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)
Timothy D. Barto, Esq.
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-610-676-1000
Date of fiscal year end: September 30, 2022
Date of reporting period: September 30, 2022
Item 1. Reports to Stockholders.
SEPTEMBER 30, 2022
ANNUAL REPORT
SEI Institutional Managed Trust
❯ | Large Cap Fund |
❯ | Large Cap Value Fund |
❯ | Large Cap Growth Fund |
❯ | Large Cap Index 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 |
❯ | Real Estate Fund |
❯ | Core 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 |
Paper copies of the Funds’ shareholder reports are no longer sent by mail, unless you specifically request them from the Funds or from your
financial intermediary, such as a broker-dealer or bank. Shareholder reports are available online and you will be notified by mail each time a report is posted on the Funds’ website and provided with a link to access the report online.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to inform it that you wish to continue receiving paper copies of your shareholder reports. If you invest directly with the Funds, you can inform the Funds that you wish to continue receiving paper copies of your shareholder reports by calling 1-800-DIAL-SEI. Your election to receive reports in paper will apply to all funds held with the SEI Funds or your financial intermediary.
seic.com
TABLE OF CONTENTS
Letter to Shareholders | 1 |
Management’s Discussion and Analysis of Fund Performance | 8 |
Schedules of Investments | 58 |
Glossary | 374 |
Statements of Assets and Liabilities/Consolidated Statements of Assets and Liabilities | 376 |
Statements of Operations/Consolidated Statements of Operations | 388 |
Statements of Changes in Net Assets/Consolidated Statements of Changes in Net Assets | 394 |
Consolidated Statement of Cash Flows | 402 |
Financial Highlights/Consolidated Financial Highlights | 403 |
Notes to Financial Statements/Consolidated Notes to Financial Statements | 416 |
Report of Independent Registered Public Accounting Firm | 463 |
Trustees and Officers of the Trust | 464 |
Disclosure of Fund Expenses | 467 |
Review of the Liquidity Risk Management Program | 470 |
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreement | 471 |
Notice to Shareholders | 474 |
The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Trust’s Form N-PORT reports are available on the Commission’s website at http://www.sec.gov.
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.
LETTER TO SHAREHOLDERS
September 30, 2022 (Unaudited)
To Our Shareholders
Asset class performance was negative during the reporting period ending September 30, 2022. While equity markets withstood high volatility and concerns over new COVID-19 variants in late 2021, a potential recession, higher interest rates, and surging inflation weakened the backdrop for risk assets during the second half of the fiscal year. Stocks and bonds simultaneously faced steep price declines amid extreme volatility.
Risk assets came under pressure during the final months of the fiscal year following the U.S. Federal Reserve’s (Fed) more aggressive talk and actions. We expect further up-and-down volatility across asset classes. Short-term gyrations notwithstanding, the primary trend in risk assets still appears to be negative.
Tightening supply-chain dynamics contributed to higher prices for both consumers and producers. Intermediate- and long-term interest rates increased from historically low levels due to evidence of rising global inflation.
The U.S. Treasury yield curve flattened, especially over the last few months of the fiscal year, as the Fed hiked its benchmark interest rate. U.S. Treasury yields on the shorter end of the curve rose in greater magnitude than those on the long end. The yield on two-year Treasurys jumped by 394 basis points over the reporting period, while the yields on 10- and 30-year Treasurys rose 231 and 171 basis points, respectively.
Geopolitical events
COVID-19 was an unavoidable and significant theme across the period, claiming its six-millionth victim globally in February 2022 (including more than 900,000 in the U.S.). The first quarter of the period was defined predominantly by markets digesting the potential impact of the Omicron variant discovered in South Africa. Case numbers soared as the new variant proved to be highly transmissible, yet generally less severe.
The U.S. Congress voted to raise the debt ceiling (that is, the federal government’s borrowing limit) twice during the period—first with an October 2021 stopgap hike of $480 billion, and then with a December increase of $2.5 trillion—which is expected to cover spending through early 2023. President Joe Biden signed the Infrastructure Investment and Jobs Act—a multi-year infrastructure funding bill—into law in November 2021. The initiative appropriated $1.2 trillion (including $550 billion above baseline spending), with nearly $300 billion of new spending to fund transportation projects over the next decade, another $65 billion apiece dedicated to broadband internet and power grid projects, and $55 billion reserved for water infrastructure.
In late February 2022, Russia invaded Ukraine. Western nations responded with an array of sanctions, bans, and other coordinated actions—largely focused on disrupting Russia’s financial, energy, technology and transportation activities, as well as state-owned enterprises and high-profile individuals in public and business positions. In addition to mounting fierce resistance to Russia’s invasion, Ukraine submitted a formal application for admission to the European Union (EU).
The imposition of coordinated sanctions effectively blocked Russian entities from trade in major foreign currencies. The Central Bank of the Russian Federation was forced to increase its benchmark rate by 10.5 percentage points to 20.0%; offer unlimited liquidity support to banks as they faced runs; raise capital controls on exporters and residents; and shutter its financial markets. By mid-March, the EU had instituted a broad ban on investments in Russia as well as exports to and imports from the country (although imports of Russian metals and energy were still permitted).
Energy took center stage as inflation drove prices higher. Russia began reducing natural gas pipeline supply to Europe in mid-June, limiting the ability of European nations to stockpile gas for winter, and driving prices in the region much higher.
The North Atlantic Treaty Organization (NATO) announced a plan in the final quarter of the reporting period to increase its high-readiness Response Force (NRF) from 40,000 to 300,000 after activating NRF troops for the first time in its history following Russia’s attack on Ukraine. Sweden and Finland’s paths to join NATO brightened at the end of June. Turkey unblocked their applications and signed a trilateral memorandum of support for their memberships in exchange for weapons sales, and prioritization by the Scandinavian countries of Turkish extradition requests for purported Kurdish militants.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
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LETTER TO SHAREHOLDERS (Continued)
September 30, 2022 (Unaudited)
The U.S. followed NATO’s planned increases with its own European expansion announcement. The buildout will include a permanent Army base in Poland, rotations through Romania and the Baltics, more Navy ships in Spain, air defenses in Italy, and fighter jets in the U.K.
Economic performance
U.S. gross domestic product (GDP) continued to slow in July after accelerating sharply from the beginning of the year. GDP contracted by an annualized rate of 1.6% during the first quarter of 2022, and retreated by a 0.6% annualized rate during the second quarter of 2022. The reading marked two consecutive quarters of negative GDP, which meets a widely cited—but unofficial—technical definition of a recession. Many economists view a recession as a significant and sustained decline in economic activity (accompanied by high unemployment) that lasts more than a few months.
Nevertheless, consumer spending, which drives nearly 70% of U.S. economic activity, advanced by 0.4% in August (as measured by the personal consumption expenditures–PCE–price index). This appears to be a combination of wage inflation (consumers have more money) and price inflation (goods cost more to purchase). Many economists and market watchers expect spending to fall if current economic conditions persist.
The U.S. labor market remained quite healthy during the fiscal year and the third quarter of 2022. The U.S. unemployment rate held at 3.5% in September, just above a 50-year low. New claims for unemployment benefits declined throughout the final quarter of the fiscal year, falling back below 200,000 per week in late September for the first time since the spring.
The Federal Open Market Committee (FOMC) increased the federal funds rate by 0.50% (the first hike of its size since 2000) at its early-May 2022 meeting, by 0.75% (the first of its size since 1994) at its mid-June meeting, and then by 0.75% again in July and September, raising the benchmark rate’s target range to 3.0%-3.25%. The central bank also began to accelerate its balance-sheet reduction in September, doubling the amount of monthly Treasury and mortgage holdings that mature without being replaced to maximum paces of $60 billion and $35 billion, respectively.
Market developments
The S&P 500 Index returned -15.47% during the fiscal year. Large-cap value stocks (as measured by the Russell 1000® Value Index) declined 11.36% and led large-cap growth stocks (as measured by the Russell 1000® Growth Index), which fell 22.59%. At the sector level, energy, utilities and consumer staples stocks were the strongest performers within the S&P 500 Index, while telecommunications, consumer discretionary and information technology lagged. Overall, U.S. equities outpaced major developed markets during the fiscal year.
Small-cap stocks, which tend to be sensitive to the success or decline in a local economy, underperformed large caps overall during the period. U.S. large-cap stocks (Russell 1000® Index) finished the reporting period down 17.22%, while small-cap stocks (Russell 2000® Index) fell 23.50%. There has been a significant amount of bad news priced into small-cap stocks. Small-cap earnings generally have held up well—especially for consumer and leisure stocks—but investors remained concerned about whether this trend can continue.
Developed markets, as measured by the MSCI World Index (Net), finished down 19.63% for the year, but outperformed emerging markets. The MSCI Emerging Markets Index (Net) finished the reporting period with a 28.11% loss in U.S.-dollar terms. Emerging-market stocks remained defensively positioned as emerging economies adopted aggressive monetary policies in an effort to combat high inflation and a rising U.S. dollar. Latin America was the only region to post positive equity performance for the 2022 year to date. European emerging stock markets were the weakest performers, with the MSCI Europe ex UK Index posting a 27.82% decline in U.S.-dollar terms.
The MSCI Europe Index (Net) tumbled 24.80% in U.S.-dollar terms over the reporting period. The MSCI ACWI Index (Net), a proxy for global equities in both developed and emerging markets, fell 20.66% in U.S.-dollar terms. The FTSE UK Series All-Share Index recorded a 20.52% drop in U.S. dollar terms over the full reporting period.
U.S. investment-grade corporate debt, as represented by the Bloomberg US Corporate Investment Grade Index, returned -18.53%, while the U.S. high-yield market, as measured by the ICE BofA US High Yield Constrained Index, was down 14.06% during the reporting period. Within the high-yield market, energy remained the largest sector, and it easily outperformed the broader market. Lower-quality issues also outperformed, as CCC rated securities led the index, followed by B and BB rated issues. U.S. asset-backed securities managed a small gain as the health of U.S. consumers improved during the fiscal year; mortgage-backed securities were down slightly.
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SEI Institutional Managed Trust / Annual Report / September 30, 2022
The global fixed income market, as measured by the Bloomberg Global Aggregate Bond Index, was down 20.43% for the reporting period. Emerging-market debt (EMD) fared similarly. The J.P. Morgan Global Bond Index-Emerging Markets (GBI-EM) Global Diversified Index, which tracks local-currency-denominated EM bonds, fell 20.63% in U.S.-dollar terms. The J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified Index, which tracks EMD-denominated in external currencies (such as the U.S. dollar), was down 24.28%.
Inflation-sensitive assets, such as commodities and Treasury Inflation-Protected Securities (TIPS), were mixed during the year. The Bloomberg Commodity Total Return Index (which represents the broad commodity market) finished up 6.64% over the reporting period due to increased demand expectations, as well as constrained supply in certain markets.
The U.S. dollar pushed into new-high territory following a strong August 2022 reading of the U.S. Consumer-Price Index and after Fed Chair Jerome Powell indicated that further interest-rate increases were on the way. Fed rate hikes attract investment in U.S. dollar-denominated assets. The large rate differential in favor of the U.S., along with the perception that the country is better positioned economically, are two major reasons behind the U.S. dollar’s extraordinary appreciation thus far in 2022. Outside of the U.S., a declining currency may give a competitive boost to domestic firms that export goods and services to the U.S. market, but it also exacerbates the inflationary pressures stemming from imports that are priced in dollars—most importantly, oil and liquefied natural gas.
Our view
The conflict in Ukraine and Russia’s suspension of natural-gas exports, high global inflation and central banks’ aggressive response to it, and a severe COVID-related slowdown in China are not exactly new; they have simply increased in intensity. Most importantly, they have forced monetary policy-makers globally to admit that they have a major inflation problem on their hands—one that is neither transitory nor likely to be resolved easily.
In our opinion, investors should be prepared to see a federal funds rate that could exceed 5%. Other central banks are following the Fed’s lead, talking tough and following up with outsized policy-rate increases. In the U.K., the bond market has gone haywire and the country’s currency has come under intense downward pressure. To use a newly popular phrase among economists and financial-market participants, things are “starting to break.”
We think that Europe will continue to be the area most under the gun owing to Russia’s suspension of natural-gas exports. Although storage facilities within the EU are now 80%-to-90% full, the continent still needs to have a steady flow of natural gas to get through the high-usage winter months. European governments may be forced to impose disruptive energy-saving restrictions on businesses and citizens. Heavy users of electricity, from aluminum smelters to glassmakers, already have been shutting down.
The U.K. has rolled out a plan to cap the cost of residential electricity at £2,500 per year over the next 18 months. Along with other measures previously announced, funding totals £180 billion, or 6.5% of the nation’s GDP. Other countries that have allocated funds for energy-related relief in excess of 3% of GDP include Croatia, Greece, Italy and Latvia.
We would not be surprised to see more energy-related relief come down the pike. Fiscal deficits could balloon in the same way they did during the early months of the COVID crisis as policy-makers do what they must to protect their populations.
Central bankers are forced by their mandates to lean hard against the rising trend in prices, although they are essentially working at cross-purposes against their own governments’ stimulus efforts. Unfortunately, they’re running just to keep up with the Fed. Interest-rate differentials versus the U.S. are still wide, with only Canada on par with the U.S.
Several large U.S. multinational companies have warned that U.S-dollar strength is beginning to exert a negative impact on revenues, suggesting that the currency’s value has risen well beyond its purchasing power parity (PPP) level. But discrepancies can last for a long time between PPP and market-based exchange rates.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
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LETTER TO SHAREHOLDERS (Continued)
September 30, 2022 (Unaudited)
Nonetheless, we would not be surprised to see at least a temporary reversal in the dollar’s trend. Given a catalyst—coordinated government action to weaken the dollar or a surprisingly weak U.S. unemployment report, for example—traders might cover their long positions in a major way, causing the dollar to fall abruptly.
The rise in U.S. hourly compensation has been extensive, with annualized gains exceeding 6% even when measured over a three-year span. This is the sharpest increase in almost four decades. Similar to the 1970s experience, compensation gains have been accelerating even as productivity growth has slowed. We are concerned about this divergence. The difference between the change in compensation and the change in productivity equals the change in unit labor costs.
Although unit labor costs are more volatile than inflation, there is still a strong positive correlation between the two.
Unfortunately, history shows that it usually takes an outright recession to beat down inflation, especially when it gets this intense. It does not appear as though Fed Chair Powell’s hope for a soft landing will happen. Unit labor costs have run far ahead of inflation, and we see no reason to expect a major reversal in the near term, even if the economy stumbles into a bona fide recession.
U.S. companies have been able to push higher employment and supply costs onto the consumer. There hasn’t been much of a decline in profit margins yet—they’ve remained above all the previous cyclical peaks going back to 1947. But we suspect that margins are on the cusp of a substantial erosion. It’s typical for profit margins to decline well before an economic recession materializes.
If the economy does fall into recession and profits decline, analysts will probably be forced to mark down earnings estimates aggressively to catch up with reality. Investors aren’t waiting for those earnings revisions. They have been pushing equity prices lower in reaction to the Fed’s aggressive shift and in anticipation of a recession, both in the U.S. and globally.
A fed funds rate in the 4.4%-to-4.9% range in 2023, as projected by Fed policymakers, might still be lower than the actual out-turn. But unless the Fed is truly ready to engineer a severe recession, we think PCE price inflation could settle in a 3%-to-4% range instead of the sub-2% pace recorded over much of the past 25 years.
Several asset classes look sharply oversold again, including equities, bonds, currencies and commodities.
The dollar’s sharp climb has reversed most of this year’s appreciation in the commodities complex. If the dollar breaks to the downside, commodities should break to the upside.
We are still bullish on commodities despite the demand destruction that is occurring in Europe and other parts of the globe. Years of underinvestment in fossil fuels and metals mines will likely lead to periodic shortages over the next few years.
In recent weeks, the Chinese central government has allowed Hong Kong and Macau to open up. This might be a preview of what will happen on the Mainland once the Communist Party National Congress installs President Xi Jinping for an unprecedented third term as General Secretary of the party in October.
President Xi’s position may seem unassailable, but we bet he’s looking for a way out of his zero-COVID policy. The loosening of restrictions and return to stronger economic growth is the only logical way out.
Other emerging economies would be big beneficiaries of a revival in Chinese economic activity, yet dollar strength is a central factor for investors in emerging-market (EM) equities. The relative performance of the MSCI Emerging Market Total Return Index versus the MSCI World Index peaked in 2010, more-or-less concurrent with the trough in the trade-weighted value of the dollar. EM equities now have surrendered nearly all of the relative gains versus advanced-country stock markets that they achieved between 2000 and 2010 as the dollar has grown stronger.
The rate-hiking cycle actually began far sooner in less-developed economies, during the latter months of 2020. Interest-rate hikes in EMs have accelerated significantly this year, in both frequency and magnitude. At the end of the reporting period, yields on three-month government bonds had reached double digits in Brazil (14.3%), Colombia (10.4%), Hungary (10.0%) and Turkey (17.8%). Among these four, only Brazil’s rate is comfortably above the inflation rate. Turkey, by contrast, is facing an inflation rate of close to 80%. There is little wonder that the Brazilian real has maintained its value against the dollar this year, while the Turkish lira has declined by almost 30%.
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SEI Institutional Managed Trust / Annual Report / September 30, 2022
The bottom line is that a global recession is forming on the horizon, with Europe and the U.K. more vulnerable to a downturn than the U.S. in the near term.
Short-term gyrations notwithstanding, the primary trend in risk assets still appears negative. Inflation in the U.S. has probably peaked, but we do not expect it to fall as rapidly or as far as the Fed projects. The central bank may still be underestimating the extent to which it needs to tighten monetary policy in order to slow the economy and produce slack in the labor markets.
Sincerely,
James Smigiel
Chief Investment Officer
SEI Institutional Managed Trust / Annual Report / September 30, 2022
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LETTER TO SHAREHOLDERS (Concluded)
September 30, 2022 (Unaudited)
Index Definitions
Bloomberg 1-3 Year U.S. Government/Credit Index: includes all medium and larger issues of U.S. government, investment-grade corporate, and investment-grade international dollar-denominated bonds that have maturities of between 1 and 3 years and are publicly issued.
Bloomberg 1-5 Year U.S. TIPS Index: represents an unmanaged market index composed of all U.S. Treasury inflation-linked indexed securities with maturities of 1 to 5 years.
Bloomberg Commodity Index: is a broadly diversified index that allows investors to track commodity futures through a single, simple measure.
Bloomberg Global Aggregate Index: is a broad-based benchmark that is considered representative of global investment-grade, fixed-income markets.
Bloomberg Long A+ US Credit Index: measures the performance of the U.S. corporate and a non-corporate component with maturities of 10 years and greater that includes foreign agencies, sovereigns, supranationals, and local authorities.
Bloomberg US Aggregate Bond Index: The Bloomberg U.S. Aggregate Bond Index is a benchmark index composed of U.S. securities in Treasury, government-related, corporate and securitized sectors. It includes securities that are of investment-grade quality or better, have at least one year to maturity and have an outstanding par value of at least $250 million.
Bloomberg US Corporate Investment Grade Index: is a broad-based benchmark that measures the investment-grade, fixed-rate, taxable corporate bond market.
Dow Jones Industrial Average: The Index measures the stock performance of 30 large companies listed on stock exchanges in the United States.
FTSE UK Series All-Share Index: is a capitalization-weighted index, comprising around 600 of more than 2,000 companies traded on the London Stock Exchange.
ICE BofA 3-Month U.S. Treasury Bill Index: measures total return on cash, including price and interest income, based on short-term government Treasury Bills of about 90-day maturity.
ICE BofA US High Yield Constrained Index: tracks the performance of below-investment-grade, U.S. dollar-denominated corporate bonds publicly issued in the U.S. domestic market; exposure to individual issuers is capped at 2%.
ICE BofA USD 3-Month Deposit Offered Rate Constant Maturity Index: is based on the assumed purchase of a synthetic instrument having 3 months to maturity and with a coupon equal to the closing quote for 3-Month LIBOR. That issue is sold the following day (priced at a yield equal to the current day closing 3-Month LIBOR rate) and is rolled into a new 3-Month instrument. The index, therefore, will always have a constant maturity equal to exactly 3 months.
JP Morgan EMBI Global Diversified Index: tracks the performance of external debt instruments (including U.S.-dollar-denominated and other external-currency-denominated Brady bonds, loans, eurobonds and local-market instruments) in emerging markets.
JP Morgan GBI-EM Global Diversified Composite Index: tracks the performance of debt instruments issued in local currencies by emerging-market governments.
MSCI EAFE Index: is an equity index which captures large and mid-cap representation across 21 Developed Markets countries around the world, excluding the US and Canada.
MSCI Emerging Markets Index: is a free float-adjusted market-capitalization-weighted index designed to measure the performance of global emerging-market equities.
MSCI Europe Index: is a free float-adjusted market-capitalization-weighted index designed to measure the performance of large- and mid-capitalization stocks across developed-market countries in Europe.
MSCI World Index: is a free float-adjusted market-capitalization-weighted index that is designed to measure the equity-market performance of developed markets.
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SEI Institutional Managed Trust / Annual Report / September 30, 2022
Russell 1000® Index: includes 1,000 of the largest U.S. stocks based on market cap and current index membership; it is used to measure the activity of the U.S. large-cap equity market.
Russell 1000® Growth Index: measures the performance of the large cap growth segment of the U.S. equity universe. It includes those Russell 1000® Index companies with higher price-to-book ratios and higher forecasted growth values.
Russell 1000® Value Index: measures the performance of the large cap value segment of the U.S. equity universe. It includes those Russell 1000® Index companies with lower price-to-book ratios and lower expected growth values.
Russell 2000® Index: The Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, which represents approximately 8% of the total market capitalization of the Russell 3000® Index.
Russell 2000® Growth Index: measures the performance of the small cap growth segment of the U.S. equity universe. It includes those Russell 2000® Index companies with higher price-to-value ratios and higher forecasted growth values.
Russell 2000® Value Index: measures the performance of the small cap value segment of the U.S. equity universe. It includes those Russell 2000® Index companies with lower price-to-book ratios and lower forecasted growth values.
Russell 2500® Index: measures the performance of the 2,500 smallest companies in the Russell 3000® Index. This index is market cap-weighted and includes only common stocks incorporated in the U.S. and its territories.
Russell 3000® Index: measures the performance of the largest 3000 U.S. companies representing approximately 98% of the investable U.S. equity market.
Russell Midcap® Index: measures the performance of the mid-cap segment of the U.S. equity universe. The Russell Midcap® Index is a subset of the Russell 1000® Index. It includes approximately 800 of the smallest securities based on a combination of their market cap and current index membership. The Russell Midcap® Index represents approximately 31% of the total market capitalization of the Russell 1000® companies.
S&P 500 Index: is an unmanaged, market-weighted index that consists of approximately 500 of the largest publicly-traded U.S. companies and is considered representative of the broad U.S. stock market.
Wilshire U.S. Real Estate Securities Index: is a broad measure of the performance of publicly traded U.S. real estate securities, such as REITs and REOCs. The index is capitalization-weighted. The beginning date, January 1, 1978, was selected because it coincides with the Russell/NCREIF Property Index start date. The Wilshire U.S. Real Estate Securities Index is rebalanced monthly, and returns are calculated on a buy and hold basis.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (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-advisors 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-advisors are managed directly by SIMC. The Fund utilized the following sub-advisors as of September 30, 2022: Brandywine Global Investment Management, LLC (Brandywine), Ceredex Value Advisors LLC (Ceredex), Coho Partners, Ltd. (Coho), Fred Alger Management, LLC (Alger), LSV Asset Management (LSV), MarVista Investment Partners, LLC (MarVista), and Parametric Portfolio Associates LLC (Parametric).
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2022, the Large Cap Fund, Class F, returned -17.25%. The Fund’s benchmark—the Russell 1000® Index, which tracks the performance of the U.S. large-cap equity market—returned -17.22%.
IV. Performance Discussion
Supply-chain disruptions, the end of pandemic-induced lockdowns, Russia’s invasion of Ukraine, and fiscal stimulus contributed to increased global inflation during the fiscal year. As noted in the shareholder letter, central banks globally reacted by raising interest rates at a record pace. This led to a selloff in most asset markets, including the U.S. stock market. Value stocks generally held up better than their growth counterparts in this environment. Small- and medium-capitalization stocks generally fell further than larger-capitalization stocks during the market decline.
Within the U.S. large-cap universe, as represented by the Russell 1000® Index, the only GICS sectors to produce positive returns were energy and utilities as rising commodity prices benefited oil and gas companies and investors also gravitated toward the less economically sensitive industries such as electric utilities. The consumer staples and health care sectors saw smaller losses than the overall market and helped cushion the decline in portfolios. The communication services sector was the worst performer for the reporting period as shares of both traditional media companies and social media companies fell out of favor.
The Fund’s overweights to the less volatile consumer staples and health care sectors bolstered performance relative to the benchmark index. An underweight to the communication services sector also had a positive impact. Security selection within the information technology sector was hampered by an underweight to Apple, one of the few big-growth stocks that achieved a positive return for the year. Similarly, an underweight to Tesla weighed on Fund performance within the consumer discretionary sector. However, overall the Fund’s value tilt enhanced performance. The Fund’s greater emphasis on medium-capitalization stocks relative to the benchmark detracted from performance during the reporting period.
Coho, one of the Fund’s managers that emphasizes investments in quality companies, outperformed over the reporting period due to its emphasis of holdings within the consumer staples and health care sectors and its avoidance of the communication services sector. MarVista also emphasizes investments in quality companies, but its relative performance was hurt by the lack of investments in the energy and utilities sectors. MarVista’s security selection within the industrials and information technology sectors detracted from performance for the period. Alger lagged due to its growth orientation and its holdings within the information technology sector.
Brandywine outperformed during the reporting period due to its value orientation and its allocations to the energy, materials and utilities sectors. The outperformance of LSV was attributable to its value orientation, but was hampered by its medium-capitalization exposure and security selection within the consumer discretionary and information technology sectors. Ceredex’s relative performance benefited from its value exposure, while its security selection within the industrials and health care sectors had a negative impact. The SEI Momentum Factor Portfolio, managed by SIMC, outperformed due to positive payoffs to momentum stocks and its allocation to the energy sector in particular. The SEI Stability Factor Portfolio, also managed by SIMC, outperformed due to a significant allocation to the consumer staples sector and its holdings within the specialty retail and IT services industries.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
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SEI Institutional Managed Trust / Annual Report / September 30, 2022
AVERAGE ANNUAL TOTAL RETURN1 | |||||
1 Year | Annualized | Annualized | Annualized | Annualized | |
Large Cap Fund, Class F | -17.25% | 5.00% | 6.47% | 9.58% | 9.99% |
Large Cap Fund, Class Y | -17.08% | 5.24% | 6.72% | 9.78% | 10.14% |
Russell 1000® Index | -17.22% | 7.95% | 9.00% | 11.60% | 11.98% |
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 9/30/22. 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. For periods prior to 12/31/14, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed 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. |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
9
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (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-advisors 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-advisors are managed directly by SIMC. The Fund utilized the following sub-advisors as of September 30, 2022: Brandywine Global Investment Management, LLC (Brandywine), Cullen Capital Management, LLC (Cullen) (fka Schafer Cullen Capital Management), LSV Asset Management (LSV) and Parametric Portfolio Associates LLC (Parametric).
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2022, the Large Cap Value Fund, Class F, returned -10.30%. The Fund’s benchmark—the Russell 1000® Value Index, which tracks the performance of the large-cap value segment of the U.S. equity universe—returned -11.36%.
IV. Performance Discussion
Supply-chain disruptions, the end of pandemic-induced lockdowns, Russia’s invasion of Ukraine, and fiscal stimulus contributed to increased global inflation during the fiscal year. As noted in the shareholder letter, central banks globally reacted by raising interest rates at a record pace. This led to a selloff in most asset markets, including the U.S. stock market. Value stocks generally held up better than their growth counterparts in this environment. Small- and medium-capitalization stocks generally fell further than larger-capitalization stocks during the market decline.
Within the U.S. large-cap universe, as represented by the Russell 1000® Index, the only GICS sectors to produce positive returns were energy and utilities as rising commodity prices benefited oil and gas companies and investors also gravitated toward the less economically sensitive industries such as electric utilities. The consumer staples and health care sectors saw smaller losses than the overall market and helped cushion the decline in portfolios. The communication services sector was the worst performer for the reporting period as shares of both traditional media companies and social media companies fell out of favor.
Fund performance for the reporting period benefited from the value orientation. The outperformance relative to the benchmark resulted primarily from favorable security selection; an underweight to the communication services sector also was a contributor. An overweight to the consumer discretionary sector was a slight headwind to performance. The Fund’s pharmaceutical holdings drove the positive security selection within the health care sector.
Among Fund managers, Brandywine outperformed the benchmark over the fiscal year due to an overweight to the utilities and materials sectors and an underweight to the real estate sector. LSV’s benchmark-relative underweights to the utilities and energy sectors detracted from Fund performance, but favorable stock selection within the health care and industrials sectors had a positive impact.
Cullen outperformed due to its lower-volatility exposure and its holdings within the energy sector. The outperformance of the SEI Value Factor Portfolio managed by SIMC was attributable to favorable security selection within the health care sector and an underweight to communication services.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
10
SEI Institutional Managed Trust / Annual Report / September 30, 2022
AVERAGE ANNUAL TOTAL RETURN1 | |||||
1 Year | Annualized | Annualized | Annualized | Annualized | |
Large Cap Value Fund, Class F | -10.30% | 3.73% | 4.29% | 8.24% | 9.98% |
Large Cap Value Fund, Class I | -10.52% | 3.50% | 4.06% | 8.00% | 7.87% |
Large Cap Value Fund, Class Y | -10.06% | 3.99% | 4.56% | 8.42% | 6.25% |
Russell 1000® Value Index | -11.36% | 4.36% | 5.29% | 9.17% | 9.11% |
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® Value Index
1 | For the year ended 9/30/22. 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. For periods prior to 10/30/15, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed 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. |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
11
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (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-advisors 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-advisors are managed directly by SIMC. The Fund utilized the following sub-advisors as of September 30, 2022: Fiera Capital Inc. (Fiera), Fred Alger Management, LLC (Alger), McKinley Capital Management, LLC (McKinley), and Parametric Portfolio Associates LLC (Parametric).
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2022, the Large Cap Growth Fund, Class F, returned -23.91%. The Fund’s benchmark—the Russell 1000® Growth Index, which tracks the performance of the large-cap growth segment of the U.S. equity universe—returned -22.59%.
IV. Performance Discussion
Supply-chain disruptions, the end of pandemic-induced lockdowns, Russia’s invasion of Ukraine, and fiscal stimulus contributed to increased global inflation during the fiscal year. As noted in the shareholder letter, central banks globally reacted by raising interest rates at a record pace. This led to a selloff in most asset markets, including the U.S. stock market. Value stocks generally held up better than their growth counterparts in this environment. Small- and medium-capitalization stocks generally fell further than larger-capitalization stocks during the market decline.
Within the U.S. large-cap universe, as represented by the Russell 1000® Index, the only GICS sectors to produce positive returns were energy and utilities as rising commodity prices benefited oil and gas companies and investors also gravitated toward the less economically sensitive industries such as electric utilities. The consumer staples and health care sectors saw smaller losses than the overall market and helped cushion the decline in portfolios. The communication services sector was the worst performer for the reporting period as shares of both traditional media companies and social media companies fell out of favor.
The Fund’s growth orientation hurt performance during the year. An underweight of the largest capitalization stocks detracted from security selection within the information technology sector. An overweight to the health care and materials sectors, along with favorable security selection within them, was beneficial. Security selection within the financials sector detracted. An underweight to the communication services sector helped benchmark-relative performance.
Alger’s performance was hurt by an underweight to the consumer staples sector and by security selection within the information technology sector. McKinley’s performance benefited from an overweight to the energy sector and favorable security selection within the materials sector, but security selection within the health care and communication services sectors detracted.
The SEI Momentum Factor Portfolio managed by SIMC outperformed due to an underweight of the communication services sector and favorable security selection within the information technology and health care sectors. Fiera’s overweight to the consumer staples sector was beneficial and Fiera provided favorable security selection results within the health care and consumer discretionary sectors.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
12
SEI Institutional Managed Trust / Annual Report / September 30, 2022
AVERAGE ANNUAL TOTAL RETURN1 | |||||
1 Year |
|
|
| Annualized | |
Large Cap Growth Fund, Class F | -23.91% | 8.67% | 10.40% | 11.41% | 8.60% |
Large Cap Growth Fund, Class I | -24.08% | 8.43% | 10.15% | 11.17% | 8.30% |
Large Cap Growth Fund, Class Y | -23.73% | 8.93% | 10.67% | 11.60% | 8.67% |
Russell 1000® Growth Index | -22.59% | 10.67% | 12.17% | 13.70% | 9.92% |
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® Growth Index
1 | For the year ended 9/30/22. 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. For periods prior to 10/30/15, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed 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. |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
13
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (Unaudited)
Large Cap Index Fund
I. Objective
The Large Cap Index Fund (the “Fund”) seeks to track the performance of a benchmark index that measures the investment return of large-capitalization stocks.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investments to manage portions the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (SIMC). The sole sub-advisor as of September 30, 2022, was SSGA Funds Management, Inc. (SSGA).
No manager changes were made during the Fund’s fiscal year.
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III. Returns
For the full year ended September 30, 2022, the Large Cap Index Fund, Class F, returned -17.38%. The Fund’s benchmark—the Russell 1000® Index, which tracks the performance of approximately 1,000 large- and mid-cap U.S. companies that are considered representative of the broad U.S. stock market —returned -17.22%.
IV. Performance Discussion
The Fund achieved its objective of tracking, before fees and expenses, the performance of the Russell 1000® Index.
Supply-chain disruptions, the end of pandemic-induced lockdowns, Russia’s invasion of Ukraine, and fiscal stimulus contributed to increased global inflation during the fiscal year. As noted in the shareholder letter, central banks globally reacted by raising interest rates at a record pace. This led to a selloff in most asset markets, including the U.S. stock market. Value stocks generally held up better than their growth counterparts in this environment. Small- and medium-capitalization stocks generally fell further than larger-capitalization stocks during the market decline.
Within the U.S. large-cap universe, as represented by the Russell 1000® Index, the only GICS sectors to produce positive returns were energy and utilities as rising commodity prices benefited oil and gas companies and investors also gravitated toward the less economically sensitive industries such as electric utilities. The consumer staples and health care sectors saw smaller losses than the overall market and helped cushion the decline in portfolios. The communication services sector was the worst performer for the reporting period as shares of both traditional media companies and social media companies fell out of favor.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
AVERAGE ANNUAL TOTAL RETURN1 | |||
1 Year Return | Annualized 3 Year Return | Annualized Inception to Date | |
Large Cap Index Fund, Class F | -17.38% | 7.68% | 6.67% |
Russell 1000® Index | -17.22% | 7.95% | 6.95% |
Comparison of Change in the Value of a $100,000 Investment in the Large Index Cap Fund, Class F versus the Russell 1000® Index
1 | For the year ended 9/30/22. Past performance is no indication of future performance. Class F shares were offered beginning 1/31/18. 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. |
14
SEI Institutional Managed Trust / Annual Report / September 30, 2022
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (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-advisors 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-advisors are managed directly by SIMC. The Fund utilized the following sub-advisors as of September 30, 2022: Brandywine Global Investment Management, LLC (Brandywine), Coho Partners, Ltd. (Coho), Cullen Capital Management, LLC (Cullen) (fka Schafer Cullen Capital Management), Fiera Capital Inc. (Fiera), LSV Asset Management (LSV), MarVista Investment Partners, LLC (MarVista), and Parametric Portfolio Associates LLC (Parametric).
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2022, the Tax-Managed Large Cap Fund, Class F, returned -14.72%. The Fund’s benchmark—the Russell 1000® Index, which tracks the performance of the U.S. large-cap equity market—returned -17.22%.
IV. Performance Discussion
Supply-chain disruptions, the end of pandemic-induced lockdowns, Russia’s invasion of Ukraine, and fiscal stimulus contributed to increased global inflation during the fiscal year. As noted in the shareholder letter, central banks globally reacted by raising interest rates at a record pace. This led to a selloff in most asset markets, including the U.S. stock market. Value stocks generally held up better than their growth counterparts in this environment. Small- and medium-capitalization stocks generally fell further than larger-capitalization stocks during the market decline.
Within the U.S. large-cap universe, as represented by the Russell 1000® Index, the only GICS sectors to produce positive returns were energy and utilities, as rising commodity prices benefited oil and gas companies and investors also gravitated toward the less economically sensitive industries such as electric utilities. The consumer staples and health care sectors saw smaller losses than the overall market and helped cushion the decline in portfolios. The communication services sector was the worst performer for the reporting period as shares of both
traditional media companies and social media companies fell out of favor.
The Fund’s value tilt helped it to outperform the benchmark Russell 1000® Index for the fiscal year. The Fund’s overweights to the less volatile consumer staples and healthcare sectors contributed to performance relative to the benchmark. An underweight to the communication services sector was also beneficial. Security selection was favorable within the health care and consumer discretionary sectors, but security selection within financials detracted from performance.
Coho, one of the Fund’s managers that emphasizes investments in quality companies, outperformed during the reporting period due to its emphasis on holdings within the consumer staples and health care sectors and its avoidance of the communication services sector. MarVista also emphasizes investments in quality companies, but its relative performance was hampered by the lack of exposure to the energy or utilities sectors. MarVista’s security selection within the industrials and information technology sectors also detracted from performance. Fiera outperformed due to favorable security selection within the consumer discretionary and health care sectors.
Brandywine’s outperformance over the reporting period was attributable to its value orientation and its allocations to the energy, materials, and utilities sectors. LSV outperformed due to its value orientation, its medium-capitalization exposure and its security selection within the consumer discretionary and information technology sectors weighed on performance. Cullen outperformed due to its value orientation and its holdings within the energy sector, as well as its underweight to the communication services sector. The SEI Momentum Factor Portfolio managed by SIMC outperformed due mainly to positive contributions from momentum stocks and its allocation to the energy sector. The SEI Stability Factor Portfolio managed by SIMC outperformed due to a significant allocation to the consumer staples sector and its holdings within the specialty retail and IT services industries.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
15
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (Unaudited)
Tax-Managed Large Cap Fund (Concluded)
AVERAGE ANNUAL TOTAL RETURN1 | |||||
1 Year |
|
|
| Annualized | |
Tax-Managed Large Cap Fund, Class F | -14.72% | 6.63% | 7.54% | 10.05% | 5.93% |
Tax-Managed Large Cap Fund, Class Y | -14.49% | 6.91% | 7.81% | 10.26% | 6.02% |
Russell 1000® Index | -17.22% | 7.95% | 9.00% | 11.60% | 7.29% |
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 9/30/22. 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. For periods prior to 12/31/14, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed 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. |
16
SEI Institutional Managed Trust / Annual Report / September 30, 2022
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (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
The Fund uses a sub-advisor to manage the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (SIMC). The sole sub-advisor as of September 30, 2022, was SSGA Funds Management, Inc. (SSGA).
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2022, the S&P 500 Index Fund, Class F, returned -15.68%. The Fund’s benchmark—the S&P 500 Index (Gross), which tracks the performance of approximately 500 large U.S. companies that are considered representative of the broad U.S. stock market—returned -15.47%.
IV. Performance Discussion
The Fund achieved its objective of tracking, before fees and expenses, the performance of the S&P 500 Index for the fiscal year.
Supply-chain disruptions, the end of pandemic-induced lockdowns, Russia’s invasion of Ukraine, and fiscal stimulus contributed to increased global inflation during the fiscal year. As noted in the shareholder letter, central banks globally reacted by raising interest rates at a record pace. This led to a selloff in most asset markets, including the U.S. stock market. Value stocks generally held up better than their growth counterparts in this environment. Small- and medium-capitalization stocks generally fell further than larger-capitalization stocks during the market decline.
Within the U.S. large-cap universe, as represented by the Russell 1000® Index, the only GICS sectors to produce positive returns were energy and utilities as rising commodity prices benefited oil and gas companies and investors also gravitated toward the less economically sensitive industries such as electric utilities. The consumer staples and health care sectors saw smaller losses than the overall market and helped cushion the decline in portfolios. The communication services sector was the worst performer for the reporting year as shares of both traditional media companies and social media companies fell out of favor.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
AVERAGE ANNUAL TOTAL RETURN1 | |||||
1 Year |
|
|
| Annualized | |
S&P 500 Index Fund, Class F | -15.68% | 7.89% | 8.97% | 11.34% | 8.27% |
S&P 500 Index Fund, Class I | -16.02% | 7.46% | 8.54% | 11.00% | 7.96% |
S&P 500 Index (Gross) | -15.47% | 8.16% | 9.24% | 11.70% | 8.67% |
Comparison of Change in the Value of a $100,000 Investment in the S&P 500 Index Fund, Class F and Class I, versus the S&P 500 Index (Gross)
1 | For the year ended 9/30/22. Past performance is not an indication of future performance. Class F shares were offered beginning 2/28/96. Class I shares were offered beginning 6/28/02. The performance of Class I shares prior to 6/28/02 is calculated using the performance of the fund’s Class F shares adjusted for the higher expenses of the Class I shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and reimbursements, performance would have been lower. |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
17
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (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-advisors 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-advisors are managed directly by SIMC. The Fund utilized the following sub-advisors as of September 30, 2022: Copeland Capital Management, LLC (Copeland), EAM Investors, LLC (EAM), Easterly Investment Partners LLC (Easterly) (fka Snow Capital Management L.P.), Hillsdale Investment Management Inc. (Hillsdale), Leeward Investments, LLC (Leeward) (fka LMCG Investments, LLC), Los Angeles Capital Management, LLC (LA Capital) and Parametric Portfolio Associates LLC (Parametric).
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2022, the Small Cap Fund, Class F, returned -17.98%. The Fund’s benchmark—the Russell 2000 Index, which tracks the performance of the U.S. small-cap equity market—returned -23.50%.
IV. Performance Discussion
The 12-month period ended September 30, 2022, was extremely challenging for global financial markets. Optimism for an improving global economic backdrop gave way to recessionary fears amid the conflict in Ukraine, runaway inflation, and an aggressively tightening monetary policy from the U.S. Federal Reserve (Fed). U.S. small-cap stocks, as measured by the Russell 2000 Index, were down 23.5% for the period, and the -25.1% return for the 2022 year to date is one of the worst starts to a year on record for the asset class.
The fourth quarter of 2021 was defined predominantly by markets digesting the potential impact of the Omicron variant of COVID-19 discovered in South Africa. Consequently, defensive areas of the market led the way, and lower-quality names sold off—particularly in the small-cap sector—providing a tailwind to active management across the board. The year began with the ascent of “meme” stocks, but ended with them coming back down to earth.
The Fed announced a hastening of its planned wind-down of bond purchases as part of its shift to a generally more hawkish stance in an effort to combat elevated inflation.
The Fed also dropped references to inflation as “transitory” in a policy statement in December 2021. From a factor perspective, quality outperformed for the quarter, as did value in small cap, but the style remained challenged by the FAANG (Meta – formerly known as Facebook, Amazon, Apple, Netflix, and Alphabet – formerly known as Google) contingent in large cap. Low volatility was also a beneficiary of the de-risking trend.
As noted in the shareholder letter, in the first quarter of 2022, Omicron swept across the U.S., with new daily cases hitting highs not seen even in the height of the Delta variant wave. Omicron appeared to be less severe in nature, leading to fewer hospitalizations and deaths than prior iterations. This headline consideration was largely pushed from the public focus, however, when Russia invaded Ukraine in February 2022. Western countries levied a series of sanctions against notable oligarchs and the country as a whole, which, combined with the conflict in the export-heavy region, sent commodity prices skyrocketing.
This began a series of events which led the Fed to implement quantitative tightening and interest-rate hikes in a more aggressive manner than initially postured. While financial markets sold off on news of the invasion, subsequently hawkish positioning by the Fed sent them into a tailspin. Mega-cap technology names, long-duration assets, and lower-quality companies in the small-cap sector all took the brunt of this, declining most dramatically – creating a tailwind for active management. Value stocks outperformed their growth counterparts, though they also were not completely immune from the volatility.
Nearly every asset class aside from commodities meaningfully declined during the second quarter of 2022. Most major equity indexes fell by at least 20% with small caps and growth stocks experiencing the sharpest drawdowns. Recessionary fears accelerated as there was some skepticism that the Fed could curb inflation to its target of 2% without triggering a full-blown recession. This has only been accomplished once since the end of World War II, when inflation exceeded 5% in 1951-1952. Concerns also mounted around China’s zero- COVID policy-induced lockdowns, disrupting both its domestic and the global economy.
The downward trend temporarily reversed in the third quarter of 2022 in what many described as a ”bear market rally.” Better-than-expected Consumer Price Index (CPI) data in early in the quarter triggered a wave of speculation that the Fed might pivot on its rate-hiking program earlier than expected. Until about mid-August, markets rallied, led by the most speculative, least financially sound names. However, markets resumed their downward trend when
18
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Fed Chair Jerome Powell reiterated the Fed’s dedication to bringing inflation under control, and subsequent inflation statistics were not as promising. This resulted in a poor performance for equities in September. Quality, low volatility, and value all underperformed for the quarter.
Energy was the best-performing sector for the reporting period, returning over 24%, while the broader Russell 2000 Index fell 23.5%. Utilities was the only other sector to chalk up a gain, returning roughly 3%. Communication services, consumer discretionary, health care and information technology were the largest market laggards, while consumer staples, financials, industrials and materials outperformed.
The Fund significantly outperformed its benchmark, the Russell 2000 Index, for the reporting year, bolstered mainly by stock selection in information technology and an underweight to health care. It was a generally positive environment for the Fund, with value, quality, and momentum outperforming. Value comprised the largest tailwind to Fund performance, closely followed by quality. Momentum began to take residence within value and quality stocks, and the three alphas aligning in this way is when we would expect to see the strongest tailwinds to Fund performance. Nonetheless, the fourth quarter of the fiscal year was particularly challenging for our alpha sources, as both value and quality underperformed in a speculative environment.
Five of six Fund sub-advisors outperformed for the period. Leeward was the leading positive contributor, benefitting from tailwinds to its stable value approach. Copeland similarly was bolstered by factor tailwinds, with both quality and low-volatility outperforming over the full fiscal year. Easterly (fka Snow) contributed to a slightly lesser degree, as its portfolio is more cyclically oriented; however, value still provided a tailwind to performance. Hillsdale and LA Capital also contributed to Fund performance. EAM was the only manager to modestly detract from the Fund’s return, despite momentum tailwinds. Part of this was due to EAM building a large position in energy in March and April 2022, only for the sector to reverse performance meaningfully in June. Nevertheless, we expect EAM to follow trends, and this is a known risk to momentum investing.
Capital was reallocated from Copeland after a period of positive relative performance into EAM following a period of underperformance.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
AVERAGE ANNUAL TOTAL RETURN1 | ||||||
1 Year | Annualized | Annualized | Annualized | Annualized | ||
Small Cap Fund, Class F | -17.98% | 6.65% | 4.56% | 7.81% | 8.46% | |
Small Cap Fund, Class Y | -17.78% | 6.94% | 4.82% | 8.02% | 8.62% | |
Russell 2000® Index | -23.50% | 4.29% | 3.55% | 8.55% | 9.55% |
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 9/30/22. Past performance is not an indication of future performance. Class F shares were offered beginning 9/30/09. Class Y shares were offered beginning 12/31/14. For periods prior to 12/31/14, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed 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. |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
19
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (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-advisors 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-advisors are managed directly by SIMC. The Fund utilized the following sub-advisors as of September 30, 2022: Cardinal Capital Management, L.L.C. (Cardinal), Easterly Investment Partners LLC (Easterly) (fka Snow Capital Management, L.P.), LSV Asset Management (LSV) and Parametric Portfolio Associates LLC (Parametric).
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2022, the Small Cap Value Fund, Class F, returned -16.59%. The Fund’s benchmark—the Russell 2000® Value Index, which tracks the performance of the small-cap value segment of the U.S. equity universe—returned -17.69%.
IV. Performance Discussion
The 12-month period ended September 30, 2022, was extremely challenging for global financial markets. Optimism for an improving global economic backdrop gave way to recessionary fears amid the conflict in Ukraine, runaway inflation, and an aggressively tightening monetary policy from the U.S. Federal Reserve (Fed). U.S. small-cap stocks, as measured by the Russell 2000 Index, were down 23.5% for the period, and the -25.1% return for the 2022 year to date is one of the worst starts to a year on record for the asset class.
The fourth quarter of 2021 was defined predominantly by markets digesting the potential impact of the Omicron variant of COVID-19 discovered in South Africa. Consequently, defensive areas of the market led the way, and lower-quality names sold off—particularly in the small-cap sector—providing a tailwind to active management across the board. The year began with the ascent of “meme” stocks, but ended with them coming back down to earth.
The Fed announced a hastening of its planned wind-down of bond purchases as part of its shift to a generally more hawkish stance in an effort to combat elevated inflation. The Fed also dropped references to inflation as “transitory” in a policy statement in December 2021. From a factor
perspective, quality outperformed for the quarter, as did value in small cap, but the style remained challenged by the FAANG (Meta – formerly known as Facebook, Amazon, Apple, Netflix, and Alphabet – formerly known as Google) contingent in large cap. Low volatility was also a beneficiary of the de-risking trend.
As noted in the shareholder letter, in the first quarter of 2022, Omicron swept across the U.S., with new daily cases hitting highs not seen even in the height of the Delta variant wave. Omicron appeared to be less severe in nature, leading to fewer hospitalizations and deaths than prior iterations. This headline consideration was largely pushed from the public focus, however, when Russia invaded Ukraine in February 2022. Western countries levied a series of sanctions against notable oligarchs and the country as a whole, which, combined with the conflict in the export-heavy region, sent commodity prices skyrocketing.
This began a series of events which led the Fed to implement quantitative tightening and interest-rate hikes in a more aggressive manner than initially postured. While financial markets sold off on news of the invasion, subsequently hawkish positioning by the Fed sent them into a tailspin. Mega-cap technology names, long-duration assets, and lower-quality companies in the small-cap sector all took the brunt of this, declining most dramatically – creating a tailwind for active management. Value stocks outperformed their growth counterparts, though they also were not completely immune from the volatility.
Nearly every asset class aside from commodities meaningfully declined during the second quarter of 2022. Most major equity indexes fell by at least 20% with small caps and growth stocks experiencing the sharpest drawdowns. Recessionary fears accelerated as there was some skepticism that the Fed could curb inflation to its target of 2% without triggering a full-blown recession. This has only been accomplished once since the end of World War II, when inflation exceeded 5% in 1951-1952. Concerns also mounted around China’s zero- COVID policy-induced lockdowns, disrupting both its domestic and the global economy.
The downward trend temporarily reversed in the third quarter of 2022 in what many described as a ”bear market rally.” Better-than-expected Consumer Price Index (CPI) data in early in the quarter triggered a wave of speculation that the Fed might pivot on its rate-hiking program earlier than expected. Until about mid-August, markets rallied, led by the most speculative, least financially sound names. However, markets resumed their downward trend when Fed Chair Jerome Powell reiterated the Fed’s dedication to bringing inflation under control, and subsequent
20
SEI Institutional Managed Trust / Annual Report / September 30, 2022
inflation statistics were not as promising. This resulted in a poor performance for equities in September. Quality, low volatility, and value all underperformed for the quarter.
Energy was the best-performing sector for the period, returning over 27%, while the broader Russell 2000® Value Index fell 17.69%. Utilities was the only other sector to chalk up a gain, returning roughly 2.5%. The communication services, consumer discretionary, health care and estate sectors were the primary market laggards, while consumer staples, financials, and industrials outperformed.
The Fund outperformed the benchmark Russell 2000® Value Index over the fiscal year, attributable largely to positive stock selection within materials, communication services, and information technology. Sector positioning broadly detracted from performance, particularly an overweight to communication services, an underweight to utilities, and an overweight to consumer discretionary. The Fund’s positive active value exposure relative to the benchmark was the largest factor tailwind, benefiting both from an overweight to the cheapest names, but also an underweight to the most expensive stocks. Similarly, positive loading to quality added to Fund performance, as the lowest-quality stocks underperformed for the reporting period.
On a sub-advisor basis, LSV was the largest positive contributor to the Fund’s return. Its systematic exposure to the value factor, as well as stock selection in several sectors, were tailwinds to performance.
The SEI value strategy managed by SIMC contributed for similar reasons, with performance more or less on par with that of LSV. Easterly contributed to a lesser extent as the sub-advisor’s cyclical orientation was at times a drag on the value tailwind.
Cardinal was the sole detractor from the Fund’s excess return due to an overweight to communication services and weak stock selection in financials.
The Fund reallocated approximately 2% of assets from Cardinal to LSV and Easterly.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
AVERAGE ANNUAL TOTAL RETURN1 | |||||
1 Year | Annualized | Annualized | Annualized | Annualized | |
Small Cap Value Fund, Class F | -16.59% | 3.75% | 1.51% | 6.39% | 8.54% |
Small Cap Value Fund, Class I | -16.77% | 3.52% | 1.29% | 6.16% | 8.24% |
Small Cap Value Fund, Class Y | -16.40% | 4.01% | 1.76% | 6.57% | 8.60% |
Russell 2000® Value Index | -17.69% | 4.72% | 2.87% | 7.94% | 9.44% |
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® Value Index
1 | For the year ended 9/30/22. 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. For periods prior to 10/30/15, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed 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. |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
21
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (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-advisors 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-advisors as of September 30, 2022: ArrowMark Colorado Holdings LLC (ArrowMark), EAM Investors LLC (EAM), Jackson Creek Investment Advisors, LLC (Jackson Creek) and Parametric Portfolio Associates LLC (Parametric).
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2022, the Small Cap Growth Fund, Class F, returned -25.22%. The Fund’s benchmark—the Russell 2000 Growth Index, which tracks the performance of the small-cap growth segment of the U.S. equity universe—returned -29.27%.
IV. Performance Discussion
The 12-month period ended September 30, 2022, was extremely challenging for global financial markets. Optimism for an improving global economic backdrop gave way to recessionary fears amid the conflict in Ukraine, runaway inflation, and an aggressively tightening monetary policy from the U.S. Federal Reserve (Fed). U.S. small-cap stocks, as measured by the Russell 2000 Index, were down 23.5% for the period, and the -25.1% return for the 2022 year to date is one of the worst starts to a year on record for the asset class.
The fourth quarter of 2021 was defined predominantly by markets digesting the potential impact of the Omicron variant of COVID-19 discovered in South Africa. Consequently, defensive areas of the market led the way, and lower-quality names sold off—particularly in the small-cap sector—providing a tailwind to active management across the board. The year began with the ascent of “meme” stocks, but ended with them coming back down to earth.
The Fed announced a hastening of its planned wind-down of bond purchases as part of its shift to a generally more hawkish stance in an effort to combat elevated inflation. The Fed also dropped references to inflation as “transitory” in a policy statement in December 2021. From a factor
perspective, quality outperformed for the quarter, as did value in small cap, but the style remained challenged by the FAANG (Meta – formerly known as Facebook, Amazon, Apple, Netflix, and Alphabet – formerly known as Google) contingent in large cap. Low volatility was also a beneficiary of the de-risking trend.
As noted in the shareholder letter, in the first quarter of 2022, Omicron swept across the U.S., with new daily cases hitting highs not seen even in the height of the Delta variant wave. Omicron appeared to be less severe in nature, leading to fewer hospitalizations and deaths than prior iterations. This headline consideration was largely pushed from the public focus, however, when Russia invaded Ukraine in February 2022. Western countries levied a series of sanctions against notable oligarchs and the country as a whole, which, combined with the conflict in the export-heavy region, sent commodity prices skyrocketing.
This began a series of events which led the Fed to implement quantitative tightening and interest-rate hikes in a more aggressive manner than initially postured. While financial markets sold off on news of the invasion, subsequently hawkish positioning by the Fed sent them into a tailspin. Mega-cap technology names, long-duration assets, and lower-quality companies in the small-cap sector all took the brunt of this, declining most dramatically – creating a tailwind for active management. Value stocks outperformed their growth counterparts, though they also were not completely immune from the volatility.
Nearly every asset class aside from commodities meaningfully declined during the second quarter of 2022. Most major equity indexes fell by at least 20% with small caps and growth stocks experiencing the sharpest drawdowns. Recessionary fears accelerated as there was some skepticism that the Fed could curb inflation to its target of 2% without triggering a full-blown recession. This has only been accomplished once since the end of World War II, when inflation exceeded 5% in 1951-1952. Concerns also mounted around China’s zero- COVID policy-induced lockdowns, disrupting both its domestic and the global economy.
The downward trend temporarily reversed in the third quarter of 2022 in what many described as a ”bear market rally.” Better-than-expected Consumer Price Index (CPI) data in early in the quarter triggered a wave of speculation that the Fed might pivot on its rate-hiking program earlier than expected. Until about mid-August, markets rallied, led by the most speculative, least financially sound names. However, markets resumed their downward trend when Fed Chair Jerome Powell reiterated the Fed’s dedication to bringing inflation under control, and subsequent
22
SEI Institutional Managed Trust / Annual Report / September 30, 2022
inflation statistics were not as promising. This resulted in a poor performance for equities in September. Quality, low volatility, and value all underperformed for the quarter.
Energy was the best-performing sector for the reporting period, returning over 18%, while the broader Russell 2000 Growth Index fell 25.22%. The communication services, consumer discretionary, health care, information technology, and real estate sectors were the largest market laggards, while utilities, consumer staples, financials, industrials and materials outperformed.
The Fund outperformed its benchmark, the Russell 2000 Growth Index, for the period, predominantly due to positive stock selection within information technology. Sector positioning also had a broadly positive impact, particularly an overweight to energy and underweight to health care. Additionally, Fund performance benefited significantly from overweights to value and quality relative to the broader index—particularly the underweights to the most expensive and lowest-quality names. Momentum positioning also contributed to Fund performance.
Among the sub-advisors, Jackson Creek was the top contributor to the Fund’s returns for the fiscal year. Jackson Creek benefited from earnings revisions (momentum) tailwinds, as well as value tailwinds, as the two factors remained positively correlated.
The SEI momentum strategy, managed by SIMC, and sub-advisor EAM also contributed to Fund performance on momentum tailwinds, though to a lesser degree. ArrowMark was the sole detractor from the Fund’s excess return largely due to poor selection within the health care sector.
Capital was cycled out of Jackson Creek after a period of positive relative performance and into EAM after a period of weaker performance.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
AVERAGE ANNUAL TOTAL RETURN1 | |||||
1 Year | Annualized | Annualized | Annualized | Annualized | |
Small Cap Growth Fund, Class F | -25.22% | 3.62% | 3.71% | 8.37% | 8.34% |
Small Cap Growth Fund, Class I | -25.41% | 3.37% | 3.45% | 8.09% | 8.03% |
Small Cap Growth Fund, Class Y | -25.01% | 3.89% | 3.97% | 8.56% | 8.40% |
Russell 2000® Growth Index | -29.27% | 2.94% | 3.60% | 8.81% | 7.28% |
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 9/30/22. 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. For periods prior to 10/30/15, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed 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. |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
23
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (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 fiscal year ending September 30, 2022: Cardinal Capital Management LLC (Cardinal), Easterly Investment Partners LLC (Easterly) (fka Snow Capital Management, L.P.), Hillsdale Investment Management Inc. (Hillsdale), Martingale Asset Management, LP (Martingale), Parametric Portfolio Associates LLC (Parametric) and Rice Hall James and Associates, LLC (Rice Hall).
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2022, the Tax-Managed Small/Mid Cap Fund, Class F, returned -18.96%. The Fund’s benchmark—the Russell 2500 Index, which tracks the performance of the small- to mid-cap segment of the U.S. equity universe—returned -21.11%.
IV. Performance Discussion
The 12-month period ended September 30, 2022, was extremely challenging for global financial markets. Optimism for an improving global economic backdrop gave way to recessionary fears amid the conflict in Ukraine, runaway inflation, and an aggressively tightening monetary policy from the U.S. Federal Reserve (Fed). U.S. small-cap stocks, as measured by the Russell 2000 Index, were down 23.5% for the period, and the -25.1% return for the 2022 year to date is one of the worst starts to a year on record for the asset class.
The fourth quarter of 2021 was defined predominantly by markets digesting the potential impact of the Omicron variant of COVID-19 discovered in South Africa. Consequently, defensive areas of the market led the way, and lower-quality names sold off—particularly in the small-cap sector—providing a tailwind to active management across the board. The year began with the ascent of “meme” stocks, but ended with them coming back down to earth.
The Fed announced a hastening of its planned wind-down of bond purchases as part of its shift to a generally more
hawkish stance in an effort to combat elevated inflation. The Fed also dropped references to inflation as “transitory” in a policy statement in December 2021. From a factor perspective, quality outperformed for the quarter, as did value in small cap, but the style remained challenged by the FAANG (Meta – formerly known as Facebook, Amazon, Apple, Netflix, and Alphabet – formerly known as Google) contingent in large cap. Low volatility was also a beneficiary of the de-risking trend.
As noted in the shareholder letter, in the first quarter of 2022, Omicron swept across the U.S., with new daily cases hitting highs not seen even in the height of the Delta variant wave. Omicron appeared to be less severe in nature, leading to fewer hospitalizations and deaths than prior iterations. This headline consideration was largely pushed from the public focus, however, when Russia invaded Ukraine in February 2022. Western countries levied a series of sanctions against notable oligarchs and the country as a whole, which, combined with the conflict in the export-heavy region, sent commodity prices skyrocketing.
This began a series of events which led the Fed to implement quantitative tightening and interest-rate hikes in a more aggressive manner than initially postured. While financial markets sold off on news of the invasion, subsequently hawkish positioning by the Fed sent them into a tailspin. Mega-cap technology names, long-duration assets, and lower-quality companies in the small-cap sector all took the brunt of this, declining most dramatically – creating a tailwind for active management. Value stocks outperformed their growth counterparts, though they also were not completely immune from the volatility.
Nearly every asset class aside from commodities meaningfully declined during the second quarter of 2022. Most major equity indexes fell by at least 20% with small caps and growth stocks experiencing the sharpest drawdowns. Recessionary fears accelerated as there was some skepticism that the Fed could curb inflation to its target of 2% without triggering a full-blown recession. This has only been accomplished once since the end of World War II, when inflation exceeded 5% in 1951-1952. Concerns also mounted around China’s zero- COVID policy-induced lockdowns, disrupting both its domestic and the global economy.
The downward trend temporarily reversed in the third quarter of 2022 in what many described as a ”bear market rally.” Better-than-expected Consumer Price Index (CPI) data in early in the quarter triggered a wave of speculation that the Fed might pivot on its rate-hiking program earlier than expected. Until about mid-August, markets rallied, led by the most speculative, least financially sound names.
24
SEI Institutional Managed Trust / Annual Report / September 30, 2022
However, markets resumed their downward trend when Fed Chair Jerome Powell reiterated the Fed’s dedication to bringing inflation under control, and subsequent inflation statistics were not as promising. This resulted in a poor performance for equities in September. Quality, low volatility, and value all underperformed for the quarter.
Energy was the best-performing sector for the reporting period, returning over 36%, while the broader Russell 2500 Index fell 21.11%. Utilities was the only other sector to chalk up a gain, returning roughly 1.5%. Communication services, consumer discretionary, health care and information technology were the most notable market laggards, while consumer staples, financials, industrials and materials outperformed.
The Fund outperformed the benchmark Russell 2500 Index for the reporting period. Positive stock selection in the information technology and health care sectors, as well as an underweight to health care, contributed to the Fund’s excess return. From a factor perspective, the Fund’s positive loading to value, quality, and momentum benefited performance amid tailwinds to all three factors. Value was the largest contributor, followed by quality—particularly the underweight to the lowest-quality names in the index. Momentum has begun to reside in both value and quality stocks, and when the three alpha sources align like this, we would expect the Fund to outperform. Nevertheless, the third quarter of 2022 saw a reversal in this factor environment, and both value and quality underperformed.
Among the Fund’s sub-advisors, Martingale was the largest contributor to the Fund’s return for the fiscal year, benefiting from a low-volatility-based investment process, and a beta significantly lower than 1.0 in a sharply down market. Hillsdale and Easterly also contributed to a lesser extent - both on style tailwinds – though Easterly’s cyclical orientation at times was a headwind. Rice Hall and Cardinal both modestly detracted from the Fund’s return. Rice Hall has less significant exposure to the quality alpha source, and Cardinal’s concentrated portfolio can lead to stock selection-driven outcomes over short periods.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
AVERAGE ANNUAL TOTAL RETURN1 | |||||
1 Year |
|
|
| Annualized | |
Tax-Managed Small/Mid Cap Fund, Class F | -18.96% | 3.45% | 3.22% | 7.71% | 6.11% |
Tax-Managed Small/Mid Cap Fund, Class Y | -18.81% | 3.68% | 3.45% | 7.89% | 6.19% |
Russell 2500® Index | -21.11% | 5.36% | 5.45% | 9.58% | 8.00% |
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
SEI Institutional Managed Trust / Annual Report / September 30, 2022
25
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (Unaudited)
Tax-Managed Small/Mid Cap Fund (Concluded)
1 | For the year ended 9/30/22. 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. For periods prior to 12/31/14, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed 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. |
26
SEI Institutional Managed Trust / Annual Report / September 30, 2022
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (Unaudited)
Mid-Cap Fund
I. Objective
The Mid-Cap 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 to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of September 30, 2022: Leeward Investments, LLC (Leeward) (fka LMCG Investments, LLC), and Los Angeles Capital Management LLC (LA Capital).
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2022, the Mid-Cap Fund, Class F, returned -15.67%. The Fund’s benchmark—the Russell Midcap® Index, which tracks the performance of the mid-cap segment of the U.S. equity universe—returned -19.39%.
IV. Performance Discussion
The one-year period ended September 30, 2022, was extremely challenging for financial markets. As noted in the shareholder letter, optimism for an improving global economic backdrop gave way to recessionary fears amid conflict in Ukraine, runaway inflation, and an aggressively tightening monetary policy from the U.S. Federal Reserve (Fed). Mid-cap stocks, as measured by the Russell Midcap Index, were down 19.39% for the period, and shed 24.27% for the year to date through September 30.
The fourth quarter of 2021 was defined predominantly by global financial markets digesting the potential impact of the Omicron variant of COVID-19 that was discovered in South Africa. Defensive areas of the market led the way as a result and lower-quality names sold off – particularly down cap – providing a tailwind to active management across the board. The year began with the ascent of “meme” stocks, but ended with them coming back down to earth.
The Fed announced a hastening of its planned wind-down of bond purchases as part of its shift to a generally more hawkish stance in an effort to combat elevated inflation. The Fed also dropped references to inflation as “transitory” in a policy statement in December 2021. From a factor perspective, quality outperformed for the quarter, as did Value down cap, but the style remained challenged by the FAANG (Meta - formerly known as Facebook, Amazon, Apple, Netflix, and Alphabet - formerly known as
Google) contingent in Large Cap. Low Volatility was also a beneficiary of the de-risking trend.
In the first quarter of 2022, the Omicron variant swept across the U.S., with new daily cases hitting highs not seen even in the height of the Delta wave. The variant appeared to be less severe in nature, leading to fewer hospitalization and deaths than prior COVID iterations. This headline consideration was largely pushed from the public focus though when Russia invaded Ukraine late in the first quarter. Western countries levied a series of sanctions against notable oligarchs and the country as a whole, which combined with the conflict in the export heavy region sent commodities prices skyrocketing.
This began a series of events which led the Fed to implement quantitative tightening and interest-rate hikes in a more aggressive manner than initially postured. While markets sold off on news of Russia’s invasion of Ukraine, subsequently hawkish positioning by the Fed sent them into a tailspin. Mega-cap tech names, long-duration assets, and lower-quality small-cap companies have all taken the brunt of this, declining the most dramatically – creating a tailwind for active management. Value stocks endured more valiantly, though they also were not completely immune from the volatility.
Nearly every asset class aside from commodities meaningfully declined in the second quarter of 2022. Most major equity indexes fell by at least 20% with small caps and growth stocks experiencing the sharpest drawdowns. Recessionary fears accelerated as there is some skepticism that the Fed could curb inflation to its target of 2% without triggering a full-blown recession. This has only been successfully accomplished once since the end of World War II, when inflation exceeded 5% (i.e. 1951-1952). Concerns also mounted around China’s zero-COVID policy induced lockdowns, disrupting both its domestic and the global economy.
The third quarter of 2022 temporarily reversed this downward trend in what many described as a “bear market rally.” Better-than-expected CPI numbers early in the quarter triggered a wave of speculation that the Fed might pivot on its rate-hiking plan earlier than expected. Until about mid-August, global markets rallied, led by the most speculative, least financially sound names. Markets resumed their downward trend when Fed Chair Jerome Powell reiterated the central bank’s dedication to bringing inflation under control, and subsequent inflation statistics were not as promising. This resulted in weak performance for equities in September. Quality, low volatility, and value all underperformed for the quarter.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
27
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (Unaudited)
Mid-Cap Fund (Concluded)
Energy was the best-performing sector within the Russell Midcap Index for the 12-month reporting period, returning over 40%, while the broader index fell 19.39%. Utilities was the only other sector to chalk up a gain, returning just about 4.5%. Communication services, consumer discretionary, health care and information technology all dramatically underperformed during the period, while consumer staples, financials, industrials and materials outperformed relative to the index.
Over the reporting period, the Fund outperformed its benchmark as a result of security selection within health care, consumer discretionary and industrials. A moderate overweight to energy also contributed to the excess return. From a factor perspective, Fund performance benefited from the positive loading to value, quality, and momentum. Specifically, the underweights to the most expensive and lowest-quality names contributed to Fund performance over the fiscal year. However, these tailwinds largely shifted to headwinds in the third quarter of 2022.
Among Fund managers, Leeward was the top contributor to returns for the reporting period, benefiting from its stable value investment approach and lower beta. Stock selection in consumer discretionary, industrials, and health care was the largest contributor to returns. Sector positioning enhanced Fund performance across the board, with nearly every sector positively contributing via allocation effect.
LA Capital contributed to the Fund’s returns to a lesser degree over the reporting period. As a trend-following multi-factor quant, the strategy generally benefited from its alpha sources’ persistent outperformance over the period, though there were some periods of rapid reversals in investor preferences. Stock selection in health care and a moderate overweight to energy were the largest contributors to the Fund’s returns.
The Fund reallocated approximately 2% of assets to Leeward from LA Capital over the period.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
AVERAGE ANNUAL TOTAL RETURN1 | |||||
1 Year |
|
|
| Annualized | |
Mid-Cap Fund, Class F | -15.67% | 4.54% | 4.66% | 9.64% | 9.28% |
Mid-Cap Fund, Class I | -15.88% | 4.29% | 4.41% | 9.39% | 8.99% |
Mid-Cap Fund, Class Y | -15.48% | 4.79% | 4.91% | 9.83% | 9.34% |
Russell Midcap® Index | -19.39% | 5.19% | 6.48% | 10.30% | 10.34% |
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 09/30/22. 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. For periods prior to 10/30/15, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed 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. |
28
SEI Institutional Managed Trust / Annual Report / September 30, 2022
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (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-advisors 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-advisors as of September 30, 2022: LSV Asset Management (LSV) and Allspring Global Investments, LLC (Allspring).
No manager changes were made during the Fund’s fiscal period.
III. Returns
For the full year ended September 30, 2022, the U.S. Managed Volatility Fund, Class F, returned -5.98%. The Fund’s benchmark—the Russell 3000® Index, which tracks the performance of 3,000 of the largest U.S.-traded stocks—returned -17.63%.
IV. Performance Discussion
U.S. equities declined during the fiscal year, fueled by a strong selloff in growth areas of the market as implications of inflation and interest-rate hikes became a key concern over the period. As Consumer Price Index (CPI) data signaled unusually large spikes in inflation, the U.S. Federal Reserve (Fed) took an immediate and aggressive hawkish monetary policy stance, raising the Fed Funds rate by 300 basis points in several increments during the reporting period. A rising yield curve triggered substantial selling in long-duration growth stocks, particularly in the information technology and consumer discretionary sectors. As noted in the shareholder letter, there were additional market jitters as geopolitical tensions devolved into Russia’s invasion of Ukraine, which has yet to be resolved. Energy was the sole sector within the broader-market Russell 3000® Index to post a positive return as commodity prices rose in this inflationary and conflicted backdrop.
Low-volatility strategies recorded losses over the reporting period, but to a significantly lesser degree than the broader market. Fund performance benefited from strategic overweights to defensive stocks and an underweight to high-beta growth names. The relatively defensive utilities, consumer staples and health care sectors were the most insulated from market declines, while greater losses were most evident in higher-beta areas of the market such as
consumer discretionary and information technology. While energy was a standout sector posting strong positive returns, Fund participation was limited as it is a typically volatile sector which the Fund underweights.
The Fund delivered a meaningful risk reduction of approximately 30% compared to its benchmark during the fiscal year, as measured by the standard deviation of its daily returns, and posted advantageous performance overall in what was generally a declining, risk-averse environment for global equities. In addition to defensive positioning, valuation considerations and diversification objectives were strong contributors to the Fund’s relative performance as the market underwent a rotation out of growth companies into value stocks.
Both managers achieved a substantial risk reduction over the 12-month period and each generated favorable returns relative to the Fund’s benchmark. LSV was the stronger performer between the two sub-advisors, placing sharper focus on stocks meeting both low-volatility and value characteristics. Value was an important driver of LSV’s performance. This cohort of the market was quite resistant to the selloff in equities as it avoided holding high-beta growth stocks that led the market declines. Allspring similarly benefitted from defensive holdings and valuation-awareness, though to a lesser extent as that strategy targets relatively more significant low-volatility positioning while holding a more moderate valuation tilt.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results. Diversification may not protect against market risk.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
29
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (Unaudited)
U.S. Managed Volatility Fund (Concluded)
AVERAGE ANNUAL TOTAL RETURN1 | ||||||
1 Year |
|
|
| Annualized | ||
U.S. Managed Volatility Fund, Class F | -5.98% | 2.50% | 5.38% | 9.12% | 7.97% | |
U.S. Managed Volatility Fund, Class I | -6.26% | 2.23% | 5.10% | 8.85% | 7.67% | |
U.S. Managed Volatility Fund, Class Y | -5.73% | 2.76% | 5.64% | 9.33% | 8.09% | |
Russell 3000® Index | -17.63% | 7.70% | 8.62% | 11.39% | 8.81% |
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 9/30/22. 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. For periods prior to 12/31/14, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed 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. |
30
SEI Institutional Managed Trust / Annual Report / September 30, 2022
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (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-advisors with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of September 30, 2022: Acadian Asset Management LLC (Acadian) and Allspring Global Investments, LLC (Allspring).
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2022, the Global Managed Volatility Fund, Class F, returned -9.19%. The Fund’s benchmark—the MSCI World Index (Net), which tracks large- and mid-cap equity performance across all 23 developed-market countries—returned -19.63%.
IV. Performance Discussion
Global equities declined during the fiscal year, fueled by a strong selloff in growth areas of the market as implications of inflation and interest-rate hikes became a key concern over the period. As Consumer Price Index (CPI) figures signaled unusually large spikes in inflation, the U.S. Federal Reserve (Fed) took an immediate and aggressive hawkish stance, hiking its benchmark interest rate several times and adding 300 basis points to the Fed Funds rate. A rising yield curve triggered substantial selling in long-duration growth stocks, particularly in technology and consumer discretionary sectors. As noted in the shareholder letter, there were additional market jitters as geopolitical tensions devolved into Russia’s invasion of Ukraine, which has yet to be resolved. Energy was the sole sector to post a positive return for the reporting period as commodity prices rose in this inflationary and conflicted backdrop.
Low-volatility strategies declined over the period, but to a significantly lesser degree than the broader market. Fund performance benefitted from strategic overweights to defensive stocks and underweights to high-beta growth names. The defensive utilities, consumer staples and health care sectors were the most insulated from market declines, while greater losses were most evident in higher beta areas of the market such as consumer discretionary and technology. While energy was a standout sector posting
strong gains, Fund participation was limited as it is a typically volatile sector which the strategy underweights.
The Fund delivered a meaningful risk reduction of approximately 30% compared to its benchmark, as measured by the standard deviation of its daily returns, and posted advantageous performance overall in what was generally a declining, risk-averse environment for global equities. In addition to defensive positioning, valuation considerations and diversification objectives were beneficial and strong contributors to relative performance as the market underwent a rotation out of growth and into value.
Both managers achieved a substantial risk reduction over the 12-month period, and each outperformed relative to the Fund’s benchmark. Allspring was the modestly stronger performer of the two managers, benefiting from a lower-beta profile along with greater emphasis on valuations over the period. Acadian similarly benefited from defensive holding and valuation awareness, though tended to be more broadly diversified across sectors per its multifactor blend model.
The Fund also used derivatives to hedge currency risk. For the fiscal year, hedging currency risk had a positive effect on performance amid the environment of a strengthening U.S. dollar against a basket of major currencies.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results. Diversification may not protect against market risk.
AVERAGE ANNUAL TOTAL RETURN1 | |||||
1 Year | Annualized | Annualized | Annualized | Annualized | |
Global Managed Volatility Fund, Class F | -9.19% | -0.20% | 2.40% | 6.99% | 4.46% |
Global Managed Volatility Fund, Class I | -9.37% | -0.45% | 2.14% | 6.73% | 4.18% |
Global Managed Volatility Fund, Class Y | -8.95% | 0.05% | 2.65% | 7.20% | 4.59% |
MSCI World Index (Net) | -19.63% | 4.56% | 5.30% | 8.11% | 5.79% |
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 (Net)
SEI Institutional Managed Trust / Annual Report / September 30, 2022
31
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (Unaudited)
Global Managed Volatility Fund (Concluded)
1 | For the year ended 9/30/22. 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. For periods prior to 12/31/14, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed 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. |
32
SEI Institutional Managed Trust / Annual Report / September 30, 2022
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (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-advisors 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-advisors as of September 30, 2022: LSV Asset Management (LSV), Parametric Portfolio Associates LLC (Parametric) and Allspring Global Investments, LLC (Allspring).
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2022, the Tax-Managed Managed Volatility Fund, Class F, returned -2.48%. The Fund’s benchmark—the Russell 3000® Index, which tracks the performance of 3,000 of the largest U.S.-traded stocks—returned -17.63%.
IV. Performance Discussion
U.S. equities declined during the fiscal year, fueled by a strong selloff in growth areas of the market as implications of inflation and interest-rate hikes became a key concern over the period. As Consumer Price Index (CPI) data signaled unusually large spikes in inflation, the U.S. Federal Reserve (Fed) took an immediate and aggressive hawkish monetary policy stance, raising the Fed Funds rate by 300 basis points in several increments during the reporting period. A rising yield curve triggered substantial selling in long-duration growth stocks, particularly in the information technology and consumer discretionary sectors. As noted in the shareholder letter, there were additional market jitters as geopolitical tensions devolved into Russia’s invasion of Ukraine, which has yet to be resolved. Energy was the sole sector within the broader-market Russell 3000® Index to post a positive return as commodity prices rose in this inflationary and conflicted backdrop.
Low-volatility strategies recorded losses over the reporting period, but to a significantly lesser degree than the broader market. Fund performance benefited from strategic overweights to defensive stocks and an underweight to high-beta growth names. The relatively defensive utilities, consumer staples and health care sectors were the most insulated from market declines, while greater losses were
most evident in higher-beta areas of the market such as consumer discretionary and information technology. While energy was a standout sector posting strong positive returns, Fund participation was limited as it is a typically volatile sector which the Fund underweights.
The Fund delivered a meaningful risk reduction of approximately 30% compared to its benchmark, the Russell 3000® Index, as measured by the standard deviation of its daily returns, and posted advantageous performance overall in what was generally a declining, risk-averse environment for global equities. In addition to defensive positioning, valuation considerations and diversification objectives were strong contributors to relative performance as the market underwent a rotation out of growth companies into value stocks.
The managers achieved a substantial risk reduction over the 12-month period and each generated favorable returns relative to the Fund’s benchmark. LSV was a stronger performer than Allspring, placing sharper focus on stocks meeting both low-volatility and value characteristics. Value was an important driver of LSV’s performance. This cohort of the market was quite resistant to the selloff in equities as it avoided holding high-beta growth stocks that led the market declines. Allspring similarly benefited from defensive holdings and valuation awareness, though to lesser extent as that strategy targets relatively more significant low-volatility positioning more keenly while holding a more moderate valuation tilt.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
AVERAGE ANNUAL TOTAL RETURN1 | |||||
1 Year | Annualized | Annualized | Annualized | Annualized | |
Tax-Managed Managed Volatility Fund, Class F | -2.48% | 5.06% | 6.88% | 10.01% | 8.28% |
Tax-Managed Managed Volatility Fund, Class Y | -2.28% | 5.31% | 7.15% | 10.21% | 8.42% |
Russell 3000® Index | -17.63% | 7.70% | 8.62% | 11.39% | 8.32% |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
33
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (Unaudited)
Tax-Managed Managed Volatility Fund (Concluded)
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 9/30/22. 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. For periods prior to 4/30/15, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed 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. |
34
SEI Institutional Managed Trust / Annual Report / September 30, 2022
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (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 less volatility than the broad international equity markets.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisors 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-advisors as of September 30, 2022: Acadian Asset Management LLC (Acadian), LSV Asset Management (LSV), Parametric Portfolio Associates LLC (Parametric) and Allspring Global Investments, LLC (Allspring).
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2022, the Tax-Managed International Managed Volatility Fund, Class F, returned -20.68%. The Fund’s benchmark—the MSCI EAFE Index (Net), which tracks equity performance of developed markets outside the U.S. and Canada—returned -25.13%.
IV. Performance Discussion
International equities declined during the fiscal year, fueled by strong a selloff in growth areas of the market as implications of inflation and interest-rate hikes became a key concern over the period. As Consumer Price Index (CPI) data signaled unusually large spikes in inflation, the U.S. Federal Reserve (Fed) took an immediate and aggressive hawkish monetary policy stance, raising the Fed Funds rate by 300 basis points in several increments over the reporting period. A rising yield curve triggered substantial selling in long-duration growth stocks, particularly in the technology and consumer discretionary sectors. The resulting strength in the U.S. dollar exchange rate was not beneficial to non-U.S. economies. As noted in the shareholder letter, there were additional market jitters as geopolitical tensions devolved into Russia’s invasion of Ukraine, which has yet to be resolved. Energy was the sole sector within the MSCI EAFE Index to garner positive returns as commodity prices rose in this inflationary and conflicted backdrop.
Low-volatility strategies recorded losses over the reporting period, but to a significantly lesser degree than the broader market. Fund performance benefited from strategic overweights to defensive stocks and underweights to high-beta growth names. The relatively defensive utilities,
consumer staples and health care sectors were the most insulated from market declines, while greater losses were most evident in higher-beta areas of the market such as consumer discretionary and technology. While energy was a standout sector, posting positive returns, Fund participation was limited as it is a typically volatile sector which the Fund underweights.
The Fund delivered a meaningful risk reduction of approximately 30% compared to its benchmark, as measured by the standard deviation of its daily returns, and posted advantageous performance overall in what was generally a declining, risk-averse environment for global equities. In addition to defensive positioning, valuation considerations objectives were strong contributors to the Fund’s relative performance as the market underwent a rotation out of growth companies and into value stocks. Diversification across capitalizations somewhat hindered Fund results as smaller-cap stocks felt the brunt of market declines.
The managers achieved a substantial risk reduction over the 12-month period and each generated favorable returns relative to the Fund’s benchmark. Despite nuanced approaches, results were very close across managers. LSV is held at a larger weight in the Fund and thus contributed proportionality more to results. Their sharper focus on stocks meeting both low-volatility and value characteristics was a favorable driver of performance over the period.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
35
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (Unaudited)
Tax-Managed International Managed Volatility Fund (Concluded)
AVERAGE ANNUAL TOTAL RETURN1 | |||||||||
1 Year Return | 3 Year Return | 5 Year Return | Annualized | ||||||
Tax-Managed International Managed Volatility Fund, Class F | -20.68% | -4.52% | -3.10% | -0.20% | |||||
Tax-Managed International Managed Volatility Fund, Class Y | -20.44% | -4.27% | -2.85% | 0.05% | |||||
MSCI EAFE Index (Net) | -25.13% | -1.83% | -0.84% | 2.71% |
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 (Net).
1 | For the year ended 9/30/22. Past performance is no 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. |
36
SEI Institutional Managed Trust / Annual Report / September 30, 2022
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (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 sub-advisor to manage the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (SIMC). The sole sub-advisor as of September 30, 2022, was CenterSquare Investment Management LLC (CenterSquare).
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2022, the Real Estate Fund, Class F, returned -17.41%. The Fund’s benchmark – Wilshire U.S. Real Estate Securities Index, which tracks the performance of the U.S. real-estate market and includes both real-estate investment trusts and real-estate operating companies – returned -17.56%.
IV. Performance Discussion
The 12-month period ended September 30, 2022, was extremely challenging for global financial markets. Optimism for an improving global economic backdrop gave way to recessionary fears amid the conflict in Ukraine, runaway inflation, and an aggressively tightening monetary policy from the U.S. Federal Reserve (Fed). U.S. small-cap stocks, as measured by the Russell 2000 Index, were down 23.5% for the period, and the -25.1% return for the 2022 year to date is one of the worst starts to a year on record for the asset class.
The fourth quarter of 2021 was defined predominantly by markets digesting the potential impact of the Omicron variant of COVID-19 discovered in South Africa. New case numbers soared over this period as the new variant proved to be highly transmissible, though by most accounts also less severe in nature. Consequently, defensive areas of the market led the way, and lower-quality names sold off—particularly in the small-cap sector—providing a tailwind to active management across the board. The year began with the ascent of “meme” stocks, but ended with them coming back down to earth.
The Fed announced a hastening of its planned wind-down of bond purchases as part of its shift to a generally more hawkish stance in an effort to combat elevated inflation. The Fed also dropped references to inflation as “transitory” in a policy statement in December 2021. From a factor perspective, Quality outperformed for the quarter, as did value in small cap, but the style remained challenged by
the FAANG (Meta – formerly known as Facebook, Amazon, Apple, Netflix, and Alphabet – formerly known as Google) contingent in large cap. Low volatility was also a beneficiary of the de-risking trend.
As noted in the shareholder letter, in the first quarter of 2022, Omicron swept across the U.S., with new daily cases hitting highs not seen even in the height of the Delta variant wave. Omicron appeared to be less severe in nature, leading to fewer hospitalizations and deaths than prior iterations. This headline consideration was largely pushed from the public focus, however, when Russia invaded Ukraine in February 2022. Western countries levied a series of sanctions against notable oligarchs and the country as a whole, which, combined with the conflict in the export-heavy region, sent commodity prices skyrocketing.
This began a series of events which led the Fed to implement quantitative tightening and interest-rate hikes in a more aggressive manner than initially postured. While financial markets sold off on news of the invasion, subsequently hawkish positioning by the Fed sent them into a tailspin. Mega-cap technology names, long-duration assets, and lower-quality companies in the small-cap sector all took the brunt of this, declining most dramatically – creating a tailwind for active management. Value stocks outperformed their growth counterparts, though they also were not completely immune from the volatility.
Nearly every asset class aside from commodities meaningfully declined during the second quarter of 2022. Most major equity indexes fell by at least 20% with small caps and growth stocks experiencing the sharpest drawdowns. Recessionary fears accelerated as there was some skepticism that the Fed could curb inflation to its target of 2% without triggering a full-blown recession. This has only been accomplished once since the end of World War II, when inflation exceeded 5% in 1951-1952. Concerns also mounted around China’s zero- COVID policy-induced lockdowns, disrupting both its domestic and the global economy.
The downward trend temporarily reversed in the third quarter of 2022 in what many described as a ”bear market rally.” Better-than-expected Consumer Price Index (CPI) data in early in the quarter triggered a wave of speculation that the Fed might pivot on its rate-hiking program earlier than expected. Until about mid-August, markets rallied, led by the most speculative, least financially sound names. However, markets resumed their downward trend when Fed Chair Jerome Powell reiterated the Fed’s dedication to bringing inflation under control, and subsequent inflation statistics were not as promising. This resulted in a
SEI Institutional Managed Trust / Annual Report / September 30, 2022
37
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (Unaudited)
Real Estate Fund (Concluded)
poor performance for equities in September. Quality, low volatility, and value all underperformed for the quarter.
The Wilshire U.S. Real Estate Securities Index outperformed U.S. small-cap equity indexes and performed largely in line with the Russell 1000 index for the 12-month reporting period. Within equity markets, defensive securities, including real estate, tended to outperform. However, this trend reversed in the final quarter of the period as a speculative rally left defensive sectors out of favor.
The Fund slightly outperformed its benchmark for the fiscal year due to the stock selection of CenterSquare. Positions in industrial and residential REITs were the largest contributors to performance. An underweight to office REITs also had a positive impact.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
AVERAGE ANNUAL TOTAL RETURN1 | |||||
1 Year | Annualized | Annualized | Annualized | Annualized | |
Real Estate Fund, Class F | -17.41% | -0.65% | 3.87% | 6.30% | 7.57% |
Real Estate Fund, Class I | -17.54% | -0.83% | 3.65% | 6.07% | 7.33% |
Real Estate Fund, Class Y | -17.18% | -0.39% | 4.13% | 6.51% | 7.68% |
Wilshire U.S. Real Estate Securities Index | -17.56% | -2.17% | 2.89% | 6.32% | 7.77% |
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 9/30/22. 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. For periods prior to 12/31/14, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed 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. |
38
SEI Institutional Managed Trust / Annual Report / September 30, 2022
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (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-advisors 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-advisors as of September 30, 2022: Jennison Associates LLC (Jennison), MetLife Investment Management, LLC (MetLife), Metropolitan West Asset Management LLC (MetWest), Allspring Global Investments, LLC (Allspring), Western Asset Management Company, LLC and Western Asset Management Company Limited (Western).
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2022, the Core Fixed Income Fund, Class F, returned -16.70%, while the Fund’s benchmark—the Bloomberg US Aggregate Bond Index, which tracks the performance of the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market—returned -14.60%.
IV. Performance Discussion
As noted in the shareholder letter, U.S. Treasury yields rose during the reporting period as the Federal Reserve (Fed) increased the target range for the Fed Funds rate to 3.00%-3.25% during the period after starting at a zero-interest-rate policy (ZIRP). Inflation moved from transitory to persistent as inflation metrics such as the Consumer Price Index (CPI) continue to reach multi-decade highs. The Fed has indicated to markets that it will do whatever it takes to get inflation under control, even if that includes some pain for financial markets. Spread sectors generated negative excess returns as risk assets reacted to tightening monetary policy. Securitized assets generally fared better than corporates as rising input costs had a negative impact on profit margins. Higher-quality asset-backed securities (ABS) underperformed comparable-duration U.S. Treasurys, but outperformed other spread sectors as unemployment remained tight and the health of the U.S. consumer remained in good shape. An allocation to AAA rated collateralized loan obligations (CLOs) benefited from rising interest rates, while agency mortgage-backed securities (MBS) sold off given the Fed’s balance-sheet reduction and rise in yields.
The Fund’s duration posture remained relatively long during the reporting period and detracted from performance as the Fed increased rates and the 10-year Treasury yield rose by nearly 240 basis points and closed the fiscal period at 3.83%. The Fund’s overweight to corporate bonds detracted from performance as spreads widened and security selection had a negative impact with the exception of utilities, which was a contributor. Within the corporate sector, managers generally moved to higher-conviction names with healthier balance sheets as recessionary risks continued to rise. Security selection with agency MBS enhanced Fund performance as managers preferred specified pools over to-be-announced (TBA) securities.
All managers underperformed for the period, most notably Western and Metwest. Western’s long-duration posture weighed on performance as interest rates rose significantly over the period. An overweight to credit also was a detractor. MetWest’s underperformance was attributable in part to overweights to MBS and ABS, while security selection within the financials sector was a contributor. Metlife, Allspring, and Jennison all underperformed, but their returns were closer to that of the benchmark. Allspring’s selection in agency MBS added to performance; however, this was offset by an overweight to corporates. Defensive positioning with the corporate sector bolstered Jennison’s performance, while the yield-curve positioning detracted. MetLife’s security selection within the corporate sector weighed on performance for the period.
The Fund employed futures, swaps and options to help manage duration, yield-curve positioning, and credit exposure. These positions detracted slightly from Fund performance during the reporting period. To a limited extent, the Fund used currency-forward contracts to manage currency exposure, which had a negative impact on performance.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
39
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (Unaudited)
Core Fixed Income Fund (Concluded)
AVERAGE ANNUAL TOTAL RETURN1 | |||||
1 Year |
|
|
| Annualized | |
Core Fixed Income Fund, Class F | -16.70% | -3.56% | -0.50% | 1.03% | 5.25% |
Core Fixed Income Fund, Class I | -16.99% | -3.80% | -0.73% | 0.80% | 4.88% |
Core Fixed Income Fund, Class Y | -16.56% | -3.36% | -0.26% | 1.21% | 5.30% |
Bloomberg US Aggregate Bond Index | -14.60% | -3.26% | -0.27% | 0.89% | 5.42% |
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 US Aggregate Bond Index
1 | For the year ended 9/30/22. 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 6/29/07 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 6/30/15. For periods prior to 6/30/15, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed 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. |
40
SEI Institutional Managed Trust / Annual Report / September 30, 2022
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (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-advisors 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-advisors are managed directly by SIMC. The Fund utilized the following sub-advisors as of September 30, 2022: Ares Capital Management II LLC (Ares), Benefit Street Partners, LLC (Benefit Street), Brigade Capital Management, LLC (Brigade), J.P. Morgan Investment Management Inc. (JP Morgan) and T. Rowe Price Associates, Inc. (T. Rowe Price).
III. Returns
For the full-year ended September 30, 2022, the High Yield Bond Fund, Class F, returned -12.98%. The Fund’s benchmark—the ICE BofA US High Yield Constrained Index, which tracks the performance of below-investment-grade, U.S. dollar-denominated corporate bonds publicly issued in the U.S. domestic market—returned -14.06%.
IV. Performance Discussion
The reporting period was tumultuous for below-investment-grade markets as materially higher interest rates and growing fears of a recession resulted in massive losses. As noted in the shareholder letter, the period began on a positive note, but sentiment changed along with the calendar and, despite a few bear-market bounces, has yet to stage a persistent recovery. The -14.06% return of the ICE BofA US High Yield Constrained Index over the 12-month period is among its worst annual return historically, despite spreads remaining well below levels generally associated with a recession. This shows how significant changes in U.S. Treasury yields can be for traditional fixed-income assets. The market yield began the period at 4.10%, reached a period low of 4.09% on November 8, 2021, and finished the period at 9.60% — the highest level for the period. The market spread began the period at 316 basis points (bps), reached a low of 303 bps in late December 2021, and a high of 601 bps in early July 2022, and finished the period at 545 bps. B-rated bonds were the top performers within the ICE BofA US High Yield Constrained Index for the period, returning -13.55%, followed by BB-rated bonds, down 13.64%, and CCC-rated bonds, which lost 17.60%. The energy sector remained the largest within the high-yield market, and it easily outperformed the broader market, returning approximately -8% over the reporting period.
The allocation to structured credit (collateralized loan obligations - CLOs) was the top contributor to Fund performance for the period. The floating-rate coupons of bank loans, which increase along with Federal Reserve rate hikes, allowed the asset class to hold up much better, with a modest 3% decline. CLOs generally track the bank loan market and were also down slightly over the past 12 months. The CLO allocation remained composed primarily of equity tranches, which outperformed amid the benign default conditions. Defaults are expected to increase over the next 12 months, but not to extreme levels, and we feel that our holdings are positioned to deliver attractive relative returns. Selection within basic industry (primarily chemicals) and energy further contributed to Fund performance for the period. Security selection within the health care sector, and overweights and security selection within media (primarily media content), and services were detractors.
All managers outperformed during the reporting period, with the exception of T. Rowe Price. SIMC was the best-performing manager in the Fund, as its off-benchmark allocation to the CLO market outperformed the high-yield bond market over the period. Ares benefited from an overweight to and security selection within energy and healthcare. Selection within leisure, an underweight and selection within services, an overweight and selection within technology & electronics, and selection within media detracted from performance. Benefit Street outperformed due to an overweight and security selection within transportation, and selection within technology & electronics and healthcare. Detractors included an overweight and selection within media, as well as underweights and selection within the leisure and automotive sectors. Brigade benefited from selection within basic industry and energy, and an overweight and selection within leisure, while it was challenged by an overweight and selection within health care, media, and financial services. J.P. Morgan was bolstered by selection within leisure, basic industry and telecommunications, while an overweight and selection within healthcare, a lack of insurance exposure, and an underweight to utility had a negative impact. T. Rowe Price benefited from an overweight and selection within the energy sector, an underweight and selection within banking, and selection within retail. Conversely, selection within media and telecommunications, as well as an overweight and selection within consumer goods, weighed on performance.
The Fund used derivatives throughout the fiscal year ending September 30, 2022, to help manage duration, yield-curve positioning and spread duration more efficiently. High-yield credit-default swap index futures were used for this
SEI Institutional Managed Trust / Annual Report / September 30, 2022
41
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (Unaudited)
High Yield Bond Fund (Concluded)
purpose, and they had a negligible impact on overall Fund performance.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results. Diversification may not protect against market risk.
AVERAGE ANNUAL TOTAL RETURN1 | |||||
1 Year | Annualized | Annualized | Annualized | Annualized | |
High Yield Bond Fund, Class F | -12.98% | 0.73% | 2.05% | 4.03% | 6.37% |
High Yield Bond Fund, Class I | -13.14% | 0.59% | 1.82% | 3.70% | 6.06% |
High Yield Bond Fund, Class Y | -12.77% | 0.98% | 2.33% | 4.23% | 6.44% |
ICE BofA US High Yield Constrained Index | -14.06% | -0.70% | 1.39% | 3.86% | 6.65% |
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 ICE BofA US High Yield Constrained Index
1 | For the year ended 9/30/22. 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. For periods prior to 12/31/14, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed 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. |
42
SEI Institutional Managed Trust / Annual Report / September 30, 2022
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (Unaudited)
Conservative Income Fund
I. Objective
The Conservative Income Fund (the “Fund”) seeks principal preservation and a high degree of liquidity while providing current income.
II. Investment Approach
The Fund uses a sub-advisor to manage the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (SIMC). The sole sub-advisor as of September 30, 2022, was BlackRock Advisors, LLC (BlackRock).
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2022, the Conservative Income Fund, Class F, returned 0.65%. The Fund’s benchmark—the ICE BofA 3-Month U.S. Treasury Bill Index, which tracks the performance of three-month Treasury bills—returned 0.62%.
Although the Fund’s performance is benchmarked against the return of the ICE BofA 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 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
As noted in the shareholder letter, U.S. Treasury yields in the front end of the curve rose during the fiscal year as the Federal Reserve (Fed) moved away from a zero-interest-rate policy (ZIRP) and increased the target range on the Fed Funds rate to 3.00%-3.25%. Treasury-bill supply was generally lower over the year as peak inflation led to higher-than-expected tax receipts. Front-end demand remained elevated, as represented by the Fed’s reverse purchase agreement (RRP) program, which maintained balances above $2 trillion for much of the reporting period.
During the fiscal year, BlackRock benefited from positions in commercial paper and certificates of deposit (which have a yield pick-up relative to comparable-duration Treasurys). Fund performance over the full reporting period reflected the rising-yield environment as the three-month London Interbank Offered Rate (Libor) increased by 362 basis points.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
AVERAGE ANNUAL TOTAL RETURN1 | ||||
1 Year | Annualized | Annualized | Annualized | |
Conservative Income Fund, Class F | 0.65% | 0.54% | 1.10% | 1.01% |
Conservative Income Fund, Class Y | 0.70% | 0.62% | 1.19% | 1.10% |
ICE BofA 3-Month U.S. Treasury Bill Index | 0.62% | 0.59% | 1.15% | 1.02% |
Comparison of Change in the Value of a $100,000 Investment in the Conservative Income Fund, Class F and Class Y, versus the ICE BofA 3-Month US Treasury Bill Index
1 | For the year ended 9/30/22. 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. |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
43
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (Unaudited)
Tax-Free Conservative Income Fund
I. Objective
The Tax-Free Conservative Income Fund (the “Fund”) seeks to preserve principal value and maintain a high degree of liquidity while providing current income exempt from federal income taxes.
II. Investment Approach
The Fund uses a sub-advisor to manage the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (SIMC). The sole sub-advisor as of September 30, 2022, was BlackRock Advisors, LLC (BlackRock).
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2022, the Tax-Free Conservative Income Fund, Class F, returned 0.29%. The Fund’s benchmark—the ICE BofA 3-Month U.S. Treasury Bill Index, which tracks the performance of three-month Treasury bills—returned 0.62%.
Although the Fund’s performance is benchmarked against the return of the ICE BofA 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 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
As noted in the shareholder letter, U.S. Treasury yields in the front end of the curve rose during the 12-month period ending September 30, 2022, as the Federal Reserve (Fed) moved away from a zero-interest-rate policy (ZIRP) and increased the target range on the Fed Funds rate to 3.00%-3.25%. T-Bill supply was generally lower relative to that of the previous year as peak inflation led to higher-than-expected tax receipts, while municipal bonds benefited overall from reduced issuance given strong surplus balance sheets. Front-end demand remained elevated, as represented by the Fed’s Reverse Repurchase Facility (RRP), which maintained balances above $2 trillion for much of the reporting period.
BlackRock benefited from its position in municipal commercial paper during the period. Positions in variable-
rate demand notes (VRDNs) linked to the seven-day SIFMA Swap Index contributed to Fund performance; this index has no duration, so the position in VDRNs added to Fund performance as yields moved higher over the reporting period.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
AVERAGE ANNUAL TOTAL RETURN1 | ||||
1 Year | Annualized | Annualized | Annualized | |
Tax-Free Conservative Income Fund, Class F | 0.29% | 0.31% | 0.66% | 0.61% |
Tax-Free Conservative Income Fund, Class Y | 0.44% | 0.43% | 0.77% | 0.71% |
ICE BofA 3-Month U.S. Treasury Bill Index | 0.62% | 0.59% | 1.15% | 1.02% |
Comparison of Change in the Value of a $100,000 Investment in the Tax-Free Conservative Income Fund, Class F and Class Y, versus the ICE BofA 3-Month U.S. Treasury Bill Index
1 | For the year ended 9/30/22. 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. |
44
SEI Institutional Managed Trust / Annual Report / September 30, 2022
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (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
During the one-year period ending September 30, 2022, the Fund was managed by the SEI Fixed Income Portfolio Management Team of SEI Investments Management Corporation (SIMC).
III. Returns
For the full year ended September 30, 2022, the Real Return Fund, Class F, returned -4.52%. The Fund’s benchmark—Bloomberg 1-5 Year U.S. TIPS Index, which tracks the performance of inflation-protected public obligations of the U.S. Treasury that have a remaining maturity of one to five years—returned -4.09%.
IV. Performance Discussion
As noted in the shareholder letter, with inflation running at levels not witnessed since the early 1980s, central banks across the developed world pivoted to an increasingly hawkish monetary policy stance during the 12-month period ending September 30, 2022. This aggressive policy shift pushed yields sharply higher. Exacerbating the pain of the yield selloff, the long-running bond bull market resulted in unfavorable starting conditions, leaving coupon income insufficient to offset the price depreciation of rising yields. This culminated to deliver historically poor performance for global fixed income markets over the period.
Real rates were severely hampered by the hawkish pivot of central banks leading to breakeven inflation rates tightening across the yield curve during the reporting period. Five-year breakevens tightened during the year, as elevated recession risk weighed on forward-looking inflation expectations. Despite the sharply higher repricing of real rates and the contraction of inflation breakeven rates, U.S. Treasury Inflation-Protected Securities (TIPS) still outperformed conventional bonds as high realized inflation delivered impressive inflation-accretion returns.
Through the Fund’s exposure to TIPS, performance was within our expectations as the Fund manager aimed to replicate the performance of the Bloomberg 1-5 Year US TIPS Index.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
AVERAGE ANNUAL TOTAL RETURN1 | ||||||
1 Year |
|
|
| Annualized | ||
Real Return Fund, Class F | -4.52% | 1.80% | 1.75% | 0.74% | 1.63% | |
Real Return Fund, Class Y | -4.40% | 1.92% | 1.87% | 0.84% | 1.70% | |
Bloomberg 1-5 Year U.S. TIPS Index | -4.09% | 2.27% | 2.24% | 1.21% | 2.08% |
Comparison of Change in the Value of a $100,000 Investment in the Real Return Fund, Class F and Class Y, versus the Bloomberg 1-5 Year U.S. TIPS Index
1 | For the year ended 9/30/22. 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. For periods prior to 12/31/14, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed 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. |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
45
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (Unaudited)
Dynamic Asset Allocation Fund
I. Objective
The Dynamic Asset Allocation Fund (the “Fund”) seeks long-term total return.
II. Investment Approach
The Fund uses a sub-advisor to manage the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (SIMC). The sole sub-advisor as of September 30, 2022, was SSGA Funds Management, Inc. (SSGA).
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2022, the Dynamic Asset Allocation Fund, Class F, returned -13.56%. The Fund’s benchmark—the S&P 500 Index (Gross), which tracks the performance of approximately 500 large-cap U.S. companies—returned -15.47%.
IV. Performance Discussion
A majority of the Fund’s volatility is typically driven by strategic exposure to the S&P 500 Index, which served as the most significant driver of the Fund’s return during the period. The fund’s tactical trades contributed positively to both absolute and relative returns.
The U.S. equity market began the fiscal year with positive performance in the fourth quarter of 2021. However, as noted in the shareholder letter, in the next three quarters of the fiscal year, the U.S. equity market was under pressure as the Federal Reserve (Fed) aggressively focused on monetary tightening to bring inflation under control. Within the S&P 500 Index, energy was the best-performing sector during the fiscal year, followed by utilities and consumer staples. The communication services sector was the worst performer, followed by consumer discretionary and information technology. As the market moved into a risk-off environment, the typically more defensive sectors experienced favorable relative performance versus more growth-oriented sectors in the market.
The largest contributors to the Fund’s relative performance for the reporting period were two options on 30-year U.S. payer swap rates, which benefited from higher U.S. Treasury yields. The Fund’s position in the Bloomberg Commodity Index through total-return swaps also bolstered performance. Commodities continued to benefit from tight supply conditions across a number of markets, coupled with the geopolitical impact from Russia’s invasion of Ukraine. A position in a 5y5y overnight index swap (OIS) benefitted from tighter Fed monetary policy. This position was initiated
as a proxy for the Federal Funds terminal rate. A swap on 10-year U.S. Consumer Price Index (CPI) benefited from higher inflation expectations in the U.S. A position in the Goldman Sachs U.S. Financial Conditions Index via a total return swap contributed to Fund performance as Fed policy has resulted in tighter financial conditions in the U.S.
The largest detractor from relative performance for the period was an equity tilt in the portfolio via an S&P 500 Equal Weight total return swap and MSCI EAFE Index futures. This position was closed out during the fiscal year.
The Fund used equity index futures, interest-rate swaps, interest-rate swaptions, total return swaps, total-return swaps, options on equity indices and currency forwards. Derivatives had a meaningful impact on Fund relative performance during the period. Interest-rate swaps and swaptions garnered positive performance during the period, benefitting from higher U.S. interest rates. Equity index futures detracted from Fund performance as equities experienced negative performance during the reporting period. The Fund has a controlled foreign corporation designed to provide commodity exposure, primarily through commodity total-return swaps. This exposure contributed to the total return over the period. Options on equity indices experienced negative performance for the period. Forward-currency contracts did not have a meaningful impact on performance over the fiscal year.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
AVERAGE ANNUAL TOTAL RETURN1 | ||||
1 Year | Annualized 3 Year |
5 Year | Annualized | |
Dynamic Asset Allocation Fund, Class F | -13.56% | 9.70% | 8.39% | 8.81% |
Dynamic Asset Allocation Fund, Class Y | -13.44% | 9.92% | 8.64% | 9.06% |
S&P 500 Index (Gross) | -15.47% | 8.16% | 9.24% | 9.73% |
46
SEI Institutional Managed Trust / Annual Report / September 30, 2022
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 (Gross)
1 | For the year ended 9/30/22. 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. |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
47
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (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-advisors. During the fiscal year ending September 30, 2022, the Fund allocated its assets among unaffiliated funds and one affiliated fund.
The Fund utilized the following sub-advisors as of September 30, 2022: Brigade Capital Management, LP (Brigade), Emso Asset Management Limited (EMSO), Global Credit Advisers, LLC (GCA), Kettle Hill Capital Management, LLC (Kettle Hill), Mountaineer Partners Management, LLC (Mountaineer), Putnam Investment Management, LLC (Putnam) and Ramius Advisors, LLC (Ramius).
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full-year ended September 30, 2022, the Multi-Strategy Alternative Fund, Class F, returned -7.24%. The Fund’s benchmark—the ICE BofA U.S. 3-Month Treasury Bill Index, which tracks the performance of three-month Treasury bills—returned 0.62%.
Although the Fund’s performance is benchmarked against the return of the ICE BofAML US 3-Month 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 fiscal year ending September 30, 2022, was dominated by a sharp global economic reversal, as most central banks moved from a policy of monetary policy stimulus to tightening. This was precipitated by evidence that the inflationary pressures that had been building throughout 2021 were not “transitory,” but were broad-based and persistent. The U.S. Federal Reserve (Fed) began to raise interest rates in March of 2022, and by the end of September, had increased the Fed Funds rate from near 0% to a range of 3.0% to 3.25%, sending a clear message that there are more rate hikes to come.
The Fed’s policy tightening wreaked havoc in asset markets during the reporting period. Global equities declined sharply in the first three quarters of 2022, with the U.S. broader-market S&P 500 Index entering bear market territory. Growth stocks (for example, technology companies), which are more sensitive to interest rates, fared even worse. Value stocks lost ground, but outperformed their growth counterparts. The fixed-income sector, which is traditionally considered a “safe haven” in volatile markets, also posted large losses as interest rates rose, credit spreads widened, and bond prices fell.
The downturns affected international markets as well, and were especially pronounced in emerging-market debt, which suffered from rising interest rates and also a much stronger U.S. dollar. The economic picture was further clouded by geopolitical events, namely Russia’s invasion of Ukraine in February 2022, as noted in the shareholder letter. Apart from the human tragedy, the invasion upended commodity markets and added to the upward pressure on energy prices, with particularly acute economic consequences for Europe.
Essentially all of the Fund’s losses came in the first three quarters of 2022. There were few bright spots as seven of the eight investment strategies recorded negative returns in 2022 and the remaining strategy saw essentially flat performance. While the market downturn had a negative impact on the Equity-Hedge strategy, it actually posted smaller losses than one may have expected. Managers Kettle Hill and Mountaineer limited losses to the low-single-digits due to their conservative positioning and shift towards value stocks. Putnam performed materially worse due to its focus on the underperforming technology sector.
In the Fund’s Relative Value sleeve, EMSO’s poor performance for the reporting period was attributable to its emphasis on emerging-market debt, which was affected disproportionally by higher U.S. interest rates. Brigade also sustained significant losses as the U.S. high-yield bond market sold off. GCA was able to protect capital, limiting
48
SEI Institutional Managed Trust / Annual Report / September 30, 2022
losses to low-single-digits, as the manager quickly shifted to a defensive stance.
The Event-Driven sleeve comprises two merger arbitrage strategies. The portfolio managed by Ramius saw significant volatility, especially in the second quarter of 2022, as merger spreads widened due to general risk aversion. On the bright side, the Merger Fund preserved capital and posted a virtually flat return for the period due to its diversified portfolio and avoidance of higher risk mergers-and-acquisitions (M&A) deals.
The only significant change involving managers over the Fund’s fiscal year was the reduction in the amount of capital allocated to Putnam by roughly 25%.
Derivatives used in the Fund comprised primarily of currency futures and forwards, interest-rate swaps, credit default swaps, and equity and equity-index options. The Fund’s sub-advisors primarily employed derivatives in the Fund for hedging and risk management. Derivatives were most commonly used to hedge currency and interest-rates risk when sub-advisors, particularly EMSO, held bonds issued by non-U.S. governments or corporations which may have been denominated in local currency. Sub-advisors, particularly Ramius and Putnam, commonly used equity puts and calls, in an effort to enhance returns or limit losses in common stock positions. On balance, derivatives performance had a positive impact on Fund performance during the period.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
AVERAGE ANNUAL TOTAL RETURN1 | |||||
1 Year | Annualized | Annualized | Annualized | Annualized | |
Multi-Strategy Alternative Fund, Class F | -7.24% | 1.85% | 1.49% | 1.81% | 1.41% |
Multi-Strategy Alternative Fund, Class Y | -7.09% | 2.10% | 1.73% | 1.99% | 1.55% |
ICE BofA U.S. 3-Month Treasury Bill Index | 0.62% | 0.59% | 1.15% | 0.68% | 0.57% |
Comparison of Change in the Value of a $100,000 Investment in the Multi-Strategy Alternative Fund, Class F and Class Y, versus the ICE BofA U.S. 3-Month Treasury Bill Index
1 | For the year ended 9/30/22. 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. For periods prior to 4/30/15, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed 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 ICE BofA U.S. 3-Month Treasury Bill Index, an investment in the Fund is substantially different from an investment in U.S. Treasury bill. 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. |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
49
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (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-advisors 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-advisors as of September 30, 2022: AQR Capital Management, LLC (AQR) and PanAgora Asset Management Inc. (PanAgora).
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2022, the Multi-Asset Accumulation Fund, Class F, returned -20.79%. The Fund’s blended benchmark—MSCI World Index (Net) Hedged (USD) Index (which tracks the equity-market performance of developed markets) (60%) and Bloomberg Global Aggregate Index, Hedged (USD) (which tracks the performance of investment-grade fixed-income securities denominated in 13 currencies) (40%)—returned -13.60%.
IV. Performance Discussion
Major asset-class performance was mixed during the fiscal year. As noted in the shareholder letter, global equities and global credit declined during the period as fears of a lasting global recession escalated and central bankers worldwide raised interest rates to combat stubbornly high inflation. Broad commodities gained ground (as measured by the Bloomberg Commodity Index) and reached a 10-year high in June 2022 on increased demand, coupled with constrained supply in certain markets, before supply-side concerns gave way to recession fears later over the third quarter of the year.
Risk assets were challenged by the worst inflation in four decades and the U.S. Federal Reserve’s (Fed) effort to combat it by raising interest rates. The Fed increased the federal funds rate by 300 basis points during the fiscal year. Potential economic recession in major developed countries further dampened investor sentiment for risk assets, while developed-market sovereign bonds exhibited weak performance as global interest rates increased over the period. Commodities were one of the best-performing assets classes during the fiscal year. Energy and agriculture experienced strong performance, especially as Russia’s
invasion of Ukraine disrupted the trade and supply of energy and food. Both industrial and precious metals recorded negative returns despite supply tightness and low stockpiles as mounting recessionary fears and slowing demand created headwinds.
The Fund’s relatively higher weight in sovereign bonds was the greatest detractor from relative performance. Developed bond markets experienced negative performance during the reporting period as global central banks lifted interest rates. Within the asset class, UK gilts plunged over the third quarter of 2022, as investors feared the new UK government’s tax and spending plans would balloon the country’s debt and stoke inflation. The Fund’s exposure to global inflation-linked bonds also detracted from performance as the longer-maturity debt within the asset class absorbed the largest losses. The Fund’s lower average concentration in global equities relative to its blended benchmark contributed to performance during the period as most global equity markets fell into bear-market territory. The Fund’s exposure to commodities was also a meaningful contributor to relative performance, bolstered by higher prices within the energy and agriculture sectors.
Among the Fund’s managers, both AQR and PanAgora experienced negative performance over the reporting period and underperformed the Fund’s blended benchmark. Exposure to global sovereign bonds and global inflation-linked bonds provided headwinds for both managers. Exposure to commodities, as well as an underweight to global equities, benefited Fund performance for both managers.
The Fund used equity index futures, bond index futures, interest-rate swaps, commodity futures, total-return swaps and currency forwards to provide cost-effective exposures to 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), produced negative performance as interest rates rose globally (on average) over the period. Globally, both developed-market and emerging-market equity futures (used for market exposure) detracted from performance. The Fund has a controlled foreign corporation designed to provide commodity exposure, primarily through commodity futures and, to a lesser degree, 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. This exposure contributed to the Fund’s total return over the period. Forward-currency contracts on emerging-market currencies (used for market exposure) contributed to both the Fund’s total and benchmark-relative returns.
50
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Forward currency contracts on developed-market currencies were principally used to hedge foreign-currency risk relative to the U.S. dollar. These exposures contributed to performance over the Fund’s fiscal year.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
AVERAGE ANNUAL TOTAL RETURN1 | ||||||
1 Year |
|
|
| Annualized | ||
Multi-Asset Accumulation Fund, Class F | -20.79% | -2.93% | 1.05% | 2.64% | 3.04% | |
Multi-Asset Accumulation Fund, Class Y | -20.57% | -2.71% | 1.27% | 2.82% | 3.21% | |
MSCI World Index (Net) (Hedged) (USD) | -14.98% | 6.34% | 7.15% | 9.97% | 9.84% | |
Bloomberg Global Aggregate Index, (Hedged) (USD) | -12.05% | -3.07% | 0.32% | 1.69% | 1.93% | |
60/40 Hybrid consisting of the MSCI World Index (Net) (Hedged) (USD) and Bloomberg Global Aggregate Index, (Hedged) (USD) | -13.60% | 2.82% | 4.67% | 6.79% | 6.82% |
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 Bloomberg Global Aggregate Index, (Hedged) (USD)
1 | For the year ended 9/30/22. 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. For periods prior to 12/31/14, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed 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. |
N/A — Not available.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
51
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (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-advisors 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-advisors as of September 30, 2022: Goldman Sachs Asset Management, L.P. (Goldman Sachs), SSGA Funds Management, Inc. (SSGA), Western Asset Management Company, LLC and Western Asset Management Company Limited (Western).
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2022, the Multi-Asset Income Fund, Class F, returned -16.13%. The Fund’s blended benchmark—Bloomberg US Aggregate Bond Index (which tracks the performance of the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market) (45%), the ICE BofA US High Yield Constrained Index (which tracks the performance of below-investment grade, U.S. dollar-denominated corporate bonds publicly issued in the U.S.) (40%) and the S&P 500 Index (Gross) (which tracks the performance of approximately 500 large U.S. companies that are considered representative of the broad U.S. stock market) (15%)—returned -14.36%.
IV. Performance Discussion
As noted in the shareholder letter, U.S. Treasury yields rose significantly over the year. Persistent inflation helped drive the Federal Reserve (Fed) to raise its federal funds rate a total of 300 basis points (bps) over five meetings during the 12-month period. After the Fed’s September 2022 meeting, projections from the central bank indicated that participants expected to increase interest rates by at least 125 bps in the two remaining meetings of 2022. Fed Chair Jerome Powell reiterated that lower growth and softer labor markets will likely be the unfortunate costs of hiking rates to fight inflation, and that expectations for a premature pivot to looser monetary policy probably will not come to fruition.
Credit markets were pressured by the rise in interest rates and spreads widened significantly, reflecting increasing pessimism about the economic outlook. Despite the widening in spreads, lower-quality segments of the
corporate credit market, such as high-yield bonds and bank loans, were the best performers over the period, as investors deemed that deterioration in credit quality or a sharp increase in defaults for high-yield bond issuers was unlikely. Securitized credit struggled, although the generally lower duration of the asset class provided some relief in a rising-yield environment. Emerging-market debt was challenged and underperformed developed-market bonds, as the appreciation of the U.S. dollar created a headwind for emerging-market borrowers to repay dollar-denominated debt.
The greatest detractors to Fund performance for the reporting period were an overweight to emerging-market debt and an underweight to high-yield securities. The Fund’s underweight to U.S. government bonds in favor of spread sectors benefited performance. Allocations to securitized assets contributed modestly to performance as securitized assets generally outperformed over the fiscal year.
Goldman Sachs detracted from performance due to its underweight to securitized credit. Western was a contributor, benefiting from its exposure to securitized credit, specifically bank loans, which were helped by their lack of duration in a rising-rate environment. SSGA’s covered-call strategy produced performance within expectations over the period; the manager benefited as its strategy outperformed the S&P 500 Index.
The Fund used total-return swaps on bond futures, interest-rate swaps and futures and options on exchange-traded funds, equity indexes, credit default swaps and currency forwards. The Fund employed derivatives for various reasons, including fixed-income relative value, to generate option income and hedge interest-rate risk. Derivatives had a meaningful impact on Fund performance for the period. The Fund used interest-rate futures to manage duration. This benefited Fund performance as rates increased during the period. Interest-rate swaps had a modestly positive impact on performance due to their short exposure. Options, which were used as part of the covered-call strategy, contributed to Fund performance. Currency forwards had a slightly positive impact on performance. Exposure to investment-grade credit and high-yield bonds through credit default swaps did not have a notable impact on Fund performance for the period.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
52
SEI Institutional Managed Trust / Annual Report / September 30, 2022
AVERAGE ANNUAL TOTAL RETURN1 | ||||||
1 Year |
|
|
| Annualized | ||
Multi-Asset Income Fund, Class F | -16.13% | -2.22% | 0.56% | 3.44% | 3.79% | |
Multi-Asset Income Fund, Class Y | -16.08% | -2.12% | 0.66% | 3.51% | 3.87% | |
Bloomberg U.S. Aggregate Bond Index | -14.60% | -3.26% | -0.27% | -0.27% | 1.14% | |
ICE BofA U.S. High Yield Constrained Index | -14.06% | -0.70% | 1.39% | 1.39% | 4.32% | |
S&P 500 Index (Gross) | -15.47% | 8.16% | 9.24% | 9.24% | 11.69% | |
45/40/15 Hybrid consisting of the Bloomberg U.S. Aggregate Bond Index, ICE BofA U.S. High Yield Constrained Index and S&P 500 Index (Gross) | -14.36% | -0.35% | 1.98% | 3.78% | 4.08% |
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 U.S. Aggregate Bond Index, ICE BofA U.S. High Yield Constrained Index, and S&P 500 Index (Gross)
1 | For the year ended 9/30/22. Past performance is not an indication of future performance. Class F shares were offered beginning 4/9/12. Class Y shares were offered beginning 12/31/14. For periods prior to 12/31/14, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed 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. |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
53
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (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-advisors 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-advisors as of September 30, 2022: AllianceBernstein L.P. (AllianceBernstein), Columbia Management Investment Advisers, LLC (Columbia), Credit Suisse Asset Management, LLC (Credit Suisse), and Franklin Advisors, Inc. (Franklin).
Columbia manages a wholly-owned subsidiary of the Fund. Columbia has delegated certain of its duties to Threadneedle International Ltd. as a sub-advisor. Credit Suisse also manages a wholly-owned subsidiary of the Fund.
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2022, the Multi-Asset Inflation Managed Fund, Class F, returned 5.10%. The Fund’s blended benchmark—the Bloomberg 1-5 Year US TIPS Index (70%), the Bloomberg Commodity Total Return Index (20%) and the S&P 500 Index (Gross) (which tracks the performance of approximately 500 large U.S. companies that are considered representative of the broad U.S. stock market) (10%)—returned -1.89%.
IV. Performance Discussion
Real assets experienced mixed performance over the fiscal year. As noted in the shareholder letter, commodities finished the period higher, while Treasury inflation-protected securities (TIPS) and U.S. equities recorded negative returns. Within commodities, energy and agriculture experienced strong performance, especially as the Russian invasion in Ukraine disrupted the trade and supply of energy and food; both the precious metals and industrial metals sectors posted negative returns for the year, despite supply tightness and low stockpiles as mounting recessionary fears and slowing demand created headwinds. TIPS fell 4.09% during the year (as measured by the Bloomberg 1-5 Year US TIPS Index). As noted in the shareholder letter, higher interest rates more than offset the increase in unexpected inflation.
Manager performance was mixed during the fiscal year. Franklin’s inflation-sensitive equity long/short strategy
benefited Fund performance; the energy sector was the largest positive contributor, while the strategy’s short position in consumer discretionary was one of the largest detractors. Security selection within the commodities sector was beneficial for the Fund’s commodities managers, Columbia and Credit Suisse, in aggregate. AllianceBernstein underperformed and was hurt by its overweight to credit-spread sectors, which detracted as spreads widened.
The Fund used commodity futures, commodity total-return swaps, bond-index futures, equity-index futures, options on futures and interest-rate swaps during the reporting period. The use of derivatives had a meaningful impact on Fund performance. The Fund employed short positions in U.S. Treasury futures and interest-rate swaps to hedge duration risk for a portion of the corporate bond exposure. The hedge contributed to the total return as interest rates increased. The Fund implemented a short position in global equity total-return swaps to hedge risk for a portion of the long equity positions. This hedge also contributed to fund performance, as global equity returns were negative. Within the Fund, a controlled foreign corporation was established to provide additional exposure to commodities, including commodity futures and commodity total-return swaps. The commodity futures, commodity total-return swaps and options on futures exposure, used to provide a strategic exposure to a diversified mix of underlying commodities, experienced positive performance for the period. The Fund used forward-currency contracts on developed-market currencies principally to hedge foreign-currency risk relative to the U.S. dollar; this did not have a meaningful impact on performance.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
54
SEI Institutional Managed Trust / Annual Report / September 30, 2022
AVERAGE ANNUAL TOTAL RETURN1 | ||||||
1 Year |
|
|
| Annualized | ||
Multi-Asset Inflation Managed Fund, Class F | 5.10% | 5.21% | 3.18% | 0.08% | 0.22% | |
Multi-Asset Inflation Managed Fund, Class Y | 5.36% | 5.47% | 3.44% | 0.26% | 0.40% | |
Bloomberg 1-5 Year U.S. TIPS Index | -4.09% | 2.27% | 2.24% | 1.21% | 1.23% | |
Bloomberg Commodity Index | 11.80% | 13.45% | 6.96% | -2.14% | -1.57% | |
S&P 500 Index (Gross) | -15.47% | 8.16% | 9.24% | 11.70% | 11.69% | |
70/20/10 Hybrid consisting of the Bloomberg 1-5 Year U.S. TIPS Index, Bloomberg Commodity Index and S&P 500 Index (Gross) | -1.89% | 5.38% | 4.14% | 1.76% | 1.75% |
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 Bloomberg 1-5 Year U.S. TIPS Index, Bloomberg Commodity Index and the S&P 500 Index (Gross).
1 | For the year ended 9/30/22. 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. For periods prior to 12/31/14, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed 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. |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
55
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
September 30, 2022 (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
The Fund uses a multi-manager approach, relying on a number of sub-advisors 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-advisors as of September 30, 2022: AllianceBernstein L.P. (AllianceBernstein) and Janus Henderson Investors US LLC (Janus).
No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2022, the Multi-Asset Capital Stability Fund, Class F, returned
-4.24%. The Fund’s blended benchmark—the Bloomberg 1-3 Year US Government/Credit Index (which measures the performance of investment-grade, U.S. dollar-denominated, fixed-rate Treasurys, government-related and corporate securities with maturities of 1 to 3 years) (95%) and S&P 500 Index (Gross) (which tracks the performance of approximately 500 large U.S. companies that are considered representative of the broad U.S. stock market) (5%)—returned -5.53%.
IV. Performance Discussion
Major asset-class performance was mixed during the fiscal year. As noted in the shareholder letter, global equities and global credit declined during the period as fears of a lasting global recession escalated and global central bankers raised interest rates to combat stubbornly high inflation. Developed-market sovereign bonds also exhibited weak performance as global interest rates increased over the period.
The Fund recorded negative absolute performance that remained within expectations for its mandate, and outperformed its blended benchmark over the full reporting period. Through most of the period, the Fund maintained below-average exposure to both equities and fixed income. The primary contributor to relative performance was the Fund’s ability to derisk to cash (and not U.S. Treasurys) during a volatile environment for both global equities and fixed income; the Fund’s relatively low duration and moderate interest-rate risk was able to largely sidestep the move higher in interest rates. The Fund’s
underweight to credit also contributed to performance. The Fund maintained a tactical position in U.S. Treasury inflation-protected securities (TIPS) that was a headwind as higher interest rates more than offset the increase in unexpected inflation.
Both AllianceBernstein and Janus experienced negative performance over the reporting period but outperformed the Fund’s blended benchmark. Janus benefited from its ability to de-risk to cash (and not U.S. Treasurys) during a volatile environment for both global equities and fixed income; its off-benchmark exposure to emerging-market equities detracted as the asset class suffered from the headwinds of tighter monetary conditions and a relentless rally in the U.S. dollar. AllianceBernstein benefited from its underweight to nominal Treasurys, which suffered two of their five worst quarterly selloffs ever during the period; an overweight to U.S. TIPS detracted as real rates moved higher on increasing expectations for Federal Reserve rate hikes.
The Fund used credit-default swaps, equity-index futures, bond-index futures, interest-rate swaps, equity options, interest-rate swaptions and currency forwards during the reporting period. 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. The use of stock index futures, primarily developed-market equities used for market exposure, resulted in negative performance during the Fund’s fiscal year. Interest-rate futures and swaps also detracted from performance over the period as interest rates increased globally on average. Small positions in credit-default swaps, used to gain exposure to high-yield and investment-grade credit, further detracted from Fund performance. Forward-currency contracts on developed-market currencies were principally used to hedge foreign-currency risk relative to the U.S. dollar. These hedges had a positive impact on Fund performance for the fiscal year.
Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.
56
SEI Institutional Managed Trust / Annual Report / September 30, 2022
AVERAGE ANNUAL TOTAL RETURN1 | ||||||
1 Year | Annualized | Annualized | Annualized | Annualized | ||
Multi-Asset Capital Stability Fund, Class F | -4.24% | 0.47% | 1.41% | 1.30% | 1.37% | |
Multi-Asset Capital Stability Fund, Class Y | -4.23% | 0.57% | 1.51% | 1.37% | 1.45% | |
Bloomberg 1-3 year U.S. Government/Credit Index | -5.07% | -0.41% | 0.70% | 0.81% | 0.84% | |
S&P 500 Index (Gross) | -15.47% | 8.16% | 9.24% | 11.70% | 11.69% | |
95/5 Hybrid consisting of Bloomberg 1-3 Year U.S. Government/Credit Index and S&P 500 Index (Gross) | -5.53% | 0.09% | 1.19% | 1.38% | 1.40% |
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 1-3 Year U.S. Government/Credit Index, and the S&P 500 Index (Gross).
1 | For the year ended 9/30/22. 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. For periods prior to 12/31/14, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed 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. |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
57
SCHEDULE OF INVESTMENTS
September 30, 2022
Large Cap Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Shares | Market Value | ||||||
COMMON STOCK — 99.0% | ||||||||
Communication Services — 6.0% | ||||||||
Alphabet Inc, Cl A * | 67,513 | $ | 6,458 | |||||
Alphabet Inc, Cl C * | 228,376 | 21,958 | ||||||
AT&T Inc | 76,885 | 1,179 | ||||||
Comcast Corp, Cl A | 142,077 | 4,167 | ||||||
Fox Corp, Cl A | 48,678 | 1,493 | ||||||
Live Nation Entertainment Inc * | 86,592 | 6,584 | ||||||
Meta Platforms Inc, Cl A * | 76,652 | 10,400 | ||||||
Netflix Inc * | 1,379 | 325 | ||||||
Nexstar Media Group Inc, Cl A | 7,733 | 1,290 | ||||||
Paramount Global, Cl B | 22,664 | 432 | ||||||
Take-Two Interactive Software Inc, Cl A * | 18,644 | 2,032 | ||||||
TEGNA Inc | 150,197 | 3,106 | ||||||
T-Mobile US Inc * | 62,799 | 8,426 | ||||||
Verizon Communications Inc | 280,734 | 10,660 | ||||||
Walt Disney Co/The * | 149,447 | 14,097 | ||||||
Warner Bros Discovery Inc * | 56,488 | 650 | ||||||
93,257 | ||||||||
Consumer Discretionary — 11.6% | ||||||||
Advance Auto Parts Inc | 32,751 | 5,120 | ||||||
Alibaba Group Holding ADR * | 27,851 | 2,228 | ||||||
Amazon.com Inc, Cl A * | 282,471 | 31,919 | ||||||
Autoliv Inc | 12,805 | 853 | ||||||
AutoZone Inc * | 1,731 | 3,708 | ||||||
Best Buy Co Inc | 53,582 | 3,394 | ||||||
Booking Holdings Inc * | 2,518 | 4,138 | ||||||
BorgWarner Inc | 204,343 | 6,416 | ||||||
Capri Holdings Ltd * | 66,333 | 2,550 | ||||||
Carnival Corp * | 75,978 | 534 | ||||||
Dick's Sporting Goods Inc (A) | 36,476 | 3,817 | ||||||
Dillard's Inc, Cl A | 7,630 | 2,081 | ||||||
Dollar General Corp | 41,094 | 9,857 | ||||||
Domino's Pizza Inc | 12,467 | 3,867 | ||||||
DR Horton Inc | 43,190 | 2,909 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
eBay Inc | 56,727 | $ | 2,088 | |||||
Foot Locker Inc, Cl A | 23,394 | 728 | ||||||
Ford Motor Co | 105,794 | 1,185 | ||||||
General Motors Co | 209,815 | 6,733 | ||||||
Goodyear Tire & Rubber Co/The * | 38,367 | 387 | ||||||
Harley-Davidson Inc, Cl A | 49,267 | 1,718 | ||||||
Kohl's Corp | 31,690 | 797 | ||||||
Lear Corp | 26,627 | 3,187 | ||||||
Lennar Corp, Cl A | 12,211 | 910 | ||||||
Lithia Motors Inc, Cl A | 10,129 | 2,173 | ||||||
Lowe's Cos Inc | 60,506 | 11,364 | ||||||
Magna International Inc, Cl A | 49,219 | 2,334 | ||||||
MercadoLibre Inc * | 1,300 | 1,076 | ||||||
MGM Resorts International | 188,891 | 5,614 | ||||||
NIKE Inc, Cl B | 89,182 | 7,413 | ||||||
O'Reilly Automotive Inc * | 1,186 | 834 | ||||||
PulteGroup Inc | 193,668 | 7,263 | ||||||
Ralph Lauren Corp, Cl A | 18,347 | 1,558 | ||||||
Ross Stores Inc | 119,268 | 10,051 | ||||||
Royal Caribbean Cruises Ltd * | 5,535 | 210 | ||||||
Starbucks Corp | 76,846 | 6,475 | ||||||
Target Corp, Cl A | 35,105 | 5,209 | ||||||
Tesla Inc * | 34,686 | 9,201 | ||||||
Thor Industries Inc | 40,679 | 2,847 | ||||||
Toll Brothers Inc | 48,368 | 2,031 | ||||||
Vail Resorts Inc | 3,358 | 724 | ||||||
Whirlpool Corp | 27,260 | 3,675 | ||||||
Williams-Sonoma Inc | 9,127 | 1,076 | ||||||
182,252 | ||||||||
Consumer Staples — 6.9% | ||||||||
Altria Group Inc | 46,068 | 1,860 | ||||||
Archer-Daniels-Midland Co | 5,437 | 437 | ||||||
Coca-Cola Co/The | 146,094 | 8,184 | ||||||
Coca-Cola Europacific Partners PLC | 89,238 | 3,803 | ||||||
Colgate-Palmolive Co | 118,734 | 8,341 | ||||||
Conagra Brands Inc | 265,977 | 8,679 | ||||||
Costco Wholesale Corp | 3,582 | 1,692 | ||||||
Haleon ADR * | 146,088 | 890 | ||||||
Hershey Co/The | 2,052 | 452 | ||||||
Ingredion Inc | 86,415 | 6,958 | ||||||
J M Smucker Co/The | 69,587 | 9,562 | ||||||
Kraft Heinz Co/The | 12,498 | 417 | ||||||
Kroger Co/The | 317,607 | 13,895 | ||||||
Molson Coors Beverage Co, Cl B | 30,456 | 1,462 | ||||||
Mondelez International Inc, Cl A | 47,375 | 2,597 | ||||||
PepsiCo Inc | 65,470 | 10,689 | ||||||
Philip Morris International Inc | 121,483 | 10,084 | ||||||
Procter & Gamble Co/The | 8,013 | 1,012 | ||||||
Sysco Corp, Cl A | 145,077 | 10,258 | ||||||
Tyson Foods Inc, Cl A | 105,363 | 6,947 |
58
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Walgreens Boots Alliance Inc | 38,987 | $ | 1,224 | |||||
109,443 | ||||||||
Energy — 4.5% | ||||||||
Antero Resources Corp * | 15,418 | 471 | ||||||
Baker Hughes Co, Cl A | 197,219 | 4,134 | ||||||
BP PLC ADR | 131,377 | 3,751 | ||||||
Canadian Natural Resources Ltd | 102,799 | 4,787 | ||||||
Chevron Corp | 84,335 | 12,117 | ||||||
ConocoPhillips | 86,961 | 8,900 | ||||||
Devon Energy Corp | 132,584 | 7,972 | ||||||
EOG Resources Inc | 15,571 | 1,740 | ||||||
Exxon Mobil Corp | 7,057 | 616 | ||||||
HF Sinclair Corp | 50,438 | 2,715 | ||||||
Marathon Petroleum Corp | 74,494 | 7,399 | ||||||
Phillips 66 | 44,348 | 3,580 | ||||||
Pioneer Natural Resources Co | 29,908 | 6,476 | ||||||
Shell PLC ADR | 30,942 | 1,540 | ||||||
Valero Energy Corp | 52,768 | 5,638 | ||||||
71,836 | ||||||||
Financials — 13.7% | ||||||||
Aflac Inc | 94,072 | 5,287 | ||||||
American Financial Group Inc/OH | 10,346 | 1,272 | ||||||
Ameriprise Financial Inc | 25,172 | 6,342 | ||||||
Bank of America Corp | 326,138 | 9,849 | ||||||
Bank of New York Mellon Corp/The | 19,244 | 741 | ||||||
Berkshire Hathaway Inc, Cl B * | 67,449 | 18,010 | ||||||
Capital One Financial Corp | 35,930 | 3,312 | ||||||
Charles Schwab Corp/The | 175,492 | 12,613 | ||||||
Citigroup Inc | 188,132 | 7,840 | ||||||
Citizens Financial Group Inc | 9,142 | 314 | ||||||
Discover Financial Services | 32,032 | 2,912 | ||||||
Everest Re Group Ltd | 1,843 | 484 | ||||||
Fifth Third Bancorp | 126,810 | 4,053 | ||||||
First American Financial Corp | 21,368 | 985 | ||||||
First Horizon Corp | 121,274 | 2,777 | ||||||
First Republic Bank/CA | 85,489 | 11,161 | ||||||
Goldman Sachs Group Inc/The | 3,354 | 983 | ||||||
Hartford Financial Services Group Inc/The | 83,818 | 5,192 | ||||||
JPMorgan Chase & Co | 80,157 | 8,376 | ||||||
KeyCorp | 107,415 | 1,721 | ||||||
Markel Corp * | 13,030 | 14,127 | ||||||
Marsh & McLennan Cos Inc | 62,972 | 9,401 | ||||||
Moody's Corp | 38,887 | 9,454 | ||||||
Morgan Stanley | 43,905 | 3,469 | ||||||
New York Community Bancorp Inc | 34,328 | 293 | ||||||
Popular Inc | 60,934 | 4,391 | ||||||
Progressive Corp/The | 57,358 | 6,666 | ||||||
Radian Group Inc | 16,498 | 318 | ||||||
Regions Financial Corp | 212,723 | 4,269 | ||||||
Reinsurance Group of America Inc, Cl A | 15,254 | 1,919 | ||||||
S&P Global Inc | 20,519 | 6,266 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Signature Bank/New York NY, Cl B | 17,115 | $ | 2,584 | |||||
Starwood Property Trust Inc ‡ | 32,387 | 590 | ||||||
State Street Corp | 101,461 | 6,170 | ||||||
Synchrony Financial | 108,206 | 3,050 | ||||||
US Bancorp | 323,806 | 13,056 | ||||||
Voya Financial Inc | 60,780 | 3,677 | ||||||
Wells Fargo & Co | 109,997 | 4,424 | ||||||
Willis Towers Watson PLC | 63,313 | 12,722 | ||||||
Zions Bancorp NA | 71,519 | 3,637 | ||||||
214,707 | ||||||||
Health Care — 15.9% | ||||||||
AbbVie Inc | 59,751 | 8,019 | ||||||
Acadia Healthcare Co Inc, Cl A * | 45,579 | 3,563 | ||||||
Agilent Technologies Inc | 32,444 | 3,944 | ||||||
AmerisourceBergen Corp, Cl A | 82,413 | 11,153 | ||||||
Amgen Inc, Cl A | 57,858 | 13,041 | ||||||
AstraZeneca PLC ADR | 85,913 | 4,711 | ||||||
Axonics Inc * | 4,899 | 345 | ||||||
Baxter International Inc | 113,683 | 6,123 | ||||||
Biogen Inc * | 2,286 | 610 | ||||||
Bristol-Myers Squibb Co | 155,447 | 11,051 | ||||||
Cardinal Health Inc | 12,980 | 865 | ||||||
Cigna Corp | 1,877 | 521 | ||||||
Cooper Cos Inc/The, Cl A | 5,574 | 1,471 | ||||||
CVS Health Corp | 185,443 | 17,686 | ||||||
Danaher Corp, Cl A | 43,061 | 11,122 | ||||||
DaVita Inc * | 4,103 | 340 | ||||||
DENTSPLY SIRONA Inc | 9,719 | 276 | ||||||
Edwards Lifesciences Corp, Cl A * | 34,783 | 2,874 | ||||||
Gilead Sciences Inc | 19,050 | 1,175 | ||||||
GSK ADR | 24,118 | 710 | ||||||
Horizon Therapeutics Plc * | 39,537 | 2,447 | ||||||
Humana Inc | 16,035 | 7,780 | ||||||
Jazz Pharmaceuticals PLC * | 28,183 | 3,756 | ||||||
Johnson & Johnson | 177,216 | 28,950 | ||||||
McKesson Corp | 37,517 | 12,751 | ||||||
Medtronic PLC | 80,577 | 6,507 | ||||||
Merck & Co Inc | 91,347 | 7,867 | ||||||
Mettler-Toledo International Inc * | 11,204 | 12,146 | ||||||
Natera Inc * | 72,929 | 3,196 | ||||||
Organon & Co | 15,833 | 370 | ||||||
Perrigo Co PLC | 77,382 | 2,759 | ||||||
Pfizer Inc | 237,127 | 10,377 | ||||||
Teleflex Inc | 23,390 | 4,712 | ||||||
Thermo Fisher Scientific Inc | 13,456 | 6,825 | ||||||
TransMedics Group Inc * | 35,600 | 1,486 | ||||||
UnitedHealth Group Inc | 46,343 | 23,405 | ||||||
Vertex Pharmaceuticals Inc * | 21,049 | 6,095 | ||||||
Zimmer Biomet Holdings Inc | 86,871 | 9,082 | ||||||
250,111 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
59
SCHEDULE OF INVESTMENTS
September 30, 2022
Large Cap Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Industrials — 9.2% | ||||||||
AerCap Holdings NV * | 62,810 | $ | 2,659 | |||||
AGCO Corp | 28,514 | 2,742 | ||||||
Alaska Air Group Inc * | 80,294 | 3,143 | ||||||
Allison Transmission Holdings Inc | 37,699 | 1,273 | ||||||
American Airlines Group Inc * | 147,592 | 1,777 | ||||||
AMETEK Inc | 38,760 | 4,396 | ||||||
Cummins Inc | 30,186 | 6,143 | ||||||
Delta Air Lines Inc, Cl A * | 64,342 | 1,805 | ||||||
Eaton Corp PLC | 36,869 | 4,917 | ||||||
FedEx Corp | 33,861 | 5,027 | ||||||
Fortive Corp | 171,178 | 9,980 | ||||||
General Electric Co | 70,202 | 4,346 | ||||||
GXO Logistics Inc * | 156,482 | 5,486 | ||||||
Honeywell International Inc | 113,389 | 18,933 | ||||||
Huntington Ingalls Industries Inc, Cl A | 10,975 | 2,431 | ||||||
IDEX Corp | 18,824 | 3,762 | ||||||
Jacobs Solutions Inc | 28,438 | 3,085 | ||||||
Lockheed Martin Corp | 7,508 | 2,900 | ||||||
ManpowerGroup Inc | 29,203 | 1,889 | ||||||
Norfolk Southern Corp | 6,491 | 1,361 | ||||||
Northrop Grumman Corp | 2,095 | 985 | ||||||
Owens Corning | 34,317 | 2,698 | ||||||
Parker-Hannifin Corp, Cl A | 25,904 | 6,277 | ||||||
Republic Services Inc | 2,552 | 347 | ||||||
Ryder System Inc | 14,973 | 1,130 | ||||||
Snap-on Inc | 8,649 | 1,742 | ||||||
Textron Inc | 56,360 | 3,284 | ||||||
Timken Co/The | 72,653 | 4,289 | ||||||
TransDigm Group Inc * | 23,745 | 12,462 | ||||||
Uber Technologies Inc * | 10,267 | 272 | ||||||
United Airlines Holdings Inc * | 23,047 | 750 | ||||||
United Parcel Service Inc, Cl B | 54,473 | 8,800 | ||||||
Westinghouse Air Brake Technologies Corp | 9,477 | 771 | ||||||
WW Grainger Inc | 25,940 | 12,690 | ||||||
144,552 | ||||||||
Information Technology — 21.7% | ||||||||
Adobe Inc * | 45,772 | 12,596 | ||||||
Advanced Micro Devices Inc * | 92,604 | 5,867 | ||||||
Amdocs Ltd | 42,052 | 3,341 | ||||||
Amkor Technology Inc | 51,908 | 885 | ||||||
Amphenol Corp, Cl A | 108,662 | 7,276 | ||||||
Apple Inc | 350,543 | 48,445 | ||||||
Applied Materials Inc | 60,065 | 4,921 | ||||||
Arrow Electronics Inc, Cl A * | 14,925 | 1,376 | ||||||
Automatic Data Processing Inc | 1,600 | 362 | ||||||
Cadence Design Systems Inc * | 20,149 | 3,293 | ||||||
Cisco Systems Inc | 151,519 | 6,061 | ||||||
Crowdstrike Holdings Inc, Cl A * | 21,093 | 3,476 | ||||||
Datadog Inc, Cl A * | 27,575 | 2,448 | ||||||
Dell Technologies Inc, Cl C | 24,102 | 824 | ||||||
DXC Technology Co * | 70,284 | 1,721 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
First Solar Inc * | 12,669 | $ | 1,676 | |||||
Fortinet Inc * | 15,777 | 775 | ||||||
Global Payments Inc | 148,513 | 16,047 | ||||||
Hewlett Packard Enterprise Co | 249,894 | 2,994 | ||||||
HP Inc | 173,068 | 4,313 | ||||||
Intel Corp | 118,591 | 3,056 | ||||||
International Business Machines Corp | 24,273 | 2,884 | ||||||
Intuit Inc | 46,564 | 18,035 | ||||||
Jabil Inc | 68,671 | 3,963 | ||||||
Juniper Networks Inc | 168,528 | 4,402 | ||||||
Microchip Technology Inc | 299,789 | 18,296 | ||||||
Micron Technology Inc | 45,152 | 2,262 | ||||||
Microsoft Corp | 222,410 | 51,799 | ||||||
Motorola Solutions Inc | 50,222 | 11,248 | ||||||
NetApp Inc | 7,231 | 447 | ||||||
NVIDIA Corp | 39,931 | 4,847 | ||||||
ON Semiconductor Corp * | 4,887 | 305 | ||||||
Oracle Corp, Cl B | 89,486 | 5,465 | ||||||
Palo Alto Networks Inc * | 21,639 | 3,544 | ||||||
Paychex Inc | 23,818 | 2,673 | ||||||
PayPal Holdings Inc * | 41,194 | 3,546 | ||||||
Qorvo Inc * | 8,524 | 677 | ||||||
QUALCOMM Inc | 62,595 | 7,072 | ||||||
Roper Technologies Inc | 21,778 | 7,832 | ||||||
salesforce.com * | 56,006 | 8,056 | ||||||
SAP SE ADR | 84,618 | 6,875 | ||||||
Seagate Technology Holdings PLC | 44,700 | 2,379 | ||||||
SolarEdge Technologies Inc * | 10,209 | 2,363 | ||||||
Teradyne Inc | 53,338 | 4,008 | ||||||
Trade Desk Inc/The, Cl A * | 34,054 | 2,035 | ||||||
Visa Inc, Cl A | 110,461 | 19,623 | ||||||
Vishay Intertechnology Inc | 115,899 | 2,062 | ||||||
VMware Inc, Cl A * | 16,249 | 1,730 | ||||||
Vontier Corp | 467,725 | 7,816 | ||||||
Xerox Holdings Corp | 58,641 | 767 | ||||||
Zebra Technologies Corp, Cl A * | 4,292 | 1,125 | ||||||
339,889 | ||||||||
Materials — 4.1% | ||||||||
Air Products and Chemicals Inc | 58,182 | 13,541 | ||||||
Berry Global Group Inc * | 31,426 | 1,462 | ||||||
Celanese Corp, Cl A | 37,618 | 3,398 | ||||||
Crown Holdings Inc | 65,796 | 5,332 | ||||||
DuPont de Nemours Inc | 38,689 | 1,950 | ||||||
Eastman Chemical Co | 73,135 | 5,196 | ||||||
Huntsman Corp | 180,232 | 4,423 | ||||||
International Flavors & Fragrances Inc | 13,914 | 1,264 | ||||||
International Paper Co | 39,192 | 1,242 | ||||||
Linde PLC | 21,885 | 5,900 | ||||||
Louisiana-Pacific Corp | 24,368 | 1,247 | ||||||
LyondellBasell Industries NV, Cl A | 3,410 | 257 | ||||||
Newmont Corp | 48,882 | 2,055 | ||||||
O-I Glass Inc, Cl I * | 23,882 | 309 |
60
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Packaging Corp of America | 4,398 | $ | 494 | |||||
PPG Industries Inc | 58,040 | 6,424 | ||||||
Reliance Steel & Aluminum Co | 8,194 | 1,429 | ||||||
Steel Dynamics Inc | 9,490 | 673 | ||||||
Sylvamo Corp | 17,925 | 608 | ||||||
Vulcan Materials Co | 40,048 | 6,316 | ||||||
Westrock Co | 8,670 | 268 | ||||||
63,788 | ||||||||
Real Estate — 3.1% | ||||||||
American Homes 4 Rent, Cl A ‡ | 227,098 | 7,451 | ||||||
American Tower Corp, Cl A ‡ | 55,725 | 11,964 | ||||||
Crown Castle International Corp ‡ | 70,972 | 10,259 | ||||||
Extra Space Storage Inc ‡ | 35,970 | 6,212 | ||||||
Gaming and Leisure Properties Inc ‡ | 87,103 | 3,854 | ||||||
Howard Hughes Corp/The *‡ | 35,813 | 1,984 | ||||||
Iron Mountain Inc ‡ | 24,500 | 1,077 | ||||||
Omega Healthcare Investors Inc ‡ | 57,992 | 1,710 | ||||||
Prologis Inc ‡ | 19,649 | 1,996 | ||||||
Sabra Health Care REIT Inc ‡ | 73,150 | 960 | ||||||
Service Properties Trust ‡ | 283,336 | 1,471 | ||||||
48,938 | ||||||||
Utilities — 2.3% | ||||||||
CenterPoint Energy Inc | 133,505 | 3,762 | ||||||
CMS Energy Corp | 21,421 | 1,248 | ||||||
Edison International | 104,559 | 5,916 | ||||||
FirstEnergy Corp | 182,591 | 6,756 | ||||||
NextEra Energy Inc | 25,266 | 1,981 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
NRG Energy Inc | 60,226 | $ | 2,305 | |||||
PPL Corp | 319,532 | 8,100 | ||||||
UGI Corp | 103,502 | 3,346 | ||||||
Vistra Corp | 114,510 | 2,405 | ||||||
35,819 | ||||||||
Total Common Stock | ||||||||
(Cost $1,209,558) ($ Thousands) | 1,554,592 | |||||||
AFFILIATED PARTNERSHIP — 0.1% | ||||||||
SEI Liquidity Fund, LP | ||||||||
2.930% **†(B) | 1,262,355 | 1,266 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $1,260) ($ Thousands) | 1,266 | |||||||
CASH EQUIVALENT — 1.0% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
2.600%**† | 15,251,869 | 15,252 | ||||||
Total Cash Equivalent | ||||||||
(Cost $15,252) ($ Thousands) | 15,252 | |||||||
Total Investments in Securities — 100.1% | ||||||||
(Cost $1,226,070) ($ Thousands) | $ | 1,571,110 | ||||||
A list of the open futures contracts held by the Fund at September 30, 2022 is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 Index E-MINI | 40 | Dec-2022 | $ | 7,892 | $ | 7,203 | $ | (689 | ) | |||||||||||
S&P Mid Cap 400 Index E-MINI | 2 | Dec-2022 | 448 | 441 | (7 | ) | ||||||||||||||
$ | 8,340 | $ | 7,644 | $ | (696 | ) |
| Percentages are based on Net Assets of $1,569,904 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2022. |
‡ | 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, 2022 (see Note 12). The total market value of securities on loan at September 30, 2022 was $1,141 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of September 30, 2022 was $1,266 ($ Thousands). |
The following is a summary of the level of inputs used as of September 30, 2022, 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 | 1,554,592 | – | – | 1,554,592 | ||||||||||||
Affiliated Partnership | – | 1,266 | – | 1,266 | ||||||||||||
Cash Equivalent | 15,252 | – | – | 15,252 | ||||||||||||
Total Investments in Securities | 1,569,844 | 1,266 | – | 1,571,110 |
Other Financial Instruments | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | (696 | ) | – | – | (696 | ) | ||||||||||
Total Other Financial Instruments | (696 | ) | – | – | (696 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
61
SCHEDULE OF INVESTMENTS
September 30, 2022
Large Cap Fund (Concluded)
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
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, 2022 ($ Thousands):
Security Description | Value 9/30/2021 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 9/30/2022 | Shares | Income | Capital Gains | |||||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 16,145 | $ | 84,045 | $ | (98,923 | ) | $ | — | $ | (1 | ) | $ | 1,266 | 1,262,355 | $ | 23 | $ | — | |||||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | 19,853 | 327,214 | (331,815 | ) | — | — | 15,252 | 15,251,869 | 113 | 1 | ||||||||||||||||||||||||||
Totals | $ | 35,998 | $ | 411,259 | $ | (430,738 | ) | $ | — | $ | (1 | ) | $ | 16,518 | $ | 136 | $ | 1 |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
62
SEI Institutional Managed Trust / Annual Report / September 30, 2022
SCHEDULE OF INVESTMENTS
September 30, 2022
Large Cap Value Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as |
options, futures contracts, forward contracts, and swap contracts, if applicable.
