net assets; this percentage is known as the fund’s expense ratio.
The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The table on this 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 the Fund, to estimate the expenses you paid over that period. Simply divide your actual 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 the fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) for the period 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 funds.
NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown may not apply to your specific investment.
Beginning Account Value 4/1/17 | Ending Account Value 9/30/17 | Annualized Expense Ratios | Expenses Paid During Period * | |||||||||||||
Large Cap Fund |
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Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,083.60 | 0.89 | % | $ | 4.65 | ||||||||
Class Y Shares | 1,000.00 | 1,085.70 | 0.64 | 3.35 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,020.61 | 0.89 | % | $ | 4.51 | ||||||||
Class Y Shares | 1,000.00 | 1,021.86 | 0.64 | 3.24 | ||||||||||||
Large Cap Value Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,058.60 | 0.89 | % | $ | 4.59 | ||||||||
Class I Shares | 1,000.00 | 1,057.70 | 1.11 | 5.73 | ||||||||||||
Class Y Shares | 1,000.00 | 1,060.00 | 0.64 | 3.31 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,020.61 | 0.89 | % | $ | 4.51 | ||||||||
Class I Shares | 1,000.00 | 1,019.50 | 1.11 | 5.62 | ||||||||||||
Class Y Shares | 1,000.00 | 1,021.86 | 0.64 | 3.24 |
Beginning Account Value 4/1/17 | Ending Account Value 9/30/17 | Annualized Expense Ratios | Expenses Paid During Period * | |||||||||||||
Large Cap Growth Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,111.20 | 0.89 | % | $ | 4.71 | ||||||||
Class I Shares | 1,000.00 | 1,110.30 | 1.11 | 5.87 | ||||||||||||
Class Y Shares | 1,000.00 | 1,112.80 | 0.64 | 3.39 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,020.61 | 0.89 | % | $ | 4.51 | ||||||||
Class I Shares | 1,000.00 | 1,019.50 | 1.11 | 5.62 | ||||||||||||
Class Y Shares | 1,000.00 | 1,021.86 | 0.64 | 3.24 | ||||||||||||
Tax-Managed Large Cap Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,076.40 | 0.90 | % | $ | 4.68 | ||||||||
Class Y Shares | 1,000.00 | 1,077.80 | 0.65 | 3.39 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,020.56 | 0.90 | % | $ | 4.56 | ||||||||
Class Y Shares | 1,000.00 | 1,021.81 | 0.65 | 3.29 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 415 |
Disclosure of Fund Expenses (Unaudited) (Concluded)
September 30, 2017
Beginning Account Value 4/1/17 | Ending Account Value 9/30/17 | Annualized Expense Ratios | Expenses Paid During Period * | |||||||||||||
S&P 500 Index Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class E Shares | $ | 1,000.00 | $ | 1,075.80 | 0.25 | % | $ | 1.30 | ||||||||
Class F Shares† | 1,000.00 | 1,074.80 | 0.43 | 2.24 | ||||||||||||
Class I Shares | 1,000.00 | 1,073.60 | 0.65 | 3.38 | ||||||||||||
Class Y Shares | 1,000.00 | 1,075.60 | 0.25 | 1.30 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class E Shares | $ | 1,000.00 | $ | 1,023.82 | 0.25 | % | $ | 1.27 | ||||||||
Class F Shares† | 1,000.00 | 1,022.91 | 0.43 | 2.18 | ||||||||||||
Class I Shares | 1,000.00 | 1,021.81 | 0.65 | 3.29 | ||||||||||||
Class Y Shares | 1,000.00 | 1,023.82 | 0.25 | 1.27 | ||||||||||||
Small Cap Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,050.80 | 1.14 | % | $ | 5.86 | ||||||||
Class Y Shares | 1,000.00 | 1,052.20 | 0.89 | 4.58 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,019.35 | 1.14 | % | $ | 5.77 | ||||||||
Class Y Shares | 1,000.00 | 1,020.61 | 0.89 | 4.51 | ||||||||||||
Small Cap Value Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,045.00 | 1.14 | % | $ | 5.84 | ||||||||
Class I Shares | 1,000.00 | 1,044.00 | 1.36 | 6.97 | ||||||||||||
Class Y Shares | 1,000.00 | 1,046.30 | 0.89 | 4.57 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,019.35 | 1.14 | % | $ | 5.77 | ||||||||
Class I Shares | 1,000.00 | 1,018.25 | 1.36 | 6.88 | ||||||||||||
Class Y Shares | 1,000.00 | 1,020.61 | 0.89 | 4.51 | ||||||||||||
Small Cap Growth Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,097.90 | 1.11 | % | $ | 5.84 | ||||||||
Class I Shares | 1,000.00 | 1,096.70 | 1.36 | 7.15 | ||||||||||||
Class Y Shares | 1,000.00 | 1,099.50 | 0.87 | 4.58 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,019.50 | 1.11 | % | $ | 5.62 | ||||||||
Class I Shares | 1,000.00 | 1,018.25 | 1.36 | 6.88 | ||||||||||||
Class Y Shares | 1,000.00 | 1,020.71 | 0.87 | 4.41 | ||||||||||||
Tax-Managed Small/Mid Cap Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,068.40 | 1.12 | % | $ | 5.81 | ||||||||
Class Y Shares | 1,000.00 | 1,069.40 | 0.90 | 4.67 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,019.45 | 1.12 | % | $ | 5.67 | ||||||||
Class Y Shares | 1,000.00 | 1,020.56 | 0.90 | 4.56 | ||||||||||||
Mid-Cap Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,063.20 | 0.99 | % | $ | 5.12 | ||||||||
Class I Shares | 1,000.00 | 1,062.00 | 1.22 | 6.31 | ||||||||||||
Class Y Shares | 1,000.00 | 1,064.50 | 0.75 | 3.88 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,020.10 | 0.99 | % | $ | 5.01 | ||||||||
Class I Shares | 1,000.00 | 1,018.95 | 1.22 | 6.17 | ||||||||||||
Class Y Shares | 1,000.00 | 1,021.31 | 0.75 | 3.80 |
Beginning Account Value 4/1/17 | Ending Account Value 9/30/17 | Annualized Expense Ratios | Expenses Paid During Period * | |||||||||||||
U.S. Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,037.60 | 1.00 | % | $ | 5.11 | ||||||||
Class I Shares | 1,000.00 | 1,036.90 | 1.25 | 6.38 | ||||||||||||
Class Y Shares | 1,000.00 | 1,039.00 | 0.75 | 3.83 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,020.05 | 1.00 | % | $ | 5.06 | ||||||||
Class I Shares | 1,000.00 | 1,018.80 | 1.25 | 6.33 | ||||||||||||
Class Y Shares | 1,000.00 | 1,021.31 | 0.75 | 3.80 | ||||||||||||
Global Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,058.40 | 1.11 | % | $ | 5.73 | ||||||||
Class I Shares | 1,000.00 | 1,056.80 | 1.36 | 7.01 | ||||||||||||
Class Y Shares | 1,000.00 | 1,059.10 | 0.86 | 4.44 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,019.50 | 1.11 | % | $ | 5.62 | ||||||||
Class I Shares | 1,000.00 | 1,018.25 | 1.36 | 6.88 | ||||||||||||
Class Y Shares | 1,000.00 | 1,020.76 | 0.86 | 4.36 | ||||||||||||
Tax-Managed Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,045.10 | 1.00 | % | $ | 5.13 | ||||||||
Class Y Shares | 1,000.00 | 1,045.70 | 0.75 | 3.85 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,020.05 | 1.00 | % | $ | 5.06 | ||||||||
Class Y Shares | 1,000.00 | 1,021.31 | 0.75 | 3.80 | ||||||||||||
Tax-Managed International Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,098.90 | 1.11 | % | $ | 5.84 | ||||||||
Class Y Shares | 1,000.00 | 1,100.80 | 0.86 | 4.53 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,019.50 | 1.11 | % | $ | 5.62 | ||||||||
Class Y Shares | 1,000.00 | 1,020.76 | 0.86 | 4.36 | ||||||||||||
Real Estate Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,017.60 | 1.14 | % | $ | 5.77 | ||||||||
Class I Shares | 1,000.00 | 1,016.50 | 1.36 | 6.87 | ||||||||||||
Class Y Shares | 1,000.00 | 1,019.00 | 0.89 | 4.50 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,019.35 | 1.14 | % | $ | 5.77 | ||||||||
Class I Shares | 1,000.00 | 1,018.25 | 1.36 | 6.88 | ||||||||||||
Class Y Shares | 1,000.00 | 1,020.61 | 0.89 | 4.51 | ||||||||||||
Enhanced Income Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,014.20 | 0.60 | % | $ | 3.03 | ||||||||
Class I Shares | 1,000.00 | 1,011.70 | 0.85 | 4.29 | ||||||||||||
Class Y Shares | 1,000.00 | 1,013.60 | 0.46 | 2.32 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,022.06 | 0.60 | % | $ | 3.04 | ||||||||
Class I Shares | 1,000.00 | 1,020.81 | 0.85 | 4.31 | ||||||||||||
Class Y Shares | 1,000.00 | 1,022.76 | 0.46 | 2.33 |
416 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Beginning Account Value 4/1/17 | Ending Account Value 9/30/17 | Annualized Expense Ratios | Expenses Paid During Period * | |||||||||||||
Core Fixed Income Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,027.10 | 0.67 | % | $ | 3.40 | ||||||||
Class I Shares | 1,000.00 | 1,025.10 | 0.89 | 4.52 | ||||||||||||
Class Y Shares | 1,000.00 | 1,027.50 | 0.42 | 2.13 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,021.71 | 0.67 | % | $ | 3.40 | ||||||||
Class I Shares | 1,000.00 | 1,020.61 | 0.89 | 4.51 | ||||||||||||
Class Y Shares | 1,000.00 | 1,022.96 | 0.42 | 2.13 | ||||||||||||
U.S. Fixed Income Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,021.90 | 0.66 | % | $ | 3.35 | ||||||||
Class Y Shares | 1,000.00 | 1,023.10 | 0.41 | 2.08 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,021.76 | 0.66 | % | $ | 3.35 | ||||||||
Class Y Shares | 1,000.00 | 1,023.01 | 0.41 | 2.08 | ||||||||||||
High Yield Bond Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,041.00 | 0.90 | % | $ | 4.60 | ||||||||
Class I Shares | 1,000.00 | 1,038.80 | 1.12 | 5.72 | ||||||||||||
Class Y Shares | 1,000.00 | 1,042.30 | 0.65 | 3.33 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,020.56 | 0.90 | % | $ | 4.56 | ||||||||
Class I Shares | 1,000.00 | 1,019.45 | 1.12 | 5.67 | ||||||||||||
Class Y Shares | 1,000.00 | 1,021.81 | 0.65 | 3.29 | ||||||||||||
Conservative Income Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,005.10 | 0.30 | % | $ | 1.51 | ||||||||
Class Y Shares | 1,000.00 | 1,005.70 | 0.20 | 1.01 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,023.56 | 0.30 | % | $ | 1.52 | ||||||||
Class Y Shares | 1,000.00 | 1,024.07 | 0.20 | 1.01 | ||||||||||||
Tax-Free Conservative Income Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,002.80 | 0.30 | % | $ | 1.51 | ||||||||
Class Y Shares | 1,000.00 | 1,003.30 | 0.20 | 1.00 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,023.56 | 0.30 | % | $ | 1.52 | ||||||||
Class Y Shares | 1,000.00 | 1,024.07 | 0.20 | 1.01 | ||||||||||||
Real Return Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 997.30 | 0.45 | % | $ | 2.25 | ||||||||
Class Y Shares | 1,000.00 | 998.10 | 0.35 | 1.75 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,022.81 | 0.45 | % | $ | 2.28 | ||||||||
Class Y Shares | 1,000.00 | 1,023.31 | 0.35 | 1.78 | ||||||||||||
Dynamic Asset Allocation Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,069.80 | 0.75 | % | $ | 3.89 | ||||||||
Class Y Shares | 1,000.00 | 1,070.70 | 0.50 | 2.60 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,021.31 | 0.75 | % | $ | 3.80 | ||||||||
Class Y Shares | 1,000.00 | 1,022.56 | 0.50 | 2.54 |
Beginning Account Value 4/1/17 | Ending Account Value 9/30/17 | Annualized Expense Ratios | Expenses Paid During Period * | |||||||||||||
Multi-Strategy Alternative Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,025.40 | 1.22 | % | $ | 6.19 | ||||||||
Class Y Shares | 1,000.00 | 1,026.40 | 0.96 | 4.88 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,018.95 | 1.22 | % | $ | 6.17 | ||||||||
Class Y Shares | 1,000.00 | 1,020.26 | 0.96 | 4.86 | ||||||||||||
Multi-Asset Accumulation Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,042.70 | 1.17 | % | $ | 5.99 | ||||||||
Class Y Shares | 1,000.00 | 1,044.70 | 0.92 | 4.72 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,019.20 | 1.17 | % | $ | 5.92 | ||||||||
Class Y Shares | 1,000.00 | 1,020.46 | 0.92 | 4.66 | ||||||||||||
Multi-Asset Income Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,032.70 | 0.80 | % | $ | 4.08 | ||||||||
Class Y Shares | 1,000.00 | 1,033.20 | 0.70 | 3.57 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,021.06 | 0.80 | % | $ | 4.05 | ||||||||
Class Y Shares | 1,000.00 | 1,021.56 | 0.70 | 3.55 | ||||||||||||
Multi-Asset Inflation Managed Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 990.70 | 1.16 | % | $ | 5.79 | ||||||||
Class Y Shares | 1,000.00 | 991.90 | 0.90 | 4.49 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,019.25 | 1.16 | % | $ | 5.87 | ||||||||
Class Y Shares | 1,000.00 | 1,020.56 | 0.90 | 4.56 | ||||||||||||
Multi-Asset Capital Stability Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,014.90 | 0.62 | % | $ | 3.13 | ||||||||
Class Y Shares | 1,000.00 | 1,014.80 | 0.52 | 2.63 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,021.96 | 0.62 | % | $ | 3.14 | ||||||||
Class Y Shares | 1,000.00 | 1,022.46 | 0.52 | 2.64 | ||||||||||||
Long/Short Alternative Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,043.10 | 1.15 | % | $ | 5.89 | ||||||||
Class Y Shares | 1,000.00 | 1,043.90 | 0.90 | 4.61 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class F Shares† | $ | 1,000.00 | $ | 1,019.30 | 1.15 | % | $ | 5.82 | ||||||||
Class Y Shares | 1,000.00 | 1,020.56 | 0.90 | 4.56 |
* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period shown).
† See Note 1 in Notes to Financial Statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 417 |
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Board of Trustees 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 indexes.
At the March 27–29, 2017 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 meetings of the Board held during the course of the Trust’s fiscal year on December 5–7, 2016, March 27–29, 2017, June 26–28, 2017 and September 11–13, 2017. In each case, the Board’s approval (or renewal) was based on
420 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
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 the 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 indexes/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 that 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, and 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 indexes/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 asset levels, actual management fees, and actual total expenses (including, solely 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 its distribution channels. In determining the appropriateness of fees, the Board also took into consideration the impact of fees incurred indirectly by the Funds as a result of investments into underlying funds, including funds from which SIMC or its affiliates earn fees. The Board also took into consideration compensation earned from the Funds by SIMC or its affiliates for non-advisory services, such as administration, transfer agency, shareholder services or brokerage, and considered whether SIMC and its affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements. When considering fees paid to Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC and not by the Funds directly, and that such compensation with respect to any unaffiliated Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements. The Board also considered whether the Sub-Advisers and their affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 421 |
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Concluded)
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 its 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.
422 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Notice to Shareholders (Unaudited)
For shareholders who do not have a September 30, 2017, taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2017, taxable year end, please consult your tax adviser as to the pertinence of this notice.
For the fiscal year ended September 30, 2017, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:
(A) Return of Capital (Tax Basis) | (B) Long Term Capital Gains Distributions (Tax Basis) | (C) Ordinary Income Distributions (Tax Basis) | (D) Tax-Exempt Income Distribution (Tax Basis) | Total Distributions (Tax Basis) | (E) Dividends Qualifying for Corporate Dividends Rec. Deduction (1) | |||||||||||
Large Cap Fund | 0.00% | 0.00% | 100.00% | 0.00% | 100.00% | 100.00% | ||||||||||
Large Cap Value Fund | 0.00% | 0.00% | 100.00% | 0.00% | 100.00% | 100.00% | ||||||||||
Large Cap Growth Fund | 0.00% | 0.00% | 100.00% | 0.00% | 100.00% | 100.00% | ||||||||||
Tax-Managed Large Cap Fund | 0.00% | 0.00% | 100.00% | 0.00% | 100.00% | 100.00% | ||||||||||
S&P 500 Index Fund | 0.00% | 59.92% | 40.08% | 0.00% | 100.00% | 96.40% | ||||||||||
Small Cap Fund | 0.00% | 0.00% | 100.00% | 0.00% | 100.00% | 84.27% | ||||||||||
Small Cap Value Fund | 0.00% | 0.00% | 100.00% | 0.00% | 100.00% | 93.89% | ||||||||||
Small Cap Growth Fund | 0.00% | 0.00% | 100.00% | 0.00% | 100.00% | 0.00% | ||||||||||
Tax-Managed Small/Mid Cap Fund | 0.00% | 17.74% | 82.26% | 0.00% | 100.00% | 100.00% | ||||||||||
Mid-Cap Fund | 0.00% | 26.02% | 73.98% | 0.00% | 100.00% | 31.70% | ||||||||||
U.S. Managed Volatility Fund | 0.00% | 64.48% | 35.52% | 0.00% | 100.00% | 78.17% | ||||||||||
Global Managed Volatility Fund | 0.00% | 55.72% | 44.28% | 0.00% | 100.00% | 49.65% | ||||||||||
Tax-Managed Managed Volatility Fund | 0.00% | 61.45% | 38.55% | 0.00% | 100.00% | 100.00% | ||||||||||
Tax-Managed International Managed Volatility Fund | 0.00% | 3.01% | 96.99% | 0.00% | 100.00% | 0.70% | ||||||||||
Real Estate Fund | 0.00% | 44.02% | 24.11% | 0.00% | 68.13% | 0.00% | ||||||||||
Enhanced Income Fund | 0.00% | 0.00% | 100.00% | 0.00% | 100.00% | 0.00% | ||||||||||
Core Fixed Income Fund | 0.00% | 8.90% | 91.10% | 0.00% | 100.00% | 0.00% | ||||||||||
U.S. Fixed Income Fund | 0.00% | 4.50% | 95.50% | 0.00% | 100.00% | 0.00% | ||||||||||
High Yield Bond Fund | 0.00% | 0.00% | 100.00% | 0.00% | 100.00% | 0.00% | ||||||||||
Conservative Income Fund | 0.00% | 0.00% | 100.00% | 0.00% | 100.00% | 0.00% | ||||||||||
Tax-Free Conservative Income Fund | 0.00% | 0.00% | 0.09% | 99.91% | 100.00% | 0.00% | ||||||||||
Real Return Fund | 13.13% | 0.00% | 86.87% | 0.00% | 100.00% | 0.00% | ||||||||||
Dynamic Asset Allocation Fund | 0.00% | 0.00% | 100.00% | 0.00% | 100.00% | 68.16% | ||||||||||
Multi-Strategy Alternative Fund | 0.00% | 0.00% | 100.00% | 0.00% | 100.00% | 1.69% | ||||||||||
Multi-Asset Accumulation Fund | 0.00% | 37.06% | 62.94% | 0.00% | 100.00% | 2.13% | ||||||||||
Multi-Asset Income Fund | 0.00% | 0.00% | 100.00% | 0.00% | 100.00% | 4.59% | ||||||||||
Multi-Asset Inflation Managed Fund | 0.00% | 0.00% | 100.00% | 0.00% | 100.00% | 43.68% | ||||||||||
Multi-Asset Capital Stability Fund | 0.00% | 32.18% | 67.82% | 0.00% | 100.00% | 7.12% | ||||||||||
Long/Short Alternative Fund | 0.00% | 0.00% | 100.00% | 0.00% | 100.00% | 0.00% |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 423 |
Notice to Shareholders (Unaudited) (Concluded)
(F) Qualifying Dividend Income (15% Tax Rate for QDI) (2) | U.S. Government Interest (3) | Interest Related Dividends (4) | Short-Term Capital Gain Dividends (5) | |||||||
Large Cap Fund | 100.00% | 0.00% | 0.00% | 0.00% | ||||||
Large Cap Value Fund | 100.00% | 0.00% | 0.00% | 0.00% | ||||||
Large Cap Growth Fund | 100.00% | 0.00% | 0.01% | 0.00% | ||||||
Tax-Managed Large Cap Fund | 100.00% | 0.00% | 0.00% | 0.00% | ||||||
S&P 500 Index Fund | 97.70% | 0.03% | 0.03% | 100.00% | ||||||
Small Cap Fund | 86.96% | 0.01% | 0.03% | 100.00% | ||||||
Small Cap Value Fund | 100.00% | 0.00% | 0.01% | 0.00% | ||||||
Small Cap Growth Fund | 0.00% | 0.00% | 0.00% | 0.00% | ||||||
Tax-Managed Small/Mid Cap Fund | 100.00% | 0.00% | 0.01% | 0.00% | ||||||
Mid-Cap Fund | 32.08% | 0.00% | 0.02% | 100.00% | ||||||
U.S. Managed Volatility Fund | 82.22% | 0.00% | 0.00% | 0.00% | ||||||
Global Managed Volatility Fund | 100.00% | 0.00% | 0.02% | 100.00% | ||||||
Tax-Managed Managed Volatility Fund | 100.00% | 0.00% | 0.00% | 0.00% | ||||||
Tax-Managed International Managed Volatility Fund | 88.48% | 0.00% | 0.00% | 100.00% | ||||||
Real Estate Fund | 0.00% | 0.00% | 0.00% | 0.00% | ||||||
Enhanced Income Fund | 0.00% | 0.49% | 0.00% | 0.00% | ||||||
Core Fixed Income Fund | 0.00% | 12.01% | 86.51% | 100.00% | ||||||
U.S. Fixed Income Fund | 0.00% | 15.30% | 62.91% | 100.00% | ||||||
High Yield Bond Fund | 0.00% | 0.00% | 82.89% | 0.00% | ||||||
Conservative Income Fund | 0.00% | 0.07% | 99.30% | 100.00% | ||||||
Tax-Free Conservative Income Fund | 0.00% | 0.00% | 0.00% | 0.00% | ||||||
Real Return Fund | 0.00% | 94.02% | 0.00% | 0.00% | ||||||
Dynamic Asset Allocation Fund | 69.27% | 0.00% | 0.15% | 0.00% | ||||||
Multi-Strategy Alternative Fund | 14.40% | 0.00% | 0.00% | 100.00% | ||||||
Multi-Asset Accumulation Fund | 5.11% | 7.30% | 2.04% | 100.00% | ||||||
Multi-Asset Income Fund | 4.63% | 0.38% | 81.12% | 0.00% | ||||||
Multi-Asset Inflation Managed Fund | 52.55% | 37.06% | 11.61% | 0.00% | ||||||
Multi-Asset Capital Stability Fund | 7.50% | 75.04% | 11.70% | 100.00% | ||||||
Long/Short Alternative Fund | 0.00% | 0.00% | 0.00% | 0.00% |
(1) | Qualifying dividends represent dividends which qualify for the corporate dividends received deduction. |
(2) | The percentage in this column represents the amount of “Qualifying Dividend Income” is reflected as a percentage of “Ordinary Income Distributions.” It is the intention of each of the aforementioned funds to designate the maximum amount permitted by the law. The information reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2017. Complete information will be computed and reported in conjunction with your 2017 Form 1099-DIV. |
(3) | “U.S. Government Interest” represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders of the SEI Institutional Trust, who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income. |
(4) | The percentage in this column represents the amount of “Interest Related Dividend” is reflected as a percentage of ordinary income distribution. Interest related dividends are exempted from U.S. withholding tax when paid to foreign investors. |
(5) | The percentage of this column represents the amount of “Short Term Capital Gain Dividend” is reflected as a percentage of short term capital gain distribution that is exempted from U.S. withholding tax when paid to foreign investors. |
Items (A) and (B) are based on the percentage of each Fund’s total distribution.
Items (C), (D) and (E) are based on the percentage of ordinary income distributions of each Fund. Item (F) is based on the percentage of gross income of each Fund.
Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records.
424 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017
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
James J. Hoffmayer
Controller and Chief Financial Officer
Glenn Kurdziel
Assistant Controller
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)
1 Freedom Valley Drive, P.O. Box 1100, Oaks, PA 19456
SEI-F-087 (9/17)
Item 2. Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.
Item 3. Audit Committee Financial Expert.
(a) (1) The Registrant’s Board of Trustees has determined that the Registrant has three audit committee financial experts serving on its audit committee.
(a) (2) The audit committee financial experts are Susan C. Cote, George J. Sullivan, Jr. and Hubert L. Harris, Jr. Ms. Cote and Messrs. Sullivan and Harris are independent as defined in Form N-CSR Item 3 (a) (2).
Item 4. Principal Accountant Fees and Services.
Fees billed by KPMG LLP (“KPMG”) related to the Registrant.
KPMG billed the Registrant aggregate fees for services rendered to the Registrant for the fiscal years 2016 and 2015 as follows:
Fiscal 2017
| Fiscal 2016
| |||||||||||||
All fees and services to the Registrant that were pre- approved | All fees and services to service were pre- approved | All other fees and services to service affiliates that did not require pre- approval | All fees and services to the Registrant that were pre- approved | All fees and services to service affiliates that were pre- approved | All other fees and services to service affiliates that did not require pre- approval | |||||||||
(a) | Audit Fees (1)
| $970,875 | $0 | N/A | $868,000 | $0 | N/A | |||||||
(b) | Audit-Related Fees | $0 | $0 | $0 | $0 | $0 | $0 | |||||||
(c) | Tax Fees
| $0 | $0 | $0 | $0 | $0 | $0 | |||||||
(d) | All Other Fees (2) | $0 | $356,074 | $0 | $0 | $325,515 | $0 |
Notes:
(1) | Audit fees include amounts related to the audit of the Registrant’s annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. |
(2) | See Item 4(g) for a description of the services comprising the fees disclosed under this category. |
(e)(1) The Registrant’s Audit Committee has adopted and the Board of Trustees has ratified an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures
and the conditions pursuant to which services proposed to be performed by the independent auditor of the Registrant may be pre-approved. In any instance where services require pre-approval, the Audit Committee will consider whether such services are consistent with SEC rules on auditor independence and whether the provision of such services would compromise the auditor’s independence.
The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant’s Chief Financial Officer (“CFO”) and must include a detailed description of the services proposed to be rendered. The CFO will determine whether such services: (1) require specific pre-approval; (2) are included within the list of services that have received the general pre-approval of the Audit Committee pursuant to the Policy; or (3) have been previously pre-approved in connection with the independent auditor’s annual engagement letter for the applicable year or otherwise.
Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee has delegated specific pre-approval authority to either the Audit Committee Chair or financial experts, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the Audit Committee at its next regularly scheduled meeting.
Services that have received the general pre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a maximum fee per engagement with respect to each identified service that has received general pre-approval. The Audit Committee will annually review and pre-approve the services that may be provided by the independent auditor during the following twelve months without obtaining specific pre-approval from the Audit Committee.
The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor.
All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees (or the manner of their determination) to be paid to the independent auditor for those services.
In addition, the Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor’s independence from the Registrant, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, and discussing with the independent auditor its methods and procedures for ensuring independence.
(e)(2) Percentage of fees billed pursuant to waiver of pre-approval requirement were as follows:
Fiscal 2017 | Fiscal 2016 | |||
Audit-Related Fees
| 0%
| 0%
| ||
Tax Fees
| 0%
| 0%
| ||
All Other Fees
| 0%
| 0%
|
(f) Not Applicable.
(g)(1) The aggregate non-audit fees billed by KPMG for the fiscal years 2017 and 2016 were $356,074 and $325,515, respectively. Non-audit fees consist of SSAE No. 16 review of fund accounting and administration operations, and an attestation report in accordance with Rule 17 Ad-13.
(h) During the past fiscal year, Registrant’s principal accountant provided certain non-audit services to Registrant’s investment adviser or to entities controlling, controlled by, or under common control with Registrant’s investment adviser that provide ongoing services to Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The Audit Committee of Registrant’s Board of Trustees reviewed and considered these non-audit services provided by Registrant’s principal accountant to Registrant’s affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments
The Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small/Mid Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, Tax-Managed Managed Volatility Fund, Tax-Managed International Managed Volatility Fund and Dynamic Asset Allocation Fund are listed below. The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Real Estate Fund, Enhanced Income Fund, Core Fixed Income Fund, U.S. Fixed Income Fund, High Yield Bond Fund, Conservative Income Fund, Tax-Free Conservative Income 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
September 30, 2017
Large Cap Fund
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.1% | ||||||||
Consumer Discretionary — 13.2% |
| |||||||
Amazon.com, Cl A * | 21,914 | $ | 21,067 | |||||
Autozone * | 23,721 | 14,117 | ||||||
Best Buy | 100,658 | 5,733 | ||||||
Delphi Automotive | 36,555 | 3,597 | ||||||
Dollar General | 434,146 | 35,188 | ||||||
Domino’s Pizza | 12,312 | 2,445 | ||||||
DR Horton | 314,296 | 12,550 | ||||||
General Motors | 472,051 | 19,061 | ||||||
Goodyear Tire & Rubber | 69,218 | 2,301 | ||||||
Home Depot | 118,932 | 19,453 | ||||||
Interpublic Group | 209,379 | 4,353 | ||||||
Kohl’s | 56,065 | 2,559 | ||||||
Lear | 48,661 | 8,422 | ||||||
Liberty Global, Cl A * | 24,310 | 824 | ||||||
Liberty Global, Cl C * | 123,930 | 4,053 | ||||||
Liberty Interactive QVC Group, Cl A * | 243,517 | 5,740 | ||||||
Lowe’s | 511,300 | 40,873 | ||||||
Macy’s | 102,099 | 2,228 | ||||||
NetFlix * | 40,511 | 7,347 | ||||||
Nike, Cl B | 376,866 | 19,540 | ||||||
NVR * | 987 | 2,818 | ||||||
Omnicom Group | 204,096 | 15,117 | ||||||
Priceline Group * | 3,416 | 6,254 | ||||||
Ross Stores | 182,394 | 11,777 | ||||||
Royal Caribbean Cruises | 38,810 | 4,601 | ||||||
Target, Cl A | 42,045 | 2,481 | ||||||
Tiffany | 87,587 | 8,039 | ||||||
TJX | 389,684 | 28,731 | ||||||
Tractor Supply | 204,481 | 12,942 | ||||||
TripAdvisor *(A) | 89,371 | 3,622 | ||||||
Ulta Beauty * | 10,693 | 2,417 | ||||||
Whirlpool | 12,644 | 2,332 | ||||||
332,582 | ||||||||
Consumer Staples — 8.3% | ||||||||
Archer-Daniels-Midland | 67,157 | 2,855 | ||||||
Church & Dwight | 56,652 | 2,745 | ||||||
Colgate-Palmolive | 266,300 | 19,400 | ||||||
Constellation Brands, Cl A | 90,979 | 18,146 | ||||||
CVS Health | 444,177 | 36,120 | ||||||
Ingredion | 77,791 | 9,385 | ||||||
JM Smucker | 256,553 | 26,920 | ||||||
Kimberly-Clark | 56,053 | 6,596 | ||||||
Kroger | 742,980 | 14,904 | ||||||
PepsiCo | 151,620 | 16,895 | ||||||
Philip Morris International | 206,045 | 22,873 | ||||||
Procter & Gamble | 85,483 | 7,777 | ||||||
Sysco, Cl A | 54,408 | 2,935 | ||||||
Tyson Foods, Cl A | 116,375 | 8,199 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Wal-Mart Stores | 173,420 | $ | 13,551 | |||||
209,301 | ||||||||
Energy — 4.6% | ||||||||
Anadarko Petroleum, Cl A | 43,529 | 2,126 | ||||||
Andeavor | 49,764 | 5,133 | ||||||
BP ADR | 139,352 | 5,355 | ||||||
Canadian Natural Resources | 88,359 | 2,959 | ||||||
Chevron | 169,088 | 19,868 | ||||||
Devon Energy | 192,109 | 7,052 | ||||||
Helmerich & Payne (A) | 64,662 | 3,370 | ||||||
Kinder Morgan | 227,343 | 4,361 | ||||||
Marathon Petroleum | 152,611 | 8,559 | ||||||
Occidental Petroleum | 251,909 | 16,175 | ||||||
Oceaneering International, Cl A | 103,840 | 2,728 | ||||||
Oneok | 40,932 | 2,268 | ||||||
PBF Energy, Cl A (A) | 167,336 | 4,620 | ||||||
Pioneer Natural Resources | 13,212 | 1,949 | ||||||
Range Resources | 220,117 | 4,308 | ||||||
Royal Dutch Shell ADR, Cl A | 161,764 | 9,800 | ||||||
Valero Energy | 174,161 | 13,398 | ||||||
114,029 | ||||||||
Financials — 16.2% | ||||||||
Aflac | 283,786 | 23,097 | ||||||
Allstate | 159,202 | 14,632 | ||||||
Ally Financial | 104,642 | 2,539 | ||||||
Ameriprise Financial | 17,316 | 2,572 | ||||||
Bank of America | 746,855 | 18,925 | ||||||
Berkshire Hathaway, Cl B * | 19,585 | 3,590 | ||||||
Brighthouse Financial * | 15,663 | 952 | ||||||
Capital One Financial | 28,281 | 2,394 | ||||||
Charles Schwab | 55,562 | 2,430 | ||||||
Citigroup | 277,690 | 20,199 | ||||||
Citizens Financial Group | 96,253 | 3,645 | ||||||
CME Group | 90,978 | 12,344 | ||||||
Discover Financial Services | 154,517 | 9,963 | ||||||
Everest Re Group | 35,482 | 8,104 | ||||||
Factset Research Systems | 81,060 | 14,600 | ||||||
Fifth Third Bancorp | 198,366 | 5,550 | ||||||
First Republic Bank | 22,487 | 2,349 | ||||||
Franklin Resources | 54,058 | 2,406 | ||||||
Goldman Sachs Group | 12,777 | 3,031 | ||||||
Intercontinental Exchange | 46,381 | 3,186 | ||||||
JPMorgan Chase | 201,687 | 19,263 | ||||||
KKR (B) | 124,484 | 2,531 | ||||||
Lincoln National | 96,459 | 7,088 | ||||||
Marsh & McLennan | 174,954 | 14,663 | ||||||
MetLife | 127,548 | 6,626 | ||||||
Moody’s | 258,578 | 35,997 | ||||||
MSCI, Cl A | 177,080 | 20,701 | ||||||
Popular | 66,179 | 2,378 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 1 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Large Cap Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Principal Financial Group, Cl A | 34,556 | $ | 2,223 | |||||
Prudential Financial | 126,182 | 13,416 | ||||||
Regions Financial | 503,756 | 7,672 | ||||||
Reinsurance Group of America, Cl A | 20,296 | 2,832 | ||||||
S&P Global | 52,569 | 8,217 | ||||||
Santander Consumer USA Holdings * | 179,439 | 2,758 | ||||||
State Street | 295,256 | 28,209 | ||||||
SVB Financial Group, Cl B * | 19,159 | 3,584 | ||||||
Synchrony Financial | 258,765 | 8,035 | ||||||
T. Rowe Price Group | 27,597 | 2,502 | ||||||
TD Ameritrade Holding | 49,235 | 2,403 | ||||||
Travelers | 120,998 | 14,825 | ||||||
US Bancorp | 332,777 | 17,833 | ||||||
Voya Financial | 234,838 | 9,368 | ||||||
Wells Fargo | 343,897 | 18,966 | ||||||
408,598 | ||||||||
Health Care — 16.5% | ||||||||
Abbott Laboratories | 330,021 | 17,610 | ||||||
Aetna, Cl A | 83,856 | 13,334 | ||||||
Alexion Pharmaceuticals * | 60,999 | 8,558 | ||||||
Allergan | 9,335 | 1,913 | ||||||
AmerisourceBergen, Cl A | 129,268 | 10,697 | ||||||
Amgen, Cl A | 168,167 | 31,355 | ||||||
Anthem | 25,705 | 4,881 | ||||||
Becton Dickinson | 244,078 | 47,827 | ||||||
Biogen* | 82,480 | 25,826 | ||||||
Celgene, Cl A * | 91,403 | 13,328 | ||||||
Centene* | 87,379 | 8,456 | ||||||
Express Scripts Holding * | 37,386 | 2,367 | ||||||
Gilead Sciences | 181,757 | 14,726 | ||||||
HCA Healthcare * | 105,452 | 8,393 | ||||||
Horizon Pharma* | 147,753 | 1,873 | ||||||
Illumina* | 10,947 | 2,181 | ||||||
Johnson & Johnson | 405,060 | 52,662 | ||||||
Merck | 328,657 | 21,044 | ||||||
Mettler Toledo International * | 47,321 | 29,631 | ||||||
Mylan* | 69,696 | 2,186 | ||||||
Pfizer | 171,796 | 6,133 | ||||||
Quintiles IMS Holdings * | 26,384 | 2,508 | ||||||
UnitedHealth Group | 356,899 | 69,899 | ||||||
Varian Medical Systems * | 135,749 | 13,583 | ||||||
Vertex Pharmaceuticals * | 17,463 | 2,655 | ||||||
Zoetis, Cl A | 39,262 | 2,503 | ||||||
416,129 | ||||||||
Industrials — 9.4% | ||||||||
3M | 183,684 | 38,555 | ||||||
Acuity Brands | 23,828 | 4,081 | ||||||
AECOM*(A) | 162,092 | 5,967 | ||||||
Alaska Air Group | 37,255 | 2,841 | ||||||
Boeing | 29,493 | 7,497 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Cummins | 54,006 | $ | 9,075 | |||||
Delta Air Lines, Cl A | 307,382 | 14,822 | ||||||
Equifax | 46,792 | 4,959 | ||||||
FedEx | 17,802 | 4,016 | ||||||
Graco | 165,305 | 20,447 | ||||||
Huntington Ingalls Industries, Cl A | 22,463 | 5,087 | ||||||
Illinois Tool Works | 204,357 | 30,237 | ||||||
ManpowerGroup | 25,000 | 2,945 | ||||||
Middleby* | 132,095 | 16,931 | ||||||
Nielsen Holdings | 58,175 | 2,411 | ||||||
Oshkosh Truck | 36,834 | 3,040 | ||||||
Owens Corning | 54,953 | 4,251 | ||||||
Roper Technologies | 9,819 | 2,390 | ||||||
Southwest Airlines, Cl A | 40,250 | 2,253 | ||||||
Spirit AeroSystems Holdings, Cl A | 73,639 | 5,723 | ||||||
Stanley Black & Decker | 44,496 | 6,718 | ||||||
TransDigm Group (A) | 12,665 | 3,238 | ||||||
United Continental Holdings * | 108,375 | 6,598 | ||||||
United Rentals * | 20,742 | 2,878 | ||||||
United Technologies | 125,021 | 14,512 | ||||||
WW Grainger (A) | 81,318 | 14,617 | ||||||
236,089 | ||||||||
Information Technology — 18.7% |
| |||||||
Activision Blizzard | 190,639 | 12,298 | ||||||
Alibaba Group Holding ADR * | 13,693 | 2,365 | ||||||
Alliance Data Systems | 8,787 | 1,947 | ||||||
Alphabet, Cl A * | 26,718 | 26,016 | ||||||
Alphabet, Cl C * | 10,762 | 10,322 | ||||||
Amdocs | 67,840 | 4,363 | ||||||
Analog Devices | 226,408 | 19,510 | ||||||
Apple | 102,380 | 15,779 | ||||||
Applied Materials | 319,888 | 16,663 | ||||||
Arrow Electronics, Cl A * | 30,127 | 2,423 | ||||||
ASML Holding, Cl G | 42,646 | 7,301 | ||||||
Autodesk, Cl A * | 48,566 | 5,452 | ||||||
Automatic Data Processing | 119,525 | 13,066 | ||||||
Broadcom | 11,289 | 2,738 | ||||||
CDW | 37,994 | 2,508 | ||||||
Cisco Systems | 256,720 | 8,633 | ||||||
Cognizant Technology Solutions, Cl A | 176,680 | 12,816 | ||||||
Corning, Cl B | 116,442 | 3,484 | ||||||
eBay* | 161,711 | 6,219 | ||||||
Electronic Arts * | 115,476 | 13,633 | ||||||
Facebook, Cl A * | 67,064 | 11,459 | ||||||
Finisar* | 104,248 | 2,311 | ||||||
Fiserv, Cl A * | 48,772 | 6,290 | ||||||
Global Payments | 28,135 | 2,674 | ||||||
HP | 520,145 | 10,382 | ||||||
Intel | 477,390 | 18,179 | ||||||
Intuit | 90,997 | 12,934 | ||||||
Jack Henry & Associates | 21,515 | 2,212 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Juniper Networks | 145,004 | $ | 4,035 | |||||
Lam Research | 40,438 | 7,483 | ||||||
Mastercard, Cl A | 293,258 | 41,408 | ||||||
MercadoLibre | 8,053 | 2,085 | ||||||
Microchip Technology (A) | 125,098 | 11,231 | ||||||
Micron Technology * | 144,376 | 5,678 | ||||||
Microsoft | 540,211 | 40,240 | ||||||
Motorola Solutions | 32,457 | 2,755 | ||||||
Nvidia | 37,581 | 6,718 | ||||||
Oracle, Cl B | 420,383 | 20,326 | ||||||
PayPal Holdings * | 214,569 | 13,739 | ||||||
Qualcomm | 96,230 | 4,989 | ||||||
Skyworks Solutions | 21,959 | 2,238 | ||||||
Symantec, Cl A | 137,107 | 4,498 | ||||||
Take-Two Interactive Software, Cl A * | 23,388 | 2,391 | ||||||
Tencent Holdings ADR | 160,877 | 7,065 | ||||||
Teradyne | 64,107 | 2,391 | ||||||
Texas Instruments | 114,594 | 10,272 | ||||||
Visa, Cl A | 220,943 | 23,252 | ||||||
Western Digital | 24,558 | 2,122 | ||||||
Zendesk* | 80,144 | 2,333 | ||||||
471,226 | ||||||||
Materials — 4.6% | ||||||||
Cabot | 42,794 | 2,388 | ||||||
Celanese, Cl A | 56,252 | 5,865 | ||||||
Cemex ADR * | 312,068 | 2,834 | ||||||
Crown Holdings * | 58,481 | 3,492 | ||||||
Eastman Chemical | 148,261 | 13,416 | ||||||
Ecolab | 72,045 | 9,266 | ||||||
Huntsman | 88,775 | 2,434 | ||||||
International Paper | 145,351 | 8,259 | ||||||
LyondellBasell Industries, Cl A | 148,123 | 14,672 | ||||||
Nucor | 69,710 | 3,907 | ||||||
Packaging Corp of America | 30,110 | 3,453 | ||||||
Praxair | 67,467 | 9,428 | ||||||
Sherwin-Williams, Cl A | 97,200 | 34,801 | ||||||
United States Steel | 87,840 | 2,254 | ||||||
116,469 | ||||||||
Real Estate — 1.1% | ||||||||
CBRE Group, Cl A * | 74,192 | 2,810 |
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Crown Castle International | 53,576 | $ | 5,357 | |||||
Equinix (A) | 18,892 | 8,432 | ||||||
HCP‡ | 102,451 | 2,851 | ||||||
Host Hotels & Resorts ‡ | 324,038 | 5,991 | ||||||
SBA Communications, Cl A *‡ | 16,931 | 2,439 | ||||||
27,880 | ||||||||
Telecommunication Services — 0.4% |
| |||||||
AT&T | 59,044 | 2,313 | ||||||
T-Mobile US * | 76,716 | 4,730 | ||||||
Zayo Group Holdings * | 65,265 | 2,246 | ||||||
9,289 | ||||||||
Utilities — 1.1% | ||||||||
Centerpoint Energy | 138,630 | 4,049 | ||||||
Exelon | 155,959 | 5,875 | ||||||
FirstEnergy | 331,568 | 10,222 | ||||||
Public Service Enterprise Group | 151,801 | 7,021 | ||||||
27,167 | ||||||||
Total Common Stock | 2,368,759 | |||||||
AFFILIATED PARTNERSHIP — 1.1% |
| |||||||
SEI Liquidity Fund, L.P. 1.110% **†(C) | 27,250,897 | 27,259 | ||||||
Total Affiliated Partnership | 27,259 | |||||||
CASH EQUIVALENT — 5.9% |
| |||||||
SEI Daily Income Trust, Government Fund, Cl F 0.840%**† | 149,182,956 | 149,183 | ||||||
Total Cash Equivalent | 149,183 | |||||||
Total Investments in Securities — 101.1% | $ | 2,545,201 | ||||||
|
|
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||
S&P 500 Index E-MINI | 93 | Dec-2017 | $11,444 | $11,700 | $256 | |||||||||||||||
S&P Mid Cap 400 Index E-MINI | 7 | Dec-2017 | 1,211 | 1,257 | 46 | |||||||||||||||
|
| |||||||||||||||||||
$12,655 | $12,957 | $302 | ||||||||||||||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 3 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Large Cap Fund (Concluded)
Percentages are based on Net Assets of $2,518,510 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017 was $26,596 ($ Thousands). |
(B) | Security is a Master Limited Partnership. At September 30, 2017, such securities amounted to $2,531 ($ Thousands), or 0.1% of the net assets of the Fund (see Note 2). |
(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 September 30, 2017 was $27,259 ($ Thousands). |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P— Standard & Poor’s
The following is a list of the level of inputs used as of September 30, 2017, 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 | $ | 2,368,759 | $ | – | $ | – | $ | 2,368,759 | ||||||||
Affiliated Partnership | – | 27,259 | – | 27,259 | ||||||||||||
Cash Equivalent | 149,183 | – | – | 149,183 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,517,942 | $ | 27,259 | $ | – | $ | 2,545,201 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 302 | $ | — | $ | — | $ | 302 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 302 | $ | — | $ | — | $ | 302 | ||||||||
|
|
|
|
|
|
|
|
* Futures contracts are valued at the unrealized appreciation on the instrument.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, there were no transfers between Level 2 and Level 3 assets and liabilities.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Liquidity Fund, L.P. | $ 261,551 | $ 253,106 | $ (487,406) | $ (2) | $ 10 | $ 27,259 | $ 407 | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 149,115 | 346,199 | (346,131) | — | — | 149,183 | 724 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Totals | $ 410,666 | $ 599,305 | $ (833,537) | $ (2) | $ 10 | $ 176,442 | $ 1,131 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 $0.
The accompanying notes are an integral part of the financial statements.