Description | Shares | Market Value | ||||||
COMMON STOCK — 98.4% | ||||||||
Communication Services — 6.3% | ||||||||
AT&T Inc | 1,031,235 | $ | 15,819 | |||||
BCE Inc (A) | 272,263 | 11,419 | ||||||
Comcast Corp, Cl A | 396,511 | 11,630 | ||||||
Fox Corp, Cl A | 114,572 | 3,515 | ||||||
Meta Platforms Inc, Cl A * | 81,306 | 11,032 | ||||||
Nexstar Media Group Inc, Cl A | 7,601 | 1,268 | ||||||
Paramount Global, Cl B | 47,731 | 909 | ||||||
TEGNA Inc | 131,658 | 2,723 | ||||||
T-Mobile US Inc * | 49,749 | 6,675 | ||||||
Verizon Communications Inc | 174,796 | 6,637 | ||||||
Walt Disney Co/The * | 49,774 | 4,695 | ||||||
Warner Bros Discovery Inc * | 235,617 | 2,709 | ||||||
79,031 | ||||||||
Consumer Discretionary — 7.8% | ||||||||
Autoliv Inc | 22,443 | 1,496 | ||||||
Best Buy Co Inc | 56,534 | 3,581 | ||||||
Booking Holdings Inc * | 1,165 | 1,914 | ||||||
BorgWarner Inc | 26,597 | 835 | ||||||
Carnival Corp * | 115,551 | 812 | ||||||
Dick's Sporting Goods Inc (A) | 20,614 | 2,157 | ||||||
Dillard's Inc, Cl A | 10,481 | 2,859 | ||||||
DR Horton Inc | 32,509 | 2,190 | ||||||
eBay Inc | 41,518 | 1,528 | ||||||
Foot Locker Inc, Cl A | 44,858 | 1,396 | ||||||
Ford Motor Co | 185,547 | 2,078 | ||||||
General Motors Co | 241,473 | 7,749 | ||||||
Genuine Parts Co | 132,329 | 19,759 | ||||||
Goodyear Tire & Rubber Co/The * | 217,723 | 2,197 | ||||||
Harley-Davidson Inc, Cl A | 31,143 | 1,086 | ||||||
Kohl's Corp | 41,773 | 1,050 | ||||||
Lear Corp | 12,142 | 1,453 | ||||||
Lennar Corp, Cl A | 10,600 | 790 | ||||||
Lithia Motors Inc, Cl A | 9,683 | 2,078 | ||||||
Lowe's Cos Inc | 47,666 | 8,952 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Magna International Inc, Cl A | 27,465 | $ | 1,303 | |||||
PulteGroup Inc | 197,768 | 7,416 | ||||||
Royal Caribbean Cruises Ltd * | 22,429 | 850 | ||||||
Target Corp, Cl A | 98,887 | 14,674 | ||||||
Thor Industries Inc | 20,376 | 1,426 | ||||||
Whirlpool Corp | 24,849 | 3,350 | ||||||
Williams-Sonoma Inc | 23,528 | 2,773 | ||||||
97,752 | ||||||||
Consumer Staples — 8.0% | ||||||||
Altria Group Inc | 207,317 | 8,371 | ||||||
Archer-Daniels-Midland Co | 6,119 | 492 | ||||||
Conagra Brands Inc | 146,906 | 4,794 | ||||||
Diageo PLC ADR | 37,752 | 6,411 | ||||||
Haleon PLC ADR (A) | 281,752 | 1,716 | ||||||
Ingredion Inc | 83,947 | 6,760 | ||||||
J M Smucker Co/The | 17,549 | 2,411 | ||||||
Kimberly-Clark Corp | 77,089 | 8,676 | ||||||
Kraft Heinz Co/The | 56,221 | 1,875 | ||||||
Kroger Co/The | 285,342 | 12,484 | ||||||
Molson Coors Beverage Co, Cl B | 104,071 | 4,994 | ||||||
Philip Morris International Inc | 181,374 | 15,056 | ||||||
Procter & Gamble Co/The | 16,629 | 2,099 | ||||||
Tyson Foods Inc, Cl A | 147,143 | 9,701 | ||||||
Unilever PLC ADR | 172,247 | 7,551 | ||||||
Walgreens Boots Alliance Inc | 146,771 | 4,609 | ||||||
Walmart Inc | 9,909 | 1,285 | ||||||
99,285 | ||||||||
Energy — 7.6% | ||||||||
BP PLC ADR | 137,941 | 3,938 | ||||||
Canadian Natural Resources Ltd | 52,201 | 2,431 | ||||||
Chevron Corp | 153,812 | 22,098 | ||||||
ConocoPhillips | 195,001 | 19,956 | ||||||
Devon Energy Corp | 61,920 | 3,723 | ||||||
Exxon Mobil Corp | 259,550 | 22,662 | ||||||
HF Sinclair Corp | 33,815 | 1,821 | ||||||
Marathon Petroleum Corp | 93,598 | 9,297 | ||||||
Phillips 66 | 15,015 | 1,212 | ||||||
Shell PLC ADR | 61,589 | 3,065 | ||||||
Valero Energy Corp | 42,050 | 4,493 | ||||||
94,696 | ||||||||
Financials — 18.9% | ||||||||
Aflac Inc | 86,434 | 4,858 | ||||||
Allstate Corp/The | 34,766 | 4,329 | ||||||
Ally Financial Inc | 9,091 | 253 | ||||||
American Financial Group Inc/OH | 20,349 | 2,501 | ||||||
Ameriprise Financial Inc | 23,214 | 5,849 | ||||||
Annaly Capital Management Inc ‡ | 66,321 | 1,138 | ||||||
Bank of America Corp | 623,733 | 18,837 | ||||||
Bank of New York Mellon Corp/The | 191,211 | 7,365 | ||||||
Berkshire Hathaway Inc, Cl B * | 40,463 | 10,804 | ||||||
Capital One Financial Corp | 28,002 | 2,581 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
63
SCHEDULE OF INVESTMENTS
September 30, 2022
Large Cap Value Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Charles Schwab Corp/The | 39,902 | $ | 2,868 | |||||
Chubb Ltd | 85,357 | 15,525 | ||||||
Citigroup Inc | 538,848 | 22,454 | ||||||
Citizens Financial Group Inc | 104,794 | 3,601 | ||||||
Discover Financial Services | 35,862 | 3,261 | ||||||
Fifth Third Bancorp | 113,014 | 3,612 | ||||||
First American Financial Corp | 19,225 | 886 | ||||||
First Horizon Corp | 21,614 | 495 | ||||||
Goldman Sachs Group Inc/The | 6,327 | 1,854 | ||||||
Hartford Financial Services Group Inc/The | 40,505 | 2,509 | ||||||
JPMorgan Chase & Co | 171,797 | 17,953 | ||||||
KeyCorp | 125,944 | 2,018 | ||||||
Lincoln National Corp | 29,914 | 1,314 | ||||||
MetLife Inc | 85,353 | 5,188 | ||||||
Morgan Stanley | 228,481 | 18,052 | ||||||
New York Community Bancorp Inc | 299,179 | 2,552 | ||||||
Popular Inc | 58,412 | 4,209 | ||||||
Principal Financial Group Inc, Cl A | 7,865 | 567 | ||||||
Prudential Financial Inc | 60,510 | 5,191 | ||||||
Radian Group Inc | 35,327 | 681 | ||||||
Regions Financial Corp | 201,984 | 4,054 | ||||||
Reinsurance Group of America Inc, Cl A | 21,858 | 2,750 | ||||||
State Street Corp | 47,517 | 2,889 | ||||||
Synchrony Financial | 153,808 | 4,336 | ||||||
T Rowe Price Group Inc | 8,660 | 909 | ||||||
Travelers Cos Inc/The | 48,773 | 7,472 | ||||||
Truist Financial Corp | 211,571 | 9,212 | ||||||
Unum Group | 55,915 | 2,169 | ||||||
Voya Financial Inc | 94,607 | 5,724 | ||||||
Wells Fargo & Co | 377,180 | 15,170 | ||||||
Willis Towers Watson PLC | 16,379 | 3,291 | ||||||
Zions Bancorp NA | 79,407 | 4,039 | ||||||
235,320 | ||||||||
Health Care — 16.7% | ||||||||
AbbVie Inc | 26,369 | 3,539 | ||||||
Amgen Inc, Cl A | 23,430 | 5,281 | ||||||
AstraZeneca PLC ADR | 54,158 | 2,970 | ||||||
Biogen Inc * | 10,497 | 2,803 | ||||||
Bristol-Myers Squibb Co | 183,512 | 13,046 | ||||||
Cardinal Health Inc | 55,061 | 3,671 | ||||||
Cigna Corp | 22,581 | 6,266 | ||||||
CVS Health Corp | 185,795 | 17,719 | ||||||
DaVita Inc * | 25,118 | 2,079 | ||||||
Gilead Sciences Inc | 114,091 | 7,038 | ||||||
GSK PLC ADR | 73,244 | 2,155 | ||||||
HCA Healthcare Inc | 16,836 | 3,094 | ||||||
Hologic Inc * | 10,362 | 669 | ||||||
Horizon Therapeutics Plc * | 42,242 | 2,614 | ||||||
Jazz Pharmaceuticals PLC * | 41,808 | 5,573 | ||||||
Johnson & Johnson | 148,768 | 24,303 | ||||||
McKesson Corp | 38,353 | 13,035 | ||||||
Medtronic PLC | 177,966 | 14,371 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Merck & Co Inc | 318,066 | $ | 27,392 | |||||
Novartis AG ADR | 132,118 | 10,042 | ||||||
Organon & Co | 16,136 | 378 | ||||||
Pfizer Inc | 733,938 | 32,117 | ||||||
Viatris Inc, Cl W * | 291,220 | 2,481 | ||||||
Zimmer Biomet Holdings Inc | 45,934 | 4,802 | ||||||
207,438 | ||||||||
Industrials — 10.6% | ||||||||
3M Co | 61,376 | 6,782 | ||||||
AerCap Holdings NV * | 77,499 | 3,281 | ||||||
AGCO Corp | 31,476 | 3,027 | ||||||
Alaska Air Group Inc * | 72,619 | 2,843 | ||||||
Allison Transmission Holdings Inc | 68,559 | 2,314 | ||||||
Cummins Inc | 44,074 | 8,969 | ||||||
Delta Air Lines Inc, Cl A * | 130,072 | 3,650 | ||||||
FedEx Corp | 36,932 | 5,483 | ||||||
General Dynamics Corp | 63,411 | 13,454 | ||||||
Huntington Ingalls Industries Inc, Cl A | 16,362 | 3,624 | ||||||
Johnson Controls International plc | 300,123 | 14,772 | ||||||
Lockheed Martin Corp | 7,815 | 3,019 | ||||||
ManpowerGroup Inc | 42,383 | 2,742 | ||||||
Northrop Grumman Corp | 9,576 | 4,504 | ||||||
Owens Corning | 23,991 | 1,886 | ||||||
PACCAR Inc | 15,373 | 1,286 | ||||||
Raytheon Technologies Corp | 209,293 | 17,133 | ||||||
Ryder System Inc | 28,822 | 2,176 | ||||||
Siemens AG ADR | 165,998 | 8,126 | ||||||
Snap-on Inc | 18,096 | 3,644 | ||||||
Textron Inc | 56,910 | 3,316 | ||||||
Timken Co/The | 50,058 | 2,955 | ||||||
United Airlines Holdings Inc * | 38,423 | 1,250 | ||||||
United Parcel Service Inc, Cl B | 68,760 | 11,107 | ||||||
131,343 | ||||||||
Information Technology — 9.5% | ||||||||
Amdocs Ltd | 68,616 | 5,452 | ||||||
Amkor Technology Inc | 108,102 | 1,843 | ||||||
Applied Materials Inc | 46,847 | 3,838 | ||||||
Arrow Electronics Inc, Cl A * | 43,920 | 4,049 | ||||||
Broadcom Inc | 22,984 | 10,205 | ||||||
Cisco Systems Inc | 349,960 | 13,998 | ||||||
Cognizant Technology Solutions Corp, Cl A | 30,034 | 1,725 | ||||||
Dell Technologies Inc, Cl C | 40,811 | 1,395 | ||||||
DXC Technology Co * | 71,616 | 1,753 | ||||||
Global Payments Inc | 32,432 | 3,504 | ||||||
Hewlett Packard Enterprise Co | 292,631 | 3,506 | ||||||
HP Inc | 333,017 | 8,299 | ||||||
Intel Corp | 576,838 | 14,865 | ||||||
International Business Machines Corp | 35,900 | 4,265 | ||||||
Jabil Inc | 72,955 | 4,210 | ||||||
Juniper Networks Inc | 144,777 | 3,782 | ||||||
Micron Technology Inc | 69,011 | 3,457 |
64
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Microsoft Corp | 39,275 | $ | 9,147 | |||||
Oracle Corp, Cl B | 76,101 | 4,648 | ||||||
QUALCOMM Inc | 5,099 | 576 | ||||||
Seagate Technology Holdings PLC | 47,512 | 2,529 | ||||||
Teradyne Inc | 67,520 | 5,074 | ||||||
Vontier Corp | 190,609 | 3,185 | ||||||
Xerox Holdings Corp | 94,367 | 1,235 | ||||||
Zebra Technologies Corp, Cl A * | 5,478 | 1,435 | ||||||
117,975 | ||||||||
Materials — 4.8% | ||||||||
Berry Global Group Inc * | 26,280 | 1,223 | ||||||
Celanese Corp, Cl A | 36,390 | 3,287 | ||||||
Crown Holdings Inc | 50,076 | 4,058 | ||||||
Dow Inc | 306,089 | 13,446 | ||||||
DuPont de Nemours Inc | 50,372 | 2,539 | ||||||
Eastman Chemical Co | 74,402 | 5,286 | ||||||
Huntsman Corp | 202,556 | 4,971 | ||||||
International Paper Co | 111,708 | 3,541 | ||||||
Louisiana-Pacific Corp | 56,701 | 2,903 | ||||||
LyondellBasell Industries NV, Cl A | 39,065 | 2,941 | ||||||
Newmont Corp | 65,956 | 2,772 | ||||||
O-I Glass Inc, Cl I * | 82,301 | 1,066 | ||||||
Reliance Steel & Aluminum Co | 32,299 | 5,633 | ||||||
Steel Dynamics Inc | 48,750 | 3,459 | ||||||
Sylvamo Corp | 10,155 | 344 | ||||||
Westrock Co | 60,481 | 1,868 | ||||||
59,337 | ||||||||
Real Estate — 3.3% | ||||||||
Boston Properties Inc ‡ | 87,252 | 6,541 | ||||||
Gaming and Leisure Properties Inc ‡ | 70,961 | 3,139 | ||||||
Healthpeak Properties Inc ‡ | 430,340 | 9,864 | ||||||
Iron Mountain Inc ‡ | 44,969 | 1,977 | ||||||
Omega Healthcare Investors Inc ‡ | 84,133 | 2,481 | ||||||
Sabra Health Care REIT Inc ‡ | 182,928 | 2,400 | ||||||
Service Properties Trust ‡ | 264,868 | 1,375 | ||||||
Simon Property Group Inc ‡ | 27,995 | 2,513 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
VICI Properties Inc ‡ | 372,874 | $ | 11,130 | |||||
41,420 | ||||||||
Utilities — 4.9% | ||||||||
Duke Energy Corp | 138,050 | 12,842 | ||||||
Edison International | 110,674 | 6,262 | ||||||
Exelon Corp | 39,130 | 1,466 | ||||||
FirstEnergy Corp | 118,673 | 4,391 | ||||||
NextEra Energy Inc | 235,543 | 18,469 | ||||||
NRG Energy Inc | 134,759 | 5,157 | ||||||
PPL Corp | 147,944 | 3,750 | ||||||
UGI Corp | 159,854 | 5,168 | ||||||
Vistra Corp | 169,588 | 3,561 | ||||||
61,066 | ||||||||
Total Common Stock | ||||||||
(Cost $1,016,862) ($ Thousands) | 1,224,663 | |||||||
AFFILIATED PARTNERSHIP — 1.3% | ||||||||
SEI Liquidity Fund, LP | ||||||||
2.930% **†(B) | 15,769,129 | 15,770 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $15,772) ($ Thousands) | 15,770 | |||||||
CASH EQUIVALENT — 1.3% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
2.600%**† | 15,999,758 | 16,000 | ||||||
Total Cash Equivalent | ||||||||
(Cost $16,000) ($ Thousands) | 16,000 | |||||||
Total Investments in Securities — 101.0% | ||||||||
(Cost $1,048,634) ($ Thousands) | $ | 1,256,433 |
A list of the open futures contracts held at September 30, 2022 is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Depreciation (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 Index E-MINI | 41 | Dec-2022 | $ | 7,776 | $ | 7,383 | $ | (393 | ) | |||||||||||
S&P Mid Cap 400 Index E-MINI | 24 | Dec-2022 | 5,577 | 5,300 | (277 | ) | ||||||||||||||
$ | 13,353 | $ | 12,683 | $ | (670 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
65
SCHEDULE OF INVESTMENTS
September 30, 2022
Large Cap Value Fund (Concluded)
| Percentages are based on Net Assets of $1,244,360 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2022. |
‡ | 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, 2022 (see Note 12). The total market value of securities on loan at September 30, 2022 was $14,981 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of September 30, 2022 was $15,770 ($ Thousands). |
The following is a summary of the level of inputs used as of September 30, 2022, 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 | 1,224,663 | – | – | 1,224,663 | ||||||||||||
Affiliated Partnership | – | 15,770 | – | 15,770 | ||||||||||||
Cash Equivalent | 16,000 | – | – | 16,000 | ||||||||||||
Total Investments in Securities | 1,240,663 | 15,770 | – | 1,256,433 |
Other Financial Instruments | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | (670 | ) | – | – | (670 | ) | ||||||||||
Total Other Financial Instruments | (670 | ) | – | – | (670 | ) |
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
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, 2022 ($ Thousands):
Security Description | Value 9/30/2021 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/(Depreciation) | Value 9/30/2022 | Shares | Income | Capital Gains | |||||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 6,431 | $ | 134,033 | $ | (124,691 | ) | $ | (1 | ) | $ | (2 | ) | $ | 15,770 | 15,769,129 | $ | 28 | $ | — | ||||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | 20,275 | 173,037 | (177,312 | ) | — | — | 16,000 | 15,999,758 | 100 | — | ||||||||||||||||||||||||||
Totals | $ | 26,706 | $ | 307,070 | $ | (302,003 | ) | $ | (1 | ) | $ | (2 | ) | $ | 31,770 | $ | 128 | $ | — |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
66
SEI Institutional Managed Trust / Annual Report / September 30, 2022
SCHEDULE OF INVESTMENTS
September 30, 2022
Large Cap Growth Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Shares | Market Value | ||||||
COMMON STOCK†† — 98.9% | ||||||||
Communication Services — 7.9% | ||||||||
Alphabet Inc, Cl A * | 333,626 | $ | 31,911 | |||||
Alphabet Inc, Cl C * | 413,280 | 39,737 | ||||||
Live Nation Entertainment Inc * | 211,953 | 16,117 | ||||||
Meta Platforms Inc, Cl A * | 637 | 86 | ||||||
Netflix Inc * | 17,623 | 4,149 | ||||||
Sirius XM Holdings Inc (A) | 7,201 | 41 | ||||||
Take-Two Interactive Software Inc, Cl A * | 54,181 | 5,906 | ||||||
Trade Desk Inc/The, Cl A * | 68,109 | 4,070 | ||||||
102,017 | ||||||||
Consumer Discretionary — 16.4% | ||||||||
Airbnb Inc, Cl A * | 31,685 | 3,328 | ||||||
Alibaba Group Holding ADR * | 33,334 | 2,666 | ||||||
Amazon.com Inc, Cl A * | 532,640 | 60,188 | ||||||
AutoNation Inc * | 92 | 9 | ||||||
AutoZone Inc * | 11,405 | 24,429 | ||||||
Booking Holdings Inc * | 52 | 85 | ||||||
Capri Holdings Ltd * | 125,545 | 4,826 | ||||||
Choice Hotels International Inc | 875 | 96 | ||||||
Domino's Pizza Inc | 16,493 | 5,116 | ||||||
eBay Inc | 2,250 | 83 | ||||||
General Motors Co | 46,002 | 1,476 | ||||||
Genuine Parts Co | 6,335 | 946 | ||||||
Grand Canyon Education Inc * | 1,095 | 90 | ||||||
H&R Block Inc | 42,447 | 1,806 | ||||||
Home Depot Inc/The | 42,314 | 11,676 | ||||||
LKQ Corp | 1,885 | 89 | ||||||
Lowe's Cos Inc | 70,462 | 13,234 | ||||||
Marriott International Inc/MD, Cl A | 52,218 | 7,318 | ||||||
McDonald's Corp | 12,195 | 2,814 | ||||||
MercadoLibre Inc * | 2,507 | 2,075 | ||||||
MGM Resorts International | 512,487 | 15,231 | ||||||
NIKE Inc, Cl B | 49,782 | 4,138 | ||||||
Tesla Inc * | 145,390 | 38,565 | ||||||
TJX Cos Inc/The | 145,852 | 9,060 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Ulta Beauty Inc * | 239 | $ | 96 | |||||
Vail Resorts Inc | 17,939 | 3,868 | ||||||
Yum! Brands Inc | 902 | 96 | ||||||
213,404 | ||||||||
Consumer Staples — 6.1% | ||||||||
Bunge Ltd | 72,372 | 5,976 | ||||||
Colgate-Palmolive Co | 82,910 | 5,824 | ||||||
Costco Wholesale Corp | 35,499 | 16,765 | ||||||
General Mills Inc | 24,220 | 1,856 | ||||||
Grocery Outlet Holding Corp * | 2,931 | 98 | ||||||
Hershey Co/The | 58,404 | 12,876 | ||||||
Kroger Co/The | 188,320 | 8,239 | ||||||
PepsiCo Inc | 129,634 | 21,164 | ||||||
Procter & Gamble Co/The | 52,380 | 6,613 | ||||||
79,411 | ||||||||
Energy — 1.7% | ||||||||
Antero Resources Corp * | 94,685 | 2,891 | ||||||
Cheniere Energy Inc | 2,741 | 455 | ||||||
Chevron Corp | 6,691 | 961 | ||||||
ConocoPhillips | 49,249 | 5,040 | ||||||
Devon Energy Corp | 1,517 | 91 | ||||||
EOG Resources Inc | 19,753 | 2,207 | ||||||
Marathon Oil Corp | 4,412 | 99 | ||||||
Pioneer Natural Resources Co | 49,221 | 10,658 | ||||||
22,402 | ||||||||
Financials — 5.4% | ||||||||
Blackstone Inc, Cl A | 56,046 | 4,691 | ||||||
CME Group Inc, Cl A | 42,935 | 7,605 | ||||||
FactSet Research Systems Inc | 24,114 | 9,648 | ||||||
Moody's Corp | 62,183 | 15,117 | ||||||
MSCI Inc, Cl A | 25,644 | 10,816 | ||||||
Ryan Specialty Holdings Inc, Cl A * | 2,521 | 103 | ||||||
S&P Global Inc | 29,549 | 9,023 | ||||||
Signature Bank/New York NY, Cl B | 31,370 | 4,737 | ||||||
W R Berkley Corp | 138,349 | 8,935 | ||||||
70,675 | ||||||||
Health Care — 12.8% | ||||||||
Abbott Laboratories | 12,963 | 1,254 | ||||||
AbbVie Inc | 69,968 | 9,390 | ||||||
Acadia Healthcare Co Inc, Cl A * | 70,739 | 5,530 | ||||||
AstraZeneca PLC ADR | 33,283 | 1,825 | ||||||
Becton Dickinson and Co | 20,020 | 4,461 | ||||||
Centene Corp * | 101,452 | 7,894 | ||||||
CVS Health Corp | 1,792 | 171 | ||||||
Danaher Corp, Cl A | 82,776 | 21,380 | ||||||
Edwards Lifesciences Corp, Cl A * | 22,530 | 1,862 | ||||||
Eli Lilly & Co | 17,210 | 5,565 | ||||||
Humana Inc | 3,770 | 1,829 | ||||||
Johnson & Johnson | 74,128 | 12,110 | ||||||
McKesson Corp | 55,308 | 18,797 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
67
SCHEDULE OF INVESTMENTS
September 30, 2022
Large Cap Growth Fund (Concluded)
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Merck & Co Inc | 38,050 | $ | 3,277 | |||||
Mettler-Toledo International Inc * | 3,116 | 3,378 | ||||||
Natera Inc * | 155,464 | 6,813 | ||||||
Pfizer Inc | 2,165 | 95 | ||||||
Thermo Fisher Scientific Inc | 195 | 99 | ||||||
TransMedics Group Inc * | 52,630 | 2,197 | ||||||
UnitedHealth Group Inc | 106,163 | 53,617 | ||||||
Veeva Systems Inc, Cl A * | 620 | 102 | ||||||
Vertex Pharmaceuticals Inc * | 17,992 | 5,209 | ||||||
166,855 | ||||||||
Industrials — 7.0% | ||||||||
AMETEK Inc | 39,508 | 4,481 | ||||||
Carrier Global Corp | 209,480 | 7,449 | ||||||
Eaton Corp PLC | 109,427 | 14,593 | ||||||
General Dynamics Corp | 28,519 | 6,051 | ||||||
Graco Inc | 149,146 | 8,941 | ||||||
Middleby Corp/The * | 51,098 | 6,549 | ||||||
Otis Worldwide Corp | 108,620 | 6,930 | ||||||
Republic Services Inc | 14,557 | 1,980 | ||||||
Tetra Tech Inc | 41,695 | 5,359 | ||||||
TransDigm Group Inc | 19,818 | 10,401 | ||||||
Uber Technologies Inc * | 3,498 | 93 | ||||||
Union Pacific Corp | 41,577 | 8,100 | ||||||
Waste Management Inc | 37,738 | 6,046 | ||||||
Westinghouse Air Brake Technologies Corp | 48,052 | 3,909 | ||||||
WillScot Mobile Mini Holdings Corp, Cl A * | 2,559 | 103 | ||||||
90,985 | ||||||||
Information Technology — 38.0% | ||||||||
Adobe Inc * | 37,036 | 10,192 | ||||||
Advanced Micro Devices Inc * | 206,457 | 13,081 | ||||||
Analog Devices Inc | 79,730 | 11,110 | ||||||
Apple Inc | 776,188 | 107,269 | ||||||
Applied Materials Inc | 93,624 | 7,671 | ||||||
Arista Networks Inc * | 62,593 | 7,066 | ||||||
Autodesk Inc, Cl A * | 533 | 100 | ||||||
Automatic Data Processing Inc | 12,306 | 2,783 | ||||||
Broadcom Inc | 24,306 | 10,792 | ||||||
Cadence Design Systems Inc * | 24,900 | 4,069 | ||||||
Cisco Systems Inc | 61,985 | 2,479 | ||||||
Crowdstrike Holdings Inc, Cl A * | 44,656 | 7,360 | ||||||
Datadog Inc, Cl A * | 92,849 | 8,243 | ||||||
Dolby Laboratories Inc, Cl A | 33,180 | 2,162 | ||||||
Dropbox Inc, Cl A * | 4,973 | 103 | ||||||
Enphase Energy Inc * | 21,846 | 6,062 | ||||||
Fair Isaac Corp * | 1,175 | 484 | ||||||
First Solar Inc * | 35,253 | 4,663 | ||||||
Fortinet Inc * | 107,759 | 5,294 | ||||||
HP Inc | 150,277 | 3,745 | ||||||
Intuit Inc | 69,770 | 27,023 | ||||||
Jabil Inc | 65,181 | 3,762 | ||||||
Keysight Technologies Inc * | 19,675 | 3,096 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Manhattan Associates Inc * | 772 | $ | 103 | |||||
Marvell Technology Inc | 9,597 | 412 | ||||||
Mastercard Inc, Cl A | 73,622 | 20,934 | ||||||
Microsoft Corp | 562,719 | 131,057 | ||||||
Monolithic Power Systems Inc | 3,522 | 1,280 | ||||||
NetApp Inc | 77,249 | 4,778 | ||||||
NortonLifeLock Inc | 52,945 | 1,066 | ||||||
NVIDIA Corp | 129,288 | 15,694 | ||||||
ON Semiconductor Corp * | 82,028 | 5,113 | ||||||
Oracle Corp, Cl B | 160,423 | 9,797 | ||||||
Palo Alto Networks Inc * | 83,633 | 13,698 | ||||||
Paychex Inc | 27,041 | 3,034 | ||||||
Paylocity Holding Corp * | 401 | 97 | ||||||
PayPal Holdings Inc * | 25,679 | 2,210 | ||||||
Pure Storage Inc, Cl A * | 112,644 | 3,083 | ||||||
QUALCOMM Inc | 12,608 | 1,425 | ||||||
ServiceNow Inc * | 15,531 | 5,865 | ||||||
SolarEdge Technologies Inc * | 9,408 | 2,178 | ||||||
Teradyne Inc | 210 | 16 | ||||||
Texas Instruments Inc | 1,709 | 264 | ||||||
Ubiquiti Inc | 4,225 | 1,240 | ||||||
VeriSign Inc * | 551 | 96 | ||||||
Visa Inc, Cl A | 119,721 | 21,268 | ||||||
493,317 | ||||||||
Materials — 2.3% | ||||||||
CF Industries Holdings Inc | 972 | 94 | ||||||
Linde PLC | 47,014 | 12,675 | ||||||
Sherwin-Williams Co/The, Cl A | 48,131 | 9,855 | ||||||
Steel Dynamics Inc | 90,109 | 6,393 | ||||||
29,017 | ||||||||
Real Estate — 0.8% | ||||||||
Crown Castle Inc ‡ | 62,271 | 9,001 | ||||||
Public Storage ‡ | 5,307 | 1,554 | ||||||
10,555 | ||||||||
Utilities — 0.5% | ||||||||
National Fuel Gas Co | 51,133 | 3,147 | ||||||
NextEra Energy Inc | 44,859 | 3,518 | ||||||
6,665 | ||||||||
Total Common Stock | ||||||||
(Cost $832,475) ($ Thousands) | 1,285,303 |
68
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
AFFILIATED PARTNERSHIP — 0.0% | ||||||||
SEI Liquidity Fund, LP | ||||||||
2.930% **†(B) | 44,705 | $ | 45 | |||||
Total Affiliated Partnership | ||||||||
(Cost $45) ($ Thousands) | 45 |
Description |
| Market Value | ||||||
CASH EQUIVALENT — 1.1% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
2.600%**† | 13,897,889 | $ | 13,898 | |||||
Total Cash Equivalent | ||||||||
(Cost $13,898) ($ Thousands) | 13,898 | |||||||
Total Investments in Securities — 100.0% | ||||||||
(Cost $846,418) ($ Thousands) | $ | 1,299,246 |
A list of the open futures contracts held at September 30, 2022 is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Depreciation (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 Index E-MINI | 61 | Dec-2022 | $ | 11,501 | $ | 10,985 | $ | (516 | ) |
| Percentages are based on Net Assets of $1,299,744 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2022. |
† | Investment in Affiliated Security (see Note 6). |
†† | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
‡ | Real Estate Investment Trust. |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2022 (see Note 12). The total market value of securities on loan at September 30, 2022 was $41 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of September 30, 2022 was $45 ($ Thousands). |
The following is a summary of the level of inputs used as of September 30, 2022, 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 | 1,285,303 | – | – | 1,285,303 | ||||||||||||
Affiliated Partnership | – | 45 | – | 45 | ||||||||||||
Cash Equivalent | 13,898 | – | – | 13,898 | ||||||||||||
Total Investments in Securities | 1,299,201 | 45 | – | 1,299,246 |
Other Financial Instruments | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | (516 | ) | – | – | (516 | ) | ||||||||||
Total Other Financial Instruments | (516 | ) | – | – | (516 | ) |
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
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, 2022, ($ Thousands):
Security Description | Value 9/30/2021 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation/(Depreciation) | Value 9/30/2022 | Shares | Income | Capital Gains | |||||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 122 | $ | 20,310 | $ | (20,388 | ) | $ | 1 | $ | — | $ | 45 | 44,705 | $ | 18 | $ | — | ||||||||||||||||||
SEI Daily Income Trust, Government Fund, CL F | 15,702 | 306,084 | (307,888 | ) | — | — | 13,898 | 13,897,889 | 114 | — | ||||||||||||||||||||||||||
Totals | $ | 15,824 | $ | 326,394 | $ | (328,276 | ) | $ | 1 | $ | — | $ | 13,943 | $ | 132 | $ | — |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
69
SCHEDULE OF INVESTMENTS
September 30, 2022
Large Cap Index Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contract, and swap contracts, if applicable. |
Description | Shares | Market Value | ||||||
COMMON STOCK†† — 99.3% | ||||||||
Communication Services — 7.7% | ||||||||
Activision Blizzard Inc | 20,781 | $ | 1,545 | |||||
Alphabet Inc, Cl A * | 160,960 | 15,396 | ||||||
Alphabet Inc, Cl C * | 144,500 | 13,894 | ||||||
Altice USA Inc, Cl A * | 5,800 | 34 | ||||||
AMC Entertainment Holdings Inc, Cl A *(A) | 13,800 | 96 | ||||||
AT&T Inc | 191,491 | 2,937 | ||||||
Cable One Inc | 138 | 118 | ||||||
Charter Communications Inc, Cl A * | 2,974 | 902 | ||||||
Comcast Corp, Cl A | 117,129 | 3,435 | ||||||
DISH Network Corp, Cl A * | 6,511 | 90 | ||||||
Electronic Arts Inc | 7,406 | 857 | ||||||
Fox Corp, Cl A | 8,031 | 246 | ||||||
Fox Corp, Cl B | 4,000 | 114 | ||||||
Frontier Communications Parent Inc * | 6,600 | 155 | ||||||
IAC Inc * | 1,998 | 111 | ||||||
Interpublic Group of Cos Inc/The | 10,400 | 266 | ||||||
Liberty Broadband Corp, Cl A * | 500 | 37 | ||||||
Liberty Broadband Corp, Cl C * | 3,258 | 240 | ||||||
Liberty Media Corp-Liberty Formula One, Cl A * | 500 | 26 | ||||||
Liberty Media Corp-Liberty Formula One, Cl C * | 5,400 | 316 | ||||||
Liberty Media Corp-Liberty SiriusXM * | 6,198 | 234 | ||||||
Live Nation Entertainment Inc * | 4,190 | 319 | ||||||
Lumen Technologies Inc | 27,095 | 197 | ||||||
Madison Square Garden Sports Corp * | 496 | 68 | ||||||
Match Group Inc * | 7,699 | 368 | ||||||
Meta Platforms Inc, Cl A * | 61,378 | 8,328 | ||||||
Netflix Inc * | 11,677 | 2,749 | ||||||
New York Times Co/The, Cl A | 4,312 | 124 | ||||||
News Corp, Cl A | 10,300 | 156 | ||||||
News Corp, Cl B | 3,200 | 49 | ||||||
Nexstar Media Group Inc, Cl A | 1,000 | 167 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Omnicom Group Inc | 5,526 | $ | 349 | |||||
Paramount Global, Cl A | 219 | 5 | ||||||
Paramount Global, Cl B | 15,453 | 294 | ||||||
Pinterest Inc, Cl A * | 15,576 | 363 | ||||||
Playtika Holding Corp * | 2,800 | 26 | ||||||
ROBLOX Corp, Cl A * | 11,800 | 423 | ||||||
Roku Inc, Cl A * | 3,145 | 177 | ||||||
Sirius XM Holdings Inc (A) | 18,618 | 106 | ||||||
Spotify Technology SA * | 3,760 | 325 | ||||||
Take-Two Interactive Software Inc, Cl A * | 4,304 | 469 | ||||||
T-Mobile US Inc * | 15,917 | 2,136 | ||||||
Trade Desk Inc/The, Cl A * | 11,851 | 708 | ||||||
TripAdvisor Inc * | 2,600 | 57 | ||||||
Twitter Inc * | 19,880 | 872 | ||||||
Verizon Communications Inc | 112,373 | 4,267 | ||||||
Walt Disney Co/The * | 48,740 | 4,598 | ||||||
Warner Bros Discovery Inc * | 63,320 | 728 | ||||||
World Wrestling Entertainment Inc, Cl A | 1,200 | 84 | ||||||
ZoomInfo Technologies Inc, Cl A * | 7,400 | 308 | ||||||
69,869 | ||||||||
Consumer Discretionary — 11.5% | ||||||||
ADT Inc | 5,900 | 44 | ||||||
Advance Auto Parts Inc | 1,617 | 253 | ||||||
Airbnb Inc, Cl A * | 10,500 | 1,103 | ||||||
Amazon.com Inc, Cl A * | 237,820 | 26,874 | ||||||
Aptiv PLC * | 7,253 | 567 | ||||||
Aramark | 6,191 | 193 | ||||||
AutoNation Inc * | 994 | 101 | ||||||
AutoZone Inc * | 543 | 1,163 | ||||||
Bath & Body Works Inc | 6,100 | 199 | ||||||
Best Buy Co Inc | 5,380 | 341 | ||||||
Booking Holdings Inc * | 1,081 | 1,776 | ||||||
BorgWarner Inc | 6,400 | 201 | ||||||
Boyd Gaming Corp | 2,200 | 105 | ||||||
Bright Horizons Family Solutions Inc * | 1,600 | 92 | ||||||
Brunswick Corp/DE | 2,000 | 131 | ||||||
Burlington Stores Inc * | 1,753 | 196 | ||||||
Caesars Entertainment Inc * | 5,400 | 174 | ||||||
Capri Holdings Ltd * | 3,500 | 134 | ||||||
CarMax Inc * | 4,300 | 284 | ||||||
Carnival Corp * | 25,927 | 182 | ||||||
Carter's Inc | 1,100 | 72 | ||||||
Carvana Co, Cl A * | 2,868 | 58 | ||||||
Chipotle Mexican Grill Inc, Cl A * | 739 | 1,110 | ||||||
Choice Hotels International Inc | 928 | 102 | ||||||
Churchill Downs Inc | 961 | 177 | ||||||
Columbia Sportswear Co | 1,000 | 67 | ||||||
Darden Restaurants Inc | 3,299 | 417 | ||||||
Deckers Outdoor Corp * | 701 | 219 | ||||||
Dick's Sporting Goods Inc | 1,492 | 156 | ||||||
Dollar General Corp | 6,145 | 1,474 | ||||||
Dollar Tree Inc * | 5,656 | 770 |
70
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Domino's Pizza Inc | 960 | $ | 298 | |||||
DoorDash Inc, Cl A * | 6,664 | 329 | ||||||
DR Horton Inc | 8,538 | 575 | ||||||
DraftKings Inc, Cl A * | 8,700 | 132 | ||||||
eBay Inc | 14,706 | 541 | ||||||
Etsy Inc * | 3,404 | 341 | ||||||
Expedia Group Inc * | 4,024 | 377 | ||||||
Five Below Inc * | 1,483 | 204 | ||||||
Floor & Decor Holdings Inc, Cl A * | 2,700 | 190 | ||||||
Ford Motor Co | 105,785 | 1,185 | ||||||
GameStop Corp, Cl A *(A) | 7,200 | 181 | ||||||
Gap Inc/The | 5,300 | 44 | ||||||
Garmin Ltd | 4,157 | 334 | ||||||
General Motors Co | 38,849 | 1,247 | ||||||
Gentex Corp | 6,235 | 149 | ||||||
Genuine Parts Co | 3,676 | 549 | ||||||
Grand Canyon Education Inc * | 800 | 66 | ||||||
H&R Block Inc | 4,400 | 187 | ||||||
Hanesbrands Inc | 9,000 | 63 | ||||||
Harley-Davidson Inc, Cl A | 3,600 | 126 | ||||||
Hasbro Inc | 3,602 | 243 | ||||||
Hilton Worldwide Holdings Inc | 7,184 | 866 | ||||||
Home Depot Inc/The | 27,607 | 7,618 | ||||||
Hyatt Hotels Corp, Cl A * | 1,294 | 105 | ||||||
Kohl's Corp | 3,625 | 91 | ||||||
Las Vegas Sands Corp * | 8,846 | 332 | ||||||
Lear Corp | 1,594 | 191 | ||||||
Leggett & Platt Inc | 3,600 | 120 | ||||||
Lennar Corp, Cl A | 6,789 | 506 | ||||||
Lennar Corp, Cl B | 450 | 27 | ||||||
Leslie's Inc * | 4,400 | 65 | ||||||
Lithia Motors Inc, Cl A | 667 | 143 | ||||||
LKQ Corp | 6,888 | 325 | ||||||
Lowe's Cos Inc | 17,126 | 3,216 | ||||||
Lucid Group Inc *(A) | 14,200 | 198 | ||||||
Lululemon Athletica Inc * | 2,984 | 834 | ||||||
Macy's Inc | 7,600 | 119 | ||||||
Marriott International Inc/MD, Cl A | 7,355 | 1,031 | ||||||
Marriott Vacations Worldwide Corp | 1,000 | 122 | ||||||
Mattel Inc * | 9,300 | 176 | ||||||
McDonald's Corp | 19,798 | 4,568 | ||||||
MGM Resorts International | 8,753 | 260 | ||||||
Mister Car Wash Inc * | 2,100 | 18 | ||||||
Mohawk Industries Inc * | 1,432 | 131 | ||||||
Newell Brands Inc, Cl B | 10,070 | 140 | ||||||
NIKE Inc, Cl B | 32,744 | 2,722 | ||||||
Nordstrom Inc | 3,000 | 50 | ||||||
Norwegian Cruise Line Holdings Ltd * | 11,363 | 129 | ||||||
NVR Inc * | 82 | 327 | ||||||
Ollie's Bargain Outlet Holdings Inc * | 1,661 | 86 | ||||||
O'Reilly Automotive Inc * | 1,650 | 1,160 | ||||||
Peloton Interactive Inc, Cl A * | 7,927 | 55 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Penn EntertainmentInc * | 4,400 | $ | 121 | |||||
Penske Automotive Group Inc, Cl A | 700 | 69 | ||||||
Petco Health & Wellness Co Inc, Cl A * | 2,300 | 26 | ||||||
Planet Fitness Inc, Cl A * | 2,200 | 127 | ||||||
Polaris Inc | 1,531 | 146 | ||||||
Pool Corp | 1,021 | 325 | ||||||
PulteGroup Inc | 6,100 | 229 | ||||||
PVH Corp | 1,849 | 83 | ||||||
QuantumScape Corp, Cl A *(A) | 6,600 | 55 | ||||||
Ralph Lauren Corp, Cl A | 1,184 | 101 | ||||||
RH * | 453 | 111 | ||||||
Rivian Automotive Inc, Cl A * | 14,000 | 461 | ||||||
Ross Stores Inc | 9,244 | 779 | ||||||
Royal Caribbean Cruises Ltd * | 5,823 | 221 | ||||||
Service Corp International/US | 4,100 | 237 | ||||||
Six Flags Entertainment Corp * | 2,100 | 37 | ||||||
Skechers USA Inc, Cl A * | 3,453 | 109 | ||||||
Starbucks Corp | 30,701 | 2,587 | ||||||
Tapestry Inc | 6,708 | 191 | ||||||
Target Corp, Cl A | 12,402 | 1,840 | ||||||
Tempur Sealy International Inc | 4,700 | 113 | ||||||
Terminix Global Holdings Inc * | 3,200 | 122 | ||||||
Tesla Inc * | 68,087 | 18,060 | ||||||
Thor Industries Inc | 1,400 | 98 | ||||||
TJX Cos Inc/The | 31,359 | 1,948 | ||||||
Toll Brothers Inc | 2,900 | 122 | ||||||
TopBuild Corp * | 858 | 141 | ||||||
Tractor Supply Co | 3,001 | 558 | ||||||
Travel + Leisure Co | 2,263 | 77 | ||||||
Ulta Beauty Inc * | 1,378 | 553 | ||||||
Under Armour Inc, Cl A * | 4,815 | 32 | ||||||
Under Armour Inc, Cl C * | 5,600 | 33 | ||||||
Vail Resorts Inc | 1,070 | 231 | ||||||
VF Corp | 9,364 | 280 | ||||||
Victoria's Secret & Co * | 2,266 | 66 | ||||||
Wayfair Inc, Cl A * | 2,023 | 66 | ||||||
Wendy's Co/The | 4,600 | 86 | ||||||
Whirlpool Corp | 1,438 | 194 | ||||||
Williams-Sonoma Inc | 1,800 | 212 | ||||||
Wyndham Hotels & Resorts Inc | 2,463 | 151 | ||||||
Wynn Resorts Ltd * | 2,815 | 177 | ||||||
YETI Holdings Inc * | 2,300 | 66 | ||||||
Yum! Brands Inc | 7,709 | 820 | ||||||
103,888 | ||||||||
Consumer Staples — 6.4% | ||||||||
Albertsons Cos Inc, Cl A | 4,300 | 107 | ||||||
Altria Group Inc | 48,450 | 1,956 | ||||||
Archer-Daniels-Midland Co | 14,988 | 1,206 | ||||||
BJ's Wholesale Club Holdings Inc * | 3,600 | 262 | ||||||
Boston Beer Co Inc/The, Cl A * | 240 | 78 | ||||||
Brown-Forman Corp, Cl A | 1,240 | 84 | ||||||
Brown-Forman Corp, Cl B | 4,922 | 328 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
71
SCHEDULE OF INVESTMENTS
September 30, 2022
Large Cap Index Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Bunge Ltd | 3,800 | $ | 314 | |||||
Campbell Soup Co | 5,200 | 245 | ||||||
Casey's General Stores Inc | 996 | 202 | ||||||
Church & Dwight Co Inc | 6,510 | 465 | ||||||
Clorox Co/The | 3,271 | 420 | ||||||
Coca-Cola Co/The | 104,424 | 5,850 | ||||||
Colgate-Palmolive Co | 22,079 | 1,551 | ||||||
Conagra Brands Inc | 12,749 | 416 | ||||||
Constellation Brands Inc, Cl A | 4,086 | 939 | ||||||
Costco Wholesale Corp | 11,848 | 5,595 | ||||||
Coty Inc, Cl A * | 9,339 | 59 | ||||||
Darling Ingredients Inc * | 4,323 | 286 | ||||||
Estee Lauder Cos Inc/The, Cl A | 6,124 | 1,322 | ||||||
Flowers Foods Inc | 4,900 | 121 | ||||||
Freshpet Inc * | 1,200 | 60 | ||||||
General Mills Inc | 15,861 | 1,215 | ||||||
Grocery Outlet Holding Corp * | 2,300 | 77 | ||||||
Hershey Co/The | 3,942 | 869 | ||||||
Hormel Foods Corp | 7,737 | 352 | ||||||
Ingredion Inc | 1,810 | 146 | ||||||
J M Smucker Co/The | 2,754 | 378 | ||||||
Kellogg Co | 6,785 | 473 | ||||||
Keurig Dr Pepper Inc | 22,885 | 820 | ||||||
Kimberly-Clark Corp | 8,990 | 1,012 | ||||||
Kraft Heinz Co/The | 18,749 | 625 | ||||||
Kroger Co/The | 17,488 | 765 | ||||||
Lamb Weston Holdings Inc | 3,900 | 302 | ||||||
McCormick & Co Inc/MD | 6,682 | 476 | ||||||
Molson Coors Beverage Co, Cl B | 4,695 | 225 | ||||||
Mondelez International Inc, Cl A | 36,946 | 2,026 | ||||||
Monster Beverage Corp * | 9,939 | 864 | ||||||
Olaplex Holdings Inc * | 3,500 | 33 | ||||||
PepsiCo Inc | 36,978 | 6,037 | ||||||
Performance Food Group Co * | 4,100 | 176 | ||||||
Philip Morris International Inc | 41,463 | 3,442 | ||||||
Pilgrim's Pride Corp * | 1,300 | 30 | ||||||
Post Holdings Inc * | 1,507 | 123 | ||||||
Procter & Gamble Co/The | 63,920 | 8,070 | ||||||
Reynolds Consumer Products Inc | 1,500 | 39 | ||||||
Seaboard Corp | 6 | 20 | ||||||
Spectrum Brands Holdings Inc | 1,057 | 41 | ||||||
Sysco Corp, Cl A | 13,663 | 966 | ||||||
Tyson Foods Inc, Cl A | 7,608 | 502 | ||||||
US Foods Holding Corp * | 5,397 | 143 | ||||||
Walgreens Boots Alliance Inc | 19,241 | 604 | ||||||
Walmart Inc | 38,561 | 5,001 | ||||||
57,718 | ||||||||
Energy — 4.6% | ||||||||
Antero Midstream Corp | 8,900 | 82 | ||||||
Antero Resources Corp * | 7,900 | 241 | ||||||
APA Corp | 8,600 | 294 | ||||||
Baker Hughes Co, Cl A | 24,702 | 518 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Cheniere Energy Inc | 6,673 | $ | 1,107 | |||||
Chesapeake Energy Corp | 3,200 | 302 | ||||||
Chevron Corp | 52,548 | 7,550 | ||||||
ConocoPhillips | 34,051 | 3,485 | ||||||
Continental Resources Inc/OK, Cl A | 900 | 60 | ||||||
Coterra Energy Inc | 21,214 | 554 | ||||||
Devon Energy Corp | 17,561 | 1,056 | ||||||
Diamondback Energy Inc, Cl A | 4,629 | 558 | ||||||
DT Midstream Inc | 2,506 | 130 | ||||||
Enviva Inc | 800 | 48 | ||||||
EOG Resources Inc | 15,582 | 1,741 | ||||||
EQT Corp | 9,967 | 406 | ||||||
Exxon Mobil Corp | 111,543 | 9,739 | ||||||
Halliburton Co | 24,245 | 597 | ||||||
Hess Corp | 7,549 | 823 | ||||||
HF Sinclair Corp | 4,000 | 215 | ||||||
Kinder Morgan Inc | 53,334 | 888 | ||||||
Marathon Oil Corp | 18,092 | 408 | ||||||
Marathon Petroleum Corp | 13,312 | 1,322 | ||||||
New Fortress Energy Inc, Cl A | 1,300 | 57 | ||||||
NOV Inc | 10,400 | 168 | ||||||
Occidental Petroleum Corp | 21,823 | 1,341 | ||||||
ONEOK Inc | 11,961 | 613 | ||||||
Ovintiv Inc | 6,900 | 317 | ||||||
PDC Energy Inc, Cl A | 2,500 | 145 | ||||||
Phillips 66 | 12,862 | 1,038 | ||||||
Pioneer Natural Resources Co | 6,374 | 1,380 | ||||||
Range Resources Corp | 7,000 | 177 | ||||||
Schlumberger NV, Cl A | 37,775 | 1,356 | ||||||
Southwestern Energy Co * | 29,800 | 182 | ||||||
Targa Resources Corp | 6,000 | 362 | ||||||
Texas Pacific Land Corp | 149 | 265 | ||||||
Valero Energy Corp | 10,574 | 1,130 | ||||||
Williams Cos Inc/The | 32,673 | 935 | ||||||
41,590 | ||||||||
Financials — 11.4% | ||||||||
Affiliated Managers Group Inc | 1,071 | 120 | ||||||
Aflac Inc | 16,846 | 947 | ||||||
AGNC Investment Corp ‡ | 13,728 | 116 | ||||||
Alleghany Corp * | 354 | 297 | ||||||
Allstate Corp/The | 7,180 | 894 | ||||||
Ally Financial Inc | 8,158 | 227 | ||||||
American Express Co | 16,114 | 2,174 | ||||||
American Financial Group Inc/OH | 1,843 | 226 | ||||||
American International Group Inc | 20,303 | 964 | ||||||
Ameriprise Financial Inc | 2,836 | 715 | ||||||
Annaly Capital Management Inc ‡ | 11,193 | 192 | ||||||
Aon PLC, Cl A | 5,647 | 1,513 | ||||||
Apollo Global Management Inc | 12,247 | 570 | ||||||
Arch Capital Group Ltd * | 9,489 | 432 | ||||||
Ares Management Corp, Cl A | 4,100 | 254 | ||||||
Arthur J Gallagher & Co | 5,505 | 943 |
72
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Assurant Inc | 1,400 | $ | 203 | |||||
Assured Guaranty Ltd | 1,514 | 73 | ||||||
Axis Capital Holdings Ltd | 2,023 | 100 | ||||||
Bank of America Corp | 187,866 | 5,673 | ||||||
Bank of Hawaii Corp | 1,048 | 80 | ||||||
Bank of New York Mellon Corp/The | 19,785 | 762 | ||||||
Bank OZK | 2,900 | 115 | ||||||
Berkshire Hathaway Inc, Cl B * | 48,215 | 12,874 | ||||||
BlackRock Inc | 3,969 | 2,184 | ||||||
Blackstone Inc, Cl A | 18,799 | 1,573 | ||||||
Blue Owl Capital Inc, Cl A | 10,800 | 100 | ||||||
BOK Financial Corp | 800 | 71 | ||||||
Brighthouse Financial Inc * | 1,900 | 83 | ||||||
Brown & Brown Inc | 6,400 | 387 | ||||||
Capital One Financial Corp | 10,163 | 937 | ||||||
Carlyle Group Inc/The | 5,600 | 145 | ||||||
Cboe Global Markets Inc | 2,800 | 329 | ||||||
Charles Schwab Corp/The | 40,616 | 2,919 | ||||||
Chubb Ltd | 11,110 | 2,021 | ||||||
Cincinnati Financial Corp | 4,200 | 376 | ||||||
Citigroup Inc | 51,780 | 2,158 | ||||||
Citizens Financial Group Inc | 13,159 | 452 | ||||||
CME Group Inc, Cl A | 9,633 | 1,706 | ||||||
CNA Financial Corp | 752 | 28 | ||||||
Coinbase Global Inc, Cl A * | 4,100 | 264 | ||||||
Comerica Inc | 3,453 | 246 | ||||||
Commerce Bancshares Inc/MO | 2,880 | 191 | ||||||
Credit Acceptance Corp, Cl A * | 217 | 95 | ||||||
Cullen/Frost Bankers Inc | 1,514 | 200 | ||||||
Discover Financial Services | 7,271 | 661 | ||||||
East West Bancorp Inc | 3,800 | 255 | ||||||
Equitable Holdings Inc | 9,900 | 261 | ||||||
Erie Indemnity Co, Cl A | 656 | 146 | ||||||
Evercore Inc, Cl A | 983 | 81 | ||||||
Everest Re Group Ltd | 1,016 | 267 | ||||||
Eversource Energy | 9,198 | 717 | ||||||
FactSet Research Systems Inc | 985 | 394 | ||||||
Fidelity National Financial Inc | 7,210 | 261 | ||||||
Fifth Third Bancorp | 18,300 | 585 | ||||||
First American Financial Corp | 2,800 | 129 | ||||||
First Citizens BancShares Inc/NC, Cl A | 319 | 254 | ||||||
First Hawaiian Inc | 3,500 | 86 | ||||||
First Horizon Corp | 14,300 | 327 | ||||||
First Republic Bank/CA | 4,773 | 623 | ||||||
FNB Corp/PA | 9,200 | 107 | ||||||
Franklin Resources Inc | 7,700 | 166 | ||||||
Globe Life Inc | 2,401 | 239 | ||||||
Goldman Sachs Group Inc/The | 8,939 | 2,620 | ||||||
Hanover Insurance Group Inc/The, Cl A | 926 | 119 | ||||||
Hartford Financial Services Group Inc/The | 8,559 | 530 | ||||||
Huntington Bancshares Inc/OH | 38,438 | 507 | ||||||
Interactive Brokers Group Inc, Cl A | 2,521 | 161 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Intercontinental Exchange Inc | 14,812 | $ | 1,338 | |||||
Invesco Ltd | 10,062 | 138 | ||||||
Janus Henderson Group PLC | 3,600 | 73 | ||||||
Jefferies Financial Group Inc | 5,600 | 165 | ||||||
JPMorgan Chase & Co | 77,982 | 8,149 | ||||||
Kemper Corp, Cl A | 1,755 | 72 | ||||||
KeyCorp | 25,088 | 402 | ||||||
KKR & Co Inc | 15,300 | 658 | ||||||
Lazard Ltd, Cl A | 2,300 | 73 | ||||||
Lincoln National Corp | 4,477 | 197 | ||||||
Loews Corp | 5,289 | 264 | ||||||
LPL Financial Holdings Inc | 2,092 | 457 | ||||||
M&T Bank Corp | 4,677 | 825 | ||||||
Markel Corp * | 360 | 390 | ||||||
MarketAxess Holdings Inc | 975 | 217 | ||||||
Marsh & McLennan Cos Inc | 13,395 | 2,000 | ||||||
MetLife Inc | 17,915 | 1,089 | ||||||
MGIC Investment Corp | 8,200 | 105 | ||||||
Moody's Corp | 4,279 | 1,040 | ||||||
Morgan Stanley | 33,462 | 2,644 | ||||||
Morningstar Inc, Cl A | 700 | 149 | ||||||
MSCI Inc, Cl A | 2,087 | 880 | ||||||
Nasdaq Inc, Cl A | 9,300 | 527 | ||||||
New York Community Bancorp Inc | 12,000 | 102 | ||||||
Northern Trust Corp | 5,550 | 475 | ||||||
Old Republic International Corp | 7,500 | 157 | ||||||
OneMain Holdings Inc, Cl A | 3,181 | 94 | ||||||
PacWest Bancorp | 3,000 | 68 | ||||||
Pinnacle Financial Partners Inc | 2,000 | 162 | ||||||
PNC Financial Services Group Inc/The | 11,056 | 1,652 | ||||||
Popular Inc | 1,900 | 137 | ||||||
Primerica Inc | 981 | 121 | ||||||
Principal Financial Group Inc, Cl A | 6,634 | 479 | ||||||
Progressive Corp/The | 15,607 | 1,814 | ||||||
Prosperity Bancshares Inc | 2,400 | 160 | ||||||
Prudential Financial Inc | 10,062 | 863 | ||||||
Raymond James Financial Inc | 5,205 | 514 | ||||||
Regions Financial Corp | 24,912 | 500 | ||||||
Reinsurance Group of America Inc, Cl A | 1,824 | 229 | ||||||
RenaissanceRe Holdings Ltd | 1,175 | 165 | ||||||
Rithm Capital Corp ‡ | 11,640 | 85 | ||||||
Robinhood Markets Inc, Cl A * | 14,900 | 151 | ||||||
Rocket Cos Inc, Cl A (A) | 3,700 | 23 | ||||||
Ryan Specialty Holdings Inc, Cl A * | 2,200 | 89 | ||||||
S&P Global Inc | 8,938 | 2,729 | ||||||
SEI Investments Co † | 2,800 | 137 | ||||||
Signature Bank/New York NY, Cl B | 1,606 | 243 | ||||||
SLM Corp | 6,540 | 92 | ||||||
SoFi Technologies Inc * | 21,300 | 104 | ||||||
Starwood Property Trust Inc ‡ | 7,600 | 138 | ||||||
State Street Corp | 9,809 | 597 | ||||||
Stifel Financial Corp | 2,700 | 140 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
73
SCHEDULE OF INVESTMENTS
September 30, 2022
Large Cap Index Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
SVB Financial Group, Cl B * | 1,591 | $ | 534 | |||||
Synchrony Financial | 12,968 | 365 | ||||||
Synovus Financial Corp | 3,900 | 146 | ||||||
T Rowe Price Group Inc | 5,971 | 627 | ||||||
TFS Financial Corp | 1,417 | 18 | ||||||
Tradeweb Markets Inc, Cl A | 2,900 | 164 | ||||||
Travelers Cos Inc/The | 6,370 | 976 | ||||||
Truist Financial Corp | 35,527 | 1,547 | ||||||
Umpqua Holdings Corp | 5,819 | 99 | ||||||
Unum Group | 5,475 | 212 | ||||||
Upstart Holdings Inc *(A) | 2,000 | 42 | ||||||
US Bancorp | 35,880 | 1,447 | ||||||
UWM Holdings Corp (A) | 2,800 | 8 | ||||||
Virtu Financial Inc, Cl A | 2,800 | 58 | ||||||
Voya Financial Inc | 2,600 | 157 | ||||||
W R Berkley Corp | 5,450 | 352 | ||||||
Webster Financial Corp | 4,768 | 216 | ||||||
Wells Fargo & Co | 101,404 | 4,078 | ||||||
Western Alliance Bancorp | 2,800 | 184 | ||||||
White Mountains Insurance Group Ltd | 79 | 103 | ||||||
Willis Towers Watson PLC | 2,950 | 593 | ||||||
Wintrust Financial Corp | 1,600 | 130 | ||||||
Zions Bancorp NA | 4,000 | 203 | ||||||
102,756 | ||||||||
Health Care — 14.6% | ||||||||
10X Genomics Inc, Cl A * | 2,498 | 71 | ||||||
Abbott Laboratories | 45,908 | 4,442 | ||||||
AbbVie Inc | 47,223 | 6,338 | ||||||
ABIOMED Inc * | 1,158 | 285 | ||||||
Acadia Healthcare Co Inc, Cl A * | 2,400 | 188 | ||||||
Agilent Technologies Inc | 8,054 | 979 | ||||||
agilon health Inc * | 5,070 | 119 | ||||||
Align Technology Inc * | 2,051 | 425 | ||||||
Alnylam Pharmaceuticals Inc * | 3,227 | 646 | ||||||
Amedisys Inc * | 900 | 87 | ||||||
AmerisourceBergen Corp, Cl A | 3,995 | 541 | ||||||
Amgen Inc, Cl A | 14,279 | 3,218 | ||||||
Avantor Inc * | 16,620 | 326 | ||||||
Azenta Inc | 1,900 | 81 | ||||||
Baxter International Inc | 13,465 | 725 | ||||||
Becton Dickinson and Co | 7,609 | 1,696 | ||||||
Biogen Inc * | 3,859 | 1,030 | ||||||
BioMarin Pharmaceutical Inc * | 4,967 | 421 | ||||||
Bio-Rad Laboratories Inc, Cl A * | 556 | 232 | ||||||
Bio-Techne Corp | 1,024 | 291 | ||||||
Boston Scientific Corp * | 38,338 | 1,485 | ||||||
Bristol-Myers Squibb Co | 56,954 | 4,049 | ||||||
Bruker Corp | 2,900 | 154 | ||||||
Cardinal Health Inc | 7,300 | 487 | ||||||
Catalent Inc * | 4,623 | 335 | ||||||
Centene Corp * | 15,181 | 1,181 | ||||||
Certara Inc * | 3,100 | 41 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Change Healthcare Inc * | 6,535 | $ | 180 | |||||
Charles River Laboratories International Inc * | 1,303 | 256 | ||||||
Chemed Corp | 392 | 171 | ||||||
Cigna Corp | 7,966 | 2,210 | ||||||
Cooper Cos Inc/The, Cl A | 1,268 | 335 | ||||||
CVS Health Corp | 35,008 | 3,339 | ||||||
Danaher Corp, Cl A | 17,295 | 4,467 | ||||||
DaVita Inc * | 1,500 | 124 | ||||||
Definitive Healthcare Corp, Cl A * | 600 | 9 | ||||||
DENTSPLY SIRONA Inc | 5,800 | 164 | ||||||
Dexcom Inc * | 10,472 | 843 | ||||||
Doximity Inc, Cl A * | 2,600 | 79 | ||||||
Edwards Lifesciences Corp, Cl A * | 16,547 | 1,367 | ||||||
Elanco Animal Health Inc * | 11,877 | 147 | ||||||
Elevance Health Inc | 6,463 | 2,936 | ||||||
Eli Lilly & Co | 22,500 | 7,275 | ||||||
Encompass Health Corp | 2,600 | 118 | ||||||
Enhabit Inc * | 1,300 | 18 | ||||||
Enovis Corp * | 1,266 | 58 | ||||||
Envista Holdings Corp * | 4,300 | 141 | ||||||
Exact Sciences Corp * | 4,600 | 149 | ||||||
Exelixis Inc * | 8,200 | 129 | ||||||
Gilead Sciences Inc | 33,544 | 2,069 | ||||||
Globus Medical Inc, Cl A * | 2,100 | 125 | ||||||
Guardant Health Inc * | 2,609 | 140 | ||||||
HCA Healthcare Inc | 5,849 | 1,075 | ||||||
Henry Schein Inc * | 3,647 | 240 | ||||||
Hologic Inc * | 6,600 | 426 | ||||||
Horizon Therapeutics Plc * | 6,000 | 371 | ||||||
Humana Inc | 3,399 | 1,649 | ||||||
ICU Medical Inc * | 519 | 78 | ||||||
IDEXX Laboratories Inc * | 2,229 | 726 | ||||||
Illumina Inc * | 4,228 | 807 | ||||||
Incyte Corp * | 4,943 | 329 | ||||||
Insulet Corp * | 1,819 | 417 | ||||||
Integra LifeSciences Holdings Corp * | 1,900 | 81 | ||||||
Intuitive Surgical Inc * | 9,607 | 1,801 | ||||||
Ionis Pharmaceuticals Inc * | 3,700 | 164 | ||||||
IQVIA Holdings Inc * | 4,905 | 889 | ||||||
Jazz Pharmaceuticals PLC * | 1,680 | 224 | ||||||
Johnson & Johnson | 70,380 | 11,497 | ||||||
Laboratory Corp of America Holdings | 2,437 | 499 | ||||||
Maravai LifeSciences Holdings Inc, Cl A * | 3,000 | 77 | ||||||
Masimo Corp * | 1,300 | 184 | ||||||
McKesson Corp | 3,842 | 1,306 | ||||||
Medtronic PLC | 35,703 | 2,883 | ||||||
Merck & Co Inc | 67,702 | 5,831 | ||||||
Mettler-Toledo International Inc * | 593 | 643 | ||||||
Mirati Therapeutics Inc * | 1,100 | 77 | ||||||
Moderna Inc * | 9,081 | 1,074 | ||||||
Molina Healthcare Inc * | 1,495 | 493 |
74
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Natera Inc * | 2,200 | $ | 96 | |||||
Neurocrine Biosciences Inc * | 2,584 | 274 | ||||||
Novavax Inc * | 2,000 | 36 | ||||||
Novocure Ltd * | 2,775 | 211 | ||||||
Oak Street Health Inc * | 3,200 | 78 | ||||||
Organon & Co | 6,770 | 158 | ||||||
Penumbra Inc * | 900 | 171 | ||||||
PerkinElmer Inc | 3,341 | 402 | ||||||
Perrigo Co PLC | 3,493 | 125 | ||||||
Pfizer Inc | 151,227 | 6,618 | ||||||
Premier Inc, Cl A | 3,200 | 109 | ||||||
QIAGEN NV * | 6,000 | 248 | ||||||
Quest Diagnostics Inc | 3,100 | 380 | ||||||
QuidelOrtho Corp * | 1,300 | 93 | ||||||
Regeneron Pharmaceuticals Inc * | 2,788 | 1,921 | ||||||
Repligen Corp * | 1,450 | 271 | ||||||
ResMed Inc | 3,853 | 841 | ||||||
Royalty Pharma PLC, Cl A | 9,800 | 394 | ||||||
Sarepta Therapeutics Inc * | 2,300 | 254 | ||||||
Seagen Inc * | 3,607 | 494 | ||||||
Signify Health Inc, Cl A * | 1,800 | 52 | ||||||
Sotera Health Co * | 2,700 | 18 | ||||||
STERIS PLC | 2,640 | 439 | ||||||
Stryker Corp | 9,366 | 1,897 | ||||||
Syneos Health Inc, Cl A * | 2,659 | 125 | ||||||
Tandem Diabetes Care Inc * | 1,662 | 80 | ||||||
Teladoc Health Inc * | 4,310 | 109 | ||||||
Teleflex Inc | 1,239 | 250 | ||||||
Tenet Healthcare Corp * | 2,800 | 144 | ||||||
Thermo Fisher Scientific Inc | 10,447 | 5,299 | ||||||
Ultragenyx Pharmaceutical Inc * | 1,700 | 70 | ||||||
United Therapeutics Corp * | 1,172 | 245 | ||||||
UnitedHealth Group Inc | 25,065 | 12,659 | ||||||
Universal Health Services Inc, Cl B | 1,675 | 148 | ||||||
Veeva Systems Inc, Cl A * | 3,768 | 621 | ||||||
Vertex Pharmaceuticals Inc * | 6,811 | 1,972 | ||||||
Viatris Inc, Cl W * | 32,030 | 273 | ||||||
Waters Corp * | 1,599 | 431 | ||||||
West Pharmaceutical Services Inc | 1,928 | 474 | ||||||
Zimmer Biomet Holdings Inc | 5,622 | 588 | ||||||
Zoetis Inc, Cl A | 12,625 | 1,872 | ||||||
131,503 | ||||||||
Industrials — 8.5% | ||||||||
3M Co | 15,152 | 1,674 | ||||||
A O Smith Corp | 3,400 | 165 | ||||||
Acuity Brands Inc | 819 | 129 | ||||||
Advanced Drainage Systems Inc | 1,700 | 211 | ||||||
AECOM | 3,500 | 239 | ||||||
AGCO Corp | 1,700 | 163 | ||||||
Air Lease Corp, Cl A | 2,800 | 87 | ||||||
Alaska Air Group Inc * | 3,200 | 125 | ||||||
Allegion PLC | 2,350 | 211 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Allison Transmission Holdings Inc | 2,500 | $ | 84 | |||||
AMERCO | 237 | 121 | ||||||
American Airlines Group Inc * | 17,072 | 206 | ||||||
AMETEK Inc | 6,183 | 701 | ||||||
Armstrong World Industries Inc | 1,300 | 103 | ||||||
Avis Budget Group Inc * | 800 | 119 | ||||||
Axon Enterprise Inc * | 1,843 | 213 | ||||||
AZEK Co Inc/The, Cl A * | 3,000 | 50 | ||||||
Boeing Co/The * | 14,638 | 1,772 | ||||||
Booz Allen Hamilton Holding Corp, Cl A | 3,540 | 327 | ||||||
Builders FirstSource Inc * | 4,100 | 242 | ||||||
BWX Technologies Inc, Cl W | 2,500 | 126 | ||||||
CACI International Inc, Cl A * | 592 | 155 | ||||||
Carlisle Cos Inc | 1,324 | 371 | ||||||
Carrier Global Corp | 22,852 | 813 | ||||||
Caterpillar Inc, Cl A | 14,145 | 2,321 | ||||||
CH Robinson Worldwide Inc | 3,255 | 313 | ||||||
ChargePoint Holdings Inc * | 5,900 | 87 | ||||||
Cintas Corp | 2,301 | 893 | ||||||
Clarivate PLC * | 12,400 | 116 | ||||||
Clean Harbors Inc * | 1,400 | 154 | ||||||
Copa Holdings SA, Cl A * | 833 | 56 | ||||||
Copart Inc * | 5,714 | 608 | ||||||
Core & Main Inc, Cl A * | 1,600 | 36 | ||||||
CoStar Group Inc * | 10,500 | 731 | ||||||
Crane Holdings Co | 1,300 | 114 | ||||||
CSX Corp | 57,176 | 1,523 | ||||||
Cummins Inc | 3,767 | 767 | ||||||
Curtiss-Wright Corp | 1,000 | 139 | ||||||
Deere & Co | 7,541 | 2,518 | ||||||
Delta Air Lines Inc, Cl A * | 17,321 | 486 | ||||||
Donaldson Co Inc, Cl A | 3,300 | 162 | ||||||
Dover Corp | 3,851 | 449 | ||||||
Driven Brands Holdings Inc * | 1,500 | 42 | ||||||
Dun & Bradstreet Holdings Inc | 6,900 | 85 | ||||||
Eaton Corp PLC | 10,711 | 1,428 | ||||||
Emerson Electric Co | 15,846 | 1,160 | ||||||
Equifax Inc | 3,279 | 562 | ||||||
Esab Corp | 1,366 | 46 | ||||||
Expeditors International of Washington Inc | 4,400 | 389 | ||||||
Fastenal Co, Cl A | 15,387 | 708 | ||||||
FedEx Corp | 6,460 | 959 | ||||||
Flowserve Corp | 3,400 | 83 | ||||||
Fortive Corp | 9,559 | 557 | ||||||
Fortune Brands Home & Security Inc | 3,561 | 191 | ||||||
FTI Consulting Inc * | 852 | 141 | ||||||
Gates Industrial Corp PLC * | 2,600 | 25 | ||||||
Generac Holdings Inc * | 1,700 | 303 | ||||||
General Dynamics Corp | 6,455 | 1,370 | ||||||
General Electric Co | 29,266 | 1,812 | ||||||
Graco Inc | 4,500 | 270 | ||||||
GXO Logistics Inc * | 2,933 | 103 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
75
SCHEDULE OF INVESTMENTS
September 30, 2022
Large Cap Index Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Hayward Holdings Inc * | 2,000 | $ | 18 | |||||
HEICO Corp | 1,250 | 180 | ||||||
HEICO Corp, Cl A | 2,100 | 241 | ||||||
Hertz Global Holdings Inc * | 5,400 | 88 | ||||||
Hexcel Corp, Cl A | 2,200 | 114 | ||||||
Honeywell International Inc | 18,051 | 3,014 | ||||||
Howmet Aerospace Inc | 10,000 | 309 | ||||||
Hubbell Inc, Cl B | 1,405 | 313 | ||||||
Huntington Ingalls Industries Inc, Cl A | 1,027 | 227 | ||||||
IAA Inc * | 3,600 | 115 | ||||||
IDEX Corp | 2,003 | 400 | ||||||
Illinois Tool Works Inc | 8,289 | 1,497 | ||||||
Ingersoll Rand Inc | 10,949 | 474 | ||||||
ITT Inc | 2,248 | 147 | ||||||
Jacobs Solutions Inc | 3,395 | 368 | ||||||
JB Hunt Transport Services Inc | 2,210 | 346 | ||||||
JetBlue Airways Corp * | 8,197 | 54 | ||||||
Johnson Controls International plc | 18,626 | 917 | ||||||
KBR Inc | 3,700 | 160 | ||||||
Kirby Corp * | 1,600 | 97 | ||||||
Knight-Swift Transportation Holdings Inc, Cl A | 4,227 | 207 | ||||||
L3Harris Technologies Inc | 5,143 | 1,069 | ||||||
Landstar System Inc | 992 | 143 | ||||||
Leidos Holdings Inc | 3,600 | 315 | ||||||
Lennox International Inc | 878 | 196 | ||||||
Lincoln Electric Holdings Inc | 1,542 | 194 | ||||||
Lockheed Martin Corp | 6,388 | 2,468 | ||||||
Lyft Inc, Cl A * | 8,300 | 109 | ||||||
ManpowerGroup Inc | 1,388 | 90 | ||||||
Masco Corp | 6,000 | 280 | ||||||
MasTec Inc * | 1,600 | 102 | ||||||
MDU Resources Group Inc | 5,300 | 145 | ||||||
Mercury Systems Inc * | 1,500 | 61 | ||||||
Middleby Corp/The * | 1,439 | 184 | ||||||
MSA Safety Inc | 958 | 105 | ||||||
MSC Industrial Direct Co Inc, Cl A | 1,179 | 86 | ||||||
Nielsen Holdings PLC | 9,500 | 263 | ||||||
Nordson Corp | 1,543 | 328 | ||||||
Norfolk Southern Corp | 6,215 | 1,303 | ||||||
Northrop Grumman Corp | 3,951 | 1,858 | ||||||
nVent Electric PLC | 4,400 | 139 | ||||||
Old Dominion Freight Line Inc, Cl A | 2,670 | 664 | ||||||
Oshkosh Corp | 1,800 | 127 | ||||||
Otis Worldwide Corp | 11,326 | 723 | ||||||
Owens Corning | 2,660 | 209 | ||||||
PACCAR Inc | 9,155 | 766 | ||||||
Parker-Hannifin Corp, Cl A (A) | 3,456 | 837 | ||||||
Pentair PLC | 4,400 | 179 | ||||||
Plug Power Inc * | 14,100 | 296 | ||||||
Quanta Services Inc | 3,800 | 484 | ||||||
Raytheon Technologies Corp | 39,740 | 3,253 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Regal Rexnord Corp | 1,800 | $ | 253 | |||||
Republic Services Inc | 5,546 | 754 | ||||||
Robert Half International Inc | 2,900 | 222 | ||||||
Rockwell Automation Inc | 3,149 | 677 | ||||||
Rollins Inc | 6,300 | 218 | ||||||
Ryder System Inc | 1,400 | 106 | ||||||
Schneider National Inc, Cl B | 1,500 | 30 | ||||||
Science Applications International Corp | 1,500 | 133 | ||||||
Sensata Technologies Holding PLC | 4,100 | 153 | ||||||
SiteOne Landscape Supply Inc * | 1,152 | 120 | ||||||
Snap-on Inc | 1,379 | 278 | ||||||
Southwest Airlines Co, Cl A * | 15,844 | 489 | ||||||
Spirit AeroSystems Holdings Inc, Cl A | 2,700 | 59 | ||||||
Stanley Black & Decker Inc | 3,957 | 298 | ||||||
Stericycle Inc, Cl A * | 2,400 | 101 | ||||||
Sunrun Inc * | 5,409 | 149 | ||||||
Tetra Tech Inc | 1,400 | 180 | ||||||
Textron Inc | 5,638 | 328 | ||||||
Timken Co/The | 1,700 | 100 | ||||||
Toro Co/The | 2,800 | 242 | ||||||
Trane Technologies PLC | 6,220 | 901 | ||||||
TransDigm Group Inc | 1,375 | 722 | ||||||
TransUnion | 5,100 | 303 | ||||||
Trex Co Inc * | 3,100 | 136 | ||||||
Uber Technologies Inc * | 50,429 | 1,336 | ||||||
Union Pacific Corp | 16,836 | 3,280 | ||||||
United Airlines Holdings Inc * | 8,873 | 289 | ||||||
United Parcel Service Inc, Cl B | 19,696 | 3,182 | ||||||
United Rentals Inc * | 1,894 | 512 | ||||||
Univar Solutions Inc * | 4,500 | 102 | ||||||
Valmont Industries Inc | 559 | 150 | ||||||
Verisk Analytics Inc, Cl A | 4,149 | 708 | ||||||
Vertiv Holdings Co, Cl A | 8,500 | 83 | ||||||
Waste Management Inc | 11,050 | 1,770 | ||||||
Watsco Inc | 876 | 226 | ||||||
WESCO International Inc * | 1,200 | 143 | ||||||
Westinghouse Air Brake Technologies Corp | 4,866 | 396 | ||||||
WillScot Mobile Mini Holdings Corp, Cl A * | 5,500 | 222 | ||||||
Woodward Inc | 1,642 | 132 | ||||||
WW Grainger Inc | 1,211 | 592 | ||||||
XPO Logistics Inc * | 2,733 | 122 | ||||||
Xylem Inc/NY | 4,838 | 423 | ||||||
76,996 | ||||||||
Information Technology — 25.8% | ||||||||
Accenture PLC, Cl A | 16,947 | 4,360 | ||||||
Adobe Inc * | 12,603 | 3,468 | ||||||
Advanced Micro Devices Inc * | 43,232 | 2,739 | ||||||
Affirm Holdings Inc, Cl A * | 4,700 | 88 | ||||||
Akamai Technologies Inc * | 4,200 | 337 | ||||||
Allegro MicroSystems Inc * | 1,400 | 31 | ||||||
Alteryx Inc, Cl A * | 1,536 | 86 | ||||||
Amdocs Ltd | 3,300 | 262 |
76
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Amphenol Corp, Cl A | 15,732 | $ | 1,053 | |||||
Analog Devices Inc | 13,937 | 1,942 | ||||||
ANSYS Inc * | 2,275 | 504 | ||||||
Apple Inc | 409,111 | 56,539 | ||||||
Applied Materials Inc | 23,197 | 1,901 | ||||||
AppLovin Corp, Cl A * | 6,000 | 117 | ||||||
Arista Networks Inc * | 6,552 | 740 | ||||||
Arrow Electronics Inc, Cl A * | 1,731 | 160 | ||||||
Aspen Technology Inc * | 731 | 174 | ||||||
Atlassian Corp PLC, Cl A * | 3,643 | 767 | ||||||
Autodesk Inc, Cl A * | 5,782 | 1,080 | ||||||
Automatic Data Processing Inc | 11,174 | 2,527 | ||||||
Avalara Inc * | 2,343 | 215 | ||||||
Avnet Inc | 2,700 | 98 | ||||||
Bentley Systems Inc, Cl B | 4,600 | 141 | ||||||
Bill.com Holdings Inc * | 2,641 | 350 | ||||||
Black Knight Inc * | 4,200 | 272 | ||||||
Block Inc, Cl A * | 13,853 | 762 | ||||||
Broadcom Inc | 10,531 | 4,676 | ||||||
Broadridge Financial Solutions Inc | 3,125 | 451 | ||||||
Cadence Design Systems Inc * | 7,302 | 1,193 | ||||||
CCC Intelligent Solutions Holdings Inc * | 4,500 | 41 | ||||||
CDW Corp/DE | 3,645 | 569 | ||||||
Ceridian HCM Holding Inc * | 3,755 | 210 | ||||||
Ciena Corp * | 4,100 | 166 | ||||||
Cirrus Logic Inc * | 1,500 | 103 | ||||||
Cisco Systems Inc | 111,175 | 4,447 | ||||||
Citrix Systems Inc | 3,402 | 354 | ||||||
Cloudflare Inc, Cl A * | 7,500 | 415 | ||||||
Cognex Corp | 4,700 | 195 | ||||||
Cognizant Technology Solutions Corp, Cl A | 13,861 | 796 | ||||||
Coherent Corp * | 3,385 | 118 | ||||||
Concentrix Corp | 1,200 | 134 | ||||||
Confluent Inc, Cl A * | 3,300 | 78 | ||||||
Corning Inc, Cl B | 20,414 | 592 | ||||||
Coupa Software Inc * | 2,012 | 118 | ||||||
Crowdstrike Holdings Inc, Cl A * | 5,641 | 930 | ||||||
Datadog Inc, Cl A * | 6,900 | 613 | ||||||
Dell Technologies Inc, Cl C | 6,887 | 235 | ||||||
DocuSign Inc, Cl A * | 5,320 | 284 | ||||||
Dolby Laboratories Inc, Cl A | 1,653 | 108 | ||||||
DoubleVerify Holdings Inc * | 1,800 | 49 | ||||||
Dropbox Inc, Cl A * | 7,300 | 151 | ||||||
DXC Technology Co * | 6,081 | 149 | ||||||
Dynatrace Inc * | 5,300 | 185 | ||||||
Elastic NV * | 2,000 | 144 | ||||||
Enphase Energy Inc * | 3,540 | 982 | ||||||
Entegris Inc | 4,000 | 332 | ||||||
EPAM Systems Inc * | 1,510 | 547 | ||||||
Euronet Worldwide Inc * | 1,200 | 91 | ||||||
F5 Inc, Cl A * | 1,581 | 229 | ||||||
Fair Isaac Corp * | 662 | 273 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Fidelity National Information Services Inc, Cl B | 16,319 | $ | 1,233 | |||||
First Solar Inc * | 2,800 | 370 | ||||||
Fiserv Inc, Cl A * | 15,728 | 1,472 | ||||||
Five9 Inc * | 1,800 | 135 | ||||||
FleetCor Technologies Inc * | 1,911 | 337 | ||||||
Fortinet Inc * | 17,335 | 852 | ||||||
Gartner Inc * | 2,025 | 560 | ||||||
Genpact Ltd | 4,900 | 214 | ||||||
Global Payments Inc | 7,377 | 797 | ||||||
GLOBALFOUNDRIES Inc *(A) | 1,700 | 82 | ||||||
Globant SA * | 1,053 | 197 | ||||||
GoDaddy Inc, Cl A * | 4,225 | 300 | ||||||
Guidewire Software Inc, Cl Z * | 2,182 | 134 | ||||||
Hewlett Packard Enterprise Co | 34,807 | 417 | ||||||
HP Inc | 27,701 | 690 | ||||||
HubSpot Inc * | 1,171 | 316 | ||||||
Informatica Inc, Cl A * | 900 | 18 | ||||||
Intel Corp | 109,376 | 2,819 | ||||||
International Business Machines Corp | 24,037 | 2,856 | ||||||
Intuit Inc | 7,399 | 2,866 | ||||||
IPG Photonics Corp * | 972 | 82 | ||||||
Jabil Inc | 3,700 | 214 | ||||||
Jack Henry & Associates Inc | 1,894 | 345 | ||||||
Jamf Holding Corp * | 1,790 | 40 | ||||||
Juniper Networks Inc | 8,500 | 222 | ||||||
Keysight Technologies Inc * | 4,832 | 760 | ||||||
KLA Corp | 3,789 | 1,147 | ||||||
Kyndryl Holdings Inc * | 6,077 | 50 | ||||||
Lam Research Corp | 3,607 | 1,320 | ||||||
Lattice Semiconductor Corp * | 3,600 | 177 | ||||||
Littelfuse Inc | 600 | 119 | ||||||
Lumentum Holdings Inc * | 1,900 | 130 | ||||||
Manhattan Associates Inc * | 1,705 | 227 | ||||||
Marvell Technology Inc | 22,759 | 977 | ||||||
Mastercard Inc, Cl A | 23,037 | 6,550 | ||||||
Microchip Technology Inc | 14,350 | 876 | ||||||
Micron Technology Inc | 29,473 | 1,477 | ||||||
Microsoft Corp | 200,223 | 46,632 | ||||||
MKS Instruments Inc | 1,500 | 124 | ||||||
MongoDB Inc, Cl A * | 1,664 | 330 | ||||||
Monolithic Power Systems Inc | 1,184 | 430 | ||||||
Motorola Solutions Inc | 4,364 | 977 | ||||||
National Instruments Corp | 3,527 | 133 | ||||||
nCino inc * | 1,500 | 51 | ||||||
NCR Corp * | 3,423 | 65 | ||||||
NetApp Inc | 5,900 | 365 | ||||||
New Relic Inc * | 1,400 | 80 | ||||||
NortonLifeLock Inc | 15,201 | 306 | ||||||
Nutanix Inc, Cl A * | 5,559 | 116 | ||||||
NVIDIA Corp | 64,454 | 7,824 | ||||||
Okta Inc, Cl A * | 4,016 | 228 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
77
SCHEDULE OF INVESTMENTS
September 30, 2022
Large Cap Index Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
ON Semiconductor Corp * | 11,657 | $ | 727 | |||||
Oracle Corp, Cl B | 40,493 | 2,473 | ||||||
Palantir Technologies Inc, Cl A * | 48,220 | 392 | ||||||
Palo Alto Networks Inc * | 7,823 | 1,281 | ||||||
Paychex Inc | 8,590 | 964 | ||||||
Paycom Software Inc * | 1,366 | 451 | ||||||
Paycor HCM Inc * | 1,400 | 41 | ||||||
Paylocity Holding Corp * | 1,035 | 250 | ||||||
PayPal Holdings Inc * | 30,920 | 2,661 | ||||||
Pegasystems Inc | 1,100 | 35 | ||||||
Procore Technologies Inc * | 1,900 | 94 | ||||||
PTC Inc * | 2,865 | 300 | ||||||
Pure Storage Inc, Cl A * | 7,600 | 208 | ||||||
Qorvo Inc * | 2,724 | 216 | ||||||
QUALCOMM Inc | 29,943 | 3,383 | ||||||
RingCentral Inc, Cl A * | 2,155 | 86 | ||||||
Roper Technologies Inc | 2,840 | 1,021 | ||||||
Salesforce Inc * | 25,754 | 3,704 | ||||||
SentinelOne Inc, Cl A * | 4,600 | 118 | ||||||
ServiceNow Inc * | 5,355 | 2,022 | ||||||
Shift4 Payments Inc, Cl A * | 1,500 | 67 | ||||||
Skyworks Solutions Inc | 4,326 | 369 | ||||||
Smartsheet Inc, Cl A * | 3,300 | 113 | ||||||
Snowflake Inc, Cl A * | 8,200 | 1,394 | ||||||
Splunk Inc * | 4,382 | 330 | ||||||
SS&C Technologies Holdings Inc | 5,900 | 282 | ||||||
Switch Inc, Cl A | 3,900 | 131 | ||||||
Synopsys Inc * | 4,092 | 1,250 | ||||||
TD SYNNEX Corp | 1,100 | 89 | ||||||
Teledyne Technologies Inc * | 1,194 | 403 | ||||||
Teradata Corp * | 2,897 | 90 | ||||||
Teradyne Inc | 4,154 | 312 | ||||||
Texas Instruments Inc | 24,638 | 3,814 | ||||||
Thoughtworks Holding Inc * | 2,400 | 25 | ||||||
Toast Inc, Cl A * | 6,000 | 100 | ||||||
Trimble Inc * | 6,800 | 369 | ||||||
Twilio Inc, Cl A * | 4,658 | 322 | ||||||
Tyler Technologies Inc * | 1,060 | 368 | ||||||
Ubiquiti Inc | 169 | 50 | ||||||
UiPath Inc, Cl A * | 10,000 | 126 | ||||||
Unity Software Inc * | 5,553 | 177 | ||||||
Universal Display Corp | 1,142 | 108 | ||||||
VeriSign Inc * | 2,548 | 443 | ||||||
Viasat Inc * | 1,900 | 57 | ||||||
Visa Inc, Cl A | 44,004 | 7,817 | ||||||
VMware Inc, Cl A | 5,575 | 594 | ||||||
Vontier Corp | 4,463 | 75 | ||||||
Western Digital Corp * | 8,292 | 270 | ||||||
Western Union Co/The | 10,600 | 143 | ||||||
WEX Inc * | 1,195 | 152 | ||||||
Wix.com Ltd * | 1,400 | 109 | ||||||
Wolfspeed Inc * | 3,130 | 324 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Workday Inc, Cl A * | 5,239 | $ | 798 | |||||
Zebra Technologies Corp, Cl A * | 1,384 | 363 | ||||||
Zendesk Inc * | 3,252 | 248 | ||||||
Zoom Video Communications Inc, Cl A * | 6,800 | 500 | ||||||
Zscaler Inc * | 2,264 | 372 | ||||||
232,691 | ||||||||
Materials — 2.7% | ||||||||
Air Products and Chemicals Inc | 5,910 | 1,375 | ||||||
Albemarle Corp | 3,156 | 835 | ||||||
Alcoa Corp | 4,900 | 165 | ||||||
Amcor PLC | 40,100 | 430 | ||||||
AptarGroup Inc | 1,800 | 171 | ||||||
Ardagh Metal Packaging SA | 5,550 | 27 | ||||||
Ashland Inc | 1,400 | 133 | ||||||
Avery Dennison Corp | 2,166 | 352 | ||||||
Axalta Coating Systems Ltd * | 6,000 | 126 | ||||||
Ball Corp | 8,235 | 398 | ||||||
Berry Global Group Inc * | 3,277 | 152 | ||||||
Celanese Corp, Cl A | 2,938 | 265 | ||||||
CF Industries Holdings Inc | 5,337 | 514 | ||||||
Chemours Co/The | 4,200 | 104 | ||||||
Cleveland-Cliffs Inc * | 14,000 | 189 | ||||||
Corteva Inc | 19,334 | 1,105 | ||||||
Crown Holdings Inc | 3,100 | 251 | ||||||
Dow Inc | 19,275 | 847 | ||||||
DuPont de Nemours Inc | 13,438 | 677 | ||||||
Eagle Materials Inc | 1,059 | 114 | ||||||
Eastman Chemical Co | 3,232 | 230 | ||||||
Ecolab Inc | 6,588 | 951 | ||||||
Element Solutions Inc | 6,100 | 99 | ||||||
FMC Corp | 3,410 | 360 | ||||||
Freeport-McMoRan Inc, Cl B | 38,302 | 1,047 | ||||||
Ginkgo Bioworks Holdings Inc *(A) | 22,000 | 69 | ||||||
Graphic Packaging Holding Co | 8,300 | 164 | ||||||
Huntsman Corp | 5,105 | 125 | ||||||
International Flavors & Fragrances Inc | 6,869 | 624 | ||||||
International Paper Co | 9,591 | 304 | ||||||
Linde PLC | 13,400 | 3,612 | ||||||
Louisiana-Pacific Corp | 1,900 | 97 | ||||||
LyondellBasell Industries NV, Cl A | 6,961 | 524 | ||||||
Martin Marietta Materials Inc, Cl A | 1,616 | 520 | ||||||
Mosaic Co/The | 9,300 | 450 | ||||||
MP Materials Corp * | 2,400 | 66 | ||||||
NewMarket Corp | 182 | 55 | ||||||
Newmont Corp | 21,255 | 893 | ||||||
Nucor Corp | 7,041 | 753 | ||||||
Olin Corp | 3,700 | 159 | ||||||
Packaging Corp of America | 2,464 | 277 | ||||||
PPG Industries Inc | 6,288 | 696 | ||||||
Reliance Steel & Aluminum Co | 1,629 | 284 | ||||||
Royal Gold Inc, Cl A | 1,747 | 164 | ||||||
RPM International Inc | 3,400 | 283 |
78
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Scotts Miracle-Gro Co/The, Cl A | 1,077 | $ | 46 | |||||
Sealed Air Corp | 3,900 | 174 | ||||||
Sherwin-Williams Co/The, Cl A | 6,342 | 1,299 | ||||||
Silgan Holdings Inc | 2,230 | 94 | ||||||
Sonoco Products Co | 2,600 | 147 | ||||||
Southern Copper Corp | 2,200 | 99 | ||||||
SSR Mining Inc | 5,700 | 84 | ||||||
Steel Dynamics Inc | 4,649 | 330 | ||||||
United States Steel Corp | 6,200 | 112 | ||||||
Valvoline Inc | 4,800 | 122 | ||||||
Vulcan Materials Co | 3,539 | 558 | ||||||
Westlake Corp | 932 | 81 | ||||||
Westrock Co | 6,900 | 213 | ||||||
24,395 | ||||||||
Real Estate — 3.2% | ||||||||
Alexandria Real Estate Equities Inc ‡ | 4,348 | 610 | ||||||
American Homes 4 Rent, Cl A ‡ | 8,200 | 269 | ||||||
American Tower Corp, Cl A ‡ | 12,384 | 2,659 | ||||||
Americold Realty Trust Inc ‡ | 7,100 | 175 | ||||||
Apartment Income REIT Corp ‡ | 4,165 | 161 | ||||||
AvalonBay Communities Inc ‡ | 3,759 | 692 | ||||||
Boston Properties Inc ‡ | 4,162 | 312 | ||||||
Brixmor Property Group Inc ‡ | 7,900 | 146 | ||||||
Camden Property Trust ‡ | 2,769 | 331 | ||||||
CBRE Group Inc, Cl A * | 8,600 | 581 | ||||||
Cousins Properties Inc ‡ | 4,000 | 93 | ||||||
Crown Castle Inc ‡ | 11,536 | 1,667 | ||||||
CubeSmart ‡ | 6,100 | 244 | ||||||
Digital Realty Trust Inc, Cl A ‡ | 7,573 | 751 | ||||||
Douglas Emmett Inc ‡ | 4,500 | 81 | ||||||
Duke Realty Corp ‡ | 10,300 | 496 | ||||||
EastGroup Properties Inc ‡ | 1,100 | 159 | ||||||
EPR Properties, Cl A ‡ | 1,900 | 68 | ||||||
Equinix Inc ‡ | 2,412 | 1,372 | ||||||
Equity LifeStyle Properties Inc ‡ | 4,700 | 295 | ||||||
Equity Residential ‡ | 9,883 | 664 | ||||||
Essex Property Trust Inc ‡ | 1,717 | 416 | ||||||
Extra Space Storage Inc ‡ | 3,540 | 611 | ||||||
Federal Realty Investment Trust ‡ | 2,146 | 193 | ||||||
First Industrial Realty Trust Inc ‡ | 3,600 | 161 | ||||||
Gaming and Leisure Properties Inc ‡ | 6,410 | 284 | ||||||
Healthcare Realty Trust Inc, Cl A ‡ | 10,300 | 215 | ||||||
Healthpeak Properties Inc ‡ | 14,570 | 334 | ||||||
Highwoods Properties Inc ‡ | 2,778 | 75 | ||||||
Host Hotels & Resorts Inc ‡ | 19,202 | 305 | ||||||
Howard Hughes Corp/The *‡ | 1,063 | 59 | ||||||
Hudson Pacific Properties Inc ‡ | 3,800 | 42 | ||||||
Invitation Homes Inc ‡ | 16,400 | 554 | ||||||
Iron Mountain Inc ‡ | 7,800 | 343 | ||||||
JBG SMITH Properties ‡ | 2,800 | 52 | ||||||
Jones Lang LaSalle Inc *‡ | 1,303 | 197 | ||||||
Kilroy Realty Corp ‡ | 3,100 | 130 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Kimco Realty Corp ‡ | 16,305 | $ | 300 | |||||
Lamar Advertising Co, Cl A ‡ | 2,300 | 190 | ||||||
Life Storage Inc ‡ | 2,251 | 249 | ||||||
Medical Properties Trust Inc ‡ | 15,735 | 187 | ||||||
Mid-America Apartment Communities Inc ‡ | 3,100 | 481 | ||||||
National Retail Properties Inc ‡ | 4,600 | 183 | ||||||
National Storage Affiliates Trust ‡ | 2,300 | 96 | ||||||
Omega Healthcare Investors Inc ‡ | 6,245 | 184 | ||||||
Opendoor Technologies Inc *‡ | 12,400 | 39 | ||||||
Park Hotels & Resorts Inc ‡ | 6,400 | 72 | ||||||
Prologis Inc ‡ | 19,720 | 2,004 | ||||||
Public Storage ‡ | 4,156 | 1,217 | ||||||
Rayonier Inc ‡ | 4,000 | 120 | ||||||
Realty Income Corp ‡ | 16,239 | 945 | ||||||
Regency Centers Corp ‡ | 4,600 | 248 | ||||||
Rexford Industrial Realty Inc ‡ | 4,500 | 234 | ||||||
SBA Communications Corp, Cl A ‡ | 2,837 | 808 | ||||||
Simon Property Group Inc ‡ | 8,735 | 784 | ||||||
SL Green Realty Corp ‡ | 1,830 | 73 | ||||||
Spirit Realty Capital Inc ‡ | 3,678 | 133 | ||||||
STORE Capital Corp ‡ | 6,900 | 216 | ||||||
Sun Communities Inc ‡ | 3,283 | 444 | ||||||
UDR Inc ‡ | 8,600 | 359 | ||||||
Ventas Inc ‡ | 10,790 | 433 | ||||||
VICI Properties Inc ‡ | 25,694 | 767 | ||||||
Vornado Realty Trust ‡ | 4,600 | 106 | ||||||
Welltower Inc ‡ | 12,200 | 785 | ||||||
WeWork Inc, Cl A *‡ | 3,500 | 9 | ||||||
Weyerhaeuser Co ‡ | 20,097 | 574 | ||||||
WP Carey Inc ‡ | 5,090 | 355 | ||||||
Zillow Group Inc, Cl A *‡ | 1,600 | 46 | ||||||
Zillow Group Inc, Cl C *‡ | 4,400 | 126 | ||||||
28,564 | ||||||||
Utilities — 2.9% | ||||||||
AES Corp/The | 18,000 | 407 | ||||||
Alliant Energy Corp | 6,821 | 361 | ||||||
Ameren Corp | 6,925 | 558 | ||||||
American Electric Power Co Inc | 13,729 | 1,187 | ||||||
American Water Works Co Inc | 4,865 | 633 | ||||||
Atmos Energy Corp | 3,666 | 373 | ||||||
Avangrid Inc | 1,900 | 79 | ||||||
Brookfield Renewable Corp, Cl A | 3,400 | 111 | ||||||
CenterPoint Energy Inc | 16,955 | 478 | ||||||
CMS Energy Corp | 7,710 | 449 | ||||||
Consolidated Edison Inc | 9,479 | 813 | ||||||
Constellation Energy Corp | 8,813 | 733 | ||||||
Dominion Energy Inc | 22,202 | 1,534 | ||||||
DTE Energy Co | 5,213 | 600 | ||||||
Duke Energy Corp | 20,612 | 1,917 | ||||||
Edison International | 10,049 | 569 | ||||||
Entergy Corp | 5,489 | 552 | ||||||
Essential Utilities Inc | 6,100 | 252 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
79
SCHEDULE OF INVESTMENTS
September 30, 2022
Large Cap Index Fund (Concluded)
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Evergy Inc | 6,017 | $ | 357 | |||||
Exelon Corp | 26,639 | 998 | ||||||
FirstEnergy Corp | 14,500 | 536 | ||||||
Hawaiian Electric Industries Inc | 2,800 | 97 | ||||||
IDACORP Inc, Cl A | 1,400 | 139 | ||||||
National Fuel Gas Co | 2,300 | 142 | ||||||
NextEra Energy Inc | 52,532 | 4,119 | ||||||
NiSource Inc | 10,900 | 275 | ||||||
NRG Energy Inc | 6,300 | 241 | ||||||
OGE Energy Corp | 5,300 | 193 | ||||||
PG&E Corp * | 41,306 | 516 | ||||||
Pinnacle West Capital Corp | 3,000 | 194 | ||||||
PPL Corp | 19,603 | 497 | ||||||
Public Service Enterprise Group Inc | 13,404 | 754 | ||||||
Sempra Energy | 8,431 | 1,264 | ||||||
Southern Co/The | 28,362 | 1,929 | ||||||
UGI Corp | 5,530 | 179 | ||||||
Vistra Corp | 10,869 | 228 | ||||||
WEC Energy Group Inc | 8,484 | 759 | ||||||
Xcel Energy Inc | 14,590 | 934 | ||||||
25,957 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Total Common Stock | ||||||||
(Cost $757,743) ($ Thousands) | $ | 895,927 | ||||||
AFFILIATED PARTNERSHIP — 0.1% | ||||||||
SEI Liquidity Fund, LP | ||||||||
2.930% **†(B) | 855,535 | 855 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $856) ($ Thousands) | 855 | |||||||
CASH EQUIVALENT — 0.6% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
2.600%**† | 5,327,145 | 5,327 | ||||||
Total Cash Equivalent | ||||||||
(Cost $5,327) ($ Thousands) | 5,327 | |||||||
Total Investments in Securities — 100.0% | ||||||||
(Cost $763,926) ($ Thousands) | $ | 902,109 |
A list of the open futures contracts held by the Fund at September 30, 2022 is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Depreciation (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 Index E-MINI | 39 | Dec-2022 | $ | 7,720 | $ | 7,023 | $ | (697 | ) | |||||||||||
S&P Mid Cap 400 Index E-MINI | 3 | Dec-2022 | 751 | 662 | (89 | ) | ||||||||||||||
$ | 8,471 | $ | 7,685 | $ | (786 | ) |
| Percentages are based on Net Assets of $901,688 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2022. |
‡ | 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, 2022 (see Note 12). The total market value of securities on loan at September 30, 2022 was $822 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of September 30, 2022 was $855 ($ Thousands). |
The following is a summary of the level of inputs used as of September 30, 2022, 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 | 895,927 | – | – | 895,927 | ||||||||||||
Affiliated Partnership | – | 855 | – | 855 | ||||||||||||
Cash Equivalent | 5,327 | – | – | 5,327 | ||||||||||||
Total Investments in Securities | 901,254 | 855 | – | 902,109 |
Other Financial Instruments | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | (786 | ) | – | – | (786 | ) | ||||||||||
Total Other Financial Instruments | (786 | ) | – | – | (786 | ) |
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
80
SEI Institutional Managed Trust / Annual Report / September 30, 2022
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2022 ($ Thousands):
Security Description | Value 9/30/2021 | Purchases at Cost | Proceeds from Sales | RealizedGain/(Loss) | Change in Unrealized Appreciation/(Depreciation) | Value 9/30/2022 | Shares | Income | Capital Gains | |||||||||||||||||||||||||||
SEI Investments Co | $ | 172 | $ | — | $ | (7 | ) | $ | (1 | ) | $ | (27 | ) | $ | 137 | 2,800 | $ | 2 | $ | — | ||||||||||||||||
SEI Liquidity Fund, LP | 545 | 8,638 | (8,327 | ) | — | (1 | ) | 855 | 855,535 | 39 | — | |||||||||||||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | 12,691 | 139,097 | (146,461 | ) | — | — | 5,327 | 5,327,145 | 42 | — | ||||||||||||||||||||||||||
Totals | $ | 13,408 | $ | 147,735 | $ | (154,795 | ) | $ | (1 | ) | $ | (28 | ) | $ | 6,319 | $ | 83 | $ | — |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
81
SCHEDULE OF INVESTMENTS
September 30, 2022
Tax-Managed Large Cap Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Shares | Market Value | ||||||
COMMON STOCK — 99.4% | ||||||||
Communication Services — 5.3% | ||||||||
Alphabet Inc, Cl A * | 524,280 | $ | 50,147 | |||||
Alphabet Inc, Cl C * | 456,960 | 43,937 | ||||||
AT&T Inc | 209,514 | 3,214 | ||||||
BCE Inc (A) | 433,577 | 18,184 | ||||||
Charter Communications Inc, Cl A * | 12,696 | 3,851 | ||||||
Comcast Corp, Cl A | 121,805 | 3,572 | ||||||
Electronic Arts Inc | 44,812 | 5,185 | ||||||
Fox Corp, Cl A | 63,219 | 1,940 | ||||||
Meta Platforms Inc, Cl A * | 135,757 | 18,420 | ||||||
Omnicom Group Inc | 87,409 | 5,515 | ||||||
Paramount Global, Cl B | 245,524 | 4,675 | ||||||
TEGNA Inc | 153,973 | 3,184 | ||||||
Verizon Communications Inc | 97,068 | 3,686 | ||||||
Walt Disney Co/The * | 279,123 | 26,330 | ||||||
Warner Bros Discovery Inc * | 26,652 | 306 | ||||||
192,146 | ||||||||
Consumer Discretionary — 10.7% | ||||||||
Amazon.com Inc, Cl A * | 368,960 | 41,692 | ||||||
AutoZone Inc * | 16,513 | 35,370 | ||||||
Best Buy Co Inc | 185,088 | 11,723 | ||||||
Booking Holdings Inc * | 2,537 | 4,169 | ||||||
BorgWarner Inc | 89,239 | 2,802 | ||||||
Brinker International Inc * | 141,821 | 3,543 | ||||||
Darden Restaurants Inc | 3,127 | 395 | ||||||
Dick's Sporting Goods Inc (A) | 94,331 | 9,871 | ||||||
Dollar General Corp | 207,000 | 49,651 | ||||||
Domino's Pizza Inc | 16,892 | 5,240 | ||||||
DR Horton Inc | 16,198 | 1,091 | ||||||
eBay Inc | 127,055 | 4,677 | ||||||
Foot Locker Inc, Cl A | 65,687 | 2,045 | ||||||
Genuine Parts Co | 79,642 | 11,892 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Goodyear Tire & Rubber Co/The * | 406,438 | $ | 4,101 | |||||
Grand Canyon Education Inc * | 9,300 | 765 | ||||||
Harley-Davidson Inc, Cl A | 88,020 | 3,070 | ||||||
Home Depot Inc/The | 28,380 | 7,831 | ||||||
Lear Corp | 89,362 | 10,696 | ||||||
Lowe's Cos Inc | 328,236 | 61,646 | ||||||
Magna International Inc, Cl A | 19,822 | 940 | ||||||
NIKE Inc, Cl B | 357,743 | 29,736 | ||||||
O'Reilly Automotive Inc * | 1,906 | 1,340 | ||||||
PulteGroup Inc | 251,522 | 9,432 | ||||||
Ross Stores Inc | 102,513 | 8,639 | ||||||
Royal Caribbean Cruises Ltd * | 81,005 | 3,070 | ||||||
Starbucks Corp | 68,046 | 5,733 | ||||||
Target Corp, Cl A | 113,908 | 16,903 | ||||||
TJX Cos Inc/The | 374,562 | 23,268 | ||||||
TopBuild Corp * | 31,775 | 5,236 | ||||||
Whirlpool Corp | 59,551 | 8,028 | ||||||
384,595 | ||||||||
Consumer Staples — 7.9% | ||||||||
Altria Group Inc | 259,337 | 10,472 | ||||||
Archer-Daniels-Midland Co | 50,878 | 4,093 | ||||||
Coca-Cola Co/The | 123,765 | 6,933 | ||||||
Conagra Brands Inc | 427,352 | 13,944 | ||||||
Constellation Brands Inc, Cl A | 10,975 | 2,521 | ||||||
Costco Wholesale Corp | 18,347 | 8,665 | ||||||
Diageo PLC ADR | 73,341 | 12,454 | ||||||
Estee Lauder Cos Inc/The, Cl A | 35,000 | 7,556 | ||||||
Hershey Co/The | 26,426 | 5,826 | ||||||
Ingredion Inc | 26,094 | 2,101 | ||||||
J M Smucker Co/The | 115,422 | 15,860 | ||||||
Kimberly-Clark Corp | 41,873 | 4,713 | ||||||
Kraft Heinz Co/The | 115,076 | 3,838 | ||||||
Kroger Co/The | 805,536 | 35,242 | ||||||
Lamb Weston Holdings Inc | 16,377 | 1,267 | ||||||
Molson Coors Beverage Co, Cl B | 246,452 | 11,827 | ||||||
Mondelez International Inc, Cl A | 24,475 | 1,342 | ||||||
Monster Beverage Corp * | 13,727 | 1,194 | ||||||
PepsiCo Inc | 208,587 | 34,054 | ||||||
Philip Morris International Inc | 372,863 | 30,951 | ||||||
Procter & Gamble Co/The | 233,806 | 29,518 | ||||||
Sysco Corp, Cl A | 22,279 | 1,575 | ||||||
Tyson Foods Inc, Cl A | 253,116 | 16,688 | ||||||
Unilever PLC ADR | 162,720 | 7,134 | ||||||
Walgreens Boots Alliance Inc | 303,967 | 9,545 | ||||||
Walmart Inc | 43,983 | 5,705 | ||||||
285,018 | ||||||||
Energy — 4.3% | ||||||||
Canadian Natural Resources Ltd | 293,668 | 13,676 | ||||||
Chevron Corp | 212,408 | 30,517 | ||||||
ConocoPhillips | 204,582 | 20,937 | ||||||
Devon Energy Corp | 507,321 | 30,505 |
82
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Exxon Mobil Corp | 129,439 | $ | 11,301 | |||||
HF Sinclair Corp | 40,846 | 2,199 | ||||||
Marathon Petroleum Corp | 154,884 | 15,385 | ||||||
Phillips 66 | 109,951 | 8,875 | ||||||
Shell PLC ADR | 66,816 | 3,325 | ||||||
Valero Energy Corp | 173,346 | 18,522 | ||||||
155,242 | ||||||||
Financials — 14.9% | ||||||||
Aflac Inc | 136,144 | 7,651 | ||||||
Allstate Corp/The | 59,438 | 7,402 | ||||||
American Financial Group Inc/OH | 11,100 | 1,365 | ||||||
Ameriprise Financial Inc | 82,444 | 20,772 | ||||||
Assurant Inc | 33,412 | 4,854 | ||||||
Assured Guaranty Ltd | 31,872 | 1,544 | ||||||
Bank of America Corp | 1,487,091 | 44,910 | ||||||
Berkshire Hathaway Inc, Cl B * | 93,247 | 24,899 | ||||||
Capital One Financial Corp | 43,778 | 4,035 | ||||||
Charles Schwab Corp/The | 225,691 | 16,220 | ||||||
Citigroup Inc | 120,793 | 5,033 | ||||||
Citizens Financial Group Inc | 262,482 | 9,019 | ||||||
CME Group Inc, Cl A | 77,815 | 13,783 | ||||||
Comerica Inc | 75,804 | 5,390 | ||||||
Discover Financial Services | 126,480 | 11,500 | ||||||
Everest Re Group Ltd | 38,172 | 10,018 | ||||||
FactSet Research Systems Inc | 11,209 | 4,485 | ||||||
Fifth Third Bancorp | 589,594 | 18,843 | ||||||
First Republic Bank/CA | 31,568 | 4,121 | ||||||
Goldman Sachs Group Inc/The | 21,644 | 6,343 | ||||||
Hartford Financial Services Group Inc/The | 66,936 | 4,146 | ||||||
Intercontinental Exchange Inc | 58,438 | 5,280 | ||||||
JPMorgan Chase & Co | 444,568 | 46,457 | ||||||
KeyCorp | 778,006 | 12,464 | ||||||
KKR & Co Inc | 122,910 | 5,285 | ||||||
Lincoln National Corp | 232,070 | 10,190 | ||||||
Markel Corp * | 6,756 | 7,325 | ||||||
Marsh & McLennan Cos Inc | 138,328 | 20,651 | ||||||
Moody's Corp | 257,973 | 62,716 | ||||||
Morgan Stanley | 311,935 | 24,646 | ||||||
MSCI Inc, Cl A | 64,006 | 26,997 | ||||||
Navient Corp | 263,511 | 3,871 | ||||||
PNC Financial Services Group Inc/The | 36,433 | 5,444 | ||||||
Popular Inc | 125,661 | 9,055 | ||||||
Progressive Corp/The | 23,730 | 2,758 | ||||||
Prudential Financial Inc | 17,700 | 1,518 | ||||||
Regions Financial Corp | 599,114 | 12,024 | ||||||
S&P Global Inc | 17,358 | 5,300 | ||||||
SLM Corp | 230,135 | 3,220 | ||||||
Travelers Cos Inc/The | 119,703 | 18,339 | ||||||
Truist Financial Corp | 71,501 | 3,113 | ||||||
US Bancorp | 113,960 | 4,595 | ||||||
Voya Financial Inc | 156,840 | 9,489 | ||||||
Wells Fargo & Co | 92,870 | 3,735 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Willis Towers Watson PLC | 3,595 | $ | 722 | |||||
Zions Bancorp NA | 112,806 | 5,737 | ||||||
537,264 | ||||||||
Health Care — 16.4% | ||||||||
Abbott Laboratories | 84,496 | 8,176 | ||||||
AbbVie Inc | 92,048 | 12,354 | ||||||
AmerisourceBergen Corp, Cl A | 137,635 | 18,626 | ||||||
Amgen Inc, Cl A | 145,540 | 32,805 | ||||||
AstraZeneca PLC ADR | 99,185 | 5,440 | ||||||
Becton Dickinson and Co | 113,758 | 25,349 | ||||||
Biogen Inc * | 23,794 | 6,353 | ||||||
Bristol-Myers Squibb Co | 192,866 | 13,711 | ||||||
Cardinal Health Inc | 36,074 | 2,405 | ||||||
Centene Corp * | 30,902 | 2,405 | ||||||
Cigna Corp | 27,340 | 7,586 | ||||||
CVS Health Corp | 379,134 | 36,158 | ||||||
Edwards Lifesciences Corp, Cl A * | 61,914 | 5,116 | ||||||
Elevance Health Inc | 10,844 | 4,926 | ||||||
Eli Lilly & Co | 89,501 | 28,940 | ||||||
Gilead Sciences Inc | 120,443 | 7,430 | ||||||
HCA Healthcare Inc | 109,165 | 20,063 | ||||||
Horizon Therapeutics Plc * | 70,709 | 4,376 | ||||||
Humana Inc | 11,818 | 5,734 | ||||||
IDEXX Laboratories Inc * | 17,426 | 5,677 | ||||||
Intuitive Surgical Inc * | 23,007 | 4,312 | ||||||
Johnson & Johnson | 532,816 | 87,041 | ||||||
McKesson Corp | 12,923 | 4,392 | ||||||
Medtronic PLC | 186,190 | 15,035 | ||||||
Merck & Co Inc | 563,613 | 48,538 | ||||||
Mettler-Toledo International Inc * | 28,371 | 30,758 | ||||||
Novo Nordisk A/S ADR | 53,634 | 5,344 | ||||||
Organon & Co | 26,217 | 613 | ||||||
Perrigo Co PLC | 47,323 | 1,688 | ||||||
Pfizer Inc | 815,680 | 35,694 | ||||||
United Therapeutics Corp * | 24,871 | 5,208 | ||||||
UnitedHealth Group Inc | 167,008 | 84,346 | ||||||
Veeva Systems Inc, Cl A * | 13,636 | 2,248 | ||||||
Vertex Pharmaceuticals Inc * | 3,186 | 922 | ||||||
Zoetis Inc, Cl A | 63,768 | 9,456 | ||||||
589,225 | ||||||||
Industrials — 9.0% | ||||||||
AerCap Holdings NV * | 20,386 | 863 | ||||||
AGCO Corp | 52,600 | 5,059 | ||||||
Alaska Air Group Inc * | 317,367 | 12,425 | ||||||
Carlisle Cos Inc | 6,137 | 1,721 | ||||||
Carrier Global Corp | 357,041 | 12,696 | ||||||
Caterpillar Inc, Cl A | 27,891 | 4,576 | ||||||
Chart Industries Inc * | 31,418 | 5,792 | ||||||
Cummins Inc | 8,214 | 1,672 | ||||||
Deere & Co | 16,912 | 5,647 | ||||||
Delta Air Lines Inc, Cl A * | 128,832 | 3,615 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
83
SCHEDULE OF INVESTMENTS
September 30, 2022
Tax-Managed Large Cap Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Eaton Corp PLC | 42,685 | $ | 5,692 | |||||
FedEx Corp | 20,626 | 3,062 | ||||||
Fortive Corp | 86,994 | 5,072 | ||||||
Graco Inc | 542,313 | 32,512 | ||||||
GXO Logistics Inc * | 547,989 | 19,213 | ||||||
Honeywell International Inc | 61,532 | 10,274 | ||||||
Huntington Ingalls Industries Inc, Cl A | 41,706 | 9,238 | ||||||
Illinois Tool Works Inc | 47,481 | 8,577 | ||||||
Johnson Controls International plc | 494,338 | 24,331 | ||||||
L3Harris Technologies Inc | 25,220 | 5,242 | ||||||
Lockheed Martin Corp | 19,019 | 7,347 | ||||||
ManpowerGroup Inc | 18,167 | 1,175 | ||||||
Middleby Corp/The * | 100,000 | 12,817 | ||||||
Northrop Grumman Corp | 16,563 | 7,790 | ||||||
Oshkosh Corp | 61,954 | 4,355 | ||||||
Otis Worldwide Corp | 66,354 | 4,233 | ||||||
PACCAR Inc | 43,000 | 3,599 | ||||||
Raytheon Technologies Corp | 247,761 | 20,282 | ||||||
Republic Services Inc | 20,519 | 2,791 | ||||||
Robert Half International Inc | 25,692 | 1,965 | ||||||
Siemens AG ADR | 170,436 | 8,343 | ||||||
Southwest Airlines Co, Cl A * | 86,460 | 2,666 | ||||||
SPX Technologies * | 105,452 | 5,823 | ||||||
Textron Inc | 190,528 | 11,100 | ||||||
Timken Co/The | 112,333 | 6,632 | ||||||
TransDigm Group Inc * | 14,035 | 7,366 | ||||||
United Parcel Service Inc, Cl B | 41,167 | 6,650 | ||||||
Waste Management Inc | 18,232 | 2,921 | ||||||
WW Grainger Inc | 64,211 | 31,411 | ||||||
326,545 | ||||||||
Information Technology — 21.1% | ||||||||
Adobe Inc * | 132,912 | 36,577 | ||||||
Amphenol Corp, Cl A | 104,624 | 7,006 | ||||||
Analog Devices Inc | 101,656 | 14,165 | ||||||
Apple Inc | 815,325 | 112,678 | ||||||
Applied Materials Inc | 148,944 | 12,203 | ||||||
Arista Networks Inc * | 90,886 | 10,260 | ||||||
ASML Holding NV, Cl G | 11,193 | 4,649 | ||||||
Broadcom Inc | 17,576 | 7,804 | ||||||
Cadence Design Systems Inc * | 26,738 | 4,370 | ||||||
Cisco Systems Inc | 498,298 | 19,932 | ||||||
Citrix Systems Inc | 44,716 | 4,650 | ||||||
Cognizant Technology Solutions Corp, Cl A | 8,912 | 512 | ||||||
Corning Inc, Cl B | 177,573 | 5,153 | ||||||
Dolby Laboratories Inc, Cl A | 48,189 | 3,140 | ||||||
Dropbox Inc, Cl A * | 214,871 | 4,452 | ||||||
F5 Inc, Cl A * | 39,620 | 5,734 | ||||||
Fair Isaac Corp * | 2,421 | 998 | ||||||
Global Payments Inc | 23,918 | 2,584 | ||||||
Hewlett Packard Enterprise Co | 307,307 | 3,682 | ||||||
HP Inc | 480,394 | 11,971 | ||||||
Intel Corp | 570,596 | 14,704 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
International Business Machines Corp | 6,932 | $ | 824 | |||||
Intuit Inc | 136,225 | 52,763 | ||||||
Juniper Networks Inc | 31,547 | 824 | ||||||
Keysight Technologies Inc * | 96,705 | 15,218 | ||||||
Lam Research Corp | 10,701 | 3,917 | ||||||
Marvell Technology Inc | 74,923 | 3,215 | ||||||
Mastercard Inc, Cl A | 168,189 | 47,823 | ||||||
Microchip Technology Inc | 558,584 | 34,090 | ||||||
Micron Technology Inc | 156,515 | 7,841 | ||||||
Microsoft Corp | 513,120 | 119,506 | ||||||
Motorola Solutions Inc | 22,111 | 4,952 | ||||||
NetApp Inc | 86,734 | 5,364 | ||||||
ON Semiconductor Corp * | 14,704 | 917 | ||||||
Oracle Corp, Cl B | 512,747 | 31,313 | ||||||
Paychex Inc | 6,401 | 718 | ||||||
QUALCOMM Inc | 67,431 | 7,618 | ||||||
Roper Technologies Inc | 56,426 | 20,293 | ||||||
Salesforce Inc * | 29,258 | 4,208 | ||||||
SAP SE ADR | 178,714 | 14,521 | ||||||
Seagate Technology Holdings PLC | 112,151 | 5,970 | ||||||
ServiceNow Inc * | 12,293 | 4,642 | ||||||
Texas Instruments Inc | 44,297 | 6,856 | ||||||
VeriSign Inc * | 91,384 | 15,873 | ||||||
Visa Inc, Cl A | 275,684 | 48,975 | ||||||
Vishay Intertechnology Inc | 833,329 | 14,825 | ||||||
Western Digital Corp * | 33,750 | 1,099 | ||||||
Zendesk Inc * | 29,165 | 2,219 | ||||||
763,608 | ||||||||
Materials — 5.2% | ||||||||
Air Products and Chemicals Inc | 80,839 | 18,814 | ||||||
Cabot Corp | 83,951 | 5,364 | ||||||
Celanese Corp, Cl A | 28,298 | 2,556 | ||||||
Corteva Inc | 64,004 | 3,658 | ||||||
Dow Inc | 162,912 | 7,157 | ||||||
DuPont de Nemours Inc | 43,599 | 2,197 | ||||||
Eastman Chemical Co | 165,233 | 11,740 | ||||||
Ecolab Inc | 37,520 | 5,419 | ||||||
Huntsman Corp | 531,983 | 13,055 | ||||||
Ingevity Corp * | 14,131 | 857 | ||||||
International Paper Co | 135,045 | 4,281 | ||||||
Linde PLC | 123,959 | 33,418 | ||||||
LyondellBasell Industries NV, Cl A | 74,826 | 5,633 | ||||||
Newmont Corp | 61,509 | 2,585 | ||||||
O-I Glass Inc, Cl I * | 451,358 | 5,845 | ||||||
Reliance Steel & Aluminum Co | 11,055 | 1,928 | ||||||
Sherwin-Williams Co/The, Cl A | 199,665 | 40,881 | ||||||
Steel Dynamics Inc | 320,489 | 22,739 | ||||||
Sylvamo Corp | 12,276 | 416 | ||||||
Westrock Co | 27,405 | 846 | ||||||
189,389 |
84
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Real Estate — 2.1% | ||||||||
American Tower Corp, Cl A ‡ | 101,757 | $ | 21,847 | |||||
Brandywine Realty Trust ‡ | 24,300 | 164 | ||||||
CBRE Group Inc, Cl A * | 41,173 | 2,780 | ||||||
Crown Castle Inc ‡ | 34,157 | 4,937 | ||||||
Equinix Inc ‡ | 1,986 | 1,130 | ||||||
Gaming and Leisure Properties Inc ‡ | 87,521 | 3,872 | ||||||
Healthpeak Properties Inc ‡ | 502,660 | 11,521 | ||||||
Invitation Homes Inc ‡ | 28,203 | 952 | ||||||
Omega Healthcare Investors Inc ‡ | 39,518 | 1,165 | ||||||
Public Storage ‡ | 7,645 | 2,239 | ||||||
Sabra Health Care REIT Inc ‡ | 317,033 | 4,159 | ||||||
SBA Communications Corp, Cl A ‡ | 18,373 | 5,230 | ||||||
Service Properties Trust ‡ | 532,589 | 2,764 | ||||||
VICI Properties Inc ‡ | 249,601 | 7,451 | ||||||
Welltower Inc ‡ | 70,223 | 4,517 | ||||||
74,728 | ||||||||
Utilities — 2.5% | ||||||||
Ameren Corp | 64,109 | 5,164 | ||||||
American Electric Power Co Inc | 57,553 | 4,976 | ||||||
CenterPoint Energy Inc | 280,626 | 7,908 | ||||||
Constellation Energy Corp | 59,660 | 4,963 | ||||||
Duke Energy Corp | 171,577 | 15,960 | ||||||
Edison International | 40,300 | 2,280 | ||||||
Exelon Corp | 132,096 | 4,948 | ||||||
FirstEnergy Corp | 132,356 | 4,897 | ||||||
National Fuel Gas Co | 159,451 | 9,814 | ||||||
NextEra Energy Inc | 192,725 | 15,112 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
NiSource Inc | 206,775 | $ | 5,209 | |||||
PPL Corp | 254,215 | 6,444 | ||||||
UGI Corp | 29,973 | 969 | ||||||
Vistra Corp | 40,284 | 846 | ||||||
89,490 | ||||||||
Total Common Stock | ||||||||
(Cost $1,506,119) ($ Thousands) | 3,587,250 | |||||||
AFFILIATED PARTNERSHIP — 0.8% | ||||||||
SEI Liquidity Fund, LP | ||||||||
2.930% **†(B) | 28,544,554 | 28,547 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $28,549) ($ Thousands) | 28,547 | |||||||
CASH EQUIVALENT — 0.6% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
2.600%**† | 21,653,573 | 21,654 | ||||||
Total Cash Equivalent | ||||||||
(Cost $21,654) ($ Thousands) | 21,654 | |||||||
Total Investments in Securities — 100.8% | ||||||||
(Cost $1,556,322) ($ Thousands) | $ | 3,637,451 |
A list of the open futures contracts held by the Fund at September 30, 2022 is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Depreciation (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 Index E-MINI | 67 | Dec-2022 | $ | 12,529 | $ | 12,065 | $ | (464 | ) | |||||||||||
S&P Mid Cap 400 Index E-MINI | 4 | Dec-2022 | 897 | 883 | (14 | ) | ||||||||||||||
$ | 13,426 | $ | 12,948 | $ | (478 | ) |
| Percentages are based on Net Assets of $3,610,298 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2022. |
‡ | 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, 2022 (see Note 12). The total market value of securities on loan at September 30, 2022 was $26,824 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of September 30, 2022 was $28,547 ($ Thousands). |
The following is a summary of the level of inputs used as of September 30, 2022, 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 | 3,587,250 | – | – | 3,587,250 | ||||||||||||
Affiliated Partnership | – | 28,547 | – | 28,547 | ||||||||||||
Cash Equivalent | 21,654 | – | – | 21,654 | ||||||||||||
Total Investments in Securities | 3,608,904 | 28,547 | – | 3,637,451 |
Other Financial Instruments | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | (478 | ) | – | – | (478 | ) | ||||||||||
Total Other Financial Instruments | (478 | ) | – | – | (478 | ) |
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
85
SCHEDULE OF INVESTMENTS
September 30, 2022
Tax-Managed Large Cap 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, 2022 ($ Thousands):
Security Description | Value 9/30/2021 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/(Depreciation) | Value 9/30/2022 | Shares | Income | Capital Gains | |||||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 21,438 | $ | 264,639 | $ | (257,526 | ) | $ | (2 | ) | $ | (2 | ) | $ | 28,547 | 28,544,554 | $ | 48 | $ | — | ||||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | 28,361 | 501,004 | (507,711 | ) | — | — | 21,654 | 21,653,573 | 134 | 1 | ||||||||||||||||||||||||||
Totals | $ | 49,799 | $ | 765,643 | $ | (765,237 | ) | $ | (2 | ) | $ | (2 | ) | $ | 50,201 | $ | 182 | $ | 1 |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
86
SEI Institutional Managed Trust / Annual Report / September 30, 2022
SCHEDULE OF INVESTMENTS
September 30, 2022
S&P 500 Index Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Shares | Market Value | ||||||
COMMON STOCK†† — 99.7% | ||||||||
Communication Services — 8.0% | ||||||||
Activision Blizzard Inc | 17,552 | $ | 1,305 | |||||
Alphabet Inc, Cl A * | 147,790 | 14,136 | ||||||
Alphabet Inc, Cl C * | 132,135 | 12,705 | ||||||
AT&T Inc | 175,617 | 2,694 | ||||||
Charter Communications Inc, Cl A * | 2,732 | 829 | ||||||
Comcast Corp, Cl A | 108,655 | 3,187 | ||||||
DISH Network Corp, Cl A * | 6,238 | 86 | ||||||
Electronic Arts Inc | 6,478 | 750 | ||||||
Fox Corp, Cl A | 7,586 | 233 | ||||||
Fox Corp, Cl B | 3,381 | 96 | ||||||
Interpublic Group of Cos Inc/The | 9,601 | 246 | ||||||
Live Nation Entertainment Inc * | 3,400 | 258 | ||||||
Lumen Technologies Inc | 23,170 | 169 | ||||||
Match Group Inc * | 6,900 | 329 | ||||||
Meta Platforms Inc, Cl A * | 56,185 | 7,623 | ||||||
Netflix Inc * | 10,959 | 2,580 | ||||||
News Corp, Cl A | 9,775 | 148 | ||||||
News Corp, Cl B | 3,000 | 46 | ||||||
Omnicom Group Inc | 5,104 | 322 | ||||||
Paramount Global, Cl B | 12,517 | 238 | ||||||
Take-Two Interactive Software Inc, Cl A * | 3,900 | 425 | ||||||
T-Mobile US Inc * | 14,800 | 1,986 | ||||||
Twitter Inc * | 16,540 | 725 | ||||||
Verizon Communications Inc | 103,513 | 3,930 | ||||||
Walt Disney Co/The * | 44,924 | 4,238 | ||||||
Warner Bros Discovery Inc * | 54,774 | 630 | ||||||
59,914 | ||||||||
Consumer Discretionary — 11.7% | ||||||||
Advance Auto Parts Inc | 1,500 | 235 | ||||||
Amazon.com Inc, Cl A * | 218,465 | 24,686 | ||||||
Aptiv PLC * | 6,670 | 522 | ||||||
AutoZone Inc * | 480 | 1,028 | ||||||
Bath & Body Works Inc | 5,627 | 183 | ||||||
Best Buy Co Inc | 4,954 | 314 | ||||||
Booking Holdings Inc * | 979 | 1,609 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
BorgWarner Inc | 5,753 | $ | 181 | |||||
Caesars Entertainment Inc * | 5,400 | 174 | ||||||
CarMax Inc * | 3,900 | 257 | ||||||
Carnival Corp * | 24,484 | 172 | ||||||
Chipotle Mexican Grill Inc, Cl A * | 684 | 1,028 | ||||||
Darden Restaurants Inc | 3,018 | 381 | ||||||
Dollar General Corp | 5,581 | 1,339 | ||||||
Dollar Tree Inc * | 5,154 | 701 | ||||||
Domino's Pizza Inc | 895 | 278 | ||||||
DR Horton Inc | 7,758 | 523 | ||||||
eBay Inc | 13,549 | 499 | ||||||
Etsy Inc * | 3,100 | 310 | ||||||
Expedia Group Inc * | 3,755 | 352 | ||||||
Ford Motor Co | 97,270 | 1,089 | ||||||
Garmin Ltd | 3,771 | 303 | ||||||
General Motors Co | 35,947 | 1,154 | ||||||
Genuine Parts Co | 3,496 | 522 | ||||||
Hasbro Inc | 3,196 | 215 | ||||||
Hilton Worldwide Holdings Inc | 6,700 | 808 | ||||||
Home Depot Inc/The | 25,363 | 6,999 | ||||||
Las Vegas Sands Corp * | 8,200 | 308 | ||||||
Lennar Corp, Cl A | 6,274 | 468 | ||||||
LKQ Corp | 6,500 | 306 | ||||||
Lowe's Cos Inc | 15,706 | 2,950 | ||||||
Marriott International Inc/MD, Cl A | 6,824 | 956 | ||||||
McDonald's Corp | 18,154 | 4,189 | ||||||
MGM Resorts International | 8,100 | 241 | ||||||
Mohawk Industries Inc * | 1,300 | 119 | ||||||
Newell Brands Inc, Cl B | 9,455 | 131 | ||||||
NIKE Inc, Cl B | 31,176 | 2,591 | ||||||
Norwegian Cruise Line Holdings Ltd * | 10,700 | 122 | ||||||
NVR Inc * | 78 | 311 | ||||||
O'Reilly Automotive Inc * | 1,577 | 1,109 | ||||||
Pool Corp | 972 | 309 | ||||||
PulteGroup Inc | 5,699 | 214 | ||||||
Ralph Lauren Corp, Cl A | 1,105 | 94 | ||||||
Ross Stores Inc | 8,619 | 726 | ||||||
Royal Caribbean Cruises Ltd * | 5,400 | 205 | ||||||
Starbucks Corp | 28,304 | 2,385 | ||||||
Tapestry Inc | 6,219 | 177 | ||||||
Target Corp, Cl A | 11,428 | 1,696 | ||||||
Tesla Inc * | 65,639 | 17,411 | ||||||
TJX Cos Inc/The | 28,886 | 1,794 | ||||||
Tractor Supply Co | 2,680 | 498 | ||||||
Ulta Beauty Inc * | 1,247 | 500 | ||||||
VF Corp | 7,965 | 238 | ||||||
Whirlpool Corp | 1,312 | 177 | ||||||
Wynn Resorts Ltd * | 2,529 | 159 | ||||||
Yum! Brands Inc | 6,970 | 741 | ||||||
86,987 | ||||||||
Consumer Staples — 6.9% | ||||||||
Altria Group Inc | 44,373 | 1,792 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
87
SCHEDULE OF INVESTMENTS
September 30, 2022
S&P 500 Index Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Archer-Daniels-Midland Co | 13,818 | $ | 1,112 | |||||
Brown-Forman Corp, Cl B | 4,565 | 304 | ||||||
Campbell Soup Co | 4,884 | 230 | ||||||
Church & Dwight Co Inc | 5,976 | 427 | ||||||
Clorox Co/The | 3,042 | 391 | ||||||
Coca-Cola Co/The | 95,948 | 5,375 | ||||||
Colgate-Palmolive Co | 20,595 | 1,447 | ||||||
Conagra Brands Inc | 11,765 | 384 | ||||||
Constellation Brands Inc, Cl A | 3,907 | 897 | ||||||
Costco Wholesale Corp | 10,931 | 5,162 | ||||||
Estee Lauder Cos Inc/The, Cl A | 5,750 | 1,241 | ||||||
General Mills Inc | 14,686 | 1,125 | ||||||
Hershey Co/The | 3,612 | 796 | ||||||
Hormel Foods Corp | 7,108 | 323 | ||||||
J M Smucker Co/The | 2,653 | 365 | ||||||
Kellogg Co | 6,267 | 437 | ||||||
Keurig Dr Pepper Inc | 20,900 | 749 | ||||||
Kimberly-Clark Corp | 8,303 | 934 | ||||||
Kraft Heinz Co/The | 19,608 | 654 | ||||||
Kroger Co/The | 16,036 | 702 | ||||||
Lamb Weston Holdings Inc | 3,500 | 271 | ||||||
McCormick & Co Inc/MD | 6,232 | 444 | ||||||
Molson Coors Beverage Co, Cl B | 4,651 | 223 | ||||||
Mondelez International Inc, Cl A | 33,720 | 1,849 | ||||||
Monster Beverage Corp * | 9,354 | 813 | ||||||
PepsiCo Inc | 33,979 | 5,547 | ||||||
Philip Morris International Inc | 38,227 | 3,173 | ||||||
Procter & Gamble Co/The | 58,872 | 7,433 | ||||||
Sysco Corp, Cl A | 12,520 | 885 | ||||||
Tyson Foods Inc, Cl A | 7,103 | 468 | ||||||
Walgreens Boots Alliance Inc | 17,757 | 558 | ||||||
Walmart Inc | 35,073 | 4,549 | ||||||
51,060 | ||||||||
Energy — 4.6% | ||||||||
APA Corp | 8,031 | 275 | ||||||
Baker Hughes Co, Cl A | 24,849 | 521 | ||||||
Chevron Corp | 44,341 | 6,370 | ||||||
ConocoPhillips | 31,408 | 3,214 | ||||||
Coterra Energy Inc | 19,613 | 512 | ||||||
Devon Energy Corp | 16,113 | 969 | ||||||
Diamondback Energy Inc, Cl A | 4,151 | 500 | ||||||
EOG Resources Inc | 14,407 | 1,610 | ||||||
EQT Corp | 9,100 | 371 | ||||||
Exxon Mobil Corp | 102,756 | 8,972 | ||||||
Halliburton Co | 22,242 | 548 | ||||||
Hess Corp | 6,875 | 749 | ||||||
Kinder Morgan Inc | 48,382 | 805 | ||||||
Marathon Oil Corp | 16,756 | 378 | ||||||
Marathon Petroleum Corp | 12,258 | 1,218 | ||||||
Occidental Petroleum Corp | 18,362 | 1,128 | ||||||
ONEOK Inc | 11,009 | 564 | ||||||
Phillips 66 | 11,787 | 951 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Pioneer Natural Resources Co | 5,866 | $ | 1,270 | |||||
Schlumberger NV, Cl A | 34,900 | 1,253 | ||||||
Valero Energy Corp | 9,710 | 1,038 | ||||||
Williams Cos Inc/The | 30,169 | 864 | ||||||
34,080 | ||||||||
Financials — 11.0% | ||||||||
Aflac Inc | 14,234 | 800 | ||||||
Allstate Corp/The | 6,659 | 829 | ||||||
American Express Co | 14,795 | 1,996 | ||||||
American International Group Inc | 18,835 | 894 | ||||||
Ameriprise Financial Inc | 2,635 | 664 | ||||||
Aon PLC, Cl A | 5,201 | 1,393 | ||||||
Arthur J Gallagher & Co | 5,149 | 882 | ||||||
Assurant Inc | 1,305 | 190 | ||||||
Bank of America Corp | 172,209 | 5,201 | ||||||
Bank of New York Mellon Corp/The | 18,099 | 697 | ||||||
Berkshire Hathaway Inc, Cl B * | 44,445 | 11,868 | ||||||
BlackRock Inc | 3,719 | 2,047 | ||||||
Brown & Brown Inc | 5,800 | 351 | ||||||
Capital One Financial Corp | 9,449 | 871 | ||||||
Cboe Global Markets Inc | 2,600 | 305 | ||||||
Charles Schwab Corp/The | 37,670 | 2,707 | ||||||
Chubb Ltd | 10,301 | 1,874 | ||||||
Cincinnati Financial Corp | 3,683 | 330 | ||||||
Citigroup Inc | 47,698 | 1,988 | ||||||
Citizens Financial Group Inc | 12,100 | 416 | ||||||
CME Group Inc, Cl A | 8,812 | 1,561 | ||||||
Comerica Inc | 3,192 | 227 | ||||||
Discover Financial Services | 6,730 | 612 | ||||||
Everest Re Group Ltd | 937 | 246 | ||||||
Eversource Energy | 8,535 | 665 | ||||||
FactSet Research Systems Inc | 950 | 380 | ||||||
Fifth Third Bancorp | 16,911 | 541 | ||||||
First Republic Bank/CA | 4,459 | 582 | ||||||
Franklin Resources Inc | 7,038 | 152 | ||||||
Globe Life Inc | 2,239 | 223 | ||||||
Goldman Sachs Group Inc/The | 8,399 | 2,461 | ||||||
Hartford Financial Services Group Inc/The | 7,986 | 495 | ||||||
Huntington Bancshares Inc/OH | 35,514 | 468 | ||||||
Intercontinental Exchange Inc | 13,805 | 1,247 | ||||||
Invesco Ltd | 11,316 | 155 | ||||||
JPMorgan Chase & Co | 72,274 | 7,553 | ||||||
KeyCorp | 22,883 | 367 | ||||||
Lincoln National Corp | 3,789 | 166 | ||||||
Loews Corp | 4,762 | 237 | ||||||
M&T Bank Corp | 4,334 | 764 | ||||||
MarketAxess Holdings Inc | 956 | 213 | ||||||
Marsh & McLennan Cos Inc | 12,259 | 1,830 | ||||||
MetLife Inc | 16,539 | 1,005 | ||||||
Moody's Corp | 3,871 | 941 | ||||||
Morgan Stanley | 33,036 | 2,610 | ||||||
MSCI Inc, Cl A | 1,984 | 837 |
88
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Nasdaq Inc, Cl A | 8,377 | $ | 475 | |||||
Northern Trust Corp | 5,109 | 437 | ||||||
PNC Financial Services Group Inc/The | 10,113 | 1,511 | ||||||
Principal Financial Group Inc, Cl A | 5,757 | 415 | ||||||
Progressive Corp/The | 14,385 | 1,672 | ||||||
Prudential Financial Inc | 9,166 | 786 | ||||||
Raymond James Financial Inc | 4,658 | 460 | ||||||
Regions Financial Corp | 23,163 | 465 | ||||||
S&P Global Inc | 8,405 | 2,566 | ||||||
Signature Bank/New York NY, Cl B | 1,557 | 235 | ||||||
State Street Corp | 9,045 | 550 | ||||||
SVB Financial Group, Cl B * | 1,445 | 485 | ||||||
Synchrony Financial | 11,963 | 337 | ||||||
T Rowe Price Group Inc | 5,593 | 587 | ||||||
Travelers Cos Inc/The | 5,856 | 897 | ||||||
Truist Financial Corp | 32,706 | 1,424 | ||||||
US Bancorp | 33,338 | 1,344 | ||||||
W R Berkley Corp | 5,000 | 323 | ||||||
Wells Fargo & Co | 93,467 | 3,759 | ||||||
Willis Towers Watson PLC | 2,669 | 536 | ||||||
Zions Bancorp NA | 3,686 | 188 | ||||||
82,293 | ||||||||
Health Care — 15.1% | ||||||||
Abbott Laboratories | 43,112 | 4,172 | ||||||
AbbVie Inc | 43,613 | 5,853 | ||||||
ABIOMED Inc * | 1,100 | 270 | ||||||
Agilent Technologies Inc | 7,315 | 889 | ||||||
Align Technology Inc * | 1,786 | 370 | ||||||
AmerisourceBergen Corp, Cl A | 3,696 | 500 | ||||||
Amgen Inc, Cl A | 13,222 | 2,980 | ||||||
Baxter International Inc | 12,335 | 664 | ||||||
Becton Dickinson and Co | 7,021 | 1,564 | ||||||
Biogen Inc * | 3,606 | 963 | ||||||
Bio-Rad Laboratories Inc, Cl A * | 531 | 221 | ||||||
Bio-Techne Corp | 963 | 273 | ||||||
Boston Scientific Corp * | 35,276 | 1,366 | ||||||
Bristol-Myers Squibb Co | 52,632 | 3,742 | ||||||
Cardinal Health Inc | 6,759 | 451 | ||||||
Catalent Inc * | 4,400 | 318 | ||||||
Centene Corp * | 14,089 | 1,096 | ||||||
Charles River Laboratories International Inc * | 1,260 | 248 | ||||||
Cigna Corp | 7,543 | 2,093 | ||||||
Cooper Cos Inc/The, Cl A | 1,204 | 318 | ||||||
CVS Health Corp | 32,376 | 3,088 | ||||||
Danaher Corp, Cl A | 16,155 | 4,173 | ||||||
DaVita Inc * | 1,356 | 112 | ||||||
DENTSPLY SIRONA Inc | 5,209 | 148 | ||||||
Dexcom Inc * | 9,672 | 779 | ||||||
Edwards Lifesciences Corp, Cl A * | 15,249 | 1,260 | ||||||
Elevance Health Inc | 5,921 | 2,690 | ||||||
Eli Lilly & Co | 19,462 | 6,293 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Gilead Sciences Inc | 30,914 | $ | 1,907 | |||||
HCA Healthcare Inc | 5,339 | 981 | ||||||
Henry Schein Inc * | 3,300 | 217 | ||||||
Hologic Inc * | 6,200 | 400 | ||||||
Humana Inc | 3,131 | 1,519 | ||||||
IDEXX Laboratories Inc * | 2,023 | 659 | ||||||
Illumina Inc * | 3,896 | 743 | ||||||
Incyte Corp * | 4,500 | 300 | ||||||
Intuitive Surgical Inc * | 8,807 | 1,651 | ||||||
IQVIA Holdings Inc * | 4,596 | 833 | ||||||
Johnson & Johnson | 64,789 | 10,584 | ||||||
Laboratory Corp of America Holdings | 2,210 | 453 | ||||||
McKesson Corp | 3,543 | 1,204 | ||||||
Medtronic PLC | 32,779 | 2,647 | ||||||
Merck & Co Inc | 62,414 | 5,375 | ||||||
Mettler-Toledo International Inc * | 554 | 601 | ||||||
Moderna Inc * | 8,300 | 981 | ||||||
Molina Healthcare Inc * | 1,429 | 471 | ||||||
Organon & Co | 6,317 | 148 | ||||||
PerkinElmer Inc | 3,098 | 373 | ||||||
Pfizer Inc | 138,301 | 6,052 | ||||||
Quest Diagnostics Inc | 2,824 | 347 | ||||||
Regeneron Pharmaceuticals Inc * | 2,644 | 1,821 | ||||||
ResMed Inc | 3,609 | 788 | ||||||
STERIS PLC | 2,445 | 407 | ||||||
Stryker Corp | 8,326 | 1,686 | ||||||
Teleflex Inc | 1,129 | 227 | ||||||
Thermo Fisher Scientific Inc | 9,668 | 4,904 | ||||||
UnitedHealth Group Inc | 23,086 | 11,659 | ||||||
Universal Health Services Inc, Cl B | 1,600 | 141 | ||||||
Vertex Pharmaceuticals Inc * | 6,327 | 1,832 | ||||||
Viatris Inc, Cl W * | 29,757 | 254 | ||||||
Waters Corp * | 1,472 | 397 | ||||||
West Pharmaceutical Services Inc | 1,822 | 448 | ||||||
Zimmer Biomet Holdings Inc | 5,174 | 541 | ||||||
Zoetis Inc, Cl A | 11,545 | 1,712 | ||||||
112,157 | ||||||||
Industrials — 7.8% | ||||||||
3M Co | 13,671 | 1,511 | ||||||
A O Smith Corp | 3,100 | 151 | ||||||
Alaska Air Group Inc * | 3,200 | 125 | ||||||
Allegion PLC | 2,170 | 195 | ||||||
American Airlines Group Inc * | 16,309 | 196 | ||||||
AMETEK Inc | 5,600 | 635 | ||||||
Boeing Co/The * | 13,735 | 1,663 | ||||||
Carrier Global Corp | 20,731 | 737 | ||||||
Caterpillar Inc, Cl A | 13,034 | 2,139 | ||||||
CH Robinson Worldwide Inc | 3,005 | 289 | ||||||
Cintas Corp | 2,082 | 808 | ||||||
Copart Inc * | 5,300 | 564 | ||||||
CoStar Group Inc * | 9,800 | 683 | ||||||
CSX Corp | 52,799 | 1,407 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
89
SCHEDULE OF INVESTMENTS
September 30, 2022
S&P 500 Index Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Cummins Inc | 3,498 | $ | 712 | |||||
Deere & Co | 6,861 | 2,291 | ||||||
Delta Air Lines Inc, Cl A * | 15,813 | 444 | ||||||
Dover Corp | 3,537 | 412 | ||||||
Eaton Corp PLC | 9,820 | 1,310 | ||||||
Emerson Electric Co | 14,575 | 1,067 | ||||||
Equifax Inc | 2,989 | 512 | ||||||
Expeditors International of Washington Inc | 4,077 | 360 | ||||||
Fastenal Co, Cl A | 14,218 | 655 | ||||||
FedEx Corp | 5,911 | 878 | ||||||
Fortive Corp | 8,787 | 512 | ||||||
Fortune Brands Home & Security Inc | 3,227 | 173 | ||||||
Generac Holdings Inc * | 1,554 | 277 | ||||||
General Dynamics Corp | 5,544 | 1,176 | ||||||
General Electric Co | 27,088 | 1,677 | ||||||
Honeywell International Inc | 16,620 | 2,775 | ||||||
Howmet Aerospace Inc | 9,078 | 281 | ||||||
Huntington Ingalls Industries Inc, Cl A | 947 | 210 | ||||||
IDEX Corp | 1,900 | 380 | ||||||
Illinois Tool Works Inc | 6,965 | 1,258 | ||||||
Ingersoll Rand Inc | 10,033 | 434 | ||||||
Jacobs Solutions Inc | 3,162 | 343 | ||||||
JB Hunt Transport Services Inc | 2,051 | 321 | ||||||
Johnson Controls International PLC | 16,972 | 835 | ||||||
L3Harris Technologies Inc | 4,709 | 979 | ||||||
Leidos Holdings Inc | 3,343 | 292 | ||||||
Lockheed Martin Corp | 5,828 | 2,251 | ||||||
Masco Corp | 5,584 | 261 | ||||||
Nielsen Holdings PLC | 9,000 | 250 | ||||||
Nordson Corp | 1,300 | 276 | ||||||
Norfolk Southern Corp | 5,786 | 1,213 | ||||||
Northrop Grumman Corp | 3,580 | 1,684 | ||||||
Old Dominion Freight Line Inc, Cl A | 2,244 | 558 | ||||||
Otis Worldwide Corp | 10,350 | 660 | ||||||
PACCAR Inc | 8,567 | 717 | ||||||
Parker-Hannifin Corp, Cl A | 3,171 | 768 | ||||||
Pentair PLC | 4,066 | 165 | ||||||
Quanta Services Inc | 3,518 | 448 | ||||||
Raytheon Technologies Corp | 36,428 | 2,982 | ||||||
Republic Services Inc | 5,083 | 692 | ||||||
Robert Half International Inc | 2,732 | 209 | ||||||
Rockwell Automation Inc | 2,876 | 619 | ||||||
Rollins Inc | 5,700 | 198 | ||||||
Snap-on Inc | 1,307 | 263 | ||||||
Southwest Airlines Co, Cl A * | 14,662 | 452 | ||||||
Stanley Black & Decker Inc | 3,608 | 271 | ||||||
Textron Inc | 5,207 | 303 | ||||||
Trane Technologies PLC | 5,670 | 821 | ||||||
TransDigm Group Inc * | 1,220 | 640 | ||||||
Union Pacific Corp | 15,341 | 2,989 | ||||||
United Airlines Holdings Inc * | 8,000 | 260 | ||||||
United Parcel Service Inc, Cl B | 18,068 | 2,919 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
United Rentals Inc * | 1,714 | $ | 463 | |||||
Verisk Analytics Inc, Cl A | 3,866 | 659 | ||||||
Waste Management Inc | 9,228 | 1,478 | ||||||
Westinghouse Air Brake Technologies Corp | 4,471 | 364 | ||||||
WW Grainger Inc | 1,114 | 545 | ||||||
Xylem Inc/NY | 4,400 | 384 | ||||||
58,429 | ||||||||
Information Technology — 26.2% | ||||||||
Accenture PLC, Cl A | 15,608 | 4,016 | ||||||
Adobe Inc * | 11,547 | 3,178 | ||||||
Advanced Micro Devices Inc * | 39,825 | 2,523 | ||||||
Akamai Technologies Inc * | 3,904 | 314 | ||||||
Amphenol Corp, Cl A | 14,660 | 982 | ||||||
Analog Devices Inc | 12,772 | 1,780 | ||||||
ANSYS Inc * | 2,107 | 467 | ||||||
Apple Inc | 372,279 | 51,449 | ||||||
Applied Materials Inc | 21,441 | 1,757 | ||||||
Arista Networks Inc * | 6,070 | 685 | ||||||
Autodesk Inc, Cl A * | 5,355 | 1,000 | ||||||
Automatic Data Processing Inc | 10,215 | 2,311 | ||||||
Broadcom Inc | 9,951 | 4,418 | ||||||
Broadridge Financial Solutions Inc | 2,884 | 416 | ||||||
Cadence Design Systems Inc * | 6,751 | 1,103 | ||||||
CDW Corp/DE | 3,347 | 522 | ||||||
Ceridian HCM Holding Inc * | 3,500 | 196 | ||||||
Cisco Systems Inc | 101,978 | 4,079 | ||||||
Citrix Systems Inc | 3,042 | 316 | ||||||
Cognizant Technology Solutions Corp, Cl A | 12,805 | 736 | ||||||
Corning Inc, Cl B | 18,708 | 543 | ||||||
DXC Technology Co * | 5,630 | 138 | ||||||
Enphase Energy Inc * | 3,300 | 916 | ||||||
EPAM Systems Inc * | 1,400 | 507 | ||||||
F5 Inc, Cl A * | 1,460 | 211 | ||||||
Fidelity National Information Services Inc, Cl B | 14,965 | 1,131 | ||||||
Fiserv Inc, Cl A * | 15,772 | 1,476 | ||||||
FleetCor Technologies Inc * | 1,829 | 322 | ||||||
Fortinet Inc * | 16,190 | 795 | ||||||
Gartner Inc * | 1,956 | 541 | ||||||
Global Payments Inc | 6,783 | 733 | ||||||
Hewlett Packard Enterprise Co | 31,891 | 382 | ||||||
HP Inc | 22,572 | 563 | ||||||
Intel Corp | 101,137 | 2,606 | ||||||
International Business Machines Corp | 22,268 | 2,646 | ||||||
Intuit Inc | 6,959 | 2,695 | ||||||
Jack Henry & Associates Inc | 1,800 | 328 | ||||||
Juniper Networks Inc | 7,900 | 206 | ||||||
Keysight Technologies Inc * | 4,432 | 697 | ||||||
KLA Corp | 3,477 | 1,052 | ||||||
Lam Research Corp | 3,374 | 1,235 | ||||||
Mastercard Inc, Cl A | 21,056 | 5,987 | ||||||
Microchip Technology Inc | 13,613 | 831 |
90
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Micron Technology Inc | 27,169 | $ | 1,361 | |||||
Microsoft Corp | 183,784 | 42,803 | ||||||
Monolithic Power Systems Inc | 1,100 | 400 | ||||||
Motorola Solutions Inc | 4,130 | 925 | ||||||
NetApp Inc | 5,385 | 333 | ||||||
NortonLifeLock Inc | 14,647 | 295 | ||||||
NVIDIA Corp | 61,697 | 7,489 | ||||||
NXP Semiconductors NV | 6,476 | 955 | ||||||
ON Semiconductor Corp * | 10,700 | 667 | ||||||
Oracle Corp, Cl B | 37,471 | 2,289 | ||||||
Paychex Inc | 7,869 | 883 | ||||||
Paycom Software Inc * | 1,159 | 382 | ||||||
PayPal Holdings Inc * | 28,529 | 2,456 | ||||||
PTC Inc * | 2,557 | 267 | ||||||
Qorvo Inc * | 2,500 | 199 | ||||||
QUALCOMM Inc | 27,632 | 3,122 | ||||||
Roper Technologies Inc | 2,613 | 940 | ||||||
Salesforce Inc * | 24,467 | 3,519 | ||||||
Seagate Technology Holdings PLC | 4,800 | 256 | ||||||
ServiceNow Inc * | 4,982 | 1,881 | ||||||
Skyworks Solutions Inc | 3,916 | 334 | ||||||
SolarEdge Technologies Inc * | 1,300 | 301 | ||||||
Synopsys Inc * | 3,771 | 1,152 | ||||||
TE Connectivity Ltd | 7,909 | 873 | ||||||
Teledyne Technologies Inc * | 1,171 | 395 | ||||||
Teradyne Inc | 3,815 | 287 | ||||||
Texas Instruments Inc | 22,544 | 3,489 | ||||||
Trimble Inc * | 6,100 | 331 | ||||||
Tyler Technologies Inc * | 1,020 | 354 | ||||||
VeriSign Inc * | 2,295 | 399 | ||||||
Visa Inc, Cl A | 40,250 | 7,150 | ||||||
Western Digital Corp * | 7,674 | 250 | ||||||
Zebra Technologies Corp, Cl A * | 1,273 | 334 | ||||||
195,860 | ||||||||
Materials — 2.6% | ||||||||
Air Products and Chemicals Inc | 5,466 | 1,272 | ||||||
Albemarle Corp | 2,857 | 755 | ||||||
Amcor PLC | 37,232 | 399 | ||||||
Avery Dennison Corp | 1,964 | 320 | ||||||
Ball Corp | 7,772 | 376 | ||||||
Celanese Corp, Cl A | 2,452 | 221 | ||||||
CF Industries Holdings Inc | 4,950 | 476 | ||||||
Corteva Inc | 17,773 | 1,016 | ||||||
Dow Inc | 17,706 | 778 | ||||||
DuPont de Nemours Inc | 12,399 | 625 | ||||||
Eastman Chemical Co | 3,020 | 215 | ||||||
Ecolab Inc | 6,116 | 883 | ||||||
FMC Corp | 3,100 | 328 | ||||||
Freeport-McMoRan Inc, Cl B | 35,363 | 966 | ||||||
International Flavors & Fragrances Inc | 6,326 | 575 | ||||||
International Paper Co | 8,952 | 284 | ||||||
Linde PLC | 12,296 | 3,315 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
LyondellBasell Industries NV, Cl A | 6,274 | $ | 472 | |||||
Martin Marietta Materials Inc, Cl A | 1,519 | 489 | ||||||
Mosaic Co/The | 8,509 | 411 | ||||||
Newmont Corp | 19,625 | 825 | ||||||
Nucor Corp | 6,427 | 688 | ||||||
Packaging Corp of America | 2,300 | 258 | ||||||
PPG Industries Inc | 5,805 | 643 | ||||||
Sealed Air Corp | 3,528 | 157 | ||||||
Sherwin-Williams Co/The, Cl A | 5,845 | 1,197 | ||||||
Vulcan Materials Co | 3,249 | 512 | ||||||
Westrock Co | 6,384 | 197 | ||||||
18,653 | ||||||||
Real Estate — 2.8% | ||||||||
Alexandria Real Estate Equities Inc ‡ | 3,660 | 513 | ||||||
American Tower Corp, Cl A ‡ | 11,497 | 2,468 | ||||||
AvalonBay Communities Inc ‡ | 3,428 | 631 | ||||||
Boston Properties Inc ‡ | 3,500 | 262 | ||||||
Camden Property Trust ‡ | 2,600 | 311 | ||||||
CBRE Group Inc, Cl A * | 7,909 | 534 | ||||||
Crown Castle Inc ‡ | 10,664 | 1,541 | ||||||
Digital Realty Trust Inc, Cl A ‡ | 7,069 | 701 | ||||||
Duke Realty Corp ‡ | 9,600 | 463 | ||||||
Equinix Inc ‡ | 2,246 | 1,278 | ||||||
Equity Residential ‡ | 8,344 | 561 | ||||||
Essex Property Trust Inc ‡ | 1,621 | 393 | ||||||