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Large Cap Value Fund
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.2% |
| |||||||
Consumer Discretionary — 9.0% |
| |||||||
Advance Auto Parts | 21,599 | $ | 2,143 | |||||
Best Buy | 74,184 | 4,226 | ||||||
Comcast, Cl A | 36,832 | 1,417 | ||||||
Discovery Communications, Cl A *(A) | 48,947 | 1,042 | ||||||
Dollar General | 239,968 | 19,449 | ||||||
DR Horton | 104,220 | 4,161 | ||||||
Foot Locker, Cl A | 28,323 | 998 | ||||||
Gap | 49,546 | 1,463 | ||||||
General Motors | 391,373 | 15,804 | ||||||
Goodyear Tire & Rubber | 199,993 | 6,650 | ||||||
H&R Block | 52,142 | 1,381 | ||||||
Hanesbrands (A) | 62,434 | 1,538 | ||||||
Harley-Davidson, Cl A (A) | 25,543 | 1,231 | ||||||
Kohl’s (A) | 88,476 | 4,039 | ||||||
Lear | 17,446 | 3,020 | ||||||
Lowe’s | 215,553 | 17,231 | ||||||
Macy’s | 80,513 | 1,757 | ||||||
Magna International, Cl A | 27,380 | 1,462 | ||||||
Norwegian Cruise Line Holdings * | 22,796 | 1,232 | ||||||
Omnicom Group | 196,869 | 14,582 | ||||||
PulteGroup | 59,449 | 1,625 | ||||||
Regal Entertainment Group, Cl A | 67,807 | 1,085 | ||||||
Ross Stores | 136,549 | 8,817 | ||||||
Target, Cl A | 26,771 | 1,580 | ||||||
TEGNA | 51,682 | 689 | ||||||
Twenty-First Century Fox, Cl A | 87,585 | 2,310 | ||||||
Viacom, Cl B | 39,882 | 1,110 | ||||||
Whirlpool | 7,165 | 1,321 | ||||||
Wyndham Worldwide | 12,931 | 1,363 | ||||||
124,726 | ||||||||
Consumer Staples — 9.0% |
| |||||||
Archer-Daniels-Midland | 57,847 | 2,459 | ||||||
Bunge | 21,452 | 1,490 | ||||||
CVS Health | 387,219 | 31,489 | ||||||
Ingredion | 52,497 | 6,333 | ||||||
JM Smucker | 226,190 | 23,734 | ||||||
Kroger | 720,240 | 14,448 | ||||||
Molson Coors Brewing, Cl B | 15,098 | 1,233 | ||||||
Philip Morris International | 168,397 | 18,694 | ||||||
Pilgrim’s Pride * | 83,326 | 2,367 | ||||||
Procter & Gamble | 103,495 | 9,416 | ||||||
Tyson Foods, Cl A | 84,212 | 5,933 | ||||||
Wal-Mart Stores | 94,132 | 7,355 | ||||||
124,951 | ||||||||
Energy — 9.2% |
| |||||||
Anadarko Petroleum, Cl A | 44,698 | 2,184 | ||||||
Andeavor | 41,796 | 4,311 | ||||||
BP ADR | 275,876 | 10,602 | ||||||
Canadian Natural Resources | 173,062 | 5,796 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Chevron | 179,230 | $ | 21,060 | |||||
ConocoPhillips | 67,279 | 3,367 | ||||||
Devon Energy | 191,131 | 7,016 | ||||||
ExxonMobil | 118,981 | 9,754 | ||||||
Helmerich & Payne (A) | 81,858 | 4,266 | ||||||
Kinder Morgan | 325,762 | 6,248 | ||||||
Marathon Petroleum | 123,542 | 6,928 | ||||||
Occidental Petroleum | 233,673 | 15,004 | ||||||
Oceaneering International, Cl A | 86,047 | 2,260 | ||||||
PBF Energy, Cl A (A) | 102,986 | 2,843 | ||||||
Range Resources | 229,125 | 4,484 | ||||||
Royal Dutch Shell ADR, Cl A | 155,127 | 9,398 | ||||||
Transocean*(A) | 120,225 | 1,294 | ||||||
Valero Energy | 133,676 | 10,284 | ||||||
127,099 | ||||||||
Financials — 22.5% |
| |||||||
Aflac | 282,472 | 22,990 | ||||||
Allstate | 104,248 | 9,581 | ||||||
Ally Financial | 244,445 | 5,930 | ||||||
Ameriprise Financial | 25,933 | 3,851 | ||||||
Assurant | 14,731 | 1,407 | ||||||
Athene Holding, Cl A * | 54,358 | 2,927 | ||||||
Bank of America | 938,088 | 23,771 | ||||||
Berkshire Hathaway, Cl B * | 27,398 | 5,023 | ||||||
Blackstone Group (B) | 128,322 | 4,282 | ||||||
BNP Paribas ADR | 36,287 | 1,467 | ||||||
Brighthouse Financial * | 20,694 | 1,258 | ||||||
Capital One Financial | 87,452 | 7,404 | ||||||
CIT Group | 27,607 | 1,354 | ||||||
Citigroup | 376,201 | 27,365 | ||||||
Citizens Financial Group | 37,819 | 1,432 | ||||||
Discover Financial Services | 141,677 | 9,135 | ||||||
Everest Re Group | 29,385 | 6,711 | ||||||
Fifth Third Bancorp | 172,505 | 4,827 | ||||||
Franklin Resources | 30,908 | 1,376 | ||||||
Goldman Sachs Group | 5,772 | 1,369 | ||||||
Hartford Financial Services Group | 25,138 | 1,393 | ||||||
JPMorgan Chase | 281,224 | 26,860 | ||||||
KeyCorp | 177,818 | 3,347 | ||||||
KKR (B) | 246,142 | 5,004 | ||||||
Lazard, Cl A | 27,717 | 1,253 | ||||||
Lincoln National | 26,136 | 1,920 | ||||||
Marsh & McLennan | 178,232 | 14,938 | ||||||
MetLife | 147,116 | 7,643 | ||||||
Morgan Stanley | 96,037 | 4,626 | ||||||
OneMain Holdings, Cl A * | 57,366 | 1,617 | ||||||
PNC Financial Services Group | 34,390 | 4,635 | ||||||
Popular | 97,680 | 3,511 | ||||||
Prudential Financial | 52,620 | 5,595 | ||||||
Radian Group | 119,316 | 2,230 | ||||||
Regions Financial | 354,668 | 5,402 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 5 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Large Cap Value Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Reinsurance Group of America, Cl A | 42,233 | $ | 5,893 | |||||
Santander Consumer USA Holdings * | 129,668 | 1,993 | ||||||
Starwood Property Trust ‡ | 48,514 | 1,054 | ||||||
State Street | 267,765 | 25,582 | ||||||
SunTrust Banks | 183,395 | 10,962 | ||||||
Synchrony Financial | 222,959 | 6,923 | ||||||
T. Rowe Price Group | 15,366 | 1,393 | ||||||
Travelers | 87,793 | 10,756 | ||||||
Unum Group | 89,383 | 4,570 | ||||||
Voya Financial | 199,967 | 7,977 | ||||||
Wells Fargo | 25,285 | 1,394 | ||||||
311,931 | ||||||||
Health Care – 15.4% | ||||||||
Abbott Laboratories | 380,086 | 20,281 | ||||||
AbbVie | 66,330 | 5,894 | ||||||
Aetna, Cl A | 59,309 | 9,431 | ||||||
AmerisourceBergen, Cl A | 118,509 | 9,807 | ||||||
Amgen, Cl A | 150,955 | 28,146 | ||||||
Anthem | 57,621 | 10,941 | ||||||
Becton Dickinson | 68,651 | 13,452 | ||||||
Biogen * | 14,495 | 4,539 | ||||||
Centene * | 67,039 | 6,487 | ||||||
Cigna | 14,574 | 2,724 | ||||||
Express Scripts Holding * | 51,777 | 3,279 | ||||||
Gilead Sciences | 91,320 | 7,399 | ||||||
HCA Healthcare * | 70,323 | 5,597 | ||||||
Horizon Pharma * | 114,780 | 1,455 | ||||||
Johnson & Johnson | 165,051 | 21,458 | ||||||
Mallinckrodt * | 54,920 | 2,052 | ||||||
Merck | 337,604 | 21,617 | ||||||
Mylan* | 118,377 | 3,713 | ||||||
Pfizer | 314,605 | 11,231 | ||||||
United Therapeutics * | 9,974 | 1,169 | ||||||
UnitedHealth Group | 86,850 | 17,010 | ||||||
Universal Health Services, Cl B | 11,595 | 1,286 | ||||||
Zimmer Biomet Holdings | 35,311 | 4,135 | ||||||
213,103 | ||||||||
Industrials – 9.2% | ||||||||
3M | 60,264 | 12,649 | ||||||
AECOM * | 189,268 | 6,967 | ||||||
AerCap Holdings * | 71,574 | 3,658 | ||||||
AGCO | 21,101 | 1,557 | ||||||
Alaska Air Group | 21,638 | 1,650 | ||||||
American Airlines Group | 171,193 | 8,130 | ||||||
Boeing | 10,922 | 2,777 | ||||||
Copa Holdings, Cl A | 10,103 | 1,258 | ||||||
Delta Air Lines, Cl A | 266,828 | 12,866 | ||||||
Eaton | 36,841 | 2,829 | ||||||
FedEx | 16,500 | 3,722 | ||||||
Illinois Tool Works | 110,335 | 16,325 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Ingersoll-Rand | 20,044 | $ | 1,787 | |||||
JetBlue Airways * | 65,925 | 1,222 | ||||||
L3 Technologies | 10,024 | 1,889 | ||||||
ManpowerGroup | 48,763 | 5,745 | ||||||
Oshkosh Truck | 38,255 | 3,158 | ||||||
Owens Corning | 54,642 | 4,227 | ||||||
Raytheon | 24,872 | 4,641 | ||||||
RR Donnelley & Sons | 26,621 | 274 | ||||||
Spirit AeroSystems Holdings, Cl A | 47,265 | 3,673 | ||||||
Textron | 26,701 | 1,439 | ||||||
Trinity Industries | 63,149 | 2,015 | ||||||
United Continental Holdings * | 90,316 | 5,498 | ||||||
USG* | 51,700 | 1,688 | ||||||
Waste Management | 16,762 | 1,312 | ||||||
WW Grainger (A) | 79,368 | 14,266 | ||||||
127,222 | ||||||||
Information Technology – 8.9% | ||||||||
Applied Materials | 64,414 | 3,355 | ||||||
Arrow Electronics, Cl A * | 17,248 | 1,387 | ||||||
Automatic Data Processing | 116,867 | 12,776 | ||||||
CA | 69,499 | 2,320 | ||||||
Cars.com *(A) | 17,227 | 458 | ||||||
Cisco Systems | 442,616 | 14,885 | ||||||
Corning, Cl B | 74,909 | 2,241 | ||||||
DXC Technology | 16,742 | 1,438 | ||||||
Finisar * | 120,440 | 2,670 | ||||||
First Data, Cl A * | 90,017 | 1,624 | ||||||
Hewlett Packard Enterprise | 103,535 | 1,523 | ||||||
HP | 357,287 | 7,131 | ||||||
Intel | 364,930 | 13,897 | ||||||
International Business Machines | 39,734 | 5,765 | ||||||
IPG Photonics * | 10,556 | 1,954 | ||||||
Jabil | 41,876 | 1,196 | ||||||
Juniper Networks | 107,185 | 2,983 | ||||||
Lam Research | 20,466 | 3,787 | ||||||
Micro Focus International ADR * | 14,218 | 454 | ||||||
Microchip Technology (A) | 145,954 | 13,104 | ||||||
Micron Technology * | 202,807 | 7,976 | ||||||
Qualcomm | 128,555 | 6,664 | ||||||
Seagate Technology (A) | 30,431 | 1,009 | ||||||
Skyworks Solutions | 38,807 | 3,954 | ||||||
Tech Data * | 13,545 | 1,203 | ||||||
Vishay Intertechnology (A) | 89,659 | 1,686 | ||||||
Western Digital | 34,183 | 2,953 | ||||||
Xerox | 80,527 | 2,681 | ||||||
123,074 | ||||||||
Materials – 3.7% | ||||||||
Cabot | 24,552 | 1,370 | ||||||
Cemex ADR * | 349,166 | 3,170 | ||||||
Crown Holdings * | 22,956 | 1,371 |
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Domtar | 33,526 | $ | 1,455 | |||||
Eastman Chemical | 120,517 | 10,906 | ||||||
Huntsman | 65,474 | 1,795 | ||||||
International Paper | 151,191 | 8,591 | ||||||
Louisiana-Pacific * | 57,932 | 1,569 | ||||||
LyondellBasell Industries, Cl A | 102,542 | 10,157 | ||||||
Owens-Illinois * | 77,722 | 1,956 | ||||||
Packaging Corp of America | 11,025 | 1,264 | ||||||
Reliance Steel & Aluminum | 64,709 | 4,929 | ||||||
Steel Dynamics | 39,205 | 1,351 | ||||||
United States Steel (A) | 76,714 | 1,968 | ||||||
51,852 | ||||||||
Real Estate – 2.1% |
| |||||||
Brixmor Property Group ‡ | 75,000 | 1,410 | ||||||
CBL & Associates Properties ‡(A) | 159,245 | 1,336 | ||||||
CBRE Group, Cl A * | 52,776 | 1,999 | ||||||
HCP‡ | 121,246 | 3,374 | ||||||
Hospitality Properties Trust ‡ | 203,838 | 5,807 | ||||||
Host Hotels & Resorts ‡ | 256,967 | 4,751 | ||||||
Howard Hughes * | 11,350 | 1,339 | ||||||
Jones Lang LaSalle | 10,415 | 1,286 | ||||||
Park Hotels & Resorts ‡ | 47,923 | 1,321 | ||||||
Realogy Holdings | 37,829 | 1,247 | ||||||
Senior Housing Properties Trust ‡ | 232,244 | 4,540 | ||||||
Two Harbors Investment ‡ | 132,679 | 1,338 | ||||||
29,748 | ||||||||
Telecommunication Services – 1.8% |
| |||||||
AT&T | 382,575 | 14,985 | ||||||
Level 3 Communications * | 50,216 | 2,676 | ||||||
T-Mobile US * | 50,385 | 3,107 | ||||||
Verizon Communications | 93,092 | 4,607 | ||||||
25,375 | ||||||||
Utilities – 3.4% | ||||||||
AES | 117,895 | 1,299 | ||||||
Ameren | 21,935 | 1,269 | ||||||
American Electric Power | 18,365 | 1,290 | ||||||
Calpine* | 106,720 | 1,574 | ||||||
Centerpoint Energy | 43,496 | 1,271 | ||||||
Consolidated Edison | 15,485 | 1,249 | ||||||
Edison International | 19,670 | 1,518 | ||||||
Entergy | 56,929 | 4,347 | ||||||
Exelon | 273,188 | 10,291 | ||||||
FirstEnergy | 235,778 | 7,269 | ||||||
Pinnacle West Capital | 14,666 | 1,240 | ||||||
Public Service Enterprise Group | 169,632 | 7,846 | ||||||
UGI | 89,503 | 4,194 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Vistra Energy | 121,525 | $ | 2,271 | |||||
46,928 | ||||||||
Total Common Stock | 1,306,009 | |||||||
AFFILIATED PARTNERSHIP – 2.2% |
| |||||||
SEI Liquidity Fund, L.P. 1.110% **†(C) | 30,530,593 | 30,531 | ||||||
Total Affiliated Partnership | 30,531 | |||||||
CASH EQUIVALENT – 3.9% |
| |||||||
SEI Daily Income Trust, Government Fund, Cl F 0.840%**† | 54,156,796 | 54,157 | ||||||
Total Cash Equivalent | 54,157 | |||||||
Total Investments in Securities – 100.3% | $ | 1,390,697 | ||||||
|
|
|
Percentages are based on Net Assets of $1,386,098 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017 was $29,863 ($ Thousands). |
(B) | Security is a Master Limited Partnership. At September 30, 2017, such securities amounted to $9,286 ($ Thousands), or 0.67% of the net assets of the Fund (see Note 2). |
(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 September 30, 2017 was $30,531 ($ Thousands). |
ADR – American Depositary Receipt
Cl – Class
L.P. – Limited Partnership
The following is a list of the level of inputs used as of September 30, 2017, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,306,009 | $ | – | $ | – | $ | 1,306,009 | ||||||||
Affiliated Partnership | – | 30,531 | – | 30,531 | ||||||||||||
Cash Equivalent | 54,157 | – | – | 54,157 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities | $ | 1,360,166 | $ | 30,531 | $ | – | $ | 1,390,697 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, there were no transfers between Level 2 and Level 3 assets and liabilities.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 7 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Large Cap Value Fund (Concluded)
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Liquidity Fund, L.P. | $49,707 | $228,552 | $(247,727) | $(2) | $1 | $30,531 | $85 | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 47,204 | 323,633 | (316,680) | — | — | 54,157 | 336 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $96,911 | $552,185 | $(564,407) | $(2) | $1 | $84,688 | $421 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Large Cap Growth Fund
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK†† — 95.3% |
| |||||||
Consumer Discretionary — 15.9% |
| |||||||
Amazon.com, Cl A * | 38,954 | $ | 37,448 | |||||
Autozone * | 27,455 | 16,339 | ||||||
Delphi Automotive | 26,508 | 2,608 | ||||||
Dollar General | 98,194 | 7,959 | ||||||
Domino’s Pizza | 59,012 | 11,717 | ||||||
Home Depot | 71,150 | 11,637 | ||||||
Lear | 14,224 | 2,462 | ||||||
Liberty Global, Cl A * | 16,608 | 563 | ||||||
Liberty Global, Cl C * | 169,925 | 5,557 | ||||||
Liberty Interactive QVC Group, Cl A * | 330,671 | 7,794 | ||||||
Lowe’s | 213,743 | 17,087 | ||||||
Marriott International, Cl A | 14,045 | 1,549 | ||||||
NetFlix * | 58,711 | 10,647 | ||||||
Nike, Cl B | 414,317 | 21,482 | ||||||
NVR * | 540 | 1,542 | ||||||
Priceline Group * | 7,309 | 13,381 | ||||||
Ross Stores | 21,745 | 1,404 | ||||||
Tiffany | 94,312 | 8,656 | ||||||
TJX | 335,369 | 24,727 | ||||||
Tractor Supply | 213,880 | 13,536 | ||||||
TripAdvisor *(A) | 101,830 | 4,127 | ||||||
Ulta Beauty * | 55,295 | 12,500 | ||||||
Yum China Holdings * | 60,947 | 2,436 | ||||||
237,158 | ||||||||
Consumer Staples — 4.3% |
| |||||||
Colgate-Palmolive | 287,107 | 20,916 | ||||||
Constellation Brands, Cl A | 76,271 | 15,212 | ||||||
Dr Pepper Snapple Group | 35,000 | 3,096 | ||||||
PepsiCo | 197,826 | 22,044 | ||||||
Sysco, Cl A | 60,237 | 3,250 | ||||||
64,518 | ||||||||
Energy — 0.6% |
| |||||||
Halliburton | 80,713 | 3,715 | ||||||
Oneok | 26,630 | 1,476 | ||||||
Pioneer Natural Resources | 22,743 | 3,355 | ||||||
8,546 | ||||||||
Financials — 11.5% |
| |||||||
Berkshire Hathaway, Cl B * | 35,629 | 6,532 | ||||||
Charles Schwab | 119,424 | 5,224 | ||||||
Citigroup | 36,154 | 2,630 | ||||||
CME Group | 109,614 | 14,872 | ||||||
Factset Research Systems | 69,903 | 12,590 | ||||||
First Republic Bank | 97,867 | 10,223 | ||||||
Goldman Sachs Group | 10,493 | 2,489 | ||||||
Intercontinental Exchange | 88,882 | 6,106 | ||||||
Moody’s | 262,006 | 36,474 | ||||||
MSCI, Cl A | 186,831 | 21,841 | ||||||
Progressive | 31,125 | 1,507 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
S&P Global | 39,659 | $ | 6,199 | |||||
SVB Financial Group, Cl B * | 30,376 | 5,683 | ||||||
US Bancorp | 353,068 | 18,921 | ||||||
Wells Fargo | 353,024 | 19,469 | ||||||
170,760 | ||||||||
Health Care — 17.0% |
| |||||||
Alexion Pharmaceuticals * | 95,843 | 13,446 | ||||||
Align Technology * | 9,123 | 1,699 | ||||||
Allergan | 11,671 | 2,392 | ||||||
Becton Dickinson | 177,432 | 34,768 | ||||||
Biogen * | 65,831 | 20,613 | ||||||
Boston Scientific * | 286,242 | 8,350 | ||||||
Celgene, Cl A * | 114,597 | 16,710 | ||||||
Cigna | 8,341 | 1,559 | ||||||
DENTSPLY SIRONA | 35,779 | 2,140 | ||||||
Exelixis * | 53,681 | 1,301 | ||||||
Gilead Sciences | 32,065 | 2,598 | ||||||
Humana | 5,504 | 1,341 | ||||||
Illumina * | 20,126 | 4,009 | ||||||
Johnson & Johnson | 218,651 | 28,427 | ||||||
Mettler Toledo International * | 39,168 | 24,525 | ||||||
Quintiles IMS Holdings * | 93,644 | 8,903 | ||||||
Regeneron Pharmaceuticals * | 2,958 | 1,322 | ||||||
UnitedHealth Group | 274,030 | 53,669 | ||||||
Varian Medical Systems * | 134,467 | 13,455 | ||||||
Vertex Pharmaceuticals * | 24,916 | 3,789 | ||||||
WellCare Health Plans * | 13,234 | 2,273 | ||||||
Zoetis, Cl A | 103,517 | 6,600 | ||||||
253,889 | ||||||||
Industrials — 8.8% |
| |||||||
3M | 94,899 | 19,919 | ||||||
Acuity Brands (A) | 45,637 | 7,817 | ||||||
Alaska Air Group | 24,750 | 1,888 | ||||||
Allison Transmission Holdings | 39,084 | 1,467 | ||||||
Boeing | 25,893 | 6,582 | ||||||
Equifax | 90,599 | 9,602 | ||||||
FedEx | 26,747 | 6,034 | ||||||
Graco | 167,141 | 20,674 | ||||||
Huntington Ingalls Industries, Cl A | 7,115 | 1,611 | ||||||
Middleby * | 127,542 | 16,347 | ||||||
Nielsen Holdings | 104,105 | 4,315 | ||||||
Roper Technologies | 33,059 | 8,046 | ||||||
Southwest Airlines, Cl A | 49,808 | 2,788 | ||||||
TransDigm Group (A) | 26,512 | 6,778 | ||||||
United Rentals * | 15,316 | 2,125 | ||||||
United Technologies | 137,265 | 15,934 | ||||||
131,927 | ||||||||
Information Technology — 30.6% |
| |||||||
Activision Blizzard | 145,485 | 9,385 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 9 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Large Cap Growth Fund (Concluded)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Adobe Systems * | 110,614 | $ | 16,501 | |||||
Alibaba Group Holding ADR *(A) | 19,928 | 3,442 | ||||||
Alphabet, Cl A * | 32,381 | 31,530 | ||||||
Alphabet, Cl C * | 19,810 | 19,000 | ||||||
Analog Devices | 215,758 | 18,592 | ||||||
Apple | 140,050 | 21,585 | ||||||
Applied Materials | 92,618 | 4,824 | ||||||
ASML Holding, Cl G (A) | 78,012 | 13,356 | ||||||
Autodesk, Cl A * | 108,611 | 12,193 | ||||||
Broadcom | 31,425 | 7,622 | ||||||
CDW | 29,295 | 1,933 | ||||||
Cognex | 13,454 | 1,484 | ||||||
Coherent* | 5,383 | 1,266 | ||||||
eBay * | 166,326 | 6,397 | ||||||
Electronic Arts * | 104,886 | 12,383 | ||||||
F5 Networks, Cl A * | 10,872 | 1,311 | ||||||
Facebook, Cl A * | 164,949 | 28,185 | ||||||
Fiserv, Cl A * | 11,655 | 1,503 | ||||||
Global Payments | 48,164 | 4,577 | ||||||
Intuit | 63,707 | 9,055 | ||||||
KLA-Tencor | 13,883 | 1,472 | ||||||
Mastercard, Cl A | 272,991 | 38,546 | ||||||
MercadoLibre | 12,111 | 3,136 | ||||||
Microsoft | 718,183 | 53,497 | ||||||
NCR * | 28,231 | 1,059 | ||||||
Nvidia | 100,643 | 17,992 | ||||||
Oracle, Cl B | 384,205 | 18,576 | ||||||
PayPal Holdings * | 277,765 | 17,785 | ||||||
Skyworks Solutions | 17,217 | 1,754 | ||||||
Symantec, Cl A | 170,353 | 5,589 | ||||||
Take-Two Interactive Software, Cl A * | 67,285 | 6,879 | ||||||
Tencent Holdings ADR | 333,965 | 14,666 | ||||||
Teradyne | 143,263 | 5,342 | ||||||
Texas Instruments | 55,464 | 4,972 | ||||||
Vantiv, Cl A * | 31,000 | 2,185 | ||||||
Visa, Cl A | 314,346 | 33,082 | ||||||
Zendesk* | 109,782 | 3,196 | ||||||
|
|
| ||||||
|
455,852 |
| ||||||
|
|
| ||||||
Materials – 4.9% | ||||||||
Avery Dennison | 15,678 | 1,542 | ||||||
Chemours | 31,805 | 1,610 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Ecolab | 103,054 | $ | 13,254 | |||||
LyondellBasell Industries, Cl A | 28,606 | 2,833 | ||||||
Monsanto | 26,306 | 3,152 | ||||||
Packaging Corp of America | 13,305 | 1,526 | ||||||
Praxair | 101,704 | 14,212 | ||||||
Sherwin-Williams, Cl A | 93,658 | 33,533 | ||||||
Vulcan Materials | 12,896 | 1,542 | ||||||
|
|
| ||||||
|
73,204 |
| ||||||
|
|
| ||||||
Real Estate – 1.6% |
| |||||||
CBRE Group, Cl A * | 38,651 | 1,464 | ||||||
Crown Castle International ‡ | 69,757 | 6,974 | ||||||
Equinix‡ | 24,560 | 10,961 | ||||||
SBA Communications, Cl A *‡ | 27,576 | 3,973 | ||||||
|
|
| ||||||
|
23,372 |
| ||||||
|
|
| ||||||
Telecommunication Services – 0.1% |
| |||||||
Zayo Group Holdings * | 42,390 | 1,459 | ||||||
|
|
| ||||||
Total Common Stock | 1,420,685 | |||||||
|
|
| ||||||
AFFILIATED PARTNERSHIP – 1.3% |
| |||||||
SEI Liquidity Fund, L.P. 1.110% **†(B) | 18,752,337 | 18,752 | ||||||
|
|
| ||||||
Total Affiliated Partnership | 18,752 | |||||||
|
|
| ||||||
CASH EQUIVALENT – 3.4% |
| |||||||
SEI Daily Income Trust, Government Fund, Cl F 0.840%**† | 51,512,276 | 51,512 | ||||||
|
|
| ||||||
Total Cash Equivalent | 51,512 | |||||||
|
|
| ||||||
Total Investments – 100.0% | $ | 1,490,949 | ||||||
|
|
|
A list of the open futures held by the Fund at September 30, 2017, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||
S&P 500 Index E-MINI | 3 | Dec-2017 | $376 | $377 | $1 | |||||||||||||||
10 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Percentages | are based on Net Assets of $1,490,926 ($ Thousands). |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
†† | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017 was $18,513 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2017 was $18,752 ($ Thousands). |
ADR – American Depositary Receipt
Cl – Class
L.P. – Limited Partnership
S&P – Standard & Poor’s
The following is a list of the level of inputs used as of September 30, 2017, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities |
Level 1 |
Level 2 |
Level 3 |
Total | ||||||||||||
Common Stock | $ | 1,420,685 | $ | – | $ | – | $ | 1,420,685 | ||||||||
Affiliated Partnership | – | 18,752 | – | 18,752 | ||||||||||||
Cash Equivalent | 51,512 | – | – | 51,512 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities |
$ |
1,472,197 |
|
$ |
18,752 |
|
$ |
– |
|
$ |
1,490,949 |
| ||||
|
|
|
|
|
|
|
| |||||||||
| ||||||||||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation |
$ |
1 |
|
$ |
— |
|
$ |
— |
|
$ |
1 |
| ||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments |
$ |
1 |
|
$ |
— |
|
$ |
— |
|
$ |
1 |
| ||||
|
|
|
|
|
|
|
|
* Futures contracts are valued at the unrealized appreciation on the instrument.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, there were no transfers between Level 2 and Level 3 assets and liabilities.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Liquidity Fund, L.P. | $ 4,044 | $ 182,934 | $ (168,226) | $ (1) | $ 1 | $ 18,752 | $ 110 | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 62,626 | 332,436 | (343,550) | — | — | 51,512 | 273 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Totals | $ 66,670 | $ 515,370 | $ (511,776) | $ (1) | $ 1 | $ 70,264 | $ 383 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “–” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 11 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Managed Large Cap Fund
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 95.6% | ||||||||
Consumer Discretionary — 13.8% | ||||||||
Amazon.com, Cl A * | 43,128 | $ | 41,461 | |||||
AMC Networks, Cl A * | 36,801 | 2,152 | ||||||
Autozone * | 18,795 | 11,185 | ||||||
Best Buy | 186,465 | 10,621 | ||||||
Charter Communications, Cl A * | 20,643 | 7,502 | ||||||
Comcast, Cl A | 162,942 | 6,270 | ||||||
Darden Restaurants | 34,626 | 2,728 | ||||||
Delphi Automotive | 79,958 | 7,868 | ||||||
Dollar General | 387,947 | 31,443 | ||||||
Dollar Tree * | 19,725 | 1,712 | ||||||
Domino’s Pizza | 20,805 | 4,131 | ||||||
General Motors | 94,123 | 3,801 | ||||||
Graham Holdings, Cl B | 809 | 473 | ||||||
Hanesbrands (A) | 231,360 | 5,701 | ||||||
Harley-Davidson, Cl A (A) | 98,523 | 4,750 | ||||||
Home Depot | 118,848 | 19,439 | ||||||
Interpublic Group | 55,709 | 1,158 | ||||||
Kohl’s | 46,716 | 2,133 | ||||||
L Brands | 299,706 | 12,471 | ||||||
Las Vegas Sands | 22,879 | 1,468 | ||||||
Lear | 115,549 | 19,999 | ||||||
Liberty Global, Cl C * | 151,762 | 4,963 | ||||||
Liberty Interactive QVC Group, Cl A * | 567,023 | 13,365 | ||||||
Lowe’s | 639,720 | 51,139 | ||||||
Macy’s | 67,900 | 1,482 | ||||||
Magna International, Cl A | 129,268 | 6,900 | ||||||
Marriott International, Cl A | 40,040 | 4,415 | ||||||
Michael Kors Holdings * | 74,276 | 3,554 | ||||||
Michaels * | 458,439 | 9,843 | ||||||
Murphy USA * | 24,225 | 1,672 | ||||||
NetFlix * | 65,622 | 11,901 | ||||||
Nike, Cl B | 389,570 | 20,199 | ||||||
Norwegian Cruise Line Holdings * | 285,518 | 15,432 | ||||||
NVR * | 1,071 | 3,058 | ||||||
Omnicom Group | 115,785 | 8,576 | ||||||
Priceline Group * | 7,673 | 14,048 | ||||||
PulteGroup | 504,441 | 13,786 | ||||||
PVH | 50,924 | 6,419 | ||||||
Ross Stores | 152,613 | 9,854 | ||||||
Scripps Networks Interactive, Cl A | 16,630 | 1,428 | ||||||
Starbucks | 227,286 | 12,208 | ||||||
Target, Cl A | 200,363 | 11,823 | ||||||
TEGNA | 153,973 | 2,052 | ||||||
Tiffany | 39,063 | 3,585 | ||||||
Time Warner | 41,985 | 4,301 | ||||||
TJX | 431,984 | 31,850 | ||||||
Toll Brothers | 94,549 | 3,921 | ||||||
TopBuild * | 51,618 | 3,364 | ||||||
Tractor Supply | 73,032 | 4,622 | ||||||
TripAdvisor *(A) | 213,724 | 8,662 | ||||||
Viacom, Cl B | 34,234 | 953 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Walt Disney | 54,000 | $ | 5,323 | |||||
Whirlpool | 68,064 | 12,554 | ||||||
Wyndham Worldwide | 15,527 | 1,637 | ||||||
Yum China Holdings * | 41,762 | 1,669 | ||||||
509,024 | ||||||||
Consumer Staples — 7.7% | ||||||||
Altria Group | 96,491 | 6,119 | ||||||
Anheuser-Busch InBev ADR | 85,244 | 10,170 | ||||||
Archer-Daniels-Midland | 146,608 | 6,232 | ||||||
Bunge | 31,232 | 2,169 | ||||||
Clorox | 18,684 | 2,465 | ||||||
Coca-Cola | 84,125 | 3,786 | ||||||
Colgate-Palmolive | 260,311 | 18,964 | ||||||
Conagra Brands | 49,133 | 1,658 | ||||||
Constellation Brands, Cl A | 79,385 | 15,833 | ||||||
Costco Wholesale | 89,408 | 14,689 | ||||||
CVS Health | 397,990 | 32,365 | ||||||
Dr Pepper Snapple Group | 29,055 | 2,570 | ||||||
Estee Lauder, Cl A | 44,264 | 4,773 | ||||||
Hershey | 26,294 | 2,871 | ||||||
Ingredion | 40,741 | 4,915 | ||||||
JM Smucker | 185,331 | 19,447 | ||||||
Kimberly-Clark | 41,873 | 4,928 | ||||||
Kraft Heinz | 13,143 | 1,019 | ||||||
Kroger | 530,992 | 10,652 | ||||||
Lamb Weston Holdings | 16,377 | 768 | ||||||
Mondelez International, Cl A | 24,475 | 995 | ||||||
Nu Skin Enterprises, Cl A | 24,106 | 1,482 | ||||||
PepsiCo | 177,686 | 19,800 | ||||||
Philip Morris International | 237,485 | 26,363 | ||||||
Pilgrim’s Pride * | 55,865 | 1,587 | ||||||
Procter & Gamble | 203,307 | 18,497 | ||||||
Tyson Foods, Cl A | 281,181 | 19,809 | ||||||
Walgreens Boots Alliance | 184,087 | 14,215 | ||||||
Wal-Mart Stores | 222,560 | 17,391 | ||||||
286,532 | ||||||||
Energy — 4.2% | ||||||||
Andeavor | 31,376 | 3,236 | ||||||
BP ADR | 265,989 | 10,222 | ||||||
Canadian Natural Resources | 278,313 | 9,321 | ||||||
Chevron | 213,036 | 25,032 | ||||||
Concho Resources * | 34,048 | 4,485 | ||||||
ConocoPhillips | 81,356 | 4,072 | ||||||
Devon Energy | 273,875 | 10,054 | ||||||
ExxonMobil | 164,776 | 13,508 | ||||||
Halliburton | 84,336 | 3,882 | ||||||
Kinder Morgan | 113,129 | 2,170 | ||||||
Marathon Oil | 290,425 | 3,938 | ||||||
Marathon Petroleum | 237,204 | 13,302 | ||||||
Occidental Petroleum | 100,043 | 6,424 |
12 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Oceaneering International, Cl A | 47,759 | $ | 1,254 | |||||
Phillips 66 | 113,325 | 10,382 | ||||||
QEP Resources * | 137,742 | 1,180 | ||||||
Royal Dutch Shell ADR, Cl A | 182,043 | 11,028 | ||||||
Transocean *(A) | 367,365 | 3,953 | ||||||
Valero Energy | 211,817 | 16,295 | ||||||
Williams | 51,872 | 1,557 | ||||||
155,295 | ||||||||
Financials — 16.4% | ||||||||
Aflac | 208,390 | 16,961 | ||||||
Allstate | 59,438 | 5,463 | ||||||
Ally Financial | 59,881 | 1,453 | ||||||
American Financial Group | 39,790 | 4,116 | ||||||
American International Group | 109,104 | 6,698 | ||||||
Ameriprise Financial | 82,444 | 12,244 | ||||||
Assurant | 122,808 | 11,731 | ||||||
Bank of America | 1,730,747 | 43,857 | ||||||
BB&T | 41,703 | 1,957 | ||||||
Berkshire Hathaway, Cl B * | 93,247 | 17,094 | ||||||
Blackstone Group (B) | 44,695 | 1,491 | ||||||
Brighthouse Financial * | 11,764 | 715 | ||||||
Capital One Financial | 113,167 | 9,581 | ||||||
CIT Group | 43,606 | 2,139 | ||||||
Citigroup | 379,987 | 27,640 | ||||||
CME Group | 117,119 | 15,891 | ||||||
Cullen/Frost Bankers (A) | 23,595 | 2,240 | ||||||
Discover Financial Services | 241,586 | 15,577 | ||||||
Donnelley Financial Solutions * | 101,817 | 2,195 | ||||||
Everest Re Group | 57,218 | 13,068 | ||||||
Fifth Third Bancorp | 478,279 | 13,382 | ||||||
Franklin Resources | 23,964 | 1,067 | ||||||
Goldman Sachs Group | 21,644 | 5,134 | ||||||
Hartford Financial Services Group | 101,910 | 5,649 | ||||||
Huntington Bancshares | 321,477 | 4,488 | ||||||
Intercontinental Exchange | 250,350 | 17,199 | ||||||
Invesco | 126,803 | 4,443 | ||||||
JPMorgan Chase | 478,943 | 45,744 | ||||||
KeyCorp | 816,571 | 15,368 | ||||||
KKR, Cl Miscellaneous (B) | 266,561 | 5,419 | ||||||
Lincoln National | 182,558 | 13,414 | ||||||
Marsh & McLennan | 177,895 | 14,909 | ||||||
MetLife | 129,408 | 6,723 | ||||||
Moody’s | 288,575 | 40,172 | ||||||
Morgan Stanley | 311,935 | 15,026 | ||||||
MSCI, Cl A | 225,501 | 26,361 | ||||||
PNC Financial Services Group | 46,966 | 6,330 | ||||||
Popular | 105,453 | 3,790 | ||||||
Principal Financial Group, Cl A | 139,391 | 8,968 | ||||||
Progressive | 44,272 | 2,144 | ||||||
Prudential Financial | 112,425 | 11,953 | ||||||
Regions Financial | 507,300 | 7,726 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Reinsurance Group of America, Cl A | 61,098 | $ | 8,525 | |||||
S&P Global | 18,482 | 2,889 | ||||||
Santander Consumer USA Holdings * | 152,330 | 2,341 | ||||||
State Street | 214,861 | 20,528 | ||||||
SunTrust Banks | 142,000 | 8,487 | ||||||
T. Rowe Price Group | 24,474 | 2,219 | ||||||
Travelers | 120,419 | 14,754 | ||||||
Unum Group | 155,168 | 7,934 | ||||||
US Bancorp | 310,167 | 16,622 | ||||||
Validus Holdings | 28,272 | 1,391 | ||||||
Voya Financial | 294,050 | 11,730 | ||||||
Wells Fargo | 427,725 | 23,589 | ||||||
608,529 | ||||||||
Health Care — 16.3% | ||||||||
Abbott Laboratories | 311,129 | 16,602 | ||||||
AbbVie | 92,048 | 8,179 | ||||||
Aetna, Cl A | 56,625 | 9,004 | ||||||
Akorn * | 207,402 | 6,884 | ||||||
Alexion Pharmaceuticals * | 105,576 | 14,811 | ||||||
Allergan | 21,656 | 4,438 | ||||||
AmerisourceBergen, Cl A | 110,450 | 9,140 | ||||||
Amgen, Cl A | 145,948 | 27,212 | ||||||
Anthem | 79,013 | 15,003 | ||||||
Baxter International | 180,158 | 11,305 | ||||||
Becton Dickinson | 281,078 | 55,077 | ||||||
Biogen * | 109,633 | 34,328 | ||||||
Bioverativ * | 47,853 | 2,731 | ||||||
C.R. Bard | 30,808 | 9,874 | ||||||
Cardinal Health | 72,515 | 4,853 | ||||||
Celgene, Cl A * | 245,980 | 35,869 | ||||||
Centene * | 83,877 | 8,117 | ||||||
Cigna | 68,071 | 12,725 | ||||||
Edwards Lifesciences, Cl A * | 20,638 | 2,256 | ||||||
Gilead Sciences | 120,443 | 9,758 | ||||||
HCA Healthcare * | 188,452 | 14,999 | ||||||
Horizon Pharma* | 139,419 | 1,768 | ||||||
Humana | 44,504 | 10,842 | ||||||
Idexx Laboratories * | 72,356 | 11,251 | ||||||
Illumina * | 20,963 | 4,176 | ||||||
Intuitive Surgical * | 2,806 | 2,935 | ||||||
Johnson & Johnson | 434,135 | 56,442 | ||||||
McKesson | 31,659 | 4,863 | ||||||
Medtronic | 13,161 | 1,024 | ||||||
Merck | 327,650 | 20,979 | ||||||
Mettler Toledo International * | 31,398 | 19,660 | ||||||
Novo Nordisk ADR | 152,089 | 7,323 | ||||||
Pfizer | 706,138 | 25,209 | ||||||
Quest Diagnostics | 12,728 | 1,192 | ||||||
Quintiles IMS Holdings * | 70,943 | 6,745 | ||||||
Regeneron Pharmaceuticals * | 7,464 | 3,337 | ||||||
United Therapeutics * | 47,682 | 5,588 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 13 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Managed Large Cap Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
UnitedHealth Group | 421,525 | $ | 82,556 | |||||
Varex Imaging * | 30,650 | 1,037 | ||||||
Varian Medical Systems * | 74,809 | 7,485 | ||||||
Vertex Pharmaceuticals * | 13,009 | 1,978 | ||||||
Zimmer Biomet Holdings | 83,204 | 9,742 | ||||||
Zoetis, Cl A | 63,768 | 4,066 | ||||||
603,363 | ||||||||
Industrials — 9.1% |
| |||||||
3M | 213,078 | 44,725 | ||||||
Acuity Brands | 36,829 | 6,308 | ||||||
AECOM * | 38,691 | 1,424 | ||||||
AerCap Holdings * | 175,578 | 8,974 | ||||||
AGCO | 52,600 | 3,880 | ||||||
Alaska Air Group | 108,695 | 8,290 | ||||||
American Airlines Group | 76,487 | 3,632 | ||||||
Caterpillar, Cl A | 47,565 | 5,932 | ||||||
Cummins | 24,737 | 4,157 | ||||||
Deere | 31,142 | 3,911 | ||||||
Delta Air Lines, Cl A | 373,873 | 18,028 | ||||||
Eaton | 101,803 | 7,817 | ||||||
FedEx | 20,626 | 4,653 | ||||||
General Electric | 224,840 | 5,437 | ||||||
Graco | 211,588 | 26,171 | ||||||
Huntington Ingalls Industries, Cl A | 41,706 | 9,444 | ||||||
Illinois Tool Works | 260,216 | 38,502 | ||||||
Ingersoll-Rand | 23,286 | 2,076 | ||||||
Lockheed Martin | 35,370 | 10,975 | ||||||
ManpowerGroup | 22,232 | 2,619 | ||||||
Masco | 44,254 | 1,726 | ||||||
Middleby * | 38,086 | 4,882 | ||||||
Norfolk Southern | 64,160 | 8,485 | ||||||
Northrop Grumman | 63,975 | 18,407 | ||||||
Oshkosh Truck | 98,940 | 8,167 | ||||||
Owens Corning | 28,000 | 2,166 | ||||||
Raytheon | 106,117 | 19,799 | ||||||
Robert Half International | 69,290 | 3,488 | ||||||
Roper Technologies | 15,713 | 3,825 | ||||||
Southwest Airlines, Cl A | 177,834 | 9,955 | ||||||
SPX * | 169,689 | 4,979 | ||||||
Stanley Black & Decker | 24,449 | 3,691 | ||||||
Terex | 66,352 | 2,987 | ||||||
Trinity Industries | 90,264 | 2,879 | ||||||
United Continental Holdings * | 134,548 | 8,191 | ||||||
United Rentals * | 13,833 | 1,919 | ||||||
United Technologies | 81,889 | 9,506 | ||||||
USG *(A) | 41,806 | 1,365 | ||||||
Waste Management | 32,151 | 2,516 | ||||||
WW Grainger | 762 | 137 | ||||||
336,025 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Information Technology — 19.8% |
| |||||||
Activision Blizzard | 181,346 | $ | 11,699 | |||||
Adobe Systems * | 137,412 | 20,499 | ||||||
Advanced Micro Devices *(A) | 55,298 | 705 | ||||||
Alibaba Group Holding ADR * | 8,581 | 1,482 | ||||||
Alphabet, Cl A * | 27,622 | 26,896 | ||||||
Alphabet, Cl C * | 26,751 | 25,657 | ||||||
Amdocs | 87,071 | 5,600 | ||||||
Analog Devices | 112,993 | 9,737 | ||||||
Apple | 284,529 | 43,852 | ||||||
Applied Materials | 507,844 | 26,454 | ||||||
ASML Holding, Cl G | 57,233 | 9,798 | ||||||
Autodesk, Cl A * | 20,808 | 2,336 | ||||||
Automatic Data Processing | 156,283 | 17,085 | ||||||
Broadcom | 27,141 | 6,583 | ||||||
Brocade Communications Systems | 213,029 | 2,546 | ||||||
CA | 42,468 | 1,418 | ||||||
Cars.com *(A) | 51,324 | 1,366 | ||||||
Cisco Systems | 488,328 | 16,422 | ||||||
Citrix Systems * | 44,716 | 3,435 | ||||||
Cognizant Technology Solutions, Cl A | 96,335 | 6,988 | ||||||
Corning, Cl B | 234,159 | 7,006 | ||||||
DST Systems | 23,270 | 1,277 | ||||||
DXC Technology | 38,661 | 3,320 | ||||||
eBay * | 461,918 | 17,765 | ||||||
Electronic Arts * | 137,324 | 16,212 | ||||||
Facebook, Cl A * | 209,203 | 35,747 | ||||||
Genpact | 71,173 | 2,046 | ||||||
Global Payments | 15,901 | 1,511 | ||||||
Harris | 25,220 | 3,321 | ||||||
Hewlett Packard Enterprise | 307,307 | 4,521 | ||||||
HP | 480,394 | 9,589 | ||||||
Intel | 570,596 | 21,728 | ||||||
International Business Machines | 51,181 | 7,425 | ||||||
Intuit | 156,005 | 22,175 | ||||||
Jabil | 58,700 | 1,676 | ||||||
Juniper Networks | 66,060 | 1,838 | ||||||
Keysight Technologies * | 148,082 | 6,169 | ||||||
Lam Research | 22,006 | 4,072 | ||||||
Marvell Technology Group | 291,026 | 5,209 | ||||||
Mastercard, Cl A | 372,740 | 52,631 | ||||||
Micro Focus International ADR * | 42,201 | 1,346 | ||||||
Microchip Technology (A) | 113,132 | 10,157 | ||||||
Micron Technology * | 446,316 | 17,554 | ||||||
Microsoft | 704,989 | 52,515 | ||||||
Motorola Solutions | 24,057 | 2,042 | ||||||
Nvidia | 14,094 | 2,520 | ||||||
Oracle, Cl B | 347,111 | 16,783 | ||||||
PayPal Holdings * | 279,222 | 17,879 | ||||||
Qualcomm | 240,762 | 12,481 | ||||||
Red Hat * | 16,812 | 1,864 | ||||||
salesforce.com * | 15,984 | 1,493 |
14 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Seagate Technology (A) | 112,151 | $ | 3,720 | |||||
ServiceNow * | 18,268 | 2,147 | ||||||
Skyworks Solutions | 150,967 | 15,384 | ||||||
Symantec, Cl A | 184,559 | 6,055 | ||||||
Tech Data * | 22,300 | 1,981 | ||||||
Tencent Holdings ADR | 375,591 | 16,494 | ||||||
Teradata * | 50,205 | 1,696 | ||||||
Texas Instruments | 211,061 | 18,920 | ||||||
VeriSign *(A) | 91,384 | 9,722 | ||||||
Visa, Cl A | 417,202 | 43,906 | ||||||
Vishay Intertechnology (A) | 88,686 | 1,667 | ||||||
Western Digital | 72,366 | 6,252 | ||||||
Yelp, Cl A * | 51,177 | 2,216 | ||||||
Zynga, Cl A * | 227,798 | 861 | ||||||
733,451 | ||||||||
Materials — 4.3% | ||||||||
Cabot | 99,097 | 5,530 | ||||||
Celanese, ClA | 28,298 | 2,951 | ||||||
Cemex ADR * | 859,423 | 7,803 | ||||||
Crown Holdings * | 105,232 | 6,284 | ||||||
DowDuPont | 192,015 | 13,293 | ||||||
Eastman Chemical | 109,370 | 9,897 | ||||||
Ecolab | 88,521 | 11,385 | ||||||
Freeport-McMoRan, ClB * | 65,401 | 918 | ||||||
Huntsman | 312,058 | 8,557 | ||||||
Ingevity * | 14,131 | 883 | ||||||
International Paper | 367,473 | 20,880 | ||||||
Louisiana-Pacific * | 155,746 | 4,218 | ||||||
LyondellBasell Industries, ClA | 132,110 | 13,085 | ||||||
Monsanto | 19,711 | 2,362 | ||||||
Nucor | 46,516 | 2,607 | ||||||
Owens-Illinois * | 225,590 | 5,676 | ||||||
Praxair | 61,077 | 8,535 | ||||||
Reliance Steel & Aluminum | 22,781 | 1,735 | ||||||
Sherwin-Williams, Cl A | 78,752 | 28,196 | ||||||
Westlake Chemical | 14,664 | 1,218 | ||||||
WestRock | 84,787 | 4,810 | ||||||
160,823 | ||||||||
Real Estate — 1.7% | ||||||||
Brandywine Realty Trust ‡ | 138,389 | 2,420 | ||||||
Brixmor Property Group ‡ | 65,728 | 1,236 | ||||||
CBRE Group, ClA * | 41,173 | 1,560 | ||||||
Colony NorthStar, ClA | 161,161 | 2,024 | ||||||
Crown Castle International ‡ | 198,875 | 19,884 | ||||||
Equinix ‡ | 41,936 | 18,716 | ||||||
Hospitality Properties Trust ‡ | 97,540 | 2,779 | ||||||
Host Hotels & Resorts ‡ | 141,505 | 2,616 | ||||||
Public Storage ‡ | 18,999 | 4,066 | ||||||
SBA Communications, ClA *‡ | 53,836 | 7,755 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Simon Property Group ‡ | 6,723 | $ | 1,082 | |||||
64,138 | ||||||||
Telecommunication Services — 0.7% |
| |||||||
AT&T | 348,990 | 13,670 | ||||||
Verizon Communications | 261,669 | 12,950 | ||||||
26,620 | ||||||||
Utilities — 1.6% | ||||||||
Ameren | 113,300 | 6,553 | ||||||
American Electric Power | 179,636 | 12,617 | ||||||
Centerpoint Energy | 65,000 | 1,899 | ||||||
Consolidated Edison | 24,376 | 1,967 | ||||||
Edison International | 165,088 | 12,740 | ||||||
Entergy | 36,104 | 2,757 | ||||||
Exelon | 317,795 | 11,971 | ||||||
Public Service Enterprise Group | 158,869 | 7,348 | ||||||
57,852 | ||||||||
Total Common Stock | 3,541,652 | |||||||
Number of Rights | ||||||||
RIGHTS* — 0.0% | ||||||||
Safeway CVR - PDC ‡‡ | 107,954 | 5 | ||||||
Safeway CVR - Casa Ley ‡‡ | 107,954 | 110 | ||||||
Total Rights | 115 | |||||||
Shares | ||||||||
AFFILIATED PARTNERSHIP — 1.0% |
| |||||||
SEI Liquidity Fund, L.P. 1.110% **†(C) | 36,830,858 | 36,832 | ||||||
Total Affiliated Partnership | 36,832 | |||||||
CASH EQUIVALENT — 4.4% | ||||||||
SEI Daily Income Trust, Government Fund, ClF 0.840%**† | 162,414,973 | 162,415 | ||||||
Total Cash Equivalent | 162,415 | |||||||
Total Investments in Securities — 101.0% | $ | 3,741,014 | ||||||
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 15 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Managed Large Cap Fund (Concluded)
Percentages are based on Net Assets of $3,703,372 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
‡‡ | Expiration date not available. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017 was $36,073 ($ Thousands). |
(B) | Security is a Master Limited Partnership. At September 30, 2017, such securities amounted to $6,910 ($ Thousands), or 0.19% of the net assets of the Fund (See Note 2). |
(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 September 30, 2017 was $36,832 ($ Thousands). |
ADR — American Depositary Receipt
Cl — Class
CVR — Contingent Value Rights
L.P. — Limited Partnership
S&P— Standard & Poor’s
Ser — Series
The following is a list of the level of inputs used as of September 30, 2017, 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 | $ | 3,541,652 | $ | – | $ | – | $ | 3,541,652 | ||||||||
Rights | – | 115 | – | 115 | ||||||||||||
Affiliated Partnership | – | 36,832 | – | 36,832 | ||||||||||||
Cash Equivalent | 162,415 | – | – | 162,415 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities | $ | 3,704,067 | $ | 36,947 | $ | – | $ | 3,741,014 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, there were no transfers between Level 2 and Level 3 assets and liabilities.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||
SEI Liquidity Fund, L.P. | $111,917 | $340,014 | $(415,097) | $(5) | $3 | $36,832 | $158 | |||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 222,382 | 526,968 | (586,935) | — | — | 162,415 | 1,039 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
Totals | $334,299 | $866,982 | $(1,002,032) | $(5) | $3 | $199,247 | $1,197 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 $0.
The accompanying notes are an integral part of the financial statements.
16 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SCHEDULE OF INVESTMENTS
September 30, 2017
S&P 500 Index Fund
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.9% | ||||||||
Consumer Discretionary — 11.6% |
| |||||||
Advance Auto Parts | 2,700 | $ | 268 | |||||
Amazon.com, ClA * | 14,249 | 13,698 | ||||||
Autozone * | 994 | 592 | ||||||
Best Buy | 9,654 | 550 | ||||||
BorgWarner | 7,100 | 364 | ||||||
CarMax * | 6,700 | 508 | ||||||
Carnival | 14,684 | 948 | ||||||
CBS, Cl B | 13,195 | 765 | ||||||
Charter Communications, Cl A * | 7,200 | 2,617 | ||||||
Chipotle Mexican Grill, Cl A *(A) | 904 | 278 | ||||||
Coach | 10,019 | 404 | ||||||
Comcast, Cl A | 168,596 | 6,488 | ||||||
Darden Restaurants | 4,418 | 348 | ||||||
Delphi Automotive | 9,600 | 945 | ||||||
Discovery Communications, Cl A * | 5,600 | 119 | ||||||
Discovery Communications, Cl C * | 7,600 | 154 | ||||||
DISH Network, Cl A * | 8,100 | 439 | ||||||
Dollar General | 9,000 | 729 | ||||||
Dollar Tree * | 8,454 | 734 | ||||||
DR Horton | 12,458 | 497 | ||||||
Expedia | 4,355 | 627 | ||||||
Foot Locker, ClA | 4,700 | 166 | ||||||
Ford Motor | 140,437 | 1,681 | ||||||
Gap | 8,131 | 240 | ||||||
Garmin (A) | 4,205 | 227 | ||||||
General Motors | 47,113 | 1,902 | ||||||
Genuine Parts | 5,336 | 510 | ||||||
Goodyear Tire & Rubber | 9,093 | 302 | ||||||
H&R Block | 7,613 | 202 | ||||||
Hanesbrands (A) | 13,400 | 330 | ||||||
Harley-Davidson, Cl A (A) | 6,108 | 294 | ||||||
Hasbro | 4,096 | 400 | ||||||
Hilton Worldwide Holdings | 7,300 | 507 | ||||||
Home Depot | 42,245 | 6,910 | ||||||
Interpublic Group | 14,201 | 295 | ||||||
Kohl’s | 6,056 | 276 | ||||||
L Brands | 8,727 | 363 | ||||||
Leggett & Platt | 4,759 | 227 | ||||||
Lennar, Cl A | 7,516 | 397 | ||||||
LKQ * | 11,300 | 407 | ||||||
Lowe’s | 30,349 | 2,426 | ||||||
Macy’s | 11,264 | 246 | ||||||
Marriott International, Cl A | 11,124 | 1,226 | ||||||
Mattel (A) | 12,531 | 194 | ||||||
McDonald’s | 29,117 | 4,562 | ||||||
MGM Mirage | 17,300 | 564 | ||||||
Michael Kors Holdings * | 5,600 | 268 | ||||||
Mohawk Industries * | 2,300 | 569 | ||||||
NetFlix * | 15,500 | 2,811 | ||||||
Newell Brands, Cl B | 17,355 | 741 | ||||||
News, Cl A | 13,975 | 185 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
News, Cl B | 4,000 | $ | 55 | |||||
Nike, Cl B | 47,094 | 2,442 | ||||||
Nordstrom | 4,007 | 189 | ||||||
Omnicom Group | 8,204 | 608 | ||||||
O’Reilly Automotive * | 3,200 | 689 | ||||||
Priceline Group * | 1,783 | 3,264 | ||||||
PulteGroup | 9,899 | 271 | ||||||
PVH | 2,800 | 353 | ||||||
Ralph Lauren, Cl A | 2,005 | 177 | ||||||
Ross Stores | 14,036 | 906 | ||||||
Royal Caribbean Cruises | 6,100 | 723 | ||||||
Scripps Networks Interactive, Cl A | 3,500 | 301 | ||||||
Signet Jewelers | 2,200 | 146 | ||||||
Starbucks | 51,734 | 2,779 | ||||||
Target, Cl A | 19,528 | 1,152 | ||||||
Tiffany | 3,678 | 338 | ||||||
Time Warner | 27,825 | 2,851 | ||||||
TJX | 22,843 | 1,684 | ||||||
Tractor Supply | 4,600 | 291 | ||||||
TripAdvisor* | 3,955 | 160 | ||||||
Twenty-First Century Fox, Cl A | 37,759 | 996 | ||||||
Twenty-First Century Fox, Cl B | 15,800 | 407 | ||||||
Ulta Beauty * | 2,100 | 475 | ||||||
Under Armour, Cl A * | 7,005 | 115 | ||||||
Under Armour, Cl C *(A) | 6,449 | 97 | ||||||
VF | 11,465 | 729 | ||||||
Viacom, Cl B | 12,601 | 351 | ||||||
Walt Disney | 55,453 | 5,466 | ||||||
Whirlpool | 2,605 | 480 | ||||||
Wyndham Worldwide | 3,802 | 401 | ||||||
Wynn Resorts | 2,900 | 432 | ||||||
Yum! Brands | 11,870 | 874 | ||||||
91,702 | ||||||||
Consumer Staples — 8.1% | ||||||||
Altria Group | 68,973 | 4,374 | ||||||
Archer-Daniels-Midland | 20,475 | 870 | ||||||
Brown-Forman, Cl B | 6,492 | 353 | ||||||
Campbell Soup | 7,084 | 332 | ||||||
Church & Dwight | 9,100 | 441 | ||||||
Clorox | 4,642 | 612 | ||||||
Coca-Cola | 137,549 | 6,191 | ||||||
Colgate-Palmolive | 31,695 | 2,309 | ||||||
Conagra Brands | 14,465 | 488 | ||||||
Constellation Brands, Cl A | 6,200 | 1,237 | ||||||
Costco Wholesale | 15,718 | 2,582 | ||||||
Coty, Cl A | 17,314 | 286 | ||||||
CVS Health | 36,452 | 2,964 | ||||||
Dr Pepper Snapple Group | 6,500 | 575 | ||||||
Estee Lauder, Cl A | 8,000 | 863 | ||||||
General Mills | 20,686 | 1,071 | ||||||
Hershey | 5,112 | 558 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 17 |
SCHEDULE OF INVESTMENTS
September 30, 2017
S&P 500 Index Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Hormel Foods | 9,908 | $ | 318 | |||||
JM Smucker | 4,053 | 425 | ||||||
Kellogg | 9,067 | 565 | ||||||
Kimberly-Clark | 12,703 | 1,495 | ||||||
Kraft Heinz | 21,408 | 1,660 | ||||||
Kroger | 32,736 | 657 | ||||||
McCormick | 4,166 | 428 | ||||||
Molson Coors Brewing, Cl B | 6,751 | 551 | ||||||
Mondelez International, Cl A | 54,020 | 2,196 | ||||||
Monster Beverage * | 14,454 | 799 | ||||||
PepsiCo | 51,315 | 5,718 | ||||||
Philip Morris International | 55,687 | 6,182 | ||||||
Procter & Gamble | 91,408 | 8,316 | ||||||
Sysco, Cl A | 17,620 | 951 | ||||||
Tyson Foods, Cl A | 10,303 | 726 | ||||||
Walgreens Boots Alliance | 33,057 | 2,553 | ||||||
Wal-Mart Stores | 52,561 | 4,107 | ||||||
63,753 | ||||||||
Energy — 6.0% | ||||||||
Anadarko Petroleum, Cl A | 20,085 | 981 | ||||||
Andeavor | 5,200 | 536 | ||||||
Apache | 13,600 | 623 | ||||||
Baker Hughes a GE | 15,249 | 558 | ||||||
Cabot Oil & Gas | 16,913 | 452 | ||||||
Chesapeake Energy *(A) | 28,422 | 122 | ||||||
Chevron | 67,923 | 7,981 | ||||||
Cimarex Energy | 3,504 | 398 | ||||||
Concho Resources * | 5,400 | 711 | ||||||
ConocoPhillips | 43,760 | 2,190 | ||||||
Devon Energy | 18,813 | 691 | ||||||
EOG Resources | 20,697 | 2,002 | ||||||
EQT | 6,305 | 411 | ||||||
ExxonMobil | 151,846 | 12,448 | ||||||
Halliburton | 31,142 | 1,434 | ||||||
Helmerich & Payne (A) | 3,905 | 204 | ||||||
Hess | 9,975 | 468 | ||||||
Kinder Morgan | 68,882 | 1,321 | ||||||
Marathon Oil | 31,456 | 427 | ||||||
Marathon Petroleum | 18,164 | 1,019 | ||||||
National Oilwell Varco, Cl A | 13,568 | 485 | ||||||
Newfield Exploration * | 7,400 | 220 | ||||||
Noble Energy | 16,300 | 462 | ||||||
Occidental Petroleum | 27,464 | 1,763 | ||||||
Oneok | 13,609 | 754 | ||||||
Phillips 66 | 15,475 | 1,418 | ||||||
Pioneer Natural Resources | 6,104 | 901 | ||||||
Range Resources | 7,000 | 137 | ||||||
Schlumberger, Cl A | 49,900 | 3,481 | ||||||
TechnipFMC | 15,800 | 441 | ||||||
Valero Energy | 16,008 | 1,232 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Williams | 29,669 | $ | 890 | |||||
47,161 | ||||||||
Financials — 14.3% | ||||||||
Affiliated Managers Group | 2,000 | 380 | ||||||
Aflac | 14,217 | 1,157 | ||||||
Allstate | 13,059 | 1,200 | ||||||
American Express | 26,328 | 2,382 | ||||||
American International Group | 31,630 | 1,942 | ||||||
Ameriprise Financial | 5,384 | 800 | ||||||
Aon | 9,129 | 1,334 | ||||||
Arthur J. Gallagher | 6,500 | 400 | ||||||
Assurant | 2,005 | 191 | ||||||
Bank of America | 351,645 | 8,911 | ||||||
Bank of New York Mellon | 36,999 | 1,962 | ||||||
BB&T | 29,106 | 1,366 | ||||||
Berkshire Hathaway, Cl B * | 68,917 | 12,634 | ||||||
BlackRock | 4,361 | 1,950 | ||||||
Brighthouse Financial * | 3,603 | 219 | ||||||
Capital One Financial | 17,366 | 1,470 | ||||||
CBOE Holdings | 4,100 | 441 | ||||||
Charles Schwab | 42,836 | 1,874 | ||||||
Chubb | 16,734 | 2,385 | ||||||
Cincinnati Financial | 5,483 | 420 | ||||||
Citigroup | 97,851 | 7,118 | ||||||
Citizens Financial Group | 18,100 | 685 | ||||||
CME Group | 12,240 | 1,661 | ||||||
Comerica | 6,492 | 495 | ||||||
Discover Financial Services | 13,330 | 860 | ||||||
E*Trade Financial * | 10,052 | 438 | ||||||
Everest Re Group | 1,500 | 343 | ||||||
Fifth Third Bancorp | 26,911 | 753 | ||||||
Franklin Resources | 11,750 | 523 | ||||||
Goldman Sachs Group | 12,865 | 3,051 | ||||||
Hartford Financial Services Group | 12,986 | 720 | ||||||
Huntington Bancshares | 38,814 | 542 | ||||||
Intercontinental Exchange | 21,205 | 1,457 | ||||||
Invesco | 14,500 | 508 | ||||||
JPMorgan Chase | 126,100 | 12,044 | ||||||
KeyCorp | 39,283 | 739 | ||||||
Leucadia National | 11,313 | 286 | ||||||
Lincoln National | 7,998 | 588 | ||||||
Loews | 9,862 | 472 | ||||||
M&T Bank | 5,525 | 890 | ||||||
Marsh & McLennan | 18,459 | 1,547 | ||||||
MetLife | 38,239 | 1,986 | ||||||
Moody’s | 6,008 | 836 | ||||||
Morgan Stanley | 50,661 | 2,440 | ||||||
Nasdaq, Cl A | 4,200 | 326 | ||||||
Navient | 10,343 | 155 | ||||||
Northern Trust | 7,709 | 709 | ||||||
People’s United Financial | 12,600 | 229 |
18 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
PNC Financial Services Group | 17,184 | $ | 2,316 | |||||
Principal Financial Group, Cl A | 9,557 | 615 | ||||||
Progressive | 20,785 | 1,006 | ||||||
Prudential Financial | 15,366 | 1,634 | ||||||
Raymond James Financial | 4,700 | 396 | ||||||
Regions Financial | 43,063 | 656 | ||||||
S&P Global | 9,221 | 1,441 | ||||||
State Street | 13,391 | 1,279 | ||||||
SunTrust Banks | 17,296 | 1,034 | ||||||
Synchrony Financial | 26,763 | 831 | ||||||
T. Rowe Price Group | 8,608 | 780 | ||||||
Torchmark, Cl A | 4,039 | 323 | ||||||
Travelers | 9,856 | 1,208 | ||||||
Unum Group | 8,161 | 417 | ||||||
US Bancorp | 56,923 | 3,050 | ||||||
Wells Fargo | 160,115 | 8,830 | ||||||
Willis Towers Watson | 4,621 | 713 | ||||||
XL Group | 9,305 | 367 | ||||||
Zions Bancorporation | 7,460 | 352 | ||||||
113,067 | ||||||||
Health Care — 14.0% | ||||||||
Abbott Laboratories | 62,319 | 3,325 | ||||||
AbbVie | 57,168 | 5,080 | ||||||
Aetna, Cl A | 11,907 | 1,893 | ||||||
Agilent Technologies | 11,515 | 739 | ||||||
Alexion Pharmaceuticals * | 8,000 | 1,122 | ||||||
Align Technology * | 2,600 | 484 | ||||||
Allergan | 11,953 | 2,450 | ||||||
AmerisourceBergen, Cl A | 5,796 | 480 | ||||||
Amgen, Cl A | 26,229 | 4,890 | ||||||
Anthem | 9,402 | 1,785 | ||||||
Baxter International | 17,535 | 1,100 | ||||||
Becton Dickinson | 8,158 | 1,599 | ||||||
Biogen* | 7,600 | 2,380 | ||||||
Boston Scientific * | 49,112 | 1,433 | ||||||
Bristol-Myers Squibb | 58,792 | 3,747 | ||||||
C.R. Bard | 2,588 | 829 | ||||||
Cardinal Health | 11,359 | 760 | ||||||
Celgene, Cl A * | 28,105 | 4,098 | ||||||
Centene* | 6,300 | 610 | ||||||
Cerner* | 10,500 | 749 | ||||||
Cigna | 9,071 | 1,696 | ||||||
Cooper, Cl A | 1,800 | 427 | ||||||
DaVita* | 5,605 | 333 | ||||||
DENTSPLY SIRONA | 8,309 | 497 | ||||||
Edwards Lifesciences, Cl A * | 7,500 | 820 | ||||||
Eli Lilly | 34,839 | 2,980 | ||||||
Envision Healthcare * | 4,368 | 196 | ||||||
Express Scripts Holding * | 20,770 | 1,315 | ||||||
Gilead Sciences | 46,966 | 3,805 | ||||||
HCA Healthcare * | 10,205 | 812 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Henry Schein * | 5,800 | $ | 475 | |||||
Hologic* | 10,300 | 378 | ||||||
Humana | 5,201 | 1,267 | ||||||
Idexx Laboratories * | 3,200 | 498 | ||||||
Illumina* | 5,300 | 1,056 | ||||||
Incyte* | 6,100 | 712 | ||||||
Intuitive Surgical * | 1,320 | 1,381 | ||||||
Johnson & Johnson | 96,154 | 12,501 | ||||||
Laboratory Corp of America Holdings * | 3,663 | 553 | ||||||
McKesson | 7,569 | 1,163 | ||||||
Medtronic | 48,672 | 3,785 | ||||||
Merck | 97,974 | 6,273 | ||||||
Mettler Toledo International * | 900 | 564 | ||||||
Mylan* | 19,315 | 606 | ||||||
Patterson | 2,900 | 112 | ||||||
PerkinElmer | 4,040 | 279 | ||||||
Perrigo | 4,804 | 407 | ||||||
Pfizer | 213,856 | 7,635 | ||||||
Quest Diagnostics | 4,924 | 461 | ||||||
Quintiles IMS Holdings * | 5,000 | 475 | ||||||
Regeneron Pharmaceuticals * | 2,700 | 1,207 | ||||||
ResMed | 5,200 | 400 | ||||||
Stryker | 11,146 | 1,583 | ||||||
Thermo Fisher Scientific | 14,052 | 2,659 | ||||||
UnitedHealth Group | 34,628 | 6,782 | ||||||
Universal Health Services, Cl B | 3,200 | 355 | ||||||
Varian Medical Systems * | 3,305 | 331 | ||||||
Vertex Pharmaceuticals * | 8,900 | 1,353 | ||||||
Waters* | 2,897 | 520 | ||||||
Zimmer Biomet Holdings | 7,260 | 850 | ||||||
Zoetis, Cl A | 17,646 | 1,125 | ||||||
110,180 | ||||||||
Industrials — 10.3% | ||||||||
3M | 21,401 | 4,492 | ||||||
Acuity Brands | 1,500 | 257 | ||||||
Alaska Air Group | 4,400 | 336 | ||||||
Allegion | 3,470 | 300 | ||||||
American Airlines Group | 15,609 | 741 | ||||||
Ametek | 8,200 | 541 | ||||||
AO Smith | 5,300 | 315 | ||||||
Arconic | 13,978 | 348 | ||||||
Boeing | 19,941 | 5,069 | ||||||
C.H. Robinson Worldwide | 5,205 | 396 | ||||||
Caterpillar, Cl A | 21,206 | 2,645 | ||||||
Cintas | 3,112 | 449 | ||||||
CSX | 32,672 | 1,773 | ||||||
Cummins | 5,544 | 932 | ||||||
Danaher, Cl A | 21,896 | 1,878 | ||||||
Deere | 11,506 | 1,445 | ||||||
Delta Air Lines, Cl A | 23,913 | 1,153 | ||||||
Dover | 5,537 | 506 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 19 |
SCHEDULE OF INVESTMENTS
September 30, 2017
S&P 500 Index Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Eaton | 16,015 | $ | 1,230 | |||||
Emerson Electric | 23,115 | 1,453 | ||||||
Equifax | 4,330 | 459 | ||||||
Expeditors International of Washington | 6,609 | 396 | ||||||
Fastenal, Cl A | 10,309 | 470 | ||||||
FedEx | 8,805 | 1,986 | ||||||
Flowserve | 4,800 | 204 | ||||||
Fluor | 5,144 | 217 | ||||||
Fortive | 10,848 | 768 | ||||||
Fortune Brands Home & Security | 5,600 | 376 | ||||||
General Dynamics | 10,030 | 2,062 | ||||||
General Electric | 310,309 | 7,503 | ||||||
Honeywell International | 27,351 | 3,877 | ||||||
IHS Markit* | 13,100 | 577 | ||||||
Illinois Tool Works | 11,129 | 1,647 | ||||||
Ingersoll-Rand | 9,204 | 821 | ||||||
Jacobs Engineering Group | 4,404 | 257 | ||||||
JB Hunt Transport Services | 3,100 | 344 | ||||||
Johnson Controls International | 33,709 | 1,358 | ||||||
Kansas City Southern | 3,900 | 424 | ||||||
L3 Technologies | 2,823 | 532 | ||||||
Lockheed Martin | 8,936 | 2,773 | ||||||
Masco | 11,468 | 447 | ||||||
Nielsen Holdings | 12,000 | 497 | ||||||
Norfolk Southern | 10,430 | 1,379 | ||||||
Northrop Grumman | 6,223 | 1,790 | ||||||
PACCAR | 12,591 | 911 | ||||||
Parker-Hannifin, Cl A | 4,771 | 835 | ||||||
Pentair | 5,866 | 399 | ||||||
Quanta Services * | 5,400 | 202 | ||||||
Raytheon | 10,473 | 1,954 | ||||||
Republic Services | 8,183 | 541 | ||||||
Robert Half International | 4,632 | 233 | ||||||
Rockwell Automation | 4,630 | 825 | ||||||
Rockwell Collins | 5,778 | 755 | ||||||
Roper Technologies | 3,700 | 901 | ||||||
Snap-on | 2,153 | 321 | ||||||
Southwest Airlines, Cl A | 19,762 | 1,106 | ||||||
Stanley Black & Decker | 5,440 | 821 | ||||||
Stericycle, Cl A * | 3,104 | 222 | ||||||
Textron | 9,607 | 518 | ||||||
TransDigm Group (A) | 1,700 | 435 | ||||||
Union Pacific | 28,793 | 3,339 | ||||||
United Continental Holdings * | 9,300 | 566 | ||||||
United Parcel Service, Cl B | 24,724 | 2,969 | ||||||
United Rentals * | 3,100 | 430 | ||||||
United Technologies | 26,576 | 3,085 | ||||||
Verisk Analytics, Cl A * | 5,500 | 458 | ||||||
Waste Management | 14,628 | 1,145 | ||||||
WW Grainger | 1,865 | 335 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Xylem | 6,600 | $ | 413 | |||||
81,142 | ||||||||
Information Technology — 22.7% |
| |||||||
Accenture, Cl A | 22,104 | 2,986 | ||||||
Activision Blizzard | 27,100 | 1,748 | ||||||
Adobe Systems * | 17,741 | 2,647 | ||||||
Advanced Micro Devices *(A) | 28,200 | 359 | ||||||
Akamai Technologies * | 6,304 | 307 | ||||||
Alliance Data Systems | 1,700 | 377 | ||||||
Alphabet, Cl A * | 10,646 | 10,366 | ||||||
Alphabet, Cl C * | 10,770 | 10,330 | ||||||
Amphenol, Cl A | 10,909 | 923 | ||||||
Analog Devices | 13,171 | 1,135 | ||||||
Ansys* | 3,100 | 380 | ||||||
Apple | 185,182 | 28,540 | ||||||
Applied Materials | 38,150 | 1,987 | ||||||
Autodesk, Cl A * | 7,917 | 889 | ||||||
Automatic Data Processing | 15,959 | 1,745 | ||||||
Broadcom | 14,446 | 3,504 | ||||||
CA | 11,140 | 372 | ||||||
Cadence Design Systems * | 10,100 | 399 | ||||||
Cisco Systems | 179,161 | 6,025 | ||||||
Citrix Systems * | 5,142 | 395 | ||||||
Cognizant Technology Solutions, Cl A | 21,105 | 1,531 | ||||||
Corning, Cl B | 32,308 | 967 | ||||||
CSRA | 5,138 | 166 | ||||||
DXC Technology | 10,130 | 870 | ||||||
eBay* | 35,649 | 1,371 | ||||||
Electronic Arts * | 11,078 | 1,308 | ||||||
F5 Networks, Cl A * | 2,300 | 277 | ||||||
Facebook, Cl A * | 85,009 | 14,525 | ||||||
Fidelity National Information Services, Cl B | 11,865 | 1,108 | ||||||
Fiserv, Cl A * | 7,560 | 975 | ||||||
Flir Systems | 5,100 | 198 | ||||||
Gartner* | 3,300 | 411 | ||||||
Global Payments | 5,500 | 523 | ||||||
Harris | 4,300 | 566 | ||||||
Hewlett Packard Enterprise | 59,691 | 878 | ||||||
HP | 60,391 | 1,205 | ||||||
Intel | 168,363 | 6,411 | ||||||
International Business Machines | 30,733 | 4,459 | ||||||
Intuit | 8,686 | 1,235 | ||||||
Juniper Networks | 14,100 | 392 | ||||||
KLA-Tencor | 5,571 | 590 | ||||||
Lam Research | 5,822 | 1,077 | ||||||
Mastercard, Cl A | 33,517 | 4,733 | ||||||
Microchip Technology (A) | 8,204 | 737 | ||||||
Micron Technology * | 40,069 | 1,576 | ||||||
Microsoft | 276,089 | 20,566 | ||||||
Motorola Solutions | 5,989 | 508 | ||||||
NetApp | 9,985 | 437 |
20 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Nvidia | 21,365 | $ | 3,819 | |||||
Oracle, Cl B | 108,023 | 5,223 | ||||||
Paychex | 11,469 | 688 | ||||||
PayPal Holdings * | 40,149 | 2,571 | ||||||
Qorvo* | 4,600 | 325 | ||||||
Qualcomm | 53,054 | 2,750 | ||||||
Red Hat * | 6,400 | 709 | ||||||
salesforce.com* | 24,009 | 2,243 | ||||||
Seagate Technology (A) | 10,300 | 342 | ||||||
Skyworks Solutions | 6,604 | 673 | ||||||
Symantec, Cl A | 22,147 | 727 | ||||||
Synopsys* | 5,500 | 443 | ||||||
TE Connectivity | 12,709 | 1,056 | ||||||
Texas Instruments | 35,466 | 3,179 | ||||||
Total System Services | 6,089 | 399 | ||||||
VeriSign* | 3,200 | 340 | ||||||
Visa, Cl A | 65,518 | 6,895 | ||||||
Western Digital | 10,474 | 905 | ||||||
Western Union | 17,034 | 327 | ||||||
Xerox | 7,876 | 262 | ||||||
Xilinx | 8,909 | 631 | ||||||
179,521 | ||||||||
Materials — 2.9% | ||||||||
Air Products & Chemicals | 7,826 | 1,183 | ||||||
Albemarle | 4,000 | 545 | ||||||
Avery Dennison | 3,215 | 316 | ||||||
Ball | 12,472 | 515 | ||||||
CF Industries Holdings | 8,550 | 301 | ||||||
DowDuPont | 83,821 | 5,803 | ||||||
Eastman Chemical | 5,320 | 481 | ||||||
Ecolab | 9,334 | 1,200 | ||||||
FMC | 4,900 | 438 | ||||||
Freeport-McMoRan, Cl B * | 47,636 | 669 | ||||||
International Flavors & Fragrances | 2,894 | 414 | ||||||
International Paper | 14,774 | 839 | ||||||
LyondellBasell Industries, Cl A | 11,604 | 1,149 | ||||||
Martin Marietta Materials, Cl A | 2,300 | 474 | ||||||
Monsanto | 15,757 | 1,888 | ||||||
Mosaic | 12,809 | 277 | ||||||
Newmont Mining | 19,125 | 717 | ||||||
Nucor | 11,395 | 639 | ||||||
Packaging Corp of America | 3,400 | 390 | ||||||
PPG Industries | 9,190 | 999 | ||||||
Praxair | 10,299 | 1,439 | ||||||
Sealed Air | 7,128 | 305 | ||||||
Sherwin-Williams, Cl A | 2,916 | 1,044 | ||||||
Vulcan Materials | 4,749 | 568 | ||||||
WestRock | 8,984 | 510 | ||||||
23,103 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Real Estate — 2.9% | ||||||||
Alexandria Real Estate Equities ‡ | 3,300 | $ | 393 | |||||
American Tower, Cl A ‡ | 15,300 | 2,091 | ||||||
Apartment Investment & Management, Cl A ‡ | 5,839 | 256 | ||||||
AvalonBay Communities ‡ | 5,008 | 893 | ||||||
Boston Properties ‡ | 5,600 | 688 | ||||||
CBRE Group, Cl A * | 10,909 | 413 | ||||||
Crown Castle International ‡ | 14,404 | 1,440 | ||||||
Digital Realty Trust, Cl A ‡ | 7,400 | 876 | ||||||
Duke Realty ‡ | 12,700 | 366 | ||||||
Equinix ‡ | 2,756 | 1,230 | ||||||
Equity Residential ‡ | 13,144 | 867 | ||||||
Essex Property Trust ‡ | 2,300 | 584 | ||||||
Extra Space Storage ‡ | 4,600 | 368 | ||||||
Federal Realty Investment Trust ‡ | 2,600 | 323 | ||||||
GGP ‡ | 20,800 | 432 | ||||||
HCP ‡ | 16,800 | 468 | ||||||
Host Hotels & Resorts ‡ | 26,474 | 489 | ||||||
Iron Mountain ‡ | 8,938 | 348 | ||||||
Kimco Realty ‡ | 15,613 | 305 | ||||||
Macerich ‡ | 3,904 | 215 | ||||||
Mid-America Apartment Communities ‡ | 4,100 | 438 | ||||||
ProLogis ‡ | 19,000 | 1,206 | ||||||
Public Storage ‡ | 5,333 | 1,141 | ||||||
Realty Income ‡ | 9,800 | 560 | ||||||
Regency Centers ‡ | 5,399 | 335 | ||||||
SBA Communications, Cl A *‡ | 4,400 | 634 | ||||||
Simon Property Group ‡ | 11,206 | 1,804 | ||||||
SL Green Realty ‡ | 3,500 | 355 | ||||||
UDR ‡ | 9,800 | 373 | ||||||
Ventas ‡ | 12,732 | 829 | ||||||
Vornado Realty Trust ‡ | 6,177 | 475 | ||||||
Welltower ‡ | 13,100 | 921 | ||||||
Weyerhaeuser ‡ | 26,961 | 917 | ||||||
23,033 | ||||||||
Telecommunication Services — 2.1% |
| |||||||
AT&T | 220,059 | 8,620 | ||||||
CenturyLink (A) | 20,270 | 383 | ||||||
Level 3 Communications * | 10,500 | 560 | ||||||
Verizon Communications | 146,196 | 7,235 | ||||||
16,798 | ||||||||
Utilities — 3.0% | ||||||||
AES | 24,390 | 269 | ||||||
Alliant Energy | 8,400 | 349 | ||||||
Ameren | 8,653 | 500 | ||||||
American Electric Power | 17,615 | 1,237 | ||||||
American Water Works | 6,500 | 526 | ||||||
Centerpoint Energy | 15,385 | 449 | ||||||
CMS Energy | 10,201 | 472 | ||||||
Consolidated Edison | 10,933 | 882 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 21 |
SCHEDULE OF INVESTMENTS
September 30, 2017
S&P 500 Index Fund (Concluded)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Dominion Energy | 22,540 | $ | 1,734 | |||||
DTE Energy | 6,545 | 703 | ||||||
Duke Energy | 25,116 | 2,108 | ||||||
Edison International | 11,657 | 900 | ||||||
Entergy | 6,564 | 501 | ||||||
Eversource Energy | 11,335 | 685 | ||||||
Exelon | 33,255 | 1,253 | ||||||
FirstEnergy | 15,823 | 488 | ||||||
NextEra Energy | 16,820 | 2,465 | ||||||
NiSource | 11,892 | 304 | ||||||
NRG Energy | 10,713 | 274 | ||||||
PG&E | 18,329 | 1,248 | ||||||
Pinnacle West Capital | 3,949 | 334 | ||||||
PPL | 24,471 | 929 | ||||||
Public Service Enterprise Group | 18,130 | 839 | ||||||
SCANA | 5,304 | 257 | ||||||
Sempra Energy | 8,970 | 1,024 | ||||||
Southern | 35,735 | 1,756 | ||||||
WEC Energy Group | 11,319 | 711 | ||||||
Xcel Energy | 18,236 | 863 | ||||||
24,060 | ||||||||
Total Common Stock | 773,520 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
1.137%, 02/01/2018 (C) | $ | 527 | $ | 525 | ||||
1.076%, 12/07/2017 (C) | 280 | 280 | ||||||
Total U.S. Treasury Obligations |
| 805 | ||||||
Shares | ||||||||
AFFILIATED PARTNERSHIP — 0.5% |
| |||||||
SEI Liquidity Fund, L.P. 1.110% **†(B) | 3,765,592 | 3,765 | ||||||
Total Affiliated Partnership |
| 3,765 | ||||||
CASH EQUIVALENT — 1.9% |
| |||||||
SEI Daily Income Trust, Government Fund, Cl F 0.840%**† | 14,705,096 | 14,705 | ||||||
Total Cash Equivalent (Cost $14,705) ($ Thousands) |
| 14,705 | ||||||
Total Investments in Securities — 100.4% | $ | 792,795 | ||||||
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||
S&P 500 Index E-MINI | 130 | Dec-2017 | $16,048 | $16,048 | $307 | |||||||||||||||
Percentages are based on Net Assets of $789,983 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017 was $3,681 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2017 was $3,766 ($ Thousands). |
(C) | Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase. |
Cl — Class
L.P. — Limited Partnership
S&P— Standard & Poor’s
The following is a list of the level of inputs used as of September 30, 2017, 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 | $ | 773,520 | $ | – | $ | – | $ | 773,520 | ||||||||
U.S. Treasury Obligations | – | 805 | – | 805 | ||||||||||||
Affiliated Partnership | – | 3,765 | – | 3,765 | ||||||||||||
Cash Equivalent | 14,705 | – | – | 14,705 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities | $ | 788,225 | $ | 4,570 | $ | – | $ | 792,795 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 307 | $ | — | $ | — | $ | 307 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Other Financial Instruments | $ | 307 | $ | — | $ | — | $ | 307 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* Futures contracts are valued at the unrealized appreciation on the instrument.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, there were no transfers between Level 2 and Level 3 assets and liabilities.
22 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Liquidity Fund, L.P. | $ 3,172 | $ 26,881 | $ (26,288) | $ — | $ — | $ 3,765 | $ 14 | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 15,141 | 191,132 | (191,568) | — | — | 14,705 | 81 | |||||||||||||||||||||
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Totals | $ 18,313 | $ 218,013 | $ (217,856) | $ - | $ - | $ 18,470 | $ 95 | |||||||||||||||||||||
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For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 23 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Small Cap Fund
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 92.8% |
| |||||||
Consumer Discretionary — 13.1% |
| |||||||
Aaron’s | 11,836 | $ | 516 | |||||
Adtalem Global Education (A) | 27,140 | 973 | ||||||
Advance Auto Parts | 14,983 | 1,486 | ||||||
AMC Entertainment Holdings, Cl A (A) | 116,427 | 1,711 | ||||||
Asbury Automotive Group * | 9,817 | 600 | ||||||
Big Lots (A) | 46,674 | 2,500 | ||||||
Bloomin’ Brands | 40,646 | 715 | ||||||
Bob Evans Farms | 24,232 | 1,878 | ||||||
Boyd Gaming | 31,123 | 811 | ||||||
Buffalo Wild Wings * | 11,977 | 1,266 | ||||||
Camping World Holdings, Cl A | 18,105 | 738 | ||||||
Capella Education | 8,896 | 624 | ||||||
Century Communities * | 50,034 | 1,236 | ||||||
Cheesecake Factory | 63,080 | 2,657 | ||||||
Conn’s *(A) | 82,859 | 2,332 | ||||||
Cooper Tire & Rubber | 16,213 | 606 | ||||||
Cooper-Standard Holdings * | 6,299 | 731 | ||||||
Core-Mark Holding, Cl A | 61,405 | 1,974 | ||||||
Dana | 22,739 | 636 | ||||||
Dave & Buster’s Entertainment * | 42,466 | 2,229 | ||||||
Deckers Outdoor * | 25,000 | 1,710 | ||||||
Expedia | 3,717 | 535 | ||||||
Extended Stay America | 66,617 | 1,332 | ||||||
Gentherm * | 24,137 | 897 | ||||||
Goodyear Tire & Rubber | 15,742 | 523 | ||||||
Grand Canyon Education * | 11,649 | 1,058 | ||||||
Group 1 Automotive | 8,000 | 580 | ||||||
Hibbett Sports * | 32,771 | 467 | ||||||
Installed Building Products * | 9,234 | 598 | ||||||
Jack in the Box | 27,978 | 2,852 | ||||||
K12 * | 26,771 | 478 | ||||||
LCI Industries | 32,196 | 3,730 | ||||||
Lear | 9,136 | 1,581 | ||||||
Libbey | 80,399 | 745 | ||||||
Lithia Motors, Cl A | 5,318 | 640 | ||||||
LKQ * | 99,001 | 3,563 | ||||||
Lumber Liquidators Holdings *(A) | 18,463 | 720 | ||||||
MDC Partners, Cl A | 109,331 | 1,203 | ||||||
Modine Manufacturing * | 33,473 | 644 | ||||||
NACCO Industries, Cl A | 153 | 13 | ||||||
Nexstar Media Group, Cl A | 12,366 | 770 | ||||||
Office Depot | 119,622 | 543 | ||||||
Ollie’s Bargain Outlet Holdings * | 13,997 | 649 | ||||||
Oxford Industries, Cl A | 16,100 | 1,023 | ||||||
Party City Holdco *(A) | 50,897 | 690 | ||||||
Planet Fitness, Cl A | 23,223 | 627 | ||||||
Polaris Industries (A) | 14,293 | 1,495 | ||||||
Pool | 19,825 | 2,144 | ||||||
Red Robin Gourmet Burgers * | 24,843 | 1,665 | ||||||
Sequential Brands Group *(A) | 104,870 | 314 | ||||||
Shutterfly * | 23,797 | 1,154 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Signet Jewelers | 10,946 | $ | 728 | |||||
Six Flags Entertainment | 35,902 | 2,188 | ||||||
Skechers U.S.A., Cl A * | 73,958 | 1,856 | ||||||
Sotheby’s * | 10,094 | 465 | ||||||
Strayer Education | 7,953 | 694 | ||||||
Tenneco | 9,985 | 606 | ||||||
TopBuild * | 10,751 | 701 | ||||||
Tower International | 23,358 | 635 | ||||||
Tractor Supply | 30,984 | 1,961 | ||||||
Vail Resorts | 15,431 | 3,520 | ||||||
Visteon * | 13,717 | 1,698 | ||||||
Weight Watchers International *(A) | 11,541 | 503 | ||||||
WideOpenWest * | 33,293 | 502 | ||||||
William Lyon Homes, Cl A *(A) | 110,745 | 2,546 | ||||||
Winnebago Industries | 12,878 | 576 | ||||||
Wolverine World Wide | 35,286 | 1,018 | ||||||
ZAGG * | 55,713 | 877 | ||||||
82,236 | ||||||||
Consumer Staples — 2.0% |
| |||||||
Andersons | 17,988 | 616 | ||||||
Central Garden & Pet, Cl A * | 32,334 | 1,202 | ||||||
Dean Foods | 53,061 | 577 | ||||||
Fresh Del Monte Produce | 22,262 | 1,012 | ||||||
Hain Celestial Group * | 47,515 | 1,955 | ||||||
Hostess Brands, Cl A *(A) | 163,399 | 2,232 | ||||||
Landec * | 40,217 | 521 | ||||||
Omega Protein | 73,325 | 1,221 | ||||||
Performance Food Group * | 23,702 | 670 | ||||||
Sanderson Farms (A) | 10,235 | 1,653 | ||||||
SpartanNash | 16,889 | 445 | ||||||
SUPERVALU * | 27,242 | 593 | ||||||
12,697 | ||||||||
Energy — 2.8% |
| |||||||
Arch Coal (A) | 6,942 | 498 | ||||||
Ardmore Shipping (A) | 71,555 | 590 | ||||||
Atwood Oceanics, Cl A *(A) | 41,944 | 394 | ||||||
Callon Petroleum * | 75,805 | 852 | ||||||
Carrizo Oil & Gas * | 68,500 | 1,174 | ||||||
Eclipse Resources * | 176,317 | 441 | ||||||
Extraction Oil & Gas *(A) | 27,663 | 426 | ||||||
Forum Energy Technologies * | 55,162 | 877 | ||||||
Gulfport Energy * | 198,341 | 2,844 | ||||||
Matrix Service * | 37,242 | 566 | ||||||
Pacific Ethanol * | 118,089 | 655 | ||||||
Patterson-UTI Energy | 38,904 | 815 | ||||||
PBF Energy, Cl A (A) | 79,278 | 2,189 | ||||||
Range Resources | 30,025 | 588 | ||||||
REX American Resources * | 5,273 | 495 | ||||||
Scorpio Tankers | 153,664 | 527 | ||||||
Smart Sand *(A) | 61,396 | 416 |
24 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Southwestern Energy * | 227,988 | $ | 1,393 | |||||
StealthGas * | 99,434 | 329 | ||||||
TETRA Technologies * | 260,887 | 746 | ||||||
Whiting Petroleum * | 150,032 | 819 | ||||||
17,634 | ||||||||
Financials — 14.0% | ||||||||
American Equity Investment Life Holding | 125,128 | 3,639 | ||||||
Ameris Bancorp | 16,567 | 795 | ||||||
Argo Group International Holdings | 38,646 | 2,377 | ||||||
Aspen Insurance Holdings | 15,088 | 610 | ||||||
Assured Guaranty | 48,102 | 1,816 | ||||||
Axis Capital Holdings | 23,987 | 1,375 | ||||||
Bancorp * | 88,684 | 733 | ||||||
Bank of the Ozarks | 73,184 | 3,516 | ||||||
BankUnited | 18,326 | 652 | ||||||
BofI Holding *(A) | 60,017 | 1,709 | ||||||
Capitol Federal Financial | 109,771 | 1,614 | ||||||
Central Pacific Financial | 74,059 | 2,383 | ||||||
Chemical Financial (A) | 25,961 | 1,357 | ||||||
CNO Financial Group | 113,252 | 2,643 | ||||||
Commerce Bancshares | 10,060 | 581 | ||||||
Credit Acceptance, Cl A * | 2,090 | 586 | ||||||
Employers Holdings | 16,467 | 748 | ||||||
Enterprise Financial Services | 14,027 | 594 | ||||||
Everest Re Group | 7,515 | 1,716 | ||||||
Federal Agricultural Mortgage, Cl C | 10,842 | 789 | ||||||
First BanCorp Puerto Rico * | 135,158 | 692 | ||||||
First Citizens BancShares, Cl A | 4,697 | 1,756 | ||||||
First Commonwealth Financial | 195,069 | 2,756 | ||||||
First Foundation * | 45,606 | 816 | ||||||
FirstCash | 10,097 | 638 | ||||||
FNB (Pennsylvania) | 231,314 | 3,245 | ||||||
FNFV Group * | 35,817 | 614 | ||||||
Fulton Financial | 115,160 | 2,159 | ||||||
Great Western Bancorp | 44,778 | 1,848 | ||||||
Green Dot, Cl A * | 13,527 | 671 | ||||||
Hanover Insurance Group, Cl A | 15,545 | 1,507 | ||||||
Heartland Financial USA | 22,911 | 1,132 | ||||||
HFF, Cl A | 17,726 | 701 | ||||||
HomeStreet * | 27,486 | 742 | ||||||
IBERIABANK | 17,390 | 1,429 | ||||||
Independent Bank Group | 12,252 | 739 | ||||||
International FCStone * | 26,070 | 999 | ||||||
Investors Bancorp | 58,543 | 798 | ||||||
Kemper, Cl A | 27,497 | 1,457 | ||||||
Ladder Capital, Cl A | 60,707 | 836 | ||||||
Legg Mason | 15,234 | 599 | ||||||
LendingTree * | 2,427 | 593 | ||||||
LPL Financial Holdings | 12,910 | 666 | ||||||
Meridian Bancorp | 37,673 | 703 | ||||||
MGIC Investment * | 93,593 | 1,173 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Moelis, Cl A | 27,992 | $ | 1,205 | |||||
National Bank Holdings, Cl A | 26,957 | 962 | ||||||
National Western Life Group, Cl A | 2,976 | 1,039 | ||||||
Northfield Bancorp | 61,928 | 1,074 | ||||||
OFG Bancorp | 205,616 | 1,881 | ||||||
Old National Bancorp, Cl A | 50,460 | 923 | ||||||
PennyMac Financial Services, Cl A * | 32,078 | 571 | ||||||
PJT Partners | 19,372 | 742 | ||||||
Popular | 58,724 | 2,110 | ||||||
Preferred Bank | 9,825 | 593 | ||||||
ProAssurance | 10,285 | 562 | ||||||
Radian Group | 32,831 | 614 | ||||||
RenaissanceRe Holdings | 5,469 | 739 | ||||||
Simmons First National, Cl A | 13,914 | 806 | ||||||
State Bank Financial | 51,671 | 1,480 | ||||||
Sterling Bancorp | 24,672 | 608 | ||||||
Umpqua Holdings | 91,520 | 1,786 | ||||||
United Fire Group | 11,803 | 541 | ||||||
Validus Holdings | 26,484 | 1,303 | ||||||
Voya Financial | 30,233 | 1,206 | ||||||
Waddell & Reed Financial, Cl A (A) | 35,313 | 709 | ||||||
Walker & Dunlop * | 22,867 | 1,197 | ||||||
Western Alliance Bancorp * | 24,240 | 1,287 | ||||||
Wintrust Financial | 53,430 | �� | 4,184 | |||||
87,624 | ||||||||
Health Care — 15.0% | ||||||||
Acadia Healthcare, Cl A *(A) | 90,254 | 4,310 | ||||||
Acceleron Pharma * | 14,415 | 538 | ||||||
Accuray *(A) | 127,729 | 511 | ||||||
Aerie Pharmaceuticals * | 30,142 | 1,465 | ||||||
Akebia Therapeutics * | 34,209 | 673 | ||||||
Allscripts Healthcare Solutions * | 76,417 | 1,087 | ||||||
AMAG Pharmaceuticals *(A) | 97,035 | 1,790 | ||||||
AMN Healthcare Services * | 99,284 | 4,537 | ||||||
Array BioPharma * | 50,306 | 619 | ||||||
Avadel Pharmaceuticals ADR * | 100,107 | 1,051 | ||||||
AxoGen * | 36,049 | 698 | ||||||
BioMarin Pharmaceuticals * | 15,322 | 1,426 | ||||||
Bluebird Bio * | 4,250 | 584 | ||||||
Capital Senior Living * | 140,809 | 1,767 | ||||||
Clovis Oncology * | 18,553 | 1,529 | ||||||
Cutera * | 17,122 | 708 | ||||||
Cymabay Therapeutics * | 77,212 | 622 | ||||||
Dynavax Technologies *(A) | 30,142 | 648 | ||||||
Emergent BioSolutions * | 66,147 | 2,676 | ||||||
Esperion Therapeutics * | 13,852 | 694 | ||||||
Exact Sciences * | 14,518 | 684 | ||||||
FibroGen * | 12,319 | 663 | ||||||
Global Blood Therapeutics * | 14,829 | 460 | ||||||
GlycoMimetics * | 40,843 | 571 | ||||||
ImmunoGen *(A) | 82,404 | 630 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 25 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Small Cap Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Immunomedics *(A) | 60,444 | $ | 845 | |||||
Insmed * | 20,327 | 634 | ||||||
Integer Holdings * | 13,897 | 711 | ||||||
Integra LifeSciences Holdings * | 43,068 | 2,174 | ||||||
Intersect ENT * | 22,200 | 691 | ||||||
iRhythm Technologies * | 12,136 | 630 | ||||||
Jazz Pharmaceuticals * | 4,503 | 659 | ||||||
Keryx Biopharmaceuticals *(A) | 130,845 | 929 | ||||||
Lannett *(A) | 135,538 | 2,501 | ||||||
Lantheus Holdings * | 33,183 | 591 | ||||||
LHC Group * | 17,851 | 1,266 | ||||||
Ligand Pharmaceuticals *(A) | 54,936 | 7,480 | ||||||
Loxo Oncology * | 6,791 | 626 | ||||||
Magellan Health * | 7,251 | 626 | ||||||
Mallinckrodt * | 14,745 | 551 | ||||||
Merit Medical Systems * | 16,591 | 703 | ||||||
Molina Healthcare * | 18,290 | 1,258 | ||||||
MyoKardia * | 13,037 | 559 | ||||||
Myriad Genetics * | 18,383 | 665 | ||||||
Nektar Therapeutics, Cl A * | 158,808 | 3,811 | ||||||
NeoGenomics * | 244,825 | 2,725 | ||||||
Omeros *(A) | 21,315 | 461 | ||||||
Omnicell * | 27,950 | 1,427 | ||||||
OraSure Technologies * | 26,161 | 589 | ||||||
Owens & Minor | 15,843 | 463 | ||||||
Pacira Pharmaceuticals * | 33,583 | 1,261 | ||||||
Paratek Pharmaceuticals * | 19,825 | 498 | ||||||
Parexel International * | 6,383 | 562 | ||||||
PDL BioPharma * | 173,403 | 588 | ||||||
Penumbra * | 6,236 | 563 | ||||||
Phibro Animal Health, Cl A | 15,034 | 557 | ||||||
Portola Pharmaceuticals, Cl A * | 9,797 | 529 | ||||||
PRA Health Sciences * | 24,218 | 1,845 | ||||||
Premier, Cl A * | 20,144 | 656 | ||||||
Prestige Brands Holdings, Cl A * | 86,511 | 4,333 | ||||||
Progenics Pharmaceuticals * | 61,467 | 452 | ||||||
Puma Biotechnology * | 5,949 | 712 | ||||||
Quidel * | 15,098 | 662 | ||||||
Sarepta Therapeutics * | 13,787 | 625 | ||||||
Spark Therapeutics * | 7,053 | 629 | ||||||
Supernus Pharmaceuticals * | 135,567 | 5,423 | ||||||
Tactile Systems Technology * | 20,653 | 639 | ||||||
Teladoc *(A) | 20,636 | 684 | ||||||
Teleflex | 17,424 | 4,216 | ||||||
TG Therapeutics *(A) | 41,339 | 490 | ||||||
Tivity Health * | 14,305 | 584 | ||||||
Trinity Biotech ADR * | 130,160 | 730 | ||||||
Triple-S Management, Cl B * | 30,403 | 720 | ||||||
United Therapeutics * | 4,518 | 529 | ||||||
WellCare Health Plans * | 4,364 | 749 | ||||||
93,752 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Industrials — 15.7% |
| |||||||
ACCO Brands * | 51,747 | $ | 616 | |||||
Advisory Board * | 35,529 | 1,905 | ||||||
Aerojet Rocketdyne Holdings * | 38,725 | 1,356 | ||||||
AGCO | 15,679 | 1,157 | ||||||
Alamo Group | 5,488 | 589 | ||||||
Albany International, Cl A | 17,732 | 1,018 | ||||||
Altra Industrial Motion | 11,881 | 571 | ||||||
American Woodmark * | 6,080 | 585 | ||||||
Apogee Enterprises (A) | 59,930 | 2,892 | ||||||
ARC Document Solutions * | 136,300 | 557 | ||||||
ArcBest | 23,966 | 802 | ||||||
Astec Industries | 11,265 | 631 | ||||||
Atlas Air Worldwide Holdings * | 29,575 | 1,946 | ||||||
Barnes Group | 24,244 | 1,708 | ||||||
BMC Stock Holdings * | 57,643 | 1,231 | ||||||
Brink’s | 16,120 | 1,358 | ||||||
Builders FirstSource * | 35,610 | 641 | ||||||
BWX Technologies, Cl W | 51,997 | 2,913 | ||||||
Celadon Group (A) | 78,429 | 529 | ||||||
Columbus McKinnon | 16,470 | 624 | ||||||
Copa Holdings, Cl A | 4,266 | 531 | ||||||
Covanta Holding (A) | 22,931 | 341 | ||||||
Crane, Cl A | 24,811 | 1,985 | ||||||
Curtiss-Wright | 26,938 | 2,816 | ||||||
Deluxe (A) | 58,269 | 4,251 | ||||||
EMCOR Group | 24,017 | 1,666 | ||||||
Ennis | 29,919 | 588 | ||||||
EnPro Industries | 7,878 | 634 | ||||||
Esterline Technologies * | 19,300 | 1,740 | ||||||
FreightCar America, Cl A | 32,444 | 635 | ||||||
Global Brass & Copper Holdings | 35,424 | 1,197 | ||||||
Granite Construction | 20,738 | 1,202 | ||||||
Great Lakes Dredge & Dock * | 129,978 | 630 | ||||||
Greenbrier (A) | 13,341 | 642 | ||||||
Harsco * | 28,229 | 590 | ||||||
Huntington Ingalls Industries, Cl A | 3,200 | 725 | ||||||
Huron Consulting Group * | 19,518 | 669 | ||||||
Hyster-Yale Materials Handling | 7,639 | 584 | ||||||
InnerWorkings * | 51,724 | 582 | ||||||
ITT | 29,397 | 1,301 | ||||||
JELD-WEN Holding * | 16,956 | 602 | ||||||
JetBlue Airways * | 58,833 | 1,090 | ||||||
Kadant | 6,269 | 618 | ||||||
KBR | 36,439 | 652 | ||||||
Kelly Services, Cl A | 23,002 | 577 | ||||||
Knight-Swift Transportation Holdings, Cl A * | 44,544 | 1,851 | ||||||
Kratos Defense & Security Solutions * | 42,893 | 561 | ||||||
LB Foster, Cl A | 32,530 | 740 | ||||||
Masonite International * | 29,692 | 2,055 | ||||||
MasTec * | 75,263 | 3,492 | ||||||
Mercury Systems * | 14,067 | 730 |
26 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Meritor * | 26,392 | $ | 686 | |||||
Moog, Cl A * | 7,239 | 604 | ||||||
MRC Global * | 46,223 | 808 | ||||||
MSC Industrial Direct, Cl A | 25,488 | 1,926 | ||||||
Navistar International * | 14,514 | 640 | ||||||
On Assignment * | 68,303 | 3,667 | ||||||
Orion Group Holdings * | 68,970 | 452 | ||||||
Oshkosh Truck | 8,457 | 698 | ||||||
Owens Corning | 8,760 | 678 | ||||||
Rush Enterprises, Cl A * | 45,256 | 2,095 | ||||||
Saia * | 28,489 | 1,785 | ||||||
SP Plus * | 14,713 | 581 | ||||||
Spirit AeroSystems Holdings, Cl A | 7,395 | 575 | ||||||
Spirit Airlines * | 18,943 | 633 | ||||||
Steelcase, Cl A | 40,564 | 625 | ||||||
Sun Hydraulics | 11,608 | 627 | ||||||
Team *(A) | 49,021 | 654 | ||||||
Tetra Tech | 67,866 | 3,159 | ||||||
Titan Machinery * | 34,681 | 539 | ||||||
TransDigm Group (A) | 9,886 | 2,527 | ||||||
Triton International | 19,687 | 655 | ||||||
Triumph Group (A) | 25,600 | 762 | ||||||
TrueBlue * | 44,779 | 1,005 | ||||||
Tutor Perini * | 30,202 | 858 | ||||||
Univar * | 24,193 | 700 | ||||||
Vectrus * | 25,498 | 786 | ||||||
Wabash National (A) | 28,184 | 643 | ||||||
WageWorks * | 62,902 | 3,818 | ||||||
XPO Logistics * | 80,947 | 5,487 | ||||||
98,579 | ||||||||
Information Technology — 20.6% | �� | |||||||
Acacia Communications *(A) | 9,936 | 468 | ||||||
ACI Worldwide * | 85,349 | 1,944 | ||||||
Acxiom * | 121,038 | 2,982 | ||||||
Aerohive Networks * | 105,155 | 430 | ||||||
Alarm.com Holdings * | 12,426 | 561 | ||||||
Amkor Technology * | 65,854 | 695 | ||||||
Anixter International * | 7,258 | 617 | ||||||
Arrow Electronics, Cl A * | 6,986 | 562 | ||||||
Avnet | 14,463 | 568 | ||||||
Axcelis Technologies * | 28,173 | 771 | ||||||
AXT * | 82,222 | 752 | ||||||
Bazaarvoice * | 97,252 | 481 | ||||||
Benchmark Electronics * | 16,609 | 567 | ||||||
Blackhawk Network Holdings, Cl A * | 133,923 | 5,866 | ||||||
Blucora * | 23,756 | 601 | ||||||
Bottomline Technologies *(A) | 39,737 | 1,265 | ||||||
Brooks Automation | 34,898 | 1,060 | ||||||
CalAmp * | 198,008 | 4,604 | ||||||
Callidus Software * | 119,013 | 2,934 | ||||||
Carbonite * | 23,596 | 519 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Cavium * | 35,255 | $ | 2,325 | |||||
Cimpress *(A) | 25,067 | 2,448 | ||||||
Cohu | 39,373 | 939 | ||||||
Convergys | 31,461 | 815 | ||||||
Cornerstone OnDemand * | 67,965 | 2,760 | ||||||
CoStar Group * | 3,615 | 970 | ||||||
Criteo ADR *(A) | 85,711 | 3,557 | ||||||
Cypress Semiconductor (A) | 108,863 | 1,635 | ||||||
Diebold Nixdorf (A) | 25,399 | 580 | ||||||
DST Systems | 10,404 | 571 | ||||||
Echo Global Logistics * | 41,609 | 784 | ||||||
Electronics For Imaging * | 60,584 | 2,586 | ||||||
Envestnet * | 11,348 | 579 | ||||||
Everbridge * | 24,515 | 648 | ||||||
Extreme Networks * | 47,013 | 559 | ||||||
Finisar * | 134,364 | 2,979 | ||||||
FireEye *(A) | 212,285 | 3,560 | ||||||
Five9 * | 104,106 | 2,488 | ||||||
Flir Systems | 14,280 | 556 | ||||||
FormFactor * | 44,329 | 747 | ||||||
Gartner * | 6,949 | 865 | ||||||
GTT Communications * | 18,599 | 589 | ||||||
Hortonworks * | 37,222 | 631 | ||||||
Ichor Holdings * | 22,611 | 606 | ||||||
II-VI * | 39,472 | 1,624 | ||||||
Insight Enterprises * | 24,097 | 1,107 | ||||||
Instructure * | 22,561 | 748 | ||||||
Integrated Device Technology * | 131,459 | 3,494 | ||||||
Internap *(A) | 121,243 | 527 | ||||||
Itron * | 19,243 | 1,490 | ||||||
j2 Global | 39,377 | 2,909 | ||||||
KEMET * | 26,713 | 564 | ||||||
Littelfuse | 8,592 | 1,683 | ||||||
LivePerson * | 40,890 | 554 | ||||||
Marvell Technology Group | 46,037 | 824 | ||||||
MAXIMUS | 98,463 | 6,351 | ||||||
Mellanox Technologies *(A) | 15,223 | 718 | ||||||
Monotype Imaging Holdings | 27,902 | 537 | ||||||
Novanta * | 15,953 | 696 | ||||||
Okta, Cl A * | 18,437 | 520 | ||||||
ON Semiconductor * | 261,871 | 4,837 | ||||||
PDF Solutions * | 96,196 | 1,490 | ||||||
Perficient * | 85,752 | 1,687 | ||||||
Photronics * | 70,458 | 624 | ||||||
Power Integrations | 10,198 | 746 | ||||||
Proofpoint * | 24,069 | 2,099 | ||||||
Q2 Holdings * | 14,528 | 605 | ||||||
QAD, Cl A | 17,951 | 617 | ||||||
Quotient Technology * | 33,942 | 531 | ||||||
Rudolph Technologies * | 32,897 | 865 | ||||||
Sanmina * | 65,435 | 2,431 | ||||||
Scansource * | 28,414 | 1,240 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 27 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Small Cap Fund (Concluded)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Semtech * | 15,231 | $ | 572 | |||||
Shutterstock * | 26,130 | 870 | ||||||
Silicom | 11,810 | 691 | ||||||
Stamps.com * | 28,622 | 5,800 | ||||||
STMicroelectronics, Cl Y | 164,357 | 3,192 | ||||||
Super Micro Computer * | 45,566 | 1,007 | ||||||
SuperCom *(A) | 79,000 | 276 | ||||||
Sykes Enterprises * | 19,228 | 561 | ||||||
Synaptics * | 21,935 | 859 | ||||||
SYNNEX | 7,471 | 945 | ||||||
Tech Data * | 22,537 | 2,002 | ||||||
Trade Desk, Cl A * | 10,248 | 630 | ||||||
Ultra Clean Holdings * | 27,753 | 850 | ||||||
Varonis Systems * | 15,826 | 663 | ||||||
VeriFone Holdings * | 101,130 | 2,051 | ||||||
Virtusa * | 17,391 | 657 | ||||||
Web.com Group * | 24,092 | 602 | ||||||
WNS Holdings ADR * | 34,372 | 1,255 | ||||||
Zebra Technologies, Cl A * | 6,200 | 673 | ||||||
129,298 | ||||||||
Materials — 3.2% | ||||||||
Allegheny Technologies (A) | 54,021 | 1,291 | ||||||
Boise Cascade * | 19,841 | 692 | ||||||
Cabot | 12,564 | 701 | ||||||
Clearwater Paper * | 11,840 | 583 | ||||||
Commercial Metals, Cl A | 53,714 | 1,022 | ||||||
Ferro * | 58,903 | 1,314 | ||||||
Ferroglobe | 58,537 | 770 | ||||||
Ferroglobe Representation * | 56,257 | — | ||||||
FutureFuel | 3,082 | 49 | ||||||
Ingevity * | 23,141 | 1,446 | ||||||
Innophos Holdings | 12,621 | 621 | ||||||
KMG Chemicals | 10,284 | 564 | ||||||
Louisiana-Pacific * | 20,832 | 564 | ||||||
LSB Industries *(A) | 104,423 | 829 | ||||||
Materion | 15,095 | 651 | ||||||
Owens-Illinois * | 28,481 | 717 | ||||||
Real Industry * | 90,975 | 164 | ||||||
Reliance Steel & Aluminum | 9,744 | 742 | ||||||
Schulman A | 28,101 | 960 | ||||||
Silgan Holdings | 24,811 | 730 | ||||||
Steel Dynamics | 21,460 | 740 | ||||||
Trinseo | 8,048 | 540 | ||||||
United States Steel (A) | 71,315 | 1,830 | ||||||
US Concrete *(A) | 34,169 | 2,607 | ||||||
20,127 | ||||||||
Real Estate — 3.7% | ||||||||
Alexander’s | 1,310 | 556 | ||||||
Brandywine Realty Trust ‡ | 56,167 | 982 | ||||||
Camden Property Trust ‡ | 12,169 | 1,113 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