Extra Space Storage Inc ‡ | 3,299 | 570 | ||||||
Federal Realty Investment Trust ‡ | 1,800 | 162 | ||||||
Healthpeak Properties Inc ‡ | 13,200 | 303 | ||||||
Host Hotels & Resorts Inc ‡ | 17,474 | 278 | ||||||
Invitation Homes Inc ‡ | 14,400 | 486 | ||||||
Iron Mountain Inc ‡ | 7,238 | 318 | ||||||
Kimco Realty Corp ‡ | 15,113 | 278 | ||||||
Mid-America Apartment Communities Inc ‡ | 2,840 | 440 | ||||||
Prologis Inc ‡ | 18,220 | 1,851 | ||||||
Public Storage ‡ | 3,887 | 1,138 | ||||||
Realty Income Corp ‡ | 14,900 | 867 | ||||||
Regency Centers Corp ‡ | 3,799 | 205 | ||||||
SBA Communications Corp, Cl A ‡ | 2,649 | 754 | ||||||
Simon Property Group Inc ‡ | 8,106 | 728 | ||||||
UDR Inc ‡ | 7,500 | 313 | ||||||
Ventas Inc *‡ | 9,832 | 395 | ||||||
VICI Properties Inc ‡ | 23,700 | 707 | ||||||
Vornado Realty Trust ‡ | 4,077 | 94 | ||||||
Welltower Inc ‡ | 11,300 | 727 | ||||||
Weyerhaeuser Co ‡ | 18,161 | 519 | ||||||
20,789 | ||||||||
Utilities — 3.0% | ||||||||
AES Corp/The | 16,390 | 370 | ||||||
Alliant Energy Corp | 6,200 | 329 | ||||||
Ameren Corp | 6,353 | 512 | ||||||
American Electric Power Co Inc | 12,615 | 1,091 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
91
SCHEDULE OF INVESTMENTS
September 30, 2022
S&P 500 Index Fund (Concluded)
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
American Water Works Co Inc | 4,476 | $ | 583 | |||||
Atmos Energy Corp | 3,400 | 346 | ||||||
CenterPoint Energy Inc | 15,585 | 439 | ||||||
CMS Energy Corp | 7,201 | 419 | ||||||
Consolidated Edison Inc | 8,736 | 749 | ||||||
Constellation Energy Corp | 8,051 | 670 | ||||||
Dominion Energy Inc | 20,530 | 1,419 | ||||||
DTE Energy Co | 4,770 | 549 | ||||||
Duke Energy Corp | 18,991 | 1,767 | ||||||
Edison International | 9,457 | 535 | ||||||
Entergy Corp | 5,026 | 506 | ||||||
Evergy Inc | 5,699 | 339 | ||||||
Exelon Corp | 24,355 | 912 | ||||||
FirstEnergy Corp | 13,323 | 493 | ||||||
NextEra Energy Inc | 48,380 | 3,793 | ||||||
NiSource Inc | 9,844 | 248 | ||||||
NRG Energy Inc | 5,881 | 225 | ||||||
PG&E Corp * | 39,700 | 496 | ||||||
Pinnacle West Capital Corp | 2,849 | 184 | ||||||
PPL Corp | 18,071 | 458 | ||||||
Public Service Enterprise Group Inc | 12,330 | 693 | ||||||
Sempra Energy | 7,745 | 1,161 | ||||||
Southern Co/The | 26,219 | 1,783 | ||||||
WEC Energy Group Inc | 7,771 | 695 | ||||||
Xcel Energy Inc | 13,536 | 866 | ||||||
22,630 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Total Common Stock | ||||||||
(Cost $238,817) ($ Thousands) | $ | 742,852 | ||||||
AFFILIATED PARTNERSHIP — 0.0% | ||||||||
SEI Liquidity Fund, LP | ||||||||
2.930% **†(A) | 685 | 1 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $1) ($ Thousands) | 1 | |||||||
CASH EQUIVALENT — 0.4% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
2.600%**† | 2,986,115 | 2,986 | ||||||
Total Cash Equivalent | ||||||||
(Cost $2,986) ($ Thousands) | 2,986 | |||||||
Total Investments in Securities — 100.1% | ||||||||
(Cost $241,804) ($ Thousands) | $ | 745,839 |
A list of the open futures contracts held by the Fund at September 30, 2022 is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Depreciation (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 Index E-MINI | 21 | Dec-2022 | $ | 4,317 | $ | 3,782 | $ | (535 | ) |
| Percentages are based on Net Assets of $745,367 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2022. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
†† | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
(A) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of September 30, 2022 was $1 ($ Thousands). |
The following is a summary of the level of inputs used as of September 30, 2022, 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 | 742,852 | – | – | 742,852 | ||||||||||||
Affiliated Partnership | – | 1 | – | 1 | ||||||||||||
Cash Equivalent | 2,986 | – | – | 2,986 | ||||||||||||
Total Investments in Securities | 745,838 | 1 | – | 745,839 |
Other Financial Instruments | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | (535 | ) | – | – | (535 | ) | ||||||||||
Total Other Financial Instruments | (535 | ) | – | – | (535 | ) |
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
92
SEI Institutional Managed Trust / Annual Report / September 30, 2022
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2022 ($ Thousands):
Security Description | Value 9/30/2021 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 9/30/2022 | Shares | Income | Capital Gains | |||||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 103 | $ | 1,868 | $ | (1,968 | ) | $ | (3 | ) | $ | 1 | $ | 1 | 685 | $ | — | $ | — | |||||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | 7,294 | 73,213 | (77,521 | ) | — | — | 2,986 | 2,986,115 | 13 | — | ||||||||||||||||||||||||||
Totals | $ | 7,397 | $ | 75,081 | $ | (79,489 | ) | $ | (3 | ) | $ | 1 | $ | 2,987 | $ | 13 | $ | — |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
93
SCHEDULE OF INVESTMENTS
September 30, 2022
Small Cap Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Shares | Market Value | ||||||
COMMON STOCK — 98.2% | ||||||||
Communication Services — 3.0% | ||||||||
Audacy Inc, Cl A * | 338,940 | $ | 131 | |||||
Cable One Inc | 1,018 | 868 | ||||||
Cinemark Holdings Inc * | 212,465 | 2,573 | ||||||
Cogent Communications Holdings Inc | 19,012 | 992 | ||||||
IDT Corp, Cl B * | 13,680 | 340 | ||||||
Integral Ad Science Holding Corp * | 17,252 | 125 | ||||||
Iridium Communications Inc * | 33,736 | 1,497 | ||||||
Liberty Latin America Ltd, Cl A * | 34,460 | 213 | ||||||
Lions Gate Entertainment Corp, Cl A * | 396,020 | 2,942 | ||||||
MediaAlpha Inc, Cl A * | 36,506 | 319 | ||||||
Nexstar Media Group Inc, Cl A | 11,595 | 1,935 | ||||||
PubMatic Inc, Cl A * | 20,300 | 338 | ||||||
Shutterstock Inc | 17,822 | 894 | ||||||
TEGNA Inc | 25,768 | 533 | ||||||
Thryv Holdings Inc * | 23,050 | 526 | ||||||
World Wrestling Entertainment Inc, Cl A | 10,404 | 730 | ||||||
Ziff Davis Inc * | 8,487 | 581 | ||||||
15,537 | ||||||||
Consumer Discretionary — 10.2% | ||||||||
Aaron's Co Inc/The | 83,764 | 814 | ||||||
Academy Sports & Outdoors Inc | 15,860 | 669 | ||||||
ADT Inc | 83,000 | 622 | ||||||
Advance Auto Parts Inc | 6,387 | 998 | ||||||
American Eagle Outfitters Inc | 273,967 | 2,666 | ||||||
Beazer Homes USA Inc, Cl A * | 44,788 | 433 | ||||||
Biglari Holdings Inc, Cl B * | 1,926 | 223 | ||||||
Bloomin' Brands Inc | 140,700 | 2,579 | ||||||
Bluegreen Vacations Holding Corp, Cl A | 30,461 | 503 | ||||||
Bowlero Corp *(A) | 46,000 | 566 | ||||||
Brinker International Inc * | 120,565 | 3,012 | ||||||
Brunswick Corp/DE | 17,490 | 1,145 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Buckle Inc/The | 5,800 | $ | 184 | |||||
Build-A-Bear Workshop Inc | 9,420 | 126 | ||||||
Caleres Inc | 20,370 | 493 | ||||||
Carter's Inc | 16,616 | 1,089 | ||||||
Cavco Industries Inc * | 2,934 | 604 | ||||||
Century Casinos Inc * | 33,632 | 221 | ||||||
Chico's FAS Inc * | 27,370 | 132 | ||||||
Churchill Downs Inc | 7,134 | 1,314 | ||||||
Chuy's Holdings Inc * | 14,373 | 333 | ||||||
Citi Trends Inc * | 7,130 | 111 | ||||||
Container Store Group Inc/The * | 33,377 | 164 | ||||||
Destination XL Group Inc * | 174,216 | 944 | ||||||
Dick's Sporting Goods Inc | 5,211 | 545 | ||||||
Domino's Pizza Inc | 2,828 | 877 | ||||||
Dorman Products Inc * | 13,904 | 1,142 | ||||||
Ethan Allen Interiors Inc | 45,650 | 965 | ||||||
Express Inc * | 97,700 | 106 | ||||||
Funko Inc, Cl A * | 24,170 | 489 | ||||||
Goodyear Tire & Rubber Co/The * | 48,899 | 493 | ||||||
H&R Block Inc | 16,406 | 698 | ||||||
Haverty Furniture Cos Inc | 34,149 | 850 | ||||||
Hibbett Inc | 5,973 | 298 | ||||||
JAKKS Pacific Inc * | 29,895 | 578 | ||||||
Kohl's Corp | 27,970 | 703 | ||||||
Kura Sushi USA Inc, Cl A * | 7,918 | 583 | ||||||
Latham Group Inc * | 26,160 | 94 | ||||||
Lifetime Brands Inc | 14,536 | 98 | ||||||
Light & Wonder Inc, Cl A * | 9,390 | 403 | ||||||
Lovesac Co/The * | 34,210 | 697 | ||||||
Marine Products Corp | 14,288 | 121 | ||||||
MarineMax Inc * | 6,130 | 183 | ||||||
MasterCraft Boat Holdings Inc * | 30,100 | 567 | ||||||
Modine Manufacturing Co * | 268,405 | 3,473 | ||||||
Monarch Casino & Resort Inc * | 5,395 | 303 | ||||||
Monro Inc | 22,764 | 989 | ||||||
Motorcar Parts of America * | 10,530 | 160 | ||||||
Movado Group Inc | 13,226 | 373 | ||||||
Murphy USA Inc | 9,321 | 2,562 | ||||||
NEOGAMES SA * | 21,190 | 273 | ||||||
Noodles & Co, Cl A * | 31,075 | 146 | ||||||
OneWater Marine Inc, Cl A * | 17,764 | 535 | ||||||
Oxford Industries Inc, Cl A | 4,662 | 419 | ||||||
Pool Corp | 2,712 | 863 | ||||||
Porch Group Inc * | 173,380 | 390 | ||||||
Ruth's Hospitality Group Inc | 47,270 | 797 | ||||||
Shoe Carnival Inc | 23,518 | 504 | ||||||
Skyline Champion Corp * | 9,961 | 527 | ||||||
Steven Madden Ltd | 14,847 | 396 | ||||||
Superior Group of Cos Inc | 9,028 | 80 | ||||||
Target Hospitality Corp * | 70,105 | 885 | ||||||
Topgolf Callaway Brands Corp * | 35,785 | 689 | ||||||
Travel + Leisure Co | 28,817 | 983 |
94
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Unifi Inc * | 2,424 | $ | 23 | |||||
Urban Outfitters Inc * | 112,780 | 2,216 | ||||||
Vista Outdoor Inc * | 15,160 | 369 | ||||||
Vivint Smart Home Inc * | 165,005 | 1,086 | ||||||
Wingstop Inc, Cl A | 10,549 | 1,323 | ||||||
Winmark Corp | 648 | 140 | ||||||
WW International Inc * | 63,900 | 251 | ||||||
Xometry Inc, Cl A * | 11,847 | 673 | ||||||
XPEL Inc * | 7,300 | 470 | ||||||
YETI Holdings Inc * | 9,647 | 275 | ||||||
52,608 | ||||||||
Consumer Staples — 3.4% | ||||||||
Cal-Maine Foods Inc | 21,816 | 1,213 | ||||||
Casey's General Stores Inc | 6,060 | 1,227 | ||||||
Celsius Holdings Inc * | 10,484 | 951 | ||||||
elf Beauty Inc * | 34,512 | 1,298 | ||||||
Fresh Market Inc * | 19,578 | — | ||||||
Hain Celestial Group Inc/The * | 16,734 | 283 | ||||||
Hostess Brands Inc, Cl A * | 107,537 | 2,499 | ||||||
Ingles Markets Inc, Cl A | 6,530 | 517 | ||||||
Ingredion Inc | 15,880 | 1,279 | ||||||
Inter Parfums Inc | 14,108 | 1,065 | ||||||
Lancaster Colony Corp | 4,882 | 734 | ||||||
MGP Ingredients Inc | 18,062 | 1,918 | ||||||
Natural Grocers by Vitamin Cottage Inc | 32,460 | 350 | ||||||
Performance Food Group Co * | 13,432 | 577 | ||||||
Post Holdings Inc * | 8,575 | 702 | ||||||
TreeHouse Foods Inc * | 32,608 | 1,383 | ||||||
Village Super Market Inc, Cl A | 18,788 | 363 | ||||||
Vita Coco Co Inc/The * | 40,500 | 461 | ||||||
Weis Markets Inc | 7,650 | 545 | ||||||
17,365 | ||||||||
Energy — 9.2% | ||||||||
Alto Ingredients Inc * | 142,485 | 519 | ||||||
Antero Resources Corp * | 12,409 | 379 | ||||||
Arch Resources Inc | 2,973 | 353 | ||||||
Berry Corp | 125,085 | 938 | ||||||
Brigham Minerals Inc, Cl A | 23,500 | 580 | ||||||
Bristow Group Inc * | 23,720 | 557 | ||||||
Cactus Inc, Cl A | 21,892 | 841 | ||||||
California Resources Corp | 10,898 | 419 | ||||||
Centrus Energy Corp, Cl A * | 34,404 | 1,410 | ||||||
ChampionX Corp | 61,853 | 1,210 | ||||||
Chesapeake Energy Corp | 5,011 | 472 | ||||||
Chord Energy | 11,302 | 1,546 | ||||||
Civitas Resources Inc | 14,411 | 827 | ||||||
Comstock Resources Inc * | 30,000 | 519 | ||||||
Coterra Energy Inc | 38,986 | 1,018 | ||||||
Crescent Point Energy Corp | 65,426 | 403 | ||||||
Delek US Holdings Inc | 168,478 | 4,572 | ||||||
DHT Holdings Inc | 142,000 | 1,073 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Diamondback Energy Inc, Cl A | 9,088 | $ | 1,095 | |||||
Dorian LPG Ltd | 12,010 | 163 | ||||||
Earthstone Energy Inc, Cl A * | 62,790 | 774 | ||||||
Expro Group Holdings NV * | 36,669 | 467 | ||||||
Golar LNG Ltd * | 29,383 | 732 | ||||||
Helix Energy Solutions Group Inc * | 68,430 | 264 | ||||||
Helmerich & Payne Inc | 28,671 | 1,060 | ||||||
HF Sinclair Corp | 65,582 | 3,531 | ||||||
International Seaways Inc | 58,668 | 2,061 | ||||||
Liberty Energy Inc, Cl A * | 45,091 | 572 | ||||||
Matador Resources Co | 12,123 | 593 | ||||||
Murphy Oil Corp | 14,600 | 513 | ||||||
New Fortress Energy Inc, Cl A | 10,691 | 467 | ||||||
NexTier Oilfield Solutions Inc * | 58,475 | 433 | ||||||
Northern Oil and Gas Inc | 64,533 | 1,769 | ||||||
Oil States International Inc * | 33,050 | 129 | ||||||
Par Pacific Holdings Inc * | 32,536 | 534 | ||||||
Patterson-UTI Energy Inc | 39,000 | 456 | ||||||
PBF Energy Inc, Cl A * | 18,773 | 660 | ||||||
PDC Energy Inc, Cl A | 21,643 | 1,251 | ||||||
Range Resources Corp | 14,055 | 355 | ||||||
REX American Resources Corp * | 34,989 | 977 | ||||||
RPC Inc | 56,710 | 393 | ||||||
Scorpio Tankers Inc | 29,576 | 1,243 | ||||||
Select Energy Services Inc, Cl A * | 29,224 | 204 | ||||||
SFL Corp Ltd | 127,942 | 1,166 | ||||||
Sitio Royalties Corp | 36,015 | 796 | ||||||
SM Energy Co | 15,800 | 594 | ||||||
Solaris Oilfield Infrastructure Inc, Cl A | 100,716 | 943 | ||||||
Southwestern Energy Co * | 356,934 | 2,184 | ||||||
Talos Energy Inc * | 29,210 | 486 | ||||||
Teekay Tankers Ltd, Cl A * | 44,129 | 1,215 | ||||||
TETRA Technologies Inc * | 36,250 | 130 | ||||||
VAALCO Energy Inc | 128,230 | 559 | ||||||
W&T Offshore Inc * | 119,810 | 702 | ||||||
47,107 | ||||||||
Financials — 16.7% | ||||||||
1st Source Corp | 8,269 | 383 | ||||||
AFC Gamma Inc ‡ | 12,310 | 188 | ||||||
Allegiance Bancshares Inc | 8,140 | 339 | ||||||
Amalgamated Financial Corp | 48,213 | 1,087 | ||||||
American Equity Investment Life Holding Co | 103,275 | 3,851 | ||||||
Argo Group International Holdings Ltd | 42,600 | 820 | ||||||
Arrow Financial Corp | 5,539 | 160 | ||||||
AssetMark Financial Holdings Inc * | 22,648 | 414 | ||||||
Atlanticus Holdings Corp * | 21,406 | 561 | ||||||
BancFirst Corp | 4,497 | 402 | ||||||
Bank of Marin Bancorp | 9,639 | 289 | ||||||
Bank of NT Butterfield & Son Ltd/The | 40,966 | 1,330 | ||||||
Bank OZK | 35,018 | 1,385 | ||||||
BankUnited Inc | 141,922 | 4,849 | ||||||
Bankwell Financial Group Inc | 17,322 | 504 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
95
SCHEDULE OF INVESTMENTS
September 30, 2022
Small Cap Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Bridgewater Bancshares Inc * | 7,724 | $ | 127 | |||||
Byline Bancorp Inc | 12,540 | 254 | ||||||
Cambridge Bancorp | 1,614 | 129 | ||||||
Capital Bancorp Inc | 11,564 | 267 | ||||||
Capstar Financial Holdings Inc | 9,866 | 183 | ||||||
Carter Bankshares Inc * | 15,208 | 245 | ||||||
Cathay General Bancorp | 18,158 | 698 | ||||||
Central Pacific Financial Corp | 19,330 | 400 | ||||||
Chimera Investment Corp ‡ | 120,885 | 631 | ||||||
Civista Bancshares Inc | 6,011 | 125 | ||||||
CNB Financial Corp/PA | 5,880 | 139 | ||||||
CNO Financial Group Inc | 174,717 | 3,140 | ||||||
Coastal Financial Corp/WA * | 3,527 | 140 | ||||||
Cohen & Steers Inc | 15,630 | 979 | ||||||
Community Trust Bancorp Inc | 3,380 | 137 | ||||||
Crawford & Co, Cl A | 22,240 | 128 | ||||||
CrossFirst Bankshares Inc * | 24,550 | 320 | ||||||
CVB Financial Corp | 48,125 | 1,219 | ||||||
Enova International Inc * | 8,640 | 253 | ||||||
Equity Bancshares Inc, Cl A | 5,280 | 156 | ||||||
Esquire Financial Holdings Inc | 7,088 | 266 | ||||||
Essent Group Ltd | 13,722 | 478 | ||||||
Evercore Inc, Cl A | 5,075 | 418 | ||||||
FactSet Research Systems Inc | 2,944 | 1,178 | ||||||
Farmers National Banc Corp | 25,824 | 338 | ||||||
Financial Institutions Inc | 15,449 | 372 | ||||||
First Bancshares Inc/The | 5,003 | 149 | ||||||
First Commonwealth Financial Corp | 153,047 | 1,965 | ||||||
First Community Bankshares Inc | 17,640 | 565 | ||||||
First Financial Corp/IN | 19,776 | 894 | ||||||
First Interstate BancSystem Inc, Cl A | 65,101 | 2,627 | ||||||
First of Long Island Corp/The | 12,271 | 212 | ||||||
FNB Corp/PA | 275,820 | 3,199 | ||||||
Globe Life Inc | 9,935 | 991 | ||||||
Great Southern Bancorp Inc | 5,860 | 334 | ||||||
Hamilton Lane Inc, Cl A | 15,746 | 939 | ||||||
Hanmi Financial Corp | 23,660 | 560 | ||||||
HarborOne Bancorp Inc | 16,352 | 219 | ||||||
HBT Financial Inc | 19,240 | 349 | ||||||
Heritage Commerce Corp | 79,153 | 898 | ||||||
Home BancShares Inc/AR | 62,752 | 1,413 | ||||||
HomeTrust Bancshares Inc | 12,200 | 270 | ||||||
Hope Bancorp Inc | 34,174 | 432 | ||||||
Independent Bank Corp/MI | 25,550 | 488 | ||||||
Investar Holding Corp | 26,506 | 527 | ||||||
Kinsale Capital Group Inc | 3,615 | 923 | ||||||
Lakeland Bancorp Inc | 31,590 | 506 | ||||||
LendingTree Inc * | 5,810 | 139 | ||||||
Macatawa Bank Corp | 18,306 | 170 | ||||||
Mercantile Bank Corp | 12,752 | 379 | ||||||
Merchants Bancorp/IN | 21,630 | 499 | ||||||
Metrocity Bankshares Inc | 11,856 | 233 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Metropolitan Bank Holding Corp * | 13,490 | $ | 868 | |||||
MGIC Investment Corp | 66,493 | 852 | ||||||
Morningstar Inc, Cl A | 4,234 | 899 | ||||||
National Western Life Group Inc, Cl A | 750 | 128 | ||||||
Nicolet Bankshares Inc * | 7,009 | 494 | ||||||
NMI Holdings Inc, Cl A * | 33,720 | 687 | ||||||
Northfield Bancorp Inc | 13,194 | 189 | ||||||
OFG Bancorp | 94,118 | 2,365 | ||||||
Old National Bancorp/IN, Cl A | 211,068 | 3,476 | ||||||
Oppenheimer Holdings Inc, Cl A | 24,720 | 766 | ||||||
Origin Bancorp Inc | 4,080 | 157 | ||||||
Orrstown Financial Services Inc | 12,962 | 310 | ||||||
PacWest Bancorp | 30,721 | 694 | ||||||
Palomar Holdings Inc, Cl A * | 8,300 | 695 | ||||||
PCSB Financial Corp | 15,800 | 283 | ||||||
Peapack-Gladstone Financial Corp | 9,550 | 321 | ||||||
Peoples Bancorp Inc/OH | 6,720 | 194 | ||||||
Peoples Financial Services Corp | 5,744 | 269 | ||||||
Pinnacle Financial Partners Inc | 18,347 | 1,488 | ||||||
Popular Inc | 15,238 | 1,098 | ||||||
Preferred Bank/Los Angeles CA | 9,461 | 617 | ||||||
Primerica Inc | 6,845 | 845 | ||||||
Prosperity Bancshares Inc | 17,213 | 1,148 | ||||||
Provident Bancorp Inc | 18,986 | 272 | ||||||
Pzena Investment Management Inc, Cl A | 53,995 | 512 | ||||||
QCR Holdings Inc | 5,497 | 280 | ||||||
RBB Bancorp | 20,540 | 427 | ||||||
Regional Management Corp | 25,347 | 711 | ||||||
Renasant Corp | 18,763 | 587 | ||||||
Republic First Bancorp Inc * | 55,140 | 156 | ||||||
S&T Bancorp Inc | 21,003 | 616 | ||||||
ServisFirst Bancshares Inc | 7,158 | 573 | ||||||
South Plains Financial Inc | 4,763 | 131 | ||||||
Southern Missouri Bancorp Inc | 4,691 | 239 | ||||||
SouthState Corp | 13,074 | 1,034 | ||||||
Stellar Bancorp Inc | 28,575 | 836 | ||||||
StepStone Group Inc, Cl A | 14,875 | 365 | ||||||
StoneX Group Inc * | 14,572 | 1,209 | ||||||
TrustCo Bank Corp NY | 11,770 | 370 | ||||||
Umpqua Holdings Corp | 207,233 | 3,542 | ||||||
Universal Insurance Holdings Inc | 78,315 | 771 | ||||||
Univest Financial Corp | 52,365 | 1,230 | ||||||
Washington Federal Inc | 21,161 | 634 | ||||||
Western Alliance Bancorp | 24,047 | 1,581 | ||||||
Wintrust Financial Corp | 21,229 | 1,731 | ||||||
85,812 | ||||||||
Health Care — 15.2% | ||||||||
2seventy bio Inc * | 14,580 | 212 | ||||||
Acadia Healthcare Co Inc, Cl A * | 10,979 | 858 | ||||||
Accolade Inc * | 11,960 | 137 | ||||||
Aerie Pharmaceuticals Inc * | 44,450 | 672 | ||||||
Agenus Inc * | 475,819 | 975 |
96
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Akero Therapeutics Inc * | 20,600 | $ | 701 | |||||
Alector Inc * | 111,680 | 1,056 | ||||||
Alignment Healthcare Inc * | 37,000 | 438 | ||||||
Alkermes PLC * | 20,466 | 457 | ||||||
Altimmune Inc * | 26,500 | 338 | ||||||
ALX Oncology Holdings Inc * | 76,127 | 729 | ||||||
Amedisys Inc * | 9,426 | 912 | ||||||
Amicus Therapeutics Inc * | 41,170 | 430 | ||||||
AMN Healthcare Services Inc * | 27,999 | 2,967 | ||||||
Amneal Pharmaceuticals Inc * | 61,270 | 124 | ||||||
Amphastar Pharmaceuticals Inc * | 20,175 | 567 | ||||||
Anika Therapeutics Inc * | 6,780 | 161 | ||||||
Apellis Pharmaceuticals Inc * | 22,397 | 1,530 | ||||||
Arcellx Inc * | 34,451 | 647 | ||||||
Arcturus Therapeutics Holdings Inc * | 10,257 | 152 | ||||||
Atea Pharmaceuticals Inc * | 82,770 | 471 | ||||||
Avanos Medical Inc * | 21,500 | 468 | ||||||
Avidity Biosciences Inc * | 6,140 | 100 | ||||||
Axonics Inc * | 19,573 | 1,379 | ||||||
Axsome Therapeutics Inc * | 11,454 | 511 | ||||||
BioLife Solutions Inc * | 15,540 | 354 | ||||||
Brookdale Senior Living Inc, Cl A * | 31,138 | 133 | ||||||
Cara Therapeutics Inc * | 47,870 | 448 | ||||||
Castle Biosciences Inc * | 10,150 | 265 | ||||||
Catalyst Pharmaceuticals Inc * | 124,904 | 1,602 | ||||||
Chemed Corp | 3,055 | 1,334 | ||||||
Chinook Therapeutics Inc * | 30,204 | 594 | ||||||
CinCor Pharma Inc * | 15,872 | 521 | ||||||
Co-Diagnostics Inc * | 157,107 | 504 | ||||||
Cogent Biosciences Inc * | 49,785 | 743 | ||||||
Collegium Pharmaceutical Inc * | 75,660 | 1,212 | ||||||
Computer Programs and Systems Inc * | 10,660 | 297 | ||||||
Concert Pharmaceuticals Inc * | 141,325 | 947 | ||||||
Corcept Therapeutics Inc * | 25,021 | 642 | ||||||
Cross Country Healthcare Inc * | 20,161 | 572 | ||||||
CTI BioPharma Corp * | 71,728 | 417 | ||||||
Cytokinetics Inc * | 19,502 | 945 | ||||||
Deciphera Pharmaceuticals Inc * | 38,771 | 717 | ||||||
Denali Therapeutics Inc * | 21,553 | 661 | ||||||
Encompass Health Corp | 46,723 | 2,113 | ||||||
Ensign Group Inc/The | 19,969 | 1,588 | ||||||
Envista Holdings Corp * | 28,267 | 927 | ||||||
Evolent Health Inc, Cl A * | 21,085 | 758 | ||||||
Generation Bio Co * | 35,081 | 186 | ||||||
Gossamer Bio Inc * | 49,617 | 594 | ||||||
Haemonetics Corp * | 12,046 | 892 | ||||||
HealthEquity Inc * | 12,442 | 836 | ||||||
HealthStream Inc * | 28,353 | 603 | ||||||
Heron Therapeutics Inc * | 64,380 | 272 | ||||||
Inhibrx Inc * | 28,440 | 510 | ||||||
Innoviva Inc * | 32,903 | 382 | ||||||
Inspire Medical Systems Inc * | 2,208 | 392 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Integra LifeSciences Holdings Corp * | 24,191 | $ | 1,025 | |||||
Intra-Cellular Therapies Inc, Cl A * | 9,809 | 456 | ||||||
Invitae Corp * | 99,246 | 244 | ||||||
Ionis Pharmaceuticals Inc * | 12,945 | 573 | ||||||
iRadimed Corp | 4,601 | 138 | ||||||
iRhythm Technologies Inc * | 3,553 | 445 | ||||||
iTeos Therapeutics Inc * | 43,940 | 837 | ||||||
IVERIC bio Inc * | 38,500 | 691 | ||||||
Karuna Therapeutics Inc * | 3,954 | 889 | ||||||
Karyopharm Therapeutics Inc * | 24,890 | 136 | ||||||
Kiniksa Pharmaceuticals Ltd, Cl A * | 38,672 | 497 | ||||||
Kodiak Sciences Inc * | 60,710 | 470 | ||||||
Krystal Biotech Inc * | 8,499 | 592 | ||||||
Lantheus Holdings Inc * | 25,683 | 1,806 | ||||||
LeMaitre Vascular Inc | 28,387 | 1,439 | ||||||
Merit Medical Systems Inc * | 11,318 | 640 | ||||||
Mersana Therapeutics Inc * | 132,580 | 896 | ||||||
Mirum Pharmaceuticals Inc * | 9,345 | 196 | ||||||
Morphic Holding Inc * | 4,860 | 138 | ||||||
Neurocrine Biosciences Inc * | 6,090 | 647 | ||||||
Nurix Therapeutics Inc * | 28,810 | 375 | ||||||
NuVasive Inc * | 15,581 | 683 | ||||||
Ocular Therapeutix Inc * | 128,116 | 532 | ||||||
OptimizeRx Corp * | 37,655 | 558 | ||||||
Option Care Health Inc * | 49,242 | 1,550 | ||||||
Organogenesis Holdings Inc, Cl A * | 186,605 | 605 | ||||||
Perrigo Co PLC | 6,803 | 243 | ||||||
Pliant Therapeutics Inc * | 26,340 | 550 | ||||||
PMV Pharmaceuticals Inc * | 14,500 | 173 | ||||||
Praxis Precision Medicines Inc * | 55,370 | 126 | ||||||
Precigen Inc * | 256,330 | 543 | ||||||
Prestige Consumer Healthcare Inc, Cl A * | 46,136 | 2,299 | ||||||
Privia Health Group Inc * | 40,948 | 1,395 | ||||||
PROCEPT BioRobotics Corp * | 12,796 | 530 | ||||||
Prometheus Biosciences Inc * | 11,300 | 667 | ||||||
Protagonist Therapeutics Inc * | 40,220 | 339 | ||||||
Prothena Corp PLC * | 11,192 | 679 | ||||||
PTC Therapeutics Inc * | 14,160 | 711 | ||||||
Quest Diagnostics Inc | 8,894 | 1,091 | ||||||
RAPT Therapeutics Inc * | 5,520 | 133 | ||||||
Revance Therapeutics Inc * | 22,500 | 607 | ||||||
Rhythm Pharmaceuticals Inc * | 25,133 | 616 | ||||||
Rigel Pharmaceuticals Inc * | 131,166 | 155 | ||||||
Sana Biotechnology Inc * | 75,620 | 454 | ||||||
Sangamo Therapeutics Inc * | 30,460 | 149 | ||||||
Sarepta Therapeutics Inc * | 5,714 | 632 | ||||||
Seer Inc, Cl A * | 24,000 | 186 | ||||||
Sensus Healthcare Inc * | 54,234 | 680 | ||||||
Seres Therapeutics Inc * | 31,940 | 205 | ||||||
Shockwave Medical Inc * | 7,176 | 1,995 | ||||||
STAAR Surgical Co * | 6,162 | 435 | ||||||
STERIS PLC | 7,311 | 1,216 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
97
SCHEDULE OF INVESTMENTS
September 30, 2022
Small Cap Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Stoke Therapeutics Inc * | 10,924 | $ | 140 | |||||
Sutro Biopharma Inc * | 32,507 | 180 | ||||||
Tactile Systems Technology Inc * | 47,220 | 368 | ||||||
TG Therapeutics Inc * | 58,690 | 347 | ||||||
TransMedics Group Inc * | 14,672 | 612 | ||||||
Trevi Therapeutics Inc * | 82,619 | 127 | ||||||
US Physical Therapy Inc | 8,274 | 629 | ||||||
Utah Medical Products Inc | 2,416 | 206 | ||||||
Vanda Pharmaceuticals Inc * | 17,800 | 176 | ||||||
Ventyx Biosciences Inc *(A) | 15,300 | 534 | ||||||
Viemed Healthcare Inc * | 77,886 | 467 | ||||||
Voyager Therapeutics Inc * | 77,744 | 460 | ||||||
Zimvie Inc * | 44,448 | 439 | ||||||
78,505 | ||||||||
Industrials — 18.4% | ||||||||
AAON Inc | 9,110 | 491 | ||||||
ABM Industries Inc | 107,054 | 4,093 | ||||||
ACCO Brands Corp | 548,041 | 2,685 | ||||||
Air Lease Corp, Cl A | 29,838 | 925 | ||||||
Allison Transmission Holdings Inc | 34,359 | 1,160 | ||||||
Alta Equipment Group Inc | 44,588 | 491 | ||||||
Altra Industrial Motion Corp | 45,989 | 1,546 | ||||||
API Group Corp * | 25,317 | 336 | ||||||
Applied Industrial Technologies Inc, Cl A | 7,200 | 740 | ||||||
Arcosa Inc | 12,400 | 709 | ||||||
Argan Inc | 16,477 | 530 | ||||||
Array Technologies Inc * | 30,600 | 507 | ||||||
AZEK Co Inc/The, Cl A * | 35,617 | 592 | ||||||
Barrett Business Services Inc | 5,833 | 455 | ||||||
Booz Allen Hamilton Holding Corp, Cl A | 11,850 | 1,094 | ||||||
Brady Corp, Cl A | 12,500 | 522 | ||||||
BWX Technologies Inc, Cl W | 40,723 | 2,051 | ||||||
CACI International Inc, Cl A * | 4,565 | 1,192 | ||||||
Carlisle Cos Inc | 4,160 | 1,167 | ||||||
Casella Waste Systems Inc, Cl A * | 8,474 | 647 | ||||||
CBIZ Inc * | 29,111 | 1,245 | ||||||
CECO Environmental Corp * | 76,554 | 677 | ||||||
Chart Industries Inc * | 4,916 | 906 | ||||||
CIRCOR International Inc * | 25,215 | 416 | ||||||
Clean Harbors Inc * | 20,648 | 2,271 | ||||||
Comfort Systems USA Inc | 7,386 | 719 | ||||||
Costamare Inc | 39,644 | 355 | ||||||
CRA International Inc | 12,466 | 1,106 | ||||||
CSW Industrials Inc | 4,879 | 585 | ||||||
Daseke Inc * | 98,404 | 532 | ||||||
Ducommun Inc * | 7,899 | 313 | ||||||
Dycom Industries Inc * | 12,050 | 1,151 | ||||||
Eagle Bulk Shipping Inc | 7,710 | 333 | ||||||
EMCOR Group Inc | 13,087 | 1,511 | ||||||
Energy Recovery Inc * | 24,000 | 522 | ||||||
Enerpac Tool Group Corp, Cl A | 22,943 | 409 | ||||||
Ennis Inc | 22,670 | 456 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Enovix Corp * | 23,500 | $ | 431 | |||||
EnPro Industries Inc | 11,914 | 1,012 | ||||||
First Advantage Corp * | 31,890 | 409 | ||||||
Fluence Energy Inc, Cl A * | 30,000 | 438 | ||||||
Forrester Research Inc * | 23,622 | 851 | ||||||
Forward Air Corp | 6,001 | 542 | ||||||
Franklin Covey Co * | 22,442 | 1,019 | ||||||
Gates Industrial Corp PLC * | 56,352 | 550 | ||||||
GATX Corp | 5,381 | 458 | ||||||
Genco Shipping & Trading Ltd | 33,117 | 415 | ||||||
GFL Environmental Inc | 42,794 | 1,082 | ||||||
Global Industrial Co | 19,568 | 525 | ||||||
GMS Inc * | 14,867 | 595 | ||||||
Griffon Corp | 46,088 | 1,361 | ||||||
H&E Equipment Services Inc | 16,515 | 468 | ||||||
Harsco Corp * | 36,576 | 137 | ||||||
Heartland Express Inc | 79,530 | 1,138 | ||||||
Heidrick & Struggles International Inc | 16,326 | 424 | ||||||
Heritage-Crystal Clean Inc * | 34,276 | 1,014 | ||||||
Hexcel Corp, Cl A | 15,166 | 784 | ||||||
Hillenbrand Inc | 19,666 | 722 | ||||||
Hub Group Inc, Cl A * | 9,372 | 646 | ||||||
Hudson Technologies Inc * | 154,703 | 1,137 | ||||||
Huntington Ingalls Industries Inc, Cl A | 5,048 | 1,118 | ||||||
Huron Consulting Group Inc * | 42,478 | 2,814 | ||||||
ICF International Inc, Cl A | 5,900 | 643 | ||||||
Infrastructure and Energy Alternatives Inc * | 72,766 | 985 | ||||||
Insperity Inc, Cl A | 18,954 | 1,935 | ||||||
Insteel Industries Inc | 16,740 | 444 | ||||||
Interface Inc, Cl A | 20,583 | 185 | ||||||
ITT Inc | 17,010 | 1,111 | ||||||
Kadant Inc | 2,664 | 444 | ||||||
Kelly Services Inc, Cl A | 24,618 | 335 | ||||||
Kennametal Inc | 18,141 | 373 | ||||||
Kimball International Inc, Cl B | 55,988 | 352 | ||||||
Korn Ferry | 18,880 | 886 | ||||||
Landstar System Inc | 7,682 | 1,109 | ||||||
LSI Industries Inc | 76,000 | 584 | ||||||
Marten Transport Ltd | 65,296 | 1,251 | ||||||
Masonite International Corp * | 11,244 | 802 | ||||||
Matthews International Corp, Cl A | 28,414 | 637 | ||||||
McGrath RentCorp | 8,419 | 706 | ||||||
MRC Global Inc * | 55,464 | 399 | ||||||
Mueller Industries Inc | 22,095 | 1,313 | ||||||
Nordson Corp | 4,527 | 961 | ||||||
NOW Inc * | 53,000 | 533 | ||||||
PAM Transportation Services Inc * | 6,904 | 214 | ||||||
Park Aerospace Corp | 10,845 | 120 | ||||||
PGT Innovations Inc * | 28,400 | 595 | ||||||
Quanex Building Products Corp | 46,533 | 845 | ||||||
Radiant Logistics Inc * | 130,025 | 740 | ||||||
RBC Bearings Inc * | 2,650 | 551 |
98
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
RCM Technologies Inc * | 2,752 | $ | 46 | |||||
Regal Rexnord Corp | 15,136 | 2,124 | ||||||
Resources Connection Inc | 91,625 | 1,656 | ||||||
Rush Enterprises Inc, Cl A | 14,561 | 639 | ||||||
Safe Bulkers Inc | 269,660 | 666 | ||||||
Simpson Manufacturing Co Inc | 6,105 | 479 | ||||||
SP Plus Corp * | 35,969 | 1,127 | ||||||
Standex International Corp | 21,627 | 1,766 | ||||||
Sterling Infrastructure Inc * | 21,990 | 472 | ||||||
SunPower Corp, Cl A * | 25,500 | 588 | ||||||
Sunrun Inc * | 17,500 | 483 | ||||||
Terex Corp | 28,058 | 834 | ||||||
Tetra Tech Inc | 9,132 | 1,174 | ||||||
Titan Machinery Inc * | 29,244 | 826 | ||||||
TPI Composites Inc * | 26,670 | 301 | ||||||
TriNet Group Inc * | 5,597 | 399 | ||||||
TrueBlue Inc * | 20,210 | 386 | ||||||
UFP Industries Inc | 20,699 | 1,494 | ||||||
UniFirst Corp/MA | 5,214 | 877 | ||||||
Universal Logistics Holdings Inc | 8,740 | 277 | ||||||
V2X Inc * | 13,330 | 472 | ||||||
Valmont Industries Inc | 6,995 | 1,879 | ||||||
WESCO International Inc * | 9,971 | 1,190 | ||||||
94,738 | ||||||||
Information Technology — 13.0% | ||||||||
8x8 Inc * | 142,560 | 492 | ||||||
A10 Networks Inc | 39,689 | 527 | ||||||
ACI Worldwide Inc * | 22,872 | 478 | ||||||
Aehr Test Systems * | 41,424 | 584 | ||||||
Agilysys Inc * | 23,244 | 1,287 | ||||||
Alkami Technology Inc * | 58,811 | 885 | ||||||
Alpha & Omega Semiconductor Ltd * | 14,970 | 460 | ||||||
AudioCodes Ltd | 39,811 | 868 | ||||||
Aviat Networks Inc * | 15,520 | 425 | ||||||
AvidXchange Holdings Inc * | 18,800 | 158 | ||||||
Axcelis Technologies Inc * | 16,685 | 1,010 | ||||||
AXT Inc * | 119,982 | 804 | ||||||
Bel Fuse Inc, Cl B | 25,876 | 653 | ||||||
Belden Inc | 36,003 | 2,161 | ||||||
Box Inc, Cl A * | 26,101 | 637 | ||||||
Broadridge Financial Solutions Inc | 6,924 | 999 | ||||||
Calix Inc * | 23,073 | 1,411 | ||||||
Cantaloupe Inc * | 38,240 | 133 | ||||||
Cass Information Systems Inc | 11,720 | 407 | ||||||
Clearfield Inc * | 9,977 | 1,044 | ||||||
Cognex Corp | 14,623 | 606 | ||||||
CommScope Holding Co Inc * | 61,000 | 562 | ||||||
CSG Systems International Inc | 12,083 | 639 | ||||||
CTS Corp | 15,980 | 666 | ||||||
Diebold Nixdorf Inc * | 106,140 | 259 | ||||||
Digi International Inc * | 28,982 | 1,002 | ||||||
Diodes Inc * | 6,500 | 422 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
eGain Corp * | 76,857 | $ | 565 | |||||
EngageSmart Inc * | 34,000 | 703 | ||||||
Entegris Inc | 8,382 | 696 | ||||||
ExlService Holdings Inc * | 15,736 | 2,319 | ||||||
Extreme Networks Inc * | 51,380 | 671 | ||||||
Fabrinet * | 12,105 | 1,156 | ||||||
Grid Dynamics Holdings Inc * | 32,470 | 608 | ||||||
Hackett Group Inc/The | 49,277 | 873 | ||||||
Harmonic Inc, Cl A * | 157,250 | 2,055 | ||||||
I3 Verticals Inc, Cl A * | 8,772 | 176 | ||||||
Impinj Inc * | 7,398 | 592 | ||||||
Instructure Holdings Inc * | 21,000 | 468 | ||||||
International Money Express Inc * | 79,303 | 1,807 | ||||||
Jack Henry & Associates Inc | 6,337 | 1,155 | ||||||
Kulicke & Soffa Industries Inc | 25,576 | 985 | ||||||
Lattice Semiconductor Corp * | 9,044 | 445 | ||||||
Littelfuse Inc | 4,937 | 981 | ||||||
Lumentum Holdings Inc * | 24,933 | 1,710 | ||||||
MACOM Technology Solutions Holdings Inc * | 18,901 | 979 | ||||||
MaxLinear Inc, Cl A * | 12,540 | 409 | ||||||
Mitek Systems Inc * | 15,216 | 139 | ||||||
Napco Security Technologies Inc * | 40,221 | 1,170 | ||||||
National Instruments Corp | 27,567 | 1,040 | ||||||
Onto Innovation Inc * | 9,143 | 586 | ||||||
Payoneer Global Inc * | 94,000 | 569 | ||||||
PC Connection Inc | 21,707 | 979 | ||||||
PDF Solutions Inc * | 22,690 | 557 | ||||||
Photronics Inc * | 274,901 | 4,019 | ||||||
Power Integrations Inc | 16,217 | 1,043 | ||||||
Qualys Inc * | 10,366 | 1,445 | ||||||
Rambus Inc * | 25,397 | 646 | ||||||
Sanmina Corp * | 15,484 | 713 | ||||||
ScanSource Inc * | 5,410 | 143 | ||||||
ShotSpotter Inc * | 17,701 | 509 | ||||||
Silicon Motion Technology Corp ADR | 28,690 | 1,870 | ||||||
SPS Commerce Inc * | 4,521 | 562 | ||||||
Super Micro Computer Inc * | 91,386 | 5,033 | ||||||
Tenable Holdings Inc * | 11,405 | 397 | ||||||
TTEC Holdings Inc | 15,912 | 705 | ||||||
TTM Technologies Inc * | 30,437 | 401 | ||||||
Universal Display Corp | 8,717 | 822 | ||||||
Veeco Instruments Inc * | 16,224 | 297 | ||||||
Verra Mobility Corp, Cl A * | 36,000 | 553 | ||||||
Viant Technology Inc, Cl A * | 30,650 | 129 | ||||||
Viavi Solutions Inc * | 95,552 | 1,247 | ||||||
Vishay Intertechnology Inc | 65,445 | 1,164 | ||||||
Vishay Precision Group Inc * | 32,870 | 973 | ||||||
66,643 | ||||||||
Materials — 5.1% | ||||||||
Alamos Gold Inc, Cl A | 64,558 | 478 | ||||||
Alpha Metallurgical Resources Inc | 4,496 | 615 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
99
SCHEDULE OF INVESTMENTS
September 30, 2022
Small Cap Fund (Concluded)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
American Vanguard Corp, Cl B | 13,290 | $ | 248 | |||||
Aspen Aerogels Inc * | 48,100 | 443 | ||||||
ATI Inc * | 19,529 | 520 | ||||||
Axalta Coating Systems Ltd * | 30,812 | 649 | ||||||
Balchem Corp | 5,593 | 680 | ||||||
Cabot Corp | 23,023 | 1,471 | ||||||
Century Aluminum Co * | 45,599 | 241 | ||||||
Chase Corp | 6,220 | 520 | ||||||
Clearwater Paper Corp * | 14,700 | 553 | ||||||
Commercial Metals Co, Cl A | 91,773 | 3,256 | ||||||
Element Solutions Inc | 51,904 | 844 | ||||||
Graphic Packaging Holding Co | 22,801 | 450 | ||||||
Hawkins Inc | 5,214 | 203 | ||||||
Haynes International Inc | 9,500 | 334 | ||||||
Ingevity Corp * | 21,797 | 1,322 | ||||||
Innospec Inc | 12,873 | 1,103 | ||||||
Kronos Worldwide Inc | 22,587 | 211 | ||||||
Livent Corp * | 72,212 | 2,213 | ||||||
LSB Industries Inc * | 33,810 | 482 | ||||||
Materion Corp | 13,083 | 1,047 | ||||||
O-I Glass Inc, Cl I * | 89,618 | 1,161 | ||||||
Olympic Steel Inc | 17,626 | 402 | ||||||
Quaker Chemical Corp | 5,092 | 735 | ||||||
Rayonier Advanced Materials Inc * | 66,490 | 209 | ||||||
Reliance Steel & Aluminum Co | 6,652 | 1,160 | ||||||
Ryerson Holding Corp | 52,461 | 1,350 | ||||||
Sensient Technologies Corp | 7,200 | 499 | ||||||
Silgan Holdings Inc | 10,361 | 436 | ||||||
SunCoke Energy Inc | 156,130 | 907 | ||||||
Tredegar Corp | 20,970 | 198 | ||||||
Valvoline Inc | 31,721 | 804 | ||||||
Warrior Met Coal Inc | 16,443 | 468 | ||||||
26,212 | ||||||||
Real Estate — 2.2% | ||||||||
Armada Hoffler Properties Inc ‡ | 52,795 | 548 | ||||||
Ashford Hospitality Trust Inc *‡ | 25,110 | 171 | ||||||
BRT Apartments Corp ‡ | 27,900 | 567 | ||||||
Corporate Office Properties Trust ‡ | 35,694 | 829 | ||||||
Douglas Elliman Inc ‡ | 136,069 | 558 | ||||||
eXp World Holdings Inc ‡(A) | 59,813 | 670 | ||||||
Farmland Partners Inc ‡ | 31,875 | 404 | ||||||
Forestar Group Inc *‡ | 27,142 | 304 | ||||||
Independence Realty Trust Inc ‡ | 24,415 | 408 | ||||||
Kennedy-Wilson Holdings Inc ‡ | 60,649 | 938 | ||||||
National Storage Affiliates Trust ‡ | 25,445 | 1,058 | ||||||
Newmark Group Inc, Cl A ‡ | 85,944 | 693 | ||||||
NexPoint Residential Trust Inc ‡ | 20,153 | 931 | ||||||
Outfront Media Inc ‡ | 24,590 | 373 | ||||||
RMR Group Inc/The, Cl A ‡ | 9,710 | 230 | ||||||
Ryman Hospitality Properties Inc ‡ | 6,625 | 488 | ||||||
STAG Industrial Inc ‡ | 41,420 | 1,178 | ||||||
Terreno Realty Corp ‡ | 18,300 | 970 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Urstadt Biddle Properties Inc, Cl A ‡ | 11,050 | $ | 171 | |||||
11,489 | ||||||||
Utilities — 1.8% | ||||||||
Algonquin Power & Utilities Corp (A) | 95,994 | 1,047 | ||||||
Altus Power Inc, Cl A * | 45,616 | 502 | ||||||
Artesian Resources Corp, Cl A | 11,000 | 530 | ||||||
Avista Corp | 14,500 | 537 | ||||||
Black Hills Corp, Cl A | 13,218 | 895 | ||||||
Chesapeake Utilities Corp | 4,500 | 519 | ||||||
Clearway Energy Inc, Cl C | 19,700 | 628 | ||||||
IDACORP Inc, Cl A | 10,543 | 1,044 | ||||||
Otter Tail Corp | 10,435 | 642 | ||||||
Portland General Electric Co | 36,071 | 1,568 | ||||||
Southwest Gas Holdings Inc | 6,165 | 430 | ||||||
Spire Inc | 9,544 | 595 | ||||||
Unitil Corp | 4,414 | 205 | ||||||
Via Renewables Inc, Cl A | 39,118 | 270 | ||||||
9,412 | ||||||||
Total Common Stock | ||||||||
(Cost $479,103) ($ Thousands) | 505,428 | |||||||
EXCHANGE TRADED FUND — 0.2% | ||||||||
iShares Russell 2000 Value ETF | 6,165 | 795 | ||||||
Total Exchange Traded Fund | ||||||||
(Cost $922) ($ Thousands) | 795 | |||||||
AFFILIATED PARTNERSHIP — 0.5% | ||||||||
SEI Liquidity Fund, LP | ||||||||
2.930% **†(B) | 2,751,608 | 2,751 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $2,751) ($ Thousands) | 2,751 | |||||||
CASH EQUIVALENT — 1.8% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
2.600%**† | 9,049,978 | 9,050 | ||||||
Total Cash Equivalent | ||||||||
(Cost $9,050) ($ Thousands) | 9,050 | |||||||
Total Investments in Securities — 100.7% | ||||||||
(Cost $491,826) ($ Thousands) | $ | 518,024 | ||||||
100
SEI Institutional Managed Trust / Annual Report / September 30, 2022
| Percentages are based on Net Assets of $514,514 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2022. |
‡ | 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, 2022 (see Note 12). The total market value of securities on loan at September 30, 2022 was $2,695 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of September 30, 2022 was $2,751 ($ Thousands). |
The following is a summary of the level of inputs used as of September 30, 2022, 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 | 505,428 | – | – | 505,428 | ||||||||||||
Exchange Traded Fund | 795 | – | – | 795 | ||||||||||||
Affiliated Partnership | – | 2,751 | – | 2,751 | ||||||||||||
Cash Equivalent | 9,050 | – | – | 9,050 | ||||||||||||
Total Investments in Securities | 515,273 | 2,751 | – | 518,024 |
Amounts designated as “—” are either $0 or have been rounded to $0.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2022 ($ Thousands):
Security Description | Value 9/30/2021 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/(Depreciation) | Value 9/30/2022 | Shares | Income | Capital Gains | |||||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 15,536 | $ | 79,920 | $ | (92,703 | ) | $ | — | $ | (2 | ) | $ | 2,751 | 2,751,608 | $ | 88 | $ | — | |||||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | 6,482 | 161,700 | (159,132 | ) | — | — | 9,050 | 9,049,978 | 61 | — | ||||||||||||||||||||||||||
Totals | $ | 22,018 | $ | 241,620 | $ | (251,835 | ) | $ | — | $ | (2 | ) | $ | 11,801 | $ | 149 | $ | — |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
101
SCHEDULE OF INVESTMENTS
September 30, 2022
Small Cap Value Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Shares | Market Value | ||||||
COMMON STOCK — 97.1% | ||||||||
Communication Services — 5.5% | ||||||||
Advantage Solutions Inc * | 22,958 | $ | 49 | |||||
AMC Networks Inc, Cl A * | 19,791 | 402 | ||||||
Cars.com Inc * | 39,027 | 449 | ||||||
Cinemark Holdings Inc * | 157,758 | 1,910 | ||||||
EchoStar Corp, Cl A * | 11,616 | 191 | ||||||
Entravision Communications Corp, Cl A | 19,713 | 78 | ||||||
IDT Corp, Cl B * | 1,416 | 35 | ||||||
John Wiley & Sons Inc, Cl A | 68,811 | 2,585 | ||||||
Lions Gate Entertainment Corp, Cl A * | 294,060 | 2,185 | ||||||
Nexstar Media Group Inc, Cl A | 39,765 | 6,635 | ||||||
Scholastic Corp, Cl B | 8,400 | 258 | ||||||
Telephone and Data Systems Inc | 28,539 | 397 | ||||||
Yelp Inc, Cl A * | 4,612 | 156 | ||||||
Ziff Davis Inc * | 57,604 | 3,945 | ||||||
19,275 | ||||||||
Consumer Discretionary — 11.4% | ||||||||
Aaron's Co Inc/The | 33,061 | 321 | ||||||
American Axle & Manufacturing Holdings Inc * | 75,586 | 516 | ||||||
American Eagle Outfitters Inc | 167,340 | 1,628 | ||||||
Big 5 Sporting Goods Corp (A) | 6,921 | 74 | ||||||
Big Lots Inc | 10,250 | 160 | ||||||
Biglari Holdings Inc, Cl B * | 325 | 38 | ||||||
Bloomin' Brands Inc | 104,472 | 1,915 | ||||||
Bluegreen Vacations Holding Corp, Cl A | 3,502 | 58 | ||||||
Brinker International Inc * | 89,522 | 2,236 | ||||||
Carriage Services Inc, Cl A | 14,603 | 470 | ||||||
Carter's Inc | 8,930 | 585 | ||||||
Cato Corp/The, Cl A | 6,012 | 57 | ||||||
Chico's FAS Inc * | 18,449 | 89 | ||||||
Dana Inc | 55,012 | 629 | ||||||
Dick's Sporting Goods Inc | 8,306 | 869 | ||||||
Duluth Holdings, Cl B * | 3,586 | 25 | ||||||
Ethan Allen Interiors Inc | 10,639 | 225 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Fossil Group Inc * | 13,698 | $ | 47 | |||||
Genesco Inc * | 9,533 | 375 | ||||||
G-III Apparel Group Ltd * | 22,602 | 338 | ||||||
Goodyear Tire & Rubber Co/The * | 83,417 | 842 | ||||||
GoPro Inc, Cl A * | 4,827 | 24 | ||||||
Group 1 Automotive Inc | 8,276 | 1,182 | ||||||
Guess?, Cl 3 | 26,500 | 389 | ||||||
H&R Block Inc | 43,265 | 1,841 | ||||||
Harley-Davidson Inc, Cl A | 14,447 | 504 | ||||||
Haverty Furniture Cos Inc | 28,221 | 703 | ||||||
Helen of Troy Ltd * | 9,645 | 930 | ||||||
KB Home | 22,601 | 586 | ||||||
Kohl's Corp | 21,105 | 531 | ||||||
La-Z-Boy Inc, Cl Z | 31,318 | 707 | ||||||
Leslie's Inc * | 136,139 | 2,003 | ||||||
Lithia Motors Inc, Cl A | 14,027 | 3,009 | ||||||
Macy's Inc | 25,524 | 400 | ||||||
MarineMax Inc * | 6,250 | 186 | ||||||
MDC Holdings Inc | 26,574 | 729 | ||||||
Meritage Homes Corp * | 13,132 | 923 | ||||||
Modine Manufacturing Co * | 191,612 | 2,479 | ||||||
Movado Group Inc | 4,365 | 123 | ||||||
Murphy USA Inc | 3,955 | 1,087 | ||||||
ODP Corp/The * | 19,312 | 679 | ||||||
Perdoceo Education Corp * | 21,965 | 226 | ||||||
Qurate Retail Inc * | 103,000 | 207 | ||||||
Rent-A-Center Inc/TX | 13,237 | 232 | ||||||
Sally Beauty Holdings Inc * | 55,179 | 695 | ||||||
Shoe Carnival Inc | 1,654 | 35 | ||||||
Signet Jewelers Ltd | 11,820 | 676 | ||||||
Sleep Number Corp * | 5,412 | 183 | ||||||
Smith & Wesson Brands Inc | 15,147 | 157 | ||||||
Sonic Automotive Inc, Cl A | 24,477 | 1,060 | ||||||
Taylor Morrison Home Corp, Cl A * | 31,342 | 731 | ||||||
Tri Pointe Homes Inc * | 85,724 | 1,295 | ||||||
Tupperware Brands Corp * | 32,337 | 212 | ||||||
Universal Technical Institute Inc * | 7,000 | 38 | ||||||
Urban Outfitters Inc * | 65,488 | 1,287 | ||||||
Victoria's Secret & Co * | 66,104 | 1,925 | ||||||
Vista Outdoor Inc * | 2,670 | 65 | ||||||
Winnebago Industries | 3,400 | 181 | ||||||
Zumiez Inc * | 5,830 | 125 | ||||||
39,842 | ||||||||
Consumer Staples — 3.1% | ||||||||
Coca-Cola Consolidated Inc | 2,124 | 874 | ||||||
Edgewell Personal Care Co | 27,671 | 1,035 | ||||||
Energizer Holdings Inc | 24,109 | 606 | ||||||
Herbalife Nutrition Ltd * | 22,586 | 449 | ||||||
Ingles Markets Inc, Cl A | 17,344 | 1,374 | ||||||
Ingredion Inc | 9,967 | 802 | ||||||
Nature's Sunshine Products Inc * | 3,728 | 31 | ||||||
Nu Skin Enterprises Inc, Cl A | 14,650 | 489 |
102
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
SpartanNash Co | 30,212 | $ | 877 | |||||
Spectrum Brands Holdings Inc | 44,473 | 1,736 | ||||||
Sprouts Farmers Market Inc * | 50,779 | 1,409 | ||||||
TreeHouse Foods Inc * | 9,087 | 385 | ||||||
Village Super Market Inc, Cl A | 15,136 | 293 | ||||||
Weis Markets Inc | 4,645 | 331 | ||||||
10,691 | ||||||||
Energy — 7.7% | ||||||||
Arch Resources Inc | 1,465 | 174 | ||||||
Bristow Group Inc * | 7,575 | 178 | ||||||
California Resources Corp | 10,898 | 419 | ||||||
Chord Energy | 10,295 | 1,408 | ||||||
Comstock Resources Inc | 65,620 | 1,135 | ||||||
CONSOL Energy Inc * | 1,178 | 76 | ||||||
Crescent Point Energy Corp | 50,731 | 312 | ||||||
Delek US Holdings Inc | 109,297 | 2,966 | ||||||
DHT Holdings Inc | 40,688 | 308 | ||||||
Dorian LPG Ltd | 1,281 | 17 | ||||||
DT Midstream Inc | 66,147 | 3,432 | ||||||
HF Sinclair Corp | 81,907 | 4,410 | ||||||
Magnolia Oil & Gas Corp, Cl A | 131,080 | 2,597 | ||||||
Murphy Oil Corp | 23,067 | 811 | ||||||
National Energy Services Reunited Corp * | 56,063 | 333 | ||||||
PBF Energy Inc, Cl A | 13,334 | 469 | ||||||
PDC Energy Inc, Cl A | 28,830 | 1,666 | ||||||
REX American Resources Corp * | 4,644 | 130 | ||||||
SFL Corp Ltd | 69,620 | 634 | ||||||
Southwestern Energy Co * | 263,061 | 1,610 | ||||||
Viper Energy Partners LP | 52,530 | 1,505 | ||||||
W&T Offshore Inc * | 187,840 | 1,101 | ||||||
World Fuel Services Corp | 39,870 | 934 | ||||||
26,625 | ||||||||
Financials — 24.7% | ||||||||
Amalgamated Financial Corp | 4,384 | 99 | ||||||
American Equity Investment Life Holding Co | 80,358 | 2,997 | ||||||
Apollo Commercial Real Estate Finance Inc ‡ | 28,013 | 232 | ||||||
Arbor Realty Trust Inc ‡ | 69,936 | 804 | ||||||
Argo Group International Holdings Ltd | 32,482 | 626 | ||||||
Associated Banc-Corp | 75,924 | 1,525 | ||||||
Assured Guaranty Ltd | 10,362 | 502 | ||||||
Axis Capital Holdings Ltd | 15,974 | 785 | ||||||
B Riley Financial Inc | 12,282 | 547 | ||||||
Banco Latinoamericano de Comercio Exterior SA, Cl E | 40,533 | 529 | ||||||
Bank OZK | 26,052 | 1,031 | ||||||
BankUnited Inc | 71,766 | 2,452 | ||||||
Bankwell Financial Group Inc | 1,565 | 46 | ||||||
Banner Corp | 10,029 | 592 | ||||||
Bar Harbor Bankshares | 4,295 | 114 | ||||||
BCB Bancorp Inc | 4,000 | 67 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
BGC Partners Inc, Cl A | 611,888 | $ | 1,921 | |||||
Blue Ridge Bankshares Inc | 5,776 | 73 | ||||||
Business First Bancshares Inc | 5,863 | 126 | ||||||
Camden National Corp | 21,470 | 915 | ||||||
Capital Bancorp Inc | 2,753 | 64 | ||||||
Capstar Financial Holdings Inc | 4,268 | 79 | ||||||
Carter Bankshares Inc * | 7,203 | 116 | ||||||
Cathay General Bancorp | 27,383 | 1,053 | ||||||
Central Pacific Financial Corp | 26,324 | 545 | ||||||
Citizens Financial Group Inc | 30,070 | 1,033 | ||||||
Civista Bancshares Inc | 4,598 | 95 | ||||||
CNB Financial Corp/PA | 5,063 | 119 | ||||||
CNO Financial Group Inc | 242,809 | 4,363 | ||||||
Columbia Banking System Inc | 81,609 | 2,358 | ||||||
Community Trust Bancorp Inc | 10,699 | 434 | ||||||
Cowen Inc, Cl A | 8,176 | 316 | ||||||
Crawford & Co, Cl A | 5,820 | 33 | ||||||
Customers Bancorp Inc * | 11,152 | 329 | ||||||
Donnelley Financial Solutions Inc * | 28,127 | 1,040 | ||||||
Enact Holdings | 4,656 | 103 | ||||||
Enova International Inc * | 9,768 | 286 | ||||||
EZCORP Inc, Cl A * | 15,751 | 121 | ||||||
Federal Agricultural Mortgage Corp, Cl C | 8,125 | 805 | ||||||
Federated Hermes Inc, Cl B | 28,016 | 928 | ||||||
Financial Institutions Inc | 4,854 | 117 | ||||||
First American Financial Corp | 11,142 | 514 | ||||||
First BanCorp/Puerto Rico | 32,490 | 444 | ||||||
First Bank/Hamilton NJ | 4,774 | 65 | ||||||
First Busey Corp | 50,888 | 1,118 | ||||||
First Business Financial Services Inc | 2,400 | 78 | ||||||
First Commonwealth Financial Corp | 180,398 | 2,316 | ||||||
First Financial Corp/IN | 13,922 | 629 | ||||||
First Guaranty Bancshares Inc | 2,368 | 52 | ||||||
First Internet Bancorp | 3,003 | 102 | ||||||
First Merchants Corp | 59,320 | 2,294 | ||||||
Flagstar Bancorp Inc | 21,667 | 724 | ||||||
Flushing Financial Corp | 49,872 | 966 | ||||||
FNB Corp/PA | 278,986 | 3,236 | ||||||
FS KKR Capital Corp | 31,885 | 540 | ||||||
Fulton Financial Corp | 64,683 | 1,022 | ||||||
GAMCO Investors Inc, Cl A | 2,021 | 34 | ||||||
Genworth Financial Inc, Cl A * | 255,190 | 893 | ||||||
Great Southern Bancorp Inc | 7,274 | 415 | ||||||
Greenlight Capital Re Ltd, Cl A * | 9,121 | 68 | ||||||
Hancock Whitney Corp, Cl A | 32,386 | 1,484 | ||||||
Hanmi Financial Corp | 31,341 | 742 | ||||||
HarborOne Bancorp Inc | 46,542 | 625 | ||||||
HBT Financial Inc | 2,321 | 42 | ||||||
Hercules Capital Inc, Cl A (A) | 50,909 | 590 | ||||||
Hilltop Holdings Inc | 18,110 | 450 | ||||||
HomeStreet Inc | 27,020 | 778 | ||||||
HomeTrust Bancshares Inc | 4,006 | 89 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
103
SCHEDULE OF INVESTMENTS
September 30, 2022
Small Cap Value Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Hope Bancorp Inc | 100,758 | $ | 1,274 | |||||
Independent Bank Corp/MI | 6,278 | 120 | ||||||
Invesco Mortgage Capital ‡ | 20,821 | 231 | ||||||
Jackson Financial, Cl A | 22,618 | 628 | ||||||
Kearny Financial Corp/MD | 52,484 | 557 | ||||||
LendingClub Corp * | 30,343 | 335 | ||||||
Luther Burbank Corp | 5,044 | 59 | ||||||
Mercantile Bank Corp | 4,399 | 131 | ||||||
Merchants Bancorp/IN | 5,977 | 138 | ||||||
MFA Financial ‡ | 38,196 | 297 | ||||||
MGIC Investment Corp | 65,342 | 838 | ||||||
Mid Penn Bancorp Inc | 4,546 | 131 | ||||||
Midland States Bancorp Inc | 6,502 | 153 | ||||||
MidWestOne Financial Group Inc | 4,386 | 120 | ||||||
Navient Corp | 61,823 | 908 | ||||||
New Mountain Finance Corp | 37,379 | 431 | ||||||
OceanFirst Financial Corp | 17,718 | 330 | ||||||
OFG Bancorp | 124,659 | 3,133 | ||||||
Old National Bancorp/IN, Cl A | 170,690 | 2,811 | ||||||
Oppenheimer Holdings Inc, Cl A | 4,859 | 151 | ||||||
Orrstown Financial Services Inc | 3,530 | 84 | ||||||
Pacific Premier Bancorp Inc | 52,636 | 1,630 | ||||||
PacWest Bancorp | 151,365 | 3,421 | ||||||
Pathward Financial | 8,906 | 294 | ||||||
PCB Bancorp | 3,500 | 63 | ||||||
Peapack-Gladstone Financial Corp | 5,631 | 189 | ||||||
PennantPark Investment Corp | 64,464 | 352 | ||||||
PennyMac Financial Services Inc | 20,682 | 887 | ||||||
Peoples Bancorp Inc/OH | 16,866 | 488 | ||||||
Peoples Financial Services Corp | 2,240 | 105 | ||||||
Popular Inc | 19,171 | 1,381 | ||||||
QCR Holdings Inc | 4,275 | 218 | ||||||
Radian Group Inc | 91,251 | 1,760 | ||||||
RBB Bancorp | 4,906 | 102 | ||||||
Redwood Trust Inc ‡ | 46,399 | 266 | ||||||
Republic Bancorp Inc/KY, Cl A | 10,270 | 393 | ||||||
Republic First Bancorp Inc * | 13,454 | 38 | ||||||
Rithm Capital Corp ‡ | 120,063 | 879 | ||||||
Sculptor Capital Management Inc, Cl A | 7,549 | 67 | ||||||
Sierra Bancorp | 4,509 | 89 | ||||||
Simmons First National Corp, Cl A | 40,784 | 889 | ||||||
SiriusPoint Ltd * | 26,044 | 129 | ||||||
SmartFinancial Inc | 2,250 | 56 | ||||||
South Plains Financial Inc | 3,417 | 94 | ||||||
Starwood Property Trust Inc ‡ | 160,953 | 2,933 | ||||||
Stewart Information Services Corp | 1,532 | 67 | ||||||
Summit Financial Group Inc | 3,604 | 97 | ||||||
Synovus Financial Corp | 21,689 | 814 | ||||||
Two Harbors Investment Corp ‡ | 46,386 | 154 | ||||||
Umpqua Holdings Corp | 154,529 | 2,641 | ||||||
Universal Insurance Holdings Inc | 24,840 | 245 | ||||||
Washington Federal Inc | 29,863 | 895 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Zions Bancorp NA | 12,392 | $ | 630 | |||||
85,756 | ||||||||
Health Care — 6.0% | ||||||||
Agenus Inc * | 45,000 | 92 | ||||||
AMN Healthcare Services Inc * | 30,179 | 3,198 | ||||||
Amneal Pharmaceuticals Inc * | 99,560 | 201 | ||||||
Arcus Biosciences Inc * | 8,983 | 235 | ||||||
Catalyst Pharmaceuticals Inc * | 28,433 | 365 | ||||||
Co-Diagnostics Inc * | 120,031 | 385 | ||||||
Collegium Pharmaceutical Inc * | 44,632 | 715 | ||||||
Computer Programs and Systems Inc * | 24,243 | 676 | ||||||
Corcept Therapeutics Inc * | 2,148 | 55 | ||||||
Cue Health * | 7,368 | 22 | ||||||
Dynavax Technologies Corp * | 33,052 | 345 | ||||||
Eagle Pharmaceuticals Inc/DE * | 3,432 | 91 | ||||||
Emergent BioSolutions * | 34,367 | 721 | ||||||
Enovis Corp * | 41,027 | 1,890 | ||||||
Exelixis Inc * | 74,424 | 1,167 | ||||||
Fulgent Genetics Inc * | 6,500 | 248 | ||||||
Innoviva Inc * | 97,774 | 1,135 | ||||||
Ironwood Pharmaceuticals Inc, Cl A * | 161,463 | 1,673 | ||||||
iTeos Therapeutics Inc * | 7,004 | 134 | ||||||
LivaNova PLC * | 22,431 | 1,139 | ||||||
National HealthCare Corp | 2,766 | 175 | ||||||
NextGen Healthcare Inc * | 7,504 | 133 | ||||||
Organogenesis Holdings Inc, Cl A * | 20,000 | 65 | ||||||
Pediatrix Medical Group Inc * | 17,806 | 294 | ||||||
Prestige Consumer Healthcare Inc, Cl A * | 22,837 | 1,138 | ||||||
Select Medical Holdings Corp | 64,085 | 1,416 | ||||||
Syneos Health Inc, Cl A * | 49,658 | 2,342 | ||||||
Utah Medical Products Inc | 541 | 46 | ||||||
Vanda Pharmaceuticals Inc * | 17,220 | 170 | ||||||
Varex Imaging Corp * | 4,500 | 95 | ||||||
Vir Biotechnology * | 6,500 | 125 | ||||||
Zimvie Inc * | 39,999 | 395 | ||||||
20,881 | ||||||||
Industrials — 13.2% | ||||||||
ABM Industries Inc | 75,745 | 2,896 | ||||||
ACCO Brands Corp | 518,491 | 2,541 | ||||||
AerSale Corp * | 4,881 | 90 | ||||||
Allison Transmission Holdings Inc | 25,623 | 865 | ||||||
Apogee Enterprises Inc | 15,668 | 599 | ||||||
ArcBest Corp | 15,646 | 1,138 | ||||||
Argan Inc | 754 | 24 | ||||||
Atkore Inc * | 14,658 | 1,140 | ||||||
Atlas Air Worldwide Holdings Inc * | 22,885 | 2,187 | ||||||
Boise Cascade Co | 11,817 | 703 | ||||||
BWX Technologies Inc, Cl W | 61,119 | 3,079 | ||||||
CoreCivic Inc *‡ | 19,750 | 175 | ||||||
Covenant Logistics Group Inc, Cl A | 3,450 | 99 | ||||||
Crane Holdings Co | 11,008 | 964 |
104
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Deluxe Corp | 13,854 | $ | 231 | |||||
Eagle Bulk Shipping Inc | 2,647 | 114 | ||||||
EMCOR Group Inc | 7,256 | 838 | ||||||
Encore Wire Corp | 5,986 | 692 | ||||||
Ennis Inc | 23,122 | 465 | ||||||
Esab Corp | 39,491 | 1,317 | ||||||
Fluor Corp * | 11,319 | 282 | ||||||
Genco Shipping & Trading Ltd | 6,414 | 80 | ||||||
GXO Logistics Inc * | 53,453 | 1,874 | ||||||
Hawaiian Holdings Inc * | 26,019 | 342 | ||||||
Heidrick & Struggles International Inc | 5,834 | 152 | ||||||
Hillenbrand Inc | 47,516 | 1,745 | ||||||
Hub Group Inc, Cl A * | 724 | 50 | ||||||
IAA Inc * | 46,808 | 1,491 | ||||||
Interface Inc, Cl A | 40,563 | 365 | ||||||
Kaman Corp, Cl A | 35,988 | 1,005 | ||||||
KAR Auction Services Inc * | 182,118 | 2,034 | ||||||
Kelly Services Inc, Cl A | 42,427 | 577 | ||||||
Kennametal Inc | 13,700 | 282 | ||||||
ManpowerGroup Inc | 7,435 | 481 | ||||||
Matson Inc | 10,098 | 621 | ||||||
Matthews International Corp, Cl A | 21,506 | 482 | ||||||
MDU Resources Group Inc | 26,754 | 732 | ||||||
Moog Inc, Cl A | 12,951 | 911 | ||||||
Mueller Industries Inc | 18,224 | 1,083 | ||||||
Park-Ohio Holdings Corp | 11,604 | 131 | ||||||
Primoris Services Corp | 28,879 | 469 | ||||||
Quanex Building Products Corp | 7,497 | 136 | ||||||
Resources Connection Inc | 4,918 | 89 | ||||||
Rush Enterprises Inc, Cl A | 18,392 | 807 | ||||||
Ryder System Inc | 10,835 | 818 | ||||||
Safe Bulkers Inc | 26,340 | 65 | ||||||
SkyWest Inc * | 10,774 | 175 | ||||||
Terex Corp | 21,108 | 628 | ||||||
Timken Co/The | 15,640 | 923 | ||||||
Titan Machinery Inc * | 5,890 | 166 | ||||||
Triton International Ltd | 25,574 | 1,400 | ||||||
TrueBlue Inc * | 13,004 | 248 | ||||||
Tutor Perini Corp * | 11,956 | 66 | ||||||
UFP Industries Inc | 3,443 | 248 | ||||||
V2X Inc * | 593 | 21 | ||||||
Wabash National Corp | 47,430 | 738 | ||||||
Werner Enterprises Inc | 25,190 | 947 | ||||||
WESCO International Inc * | 14,313 | 1,709 | ||||||
XPO Logistics Inc * | 28,284 | 1,259 | ||||||
45,789 | ||||||||
Information Technology — 9.8% | ||||||||
ACI Worldwide Inc * | 116,977 | 2,445 | ||||||
Adeia Inc | 29,641 | 419 | ||||||
Amkor Technology Inc | 116,052 | 1,979 | ||||||
Avnet Inc | 22,554 | 815 | ||||||
Benchmark Electronics Inc | 27,947 | 692 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Cirrus Logic Inc * | 6,269 | $ | 431 | |||||
Conduent Inc * | 52,230 | 174 | ||||||
Consensus Cloud Solutions Inc * | 22,164 | 1,048 | ||||||
CSG Systems International Inc | 16,439 | 869 | ||||||
Diodes Inc * | 14,386 | 934 | ||||||
Euronet Worldwide Inc * | 17,997 | 1,363 | ||||||
Insight Enterprises Inc * | 6,347 | 523 | ||||||
Jabil Inc | 32,613 | 1,882 | ||||||
Lumentum Holdings Inc * | 8,307 | 570 | ||||||
Methode Electronics Inc | 24,262 | 901 | ||||||
NCR Corp * | 22,713 | 432 | ||||||
NetScout Systems Inc * | 6,016 | 188 | ||||||
Paysafe Ltd * | 108,398 | 150 | ||||||
Photronics Inc * | 179,129 | 2,619 | ||||||
Rimini Street Inc * | 7,468 | 35 | ||||||
Sanmina Corp * | 53,683 | 2,474 | ||||||
ScanSource Inc * | 16,155 | 427 | ||||||
Silicon Motion Technology Corp ADR | 35,654 | 2,324 | ||||||
SMART Global Holdings Inc * | 2,172 | 34 | ||||||
Super Micro Computer Inc * | 48,622 | 2,678 | ||||||
TD SYNNEX Corp | 9,457 | 768 | ||||||
Teledyne Technologies Inc * | 3,753 | 1,266 | ||||||
TTM Technologies Inc * | 64,571 | 851 | ||||||
Unisys Corp * | 8,449 | 64 | ||||||
Verint Systems Inc * | 83,316 | 2,798 | ||||||
Vishay Intertechnology Inc | 89,603 | 1,594 | ||||||
Xerox Holdings Corp | 29,500 | 386 | ||||||
34,133 | ||||||||
Materials — 8.5% | ||||||||
AdvanSix Inc | 24,882 | 799 | ||||||
Alamos Gold Inc, Cl A | 49,850 | 369 | ||||||
Ashland Inc | 34,528 | 3,279 | ||||||
Axalta Coating Systems Ltd * | 123,899 | 2,609 | ||||||
Cabot Corp | 11,719 | 749 | ||||||
Century Aluminum Co * | 35,901 | 190 | ||||||
Chemours Co/The | 21,776 | 537 | ||||||
Clearwater Paper Corp * | 4,378 | 165 | ||||||
Commercial Metals Co, Cl A | 96,981 | 3,441 | ||||||
FMC Corp | 23,788 | 2,514 | ||||||
FutureFuel Corp | 8,285 | 50 | ||||||
Greif Inc, Cl A | 28,228 | 1,682 | ||||||
Huntsman Corp | 29,727 | 729 | ||||||
Ingevity Corp * | 10,362 | 628 | ||||||
Koppers Holdings Inc | 25,164 | 523 | ||||||
Kronos Worldwide Inc | 1,434 | 13 | ||||||
Louisiana-Pacific Corp | 12,731 | 652 | ||||||
Mativ Holdings | 14,549 | 321 | ||||||
Minerals Technologies Inc | 1,186 | 59 | ||||||
O-I Glass Inc, Cl I * | 51,317 | 665 | ||||||
Rayonier Advanced Materials Inc * | 3,940 | 12 | ||||||
Resolute Forest Products Inc * | 85,377 | 1,707 | ||||||
Schnitzer Steel Industries Inc, Cl A | 13,943 | 397 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
105
SCHEDULE OF INVESTMENTS
September 30, 2022
Small Cap Value Fund (Concluded)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Silgan Holdings Inc | 141,106 | $ | 5,932 | |||||
SunCoke Energy Inc | 24,160 | 140 | ||||||
TimkenSteel Corp * | 7,730 | 116 | ||||||
Tredegar Corp | 8,703 | 82 | ||||||
Trinseo PLC | 14,559 | 267 | ||||||
Valhi Inc | 1,055 | 27 | ||||||
Warrior Met Coal Inc | 13,035 | 371 | ||||||
Worthington Industries Inc | 11,603 | 442 | ||||||
29,467 | ||||||||
Real Estate — 6.5% | ||||||||
Acadia Realty Trust ‡ | 1,711 | 22 | ||||||
Alexander & Baldwin Inc ‡ | 11,457 | 190 | ||||||
American Assets Trust Inc ‡ | 22,364 | 575 | ||||||
Anywhere Real Estate * | 33,998 | 276 | ||||||
Apple Hospitality REIT Inc ‡ | 52,469 | 738 | ||||||
Brandywine Realty Trust ‡ | 60,921 | 411 | ||||||
Brixmor Property Group Inc ‡ | 22,601 | 417 | ||||||
CareTrust Inc ‡ | 23,568 | 427 | ||||||
Chatham Lodging Trust *‡ | 48,074 | 475 | ||||||
City Office REIT Inc ‡ | 42,794 | 427 | ||||||
Corporate Office Properties Trust ‡ | 24,979 | 580 | ||||||
CTO Realty Growth Inc ‡ | 4,895 | 92 | ||||||
DiamondRock Hospitality Co ‡ | 6,594 | 50 | ||||||
Diversified Healthcare Trust ‡ | 48,583 | 48 | ||||||
Douglas Elliman Inc ‡ | 25,262 | 104 | ||||||
EPR Properties, Cl A ‡ | 14,634 | 525 | ||||||
Franklin Street Properties Corp ‡ | 96,591 | 254 | ||||||
Gaming and Leisure Properties Inc ‡ | 100,450 | 4,444 | ||||||
Global Net Lease Inc ‡ | 33,245 | 354 | ||||||
Hersha Hospitality Trust, Cl A ‡ | 32,350 | 258 | ||||||
Howard Hughes Corp/The *‡ | 17,915 | 992 | ||||||
Industrial Logistics Properties Trust ‡ | 36,893 | 203 | ||||||
Kite Realty Group Trust ‡ | 34,398 | 592 | ||||||
LXP Industrial Trust, Cl B ‡ | 3,503 | 32 | ||||||
Marcus & Millichap Inc ‡ | 3,088 | 101 | ||||||
Medical Properties Trust Inc ‡ | 217,861 | 2,584 | ||||||
National Health Investors Inc ‡ | 7,600 | 430 | ||||||
Newmark Group Inc, Cl A ‡ | 166,029 | 1,338 | ||||||
Office Properties Income Trust ‡ | 20,671 | 290 | ||||||
Paramount Group Inc ‡ | 2,496 | 16 | ||||||
Pebblebrook Hotel Trust ‡ | 4,360 | 63 | ||||||
Piedmont Office Realty Trust Inc, Cl A ‡ | 68,425 | 723 | ||||||
PotlatchDeltic Corp ‡ | 16,237 | 666 | ||||||
RLJ Lodging Trust ‡ | 16,338 | 165 | ||||||
Sabra Health Care REIT Inc ‡ | 118,463 | 1,554 | ||||||
Service Properties Trust ‡ | 28,972 | 150 | ||||||
SITE Centers Corp ‡ | 4,500 | 48 | ||||||
Summit Hotel Properties Inc ‡ | 4,100 | 28 | ||||||
Sunstone Hotel Investors Inc ‡ | 17,789 | 168 | ||||||
Tanger Factory Outlet Centers Inc ‡ | 61,989 | 848 | ||||||
Uniti Group Inc ‡ | 98,055 | 681 | ||||||
Urstadt Biddle Properties Inc, Cl A ‡ | 8,782 | 136 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Xenia Hotels & Resorts Inc ‡ | 5,651 | $ | 78 | |||||
22,553 | ||||||||
Utilities — 0.7% | ||||||||
National Fuel Gas Co | 28,110 | 1,730 | ||||||
Northwest Natural Holding Co | 7,079 | 307 | ||||||
Otter Tail Corp | 893 | 55 | ||||||
Portland General Electric Co | 10,147 | 441 | ||||||
Unitil Corp | 1,587 | 74 | ||||||
Via Renewables Inc, Cl A | 4,287 | 30 | ||||||
2,637 | ||||||||
Total Common Stock | ||||||||
(Cost $318,470) ($ Thousands) | 337,649 | |||||||
AFFILIATED PARTNERSHIP — 0.2% | ||||||||
SEI Liquidity Fund, LP | ||||||||
2.930% **†(B) | 672,844 | 675 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $673) ($ Thousands) | 675 | |||||||
CASH EQUIVALENT — 2.9% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
2.600%**† | 10,062,687 | 10,063 | ||||||
Total Cash Equivalent | ||||||||
(Cost $10,063) ($ Thousands) | 10,063 | |||||||
Total Investments in Securities — 100.2% | ||||||||
(Cost $329,206) ($ Thousands) | $ | 348,387 | ||||||
| Percentages are based on Net Assets of $347,839 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2022. |
‡ | 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, 2022 (see Note 12). The total market value of securities on loan at September 30, 2022 was $664 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of September 30, 2022 was $675 ($ Thousands). |
The following is a summary of the level of inputs used as of September 30, 2022, in valuing the Fund's investments carried at value ($ Thousands): | ||||||||||||||||
Investments in Securities | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Common Stock | 337,649 | – | – | 337,649 | ||||||||||||
Affiliated Partnership | – | 675 | – | 675 | ||||||||||||
Cash Equivalent | 10,063 | – | – | 10,063 | ||||||||||||
Total Investments in Securities | 347,712 | 675 | – | 348,387 |
106
SEI Institutional Managed Trust / Annual Report / September 30, 2022
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, 2022 ($ Thousands):
Security Description | Value 9/30/2021 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/(Depreciation) | Value 9/30/2022 | Shares | Income | Capital Gains | |||||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 7,204 | $ | 30,765 | $ | (37,289 | ) | $ | (5 | ) | $ | — | $ | 675 | 672,844 | $ | 20 | $ | — | |||||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | 10,633 | 90,208 | (90,778 | ) | — | — | 10,063 | 10,062,687 | 57 | — | ||||||||||||||||||||||||||
Totals | $ | 17,837 | $ | 120,973 | $ | (128,067 | ) | $ | (5 | ) | $ | — | $ | 10,738 | $ | 77 | $ | — |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
107
SCHEDULE OF INVESTMENTS
September 30, 2022
Small Cap Growth Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Shares | Market Value | ||||||
COMMON STOCK†† — 98.0% | ||||||||
Communication Services — 2.4% | ||||||||
Gogo Inc * | 54,682 | $ | 663 | |||||
Iridium Communications Inc * | 23,302 | 1,034 | ||||||
Nexstar Media Group Inc, Cl A | 3,570 | 596 | ||||||
Reservoir Media Inc *(A) | 97,127 | 474 | ||||||
Sinclair Broadcast Group Inc, Cl A | 26,180 | 474 | ||||||
Starry Group Holdings Inc, Cl A *(A) | 132,147 | 197 | ||||||
TechTarget Inc * | 3,042 | 180 | ||||||
Thryv Holdings Inc * | 14,749 | 337 | ||||||
WideOpenWest Inc * | 5,875 | 72 | ||||||
World Wrestling Entertainment Inc, Cl A | 11,750 | 824 | ||||||
Yelp Inc, Cl A * | 18,737 | 635 | ||||||
Ziff Davis Inc * | 2,050 | 140 | ||||||
ZipRecruiter Inc, Cl A * | 121,966 | 2,012 | ||||||
7,638 | ||||||||
Consumer Discretionary — 10.1% | ||||||||
2U Inc * | 30,611 | 191 | ||||||
Academy Sports & Outdoors Inc | 23,058 | 973 | ||||||
ADT Inc | 96,363 | 722 | ||||||
Asbury Automotive Group Inc * | 6,354 | 960 | ||||||
Bowlero Corp *(A) | 50,209 | 618 | ||||||
Boyd Gaming Corp | 2,419 | 115 | ||||||
Canada Goose Holdings Inc * | 22,294 | 340 | ||||||
Carter's Inc | 7,500 | 491 | ||||||
Cavco Industries Inc * | 1,460 | 300 | ||||||
Chegg Inc * | 17,107 | 360 | ||||||
Clarus Corp | 34,901 | 470 | ||||||
Crocs Inc * | 2,634 | 181 | ||||||
Dave & Buster's Entertainment Inc * | 16,816 | 522 | ||||||
Designer Brands Inc, Cl A | 21,228 | 325 | ||||||
Dick's Sporting Goods Inc | 4,913 | 514 | ||||||
Everi Holdings Inc * | 50,983 | 827 | ||||||
Frontdoor Inc * | 104,335 | 2,127 | ||||||
Funko Inc, Cl A * | 16,722 | 338 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Grand Canyon Education Inc * | 11,471 | $ | 943 | |||||
H&R Block Inc | 24,846 | 1,057 | ||||||
Hanesbrands Inc | 80,026 | 557 | ||||||
International Game Technology PLC | 18,092 | 286 | ||||||
Kura Sushi USA Inc, Cl A * | 9,253 | 681 | ||||||
Lovesac Co/The * | 11,972 | 244 | ||||||
Malibu Boats Inc, Cl A * | 8,714 | 418 | ||||||
MarineMax Inc * | 10,740 | 320 | ||||||
Movado Group Inc | 8,598 | 242 | ||||||
Murphy USA Inc | 5,368 | 1,476 | ||||||
NEOGAMES SA * | 26,351 | 340 | ||||||
Oxford Industries Inc, Cl A | 10,752 | 965 | ||||||
Patrick Industries Inc | 9,847 | 432 | ||||||
PlayAGS Inc * | 186,766 | 990 | ||||||
Ruth's Hospitality Group Inc | 20,040 | 338 | ||||||
Sally Beauty Holdings Inc * | 144,338 | 1,819 | ||||||
SeaWorld Entertainment Inc * | 7,223 | 329 | ||||||
Signet Jewelers Ltd | 11,276 | 645 | ||||||
Skechers USA Inc, Cl A * | 64,258 | 2,038 | ||||||
Skyline Champion Corp * | 13,161 | 696 | ||||||
Stoneridge Inc * | 67,051 | 1,137 | ||||||
Stride Inc * | 9,849 | 414 | ||||||
Target Hospitality Corp * | 109,163 | 1,378 | ||||||
Taylor Morrison Home Corp, Cl A * | 23,765 | 554 | ||||||
TravelCenters of America Inc * | 15,495 | 836 | ||||||
Vista Outdoor Inc * | 12,660 | 308 | ||||||
Visteon Corp * | 3,228 | 342 | ||||||
Xometry Inc, Cl A * | 12,148 | 690 | ||||||
XPEL Inc * | 6,699 | 432 | ||||||
31,281 | ||||||||
Consumer Staples — 4.5% | ||||||||
Andersons Inc/The | 13,080 | 406 | ||||||
Beauty Health Co/The * | 33,493 | 395 | ||||||
Cal-Maine Foods Inc | 12,245 | 681 | ||||||
Celsius Holdings Inc * | 17,997 | 1,632 | ||||||
Chefs' Warehouse Inc/The * | 37,502 | 1,086 | ||||||
Coca-Cola Consolidated Inc | 1,190 | 490 | ||||||
elf Beauty Inc * | 23,015 | 866 | ||||||
Hostess Brands Inc, Cl A * | 63,948 | 1,486 | ||||||
MGP Ingredients Inc | 16,371 | 1,738 | ||||||
Performance Food Group Co * | 9,746 | 419 | ||||||
Post Holdings Inc * | 9,778 | 801 | ||||||
Simply Good Foods Co/The * | 27,776 | 888 | ||||||
SpartanNash Co | 22,872 | 664 | ||||||
Turning Point Brands Inc | 54,562 | 1,158 | ||||||
United Natural Foods Inc * | 19,079 | 656 | ||||||
Vita Coco Co Inc/The * | 44,561 | 507 | ||||||
13,873 | ||||||||
Energy — 5.5% | ||||||||
Antero Resources Corp * | 13,219 | 403 | ||||||
Cactus Inc, Cl A | 8,341 | 321 |
108
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
California Resources Corp | 25,808 | $ | 992 | |||||
Centrus Energy Corp, Cl A * | 14,873 | 609 | ||||||
Chesapeake Energy Corp | 6,547 | 617 | ||||||
Chord Energy | 7,281 | 996 | ||||||
Civitas Resources Inc | 6,849 | 393 | ||||||
Comstock Resources Inc * | 33,235 | 575 | ||||||
CVR Energy Inc | 16,819 | 487 | ||||||
DHT Holdings Inc | 71,629 | 542 | ||||||
Earthstone Energy Inc, Cl A *(A) | 69,581 | 857 | ||||||
HF Sinclair Corp | 9,845 | 530 | ||||||
International Seaways Inc | 24,843 | 873 | ||||||
Magnolia Oil & Gas Corp, Cl A | 30,592 | 606 | ||||||
Matador Resources Co | 22,451 | 1,098 | ||||||
New Fortress Energy Inc, Cl A | 14,405 | 630 | ||||||
Northern Oil and Gas Inc | 40,184 | 1,101 | ||||||
PBF Energy Inc, Cl A * | 27,572 | 969 | ||||||
PDC Energy Inc, Cl A | 8,531 | 493 | ||||||
Permian Resources Corp, Cl A * | 77,692 | 528 | ||||||
Range Resources Corp | 15,151 | 383 | ||||||
Ranger Oil Corp, Cl A | 21,087 | 663 | ||||||
RPC Inc | 48,465 | 336 | ||||||
Scorpio Tankers Inc | 23,962 | 1,007 | ||||||
Teekay Tankers Ltd, Cl A * | 27,687 | 763 | ||||||
Value Creation Inc *(B)(C) | 145,600 | 56 | ||||||
16,828 | ||||||||
Financials — 7.2% | ||||||||
Amalgamated Financial Corp | 15,047 | 339 | ||||||
Amerant Bancorp Inc, Cl A | 5,820 | 145 | ||||||
American Equity Investment Life Holding Co | 8,012 | 299 | ||||||
Ameris Bancorp | 11,779 | 527 | ||||||
Arbor Realty Trust Inc ‡ | 5,697 | 66 | ||||||
Associated Banc-Corp | 17,838 | 358 | ||||||
Axos Financial Inc * | 2,965 | 101 | ||||||
BancFirst Corp | 11,021 | 986 | ||||||
Banner Corp | 14,101 | 833 | ||||||
Blucora Inc * | 26,195 | 507 | ||||||
Cathay General Bancorp | 15,691 | 603 | ||||||
Compass Diversified Holdings | 18,576 | 335 | ||||||
Customers Bancorp Inc * | 5,019 | 148 | ||||||
CVB Financial Corp | 28,237 | 715 | ||||||
Enova International Inc * | 13,151 | 385 | ||||||
Enterprise Financial Services Corp | 10,772 | 474 | ||||||
First Bank/Hamilton NJ | 11,277 | 154 | ||||||
First Financial Bancorp | 19,426 | 409 | ||||||
First Financial Bankshares Inc, Cl A | 9,805 | 410 | ||||||
Fulton Financial Corp | 50,504 | 798 | ||||||
Green Dot Corp, Cl A * | 18,855 | 358 | ||||||
Hanmi Financial Corp | 30,135 | 714 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital Inc ‡ | 17,927 | 537 | ||||||
HBT Financial Inc | 10,948 | 199 | ||||||
Heartland Financial USA Inc | 11,845 | 514 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
HomeStreet Inc | 13,213 | $ | 381 | |||||
Hope Bancorp Inc | 25,703 | 325 | ||||||
Houlihan Lokey Inc, Cl A | 9,588 | 723 | ||||||
Kinsale Capital Group Inc | 7,425 | 1,896 | ||||||
KKR Real Estate Finance Trust Inc ‡ | 19,693 | 320 | ||||||
LendingClub Corp * | 13,424 | 148 | ||||||
Metropolitan Bank Holding Corp * | 1,758 | 113 | ||||||
Mr Cooper Group Inc * | 14,057 | 569 | ||||||
MVB Financial Corp | 5,912 | 165 | ||||||
Navient Corp | 5,814 | 85 | ||||||
Orrstown Financial Services Inc | 5,121 | 122 | ||||||
Palomar Holdings Inc, Cl A * | 9,719 | 814 | ||||||
Provident Financial Services Inc | 37,075 | 723 | ||||||
RLI Corp | 4,258 | 436 | ||||||
S&T Bancorp Inc | 17,015 | 499 | ||||||
ServisFirst Bancshares Inc | 5,681 | 454 | ||||||
South Plains Financial Inc | 8,114 | 224 | ||||||
Stewart Information Services Corp | 2,757 | 120 | ||||||
StoneX Group Inc * | 8,833 | 733 | ||||||
Towne Bank/Portsmouth VA | 15,623 | 419 | ||||||
UMB Financial Corp | 5,428 | 458 | ||||||
Washington Federal Inc | 24,533 | 735 | ||||||
WisdomTree Investments Inc | 189,015 | 885 | ||||||
22,261 | ||||||||
Health Care — 26.3% | ||||||||
4D Molecular Therapeutics Inc * | 62,390 | 502 | ||||||
AbCellera Biologics Inc * | 29,700 | 294 | ||||||
Acadia Healthcare Co Inc, Cl A * | 12,612 | 986 | ||||||
Akero Therapeutics Inc * | 22,855 | 778 | ||||||
Albireo Pharma Inc * | 26,109 | 505 | ||||||
Alkermes PLC * | 27,420 | 612 | ||||||
Allscripts Healthcare Solutions Inc * | 26,756 | 407 | ||||||
Altimmune Inc * | 28,557 | 365 | ||||||
Amicus Therapeutics Inc * | 69,038 | 721 | ||||||
AMN Healthcare Services Inc * | 11,907 | 1,262 | ||||||
Amphastar Pharmaceuticals Inc * | 42,599 | 1,197 | ||||||
ANI Pharmaceuticals Inc * | 24,013 | 772 | ||||||
Apellis Pharmaceuticals Inc * | 13,934 | 952 | ||||||
Arbutus Biopharma Corp * | 73,832 | 141 | ||||||
Arcellx Inc * | 45,285 | 850 | ||||||
Artivion Inc * | 46,721 | 647 | ||||||
Arvinas Inc * | 10,477 | 466 | ||||||
Avid Bioservices Inc * | 19,092 | 365 | ||||||
Axogen Inc * | 84,925 | 1,012 | ||||||
Axonics Inc * | 20,901 | 1,472 | ||||||
Axsome Therapeutics Inc * | 15,822 | 706 | ||||||
C4 Therapeutics Inc * | 77,945 | 684 | ||||||
Cardiovascular Systems Inc * | 48,874 | 677 | ||||||
CareDx Inc * | 45,421 | 773 | ||||||
Catalyst Pharmaceuticals Inc * | 132,273 | 1,697 | ||||||
Certara Inc * | 43,482 | 577 | ||||||
Chinook Therapeutics Inc * | 31,747 | 624 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
109
SCHEDULE OF INVESTMENTS
September 30, 2022
Small Cap Growth Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
CinCor Pharma Inc * | 16,514 | $ | 542 | |||||
Cogent Biosciences Inc * | 68,615 | 1,024 | ||||||
Collegium Pharmaceutical Inc * | 9,396 | 151 | ||||||
Concert Pharmaceuticals Inc * | 205,920 | 1,380 | ||||||
Corcept Therapeutics Inc * | 28,337 | 727 | ||||||
CorVel Corp * | 1,759 | 244 | ||||||
Cross Country Healthcare Inc * | 14,434 | 409 | ||||||
CTI BioPharma Corp * | 125,500 | 730 | ||||||
Cytokinetics Inc * | 23,411 | 1,134 | ||||||
Denali Therapeutics Inc * | 7,388 | 227 | ||||||
DICE Therapeutics Inc * | 30,486 | 618 | ||||||
Dynavax Technologies Corp * | 50,851 | 531 | ||||||
Ensign Group Inc/The | 11,189 | 890 | ||||||
Erasca Inc *(A) | 85,761 | 669 | ||||||
Evolent Health Inc, Cl A * | 41,273 | 1,483 | ||||||
Gossamer Bio Inc * | 52,561 | 630 | ||||||
Haemonetics Corp * | 21,673 | 1,604 | ||||||
Halozyme Therapeutics Inc * | 8,807 | 348 | ||||||
HealthEquity Inc * | 41,814 | 2,809 | ||||||
Heron Therapeutics Inc * | 164,901 | 696 | ||||||
ImmunoGen Inc * | 15,787 | 75 | ||||||
Inhibrx Inc * | 37,699 | 677 | ||||||
Instil Bio Inc * | 151,662 | 734 | ||||||
Intercept Pharmaceuticals Inc * | 57,163 | 797 | ||||||
Ionis Pharmaceuticals Inc * | 13,573 | 600 | ||||||
iRadimed Corp | 5,981 | 180 | ||||||
iRhythm Technologies Inc * | 6,271 | 786 | ||||||
Ironwood Pharmaceuticals Inc, Cl A * | 44,101 | 457 | ||||||
iTeos Therapeutics Inc * | 15,248 | 290 | ||||||
IVERIC bio Inc * | 47,479 | 852 | ||||||
Karuna Therapeutics Inc * | 4,628 | 1,041 | ||||||
Kiniksa Pharmaceuticals Ltd, Cl A * | 75,160 | 965 | ||||||
Krystal Biotech Inc * | 8,313 | 579 | ||||||
Lantheus Holdings Inc * | 42,455 | 2,986 | ||||||
Ligand Pharmaceuticals Inc * | 2,641 | 227 | ||||||
MaxCyte Inc * | 122,752 | 798 | ||||||
Medpace Holdings Inc * | 7,112 | 1,118 | ||||||
Merit Medical Systems Inc * | 47,928 | 2,708 | ||||||
Mirum Pharmaceuticals Inc * | 34,876 | 733 | ||||||
ModivCare Inc * | 3,757 | 374 | ||||||
Neurocrine Biosciences Inc * | 6,858 | 728 | ||||||
Nevro Corp * | 13,957 | 650 | ||||||
NextGen Healthcare Inc * | 23,346 | 413 | ||||||
Nurix Therapeutics Inc * | 28,553 | 372 | ||||||
Omnicell Inc * | 13,637 | 1,187 | ||||||
Option Care Health Inc * | 48,734 | 1,534 | ||||||
Owens & Minor Inc | 6,394 | 154 | ||||||
Paragon 28 Inc *(A) | 40,001 | 713 | ||||||
Pediatrix Medical Group Inc * | 50,335 | 831 | ||||||
Phreesia Inc * | 12,116 | 309 | ||||||
Pliant Therapeutics Inc * | 31,034 | 648 | ||||||
PMV Pharmaceuticals Inc * | 40,469 | 482 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Prestige Consumer Healthcare Inc, Cl A * | 20,011 | $ | 997 | |||||
Privia Health Group Inc * | 21,962 | 748 | ||||||
PROCEPT BioRobotics Corp * | 14,080 | 584 | ||||||
Progyny Inc * | 8,920 | 331 | ||||||
Prometheus Biosciences Inc * | 12,229 | 722 | ||||||
Prothena Corp PLC * | 10,859 | 658 | ||||||
QuidelOrtho Corp * | 28,036 | 2,004 | ||||||
Relay Therapeutics Inc * | 28,142 | 630 | ||||||
Revance Therapeutics Inc * | 24,594 | 664 | ||||||
Rhythm Pharmaceuticals Inc * | 37,454 | 918 | ||||||
Sarepta Therapeutics Inc * | 6,176 | 683 | ||||||
Shockwave Medical Inc * | 7,392 | 2,055 | ||||||
Sight Sciences Inc * | 104,388 | 663 | ||||||
Silk Road Medical Inc * | 11,225 | 505 | ||||||
Simulations Plus Inc | 10,127 | 492 | ||||||
Sonendo Inc *(A) | 139,610 | 149 | ||||||
SpringWorks Therapeutics Inc * | 29,626 | 845 | ||||||
Supernus Pharmaceuticals Inc * | 17,095 | 579 | ||||||
Syneos Health Inc, Cl A * | 19,755 | 931 | ||||||
Tenet Healthcare Corp * | 11,459 | 591 | ||||||
TransMedics Group Inc * | 27,424 | 1,145 | ||||||
Twist Bioscience Corp * | 23,566 | 830 | ||||||
Ventyx Biosciences Inc *(A) | 15,776 | 551 | ||||||
Veracyte Inc * | 43,259 | 718 | ||||||
Xencor Inc * | 22,532 | 585 | ||||||
Zentalis Pharmaceuticals Inc * | 5,583 | 121 | ||||||
81,587 | ||||||||
Industrials — 19.7% | ||||||||
ACV Auctions Inc, Cl A * | 204,354 | 1,469 | ||||||
Air Transport Services Group Inc * | 13,011 | 313 | ||||||
Alight Inc * | 257,541 | 1,888 | ||||||
Apogee Enterprises Inc | 12,442 | 476 | ||||||
ArcBest Corp | 7,799 | 567 | ||||||
Array Technologies Inc * | 35,397 | 587 | ||||||
Atkore Inc * | 10,218 | 795 | ||||||
Atlas Air Worldwide Holdings Inc * | 1,765 | 169 | ||||||
Avis Budget Group Inc * | 1,439 | 214 | ||||||
Beacon Roofing Supply Inc * | 12,460 | 682 | ||||||
BlueLinx Holdings Inc * | 6,081 | 378 | ||||||
Boise Cascade Co | 12,737 | 757 | ||||||
Byrna Technologies Inc * | 104,661 | 492 | ||||||
CBIZ Inc * | 17,184 | 735 | ||||||
Chart Industries Inc * | 5,840 | 1,077 | ||||||
Cimpress PLC * | 22,616 | 554 | ||||||
Clean Harbors Inc * | 16,977 | 1,867 | ||||||
Comfort Systems USA Inc | 8,343 | 812 | ||||||
Dycom Industries Inc * | 14,094 | 1,346 | ||||||
EMCOR Group Inc | 7,010 | 810 | ||||||
Encore Wire Corp | 1,538 | 178 | ||||||
Energy Recovery Inc * | 25,521 | 555 | ||||||
Enovix Corp * | 31,368 | 575 | ||||||
Evoqua Water Technologies Corp * | 15,408 | 510 |
110
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
First Advantage Corp * | 92,344 | $ | 1,185 | |||||
Fluence Energy Inc, Cl A * | 39,693 | 579 | ||||||
Forrester Research Inc * | 20,439 | 736 | ||||||
Forward Air Corp | 20,142 | 1,818 | ||||||
GATX Corp | 8,726 | 743 | ||||||
GMS Inc * | 15,701 | 628 | ||||||
Griffon Corp | 33,262 | 982 | ||||||
Heartland Express Inc | 80,106 | 1,146 | ||||||
Herc Holdings Inc | 3,911 | 406 | ||||||
Heritage-Crystal Clean Inc * | 89,092 | 2,634 | ||||||
Hillenbrand Inc | 20,710 | 760 | ||||||
Hub Group Inc, Cl A * | 6,341 | 437 | ||||||
Hudson Technologies Inc * | 289,509 | 2,128 | ||||||
Huron Consulting Group Inc * | 13,012 | 862 | ||||||
ICF International Inc, Cl A | 12,279 | 1,339 | ||||||
John Bean Technologies Corp, Cl A | 6,367 | 548 | ||||||
Kadant Inc | 2,739 | 457 | ||||||
Kirby Corp * | 18,824 | 1,144 | ||||||
Korn Ferry | 18,082 | 849 | ||||||
Legalzoom.com Inc * | 79,629 | 682 | ||||||
Lindsay Corp | 3,736 | 535 | ||||||
Marten Transport Ltd | 63,688 | 1,220 | ||||||
Matson Inc | 25,604 | 1,575 | ||||||
Mueller Industries Inc | 11,418 | 679 | ||||||
NOW Inc * | 102,120 | 1,026 | ||||||
PGT Innovations Inc * | 17,037 | 357 | ||||||
Quanex Building Products Corp | 21,086 | 383 | ||||||
RBC Bearings Inc * | 3,021 | 628 | ||||||
Resources Connection Inc | 35,249 | 637 | ||||||
Ritchie Bros Auctioneers Inc | 40,451 | 2,527 | ||||||
Rocket Lab USA Inc * | 136,885 | 557 | ||||||
Rush Enterprises Inc, Cl A | 15,765 | 691 | ||||||
Saia Inc * | 2,296 | 436 | ||||||
SkyWest Inc * | 21,892 | 356 | ||||||
SP Plus Corp * | 30,060 | 941 | ||||||
SunPower Corp, Cl A * | 28,411 | 655 | ||||||
Sunrun Inc * | 22,183 | 612 | ||||||
Tennant Co | 22,508 | 1,273 | ||||||
Titan International Inc * | 25,580 | 311 | ||||||
Titan Machinery Inc * | 26,187 | 740 | ||||||
Transcat Inc * | 3,120 | 236 | ||||||
TriNet Group Inc * | 18,427 | 1,312 | ||||||
TrueBlue Inc * | 88,710 | 1,693 | ||||||
UFP Industries Inc | 12,938 | 934 | ||||||
Valmont Industries Inc | 2,681 | 720 | ||||||
WESCO International Inc * | 4,926 | 588 | ||||||
WillScot Mobile Mini Holdings Corp, Cl A * | 38,430 | 1,550 | ||||||
61,041 | ||||||||
Information Technology — 16.4% | ||||||||
8x8 Inc * | 130,088 | 449 | ||||||
A10 Networks Inc | 48,530 | 644 | ||||||
Actua Corp *(B) | 105,055 | 1 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
ADTRAN Holdings Inc | 35,995 | $ | 705 | |||||
Aehr Test Systems * | 50,748 | 716 | ||||||
Agilysys Inc * | 12,055 | 667 | ||||||
Alkami Technology Inc * | 81,488 | 1,226 | ||||||
Allegro MicroSystems Inc * | 44,409 | 970 | ||||||
Arlo Technologies Inc * | 59,684 | 277 | ||||||
Asure Software Inc * | 97,353 | 557 | ||||||
Avid Technology Inc * | 8,835 | 206 | ||||||
Axcelis Technologies Inc * | 8,770 | 531 | ||||||
Belden Inc | 27,656 | 1,660 | ||||||
Benchmark Electronics Inc | 30,418 | 754 | ||||||
Box Inc, Cl A * | 18,736 | 457 | ||||||
Calix Inc * | 14,565 | 891 | ||||||
ChannelAdvisor Corp * | 48,520 | 1,099 | ||||||
Clearfield Inc * | 9,511 | 995 | ||||||
CommScope Holding Co Inc * | 67,292 | 620 | ||||||
Consensus Cloud Solutions Inc * | 22,722 | 1,075 | ||||||
CTS Corp | 55,390 | 2,307 | ||||||
Digi International Inc * | 34,218 | 1,183 | ||||||
Diodes Inc * | 12,778 | 829 | ||||||
ExlService Holdings Inc * | 20,348 | 2,998 | ||||||
Extreme Networks Inc * | 96,838 | 1,266 | ||||||
Fabrinet * | 7,890 | 753 | ||||||
ForgeRock Inc, Cl A * | 38,245 | 556 | ||||||
Grid Dynamics Holdings Inc * | 28,914 | 542 | ||||||
Hackett Group Inc/The | 6,806 | 121 | ||||||
Harmonic Inc, Cl A * | 68,744 | 898 | ||||||
I3 Verticals Inc, Cl A * | 24,136 | 483 | ||||||
Impinj Inc * | 12,652 | 1,013 | ||||||
International Money Express Inc * | 128,882 | 2,937 | ||||||
KnowBe4 Inc, Cl A * | 29,620 | 616 | ||||||
Lattice Semiconductor Corp * | 6,651 | 327 | ||||||
MACOM Technology Solutions Holdings Inc * | 8,460 | 438 | ||||||
MaxLinear Inc, Cl A * | 4,929 | 161 | ||||||
Mirion Technologies Inc * | 134,203 | 1,002 | ||||||
Model N Inc * | 33,091 | 1,133 | ||||||
Momentive Global Inc * | 153,252 | 890 | ||||||
Monday.com Ltd * | 8,365 | 948 | ||||||
Napco Security Technologies Inc * | 22,140 | 644 | ||||||
Onto Innovation Inc * | 16,989 | 1,088 | ||||||
Payoneer Global Inc * | 54,249 | 328 | ||||||
Photronics Inc * | 29,423 | 430 | ||||||
Progress Software Corp | 21,644 | 921 | ||||||
Qualys Inc * | 16,105 | 2,245 | ||||||
Rambus Inc * | 16,503 | 420 | ||||||
Sanmina Corp * | 42,749 | 1,970 | ||||||
SPS Commerce Inc * | 9,823 | 1,220 | ||||||
Sumo Logic Inc * | 34,530 | 259 | ||||||
Super Micro Computer Inc * | 38,215 | 2,104 | ||||||
TTM Technologies Inc * | 39,028 | 515 | ||||||
Upland Software Inc * | 57,827 | 470 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
111
SCHEDULE OF INVESTMENTS
September 30, 2022
Small Cap Growth Fund (Concluded)
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Verint Systems Inc * | 16,275 | $ | 547 | |||||
Verra Mobility Corp, Cl A * | 50,199 | 772 | ||||||
Vertex Inc, Cl A * | 62,725 | 857 | ||||||
Vishay Intertechnology Inc | 12,825 | 228 | ||||||
50,919 | ||||||||
Materials — 2.4% | ||||||||
ATI Inc * | 35,450 | 943 | ||||||
Cabot Corp | 13,640 | 871 | ||||||
Ecovyst Inc * | 50,217 | 424 | ||||||
Graphic Packaging Holding Co | 21,936 | 433 | ||||||
Greif Inc, Cl A | 7,950 | 474 | ||||||
Ingevity Corp * | 4,012 | 243 | ||||||
Livent Corp * | 76,426 | 2,342 | ||||||
Materion Corp | 6,894 | 552 | ||||||
Mercer International Inc | 31,641 | 389 | ||||||
MP Materials Corp * | 8,093 | 221 | ||||||
Ranpak Holdings Corp, Cl A * | 159,024 | 544 | ||||||
7,436 | ||||||||
Real Estate — 2.3% | ||||||||
Armada Hoffler Properties Inc ‡ | 36,966 | 384 | ||||||
DiamondRock Hospitality Co ‡ | 52,142 | 392 | ||||||
Easterly Government Properties Inc, Cl A ‡ | 13,081 | 206 | ||||||
Farmland Partners Inc ‡ | 32,810 | 416 | ||||||
Independence Realty Trust Inc ‡ | 82,976 | 1,388 | ||||||
National Storage Affiliates Trust ‡ | 26,597 | 1,106 | ||||||
Newmark Group Inc, Cl A ‡ | 8,896 | 72 | ||||||
NexPoint Residential Trust Inc ‡ | 12,740 | 589 | ||||||
Pebblebrook Hotel Trust ‡ | 15,809 | 229 | ||||||
PotlatchDeltic Corp ‡ | 4,565 | 187 | ||||||
SITE Centers Corp ‡ | 64,434 | 690 | ||||||
St Joe Co/The ‡ | 13,239 | 424 | ||||||
Sunstone Hotel Investors Inc ‡ | 24,623 | 232 | ||||||
Tanger Factory Outlet Centers Inc ‡ | 26,231 | 359 | ||||||
Xenia Hotels & Resorts Inc ‡ | 26,943 | 371 | ||||||
7,045 | ||||||||
Utilities — 1.2% | ||||||||
ALLETE Inc | 5,453 | 273 | ||||||
Altus Power Inc, Cl A * | 45,073 | 496 | ||||||
Black Hills Corp, Cl A | 6,677 | 452 | ||||||
Clearway Energy Inc, Cl C | 21,525 | 686 | ||||||
New Jersey Resources Corp | 8,295 | 321 | ||||||
Otter Tail Corp | 17,790 | 1,095 | ||||||
Portland General Electric Co | 8,353 | 363 | ||||||
3,686 | ||||||||
Total Common Stock | ||||||||
(Cost $316,371) ($ Thousands) | 303,595 |
Description | Shares | Market Value | ||||||
AFFILIATED PARTNERSHIP — 1.2% | ||||||||
SEI Liquidity Fund, LP | ||||||||
2.930% **†(D) | 3,744,598 | $ | 3,740 | |||||
Total Affiliated Partnership | ||||||||
(Cost $3,745) ($ Thousands) | 3,740 | |||||||
CASH EQUIVALENT — 2.1% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
2.600%**† | 6,614,304 | 6,614 | ||||||
Total Cash Equivalent | ||||||||
(Cost $6,614) ($ Thousands) | 6,614 | |||||||
Total Investments in Securities — 101.3% | ||||||||
(Cost $326,730) ($ Thousands) | $ | 313,949 |
| Percentages are based on Net Assets of $309,953 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2022. |
‡ | 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, 2022 (see Note 12). The total market value of securities on loan at September 30, 2022 was $3,627 ($ Thousands). |
(B) | Level 3 security in accordance with fair value hierarchy. |
(C) | Security considered restricted, excluding 144A. The total market value of such securities as of September 30, 2022 was $56 ($ Thousands) and represented 0.0% of the Net Assets of the Fund. See table below for acquisition dates and acquisition cost. |
(D) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of September 30, 2022 was $3,740 ($ Thousands). |
The following is a summary of the level of inputs used as of September 30, 2022, in valuing the Fund's investments carried at value ($ Thousands): | ||||||||||||||||
Investments in Securities | Level 1 ($) | Level 2 ($) | Level 3 | Total ($) | ||||||||||||
Common Stock | 303,538 | – | 57 | 303,595 | ||||||||||||
Affiliated Partnership | – | 3,740 | – | 3,740 | ||||||||||||
Cash Equivalent | 6,614 | – | – | 6,614 | ||||||||||||
Total Investments in Securities | 310,152 | 3,740 | 57 | 313,949 |
(1) | A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the end of the period relation to the net assets. Management has concluded that Level 3 investments are not material in relation to net assets. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
112
SEI Institutional Managed Trust / Annual Report / September 30, 2022
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2022 ($ Thousands):
Security Description | Value 9/30/2021 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/(Depreciation) | Value 9/30/2022 | Shares | Income | Capital Gains | |||||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 162,855 | $ | 230,286 | $ | (389,395 | ) | $ | (2 | ) | $ | (4 | ) | $ | 3,740 | 3,744,598 | $ | 169 | $ | — | ||||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | 6,747 | 57,108 | (57,241 | ) | — | — | 6,614 | 6,614,304 | 40 | — | ||||||||||||||||||||||||||
Totals | $ | 169,602 | $ | 287,394 | $ | (446,636 | ) | $ | (2 | ) | $ | (4 | ) | $ | 10,354 | $ | 209 | $ | — |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations. The accompanying notes are an integral part of the financial statements.
A list of the restricted securities, excluding 144a, held by the Fund at September 30, 2022, is as follows:
Description | Number of Shares | Acquisition Date | Cost ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Common Stock | ||||||||||||||
Value Creation Inc | 145,600 | 1/7/2009 | $ | 1,491 | $ | 56 | ||||||||
$ | 1,491 | $ | 56 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
113
SCHEDULE OF INVESTMENTS
September 30, 2022
Tax-Managed Small/Mid Cap Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Shares | Market Value | ||||||
COMMON STOCK — 98.6% | ||||||||
Communication Services — 5.7% | ||||||||
ATN International Inc | 23,526 | $ | 907 | |||||
Cinemark Holdings Inc * | 287,069 | 3,476 | ||||||
Cogent Communications Holdings Inc | 18,392 | 959 | ||||||
EchoStar Corp, Cl A * | 47,530 | 783 | ||||||
Electronic Arts Inc | 2,290 | 265 | ||||||
IAC Inc * | 3,105 | 172 | ||||||
Interpublic Group of Cos Inc/The | 24,754 | 634 | ||||||
Iridium Communications Inc * | 9,732 | 432 | ||||||
John Wiley & Sons Inc, Cl A | 106,386 | 3,996 | ||||||
Lions Gate Entertainment Corp, Cl A * | 675,776 | 5,021 | ||||||
Match Group Inc * | 1,449 | 69 | ||||||
Nexstar Media Group Inc, Cl A | 68,960 | 11,506 | ||||||
Ooma Inc * | 8,203 | 101 | ||||||
Scholastic Corp, Cl B | 18,006 | 554 | ||||||
Take-Two Interactive Software Inc, Cl A * | 3,431 | 374 | ||||||
Trade Desk Inc/The, Cl A * | 18,960 | 1,133 | ||||||
United States Cellular Corp * | 5,851 | 152 | ||||||
World Wrestling Entertainment Inc, Cl A | 43,520 | 3,054 | ||||||
Ziff Davis Inc * | 154,251 | 10,563 | ||||||
44,151 | ||||||||
Consumer Discretionary — 8.8% | ||||||||
Advance Auto Parts Inc | 10,274 | 1,606 | ||||||
American Eagle Outfitters Inc | 312,360 | 3,039 | ||||||
Arko Corp | 54,778 | 514 | ||||||
Asbury Automotive Group Inc * | 3,907 | 590 | ||||||
AutoNation Inc * | 4,391 | 447 | ||||||
Bloomin' Brands Inc | 189,746 | 3,478 | ||||||
Bright Horizons Family Solutions Inc * | 1,538 | 89 | ||||||
Brinker International Inc * | 182,497 | 4,559 | ||||||
Carriage Services Inc, Cl A | 26,433 | 850 | ||||||
Carter's Inc | 5,185 | 340 | ||||||
Cavco Industries Inc * | 271 | 56 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Dave & Buster's Entertainment Inc * | 43,840 | $ | 1,360 | |||||
Deckers Outdoor Corp * | 3,400 | 1,063 | ||||||
Dorman Products Inc * | 9,989 | 820 | ||||||
Etsy Inc * | 15,649 | 1,567 | ||||||
Group 1 Automotive Inc | 4,472 | 639 | ||||||
Haverty Furniture Cos Inc | 17,831 | 444 | ||||||
Helen of Troy Ltd * | 13,463 | 1,298 | ||||||
Hibbett Inc | 17,681 | 880 | ||||||
JAKKS Pacific Inc * | 105,045 | 2,031 | ||||||
Kohl's Corp | 26,002 | 654 | ||||||
LCI Industries | 24,809 | 2,517 | ||||||
Leslie's Inc * | 71,811 | 1,056 | ||||||
Lithia Motors Inc, Cl A | 24,454 | 5,247 | ||||||
LKQ Corp | 84,641 | 3,991 | ||||||
Modine Manufacturing Co * | 540,000 | 6,988 | ||||||
Murphy USA Inc | 11,043 | 3,036 | ||||||
Ollie's Bargain Outlet Holdings Inc * | 3,893 | 201 | ||||||
Overstock.com Inc * | 4,927 | 120 | ||||||
Penske Automotive Group Inc, Cl A | 2,500 | 246 | ||||||
PetMed Express Inc | 9,750 | 190 | ||||||
Pool Corp | 15,000 | 4,773 | ||||||
Service Corp International/US | 8,000 | 462 | ||||||
Skechers USA Inc, Cl A * | 19,536 | 620 | ||||||
Skyline Champion Corp * | 7,016 | 371 | ||||||
Strategic Education Inc | 9,665 | 594 | ||||||
Stride Inc * | 41,300 | 1,736 | ||||||
Taylor Morrison Home Corp, Cl A * | 60,000 | 1,399 | ||||||
Urban Outfitters Inc * | 129,062 | 2,536 | ||||||
Vail Resorts Inc | 9,517 | 2,052 | ||||||
Victoria's Secret & Co * | 94,426 | 2,750 | ||||||
Whirlpool Corp | 3,320 | 448 | ||||||
Williams-Sonoma Inc | 7,799 | 919 | ||||||
Winmark Corp | 1,329 | 287 | ||||||
68,863 | ||||||||
Consumer Staples — 3.4% | ||||||||
BellRing Brands Inc * | 9,532 | 197 | ||||||
BJ's Wholesale Club Holdings Inc * | 24,382 | 1,775 | ||||||
Calavo Growers Inc | 15,967 | 507 | ||||||
Cal-Maine Foods Inc | 18,622 | 1,035 | ||||||
Casey's General Stores Inc | 6,437 | 1,304 | ||||||
Central Garden & Pet Co, Cl A * | 27,121 | 927 | ||||||
Coca-Cola Consolidated Inc | 2,500 | 1,029 | ||||||
Darling Ingredients Inc * | 16,819 | 1,113 | ||||||
Flowers Foods Inc | 23,770 | 587 | ||||||
Fresh Del Monte Produce Inc | 14,071 | 327 | ||||||
Fresh Market Inc * | 17,502 | — | ||||||
Freshpet Inc * | 8,866 | 444 | ||||||
Hostess Brands Inc, Cl A * | 87,053 | 2,023 | ||||||
Ingles Markets Inc, Cl A | 6,621 | 525 | ||||||
Ingredion Inc | 14,851 | 1,196 | ||||||
J & J Snack Foods Corp | 7,030 | 910 | ||||||
John B Sanfilippo & Son Inc | 5,357 | 406 |
114
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Kroger Co/The | 6,156 | $ | 269 | |||||
Medifast Inc | 25,446 | 2,757 | ||||||
Performance Food Group Co * | 6,364 | 273 | ||||||
PriceSmart Inc | 12,923 | 744 | ||||||
Primo Water Corp | 30,856 | 387 | ||||||
Seaboard Corp | 144 | 490 | ||||||
Seneca Foods Corp, Cl A * | 315 | 16 | ||||||
SpartanNash Co | 5,962 | 173 | ||||||
Spectrum Brands Holdings Inc | 35,922 | 1,402 | ||||||
Sprouts Farmers Market Inc * | 27,834 | 772 | ||||||
Tootsie Roll Industries Inc | 5,885 | 196 | ||||||
TreeHouse Foods Inc * | 9,556 | 405 | ||||||
Universal Corp | 27,163 | 1,250 | ||||||
US Foods Holding Corp * | 10,313 | 273 | ||||||
USANA Health Sciences Inc * | 4,731 | 265 | ||||||
Village Super Market Inc, Cl A | 24,489 | 473 | ||||||
WD-40 Co | 2,556 | 449 | ||||||
Weis Markets Inc | 27,069 | 1,929 | ||||||
26,828 | ||||||||
Energy — 6.2% | ||||||||
Arch Resources Inc | 103 | 12 | ||||||
Brigham Minerals Inc, Cl A | 18,290 | 451 | ||||||
ChampionX Corp | 56,847 | 1,113 | ||||||
Coterra Energy Inc | 69,602 | 1,818 | ||||||
Delek US Holdings Inc | 374,934 | 10,176 | ||||||
DHT Holdings Inc | 55,000 | 416 | ||||||
Diamondback Energy Inc, Cl A | 18,330 | 2,208 | ||||||
DT Midstream Inc | 70,000 | 3,632 | ||||||
Golar LNG Ltd * | 45,458 | 1,133 | ||||||
Helmerich & Payne Inc | 27,627 | 1,021 | ||||||
HF Sinclair Corp | 73,441 | 3,954 | ||||||
International Seaways Inc | 44,523 | 1,564 | ||||||
Liberty Energy Inc, Cl A * | 72,157 | 915 | ||||||
Magnolia Oil & Gas Corp, Cl A | 183,341 | 3,632 | ||||||
Marathon Petroleum Corp | 7,296 | 725 | ||||||
NexTier Oilfield Solutions Inc * | 77,121 | 571 | ||||||
Ovintiv Inc | 27,987 | 1,287 | ||||||
Patterson-UTI Energy Inc | 17,762 | 207 | ||||||
PBF Energy Inc, Cl A * | 42,772 | 1,504 | ||||||
Pioneer Natural Resources Co | 8,761 | 1,897 | ||||||
REX American Resources Corp * | 8,283 | 231 | ||||||
SFL Corp Ltd | 137,426 | 1,252 | ||||||
SM Energy Co | 18,262 | 687 | ||||||
Southwestern Energy Co * | 472,791 | 2,894 | ||||||
Teekay Tankers Ltd, Cl A * | 5,352 | 147 | ||||||
Viper Energy Partners LP | 185,573 | 5,319 | ||||||
48,766 | ||||||||
Financials — 16.7% | ||||||||
1st Source Corp | 16,788 | 777 | ||||||
Allstate Corp/The | 1,408 | 175 | ||||||
Amalgamated Financial Corp | 43,074 | 971 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
A-Mark Precious Metals Inc | 15,834 | $ | 450 | |||||
American Equity Investment Life Holding Co | 164,447 | 6,132 | ||||||
American Financial Group Inc/OH | 13,674 | 1,681 | ||||||
Ameriprise Financial Inc | 4,701 | 1,184 | ||||||
Arch Capital Group Ltd * | 10,008 | 456 | ||||||
Argo Group International Holdings Ltd | 8,676 | 167 | ||||||
Arrow Financial Corp | 21,181 | 610 | ||||||
Assurant Inc | 5,558 | 807 | ||||||
Axos Financial Inc * | 48,113 | 1,647 | ||||||
Bank of Marin Bancorp | 6,366 | 191 | ||||||
Bank of NT Butterfield & Son Ltd/The | 3,842 | 125 | ||||||
Bank OZK | 55,988 | 2,215 | ||||||
BankUnited Inc | 127,615 | 4,361 | ||||||
Bankwell Financial Group Inc | 51,021 | 1,485 | ||||||
BGC Partners Inc, Cl A | 1,099,126 | 3,451 | ||||||
Camden National Corp | 18,864 | 804 | ||||||
Canadian Imperial Bank of Commerce | 6,642 | 291 | ||||||
Capital City Bank Group Inc | 9,652 | 300 | ||||||
Cboe Global Markets Inc | 2,060 | 242 | ||||||
City Holding Co | 10,410 | 923 | ||||||
CNB Financial Corp/PA | 44,272 | 1,044 | ||||||
CNO Financial Group Inc | 289,034 | 5,194 | ||||||
Columbia Banking System Inc | 113,504 | 3,279 | ||||||
Columbia Financial Inc * | 91,296 | 1,929 | ||||||
Community Trust Bancorp Inc | 27,038 | 1,096 | ||||||
Consumer Portfolio Services Inc * | 14,720 | 107 | ||||||
Diamond Hill Investment Group Inc | 2,001 | 330 | ||||||
Donnelley Financial Solutions Inc * | 39,415 | 1,457 | ||||||
Eagle Bancorp Inc | 29,167 | 1,307 | ||||||
Employers Holdings Inc | 17,888 | 617 | ||||||
Equity Bancshares Inc, Cl A | 1,815 | 54 | ||||||
Everest Re Group Ltd | 6,060 | 1,591 | ||||||
FactSet Research Systems Inc | 1,300 | 520 | ||||||
Farmers National Banc Corp | 35,637 | 466 | ||||||
Financial Institutions Inc | 51,330 | 1,236 | ||||||
First American Financial Corp | 3,200 | 148 | ||||||
First Busey Corp | 5,528 | 122 | ||||||
First Citizens BancShares Inc/NC, Cl A | 775 | 618 | ||||||
First Commonwealth Financial Corp | 316,920 | 4,069 | ||||||
First Community Bankshares Inc | 66,479 | 2,129 | ||||||
First Financial Corp/IN | 34,238 | 1,547 | ||||||
First Interstate BancSystem Inc, Cl A | 51,000 | 2,058 | ||||||
First Merchants Corp | 77,646 | 3,003 | ||||||
First of Long Island Corp/The | 12,820 | 221 | ||||||
FNB Corp/PA | 494,669 | 5,738 | ||||||
Glacier Bancorp Inc, Cl A | 18,951 | 931 | ||||||
Goldman Sachs Group Inc/The | 1 | — | ||||||
Great Southern Bancorp Inc | 13,042 | 744 | ||||||
Hanover Insurance Group Inc/The, Cl A | 25,705 | 3,294 | ||||||
Heritage Financial Corp/WA | 12,204 | 323 | ||||||
HomeStreet Inc | 2,200 | 63 | ||||||
HomeTrust Bancshares Inc | 4,975 | 110 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
115
SCHEDULE OF INVESTMENTS
September 30, 2022
Tax-Managed Small/Mid Cap Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Horace Mann Educators Corp, Cl A | 21,962 | $ | 775 | |||||
Houlihan Lokey Inc, Cl A | 8,726 | 658 | ||||||
Independent Bank Corp/MI | 12,857 | 246 | ||||||
Investar Holding Corp | 56,265 | 1,120 | ||||||
MarketAxess Holdings Inc | 350 | 78 | ||||||
Merchants Bancorp/IN | 59,391 | 1,370 | ||||||
MidWestOne Financial Group Inc | 2,052 | 56 | ||||||
Morgan Stanley | 7,661 | 605 | ||||||
Morningstar Inc, Cl A | 1,600 | 340 | ||||||
NBT Bancorp Inc | 27,152 | 1,030 | ||||||
OFG Bancorp | 133,441 | 3,353 | ||||||
Old National Bancorp/IN, Cl A | 323,230 | 5,324 | ||||||
Origin Bancorp Inc | 10,420 | 401 | ||||||
Pacific Premier Bancorp Inc | 84,780 | 2,625 | ||||||
PacWest Bancorp | 274,931 | 6,213 | ||||||
PCSB Financial Corp | 35,655 | 639 | ||||||
PJT Partners Inc, Cl A | 14,364 | 960 | ||||||
Popular Inc | 11,261 | 812 | ||||||
Preferred Bank/Los Angeles CA | 9,178 | 599 | ||||||
ProAssurance Corp | 8,665 | 169 | ||||||
Provident Financial Services Inc | 24,819 | 484 | ||||||
Reinsurance Group of America Inc, Cl A | 7,938 | 999 | ||||||
RenaissanceRe Holdings Ltd | 6,981 | 980 | ||||||
Republic Bancorp Inc/KY, Cl A | 10,585 | 405 | ||||||
S&T Bancorp Inc | 16,259 | 477 | ||||||
Safety Insurance Group Inc | 7,585 | 619 | ||||||
Selective Insurance Group Inc | 19,688 | 1,603 | ||||||
ServisFirst Bancshares Inc | 26,000 | 2,080 | ||||||
Sierra Bancorp | 31,572 | 624 | ||||||
Starwood Property Trust Inc ‡ | 310,592 | 5,659 | ||||||
Stewart Information Services Corp | 17,692 | 772 | ||||||
Stifel Financial Corp | 5,705 | 296 | ||||||
SVB Financial Group, Cl B * | 3,699 | 1,242 | ||||||
Towne Bank/Portsmouth VA | 17,345 | 465 | ||||||
TPG RE Finance Trust Inc ‡ | 58,414 | 409 | ||||||
TriCo Bancshares | 22,196 | 991 | ||||||
TrustCo Bank Corp NY | 9,472 | 298 | ||||||
Umpqua Holdings Corp | 229,225 | 3,917 | ||||||
United Fire Group Inc | 57,059 | �� | 1,639 | |||||
Univest Financial Corp | 50,690 | 1,190 | ||||||
Washington Federal Inc | 37,676 | 1,130 | ||||||
Westamerica BanCorp | 30,117 | 1,575 | ||||||
130,017 | ||||||||
Health Care — 12.7% | ||||||||
ABIOMED Inc * | 967 | 238 | ||||||
ACADIA Pharmaceuticals Inc * | 61,438 | 1,005 | ||||||
Aerie Pharmaceuticals Inc * | 76,561 | 1,158 | ||||||
Akero Therapeutics Inc * | 30,983 | 1,055 | ||||||
Alignment Healthcare Inc * | 45,018 | 533 | ||||||
Alkermes PLC * | 20,268 | 453 | ||||||
AmerisourceBergen Corp, Cl A | 4,713 | 638 | ||||||
Amicus Therapeutics Inc * | 25,000 | 261 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
AMN Healthcare Services Inc * | 58,131 | $ | 6,160 | |||||
Amphastar Pharmaceuticals Inc * | 11,243 | 316 | ||||||
AnaptysBio Inc * | 10,097 | 258 | ||||||
ANI Pharmaceuticals Inc * | 11,989 | 385 | ||||||
Apellis Pharmaceuticals Inc * | 6,385 | 436 | ||||||
Arcutis Biotherapeutics Inc * | 7,979 | 152 | ||||||
Ascendis Pharma A/S ADR * | 9,780 | 1,010 | ||||||
Atea Pharmaceuticals Inc * | 33,287 | 189 | ||||||
AtriCure Inc * | 14,000 | 547 | ||||||
Atrion Corp | 329 | 186 | ||||||
Avanos Medical Inc * | 28,106 | 612 | ||||||
Axonics Inc * | 6,000 | 423 | ||||||
Biohaven Pharmaceutical Holding Co Ltd * | 15,397 | 2,328 | ||||||
BioMarin Pharmaceutical Inc * | 5,000 | 424 | ||||||
Bio-Techne Corp | 3,600 | 1,022 | ||||||
Catalent Inc * | 16,500 | 1,194 | ||||||
Catalyst Pharmaceuticals Inc * | 73,063 | 937 | ||||||
Charles River Laboratories International Inc * | 7,525 | 1,481 | ||||||
Chemed Corp | 5,665 | 2,473 | ||||||
Chinook Therapeutics Inc * | 21,466 | 422 | ||||||
Co-Diagnostics Inc * | 58,730 | 189 | ||||||
Collegium Pharmaceutical Inc * | 46,029 | 737 | ||||||
Computer Programs and Systems Inc * | 40,547 | 1,130 | ||||||
Corcept Therapeutics Inc * | 24,000 | 615 | ||||||
CorVel Corp * | 3,132 | 434 | ||||||
Cross Country Healthcare Inc * | 40,760 | 1,156 | ||||||
Deciphera Pharmaceuticals Inc * | 74,562 | 1,379 | ||||||
Denali Therapeutics Inc * | 7,351 | 226 | ||||||
Edgewise Therapeutics Inc * | 38,713 | 381 | ||||||
Enanta Pharmaceuticals Inc * | 8,148 | 423 | ||||||
Encompass Health Corp | 19,928 | 901 | ||||||
Enhabit Inc * | 9,964 | 140 | ||||||
Enovis Corp * | 55,808 | 2,571 | ||||||
Ensign Group Inc/The | 4,885 | 388 | ||||||
Global Blood Therapeutics Inc * | 26,955 | 1,836 | ||||||
Globus Medical Inc, Cl A * | 14,804 | 882 | ||||||
Gossamer Bio Inc * | 29,124 | 349 | ||||||
Harmony Biosciences Holdings Inc * | 2,962 | 131 | ||||||
HealthStream Inc * | 55,326 | 1,176 | ||||||
Henry Schein Inc * | 7,782 | 512 | ||||||
Horizon Therapeutics Plc * | 5,156 | 319 | ||||||
ICON PLC ADR * | 7,886 | 1,449 | ||||||
ICU Medical Inc * | 5,669 | 854 | ||||||
IDEXX Laboratories Inc * | 458 | 149 | ||||||
Incyte Corp * | 3,300 | 220 | ||||||
Insmed Inc * | 31,452 | 677 | ||||||
Intra-Cellular Therapies Inc, Cl A * | 11,241 | 523 | ||||||
Iovance Biotherapeutics Inc * | 98,996 | 948 | ||||||
Ironwood Pharmaceuticals Inc, Cl A * | 33,853 | 351 | ||||||
Jazz Pharmaceuticals PLC * | 8,669 | 1,155 | ||||||
Karyopharm Therapeutics Inc * | 80,517 | 440 |
116
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Kiniksa Pharmaceuticals Ltd, Cl A * | 31,021 | $ | 398 | |||||
Lantheus Holdings Inc * | 18,701 | 1,315 | ||||||
LeMaitre Vascular Inc | 3,528 | 179 | ||||||
LHC Group Inc * | 6,905 | 1,130 | ||||||
Ligand Pharmaceuticals Inc * | 15,446 | 1,330 | ||||||
LivaNova PLC * | 31,097 | 1,579 | ||||||
Masimo Corp * | 3,863 | 545 | ||||||
Medpace Holdings Inc * | 13,095 | 2,058 | ||||||
Meridian Bioscience Inc * | 15,000 | 473 | ||||||
Merit Medical Systems Inc * | 17,000 | 961 | ||||||
Mettler-Toledo International Inc * | 411 | 446 | ||||||
Molina Healthcare Inc * | 4,323 | 1,426 | ||||||
National HealthCare Corp | 12,608 | 799 | ||||||
Neurocrine Biosciences Inc * | 18,038 | 1,916 | ||||||
NextGen Healthcare Inc * | 79,524 | 1,408 | ||||||
Novocure Ltd * | 2,480 | 188 | ||||||
Omnicell Inc * | 1,763 | 153 | ||||||
Option Care Health Inc * | 42,714 | 1,344 | ||||||
Organon & Co | 6,192 | 145 | ||||||
Orthofix Medical Inc * | 46,418 | 887 | ||||||
Pacira BioSciences Inc * | 44,489 | 2,366 | ||||||
Penumbra Inc * | 1,427 | 271 | ||||||
PerkinElmer Inc | 12,707 | 1,529 | ||||||
Perrigo Co PLC | 39,724 | 1,417 | ||||||
Premier Inc, Cl A | 95,195 | 3,231 | ||||||
Prestige Consumer Healthcare Inc, Cl A * | 50,966 | 2,540 | ||||||
Privia Health Group Inc * | 18,555 | 632 | ||||||
PTC Therapeutics Inc * | 14,986 | 752 | ||||||
Puma Biotechnology Inc * | 238,693 | 566 | ||||||
Repligen Corp * | 1,304 | 244 | ||||||
Revance Therapeutics Inc * | 61,071 | 1,649 | ||||||
Sensus Healthcare Inc * | 148,553 | 1,861 | ||||||
Shockwave Medical Inc * | 4,667 | 1,298 | ||||||
SIGA Technologies Inc | 45,213 | 466 | ||||||
Simulations Plus Inc | 5,000 | 243 | ||||||
Supernus Pharmaceuticals Inc * | 50,405 | 1,706 | ||||||
Syneos Health Inc, Cl A * | 96,849 | 4,566 | ||||||
Teleflex Inc | 3,980 | 802 | ||||||
Tenet Healthcare Corp * | 6,108 | 315 | ||||||
Travere Therapeutics Inc * | 17,108 | 422 | ||||||
Trevi Therapeutics Inc * | 345,786 | 532 | ||||||
United Therapeutics Corp * | 7,055 | 1,477 | ||||||
Utah Medical Products Inc | 6,164 | 526 | ||||||
Vanda Pharmaceuticals Inc * | 20,715 | 205 | ||||||
Varex Imaging Corp * | 2,840 | 60 | ||||||
Vaxcyte Inc * | 2,331 | 56 | ||||||
Viemed Healthcare Inc * | 122,739 | 736 | ||||||
Voyager Therapeutics Inc * | 183,912 | 1,089 | ||||||
Zimvie Inc * | 7,364 | 73 | ||||||
99,247 | ||||||||
Industrials — 14.0% | ||||||||
A O Smith Corp | 4,400 | 214 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
AAON Inc | 16,416 | $ | 884 | |||||
ABM Industries Inc | 103,477 | 3,956 | ||||||
ACCO Brands Corp | 741,833 | 3,635 | ||||||
Advanced Drainage Systems Inc | 15,809 | 1,966 | ||||||
AECOM | 13,579 | 928 | ||||||
Apogee Enterprises Inc | 8,561 | 327 | ||||||
Applied Industrial Technologies Inc, Cl A | 12,000 | 1,233 | ||||||
Arcosa Inc | 7,500 | 429 | ||||||
Armstrong World Industries Inc | 25,821 | 2,046 | ||||||
Atlas Air Worldwide Holdings Inc * | 24,000 | 2,294 | ||||||
Barrett Business Services Inc | 2,700 | 211 | ||||||
Boise Cascade Co | 4,228 | 251 | ||||||
Builders FirstSource Inc * | 23,370 | 1,377 | ||||||
BWX Technologies Inc, Cl W | 92,285 | 4,648 | ||||||
CACI International Inc, Cl A * | 2,500 | 653 | ||||||
Casella Waste Systems Inc, Cl A * | 15,000 | 1,146 | ||||||
CBIZ Inc * | 22,449 | 960 | ||||||
CECO Environmental Corp * | 122,408 | 1,083 | ||||||
Cintas Corp | 3,186 | 1,237 | ||||||
Clean Harbors Inc * | 7,022 | 772 | ||||||
CoStar Group Inc * | 32,286 | 2,249 | ||||||
CRA International Inc | 11,678 | 1,036 | ||||||
CSW Industrials Inc | 1,824 | 218 | ||||||
Curtiss-Wright Corp | 15,306 | 2,130 | ||||||
EMCOR Group Inc | 19,007 | 2,195 | ||||||
Ennis Inc | 34,657 | 698 | ||||||
Esab Corp | 55,808 | 1,862 | ||||||
Evoqua Water Technologies Corp * | 9,047 | 299 | ||||||
Exponent Inc | 30,000 | 2,630 | ||||||
Forrester Research Inc * | 25,299 | 911 | ||||||
Forward Air Corp | 18,000 | 1,625 | ||||||
Franklin Covey Co * | 12,085 | 549 | ||||||
FTI Consulting Inc * | 10,890 | 1,805 | ||||||
Griffon Corp | 20,147 | 595 | ||||||
GXO Logistics Inc * | 72,486 | 2,541 | ||||||
Heartland Express Inc | 53,253 | 762 | ||||||
Heritage-Crystal Clean Inc * | 29,302 | 866 | ||||||
Hillenbrand Inc | 8,146 | 299 | ||||||
Hub Group Inc, Cl A * | 12,964 | 894 | ||||||
Hubbell Inc, Cl B | 1,193 | 266 | ||||||
Huntington Ingalls Industries Inc, Cl A | 1,295 | 287 | ||||||
IAA Inc * | 94,008 | 2,994 | ||||||
ICF International Inc, Cl A | 4,655 | 507 | ||||||
IDEX Corp | 4,000 | 799 | ||||||
Insperity Inc, Cl A | 5,000 | 510 | ||||||
Kadant Inc | 16,160 | 2,696 | ||||||
Kaman Corp, Cl A | 64,158 | 1,792 | ||||||
KAR Auction Services Inc * | 250,248 | 2,795 | ||||||
Kennametal Inc | 30,727 | 632 | ||||||
Kforce Inc | 10,057 | 590 | ||||||
L3Harris Technologies Inc | 2,036 | 423 | ||||||
Landstar System Inc | 8,600 | 1,242 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
117
SCHEDULE OF INVESTMENTS
September 30, 2022
Tax-Managed Small/Mid Cap Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
LSI Industries Inc | 4,246 | $ | 33 | |||||
Marten Transport Ltd | 78,638 | 1,507 | ||||||
Masonite International Corp * | 28,376 | 2,023 | ||||||
Matson Inc | 14,549 | 895 | ||||||
Matthews International Corp, Cl A | 87,915 | 1,970 | ||||||
McGrath RentCorp | 6,000 | 503 | ||||||
Miller Industries Inc/TN | 23,991 | 511 | ||||||
MRC Global Inc * | 78,171 | 562 | ||||||
MSA Safety Inc | 10,698 | 1,169 | ||||||
MSC Industrial Direct Co Inc, Cl A | 3,679 | 268 | ||||||
Mueller Industries Inc | 8,000 | 476 | ||||||
MYR Group Inc * | 22,025 | 1,866 | ||||||
National Presto Industries Inc | 7,176 | 467 | ||||||
Old Dominion Freight Line Inc, Cl A | 7,000 | 1,741 | ||||||
Park Aerospace Corp | 13,962 | 154 | ||||||
Radiant Logistics Inc * | 49,017 | 279 | ||||||
RBC Bearings Inc * | 4,000 | 831 | ||||||
RCM Technologies Inc * | 946 | 16 | ||||||
Resources Connection Inc | 97,278 | 1,758 | ||||||
Rush Enterprises Inc, Cl A | 38,922 | 1,707 | ||||||
Saia Inc * | 4,740 | 901 | ||||||
Schneider National Inc, Cl B | 13,231 | 269 | ||||||
Science Applications International Corp | 13,698 | 1,211 | ||||||
Simpson Manufacturing Co Inc | 8,867 | 695 | ||||||
Standex International Corp | 5,842 | 477 | ||||||
Tennant Co | 12,618 | 714 | ||||||
Terex Corp | 2,076 | 62 | ||||||
Tetra Tech Inc | 27,739 | 3,565 | ||||||
Textainer Group Holdings Ltd | 56,064 | 1,506 | ||||||
Toro Co/The | 2,800 | 242 | ||||||
Trinity Industries Inc | 19,013 | 406 | ||||||
UFP Industries Inc | 20,396 | 1,472 | ||||||
United Rentals Inc * | 4,375 | 1,182 | ||||||
Werner Enterprises Inc | 19,446 | 731 | ||||||
WESCO International Inc * | 33,000 | 3,940 | ||||||
Westinghouse Air Brake Technologies Corp | 3,600 | 293 | ||||||
XPO Logistics Inc * | 61,557 | 2,741 | ||||||
109,090 | ||||||||
Information Technology — 16.2% | ||||||||
A10 Networks Inc | 136,224 | 1,808 | ||||||
ACI Worldwide Inc * | 371,590 | 7,766 | ||||||
Agilysys Inc * | 14,691 | 813 | ||||||
Alpha & Omega Semiconductor Ltd * | 39,527 | 1,216 | ||||||
Amdocs Ltd | 14,000 | 1,112 | ||||||
American Software Inc/GA, Cl A | 30,440 | 466 | ||||||
Amkor Technology Inc | 50,512 | 861 | ||||||
ANSYS Inc * | 2,600 | 576 | ||||||
Arista Networks Inc * | 9,952 | 1,123 | ||||||
Aspen Technology Inc * | 10,699 | 2,549 | ||||||
Axcelis Technologies Inc * | 22,971 | 1,391 | ||||||
Bel Fuse Inc, Cl B | 80,329 | 2,028 | ||||||
Blackbaud Inc, Cl A * | 5,456 | 240 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Broadridge Financial Solutions Inc | 1,700 | $ | 245 | |||||
Cadence Design Systems Inc * | 12,100 | 1,978 | ||||||
Calix Inc * | 23,763 | 1,453 | ||||||
Cass Information Systems Inc | 15,894 | 551 | ||||||
ChannelAdvisor Corp * | 51,607 | 1,169 | ||||||
Coherent Corp * | 15,210 | 530 | ||||||
CommVault Systems Inc * | 26,733 | 1,418 | ||||||
Consensus Cloud Solutions Inc * | 40,554 | 1,918 | ||||||
CSG Systems International Inc | 37,468 | 1,981 | ||||||
CTS Corp | 7,000 | 292 | ||||||
Digital Turbine Inc * | 36,655 | 528 | ||||||
Diodes Inc * | 15,000 | 974 | ||||||
EngageSmart Inc * | 21,146 | 438 | ||||||
Entegris Inc | 17,353 | 1,441 | ||||||
EPAM Systems Inc * | 2,034 | 737 | ||||||
ePlus Inc * | 9,920 | 412 | ||||||
Euronet Worldwide Inc * | 60,308 | 4,569 | ||||||
EVERTEC Inc | 55,000 | 1,724 | ||||||
ExlService Holdings Inc * | 24,383 | 3,593 | ||||||
F5 Inc, Cl A * | 2,056 | 298 | ||||||
Fabrinet * | 2,627 | 251 | ||||||
Fair Isaac Corp * | 2,500 | 1,030 | ||||||
Gartner Inc * | 1,518 | 420 | ||||||
Genpact Ltd | 30,604 | 1,339 | ||||||
Global Payments Inc | 1,009 | 109 | ||||||
GoDaddy Inc, Cl A * | 54,607 | 3,871 | ||||||
Hackett Group Inc/The | 37,239 | 660 | ||||||
Ichor Holdings Ltd * | 16,589 | 402 | ||||||
Insight Enterprises Inc * | 21,641 | 1,783 | ||||||
International Money Express Inc * | 1,250 | 29 | ||||||
Jack Henry & Associates Inc | 6,394 | 1,165 | ||||||
Lattice Semiconductor Corp * | 37,782 | 1,859 | ||||||
Littelfuse Inc | 2,000 | 397 | ||||||
Lumentum Holdings Inc * | 18,556 | 1,272 | ||||||
MACOM Technology Solutions Holdings Inc * | 12,485 | 647 | ||||||
Manhattan Associates Inc * | 10,280 | 1,368 | ||||||
Maximus Inc | 21,124 | 1,222 | ||||||
MicroStrategy Inc, Cl A *(A) | 726 | 154 | ||||||
Monolithic Power Systems Inc | 2,213 | 804 | ||||||
NetScout Systems Inc * | 35,165 | 1,101 | ||||||
ON Semiconductor Corp * | 72,434 | 4,515 | ||||||
OSI Systems Inc * | 1,909 | 138 | ||||||
Palo Alto Networks Inc * | 2,358 | 386 | ||||||
Payoneer Global Inc * | 124,924 | 756 | ||||||
PDF Solutions Inc * | 26,638 | 653 | ||||||
Perficient Inc * | 12,505 | 813 | ||||||
Photronics Inc * | 254,726 | 3,724 | ||||||
Power Integrations Inc | 16,712 | 1,075 | ||||||
Progress Software Corp | 5,788 | 246 | ||||||
PTC Inc * | 25,109 | 2,626 | ||||||
Qualys Inc * | 15,897 | 2,216 |
118
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Radware Ltd * | 15,000 | $ | 327 | |||||
Rambus Inc * | 12,784 | 325 | ||||||
RingCentral Inc, Cl A * | 773 | 31 | ||||||
ScanSource Inc * | 5,340 | 141 | ||||||
Semtech Corp * | 27,923 | 821 | ||||||
ShotSpotter Inc * | 10,151 | 292 | ||||||
Shutterstock Inc | 15,164 | 761 | ||||||
Silicon Motion Technology Corp ADR | 114,000 | 7,432 | ||||||
SPS Commerce Inc * | 16,563 | 2,058 | ||||||
Super Micro Computer Inc * | 179,900 | 9,907 | ||||||
Synopsys Inc * | 5,999 | 1,833 | ||||||
Teledyne Technologies Inc * | 14,500 | 4,893 | ||||||
Tenable Holdings Inc * | 29,500 | 1,027 | ||||||
Teradyne Inc | 11,312 | 850 | ||||||
TTEC Holdings Inc | 20,845 | 924 | ||||||
Tyler Technologies Inc * | 4,508 | 1,567 | ||||||
Verint Systems Inc * | 127,718 | 4,289 | ||||||
Verra Mobility Corp, Cl A * | 50,000 | 769 | ||||||
Vishay Intertechnology Inc | 25,000 | 445 | ||||||
Vishay Precision Group Inc * | 10,000 | 296 | ||||||
Wix.com Ltd * | 11,682 | 914 | ||||||
WNS Holdings Ltd ADR * | 26,370 | 2,158 | ||||||
127,289 | ||||||||
Materials — 7.3% | ||||||||
Alamos Gold Inc, Cl A | 80,913 | 599 | ||||||
Albemarle Corp | 4,500 | 1,190 | ||||||
Alpha Metallurgical Resources Inc | 5,966 | 816 | ||||||
Ashland Inc | 55,852 | 5,304 | ||||||
Avery Dennison Corp | 2,472 | 402 | ||||||
Axalta Coating Systems Ltd * | 207,370 | 4,367 | ||||||
Balchem Corp | 17,944 | 2,182 | ||||||
Cabot Corp | 10,000 | 639 | ||||||
Century Aluminum Co * | 164,270 | 867 | ||||||
Chase Corp | 3,821 | 319 | ||||||
Clearwater Paper Corp * | 23,901 | 899 | ||||||
Commercial Metals Co, Cl A | 235,000 | 8,338 | ||||||
Crown Holdings Inc | 4,800 | 389 | ||||||
FMC Corp | 63,800 | 6,744 | ||||||
Fortitude Gold Corp | 40,846 | 226 | ||||||
Hawkins Inc | 12,136 | 473 | ||||||
Ingevity Corp * | 42,000 | 2,546 | ||||||
Innospec Inc | 7,000 | 600 | ||||||
Louisiana-Pacific Corp | 10,000 | 512 | ||||||
LSB Industries Inc * | 58,535 | 834 | ||||||
Materion Corp | 13,906 | 1,112 | ||||||
NewMarket Corp | 2,127 | 640 | ||||||
Novagold Resources Inc * | 222,204 | 1,042 | ||||||
Packaging Corp of America | 2,600 | 292 | ||||||
Reliance Steel & Aluminum Co | 1,787 | 312 | ||||||
Royal Gold Inc, Cl A | 8,757 | 822 | ||||||
Ryerson Holding Corp | 25,899 | 667 | ||||||
Sensient Technologies Corp | 1,172 | 81 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Silgan Holdings Inc | 257,609 | $ | 10,830 | |||||
Sonoco Products Co | 12,000 | 681 | ||||||
Stepan Co | 9,000 | 843 | ||||||
TriMas Corp | 23,190 | 581 | ||||||
UFP Technologies Inc * | 4,600 | 395 | ||||||
Warrior Met Coal Inc | 11,000 | 313 | ||||||
56,857 | ||||||||
Real Estate — 4.8% | ||||||||
Alexander & Baldwin Inc ‡ | 34,477 | 572 | ||||||