CBL & Associates Properties ‡(A) | 67,379 | $ | 565 | |||||
Cedar Realty Trust ‡ | 115,856 | 651 | ||||||
Chesapeake Lodging Trust ‡ | 80,627 | 2,175 | ||||||
DiamondRock Hospitality ‡ | 72,018 | 789 | ||||||
Equity Commonwealth *‡ | 91,782 | 2,790 | ||||||
Four Corners Property Trust ‡ | 21,960 | 547 | ||||||
GEO Group ‡ | 17,316 | 466 | ||||||
Getty Realty ‡ | 48,981 | 1,401 | ||||||
Gramercy Property Trust | 24,069 | 728 | ||||||
Jones Lang LaSalle | 4,653 | 575 | ||||||
Kennedy-Wilson Holdings | 32,897 | 610 | ||||||
LaSalle Hotel Properties ‡ | 25,752 | 747 | ||||||
Medical Properties Trust ‡ | 151,674 | 1,992 | ||||||
Park Hotels & Resorts ‡ | 92,933 | 2,561 | ||||||
Physicians Realty Trust ‡ | 30,356 | 538 | ||||||
RLJ Lodging Trust ‡ | 45,182 | 994 | ||||||
STAG Industrial ‡ | 40,529 | 1,113 | ||||||
Washington Prime Group ‡ | 55,419 | 462 | ||||||
Xenia Hotels & Resorts ‡ | 50,775 | 1,069 | ||||||
23,424 | ||||||||
Telecommunication Services — 0.2% |
| |||||||
Boingo Wireless * | 34,869 | 745 | ||||||
IDT, Cl B | 34,545 | 486 | ||||||
Windstream Holdings (A) | 55,749 | 99 | ||||||
1,330 | ||||||||
Utilities — 2.5% | ||||||||
ALLETE | 38,381 | 2,966 | ||||||
El Paso Electric, Cl A | 10,749 | 594 | ||||||
Hawaiian Electric Industries | 16,172 | 540 | ||||||
Idacorp, Cl A | 24,107 | 2,120 | ||||||
NorthWestern | 12,860 | 732 | ||||||
ONE Gas | 19,117 | 1,408 | ||||||
PNM Resources | 26,317 | 1,061 | ||||||
Portland General Electric | 34,182 | 1,560 | ||||||
SJW | 11,419 | 646 | ||||||
Spire | 17,267 | 1,289 | ||||||
UGI | 43,308 | 2,029 | ||||||
Vistra Energy | 46,636 | 872 | ||||||
15,817 | ||||||||
Total Common Stock | 582,518 |
28 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Number of Rights | Market Value ($ Thousands) | ||
RIGHTS — 0.0% | ||||
Allos Therapeutics *‡‡ | 45,500 | $ – | ||
Total Rights | – | |||
Shares | ||||
AFFILIATED PARTNERSHIP — 9.7% | ||||
SEI Liquidity Fund, L.P. 1.110% **†(B) | 60,703,060 | 60,702 | ||
Total Affiliated Partnership | 60,702 |
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Description | Shares | Market Value ($ Thousands) | ||||
CASH EQUIVALENT — 7.2% |
| |||||
SEI Daily Income Trust, Government Fund, Cl F 0.840%**† | 45,088,888 | $ 45,089 | ||||
Total Cash Equivalent | 45,089 | |||||
Total Investments in Securities — 109.7% | $688,309 | |||||
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||
Russell 2000 Index E-MINI | 266 | Dec-2017 | $18,878 | $19,856 | $978 | |||||||||||||||
Percentages are based on Net Assets of $627,490 ($ Thousands). |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
‡‡ | Expiration date not available. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017 was $59,669 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2017 was $60,702 ($ Thousands). |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
The following is a list of the level of inputs used as of September 30, 2017, 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 | $ | 582,518 | $ | – | $ | – | $ | 582,518 | ||||||||
Rights | – | – | – | – | ||||||||||||
Affiliated Partnership | – | 60,702 | – | 60,702 | ||||||||||||
Cash Equivalent | 45,089 | – | – | 45,089 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 627,607 | $ | 60,702 | $ | – | $ | 688,309 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 978 | $ | — | $ | — | $ | 978 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 978 | $ | — | $ | — | $ | 978 | ||||||||
|
|
|
|
|
|
|
|
* Futures contracts are valued at the unrealized appreciation on the instrument.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, there were no transfers between Level 2 and Level 3 assets and liabilities.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||
SEI Liquidity Fund, L.P. | $ 52,352 | $ 191,557 | $ (183,206) | $ (1) | $ — | $ 60,702 | $ 698 | |||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 35,775 | 196,946 | (187,632) | — | — | 45,089 | 199 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||
Totals | $ 88,127 | $ 388,503 | $ (370,838) | $ (1) | $ — | $ 105,791 | $ 897 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 29 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Small Cap Value Fund
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK†† — 94.7% |
| |||||||
Consumer Discretionary — 10.0% |
| |||||||
Aaron’s | 26,390 | $ | 1,151 | |||||
Adtalem Global Education | 23,844 | 855 | ||||||
AMC Networks, Cl A * | 5,000 | 292 | ||||||
American Axle & Manufacturing Holdings * | 45,273 | 796 | ||||||
American Outdoor Brands *(A) | 18,394 | 281 | ||||||
American Public Education * | 15,575 | 328 | ||||||
Beazer Homes USA, Cl A * | 24,155 | 453 | ||||||
Big 5 Sporting Goods (A) | 24,367 | 186 | ||||||
Big Lots (A) | 40,025 | 2,144 | ||||||
Bloomin’ Brands | 47,711 | 840 | ||||||
Boyd Gaming | 28,661 | 747 | ||||||
Brinker International | 10,154 | 324 | ||||||
Capella Education | 3,910 | 274 | ||||||
Century Communities * | 28,512 | 704 | ||||||
Children’s Place | 3,303 | 390 | ||||||
Cooper Tire & Rubber (A) | 11,950 | 447 | ||||||
Cooper-Standard Holdings * | 14,116 | 1,637 | ||||||
CSS Industries | 19,629 | 566 | ||||||
Dana | 68,012 | 1,902 | ||||||
Deckers Outdoor * | 6,411 | 439 | ||||||
Express * | 47,705 | 323 | ||||||
Extended Stay America | 42,259 | 845 | ||||||
Finish Line, Cl A (A) | 33,533 | 403 | ||||||
Gentherm * | 22,919 | 851 | ||||||
Goodyear Tire & Rubber | 10,433 | 347 | ||||||
Group 1 Automotive | 9,112 | 660 | ||||||
Haverty Furniture | 23,891 | 625 | ||||||
Hibbett Sports * | 18,174 | 259 | ||||||
K12 * | 18,120 | 323 | ||||||
La-Z-Boy, Cl Z | 14,509 | 390 | ||||||
Lear | 4,974 | 861 | ||||||
Libbey | 61,102 | 566 | ||||||
Lithia Motors, Cl A | 21,621 | 2,601 | ||||||
MDC Partners, Cl A | 56,323 | 620 | ||||||
Meritage Homes * | 8,656 | 384 | ||||||
Modine Manufacturing * | 28,696 | 552 | ||||||
Murphy USA *(A) | 6,462 | 446 | ||||||
Nexstar Media Group, Cl A | 34,887 | 2,174 | ||||||
Office Depot | 198,812 | 903 | ||||||
Party City Holdco * | 39,118 | 530 | ||||||
Rent-A-Center (A) | 28,363 | 326 | ||||||
Sequential Brands Group *(A) | 89,081 | 266 | ||||||
Signet Jewelers | 8,030 | 534 | ||||||
Six Flags Entertainment | 37,170 | 2,265 | ||||||
Skechers U.S.A., Cl A * | 63,416 | 1,591 | ||||||
Sonic Automotive, Cl A | 23,628 | 482 | ||||||
Stoneridge * | 23,900 | 473 | ||||||
Tower International | 23,082 | 628 | ||||||
Vera Bradley * | 21,900 | 193 | ||||||
Visteon * | 4,677 | 579 | ||||||
Wendy’s | 73,744 | 1,145 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
WideOpenWest * | 21,623 | $ | 326 | |||||
Wolverine World Wide | 25,476 | 735 | ||||||
38,962 | ||||||||
Consumer Staples — 3.7% |
| |||||||
Andersons | 9,893 | 339 | ||||||
Central Garden & Pet, Cl A * | 38,026 | 1,414 | ||||||
Dean Foods | 32,237 | 351 | ||||||
Fresh Del Monte Produce | 22,165 | 1,008 | ||||||
HRG Group * | 75,655 | 1,181 | ||||||
Ingles Markets, Cl A | 16,429 | 422 | ||||||
Lamb Weston Holdings | 18,056 | 847 | ||||||
Landec * | 29,720 | 385 | ||||||
Omega Protein | 62,072 | 1,034 | ||||||
Performance Food Group * | 24,737 | 699 | ||||||
Pinnacle Foods | 30,694 | 1,755 | ||||||
Sanderson Farms (A) | 17,233 | 2,783 | ||||||
SpartanNash | 32,003 | 844 | ||||||
SUPERVALU * | 16,938 | 368 | ||||||
United Natural Foods * | 9,940 | 413 | ||||||
Universal | 5,746 | 329 | ||||||
14,172 | ||||||||
Energy — 4.8% | ||||||||
Arch Coal (A) | 4,757 | 341 | ||||||
Ardmore Shipping (A) | 50,480 | 416 | ||||||
Atwood Oceanics, Cl A *(A) | 43,440 | 408 | ||||||
Callon Petroleum * | 188,970 | 2,124 | ||||||
Forum Energy Technologies * | 34,847 | 554 | ||||||
Gulfport Energy * | 136,226 | 1,953 | ||||||
McDermott International * | 66,633 | 484 | ||||||
Newpark Resources, Cl A * | 42,893 | 429 | ||||||
Pacific Ethanol * | 75,746 | 420 | ||||||
Parsley Energy, Cl A * | 77,491 | 2,041 | ||||||
Patterson-UTI Energy | 35,276 | 739 | ||||||
PBF Energy, Cl A (A) | 89,631 | 2,475 | ||||||
Range Resources | 16,452 | 322 | ||||||
Renewable Energy Group *(A) | 36,223 | 440 | ||||||
REX American Resources * | 5,750 | 540 | ||||||
RSP Permian * | 36,736 | 1,271 | ||||||
Scorpio Tankers | 114,784 | 394 | ||||||
Smart Sand * | 25,743 | 175 | ||||||
Southwestern Energy * | 214,215 | 1,309 | ||||||
StealthGas * | 108,300 | 358 | ||||||
TETRA Technologies * | 167,183 | 478 | ||||||
Ultra Petroleum * | 47,523 | 412 | ||||||
Whiting Petroleum * | 131,479 | 718 | ||||||
18,801 | ||||||||
Financials — 26.8% | ||||||||
1st Source | 8,992 | 457 | ||||||
AG Mortgage Investment Trust ‡ | 20,461 | 394 |
30 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
American Equity Investment Life Holding | 120,011 | $ | 3,490 | |||||
Ameris Bancorp | 16,637 | 799 | ||||||
Argo Group International Holdings | 29,822 | 1,834 | ||||||
Aspen Insurance Holdings | 33,947 | 1,371 | ||||||
Assured Guaranty | 25,759 | 972 | ||||||
Axis Capital Holdings | 9,760 | 559 | ||||||
Banc of California (A) | 16,595 | 344 | ||||||
BancFirst | 12,540 | 712 | ||||||
Banco Latinoamericano de Comercio Exterior, Cl E | 20,311 | 598 | ||||||
Bancorp * | 44,895 | 371 | ||||||
BankUnited | 10,413 | 370 | ||||||
Berkshire Hills Bancorp | 16,845 | 653 | ||||||
BGC Partners, Cl A | 193,233 | 2,796 | ||||||
BlackRock Capital Investment | 51,618 | 387 | ||||||
Camden National | 19,831 | 865 | ||||||
Capitol Federal Financial | 81,811 | 1,203 | ||||||
Central Pacific Financial | 58,078 | 1,869 | ||||||
Chemical Financial | 16,193 | 846 | ||||||
CNO Financial Group | 137,691 | 3,214 | ||||||
Columbia Banking System | 70,409 | 2,965 | ||||||
Community Trust Bancorp | 18,404 | 856 | ||||||
Everest Re Group | 4,750 | 1,085 | ||||||
Federal Agricultural Mortgage, Cl C | 19,362 | 1,408 | ||||||
Fidelity Southern | 38,251 | 904 | ||||||
First BanCorp Puerto Rico * | 88,371 | 452 | ||||||
First Busey | 23,488 | 737 | ||||||
First Commonwealth Financial | 207,955 | 2,938 | ||||||
First Community Bancshares | 17,875 | 520 | ||||||
First Foundation * | 29,563 | 529 | ||||||
First Interstate BancSystem, Cl A | 34,364 | 1,314 | ||||||
First Merchants | 13,094 | 562 | ||||||
FirstCash | 27,585 | 1,742 | ||||||
Flagstar Bancorp * | 19,831 | 704 | ||||||
Flushing Financial | 48,597 | 1,444 | ||||||
FNB (Pennsylvania) | 184,733 | 2,592 | ||||||
FNFV Group * | 25,893 | 444 | ||||||
Fulton Financial | 120,960 | 2,268 | ||||||
Great Western Bancorp | 35,569 | 1,468 | ||||||
Green Dot, Cl A * | 16,738 | 830 | ||||||
Hancock Holding, Cl A | 11,177 | 542 | ||||||
Hanmi Financial | 29,125 | 901 | ||||||
Hanover Insurance Group, Cl A | 22,241 | 2,156 | ||||||
Heartland Financial USA | 11,322 | 559 | ||||||
Hercules Capital, Cl A | 37,894 | 489 | ||||||
IBERIABANK | 31,303 | 2,572 | ||||||
Independent Bank Group | 9,098 | 549 | ||||||
International Bancshares | 11,436 | 459 | ||||||
International FCStone * | 10,209 | 391 | ||||||
Investors Bancorp | 27,443 | 374 | ||||||
Kemper, Cl A | 19,414 | 1,029 | ||||||
Ladder Capital, Cl A | 25,953 | 358 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Legg Mason | 32,462 | $ | 1,276 | |||||
Maiden Holdings | 59,645 | 474 | ||||||
MainSource Financial Group | 18,336 | 658 | ||||||
MB Financial | 69,136 | 3,113 | ||||||
Meridian Bancorp | 32,095 | 599 | ||||||
MFA Financial ‡ | 46,765 | 410 | ||||||
MGIC Investment * | 166,948 | 2,092 | ||||||
National Bank Holdings, Cl A | 11,617 | 415 | ||||||
National Western Life Group, Cl A | 1,198 | 418 | ||||||
Nationstar Mortgage Holdings * | 20,779 | 386 | ||||||
Nelnet, Cl A | 14,958 | 755 | ||||||
Northfield Bancorp | 20,661 | 358 | ||||||
OFG Bancorp | 224,695 | 2,056 | ||||||
Old National Bancorp, Cl A | 123,994 | 2,269 | ||||||
PacWest Bancorp | 75,057 | 3,791 | ||||||
PennantPark Investment | 48,015 | 361 | ||||||
PennyMac Financial Services, Cl A * | 21,954 | 391 | ||||||
PennyMac Mortgage Investment Trust ‡ | 20,913 | 364 | ||||||
Piper Jaffray | 5,949 | 353 | ||||||
PJT Partners | 8,591 | 329 | ||||||
Popular | 47,941 | 1,723 | ||||||
Primerica | 7,400 | 604 | ||||||
ProAssurance | 6,156 | 336 | ||||||
Radian Group | 80,756 | 1,509 | ||||||
Regional Management * | 17,580 | 426 | ||||||
Republic Bancorp, Cl A | 16,500 | 642 | ||||||
Selective Insurance Group | 7,880 | 424 | ||||||
Simmons First National, Cl A | 6,674 | 386 | ||||||
SLM * | 150,583 | 1,727 | ||||||
South State | 24,795 | 2,233 | ||||||
Starwood Property Trust ‡ | 133,544 | 2,901 | ||||||
State Bank Financial | 23,470 | 672 | ||||||
Sterling Bancorp | 17,191 | 424 | ||||||
TCF Financial | 42,624 | 726 | ||||||
TriCo Bancshares | 10,384 | 423 | ||||||
Umpqua Holdings | 60,018 | 1,171 | ||||||
Union Bankshares | 13,382 | 472 | ||||||
Universal Insurance Holdings | 14,618 | 336 | ||||||
Validus Holdings | 37,541 | 1,847 | ||||||
Voya Financial | 26,199 | 1,045 | ||||||
Waddell & Reed Financial, Cl A (A) | 20,862 | 419 | ||||||
Western Alliance Bancorp * | 19,434 | 1,032 | ||||||
Wintrust Financial | 11,595 | 908 | ||||||
World Acceptance *(A) | 6,524 | 541 | ||||||
104,040 | ||||||||
Health Care — 4.8% | ||||||||
Acadia Healthcare, Cl A *(A) | 14,826 | 708 | ||||||
Accuray *(A) | 89,986 | 360 | ||||||
Allscripts Healthcare Solutions * | 53,535 | 762 | ||||||
AMN Healthcare Services *(A) | 12,731 | 582 | ||||||
Exactech * | 12,600 | 415 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 31 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Small Cap Value Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Integer Holdings * | 14,803 | $ | 757 | |||||
Kindred Healthcare | 31,350 | 213 | ||||||
Lannett *(A) | 128,997 | 2,380 | ||||||
Lantheus Holdings * | 20,045 | 357 | ||||||
LifePoint Health * | 5,618 | 325 | ||||||
Ligand Pharmaceuticals *(A) | 26,481 | 3,605 | ||||||
Magellan Health * | 13,669 | 1,180 | ||||||
Molina Healthcare * | 6,154 | 423 | ||||||
Omnicell * | 14,392 | 735 | ||||||
Owens & Minor | 11,618 | 339 | ||||||
Pacira Pharmaceuticals * | 9,330 | 350 | ||||||
PDL BioPharma * | 112,744 | 382 | ||||||
PRA Health Sciences * | 10,135 | 772 | ||||||
Prestige Brands Holdings, Cl A * | 12,668 | 635 | ||||||
QIAGEN | 10,836 | 341 | ||||||
SciClone Pharmaceuticals * | 32,711 | 366 | ||||||
Sucampo Pharmaceuticals, Cl A *(A) | 34,280 | 405 | ||||||
Supernus Pharmaceuticals * | 12,362 | 494 | ||||||
Trinity Biotech ADR * | 87,116 | 489 | ||||||
Triple-S Management, Cl B * | 23,461 | 556 | ||||||
United Therapeutics * | 3,013 | 353 | ||||||
WellCare Health Plans * | 2,182 | 375 | ||||||
18,659 | ||||||||
Industrials — 15.4% | ||||||||
AAR | 12,740 | 481 | ||||||
ACCO Brands * | 135,603 | 1,614 | ||||||
Advisory Board * | 21,229 | 1,138 | ||||||
Aerojet Rocketdyne Holdings * | 15,503 | 543 | ||||||
Aircastle | 16,047 | 358 | ||||||
Alaska Air Group | 7,115 | 543 | ||||||
Albany International, Cl A | 9,926 | 570 | ||||||
American Woodmark * | 7,455 | 717 | ||||||
ARC Document Solutions * | 96,637 | 395 | ||||||
ArcBest | 12,113 | 405 | ||||||
Atlas Air Worldwide Holdings * | 29,603 | 1,948 | ||||||
Avis Budget Group * | 13,232 | 504 | ||||||
Barnes Group | 16,250 | 1,145 | ||||||
BMC Stock Holdings * | 47,974 | 1,024 | ||||||
Briggs & Stratton | 22,090 | 519 | ||||||
Brink’s | 9,511 | 801 | ||||||
BWX Technologies, Cl W | 39,855 | 2,233 | ||||||
Crane, Cl A | 22,081 | 1,766 | ||||||
Curtiss-Wright | 16,994 | 1,777 | ||||||
Deluxe (A) | 5,619 | 410 | ||||||
EMCOR Group | 13,066 | 906 | ||||||
Ennis | 47,665 | 937 | ||||||
Essendant | 33,853 | 446 | ||||||
Esterline Technologies * | 4,466 | 403 | ||||||
FreightCar America, Cl A | 20,123 | 394 | ||||||
Genesee & Wyoming, Cl A * | 43,712 | 3,235 | ||||||
Global Brass & Copper Holdings | 21,387 | 723 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Great Lakes Dredge & Dock * | 106,853 | $ | 518 | |||||
Greenbrier (A) | 7,858 | 378 | ||||||
Hawaiian Holdings * | 23,263 | 873 | ||||||
Herman Miller | 11,532 | 414 | ||||||
Huntington Ingalls Industries, Cl A | 1,939 | 439 | ||||||
Hyster-Yale Materials Handling | 7,040 | 538 | ||||||
ICF International, Cl A * | 8,817 | 476 | ||||||
InnerWorkings * | 32,620 | 367 | ||||||
ITT | 49,796 | 2,204 | ||||||
JELD-WEN Holding * | 10,459 | 371 | ||||||
JetBlue Airways * | 48,878 | 906 | ||||||
Kaman, Cl A (A) | 31,682 | 1,767 | ||||||
KAR Auction Services | 60,201 | 2,874 | ||||||
KBR | 29,492 | 527 | ||||||
Kelly Services, Cl A | 15,409 | 387 | ||||||
LB Foster, Cl A | 24,101 | 548 | ||||||
LSC Communications | 21,683 | 358 | ||||||
ManpowerGroup | 3,151 | 371 | ||||||
MasTec * | 17,534 | 814 | ||||||
Meritor * | 77,991 | 2,029 | ||||||
MRC Global * | 47,606 | 833 | ||||||
Navigant Consulting * | 25,322 | 428 | ||||||
On Assignment * | 7,775 | 417 | ||||||
Orion Group Holdings * | 37,085 | 243 | ||||||
Oshkosh Truck | 5,182 | 428 | ||||||
Owens Corning | 5,868 | 454 | ||||||
Roadrunner Transportation Systems * | 41,310 | 394 | ||||||
RPX * | 27,194 | 361 | ||||||
RR Donnelley & Sons | 6,328 | 65 | ||||||
Rush Enterprises, Cl A * | 9,844 | 456 | ||||||
Saia * | 16,801 | 1,053 | ||||||
Skywest | 22,146 | 972 | ||||||
SP Plus * | 9,882 | 390 | ||||||
Sparton * | 16,702 | 388 | ||||||
Spirit Airlines * | 6,872 | 230 | ||||||
Steelcase, Cl A | 35,261 | 543 | ||||||
Teledyne Technologies * | 18,161 | 2,891 | ||||||
Timken | 7,698 | 374 | ||||||
Triumph Group | 25,337 | 754 | ||||||
TrueBlue * | 30,892 | 693 | ||||||
Tutor Perini *(A) | 32,117 | 912 | ||||||
Univar * | 19,180 | 555 | ||||||
Vectrus * | 20,021 | 617 | ||||||
VSE | 7,000 | 398 | ||||||
Wabash National (A) | 57,473 | 1,311 | ||||||
Wesco Aircraft Holdings * | 32,950 | 310 | ||||||
WESCO International * | 6,443 | 375 | ||||||
59,939 | ||||||||
Information Technology — 11.6% |
| |||||||
Acacia Communications *(A) | 6,218 | 293 | ||||||
ACI Worldwide * | 83,964 | 1,913 |
32 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Aerohive Networks * | 78,884 | $ | 323 | |||||
Alpha & Omega Semiconductor * | 20,514 | 338 | ||||||
Amkor Technology * | 110,219 | 1,163 | ||||||
Anixter International * | 5,968 | 507 | ||||||
Bazaarvoice* | 74,089 | 367 | ||||||
Benchmark Electronics * | 38,523 | 1,316 | ||||||
Blackhawk Network Holdings, Cl A * | 16,174 | 708 | ||||||
Bottomline Technologies * | 32,107 | 1,022 | ||||||
Brooks Automation | 19,620 | 596 | ||||||
Cirrus Logic * | 6,341 | 338 | ||||||
Convergys | 32,943 | 853 | ||||||
CSG Systems International | 17,538 | 703 | ||||||
Cypress Semiconductor (A) | 39,370 | 591 | ||||||
Diebold Nixdorf (A) | 25,051 | 572 | ||||||
DST Systems | 6,675 | 366 | ||||||
ePlus * | 5,195 | 480 | ||||||
Finisar * | 44,072 | 977 | ||||||
IAC * | 30,606 | 3,599 | ||||||
II-VI * | 22,832 | 940 | ||||||
Insight Enterprises * | 35,361 | 1,624 | ||||||
Integrated Device Technology * | 50,007 | 1,329 | ||||||
Itron * | 10,351 | 802 | ||||||
j2 Global | 22,389 | 1,654 | ||||||
Jabil | 30,410 | 868 | ||||||
Kulicke & Soffa Industries * | 28,808 | 621 | ||||||
Littelfuse | 3,340 | 654 | ||||||
Marvell Technology Group | 23,080 | 413 | ||||||
Match Group * | 40,295 | 934 | ||||||
Mellanox Technologies * | 14,171 | 668 | ||||||
NETGEAR * | 7,905 | 376 | ||||||
Photronics * | 54,115 | 479 | ||||||
Power Integrations | 9,883 | 723 | ||||||
QAD, Cl A | 11,426 | 393 | ||||||
Rudolph Technologies * | 15,004 | 395 | ||||||
Sanmina * | 74,103 | 2,753 | ||||||
Scansource* | 35,970 | 1,570 | ||||||
Silicon Motion Technology ADR (A) | 32,737 | 1,572 | ||||||
Super Micro Computer * | 13,448 | 297 | ||||||
SuperCom *(A) | 86,200 | 302 | ||||||
Sykes Enterprises * | 39,969 | 1,166 | ||||||
Synaptics * | 18,515 | 725 | ||||||
SYNNEX | 11,478 | 1,452 | ||||||
Tech Data * | 23,227 | 2,064 | ||||||
Travelport Worldwide | 24,551 | 385 | ||||||
TTM Technologies * | 20,107 | 309 | ||||||
VeriFone Holdings * | 82,826 | 1,680 | ||||||
Virtusa * | 17,145 | 648 | ||||||
Zebra Technologies, Cl A * | 4,150 | 451 | ||||||
45,272 | ||||||||
Materials — 6.2% | ||||||||
Allegheny Technologies (A) | 25,632 | 612 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Ashland Global Holdings | 11,277 | $ | 737 | |||||
Boise Cascade * | 12,453 | 435 | ||||||
Cabot | 24,268 | 1,354 | ||||||
Clearwater Paper * | 7,343 | 362 | ||||||
Cleveland-Cliffs * | 49,070 | 351 | ||||||
Commercial Metals, Cl A | 45,076 | 858 | ||||||
Domtar | 9,464 | 411 | ||||||
Ferro * | 21,563 | 481 | ||||||
Ferroglobe | 44,386 | 584 | ||||||
Ferroglobe Representation * | 53,302 | — | ||||||
FMC | 32,353 | 2,889 | ||||||
Huntsman | 21,658 | 594 | ||||||
Ingevity * | 10,213 | 638 | ||||||
Innophos Holdings | 8,414 | 414 | ||||||
LSB Industries *(A) | 85,903 | 682 | ||||||
Materion | 10,377 | 448 | ||||||
Owens-Illinois* | 54,795 | 1,379 | ||||||
PH Glatfelter | 14,800 | 288 | ||||||
Reliance Steel & Aluminum | 4,695 | 358 | ||||||
Schulman A | 28,589 | 976 | ||||||
Schweitzer-Mauduit International | 13,474 | 559 | ||||||
Silgan Holdings | 99,914 | 2,940 | ||||||
Steel Dynamics | 10,646 | 367 | ||||||
Trinseo | 19,782 | 1,327 | ||||||
United States Steel (A) | 59,746 | 1,533 | ||||||
Valvoline | 110,805 | 2,598 | ||||||
24,175 | ||||||||
Real Estate — 7.6% | ||||||||
Alexander’s | 873 | 370 | ||||||
Brandywine Realty Trust ‡ | 38,776 | 678 | ||||||
Camden Property Trust ‡ | 4,498 | 411 | ||||||
CBL & Associates Properties ‡(A) | 67,602 | 567 | ||||||
Chatham Lodging Trust (A) | 24,600 | 525 | ||||||
Chesapeake Lodging Trust ‡ | 27,778 | 749 | ||||||
DiamondRock Hospitality ‡(A) | 69,772 | 764 | ||||||
Equity Commonwealth *‡ | 43,795 | 1,331 | ||||||
Four Corners Property Trust ‡ | 14,701 | 366 | ||||||
Franklin Street Properties ‡ | 48,401 | 514 | ||||||
Gaming and Leisure Properties ‡ | 60,524 | 2,233 | ||||||
Getty Realty ‡ | 65,648 | 1,878 | ||||||
Gramercy Property Trust | 11,946 | 361 | ||||||
Hersha Hospitality Trust, Cl A ‡(A) | 19,883 | 371 | ||||||
Hospitality Properties Trust ‡ | 19,215 | 547 | ||||||
Howard Hughes * | 20,585 | 2,428 | ||||||
InfraREIT ‡ | 15,676 | 351 | ||||||
Kennedy-Wilson Holdings | 26,610 | 494 | ||||||
Lexington Realty Trust ‡ | 57,000 | 583 | ||||||
Mack-Cali Realty ‡ | 13,308 | 316 | ||||||
MedEquities Realty Trust | 36,345 | 427 | ||||||
Medical Properties Trust ‡(A) | 174,357 | 2,289 | ||||||
Park Hotels & Resorts ‡ | 45,672 | 1,259 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 33 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Small Cap Value Fund (Concluded)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Physicians Realty Trust ‡ | 19,612 | $ | 348 | |||||
Piedmont Office Realty Trust, Cl A ‡ | 33,015 | 666 | ||||||
RLJ Lodging Trust ‡ | 25,041 | 551 | ||||||
Sabra Health Care ‡ | 54,701 | 1,200 | ||||||
Select Income ‡ | 51,974 | 1,217 | ||||||
Senior Housing Properties Trust ‡ | 29,148 | 570 | ||||||
STAG Industrial ‡ | 27,599 | 758 | ||||||
Starwood Waypoint Homes ‡ | 49,986 | 1,818 | ||||||
Summit Hotel Properties ‡ | 58,608 | 937 | ||||||
Two Harbors Investment ‡ | 35,895 | 362 | ||||||
Xenia Hotels & Resorts ‡ | 62,795 | 1,322 | ||||||
29,561 | ||||||||
Telecommunication Services — 0.2% | ||||||||
Cincinnati Bell * | 22,058 | 438 | ||||||
Iridium Communications *(A) | 37,235 | 383 | ||||||
821 | ||||||||
Utilities — 3.6% | ||||||||
ALLETE | 25,691 | 1,986 | ||||||
Avista | 10,906 | 564 | ||||||
Idacorp, Cl A | 16,001 | 1,407 | ||||||
ONE Gas | 11,653 | 858 | ||||||
PNM Resources | 51,658 | 2,082 | ||||||
Portland General Electric | 47,923 | 2,187 | ||||||
SJW | 12,634 | 715 | ||||||
Southwest Gas Holdings | 5,740 | 445 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Spire | 14,490 | $ | 1,082 | |||||
UGI | 20,842 | 977 | ||||||
Unitil | 23,347 | 1,155 | ||||||
Vistra Energy | 31,290 | 585 | ||||||
14,043 | ||||||||
Total Common Stock | 368,445 | |||||||
AFFILIATED PARTNERSHIP — 8.5% | ||||||||
SEI Liquidity Fund, L.P. 1.110% **†(B) | 33,168,176 | 33,169 | ||||||
Total Affiliated Partnership | 33,169 | |||||||
CASH EQUIVALENT — 3.1% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F 0.840% **† | 11,855,222 | 11,855 | ||||||
Total Cash Equivalent | 11,855 | |||||||
Total Investments in Securities — 106.3% | $ | 413,469 | ||||||
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||
Russell 2000 Index E-MINI | 50 | Dec-2017 | $3,724 | $3,732 | $8 | |||||||||||||||
|
|
|
Percentages are based on Net Assets of $389,005 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
†† | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017 was $32,558 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2017 was $33,169 ($ Thousands). |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
The following is a list of the level of inputs used as of September 30, 2017, 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 | $ | 368,445 | $ | – | $ | – | $ | 368,445 | ||||||||
Affiliated Partnership | – | 33,169 | – | 33,169 | ||||||||||||
Cash Equivalent | 11,855 | – | – | 11,855 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities | $ | 380,300 | $ | 33,169 | $ | – | $ | 413,469 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 8 | $ | – | $ | – | $ | 8 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Other Financial Instruments | $ | 8 | $ | – | $ | – | $ | 8 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* Futures contracts are valued at the unrealized appreciation on the instrument.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, there were no transfers between Level 2 and Level 3 assets and liabilities.
34 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Liquidity Fund, L.P. | $ 104,013 | $ 162,697 | $ (233,540) | $ (2) | $ 1 | $ 33,169 | $ 511 | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 17,700 | 114,773 | (120,618) | — | — | 11,855 | 97 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Totals | $ 121,713 | $ 277,470 | $ (354,158) | $ (2) | $ 1 | $ 45,024 | $ 608 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 35 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Small Cap Growth Fund
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK†† — 95.1% |
| |||||||
Consumer Discretionary — 11.5% |
| |||||||
Aaron’s | 6,963 | $ | 304 | |||||
AMC Entertainment Holdings, Cl A (A) | 78,395 | 1,152 | ||||||
Bob Evans Farms | 14,284 | 1,107 | ||||||
Boot Barn Holdings *(A) | 38,620 | 344 | ||||||
Bright Horizons Family Solutions * | 33,451 | 2,884 | ||||||
Camping World Holdings, Cl A | 13,937 | 568 | ||||||
Carter’s | 18,451 | 1,822 | ||||||
Children’s Place | 7,852 | 928 | ||||||
Conn’s *(A) | 54,318 | 1,529 | ||||||
Core-Mark Holding, Cl A | 37,133 | 1,194 | ||||||
Dana | 13,198 | 369 | ||||||
Dave & Buster’s Entertainment * | 6,414 | 337 | ||||||
Five Below * | 6,181 | 339 | ||||||
Floor & Decor Holdings, Cl A * | 8,691 | 338 | ||||||
Grand Canyon Education * | 27,520 | 2,499 | ||||||
Helen of Troy * | 3,510 | 340 | ||||||
Hibbett Sports *(A) | 22,262 | 317 | ||||||
Installed Building Products * | 5,320 | 345 | ||||||
Jack in the Box | 13,044 | 1,329 | ||||||
Lithia Motors, Cl A | 4,768 | 574 | ||||||
Lumber Liquidators Holdings * | 10,628 | 414 | ||||||
Malibu Boats, Cl A * | 40,749 | 1,289 | ||||||
Modine Manufacturing * | 19,112 | 368 | ||||||
Monro (A) | 23,046 | 1,292 | ||||||
National CineMedia | 106,046 | 740 | ||||||
Ollie’s Bargain Outlet Holdings * | 64,996 | 3,016 | ||||||
Planet Fitness, Cl A | 134,274 | 3,623 | ||||||
Playa Hotels & Resorts * | 80,860 | 843 | ||||||
Red Robin Gourmet Burgers * | 14,378 | 963 | ||||||
Sally Beauty Holdings * | 102,708 | 2,011 | ||||||
Select Comfort * | 15,948 | 495 | ||||||
Sotheby’s * | 5,727 | 264 | ||||||
Tenneco | 6,872 | 417 | ||||||
TopBuild * | 5,994 | 391 | ||||||
Visteon * | 3,086 | 382 | ||||||
Weight Watchers International *(A) | 12,018 | 523 | ||||||
William Lyon Homes, Cl A * | 67,016 | 1,541 | ||||||
Winnebago Industries | 8,181 | 366 | ||||||
Wolverine World Wide | 55,377 | 1,598 | ||||||
ZAGG* | 22,001 | 347 | ||||||
39,502 | ||||||||
Consumer Staples — 1.3% |
| |||||||
Casey’s General Stores (A) | 4,500 | 493 | ||||||
Central Garden & Pet * | 24,259 | 942 | ||||||
Chefs’ Warehouse Holdings *(A) | 22,842 | 441 | ||||||
elf Beauty *(A) | 17,014 | 384 | ||||||
Freshpet*(A) | 19,292 | 302 | ||||||
Hostess Brands, Cl A * | 99,278 | 1,356 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Primo Water * | 48,119 | $ | 570 | |||||
4,488 | ||||||||
Energy — 0.9% |
| |||||||
Carrizo Oil & Gas * | 38,215 | 655 | ||||||
Evolution Petroleum | 136,472 | 983 | ||||||
Forum Energy Technologies * | 14,220 | 226 | ||||||
Matador Resources * | 14,102 | 383 | ||||||
Oil States International * | 11,341 | 287 | ||||||
RigNet, Cl A * | 36,005 | 619 | ||||||
3,153 | ||||||||
Financials — 4.6% |
| |||||||
Eagle Bancorp * | 36,867 | 2,472 | ||||||
Essent Group * | 8,472 | 343 | ||||||
Evercore, Cl A | 16,716 | 1,341 | ||||||
Financial Engines | 24,497 | 851 | ||||||
Houlihan Lokey, Cl A | 15,676 | 613 | ||||||
LendingTree * | 1,874 | 458 | ||||||
LPL Financial Holdings | 7,517 | 388 | ||||||
Moelis, Cl A | 16,263 | 700 | ||||||
PennantPark Investment | 99,438 | 747 | ||||||
Primerica | 4,495 | 367 | ||||||
TPG Pace Energy Holdings * | 65,828 | 669 | ||||||
TPG Pace Holdings * | 45,795 | 472 | ||||||
Trupanion *(A) | 17,855 | 472 | ||||||
United Community Banks | 53,337 | 1,522 | ||||||
Value Creation *(B)(C)(D)(E) | 145,600 | 61 | ||||||
Walker & Dunlop * | 11,248 | 589 | ||||||
Wintrust Financial | 36,144 | 2,830 | ||||||
WisdomTree Investments | 97,181 | 989 | ||||||
15,884 | ||||||||
Health Care — 23.4% |
| |||||||
Acadia Healthcare, Cl A *(A) | 45,812 | 2,188 | ||||||
Accelerate Diagnostics *(A) | 26,512 | 595 | ||||||
Acceleron Pharma * | 8,077 | 301 | ||||||
Aclaris Therapeutics * | 15,375 | 397 | ||||||
Adamas Pharmaceuticals *(A) | 57,367 | 1,214 | ||||||
Aerie Pharmaceuticals * | 19,022 | 924 | ||||||
Akebia Therapeutics * | 20,457 | 402 | ||||||
AMAG Pharmaceuticals *(A) | 68,952 | 1,272 | ||||||
AMN Healthcare Services * | 66,240 | 3,027 | ||||||
Ardelyx * | 62,326 | 349 | ||||||
Array BioPharma * | 29,693 | 365 | ||||||
Atara Biotherapeutics *(A) | 24,545 | 406 | ||||||
AtriCure * | 23,556 | 527 | ||||||
Avadel Pharmaceuticals ADR * | 64,308 | 675 | ||||||
Avexis * | 6,029 | 583 | ||||||
AxoGen * | 21,007 | 407 | ||||||
Bluebird Bio * | 3,210 | 441 | ||||||
Blueprint Medicines * | 6,519 | 454 |
36 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Cambrex * | 6,179 | $ | 340 | |||||
Capital Senior Living * | 78,129 | 981 | ||||||
Catalent * | 7,694 | 307 | ||||||
Chimerix * | 95,801 | 503 | ||||||
Clementia Pharmaceuticals * | 20,018 | 338 | ||||||
Clovis Oncology * | 7,973 | 657 | ||||||
Corcept Therapeutics * | 21,195 | 409 | ||||||
CryoLife * | 70,307 | 1,596 | ||||||
Cutera * | 14,193 | 587 | ||||||
Cymabay Therapeutics * | 44,161 | 356 | ||||||
DBV Technologies ADR * | 16,650 | 707 | ||||||
Dynavax Technologies *(A) | 19,926 | 428 | ||||||
Eagle Pharmaceuticals *(A) | 4,122 | 246 | ||||||
Endologix *(A) | 99,794 | 445 | ||||||
Entellus Medical *(A) | 33,018 | 610 | ||||||
Esperion Therapeutics * | 7,339 | 368 | ||||||
Evolent Health, Cl A *(A) | 29,388 | 523 | ||||||
Exact Sciences * | 54,254 | 2,556 | ||||||
FibroGen * | 9,380 | 505 | ||||||
Global Blood Therapeutics * | 12,756 | 396 | ||||||
GlycoMimetics * | 23,622 | 331 | ||||||
HealthEquity * | 16,626 | 841 | ||||||
HealthStream * | 18,971 | 443 | ||||||
Heron Therapeutics * | 33,873 | 547 | ||||||
ICON * | 3,850 | 438 | ||||||
Ignyta * | 44,289 | 547 | ||||||
ImmunoGen *(A) | 49,076 | 375 | ||||||
Immunomedics *(A) | 153,846 | 2,151 | ||||||
INC Research Holdings, Cl A * | 21,760 | 1,138 | ||||||
Innoviva * | 24,055 | 340 | ||||||
Inogen * | 19,300 | 1,835 | ||||||
Insmed * | 11,778 | 368 | ||||||
Insulet*(A) | 13,394 | 738 | ||||||
Integra LifeSciences Holdings * | 25,101 | 1,267 | ||||||
Intersect ENT * | 24,034 | 749 | ||||||
iRhythm Technologies * | 17,406 | 903 | ||||||
La Jolla Pharmaceutical * | 12,487 | 434 | ||||||
LHC Group * | 5,080 | 360 | ||||||
Ligand Pharmaceuticals * | 13,002 | 1,770 | ||||||
Loxo Oncology * | 8,008 | 738 | ||||||
Medidata Solutions * | 36,231 | 2,828 | ||||||
Merit Medical Systems *(A) | 20,769 | 880 | ||||||
Mersana Therapeutics *(A) | 23,218 | 401 | ||||||
MiMedx Group *(A) | 23,769 | 282 | ||||||
Molina Healthcare * | 4,604 | 317 | ||||||
MyoKardia * | 9,486 | 407 | ||||||
Natus Medical * | 16,666 | 625 | ||||||
Nektar Therapeutics, Cl A * | 16,180 | 388 | ||||||
NeoGenomics * | 149,839 | 1,668 | ||||||
Neurocrine Biosciences * | 7,224 | 443 | ||||||
Neuroderm *(A) | 11,950 | 465 | ||||||
Nevro * | 22,100 | 2,008 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Omeros *(A) | 14,738 | $ | 319 | |||||
Omnicell * | 38,959 | 1,989 | ||||||
OraSure Technologies * | 78,364 | 1,763 | ||||||
Pacific Biosciences of California * | 83,431 | 438 | ||||||
Paratek Pharmaceuticals * | 23,957 | 601 | ||||||
Penumbra * | 8,426 | 761 | ||||||
Portola Pharmaceuticals, Cl A * | 5,898 | 319 | ||||||
PRA Health Sciences * | 39,282 | 2,992 | ||||||
Prestige Brands Holdings, Cl A * | 59,148 | 2,963 | ||||||
Prothena * | 4,899 | 317 | ||||||
Puma Biotechnology * | 3,402 | 407 | ||||||
Quidel * | 9,810 | 430 | ||||||
Revance Therapeutics * | 24,533 | 676 | ||||||
Sangamo Therapeutics * | 22,778 | 342 | ||||||
Sarepta Therapeutics * | 10,881 | 494 | ||||||
Spark Therapeutics * | 4,011 | 358 | ||||||
Supernus Pharmaceuticals * | 64,200 | 2,568 | ||||||
Syndax Pharmaceuticals * | 34,045 | 398 | ||||||
Synergy Pharmaceuticals *(A) | 158,811 | 461 | ||||||
Tactile Systems Technology * | 40,549 | 1,255 | ||||||
Teladoc *(A) | 24,160 | 801 | ||||||
TG Therapeutics *(A) | 27,507 | 326 | ||||||
Tivity Health * | 9,127 | 372 | ||||||
Vanda Pharmaceuticals * | 42,739 | 765 | ||||||
Veracyte * | 73,147 | 642 | ||||||
Vocera Communications * | 75,566 | 2,371 | ||||||
WaVe Life Sciences *(A) | 21,119 | 459 | ||||||
Xencor * | 14,022 | 321 | ||||||
80,318 | ||||||||
Industrials — 20.8% | ||||||||
ABM Industries | 10,906 | 455 | ||||||
Advisory Board * | 7,544 | 405 | ||||||
Aerojet Rocketdyne Holdings * | 11,157 | 391 | ||||||
AGCO | 4,550 | 336 | ||||||
Air Transport Services Group * | 97,075 | 2,363 | ||||||
Altra Industrial Motion | 7,211 | 347 | ||||||
American Woodmark * | 3,602 | 347 | ||||||
Apogee Enterprises | 39,805 | 1,921 | ||||||
Astec Industries | 7,807 | 437 | ||||||
Axon Enterprise *(A) | 26,415 | 599 | ||||||
Builders FirstSource * | 21,311 | 383 | ||||||
BWX Technologies, Cl W | 31,729 | 1,777 | ||||||
Clean Harbors * | 27,011 | 1,532 | ||||||
Columbus McKinnon | 13,059 | 495 | ||||||
Deluxe | 47,514 | 3,467 | ||||||
Dycom Industries * | 4,072 | 350 | ||||||
EnPro Industries | 4,440 | 358 | ||||||
Exponent | 15,055 | 1,113 | ||||||
Fortress Transportation & Infrastructure Investors | 29,285 | 528 | ||||||
Forward Air | 28,777 | 1,647 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 37 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Small Cap Growth Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Gardner Denver Holdings * | 14,840 | $ | 408 | |||||
Graham, Cl A | 14,789 | 308 | ||||||
Granite Construction | 14,887 | 863 | ||||||
H&E Equipment Services | 16,643 | 486 | ||||||
Harsco * | 16,426 | 343 | ||||||
Hawaiian Holdings * | 7,861 | 295 | ||||||
Healthcare Services Group | 51,806 | 2,796 | ||||||
Heartland Express | 84,262 | 2,113 | ||||||
Heritage-Crystal Clean * | 91,560 | 1,991 | ||||||
Hudson Technologies * | 100,091 | 782 | ||||||
InnerWorkings * | 164,876 | 1,855 | ||||||
John Bean Technologies, Cl A | 44,960 | 4,545 | ||||||
Kadant | 4,161 | 410 | ||||||
Kennametal | 49,212 | 1,985 | ||||||
Kirby * | 25,268 | 1,666 | ||||||
Knight-Swift Transportation Holdings, Cl A * | 26,743 | 1,111 | ||||||
Kornit Digital *(A) | 22,044 | 337 | ||||||
Kratos Defense & Security Solutions * | 30,243 | 396 | ||||||
MasTec * | 43,610 | 2,023 | ||||||
Mercury Systems * | 69,272 | 3,594 | ||||||
MSC Industrial Direct, Cl A | 6,954 | 526 | ||||||
Multi-Color | 20,644 | 1,692 | ||||||
Navistar International * | 8,235 | 363 | ||||||
NV5 Global * | 26,656 | 1,457 | ||||||
On Assignment * | 38,770 | 2,081 | ||||||
Proto Labs * | 16,487 | 1,324 | ||||||
RBC Bearings * | 6,108 | 764 | ||||||
Ritchie Bros. Auctioneers (A) | 23,576 | 745 | ||||||
Roadrunner Transportation Systems * | 32,205 | 307 | ||||||
Rush Enterprises, Cl A * | 11,423 | 529 | ||||||
Saia * | 5,736 | 359 | ||||||
SiteOne Landscape Supply * | 6,273 | 364 | ||||||
SP Plus * | 57,255 | 2,262 | ||||||
Steelcase, Cl A | 18,854 | 290 | ||||||
Sun Hydraulics | 6,652 | 359 | ||||||
Tennant | 20,100 | 1,331 | ||||||
TriNet Group * | 73,375 | 2,467 | ||||||
Triton International | 10,208 | 340 | ||||||
TrueBlue * | 27,457 | 616 | ||||||
WABCO Holdings * | 2,320 | 343 | ||||||
WageWorks * | 38,501 | 2,337 | ||||||
XPO Logistics * | 41,710 | 2,827 | ||||||
71,241 | ||||||||
Information Technology — 28.8% |
| |||||||
2U * | 36,798 | 2,062 | ||||||
3D Systems *(A) | 37,923 | 508 | ||||||
Actua * | 75,889 | 1,161 | ||||||
Acxiom * | 72,164 | 1,778 | ||||||
Advanced Energy Industries * | 9,054 | 731 | ||||||
Alarm.com Holdings * | 7,135 | 322 | ||||||
Applied Optoelectronics *(A) | 4,594 | 297 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Aspen Technology * | 11,077 | $ | 696 | |||||
Axcelis Technologies * | 16,785 | 459 | ||||||
AXT * | 47,077 | 431 | ||||||
Barracuda Networks * | 29,257 | 709 | ||||||
Benefitfocus *(A) | 10,255 | 345 | ||||||
Blackbaud, Cl A | 4,636 | 407 | ||||||
Blackhawk Network Holdings, Cl A * | 67,636 | 2,962 | ||||||
Blackline * | 16,153 | 551 | ||||||
Blucora * | 16,380 | 414 | ||||||
Brooks Automation | 11,359 | 345 | ||||||
CalAmp * | 87,333 | 2,030 | ||||||
Callidus Software * | 125,475 | 3,093 | ||||||
Carbonite * | 72,460 | 1,594 | ||||||
Cavium * | 20,818 | 1,373 | ||||||
ChannelAdvisor * | 47,879 | 551 | ||||||
Ciena * | 19,258 | 423 | ||||||
Cimpress *(A) | 15,131 | 1,478 | ||||||
Cirrus Logic * | 6,847 | 365 | ||||||
Cognex | 19,477 | 2,148 | ||||||
Coherent * | 9,157 | 2,153 | ||||||
Cohu | 14,310 | 341 | ||||||
comScore *(A) | 16,407 | 472 | ||||||
Cornerstone OnDemand * | 43,253 | 1,757 | ||||||
CTS | 38,543 | 929 | ||||||
CyberArk Software * | 12,098 | 496 | ||||||
Descartes Systems Group * | 21,036 | 575 | ||||||
Electronics For Imaging * | 39,249 | 1,675 | ||||||
Entegris * | 11,786 | 340 | ||||||
Envestnet * | 28,717 | 1,465 | ||||||
Euronet Worldwide * | 30,800 | 2,920 | ||||||
Everbridge * | 39,068 | 1,032 | ||||||
Exa * | 80,693 | 1,951 | ||||||
Extreme Networks * | 51,689 | 615 | ||||||
Finisar * | 51,909 | 1,151 | ||||||
FireEye *(A) | 178,365 | 2,991 | ||||||
Five9 * | 68,935 | 1,648 | ||||||
FormFactor * | 34,279 | 578 | ||||||
Forrester Research | 14,808 | 620 | ||||||
GrubHub *(A) | 32,926 | 1,734 | ||||||
GTT Communications * | 10,557 | 334 | ||||||
Guidewire Software, Cl Z * | 6,699 | 522 | ||||||
Hortonworks * | 21,470 | 364 | ||||||
HubSpot * | 5,300 | 445 | ||||||
Ichor Holdings * | 13,514 | 362 | ||||||
II-VI * | 10,883 | 448 | ||||||
Instructure * | 13,104 | 434 | ||||||
Internap * | 66,360 | 289 | ||||||
KEMET * | 33,117 | 700 | ||||||
Littelfuse | 17,690 | 3,465 | ||||||
LivePerson * | 113,838 | 1,543 | ||||||
LogMeIn | 24,792 | 2,728 | ||||||
Lumentum Holdings * | 10,917 | 593 |
38 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
MAXIMUS | 32,564 | $ | 2,100 | |||||
Mesa Laboratories | 3,255 | 486 | ||||||
Microsemi * | 9,385 | 483 | ||||||
MKS Instruments | 5,944 | 561 | ||||||
Monolithic Power Systems | 32,645 | 3,478 | ||||||
New Relic * | 22,818 | 1,136 | ||||||
Okta, Cl A * | 11,262 | 318 | ||||||
Paycom Software * | 19,694 | 1,476 | ||||||
Paylocity Holding * | 6,464 | 316 | ||||||
PDF Solutions * | 60,594 | 939 | ||||||
Pegasystems | 22,245 | 1,282 | ||||||
Perficient * | 42,314 | 832 | ||||||
Presidio *(A) | 54,220 | 767 | ||||||
Proofpoint *(A) | 21,450 | 1,871 | ||||||
Q2 Holdings * | 63,388 | 2,640 | ||||||
QAD, Cl A | 19,937 | 685 | ||||||
Quotient Technology * | 19,593 | 307 | ||||||
RealPage * | 31,702 | 1,265 | ||||||
RingCentral, Cl A * | 76,857 | 3,209 | ||||||
Rogers * | 3,742 | 499 | ||||||
Shutterstock * | 31,940 | 1,063 | ||||||
Silicom | 5,995 | 351 | ||||||
Silicon Laboratories * | 8,336 | 666 | ||||||
Stamps.com * | 2,994 | 607 | ||||||
Stratasys * | 33,361 | 771 | ||||||
Trade Desk, Cl A * | 12,398 | 763 | ||||||
Tyler Technologies * | 9,103 | 1,587 | ||||||
Ultra Clean Holdings * | 18,097 | 554 | ||||||
Universal Display | 2,440 | 314 | ||||||
USA Technologies * | 57,734 | 361 | ||||||
Varonis Systems * | 8,871 | 372 | ||||||
Web.com Group * | 20,653 | 516 | ||||||
XO Group * | 66,199 | 1,302 | ||||||
98,780 | ||||||||
Materials — 2.2% |
| |||||||
Ferro * | 16,267 | 363 | ||||||
Ingevity * | 7,092 | 443 | ||||||
KMG Chemicals | 8,787 | 482 | ||||||
Louisiana-Pacific * | 27,119 | 734 | ||||||
PolyOne | 10,783 | 432 | ||||||
Sensient Technologies | 8,294 | 638 | ||||||
Summit Materials, Cl A * | 72,333 | 2,317 | ||||||
Trinseo | 5,810 | 390 | ||||||
US Concrete * | 21,042 | 1,605 | ||||||
7,404 | ||||||||
Real Estate — 1.4% |
| |||||||
CoreSite Realty ‡ | 16,131 | 1,805 | ||||||
FirstService | 7,511 | 494 | ||||||
Jernigan Capital ‡(A) | 25,204 | 518 | ||||||
Medical Properties Trust ‡ | 93,961 | 1,234 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
National Storage Affiliates Trust ‡ | 38,379 | $ | 930 | |||||
4,981 | ||||||||
Telecommunication Services — 0.2% |
| |||||||
Boingo Wireless * | 19,646 | 420 | ||||||
Vonage Holdings * | 43,751 | 356 | ||||||
776 | ||||||||
Total Common Stock | 326,527 | |||||||
Number of Rights | ||||||||
RIGHTS* — 0.0% |
| |||||||
Dyax CVR, Expires 12/31/2019 | 7,184 | – | ||||||
Durata Therapeutics ‡‡(C) | 8,500 | – | ||||||
Total Rights | – | |||||||
Shares | ||||||||
AFFILIATED PARTNERSHIP — 8.0% |
| |||||||
SEI Liquidity Fund, L.P. 1.110%**†(F) | 27,404,461 | 27,403 | ||||||
Total Affiliated Partnership | 27,403 | |||||||
CASH EQUIVALENT — 3.7% |
| |||||||
SEI Daily Income Trust, Government Fund, Cl F 0.840%**† | 12,752,780 | 12,753 | ||||||
Total Cash Equivalent | 12,753 | |||||||
Total Investments in Securities— 106.8% | $ | 366,683 | ||||||
|
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 39 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Small Cap Growth Fund (Concluded)
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||
Russell 2000 Index E-MINI | 14 | Dec-2017 | $1,043 | $1,045 | $2 | |||||||||||||||
Percentages are based on Net Assets of $343,284 ($ Thousands). |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
‡‡ | Expiration date not available. |
† | Investment in Affiliated Security (see Note 6). |
†† | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017 was $27,115 ($ Thousands). |
(B) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2017 was $61 ($ Thousands) and represented 0.0% of the Net Assets of the Fund. |
(C) | Level 3 security in accordance with fair value hierarchy. |
(D) | Securities considered illiquid. The total value of such securities as of September 30, 2017 was $61 ($ Thousands) and represented 0.0% of the Net Assets of the Fund. |
(E) | Securities considered restricted. The total market value of such securities as of September 30, 2017 was $61 ($ Thousands) and represented 0.0% of the Net Assets of the Fund. |
(F) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2017 was $27,403 ($ Thousands). |
ADR — American Depositary Receipt
Cl — Class
CVR — Contingent Value Rights
L.P. — Limited Partnership
The following is a list of the level of inputs used as of September 30, 2017, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities
| Level 1
| Level 2
| Level 3(1)
| Total
| ||||||||||||
Common Stock | $ | 326,466 | $ | – | $ | 61 | $ | 326,527 | ||||||||
Rights | – | – | – | – | ||||||||||||
Affiliated Partnership | – | 27,403 | – | 27,403 | ||||||||||||
Cash Equivalent | 12,753 | – | – | 12,753 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Total Investments in Securities | $ | 339,219 | $ | 27,403 | $ | 61 | $ | 366,683 | ||||||||
|
|
|
|
|
|
|
|
| ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 2 | $ | — | $ | — | $ | 2 | ||||||||
|
|
|
|
|
|
|
|
| ||||||||
Total Other Financial Instruments | $ | 2 | $ | — | $ | — | $ | 2 | ||||||||
|
|
|
|
|
|
|
|
|
* Futures contracts are valued at the unrealized appreciation on the instrument.
(1) A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, there were no transfers between Level 2 and Level 3 assets and liabilities.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Liquidity Fund, L.P. | $ 31,161 | $ 107,931 | $(111,687) | $(1) | $(1) | $ 27,403 | $ 557 | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 12,401 | 105,328 | (104,976) | — | — | 12,753 | 72 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Totals | $ 43,562 | $ 213,259 | $(216,663) | $(1) | $(1) | $ 40,156 | $ 629 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 $0.
The accompanying notes are an integral part of the financial statements.
40 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Managed Small/Mid Cap Fund
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.5% |
| |||||||
Consumer Discretionary — 10.9% |
| |||||||
Aaron’s | 41,041 | $ | 1,791 | |||||
Adtalem Global Education * | 22,000 | 789 | ||||||
American Axle & Manufacturing Holdings * | 55,216 | 971 | ||||||
Asbury Automotive Group * | 12,470 | 762 | ||||||
Autoliv (A) | 7,000 | 865 | ||||||
Big Lots (A) | 62,582 | 3,352 | ||||||
Biglari Holdings * | 1,862 | 621 | ||||||
Bloomin’ Brands | 16,026 | 282 | ||||||
Boyd Gaming | 100,317 | 2,613 | ||||||
Bridgepoint Education * | 35,170 | 338 | ||||||
Bright Horizons Family Solutions * | 21,695 | 1,870 | ||||||
Brinker International | 27,563 | 878 | ||||||
Buffalo Wild Wings * | 6,238 | 659 | ||||||
Burlington Stores * | 15,376 | 1,468 | ||||||
Capella Education | 6,087 | 427 | ||||||
Century Communities * | 13,157 | 325 | ||||||
Children’s Place | 4,130 | 488 | ||||||
Cooper Tire & Rubber (A) | 23,464 | 878 | ||||||
Cooper-Standard Holdings * | 8,000 | 928 | ||||||
Core-Mark Holding, Cl A | 19,658 | 632 | ||||||
Dana | 34,652 | 969 | ||||||
Dave & Buster’s Entertainment * | 30,145 | 1,582 | ||||||
Del Frisco’s Restaurant Group * | 44,297 | 644 | ||||||
Dillard’s, Cl A (A) | 2,522 | 141 | ||||||
Domino’s Pizza | 2,231 | 443 | ||||||
Extended Stay America | 60,158 | 1,203 | ||||||
Five Below * | 37,142 | 2,038 | ||||||
Floor & Decor Holdings, Cl A * | 25,093 | 977 | ||||||
G-III Apparel Group * | 10,352 | 300 | ||||||
Grand Canyon Education * | 31,371 | 2,849 | ||||||
Group 1 Automotive | 9,467 | 686 | ||||||
Guess?, Cl 3 | 18,773 | 320 | ||||||
Hanesbrands (A) | 11,797 | 291 | ||||||
Hasbro | 8,180 | 799 | ||||||
Haverty Furniture | 16,178 | 423 | ||||||
Hibbett Sports *(A) | 75,421 | 1,075 | ||||||
Installed Building Products * | 26,555 | 1,721 | ||||||
Interpublic Group | 32,406 | 674 | ||||||
K12 * | 27,523 | 491 | ||||||
Lear | 15,285 | 2,646 | ||||||
Libbey | 42,776 | 396 | ||||||
Lions Gate Entertainment, Cl A * | 30,573 | 1,023 | ||||||
Lithia Motors, Cl A (A) | 53,748 | 6,466 | ||||||
LKQ * | 14,707 | 529 | ||||||
Marriott Vacations Worldwide (A) | 16,786 | 2,090 | ||||||
Michael Kors Holdings * | 24,328 | 1,164 | ||||||
Michaels * | 27,511 | 591 | ||||||
Murphy USA *(A) | 7,798 | 538 | ||||||
Newell Brands, Cl B | 20,677 | 882 | ||||||
Nexstar Media Group, Cl A | 26,684 | 1,662 | ||||||
NVR* | 745 | 2,127 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Ollie’s Bargain Outlet Holdings *(A) | 40,289 | $ | 1,869 | |||||
Planet Fitness, Cl A * | 66,798 | 1,802 | ||||||
Pool | 24,064 | 2,603 | ||||||
Scientific Games, Cl A * | 16,904 | 775 | ||||||
Signet Jewelers | 5,042 | 336 | ||||||
Six Flags Entertainment | 94,131 | 5,736 | ||||||
Skechers U.S.A., Cl A * | 144,632 | 3,629 | ||||||
SodaStream International * | 20,077 | 1,334 | ||||||
Stoneridge * | 18,416 | 365 | ||||||
Tenneco | 23,402 | 1,420 | ||||||
Texas Roadhouse, Cl A | 24,743 | 1,216 | ||||||
Tower International | 40,279 | 1,096 | ||||||
Ulta Beauty * | 3,283 | 742 | ||||||
Urban Outfitters * | 13,717 | 328 | ||||||
Vail Resorts | 16,565 | 3,779 | ||||||
Visteon * | 17,488 | 2,164 | ||||||
Wendy’s | 180,995 | 2,811 | ||||||
Whirlpool | 5,200 | 959 | ||||||
Wolverine World Wide | 35,748 | 1,031 | ||||||
ZAGG * | 28,169 | 444 | ||||||
93,116 | ||||||||
Consumer Staples — 3.1% |
| |||||||
Andersons | 11,959 | 410 | ||||||
Central Garden & Pet, Cl A * | 58,983 | 2,194 | ||||||
Chefs’ Warehouse Holdings *(A) | 75,548 | 1,458 | ||||||
Darling Ingredients * | 23,438 | 411 | ||||||
elf Beauty *(A) | – | – | ||||||
Energizer Holdings | 10,900 | 502 | ||||||
Fresh Del Monte Produce | 10,733 | 488 | ||||||
Freshpet *(A) | 115,986 | 1,815 | ||||||
HRG Group * | 105,642 | 1,649 | ||||||
Ingredion | 11,339 | 1,368 | ||||||
J&J Snack Foods | 7,030 | 923 | ||||||
John B Sanfilippo & Son (A) | 6,294 | 424 | ||||||
Kroger | 19,039 | 382 | ||||||
Lamb Weston Holdings | 34,188 | 1,603 | ||||||
Molson Coors Brewing, Cl B | 6,535 | 533 | ||||||
Omega Protein | 95,950 | 1,597 | ||||||
Pilgrim’s Pride * | 30,205 | 858 | ||||||
Pinnacle Foods | 51,904 | 2,967 | ||||||
Post Holdings * | 5,128 | 453 | ||||||
Sanderson Farms (A) | 14,381 | 2,323 | ||||||
SpartanNash | 14,576 | 384 | ||||||
Spectrum Brands Holdings | 9,521 | 1,008 | ||||||
United Natural Foods * | 33,974 | 1,413 | ||||||
US Foods Holding * | 38,713 | 1,034 | ||||||
USANA Health Sciences * | 4,731 | 273 | ||||||
26,470 | ||||||||
Energy — 3.8% | ||||||||
Abraxas Petroleum * | 177,515 | 334 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 41 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Managed Small/Mid Cap Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Andeavor | 14,412 | $ | 1,487 | |||||
Arch Coal (A) | 4,292 | 308 | ||||||
Callon Petroleum * | 175,000 | 1,967 | ||||||
Cloud Peak Energy * | 102,389 | 375 | ||||||
Concho Resources * | 8,831 | 1,163 | ||||||
Diamondback Energy, Cl A * | 15,916 | 1,559 | ||||||
Energen* | 16,314 | 892 | ||||||
Forum Energy Technologies *(A) | 116,746 | 1,856 | ||||||
Gulfport Energy * | 50,000 | 717 | ||||||
Matador Resources *(A) | 68,125 | 1,850 | ||||||
Matrix Service * | 72,228 | 1,098 | ||||||
McDermott International * | 171,090 | 1,244 | ||||||
Noble *(A) | 432,989 | 1,992 | ||||||
Oasis Petroleum * | 62,111 | 566 | ||||||
Parsley Energy, Cl A * | 6,542 | 172 | ||||||
Patterson-UTI Energy | 71,259 | 1,492 | ||||||
PBF Energy, Cl A (A) | 153,336 | 4,234 | ||||||
Penn Virginia * | 15,728 | 629 | ||||||
Pioneer Natural Resources | 2,474 | 365 | ||||||
Range Resources | 99,547 | 1,948 | ||||||
REX American Resources * | 2,850 | 267 | ||||||
RSP Permian * | 114,471 | 3,959 | ||||||
SandRidge Energy * | 76,191 | 1,531 | ||||||
US Silica Holdings | 12,359 | 384 | ||||||
32,389 | ||||||||
Financials — 19.0% | ||||||||
1st Source | 4,460 | 227 | ||||||
Affiliated Managers Group | 12,845 | 2,438 | ||||||
AGNC Investment ‡ | 16,769 | 364 | ||||||
Allstate | 7,797 | 717 | ||||||
Ambac Financial Group * | 35,364 | 610 | ||||||
American Equity Investment Life Holding | 160,817 | 4,677 | ||||||
American Financial Group | 14,643 | 1,515 | ||||||
Ameriprise Financial | 4,701 | 698 | ||||||
Arch Capital Group * | 3,676 | 362 | ||||||
Argo Group International Holdings | 33,503 | 2,060 | ||||||
Artisan Partners Asset Management, Cl A | 30,344 | 989 | ||||||
Aspen Insurance Holdings | 25,058 | 1,012 | ||||||
Assurant | 10,159 | 970 | ||||||
Assured Guaranty | 28,902 | 1,091 | ||||||
Astoria Financial | 15,617 | 336 | ||||||
Banc of California (A) | 39,554 | 821 | ||||||
BancFirst | 8,096 | 459 | ||||||
Bancorp * | 129,901 | 1,074 | ||||||
Bank of the Ozarks (A) | 26,740 | 1,285 | ||||||
BankUnited | 66,814 | 2,377 | ||||||
Beneficial Bancorp | 71,421 | 1,186 | ||||||
BGC Partners, Cl A | 327,534 | 4,739 | ||||||
Canadian Imperial Bank of Commerce | 3,321 | 291 | ||||||
Capitol Federal Financial | 221,123 | 3,251 | ||||||
CBOE Holdings | 10,390 | 1,118 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Central Pacific Financial | 15,480 | $ | 498 | |||||
Chemical Financial | 17,703 | 925 | ||||||
City Holding | 4,920 | 354 | ||||||
CNO Financial Group | 55,102 | 1,286 | ||||||
Columbia Banking System | 95,842 | 4,036 | ||||||
Community Trust Bancorp | 5,462 | 254 | ||||||
Cowen, Cl A * | 39,036 | 695 | ||||||
Dime Community Bancshares | 17,964 | 386 | ||||||
E*Trade Financial * | 16,141 | 704 | ||||||
Eagle Bancorp * | 33,168 | 2,224 | ||||||
East West Bancorp | 57,713 | 3,450 | ||||||
Employers Holdings | 17,888 | 813 | ||||||
Enterprise Financial Services | 9,147 | 387 | ||||||
Essent Group * | 9,139 | 370 | ||||||
Evercore, Cl A | 15,008 | 1,204 | ||||||
Everest Re Group | 13,363 | 3,052 | ||||||
FBL Financial Group, Cl A | 2,500 | 186 | ||||||
Federal Agricultural Mortgage, Cl C | 7,433 | 541 | ||||||
Fidelity Southern | 20,478 | 484 | ||||||
First American Financial | 27,324 | 1,365 | ||||||
First BanCorp Puerto Rico * | 51,635 | 264 | ||||||
First Citizens BancShares, Cl A | 1,150 | 430 | ||||||
First Commonwealth Financial | 156,875 | 2,217 | ||||||
First Interstate BancSystem, Cl A | 19,006 | 727 | ||||||
FirstCash | 36,698 | 2,317 | ||||||
Flagstar Bancorp * | 15,477 | 549 | ||||||
FNB (Pennsylvania) | 102,113 | 1,433 | ||||||
FNFV Group * | 32,120 | 551 | ||||||
Genworth Financial, Cl A * | 84,034 | 324 | ||||||
Great Western Bancorp | 46,395 | 1,915 | ||||||
Green Dot, Cl A * | 111,315 | 5,519 | ||||||
Hamilton Lane, Cl A | 31,690 | 851 | ||||||
Hanmi Financial | 25,802 | 799 | ||||||
Hanover Insurance Group, Cl A | 34,803 | 3,373 | ||||||
Heartland Financial USA | 14,677 | 725 | ||||||
Heritage Financial | 15,795 | 466 | ||||||
Hilltop Holdings | 15,949 | 415 | ||||||
Horace Mann Educators, Cl A | 22,271 | 876 | ||||||
Houlihan Lokey, Cl A | 42,219 | 1,652 | ||||||
Huntington Bancshares | 127,744 | 1,783 | ||||||
Independent Bank | 14,650 | 332 | ||||||
Infinity Property & Casualty | 6,577 | 620 | ||||||
International Bancshares | 20,180 | 809 | ||||||
International FCStone * | 11,359 | 435 | ||||||
Investors Bancorp | 57,756 | 788 | ||||||
LPL Financial Holdings | 51,260 | 2,643 | ||||||
MarketAxess Holdings | 3,601 | 664 | ||||||
MB Financial | 161,930 | 7,290 | ||||||
MGIC Investment * | 217,483 | 2,725 | ||||||
OFG Bancorp | 301,712 | 2,761 | ||||||
OneMain Holdings, Cl A * | 39,814 | 1,122 | ||||||
PacWest Bancorp | 143,406 | 7,243 |
42 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
PennyMac Financial Services, Cl A * | 37,039 | $ | 659 | |||||
Piper Jaffray | 8,894 | 528 | ||||||
Popular | 55,397 | 1,991 | ||||||
Primerica (A) | 4,255 | 347 | ||||||
ProAssurance | 4,901 | 268 | ||||||
Prosperity Bancshares (A) | 11,028 | 725 | ||||||
Raymond James Financial | 28,900 | 2,437 | ||||||
Regional Management * | 16,091 | 390 | ||||||
Reinsurance Group of America, Cl A | 13,096 | 1,827 | ||||||
RenaissanceRe Holdings | 1,520 | 205 | ||||||
Sandy Spring Bancorp | 10,835 | 449 | ||||||
Santander Consumer USA Holdings * | 71,795 | 1,104 | ||||||
Selective Insurance Group | 56,285 | 3,031 | ||||||
ServisFirst Bancshares (A) | 15,218 | 591 | ||||||
Signature Bank, Cl B * | 14,208 | 1,819 | ||||||
SLM * | 260,629 | 2,989 | ||||||
South State | 41,797 | 3,764 | ||||||
Starwood Property Trust ‡ | 224,339 | 4,873 | ||||||
State Bank Financial | 12,145 | 348 | ||||||
Sterling Bancorp | 35,000 | 863 | ||||||
Stifel Financial | 20,530 | 1,098 | ||||||
Stock Yards Bancorp | 8,696 | 330 | ||||||
SVB Financial Group, Cl B * | 10,502 | 1,965 | ||||||
Synovus Financial | 17,477 | 805 | ||||||
TCF Financial | 55,027 | 938 | ||||||
Umpqua Holdings | 46,580 | 909 | ||||||
Unum Group | 29,327 | 1,500 | ||||||
Validus Holdings | 21,738 | 1,070 | ||||||
Voya Financial | 53,770 | 2,145 | ||||||
Walker & Dunlop * | 12,464 | 652 | ||||||
Webster Financial | 3,768 | 198 | ||||||
Western Alliance Bancorp * | 71,507 | 3,796 | ||||||
WSFS Financial | 28,005 | 1,365 | ||||||
Zions Bancorporation | 97,856 | 4,617 | ||||||
163,095 | ||||||||
Health Care — 9.4% | ||||||||
ABIOMED * | 8,661 | 1,460 | ||||||
Aerie Pharmaceuticals * | 21,500 | 1,045 | ||||||
Aimmune Therapeutics *(A) | 26,200 | 650 | ||||||
Akorn * | 49,189 | 1,633 | ||||||
Alere * | 3,176 | 162 | ||||||
Align Technology * | 19,671 | 3,664 | ||||||
AmerisourceBergen, Cl A | 6,015 | 498 | ||||||
AMN Healthcare Services * | 16,505 | 754 | ||||||
Audentes Therapeutics * | 19,379 | 543 | ||||||
Avexis * | 3,691 | 357 | ||||||
Biohaven Pharmaceutical Holding * | 12,295 | 460 | ||||||
Bioverativ * | 8,745 | 499 | ||||||
Blueprint Medicines * | 4,312 | 300 | ||||||
Cambrex * | 16,607 | 913 | ||||||
Catalent * | 12,832 | 512 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Charles River Laboratories International * | 7,525 | $ | 813 | |||||
Chemed | 14,754 | 2,981 | ||||||
Clovis Oncology * | 6,622 | 546 | ||||||
Corcept Therapeutics * | 23,699 | 457 | ||||||
DBV Technologies ADR * | 6,083 | 258 | ||||||
DENTSPLY SIRONA | 12,999 | 777 | ||||||
DexCom *(A) | 23,754 | 1,162 | ||||||
Emergent BioSolutions * | 12,195 | 493 | ||||||
Envision Healthcare * | 12,187 | 548 | ||||||
Exelixis * | 57,552 | 1,395 | ||||||
Glaukos *(A) | 18,293 | 604 | ||||||
GW Pharmaceuticals ADR *(A) | 3,127 | 317 | ||||||
HealthSouth | 41,909 | 1,943 | ||||||
Humana | 5,500 | 1,340 | ||||||
ICON * | 18,166 | 2,069 | ||||||
ICU Medical *(A) | 5,669 | 1,054 | ||||||
Idexx Laboratories * | 6,675 | 1,038 | ||||||
Incyte * | 3,300 | 385 | ||||||
Innoviva * | 29,993 | 424 | ||||||
Integra LifeSciences Holdings * | 37,902 | 1,913 | ||||||
Intersect ENT * | 25,663 | 799 | ||||||
iRhythm Technologies * | 20,857 | 1,082 | ||||||
Lannett *(A) | 45,346 | 837 | ||||||
LHC Group * | 8,754 | 621 | ||||||
LifePoint Health *(A) | 5,888 | 341 | ||||||
Ligand Pharmaceuticals *(A) | 65,105 | 8,864 | ||||||
Loxo Oncology * | 6,983 | 643 | ||||||
Magellan Health * | 12,967 | 1,119 | ||||||
Masimo * | 15,397 | 1,333 | ||||||
Medicines *(A) | 25,269 | 936 | ||||||
MEDNAX * | 4,845 | 209 | ||||||
Mettler Toledo International * | 411 | 257 | ||||||
MiMedx Group *(A) | 104,441 | 1,241 | ||||||
Molina Healthcare * | 25,197 | 1,733 | ||||||
Myriad Genetics * | 14,494 | 524 | ||||||
Nektar Therapeutics, Cl A * | 16,429 | 394 | ||||||
Neurocrine Biosciences * | 7,182 | 440 | ||||||
Nevro *(A) | 19,869 | 1,806 | ||||||
Novocure *(A) | 22,900 | 455 | ||||||
Omnicell * | 25,169 | 1,285 | ||||||
Parexel International * | 12,058 | 1,062 | ||||||
PDL BioPharma * | 73,493 | 249 | ||||||
Penumbra * | 19,555 | 1,766 | ||||||
PerkinElmer | 12,707 | 876 | ||||||
PRA Health Sciences * | 48,881 | 3,723 | ||||||
Prothena *(A) | 6,444 | 417 | ||||||
Sage Therapeutics * | 15,894 | 990 | ||||||
Sarepta Therapeutics * | 10,289 | 467 | ||||||
SciClone Pharmaceuticals * | 27,149 | 304 | ||||||
Teleflex | 3,980 | 963 | ||||||
TESARO * | 12,579 | 1,624 | ||||||
Tivity Health * | 21,473 | 876 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 43 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Managed Small/Mid Cap Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Triple-S Management, Cl B * | 34,432 | $ | 815 | |||||
Ultragenyx Pharmaceutical * | 4,053 | 216 | ||||||
United Therapeutics * | 14,367 | 1,684 | ||||||
Varex Imaging * | 10,468 | 354 | ||||||
Veeva Systems, Cl A * | 15,000 | 846 | ||||||
Vocera Communications * | 42,471 | 1,332 | ||||||
WellCare Health Plans * | 15,989 | 2,746 | ||||||
80,196 | ||||||||
Industrials — 16.0% | ||||||||
AAR | 21,302 | 805 | ||||||
ACCO Brands * | 195,035 | 2,321 | ||||||
Acuity Brands | 5,691 | 975 | ||||||
Advisory Board * | 37,983 | 2,037 | ||||||
Alaska Air Group | 16,037 | 1,223 | ||||||
Albany International, Cl A | 6,020 | 346 | ||||||
AO Smith | 28,088 | 1,669 | ||||||
ArcBest | 25,532 | 854 | ||||||
Atlas Air Worldwide Holdings * | 50,906 | 3,350 | ||||||
Beacon Roofing Supply * | 5,422 | 278 | ||||||
BMC Stock Holdings * | 21,127 | 451 | ||||||
Briggs & Stratton | 16,366 | 385 | ||||||
Brink’s | 15,537 | 1,309 | ||||||
BWX Technologies, Cl W | 120,611 | 6,757 | ||||||
Carlisle | 24,532 | 2,460 | ||||||
Cintas | 12,501 | 1,804 | ||||||
Colfax * | 30,887 | 1,286 | ||||||
Comfort Systems USA | 10,341 | 369 | ||||||
Copa Holdings, Cl A | 5,789 | 721 | ||||||
Copart * | 12,594 | 433 | ||||||
Crane, Cl A | 40,914 | 3,273 | ||||||
Curtiss-Wright | 15,306 | 1,600 | ||||||
Deluxe (A) | 11,400 | 832 | ||||||
DXP Enterprises * | 12,853 | 405 | ||||||
Dycom Industries * | 24,779 | 2,128 | ||||||
EMCOR Group | 24,206 | 1,679 | ||||||
Engility Holdings * | 23,184 | 804 | ||||||
Esterline Technologies * | 5,572 | 502 | ||||||
Franklin Electric | 8,231 | 369 | ||||||
Genesee & Wyoming, Cl A * | 108,236 | 8,011 | ||||||
Global Brass & Copper Holdings | 8,105 | 274 | ||||||
Greenbrier (A) | 22,252 | 1,071 | ||||||
H&E Equipment Services | 61,763 | 1,803 | ||||||
Hawaiian Holdings * | 26,352 | 989 | ||||||
HD Supply Holdings * | 29,102 | 1,050 | ||||||
Hexcel, Cl A | 24,458 | 1,404 | ||||||
HNI | 7,523 | 312 | ||||||
Huntington Ingalls Industries, Cl A | 7,861 | 1,780 | ||||||
Hyster-Yale Materials Handling | 2,559 | 196 | ||||||
IDEX | 18,517 | 2,249 | ||||||
Insperity, Cl A | 4,229 | 372 | ||||||
ITT | 39,641 | 1,755 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Jacobs Engineering Group | 6,039 | $ | 352 | |||||
JetBlue Airways * | 77,930 | 1,444 | ||||||
John Bean Technologies, Cl A | 7,131 | 721 | ||||||
Kadant | 25,142 | 2,478 | ||||||
Kaman, Cl A | 58,958 | 3,289 | ||||||
KAR Auction Services | 85,739 | 4,093 | ||||||
Kennametal | 38,470 | 1,552 | ||||||
Kirby *(A) | 2,496 | 165 | ||||||
L3 Technologies | 7,300 | 1,376 | ||||||
LB Foster, Cl A * | 62,921 | 1,431 | ||||||
Lincoln Electric Holdings | 24,581 | 2,254 | ||||||
ManpowerGroup | 25,113 | 2,959 | ||||||
MasTec * | 39,850 | 1,849 | ||||||
Mercury Systems * | 18,051 | 936 | ||||||
Meritor * | 119,937 | 3,120 | ||||||
Middleby*(A) | 11,790 | 1,511 | ||||||
MRC Global * | 76,141 | 1,332 | ||||||
MSA Safety | 10,698 | 851 | ||||||
Navigant Consulting * | 19,621 | 332 | ||||||
Navistar International * | 21,195 | 934 | ||||||
Old Dominion Freight Line, Cl A | 25,477 | 2,805 | ||||||
On Assignment * | 8,718 | 468 | ||||||
Orbital ATK | 6,990 | 931 | ||||||
Oshkosh Truck | 31,831 | 2,627 | ||||||
Owens Corning | 42,973 | 3,324 | ||||||
Quanta Services * | 21,209 | 793 | ||||||
RBC Bearings *(A) | 14,377 | 1,799 | ||||||
Roadrunner Transportation Systems * | 58,608 | 558 | ||||||
Robert Half International | 29,700 | 1,495 | ||||||
RPX * | 31,949 | 424 | ||||||
Ryder System | 8,900 | 752 | ||||||
Saia * | 9,826 | 616 | ||||||
SiteOne Landscape Supply * | 25,227 | 1,466 | ||||||
Skywest | 25,407 | 1,115 | ||||||
Spartan Motors | 40,000 | 442 | ||||||
Sparton * | 32,848 | 762 | ||||||
Spirit AeroSystems Holdings, Cl A | 28,103 | 2,184 | ||||||
Spirit Airlines * | 17,648 | 590 | ||||||
Teledyne Technologies * | 20,481 | 3,260 | ||||||
Terex | 16,064 | 723 | ||||||
Tetra Tech | 16,037 | 746 | ||||||
Toro | 10,348 | 642 | ||||||
TransDigm Group * | 500 | 128 | ||||||
TransUnion * | 15,948 | 754 | ||||||
Trinity Industries | 31,378 | 1,001 | ||||||
TrueBlue * | 18,524 | 416 | ||||||
United Rentals * | 16,954 | 2,352 | ||||||
Valmont Industries | 4,044 | 639 | ||||||
Vectrus * | 18,138 | 559 | ||||||
Wabash National (A) | 58,124 | 1,326 | ||||||
Wabtec (A) | 3,600 | 273 | ||||||
WageWorks* | 8,366 | 508 |
44 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Waste Connections | 7,173 | $ | 502 | |||||
Watsco | 3,339 | 538 | ||||||
WESCO International * | 18,427 | 1,073 | ||||||
XPO Logistics * | 24,131 | 1,636 | ||||||
Xylem | 14,310 | 896 | ||||||
YRC Worldwide * | 36,674 | 506 | ||||||
137,299 | ||||||||
Information Technology — 17.3% |
| |||||||
2U *(A) | 40,016 | 2,242 | ||||||
ACI Worldwide * | 169,259 | 3,856 | ||||||
Advanced Energy Industries * | 15,785 | 1,275 | ||||||
Amkor Technology * | 37,824 | 399 | ||||||
Anixter International * | 4,084 | 347 | ||||||
Ansys * | 2,600 | 319 | ||||||
Arista Networks *(A) | 4,501 | 853 | ||||||
Arrow Electronics, Cl A * | 4,925 | 396 | ||||||
Aspen Technology * | 42,378 | 2,662 | ||||||
Avnet | 7,600 | 299 | ||||||
Belden | 9,618 | 775 | ||||||
Benchmark Electronics * | 25,072 | 856 | ||||||
Blackbaud, Cl A (A) | 3,876 | 340 | ||||||
Blackhawk Network Holdings, Cl A * | 53,768 | 2,355 | ||||||
Bottomline Technologies * | 43,184 | 1,375 | ||||||
Broadcom | 9,282 | 2,251 | ||||||
Broadridge Financial Solutions | 1,700 | 137 | ||||||
Brocade Communications Systems | 38,812 | 464 | ||||||
Cadence Design Systems * | 54,862 | 2,165 | ||||||
CDW | 10,820 | 714 | ||||||
Cimpress *(A) | 10,766 | 1,051 | ||||||
Cirrus Logic * | 16,316 | 870 | ||||||
Cognex | 6,749 | 744 | ||||||
Coherent * | 3,990 | 938 | ||||||
Convergys | 20,581 | 533 | ||||||
CoStar Group * | 10,197 | 2,735 | ||||||
CSG Systems International | 16,700 | 670 | ||||||
CSRA | 18,139 | 585 | ||||||
Cypress Semiconductor (A) | 164,397 | 2,469 | ||||||
Diebold Nixdorf (A) | 71,781 | 1,640 | ||||||
Electronic Arts * | 13,002 | 1,535 | ||||||
Ellie Mae * | 4,713 | 387 | ||||||
Entegris * | 26,270 | 758 | ||||||
EPAM Systems * | 5,383 | 473 | ||||||
Euronet Worldwide * | 15,000 | 1,422 | ||||||
EVERTEC | 60,322 | 956 | ||||||
Fidelity National Information Services, Cl B | 12,186 | 1,138 | ||||||
First Data, Cl A * | 36,016 | 650 | ||||||
Gartner * | 1,518 | 189 | ||||||
Gigamon * | 11,406 | 481 | ||||||
Global Payments | 5,841 | 555 | ||||||
GrubHub *(A) | 28,712 | 1,512 | ||||||
GTT Communications * | 29,344 | 929 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Guidewire Software, Cl Z * | 25,541 | $ | 1,989 | |||||
HubSpot * | 15,999 | 1,345 | ||||||
IAC * | 84,810 | 9,972 | ||||||
II-VI * | 16,322 | 672 | ||||||
Inphi *(A) | 24,989 | 992 | ||||||
Insight Enterprises * | 21,641 | 994 | ||||||
Integrated Device Technology * | 70,338 | 1,870 | ||||||
InterDigital | 20,873 | 1,539 | ||||||
InterXion Holding * | 26,628 | 1,356 | ||||||
Itron * | 11,619 | 900 | ||||||
j2 Global | 43,501 | 3,214 | ||||||
Jabil | 58,685 | 1,675 | ||||||
Keysight Technologies * | 41,301 | 1,721 | ||||||
Leidos Holdings | 24,667 | 1,461 | ||||||
Littelfuse | 16,324 | 3,198 | ||||||
LogMeIn | 9,960 | 1,096 | ||||||
Lumentum Holdings * | 26,023 | 1,414 | ||||||
Manhattan Associates * | 10,280 | 427 | ||||||
Marvell Technology Group | 51,287 | 918 | ||||||
Match Group *(A) | 92,623 | 2,148 | ||||||
MAXIMUS | 5,425 | 350 | ||||||
Mellanox Technologies *(A) | 24,282 | 1,145 | ||||||
Methode Electronics | 11,078 | 469 | ||||||
Microchip Technology | 10,000 | 898 | ||||||
Microsemi * | 26,452 | 1,362 | ||||||
MKS Instruments | 14,407 | 1,361 | ||||||
Monolithic Power Systems | 13,891 | 1,480 | ||||||
NCR * | 39,528 | 1,483 | ||||||
New Relic * | 15,592 | 776 | ||||||
Nuance Communications * | 18,384 | 289 | ||||||
ON Semiconductor * | 42,625 | 787 | ||||||
Orbotech * | 33,516 | 1,415 | ||||||
OSI Systems * | 14,271 | 1,304 | ||||||
Palo Alto Networks * | 4,182 | 603 | ||||||
Paylocity Holding * | 24,006 | 1,172 | ||||||
Proofpoint *(A) | 20,816 | 1,816 | ||||||
PTC * | 14,724 | 829 | ||||||
Pure Storage, Cl A * | 47,025 | 752 | ||||||
Q2 Holdings *(A) | 40,997 | 1,707 | ||||||
Qorvo * | 10,870 | 768 | ||||||
RealPage * | 20,000 | 798 | ||||||
RingCentral, Cl A * | 86,143 | 3,596 | ||||||
Rudolph Technologies * | 13,667 | 359 | ||||||
Sanmina * | 38,828 | 1,442 | ||||||
Scansource * | 8,785 | 383 | ||||||
Science Applications International | 11,933 | 798 | ||||||
Shopify, Cl A * | 9,112 | 1,061 | ||||||
Silicon Laboratories * | 19,462 | 1,555 | ||||||
Silicon Motion Technology ADR (A) | 76,065 | 3,653 | ||||||
Sonus Networks * | 24,298 | 186 | ||||||
Square, Cl A * | 74,112 | 2,135 | ||||||
SS&C Technologies Holdings | 17,556 | 705 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 45 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Managed Small/Mid Cap Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Sykes Enterprises * | 9,942 | $ | 290 | |||||
SYNNEX | 9,640 | 1,220 | ||||||
Synopsys * | 20,308 | 1,635 | ||||||
Take-Two Interactive Software, Cl A * | 46,012 | 4,704 | ||||||
Tech Data * | 11,750 | 1,044 | ||||||
Teradyne | 40,298 | 1,503 | ||||||
Trade Desk, Cl A * | 25,262 | 1,554 | ||||||
Travelport Worldwide | 63,649 | 999 | ||||||
Trimble * | 21,000 | 824 | ||||||
Tyler Technologies * | 4,765 | 831 | ||||||
Ultimate Software Group * | 7,788 | 1,477 | ||||||
Universal Display | 14,294 | 1,842 | ||||||
VeriFone Holdings * | 177,965 | 3,609 | ||||||
Web.com Group * | 12,987 | 325 | ||||||
Wix.com * | 5,200 | 374 | ||||||
Xperi | 4,036 | 102 | ||||||
Zebra Technologies, Cl A * | 23,522 | 2,554 | ||||||
148,525 | ||||||||
Materials – 6.0% | ||||||||
Albemarle | 10,887 | 1,484 | ||||||
Ashland Global Holdings | 14,677 | 960 | ||||||
Avery Dennison | 24,778 | 2,437 | ||||||
Berry Global Group * | 41,193 | 2,334 | ||||||
Boise Cascade * | 24,368 | 850 | ||||||
Cabot | 24,685 | 1,377 | ||||||
Chemours | 20,104 | 1,017 | ||||||
Cleveland-Cliffs* | 65,808 | 471 | ||||||
Crown Holdings * | 14,143 | 845 | ||||||
Eagle Materials | 13,182 | 1,406 | ||||||
FMC | 102,396 | 9,145 | ||||||
Huntsman | 23,455 | 643 | ||||||
Innophos Holdings | 13,501 | 664 | ||||||
Louisiana-Pacific * | 28,749 | 779 | ||||||
LSB Industries *(A) | 114,810 | 912 | ||||||
Materion | 12,245 | 528 | ||||||
Neenah Paper, Cl A | 14,000 | 1,198 | ||||||
Owens-Illinois * | 116,723 | 2,937 | ||||||
Packaging Corp of America | 10,242 | 1,175 | ||||||
PolyOne | 61,364 | 2,456 | ||||||
Rayonier Advanced Materials (A) | 43,416 | 595 | ||||||
Schulman A | 51,428 | 1,756 | ||||||
Sensient Technologies | 16,062 | 1,235 | ||||||
Silgan Holdings | 104,708 | 3,082 | ||||||
Steel Dynamics | 42,104 | 1,451 | ||||||
Stepan | 6,908 | 578 | ||||||
Summit Materials, Cl A * | 61,620 | 1,974 | ||||||
Tahoe Resources * | 112,698 | 594 | ||||||
Trinseo | 11,809 | 792 | ||||||
United States Steel (A) | 100,926 | 2,590 | ||||||
Valvoline | 87,909 | 2,061 | ||||||
Westlake Chemical | 10,306 | 856 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Worthington Industries | 15,346 | $ | 706 | |||||
51,888 | ||||||||
Real Estate – 6.6% | ||||||||
Alexandria Real Estate Equities ‡ | 10,497 | 1,249 | ||||||
American Campus Communities ‡ | 25,659 | 1,133 | ||||||
American Homes 4 Rent, Cl A ‡ | 62,696 | 1,361 | ||||||
Armada Hoffler Properties ‡ | 28,819 | 398 | ||||||
Camden Property Trust ‡ | 12,000 | 1,097 | ||||||
CBL & Associates Properties ‡ | 8,075 | 68 | ||||||
Chesapeake Lodging Trust ‡ | 69,263 | 1,868 | ||||||
CoreCivic ‡ | 115,755 | 3,099 | ||||||
CoreSite Realty ‡ | 5,244 | 587 | ||||||
CyrusOne ‡ | 32,312 | 1,904 | ||||||
DDR ‡ | 77,333 | 708 | ||||||
DiamondRock Hospitality ‡(A) | 151,808 | 1,662 | ||||||
Digital Realty Trust, Cl A ‡ | 10,717 | 1,268 | ||||||
Douglas Emmett ‡ | 4,298 | 169 | ||||||
Education Realty Trust ‡ | 26,024 | 935 | ||||||
EPR Properties, Cl A ‡ | 28,400 | 1,981 | ||||||
Forest City Realty Trust, Cl A ‡ | 22,450 | 573 | ||||||
Forestar Group * | 22,968 | 395 | ||||||
Gaming and Leisure Properties ‡ | 89,751 | 3,311 | ||||||
Getty Realty ‡ | 15,214 | 435 | ||||||
Hersha Hospitality Trust, Cl A ‡(A) | 88,620 | 1,655 | ||||||
Highwoods Properties ‡ | 53,933 | 2,809 | ||||||
Hospitality Properties Trust ‡ | 7,500 | 214 | ||||||
Howard Hughes * | 36,098 | 4,257 | ||||||
InfraREIT ‡ | 33,896 | 758 | ||||||
Jones Lang LaSalle | 16,139 | 1,993 | ||||||
Lexington Realty Trust ‡ | 32,785 | 335 | ||||||
Life Storage ‡ | 1,800 | 147 | ||||||
Medical Properties Trust ‡(A) | 314,009 | 4,123 | ||||||
Mid-America Apartment Communities ‡ | 8,042 | 860 | ||||||
Park Hotels & Resorts ‡ | 56,533 | 1,558 | ||||||
Physicians Realty Trust ‡ | 16,502 | 293 | ||||||
Potlatch ‡ | 20,422 | 1,041 | ||||||
Realogy Holdings | 62,177 | 2,049 | ||||||
Regency Centers ‡ | 7,596 | 471 | ||||||
Retail Properties of America, Cl A ‡ | 24,826 | 326 | ||||||
Ryman Hospitality Properties | 14,227 | 889 | ||||||
Sabra Health Care ‡ | 30,817 | 676 | ||||||
STAG Industrial ‡ | 26,238 | 721 | ||||||
Starwood Waypoint Homes ‡ | 74,747 | 2,719 | ||||||
Summit Hotel Properties ‡ | 40,648 | 650 | ||||||
Sun Communities ‡ | 1,400 | 120 | ||||||
Sunstone Hotel Investors ‡ | 59,555 | 957 | ||||||
Tier ‡ | 18,051 | 348 | ||||||
Two Harbors Investment ‡ | 30,030 | 303 | ||||||
Xenia Hotels & Resorts ‡ | 90,567 | 1,906 | ||||||
56,379 |
46 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Telecommunication Services – 0.3% | ||||||||
Cogent Communications Holdings | 12,431 | $ | 608 | |||||
IDT, Cl B | 20,229 | 285 | ||||||
Vonage Holdings * | 259,708 | 2,114 | ||||||
3,007 | ||||||||
Utilities – 2.1% | ||||||||
ALLETE | 20,433 | 1,579 | ||||||
Aqua America | 34,439 | 1,143 | ||||||
Atmos Energy | 20,484 | 1,717 | ||||||
Avista | 21,700 | 1,124 | ||||||
Black Hills, Cl A | 6,055 | 417 | ||||||
CMS Energy | 10,600 | 491 | ||||||
El Paso Electric, Cl A | 6,666 | 368 | ||||||
Great Plains Energy | 42,356 | 1,284 | ||||||
Hawaiian Electric Industries | 9,542 | 319 | ||||||
Idacorp, Cl A | 10,909 | 959 | ||||||
National Fuel Gas | 19,648 | 1,112 | ||||||
Northwest Natural Gas | 4,207 | 271 | ||||||
ONE Gas | 13,697 | 1,009 | ||||||
Portland General Electric | 43,378 | 1,980 | ||||||
SCANA | 10,356 | 502 | ||||||
Southwest Gas Holdings | 15,642 | 1,214 | ||||||
UGI | 35,168 | 1,648 | ||||||
Vectren | 7,055 | 464 | ||||||
Vistra Energy * | 20,994 | 392 | ||||||
17,993 | ||||||||
Total Common Stock (Cost $510,394) ($ Thousands) | 810,357 |
Description | Number of Rights | Market Value ($Thousands) | ||||||
RIGHTS – 0.0% | ||||||||
Chelseea Therapeutics International CVR *‡‡ | 3,004 | $ | – | |||||
Dyax CVR, Expires 12/31/2019 * |
|
6,884 |
|
|
– |
| ||
Endo Pharmaceuticals *‡‡ |
|
1,900 |
|
|
– |
| ||
Safeway CVR - Casa Ley *‡‡ |
|
11,400 |
|
|
12 |
| ||
Safeway CVR - PDC *‡‡ |
|
11,400 |
|
|
– |
| ||
Central European Media Enterprises *‡‡
|
|
53
|
|
|
–
|
| ||
Total Rights | ||||||||
(Cost $–) ($ Thousands) | 12 | |||||||
Shares | ||||||||
AFFILIATED PARTNERSHIP – 9.0% | ||||||||
SEI Liquidity Fund, L.P. 1.110% **†(B) | 76,978,282 | 76,976 | ||||||
Total Affiliated Partnership | 76,976 | |||||||
CASH EQUIVALENT – 5.5% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F 0.840%**† | 47,191,647 | 47,192 | ||||||
Total Cash Equivalent | 47,192 | |||||||
Total Investments in Securities– 109.0% | $ | 934,537 | ||||||
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||
Russell 2000 Index E-MINI | 14 | Dec-2017 | $994 | $1,046 | $52 | |||||||||||||||
S&P Mid Cap 400 Index E-MINI | 7 | Dec-2017 | 1,203 | 1,257 | 54 | |||||||||||||||
$2,197 | $2,303 | $106 | ||||||||||||||||||
Percentages | are based on Net Assets of $857,632 ($ Thousands). |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
‡‡ | Expiration date not available. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017 was $75,724 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2017 was $76,976 ($ Thousands). |
ADR – American Depositary Receipt
Cl – Class
CVR – Contingent Value Rights
L.P. – Limited Partnership
S&P – Standard & Poor’s
The following is a list of the level of inputs used as of September 30, 2017, 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 | $ | 810,357 | $ | – | $ | – | $ | 810,357 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 47 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Managed Small/Mid Cap Fund (Concluded)
Investments in Securities
| Level 1
| Level 2
| Level 3
| Total
| ||||||||||||
Rights | $ | – | $ | 12 | $ | – | $ | 12 | ||||||||
Affiliated Partnership | – | 76,976 | – | 76,976 | ||||||||||||
Cash Equivalent | 47,192 | – | – | 47,192 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities |
$ |
857,549 |
|
$ |
76,988 |
|
$ |
– |
|
$ |
934,537 |
| ||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 106 | $ | — | $ | — | $ | 106 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 106 | $ | — | $ | — | $ | 106 | ||||||||
|
|
|
|
|
|
|
|
* Futures contracts are valued at the unrealized appreciation on the instrument.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, there were no transfers between Level 2 and Level 3 assets and liabilities.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Liquidity Fund, L.P. | $180,708 | $431,952 | $(535,679) | $(4) | $(1) | $76,976 | $925 | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 33,689 | 152,805 | (139,302) | — | — | 47,192 | 207 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Totals | $214,397 | $584,757 | $(674,981) | $(4) | $(1) | $124,168 | $1,132 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 $0.
The accompanying notes are an integral part of the financial statements.
48 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Mid-Cap Fund
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 95.9% | ||||||||
Consumer Discretionary — 14.1% | ||||||||
Adient | 9,400 | $ | 790 | |||||
Best Buy | 17,000 | 968 | ||||||
BorgWarner | 12,000 | 615 | ||||||
Burlington Stores * | 6,900 | 659 | ||||||
Dick’s Sporting Goods | 11,100 | 300 | ||||||
Discovery Communications, Cl C * | 22,600 | 458 | ||||||
DR Horton | 12,300 | 491 | ||||||
Foot Locker, Cl A | 4,500 | 159 | ||||||
FTD * | 3,100 | 40 | ||||||
Gap | 12,500 | 369 | ||||||
Hilton Grand Vacations * | 15,300 | 591 | ||||||
Hilton Worldwide Holdings | 11,900 | 826 | ||||||
Kohl’s | 11,083 | 506 | ||||||
Lear | 5,300 | 917 | ||||||
Lennar, Cl B | 2,700 | 122 | ||||||
Liberty Interactive QVC Group, Cl A * | 29,700 | 700 | ||||||
LKQ * | 22,200 | 799 | ||||||
lululemon athletica * | 10,800 | 672 | ||||||
Macy’s | 20,400 | 445 | ||||||
NVR * | 340 | 971 | ||||||
PVH | 6,500 | 819 | ||||||
Ross Stores | 12,000 | 775 | ||||||
Royal Caribbean Cruises | 8,300 | 984 | ||||||
Skechers U.S.A., Cl A * | 18,700 | 469 | ||||||
Tempur-Pedic International *(A) | 900 | 58 | ||||||
Thor Industries | 3,200 | 403 | ||||||
Viacom, Cl B | 20,400 | 568 | ||||||
Yum China Holdings * | 20,900 | 835 | ||||||
16,309 | ||||||||
Consumer Staples — 3.3% | ||||||||
Campbell Soup | 2,900 | 136 | ||||||
Clorox | 1,200 | 158 | ||||||
Conagra Brands | 21,500 | 726 | ||||||
Dr Pepper Snapple Group | 8,700 | 770 | ||||||
Ingredion | 4,200 | 507 | ||||||
JM Smucker | 2,300 | 241 | ||||||
Pilgrim’s Pride * | 10,500 | 298 | ||||||
Tyson Foods, Cl A | 14,100 | 993 | ||||||
3,829 | ||||||||
Energy — 4.0% | ||||||||
Andeavor | 8,100 | 836 | ||||||
Continental Resources, Cl A * | 3,400 | 131 | ||||||
CVR Energy | 7,100 | 184 | ||||||
Devon Energy | 26,300 | 965 | ||||||
Laredo Petroleum * | 39,300 | 508 | ||||||
Marathon Oil | 24,300 | 329 | ||||||
Marathon Petroleum | 19,500 | 1,094 | ||||||
Newfield Exploration * | 18,800 | 558 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Noble Energy | 2,400 | $ | 68 | |||||
4,673 | ||||||||
Financials — 12.4% | ||||||||
American Financial Group | 4,400 | 455 | ||||||
Ameriprise Financial | 6,600 | 980 | ||||||
Argo Group International Holdings | 1,500 | 92 | ||||||
Assured Guaranty | 6,200 | 234 | ||||||
BGC Partners, Cl A | 6,100 | 88 | ||||||
Citizens Financial Group | 24,600 | 932 | ||||||
CNA Financial | 8,500 | 427 | ||||||
Comerica | 11,100 | 847 | ||||||
East West Bancorp | 10,700 | 640 | ||||||
Fifth Third Bancorp | 31,900 | 893 | ||||||
Financial Institutions | 900 | 26 | ||||||
FNF Group | 4,300 | 204 | ||||||
FNFV Group * | 5,500 | 94 | ||||||
Genworth Financial, Cl A * | 38,100 | 147 | ||||||
Hartford Financial Services Group | 8,100 | 449 | ||||||
International FCStone * | 1,200 | 46 | ||||||
Invesco | 20,800 | 729 | ||||||
Ladder Capital, Cl A | 9,800 | 135 | ||||||
Lincoln National | 11,800 | 867 | ||||||
Loews | 3,800 | 182 | ||||||
LPL Financial Holdings | 8,500 | 438 | ||||||
MSCI, Cl A | 2,700 | 316 | ||||||
Navient | 33,000 | 496 | ||||||
Old Republic International | 30,400 | 599 | ||||||
Popular | 16,000 | 575 | ||||||
Principal Financial Group, Cl A | 5,800 | 373 | ||||||
Raymond James Financial | 1,700 | 143 | ||||||
Regions Financial | 57,000 | 868 | ||||||
SunTrust Banks | 11,900 | 711 | ||||||
Synchrony Financial | 4,900 | 152 | ||||||
T. Rowe Price Group | 2,000 | 181 | ||||||
Unum Group | 17,200 | 879 | ||||||
Western Asset Mortgage Capital ‡ | 7,400 | 78 | ||||||
14,276 | ||||||||
Health Care — 10.7% | ||||||||
Agilent Technologies | 14,600 | 937 | ||||||
Alexion Pharmaceuticals * | 1,900 | 266 | ||||||
Baxter International | 10,400 | 653 | ||||||
Bioverativ * | 4,200 | 240 | ||||||
Bruker BioSciences | 21,200 | 631 | ||||||
Centene * | 10,600 | 1,026 | ||||||
Cerner * | 14,700 | 1,048 | ||||||
Charles River Laboratories International * | 3,300 | 356 | ||||||
Cooper, Cl A | 1,000 | 237 | ||||||
Endo International * | 39,700 | 340 | ||||||
Exelixis * | 11,500 | 279 | ||||||
Hill-Rom Holdings | 1,800 | 133 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 49 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Mid-Cap Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Hologic * | 17,300 | $ | 635 | |||||
IDEXX Laboratories * | 5,300 | 824 | ||||||
Laboratory Corp of America Holdings * | 1,900 | 287 | ||||||
Mallinckrodt* | 2,700 | 101 | ||||||
Mylan * | 25,400 | 797 | ||||||
Quest Diagnostics | 500 | 47 | ||||||
STERIS | 6,300 | 557 | ||||||
Teleflex | 700 | 169 | ||||||
Veeva Systems, Cl A * | 9,700 | 547 | ||||||
WellCare Health Plans * | 4,400 | 756 | ||||||
West Pharmaceutical Services | 3,600 | 346 | ||||||
Zoetis, Cl A | 18,000 | 1,148 | ||||||
12,360 | ||||||||
Industrials — 12.2% | ||||||||
AGCO | 1,000 | 74 | ||||||
Allison Transmission Holdings | 7,100 | 266 | ||||||
American Woodmark * | 2,200 | 212 | ||||||
Ametek | 7,500 | 495 | ||||||
Applied Industrial Technologies, Cl A | 3,300 | 217 | ||||||
Arconic | 13,000 | 323 | ||||||
Argan | 1,300 | 87 | ||||||
BWX Technologies, Cl W | 3,300 | 185 | ||||||
Colfax * | 5,700 | 237 | ||||||
Continental Building Products * | 4,000 | 104 | ||||||
Crane, Cl A | 7,500 | 600 | ||||||
Cummins | 5,800 | 975 | ||||||
Danaher, Cl A | 3,600 | 309 | ||||||
Global Brass & Copper Holdings | 3,600 | 122 | ||||||
Huntington Ingalls Industries, Cl A | 4,200 | 951 | ||||||
IDEX | 3,700 | 449 | ||||||
Ingersoll-Rand | 10,100 | 901 | ||||||
Insperity, Cl A | 3,000 | 264 | ||||||
L3 Technologies | 700 | 132 | ||||||
Lincoln Electric Holdings | 6,100 | 559 | ||||||
MasTec * | 3,700 | 172 | ||||||
Moog, Cl A * | 1,700 | 142 | ||||||
Mueller Industries | 4,800 | 168 | ||||||
Orbital ATK | 5,900 | 786 | ||||||
Oshkosh Truck | 8,600 | 710 | ||||||
Pentair | 11,100 | 754 | ||||||
Spirit AeroSystems Holdings, Cl A | 12,000 | 933 | ||||||
Terex | 2,600 | 117 | ||||||
Toro | 9,200 | 571 | ||||||
United Continental Holdings * | 6,300 | 384 | ||||||
United Rentals * | 5,700 | 791 | ||||||
Univar * | 12,900 | 373 | ||||||
Valmont Industries | 3,100 | 490 | ||||||
Vectrus0 * | 1,400 | 43 | ||||||
Veritiv * | 2,400 | 78 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
WESCO International * | 2,600 | $ | 151 | |||||
14,125 | ||||||||
Information Technology — 16.6% | ||||||||
Advanced Energy Industries * | 6,300 | 509 | ||||||
Akamai Technologies * | 11,600 | 565 | ||||||
Alpha & Omega Semiconductor * | 3,300 | 54 | ||||||
Applied Materials | 15,000 | 781 | ||||||
ARRIS International * | 8,900 | 253 | ||||||
Arrow Electronics, Cl A * | 2,900 | 233 | ||||||
Avnet | 1,500 | 59 | ||||||
Booz Allen Hamilton Holding, Cl A | 900 | 34 | ||||||
CACI International, Cl A * | 700 | 97 | ||||||
Cadence Design Systems * | 19,800 | 781 | ||||||
CDK Global | 9,600 | 606 | ||||||
CDW | 11,700 | 772 | ||||||
Citrix Systems * | 2,600 | 200 | ||||||
Cognizant Technology Solutions, Cl A | 2,100 | 152 | ||||||
CoStar Group * | 2,500 | 671 | ||||||
CSG Systems International | 2,400 | 96 | ||||||
DST Systems | 8,100 | 444 | ||||||
Electronic Arts * | 6,600 | 779 | ||||||
F5 Networks, Cl A * | 1,300 | 157 | ||||||
First Data, Cl A * | 24,600 | 444 | ||||||
Fortinet * | 9,400 | 337 | ||||||
Global Payments | 2,300 | 219 | ||||||
Hackett Group | 7,100 | 108 | ||||||
Harris | 4,100 | 540 | ||||||
Intuit | 1,600 | 227 | ||||||
IPG Photonics * | 4,100 | 759 | ||||||
Jabil | 7,000 | 200 | ||||||
Juniper Networks | 24,900 | 693 | ||||||
KLA-Tencor | 8,300 | 880 | ||||||
Lam Research | 6,300 | 1,166 | ||||||
Leidos Holdings | 7,900 | 468 | ||||||
Motorola Solutions | 1,400 | 119 | ||||||
ON Semiconductor * | 29,600 | 547 | ||||||
Red Hat * | 3,100 | 344 | ||||||
Semtech * | 400 | 15 | ||||||
Skyworks Solutions | 9,000 | 917 | ||||||
SS&C Technologies Holdings | 4,000 | 161 | ||||||
Symantec, Cl A | 29,000 | 951 | ||||||
Synopsys * | 10,500 | 845 | ||||||
Total System Services | 12,200 | 799 | ||||||
Trimble * | 9,900 | 389 | ||||||
Western Digital | 8,700 | 752 | ||||||
19,123 | ||||||||
Materials — 6.5% | ||||||||
Alcoa * | 16,000 | 746 | ||||||
Cabot | 5,000 | 279 | ||||||
Chemours | 13,900 | 703 |
50 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Crown Holdings * | 11,700 | $ | 699 | |||||
Eagle Materials | 6,500 | 694 | ||||||
Freeport-McMoRan, Cl B * | 54,400 | 764 | ||||||
Greif, Cl A | 3,500 | 205 | ||||||
LyondellBasell Industries, Cl A | 2,200 | 218 | ||||||
Newmont Mining | 15,200 | 570 | ||||||
Owens-Illinois * | 26,800 | 674 | ||||||
Reliance Steel & Aluminum | 700 | 53 | ||||||
Southern Copper | 13,800 | 549 | ||||||
Steel Dynamics | 15,500 | 534 | ||||||
WestRock | 13,700 | 777 | ||||||
7,465 | ||||||||
Real Estate — 8.5% |
| |||||||
Apple Hospitality ‡ | 16,000 | 303 | ||||||
Ashford Hospitality Prime ‡ | 13,300 | 126 | ||||||
Ashford Hospitality Trust ‡ | 13,300 | 89 | ||||||
Brixmor Property Group ‡ | 22,600 | 425 | ||||||
CBRE Group, Cl A *‡ | 21,000 | 795 | ||||||
Chesapeake Lodging Trust ‡ | 14,400 | 388 | ||||||
CoreCivic ‡ | 20,500 | 549 | ||||||
DDR ‡ | 18,900 | 173 | ||||||
Franklin Street Properties ‡ | 19,100 | 203 | ||||||
GEO Group ‡ | 20,850 | 561 | ||||||
HCP ‡ | 12,800 | 356 | ||||||
Hospitality Properties Trust ‡ | 22,100 | 630 | ||||||
Host Hotels & Resorts ‡ | 22,000 | 407 | ||||||
Outfront Media ‡ | 24,000 | 604 | ||||||
Park Hotels & Resorts ‡ | 14,100 | 389 | ||||||
ProLogis ‡ | 14,600 | 926 | ||||||
RMR Group | 1,900 | 98 | ||||||
SBA Communications, Cl A *‡ | 2,700 | 389 | ||||||
Spirit Realty Capital ‡ | 62,800 | 538 | ||||||
Tier ‡ | 2,200 | 42 | ||||||
VEREIT ‡ | 53,600 | 444 | ||||||
Weyerhaeuser ‡ | 15,300 | 521 | ||||||
WP Carey ‡ | 5,000 | 337 | ||||||
Xenia Hotels & Resorts ‡ | 23,100 | 486 | ||||||
9,779 | ||||||||
Telecommunication Services — 0.6% |
| |||||||
Telephone & Data Systems | 21,300 | 594 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
US Cellular * | 3,600 | $ | 128 | |||||
722 | ||||||||
Utilities — 7.0% |
| |||||||
AES | 60,800 | 670 | ||||||
Atmos Energy | 8,700 | 730 | ||||||
Centerpoint Energy | 26,300 | 768 | ||||||
DTE Energy | 7,800 | 837 | ||||||
Eversource Energy | 13,700 | 828 | ||||||
MDU Resources Group | 24,100 | 625 | ||||||
NiSource | 6,800 | 174 | ||||||
NRG Energy | 27,900 | 714 | ||||||
PPL | 25,100 | 953 | ||||||
Public Service Enterprise Group | 10,400 | 481 | ||||||
SCANA | 12,100 | 587 | ||||||
SJW | 1,200 | 68 | ||||||
UGI | 14,300 | 670 | ||||||
8,105 | ||||||||
Total Common Stock | 110,766 | |||||||
AFFILIATED PARTNERSHIP — 0.0% |
| |||||||
SEI Liquidity Fund, L.P. 1.110% **†(B) | 52,107 | 52 | ||||||
Total Affiliated Partnership | 52 | |||||||
CASH EQUIVALENT — 4.0% |
| |||||||
SEI Daily Income Trust, Government Fund, Cl F 0.840%**† | 4,669,400 | 4,669 | ||||||
Total Cash Equivalent | 4,669 | |||||||
Total Investments in Securities— 99.9% | $ | 115,487 | ||||||
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||
S&P Mid Cap 400 Index E-MINI | 5 | Dec-2017 | $859 | $898 | $39 | |||||||||||||
|
|
Percentages are based on Net Assets of $115,554 ($ Thousands). |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 51 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Mid-Cap Fund (Concluded)
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2017 (see Note 10). The total market value of securities on loan at September 30, 2017 was $52 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2017 was $52 ($ Thousands). |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
The following is a list of the level of inputs used as of September 30, 2017, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 110,766 | $ | – | $ | – | $ | 110,766 | ||||||||
Affiliated Partnership | – | 52 | – | 52 | ||||||||||||
Cash Equivalent | 4,669 | – | – | 4,669 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 115,435 | $ | 52 | $ | – | $ | 115,487 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||
Futures Contracts * | ||||||||||||||
Unrealized Appreciation | $ | 39 | $ | — | $ | — | $ 39 | |||||||
|
|
|
|
|
|
| ||||||||
Total Other Financial Instruments | $ | 39 | $ | — | $ | — | $ 39 | |||||||
|
|
|
|
|
|
|
* Futures contracts are valued at the unrealized appreciation on the instrument.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, there were no transfers between Level 2 and Level 3 assets and liabilities.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||
SEI Liquidity Fund, L.P. | $ 5,714 | $ 8,801 | $ (14,463) | $ — | $ — | $ 52 | $ 18 | |||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 2,189 | 36,701 | (34,221) | — | — | 4,669 | 28 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||
Totals | $ 7,903 | $ 45,502 | $ (48,684) | $ — | $ — | $ 4,721 | $ 46 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
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 $0.