Alexander's Inc ‡ | 2,361 | 493 | ||||||
American Assets Trust Inc ‡ | 15,070 | 388 | ||||||
Armada Hoffler Properties Inc ‡ | 80,825 | 839 | ||||||
BRT Apartments Corp ‡ | 46,507 | 945 | ||||||
Camden Property Trust ‡ | 13,101 | 1,565 | ||||||
Centerspace ‡ | 15,417 | 1,038 | ||||||
Community Healthcare Trust Inc ‡ | 384 | 13 | ||||||
EastGroup Properties Inc ‡ | 14,800 | 2,136 | ||||||
Equity Commonwealth ‡ | 36,970 | 901 | ||||||
Equity LifeStyle Properties Inc ‡ | 20,564 | 1,292 | ||||||
FRP Holdings Inc * | 4,575 | 249 | ||||||
Gaming and Leisure Properties Inc ‡ | 167,435 | 7,407 | ||||||
Getty Realty Corp ‡ | 28,351 | 762 | ||||||
Gladstone Commercial Corp ‡ | 33,797 | 524 | ||||||
Howard Hughes Corp/The *‡ | 35,000 | 1,939 | ||||||
Independence Realty Trust Inc ‡ | 113,415 | 1,897 | ||||||
Invitation Homes Inc ‡ | 32,569 | 1,100 | ||||||
Life Storage Inc ‡ | 4,650 | 515 | ||||||
Medical Properties Trust Inc ‡ | 398,546 | 4,727 | ||||||
National Storage Affiliates Trust ‡ | 10,689 | 444 | ||||||
Newmark Group Inc, Cl A ‡ | 450,766 | 3,633 | ||||||
Outfront Media Inc ‡ | 79,456 | 1,207 | ||||||
RMR Group Inc/The, Cl A ‡ | 5,417 | 128 | ||||||
Ryman Hospitality Properties Inc ‡ | 10,995 | 809 | ||||||
Saul Centers Inc ‡ | 11,295 | 424 | ||||||
Sun Communities Inc ‡ | 1,400 | 189 | ||||||
Terreno Realty Corp ‡ | 15,348 | 813 | ||||||
Universal Health Realty Income Trust ‡ | 2,181 | 94 | ||||||
Ventas Inc ‡ | 7,436 | 299 | ||||||
37,342 | ||||||||
Utilities — 2.8% | ||||||||
ALLETE Inc | 14,700 | 736 | ||||||
American States Water Co | 5,000 | 390 | ||||||
Artesian Resources Corp, Cl A | 30,081 | 1,447 | ||||||
Avista Corp | 18,000 | 667 | ||||||
Black Hills Corp, Cl A | 7,000 | 474 | ||||||
Brookfield Infrastructure Corp, Cl A | 12,000 | 488 | ||||||
California Water Service Group, Cl A | 8,000 | 422 | ||||||
Chesapeake Utilities Corp | 12,037 | 1,389 | ||||||
Essential Utilities Inc | 3,682 | 152 | ||||||
Hawaiian Electric Industries Inc | 21,153 | 733 | ||||||
IDACORP Inc, Cl A | 10,909 | 1,080 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
119
SCHEDULE OF INVESTMENTS
September 30, 2022
Tax-Managed Small/Mid Cap Fund (Concluded)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
MGE Energy Inc | 21,134 | $ | 1,387 | |||||
Middlesex Water Co | 22,660 | 1,749 | ||||||
New Jersey Resources Corp | 23,000 | 890 | ||||||
NiSource Inc | 15,000 | 378 | ||||||
Northwest Natural Holding Co | 36,396 | 1,579 | ||||||
NorthWestern Corp | 5,270 | 260 | ||||||
Ormat Technologies Inc | 2,920 | 252 | ||||||
Otter Tail Corp | 29,000 | 1,784 | ||||||
Portland General Electric Co | 43,378 | 1,885 | ||||||
Southwest Gas Holdings Inc | 12,000 | 837 | ||||||
Spire Inc | 16,000 | 997 | ||||||
UGI Corp | 6,450 | 209 | ||||||
Unitil Corp | 20,406 | 948 | ||||||
York Water Co/The | 9,081 | 349 | ||||||
21,482 | ||||||||
Total Common Stock | ||||||||
(Cost $535,391) ($ Thousands) | 769,932 | |||||||
AFFILIATED PARTNERSHIP — 0.1% | ||||||||
SEI Liquidity Fund, LP | ||||||||
2.930% **†(B) | 518,228 | 525 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $518) ($ Thousands) | 525 | |||||||
CASH EQUIVALENT — 1.4% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
2.600%**† | 10,783,156 | 10,783 | ||||||
Total Cash Equivalent | ||||||||
(Cost $10,783) ($ Thousands) | 10,783 | |||||||
Total Investments in Securities — 100.1% | ||||||||
(Cost $546,692) ($ Thousands) | $ | 781,240 |
| Percentages are based on Net Assets of $780,749 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2022. |
‡ | 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, 2022 (see Note 12). The total market value of securities on loan at September 30, 2022 was $149 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of September 30, 2022 was $525 ($ Thousands). |
The following is a summary of the level of inputs used as of September 30, 2022, in valuing the Fund's investments carried at value ($ Thousands): | ||||||||||||||||
Investments in Securities | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Common Stock | 769,932 | – | – | 769,932 | ||||||||||||
Affiliated Partnership | – | 525 | – | 525 | ||||||||||||
Cash Equivalent | 10,783 | – | – | 10,783 | ||||||||||||
Total Investments in Securities | 780,715 | 525 | – | 781,240 |
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, 2022 ($ Thousands):
Security Description | Value 9/30/2021 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2022 | Shares | Income | Capital Gains | |||||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 8,126 | $ | 48,025 | $ | (55,625 | ) | $ | — | $ | (1 | ) | $ | 525 | 518,228 | $ | 15 | $ | — | |||||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | 14,569 | 146,682 | (150,468 | ) | — | — | 10,783 | 10,783,156 | 86 | — | ||||||||||||||||||||||||||
Totals | $ | 22,695 | $ | 194,707 | $ | (206,093 | ) | $ | — | $ | (1 | ) | $ | 11,308 | $ | 101 | $ | — |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
120
SEI Institutional Managed Trust / Annual Report / September 30, 2022
SCHEDULE OF INVESTMENTS
September 30, 2022
Mid-Cap Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Shares | Market Value | ||||||
COMMON STOCK — 96.5% | ||||||||
Communication Services — 2.4% | ||||||||
Fox Corp, Cl A | 2,180 | $ | 67 | |||||
Liberty Broadband Corp, Cl A * | 2,100 | 157 | ||||||
Liberty Media Corp-Liberty SiriusXM * | 5,921 | 223 | ||||||
News Corp, Cl B | 7,090 | 109 | ||||||
Nexstar Media Group Inc, Cl A | 840 | 140 | ||||||
Pinterest Inc, Cl A * | 5,895 | 137 | ||||||
ROBLOX, Cl A * | 1,470 | 53 | ||||||
Trade Desk Inc/The, Cl A * | 4,560 | 273 | ||||||
Twitter Inc * | 4,879 | 214 | ||||||
Warner Bros Discovery Inc * | 4,800 | 55 | ||||||
ZoomInfo Technologies, Cl A * | 5,190 | 216 | ||||||
1,644 | ||||||||
Consumer Discretionary — 7.9% | ||||||||
Advance Auto Parts Inc | 754 | 118 | ||||||
AutoNation Inc * | 2,649 | 270 | ||||||
AutoZone Inc * | 212 | 454 | ||||||
BorgWarner Inc | 5,866 | 184 | ||||||
Boyd Gaming Corp | 3,304 | 157 | ||||||
Caesars Entertainment Inc * | 2,030 | 66 | ||||||
Capri Holdings Ltd * | 1,300 | 50 | ||||||
Carter's Inc | 1,605 | 105 | ||||||
Carvana Co, Cl A * | 3,090 | 63 | ||||||
Chipotle Mexican Grill Inc, Cl A * | 114 | 171 | ||||||
Columbia Sportswear Co | 3,653 | 246 | ||||||
Dollar Tree Inc * | 2,046 | 278 | ||||||
DoorDash Inc, Cl A * | 3,210 | 159 | ||||||
eBay Inc | 4,020 | 148 | ||||||
Expedia Group Inc * | 600 | 56 | ||||||
Harley-Davidson Inc, Cl A | 8,536 | 298 | ||||||
Hasbro Inc | 2,567 | 173 | ||||||
Lennar Corp, Cl A | 2,710 | 202 | ||||||
Lennar Corp, Cl B | 1,585 | 94 | ||||||
LKQ Corp | 5,866 | 277 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Lululemon Athletica Inc * | 591 | $ | 165 | |||||
Macy's Inc | 5,270 | 82 | ||||||
Mattel Inc * | 3,420 | 65 | ||||||
MGM Resorts International | 1,710 | 51 | ||||||
Rivian Automotive, Cl A * | 1,410 | 46 | ||||||
Six Flags Entertainment Corp * | 3,120 | 55 | ||||||
Tapestry Inc | 6,897 | 196 | ||||||
Thor Industries Inc | 1,010 | 71 | ||||||
Toll Brothers Inc | 11,640 | 489 | ||||||
Tractor Supply Co | 844 | 157 | ||||||
Travel + Leisure Co | 5,670 | 193 | ||||||
Ulta Beauty Inc * | 217 | 87 | ||||||
Wendy's Co/The | 3,940 | 74 | ||||||
Williams-Sonoma Inc | 881 | 104 | ||||||
Wyndham Hotels & Resorts Inc | 1,250 | 77 | ||||||
5,481 | ||||||||
Consumer Staples — 5.9% | ||||||||
Archer-Daniels-Midland Co | 1,290 | 104 | ||||||
BJ's Wholesale Club Holdings Inc * | 710 | 52 | ||||||
Brown-Forman Corp, Cl A | 5,290 | 357 | ||||||
Brown-Forman Corp, Cl B | 6,380 | 425 | ||||||
Campbell Soup Co | 3,210 | 151 | ||||||
Casey's General Stores Inc | 938 | 190 | ||||||
Constellation Brands Inc, Cl A | 1,018 | 234 | ||||||
Coty Inc, Cl A * | 23,710 | 150 | ||||||
Darling Ingredients Inc * | 8,186 | 541 | ||||||
Hain Celestial Group Inc/The * | 3,367 | 57 | ||||||
Hershey Co/The | 1,341 | 296 | ||||||
Ingredion Inc | 3,973 | 320 | ||||||
Kellogg Co | 2,033 | 142 | ||||||
Kroger Co/The | 4,100 | 179 | ||||||
Lamb Weston Holdings Inc | 3,167 | 245 | ||||||
Olaplex Holdings Inc * | 8,690 | 83 | ||||||
Performance Food Group Co * | 1,830 | 78 | ||||||
TreeHouse Foods Inc * | 6,915 | 293 | ||||||
Tyson Foods Inc, Cl A | 3,242 | 214 | ||||||
4,111 | ||||||||
Energy — 6.9% | ||||||||
Antero Midstream Corp | 24,150 | 222 | ||||||
Antero Resources Corp * | 1,510 | 46 | ||||||
ChampionX Corp | 7,990 | 156 | ||||||
Cheniere Energy Inc | 730 | 121 | ||||||
Coterra Energy Inc | 12,712 | 332 | ||||||
Diamondback Energy Inc, Cl A | 1,651 | 199 | ||||||
DT Midstream Inc | 10,625 | 551 | ||||||
HF Sinclair Corp | 6,475 | 349 | ||||||
Marathon Petroleum Corp | 2,865 | 285 | ||||||
ONEOK Inc | 5,185 | 266 | ||||||
Ovintiv Inc | 3,680 | 169 | ||||||
PDC Energy Inc, Cl A | 3,060 | 177 | ||||||
Phillips 66 | 4,385 | 354 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
121
SCHEDULE OF INVESTMENTS
September 30, 2022
Mid-Cap Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Pioneer Natural Resources Co | 2,881 | $ | 624 | |||||
Targa Resources Corp | 7,616 | 459 | ||||||
Valero Energy Corp | 1,843 | 197 | ||||||
Williams Cos Inc/The | 8,812 | 252 | ||||||
4,759 | ||||||||
Financials — 15.2% | ||||||||
Allstate Corp/The | 2,585 | 322 | ||||||
American International Group Inc | 4,847 | 230 | ||||||
Ameriprise Financial Inc | 1,344 | 339 | ||||||
Arch Capital Group Ltd * | 19,258 | 877 | ||||||
Assurant Inc | 450 | 65 | ||||||
Axis Capital Holdings Ltd | 1,750 | 86 | ||||||
Bank OZK | 2,020 | 80 | ||||||
Cboe Global Markets Inc | 3,034 | 356 | ||||||
Chimera Investment Corp ‡ | 18,240 | 95 | ||||||
CNA Financial Corp | 1,490 | 55 | ||||||
Comerica Inc | 2,261 | 161 | ||||||
Cullen/Frost Bankers Inc | 4,160 | 550 | ||||||
East West Bancorp Inc | 2,774 | 186 | ||||||
Evercore Inc, Cl A | 920 | 76 | ||||||
Everest Re Group Ltd | 1,305 | 343 | ||||||
Eversource Energy | 2,140 | 167 | ||||||
Fidelity National Financial Inc | 10,102 | 366 | ||||||
First American Financial Corp | 2,817 | 130 | ||||||
First Hawaiian Inc | 3,930 | 97 | ||||||
First Republic Bank/CA | 1,145 | 149 | ||||||
Globe Life Inc | 2,277 | 227 | ||||||
Interactive Brokers Group Inc, Cl A | 4,624 | 295 | ||||||
Loews Corp | 1,340 | 67 | ||||||
Markel Corp * | 220 | 238 | ||||||
MGIC Investment Corp | 35,030 | 449 | ||||||
Nasdaq Inc, Cl A | 1,386 | 79 | ||||||
New York Community Bancorp Inc | 11,935 | 102 | ||||||
Old Republic International Corp | 5,508 | 115 | ||||||
PacWest Bancorp | 8,068 | 182 | ||||||
Pinnacle Financial Partners Inc | 2,870 | 233 | ||||||
Popular Inc | 2,256 | 163 | ||||||
Primerica Inc | 977 | 121 | ||||||
Progressive Corp/The | 3,005 | 349 | ||||||
Prosperity Bancshares Inc | 2,904 | 194 | ||||||
Regions Financial Corp | 3,604 | 72 | ||||||
Reinsurance Group of America Inc, Cl A | 3,541 | 445 | ||||||
Signature Bank/New York NY, Cl B | 2,136 | 323 | ||||||
SLM Corp | 7,455 | 104 | ||||||
Stifel Financial Corp | 8,358 | 434 | ||||||
Synchrony Financial | 7,920 | 223 | ||||||
Synovus Financial Corp | 2,590 | 97 | ||||||
Umpqua Holdings Corp | 4,080 | 70 | ||||||
Unum Group | 7,000 | 272 | ||||||
W R Berkley Corp | 2,062 | 133 | ||||||
Webster Financial Corp | 3,691 | 167 | ||||||
Western Alliance Bancorp | 5,414 | 356 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Wintrust Financial Corp | 1,890 | $ | 154 | |||||
Zions Bancorp NA | 1,180 | 60 | ||||||
10,454 | ||||||||
Health Care — 10.6% | ||||||||
Agilent Technologies Inc | 4,116 | 500 | ||||||
agilon health Inc * | 6,400 | 150 | ||||||
Alnylam Pharmaceuticals Inc * | 550 | 110 | ||||||
AmerisourceBergen Corp, Cl A | 2,250 | 304 | ||||||
Biogen Inc * | 2,000 | 534 | ||||||
Bio-Techne Corp | 292 | 83 | ||||||
Centene Corp * | 4,475 | 348 | ||||||
Chemed Corp | 765 | 334 | ||||||
DaVita Inc * | 860 | 71 | ||||||
Dexcom Inc * | 840 | 68 | ||||||
Doximity Inc, Cl A * | 4,230 | 128 | ||||||
Encompass Health Corp | 7,343 | 332 | ||||||
Enhabit Inc * | 992 | 14 | ||||||
Envista Holdings Corp * | 5,310 | 174 | ||||||
Exelixis Inc * | 11,950 | 188 | ||||||
IDEXX Laboratories Inc * | 890 | 290 | ||||||
Incyte Corp * | 1,010 | 67 | ||||||
IQVIA Holdings Inc * | 1,778 | 322 | ||||||
Jazz Pharmaceuticals PLC * | 504 | 67 | ||||||
Laboratory Corp of America Holdings | 2,260 | 463 | ||||||
Mettler-Toledo International Inc * | 241 | 261 | ||||||
Molina Healthcare Inc * | 970 | 320 | ||||||
Neurocrine Biosciences Inc * | 940 | 100 | ||||||
Organon & Co | 2,600 | 61 | ||||||
Perrigo Co PLC | 3,990 | 142 | ||||||
Premier Inc, Cl A | 7,870 | 267 | ||||||
Quest Diagnostics Inc | 1,165 | 143 | ||||||
QuidelOrtho Corp * | 770 | 55 | ||||||
Repligen Corp * | 725 | 136 | ||||||
Royalty Pharma PLC, Cl A | 7,173 | 288 | ||||||
Signify Health Inc, Cl A * | 2,270 | 66 | ||||||
United Therapeutics Corp * | 1,090 | 228 | ||||||
Veeva Systems Inc, Cl A * | 1,429 | 236 | ||||||
Waters Corp * | 1,013 | 273 | ||||||
Zimmer Biomet Holdings Inc | 1,699 | 178 | ||||||
7,301 | ||||||||
Industrials — 12.7% | ||||||||
A O Smith Corp | 3,510 | 171 | ||||||
Advanced Drainage Systems Inc | 3,000 | 373 | ||||||
AerCap Holdings NV * | 3,592 | 152 | ||||||
Allegion PLC | 2,188 | 196 | ||||||
AMETEK Inc | 967 | 110 | ||||||
Booz Allen Hamilton Holding Corp, Cl A | 2,692 | 249 | ||||||
Carlisle Cos Inc | 882 | 247 | ||||||
Cintas Corp | 790 | 307 | ||||||
Clean Harbors Inc * | 5,086 | 559 | ||||||
Copa Holdings SA, Cl A * | 1,280 | 86 |
122
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Copart Inc * | 740 | $ | 79 | |||||
Cummins Inc | 450 | 92 | ||||||
Dover Corp | 3,233 | 377 | ||||||
Expeditors International of Washington Inc | 1,220 | 108 | ||||||
Fastenal Co, Cl A | 3,047 | 140 | ||||||
Fortune Brands Home & Security Inc | 2,451 | 132 | ||||||
GXO Logistics Inc * | 1,760 | 62 | ||||||
HEICO Corp, Cl A | 1,930 | 221 | ||||||
Hexcel Corp, Cl A | 3,561 | 184 | ||||||
Huntington Ingalls Industries Inc, Cl A | 518 | 115 | ||||||
Knight-Swift Transportation Holdings Inc, Cl A | 2,826 | 138 | ||||||
Landstar System Inc | 1,408 | 203 | ||||||
Leidos Holdings Inc | 1,698 | 149 | ||||||
Lincoln Electric Holdings Inc | 420 | 53 | ||||||
Masco Corp | 1,242 | 58 | ||||||
MSC Industrial Direct Co Inc, Cl A | 940 | 68 | ||||||
Old Dominion Freight Line Inc, Cl A | 1,250 | 311 | ||||||
Otis Worldwide Corp | 7,115 | 454 | ||||||
Owens Corning | 3,589 | 282 | ||||||
Parker-Hannifin Corp, Cl A | 880 | 213 | ||||||
Regal Rexnord Corp | 3,186 | 447 | ||||||
Republic Services Inc | 1,024 | 139 | ||||||
Robert Half International Inc | 3,713 | 284 | ||||||
Rockwell Automation Inc | 265 | 57 | ||||||
Ryder System Inc | 3,630 | 274 | ||||||
Schneider National Inc, Cl B | 5,190 | 105 | ||||||
Snap-on Inc | 1,067 | 215 | ||||||
Tetra Tech Inc | 1,350 | 173 | ||||||
Textron Inc | 1,270 | 74 | ||||||
Trane Technologies PLC | 853 | 124 | ||||||
United Rentals Inc * | 1,330 | 359 | ||||||
Univar Solutions Inc * | 4,440 | 101 | ||||||
Watsco Inc | 523 | 135 | ||||||
Westinghouse Air Brake Technologies Corp | 2,574 | 209 | ||||||
WW Grainger Inc | 470 | 230 | ||||||
8,815 | ||||||||
Information Technology — 15.7% | ||||||||
Affirm Holdings, Cl A * | 2,540 | 48 | ||||||
Akamai Technologies Inc * | 2,730 | 219 | ||||||
Amdocs Ltd | 3,196 | 254 | ||||||
Amphenol Corp, Cl A | 935 | 63 | ||||||
Arrow Electronics Inc, Cl A * | 575 | 53 | ||||||
Avnet Inc | 7,385 | 267 | ||||||
Bill.com Holdings Inc * | 1,134 | 150 | ||||||
Cadence Design Systems Inc * | 2,175 | 355 | ||||||
CDW Corp/DE | 2,098 | 327 | ||||||
Ceridian HCM Holding Inc * | 980 | 55 | ||||||
Cirrus Logic Inc * | 1,400 | 96 | ||||||
Cloudflare Inc, Cl A * | 2,887 | 160 | ||||||
Crowdstrike Holdings Inc, Cl A * | 2,930 | 483 | ||||||
Datadog Inc, Cl A * | 2,505 | 222 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
DoubleVerify Holdings Inc * | 7,350 | $ | 201 | |||||
Dynatrace Inc * | 6,363 | 222 | ||||||
Enphase Energy Inc * | 1,062 | 295 | ||||||
Entegris Inc | 1,800 | 149 | ||||||
F5 Inc, Cl A * | 1,644 | 238 | ||||||
Fair Isaac Corp * | 213 | 88 | ||||||
First Solar Inc * | 450 | 60 | ||||||
FleetCor Technologies Inc * | 2,267 | 399 | ||||||
Fortinet Inc * | 1,440 | 71 | ||||||
Global Payments Inc | 2,207 | 238 | ||||||
HubSpot Inc * | 487 | 132 | ||||||
Jabil Inc | 8,883 | 513 | ||||||
Keysight Technologies Inc * | 583 | 92 | ||||||
Lattice Semiconductor Corp * | 5,870 | 289 | ||||||
Manhattan Associates Inc * | 2,295 | 305 | ||||||
Marvell Technology Inc | 2,675 | 115 | ||||||
Microchip Technology Inc | 4,676 | 285 | ||||||
MongoDB Inc, Cl A * | 259 | 51 | ||||||
Monolithic Power Systems Inc | 1,320 | 480 | ||||||
Motorola Solutions Inc | 2,623 | 588 | ||||||
NortonLifeLock Inc | 6,590 | 133 | ||||||
Palantir Technologies Inc, Cl A * | 11,452 | 93 | ||||||
Palo Alto Networks Inc * | 1,398 | 229 | ||||||
Paychex Inc | 4,870 | 546 | ||||||
Paycom Software Inc * | 1,330 | 439 | ||||||
PTC Inc * | 1,605 | 168 | ||||||
Qorvo Inc * | 2,760 | 219 | ||||||
Skyworks Solutions Inc | 3,509 | 299 | ||||||
Smartsheet Inc, Cl A * | 3,166 | 109 | ||||||
Splunk Inc * | 1,720 | 129 | ||||||
StoneCo Ltd, Cl A * | 8,750 | 83 | ||||||
Synopsys Inc * | 744 | 227 | ||||||
Twilio Inc, Cl A * | 980 | 68 | ||||||
Unity Software Inc * | 2,186 | 70 | ||||||
Universal Display Corp | 1,569 | 148 | ||||||
VeriSign Inc * | 462 | 80 | ||||||
Vontier Corp | 3,099 | 52 | ||||||
Zebra Technologies Corp, Cl A * | 248 | 65 | ||||||
Zscaler Inc * | 520 | 85 | ||||||
10,805 | ||||||||
Materials — 5.3% | ||||||||
Albemarle Corp | 640 | 169 | ||||||
Ashland Inc | 2,340 | 222 | ||||||
Axalta Coating Systems Ltd * | 8,917 | 188 | ||||||
Berry Global Group Inc * | 4,410 | 205 | ||||||
Chemours Co/The | 4,209 | 104 | ||||||
Eagle Materials Inc | 2,380 | 255 | ||||||
Element Solutions Inc | 4,550 | 74 | ||||||
FMC Corp | 2,898 | 306 | ||||||
Huntsman Corp | 2,156 | 53 | ||||||
International Flavors & Fragrances Inc | 1,285 | 117 | ||||||
International Paper Co | 5,550 | 176 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
123
SCHEDULE OF INVESTMENTS
September 30, 2022
Mid-Cap Fund (Concluded)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Livent Corp * | 8,015 | $ | 246 | |||||
NewMarket Corp | 423 | 127 | ||||||
Nucor Corp | 1,340 | 144 | ||||||
Packaging Corp of America | 760 | 85 | ||||||
PPG Industries Inc | 870 | 96 | ||||||
Reliance Steel & Aluminum Co | 706 | 123 | ||||||
Scotts Miracle-Gro Co/The, Cl A | 1,143 | 49 | ||||||
Silgan Holdings Inc | 6,038 | 254 | ||||||
Sonoco Products Co | 1,530 | 87 | ||||||
SSR Mining | 9,160 | 135 | ||||||
Steel Dynamics Inc | 1,175 | 83 | ||||||
United States Steel Corp | 4,710 | 85 | ||||||
Valvoline Inc | 6,894 | 175 | ||||||
Westrock Co | 2,370 | 73 | ||||||
3,631 | ||||||||
Real Estate — 7.9% | ||||||||
Alexandria Real Estate Equities Inc ‡ | 1,668 | 234 | ||||||
Apartment Income Corp ‡ | 4,460 | 172 | ||||||
AvalonBay Communities Inc ‡ | 294 | 54 | ||||||
Boston Properties Inc ‡ | 1,468 | 110 | ||||||
Camden Property Trust ‡ | 1,440 | 172 | ||||||
CBRE Group Inc, Cl A * | 4,163 | 281 | ||||||
Cousins Properties Inc ‡ | 2,120 | 49 | ||||||
Digital Realty Trust Inc, Cl A ‡ | 1,062 | 105 | ||||||
Douglas Emmett Inc ‡ | 3,500 | 63 | ||||||
EastGroup Properties Inc ‡ | 930 | 134 | ||||||
EPR Properties, Cl A ‡ | 7,190 | 258 | ||||||
Equity Residential ‡ | 770 | 52 | ||||||
Essex Property Trust Inc ‡ | 1,071 | 259 | ||||||
Extra Space Storage Inc ‡ | 856 | 148 | ||||||
Federal Realty Investment trustOP LP ‡ | 670 | 60 | ||||||
First Industrial Realty Trust Inc ‡ | 3,610 | 162 | ||||||
Healthcare Realty Trust, Cl A ‡ | 3,470 | 72 | ||||||
Healthpeak Properties Inc ‡ | 3,829 | 88 | ||||||
Highwoods Properties Inc ‡ | 2,949 | 80 | ||||||
Host Hotels & Resorts Inc ‡ | 12,628 | 201 | ||||||
Invitation Homes Inc ‡ | 2,405 | 81 | ||||||
Jones Lang LaSalle Inc *‡ | 1,550 | 234 | ||||||
Lamar Advertising Co, Cl A ‡ | 760 | 63 | ||||||
Mid-America Apartment Communities Inc ‡ | 1,106 | 172 | ||||||
National Retail Properties Inc ‡ | 10,541 | 420 | ||||||
Omega Healthcare Investors Inc ‡ | 4,425 | 130 | ||||||
Park Hotels & Resorts Inc ‡ | 7,770 | 88 | ||||||
Rexford Industrial Realty Inc ‡ | 1,910 | 99 | ||||||
SBA Communications Corp, Cl A ‡ | 1,260 | 359 | ||||||
Simon Property Group Inc ‡ | 3,083 | 277 | ||||||
SL Green Realty Corp ‡ | 1,640 | 66 | ||||||
Spirit Realty Capital Inc ‡ | 3,775 | 136 | ||||||
STORE Capital Corp ‡ | 8,350 | 262 | ||||||
Ventas Inc ‡ | 4,763 | 191 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Welltower Inc ‡ | 1,737 | $ | 112 | |||||
5,444 | ||||||||
Utilities — 6.0% | ||||||||
Alliant Energy Corp | 2,500 | 132 | ||||||
American Water Works Co Inc | 1,980 | 258 | ||||||
CenterPoint Energy Inc | 10,746 | 303 | ||||||
CMS Energy Corp | 1,280 | 75 | ||||||
Consolidated Edison Inc | 810 | 69 | ||||||
DTE Energy Co | 2,111 | 243 | ||||||
Entergy Corp | 3,442 | 346 | ||||||
Evergy Inc | 6,437 | 382 | ||||||
FirstEnergy Corp | 5,373 | 199 | ||||||
Hawaiian Electric Industries Inc | 4,330 | 150 | ||||||
IDACORP Inc, Cl A | 1,502 | 149 | ||||||
National Fuel Gas Co | 4,615 | 284 | ||||||
NiSource Inc | 14,219 | 358 | ||||||
NRG Energy Inc | 4,560 | 175 | ||||||
PPL Corp | 10,580 | 268 | ||||||
UGI Corp | 4,683 | 151 | ||||||
Vistra Corp | 2,460 | 52 | ||||||
WEC Energy Group Inc | 4,039 | 361 | ||||||
Xcel Energy Inc | 2,510 | 161 | ||||||
4,116 | ||||||||
Total Common Stock | ||||||||
(Cost $73,556) ($ Thousands) | 66,561 | |||||||
EXCHANGE TRADED FUND — 0.3% | ||||||||
iShares Russell Mid-Cap Value ETF | 2,070 | 199 | ||||||
Total Exchange Traded Fund | ||||||||
(Cost $224) ($ Thousands) | 199 | |||||||
CASH EQUIVALENT — 3.1% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
2.600%**† | 2,161,454 | 2,161 | ||||||
Total Cash Equivalent | ||||||||
(Cost $2,161) ($ Thousands) | 2,161 | |||||||
Total Investments in Securities — 99.9% | ||||||||
(Cost $75,941) ($ Thousands) | $ | 68,921 | ||||||
124
SEI Institutional Managed Trust / Annual Report / September 30, 2022
A list of the open futures contracts held by the Fund at September 30, 2022, is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Depreciation (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P Mid Cap 400 Index E-MINI | 4 | Dec-2022 | $ | 989 | $ | 883 | $ | (106 | ) |
| Percentages are based on a Net Assets of $68,994 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2022. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
As of September 30, 2022, 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 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, 2022 ($ Thousands):
Security Description | Value 9/30/2021 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/(Depreciation) | Value 9/30/2022 | Shares | Income | Capital Gains | |||||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | — | $ | 340 | $ | (340 | ) | $ | — | $ | — | $ | — | — | $ | 1 | $ | — | ||||||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | 1,223 | 48,193 | (47,255 | ) | — | — | 2,161 | 2,161,454 | 11 | — | ||||||||||||||||||||||||||
Totals | $ | 1,223 | $ | 48,533 | $ | (47,595 | ) | $ | — | $ | — | $ | 2,161 | $ | 12 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
125
SCHEDULE OF INVESTMENTS
September 30, 2022
U.S. Managed Volatility Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Shares | Market Value | ||||||
COMMON STOCK — 97.4% | ||||||||
Communication Services — 6.1% | ||||||||
Advantage Solutions Inc * | 6,689 | $ | 14 | |||||
Alphabet Inc, Cl A * | 15,040 | 1,439 | ||||||
Alphabet Inc, Cl C * | 15,073 | 1,449 | ||||||
AT&T Inc | 397,100 | 6,091 | ||||||
Comcast Corp, Cl A | 153,928 | 4,515 | ||||||
EchoStar Corp, Cl A * | 9,048 | 149 | ||||||
Fox Corp, Cl A | 114,612 | 3,516 | ||||||
Fox Corp, Cl B | 35,449 | 1,010 | ||||||
IMAX Corp * | 9,477 | 134 | ||||||
Interpublic Group of Cos Inc/The | 12,705 | 325 | ||||||
Omnicom Group Inc | 118,736 | 7,491 | ||||||
Playstudios Inc *(A) | 20,626 | 72 | ||||||
Scholastic Corp, Cl B | 5,995 | 185 | ||||||
Shutterstock Inc | 4,465 | 224 | ||||||
SK Telecom Co Ltd ADR | 84,213 | 1,622 | ||||||
United States Cellular Corp * | 630 | 16 | ||||||
Verizon Communications Inc | 440,474 | 16,725 | ||||||
Warner Bros Discovery Inc * | 71,994 | 828 | ||||||
World Wrestling Entertainment Inc, Cl A | 44,230 | 3,104 | ||||||
48,909 | ||||||||
Consumer Discretionary — 7.3% | ||||||||
Arko Corp | 22,999 | 216 | ||||||
AutoZone Inc * | 3,356 | 7,188 | ||||||
Canadian Tire Corp Ltd, Cl A | 23,000 | 2,461 | ||||||
Coursera Inc * | 5,773 | 62 | ||||||
Dollar General Corp | 4,345 | 1,042 | ||||||
DR Horton Inc | 26,000 | 1,751 | ||||||
eBay Inc | 66,799 | 2,459 | ||||||
Gentex Corp | 37,401 | 892 | ||||||
Grand Canyon Education Inc * | 21,460 | 1,765 | ||||||
H&R Block Inc | 150,165 | 6,388 | ||||||
Honda Motor Co Ltd ADR | 145,242 | 3,136 | ||||||
Lowe's Cos Inc | 18,200 | 3,418 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Marriott International Inc/MD, Cl A | 10,160 | $ | 1,424 | |||||
Mattel Inc * | 1,245 | 24 | ||||||
Murphy USA Inc | 19,500 | 5,361 | ||||||
Service Corp International/US | 63,165 | 3,647 | ||||||
Standard Motor Products Inc | 1,702 | 55 | ||||||
Stride Inc * | 4,253 | 179 | ||||||
Sturm Ruger & Co Inc | 61,800 | 3,139 | ||||||
Target Corp, Cl A | 30,300 | 4,496 | ||||||
Toyota Motor Corp ADR (A) | 33,700 | 4,391 | ||||||
Vail Resorts Inc | 8,727 | 1,882 | ||||||
Whirlpool Corp | 20,400 | 2,750 | ||||||
58,126 | ||||||||
Consumer Staples — 17.1% | ||||||||
Altria Group Inc | 117,970 | 4,764 | ||||||
Andersons Inc/The | 8,466 | 263 | ||||||
Archer-Daniels-Midland Co | 64,900 | 5,221 | ||||||
Benson Hill Inc * | 56,800 | 156 | ||||||
BRC Inc, Cl A *(A) | 6,187 | 48 | ||||||
Bunge Ltd | 13,231 | 1,093 | ||||||
Calavo Growers Inc | 1,459 | 46 | ||||||
Cal-Maine Foods Inc | 7,568 | 421 | ||||||
Campbell Soup Co | 94,090 | 4,434 | ||||||
Church & Dwight Co Inc | 38,343 | 2,739 | ||||||
Clorox Co/The | 20,499 | 2,632 | ||||||
Coca-Cola Co/The | 63,303 | 3,546 | ||||||
Coca-Cola Consolidated Inc | 546 | 225 | ||||||
Colgate-Palmolive Co | 64,470 | 4,529 | ||||||
Conagra Brands Inc | 264,317 | 8,625 | ||||||
Costco Wholesale Corp | 5,933 | 2,802 | ||||||
Duckhorn Portfolio Inc/The * | 9,557 | 138 | ||||||
Energizer Holdings Inc | 1,730 | 43 | ||||||
Flowers Foods Inc | 130,308 | 3,217 | ||||||
Fresh Del Monte Produce Inc | 2,281 | 53 | ||||||
General Mills Inc | 151,986 | 11,644 | ||||||
Hain Celestial Group Inc/The * | 3,693 | 62 | ||||||
Herbalife Nutrition Ltd * | 7,175 | 143 | ||||||
Hershey Co/The | 3,472 | 765 | ||||||
Hormel Foods Corp | 69,899 | 3,176 | ||||||
Hostess Brands Inc, Cl A * | 20,093 | 467 | ||||||
Ingles Markets Inc, Cl A | 1,106 | 88 | ||||||
Inter Parfums Inc | 192 | 15 | ||||||
J & J Snack Foods Corp | 2,786 | 361 | ||||||
J M Smucker Co/The | 89,816 | 12,342 | ||||||
John B Sanfilippo & Son | 6,116 | 463 | ||||||
Kellogg Co | 118,840 | 8,278 | ||||||
Keurig Dr Pepper Inc | 37,691 | 1,350 | ||||||
Kimberly-Clark Corp | 7,760 | 873 | ||||||
Kraft Heinz Co/The | 219,400 | 7,317 | ||||||
Kroger Co/The | 327,927 | 14,347 | ||||||
Lancaster Colony Corp | 1,267 | 190 | ||||||
Molson Coors Beverage Co, Cl B | 101,200 | 4,857 | ||||||
National Beverage Corp, Cl A * | 1,229 | 47 |
126
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Natural Grocers by Vitamin Cottage Inc | 4,622 | $ | 50 | |||||
Nu Skin Enterprises Inc, Cl A | 4,066 | 136 | ||||||
PepsiCo Inc | 7,766 | 1,268 | ||||||
Pilgrim's Pride Corp * | 89,326 | 2,056 | ||||||
PriceSmart Inc | 1,060 | 61 | ||||||
Procter & Gamble Co/The | 30,554 | 3,857 | ||||||
Reynolds Consumer Products Inc | 18,700 | 486 | ||||||
Seaboard Corp | 64 | 218 | ||||||
Simply Good Foods Co/The * | 9,161 | 293 | ||||||
SpartanNash Co | 10,003 | 290 | ||||||
Tootsie Roll Industries Inc | 8,692 | 289 | ||||||
Turning Point Brands Inc | 10,972 | 233 | ||||||
Tyson Foods Inc, Cl A | 130,085 | 8,577 | ||||||
Universal Corp/VA | 7,525 | 346 | ||||||
USANA Health Sciences Inc * | 5,168 | 290 | ||||||
Utz Brands Inc | 24,924 | 376 | ||||||
Vector Group Ltd | 29,933 | 264 | ||||||
Village Super Market Inc, Cl A | 10,265 | 198 | ||||||
Vital Farms Inc * | 17,985 | 215 | ||||||
WD-40 Co | 1,798 | 316 | ||||||
Weis Markets Inc | 62,800 | 4,474 | ||||||
Whole Earth Brands Inc * | 39,627 | 152 | ||||||
136,225 | ||||||||
Energy — 3.4% | ||||||||
Arch Resources Inc | 162 | 19 | ||||||
California Resources Corp | 3,981 | 153 | ||||||
Cheniere Energy Inc | 5,442 | 903 | ||||||
Chesapeake Energy Corp | 27,760 | 2,615 | ||||||
Chevron Corp | 49,000 | 7,040 | ||||||
DT Midstream Inc | 23,349 | 1,212 | ||||||
EOG Resources Inc | 1,542 | 172 | ||||||
Exxon Mobil Corp | 95,432 | 8,332 | ||||||
HighPeak Energy Inc (A) | 3,951 | 86 | ||||||
Kinder Morgan Inc | 317,300 | 5,280 | ||||||
Marathon Oil Corp | 40,267 | 909 | ||||||
SFL Corp Ltd | 8,928 | 81 | ||||||
Southwestern Energy Co * | 85,507 | 523 | ||||||
27,325 | ||||||||
Financials — 10.6% | ||||||||
Aflac Inc | 221,967 | 12,475 | ||||||
Alerus Financial Corp | 3,428 | 76 | ||||||
Allstate Corp/The | 79,900 | 9,950 | ||||||
Amalgamated Financial Corp | 7,140 | 161 | ||||||
American Financial Group Inc/OH | 14,800 | 1,819 | ||||||
AMERISAFE Inc | 2,289 | 107 | ||||||
Annaly Capital Management Inc ‡ | 63,275 | 1,086 | ||||||
Axis Capital Holdings Ltd | 22,074 | 1,085 | ||||||
Bank of New York Mellon Corp/The | 198,000 | 7,627 | ||||||
Berkshire Hathaway Inc, Cl B * | 27,300 | 7,290 | ||||||
Blue Ridge Bankshares Inc | 15,967 | 203 | ||||||
Business First Bancshares Inc | 657 | 14 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Byline Bancorp Inc | 5,118 | $ | 104 | |||||
Canadian Imperial Bank of Commerce | 85,800 | 3,775 | ||||||
Cboe Global Markets Inc | 23,418 | 2,749 | ||||||
City Holding Co | 189 | 17 | ||||||
Columbia Financial Inc * | 22,911 | 484 | ||||||
Community Bank System Inc | 5,489 | 330 | ||||||
CVB Financial Corp | 9,968 | 252 | ||||||
Donegal Group Inc, Cl A | 12,750 | 172 | ||||||
Eastern Bankshares Inc | 16,002 | 314 | ||||||
Employers Holdings Inc | 9,925 | 342 | ||||||
Erie Indemnity Co, Cl A | 3,284 | 730 | ||||||
Everest Re Group Ltd | 12,673 | 3,326 | ||||||
Farmers National Banc Corp | 8,060 | 106 | ||||||
First Financial Bankshares Inc, Cl A | 3,256 | 136 | ||||||
First Financial Corp/IN | 6,284 | 284 | ||||||
Five Star Bancorp | 836 | 24 | ||||||
Greenlight Capital Re Ltd, Cl A * | 22,757 | 169 | ||||||
Hanover Insurance Group Inc/The, Cl A | 6,921 | 887 | ||||||
HarborOne Bancorp Inc | 7,453 | 100 | ||||||
Hartford Financial Services Group Inc/The | 69,100 | 4,280 | ||||||
Independent Bank Corp/MI | 1,017 | 19 | ||||||
Intercontinental Exchange Inc | 21,332 | 1,927 | ||||||
Loblaw Cos Ltd | 61,600 | 4,904 | ||||||
MarketAxess Holdings Inc | 7,060 | 1,571 | ||||||
Marsh & McLennan Cos Inc | 20,801 | 3,105 | ||||||
MetLife Inc | 57,100 | 3,471 | ||||||
Midland States Bancorp Inc | 5,574 | 131 | ||||||
Morningstar Inc, Cl A | 7,938 | 1,685 | ||||||
National Bank Holdings Corp, Cl A | 6,100 | 226 | ||||||
NI Holdings Inc * | 1,671 | 22 | ||||||
OceanFirst Financial Corp | 2,130 | 40 | ||||||
Safety Insurance Group Inc | 3,396 | 277 | ||||||
SLM Corp | 5,318 | 74 | ||||||
Stewart Information Services Corp | 3,874 | 169 | ||||||
TPG RE Finance Trust Inc ‡ | 3,486 | 24 | ||||||
Univest Financial Corp | 7,325 | 172 | ||||||
Virtu Financial Inc, Cl A | 130,019 | 2,700 | ||||||
Washington Federal Inc | 79,300 | 2,377 | ||||||
Zions Bancorp NA | 28,443 | 1,447 | ||||||
84,815 | ||||||||
Health Care — 20.6% | ||||||||
4D Molecular Therapeutics Inc * | 1,835 | 15 | ||||||
Abbott Laboratories | 6,401 | 619 | ||||||
AbbVie Inc | 75,588 | 10,145 | ||||||
AbCellera Biologics Inc * | 11,869 | 117 | ||||||
Aclaris Therapeutics Inc * | 10,219 | 161 | ||||||
AdaptHealth Corp, Cl A * | 4,881 | 92 | ||||||
Adicet Bio Inc * | 7,789 | 111 | ||||||
Aerie Pharmaceuticals Inc * | 4,863 | 74 | ||||||
Agilent Technologies Inc | 2,829 | 344 | ||||||
Alkermes PLC * | 982 | 22 | ||||||
Alpine Immune Sciences Inc *(A) | 18,254 | 131 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
127
SCHEDULE OF INVESTMENTS
September 30, 2022
U.S. Managed Volatility Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Amgen Inc, Cl A | 42,500 | $ | 9,580 | |||||
Amphastar Pharmaceuticals Inc * | 7,361 | 207 | ||||||
Anika Therapeutics Inc * | 7,152 | 170 | ||||||
Becton Dickinson and Co | 2,810 | 626 | ||||||
Biogen Inc * | 6,089 | 1,626 | ||||||
Bio-Rad Laboratories Inc, Cl A * | 283 | 118 | ||||||
Bio-Techne Corp | 1,894 | 538 | ||||||
Bristol-Myers Squibb Co | 175,120 | 12,449 | ||||||
Catalyst Pharmaceuticals Inc * | 20,671 | 265 | ||||||
Cigna Corp | 138 | 38 | ||||||
Computer Programs and Systems Inc * | 1,830 | 51 | ||||||
Corcept Therapeutics Inc * | 6,732 | 173 | ||||||
Cross Country Healthcare Inc * | 719 | 20 | ||||||
CVS Health Corp | 119,726 | 11,418 | ||||||
Danaher Corp, Cl A | 8,579 | 2,216 | ||||||
DocGo Inc * | 2,041 | 20 | ||||||
Dynavax Technologies Corp * | 10,904 | 114 | ||||||
Eagle Pharmaceuticals Inc/DE * | 9,374 | 248 | ||||||
Exelixis Inc * | 53,446 | 838 | ||||||
Gilead Sciences Inc | 242,628 | 14,968 | ||||||
Halozyme Therapeutics Inc * | 732 | 29 | ||||||
Harmony Biosciences Holdings Inc * | 4,446 | 197 | ||||||
Henry Schein Inc * | 2,487 | 164 | ||||||
Hologic Inc * | 17,518 | 1,130 | ||||||
Horizon Therapeutics Plc * | 41,295 | 2,556 | ||||||
IDEXX Laboratories Inc * | 629 | 205 | ||||||
Incyte Corp * | 42,397 | 2,825 | ||||||
iRadimed Corp * | 8,227 | 247 | ||||||
Ironwood Pharmaceuticals Inc, Cl A * | 22,391 | 232 | ||||||
iTeos Therapeutics Inc * | 6,344 | 121 | ||||||
Johnson & Johnson | 87,799 | 14,343 | ||||||
Laboratory Corp of America Holdings | 14,400 | 2,949 | ||||||
Masimo Corp * | 6,331 | 894 | ||||||
McKesson Corp | 29,000 | 9,856 | ||||||
Merck & Co Inc | 259,926 | 22,385 | ||||||
Mesa Laboratories Inc | 902 | 127 | ||||||
Mettler-Toledo International Inc * | 759 | 823 | ||||||
Neurocrine Biosciences Inc * | 29,537 | 3,137 | ||||||
Organon & Co | 24,839 | 581 | ||||||
Orthofix Medical Inc * | 1,216 | 23 | ||||||
Pacira BioSciences Inc * | 4,236 | 225 | ||||||
Patterson Cos Inc | 8,521 | 205 | ||||||
PerkinElmer Inc | 1,810 | 218 | ||||||
Pfizer Inc | 355,081 | 15,538 | ||||||
Phibro Animal Health Corp, Cl A | 8,450 | 112 | ||||||
Point Biopharma Global Inc, Cl A * | 4,532 | 35 | ||||||
Premier Inc, Cl A | 77,570 | 2,633 | ||||||
Prestige Consumer Healthcare Inc, Cl A * | 2,007 | 100 | ||||||
QIAGEN NV * | 71,644 | 2,958 | ||||||
Quest Diagnostics Inc | 27,500 | 3,374 | ||||||
Sage Therapeutics Inc * | 3,057 | 120 | ||||||
Tango Therapeutics Inc * | 3,300 | 12 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Thermo Fisher Scientific Inc | 2,307 | $ | 1,170 | |||||
UFP Technologies Inc * | 3,754 | 322 | ||||||
United Therapeutics Corp * | 8,267 | 1,731 | ||||||
Vanda Pharmaceuticals Inc * | 26,865 | 265 | ||||||
Viatris Inc, Cl W * | 288,975 | 2,462 | ||||||
West Pharmaceutical Services Inc | 6,991 | 1,720 | ||||||
Zimmer Biomet Holdings Inc | 8,974 | 938 | ||||||
164,476 | ||||||||
Industrials — 8.7% | ||||||||
3M Co | 26,093 | 2,883 | ||||||
AerSale Corp * | 5,045 | 93 | ||||||
Allison Transmission Holdings Inc | 141,695 | 4,784 | ||||||
AMERCO | 3,441 | 1,752 | ||||||
Barrett Business Services Inc | 480 | 37 | ||||||
Booz Allen Hamilton Holding Corp, Cl A | 12,611 | 1,165 | ||||||
BWX Technologies Inc, Cl W | 11,628 | 586 | ||||||
CBIZ Inc * | 9,093 | 389 | ||||||
CH Robinson Worldwide Inc | 35,240 | 3,394 | ||||||
Cummins Inc | 31,600 | 6,431 | ||||||
Ennis Inc | 15,604 | 314 | ||||||
Expeditors International of Washington Inc | 35,723 | 3,155 | ||||||
Exponent Inc | 525 | 46 | ||||||
Franklin Covey Co * | 2,173 | 99 | ||||||
FTI Consulting Inc * | 20,463 | 3,391 | ||||||
General Dynamics Corp | 10,979 | 2,329 | ||||||
Golden Ocean Group Ltd (A) | 19,649 | 147 | ||||||
Heidrick & Struggles International Inc | 7,375 | 192 | ||||||
Hudson Technologies Inc * | 34,139 | 251 | ||||||
Huntington Ingalls Industries Inc, Cl A | 7,736 | 1,713 | ||||||
Kforce Inc | 3,627 | 213 | ||||||
Landstar System Inc | 6,957 | 1,004 | ||||||
Lockheed Martin Corp | 19,149 | 7,397 | ||||||
ManpowerGroup Inc | 15,472 | 1,001 | ||||||
Miller Industries Inc/TN | 1,507 | 32 | ||||||
Mueller Industries Inc | 2,586 | 154 | ||||||
National Presto Industries | 5,408 | 352 | ||||||
Northrop Grumman Corp | 14,832 | 6,976 | ||||||
Otis Worldwide Corp | 10,404 | 664 | ||||||
Resources Connection Inc | 14,682 | 265 | ||||||
Robert Half International Inc | 26,373 | 2,018 | ||||||
Rollins Inc | 37,951 | 1,316 | ||||||
Schneider National Inc, Cl B | 152,118 | 3,088 | ||||||
Snap-on Inc | 20,400 | 4,108 | ||||||
Toro Co/The | 11,834 | 1,023 | ||||||
TrueBlue Inc * | 5,196 | 99 | ||||||
V2X Inc * | 3,981 | 141 | ||||||
Waste Management Inc | 15,500 | 2,483 | ||||||
Werner Enterprises Inc | 101,288 | 3,808 | ||||||
69,293 | ||||||||
Information Technology — 14.8% | ||||||||
A10 Networks Inc | 18,240 | 242 |
128
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Adeia Inc | 1,825 | $ | 26 | |||||
Adobe Inc * | 140 | 39 | ||||||
Amdocs Ltd | 218,312 | 17,345 | ||||||
Arrow Electronics Inc, Cl A * | 38,000 | 3,503 | ||||||
Autodesk Inc, Cl A * | 2,918 | 545 | ||||||
Automatic Data Processing Inc | 6,364 | 1,439 | ||||||
Aviat Networks Inc * | 5,439 | 149 | ||||||
Avnet Inc | 84,000 | 3,034 | ||||||
Brightcove Inc * | 8,921 | 56 | ||||||
Broadridge Financial Solutions Inc | 11,505 | 1,660 | ||||||
Cadence Design Systems Inc * | 10,231 | 1,672 | ||||||
Canon Inc ADR (A) | 212,800 | 4,639 | ||||||
Cisco Systems Inc | 236,600 | 9,464 | ||||||
Consensus Cloud Solutions Inc * | 11,533 | 545 | ||||||
CSG Systems International Inc | 44,058 | 2,330 | ||||||
E2open Parent Holdings Inc * | 17,751 | 108 | ||||||
GoDaddy Inc, Cl A * | 15,666 | 1,110 | ||||||
Guidewire Software Inc, Cl Z * | 6,158 | 379 | ||||||
Hackett Group Inc/The | 9,794 | 174 | ||||||
Hewlett Packard Enterprise Co | 418,100 | 5,009 | ||||||
Intel Corp | 379,362 | 9,776 | ||||||
InterDigital Inc | 6,798 | 275 | ||||||
International Business Machines Corp | 102,708 | 12,203 | ||||||
Jack Henry & Associates Inc | 1,684 | 307 | ||||||
KnowBe4 Inc, Cl A * | 5,424 | 113 | ||||||
Knowles Corp * | 187,900 | 2,287 | ||||||
Microsoft Corp | 6,927 | 1,613 | ||||||
NetApp Inc | 6,942 | 429 | ||||||
Open Text Corp | 57,000 | 1,515 | ||||||
Oracle Corp, Cl B | 245,528 | 14,994 | ||||||
OSI Systems Inc * | 29,896 | 2,154 | ||||||
Progress Software Corp | 8,096 | 344 | ||||||
QUALCOMM Inc | 5,591 | 632 | ||||||
Sapiens International Corp NV | 11,967 | 230 | ||||||
Seagate Technology Holdings PLC | 106,500 | 5,669 | ||||||
Skyworks Solutions Inc | 12,229 | 1,043 | ||||||
SPS Commerce Inc * | 1,105 | 137 | ||||||
SS&C Technologies Holdings Inc | 7,993 | 382 | ||||||
Synopsys Inc * | 6,460 | 1,974 | ||||||
Upland Software Inc * | 2,843 | 23 | ||||||
Western Union Co/The | 608,574 | 8,216 | ||||||
117,784 | ||||||||
Materials — 3.2% | ||||||||
Ardagh Metal Packaging SA | 25,040 | 121 | ||||||
Balchem Corp | 1,406 | 171 | ||||||
Berry Global Group Inc * | 56,453 | 2,627 | ||||||
International Paper Co | 65,600 | 2,079 | ||||||
NewMarket Corp | 17,959 | 5,403 | ||||||
Packaging Corp of America | 32,800 | 3,683 | ||||||
Sealed Air Corp | 43,200 | 1,923 | ||||||
Silgan Holdings Inc | 155,186 | 6,524 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Sonoco Products Co | 46,200 | $ | 2,621 | |||||
25,152 | ||||||||
Real Estate — 0.7% | ||||||||
Agree Realty Corp ‡ | 3,126 | 211 | ||||||
Broadstone Net Lease Inc, Cl A ‡ | 15,122 | 235 | ||||||
BRT Apartments Corp ‡ | 11,548 | 235 | ||||||
City Office REIT Inc ‡ | 11,287 | 112 | ||||||
Easterly Government Properties Inc, Cl A ‡ | 5,111 | 81 | ||||||
Equity Commonwealth *‡ | 16,655 | 406 | ||||||
Jones Lang LaSalle Inc * | 8,062 | 1,218 | ||||||
Postal Realty Trust Inc, Cl A ‡ | 29,590 | 434 | ||||||
Public Storage ‡ | 8,782 | 2,571 | ||||||
RMR Group Inc/The, Cl A | 9,071 | 215 | ||||||
5,718 | ||||||||
Utilities — 4.9% | ||||||||
American States Water Co | 5,843 | 455 | ||||||
Artesian Resources Corp, Cl A | 5,040 | 242 | ||||||
Avista Corp | 4,419 | 164 | ||||||
Black Hills Corp, Cl A | 3,328 | 225 | ||||||
Chesapeake Utilities Corp | 3,721 | 429 | ||||||
Consolidated Edison Inc | 9,926 | 851 | ||||||
DTE Energy Co | 23,300 | 2,681 | ||||||
Entergy Corp | 29,700 | 2,989 | ||||||
Evergy Inc | 172,200 | 10,229 | ||||||
Exelon Corp | 61,000 | 2,285 | ||||||
Hawaiian Electric Industries Inc | 11,878 | 412 | ||||||
MGE Energy Inc | 1,980 | 130 | ||||||
National Fuel Gas Co | 116,469 | 7,169 | ||||||
New Jersey Resources Corp | 336 | 13 | ||||||
Northwest Natural Holding Co | 4,426 | 192 | ||||||
NorthWestern Corp | 2,224 | 110 | ||||||
Otter Tail Corp | 32,688 | 2,011 | ||||||
Portland General Electric Co | 118,800 | 5,163 | ||||||
SJW Group | 3,675 | 212 | ||||||
Spire | 4,893 | 305 | ||||||
UGI Corp | 76,500 | 2,473 | ||||||
Unitil Corp | 5,006 | 232 | ||||||
38,972 | ||||||||
Total Common Stock | ||||||||
(Cost $702,101) ($ Thousands) | 776,795 | |||||||
AFFILIATED PARTNERSHIP — 1.0% | ||||||||
SEI Liquidity Fund, LP | ||||||||
2.930% **†(B) | 7,815,959 | 7,816 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $7,817) ($ Thousands) | 7,816 | |||||||
SEI Institutional Managed Trust / Annual Report / September 30, 2022
129
SCHEDULE OF INVESTMENTS
September 30, 2022
U.S. Managed Volatility Fund (Concluded)
Description | Shares | Market Value | ||||||
CASH EQUIVALENT — 1.2% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
2.600%**† | 9,946,549 | $ | 9,947 | |||||
Total Cash Equivalent | ||||||||
(Cost $9,947) ($ Thousands) | 9,947 | |||||||
Total Investments in Securities — 99.6% | ||||||||
(Cost $719,865) ($ Thousands) | $ | 794,558 | ||||||
A list of the open futures contracts held by the Fund at September 30, 2022, is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Depreciation (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 Index E-MINI | 70 | Dec-2022 | $ | 13,061 | $ | 12,605 | $ | (456 | ) |
| Percentages are based on a Net Assets of $797,442 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2022. |
‡ | 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, 2022 (see Note 12). The total market value of securities on loan at September 30, 2022, was $7,508 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of September 30, 2022 was $7,816 ($ Thousands). |
The following is a summary of the level of inputs used as of September 30, 2022, 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 | 776,795 | – | – | 776,795 | ||||||||||||
Affiliated Partnership | – | 7,816 | – | 7,816 | ||||||||||||
Cash Equivalent | 9,947 | – | – | 9,947 | ||||||||||||
Total Investments in Securities | 786,742 | 7,816 | – | 794,558 |
Other Financial Instruments | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | (456 | ) | – | – | (456 | ) | ||||||||||
Total Other Financial Instruments | (456 | ) | – | – | (456 | ) |
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
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, 2022 ($ Thousands):
Security Description | Value 9/30/2021 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 9/30/2022 | Shares | Income | Capital Gains | |||||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 9,275 | $ | 54,801 | $ | (56,259 | ) | $ | — | $ | (1 | ) | $ | 7,816 | 7,815,959 | $ | 48 | $ | — | |||||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | 13,076 | 236,167 | (239,296 | ) | — | — | 9,947 | 9,946,549 | 105 | — | ||||||||||||||||||||||||||
Totals | $ | 22,351 | $ | 290,968 | $ | (295,555 | ) | $ | — | $ | (1 | ) | $ | 17,763 | $ | 153 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
130
SEI Institutional Managed Trust / Annual Report / September 30, 2022
SCHEDULE OF INVESTMENTS
September 30, 2022
Global Managed Volatility Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Shares | Market Value | ||||||
COMMON STOCK — 97.5% | ||||||||
Australia — 0.4% | ||||||||
Coles Group Ltd | 31,635 | $ | 335 | |||||
Glencore PLC | 120,052 | 631 | ||||||
Newcrest Mining Ltd | 34,166 | 377 | ||||||
Orica Ltd | 5,444 | 47 | ||||||
Rio Tinto Ltd | 26,791 | 1,629 | ||||||
Telstra Corp Ltd, Cl B | 71,362 | 177 | ||||||
3,196 | ||||||||
Austria — 0.0% | ||||||||
Oberbank AG | 81 | 8 | ||||||
Telekom Austria AG, Cl A | 44,848 | 259 | ||||||
267 | ||||||||
Belgium — 0.4% | ||||||||
Ageas SA/NV | 21,222 | 774 | ||||||
Deme Group NV * | 667 | 69 | ||||||
Etablissements Franz Colruyt NV | 24,942 | 548 | ||||||
Solvay SA | 20,355 | 1,575 | ||||||
2,966 | ||||||||
Brazil — 0.2% | ||||||||
Yara International ASA | 52,707 | 1,848 | ||||||
Canada — 4.2% | ||||||||
Atco Ltd/Canada, Cl I | 2,500 | 77 | ||||||
BCE Inc (A) | 147,478 | 6,185 | ||||||
Canadian Utilities Ltd, Cl A | 78,800 | 2,061 | ||||||
Dollarama Inc | 14,300 | 825 | ||||||
Emera Inc | 134,100 | 5,455 | ||||||
Empire Co Ltd, Cl A | 52,400 | 1,310 | ||||||
Fortis Inc/Canada | 44,300 | 1,692 | ||||||
George Weston Ltd | 39,921 | 4,202 | ||||||
Loblaw Cos Ltd | 65,526 | 5,216 | ||||||
Metro Inc/CN, Cl A | 22,600 | 1,138 | ||||||
Nutrien Ltd | 2,800 | 235 | ||||||
Tourmaline Oil Corp | 37,700 | 1,970 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Waste Connections Inc | 25,600 | $ | 3,477 | |||||
33,843 | ||||||||
China — 0.7% | ||||||||
BOC Hong Kong Holdings Ltd | 1,053,500 | 3,504 | ||||||
CITIC Telecom International Holdings Ltd | 1,597,000 | 516 | ||||||
Kerry Logistics Network Ltd | 135,554 | 217 | ||||||
Wilmar International Ltd | 433,000 | 1,153 | ||||||
5,390 | ||||||||
Denmark — 0.9% | ||||||||
AP Moller - Maersk A/S, Cl B | 42 | 76 | ||||||
Carlsberg AS, Cl B | 22,777 | 2,662 | ||||||
Danske Bank A/S * | 75,885 | 944 | ||||||
Novo Nordisk A/S, Cl B | 35,981 | 3,583 | ||||||
7,265 | ||||||||
Finland — 1.0% | ||||||||
Elisa Oyj | 122,658 | 5,556 | ||||||
Orion Oyj, Cl A | 259 | 11 | ||||||
Orion Oyj, Cl B | 26,878 | 1,131 | ||||||
Sampo Oyj, Cl A | 27,138 | 1,158 | ||||||
7,856 | ||||||||
France — 1.7% | ||||||||
ABC arbitrage | 4,265 | 27 | ||||||
Air Liquide SA | 7,580 | 866 | ||||||
Bureau Veritas SA | 9,397 | 210 | ||||||
Carrefour SA | 185,952 | 2,578 | ||||||
Orange SA | 398,206 | 3,600 | ||||||
Pernod Ricard SA | 1,407 | 258 | ||||||
Sanofi | 85,944 | 6,542 | ||||||
14,081 | ||||||||
Germany — 0.1% | ||||||||
Bayerische Motoren Werke AG | 10,464 | 709 | ||||||
Commerzbank AG * | 28,234 | 201 | ||||||
McKesson Europe AG | 874 | 17 | ||||||
927 | ||||||||
Hong Kong — 2.9% | ||||||||
CK Hutchison Holdings Ltd | 63,161 | 348 | ||||||
CK Infrastructure Holdings Ltd | 316,000 | 1,612 | ||||||
CLP Holdings Ltd, Cl B | 853,156 | 6,448 | ||||||
Dah Sing Banking Group Ltd | 108,898 | 72 | ||||||
HK Electric Investments & HK Electric Investments Ltd | 2,631,315 | 1,843 | ||||||
HKT Trust & HKT Ltd | 2,767,000 | 3,240 | ||||||
Langham Hospitality Investments and Langham Hospitality Investments Ltd ‡ | 425,500 | 43 | ||||||
Link REIT ‡ | 135,200 | 944 | ||||||
Miramar Hotel & Investment | 49,000 | 75 | ||||||
MTR Corp Ltd | 118,500 | 543 | ||||||
New World Development Co Ltd ‡ | 345,000 | 980 | ||||||
PCCW Ltd | 4,732,000 | 2,135 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
131
SCHEDULE OF INVESTMENTS
September 30, 2022
Global Managed Volatility Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Power Assets Holdings Ltd | 964,000 | $ | 4,832 | |||||
Prosperity REIT ‡ | 126,000 | 32 | ||||||
Regal Hotels International Holdings Ltd * | 158,182 | 59 | ||||||
SmarTone Telecommunications Holdings Ltd | 118,020 | 62 | ||||||
VTech Holdings Ltd | 58,569 | 336 | ||||||
WH Group Ltd | 478,000 | 300 | ||||||
23,904 | ||||||||
Ireland — 0.3% | ||||||||
Kerry Group PLC, Cl A | 25,073 | 2,234 | ||||||
Israel — 2.3% | ||||||||
Bank Hapoalim BM | 284,519 | 2,408 | ||||||
Bank Leumi Le-Israel BM | 419,890 | 3,595 | ||||||
Bezeq The Israeli Telecommunication Corp Ltd | 762,886 | 1,250 | ||||||
Check Point Software Technologies Ltd * | 71,994 | 8,065 | ||||||
First International Bank Of Israel Ltd/The | 24,926 | 1,011 | ||||||
ICL Group Ltd | 131,062 | 1,053 | ||||||
Isracard Ltd | 5 | – | ||||||
Nice Ltd * | 2,924 | 552 | ||||||
Radware Ltd * | 29,598 | 645 | ||||||
Rami Levy Chain Stores Hashikma Marketing 2006 Ltd | 2,332 | 167 | ||||||
18,746 | ||||||||
Italy — 0.6% | ||||||||
ACEA SpA | 28,012 | 304 | ||||||
Iren SpA | 1,004,960 | 1,324 | ||||||
Italgas SpA | 28,912 | 134 | ||||||
Orsero SpA | 2,595 | 37 | ||||||
Recordati Industria Chimica e Farmaceutica SpA | 10,314 | 377 | ||||||
Snam SpA | 718,125 | 2,902 | ||||||
TXT e-solutions SpA * | 5,101 | 56 | ||||||
5,134 | ||||||||
Japan — 8.0% | ||||||||
Achilles Corp | 2,500 | 23 | ||||||
Ahjikan Co Ltd | 1,800 | 11 | ||||||
Aichi Electric Co Ltd | 600 | 13 | ||||||
Akita Bank Ltd | 2,000 | 22 | ||||||
Alinco Inc | 2,700 | 17 | ||||||
Anritsu Corp (A) | 35,500 | 386 | ||||||
Araya Industrial Co Ltd | 2,600 | 30 | ||||||
Arcs Co Ltd | 38,300 | 547 | ||||||
Asante Inc | 5,100 | 53 | ||||||
Autobacs Seven Co Ltd | 33,200 | 321 | ||||||
Axial Retailing Inc | 2,300 | 52 | ||||||
Belc Co Ltd | 4,300 | 160 | ||||||
Calbee Inc | 19,600 | 420 | ||||||
Canon Inc | 25,800 | 564 | ||||||
Canon Marketing Japan Inc | 7,100 | 157 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Cawachi Ltd | 27,300 | $ | 402 | |||||
C'BON COSMETICS Co Ltd | 1,100 | 12 | ||||||
CI Takiron Corp | 11,600 | 42 | ||||||
Computer Engineering & Consulting Ltd | 18,100 | 184 | ||||||
CONEXIO Corp | 4,800 | 39 | ||||||
Create Medic Co Ltd | 5,677 | 35 | ||||||
Dai Nippon Toryo Co Ltd | 7,800 | 39 | ||||||
Earth Corp | 21,200 | 760 | ||||||
Eizo Corp | 8,600 | 216 | ||||||
Ezaki Glico Co Ltd | 5,500 | 136 | ||||||
FAN Communications Inc | 8,000 | 23 | ||||||
FJ Next Holdings Co Ltd | 6,400 | 45 | ||||||
Fujicco Co Ltd (A) | 22,500 | 297 | ||||||
Fujiya Co Ltd | 8,200 | 139 | ||||||
Fukuda Denshi Co Ltd | 100 | 5 | ||||||
Gakken Holdings Co Ltd | 5,300 | 35 | ||||||
Gakkyusha Co Ltd | 5,600 | 63 | ||||||
Hagihara Industries Inc | 9,300 | 67 | ||||||
Heiwado Co Ltd | 10,000 | 138 | ||||||
Hitachi Ltd | 569 | 24 | ||||||
Hitachi Metals Ltd * | 154,100 | 2,318 | ||||||
Hokkaido Gas Co Ltd * | 2,400 | 26 | ||||||
Hokuto Corp | 57,900 | 759 | ||||||
Inpex Corp | 12,500 | 117 | ||||||
Itochu-Shokuhin Co Ltd | 2,003 | 67 | ||||||
Japan Oil Transportation Co Ltd | 2,100 | 33 | ||||||
Japan Tobacco Inc | 384,100 | 6,311 | ||||||
JSP Corp | 6,600 | 64 | ||||||
Kaken Pharmaceutical Co Ltd | 23,200 | 611 | ||||||
Kakiyasu Honten Co Ltd | 1,131 | 18 | ||||||
Kato Sangyo Co Ltd | 27,200 | 628 | ||||||
KDDI Corp | 219,100 | 6,405 | ||||||
Kenedix Retail REIT Corp ‡ | 162 | 299 | ||||||
Key Coffee Inc | 1,800 | 26 | ||||||
Komeri Co Ltd | 2,800 | 53 | ||||||
Kyokuyo Co Ltd | 5,100 | 127 | ||||||
KYORIN Holdings Inc | 104,700 | 1,280 | ||||||
Maezawa Kasei Industries Co Ltd | 2,400 | 21 | ||||||
Marimo Regional Revitalization REIT Inc ‡ | 75 | 68 | ||||||
Marubeni Corp | 122,300 | 1,067 | ||||||
Marvelous Inc * | 5,300 | 24 | ||||||
McDonald's Holdings Co Japan Ltd | 5,800 | 202 | ||||||
Megmilk Snow Brand Co Ltd | 4,900 | 58 | ||||||
Ministop Co Ltd | 4,700 | 46 | ||||||
Miroku Jyoho Service Co Ltd | 6,500 | 65 | ||||||
Mitsubishi Corp | 32,200 | 881 | ||||||
Mitsubishi Shokuhin Co Ltd | 18,900 | 426 | ||||||
Mitsui & Co Ltd | 23,800 | 506 | ||||||
MIXI Inc (A) | 10,900 | 173 | ||||||
Miyoshi Oil & Fat Co Ltd | 16,300 | 112 | ||||||
Mochida Pharmaceutical Co Ltd | 6,100 | 142 | ||||||
Mori Hills REIT Investment Corp ‡ | 165 | 179 |
132
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Mori Trust Sogo Reit Inc ‡ | 42 | $ | 40 | |||||
Morinaga Milk Industry Co Ltd | 4,000 | 117 | ||||||
Morozoff Ltd | 1,200 | 31 | ||||||
Musashi Co Ltd | 2,400 | 24 | ||||||
Natori Co Ltd | 500 | 7 | ||||||
NEC Capital Solutions Ltd | 1,600 | 23 | ||||||
Nichirei Corp | 6,100 | 101 | ||||||
Nichirin Co Ltd | 2,600 | 27 | ||||||
Nihon Chouzai Co Ltd | 25,200 | 220 | ||||||
Nikko Co Ltd/Hyogo | 5,600 | 23 | ||||||
Nippn Corp | 111,234 | 1,194 | ||||||
Nippon Air Conditioning Services Co Ltd | 4,300 | 22 | ||||||
Nippon BS Broadcasting Corp | 1,700 | 11 | ||||||
NIPPON EXPRESS HOLDINGS INC | 38,900 | 1,977 | ||||||
NIPPON REIT Investment Corp ‡ | 76 | 194 | ||||||
Nippon Telegraph & Telephone Corp | 307,800 | 8,301 | ||||||
Nisshin Oillio Group Ltd/The | 12,152 | 268 | ||||||
Nissin Foods Holdings Co Ltd | 3,700 | 257 | ||||||
Nittoc Construction Co Ltd | 17,600 | 109 | ||||||
Ohsho Food Service Corp | 2,000 | 88 | ||||||
Okinawa Cellular Telephone Co | 7,000 | 123 | ||||||
Okinawa Electric Power Co Inc/The * | 35,000 | 256 | ||||||
Ooedo Onsen Reit Investment Corp ‡ | 67 | 30 | ||||||
Osaki Electric Co Ltd | 13,700 | 47 | ||||||
Otsuka Holdings Co Ltd | 31,100 | 985 | ||||||
OUG Holdings Inc | 2,236 | 42 | ||||||
Plenus Co Ltd | 3,000 | 40 | ||||||
San Holdings Inc | 3,800 | 44 | ||||||
San ju San Financial Group Inc | 3,700 | 36 | ||||||
San-A Co Ltd, Cl A | 13,200 | 398 | ||||||
Sankyo Co Ltd | 33,700 | 1,020 | ||||||
Shinmaywa Industries Ltd | 22,800 | 153 | ||||||
Showa Sangyo Co Ltd | 18,600 | 319 | ||||||
SKY Perfect JSAT Holdings Inc | 180,700 | 647 | ||||||
SoftBank Corp (A) | 597,800 | 5,969 | ||||||
SRA Holdings | 5,000 | 103 | ||||||
ST Corp | 5,400 | 56 | ||||||
Sugi Holdings Co Ltd | 7,300 | 293 | ||||||
Sumitomo Corp | 160,500 | 1,983 | ||||||
Sundrug Co Ltd | 51,800 | 1,260 | ||||||
Suzuden Corp | 2,100 | 30 | ||||||
Takamatsu Construction Group Co Ltd | 6,300 | 82 | ||||||
Takasago International Corp | 2,300 | 42 | ||||||
Takeda Pharmaceutical Co Ltd | 38,300 | 994 | ||||||
Teijin Ltd | 6,400 | 62 | ||||||
Tekken Corp | 6,000 | 73 | ||||||
Toho Holdings Co Ltd | 3,311 | 44 | ||||||
TOKAI Holdings Corp | 35,200 | 212 | ||||||
Tokyo Gas Co Ltd | 28,700 | 484 | ||||||
Trend Micro Inc/Japan * | 114,200 | 6,151 | ||||||
Unicafe Inc *(A) | 6,400 | 41 | ||||||
United Super Markets Holdings Inc | 101,800 | 743 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Uoriki Co Ltd | 3,100 | $ | 43 | |||||
Valor Holdings Co Ltd | 6,500 | 80 | ||||||
Vital KSK Holdings Inc | 46,400 | 208 | ||||||
Wowow Inc | 19,124 | 176 | ||||||
XYMAX REIT Investment Corp ‡ | 105 | 89 | ||||||
Yaoko Co Ltd | 6,100 | 277 | ||||||
Yokorei Co Ltd | 21,200 | 129 | ||||||
65,387 | ||||||||
Netherlands — 1.7% | ||||||||
Heineken Holding NV | 1,881 | 129 | ||||||
JDE Peet's NV | 15,328 | 448 | ||||||
Koninklijke Ahold Delhaize NV | 151,653 | 3,861 | ||||||
Koninklijke KPN NV | 633,337 | 1,713 | ||||||
OCI NV | 26,860 | 983 | ||||||
Shell PLC | 95,963 | 2,393 | ||||||
Wolters Kluwer NV | 45,110 | 4,391 | ||||||
13,918 | ||||||||
New Zealand — 0.6% | ||||||||
Auckland International Airport Ltd * | 87,157 | 353 | ||||||
Freightways Ltd | 64,062 | 355 | ||||||
Manawa Energy Ltd | 8,293 | 27 | ||||||
Mercury NZ Ltd | 18,110 | 58 | ||||||
Spark New Zealand Ltd | 1,377,583 | 3,896 | ||||||
Vector Ltd | 16,407 | 37 | ||||||
4,726 | ||||||||
Norway — 1.5% | ||||||||
AF Gruppen ASA | 449 | 6 | ||||||
Bouvet ASA | 2,334 | 12 | ||||||
Equinor ASA | 207,947 | 6,852 | ||||||
Gjensidige Forsikring ASA | 9,038 | 155 | ||||||
Orkla ASA | 216,768 | 1,574 | ||||||
Sparebank 1 Oestlandet | 3,854 | 38 | ||||||
SpareBank 1 Sorost-Norge | 3,479 | 16 | ||||||
SpareBank 1 SR-Bank ASA | 3,367 | 32 | ||||||
Sparebanken Vest | 8,999 | 68 | ||||||
Telenor ASA (A) | 387,209 | 3,541 | ||||||
Veidekke ASA | 21,684 | 162 | ||||||
12,456 | ||||||||
Portugal — 0.7% | ||||||||
Corticeira Amorim SGPS SA | 6,549 | 58 | ||||||
Jeronimo Martins SGPS SA | 207,913 | 3,871 | ||||||
Navigator Co SA/The | 192,891 | 657 | ||||||
NOS SGPS SA | 63,602 | 208 | ||||||
REN - Redes Energeticas Nacionais SGPS SA | 471,024 | 1,113 | ||||||
5,907 | ||||||||
Singapore — 0.8% | ||||||||
Bukit Sembawang Estates Ltd ‡ | 11,000 | 35 | ||||||
Fraser and Neave Ltd | 20,400 | 17 | ||||||
Jardine Cycle & Carriage Ltd | 60,000 | 1,405 | ||||||
Jardine Matheson Holdings Ltd | 32,300 | 1,633 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
133
SCHEDULE OF INVESTMENTS
September 30, 2022
Global Managed Volatility Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Kimly Ltd | 90,400 | $ | 21 | |||||
Sheng Siong Group Ltd | 1,367,374 | 1,506 | ||||||
Singapore Exchange Ltd | 259,300 | 1,703 | ||||||
Singapore Technologies Engineering Ltd | 206,400 | 513 | ||||||
6,833 | ||||||||
Spain — 0.7% | ||||||||
Banco Bilbao Vizcaya Argentaria SA | 95,851 | 430 | ||||||
Banco Santander SA | 23,026 | 54 | ||||||
Cia de Distribucion Integral Logista Holdings SA | 29,542 | 538 | ||||||
Corp Financiera Alba SA | 1,963 | 83 | ||||||
Endesa SA | 37,373 | 561 | ||||||
Red Electrica Corp SA | 247,820 | 3,802 | ||||||
5,468 | ||||||||
Sweden — 1.1% | ||||||||
Axfood AB | 211,095 | 4,837 | ||||||
Essity AB, Cl B | 47,942 | 947 | ||||||
Swedish Orphan Biovitrum AB * | 34,105 | 659 | ||||||
Telefonaktiebolaget LM Ericsson, Cl B | 66,465 | 389 | ||||||
Telia Co AB | 698,023 | 2,010 | ||||||
8,842 | ||||||||
Switzerland — 4.8% | ||||||||
AEVIS VICTORIA SA | 1,211 | 23 | ||||||
Allreal Holding AG ‡ | 3,340 | 466 | ||||||
Berner Kantonalbank AG | 248 | 54 | ||||||
BKW AG | 5,456 | 652 | ||||||
Emmi AG | 346 | 269 | ||||||
Intershop Holding AG ‡ | 64 | 40 | ||||||
Luzerner Kantonalbank AG | 118 | 49 | ||||||
Nestle SA | 52,811 | 5,726 | ||||||
Novartis AG | 95,835 | 7,324 | ||||||
Plazza AG ‡ | 133 | 44 | ||||||
PSP Swiss Property AG ‡ | 51,815 | 5,192 | ||||||
Roche Holding AG | 24,006 | 7,962 | ||||||
Sonova Holding AG | 12,263 | 2,705 | ||||||
St Galler Kantonalbank AG | 625 | 287 | ||||||
Swisscom AG | 17,778 | 8,345 | ||||||
TX Group AG | 316 | 39 | ||||||
Zug Estates Holding AG, Cl B ‡ | 3 | 5 | ||||||
39,182 | ||||||||
United Kingdom — 4.6% | ||||||||
Alliance Pharma PLC | 15,630 | 10 | ||||||
British Land Co PLC/The ‡ | 94,402 | 365 | ||||||
Bunzl PLC | 41,823 | 1,277 | ||||||
Diageo PLC | 3,467 | 146 | ||||||
Genus PLC | 5,958 | 173 | ||||||
GSK PLC | 332,356 | 4,799 | ||||||
HSBC Holdings PLC | 586,895 | 3,038 | ||||||
IG Group Holdings PLC | 28,721 | 243 | ||||||
Imperial Brands PLC | 261,985 | 5,386 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Liberty Global PLC, Cl A * | 28,939 | $ | 451 | |||||
Liberty Global PLC, Cl C * | 53,863 | 889 | ||||||
National Grid PLC | 14,786 | 152 | ||||||
Reckitt Benckiser Group PLC | 61,432 | 4,071 | ||||||
RELX PLC | 230,133 | 5,622 | ||||||
Sage Group PLC/The | 405,948 | 3,128 | ||||||
Shell PLC | 155,576 | 3,859 | ||||||
Spirent Communications PLC | 56,223 | 163 | ||||||
Standard Chartered PLC | 25,733 | 161 | ||||||
Tesco PLC | 920,270 | 2,112 | ||||||
Unilever PLC | 23,783 | 1,045 | ||||||
37,090 | ||||||||
United States — 57.3% | ||||||||
3M Co | 15,219 | 1,682 | ||||||
AbbVie Inc | 52,221 | 7,009 | ||||||
Advance Auto Parts Inc | 4,493 | 702 | ||||||
Allscripts Healthcare Solutions Inc * | 18,511 | 282 | ||||||
Alphabet Inc, Cl A * | 48,730 | 4,661 | ||||||
Alphabet Inc, Cl C * | 17,340 | 1,667 | ||||||
Altria Group Inc | 89,391 | 3,609 | ||||||
Amcor PLC | 433,917 | 4,656 | ||||||
Amdocs Ltd | 75,235 | 5,977 | ||||||
AMERCO * | 709 | 361 | ||||||
American Business Bank * | 1,369 | 54 | ||||||
American Electric Power Co Inc | 24,246 | 2,096 | ||||||
American Software Inc/GA, Cl A | 2,317 | 36 | ||||||
AMETEK Inc | 1,257 | 142 | ||||||
Amgen Inc, Cl A | 35,555 | 8,014 | ||||||
Aon PLC, Cl A | 7,297 | 1,955 | ||||||
Apple Inc | 45,559 | 6,296 | ||||||
AptarGroup Inc | 15,356 | 1,459 | ||||||
Arrow Electronics Inc, Cl A * | 19,194 | 1,769 | ||||||
Ashland Inc | 3,510 | 333 | ||||||
AT&T Inc | 291,376 | 4,470 | ||||||
AutoZone Inc * | 3,599 | 7,709 | ||||||
Avnet Inc | 16,532 | 597 | ||||||
Becton Dickinson and Co | 10,910 | 2,431 | ||||||
Berkshire Hathaway Inc, Cl A * | 11 | 4,471 | ||||||
Berkshire Hathaway Inc, Cl B * | 10,147 | 2,709 | ||||||
Bio-Rad Laboratories Inc, Cl A * | 8,030 | 3,350 | ||||||
BlackRock TCP Capital Corp | 7,332 | 80 | ||||||
Bristol-Myers Squibb Co | 74,587 | 5,302 | ||||||
Broadcom Inc | 1,476 | 655 | ||||||
Brown & Brown Inc | 15,200 | 919 | ||||||
Cadence Design Systems Inc * | 8,407 | 1,374 | ||||||
Campbell Soup Co | 68,397 | 3,223 | ||||||
Casey's General Stores Inc | 7,894 | 1,599 | ||||||
Cboe Global Markets Inc | 23,313 | 2,736 | ||||||
CF Industries Holdings Inc | 27,785 | 2,674 | ||||||
CH Robinson Worldwide Inc | 40,023 | 3,855 | ||||||
Chemed Corp | 10,825 | 4,726 | ||||||
Church & Dwight Co Inc | 118,550 | 8,469 |
134
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Ciena Corp * | 55,597 | $ | 2,248 | |||||
Cigna Corp | 6,966 | 1,933 | ||||||
Cisco Systems Inc | 197,494 | 7,900 | ||||||
Clorox Co/The | 19,529 | 2,507 | ||||||
CME Group Inc, Cl A | 6,275 | 1,112 | ||||||
Coca-Cola Co/The | 99,581 | 5,579 | ||||||
Colgate-Palmolive Co | 101,625 | 7,139 | ||||||
Comcast Corp, Cl A | 8,307 | 244 | ||||||
CommVault Systems Inc * | 59,847 | 3,174 | ||||||
Computer Programs and Systems Inc * | 3,066 | 85 | ||||||
Conagra Brands Inc | 2,371 | 77 | ||||||
Consolidated Edison Inc | 23,418 | 2,008 | ||||||
Costco Wholesale Corp | 19,009 | 8,977 | ||||||
Crane Holdings Co | 42,859 | 3,752 | ||||||
CVS Health Corp | 26,200 | 2,499 | ||||||
Dell Technologies Inc, Cl C | 10,610 | 363 | ||||||
Dolby Laboratories Inc, Cl A | 34,396 | 2,241 | ||||||
Dollar General Corp | 2,668 | 640 | ||||||
Dollar Tree Inc * | 14,460 | 1,968 | ||||||
Domino's Pizza Inc | 10,167 | 3,154 | ||||||
DTE Energy Co | 51,056 | 5,874 | ||||||
Duke Energy Corp | 58,999 | 5,488 | ||||||
Ecolab Inc | 31,428 | 4,539 | ||||||
Ennis Inc | 4,803 | 96 | ||||||
EOG Resources Inc | 2,004 | 224 | ||||||
Everest Re Group Ltd | 2,635 | 692 | ||||||
Exelon Corp | 39,512 | 1,480 | ||||||
Expeditors International of Washington Inc | 47,526 | 4,197 | ||||||
Exxon Mobil Corp | 7,131 | 623 | ||||||
Fair Isaac Corp * | 5,805 | 2,392 | ||||||
Flowers Foods Inc | 175,867 | 4,342 | ||||||
FMC Corp | 9,445 | 998 | ||||||
Fortinet Inc * | 12,019 | 590 | ||||||
Fox Corp, Cl A | 52,087 | 1,598 | ||||||
Fox Corp, Cl B | 51,090 | 1,456 | ||||||
General Dynamics Corp | 14,188 | 3,010 | ||||||
General Mills Inc | 143,152 | 10,967 | ||||||
Genuine Parts Co | 2,648 | 395 | ||||||
Gilead Sciences Inc | 179,698 | 11,086 | ||||||
Graco Inc | 17,242 | 1,034 | ||||||
Graham Holdings Co, Cl B | 1,503 | 809 | ||||||
Grand Canyon Education Inc * | 7,818 | 643 | ||||||
Henry Schein Inc * | 26,827 | 1,764 | ||||||
Hershey Co/The | 48,185 | 10,623 | ||||||
HF Sinclair Corp | 98,327 | 5,294 | ||||||
Hologic Inc * | 4,389 | 283 | ||||||
Hormel Foods Corp | 23,330 | 1,060 | ||||||
Incyte Corp * | 43,586 | 2,904 | ||||||
Intercontinental Exchange Inc | 64,065 | 5,788 | ||||||
InterDigital Inc | 2,441 | 99 | ||||||
International Business Machines Corp | 21,660 | 2,573 | ||||||
J M Smucker Co/The | 30,046 | 4,129 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Jack Henry & Associates Inc | 7,815 | $ | 1,424 | |||||
Jacobs Solutions Inc | 19,602 | 2,127 | ||||||
John B Sanfilippo & Son Inc | 7,496 | 568 | ||||||
Johnson & Johnson | 68,222 | 11,145 | ||||||
Juniper Networks Inc | 279,235 | 7,294 | ||||||
Kellogg Co | 108,918 | 7,587 | ||||||
Keysight Technologies Inc * | 3,442 | 542 | ||||||
Kimberly-Clark Corp | 78,717 | 8,859 | ||||||
Knight-Swift Transportation Holdings Inc, Cl A | 635 | 31 | ||||||
Kroger Co/The | 84,855 | 3,713 | ||||||
Liberty Media Corp-Liberty Braves * | 3,311 | 91 | ||||||
Lockheed Martin Corp | 7,163 | 2,767 | ||||||
Marsh & McLennan Cos Inc | 46,568 | 6,952 | ||||||
McCormick & Co Inc/MD | 1,515 | 108 | ||||||
McKesson Corp | 22,786 | 7,744 | ||||||
Merck & Co Inc | 23,440 | 2,019 | ||||||
Microsoft Corp | 28,838 | 6,716 | ||||||
Molina Healthcare Inc * | 4,335 | 1,430 | ||||||
Mondelez International Inc, Cl A | 119,899 | 6,574 | ||||||
National HealthCare Corp | 3,231 | 205 | ||||||
Nelnet Inc, Cl A | 644 | 51 | ||||||
NetApp Inc | 14,925 | 923 | ||||||
NetScout Systems Inc * | 14,779 | 463 | ||||||
New Mountain Finance Corp | 8,564 | 99 | ||||||
NewMarket Corp | 567 | 171 | ||||||
Newmont Corp | 29,934 | 1,258 | ||||||
NextGen Healthcare Inc * | 14,112 | 250 | ||||||
NiSource Inc | 9,494 | 239 | ||||||
Northrop Grumman Corp | 2,162 | 1,017 | ||||||
OGE Energy Corp | 8,050 | 294 | ||||||
Omnicom Group Inc | 6,364 | 401 | ||||||
Oracle Corp, Cl B | 131,464 | 8,029 | ||||||
O'Reilly Automotive Inc * | 1,137 | 800 | ||||||
PACCAR Inc | 27,078 | 2,266 | ||||||
Packaging Corp of America | 51,056 | 5,733 | ||||||
PepsiCo Inc | 41,651 | 6,800 | ||||||
Pfizer Inc | 82,505 | 3,610 | ||||||
Philip Morris International Inc | 74,471 | 6,182 | ||||||
PPL Corp | 98,732 | 2,503 | ||||||
Prestige Consumer Healthcare Inc, Cl A * | 31,741 | 1,582 | ||||||
Procter & Gamble Co/The | 70,137 | 8,855 | ||||||
Public Storage ‡ | 11,664 | 3,415 | ||||||
QIAGEN NV * | 6,486 | 268 | ||||||
Regeneron Pharmaceuticals Inc * | 444 | 306 | ||||||
Reliance Steel & Aluminum Co | 30,806 | 5,373 | ||||||
Robert Half International Inc | 2,671 | 204 | ||||||
Royal Gold Inc, Cl A | 52,614 | 4,936 | ||||||
Royalty Pharma PLC, Cl A | 35,690 | 1,434 | ||||||
RPM International Inc | 20,644 | 1,720 | ||||||
Scholastic Corp, Cl B | 4,346 | 134 | ||||||
Sealed Air Corp | 10,578 | 471 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
135
SCHEDULE OF INVESTMENTS
September 30, 2022
Global Managed Volatility Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Service Corp International/US | 32,119 | $ | 1,854 | |||||
Sherwin-Williams Co/The, Cl A | 22,829 | 4,674 | ||||||
Silgan Holdings Inc | 119,090 | 5,007 | ||||||
Sixth Street Specialty Lending Inc | 6,157 | 101 | ||||||
Sonoco Products Co | 27,270 | 1,547 | ||||||
Southern Co/The | 12,234 | 832 | ||||||
SS&C Technologies Holdings Inc | 20,116 | 961 | ||||||
Synopsys Inc * | 612 | 187 | ||||||
Travelers Cos Inc/The | 19,381 | 2,969 | ||||||
Tyson Foods Inc, Cl A | 58,775 | 3,875 | ||||||
UGI Corp | 27,565 | 891 | ||||||
UnitedHealth Group Inc | 1,757 | 887 | ||||||
USANA Health Sciences Inc * | 14,391 | 806 | ||||||
Varia US Properties AG ‡ | 560 | 26 | ||||||
Verint Systems Inc * | 17,057 | 573 | ||||||
Verizon Communications Inc | 297,686 | 11,303 | ||||||
Vertex Pharmaceuticals Inc * | 12,933 | 3,744 | ||||||
VMware Inc, Cl A * | 1,674 | 178 | ||||||
Walgreens Boots Alliance Inc | 75,431 | 2,369 | ||||||
Walmart Inc | 33,741 | 4,376 | ||||||
Waste Connections Inc | 2,059 | 278 | ||||||
Waste Management Inc | 2,314 | 371 | ||||||
Waters Corp * | 3,123 | 842 | ||||||
Waterstone Financial Inc | 15,028 | 243 | ||||||
WEC Energy Group Inc | 13,217 | 1,182 | ||||||
Western Union Co/The | 62,808 | 848 | ||||||
Xcel Energy Inc | 11,086 | 710 | ||||||
468,076 | ||||||||
Total Common Stock | ||||||||
(Cost $841,892) ($ Thousands) | 795,542 | |||||||
AFFILIATED PARTNERSHIP — 2.1% | ||||||||
SEI Liquidity Fund, LP | ||||||||
2.930% **†(B) | 17,357,413 | 17,355 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $17,359) ($ Thousands) | 17,355 | |||||||
CASH EQUIVALENT — 1.0% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
2.600%**† | 8,497,139 | 8,497 | ||||||
Total Cash Equivalent | ||||||||
(Cost $8,497) ($ Thousands) | 8,497 | |||||||
Total Investments in Securities — 100.6% | ||||||||
(Cost $867,748) ($ Thousands) | $ | 821,394 | ||||||
136
SEI Institutional Managed Trust / Annual Report / September 30, 2022
A list of the open futures contracts held by the Fund at September 30, 2022, is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Depreciation (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Euro STOXX 50 | 21 | Dec-2022 | $ | 751 | $ | 682 | $ | (51 | ) | |||||||||||
FTSE 100 Index | 4 | Dec-2022 | 315 | 309 | (9 | ) | ||||||||||||||
S&P 500 Index E-MINI | 23 | Dec-2022 | 4,507 | 4,142 | (365 | ) | ||||||||||||||
SPI 200 Index | 3 | Dec-2022 | 318 | 312 | (4 | ) | ||||||||||||||
TOPIX Index | 2 | Dec-2022 | 263 | 253 | (8 | ) | ||||||||||||||
$ | 6,154 | $ | 5,698 | $ | (437 | ) |
A list of the open forward foreign currency contracts held by the Fund at September 30, 2022, is as follows:
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
Barclays PLC | 10/17/22 | DKK | 39,513 | USD | 5,318 | $ | 107 | |||||||||||||||||
Barclays PLC | 10/17/22 | NOK | 89,555 | USD | 8,868 | 648 | ||||||||||||||||||
BNP Paribas | 10/17/22 | SGD | 4,842 | USD | 3,440 | 66 | ||||||||||||||||||
BNP Paribas | 10/17/22 | CAD | 21,589 | USD | 16,396 | 684 | ||||||||||||||||||
BNP Paribas | 10/17/22 | SEK | 113,408 | USD | 10,625 | 398 | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | AUD | 51 | USD | 33 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | SGD | 33 | USD | 24 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | SGD | 34 | USD | 24 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | USD | 18 | AUD | 28 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | USD | 57 | AUD | 87 | (2 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/17/22 | USD | 139 | NZD | 240 | (3 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/17/22 | NZD | 165 | USD | 96 | 2 | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | USD | 113 | SGD | 162 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | USD | 96 | SGD | 136 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/17/22 | USD | 242 | NOK | 2,547 | (9 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/17/22 | USD | 101 | DKK | 778 | 1 | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | USD | 211 | DKK | 1,580 | (2 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/17/22 | EUR | 109 | USD | 109 | 2 | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | EUR | 256 | USD | 249 | (2 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/17/22 | GBP | 26 | USD | 30 | 1 | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | GBP | 372 | USD | 405 | (10 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/17/22 | CHF | 454 | USD | 465 | 3 | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | DKK | 138 | USD | 19 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | DKK | 324 | USD | 42 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | CAD | 518 | USD | 380 | 4 | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | USD | 209 | SEK | 2,356 | 4 | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | USD | 370 | SEK | 4,075 | (3 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/17/22 | USD | 834 | CAD | 1,134 | (9 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/17/22 | USD | 322 | GBP | 294 | 6 | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | USD | 577 | GBP | 514 | (3 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/17/22 | USD | 195 | HKD | 1,530 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | USD | 1,095 | HKD | 8,591 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | HKD | 316 | USD | 40 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | HKD | 1,161 | USD | 148 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | USD | 307 | CHF | 304 | 2 | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | USD | 1,336 | CHF | 1,298 | (16 | ) |
Brown Brothers Harriman | 10/17/22 | USD | 586 | EUR | 606 | 8 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
137
SCHEDULE OF INVESTMENTS
September 30, 2022
Global Managed Volatility Fund (Concluded)
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | USD | 1,226 | EUR | 1,236 | $ | (14 | ) | ||||||||||||||||
Brown Brothers Harriman | 10/17/22 | SEK | 1,081 | USD | 100 | 2 | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | SEK | 1,705 | USD | 152 | (2 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/17/22 | USD | 433 | JPY | 62,653 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | USD | 2,459 | JPY | 351,663 | (27 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/17/22 | NOK | 2,962 | USD | 281 | 9 | ||||||||||||||||||
Brown Brothers Harriman | 10/17/22 | JPY | 119,828 | USD | 833 | 5 | ||||||||||||||||||
Standard Chartered | 10/17/22 | AUD | 2,233 | USD | 1,506 | 71 | ||||||||||||||||||
Standard Chartered | 10/17/22 | GBP | 13,693 | USD | 15,770 | 481 | ||||||||||||||||||
Standard Chartered | 10/17/22 | CHF | 22,678 | USD | 23,722 | 652 | ||||||||||||||||||
Standard Chartered | 10/17/22 | EUR | 30,771 | USD | 30,778 | 608 | ||||||||||||||||||
Standard Chartered | 10/17/22 | HKD | 129,274 | USD | 16,480 | 6 | ||||||||||||||||||
Standard Chartered | 10/17/22 | JPY | 5,299,497 | USD | 37,057 | 397 | ||||||||||||||||||
Westpac Banking | 10/17/22 | NZD | 5,448 | USD | 3,270 | 189 | ||||||||||||||||||
$ | 4,253 |
| Percentages are based on Net Assets of $816,386 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2022. |
‡ | 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, 2022 (see Note 12). The total market value of securities on loan at September 30, 2022 was $15,403 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of September 30, 2022 was $17,355 ($ Thousands). |
The following is a summary of the level of inputs used as of September 30, 2022, 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 | 795,507 | 35 | – | 795,542 | ||||||||||||
Affiliated Partnership | – | 17,355 | – | 17,355 | ||||||||||||
Cash Equivalent | 8,497 | – | – | 8,497 | ||||||||||||
Total Investments in Securities | 804,004 | 17,390 | – | 821,394 |
Other Financial Instruments | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | (437 | ) | – | – | (437 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | – | 4,356 | – | 4,356 | ||||||||||||
Unrealized Depreciation | – | (103 | ) | – | (103 | ) | ||||||||||
Total Other Financial Instruments | (437 | ) | 4,253 | – | 3,816 |
* | Futures contracts and forward contracts are valued at unrealized appreciation (depreciation) on the instrument. |
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, 2022 ($ Thousands):
Security Description | Value 9/30/2021 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 9/30/2022 | Shares | Income | Capital Gains | |||||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 13,534 | $ | 169,536 | $ | (165,711 | ) | $ | (1 | ) | $ | (3 | ) | $ | 17,355 | 17,357,413 | $ | 76 | $ | — | ||||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | 9,489 | 114,239 | (115,231 | ) | — | — | 8,497 | 8,497,139 | 63 | — | ||||||||||||||||||||||||||
Totals | $ | 23,023 | $ | 283,775 | $ | (280,942 | ) | $ | (1 | ) | $ | (3 | ) | $ | 25,852 | $ | 139 | $ | — |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
138
SEI Institutional Managed Trust / Annual Report / September 30, 2022
SCHEDULE OF INVESTMENTS
September 30, 2022
Tax-Managed Managed Volatility Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Shares | Market Value | ||||||
COMMON STOCK — 98.4% | ||||||||
Communication Services — 1.9% | ||||||||
Alphabet Inc, Cl A * | 26,840 | $ | 2,567 | |||||
Alphabet Inc, Cl C * | 8,020 | 771 | ||||||
AT&T Inc | 190,500 | 2,923 | ||||||
Fox Corp, Cl A | 83,711 | 2,568 | ||||||
Fox Corp, Cl B | 20,512 | 585 | ||||||
Madison Square Garden Sports Corp * | 8,586 | 1,173 | ||||||
Netflix Inc * | 3,320 | 782 | ||||||
New York Times Co/The, Cl A | 72,583 | 2,087 | ||||||
Verizon Communications Inc | 77,700 | 2,950 | ||||||
16,406 | ||||||||
Consumer Discretionary — 5.2% | ||||||||
Amazon.com Inc, Cl A * | 3,759 | 425 | ||||||
AutoZone Inc * | 10,000 | 21,419 | ||||||
Darden Restaurants Inc | 9,348 | 1,181 | ||||||
Dick's Sporting Goods Inc (A) | 32,446 | 3,395 | ||||||
Dollar General Corp | 8,848 | 2,122 | ||||||
Frontdoor Inc * | 42,162 | 860 | ||||||
Honda Motor Co Ltd ADR | 129,300 | 2,791 | ||||||
McDonald's Corp | 25,411 | 5,863 | ||||||
Target Corp, Cl A | 29,367 | 4,358 | ||||||
Toyota Motor Corp ADR | 16,500 | 2,150 | ||||||
44,564 | ||||||||
Consumer Staples — 15.7% | ||||||||
Altria Group Inc | 51,246 | 2,069 | ||||||
Archer-Daniels-Midland Co | 11,942 | 961 | ||||||
Bunge Ltd | 11,344 | 937 | ||||||
Campbell Soup Co | 38,780 | 1,827 | ||||||
Church & Dwight Co Inc | 65,117 | 4,652 | ||||||
Clorox Co/The | 10,925 | 1,403 | ||||||
Coca-Cola Co/The | 64,114 | 3,592 | ||||||
Coca-Cola Europacific Partners PLC | 49,400 | 2,106 | ||||||
Colgate-Palmolive Co | 77,717 | 5,460 | ||||||
Costco Wholesale Corp | 10,898 | 5,147 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
General Mills Inc | 69,730 | $ | 5,342 | |||||
Hershey Co/The | 33,058 | 7,288 | ||||||
Hormel Foods Corp | 116,121 | 5,277 | ||||||
J M Smucker Co/The | 33,538 | 4,609 | ||||||
Kellogg Co | 91,886 | 6,401 | ||||||
Kimberly-Clark Corp | 2,775 | 312 | ||||||
Kroger Co/The | 387,301 | 16,944 | ||||||
Lamb Weston Holdings Inc | 28,333 | 2,192 | ||||||
McCormick & Co Inc/MD | 75,751 | 5,399 | ||||||
Metro Inc/CN, Cl A | 58,400 | 2,940 | ||||||
PepsiCo Inc | 56,305 | 9,192 | ||||||
Procter & Gamble Co/The | 43,164 | 5,449 | ||||||
Tyson Foods Inc, Cl A | 155,580 | 10,257 | ||||||
Walmart Inc | 207,579 | 26,923 | ||||||
136,679 | ||||||||
Energy — 0.8% | ||||||||
Chesapeake Energy Corp | 29,840 | 2,811 | ||||||
DT Midstream Inc | 19,049 | 989 | ||||||
Williams Cos Inc/The | 96,414 | 2,760 | ||||||
6,560 | ||||||||
Financials — 15.1% | ||||||||
Aflac Inc | 112,800 | 6,339 | ||||||
Allstate Corp/The | 65,446 | 8,150 | ||||||
American Financial Group Inc/OH | 41,500 | 5,102 | ||||||
Assurant Inc | 10,566 | 1,535 | ||||||
Bank of America Corp | 13,067 | 395 | ||||||
Bank of Hawaii Corp | 40,011 | 3,046 | ||||||
Bank OZK | 120,055 | 4,749 | ||||||
Berkshire Hathaway Inc, Cl B * | 64,800 | 17,303 | ||||||
Cboe Global Markets Inc | 46,588 | 5,468 | ||||||
Chubb Ltd | 12,399 | 2,255 | ||||||
Cullen/Frost Bankers Inc | 14,152 | 1,871 | ||||||
Everest Re Group Ltd | 39,096 | 10,260 | ||||||
Eversource Energy | 77,645 | 6,053 | ||||||
First Hawaiian Inc | 91,228 | 2,247 | ||||||
Hanover Insurance Group Inc/The, Cl A | 31,723 | 4,065 | ||||||
M&T Bank Corp | 11,588 | 2,043 | ||||||
MGIC Investment Corp | 141,647 | 1,816 | ||||||
Morningstar Inc, Cl A | 21,864 | 4,642 | ||||||
National Bank of Canada | 54,700 | 3,447 | ||||||
Progressive Corp/The | 115,800 | 13,457 | ||||||
RenaissanceRe Holdings Ltd | 31,431 | 4,412 | ||||||
TFS Financial Corp | 125,478 | 1,631 | ||||||
Travelers Cos Inc/The | 110,125 | 16,871 | ||||||
Upstart Holdings Inc *(A) | 11,322 | 236 | ||||||
White Mountains Insurance Group Ltd | 2,847 | 3,710 | ||||||
131,103 | ||||||||
Health Care — 21.8% | ||||||||
AbbVie Inc | 53,300 | 7,153 | ||||||
ABIOMED Inc * | 6,106 | 1,500 | ||||||
AmerisourceBergen Corp, Cl A | 14,727 | 1,993 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
139
SCHEDULE OF INVESTMENTS
September 30, 2022
Tax-Managed Managed Volatility Fund (Concluded)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Amgen Inc, Cl A | 16,800 | $ | 3,787 | |||||
AstraZeneca PLC ADR | 93,200 | 5,111 | ||||||
Baxter International Inc | 21,262 | 1,145 | ||||||
Bio-Rad Laboratories Inc, Cl A * | 3,640 | 1,518 | ||||||
Bristol-Myers Squibb Co | 116,538 | 8,285 | ||||||
Chemed Corp | 1,680 | 733 | ||||||
CVS Health Corp | 31,417 | 2,996 | ||||||
Danaher Corp, Cl A | 9,565 | 2,471 | ||||||
Elevance Health Inc | 44,047 | 20,008 | ||||||
Eli Lilly & Co | 86,800 | 28,067 | ||||||
Gilead Sciences Inc | 48,639 | 3,001 | ||||||
Humana Inc | 27,874 | 13,524 | ||||||
Johnson & Johnson | 144,318 | 23,576 | ||||||
McKesson Corp | 8,957 | 3,044 | ||||||
Merck & Co Inc | 219,478 | 18,901 | ||||||
Mettler-Toledo International Inc * | 3,296 | 3,573 | ||||||
Organon & Co | 24,129 | 565 | ||||||
Pfizer Inc | 215,073 | 9,412 | ||||||
Premier Inc, Cl A | 67,410 | 2,288 | ||||||
Quest Diagnostics Inc | 50,752 | 6,227 | ||||||
Thermo Fisher Scientific Inc | 3,463 | 1,756 | ||||||
UnitedHealth Group Inc | 35,650 | 18,005 | ||||||
188,639 | ||||||||
Industrials — 12.0% | ||||||||
3M Co | 20,442 | 2,259 | ||||||
Carrier Global Corp | 50,700 | 1,803 | ||||||
CH Robinson Worldwide Inc | 34,716 | 3,344 | ||||||
Cummins Inc | 10,600 | 2,157 | ||||||
EMCOR Group Inc | 13,365 | 1,543 | ||||||
General Dynamics Corp | 30,100 | 6,386 | ||||||
L3Harris Technologies Inc | 26,704 | 5,550 | ||||||
Landstar System Inc | 11,414 | 1,648 | ||||||
Lockheed Martin Corp | 5,885 | 2,273 | ||||||
Northrop Grumman Corp | 40,245 | 18,928 | ||||||
Quanta Services Inc | 37,697 | 4,802 | ||||||
Raytheon Technologies Corp | 135,100 | 11,059 | ||||||
Republic Services Inc | 146,100 | 19,876 | ||||||
Schneider National Inc, Cl B | 104,539 | 2,122 | ||||||
Waste Management Inc | 124,467 | 19,941 | ||||||
103,691 | ||||||||
Information Technology — 16.6% | ||||||||
Amdocs Ltd | 227,100 | 18,043 | ||||||
Apple Inc | 238,100 | 32,906 | ||||||
Atlassian Corp PLC, Cl A * | 9,066 | 1,909 | ||||||
Automatic Data Processing Inc | 11,806 | 2,671 | ||||||
Ciena Corp * | 22,463 | 908 | ||||||
Cisco Systems Inc | 153,946 | 6,158 | ||||||
CSG Systems International Inc | 37,600 | 1,988 | ||||||
F5 Inc, Cl A * | 24,109 | 3,490 | ||||||
Jack Henry & Associates Inc | 10,939 | 1,994 | ||||||
Marvell Technology Inc | 24,484 | 1,051 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Microsoft Corp | 92,307 | $ | 21,498 | |||||
Motorola Solutions Inc | 87,963 | 19,701 | ||||||
NetApp Inc | 46,295 | 2,863 | ||||||
Oracle Corp, Cl B | 220,065 | 13,439 | ||||||
Qorvo Inc * | 29,520 | 2,344 | ||||||
Synopsys Inc * | 41,600 | 12,709 | ||||||
143,672 | ||||||||
Materials — 2.2% | ||||||||
AptarGroup Inc | 6,262 | 595 | ||||||
Avery Dennison Corp | 31,600 | 5,141 | ||||||
Corteva Inc | 84,619 | 4,836 | ||||||
Royal Gold Inc, Cl A | 13,377 | 1,255 | ||||||
Sealed Air Corp | 79,700 | 3,547 | ||||||
Silgan Holdings Inc | 81,300 | 3,418 | ||||||
Sylvamo Corp | 4,001 | 136 | ||||||
18,928 | ||||||||
Real Estate — 0.3% | ||||||||
Equity LifeStyle Properties Inc ‡ | 29,390 | 1,847 | ||||||
SBA Communications Corp, Cl A ‡ | 4,204 | 1,196 | ||||||
3,043 | ||||||||
Utilities — 6.8% | ||||||||
Ameren Corp | 74,283 | 5,983 | ||||||
American Electric Power Co Inc | 79,818 | 6,900 | ||||||
DTE Energy Co | 38,099 | 4,383 | ||||||
Duke Energy Corp | 41,536 | 3,864 | ||||||
Entergy Corp | 17,400 | 1,751 | ||||||
National Fuel Gas Co | 34,340 | 2,114 | ||||||
NextEra Energy Inc | 101,249 | 7,939 | ||||||
Portland General Electric Co | 73,374 | 3,189 | ||||||
Public Service Enterprise Group Inc | 183,544 | 10,321 | ||||||
Southern Co/The | 83,686 | 5,691 | ||||||
WEC Energy Group Inc | 73,650 | 6,586 | ||||||
58,721 | ||||||||
Total Common Stock | ||||||||
(Cost $412,604) ($ Thousands) | 852,006 | |||||||
AFFILIATED PARTNERSHIP — 0.4% | ||||||||
SEI Liquidity Fund, LP | ||||||||
2.930% **†(B) | 3,472,715 | 3,473 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $3,473) ($ Thousands) | 3,473 | |||||||
140
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
CASH EQUIVALENT — 1.7% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
2.600%**† | 14,834,305 | $ | 14,834 | |||||
Total Cash Equivalent | ||||||||
(Cost $14,834) ($ Thousands) | 14,834 | |||||||
Total Investments in Securities — 100.5% | ||||||||
(Cost $430,911) ($ Thousands) | $ | 870,313 | ||||||
A list of the open futures contracts held by the Fund at September 30, 2022, is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 Index E-MINI | 37 | Dec-2022 | $ | 6,863 | $ | 6,663 | $ | (200 | ) |
| Percentages are based on a Net Assets of $865,674 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2022. |
‡ | 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, 2022 (see Note 12). The total market value of securities on loan at September 30, 2022, was $3,144 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of September 30, 2022 was $3,473 ($ Thousands). |
The following is a summary of the level of inputs used as of September 30, 2022, 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 | 852,006 | – | – | 852,006 | ||||||||||||
Affiliated Partnership | – | 3,473 | – | 3,473 | ||||||||||||
Cash Equivalent | 14,834 | – | – | 14,834 | ||||||||||||
Total Investments in Securities | 866,840 | 3,473 | – | 870,313 |
Other Financial Instruments | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | (200 | ) | – | – | (200 | ) | ||||||||||
Total Other Financial Instruments | (200 | ) | – | – | (200 | ) |
* | Futures contracts are valued at unrealized depreciation on the instrument. |
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, 2022 ($ Thousands):
Security Description | Value 9/30/2021 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 9/30/2022 | Shares | Income | Capital Gains | |||||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 4,919 | $ | 48,248 | $ | (49,694 | ) | $ | — | $ | — | $ | 3,473 | 3,472,715 | $ | 23 | $ | — | ||||||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | 18,450 | 173,133 | (176,749 | ) | — | — | 14,834 | 14,834,305 | 109 | — | ||||||||||||||||||||||||||
Totals | $ | 23,369 | $ | 221,381 | $ | (226,443 | ) | $ | — | $ | — | $ | 18,307 | $ | 132 | $ | — |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
141
SCHEDULE OF INVESTMENTS
September 30, 2022
Tax-Managed International Managed Volatility Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Shares | Market Value | ||||||
COMMON STOCK — 95.9% | ||||||||
Australia — 6.0% | ||||||||
AGL Energy Ltd | 212,782 | $ | 933 | |||||
Ansell Ltd | 49,106 | 794 | ||||||
APA Group | 26,202 | 162 | ||||||
ASX Ltd | 5,643 | 261 | ||||||
Aurizon Holdings Ltd | 646,471 | 1,437 | ||||||
Australia & New Zealand Banking Group | 6,058 | 89 | ||||||
Bendigo & Adelaide Bank | 74,373 | 374 | ||||||
BHP Group Ltd | 12,406 | 309 | ||||||
Coles Group Ltd | 70,257 | 744 | ||||||
Computershare Ltd | 19,479 | 312 | ||||||
CSL Ltd | 4,422 | 808 | ||||||
Deterra Royalties | 101,448 | 262 | ||||||
Dexus *‡ | 24,778 | 124 | ||||||
EBOS Group Ltd | 5,627 | 120 | ||||||
Elders Ltd | 75,275 | 577 | ||||||
Endeavour Group Ltd/Australia | 21,286 | 96 | ||||||
Glencore PLC | 134,502 | 707 | ||||||
Harvey Norman Holdings Ltd | 390,215 | 1,015 | ||||||
JB Hi-Fi Ltd | 37,759 | 918 | ||||||
Medibank Pvt Ltd | 47,280 | 106 | ||||||
Metcash Ltd, Cl A | 364,359 | 910 | ||||||
Newcrest Mining Ltd | 13,198 | 146 | ||||||
Orica Ltd | 26,594 | 228 | ||||||
Orora Ltd | 552,104 | 1,070 | ||||||
Rio Tinto Ltd | 10,669 | 649 | ||||||
Rio Tinto PLC | 6,903 | 373 | ||||||
Sonic Healthcare Ltd | 32,724 | 642 | ||||||
South32 Ltd | 90,000 | 215 | ||||||
Telstra Corp Ltd, Cl B | 502,620 | 1,248 | ||||||
Treasury Wine Estates Ltd | 12,237 | 99 | ||||||
Vicinity Centres ‡ | 492,026 | 551 | ||||||
Wesfarmers Ltd | 30,590 | 841 | ||||||
Woolworths Group Ltd | 17,215 | 376 | ||||||
17,496 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Austria — 0.6% | ||||||||
CA Immobilien Anlagen AG ‡ | 4,737 | $ | 141 | |||||
Mayr Melnhof Karton AG | 3,798 | 489 | ||||||
Oesterreichische Post AG (A) | 28,842 | 768 | ||||||
S Immo AG | 9,548 | – | ||||||
Telekom Austria AG, Cl A | 81,520 | 471 | ||||||
1,869 | ||||||||
Belgium — 0.7% | ||||||||
Ageas SA/NV | 24,693 | 900 | ||||||
Etablissements Franz Colruyt NV | 38,879 | 854 | ||||||
Proximus SADP | 12,731 | 132 | ||||||
UCB SA, Cl A | 3,619 | 251 | ||||||
2,137 | ||||||||
Brazil — 0.2% | ||||||||
Yara International ASA | 14,272 | 500 | ||||||
Canada — 2.4% | ||||||||
Bank of Nova Scotia/The, Cl C | 11,839 | 566 | ||||||
Canadian Imperial Bank of Commerce (A) | 27,615 | 1,215 | ||||||
Canadian Tire Corp Ltd, Cl A | 16,576 | 1,774 | ||||||
Cogeco Communications Inc | 11,746 | 616 | ||||||
Empire Co Ltd, Cl A | 34,652 | 867 | ||||||
Loblaw Cos Ltd | 24,108 | 1,919 | ||||||
6,957 | ||||||||
China — 0.3% | ||||||||
BOC Hong Kong Holdings Ltd | 182,500 | 607 | ||||||
Wilmar International Ltd | 124,500 | 331 | ||||||
938 | ||||||||
Denmark — 2.6% | ||||||||
AP Moller - Maersk A/S, Cl B | 278 | 505 | ||||||
Carlsberg AS, Cl B | 7,040 | 823 | ||||||
Coloplast A/S, Cl B | 8,141 | 827 | ||||||
Danske Bank A/S | 54,050 | 672 | ||||||
DSV A/S | 1,567 | 184 | ||||||
Genmab A/S * | 1,478 | 475 | ||||||
Jyske Bank A/S * | 2,041 | 106 | ||||||
Novo Nordisk A/S, Cl B | 16,930 | 1,686 | ||||||
Novozymes A/S, Cl B | 9,303 | 467 | ||||||
Scandinavian Tobacco Group A/S | 73,722 | 1,069 | ||||||
Solar A/S, Cl B | 2,119 | 139 | ||||||
Sydbank A/S | 22,507 | 616 | ||||||
UIE | 5,640 | 141 | ||||||
7,710 | ||||||||
Finland — 1.9% | ||||||||
Elisa Oyj | 10,673 | 484 | ||||||
Kemira Oyj | 45,914 | 509 | ||||||
Kesko Oyj, Cl B | 61,076 | 1,139 | ||||||
Metsa Board, Cl B | 40,788 | 296 | ||||||
Orion Oyj, Cl B | 31,149 | 1,311 | ||||||
TietoEVRY Oyj | 44,315 | 1,002 |
142
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Tokmanni Group Corp | 25,796 | $ | 281 | |||||
Valmet Oyj | 23,100 | 467 | ||||||
5,489 | ||||||||
France — 8.4% | ||||||||
Air Liquide SA | 4,883 | 558 | ||||||
Arkema SA | 16,880 | 1,230 | ||||||
AXA SA | 28,335 | 618 | ||||||
BNP Paribas SA | 3,209 | 136 | ||||||
Caisse Regionale De Credit Agricole Mutuel Toulouse 31 | 1,278 | 79 | ||||||
Carrefour SA | 175,877 | 2,438 | ||||||
Cie Generale des Etablissements Michelin SCA | 71,836 | 1,609 | ||||||
Credit Agricole SA | 22,471 | 182 | ||||||
Danone SA | 14,006 | 662 | ||||||
Engie SA | 101,359 | 1,166 | ||||||
Euroapi * | 2,998 | 50 | ||||||
Ipsen SA | 868 | 80 | ||||||
Legrand SA | 2,586 | 167 | ||||||
L'Oreal SA | 1,698 | 543 | ||||||
Metropole Television SA | 61,744 | 745 | ||||||
Orange SA | 463,660 | 4,192 | ||||||
Pernod Ricard SA | 6,112 | 1,121 | ||||||
Publicis Groupe SA | 1,746 | 83 | ||||||
Sanofi | 67,489 | 5,137 | ||||||
Societe BIC SA | 25,897 | 1,642 | ||||||
Thales SA, Cl A | 5,065 | 558 | ||||||
TotalEnergies SE (A) | 29,793 | 1,397 | ||||||
Virbac SA | 506 | 132 | ||||||
Vivendi SE | 23,119 | 179 | ||||||
24,704 | ||||||||
Germany — 4.6% | ||||||||
BASF SE | 3,269 | 125 | ||||||
Bayer AG | 3,100 | 143 | ||||||
Beiersdorf AG | 12,795 | 1,257 | ||||||
Deutsche Boerse AG | 4,123 | 676 | ||||||
Deutsche Post AG | 32,014 | 965 | ||||||
Deutsche Telekom AG | 173,520 | 2,952 | ||||||
E.ON SE | 135,978 | 1,044 | ||||||
Freenet AG | 58,729 | 1,113 | ||||||
Hannover Rueck SE | 1,509 | 226 | ||||||
Hornbach Holding AG & Co KGaA | 11,109 | 696 | ||||||
Merck KGaA | 6,512 | 1,054 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 6,021 | 1,449 | ||||||
QIAGEN NV * | 28,029 | 1,164 | ||||||
Siemens Healthineers AG | 6,608 | 283 | ||||||
Sirius Real Estate Ltd ‡ | 87,389 | 69 | ||||||
Talanx AG | 3,767 | 133 | ||||||
13,349 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Hong Kong — 4.0% | ||||||||
Chevalier International Holdings | 86,000 | $ | 80 | |||||
China Motor Bus Co Ltd ‡ | 9,200 | 88 | ||||||
CK Asset Holdings Ltd ‡ | 295,000 | 1,771 | ||||||
CK Hutchison Holdings Ltd | 154,500 | 851 | ||||||
CK Infrastructure Holdings Ltd | 94,000 | 479 | ||||||
CLP Holdings Ltd, Cl B | 105,500 | 797 | ||||||
Dah Sing Banking Group Ltd | 476,800 | 315 | ||||||
Henderson Land Development | 52,000 | 146 | ||||||
HK Electric Investments & HK Electric Investments Ltd | 1,490,000 | 1,044 | ||||||
HKT Trust & HKT Ltd | 830,000 | 972 | ||||||
Kerry Properties Ltd ‡ | 349,500 | 662 | ||||||
Link ‡ | 58,800 | 410 | ||||||
Pacific Textiles Holdings | 860,000 | 268 | ||||||
PCCW Ltd | 1,246,704 | 563 | ||||||
Power Assets Holdings Ltd | 205,500 | 1,030 | ||||||
SmarTone Telecommunications Holdings Ltd | 328,500 | 172 | ||||||
VTech Holdings Ltd | 271,500 | 1,557 | ||||||
WH Group Ltd | 723,000 | 455 | ||||||
11,660 | ||||||||
Indonesia — 0.1% | ||||||||
First Resources Ltd | 306,300 | 295 | ||||||
Ireland — 0.1% | ||||||||
Dole PLC | 11,373 | 83 | ||||||
Kerry Group PLC, Cl A | 2,681 | 239 | ||||||
322 | ||||||||
Israel — 1.7% | ||||||||
Albaad Massuot Yitzhak Ltd * | 8,411 | 32 | ||||||
Bank Hapoalim BM | 61,461 | 520 | ||||||
Bank Leumi Le-Israel BM | 115,572 | 990 | ||||||
Check Point Software Technologies Ltd * | 11,712 | 1,312 | ||||||
Elbit Systems Ltd | 2,489 | 472 | ||||||
ICL Group Ltd | 81,689 | 656 | ||||||
Isracard Ltd | – | – | ||||||
Kerur Holdings Ltd | 4,093 | 94 | ||||||
Mizrahi Tefahot Bank Ltd | 12,013 | 422 | ||||||
Radware Ltd * | 14,549 | 317 | ||||||
Shufersal Ltd | 26,493 | 166 | ||||||
4,981 | ||||||||
Italy — 2.0% | ||||||||
A2A SpA | 788,006 | 765 | ||||||
ACEA SpA | 8,054 | 88 | ||||||
Assicurazioni Generali SpA | 15,478 | 211 | ||||||
Enel SpA | 61,229 | 251 | ||||||
Eni SpA | 180,650 | 1,919 | ||||||
Hera SpA | 309,958 | 658 | ||||||
Snam SpA | 64,750 | 262 | ||||||
Terna - Rete Elettrica Nazionale | 41,284 | 251 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
143
SCHEDULE OF INVESTMENTS
September 30, 2022
Tax-Managed International Managed Volatility Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
UnipolSai Assicurazioni SpA | 629,240 | $ | 1,305 | |||||
5,710 | ||||||||
Japan — 25.4% | ||||||||
AEON Investment Corp ‡ | 918 | 991 | ||||||
Aozora Bank Ltd (A) | 37,600 | 672 | ||||||
Arcs Co Ltd | 32,700 | 467 | ||||||
Bandai Namco Holdings Inc | 2,300 | 150 | ||||||
Bridgestone Corp | 32,900 | 1,064 | ||||||
Brother Industries Ltd (A) | 33,600 | 580 | ||||||
Canon Inc | 99,600 | 2,175 | ||||||
Choushimaru Co Ltd | 10,500 | 82 | ||||||
CI Takiron Corp | 40,400 | 146 | ||||||
Daicel Corp | 83,800 | 493 | ||||||
Daiichi Sankyo Co Ltd | 7,500 | 210 | ||||||
Daiki Aluminium Industry Co Ltd | 9,800 | 79 | ||||||
Dairei Co Ltd | 6,300 | 81 | ||||||
Daito Trust Construction Co Ltd | 3,800 | 355 | ||||||
DCM Holdings Co Ltd | 137,200 | 1,118 | ||||||
Earth Corp | 3,900 | 140 | ||||||
EDION Corp (A) | 75,700 | 616 | ||||||
ENEOS Holdings Inc (A) | 302,500 | 976 | ||||||
Fuji Nihon Seito | 29,300 | 93 | ||||||
FUJIFILM Holdings Corp | 7,600 | 347 | ||||||
Hokkaido Gas Co Ltd | 9,800 | 107 | ||||||
Honda Motor Co Ltd | 22,500 | 488 | ||||||
Hoya Corp | 1,500 | 145 | ||||||
Idemitsu Kosan Co Ltd | 11,000 | 239 | ||||||
Inaba Denki Sangyo Co Ltd | 33,300 | 628 | ||||||
Inpex Corp | 165,000 | 1,539 | ||||||
ITOCHU Corp (A) | 124,300 | 3,000 | ||||||
Itochu Enex Co Ltd | 106,300 | 750 | ||||||
Itoham Yonekyu Holdings | 147,300 | 678 | ||||||
Iwatani Corp | 11,200 | 422 | ||||||
Japan Post Bank Co Ltd | 80,100 | 560 | ||||||
Japan Post Holdings Co Ltd | 212,600 | 1,408 | ||||||
Japan Tobacco Inc | 139,200 | 2,287 | ||||||
Kadoya Sesame Mills Inc | 2,600 | 64 | ||||||
Kajima Corp (A) | 111,600 | 1,058 | ||||||
Kaken Pharmaceutical Co Ltd | 43,400 | 1,143 | ||||||
Kamigumi Co Ltd | 31,800 | 587 | ||||||
Kaneka Corp | 20,500 | 512 | ||||||
Kato Sangyo Co Ltd | 8,700 | 201 | ||||||
KDDI Corp | 142,600 | 4,169 | ||||||
Keihanshin Building Co Ltd ‡ | 14,200 | 120 | ||||||
Keisei Electric Railway | 4,674 | 127 | ||||||
Keiyo Co Ltd | 32,400 | 203 | ||||||
Kewpie Corp | 5,800 | 95 | ||||||
Kinden Corp (A) | 97,300 | 1,026 | ||||||
K's Holdings Corp | 85,700 | 706 | ||||||
Kuraray Co Ltd | 67,300 | 470 | ||||||
Kurimoto Ltd | 18,400 | 204 | ||||||
KYORIN Holdings Inc | 12,100 | 148 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Kyushu Electric Power Co Inc | 41,100 | $ | 219 | |||||
Lawson Inc | 14,800 | 484 | ||||||
Lintec Corp | 27,600 | 424 | ||||||
Lion Corp | 51,200 | 579 | ||||||
Marubeni Corp | 17,400 | 152 | ||||||
Maruichi Steel Tube Ltd | 14,300 | 293 | ||||||
McDonald's Holdings Co Japan Ltd | 45,600 | 1,589 | ||||||
Medipal Holdings Corp | 7,500 | 95 | ||||||
MEIJI Holdings Co Ltd (A) | 22,000 | 976 | ||||||
Mitsubishi Corp | 3,200 | 88 | ||||||
Mitsubishi Electric Corp | 74,000 | 669 | ||||||
Mitsubishi Shokuhin Co Ltd | 33,300 | 750 | ||||||
Mitsui & Co Ltd | 28,400 | 604 | ||||||
Miyoshi Oil & Fat Co Ltd | 10,200 | 70 | ||||||
Mizuho Financial Group Inc (A) | 238,380 | 2,580 | ||||||
Morishita Jintan Co Ltd | 800 | 10 | ||||||
MS&AD Insurance Group Holdings Inc | 52,400 | 1,388 | ||||||
Nintendo Co Ltd | 4,000 | 161 | ||||||
Nippn Corp | 8,300 | 89 | ||||||
Nippon Electric Glass | 35,100 | 605 | ||||||
NIPPON EXPRESS HOLDINGS INC | 8,700 | 442 | ||||||
Nippon Telegraph & Telephone Corp | 189,600 | 5,114 | ||||||
Nippon Television Holdings | 69,200 | 554 | ||||||
Nissin Foods Holdings Co Ltd | 2,500 | 174 | ||||||
Nitto Fuji Flour Milling Co Ltd | 5,000 | 166 | ||||||
Nomura Holdings Inc | 182,600 | 605 | ||||||
Okinawa Cellular Telephone Co | 6,200 | 109 | ||||||
Ono Pharmaceutical Co Ltd | 8,100 | 189 | ||||||
ORIX Corp (A) | 30,600 | 429 | ||||||
Otsuka Corp | 9,100 | 284 | ||||||
Otsuka Holdings Co Ltd | 14,300 | 453 | ||||||
OUG Holdings Inc | 4,800 | 89 | ||||||
Rengo Co Ltd | 107,600 | 626 | ||||||
S&B Foods | 3,700 | 95 | ||||||
Sankyo Co Ltd | 38,600 | 1,169 | ||||||
Sankyu Inc | 16,800 | 488 | ||||||
Secom Co Ltd | 11,200 | 639 | ||||||
Seino Holdings Co Ltd | 76,000 | 611 | ||||||
Sekisui House Ltd | 47,800 | 792 | ||||||
Senko Group Holdings | 59,100 | 390 | ||||||
Seven & i Holdings Co Ltd | 5,500 | 221 | ||||||
SoftBank Corp (A) | 144,000 | 1,438 | ||||||
Sompo Holdings Inc | 16,900 | 676 | ||||||
Sugi Holdings Co Ltd | 2,500 | 100 | ||||||
Sumitomo Chemical Co Ltd | 26,200 | 90 | ||||||
Sumitomo Corp | 58,500 | 723 | ||||||
Sumitomo Mitsui Financial Group Inc | 51,200 | 1,419 | ||||||
Sumitomo Mitsui Trust Holdings | 26,200 | 745 | ||||||
Sundrug Co Ltd | 3,600 | 88 | ||||||
Suntory Beverage & Food Ltd | 4,500 | 160 | ||||||
Taisei Corp | 3,500 | 97 | ||||||
Takeda Pharmaceutical Co Ltd | 3,700 | 96 |
144
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Techno Ryowa | 6,100 | $ | 36 | |||||
Teijin Ltd (A) | 134,900 | 1,308 | ||||||
Toho Holdings Co Ltd | 13,800 | 185 | ||||||
Tohoku Electric Power Co Inc (A) | 142,300 | 669 | ||||||
Tokio Marine Holdings Inc | 51,600 | 917 | ||||||
Tokyo Gas Co Ltd | 36,000 | 608 | ||||||
Toyo Suisan Kaisha Ltd | 17,600 | 726 | ||||||
Toyota Motor Corp | 20,500 | 268 | ||||||
Trend Micro Inc/Japan | 25,600 | 1,379 | ||||||
USS Co Ltd | 55,500 | 857 | ||||||
Yamada Denki Co Ltd | 406,800 | 1,338 | ||||||
Yamaguchi Financial Group | 115,300 | 614 | ||||||
Yellow Hat Ltd | 11,200 | 139 | ||||||
Zaoh Co Ltd | 8,700 | 107 | ||||||
74,166 | ||||||||
Netherlands — 3.3% | ||||||||
ABN AMRO Bank NV | 11,695 | 105 | ||||||
Heineken Holding NV | 1,435 | 98 | ||||||
Heineken NV | 5,349 | 467 | ||||||
JDE Peet's NV | 21,171 | 619 | ||||||
Koninklijke Ahold Delhaize NV | 197,687 | 5,033 | ||||||
Koninklijke KPN NV | 75,711 | 205 | ||||||
NN Group NV | 44,665 | 1,736 | ||||||
Signify NV | 15,388 | 396 | ||||||
Wolters Kluwer NV | 11,210 | 1,091 | ||||||
9,750 | ||||||||
New Zealand — 0.7% | ||||||||
Fisher & Paykel Healthcare Corp Ltd | 19,131 | 200 | ||||||
Freightways Ltd | 50,268 | 279 | ||||||
Mainfreight Ltd | 8,970 | 342 | ||||||
Mercury NZ Ltd | 109,078 | 351 | ||||||
Meridian Energy Ltd | 35,190 | 95 | ||||||
Spark New Zealand Ltd | 281,388 | 796 | ||||||
2,063 | ||||||||
Norway — 1.3% | ||||||||
Austevoll Seafood ASA | 33,117 | 224 | ||||||
DNB Bank ASA | 22,448 | 356 | ||||||
Equinor ASA | 18,362 | 605 | ||||||
Norsk Hydro ASA | 28,454 | 153 | ||||||
Orkla ASA | 263,596 | 1,915 | ||||||
SpareBank 1 SR-Bank ASA | 17,208 | 161 | ||||||
Telenor ASA | 36,912 | 337 | ||||||
3,751 | ||||||||
Portugal — 0.7% | ||||||||
Galp Energia SGPS SA | 11,883 | 114 | ||||||
Jeronimo Martins SGPS SA | 75,328 | 1,403 | ||||||
NOS SGPS SA | 37,349 | 122 | ||||||
Sonae SGPS | 383,487 | 309 | ||||||
1,948 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Singapore — 4.1% | ||||||||
DBS Group Holdings Ltd | 108,700 | $ | 2,517 | |||||
Great Eastern Holdings Ltd | 6,700 | 88 | ||||||
Jardine Cycle & Carriage Ltd | 129,200 | 3,025 | ||||||
Jardine Matheson Holdings Ltd | 19,300 | 976 | ||||||
Keppel Corp Ltd | 49,200 | 237 | ||||||
Mapletree Logistics Trust ‡ | 154,270 | 167 | ||||||
Oversea-Chinese Banking Corp Ltd | 266,300 | 2,184 | ||||||
Sheng Siong Group Ltd | 383,000 | 422 | ||||||
Singapore Exchange Ltd | 14,800 | 97 | ||||||
Singapore Post Ltd | 217,600 | 82 | ||||||
Straits Trading Co Ltd | 87,910 | 149 | ||||||
United Overseas Bank Ltd | 106,300 | 1,927 | ||||||
Venture Corp Ltd | 17,400 | 198 | ||||||
12,069 | ||||||||
South Africa — 0.1% | ||||||||
Anglo American PLC | 10,549 | 317 | ||||||
Thungela Resources Ltd | 1,394 | 26 | ||||||
343 | ||||||||
Spain — 2.3% | ||||||||
CaixaBank SA | 37,980 | 122 | ||||||
Cia de Distribucion Integral Logista Holdings SA | 90,492 | 1,648 | ||||||
Ebro Foods SA | 40,375 | 588 | ||||||
Endesa SA | 105,051 | 1,577 | ||||||
Faes Farma SA | 125,662 | 455 | ||||||
Iberdrola SA | 67,684 | 631 | ||||||
Red Electrica Corp SA | 51,275 | 787 | ||||||
Repsol SA, Cl A | 67,895 | 780 | ||||||
6,588 | ||||||||
Sweden — 1.4% | ||||||||
Axfood AB | 40,738 | 933 | ||||||
Epiroc AB, Cl B | 14,793 | 186 | ||||||
Essity AB, Cl B | 23,160 | 458 | ||||||
KNOW IT AB | 7,589 | 152 | ||||||
Nordea Bank Abp, Cl A | 56,350 | 482 | ||||||
Nyfosa AB ‡ | 18,745 | 108 | ||||||
Svenska Cellulosa AB SCA, Cl B | 11,438 | 145 | ||||||
Swedbank AB, Cl A | 38,917 | 511 | ||||||
Swedish Match AB | 27,086 | 268 | ||||||
Swedish Orphan Biovitrum AB * | 13,675 | 264 | ||||||
Tele2 AB, Cl B | 10,380 | 90 | ||||||
Telefonaktiebolaget LM Ericsson, Cl B | 38,928 | 228 | ||||||
Telia Co AB | 97,571 | 281 | ||||||
4,106 | ||||||||
Switzerland — 9.4% | ||||||||
Alcon Inc | 3,282 | 191 | ||||||
ALSO Holding AG | 606 | 90 | ||||||
Baloise Holding AG | 10,614 | 1,360 | ||||||
Banque Cantonale Vaudoise | 2,566 | 243 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
145
SCHEDULE OF INVESTMENTS
September 30, 2022
Tax-Managed International Managed Volatility Fund (Concluded)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Barry Callebaut AG | 349 | $ | 660 | |||||
Basellandschaftliche Kantonalbank | 303 | 283 | ||||||
Berner Kantonalbank AG | 473 | 103 | ||||||
BKW AG | 12,115 | 1,447 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 97 | 1,300 | ||||||
Emmi AG | 589 | 459 | ||||||
EMS-Chemie Holding AG | 540 | 342 | ||||||
Helvetia Holding AG | 6,900 | 648 | ||||||
Intershop Holding AG ‡ | 203 | 128 | ||||||
Kuehne + Nagel International AG | 410 | 84 | ||||||
Nestle SA | 10,269 | 1,114 | ||||||
Novartis AG | 49,726 | 3,800 | ||||||
PSP Swiss Property AG ‡ | 3,835 | 384 | ||||||
Roche Holding AG | 19,746 | 6,444 | ||||||
Romande Energie Holding SA | 76 | 87 | ||||||
Schindler Holding AG | 861 | 134 | ||||||
Sika AG | 1,337 | 269 | ||||||
Sonova Holding AG | 3,097 | 683 | ||||||
Swiss Life Holding AG | 4,709 | 2,086 | ||||||
Swiss Prime Site AG ‡ | 7,511 | 600 | ||||||
Swiss Re AG | 1,155 | 85 | ||||||
Swisscom AG | 6,786 | 3,185 | ||||||
Thurgauer Kantonalbank | 927 | 111 | ||||||
TX Group AG | 559 | 69 | ||||||
Valiant Holding AG | 10,191 | 968 | ||||||
27,357 | ||||||||
United Kingdom — 11.6% | ||||||||
3i Group PLC | 26,140 | 314 | ||||||
AstraZeneca PLC ADR | 1,720 | 94 | ||||||
Atalaya Mining PLC | 70,542 | 150 | ||||||
Auto Trader Group PLC | 31,774 | 180 | ||||||
B&M European Value Retail SA | 187,800 | 639 | ||||||
BAE Systems PLC | 453,357 | 3,982 | ||||||
BP PLC | 20,073 | 96 | ||||||
BP PLC ADR | 18,564 | 530 | ||||||
British American Tobacco PLC | 49,933 | 1,790 | ||||||
British Land Co PLC/The ‡ | 175,465 | 679 | ||||||
Britvic PLC | 17,747 | 141 | ||||||
BT Group PLC, Cl A | 789,651 | 1,061 | ||||||
Bunzl PLC | 38,068 | 1,163 | ||||||
Computacenter PLC | 22,216 | 477 | ||||||
Diageo PLC | 12,148 | 511 | ||||||
Eco Animal Health Group * | 68,500 | 91 | ||||||
Finsbury Food Group PLC | 134,390 | 118 | ||||||
Gateley Holdings | 45,924 | 98 | ||||||
GSK PLC | 263,563 | 3,806 | ||||||
GSK PLC ADR | 3,224 | 95 | ||||||
Haleon * | 195,700 | 610 | ||||||
HSBC Holdings PLC | 164,931 | 854 | ||||||
Imperial Brands PLC | 167,084 | 3,435 | ||||||
Inchcape PLC | 24,346 | 184 | ||||||
J Sainsbury PLC | 575,075 | 1,114 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Kingfisher PLC | 275,142 | $ | 670 | |||||
National Grid PLC | 113,695 | 1,170 | ||||||
Premier Foods PLC | 426,123 | 453 | ||||||
QinetiQ Group PLC | 414,692 | 1,513 | ||||||
Real Estate Investors PLC ‡ | 453,673 | 160 | ||||||
Reckitt Benckiser Group PLC | 13,086 | 867 | ||||||
RELX PLC | 26,799 | 655 | ||||||
Sage Group PLC/The | 54,119 | 417 | ||||||
Shell PLC | 74,536 | 1,849 | ||||||
Standard Chartered PLC | 15,580 | 98 | ||||||
Tate & Lyle | 217,300 | 1,638 | ||||||
Tesco PLC | 654,090 | 1,501 | ||||||
Unilever PLC | 8,703 | 382 | ||||||
Vodafone Group PLC | 272,328 | 305 | ||||||
Woodside Energy Group | 5,009 | 102 | ||||||
YouGov PLC | 8,551 | 84 | ||||||
34,076 | ||||||||
United States — 0.0% | ||||||||
Taro Pharmaceutical Industries Ltd * | 3,133 | 94 | ||||||
Total Common Stock | ||||||||
(Cost $289,154) ($ Thousands) | 280,428 | |||||||
PREFERRED STOCK — 0.1% | ||||||||
Germany — 0.1% | ||||||||
Draegerwerk AG & Co KGaA (B) | 5,426 | 227 | ||||||
Total Preferred Stock | ||||||||
(Cost $301) ($ Thousands) | 227 | |||||||
AFFILIATED PARTNERSHIP — 6.3% | ||||||||
SEI Liquidity Fund, LP | ||||||||
2.930% **†(C) | 18,524,972 | 18,526 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $18,527) ($ Thousands) | 18,526 | |||||||
CASH EQUIVALENT — 0.9% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
2.600%**† | 2,753,533 | 2,754 | ||||||
Total Cash Equivalent | ||||||||
(Cost $2,754) ($ Thousands) | 2,754 | |||||||
Total Investments in Securities — 103.2% | ||||||||
(Cost $310,736) ($ Thousands) | $ | 301,935 | ||||||
146
SEI Institutional Managed Trust / Annual Report / September 30, 2022
A list of the open futures contracts held by the Fund at September 30, 2022, is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Euro STOXX 50 | 46 | Dec-2022 | $ | 1,532 | $ | 1,494 | $ | (34 | ) | |||||||||||
FTSE 100 Index | 13 | Dec-2022 | 1,009 | 1,003 | (12 | ) | ||||||||||||||
Hang Seng Index | 2 | Oct-2022 | 221 | 219 | (2 | ) | ||||||||||||||
SPI 200 Index | 4 | Dec-2022 | 427 | 416 | (6 | ) | ||||||||||||||
TOPIX Index | 8 | Dec-2022 | 1,036 | 1,015 | (16 | ) | ||||||||||||||
$ | 4,225 | $ | 4,147 | $ | (70 | ) |
| Percentages are based on a Net Assets of $292,604 ($ Thousands). |
** | The rate reported is the 7-day effective yield as of September 30, 2022. |
‡ | 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, 2022 (see Note 10). The total market value of securities on loan at September 30, 2022, was $17,510 ($ Thousands). |
(B) | There is currently no rate available. |
(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, 2022 was $18,526 ($ Thousands). |
The following is a summary of the level of inputs used as of September 30, 2022, 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 | 280,428 | — | — | 280,428 | ||||||||||||
Preferred Stock | 227 | — | — | 227 | ||||||||||||
Affiliated Partnership | — | 18,526 | — | 18,526 | ||||||||||||
Cash Equivalent | 2,754 | — | — | 2,754 | ||||||||||||
Total Investments in Securities | 283,409 | 18,526 | — | 301,935 |
Other Financial Instruments | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | (70 | ) | – | – | (70 | ) | ||||||||||
Total Other Financial Instruments | (70 | ) | – | – | (70 | ) |
* | Futures contracts are valued at unrealized depreciation on the instrument. |
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 period ended September 30, 2022 ($ Thousands):
Security Description | Value 9/30/2021 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/(Depreciation) | Value 9/30/2022 | Shares | Income | Capital Gains | |||||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 19,946 | $ | 138,953 | $ | (140,371 | ) | $ | (2 | ) | $ | — | $ | 18,526 | 18,524,972 | $ | 186 | $ | — | |||||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | 8,193 | 38,788 | (44,227 | ) | — | — | 2,754 | 2,753,533 | 23 | — | ||||||||||||||||||||||||||
Totals | $ | 28,139 | $ | 177,741 | $ | (184,598 | ) | $ | (2 | ) | $ | — | $ | 21,280 | $ | 209 | $ | — |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
147
SCHEDULE OF INVESTMENTS
September 30, 2022
Real Estate Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Shares | Market Value | ||||||
COMMON STOCK†† — 97.1% | ||||||||
Real Estate — 97.1% | ||||||||
Acadia Realty Trust ‡ | 54,632 | $ | 689 | |||||
Alexandria Real Estate Equities Inc ‡ | 9,190 | 1,288 | ||||||
American Homes 4 Rent, Cl A ‡ | 63,387 | 2,080 | ||||||
American Tower Corp, Cl A ‡ | 9,043 | 1,942 | ||||||
Americold Realty Trust Inc ‡ | 17,324 | 426 | ||||||
Apartment Investment and Management Co, Cl A ‡ | 14,980 | 109 | ||||||
Apple Hospitality REIT Inc ‡ | 35,140 | 494 | ||||||
AvalonBay Communities Inc ‡ | 16,000 | 2,947 | ||||||
Boston Properties Inc ‡ | 3,940 | 295 | ||||||
Brixmor Property Group Inc ‡ | 100,298 | 1,853 | ||||||
Cousins Properties Inc ‡ | 32,671 | 763 | ||||||
DiamondRock Hospitality Co ‡ | 10,401 | 78 | ||||||
Digital Realty Trust Inc, Cl A ‡ | 28,990 | 2,875 | ||||||
Douglas Emmett Inc ‡ | 21,030 | 377 | ||||||
Duke Realty Corp ‡ | 45,720 | 2,204 | ||||||
Equinix Inc ‡ | 8,192 | 4,660 | ||||||
Equity Residential ‡ | 40,300 | 2,709 | ||||||
Essex Property Trust Inc ‡ | 3,520 | 853 | ||||||
Extra Space Storage Inc ‡ | 7,894 | 1,363 | ||||||
First Industrial Realty Trust Inc ‡ | 33,635 | 1,507 | ||||||
Healthpeak Properties Inc ‡ | 42,040 | 964 | ||||||
Highwoods Properties Inc ‡ | 16,580 | 447 | ||||||
Host Hotels & Resorts Inc ‡ | 19,720 | 313 | ||||||
Hudson Pacific Properties Inc ‡ | 15,060 | 165 | ||||||
Invitation Homes Inc ‡ | 99,060 | 3,345 | ||||||
JBG SMITH Properties ‡ | 32,239 | 599 | ||||||
Kilroy Realty Corp ‡ | 32,560 | 1,371 | ||||||
Life Storage Inc ‡ | 18,298 | 2,027 | ||||||
Medical Properties Trust Inc ‡ | 48,415 | 574 | ||||||
Mid-America Apartment Communities Inc ‡ | 11,640 | 1,805 | ||||||
Omega Healthcare Investors Inc ‡ | 13,695 | 404 | ||||||
Park Hotels & Resorts Inc ‡ | 29,162 | 328 | ||||||
Prologis Inc ‡ | 57,140 | 5,805 | ||||||
Public Storage ‡ | 16,612 | 4,864 | ||||||
Regency Centers Corp ‡ | 12,470 | 672 | ||||||
Rexford Industrial Realty Inc ‡ | 31,460 | 1,636 | ||||||
RPT Realty ‡ | 67,040 | 507 | ||||||
Ryman Hospitality Properties Inc ‡ | 6,270 | 461 | ||||||
Sabra Health Care REIT Inc ‡ | 53,289 | 699 | ||||||
SBA Communications Corp, Cl A ‡ | 6,890 | 1,961 | ||||||
Simon Property Group Inc ‡ | 26,000 | 2,334 | ||||||
Sun Communities Inc ‡ | 20,380 | 2,758 | ||||||
Sunstone Hotel Investors Inc ‡ | 34,640 | 326 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
UDR Inc ‡ | 53,350 | $ | 2,225 | |||||
Urban Edge Properties ‡ | 35,800 | 478 | ||||||
Ventas Inc ‡ | 72,590 | 2,916 | ||||||
Veris Residential Inc *‡ | 51,425 | 585 | ||||||
Welltower Inc ‡ | 31,650 | 2,036 | ||||||
Xenia Hotels & Resorts Inc ‡ | 62,272 | 859 | ||||||
72,976 | ||||||||
Total Common Stock | ||||||||
(Cost $66,402) ($ Thousands) | 72,976 | |||||||
AFFILIATED PARTNERSHIP — 0.0% | ||||||||
SEI Liquidity Fund, LP | ||||||||
2.930% **†(A) | 4,176 | 3 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $4) ($ Thousands) | 3 | |||||||
CASH EQUIVALENT — 2.8% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
2.600%**† | 2,109,522 | 2,110 | ||||||
Total Cash Equivalent | ||||||||
(Cost $2,110) ($ Thousands) | 2,110 | |||||||
Total Investments in Securities — 99.9% | ||||||||
(Cost $68,516) ($ Thousands) | $ | 75,089 |
| Percentages are based on Net Assets of $75,163 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2022. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
†† | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
(A) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of September 30, 2022 was $3 ($ Thousands). |
The following is a summary of the level of inputs used as of September 30, 2022, in valuing the Fund's investments carried at value ($ Thousands): | ||||||||||||||||
Investments in Securities | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Common Stock | 72,976 | – | – | 72,976 | ||||||||||||
Affiliated Partnership | – | 3 | – | 3 | ||||||||||||
Cash Equivalent | 2,110 | – | – | 2,110 | ||||||||||||
Total Investments in Securities | 75,086 | 3 | – | 75,089 |
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
148
SEI Institutional Managed Trust / Annual Report / September 30, 2022
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2022 ($ Thousands):
Security Description | Value 9/30/2021 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2022 | Shares | Income | Capital Gains | |||||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | — | $ | 1,312 | $ | (1,308 | ) | $ | — | $ | (1 | ) | $ | 3 | 4,176 | $ | 2 | $ | — | |||||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | 2,210 | 56,590 | (56,690 | ) | — | — | 2,110 | 2,109,522 | 11 | — | ||||||||||||||||||||||||||
Totals | $ | 2,210 | $ | 57,902 | $ | (57,998 | ) | $ | — | $ | (1 | ) | $ | 2,113 | $ | 13 | $ | — |
Amounts designated as “-” are either $0 or have been rounded to be $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
149
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES — 37.4% | ||||||||
Agency Mortgage-Backed Obligations — 31.0% | ||||||||
FHLMC | ||||||||
7.500%, 05/01/2031 to 02/01/2038 | $ | 217 | $ | 224 | ||||
7.000%, 05/01/2024 to 03/01/2039 | 59 | 63 | ||||||
6.500%, 10/01/2031 to 09/01/2039 | 105 | 109 | ||||||
6.000%, 02/01/2032 to 09/01/2038 | 153 | 160 | ||||||
5.500%, 01/01/2024 to 06/01/2052 | 716 | 715 | ||||||
5.000%, 05/01/2033 to 09/01/2052 | 10,563 | 10,395 | ||||||
4.500%, 04/01/2035 to 07/01/2052 | 7,096 | 6,878 | ||||||
4.000%, 03/01/2037 to 07/01/2052 | 18,840 | 17,730 | ||||||
3.500%, 12/01/2033 to 05/01/2052 | 46,264 | 42,397 | ||||||
3.463%, ICE LIBOR USD 12 Month + 1.770%, 09/01/2042(A) | 113 | 116 | ||||||
3.394%, ICE LIBOR USD 12 Month + 1.635%, 04/01/2048(A) | 1,269 | 1,276 | ||||||
3.000%, 03/01/2031 to 06/01/2052 | 26,440 | 23,447 | ||||||
2.903%, ICE LIBOR USD 12 Month + 1.683%, 09/01/2047(A) | 634 | 640 | ||||||
2.500%, 10/01/2031 to 05/01/2052 | 60,938 | 51,559 | ||||||
2.000%, 04/01/2041 to 05/01/2052 | 44,129 | 36,152 | ||||||
1.500%, 10/01/2041 to 12/01/2050 | 10,242 | 7,881 | ||||||
0.000%, 07/15/2031(B) | 265 | 182 | ||||||
FHLMC ARM | ||||||||
4.303%, SOFR30A + 2.130%, 07/01/2052(A) | 529 | 517 | ||||||
4.119%, SOFR30A + 2.380%, 09/01/2052(A) | 293 | 284 | ||||||
3.991%, SOFR30A + 2.140%, 08/01/2052(A) | 574 | 549 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
3.912%, SOFR30A + 2.130%, 07/01/2052(A) | $ | 430 | $ | 415 | ||||
3.442%, ICE LIBOR USD 12 Month + 1.637%, 03/01/2049(A) | 548 | 547 | ||||||
3.083%, ICE LIBOR USD 12 Month + 1.621%, 02/01/2050(A) | 258 | 248 | ||||||
3.008%, ICE LIBOR USD 12 Month + 1.628%, 11/01/2048(A) | 1,435 | 1,362 | ||||||
2.876%, ICE LIBOR USD 12 Month + 1.723%, 01/01/2044(A) | 207 | 209 | ||||||
2.873%, ICE LIBOR USD 12 Month + 1.619%, 11/01/2047(A) | 476 | 459 | ||||||
2.807%, ICE LIBOR USD 12 Month + 1.640%, 05/01/2049(A) | 320 | 311 | ||||||
2.730%, ICE LIBOR USD 12 Month + 1.682%, 02/01/2043(A) | 152 | 156 | ||||||
2.668%, ICE LIBOR USD 12 Month + 1.612%, 10/01/2043(A) | 120 | 120 | ||||||
2.554%, ICE LIBOR USD 12 Month + 1.606%, 09/01/2043(A) | 48 | 47 | ||||||
2.532%, ICE LIBOR USD 12 Month + 1.646%, 10/01/2043(A) | 199 | 200 | ||||||
2.507%, ICE LIBOR USD 12 Month + 1.632%, 11/01/2043(A) | 102 | 102 | ||||||
2.435%, ICE LIBOR USD 12 Month + 1.637%, 09/01/2045(A) | 1,217 | 1,220 | ||||||
2.357%, ICE LIBOR USD 12 Month + 1.635%, 07/01/2043(A) | 60 | 60 | ||||||
2.344%, ICE LIBOR USD 12 Month + 1.642%, 08/01/2043(A) | 108 | 109 | ||||||