The accompanying notes are an integral part of the financial statements.
52 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Managed Volatility Fund
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.7% | ||||||||
Consumer Discretionary — 10.1% | ||||||||
Aaron’s | 33,705 | $ | 1,471 | |||||
AMC Networks, Cl A * | 24,826 | 1,452 | ||||||
Aramark | 191,914 | 7,794 | ||||||
Autozone* | 4,800 | 2,857 | ||||||
Bed Bath & Beyond | 83,898 | 1,969 | ||||||
Best Buy | 56,811 | 3,236 | ||||||
Big Lots | 53,720 | 2,878 | ||||||
BJ’s Restaurants | 4,681 | 143 | ||||||
Bridgepoint Education * | 23,784 | 228 | ||||||
Brunswick | 42,661 | 2,388 | ||||||
Cable One | 1,660 | 1,199 | ||||||
Canadian Tire, Cl A | 30,700 | 3,813 | ||||||
Carnival | 14,724 | 951 | ||||||
Cheesecake Factory | 100,737 | 4,243 | ||||||
Children’s Place | 46,400 | 5,482 | ||||||
Choice Hotels International | 3,197 | 204 | ||||||
Churchill Downs | 2,636 | 544 | ||||||
Comcast, Cl A | 170,200 | 6,549 | ||||||
Cooper-Standard Holdings * | 7,441 | 863 | ||||||
Cracker Barrel Old Country Store | 4,800 | 728 | ||||||
Dana | 81,120 | 2,268 | ||||||
Darden Restaurants | 135,545 | 10,678 | ||||||
Del Frisco’s Restaurant Group * | 9,995 | 145 | ||||||
Denny’s, Cl A * | 9,349 | 116 | ||||||
Dollar General | 55,100 | 4,466 | ||||||
Escalade | 3,525 | 48 | ||||||
Foot Locker, Cl A | 39,800 | 1,402 | ||||||
Gap | 67,590 | 1,996 | ||||||
General Motors | 4,768 | 193 | ||||||
Golden Entertainment * | 3,250 | 79 | ||||||
Graham Holdings, Cl B | 1,046 | 612 | ||||||
Grand Canyon Education * | 6,975 | 634 | ||||||
H&R Block | 71,476 | 1,893 | ||||||
Hilton Grand Vacations * | 44,134 | 1,705 | ||||||
John Wiley & Sons, Cl A | 11,143 | 596 | ||||||
Kohl’s | 89,800 | 4,099 | ||||||
Lear | 13,324 | 2,306 | ||||||
Live Nation * | 65,236 | 2,841 | ||||||
Macy’s | 37,300 | 814 | ||||||
Magna International, Cl A | 5,101 | 272 | ||||||
McDonald’s | 94,320 | 14,778 | ||||||
Michael Kors Holdings * | 19,675 | 941 | ||||||
MSG Networks * | 49,124 | 1,041 | ||||||
Murphy USA * | 58,900 | 4,064 | ||||||
NVR* | 2,057 | 5,873 | ||||||
Office Depot | 113,687 | 516 | ||||||
Royal Caribbean Cruises | 1,708 | 202 | ||||||
Sally Beauty Holdings * | 142,800 | 2,796 | ||||||
Scripps Networks Interactive, Cl A | 51,600 | 4,432 | ||||||
Six Flags Entertainment | 8,522 | 519 | ||||||
Target, Cl A | 200,400 | 11,826 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Taylor Morrison Home, Cl A * | 16,522 | $ | 364 | |||||
Ulta Beauty * | 27,947 | 6,318 | ||||||
Urban Outfitters * | 104,117 | 2,488 | ||||||
Viacom, Cl B | 40,400 | 1,125 | ||||||
Visteon * | 7,750 | 959 | ||||||
Walt Disney | 113,646 | 11,202 | ||||||
Yum China Holdings | 94,253 | 3,767 | ||||||
159,366 | ||||||||
Consumer Staples — 15.8% | ||||||||
Altria Group | 293,759 | 18,630 | ||||||
Blue Buffalo Pet Products * | 23,955 | 679 | ||||||
Bunge | 85,920 | 5,968 | ||||||
Calavo Growers | 12,136 | 888 | ||||||
Cal-Maine Foods | 5,155 | 212 | ||||||
Campbell Soup | 106,500 | 4,986 | ||||||
Clorox | 28,015 | 3,695 | ||||||
Coca-Cola | 88,049 | 3,963 | ||||||
Colgate-Palmolive | 116,497 | 8,487 | ||||||
Costco Wholesale | 82,114 | 13,491 | ||||||
CVS Health | 112,600 | 9,157 | ||||||
Dean Foods | 86,970 | 946 | ||||||
Dr Pepper Snapple Group | 180,579 | 15,976 | ||||||
Flowers Foods | 216,147 | 4,066 | ||||||
Fresh Del Monte Produce | 108,343 | 4,925 | ||||||
Hershey | 5,488 | 599 | ||||||
Hostess Brands, Cl A * | 49,490 | 676 | ||||||
Ingredion | 49,434 | 5,964 | ||||||
J&J Snack Foods | 5,929 | 778 | ||||||
JM Smucker | 28,500 | 2,991 | ||||||
Kimberly-Clark | 90,119 | 10,605 | ||||||
Kroger | 322,350 | 6,466 | ||||||
Lamb Weston Holdings | 64,597 | 3,029 | ||||||
Lancaster Colony | 3,277 | 394 | ||||||
McCormick | 101,092 | 10,376 | ||||||
Medifast | 4,108 | 244 | ||||||
Metro, Cl A | 92,100 | 3,160 | ||||||
National Beverage, Cl A | 963 | 119 | ||||||
Nu Skin Enterprises, Cl A | 4,164 | 256 | ||||||
PepsiCo | 134,450 | 14,982 | ||||||
Philip Morris International | 113,868 | 12,640 | ||||||
Pilgrim’s Pride * | 36,079 | 1,025 | ||||||
Pinnacle Foods | 45,379 | 2,594 | ||||||
Procter & Gamble | 140,680 | 12,799 | ||||||
Sanderson Farms | 56,492 | 9,125 | ||||||
Sprouts Farmers Market * | 22,194 | 417 | ||||||
Sysco, Cl A | 183,443 | 9,897 | ||||||
Turning Point Brands * | 7,698 | 131 | ||||||
Tyson Foods, Cl A | 194,530 | 13,705 | ||||||
Universal | 38,352 | 2,198 | ||||||
US Foods Holding * | 102,819 | 2,745 | ||||||
USANA Health Sciences * | 7,159 | 413 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 53 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Managed Volatility Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Vector Group | 44,615 | $ | 913 | |||||
Wal-Mart Stores | 320,160 | 25,017 | ||||||
250,327 | ||||||||
Energy — 1.5% | ||||||||
Antero Resources * | 89,605 | 1,783 | ||||||
Baker Hughes a GE | 26,942 | 986 | ||||||
ExxonMobil | 111,500 | 9,141 | ||||||
Marathon Petroleum | 48,171 | 2,701 | ||||||
Par Pacific Holdings * | 21,075 | 438 | ||||||
Renewable Energy Group * | 6,224 | 76 | ||||||
UMH Properties, Inc. | 13,423 | 209 | ||||||
Valero Energy | 103,922 | 7,995 | ||||||
23,329 | ||||||||
Financials — 14.2% | ||||||||
Access National | 2 | — | ||||||
ACNB | 966 | 27 | ||||||
Aflac | 100,087 | 8,146 | ||||||
AGNC Investment ‡ | 55,100 | 1,195 | ||||||
Allstate | 125,495 | 11,534 | ||||||
American Financial Group | 39,084 | 4,043 | ||||||
American National Insurance | 3,738 | 441 | ||||||
Annaly Capital Management ‡ | 516,100 | 6,291 | ||||||
Arch Capital Group * | 90,931 | 8,957 | ||||||
Argo Group International Holdings | 5,484 | 337 | ||||||
Aspen Insurance Holdings | 56,757 | 2,293 | ||||||
Assurant | 6,765 | 646 | ||||||
Assured Guaranty | 71,189 | 2,687 | ||||||
Atlas Financial Holdings * | 9,959 | 188 | ||||||
Axis Capital Holdings | 192,717 | 11,045 | ||||||
B. Riley Financial | 13,912 | 237 | ||||||
Baldwin & Lyons, Cl B | 13,464 | 304 | ||||||
Bank of NT Butterfield & Son | 31,168 | 1,142 | ||||||
BankUnited | 24,765 | 881 | ||||||
BB&T | 44,500 | 2,089 | ||||||
BCB Bancorp | 1,744 | 24 | ||||||
Berkshire Hathaway, Cl B * | 75,500 | 13,841 | ||||||
Blue Capital Reinsurance Holdings | 6,587 | 108 | ||||||
BOK Financial | 14,596 | 1,300 | ||||||
Capitol Federal Financial | 66,277 | 974 | ||||||
Carolina Financial | 6,638 | 238 | ||||||
CBOE Holdings | 102,115 | 10,991 | ||||||
Charter Financial | 11,684 | 217 | ||||||
Civista Bancshares | 3,327 | 74 | ||||||
CME Group | 60,812 | 8,251 | ||||||
Codorus Valley Bancorp | 1,123 | 34 | ||||||
Commerce Union Bancshares | 100 | 2 | ||||||
Community Bankers Trust * | 10,851 | 100 | ||||||
Community Financial | 206 | 7 | ||||||
DNB Financial | 478 | 17 | ||||||
Enstar Group * | 3,173 | 706 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Essent Group * | 35,264 | $ | 1,428 | |||||
Everest Re Group | 66,152 | 15,108 | ||||||
Farmers Capital Bank | 10,047 | 422 | ||||||
First Bancshares | 1,681 | 51 | ||||||
First Business Financial Services | 9,694 | 221 | ||||||
First Foundation * | 11,934 | 214 | ||||||
First Mid-Illinois Bancshares | 625 | 24 | ||||||
FNB Bancorp | 288 | 10 | ||||||
FNF Group | 15,254 | 724 | ||||||
Genworth MI Canada | 71,000 | 2,102 | ||||||
Green Dot, Cl A * | 17,458 | 866 | ||||||
Houlihan Lokey, Cl A | 10,707 | 419 | ||||||
Howard Bancorp * | 1,397 | 29 | ||||||
Independent Bank | 1,552 | 35 | ||||||
Intercontinental Exchange | 46,163 | 3,171 | ||||||
International FCStone * | 7,375 | 283 | ||||||
Invesco Mortgage Capital ‡ | 25,452 | 436 | ||||||
Investar Holding | 965 | 23 | ||||||
James River Group Holdings | 8,608 | 357 | ||||||
Kingstone | 8,242 | 134 | ||||||
LPL Financial Holdings | 19,725 | 1,017 | ||||||
Malvern Bancorp * | 480 | 13 | ||||||
Marcus & Millichap * | 5,272 | 142 | ||||||
MBT Financial | 6,562 | 72 | ||||||
MFA Financial ‡ | 803,853 | 7,042 | ||||||
Morningstar, Cl A | 5,095 | 433 | ||||||
National Bank Holdings, Cl A | 16,867 | 602 | ||||||
National Bank of Canada | 96,800 | 4,648 | ||||||
National Commerce * | 6,258 | 268 | ||||||
National General Holdings | 26,359 | 504 | ||||||
New Mountain Finance | 142,100 | 2,025 | ||||||
Nicolet Bankshares * | 6,867 | 395 | ||||||
NMI Holdings, Cl A * | 18,050 | 224 | ||||||
Northeast Bancorp | 516 | 13 | ||||||
Norwood Financial | 450 | 14 | ||||||
Old Line Bancshares | 13,809 | 387 | ||||||
Old Second Bancorp | 15,242 | 205 | ||||||
PennyMac Financial Services, Cl A * | 16,712 | 297 | ||||||
Peoples Bancorp of North Carolina | 541 | 19 | ||||||
Peoples Financial Services | 2,675 | 128 | ||||||
People’s Utah Bancorp | 142 | 5 | ||||||
PJT Partners | 6,455 | 247 | ||||||
Popular | 20,030 | 720 | ||||||
ProAssurance | 19,684 | 1,076 | ||||||
Progressive | 211,774 | 10,254 | ||||||
Prudential Financial | 6,540 | 695 | ||||||
Radian Group | 37,573 | 702 | ||||||
Reinsurance Group of America, Cl A | 19,774 | 2,759 | ||||||
RenaissanceRe Holdings | 51,434 | 6,951 | ||||||
Royal Bank of Canada | 58,700 | 4,531 | ||||||
S&P Global | 28,248 | 4,415 | ||||||
Safety Insurance Group | 6,911 | 527 |
54 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Southern First Bancshares * | 176 | $ | 6 | |||||
Southern Missouri Bancorp | 525 | 19 | ||||||
Starwood Property Trust ‡ | 112,600 | 2,446 | ||||||
Stewart Information Services | 6,619 | 250 | ||||||
Third Point Reinsurance * | 79,355 | 1,238 | ||||||
Timberland Bancorp | 4,963 | 156 | ||||||
Travelers | 113,859 | 13,950 | ||||||
United Financial Bancorp | 107,408 | 1,964 | ||||||
United Security Bancshares | 938 | 9 | ||||||
Unum Group | 19,072 | 975 | ||||||
US Bancorp | 104,936 | 5,624 | ||||||
Validus Holdings | 235,678 | 11,598 | ||||||
Virtu Financial, Cl A | 20,927 | 339 | ||||||
Voya Financial | 59,356 | 2,368 | ||||||
Washington Federal | 19,100 | 643 | ||||||
Waterstone Financial | 16,028 | 313 | ||||||
Wells Fargo | 90,400 | 4,986 | ||||||
White Mountains Insurance Group | 303 | 260 | ||||||
223,898 | ||||||||
Health Care — 15.7% | ||||||||
AbbVie | 63,200 | 5,616 | ||||||
Aetna, Cl A | 49,578 | 7,883 | ||||||
Agilent Technologies | 28,664 | 1,840 | ||||||
AmerisourceBergen, Cl A | 63,022 | 5,215 | ||||||
Amgen, Cl A | 22,600 | 4,214 | ||||||
Anthem | 48,900 | 9,285 | ||||||
Baxter International | 252,970 | 15,874 | ||||||
Biogen * | 5,507 | 1,724 | ||||||
Bio-Rad Laboratories, Cl A * | 14,688 | 3,264 | ||||||
Bristol-Myers Squibb | 44,688 | 2,848 | ||||||
Bruker BioSciences | 8,789 | 261 | ||||||
Cambrex * | 7,079 | 389 | ||||||
Cardinal Health | 36,500 | 2,443 | ||||||
Catalent * | 45,512 | 1,817 | ||||||
Centene * | 5,392 | 522 | ||||||
Chemed | 10,276 | 2,076 | ||||||
Cigna | 22,963 | 4,293 | ||||||
DaVita * | 20,279 | 1,204 | ||||||
Eli Lilly | 54,140 | 4,631 | ||||||
Enzo Biochem * | 54,812 | 574 | ||||||
Express Scripts Holding * | 84,759 | 5,367 | ||||||
Gilead Sciences | 75,946 | 6,153 | ||||||
Globus Medical, Cl A * | 5,859 | 174 | ||||||
Haemonetics * | 15,348 | 689 | ||||||
HCA Healthcare * | 48,400 | 3,852 | ||||||
HealthSouth | 26,043 | 1,207 | ||||||
Henry Schein * | 10,521 | 863 | ||||||
Heska * | 7,712 | 679 | ||||||
Hill-Rom Holdings | 2,348 | 174 | ||||||
Humana | 23,961 | 5,838 | ||||||
ICON * | 14,979 | 1,706 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
ICU Medical * | 5,492 | $ | 1,021 | |||||
Idexx Laboratories * | 14,251 | 2,216 | ||||||
Johnson & Johnson | 276,385 | 35,933 | ||||||
Laboratory Corp of America Holdings * | 36,411 | 5,497 | ||||||
LeMaitre Vascular | 18,076 | 676 | ||||||
Mallinckrodt * | 9,294 | 347 | ||||||
Masimo * | 9,323 | 807 | ||||||
McKesson | 13,078 | 2,009 | ||||||
Merck | 530,453 | 33,965 | ||||||
Mettler Toledo International * | 719 | 450 | ||||||
NeoGenomics * | 4,233 | 47 | ||||||
Owens & Minor | 85,348 | 2,492 | ||||||
Pfizer | 670,034 | 23,920 | ||||||
PRA Health Sciences * | 7,794 | 594 | ||||||
Premier, Cl A * | 2,979 | 97 | ||||||
Prestige Brands Holdings, Cl A * | 11,696 | 586 | ||||||
Quest Diagnostics | 87,849 | 8,226 | ||||||
Sanofi ADR | 61,600 | 3,067 | ||||||
Tactile Systems Technology * | 18,933 | 586 | ||||||
Taro Pharmaceutical Industries * | 6,336 | 714 | ||||||
Teleflex | 12,700 | 3,073 | ||||||
Tivity Health * | 6,308 | 257 | ||||||
UnitedHealth Group | 57,996 | 11,359 | ||||||
Utah Medical Products | 6,072 | 447 | ||||||
Varex Imaging * | 9,767 | 331 | ||||||
Varian Medical Systems * | 19,200 | 1,921 | ||||||
Vertex Pharmaceuticals * | 1,699 | 258 | ||||||
Vocera Communications * | 26,002 | 816 | ||||||
Waters * | 6,478 | 1,163 | ||||||
WellCare Health Plans * | 1,880 | 323 | ||||||
Zoetis, Cl A | 41,100 | 2,621 | ||||||
248,494 | ||||||||
Industrials — 7.2% | ||||||||
3M | 9,651 | 2,026 | ||||||
Blue Bird * | 19,903 | 410 | ||||||
Boeing | 51,502 | 13,092 | ||||||
Brink’s | 401 | 34 | ||||||
Danaher, Cl A | 3,748 | 322 | ||||||
Deere | 63,600 | 7,988 | ||||||
Delta Air Lines, Cl A | 50,791 | 2,449 | ||||||
Expeditors International of Washington | 36,941 | 2,211 | ||||||
FedEx | 15,900 | 3,587 | ||||||
Hawaiian Holdings | 7,692 | 289 | ||||||
JetBlue Airways * | 18,066 | 335 | ||||||
Landstar System | 11,775 | 1,173 | ||||||
Lockheed Martin | 17,163 | 5,326 | ||||||
ManpowerGroup | 11,868 | 1,398 | ||||||
Moog, Cl A * | 8,508 | 710 | ||||||
MSC Industrial Direct, Cl A | 15,643 | 1,182 | ||||||
Nexeo Solutions * | 20,876 | 152 | ||||||
Northrop Grumman | 20,593 | 5,925 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 55 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Managed Volatility Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Omega Flex | 370 | $ | 27 | |||||
Owens Corning | 36,668 | 2,836 | ||||||
Raytheon | 39,400 | 7,351 | ||||||
Republic Services | 180,600 | 11,930 | ||||||
Southwest Airlines, Cl A | 47,742 | 2,673 | ||||||
Spirit AeroSystems Holdings, Cl A | 30,963 | 2,406 | ||||||
United Continental Holdings * | 33,421 | 2,035 | ||||||
United Parcel Service, Cl B | 32,299 | 3,879 | ||||||
United Technologies | 74,500 | 8,648 | ||||||
Waste Management | 311,108 | 24,350 | ||||||
114,744 | ||||||||
Information Technology — 12.0% | ||||||||
Adobe Systems * | 17,477 | 2,607 | ||||||
Alphabet, Cl A * | 1,388 | 1,352 | ||||||
Amdocs | 387,743 | 24,940 | ||||||
Amkor Technology * | 59,572 | 628 | ||||||
Appfolio, Cl A * | 7,196 | 345 | ||||||
Apple | 128,646 | 19,827 | ||||||
Applied Materials | 58,117 | 3,027 | ||||||
Aspen Technology * | 47,391 | 2,977 | ||||||
Atlassian, Cl A * | 34,949 | 1,228 | ||||||
Booz Allen Hamilton Holding, Cl A | 147,269 | 5,506 | ||||||
CA | 127,350 | 4,251 | ||||||
Cadence Design Systems * | 69,825 | 2,756 | ||||||
CDK Global | 3,790 | 239 | ||||||
CDW | 10,584 | 699 | ||||||
Cisco Systems | 410,200 | 13,795 | ||||||
Citrix Systems * | 30,579 | 2,349 | ||||||
CommVault Systems * | 1,349 | 82 | ||||||
Convergys | 97,600 | 2,527 | ||||||
Corning, Cl B | 120,900 | 3,617 | ||||||
CSG Systems International | 10,512 | 422 | ||||||
Dell Technologies, Cl V * | 119,541 | 9,230 | ||||||
DST Systems | 730 | 40 | ||||||
eBay * | 137,693 | 5,296 | ||||||
Electronic Arts * | 8,966 | 1,059 | ||||||
F5 Networks, Cl A * | 2,567 | 309 | ||||||
Facebook, Cl A * | 9,168 | 1,567 | ||||||
Forrester Research | 20,059 | 839 | ||||||
HP | 42,819 | 855 | ||||||
IAC * | 13,437 | 1,580 | ||||||
Intel | 300,634 | 11,448 | ||||||
International Business Machines | 73,000 | 10,591 | ||||||
Intuit | 19,411 | 2,759 | ||||||
Jabil | 90,921 | 2,596 | ||||||
Juniper Networks | 7,086 | 197 | ||||||
Micron Technology * | 7,325 | 288 | ||||||
Microsoft | 22,806 | 1,699 | ||||||
Motorola Solutions | 105,193 | 8,928 | ||||||
NetApp | 98,544 | 4,312 | ||||||
ON Semiconductor * | 11,526 | 213 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Oracle, Cl B | 155,246 | $ | 7,506 | |||||
Qualcomm | 126,000 | 6,532 | ||||||
RealPage * | 14,741 | 588 | ||||||
Sanmina * | 9,470 | 352 | ||||||
Square, Cl A * | 111,563 | 3,214 | ||||||
Sykes Enterprises * | 5,752 | 168 | ||||||
Synopsys * | 35,204 | 2,835 | ||||||
TE Connectivity | 29,924 | 2,485 | ||||||
Tech Data * | 30,000 | 2,665 | ||||||
Teradyne | 39,341 | 1,467 | ||||||
Upland Software * | 2,335 | 49 | ||||||
VeriSign * | 26,794 | 2,851 | ||||||
Western Union | 154,100 | 2,959 | ||||||
190,651 | ||||||||
Materials — 1.8% | ||||||||
AdvanSix * | 21,427 | 852 | ||||||
Avery Dennison | 44,400 | 4,366 | ||||||
Bemis | 102,600 | 4,676 | ||||||
Berry Global Group * | 20,371 | 1,154 | ||||||
Cabot | 9,907 | 553 | ||||||
GCP Applied Technologies * | 3,914 | 120 | ||||||
Kaiser Aluminum | 26,200 | 2,702 | ||||||
LyondellBasell Industries, Cl A | 19,735 | 1,955 | ||||||
Pan American Silver | 18,718 | 319 | ||||||
Schweitzer-Mauduit International | 60,500 | 2,508 | ||||||
Silgan Holdings | 104,500 | 3,075 | ||||||
Sonoco Products | 103,900 | 5,242 | ||||||
Trinseo | 24,550 | 1,647 | ||||||
29,169 | ||||||||
Real Estate — 3.3% | ||||||||
American Homes 4 Rent, ClA ‡ | 29,621 | 643 | ||||||
Anworth Mortgage Asset ‡ | 93,474 | 562 | ||||||
Apollo Commercial Real Estate Finance ‡ | 209,092 | 3,787 | ||||||
Apple Hospitality ‡ | 186,384 | 3,524 | ||||||
Brixmor Property Group ‡ | 145,800 | 2,741 | ||||||
Capstead Mortgage ‡ | 97,293 | 939 | ||||||
Chimera Investment ‡ | 11,884 | 225 | ||||||
City Office | 25,978 | 358 | ||||||
Columbia Property Trust ‡ | 29,135 | 634 | ||||||
Easterly Government Properties ‡ | 40,203 | 831 | ||||||
Four Corners Property Trust ‡ | 21,473 | 535 | ||||||
Gaming and Leisure Properties ‡ | 51,681 | 1,906 | ||||||
Getty Realty ‡ | 6,437 | 184 | ||||||
Great Ajax ‡ | 6,210 | 87 | ||||||
Hospitality Properties Trust ‡ | 30,127 | 858 | ||||||
Host Hotels & Resorts ‡ | 40,459 | 748 | ||||||
InfraREIT ‡ | 20,110 | 450 | ||||||
Jernigan Capital ‡ | 2,315 | 48 | ||||||
LaSalle Hotel Properties ‡ | 26,701 | 775 | ||||||
Liberty Property Trust ‡ | 26,613 | 1,093 |
56 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Mack-Cali Realty ‡ | 15,929 | $ | 378 | |||||
Maui Land & Pineapple * | 12,991 | 181 | ||||||
Mid-America Apartment Communities ‡ | 34,700 | 3,709 | ||||||
MTGE Investment | 59,245 | 1,149 | ||||||
National Health Investors ‡ | 57,000 | 4,405 | ||||||
Outfront Media ‡ | 4,431 | 111 | ||||||
Owens Realty Mortgage ‡ | 5,035 | 92 | ||||||
Piedmont Office Realty Trust, Cl A ‡ | 273,000 | 5,504 | ||||||
PS Business Parks ‡ | 10,803 | 1,442 | ||||||
Retail Properties of America, Cl A ‡ | 315,600 | 4,144 | ||||||
RMR Group | 8,609 | 442 | ||||||
Ryman Hospitality Properties | 6,360 | 397 | ||||||
Select Income ‡ | 15,967 | 374 | ||||||
Senior Housing Properties Trust ‡ | 210,547 | 4,116 | ||||||
Sun Communities ‡ | 5,365 | 460 | ||||||
Tier ‡ | 13,825 | 267 | ||||||
Two Harbors Investment ‡ | 389,150 | 3,923 | ||||||
Xenia Hotels & Resorts ‡ | 10,388 | 219 | ||||||
52,241 | ||||||||
Telecommunication Services — 5.1% |
| |||||||
AT&T | 658,033 | 25,775 | ||||||
BCE | 82,400 | 3,852 | ||||||
Nippon Telegraph & Telephone ADR | 86,900 | 3,973 | ||||||
NTT DoCoMo ADR | 260,300 | 5,932 | ||||||
Rogers Communications, Cl B | 9,260 | 477 | ||||||
SK Telecom ADR | 191,000 | 4,697 | ||||||
TELUS | 180,274 | 6,473 | ||||||
Verizon Communications | 583,229 | 28,864 | ||||||
80,043 | ||||||||
Utilities — 11.0% | ||||||||
AES | 113,830 | 1,254 | ||||||
ALLETE | 10,633 | 822 | ||||||
Ameren | 111,000 | 6,420 | ||||||
American Electric Power | 259,230 | 18,208 | ||||||
California Water Service Group, Cl A | 9,522 | 363 | ||||||
Centerpoint Energy | 175,519 | 5,127 | ||||||
Chesapeake Utilities | 7,406 | 580 | ||||||
CMS Energy | 53,889 | 2,496 | ||||||
Consolidated Edison | 86,400 | 6,971 | ||||||
DTE Energy | 24,700 | 2,652 | ||||||
Edison International | 157,821 | 12,179 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
El Paso Electric, Cl A | 24,847 | $ | 1,373 | |||||
Entergy | 149,509 | 11,416 | ||||||
Exelon | 645,690 | 24,323 | ||||||
FirstEnergy | 229,300 | 7,069 | ||||||
Hawaiian Electric Industries | 97,419 | 3,251 | ||||||
Idacorp, Cl A | 23,399 | 2,057 | ||||||
Korea Electric Power ADR | 172,200 | 2,886 | ||||||
MGE Energy | 5,829 | 377 | ||||||
NextEra Energy | 23,041 | 3,377 | ||||||
Northwest Natural Gas | 17,621 | 1,135 | ||||||
NorthWestern | 21,996 | 1,252 | ||||||
NRG Yield, Cl A | 6,909 | 131 | ||||||
OGE Energy | 4,860 | 175 | ||||||
PG&E | 100,686 | 6,856 | ||||||
Pinnacle West Capital | �� | 63,576 | 5,376 | |||||
PNM Resources | 17,377 | 700 | ||||||
Portland General Electric | 75,961 | 3,467 | ||||||
PPL | 333,990 | 12,675 | ||||||
Public Service Enterprise Group | 238,745 | 11,042 | ||||||
RGC Resources | 697 | 20 | ||||||
SCANA | 80,300 | 3,894 | ||||||
SJW | 6,049 | 342 | ||||||
Southwest Gas Holdings | 11,064 | 859 | ||||||
Spire | 2,642 | 197 | ||||||
UGI | 36,148 | 1,694 | ||||||
Unitil | 22,335 | 1,105 | ||||||
Vectren | 12,662 | 833 | ||||||
Vistra Energy | 123,882 | 2,315 | ||||||
Xcel Energy | 132,683 | 6,279 | ||||||
173,548 | ||||||||
Total Common Stock | 1,545,810 | |||||||
CASH EQUIVALENT — 2.1% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F 0.840%**† | 32,713,195 | 32,713 | ||||||
Total Cash Equivalent | 32,713 | |||||||
Total Investments in Securities — 99.8% | $ | 1,578,523 | ||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||
S&P 500 Index E-MINI | 169 | Dec-2017 | $20,977 | $21,261 | $284 | |||||||||||||||
|
| |||||||||||||||||||
Percentages are based on Net Assets of $1,581,542 ($ Thousands). | * Non-income producing security. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 57 |
SCHEDULE OF INVESTMENTS
September 30, 2017
U.S. Managed Volatility Fund (Concluded)
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
ADR — American Depositary Receipt
Cl — Class
S&P— Standard & Poor’s
The following is a list of the level of inputs used as of September 30, 2017, 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 | $ | 1,545,810 | $ | – | $ | – | $ | 1,545,810 | ||||||||
Cash Equivalent | 32,713 | – | – | 32,713 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,578,523 | $ | – | $ | – | $ | 1,578,523 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 284 | $ | – | $ | – | $ | 284 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 284 | $ | – | $ | – | $ | 284 | ||||||||
|
|
|
|
|
|
|
|
* Futures contracts are valued at the unrealized appreciation on the instrument.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, there were no transfers between Level 2 and Level 3 assets and liabilities.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | $ 39,118 | $ 428,961 | $ (435,366) | $ - | $ - | $ 32,713 | $ 146 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 $0.
The accompanying notes are an integral part of the financial statements.
58 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Global Managed Volatility Fund
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.1% |
| |||||||
Australia — 2.9% | ||||||||
AGL Energy | 302,735 | $ | 5,551 | |||||
Aurizon Holdings | 396,225 | 1,523 | ||||||
AusNet Services | 581,811 | 771 | ||||||
Coca-Cola Amatil | 354,615 | 2,151 | ||||||
Cochlear | 8,786 | 1,098 | ||||||
CSL | 82,601 | 8,682 | ||||||
Flight Centre | 38,106 | 1,346 | ||||||
LendLease Group | 186,932 | 2,628 | ||||||
New Century Resources * | 79,806 | 72 | ||||||
Orica | 55,091 | 855 | ||||||
Qantas Airways | 16,181 | 74 | ||||||
Sonic Healthcare | 65,391 | 1,073 | ||||||
South32 | 1,019,093 | 2,615 | ||||||
Stockland | 36,630 | 124 | ||||||
Telstra, Cl B | 1,635,953 | 4,480 | ||||||
Wesfarmers | 283,998 | 9,210 | ||||||
42,253 | ||||||||
Austria — 1.4% | ||||||||
Agrana Beteiligungs | 6,400 | 813 | ||||||
Erste Group Bank | 16,661 | 720 | ||||||
EVN | 5,476 | 86 | ||||||
Oberbank | 594 | 55 | ||||||
Oesterreichische Post | 69,674 | 3,217 | ||||||
OMV | 6,227 | 363 | ||||||
Polytec Holding | 8,743 | 207 | ||||||
Raiffeisen Bank International | 23,621 | 792 | ||||||
Telekom Austria, Cl A | 91,176 | 827 | ||||||
Verbund | 75,763 | 1,786 | ||||||
voestalpine | 238,610 | 12,171 | ||||||
21,037 | ||||||||
Belgium — 0.7% | ||||||||
Colruyt | 101,837 | 5,217 | ||||||
Elia System Operator | 14,080 | 816 | ||||||
Greenyard | 8,236 | 188 | ||||||
Proximus SADP | 95,592 | 3,295 | ||||||
Sipef | 1,318 | 97 | ||||||
9,613 | ||||||||
Canada — 7.3% | ||||||||
Atco, Cl I | 122,277 | 4,478 | ||||||
Bank of Montreal | 134,217 | 10,134 | ||||||
Barrick Gold | 183,900 | 2,953 | ||||||
BCE | 157,083 | 7,356 | ||||||
BTB | 7,200 | 27 | ||||||
Canadian Imperial Bank of Commerce | 61,668 | 5,383 | ||||||
Canadian Tire, Cl A | 12,900 | 1,602 | ||||||
Canadian Utilities, Cl A | 80,086 | 2,481 | ||||||
CCL Industries, Cl B | 46,600 | 2,250 | ||||||
Cineplex | 18,916 | 591 | ||||||
Cogeco Communications | 1,600 | 118 | ||||||
Constellation Software | 2,600 | 1,415 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Dollarama | 38,400 | $ | 4,192 | |||||
Dream Global Real Estate Investment Trust | 39,800 | 350 | ||||||
Emera | 125,729 | 4,751 | ||||||
George Weston | 86,380 | 7,504 | ||||||
Goldcorp | 72,700 | 942 | ||||||
H&R ‡ | 102,400 | 1,764 | ||||||
Intact Financial | 37,300 | 3,074 | ||||||
Jean Coutu Group PJC, Cl A | 28,100 | 546 | ||||||
Kinross Gold * | 361,100 | 1,528 | ||||||
Loblaw | 90,100 | 4,906 | ||||||
Maple Leaf Foods | 47,627 | 1,295 | ||||||
Metro, Cl A | 91,500 | 3,139 | ||||||
Morguard ‡ | 5,637 | 64 | ||||||
Morguard North American Residential | 4,900 | 61 | ||||||
National Bank of Canada | 216,700 | 10,405 | ||||||
Open Text | 12,807 | 412 | ||||||
RioCan ‡ | 92,800 | 1,776 | ||||||
Rogers Communications, Cl B | 193,700 | 9,965 | ||||||
Rogers Sugar | 49,208 | 249 | ||||||
Royal Bank of Canada | 1,000 | 77 | ||||||
Saputo | 7,800 | 269 | ||||||
Shaw Communications, Cl B | 327,955 | 7,531 | ||||||
Toronto-Dominion Bank | 55,792 | 3,134 | ||||||
True North | 6,100 | 32 | ||||||
106,754 | ||||||||
China — 0.0% | ||||||||
Yangzijiang Shipbuilding Holdings | 258,900 | 273 | ||||||
Denmark — 2.3% | ||||||||
Carlsberg, Cl B | 93,237 | 10,205 | ||||||
Coloplast, Cl B | 7,871 | 639 | ||||||
GN Store Nord | 179,999 | 6,171 | ||||||
H Lundbeck, Cl H | 7,457 | 430 | ||||||
ISS | 32,743 | 1,317 | ||||||
Matas | 10,339 | 151 | ||||||
Novo Nordisk, Cl B | 102,232 | 4,888 | ||||||
Royal Unibrew | 68,978 | 3,781 | ||||||
Schouw | 12,244 | 1,331 | ||||||
TDC | 183,069 | 1,073 | ||||||
United International Enterprises | 266 | 56 | ||||||
William Demant Holding * | 138,120 | 3,647 | ||||||
33,689 | ||||||||
Finland — 0.3% | ||||||||
DNA | 41,154 | 720 | ||||||
Elisa | 26,419 | 1,138 | ||||||
Orion, Cl A | 2,673 | 124 | ||||||
Orion, Cl B | 59,362 | 2,755 | ||||||
Raisio, Cl V | 10,444 | 45 | ||||||
4,782 | ||||||||
France — 1.3% | ||||||||
Aeroports de Paris, Cl A | 12,008 | 1,942 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 59 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Global Managed Volatility Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Albioma | 2,084 | $ | 47 | |||||
Atos | 5,857 | 909 | ||||||
Boiron | 654 | 58 | ||||||
Credit Agricole | 360,553 | 6,556 | ||||||
Dassault Aviation | 1,410 | 2,281 | ||||||
Engie | 204,880 | 3,480 | ||||||
Eutelsat Communications | 20,106 | 596 | ||||||
GL Events | 3,124 | 104 | ||||||
Groupe Guillin | 3,090 | 159 | ||||||
Metropole Television | 20,142 | 466 | ||||||
Rallye | 10,765 | 200 | ||||||
Veolia Environnement | 76,730 | 1,773 | ||||||
Vilmorin & Cie | 2,344 | 211 | ||||||
18,782 | ||||||||
Germany — 1.7% | ||||||||
Aareal Bank | 20,964 | 888 | ||||||
Aurubis | 26,753 | 2,168 | ||||||
Beiersdorf | 5,611 | 604 | ||||||
Bijou Brigitte | 483 | 31 | ||||||
CECONOMY | 100,212 | 1,180 | ||||||
Deutsche Lufthansa | 33,999 | 945 | ||||||
Fielmann | 14,144 | 1,226 | ||||||
Freenet | 166,756 | 5,577 | ||||||
Hornbach Holding & KGaA | 2,111 | 195 | ||||||
KWS Saat | 697 | 305 | ||||||
MAN | 2,451 | 277 | ||||||
McKesson Europe | 11,402 | 354 | ||||||
Merck KGaA | 38,721 | 4,308 | ||||||
METRO* | 68,795 | 1,455 | ||||||
MVV Energie | 2,427 | 65 | ||||||
Rhoen Klinikum | 99,275 | 3,344 | ||||||
Salzgitter | 15,171 | 688 | ||||||
Suedzucker | 3,180 | 68 | ||||||
Wuestenrot & Wuerttembergische | 15,091 | 410 | ||||||
24,088 | ||||||||
Guernsey — 0.6% | ||||||||
Amdocs | 141,376 | 9,093 | ||||||
Hong Kong — 4.8% | ||||||||
ASM Pacific Technology | 342,900 | 4,939 | ||||||
BOC Hong Kong Holdings | 631,500 | 3,068 | ||||||
CK Asset Holdings ‡ | 149,000 | 1,233 | ||||||
CK Infrastructure Holdings | 635,000 | 5,463 | ||||||
CLP Holdings, Cl B | 1,624,656 | 16,651 | ||||||
First Pacific | 756,000 | 603 | ||||||
Guoco Group | 8,000 | 120 | ||||||
Hang Seng Bank | 63,700 | 1,553 | ||||||
HK Electric Investments & HK Electric Investments (A) | 1,691,500 | 1,542 | ||||||
HKT Trust & HKT | 3,521,000 | 4,278 | ||||||
Hong Kong Aircraft Engineering | 26,000 | 171 | ||||||
Hopewell Holdings | 52,000 | 202 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Hutchison Port Holdings, Cl U | 1,674,000 | $ | 720 | |||||
Hysan Development | 86,000 | 405 | ||||||
I-CABLE Communications * | 98,323 | 3 | ||||||
Jardine Matheson Holdings | 1,500 | 95 | ||||||
Kerry Properties | 257,000 | 1,064 | ||||||
Langham Hospitality Investments and Langham Hospitality Investments | 330,000 | 140 | ||||||
Li & Fung | 378,000 | 190 | ||||||
Link ‡ | 659,000 | 5,341 | ||||||
Miramar Hotel & Investment | 70,000 | 154 | ||||||
MTR | 649,000 | 3,789 | ||||||
New World Development | 181,000 | 260 | ||||||
NWS Holdings | 238,000 | 464 | ||||||
PCCW | 1,947,000 | 1,054 | ||||||
Power Assets Holdings | 533,500 | 4,621 | ||||||
Regal Hotels International Holdings | 610,000 | 449 | ||||||
Regal Real Estate Investment Trust | 269,000 | 80 | ||||||
Shangri-La Asia | 332,000 | 616 | ||||||
Sun Hung Kai Properties | 17,000 | 276 | ||||||
Sunlight | 310,000 | 201 | ||||||
Swire Pacific, Cl A ‡ | 103,000 | 1,000 | ||||||
Transport International Holdings, Cl B | 115,200 | 365 | ||||||
WH Group (A) | 5,417,500 | 5,757 | ||||||
Wheelock | 140,000 | 985 | ||||||
Yue Yuen Industrial Holdings | 549,500 | 2,089 | ||||||
69,941 | ||||||||
Ireland — 0.0% | ||||||||
Hibernia | 341,851 | 616 | ||||||
Israel — 1.6% | ||||||||
Amot Investments | 138,491 | 770 | ||||||
Ashtrom Group | 16,195 | 61 | ||||||
Bank Hapoalim | 1,360,351 | 9,528 | ||||||
Bank Leumi Le-Israel | 1,523,061 | 8,099 | ||||||
Israel Discount Bank, Cl A * | 1,312,866 | 3,315 | ||||||
Maabarot Products | 1,705 | 31 | ||||||
Mediterranean Towers | 23,508 | 42 | ||||||
Rami Levy Chain Stores Hashikma Marketing 2006 | 8,366 | 428 | ||||||
Shufersal | 145,438 | 855 | ||||||
Strauss Group | 10,642 | 200 | ||||||
23,329 | ||||||||
Italy — 0.7% | ||||||||
ACEA | 14,324 | 222 | ||||||
Banca Mediolanum | 394,738 | 3,453 | ||||||
Hera | 1,651,751 | 5,194 | ||||||
Iren | 373,915 | 1,004 | ||||||
Orsero * | 4,900 | 57 | ||||||
9,930 | ||||||||
Japan — 7.0% | ||||||||
Aeon Hokkaido | 17,100 | 95 |
60 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Ahjikan | 2,500 | $ | 25 | |||||
Albis | 4,900 | 191 | ||||||
Alpen | 42,169 | 821 | ||||||
Amiyaki Tei | 2,300 | 97 | ||||||
Aozora Bank | 27,500 | 1,046 | ||||||
Araya Industrial | 2,600 | 49 | ||||||
Arcland Sakamoto | 3,900 | 59 | ||||||
Asahi Holdings | 2,700 | 55 | ||||||
Asante | 2,200 | 39 | ||||||
Atsugi | 23,900 | 270 | ||||||
Benesse, Cl A | 2,800 | 101 | ||||||
Bookoff | 6,100 | 44 | ||||||
Brother Industries | 37,400 | 870 | ||||||
Can Do | 4,500 | 72 | ||||||
Central Sports | 2,800 | 96 | ||||||
CK-San-Etsu | 1,000 | 25 | ||||||
Computer Institute of Japan | 24,800 | 141 | ||||||
Daiichi Sankyo | 185,579 | 4,184 | ||||||
Daisyo | 1,700 | 26 | ||||||
Dunlop Sports | 2,921 | 42 | ||||||
DyDo Group Holdings | 36,590 | 1,742 | ||||||
EDION | 84,400 | 791 | ||||||
Eisai | 43,600 | 2,237 | ||||||
EMS-Chemie Holding | 4,333 | 2,884 | ||||||
Feed One | 91,900 | 215 | ||||||
Fujitsu | 384,000 | 2,852 | ||||||
Fujiya | 17,100 | 382 | ||||||
G-7 Holdings, Cl 7 | 9,000 | 183 | ||||||
Gakkyusha | 2,900 | 39 | ||||||
Genki Sushi | 3,100 | 73 | ||||||
HABA Laboratories | 1,500 | 68 | ||||||
Hakudo | 2,200 | 41 | ||||||
Heiwa Real Estate | 156 | 126 | ||||||
Hokkaido Gas | 26,000 | 66 | ||||||
Hoya | 49,100 | 2,650 | ||||||
Idemitsu Kosan | 6,000 | 169 | ||||||
Imuraya Group | 1,200 | 22 | ||||||
Invesco Office | 899 | 856 | ||||||
Itochu-Shokuhin | 2,003 | 90 | ||||||
Japan Airlines | 40,400 | 1,367 | ||||||
Japan Logistics Fund | 151 | 281 | ||||||
Japan Tobacco | 113,100 | 3,705 | ||||||
J-Oil Mills | 2,500 | 88 | ||||||
Kadoya Sesame Mills | 1,000 | 51 | ||||||
Kato Sangyo | 29,100 | 875 | ||||||
KDDI | 77,700 | 2,048 | ||||||
Keiyo | 42,700 | 291 | ||||||
Key Coffee | 1,600 | 31 | ||||||
King Jim | 14,000 | 125 | ||||||
Kirin Holdings | 30,400 | 715 | ||||||
Kirindo Holdings | 4,600 | 54 | ||||||
Kohnan Shoji | 69,746 | 1,309 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Kohsoku | 2,600 | $ | 28 | |||||
Kojima * | 76,800 | 275 | ||||||
Kurimoto | 8,700 | 181 | ||||||
Kyokuyo | 14,200 | 421 | ||||||
KYORIN Holdings | 109,700 | 2,207 | ||||||
Kyoritsu Printing | 19,100 | 58 | ||||||
Kyoto Kimono Yuzen | 9,200 | 75 | ||||||
LaSalle Logiport | 1,006 | 979 | ||||||
Marubeni | 332,300 | 2,269 | ||||||
Marudai Food | 42,636 | 202 | ||||||
McDonald’s Holdings Japan | 113,400 | 5,017 | ||||||
Medipal Holdings | 18,300 | 318 | ||||||
Ministop | 47,755 | 927 | ||||||
Mitsubishi | 4,500 | 105 | ||||||
Mitsubishi Gas Chemical | 105,900 | 2,481 | ||||||
Mitsubishi Tanabe Pharma | 294,400 | 6,748 | ||||||
Mitsui | 207,300 | 3,063 | ||||||
Mitsui Sugar | 23,700 | 797 | ||||||
Mixi | 7,800 | 376 | ||||||
Miyoshi Oil & Fat | 10,600 | 139 | ||||||
Mochida Pharmaceutical | 6,300 | 463 | ||||||
Molitec Steel | 14,800 | 59 | ||||||
Morozoff | 1,100 | 71 | ||||||
Mory Industries | 4,000 | 93 | ||||||
MOS Food Services | 50,758 | 1,580 | ||||||
MrMax Holdings | 76,103 | 366 | ||||||
NAC | 12,200 | 106 | ||||||
Nakamuraya | 900 | 40 | ||||||
Neturen | 7,600 | 76 | ||||||
Nihon Yamamura Glass | 101,000 | 179 | ||||||
NIPPON | 427 | 1,227 | ||||||
Nippon Beet Sugar Manufacturing | 5,000 | 108 | ||||||
Nippon BS Broadcasting | 8,200 | 93 | ||||||
Nippon Express | 8,800 | 573 | ||||||
Nippon Flour Mills | 81,934 | 1,248 | ||||||
Nippon Koshuha Steel | 5,900 | 59 | ||||||
Nippon Light Metal Holdings | 33,200 | 94 | ||||||
Nippon Prologis ‡ | 184 | 388 | ||||||
Nisshin Oillio Group | 45,952 | 1,506 | ||||||
Nissui Pharmaceutical | 10,800 | 135 | ||||||
NTT DOCOMO | 256,700 | 5,862 | ||||||
Ohmoto Gumi | 800 | 33 | ||||||
Ohsho Food Service | 6,400 | 257 | ||||||
Okinawa Electric Power | 78,210 | 1,719 | ||||||
Okuwa | 10,000 | 103 | ||||||
Oracle Japan | 42,600 | 3,345 | ||||||
Osaka Gas | 166,400 | 3,092 | ||||||
Otsuka | 4,700 | 301 | ||||||
OUG Holdings | 1,300 | 32 | ||||||
PIA | 2,700 | 128 | ||||||
Plenus | 25,400 | 561 | ||||||
Proto | 3,600 | 65 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 61 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Global Managed Volatility Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Retail Partners | 5,500 | $ | 65 | |||||
Rhythm Watch | 1,900 | 40 | ||||||
Rock Field | 18,762 | 333 | ||||||
Sagami Chain | 6,300 | 77 | ||||||
San Holdings | 1,900 | 46 | ||||||
SD Entertainment | 1,800 | 17 | ||||||
Senshukai | 9,500 | 58 | ||||||
SFP Holdings | 9,500 | 148 | ||||||
Shibusawa Warehouse | 2,000 | 36 | ||||||
Shoei Foods | 4,700 | 193 | ||||||
Showa Sangyo | 5,800 | 150 | ||||||
Soken Chemical & Engineering | 3,400 | 71 | ||||||
ST | 11,900 | 265 | ||||||
Start Today | 7,300 | 231 | ||||||
Starzen | 12,700 | 619 | ||||||
Studio Alice | 17,532 | 424 | ||||||
Sumitomo | 6,800 | 98 | ||||||
Sumitomo Dainippon Pharma | 54,800 | 713 | ||||||
Taiko Pharmaceutical | 30,700 | 639 | ||||||
Takara Holdings | 51,700 | 472 | ||||||
Takeda Pharmaceutical | 22,400 | 1,237 | ||||||
Toho | 4,300 | 103 | ||||||
Tokai | 4,805 | 205 | ||||||
Tokyo Gas | 20,400 | 500 | ||||||
Tokyo Rakutenchi | 400 | 21 | ||||||
Tokyo Theatres | 16,900 | 221 | ||||||
Trend Micro | 30,300 | 1,491 | ||||||
Tsumura | 72,300 | 2,601 | ||||||
United Super Markets Holdings | 14,700 | 141 | ||||||
Vital KSK Holdings | 59,400 | 492 | ||||||
Waseda Academy | 2,200 | 34 | ||||||
WIN-Partners | 9,200 | 123 | ||||||
Yamatane | 8,500 | 144 | ||||||
Yamaya | 1,800 | 27 | ||||||
Yashima Denki | 4,500 | 37 | ||||||
Yasuda Logistics | 12,800 | 103 | ||||||
Yellow Hat | 14,700 | 417 | ||||||
Yodogawa Steel Works | 2,000 | 55 | ||||||
Yoshinoya Holdings | 162,204 | 2,672 | ||||||
ZERIA Pharmaceutical | 33,800 | 604 | ||||||
101,325 | ||||||||
Jersey — 0.1% | ||||||||
Randgold Resources | 7,755 | 761 | ||||||
Luxembourg — 0.2% | ||||||||
RTL Group | 18,720 | 1,417 | ||||||
SES, Cl A | 68,546 | 1,500 | ||||||
2,917 | ||||||||
Netherlands — 0.2% | ||||||||
ABN AMRO Group (A) | 30,351 | 909 | ||||||
Amsterdam Commodities | 7,913 | 232 | ||||||
ForFarmers | 78,545 | 1,022 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Heineken Holding | 10,566 | $ | 993 | |||||
Sligro Food Group | 9,753 | 449 | ||||||
3,605 | ||||||||
New Zealand — 2.0% | ||||||||
Abano Healthcare Group | 3,951 | 27 | ||||||
Argosy Property | 361,070 | 271 | ||||||
Arvida Group | 244,768 | 216 | ||||||
Auckland International Airport | 343,220 | 1,598 | ||||||
Chorus | 401,827 | 1,139 | ||||||
Contact Energy | 1,403,586 | 5,581 | ||||||
EBOS Group | 23,182 | 287 | ||||||
Fisher & Paykel Healthcare | 691,471 | 6,388 | ||||||
Fletcher Building | 462,117 | 2,669 | ||||||
Freightways | 45,124 | 254 | ||||||
Genesis Energy | 72,181 | 125 | ||||||
Goodman Property Trust | 595,385 | 551 | ||||||
Kiwi Property Group | 962,910 | 940 | ||||||
Mainfreight | 3,460 | 62 | ||||||
Mercury NZ | 826,179 | 2,025 | ||||||
Meridian Energy | 129,503 | 266 | ||||||
Metlifecare | 44,417 | 186 | ||||||
Oceania Healthcare * | 160,026 | 110 | ||||||
Property for Industry | 140,609 | 172 | ||||||
Restaurant Brands New Zealand | 15,713 | 77 | ||||||
Ryman Healthcare | 137,400 | 921 | ||||||
Sanford | 10,470 | 58 | ||||||
Skellerup Holdings | 21,548 | 26 | ||||||
Spark New Zealand | 1,573,533 | 4,152 | ||||||
Stride Property Group | 75,455 | 89 | ||||||
Summerset Group Holdings | 55,485 | 204 | ||||||
Synlait Milk * | 34,957 | 168 | ||||||
Tegel Group Holdings | 77,476 | 73 | ||||||
Trustpower | 17,541 | 70 | ||||||
Vector | 94,500 | 223 | ||||||
Vital Healthcare Property Trust | 48,666 | 78 | ||||||
Warehouse Group | 18,762 | 30 | ||||||
Z Energy | 30,462 | 162 | ||||||
29,198 | ||||||||
Norway — 1.6% | ||||||||
Austevoll Seafood | 16,866 | 176 | ||||||
Norsk Hydro | 290,575 | 2,114 | ||||||
Orkla | 1,036,596 | 10,639 | ||||||
Selvaag Bolig | 11,051 | 47 | ||||||
Telenor | 476,079 | 10,071 | ||||||
23,047 | ||||||||
Panama — 0.7% | ||||||||
Carnival | 148,112 | 9,564 | ||||||
Portugal — 0.3% | ||||||||
Jeronimo Martins SGPS | 99,741 | 1,968 |
62 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Redes Energeticas Nacionais | 665,000 | $ | 2,165 | |||||
4,133 | ||||||||
Singapore — 1.9% | ||||||||
AIMS AMP Capital Industrial | 139,200 | 144 | ||||||
Ascendas Hospitality Trust | 469,300 | 288 | ||||||
BreadTalk Group | 39,300 | 46 | ||||||
Cache Logistics Trust | 528,300 | 325 | ||||||
CapitaLand Commercial Trust ‡ | 2,430,200 | 2,962 | ||||||
CapitaMall Trust | 1,514,200 | 2,230 | ||||||
CDL Hospitality Trusts | 544,300 | 649 | ||||||
City Developments | 16,700 | 139 | ||||||
ComfortDelGro | 731,100 | 1,120 | ||||||
DBS Group Holdings | 112,200 | 1,720 | ||||||
EC World Real Estate Investment Trust Unit | 55,800 | 32 | ||||||
Far East Hospitality Trust | 590,800 | 291 | ||||||
First | 196,000 | 193 | ||||||
Fraser and Neave | 20,400 | 38 | ||||||
Frasers Centrepoint | 72,400 | 111 | ||||||
Frasers Hospitality Trust | 246,100 | 136 | ||||||
Genting Singapore | 771,900 | 665 | ||||||
GL | 55,600 | 35 | ||||||
IREIT Global | 88,100 | 50 | ||||||
Jardine Strategic Holdings | 4,600 | 199 | ||||||
Manulife US Real Estate Investment Trust | 91,600 | 84 | ||||||
Mapletree Greater China Commercial Trust | 425,600 | 362 | ||||||
Mapletree Logistics Trust | 1,202,000 | 1,098 | ||||||
Olam International | 49,200 | 73 | ||||||
OUE | 55,100 | 79 | ||||||
OUE Hospitality Trust | 382,600 | 223 | ||||||
Oversea-Chinese Banking | 54,100 | 445 | ||||||
QAF | 30,100 | 27 | ||||||
SATS | 341,000 | 1,158 | ||||||
Sheng Siong Group | 499,300 | 338 | ||||||
SIA Engineering | 147,500 | 379 | ||||||
Singapore Airlines | 256,300 | 1,895 | ||||||
Singapore Press Holdings | 586,900 | 1,176 | ||||||
Singapore Technologies Engineering | 371,600 | 941 | ||||||
Singapore Telecommunications | 408,900 | 1,108 | ||||||
Soilbuild Business Space | 323,300 | 167 | ||||||
SPH | 201,700 | 148 | ||||||
StarHub | 1,299,167 | 2,487 | ||||||
Suntec | 146,100 | 201 | ||||||
United Overseas Bank | 36,100 | 625 | ||||||
Venture | 87,259 | 1,133 | ||||||
Viva Industrial Trust | 339,700 | 236 | ||||||
Wilmar International | 910,700 | 2,133 | ||||||
27,889 | ||||||||
Spain — 0.4% | ||||||||
Ebro Foods | 95,180 | 2,256 | ||||||
Grifols | 10,824 | 315 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Iberdrola | 461,386 | $ | 3,585 | |||||
6,156 | ||||||||
Sweden — 2.3% | ||||||||
Axfood | 350,279 | 5,995 | ||||||
Catena | 1,638 | 29 | ||||||
Clas Ohlson, Cl B | 10,213 | 189 | ||||||
Essity, Cl B * | 80,522 | 2,186 | ||||||
ICA Gruppen | 258,567 | 9,697 | ||||||
Svenska Cellulosa SCA, Cl B | 64,544 | 546 | ||||||
Swedish Match | 339,138 | 11,871 | ||||||
Tele2, Cl B | 16,130 | 184 | ||||||
Telia | 672,080 | 3,158 | ||||||
33,855 | ||||||||
Switzerland — 6.0% | ||||||||
ABB | 75,486 | 1,868 | ||||||
Allreal Holding, Cl A | 18,284 | 3,207 | ||||||
Alpiq Holding | 2,180 | 176 | ||||||
Baloise Holding | 6,861 | 1,086 | ||||||
Barry Callebaut | 213 | 327 | ||||||
Bell Food Group | 243 | 113 | ||||||
BKW | 10,313 | 620 | ||||||
Chocoladefabriken Lindt & Spruengli | 171 | 1,422 | ||||||
Coca-Cola HBC | 77,480 | 2,625 | ||||||
Conzzeta | 303 | 320 | ||||||
Flughafen Zurich | 18,844 | 4,265 | ||||||
Forbo Holding | 558 | 891 | ||||||
Intershop Holding | 158 | 78 | ||||||
Kaba Holding | 1,291 | 1,318 | ||||||
Kuehne & Nagel International | 898 | 166 | ||||||
Mobimo Holding | 2,811 | 760 | ||||||
Nestle | 211,811 | 17,753 | ||||||
Novartis | 166,517 | 14,266 | ||||||
Pargesa Holding | 3,060 | 255 | ||||||
Roche Holding | 30,725 | 7,849 | ||||||
Schindler Holding | 11,480 | 2,538 | ||||||
SGS, Cl B | 591 | 1,419 | ||||||
Siegfried Holding | 3,677 | 1,211 | ||||||
Sonova Holding | 43,215 | 7,338 | ||||||
Straumann Holding | 826 | 531 | ||||||
Swiss Prime Site | 43,495 | 3,913 | ||||||
Swisscom | 13,642 | 6,996 | ||||||
Swissquote Group Holding | 2,446 | 92 | ||||||
Valora Holding | 9,348 | 3,275 | ||||||
Vontobel Holding | 1,656 | 106 | ||||||
Zug Estates Holding, Cl B | 43 | 80 | ||||||
86,864 | ||||||||
United Kingdom — 3.4% | ||||||||
A.G. Barr | 15,592 | 129 | ||||||
Aviva | 68,315 | 472 | ||||||
BCA Marketplace | 103,786 | 306 | ||||||
Britvic | 379,524 | 3,847 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 63 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Global Managed Volatility Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Carnival | 17,559 | $ | 1,117 | |||||
Centrica | 697,981 | 1,751 | ||||||
Close Brothers Group | 78,263 | 1,549 | ||||||
Cranswick | 27,762 | 1,099 | ||||||
Diageo | 267,834 | 8,815 | ||||||
easyJet | 22,965 | 375 | ||||||
Empiric Student Property | 55,520 | 75 | ||||||
Eurocell | 7,373 | 25 | ||||||
F&C UK Real Estate Investment | 27,598 | 39 | ||||||
Focusrite | 6,827 | 25 | ||||||
G4S | 74,168 | 277 | ||||||
GlaxoSmithKline | 17,358 | 347 | ||||||
Grainger | 14,911 | 54 | ||||||
Greggs | 164,376 | 2,750 | ||||||
Hansteen Holdings | 26,563 | 49 | ||||||
Imperial Brands | 111,605 | 4,768 | ||||||
John Menzies | 14,366 | 139 | ||||||
Joules Group | 33,564 | 122 | ||||||
Kingfisher | 1,629,119 | 6,524 | ||||||
Mcbride | 20,797 | 59 | ||||||
Melrose Industries | 40,201 | 115 | ||||||
Microgen | 14,503 | 95 | ||||||
Moneysupermarket.com Group | 75,250 | 321 | ||||||
National Express Group | 171,300 | 813 | ||||||
QinetiQ Group | 191,591 | 635 | ||||||
Rank Group | 13,575 | 40 | ||||||
Rentokil Initial | 309,043 | 1,246 | ||||||
Rightmove | 41,784 | 2,268 | ||||||
Rio Tinto | 48,990 | 2,557 | ||||||
Secure Income | 20,229 | 102 | ||||||
Softcat | 114,574 | 646 | ||||||
SSE | 296,702 | 5,561 | ||||||
SSP Group | 30,951 | 223 | ||||||
Tate & Lyle | 9,411 | 82 | ||||||
Telecom Plus | 3,125 | 45 | ||||||
Tritax Big Box | 222,506 | 425 | ||||||
ULS Technology | 3,220 | 5 | ||||||
49,892 | ||||||||
United States — 45.4% |
| |||||||
AbbVie | 26,923 | 2,392 | ||||||
Aetna, Cl A | 29,090 | 4,626 | ||||||
Agilent Technologies | 5,443 | 349 | ||||||
AGNC Investment ‡ | 871,601 | 18,896 | ||||||
Altria Group | 186,895 | 11,853 | ||||||
American National Insurance | 2,372 | 280 | ||||||
AmerisourceBergen, Cl A | 10,207 | 845 | ||||||
Amgen, Cl A | 2,870 | 535 | ||||||
Annaly Capital Management ‡ | 865,718 | 10,553 | ||||||
Anthem | 10,844 | 2,059 | ||||||
Appfolio, Cl A * | 11,552 | 554 | ||||||
AptarGroup | 10,238 | 884 | ||||||
Ares Commercial Real Estate ‡ | 48,161 | 641 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Avery Dennison | 10,628 | $ | 1,045 | |||||
AVX | 19,461 | 355 | ||||||
BankFinancial | 7,144 | 114 | ||||||
Baxter International | 18,777 | 1,178 | ||||||
Beneficial Bancorp | 213,327 | 3,541 | ||||||
Berkshire Hathaway, Cl B * | 48,503 | 8,892 | ||||||
Bio-Rad Laboratories, Cl A * | 47,156 | 10,479 | ||||||
BWX Technologies, Cl W | 9,426 | 528 | ||||||
Capitol Federal Financial | 226,653 | 3,332 | ||||||
Chemed | 52,849 | 10,678 | ||||||
Church & Dwight | 65,531 | 3,175 | ||||||
Churchill Downs | 4,449 | 917 | ||||||
Cigna | 19,615 | 3,667 | ||||||
Cisco Systems | 209,625 | 7,050 | ||||||
Clorox | 120,559 | 15,903 | ||||||
Coca-Cola | 313,619 | 14,116 | ||||||
Colgate-Palmolive | 135,965 | 9,905 | ||||||
Comcast, Cl A | 174,512 | 6,715 | ||||||
Consolidated Edison | 26,386 | 2,129 | ||||||
Costco Wholesale | 31,145 | 5,117 | ||||||
Crown Holdings * | 8,472 | 506 | ||||||
Danaher, Cl A | 117,032 | 10,039 | ||||||
Darden Restaurants | 49,860 | 3,928 | ||||||
Dr Pepper Snapple Group | 16,109 | 1,425 | ||||||
Edgewell Personal Care * | 6,810 | 496 | ||||||
Ellington Residential Mortgage ‡ | 6,136 | 89 | ||||||
Estee Lauder, Cl A | 96,068 | 10,360 | ||||||
Exelon | 221,942 | 8,361 | ||||||
Expeditors International of Washington | 6,307 | 378 | ||||||
First Northwest Bancorp * | 6,976 | 119 | ||||||
Fresh Del Monte Produce | 73,910 | 3,360 | ||||||
Gap | 141,728 | 4,185 | ||||||
Gilead Sciences | 99,235 | 8,040 | ||||||
Graham Holdings, Cl B | 1,600 | 936 | ||||||
Grand Canyon Education * | 1,011 | 92 | ||||||
Haemonetics * | 19,494 | 875 | ||||||
Henry Schein * | 40,538 | 3,324 | ||||||