2.339%, ICE LIBOR USD 12 Month + 1.650%, 03/01/2043(A) | 152 | 153 | ||||||
FHLMC CMO, Ser 1997-1983, Cl Z | ||||||||
6.500%, 12/15/2023 | 33 | 33 | ||||||
FHLMC CMO, Ser 2001-2277, Cl B | ||||||||
7.500%, 01/15/2031 | 18 | 19 | ||||||
FHLMC CMO, Ser 2002-2399, Cl XG | ||||||||
6.500%, 01/15/2032 | 178 | 184 | ||||||
FHLMC CMO, Ser 2006-R007, Cl ZA | ||||||||
6.000%, 05/15/2036 | 472 | 487 | ||||||
FHLMC CMO, Ser 2007-3281, Cl AI, IO | ||||||||
3.612%, 02/15/2037(A) | 37 | 3 | ||||||
FHLMC CMO, Ser 2007-3294, Cl CB | ||||||||
5.500%, 03/15/2037 | 112 | 114 | ||||||
FHLMC CMO, Ser 2007-3316, Cl JO, PO | ||||||||
0.000%, 05/15/2037(B) | 1 | 1 | ||||||
FHLMC CMO, Ser 2008-3451, Cl SB, IO | ||||||||
3.212%, 05/15/2038(A) | 5 | – | ||||||
FHLMC CMO, Ser 2010-3621, Cl SB, IO | ||||||||
3.412%, 01/15/2040(A) | 25 | 2 | ||||||
FHLMC CMO, Ser 2011-3947, Cl SG, IO | ||||||||
3.132%, 10/15/2041(A) | 206 | 18 |
150
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FHLMC CMO, Ser 2012-264, Cl 30 | ||||||||
3.000%, 07/15/2042 | $ | 979 | $ | 887 | ||||
FHLMC CMO, Ser 2012-271, Cl 30 | ||||||||
3.000%, 08/15/2042 | 261 | 239 | ||||||
FHLMC CMO, Ser 2012-283, Cl IO, IO | ||||||||
3.500%, 10/15/2027 | 154 | 8 | ||||||
FHLMC CMO, Ser 2012-4054, Cl SA, IO | ||||||||
3.232%, 08/15/2039(A) | 391 | 32 | ||||||
FHLMC CMO, Ser 2012-4146, Cl DI, IO | ||||||||
3.000%, 12/15/2031 | 282 | 16 | ||||||
FHLMC CMO, Ser 2013-4194, Cl BI, IO | ||||||||
3.500%, 04/15/2043 | 50 | 8 | ||||||
FHLMC CMO, Ser 2013-4203, Cl PS, IO | ||||||||
3.432%, 09/15/2042(A) | 187 | 14 | ||||||
FHLMC CMO, Ser 2013-4205, Cl PA | ||||||||
1.750%, 05/15/2043 | 312 | 265 | ||||||
FHLMC CMO, Ser 2013-4210, Cl Z | ||||||||
3.000%, 05/15/2043 | 70 | 57 | ||||||
FHLMC CMO, Ser 2013-4239, Cl IO, IO | ||||||||
3.500%, 06/15/2027 | 107 | 5 | ||||||
FHLMC CMO, Ser 2014-328, Cl S4, IO | ||||||||
0.074%, 02/15/2038(A) | 12 | – | ||||||
FHLMC CMO, Ser 2014-4335, Cl SW, IO | ||||||||
3.182%, 05/15/2044(A) | 41 | 4 | ||||||
FHLMC CMO, Ser 2014-4415, Cl IO, IO | ||||||||
0.180%, 04/15/2041(A) | 137 | 5 | ||||||
FHLMC CMO, Ser 2015-4426, Cl QC | ||||||||
1.750%, 07/15/2037 | 483 | 445 | ||||||
FHLMC CMO, Ser 2015-4479, Cl HA | ||||||||
3.750%, 05/15/2039(C) | 170 | 169 | ||||||
FHLMC CMO, Ser 2016-353, Cl S1, IO | ||||||||
3.182%, 12/15/2046(A) | 295 | 27 | ||||||
FHLMC CMO, Ser 2016-4639, Cl HZ | ||||||||
3.250%, 04/15/2053(C) | 1,817 | 1,502 | ||||||
FHLMC CMO, Ser 2017-356, Cl 300 | ||||||||
3.000%, 09/15/2047 | 1,328 | 1,219 | ||||||
FHLMC CMO, Ser 2017-4742, Cl PA | ||||||||
3.000%, 10/15/2047 | 974 | 894 | ||||||
FHLMC CMO, Ser 2018-4813, Cl CJ | ||||||||
3.000%, 08/15/2048 | 196 | 177 | ||||||
FHLMC CMO, Ser 2018-4818, Cl CA | ||||||||
3.000%, 04/15/2048 | 457 | 413 | ||||||
FHLMC CMO, Ser 2018-4846, Cl PA | ||||||||
4.000%, 06/15/2047 | 51 | 50 | ||||||
FHLMC CMO, Ser 2019-4880, Cl DA | ||||||||
3.000%, 05/15/2050 | 649 | 597 | ||||||
FHLMC CMO, Ser 2020-4995, Cl IC, IO | ||||||||
4.500%, 07/25/2050 | 816 | 138 | ||||||
FHLMC CMO, Ser 2020-5010, Cl IK, IO | ||||||||
2.500%, 09/25/2050 | 282 | 42 | ||||||
FHLMC CMO, Ser 2020-5010, Cl JI, IO | ||||||||
2.500%, 09/25/2050 | 750 | 117 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FHLMC CMO, Ser 2020-5012, Cl BI, IO | ||||||||
4.000%, 09/25/2050 | $ | 2,992 | $ | 555 | ||||
FHLMC CMO, Ser 2020-5013, Cl IN, IO | ||||||||
2.500%, 09/25/2050 | 350 | 55 | ||||||
FHLMC CMO, Ser 2020-5018, Cl MI, IO | ||||||||
2.000%, 10/25/2050 | 526 | 72 | ||||||
FHLMC CMO, Ser 2020-5040, Cl IB, IO | ||||||||
2.500%, 11/25/2050 | 152 | 22 | ||||||
FHLMC CMO, Ser 2020-5059, Cl IB, IO | ||||||||
2.500%, 01/25/2051 | 710 | 115 | ||||||
FHLMC CMO, Ser 2021-5070, Cl DI, IO | ||||||||
4.000%, 02/25/2051 | 2,513 | 465 | ||||||
FHLMC CMO, Ser 2021-5071, Cl IH, IO | ||||||||
2.500%, 02/25/2051 | 538 | 71 | ||||||
FHLMC CMO, Ser 2021-5085, Cl NI, IO | ||||||||
2.000%, 03/25/2051 | 1,083 | 129 | ||||||
FHLMC CMO, Ser 2021-5091, Cl AB | ||||||||
1.500%, 03/25/2051 | 1,097 | 917 | ||||||
FHLMC CMO, Ser 2021-5119, Cl AB | ||||||||
1.500%, 08/25/2049 | 452 | 368 | ||||||
FHLMC CMO, Ser 2021-5140, Cl NI, IO | ||||||||
2.500%, 05/25/2049 | 1,031 | 142 | ||||||
FHLMC CMO, Ser 2021-5178, Cl TP | ||||||||
2.500%, 04/25/2049 | 877 | 757 | ||||||
FHLMC CMO, Ser 2021-5182, Cl M | ||||||||
2.500%, 05/25/2049 | 555 | 492 | ||||||
FHLMC CMO, Ser 2022-5201, Cl CA | ||||||||
2.500%, 07/25/2048 | 827 | 742 | ||||||
FHLMC CMO, Ser 2022-5202, Cl LA | ||||||||
2.500%, 05/25/2049 | 792 | 688 | ||||||
FHLMC CMO, Ser 2022-5203, Cl G | ||||||||
2.500%, 11/25/2048 | 353 | 310 | ||||||
FHLMC CMO, Ser 2022-5217, Cl CD | ||||||||
2.500%, 07/25/2049 | 725 | 668 | ||||||
FHLMC CMO, Ser 2022-5224, Cl HL | ||||||||
4.000%, 04/25/2052 | 2,100 | 1,912 | ||||||
FHLMC Multiclass Certificates, Ser P009, Cl A2 | ||||||||
1.878%, 01/25/2031 | 500 | 413 | ||||||
FHLMC Multifamily Structured Pass Through Certificates, Ser K144, Cl A2 | ||||||||
2.450%, 04/25/2032 | 782 | 653 | ||||||
FHLMC Multifamily Structured Pass Through Certificates, Ser K145, Cl A2 | ||||||||
2.580%, 06/25/2055 | 782 | 660 | ||||||
FHLMC Multifamily Structured Pass Through Certificates, Ser K146, Cl A2 | ||||||||
2.920%, 06/25/2032 | 1,491 | 1,304 | ||||||
FHLMC Multifamily Structured Pass Through Certificates, Ser K147, Cl A2 | ||||||||
3.000%, 06/25/2032(A) | 1,491 | 1,313 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
151
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FHLMC Multifamily Structured Pass Through Certificates, Ser K148, Cl A2 | ||||||||
3.500%, 07/25/2032(A) | $ | 1,705 | $ | 1,559 | ||||
FHLMC Multifamily Structured Pass Through Certificates, Ser K149, Cl X1, IO | ||||||||
0.264%, 08/25/2032(A) | 11,000 | 264 | ||||||
FHLMC Multifamily Structured Pass Through Certificates, Ser KG07, Cl A2 | ||||||||
3.123%, 08/25/2032(A) | 780 | 694 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K032, Cl X1, IO | ||||||||
0.179%, 05/25/2023(A) | 29,960 | 14 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K047, Cl A2 | ||||||||
3.329%, 05/25/2025(A) | 280 | 271 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K064, Cl X1, IO | ||||||||
0.739%, 03/25/2027(A) | 4,628 | 103 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K094, Cl X1, IO | ||||||||
1.015%, 06/25/2029(A) | 1,991 | 93 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K094, Cl XAM, IO | ||||||||
1.283%, 06/25/2029(A) | 4,850 | 314 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K095, Cl XAM, IO | ||||||||
1.374%, 06/25/2029(A) | 700 | 49 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K110, Cl X1, IO | ||||||||
1.814%, 04/25/2030(A) | 1,296 | 123 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K723, Cl X1, IO | ||||||||
1.037%, 08/25/2023(A) | 6,330 | 36 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K736, Cl X1, IO | ||||||||
1.414%, 07/25/2026(A) | 972 | 38 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K741, Cl X1, IO | ||||||||
0.656%, 12/25/2027(A) | 2,997 | 73 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K743, Cl X1, IO | ||||||||
1.028%, 05/25/2028(A) | 3,999 | 171 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KC05, Cl X1, IO | ||||||||
1.343%, 06/25/2027(A) | 1,554 | 50 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KLU1, Cl A4 | ||||||||
2.854%, 01/25/2031 | 600 | 541 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KSG2, Cl A2 | ||||||||
2.091%, 11/25/2031(A) | 710 | 582 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser S8FX, Cl A2 | ||||||||
3.291%, 03/25/2027 | $ | 320 | $ | 303 | ||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser X3FX, Cl A2FX | ||||||||
3.000%, 06/25/2027 | 580 | 546 | ||||||
FHLMC STACR REMIC Trust, Ser 2020-DNA1, Cl B1 | ||||||||
5.384%, ICE LIBOR USD 1 Month + 2.300%, 01/25/2050(A)(D) | 590 | 540 | ||||||
FHLMC STACR REMIC Trust, Ser 2021-DNA6, Cl M2 | ||||||||
3.781%, SOFR30A + 1.500%, 10/25/2041(A)(D) | 5,146 | 4,670 | ||||||
FHLMC Structured Pass-Through Certificates, Ser 2007-76, Cl 2A | ||||||||
1.949%, 10/25/2037(A) | 64 | 55 | ||||||
FNMA | ||||||||
7.500%, 10/01/2037 to 04/01/2039 | 73 | 79 | ||||||
7.000%, 09/01/2026 to 02/01/2039 | 290 | 304 | ||||||
6.500%, 05/01/2027 to 05/01/2040 | 97 | 100 | ||||||
6.000%, 02/01/2023 to 07/01/2041 | 1,072 | 1,113 | ||||||
5.500%, 02/01/2035 to 09/01/2056 | 4,072 | 4,152 | ||||||
5.000%, 07/01/2033 to 07/01/2052 | 10,826 | 10,748 | ||||||
4.500%, 04/01/2025 to 08/01/2058 | 21,604 | 20,972 | ||||||
4.440%, 11/01/2032 | 100 | 101 | ||||||
4.200%, 01/01/2029 | 775 | 759 | ||||||
4.060%, 07/01/2032 | 100 | 96 | ||||||
4.000%, 01/01/2027 to 08/01/2059 | 44,556 | 42,048 | ||||||
3.880%, 07/01/2032 | 100 | 95 | ||||||
3.840%, 07/01/2032 to 08/01/2032 | 300 | 284 | ||||||
3.820%, 07/01/2027 | 112 | 106 | ||||||
3.790%, 12/01/2025 | 1,201 | 1,184 | ||||||
3.740%, 09/01/2032 | 200 | 187 | ||||||
3.560%, 07/01/2032 | 100 | 92 | ||||||
3.520%, 06/01/2032 | 100 | 92 | ||||||
3.500%, 05/01/2033 to 05/01/2052 | 40,737 | 37,233 | ||||||
3.450%, 03/01/2029 | 58 | 55 | ||||||
3.250%, 05/01/2029 | 59 | 55 | ||||||
3.160%, 05/01/2029 | 182 | 168 | ||||||
3.020%, 06/01/2024 to 05/01/2026 | 1,540 | 1,523 | ||||||
3.000%, 12/01/2031 to 07/01/2060 | 104,619 | 92,996 | ||||||
2.930%, 06/01/2030 | 77 | 69 | ||||||
2.900%, 11/01/2029 | 500 | 454 | ||||||
2.820%, 07/01/2027 | 559 | 521 | ||||||
2.500%, 03/01/2035 to 09/01/2061 | 95,243 | 81,248 | ||||||
2.455%, 04/01/2040 | 1,920 | 1,363 | ||||||
2.150%, 02/01/2032(A) | 239 | 198 | ||||||
2.000%, 05/01/2036 to 04/01/2052 | 115,334 | 94,698 | ||||||
1.850%, 09/01/2035 | 574 | 483 | ||||||
1.500%, 10/01/2041 to 03/01/2051 | 12,963 | 10,229 |
152
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FNMA ARM | ||||||||
4.650%, SOFR30A + 2.122%, 08/01/2052(A) | $ | 1,938 | $ | 1,912 | ||||
4.615%, SOFR30A + 2.127%, 08/01/2052(A) | 1,291 | 1,278 | ||||||
4.347%, SOFR30A + 2.124%, 07/01/2052(A) | 1,140 | 1,119 | ||||||
4.320%, SOFR30A + 2.125%, 08/01/2052(A) | 1,151 | 1,128 | ||||||
4.225%, SOFR30A + 2.370%, 09/01/2052(A) | 293 | 285 | ||||||
4.200%, SOFR30A + 2.120%, 07/01/2052(A) | 990 | 956 | ||||||
3.963%, SOFR30A + 2.120%, 08/01/2052(A) | 251 | 240 | ||||||
3.686%, SOFR30A + 2.370%, 08/01/2052(A) | 636 | 609 | ||||||
3.017%, 12 Month Treas Avg + 1.929%, 11/01/2035(A) | 173 | 180 | ||||||
2.998%, ICE LIBOR USD 12 Month + 1.579%, 06/01/2045(A) | 270 | 271 | ||||||
2.953%, ICE LIBOR USD 12 Month + 1.641%, 01/01/2043(A) | 90 | 92 | ||||||
2.937%, 12 Month Treas Avg + 1.848%, 10/01/2035(A) | 42 | 43 | ||||||
2.897%, 12 Month Treas Avg + 1.859%, 11/01/2035(A) | 33 | 35 | ||||||
2.875%, 12 Month Treas Avg + 1.854%, 10/01/2035(A) | 159 | 164 | ||||||
2.791%, ICE LIBOR USD 12 Month + 1.584%, 01/01/2046(A) | 770 | 782 | ||||||
2.468%, ICE LIBOR USD 12 Month + 1.579%, 10/01/2043(A) | 275 | 275 | ||||||
2.453%, ICE LIBOR USD 12 Month + 1.564%, 03/01/2043(A) | 40 | 41 | ||||||
2.255%, ICE LIBOR USD 12 Month + 1.560%, 06/01/2043(A) | 80 | 81 | ||||||
1.612%, 12/01/2051(A) | 283 | 253 | ||||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||||
5.500%, 03/25/2029 | 103 | 99 | ||||||
FNMA CMO, Ser 2005-117, Cl LC | ||||||||
5.500%, 11/25/2035 | 35 | 35 | ||||||
FNMA CMO, Ser 2005-29, Cl ZA | ||||||||
5.500%, 04/25/2035 | 126 | 131 | ||||||
FNMA CMO, Ser 2006-112, Cl ST, IO | ||||||||
3.616%, 11/25/2036(A) | 229 | 12 | ||||||
FNMA CMO, Ser 2009-103, Cl MB | ||||||||
3.290%, 12/25/2039(A) | 21 | 21 | ||||||
FNMA CMO, Ser 2009-86, Cl BO, PO | ||||||||
0.000%, 03/25/2037(B) | 441 | 374 | ||||||
FNMA CMO, Ser 2011-59, Cl NZ | ||||||||
5.500%, 07/25/2041 | 900 | 921 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FNMA CMO, Ser 2011-87, Cl SG, IO | ||||||||
3.466%, 04/25/2040(A) | $ | 57 | $ | 2 | ||||
FNMA CMO, Ser 2011-96, Cl SA, IO | ||||||||
3.466%, 10/25/2041(A) | 498 | 36 | ||||||
FNMA CMO, Ser 2012-101, Cl BI, IO | ||||||||
4.000%, 09/25/2027 | 17 | 1 | ||||||
FNMA CMO, Ser 2012-101, Cl AI, IO | ||||||||
3.000%, 06/25/2027 | 93 | 3 | ||||||
FNMA CMO, Ser 2012-133, Cl CS, IO | ||||||||
3.066%, 12/25/2042(A) | 132 | 14 | ||||||
FNMA CMO, Ser 2012-151, Cl NX | ||||||||
1.500%, 01/25/2043 | 346 | 300 | ||||||
FNMA CMO, Ser 2012-28, Cl B | ||||||||
6.500%, 06/25/2039 | 6 | 7 | ||||||
FNMA CMO, Ser 2012-35, Cl SC, IO | ||||||||
3.416%, 04/25/2042(A) | 111 | 12 | ||||||
FNMA CMO, Ser 2012-46, Cl BA | ||||||||
6.000%, 05/25/2042 | 113 | 119 | ||||||
FNMA CMO, Ser 2012-74, Cl SA, IO | ||||||||
3.566%, 03/25/2042(A) | 145 | 10 | ||||||
FNMA CMO, Ser 2012-74, Cl OA, PO | ||||||||
0.000%, 03/25/2042(B) | 11 | 10 | ||||||
FNMA CMO, Ser 2012-75, Cl AO, PO | ||||||||
0.000%, 03/25/2042(B) | 22 | 20 | ||||||
FNMA CMO, Ser 2013-11, Cl AP | ||||||||
1.500%, 01/25/2043 | 1,232 | 1,094 | ||||||
FNMA CMO, Ser 2013-111, Cl PL | ||||||||
2.000%, 12/25/2042 | 298 | 262 | ||||||
FNMA CMO, Ser 2013-124, Cl SB, IO | ||||||||
2.866%, 12/25/2043(A) | 217 | 20 | ||||||
FNMA CMO, Ser 2013-126, Cl CS, IO | ||||||||
3.066%, 09/25/2041(A) | 175 | 10 | ||||||
FNMA CMO, Ser 2013-35, Cl CL | ||||||||
3.000%, 02/25/2043 | 6,875 | 6,452 | ||||||
FNMA CMO, Ser 2013-43, Cl BP | ||||||||
1.750%, 05/25/2043 | 397 | 347 | ||||||
FNMA CMO, Ser 2013-54, Cl BS, IO | ||||||||
3.066%, 06/25/2043(A) | 81 | 9 | ||||||
FNMA CMO, Ser 2013-73, Cl IA, IO | ||||||||
3.000%, 09/25/2032 | 212 | 14 | ||||||
FNMA CMO, Ser 2013-73, Cl IB, IO | ||||||||
3.500%, 07/25/2028 | 34 | 2 | ||||||
FNMA CMO, Ser 2013-9, Cl SA, IO | ||||||||
3.066%, 03/25/2042(A) | 179 | 9 | ||||||
FNMA CMO, Ser 2013-9, Cl CB | ||||||||
5.500%, 04/25/2042 | 1,055 | 1,078 | ||||||
FNMA CMO, Ser 2013-9, Cl BC | ||||||||
6.500%, 07/25/2042 | 138 | 147 | ||||||
FNMA CMO, Ser 2014-47, Cl AI, IO | ||||||||
0.124%, 08/25/2044(A) | 93 | 4 | ||||||
FNMA CMO, Ser 2015-55, Cl IO, IO | ||||||||
0.309%, 08/25/2055(A) | 251 | 8 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
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September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FNMA CMO, Ser 2015-56, Cl AS, IO | ||||||||
3.066%, 08/25/2045(A) | $ | 33 | $ | 4 | ||||
FNMA CMO, Ser 2015-65, Cl CZ | ||||||||
3.500%, 09/25/2045 | 256 | 221 | ||||||
FNMA CMO, Ser 2015-84, Cl PA | ||||||||
1.700%, 08/25/2033 | 1,423 | 1,301 | ||||||
FNMA CMO, Ser 2016-37, Cl MJ | ||||||||
3.500%, 08/25/2043 | 70 | 69 | ||||||
FNMA CMO, Ser 2016-48, Cl MA | ||||||||
2.000%, 06/25/2038 | 1,425 | 1,291 | ||||||
FNMA CMO, Ser 2016-57, Cl PC | ||||||||
1.750%, 06/25/2046 | 2,750 | 2,301 | ||||||
FNMA CMO, Ser 2017-13, Cl PA | ||||||||
3.000%, 08/25/2046 | 548 | 501 | ||||||
FNMA CMO, Ser 2017-76, Cl SB, IO | ||||||||
3.016%, 10/25/2057(A) | 835 | 83 | ||||||
FNMA CMO, Ser 2017-85, Cl SC, IO | ||||||||
3.116%, 11/25/2047(A) | 261 | 23 | ||||||
FNMA CMO, Ser 2018-14, Cl KC | ||||||||
3.000%, 03/25/2048 | 987 | 915 | ||||||
FNMA CMO, Ser 2018-43, Cl CT | ||||||||
3.000%, 06/25/2048 | 748 | 675 | ||||||
FNMA CMO, Ser 2018-54, Cl KA | ||||||||
3.500%, 01/25/2047 | 290 | 281 | ||||||
FNMA CMO, Ser 2018-8, Cl KL | ||||||||
2.500%, 03/25/2047 | 270 | 238 | ||||||
FNMA CMO, Ser 2019-15, Cl AB | ||||||||
3.500%, 05/25/2053 | 1,173 | 1,112 | ||||||
FNMA CMO, Ser 2019-25, Cl PA | ||||||||
3.000%, 05/25/2048 | 920 | 848 | ||||||
FNMA CMO, Ser 2019-79, Cl FA | ||||||||
3.584%, ICE LIBOR USD 1 Month + 0.500%, 01/25/2050(A) | 1,369 | 1,355 | ||||||
FNMA CMO, Ser 2020-25, Cl BI, IO | ||||||||
3.500%, 01/25/2047 | 669 | 107 | ||||||
FNMA CMO, Ser 2020-45, Cl JL | ||||||||
3.000%, 07/25/2040 | 1,055 | 960 | ||||||
FNMA CMO, Ser 2020-47, Cl GZ | ||||||||
2.000%, 07/25/2050 | 418 | 250 | ||||||
FNMA CMO, Ser 2020-48, Cl AB | ||||||||
2.000%, 07/25/2050 | 452 | 393 | ||||||
FNMA CMO, Ser 2020-48, Cl DA | ||||||||
2.000%, 07/25/2050 | 1,364 | 1,166 | ||||||
FNMA CMO, Ser 2020-56, Cl DI, IO | ||||||||
2.500%, 08/25/2050 | 566 | 90 | ||||||
FNMA CMO, Ser 2020-56, Cl AQ | ||||||||
2.000%, 08/25/2050 | 900 | 711 | ||||||
FNMA CMO, Ser 2020-64, Cl IB, IO | ||||||||
4.000%, 09/25/2050 | 964 | 194 | ||||||
FNMA CMO, Ser 2020-65, Cl EI, IO | ||||||||
4.000%, 09/25/2050 | 1,689 | 364 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FNMA CMO, Ser 2020-65, Cl JI, IO | ||||||||
4.000%, 09/25/2050 | $ | 2,036 | $ | 375 | ||||
FNMA CMO, Ser 2020-65, Cl DI, IO | ||||||||
4.000%, 09/25/2050 | 1,128 | 209 | ||||||
FNMA CMO, Ser 2020-96, Cl IN, IO | ||||||||
3.000%, 01/25/2051 | 754 | 125 | ||||||
FNMA CMO, Ser 2021-1, Cl IG, IO | ||||||||
2.500%, 02/25/2051 | 175 | 30 | ||||||
FNMA CMO, Ser 2021-27, Cl EC | ||||||||
1.500%, 05/25/2051 | 1,921 | 1,592 | ||||||
FNMA CMO, Ser 2021-78, Cl ND | ||||||||
1.500%, 11/25/2051 | 1,123 | 931 | ||||||
FNMA CMO, Ser 2021-78, Cl PA | ||||||||
2.500%, 11/25/2051 | 601 | 526 | ||||||
FNMA CMO, Ser 2022-11, Cl A | ||||||||
2.500%, 07/25/2047 | 1,685 | 1,534 | ||||||
FNMA CMO, Ser 2022-28, Cl CA | ||||||||
2.000%, 01/25/2048 | 662 | 594 | ||||||
FNMA Connecticut Avenue Securities Trust, Ser 2019-R02, Cl 1M2 | ||||||||
4.744%, ICE LIBOR USD 1 Month + 2.300%, 08/25/2031(A)(D) | 155 | 154 | ||||||
FNMA Connecticut Avenue Securities Trust, Ser 2019-R07, Cl 1M2 | ||||||||
5.184%, ICE LIBOR USD 1 Month + 2.100%, 10/25/2039(A)(D) | 225 | 224 | ||||||
FNMA Connecticut Avenue Securities, Ser 2014-C02, Cl 1M2 | ||||||||
5.684%, ICE LIBOR USD 1 Month + 2.600%, 05/25/2024(A) | 377 | 376 | ||||||
FNMA Connecticut Avenue Securities, Ser 2014-C03, Cl 1M2 | ||||||||
6.084%, ICE LIBOR USD 1 Month + 3.000%, 07/25/2024(A) | 1,398 | 1,404 | ||||||
FNMA Connecticut Avenue Securities, Ser 2018-C05, Cl 1B1 | ||||||||
6.694%, ICE LIBOR USD 1 Month + 4.250%, 01/25/2031(A) | 540 | 548 | ||||||
FNMA Interest CMO, Ser 2005-360, Cl 2, IO | ||||||||
5.000%, 08/25/2035 | 511 | 93 | ||||||
FNMA Interest CMO, Ser 2012-409, Cl C22, IO | ||||||||
4.500%, 11/25/2039 | 150 | 31 | ||||||
FNMA Interest CMO, Ser 2012-409, Cl C2, IO | ||||||||
3.000%, 04/25/2027 | 140 | 6 | ||||||
FNMA Interest CMO, Ser 2012-409, Cl C13, IO | ||||||||
3.500%, 11/25/2041 | 121 | 19 | ||||||
FNMA Interest CMO, Ser 2012-411, Cl A3 | ||||||||
3.000%, 08/25/2042 | 654 | 588 | ||||||
FNMA Interest CMO, Ser 2012-414, Cl A35 | ||||||||
3.500%, 10/25/2042 | 949 | 895 |
154
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FNMA Interest CMO, Ser 2018-424, Cl C11, IO | ||||||||
3.500%, 02/25/2048 | $ | 1,262 | $ | 248 | ||||
FNMA TBA | ||||||||
6.000%, 11/01/2037 to 12/01/2037 | 10,445 | 10,561 | ||||||
5.500%, 12/01/2035 to 10/15/2052 | 12,550 | 12,461 | ||||||
5.000%, 10/15/2052 | 23,795 | 23,178 | ||||||
4.520%, 11/01/2032 | 300 | 301 | ||||||
4.500%, 10/15/2052 to 11/15/2052 | 44,483 | 42,372 | ||||||
4.410%, 10/01/2032 to 11/01/2032 | 500 | 503 | ||||||
4.370%, 12/01/2032 | 200 | 201 | ||||||
4.260%, 11/01/2032 | 200 | 197 | ||||||
4.000%, 10/15/2052 | 14,954 | 13,875 | ||||||
3.500%, 10/15/2052 | 8,305 | 7,474 | ||||||
3.000%, 10/15/2052 | 35,859 | 31,204 | ||||||
2.500%, 10/15/2027 to 11/15/2052 | 70,472 | 59,197 | ||||||
2.000%, 10/15/2037 to 11/15/2052 | 73,209 | 59,475 | ||||||
FNMA, Ser 2014-M8, Cl X2, IO | ||||||||
0.413%, 06/25/2024(A) | 2,768 | 9 | ||||||
FNMA, Ser 2017-M7, Cl A2 | ||||||||
2.961%, 02/25/2027(A) | 294 | 276 | ||||||
FNMA, Ser M13, Cl A2 | ||||||||
2.593%, 06/25/2032 | 620 | 528 | ||||||
FNMA, Ser M15, Cl 1A2 | ||||||||
3.700%, 01/25/2036 | 100 | 91 | ||||||
FNMA, Ser M36, Cl X1, IO | ||||||||
1.552%, 09/25/2034(A) | 560 | 46 | ||||||
FREMF Mortgage Trust, Ser 2019-KF58, Cl B | ||||||||
4.703%, ICE LIBOR USD 1 Month + 2.150%, 01/25/2026(A)(D) | 709 | 697 | ||||||
GNMA | ||||||||
8.000%, 11/15/2029 to 09/15/2030 | 29 | 29 | ||||||
7.500%, 03/15/2029 to 10/15/2037 | 36 | 37 | ||||||
7.000%, 09/15/2031 | 14 | 15 | ||||||
6.500%, 07/15/2028 to 12/15/2035 | 763 | 794 | ||||||
6.000%, 12/15/2028 to 10/20/2040 | 1,390 | 1,453 | ||||||
5.510%, 07/20/2060(A) | 1 | 1 | ||||||
5.000%, 12/20/2039 to 03/20/2049 | 5,335 | 5,295 | ||||||
4.700%, 09/20/2061(A) | 93 | 92 | ||||||
4.536%, 01/20/2069(A) | 10 | 10 | ||||||
4.500%, 04/20/2041 to 12/20/2050 | 6,341 | 6,171 | ||||||
4.000%, 06/20/2047 to 11/20/2050 | 9,887 | 9,378 | ||||||
3.630%, 04/20/2063(A) | 11 | 11 | ||||||
3.500%, 01/20/2046 to 06/20/2052 | 12,433 | 11,445 | ||||||
3.000%, 09/15/2042 to 04/20/2052 | 21,856 | 19,442 | ||||||
2.500%, 04/20/2051 to 12/20/2051 | 12,383 | 10,675 | ||||||
2.000%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.500%, 02/20/2034(A) | 87 | 86 | ||||||
GNMA CMO, Ser 2007-17, Cl IB, IO | ||||||||
3.236%, 04/20/2037(A) | 273 | 14 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GNMA CMO, Ser 2007-51, Cl SG, IO | ||||||||
3.566%, 08/20/2037(A) | $ | 34 | $ | 2 | ||||
GNMA CMO, Ser 2007-78, Cl SA, IO | ||||||||
3.591%, 12/16/2037(A) | 355 | 15 | ||||||
GNMA CMO, Ser 2009-66, Cl XS, IO | ||||||||
3.861%, 07/16/2039(A) | 192 | 9 | ||||||
GNMA CMO, Ser 2010-4, Cl NS, IO | ||||||||
3.451%, 01/16/2040(A) | 2,237 | 211 | ||||||
GNMA CMO, Ser 2010-85, Cl HS, IO | ||||||||
3.636%, 01/20/2040(A) | 6 | – | ||||||
GNMA CMO, Ser 2010-H11, Cl FA | ||||||||
3.493%, ICE LIBOR USD 1 Month + 1.000%, 06/20/2060(A) | 300 | 300 | ||||||
GNMA CMO, Ser 2010-H27, Cl FA | ||||||||
2.737%, ICE LIBOR USD 1 Month + 0.380%, 12/20/2060(A) | 831 | 823 | ||||||
GNMA CMO, Ser 2010-H28, Cl FE | ||||||||
2.757%, ICE LIBOR USD 1 Month + 0.400%, 12/20/2060(A) | 285 | 282 | ||||||
GNMA CMO, Ser 2011-H08, Cl FD | ||||||||
2.857%, ICE LIBOR USD 1 Month + 0.500%, 02/20/2061(A) | 137 | 136 | ||||||
GNMA CMO, Ser 2011-H08, Cl FG | ||||||||
2.837%, ICE LIBOR USD 1 Month + 0.480%, 03/20/2061(A) | 296 | 293 | ||||||
GNMA CMO, Ser 2011-H09, Cl AF | ||||||||
2.857%, ICE LIBOR USD 1 Month + 0.500%, 03/20/2061(A) | 206 | 204 | ||||||
GNMA CMO, Ser 2012-141, Cl WA | ||||||||
4.525%, 11/16/2041(A) | 182 | 179 | ||||||
GNMA CMO, Ser 2012-34, Cl SA, IO | ||||||||
3.036%, 03/20/2042(A) | 261 | 27 | ||||||
GNMA CMO, Ser 2012-43, Cl SN, IO | ||||||||
3.661%, 04/16/2042(A) | 45 | 6 | ||||||
GNMA CMO, Ser 2012-98, Cl SA, IO | ||||||||
3.161%, 08/16/2042(A) | 111 | 11 | ||||||
GNMA CMO, Ser 2012-H25, Cl FA | ||||||||
3.057%, ICE LIBOR USD 1 Month + 0.700%, 12/20/2061(A) | 6 | 6 | ||||||
GNMA CMO, Ser 2012-H27, Cl AI, IO | ||||||||
1.585%, 10/20/2062(A) | 604 | 16 | ||||||
GNMA CMO, Ser 2013-53, Cl OI, IO | ||||||||
3.500%, 04/20/2043 | 92 | 10 | ||||||
GNMA CMO, Ser 2013-69, Cl AI, IO | ||||||||
3.500%, 05/20/2043 | 277 | 45 | ||||||
GNMA CMO, Ser 2014-5, Cl SP, IO | ||||||||
3.211%, 06/16/2043(A) | 80 | 3 | ||||||
GNMA CMO, Ser 2014-H10, Cl TA | ||||||||
2.957%, ICE LIBOR USD 1 Month + 0.600%, 04/20/2064(A) | 428 | 424 | ||||||
GNMA CMO, Ser 2015-167, Cl OI, IO | ||||||||
4.000%, 04/16/2045 | 73 | 12 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
155
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GNMA CMO, Ser 2015-H10, Cl FC | ||||||||
2.837%, ICE LIBOR USD 1 Month + 0.480%, 04/20/2065(A) | $ | 265 | $ | 263 | ||||
GNMA CMO, Ser 2015-H18, Cl FA | ||||||||
2.807%, ICE LIBOR USD 1 Month + 0.450%, 06/20/2065(A) | 126 | 125 | ||||||
GNMA CMO, Ser 2015-H20, Cl FA | ||||||||
2.827%, ICE LIBOR USD 1 Month + 0.470%, 08/20/2065(A) | 186 | 184 | ||||||
GNMA CMO, Ser 2016-135, Cl SB, IO | ||||||||
3.161%, 10/16/2046(A) | 210 | 29 | ||||||
GNMA CMO, Ser 2017-167, Cl BQ | ||||||||
2.500%, 08/20/2044 | 535 | 499 | ||||||
GNMA CMO, Ser 2017-H15, Cl KI, IO | ||||||||
1.698%, 07/20/2067(A) | 492 | 28 | ||||||
GNMA CMO, Ser 2017-H18, Cl BI, IO | ||||||||
2.655%, 09/20/2067(A) | 3,174 | 112 | ||||||
GNMA CMO, Ser 2017-H20, Cl IB, IO | ||||||||
2.294%, 10/20/2067(A) | 225 | 10 | ||||||
GNMA CMO, Ser 2017-H22, Cl IC, IO | ||||||||
3.115%, 11/20/2067(A) | 105 | 3 | ||||||
GNMA CMO, Ser 2018-11, Cl PC | ||||||||
2.750%, 12/20/2047 | 503 | 464 | ||||||
GNMA CMO, Ser 2018-H06, Cl PF | ||||||||
2.657%, ICE LIBOR USD 1 Month + 0.300%, 02/20/2068(A) | 291 | 288 | ||||||
GNMA CMO, Ser 2018-H07, Cl FD | ||||||||
2.657%, ICE LIBOR USD 1 Month + 0.300%, 05/20/2068(A) | 523 | 520 | ||||||
GNMA CMO, Ser 2019-132, Cl NA | ||||||||
3.500%, 09/20/2049 | 379 | 363 | ||||||
GNMA CMO, Ser 2019-31, Cl JC | ||||||||
3.500%, 03/20/2049 | 277 | 263 | ||||||
GNMA CMO, Ser 2019-90, Cl AB | ||||||||
3.000%, 07/20/2049 | 318 | 292 | ||||||
GNMA CMO, Ser 2020-123, Cl NI, IO | ||||||||
2.500%, 08/20/2050 | 656 | 91 | ||||||
GNMA CMO, Ser 2020-123, Cl IL, IO | ||||||||
2.500%, 08/20/2050 | 246 | 36 | ||||||
GNMA CMO, Ser 2020-127, Cl IN, IO | ||||||||
2.500%, 08/20/2050 | 327 | 48 | ||||||
GNMA CMO, Ser 2020-129, Cl IE, IO | ||||||||
2.500%, 09/20/2050 | 255 | 38 | ||||||
GNMA CMO, Ser 2020-160, Cl YI, IO | ||||||||
2.500%, 10/20/2050 | 948 | 129 | ||||||
GNMA CMO, Ser 2020-160, Cl VI, IO | ||||||||
2.500%, 10/20/2050 | 251 | 37 | ||||||
GNMA CMO, Ser 2020-160, Cl IH, IO | ||||||||
2.500%, 10/20/2050 | 173 | 26 | ||||||
GNMA CMO, Ser 2020-175, Cl GI, IO | ||||||||
2.000%, 11/20/2050 | 327 | 35 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GNMA CMO, Ser 2020-181, Cl WI, IO | ||||||||
2.000%, 12/20/2050 | $ | 2,130 | $ | 237 | ||||
GNMA CMO, Ser 2020-47, Cl NI, IO | ||||||||
3.500%, 04/20/2050 | 228 | 35 | ||||||
GNMA CMO, Ser 2020-47, Cl MI, IO | ||||||||
3.500%, 04/20/2050 | 565 | 91 | ||||||
GNMA CMO, Ser 2020-H09, Cl FL | ||||||||
2.883%, ICE LIBOR USD 1 Month + 1.150%, 05/20/2070(A) | 585 | 582 | ||||||
GNMA CMO, Ser 2020-H09, Cl NF | ||||||||
3.607%, ICE LIBOR USD 1 Month + 1.250%, 04/20/2070(A) | 253 | 255 | ||||||
GNMA CMO, Ser 2020-H12, Cl F | ||||||||
2.857%, ICE LIBOR USD 1 Month + 0.500%, 07/20/2070(A) | 51 | 50 | ||||||
GNMA CMO, Ser 2020-H13, Cl FA | ||||||||
2.807%, ICE LIBOR USD 1 Month + 0.450%, 07/20/2070(A) | 604 | 586 | ||||||
GNMA CMO, Ser 2021-115, Cl MI, IO | ||||||||
2.500%, 05/20/2051 | 449 | 51 | ||||||
GNMA CMO, Ser 2021-176, Cl IN, IO | ||||||||
2.500%, 10/20/2051 | 1,122 | 153 | ||||||
GNMA CMO, Ser 2021-23, Cl MG | ||||||||
1.500%, 02/20/2051 | 1,306 | 1,118 | ||||||
GNMA CMO, Ser 2021-29, Cl TI, IO | ||||||||
2.500%, 02/20/2051 | 476 | 82 | ||||||
GNMA CMO, Ser 2021-57, Cl BI, IO | ||||||||
3.000%, 03/20/2051 | 1,489 | 219 | ||||||
GNMA CMO, Ser 2021-96, Cl VI, IO | ||||||||
2.500%, 06/20/2051 | 935 | 140 | ||||||
GNMA CMO, Ser 2022-107, Cl C | ||||||||
2.500%, 06/20/2051 | 2,315 | 1,951 | ||||||
GNMA CMO, Ser 2022-31, Cl GH | ||||||||
2.500%, 12/20/2049 | 1,589 | 1,438 | ||||||
GNMA CMO, Ser 2022-50, Cl DC | ||||||||
2.500%, 08/20/2051 | 687 | 587 | ||||||
GNMA CMO, Ser 2022-84, Cl A | ||||||||
2.500%, 01/20/2052 | 4,397 | 3,706 | ||||||
GNMA TBA | ||||||||
5.000%, 10/01/2033 | 9,465 | 9,263 | ||||||
4.500%, 10/15/2052 | 25,465 | 24,374 | ||||||
4.000%, 10/15/2052 | 4,383 | 4,093 | ||||||
3.500%, 10/15/2052 | 6,488 | 5,901 | ||||||
3.000%, 10/15/2052 | 7,621 | 6,734 | ||||||
2.500%, 10/15/2052 | 28,550 | 24,528 | ||||||
2.000%, 10/15/2052 | 1,600 | 1,332 | ||||||
GNMA, Ser 103, Cl AD | ||||||||
1.450%, 01/16/2063 | 780 | 631 | ||||||
GNMA, Ser 107, Cl AD | ||||||||
2.849%, 11/16/2047(A) | 236 | 216 | ||||||
GNMA, Ser 110, Cl IO, IO | ||||||||
0.871%, 11/16/2063(A) | 2,408 | 172 |
156
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GNMA, Ser 113, Cl Z | ||||||||
2.000%, 09/16/2061 | $ | 2,211 | $ | 1,485 | ||||
GNMA, Ser 14, Cl AB | ||||||||
1.340%, 06/16/2063 | 520 | 400 | ||||||
GNMA, Ser 2012-112, Cl IO, IO | ||||||||
0.128%, 02/16/2053(A) | 437 | 1 | ||||||
GNMA, Ser 2012-152, Cl IO, IO | ||||||||
0.583%, 01/16/2054(A) | 2,562 | 42 | ||||||
GNMA, Ser 2012-27, Cl IO, IO | ||||||||
0.293%, 04/16/2053(A) | 551 | 2 | ||||||
GNMA, Ser 2013-96, Cl IO, IO | ||||||||
0.051%, 10/16/2054(A) | 645 | 2 | ||||||
GNMA, Ser 2014-47, Cl IA, IO | ||||||||
0.146%, 02/16/2048(A) | 56 | – | ||||||
GNMA, Ser 2014-50, Cl IO, IO | ||||||||
0.630%, 09/16/2055(A) | 244 | 7 | ||||||
GNMA, Ser 2014-92, Cl IX, IO | ||||||||
0.108%, 05/16/2054(A) | 2,946 | 17 | ||||||
GNMA, Ser 2015-5, Cl IK, IO | ||||||||
0.326%, 11/16/2054(A) | 2,722 | 30 | ||||||
GNMA, Ser 2019-71, Cl PT | ||||||||
3.000%, 06/20/2049 | 168 | 155 | ||||||
GNMA, Ser 21, Cl AH | ||||||||
1.400%, 06/16/2063 | 92 | 72 | ||||||
GNMA, Ser 3, Cl IO, IO | ||||||||
0.640%, 02/16/2061(A) | 692 | 39 | ||||||
GNMA, Ser 3, Cl B | ||||||||
1.850%, 02/16/2061 | 300 | 189 | ||||||
GNMA, Ser 41, Cl IO, IO | ||||||||
0.618%, 07/16/2058(A) | 588 | 18 | ||||||
GNMA, Ser 59, Cl IO, IO | ||||||||
0.571%, 02/16/2062(A) | 3,470 | 190 | ||||||
GNMA, Ser 60, Cl IO, IO | ||||||||
0.826%, 05/16/2063(A) | 2,307 | 150 | ||||||
1,115,997 | ||||||||
Non-Agency Mortgage-Backed Obligations — 6.4% | ||||||||
Alen Mortgage Trust, Ser ACEN, Cl A | ||||||||
3.968%, ICE LIBOR USD 1 Month + 1.150%, 04/15/2034(A)(D) | 885 | 847 | ||||||
Alternative Loan Trust, Ser 2006-18CB, Cl A6 | ||||||||
16.264%, 07/25/2036(A) | 148 | 138 | ||||||
American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A | ||||||||
5.566%, ICE LIBOR USD 6 Month + 2.000%, 06/25/2045(A) | 501 | 497 | ||||||
American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A | ||||||||
5.345%, ICE LIBOR USD 6 Month + 1.750%, 11/25/2045(A) | 714 | 348 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
American Home Mortgage Investment Trust, Ser 2006-1, Cl 12A1 | ||||||||
3.484%, ICE LIBOR USD 1 Month + 0.400%, 03/25/2046(A) | $ | 2,117 | $ | 1,902 | ||||
Angel Oak Mortgage Trust I, Ser 2019-2, Cl A1 | ||||||||
3.628%, 03/25/2049(A)(D) | 1 | 1 | ||||||
Angel Oak Mortgage Trust, Ser 2020-2, Cl A1A | ||||||||
2.531%, 01/26/2065(A)(D) | 300 | 278 | ||||||
Angel Oak Mortgage Trust, Ser 2020-5, Cl A1 | ||||||||
1.373%, 05/25/2065(A)(D) | 102 | 91 | ||||||
Angel Oak Mortgage Trust, Ser 2021-6, Cl A1 | ||||||||
1.458%, 09/25/2066(A)(D) | 537 | 428 | ||||||
Angel Oak Mortgage Trust, Ser 2022-2, Cl A1 | ||||||||
3.353%, 01/25/2067(A)(D) | 5,124 | 4,597 | ||||||
Arbor Multifamily Mortgage Securities Trust, Ser MF2, Cl B | ||||||||
2.560%, 06/15/2054(A)(D) | 615 | 463 | ||||||
AREIT Trust, Ser CRE3, Cl A | ||||||||
4.306%, TSFR1M + 1.384%, 09/14/2036(A)(D) | 646 | 644 | ||||||
AREIT, Ser CRE7, Cl A | ||||||||
5.260%, TSFR1M + 2.242%, 06/17/2039(A)(D) | 2,050 | 2,009 | ||||||
BAMLL Commercial Mortgage Securities Trust, Ser 2018-PARK, Cl A | ||||||||
4.227%, 08/10/2038(A)(D) | 1,790 | 1,622 | ||||||
BAMLL Re-REMIC Trust, Ser 2016-GG10, Cl AJA | ||||||||
5.809%, 08/10/2045(A)(D) | 936 | 271 | ||||||
BANK 2022, Ser BNK40, Cl A4 | ||||||||
3.507%, 03/15/2064(A) | 605 | 526 | ||||||
BANK, Ser BNK42, Cl A5 | ||||||||
4.493%, 06/15/2055(A) | 655 | 621 | ||||||
BANK, Ser BNK43, Cl A5 | ||||||||
4.399%, 08/15/2055 | 1,715 | 1,610 | ||||||
Barclays Commercial Mortgage Trust, Ser C3, Cl A3 | ||||||||
3.319%, 05/15/2052 | 110 | 98 | ||||||
Bayview MSR Opportunity Master Fund Trust, Ser 2022-2, Cl A1 | ||||||||
3.000%, 12/25/2051(A)(D) | 1,882 | 1,552 | ||||||
BBCMS Mortgage Trust, Ser C2, Cl ASB | ||||||||
4.236%, 12/15/2051 | 221 | 213 | ||||||
BBCMS Mortgage Trust, Ser C6, Cl A2 | ||||||||
2.690%, 02/15/2053 | 660 | 621 | ||||||
BBCMS Trust, Ser 2015-SRCH, Cl A1 | ||||||||
3.312%, 08/10/2035(D) | 510 | 473 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
157
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A | ||||||||
3.102%, 05/25/2034(A) | $ | 4 | $ | 4 | ||||
Bear Stearns ARM Trust, Ser 2003-7, Cl 9A | ||||||||
3.076%, 10/25/2033(A) | 266 | 249 | ||||||
Bear Stearns Asset Backed Securities I Trust, Ser 2005-AC8, Cl A3, IO | ||||||||
4.566%, 11/25/2035(A) | 2,364 | 451 | ||||||
Bear Stearns Asset-Backed Securities I Trust, Ser 2005-AC6, Cl 1A3 | ||||||||
5.500%, 09/25/2035(A) | 634 | 550 | ||||||
Bear Stearns Mortgage Funding Trust, Ser 2007-AR3, Cl 1A1 | ||||||||
3.224%, ICE LIBOR USD 1 Month + 0.140%, 03/25/2037(A) | 2,525 | 2,158 | ||||||
Benchmark Mortgage Trust, Ser B31, Cl A5 | ||||||||
2.669%, 12/15/2054 | 1,274 | 1,036 | ||||||
Benchmark Mortgage Trust, Ser B33, Cl A5 | ||||||||
3.458%, 03/15/2055 | 935 | 817 | ||||||
Benchmark Mortgage Trust, Ser B35, Cl AS | ||||||||
4.594%, 05/15/2055(A) | 645 | 577 | ||||||
Benchmark Mortgage Trust, Ser B35, Cl A5 | ||||||||
4.594%, 05/15/2055(A) | 1,069 | 1,011 | ||||||
Benchmark Mortgage Trust, Ser B36, Cl A5 | ||||||||
4.470%, 07/15/2055(A) | 292 | 275 | ||||||
BMO Mortgage Trust, Ser C1, Cl A1 | ||||||||
2.198%, 02/15/2055 | 728 | 680 | ||||||
BPR Trust, Ser OANA, Cl A | ||||||||
4.743%, TSFR1M + 1.898%, 04/15/2037(A)(D) | 915 | 901 | ||||||
BPR Trust, Ser STAR, Cl A | ||||||||
6.077%, TSFR1M + 3.232%, 08/15/2024(A)(D) | 1,750 | 1,728 | ||||||
BPR Trust, Ser TY, Cl A | ||||||||
3.868%, ICE LIBOR USD 1 Month + 1.050%, 09/15/2038(A)(D) | 1,160 | 1,102 | ||||||
Bunker Hill Loan Depositary Trust, Ser 2019-2, Cl A1 | ||||||||
2.879%, 07/25/2049(C)(D) | 385 | 358 | ||||||
Bunker Hill Loan Depositary Trust, Ser 2019-3, Cl A1 | ||||||||
2.724%, 11/25/2059(C)(D) | 244 | 236 | ||||||
BWAY Mortgage Trust, Ser 1740, Cl A | ||||||||
2.917%, 01/10/2035(D) | 1,540 | 1,385 | ||||||
BX Commercial Mortgage Trust, Ser 2019-XL, Cl F | ||||||||
4.818%, ICE LIBOR USD 1 Month + 2.000%, 10/15/2036(A)(D) | 2,303 | 2,211 | ||||||
BX Commercial Mortgage Trust, Ser 2019-XL, Cl A | ||||||||
3.738%, ICE LIBOR USD 1 Month + 0.920%, 10/15/2036(A)(D) | 4,653 | 4,583 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
BX Commercial Mortgage Trust, Ser VIV4, Cl A | ||||||||
2.843%, 03/09/2044(D) | $ | 2,000 | $ | 1,615 | ||||
BX Commercial Mortgage Trust, Ser VOLT, Cl A | ||||||||
3.518%, ICE LIBOR USD 1 Month + 0.700%, 09/15/2036(A)(D) | 2,867 | 2,737 | ||||||
BX Commercial Mortgage Trust, Ser XL2, Cl A | ||||||||
3.507%, ICE LIBOR USD 1 Month + 0.689%, 10/15/2038(A)(D) | 965 | 925 | ||||||
BX Trust, Ser 2019-OC11, Cl A | ||||||||
3.202%, 12/09/2041(D) | 1,200 | 1,000 | ||||||
BX Trust, Ser GPA, Cl A | ||||||||
4.665%, TSFR1M + 2.165%, 10/15/2039(A)(D) | 1,285 | 1,277 | ||||||
BX Trust, Ser MMP, Cl A | ||||||||
3.818%, ICE LIBOR USD 1 Month + 1.000%, 08/15/2036(A)(D) | 483 | 470 | ||||||
BX Trust, Ser PSB, Cl A | ||||||||
5.296%, TSFR1M + 2.451%, 08/15/2039(A)(D) | 1,005 | 1,003 | ||||||
Cali Mortgage Trust, Ser 101C, Cl A | ||||||||
3.957%, 03/10/2039(D) | 1,280 | 1,130 | ||||||
CD Commercial Mortgage Trust, Ser 2006-CD2, Cl X, IO | ||||||||
0.023%, 01/15/2046(A)(D) | 52 | – | ||||||
CD Commercial Mortgage Trust, Ser 2017-CD3, Cl A4 | ||||||||
3.631%, 02/10/2050 | 310 | 289 | ||||||
CD Commercial Mortgage Trust, Ser 2017-CD5, Cl XA, IO | ||||||||
0.930%, 08/15/2050(A) | 7,508 | 223 | ||||||
CD Mortgage Trust, Ser CD3, Cl AS | ||||||||
3.833%, 02/10/2050 | 3,843 | 3,482 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2017-C8, Cl ASB | ||||||||
3.367%, 06/15/2050 | 281 | 269 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2017-C8, Cl A4 | ||||||||
3.572%, 06/15/2050 | 371 | 343 | ||||||
CFCRE Commercial Mortgage Trust, Ser C4, Cl AM | ||||||||
3.691%, 05/10/2058 | 2,502 | 2,311 | ||||||
CFK Trust, Ser 2020-MF2, Cl E | ||||||||
3.573%, 03/15/2039(A)(D) | 2,840 | 2,295 | ||||||
CFK Trust, Ser MF2, Cl F | ||||||||
3.573%, 03/15/2039(A)(D) | 2,960 | 2,314 | ||||||
Chase Mortgage Finance, Ser 2007-A1, Cl 9A1 | ||||||||
3.087%, 02/25/2037(A) | 3 | 3 |
158
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1 | ||||||||
3.647%, 02/25/2037(A) | $ | 6 | $ | 6 | ||||
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1 | ||||||||
3.213%, 06/25/2035(A) | 6 | 6 | ||||||
CIM Trust, Ser 2018-INV1, Cl A4 | ||||||||
4.000%, 08/25/2048(A)(D) | 57 | 54 | ||||||
CIM Trust, Ser 2021-R6, Cl A1 | ||||||||
1.425%, 07/25/2061(A)(D) | 1,237 | 1,087 | ||||||
CIM TRUST, Ser 2022-R2, Cl A1 | ||||||||
3.750%, 12/25/2061(A)(D) | 744 | 701 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2013-375P, Cl A | ||||||||
3.251%, 05/10/2035(D) | 240 | 234 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2019-GC41, Cl A5 | ||||||||
2.869%, 08/10/2056 | 2,680 | 2,299 | ||||||
Citigroup Commercial Mortgage Trust, Ser GC48, Cl A5 | ||||||||
4.743%, 05/15/2054(A) | 594 | 569 | ||||||
Citigroup Global Markets Mortgage Securities VII, Ser 2003-HYB1, Cl A | ||||||||
3.639%, 09/25/2033(A) | 5 | 5 | ||||||
Citigroup Mortgage Loan Trust, Ser 2021-INV1, Cl A3A | ||||||||
2.500%, 05/25/2051(A)(D) | 1,751 | 1,391 | ||||||
COLT Mortgage Loan Trust, Ser 2021-2, Cl A1 | ||||||||
0.924%, 08/25/2066(A)(D) | 684 | 565 | ||||||
COLT Mortgage Loan Trust, Ser 2021-4, Cl A1 | ||||||||
1.397%, 10/25/2066(A)(D) | 761 | 624 | ||||||
COMM Mortgage Trust, Ser 2013-CR10, Cl A4 | ||||||||
4.210%, 08/10/2046(A) | 15 | 15 | ||||||
COMM Mortgage Trust, Ser 2013-CR12, Cl B | ||||||||
4.762%, 10/10/2046(A) | 120 | 113 | ||||||
COMM Mortgage Trust, Ser 2013-CR12, Cl C | ||||||||
5.216%, 10/10/2046(A) | 70 | 48 | ||||||
COMM Mortgage Trust, Ser 2013-CR12, Cl AM | ||||||||
4.300%, 10/10/2046 | 130 | 126 | ||||||
COMM Mortgage Trust, Ser 2013-CR6, Cl B | ||||||||
3.397%, 03/10/2046(D) | 299 | 295 | ||||||
COMM Mortgage Trust, Ser 2014-UBS2, Cl XA, IO | ||||||||
1.234%, 03/10/2047(A) | 1,377 | 14 | ||||||
COMM Mortgage Trust, Ser 2014-UBS2, Cl A5 | ||||||||
3.961%, 03/10/2047 | 236 | 231 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
COMM Mortgage Trust, Ser 2014-UBS3, Cl AM | ||||||||
4.012%, 06/10/2047 | $ | 285 | $ | 276 | ||||
COMM Mortgage Trust, Ser 2015-LC19, Cl XA, IO | ||||||||
1.226%, 02/10/2048(A) | 5,285 | 99 | ||||||
COMM Mortgage Trust, Ser 2017-PANW, Cl A | ||||||||
3.244%, 10/10/2029(D) | 410 | 387 | ||||||
COMM Mortgage Trust, Ser CBM, Cl A2 | ||||||||
2.896%, 02/10/2037(D) | 1,230 | 1,129 | ||||||
COMM Mortgage Trust, Ser CR11, Cl A4 | ||||||||
4.258%, 08/10/2050 | 1,833 | 1,821 | ||||||
COMM Mortgage Trust, Ser CR14, Cl B | ||||||||
4.736%, 02/10/2047(A) | 850 | 830 | ||||||
COMM Mortgage Trust, Ser CR26, Cl C | ||||||||
4.619%, 10/10/2048(A) | 870 | 796 | ||||||
COMM Mortgage Trust, Ser CR6, Cl A4 | ||||||||
3.101%, 03/10/2046 | 1,420 | 1,414 | ||||||
COMM Mortgage Trust, Ser CR8, Cl A5 | ||||||||
3.612%, 06/10/2046(A) | 590 | 586 | ||||||
COMM Mortgage Trust, Ser LC19, Cl A3 | ||||||||
2.922%, 02/10/2048 | 865 | 824 | ||||||
COMM Mortgage Trust, Ser LC23, Cl ASB | ||||||||
3.598%, 10/10/2048 | 496 | 484 | ||||||
COMM Mortgage Trust, Ser LC23, Cl A3 | ||||||||
3.521%, 10/10/2048 | 368 | 350 | ||||||
COMM Mortgage Trust, Ser LC6, Cl AM | ||||||||
3.282%, 01/10/2046 | 1,560 | 1,553 | ||||||
COMM Mortgage Trust, Ser UBS4, Cl A4 | ||||||||
3.420%, 08/10/2047 | 729 | 706 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR3, Cl A3 | ||||||||
2.822%, 10/15/2045 | 60 | 60 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR4, Cl AM | ||||||||
3.251%, 10/15/2045 | 590 | 574 | ||||||
Commercial Mortgage Trust, Ser PF1, Cl A5 | ||||||||
2.522%, 11/15/2054 | 480 | 387 | ||||||
Connecticut Avenue Securities Trust, Ser 2020-R01, Cl 1M2 | ||||||||
5.134%, ICE LIBOR USD 1 Month + 2.050%, 01/25/2040(A)(D) | 217 | 214 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1 | ||||||||
7.000%, 12/25/2033 | 14 | 13 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 | ||||||||
3.667%, 10/25/2033(A) | 424 | 405 | ||||||
Credit Suisse Mortgage Trust | ||||||||
0.000%, 10/25/2066(E) | 1,401 | 1,387 | ||||||
Credit Suisse Mortgage Trust, Ser NXSR, Cl A4 | ||||||||
3.795%, 12/15/2049(A) | 730 | 683 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
159
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September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Credit Suisse Mortgage Trust, Ser RIO, Cl A | ||||||||
5.842%, ICE LIBOR USD 1 Month + 3.024%, 12/15/2022(A)(D) | $ | 3,765 | $ | 3,759 | ||||
CSAIL Commercial Mortgage Trust, Ser 2015-C3, Cl A3 | ||||||||
3.447%, 08/15/2048 | 477 | 455 | ||||||
CSAIL Commercial Mortgage Trust, Ser C16, Cl A2 | ||||||||
3.067%, 06/15/2052 | 363 | 318 | ||||||
CSAIL Commercial Mortgage Trust, Ser C20, Cl A3 | ||||||||
2.805%, 03/15/2054 | 1,049 | 875 | ||||||
CSAIL Commercial Mortgage Trust, Ser C3, Cl ASB | ||||||||
3.448%, 08/15/2048 | 910 | 891 | ||||||
CSMC Trust, Ser 2014-USA, Cl E | ||||||||
4.373%, 09/15/2037(D) | 290 | 214 | ||||||
CSMC Trust, Ser 2017-CHOP, Cl G | ||||||||
8.168%, ICE LIBOR USD 1 Month + 5.350%, 07/15/2032(A)(D) | 1,000 | 889 | ||||||
CSMC Trust, Ser 2017-PFHP, Cl A | ||||||||
3.768%, ICE LIBOR USD 1 Month + 0.950%, 12/15/2030(A)(D) | 1,190 | 1,180 | ||||||
CSMC Trust, Ser 2017-RPL1, Cl M2 | ||||||||
2.958%, 07/25/2057(A)(D) | 1,760 | 1,413 | ||||||
CSMC Trust, Ser 2018-J1, Cl A2 | ||||||||
3.500%, 02/25/2048(A)(D) | 1,905 | 1,676 | ||||||
CSMC Trust, Ser 2020-RPL4, Cl A1 | ||||||||
2.000%, 01/25/2060(A)(D) | 624 | 556 | ||||||
CSMC Trust, Ser 2021-RPL3, Cl A1 | ||||||||
2.000%, 01/25/2060(A)(D) | 1,661 | 1,441 | ||||||
CSMC Trust, Ser 2021-RPL4, Cl A1 | ||||||||
1.796%, 12/27/2060(A)(D) | 472 | 439 | ||||||
CSMC Trust, Ser 2021-RPL6, Cl A1 | ||||||||
2.000%, 10/25/2060(A)(D) | 1,590 | 1,394 | ||||||
CSMC, Ser 2014-11R, Cl 9A2 | ||||||||
2.539%, ICE LIBOR USD 1 Month + 0.140%, 10/27/2036(A)(D) | 1,833 | 1,450 | ||||||
CSMC, Ser 2014-USA, Cl A2 | ||||||||
3.953%, 09/15/2037(D) | 2,135 | 1,938 | ||||||
CSMC, Ser 2015-5R, Cl 1A1 | ||||||||
1.564%, 09/27/2046(A)(D) | 18 | 18 | ||||||
CSMC, Ser 2021-NQM8, Cl A1 | ||||||||
1.841%, 10/25/2066(A)(D) | 1,462 | 1,224 | ||||||
CSMC, Ser 2022-ATH2, Cl A1 | ||||||||
4.547%, 05/25/2067(A)(D) | 3,113 | 2,978 | ||||||
CSMC, Ser MARK, Cl A | ||||||||
5.541%, TSFR1M + 2.695%, 06/15/2039(A)(D) | 480 | 478 | ||||||
DBCCRE Mortgage Trust, Ser 2014-ARCP, Cl A | ||||||||
4.238%, 01/10/2034(D) | 1,175 | 1,135 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
DBCCRE Mortgage Trust, Ser 2018-ARCP, Cl C | ||||||||
5.099%, 01/10/2034(A)(D) | $ | 550 | $ | 518 | ||||
DC Office Trust, Ser 2019-MTC, Cl A | ||||||||
2.965%, 09/15/2045(D) | 1,240 | 1,007 | ||||||
DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B | ||||||||
3.793%, ICE LIBOR USD 1 Month + 0.800%, 11/19/2044(A) | 267 | 248 | ||||||
ELP Commercial Mortgage Trust, Ser ELP, Cl C | ||||||||
4.138%, ICE LIBOR USD 1 Month + 1.320%, 11/15/2038(A)(D) | 2,500 | 2,362 | ||||||
EQUS Mortgage Trust, Ser EQAZ, Cl B | ||||||||
3.918%, ICE LIBOR USD 1 Month + 1.100%, 10/15/2038(A)(D) | 790 | 748 | ||||||
EQUS Mortgage Trust, Ser EQAZ, Cl A | ||||||||
3.573%, ICE LIBOR USD 1 Month + 0.755%, 10/15/2038(A)(D) | 816 | 775 | ||||||
EverBank Mortgage Loan Trust, Ser 2018-1, Cl A22 | ||||||||
3.500%, 02/25/2048(A)(D) | 145 | 127 | ||||||
Flagstar Mortgage Trust, Ser 2018-2, Cl A4 | ||||||||
3.500%, 04/25/2048(A)(D) | 89 | 88 | ||||||
Flagstar Mortgage Trust, Ser 2021-13IN, Cl A2 | ||||||||
3.000%, 12/30/2051(A)(D) | 1,773 | 1,463 | ||||||
FWDSecuritization Trust, Ser 2019-INV1, Cl A1 | ||||||||
2.810%, 06/25/2049(A)(D) | 337 | 319 | ||||||
GCAT Trust, Ser 2022-INV1, Cl A1 | ||||||||
3.000%, 12/25/2051(A)(D) | 1,050 | 866 | ||||||
GPMT, Ser FL3, Cl A | ||||||||
4.243%, ICE LIBOR USD 1 Month + 1.250%, 07/16/2035(A)(D) | 771 | 760 | ||||||
GS Mortgage Securities II, Ser 2017-SLP, Cl C | ||||||||
3.924%, 10/10/2032(D) | 1,310 | 1,303 | ||||||
GS Mortgage Securities II, Ser ARDN, Cl B | ||||||||
4.468%, ICE LIBOR USD 1 Month + 1.650%, 11/15/2036(A)(D) | 1,623 | 1,552 | ||||||
GS Mortgage Securities II, Ser GC30, Cl B | ||||||||
4.161%, 05/10/2050(A) | 480 | 448 | ||||||
GS Mortgage Securities II, Ser SRP5, Cl A | ||||||||
4.618%, ICE LIBOR USD 1 Month + 1.800%, 09/15/2031(A)(D) | 2,665 | 2,254 | ||||||
GS Mortgage Securities Trust, Ser 2013-GC16, Cl B | ||||||||
5.161%, 11/10/2046(A) | 270 | 264 | ||||||
GS Mortgage Securities Trust, Ser 2014-GC18, Cl A4 | ||||||||
4.074%, 01/10/2047 | 977 | 962 |
160
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GS Mortgage Securities Trust, Ser 2014-GC26, Cl B | ||||||||
4.215%, 11/10/2047(A) | $ | 680 | $ | 637 | ||||
GS Mortgage Securities Trust, Ser GC14, Cl A5 | ||||||||
4.243%, 08/10/2046 | 415 | 412 | ||||||
GS Mortgage Securities Trust, Ser GC47, Cl A5 | ||||||||
2.377%, 05/12/2053 | 328 | 268 | ||||||
GS Mortgage Securities Trust, Ser GSA2, Cl A4 | ||||||||
1.721%, 12/12/2053 | 1,055 | 820 | ||||||
GS Mortgage Securities Trust, Ser ROSS, Cl A | ||||||||
3.968%, ICE LIBOR USD 1 Month + 1.150%, 05/15/2026(A)(D) | 2,170 | 2,029 | ||||||
GS Mortgage-Backed Securities Trust, Ser 2018-RPL1, Cl A1A | ||||||||
3.750%, 10/25/2057(D) | 2,111 | 2,047 | ||||||
GS Mortgage-Backed Securities Trust, Ser 2022-PJ2, Cl A24 | ||||||||
3.000%, 06/25/2052(A)(D) | 858 | 767 | ||||||
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A | ||||||||
8.000%, 09/19/2027(A)(D) | 12 | 12 | ||||||
GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1 | ||||||||
4.077%, 10/25/2033(A) | 95 | 95 | ||||||
GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3 | ||||||||
6.000%, 09/25/2034 | 8 | 8 | ||||||
GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4 | ||||||||
5.500%, 01/25/2037 | 2 | 2 | ||||||
HarborView Mortgage Loan, Ser 2004-3, Cl 1A | ||||||||
2.766%, 05/19/2034(A) | 405 | 383 | ||||||
HIT Trust, Ser HI32, Cl A | ||||||||
5.237%, TSFR1M + 2.391%, 07/15/2024(A)(D) | 1,560 | 1,540 | ||||||
Hudson Yards Mortgage Trust, Ser 2019-30HY, Cl A | ||||||||
3.228%, 07/10/2039(D) | 1,225 | 1,060 | ||||||
Hudson Yards Mortgage Trust, Ser 2019-55HY, Cl A | ||||||||
3.041%, 12/10/2041(A)(D) | 1,240 | 1,040 | ||||||
Impact Funding, Ser 2010-1, Cl A1 | ||||||||
5.314%, 01/25/2051(D) | 703 | 674 | ||||||
JP Morgan Mortgage Trust, Ser 2021-11, Cl A3 | ||||||||
2.500%, 01/25/2052(A)(D) | 720 | 572 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
JP Morgan Mortgage Trust, Ser 2021-3, Cl A3 | ||||||||
2.500%, 07/25/2051(A)(D) | $ | 500 | $ | 399 | ||||
JP Morgan Mortgage Trust, Ser 2021-INV2, Cl A2 | ||||||||
2.500%, 12/25/2051(A)(D) | 1,961 | 1,567 | ||||||
JP Morgan Mortgage Trust, Ser 2022-3, Cl A2 | ||||||||
3.000%, 08/25/2052(A)(D) | 1,801 | 1,485 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C17, Cl B | ||||||||
5.049%, 01/15/2047(A) | 130 | 127 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C22, Cl C | ||||||||
4.699%, 09/15/2047(A) | 120 | 108 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C23, Cl A4 | ||||||||
3.670%, 09/15/2047 | 339 | 328 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, Cl A3 | ||||||||
2.912%, 10/15/2048 | 1,471 | 1,393 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C30, Cl A5 | ||||||||
3.822%, 07/15/2048 | 568 | 546 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser C12, Cl A5 | ||||||||
3.664%, 07/15/2045 | 605 | 599 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser C15, Cl AS | ||||||||
4.420%, 11/15/2045 | 925 | 911 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser C17, Cl A4 | ||||||||
4.199%, 01/15/2047 | 210 | 207 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser C21, Cl AS | ||||||||
3.997%, 08/15/2047 | 415 | 400 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-CB15, Cl X1, IO | ||||||||
0.447%, 06/12/2043(A) | 229 | – | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-LD12, Cl AJ | ||||||||
6.723%, 02/15/2051(A) | 2 | 2 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl C | ||||||||
4.712%, 07/15/2047(A) | 380 | 351 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2018-BCON, Cl B | ||||||||
3.881%, 01/05/2031(A)(D) | 1,305 | 1,296 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2019-OSB, Cl A | ||||||||
3.397%, 06/05/2039(D) | 1,500 | 1,293 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
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Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser C16, Cl A4 | ||||||||
4.166%, 12/15/2046 | $ | 908 | $ | 896 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser JP4, Cl A3 | ||||||||
3.393%, 12/15/2049 | 206 | 191 | ||||||
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1 | ||||||||
3.651%, 08/25/2034(A) | 26 | 26 | ||||||
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 5A3 | ||||||||
3.123%, 11/25/2033(A) | 11 | 11 | ||||||
JPMorgan Mortgage Trust, Ser 2015-5, Cl A9 | ||||||||
2.974%, 05/25/2045(A)(D) | 36 | 36 | ||||||
JPMorgan Mortgage Trust, Ser 2018-4, Cl A1 | ||||||||
3.500%, 10/25/2048(A)(D) | 101 | 90 | ||||||
JPMorgan Mortgage Trust, Ser 2018-5, Cl A1 | ||||||||
3.500%, 10/25/2048(A)(D) | 319 | 284 | ||||||
JPMorgan Mortgage Trust, Ser 2020-1, Cl A3A | ||||||||
3.000%, 06/25/2050(A)(D) | 151 | 132 | ||||||
LAQ Mortgage Trust, Ser LAQ, Cl A | ||||||||
4.646%, TSFR1M + 1.724%, 03/15/2039(A)(D) | 320 | 310 | ||||||
Legacy Mortgage Asset Trust, Ser 2021-GS2, Cl A1 | ||||||||
1.750%, 04/25/2061(C)(D) | 520 | 483 | ||||||
Lehman XS Trust, Ser 2007-16N, Cl 2A2 | ||||||||
4.784%, ICE LIBOR USD 1 Month + 1.700%, 09/25/2047(A) | 4,025 | 3,612 | ||||||
Master Resecuritization Trust, Ser 2005, Cl 3, PO | ||||||||
0.000%, 05/28/2035(B)(D) | 2 | 1 | ||||||
MASTR Reperforming Loan Trust, Ser 2005-1, Cl 1A1 | ||||||||
6.000%, 08/25/2034(D) | 1,071 | 706 | ||||||
Med Trust, Ser MDLN, Cl A | ||||||||
3.768%, ICE LIBOR USD 1 Month + 0.950%, 11/15/2038(A)(D) | 1,314 | 1,261 | ||||||
Merrill Lynch Mortgage Investors Trust, Ser 2003-A4, Cl 2A | ||||||||
3.003%, 07/25/2033(A) | 8 | 7 | ||||||
MFA Trust, Ser 2021-RPL1, Cl A1 | ||||||||
1.131%, 07/25/2060(A)(D) | 570 | 507 | ||||||
MFA Trust, Ser 2022-NQM2, Cl A1 | ||||||||
4.000%, 05/25/2067(C)(D) | 959 | 893 | ||||||
MHC Trust, Ser MHC2, Cl A | ||||||||
3.668%, ICE LIBOR USD 1 Month + 0.850%, 05/15/2038(A)(D) | 1,250 | 1,206 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Mill City Mortgage Loan Trust, Ser 2021-NMR1, Cl A1 | ||||||||
1.125%, 11/25/2060(A)(D) | $ | 709 | $ | 657 | ||||
MKT Mortgage Trust, Ser 525M, Cl A | ||||||||
2.694%, 02/12/2040(D) | 965 | 772 | ||||||
ML-CFC Commercial Mortgage Trust, Ser 2007-5, Cl AJFL | ||||||||
5.450%, 08/12/2048(A)(D) | 11 | 5 | ||||||
ML-CFC Commercial Mortgage Trust, Ser 2007-5, Cl AJ | ||||||||
5.450%, 08/12/2048(A) | 83 | 40 | ||||||
ML-CFC Commercial Mortgage Trust, Ser 2007-9, Cl AJ | ||||||||
6.193%, 09/12/2049(A) | 15 | 15 | ||||||
Morgan Stanley BAML Trust, Ser 2012-CKSV, Cl A2 | ||||||||
3.277%, 10/15/2030(D) | 759 | 725 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C6, Cl B | ||||||||
3.930%, 11/15/2045 | 390 | 382 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C9, Cl AS | ||||||||
3.456%, 05/15/2046 | 80 | 79 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C25, Cl A5 | ||||||||
3.635%, 10/15/2048 | 250 | 238 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser C34, Cl B | ||||||||
4.111%, 11/15/2052(A) | 1,030 | 918 | ||||||
Morgan Stanley Capital I Trust, Ser 2007-IQ16, Cl AJ | ||||||||
6.282%, 12/12/2049(A) | 54 | 26 | ||||||
Morgan Stanley Capital I Trust, Ser 2016-BNK2, Cl XA, IO | ||||||||
1.094%, 11/15/2049(A) | 2,897 | 86 | ||||||
Morgan Stanley Capital I Trust, Ser 2017-ASHF, Cl A | ||||||||
3.668%, ICE LIBOR USD 1 Month + 0.850%, 11/15/2034(A)(D) | 36 | 35 | ||||||
Morgan Stanley Capital I Trust, Ser 2019-BPR, Cl A | ||||||||
4.468%, ICE LIBOR USD 1 Month + 1.650%, 05/15/2036(A)(D) | 1,508 | 1,469 | ||||||
Morgan Stanley Capital I Trust, Ser HR8, Cl A3 | ||||||||
1.790%, 07/15/2053 | 576 | 452 | ||||||
Morgan Stanley Capital I Trust, Ser L2, Cl A3 | ||||||||
3.806%, 03/15/2052 | 480 | 441 | ||||||
Morgan Stanley Capital I, Ser L8, Cl AS | ||||||||
3.922%, 04/15/2055(A) | 580 | 497 | ||||||
Morgan Stanley Residential Mortgage Loan Trust, Ser 2021-2, Cl A3 | ||||||||
2.500%, 05/25/2051(A)(D) | 5,748 | 4,564 |
162
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Mortgage Repurchase Agreement Financing Trust II Series, Ser 2022-S1, Cl A1 | ||||||||
4.637%, SOFR30A + 2.000%, 03/30/2025(A)(D) | $ | 1,350 | $ | 1,350 | ||||
MSCG Trust, Ser 2015-ALDR, Cl A2 | ||||||||
3.577%, 06/07/2035(A)(D) | 620 | 563 | ||||||
New Residential Mortgage Loan Trust, Ser 2017-1A, Cl A1 | ||||||||
4.000%, 02/25/2057(A)(D) | 563 | 536 | ||||||
New Residential Mortgage Loan Trust, Ser 2019-NQM4, Cl A1 | ||||||||
2.492%, 09/25/2059(A)(D) | 147 | 134 | ||||||
New Residential Mortgage Loan Trust, Ser 2021-NQM3, Cl A3 | ||||||||
1.516%, 11/27/2056(A)(D) | 381 | 317 | ||||||
New Residential Mortgage Loan Trust, Ser 2022-NQM4, Cl A1 | ||||||||
5.000%, 06/25/2062(C)(D) | 1,862 | 1,808 | ||||||
NewRez Warehouse Securitization Trust, Ser 2021-1, Cl A | ||||||||
3.834%, ICE LIBOR USD 1 Month + 0.750%, 05/25/2055(A)(D) | 1,957 | 1,913 | ||||||
OBX Trust, Ser 2019-EXP1, Cl 1A3 | ||||||||
4.000%, 01/25/2059(A)(D) | 55 | 52 | ||||||
OBX Trust, Ser 2020-EXP3, Cl 2A1A | ||||||||
3.344%, ICE LIBOR USD 1 Month + 0.900%, 01/25/2060(A)(D) | 65 | 65 | ||||||
OBX Trust, Ser 2021-NQM2, Cl A1 | ||||||||
1.101%, 05/25/2061(A)(D) | 537 | 441 | ||||||
OBX Trust, Ser 2021-NQM3, Cl A3 | ||||||||
1.362%, 07/25/2061(A)(D) | 460 | 369 | ||||||
OBX Trust, Ser 2022-NQM1, Cl A1 | ||||||||
2.305%, 11/25/2061(A)(D) | 1,632 | 1,402 | ||||||
Oceanview Mortgage Trust, Ser 2021-1, Cl A1 | ||||||||
3.000%, 12/25/2051(A)(D) | 786 | 649 | ||||||
One Bryant Park Trust, Ser 2019-OBP, Cl A | ||||||||
2.516%, 09/15/2054(D) | 1,570 | 1,290 | ||||||
PHH Alternative Mortgage Trust, Ser 2007-3, Cl A3 | ||||||||
3.684%, ICE LIBOR USD 1 Month + 0.600%, 07/25/2037(A) | 3,309 | 3,215 | ||||||
Prime Mortgage Trust, Ser 2004-CL1, Cl 1A1 | ||||||||
6.000%, 02/25/2034 | 8 | 8 | ||||||
Prime Mortgage Trust, Ser 2004-CL1, Cl 1, PO | ||||||||
0.000%, 02/25/2034(B) | 2 | 1 | ||||||
Prime Mortgage Trust, Ser 2006-DR1, Cl 2A1 | ||||||||
5.500%, 05/25/2035(D) | 642 | 543 | ||||||
PRKCM Trust, Ser 2022-AFC1, Cl A1A | ||||||||
4.100%, 04/25/2057(A)(D) | 1,790 | 1,670 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Radnor RE, Ser 2018-1, Cl M2 | ||||||||
5.784%, ICE LIBOR USD 1 Month + 2.700%, 03/25/2028(A)(D) | $ | 7,270 | $ | 7,214 | ||||
RATE Mortgage Trust, Ser 2021-HB1, Cl A1 | ||||||||
2.500%, 12/25/2051(A)(D) | 2,118 | 1,682 | ||||||
Rate Mortgage Trust, Ser 2021-J1, Cl A1 | ||||||||
2.500%, 07/25/2051(A)(D) | 406 | 322 | ||||||
Rate Mortgage Trust, Ser 2021-J1, Cl A7 | ||||||||
2.500%, 07/25/2051(A)(D) | 295 | 253 | ||||||
Rate Mortgage Trust, Ser 2022-J1, Cl A7 | ||||||||
3.000%, 01/25/2052(A)(D) | 920 | 759 | ||||||
RBSCF Trust, Ser 2013-GSP, Cl A | ||||||||
3.961%, 01/15/2032(A)(D) | 445 | 430 | ||||||
RCKT Mortgage Trust, Ser 2021-3, Cl A1 | ||||||||
2.500%, 07/25/2051(A)(D) | 498 | 396 | ||||||
RCKT Mortgage Trust, Ser 2022-2, Cl A2 | ||||||||
2.500%, 02/25/2052(A)(D) | 622 | 494 | ||||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||||
3.075%, 12/25/2034(A) | 200 | 175 | ||||||
Residential Mortgage Loan Trust, Ser 2019-3, Cl A1 | ||||||||
2.633%, 09/25/2059(A)(D) | 300 | 291 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2016-1, Cl M2 | ||||||||
3.750%, 09/25/2055(A)(D) | 2,378 | 2,062 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2019-1, Cl M | ||||||||
4.750%, 07/25/2058(A)(D) | 2,840 | 2,498 | ||||||
Sequoia Mortgage Trust, Ser 2018-CH4, Cl B1B | ||||||||
4.995%, 10/25/2048(A)(D) | 1,181 | 1,112 | ||||||
SFAVE Commercial Mortgage Securities Trust, Ser 2015-5AVE, Cl A2B | ||||||||
4.144%, 01/05/2043(A)(D) | 75 | 55 | ||||||
SFAVE Commercial Mortgage Securities Trust, Ser 2015-5AVE, Cl A1 | ||||||||
3.872%, 01/05/2043(A)(D) | 390 | 282 | ||||||
Stack Infrastructure Issuer, Ser 2019-1A, Cl A2 | ||||||||
4.540%, 02/25/2044(D) | 289 | 286 | ||||||
STAR Trust, Ser 2021-1, Cl A1 | ||||||||
1.219%, 05/25/2065(A)(D) | 276 | 256 | ||||||
Starwood Mortgage Residential Trust, Ser 2020-1, Cl A1 | ||||||||
2.275%, 02/25/2050(A)(D) | 54 | 54 | ||||||
Starwood Mortgage Residential Trust, Ser 2020-3, Cl A1 | ||||||||
1.486%, 04/25/2065(A)(D) | 197 | 189 | ||||||
Starwood Mortgage Residential Trust, Ser 2020-INV1, Cl A1 | ||||||||
1.027%, 11/25/2055(A)(D) | 217 | 200 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
163
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September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Starwood Mortgage Residential Trust, Ser 2021-4, Cl A1 | ||||||||
1.162%, 08/25/2056(A)(D) | $ | 711 | $ | 603 | ||||
Structured Asset Mortgage Investments II Trust, Ser 2007-AR3, Cl 2A1 | ||||||||
3.274%, ICE LIBOR USD 1 Month + 0.190%, 09/25/2047(A) | 3,265 | 2,978 | ||||||
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2003-24A, Cl 3A2 | ||||||||
3.783%, 07/25/2033(A) | 26 | 25 | ||||||
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2003-37A, Cl 2A | ||||||||
3.156%, 12/25/2033(A) | 12 | 12 | ||||||
Towd Point Mortgage Trust, Ser 2017-5, Cl A1 | ||||||||
3.684%, ICE LIBOR USD 1 Month + 0.600%, 02/25/2057(A)(D) | 310 | 306 | ||||||
Towd Point Mortgage Trust, Ser 2017-6, Cl M1 | ||||||||
3.250%, 10/25/2057(A)(D) | 1,050 | 926 | ||||||
Towd Point Mortgage Trust, Ser 2019-4, Cl A1 | ||||||||
2.900%, 10/25/2059(A)(D) | 787 | 741 | ||||||
Towd Point Mortgage Trust, Ser 2019-MH1, Cl A1 | ||||||||
3.000%, 11/25/2058(A)(D) | 810 | 794 | ||||||
Towd Point Mortgage Trust, Ser 2020-3, Cl A1 | ||||||||
3.088%, 02/25/2063(A)(D) | 930 | 874 | ||||||
Towd Point Mortgage Trust, Ser 2021-1, Cl A1 | ||||||||
2.250%, 11/25/2061(A)(D) | 554 | 495 | ||||||
Towd Point Mortgage Trust, Ser 2022-4, Cl A1 | ||||||||
3.750%, 09/25/2062(A)(D) | 500 | 467 | ||||||
UBS Commercial Mortgage Trust, Ser C4, Cl A3 | ||||||||
3.301%, 10/15/2050 | 428 | 390 | ||||||
UBS Commercial Mortgage Trust, Ser C7, Cl A3 | ||||||||
3.418%, 12/15/2050 | 425 | 395 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl D | ||||||||
4.651%, 12/10/2045(A)(D) | 670 | 647 | ||||||
Verus Securitization Trust, Ser 2019-4, Cl A1 | ||||||||
2.642%, 11/25/2059(C)(D) | 262 | 255 | ||||||
Verus Securitization Trust, Ser 2019-INV2, Cl A1 | ||||||||
2.913%, 07/25/2059(A)(D) | 145 | 143 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Verus Securitization Trust, Ser 2019-INV3, Cl A1 | ||||||||
2.692%, 11/25/2059(A)(D) | $ | 232 | $ | 223 | ||||
Verus Securitization Trust, Ser 2020-2, Cl A1 | ||||||||
2.226%, 05/25/2060(A)(D) | 207 | 202 | ||||||
Verus Securitization Trust, Ser 2020-5, Cl A1 | ||||||||
1.218%, 05/25/2065(C)(D) | 112 | 103 | ||||||
Verus Securitization Trust, Ser 2021-1, Cl A1 | ||||||||
0.815%, 01/25/2066(A)(D) | 355 | 306 | ||||||
Verus Securitization Trust, Ser 2021-2, Cl A1 | ||||||||
1.031%, 02/25/2066(A)(D) | 681 | 566 | ||||||
Verus Securitization Trust, Ser 2021-3, Cl A1 | ||||||||
1.046%, 06/25/2066(A)(D) | 514 | 421 | ||||||
Verus Securitization Trust, Ser 2021-4, Cl A1 | ||||||||
0.938%, 07/25/2066(A)(D) | 635 | 510 | ||||||
Verus Securitization Trust, Ser 2021-5, Cl A1 | ||||||||
1.013%, 09/25/2066(A)(D) | 2,061 | 1,718 | ||||||
Verus Securitization Trust, Ser 2021-7, Cl A1 | ||||||||
1.829%, 10/25/2066(A)(D) | 950 | 805 | ||||||
Verus Securitization Trust, Ser 2021-8, Cl A1 | ||||||||
1.824%, 11/25/2066(A)(D) | 684 | 584 | ||||||
Verus Securitization Trust, Ser 2021-R1, Cl A1 | ||||||||
0.820%, 10/25/2063(A)(D) | 318 | 290 | ||||||
Verus Securitization Trust, Ser 2021-R3, Cl A1 | ||||||||
1.020%, 04/25/2064(A)(D) | 329 | 303 | ||||||
Visio Trust, Ser 2020-1R, Cl A1 | ||||||||
1.312%, 11/25/2055(D) | 249 | 234 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7 | ||||||||
3.024%, 10/25/2033(A) | 20 | 19 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7 | ||||||||
3.804%, 08/25/2033(A) | 13 | 12 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6 | ||||||||
4.142%, 09/25/2033(A) | 20 | 19 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10 | ||||||||
8.982%, 06/25/2033(A) | 3 | 3 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8 | ||||||||
5.250%, 10/25/2033 | 42 | 40 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2 | ||||||||
3.098%, 06/25/2034(A) | 12 | 11 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-RA4, Cl 3A | ||||||||
7.500%, 07/25/2034 | 66 | 62 |
164
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A3 | ||||||||
4.644%, ICE LIBOR USD 1 Month + 1.560%, 10/25/2045(A) | $ | 170 | $ | 163 | ||||
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A1 | ||||||||
3.604%, ICE LIBOR USD 1 Month + 0.520%, 11/25/2045(A) | 3,656 | 3,354 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2007-OA1, Cl A1A | ||||||||
1.804%, 12 Month Treas Avg + 0.700%, 02/25/2047(A) | 1,045 | 895 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust, Ser 2007-OA2, Cl 2A | ||||||||
1.804%, 12 Month Treas Avg + 0.700%, 01/25/2047(A) | 670 | 543 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2013-LC12, Cl B | ||||||||
4.432%, 07/15/2046(A) | 20 | 19 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2014-LC18, Cl A5 | ||||||||
3.405%, 12/15/2047 | 570 | 546 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2016-C36, Cl XA, IO | ||||||||
1.322%, 11/15/2059(A) | 4,639 | 167 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser C62, Cl A4 | ||||||||
4.000%, 04/15/2055(A) | 840 | 758 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2005-AR7, Cl B1 | ||||||||
3.071%, 05/25/2035(A) | 1,371 | 1,169 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2013-C13, Cl XA, IO | ||||||||
1.307%, 05/15/2045(A)(D) | 753 | 2 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2014-C19, Cl B | ||||||||
4.723%, 03/15/2047(A) | 110 | 106 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2014-C21, Cl B | ||||||||
4.213%, 08/15/2047(A) | 300 | 282 | ||||||
WFRBS Commercial Mortgage Trust, Ser C22, Cl B | ||||||||
4.371%, 09/15/2057(A) | 245 | 235 | ||||||
WFRBS Commercial Mortgage Trust, Ser C25, Cl ASB | ||||||||
3.369%, 11/15/2047 | 232 | 227 | ||||||
231,709 | ||||||||
Total Mortgage-Backed Securities | ||||||||
(Cost $1,471,064) ($ Thousands) | 1,347,706 | |||||||
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS — 32.1% | ||||||||
Communication Services — 3.0% | ||||||||
Alphabet | ||||||||
2.050%, 08/15/2050 | $ | 150 | $ | 88 | ||||
1.900%, 08/15/2040 | 250 | 160 | ||||||
1.100%, 08/15/2030 | 240 | 186 | ||||||
0.800%, 08/15/2027 (F) | 220 | 186 | ||||||
0.450%, 08/15/2025 | 110 | 99 | ||||||
Altice France | ||||||||
5.500%, 10/15/2029 (D) | 210 | 158 | ||||||
AT&T | ||||||||
5.550%, 08/15/2041 | 130 | 120 | ||||||
5.350%, 09/01/2040 (F) | 130 | 117 | ||||||
5.250%, 03/01/2037 (F) | 2,420 | 2,228 | ||||||
5.150%, 03/15/2042 (F) | 25 | 22 | ||||||
4.850%, 03/01/2039 | 750 | 649 | ||||||
4.750%, 05/15/2046 | 1,600 | 1,341 | ||||||
4.500%, 05/15/2035 | 445 | 385 | ||||||
4.350%, 03/01/2029 (F) | 300 | 280 | ||||||
4.350%, 06/15/2045 (F) | 350 | 270 | ||||||
3.800%, 02/15/2027 (F) | 318 | 298 | ||||||
3.800%, 12/01/2057 | 4,432 | 2,994 | ||||||
3.650%, 09/15/2059 | 446 | 289 | ||||||
3.550%, 09/15/2055 (F) | 458 | 301 | ||||||
3.500%, 06/01/2041 | 314 | 226 | ||||||
3.500%, 09/15/2053 | 2,823 | 1,881 | ||||||
3.300%, 02/01/2052 (F) | 120 | 77 | ||||||
2.550%, 12/01/2033 (F) | 590 | 437 | ||||||
2.300%, 06/01/2027 (F) | 750 | 656 | ||||||
2.250%, 02/01/2032 (F) | 60 | 45 | ||||||
1.700%, 03/25/2026 (F) | 2,599 | 2,311 | ||||||
1.650%, 02/01/2028 (F) | 2,005 | 1,648 | ||||||
CCO Holdings | ||||||||
4.750%, 02/01/2032 (D)(F) | 250 | 195 | ||||||
4.500%, 08/15/2030 (D) | 50 | 40 | ||||||
4.500%, 05/01/2032 | 1,240 | 946 | ||||||
Charter Communications Operating | ||||||||
6.834%, 10/23/2055 (F) | 70 | 64 | ||||||
6.484%, 10/23/2045 | 110 | 97 | ||||||
6.384%, 10/23/2035 | 10 | 9 | ||||||
5.750%, 04/01/2048 | 1,097 | 885 | ||||||
5.500%, 04/01/2063 | 320 | 242 | ||||||
5.375%, 04/01/2038 | 663 | 537 | ||||||
5.375%, 05/01/2047 | 191 | 148 | ||||||
5.250%, 04/01/2053 (F) | 1,650 | 1,264 | ||||||
5.125%, 07/01/2049 | 160 | 117 | ||||||
4.908%, 07/23/2025 | 1,924 | 1,876 | ||||||
4.800%, 03/01/2050 | 2,410 | 1,739 | ||||||
4.400%, 04/01/2033 (F) | 800 | 662 | ||||||
4.200%, 03/15/2028 (F) | 1,263 | 1,134 | ||||||
3.750%, 02/15/2028 | 85 | 75 | ||||||
3.500%, 06/01/2041 | 169 | 108 | ||||||
3.500%, 03/01/2042 | 1,003 | 636 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
165
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Comcast | ||||||||
7.050%, 03/15/2033 | $ | 90 | $ | 99 | ||||
6.500%, 11/15/2035 | 97 | 103 | ||||||
4.950%, 10/15/2058 (F) | 60 | 52 | ||||||
4.400%, 08/15/2035 | 1,770 | 1,565 | ||||||
4.250%, 10/15/2030 (F) | 730 | 676 | ||||||
4.200%, 08/15/2034 | 220 | 193 | ||||||
4.150%, 10/15/2028 (F) | 2,220 | 2,097 | ||||||
4.000%, 08/15/2047 | 90 | 70 | ||||||
4.000%, 03/01/2048 (F) | 70 | 54 | ||||||
3.999%, 11/01/2049 (F) | 259 | 198 | ||||||
3.969%, 11/01/2047 | 418 | 320 | ||||||
3.950%, 10/15/2025 (F) | 90 | 87 | ||||||
3.750%, 04/01/2040 (F) | 200 | 157 | ||||||
3.450%, 02/01/2050 | 140 | 98 | ||||||
3.400%, 04/01/2030 (F) | 755 | 664 | ||||||
3.400%, 07/15/2046 (F) | 60 | 42 | ||||||
3.300%, 04/01/2027 | 190 | 176 | ||||||
3.250%, 11/01/2039 | 60 | 44 | ||||||
3.150%, 03/01/2026 | 390 | 367 | ||||||
2.987%, 11/01/2063 | 364 | 211 | ||||||
2.937%, 11/01/2056 | 533 | 318 | ||||||
2.887%, 11/01/2051 | 410 | 257 | ||||||
2.800%, 01/15/2051 | 280 | 172 | ||||||
1.500%, 02/15/2031 (F) | 2,425 | 1,820 | ||||||
Comcast Cable Communications Holdings | ||||||||
9.455%, 11/15/2022 | 180 | 181 | ||||||
Discovery Communications | ||||||||
4.000%, 09/15/2055 (F) | 277 | 163 | ||||||
DISH DBS | ||||||||
7.750%, 07/01/2026 | 120 | 92 | ||||||
5.875%, 11/15/2024 | 410 | 366 | ||||||
5.750%, 12/01/2028 (D) | 30 | 23 | ||||||
5.250%, 12/01/2026 (D) | 170 | 139 | ||||||
5.125%, 06/01/2029 | 280 | 165 | ||||||
Fox | ||||||||
5.476%, 01/25/2039 (F) | 520 | 451 | ||||||
3.500%, 04/08/2030 (F) | 310 | 266 | ||||||
Level 3 Financing | ||||||||
3.875%, 11/15/2029 (D)(F) | 2,165 | 1,706 | ||||||
3.400%, 03/01/2027 (D)(F) | 1,455 | 1,219 | ||||||
Netflix | ||||||||
5.875%, 11/15/2028 (F) | 561 | 547 | ||||||
5.375%, 11/15/2029 (D) | 341 | 321 | ||||||
NTT Finance | ||||||||
1.162%, 04/03/2026 (D) | 2,250 | 1,965 | ||||||
Paramount Global | ||||||||
6.875%, 04/30/2036 | 620 | 580 | ||||||
5.900%, 10/15/2040 | 455 | 382 | ||||||
4.750%, 05/15/2025 (F) | 457 | 449 | ||||||
4.200%, 05/19/2032 (F) | 970 | 786 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Rogers Communications | ||||||||
4.550%, 03/15/2052 (D)(F) | $ | 364 | $ | 290 | ||||
SES GLOBAL Americas Holdings | ||||||||
5.300%, 03/25/2044 (D) | 1,200 | 918 | ||||||
Sprint Spectrum | ||||||||
5.152%, 03/20/2028 (D)(F) | 3,552 | 3,476 | ||||||
4.738%, 03/20/2025 (D) | 3,928 | 3,872 | ||||||
Take-Two Interactive Software | ||||||||
4.000%, 04/14/2032 (F) | 1,265 | 1,099 | ||||||
Telefonica Emisiones | ||||||||
5.213%, 03/08/2047 | 150 | 114 | ||||||
T-Mobile USA | ||||||||
5.800%, 09/15/2062 | 353 | 328 | ||||||
5.650%, 01/15/2053 | 369 | 349 | ||||||
5.200%, 01/15/2033 (F) | 830 | 794 | ||||||
4.500%, 04/15/2050 | 600 | 480 | ||||||
4.375%, 04/15/2040 | 1,730 | 1,409 | ||||||
3.875%, 04/15/2030 | 4,200 | 3,725 | ||||||
3.750%, 04/15/2027 (F) | 2,195 | 2,026 | ||||||
3.500%, 04/15/2025 (F) | 1,910 | 1,826 | ||||||
3.500%, 04/15/2031 | 798 | 671 | ||||||
3.400%, 10/15/2052 | 1,230 | 812 | ||||||
3.375%, 04/15/2029 | 1,827 | 1,578 | ||||||
2.875%, 02/15/2031 | 374 | 301 | ||||||
2.700%, 03/15/2032 | 70 | 55 | ||||||
2.625%, 02/15/2029 | 330 | 272 | ||||||
2.550%, 02/15/2031 | 2,601 | 2,061 | ||||||
2.250%, 02/15/2026 | 1,430 | 1,280 | ||||||
Verizon Communications | ||||||||
5.500%, 03/16/2047 (F) | 60 | 57 | ||||||
5.250%, 03/16/2037 (F) | 805 | 752 | ||||||
4.862%, 08/21/2046 | 470 | 405 | ||||||
4.500%, 08/10/2033 (F) | 740 | 667 | ||||||
4.400%, 11/01/2034 | 2,062 | 1,815 | ||||||
4.329%, 09/21/2028 (F) | 1,106 | 1,041 | ||||||
4.272%, 01/15/2036 | 78 | 67 | ||||||
4.125%, 08/15/2046 | 320 | 253 | ||||||
4.016%, 12/03/2029 (F) | 714 | 648 | ||||||
4.000%, 03/22/2050 | 170 | 130 | ||||||
3.875%, 02/08/2029 (F) | 210 | 192 | ||||||
3.850%, 11/01/2042 (F) | 610 | 468 | ||||||
3.700%, 03/22/2061 (F) | 510 | 346 | ||||||
3.550%, 03/22/2051 (F) | 1,576 | 1,108 | ||||||
3.400%, 03/22/2041 | 130 | 95 | ||||||
3.150%, 03/22/2030 | 360 | 306 | ||||||
3.000%, 03/22/2027 | 140 | 127 | ||||||
2.875%, 11/20/2050 (F) | 1,420 | 868 | ||||||
2.650%, 11/20/2040 | 1,359 | 886 | ||||||
2.625%, 08/15/2026 | 1,000 | 908 | ||||||
2.550%, 03/21/2031 (F) | 2,312 | 1,846 | ||||||
2.355%, 03/15/2032 (F) | 2,179 | 1,671 | ||||||
2.100%, 03/22/2028 (F) | 400 | 338 |
166
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
1.750%, 01/20/2031 | $ | 410 | $ | 307 | ||||
Vmed O2 UK Financing I | ||||||||
4.750%, 07/15/2031 (D) | 630 | 486 | ||||||
Vodafone Group | ||||||||
5.250%, 05/30/2048 | 1,810 | 1,499 | ||||||
5.000%, 05/30/2038 | 147 | 126 | ||||||
4.875%, 06/19/2049 | 1,544 | 1,214 | ||||||
4.375%, 05/30/2028 (F) | 670 | 630 | ||||||
4.250%, 09/17/2050 (F) | 117 | 84 | ||||||
Walt Disney | ||||||||
6.650%, 11/15/2037 | 235 | 256 | ||||||
6.200%, 12/15/2034 | 65 | 68 | ||||||
4.625%, 03/23/2040 (F) | 765 | 688 | ||||||
3.500%, 05/13/2040 (F) | 500 | 386 | ||||||
Warnermedia Holdings | ||||||||
5.391%, 03/15/2062 (D) | 733 | 531 | ||||||
5.141%, 03/15/2052 (D) | 9,143 | 6,645 | ||||||
5.050%, 03/15/2042 (D)(F) | 3,346 | 2,504 | ||||||
4.279%, 03/15/2032 (D)(F) | 2,040 | 1,678 | ||||||
4.054%, 03/15/2029 (D) | 1,219 | 1,053 | ||||||
3.638%, 03/15/2025 (D)(F) | 587 | 556 | ||||||
WarnerMedia Inc | ||||||||
3.755%, 03/15/2027 (D) | 1,093 | 978 | ||||||
110,286 | ||||||||
Consumer Discretionary — 1.6% | ||||||||
Amazon.com | ||||||||
4.950%, 12/05/2044 | 500 | 477 | ||||||
4.250%, 08/22/2057 | 110 | 91 | ||||||
4.050%, 08/22/2047 (F) | 380 | 321 | ||||||
3.875%, 08/22/2037 | 1,290 | 1,121 | ||||||
3.600%, 04/13/2032 (F) | 1,512 | 1,375 | ||||||
3.450%, 04/13/2029 | 751 | 694 | ||||||
3.300%, 04/13/2027 (F) | 150 | 142 | ||||||
3.150%, 08/22/2027 (F) | 680 | 634 | ||||||
2.875%, 05/12/2041 | 205 | 150 | ||||||
2.800%, 08/22/2024 | 245 | 238 | ||||||
2.500%, 06/03/2050 | 831 | 519 | ||||||
2.100%, 05/12/2031 | 811 | 658 | ||||||
1.500%, 06/03/2030 (F) | 350 | 276 | ||||||
1.200%, 06/03/2027 (F) | 672 | 574 | ||||||
0.800%, 06/03/2025 | 560 | 508 | ||||||
AutoNation | ||||||||
4.750%, 06/01/2030 | 514 | 452 | ||||||
BMW US Capital | ||||||||
3.800%, 04/06/2023 (D) | 420 | 418 | ||||||
Comcast | ||||||||
4.049%, 11/01/2052 | 410 | 314 | ||||||
Cox Communications | ||||||||
4.800%, 02/01/2035 (D) | 890 | 783 | ||||||
2.600%, 06/15/2031 (D) | 915 | 710 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
CSC Holdings | ||||||||
4.500%, 11/15/2031 (D) | $ | 1,000 | $ | 751 | ||||
3.375%, 02/15/2031 (D) | 200 | 141 | ||||||
Dollar General | ||||||||
3.250%, 04/15/2023 | 50 | 50 | ||||||
Ford Motor | ||||||||
6.100%, 08/19/2032 (F) | 380 | 335 | ||||||
5.291%, 12/08/2046 (F) | 99 | 70 | ||||||
4.750%, 01/15/2043 | 63 | 42 | ||||||
3.250%, 02/12/2032 (F) | 480 | 346 | ||||||
Ford Motor Credit | ||||||||
5.125%, 06/16/2025 | 400 | 377 | ||||||
5.113%, 05/03/2029 | 420 | 364 | ||||||
4.950%, 05/28/2027 | 850 | 759 | ||||||
4.125%, 08/17/2027 | 200 | 172 | ||||||
4.000%, 11/13/2030 | 470 | 367 | ||||||
3.815%, 11/02/2027 | 261 | 219 | ||||||
3.810%, 01/09/2024 | 300 | 290 | ||||||
3.625%, 06/17/2031 | 618 | 459 | ||||||
2.900%, 02/16/2028 | 200 | 157 | ||||||
2.900%, 02/10/2029 | 572 | 433 | ||||||
2.700%, 08/10/2026 | 1,232 | 1,022 | ||||||
General Motors | ||||||||
6.600%, 04/01/2036 | 40 | 37 | ||||||
6.250%, 10/02/2043 | 260 | 226 | ||||||
6.125%, 10/01/2025 | 320 | 320 | ||||||
5.950%, 04/01/2049 (F) | 80 | 67 | ||||||
5.600%, 10/15/2032 | 580 | 518 | ||||||
5.400%, 10/02/2023 | 190 | 190 | ||||||
5.400%, 10/15/2029 | 771 | 711 | ||||||
5.150%, 04/01/2038 | 240 | 193 | ||||||
4.875%, 10/02/2023 | 315 | 314 | ||||||
General Motors Financial | ||||||||
5.000%, 04/09/2027 | 355 | 336 | ||||||
4.350%, 01/17/2027 (F) | 110 | 102 | ||||||
4.250%, 05/15/2023 | 110 | 110 | ||||||
4.150%, 06/19/2023 | 83 | 83 | ||||||
3.100%, 01/12/2032 | 467 | 352 | ||||||
Hanesbrands | ||||||||
4.875%, 05/15/2026 (D)(F) | 210 | 189 | ||||||
4.625%, 05/15/2024 (D) | 30 | 29 | ||||||
Hilton Domestic Operating | ||||||||
5.750%, 05/01/2028 (D) | 150 | 140 | ||||||
5.375%, 05/01/2025 (D)(F) | 460 | 450 | ||||||
Home Depot | ||||||||
4.950%, 09/15/2052 | 292 | 274 | ||||||
4.500%, 09/15/2032 | 615 | 588 | ||||||
4.250%, 04/01/2046 | 48 | 41 | ||||||
3.900%, 12/06/2028 | 40 | 38 | ||||||
3.900%, 06/15/2047 | 60 | 48 | ||||||
3.750%, 02/15/2024 | 66 | 65 | ||||||
3.625%, 04/15/2052 | 292 | 221 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
167
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
3.350%, 04/15/2050 | $ | 710 | $ | 509 | ||||
3.300%, 04/15/2040 | 472 | 361 | ||||||
3.125%, 12/15/2049 | 569 | 391 | ||||||
2.700%, 04/15/2030 | 320 | 273 | ||||||
2.500%, 04/15/2027 (F) | 280 | 254 | ||||||
2.375%, 03/15/2051 | 470 | 275 | ||||||
Hyundai Capital America MTN | ||||||||
2.000%, 06/15/2028 (D)(F) | 292 | 233 | ||||||
1.300%, 01/08/2026 (D)(F) | 620 | 536 | ||||||
0.800%, 01/08/2024 (D) | 259 | 244 | ||||||
Las Vegas Sands | ||||||||
3.200%, 08/08/2024 | 1,980 | 1,866 | ||||||
2.900%, 06/25/2025 | 210 | 188 | ||||||
Lennar | ||||||||
4.750%, 11/29/2027 (F) | 410 | 379 | ||||||
4.500%, 04/30/2024 | 140 | 137 | ||||||
Lowe's | ||||||||
5.625%, 04/15/2053 | 1,724 | 1,594 | ||||||
5.000%, 04/15/2033 (F) | 1,232 | 1,164 | ||||||
5.000%, 04/15/2040 (F) | 725 | 643 | ||||||
4.500%, 04/15/2030 | 200 | 187 | ||||||
4.250%, 04/01/2052 | 616 | 472 | ||||||
Marriott International | ||||||||
4.625%, 06/15/2030 | 877 | 792 | ||||||
3.500%, 10/15/2032 | 752 | 605 | ||||||
2.850%, 04/15/2031 | 392 | 308 | ||||||
McDonald's | ||||||||
5.150%, 09/09/2052 | 308 | 286 | ||||||
McDonald's MTN | ||||||||
4.875%, 12/09/2045 | 260 | 230 | ||||||
4.450%, 03/01/2047 | 240 | 201 | ||||||
4.450%, 09/01/2048 | 72 | 60 | ||||||
4.200%, 04/01/2050 | 1,237 | 992 | ||||||
3.800%, 04/01/2028 (F) | 170 | 160 | ||||||
3.700%, 01/30/2026 (F) | 220 | 212 | ||||||
3.625%, 09/01/2049 (F) | 659 | 480 | ||||||
3.600%, 07/01/2030 (F) | 290 | 261 | ||||||
3.500%, 03/01/2027 (F) | 510 | 483 | ||||||
3.500%, 07/01/2027 | 200 | 187 | ||||||
3.300%, 07/01/2025 | 320 | 308 | ||||||
1.450%, 09/01/2025 (F) | 80 | 73 | ||||||
MDC Holdings | ||||||||
6.000%, 01/15/2043 | 30 | 22 | ||||||
Mercedes-Benz Finance North America | ||||||||
2.700%, 06/14/2024 (D) | 595 | 573 | ||||||
0.750%, 03/01/2024 (D) | 980 | 923 | ||||||
Newell Brands | ||||||||
4.450%, 04/01/2026 | 110 | 101 | ||||||
4.100%, 04/01/2023 | 278 | 278 | ||||||
NIKE | ||||||||
3.375%, 03/27/2050 (F) | 520 | 382 | ||||||
3.250%, 03/27/2040 | 210 | 162 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.850%, 03/27/2030 | $ | 150 | $ | 130 | ||||
2.750%, 03/27/2027 (F) | 410 | 377 | ||||||
2.400%, 03/27/2025 | 260 | 247 | ||||||
Nissan Motor | ||||||||
4.345%, 09/17/2027 (D)(F) | 1,100 | 948 | ||||||
3.522%, 09/17/2025 (D)(F) | 1,190 | 1,095 | ||||||
3.043%, 09/15/2023 (D) | 580 | 564 | ||||||
QVC | ||||||||
4.850%, 04/01/2024 (F) | 370 | 348 | ||||||
Sands China | ||||||||
5.900%, 08/08/2028 | 320 | 269 | ||||||
5.625%, 08/08/2025 | 1,580 | 1,431 | ||||||
4.300%, 01/08/2026 (F) | 420 | 357 | ||||||
3.350%, 03/08/2029 (F) | 690 | 513 | ||||||
2.800%, 03/08/2027 | 460 | 366 | ||||||
Starbucks | ||||||||
3.500%, 11/15/2050 (F) | 625 | 437 | ||||||
3.350%, 03/12/2050 | 120 | 82 | ||||||
3.000%, 02/14/2032 (F) | 1,325 | 1,097 | ||||||
Target | ||||||||
4.500%, 09/15/2032 (F) | 1,077 | 1,027 | ||||||
2.950%, 01/15/2052 (F) | 806 | 542 | ||||||
2.250%, 04/15/2025 (F) | 450 | 424 | ||||||
Time Warner Cable | ||||||||
7.300%, 07/01/2038 | 530 | 504 | ||||||
6.750%, 06/15/2039 | 10 | 9 | ||||||
6.550%, 05/01/2037 (F) | 268 | 242 | ||||||
5.875%, 11/15/2040 | 1,405 | 1,157 | ||||||
5.500%, 09/01/2041 | 1,599 | 1,255 | ||||||
Time Warner Entertainment | ||||||||
8.375%, 07/15/2033 (F) | 270 | 288 | ||||||
Toll Brothers Finance | ||||||||
4.375%, 04/15/2023 | 120 | 119 | ||||||
Toyota Motor Credit MTN | ||||||||
4.550%, 09/20/2027 | 158 | 154 | ||||||
Virgin Media Secured Finance | ||||||||
5.500%, 05/15/2029 (D) | 250 | 214 | ||||||
VOC Escrow | ||||||||
5.000%, 02/15/2028 (D) | 380 | 309 | ||||||
Volkswagen Group of America Finance | ||||||||
1.250%, 11/24/2025 (D) | 1,345 | 1,181 | ||||||
0.875%, 11/22/2023 (D) | 1,055 | 1,004 | ||||||
Walmart | ||||||||
4.500%, 09/09/2052 | 462 | 433 | ||||||
4.150%, 09/09/2032 (F) | 923 | 884 | ||||||
3.950%, 09/09/2027 (F) | 770 | 747 | ||||||
Wynn Macau | ||||||||
5.625%, 08/26/2028 (D) | 500 | 333 | ||||||
5.125%, 12/15/2029 (D) | 200 | 130 | ||||||
59,453 |
168
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Consumer Staples — 1.7% | ||||||||
Alimentation Couche-Tard | ||||||||
3.550%, 07/26/2027 (D)(F) | $ | 650 | $ | 580 | ||||
Altria Group | ||||||||
6.200%, 02/14/2059 | 76 | 66 | ||||||
5.950%, 02/14/2049 (F) | 960 | 795 | ||||||
5.800%, 02/14/2039 (F) | 1,190 | 1,039 | ||||||
4.800%, 02/14/2029 (F) | 28 | 26 | ||||||
4.400%, 02/14/2026 | 514 | 495 | ||||||
3.875%, 09/16/2046 (F) | 240 | 152 | ||||||
3.400%, 02/04/2041 | 600 | 378 | ||||||
2.450%, 02/04/2032 | 770 | 543 | ||||||
2.350%, 05/06/2025 (F) | 130 | 120 | ||||||
Anheuser-Busch | ||||||||
4.900%, 02/01/2046 | 5,920 | 5,145 | ||||||
4.700%, 02/01/2036 | 831 | 749 | ||||||
3.650%, 02/01/2026 (F) | 1,135 | 1,090 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
5.550%, 01/23/2049 | 645 | 607 | ||||||
5.450%, 01/23/2039 | 645 | 615 | ||||||
4.750%, 01/23/2029 | 120 | 117 | ||||||
4.600%, 04/15/2048 (F) | 1,700 | 1,408 | ||||||
4.500%, 06/01/2050 | 670 | 552 | ||||||
4.375%, 04/15/2038 | 872 | 745 | ||||||
4.350%, 06/01/2040 | 560 | 474 | ||||||
4.000%, 04/13/2028 (F) | 160 | 152 | ||||||
3.750%, 07/15/2042 (F) | 498 | 378 | ||||||
3.500%, 06/01/2030 (F) | 200 | 178 | ||||||
Bacardi | ||||||||
4.450%, 05/15/2025 (D) | 1,840 | 1,764 | ||||||
BAT Capital | ||||||||
5.650%, 03/16/2052 | 850 | 648 | ||||||
5.282%, 04/02/2050 | 1,260 | 929 | ||||||
4.540%, 08/15/2047 | 2,583 | 1,711 | ||||||
4.390%, 08/15/2037 | 61 | 44 | ||||||
3.984%, 09/25/2050 (F) | 460 | 281 | ||||||
3.734%, 09/25/2040 | 10 | 6 | ||||||
3.557%, 08/15/2027 | 3,000 | 2,635 | ||||||
3.222%, 08/15/2024 | 167 | 161 | ||||||
2.259%, 03/25/2028 (F) | 315 | 251 | ||||||
Bunge Finance | ||||||||
1.630%, 08/17/2025 | 335 | 301 | ||||||
Cargill | ||||||||
1.375%, 07/23/2023 (D) | 440 | 429 | ||||||
Clorox | ||||||||
4.600%, 05/01/2032 | 1,230 | 1,145 | ||||||
Coca-Cola | ||||||||
3.375%, 03/25/2027 (F) | 380 | 363 | ||||||
2.600%, 06/01/2050 (F) | 190 | 122 | ||||||
2.500%, 06/01/2040 | 20 | 14 | ||||||
1.450%, 06/01/2027 (F) | 490 | 423 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Constellation Brands | ||||||||
4.750%, 05/09/2032 | $ | 700 | $ | 655 | ||||
4.400%, 11/15/2025 | 415 | 406 | ||||||
4.350%, 05/09/2027 (F) | 320 | 307 | ||||||
3.600%, 05/09/2024 (F) | 230 | 225 | ||||||
2.250%, 08/01/2031 | 80 | 62 | ||||||
Costco Wholesale | ||||||||
3.000%, 05/18/2027 (F) | 284 | 266 | ||||||
2.750%, 05/18/2024 | 183 | 179 | ||||||
1.600%, 04/20/2030 | 450 | 361 | ||||||
1.375%, 06/20/2027 | 780 | 673 | ||||||
Danone | ||||||||
2.589%, 11/02/2023 (D) | 1,370 | 1,339 | ||||||
GSK Consumer Healthcare Capital US | ||||||||
4.000%, 03/24/2052 (D) | 474 | 351 | ||||||
3.625%, 03/24/2032 (D) | 1,566 | 1,328 | ||||||
3.375%, 03/24/2027 (D) | 1,081 | 980 | ||||||
3.375%, 03/24/2029 (D) | 575 | 501 | ||||||
Hershey | ||||||||
0.900%, 06/01/2025 | 130 | 118 | ||||||
Imperial Brands Finance | ||||||||
3.500%, 07/26/2026 (D) | 635 | 573 | ||||||
3.125%, 07/26/2024 (D) | 2,250 | 2,152 | ||||||
JBS USA LUX | ||||||||
6.500%, 12/01/2052 (D) | 2,115 | 1,879 | ||||||
3.750%, 12/01/2031 (D)(F) | 350 | 280 | ||||||
3.000%, 02/02/2029 (D) | 1,205 | 986 | ||||||
3.000%, 05/15/2032 (D)(F) | 1,520 | 1,123 | ||||||
Kraft Heinz Foods | ||||||||
7.125%, 08/01/2039 (D) | 10 | 11 | ||||||
6.875%, 01/26/2039 | 40 | 41 | ||||||
6.750%, 03/15/2032 | 10 | 11 | ||||||
5.500%, 06/01/2050 | 220 | 198 | ||||||
5.200%, 07/15/2045 (F) | 360 | 313 | ||||||
5.000%, 06/04/2042 | 1,250 | 1,086 | ||||||
4.875%, 10/01/2049 (F) | 2,370 | 1,953 | ||||||
4.625%, 10/01/2039 | 10 | 8 | ||||||
4.375%, 06/01/2046 | 160 | 124 | ||||||
4.250%, 03/01/2031 | 110 | 99 | ||||||
3.000%, 06/01/2026 | 380 | 350 | ||||||
Mars | ||||||||
3.200%, 04/01/2030 (D)(F) | 210 | 185 | ||||||
2.700%, 04/01/2025 (D)(F) | 370 | 352 | ||||||
2.375%, 07/16/2040 (D)(F) | 300 | 198 | ||||||
Mondelez International | ||||||||
1.500%, 05/04/2025 (F) | 660 | 603 | ||||||
Nestle Holdings | ||||||||
4.700%, 01/15/2053 (D) | 321 | 300 | ||||||
4.300%, 10/01/2032 (D) | 473 | 450 | ||||||
4.125%, 10/01/2027 (D) | 473 | 459 | ||||||
PepsiCo | ||||||||
2.875%, 10/15/2049 (F) | 60 | 42 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
169
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.625%, 03/19/2027 | $ | 50 | $ | 46 | ||||
2.250%, 03/19/2025 | 50 | 47 | ||||||
1.625%, 05/01/2030 | 440 | 353 | ||||||
0.750%, 05/01/2023 (F) | 530 | 520 | ||||||
Philip Morris International | ||||||||
4.500%, 03/20/2042 | 130 | 95 | ||||||
2.500%, 11/02/2022 | 680 | 679 | ||||||
2.100%, 05/01/2030 | 290 | 220 | ||||||
1.125%, 05/01/2023 (F) | 280 | 274 | ||||||
Procter & Gamble | ||||||||
3.000%, 03/25/2030 | 240 | 215 | ||||||
2.800%, 03/25/2027 | 80 | 74 | ||||||
Reckitt Benckiser Treasury Services | ||||||||
2.750%, 06/26/2024 (D) | 1,505 | 1,450 | ||||||
Reynolds American | ||||||||
8.125%, 05/01/2040 | 570 | 585 | ||||||
7.250%, 06/15/2037 | 390 | 365 | ||||||
5.850%, 08/15/2045 (F) | 3,140 | 2,463 | ||||||
Viterra Finance BV | ||||||||
5.250%, 04/21/2032 (D) | 1,051 | 904 | ||||||
4.900%, 04/21/2027 (D) | 391 | 361 | ||||||
Walmart | ||||||||
3.300%, 04/22/2024 (F) | 60 | 59 | ||||||
1.800%, 09/22/2031 (F) | 110 | 87 | ||||||
1.500%, 09/22/2028 | 230 | 192 | ||||||
58,147 | ||||||||
Corporate Obligation — 0.7% | ||||||||
Banco Santander | ||||||||
5.294%, 08/18/2027 | 1,200 | 1,130 | ||||||
5.147%, 08/18/2025 (F) | 2,000 | 1,941 | ||||||
Bank of America | ||||||||
5.015%, U.S. SOFR + 2.160%, 07/22/2033 (A)(F) | 679 | 630 | ||||||
4.948%, U.S. SOFR + 2.040%, 07/22/2028 (A) | 1,693 | 1,627 | ||||||
4.827%, U.S. SOFR + 1.750%, 07/22/2026 (A)(F) | 1,335 | 1,305 | ||||||
Citigroup | ||||||||
5.610%, SOFRINDX + 1.546%, 09/29/2026 (A) | 2,720 | 2,705 | ||||||
Credit Suisse Group | ||||||||
6.442%, U.S. SOFR + 3.700%, 08/11/2028 (A)(D) | 825 | 767 | ||||||
HSBC Holdings | ||||||||
5.402%, U.S. SOFR + 2.870%, 08/11/2033 (A)(F) | 295 | 262 | ||||||
JPMorgan Chase | ||||||||
4.912%, U.S. SOFR + 2.080%, 07/25/2033 (A)(F) | 615 | 567 | ||||||
4.851%, U.S. SOFR + 1.990%, 07/25/2028 (A) | 748 | 718 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Lloyds Banking Group | ||||||||
4.976%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.300%, 08/11/2033 (A)(F) | $ | 3,000 | $ | 2,621 | ||||
4.716%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.750%, 08/11/2026 (A)(F) | 1,242 | 1,193 | ||||||
Macquarie Group MTN | ||||||||
5.033%, ICE LIBOR USD 3 Month + 1.750%, 01/15/2030 (A)(D) | 635 | 597 | ||||||
Mitsubishi UFJ Financial Group | ||||||||
5.472%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.125%, 09/13/2033 (A) | 410 | 394 | ||||||
5.354%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.900%, 09/13/2028 (A) | 1,236 | 1,205 | ||||||
5.133%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.125%, 07/20/2033 (A) | 635 | 593 | ||||||
5.063%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.550%, 09/12/2025 (A) | 1,620 | 1,603 | ||||||
Morgan Stanley | ||||||||
2.484%, U.S. SOFR + 1.360%, 09/16/2036 (A) | 1,040 | 746 | ||||||
UBS Group | ||||||||
4.703%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.050%, 08/05/2027 (A)(D) | 2,307 | 2,187 | ||||||
4.490%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.600%, 08/05/2025 (A)(D) | 1,204 | 1,175 | ||||||
23,966 | ||||||||
Energy — 2.8% | ||||||||
Aker BP | ||||||||
4.000%, 01/15/2031 (D) | 369 | 313 | ||||||
3.750%, 01/15/2030 (D) | 219 | 186 | ||||||
3.100%, 07/15/2031 (D) | 934 | 731 | ||||||
2.000%, 07/15/2026 (D) | 783 | 675 | ||||||
Apache | ||||||||
7.750%, 12/15/2029 | 140 | 143 | ||||||
5.350%, 07/01/2049 (F) | 230 | 181 | ||||||
5.250%, 02/01/2042 | 90 | 73 | ||||||
5.100%, 09/01/2040 (F) | 205 | 166 | ||||||
4.750%, 04/15/2043 (F) | 390 | 291 | ||||||
4.250%, 01/15/2044 | 890 | 630 | ||||||
Boardwalk Pipelines | ||||||||
3.400%, 02/15/2031 | 294 | 236 | ||||||
BP Capital Markets America | ||||||||
3.633%, 04/06/2030 | 320 | 288 | ||||||
3.410%, 02/11/2026 (F) | 1,110 | 1,055 |
170
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
3.119%, 05/04/2026 | $ | 230 | $ | 215 | ||||
3.000%, 02/24/2050 | 940 | 610 | ||||||
2.939%, 06/04/2051 (F) | 292 | 185 | ||||||
Cameron LNG | ||||||||
3.302%, 01/15/2035 (D) | 660 | 519 | ||||||
2.902%, 07/15/2031 (D) | 140 | 115 | ||||||
Canadian Natural Resources | ||||||||
6.450%, 06/30/2033 | 50 | 50 | ||||||
Cheniere Corpus Christi Holdings | ||||||||
3.700%, 11/15/2029 | 938 | 813 | ||||||
Cheniere Energy | ||||||||
4.625%, 10/15/2028 | 260 | 239 | ||||||
Cheniere Energy Partners | ||||||||
4.000%, 03/01/2031 | 100 | 84 | ||||||
3.250%, 01/31/2032 | 530 | 407 | ||||||
Chevron | ||||||||
2.895%, 03/03/2024 (F) | 560 | 548 | ||||||
1.995%, 05/11/2027 (F) | 180 | 160 | ||||||
1.554%, 05/11/2025 | 520 | 480 | ||||||
Chevron USA | ||||||||
3.850%, 01/15/2028 | 200 | 190 | ||||||
3.250%, 10/15/2029 | 50 | 45 | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/2031 | 180 | 201 | ||||||
ConocoPhillips | ||||||||
5.900%, 10/15/2032 (F) | 10 | 10 | ||||||
5.900%, 05/15/2038 | 420 | 428 | ||||||
4.150%, 11/15/2034 | 280 | 240 | ||||||
Continental Resources | ||||||||
5.750%, 01/15/2031 (D)(F) | 370 | 334 | ||||||
4.900%, 06/01/2044 | 80 | 57 | ||||||
4.500%, 04/15/2023 (F) | 250 | 249 | ||||||
4.375%, 01/15/2028 (F) | 520 | 467 | ||||||
3.800%, 06/01/2024 | 200 | 194 | ||||||
2.268%, 11/15/2026 (D)(F) | 2,070 | 1,766 | ||||||
Coterra Energy | ||||||||
4.375%, 03/15/2029 (D)(F) | 780 | 721 | ||||||
3.900%, 05/15/2027 (D) | 970 | 899 | ||||||
DCP Midstream Operating | ||||||||
6.450%, 11/03/2036 (D) | 110 | 101 | ||||||
Devon Energy | ||||||||
8.250%, 08/01/2023 | 50 | 51 | ||||||
7.875%, 09/30/2031 (F) | 660 | 723 | ||||||
5.875%, 06/15/2028 (F) | 40 | 40 | ||||||
5.850%, 12/15/2025 (F) | 50 | 50 | ||||||
5.600%, 07/15/2041 (F) | 490 | 439 | ||||||
5.250%, 10/15/2027 (F) | 46 | 46 | ||||||
5.000%, 06/15/2045 (F) | 1,232 | 1,025 | ||||||
4.750%, 05/15/2042 (F) | 187 | 152 | ||||||
4.500%, 01/15/2030 (F) | 304 | 277 | ||||||
Diamondback Energy | ||||||||
3.500%, 12/01/2029 | 500 | 432 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
3.250%, 12/01/2026 | $ | 30 | $ | 28 | ||||
3.125%, 03/24/2031 (F) | 471 | 382 | ||||||
Ecopetrol | ||||||||
5.875%, 05/28/2045 (F) | 1,276 | 772 | ||||||
4.625%, 11/02/2031 (F) | 160 | 112 | ||||||
4.125%, 01/16/2025 (F) | 203 | 186 | ||||||
Energy Transfer | ||||||||
7.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.306%(A)(G) | 580 | 477 | ||||||
6.750%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.134%(A)(F)(G) | 500 | 432 | ||||||
6.500%, 02/01/2042 | 45 | 42 | ||||||
6.500%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.694%(A)(G) | 200 | 174 | ||||||
6.250%, 04/15/2049 (F) | 490 | 435 | ||||||
6.250%, ICE LIBOR USD 3 Month + 4.028%(A)(G) | 90 | 74 | ||||||
6.125%, 12/15/2045 | 262 | 230 | ||||||
5.500%, 06/01/2027 (F) | 118 | 115 | ||||||
5.400%, 10/01/2047 | 1,926 | 1,559 | ||||||
5.350%, 05/15/2045 | 465 | 374 | ||||||
5.300%, 04/01/2044 | 640 | 513 | ||||||
5.300%, 04/15/2047 | 690 | 550 | ||||||
5.250%, 04/15/2029 | 1,165 | 1,096 | ||||||
5.150%, 03/15/2045 (F) | 414 | 326 | ||||||
5.000%, 05/15/2050 (F) | 1,285 | 1,004 | ||||||
4.950%, 05/15/2028 | 1,083 | 1,010 | ||||||
4.950%, 06/15/2028 (F) | 180 | 168 | ||||||
4.500%, 11/01/2023 | 690 | 684 | ||||||
4.400%, 03/15/2027 | 145 | 135 | ||||||
4.000%, 10/01/2027 (F) | 1,190 | 1,079 | ||||||
3.750%, 05/15/2030 | 1,250 | 1,058 | ||||||
Eni | ||||||||
4.000%, 09/12/2023 (D)(F) | 1,940 | 1,916 | ||||||
Enterprise Products Operating | ||||||||
7.550%, 04/15/2038 | 40 | 44 | ||||||
5.700%, 02/15/2042 (F) | 40 | 37 | ||||||
5.375%, ICE LIBOR USD 3 Month + 2.570%, 02/15/2078 (A) | 150 | 113 | ||||||
5.100%, 02/15/2045 | 395 | 336 | ||||||
4.850%, 03/15/2044 | 430 | 361 | ||||||
4.800%, 02/01/2049 | 60 | 49 | ||||||
4.200%, 01/31/2050 | 120 | 92 | ||||||
4.150%, 10/16/2028 (F) | 1,605 | 1,492 | ||||||
3.950%, 01/31/2060 | 220 | 152 | ||||||
3.700%, 01/31/2051 | 270 | 190 | ||||||
3.125%, 07/31/2029 (F) | 170 | 146 | ||||||
2.800%, 01/31/2030 (F) | 540 | 451 | ||||||
EOG Resources | ||||||||
4.950%, 04/15/2050 (F) | 450 | 419 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
171
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.375%, 04/15/2030 (F) | $ | 120 | $ | 114 | ||||
4.150%, 01/15/2026 | 340 | 331 | ||||||
3.900%, 04/01/2035 | 390 | 333 | ||||||
EQM Midstream Partners | ||||||||
5.500%, 07/15/2028 | 30 | 26 | ||||||
EQT | ||||||||
6.125%, 02/01/2025 | 30 | 30 | ||||||
5.000%, 01/15/2029 | 150 | 140 | ||||||
3.900%, 10/01/2027 (F) | 1,020 | 928 | ||||||
3.625%, 05/15/2031 (D) | 320 | 267 | ||||||
3.125%, 05/15/2026 (D) | 10 | 9 | ||||||
Equinor | ||||||||
3.000%, 04/06/2027 (F) | 555 | 512 | ||||||
2.875%, 04/06/2025 (F) | 1,685 | 1,607 | ||||||
Exxon Mobil | ||||||||
4.327%, 03/19/2050 | 838 | 714 | ||||||
4.114%, 03/01/2046 (F) | 533 | 440 | ||||||
3.482%, 03/19/2030 (F) | 460 | 418 | ||||||
3.452%, 04/15/2051 | 1,023 | 762 | ||||||
3.043%, 03/01/2026 (F) | 660 | 624 | ||||||
2.992%, 03/19/2025 (F) | 2,400 | 2,302 | ||||||
1.571%, 04/15/2023 | 50 | 49 | ||||||
Galaxy Pipeline Assets Bidco | ||||||||
2.940%, 09/30/2040 (D) | 252 | 191 | ||||||
2.625%, 03/31/2036 (D) | 458 | 354 | ||||||
2.160%, 03/31/2034 (D) | 666 | 547 | ||||||
1.750%, 09/30/2027 (D) | 1,337 | 1,214 | ||||||
Halliburton | ||||||||
5.000%, 11/15/2045 (F) | 80 | 66 | ||||||
4.850%, 11/15/2035 | 60 | 52 | ||||||
3.800%, 11/15/2025 | 17 | 16 | ||||||
Hess | ||||||||
6.000%, 01/15/2040 | 880 | 818 | ||||||
5.600%, 02/15/2041 (F) | 860 | 752 | ||||||
HF Sinclair | ||||||||
5.875%, 04/01/2026 (D)(F) | 620 | 608 | ||||||
KazMunayGas National JSC | ||||||||
5.750%, 04/19/2047 (D) | 340 | 226 | ||||||
Kinder Morgan | ||||||||
5.550%, 06/01/2045 (F) | 300 | 261 | ||||||
5.450%, 08/01/2052 (F) | 956 | 828 | ||||||
5.200%, 03/01/2048 (F) | 455 | 380 | ||||||
5.050%, 02/15/2046 | 170 | 139 | ||||||
4.300%, 06/01/2025 (F) | 510 | 497 | ||||||
4.300%, 03/01/2028 (F) | 150 | 140 | ||||||
3.600%, 02/15/2051 | 109 | 71 | ||||||
3.150%, 01/15/2023 | 193 | 192 | ||||||
Kinder Morgan Energy Partners | ||||||||
5.500%, 03/01/2044 | 415 | 345 | ||||||
5.400%, 09/01/2044 | 20 | 17 | ||||||
MEG Energy | ||||||||
5.875%, 02/01/2029 (D) | 80 | 72 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
MPLX | ||||||||
5.500%, 02/15/2049 | $ | 390 | $ | 331 | ||||
4.950%, 03/14/2052 (F) | 1,160 | 908 | ||||||
4.875%, 12/01/2024 | 320 | 316 | ||||||
4.800%, 02/15/2029 | 330 | 307 | ||||||
4.700%, 04/15/2048 | 430 | 328 | ||||||
4.500%, 04/15/2038 | 520 | 419 | ||||||
Northwest Pipeline | ||||||||
4.000%, 04/01/2027 | 219 | 203 | ||||||
Occidental Petroleum | ||||||||
7.875%, 09/15/2031 | 610 | 651 | ||||||
7.500%, 05/01/2031 | 870 | 909 | ||||||
6.950%, 07/01/2024 | 288 | 296 | ||||||
6.600%, 03/15/2046 | 360 | 371 | ||||||
6.450%, 09/15/2036 | 280 | 280 | ||||||
5.550%, 03/15/2026 | 110 | 110 | ||||||
4.625%, 06/15/2045 | 280 | 232 | ||||||
4.400%, 04/15/2046 (F) | 120 | 99 | ||||||
4.200%, 03/15/2048 | 170 | 136 | ||||||
4.100%, 02/15/2047 (F) | 600 | 478 | ||||||
3.400%, 04/15/2026 (F) | 270 | 256 | ||||||
3.000%, 02/15/2027 (F) | 300 | 270 | ||||||
Parsley Energy | ||||||||
4.125%, 02/15/2028 (D) | 60 | 55 | ||||||
Pertamina Persero | ||||||||
6.000%, 05/03/2042 (D) | 300 | 263 | ||||||
Petrobras Global Finance BV | ||||||||
7.375%, 01/17/2027 | 310 | 319 | ||||||
6.900%, 03/19/2049 | 1,870 | 1,556 | ||||||
6.850%, 06/05/2115 | 820 | 639 | ||||||
6.250%, 03/17/2024 | 1,394 | 1,404 | ||||||
5.750%, 02/01/2029 | 300 | 281 | ||||||
5.299%, 01/27/2025 (F) | 1,278 | 1,268 | ||||||
Petroleos Mexicanos | ||||||||
7.690%, 01/23/2050 | 150 | 92 | ||||||
6.950%, 01/28/2060 | 780 | 432 | ||||||
6.625%, 06/15/2035 | 767 | 489 | ||||||
6.375%, 01/23/2045 (F) | 1,105 | 610 | ||||||
5.625%, 01/23/2046 | 480 | 250 | ||||||
4.875%, 01/18/2024 | 32 | 31 | ||||||
2.460%, 12/15/2025 | 646 | 621 | ||||||
2.378%, 04/15/2025 | 305 | 296 | ||||||
Petroleos Mexicanos MTN | ||||||||
6.875%, 08/04/2026 | 120 | 108 | ||||||
6.750%, 09/21/2047 | 2,970 | 1,656 | ||||||
Phillips 66 | ||||||||
1.300%, 02/15/2026 | 405 | 354 | ||||||
Pioneer Natural Resources | ||||||||
2.150%, 01/15/2031 | 1,255 | 967 | ||||||
1.900%, 08/15/2030 (F) | 737 | 563 | ||||||
1.125%, 01/15/2026 (F) | 110 | 96 |
172
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Plains All American Pipeline | ||||||||
3.550%, 12/15/2029 | $ | 495 | $ | 412 | ||||
2.850%, 01/31/2023 | 250 | 248 | ||||||
Range Resources | ||||||||
5.000%, 03/15/2023 | 322 | 321 | ||||||
4.875%, 05/15/2025 | 120 | 113 | ||||||
Reliance Industries | ||||||||
3.625%, 01/12/2052 (D) | 2,220 | 1,391 | ||||||
2.875%, 01/12/2032 (D)(F) | 320 | 251 | ||||||
Rockies Express Pipeline | ||||||||
6.875%, 04/15/2040 (D) | 830 | 676 | ||||||
4.950%, 07/15/2029 (D) | 2,235 | 1,917 | ||||||
Ruby Pipeline | ||||||||
8.000%, 04/01/2022 (D)(F)(H) | 1,008 | 836 | ||||||
Sabine Pass Liquefaction | ||||||||
5.750%, 05/15/2024 | 1,370 | 1,375 | ||||||
5.000%, 03/15/2027 (F) | 1,265 | 1,214 | ||||||
4.500%, 05/15/2030 | 1,210 | 1,102 | ||||||
Saudi Arabian Oil | ||||||||
1.625%, 11/24/2025 (D) | 540 | 486 | ||||||
1.250%, 11/24/2023 (D) | 450 | 432 | ||||||
Schlumberger Finance Canada | ||||||||
2.650%, 11/20/2022 (D) | 329 | 329 | ||||||
Schlumberger Holdings | ||||||||
3.900%, 05/17/2028 (D) | 475 | 428 | ||||||
Schlumberger Investment | ||||||||
3.650%, 12/01/2023 | 61 | 60 | ||||||
Shell International Finance BV | ||||||||
4.550%, 08/12/2043 | 280 | 243 | ||||||
4.375%, 05/11/2045 (F) | 470 | 395 | ||||||
4.125%, 05/11/2035 | 1,566 | 1,372 | ||||||
3.250%, 04/06/2050 | 840 | 590 | ||||||
2.875%, 05/10/2026 (F) | 900 | 838 | ||||||
2.750%, 04/06/2030 | 440 | 376 | ||||||
Sinopec Group Overseas Development | ||||||||
4.375%, 04/10/2024 (D)(F) | 1,240 | 1,236 | ||||||
Southern Natural Gas | ||||||||
8.000%, 03/01/2032 | 170 | 186 | ||||||
Southwestern Energy | ||||||||
5.375%, 02/01/2029 | 20 | 18 | ||||||
5.375%, 03/15/2030 | 80 | 72 | ||||||
4.750%, 02/01/2032 (F) | 190 | 159 | ||||||
Tallgrass Energy Partners | ||||||||
6.000%, 12/31/2030 (D)(F) | 20 | 17 | ||||||
Targa Resources | ||||||||
6.250%, 07/01/2052 | 359 | 326 | ||||||
5.200%, 07/01/2027 (F) | 540 | 519 | ||||||
4.200%, 02/01/2033 | 250 | 208 | ||||||
Targa Resources Partners | ||||||||
5.500%, 03/01/2030 (F) | 304 | 273 | ||||||
5.000%, 01/15/2028 (F) | 100 | 93 | ||||||
4.875%, 02/01/2031 | 1,060 | 912 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.000%, 01/15/2032 (F) | $ | 40 | $ | 33 | ||||
Tennessee Gas Pipeline | ||||||||
8.375%, 06/15/2032 | 1,140 | 1,260 | ||||||
2.900%, 03/01/2030 (D) | 1,560 | 1,277 | ||||||
TransCanada PipeLines | ||||||||
4.625%, 03/01/2034 | 860 | 753 | ||||||
Transcontinental Gas Pipe Line | ||||||||
7.850%, 02/01/2026 | 60 | 64 | ||||||
Venture Global Calcasieu Pass | ||||||||
3.875%, 11/01/2033 (D) | 290 | 225 | ||||||
Western Midstream Operating | ||||||||
5.500%, 08/15/2048 | 244 | 197 | ||||||
5.500%, 02/01/2050 (F) | 210 | 170 | ||||||
5.300%, 03/01/2048 | 162 | 133 | ||||||
4.650%, 07/01/2026 | 40 | 37 | ||||||
4.500%, 03/01/2028 | 60 | 54 | ||||||
4.300%, 02/01/2030 (F) | 1,200 | 1,026 | ||||||
3.555%, ICE LIBOR USD 3 Month + 1.100%, 01/13/2023 (A) | 130 | 129 | ||||||
3.350%, 02/01/2025 | 390 | 364 | ||||||
Williams | ||||||||
7.750%, 06/15/2031 | 841 | 913 | ||||||
7.500%, 01/15/2031 | 100 | 107 | ||||||
5.750%, 06/24/2044 | 51 | 46 | ||||||
5.400%, 03/04/2044 | 84 | 73 | ||||||
3.750%, 06/15/2027 (F) | 1,044 | 963 | ||||||
101,233 | ||||||||
Financials — 11.3% | ||||||||
ABN AMRO Bank | ||||||||
4.750%, 07/28/2025 (D) | 360 | 346 | ||||||
AerCap Ireland Capital DAC | ||||||||
3.400%, 10/29/2033 | 540 | 392 | ||||||
Agree | ||||||||
4.800%, 10/01/2032 | 308 | 275 | ||||||
Ally Financial | ||||||||
1.450%, 10/02/2023 (F) | 670 | 647 | ||||||
Ambac Assurance | ||||||||
5.100%(D)(G) | 8 | 9 | ||||||
American Express | ||||||||
4.420%, U.S. SOFR + 1.760%, 08/03/2033 (A)(F) | 924 | 840 | ||||||
4.050%, 05/03/2029 | 770 | 709 | ||||||
3.950%, 08/01/2025 | 555 | 538 | ||||||
3.375%, 05/03/2024 (F) | 1,495 | 1,458 | ||||||
2.550%, 03/04/2027 | 1,325 | 1,180 | ||||||
American International Group | ||||||||
3.900%, 04/01/2026 | 530 | 506 | ||||||
3.875%, 01/15/2035 (F) | 210 | 177 | ||||||
2.500%, 06/30/2025 (F) | 260 | 243 | ||||||
American Tower | ||||||||
3.125%, 01/15/2027 | 307 | 276 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
173
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Antares Holdings | ||||||||
3.750%, 07/15/2027 (D) | $ | 899 | $ | 726 | ||||
Aon | ||||||||
6.250%, 09/30/2040 | 19 | 19 | ||||||
2.600%, 12/02/2031 | 2,080 | 1,626 | ||||||
Apollo Management Holdings | ||||||||
4.400%, 05/27/2026 (D) | 530 | 503 | ||||||
Ares Capital | ||||||||
3.200%, 11/15/2031 | 282 | 201 | ||||||
Arthur J Gallagher | ||||||||
3.050%, 03/09/2052 (F) | 1,370 | 846 | ||||||
Athene Global Funding | ||||||||
3.205%, 03/08/2027 (D) | 635 | 561 | ||||||
2.986%, SOFRINDX + 0.700%, 05/24/2024 (A)(D) | 2,025 | 1,987 | ||||||
2.950%, 11/12/2026 (D) | 2,090 | 1,843 | ||||||
2.514%, 03/08/2024 (D) | 1,202 | 1,148 | ||||||
2.500%, 03/24/2028 (D) | 1,028 | 856 | ||||||
1.985%, 08/19/2028 (D)(F) | 764 | 603 | ||||||
1.730%, 10/02/2026 (D)(F) | 1,328 | 1,127 | ||||||
1.608%, 06/29/2026 (D) | 1,365 | 1,161 | ||||||
Athene Global Funding MTN | ||||||||
2.646%, 10/04/2031 (D) | 970 | 730 | ||||||
Athene Holding | ||||||||
4.125%, 01/12/2028 (F) | 605 | 543 | ||||||
Avolon Holdings Funding | ||||||||
3.950%, 07/01/2024 (D) | 715 | 676 | ||||||
2.875%, 02/15/2025 (D) | 975 | 882 | ||||||
2.528%, 11/18/2027 (D) | 779 | 609 | ||||||
AXA Equitable Holdings | ||||||||
3.900%, 04/20/2023 | 500 | 497 | ||||||
Bain Capital Specialty Finance | ||||||||
2.550%, 10/13/2026 | 62 | 51 | ||||||
Banco Santander | ||||||||
4.175%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.000%, 03/24/2028 (A) | 200 | 180 | ||||||
3.848%, 04/12/2023 (F) | 600 | 596 | ||||||
3.543%, ICE LIBOR USD 3 Month + 1.120%, 04/12/2023 (A) | 400 | 400 | ||||||
3.225%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.600%, 11/22/2032 (A)(F) | 400 | 280 | ||||||
2.749%, 12/03/2030 | 185 | 131 | ||||||
2.746%, 05/28/2025 | 1,400 | 1,280 | ||||||
1.722%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.900%, 09/14/2027 (A) | 1,190 | 985 | ||||||
Bank of America | ||||||||
4.571%, U.S. SOFR + 1.830%, 04/27/2033 (A) | 2,350 | 2,105 | ||||||
3.419%, ICE LIBOR USD 3 Month + 1.040%, 12/20/2028 (A)(F) | 2,774 | 2,463 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
3.366%, ICE LIBOR USD 3 Month + 0.810%, 01/23/2026 (A) | $ | 631 | $ | 598 | ||||
3.004%, ICE LIBOR USD 3 Month + 0.790%, 12/20/2023 (A) | 3,612 | 3,593 | ||||||
2.972%, U.S. SOFR + 1.330%, 02/04/2033 (A) | 1,445 | 1,130 | ||||||
2.687%, U.S. SOFR + 1.320%, 04/22/2032 (A) | 3,735 | 2,916 | ||||||
2.651%, U.S. SOFR + 1.220%, 03/11/2032 (A) | 1,305 | 1,015 | ||||||
2.592%, U.S. SOFR + 2.150%, 04/29/2031 (A)(F) | 2,130 | 1,689 | ||||||
2.572%, U.S. SOFR + 1.210%, 10/20/2032 (A) | 3,710 | 2,837 | ||||||
1.734%, U.S. SOFR + 0.960%, 07/22/2027 (A) | 5,442 | 4,669 | ||||||
1.658%, U.S. SOFR + 0.910%, 03/11/2027 (A) | 7,358 | 6,376 | ||||||
Bank of America MTN | ||||||||
5.000%, 01/21/2044 | 830 | 717 | ||||||
4.450%, 03/03/2026 (F) | 1,157 | 1,115 | ||||||
4.376%, U.S. SOFR + 1.580%, 04/27/2028 (A)(F) | 1,140 | 1,068 | ||||||
4.330%, ICE LIBOR USD 3 Month + 1.520%, 03/15/2050 (A) | 260 | 205 | ||||||
4.271%, ICE LIBOR USD 3 Month + 1.310%, 07/23/2029 (A)(F) | 65 | 59 | ||||||
4.250%, 10/22/2026 | 80 | 76 | ||||||
4.244%, ICE LIBOR USD 3 Month + 1.814%, 04/24/2038 (A) | 179 | 147 | ||||||
4.200%, 08/26/2024 | 1,530 | 1,505 | ||||||
4.125%, 01/22/2024 | 290 | 288 | ||||||
4.100%, 07/24/2023 | 340 | 339 | ||||||
4.083%, ICE LIBOR USD 3 Month + 3.150%, 03/20/2051 (A) | 1,630 | 1,229 | ||||||
4.000%, 04/01/2024 (F) | 1,309 | 1,294 | ||||||
4.000%, 01/22/2025 | 1,610 | 1,558 | ||||||
3.974%, ICE LIBOR USD 3 Month + 1.210%, 02/07/2030 (A) | 1,900 | 1,691 | ||||||
3.970%, ICE LIBOR USD 3 Month + 1.070%, 03/05/2029 (A) | 625 | 565 | ||||||
3.864%, ICE LIBOR USD 3 Month + 0.940%, 07/23/2024 (A)(F) | 600 | 592 | ||||||
3.824%, ICE LIBOR USD 3 Month + 1.575%, 01/20/2028 (A) | 524 | 482 | ||||||
3.593%, ICE LIBOR USD 3 Month + 1.370%, 07/21/2028 (A) | 1,364 | 1,232 | ||||||
3.550%, ICE LIBOR USD 3 Month + 0.780%, 03/05/2024 (A) | 860 | 853 | ||||||
3.500%, 04/19/2026 (F) | 780 | 733 | ||||||
3.384%, U.S. SOFR + 1.330%, 04/02/2026 (A)(F) | 2,400 | 2,267 | ||||||
3.300%, 01/11/2023 | 1,200 | 1,197 |
174
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
3.194%, ICE LIBOR USD 3 Month + 1.180%, 07/23/2030 (A) | $ | 240 | $ | 202 | ||||
3.093%, ICE LIBOR USD 3 Month + 1.090%, 10/01/2025 (A) | 960 | 912 | ||||||
2.884%, ICE LIBOR USD 3 Month + 1.190%, 10/22/2030 (A) | 265 | 217 | ||||||
2.087%, U.S. SOFR + 1.060%, 06/14/2029 (A) | 6,025 | 4,896 | ||||||
1.530%, U.S. SOFR + 0.650%, 12/06/2025 (A) | 2,088 | 1,910 | ||||||
1.197%, U.S. SOFR + 1.010%, 10/24/2026 (A) | 720 | 628 | ||||||
Bank of Montreal MTN | ||||||||
1.850%, 05/01/2025 (F) | 880 | 810 | ||||||
Bank of New York Mellon | ||||||||
3.400%, 05/15/2024 (F) | 530 | 519 | ||||||
Bank of New York Mellon MTN | ||||||||
4.596%, U.S. SOFR + 1.755%, 07/26/2030 (A) | 62 | 59 | ||||||
4.289%, U.S. SOFR + 1.418%, 06/13/2033 (A) | 1,485 | 1,359 | ||||||
3.250%, 09/11/2024 | 100 | 97 | ||||||
1.600%, 04/24/2025 (F) | 260 | 240 | ||||||
Bank of Nova Scotia | ||||||||
4.900%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.551%(A)(G) | 510 | 455 | ||||||
4.588%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 2.050%, 05/04/2037 (A) | 390 | 327 | ||||||
1.300%, 06/11/2025 | 480 | 432 | ||||||
Barclays | ||||||||
5.088%, ICE LIBOR USD 3 Month + 3.054%, 06/20/2030 (A)(F) | 1,940 | 1,687 | ||||||
4.375%, 01/12/2026 (F) | 2,270 | 2,140 | ||||||
Barclays MTN | ||||||||
4.972%, ICE LIBOR USD 3 Month + 1.902%, 05/16/2029 (A) | 520 | 468 | ||||||
Berkshire Hathaway Finance | ||||||||
4.250%, 01/15/2049 (F) | 870 | 723 | ||||||
3.850%, 03/15/2052 | 1,265 | 966 | ||||||
Blackstone Private Credit Fund | ||||||||
4.000%, 01/15/2029 (F) | 936 | 750 | ||||||
3.250%, 03/15/2027 | 604 | 500 | ||||||
Blackstone Secured Lending Fund | ||||||||
3.625%, 01/15/2026 (F) | 670 | 612 | ||||||
BNP Paribas | ||||||||
4.705%, ICE LIBOR USD 3 Month + 2.235%, 01/10/2025 (A)(D)(F) | 930 | 916 | ||||||
4.625%, 03/13/2027 (D) | 200 | 185 | ||||||
4.400%, 08/14/2028 (D)(F) | 1,447 | 1,302 | ||||||
3.375%, 01/09/2025 (D)(F) | 290 | 276 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.219%, U.S. SOFR + 2.074%, 06/09/2026 (A)(D)(F) | $ | 600 | $ | 540 | ||||
BNP Paribas MTN | ||||||||
4.375%, USD Swap Semi 30/360 5 Yr Curr + 1.483%, 03/01/2033 (A)(D) | 400 | 345 | ||||||
3.500%, 03/01/2023 (D) | 464 | 461 | ||||||
3.052%, U.S. SOFR + 1.507%, 01/13/2031 (A)(D) | 200 | 159 | ||||||
BPCE | ||||||||
5.150%, 07/21/2024 (D) | 410 | 400 | ||||||
Brighthouse Financial | ||||||||
3.850%, 12/22/2051 (F) | 291 | 176 | ||||||
Brighthouse Financial Global Funding MTN | ||||||||
1.000%, 04/12/2024 (D) | 1,505 | 1,405 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
0.950%, 06/23/2023 (F) | 480 | 467 | ||||||
Cantor Fitzgerald | ||||||||
4.500%, 04/14/2027 (D) | 1,135 | 1,052 | ||||||
Capital One Financial | ||||||||
3.273%, U.S. SOFR + 1.790%, 03/01/2030 (A) | 1,850 | 1,547 | ||||||
Cboe Global Markets | ||||||||
3.000%, 03/16/2032 | 1,330 | 1,093 | ||||||
Charles Schwab | ||||||||
2.900%, 03/03/2032 | 1,985 | 1,635 | ||||||
Chubb INA Holdings | ||||||||
3.350%, 05/03/2026 | 200 | 189 | ||||||
3.150%, 03/15/2025 | 74 | 71 | ||||||
2.875%, 11/03/2022 | 39 | 39 | ||||||
CI Financial | ||||||||
4.100%, 06/15/2051 (F) | 1,020 | 607 | ||||||
3.200%, 12/17/2030 | 1,255 | 910 | ||||||
Citadel | ||||||||
4.875%, 01/15/2027 (D)(F) | 660 | 616 | ||||||
Citigroup | ||||||||
8.125%, 07/15/2039 | 1,064 | 1,258 | ||||||
6.675%, 09/13/2043 | 70 | 71 | ||||||
6.625%, 06/15/2032 (F) | 100 | 101 | ||||||
6.300%, ICE LIBOR USD 3 Month + 3.423%(A)(G) | 300 | 279 | ||||||
5.950%, ICE LIBOR USD 3 Month + 3.905%(A)(G) | 590 | 534 | ||||||
5.950%, ICE LIBOR USD 3 Month + 4.068%(A)(F)(G) | 360 | 356 | ||||||
5.500%, 09/13/2025 (F) | 950 | 949 | ||||||
5.300%, 05/06/2044 (F) | 225 | 196 | ||||||
4.910%, U.S. SOFR + 2.086%, 05/24/2033 (A)(F) | 2,426 | 2,232 | ||||||
4.750%, 05/18/2046 | 100 | 80 | ||||||
4.658%, U.S. SOFR + 1.887%, 05/24/2028 (A)(F) | 1,083 | 1,029 | ||||||
4.650%, 07/30/2045 (F) | 903 | 729 | ||||||
4.450%, 09/29/2027 (F) | 1,295 | 1,199 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
175
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.412%, U.S. SOFR + 3.914%, 03/31/2031 (A)(F) | $ | 2,750 | $ | 2,467 | ||||
4.400%, 06/10/2025 | 1,080 | 1,050 | ||||||
4.300%, 11/20/2026 (F) | 240 | 227 | ||||||
4.125%, 07/25/2028 | 210 | 189 | ||||||
4.075%, ICE LIBOR USD 3 Month + 1.192%, 04/23/2029 (A) | 81 | 73 | ||||||
3.980%, ICE LIBOR USD 3 Month + 1.338%, 03/20/2030 (A)(F) | 1,860 | 1,651 | ||||||
3.878%, ICE LIBOR USD 3 Month + 1.168%, 01/24/2039 (A)(F) | 59 | 46 | ||||||
3.785%, U.S. SOFR + 1.939%, 03/17/2033 (A) | 970 | 813 | ||||||
3.500%, 05/15/2023 (F) | 630 | 626 | ||||||
3.352%, ICE LIBOR USD 3 Month + 0.897%, 04/24/2025 (A) | 1,240 | 1,196 | ||||||
3.300%, 04/27/2025 (F) | 120 | 114 | ||||||
3.200%, 10/21/2026 | 440 | 403 | ||||||
3.106%, U.S. SOFR + 2.842%, 04/08/2026 (A) | 350 | 328 | ||||||
3.070%, U.S. SOFR + 1.280%, 02/24/2028 (A) | 655 | 584 | ||||||
3.057%, U.S. SOFR + 1.351%, 01/25/2033 (A) | 2,520 | 1,985 | ||||||
2.976%, U.S. SOFR + 1.422%, 11/05/2030 (A) | 715 | 587 | ||||||
2.572%, U.S. SOFR + 2.107%, 06/03/2031 (A) | 2,500 | 1,966 | ||||||
2.561%, U.S. SOFR + 1.167%, 05/01/2032 (A) | 1,400 | 1,075 | ||||||
2.520%, U.S. SOFR + 1.177%, 11/03/2032 (A) | 360 | 273 | ||||||
1.678%, U.S. SOFR + 1.667%, 05/15/2024 (A)(F) | 500 | 489 | ||||||
1.462%, U.S. SOFR + 0.770%, 06/09/2027 (A)(F) | 1,800 | 1,533 | ||||||
CME Group | ||||||||
3.000%, 03/15/2025 | 51 | 49 | ||||||
Cooperatieve Rabobank UA | ||||||||
4.375%, 08/04/2025 | 2,150 | 2,054 | ||||||
3.758%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.420%, 04/06/2033 (A)(D)(F) | 2,927 | 2,420 | ||||||
3.649%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.220%, 04/06/2028 (A)(D)(F) | 2,111 | 1,914 | ||||||
Credit Agricole MTN | ||||||||
4.000%, USD Swap Semi 30/360 5 Yr Curr + 1.644%, 01/10/2033 (A)(D) | 250 | 215 | ||||||
1.907%, U.S. SOFR + 1.676%, 06/16/2026 (A)(D) | 400 | 358 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Credit Suisse Group | ||||||||
9.750%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 6.383%(A)(D)(G) | $ | 2,030 | $ | 1,991 | ||||
6.537%, U.S. SOFR + 3.920%, 08/12/2033 (A)(D) | 3,265 | 2,934 | ||||||
4.207%, ICE LIBOR USD 3 Month + 1.240%, 06/12/2024 (A)(D) | 300 | 294 | ||||||
4.194%, U.S. SOFR + 3.730%, 04/01/2031 (A)(D) | 730 | 574 | ||||||
3.750%, 03/26/2025 | 250 | 233 | ||||||
3.091%, U.S. SOFR + 1.730%, 05/14/2032 (A)(D) | 2,365 | 1,660 | ||||||
2.593%, U.S. SOFR + 1.560%, 09/11/2025 (A)(D) | 760 | 691 | ||||||
2.193%, U.S. SOFR + 2.044%, 06/05/2026 (A)(D) | 1,888 | 1,642 | ||||||
1.305%, U.S. SOFR + 0.980%, 02/02/2027 (A)(D) | 2,000 | 1,624 | ||||||
Credit Suisse NY | ||||||||
2.950%, 04/09/2025 (F) | 520 | 478 | ||||||
CTR Partnership | ||||||||
3.875%, 06/30/2028 (D)(F) | 90 | 74 | ||||||
Danske Bank | ||||||||
5.375%, 01/12/2024 (D) | 650 | 646 | ||||||
3.875%, 09/12/2023 (D) | 200 | 197 | ||||||
3.244%, ICE LIBOR USD 3 Month + 1.591%, 12/20/2025 (A)(D) | 220 | 204 | ||||||
1.226%, 06/22/2024 (D) | 200 | 186 | ||||||
Danske Bank MTN | ||||||||
4.375%, 06/12/2028 (D) | 200 | 176 | ||||||
Deutsche Bank NY | ||||||||
3.742%, U.S. SOFR + 2.257%, 01/07/2033 (A) | 1,674 | 1,085 | ||||||
DNB Bank | ||||||||
1.605%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.680%, 03/30/2028 (A)(D)(F) | 2,065 | 1,719 | ||||||
1.127%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.850%, 09/16/2026 (A)(D) | 5 | 5 | ||||||
Enstar Group | ||||||||
3.100%, 09/01/2031 | 739 | 525 | ||||||
F&G Global Funding | ||||||||
2.000%, 09/20/2028 (D) | 620 | 501 | ||||||
1.750%, 06/30/2026 (D) | 810 | 705 | ||||||
Farmers Exchange Capital | ||||||||
7.200%, 07/15/2048 (D) | 1,021 | 1,088 | ||||||
7.050%, 07/15/2028 (D) | 1,000 | 1,028 | ||||||
Farmers Exchange Capital II | ||||||||
6.151%, ICE LIBOR USD 3 Month + 3.744%, 11/01/2053 (A)(D) | 1,650 | 1,575 |
176
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Federal Realty Investment Trust | ||||||||
3.950%, 01/15/2024 | $ | 390 | $ | 385 | ||||
GA Global Funding Trust | ||||||||
0.800%, 09/13/2024 (D) | 1,125 | 1,018 | ||||||
Global Payments | ||||||||
5.950%, 08/15/2052 | 216 | 190 | ||||||
4.950%, 08/15/2027 | 2,005 | 1,910 | ||||||
Goldman Sachs Capital II | ||||||||
4.000%, ICE LIBOR USD 3 Month + 0.768%(A)(F)(G) | 10 | 7 | ||||||
Goldman Sachs Group | ||||||||
6.750%, 10/01/2037 | 30 | 30 | ||||||
6.250%, 02/01/2041 | 1,050 | 1,043 | ||||||
5.150%, 05/22/2045 | 820 | 684 | ||||||
4.750%, 10/21/2045 | 370 | 309 | ||||||
4.250%, 10/21/2025 (F) | 1,120 | 1,081 | ||||||
4.223%, ICE LIBOR USD 3 Month + 1.301%, 05/01/2029 (A) | 1,300 | 1,182 | ||||||
3.814%, ICE LIBOR USD 3 Month + 1.158%, 04/23/2029 (A) | 480 | 426 | ||||||
3.750%, 02/25/2026 | 345 | 327 | ||||||
3.691%, ICE LIBOR USD 3 Month + 1.510%, 06/05/2028 (A) | 380 | 344 | ||||||
3.615%, U.S. SOFR + 1.846%, 03/15/2028 (A)(F) | 170 | 155 | ||||||
3.500%, 04/01/2025 | 540 | 516 | ||||||
3.500%, 11/16/2026 (F) | 900 | 832 | ||||||
3.272%, ICE LIBOR USD 3 Month + 1.201%, 09/29/2025 (A) | 2,700 | 2,572 | ||||||
3.210%, U.S. SOFR + 1.513%, 04/22/2042 (A) | 120 | 81 | ||||||
3.200%, 02/23/2023 | 1,815 | 1,806 | ||||||
3.102%, U.S. SOFR + 1.410%, 02/24/2033 (A)(F) | 905 | 719 | ||||||
2.908%, U.S. SOFR + 1.472%, 07/21/2042 (A)(F) | 260 | 167 | ||||||
2.650%, U.S. SOFR + 1.264%, 10/21/2032 (A) | 2,950 | 2,261 | ||||||
2.600%, 02/07/2030 (F) | 125 | 101 | ||||||
2.383%, U.S. SOFR + 1.248%, 07/21/2032 (A) | 3,845 | 2,899 | ||||||
1.948%, U.S. SOFR + 0.913%, 10/21/2027 (A) | 2,298 | 1,965 | ||||||
1.757%, U.S. SOFR + 0.730%, 01/24/2025 (A) | 1,233 | 1,172 | ||||||
1.542%, U.S. SOFR + 0.818%, 09/10/2027 (A)(F) | 5,835 | 4,930 | ||||||
1.431%, U.S. SOFR + 0.798%, 03/09/2027 (A)(F) | 1,150 | 989 | ||||||
1.217%, 12/06/2023 (F) | 3,465 | 3,322 | ||||||
0.925%, U.S. SOFR + 0.486%, 10/21/2024 (A) | 3,556 | 3,375 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
0.657%, U.S. SOFR + 0.505%, 09/10/2024 (A) | $ | 1,472 | $ | 1,401 | ||||
Goldman Sachs Group MTN | ||||||||
4.000%, 03/03/2024 | 690 | 680 | ||||||
3.850%, 07/08/2024 (F) | 330 | 322 | ||||||
Guardian Life Global Funding | ||||||||
1.100%, 06/23/2025 (D) | 190 | 171 | ||||||
Healthcare Realty Holdings | ||||||||
3.875%, 05/01/2025 | 200 | 191 | ||||||
2.400%, 03/15/2030 | 170 | 130 | ||||||
2.000%, 03/15/2031 | 120 | 88 | ||||||
HSBC Bank | ||||||||
7.650%, 05/01/2025 | 500 | 514 | ||||||
HSBC Bank USA | ||||||||
7.000%, 01/15/2039 (F) | 275 | 289 | ||||||
HSBC Holdings | ||||||||
4.762%, U.S. SOFR + 2.530%, 03/29/2033 (A) | 670 | 550 | ||||||
4.755%, U.S. SOFR + 2.110%, 06/09/2028 (A) | 220 | 202 | ||||||
4.583%, ICE LIBOR USD 3 Month + 1.535%, 06/19/2029 (A) | 945 | 842 | ||||||
4.375%, 11/23/2026 (F) | 345 | 321 | ||||||
4.300%, 03/08/2026 (F) | 1,710 | 1,638 | ||||||
4.250%, 03/14/2024 (F) | 510 | 499 | ||||||
4.250%, 08/18/2025 (F) | 560 | 531 | ||||||
3.973%, ICE LIBOR USD 3 Month + 1.610%, 05/22/2030 (A) | 860 | 728 | ||||||
2.999%, U.S. SOFR + 1.430%, 03/10/2026 (A)(F) | 370 | 342 | ||||||
2.871%, U.S. SOFR + 1.410%, 11/22/2032 (A)(F) | 700 | 510 | ||||||
2.804%, U.S. SOFR + 1.187%, 05/24/2032 (A)(F) | 370 | 272 | ||||||
2.206%, U.S. SOFR + 1.285%, 08/17/2029 (A) | 1,930 | 1,493 | ||||||
2.099%, U.S. SOFR + 1.929%, 06/04/2026 (A)(F) | 2,640 | 2,364 | ||||||
2.013%, U.S. SOFR + 1.732%, 09/22/2028 (A) | 3,230 | 2,582 | ||||||
1.645%, U.S. SOFR + 1.538%, 04/18/2026 (A) | 330 | 294 | ||||||
1.589%, U.S. SOFR + 1.290%, 05/24/2027 (A) | 815 | 681 | ||||||
Huntington Bancshares | ||||||||
4.443%, U.S. SOFR + 1.970%, 08/04/2028 (A)(F) | 615 | 581 | ||||||
ILFC E-Capital Trust II | ||||||||
5.365%, 12/21/2065 (A)(D) | 400 | 272 | ||||||
Intercontinental Exchange | ||||||||
4.950%, 06/15/2052 | 150 | 132 | ||||||
4.600%, 03/15/2033 | 1,560 | 1,453 | ||||||
1.850%, 09/15/2032 | 1,470 | 1,074 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
177
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Intesa Sanpaolo | ||||||||
3.375%, 01/12/2023 (D)(F) | $ | 440 | $ | 437 | ||||
Intesa Sanpaolo MTN | ||||||||
5.017%, 06/26/2024 (D) | 2,320 | 2,163 | ||||||
Invitation Homes Operating Partnership | ||||||||
2.000%, 08/15/2031 | 322 | 231 | ||||||
Jackson Financial | ||||||||
5.670%, 06/08/2032 (F) | 502 | 459 | ||||||
5.170%, 06/08/2027 | 431 | 415 | ||||||
3.125%, 11/23/2031 (F) | 1,405 | 1,057 | ||||||
JPMorgan Chase | ||||||||
8.750%, 09/01/2030 | 970 | 1,143 | ||||||
4.950%, 06/01/2045 (F) | 430 | 359 | ||||||
4.565%, U.S. SOFR + 1.750%, 06/14/2030 (A) | 743 | 685 | ||||||
4.452%, ICE LIBOR USD 3 Month + 1.330%, 12/05/2029 (A) | 300 | 275 | ||||||
4.323%, U.S. SOFR + 1.560%, 04/26/2028 (A) | 474 | 444 | ||||||
4.260%, ICE LIBOR USD 3 Month + 1.580%, 02/22/2048 (A) | 84 | 66 | ||||||
4.250%, 10/01/2027 (F) | 720 | 675 | ||||||
4.203%, ICE LIBOR USD 3 Month + 1.260%, 07/23/2029 (A) | 800 | 728 | ||||||
4.023%, ICE LIBOR USD 3 Month + 1.000%, 12/05/2024 (A)(F) | 1,480 | 1,456 | ||||||
3.882%, ICE LIBOR USD 3 Month + 1.360%, 07/24/2038 (A) | 325 | 254 | ||||||
3.875%, 09/10/2024 | 1,140 | 1,115 | ||||||
3.625%, 05/13/2024 (F) | 230 | 226 | ||||||
3.625%, 12/01/2027 (F) | 230 | 208 | ||||||
3.332%, ICE LIBOR USD 3 Month + 0.550%, 02/01/2027 (A) | 1,590 | 1,480 | ||||||
3.200%, 01/25/2023 (F) | 100 | 100 | ||||||
3.109%, U.S. SOFR + 2.440%, 04/22/2051 (A) | 130 | 82 | ||||||
2.956%, U.S. SOFR + 2.515%, 05/13/2031 (A) | 620 | 491 | ||||||
2.950%, 10/01/2026 (F) | 377 | 346 | ||||||
2.947%, U.S. SOFR + 1.170%, 02/24/2028 (A) | 650 | 575 | ||||||
2.739%, U.S. SOFR + 1.510%, 10/15/2030 (A)(F) | 855 | 695 | ||||||
2.580%, U.S. SOFR + 1.250%, 04/22/2032 (A)(F) | 1,125 | 872 | ||||||
2.545%, U.S. SOFR + 1.180%, 11/08/2032 (A) | 4,350 | 3,301 | ||||||
2.522%, U.S. SOFR + 2.040%, 04/22/2031 (A) | 450 | 356 | ||||||
2.301%, U.S. SOFR + 1.160%, 10/15/2025 (A) | 1,190 | 1,116 | ||||||
2.182%, U.S. SOFR + 1.890%, 06/01/2028 (A) | 901 | 766 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.083%, U.S. SOFR + 1.850%, 04/22/2026 (A)(F) | $ | 830 | $ | 756 | ||||
2.069%, U.S. SOFR + 1.015%, 06/01/2029 (A) | 1,285 | 1,042 | ||||||
2.005%, TSFR3M + 1.585%, 03/13/2026 (A) | 2,045 | 1,873 | ||||||
1.953%, U.S. SOFR + 1.065%, 02/04/2032 (A) | 3,020 | 2,234 | ||||||
1.578%, U.S. SOFR + 0.885%, 04/22/2027 (A) | 5,390 | 4,653 | ||||||
1.561%, U.S. SOFR + 0.605%, 12/10/2025 (A) | 6,375 | 5,846 | ||||||