Hershey | 19,372 | 2,115 | ||||||
Home Depot | 63,923 | 10,455 | ||||||
Humana | 50,401 | 12,279 | ||||||
IAC * | 32,910 | 3,870 | ||||||
Interpublic Group | 111,649 | 2,321 | ||||||
Intuitive Surgical * | 5,662 | 5,922 | ||||||
J&J Snack Foods | 15,226 | 1,999 | ||||||
Johnson & Johnson | 151,599 | 19,709 | ||||||
JPMorgan Chase | 35,476 | 3,388 | ||||||
Kaiser Aluminum | 59,837 | 6,172 | ||||||
Kearny Financial | 235,945 | 3,622 | ||||||
Kellogg | 30,055 | 1,875 | ||||||
Kimball International, Cl B | 24,329 | 481 | ||||||
Kimberly-Clark | 49,918 | 5,874 | ||||||
Lincoln National | 124,572 | 9,154 |
64 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Live Nation * | 184,599 | $ | 8,039 | |||||
Luminex | 7,275 | 148 | ||||||
Madison Square Garden * | 6,697 | 1,434 | ||||||
ManpowerGroup | 82,673 | 9,741 | ||||||
Marchex, Cl B * | 10,578 | 33 | ||||||
Masimo * | 45,763 | 3,961 | ||||||
Mastercard, Cl A | 66,479 | 9,387 | ||||||
Materion | 3,148 | 136 | ||||||
McDonald’s | 129,952 | 20,361 | ||||||
Medifast | 17,360 | 1,031 | ||||||
Merck | 157,053 | 10,056 | ||||||
Meridian Bancorp | 59,696 | 1,113 | ||||||
MetLife | 205,195 | 10,660 | ||||||
Mettler Toledo International * | 17,574 | 11,004 | ||||||
MTGE Investment | 48,182 | 935 | ||||||
National Healthcare | 12,906 | 808 | ||||||
National Western Life Group, Cl A | 1,518 | 530 | ||||||
New York Times, Cl A | 99,956 | 1,959 | ||||||
Northfield Bancorp | 4,170 | 72 | ||||||
Northrop Grumman | 5,180 | 1,490 | ||||||
NorthStar Realty Europe | 170,202 | 2,180 | ||||||
Northwest Bancshares | 179,116 | 3,093 | ||||||
Oil-Dri Corp of America | 1,780 | 87 | ||||||
Omnicom Group | 14,982 | 1,110 | ||||||
Owens & Minor | 92,187 | 2,692 | ||||||
PepsiCo | 134,313 | 14,966 | ||||||
PerkinElmer | 32,531 | 2,244 | ||||||
Pfizer | 294,129 | 10,500 | ||||||
Philip Morris International | 88,791 | 9,857 | ||||||
Playa Hotels & Resorts * | 6,239 | 65 | ||||||
Prestige Brands Holdings, Cl A * | 16,614 | 832 | ||||||
Priceline Group * | 1,926 | 3,526 | ||||||
Procter & Gamble | 187,363 | 17,046 | ||||||
Prudential Financial | 63,640 | 6,766 | ||||||
Quest Diagnostics | 107,105 | 10,029 | ||||||
RCI Hospitality Holdings | 14,074 | 348 | ||||||
Reinsurance Group of America, Cl A | 35,836 | 5,000 | ||||||
Reliance Steel & Aluminum | 123,148 | 9,380 | ||||||
Republic Services | 178,981 | 11,823 | ||||||
Scholastic, Cl B | 48,823 | 1,816 | ||||||
Service International | 75,567 | 2,607 | ||||||
SI Financial Group | 4,227 | 63 | ||||||
Southern | 121,989 | 5,995 | ||||||
Spectrum Brands Holdings | 59,169 | 6,267 | ||||||
Starwood Property Trust ‡ | 18,954 | 412 | ||||||
Symantec, Cl A | 57,208 | 1,877 | ||||||
Synopsys * | 55,820 | 4,495 | ||||||
Sysco, Cl A | 222,527 | 12,005 | ||||||
Teleflex | 46,842 | 11,334 | ||||||
Telephone & Data Systems | 43,322 | 1,208 | ||||||
Timberland Bancorp | 1,923 | 60 | ||||||
Travelport Worldwide | 81,708 | 1,283 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Trustco Bank NY | 91,826 | $ | 817 | |||||
Tyson Foods, Cl A | 79,386 | 5,593 | ||||||
United Parcel Service, Cl B | 84,008 | 10,089 | ||||||
United Technologies | 1,763 | 205 | ||||||
United Therapeutics * | 50,202 | 5,883 | ||||||
UnitedHealth Group | 17,739 | 3,474 | ||||||
Unitil | 8,346 | 413 | ||||||
Universal | 69,317 | 3,972 | ||||||
Unum Group | 50,390 | 2,576 | ||||||
Varian Medical Systems * | 70,824 | 7,087 | ||||||
Vector Group | 166,072 | 3,400 | ||||||
VMware, Cl A * | 57,033 | 6,227 | ||||||
Voya Financial | 285,179 | 11,376 | ||||||
VWR * | 38,245 | 1,266 | ||||||
Walgreens Boots Alliance | 44,399 | 3,428 | ||||||
Wal-Mart Stores | 123,212 | 9,628 | ||||||
Walt Disney | 94,631 | 9,328 | ||||||
Waste Management | 145,909 | 11,420 | ||||||
Waterstone Financial | 28,550 | 557 | ||||||
Zoetis, Cl A | 31,226 | 1,991 | ||||||
661,646 | ||||||||
Total Common Stock (Cost $1,208,108) ($ Thousands) | 1,415,032 | |||||||
|
|
| ||||||
PREFERRED STOCK — 0.3% |
| |||||||
Germany — 0.3% |
| |||||||
Henkel & KGaA | 25,051 | 3,410 | ||||||
|
|
| ||||||
Sweden — 0.0% |
| |||||||
Akelius Residential Property | 11,767 | 482 | ||||||
|
|
| ||||||
Total Preferred Stock | 3,892 | |||||||
|
|
| ||||||
| Number of Rights | | ||||||
|
| |||||||
RIGHTS — 0.0% |
| |||||||
New Zealand — 0.0% |
| |||||||
Arvida Group, Expires 10/12/2017 | 1 | – | ||||||
|
|
| ||||||
Singapore — 0.0% |
| |||||||
CapitaLand Commercial Trust, Expires 10/24/2017 | 403,413 | 87 | ||||||
Manulife US Real Estate Investment Trust, Expires 10/19/2017 | 37,556 | 8 | ||||||
MapleTree Logistics, Expires 10/09/2017 | 120,200 | 8 | ||||||
|
|
| ||||||
Total Rights | 103 | |||||||
|
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 65 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Global Managed Volatility Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 2.3% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F 0.840%**† | 34,015,918 | $ | 34,016 | |||||
|
|
| ||||||
Total Cash Equivalent | 34,016 | |||||||
|
|
| ||||||
Total Investments — 99.7% | $ | 1,453,043 | ||||||
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized ($ Thousands) | |||||||||||||
DJ Euro Stoxx 50 Index | 60 | Dec-2017 | $2,511 | $2,537 | $56 | |||||||||||||
FTSE 100 Index | 15 | Dec-2017 | 1,463 | 1,475 | 3 | |||||||||||||
Hang Seng Index | 3 | Oct-2017 | 526 | 528 | 2 | |||||||||||||
S&P 500 Index E-MINI | 85 | Dec-2017 | 10,478 | 10,693 | 215 | |||||||||||||
SPI 200 Index | 7 | Dec-2017 | 792 | 778 | (4) | |||||||||||||
TOPIX Index | 11 | Dec-2017 | 1,609 | 1,637 | 59 | |||||||||||||
|
| |||||||||||||||||
$17,379 | $17,648 | $331 | ||||||||||||||||
|
|
66 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
A list of the open forward foreign currency contracts held by the Fund at September 30, 2017, is as follows:
Counterparty | Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) (Thousands) | ||||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 11 | NOK | 84 | $ | – | |||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 10 | GBP | 8 | – | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 34 | GBP | 26 | – | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 51 | SEK | 416 | – | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 65 | NZD | 90 | – | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 2 | NZD | 3 | – | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 70 | DKK | 441 | – | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 158 | CAD | 195 | (2 | ) | |||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 140 | HKD | 1,091 | – | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 86 | HKD | 668 | – | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 242 | CHF | 234 | 1 | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 258 | EUR | 219 | 1 | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 72 | JPY | 8,145 | – | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | USD | 210 | JPY | 23,507 | (1 | ) | |||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | GBP | 18,931 | USD | 25,566 | 149 | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | SGD | 20,212 | USD | 14,963 | 69 | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | SGD | 22 | USD | 16 | – | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | NZD | 20,962 | USD | 15,232 | 92 | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | NZD | 167 | USD | 120 | (1 | ) | |||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | AUD | 28,933 | USD | 22,978 | 287 | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | AUD | 123 | USD | 96 | – | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | CHF | 105 | USD | 109 | – | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | CHF | 43,639 | USD | 45,114 | (80 | ) | |||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | EUR | 54,414 | USD | 64,696 | 277 | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | EUR | 400 | USD | 470 | (2 | ) | |||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | CAD | 64,728 | USD | 52,436 | 664 | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | CAD | 240 | USD | 192 | – | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | NOK | 92,121 | USD | 11,802 | 219 | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | NOK | 1,268 | USD | 159 | – | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | DKK | 106,133 | USD | 16,959 | 69 | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | DKK | 916 | USD | 145 | – | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | SEK | 144,150 | USD | 17,971 | 281 | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | SEK | 1,148 | USD | 141 | – | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | HKD | 152 | USD | 19 | – | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | HKD | 279,538 | USD | 35,802 | (16 | ) | |||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | JPY | 5,847,354 | USD | 52,376 | 351 | ||||||||||||||||||||||
Brown Brothers Harriman | 10/30/17 | JPY | 33,245 | USD | 296 | – | ||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||
$ | 2,358 | |||||||||||||||||||||||||||
|
|
|
Percentages | are based on Net Assets of $1,457,726 ($ Thousands). |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2017, the value of these securities amounted to $8,208 ($ Thousands), representing 0.6% of the Net Assets of the Fund. |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 67 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Global Managed Volatility Fund (Concluded)
AUD — Australian Dollar
CAD — Canadian Dollar
CHF — Swiss Franc
Cl — Class
DJ — Dow Jones
DKK — Danish Krone
EUR — Euro
FTSE— Financial Times and the London Stock Exchange
GBP — British Pound Sterling
HKD — Hong Kong Dollar
JPY — Japanese Yen
NOK — Norwegian Krone
NZD — New Zealand Dollar
S&P— Standard & Poor’s
SEK — Swedish Krona
SGD — Singapore Dollar
SPI — Share Price Index
TOPIX — Tokyo Price Index
USD — United States Dollar
The following is a list of the level of inputs used as of September 30, 2017, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,413,141 | $ | 1,891 | $ | – | $ | 1,415,032 | ||||||||
Preferred Stock | 3,892 | – | – | 3,892 | ||||||||||||
Rights | 103 | – | – | 103 | ||||||||||||
Cash Equivalent | 34,016 | – | – | 34,016 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities | $ | 1,451,152 | $ | 1,891 | $ | – | $ | 1,453,043 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 335 | $ | – | $ | – | $ | 335 | ||||||||
Unrealized Depreciation | (4) | – | – | (4) | ||||||||||||
Forwards Contracts * | ||||||||||||||||
Unrealized Appreciation | – | 2,460 | – | 2,460 | ||||||||||||
Unrealized Depreciation | – | (102) | – | (102) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Other Financial Instruments | $ | 331 | $ | 2,358 | $ | – | $ | 2,689 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* Futures contracts and forward contracts are valued at the unrealized appreciation (depreciation) on the instrument.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, there were no transfers between Level 2 and Level 3 assets and liabilities.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | $83,471 | $ 178,236 | $ (227,691) | $ - | $ - | $ 34,016 | $ 186 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 $0.
The accompanying notes are an integral part of the financial statements.
68 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Managed Managed Volatility Fund
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.7% |
| |||||||
Consumer Discretionary — 7.1% |
| |||||||
Aaron’s | 8,033 | $ | 350 | |||||
Best Buy | 13,870 | 790 | ||||||
Big Lots | 16,600 | 889 | ||||||
Brunswick | 19,193 | 1,074 | ||||||
Canadian Tire, Cl A | 29,600 | 3,677 | ||||||
Children’s Place | 37,800 | 4,466 | ||||||
Comcast, Cl A | 168,100 | 6,468 | ||||||
Dana | 63,734 | 1,782 | ||||||
Darden Restaurants | 65,500 | 5,160 | ||||||
Dollar General | 13,022 | 1,055 | ||||||
Dunkin’ Brands Group | 28,949 | 1,537 | ||||||
Fiat Chrysler Automobiles | 30,990 | 555 | ||||||
Graham Holdings, Cl B | 1,400 | 819 | ||||||
John Wiley & Sons, Cl A | 8,440 | 452 | ||||||
Lear | 6,268 | 1,085 | ||||||
Lowe’s | 34,400 | 2,750 | ||||||
McDonald’s | 41,554 | 6,511 | ||||||
NVR * | 685 | 1,956 | ||||||
Sally Beauty Holdings * | 154,900 | 3,033 | ||||||
Scripps Networks Interactive, Cl A | 46,400 | 3,985 | ||||||
Target, Cl A | 114,100 | 6,733 | ||||||
Tenneco | 4,640 | 282 | ||||||
Ulta Beauty * | 14,506 | 3,279 | ||||||
Walt Disney | 140,049 | 13,805 | ||||||
Wyndham Worldwide | 25,200 | 2,656 | ||||||
75,149 | ||||||||
Consumer Staples — 16.6% | ||||||||
Altria Group | 234,072 | 14,845 | ||||||
Archer-Daniels-Midland | 45,200 | 1,922 | ||||||
Church & Dwight | 123,346 | 5,976 | ||||||
Clorox | 54,877 | 7,239 | ||||||
Coca-Cola | 127,693 | 5,748 | ||||||
Coca-Cola European Partners | 49,400 | 2,056 | ||||||
Colgate-Palmolive | 75,764 | 5,519 | ||||||
Conagra Brands | 123,574 | 4,169 | ||||||
Costco Wholesale | 40,733 | 6,692 | ||||||
CVS Health | 75,600 | 6,148 | ||||||
Dr Pepper Snapple Group | 64,545 | 5,710 | ||||||
Hershey | 69,527 | 7,590 | ||||||
Ingredion | 29,882 | 3,605 | ||||||
JM Smucker | 55,357 | 5,809 | ||||||
Kellogg | 22,947 | 1,431 | ||||||
Kimberly-Clark | 65,486 | 7,706 | ||||||
Kroger | 159,232 | 3,194 | ||||||
Lamb Weston Holdings | 41,191 | 1,931 | ||||||
McCormick | 72,119 | 7,402 | ||||||
Metro, Cl A | 58,400 | 2,004 | ||||||
Nu Skin Enterprises, Cl A | 29,523 | 1,815 | ||||||
PepsiCo | 98,075 | 10,929 | ||||||
Philip Morris International | 62,123 | 6,896 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Pinnacle Foods | 5,506 | $ | 315 | |||||
Procter & Gamble | 93,908 | 8,544 | ||||||
Sanderson Farms | 29,093 | 4,699 | ||||||
Sysco, Cl A | 134,231 | 7,242 | ||||||
Tyson Foods, Cl A | 81,900 | 5,770 | ||||||
Universal | 16,000 | 917 | ||||||
Wal-Mart Stores | 251,605 | 19,660 | ||||||
Weis Markets | 43,300 | 1,884 | ||||||
175,367 | ||||||||
Energy — 0.7% | ||||||||
Marathon Petroleum | 32,171 | 1,804 | ||||||
Valero Energy | 77,672 | 5,975 | ||||||
7,779 | ||||||||
Financials — 16.1% | ||||||||
Aflac | 56,400 | 4,590 | ||||||
AGNC Investment ‡ | 167,951 | 3,641 | ||||||
Allstate | 70,896 | 6,516 | ||||||
American Financial Group | 41,500 | 4,293 | ||||||
Annaly Capital Management ‡ | 409,600 | 4,993 | ||||||
Arch Capital Group * | 78,888 | 7,770 | ||||||
Assurant | 13,330 | 1,273 | ||||||
Assured Guaranty | 42,929 | 1,621 | ||||||
Axis Capital Holdings | 177,972 | 10,200 | ||||||
Bank of America | 26,785 | 679 | ||||||
Berkshire Hathaway, Cl B * | 59,100 | 10,834 | ||||||
BOK Financial | 52,300 | 4,659 | ||||||
Canadian Imperial Bank of Commerce | 31,000 | 2,706 | ||||||
CBOE Holdings | 120,129 | 12,930 | ||||||
Chubb | 12,399 | 1,768 | ||||||
Everest Re Group | 51,645 | 11,795 | ||||||
Fairfax Financial Holdings | 2,520 | 1,308 | ||||||
Genworth MI Canada | 23,900 | 708 | ||||||
Hanover Insurance Group, Cl A | 19,700 | 1,910 | ||||||
MFA Financial ‡ | 624,682 | 5,472 | ||||||
Morningstar, Cl A | 62,858 | 5,342 | ||||||
National Bank of Canada | 54,700 | 2,626 | ||||||
New Mountain Finance | 10,997 | 157 | ||||||
PNC Financial Services Group | 21,400 | 2,884 | ||||||
Popular | 6,756 | 243 | ||||||
ProAssurance | 78,979 | 4,316 | ||||||
Progressive | 115,800 | 5,607 | ||||||
Reinsurance Group of America, Cl A | 13,729 | 1,916 | ||||||
RenaissanceRe Holdings | 96,760 | 13,076 | ||||||
Starwood Property Trust ‡ | 113,800 | 2,472 | ||||||
TFS Financial | 144,086 | 2,324 | ||||||
Toronto-Dominion Bank | 63,900 | 3,589 | ||||||
Travelers | 87,605 | 10,733 | ||||||
Validus Holdings | 210,877 | 10,377 | ||||||
Voya Financial | 16,682 | 665 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 69 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Managed Managed Volatility Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
White Mountains Insurance Group | 4,079 | $ | 3,496 | |||||
169,489 | ||||||||
Health Care — 15.7% | ||||||||
AbbVie | 53,300 | 4,736 | ||||||
Aetna, Cl A | 49,474 | 7,867 | ||||||
AmerisourceBergen, Cl A | 64,617 | 5,347 | ||||||
Amgen, Cl A | 16,800 | 3,132 | ||||||
Anthem | 47,477 | 9,015 | ||||||
AstraZeneca ADR | 107,200 | 3,632 | ||||||
Baxter International | 124,505 | 7,813 | ||||||
Biogen * | 4,990 | 1,563 | ||||||
Bio-Rad Laboratories, Cl A * | 8,340 | 1,853 | ||||||
Bristol-Myers Squibb | 27,911 | 1,779 | ||||||
Catalent * | 30,835 | 1,231 | ||||||
Chemed | 2,119 | 428 | ||||||
Edwards Lifesciences, Cl A * | 2,820 | 308 | ||||||
Eli Lilly | 93,318 | 7,982 | ||||||
Express Scripts Holding * | 53,512 | 3,388 | ||||||
Gilead Sciences | 56,200 | 4,553 | ||||||
Hill-Rom Holdings | 9,563 | 708 | ||||||
Hologic * | 40,619 | 1,490 | ||||||
Humana | 15,187 | 3,700 | ||||||
ICON * | 16,725 | 1,905 | ||||||
Johnson & Johnson | 215,102 | 27,965 | ||||||
Laboratory Corp of America Holdings * | 24,280 | 3,666 | ||||||
Masimo * | 14,010 | 1,213 | ||||||
McKesson | 11,300 | 1,736 | ||||||
Merck | 265,429 | 16,995 | ||||||
Pfizer | 646,425 | 23,077 | ||||||
Premier, Cl A * | 80,647 | 2,627 | ||||||
Quest Diagnostics | 57,634 | 5,397 | ||||||
Taro Pharmaceutical Industries * | 4,198 | 473 | ||||||
UnitedHealth Group | 39,100 | 7,658 | ||||||
Varian Medical Systems * | 2,690 | 269 | ||||||
Vertex Pharmaceuticals * | 2,595 | 395 | ||||||
Zoetis, Cl A | 28,325 | 1,806 | ||||||
165,707 | ||||||||
Industrials — 12.3% | ||||||||
3M | 30,082 | 6,314 | ||||||
Boeing | 32,700 | 8,313 | ||||||
BWX Technologies, Cl W | 33,432 | 1,873 | ||||||
EMCOR Group | 19,642 | 1,363 | ||||||
Expeditors International of Washington | 104,761 | 6,271 | ||||||
FedEx | 21,100 | 4,760 | ||||||
General Dynamics | 8,600 | 1,768 | ||||||
Huntington Ingalls Industries, Cl A | 8,389 | 1,900 | ||||||
Kaman, Cl A | 32,900 | 1,835 | ||||||
L3 Technologies | 23,577 | 4,443 | ||||||
Landstar System | 46,398 | 4,624 | ||||||
Lockheed Martin | 34,838 | 10,810 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
ManpowerGroup | 302 | $ | 36 | |||||
Moog, Cl A * | 3,667 | 306 | ||||||
Northrop Grumman | 53,546 | 15,406 | ||||||
Orbital ATK | 24,500 | 3,262 | ||||||
Owens Corning | 14,251 | 1,102 | ||||||
Quanta Services * | 47,559 | 1,777 | ||||||
Raytheon | 96,700 | 18,042 | ||||||
Republic Services | 146,100 | 9,651 | ||||||
Southwest Airlines, Cl A | 30,072 | 1,683 | ||||||
Spirit AeroSystems Holdings, Cl A | 15,189 | 1,180 | ||||||
United Continental Holdings * | 18,050 | 1,099 | ||||||
United Parcel Service, Cl B | 45,495 | 5,464 | ||||||
United Technologies | 50,700 | 5,885 | ||||||
Waste Management | 137,382 | 10,753 | ||||||
129,920 | ||||||||
Information Technology — 11.2% |
| |||||||
Advanced Energy Industries * | 4,743 | 383 | ||||||
Amdocs | 177,838 | 11,439 | ||||||
Apple | 59,200 | 9,124 | ||||||
Applied Materials | 38,073 | 1,983 | ||||||
Aspen Technology * | 27,007 | 1,696 | ||||||
Automatic Data Processing | 41,459 | 4,532 | ||||||
Benchmark Electronics * | 52,700 | 1,800 | ||||||
Broadridge Financial Solutions | 23,238 | 1,878 | ||||||
CA | 69,600 | 2,323 | ||||||
Cadence Design Systems * | 28,024 | 1,106 | ||||||
Canon ADR | 87,700 | 3,010 | ||||||
Cisco Systems | 242,600 | 8,159 | ||||||
Citrix Systems * | 12,870 | 989 | ||||||
CSG Systems International | 37,600 | 1,508 | ||||||
Dell Technologies Class V, Cl V * | 108,346 | 8,365 | ||||||
eBay * | 39,530 | 1,520 | ||||||
Facebook, Cl A * | 11,242 | 1,921 | ||||||
Flex * | 16,170 | 268 | ||||||
Harris | 20,200 | 2,660 | ||||||
Intel | 265,600 | 10,114 | ||||||
International Business Machines | 19,200 | 2,786 | ||||||
Intuit | 13,410 | 1,906 | ||||||
Jabil | 33,020 | 943 | ||||||
Jack Henry & Associates | 13,800 | 1,418 | ||||||
Microsoft | 72,739 | 5,418 | ||||||
Motorola Solutions | 48,500 | 4,116 | ||||||
NetApp | 11,469 | 502 | ||||||
Oracle, Cl B | 85,200 | 4,119 | ||||||
Science Applications International | 14,671 | 981 | ||||||
Symantec, Cl A | 179,770 | 5,898 | ||||||
Synopsys * | 80,204 | 6,459 | ||||||
Take-Two Interactive Software, Cl A * | 18,916 | 1,934 | ||||||
Tech Data * | 22,200 | 1,972 | ||||||
Teradyne | 19,298 | 720 | ||||||
VeriSign * | 18,392 | 1,957 |
70 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Western Union | 118,100 | $ | 2,268 | |||||
118,175 | ||||||||
Materials — 1.5% | ||||||||
AptarGroup | 7,900 | 682 | ||||||
Avery Dennison | 31,600 | 3,108 | ||||||
Bemis | 44,400 | 2,023 | ||||||
Cabot | 13,784 | 769 | ||||||
Chemours | 5,936 | 300 | ||||||
Kaiser Aluminum | 33,600 | 3,465 | ||||||
LyondellBasell Industries, Cl A | 7,480 | 741 | ||||||
Sonoco Products | 50,200 | 2,533 | ||||||
Trinseo | 25,375 | 1,703 | ||||||
15,324 | ||||||||
Real Estate — 1.4% | ||||||||
Equity LifeStyle Properties ‡ | 18,540 | 1,577 | ||||||
Gaming and Leisure Properties ‡ | 1,800 | 66 | ||||||
Mid-America Apartment Communities ‡ | 28,000 | 2,993 | ||||||
National Health Investors ‡ | 26,300 | 2,033 | ||||||
Piedmont Office Realty Trust, Cl A ‡ | 222,000 | 4,476 | ||||||
Select Income ‡ | 65,000 | 1,522 | ||||||
Senior Housing Properties Trust ‡ | 132,100 | 2,583 | ||||||
15,250 | ||||||||
Telecommunication Services — 3.8% |
| |||||||
AT&T | 503,175 | 19,710 | ||||||
BCE | 67,200 | 3,141 | ||||||
NTT DoCoMo ADR | 130,100 | 2,965 | ||||||
SK Telecom ADR | 129,800 | 3,192 | ||||||
TELUS | 115,600 | 4,148 | ||||||
Verizon Communications | 134,477 | 6,655 | ||||||
39,811 | ||||||||
Utilities — 11.3% | ||||||||
AES | 12,374 | 136 | ||||||
Alliant Energy | 12,600 | 524 | ||||||
Ameren | 60,200 | 3,482 | ||||||
American Electric Power | 122,164 | 8,581 | ||||||
Centerpoint Energy | 60,225 | 1,759 | ||||||
Consolidated Edison | 165,942 | 13,388 | ||||||
DTE Energy | 45,217 | 4,854 | ||||||
Duke Energy | 71,120 | 5,968 | ||||||
Edison International | 125,527 | 9,687 | ||||||
Entergy | 113,176 | 8,642 | ||||||
Eversource Energy | 113,570 | 6,864 | ||||||
Exelon | 161,500 | 6,084 | ||||||
FirstEnergy | 87,500 | 2,698 | ||||||
Great Plains Energy | 5,200 | 158 | ||||||
PG&E | 133,963 | 9,121 | ||||||
Pinnacle West Capital | 51,783 | 4,379 | ||||||
Portland General Electric | 86,479 | 3,947 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Public Service Enterprise Group | 194,029 | $ | 8,974 | |||||
SCANA | 41,600 | 2,017 | ||||||
Southern | 138,614 | 6,811 | ||||||
Southwest Gas Holdings | 13,553 | 1,052 | ||||||
UGI | 34,973 | 1,639 | ||||||
Vectren | 19,930 | 1,311 | ||||||
WEC Energy Group | 119,032 | 7,473 | ||||||
119,549 | ||||||||
Total Common Stock |
| 1,031,520 | ||||||
Number of Rights | ||||||||
RIGHTS — 0.0% | ||||||||
Safeway CVR - Casa Ley ‡‡ | 85,430 | 87 | ||||||
Safeway CVR - PDC ‡‡ | 85,430 | 4 | ||||||
Total Rights | 91 | |||||||
Shares | ||||||||
CASH EQUIVALENT — 2.1% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F 0.840%**† | 22,607,229 | 22,607 | ||||||
Total Cash Equivalent |
| 22,607 | ||||||
Total Investments in Securities — 99.8% |
| $ | 1,054,218 | |||||
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 71 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Managed Managed Volatility Fund (Concluded)
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Number of | Unrealized | |||||||||||||||||||
Type of | Contracts | Expiration | Notional Amount | Value | Appreciation | |||||||||||||||
Contract | Long | Date | ($ Thousands) | ($ Thousands) | ($ Thousands) | |||||||||||||||
S&P 500 Index E-MINI | 81 | Dec-2017 | $9,967 | $10,190 | $223 | |||||||||||||||
Percentages are based on Net Assets of $1,055,815 ($ Thousands). |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
‡‡ | Expiration date not available. |
† | Investment in Affiliated Security (see Note 6). |
ADR — American Depositary Receipt
Cl — Class
CVR – Contingent Value Rights
S&P — Standard & Poor’s
The following is a list of the level of inputs used as of September 30, 2017, 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 | $ | 1,031,520 | $ | – | $ | – | $ | 1,031,520 | ||||||||
Rights | – | 91 | – | 91 | ||||||||||||
Cash Equivalent | 22,607 | – | – | 22,607 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,054,127 | $ | 91 | $ | – | $ | 1,054,218 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 223 | $ | — | $ | — | $ | 223 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 223 | $ | — | $ | — | $ | 223 | ||||||||
|
|
|
|
|
|
|
|
* Futures contracts are valued at the unrealized appreciation on the instrument.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, there were no transfers between Level 2 and Level 3 assets and liabilities.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Change in Unrealized | ||||||||||||||||||||||||||||
Value | Purchases at | Proceeds from | Realized Gain | Appreciation | Value | Dividend | ||||||||||||||||||||||
Security Description | 9/30/2016 | Cost | Sales | (Loss) | (Depreciation) | 9/30/2017 | Income | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | $34,072 | $176,900 | $(188,365) | $ - | $ - | $ 22,607 | $ 124 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 $0.
The accompanying notes are an integral part of the financial statements.
72 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Managed International Managed Volatility Fund
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 93.9% | ||||||||
Australia — 6.1% | ||||||||
Abacus Property Group | 199,734 | $ | 592 | |||||
AGL Energy | 213,908 | 3,923 | ||||||
ASX | 44,853 | 1,845 | ||||||
Brickworks | 30,888 | 327 | ||||||
BT Investment Management | 14,924 | 129 | ||||||
Caltex Australia | 28,786 | 725 | ||||||
Crown Resorts | 68,117 | 605 | ||||||
CSL | 14,624 | 1,537 | ||||||
Flight Centre | 25,121 | 887 | ||||||
Harvey Norman Holdings | 326,671 | 995 | ||||||
LendLease Group | 65,829 | 926 | ||||||
Macquarie Group | 20,179 | 1,440 | ||||||
Mirvac Group ‡ | 449,279 | 807 | ||||||
Newcrest Mining | 21,912 | 361 | ||||||
South32 | 667,586 | 1,713 | ||||||
Stockland‡ | 221,434 | 747 | ||||||
Telstra, Cl B | 698,709 | 1,913 | ||||||
Vicinity Centres ‡ | 127,523 | 266 | ||||||
Wesfarmers | 50,650 | 1,643 | ||||||
21,381 | ||||||||
Austria — 1.6% | ||||||||
BUWOG | 12,869 | 386 | ||||||
CA Immobilien Anlagen | 10,990 | 316 | ||||||
Lenzing | 854 | 124 | ||||||
Oesterreichische Post | 6,135 | 283 | ||||||
OMV | 24,744 | 1,442 | ||||||
Raiffeisen Bank International | 27,435 | 920 | ||||||
S IMMO | 9,548 | 169 | ||||||
Telekom Austria, Cl A | 108,184 | 981 | ||||||
UNIQA Insurance Group | 35,314 | 370 | ||||||
voestalpine | 8,965 | 457 | ||||||
5,448 | ||||||||
Belgium — 1.3% | ||||||||
bpost | 46,135 | 1,372 | ||||||
Colruyt | 12,128 | 621 | ||||||
Proximus SADP | 40,525 | 1,397 | ||||||
Sipef | 1,175 | 87 | ||||||
TER Beke | 295 | 63 | ||||||
UCB, Cl A | 2,746 | 195 | ||||||
Umicore | 10,372 | 858 | ||||||
4,593 | ||||||||
Canada — 2.0% | ||||||||
Canadian Tire, Cl A | 10,364 | 1,287 | ||||||
Metro, Cl A | 18,818 | 646 | ||||||
TELUS | 65,261 | 2,342 | ||||||
Toronto-Dominion Bank | 48,192 | 2,707 | ||||||
6,982 | ||||||||
Denmark — 2.3% | ||||||||
Carlsberg, Cl B | 9,379 | 1,027 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Coloplast, Cl B | 15,809 | $ | 1,283 | |||||
Danske Bank | 64,629 | 2,585 | ||||||
H Lundbeck, Cl H | 4,086 | 236 | ||||||
ISS | 25,280 | 1,017 | ||||||
Jyske Bank | 17,004 | 981 | ||||||
Matas | 26,481 | 387 | ||||||
Novo Nordisk, Cl B | 4,588 | 219 | ||||||
TDC | 36,696 | 215 | ||||||
United International Enterprises | 564 | 118 | ||||||
William Demant Holding * | 5,208 | 138 | ||||||
8,206 | ||||||||
Finland — 1.0% | ||||||||
Elisa | 11,355 | 489 | ||||||
Fortum | 42,974 | 858 | ||||||
Olvi, Cl A | 3,625 | 124 | ||||||
Orion, Cl B | 31,515 | 1,463 | ||||||
Tietoenator | 21,996 | 671 | ||||||
3,605 | ||||||||
France — 5.6% | ||||||||
Aeroports de Paris, Cl A | 2,933 | 474 | ||||||
Atos | 12,547 | 1,947 | ||||||
Bastide le Confort Medical | 2,603 | 116 | ||||||
BNP Paribas | 11,362 | 917 | ||||||
Carrefour | 5,050 | 102 | ||||||
Cie Generale des Etablissements Michelin | 11,010 | 1,608 | ||||||
Credit Agricole | 46,601 | 847 | ||||||
Credit Agricole Toulouse 31 | 493 | 65 | ||||||
Dassault Aviation | 479 | 775 | ||||||
Euler Hermes Group | 12,429 | 1,469 | ||||||
Eutelsat Communications | 11,490 | 340 | ||||||
Groupe Guillin | 6,308 | 326 | ||||||
Le Noble Age | 2,819 | 188 | ||||||
Metropole Television | 40,778 | 943 | ||||||
PSB Industries | 4,172 | 253 | ||||||
Rubis SCA | 2,506 | 160 | ||||||
Sanofi | 53,623 | 5,326 | ||||||
SCOR | 16,385 | 687 | ||||||
Societe Generale | 13,250 | 776 | ||||||
Thales, Cl A | 3,402 | 385 | ||||||
TOTAL | 32,778 | 1,761 | ||||||
Vilmorin & Cie | 1,681 | 151 | ||||||
19,616 | ||||||||
Germany — 6.1% | ||||||||
adidas | 3,191 | 722 | ||||||
Aurubis | 2,951 | 239 | ||||||
Beiersdorf | 6,787 | 730 | ||||||
CECONOMY | 15,933 | 188 | ||||||
Covestro (A) | 15,125 | 1,301 | ||||||
Deutsche Post | 18,204 | 811 | ||||||
Evonik Industries | 19,397 | 693 | ||||||
Fraport Frankfurt Airport Services Worldwide | 7,517 | 714 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 73 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Managed International Managed Volatility Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Hannover Rueck | 12,686 | $ | 1,529 | |||||
Henkel & KGaA | 5,726 | 697 | ||||||
Krones | 6,952 | 966 | ||||||
KWS Saat | 758 | 332 | ||||||
MAN | 11,081 | 1,251 | ||||||
McKesson Europe | 36,880 | 1,144 | ||||||
Merck KGaA | 8,339 | 928 | ||||||
METRO * | 13,647 | 288 | ||||||
MTU Aero Engines | 4,865 | 776 | ||||||
Muenchener Rueckversicherungs-Gesellschaft in Muenchen | 12,362 | 2,644 | ||||||
Salzgitter | 26,692 | 1,211 | ||||||
SAP | 7,001 | 767 | ||||||
Siemens | 14,297 | 2,015 | ||||||
Siltronic * | 2,150 | 267 | ||||||
Sirius Real Estate | 87,389 | 73 | ||||||
Suedzucker | 30,771 | 661 | ||||||
Vonovia | 8,697 | 370 | ||||||
Wuestenrot & Wuerttembergische | 5,037 | 137 | ||||||
21,454 | ||||||||
Hong Kong — 5.6% | ||||||||
ASM Pacific Technology | 93,200 | 1,342 | ||||||
China Motor Bus | 18,400 | 241 | ||||||
CK Infrastructure Holdings | 106,000 | 912 | ||||||
CLP Holdings, Cl B | 319,000 | 3,269 | ||||||
Dah Sing Banking Group | 178,000 | 391 | ||||||
First Pacific | 196,000 | 156 | ||||||
Guoco Group | 11,000 | 165 | ||||||
Hang Lung Group | 100,000 | 359 | ||||||
Hang Seng Bank | 19,400 | 473 | ||||||
HK Electric Investments & HK Electric | ||||||||
Investments (A) | 693,000 | 632 | ||||||
HKT Trust & HKT | 182,000 | 221 | ||||||
Hong Kong & China Gas | 301,900 | 567 | ||||||
Hong Kong Aircraft Engineering | 15,600 | 103 | ||||||
Hongkong & Shanghai Hotels | 222,500 | 372 | ||||||
Hutchison Port Holdings, Cl U | 1,119,200 | 481 | ||||||
Hysan Development | 20,000 | 94 | ||||||
I-CABLE Communications * | 70,230 | 2 | ||||||
Kerry Properties | 480,000 | 1,988 | ||||||
Langham Hospitality Investments and | ||||||||
Langham Hospitality Investments | 233,500 |
| 99 |
| ||||
Li & Fung | 576,000 | 289 | ||||||
MTR | 208,000 | 1,214 | ||||||
New World Development | 94,000 | 135 | ||||||
NWS Holdings | 137,000 | 267 | ||||||
Paliburg Holdings | 328,000 | 140 | ||||||
PCCW | 834,000 | 452 | ||||||
Power Assets Holdings | 95,500 | 827 | ||||||
Regal Hotels International Holdings | 168,000 | 124 | ||||||
Regal Real Estate Investment Trust ‡ | 372,000 | 111 | ||||||
Shangri-La Asia | 90,000 | 167 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Tian An China Investment | 170,000 | $ | 131 | |||||
Transport International Holdings, Cl B | 31,200 | 99 | ||||||
WH Group (A) | 2,963,500 | 3,149 | ||||||
Wheelock | 100,000 | 704 | ||||||
19,676 | ||||||||
Ireland — 0.4% | ||||||||
AerCap Holdings * | 10,468 | 535 | ||||||
Irish Residential Properties ‡ | 337,126 | 588 | ||||||
Total Produce | 51,466 | 139 | ||||||
1,262 | ||||||||
Israel — 1.6% | ||||||||
Bank Hapoalim | 381,085 | 2,669 | ||||||
Bank Leumi Le-Israel | 57,265 | 305 | ||||||
Check Point Software Technologies * | 969 | 111 | ||||||
Israel Discount Bank, Cl A * | 185,998 | 470 | ||||||
Isras Investment | 1,037 | 123 | ||||||
Mizrahi Tefahot Bank | 71,105 | 1,275 | ||||||
Orbotech * | 6,944 | 293 | ||||||
Paz Oil | 1,276 | 210 | ||||||
Shufersal | 26,493 | 156 | ||||||
5,612 | ||||||||
Italy — 0.8% | ||||||||
Ansaldo STS | 8,234 | 108 | ||||||
Enel | 214,945 | 1,295 | ||||||
Hera | 368,325 | 1,158 | ||||||
Snam Rete Gas | 18,986 | 92 | ||||||
2,653 | ||||||||
Japan — 20.3% | ||||||||
Alfresa Holdings | 30,000 | 549 | ||||||
Alpen | 6,500 | 127 | ||||||
AOKI Holdings | 56,800 | 745 | ||||||
Aoyama Trading | 19,400 | 694 | ||||||
Aozora Bank | 37,400 | 1,422 | ||||||
Arcs | 32,400 | 730 | ||||||
Asahi Group Holdings | 15,700 | 635 | ||||||
Asahi Kasei | 187,000 | 2,301 | ||||||
Astellas Pharma | 171,100 | 2,176 | ||||||
Benesse, Cl A | 11,800 | 426 | ||||||
Canon | 55,500 | 1,896 | ||||||
Choushimaru | 2,100 | 84 | ||||||
Chubu Electric Power | 6,200 | 77 | ||||||
Chuo Gyorui | 3,900 | 96 | ||||||
COMSYS Holdings | 43,800 | 1,046 | ||||||
Daiichi Sankyo | 47,000 | 1,060 | ||||||
Daiki Aluminium Industry | 26,000 | 194 | ||||||
Daiohs | 3,400 | 40 | ||||||
Doutor Nichires Holdings | 46,000 | 987 | ||||||
Ebara Foods Industry | 4,700 | 87 | ||||||
EDION | 33,800 | 317 | ||||||
Electric Power Development | 5,600 | 141 |
74 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
FJ Next | 16,100 | $ | 141 | |||||
FUJIFILM Holdings | 11,700 | 454 | ||||||
Fujitsu | 49,000 | 364 | ||||||
Gakkyusha | 8,400 | 114 | ||||||
Gourmet Kineya | 10,000 | 100 | ||||||
Hakudo | 6,800 | 128 | ||||||
Heiwa | 35,100 | 696 | ||||||
Hiroshima Gas | 31,400 | 99 | ||||||
Hokkaido Gas | 49,000 | 124 | ||||||
Honda Motor | 26,900 | 796 | ||||||
Hoya | 2,000 | 108 | ||||||
Inaba Denki Sangyo | 20,600 | 855 | ||||||
Japan Tobacco | 36,800 | 1,206 | ||||||
Joshin Denki | 6,000 | 204 | ||||||
JX Holdings | 188,200 | 968 | ||||||
Kadoya Sesame Mills | 2,200 | 112 | ||||||
Kanemi | 3,300 | 99 | ||||||
Kato Sangyo | 8,700 | 262 | ||||||
KDDI | 77,400 | 2,040 | ||||||
Keihanshin Building | 19,000 | 128 | ||||||
Keiyo | 73,900 | 504 | ||||||
Key Coffee | 13,900 | 267 | ||||||
Kimura Unity | 9,500 | 99 | ||||||
Kinden | 83,700 | 1,347 | ||||||
Kobe Electric Railway * | 2,800 | 99 | ||||||
K’s Holdings | 31,700 | 702 | ||||||
Kuraray | 71,800 | 1,342 | ||||||
Kurimoto | 11,800 | 245 | ||||||
Kyokuyo | 11,300 | 335 | ||||||
Kyoto Kimono Yuzen | 43,200 | 351 | ||||||
Kyowa Exeo | 63,300 | 1,257 | ||||||
Matsumotokiyoshi Holdings | 17,200 | 1,151 | ||||||
McDonald’s Holdings Japan | 42,500 | 1,880 | ||||||
Mebuki Financial Group | 135,900 | 525 | ||||||
Mitsubishi | 9,100 | 211 | ||||||
Mitsubishi Gas Chemical | 28,300 | 663 | ||||||
Mitsubishi Shokuhin | 25,400 | 741 | ||||||
Mitsubishi Steel Manufacturing | 8,600 | 219 | ||||||
Mitsubishi Tanabe Pharma | 163,100 | 3,738 | ||||||
Mitsui | 75,200 | 1,111 | ||||||
Mochida Pharmaceutical | 2,000 | 147 | ||||||
Nichias | 29,000 | 358 | ||||||
Nippo | 50,000 | 1,069 | ||||||
Nippon Express | 13,800 | 899 | ||||||
Nippon Flour Mills | 10,500 | 160 | ||||||
Nippon Koshuha Steel | 21,100 | 212 | ||||||
Nippon Telegraph & Telephone | 81,800 | 3,748 | ||||||
Nissan Motor | 200,300 | 1,983 | ||||||
Nisshin Oillio Group | 18,800 | 616 | ||||||
Nissui Pharmaceutical | 5,700 | 71 | ||||||
Nitto Fuji Flour Milling | 2,800 | 99 | ||||||
NTT DOCOMO | 85,800 | 1,959 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Okinawa Electric Power | 48,230 | $ | 1,060 | |||||
Okuwa | 3,000 | 31 | ||||||
Ootoya Holdings | 11,000 | 199 | ||||||
Osaka Gas | 95,200 | 1,769 | ||||||
Otsuka | 7,300 | 468 | ||||||
OUG Holdings | 4,500 | 112 | ||||||
Paris Miki Holdings | 61,400 | 262 | ||||||
Proto | 6,100 | 110 | ||||||
Sanyo Electric Railway | 4,000 | 100 | ||||||
Senshu Ikeda Holdings | 24,500 | 94 | ||||||
Shibusawa Warehouse | 7,200 | 128 | ||||||
Shidax | 64,900 | 255 | ||||||
Shikibo | 9,600 | 147 | ||||||
Shimachu | 33,100 | 869 | ||||||
Shin-Keisei Electric Railway | 8,200 | 155 | ||||||
Showa Sangyo | 7,200 | 186 | ||||||
Starts Proceed Investment, Cl A | 147 | 201 | ||||||
Sumitomo Bakelite | 153,000 | 1,127 | ||||||
Sumitomo Dainippon Pharma | 9,000 | 117 | ||||||
Sumitomo Osaka Cement | 234,000 | 1,035 | ||||||
Suzuken | 42,600 | 1,514 | ||||||
Taisho Pharmaceutical Holdings | 3,200 | 243 | ||||||
TAKEBISHI | 1,900 | 25 | ||||||
Takeda Pharmaceutical | 19,600 | 1,082 | ||||||
Teijin | 31,300 | 617 | ||||||
Tobu Store | 3,500 | 97 | ||||||
Tokyo Gas | 10,000 | 245 | ||||||
Tokyo Rakutenchi | 2,000 | 103 | ||||||
Toshiba Plant Systems & Services | 61,000 | 1,025 | ||||||
Tsumura | 20,000 | 720 | ||||||
West Japan Railway | 23,300 | 1,619 | ||||||
Yaizu Suisankagaku Industry | 9,400 | 100 | ||||||
Yamada Denki | 210,700 | 1,151 | ||||||
Yasuda Logistics | 32,100 | 258 | ||||||
Yellow Hat | 5,600 | 159 | ||||||
Yodogawa Steel Works | 15,000 | 410 | ||||||
Yomeishu Seizo | 6,000 | 121 | ||||||
Yoshinoya Holdings | 5,800 | 95 | ||||||
Yuasa Funashoku | 7,960 | 233 | ||||||
71,178 | ||||||||
Jersey – 0.1% | ||||||||
Randgold Resources | 3,419 | 336 | ||||||
Luxembourg – 0.7% | ||||||||
APERAM | 22,395 | 1,174 | ||||||
RTL Group | 2,776 | 210 | ||||||
SES, Cl A | 40,075 | 877 | ||||||
2,261 | ||||||||
Netherlands – 2.0% | ||||||||
ABN AMRO Group (A) | 38,164 | 1,143 | ||||||
ASR Nederland | 12,485 | 500 | ||||||
Coca-Cola European Partners | 6,706 | 281 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 75 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Managed International Managed Volatility Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Corbion | 19,244 | $ | 620 | |||||
Heineken | 9,386 | 928 | ||||||
Koninklijke KPN | 123,075 | 423 | ||||||
NN Group | 61,181 | 2,561 | ||||||
Refresco Group (A) | 17,450 | 352 | ||||||
6,808 | ||||||||
New Zealand — 1.6% | ||||||||
Arvida Group | 102,048 | 90 | ||||||
Chorus | 114,758 | 325 | ||||||
Contact Energy | 64,679 | 257 | ||||||
Fisher & Paykel Healthcare | 133,565 | 1,234 | ||||||
Fletcher Building | 182,132 | 1,052 | ||||||
Freightways | 32,367 | 182 | ||||||
Mercury NZ | 234,122 | 574 | ||||||
Meridian Energy | 129,936 | 267 | ||||||
Sky City Entertainment Group | 85,264 | 231 | ||||||
Spark New Zealand | 458,610 | 1,210 | ||||||
Summerset Group Holdings | 29,342 | 108 | ||||||
Tourism Holdings | 55,789 | 200 | ||||||
5,730 | ||||||||
Norway — 1.3% | ||||||||
DNB, Cl A | 35,014 | 706 | ||||||
Leroey Seafood Group | 106,760 | 683 | ||||||
Marine Harvest | 19,620 | 388 | ||||||
Norsk Hydro | 168,658 | 1,227 | ||||||
Orkla | 72,358 | 743 | ||||||
Telenor | 13,720 | 290 | ||||||
Yara International | 14,624 | 655 | ||||||
4,692 | ||||||||
Portugal — 0.3% | ||||||||
Redes Energeticas Nacionais | 324,744 | 1,057 | ||||||
Singapore — 4.5% | ||||||||
CapitaLand Commercial Trust ‡ | 757,400 | 923 | ||||||
CapitaMall Trust ‡ | 182,000 | 268 | ||||||
DBS Group Holdings | 223,200 | 3,422 | ||||||
Genting Singapore | 904,900 | 780 | ||||||
Global Logistic Properties | 183,400 | 446 | ||||||
Mapletree Industrial Trust ‡ | 713,100 | 985 | ||||||
Mapletree Logistics Trust ‡ | 994,700 | 908 | ||||||
OUE | 80,600 | 116 | ||||||
SATS | 306,500 | 1,040 | ||||||
Sheng Siong Group | 302,800 | 205 | ||||||
SIA Engineering | 83,100 | 214 | ||||||
Singapore Airlines | 211,100 | 1,561 | ||||||
Singapore Technologies Engineering | 66,300 | 168 | ||||||
Singapore Telecommunications | 433,400 | 1,174 | ||||||
SPH‡ | 87,400 | 64 | ||||||
United Industrial | 50,700 | 117 | ||||||
United Overseas Bank | 44,200 | 765 | ||||||
UOL Group | 58,700 | 351 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Venture | 121,000 | $ | 1,572 | |||||
Viva Industrial Trust ‡ | 34,200 | 24 | ||||||
Wilmar International | 288,700 | 676 | ||||||
15,779 | ||||||||
Spain — 2.1% | ||||||||
Cia de Distribucion Integral Logista Holdings | 16,684 | 401 | ||||||
Ebro Foods | 30,899 | 732 | ||||||
Enagas | 16,622 | 468 | ||||||
Endesa | 96,739 | 2,182 | ||||||
Grifols | 45,003 | 1,312 | ||||||
Iberdrola | 244,197 | 1,897 | ||||||
Red Electrica | 23,548 | 495 | ||||||
7,487 | ||||||||
Sweden — 2.3% | ||||||||
Axfood | 54,195 | 928 | ||||||
Cloetta, Cl B | 31,487 | 108 | ||||||
Essity, Cl B * | 33,979 | 922 | ||||||
Getinge, Cl B | 7,003 | 131 | ||||||
Hemfosa Fastigheter | 70,206 | 890 | ||||||
ICA Gruppen | 26,021 | 976 | ||||||
KNOW IT | 10,862 | 174 | ||||||
L E Lundbergforetagen, Cl B | 6,643 | 530 | ||||||
Millicom International Cellular | 10,763 | 709 | ||||||
Saab, Cl B | 2,435 | 123 | ||||||
Scandic Hotels Group (A) | 8,757 | 120 | ||||||
Svenska Cellulosa SCA, Cl B | 33,979 | 287 | ||||||
Swedbank, Cl A | 33,262 | 918 | ||||||
Swedish Match | 36,571 | 1,280 | ||||||
8,096 | ||||||||
Switzerland — 11.8% | ||||||||
ABB | 4,513 | 112 | ||||||
Actelion ADR | 1,762 | 123 | ||||||
Adecco Group | 4,056 | 316 | ||||||
Allreal Holding, Cl A | 688 | 121 | ||||||
ALSO Holding | 1,128 | 159 | ||||||
Baloise Holding | 8,737 | 1,383 | ||||||
Barry Callebaut | 244 | 374 | ||||||
BKW | 9,860 | 593 | ||||||
Coca-Cola HBC | 37,057 | 1,255 | ||||||
Forbo Holding | 171 | 273 | ||||||
Idorsia * | 3,040 | 54 | ||||||
Intershop Holding | 542 | 269 | ||||||
Julius Baer Group | 6,409 | 380 | ||||||
Kuehne & Nagel International | 16,601 | 3,076 | ||||||
Nestle | 31,510 | 2,641 | ||||||
Novartis | 40,191 | 3,443 | ||||||
Orior | 1,325 | 103 | ||||||
Pargesa Holding | 2,175 | 181 | ||||||
Roche Holding | 26,028 | 6,650 | ||||||
Romande Energie Holding | 112 | 147 | ||||||
Schindler Holding | 7,369 | 1,629 |
76 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
SGS, Cl B | 72 | $ | 173 | |||||
Sika | 97 | 722 | ||||||
Sonova Holding | 13,289 | 2,257 | ||||||
St. Galler Kantonalbank | 265 | 122 | ||||||
Swiss Life Holding | 10,672 | 3,762 | ||||||
Swiss Prime Site | 25,135 | 2,261 | ||||||
Swiss Re | 37,429 | 3,393 | ||||||
Swisscom | 4,862 | 2,493 | ||||||
UBS Group | 19,894 | 340 | ||||||
Zurich Insurance Group | 7,712 | 2,355 | ||||||
41,160 | ||||||||
United Kingdom — 11.8% | ||||||||
AstraZeneca | 6,001 | 399 | ||||||
BAE Systems | 404,324 | 3,426 | ||||||
BCA Marketplace | 150,153 | 442 | ||||||
BP | 267,986 | 1,716 | ||||||
British American Tobacco | 19,466 | 1,220 | ||||||
Britvic | 109,600 | 1,111 | ||||||
BTG * | 32,897 | 298 | ||||||
Carnival | 42,963 | 2,734 | ||||||
Central Asia Metals | 70,965 | 221 | ||||||
Centrica | 347,886 | 873 | ||||||
Close Brothers Group | 38,543 | 763 | ||||||
Craneware | 7,808 | 139 | ||||||
Diageo | 34,438 | 1,133 | ||||||
esure Group | 116,030 | 440 | ||||||
F&C UK Real Estate Investment ‡ | 30,456 | 43 | ||||||
Finsbury Food Group | 70,953 | 104 | ||||||
GlaxoSmithKline | 222,293 | 4,439 | ||||||
HSBC Holdings | 186,206 | 1,842 | ||||||
Imperial Brands | 44,720 | 1,910 | ||||||
J D Wetherspoon | 25,595 | 431 | ||||||
J Sainsbury | 509,855 | 1,627 | ||||||
Kingfisher | 315,908 | 1,265 | ||||||
Lancashire Holdings | 40,531 | 363 | ||||||
Lloyds Banking Group | 757,913 | 689 | ||||||
National Grid | 37,242 | 462 | ||||||
Persimmon | 2,947 | 102 | ||||||
QinetiQ Group | 338,951 | 1,123 | ||||||
Reckitt Benckiser Group | 3,008 | 275 | ||||||
Rio Tinto | 32,457 | 1,694 | ||||||
Royal Bank of Scotland Group * | 240,843 | 867 | ||||||
Royal Mail | 208,472 | 1,075 | ||||||
Secure Income ‡ | 25,660 | 129 | ||||||
Severn Trent | 6,709 | 196 | ||||||
Smith & Nephew | 59,429 | 1,075 | ||||||
SSE | 169,314 | 3,173 | ||||||
Tate & Lyle | 90,599 | 788 | ||||||
UBM | 11,775 | 108 | ||||||
Vodafone Group | 364,126 | 1,020 | ||||||
Wm Morrison Supermarkets | 428,529 | 1,346 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
WPP | 3,573 | $ | 66 | |||||
41,127 | ||||||||
United States — 0.7% | ||||||||
BP ADR | 7,445 | 286 | ||||||
Coca-Cola European Partners | 16,731 | 696 | ||||||
International Game Technology | 22,882 | 562 | ||||||
QIAGEN | 26,626 | 839 | ||||||
2,383 | ||||||||
Total Common Stock | 328,582 | |||||||
PREFERRED STOCK — 0.3% | ||||||||
Germany — 0.3% | ||||||||
Bayerische Motoren Werke | 1,354 | 121 | ||||||
Draegerwerk & KGaA | 3,080 | 341 | ||||||
Henkel & KGaA | 3,380 | 460 | ||||||
Total Preferred Stock | 922 | |||||||
Number of Rights | ||||||||
RIGHTS — 0.0% | ||||||||
Singapore — 0.0% | ||||||||
CapitaLand Commercial Trust, Expires 10/24/2017 * | 125,728 | 27 | ||||||
MapleTree Logistics, Expires 10/09/2017 * | 99,470 | 7 | ||||||
Total Rights | 34 | |||||||
Shares | ||||||||
CASH EQUIVALENT — 4.3% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F 0.840%**† | 15,270,354 | 15,270 | ||||||
Total Cash Equivalent | 15,270 | |||||||
Total Investments — 98.5% | $ | 344,808 | ||||||
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 77 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Tax-Managed International Managed Volatility Fund (Concluded)
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized ($ Thousands) | |||||||||||||||
DJ Euro Stoxx 50 Index | 104 | Dec-2017 | $4,348 | $4,397 | $101 | |||||||||||||||
FTSE 100 Index | 24 | Dec-2017 | 2,339 | 2,360 | (5) | |||||||||||||||
Hang Seng Index | 2 | Oct-2017 | 350 | 352 | 2 | |||||||||||||||
SPI 200 Index | 10 | Dec-2017 | 1,130 | 1,112 | (6) | |||||||||||||||
TOPIX Index | 19 | Dec-2017 | 2,772 | 2,827 | 118 | |||||||||||||||
|
|
| ||||||||||||||||||
$10,939 | $11,048 | $210 | ||||||||||||||||||
|
|
|
Percentages are based on Net Assets of $350,002 ($ Thousands). |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2017. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2017, the value of these securities amounted to $6,697 ($ Thousands), representing 1.9% of the Net Assets of the Fund. |
ADR — American Depositary Receipt
Cl — Class
DJ — Dow Jones
FTSE— Financial Times and Stock Exchange
SPI — Share Price Index
TOPIX — Tokyo Price Index
The following is a list of the level of inputs used as of September 30, 2017, 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 | $ | 327,837 | $ | 745 | $ | – | $ | 328,582 | ||||||||
Preferred Stock | 922 | – | – | 922 | ||||||||||||
Rights | – | 34 | – | 34 | ||||||||||||
Cash Equivalent | 15,270 | – | – | 15,270 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 344,029 | $ | 779 | $ | – | $ | 344,808 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 221 | $ | – | $ | – | $ | 221 | ||||||||
Unrealized Depreciation | (11) | – | (11) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 210 | $ | – | $ | – | $ | 210 | ||||||||
|
|
|
|
|
|
|
|
* Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, there were no transfers between Level 2 and Level 3 assets and liabilities.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2017 ($ Thousands):
Security Description | Value 9/30/2016 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2017 | Dividend Income | |||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | $- | $299,290 | $(284,020) | $- | $- | $15,270 | $50 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
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 $0.