1.514%, U.S. SOFR + 1.455%, 06/01/2024 (A) | 1,340 | 1,308 | ||||||
1.470%, U.S. SOFR + 0.765%, 09/22/2027 (A) | 731 | 618 | ||||||
1.045%, U.S. SOFR + 0.800%, 11/19/2026 (A) | 2,040 | 1,764 | ||||||
1.040%, TSFR3M + 0.695%, 02/04/2027 (A) | 2,942 | 2,500 | ||||||
0.969%, TSFR3M + 0.580%, 06/23/2025 (A) | 4,070 | 3,765 | ||||||
Kimco Realty | ||||||||
4.600%, 02/01/2033 | 463 | 418 | ||||||
KKR Group Finance II | ||||||||
5.500%, 02/01/2043 (D) | 80 | 72 | ||||||
KKR Group Finance III | ||||||||
5.125%, 06/01/2044 (D) | 535 | 462 | ||||||
KKR Group Finance XII | ||||||||
4.850%, 05/17/2032 (D)(F) | 359 | 330 | ||||||
Liberty Mutual Group | ||||||||
5.500%, 06/15/2052 (D) | 445 | 384 | ||||||
Life Storage | ||||||||
2.400%, 10/15/2031 | 355 | 266 | ||||||
Lloyds Banking Group | ||||||||
4.375%, 03/22/2028 (F) | 925 | 841 | ||||||
4.344%, 01/09/2048 | 200 | 141 | ||||||
4.050%, 08/16/2023 | 200 | 198 | ||||||
3.870%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 3.500%, 07/09/2025 (A) | 1,190 | 1,147 | ||||||
2.907%, ICE LIBOR USD 3 Month + 0.810%, 11/07/2023 (A) | 1,630 | 1,626 | ||||||
1.627%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.850%, 05/11/2027 (A) | 2,000 | 1,699 | ||||||
Macquarie Bank | ||||||||
3.624%, 06/03/2030 (D) | 425 | 344 | ||||||
Macquarie Group | ||||||||
4.442%, U.S. SOFR + 2.405%, 06/21/2033 (A)(D)(F) | 330 | 281 | ||||||
1.340%, U.S. SOFR + 1.069%, 01/12/2027 (A)(D) | 2,045 | 1,750 |
178
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Macquarie Group MTN | ||||||||
2.871%, U.S. SOFR + 1.532%, 01/14/2033 (A)(D) | $ | 1,400 | $ | 1,052 | ||||
Massachusetts Mutual Life Insurance | ||||||||
3.729%, 10/15/2070 (D) | 88 | 58 | ||||||
Mercury General | ||||||||
4.400%, 03/15/2027 | 935 | 872 | ||||||
MetLife | ||||||||
6.400%, 12/15/2036 | 420 | 405 | ||||||
5.700%, 06/15/2035 | 15 | 15 | ||||||
MetLife Capital Trust IV | ||||||||
7.875%, 12/15/2037 (D) | 800 | 854 | ||||||
Metropolitan Life Global Funding I | ||||||||
3.450%, 12/18/2026 (D) | 1,955 | 1,817 | ||||||
Mitsubishi UFJ Financial Group | ||||||||
4.080%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.300%, 04/19/2028 (A) | 400 | 372 | ||||||
3.837%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.125%, 04/17/2026 (A) | 380 | 364 | ||||||
2.494%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.970%, 10/13/2032 (A) | 276 | 209 | ||||||
2.309%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.950%, 07/20/2032 (A) | 755 | 566 | ||||||
Moody's | ||||||||
4.250%, 08/08/2032 | 217 | 197 | ||||||
Morgan Stanley | ||||||||
1.593%, U.S. SOFR + 0.879%, 05/04/2027 (A) | 510 | 441 | ||||||
0.985%, U.S. SOFR + 0.720%, 12/10/2026 (A) | 1,496 | 1,290 | ||||||
0.790%, U.S. SOFR + 0.525%, 05/30/2025 (A) | 1,895 | 1,744 | ||||||
Morgan Stanley MTN | ||||||||
4.431%, ICE LIBOR USD 3 Month + 1.628%, 01/23/2030 (A) | 340 | 313 | ||||||
3.971%, ICE LIBOR USD 3 Month + 1.455%, 07/22/2038 (A) | 119 | 95 | ||||||
3.772%, ICE LIBOR USD 3 Month + 1.140%, 01/24/2029 (A) | 1,080 | 971 | ||||||
3.622%, U.S. SOFR + 3.120%, 04/01/2031 (A) | 2,920 | 2,524 | ||||||
2.720%, U.S. SOFR + 1.152%, 07/22/2025 (A) | 360 | 341 | ||||||
2.699%, U.S. SOFR + 1.143%, 01/22/2031 (A)(F) | 520 | 422 | ||||||
2.511%, U.S. SOFR + 1.200%, 10/20/2032 (A) | 2,265 | 1,731 | ||||||
2.475%, U.S. SOFR + 1.000%, 01/21/2028 (A) | 2,317 | 2,025 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.239%, U.S. SOFR + 1.178%, 07/21/2032 (A) | $ | 1,195 | $ | 898 | ||||
2.188%, U.S. SOFR + 1.990%, 04/28/2026 (A) | 1,300 | 1,192 | ||||||
1.794%, U.S. SOFR + 1.034%, 02/13/2032 (A) | 2,400 | 1,754 | ||||||
1.512%, U.S. SOFR + 0.858%, 07/20/2027 (A)(F) | 1,699 | 1,447 | ||||||
1.164%, U.S. SOFR + 0.560%, 10/21/2025 (A) | 4,860 | 4,429 | ||||||
0.864%, U.S. SOFR + 0.745%, 10/21/2025 (A) | 585 | 531 | ||||||
0.791%, U.S. SOFR + 0.509%, 01/22/2025 (A) | 1,875 | 1,756 | ||||||
Morgan Stanley Direct Lending Fund | ||||||||
4.500%, 02/11/2027 (F) | 246 | 218 | ||||||
MUFG Bank | ||||||||
4.100%, 09/09/2023 (D) | 200 | 198 | ||||||
National Securities Clearing | ||||||||
1.500%, 04/23/2025 (D) | 330 | 304 | ||||||
1.200%, 04/23/2023 (D)(F) | 410 | 403 | ||||||
Nationwide Building Society | ||||||||
4.363%, ICE LIBOR USD 3 Month + 1.392%, 08/01/2024 (A)(D) | 800 | 789 | ||||||
3.766%, ICE LIBOR USD 3 Month + 1.064%, 03/08/2024 (A)(D) | 1,840 | 1,819 | ||||||
Nationwide Building Society MTN | ||||||||
2.972%, U.S. SOFR + 1.290%, 02/16/2028 (A)(D)(F) | 1,375 | 1,182 | ||||||
Nationwide Mutual Insurance | ||||||||
5.583%, ICE LIBOR USD 3 Month + 2.290%, 12/15/2024 (A)(D) | 3,735 | 3,735 | ||||||
NatWest Group | ||||||||
4.892%, ICE LIBOR USD 3 Month + 1.754%, 05/18/2029 (A) | 200 | 182 | ||||||
4.519%, ICE LIBOR USD 3 Month + 1.550%, 06/25/2024 (A) | 830 | 820 | ||||||
4.269%, ICE LIBOR USD 3 Month + 1.762%, 03/22/2025 (A) | 1,500 | 1,458 | ||||||
1.642%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.900%, 06/14/2027 (A) | 920 | 772 | ||||||
New York Life Global Funding | ||||||||
0.950%, 06/24/2025 (D) | 340 | 305 | ||||||
Northwestern Mutual Life Insurance | ||||||||
3.625%, 09/30/2059 (D) | 1,112 | 749 | ||||||
Ohio National Financial Services | ||||||||
6.050%, 01/24/2030 (D)(F) | 625 | 579 | ||||||
ORIX | ||||||||
5.200%, 09/13/2032 | 1,130 | 1,075 | ||||||
Owl Rock Capital | ||||||||
3.400%, 07/15/2026 (F) | 324 | 278 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
179
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Owl Rock Capital III | ||||||||
3.125%, 04/13/2027 | $ | 400 | $ | 324 | ||||
Park Aerospace Holdings | ||||||||
5.500%, 02/15/2024 (D)(F) | 212 | 208 | ||||||
4.500%, 03/15/2023 (D)(F) | 2,070 | 2,058 | ||||||
Physicians Realty | ||||||||
2.625%, 11/01/2031 | 700 | 531 | ||||||
PNC Bank | ||||||||
3.875%, 04/10/2025 | 430 | 416 | ||||||
Principal Life Global Funding II | ||||||||
2.250%, 11/21/2024 (D) | 1,465 | 1,378 | ||||||
1.250%, 06/23/2025 (D) | 160 | 144 | ||||||
Prologis | ||||||||
4.625%, 01/15/2033 | 341 | 324 | ||||||
Prospect Capital | ||||||||
3.706%, 01/22/2026 | 500 | 433 | ||||||
Prudential Financial MTN | ||||||||
5.625%, 05/12/2041 | 10 | 9 | ||||||
Raymond James Financial | ||||||||
4.950%, 07/15/2046 | 180 | 159 | ||||||
Royal Bank of Canada MTN | ||||||||
1.600%, 04/17/2023 (F) | 760 | 749 | ||||||
1.150%, 06/10/2025 (F) | 460 | 415 | ||||||
S&P Global | ||||||||
4.750%, 08/01/2028 (D)(F) | 1,215 | 1,186 | ||||||
Santander Holdings USA | ||||||||
4.500%, 07/17/2025 | 80 | 77 | ||||||
3.450%, 06/02/2025 (F) | 640 | 599 | ||||||
Santander UK Group Holdings | ||||||||
4.796%, ICE LIBOR USD 3 Month + 1.570%, 11/15/2024 (A) | 3,050 | 3,007 | ||||||
2.896%, U.S. SOFR + 1.475%, 03/15/2032 (A) | 610 | 454 | ||||||
2.469%, U.S. SOFR + 1.220%, 01/11/2028 (A) | 510 | 425 | ||||||
1.673%, U.S. SOFR + 0.989%, 06/14/2027 (A) | 445 | 370 | ||||||
1.532%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.250%, 08/21/2026 (A) | 235 | 204 | ||||||
1.089%, U.S. SOFR + 0.787%, 03/15/2025 (A) | 2,475 | 2,285 | ||||||
SBL Holdings | ||||||||
5.000%, 02/18/2031 (D) | 1,017 | 777 | ||||||
Scentre Group Trust 1 | ||||||||
3.625%, 01/28/2026 (D) | 635 | 594 | ||||||
Societe Generale | ||||||||
3.625%, 03/01/2041 (D)(F) | 645 | 384 | ||||||
Societe Generale MTN | ||||||||
2.625%, 01/22/2025 (D) | 735 | 680 | ||||||
State Street | ||||||||
3.300%, 12/16/2024 (F) | 70 | 68 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Stewart Information Services | ||||||||
3.600%, 11/15/2031 | $ | 396 | $ | 305 | ||||
Swedbank | ||||||||
1.300%, 06/02/2023 (D) | 580 | 566 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/2039 (D) | 124 | 135 | ||||||
4.900%, 09/15/2044 (D) | 240 | 210 | ||||||
3.300%, 05/15/2050 (D)(F) | 2,455 | 1,674 | ||||||
The Vanguard Group | ||||||||
3.050%, 08/22/2050 | 670 | 448 | ||||||
Toronto-Dominion Bank MTN | ||||||||
4.456%, 06/08/2032 (F) | 2,190 | 2,000 | ||||||
2.800%, 03/10/2027 (F) | 1,300 | 1,171 | ||||||
1.150%, 06/12/2025 (F) | 460 | 413 | ||||||
0.750%, 06/12/2023 (F) | 910 | 885 | ||||||
Truist Financial MTN | ||||||||
4.260%, U.S. SOFR + 1.456%, 07/28/2026 (A) | 1,590 | 1,546 | ||||||
4.123%, U.S. SOFR + 1.368%, 06/06/2028 (A) | 1,046 | 983 | ||||||
Trust Fibra Uno | ||||||||
6.390%, 01/15/2050 (D) | 344 | 240 | ||||||
UBS MTN | ||||||||
4.500%, 06/26/2048 (D) | 440 | 357 | ||||||
UBS Group | ||||||||
7.000%, USD Swap Semi 30/360 5 Yr Curr + 4.344%(A)(D)(G) | 1,640 | 1,552 | ||||||
4.751%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.750%, 05/12/2028 (A)(D)(F) | 360 | 338 | ||||||
4.488%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.550%, 05/12/2026 (A)(D) | 1,005 | 969 | ||||||
4.253%, 03/23/2028 (D)(F) | 350 | 322 | ||||||
4.125%, 09/24/2025 (D) | 200 | 191 | ||||||
2.746%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.100%, 02/11/2033 (A)(D) | 210 | 156 | ||||||
US Bancorp | ||||||||
4.967%, U.S. SOFR + 2.110%, 07/22/2033 (A)(F) | 700 | 654 | ||||||
1.450%, 05/12/2025 (F) | 1,020 | 936 | ||||||
Validus Holdings | ||||||||
8.875%, 01/26/2040 | 905 | 1,129 | ||||||
WEA Finance | ||||||||
4.750%, 09/17/2044 (D) | 230 | 159 | ||||||
3.750%, 09/17/2024 (D) | 990 | 935 | ||||||
Wells Fargo | ||||||||
7.950%, 11/15/2029 (F) | 495 | 546 | ||||||
5.375%, 11/02/2043 | 400 | 346 | ||||||
3.000%, 10/23/2026 (F) | 1,030 | 934 |
180
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.188%, U.S. SOFR + 2.000%, 04/30/2026 (A) | $ | 5,025 | $ | 4,589 | ||||
Wells Fargo MTN | ||||||||
5.013%, U.S. SOFR + 4.502%, 04/04/2051 (A) | 4,525 | 3,906 | ||||||
4.900%, 11/17/2045 (F) | 909 | 743 | ||||||
4.897%, U.S. SOFR + 2.100%, 07/25/2033 (A) | 2,080 | 1,918 | ||||||
4.808%, U.S. SOFR + 1.980%, 07/25/2028 (A) | 615 | 587 | ||||||
4.750%, 12/07/2046 | 700 | 560 | ||||||
4.650%, 11/04/2044 | 261 | 207 | ||||||
4.478%, U.S. SOFR + 4.032%, 04/04/2031 (A)(F) | 2,630 | 2,406 | ||||||
4.400%, 06/14/2046 (F) | 1,370 | 1,044 | ||||||
4.150%, 01/24/2029 (F) | 1,010 | 929 | ||||||
4.125%, 08/15/2023 (F) | 900 | 896 | ||||||
3.908%, U.S. SOFR + 1.320%, 04/25/2026 (A) | 1,167 | 1,116 | ||||||
3.750%, 01/24/2024 | 250 | 246 | ||||||
3.526%, U.S. SOFR + 1.510%, 03/24/2028 (A) | 6,890 | 6,240 | ||||||
3.350%, U.S. SOFR + 1.500%, 03/02/2033 (A)(F) | 4,210 | 3,414 | ||||||
3.196%, ICE LIBOR USD 3 Month + 1.170%, 06/17/2027 (A) | 1,550 | 1,411 | ||||||
2.879%, TSFR3M + 1.432%, 10/30/2030 (A)(F) | 20 | 16 | ||||||
2.406%, U.S. SOFR + 1.087%, 10/30/2025 (A)(F) | 1,005 | 938 | ||||||
2.393%, U.S. SOFR + 2.100%, 06/02/2028 (A)(F) | 900 | 772 | ||||||
2.164%, ICE LIBOR USD 3 Month + 0.750%, 02/11/2026 (A) | 2,265 | 2,085 | ||||||
Westpac Banking | ||||||||
2.668%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 1.750%, 11/15/2035 (A) | 450 | 331 | ||||||
403,181 | ||||||||
Health Care — 3.2% | ||||||||
Abbott Laboratories | ||||||||
4.900%, 11/30/2046 (F) | 470 | 450 | ||||||
4.750%, 11/30/2036 (F) | 260 | 254 | ||||||
3.750%, 11/30/2026 | 463 | 449 | ||||||
AbbVie | ||||||||
4.875%, 11/14/2048 | 70 | 62 | ||||||
4.625%, 10/01/2042 | 38 | 32 | ||||||
4.550%, 03/15/2035 | 1,700 | 1,525 | ||||||
4.500%, 05/14/2035 | 510 | 454 | ||||||
4.450%, 05/14/2046 | 216 | 176 | ||||||
4.400%, 11/06/2042 | 1,000 | 830 | ||||||
4.300%, 05/14/2036 | 213 | 185 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.250%, 11/14/2028 (F) | $ | 335 | $ | 315 | ||||
4.250%, 11/21/2049 | 2,709 | 2,175 | ||||||
4.050%, 11/21/2039 | 762 | 613 | ||||||
3.800%, 03/15/2025 (F) | 460 | 445 | ||||||
3.750%, 11/14/2023 (F) | 100 | 99 | ||||||
3.600%, 05/14/2025 (F) | 770 | 739 | ||||||
3.200%, 11/21/2029 (F) | 2,198 | 1,924 | ||||||
2.950%, 11/21/2026 | 380 | 348 | ||||||
2.900%, 11/06/2022 (F) | 10 | 10 | ||||||
2.600%, 11/21/2024 | 1,820 | 1,732 | ||||||
2.300%, 11/21/2022 | 2,846 | 2,839 | ||||||
Advocate Health & Hospitals | ||||||||
2.211%, 06/15/2030 | 1,615 | 1,309 | ||||||
Aetna | ||||||||
3.875%, 08/15/2047 | 90 | 66 | ||||||
2.800%, 06/15/2023 | 2,650 | 2,616 | ||||||
Alcon Finance | ||||||||
3.000%, 09/23/2029 (D) | 1,975 | 1,666 | ||||||
Amgen | ||||||||
6.375%, 06/01/2037 | 910 | 968 | ||||||
5.150%, 11/15/2041 | 332 | 303 | ||||||
4.875%, 03/01/2053 | 509 | 448 | ||||||
4.663%, 06/15/2051 | 269 | 226 | ||||||
4.400%, 05/01/2045 | 375 | 306 | ||||||
4.050%, 08/18/2029 | 769 | 708 | ||||||
3.625%, 05/22/2024 | 130 | 128 | ||||||
3.150%, 02/21/2040 | 190 | 137 | ||||||
3.000%, 02/22/2029 (F) | 600 | 525 | ||||||
3.000%, 01/15/2052 | 1,128 | 705 | ||||||
2.770%, 09/01/2053 | 263 | 153 | ||||||
2.000%, 01/15/2032 (F) | 1,515 | 1,152 | ||||||
AstraZeneca | ||||||||
1.375%, 08/06/2030 (F) | 297 | 229 | ||||||
Astrazeneca Finance | ||||||||
1.750%, 05/28/2028 (F) | 1,036 | 871 | ||||||
Bausch Health | ||||||||
7.250%, 05/30/2029 (D) | 170 | 65 | ||||||
6.250%, 02/15/2029 (D) | 500 | 187 | ||||||
5.500%, 11/01/2025 (D) | 20 | 16 | ||||||
Baxter International | ||||||||
3.950%, 04/01/2030 | 425 | 381 | ||||||
BayCare Health System | ||||||||
3.831%, 11/15/2050 | 1,595 | 1,269 | ||||||
Bayer US Finance | ||||||||
3.375%, 10/08/2024 (D) | 800 | 770 | ||||||
Bayer US Finance II | ||||||||
4.875%, 06/25/2048 (D)(F) | 1,795 | 1,466 | ||||||
4.700%, 07/15/2064 (D)(F) | 210 | 154 | ||||||
4.625%, 06/25/2038 (D) | 420 | 348 | ||||||
4.375%, 12/15/2028 (D) | 4,578 | 4,188 | ||||||
4.250%, 12/15/2025 (D)(F) | 520 | 498 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
181
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Becton Dickinson | ||||||||
4.685%, 12/15/2044 | $ | 264 | $ | 225 | ||||
3.734%, 12/15/2024 | 287 | 277 | ||||||
3.700%, 06/06/2027 (F) | 121 | 113 | ||||||
3.363%, 06/06/2024 | 758 | 737 | ||||||
Becton Dickinson and | ||||||||
1.957%, 02/11/2031 (F) | 233 | 180 | ||||||
Biogen | ||||||||
3.250%, 02/15/2051 (F) | 134 | 87 | ||||||
Bon Secours Mercy Health | ||||||||
3.464%, 06/01/2030 (F) | 855 | 751 | ||||||
Bristol-Myers Squibb | ||||||||
4.550%, 02/20/2048 | 129 | 113 | ||||||
4.350%, 11/15/2047 | 51 | 44 | ||||||
3.700%, 03/15/2052 | 895 | 685 | ||||||
3.400%, 07/26/2029 | 124 | 112 | ||||||
3.200%, 06/15/2026 (F) | 506 | 479 | ||||||
2.950%, 03/15/2032 | 1,130 | 965 | ||||||
2.900%, 07/26/2024 | 785 | 761 | ||||||
2.750%, 02/15/2023 (F) | 300 | 299 | ||||||
Centene | ||||||||
4.625%, 12/15/2029 | 390 | 350 | ||||||
4.250%, 12/15/2027 (F) | 260 | 238 | ||||||
3.375%, 02/15/2030 | 230 | 188 | ||||||
3.000%, 10/15/2030 | 3,732 | 2,955 | ||||||
2.625%, 08/01/2031 | 40 | 30 | ||||||
2.500%, 03/01/2031 | 275 | 207 | ||||||
2.450%, 07/15/2028 (F) | 1,514 | 1,233 | ||||||
Cigna | ||||||||
4.900%, 12/15/2048 (F) | 830 | 717 | ||||||
4.800%, 08/15/2038 | 1,144 | 1,014 | ||||||
4.375%, 10/15/2028 | 810 | 765 | ||||||
4.125%, 11/15/2025 (F) | 290 | 282 | ||||||
3.875%, 10/15/2047 | 570 | 418 | ||||||
3.750%, 07/15/2023 | 462 | 459 | ||||||
3.400%, 03/01/2027 | 380 | 349 | ||||||
3.400%, 03/15/2050 | 268 | 181 | ||||||
3.400%, 03/15/2051 | 588 | 401 | ||||||
CommonSpirit Health | ||||||||
4.350%, 11/01/2042 | 480 | 378 | ||||||
4.187%, 10/01/2049 (F) | 635 | 475 | ||||||
2.782%, 10/01/2030 | 1,970 | 1,572 | ||||||
CSL Finance | ||||||||
4.750%, 04/27/2052 (D) | 554 | 477 | ||||||
4.050%, 04/27/2029 (D)(F) | 295 | 272 | ||||||
3.850%, 04/27/2027 (D) | 148 | 140 | ||||||
CVS Health | ||||||||
5.125%, 07/20/2045 | 670 | 587 | ||||||
5.050%, 03/25/2048 (F) | 5,006 | 4,409 | ||||||
4.780%, 03/25/2038 | 565 | 495 | ||||||
4.300%, 03/25/2028 | 1,752 | 1,652 | ||||||
4.250%, 04/01/2050 (F) | 30 | 23 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.125%, 04/01/2040 | $ | 160 | $ | 127 | ||||
3.875%, 07/20/2025 (F) | 515 | 499 | ||||||
3.750%, 04/01/2030 | 540 | 480 | ||||||
3.625%, 04/01/2027 (F) | 360 | 337 | ||||||
3.000%, 08/15/2026 | 317 | 292 | ||||||
2.700%, 08/21/2040 | 500 | 328 | ||||||
2.125%, 09/15/2031 (F) | 370 | 285 | ||||||
1.875%, 02/28/2031 | 110 | 84 | ||||||
CVS Pass-Through Trust | ||||||||
5.926%, 01/10/2034 (D) | 65 | 64 | ||||||
Danaher | ||||||||
2.800%, 12/10/2051 | 234 | 151 | ||||||
2.600%, 10/01/2050 | 349 | 215 | ||||||
DH Europe Finance II Sarl | ||||||||
2.200%, 11/15/2024 (F) | 805 | 761 | ||||||
2.050%, 11/15/2022 | 468 | 467 | ||||||
Elevance Health | ||||||||
4.625%, 05/15/2042 | 41 | 35 | ||||||
4.550%, 05/15/2052 | 250 | 211 | ||||||
4.100%, 05/15/2032 | 270 | 244 | ||||||
3.650%, 12/01/2027 (F) | 220 | 205 | ||||||
3.500%, 08/15/2024 (F) | 90 | 88 | ||||||
3.350%, 12/01/2024 | 1,425 | 1,371 | ||||||
2.950%, 12/01/2022 | 661 | 660 | ||||||
Fresenius Medical Care US Finance III | ||||||||
1.875%, 12/01/2026 (D) | 1,345 | 1,124 | ||||||
Gilead Sciences | ||||||||
5.650%, 12/01/2041 | 35 | 34 | ||||||
4.750%, 03/01/2046 | 380 | 331 | ||||||
4.600%, 09/01/2035 | 500 | 452 | ||||||
4.500%, 02/01/2045 | 10 | 8 | ||||||
4.000%, 09/01/2036 | 262 | 218 | ||||||
3.700%, 04/01/2024 | 410 | 404 | ||||||
3.650%, 03/01/2026 | 460 | 437 | ||||||
2.800%, 10/01/2050 | 474 | 293 | ||||||
2.600%, 10/01/2040 | 508 | 335 | ||||||
HCA | ||||||||
5.875%, 02/01/2029 | 410 | 399 | ||||||
5.625%, 09/01/2028 (F) | 60 | 57 | ||||||
5.500%, 06/15/2047 | 1,555 | 1,314 | ||||||
5.375%, 02/01/2025 (F) | 160 | 158 | ||||||
5.375%, 09/01/2026 | 155 | 150 | ||||||
5.250%, 04/15/2025 (F) | 820 | 803 | ||||||
5.250%, 06/15/2026 | 650 | 628 | ||||||
5.250%, 06/15/2049 | 2,150 | 1,748 | ||||||
4.625%, 03/15/2052 (D)(F) | 1,474 | 1,107 | ||||||
4.500%, 02/15/2027 (F) | 20 | 19 | ||||||
4.125%, 06/15/2029 | 1,500 | 1,315 | ||||||
3.625%, 03/15/2032 (D)(F) | 840 | 680 | ||||||
3.500%, 09/01/2030 (F) | 790 | 652 | ||||||
2.375%, 07/15/2031 | 945 | 699 |
182
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Humana | ||||||||
4.950%, 10/01/2044 | $ | 60 | $ | 53 | ||||
4.800%, 03/15/2047 | 30 | 26 | ||||||
4.625%, 12/01/2042 | 170 | 145 | ||||||
4.500%, 04/01/2025 (F) | 80 | 79 | ||||||
3.950%, 03/15/2027 | 70 | 66 | ||||||
3.850%, 10/01/2024 | 1,470 | 1,433 | ||||||
3.700%, 03/23/2029 | 3,205 | 2,874 | ||||||
3.150%, 12/01/2022 | 560 | 559 | ||||||
2.150%, 02/03/2032 (F) | 130 | 99 | ||||||
Johnson & Johnson | ||||||||
3.700%, 03/01/2046 (F) | 170 | 139 | ||||||
3.625%, 03/03/2037 | 260 | 225 | ||||||
3.500%, 01/15/2048 (F) | 92 | 73 | ||||||
3.400%, 01/15/2038 | 173 | 144 | ||||||
2.625%, 01/15/2025 | 86 | 83 | ||||||
2.450%, 09/01/2060 (F) | 935 | 547 | ||||||
0.950%, 09/01/2027 (F) | 610 | 516 | ||||||
0.550%, 09/01/2025 | 300 | 268 | ||||||
Medtronic | ||||||||
4.625%, 03/15/2045 | 9 | 8 | ||||||
Merck | ||||||||
1.450%, 06/24/2030 | 300 | 235 | ||||||
0.750%, 02/24/2026 (F) | 530 | 465 | ||||||
New York and Presbyterian Hospital | ||||||||
3.563%, 08/01/2036 | 730 | 608 | ||||||
Pfizer | ||||||||
4.000%, 12/15/2036 | 815 | 721 | ||||||
2.625%, 04/01/2030 | 440 | 378 | ||||||
2.550%, 05/28/2040 | 1,020 | 718 | ||||||
1.750%, 08/18/2031 | 594 | 464 | ||||||
1.700%, 05/28/2030 (F) | 420 | 335 | ||||||
0.800%, 05/28/2025 (F) | 670 | 608 | ||||||
Roche Holdings | ||||||||
2.607%, 12/13/2051 (D) | 425 | 277 | ||||||
2.076%, 12/13/2031 (D) | 1,051 | 842 | ||||||
Royalty Pharma | ||||||||
1.200%, 09/02/2025 | 535 | 473 | ||||||
0.750%, 09/02/2023 | 925 | 886 | ||||||
RWJ Barnabas Health | ||||||||
3.949%, 07/01/2046 (F) | 1,030 | 843 | ||||||
Shire Acquisitions Investments Ireland DAC | ||||||||
2.875%, 09/23/2023 | 934 | 913 | ||||||
Smith & Nephew | ||||||||
2.032%, 10/14/2030 (F) | 670 | 502 | ||||||
STERIS Irish FinCo UnLtd | ||||||||
3.750%, 03/15/2051 | 270 | 186 | ||||||
Takeda Pharmaceutical | ||||||||
5.000%, 11/26/2028 (F) | 460 | 445 | ||||||
4.400%, 11/26/2023 (F) | 2,174 | 2,160 | ||||||
3.175%, 07/09/2050 (F) | 376 | 250 | ||||||
3.025%, 07/09/2040 | 362 | 256 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.050%, 03/31/2030 | $ | 781 | $ | 617 | ||||
Tenet Healthcare | ||||||||
4.375%, 01/15/2030 (D) | 20 | 17 | ||||||
Teva Pharmaceutical Finance BV | ||||||||
2.950%, 12/18/2022 | 190 | 188 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | ||||||||
7.125%, 01/31/2025 | 390 | 380 | ||||||
6.000%, 04/15/2024 | 200 | 194 | ||||||
5.125%, 05/09/2029 (F) | 1,780 | 1,468 | ||||||
4.750%, 05/09/2027 | 200 | 170 | ||||||
3.150%, 10/01/2026 (F) | 1,500 | 1,231 | ||||||
2.800%, 07/21/2023 | 520 | 503 | ||||||
Thermo Fisher Scientific | ||||||||
2.800%, 10/15/2041 | 471 | 329 | ||||||
2.000%, 10/15/2031 (F) | 496 | 391 | ||||||
1.750%, 10/15/2028 (F) | 295 | 247 | ||||||
UnitedHealth Group | ||||||||
5.800%, 03/15/2036 | 280 | 285 | ||||||
4.750%, 05/15/2052 | 555 | 496 | ||||||
4.625%, 07/15/2035 | 985 | 906 | ||||||
4.450%, 12/15/2048 | 90 | 77 | ||||||
4.250%, 04/15/2047 | 450 | 371 | ||||||
4.250%, 06/15/2048 | 110 | 91 | ||||||
4.200%, 05/15/2032 | 290 | 269 | ||||||
4.000%, 05/15/2029 | 871 | 812 | ||||||
3.875%, 12/15/2028 | 170 | 159 | ||||||
3.875%, 08/15/2059 (F) | 360 | 268 | ||||||
3.750%, 07/15/2025 | 270 | 262 | ||||||
3.700%, 08/15/2049 | 150 | 113 | ||||||
3.500%, 06/15/2023 (F) | 150 | 149 | ||||||
3.250%, 05/15/2051 | 950 | 659 | ||||||
3.125%, 05/15/2060 (F) | 50 | 32 | ||||||
3.050%, 05/15/2041 (F) | 154 | 112 | ||||||
2.900%, 05/15/2050 | 522 | 343 | ||||||
2.875%, 03/15/2023 | 50 | 50 | ||||||
2.750%, 05/15/2040 | 225 | 158 | ||||||
2.375%, 10/15/2022 | 70 | 70 | ||||||
2.300%, 05/15/2031 (F) | 80 | 64 | ||||||
2.000%, 05/15/2030 | 140 | 113 | ||||||
1.250%, 01/15/2026 | 170 | 152 | ||||||
Universal Health Services | ||||||||
1.650%, 09/01/2026 (D) | 685 | 574 | ||||||
Viatris | ||||||||
4.000%, 06/22/2050 | 675 | 404 | ||||||
2.700%, 06/22/2030 | 140 | 104 | ||||||
Wyeth | ||||||||
5.950%, 04/01/2037 | 470 | 495 | ||||||
117,103 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
183
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Industrials — 2.2% | ||||||||
3M | ||||||||
3.700%, 04/15/2050 (F) | $ | 660 | $ | 480 | ||||
3.050%, 04/15/2030 (F) | 90 | 77 | ||||||
2.375%, 08/26/2029 (F) | 390 | 320 | ||||||
Adani International Container Terminal Pvt | ||||||||
3.000%, 02/16/2031 (D) | 262 | 201 | ||||||
ADT Security | ||||||||
4.125%, 08/01/2029 (D) | 20 | 17 | ||||||
AerCap Ireland Capital DAC | ||||||||
4.875%, 01/16/2024 (F) | 1,500 | 1,476 | ||||||
3.875%, 01/23/2028 (F) | 345 | 298 | ||||||
3.500%, 01/15/2025 (F) | 232 | 218 | ||||||
3.300%, 01/30/2032 | 3,775 | 2,839 | ||||||
3.150%, 02/15/2024 | 560 | 538 | ||||||
3.000%, 10/29/2028 (F) | 2,375 | 1,905 | ||||||
2.450%, 10/29/2026 | 4,180 | 3,526 | ||||||
1.650%, 10/29/2024 (F) | 1,395 | 1,274 | ||||||
1.150%, 10/29/2023 (F) | 1,765 | 1,677 | ||||||
Air Lease | ||||||||
3.625%, 04/01/2027 | 221 | 196 | ||||||
3.625%, 12/01/2027 | 216 | 187 | ||||||
3.375%, 07/01/2025 | 310 | 289 | ||||||
3.250%, 03/01/2025 | 1,645 | 1,541 | ||||||
Air Lease MTN | ||||||||
2.300%, 02/01/2025 (F) | 355 | 327 | ||||||
Allied Universal Holdco | ||||||||
6.625%, 07/15/2026 (D) | 20 | 18 | ||||||
Boeing | ||||||||
5.930%, 05/01/2060 (F) | 160 | 137 | ||||||
5.805%, 05/01/2050 | 1,390 | 1,208 | ||||||
5.705%, 05/01/2040 | 690 | 603 | ||||||
5.150%, 05/01/2030 (F) | 940 | 870 | ||||||
4.875%, 05/01/2025 (F) | 2,075 | 2,025 | ||||||
3.750%, 02/01/2050 (F) | 992 | 646 | ||||||
3.625%, 03/01/2048 (F) | 23 | 14 | ||||||
3.550%, 03/01/2038 | 196 | 134 | ||||||
3.250%, 02/01/2035 | 1,569 | 1,108 | ||||||
3.200%, 03/01/2029 (F) | 490 | 409 | ||||||
3.100%, 05/01/2026 (F) | 160 | 146 | ||||||
2.800%, 03/01/2027 | 190 | 167 | ||||||
2.700%, 02/01/2027 | 140 | 121 | ||||||
2.196%, 02/04/2026 (F) | 2,047 | 1,817 | ||||||
1.433%, 02/04/2024 | 2,065 | 1,962 | ||||||
Builders FirstSource | ||||||||
4.250%, 02/01/2032 (D) | 80 | 61 | ||||||
Burlington Northern Santa Fe | ||||||||
7.290%, 06/01/2036 | 90 | 102 | ||||||
5.400%, 06/01/2041 | 50 | 49 | ||||||
4.150%, 12/15/2048 | 150 | 125 | ||||||
4.050%, 06/15/2048 | 124 | 101 | ||||||
2.875%, 06/15/2052 | 120 | 78 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Canadian National Railway | ||||||||
4.400%, 08/05/2052 | $ | 307 | $ | 264 | ||||
3.850%, 08/05/2032 | 462 | 421 | ||||||
Canadian Pacific Railway | ||||||||
6.125%, 09/15/2115 | 44 | 42 | ||||||
3.000%, 12/02/2041 | 195 | 138 | ||||||
2.450%, 12/02/2031 (F) | 119 | 95 | ||||||
1.750%, 12/02/2026 | 142 | 124 | ||||||
1.350%, 12/02/2024 (F) | 728 | 673 | ||||||
Carrier Global | ||||||||
3.577%, 04/05/2050 | 30 | 21 | ||||||
Cintas No. 2 | ||||||||
4.000%, 05/01/2032 | 1,190 | 1,092 | ||||||
3.700%, 04/01/2027 | 400 | 379 | ||||||
CoStar Group | ||||||||
2.800%, 07/15/2030 (D) | 830 | 655 | ||||||
Crowley Conro | ||||||||
4.181%, 08/15/2043 | 415 | 388 | ||||||
CSX | ||||||||
4.100%, 11/15/2032 (F) | 769 | 698 | ||||||
Deere | ||||||||
3.750%, 04/15/2050 (F) | 530 | 432 | ||||||
3.100%, 04/15/2030 (F) | 100 | 89 | ||||||
Delta Air Lines | ||||||||
7.375%, 01/15/2026 (F) | 580 | 586 | ||||||
7.000%, 05/01/2025 (D) | 2,410 | 2,426 | ||||||
4.750%, 10/20/2028 (D) | 2,170 | 2,021 | ||||||
4.500%, 10/20/2025 (D) | 490 | 476 | ||||||
4.375%, 04/19/2028 (F) | 153 | 129 | ||||||
3.800%, 04/19/2023 | 381 | 377 | ||||||
2.900%, 10/28/2024 (F) | 60 | 56 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2020-1, Cl AA | ||||||||
2.000%, 06/10/2028 (F) | 3,522 | 2,987 | ||||||
DP World MTN | ||||||||
5.625%, 09/25/2048 (D) | 990 | 864 | ||||||
Eaton | ||||||||
7.625%, 04/01/2024 | 75 | 78 | ||||||
4.150%, 11/02/2042 | 140 | 115 | ||||||
Emerson Electric | ||||||||
2.800%, 12/21/2051 | 280 | 179 | ||||||
Equifax | ||||||||
3.950%, 06/15/2023 | 1,612 | 1,604 | ||||||
2.600%, 12/15/2025 (F) | 255 | 233 | ||||||
GE Capital International Funding Unlimited | ||||||||
4.418%, 11/15/2035 | 1,197 | 1,072 | ||||||
General Dynamics | ||||||||
4.250%, 04/01/2040 | 880 | 771 | ||||||
4.250%, 04/01/2050 | 200 | 173 | ||||||
3.500%, 05/15/2025 (F) | 60 | 58 | ||||||
3.250%, 04/01/2025 | 160 | 155 |
184
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
General Electric MTN | ||||||||
6.750%, 03/15/2032 | $ | 720 | $ | 778 | ||||
3.385%, ICE LIBOR USD 3 Month + 0.480%, 08/15/2036 (A) | 2,400 | 1,997 | ||||||
GFL Environmental | ||||||||
4.250%, 06/01/2025 (D) | 250 | 234 | ||||||
H&E Equipment Services | ||||||||
3.875%, 12/15/2028 (D)(F) | 70 | 55 | ||||||
Hawaiian Brand Intellectual Property | ||||||||
5.750%, 01/20/2026 (D) | 50 | 44 | ||||||
Honeywell International | ||||||||
1.350%, 06/01/2025 (F) | 310 | 285 | ||||||
John Deere Capital MTN | ||||||||
4.150%, 09/15/2027 | 1,539 | 1,493 | ||||||
3.350%, 04/18/2029 (F) | 1,255 | 1,133 | ||||||
2.350%, 03/08/2027 | 733 | 661 | ||||||
2.125%, 03/07/2025 | 441 | 415 | ||||||
L3Harris Technologies | ||||||||
5.054%, 04/27/2045 | 180 | 159 | ||||||
4.854%, 04/27/2035 | 80 | 72 | ||||||
Lockheed Martin | ||||||||
4.500%, 05/15/2036 | 90 | 82 | ||||||
4.150%, 06/15/2053 (F) | 1,220 | 1,020 | ||||||
4.070%, 12/15/2042 | 91 | 77 | ||||||
3.900%, 06/15/2032 (F) | 230 | 213 | ||||||
3.550%, 01/15/2026 (F) | 1,188 | 1,148 | ||||||
Mileage Plus Holdings | ||||||||
6.500%, 06/20/2027 (D) | 485 | 474 | ||||||
Northrop Grumman | ||||||||
5.250%, 05/01/2050 | 350 | 334 | ||||||
4.400%, 05/01/2030 (F) | 1,048 | 990 | ||||||
4.030%, 10/15/2047 | 192 | 153 | ||||||
3.250%, 08/01/2023 (F) | 716 | 710 | ||||||
3.250%, 01/15/2028 | 1,074 | 977 | ||||||
2.930%, 01/15/2025 | 810 | 772 | ||||||
Otis Worldwide | ||||||||
3.112%, 02/15/2040 | 335 | 236 | ||||||
2.056%, 04/05/2025 | 220 | 204 | ||||||
Parker-Hannifin | ||||||||
4.500%, 09/15/2029 | 595 | 561 | ||||||
4.250%, 09/15/2027 (F) | 1,652 | 1,573 | ||||||
2.700%, 06/14/2024 | 400 | 385 | ||||||
Prime Security Services Borrower | ||||||||
5.750%, 04/15/2026 (D) | 320 | 301 | ||||||
Protective Life Global Funding | ||||||||
1.618%, 04/15/2026 (D)(F) | 2,170 | 1,921 | ||||||
Quanta Services | ||||||||
0.950%, 10/01/2024 | 584 | 533 | ||||||
Raytheon Technologies | ||||||||
4.625%, 11/16/2048 (F) | 51 | 44 | ||||||
4.500%, 06/01/2042 | 170 | 145 | ||||||
4.450%, 11/16/2038 | 63 | 55 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.150%, 05/15/2045 | $ | 59 | $ | 47 | ||||
4.125%, 11/16/2028 | 280 | 262 | ||||||
3.950%, 08/16/2025 (F) | 510 | 498 | ||||||
3.150%, 12/15/2024 | 200 | 195 | ||||||
2.250%, 07/01/2030 | 420 | 339 | ||||||
Republic Services | ||||||||
3.950%, 05/15/2028 | 335 | 313 | ||||||
2.500%, 08/15/2024 (F) | 385 | 368 | ||||||
1.450%, 02/15/2031 | 1,650 | 1,232 | ||||||
Siemens Financieringsmaatschappij | ||||||||
1.200%, 03/11/2026 (D) | 1,120 | 977 | ||||||
Spirit Loyalty Cayman | ||||||||
8.000%, 09/20/2025 (D) | 375 | 377 | ||||||
Triton Container International | ||||||||
2.050%, 04/15/2026 (D)(F) | 755 | 641 | ||||||
Union Pacific | ||||||||
4.950%, 09/09/2052 | 700 | 653 | ||||||
3.839%, 03/20/2060 | 1,030 | 765 | ||||||
3.750%, 07/15/2025 (F) | 340 | 332 | ||||||
3.750%, 02/05/2070 (F) | 230 | 161 | ||||||
3.375%, 02/14/2042 (F) | 352 | 268 | ||||||
3.250%, 02/05/2050 | 480 | 338 | ||||||
2.891%, 04/06/2036 | 1,595 | 1,215 | ||||||
2.800%, 02/14/2032 (F) | 421 | 351 | ||||||
2.375%, 05/20/2031 (F) | 310 | 252 | ||||||
United Airlines | ||||||||
4.625%, 04/15/2029 (D) | 510 | 422 | ||||||
4.375%, 04/15/2026 (D) | 300 | 268 | ||||||
United Parcel Service | ||||||||
5.200%, 04/01/2040 (F) | 240 | 234 | ||||||
United Rentals North America | ||||||||
4.875%, 01/15/2028 (F) | 150 | 138 | ||||||
3.875%, 11/15/2027 | 100 | 89 | ||||||
3.875%, 02/15/2031 | 920 | 748 | ||||||
3.750%, 01/15/2032 | 300 | 236 | ||||||
US Airways Pass-Through Trust, Ser 2012-2, Cl A | ||||||||
4.625%, 06/03/2025 | 451 | 407 | ||||||
Vertiv Group | ||||||||
4.125%, 11/15/2028 (D) | 140 | 113 | ||||||
XPO Logistics | ||||||||
6.250%, 05/01/2025 (D)(F) | 32 | 32 | ||||||
81,663 | ||||||||
Information Technology — 1.9% | ||||||||
Advanced Micro Devices | ||||||||
3.924%, 06/01/2032 (F) | 945 | 856 | ||||||
Apple | ||||||||
4.375%, 05/13/2045 | 360 | 323 | ||||||
4.250%, 02/09/2047 | 162 | 144 | ||||||
4.100%, 08/08/2062 (F) | 1,247 | 1,022 | ||||||
3.950%, 08/08/2052 (F) | 616 | 514 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
185
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
3.850%, 05/04/2043 | $ | 220 | $ | 185 | ||||
3.350%, 08/08/2032 (F) | 769 | 685 | ||||||
3.250%, 08/08/2029 (F) | 1,231 | 1,124 | ||||||
3.200%, 05/13/2025 (F) | 64 | 62 | ||||||
3.200%, 05/11/2027 (F) | 232 | 218 | ||||||
2.800%, 02/08/2061 (F) | 208 | 129 | ||||||
2.650%, 05/11/2050 | 451 | 297 | ||||||
2.650%, 02/08/2051 | 200 | 131 | ||||||
2.450%, 08/04/2026 | 1,410 | 1,300 | ||||||
2.400%, 08/20/2050 (F) | 38 | 24 | ||||||
2.375%, 02/08/2041 (F) | 239 | 165 | ||||||
1.400%, 08/05/2028 (F) | 580 | 483 | ||||||
1.125%, 05/11/2025 | 1,110 | 1,018 | ||||||
Broadcom | ||||||||
4.926%, 05/15/2037 (D) | 966 | 797 | ||||||
4.300%, 11/15/2032 | 1,225 | 1,029 | ||||||
4.150%, 11/15/2030 (F) | 716 | 620 | ||||||
4.150%, 04/15/2032 (D) | 441 | 369 | ||||||
3.469%, 04/15/2034 (D) | 655 | 491 | ||||||
3.419%, 04/15/2033 (D) | 1,924 | 1,468 | ||||||
3.187%, 11/15/2036 (D) | 10 | 7 | ||||||
3.150%, 11/15/2025 (F) | 384 | 360 | ||||||
3.137%, 11/15/2035 (D) | 1,960 | 1,373 | ||||||
2.450%, 02/15/2031 (D) | 512 | 386 | ||||||
CommScope | ||||||||
6.000%, 03/01/2026 (D) | 200 | 184 | ||||||
4.750%, 09/01/2029 (D) | 140 | 114 | ||||||
Corning | ||||||||
5.450%, 11/15/2079 | 725 | 593 | ||||||
Dell International | ||||||||
6.100%, 07/15/2027 | 298 | 300 | ||||||
6.020%, 06/15/2026 | 39 | 39 | ||||||
3.450%, 12/15/2051 (D)(F) | 873 | 496 | ||||||
3.375%, 12/15/2041 (D) | 728 | 450 | ||||||
Intel | ||||||||
5.050%, 08/05/2062 | 307 | 266 | ||||||
4.900%, 08/05/2052 | 861 | 760 | ||||||
4.750%, 03/25/2050 | 470 | 406 | ||||||
3.700%, 07/29/2025 | 223 | 217 | ||||||
3.250%, 11/15/2049 | 380 | 252 | ||||||
3.050%, 08/12/2051 (F) | 270 | 173 | ||||||
2.800%, 08/12/2041 (F) | 766 | 516 | ||||||
1.600%, 08/12/2028 (F) | 540 | 446 | ||||||
International Business Machines | ||||||||
3.000%, 05/15/2024 | 1,510 | 1,469 | ||||||
KLA | ||||||||
4.950%, 07/15/2052 (F) | 272 | 247 | ||||||
3.300%, 03/01/2050 (F) | 701 | 492 | ||||||
Kyndryl Holdings | ||||||||
2.050%, 10/15/2026 | 1,350 | 1,084 | ||||||
Lenovo Group | ||||||||
6.536%, 07/27/2032 (D)(F) | 585 | 538 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Marvell Technology | ||||||||
1.650%, 04/15/2026 (F) | $ | 1,030 | $ | 900 | ||||
Mastercard | ||||||||
3.850%, 03/26/2050 | 80 | 64 | ||||||
3.375%, 04/01/2024 | 80 | 79 | ||||||
Microsoft | ||||||||
4.100%, 02/06/2037 (F) | 251 | 232 | ||||||
3.625%, 12/15/2023 (F) | 89 | 88 | ||||||
3.500%, 02/12/2035 | 156 | 140 | ||||||
3.450%, 08/08/2036 (F) | 565 | 495 | ||||||
3.300%, 02/06/2027 | 1,550 | 1,477 | ||||||
3.041%, 03/17/2062 | 199 | 136 | ||||||
2.921%, 03/17/2052 | 365 | 257 | ||||||
2.875%, 02/06/2024 | 1,010 | 990 | ||||||
2.700%, 02/12/2025 | 250 | 240 | ||||||
2.675%, 06/01/2060 (F) | 41 | 26 | ||||||
2.525%, 06/01/2050 | 546 | 357 | ||||||
2.400%, 08/08/2026 | 1,410 | 1,305 | ||||||
2.375%, 05/01/2023 (F) | 20 | 20 | ||||||
NVIDIA | ||||||||
3.700%, 04/01/2060 | 310 | 222 | ||||||
3.500%, 04/01/2040 | 430 | 334 | ||||||
3.500%, 04/01/2050 | 1,200 | 878 | ||||||
2.850%, 04/01/2030 | 1,000 | 857 | ||||||
NXP BV | ||||||||
4.400%, 06/01/2027 | 355 | 335 | ||||||
3.400%, 05/01/2030 | 407 | 339 | ||||||
3.250%, 05/11/2041 | 321 | 210 | ||||||
2.700%, 05/01/2025 | 280 | 260 | ||||||
2.650%, 02/15/2032 | 606 | 455 | ||||||
Open Text Holdings | ||||||||
4.125%, 02/15/2030 (D) | 20 | 16 | ||||||
4.125%, 12/01/2031 (D) | 30 | 23 | ||||||
Oracle | ||||||||
4.375%, 05/15/2055 (F) | 197 | 135 | ||||||
4.000%, 07/15/2046 | 564 | 381 | ||||||
3.950%, 03/25/2051 | 2,952 | 1,958 | ||||||
3.900%, 05/15/2035 | 1,720 | 1,318 | ||||||
3.800%, 11/15/2037 | 2,255 | 1,636 | ||||||
3.650%, 03/25/2041 | 800 | 544 | ||||||
3.600%, 04/01/2040 | 915 | 621 | ||||||
3.600%, 04/01/2050 | 1,150 | 720 | ||||||
2.950%, 11/15/2024 (F) | 315 | 301 | ||||||
2.950%, 04/01/2030 | 860 | 693 | ||||||
2.875%, 03/25/2031 (F) | 1,320 | 1,041 | ||||||
1.650%, 03/25/2026 | 1,030 | 902 | ||||||
PayPal Holdings | ||||||||
5.050%, 06/01/2052 (F) | 1,235 | 1,100 | ||||||
2.300%, 06/01/2030 (F) | 2,845 | 2,314 | ||||||
1.650%, 06/01/2025 (F) | 400 | 368 | ||||||
Prosus | ||||||||
3.832%, 02/08/2051 (D) | 320 | 177 |
186
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Prosus MTN | ||||||||
4.027%, 08/03/2050 (D) | $ | 730 | $ | 407 | ||||
3.061%, 07/13/2031 (D)(F) | 2,100 | 1,442 | ||||||
Roper Technologies | ||||||||
1.000%, 09/15/2025 | 420 | 373 | ||||||
Salesforce | ||||||||
3.700%, 04/11/2028 | 670 | 635 | ||||||
3.250%, 04/11/2023 | 480 | 478 | ||||||
Sprint | ||||||||
7.875%, 09/15/2023 | 110 | 111 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/2032 | 590 | 684 | ||||||
Tencent Holdings MTN | ||||||||
3.975%, 04/11/2029 (D) | 600 | 538 | ||||||
3.840%, 04/22/2051 (D) | 1,225 | 800 | ||||||
3.680%, 04/22/2041 (D) | 680 | 488 | ||||||
Texas Instruments | ||||||||
4.150%, 05/15/2048 (F) | 300 | 256 | ||||||
1.750%, 05/04/2030 (F) | 290 | 232 | ||||||
TSMC Arizona | ||||||||
1.750%, 10/25/2026 | 1,300 | 1,143 | ||||||
TSMC Global | ||||||||
4.625%, 07/22/2032 (D) | 400 | 379 | ||||||
1.375%, 09/28/2030 (D) | 1,365 | 1,012 | ||||||
Visa | ||||||||
4.300%, 12/14/2045 | 690 | 601 | ||||||
3.650%, 09/15/2047 | 235 | 184 | ||||||
3.150%, 12/14/2025 (F) | 1,410 | 1,346 | ||||||
VMware | ||||||||
4.700%, 05/15/2030 | 589 | 530 | ||||||
1.800%, 08/15/2028 | 177 | 140 | ||||||
1.400%, 08/15/2026 (F) | 1,025 | 877 | ||||||
1.000%, 08/15/2024 | 1,019 | 943 | ||||||
0.600%, 08/15/2023 (F) | 1,435 | 1,382 | ||||||
Vontier | ||||||||
2.950%, 04/01/2031 | 425 | 306 | ||||||
1.800%, 04/01/2026 | 495 | 421 | ||||||
Workday | ||||||||
3.800%, 04/01/2032 (F) | 1,370 | 1,189 | ||||||
3.700%, 04/01/2029 | 300 | 269 | ||||||
3.500%, 04/01/2027 | 180 | 166 | ||||||
Xilinx | ||||||||
2.375%, 06/01/2030 (F) | 251 | 207 | ||||||
67,105 | ||||||||
Materials — 0.9% | ||||||||
Amcor Finance USA | ||||||||
3.625%, 04/28/2026 | 2,425 | 2,264 | ||||||
Anglo American Capital | ||||||||
4.750%, 04/10/2027 (D)(F) | 720 | 681 | ||||||
4.750%, 03/16/2052 (D) | 746 | 571 | ||||||
4.000%, 09/11/2027 (D) | 200 | 183 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
3.875%, 03/16/2029 (D) | $ | 679 | $ | 583 | ||||
3.625%, 09/11/2024 (D) | 710 | 687 | ||||||
ArcelorMittal | ||||||||
7.000%, 10/15/2039 (F) | 120 | 113 | ||||||
Ball | ||||||||
3.125%, 09/15/2031 | 370 | 279 | ||||||
Barrick | ||||||||
5.250%, 04/01/2042 | 80 | 73 | ||||||
Barrick North America Finance | ||||||||
5.750%, 05/01/2043 (F) | 290 | 273 | ||||||
5.700%, 05/30/2041 | 509 | 483 | ||||||
Berry Global | ||||||||
1.650%, 01/15/2027 | 2,985 | 2,475 | ||||||
BHP Billiton Finance USA | ||||||||
5.000%, 09/30/2043 (F) | 410 | 389 | ||||||
4.125%, 02/24/2042 | 40 | 34 | ||||||
Celanese US Holdings | ||||||||
6.379%, 07/15/2032 (F) | 880 | 818 | ||||||
6.330%, 07/15/2029 | 990 | 923 | ||||||
6.050%, 03/15/2025 | 2,425 | 2,369 | ||||||
Dow Chemical | ||||||||
7.375%, 11/01/2029 (F) | 774 | 841 | ||||||
5.250%, 11/15/2041 | 25 | 22 | ||||||
4.800%, 05/15/2049 | 360 | 296 | ||||||
3.600%, 11/15/2050 (F) | 298 | 203 | ||||||
DuPont de Nemours | ||||||||
4.493%, 11/15/2025 | 830 | 815 | ||||||
Equate Petrochemical BV MTN | ||||||||
4.250%, 11/03/2026 (D) | 480 | 452 | ||||||
First Quantum Minerals | ||||||||
6.875%, 10/15/2027 (D) | 220 | 198 | ||||||
Freeport-McMoRan | ||||||||
5.450%, 03/15/2043 (F) | 785 | 655 | ||||||
5.250%, 09/01/2029 (F) | 1,343 | 1,248 | ||||||
4.625%, 08/01/2030 (F) | 180 | 158 | ||||||
4.550%, 11/14/2024 | 40 | 39 | ||||||
3.875%, 03/15/2023 | 20 | 20 | ||||||
Glencore Finance Canada | ||||||||
6.900%, 11/15/2037 (D) | 338 | 338 | ||||||
6.000%, 11/15/2041 (D)(F) | 38 | 34 | ||||||
Glencore Funding | ||||||||
4.125%, 05/30/2023 (D)(F) | 200 | 199 | ||||||
4.125%, 03/12/2024 (D)(F) | 1,340 | 1,317 | ||||||
4.000%, 03/27/2027 (D) | 1,200 | 1,118 | ||||||
3.875%, 10/27/2027 (D) | 220 | 200 | ||||||
3.000%, 10/27/2022 (D) | 30 | 30 | ||||||
Hudbay Minerals | ||||||||
6.125%, 04/01/2029 (D) | 20 | 16 | ||||||
Industrias Penoles | ||||||||
4.150%, 09/12/2029 (D) | 1,005 | 869 | ||||||
International Flavors & Fragrances | ||||||||
5.000%, 09/26/2048 | 1,505 | 1,255 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
187
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
1.230%, 10/01/2025 (D) | $ | 1,835 | $ | 1,608 | ||||
Newcrest Finance Pty | ||||||||
3.250%, 05/13/2030 (D) | 630 | 525 | ||||||
OCP | ||||||||
5.125%, 06/23/2051 (D) | 360 | 229 | ||||||
4.500%, 10/22/2025 (D) | 400 | 382 | ||||||
3.750%, 06/23/2031 (D) | 410 | 310 | ||||||
Orbia Advance | ||||||||
2.875%, 05/11/2031 (D)(F) | 780 | 567 | ||||||
1.875%, 05/11/2026 (D) | 820 | 693 | ||||||
Rohm and Haas | ||||||||
7.850%, 07/15/2029 | 389 | 432 | ||||||
Sealed Air | ||||||||
1.573%, 10/15/2026 (D)(F) | 795 | 666 | ||||||
Southern Copper | ||||||||
5.250%, 11/08/2042 (F) | 2,220 | 1,945 | ||||||
Suzano Austria GmbH | ||||||||
3.750%, 01/15/2031 | 1,400 | 1,097 | ||||||
3.125%, 01/15/2032 (F) | 70 | 50 | ||||||
Teck Resources | ||||||||
6.250%, 07/15/2041 (F) | 5 | 5 | ||||||
6.000%, 08/15/2040 | 30 | 26 | ||||||
Vale Overseas | ||||||||
6.875%, 11/21/2036 (F) | 874 | 830 | ||||||
6.250%, 08/10/2026 (F) | 32 | 32 | ||||||
32,918 | ||||||||
Real Estate — 1.0% | ||||||||
Agree | ||||||||
2.600%, 06/15/2033 | 139 | 101 | ||||||
2.000%, 06/15/2028 | 613 | 494 | ||||||
American Assets Trust | ||||||||
3.375%, 02/01/2031 (F) | 1,370 | 1,088 | ||||||
American Homes 4 Rent | ||||||||
4.300%, 04/15/2052 | 252 | 185 | ||||||
3.625%, 04/15/2032 | 3,139 | 2,589 | ||||||
American Tower | ||||||||
3.650%, 03/15/2027 | 434 | 397 | ||||||
2.700%, 04/15/2031 | 234 | 184 | ||||||
1.875%, 10/15/2030 | 1,430 | 1,058 | ||||||
AvalonBay Communities MTN | ||||||||
2.450%, 01/15/2031 | 1,155 | 942 | ||||||
Boston Properties | ||||||||
3.800%, 02/01/2024 | 1,250 | 1,229 | ||||||
3.400%, 06/21/2029 | 720 | 610 | ||||||
Brandywine Operating Partnership | ||||||||
3.950%, 11/15/2027 | 17 | 15 | ||||||
Brixmor Operating Partnership | ||||||||
2.500%, 08/16/2031 (F) | 341 | 249 | ||||||
2.250%, 04/01/2028 | 197 | 159 | ||||||
Camden Property Trust | ||||||||
2.800%, 05/15/2030 | 265 | 222 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Crown Castle | ||||||||
2.900%, 04/01/2041 (F) | $ | 148 | $ | 96 | ||||
Crown Castle International | ||||||||
4.000%, 03/01/2027 | 148 | 138 | ||||||
3.300%, 07/01/2030 | 506 | 424 | ||||||
2.900%, 03/15/2027 | 961 | 853 | ||||||
1.050%, 07/15/2026 | 880 | 743 | ||||||
Equinix | ||||||||
3.900%, 04/15/2032 | 1,715 | 1,457 | ||||||
Essential Properties | ||||||||
2.950%, 07/15/2031 | 1,290 | 942 | ||||||
Essex Portfolio | ||||||||
2.550%, 06/15/2031 | 291 | 228 | ||||||
1.700%, 03/01/2028 | 739 | 599 | ||||||
Extra Space Storage | ||||||||
3.900%, 04/01/2029 | 281 | 250 | ||||||
2.350%, 03/15/2032 | 252 | 186 | ||||||
GLP Capital | ||||||||
5.375%, 04/15/2026 (F) | 2,710 | 2,592 | ||||||
5.300%, 01/15/2029 | 1,480 | 1,349 | ||||||
5.250%, 06/01/2025 (F) | 775 | 749 | ||||||
4.000%, 01/15/2030 | 200 | 167 | ||||||
3.350%, 09/01/2024 | 5 | 5 | ||||||
3.250%, 01/15/2032 | 35 | 26 | ||||||
Healthcare Realty Holdings | ||||||||
3.100%, 02/15/2030 | 1,645 | 1,347 | ||||||
Hudson Pacific Properties | ||||||||
4.650%, 04/01/2029 (F) | 580 | 515 | ||||||
3.950%, 11/01/2027 | 1,246 | 1,112 | ||||||
Invitation Homes Operating Partnership | ||||||||
4.150%, 04/15/2032 | 1,604 | 1,356 | ||||||
Life Storage | ||||||||
3.875%, 12/15/2027 | 915 | 833 | ||||||
Mid-America Apartments | ||||||||
4.300%, 10/15/2023 | 289 | 287 | ||||||
4.000%, 11/15/2025 | 346 | 334 | ||||||
3.950%, 03/15/2029 | 283 | 257 | ||||||
MPT Operating Partnership | ||||||||
5.000%, 10/15/2027 | 90 | 78 | ||||||
4.625%, 08/01/2029 | 60 | 48 | ||||||
3.500%, 03/15/2031 (F) | 400 | 279 | ||||||
Realty Income | ||||||||
3.400%, 01/15/2028 | 300 | 273 | ||||||
2.850%, 12/15/2032 | 408 | 327 | ||||||
2.200%, 06/15/2028 | 303 | 255 | ||||||
Regency Centers | ||||||||
2.950%, 09/15/2029 | 612 | 508 | ||||||
Rexford Industrial Realty | ||||||||
2.150%, 09/01/2031 (F) | 312 | 234 | ||||||
Sabra Health Care | ||||||||
3.900%, 10/15/2029 (F) | 715 | 583 |
188
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Simon Property Group | ||||||||
2.450%, 09/13/2029 | $ | 1,020 | $ | 830 | ||||
STORE Capital | ||||||||
4.625%, 03/15/2029 (F) | 359 | 343 | ||||||
4.500%, 03/15/2028 | 750 | 714 | ||||||
2.750%, 11/18/2030 | 499 | 440 | ||||||
2.700%, 12/01/2031 | 197 | 171 | ||||||
Sun Communities Operating | ||||||||
4.200%, 04/15/2032 | 564 | 472 | ||||||
2.300%, 11/01/2028 | 281 | 226 | ||||||
VICI Properties | ||||||||
5.750%, 02/01/2027 (D) | 445 | 419 | ||||||
5.625%, 05/15/2052 | 627 | 519 | ||||||
5.125%, 05/15/2032 (F) | 1,255 | 1,112 | ||||||
4.950%, 02/15/2030 (F) | 30 | 27 | ||||||
4.625%, 06/15/2025 (D) | 100 | 94 | ||||||
4.500%, 09/01/2026 (D) | 375 | 343 | ||||||
4.500%, 01/15/2028 (D) | 200 | 177 | ||||||
3.875%, 02/15/2029 (D) | 705 | 591 | ||||||
3.750%, 02/15/2027 (D) | 75 | 66 | ||||||
Welltower | ||||||||
4.500%, 01/15/2024 | 102 | 101 | ||||||
�� | ||||||||
35,597 | ||||||||
Utilities — 1.8% | ||||||||
AEP Texas | ||||||||
6.650%, 02/15/2033 | 500 | 504 | ||||||
AES | ||||||||
1.375%, 01/15/2026 | 332 | 286 | ||||||
Alabama Power | ||||||||
3.700%, 12/01/2047 (F) | 965 | 726 | ||||||
American Transmission Systems | ||||||||
2.650%, 01/15/2032 (D) | 1,423 | 1,117 | ||||||
Baltimore Gas and Electric | ||||||||
2.250%, 06/15/2031 | 437 | 349 | ||||||
Berkshire Hathaway Energy | ||||||||
2.850%, 05/15/2051 | 1,060 | 652 | ||||||
Boston Gas | ||||||||
4.487%, 02/15/2042 (D) | 35 | 28 | ||||||
CenterPoint Energy Houston Electric | ||||||||
3.600%, 03/01/2052 | 323 | 241 | ||||||
Cleco Power | ||||||||
6.000%, 12/01/2040 | 700 | 676 | ||||||
Comision Federal de Electricidad | ||||||||
3.875%, 07/26/2033 (D)(F) | 270 | 188 | ||||||
Consolidated Edison of New York | ||||||||
4.650%, 12/01/2048 | 1,500 | 1,277 | ||||||
4.450%, 03/15/2044 (F) | 1,120 | 928 | ||||||
3.950%, 04/01/2050 | 130 | 100 | ||||||
3.350%, 04/01/2030 | 180 | 158 | ||||||
Consumers Energy | ||||||||
2.650%, 08/15/2052 | 196 | 121 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.500%, 05/01/2060 | $ | 249 | $ | 137 | ||||
Dominion Energy | ||||||||
3.071%, 08/15/2024 (C) | 980 | 940 | ||||||
DTE Electric | ||||||||
3.650%, 03/01/2052 (F) | 234 | 177 | ||||||
2.950%, 03/01/2050 (F) | 511 | 342 | ||||||
DTE Energy | ||||||||
2.529%, 10/01/2024 (C) | 830 | 788 | ||||||
1.050%, 06/01/2025 | 1,757 | 1,573 | ||||||
Duke Energy | ||||||||
5.000%, 08/15/2052 | 143 | 122 | ||||||
4.500%, 08/15/2032 | 832 | 752 | ||||||
4.300%, 03/15/2028 | 760 | 715 | ||||||
3.750%, 09/01/2046 | 91 | 64 | ||||||
3.500%, 06/15/2051 (F) | 91 | 61 | ||||||
3.150%, 08/15/2027 | 280 | 253 | ||||||
2.550%, 06/15/2031 (F) | 2,775 | 2,177 | ||||||
0.900%, 09/15/2025 | 705 | 624 | ||||||
Duke Energy Carolinas | ||||||||
4.250%, 12/15/2041 (F) | 628 | 525 | ||||||
4.000%, 09/30/2042 | 1,000 | 804 | ||||||
3.550%, 03/15/2052 | 395 | 288 | ||||||
2.850%, 03/15/2032 | 543 | 450 | ||||||
2.550%, 04/15/2031 | 297 | 244 | ||||||
Duke Energy Florida | ||||||||
3.200%, 01/15/2027 (F) | 1,080 | 1,013 | ||||||
2.400%, 12/15/2031 | 436 | 347 | ||||||
Duke Energy Indiana | ||||||||
4.200%, 03/15/2042 | 30 | 23 | ||||||
2.750%, 04/01/2050 | 280 | 174 | ||||||
Duke Energy Progress | ||||||||
4.100%, 05/15/2042 (F) | 425 | 342 | ||||||
2.500%, 08/15/2050 | 441 | 261 | ||||||
Entergy Arkansas | ||||||||
2.650%, 06/15/2051 (F) | 394 | 238 | ||||||
Evergy Metro | ||||||||
5.300%, 10/01/2041 | 100 | 94 | ||||||
Eversource Energy | ||||||||
4.600%, 07/01/2027 (F) | 759 | 733 | ||||||
3.375%, 03/01/2032 | 273 | 230 | ||||||
2.900%, 10/01/2024 | 1,610 | 1,544 | ||||||
2.550%, 03/15/2031 (F) | 316 | 253 | ||||||
1.400%, 08/15/2026 | 248 | 215 | ||||||
Exelon | ||||||||
5.625%, 06/15/2035 | 760 | 742 | ||||||
FirstEnergy | ||||||||
4.400%, 07/15/2027 | 940 | 872 | ||||||
1.600%, 01/15/2026 | 180 | 155 | ||||||
FirstEnergy Transmission | ||||||||
5.450%, 07/15/2044 (D) | 35 | 32 | ||||||
Indiana Michigan Power | ||||||||
4.550%, 03/15/2046 | 325 | 272 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
189
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
ITC Holdings | ||||||||
4.050%, 07/01/2023 | $ | 1,152 | $ | 1,143 | ||||
Jersey Central Power & Light | ||||||||
4.700%, 04/01/2024 (D) | 700 | 689 | ||||||
2.750%, 03/01/2032 (D) | 1,555 | 1,234 | ||||||
KeySpan Gas East | ||||||||
3.586%, 01/18/2052 (D) | 2,295 | 1,480 | ||||||
2.742%, 08/15/2026 (D) | 1,025 | 917 | ||||||
Metropolitan Edison | ||||||||
4.300%, 01/15/2029 (D) | 514 | 480 | ||||||
3.500%, 03/15/2023 (D) | 2,775 | 2,750 | ||||||
MidAmerican Energy | ||||||||
4.800%, 09/15/2043 | 830 | 746 | ||||||
2.700%, 08/01/2052 (F) | 379 | 238 | ||||||
Mid-Atlantic Interstate Transmission | ||||||||
4.100%, 05/15/2028 (D) | 162 | 150 | ||||||
Mississippi Power | ||||||||
4.250%, 03/15/2042 | 201 | 161 | ||||||
3.950%, 03/30/2028 | 523 | 482 | ||||||
3.100%, 07/30/2051 | 525 | 335 | ||||||
National Rural Utilities Cooperative Finance MTN | ||||||||
1.875%, 02/07/2025 | 275 | 257 | ||||||
NextEra Energy Capital Holdings | ||||||||
4.625%, 07/15/2027 | 1,006 | 972 | ||||||
0.650%, 03/01/2023 | 2,435 | 2,398 | ||||||
NiSource | ||||||||
5.800%, 02/01/2042 | 149 | 140 | ||||||
Northern States Power | ||||||||
3.200%, 04/01/2052 | 295 | 205 | ||||||
NSTAR Electric | ||||||||
4.950%, 09/15/2052 | 154 | 144 | ||||||
4.550%, 06/01/2052 | 355 | 308 | ||||||
3.100%, 06/01/2051 | 269 | 180 | ||||||
Oncor Electric Delivery | ||||||||
2.750%, 05/15/2030 | 1,065 | 913 | ||||||
Pacific Gas and Electric | ||||||||
5.250%, 03/01/2052 (F) | 285 | 215 | ||||||
4.950%, 07/01/2050 | 590 | 432 | ||||||
4.750%, 02/15/2044 | 147 | 105 | ||||||
4.500%, 07/01/2040 | 150 | 109 | ||||||
4.200%, 06/01/2041 | 254 | 174 | ||||||
3.950%, 12/01/2047 (F) | 733 | 466 | ||||||
3.500%, 08/01/2050 | 130 | 79 | ||||||
3.300%, 08/01/2040 (F) | 60 | 38 | ||||||
2.500%, 02/01/2031 | 1,595 | 1,161 | ||||||
2.100%, 08/01/2027 | 1,529 | 1,236 | ||||||
1.700%, 11/15/2023 | 1,560 | 1,496 | ||||||
PacifiCorp | ||||||||
2.900%, 06/15/2052 (F) | 1,330 | 851 | ||||||
PECO Energy | ||||||||
4.600%, 05/15/2052 | 1,000 | 881 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.150%, 10/01/2044 | $ | 900 | $ | 747 | ||||
2.850%, 09/15/2051 | 528 | 340 | ||||||
Pennsylvania Electric | ||||||||
3.250%, 03/15/2028 (D) | 425 | 378 | ||||||
Perusahaan Perseroan Persero Perusahaan Listrik Negara MTN | ||||||||
6.150%, 05/21/2048 (D) | 500 | 414 | ||||||
Piedmont Natural Gas | ||||||||
5.050%, 05/15/2052 | 1,100 | 964 | ||||||
Public Service Electric and Gas MTN | ||||||||
3.700%, 05/01/2028 | 1,300 | 1,213 | ||||||
2.700%, 05/01/2050 (F) | 239 | 150 | ||||||
2.050%, 08/01/2050 | 122 | 66 | ||||||
1.900%, 08/15/2031 | 586 | 458 | ||||||
Public Service Enterprise Group | ||||||||
2.450%, 11/15/2031 | 378 | 294 | ||||||
1.600%, 08/15/2030 | 337 | 253 | ||||||
Public Service of Oklahoma | ||||||||
3.150%, 08/15/2051 | 295 | 190 | ||||||
2.200%, 08/15/2031 | 292 | 227 | ||||||
Southern California Edison | ||||||||
4.125%, 03/01/2048 | 755 | 561 | ||||||
4.050%, 03/15/2042 | 5 | 4 | ||||||
3.700%, 08/01/2025 | 99 | 95 | ||||||
Southern California Gas | ||||||||
2.550%, 02/01/2030 (F) | 900 | 757 | ||||||
Southern Gas Capital | ||||||||
5.875%, 03/15/2041 (F) | 700 | 671 | ||||||
4.400%, 05/30/2047 | 500 | 393 | ||||||
Southwestern Electric Power | ||||||||
1.650%, 03/15/2026 | 1,575 | 1,389 | ||||||
Southwestern Public Service | ||||||||
3.750%, 06/15/2049 (F) | 845 | 638 | ||||||
Texas Electric Market Stabilization Funding N | ||||||||
4.265%, 08/01/2034 (D)(F) | 2,750 | 2,640 | ||||||
Trans-Allegheny Interstate Line | ||||||||
3.850%, 06/01/2025 (D) | 207 | 199 | ||||||
Virginia Electric & Power | ||||||||
4.650%, 08/15/2043 | 585 | 503 | ||||||
Virginia Electric and Power | ||||||||
4.625%, 05/15/2052 | 328 | 284 | ||||||
2.950%, 11/15/2051 | 437 | 283 | ||||||
Vistra Operations | ||||||||
4.300%, 07/15/2029 (D) | 1,590 | 1,355 | ||||||
WEC Energy Group | ||||||||
0.800%, 03/15/2024 | 595 | 560 | ||||||
Wisconsin Electric Power | ||||||||
4.750%, 09/30/2032 | 436 | 420 |
190
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
1.700%, 06/15/2028 (F) | $ | 255 | $ | 213 | ||||
66,151 | ||||||||
Total Corporate Obligations | ||||||||
(Cost $1,342,424) ($ Thousands) | 1,156,803 | |||||||
U.S. TREASURY OBLIGATIONS — 24.1% | ||||||||
U.S. Cash Management Bill | ||||||||
3.204%, 12/27/2022 (I) | 11,255 | 11,175 | ||||||
U.S. Treasury Bills | ||||||||
3.739%, 03/16/2023 (I) | 6,470 | 6,361 | ||||||
2.506%, 11/10/2022 (I) | 12,070 | 12,036 | ||||||
2.184%, 12/15/2022 (I) | 3,530 | 3,510 | ||||||
1.281%, 10/20/2022 (I) | 15,005 | 14,987 | ||||||
1.161%, 10/06/2022 (I) | 2,735 | 2,734 | ||||||
U.S. Treasury Bonds | ||||||||
3.625%, 08/15/2043 | 240 | 224 | ||||||
3.375%, 08/15/2042 | 4,055 | 3,673 | ||||||
3.250%, 05/15/2042 | 4,995 | 4,433 | ||||||
3.000%, 08/15/2052 | 25,796 | 22,261 | ||||||
2.875%, 05/15/2052 | 15,462 | 12,966 | ||||||
2.375%, 02/15/2042 | 39,155 | 30,003 | ||||||
2.375%, 05/15/2051 | 9,300 | 6,958 | ||||||
2.250%, 05/15/2041 | 500 | 378 | ||||||
2.250%, 02/15/2052 | 38,359 | 27,870 | ||||||
2.000%, 11/15/2041 | 94,812 | 67,857 | ||||||
2.000%, 02/15/2050 | 4,840 | 3,325 | ||||||
2.000%, 08/15/2051 | 14,646 | 10,004 | ||||||
1.875%, 02/15/2041 | 1,382 | 979 | ||||||
1.875%, 02/15/2051 | 12,210 | 8,083 | ||||||
1.875%, 11/15/2051 | 11,797 | 7,801 | ||||||
1.750%, 08/15/2041 (J) | 57,943 | 39,616 | ||||||
1.625%, 11/15/2050 | 10,924 | 6,782 | ||||||
1.375%, 11/15/2040 | 26,096 | 16,870 | ||||||
1.375%, 08/15/2050 | 38,780 | 22,455 | ||||||
1.250%, 05/15/2050 | 23,290 | 13,035 | ||||||
1.125%, 05/15/2040 | 13,102 | 8,187 | ||||||
1.125%, 08/15/2040 | 20,256 | 12,548 | ||||||
0.000%, 05/15/2049 (B) | 5,380 | 1,989 | ||||||
U.S. Treasury Inflation Protected Securities | ||||||||
0.125%, 02/15/2052 | 2,105 | 1,331 | ||||||
U.S. Treasury Notes | ||||||||
4.250%, 09/30/2024 | 45,986 | 46,008 | ||||||
4.125%, 09/30/2027 | 82,324 | 82,594 | ||||||
3.500%, 09/15/2025 | 33,469 | 32,787 | ||||||
3.250%, 08/31/2024 | 34,570 | 33,946 | ||||||
3.250%, 06/30/2027 | 22,681 | 21,859 | ||||||
3.250%, 06/30/2029 | 2,594 | 2,479 | ||||||
3.125%, 08/15/2025 | 300 | 291 | ||||||
3.125%, 08/31/2027 | 1,803 | 1,729 |
Description | Face Amount | Market Value | ||||||
U.S. TREASURY OBLIGATIONS (continued) | ||||||||
3.125%, 08/31/2029 | $ | 3,195 | $ | 3,032 | ||||
3.000%, 06/30/2024 | 737 | 721 | ||||||
3.000%, 07/31/2024 | 31,870 | 31,160 | ||||||
3.000%, 07/15/2025 | 8,100 | 7,829 | ||||||
2.875%, 04/30/2025 | 3,009 | 2,907 | ||||||
2.875%, 05/15/2032 | 860 | 795 | ||||||
2.750%, 04/30/2027 | 4,880 | 4,605 | ||||||
2.750%, 07/31/2027 | 38,440 | 36,197 | ||||||
2.750%, 02/15/2028 | 7,237 | 6,777 | ||||||
2.750%, 05/31/2029 | 3,582 | 3,317 | ||||||
2.750%, 08/15/2032 | 19,374 | 17,715 | ||||||
2.625%, 07/31/2029 | 20,569 | 18,901 | ||||||
2.500%, 04/30/2024 | 2,071 | 2,013 | ||||||
2.375%, 03/31/2029 | 13,070 | 11,834 | ||||||
2.250%, 11/15/2027 | 3,517 | 3,219 | ||||||
2.000%, 11/15/2026 | 5,213 | 4,787 | ||||||
1.625%, 05/15/2026 | 6,580 | 6,014 | ||||||
1.500%, 08/15/2026 | 18,401 | 16,643 | ||||||
1.500%, 01/31/2027 | 5,425 | 4,863 | ||||||
1.500%, 11/30/2028 | 2,552 | 2,200 | ||||||
1.375%, 10/31/2028 (J) | 20,683 | 17,718 | ||||||
1.250%, 06/30/2028 | 10,002 | 8,572 | ||||||
1.250%, 09/30/2028 | 2,194 | 1,868 | ||||||
1.250%, 08/15/2031 | 690 | 558 | ||||||
1.000%, 07/31/2028 | 4,842 | 4,078 | ||||||
0.875%, 06/30/2026 | 1,989 | 1,761 | ||||||
0.750%, 05/31/2026 | 6,938 | 6,127 | ||||||
0.750%, 01/31/2028 | 849 | 715 | ||||||
0.625%, 11/30/2027 | 6,182 | 5,197 | ||||||
0.375%, 11/30/2025 | 3,245 | 2,877 | ||||||
0.375%, 01/31/2026 | 17,855 | 15,728 | ||||||
0.250%, 03/15/2024 | 3,532 | 3,331 | ||||||
0.250%, 08/31/2025 | 6,793 | 6,051 | ||||||
0.125%, 04/30/2023 | 6,713 | 6,563 | ||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $992,886) ($ Thousands) | 868,797 | |||||||
ASSET-BACKED SECURITIES — 9.2% | ||||||||
Automotive — 1.9% | ||||||||
Ally Auto Receivables Trust, Ser 2022-1, Cl A3 | ||||||||
3.310%, 11/15/2026 | 828 | 810 | ||||||
Americredit Automobile Receivables Trust, Ser 2022-1, Cl A2 | ||||||||
2.050%, 01/20/2026 | 1,268 | 1,256 | ||||||
Americredit Automobile Receivables Trust, Ser 2022-1, Cl A3 | ||||||||
2.450%, 11/18/2026 | 274 | 266 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
191
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
AmeriCredit Automobile Receivables Trust, Ser 2022-2, Cl A3 | ||||||||
4.380%, 04/18/2028 | $ | 1,183 | $ | 1,171 | ||||
ARI Fleet Lease Trust, Ser 2022-A, Cl A2 | ||||||||
3.120%, 01/15/2031 (D) | 840 | 825 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2019-3A, Cl A | ||||||||
2.360%, 03/20/2026 (D) | 665 | 623 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2020-1A, Cl A | ||||||||
2.330%, 08/20/2026 (D) | 1,550 | 1,426 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2020-2A, Cl A | ||||||||
2.020%, 02/20/2027 (D) | 2,800 | 2,495 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2021-2A, Cl A | ||||||||
1.660%, 02/20/2028 (D) | 1,460 | 1,248 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2022-3A, Cl A | ||||||||
4.620%, 02/20/2027 (D) | 1,232 | 1,192 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2022-4A, Cl A | ||||||||
4.770%, 02/20/2029 (D) | 611 | 587 | ||||||
Capital One Prime Auto Receivables Trust, Ser 2022-2, Cl A3 | ||||||||
3.660%, 05/17/2027 | 1,095 | 1,070 | ||||||
Chase Auto Owner Trust, Ser 2022-AA, Cl A4 | ||||||||
3.990%, 03/27/2028 (D) | 439 | 424 | ||||||
Chesapeake Funding II, Ser 2019-1A, Cl A1 | ||||||||
2.940%, 04/15/2031 (D) | 36 | 36 | ||||||
Chesapeake Funding II, Ser 2020-1A, Cl B | ||||||||
1.240%, 08/15/2032 (D) | 1,455 | 1,402 | ||||||
Chesapeake Funding II, Ser 2020-1A, Cl D | ||||||||
2.830%, 08/15/2032 (D) | 205 | 196 | ||||||
Donlen Fleet Lease Funding 2, Ser 2021-2, Cl A2 | ||||||||
0.560%, 12/11/2034 (D) | 909 | 878 | ||||||
Donlen Fleet Lease Funding 2, Ser 2021-2, Cl B | ||||||||
0.980%, 12/11/2034 (D) | 575 | 537 | ||||||
Donlen Fleet Lease Funding 2, Ser 2021-2, Cl C | ||||||||
1.200%, 12/11/2034 (D) | 1,010 | 940 | ||||||
Enterprise Fleet Funding, Ser 2021-1, Cl A3 | ||||||||
0.700%, 12/21/2026 (D) | 425 | 390 | ||||||
Ford Credit Auto Lease Trust, Ser 2022-A, Cl A3 | ||||||||
3.230%, 05/15/2025 | 1,651 | 1,624 | ||||||
Ford Credit Auto Lease Trust, Ser 2022-A, Cl A4 | ||||||||
3.370%, 07/15/2025 | 635 | 621 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Ford Credit Auto Owner Trust, Ser 2020-2, Cl A | ||||||||
1.060%, 04/15/2033 (D) | $ | 478 | $ | 423 | ||||
Ford Credit Auto Owner Trust, Ser 2022-1, Cl A | ||||||||
3.880%, 11/15/2034 (D) | 2,218 | 2,117 | ||||||
Ford Credit Auto Owner Trust, Ser 2022-A, Cl A3 | ||||||||
1.290%, 06/15/2026 | 436 | 416 | ||||||
Ford Credit Auto Owner Trust, Ser 2022-C, Cl A4 | ||||||||
4.590%, 12/15/2027 | 1,097 | 1,086 | ||||||
Foursight Capital Automobile Receivables Trust, Ser 2022-1, Cl A2 | ||||||||
1.150%, 09/15/2025 (D) | 677 | 663 | ||||||
GLS Auto Receivables Issuer Trust, Ser 2021-3A, Cl A | ||||||||
0.420%, 01/15/2025 (D) | 276 | 273 | ||||||
GM Financial Automobile Leasing Trust, Ser 2022-2, Cl A3 | ||||||||
3.420%, 06/20/2025 | 666 | 653 | ||||||
GM Financial Automobile Leasing Trust, Ser 2022-2, Cl A4 | ||||||||
3.540%, 05/20/2026 | 729 | 709 | ||||||
GM Financial Automobile Leasing Trust, Ser 2022-3, Cl A3 | ||||||||
4.010%, 09/22/2025 | 840 | 829 | ||||||
GM Financial Automobile Leasing Trust, Ser 2022-3, Cl A4 | ||||||||
4.110%, 08/20/2026 | 921 | 904 | ||||||
GM Financial Consumer Automobile Receivables Trust, Ser 2022-2, Cl A3 | ||||||||
3.100%, 02/16/2027 | 1,894 | 1,835 | ||||||
GM Financial Consumer Automobile Receivables Trust, Ser 2022-2, Cl A4 | ||||||||
3.250%, 04/17/2028 | 1,010 | 965 | ||||||
GM Financial Consumer Automobile Receivables Trust, Ser 2022-3, Cl A4 | ||||||||
3.710%, 12/16/2027 | 563 | 544 | ||||||
Hertz Vehicle Financing III, Ser 2021-2A, Cl A | ||||||||
1.680%, 12/27/2027 (D) | 780 | 667 | ||||||
Hertz Vehicle Financing III, Ser 2022-1A, Cl A | ||||||||
1.990%, 06/25/2026 (D) | 2,664 | 2,429 | ||||||
Hertz Vehicle Financing, Ser 2022-2A, Cl A | ||||||||
2.330%, 06/26/2028 (D) | 1,547 | 1,352 | ||||||
Hertz Vehicle Financing, Ser 2022-4A, Cl A | ||||||||
3.730%, 09/25/2026 (D) | 363 | 348 | ||||||
Hertz Vehicle Financing, Ser 2022-5A, Cl A | ||||||||
3.890%, 09/25/2028 (D) | 1,565 | 1,450 |
192
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Honda Auto Receivables Owner Trust, Ser 2022-2, Cl A3 | ||||||||
3.730%, 07/20/2026 | $ | 575 | $ | 562 | ||||
Honda Auto Receivables Owner Trust, Ser 2022-2, Cl A4 | ||||||||
3.760%, 12/18/2028 | 419 | 407 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2022-C, Cl A3 | ||||||||
4.380%, 10/15/2025 (D) | 725 | 717 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2022-C, Cl A4 | ||||||||
4.480%, 08/17/2026 (D) | 900 | 889 | ||||||
Hyundai Auto Receivables Trust, Ser 2021-C, Cl A4 | ||||||||
1.030%, 12/15/2027 | 566 | 514 | ||||||
Hyundai Auto Receivables Trust, Ser 2022-A, Cl A3 | ||||||||
2.220%, 10/15/2026 | 1,061 | 1,017 | ||||||
Hyundai Auto Receivables Trust, Ser 2022-A, Cl A4 | ||||||||
2.350%, 04/17/2028 | 361 | 337 | ||||||
JPMorgan Chase Bank - CACLN, Ser 2020-1, Cl B | ||||||||
0.991%, 01/25/2028 (D) | 159 | 156 | ||||||
JPMorgan Chase Bank - CACLN, Ser 2020-2, Cl B | ||||||||
0.840%, 02/25/2028 (D) | 328 | 320 | ||||||
JPMorgan Chase Bank - CACLN, Ser 2021-2, Cl B | ||||||||
0.889%, 12/26/2028 (D) | 448 | 431 | ||||||
JPMorgan Chase Bank - CACLN, Ser 2021-3, Cl B | ||||||||
0.760%, 02/26/2029 (D) | 1,153 | 1,103 | ||||||
Nissan Auto Lease Trust, Ser 2022-A, Cl A3 | ||||||||
3.810%, 05/15/2025 | 1,228 | 1,214 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2022-B, Cl A4 | ||||||||
4.450%, 11/15/2029 | 818 | 802 | ||||||
PenFed Auto Receivables Owner Trust, Ser 2022-A, Cl A3 | ||||||||
3.960%, 04/15/2026 (D) | 648 | 638 | ||||||
PenFed Auto Receivables Owner Trust, Ser 2022-A, Cl A4 | ||||||||
4.180%, 12/15/2028 (D) | 318 | 311 | ||||||
Santander Drive Auto Receivables Trust, Ser 2021-2, Cl B | ||||||||
0.590%, 09/15/2025 | 1,841 | 1,832 | ||||||
Santander Drive Auto Receivables Trust, Ser 2021-2, Cl C | ||||||||
0.900%, 06/15/2026 | 850 | 828 | ||||||
Santander Drive Auto Receivables Trust, Ser 2022-2, Cl A2 | ||||||||
2.120%, 10/15/2026 | 1,090 | 1,086 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Santander Drive Auto Receivables Trust, Ser 2022-2, Cl A3 | ||||||||
2.980%, 10/15/2026 | $ | 1,980 | $ | 1,941 | ||||
Santander Drive Auto Receivables Trust, Ser 2022-3, Cl A3 | ||||||||
3.400%, 12/15/2026 | 1,576 | 1,547 | ||||||
Santander Drive Auto Receivables Trust, Ser 2022-4, Cl A3 | ||||||||
4.140%, 02/16/2027 | 935 | 924 | ||||||
Santander Drive Auto Receivables Trust, Ser 2022-5, Cl A3 | ||||||||
4.110%, 08/17/2026 | 773 | 764 | ||||||
Santander Drive Auto Receivables Trust, Ser 2022-6, Cl A3 | ||||||||
4.490%, 11/16/2026 | 2,530 | 2,508 | ||||||
Santander Retail Auto Lease Trust, Ser 2022-B, Cl A3 | ||||||||
3.280%, 11/20/2025 (D) | 1,115 | 1,085 | ||||||
Toyota Auto Loan Extended Note Trust, Ser 2019-1A, Cl A | ||||||||
2.560%, 11/25/2031 (D) | 340 | 328 | ||||||
Toyota Auto Loan Extended Note Trust, Ser 2020-1A, Cl A | ||||||||
1.350%, 05/25/2033 (D) | 640 | 584 | ||||||
Toyota Auto Loan Extended Note Trust, Ser 2022-1A, Cl A | ||||||||
3.820%, 04/25/2035 (D) | 3,535 | 3,388 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2021-D, Cl A3 | ||||||||
0.710%, 04/15/2026 | 309 | 293 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2022-B, Cl A4 | ||||||||
3.110%, 08/16/2027 | 753 | 714 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2022-C, Cl A3 | ||||||||
3.760%, 04/15/2027 | 875 | 858 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2022-C, Cl A4 | ||||||||
3.770%, 02/15/2028 | 702 | 682 | ||||||
Volkswagen Auto Lease Trust, Ser 2022-A, Cl A3 | ||||||||
3.440%, 07/21/2025 | 430 | 422 | ||||||
Westlake Automobile Receivables Trust, Ser 2019-3A, Cl C | ||||||||
2.490%, 10/15/2024 (D) | 2 | 2 | ||||||
Westlake Automobile Receivables Trust, Ser 2021-1A, Cl A2A | ||||||||
0.390%, 10/15/2024 (D) | 201 | 200 | ||||||
Wheels SPV 2, Ser 2020-1A, Cl A2 | ||||||||
0.510%, 08/20/2029 (D) | 609 | 601 | ||||||
World Omni Auto Receivables Trust, Ser 2022-C, Cl A3 | ||||||||
3.660%, 10/15/2027 | 645 | 629 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
193
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
World Omni Automobile Lease Securitization Trust, Ser 2022-A, Cl A3 | ||||||||
3.210%, 02/18/2025 | $ | 710 | $ | 696 | ||||
World Omni Automobile Lease Securitization Trust, Ser 2022-A, Cl A4 | ||||||||
3.340%, 06/15/2027 | 418 | 408 | ||||||
69,418 | ||||||||
Credit Cards — 0.7% | ||||||||
American Express Credit Account Master Trust, Ser 2022-2, Cl A | ||||||||
3.390%, 05/15/2027 | 3,404 | 3,293 | ||||||
American Express Credit Account Master Trust, Ser 2022-3, Cl A | ||||||||
3.750%, 08/15/2027 | 5,789 | 5,639 | ||||||
BA Credit Card Trust, Ser 2022-A1, Cl A1 | ||||||||
3.530%, 11/15/2027 | 1,315 | 1,276 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2021-A2, Cl A2 | ||||||||
1.390%, 07/15/2030 | 1,036 | 860 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2022-A2, Cl A | ||||||||
3.490%, 05/15/2027 | 931 | 903 | ||||||
Chase Issuance Trust, Ser 2022-A1, Cl A | ||||||||
3.970%, 09/15/2027 | 1,224 | 1,202 | ||||||
Citibank Credit Card Issuance Trust, Ser 2017-A6, Cl A6 | ||||||||
3.553%, ICE LIBOR USD 1 Month + 0.770%, 05/14/2029 (A) | 2,340 | 2,296 | ||||||
Discover Card Execution Note Trust, Ser 2022-A3, Cl A3 | ||||||||
3.560%, 07/15/2027 | 4,851 | 4,714 | ||||||
Golden Credit Card Trust, Ser 2022-4A, Cl A | ||||||||
4.310%, 09/15/2027 (D) | 1,940 | 1,906 | ||||||
Mercury Financial Credit Card Master Trust, Ser 2022-1A, Cl B | ||||||||
3.200%, 09/21/2026 (D) | 580 | 525 | ||||||
Synchrony Card Funding, Ser 2022-A1, Cl A | ||||||||
3.370%, 04/15/2028 | 1,137 | 1,100 | ||||||
Synchrony Card Funding, Ser 2022-A2, Cl A | ||||||||
3.860%, 07/15/2028 | 1,114 | 1,084 | ||||||
24,798 | ||||||||
Mortgage Related Securities — 0.3% | ||||||||
Aegis Asset-Backed Securities Mortgage Pass Through Certificates, Ser 2003-3, Cl M1 | ||||||||
4.134%, ICE LIBOR USD 1 Month + 1.050%, 01/25/2034 (A) | 505 | 482 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Bayview Financial Mortgage Pass-Through Trust, Ser 2006-A, Cl M3 | ||||||||
4.088%, ICE LIBOR USD 1 Month + 0.975%, 02/28/2041 (A) | $ | 207 | $ | 206 | ||||
Bear Stearns Asset-Backed Securities I Trust, Ser 2004-HE10, Cl M1 | ||||||||
4.059%, ICE LIBOR USD 1 Month + 0.975%, 12/25/2034 (A) | 233 | 227 | ||||||
Bear Stearns Asset-Backed Securities I Trust, Ser 2004-HE6, Cl M1 | ||||||||
3.939%, ICE LIBOR USD 1 Month + 0.855%, 08/25/2034 (A) | 2,599 | 2,465 | ||||||
Citigroup Mortgage Loan Trust, Ser 2006-HE2, Cl M1 | ||||||||
3.519%, ICE LIBOR USD 1 Month + 0.435%, 08/25/2036 (A) | 1,731 | 1,720 | ||||||
Master Asset-Backed Securities Trust, Ser 2007-HE1, Cl A4 | ||||||||
3.364%, ICE LIBOR USD 1 Month + 0.280%, 05/25/2037 (A) | 5,500 | 4,401 | ||||||
Morgan Stanley ABS Capital I Trust, Ser 2005-HE1, Cl M1 | ||||||||
3.759%, ICE LIBOR USD 1 Month + 0.675%, 12/25/2034 (A) | 243 | 235 | ||||||
9,736 | ||||||||
Other Asset-Backed Securities — 6.3% | ||||||||
Academic Loan Funding Trust, Ser 2012-1A, Cl A2 | ||||||||
4.184%, ICE LIBOR USD 1 Month + 1.100%, 12/27/2044 (A)(D) | 1,069 | 1,051 | ||||||
ACRES Commercial Realty, Ser 2021-FL1, Cl A | ||||||||
4.139%, ICE LIBOR USD 1 Month + 1.200%, 06/15/2036 (A)(D) | 1,760 | 1,711 | ||||||
AIG CLO, Ser 2021-1A, Cl A1R | ||||||||
3.830%, ICE LIBOR USD 3 Month + 1.120%, 04/20/2032 (A)(D) | 3,400 | 3,315 | ||||||
American Homes 4 Rent Trust, Ser 2015-SFR1, Cl A | ||||||||
3.467%, 04/17/2052 (D) | 1,725 | 1,651 | ||||||
AMMC CLO XIII, Ser 2021-13A, Cl A1R2 | ||||||||
3.833%, ICE LIBOR USD 3 Month + 1.050%, 07/24/2029 (A)(D) | 3,023 | 2,983 | ||||||
Antares CLO, Ser 2021-1A, Cl A1R | ||||||||
4.243%, ICE LIBOR USD 3 Month + 1.460%, 10/23/2033 (A)(D) | 1,400 | 1,318 | ||||||
Applebee's Funding, Ser 2019-1A, Cl A2I | ||||||||
4.194%, 06/05/2049 (D) | 1,851 | 1,754 | ||||||
Aqua Finance Trust, Ser 2021-A, Cl A | ||||||||
1.540%, 07/17/2046 (D) | 1,033 | 936 |
194
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Arbor Realty Commercial Real Estate Notes, Ser 2021-FL3, Cl A | ||||||||
3.888%, ICE LIBOR USD 1 Month + 1.070%, 08/15/2034 (A)(D) | $ | 3,213 | $ | 3,085 | ||||
Barings CLO, Ser 2017-IA, Cl AR | ||||||||
3.510%, ICE LIBOR USD 3 Month + 0.800%, 01/20/2028 (A)(D) | 853 | 838 | ||||||
Brazos Higher Education Authority, Ser 2010-1, Cl A2 | ||||||||
4.197%, ICE LIBOR USD 3 Month + 1.200%, 02/25/2035 (A) | 3,015 | 2,998 | ||||||
Brazos Higher Education Authority, Ser 2011-2, Cl A3 | ||||||||
3.783%, ICE LIBOR USD 3 Month + 1.000%, 10/27/2036 (A) | 2,111 | 2,092 | ||||||
BSPRT Issuer, Ser 2019-FL5, Cl A | ||||||||
3.968%, ICE LIBOR USD 1 Month + 1.150%, 05/15/2029 (A)(D) | 449 | 444 | ||||||
CARLYLE US CLO, Ser 2021-1A, Cl A2R | ||||||||
4.360%, ICE LIBOR USD 3 Month + 1.650%, 07/20/2034 (A)(D) | 1,560 | 1,461 | ||||||
Cedar Funding XII CLO, Ser 2021-12A, Cl BR | ||||||||
4.383%, ICE LIBOR USD 3 Month + 1.600%, 10/25/2034 (A)(D) | 3,000 | 2,792 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A5 | ||||||||
4.888%, 11/25/2034 (C) | 25 | 24 | ||||||
CIFC Funding, Ser 2021-7A, Cl A1 | ||||||||
3.913%, ICE LIBOR USD 3 Month + 1.130%, 01/23/2035 (A)(D) | 3,500 | 3,333 | ||||||
CIT Education Loan Trust, Ser 2007-1, Cl A | ||||||||
3.731%, ICE LIBOR USD 3 Month + 0.090%, 03/25/2042 (A)(D) | 827 | 789 | ||||||
Citicorp Residential Mortgage Trust, Ser 2007-1, Cl A5 | ||||||||
5.010%, 03/25/2037 (C) | 747 | 725 | ||||||
Citigroup Mortgage LoanTrust, Ser 2021-INV2, Cl A3A | ||||||||
2.500%, 05/25/2051 (A)(D) | 501 | 398 | ||||||
CNH Equipment Trust, Ser 2022-B, Cl A3 | ||||||||
3.890%, 08/16/2027 | 1,360 | 1,329 | ||||||
College Ave Student Loans, Ser 2021-C, Cl A2 | ||||||||
2.320%, 07/26/2055 (D) | 793 | 678 | ||||||
College Avenue Student Loans, Ser 2017-A, Cl A1 | ||||||||
4.734%, ICE LIBOR USD 1 Month + 1.650%, 11/26/2046 (A)(D) | 354 | 349 | ||||||
College Avenue Student Loans, Ser 2018-A, Cl A2 | ||||||||
4.130%, 12/26/2047 (D) | 231 | 215 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
College Avenue Student Loans, Ser 2019-A, Cl A2 | ||||||||
3.280%, 12/28/2048 (D) | $ | 446 | $ | 406 | ||||
College Avenue Student Loans, Ser 2021-A, Cl A2 | ||||||||
1.600%, 07/25/2051 (D) | 563 | 467 | ||||||
College Avenue Student Loans, Ser 2021-B, Cl A2 | ||||||||
1.760%, 06/25/2052 (D) | 382 | 328 | ||||||
Countrywide Asset-Backed Certificates, Ser 2004-5, Cl 1A | ||||||||
3.584%, ICE LIBOR USD 1 Month + 0.500%, 10/25/2034 (A) | 315 | 298 | ||||||
Countrywide Asset-Backed Certificates, Ser 2004-6, Cl 1A1 | ||||||||
3.624%, ICE LIBOR USD 1 Month + 0.540%, 12/25/2034 (A) | 221 | 209 | ||||||
Countrywide Asset-Backed Certificates, Ser 2007-13, Cl 2A2 | ||||||||
3.884%, ICE LIBOR USD 1 Month + 0.800%, 10/25/2047 (A) | 1,173 | 1,095 | ||||||
Countrywide Home Equity Loan Trust, Ser 2006-F, Cl 2A1A | ||||||||
2.958%, ICE LIBOR USD 1 Month + 0.140%, 07/15/2036 (A) | 202 | 184 | ||||||
CSEMC, Ser 2020-1, Cl A | ||||||||
7.252%, 08/09/2024 | 1,263 | 1,235 | ||||||
Dividend Solar Loans, Ser 2019-1, Cl A | ||||||||
3.670%, 08/22/2039 (D) | 1,160 | 1,045 | ||||||
DLLST, Ser 2022-1A, Cl A3 | ||||||||
3.400%, 01/21/2025 (D) | 2,440 | 2,371 | ||||||
Dryden 77 CLO, Ser 2021-77A, Cl BR | ||||||||
4.634%, ICE LIBOR USD 3 Month + 1.650%, 05/20/2034 (A)(D) | 1,475 | 1,371 | ||||||
Dryden XXVI Senior Loan Fund, Ser 2018-26A, Cl AR | ||||||||
3.412%, ICE LIBOR USD 3 Month + 0.900%, 04/15/2029 (A)(D) | 1,047 | 1,025 | ||||||
Educational Funding of the South, Ser 2011-1, Cl A2 | ||||||||
3.433%, ICE LIBOR USD 3 Month + 0.650%, 04/25/2035 (A) | 589 | 586 | ||||||
Educational Funding, Ser 2006-1A, Cl A3 | ||||||||
3.133%, ICE LIBOR USD 3 Month + 0.350%, 04/25/2033 (A)(D) | 1,600 | 1,186 | ||||||
EDvestinU Private Education Loan Issue No. 4, Ser 2022-A, Cl A | ||||||||
5.250%, 11/25/2040 (D) | 690 | 674 | ||||||
First Franklin Mortgage Loan Trust, Ser 2004-FF5, Cl A3C | ||||||||
4.084%, ICE LIBOR USD 1 Month + 1.000%, 08/25/2034 (A) | 287 | 276 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
195
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
FirstKey Homes Trust, Ser 2020-SFR2, Cl A | ||||||||
1.266%, 10/19/2037 (D) | $ | 3,392 | $ | 3,040 | ||||
FNMA Grantor Trust, Ser 2017-T1, Cl A | ||||||||
2.898%, 06/25/2027 | 199 | 185 | ||||||
Ford Credit Floorplan Master Owner Trust A, Ser 2018-4, Cl A | ||||||||
4.060%, 11/15/2030 | 1,860 | 1,734 | ||||||
Fremont Home Loan Trust, Ser 2005-E, Cl 2A4 | ||||||||
3.744%, ICE LIBOR USD 1 Month + 0.660%, 01/25/2036 (A) | 4,786 | 4,611 | ||||||
Global SC Finance II SRL, Ser 2014-1A, Cl A2 | ||||||||
3.090%, 07/17/2029 (D) | 308 | 301 | ||||||
GoldenTree Loan Opportunities IX, Ser 2018-9A, Cl AR2 | ||||||||
3.916%, ICE LIBOR USD 3 Month + 1.110%, 10/29/2029 (A)(D) | 2,880 | 2,841 | ||||||
GoodLeap Sustainable Home Solutions Trust, Ser 2021-4GS, Cl A | ||||||||
1.930%, 07/20/2048 (D) | 920 | 739 | ||||||
GSAMP Trust, Ser 2003-SEA, Cl A1 | ||||||||
3.884%, ICE LIBOR USD 1 Month + 0.800%, 02/25/2033 (A) | 384 | 368 | ||||||
GSAMP Trust, Ser 2006-HE3, Cl A2D | ||||||||
3.584%, ICE LIBOR USD 1 Month + 0.500%, 05/25/2046 (A) | 4,600 | 4,312 | ||||||
GSAMP Trust, Ser 2006-NC1, Cl A3 | ||||||||
3.664%, ICE LIBOR USD 1 Month + 0.580%, 02/25/2036 (A) | 55 | 55 | ||||||
Higher Education Funding, Ser 2014-1, Cl A | ||||||||
4.047%, ICE LIBOR USD 3 Month + 1.050%, 05/25/2034 (A)(D) | 467 | 467 | ||||||
Hildene Community Funding CDO, Ser 2021-1A, Cl ARR | ||||||||
2.600%, 11/01/2035 (D) | 1,240 | 1,082 | ||||||
Hilton Grand Vacations Trust, Ser 2020-AA, Cl A | ||||||||
2.740%, 02/25/2039 (D) | 607 | 569 | ||||||
Home Partners of America Trust, Ser 2019-2, Cl A | ||||||||
2.703%, 10/19/2039 (D) | 1,516 | 1,328 | ||||||
Home Partners of America Trust, Ser 2022-1, Cl A | ||||||||
3.930%, 04/17/2039 (D) | 2,099 | 1,973 | ||||||
Hotwire Funding, Ser 2021-1, Cl A2 | ||||||||
2.311%, 11/20/2051 (D) | 820 | 702 | ||||||
JGWPT XXX, Ser 2013-3A, Cl A | ||||||||
4.080%, 01/17/2073 (D) | 732 | 662 | ||||||
JGWPT XXXII, Ser 2014-2A, Cl A | ||||||||
3.610%, 01/17/2073 (D) | 1,008 | 895 | ||||||
John Deere Owner Trust, Ser 2022-A, Cl A2 | ||||||||
1.900%, 11/15/2024 | 340 | 335 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
LCM XXI, Ser 2018-21A, Cl AR | ||||||||
3.590%, ICE LIBOR USD 3 Month + 0.880%, 04/20/2028 (A)(D) | $ | 406 | $ | 402 | ||||
LMREC, Ser 2019-CRE3, Cl A | ||||||||
4.459%, ICE LIBOR USD 1 Month + 1.400%, 12/22/2035 (A)(D) | 2,900 | 2,860 | ||||||
Lunar Structured Aircraft Portfolio Notes, Ser 2021-1, Cl A | ||||||||
2.636%, 10/15/2046 (D) | 1,023 | 845 | ||||||
Magnetite VII, Ser 2018-7A, Cl A1R2 | ||||||||
3.312%, ICE LIBOR USD 3 Month + 0.800%, 01/15/2028 (A)(D) | 917 | 898 | ||||||
MF1, Ser 2020-FL4, Cl A | ||||||||
4.660%, TSFR1M + 1.814%, 11/15/2035 (A)(D) | 710 | 703 | ||||||
MF1, Ser 2021-FL7, Cl A | ||||||||
4.073%, ICE LIBOR USD 1 Month + 1.080%, 10/16/2036 (A)(D) | 4,115 | 3,940 | ||||||
MF1, Ser 2022-FL10, Cl A | ||||||||
5.659%, TSFR1M + 2.635%, 09/17/2037 (A)(D) | 675 | 669 | ||||||
MF1, Ser 2022-FL8, Cl A | ||||||||
3.634%, SOFR30A + 1.350%, 02/19/2037 (A)(D) | 2,380 | 2,275 | ||||||
MFA Trust, Ser 2021-NQM2, Cl A1 | ||||||||
1.029%, 11/25/2064 (A)(D) | 317 | 257 | ||||||
Mid-State Trust XI, Ser 2003-11, Cl A1 | ||||||||
4.864%, 07/15/2038 | 1,132 | 1,088 | ||||||
Morgan Stanley Resecuritization Trust, Ser 2015-R7, Cl 1BXA | ||||||||
7.060%, 02/26/2029 (A)(D) | 836 | 789 | ||||||
MVW, Ser 2021-1WA, Cl A | ||||||||
1.140%, 01/22/2041 (D) | 598 | 539 | ||||||
MVW, Ser 2021-1WA, Cl B | ||||||||
1.440%, 01/22/2041 (D) | 298 | 271 | ||||||
Navient Private Education Loan Trust, Ser 2014-AA, Cl A3 | ||||||||
4.418%, ICE LIBOR USD 1 Month + 1.600%, 10/15/2031 (A)(D) | 457 | 455 | ||||||
Navient Private Education Loan Trust, Ser 2016-AA, Cl A2B | ||||||||
4.968%, ICE LIBOR USD 1 Month + 2.150%, 12/15/2045 (A)(D) | 262 | 264 | ||||||
Navient Private Education Loan Trust, Ser 2018-BA, Cl A2A | ||||||||
3.610%, 12/15/2059 (D) | 284 | 276 | ||||||
Navient Private Education Refi Loan Trust, Ser 2018-A, Cl A2 | ||||||||
3.190%, 02/18/2042 (D) | 36 | 36 | ||||||
Navient Private Education Refi Loan Trust, Ser 2018-CA, Cl A2 | ||||||||
3.520%, 06/16/2042 (D) | 43 | 43 |
196
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Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Navient Private Education Refi Loan Trust, Ser 2018-DA, Cl A2A | ||||||||
4.000%, 12/15/2059 (D) | $ | 891 | $ | 857 | ||||
Navient Private Education Refi Loan Trust, Ser 2019-A, Cl A2A | ||||||||
3.420%, 01/15/2043 (D) | 633 | 614 | ||||||
Navient Private Education Refi Loan Trust, Ser 2019-CA, Cl A2 | ||||||||
3.130%, 02/15/2068 (D) | 946 | 906 | ||||||
Navient Private Education Refi Loan Trust, Ser 2019-D, Cl A2A | ||||||||
3.010%, 12/15/2059 (D) | 1,225 | 1,131 | ||||||
Navient Private Education Refi Loan Trust, Ser 2019-FA, Cl A2 | ||||||||
2.600%, 08/15/2068 (D) | 1,858 | 1,721 | ||||||
Navient Private Education Refi Loan Trust, Ser 2020-BA, Cl A2 | ||||||||
2.120%, 01/15/2069 (D) | 424 | 387 | ||||||
Navient Private Education Refi Loan Trust, Ser 2020-DA, Cl A | ||||||||
1.690%, 05/15/2069 (D) | 164 | 148 | ||||||
Navient Private Education Refi Loan Trust, Ser 2020-GA, Cl A | ||||||||
1.170%, 09/16/2069 (D) | 730 | 652 | ||||||
Navient Private Education Refi Loan Trust, Ser 2020-HA, Cl A | ||||||||
1.310%, 01/15/2069 (D) | 805 | 731 | ||||||
Navient Private Education Refi Loan Trust, Ser 2021-A, Cl A | ||||||||
0.840%, 05/15/2069 (D) | 105 | 92 | ||||||
Navient Private Education Refi Loan Trust, Ser 2021-BA, Cl A | ||||||||
0.940%, 07/15/2069 (D) | 842 | 724 | ||||||
Navient Private Education Refi Loan Trust, Ser 2021-CA, Cl A | ||||||||
1.060%, 10/15/2069 (D) | 1,402 | 1,203 | ||||||
Navient Private Education Refi Loan Trust, Ser 2021-EA, Cl A | ||||||||
0.970%, 12/16/2069 (D) | 2,410 | 2,020 | ||||||
Navient Private Education Refi Loan Trust, Ser 2021-FA, Cl A | ||||||||
1.110%, 02/18/2070 (D) | 994 | 839 | ||||||
Navient Private Education Refi Loan Trust, Ser 2021-GA, Cl A | ||||||||
1.580%, 04/15/2070 (D) | 378 | 326 | ||||||
Navient Private Education Refi Loan Trust, Ser 2022-A, Cl A | ||||||||
2.230%, 07/15/2070 (D) | 1,298 | 1,149 | ||||||
Navient Student Loan Trust, Ser 2014-1, Cl A3 | ||||||||
3.594%, ICE LIBOR USD 1 Month + 0.510%, 06/25/2031 (A) | 2,232 | 2,167 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Navient Student Loan Trust, Ser 2014-3, Cl A | ||||||||
3.704%, ICE LIBOR USD 1 Month + 0.620%, 03/25/2083 (A) | $ | 1,974 | $ | 1,909 | ||||
Navient Student Loan Trust, Ser 2014-4, Cl A | ||||||||
3.704%, ICE LIBOR USD 1 Month + 0.620%, 03/25/2083 (A) | 1,334 | 1,299 | ||||||
Navient Student Loan Trust, Ser 2016-2A, Cl A3 | ||||||||
4.584%, ICE LIBOR USD 1 Month + 1.500%, 06/25/2065 (A)(D) | 1,189 | 1,181 | ||||||
Navient Student Loan Trust, Ser 2017-1A, Cl A3 | ||||||||
4.234%, ICE LIBOR USD 1 Month + 1.150%, 07/26/2066 (A)(D) | 892 | 885 | ||||||
Navient Student Loan Trust, Ser 2017-3A, Cl A3 | ||||||||
4.134%, ICE LIBOR USD 1 Month + 1.050%, 07/26/2066 (A)(D) | 2,900 | 2,875 | ||||||
Navient Student Loan Trust, Ser 2019-BA, Cl A2A | ||||||||
3.390%, 12/15/2059 (D) | 1,280 | 1,212 | ||||||
Navient Student Loan Trust, Ser 2021-1A, Cl A1A | ||||||||
1.310%, 12/26/2069 (D) | 463 | 381 | ||||||
Navient Student Loan Trust, Ser 2021-3A, Cl A1A | ||||||||
1.770%, 08/25/2070 (D) | 1,129 | 983 | ||||||
Nelnet Student Loan Trust, Ser 2004-3, Cl A5 | ||||||||
2.963%, ICE LIBOR USD 3 Month + 0.180%, 10/27/2036 (A) | 439 | 428 | ||||||
Nelnet Student Loan Trust, Ser 2004-4, Cl A5 | ||||||||
2.943%, ICE LIBOR USD 3 Month + 0.160%, 01/25/2037 (A) | 711 | 696 | ||||||
Nelnet Student Loan Trust, Ser 2005-1, Cl A5 | ||||||||
2.893%, ICE LIBOR USD 3 Month + 0.110%, 10/25/2033 (A) | 2,505 | 2,448 | ||||||
Nelnet Student Loan Trust, Ser 2005-2, Cl A5 | ||||||||
3.702%, ICE LIBOR USD 3 Month + 0.100%, 03/23/2037 (A) | 2,038 | 1,992 | ||||||
Nelnet Student Loan Trust, Ser 2005-3, Cl A5 | ||||||||
3.722%, ICE LIBOR USD 3 Month + 0.120%, 12/24/2035 (A) | 2,025 | 1,979 | ||||||
Nelnet Student Loan Trust, Ser 2005-4, Cl A4 | ||||||||
3.782%, ICE LIBOR USD 3 Month + 0.180%, 03/22/2032 (A) | 327 | 318 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
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September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Nelnet Student Loan Trust, Ser 2014-2A, Cl A3 | ||||||||
3.934%, ICE LIBOR USD 1 Month + 0.850%, 07/27/2037 (A)(D) | $ | 950 | $ | 926 | ||||
Nelnet Student Loan Trust, Ser 2014-4A, Cl A2 | ||||||||
4.034%, ICE LIBOR USD 1 Month + 0.950%, 11/25/2048 (A)(D) | 2,155 | 2,113 | ||||||
Nelnet Student Loan Trust, Ser 2021-A, Cl APT1 | ||||||||
1.360%, 04/20/2062 (D) | 509 | 449 | ||||||
Nelnet Student Loan Trust, Ser 2021-CA, Cl AFX | ||||||||
1.320%, 04/20/2062 (D) | 1,008 | 900 | ||||||
Neuberger Berman CLO XVII, Ser 2020-17A, Cl AR2 | ||||||||
3.789%, ICE LIBOR USD 3 Month + 1.030%, 04/22/2029 (A)(D) | 348 | 342 | ||||||
New Economy Assets Phase 1 Sponsor, Ser 2021-1, Cl B1 | ||||||||
2.410%, 10/20/2061 (D) | 3,245 | 2,712 | ||||||
Oak Street Investment Grade Net Lease Fund, Ser 2020-1A, Cl A1 | ||||||||
1.850%, 11/20/2050 (D) | 1,084 | 954 | ||||||
Octagon Investment Partners 50, Ser 2021-4A, Cl AR | ||||||||
3.662%, ICE LIBOR USD 3 Month + 1.150%, 01/15/2035 (A)(D) | 875 | 840 | ||||||
Octagon Investment Partners XIV, Ser 2021-1A, Cl AARR | ||||||||
3.462%, ICE LIBOR USD 3 Month + 0.950%, 07/15/2029 (A)(D) | 3,200 | 3,148 | ||||||
Orange Lake Timeshare Trust, Ser 2019-A, Cl A | ||||||||
3.060%, 04/09/2038 (D) | 445 | 421 | ||||||
Origen Manufactured Housing Contract Trust, Ser 2006-A, Cl A2 | ||||||||
4.067%, 10/15/2037 (A) | 598 | 546 | ||||||
Pawneee Equipment Receivables, Ser 2021-1, Cl A2 | ||||||||
1.100%, 07/15/2027 (D) | 938 | 898 | ||||||
PFCA Home Equity Investment Trust, Ser 2004-GP2, Cl A | ||||||||
3.439%, 08/25/2035 (A)(D) | 863 | 723 | ||||||
Progress Residential Trust, Ser 2019-SFR3, Cl A | ||||||||
2.271%, 09/17/2036 (D) | 1,059 | 1,001 | ||||||
Progress Residential Trust, Ser 2019-SFR4, Cl A | ||||||||
2.687%, 10/17/2036 (D) | 880 | 837 | ||||||
Progress Residential Trust, Ser 2021-SFR11, Cl A | ||||||||
2.283%, 01/17/2039 (D) | 698 | 579 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Progress Residential Trust, Ser 2021-SFR3, Cl A | ||||||||
1.637%, 05/17/2026 (D) | $ | 2,382 | $ | 2,082 | ||||
RAMP Trust, Ser 2006-RZ3, Cl M1 | ||||||||
3.434%, ICE LIBOR USD 1 Month + 0.350%, 08/25/2036 (A) | 3,520 | 3,375 | ||||||
Rockford Tower CLO, Ser 2021-2A, Cl AR | ||||||||
4.084%, ICE LIBOR USD 3 Month + 1.100%, 08/20/2032 (A)(D) | 3,150 | 3,039 | ||||||
SBA Small Business Investment, Ser 2018-10B, Cl 1 | ||||||||
3.548%, 09/10/2028 | 656 | 617 | ||||||
SBA Small Business Investment, Ser 2022-10A, Cl 1 | ||||||||
2.938%, 03/10/2032 | 863 | 786 | ||||||
SBA Small Business Investment, Ser 2022-10B, Cl 1 | ||||||||
4.262%, 09/10/2032 | 455 | 446 | ||||||
Sequoia Infrastructure Funding I Ltd., Ser 2021-1A, Cl A | ||||||||
3.912%, ICE LIBOR USD 3 Month + 1.400%, 04/15/2031 (A)(D) | 682 | 675 | ||||||
Sierra Timeshare Receivables Funding, Ser 2018-3A, Cl B | ||||||||
3.870%, 09/20/2035 (D) | 547 | 537 | ||||||
Sierra Timeshare Receivables Funding, Ser 2021-2A, Cl A | ||||||||
1.350%, 09/20/2038 (D) | 452 | 420 | ||||||
SLM Private Credit Student Loan Trust, Ser 2004-B, Cl A3 | ||||||||
3.623%, ICE LIBOR USD 3 Month + 0.330%, 03/15/2024 (A) | 130 | 130 | ||||||
SLM Private Credit Student Loan Trust, Ser 2005-A, Cl A4 | ||||||||
3.603%, ICE LIBOR USD 3 Month + 0.310%, 12/15/2038 (A) | 1,025 | 990 | ||||||
SLM Student Loan Trust, Ser 2003-7A, Cl A5A | ||||||||
4.493%, ICE LIBOR USD 3 Month + 1.200%, 12/15/2033 (A)(D) | 1,710 | 1,681 | ||||||
SLM Student Loan Trust, Ser 2005-4, Cl A4 | ||||||||
2.953%, ICE LIBOR USD 3 Month + 0.170%, 07/25/2040 (A) | 3,000 | 2,879 | ||||||
SLM Student Loan Trust, Ser 2006-8, Cl A6 | ||||||||
2.943%, ICE LIBOR USD 3 Month + 0.160%, 01/25/2041 (A) | 2,123 | 2,025 | ||||||
SLM Student Loan Trust, Ser 2007-7, Cl B | ||||||||
3.533%, ICE LIBOR USD 3 Month + 0.750%, 10/27/2070 (A) | 1,050 | 883 | ||||||
SLM Student Loan Trust, Ser 2008-2, Cl B | ||||||||
3.983%, ICE LIBOR USD 3 Month + 1.200%, 01/25/2083 (A) | 685 | 538 |
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Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
SLM Student Loan Trust, Ser 2008-3, Cl B | ||||||||
3.983%, ICE LIBOR USD 3 Month + 1.200%, 04/26/2083 (A) | $ | 685 | $ | 572 | ||||
SLM Student Loan Trust, Ser 2008-4, Cl A4 | ||||||||
4.433%, ICE LIBOR USD 3 Month + 1.650%, 07/25/2022 (A) | 516 | 515 | ||||||
SLM Student Loan Trust, Ser 2008-4, Cl B | ||||||||
4.633%, ICE LIBOR USD 3 Month + 1.850%, 04/25/2073 (A) | 685 | 658 | ||||||
SLM Student Loan Trust, Ser 2008-5, Cl A4 | ||||||||
4.483%, ICE LIBOR USD 3 Month + 1.700%, 07/25/2023 (A) | 87 | 87 | ||||||
SLM Student Loan Trust, Ser 2008-5, Cl B | ||||||||
4.633%, ICE LIBOR USD 3 Month + 1.850%, 07/25/2073 (A) | 685 | 667 | ||||||
SLM Student Loan Trust, Ser 2008-6, Cl A4 | ||||||||
3.883%, ICE LIBOR USD 3 Month + 1.100%, 07/25/2023 (A) | 2,660 | 2,610 | ||||||
SLM Student Loan Trust, Ser 2008-6, Cl B | ||||||||
4.633%, ICE LIBOR USD 3 Month + 1.850%, 07/26/2083 (A) | 685 | 639 | ||||||
SLM Student Loan Trust, Ser 2008-7, Cl B | ||||||||
4.633%, ICE LIBOR USD 3 Month + 1.850%, 07/26/2083 (A) | 685 | 602 | ||||||
SLM Student Loan Trust, Ser 2008-8, Cl B | ||||||||
5.033%, ICE LIBOR USD 3 Month + 2.250%, 10/25/2075 (A) | 685 | 662 | ||||||
SLM Student Loan Trust, Ser 2008-9, Cl A | ||||||||
4.283%, ICE LIBOR USD 3 Month + 1.500%, 04/25/2023 (A) | 1,086 | 1,077 | ||||||
SLM Student Loan Trust, Ser 2008-9, Cl B | ||||||||
5.033%, ICE LIBOR USD 3 Month + 2.250%, 10/25/2083 (A) | 685 | 641 | ||||||
SLM Student Loan Trust, Ser 2009-3, Cl A | ||||||||
3.834%, ICE LIBOR USD 1 Month + 0.750%, 01/25/2045 (A)(D) | 434 | 424 | ||||||
SLM Student Loan Trust, Ser 2021-10A, Cl A4 | ||||||||
3.963%, ICE LIBOR USD 3 Month + 0.670%, 12/17/2068 (A)(D) | 914 | 887 | ||||||
SMB Private Education Loan Trust, Ser 2016-B, Cl A2A | ||||||||
2.430%, 02/17/2032 (D) | 253 | 244 | ||||||
SMB Private Education Loan Trust, Ser 2016-B, Cl A2B | ||||||||
4.268%, ICE LIBOR USD 1 Month + 1.450%, 02/17/2032 (A)(D) | 219 | 219 | ||||||
SMB Private Education Loan Trust, Ser 2016-C, Cl A2B | ||||||||
3.918%, ICE LIBOR USD 1 Month + 1.100%, 09/15/2034 (A)(D) | 235 | 234 | ||||||
SMB Private Education Loan Trust, Ser 2018-C, Cl A2A | ||||||||
3.630%, 11/15/2035 (D) | 363 | 349 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
SMB Private Education Loan Trust, Ser 2019-A, Cl A2A | ||||||||
3.440%, 07/15/2036 (D) | $ | 1,433 | $ | 1,366 | ||||
SMB Private Education Loan Trust, Ser 2020-B, Cl A1A | ||||||||
1.290%, 07/15/2053 (D) | 558 | 499 | ||||||
SMB Private Education Loan Trust, Ser 2020-PTA, Cl A2A | ||||||||
1.600%, 09/15/2054 (D) | 881 | 787 | ||||||
SMB Private Education Loan Trust, Ser 2020-PTB, Cl A2A | ||||||||
1.600%, 09/15/2054 (D) | 2,698 | 2,382 | ||||||
SMB Private Education Loan Trust, Ser 2021-A, Cl A2B | ||||||||
1.590%, 01/15/2053 (D) | 524 | 457 | ||||||
SMB Private Education Loan Trust, Ser 2021-A, Cl APT1 | ||||||||
1.070%, 01/15/2053 (D) | 2,191 | 1,867 | ||||||
SMB Private Education Loan Trust, Ser 2021-B, Cl A | ||||||||
1.310%, 07/17/2051 (D) | 1,538 | 1,368 | ||||||
SMB Private Education Loan Trust, Ser 2021-C, Cl A2 | ||||||||
3.618%, ICE LIBOR USD 1 Month + 0.800%, 01/15/2053 (A)(D) | 1,274 | 1,227 | ||||||
SMB Private Education Loan Trust, Ser 2021-D, Cl A1A | ||||||||
1.340%, 03/17/2053 (D) | 2,607 | 2,291 | ||||||
SMB Private Education Loan Trust, Ser 2021-E, Cl A1A | ||||||||
1.680%, 02/15/2051 (D) | 1,262 | 1,129 | ||||||
SMB Private Education Loan Trust, Ser 2022-C, Cl A1A | ||||||||
4.480%, 05/16/2050 (D) | 624 | 598 | ||||||
SoFi Professional Loan Program Trust, Ser 2020-C, Cl AFX | ||||||||
1.950%, 02/15/2046 (D) | 105 | 95 | ||||||
SoFi Professional Loan Program Trust, Ser 2021-A, Cl AFX | ||||||||
1.030%, 08/17/2043 (D) | 772 | 656 | ||||||
SoFi Professional Loan Program Trust, Ser 2021-B, Cl AFX | ||||||||
1.140%, 02/15/2047 (D) | 785 | 653 | ||||||
South Carolina Student Loan, Ser 2015-A, Cl A | ||||||||
4.584%, ICE LIBOR USD 1 Month + 1.500%, 01/25/2036 (A) | 917 | 913 | ||||||
Southwick Park CLO, Ser 2021-4A, Cl A1R | ||||||||
3.770%, ICE LIBOR USD 3 Month + 1.060%, 07/20/2032 (A)(D) | 2,610 | 2,533 | ||||||
Stack Infrastructure Issuer, Ser 2020-1A, Cl A2 | ||||||||
1.893%, 08/25/2045 (D) | 1,355 | 1,203 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
199
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Store Master Funding I-VII XIV XIX XX, Ser 2021-1A, Cl A1 | ||||||||
2.120%, 06/20/2051 (D) | $ | 1,491 | $ | 1,241 | ||||
Structured Asset Investment Loan Trust, Ser 2004-8, Cl A2 | ||||||||
3.634%, ICE LIBOR USD 1 Month + 0.550%, 09/25/2034 (A) | 351 | 329 | ||||||
Structured Asset Securities Mortgage Loan Trust, Ser 2007-WF1, Cl A1 | ||||||||
3.504%, ICE LIBOR USD 1 Month + 0.420%, 02/25/2037 (A) | 2,496 | 2,427 | ||||||
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2002-AL1, Cl A2 | ||||||||
3.450%, 02/25/2032 | 5 | 5 | ||||||
STWD, Ser 2019-FL1, Cl A | ||||||||
4.116%, TSFR1M + 1.194%, 07/15/2038 (A)(D) | 306 | 303 | ||||||
Sunrun Vulcan Issuer, Ser 2021-1A, Cl A | ||||||||
2.460%, 01/30/2052 (D) | 683 | 566 | ||||||
Towd Point Mortgage Trust, Ser 2017-4, Cl A1 | ||||||||
2.750%, 06/25/2057 (A)(D) | 643 | 617 | ||||||
Trestles CLO IV, Ser 2021-4A, Cl B1 | ||||||||
4.432%, ICE LIBOR USD 3 Month + 1.700%, 07/21/2034 (A)(D) | 3,445 | 3,230 | ||||||
Triton Container Finance VIII, Ser 2020-1A, Cl A | ||||||||
2.110%, 09/20/2045 (D) | 430 | 370 | ||||||
TRTX Issuer, Ser 2019-FL3, Cl A | ||||||||
4.186%, TSFR1M + 1.264%, 10/15/2034 (A)(D) | 522 | 522 | ||||||
United States Small Business Administration, Ser 2019-20D, Cl 1 | ||||||||
2.980%, 04/01/2039 | 174 | 161 | ||||||
United States Small Business Administration, Ser 2019-25G, Cl 1 | ||||||||
2.690%, 07/01/2044 | 301 | 261 | ||||||
United States Small Business Administration, Ser 2022-25E, Cl 1 | ||||||||
3.940%, 05/01/2047 | 510 | 489 | ||||||
United States Small Business Administration, Ser 2022-25F, Cl 1 | ||||||||
4.010%, 06/01/2047 | 735 | 705 | ||||||
United States Small Business Administration, Ser 2022-25G, Cl 1 | ||||||||
3.930%, 07/01/2047 | 4,873 | 4,651 | ||||||
United States Small Business Administration, Ser 2022-25H, Cl 1 | ||||||||
3.800%, 08/01/2047 | 2,785 | 2,624 | ||||||
Vantage Data Centers Issuer, Ser 2018-2A, Cl A2 | ||||||||
4.196%, 11/15/2043 (D) | 3,353 | 3,299 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Verizon Master Trust, Ser 2022-2, Cl A | ||||||||
1.530%, 07/20/2028 | $ | 610 | $ | 565 | ||||
Verizon Master Trust, Ser 2022-4, Cl A | ||||||||
3.400%, 11/20/2028 (C) | 1,298 | 1,248 | ||||||
Verizon Master Trust, Ser 2022-6, Cl A | ||||||||
3.670%, 01/22/2029 (C) | 1,144 | 1,110 | ||||||
Wells Fargo Home Equity Asset-Backed Securities Trust, Ser 2006-2, Cl M2 | ||||||||
3.374%, ICE LIBOR USD 1 Month + 0.290%, 07/25/2036 (A) | 5,660 | 5,526 | ||||||
Z Capital Credit Partners CLO, Ser 2021-1A, Cl A1R | ||||||||
4.250%, ICE LIBOR USD 3 Month + 1.510%, 07/16/2031 (A)(D) | 1,000 | 986 | ||||||
226,925 | ||||||||
Total Asset-Backed Securities | ||||||||
(Cost $346,651) ($ Thousands) | 330,877 | |||||||
LOAN PARTICIPATIONS — 1.5% | ||||||||
Air Canada, Term Loan, 1st Lien | ||||||||
6.421%, 08/11/2028 (A) | 419 | 397 | ||||||
Ali Group | ||||||||
5.149%, 07/30/2029 (A) | 845 | 813 | ||||||
Allied Universal Holdco LLC (f/k/a USAGM Holdco, LLC), Initial U.S. Dollar Term Loan, 1st Lien | ||||||||
6.784%, LIBOR + 3.750%, 05/12/2028 (A) | 1,249 | 1,095 | ||||||
Alterra Moutain Company, Series B-2 Term Loan, 1st Lien | ||||||||
6.615%, 08/17/2028 (A) | 560 | 542 | ||||||
AMWINS Group Inc. | ||||||||
5.365%, 02/19/2028 (A) | 442 | 422 | ||||||
APi Group DE, Inc., Initial Term Loan, 1st Lien | ||||||||
3.115%, LIBOR + 2.500%, 10/01/2026 (A) | 849 | 826 | ||||||
Aramark Intermediate HoldCo Corp., Term Loan B, 1st Lien | ||||||||
4.865%, LIBOR + 1.750%, 03/11/2025 (A) | 24 | 23 | ||||||
Asurion, LLC, New B-7 Term Loan, 1st Lien | ||||||||
6.115%, LIBOR + 3.000%, 11/03/2024 (A)(K) | 559 | 522 | ||||||
Asurion, LLC, New B-8 Term Loan, 1st Lien | ||||||||
6.365%, LIBOR + 3.250%, 12/23/2026 (A) | 327 | 277 | ||||||
Asurion, LLC, New B-9 Term Loan, 1st Lien | ||||||||
6.365%, LIBOR + 3.250%, 07/31/2027 (A) | 374 | 315 |
200
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Athena Health, Term Loan, 1st Lien | ||||||||
3.500%, 02/15/2029 (A)(K) | $ | 223 | $ | 200 | ||||
Athena Helath Group, Initial Term Loan | ||||||||
6.576%, 02/15/2029 (A) | 1,314 | 1,174 | ||||||
Avolon TLB Borrower 1 LLC | ||||||||
5.264%, 12/01/2027 | 275 | 268 | ||||||
B.C. ULC | ||||||||
4.871%, LIBOR + 1.750%, 11/19/2026 (A) | 1,432 | 1,366 | ||||||
Berry Global, Inc. | ||||||||
4.178%, 07/01/2026 (A) | 448 | 433 | ||||||
Brookfeild WEC Holdings | ||||||||
5.865%, 08/01/2025 (A) | 225 | 215 | ||||||
Brown Group Holdings, LLC, Initial Term Loan, 1st Lien | ||||||||
5.615%, LIBOR + 2.750%, 06/07/2028 (A) | 574 | 544 | ||||||
Caesars Resort Collection, LLC, Term B Loan, 1st Lien | ||||||||
5.865%, LIBOR + 2.750%, 12/23/2024 (A) | 851 | 830 | ||||||
Caesars Resort Collection, LLC, Term B-1 Loan, 1st Lien | ||||||||
6.615%, 07/21/2025 (A) | 348 | 342 | ||||||
Castlelake Avia | ||||||||
6.043%, 10/22/2026 (A) | 949 | 916 | ||||||
Change Healthcare Holdings, Inc. (fka Emdeon Inc.), Closing Date Term Loan, 1st Lien | ||||||||
7.750%, ICE LIBOR USD 1 Month + 2.500%, 03/01/2024 (A) | 707 | 704 | ||||||
Charter Communications Operating LLC, Lien1 | ||||||||
4.870%, 04/30/2025 | 1,041 | 1,020 | ||||||
Charter Communications Operating LLC, Term B-2 Loan, 1st Lien | ||||||||
4.870%, LIBOR + 1.750%, 02/01/2027 (A) | 157 | 151 | ||||||
Citadel Securities LP, 2021 Term Loan, 1st Lien | ||||||||
5.649%, LIBOR + 2.500%, 02/02/2028 (A) | 681 | 660 | ||||||
Clarios Global, Term Loan 1st Lien | ||||||||
6.365%, LIBOR + 3.250%, 04/30/2026 (A) | 923 | 871 | ||||||
CSC Holdings LLC, Term Loan B, 1st Lien | ||||||||
5.068%, 01/15/2026 (A) | 197 | 184 | ||||||
CSC Holdings, LLC | ||||||||
5.318%, LIBOR + 2.500%, 04/15/2027 (A) | 215 | 200 | ||||||
DCert Buyer, Inc., Initial Term Loan, 1st Lien | ||||||||
6.903%, LIBOR + 4.000%, 10/16/2026 (A) | 1,327 | 1,263 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Deerfield Dakota Holding, LLC, Initial Dollar Term Loan, 1st Lien | ||||||||
6.784%, LIBOR + 3.750%, 04/09/2027 (A) | $ | 958 | $ | 902 | ||||
Energizer Holdings | ||||||||
5.313%, 12/22/2027 | 207 | 197 | ||||||
Entain PLC | ||||||||
6.174%, 03/29/2027 | 247 | 240 | ||||||
EyeCare Partners, LLC, Term Loan, 1st Lien | ||||||||
7.424%, LIBOR + 3.750%, 02/18/2027 (A) | 303 | 274 | ||||||
First Eagle Holdings, Term Loan | ||||||||
6.174%, 02/01/2027 | 253 | 239 | ||||||
Fleetcor Technologies Operating Company | ||||||||
4.865%, 04/28/2028 | 444 | 427 | ||||||
Focus Financial Partnersm LLC, Tranche B-3, Term Loan, 1st Lien | ||||||||
5.115%, LIBOR + 2.000%, 07/03/2024 (A)(K) | 590 | 575 | ||||||
Formula One Management Limited, Facility B3 (USD), 1st Lien | ||||||||
5.615%, LIBOR + 2.500%, 02/01/2024 (A) | 50 | 50 | ||||||
Four Seasons Holdings Inc., Term Loan 2013, 1st Lien | ||||||||
5.121%, 11/30/2023 (K) | 581 | 577 | ||||||
Froneri International Limited, Facility B2, 1st Lien | ||||||||
5.365%, LIBOR + 2.250%, 01/29/2027 (A) | 430 | 405 | ||||||
Gainwell Acquisition Corp., Term B Loan, 1st Lien | ||||||||
7.674%, LIBOR + 4.000%, 10/01/2027 (A) | 1,340 | 1,274 | ||||||
Garda World Security Corp | ||||||||
7.240%, LIBOR + 4.250%, 10/30/2026 (A) | 268 | 252 | ||||||
Genesee & Wyoming Inc., Initial Term Loan, 1st Lien | ||||||||
5.674%, LIBOR + 2.000%, 12/30/2026 (A) | 623 | 605 | ||||||
GFL Environmental, 2020 Refinancing Term Loan, 1st Lien | ||||||||
5.806%, 05/30/2025 (A)(K) | 56 | 56 | ||||||
Global Medical Response, Inc., 2020 Refinancing Term Loan, 1st Lien | ||||||||
6.814%, LIBOR + 4.750%, 10/02/2025 (A) | 711 | 615 | ||||||
Great Outdoors Group, LLC, Term B-2 Loan, 1st Lien | ||||||||
6.865%, 03/06/2028 (A) | 305 | 281 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
201
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September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Grifols Worldwide Operations Limited, Dollar Tranche B Term Loan, 1st Lien | ||||||||
5.115%, LIBOR + 2.000%, 11/15/2027 (A) | $ | 1,279 | $ | 1,211 | ||||
Harbor Freight Tools USA, Inc | ||||||||
5.865%, 10/19/2027 | 786 | 709 | ||||||
Hilton Worldwide Finance LLC, Refinanced Series B-2 Term Loan, 1st Lien | ||||||||
4.809%, LIBOR + 1.750%, 06/22/2026 (A) | 1,348 | 1,302 | ||||||
Horizon Therapeudics | ||||||||
4.875%, 03/15/2028 | 1,024 | 982 | ||||||
Hudson River Trading LLC, Term Loan, 1st Lien | ||||||||
6.164%, LIBOR + 3.000%, 03/20/2028 (A) | 443 | 400 | ||||||
Hunter Douglas, Term Loan | ||||||||
6.340%, 02/26/2029 | 370 | 303 | ||||||
Hunter Douglas, Term Loan, 1st Lien | ||||||||
6.340%, 02/26/2029 (A) | 1,007 | 824 | ||||||
Icon Public Limited Company, Lux Term Loan, 1st Lien | ||||||||
5.938%, 07/03/2028 (A)(K) | 690 | 673 | ||||||
Icon Public Limited Company, U.S. Term Loan, 1st Lien | ||||||||
5.938%, 07/03/2028 (A)(K) | 172 | 168 | ||||||
iHeartCommunications, Inc. (fka Clear Channel Communications, Inc.), New Term Loan, 1st Lien | ||||||||
6.115%, LIBOR + 3.000%, 05/01/2026 (A) | 802 | 751 | ||||||
Jane Street Group, LLC, Dollar Term Loan, 1st Lien | ||||||||
5.865%, LIBOR + 2.750%, 01/26/2028 (A) | 521 | 499 | ||||||
Jazz Pharmaceuticals Public Limited Company, Initial Dollar Term Loan, 1st Lien | ||||||||
6.615%, LIBOR + 3.500%, 05/05/2028 (A) | 1,033 | 997 | ||||||
Level 3 Financing, Inc., Tranche B 2027 Term Loan, 1st Lien | ||||||||
4.865%, LIBOR + 1.750%, 03/01/2027 (A)(K) | 120 | 114 | ||||||
Magenta Buyer LLC, Initial Term Loan, 1st Lien | ||||||||
7.870%, LIBOR + 5.000%, 07/27/2028 (A) | 1,509 | 1,358 | ||||||
Mozart Debt Merger, Term Loan, 1st Lien | ||||||||
6.365%, LIBOR + 3.250%, 10/23/2028 (A)(K) | 1,005 | 922 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Nexstar Broadcasting, Inc., Term B-4 Loan, 1st Lien | ||||||||
5.615%, 09/18/2026 (A) | $ | 874 | $ | 860 | ||||
Numericable U.S. LLC, Term Loan B, 1st Lien | ||||||||
6.200%, 01/31/2026 (A) | 211 | 191 | ||||||
Parexel International, Term Loan, 1st Lien | ||||||||
6.365%, LIBOR + 3.250%, 11/15/2028 (A) | 468 | 445 | ||||||
PCI Gaming Authority, Term B Facility Loan | ||||||||
5.615%, 05/29/2026 (A) | 429 | 416 | ||||||
Peraton Corp., Term B Loan, 1st Lien | ||||||||
6.865%, LIBOR + 3.750%, 02/01/2028 (A)(K) | 1,132 | 1,070 | ||||||
Petco Health and Wellness Co., Inc., Initial Term Loan, 1st Lien | ||||||||
6.924%, LIBOR + 3.250%, 03/03/2028 (A) | 461 | 435 | ||||||
Phoenix Guarantor Inc., Tranche B-1 Term Loan, 1st Lien | ||||||||
6.365%, LIBOR + 3.250%, 03/05/2026 (A) | 1,285 | 1,215 | ||||||
Pilot Travel Centers, LLC, Initial Tranche B Term Loan | ||||||||
5.134%, 08/04/2028 (A) | 1,822 | 1,740 | ||||||
Prime Security Services Borrower, LLC, 2021 Refinancing Term B-1 Loan, 1st Lien | ||||||||
5.303%, LIBOR + 2.750%, 09/23/2026 (A)(K) | 717 | 693 | ||||||
Project Sky, Term Loan, 1st Lien | ||||||||
6.865%, 10/08/2028 (A) | 338 | 296 | ||||||
Quikrete Holding, Term Loan B1, 1st Lien | ||||||||
6.115%, 06/11/2028 (A) | 458 | 440 | ||||||
Rackspace Technology Global, Inc., 2021 Term B Loan, 1st Lien | ||||||||
5.617%, 02/15/2028 | 374 | 265 | ||||||
Realpage Inc. | ||||||||
6.274%, 04/24/2028 (A) | 1,040 | 972 | ||||||
Regionalcare Hospital Partners Holdings, Inc., Term B Loan, 1st Lien | ||||||||
6.871%, LIBOR + 3.750%, 11/16/2025 (A)(K) | 478 | 444 | ||||||
Reynolds Consumer Products LLC, Initial Term Loan, 1st Lien | ||||||||
4.865%, LIBOR + 1.750%, 02/04/2027 (A) | 1,062 | 1,020 | ||||||
Scientific Games/Lights & Wonder | ||||||||
5.906%, 04/14/2029 (A) | 898 | 870 | ||||||
Seattle SpinCo, Inc., Initial Term Loan, 1st Lien | ||||||||
5.865%, LIBOR + 2.500%, 06/21/2024 (A) | 44 | 43 | ||||||
Setanta Aircraft | ||||||||
5.674%, 11/05/2028 | 1,060 | 1,033 |
202
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Sotera Health Holdings, LLC, Refinancing Loan, 1st Lien | ||||||||
5.865%, 12/11/2026 (A) | $ | 1,370 | $ | 1,199 | ||||
Station Casinos LLC | ||||||||
5.370%, 02/08/2027 (A)(K) | 669 | 639 | ||||||
Terrier Media Buyer, Inc., 2021 Term B Loan, 1st Lien | ||||||||
6.615%, LIBOR + 3.500%, 12/17/2026 (A) | 512 | 478 | ||||||
Transdigm Inc. | ||||||||
5.924%, 12/09/2025 (A) | 49 | 47 | ||||||
Triton Water Holdings, Inc., Initial Term Loan, 1st Lien | ||||||||
7.174%, LIBOR + 3.500%, 03/31/2028 (A) | 810 | 725 | ||||||
UFC Holdings, Term Loan, 1st Lien | ||||||||
5.520%, 04/29/2026 | 846 | 812 | ||||||
United AirLines, Inc., Class B Term Loan, 1st Lien | ||||||||
6.533%, LIBOR + 3.750%, 04/21/2028 (A) | 818 | 779 | ||||||
Verscend Holding Corp., Term B-1 Loan, 1st Lien | ||||||||
7.115%, LIBOR + 4.000%, 08/27/2025 (A) | 382 | 369 | ||||||
VFH Parent, Initial Term Loan | ||||||||
6.118%, 01/13/2029 (A) | 410 | 392 | ||||||
Virgin Media Bristol LLC, N Facility, 1st Lien | ||||||||
5.318%, LIBOR + 2.500%, 01/31/2028 (A) | 1,327 | 1,264 | ||||||
XPO Logistics, Inc., Term Loan B, 1st Lien | ||||||||
4.383%, 02/24/2025 (A) | 550 | 534 | ||||||
Zayo Group Holdings, Inc., Initial Dollar Term Loan, 1st Lien | ||||||||
6.115%, LIBOR + 3.000%, 03/09/2027 (A) | 570 | 475 | ||||||
Zebra Buyer LLC | ||||||||
6.313%, 11/01/2028 (A) | 449 | 435 | ||||||
Total Loan Participations | ||||||||
(Cost $58,795) ($ Thousands) | 55,351 | |||||||
SOVEREIGN DEBT — 1.5% | ||||||||
Abu Dhabi Government International Bond | ||||||||
2.500%, 10/11/2022(D) | 1,010 | 1,009 | ||||||
Airport Authority | ||||||||
3.250%, 01/12/2052(D) | 1,360 | 983 |
Description | Face Amount | Market Value | ||||||
SOVEREIGN DEBT (continued) | ||||||||
Argentine Republic Government International Bond | ||||||||
3.500%, 07/09/2041(C) | $ | 1,460 | $ | 311 | ||||
1.500%, 07/09/2035(C) | 2,515 | 455 | ||||||
1.000%, 07/09/2029 | 203 | 39 | ||||||
0.500%, 07/09/2030(C) | 1,216 | 243 | ||||||
Bermuda Government International Bond | ||||||||
5.000%, 07/15/2032(D) | 339 | 322 | ||||||
Brazilian Government International Bond | ||||||||
5.000%, 01/27/2045(F) | 3,400 | 2,467 | ||||||
4.750%, 01/14/2050 | 1,300 | 884 | ||||||
4.625%, 01/13/2028 | 2,890 | 2,682 | ||||||
2.625%, 01/05/2023 | 200 | 199 | ||||||
Buenos Aires Government International Bond MTN | ||||||||
5.250%, 09/01/2037(C)(D) | 889 | 275 | ||||||
Chile Government International Bond | ||||||||
4.340%, 03/07/2042(F) | 254 | 201 | ||||||
China Government Bond | ||||||||
3.390%, 05/21/2025 | CNY | 2,000 | 288 | |||||
3.310%, 11/30/2025 | 11,500 | 1,656 | ||||||
Colombia Government International Bond | ||||||||
5.625%, 02/26/2044 | $ | 660 | 436 | |||||
5.000%, 06/15/2045 | 830 | 502 | ||||||
4.125%, 02/22/2042 | 680 | 387 | ||||||
3.250%, 04/22/2032 | 670 | 453 | ||||||
Export-Import Bank of India | ||||||||
3.375%, 08/05/2026(D)(F) | 350 | 324 | ||||||
Export-Import Bank of Korea | ||||||||
4.500%, 09/15/2032 | 407 | 395 | ||||||
Indonesia Government International Bond | ||||||||
4.650%, 09/20/2032(F) | 631 | 592 | ||||||
3.700%, 10/30/2049(F) | 970 | 682 | ||||||
Indonesia Treasury Bond | ||||||||
6.500%, 02/15/2031 | IDR | 100,717,000 | 6,251 | |||||
6.375%, 04/15/2032 | 58,803,000 | 3,590 | ||||||
Israel Government International Bond | ||||||||
3.375%, 01/15/2050 | $ | 280 | 207 | |||||
2.750%, 07/03/2030 | 470 | 416 | ||||||
Kenya Government International Bond | ||||||||
7.250%, 02/28/2028(D) | 200 | 145 | ||||||
6.875%, 06/24/2024 | 200 | 169 | ||||||
6.300%, 01/23/2034(D)(F) | 960 | 586 | ||||||
Korea Hydro & Nuclear Power | ||||||||
4.250%, 07/27/2027(D) | 635 | 611 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
203
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
SOVEREIGN DEBT (continued) | ||||||||
Mexico Government International Bond | ||||||||
6.050%, 01/11/2040(F) | $ | 1,210 | $ | 1,119 | ||||
4.875%, 05/19/2033 | 1,292 | 1,136 | ||||||
4.750%, 03/08/2044 | 10,080 | 7,724 | ||||||
4.600%, 02/10/2048 | 200 | 146 | ||||||
4.500%, 04/22/2029(F) | 764 | 706 | ||||||
4.400%, 02/12/2052(F) | 1,020 | 702 | ||||||
3.750%, 01/11/2028(F) | 390 | 358 | ||||||
3.500%, 02/12/2034(F) | 398 | 302 | ||||||
2.659%, 05/24/2031(F) | 3,760 | 2,883 | ||||||
Nigeria Government International Bond | ||||||||
7.143%, 02/23/2030(D) | 240 | 156 | ||||||
6.500%, 11/28/2027(D)(F) | 220 | 159 | ||||||
Panama Government International Bond | ||||||||
4.500%, 04/01/2056 | 540 | 364 | ||||||
2.252%, 09/29/2032 | 620 | 436 | ||||||
Paraguay Government International Bond | ||||||||
5.400%, 03/30/2050(D) | 591 | 435 | ||||||
4.950%, 04/28/2031(D) | 234 | 208 | ||||||
3.849%, 06/28/2033(D)(F) | 597 | 467 | ||||||
Peruvian Government International Bond | ||||||||
5.625%, 11/18/2050(F) | 600 | 565 | ||||||
3.600%, 01/15/2072(F) | 173 | 104 | ||||||
3.000%, 01/15/2034 | 222 | 167 | ||||||
2.783%, 01/23/2031 | 300 | 238 | ||||||
Province of Quebec Canada | ||||||||
2.625%, 02/13/2023 | 620 | 617 | ||||||
Province of Saskatchewan Canada | ||||||||
3.250%, 06/08/2027 | 444 | 421 | ||||||
Republic of Italy Government International Bond | ||||||||
3.875%, 05/06/2051 | 237 | 160 | ||||||
Russian Federal Bond - OFZ | ||||||||
8.150%, 02/03/2027(H) | RUB | 315,940 | 1,628 | |||||
7.700%, 03/16/2039(H) | 162,070 | 835 | ||||||
7.650%, 04/10/2030(H) | 63,630 | 328 | ||||||
7.250%, 05/10/2034(H) | 24,200 | 125 | ||||||
7.000%, 01/25/2023(H) | 34,160 | 176 | ||||||
7.000%, 08/16/2023(H) | 231,430 | 1,193 | ||||||
6.900%, 05/23/2029(H) | 452,100 | 2,330 | ||||||
Russian Foreign Bond - Eurobond | ||||||||
7.500%, 03/31/2030(H) | $ | 206 | 147 | |||||
5.625%, 04/04/2042(H) | 2,000 | 1,060 | ||||||
4.875%, 09/16/2023(H) | 200 | 134 | ||||||
Total Sovereign Debt | ||||||||
(Cost $81,554) ($ Thousands) | 55,289 | |||||||
Description | Face Amount | Market Value | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.9% | ||||||||
FHLB | ||||||||
1.610%, 09/04/2024 | $ | 3,355 | $ | 3,174 | ||||
1.040%, 06/14/2024 | 13,660 | 12,893 | ||||||
FHLMC MTN | ||||||||
0.000%, 12/14/2029(B) | 1,213 | 897 | ||||||
FNMA | ||||||||
5.500%, 11/15/2052 | 6,700 | 6,644 | ||||||
0.500%, 06/17/2025 | 4,215 | 3,809 | ||||||
0.000%, 11/15/2030(B) | 3,564 | 2,526 | ||||||
Resolution Funding Interest | ||||||||
0.000%, 01/15/2030(B) | 905 | 664 | ||||||
Resolution Funding Principal | ||||||||
0.000%, 04/15/2030(B) | 1,165 | 843 | ||||||
Tennessee Valley Authority | ||||||||
0.750%, 05/15/2025 | 1,055 | 962 | ||||||
Total U.S. Government Agency Obligations | ||||||||
(Cost $35,024) ($ Thousands) | 32,412 | |||||||
MUNICIPAL BONDS — 0.3% | ||||||||
California — 0.0% | ||||||||
California State University, Ser B, RB | ||||||||
2.374%, 11/01/2035 | 685 | 499 | ||||||
California State, Health Facilities Financing Authority, RB | ||||||||
3.000%, 08/15/2051 | 785 | 543 | ||||||
Regents of the University of California Medical Center Pooled Revenue, Ser N, RB | ||||||||
3.256%, 05/15/2060 | 790 | 517 | ||||||
1,559 | ||||||||
Georgia — 0.1% | ||||||||
Georgia State, Municipal Electric Authority, RB | ||||||||
7.055%, 04/01/2057 | 1,052 | 1,088 | ||||||
Michigan — 0.0% | ||||||||
University of Michigan, Ser A, RB | ||||||||
3.504%, 04/01/2052 | 530 | 406 | ||||||
Nevada — 0.1% | ||||||||
Clark County, Department of Aviation, Ser C, RB | ||||||||
6.820%, 07/01/2045 | 728 | 868 | ||||||
New York — 0.1% | ||||||||
Metropolitan New York, Transportation Authority, Ser C2, RB | ||||||||
5.175%, 11/15/2049 | 260 | 231 |
204
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
MUNICIPAL BONDS (continued) | ||||||||
New York and New Jersey, Port Authority, RB | ||||||||
4.458%, 10/01/2062 | $ | 505 | $ | 441 | ||||
New York City, Ser D, GO | ||||||||
2.223%, 08/01/2035 | 1,350 | 968 | ||||||
1.823%, 08/01/2030 | 610 | 479 | ||||||
New York City, Transitional Finance Authority Future Tax Secured Revenue, Sub-Ser B-3, RB | ||||||||
2.000%, 08/01/2035 | 1,000 | 684 | ||||||
New York City, Transitional Finance Authority Future Tax Secured Revenue, Sub-Ser D-3, RB | ||||||||
2.400%, 11/01/2032 | 610 | 476 | ||||||
New York City, Transitional Finance Authority, Future Tax Secured Revenue, Sub-Ser, RB | ||||||||
5.508%, 08/01/2037 | 275 | 281 | ||||||
New York State, Dormitory Authority, RB | ||||||||
5.289%, 03/15/2033 | 850 | 857 | ||||||
4,417 | ||||||||
Ohio — 0.0% | ||||||||
Ohio State University, Ser A, RB | ||||||||
4.800%, 06/01/2111 | 433 | 374 | ||||||
Texas — 0.0% | ||||||||
Board of Regents of the University of Texas System, Ser B, RB | ||||||||
2.439%, 08/15/2049 | 295 | 182 | ||||||
North Texas, Tollway Authority, Ser B, RB | ||||||||
6.718%, 01/01/2049 | 632 | 750 | ||||||
932 | ||||||||
Virginia — 0.0% | ||||||||
University of Virginia, RB | ||||||||
2.256%, 09/01/2050 | 480 | 286 | ||||||
Total Municipal Bonds | ||||||||
(Cost $12,212) ($ Thousands) | 9,930 |
Description |
| Market Value | ||||||
AFFILIATED PARTNERSHIP — 7.0% | ||||||||
SEI Liquidity Fund, LP | ||||||||
2.930% **†(L) | 254,742,915 | $ | 254,770 | |||||
Total Affiliated Partnership | ||||||||
(Cost $254,754) ($ Thousands) | 254,770 | |||||||
CASH EQUIVALENT — 3.2% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
2.600%**† | 113,747,956 | 113,748 | ||||||
Total Cash Equivalent | ||||||||
(Cost $113,748) ($ Thousands) | 113,748 | |||||||
PURCHASED OPTIONS — 0.0% | ||||||||
Total Purchased Options | ||||||||
(Cost $1,116) ($ Thousands) | 520 | |||||||
Total Investments in Securities — 117.2% | ||||||||
(Cost $4,710,228) ($ Thousands) | $ | 4,226,203 | ||||||
WRITTEN OPTIONS — (0.1)% | ||||||||
Total Written Options | ||||||||
(Premiums Received $2,554) ($ Thousands) | $ | (5,339 | ) |
A list of the exchange traded option contracts held by the Fund at September 30, 2022, is as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||
PURCHASED OPTIONS — 0.0% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
USD P/CAD C | 3,270,000 | $ | 4,153 | $ | 1.27 | 10/22/2022 | $ | – | ||||||||||||
USD P/CAD C | 3,263,000 | 4,138 | 1.27 | 10/22/2022 | – | |||||||||||||||
USD P/CAD C | 1,086,000 | 1,376 | 1.27 | 10/22/2022 | – | |||||||||||||||
USD P/CAD C | 1,086,000 | 1,374 | 1.27 | 10/22/2022 | – | |||||||||||||||
USD P/CAD C | 2,237,000 | 2,834 | 1.27 | 10/22/2022 | – |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
205
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||
PURCHASED OPTIONS (continued) | ||||||||||||||||||||
USD P/JPY C 131.5 | 1,967,491 | $ | 258,725 | $ | 131.50 | 10/22/2022 | $ | – | ||||||||||||
USD P/JPY C131.39 | 1,760,750 | 231,345 | 131.39 | 10/22/2022 | – | |||||||||||||||
USD P/JPY C131.55 | 5,923,553 | 779,244 | 131.55 | 10/22/2022 | – | |||||||||||||||
1,283,189 | – | |||||||||||||||||||
Call Options | ||||||||||||||||||||
December 2022, IMM Eurodollar Future Option | 449 | 110,426 | 98.38 | 12/17/2022 | 8 | |||||||||||||||
December 2022, SOFR 1yr MidCurve Dec22C 95.75 | 276 | 66,067 | 95.75 | 12/17/2022 | 243 | |||||||||||||||
December 2022, SOFR 1yr MidCurve Dec22C 96.5 | 156 | 37,635 | 96.50 | 12/17/2022 | 40 | |||||||||||||||
November 2022, U.S. 10 Year Future Option | 227 | 25,537 | 112.50 | 10/22/2022 | 202 | |||||||||||||||
November 2022, U.S. 10 Year Future Option | 224 | 26,096 | 116.50 | 10/22/2022 | 25 | |||||||||||||||
November 2022, U.S. 5 Year Future Option | 55 | 6,133 | 111.50 | 10/22/2022 | 2 | |||||||||||||||
271,894 | 520 | |||||||||||||||||||
Total Purchased Options | $ | 1,555,083 | $ | 520 | ||||||||||||||||
WRITTEN OPTIONS — (0.1)% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
December 2022, IMM Eurodollar Future Option | (449 | ) | $ | (110,145 | ) | 98.13 | 12/17/22 | $ | (3,160 | ) | ||||||||||
June 2023, IMM Eurodollar Future Option | (95 | ) | (23,038 | ) | 97.00 | 06/17/23 | (412 | ) | ||||||||||||
November 2022, U.S. 10 Year Future Option | (232 | ) | (26,332 | ) | 113.50 | 10/22/22 | (457 | ) | ||||||||||||
USD P/GBP C 1.0825 12/23/22 | (1,230,000 | ) | (1,332 | ) | 1.08 | 12/17/22 | (263 | ) | ||||||||||||
USD P/GBP C EXPIRATION: 10/28/22 | (2,731,201 | ) | (3,293 | ) | 1.21 | 10/22/22 | – | |||||||||||||
USD P/GBP C EXPIRATION: 12/23/22 | (1,187,000 | ) | (1,329 | ) | 1.12 | 12/17/22 | (302 | ) | ||||||||||||
$ | (165,469 | ) | (4,594 | ) | ||||||||||||||||
Call Options | ||||||||||||||||||||
December 2023, 3 Month SOFR OPT Dec23C 96.5 | (276 | ) | (66,585 | ) | 96.50 | 12/16/23 | (298 | ) | ||||||||||||
December 2023, 3 Month SOFR OPT Dec23C 96.63 | (52 | ) | (12,561 | ) | 96.63 | 12/16/23 | (52 | ) | ||||||||||||
September 2023, 3 Month SOFR OPT Sep23C 98.75 | (164 | ) | (40,488 | ) | 98.75 | 09/16/23 | (21 | ) | ||||||||||||
December 2022, IMM Eurodollar Future Option | (193 | ) | (46,561 | ) | 96.50 | 12/17/22 | (12 | ) | ||||||||||||
December 2022, IMM Eurodollar Future Option | (780 | ) | (189,150 | ) | 97.00 | 12/17/22 | (34 | ) | ||||||||||||
December 2022, IMM Eurodollar Future Option | (449 | ) | (110,145 | ) | 98.13 | 12/17/22 | (8 | ) | ||||||||||||
June 2023, IMM Eurodollar Future Option | (124 | ) | (30,225 | ) | 97.50 | 06/17/23 | (19 | ) | ||||||||||||
December 2022, U.S. 10 Year Future Option | (454 | ) | (52,437 | ) | 115.50 | 11/19/22 | (227 | ) | ||||||||||||
December 2022, U.S. 10 Year Future Option | (448 | ) | (53,536 | ) | 119.50 | 11/19/22 | (56 | ) | ||||||||||||
November 2022, U.S. 10 Year Future Option | (391 | ) | (46,529 | ) | 119.00 | 10/22/22 | (18 | ) | ||||||||||||
(648,217 | ) | (745 | ) | |||||||||||||||||
Total Written Options | $ | (813,686 | ) | $ | (5,339 | ) |
A list of the open futures contracts held by the Fund at September 30, 2022, is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
3 Month Euribor | 194 | Dec-2022 | $ | 50,783 | $ | 46,447 | $ | (757 | ) | |||||||||||
3 MONTH SOFR FUT DEC24 | 384 | Mar-2025 | 93,054 | 92,462 | (592 | ) | ||||||||||||||
90-Day Euro$ | 103 | Mar-2023 | 24,480 | 24,538 | 58 | |||||||||||||||
90-Day Euro$ | 137 | Jun-2023 | 33,073 | 32,652 | (421 | ) | ||||||||||||||
90-Day Euro$ | 940 | Dec-2022 | 229,522 | 223,979 | (5,543 | ) | ||||||||||||||
90-Day Euro$ | 102 | Dec-2023 | 24,906 | 24,355 | (551 | ) |
206
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Euro-Bobl | 36 | Dec-2022 | $ | 4,385 | $ | 4,223 | $ | (101 | ) | |||||||||||
Euro-OAT | 69 | Dec-2022 | 9,478 | 8,931 | (414 | ) | ||||||||||||||
Three-Month SOFR | 5 | Sep-2023 | 1,206 | 1,195 | (11 | ) | ||||||||||||||
U.S. 2-Year Treasury Note | 910 | Jan-2023 | 189,365 | 186,905 | (2,460 | ) | ||||||||||||||
U.S. 5-Year Treasury Note | 4,946 | Jan-2023 | 549,434 | 531,734 | (17,700 | ) | ||||||||||||||
U.S. Long Treasury Bond | 339 | Dec-2022 | 46,278 | 42,851 | (3,427 | ) | ||||||||||||||
U.S. Ultra Long Treasury Bond | 341 | Dec-2022 | 50,242 | 46,717 | (3,525 | ) | ||||||||||||||
1,306,206 | 1,266,989 | (35,444 | ) | |||||||||||||||||
Short Contracts | ||||||||||||||||||||
3 MONTH SOFR FUT DEC23 | (759 | ) | Mar-2024 | (182,668 | ) | (181,723 | ) | 945 | ||||||||||||
90-Day Euro$ | (323 | ) | Mar-2025 | (79,034 | ) | (77,617 | ) | 1,417 | ||||||||||||
Euro-Bund | (37 | ) | Dec-2022 | (5,310 | ) | (5,020 | ) | 216 | ||||||||||||
Euro-Buxl | (4 | ) | Dec-2022 | (637 | ) | (575 | ) | 54 | ||||||||||||
U.S. 2-Year Treasury Note | (539 | ) | Dec-2022 | (111,985 | ) | (110,705 | ) | 1,280 | ||||||||||||
U.S. 10-Year Treasury Note | (1,745 | ) | Dec-2022 | (204,158 | ) | (195,549 | ) | 8,609 | ||||||||||||
U.S. Long Treasury Bond | (129 | ) | Dec-2022 | (17,561 | ) | (16,307 | ) | 1,254 | ||||||||||||
Ultra 10-Year U.S. Treasury Note | (487 | ) | Dec-2022 | (60,940 | ) | (57,702 | ) | 3,238 | ||||||||||||
Ultra 10-Year U.S. Treasury Note | (21 | ) | Dec-2022 | (2,484 | ) | (2,488 | ) | (4 | ) | |||||||||||
(664,777 | ) | (647,686 | ) | 17,009 | ||||||||||||||||
$ | 641,429 | $ | 619,303 | $ | (18,435 | ) |
A list of the open forward foreign currency contracts held by the Fund at September 30, 2022, is as follows:
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
BNP Paribas | 10/18/22 | EUR | 4,521 | NOK | 46,790 | $ | (139 | ) | ||||||||||||||||
BNP Paribas | 10/18/22 | USD | 11,074 | JPY | 1,498,110 | (705 | ) | |||||||||||||||||
BNP Paribas | 10/18/22 | EUR | 14,428 | USD | 14,626 | 475 | ||||||||||||||||||
Citigroup | 10/11/22 | JPY | 69,644 | USD | 516 | 35 | ||||||||||||||||||
Citigroup | 10/12/22 | CAD | 2,969 | USD | 2,326 | 166 | ||||||||||||||||||
Citigroup | 10/18/22 | USD | 150 | EUR | 147 | (6 | ) | |||||||||||||||||
Citigroup | 10/18/22 | USD | 6,171 | IDR | 93,241,327 | (61 | ) | |||||||||||||||||
Citigroup | 10/18/22 | USD | 12,792 | AUD | 18,672 | (786 | ) | |||||||||||||||||
Citigroup | 10/18/22 | USD | 37,101 | CAD | 48,071 | (2,116 | ) | |||||||||||||||||
Citigroup | 10/18/22 | CNH | 52,111 | USD | 7,773 | 461 | ||||||||||||||||||
Citigroup | 10/18/22 | IDR | 94,000,873 | USD | 6,260 | 100 | ||||||||||||||||||
Goldman Sachs | 10/07/22 - 10/11/22 | JPY | 324,685 | USD | 2,407 | 162 | ||||||||||||||||||
Goldman Sachs | 10/17/22 - 10/18/22 | CAD | 11,117 | USD | 8,416 | 325 | ||||||||||||||||||
Goldman Sachs | 10/18/22 - 12/28/22 | GBP | 1,167 | USD | 1,271 | (33 | ) | |||||||||||||||||
Goldman Sachs | 12/28/22 | USD | 727 | GBP | 672 | 23 | ||||||||||||||||||
Goldman Sachs | 10/18/22 | USD | 2,113 | GBP | 1,753 | (156 | ) | |||||||||||||||||
Goldman Sachs | 10/18/22 | AUD | 4,900 | USD | 3,285 | 134 | ||||||||||||||||||
Goldman Sachs | 10/18/22 | COP | 5,189,635 | USD | 1,174 | 48 | ||||||||||||||||||
Morgan Stanley | 10/11/22 - 10/18/22 | CAD | 3,456 | USD | 2,649 | 133 | ||||||||||||||||||
Morgan Stanley | 10/18/22 | EUR | 300 | USD | 296 | 2 | ||||||||||||||||||
Morgan Stanley | 10/18/22 | USD | 997 | EUR | 1,000 | (17 | ) | |||||||||||||||||
Morgan Stanley | 10/18/22 | USD | 3,517 | CNH | 25,330 | 37 | ||||||||||||||||||
Morgan Stanley | 12/28/22 | GBP | 41 | USD | 45 | — | ||||||||||||||||||
Morgan Stanley | 12/28/22 | USD | 573 | GBP | 517 | 5 | ||||||||||||||||||
Morgan Stanley | 01/18/23 | CNH | 25,330 | USD | 3,526 | (37 | ) | |||||||||||||||||
$ | (1,950 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
207
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Continued)
A list of the open centrally cleared swap agreements held by the Fund at September 30, 2022, is as follows:
Interest Rate Swaps | ||||||||||||||||||||||||||||||||
Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | ||||||||||||||||||||||||
.97 | USA-CPI-U | Annual | 11/18/2023 | USD | 12,250 | $ | 761 | $ | (39 | ) | $ | 800 | ||||||||||||||||||||
3 MONTH USD - LIBOR | 1.785% | Semi-Annual | 07/24/2053 | USD | 1,920 | 530 | – | 530 | ||||||||||||||||||||||||
1.8075 | 3 MONTH USD - LIBOR | Semi-Annual | 07/24/2053 | USD | 1,300 | 353 | – | 353 | ||||||||||||||||||||||||
.5 | SD-SOFR-OIS-COMPOUND | Annual | 04/21/2052 | USD | 5,290 | 578 | 9 | 569 | ||||||||||||||||||||||||
2.62% FIXED | USD-SOFR-OIS COMPOUND | Monthly | 02/15/2048 | USD | 5,315 | 520 | 6 | 514 | ||||||||||||||||||||||||
0.026% FIXED | USD-SOFR-OIS-COMPOUND | Annual | 02/15/2048 | USD | 4,412 | 437 | 303 | 134 | ||||||||||||||||||||||||
2.51% FIXED | USD-SOFR-OIS COMPOUND | Monthly | 02/15/2048 | USD | 4,321 | 504 | 29 | 475 | ||||||||||||||||||||||||
.65 | SD-SOFR-OIS-COMPOUND | Annual | 08/15/2047 | USD | 560 | 146 | 55 | 91 | ||||||||||||||||||||||||
.63 | USD-SOFR-OIS-COMPOUND | Annual | 05/15/2047 | USD | 7,680 | 2,030 | 336 | 1,694 | ||||||||||||||||||||||||
1.52% FIXED | USD-SOFR-COMPOUND 2/15/47 | Annual | 02/15/2047 | USD | 5,559 | 1,567 | (63 | ) | 1,630 | |||||||||||||||||||||||
1.72875% FIXED | CMENA IR 2/15/47 | Annual | 02/15/2047 | USD | 5,240 | 1,297 | 62 | 1,235 | ||||||||||||||||||||||||
0.56% | USD-SOFRRATE | Annual | 07/20/2045 | USD | 8,660 | 3,709 | 101 | 3,608 | ||||||||||||||||||||||||
SD-SOFR-OIS COMPOUND | Annual | 03/18/2032 | USD | 5,870 | 739 | 36 | 703 | |||||||||||||||||||||||||
1.7334% | USD LIBOR BBA | Annual | 10/20/2031 | USD | 10,870 | 678 | 39 | 639 | ||||||||||||||||||||||||
0.0327% FIXED | USD-SOFR-OIS COMPOUND | Annual | 04/30/2029 | USD | 25,097 | 624 | (307 | ) | 931 | |||||||||||||||||||||||
LE - 2.85% FIXED | USD-SOFR-OIS COMPOUND | Annual | 02/15/2029 | USD | 10,144 | 493 | (19 | ) | 512 | |||||||||||||||||||||||
.22% FIXED | SD-SOFR-OIS-COMPOUND | Annual | 08/15/2028 | USD | 9,318 | 1,230 | (1 | ) | 1,231 | |||||||||||||||||||||||
1.113% | SOFR- COMPOUNDING | Annual | 08/15/2028 | USD | 21,686 | 2,964 | 135 | 2,829 | ||||||||||||||||||||||||
0.71 % FIXED | USD-SOFR-COMPOUND 5/15/2027 | Annual | 05/15/2027 | USD | 9,281 | 1,219 | – | 1,219 | ||||||||||||||||||||||||
.52 | USD-SOFR-OIS-COMPOUND | Annual | 11/20/2026 | USD | 13,910 | 825 | (28 | ) | 853 | |||||||||||||||||||||||
.37 | SA-CPI-U | Annual | 11/18/2026 | USD | 12,250 | (506 | ) | 160 | (666 | ) | ||||||||||||||||||||||
M LIBOR | .39 FIXED | Semi-Annual | 09/28/2025 | USD | 35,750 | (1,820 | ) | – | (1,820 | ) | ||||||||||||||||||||||
3 MONTH USD - LIBOR | .0725 | Semi-Annual | 07/24/2025 | USD | 15,555 | (912 | ) | – | (912 | ) | ||||||||||||||||||||||
3 MONTH USD - LIBOR | .0355% | Semi-Annual | 07/24/2025 | USD | 23,015 | (1,365 | ) | – | (1,365 | ) | ||||||||||||||||||||||
3 MONTH USD - LIBOR | .0255 | Semi-Annual | 07/24/2025 | USD | 31,110 | (1,850 | ) | – | (1,850 | ) | ||||||||||||||||||||||
VE - FIXED 1.95% | SECURED ON FINANCING RATE | Annual | 06/10/2024 | USD | 66,350 | (2,471 | ) | – | (2,471 | ) | ||||||||||||||||||||||
3M USD LIBOR | 1.7725% | Semi-Annual | 07/24/2053 | USD | 2,600 | 724 | – | 724 | ||||||||||||||||||||||||
3MLIBOR | .87% FIXED | Semi-Annual | 09/28/2053 | USD | 3,050 | 780 | – | 780 | ||||||||||||||||||||||||
$ | 13,784 | $ | 814 | $ | 12,970 |
Credit Default Swap - Buy Protection | ||||||||||||||||||||||||||||
Reference Entity/ Obligation | Pay Rate | Payment Frequency | Termination Date | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | |||||||||||||||||||||
CDS-MARKITCDX100.0BP5.2YR | 5.00% | Quarterly | 12/20/2027 | $ | 1,821 | $ | 74 | $ | 74 | $ | – |
Credit Default Swap - Sell Protection | ||||||||||||||||||||||||||||
Reference Entity/ Obligation | Receive Rate | Payment Frequency | Termination Date | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | |||||||||||||||||||||
CDS-CDX.NA.HY.39 | 1.00% | Quarterly | 12/20/2027 | $ | 182,199 | $ | (654 | ) | $ | (138 | ) | $ | (516 | ) |
| Percentages are based on Net Assets of $3,605,696 ($ Thousands). |
** | The rate reported is the 7-day effective yield as of September 30, 2022. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(B) | Zero coupon security. |
208
SEI Institutional Managed Trust / Annual Report / September 30, 2022
(C) | Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
(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, 2022, the value of these securities amounted to $589,147 ($ Thousands), representing 16.3% of the Net Assets of the Fund. |
(E) | No interest rate available. |
(F) | Certain securities or partial positions of certain securities are on loan at September 30, 2022 (see Note 12). The total market value of securities on loan at September 30, 2022 was $247,121 ($ Thousands). |
(G) | Perpetual security with no stated maturity date. |
(H) | Security is in default on interest payment. |
(I) | Interest rate represents the security's effective yield at the time of purchase. |
(J) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. The total market value of such securities as of September 30, 2022 was $1,455 ($ Thousands). |
(K) | Unsettled bank loan. Interest rate may not be available. |
(L) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of September 30, 2022 was $254,770 ($ Thousands). |
The following is a summary of the level of inputs used as of September 30, 2022, 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 | – | 1,347,706 | – | 1,347,706 | ||||||||||||
Corporate Obligations | – | 1,156,803 | – | 1,156,803 | ||||||||||||
U.S. Treasury Obligations | – | 868,797 | – | 868,797 | ||||||||||||
Asset-Backed Securities | – | 330,877 | – | 330,877 | ||||||||||||
Loan Participations | – | 55,351 | – | 55,351 | ||||||||||||
Sovereign Debt | – | 55,289 | – | 55,289 | ||||||||||||
U.S. Government Agency Obligations | – | 32,412 | – | 32,412 | ||||||||||||
Municipal Bonds | – | 9,930 | – | 9,930 | ||||||||||||
Affiliated Partnership | – | 254,770 | – | 254,770 | ||||||||||||
Cash Equivalent | 113,748 | – | – | 113,748 | ||||||||||||
Purchased Options | 520 | – | – | 520 | ||||||||||||
Total Investments in Securities | 114,268 | 4,111,935 | – | 4,226,203 |
Other Financial Instruments | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Written Options | (5,339 | ) | – | – | (5,339 | ) | ||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 17,071 | – | – | 17,071 | ||||||||||||
Unrealized Depreciation | (35,506 | ) | – | – | (35,506 | ) | ||||||||||
Forward Contracts* | ||||||||||||||||
Unrealized Appreciation | – | 2,106 | – | 2,106 | ||||||||||||
Unrealized Depreciation | – | (4,056 | ) | – | (4,056 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 22,054 | – | 22,054 | ||||||||||||
Unrealized Depreciation | – | (9,084 | ) | – | (9,084 | ) | ||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Depreciation | – | (516 | ) | – | (516 | ) | ||||||||||
Total Other Financial Instruments | (23,774 | ) | 10,504 | – | (13,270 | ) |
* | Futures contracts, forward contracts and swaps contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
209
SCHEDULE OF INVESTMENTS
September 30, 2022
Core Fixed Income Fund (Concluded)
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2022 ($ Thousands):
Security Description | Value 9/30/2021 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/(Depreciation) | Value 9/30/2022 | Shares | Income | Capital Gains | |||||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 80,566 | $ | 1,510,689 | $ | (1,336,459 | ) | $ | (24 | ) | $ | (2 | ) | $ | 254,770 | 254,742,915 | $ | 195 | $ | — | ||||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | 222,427 | 4,026,469 | (4,135,148 | ) | — | — | 113,748 | 113,747,956 | 619 | 4 | ||||||||||||||||||||||||||
Totals | $ | 302,993 | $ | 5,537,158 | $ | (5,471,607 | ) | $ | (24 | ) | $ | (2 | ) | $ | 368,518 | $ | 814 | $ | 4 |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
210
SEI Institutional Managed Trust / Annual Report / September 30, 2022
SCHEDULE OF INVESTMENTS
September 30, 2022
High Yield Bond Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, and swap contracts, if applicable. |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS — 76.5% | ||||||||
Communication Services — 10.1% | ||||||||
Alphabet | ||||||||
2.250%, 08/15/2060 | $ | 2,256 | $ | 1,268 | ||||
Altice France | ||||||||
8.125%, 02/01/2027 (A) | 800 | 715 | ||||||
5.500%, 10/15/2029 (A) | 1,357 | 1,021 | ||||||
5.125%, 07/15/2029 (A) | 1,002 | 749 | ||||||
Altice France Holding | ||||||||
10.500%, 05/15/2027 (A) | 2,705 | 2,119 | ||||||
6.000%, 02/15/2028 (A) | 1,756 | 1,114 | ||||||
AMC Entertainment Holdings | ||||||||
10.000%, 06/15/2026 (A) | 938 | 640 | ||||||
6.125%, 05/15/2027 | 420 | 230 | ||||||
5.750%, 06/15/2025 | 85 | 58 | ||||||
ANGI Group | ||||||||
3.875%, 08/15/2028 (A) | 1,497 | 1,056 | ||||||
Audacy Capital | ||||||||
6.750%, 03/31/2029 (A) | 3,564 | 859 | ||||||
6.500%, 05/01/2027 (A) | 1,052 | 258 | ||||||
Beasley Mezzanine Holdings | ||||||||
8.625%, 02/01/2026 (A) | 1,980 | 1,525 | ||||||
Belo | ||||||||
7.250%, 09/15/2027 | 250 | 244 | ||||||
CCO Holdings | ||||||||
5.375%, 06/01/2029 (A) | 1,008 | 882 | ||||||
5.125%, 05/01/2027 (A) | 3,137 | 2,831 | ||||||
5.000%, 02/01/2028 (A) | 3,027 | 2,610 | ||||||
4.750%, 03/01/2030 (A) | 1,270 | 1,030 | ||||||
4.750%, 02/01/2032 (A) | 110 | 86 | ||||||
4.500%, 08/15/2030 (A) | 7,881 | 6,233 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.500%, 05/01/2032 | $ | 2,270 | $ | 1,731 | ||||
4.250%, 02/01/2031 (A) | 5,869 | 4,502 | ||||||
4.250%, 01/15/2034 (A) | 880 | 630 | ||||||
Charter Communications Operating | ||||||||
4.400%, 12/01/2061 | 235 | 150 | ||||||
3.950%, 06/30/2062 | 950 | 563 | ||||||
3.900%, 06/01/2052 | 655 | 406 | ||||||
3.700%, 04/01/2051 | 720 | 436 | ||||||
Cinemark USA | ||||||||
8.750%, 05/01/2025 (A) | 160 | 162 | ||||||
5.250%, 07/15/2028 (A) | 135 | 104 | ||||||
Clear Channel International | ||||||||
6.625%, 08/01/2025 (A) | 564 | 524 | ||||||
Clear Channel Outdoor Holdings | ||||||||
7.750%, 04/15/2028 (A) | 285 | 215 | ||||||
7.500%, 06/01/2029 (A) | 524 | 380 | ||||||
5.125%, 08/15/2027 (A) | 1,870 | 1,580 | ||||||
Comcast | ||||||||
2.987%, 11/01/2063 | 2,485 | 1,439 | ||||||
2.937%, 11/01/2056 | 1,785 | 1,065 | ||||||
Consolidated Communications | ||||||||
6.500%, 10/01/2028 (A) | 3,199 | 2,391 | ||||||
DISH DBS | ||||||||
7.750%, 07/01/2026 | 3,135 | 2,405 | ||||||
7.375%, 07/01/2028 | 6,019 | 4,053 | ||||||
5.875%, 11/15/2024 | 3,112 | 2,778 | ||||||
5.750%, 12/01/2028 (A) | 1,878 | 1,419 | ||||||
5.250%, 12/01/2026 (A) | 2,180 | 1,786 | ||||||
5.125%, 06/01/2029 | 2,658 | 1,562 | ||||||
5.000%, 03/15/2023 | 2,289 | 2,244 | ||||||
DKT Finance ApS | ||||||||
9.375%, 06/17/2023 (A) | 1,205 | 1,160 | ||||||
Frontier Communications Holdings | ||||||||
8.750%, 05/15/2030 (A) | 2,192 | 2,193 | ||||||
6.750%, 05/01/2029 (A) | 269 | 222 | ||||||
6.000%, 01/15/2030 (A) | 968 | 760 | ||||||
5.875%, 10/15/2027 (A) | 206 | 185 | ||||||
5.875%, 11/01/2029 | 1,877 | 1,490 | ||||||
5.000%, 05/01/2028 (A) | 662 | 568 | ||||||
Gannett Holdings | ||||||||
6.000%, 11/01/2026 (A) | 158 | 121 | ||||||
Gray Escrow II | ||||||||
5.375%, 11/15/2031 (A) | 1,990 | 1,561 | ||||||
Gray Television | ||||||||
7.000%, 05/15/2027 (A) | 125 | 118 | ||||||
4.750%, 10/15/2030 (A) | 1,744 | 1,307 | ||||||
iHeartCommunications | ||||||||
8.375%, 05/01/2027 | 575 | 484 | ||||||
6.375%, 05/01/2026 | 399 | 370 | ||||||
5.250%, 08/15/2027 (A) | 1,138 | 972 | ||||||
4.750%, 01/15/2028 (A) | 842 | 702 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
211
SCHEDULE OF INVESTMENTS
September 30, 2022
High Yield Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Iliad Holding SASU | ||||||||
7.000%, 10/15/2028 (A) | $ | 180 | $ | 154 | ||||
6.500%, 10/15/2026 (A) | 900 | 787 | ||||||
Intelsat Jackson Holdings | ||||||||
6.500%, 03/15/2030 (A) | 1,852 | 1,575 | ||||||
Intelsat Jackson Holdings (Escrow Security) | ||||||||
0.000%, 12/31/2049 (B)(C) | 4,165 | – | ||||||
Level 3 Financing | ||||||||
4.625%, 09/15/2027 (A) | 2,601 | 2,153 | ||||||
4.250%, 07/01/2028 (A) | 838 | 654 | ||||||
3.750%, 07/15/2029 (A) | 320 | 234 | ||||||
3.625%, 01/15/2029 (A) | 3,080 | 2,280 | ||||||
Live Nation Entertainment | ||||||||
6.500%, 05/15/2027 (A) | 921 | 886 | ||||||
5.625%, 03/15/2026 (A) | 309 | 295 | ||||||
4.875%, 11/01/2024 (A) | 582 | 563 | ||||||
4.750%, 10/15/2027 (A) | 2,780 | 2,414 | ||||||
3.750%, 01/15/2028 (A) | 55 | 47 | ||||||
Lumen Technologies | ||||||||
5.625%, 04/01/2025 | 1,367 | 1,326 | ||||||
5.375%, 06/15/2029 (A) | 1,888 | 1,403 | ||||||
5.125%, 12/15/2026 (A) | 3,029 | 2,606 | ||||||
4.500%, 01/15/2029 (A) | 1,980 | 1,391 | ||||||
4.000%, 02/15/2027 (A) | 2,062 | 1,732 | ||||||
Netflix | ||||||||
5.875%, 11/15/2028 | 470 | 459 | ||||||
5.375%, 11/15/2029 (A) | 205 | 193 | ||||||
News | ||||||||
5.125%, 02/15/2032 (A) | 765 | 671 | ||||||
3.875%, 05/15/2029 (A) | 174 | 148 | ||||||
Nexstar Media | ||||||||
5.625%, 07/15/2027 (A) | 1,130 | 1,039 | ||||||
4.750%, 11/01/2028 (A) | 1,542 | 1,311 | ||||||
ROBLOX | ||||||||
3.875%, 05/01/2030 (A) | 857 | 697 | ||||||
Sable International Finance | ||||||||
5.750%, 09/07/2027 (A) | 854 | 746 | ||||||
Salem Media Group | ||||||||
6.750%, 06/01/2024 (A) | 746 | 716 | ||||||
Scripps Escrow | ||||||||
5.875%, 07/15/2027 (A) | 115 | 100 | ||||||
Scripps Escrow II | ||||||||
5.375%, 01/15/2031 (A) | 81 | 61 | ||||||
3.875%, 01/15/2029 (A) | 2,547 | 2,030 | ||||||
Sinclair Television Group | ||||||||
5.125%, 02/15/2027 (A) | 215 | 178 | ||||||
4.125%, 12/01/2030 (A) | 4,520 | 3,401 | ||||||
Sirius XM Radio | ||||||||
5.500%, 07/01/2029 (A) | 994 | 894 | ||||||
5.000%, 08/01/2027 (A) | 1,222 | 1,121 | ||||||
4.125%, 07/01/2030 (A) | 1,087 | 884 | ||||||
4.000%, 07/15/2028 (A) | 1,952 | 1,660 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
3.875%, 09/01/2031 (A) | $ | 1,290 | $ | 1,000 | ||||
SoftBank Group | ||||||||
5.125%, 09/19/2027 | 527 | 440 | ||||||
Spanish Broadcasting System | ||||||||
9.750%, 03/01/2026 (A) | 2,731 | 1,721 | ||||||
Stagwell Global | ||||||||
5.625%, 08/15/2029 (A) | 328 | 270 | ||||||
TEGNA | ||||||||
4.625%, 03/15/2028 | 548 | 506 | ||||||
Telecom Italia Capital | ||||||||
6.000%, 09/30/2034 | 285 | 212 | ||||||
Telesat Canada | ||||||||
6.500%, 10/15/2027 (A) | 3,254 | 1,204 | ||||||
5.625%, 12/06/2026 (A) | 1,163 | 556 | ||||||
T-Mobile USA | ||||||||
3.500%, 04/15/2031 | 2,135 | 1,794 | ||||||
3.375%, 04/15/2029 | 805 | 696 | ||||||
3.875%, 12/15/2027 (A) | 547 | 513 | ||||||
United States Cellular | ||||||||
6.700%, 12/15/2033 | 1,289 | 1,160 | ||||||
Urban One | ||||||||
7.375%, 02/01/2028 (A) | 5,530 | 4,700 | ||||||
Verizon Communications | ||||||||
3.000%, 11/20/2060 | 830 | 482 | ||||||
2.987%, 10/30/2056 | 1,440 | 856 | ||||||
Vmed O2 UK Financing I | ||||||||
4.250%, 01/31/2031 (A) | 1,520 | 1,152 | ||||||
Windstream Escrow | ||||||||
7.750%, 08/15/2028 (A) | 2,630 | 2,179 | ||||||
WMG Acquisition | ||||||||
3.750%, 12/01/2029 (A) | 334 | 277 | ||||||
3.000%, 02/15/2031 (A) | 999 | 758 | ||||||
ZipRecruiter | ||||||||
5.000%, 01/15/2030 (A) | 1,616 | 1,305 | ||||||
128,856 | ||||||||
Consumer Discretionary — 15.7% | ||||||||
1011778 BC ULC | ||||||||
4.375%, 01/15/2028 (A) | 1,090 | 944 | ||||||
4.000%, 10/15/2030 (A) | 185 | 146 | ||||||
3.875%, 01/15/2028 (A) | 128 | 111 | ||||||
3.500%, 02/15/2029 (A) | 93 | 77 | ||||||
Abercrombie & Fitch Management | ||||||||
8.750%, 07/15/2025 (A) | 546 | 532 | ||||||
Adient Global Holdings Ltd | ||||||||
4.875%, 08/15/2026 (A) | 2,595 | 2,274 | ||||||
Adtalem Global Education | ||||||||
5.500%, 03/01/2028 (A) | 888 | 799 | ||||||
Altice Financing | ||||||||
5.750%, 08/15/2029 (A) | 2,389 | 1,828 | ||||||
5.000%, 01/15/2028 (A) | 4,178 | 3,218 |
212
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Amazon.com | ||||||||
2.700%, 06/03/2060 | $ | 2,256 | $ | 1,331 | ||||
American Axle & Manufacturing | ||||||||
6.875%, 07/01/2028 | 223 | 192 | ||||||
6.500%, 04/01/2027 | 570 | 483 | ||||||
6.250%, 03/15/2026 | 268 | 246 | ||||||
5.000%, 10/01/2029 | 177 | 134 | ||||||
American Greetings | ||||||||
8.750%, 04/15/2025 (A) | 2,940 | 2,822 | ||||||
Aramark Services | ||||||||
5.000%, 02/01/2028 (A) | 277 | 247 | ||||||
Asbury Automotive Group | ||||||||
4.625%, 11/15/2029 (A) | 976 | 780 | ||||||
4.500%, 03/01/2028 | 2,076 | 1,754 | ||||||
Ashton Woods USA | ||||||||
6.625%, 01/15/2028 (A) | 3,907 | 3,274 | ||||||
4.625%, 08/01/2029 (A) | 715 | 519 | ||||||
Aston Martin Capital Holdings | ||||||||
10.500%, 11/30/2025 (A) | 777 | 761 | ||||||
Aventine (Escrow Security) | ||||||||
0.000%, 10/15/2049 (B)(C)(D)(E) | 2,750 | – | ||||||
Bath & Body Works | ||||||||
9.375%, 07/01/2025 (A) | 19 | 20 | ||||||
7.600%, 07/15/2037 | 370 | 289 | ||||||
7.500%, 06/15/2029 | 271 | 248 | ||||||
6.875%, 11/01/2035 | 539 | 450 | ||||||
6.750%, 07/01/2036 | 2,225 | 1,834 | ||||||
6.694%, 01/15/2027 | 81 | 76 | ||||||
6.625%, 10/01/2030 (A) | 1,099 | 956 | ||||||
5.250%, 02/01/2028 | 1,994 | 1,728 | ||||||
BCPE Ulysses Intermediate | ||||||||
7.750%cash/8.500% PIK, 04/01/2027 (A) | 1,365 | 929 | ||||||
Bloomin' Brands | ||||||||
5.125%, 04/15/2029 (A) | 1,370 | 1,142 | ||||||
Boyne USA | ||||||||
4.750%, 05/15/2029 (A) | 2,140 | 1,793 | ||||||
Brookfield Residential Properties | ||||||||
4.875%, 02/15/2030 (A) | 712 | 527 | ||||||
Caesars Entertainment | ||||||||
8.125%, 07/01/2027 (A) | 1,154 | 1,102 | ||||||
6.250%, 07/01/2025 (A) | 957 | 922 | ||||||
4.625%, 10/15/2029 (A) | 161 | 123 | ||||||
Carnival | ||||||||
10.500%, 02/01/2026 (A) | 501 | 496 | ||||||
9.875%, 08/01/2027 (A) | 1,495 | 1,465 | ||||||
6.000%, 05/01/2029 (A) | 86 | 56 | ||||||
5.750%, 03/01/2027 (A) | 4,431 | 3,104 | ||||||
4.000%, 08/01/2028 (A) | 488 | 394 | ||||||
Carvana | ||||||||
10.250%, 05/01/2030 (A) | 54 | 36 | ||||||
5.875%, 10/01/2028 (A) | 228 | 116 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
5.625%, 10/01/2025 (A) | $ | 486 | $ | 342 | ||||
5.500%, 04/15/2027 (A) | 582 | 317 | ||||||
4.875%, 09/01/2029 (A) | 1,053 | 513 | ||||||
CD&R Smokey Buyer | ||||||||
6.750%, 07/15/2025 (A) | 434 | 393 | ||||||
Cedar Fair | ||||||||
5.500%, 05/01/2025 (A) | 180 | 173 | ||||||
5.250%, 07/15/2029 | 295 | 253 | ||||||
Cengage Learning | ||||||||
9.500%, 06/15/2024 (A) | 2,125 | 1,992 | ||||||
Century Communities | ||||||||
6.750%, 06/01/2027 | 444 | 415 | ||||||
3.875%, 08/15/2029 (A) | 461 | 354 | ||||||
Clarios Global | ||||||||
8.500%, 05/15/2027 (A) | 2,030 | 1,938 | ||||||
6.750%, 05/15/2025 (A) | 576 | 564 | ||||||
6.250%, 05/15/2026 (A) | 908 | 867 | ||||||
CMG Media | ||||||||
8.875%, 12/15/2027 (A) | 4,629 | 3,536 | ||||||
Cooper-Standard Automotive | ||||||||
13.000%, 06/01/2024 (A) | 440 | 453 | ||||||
5.625%, 11/15/2026 (A) | 885 | 371 | ||||||
Crocs | ||||||||
4.125%, 08/15/2031 (A) | 497 | 378 | ||||||
CSC Holdings | ||||||||
7.500%, 04/01/2028 (A) | 1,645 | 1,342 | ||||||
6.500%, 02/01/2029 (A) | 2,055 | 1,814 | ||||||
5.750%, 01/15/2030 (A) | 3,400 | 2,417 | ||||||
4.625%, 12/01/2030 (A) | 2,093 | 1,423 | ||||||
4.500%, 11/15/2031 (A) | 299 | 225 | ||||||
3.375%, 02/15/2031 (A) | 463 | 326 | ||||||
Cumulus Media New Holdings | ||||||||
6.750%, 07/01/2026 (A) | 916 | 773 | ||||||
Dana | ||||||||
5.625%, 06/15/2028 | 634 | 523 | ||||||
5.375%, 11/15/2027 | 539 | 457 | ||||||
Diamond Sports Group | ||||||||
6.625%, 08/15/2027 (A) | 3,243 | 227 | ||||||
5.375%, 08/15/2026 (A) | 6,139 | 1,222 | ||||||
Dick's Sporting Goods | ||||||||
4.100%, 01/15/2052 | 2,229 | 1,377 | ||||||
DirecTV Financing | ||||||||
5.875%, 08/15/2027 (A) | 4,236 | 3,652 | ||||||
Dornoch Debt Merger Sub | ||||||||
6.625%, 10/15/2029 (A) | 2,695 | 1,943 | ||||||
eG Global Finance | ||||||||
8.500%, 10/30/2025 (A) | 520 | 455 | ||||||
6.750%, 02/07/2025 (A) | 4,132 | 3,727 | ||||||
Empire Resorts | ||||||||
7.750%, 11/01/2026 (A) | 3,175 | 2,667 | ||||||
Fertitta Entertainment | ||||||||
4.625%, 01/15/2029 (A) | 706 | 584 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
213
SCHEDULE OF INVESTMENTS
September 30, 2022
High Yield Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Fontainebleau Las Vegas Holdings | ||||||||
11.000%, 06/15/2015 (A)(B)(D) | $ | 3,108 | $ | – | ||||
Ford Motor | ||||||||
6.100%, 08/19/2032 | 893 | 787 | ||||||
4.750%, 01/15/2043 | 1,750 | 1,160 | ||||||
Ford Motor Credit | ||||||||
5.125%, 06/16/2025 | 951 | 897 | ||||||
5.113%, 05/03/2029 | 2,590 | 2,247 | ||||||
4.687%, 06/09/2025 | 655 | 608 | ||||||
4.542%, 08/01/2026 | 730 | 650 | ||||||
4.271%, 01/09/2027 | 635 | 556 | ||||||
4.134%, 08/04/2025 | 250 | 227 | ||||||
4.125%, 08/17/2027 | 1,219 | 1,049 | ||||||
4.063%, 11/01/2024 | 1,194 | 1,121 | ||||||
4.000%, 11/13/2030 | 1,177 | 918 | ||||||
3.815%, 11/02/2027 | 525 | 441 | ||||||
3.810%, 01/09/2024 | 43 | 42 | ||||||
3.625%, 06/17/2031 | 4,012 | 2,981 | ||||||
3.375%, 11/13/2025 | 1,200 | 1,060 | ||||||
2.900%, 02/16/2028 | 2,320 | 1,823 | ||||||
2.900%, 02/10/2029 | 800 | 606 | ||||||
2.700%, 08/10/2026 | 200 | 166 | ||||||
Ford Motor Credit MTN | ||||||||
4.389%, 01/08/2026 | 415 | 376 | ||||||
Gap | ||||||||
3.875%, 10/01/2031 (A) | 63 | 40 | ||||||
3.625%, 10/01/2029 (A) | 128 | 83 | ||||||
GCI | ||||||||
4.750%, 10/15/2028 (A) | 599 | 497 | ||||||
Goodyear Tire & Rubber | ||||||||
5.250%, 04/30/2031 | 345 | 277 | ||||||
5.250%, 07/15/2031 | 81 | 65 | ||||||
5.000%, 07/15/2029 | 317 | 259 | ||||||
Hanesbrands | ||||||||
4.625%, 05/15/2024 (A) | 2,293 | 2,186 | ||||||
Hertz (Escrow Security) | ||||||||
7.125%, 08/01/2026 | 465 | 33 | ||||||
6.000%, 01/15/2028 | 450 | 32 | ||||||
5.500%, 10/15/2024 | 559 | 3 | ||||||
Hilton Domestic Operating | ||||||||
5.750%, 05/01/2028 (A) | 246 | 230 | ||||||
4.875%, 01/15/2030 | 50 | 44 | ||||||
4.000%, 05/01/2031 (A) | 1,190 | 962 | ||||||
3.750%, 05/01/2029 (A) | 97 | 80 | ||||||
3.625%, 02/15/2032 (A) | 596 | 456 | ||||||
Hilton Worldwide Finance | ||||||||
4.875%, 04/01/2027 | 175 | 161 | ||||||
International Game Technology | ||||||||
6.250%, 01/15/2027 (A) | 1,575 | 1,524 | ||||||
Jacobs Entertainment | ||||||||
6.750%, 02/15/2029 (A) | 1,225 | 1,048 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Jaguar Land Rover Automotive | ||||||||
5.500%, 07/15/2029 (A) | $ | 2,350 | $ | 1,636 | ||||
Ken Garff Automotive | ||||||||
4.875%, 09/15/2028 (A) | 278 | 227 | ||||||
Las Vegas Sands | ||||||||
3.200%, 08/08/2024 | 1,474 | 1,390 | ||||||
LBM Acquisition | ||||||||
6.250%, 01/15/2029 (A) | 1,850 | 1,253 | ||||||
LCM Investments Holdings II | ||||||||
4.875%, 05/01/2029 (A) | 2,174 | 1,683 | ||||||
LCPR Senior Secured Financing DAC | ||||||||
6.750%, 10/15/2027 (A) | 1,997 | 1,658 | ||||||
Liberty Interactive | ||||||||
8.250%, 02/01/2030 | 4,717 | 2,972 | ||||||
Life Time | ||||||||
5.750%, 01/15/2026 (A) | 2,200 | 2,002 | ||||||
Lions Gate Capital Holdings | ||||||||
5.500%, 04/15/2029 (A) | 1,431 | 1,066 | ||||||
Lithia Motors | ||||||||
4.375%, 01/15/2031 (A) | 1,082 | 886 | ||||||
3.875%, 06/01/2029 (A) | 838 | 673 | ||||||
Macy's Retail Holdings | ||||||||
5.125%, 01/15/2042 | 975 | 601 | ||||||
MajorDrive Holdings IV | ||||||||
6.375%, 06/01/2029 (A) | 3,586 | 2,472 | ||||||
Marriott Ownership Resorts | ||||||||
6.125%, 09/15/2025 (A) | 114 | 111 | ||||||
4.500%, 06/15/2029 (A) | 261 | 206 | ||||||
Mattamy Group | ||||||||
4.625%, 03/01/2030 (A) | 713 | 545 | ||||||
Mattel | ||||||||
5.875%, 12/15/2027 (A) | 190 | 182 | ||||||
3.750%, 04/01/2029 (A) | 48 | 40 | ||||||
3.375%, 04/01/2026 (A) | 1,570 | 1,401 | ||||||
McGraw-Hill Education | ||||||||
5.750%, 08/01/2028 (A) | 2,680 | 2,238 | ||||||
Meritage Homes | ||||||||
3.875%, 04/15/2029 (A) | 997 | 793 | ||||||
MGM Resorts International | ||||||||
6.750%, 05/01/2025 | 315 | 310 | ||||||
6.000%, 03/15/2023 | 708 | 708 | ||||||
5.750%, 06/15/2025 | 674 | 644 | ||||||
Michaels | ||||||||
7.875%, 05/01/2029 (A) | 2,240 | 1,293 | ||||||
5.250%, 05/01/2028 (A) | 1,335 | 937 | ||||||
Midcontinent Communications | ||||||||
5.375%, 08/15/2027 (A) | 552 | 492 | ||||||
Midwest Gaming Borrower | ||||||||
4.875%, 05/01/2029 (A) | 1,227 | 1,011 | ||||||
Millennium Escrow | ||||||||
6.625%, 08/01/2026 (A) | 1,420 | 1,123 |
214
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
National CineMedia | ||||||||
5.875%, 04/15/2028 (A) | $ | 150 | $ | 86 | ||||
NCL | ||||||||
5.875%, 02/15/2027 (A) | 930 | 774 | ||||||
Neiman Marcus Group (Escrow Security) | ||||||||
0.000%, 10/15/2022 (B)(C)(D) | 1,582 | 447 | ||||||
NESCO Holdings II | ||||||||
5.500%, 04/15/2029 (A) | 271 | 226 | ||||||
Newell Brands | ||||||||
6.625%, 09/15/2029 | 50 | 49 | ||||||
6.375%, 09/15/2027 | 50 | 50 | ||||||
Nordstrom | ||||||||
4.375%, 04/01/2030 | 949 | 694 | ||||||
Paramount Global | ||||||||
7.875%, 07/30/2030 | 2,253 | 2,381 | ||||||
PECF USS Intermediate Holding III | ||||||||
8.000%, 11/15/2029 (A) | 2,340 | 1,706 | ||||||
Peninsula Pacific Entertainment | ||||||||
8.500%, 11/15/2027 (A) | 2,046 | 2,202 | ||||||
PetSmart | ||||||||
7.750%, 02/15/2029 (A) | 250 | 224 | ||||||
4.750%, 02/15/2028 (A) | 500 | 428 | ||||||
Photo Holdings Merger Sub | ||||||||
8.500%, 10/01/2026 (A) | 575 | 368 | ||||||
PM General Purchaser | ||||||||
9.500%, 10/01/2028 (A) | 383 | 320 | ||||||
Radiate Holdco | ||||||||
6.500%, 09/15/2028 (A) | 3,175 | 2,215 | ||||||
4.500%, 09/15/2026 (A) | 550 | 451 | ||||||
Royal Caribbean Cruises | ||||||||
11.625%, 08/15/2027 (A) | 1,153 | 1,049 | ||||||
11.500%, 06/01/2025 (A) | 272 | 289 | ||||||
10.875%, 06/01/2023 (A) | 158 | 162 | ||||||
9.250%, 01/15/2029 (A) | 225 | 222 | ||||||
8.250%, 01/15/2029 (A) | 225 | 219 | ||||||
5.500%, 08/31/2026 (A) | 1,370 | 1,048 | ||||||
Service International | ||||||||
7.500%, 04/01/2027 | 640 | 659 | ||||||
4.000%, 05/15/2031 | 51 | 41 | ||||||
3.375%, 08/15/2030 | 24 | 19 | ||||||
Shea Homes | ||||||||
4.750%, 02/15/2028 (A) | 711 | 579 | ||||||
4.750%, 04/01/2029 (A) | 825 | 639 | ||||||
Six Flags Entertainment | ||||||||
5.500%, 04/15/2027 (A) | 185 | 162 | ||||||
4.875%, 07/31/2024 (A) | 3,630 | 3,458 | ||||||
Six Flags Theme Parks | ||||||||
7.000%, 07/01/2025 (A) | 336 | 336 | ||||||
Sonic Automotive | ||||||||
4.625%, 11/15/2029 (A) | 189 | 148 | ||||||
Sotheby's | ||||||||
5.875%, 06/01/2029 (A) | 460 | 380 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Specialty Building Products Holdings | ||||||||
6.375%, 09/30/2026 (A) | $ | 2,784 | $ | 2,304 | ||||
SRS Distribution | ||||||||
6.125%, 07/01/2029 (A) | 1,045 | 839 | ||||||
6.000%, 12/01/2029 (A) | 962 | 767 | ||||||
4.625%, 07/01/2028 (A) | 327 | 281 | ||||||
Staples | ||||||||
10.750%, 04/15/2027 (A) | 1,355 | 1,004 | ||||||
7.500%, 04/15/2026 (A) | 1,753 | 1,472 | ||||||
Starbucks | ||||||||
3.550%, 08/15/2029 | 542 | 492 | ||||||
Station Casinos | ||||||||
4.625%, 12/01/2031 (A) | 1,622 | 1,225 | ||||||
4.500%, 02/15/2028 (A) | 2,001 | 1,642 | ||||||
StoneMor | ||||||||
8.500%, 05/15/2029 (A) | 1,410 | 1,188 | ||||||
Studio City Finance | ||||||||
5.000%, 01/15/2029 (A) | 2,405 | 1,067 | ||||||
Sugarhouse HSP Gaming Prop Mezz | ||||||||
5.875%, 05/15/2025 (A) | 1,445 | 1,337 | ||||||
Superior Plus | ||||||||
4.500%, 03/15/2029 (A) | 202 | 167 | ||||||
Telenet Finance Luxembourg Notes Sarl | ||||||||
5.500%, 03/01/2028 (A) | 2,800 | 2,428 | ||||||
Tempur Sealy International | ||||||||
4.000%, 04/15/2029 (A) | 525 | 414 | ||||||
3.875%, 10/15/2031 (A) | 1,351 | 990 | ||||||
Tenneco | ||||||||
7.875%, 01/15/2029 (A) | 138 | 134 | ||||||
5.375%, 12/15/2024 | 110 | 107 | ||||||
5.125%, 04/15/2029 (A) | 1,535 | 1,516 | ||||||
5.000%, 07/15/2026 | 212 | 206 | ||||||
Thor Industries | ||||||||
4.000%, 10/15/2029 (A) | 1,863 | 1,400 | ||||||
Time Warner Entertainment | ||||||||
8.375%, 07/15/2033 | 1,028 | 1,097 | ||||||
Univision Communications | ||||||||
7.375%, 06/30/2030 (A) | 211 | 201 | ||||||
6.625%, 06/01/2027 (A) | 40 | 38 | ||||||
4.500%, 05/01/2029 (A) | 1,668 | 1,360 | ||||||
Vail Resorts | ||||||||
6.250%, 05/15/2025 (A) | 437 | 431 | ||||||
Virgin Media Finance | ||||||||
5.000%, 07/15/2030 (A) | 493 | 362 | ||||||
Virgin Media Secured Finance | ||||||||
5.500%, 05/15/2029 (A) | 1,191 | 1,020 | ||||||
4.500%, 08/15/2030 (A) | 480 | 374 | ||||||
Virgin Media Vendor Financing Notes IV DAC | �� | |||||||
5.000%, 07/15/2028 (A) | 1,934 | 1,564 | ||||||
Vista Outdoor | ||||||||
4.500%, 03/15/2029 (A) | 408 | 288 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
215
SCHEDULE OF INVESTMENTS
September 30, 2022
High Yield Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
VOC Escrow | ||||||||
5.000%, 02/15/2028 (A) | $ | 1,150 | $ | 935 | ||||
Volkswagen Group of America Finance | ||||||||
1.250%, 11/24/2025 (A) | 595 | 523 | ||||||
VZ Secured Financing BV | ||||||||
5.000%, 01/15/2032 (A) | 1,065 | 796 | ||||||
Walt Disney | ||||||||
1.750%, 01/13/2026 | 2,505 | 2,268 | ||||||
Wheel Pros | ||||||||
6.500%, 05/15/2029 (A) | 2,450 | 1,121 | ||||||
White Capital Buyer | ||||||||
6.875%, 10/15/2028 (A) | 105 | 86 | ||||||
White Capital Parent | ||||||||
8.250%cash/9.000% PIK, 03/15/2026 (A) | 2,850 | 2,415 | ||||||
Wolverine World Wide | ||||||||
4.000%, 08/15/2029 (A) | 1,544 | 1,178 | ||||||
WW International | ||||||||
4.500%, 04/15/2029 (A) | 1,840 | 962 | ||||||
Wynn Las Vegas | ||||||||
5.500%, 03/01/2025 (A) | 720 | 674 | ||||||
Wynn Macau | ||||||||
5.625%, 08/26/2028 (A) | 50 | 33 | ||||||
5.500%, 01/15/2026 (A) | 545 | 413 | ||||||
5.500%, 10/01/2027 (A) | 595 | 411 | ||||||
5.125%, 12/15/2029 (A) | 45 | 29 | ||||||
Wynn Resorts Finance | ||||||||
7.750%, 04/15/2025 (A) | 160 | 156 | ||||||
5.125%, 10/01/2029 (A) | 379 | 306 | ||||||
Yum! Brands | ||||||||
6.875%, 11/15/2037 | 1,065 | 1,062 | ||||||
5.375%, 04/01/2032 | 325 | 288 | ||||||
4.625%, 01/31/2032 | 217 | 182 | ||||||
3.625%, 03/15/2031 | 2,464 | 1,969 | ||||||
200,092 | ||||||||
Consumer Staples — 3.3% | ||||||||
Albertsons | ||||||||
5.875%, 02/15/2028 (A) | 125 | 115 | ||||||
4.875%, 02/15/2030 (A) | 60 | 51 | ||||||
4.625%, 01/15/2027 (A) | 835 | 746 | ||||||
3.500%, 03/15/2029 (A) | 448 | 361 | ||||||
3.250%, 03/15/2026 (A) | 221 | 194 | ||||||
Altria Group | ||||||||
4.800%, 02/14/2029 | 418 | 386 | ||||||
BellRing Brands | ||||||||
7.000%, 03/15/2030 (A) | 1,405 | 1,285 | ||||||
Central Garden & Pet | ||||||||
5.125%, 02/01/2028 | 350 | 317 | ||||||
4.125%, 10/15/2030 | 242 | 193 | ||||||
4.125%, 04/30/2031 (A) | 168 | 132 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Chobani | ||||||||
7.500%, 04/15/2025 (A) | $ | 2,848 | $ | 2,605 | ||||
4.625%, 11/15/2028 (A) | 1,118 | 951 | ||||||
Coca-Cola | ||||||||
2.750%, 06/01/2060 | 417 | 257 | ||||||
2.500%, 06/01/2040 | 880 | 614 | ||||||
Coty | ||||||||
6.500%, 04/15/2026 (A) | 1,165 | 1,074 | ||||||
5.000%, 04/15/2026 (A) | 1,138 | 1,036 | ||||||
4.750%, 01/15/2029 (A) | 2,370 | 2,005 | ||||||
Edgewell Personal Care | ||||||||
5.500%, 06/01/2028 (A) | 305 | 273 | ||||||
4.125%, 04/01/2029 (A) | 117 | 97 | ||||||
Energizer Holdings | ||||||||
6.500%, 12/31/2027 (A) | 133 | 118 | ||||||
4.750%, 06/15/2028 (A) | 469 | 372 | ||||||
4.375%, 03/31/2029 (A) | 1,447 | 1,073 | ||||||
High Ridge Brands (Escrow Security) | ||||||||
9.772%, 03/15/2025 | 445 | – | ||||||
HLF Financing Sarl | ||||||||
4.875%, 06/01/2029 (A) | 2,040 | 1,456 | ||||||
JBS USA LUX | ||||||||
5.500%, 01/15/2030 (A) | 2,710 | 2,503 | ||||||
Lamb Weston Holdings | ||||||||
4.375%, 01/31/2032 (A) | 63 | 52 | ||||||
4.125%, 01/31/2030 (A) | 1,193 | 1,010 | ||||||
LSF9 Atlantis Holdings | ||||||||
7.750%, 02/15/2026 (A) | 2,865 | 2,557 | ||||||
New Albertsons | ||||||||
8.700%, 05/01/2030 | 955 | 968 | ||||||
8.000%, 05/01/2031 | 1,535 | 1,520 | ||||||
Performance Food Group | ||||||||
6.875%, 05/01/2025 (A) | 50 | 50 | ||||||
5.500%, 10/15/2027 (A) | 355 | 323 | ||||||
4.250%, 08/01/2029 (A) | 460 | 383 | ||||||
Pilgrim's Pride | ||||||||
3.500%, 03/01/2032 (A) | 835 | 629 | ||||||
Post Holdings | ||||||||
5.750%, 03/01/2027 (A) | 38 | 36 | ||||||
5.625%, 01/15/2028 (A) | 565 | 516 | ||||||
5.500%, 12/15/2029 (A) | 206 | 178 | ||||||
4.625%, 04/15/2030 (A) | 208 | 171 | ||||||
Rite Aid | ||||||||
8.000%, 11/15/2026 (A) | 2,968 | 2,100 | ||||||
7.700%, 02/15/2027 | 159 | 94 | ||||||
7.500%, 07/01/2025 (A) | 2,169 | 1,650 | ||||||
Sigma Holdco BV | ||||||||
7.875%, 05/15/2026 (A) | 3,797 | 2,449 | ||||||
Simmons Foods | ||||||||
4.625%, 03/01/2029 (A) | 2,225 | 1,819 | ||||||
Spectrum Brands | ||||||||
5.500%, 07/15/2030 (A) | 617 | 482 |
216
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
5.000%, 10/01/2029 (A) | $ | 100 | $ | 80 | ||||
3.875%, 03/15/2031 (A) | 1,404 | 957 | ||||||
Triton Water Holdings | ||||||||
6.250%, 04/01/2029 (A) | 2,904 | 2,221 | ||||||
US Foods | ||||||||
4.625%, 06/01/2030 (A) | 230 | 190 | ||||||
Vector Group | ||||||||
10.500%, 11/01/2026 (A) | 2,450 | 2,274 | ||||||
5.750%, 02/01/2029 (A) | 970 | 792 | ||||||
41,715 | ||||||||
Energy — 10.6% | ||||||||
Aethon United BR | ||||||||
8.250%, 02/15/2026 (A) | 1,216 | 1,175 | ||||||
Antero Midstream Partners | ||||||||
7.875%, 05/15/2026 (A) | 318 | 320 | ||||||
5.750%, 03/01/2027 (A) | 50 | 46 | ||||||
5.750%, 01/15/2028 (A) | 290 | 264 | ||||||
5.375%, 06/15/2029 (A) | 241 | 213 | ||||||
Antero Resources | ||||||||
8.375%, 07/15/2026 (A) | 260 | 275 | ||||||
7.625%, 02/01/2029 (A) | 742 | 741 | ||||||
Apache | ||||||||
5.100%, 09/01/2040 | 2,729 | 2,203 | ||||||
Archrock Partners | ||||||||
6.250%, 04/01/2028 (A) | 2,656 | 2,335 | ||||||
Ascent Resources Utica Holdings | ||||||||
8.250%, 12/31/2028 (A) | 1,578 | 1,516 | ||||||
7.000%, 11/01/2026 (A) | 911 | 878 | ||||||
5.875%, 06/30/2029 (A) | 2,491 | 2,217 | ||||||
Baytex Energy | ||||||||
8.750%, 04/01/2027 (A) | 325 | 327 | ||||||
Blue Racer Midstream | ||||||||
7.625%, 12/15/2025 (A) | 2,721 | 2,612 | ||||||
Buckeye Partners | ||||||||
4.500%, 03/01/2028 (A) | 400 | 340 | ||||||
4.125%, 03/01/2025 (A) | 230 | 210 | ||||||
4.125%, 12/01/2027 | 135 | 113 | ||||||
California Resources | ||||||||
7.125%, 02/01/2026 (A) | 284 | 267 | ||||||
Cheniere Energy | ||||||||
4.625%, 10/15/2028 | 550 | 505 | ||||||
Cheniere Energy Partners | ||||||||
4.500%, 10/01/2029 | 4,017 | 3,537 | ||||||
4.000%, 03/01/2031 | 389 | 326 | ||||||
3.250%, 01/31/2032 | 393 | 302 | ||||||
Chesapeake Energy | ||||||||
6.750%, 04/15/2029 (A) | 582 | 558 | ||||||
5.500%, 02/01/2026 (A) | 82 | 78 | ||||||
Chesapeake Energy (Escrow Security) | ||||||||
0.000%, 12/31/2049 (B)(C) | 3,650 | 91 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Chord Energy | ||||||||
6.375%, 06/01/2026 (A) | $ | 264 | $ | 251 | ||||
Citgo Holding | ||||||||
9.250%, 08/01/2024 (A) | 5,271 | 5,230 | ||||||
CITGO Petroleum | ||||||||
6.375%, 06/15/2026 (A) | 525 | 490 | ||||||
CNX Midstream Partners | ||||||||
4.750%, 04/15/2030 (A) | 54 | 42 | ||||||
CNX Resources | ||||||||
7.375%, 01/15/2031 (A) | 147 | 144 | ||||||
Colgate Energy Partners III | ||||||||
5.875%, 07/01/2029 (A) | 1,645 | 1,468 | ||||||
Comstock Resources | ||||||||
6.750%, 03/01/2029 (A) | 1,502 | 1,385 | ||||||
5.875%, 01/15/2030 (A) | 157 | 137 | ||||||
CQP Holdco | ||||||||
5.500%, 06/15/2031 (A) | 906 | 767 | ||||||
Crestwood Midstream Partners | ||||||||
8.000%, 04/01/2029 (A) | 613 | 590 | ||||||
CrownRock | ||||||||
5.625%, 10/15/2025 (A) | 1,112 | 1,065 | ||||||
DCP Midstream Operating | ||||||||
8.125%, 08/16/2030 | 985 | 1,047 | ||||||
3.250%, 02/15/2032 | 215 | 170 | ||||||
Delek Logistics Partners | ||||||||
6.750%, 05/15/2025 | 811 | 763 | ||||||
DT Midstream | ||||||||
4.375%, 06/15/2031 (A) | 103 | 85 | ||||||
4.125%, 06/15/2029 (A) | 1,629 | 1,376 | ||||||
Earthstone Energy Holdings | ||||||||
8.000%, 04/15/2027 (A) | 1,120 | 1,056 | ||||||
Encino Acquisition Partners Holdings | ||||||||
8.500%, 05/01/2028 (A) | 2,269 | 2,093 | ||||||
Energy Transfer | ||||||||
5.500%, 06/01/2027 | 1,564 | 1,520 | ||||||
EnLink Midstream | ||||||||
6.500%, 09/01/2030 (A) | 93 | 91 | ||||||
5.375%, 06/01/2029 | 4,004 | 3,664 | ||||||
EnLink Midstream Partners | ||||||||
4.850%, 07/15/2026 | 190 | 174 | ||||||
Enviva Partners | ||||||||
6.500%, 01/15/2026 (A) | 3,647 | 3,448 | ||||||
EQM Midstream Partners | ||||||||
7.500%, 06/01/2027 (A) | 170 | 162 | ||||||
7.500%, 06/01/2030 (A) | 134 | 127 | ||||||
6.500%, 07/01/2027 (A) | 712 | 658 | ||||||
6.500%, 07/15/2048 | 2,980 | 2,273 | ||||||
6.000%, 07/01/2025 (A) | 276 | 255 | ||||||
4.750%, 01/15/2031 (A) | 204 | 162 | ||||||
4.500%, 01/15/2029 (A) | 424 | 342 | ||||||
EQT | ||||||||
7.000%, 02/01/2030 | 490 | 506 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
217
SCHEDULE OF INVESTMENTS
September 30, 2022
High Yield Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
6.125%, 02/01/2025 | $ | 270 | $ | 270 | ||||
Exterran Energy Solutions | ||||||||
8.125%, 05/01/2025 | – | – | ||||||
Genesis Energy | ||||||||
8.000%, 01/15/2027 | 1,377 | 1,208 | ||||||
7.750%, 02/01/2028 | 2,453 | 2,134 | ||||||
6.500%, 10/01/2025 | 20 | 18 | ||||||
Gulfport Energy | ||||||||
8.000%, 05/17/2026 (A) | 2,230 | 2,219 | ||||||
Gulfport Energy Operating (Escrow Security) | ||||||||
6.375%, 05/15/2025 (B) | 183 | – | ||||||
6.375%, 01/15/2026 | 585 | 1 | ||||||
6.000%, 10/15/2024 | 215 | – | ||||||
Harvest Midstream I | ||||||||
7.500%, 09/01/2028 (A) | 1,895 | 1,771 | ||||||
Hess Midstream Operations | ||||||||
5.625%, 02/15/2026 (A) | 325 | 308 | ||||||
5.500%, 10/15/2030 (A) | 415 | 356 | ||||||
4.250%, 02/15/2030 (A) | 1,777 | 1,435 | ||||||
Hilcorp Energy I | ||||||||
6.250%, 11/01/2028 (A) | 10 | 9 | ||||||
6.250%, 04/15/2032 (A) | 85 | 75 | ||||||
6.000%, 04/15/2030 (A) | 101 | 88 | ||||||
Holly Energy Partners | ||||||||
6.375%, 04/15/2027 (A) | 160 | 153 | ||||||
Howard Midstream Energy Partners | ||||||||
6.750%, 01/15/2027 (A) | 3,085 | 2,749 | ||||||
ITT Holdings | ||||||||
6.500%, 08/01/2029 (A) | 3,125 | 2,424 | ||||||
Kinetik Holdings | ||||||||
5.875%, 06/15/2030 (A) | 129 | 118 | ||||||
Laredo Petroleum | ||||||||
10.125%, 01/15/2028 | 699 | 671 | ||||||
Moss Creek Resources Holdings | ||||||||
10.500%, 05/15/2027 (A) | 876 | 815 | ||||||
7.500%, 01/15/2026 (A) | 2,177 | 1,899 | ||||||
Motiva Enterprises | ||||||||
6.850%, 01/15/2040 (A) | 967 | 938 | ||||||
Nabors Industries | ||||||||
7.250%, 01/15/2026 (A) | 93 | 81 | ||||||
5.750%, 02/01/2025 | 325 | 294 | ||||||
New Fortress Energy | ||||||||
6.750%, 09/15/2025 (A) | 1,403 | 1,329 | ||||||
6.500%, 09/30/2026 (A) | 2,411 | 2,228 | ||||||
NGL Energy Operating | ||||||||
7.500%, 02/01/2026 (A) | 4,943 | 4,397 | ||||||
NGL Energy Partners | ||||||||
7.500%, 11/01/2023 | 2,212 | 2,144 | ||||||
7.500%, 04/15/2026 | 775 | 589 | ||||||
6.125%, 03/01/2025 | 3,673 | 2,924 | ||||||
Northern Oil and Gas | ||||||||
8.125%, 03/01/2028 (A) | 2,039 | 1,912 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
NuStar Logistics | ||||||||
6.375%, 10/01/2030 | $ | 685 | $ | 586 | ||||
6.000%, 06/01/2026 | 255 | 233 | ||||||
5.750%, 10/01/2025 | 114 | 106 | ||||||
5.625%, 04/28/2027 | 115 | 100 | ||||||
Occidental Petroleum | ||||||||
8.875%, 07/15/2030 | 338 | 376 | ||||||
8.500%, 07/15/2027 | 1,188 | 1,271 | ||||||
6.625%, 09/01/2030 | 515 | 523 | ||||||
6.600%, 03/15/2046 | 1,400 | 1,442 | ||||||
6.450%, 09/15/2036 | 430 | 430 | ||||||
6.375%, 09/01/2028 | 1,215 | 1,210 | ||||||
6.125%, 01/01/2031 | 3,122 | 3,075 | ||||||
4.625%, 06/15/2045 | 1,165 | 964 | ||||||
PBF Holding | ||||||||
7.250%, 06/15/2025 | 1,009 | 964 | ||||||
6.000%, 02/15/2028 | 166 | 144 | ||||||
Peabody Energy | ||||||||
6.375%, 03/31/2025 (A) | 179 | 174 | ||||||
Precision Drilling | ||||||||
7.125%, 01/15/2026 (A) | 240 | 225 | ||||||
6.875%, 01/15/2029 (A) | 31 | 27 | ||||||
Range Resources | ||||||||
8.250%, 01/15/2029 | 402 | 409 | ||||||
4.875%, 05/15/2025 | 280 | 264 | ||||||
4.750%, 02/15/2030 (A) | 83 | 72 | ||||||
Rockcliff Energy II | ||||||||
5.500%, 10/15/2029 (A) | 2,041 | 1,787 | ||||||
Seventy Seven Operating (Escrow Security) | ||||||||
6.625%, 01/15/2020 (B)(D) | 1,869 | – | ||||||
Shelf Drilling Holdings | ||||||||
8.250%, 02/15/2025 (A) | 1,800 | 1,440 | ||||||
SM Energy | ||||||||
6.625%, 01/15/2027 | 73 | 70 | ||||||
6.500%, 07/15/2028 | 573 | 545 | ||||||
5.625%, 06/01/2025 | 620 | 595 | ||||||
Southwestern Energy | ||||||||
7.750%, 10/01/2027 | 186 | 189 | ||||||
5.375%, 03/15/2030 | 284 | 256 | ||||||
4.750%, 02/01/2032 | 63 | 53 | ||||||
Strathcona Resources | ||||||||
6.875%, 08/01/2026 (A) | 1,435 | 1,216 | ||||||
Summit Midstream Holdings | ||||||||
8.500%, 10/15/2026 (A) | 176 | 165 | ||||||
5.750%, 04/15/2025 | 2,048 | 1,664 | ||||||
Sunoco | ||||||||
5.875%, 03/15/2028 | 1,585 | 1,438 | ||||||
4.500%, 05/15/2029 | 1,243 | 1,031 | ||||||
4.500%, 04/30/2030 | 1,342 | 1,097 | ||||||
Tallgrass Energy Partners | ||||||||
7.500%, 10/01/2025 (A) | 381 | 374 | ||||||
6.000%, 03/01/2027 (A) | 270 | 245 |
218
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
6.000%, 12/31/2030 (A) | $ | 4,714 | $ | 4,007 | ||||
6.000%, 09/01/2031 (A) | 722 | 610 | ||||||
5.500%, 01/15/2028 (A) | 70 | 60 | ||||||
Targa Resources Partners | ||||||||
6.875%, 01/15/2029 | 192 | 189 | ||||||
6.500%, 07/15/2027 | 523 | 517 | ||||||
5.000%, 01/15/2028 | 310 | 287 | ||||||
4.875%, 02/01/2031 | 402 | 346 | ||||||
4.000%, 01/15/2032 | 167 | 138 | ||||||
TerraForm Power Operating | ||||||||
5.000%, 01/31/2028 (A) | 2,957 | 2,605 | ||||||
4.750%, 01/15/2030 (A) | 375 | 318 | ||||||
Transocean | ||||||||
11.500%, 01/30/2027 (A) | 1,505 | 1,392 | ||||||
8.000%, 02/01/2027 (A) | 1,425 | 990 | ||||||
7.500%, 04/15/2031 | 790 | 411 | ||||||
Transocean Guardian | ||||||||
5.875%, 01/15/2024 (A) | 394 | 371 | ||||||
Transocean Pontus | ||||||||
6.125%, 08/01/2025 (A) | 106 | 99 | ||||||
USA Compression Partners | ||||||||
6.875%, 09/01/2027 | 2,425 | 2,204 | ||||||
Venture Global Calcasieu Pass | ||||||||
4.125%, 08/15/2031 (A) | 255 | 211 | ||||||
3.875%, 08/15/2029 (A) | 255 | 219 | ||||||
3.875%, 11/01/2033 (A) | 3,079 | 2,394 | ||||||
Weatherford International | ||||||||
8.625%, 04/30/2030 (A) | 2,027 | 1,765 | ||||||
Western Midstream Operating | ||||||||
5.500%, 02/01/2050 | 2,924 | 2,361 | ||||||
134,801 | ||||||||
Financials — 6.7% | ||||||||
Acrisure | ||||||||
10.125%, 08/01/2026 (A) | 1,211 | 1,166 | ||||||
4.250%, 02/15/2029 (A) | 1,702 | 1,334 | ||||||
AG Issuer | ||||||||
6.250%, 03/01/2028 (A) | 1,208 | 1,045 | ||||||
Alliant Holdings Intermediate | ||||||||
6.750%, 10/15/2027 (A) | 1,531 | 1,319 | ||||||
5.875%, 11/01/2029 (A) | 1,445 | 1,174 | ||||||
Ally Financial | ||||||||
8.000%, 11/01/2031 | 2,253 | 2,362 | ||||||
Apollo Commercial Real Estate Finance | ||||||||
4.625%, 06/15/2029 (A) | 798 | 601 | ||||||
Armor Holdco | ||||||||
8.500%, 11/15/2029 (A) | 1,560 | 1,242 | ||||||
AssuredPartners | ||||||||
5.625%, 01/15/2029 (A) | 515 | 400 | ||||||
Blackstone Private Credit Fund | ||||||||
4.700%, 03/24/2025 | 985 | 932 | ||||||
2.625%, 12/15/2026 | 2,532 | 2,079 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Block | ||||||||
3.500%, 06/01/2031 | $ | 204 | $ | 158 | ||||
BroadStreet Partners | ||||||||
5.875%, 04/15/2029 (A) | 2,805 | 2,209 | ||||||
Brookfield Property REIT | ||||||||
4.500%, 04/01/2027 (A) | 5,035 | 4,128 | ||||||
Coinbase Global | ||||||||
3.625%, 10/01/2031 (A) | 80 | 44 | ||||||
3.375%, 10/01/2028 (A) | 80 | 50 | ||||||
CPI CG | ||||||||
8.625%, 03/15/2026 (A) | 1,148 | 1,067 | ||||||
Finance of America Funding | ||||||||
7.875%, 11/15/2025 (A) | 4,989 | 3,157 | ||||||
FirstCash | ||||||||
5.625%, 01/01/2030 (A) | 2,410 | 2,061 | ||||||
Freedom Mortgage | ||||||||
8.250%, 04/15/2025 (A) | 2,617 | 2,162 | ||||||
7.625%, 05/01/2026 (A) | 1,235 | 922 | ||||||
6.625%, 01/15/2027 (A) | 1,195 | 852 | ||||||
HAT Holdings I | ||||||||
6.000%, 04/15/2025 (A) | 957 | 900 | ||||||
3.750%, 09/15/2030 (A) | 1,667 | 1,212 | ||||||
3.375%, 06/15/2026 (A) | 577 | 463 | ||||||
Home Point Capital | ||||||||
5.000%, 02/01/2026 (A) | 1,670 | 1,046 | ||||||
HSBC Holdings | ||||||||
4.600%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.649%(F)(G) | 783 | 543 | ||||||
HUB International | ||||||||
5.625%, 12/01/2029 (A) | 2,530 | 2,113 | ||||||
Hunt | ||||||||
5.250%, 04/15/2029 (A) | 953 | 730 | ||||||
Jane Street Group | ||||||||
4.500%, 11/15/2029 (A) | 2,099 | 1,805 | ||||||
JPMorgan Chase | ||||||||
5.000%, U.S. SOFR + 3.380%(F)(G) | 856 | 772 | ||||||
Ladder Capital Finance Holdings LLLP | ||||||||
5.250%, 10/01/2025 (A) | 210 | 193 | ||||||
4.750%, 06/15/2029 (A) | 1,750 | 1,310 | ||||||
4.250%, 02/01/2027 (A) | 1,598 | 1,287 | ||||||
LD Holdings Group | ||||||||
6.500%, 11/01/2025 (A) | 615 | 369 | ||||||
6.125%, 04/01/2028 (A) | 2,265 | 1,178 | ||||||
LPL Holdings | ||||||||
4.625%, 11/15/2027 (A) | 1,025 | 929 | ||||||
4.375%, 05/15/2031 (A) | 325 | 269 | ||||||
Merger Sub II | ||||||||
10.750%, 08/01/2027 (A) | 1,515 | 1,485 | ||||||
Midcap Financial Issuer Trust | ||||||||
6.500%, 05/01/2028 (A) | 2,770 | 2,367 | ||||||
5.625%, 01/15/2030 (A) | 1,666 | 1,276 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
219
SCHEDULE OF INVESTMENTS
September 30, 2022
High Yield Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
MPH Acquisition Holdings | ||||||||
5.750%, 11/01/2028 (A) | $ | 1,592 | $ | 1,196 | ||||
Nationstar Mortgage Holdings | ||||||||
6.000%, 01/15/2027 (A) | 903 | 771 | ||||||
5.750%, 11/15/2031 (A) | 270 | 198 | ||||||
5.500%, 08/15/2028 (A) | 1,487 | 1,168 | ||||||
5.125%, 12/15/2030 (A) | 138 | 100 | ||||||
Navient | ||||||||
5.500%, 03/15/2029 | 1,860 | 1,414 | ||||||
5.000%, 03/15/2027 | 1,916 | 1,567 | ||||||
4.875%, 03/15/2028 | 307 | 234 | ||||||
NFP | ||||||||
6.875%, 08/15/2028 (A) | 845 | 659 | ||||||
4.875%, 08/15/2028 (A) | 1,034 | 882 | ||||||
OneMain Finance | ||||||||
7.125%, 03/15/2026 | 1,565 | 1,411 | ||||||
6.625%, 01/15/2028 | 996 | 855 | ||||||
5.375%, 11/15/2029 | 1,412 | 1,094 | ||||||
4.000%, 09/15/2030 | 2,317 | 1,626 | ||||||
3.875%, 09/15/2028 | 253 | 186 | ||||||
3.500%, 01/15/2027 | 355 | 276 | ||||||
PennyMac Financial Services | ||||||||
5.750%, 09/15/2031 (A) | 680 | 486 | ||||||
5.375%, 10/15/2025 (A) | 561 | 480 | ||||||
4.250%, 02/15/2029 (A) | 2,163 | 1,541 | ||||||
Rithm Capital | ||||||||
6.250%, 10/15/2025 (A) | 3,237 | 2,741 | ||||||
Rocket Mortgage | ||||||||
4.000%, 10/15/2033 (A) | 1,902 | 1,308 | ||||||
3.625%, 03/01/2029 (A) | 3,120 | 2,401 | ||||||
2.875%, 10/15/2026 (A) | 180 | 148 | ||||||
Ryan Specialty Group | ||||||||
4.375%, 02/01/2030 (A) | 1,957 | 1,660 | ||||||
Sabre GLBL | ||||||||
9.250%, 04/15/2025 (A) | 98 | 94 | ||||||
TTMT Escrow Issuer | ||||||||
8.625%, 09/30/2027 (A) | 419 | 394 | ||||||
United Wholesale Mortgage | ||||||||
5.750%, 06/15/2027 (A) | 1,400 | 1,109 | ||||||
Verscend Escrow | ||||||||
9.750%, 08/15/2026 (A) | 782 | 755 | ||||||
VistaJet Malta Finance | ||||||||
6.375%, 02/01/2030 (A) | 6,947 | 5,679 | ||||||
WeWork | ||||||||
7.875%, 05/01/2025 (A) | 3,135 | 2,171 | ||||||
85,315 | ||||||||
Health Care — 6.9% | ||||||||
1375209 B.C. Ltd | ||||||||
9.000%, 01/30/2028 (A) | 1,408 | 1,397 | ||||||
180 Medical Inc | ||||||||
3.875%, 10/15/2029 (A) | 200 | 166 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Acadia Healthcare | ||||||||
5.500%, 07/01/2028 (A) | $ | 441 | $ | 402 | ||||
5.000%, 04/15/2029 (A) | 1,213 | 1,074 | ||||||
AHP Health Partners | ||||||||
5.750%, 07/15/2029 (A) | 156 | 121 | ||||||
Air Methods | ||||||||
8.000%, 05/15/2025 (A) | 2,689 | 1,349 | ||||||
Akumin | ||||||||
7.000%, 11/01/2025 (A) | 3,280 | 2,693 | ||||||
Akumin Escrow | ||||||||
7.500%, 08/01/2028 (A) | 1,075 | 821 | ||||||
AthenaHealth Group | ||||||||
6.500%, 02/15/2030 (A) | 1,490 | 1,178 | ||||||
Avantor Funding | ||||||||
4.625%, 07/15/2028 (A) | 574 | 511 | ||||||
3.875%, 11/01/2029 (A) | 2,166 | 1,759 | ||||||
Bausch Health | ||||||||
14.000%, 10/15/2030 (A) | 281 | 153 | ||||||
9.000%, 12/15/2025 (A) | 1,765 | 1,121 | ||||||
5.750%, 08/15/2027 (A) | 220 | 150 | ||||||
5.500%, 11/01/2025 (A) | 1,546 | 1,228 | ||||||
5.250%, 01/30/2030 (A) | 4,395 | 1,641 | ||||||
5.250%, 02/15/2031 (A) | 848 | 319 | ||||||
5.000%, 01/30/2028 (A) | 215 | 79 | ||||||
5.000%, 02/15/2029 (A) | 445 | 173 | ||||||
4.875%, 06/01/2028 (A) | 1,255 | 809 | ||||||
Bausch Health Americas | ||||||||
9.250%, 04/01/2026 (A) | 1,210 | 717 | ||||||
8.500%, 01/31/2027 (A) | 444 | 189 | ||||||
Bristol-Myers Squibb | ||||||||
2.550%, 11/13/2050 | 1,755 | 1,081 | ||||||
Centene | ||||||||
4.625%, 12/15/2029 | 1,107 | 995 | ||||||
4.250%, 12/15/2027 | 1,497 | 1,369 | ||||||
3.375%, 02/15/2030 | 1,440 | 1,177 | ||||||
2.625%, 08/01/2031 | 1,905 | 1,436 | ||||||
2.500%, 03/01/2031 | 2,524 | 1,903 | ||||||
CHS | ||||||||
8.000%, 03/15/2026 (A) | 470 | 407 | ||||||
6.875%, 04/01/2028 (A) | 2,055 | 940 | ||||||
6.875%, 04/15/2029 (A) | 480 | 232 | ||||||
6.125%, 04/01/2030 (A) | 709 | 334 | ||||||
6.000%, 01/15/2029 (A) | 250 | 184 | ||||||
5.625%, 03/15/2027 (A) | 165 | 127 | ||||||
5.250%, 05/15/2030 (A) | 1,470 | 1,024 | ||||||
4.750%, 02/15/2031 (A) | 1,150 | 773 | ||||||
DaVita | ||||||||
4.625%, 06/01/2030 (A) | 520 | 402 | ||||||
3.750%, 02/15/2031 (A) | 583 | 415 | ||||||
Embecta | ||||||||
6.750%, 02/15/2030 (A) | 335 | 309 | ||||||
5.000%, 02/15/2030 (A) | 940 | 807 |
220
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Emergent BioSolutions | ||||||||
3.875%, 08/15/2028 (A) | $ | 307 | $ | 204 | ||||
Encompass Health | ||||||||
4.750%, 02/01/2030 | 1,521 | 1,251 | ||||||
4.500%, 02/01/2028 | 425 | 364 | ||||||
Endo DAC | ||||||||
9.500%, 07/31/2027 (A)(D) | 1,406 | 204 | ||||||
6.000%, 06/30/2028 (A)(D) | 1,302 | 72 | ||||||
Endo Luxembourg Finance I Sarl | ||||||||
6.125%, 04/01/2029 (A)(D) | 1,035 | 817 | ||||||
Envision Healthcare | ||||||||
8.750%, 10/15/2026 (A) | 1,895 | 607 | ||||||
Global Medical Response | ||||||||
6.500%, 10/01/2025 (A) | 4,110 | 3,447 | ||||||
Grifols Escrow Issuer | ||||||||
4.750%, 10/15/2028 (A) | 200 | 155 | ||||||
HCA | ||||||||
5.875%, 02/15/2026 | 1,675 | 1,652 | ||||||
5.875%, 02/01/2029 | 780 | 758 | ||||||
3.500%, 09/01/2030 | 3,181 | 2,627 | ||||||
Hologic | ||||||||
3.250%, 02/15/2029 (A) | 508 | 415 | ||||||
IQVIA | ||||||||
5.000%, 10/15/2026 (A) | 805 | 767 | ||||||
Lannett | ||||||||
7.750%, 04/15/2026 (A) | 2,520 | 706 | ||||||
Legacy LifePoint Health | ||||||||
4.375%, 02/15/2027 (A) | 3,416 | 2,823 | ||||||
LifePoint Health | ||||||||
5.375%, 01/15/2029 (A) | 1,658 | 1,156 | ||||||
Mallinckrodt International Finance | ||||||||
11.500%, 12/15/2028 (A) | 575 | 518 | ||||||
10.000%, 06/15/2029 (A) | 235 | 128 | ||||||
Medline Borrower | ||||||||
5.250%, 10/01/2029 (A) | 892 | 673 | ||||||
3.875%, 04/01/2029 (A) | 4,456 | 3,572 | ||||||
ModivCare Escrow Issuer | ||||||||
5.000%, 10/01/2029 (A) | 1,290 | 1,048 | ||||||
Molina Healthcare | ||||||||
4.375%, 06/15/2028 (A) | 1,443 | 1,302 | ||||||
Organon | ||||||||
5.125%, 04/30/2031 (A) | 2,821 | 2,311 | ||||||
4.125%, 04/30/2028 (A) | 1,206 | 1,031 | ||||||
Owens & Minor | ||||||||
6.625%, 04/01/2030 (A) | 750 | 660 | ||||||
4.500%, 03/31/2029 (A) | 467 | 367 | ||||||
Par Pharmaceutical | ||||||||
7.500%, 04/01/2027 (A)(D) | 1,353 | 1,069 | ||||||
Pediatrix Medical Group | ||||||||
5.375%, 02/15/2030 (A) | 2,299 | 1,905 | ||||||
PRA Health Sciences | ||||||||
2.875%, 07/15/2026 (A) | 1,331 | 1,171 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Prestige Brands | ||||||||
5.125%, 01/15/2028 (A) | $ | 365 | $ | 328 | ||||
Prime Security Services Borrower | ||||||||
6.250%, 01/15/2028 (A) | 1,070 | 913 | ||||||
3.375%, 08/31/2027 (A) | 679 | 570 | ||||||
Radiology Partners | ||||||||
9.250%, 02/01/2028 (A) | 974 | 635 | ||||||
Royalty Pharma | ||||||||
2.200%, 09/02/2030 | 691 | 527 | ||||||
RP Escrow Issuer | ||||||||
5.250%, 12/15/2025 (A) | 2,873 | 2,374 | ||||||
Syneos Health | ||||||||
3.625%, 01/15/2029 (A) | 2,653 | 2,113 | ||||||
Tenet Healthcare | ||||||||
6.250%, 02/01/2027 (A) | 733 | 684 | ||||||
6.125%, 10/01/2028 (A) | 1,750 | 1,533 | ||||||
6.125%, 06/15/2030 (A) | 1,441 | 1,320 | ||||||
5.125%, 11/01/2027 (A) | 663 | 595 | ||||||
4.875%, 01/01/2026 (A) | 3,511 | 3,263 | ||||||
4.625%, 06/15/2028 (A) | 2,462 | 2,152 | ||||||
4.375%, 01/15/2030 (A) | 710 | 593 | ||||||
4.250%, 06/01/2029 (A) | 1,476 | 1,223 | ||||||
US Acute Care Solutions | ||||||||
6.375%, 03/01/2026 (A) | 1,928 | 1,620 | ||||||
US Renal Care | ||||||||
10.625%, 07/15/2027 (A) | 2,010 | 922 | ||||||
Varex Imaging | ||||||||
7.875%, 10/15/2027 (A) | 1,081 | 1,060 | ||||||
88,170 | ||||||||
Industrials — 6.8% | ||||||||
ACCO Brands | ||||||||
4.250%, 03/15/2029 (A) | 545 | 410 | ||||||
ADT Security | ||||||||
4.875%, 07/15/2032 (A) | 1,563 | 1,260 | ||||||
4.125%, 08/01/2029 (A) | 271 | 225 | ||||||
Air Canada | ||||||||
3.875%, 08/15/2026 (A) | 1,084 | 931 | ||||||
Allegiant Travel | ||||||||
7.250%, 08/15/2027 (A) | 858 | 809 | ||||||
Allied Universal Holdco | ||||||||
6.625%, 07/15/2026 (A) | 185 | 165 | ||||||
4.625%, 06/01/2028 (A) | 400 | 305 | ||||||
Allison Transmission | ||||||||
5.875%, 06/01/2029 (A) | 210 | 190 | ||||||
4.750%, 10/01/2027 (A) | 545 | 480 | ||||||
3.750%, 01/30/2031 (A) | 1,485 | 1,138 | ||||||
American Airlines | ||||||||
5.750%, 04/20/2029 (A) | 2,891 | 2,522 | ||||||
5.500%, 04/20/2026 (A) | 1,790 | 1,681 | ||||||
American Airlines Group | ||||||||
3.750%, 03/01/2025 (A) | 1,306 | 1,068 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
221
SCHEDULE OF INVESTMENTS
September 30, 2022
High Yield Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
American Builders & Contractors Supply | ||||||||
4.000%, 01/15/2028 (A) | $ | 1,692 | $ | 1,480 | ||||
APi Group DE | ||||||||
4.750%, 10/15/2029 (A) | 135 | 112 | ||||||
4.125%, 07/15/2029 (A) | 214 | 170 | ||||||
Artera Services | ||||||||
9.033%, 12/04/2025 (A) | 2,312 | 1,861 | ||||||
ATS Automation Tooling Systems | ||||||||
4.125%, 12/15/2028 (A) | 270 | 224 | ||||||
Avianca Midco 2 | ||||||||
9.000%, 12/01/2028 (A) | 1,763 | 1,329 | ||||||
Avis Budget Car Rental | ||||||||
5.750%, 07/15/2027 (A) | 315 | 276 | ||||||
5.375%, 03/01/2029 (A) | 598 | 491 | ||||||
Boeing | ||||||||
3.625%, 02/01/2031 | 824 | 684 | ||||||
Bombardier | ||||||||
7.875%, 04/15/2027 (A) | 3,081 | 2,835 | ||||||
7.500%, 03/15/2025 (A) | 407 | 396 | ||||||
7.125%, 06/15/2026 (A) | 695 | 637 | ||||||
Builders FirstSource | ||||||||
6.375%, 06/15/2032 (A) | 236 | 210 | ||||||
4.250%, 02/01/2032 (A) | 203 | 156 | ||||||
BWX Technologies | ||||||||
4.125%, 06/30/2028 (A) | 762 | 665 | ||||||
4.125%, 04/15/2029 (A) | 969 | 838 | ||||||
Cargo Aircraft Management | ||||||||
4.750%, 02/01/2028 (A) | 633 | 545 | ||||||
CDW | ||||||||
4.250%, 04/01/2028 | 370 | 329 | ||||||
3.250%, 02/15/2029 | 171 | 139 | ||||||
CoreCivic | ||||||||
8.250%, 04/15/2026 | 267 | 266 | ||||||
CoreLogic | ||||||||
4.500%, 05/01/2028 (A) | 471 | 337 | ||||||
CP Atlas Buyer | ||||||||
7.000%, 12/01/2028 (A) | 3,295 | 2,454 | ||||||
Deluxe | ||||||||
8.000%, 06/01/2029 (A) | 2,480 | 2,014 | ||||||
Dycom Industries | ||||||||
4.500%, 04/15/2029 (A) | 333 | 281 | ||||||
EnerSys | ||||||||
4.375%, 12/15/2027 (A) | 559 | 493 | ||||||
EnPro Industries | ||||||||
5.750%, 10/15/2026 | 232 | 223 | ||||||
First Student Bidco | ||||||||
4.000%, 07/31/2029 (A) | 15 | 12 | ||||||
Fortress Transportation and Infrastructure Investors | ||||||||
6.500%, 10/01/2025 (A) | 812 | 763 | ||||||
5.500%, 05/01/2028 (A) | 980 | 784 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Garda World Security | ||||||||
9.500%, 11/01/2027 (A) | $ | 310 | $ | 272 | ||||
6.000%, 06/01/2029 (A) | 242 | 177 | ||||||
GFL Environmental | ||||||||
5.125%, 12/15/2026 (A) | 335 | 312 | ||||||
4.750%, 06/15/2029 (A) | 177 | 149 | ||||||
4.375%, 08/15/2029 (A) | 1,576 | 1,314 | ||||||
4.000%, 08/01/2028 (A) | 269 | 224 | ||||||
3.500%, 09/01/2028 (A) | 3,013 | 2,541 | ||||||
Global Infrastructure Solutions | ||||||||
7.500%, 04/15/2032 (A) | 175 | 133 | ||||||
5.625%, 06/01/2029 (A) | 332 | 245 | ||||||
GrafTech Finance | ||||||||
4.625%, 12/15/2028 (A) | 2,785 | 2,082 | ||||||
Granite US Holdings | ||||||||
11.000%, 10/01/2027 (A) | 2,060 | 1,942 | ||||||
Griffon | ||||||||
5.750%, 03/01/2028 | 500 | 430 | ||||||
H&E Equipment Services | ||||||||
3.875%, 12/15/2028 (A) | 2,810 | 2,206 | ||||||
Harsco | ||||||||
5.750%, 07/31/2027 (A) | 465 | 291 | ||||||
Hawaiian Brand Intellectual Property | ||||||||
5.750%, 01/20/2026 (A) | 1,416 | 1,249 | ||||||
Hertz | ||||||||
5.000%, 12/01/2029 (A) | 479 | 356 | ||||||
4.625%, 12/01/2026 (A) | 465 | 378 | ||||||
Icahn Enterprises | ||||||||
6.250%, 05/15/2026 | 1,046 | 978 | ||||||
4.375%, 02/01/2029 | 523 | 421 | ||||||
IEA Energy Services | ||||||||
6.625%, 08/15/2029 (A) | 1,225 | 1,195 | ||||||
JELD-WEN | ||||||||
6.250%, 05/15/2025 (A) | 235 | 221 | ||||||
4.875%, 12/15/2027 (A) | 225 | 161 | ||||||
4.625%, 12/15/2025 (A) | 355 | 288 | ||||||
Korn Ferry | ||||||||
4.625%, 12/15/2027 (A) | 2,397 | 2,117 | ||||||
Madison IAQ | ||||||||
5.875%, 06/30/2029 (A) | 493 | 343 | ||||||
4.125%, 06/30/2028 (A) | 170 | 137 | ||||||
Masonite International | ||||||||
5.375%, 02/01/2028 (A) | 298 | 264 | ||||||
MasTec | ||||||||
4.500%, 08/15/2028 (A) | 433 | 378 | ||||||
Mileage Plus Holdings | ||||||||
6.500%, 06/20/2027 (A) | 3,070 | 3,005 | ||||||
MIWD Holdco II | ||||||||
5.500%, 02/01/2030 (A) | 221 | 164 | ||||||
Monitronics International (Escrow Security) | ||||||||
9.125%, 04/01/2020 (B)(D) | 5,936 | – |
222
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Nielsen Finance | ||||||||
5.625%, 10/01/2028 (A) | $ | 280 | $ | 278 | ||||
4.500%, 07/15/2029 (A) | 25 | 25 | ||||||
PGT Innovations | ||||||||
4.375%, 10/01/2029 (A) | 133 | 109 | ||||||
Prime Security Services Borrower | ||||||||
5.750%, 04/15/2026 (A) | 1,189 | 1,119 | ||||||
Raytheon Technologies | ||||||||
3.030%, 03/15/2052 | 780 | 509 | ||||||
2.820%, 09/01/2051 | 1,115 | 699 | ||||||
Sensata Technologies | ||||||||
4.375%, 02/15/2030 (A) | 788 | 658 | ||||||
4.000%, 04/15/2029 (A) | 816 | 675 | ||||||
3.750%, 02/15/2031 (A) | 109 | 86 | ||||||
Signature Aviation US Holdings | ||||||||
4.000%, 03/01/2028 (A) | 1,133 | 1,054 | ||||||
Spirit AeroSystems | ||||||||
7.500%, 04/15/2025 (A) | 268 | 253 | ||||||
4.600%, 06/15/2028 | 2,460 | 1,778 | ||||||
3.950%, 06/15/2023 | 1,444 | 1,384 | ||||||
Standard Industries | ||||||||
5.000%, 02/15/2027 (A) | 30 | 27 | ||||||
4.750%, 01/15/2028 (A) | 768 | 649 | ||||||
3.375%, 01/15/2031 (A) | 88 | 62 | ||||||
Stericycle | ||||||||
3.875%, 01/15/2029 (A) | 284 | 235 | ||||||
Team Health Holdings | ||||||||
6.375%, 02/01/2025 (A) | 3,363 | 2,491 | ||||||
Terex | ||||||||
5.000%, 05/15/2029 (A) | 335 | 287 | ||||||
TK Elevator US Newco | ||||||||
5.250%, 07/15/2027 (A) | 1,548 | 1,316 | ||||||
TransDigm | ||||||||
6.250%, 03/15/2026 (A) | 1,495 | 1,450 | ||||||
5.500%, 11/15/2027 | 1,982 | 1,724 | ||||||
4.625%, 01/15/2029 | 488 | 393 | ||||||
Triumph Group | ||||||||
7.750%, 08/15/2025 | 1,395 | 1,066 | ||||||
6.250%, 09/15/2024 (A) | 250 | 228 | ||||||
Tutor Perini | ||||||||
6.875%, 05/01/2025 (A) | 6,576 | 4,918 | ||||||
Uber Technologies | ||||||||
7.500%, 09/15/2027 (A) | 135 | 132 | ||||||
4.500%, 08/15/2029 (A) | 244 | 205 | ||||||
United Airlines | ||||||||
4.625%, 04/15/2029 (A) | 909 | 752 | ||||||
4.375%, 04/15/2026 (A) | 2,517 | 2,246 | ||||||
United Rentals North America | ||||||||
4.875%, 01/15/2028 | 875 | 802 | ||||||
Vertiv Group | ||||||||
4.125%, 11/15/2028 (A) | 820 | 660 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Wabash National | ||||||||
4.500%, 10/15/2028 (A) | $ | 240 | $ | 186 | ||||
WESCO Distribution | ||||||||
7.250%, 06/15/2028 (A) | 468 | 458 | ||||||
7.125%, 06/15/2025 (A) | 356 | 356 | ||||||
Western Global Airlines | ||||||||
10.375%, 08/15/2025 (A) | 1,135 | 1,013 | ||||||
Wolverine Escrow | ||||||||
13.125%, 11/15/2027 (A) | 100 | 30 | ||||||
9.000%, 11/15/2026 (A) | 608 | 365 | ||||||
86,839 | ||||||||
Information Technology — 5.4% | ||||||||
ACI Worldwide | ||||||||
5.750%, 08/15/2026 (A) | 394 | 372 | ||||||
Ahead DB Holdings | ||||||||
6.625%, 05/01/2028 (A) | 2,330 | 1,986 | ||||||
ams-OSRAM | ||||||||
7.000%, 07/31/2025 (A) | 1,617 | 1,462 | ||||||
Apple | ||||||||
2.800%, 02/08/2061 | 2,256 | 1,404 | ||||||
2.700%, 08/05/2051 | 245 | 162 | ||||||
2.650%, 05/11/2050 | 2,760 | 1,815 | ||||||
2.650%, 02/08/2051 | 460 | 302 | ||||||
2.375%, 02/08/2041 | 435 | 301 | ||||||
Arches Buyer | ||||||||
6.125%, 12/01/2028 (A) | 1,686 | 1,306 | ||||||
4.250%, 06/01/2028 (A) | 213 | 166 | ||||||
Avaya | ||||||||
6.125%, 09/15/2028 (A) | 3,025 | 1,505 | ||||||
Black Knight InfoServ | ||||||||
3.625%, 09/01/2028 (A) | 196 | 166 | ||||||
Bread Financial Holdings | ||||||||
4.750%, 12/15/2024 (A) | 840 | 733 | ||||||
Castle US Holding | ||||||||
9.500%, 02/15/2028 (A) | 1,205 | 886 | ||||||
Ciena | ||||||||
4.000%, 01/31/2030 (A) | 910 | 760 | ||||||
Clarivate Science Holdings | ||||||||
4.875%, 07/01/2029 (A) | 184 | 144 | ||||||
3.875%, 07/01/2028 (A) | 164 | 135 | ||||||
Coherent | ||||||||
5.000%, 12/15/2029 (A) | 3,042 | 2,516 | ||||||
CommScope | ||||||||
8.250%, 03/01/2027 (A) | 5,580 | 4,610 | ||||||
7.125%, 07/01/2028 (A) | 1,760 | 1,359 | ||||||
6.000%, 03/01/2026 (A) | 845 | 778 | ||||||
4.750%, 09/01/2029 (A) | 359 | 293 | ||||||
CommScope Technologies | ||||||||
6.000%, 06/15/2025 (A) | 1,981 | 1,760 | ||||||
5.000%, 03/15/2027 (A) | 195 | 147 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
223
SCHEDULE OF INVESTMENTS
September 30, 2022
High Yield Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Condor Merger Sub | ||||||||
7.375%, 02/15/2030 (A) | $ | 1,839 | $ | 1,504 | ||||
Conduent Business Services | ||||||||
6.000%, 11/01/2029 (A) | 310 | 246 | ||||||
Elastic | ||||||||
4.125%, 07/15/2029 (A) | 1,401 | 1,107 | ||||||
Entegris | ||||||||
4.375%, 04/15/2028 (A) | 142 | 120 | ||||||
3.625%, 05/01/2029 (A) | 2,014 | 1,594 | ||||||
Entegris Escrow | ||||||||
5.950%, 06/15/2030 (A) | 50 | 46 | ||||||
4.750%, 04/15/2029 (A) | 2,110 | 1,859 | ||||||
Gartner | ||||||||
4.500%, 07/01/2028 (A) | 70 | 63 | ||||||
3.750%, 10/01/2030 (A) | 47 | 39 | ||||||
3.625%, 06/15/2029 (A) | 184 | 153 | ||||||
Go Daddy Operating | ||||||||
5.250%, 12/01/2027 (A) | 1,191 | 1,097 | ||||||
HP | ||||||||
4.750%, 03/01/2029 (A) | 164 | 165 | ||||||
Imola Merger | ||||||||
4.750%, 05/15/2029 (A) | 921 | 777 | ||||||
Intel | ||||||||
3.200%, 08/12/2061 | 1,205 | 751 | ||||||
3.100%, 02/15/2060 | 360 | 217 | ||||||
3.050%, 08/12/2051 | 2,229 | 1,431 | ||||||
ION Trading Technologies Sarl | ||||||||
5.750%, 05/15/2028 (A) | 2,145 | 1,748 | ||||||
Microsoft | ||||||||
2.525%, 06/01/2050 | 2,229 | 1,456 | ||||||
NCR | ||||||||
6.125%, 09/01/2029 (A) | 450 | 387 | ||||||
5.750%, 09/01/2027 (A) | 455 | 412 | ||||||
5.125%, 04/15/2029 (A) | 203 | 152 | ||||||
5.000%, 10/01/2028 (A) | 147 | 116 | ||||||
Northwest Fiber | ||||||||
4.750%, 04/30/2027 (A) | 2,100 | 1,827 | ||||||
NVIDIA | ||||||||
2.850%, 04/01/2030 | 1,254 | 1,075 | ||||||
ON Semiconductor | ||||||||
3.875%, 09/01/2028 (A) | 471 | 403 | ||||||
Open Text Holdings | ||||||||
4.125%, 02/15/2030 (A) | 1,604 | 1,281 | ||||||
Oracle | ||||||||
2.500%, 04/01/2025 | 1,381 | 1,287 | ||||||
Paysafe Finance | ||||||||
4.000%, 06/15/2029 (A) | 3,186 | 2,226 | ||||||
Picard Midco | ||||||||
6.500%, 03/31/2029 (A) | 386 | 326 | ||||||
Presidio Holdings | ||||||||
4.875%, 02/01/2027 (A) | 260 | 230 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
PTC | ||||||||
4.000%, 02/15/2028 (A) | $ | 502 | $ | 439 | ||||
Salesforce | ||||||||
1.500%, 07/15/2028 | 835 | 701 | ||||||
Science Applications International | ||||||||
4.875%, 04/01/2028 (A) | 1,572 | 1,399 | ||||||
Seagate HDD Cayman | ||||||||
5.750%, 12/01/2034 | 1,648 | 1,309 | ||||||
3.375%, 07/15/2031 | 1,556 | 1,086 | ||||||
Sensata Technologies | ||||||||
5.875%, 09/01/2030 (A) | 200 | 187 | ||||||
Sprint | ||||||||
7.625%, 02/15/2025 | 1,898 | 1,946 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/2032 | 2,188 | 2,535 | ||||||
SS&C Technologies | ||||||||
5.500%, 09/30/2027 (A) | 643 | 587 | ||||||
Synaptics | ||||||||
4.000%, 06/15/2029 (A) | 1,899 | 1,529 | ||||||
VeriSign | ||||||||
4.750%, 07/15/2027 | 2,253 | 2,167 | ||||||
Veritas US | ||||||||
7.500%, 09/01/2025 (A) | 4,480 | 3,431 | ||||||
Viasat | ||||||||
6.500%, 07/15/2028 (A) | 2,175 | 1,446 | ||||||
Virtusa | ||||||||
7.125%, 12/15/2028 (A) | 1,327 | 986 | ||||||
Xerox Holdings | ||||||||
5.500%, 08/15/2028 (A) | 278 | 222 | ||||||
5.000%, 08/15/2025 (A) | 278 | 250 | ||||||
69,383 | ||||||||
Materials — 7.4% | ||||||||
Alcoa Nederland Holding BV | ||||||||
5.500%, 12/15/2027 (A) | 600 | 560 | ||||||
Arconic | ||||||||
6.125%, 02/15/2028 (A) | 729 | 644 | ||||||
6.000%, 05/15/2025 (A) | 228 | 219 | ||||||
ARD Finance | ||||||||
6.500%cash/0% PIK, 06/30/2027 (A) | 2,589 | 1,773 | ||||||
Ardagh Metal Packaging Finance USA | ||||||||
6.000%, 06/15/2027 (A) | 200 | 188 | ||||||
3.250%, 09/01/2028 (A) | 840 | 685 | ||||||
Ardagh Packaging Finance | ||||||||
5.250%, 04/30/2025 (A) | 1,834 | 1,716 | ||||||
5.250%, 08/15/2027 (A) | 655 | 410 | ||||||
4.125%, 08/15/2026 (A) | 1,293 | 1,077 | ||||||
Ashland | ||||||||
6.875%, 05/15/2043 | 851 | 815 | ||||||
ASP Unifrax Holdings | ||||||||
5.250%, 09/30/2028 (A) | 2,396 | 1,840 |
224
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
ATI | ||||||||
5.875%, 12/01/2027 | $ | 174 | $ | 158 | ||||
5.125%, 10/01/2031 | 80 | 65 | ||||||
4.875%, 10/01/2029 | 160 | 133 | ||||||
Avient | ||||||||
7.125%, 08/01/2030 (A) | 69 | 64 | ||||||
Axalta Coating Systems | ||||||||
4.750%, 06/15/2027 (A) | 394 | 351 | ||||||
3.375%, 02/15/2029 (A) | 205 | 161 | ||||||
Baffinland Iron Mines | ||||||||
8.750%, 07/15/2026 (A) | 2,595 | 2,291 | ||||||
Ball | ||||||||
3.125%, 09/15/2031 | 1,308 | 986 | ||||||
Big River Steel | ||||||||
6.625%, 01/31/2029 (A) | 213 | 196 | ||||||
Carpenter Technology | ||||||||
7.625%, 03/15/2030 | 60 | 58 | ||||||
6.375%, 07/15/2028 | 184 | 171 | ||||||
Celanese US Holdings | ||||||||
6.050%, 03/15/2025 | 2,253 | 2,201 | ||||||
CEMEX Materials | ||||||||
7.700%, 07/21/2025 (A) | 2,320 | 2,301 | ||||||
CF Industries | ||||||||
5.150%, 03/15/2034 | 1,309 | 1,177 | ||||||
Chemours | ||||||||
5.750%, 11/15/2028 (A) | 1,554 | 1,271 | ||||||
4.625%, 11/15/2029 (A) | 1,316 | 977 | ||||||
Cleveland-Cliffs | ||||||||
4.875%, 03/01/2031 (A) | 119 | 98 | ||||||
4.625%, 03/01/2029 (A) | 213 | 179 | ||||||
Cornerstone Chemical | ||||||||
6.750%, 08/15/2024 (A) | 6,825 | 5,753 | ||||||
Crown Americas | ||||||||
4.750%, 02/01/2026 | 835 | 778 | ||||||
CVR Partners | ||||||||
6.125%, 06/15/2028 (A)(D) | 1,301 | 1,133 | ||||||
Domtar | ||||||||
6.750%, 10/01/2028 (A) | 1,795 | 1,379 | ||||||
Eldorado | ||||||||
6.250%, 09/01/2029 (A) | 793 | 604 | ||||||
Element Solutions | ||||||||
3.875%, 09/01/2028 (A) | 1,192 | 960 | ||||||
ERO Copper | ||||||||
6.500%, 02/15/2030 (A) | 2,690 | 1,992 | ||||||
First Quantum Minerals | ||||||||
7.500%, 04/01/2025 (A) | 258 | 248 | ||||||
6.500%, 03/01/2024 (A) | 1,753 | 1,718 | ||||||
Freeport-McMoRan | ||||||||
5.450%, 03/15/2043 | 2,030 | 1,694 | ||||||
5.400%, 11/14/2034 | 2,035 | 1,809 | ||||||
4.625%, 08/01/2030 | 611 | 535 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
GCP Applied Technologies | ||||||||
5.500%, 04/15/2026 (A) | $ | 575 | $ | 583 | ||||
Glatfelter | ||||||||
4.750%, 11/15/2029 (A) | 154 | 88 | ||||||
Graham Packaging | ||||||||
7.125%, 08/15/2028 (A) | 185 | 149 | ||||||
Hudbay Minerals | ||||||||
4.500%, 04/01/2026 (A) | 205 | 170 | ||||||
INEOS Quattro Finance II | ||||||||
3.375%, 01/15/2026 (A) | 390 | 325 | ||||||
Infrabuild Australia Pty | ||||||||
12.000%, 10/01/2024 (A) | 785 | 726 | ||||||
Innophos Holdings | ||||||||
9.375%, 02/15/2028 (A) | 2,550 | 2,453 | ||||||
LABL | ||||||||
10.500%, 07/15/2027 (A) | 290 | 247 | ||||||
6.750%, 07/15/2026 (A) | 390 | 354 | ||||||
LSB Industries | ||||||||
6.250%, 10/15/2028 (A) | 2,190 | 1,879 | ||||||
Mauser Packaging Solutions Holding | ||||||||
7.250%, 04/15/2025 (A) | 4,033 | 3,548 | ||||||
Methanex | ||||||||
5.125%, 10/15/2027 | 786 | 660 | ||||||
Mineral Resources | ||||||||
8.125%, 05/01/2027 (A) | 3,205 | 3,106 | ||||||
Mineral Resources MTN | ||||||||
8.500%, 05/01/2030 (A) | 235 | 227 | ||||||
8.000%, 11/01/2027 (A) | 350 | 337 | ||||||
Mountain Province Diamonds | ||||||||
8.000%, 12/15/2022 (A)(E) | 2,470 | 2,322 | ||||||
NMG Holding | ||||||||
7.125%, 04/01/2026 (A) | 2,180 | 2,003 | ||||||
Northwest Acquisitions ULC | ||||||||
7.125%, 11/01/2022 (A)(B)(D)(E) | 2,115 | – | ||||||
NOVA Chemicals | ||||||||
5.250%, 06/01/2027 (A) | 590 | 502 | ||||||
5.000%, 05/01/2025 (A) | 889 | 796 | ||||||
4.875%, 06/01/2024 (A) | 300 | 282 | ||||||
4.250%, 05/15/2029 (A) | 213 | 166 | ||||||
Novelis | ||||||||
4.750%, 01/30/2030 (A) | 270 | 221 | ||||||
3.875%, 08/15/2031 (A) | 2,104 | 1,569 | ||||||
3.250%, 11/15/2026 (A) | 166 | 138 | ||||||
OI European Group BV | ||||||||
4.750%, 02/15/2030 (A) | 2,010 | 1,598 | ||||||
Owens-Brockway Glass Container | ||||||||
6.625%, 05/13/2027 (A) | 347 | 314 | ||||||
5.875%, 08/15/2023 (A) | 204 | 201 | ||||||
Pactiv Evergreen Group Issuer | ||||||||
4.375%, 10/15/2028 (A) | 580 | 480 | ||||||
4.000%, 10/15/2027 (A) | 1,688 | 1,415 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
225
SCHEDULE OF INVESTMENTS
September 30, 2022
High Yield Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Polar US Borrower | ||||||||
6.750%, 05/15/2026 (A) | $ | 3,481 | $ | 1,914 | ||||
Rain CII Carbon | ||||||||
7.250%, 04/01/2025 (A) | 3,350 | 2,947 | ||||||
SCIH Salt Holdings | ||||||||
6.625%, 05/01/2029 (A) | 6,329 | 4,865 | ||||||
4.875%, 05/01/2028 (A) | 471 | 389 | ||||||
Scotts Miracle-Gro | ||||||||
4.500%, 10/15/2029 | 84 | 61 | ||||||
4.375%, 02/01/2032 | 212 | 151 | ||||||
4.000%, 04/01/2031 | 470 | 331 | ||||||
SRM Escrow Issuer | ||||||||
6.000%, 11/01/2028 (A) | 790 | 642 | ||||||
Summit Materials | ||||||||
5.250%, 01/15/2029 (A) | 1,704 | 1,499 | ||||||
Tacora Resources | ||||||||
8.250%, 05/15/2026 (A) | 1,685 | 1,431 | ||||||
Taseko Mines | ||||||||
7.000%, 02/15/2026 (A) | 1,659 | 1,319 | ||||||
Trident TPI Holdings | ||||||||
9.250%, 08/01/2024 (A) | 2,428 | 2,228 | ||||||
TriMas | ||||||||
4.125%, 04/15/2029 (A) | 294 | 248 | ||||||
Trinseo Materials Operating | ||||||||
5.375%, 09/01/2025 (A) | 460 | 373 | ||||||
5.125%, 04/01/2029 (A) | 156 | 92 | ||||||
Trivium Packaging Finance BV | ||||||||
8.500%, 08/15/2027 (A) | 200 | 176 | ||||||
5.500%, 08/15/2026 (A) | 599 | 536 | ||||||
Tronox | ||||||||
4.625%, 03/15/2029 (A) | 2,578 | 1,908 | ||||||
United States Steel | ||||||||
6.875%, 03/01/2029 | 293 | 266 | ||||||
Valvoline | ||||||||
3.625%, 06/15/2031 (A) | 1,409 | 1,038 | ||||||
Venator Finance Sarl | ||||||||
9.500%, 07/01/2025 (A) | 250 | 239 | ||||||
5.750%, 07/15/2025 (A) | 4,328 | 2,921 | ||||||
WR Grace Holdings | ||||||||
5.625%, 08/15/2029 (A) | 103 | 77 | ||||||
4.875%, 06/15/2027 (A) | 300 | 258 | ||||||
94,136 | ||||||||
Real Estate — 2.1% | ||||||||
American Tower | ||||||||
3.700%, 10/15/2049 | 150 | 103 | ||||||
3.100%, 06/15/2050 | 565 | 352 | ||||||
2.950%, 01/15/2051 | 1,230 | 738 | ||||||
2.100%, 06/15/2030 | 1,378 | 1,056 | ||||||
Brookfield Property REIT | ||||||||
5.750%, 05/15/2026 (A) | 239 | 216 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Crown Castle | ||||||||
3.250%, 01/15/2051 | $ | 225 | $ | 142 | ||||
2.900%, 04/01/2041 | 1,310 | 851 | ||||||
Cushman & Wakefield US Borrower | ||||||||
6.750%, 05/15/2028 (A) | 405 | 376 | ||||||
Diversified Healthcare Trust | ||||||||
9.750%, 06/15/2025 | 406 | 367 | ||||||
4.375%, 03/01/2031 | 1,230 | 796 | ||||||
Howard Hughes | ||||||||
5.375%, 08/01/2028 (A) | 1,071 | 889 | ||||||
Iron Mountain | ||||||||
5.250%, 03/15/2028 (A) | 756 | 663 | ||||||
5.250%, 07/15/2030 (A) | 865 | 716 | ||||||
5.000%, 07/15/2028 (A) | 255 | 219 | ||||||
4.875%, 09/15/2029 (A) | 1,136 | 933 | ||||||
4.500%, 02/15/2031 (A) | 268 | 207 | ||||||
Outfront Media Capital | ||||||||
4.250%, 01/15/2029 (A) | 2,735 | 2,148 | ||||||
Prologis | ||||||||
3.000%, 04/15/2050 | 475 | 317 | ||||||
2.125%, 10/15/2050 | 920 | 515 | ||||||
Realogy Group | ||||||||
5.250%, 04/15/2030 (A) | 367 | 249 | ||||||
RHP Hotel Properties | ||||||||
4.750%, 10/15/2027 | 798 | 694 | ||||||
4.500%, 02/15/2029 (A) | 269 | 223 | ||||||
SBA Communications | ||||||||
3.125%, 02/01/2029 | 1,320 | 1,062 | ||||||
Service Properties Trust | ||||||||
5.500%, 12/15/2027 | 460 | 374 | ||||||
4.950%, 02/15/2027 | 2,260 | 1,677 | ||||||
4.500%, 06/15/2023 | 547 | 534 | ||||||
4.375%, 02/15/2030 | 3,820 | 2,506 | ||||||
3.950%, 01/15/2028 | 1,416 | 962 | ||||||
Uniti Group | ||||||||
6.000%, 01/15/2030 (A) | 1,383 | 879 | ||||||
VICI Properties | ||||||||
5.750%, 02/01/2027 (A) | 204 | 192 | ||||||
5.625%, 05/01/2024 (A) | 185 | 182 | ||||||
4.625%, 06/15/2025 (A) | 261 | 246 | ||||||
4.625%, 12/01/2029 (A) | 598 | 519 | ||||||
4.500%, 09/01/2026 (A) | 125 | 114 | ||||||
4.500%, 01/15/2028 (A) | 95 | 84 | ||||||
4.250%, 12/01/2026 (A) | 429 | 387 | ||||||
4.125%, 08/15/2030 (A) | 2,956 | 2,469 | ||||||
3.875%, 02/15/2029 (A) | 227 | 191 | ||||||
3.750%, 02/15/2027 (A) | 2,040 | 1,787 | ||||||
26,935 | ||||||||
Utilities — 1.5% | ||||||||
Calpine | ||||||||
5.000%, 02/01/2031 (A) | 175 | 139 |
226
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.625%, 02/01/2029 (A) | $ | 225 | $ | 183 | ||||
Clearway Energy Operating | ||||||||
3.750%, 02/15/2031 (A) | 2,394 | 1,902 | ||||||
Duke Energy Carolinas | ||||||||
6.050%, 04/15/2038 | 418 | 431 | ||||||
Florida Power & Light | ||||||||
2.450%, 02/03/2032 | 845 | 686 | ||||||
NRG Energy | ||||||||
6.625%, 01/15/2027 | 54 | 53 | ||||||
5.750%, 01/15/2028 | 155 | 143 | ||||||
5.250%, 06/15/2029 (A) | 335 | 293 | ||||||
3.875%, 02/15/2032 (A) | 1,011 | 789 | ||||||
3.625%, 02/15/2031 (A) | 3,164 | 2,468 | ||||||
3.375%, 02/15/2029 (A) | 145 | 117 | ||||||
PacifiCorp | ||||||||
5.750%, 04/01/2037 | 418 | 397 | ||||||
Pattern Energy Operations | ||||||||
4.500%, 08/15/2028 (A) | 1,659 | 1,438 | ||||||
PG&E | ||||||||
5.250%, 07/01/2030 | 1,974 | 1,681 | ||||||
5.000%, 07/01/2028 | 284 | 244 | ||||||
Pike | ||||||||
5.500%, 09/01/2028 (A) | 2,292 | 1,857 | ||||||
Solaris Midstream Holdings | ||||||||
7.625%, 04/01/2026 (A) | 980 | 941 | ||||||
Vistra | ||||||||
7.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.740%(A)(F)(G) | 1,050 | 917 | ||||||
Vistra Operations | ||||||||
5.625%, 02/15/2027 (A) | 702 | 657 | ||||||
5.000%, 07/31/2027 (A) | 1,826 | 1,649 | ||||||
4.375%, 05/01/2029 (A) | 961 | 799 | ||||||
4.300%, 07/15/2029 (A) | 942 | 803 | ||||||
18,587 | ||||||||
Total Corporate Obligations | ||||||||
(Cost $1,170,742) ($ Thousands) | 974,829 | |||||||
ASSET-BACKED SECURITIES — 9.2% | ||||||||
Other Asset-Backed Securities — 9.2% | ||||||||
Airplanes Pass-Through Trust, Ser 2001-1A, Cl A9(H) | ||||||||
3.368%, ICE LIBOR USD 1 Month + 0.550%, 03/15/2019 (A)(B)(D)(F) | 587 | 19 | ||||||
Ares XXXIV CLO, Ser 2020-2A, Cl FR | ||||||||
11.340%, ICE LIBOR USD 3 Month + 8.600%, 04/17/2033 (A)(B)(F) | 1,446 | 1,012 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
B&M CLO, Ser 2014-1A, Cl E | ||||||||
8.490%, ICE LIBOR USD 3 Month + 5.750%, 04/16/2026 (A)(B)(F) | $ | 465 | $ | 28 | ||||
Battalion CLO VII, Ser 2014-7A, Cl SUB | ||||||||
0.000%, 07/17/2028 (A)(B)(C)(F) | 4,490 | 123 | ||||||
Battalion CLO VIII, Ser 2015-8A, Cl SUB | ||||||||
0.000%, 07/18/2030 (A)(B)(C)(F) | 3,390 | 1,492 | ||||||
Battalion CLO X, Ser 2016-10A, Cl SUB | ||||||||
0.000%, 01/25/2035 (A)(B)(C)(F) | 4,450 | 3,627 | ||||||
Battalion CLO XI, Ser 2017-11A, Cl SUB | ||||||||
0.000%, 04/24/2034 (A)(B)(C)(F) | 5,857 | 3,690 | ||||||
Battalion CLO XII, Ser 2018-12A, Cl SUB | ||||||||
0.000%, 05/17/2031 (A)(B)(C)(F) | 4,663 | 2,401 | ||||||
Battalion CLO XIV, Ser 2019-14A | ||||||||
0.000%, 04/20/2032 (B)(C) | 3,427 | 2,622 | ||||||
Battalion CLO XVI, Ser 2019-16A, Cl SUB | ||||||||
0.000%, 12/19/2032 (A)(B)(C)(F) | 2,128 | 1,383 | ||||||
Battalion CLO XX, Ser 2021-20A | ||||||||
0.000%, 07/15/2034 (B)(C) | 4,839 | 3,847 | ||||||
Benefit Street Partners CLO III, Ser 2013-IIIA, Cl SUB | ||||||||
0.000%, 07/20/2029 (A)(B)(C)(F) | 2,531 | 354 | ||||||
Benefit Street Partners CLO IV | ||||||||
0.000%, 07/20/2026 (A)(B)(I) | 7 | 2,729 | ||||||
Benefit Street Partners CLO IX | ||||||||
0.000%, 07/20/2025 (A)(B)(I) | 2,293 | 975 | ||||||
Benefit Street Partners CLO V | ||||||||
0.000%, 10/20/2026 (A)(B)(I) | 6,387 | – | ||||||
Benefit Street Partners CLO V-B | ||||||||
0.000%, 04/20/2031 (B)(C) | 10,259 | 3,570 | ||||||
Benefit Street Partners CLO VI, Ser 2015-VIA, Cl SUB | ||||||||
0.000%, 10/18/2029 (A)(B)(C)(F) | 7,502 | 2,720 | ||||||
Benefit Street Partners CLO VII, Ser 2015-VIII, Cl SUB | ||||||||
0.000%, 07/18/2027 (B)(C)(F) | 6,715 | 24 | ||||||
Benefit Street Partners CLO VIII | ||||||||
0.000%, 01/20/2028 (A)(B)(C) | 6,720 | 2,621 | ||||||
Benefit Street Partners CLO X, Ser 2016-10A, Cl SUB | ||||||||
0.000%, 04/20/2034 (A)(B)(C)(F) | 7,631 | 3,739 | ||||||
Benefit Street Partners CLO XIV, Ser 2018-14A, Cl SUB | ||||||||
0.000%, 04/20/2031 (A)(B)(C)(F) | 3,809 | 2,000 | ||||||
Benefit Street Partners CLO XVIII, Ser 2019-18A, Cl SUB | ||||||||
0.000%, 10/15/2034 (A)(B)(C)(F) | 3,486 | 2,330 | ||||||
Benefit Street Partners CLO XX, Ser 2020-20A, Cl SUB | ||||||||
0.000%, 07/15/2034 (A)(B)(C)(F) | 2,261 | 1,802 | ||||||
Benefit Street Partners CLO XXIII, Ser 2021-23A | ||||||||
0.000%, 04/25/2034 (B)(C) | 5,130 | 3,529 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
227
SCHEDULE OF INVESTMENTS
September 30, 2022
High Yield Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Blue Ridge CLO II, Ser 2014-2A, Cl E | ||||||||
6.041%, ICE LIBOR USD 3 Month + 5.800%, 07/18/2026 (A)(B)(F) | $ | 2,571 | $ | – | ||||
Cathedral Lake CLO III, Ser 2015-3A, Cl SUB | ||||||||
0.000%, 01/15/2026 (A)(B)(C)(F) | 2,725 | 872 | ||||||
Cathedral Lake V, Ser 2018-5A, Cl SUB | ||||||||
0.000%, 10/21/2030 (A)(B)(C)(F) | 3,139 | 973 | ||||||
First Eagle Clarendon Fund CLO, Ser 2015-1A, Cl E | ||||||||
8.833%, ICE LIBOR USD 3 Month + 6.050%, 01/25/2027 (A)(B)(F) | 1,946 | 1,887 | ||||||
Great Lakes CLO, Ser 2015-1A, Cl ER | ||||||||
10.100%, ICE LIBOR USD 3 Month + 7.360%, 01/16/2030 (A)(B)(F) | 3,253 | 2,659 | ||||||
Great Lakes CLO, Ser 2015-1A, Cl FR | ||||||||
12.740%, ICE LIBOR USD 3 Month + 10.000%, 01/16/2030 (A)(B)(F) | 1,198 | 908 | ||||||
Great Lakes CLO, Ser 2015-1A, Cl SUB | ||||||||
0.000%, 01/16/2030 (A)(B)(C)(F) | 4,519 | 2,007 | ||||||
Great Lakes CLO, Ser 2017-1A, Cl ER | ||||||||
10.012%, ICE LIBOR USD 3 Month + 7.500%, 10/15/2029 (A)(B)(F) | 3,321 | 2,757 | ||||||
Ivy Hill Middle Market Credit Fund VII, Ser 2013-7A, Cl SUB | ||||||||
0.000%, 10/20/2029 (A)(B)(C)(F) | 2,484 | 1,242 | ||||||
Ivy Hill Middle Market Credit Fund XII, Ser 2017-12A, Cl SUB | ||||||||
0.000%, 07/20/2029 (A)(B)(C)(F) | 651 | 497 | ||||||
Ivy Hill Middle Market Credit Fund XIV, Ser 2018-14A, Cl D | ||||||||
9.810%, ICE LIBOR USD 3 Month + 7.070%, 04/18/2030 (A)(B)(F) | 1,559 | 1,263 | ||||||
Ivy Hill Middle Market Credit Fund XIV, Ser 2018-14A, Cl SUB | ||||||||
0.000%, 04/18/2030 (A)(B)(C)(F) | 1,169 | 766 | ||||||
LCM CLO, Ser 31A | ||||||||
0.000%, 01/20/2032 (B)(C) | 1,115 | 769 | ||||||
Lockwood Grove CLO, Ser 2014-1A, Cl SUB | ||||||||
0.000%, 01/25/2030 (A)(B)(C)(F) | 3,797 | 1,823 | ||||||
Lockwood Grove CLO, Ser 2018-1A, Cl ERR | ||||||||
8.633%, ICE LIBOR USD 3 Month + 5.850%, 01/25/2030 (A)(B)(F) | 2,499 | 1,999 | ||||||
Neuberger Berman CLO XXII, Ser 2016-22A, Cl SUB | ||||||||
0.000%, 10/17/2027 (A)(B)(C)(F) | 3,640 | 1,347 | ||||||
Neuberger Berman Loan Advisers CLO XLI, Ser 2021-41 | ||||||||
0.000%, 04/15/2034 (B)(C) | 1,924 | 1,313 | ||||||
Neuberger Berman Loan Advisers CLO XXXIX, Ser 2020-39 | ||||||||
0.000%, 01/20/2032 (B)(C) | 3,294 | 2,090 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Neuberger Berman Loan Advisers CLO XXXVIII | ||||||||
0.000%, 10/20/2032 (B)(C) | $ | 3,438 | $ | 2,313 | ||||
Neuberger Berman Loan Advisers CLO, Ser 2020-36A, Cl INC | ||||||||
0.000%, 04/20/2033 (A)(B)(C)(F) | 1,095 | 717 | ||||||
Neuberger Berman Loan Advisers CLO, Ser 2020-36A, Cl SPIN | ||||||||
0.114%, 04/20/2033 (A)(B)(F) | 14 | 9 | ||||||
NewStar Exeter Fund CLO, Ser 2015-1A, Cl E | ||||||||
9.910%, ICE LIBOR USD 3 Month + 7.200%, 01/20/2027 (A)(B)(F) | 2,269 | 2,269 | ||||||
NewStar Fairfield Fund CLO, Ser 2015-2A, Cl SUB | ||||||||
0.000%, 04/20/2030 (A)(B)(C)(F) | 7,983 | 3,217 | ||||||
OCP CLO, Ser 2017-14A, Cl SUB | ||||||||
0.000%, 11/20/2030 (A)(B)(C)(F) | 1,655 | 712 | ||||||
OCP CLO, Ser 2020-19A, Cl SUB | ||||||||
0.000%, 10/20/2034 (A)(B)(C)(F) | 1,224 | 1,077 | ||||||
OCP CLO, Ser 2021-21A | ||||||||
0.000%, 07/20/2034 (B)(C) | 4,413 | 3,353 | ||||||
Shackleton CLO, Ser 2014-6RA | ||||||||
0.000%, 07/17/2028 (B)(C) | 6,388 | 192 | ||||||
Shackleton CLO, Ser 2019-14A, Cl SUB | ||||||||
0.000%, 07/20/2034 (A)(B)(C)(F) | 1,999 | 1,239 | ||||||
TCP Whitney CLO, Ser 2017-1I, Cl SUB | ||||||||
0.000%, 08/20/2029 (B)(C)(F) | 9,085 | 5,953 | ||||||
TCW CLO, Ser 2017-1A, Cl SUB | ||||||||
0.000%, 10/29/2034 (A)(B)(C)(F) | 4,194 | 2,474 | ||||||
TCW CLO, Ser 2018-1A, Cl SUB | ||||||||
0.000%, 04/25/2031 (A)(B)(C)(F) | 2,978 | 1,706 | ||||||
TCW CLO, Ser 2019-2A, Cl SUB | ||||||||
0.000%, 10/20/2032 (A)(B)(C)(F) | 3,528 | 2,152 | ||||||
TCW CLO, Ser 2020-1 | ||||||||
0.000%, 04/20/2028 (B)(C) | 5,352 | 3,051 | ||||||
Venture CLO, Ser 2018-35A, Cl SUB | ||||||||
0.000%, 10/22/2031 (A)(B)(C)(F) | 11,892 | 4,281 | ||||||
Venture XXV CLO, Ser 2016-25A, Cl SUB | ||||||||
0.000%, 04/20/2029 (A)(B)(C)(F) | 2,030 | 548 | ||||||
Venture XXVI CLO, Ser 2017-26A, Cl SUB | ||||||||
0.000%, 01/20/2029 (A)(B)(C)(F) | 1,609 | 354 | ||||||
Venture XXVIII CLO, Ser 2017-28A, Cl SUB | ||||||||
0.000%, 07/20/2030 (A)(B)(C)(F) | 3,228 | 1,162 | ||||||
Voya CLO, Ser 2020-2 | ||||||||
0.000%, 07/19/2034 (B)(C) | 4,915 | 4,140 | ||||||
Wind River CLO, Ser 2021-3 | ||||||||
0.000%, 07/20/2033 (B)(C) | 6,577 | 4,637 | ||||||
Total Asset-Backed Securities | ||||||||
(Cost $73,013) ($ Thousands) | 117,365 |
228
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS — 9.1% | ||||||||
1236904 B.C. Ltd, Initial Term Loan, 1st Lien | ||||||||
8.615%, LIBOR + 5.500%, 03/04/2027 (F) | $ | 175 | $ | 168 | ||||
19th Holdings Golf LLC, Initial Term Loan, 1st Lien | ||||||||
5.696%, CME Term SOFR + 3.000%, 02/07/2029 (B)(F) | 1,071 | 990 | ||||||
AAdvantage Loyality IP Ltd (American Airlines), Initial Term Loan, 1st Lien | ||||||||
7.460%, LIBOR + 4.750%, 04/20/2028 (F) | 3,529 | 3,412 | ||||||
ACProducts Holdings, Initial Term Loan, 1st Lien | ||||||||
7.127%, LIBOR + 4.250%, 05/17/2028 (F) | 331 | 243 | ||||||
Adient U.S. LLC, Term B-1 Loan, 1st Lien | ||||||||
6.365%, LIBOR + 3.500%, 04/10/2028 (F) | 279 | 263 | ||||||
Alchemy US Holdco 1 LLC, Initial Term Loan, 1st Lien | ||||||||
8.615%, LIBOR + 5.500%, 10/10/2025 (F) | 984 | 931 | ||||||
Alvogen Pharma US, January 2020 Loan, 1st Lien | ||||||||
7.500%, LIBOR + 5.250%, 12/31/2023 (F) | 1,801 | 1,561 | ||||||
AP Core Holdings II LLC, Term B1 Loan, 1st Lien | ||||||||
8.615%, LIBOR + 5.500%, 09/01/2027 (F) | 307 | 284 | ||||||
AP Core Holdings II LLC, Term B2 Loan, 1st Lien | ||||||||
8.615%, LIBOR + 5.500%, 09/01/2027 (F) | 1,098 | 1,014 | ||||||
Applied Systems, Term Loan B, 1st Lien | ||||||||
6.674%, LIBOR + 3.000%, 09/19/2024 (F)(J) | 2,549 | 2,482 | ||||||
Arctic Canadian Diamond Company Ltd., Term Loan, 2nd Lien | ||||||||
7.500%, 12/31/2027 (B) | 1,199 | 1,193 | ||||||
Blackhawk Network Cov-Lite, Term Loan, 2nd Lien | ||||||||
8.313%, 06/15/2026 | 1,412 | 1,324 | ||||||
Boardriders, Closing Date Tranche A Loan, 1st Lien | ||||||||
12.367%, LIBOR + 6.500%, 10/23/2023 (B)(E)(F) | 392 | 385 | ||||||
Boardriders, Closing Date Tranche B-2 Loan, 1st Lien | ||||||||
12.367%, LIBOR + 6.500%, 04/23/2024 (E)(F) | 1,633 | 1,470 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Bright Bidco, Term Loan B, 1st Lien | ||||||||
6.514%, LIBOR + 3.500%, 06/30/2024 (F)(J) | $ | 793 | $ | 266 | ||||
BWay Holding, Initial Term Loan, 1st Lien | ||||||||
5.814%, LIBOR + 3.250%, 04/03/2024 (F) | 1,786 | 1,660 | ||||||
Byju's Cov-Lite, Term Loan, 1st Lien | ||||||||
8.980%, LIBOR + 6.000%, 11/24/2026 (F)(J) | 2,919 | 2,078 | ||||||
Caesars Resort Collection, LLC, Term B Loan, 1st Lien | ||||||||
5.865%, LIBOR + 2.750%, 12/23/2024 (F) | 1,563 | 1,524 | ||||||
Carestream Take Back, 1st Lien | ||||||||
10.634%, CME Term SOFR + 7.500%, 09/30/2027 (B)(F) | 1,312 | 1,312 | ||||||
Cenveo, 1st Lien | ||||||||
9.907%, 12/31/2024 (B) | 568 | 568 | ||||||
Change Healthcare Holdings, Inc. (fka Emdeon Inc.), Closing Date Term Loan, 1st Lien | ||||||||
7.750%, ICE LIBOR USD 1 Month + 2.500%, 03/01/2024 (F) | 2,450 | 2,440 | ||||||
Claire's Stores, Initial Term Loan, 1st Lien | ||||||||
9.615%, LIBOR + 6.500%, 12/18/2026 (F) | 1,110 | 1,051 | ||||||
ClubCorp Holdings, Term B Loan, 1st Lien | ||||||||
6.424%, LIBOR + 2.750%, 09/18/2024 (F)(J) | 2,490 | 2,283 | ||||||
ConvergeOne Holdings, Initial Term Loan, 1st Lien | ||||||||
8.115%, LIBOR + 5.000%, 01/04/2026 (F)(J) | 2,377 | 1,689 | ||||||
Delivery Hero, 1st Lien | ||||||||
8.493%, CME Term SOFR + 5.750%, 08/12/2027 (F)(J) | 1,082 | 1,024 | ||||||
Delta Topco, Initial Term Loan, 2nd Lien | ||||||||
9.336%, LIBOR + 7.250%, 12/01/2028 (F) | 908 | 794 | ||||||
DexKo Global, Term B Loan, 1st Lien | ||||||||
7.424%, LIBOR + 3.750%, 10/04/2028 (F) | 343 | 314 | ||||||
DirecTV Financing LLC, Closing Date Term Loan, 1st Lien | ||||||||
8.115%, LIBOR + 5.000%, 08/02/2027 (F) | 1,205 | 1,120 | ||||||
DMT Solutions Global, Initial Term Loan | ||||||||
11.237%, LIBOR + 7.500%, 07/02/2024 (B)(F) | 585 | 553 | ||||||
11.065%, LIBOR + 7.500%, 07/02/2024 (B)(F) | 542 | 512 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
229
SCHEDULE OF INVESTMENTS
September 30, 2022
High Yield Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
East Valley Tourist Development Authority, Term Loan, 1st Lien | ||||||||
11.481%, LIBOR + 8.000%, 11/23/2026 (B)(F) | $ | 2,770 | $ | 2,687 | ||||
Envision Healthcare Corporation, 1st Lien | ||||||||
10.531%, CME Term SOFR + 7.875%, 03/31/2027 (F) | 584 | 559 | ||||||
6.825%, CME Term SOFR + 4.250%, 03/31/2027 (F) | 4,421 | 1,923 | ||||||
Envision Healthcare, Subsequent Consenting Term Loan, 1st Lien | ||||||||
6.280%, CME Term SOFR + 3.750%, 03/31/2027 (F) | 814 | 209 | ||||||
Epic Crude Services, LP, Term Loan, 1st Lien | ||||||||
7.080%, LIBOR + 5.000%, 03/02/2026 (F) | 916 | 753 | ||||||
Epic Y-Grade Services, LP, Term Loan, 1st Lien | ||||||||
8.080%, LIBOR + 6.000%, 06/30/2027 (F)(J) | 6,296 | 5,278 | ||||||
First Student Bidco, 1st Lien | ||||||||
7.653%, CME Term SOFR + 4.000%, 07/21/2028 (F) | 18 | 17 | ||||||
First Student Bidco, 2022 Incremental Term B Loan | ||||||||
7.653%, CME Term SOFR + 4.000%, 07/21/2028 (F) | 254 | 240 | ||||||
First Student Bidco, Initial Term B Loan, 1st Lien | ||||||||
6.642%, LIBOR + 3.000%, 07/21/2028 (F) | 243 | 225 | ||||||
First Student Bidco, Initial Term C Loan, 1st Lien | ||||||||
6.642%, LIBOR + 3.000%, 07/21/2028 (F) | 90 | 84 | ||||||
Focus Financial Partnersm LLC, Tranche B-3, Term Loan, 1st Lien | ||||||||
5.115%, LIBOR + 2.000%, 07/03/2024 (F)(J) | 281 | 273 | ||||||
Foresight Energy Operating, LLC, Tranche A Term Loan, 1st Lien | ||||||||
11.674%, LIBOR + 8.000%, 06/30/2027 (F) | 223 | 218 | ||||||
GatesAir, Term Loan | ||||||||
12.190%, 08/01/2027 (B)(E) | 1,144 | 1,144 | ||||||
Geon Performance Solutions LLC, Initial Term Loan, 1st Lien | ||||||||
8.174%, LIBOR + 4.500%, 08/18/2028 (F)(J) | 1,283 | 1,235 | ||||||
Global Medical Response, 2018 New Term Loan, 1st Lien | ||||||||
7.365%, LIBOR + 4.250%, 03/14/2025 (F) | 441 | 381 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Grab Holdings, Initial Term Loan, 1st Lien | ||||||||
7.620%, LIBOR + 4.500%, 01/29/2026 (F) | $ | 3,274 | $ | 3,059 | ||||
Graham Packaging, Initial Term Loan (2021), 1st Lien | ||||||||
6.115%, LIBOR + 3.000%, 08/04/2027 (F) | 344 | 326 | ||||||
Greeneden U.S. Holdings I, LLC, Initial Dollar Term Loan (2020), 1st Lien | ||||||||
7.115%, LIBOR + 4.000%, 12/01/2027 (F) | 281 | 267 | ||||||
Gulf Finance, LLC, Term Loan, 1st Lien | ||||||||
9.390%, LIBOR + 6.750%, 08/25/2026 (F) | 2,430 | 1,908 | ||||||
Hercules Achievement (Varsity Brands Holding Co.), Initial Term Loan, 1st Lien | ||||||||
6.615%, LIBOR + 3.500%, 12/16/2024 (F) | 302 | 281 | ||||||
Hudson River Trading, Term Loan, 1st Lien | ||||||||
6.164%, LIBOR + 3.000%, 03/20/2028 (F) | 1,913 | 1,725 | ||||||
Hyland Software, Term Loan 3, 1st Lien | ||||||||
6.615%, LIBOR + 3.500%, 07/01/2024 (F) | 1,987 | 1,920 | ||||||
iHeartCommunications (fka Clear Channel Communications), New Term Loan, 1st Lien | ||||||||
6.115%, LIBOR + 3.000%, 05/01/2026 (F) | 426 | 399 | ||||||
IRB Holding, 2020 Replacement Term B Loan, 1st Lien | ||||||||
5.865%, LIBOR + 2.750%, 02/05/2025 (F)(J) | 1,461 | 1,410 | ||||||
J.C. Penney, Term Loan, 1st Lien | ||||||||
5.250%, LIBOR + 4.250%, 06/23/2023 (B)(D)(F) | 2,253 | — | ||||||
Journey Personal Care, Initial Term Loan, 1st Lien | ||||||||
7.924%, LIBOR + 4.250%, 03/01/2028 (F) | 2,005 | 1,260 | ||||||
Jump Financial, Term Loan, 1st Lien | ||||||||
8.315%, CME Term SOFR + 4.500%, 08/07/2028 (F) | 2,229 | 2,067 | ||||||
KNS Acquisition, Initial Term Loan, 1st Lien | ||||||||
10.420%, LIBOR + 6.250%, 04/21/2027 (F) | 1,884 | 1,757 | ||||||
LABL, Initial Dollar Term Loan, 1st Lien | ||||||||
8.115%, LIBOR + 5.000%, 10/29/2028 (F) | 285 | 256 | ||||||
Lifescan Global Corporation, Initial Term Loan, 1st Lien | ||||||||
8.285%, LIBOR + 6.000%, 10/01/2024 (F) | 5,496 | 4,408 |
230
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Lightstone Holdco, LLC, Extended Term B Loan | ||||||||
8.051%, SOFR 3 Month + 5.750%, 02/01/2027 (F) | $ | 1,151 | $ | 1,048 | ||||
Lightstone Holdco, LLC, Extended Term C Loan | ||||||||
8.051%, SOFR 3 Month + 5.750%, 02/01/2027 (F) | 65 | 60 | ||||||
Lumileds, 1st Lien | ||||||||
10.903%, 02/28/2023 (B)(J) | 93 | 92 | ||||||
Madison IAQ, Initial Term Loan, 1st Lien | ||||||||
6.815%, LIBOR + 3.250%, 06/21/2028 (F) | 248 | 229 | ||||||
Magnite, Initial Term Loan, 1st Lien | ||||||||
8.070%, LIBOR + 5.000%, 04/28/2028 (F) | 475 | 451 | ||||||
Magnite, Initial Term Loan, Initial Term Loan | ||||||||
8.070%, LIBOR + 5.000%, 04/28/2028 (F) | 156 | 148 | ||||||
Mashantucket (Western) Pequot Tribe, Term Loan B, 1st Lien | ||||||||
10.240%, LIBOR + 8.125%, 02/16/2025 (F) | 3,579 | 3,535 | ||||||
Mavenir Systems Inc., 1st Lien | ||||||||
8.487%, CME Term SOFR + 5.750%, 08/18/2028 (B)(F) | 532 | 459 | ||||||
Mavenir Systems, Initial Term Loan, 1st Lien | ||||||||
7.711%, LIBOR + 4.750%, 08/18/2028 (B)(F) | 1,090 | 932 | ||||||
Mitnick Corporate Purchaser, Initial Term Loan | ||||||||
7.393%, CME Term SOFR + 4.750%, 05/02/2029 (F)(J) | 820 | 773 | ||||||
MLN US HoldCo, Term B Loan, 1st Lien | ||||||||
8.252%, LIBOR + 4.500%, 11/30/2025 (F) | 647 | 395 | ||||||
Monitronics International, Term Loan, 1st Lien | ||||||||
10.306%, LIBOR + 6.500%, 03/29/2024 (F) | 215 | 142 | ||||||
Mountaineer Merger, Initial Term Loan, 1st Lien | ||||||||
9.788%, LIBOR + 7.000%, 10/26/2028 (F)(J) | 1,466 | 1,195 | ||||||
Mozart Debt Merger, Term Loan, 1st Lien | ||||||||
6.365%, LIBOR + 3.250%, 10/23/2028 (F)(J) | 167 | 153 | ||||||
MPH Acquisition Holdings, Initial Term Loan, 1st Lien | ||||||||
7.320%, LIBOR + 4.250%, 09/01/2028 (F) | 793 | 731 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Naked Juice LLC, Initial Loan, 2nd Lien | ||||||||
9.653%, CME Term SOFR + 6.000%, 01/24/2030 (F) | $ | 1,145 | $ | 1,036 | ||||
Nexus Buyer LLC, Initial Term Loan, 2nd Lien | ||||||||
9.365%, LIBOR + 6.250%, 11/05/2029 (F) | 667 | 628 | ||||||
Nouryon Finance B.V., Initial Dollar Term Loan, 1st Lien | ||||||||
5.865%, LIBOR + 2.750%, 10/01/2025 (F) | 418 | 391 | ||||||
OLA Netherlands BV, Initial Term Loan | ||||||||
9.195%, LIBOR + 6.250%, 12/15/2026 (F) | 2,263 | 2,148 | ||||||
Pactiv Evergreen, Tranche B-3 U.S. Term Loan, 1st Lien | ||||||||
6.615%, LIBOR + 3.500%, 09/24/2028 (F) | 101 | 97 | ||||||
Parexel International, Term Loan, 1st Lien | ||||||||
6.365%, LIBOR + 3.250%, 11/15/2028 (F) | 255 | 243 | ||||||
Park River Holdings, Initial Term Loan, 1st Lien | ||||||||
5.527%, LIBOR + 3.250%, 12/28/2027 (F) | 126 | 106 | ||||||
Petco Health and Wellness, Initial Term Loan, 1st Lien | ||||||||
6.924%, LIBOR + 3.250%, 03/03/2028 (F) | 345 | 325 | ||||||
Premier Brands Group Holdings, LLC, Term Loan, 1st Lien | ||||||||
11.115%, LIBOR + 8.000%, 03/20/2024 (E)(F) | 535 | 436 | ||||||
11.052%, LIBOR + 8.000%, 03/20/2024 (E)(F) | 574 | 467 | ||||||
Quest Software U.S. Holdings, Initial Loan, 2nd Lien | ||||||||
10.227%, CME Term SOFR + 7.500%, 02/01/2030 (F) | 527 | 302 | ||||||
Revlon Consumer Products, 2016 Term Loan, 1st Lien | ||||||||
5.576%, LIBOR + 3.500%, 09/07/2023 (D)(F) | 4,939 | 1,926 | ||||||
S&S Holdings, LLC, Initial Term Loan, 1st Lien | ||||||||
7.783%, LIBOR + 5.000%, 03/11/2028 (F)(J) | 892 | 858 | ||||||
Serta Simmons Bedding, LLC, Initial Exchange Term Loan, 1st Lien | ||||||||
10.793%, LIBOR + 7.500%, 08/10/2023 (F) | 378 | 197 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
231
SCHEDULE OF INVESTMENTS
September 30, 2022
High Yield Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Shutterfly, Term Loan, 1st Lien | ||||||||
8.115%, LIBOR + 5.000%, 09/25/2026 (F)(J) | $ | 188 | $ | 117 | ||||
Smyrna Ready Mix, Term Loan, 1st Lien | ||||||||
7.384%, CME Term SOFR + 4.250%, 04/02/2029 (F)(J) | 1,053 | 1,003 | ||||||
Solenis Holdings LLC, Term B Loan, 1st Lien | ||||||||
7.438%, LIBOR + 3.750%, 11/09/2028 (F) | 86 | 78 | ||||||
SP PF Buyer, LLC, Closing Date Term Loan, 1st Lien | ||||||||
7.615%, LIBOR + 4.500%, 12/22/2025 (F) | 1,486 | 1,217 | ||||||
Springs Window Fashions LLC, Tranche B Term Loan, 1st Lien | ||||||||
7.602%, LIBOR + 4.000%, 10/06/2028 (F)(J) | 1,282 | 997 | ||||||
SPX Flow, Term Loan, 1st Lien | ||||||||
7.634%, CME Term SOFR + 4.500%, 04/05/2029 (F) | 203 | 187 | ||||||
Staples, 2019 Refinancing New Term B-1 Loan, 1st Lien | ||||||||
7.782%, LIBOR + 5.000%, 04/16/2026 (F) | 4,035 | 3,529 | ||||||
Summer (BC) Bidco B LLC, Additional Facility Term B2 Loan, 1st Lien | ||||||||
8.174%, LIBOR + 4.500%, 12/04/2026 (F) | 89 | 83 | ||||||
Sunshine Luxembourg VII S.a r.l., Facility B3, 1st Lien | ||||||||
7.424%, LIBOR + 3.750%, 10/01/2026 (F)(J) | 776 | 720 | ||||||
Syniverse Holdings, Initial Term Loan, 1st Lien | ||||||||
10.553%, CME Term SOFR + 7.000%, 05/13/2027 (F) | 1,665 | 1,424 | ||||||
Team Health Holdings, Extended Term Loan, 1st Lien | ||||||||
8.284%, CME Term SOFR + 5.250%, 03/02/2027 (F) | 1,830 | 1,554 | ||||||
Team Health Holdings, Inc., Initial Term Loan, 1st Lien | ||||||||
5.865%, LIBOR + 2.750%, 02/06/2024 (F) | 255 | 232 | ||||||
Tibco Software, 2nd Lien | ||||||||
10.653%, 09/20/2029 (B) | 422 | 422 | ||||||
TK Elevator Midco GmbH, Facility Term B1 Loan, 1st Lien | ||||||||
6.871%, LIBOR + 3.500%, 07/30/2027 (F) | 273 | 261 | ||||||
Tortoise Borrower, LLC, Initial Term Loan, 1st Lien | ||||||||
4.500%, 01/31/2025 | 1,013 | 621 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Travelport Finance (Luxembourg) S.a.r.l., 2021 Consented Term Loan, 1st Lien | ||||||||
8.674%, LIBOR + 5.000%, 05/29/2026 (F)(J) | $ | 1,053 | $ | 733 | ||||
Travelport Finance (Luxembourg) Sarl, Initial Term Loan (Priority), 1st Lien | ||||||||
5.174%, LIBOR + 1.500%, 02/28/2025 (F)(J) | 827 | 817 | ||||||
Traverse Midstream Partners, LLC, Advance, 1st Lien | ||||||||
5.950%, LIBOR + 4.250%, 09/27/2024 (F) | 2,424 | 2,364 | ||||||
Triton Water Holdings, Initial Term Loan, 1st Lien | ||||||||
7.174%, LIBOR + 3.500%, 03/31/2028 (F) | 205 | 183 | ||||||
Tutor Perini Corporation, Term Loan, 1st Lien | ||||||||
7.865%, LIBOR + 4.750%, 08/18/2027 (B)(F) | 2,031 | 1,889 | ||||||
U.S. Renal Care, Initial Term Loan, 1st Lien | ||||||||
8.115%, LIBOR + 5.000%, 06/26/2026 (F) | 477 | 341 | ||||||
USI, 2019 New Term Loan, 1st Lien | ||||||||
6.424%, LIBOR + 3.000%, 05/16/2024 (F) | 2,494 | 2,423 | ||||||
Valeant, Term Loan B, 1st Lien | ||||||||
8.098%, CME Term SOFR + 5.250%, 02/01/2027 (F) | 2,084 | 1,595 | ||||||
Venator Finance S.a.r.l., Initial Term Loan | ||||||||
6.115%, LIBOR + 3.000%, 08/08/2024 (F) | 458 | 397 | ||||||
VeriFone Systems, Initial Term Loan, 1st Lien | ||||||||
6.997%, LIBOR + 4.000%, 08/20/2025 (F) | 1,508 | 1,343 | ||||||
White Cap Buyer, LLC, Initial Closing Date Term Loan, 1st Lien | ||||||||
6.784%, LIBOR + 4.000%, 10/19/2027 (F) | 436 | 407 | ||||||
Wilsonart, LLC, Tranche E Term Loan, 1st Lien | ||||||||
6.930%, LIBOR + 3.500%, 12/31/2026 (F)(J) | 1,020 | 929 | ||||||
Total Loan Participations | ||||||||
(Cost $130,347) ($ Thousands) | 116,546 |
232
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description |
| Market Value | ||||||
COMMON STOCK — 1.3% | ||||||||
21st Century Oncology Private Company *(B) | 15,311 | $ | 155 | |||||
Aquity Holdings *(B) | 85,745 | 964 | ||||||
Arctic Canadian Diamond Company Ltd *(B) | 1,054 | — | ||||||
Berry | 34,886 | 262 | ||||||
Carestream Health Holdings Inc *(B) | 69,956 | 1,343 | ||||||
CHC Group LLC * | 399 | — | ||||||
Chord Energy | 7,342 | 1,004 | ||||||
Clear Channel Outdoor Holdings, Cl A * | 202,317 | 277 | ||||||
Copper Property Pass-Through Certificates *(B) | 118,100 | 1,577 | ||||||
EP Energy Corp * | 15,235 | 122 | ||||||
Frontier Communications Parent Inc * | 14,785 | 346 | ||||||
Guitar Center *(B)(E) | 13,905 | 2,662 | ||||||
Gulfport Energy * | 7,278 | 642 | ||||||
Gymboree Holding *(B)(E) | 40,312 | — | ||||||
iHeartMedia * | 37,193 | 273 | ||||||
Intelsat Emergence *(B) | 39,805 | 1,115 | ||||||
Mallinckrodt PLC * | 8,281 | 141 | ||||||
Medical Card Systems *(B) | 284,758 | 170 | ||||||
Monitronics International *(B) | 211,006 | 1,078 | ||||||
MYT Holding *(B) | 274,755 | 217 | ||||||
Neiman Marcus Group *(B) | 6,554 | 1,148 | ||||||
Nine West FKA Premier Brands *(B)(E) | 92,548 | 71 | ||||||
Noble Corp PLC * | 9,452 | 280 | ||||||
Parker Drilling Co *(B)(E) | 79,089 | 514 | ||||||
Penney Borrower LLC *(B) | 19,723 | 118 | ||||||
Quad/Graphics Inc * | 54 | — | ||||||
Rue 21 * | 1,835 | 41 | ||||||
SandRidge Energy Inc * | 20 | — | ||||||
VICI Properties Inc ‡ | 39,310 | 1,173 | ||||||
Windstream Services *(B) | 10,897 | 166 | ||||||
Total Common Stock | ||||||||
(Cost $17,389) ($ Thousands) | 15,859 | |||||||
PREFERRED STOCK — 0.7% | ||||||||
Boardriders, Ser A, 0.000% *(B)(C)(E)(G) | 215,931 | 250 | ||||||
Bowlero, 0.000% *(B)(C)(G) | 1,110 | 1,110 | ||||||
Claire's Stores, 0.000% *(B)(C)(E)(G) | 823 | 970 | ||||||
Crestwood Equity Partners, 9.250% (G) | 113,214 | 1,016 | ||||||
FHLMC, 0.000% *(C)(F)(G) | 16,903 | 65 | ||||||
FNMA, 0.000% *(C)(F)(G) | 24,650 | 99 | ||||||
Foresight, 0.000% *(B)(C)(G) | 32,601 | 391 | ||||||
Guitar Center, 0.000% *(B)(C)(E)(G) | 365 | 33 | ||||||
Gulfport Energy, 0.000% *(B)(C)(G) | 28 | 177 | ||||||
Ladenburg Thalmann Financial Services, 6.500%, 11/30/2027 * | 65,290 | 898 | ||||||
MPLX, 8.462% *(B)(G) | 23,039 | 833 | ||||||
MYT Holding, 10.000%, 06/07/2029 | 325,766 | 353 |
Description | Shares | Market Value | ||||||
PREFERRED STOCK (continued) | ||||||||
Syniverse, 0.000% *(B)(C)(G) | 2,682,813 | $ | 2,575 | |||||
Total Preferred Stock | ||||||||
(Cost $8,772) ($ Thousands) | 8,770 | |||||||
Face Amount | ||||||||
CONVERTIBLE BONDS — 0.6% | ||||||||
Avaya | ||||||||
8.000% , 12/15/2027 | 1,995 | 1,282 | ||||||
Chesapeake Energy (Escrow Security) | ||||||||
5.500% , 12/31/2049 | 100 | 2 | ||||||
Coinbase Global | ||||||||
0.500% , 06/01/2026 | 947 | 621 | ||||||
DISH Network | ||||||||
3.375% , 08/15/2026 | 465 | 320 | ||||||
Liberty Interactive | ||||||||
4.000% , 11/15/2029 | 79 | 35 | ||||||
3.750% , 02/15/2030 | 2,634 | 1,238 | ||||||
Liberty Latin America | ||||||||
2.000% , 07/15/2024 | 1,145 | 1,001 | ||||||
North Sea Natural Resources | ||||||||
0.000%, (B)(C)(G) | 570 | 570 | ||||||
Pebblebrook Hotel Trust | ||||||||
1.750% , 12/15/2026 | 715 | 610 | ||||||
Royal Caribbean Cruises | ||||||||
6.000% , 08/15/2025(A) | 220 | 232 | ||||||
Silver Airways LLC | ||||||||
13.000% , 12/31/2027(B) | 1,461 | 1,460 | ||||||
Total Convertible Bonds | ||||||||
(Cost $8,901) ($ Thousands) | 7,371 | |||||||
Number of Warrants | ||||||||
WARRANTS — 0.1% | ||||||||
Chesapeake Energy, Expires 02/12/2026 | ||||||||
Strike Price $32.13 * | 1,684 | 133 | ||||||
Chesapeake Energy, Expires 02/12/2026 | ||||||||
Strike Price $27.63 * | 1,516 | 121 | ||||||
Chesapeake Energy, Expires 02/12/2026 | ||||||||
Strike Price $36.18 * | 1,030 | 74 | ||||||
Guitar Center, Expires 12/22/2070 | ||||||||
Strike Price $100.00 *(B)(E) | 3,680 | 343 | ||||||
Guitar Center, Expires 12/22/2070 | ||||||||
Strike Price $160.00 *(B)(E) | 3,681 | 206 | ||||||
Intelsat Jackson Holdings | ||||||||
Strike Price *‡‡(B) | 4 | – | ||||||
Neiman Marcus Group | ||||||||
Strike Price *‡‡(B) | 3,938 | 174 | ||||||
Noble Corp, Expires 02/08/2028 | ||||||||
Strike Price $19.27 * | 11,330 | 147 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
233
SCHEDULE OF INVESTMENTS
September 30, 2022
High Yield Bond Fund (Continued)
Description | Number of Warrants | Market Value | ||||||
WARRANTS (continued) | ||||||||
Noble Corp, Expires 02/08/2028 | ||||||||
Strike Price $23.13 * | 11,330 | $ | 139 | |||||
SandRidge Energy Inc, Expires 10/07/2022 | ||||||||
Strike Price $41.34 * | 7,165 | – | ||||||
SandRidge Energy Inc, Expires 10/07/2022 | ||||||||
Strike Price $42.03 * | 3,017 | – | ||||||
Windstream | ||||||||
Strike Price $– *‡‡(B) | 104 | 1 | ||||||
Windstream Services | ||||||||
Strike Price $– *‡‡(B) | 12,184 | 186 | ||||||
Total Warrants | ||||||||
(Cost $578) ($ Thousands) | 1,524 |
Number of Rights | ||||||||
RIGHTS — 0.0% | ||||||||
Intelsat Jackson Holdings *‡‡(B) | 8,336 | – | ||||||
Total Rights | ||||||||
(Cost $—) ($ Thousands) | – |
Description |
| Market Value | ||||||
AFFILIATED PARTNERSHIP — 0.0% | ||||||||
SEI Liquidity Fund, LP | ||||||||
2.930% **†(K) | 1,143 | $ | 1 | |||||
Total Affiliated Partnership | ||||||||
(Cost $1) ($ Thousands) | 1 | |||||||
CASH EQUIVALENT — 1.2% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
2.600%**† | 15,929,586 | 15,930 | ||||||
Total Cash Equivalent | ||||||||
(Cost $15,930) ($ Thousands) | 15,930 | |||||||
Total Investments in Securities — 98.7% | ||||||||
(Cost $1,425,673) ($ Thousands) | $ | 1,258,195 |
A list of the open OTC swap agreements held by the Fund at September 30, 2022, is as follows:
Total Return Swaps | ||||||||||||||||||||||||||||||||||||||||
Counterparty | Reference Entity/ Obligation | Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional | Value | Upfront Payments/ | Net Unrealized | ||||||||||||||||||||||||||||||
Barclays | IBOXX USD LIQUID HY INDEX | IBOXX USD LIQUID HY INDEX | 3-MONTH USD LIBOR | Quarterly | 12/20/2022 | USD | 3,160 | $ | 94 | $ | — | $ | 94 | |||||||||||||||||||||||||||
JPMorgan Chase | IBOXX USD LIQUID HY INDEX | IBOXX USD LIQUID HY INDEX | 3-MONTH USD LIBOR | Quarterly | 12/20/2022 | USD | 4,990 | 148 | — | 148 | ||||||||||||||||||||||||||||||
JPMorgan Chase | IBOXX USD LIQUID HY INDEX | IBOXX USD LIQUID HY INDEX | 3-MONTH USD LIBOR | Quarterly | 12/20/2022 | USD | 4,200 | 140 | 1 | 139 | ||||||||||||||||||||||||||||||
$ | 382 | $ | 1 | $ | 381 |
| Percentages are based on Net Assets of $1,274,904 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2022. |
‡ | Real Estate Investment Trust. |
‡‡ | 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, 2022, the value of these securities amounted to $822,259 ($ Thousands), representing 64.5% of the Net Assets of the Fund. |
(B) | Level 3 security in accordance with fair value hierarchy. |
(C) | No interest rate available. |
(D) | Security is in default on interest payment. |
(E) | Security considered restricted, excluding 144A. The total market value of such securities as of September 30, 2022 was $11,273 ($ Thousands) and represented 0.9% of the Net Assets of the Fund. See table below for acquisition dates and acquisition cost. |
(F) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(G) | Perpetual security with no stated maturity date. |
(H) | Security, or a portion thereof, is owned through a holding entity, 717 AEP Leasing, LLC. |
(I) | Zero coupon security. |
(J) | Unsettled bank loan. Interest rate may not be available. |
(K) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of September 30, 2022 was $1 ($ Thousands). |
234
SEI Institutional Managed Trust / Annual Report / September 30, 2022
The following is a summary of the level of inputs used as of September 30, 2022, 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 | – | 974,291 | 538 | 974,829 | ||||||||||||
Asset-Backed Securities | – | – | 117,365 | 117,365 | ||||||||||||
Loan Participations | – | 103,408 | 13,138 | 116,546 | ||||||||||||
Common Stock | 4,520 | 41 | 11,298 | 15,859 | ||||||||||||
Preferred Stock | 1,115 | 1,316 | 6,339 | 8,770 | ||||||||||||
Convertible Bonds | – | 5,341 | 2,030 | 7,371 | ||||||||||||
Warrants | 328 | 286 | 910 | 1,524 | ||||||||||||
Rights | – | – | – | ^ | – | ^ | ||||||||||
Affiliated Partnership | – | 1 | – | 1 | ||||||||||||
Cash Equivalent | 15,930 | – | – | 15,930 | ||||||||||||
Total Investments in Securities | 21,893 | 1,084,684 | 151,618 | 1,258,195 |
Other Financial Instruments | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
OTC Swaps | ||||||||||||||||
Total Return Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 381 | – | 381 | ||||||||||||
Total Other Financial Instruments | – | 381 | – | 381 |
^ | This category includes securities with a value of $0. |
* | Swap contracts are valued at the unrealized appreciation on the instrument. |
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Investments in Corporate Obligations | Investments in Loan Participations | Investments in Asset-Backed Securities | Investments in Common Stock | Investments in Convertible Bonds | Investments in Preferred Stock | Investments in Warrants | Investments in Rights | |||||||||||||||||||||||||
Balance as of October 1, 2021 | $ | 3,147 | $ | 18,534 | $ | 163,469 | $ | 16,305 | $ | – | $ | 2,647 | $ | 548 | $ | – | ||||||||||||||||
Accrued discounts/premiums | (59 | ) | (29 | ) | (269 | ) | – | – | – | – | – | |||||||||||||||||||||
Realized gain/(loss) | (811 | ) | (59 | ) | 6,680 | 5,444 | – | 61 | – | – | ||||||||||||||||||||||
Change in unrealized appreciation/(depreciation) | 864 | 5 | (8,158 | ) | (3,391 | ) | – | (77 | ) | 221 | – | |||||||||||||||||||||
Purchases | – | 3,743 | 229 | 1,344 | 613 | 1,116 | – | – | ||||||||||||||||||||||||
Sales | (33 | ) | (6,683 | ) | (44,586 | ) | (7,520 | ) | – | (34 | ) | (45 | ) | – | ||||||||||||||||||
Net transfer into Level 3 | – | 5,301 | – | 1,399 | 1,417 | 2,626 | 186 | – | ||||||||||||||||||||||||
Net transfer out of Level 3 | (2,570 | ) | (7,674 | ) | – | (2,283 | ) | – | – | – | – | |||||||||||||||||||||
Ending Balance as of September 30, 2022(1) | $ | 538 | $ | 13,138 | $ | 117,365 | $ | 11,298 | $ | 2,030 | $ | 6,339 | $ | 910 | $ | – | ^ | |||||||||||||||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | 76 | $ | (451 | ) | $ | (4,964 | ) | $ | (3,436 | ) | $ | 6 | $ | (54 | ) | $ | 327 | $ | – |
(1) | Of the $151,618 ($ Thousands) in Level 3 securities as of September 30, 2022, $21,693 ($ Thousands) or 1.7% of the Net Assets of the Fund 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. |
Category | Market Value at September 30, 2022 ($ Thousands) | Valuation Technique | Unobservable Inputs | Range Input Value(s) (Average Input Value) | |
Common Stock | $ | 6,863 | This is equity held at the parent level and is priced off of operating company public equity "MYTE" on a monthly basis | None | N/A |
Comparable multiple analysis using an average forward EBITDA multiple of publicly traded peers, discounted to account for smaller scale of operations ownership | None | N/A | |||
Priced at $0.01 based on the low probability of future payouts | None | N/A | |||
Priced at $0.01 based on the low probability of future payouts | None | N/A | |||
Priced based off of broker runs | None | N/A | |||
Weighted valuation techniques | Guideline transaction valuation | $1,154.2m - $1,298.5m | |||
Comparable company valuation | $1,082.1m - $1,226.4m | ||||
Valuation case probability weighting | 50% | ||||
Discounted cash flow model | Equity Value | $158m - $276m | |||
Weighted valuation techniques | EBITDA | $216m - $267m | |||
EBITDA multiple | 4.50x - 5.75x | ||||
Weighted Average Cost of Capital | 16.50% | ||||
Valuation case probability weighting | 0.5 | ||||
Estimated recovery Model | Estimated Excess RBC | $52.0m |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
235
SCHEDULE OF INVESTMENTS
September 30, 2022
High Yield Bond Fund (Concluded)
Category | Market Value at September 30, 2022 ($ Thousands) | Valuation Technique | Unobservable Inputs | Range Input Value(s) (Average Input Value) | |
Estimated fees & expenses | $47.1m | ||||
Discount Rate | 50% | ||||
Convertible Bond | $ 1,973 | Milestone Approach | Implied equity valuation per barrel | 0.03 | |
Mean prospective barrels of oil | 2,755 - 3,045 | ||||
Discounted cash flow model | Implied total yield | 15.75% - 16.75% | |||
Convertible Preferred | 833 | Broker Quotation | None | N/A | |
Corporate Bond | 470 | Priced at $0.01 as a placeholder for future disputed claims related to litigation | None | N/A | |
Priced at $0.01 as a placeholder for future disputed claims related to litigation | None | N/A | |||
Priced at $0.01 as a placeholder for future disputed claims related to litigation | None | N/A | |||
Estimated recovery model | Estimated Total Claims Case | $430.0M | |||
Estimated recovery model | Estimated Debt Claims | $157.5M | |||
Loans | 5,662 | Discounted cash flow model | Implied total yield | 17.3% - 17.7% | |
Estimated recovery model | Enterprise Value | $64.5M | |||
Discounted cash flow model | Implied total yield | 9.56% - 10.56% | |||
Comparable debt model | Discount rate | 0.0075 | |||
Discounted cash flow model | Enterprise Value | $658m - $777m | |||
Broker Quotation | None | N/A | |||
Preferred Stock | 5,141 | Priced base off conversion value to the common stock. Details: $1,000 par value per preferred share is convertible into GPOR common stock at $14.00 per share conversion price, therefore each preferred share is convertible into ~71.43 GPOR common shares. Valuation methodology is 1 GPOR preferred share equals 71.43 x GPOR common stock price. | None | N/A | |
Use an average bid-side pricing based off of broker runs on a monthly basis | None | N/A | |||
Use an average bid-side pricing based off of broker runs on a monthly basis | None | N/A | |||
Market Comparables Approach | EBITDA | $96m - $120m | |||
EBITDA multiple | 7.00x - 9.50x | ||||
Valuation case probability weighting | 100% | ||||
Weighted valuation techniques | EBITDA | $216m - $267m | |||
EBITDA multiple | 4.50x - 5.75x | ||||
Weighted Average Cost of Capital | 16.50% | ||||
Valuation case probability weighting | 50% | ||||
Comparable Yield approach | Implied total yield | 5.00% - 6.00% | |||
Comparable Yield approach | Implied total yield | 11.64% - 13.64% | |||
Warrants | 751 | Use an average mid-pricing based off of available broker runs on a monthly basis | None | N/A | |
Weighted valuation techniques | EBITDA | $216m - $267m | |||
Weighted valuation techniques | EBITDA multiple | 4.50x - 5.75x | |||
Weighted valuation techniques | Weighted Average Cost of Capital | 16.50% | |||
Valuation case probability weighting | 0.5 | ||||
Discounted cash flow model | EBITDA | $92.4M | |||
EBITDA multiple | 2.50x - 3.00x | ||||
Valuation case probability weighting | 0.5 | ||||
Average of mid-pricing based off of available broker runs | None | N/A | |||
Total | $ 21,693 |
For the year ended September 30, 2022, transfers in and out of Level 3 were 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.
236
SEI Institutional Managed Trust / Annual Report / September 30, 2022
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2022 ($ Thousands):
Security Description | Value 9/30/2021 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/(Depreciation) | Value 9/30/2022 | Shares | Income | Capital Gains | |||||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 1 | $ | — | $ | — | $ | — | $ | — | $ | 1 | 1,143 | $ | — | $ | — | |||||||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | 72,412 | 569,656 | (626,138 | ) | — | — | 15,930 | 15,929,586 | 242 | 1 | ||||||||||||||||||||||||||
Totals | $ | 72,413 | $ | 569,656 | $ | (626,138 | ) | $ | — | $ | — | $ | 15,931 | $ | 242 | $ | 1 |
Amounts designated as “—” are either $0 or have been rounded to $0.