The accompanying notes are an integral part of the financial statements.
78 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Dynamic Asset Allocation Fund
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.4% |
| |||||||
Consumer Discretionary — 11.4% |
| |||||||
Advance Auto Parts | 2,494 | $ | 247 | |||||
Amazon.com, Cl A * | 13,736 | 13,205 | ||||||
Autozone * | 925 | 551 | ||||||
Best Buy | 8,978 | 511 | ||||||
BorgWarner | 6,601 | 338 | ||||||
CarMax * | 6,256 | 474 | ||||||
Carnival | 14,180 | 916 | ||||||
CBS, Cl B | 12,588 | 730 | ||||||
Charter Communications, Cl A * | 7,000 | 2,544 | ||||||
Chipotle Mexican Grill, Cl A * | 923 | 284 | ||||||
Coach | 9,734 | 392 | ||||||
Comcast, Cl A | 161,980 | 6,233 | ||||||
Darden Restaurants | 4,234 | 334 | ||||||
Delphi Automotive | 9,041 | 890 | ||||||
Discovery Communications, Cl A * | 5,229 | 111 | ||||||
Discovery Communications, Cl C * | 7,693 | 156 | ||||||
DISH Network, Cl A * | 7,700 | 418 | ||||||
Dollar General | 9,173 | 743 | ||||||
Dollar Tree * | 8,185 | 711 | ||||||
DR Horton | 11,386 | 455 | ||||||
Expedia | 4,215 | 607 | ||||||
Foot Locker, Cl A | 4,500 | 159 | ||||||
Ford Motor | 134,776 | 1,613 | ||||||
Gap | 7,698 | 227 | ||||||
Garmin | 4,004 | 216 | ||||||
General Motors | 45,477 | 1,836 | ||||||
Genuine Parts | 5,004 | 479 | ||||||
Goodyear Tire & Rubber | 8,516 | 283 | ||||||
H&R Block | 7,410 | 196 | ||||||
Hanesbrands | 12,167 | 300 | ||||||
Harley-Davidson, Cl A | 5,855 | 282 | ||||||
Hasbro | 3,798 | 371 | ||||||
Hilton Worldwide Holdings | 7,000 | 486 | ||||||
Home Depot | 40,582 | 6,638 | ||||||
Interpublic Group | 13,297 | 276 | ||||||
Kohl’s | 5,727 | 261 | ||||||
L Brands | 8,008 | 333 | ||||||
Leggett & Platt | 4,465 | 213 | ||||||
Lennar, Cl A | 7,074 | 374 | ||||||
LKQ * | 10,300 | 371 | ||||||
Lowe’s | 29,245 | 2,338 | ||||||
Macy’s | 9,930 | 217 | ||||||
Marriott International, Cl A | 10,551 | 1,163 | ||||||
Mattel | 11,299 | 175 | ||||||
McDonald’s | 27,907 | 4,372 | ||||||
MGM Mirage | 18,300 | 596 | ||||||
Michael Kors Holdings * | 5,628 | 269 | ||||||
Mohawk Industries * | 2,158 | 534 | ||||||
NetFlix* | 14,720 | 2,670 | ||||||
Newell Brands, Cl B | 16,413 | 700 | ||||||
News, Cl A | 12,630 | 168 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
News, Cl B | 5,000 | $ | 68 | |||||
Nike, Cl B | 45,238 | 2,346 | ||||||
Nordstrom | 3,566 | 168 | ||||||
Omnicom Group | 7,969 | 590 | ||||||
O’Reilly Automotive * | 3,112 | 670 | ||||||
Priceline Group * | 1,709 | 3,129 | ||||||
PulteGroup | 9,743 | 266 | ||||||
PVH | 2,720 | 343 | ||||||
Ralph Lauren, Cl A | 1,860 | 164 | ||||||
Ross Stores | 13,649 | 881 | ||||||
Royal Caribbean Cruises | 5,810 | 689 | ||||||
Scripps Networks Interactive, Cl A | 3,394 | 292 | ||||||
Signet Jewelers | 2,113 | 141 | ||||||
Starbucks | 49,957 | 2,683 | ||||||
Target, Cl A | 18,884 | 1,114 | ||||||
Tiffany | 3,798 | 349 | ||||||
Time Warner | 26,723 | 2,738 | ||||||
TJX | 22,038 | 1,625 | ||||||
Tractor Supply | 4,446 | 281 | ||||||
TripAdvisor* | 3,697 | 150 | ||||||
Twenty-First Century Fox, Cl A | 36,662 | 967 | ||||||
Twenty-First Century Fox, Cl B | 16,200 | 418 | ||||||
Ulta Beauty * | 2,000 | 452 | ||||||
Under Armour, Cl A * | 6,546 | 108 | ||||||
Under Armour, Cl C * | 6,681 | 100 | ||||||
VF | 11,040 | 702 | ||||||
Viacom, Cl B | 11,830 | 329 | ||||||
Walt Disney | 53,181 | 5,242 | ||||||
Whirlpool | 2,509 | 463 | ||||||
Wyndham Worldwide | 3,519 | 371 | ||||||
Wynn Resorts | 2,817 | 420 | ||||||
Yum! Brands | 12,097 | 890 | ||||||
88,115 | ||||||||
Consumer Staples — 7.9% |
| |||||||
Altria Group | 66,169 | 4,196 | ||||||
Archer-Daniels-Midland | 19,741 | 839 | ||||||
Brown-Forman, Cl B | 7,028 | 382 | ||||||
Campbell Soup | 6,772 | 317 | ||||||
Church & Dwight | 8,700 | 422 | ||||||
Clorox | 4,422 | 583 | ||||||
Coca-Cola | 132,182 | 5,949 | ||||||
Colgate-Palmolive | 30,148 | 2,196 | ||||||
Conagra Brands | 13,792 | 465 | ||||||
Constellation Brands, Cl A | 5,870 | 1,171 | ||||||
Costco Wholesale | 14,976 | 2,460 | ||||||
Coty, Cl A | 16,549 | 274 | ||||||
CVS Health | 35,099 | 2,854 | ||||||
Dr Pepper Snapple Group | 6,389 | 565 | ||||||
Estee Lauder, Cl A | 7,844 | 846 | ||||||
General Mills | 19,841 | 1,027 | ||||||
Hershey | 4,686 | 512 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 79 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Dynamic Asset Allocation Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Hormel Foods | 9,516 | $ | 306 | |||||
JM Smucker | 3,904 | 410 | ||||||
Kellogg | 8,694 | 542 | ||||||
Kimberly-Clark | 12,177 | 1,433 | ||||||
Kraft Heinz | 20,400 | 1,582 | ||||||
Kroger | 30,748 | 617 | ||||||
McCormick | 4,014 | 412 | ||||||
Molson Coors Brewing, Cl B | 6,324 | 516 | ||||||
Mondelez International, Cl A | 51,753 | 2,104 | ||||||
Monster Beverage * | 13,965 | 772 | ||||||
PepsiCo | 49,140 | 5,476 | ||||||
Philip Morris International | 53,637 | 5,954 | ||||||
Procter & Gamble | 87,609 | 7,971 | ||||||
Sysco, Cl A | 16,643 | 898 | ||||||
Tyson Foods, Cl A | 9,675 | 682 | ||||||
Walgreens Boots Alliance | 31,807 | 2,456 | ||||||
Wal-Mart Stores | 50,676 | 3,960 | ||||||
|
61,149 |
| ||||||
Energy — 5.9% | ||||||||
Anadarko Petroleum, Cl A | 18,993 | 928 | ||||||
Andeavor | 5,103 | 526 | ||||||
Apache | 12,801 | 586 | ||||||
Baker Hughes a GE | 14,915 | 546 | ||||||
Cabot Oil & Gas | 15,798 | 423 | ||||||
Chesapeake Energy * | 27,402 | 118 | ||||||
Chevron | 65,126 | 7,652 | ||||||
Cimarex Energy | 3,149 | 358 | ||||||
Concho Resources * | 5,100 | 672 | ||||||
ConocoPhillips | 42,286 | 2,116 | ||||||
Devon Energy | 18,326 | 673 | ||||||
EOG Resources | 19,727 | 1,908 | ||||||
EQT | 6,005 | 392 | ||||||
ExxonMobil | 145,700 | 11,944 | ||||||
Halliburton | 29,942 | 1,378 | ||||||
Helmerich & Payne | 3,743 | 195 | ||||||
Hess | 9,274 | 435 | ||||||
Kinder Morgan | 66,014 | 1,266 | ||||||
Marathon Oil | 28,192 | 382 | ||||||
Marathon Petroleum | 17,737 | 995 | ||||||
National Oilwell Varco, Cl A | 13,230 | 473 | ||||||
Newfield Exploration * | 6,373 | 189 | ||||||
Noble Energy | 17,237 | 489 | ||||||
Occidental Petroleum | 26,300 | 1,689 | ||||||
Oneok | 13,154 | 729 | ||||||
Phillips 66 | 14,899 | 1,365 | ||||||
Pioneer Natural Resources | 5,892 | 869 | ||||||
Range Resources | 8,487 | 166 | ||||||
Schlumberger, Cl A | 47,637 | 3,323 | ||||||
TechnipFMC * | 15,713 | 439 | ||||||
Valero Energy | 15,197 | 1,169 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Williams | 27,946 | $ | 839 | |||||
|
45,232 |
| ||||||
Financials — 14.0% | ||||||||
Affiliated Managers Group | 1,929 | 366 | ||||||
Aflac | 13,809 | 1,124 | ||||||
Allstate | 12,612 | 1,159 | ||||||
American Express | 25,613 | 2,317 | ||||||
American International Group | 31,305 | 1,922 | ||||||
Ameriprise Financial | 5,317 | 790 | ||||||
Aon | 8,909 | 1,302 | ||||||
Arthur J. Gallagher | 6,000 | 369 | ||||||
Assurant | 1,782 | 170 | ||||||
Bank of America | 337,645 | 8,556 | ||||||
Bank of New York Mellon | 35,543 | 1,885 | ||||||
BB&T | 27,956 | 1,312 | ||||||
Berkshire Hathaway, Cl B * | 66,130 | 12,123 | ||||||
BlackRock | 4,315 | 1,929 | ||||||
Brighthouse Financial * | 3,292 | 200 | ||||||
Capital One Financial | 16,515 | 1,398 | ||||||
CBOE Holdings | 4,000 | 431 | ||||||
Charles Schwab | 41,535 | 1,817 | ||||||
Chubb | 16,066 | 2,290 | ||||||
Cincinnati Financial | 5,193 | 398 | ||||||
Citigroup | 93,845 | 6,826 | ||||||
Citizens Financial Group | 17,600 | 667 | ||||||
CME Group | 11,648 | 1,580 | ||||||
Comerica | 5,973 | 456 | ||||||
Discover Financial Services | 12,846 | 828 | ||||||
E*Trade Financial * | 9,370 | 409 | ||||||
Everest Re Group | 1,400 | 320 | ||||||
Fifth Third Bancorp | 25,451 | 712 | ||||||
Franklin Resources | 11,536 | 513 | ||||||
Goldman Sachs Group | 12,421 | 2,946 | ||||||
Hartford Financial Services Group | 12,361 | 685 | ||||||
Huntington Bancshares | 37,447 | 523 | ||||||
Intercontinental Exchange | 20,280 | 1,393 | ||||||
Invesco | 13,712 | 480 | ||||||
JPMorgan Chase | 121,017 | 11,558 | ||||||
KeyCorp | 37,152 | 699 | ||||||
Leucadia National | 10,640 | 269 | ||||||
Lincoln National | 7,609 | 559 | ||||||
Loews | 9,489 | 454 | ||||||
M&T Bank | 5,308 | 855 | ||||||
Marsh & McLennan | 17,617 | 1,476 | ||||||
MetLife | 36,912 | 1,918 | ||||||
Moody’s | 5,604 | 780 | ||||||
Morgan Stanley | 48,617 | 2,342 | ||||||
Nasdaq, Cl A | 3,987 | 309 | ||||||
Navient | 10,409 | 156 | ||||||
Northern Trust | 7,471 | 687 | ||||||
People’s United Financial | 11,889 | 216 |
80 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
PNC Financial Services Group | 16,497 | $ | 2,223 | |||||
Principal Financial Group, Cl A | 9,033 | 581 | ||||||
Progressive | 19,821 | 960 | ||||||
Prudential Financial | 14,677 | 1,560 | ||||||
Raymond James Financial | 4,300 | 363 | ||||||
Regions Financial | 40,460 | 616 | ||||||
S&P Global | 8,878 | 1,388 | ||||||
SunTrust Banks | 16,639 | 995 | ||||||
Synchrony Financial | 26,701 | 829 | ||||||
T. Rowe Price Group | 8,140 | 738 | ||||||
Torchmark, Cl A | 3,635 | 291 | ||||||
Travelers | 9,652 | 1,183 | ||||||
Unum Group | 7,663 | 392 | ||||||
US Bancorp | 54,402 | 2,915 | ||||||
Wells Fargo | 154,033 | 8,495 | ||||||
Willis Towers Watson | 4,447 | 686 | ||||||
XL Group | 8,914 | 352 | ||||||
Zions Bancorporation | 6,937 | 327 | ||||||
|
107,368 |
| ||||||
Health Care — 13.8% | ||||||||
Abbott Laboratories | 59,824 | 3,192 | ||||||
AbbVie | 55,025 | 4,890 | ||||||
Aetna, Cl A | 11,316 | 1,799 | ||||||
Agilent Technologies | 11,085 | 712 | ||||||
Alexion Pharmaceuticals * | 7,608 | 1,067 | ||||||
Align Technology * | 2,600 | 484 | ||||||
Allergan | 11,480 | 2,353 | ||||||
AmerisourceBergen, Cl A | 5,554 | 460 | ||||||
Amgen, Cl A | 25,163 | 4,692 | ||||||
Anthem | 9,138 | 1,735 | ||||||
Baxter International | 17,492 | 1,098 | ||||||
Becton Dickinson | 7,852 | 1,539 | ||||||
Biogen * | 7,350 | 2,301 | ||||||
Boston Scientific * | 47,492 | 1,385 | ||||||
Bristol-Myers Squibb | 56,538 | 3,604 | ||||||
C.R. Bard | 2,497 | 800 | ||||||
Cardinal Health | 11,003 | 736 | ||||||
Celgene, Cl A * | 26,794 | 3,907 | ||||||
Centene * | 5,800 | 561 | ||||||
Cerner * | 11,012 | 785 | ||||||
Cigna | 8,710 | 1,628 | ||||||
Cooper, Cl A | 1,700 | 403 | ||||||
DaVita * | 5,357 | 318 | ||||||
DENTSPLY SIRONA | 7,671 | 459 | ||||||
Edwards Lifesciences, Cl A * | 7,372 | 806 | ||||||
Eli Lilly | 33,513 | 2,867 | ||||||
Envision Healthcare * | 3,836 | 172 | ||||||
Express Scripts Holding * | 20,132 | 1,275 | ||||||
Gilead Sciences | 44,813 | 3,631 | ||||||
HCA Healthcare * | 9,743 | 775 | ||||||
Henry Schein * | 5,444 | 446 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Hologic * | 9,500 | $ | 349 | |||||
Humana | 4,990 | 1,216 | ||||||
Idexx Laboratories * | 3,100 | 482 | ||||||
Illumina * | 5,000 | 996 | ||||||
Incyte * | 5,800 | 677 | ||||||
Intuitive Surgical * | 1,346 | 1,408 | ||||||
Johnson & Johnson | 92,544 | 12,032 | ||||||
Laboratory Corp of America Holdings * | 3,617 | 546 | ||||||
McKesson | 7,237 | 1,112 | ||||||
Medtronic | 46,941 | 3,651 | ||||||
Merck | 94,066 | 6,023 | ||||||
Mettler Toledo International * | 900 | 564 | ||||||
Mylan * | 18,926 | 594 | ||||||
Patterson | 2,462 | 95 | ||||||
PerkinElmer | 3,569 | 246 | ||||||
Perrigo | 4,776 | 404 | ||||||
Pfizer | 205,157 | 7,324 | ||||||
Quest Diagnostics | 4,578 | 429 | ||||||
Quintiles IMS Holdings * | 5,400 | 513 | ||||||
Regeneron Pharmaceuticals * | 2,615 | 1,169 | ||||||
ResMed | 4,800 | 369 | ||||||
Stryker | 11,176 | 1,587 | ||||||
Thermo Fisher Scientific | 13,811 | 2,613 | ||||||
UnitedHealth Group | 33,411 | 6,544 | ||||||
Universal Health Services, Cl B | 3,042 | 337 | ||||||
Varian Medical Systems * | 3,265 | 327 | ||||||
Vertex Pharmaceuticals * | 8,558 | 1,301 | ||||||
Waters * | 2,720 | 488 | ||||||
Zimmer Biomet Holdings | 6,953 | 814 | ||||||
Zoetis, Cl A | 16,873 | 1,076 | ||||||
|
106,166 |
| ||||||
Industrials — 10.1% | ||||||||
3M | 20,526 | 4,308 | ||||||
Acuity Brands | 1,500 | 257 | ||||||
Alaska Air Group | 4,200 | 320 | ||||||
Allegion | 3,194 | 276 | ||||||
American Airlines Group | 15,225 | 723 | ||||||
Ametek | 7,864 | 519 | ||||||
AO Smith | 4,900 | 291 | ||||||
Arconic | 14,092 | 351 | ||||||
Boeing | 19,209 | 4,883 | ||||||
C.H. Robinson Worldwide | 4,987 | 380 | ||||||
Caterpillar, Cl A | 20,145 | 2,512 | ||||||
Cintas | 3,052 | 440 | ||||||
CSX | 31,588 | 1,714 | ||||||
Cummins | 5,263 | 884 | ||||||
Danaher, Cl A | 20,891 | 1,792 | ||||||
Deere | 11,113 | 1,396 | ||||||
Delta Air Lines, Cl A | 23,222 | 1,120 | ||||||
Dover | 5,246 | 479 | ||||||
Eaton | 15,439 | 1,186 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 81 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Dynamic Asset Allocation Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Emerson Electric | 22,126 | $ | 1,390 | |||||
Equifax | 4,076 | 432 | ||||||
Expeditors International of Washington | 6,108 | 366 | ||||||
Fastenal, Cl A | 9,922 | 452 | ||||||
FedEx | 8,469 | 1,910 | ||||||
Flowserve | 4,554 | 194 | ||||||
Fluor | 4,592 | 193 | ||||||
Fortive | 10,395 | 736 | ||||||
Fortune Brands Home & Security | 5,300 | 356 | ||||||
General Dynamics | 9,665 | 1,987 | ||||||
General Electric | 298,093 | 7,208 | ||||||
Honeywell International | 26,152 | 3,707 | ||||||
IHS Markit * | 12,900 | 569 | ||||||
Illinois Tool Works | 10,631 | 1,573 | ||||||
Ingersoll-Rand | 8,903 | 794 | ||||||
Jacobs Engineering Group | 3,921 | 229 | ||||||
JB Hunt Transport Services | 2,845 | 316 | ||||||
Johnson Controls International | 32,238 | 1,299 | ||||||
Kansas City Southern | 3,563 | 387 | ||||||
L3 Technologies | 2,619 | 494 | ||||||
Lockheed Martin | 8,693 | 2,697 | ||||||
Masco | 10,723 | 418 | ||||||
Nielsen Holdings | 11,180 | 463 | ||||||
Norfolk Southern | 10,102 | 1,336 | ||||||
Northrop Grumman | 5,961 | 1,715 | ||||||
PACCAR | 12,119 | 877 | ||||||
Parker-Hannifin, Cl A | 4,552 | 797 | ||||||
Pentair | 5,677 | 386 | ||||||
Quanta Services * | 5,282 | 197 | ||||||
Raytheon | 9,999 | 1,866 | ||||||
Republic Services | 7,762 | 513 | ||||||
Robert Half International | 4,159 | 209 | ||||||
Rockwell Automation | 4,335 | 773 | ||||||
Rockwell Collins | 5,530 | 723 | ||||||
Roper Technologies | 3,514 | 855 | ||||||
Snap-on | 1,955 | 291 | ||||||
Southwest Airlines, Cl A | 19,233 | 1,077 | ||||||
Stanley Black & Decker | 5,211 | 787 | ||||||
Stericycle, Cl A * | 2,826 | 202 | ||||||
Textron | 9,137 | 492 | ||||||
TransDigm Group * | 1,700 | 435 | ||||||
Union Pacific | 27,819 | 3,226 | ||||||
United Continental Holdings * | 9,200 | 560 | ||||||
United Parcel Service, Cl B | 23,611 | 2,836 | ||||||
United Rentals * | 2,799 | 388 | ||||||
United Technologies | 25,732 | 2,987 | ||||||
Verisk Analytics, Cl A * | 5,200 | 433 | ||||||
Waste Management | 14,082 | 1,102 | ||||||
WW Grainger | 1,947 | 350 | ||||||
Xylem | 5,948 | 373 | ||||||
77,787 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Information Technology — 22.4% |
| |||||||
Accenture, Cl A | 21,348 | $ | 2,883 | |||||
Activision Blizzard | 26,200 | 1,690 | ||||||
Adobe Systems * | 17,064 | 2,546 | ||||||
Advanced Micro Devices * | 27,000 | 344 | ||||||
Akamai Technologies * | 5,774 | 281 | ||||||
Alliance Data Systems | 1,746 | 387 | ||||||
Alphabet, Cl A * | 10,269 | 9,999 | ||||||
Alphabet, Cl C * | 10,393 | 9,968 | ||||||
Amphenol, Cl A | 10,320 | 873 | ||||||
Analog Devices | 12,792 | 1,102 | ||||||
Ansys * | 3,000 | 368 | ||||||
Apple | 177,930 | 27,423 | ||||||
Applied Materials | 36,971 | 1,926 | ||||||
Autodesk, Cl A * | 7,705 | 865 | ||||||
Automatic Data Processing | 15,342 | 1,677 | ||||||
Broadcom | 14,075 | 3,414 | ||||||
CA | 10,733 | 358 | ||||||
Cadence Design Systems * | 10,100 | 399 | ||||||
Cisco Systems | 171,972 | 5,783 | ||||||
Citrix Systems * | 5,326 | 409 | ||||||
Cognizant Technology Solutions, Cl A | 20,077 | 1,456 | ||||||
Corning, Cl B | 31,871 | 954 | ||||||
CSRA | 6,066 | 196 | ||||||
DXC Technology | 9,576 | 822 | ||||||
eBay * | 34,247 | 1,317 | ||||||
Electronic Arts * | 10,628 | 1,255 | ||||||
F5 Networks, Cl A * | 2,191 | 264 | ||||||
Facebook, Cl A * | 81,471 | 13,921 | ||||||
Fidelity National Information Services, Cl B | 11,253 | 1,051 | ||||||
Fiserv, Cl A * | 7,282 | 939 | ||||||
Flir Systems | 4,892 | 190 | ||||||
Gartner * | 3,000 | 373 | ||||||
Global Payments | 5,147 | 489 | ||||||
Harris | 4,227 | 557 | ||||||
Hewlett Packard Enterprise | 57,910 | 852 | ||||||
HP | 57,210 | 1,142 | ||||||
Intel | 161,897 | 6,165 | ||||||
International Business Machines | 29,868 | 4,333 | ||||||
Intuit | 8,385 | 1,192 | ||||||
Juniper Networks | 13,433 | 374 | ||||||
KLA-Tencor | 5,449 | 578 | ||||||
Lam Research | 5,620 | 1,040 | ||||||
Mastercard, Cl A | 32,182 | 4,544 | ||||||
Microchip Technology | 7,737 | 695 | ||||||
Micron Technology * | 38,771 | 1,525 | ||||||
Microsoft | 265,396 | 19,769 | ||||||
Motorola Solutions | 5,502 | 467 | ||||||
NetApp | 9,028 | 395 | ||||||
Nvidia | 20,748 | 3,709 | ||||||
Oracle, Cl B | 104,333 | 5,045 | ||||||
Paychex | 11,200 | 672 |
82 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
PayPal Holdings * | 38,585 | $ | 2,471 | |||||
Qorvo * | 4,305 | 304 | ||||||
Qualcomm | 50,968 | 2,642 | ||||||
Red Hat * | 6,260 | 694 | ||||||
salesforce.com * | 23,672 | 2,211 | ||||||
Seagate Technology | 10,043 | 333 | ||||||
Skyworks Solutions | 6,307 | 643 | ||||||
Symantec, Cl A | 20,508 | 673 | ||||||
Synopsys * | 5,200 | 419 | ||||||
TE Connectivity | 12,103 | 1,005 | ||||||
Texas Instruments | 34,011 | 3,049 | ||||||
Total System Services | 5,567 | 365 | ||||||
VeriSign * | 3,078 | 327 | ||||||
Visa, Cl A | 63,032 | 6,634 | ||||||
Western Digital | 9,838 | 850 | ||||||
Western Union | 15,577 | 299 | ||||||
Xerox | 7,289 | 243 | ||||||
Xilinx | 8,387 | 594 | ||||||
|
172,732 |
| ||||||
Materials — 2.9% | ||||||||
Air Products & Chemicals | 7,561 | 1,143 | ||||||
Albemarle | 3,800 | 518 | ||||||
Avery Dennison | 3,076 | 303 | ||||||
Ball | 12,112 | 500 | ||||||
CF Industries Holdings | 8,137 | 286 | ||||||
DowDuPont | 80,375 | 5,564 | ||||||
Eastman Chemical | 4,998 | 452 | ||||||
Ecolab | 8,954 | 1,152 | ||||||
FMC | 4,449 | 397 | ||||||
Freeport-McMoRan, Cl B * | 45,962 | 645 | ||||||
International Flavors & Fragrances | 2,715 | 388 | ||||||
International Paper | 14,273 | 811 | ||||||
LyondellBasell Industries, Cl A | 11,343 | 1,124 | ||||||
Martin Marietta Materials, Cl A | 2,165 | 447 | ||||||
Monsanto | 15,028 | 1,801 | ||||||
Mosaic | 11,810 | 255 | ||||||
Newmont Mining | 18,004 | 675 | ||||||
Nucor | 11,048 | 619 | ||||||
Packaging Corp of America | 3,200 | 367 | ||||||
PPG Industries | 8,870 | 964 | ||||||
Praxair | 9,833 | 1,374 | ||||||
Sealed Air | 6,958 | 297 | ||||||
Sherwin-Williams, Cl A | 2,813 | 1,007 | ||||||
Vulcan Materials | 4,430 | 530 | ||||||
WestRock | 8,692 | 493 | ||||||
|
22,112 |
| ||||||
Real Estate — 2.9% | ||||||||
Alexandria Real Estate Equities ‡ | 3,100 | 369 | ||||||
American Tower, Cl A ‡ | 14,916 | 2,039 | ||||||
Apartment Investment & Management, Cl A ‡ | 5,343 | 234 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
AvalonBay Communities ‡ | 4,722 | $ | 842 | |||||
Boston Properties ‡ | 5,308 | 652 | ||||||
CBRE Group, Cl A * | 10,525 | 399 | ||||||
Crown Castle International ‡ | 13,828 | 1,382 | ||||||
Digital Realty Trust, Cl A ‡ | 7,200 | 852 | ||||||
Duke Realty ‡ | 11,900 | 343 | ||||||
Equinix ‡ | 2,659 | 1,187 | ||||||
Equity Residential ‡ | 12,633 | 833 | ||||||
Essex Property Trust ‡ | 2,260 | 574 | ||||||
Extra Space Storage ‡ | 4,300 | 344 | ||||||
Federal Realty Investment Trust ‡ | 2,400 | 298 | ||||||
GGP ‡ | 22,297 | 463 | ||||||
HCP ‡ | 15,730 | 438 | ||||||
Host Hotels & Resorts ‡ | 24,912 | 461 | ||||||
Iron Mountain ‡ | 9,476 | 369 | ||||||
Kimco Realty ‡ | 14,296 | 279 | ||||||
Macerich ‡ | 4,165 | 229 | ||||||
Mid-America Apartment Communities ‡ | 3,900 | 417 | ||||||
ProLogis ‡ | 17,971 | 1,140 | ||||||
Public Storage ‡ | 5,100 | 1,091 | ||||||
Realty Income ‡ | 9,518 | 544 | ||||||
Regency Centers ‡ | 4,900 | 304 | ||||||
SBA Communications, Cl A *‡ | 4,100 | 591 | ||||||
Simon Property Group ‡ | 10,658 | 1,716 | ||||||
SL Green Realty ‡ | 3,415 | 346 | ||||||
UDR ‡ | 8,900 | 338 | ||||||
Ventas ‡ | 12,110 | 789 | ||||||
Vornado Realty Trust ‡ | 5,731 | 441 | ||||||
Welltower ‡ | 12,707 | 893 | ||||||
Weyerhaeuser ‡ | 26,060 | 887 | ||||||
|
22,084 |
| ||||||
Telecommunication Services — 2.1% |
| |||||||
AT&T | 211,803 | 8,296 | ||||||
CenturyLink | 19,342 | 366 | ||||||
Level 3 Communications * | 9,881 | 527 | ||||||
Verizon Communications | 140,198 | 6,938 | ||||||
|
16,127 |
| ||||||
Utilities — 3.0% | ||||||||
AES | 22,612 | 249 | ||||||
Alliant Energy | 7,800 | 324 | ||||||
Ameren | 8,144 | 471 | ||||||
American Electric Power | 16,929 | 1,189 | ||||||
American Water Works | 6,100 | 494 | ||||||
Centerpoint Energy | 14,417 | 421 | ||||||
CMS Energy | 9,413 | 436 | ||||||
Consolidated Edison | 10,478 | 845 | ||||||
Dominion Energy | 22,304 | 1,716 | ||||||
DTE Energy | 6,041 | 649 | ||||||
Duke Energy | 23,898 | 2,005 | ||||||
Edison International | 11,390 | 879 |
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 83 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Dynamic Asset Allocation Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Entergy | 6,077 | $ | 464 | |||||
Eversource Energy | 10,844 | 655 | ||||||
Exelon | 33,490 | 1,262 | ||||||
FirstEnergy | 14,921 | 460 | ||||||
NextEra Energy | 15,998 | 2,344 | ||||||
NiSource | 11,013 | 282 | ||||||
NRG Energy | 10,564 | 270 | ||||||
PG&E | 17,593 | 1,198 | ||||||
Pinnacle West Capital | 3,794 | 321 | ||||||
PPL | 23,139 | 878 | ||||||
Public Service Enterprise Group | 17,357 | 803 | ||||||
SCANA | 4,880 | 237 | ||||||
Sempra Energy | 8,568 | 978 | ||||||
Southern | 33,982 | 1,670 | ||||||
WEC Energy Group | 10,937 | 687 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Xcel Energy | 17,146 | $ | 811 | |||||
22,998 | ||||||||
Total Common Stock | ||||||||
(Cost $609,860) ($ Thousands) | 741,870 | |||||||
Total Investments in | ||||||||
(Cost $609,860) ($ Thousands) | $ | 741,870 | ||||||
Contracts | ||||||||
PURCHASED OPTION* — 0.1% |
| |||||||
Total Purchased Option (A) | ||||||||
(Cost $1,525) ($ Thousands) | 607 | $ | 883 | |||||
WRITTEN OPTION* — (0.1)% |
| |||||||
Total Written Option (A) | ||||||||
(Premiums Received $781) ($ Thousands) | (607 | ) | $ | (425 | ) |
A list of the exchange traded option contracts held by the Fund at September 30, 2017, is as follows:
Description | Number of Contracts | Notional Amount ($ Thousands) | Exercise Price | Expiration Date | Value ($ Thousands) | |||||||||||||||
PURCHASED OPTION — 0.1% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
December 2017, S&P 500 Index Option Put* | 607 | 1,525 | $2,370 | 12/18/17 | $ | 883 | ||||||||||||||
WRITTEN OPTION — (0.1)% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
December 2017, S&P 500 Index Option Put* | (607) | (781) | 2,250 | 12/18/17 | $ | (425) | ||||||||||||||
A list of the open futures contracts held by the Fund at September 30, 2017, is as follows:
Type of Contract | Number of Contracts Long(Short) | Expiration Date | Notional Amount ($ Thousands) | Value ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||
CAC40 10 Euro Index | 494 | Oct-2017 | $30,425 | $31,107 | $1,097 | |||||||||||||||
Dax Index | 82 | Dec-2017 | 30,543 | 31,016 | 887 | |||||||||||||||
IBEX 35 Index | 242 | Oct-2017 | 29,704 | 29,556 | 81 | |||||||||||||||
IBEX Index | 9 | Oct-2017 | 1,098 | 1,099 | 1 | |||||||||||||||
S&P 500 Index E-MINI | (1,138) | Dec-2017 | (140,300) | (143,166) | (2,866) | |||||||||||||||
TOPIX Index | 518 | Dec-2017 | 75,163 | 77,080 | 3,851 | |||||||||||||||
|
| |||||||||||||||||||
$26,633 | $26,692 | $3,051 | ||||||||||||||||||
|
|
84 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
A list of the open forward foreign currency contracts held by the Fund at September 30, 2017, is as follows:
Counterparty | Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) (Thousands) | ||||||||||||
Bank of America | 01/09/18 | USD | 108,224 | INR | 7,163,322 | $ | 68 | |||||||||
Bank of America | 10/11/17 - 01/09/18 | USD | 115,594 | INR | 7,541,322 | (405) | ||||||||||
Bank of America | 10/11/17 | INR | 7,163,322 | USD | 109,264 | (211) | ||||||||||
Bank of America | 01/09/18 | SAR | 143,858 | USD | 38,051 | (303) | ||||||||||
Bank of Montreal | 10/11/17 | SGD | 570 | USD | 420 | 1 | ||||||||||
Bank of Montreal | 10/11/17 | USD | 5,562 | JPY | 621,866 | (34) | ||||||||||
Bank of Montreal | 01/09/18 | JPY | 614,025 | USD | 5,516 | 31 | ||||||||||
Barclays PLC | 10/11/17 | SGD | 201 | USD | 146 | (2) | ||||||||||
BNP Paribas | 10/11/17 | USD | 601 | JPY | 66,154 | (13) | ||||||||||
Citigroup | 10/11/17 | SGD | 141 | USD | 104 | — | ||||||||||
Credit Suisse First Boston | 01/09/18 | EUR | 2,798 | USD | 3,326 | (1) | ||||||||||
Goldman Sachs | 10/11/17 | USD | 2,507 | EUR | 2,125 | 7 | ||||||||||
Goldman Sachs | 10/11/17 - 01/09/18 | EUR | 7,613 | USD | 8,777 | (242) | ||||||||||
Goldman Sachs | 10/11/17 - 01/09/18 | JPY | 832,633 | USD | 7,455 | 35 | ||||||||||
HSBC | 01/09/18 | SGD | 743 | USD | 548 | — | ||||||||||
JPMorgan Chase Bank | 10/11/17 | USD | 1,490 | EUR | 1,252 | (9) | ||||||||||
JPMorgan Chase Bank | 10/11/17 | JPY | 266,622 | USD | 2,386 | 16 | ||||||||||
Morgan Stanley | 10/11/17 | USD | 18,588 | TWD | 562,651 | (30) | ||||||||||
Morgan Stanley | 10/11/17 - 01/09/18 | TWD | 583,761 | USD | 19,390 | 57 | ||||||||||
Morgan Stanley | 10/11/17 - 01/09/18 | TWD | 561,841 | USD | 18,468 | (65) | ||||||||||
Standard Chartered | 10/11/17 | USD | 1,796 | EUR | 1,565 | 55 | ||||||||||
Standard Chartered | 10/11/17 | USD | 73,765 | KRW | 83,932,360 | (450) | ||||||||||
Standard Chartered | 10/11/17 - 01/09/18 | KRW | 167,864,720 | USD | 147,436 | 673 | ||||||||||
Standard Chartered | 01/09/18 | KRW | 4,230,000 | USD | 3,698 | (3) | ||||||||||
TD Securities | 10/11/17 | USD | 644 | EUR | 546 | 1 | ||||||||||
UBS | 10/11/17 | USD | 18,697 | SGD | 25,323 | (45) | ||||||||||
UBS | 01/09/18 | SGD | 25,323 | USD | 18,712 | 35 | ||||||||||
UBS | 10/11/17 | SGD | 24,411 | USD | 17,663 | (318) | ||||||||||
|
| |||||||||||||||
$ | (1,152) | |||||||||||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2017 | 85 |
SCHEDULE OF INVESTMENTS
September 30, 2017
Dynamic Asset Allocation Fund (Concluded)
A list of the open OTC swap agreements held by the Fund at September 30, 2017, is as follows:
Total Return Swaps | ||||||||||||||||||||||||||||||||||||||
Counterparty | Reference Entity/ Obligation | Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount (Thousands) | Value ($ Thousands) | Upfront Payments/ Receipts ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||||||||||||||||||
Morgan Stanley | | Russell 1000 Growth Index | | Index Return | | 3M USD-LIBOR plus 25BPS | | Monthly | 09/18/2018 | USD | $74,260 | $(310) | $– | $(274) | ||||||||||||||||||||||||
Morgan Stanley | | Russell 1000 Value Index | | | 3M USD-LIBOR plus 30BPS | | Index Return | Monthly | 09/18/2018 | USD | (74,260) | 733 | – | 696 | ||||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||||||
$– | $422 | |||||||||||||||||||||||||||||||||||||
|
|
|
Percentages are based on Net Assets of $769,622 ($ Thousands). |
* | Non-income producing security. |
‡ | Real Estate Investment Trust. |
(A) | Refer to table below for details on Options Contracts. |
BPS — Basis Point
Cl — Class
DAX — Deutscher Aktien Exchange
EUR — Euro
IBEX — Spanish Exchange
INR — Indian Rupee
JPY — Japanese Yen
KRW — Korean Won
LIBOR— London Interbank Offered Rate
S&P— Standard & Poor’s
SAR — Saudi Riyal
SGD — Singapore Dollar
TOPIX — Tokyo Stock Exchange
TWD — Taiwan Dollar
USD — United States Dollar
The following is a list of the level of inputs used as of September 30, 2017, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 741,870 | $ | – | $ | – | $ | 741,870 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 741,870 | $ | – | $ | – | $ | 741,870 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||
Purchased Option | $ | 883 | $ | — | $ | — | $883 | |||||||
Written Option | (425) | — | — | (425) | ||||||||||
Futures Contracts * | ||||||||||||||
Unrealized Appreciation | 5,917 | — | — | 5,917 | ||||||||||
Unrealized Depreciation | (2,866) | — | — | (2,866) | ||||||||||
Forwards Contracts * | ||||||||||||||
Unrealized Appreciation | — | 979 | — | 979 | ||||||||||
Unrealized Depreciation | — | (2,131) | — | (2,131) | ||||||||||
OTC Swaps | ||||||||||||||
Total Return Swaps * | ||||||||||||||
Unrealized Appreciation | — | 696 | — | 696 | ||||||||||
Unrealized Depreciation | — | (274) | — | (274) | ||||||||||
|
|
|
|
|
|
| ||||||||
Total Other Financial Instruments | $ | 3,509 | $ | (730) | $ | — | $2,779 | |||||||
|
|
|
|
|
|
|
* Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instruments.
For the year ended September 30, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2017, 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.
86 | SEI Institutional Managed Trust / Annual Report / September 30, 2017 |
Report of Independent Registered Public Accounting Firm
The Board of Trustees and Shareholders
SEI Institutional Managed Trust:
We have audited the accompanying statements of assets and liabilities, including the summary schedules of investments, of the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small/Mid Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, Tax-Managed Managed Volatility Fund, Tax-Managed International Managed Volatility Fund, Real Estate Fund, Enhanced Income Fund, Core Fixed Income Fund, U.S. Fixed Income Fund, High Yield Bond Fund, Conservative Income Fund, Tax-Free Conservative Income Fund, Real Return Fund, Dynamic Asset Allocation Fund, Multi-Strategy Alternative Fund, Multi-Asset Income Fund, Multi-Asset Capital Stability Fund, and the Long/Short Alternative Fund (twenty-seven of the twenty-nine funds comprising the SEI Institutional Managed Trust (the Trust)), as of September 30, 2017, and the related statements of operations for the year or period then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. We have also audited the accompanying consolidated statements of assets and liabilities, including the consolidated schedules of investments, of the Multi-Asset Accumulation Fund and the Multi-Asset Inflation Managed Fund (two of the twenty-nine funds comprising the Trust), as of September 30, 2017, and the related consolidated statements of operations for the year then ended, the consolidated statements of changes in net assets for each of the years in the two-year period then ended, the consolidated statement of cash flows for the year then ended for the Multi-Asset Inflation Managed Fund, and the consolidated financial highlights for each of the years or periods in the five-year period then ended. The financial statements and consolidated financial statements and financial highlights and consolidated financial highlights, are included in Item 1 of this Form N-CSR and the schedules of investments in securities of the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small/Mid Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, Tax-Managed Managed Volatility Fund, Tax-Managed International Managed Volatility Fund and the Dynamic Asset Allocation Fund as of September 30, 2017 are included in Item 6 of this Form N-CSR. These financial statements and consolidated financial statements and financial highlights and consolidated financial highlights and the schedules of investments in securities and consolidated schedules of investments in securities are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements, consolidated financial statements, financial highlights, consolidated financial highlights and schedules of investments in securities and consolidated schedules of investments in securities based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of
securities owned as of September 30, 2017, by correspondence with custodians, transfer agent and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights and schedules of investments in securities and consolidated schedules of investments in securities referred to above present fairly, in all material respects, the financial position of each of the funds comprising the SEI Institutional Managed Trust as of September 30, 2017, the results of their operations, the changes in their net assets, their cash flows, and the financial highlights for each of the years or periods described in the first paragraph, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
Philadelphia, PA
November 29, 2017
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.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees (the “Board”). 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 Board. Pursuant to the Committee’s Charter, adopted on June 18, 2004, as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.
Item 11. Controls and Procedures.
(a) The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the last fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting.
Items 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Items 13. Exhibits.
(a)(1) Code of Ethics attached hereto.
(a)(2) A separate certification for the principal executive officer and the principal financial officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, are filed herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended also accompany this filing as exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SEI Institutional Managed Trust | ||||
By | /s/ Robert A. Nesher | |||
Robert A. Nesher | ||||
President & CEO | ||||
Date: December 8, 2017 | ||||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. | ||||
By | /s/ Robert A. Nesher | |||
Robert A. Nesher | ||||
President & CEO | ||||
Date: December 8, 2017 | ||||
By | /s/ James J. Hoffmayer | |||
James J. Hoffmayer | ||||
Controller & CFO | ||||
Date: December 8, 2017 |