A list of the restricted securities, excluding 144a, held by the Fund at September 30, 2022, is as follows:
Description | Number of Shares/ Face Amount ($ Thousands)/ Number of Warrants | Acquisition Date | Cost ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Common Stock | ||||||||||||||
Guitar Center | 13,905 | 1/8/2021 | $ | 1,762 | $ | 2,662 | ||||||||
Gymboree Holding | 10,471 | 10/2/2017 | 131 | – | ||||||||||
Gymboree Holding | 29,841 | 10/2/2017 | 541 | – | ||||||||||
Nine West FKA Premier Brands | 92,548 | 5/20/2019 | 1,967 | 71 | ||||||||||
Parker Drilling Co | 76,272 | 3/26/2019 | 962 | 496 | ||||||||||
Parker Drilling Co | 2,817 | 3/26/2019 | 38 | 18 | ||||||||||
Corporate Obligation | ||||||||||||||
Aventine (Escrow Security) | 2,750,000 | 4/21/2010 | – | – | ||||||||||
Mountain Province Diamonds | 2,470,000 | 12/6/2017 | 2,465 | 2,322 | ||||||||||
Northwest Acquisitions ULC | 2,115,000 | 10/1/2019 | 1,493 | – | ||||||||||
Loan Participation | ||||||||||||||
Boardriders, Closing Date Tranche A Loan, 1st Lien | 392,409 | 9/4/2020 | 392 | 385 | ||||||||||
Boardriders, Closing Date Tranche B-2 Loan, 1st Lien | 1,632,831 | 9/4/2020 | 1,294 | 1,470 | ||||||||||
GatesAir, Term Loan | 1,144,000 | 8/9/2022 | 1,111 | 1,144 | ||||||||||
Premier Brands Group Holdings, LLC, Term Loan, 1st Lien | 573,854 | 3/21/2019 | 513 | 467 | ||||||||||
Premier Brands Group Holdings, LLC, Term Loan, 1st Lien | 535,014 | 3/21/2019 | 519 | 436 | ||||||||||
Preferred Stock | ||||||||||||||
Boardriders | 215,931 | 9/4/2020 | – | 250 | ||||||||||
Claire's Stores | 351 | 10/22/2018 | 105 | 799 | ||||||||||
Claire's Stores | 472 | 12/10/2018 | 871 | 171 | ||||||||||
Guitar Center | 365 | 1/8/2021 | 34 | 33 | ||||||||||
Warrant | ||||||||||||||
Guitar Center | 3,382 | 1/8/2021 | 186 | 326 | ||||||||||
Guitar Center | 3,681 | 1/8/2021 | 132 | 206 | ||||||||||
Guitar Center | 298 | 1/8/2021 | 11 | 17 | ||||||||||
$ | 14,527 | $ | 11,273 |
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
237
SCHEDULE OF INVESTMENTS
September 30, 2022
Conservative Income Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Face Amount | Market Value | ||||||
COMMERCIAL PAPER — 46.1% | ||||||||
Banks — 1.7% | ||||||||
Barclays Bank UK | ||||||||
3.102%, 10/04/2022 (A)(B) | $ | 6,000 | $ | 5,998 | ||||
Communication Services — 0.8% | ||||||||
Verizon Communications | ||||||||
3.179%, 10/11/2022 (A)(B) | 3,000 | 2,997 | ||||||
Consumer Discretionary — 0.8% | ||||||||
Hyundai Capital America | ||||||||
3.510%, 10/26/2022 (A)(B) | 3,000 | 2,992 | ||||||
Consumer Staples — 1.7% | ||||||||
Clorox | ||||||||
3.264%, 10/05/2022 (A)(B) | 3,000 | 2,998 | ||||||
Reckitt Benckiser Treasury Services | ||||||||
3.294%, 10/05/2022 (A)(B) | 3,000 | 2,999 | ||||||
5,997 | ||||||||
Financials — 34.2% | ||||||||
Alinghi Funding | ||||||||
3.064%, 05/17/2023 (A)(B) | 1,000 | 972 | ||||||
Amcor Flexibles North America | ||||||||
3.227%, 10/11/2022 (A)(B) | 2,800 | 2,797 | ||||||
Antalis | ||||||||
4.424%, 03/16/2023 (A)(B) | 1,500 | 1,471 | ||||||
3.122%, 10/03/2022 (A)(B) | 4,000 | 3,999 | ||||||
Atlantic Asset Securitization | ||||||||
5.845%, 10/17/2022 (A)(B) | 10,000 | 9,985 | ||||||
Australia & New Zealand Banking Group | ||||||||
0.000%, 04/26/2023 (A)(B) | 2,500 | 2,500 | ||||||
Autobahn Funding | ||||||||
3.073%, 10/04/2022 (A)(B) | 5,000 | 4,998 | ||||||
Barton Capital | ||||||||
2.825%, 10/07/2022 (A)(B) | 3,000 | 2,998 | ||||||
Bayerische Landesbank | ||||||||
3.082%, 10/04/2022 (B) | 10,000 | 9,997 | ||||||
Bedford Row Funding | ||||||||
3.082%, 10/05/2022 (A)(B) | 8,000 | 7,997 |
Description | Face Amount | Market Value | ||||||
COMMERCIAL PAPER (continued) | ||||||||
Bennington Stark Capital | ||||||||
3.102%, 10/05/2022 (A)(B) | $ | 3,000 | $ | 2,999 | ||||
BNG Bank | ||||||||
2.916%, 10/31/2022 (A)(B) | 5,000 | 4,987 | ||||||
BPCE | ||||||||
4.250%, 09/01/2023 (A)(B) | 1,500 | 1,437 | ||||||
1.420%, 02/22/2023 (A)(B) | 2,000 | 1,968 | ||||||
Brighthouse Financial Short Term Funding | ||||||||
3.139%, 10/31/2022 (A)(B) | 4,000 | 3,989 | ||||||
Britannia Funding | ||||||||
3.123%, 10/03/2022 (A)(B) | 3,000 | 2,999 | ||||||
Citigroup Global Markets | ||||||||
3.356%, 01/09/2023 (A)(B) | 2,000 | 1,979 | ||||||
Columbia Funding | ||||||||
3.044%, 10/25/2022 (A)(B) | 5,000 | 4,989 | ||||||
Crown Point Capital | ||||||||
0.320%, 10/07/2022 (A)(B) | 1,000 | 1,000 | ||||||
0.300%, 10/04/2022 (A)(B) | 2,500 | 2,499 | ||||||
Federation des Caisses Desjardins du Quebec | ||||||||
3.074%, 10/11/2022 (A)(B) | 5,000 | 4,995 | ||||||
Great Bear Funding | ||||||||
3.082%, 10/03/2022 (A)(B) | 3,000 | 2,999 | ||||||
Lime Funding | ||||||||
3.124%, 10/12/2022 (A)(B) | 4,000 | 3,996 | ||||||
Mackinac Funding | ||||||||
3.138%, 10/14/2022 (A)(B) | 2,000 | 1,998 | ||||||
Macquarie Bank | ||||||||
2.630%, 01/04/2023 (A)(B) | 1,500 | 1,501 | ||||||
Manhattan Asset Funding | ||||||||
3.152%, 11/03/2022 (A)(B) | 2,000 | 1,994 | ||||||
Mitsubishi HC Capital America | ||||||||
3.058%, 10/03/2022 (B) | 2,800 | 2,799 | ||||||
Nordea Bank Abp | ||||||||
0.306%, 10/21/2022 (A)(B) | 1,000 | 998 | ||||||
Prudential | ||||||||
3.032%, 10/03/2022 (A)(B) | 6,000 | 5,999 | ||||||
PSP Capital | ||||||||
4.027%, 08/17/2023 (A)(B) | 1,500 | 1,441 | ||||||
Ridgefield Funding | ||||||||
3.102%, 10/06/2022 (A)(B) | 3,000 | 2,998 | ||||||
3.101%, 10/03/2022 (A)(B) | 4,000 | 3,999 | ||||||
Starbird Funding | ||||||||
3.766%, 02/23/2023 (A)(B) | 1,500 | 1,475 | ||||||
Toronto-Dominion Bank | ||||||||
1.348%, 02/17/2023 (A)(B) | 2,000 | 1,970 | ||||||
Victory Receivables | ||||||||
3.105%, 10/18/2022 (A)(B) | 3,000 | 2,995 | ||||||
VW Credit | ||||||||
3.393%, 10/04/2022 (A)(B) | 3,321 | 3,320 |
238
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
COMMERCIAL PAPER (continued) | ||||||||
Westpac Banking | ||||||||
0.271%, 10/14/2022 (A)(B) | $ | 1,000 | $ | 999 | ||||
123,036 | ||||||||
Government — 2.0% | ||||||||
NRW Bank | ||||||||
3.017%, 10/04/2022 (A)(B) | 5,000 | 4,998 | ||||||
Province of British Columbia Canada | ||||||||
3.066%, 10/14/2022 (B) | 2,000 | 1,998 | ||||||
6,996 | ||||||||
Information Technology — 2.4% | ||||||||
Amphenol | ||||||||
3.457%, 10/17/2022 (A)(B) | 3,000 | 2,995 | ||||||
Fidelity National Information Services | ||||||||
3.506%, 10/07/2022 (A)(B) | 3,000 | 2,998 | ||||||
Fiserv | ||||||||
3.255%, 10/03/2022 (A)(B) | 2,800 | 2,800 | ||||||
8,793 | ||||||||
Materials — 0.6% | ||||||||
Avery Dennison | ||||||||
3.510%, 10/18/2022 (A)(B) | 2,200 | 2,196 | ||||||
Utilities — 1.9% | ||||||||
Hydro-Quebec | ||||||||
3.132%, 11/04/2022 (A)(B) | 4,000 | 3,988 | ||||||
3.131%, 11/03/2022 (A)(B) | 3,000 | 2,991 | ||||||
6,979 | ||||||||
Total Commercial Paper | ||||||||
(Cost $166,070) ($ Thousands) | 165,984 | |||||||
CORPORATE OBLIGATIONS — 5.5% | ||||||||
Consumer Discretionary — 1.2% | ||||||||
Jets Stadium Development | ||||||||
3.460%, 04/01/2047 (A)(C) | 3,900 | 3,900 | ||||||
Toyota Motor Credit MTN | ||||||||
3.320%, U.S. SOFR + 0.280%, 12/14/2022 (C) | 643 | 643 | ||||||
4,543 | ||||||||
Financials — 4.3% | ||||||||
Bank of Nova Scotia | ||||||||
3.540%, U.S. SOFR + 0.500%, 05/05/2023 (C) | 4,000 | 4,002 | ||||||
Credit Suisse NY | ||||||||
2.942%, SOFRINDX + 0.280%, 02/10/2023 (C) | 2,000 | 2,000 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Lloyds Bank Corporate Markets NY | ||||||||
3.310%, U.S. SOFR + 0.270%, 01/24/2023 (C) | $ | 700 | $ | 700 | ||||
MUFG Bank NY | ||||||||
3.300%, U.S. SOFR + 0.300%, 03/10/2023 (C) | 1,500 | 1,500 | ||||||
Natixis NY | ||||||||
3.320%, U.S. SOFR + 0.280%, 02/07/2023 (C) | 2,000 | 2,000 | ||||||
Nordea Bank Abp NY | ||||||||
3.230%, U.S. SOFR + 0.190%, 10/27/2022 (C) | 1,000 | 1,000 | ||||||
Protective Life Global Funding | ||||||||
3.598%, U.S. SOFR + 0.550%, 03/31/2023 (A)(C) | 1,035 | 1,034 | ||||||
Standard Chartered Bank NY | ||||||||
3.340%, U.S. SOFR + 0.300%, 03/13/2023 (C) | 1,000 | 1,000 | ||||||
Svenska Handelsbanken NY | ||||||||
3.230%, U.S. SOFR + 0.190%, 10/27/2022 (C) | 2,000 | 2,000 | ||||||
15,236 | ||||||||
Total Corporate Obligations | ||||||||
(Cost $19,778) ($ Thousands) | 19,779 | |||||||
MUNICIPAL BOND — 0.2% | ||||||||
California — 0.2% | ||||||||
Tender Option Bond Trust Receipts, Ser 2021-XMT0950, RB | ||||||||
3.270%, 11/01/2035 (A)(C) | 750 | 750 | ||||||
Total Municipal Bond | ||||||||
(Cost $750) ($ Thousands) | 750 | |||||||
CERTIFICATES OF DEPOSIT — 40.5% | ||||||||
Banco Santander NY | ||||||||
2.672%, 10/28/2022 | 2,000 | 2,001 | ||||||
2.580%, 10/07/2022 | 7,000 | 7,000 | ||||||
Bank of Montreal IL | ||||||||
2.830%, 06/06/2023 | 1,000 | 1,001 | ||||||
2.800%, 05/12/2023 | 1,000 | 1,000 | ||||||
2.790%, 05/05/2023 | 1,000 | 1,001 | ||||||
0.360%, 01/06/2023 | 2,000 | 2,001 | ||||||
Bank of Nova Scotia | ||||||||
2.940%, 08/18/2023 (A) | 1,500 | 1,501 | ||||||
2.780%, 03/16/2023 | 2,000 | 2,001 | ||||||
Barclays Bank | ||||||||
2.900%, 04/05/2023 | 1,500 | 1,502 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
239
SCHEDULE OF INVESTMENTS
September 30, 2022
Conservative Income Fund (Concluded)
Description | Face Amount | Market Value | ||||||
CERTIFICATES OF DEPOSIT (continued) | ||||||||
BNP Paribas | ||||||||
2.680%, 11/04/2022 | $ | 2,000 | $ | 2,001 | ||||
Canadian Imperial Bank of Commerce NY | ||||||||
3.020%, 07/21/2023 | 1,000 | 1,002 | ||||||
2.930%, 07/03/2023 | 2,000 | 2,003 | ||||||
2.780%, 03/15/2023 | 2,000 | 2,002 | ||||||
2.580%, 01/06/2023 | 1,000 | 1,000 | ||||||
Citibank | ||||||||
4.160%, 09/01/2023 | 1,250 | 1,250 | ||||||
3.610%, 09/21/2023 | 1,000 | 1,000 | ||||||
Commonwealth Bank of Australia | ||||||||
2.730%, 02/21/2023 (A) | 2,000 | 2,002 | ||||||
2.610%, 10/12/2022 (A) | 2,000 | 2,000 | ||||||
Crown Point Capital | ||||||||
2.820%, 12/06/2022 (A) | 2,000 | 2,000 | ||||||
DNB Bank | ||||||||
2.770%, 05/26/2023 (A) | 3,000 | 3,002 | ||||||
DZ Bank | ||||||||
3.060%, 10/04/2022 | 5,000 | 5,000 | ||||||
HSBC Bank | ||||||||
2.880%, 06/06/2023 (A) | 2,000 | 2,000 | ||||||
Korea Development Bank NY | ||||||||
2.730%, 12/08/2022 | 2,000 | 2,001 | ||||||
Landesbank Baden-Wuerttemberg NY | ||||||||
3.060%, 10/04/2022 | 6,000 | 6,000 | ||||||
Macquarie Bank | ||||||||
3.390%, 10/06/2022 (A) | 3,000 | 3,000 | ||||||
2.880%, 03/03/2023 (A) | 2,000 | 2,002 | ||||||
2.880%, 06/22/2023 (A) | 3,000 | 3,003 | ||||||
2.780%, 01/18/2023 (A) | 4,000 | 4,003 | ||||||
Mizuho Bank | ||||||||
2.770%, 03/17/2023 | 2,000 | 2,001 | ||||||
MUFG Bank NY | ||||||||
2.840%, 06/20/2023 | 1,000 | 1,000 | ||||||
2.750%, 02/24/2023 | 2,000 | 2,001 | ||||||
0.330%, 11/01/2022 | 1,500 | 1,496 | ||||||
0.300%, 10/31/2022 | 1,000 | 998 | ||||||
National Australia Bank | ||||||||
2.770%, 03/14/2023 (A) | 2,000 | 2,001 | ||||||
2.680%, 05/12/2023 (A) | 1,500 | 1,500 | ||||||
2.660%, 11/04/2022 (A) | 1,750 | 1,751 | ||||||
2.650%, 04/13/2023 (A) | 2,000 | 2,000 | ||||||
2.640%, 11/14/2022 (A) | 1,000 | 1,000 | ||||||
2.630%, 10/25/2022 (A) | 2,000 | 2,000 | ||||||
National Bank of Canada | ||||||||
3.290%, 10/27/2022 (A) | 6,000 | 6,000 | ||||||
2.680%, 11/10/2022 (A) | 2,000 | 2,000 | ||||||
2.680%, 01/13/2023 (A) | 2,000 | 2,001 | ||||||
Nordea Bank Abp NY | ||||||||
2.760%, 05/24/2023 | 1,500 | 1,500 | ||||||
2.700%, 12/01/2022 | 3,000 | 3,001 | ||||||
2.700%, 12/07/2022 | 2,000 | 2,001 |
Description | Face Amount | Market Value | ||||||
CERTIFICATES OF DEPOSIT (continued) | ||||||||
Old Line Funding | ||||||||
2.730%, 10/11/2022 (A) | $ | 2,000 | $ | 2,000 | ||||
Royal Bank of Canada | ||||||||
2.800%, 01/04/2023 (A) | 1,000 | 1,001 | ||||||
Standard Chartered Bank NY | ||||||||
2.880%, 01/31/2023 | 1,000 | 1,001 | ||||||
2.830%, 05/04/2023 | 1,500 | 1,501 | ||||||
Sumitomo Mitsui Banking | ||||||||
2.880%, 05/03/2023 | 2,000 | 2,002 | ||||||
2.830%, 01/06/2023 | 2,500 | 2,502 | ||||||
2.780%, 12/23/2022 | 2,000 | 2,001 | ||||||
2.690%, 03/14/2023 | 3,000 | 3,000 | ||||||
2.640%, 10/19/2022 | 2,000 | 2,000 | ||||||
2.540%, 01/19/2023 | 1,500 | 1,500 | ||||||
Sumitomo Mitsui Trust Bank | ||||||||
2.740%, 02/22/2023 | 2,000 | 2,001 | ||||||
Svenska Handelsbanken NY | ||||||||
2.940%, 07/03/2023 | 2,000 | 2,003 | ||||||
Swedbank NY | ||||||||
2.760%, 12/15/2022 | 2,900 | 2,901 | ||||||
2.630%, 10/13/2022 | 2,000 | 2,000 | ||||||
Toronto-Dominion Bank | ||||||||
4.120%, 08/28/2023 | 1,000 | 994 | ||||||
2.800%, 05/08/2023 | 1,500 | 1,484 | ||||||
1.970%, 03/09/2023 | 2,000 | 2,001 | ||||||
0.800%, 03/31/2023 (A) | 1,500 | 1,501 | ||||||
0.550%, 06/02/2023 | 2,000 | 2,001 | ||||||
0.300%, 10/25/2022 | 1,500 | 1,497 | ||||||
UBS | ||||||||
2.582%, 12/08/2022 | 1,500 | 1,500 | ||||||
United Overseas Bank | ||||||||
2.482%, 11/07/2022 | 2,000 | 2,000 | ||||||
Wells Fargo Bank | ||||||||
3.340%, 03/23/2023 | 4,000 | 4,000 | ||||||
Westpac Banking | ||||||||
2.760%, 03/24/2023 (A) | 2,000 | 2,001 | ||||||
Total Certificates of Deposit | ||||||||
(Cost $145,902) ($ Thousands) | 145,922 | |||||||
REPURCHASE AGREEMENTS — 7.5% | ||||||||
Bank of America Securities | ||||||||
3.050%, dated 9/30/2022, to be repurchased on 10/3/2022, repurchase price $7,001,779 (collateralized by GNMA obligation, par value $9,888,123, 5.000%, 10/20/2051; with total market value $7,140,000) (D) | 7,000 | 7,000 |
240
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
REPURCHASE AGREEMENTS (continued) | ||||||||
Goldman Sachs & Co | ||||||||
3.040%, dated 9/30/2022, to be repurchased on 10/3/2022, repurchase price $2,000,507 (collateralized by GNMA obligations, ranging in par value $73,770 - $10,075,424, 2.740% - 5.500%, 6/20/2029 - 1/15/2060; with total market value $2,040,000) (D) | $ | 2,000 | $ | 2,000 | ||||
TD Securities | ||||||||
3.050%, dated 9/30/2022, to be repurchased on 10/3/2022, repurchase price $18,004,575 (collateralized by U.S. Treasury obligations, ranging in par value $7,393,500 - 11,290,700, 1.750% - 3.250%, 5/15/2023 - 6/30/2029; with total market value $18,360,091) (D) | 18,000 | 18,000 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $27,000) ($ Thousands) | 27,000 | |||||||
Total Investments in Securities — 99.8% | ||||||||
(Cost $359,500) ($ Thousands) | $ | 359,435 | ||||||
| Percentages are based on Net Assets of $360,280 ($ Thousands). |
(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, 2022, the value of these securities amounted to $208,143 ($ Thousands), representing 57.8% of the Net Assets of the Fund. |
(B) | Interest rate represents the security's effective yield at the time of purchase. |
(C) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(D) | Tri-Party Repurchase Agreement. |
As of September 30, 2022, 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 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, 2022 ($ Thousands):
Security Description | Value 9/30/2021 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 9/30/2022 | Shares | Income | Capital Gains | |||||||||||||||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | $ | 87 | $ | 19,595 | $ | (19,682 | ) | $ | — | $ | — | $ | — | — | $ | — | $ | — |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
241
SCHEDULE OF INVESTMENTS
September 30, 2022
Tax-Free Conservative Income Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Face Amount | Market Value | ||||||
MUNICIPAL BONDS — 81.2% | ||||||||
Arizona — 0.8% | ||||||||
Yavapai County, Industrial Development Authority, Drake Cement Project, Ser A, RB | ||||||||
2.500%, 09/01/2035 (A)(B) | $ | 1,500 | $ | 1,500 | ||||
Colorado — 2.2% | ||||||||
Colorado Springs, Utilities System Revenue, Ser C-REMK, RB | ||||||||
2.550%, 11/01/2040 (A) | 4,000 | 4,000 | ||||||
Connecticut — 1.6% | ||||||||
Connecticut State, Ser C, GO | ||||||||
2.590%, 05/15/2034 (A) | 2,870 | 2,870 | ||||||
District of Columbia — 1.7% | ||||||||
RBC Municipal Products Trust, Ser 2018-G63, GO | ||||||||
2.490%, 12/01/2023 (A)(B)(C) | 2,000 | 2,000 | ||||||
Tender Option Bond Trust Receipts, Ser 2019-XG0267, RB | ||||||||
2.510%, 10/01/2053 (A)(B)(C) | 1,035 | 1,035 | ||||||
3,035 | ||||||||
Florida — 4.4% | ||||||||
Lucie County, Florida Power & Light Project, RB | ||||||||
2.420%, 09/01/2028 (A) | 5,150 | 5,150 | ||||||
Miami-Dade County, Industrial Development Authority, Dave and Mary Alper Jewish Community Center Project, RB | ||||||||
2.550%, 04/01/2032 (A)(B) | 2,895 | 2,895 | ||||||
8,045 | ||||||||
Georgia — 1.1% | ||||||||
Georgia State, Municipal Electric Authority, Project One, Sub-Ser B, RB | ||||||||
2.430%, 01/01/2048 (A)(B) | 2,000 | 2,000 | ||||||
Illinois — 8.2% | ||||||||
Aurora, Fox Valley Counseling Center, RB | ||||||||
2.470%, 05/01/2028 (A)(B) | 1,710 | 1,710 | ||||||
Illinois State, Development Finance Authority, Glenwood School For Boys, RB | ||||||||
2.540%, 02/01/2033 (A)(B) | 2,000 | 2,000 |
Description | Face Amount | Market Value | ||||||
MUNICIPAL BONDS (continued) | ||||||||
Illinois State, Development Finance Authority, YMCA Metropolitan Chicago Project, RB | ||||||||
2.550%, 06/01/2029 (A)(B) | $ | 3,500 | $ | 3,500 | ||||
Illinois State, Finance Authority, Advocate Health Care Network, Sub-Ser C3A, RB | ||||||||
2.490%, 11/01/2038 (A) | 2,400 | 2,400 | ||||||
Illinois State, Finance Authority, The Care Foundation, RB | ||||||||
2.460%, 08/15/2052 (A)(B) | 4,400 | 4,400 | ||||||
University of Illinois, Hospital & Health Sciences System, Ser B, RB | ||||||||
2.550%, 10/01/2026 (A)(B) | 1,100 | 1,100 | ||||||
15,110 | ||||||||
Indiana — 1.0% | ||||||||
Tender Option Bond Trust Receipts, Ser 2016-XL0019, RB | ||||||||
2.610%, 04/01/2030 (A)(C) | 1,770 | 1,770 | ||||||
Iowa — 3.6% | ||||||||
Iowa State, Finance Authority, Disaster Area Economic Development, CJ Bio America Project, RB | ||||||||
2.630%, 12/01/2041 (A)(B)(C) | 2,000 | 2,000 | ||||||
Iowa State, Finance Authority, Pollution Control Facilities, MidAmerican Energy Project, RB | ||||||||
2.480%, 09/01/2036 (A) | 1,500 | 1,500 | ||||||
Iowa State, Finance Authority, Pollution Control Facilities, MidAmerican Energy Project, Ser B, RB | ||||||||
2.480%, 05/01/2023 (A) | 3,000 | 3,000 | ||||||
6,500 | ||||||||
Louisiana — 2.0% | ||||||||
Louisiana State, Offshore Terminal Authority, RB | ||||||||
2.550%, 09/01/2033 (A)(B) | 1,850 | 1,850 | ||||||
Saint James Parish, Nucor Steel Louisiana LLC Project, Ser 2010A-1, RB | ||||||||
2.800%, 11/01/2040 (A) | 1,800 | 1,800 | ||||||
3,650 | ||||||||
Maryland — 0.6% | ||||||||
Maryland State, Community Development Administration, Department of Housing and Community Development, Crusader Arms Apartments Project, Ser D, RB | ||||||||
2.600%, 02/01/2041 (A) | 1,070 | 1,070 |
242
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
MUNICIPAL BONDS (continued) | ||||||||
Michigan — 0.8% | ||||||||
Central Michigan University, Ser A, RB | ||||||||
2.500%, 10/01/2032 (A)(B) | $ | 1,400 | $ | 1,400 | ||||
Mississippi — 2.1% | ||||||||
Jackson County, Port Facility, Chevron USA Project, RB | ||||||||
2.500%, 06/01/2023 (A) | 1,200 | 1,200 | ||||||
Mississippi State, Business Finance, Chevron USA Project, Ser F, RB | ||||||||
2.500%, 12/01/2030 (A) | 2,500 | 2,500 | ||||||
3,700 | ||||||||
Missouri — 3.1% | ||||||||
Kansas City, Special Obligation, H Roe Bartle Project, Ser E, RB | ||||||||
2.490%, 04/15/2034 (A)(B) | 2,100 | 2,100 | ||||||
RBC Municipal Products Trust, Ser C-16, RB | ||||||||
2.510%, 09/01/2039 (A)(B)(C) | 3,500 | 3,500 | ||||||
5,600 | ||||||||
Nevada — 0.4% | ||||||||
Tender Option Bond Trust Receipts, Ser 2020-XF2858, RB | ||||||||
2.490%, 07/01/2050 (A)(C) | 700 | 700 | ||||||
New Jersey — 11.5% | ||||||||
Berlin, GO | ||||||||
4.500%, 09/26/2023 | 4,600 | 4,626 | ||||||
Deptford, Ser A, GO | ||||||||
4.000%, 07/11/2023 | 3,000 | 3,005 | ||||||
Park Ridge, GO | ||||||||
4.500%, 04/28/2023 | 3,650 | 3,663 | ||||||
Plainsboro, GO | ||||||||
4.000%, 07/26/2023 | 3,000 | 3,000 | ||||||
River Vale, GO | ||||||||
4.000%, 07/14/2023 | 1,900 | 1,903 | ||||||
Voorhees, Ser A, GO | ||||||||
4.000%, 09/27/2023 | 4,572 | 4,582 | ||||||
20,779 | ||||||||
New York — 5.9% | ||||||||
Metropolitan Transportation Authority, Sub-Ser 2008A-2A, RB | ||||||||
2.330%, 11/01/2026 (A)(B) | 200 | 200 | ||||||
New York City, Transitional Finance Authority, Future Tax Secured Revenue, RB | ||||||||
2.330%, 11/01/2029 (A) | 1,000 | 1,000 | ||||||
New York City, Transitional Finance Authority, Future Tax Secured Revenue, Sub-Ser C-4, RB | ||||||||
2.350%, 11/01/2036 (A) | 1,165 | 1,165 |
Description | Face Amount | Market Value | ||||||
MUNICIPAL BONDS (continued) | ||||||||
New York City, Water & Sewer System, RB | ||||||||
2.350%, 06/15/2050 (A) | $ | 900 | $ | 900 | ||||
New York State, Housing Finance Agency, Ser A, RB | ||||||||
2.450%, 11/01/2050 (A)(B) | 2,500 | 2,500 | ||||||
Oneida County, Industrial Development Agency, Mohawk Valley Community College Dormitory Project, Ser A, RB | ||||||||
2.530%, 08/01/2036 (A)(B) | 1,100 | 1,100 | ||||||
RBC Municipal Products Trust, Ser 2018-G5, GO | ||||||||
2.490%, 10/01/2025 (A)(B)(C) | 1,900 | 1,900 | ||||||
Tender Option Bond Trust Receipts, Ser 2017-XF0550, RB | ||||||||
2.500%, 02/15/2042 (A)(C) | 2,000 | 2,000 | ||||||
10,765 | ||||||||
North Carolina — 2.9% | ||||||||
Charlotte, Governmental Facilities Project, RB | ||||||||
2.450%, 06/01/2033 (A) | 1,965 | 1,965 | ||||||
North Carolina State, Medical Care Commission, Moses Cone Health System, Ser A, RB | ||||||||
2.450%, 10/01/2035 (A) | 3,275 | 3,275 | ||||||
5,240 | ||||||||
Ohio — 1.1% | ||||||||
Miami County, GO | ||||||||
3.250%, 07/27/2023 | 1,950 | 1,935 | ||||||
Pennsylvania — 2.7% | ||||||||
Butler County, Industrial Development Authority, Concordia Lutheran Ministries, Ser A-R, RB | ||||||||
2.500%, 05/01/2034 (A)(B) | 1,340 | 1,340 | ||||||
Montgomery County, Industrial Development Authority, Acts Retirement Life Communities, RB, AGC | ||||||||
2.500%, 11/15/2029 (A) | 175 | 175 | ||||||
Pennsylvania State, Economic Development Financing Authority, PPL Energy Supply Project, RB | ||||||||
3.420%, 12/01/2037 (A)(B) | 3,000 | 3,000 | ||||||
Pennsylvania State, Turnpike Commission, Ser A, RB | ||||||||
2.540%, 12/01/2050 (A)(B) | 300 | 300 | ||||||
4,815 | ||||||||
South Carolina — 3.1% | ||||||||
South Carolina State, Public Service Authority, Ser A, RB | ||||||||
2.520%, 01/01/2036 (A)(B) | 5,000 | 5,000 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
243
SCHEDULE OF INVESTMENTS
September 30, 2022
Tax-Free Conservative Income Fund (Concluded)
Description | Face Amount | Market Value | ||||||
MUNICIPAL BONDS (continued) | ||||||||
Tender Option Bond Trust Receipts, Ser 2022-XG0398, RB, BAM | ||||||||
2.580%, 12/01/2055 (A)(C) | $ | 500 | $ | 500 | ||||
5,500 | ||||||||
South Dakota — 1.6% | ||||||||
South Dakota State, Housing Development Authority, Ser A, RB | ||||||||
2.560%, 11/01/2062 (A) | 2,940 | 2,940 | ||||||
Tennessee — 0.9% | ||||||||
Clarksville, Public Building Authority, Pooled Financing, RB | ||||||||
2.590%, 06/01/2029 (A)(B) | 600 | 600 | ||||||
Johnson City, Health & Educational Facilities Board, Ser 2022B, RB | ||||||||
2.480%, 07/01/2045 (A)(B) | 1,020 | 1,020 | ||||||
1,620 | ||||||||
Texas — 12.2% | ||||||||
Houston, Combined Utility System Revenue, RB | ||||||||
2.480%, 05/15/2034 (A)(B) | 1,100 | 1,100 | ||||||
North Fort Bend, Water Authority, Ser 2019-XF0816, RB | ||||||||
2.560%, 06/15/2027 (A)(C) | 1,150 | 1,150 | ||||||
Pasadena, Independent School District, Ser B, GO, AGM | ||||||||
2.550%, 02/01/2035 (A) | 1,150 | 1,150 | ||||||
Port Arthur, Navigation District, Industrial Development, Petrochemicals USA Project, RB | ||||||||
2.520%, 03/01/2039 (A) | 5,300 | 5,300 | ||||||
Port Arthur, Navigation District, Industrial Development, Petrochemicals USA Project, Ser A, RB | ||||||||
2.520%, 12/01/2040 (A) | 2,200 | 2,200 | ||||||
Red River, Education Finance Corporation, Texas Christian University Project, RB | ||||||||
2.500%, 03/01/2030 (A) | 3,400 | 3,400 | ||||||
Tarrant County, Cultural Education Facilities Finance, Christus Health, RB | ||||||||
2.550%, 07/01/2047 (A)(B) | 1,525 | 1,525 | ||||||
Texas State, Veterans Bonds, GO | ||||||||
2.530%, 12/01/2047 (A) | 2,020 | 2,020 | ||||||
Texas State, Veterans Bonds, Ser B, GO | ||||||||
2.500%, 12/01/2042 (A) | 2,500 | 2,500 | ||||||
Texas State, Veterans Bonds, Ser B-REMK, GO | ||||||||
2.500%, 12/01/2043 (A) | 2,000 | 2,000 | ||||||
22,345 | ||||||||
Description | Face Amount | Market Value | ||||||
MUNICIPAL BONDS (continued) | ||||||||
Utah — 0.9% | ||||||||
Utah State, Water Finance Agency, Ser B-2-REMK, RB | ||||||||
2.500%, 10/01/2035 (A) | $ | 1,705 | $ | 1,705 | ||||
Virginia — 1.0% | ||||||||
Fairfax County, Industrial Development Authority, Inova Health System Project, RB | ||||||||
2.600%, 05/15/2042 (A) | 1,835 | 1,835 | ||||||
West Virginia — 0.6% | ||||||||
West Virginia State, Hospital Finance Authority, West Virginia University, RB | ||||||||
2.500%, 06/01/2034 (A)(B) | 1,165 | 1,165 | ||||||
Wisconsin — 3.2% | ||||||||
Wisconsin State, Housing & Economic Development Authority, Ser B, RB | ||||||||
2.500%, 03/01/2041 (A) | 1,845 | 1,845 | ||||||
Wisconsin State, Housing & Economic Development Authority, Ser C, RB | ||||||||
2.400%, 05/01/2046 (A) | 2,000 | 2,000 | ||||||
Wisconsin State, Ser A, GO | ||||||||
2.630%, 05/01/2023 (A) | 2,000 | 2,000 | ||||||
5,845 | ||||||||
Total Municipal Bonds | ||||||||
(Cost $147,595) ($ Thousands) | 147,439 | |||||||
TAX-EXEMPT COMMERCIAL PAPER — 15.5% | ||||||||
District of Columbia | ||||||||
2.000%, 11/15/2022 | 2,000 | 1,998 | ||||||
King County | ||||||||
1.700%, 10/04/2022 | 6,500 | 6,500 | ||||||
Michigan State University | ||||||||
1.790%, 11/03/2022 | 5,500 | 5,497 | ||||||
Nashville & Davidson County | ||||||||
2.270%, 11/08/2022 | 3,500 | 3,498 | ||||||
New York & New Jersey, Port Authority | ||||||||
2.150%, 11/09/2022 | 2,700 | 2,699 | ||||||
University of Minnesota | ||||||||
1.980%, 10/19/2022 | 5,000 | 4,998 |
244
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
TAX-EXEMPT COMMERCIAL PAPER (continued) | ||||||||
University of Texas | ||||||||
2.100%, 01/05/2023 | $ | 3,000 | $ | 2,995 | ||||
Total Tax-Exempt Commercial Paper | ||||||||
(Cost $28,200) ($ Thousands) | 28,185 | |||||||
Total Investments in Securities — 96.7% | ||||||||
(Cost $175,795) ($ Thousands) | $ | 175,624 | ||||||
| Percentages are based on Net Assets of $181,700 ($ Thousands). |
(A) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(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, 2022, the value of these securities amounted to $16,555 ($ Thousands), representing 9.1% of the Net Assets of the Fund. |
As of September 30, 2022, 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 more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
245
SCHEDULE OF INVESTMENTS
September 30, 2022
Real Return Fund
† | Percentages are based on total investments. |
Description | Face Amount | Market Value | ||||||
U.S. TREASURY OBLIGATIONS — 99.5% | ||||||||
U.S. Treasury Inflation Protected Securities | ||||||||
2.375%, 01/15/2025 | $ | 11,487 | $ | 11,530 | ||||
2.375%, 01/15/2027 | 7,372 | 7,483 | ||||||
2.000%, 01/15/2026 | 7,367 | 7,343 | ||||||
0.625%, 01/15/2024 | 20,390 | 19,911 | ||||||
0.625%, 01/15/2026 | 15,596 | 14,887 | ||||||
0.500%, 04/15/2024 | 11,391 | 11,069 | ||||||
0.375%, 07/15/2025 | 18,550 | 17,727 | ||||||
0.375%, 01/15/2027 | 14,738 | 13,767 | ||||||
0.375%, 07/15/2027 | 16,235 | 15,147 | ||||||
0.250%, 01/15/2025 | 16,904 | 16,176 | ||||||
0.125%, 07/15/2024 | 18,499 | 17,866 | ||||||
0.125%, 10/15/2024 | 16,487 | 15,854 | ||||||
0.125%, 04/15/2025 | 13,480 | 12,786 | ||||||
0.125%, 10/15/2025 | 16,429 | 15,520 | ||||||
0.125%, 04/15/2026 | 12,661 | 11,824 | ||||||
0.125%, 07/15/2026 | 15,542 | 14,529 | ||||||
0.125%, 10/15/2026 | 17,568 | 16,365 | ||||||
0.125%, 04/15/2027 | 18,226 | 16,804 | ||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $279,010) ($ Thousands) | 256,588 |
Description |
| Market Value | ||||||
CASH EQUIVALENT — 0.5% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
2.600%**† | 1,251,410 | $ | 1,251 | |||||
Total Cash Equivalent | ||||||||
(Cost $1,251) ($ Thousands) | 1,251 | |||||||
Total Investments in Securities — 100.0% | ||||||||
(Cost $280,261) ($ Thousands) | $ | 257,839 | ||||||
| Percentages are based on Net Assets of $257,774 ($ Thousands). |
** | The rate reported is the 7-day effective yield as of September 30, 2022. |
† | Investment in Affiliated Security (see Note 6). |
The following is a summary of the level of inputs used as of September 30, 2022, in valuing the Fund's investments carried at value ($ Thousands): | ||||||||||||||||
Investments in Securities | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
U.S. Treasury Obligations | – | 256,588 | – | 256,588 | ||||||||||||
Cash Equivalent | 1,251 | – | – | 1,251 | ||||||||||||
Total Investments in Securities | 1,251 | 256,588 | – | 257,839 |
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, 2022 ($Thousands):
Security Description | Value 9/30/2021 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 9/30/2022 | Shares | Income | Capital Gains | |||||||||||||||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | $ | 987 | $ | 65,652 | $ | (65,388 | ) | $ | — | $ | — | $ | 1,251 | 1,251,410 | $ | 10 | $ | — |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
246
SEI Institutional Managed Trust / Annual Report / September 30, 2022
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Dynamic Asset Allocation Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Shares | Market Value | ||||||
COMMON STOCK†† — 89.1% | ||||||||
Communication Services — 7.3% | ||||||||
Activision Blizzard Inc | 13,366 | $ | 994 | |||||
Alphabet Inc, Cl A * | 112,762 | 10,786 | ||||||
Alphabet Inc, Cl C * | 100,900 | 9,701 | ||||||
AT&T Inc | 134,449 | 2,062 | ||||||
Charter Communications Inc, Cl A * | 2,118 | 642 | ||||||
Comcast Corp, Cl A | 84,028 | 2,465 | ||||||
DISH Network Corp, Cl A * | 5,102 | 71 | ||||||
Electronic Arts Inc | 5,235 | 606 | ||||||
Fox Corp, Cl A | 6,071 | 186 | ||||||
Fox Corp, Cl B | 2,766 | 79 | ||||||
Interpublic Group of Cos Inc/The | 7,327 | 188 | ||||||
Live Nation Entertainment Inc * | 2,607 | 198 | ||||||
Lumen Technologies Inc | 16,783 | 122 | ||||||
Match Group Inc * | 5,506 | 263 | ||||||
Meta Platforms Inc, Cl A * | 43,002 | 5,834 | ||||||
Netflix Inc * | 8,329 | 1,961 | ||||||
News Corp, Cl A | 7,362 | 111 | ||||||
News Corp, Cl B | 2,517 | 39 | ||||||
Omnicom Group Inc | 3,926 | 248 | ||||||
Paramount Global, Cl B | 11,171 | 213 | ||||||
Take-Two Interactive Software Inc, Cl A * | 3,021 | 329 | ||||||
T-Mobile US Inc * | 11,398 | 1,529 | ||||||
Twitter Inc * | 12,652 | 555 | ||||||
Verizon Communications Inc | 79,010 | 3,000 | ||||||
Walt Disney Co/The * | 34,383 | 3,243 | ||||||
Warner Bros Discovery Inc * | 41,113 | 473 | ||||||
45,898 | ||||||||
Consumer Discretionary — 10.5% | ||||||||
Advance Auto Parts Inc | 1,151 | 180 | ||||||
Amazon.com Inc, Cl A * | 167,220 | 18,896 | ||||||
Aptiv PLC * | 5,056 | 395 | ||||||
AutoZone Inc * | 384 | 823 | ||||||
Bath & Body Works Inc | 4,429 | 144 | ||||||
Best Buy Co Inc | 3,830 | 243 | ||||||
Booking Holdings Inc * | 791 | 1,300 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
BorgWarner Inc | 4,537 | $ | 142 | |||||
Caesars Entertainment Inc * | 4,054 | 131 | ||||||
CarMax Inc * | 2,945 | 194 | ||||||
Carnival Corp * | 15,726 | 111 | ||||||
Chipotle Mexican Grill Inc, Cl A * | 541 | 813 | ||||||
Darden Restaurants Inc | 2,347 | 296 | ||||||
Dollar General Corp | 4,314 | 1,035 | ||||||
Dollar Tree Inc * | 4,158 | 566 | ||||||
Domino's Pizza Inc | 670 | 208 | ||||||
DR Horton Inc | 5,965 | 402 | ||||||
eBay Inc | 10,718 | 395 | ||||||
Etsy Inc * | 2,413 | 242 | ||||||
Expedia Group Inc * | 2,912 | 273 | ||||||
Ford Motor Co | 73,982 | 829 | ||||||
Garmin Ltd | 2,900 | 233 | ||||||
General Motors Co | 27,282 | 876 | ||||||
Genuine Parts Co | 2,706 | 404 | ||||||
Hasbro Inc | 2,409 | 162 | ||||||
Hilton Worldwide Holdings Inc | 5,209 | 628 | ||||||
Home Depot Inc/The | 19,329 | 5,334 | ||||||
Las Vegas Sands Corp * | 6,565 | 246 | ||||||
Lennar Corp, Cl A | 4,795 | 357 | ||||||
LKQ Corp | 4,716 | 222 | ||||||
Lowe's Cos Inc | 12,019 | 2,257 | ||||||
Marriott International Inc/MD, Cl A | 5,164 | 724 | ||||||
McDonald's Corp | 13,895 | 3,206 | ||||||
MGM Resorts International | 6,742 | 200 | ||||||
Mohawk Industries Inc * | 1,020 | 93 | ||||||
Newell Brands Inc, Cl B | 7,154 | 99 | ||||||
NIKE Inc, Cl B | 23,859 | 1,983 | ||||||
Norwegian Cruise Line Holdings Ltd * | 8,414 | 96 | ||||||
NVR Inc * | 59 | 235 | ||||||
O'Reilly Automotive Inc * | 1,204 | 847 | ||||||
Pool Corp | 716 | 228 | ||||||
PulteGroup Inc | 4,573 | 172 | ||||||
Ralph Lauren Corp, Cl A | 928 | 79 | ||||||
Ross Stores Inc | 6,507 | 548 | ||||||
Royal Caribbean Cruises Ltd * | 4,256 | 161 | ||||||
Starbucks Corp | 21,505 | 1,812 | ||||||
Tapestry Inc | 4,853 | 138 | ||||||
Target Corp, Cl A | 8,647 | 1,283 | ||||||
Tesla Inc * | 50,141 | 13,300 | ||||||
TJX Cos Inc/The | 22,059 | 1,370 | ||||||
Tractor Supply Co | 2,100 | 390 | ||||||
Ulta Beauty Inc * | 1,014 | 407 | ||||||
VF Corp | 6,219 | 186 | ||||||
Whirlpool Corp | 1,069 | 144 | ||||||
Wynn Resorts Ltd * | 2,145 | 135 | ||||||
Yum! Brands Inc | 5,299 | 564 | ||||||
66,737 | ||||||||
Consumer Staples — 6.2% | ||||||||
Altria Group Inc | 33,920 | 1,370 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
247
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Dynamic Asset Allocation Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Archer-Daniels-Midland Co | 10,558 | $ | 849 | |||||
Brown-Forman Corp, Cl B | 3,560 | 237 | ||||||
Campbell Soup Co | 3,934 | 185 | ||||||
Church & Dwight Co Inc | 4,634 | 331 | ||||||
Clorox Co/The | 2,338 | 300 | ||||||
Coca-Cola Co/The | 73,060 | 4,093 | ||||||
Colgate-Palmolive Co | 15,671 | 1,101 | ||||||
Conagra Brands Inc | 9,063 | 296 | ||||||
Constellation Brands Inc, Cl A | 3,057 | 702 | ||||||
Costco Wholesale Corp | 8,386 | 3,961 | ||||||
Estee Lauder Cos Inc/The, Cl A | 4,385 | 947 | ||||||
General Mills Inc | 11,228 | 860 | ||||||
Hershey Co/The | 2,686 | 592 | ||||||
Hormel Foods Corp | 5,223 | 237 | ||||||
J M Smucker Co/The | 2,030 | 279 | ||||||
Kellogg Co | 4,819 | 336 | ||||||
Keurig Dr Pepper Inc | 16,000 | 573 | ||||||
Kimberly-Clark Corp | 6,246 | 703 | ||||||
Kraft Heinz Co/The | 15,014 | 501 | ||||||
Kroger Co/The | 12,190 | 533 | ||||||
Lamb Weston Holdings Inc | 2,801 | 217 | ||||||
McCormick & Co Inc/MD | 4,793 | 342 | ||||||
Molson Coors Beverage Co, Cl B | 3,595 | 173 | ||||||
Mondelez International Inc, Cl A | 26,002 | 1,426 | ||||||
Monster Beverage Corp * | 7,008 | 609 | ||||||
PepsiCo Inc | 25,992 | 4,244 | ||||||
Philip Morris International Inc | 29,175 | 2,422 | ||||||
Procter & Gamble Co/The | 44,977 | 5,678 | ||||||
Sysco Corp, Cl A | 9,495 | 671 | ||||||
Tyson Foods Inc, Cl A | 5,375 | 354 | ||||||
Walgreens Boots Alliance Inc | 13,316 | 418 | ||||||
Walmart Inc | 26,819 | 3,478 | ||||||
39,018 | ||||||||
Energy — 4.1% | ||||||||
APA Corp | 6,452 | 221 | ||||||
Baker Hughes Co, Cl A | �� | 19,295 | 404 | |||||
Chevron Corp | 33,872 | 4,866 | ||||||
ConocoPhillips | 24,264 | 2,483 | ||||||
Coterra Energy Inc | 14,941 | 390 | ||||||
Devon Energy Corp | 12,475 | 750 | ||||||
Diamondback Energy Inc, Cl A | 3,183 | 384 | ||||||
EOG Resources Inc | 11,026 | 1,232 | ||||||
EQT Corp | 7,000 | 285 | ||||||
Exxon Mobil Corp | 78,981 | 6,896 | ||||||
Halliburton Co | 16,826 | 414 | ||||||
Hess Corp | 5,185 | 565 | ||||||
Kinder Morgan Inc | 36,378 | 605 | ||||||
Marathon Oil Corp | 13,059 | 295 | ||||||
Marathon Petroleum Corp | 9,353 | 929 | ||||||
Occidental Petroleum Corp | 14,020 | 862 | ||||||
ONEOK Inc | 8,349 | 428 | ||||||
Phillips 66 | 9,079 | 733 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Pioneer Natural Resources Co | 4,467 | $ | 967 | |||||
Schlumberger NV, Cl A | 26,476 | 951 | ||||||
Valero Energy Corp | 7,617 | 814 | ||||||
Williams Cos Inc/The | 22,714 | 650 | ||||||
26,124 | ||||||||
Financials — 9.9% | ||||||||
Aflac Inc | 11,107 | 624 | ||||||
Allstate Corp/The | 5,120 | 638 | ||||||
American Express Co | 11,497 | 1,551 | ||||||
American International Group Inc | 14,836 | 704 | ||||||
Ameriprise Financial Inc | 2,090 | 527 | ||||||
Aon PLC, Cl A | 3,962 | 1,061 | ||||||
Arthur J Gallagher & Co | 3,994 | 684 | ||||||
Assurant Inc | 1,043 | 152 | ||||||
Bank of America Corp | 132,799 | 4,011 | ||||||
Bank of New York Mellon Corp/The | 13,836 | 533 | ||||||
Berkshire Hathaway Inc, Cl B * | 34,070 | 9,097 | ||||||
BlackRock Inc | 2,817 | 1,550 | ||||||
Brown & Brown Inc | 4,539 | 275 | ||||||
Capital One Financial Corp | 7,431 | 685 | ||||||
Cboe Global Markets Inc | 2,027 | 238 | ||||||
Charles Schwab Corp/The | 28,905 | 2,077 | ||||||
Chubb Ltd | 7,903 | 1,437 | ||||||
Cincinnati Financial Corp | 2,890 | 259 | ||||||
Citigroup Inc | 36,475 | 1,520 | ||||||
Citizens Financial Group Inc | 9,308 | 320 | ||||||
CME Group Inc, Cl A | 6,702 | 1,187 | ||||||
Comerica Inc | 2,483 | 177 | ||||||
Discover Financial Services | 5,249 | 477 | ||||||
Everest Re Group Ltd | 773 | 203 | ||||||
Eversource Energy | 6,408 | 500 | ||||||
FactSet Research Systems Inc | 674 | 270 | ||||||
Fifth Third Bancorp | 12,683 | 405 | ||||||
First Republic Bank/CA | 3,377 | 441 | ||||||
Franklin Resources Inc | 5,343 | 115 | ||||||
Globe Life Inc | 1,800 | 179 | ||||||
Goldman Sachs Group Inc/The | 6,468 | 1,896 | ||||||
Hartford Financial Services Group Inc/The | 6,032 | 374 | ||||||
Huntington Bancshares Inc/OH | 26,662 | 351 | ||||||
Intercontinental Exchange Inc | 10,395 | 939 | ||||||
Invesco Ltd | 6,678 | 91 | ||||||
JPMorgan Chase & Co | 55,302 | 5,779 | ||||||
KeyCorp | 17,116 | 274 | ||||||
Lincoln National Corp | 3,195 | 140 | ||||||
Loews Corp | 3,555 | 177 | ||||||
M&T Bank Corp | 3,387 | 597 | ||||||
MarketAxess Holdings Inc | 653 | 145 | ||||||
Marsh & McLennan Cos Inc | 9,371 | 1,399 | ||||||
MetLife Inc | 12,831 | 780 | ||||||
Moody's Corp | 2,993 | 728 | ||||||
Morgan Stanley | 25,204 | 1,991 | ||||||
MSCI Inc, Cl A | 1,477 | 623 |
248
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Nasdaq Inc, Cl A | 6,621 | $ | 375 | |||||
Northern Trust Corp | 3,829 | 328 | ||||||
PNC Financial Services Group Inc/The | 7,709 | 1,152 | ||||||
Principal Financial Group Inc, Cl A | 4,467 | 322 | ||||||
Progressive Corp/The | 10,921 | 1,269 | ||||||
Prudential Financial Inc | 7,118 | 611 | ||||||
Raymond James Financial Inc | 3,572 | 353 | ||||||
Regions Financial Corp | 17,315 | 347 | ||||||
S&P Global Inc | 6,506 | 1,987 | ||||||
Signature Bank/New York NY, Cl B | 1,157 | 175 | ||||||
SVB Financial Group, Cl B * | 1,093 | 367 | ||||||
Synchrony Financial | 9,544 | 269 | ||||||
T Rowe Price Group Inc | 4,201 | 441 | ||||||
Travelers Cos Inc/The | 4,487 | 687 | ||||||
Truist Financial Corp | 24,968 | 1,087 | ||||||
US Bancorp | 25,377 | 1,023 | ||||||
W R Berkley Corp | 4,057 | 262 | ||||||
Wells Fargo & Co | 71,215 | 2,864 | ||||||
Willis Towers Watson PLC | 2,063 | 415 | ||||||
Zions Bancorp NA | 2,733 | 139 | ||||||
62,654 | ||||||||
Health Care — 13.5% | ||||||||
Abbott Laboratories | 32,913 | 3,185 | ||||||
AbbVie Inc | 33,382 | 4,480 | ||||||
ABIOMED Inc * | 835 | 205 | ||||||
Agilent Technologies Inc | 5,579 | 678 | ||||||
Align Technology Inc * | 1,395 | 289 | ||||||
AmerisourceBergen Corp, Cl A | 2,751 | 372 | ||||||
Amgen Inc, Cl A | 9,977 | 2,249 | ||||||
Baxter International Inc | 9,549 | 514 | ||||||
Becton Dickinson and Co | 5,319 | 1,185 | ||||||
Biogen Inc * | 2,749 | 734 | ||||||
Bio-Rad Laboratories Inc, Cl A * | 433 | 181 | ||||||
Bio-Techne Corp | 673 | 191 | ||||||
Boston Scientific Corp * | 26,816 | 1,039 | ||||||
Bristol-Myers Squibb Co | 40,039 | 2,846 | ||||||
Cardinal Health Inc | 5,213 | 348 | ||||||
Catalent Inc * | 3,277 | 237 | ||||||
Centene Corp * | 10,932 | 851 | ||||||
Charles River Laboratories International Inc * | 965 | 190 | ||||||
Cigna Corp | 5,899 | �� | 1,637 | |||||
Cooper Cos Inc/The, Cl A | 866 | 228 | ||||||
CVS Health Corp | 24,661 | 2,352 | ||||||
Danaher Corp, Cl A | 12,355 | 3,191 | ||||||
DaVita Inc * | 1,115 | 92 | ||||||
DENTSPLY SIRONA Inc | 4,221 | 120 | ||||||
Dexcom Inc * | 7,472 | 602 | ||||||
Edwards Lifesciences Corp, Cl A * | 11,688 | 966 | ||||||
Elevance Health Inc | 4,472 | 2,031 | ||||||
Eli Lilly & Co | 14,769 | 4,776 | ||||||
Gilead Sciences Inc | 23,554 | 1,453 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
HCA Healthcare Inc | 4,279 | $ | 787 | |||||
Henry Schein Inc * | 2,549 | 168 | ||||||
Hologic Inc * | 4,629 | 299 | ||||||
Humana Inc | 2,357 | 1,144 | ||||||
IDEXX Laboratories Inc * | 1,536 | 500 | ||||||
Illumina Inc * | 2,977 | 568 | ||||||
Incyte Corp * | 3,671 | 245 | ||||||
Intuitive Surgical Inc * | 6,765 | 1,268 | ||||||
IQVIA Holdings Inc * | 3,569 | 646 | ||||||
Johnson & Johnson | 49,647 | 8,110 | ||||||
Laboratory Corp of America Holdings | 1,753 | 359 | ||||||
McKesson Corp | 2,672 | 908 | ||||||
Medtronic PLC | 25,220 | 2,036 | ||||||
Merck & Co Inc | 47,860 | 4,122 | ||||||
Mettler-Toledo International Inc * | 444 | 481 | ||||||
Moderna Inc * | 6,500 | 769 | ||||||
Molina Healthcare Inc * | 1,060 | 350 | ||||||
Organon & Co | 4,792 | 112 | ||||||
PerkinElmer Inc | 2,283 | 275 | ||||||
Pfizer Inc | 105,124 | 4,600 | ||||||
Quest Diagnostics Inc | 2,196 | 269 | ||||||
Regeneron Pharmaceuticals Inc * | 2,037 | 1,403 | ||||||
ResMed Inc | 2,700 | 589 | ||||||
STERIS PLC | 1,874 | 312 | ||||||
Stryker Corp | 6,346 | 1,285 | ||||||
Teleflex Inc | 900 | 181 | ||||||
Thermo Fisher Scientific Inc | 7,340 | 3,723 | ||||||
UnitedHealth Group Inc | 17,637 | 8,907 | ||||||
Universal Health Services Inc, Cl B | 1,292 | 114 | ||||||
Vertex Pharmaceuticals Inc * | 4,784 | 1,385 | ||||||
Viatris Inc, Cl W * | 22,983 | 196 | ||||||
Waters Corp * | 1,078 | 291 | ||||||
West Pharmaceutical Services Inc | 1,349 | 332 | ||||||
Zimmer Biomet Holdings Inc | 4,010 | 419 | ||||||
Zoetis Inc, Cl A | 8,849 | 1,312 | ||||||
85,687 | ||||||||
Industrials — 7.1% | ||||||||
3M Co | 10,361 | 1,145 | ||||||
A O Smith Corp | 2,510 | 122 | ||||||
Alaska Air Group Inc * | 2,514 | 98 | ||||||
Allegion PLC | 1,733 | 155 | ||||||
American Airlines Group Inc * | 12,281 | 148 | ||||||
AMETEK Inc | 4,406 | 500 | ||||||
Boeing Co/The * | 10,434 | 1,263 | ||||||
Carrier Global Corp | 15,821 | 563 | ||||||
Caterpillar Inc, Cl A | 9,974 | 1,637 | ||||||
CH Robinson Worldwide Inc | 2,398 | 231 | ||||||
Cintas Corp | 1,625 | 631 | ||||||
Copart Inc * | 4,054 | 431 | ||||||
CoStar Group Inc * | 7,500 | 522 | ||||||
CSX Corp | 40,745 | 1,085 | ||||||
Cummins Inc | 2,665 | 542 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
249
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Dynamic Asset Allocation Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Deere & Co | 5,176 | $ | 1,728 | |||||
Delta Air Lines Inc, Cl A * | 12,284 | 345 | ||||||
Dover Corp | 2,747 | 320 | ||||||
Eaton Corp PLC | 7,466 | 996 | ||||||
Emerson Electric Co | 11,019 | 807 | ||||||
Equifax Inc | 2,292 | 393 | ||||||
Expeditors International of Washington Inc | 3,092 | 273 | ||||||
Fastenal Co, Cl A | 10,650 | 490 | ||||||
FedEx Corp | 4,502 | 668 | ||||||
Fortive Corp | 6,640 | 387 | ||||||
Fortune Brands Home & Security Inc | 2,507 | 135 | ||||||
Generac Holdings Inc * | 1,183 | 211 | ||||||
General Dynamics Corp | 4,307 | 914 | ||||||
General Electric Co | 20,671 | 1,280 | ||||||
Honeywell International Inc | 12,782 | 2,134 | ||||||
Howmet Aerospace Inc | 7,232 | 224 | ||||||
Huntington Ingalls Industries Inc, Cl A | 773 | 171 | ||||||
IDEX Corp | 1,448 | 289 | ||||||
Illinois Tool Works Inc | 5,335 | 964 | ||||||
Ingersoll Rand Inc | 7,735 | 335 | ||||||
Jacobs Solutions Inc | 2,332 | 253 | ||||||
JB Hunt Transport Services Inc | 1,587 | 248 | ||||||
Johnson Controls International plc | 12,957 | 638 | ||||||
L3Harris Technologies Inc | 3,637 | 756 | ||||||
Leidos Holdings Inc | 2,604 | 228 | ||||||
Lockheed Martin Corp | 4,427 | 1,710 | ||||||
Masco Corp | 4,259 | 199 | ||||||
Nielsen Holdings PLC | 6,834 | 189 | ||||||
Nordson Corp | 963 | 204 | ||||||
Norfolk Southern Corp | 4,438 | 930 | ||||||
Northrop Grumman Corp | 2,763 | 1,300 | ||||||
Old Dominion Freight Line Inc, Cl A | 1,686 | 419 | ||||||
Otis Worldwide Corp | 7,862 | 502 | ||||||
PACCAR Inc | 6,481 | 542 | ||||||
Parker-Hannifin Corp, Cl A | 2,364 | 573 | ||||||
Pentair PLC | 3,064 | 125 | ||||||
Quanta Services Inc | 2,684 | 342 | ||||||
Raytheon Technologies Corp | 27,926 | 2,286 | ||||||
Republic Services Inc | 3,919 | 533 | ||||||
Robert Half International Inc | 2,184 | 167 | ||||||
Rockwell Automation Inc | 2,155 | 464 | ||||||
Rollins Inc | 4,520 | 157 | ||||||
Snap-on Inc | 1,018 | 205 | ||||||
Southwest Airlines Co, Cl A * | 11,327 | 349 | ||||||
Stanley Black & Decker Inc | 2,899 | 218 | ||||||
Textron Inc | 3,986 | 232 | ||||||
Trane Technologies PLC | 4,443 | 643 | ||||||
TransDigm Group Inc | 973 | 511 | ||||||
Union Pacific Corp | 11,806 | 2,300 | ||||||
United Airlines Holdings Inc * | 6,078 | 198 | ||||||
United Parcel Service Inc, Cl B | 13,812 | 2,231 | ||||||
United Rentals Inc * | 1,349 | 364 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Verisk Analytics Inc, Cl A | 2,990 | $ | 510 | |||||
Waste Management Inc | 7,118 | 1,140 | ||||||
Westinghouse Air Brake Technologies Corp | 3,362 | 274 | ||||||
WW Grainger Inc | 817 | 400 | ||||||
Xylem Inc/NY | 3,424 | 299 | ||||||
44,776 | ||||||||
Information Technology — 23.4% | ||||||||
Accenture PLC, Cl A | 11,895 | 3,061 | ||||||
Adobe Inc * | 8,833 | 2,431 | ||||||
Advanced Micro Devices Inc * | 30,415 | 1,927 | ||||||
Akamai Technologies Inc * | 3,063 | 246 | ||||||
Amphenol Corp, Cl A | 11,130 | 745 | ||||||
Analog Devices Inc | 9,832 | 1,370 | ||||||
ANSYS Inc * | 1,640 | 364 | ||||||
Apple Inc | 284,889 | 39,372 | ||||||
Applied Materials Inc | 16,563 | 1,357 | ||||||
Arista Networks Inc * | 4,746 | 536 | ||||||
Autodesk Inc, Cl A * | 4,054 | 757 | ||||||
Automatic Data Processing Inc | 7,854 | 1,777 | ||||||
Broadcom Inc | 7,608 | 3,378 | ||||||
Broadridge Financial Solutions Inc | 2,234 | 322 | ||||||
Cadence Design Systems Inc * | 5,110 | 835 | ||||||
CDW Corp/DE | 2,507 | 391 | ||||||
Ceridian HCM Holding Inc * | 2,606 | 146 | ||||||
Cisco Systems Inc | 78,108 | 3,124 | ||||||
Citrix Systems Inc | 2,241 | 233 | ||||||
Cognizant Technology Solutions Corp, Cl A | 9,717 | 558 | ||||||
Corning Inc, Cl B | 14,059 | 408 | ||||||
DXC Technology Co * | 4,809 | 118 | ||||||
Enphase Energy Inc * | 2,508 | 696 | ||||||
EPAM Systems Inc * | 1,061 | 384 | ||||||
F5 Inc, Cl A * | 1,149 | 166 | ||||||
Fidelity National Information Services Inc, Cl B | 11,436 | 864 | ||||||
Fiserv Inc, Cl A * | 12,057 | 1,128 | ||||||
FleetCor Technologies Inc * | 1,444 | 254 | ||||||
Fortinet Inc * | 12,335 | 606 | ||||||
Gartner Inc * | 1,513 | 419 | ||||||
Global Payments Inc | 5,294 | 572 | ||||||
Hewlett Packard Enterprise Co | 24,724 | 296 | ||||||
HP Inc | 17,168 | 428 | ||||||
Intel Corp | 76,837 | 1,980 | ||||||
International Business Machines Corp | 16,854 | 2,002 | ||||||
Intuit Inc | 5,251 | 2,034 | ||||||
Jack Henry & Associates Inc | 1,350 | 246 | ||||||
Juniper Networks Inc | 6,254 | 163 | ||||||
Keysight Technologies Inc * | 3,375 | 531 | ||||||
KLA Corp | 2,746 | 831 | ||||||
Lam Research Corp | 2,600 | 952 | ||||||
Mastercard Inc, Cl A | 16,136 | 4,588 | ||||||
Microchip Technology Inc | 10,393 | 634 | ||||||
Micron Technology Inc | 20,904 | 1,047 |
250
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Microsoft Corp | 140,702 | $ | 32,770 | |||||
Monolithic Power Systems Inc | 770 | 280 | ||||||
Motorola Solutions Inc | 3,086 | 691 | ||||||
NetApp Inc | 4,276 | 265 | ||||||
NortonLifeLock Inc | 11,409 | 230 | ||||||
NVIDIA Corp | 47,229 | 5,733 | ||||||
ON Semiconductor Corp * | 8,300 | 517 | ||||||
Oracle Corp, Cl B | 28,578 | 1,745 | ||||||
Paychex Inc | 5,980 | 671 | ||||||
Paycom Software Inc * | 887 | 293 | ||||||
PayPal Holdings Inc * | 21,781 | 1,875 | ||||||
PTC Inc * | 2,028 | 212 | ||||||
Qorvo Inc * | 2,131 | 169 | ||||||
QUALCOMM Inc | 20,996 | 2,372 | ||||||
Roper Technologies Inc | 1,945 | 700 | ||||||
Salesforce Inc * | 18,603 | 2,676 | ||||||
Seagate Technology Holdings PLC | 3,805 | 203 | ||||||
ServiceNow Inc * | 3,763 | 1,421 | ||||||
Skyworks Solutions Inc | 3,095 | 264 | ||||||
SolarEdge Technologies Inc * | 1,064 | 246 | ||||||
Synopsys Inc * | 2,895 | 884 | ||||||
Teledyne Technologies Inc * | 890 | 300 | ||||||
Teradyne Inc | 2,988 | 225 | ||||||
Texas Instruments Inc | 17,354 | 2,686 | ||||||
Trimble Inc * | 4,828 | 262 | ||||||
Tyler Technologies Inc * | 809 | 281 | ||||||
VeriSign Inc * | 1,812 | 315 | ||||||
Visa Inc, Cl A | 30,863 | 5,483 | ||||||
Western Digital Corp * | 5,724 | 186 | ||||||
Zebra Technologies Corp, Cl A * | 977 | 256 | ||||||
148,488 | ||||||||
Materials — 1.9% | ||||||||
Air Products and Chemicals Inc | 4,157 | 968 | ||||||
Albemarle Corp | 2,140 | 566 | ||||||
Amcor PLC | 27,772 | 298 | ||||||
Avery Dennison Corp | 1,519 | 247 | ||||||
Ball Corp | 5,890 | 285 | ||||||
Celanese Corp, Cl A | 2,126 | 192 | ||||||
CF Industries Holdings Inc | 3,890 | 374 | ||||||
Corteva Inc | 13,493 | 771 | ||||||
Dow Inc | 13,621 | 598 | ||||||
DuPont de Nemours Inc | 9,456 | 477 | ||||||
Eastman Chemical Co | 2,510 | 178 | ||||||
Ecolab Inc | 4,612 | 666 | ||||||
FMC Corp | 2,362 | 250 | ||||||
Freeport-McMoRan Inc, Cl B | 27,056 | 740 | ||||||
International Flavors & Fragrances Inc | 4,788 | 435 | ||||||
International Paper Co | 7,108 | 225 | ||||||
LyondellBasell Industries NV, Cl A | 4,933 | 371 | ||||||
Martin Marietta Materials Inc, Cl A | 1,122 | 361 | ||||||
Mosaic Co/The | 6,956 | 336 | ||||||
Newmont Corp | 14,758 | 620 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Nucor Corp | 4,962 | $ | 531 | |||||
Packaging Corp of America | 1,835 | 206 | ||||||
PPG Industries Inc | 4,507 | 499 | ||||||
Sealed Air Corp | 2,857 | 127 | ||||||
Sherwin-Williams Co/The, Cl A | 4,449 | 911 | ||||||
Vulcan Materials Co | 2,539 | 400 | ||||||
Westrock Co | 4,612 | 143 | ||||||
11,775 | ||||||||
Real Estate — 2.5% | ||||||||
Alexandria Real Estate Equities Inc ‡ | 2,812 | 394 | ||||||
American Tower Corp, Cl A ‡ | 8,680 | 1,864 | ||||||
AvalonBay Communities Inc ‡ | 2,626 | 484 | ||||||
Boston Properties Inc ‡ | 2,611 | 196 | ||||||
Camden Property Trust ‡ | 2,000 | 239 | ||||||
CBRE Group Inc, Cl A * | 6,096 | 412 | ||||||
Crown Castle International Corp ‡ | 8,132 | 1,175 | ||||||
Digital Realty Trust Inc, Cl A ‡ | 5,306 | 526 | ||||||
Duke Realty Corp ‡ | 7,239 | 349 | ||||||
Equinix Inc ‡ | 1,718 | 977 | ||||||
Equity Residential ‡ | 6,499 | 437 | ||||||
Essex Property Trust Inc ‡ | 1,215 | 294 | ||||||
Extra Space Storage Inc ‡ | 2,508 | 433 | ||||||
Federal Realty Investment trustOP LP ‡ | 1,352 | 122 | ||||||
Healthpeak Properties Inc ‡ | 10,261 | 235 | ||||||
Host Hotels & Resorts Inc ‡ | 13,523 | 215 | ||||||
Invitation Homes Inc ‡ | 10,900 | 368 | ||||||
Iron Mountain Inc ‡ | 5,478 | 241 | ||||||
Kimco Realty Corp ‡ | 12,074 | 222 | ||||||
Mid-America Apartment Communities Inc ‡ | 2,221 | 344 | ||||||
Prologis Inc ‡ | 13,862 | 1,408 | ||||||
Public Storage ‡ | 2,895 | 848 | ||||||
Realty Income Corp ‡ | 11,730 | 683 | ||||||
Regency Centers Corp ‡ | 2,994 | 161 | ||||||
SBA Communications Corp, Cl A ‡ | 1,988 | 566 | ||||||
Simon Property Group Inc ‡ | 6,133 | 550 | ||||||
UDR Inc ‡ | 5,695 | 238 | ||||||
Ventas Inc ‡ | 7,437 | 299 | ||||||
VICI Properties ‡ | 18,000 | 537 | ||||||
Vornado Realty Trust ‡ | 3,022 | 70 | ||||||
Welltower Inc ‡ | 8,409 | 541 | ||||||
Weyerhaeuser Co ‡ | 13,848 | 396 | ||||||
15,824 | ||||||||
Utilities — 2.7% | ||||||||
AES Corp/The | 12,555 | 284 | ||||||
Alliant Energy Corp | 4,729 | 251 | ||||||
Ameren Corp | 4,868 | 392 | ||||||
American Electric Power Co Inc | 9,584 | 829 | ||||||
American Water Works Co Inc | 3,476 | 452 | ||||||
Atmos Energy Corp | 2,607 | 266 | ||||||
CenterPoint Energy Inc | 11,886 | 335 | ||||||
CMS Energy Corp | 5,515 | 321 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
251
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Dynamic Asset Allocation Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Consolidated Edison Inc | 6,636 | $ | 569 | |||||
Constellation Energy Corp | 6,072 | 505 | ||||||
Dominion Energy Inc | 15,813 | 1,093 | ||||||
DTE Energy Co | 3,708 | 427 | ||||||
Duke Energy Corp | 14,471 | 1,346 | ||||||
Edison International | 7,104 | 402 | ||||||
Entergy Corp | 3,839 | 386 | ||||||
Evergy Inc | 4,343 | 258 | ||||||
Exelon Corp | 18,219 | 682 | ||||||
FirstEnergy Corp | 10,649 | 394 | ||||||
NextEra Energy Inc | 36,948 | 2,897 | ||||||
NiSource Inc | 7,944 | 200 | ||||||
NRG Energy Inc | 4,596 | 176 | ||||||
PG&E Corp * | 30,300 | 379 | ||||||
Pinnacle West Capital Corp | 2,117 | 137 | ||||||
PPL Corp | 13,625 | 345 | ||||||
Public Service Enterprise Group Inc | 9,311 | 524 | ||||||
Sempra Energy | 5,928 | 889 | ||||||
Southern Co/The | 19,956 | 1,357 | ||||||
WEC Energy Group Inc | 5,921 | 529 | ||||||
Xcel Energy Inc | 10,177 | 651 | ||||||
17,276 | ||||||||
Total Common Stock | ||||||||
(Cost $313,319) ($ Thousands) | 564,257 | |||||||
Description |
| Market Value | ||||||
FOREIGN COMMON STOCK — 0.6% | ||||||||
China — 0.1% | ||||||||
NXP Semiconductors NV | 4,918 | $ | 725 | |||||
Switzerland — 0.1% | ||||||||
TE Connectivity Ltd | 5,980 | 660 | ||||||
United Kingdom — 0.4% | ||||||||
Linde PLC | 9,431 | 2,543 | ||||||
Total Foreign Common Stock | ||||||||
(Cost $2,913) ($ Thousands) | 3,928 |
CASH EQUIVALENT — 1.1% | ||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
2.600%**† | 6,874,814 | 6,875 | ||||||
Total Cash Equivalent | ||||||||
(Cost $6,875) ($ Thousands) | 6,875 | |||||||
Total Investments in Securities — 90.8% | ||||||||
(Cost $323,107) ($ Thousands) | $ | 575,060 |
A list of the open futures contracts held by the Fund at September 30, 2022 is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Depreciation (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 Index E-MINI^ | 360 | Dec-2022 | $ | 72,823 | $ | 64,827 | $ | (7,996 | ) |
A list of the open OTC swap agreements held by the Fund at September 30, 2022, is as follows:
Total Return Swaps | ||||||||||||||||||||||||||||||||||||||||
Counterparty | Reference Entity/ Obligation | Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional | Value | Upfront Payments/ | Net Unrealized | ||||||||||||||||||||||||||||||
BNP Paribas^ | Bloomberg Commodity Index TR | 0.10 | % | INDEX RETURN | Quarterly | 12/10/2022 | USD | 49,436 | $ | (2,938 | ) | $ | – | $ | (2,938 | ) | ||||||||||||||||||||||||
Goldman Sachs | Goldman Sachs U.S. Financial Conditions Index | NEGATIVE INDEX RETURN | POSITIVE INDEX RETURN | Quarterly | 11/30/2022 | USD | 35,242 | 2,865 | – | 2,865 | ||||||||||||||||||||||||||||||
$ | (73 | ) | $ | – | $ | (73 | ) |
252
SEI Institutional Managed Trust / Annual Report / September 30, 2022
| Percentages are based on Net Assets of $633,458 ($ Thousands). |
^ | Security is held by the Dynamic Commodity Strategy Subsidiary Ltd. As of September 30, 2022. |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2022. |
‡ | 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. |
The following is a summary of the level of inputs used as of September 30, 2022, 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 | 564,257 | – | – | 564,257 | ||||||||||||
Foreign Common Stock | 3,928 | – | – | 3,928 | ||||||||||||
Cash Equivalent | 6,875 | – | – | 6,875 | ||||||||||||
Total Investments in Securities | 575,060 | – | – | 575,060 |
Other Financial Instruments | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | (7,996 | ) | – | – | (7,996 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Total Return Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 2,865 | – | 2,865 | ||||||||||||
Unrealized Depreciation | – | (2,938 | ) | – | (2,938 | ) | ||||||||||
Total Other Financial Instruments | (7,996 | ) | (73 | ) | – | (8,069 | ) |
* | Futures contracts and swap contracts are valued at the unrealized appreciation/(depreciation) on the instruments. |
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, 2022 ($ Thousands):
Security Description | Value 9/30/2021 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2022 | Shares | Income | Capital Gains | |||||||||||||||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | $ | — | $ | 10,334 | $ | (3,459 | ) | $ | — | $ | — | $ | 6,875 | 6,874,814 | $ | 7 | $ | — |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
253
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Strategy Alternative Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Shares | Market Value | ||||||
COMMON STOCK — 23.1% | ||||||||
Communication Services — 3.4% | ||||||||
Activision Blizzard Inc | 10,512 | $ | 782 | |||||
AMC Networks Inc, Cl A * | 1,210 | 25 | ||||||
Clear Channel Outdoor Holdings Inc, Cl A * | 18,171 | 25 | ||||||
Cogent Communications Holdings Inc | 5,760 | 300 | ||||||
DISH Network Corp, Cl A * | 88,371 | 1,222 | ||||||
IAC Inc * | 24,028 | 1,331 | ||||||
Meta Platforms Inc, Cl A *(A) | 12,090 | 1,640 | ||||||
Pinterest Inc, Cl A *(A) | 41,168 | 959 | ||||||
Spanish Broadcasting System, Cl A | 1,741 | 2 | ||||||
Take-Two Interactive Software Inc, Cl A *(A) | 28,249 | 3,079 | ||||||
TEGNA Inc | 126,672 | 2,620 | ||||||
T-Mobile US Inc *(A) | 3,850 | 517 | ||||||
Twitter Inc * | 20,917 | 917 | ||||||
United States Cellular Corp * | 2,408 | 63 | ||||||
Urban One | 5,234 | 22 | ||||||
Urban One, Cl A | 6,818 | 36 | ||||||
WideOpenWest Inc * | 8,589 | 105 | ||||||
Windstream Services *(B) | 5,206 | 79 | ||||||
13,724 | ||||||||
Consumer Discretionary — 2.0% | ||||||||
ADT Inc | 2,139 | 16 | ||||||
Amazon.com Inc, Cl A *(A) | 4,893 | 553 | ||||||
American Eagle Outfitters Inc | 125,278 | 1,219 | ||||||
AMMO * | 103,334 | 303 | ||||||
Caesars Entertainment Inc * | 2,286 | 74 | ||||||
Everi Holdings Inc * | 4,206 | 68 | ||||||
Full House Resorts * | 44,252 | 249 | ||||||
Guitar Center *(B)(C) | 2,167 | 415 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Hanesbrands Inc | 34,870 | $ | 243 | |||||
Monitronics International Inc *(B) | 18,437 | 94 | ||||||
Nordstrom Inc | 33,820 | 566 | ||||||
Peloton Interactive Inc, Cl A * | 32,019 | 222 | ||||||
PlayAGS Inc * | 11,158 | 59 | ||||||
Tenneco Inc, Cl A * | 159,945 | 2,781 | ||||||
Ulta Beauty Inc * | 3,057 | 1,226 | ||||||
Vivint Smart Home Inc * | 1,346 | 9 | ||||||
8,097 | ||||||||
Consumer Staples — 0.3% | ||||||||
Conagra Brands Inc | 34,848 | 1,137 | ||||||
Energy — 1.5% | ||||||||
Halliburton Co (A) | 75,672 | 1,863 | ||||||
Kinetik Holdings, Cl A | 7,800 | 254 | ||||||
Noble Corp PLC * | 1,654 | 49 | ||||||
Parker Drilling Co *(B)(C) | 4,414 | 29 | ||||||
ProPetro Holding Corp *(A) | 117,307 | 944 | ||||||
RPC Inc | 61,520 | 426 | ||||||
Transocean Ltd * | 119,316 | 295 | ||||||
Viper Energy Partners LP (A) | 81,327 | 2,331 | ||||||
6,191 | ||||||||
Financials — 2.8% | ||||||||
Bread Financial Holdings | 18,600 | 585 | ||||||
Citigroup Inc | 42,757 | 1,782 | ||||||
Evercore Inc, Cl A | 7,538 | 620 | ||||||
First Horizon Corp | 173,984 | 3,984 | ||||||
JPMorgan Chase & Co | 17,175 | 1,795 | ||||||
Penney Borrower LLC *(B) | 3,070 | 18 | ||||||
S&P Global Inc (A) | 1,413 | 432 | ||||||
Wintrust Financial Corp | 6,943 | 566 | ||||||
Zions Bancorp NA | 30,798 | 1,566 | ||||||
11,348 | ||||||||
Health Care — 0.7% | ||||||||
2seventy bio Inc * | 2,300 | 33 | ||||||
Adaptimmune Therapeutics ADR * | 26,027 | 28 | ||||||
Alaunos Therapeutics * | 33,327 | 57 | ||||||
Carestream Health Holdings Inc *(B) | 5,876 | 113 | ||||||
Caribou Biosciences * | 3,900 | 41 | ||||||
Century Therapeutics * | 5,600 | 55 | ||||||
ICU Medical Inc * | 10,526 | 1,585 | ||||||
Lyell Immunopharma * | 14,700 | 108 | ||||||
NexImmune * | 38,746 | 22 | ||||||
Nkarta * | 2,000 | 26 | ||||||
Precigen Inc * | 16,000 | 34 | ||||||
Signify Health Inc, Cl A * | 8,766 | 256 | ||||||
Veeva Systems Inc, Cl A *(A) | 1,938 | 320 | ||||||
2,678 | ||||||||
Industrials — 2.7% | ||||||||
Air Transport Services Group Inc * | 7,682 | 185 |
254
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
API Group Corp * | 5,227 | $ | 69 | |||||
Atlas Air Worldwide Holdings Inc * | 9,925 | 949 | ||||||
Clean Harbors Inc * | 5,523 | 608 | ||||||
Enovix Corp * | 33,670 | 617 | ||||||
JetBlue Airways Corp * | 27,149 | 180 | ||||||
SkyWest Inc * | 28,722 | 467 | ||||||
Spirit Airlines Inc | 204,372 | 3,846 | ||||||
Stanley Black & Decker Inc | 34,110 | 2,565 | ||||||
TransDigm Group Inc (A) | 949 | 498 | ||||||
Uber Technologies Inc *(A) | 9,997 | 265 | ||||||
United Rentals Inc * | 2,297 | 621 | ||||||
10,870 | ||||||||
Information Technology — 8.5% | ||||||||
Advanced Micro Devices Inc *(A) | 6,274 | 398 | ||||||
Akamai Technologies Inc * | 24,614 | 1,977 | ||||||
Amplitude, Cl A * | 17,465 | 270 | ||||||
Aquity Holdings Inc *(B) | 3,945 | 44 | ||||||
Avalara Inc * | 70,732 | 6,493 | ||||||
Cadence Design Systems Inc *(A) | 1,885 | 308 | ||||||
CDW Corp/DE (A) | 2,720 | 425 | ||||||
Cirrus Logic Inc * | 22,120 | 1,522 | ||||||
Coherent Corp * | 4,251 | 148 | ||||||
Crowdstrike Holdings Inc, Cl A *(A) | 1,842 | 304 | ||||||
Domo Inc, Cl B * | 6,863 | 123 | ||||||
Dynatrace Inc *(A) | 6,875 | 239 | ||||||
Elastic NV *(A) | 4,581 | 329 | ||||||
Enphase Energy Inc *(A) | 1,128 | 313 | ||||||
Everbridge Inc * | 58,005 | 1,791 | ||||||
Flex * | 115,826 | 1,930 | ||||||
Flywire *(A) | 11,511 | 264 | ||||||
Gartner Inc *(A) | 1,363 | 377 | ||||||
HubSpot Inc *(A) | 1,108 | 299 | ||||||
Intuit Inc (A) | 1,027 | 398 | ||||||
Kyndryl Holdings Inc * | 28,500 | 236 | ||||||
Mastercard Inc, Cl A (A) | 2,005 | 570 | ||||||
MicroStrategy Inc, Cl A * | 261 | 55 | ||||||
Momentive Global Inc * | 24,465 | 142 | ||||||
MoneyGram International Inc * | 90,302 | 939 | ||||||
NCR Corp * | 1,026 | 19 | ||||||
New Relic Inc * | 17,965 | 1,031 | ||||||
Oracle Corp, Cl B (A) | 8,795 | 537 | ||||||
Palo Alto Networks Inc *(A) | 2,727 | 447 | ||||||
Rogers Corp * | 3,459 | 837 | ||||||
SMART Global Holdings Inc * | 809 | 13 | ||||||
Smartsheet Inc, Cl A * | 41,337 | 1,420 | ||||||
Sprout Social Inc, Cl A *(A) | 4,314 | 262 | ||||||
Vishay Intertechnology Inc (A) | 127,632 | 2,271 | ||||||
Vontier Corp | 58,833 | 983 | ||||||
Wolfspeed Inc *(A) | 4,083 | 422 | ||||||
Zendesk Inc * | 82,160 | 6,252 | ||||||
34,388 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Materials — 0.4% | ||||||||
Arctic Canadian Diamond Company Ltd *(B) | 228 | $ | — | |||||
ATI Inc *(A) | 51,443 | 1,369 | ||||||
Libbey Glass Inc. *(B) | 1,227 | 17 | ||||||
1,386 | ||||||||
Real Estate — 0.8% | ||||||||
American Tower Corp, Cl A ‡(A) | 1,416 | 304 | ||||||
Copper Property Pass-Through Certificates *(B) | 18,673 | 249 | ||||||
Hudson Pacific Properties Inc ‡ | 6,925 | 76 | ||||||
iStar Inc ‡ | 9,097 | 84 | ||||||
Kimco Realty Corp ‡ | 8,508 | 157 | ||||||
Park Hotels & Resorts Inc ‡ | 220,602 | 2,484 | ||||||
3,354 | ||||||||
Total Common Stock | ||||||||
(Cost $100,398) ($ Thousands) | 93,173 | |||||||
Face Amount | ||||||||
CORPORATE OBLIGATIONS — 15.1% | ||||||||
Communication Services — 3.4% | ||||||||
Altice France | ||||||||
5.500%, 10/15/2029 (D) | $ | 120 | 90 | |||||
Altice France Holding | ||||||||
10.500%, 05/15/2027 (D) | 618 | 484 | ||||||
6.000%, 02/15/2028 (D) | 240 | 152 | ||||||
AMC Entertainment Holdings | ||||||||
6.125%, 05/15/2027 | 55 | 30 | ||||||
5.750%, 06/15/2025 | 5 | 3 | ||||||
AMC Networks | ||||||||
4.250%, 02/15/2029 | 327 | 242 | ||||||
Audacy Capital | ||||||||
6.750%, 03/31/2029 (D) | 245 | 59 | ||||||
6.500%, 05/01/2027 (D) | 130 | 32 | ||||||
Beasley Mezzanine Holdings | ||||||||
8.625%, 02/01/2026 (D) | 315 | 243 | ||||||
CCO Holdings | ||||||||
6.375%, 09/01/2029 (D) | 441 | 405 | ||||||
5.375%, 06/01/2029 (D) | 50 | 44 | ||||||
4.750%, 03/01/2030 (D) | 180 | 146 | ||||||
4.500%, 08/15/2030 (D) | 200 | 158 | ||||||
4.250%, 02/01/2031 (D) | 125 | 96 | ||||||
4.250%, 01/15/2034 (D) | 314 | 225 | ||||||
Charter Communications Operating | ||||||||
4.400%, 12/01/2061 | 40 | 26 | ||||||
3.950%, 06/30/2062 | 155 | 92 | ||||||
3.900%, 06/01/2052 | 100 | 62 | ||||||
3.700%, 04/01/2051 | 120 | 73 | ||||||
Clear Channel International | ||||||||
6.625%, 08/01/2025 (D) | 151 | 140 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
255
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Strategy Alternative Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Comcast | ||||||||
2.987%, 11/01/2063 | $ | 405 | $ | 235 | ||||
2.937%, 11/01/2056 | 295 | 176 | ||||||
Connect Finco SARL | ||||||||
6.750%, 10/01/2026 (D) | 4,797 | 4,195 | ||||||
DISH DBS | ||||||||
7.750%, 07/01/2026 | 325 | 249 | ||||||
7.375%, 07/01/2028 | 185 | 125 | ||||||
5.750%, 12/01/2028 (D) | 135 | 102 | ||||||
5.250%, 12/01/2026 (D) | 25 | 21 | ||||||
5.125%, 06/01/2029 | 145 | 85 | ||||||
iHeartCommunications | ||||||||
6.375%, 05/01/2026 | 215 | 199 | ||||||
Lumen Technologies | ||||||||
5.375%, 06/15/2029 (D) | 80 | 59 | ||||||
4.500%, 01/15/2029 (D) | 160 | 112 | ||||||
4.000%, 02/15/2027 (D) | 235 | 197 | ||||||
Salem Media Group | ||||||||
6.750%, 06/01/2024 (D) | 161 | 155 | ||||||
Scripps Escrow | ||||||||
5.875%, 07/15/2027 (D) | 263 | 229 | ||||||
Sinclair Television Group | ||||||||
4.125%, 12/01/2030 (D) | 245 | 184 | ||||||
Spanish Broadcasting System | ||||||||
9.750%, 03/01/2026 (D) | 202 | 127 | ||||||
Stagwell Global | ||||||||
5.625%, 08/15/2029 (D) | 467 | 384 | ||||||
TEGNA | ||||||||
4.625%, 03/15/2028 | 3,460 | 3,194 | ||||||
T-Mobile USA | ||||||||
3.500%, 04/15/2031 | 210 | 176 | ||||||
3.375%, 04/15/2029 | 65 | 56 | ||||||
Urban One | ||||||||
7.375%, 02/01/2028 (D) | 830 | 705 | ||||||
Verizon Communications | ||||||||
3.000%, 11/20/2060 | 20 | 12 | ||||||
2.987%, 10/30/2056 | 240 | 143 | ||||||
Windstream Escrow | ||||||||
7.750%, 08/15/2028 (D) | 467 | 387 | ||||||
14,309 | ||||||||
Consumer Discretionary — 2.1% | ||||||||
1011778 BC ULC | ||||||||
3.500%, 02/15/2029 (D) | 195 | 160 | ||||||
Academy | ||||||||
6.000%, 11/15/2027 (D) | 120 | 109 | ||||||
Altice Financing | ||||||||
5.750%, 08/15/2029 (D) | 225 | 172 | ||||||
American Greetings | ||||||||
8.750%, 04/15/2025 (D) | 265 | 254 | ||||||
Aramark Services | ||||||||
6.375%, 05/01/2025 (D) | 169 | 166 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Bath & Body Works | ||||||||
7.600%, 07/15/2037 | $ | 5 | $ | 4 | ||||
6.750%, 07/01/2036 | 175 | 144 | ||||||
6.625%, 10/01/2030 (D) | 60 | 52 | ||||||
Bloomin' Brands | ||||||||
5.125%, 04/15/2029 (D) | 444 | 370 | ||||||
Caesars Entertainment | ||||||||
8.125%, 07/01/2027 (D) | 113 | 108 | ||||||
6.250%, 07/01/2025 (D) | 146 | 141 | ||||||
Caesars Resort Collection | ||||||||
5.750%, 07/01/2025 (D) | 429 | 414 | ||||||
Carnival | ||||||||
10.500%, 02/01/2026 (D) | 95 | 94 | ||||||
9.875%, 08/01/2027 (D) | 270 | 265 | ||||||
5.750%, 03/01/2027 (D) | 15 | 11 | ||||||
4.000%, 08/01/2028 (D) | 45 | 36 | ||||||
Cengage Learning | ||||||||
9.500%, 06/15/2024 (D) | 315 | 295 | ||||||
Clarios Global | ||||||||
6.750%, 05/15/2025 (D) | 93 | 91 | ||||||
4.375%, 05/15/2026 | EUR | 224 | 194 | |||||
CMG Media | ||||||||
8.875%, 12/15/2027 (D) | $ | 295 | 225 | |||||
CSC Holdings | ||||||||
7.500%, 04/01/2028 (D) | 368 | 300 | ||||||
5.750%, 01/15/2030 (D) | 472 | 336 | ||||||
4.625%, 12/01/2030 (D) | 178 | 121 | ||||||
Dave & Buster's | ||||||||
7.625%, 11/01/2025 (D) | 241 | 237 | ||||||
Diamond Sports Group | ||||||||
6.625%, 08/15/2027 (D) | 312 | 22 | ||||||
5.375%, 08/15/2026 (D) | 480 | 96 | ||||||
DirecTV Financing | ||||||||
5.875%, 08/15/2027 (D) | 80 | 69 | ||||||
Empire Resorts | ||||||||
7.750%, 11/01/2026 (D) | 510 | 428 | ||||||
Jacobs Entertainment | ||||||||
6.750%, 02/15/2029 (D) | 170 | 145 | ||||||
Liberty Interactive | ||||||||
8.250%, 02/01/2030 | 485 | 306 | ||||||
Macy's Retail Holdings | ||||||||
5.875%, 04/01/2029 (D) | 150 | 120 | ||||||
5.875%, 03/15/2030 (D) | 75 | 59 | ||||||
Maxeda DIY Holding BV | ||||||||
5.875%, 10/01/2026 | EUR | 128 | 84 | |||||
NCL | ||||||||
5.875%, 03/15/2026 (D) | $ | 100 | 76 | |||||
5.875%, 02/15/2027 (D) | 137 | 114 | ||||||
3.625%, 12/15/2024 (D) | 299 | 251 | ||||||
PetSmart | ||||||||
4.750%, 02/15/2028 (D) | 189 | 162 |
256
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Radiate Holdco | ||||||||
6.500%, 09/15/2028 (D) | $ | 183 | $ | 128 | ||||
Royal Caribbean Cruises | ||||||||
11.625%, 08/15/2027 (D) | 105 | 96 | ||||||
9.250%, 01/15/2029 (D) | 75 | 74 | ||||||
8.250%, 01/15/2029 (D) | 151 | 147 | ||||||
5.500%, 08/31/2026 (D) | 160 | 122 | ||||||
StoneMor | ||||||||
8.500%, 05/15/2029 (D) | 300 | 253 | ||||||
Sugarhouse HSP Gaming Prop Mezz | ||||||||
5.875%, 05/15/2025 (D) | 155 | 143 | ||||||
Tenneco | ||||||||
5.125%, 04/15/2029 (D) | 609 | 601 | ||||||
VOC Escrow | ||||||||
5.000%, 02/15/2028 (D) | 155 | 126 | ||||||
VZ Secured Financing BV | ||||||||
5.000%, 01/15/2032 (D) | 145 | 108 | ||||||
WW International | ||||||||
4.500%, 04/15/2029 (D) | 265 | 139 | ||||||
Wynn Las Vegas | ||||||||
5.500%, 03/01/2025 (D) | 50 | 47 | ||||||
5.250%, 05/15/2027 (D) | 60 | 53 | ||||||
Wynn Macau | ||||||||
5.625%, 08/26/2028 (D) | 5 | 3 | ||||||
5.500%, 01/15/2026 (D) | 95 | 72 | ||||||
5.500%, 10/01/2027 (D) | 105 | 72 | ||||||
5.125%, 12/15/2029 (D) | 10 | 7 | ||||||
Wynn Resorts Finance | ||||||||
7.750%, 04/15/2025 (D) | 120 | 117 | ||||||
Yum! Brands | ||||||||
5.375%, 04/01/2032 | 160 | 142 | ||||||
8,681 | ||||||||
Consumer Staples — 0.9% | ||||||||
Albertsons | ||||||||
7.500%, 03/15/2026 (D) | 1,452 | 1,461 | ||||||
BellRing Brands | ||||||||
7.000%, 03/15/2030 (D) | 263 | 241 | ||||||
Coca-Cola | ||||||||
2.750%, 06/01/2060 | 72 | 44 | ||||||
2.500%, 06/01/2040 | 145 | 101 | ||||||
Dufry One BV | ||||||||
2.000%, 02/15/2027 | EUR | 233 | 173 | |||||
New Albertsons | ||||||||
8.700%, 05/01/2030 | $ | 235 | 238 | |||||
8.000%, 05/01/2031 | 60 | 60 | ||||||
Rite Aid | ||||||||
8.000%, 11/15/2026 (D) | 226 | 160 | ||||||
7.700%, 02/15/2027 | 46 | 27 | ||||||
US Foods | ||||||||
6.250%, 04/15/2025 (D) | 898 | 882 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Vector Group | ||||||||
10.500%, 11/01/2026 (D) | $ | 225 | $ | 209 | ||||
5.750%, 02/01/2029 (D) | 305 | 249 | ||||||
3,845 | ||||||||
Energy — 2.5% | ||||||||
Aethon United BR | ||||||||
8.250%, 02/15/2026 (D) | 160 | 155 | ||||||
Ascent Resources Utica Holdings | ||||||||
8.250%, 12/31/2028 (D) | 330 | 317 | ||||||
Athabasca Oil | ||||||||
9.750%, 11/01/2026 (D) | 199 | 211 | ||||||
Blue Racer Midstream | ||||||||
6.625%, 07/15/2026 (D) | 155 | 145 | ||||||
Carrizo Oil & Gas | ||||||||
8.250%, 07/15/2025 | 200 | 195 | ||||||
Chesapeake Energy | ||||||||
6.750%, 04/15/2029 (D) | 181 | 174 | ||||||
5.500%, 02/01/2026 (D) | 202 | 193 | ||||||
Chesapeake Energy (Escrow Security) | ||||||||
0.000%, 12/31/2049 (B)(E) | 225 | 5 | ||||||
CITGO Petroleum | ||||||||
7.000%, 06/15/2025 (D) | 206 | 197 | ||||||
Crescent Energy Finance | ||||||||
7.250%, 05/01/2026 (D) | 111 | 100 | ||||||
DCP Midstream Operating | ||||||||
3.250%, 02/15/2032 | 125 | 99 | ||||||
Earthstone Energy Holdings | ||||||||
8.000%, 04/15/2027 (D) | 185 | 174 | ||||||
Encino Acquisition Partners Holdings | ||||||||
8.500%, 05/01/2028 (D) | 276 | 255 | ||||||
EnLink Midstream | ||||||||
6.500%, 09/01/2030 (D) | 75 | 73 | ||||||
5.625%, 01/15/2028 (D) | 80 | 75 | ||||||
5.375%, 06/01/2029 | 110 | 101 | ||||||
EQT | ||||||||
7.000%, 02/01/2030 | 115 | 119 | ||||||
6.125%, 02/01/2025 | 50 | 50 | ||||||
Genesis Energy | ||||||||
8.000%, 01/15/2027 | 245 | 215 | ||||||
7.750%, 02/01/2028 | 160 | 139 | ||||||
Greenfire Resources | ||||||||
12.000%, 08/15/2025 (D) | 230 | 243 | ||||||
Harvest Midstream I | ||||||||
7.500%, 09/01/2028 (D) | 467 | 437 | ||||||
ITT Holdings | ||||||||
6.500%, 08/01/2029 (D) | 115 | 89 | ||||||
Laredo Petroleum | ||||||||
10.125%, 01/15/2028 | 95 | 91 | ||||||
9.500%, 01/15/2025 | 125 | 124 | ||||||
MEG Energy | ||||||||
7.125%, 02/01/2027 (D) | 262 | 266 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
257
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Strategy Alternative Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
NGL Energy Operating | ||||||||
7.500%, 02/01/2026 (D) | $ | 291 | $ | 259 | ||||
NGL Energy Partners | ||||||||
7.500%, 11/01/2023 | 290 | 281 | ||||||
7.500%, 04/15/2026 | 165 | 125 | ||||||
6.125%, 03/01/2025 | 145 | 115 | ||||||
Northern Oil and Gas | ||||||||
8.125%, 03/01/2028 (D) | 225 | 211 | ||||||
Occidental Petroleum | ||||||||
6.125%, 01/01/2031 | 40 | 39 | ||||||
5.500%, 12/01/2025 | 70 | 70 | ||||||
4.625%, 06/15/2045 | 120 | 99 | ||||||
4.500%, 07/15/2044 | 10 | 8 | ||||||
4.400%, 04/15/2046 | 10 | 8 | ||||||
PBF Holding | ||||||||
7.250%, 06/15/2025 | 196 | 187 | ||||||
6.000%, 02/15/2028 | 404 | 350 | ||||||
Petroleos Mexicanos | ||||||||
6.950%, 01/28/2060 | 53 | 30 | ||||||
Petroleos Mexicanos MTN | ||||||||
6.750%, 09/21/2047 | 2,284 | 1,273 | ||||||
Range Resources | ||||||||
5.000%, 03/15/2023 | 483 | 481 | ||||||
Rockcliff Energy II | ||||||||
5.500%, 10/15/2029 (D) | 233 | 204 | ||||||
Shelf Drilling Holdings | ||||||||
8.875%, 11/15/2024 (D) | 60 | 58 | ||||||
8.250%, 02/15/2025 (D) | 305 | 244 | ||||||
SM Energy | ||||||||
5.625%, 06/01/2025 | 449 | 431 | ||||||
Strathcona Resources | ||||||||
6.875%, 08/01/2026 (D) | 686 | 581 | ||||||
Summit Midstream Holdings | ||||||||
8.500%, 10/15/2026 (D) | 93 | 87 | ||||||
Targa Resources Partners | ||||||||
4.000%, 01/15/2032 | 145 | 120 | ||||||
Transocean | ||||||||
11.500%, 01/30/2027 (D) | 185 | 171 | ||||||
6.800%, 03/15/2038 | 175 | 87 | ||||||
9,761 | ||||||||
Financials — 0.9% | ||||||||
AG Issuer | ||||||||
6.250%, 03/01/2028 (D) | 180 | 156 | ||||||
Armor Holdco | ||||||||
8.500%, 11/15/2029 (D) | 215 | 171 | ||||||
Barclays | ||||||||
7.750%, USD Swap Semi 30/360 5 Yr Curr + 4.842%(F)(G) | 160 | 148 | ||||||
Enact Holdings | ||||||||
6.500%, 08/15/2025 (D) | 140 | 134 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Finance of America Funding | ||||||||
7.875%, 11/15/2025 (D) | $ | 475 | $ | 301 | ||||
Freedom Mortgage | ||||||||
8.250%, 04/15/2025 (D) | 398 | 329 | ||||||
6.625%, 01/15/2027 (D) | 360 | 256 | ||||||
Home Point Capital | ||||||||
5.000%, 02/01/2026 (D) | 270 | 169 | ||||||
LD Holdings Group | ||||||||
6.500%, 11/01/2025 (D) | 250 | 150 | ||||||
6.125%, 04/01/2028 (D) | 200 | 104 | ||||||
Novo Banco MTN | ||||||||
3.500%, 01/02/2043 | EUR | 20 | 17 | |||||
3.500%, 01/23/2043 | 280 | 242 | ||||||
OneMain Finance | ||||||||
5.375%, 11/15/2029 | $ | 70 | 54 | |||||
PennyMac Financial Services | ||||||||
5.750%, 09/15/2031 (D) | 40 | 29 | ||||||
4.250%, 02/15/2029 (D) | 160 | 114 | ||||||
Rithm Capital | ||||||||
6.250%, 10/15/2025 (D) | 280 | 237 | ||||||
United Wholesale Mortgage | ||||||||
5.750%, 06/15/2027 (D) | 220 | 174 | ||||||
VistaJet Malta Finance | ||||||||
6.375%, 02/01/2030 (D) | 250 | 205 | ||||||
WeWork | ||||||||
7.875%, 05/01/2025 (D) | 485 | 336 | ||||||
3,326 | ||||||||
Health Care — 0.9% | ||||||||
1375209 B.C. Ltd | ||||||||
9.000%, 01/30/2028 (D) | 33 | 33 | ||||||
Akumin | ||||||||
7.000%, 11/01/2025 (D) | 470 | 386 | ||||||
Akumin Escrow | ||||||||
7.500%, 08/01/2028 (D) | 165 | 126 | ||||||
Bausch Health | ||||||||
14.000%, 10/15/2030 (D) | 11 | 6 | ||||||
11.000%, 09/30/2028 | 59 | 48 | ||||||
7.250%, 05/30/2029 (D) | – | – | ||||||
6.250%, 02/15/2029 (D) | 315 | 118 | ||||||
5.250%, 01/30/2030 (D) | 155 | 58 | ||||||
5.000%, 02/15/2029 (D) | 55 | 21 | ||||||
4.875%, 06/01/2028 (D) | 35 | 23 | ||||||
Bristol-Myers Squibb | ||||||||
2.550%, 11/13/2050 | 250 | 154 | ||||||
Cano Health | ||||||||
6.250%, 10/01/2028 (D) | 302 | 285 | ||||||
Centene | ||||||||
4.625%, 12/15/2029 | 360 | 323 | ||||||
3.375%, 02/15/2030 | 228 | 186 | ||||||
2.625%, 08/01/2031 | 360 | 271 | ||||||
2.500%, 03/01/2031 | 285 | 215 |
258
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Embecta | ||||||||
6.750%, 02/15/2030 (D) | $ | 165 | $ | 152 | ||||
Endo DAC | ||||||||
9.500%, 07/31/2027 (D)(H) | 194 | 28 | ||||||
6.000%, 06/30/2028 (D)(H) | 193 | 11 | ||||||
5.875%, 10/15/2024 (D)(H) | 85 | 69 | ||||||
Endo Luxembourg Finance I Sarl | ||||||||
6.125%, 04/01/2029 (D)(H) | 25 | 20 | ||||||
Envision Healthcare | �� | |||||||
8.750%, 10/15/2026 (D) | 155 | 50 | ||||||
Jazz Securities DAC | ||||||||
4.375%, 01/15/2029 (D) | 94 | 81 | ||||||
Lannett | ||||||||
7.750%, 04/15/2026 (D) | 410 | 115 | ||||||
Medline Borrower | ||||||||
3.875%, 04/01/2029 (D) | 225 | 180 | ||||||
Organon | ||||||||
4.125%, 04/30/2028 (D) | 112 | 96 | ||||||
Par Pharmaceutical | ||||||||
7.500%, 04/01/2027 (D)(H) | 80 | 63 | ||||||
Prime Security Services Borrower | ||||||||
6.250%, 01/15/2028 (D) | 225 | 192 | ||||||
Tenet Healthcare | ||||||||
6.125%, 06/15/2030 (D) | 50 | 46 | ||||||
4.375%, 01/15/2030 (D) | 170 | 142 | ||||||
Varex Imaging | ||||||||
7.875%, 10/15/2027 (D) | 183 | 180 | ||||||
3,678 | ||||||||
Industrials — 0.9% | ||||||||
American Airlines | ||||||||
5.750%, 04/20/2029 (D) | 135 | 118 | ||||||
5.500%, 04/20/2026 (D) | 90 | 84 | ||||||
Avianca Midco 2 | ||||||||
9.000%, 12/01/2028 (D) | 368 | 277 | ||||||
Bombardier | ||||||||
7.875%, 04/15/2027 (D) | 165 | 152 | ||||||
Builders FirstSource | ||||||||
4.250%, 02/01/2032 (D) | 145 | 111 | ||||||
Camelot Return Merger Sub | ||||||||
8.750%, 08/01/2028 (D) | 114 | 94 | ||||||
Cornerstone Building Brands | ||||||||
6.125%, 01/15/2029 (D) | 93 | 52 | ||||||
Delta Air Lines | ||||||||
7.000%, 05/01/2025 (D) | 674 | 678 | ||||||
2.900%, 10/28/2024 | 122 | 113 | ||||||
Fortress Transportation and Infrastructure Investors | ||||||||
9.750%, 08/01/2027 (D) | 240 | 235 | ||||||
6.500%, 10/01/2025 (D) | 38 | 36 | ||||||
Icahn Enterprises | ||||||||
4.375%, 02/01/2029 | 205 | 165 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Monitronics International (Escrow Security) | ||||||||
9.125%, 04/01/2020 (B)(H) | $ | 495 | $ | – | ||||
Raytheon Technologies | ||||||||
3.030%, 03/15/2052 | 130 | 85 | ||||||
2.820%, 09/01/2051 | 185 | 116 | ||||||
Spirit Loyalty Cayman | ||||||||
8.000%, 09/20/2025 (D) | 352 | 354 | ||||||
Team Health Holdings | ||||||||
6.375%, 02/01/2025 (D) | 120 | 89 | ||||||
TransDigm | ||||||||
8.000%, 12/15/2025 (D) | 324 | 329 | ||||||
6.250%, 03/15/2026 (D) | 311 | 302 | ||||||
Triumph Group | ||||||||
7.750%, 08/15/2025 | 190 | 145 | ||||||
6.250%, 09/15/2024 (D) | 20 | 18 | ||||||
Tutor Perini | ||||||||
6.875%, 05/01/2025 (D) | 285 | 213 | ||||||
Western Global Airlines | ||||||||
10.375%, 08/15/2025 (D) | 90 | 80 | ||||||
3,846 | ||||||||
Information Technology — 0.8% | ||||||||
Apple | ||||||||
2.700%, 08/05/2051 | 40 | 27 | ||||||
2.650%, 05/11/2050 | 455 | 299 | ||||||
2.650%, 02/08/2051 | 75 | 49 | ||||||
2.375%, 02/08/2041 | 75 | 52 | ||||||
Arches Buyer | ||||||||
4.250%, 06/01/2028 (D) | 190 | 148 | ||||||
Avaya | ||||||||
6.125%, 09/15/2028 (D) | 65 | 32 | ||||||
Boxer Parent | ||||||||
9.125%, 03/01/2026 (D) | 158 | 152 | ||||||
Castle US Holding | ||||||||
9.500%, 02/15/2028 (D) | 170 | 125 | ||||||
CommScope | ||||||||
8.250%, 03/01/2027 (D) | 185 | 153 | ||||||
7.125%, 07/01/2028 (D) | 265 | 205 | ||||||
6.000%, 03/01/2026 (D) | 150 | 138 | ||||||
CommScope Technologies | ||||||||
6.000%, 06/15/2025 (D) | 36 | 32 | ||||||
5.000%, 03/15/2027 (D) | 35 | 26 | ||||||
Endurance International Group Holdings | ||||||||
6.000%, 02/15/2029 (D) | 249 | 165 | ||||||
Intel | ||||||||
3.200%, 08/12/2061 | 205 | 128 | ||||||
3.100%, 02/15/2060 | 60 | 36 | ||||||
MoneyGram International | ||||||||
5.375%, 08/01/2026 (D) | 412 | 404 | ||||||
NCR | ||||||||
5.250%, 10/01/2030 (D) | 53 | 40 | ||||||
5.125%, 04/15/2029 (D) | 71 | 53 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
259
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Strategy Alternative Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Presidio Holdings | ||||||||
8.250%, 02/01/2028 (D) | $ | 370 | $ | 319 | ||||
Veritas US | ||||||||
7.500%, 09/01/2025 (D) | 350 | 268 | ||||||
Virtusa | ||||||||
7.125%, 12/15/2028 (D) | 248 | 184 | ||||||
3,035 | ||||||||
Materials — 1.6% | ||||||||
Baffinland Iron Mines | ||||||||
8.750%, 07/15/2026 (D) | 465 | 411 | ||||||
CEMEX Materials | ||||||||
7.700%, 07/21/2025 (D) | 265 | 263 | ||||||
Cornerstone Chemical | ||||||||
6.750%, 08/15/2024 (D) | 1,155 | 974 | ||||||
Domtar | ||||||||
6.750%, 10/01/2028 (D) | 285 | 219 | ||||||
First Quantum Minerals | ||||||||
7.500%, 04/01/2025 (D) | 311 | 299 | ||||||
Freeport-McMoRan | ||||||||
5.450%, 03/15/2043 | 185 | 154 | ||||||
Innophos Holdings | ||||||||
9.375%, 02/15/2028 (D) | 160 | 154 | ||||||
LSB Industries | ||||||||
6.250%, 10/15/2028 (D) | 230 | 197 | ||||||
Mauser Packaging Solutions Holding | ||||||||
8.500%, 04/15/2024 (D) | 580 | 551 | ||||||
Mineral Resources | ||||||||
8.125%, 05/01/2027 (D) | 105 | 102 | ||||||
Mineral Resources MTN | ||||||||
8.500%, 05/01/2030 (D) | 165 | 159 | ||||||
8.000%, 11/01/2027 (D) | 140 | 135 | ||||||
Mountain Province Diamonds | ||||||||
8.000%, 12/15/2022 (C)(D) | 300 | 282 | ||||||
NMG Holding | ||||||||
7.125%, 04/01/2026 (D) | 190 | 175 | ||||||
Northwest Acquisitions ULC | ||||||||
7.125%, 11/01/2022 (B)(C)(D)(H) | 460 | – | ||||||
NOVA Chemicals | ||||||||
4.875%, 06/01/2024 (D) | 114 | 107 | ||||||
Rain CII Carbon | ||||||||
7.250%, 04/01/2025 (D) | 430 | 378 | ||||||
Rayonier AM Products | ||||||||
7.625%, 01/15/2026 (D) | 152 | 134 | ||||||
Tacora Resources | ||||||||
8.250%, 05/15/2026 (D) | 305 | 259 | ||||||
Trident Merger Sub | ||||||||
6.625%, 11/01/2025 (D) | 125 | 108 | ||||||
Trident TPI Holdings | ||||||||
9.250%, 08/01/2024 (D) | 299 | 274 | ||||||
Trivium Packaging Finance BV | ||||||||
5.500%, 08/15/2026 (D) | 167 | 150 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
3.750%, 08/15/2026 | EUR | 100 | $ | 88 | ||||
Tronox | ||||||||
4.625%, 03/15/2029 (D) | $ | 343 | 254 | |||||
5,827 | ||||||||
Real Estate — 0.4% | ||||||||
American Tower | ||||||||
3.700%, 10/15/2049 | 25 | 17 | ||||||
3.100%, 06/15/2050 | 95 | 59 | ||||||
2.950%, 01/15/2051 | 200 | 120 | ||||||
Crown Castle | ||||||||
3.250%, 01/15/2051 | 35 | 22 | ||||||
2.900%, 04/01/2041 | 215 | 140 | ||||||
Diversified Healthcare Trust | ||||||||
9.750%, 06/15/2025 | 104 | 94 | ||||||
4.375%, 03/01/2031 | 155 | 100 | ||||||
Park Intermediate Holdings | ||||||||
7.500%, 06/01/2025 (D) | 169 | 168 | ||||||
5.875%, 10/01/2028 (D) | 216 | 185 | ||||||
Prologis | ||||||||
3.000%, 04/15/2050 | 80 | 54 | ||||||
2.125%, 10/15/2050 | 150 | 84 | ||||||
Service Properties Trust | ||||||||
4.950%, 02/15/2027 | 80 | 59 | ||||||
4.750%, 10/01/2026 | 241 | 182 | ||||||
4.375%, 02/15/2030 | 370 | 243 | ||||||
3.950%, 01/15/2028 | 138 | 94 | ||||||
1,621 | ||||||||
Utilities — 0.7% | ||||||||
Eskom Holdings SOC | ||||||||
7.125%, 02/11/2025 | 1,322 | 1,171 | ||||||
Eskom Holdings SOC MTN | ||||||||
8.450%, 08/10/2028 | 1,558 | 1,323 | ||||||
Pacific Gas and Electric | ||||||||
4.550%, 07/01/2030 | 340 | 291 | ||||||
Vistra Operations | ||||||||
5.625%, 02/15/2027 (D) | 140 | 131 | ||||||
5.500%, 09/01/2026 (D) | 55 | 51 | ||||||
2,967 | ||||||||
Total Corporate Obligations | ||||||||
(Cost $71,820) ($ Thousands) | 60,896 | |||||||
| ||||||||
REGISTERED INVESTMENT COMPANIES — 11.7% | ||||||||
Merger Fund , Cl I | 2,703,983 | 46,806 | ||||||
ProShares Ultra VIX Short-Term Futures ETF | 23,866 | 307 | ||||||
Sprott Physical Uranium Trust | 19,864 | 234 |
260
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
REGISTERED INVESTMENT COMPANIES (continued) | ||||||||
Total Registered Investment Companies | ||||||||
(Cost $44,005) ($ Thousands) | $ | 47,347 | ||||||
Face Amount | ||||||||
U.S. TREASURY OBLIGATIONS — 4.3% | ||||||||
U.S. Treasury Bills | ||||||||
2.893%, 12/01/2022 (I) | $ | 7,000 | 6,967 | |||||
2.688%, 11/25/2022 (I) | 10,000 | 9,958 | ||||||
2.499%, 10/18/2022 (I) | 24 | 24 | ||||||
U.S. Treasury Bonds | ||||||||
3.000%, 08/15/2052 | 78 | 67 | ||||||
U.S. Treasury Notes | ||||||||
2.750%, 08/15/2032 | 189 | 173 | ||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $17,206) ($ Thousands) | 17,189 | |||||||
SOVEREIGN DEBT — 3.9% | ||||||||
Angolan Government International Bond | ||||||||
9.375%, 05/08/2048 | $ | 1,438 | 971 | |||||
8.750%, 04/14/2032(D) | 313 | 231 | ||||||
8.000%, 11/26/2029 | 637 | 478 | ||||||
Argentine Republic Government International Bond | ||||||||
1.500%, 07/09/2023(J) | 6,167 | 1,116 | ||||||
CBB International Sukuk Programme WLL | ||||||||
3.875%, 05/18/2029(D) | 669 | 586 | ||||||
Dominican Republic International Bond | ||||||||
5.875%, 01/30/2060 | 877 | 578 | ||||||
Ecuador Government International Bond | ||||||||
2.500%, 07/31/2023(J) | 3,182 | 1,047 | ||||||
Egypt Government International Bond MTN | ||||||||
7.300%, 09/30/2033 | 917 | 528 | ||||||
Iraq Government International Bond | ||||||||
5.800%, 01/15/2028 | 768 | 630 | ||||||
Mexican Bonos | ||||||||
8.500%, 11/18/2038 | MXN | 31,260 | 1,402 | |||||
7.750%, 11/13/2042 | 14,430 | 595 | ||||||
Mexico Government International Bond MTN | ||||||||
5.750%, 10/12/2110 | $ | 1,208 | 932 | |||||
Nigeria Government International Bond | ||||||||
8.375%, 03/24/2029 | 847 | 604 | ||||||
7.696%, 02/23/2038 | 645 | 376 | ||||||
7.625%, 11/28/2047 | 760 | 422 | ||||||
Oman Government International Bond | ||||||||
6.750%, 01/17/2048 | 810 | 649 | ||||||
6.250%, 01/25/2031 | 596 | 555 |
Description | Face Amount | Market Value | ||||||
SOVEREIGN DEBT (continued) | ||||||||
Republic of South Africa Government Bond | ||||||||
10.500%, 12/21/2026 | ZAR | 25,923 | $ | 1,486 | ||||
8.750%, 02/28/2048 | 22,944 | 961 | ||||||
Turkey Government International Bond | ||||||||
5.750%, 05/11/2047 | $ | 1,411 | 845 | |||||
Ukraine Government International Bond | ||||||||
7.375%, 09/25/2034(H) | 2,795 | 515 | ||||||
0.026%, 08/01/2041(F)(H) | 890 | 248 | ||||||
Total Sovereign Debt | ||||||||
(Cost $21,266) ($ Thousands) | 15,755 | |||||||
LOAN PARTICIPATIONS — 3.4% | ||||||||
1236904 B.C. Ltd., Initial Term Loan, 1st Lien | ||||||||
8.615%, LIBOR + 5.500%, 03/04/2027 (F) | 258 | 247 | ||||||
888 Holdings, Term Loan B, 1st Lien | ||||||||
8.282%, 07/08/2028 | 215 | 184 | ||||||
ACProducts Holdings, Inc., Initial Term Loan, 1st Lien | ||||||||
7.127%, LIBOR + 4.250%, 05/17/2028 (F) | 31 | 22 | ||||||
ACProducts Holdings, Initial Term Loan, 1st Lien | ||||||||
7.127%, LIBOR + 4.250%, 05/17/2028 (F) | 10 | 8 | ||||||
Aegion, 1st Lien | ||||||||
7.865%, 05/17/2028 (B)(F) | 139 | 126 | ||||||
Agrofresh Inc., Initial Term Loan, 1st Lien | ||||||||
9.365%, 12/31/2024 (F) | 198 | 195 | ||||||
AMC Entertainment Holdings, Inc. (fka AMC Entertainment Inc.), Term B-1 Loan, 1st Lien | ||||||||
5.756%, LIBOR + 3.000%, 04/22/2026 (F) | 248 | 193 | ||||||
American Greetings, Term Loan, 1st Lien | ||||||||
7.610%, 04/06/2024 | 52 | 51 | ||||||
American Tire, 1st Lien | ||||||||
9.033%, 10/20/2028 (F) | 217 | 201 | ||||||
Apollo Commercial Real Estate Finance, Inc., Term B-1 Loan, 1st Lien | ||||||||
6.584%, LIBOR + 3.500%, 03/11/2028 (B)(F) | 197 | 184 | ||||||
Aquity Solutions, 1st Lien | ||||||||
8.274%, 09/13/2026 (B) | 436 | 436 | ||||||
Arctic Canadian Diamond Company Ltd., Term Loan, 2nd Lien | ||||||||
7.500%, 12/31/2027 (B) | 259 | 258 | ||||||
Aveanna Healthcare LLC, 2021 Extended Term Loan, 1st Lien | ||||||||
4.250%, 07/17/2028 (K) | 62 | 49 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
261
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Strategy Alternative Fund (Continued)
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Aveanna Healthcare LLC, Extended Term Loan, 1st Lien | ||||||||
6.802%, 07/17/2028 (F)(K) | $ | 265 | $ | 211 | ||||
Boardriders Inc., Closing Date Tranche A Loan, 1st Lien | ||||||||
12.367%, LIBOR + 6.500%, 10/23/2023 (B)(C)(F) | 47 | 46 | ||||||
Boardriders Inc., Closing Date Tranche B-2 Loan, 1st Lien | ||||||||
12.367%, LIBOR + 6.500%, 04/23/2024 (C)(F) | 274 | 246 | ||||||
Bright Bidco, Term Loan B, 1st Lien | ||||||||
6.514%, LIBOR + 3.500%, 06/30/2024 (F)(K) | 147 | 49 | ||||||
Carestream Take Back, 1st Lien | ||||||||
10.634%, CME Term SOFR + 7.500%, 09/30/2027 (B)(F) | 467 | 467 | ||||||
CBAC Borrower, LLC, Term Loan B, 1st Lien | ||||||||
7.115%, 07/08/2024 | 159 | 156 | ||||||
Cenveo, 1st Lien | ||||||||
9.907%, 12/31/2024 (B) | 95 | 95 | ||||||
ConvergeOne Holdings, Corp., Initial Term Loan, 1st Lien | ||||||||
8.115%, LIBOR + 5.000%, 01/04/2026 (F) | 312 | 222 | ||||||
Cooper’s Hawk Intermediate Holding, LLC, Initial Term Loan, 1st Lien | ||||||||
9.615%, 10/31/2026 (B)(F) | 235 | 231 | ||||||
Cooper's Hawk Intermediate Holding, Incremental Term Loan, 1st Lien | ||||||||
9.615%, 10/31/2026 (B) | 45 | 44 | ||||||
Diamond Sports Group LLC, Term Loan, 1st Lien | ||||||||
10.696%, 05/25/2026 (F)(K) | — | — | ||||||
DirecTV Financing LLC, Closing Date Term Loan, 1st Lien | ||||||||
8.115%, LIBOR + 5.000%, 08/02/2027 (F) | 241 | 224 | ||||||
DMT Solutions Global Corporation, Term B-2 Loan, 1st Lien | ||||||||
10.641%, 07/02/2024 (B)(F) | 103 | 97 | ||||||
DMT Solutions Global Corporation, Term Loan | ||||||||
10.377%, 07/02/2024 (B)(F) | 89 | 84 | ||||||
DMT Solutions Global, Initial Term Loan | ||||||||
11.237%, LIBOR + 7.500%, 07/02/2024 (B)(F) | 42 | 40 | ||||||
11.065%, LIBOR + 7.500%, 07/02/2024 (B)(F) | 39 | 37 | ||||||
Domtar Corporation, Cov-Lite, 1st Lien | ||||||||
8.256%, 11/30/2028 | 13 | 12 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Domtar Corporation, Inital Term Loan, 1st Lien | ||||||||
8.256%, 11/30/2028 (F) | $ | 95 | $ | 91 | ||||
East Valley Tourist Development Authority, Term Loan, 1st Lien | ||||||||
11.481%, LIBOR + 8.000%, 11/23/2026 (B)(F) | 172 | 167 | ||||||
Eastman Tire, Term Loan B, 1st Lien | ||||||||
8.365%, 11/01/2028 (F) | 131 | 117 | ||||||
ELO Touch Solutions, Term Loan B, 1st Lien | ||||||||
10.174%, 12/14/2025 (F) | 153 | 148 | ||||||
Envision Healthcare Corporation, 1st Lien | ||||||||
10.531%, CME Term SOFR + 7.875%, 03/31/2027 (F) | 96 | 92 | ||||||
6.825%, CME Term SOFR + 4.250%, 03/31/2027 (F) | 670 | 291 | ||||||
Epic Y-Grade Services, LP, Term Loan, 1st Lien | ||||||||
8.080%, LIBOR + 6.000%, 06/30/2027 (F) | 1,158 | 971 | ||||||
Fertitta Enterntainment, LLC, Initial Term Loan B, 1st Lien | ||||||||
7.034%, 01/27/2029 (F) | 189 | 175 | ||||||
Glass Mountain Holdings Pipeline, 1st Lien | ||||||||
7.300%, 10/28/2027 (C) | 16 | 14 | ||||||
Global Medical Response, Inc., 2018 New Term Loan, 1st Lien | ||||||||
7.365%, LIBOR + 4.250%, 03/14/2025 (F) | 282 | 244 | ||||||
Grab Holdings, Inc., Initial Term Loan, 1st Lien | ||||||||
7.620%, LIBOR + 4.500%, 01/29/2026 (F) | 218 | 204 | ||||||
Hexion, 1st Lien | ||||||||
7.413%, 03/15/2029 (F) | 269 | 229 | ||||||
J.C. Penney Corporation Inc., Term Loan, 1st Lien | ||||||||
5.250%, LIBOR + 4.250%, 06/23/2023 (B)(F)(H) | 378 | — | ||||||
Jadex Inc., Refinancing Term Loan, 1st Lien | ||||||||
7.865%, 02/18/2028 (B)(F) | 153 | 140 | ||||||
KNS Acquisition Corp., Initial Term Loan, 1st Lien | ||||||||
10.420%, LIBOR + 6.250%, 04/21/2027 (F) | 295 | 275 | ||||||
Libbey, 1st Lien | ||||||||
10.455%, 11/13/2025 | 118 | 120 | ||||||
Lifescan Global Corporation, Initial Term Loan, 1st Lien | ||||||||
8.285%, LIBOR + 6.000%, 10/01/2024 (F) | 987 | 791 | ||||||
LifeScan, 2nd Lien | ||||||||
11.287%, 10/01/2025 (F) | 85 | 65 |
262
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Lumileds, 1st Lien | ||||||||
10.903%, 02/28/2023 (B) | $ | 17 | $ | 17 | ||||
Mashantucket (Western) Pequot Tribe, Term Loan B, 1st Lien | ||||||||
10.240%, LIBOR + 8.125%, 02/16/2025 (F) | 494 | 488 | ||||||
Mavenir Systems Inc., 1st Lien | ||||||||
8.487%, CME Term SOFR + 5.750%, 08/18/2028 (B)(F) | 79 | 68 | ||||||
Mavenir Systems Inc., Initial Term Loan, 1st Lien | ||||||||
7.711%, LIBOR + 4.750%, 08/18/2028 (B)(F) | 285 | 244 | ||||||
Mcgraw-Hill Education Inc., Initial Term Loan, 1st Lien | ||||||||
8.316%, 07/28/2028 (F) | 282 | 260 | ||||||
Mozart Debt Merger, Term Loan, 1st Lien | ||||||||
6.365%, LIBOR + 3.250%, 10/23/2028 (F) | 197 | 181 | ||||||
Newport Parent, Inc., Initial Term Loan, 1st Lien | ||||||||
8.750%, 12/10/2027 (F) | 226 | 217 | ||||||
Onex TSG Intermediate Corp., Initial Term Loan, 1st Lien | ||||||||
7.865%, 02/28/2028 (F) | 193 | 169 | ||||||
Peraton Corp., Term B Loan, 1st Lien | ||||||||
6.865%, LIBOR + 3.750%, 02/01/2028 (F) | 198 | 188 | ||||||
PLNTF Holdings Inc., 1st Lien | ||||||||
11.602%, 03/22/2026 (B) | 202 | 192 | ||||||
Pluto Acquistion I, Inc., 1st Lien | ||||||||
6.076%, 06/22/2026 (B)(K) | 78 | 68 | ||||||
Premier Brands Group Holdings, LLC, Term Loan, 1st Lien | ||||||||
11.115%, LIBOR + 8.000%, 03/20/2024 (C)(F) | 82 | 67 | ||||||
11.052%, LIBOR + 8.000%, 03/20/2024 (C)(F) | 112 | 91 | ||||||
Quantum Health, Inc., Amendment No. 1 Refinancing Term Loan, 1st Lien | ||||||||
8.174%, 12/22/2027 (B)(F) | 147 | 137 | ||||||
Radar Bidco SARL, Initial Term Loan, 1st Lien | ||||||||
10.000%, 12/16/2024 (F) | — | — | ||||||
Revlon Consumer Products Corp., 2016 Term Loan, 1st Lien | ||||||||
5.576%, LIBOR + 3.500%, 09/07/2023 (F) | 897 | 350 | ||||||
RXB Holdings Inc., Initial Term Loan, 1st Lien | ||||||||
6.609%, 12/20/2027 (B)(F) | 210 | 198 | ||||||
S&S Holdings, LLC, Cov-Lite, 1st Lien | ||||||||
7.783%, 03/11/2028 (F) | 7 | 7 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
S&S Holdings, LLC, Initial Term Loan, 1st Lien | ||||||||
7.783%, LIBOR + 5.000%, 03/11/2028 (F) | $ | 279 | $ | 268 | ||||
Spencer Gifts LLC (Spirit Halloween Superstores LLC), Term Loan, 1st Lien | ||||||||
8.806%, 06/19/2026 | 208 | 202 | ||||||
Springs Window Fashions LLC, Tranche B Term Loan, 1st Lien | ||||||||
7.602%, LIBOR + 4.000%, 10/06/2028 (F) | 318 | 248 | ||||||
Syniverse Holdings, Initial Term Loan, 1st Lien | ||||||||
10.553%, CME Term SOFR + 7.000%, 05/13/2027 (F) | 545 | 466 | ||||||
Team Health Holdings Inc., Extended Term Loan, 1st Lien | ||||||||
8.284%, CME Term SOFR + 5.250%, 03/02/2027 (F) | 500 | 425 | ||||||
Travelport Finance (Luxembourg) S.a.r.l., 2021 Consented Term Loan, 1st Lien | ||||||||
8.674%, LIBOR + 5.000%, 05/29/2026 (F)(K) | 269 | 188 | ||||||
Travelport Finance (Luxembourg) Sarl, Initial Term Loan (Priority), 1st Lien | ||||||||
5.174%, LIBOR + 1.500%, 02/28/2025 (F)(K) | 128 | 126 | ||||||
VC GB Holdings Corp, Initial Term Loan, 1st Lien | ||||||||
6.377%, 07/21/2028 (F) | 283 | 246 | ||||||
Vida Capital, Term Loan | ||||||||
9.115%, 10/01/2026 | 171 | 131 | ||||||
WW International, Inc., Intial Term Loan, 1st Lien | ||||||||
6.620%, 04/13/2028 | 35 | 24 | ||||||
Total Loan Participations | ||||||||
(Cost $15,415) ($ Thousands) | 13,815 | |||||||
| ||||||||
FOREIGN COMMON STOCK — 2.3% | ||||||||
Australia — 0.3% | ||||||||
South32 Ltd | 430,262 | 1,027 | ||||||
Belgium — 0.1% | ||||||||
X-Fab Silicon Foundries * | 45,423 | 225 | ||||||
Canada — 0.2% | ||||||||
Athabasca Oil * | 16,008 | 25 | ||||||
NexGen Energy * | 131,430 | 482 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
263
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Strategy Alternative Fund (Continued)
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Yamana Gold | 28,533 | $ | 129 | |||||
636 | ||||||||
China — 0.4% | ||||||||
Alibaba Group Holding Ltd ADR * | 3,776 | 302 | ||||||
Autohome Inc ADR (A) | 9,592 | 276 | ||||||
JD.com ADR | 4,561 | 229 | ||||||
JD.com, Cl A (A) | 13,692 | 345 | ||||||
Meituan, Cl B *(A) | 21,100 | 444 | ||||||
Trip.com Group ADR * | 4,461 | 122 | ||||||
1,718 | ||||||||
France — 0.0% | ||||||||
Cellectis SA ADR * | 10,977 | 25 | ||||||
Hong Kong — 0.0% | ||||||||
Melco Resorts & Entertainment Ltd ADR * | 2,692 | 18 | ||||||
Israel — 0.9% | ||||||||
Tower Semiconductor Ltd * | 78,853 | 3,465 | ||||||
Japan — 0.1% | ||||||||
Nintendo Co Ltd (A) | 12,000 | 484 | ||||||
Macao — 0.0% | ||||||||
MGM China Holdings Ltd * | 29,179 | 16 | ||||||
Sands China Ltd * | 12,870 | 32 | ||||||
Wynn Macau Ltd * | 21,701 | 14 | ||||||
62 | ||||||||
Netherlands — 0.1% | ||||||||
Adyen NV *(A) | 257 | 320 | ||||||
South Africa — 0.0% | ||||||||
Gold Fields ADR | 13,905 | 113 | ||||||
South Korea — 0.0% | ||||||||
Magnachip Semiconductor * | 18,960 | 194 | ||||||
Spain — 0.0% | ||||||||
Obrascon Huarte Lain * | 21,870 | 11 | ||||||
Taiwan — 0.2% | ||||||||
Silicon Motion Technology Corp ADR | 10,756 | 701 | ||||||
United Kingdom — 0.0% | ||||||||
Achilles Therapeutics ADR | 39,027 | 88 |
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Autolus Therapeutics ADR * | 9,379 | $ | 20 | |||||
108 | ||||||||
Total Foreign Common Stock | ||||||||
(Cost $11,062) ($ Thousands) | 9,107 | |||||||
Face Amount | ||||||||
ASSET-BACKED SECURITIES — 0.4% | ||||||||
Other Asset-Backed Securities — 0.4% | ||||||||
CFIP CLO, Ser 2021-1A, Cl D | ||||||||
6.250%, ICE LIBOR USD 3 Month + 3.540%, 01/20/2035(D)(F) | $ | 250 | 211 | |||||
Marathon CLO, Ser 2021-17A, Cl C | ||||||||
6.820%, ICE LIBOR USD 3 Month + 4.110%, 01/20/2035(D)(F) | 250 | 207 | ||||||
Octagon Investment Partners 43, Ser 2019-1A, Cl D | ||||||||
6.683%, ICE LIBOR USD 3 Month + 3.900%, 10/25/2032(D)(F) | 250 | 225 | ||||||
Sound Point CLO XXIX, Ser 2021-1A, Cl D | ||||||||
6.283%, ICE LIBOR USD 3 Month + 3.500%, 04/25/2034(D)(F) | 250 | 212 | ||||||
STWD, Ser 2021-FL2, Cl D | ||||||||
5.739%, ICE LIBOR USD 1 Month + 2.800%, 04/18/2038(D)(F) | 100 | 93 | ||||||
STWD, Ser 2021-FL2, Cl E | ||||||||
6.489%, ICE LIBOR USD 1 Month + 3.550%, 04/18/2038(D)(F) | 100 | 95 | ||||||
TRTX, Ser 2021-FL4, Cl D | ||||||||
6.539%, ICE LIBOR USD 1 Month + 3.600%, 03/15/2038(D)(F) | 100 | 94 | ||||||
TRTX, Ser 2021-FL4, Cl E | ||||||||
7.289%, ICE LIBOR USD 1 Month + 4.350%, 03/15/2038(D)(F) | 100 | 93 | ||||||
Venture XVII CLO, Ser 2018-17A, Cl DRR | ||||||||
5.332%, ICE LIBOR USD 3 Month + 2.820%, 04/15/2027(D)(F) | 200 | 181 | ||||||
Total Asset-Backed Securities | ||||||||
(Cost $1,595) ($ Thousands) | 1,411 | |||||||
CONVERTIBLE BONDS — 0.2% | ||||||||
Avaya | ||||||||
8.000% , 12/15/2027 | 330 | 212 | ||||||
Liberty Interactive | ||||||||
4.000% , 11/15/2029 | 38 | 17 | ||||||
3.750% , 02/15/2030 | 229 | 108 |
264
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CONVERTIBLE BONDS (continued) | ||||||||
Liberty Latin America | ||||||||
2.000% , 07/15/2024 | $ | 265 | $ | 232 | ||||
North Sea Natural Resources | ||||||||
0.000%, (B)(E) | 94 | 94 | ||||||
Pebblebrook Hotel Trust | ||||||||
1.750% , 12/15/2026 | 115 | 98 | ||||||
Silver Airways LLC | ||||||||
13.000% , 12/31/2027(B) | 231 | 231 | ||||||
Total Convertible Bonds | ||||||||
(Cost $1,199) ($ Thousands) | 992 | |||||||
| ||||||||
PREFERRED STOCK — 0.2% | ||||||||
Consumer Discretionary — 0.1% | ||||||||
Boardriders Inc., Ser A *(B)(C)(E) | 25,646 | 30 | ||||||
Bowlero *(B)(E) | 290 | 290 | ||||||
Guitar Center *(B)(C)(E) | 39 | 3 | ||||||
323 | ||||||||
Information Technology — 0.1% | ||||||||
Syniverse *(B)(E) | 437,282 | 420 | ||||||
Materials — 0.0% | ||||||||
Libbey Glass Inc. *(B)(E) | 766 | 88 | ||||||
Total Preferred Stock | ||||||||
(Cost $798) ($ Thousands) | 831 | |||||||
Number of Warrants | ||||||||
WARRANTS — 0.2% | ||||||||
10X Capital Venture Acquisition III, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 1,430 | – | ||||||
Accretion Acquisition, Expires 02/22/2023 | ||||||||
Strike Price $11.50 * | 46,548 | 2 | ||||||
Achari Ventures Holdings I, Expires 08/08/2026 | ||||||||
Strike Price $11.50 * | 48,686 | 3 | ||||||
Advanced Merger Partners, Expires 07/03/2026 | ||||||||
Strike Price $11.50 * | 42 | – | ||||||
Aequi Acquisition, Expires 12/03/2027 | ||||||||
Strike Price $11.50 * | 16,618 | 1 | ||||||
Aesther Healthcare Acquisition, Expires 01/22/2023 | ||||||||
Strike Price $11.50 * | 9,269 | 2 | ||||||
Aetherium Acquisition, Expires 01/24/2028 | ||||||||
Strike Price $11.50 * | 15,770 | 2 | ||||||
AF Acquisition, Expires 04/03/2028 | ||||||||
Strike Price $11.50 * | 13,087 | 1 |
Description | Number of Warrants | Market Value | ||||||
WARRANTS (continued) | ||||||||
Agile Growth, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 3,539 | $ | – | |||||
Alpha Partners Technology Merger, Expires 04/03/2028 | ||||||||
Strike Price $11.50 * | 7,178 | 1 | ||||||
ALSP Orchid Acquisition I, Expires 12/03/2028 | ||||||||
Strike Price $11.50 * | 18,864 | 2 | ||||||
AltEnergy Acquisition, Expires 02/09/2023 | ||||||||
Strike Price $11.50 * | 197 | – | ||||||
Altimar Acquisition III, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 2,861 | – | ||||||
AMERICAS TECHNOLOGY ACQUISITION CORP, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 3,276 | – | ||||||
Andretti Acquisition, Expires 03/26/2028 | ||||||||
Strike Price $11.50 * | 4,420 | – | ||||||
Anzu Special Acquisition I, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 23,125 | 1 | ||||||
AP Acquisition, Expires 12/10/2026 | ||||||||
Strike Price $11.50 * | 1 | – | ||||||
Apeiron Capital Investment, Expires 06/27/2023 | ||||||||
Strike Price $11.50 * | 4,384 | – | ||||||
Apollo Strategic Growth Capital II, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 11,383 | 1 | ||||||
APx Acquisition I, Expires 08/22/2028 | ||||||||
Strike Price $11.50 * | 21,464 | 1 | ||||||
Ares Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 41 | – | ||||||
Armada Acquisition I, Expires 01/05/2023 | ||||||||
Strike Price $11.50 * | 6,659 | 1 | ||||||
Arrowroot Acquisition, Expires 03/05/2026 | ||||||||
Strike Price $11.50 * | 20,183 | 1 | ||||||
Artemis Strategic Investment, Expires 02/15/2023 | ||||||||
Strike Price $11.50 * | 5,458 | – | ||||||
Astrea Acquisition, Expires 01/16/2026 | ||||||||
Strike Price $11.50 * | 26,958 | – | ||||||
Athena Technology Acquisition II, Expires 10/20/2028 | ||||||||
Strike Price $11.50 * | 882 | – | ||||||
Athlon Acquisition, Expires 03/08/2026 | ||||||||
Strike Price $11.50 * | 69,862 | 3 | ||||||
Atlantic Avenue Acquisition, Expires 10/09/2027 | ||||||||
Strike Price $11.50 * | 54,602 | 1 | ||||||
Atlantic Coastal Acquisition II, Expires 06/05/2028 | ||||||||
Strike Price $11.50 * | 28,860 | 2 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
265
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Strategy Alternative Fund (Continued)
Description | Number of Warrants | Market Value | ||||||
WARRANTS (continued) | ||||||||
Ault Disruptive Technologies, Expires 06/23/2028 | ||||||||
Strike Price $11.50 * | 9,462 | $ | – | |||||
Aurora Acquisition, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 92 | – | ||||||
Austerlitz Acquisition I, Expires 02/22/2026 | ||||||||
Strike Price $11.50 * | 31,735 | 3 | ||||||
Austerlitz Acquisition II, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 130,788 | 13 | ||||||
Authentic Equity Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 46,561 | 2 | ||||||
Avalon Acquisition, Expires 03/01/2023 | ||||||||
Strike Price $11.50 * | 52,788 | 5 | ||||||
Bannix Acquisition, Expires 02/22/2023 | ||||||||
Strike Price $11.50 * | 53,650 | 2 | ||||||
Banyan Acquisition, Expires 10/03/2028 | ||||||||
Strike Price $11.50 * | 1,640 | – | ||||||
Battery Future Acquisition, Expires 05/29/2028 | ||||||||
Strike Price $11.50 * | 2,625 | – | ||||||
Belong Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 2,180 | – | ||||||
Berenson Acquisition I, Expires 08/04/2026 | ||||||||
Strike Price $11.50 * | 141 | – | ||||||
Big Sky Growth Partners, Expires 03/01/2023 | ||||||||
Strike Price $11.50 * | 938 | – | ||||||
BioPlus Acquisition, Expires 07/22/2028 | ||||||||
Strike Price $11.50 * | 23,541 | 2 | ||||||
Biotech Acquisition, Expires 12/03/2027 | ||||||||
Strike Price $11.50 * | 74,558 | 5 | ||||||
Bite Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 30,877 | 2 | ||||||
Black Spade Acquisition, Expires 07/02/2023 | ||||||||
Strike Price $11.50 * | 2,024 | – | ||||||
Blockchain Coinvestors Acquisition I, Expires 11/04/2028 | ||||||||
Strike Price $11.50 * | 3,124 | – | ||||||
Blockchain Moon Acquisition, Expires 10/17/2026 | ||||||||
Strike Price $11.50 * | 4,486 | – | ||||||
Blue Ocean Acquisition, Expires 10/24/2028 | ||||||||
Strike Price $11.50 * | 31,134 | 4 | ||||||
BlueRiver Acquisition, Expires 01/07/2026 | ||||||||
Strike Price $11.50 * | 5,848 | – | ||||||
BOA Acquisition, Expires 02/25/2028 | ||||||||
Strike Price $11.50 * | 5,127 | 1 | ||||||
Build Acquisition, Expires 05/02/2023 | ||||||||
Strike Price $11.50 * | 16,806 | 1 |
Description | Number of Warrants | Market Value | ||||||
WARRANTS (continued) | ||||||||
Bullpen Parlay Acquisition, Expires 12/06/2026 | ||||||||
Strike Price $11.50 * | 10,366 | $ | 1 | |||||
BurTech Acquisition, Expires 12/21/2026 | ||||||||
Strike Price $11.50 * | 62,789 | 4 | ||||||
BYTE Acquisition, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 18,478 | 1 | ||||||
Capitalworks Emerging Markets Acquisition, Expires 04/30/2028 | ||||||||
Strike Price $11.50 * | 21,895 | 2 | ||||||
Carney Technology Acquisition II, Expires 12/03/2027 | ||||||||
Strike Price $11.50 * | 7,126 | – | ||||||
Catcha Investment, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 11,652 | – | ||||||
CC Neuberger Principal Holdings III, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 100 | – | ||||||
CENAQ Energy, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 74,904 | 13 | ||||||
CF Acquisition IV, Expires 12/17/2025 | ||||||||
Strike Price $11.50 * | 925 | – | ||||||
CF Acquisition VIII, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 2,768 | – | ||||||
Churchill Capital V, Expires 11/01/2027 | ||||||||
Strike Price $11.50 * | 22,583 | 2 | ||||||
Churchill Capital VI, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 14,796 | 2 | ||||||
Churchill Capital VII, Expires 03/03/2028 | ||||||||
Strike Price $11.50 * | 56,400 | 8 | ||||||
CIIG Capital Partners II, Expires 03/02/2028 | ||||||||
Strike Price $11.50 * | 82,526 | 9 | ||||||
Clarim Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 28,544 | 1 | ||||||
Class Acceleration, Expires 04/03/2028 | ||||||||
Strike Price $11.50 * | 19,629 | – | ||||||
Colicity, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 930 | – | ||||||
Colombier Acquisition, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 1,759 | – | ||||||
Colonnade Acquisition II, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 1,849 | – | ||||||
Consilium Acquisition I, Expires 06/04/2027 | ||||||||
Strike Price $11.50 * | 39,874 | 2 | ||||||
Constellation Acquisition I, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 24,013 | 1 | ||||||
COVA Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 77,037 | 2 | ||||||
Crescera Capital Acquisition, Expires 04/23/2028 | ||||||||
Strike Price $11.50 * | 3,568 | – |
266
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Number of Warrants | Market Value | ||||||
WARRANTS (continued) | ||||||||
Crown PropTech Acquisitions, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 2,915 | $ | – | |||||
Crystal Peak Acquisition, Expires 06/25/2026 | ||||||||
Strike Price $11.50 * | 6,877 | 4 | ||||||
D & Z Media Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 11,388 | – | ||||||
Data Knights Acquisition, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 23,366 | 1 | ||||||
Deep Lake Capital Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 8,691 | – | ||||||
DHB Capital, Expires 03/18/2028 | ||||||||
Strike Price $11.50 * | 9,027 | 1 | ||||||
DHC Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 19,917 | 2 | ||||||
Digital Health Acquisition, Expires 10/17/2023 | ||||||||
Strike Price $11.50 * | 18,267 | 3 | ||||||
Digital Transformation Opportunities, Expires 04/03/2028 | ||||||||
Strike Price $11.50 * | 24,294 | 2 | ||||||
Disruptive Acquisition I, Expires 03/09/2026 | ||||||||
Strike Price $11.50 * | 82 | – | ||||||
East Resources Acquisition, Expires 07/04/2027 | ||||||||
Strike Price $11.50 * | 33,264 | 5 | ||||||
Edify Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 22,125 | 2 | ||||||
EG Acquisition, Expires 05/31/2028 | ||||||||
Strike Price $11.50 * | 1,261 | – | ||||||
Empowerment & Inclusion Capital I, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 22,282 | 1 | ||||||
Endurance Acquisition, Expires 03/02/2023 | ||||||||
Strike Price $11.50 * | 290 | – | ||||||
Energem, Expires 03/13/2023 | ||||||||
Strike Price $11.50 * | 39,604 | 4 | ||||||
Enphys Acquisition, Expires 07/18/2024 | ||||||||
Strike Price $11.50 * | 4,145 | – | ||||||
EQ Health Acquisition, Expires 02/05/2028 | ||||||||
Strike Price $11.50 * | 11,911 | 1 | ||||||
EVe Mobility Acquisition, Expires 05/15/2028 | ||||||||
Strike Price $11.50 * | 1,253 | – | ||||||
Everest Consolidator Acquisition, Expires 07/22/2028 | ||||||||
Strike Price $11.50 * | 303 | – | ||||||
Evo Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 12,855 | – |
Description | Number of Warrants | Market Value | ||||||
WARRANTS (continued) | ||||||||
Financial Strategies Acquisition, Expires 04/03/2028 | ||||||||
Strike Price $11.50 * | 137,665 | $ | 6 | |||||
Finnovate Acquisition, Expires 04/18/2023 | ||||||||
Strike Price $11.50 * | 32,229 | 2 | ||||||
FinServ Acquisition II, Expires 02/20/2026 | ||||||||
Strike Price $11.50 * | 160 | – | ||||||
Fintech Ecosystem Development, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 3,756 | – | ||||||
Fintech Evolution Acquisition Group, Expires 04/03/2028 | ||||||||
Strike Price $11.50 * | 5,940 | 1 | ||||||
Forest Road Acquisition II, Expires 01/18/2026 | ||||||||
Strike Price $11.50 * | 3,241 | – | ||||||
Fortistar Sustainable Solutions, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 28,967 | 2 | ||||||
Fortress Capital Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 798 | – | ||||||
Fortress Value Acquisition III, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 129 | – | ||||||
Fortress Value Acquisition IV, Expires 03/21/2028 | ||||||||
Strike Price $11.50 * | 5,187 | 1 | ||||||
Forum Merger IV, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 227 | – | ||||||
FOXO Technologies, Expires 08/04/2027 | ||||||||
Strike Price $11.50 * | 24,076 | 3 | ||||||
Freedom Acquisition I, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 14,213 | 2 | ||||||
FTAC Athena Acquisition, Expires 03/04/2026 | ||||||||
Strike Price $11.50 * | 5,706 | – | ||||||
FTAC Hera Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 5,925 | – | ||||||
Fusion Acquisition II, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 50,684 | 3 | ||||||
G Squared Ascend II, Expires 01/03/2027 | ||||||||
Strike Price $11.50 * | 3,633 | – | ||||||
G&P Acquisition, Expires 03/08/2027 | ||||||||
Strike Price $11.50 * | 25,088 | 1 | ||||||
Galata Acquisition, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 2,861 | 1 | ||||||
Games & Esports Experience Acquisition, Expires 10/24/2028 | ||||||||
Strike Price $11.50 * | 1,312 | – | ||||||
Gaming & Hospitality Acquisition, Expires 02/07/2028 | ||||||||
Strike Price $11.50 * | 3,738 | – |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
267
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Strategy Alternative Fund (Continued)
Description | Number of Warrants | Market Value | ||||||
WARRANTS (continued) | ||||||||
Gardiner Healthcare Acquisitions, Expires 08/02/2028 | ||||||||
Strike Price $11.50 * | 1,251 | $ | – | |||||
GigCapital5, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 86,668 | 2 | ||||||
Gladstone Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 10,821 | 1 | ||||||
Global Consumer Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 50,399 | 3 | ||||||
Global Partner Acquisition II, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 1,948 | – | ||||||
Globalink Investment, Expires 12/06/2026 | ||||||||
Strike Price $11.50 * | 121,483 | 7 | ||||||
Goal Acquisitions, Expires 02/14/2026 | ||||||||
Strike Price $11.50 * | 99,008 | 4 | ||||||
GoGreen Investments, Expires 06/07/2023 | ||||||||
Strike Price $11.50 * | 1,048 | – | ||||||
Golden Arrow Merger, Expires 08/03/2026 | ||||||||
Strike Price $11.50 * | 7,511 | – | ||||||
Golden Falcon Acquisition, Expires 11/07/2026 | ||||||||
Strike Price $11.50 * | 10,745 | 1 | ||||||
Gores Technology Partners II, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 2,708 | 1 | ||||||
Greenfire Resources, Expires 08/15/2026 | ||||||||
Strike Price $– *(B) | 272 | 108 | ||||||
Growth For Good Acquisition, Expires 11/15/2026 | ||||||||
Strike Price $11.50 * | 4,200 | – | ||||||
GSR II Meteora Acquisition, Expires 07/25/2023 | ||||||||
Strike Price $11.50 * | 4,835 | 1 | ||||||
Guitar Center, Expires 12/22/2070 | ||||||||
Strike Price $100.00 *(B)(C) | 574 | 54 | ||||||
Guitar Center, Expires 12/22/2070 | ||||||||
Strike Price $160.00 *(B)(C) | 574 | 32 | ||||||
GX Acquisition II, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 27,127 | 2 | ||||||
Hamilton Lane Alliance Holdings I, Expires 01/11/2026 | ||||||||
Strike Price $11.50 * | 74 | – | ||||||
HCM ACQUISITION CORP, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 11,149 | 1 | ||||||
Healthcare AI Acquisition, Expires 12/17/2026 | ||||||||
Strike Price $11.50 * | 2,113 | – | ||||||
Healthcare Services Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 15,656 | – |
Description | Number of Warrants | Market Value | ||||||
WARRANTS (continued) | ||||||||
Healthwell Acquisition I, Expires 08/08/2028 | ||||||||
Strike Price $11.50 * | 6,557 | $ | 1 | |||||
Heartland Media Acquisition, Expires 10/24/2027 | ||||||||
Strike Price $1.00 * | 446 | – | ||||||
Hennessy Capital Investment V, Expires 01/14/2026 | ||||||||
Strike Price $11.50 * | 3,467 | – | ||||||
HH&L Acquisition, Expires 02/07/2026 | ||||||||
Strike Price $11.50 * | 27,521 | 1 | ||||||
HumanCo Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 5,242 | – | ||||||
Hunt Acquisition I, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 24 | – | ||||||
Inception Growth Acquisition, Expires 10/18/2026 | ||||||||
Strike Price $11.50 * | 21,147 | 1 | ||||||
Industrial Human Capital, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 18,304 | – | ||||||
Industrial Tech Acquisitions II, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 989 | – | ||||||
Innovative International Acquisition, Expires 04/06/2023 | ||||||||
Strike Price $11.50 * | 14,787 | – | ||||||
INSU Acquisition III, Expires 01/03/2027 | ||||||||
Strike Price $11.50 * | 7,112 | – | ||||||
International Media Acquisition, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 48,378 | 2 | ||||||
InterPrivate II Acquisition, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 1,533 | – | ||||||
InterPrivate IV InfraTech Partners, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 1,437 | – | ||||||
Investcorp Europe Acquisition I, Expires 11/26/2028 | ||||||||
Strike Price $11.50 * | 7,230 | – | ||||||
Itiquira Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 2,437 | – | ||||||
Jack Creek Investment, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 10,265 | 3 | ||||||
Jaws Hurricane Acquisition, Expires 02/26/2023 | ||||||||
Strike Price $11.50 * | 70 | – | ||||||
Jaws Mustang Acquisition, Expires 02/02/2026 | ||||||||
Strike Price $11.50 * | 22,188 | 2 |
268
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Number of Warrants | Market Value | ||||||
WARRANTS (continued) | ||||||||
JOFF Fintech Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 1,782 | $ | – | |||||
Jupiter Acquisition, Expires 08/20/2028 | ||||||||
Strike Price $11.50 * | 19 | – | ||||||
Kadem Sustainable Impact, Expires 03/19/2026 | ||||||||
Strike Price $11.50 * | 11,709 | – | ||||||
Kairos Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 51,794 | 2 | ||||||
Kairous Acquisition ltd, Expires 09/18/2026 | ||||||||
Strike Price $11.50 * | 1,301 | – | ||||||
Kalera, Expires 07/01/2027 | ||||||||
Strike Price $11.50 * | 36,300 | 4 | ||||||
Kensington Capital Acquisition V, Expires 07/22/2023 | ||||||||
Strike Price $11.50 * | 861 | – | ||||||
Kernel Group Holdings, Expires 02/03/2027 | ||||||||
Strike Price $11.50 * | 35,870 | 1 | ||||||
Kimbell Tiger Acquisition, Expires 09/18/2028 | ||||||||
Strike Price $11.50 * | 1,312 | – | ||||||
KINS Technology Group, Expires 01/03/2026 | ||||||||
Strike Price $11.50 * | 3,480 | – | ||||||
KKR Acquisition Holdings I, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 22,011 | 3 | ||||||
KL Acquisition, Expires 01/15/2028 | ||||||||
Strike Price $11.50 * | 1,218 | – | ||||||
KnightSwan Acquisition, Expires 07/24/2028 | ||||||||
Strike Price $1.00 * | 1,312 | – | ||||||
L Catterton Asia Acquisition, Expires 03/18/2026 | ||||||||
Strike Price $11.50 * | 17,352 | 1 | ||||||
LAMF Global Ventures I, Expires 04/07/2023 | ||||||||
Strike Price $11.50 * | 72 | – | ||||||
LDH Growth I, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 4,517 | – | ||||||
Lead Edge Growth Opportunities, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 1,105 | – | ||||||
Leo Holdings II, Expires 01/10/2028 | ||||||||
Strike Price $11.50 * | 37,876 | 1 | ||||||
Levere Holdings, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 4,074 | – | ||||||
LF Capital Acquisition II, Expires 01/10/2026 | ||||||||
Strike Price $11.50 * | 276 | – | ||||||
Liberty Resources Acquisition, Expires 11/03/2028 | ||||||||
Strike Price $11.50 * | 35,149 | 3 |
Description | Number of Warrants | Market Value | ||||||
WARRANTS (continued) | ||||||||
Live Oak Mobility Acquisition, Expires 03/07/2028 | ||||||||
Strike Price $11.50 * | 1,206 | $ | – | |||||
LMF Acquisition Opportunities, Expires 01/29/2026 | ||||||||
Strike Price $11.50 * | 4,850 | – | ||||||
Longview Acquisition II, Expires 05/13/2026 | ||||||||
Strike Price $11.50 * | 2,713 | – | ||||||
M3-Brigade Acquisition II, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 14,548 | 1 | ||||||
Macondray Capital Acquisition I, Expires 05/20/2026 | ||||||||
Strike Price $11.50 * | 7,733 | 1 | ||||||
Magnum Opus Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 4,145 | 1 | ||||||
Marblegate Acquisition, Expires 12/12/2022 | ||||||||
Strike Price $11.50 * | 2,152 | – | ||||||
Marlin Technology, Expires 03/08/2026 | ||||||||
Strike Price $11.50 * | 3,727 | – | ||||||
Mason Industrial Technology, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 12,791 | 1 | ||||||
Maxpro Capital Acquisition, Expires 01/25/2023 | ||||||||
Strike Price $11.50 * | 45,043 | 5 | ||||||
McLaren Technology Acquisition, Expires 03/06/2023 | ||||||||
Strike Price $11.50 * | 1,312 | – | ||||||
MDH Acquisition, Expires 02/05/2028 | ||||||||
Strike Price $11.50 * | 5,513 | – | ||||||
Mercato Partners Acquisition, Expires 12/31/2026 | ||||||||
Strike Price $11.50 * | 780 | – | ||||||
Mercury Ecommerce Acquisition, Expires 03/28/2023 | ||||||||
Strike Price $11.50 * | 21,457 | 1 | ||||||
Minority Equality Opportunities Acquisition, Expires 05/02/2023 | ||||||||
Strike Price $11.50 * | 95,508 | 8 | ||||||
Mission Advancement, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 140,664 | 4 | ||||||
Monterey Bio Acquisition, Expires 06/10/2023 | ||||||||
Strike Price $11.50 * | 30,129 | 2 | ||||||
Monument Circle Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 59,096 | 2 | ||||||
Motive Capital II, Expires 05/18/2028 | ||||||||
Strike Price $11.50 * | 263 | – |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
269
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Strategy Alternative Fund (Continued)
Description | Number of Warrants | Market Value | ||||||
WARRANTS (continued) | ||||||||
Mount Rainier Acquisition, Expires 12/07/2022 | ||||||||
Strike Price $11.50 * | 55,441 | $ | 8 | |||||
MSD Acquisition, Expires 05/16/2023 | ||||||||
Strike Price $11.50 * | 4,246 | – | ||||||
Murphy Canyon Acquisition, Expires 02/06/2027 | ||||||||
Strike Price $11.50 * | 3,281 | – | ||||||
Music Acquisition, Expires 02/08/2028 | ||||||||
Strike Price $11.50 * | 17,039 | 1 | ||||||
New Vista Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 13 | – | ||||||
Newbury Street Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 836 | – | ||||||
NightDragon Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 10,126 | 1 | ||||||
Noble Corp., Expires 02/08/2028 | ||||||||
Strike Price $19.27 * | 1,235 | 16 | ||||||
Noble Corp., Expires 02/08/2028 | ||||||||
Strike Price $23.13 * | 1,235 | 15 | ||||||
Noble Rock Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 12,133 | 1 | ||||||
Nogin, Expires 08/29/2027 | ||||||||
Strike Price $11.50 * | 14,619 | 1 | ||||||
Northern Star Investment II, Expires 02/03/2028 | ||||||||
Strike Price $11.50 * | 4,726 | – | ||||||
Northern Star Investment III, Expires 02/28/2028 | ||||||||
Strike Price $11.50 * | 5,816 | – | ||||||
Northern Star Investment IV, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 2,543 | – | ||||||
Nova Vision Acquisition, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 18,235 | – | ||||||
OCA Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 21,124 | 1 | ||||||
OceanTech Acquisitions I, Expires 05/13/2026 | ||||||||
Strike Price $11.50 * | 25,157 | 2 | ||||||
OmniLit Acquisition, Expires 11/11/2026 | ||||||||
Strike Price $11.50 * | 5,046 | – | ||||||
One Equity Partners Open Water I, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 42,048 | 2 | ||||||
Orion Acquisition, Expires 02/22/2026 | ||||||||
Strike Price $11.50 * | 8,749 | – | ||||||
Osiris Acquisition, Expires 05/04/2028 | ||||||||
Strike Price $11.50 * | 11,293 | 1 | ||||||
Oxbridge Acquisition, Expires 01/22/2023 | ||||||||
Strike Price $11.50 * | 46,667 | 2 |
Description | Number of Warrants | Market Value | ||||||
WARRANTS (continued) | ||||||||
Oxus Acquisition, Expires 01/30/2023 | ||||||||
Strike Price $11.50 * | 1,312 | $ | – | |||||
Oyster Enterprises Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 43,484 | 7 | ||||||
Parabellum Acquisition, Expires 03/29/2023 | ||||||||
Strike Price $11.50 * | 51,450 | 2 | ||||||
Parsec Capital Acquisitions, Expires 01/08/2023 | ||||||||
Strike Price $11.50 * | 39,333 | 1 | ||||||
Pathfinder Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 2,000 | – | ||||||
Pearl Holdings Acquisition, Expires 12/18/2026 | ||||||||
Strike Price $11.50 * | 10,050 | 1 | ||||||
PepperLime Health Acquisition, Expires 03/31/2023 | ||||||||
Strike Price $11.50 * | 3,250 | – | ||||||
Perception Capital II, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 4,804 | – | ||||||
Peridot Acquisition II, Expires 05/03/2028 | ||||||||
Strike Price $11.50 * | 2,184 | – | ||||||
Phoenix Biotech Acquisition, Expires 09/04/2026 | ||||||||
Strike Price $11.50 * | 1,375 | – | ||||||
Pine Technology Acquisition, Expires 04/03/2028 | ||||||||
Strike Price $11.50 * | 9,599 | – | ||||||
Pioneer Merger, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 14,036 | – | ||||||
Plum Acquisition I, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 1,134 | – | ||||||
PMV Consumer Acquisition, Expires 09/03/2027 | ||||||||
Strike Price $11.50 * | 3,027 | – | ||||||
Pono Capital, Expires 12/19/2022 | ||||||||
Strike Price $11.50 * | 43,850 | 2 | ||||||
Pontem, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 3,784 | – | ||||||
Powered Brands, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 4,783 | – | ||||||
Prime Impact Acquisition I, Expires 10/04/2030 | ||||||||
Strike Price $11.50 * | 54,583 | 3 | ||||||
Priveterra Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 11,680 | 1 | ||||||
Progress Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 33,151 | 3 | ||||||
PROOF Acquisition I, Expires 12/06/2028 | ||||||||
Strike Price $11.50 * | 2,625 | – | ||||||
Property Solutions Acquisition II, Expires 03/04/2026 | ||||||||
Strike Price $11.50 * | 11,917 | – |
270
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Number of Warrants | Market Value | ||||||
WARRANTS (continued) | ||||||||
Prospector Capital, Expires 01/04/2025 | ||||||||
Strike Price $11.50 * | 8,397 | $ | – | |||||
Provident Acquisition, Expires 01/15/2026 | ||||||||
Strike Price $11.50 * | 9,924 | 3 | ||||||
Recharge Acquisition, Expires 10/08/2027 | ||||||||
Strike Price $11.50 * | 49,703 | – | ||||||
RMG Acquisition III, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 6,388 | 1 | ||||||
Rosecliff Acquisition I, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 3,937 | – | ||||||
RXR Acquisition, Expires 03/11/2026 | ||||||||
Strike Price $11.50 * | 963 | – | ||||||
Sanaby Health Acquisition I, Expires 08/02/2028 | ||||||||
Strike Price $11.50 * | 5,458 | – | ||||||
Sandbridge X2, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 18,760 | 1 | ||||||
Science Strategic Acquisition Alpha, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 11,858 | 1 | ||||||
ScION Tech Growth I, Expires 11/04/2025 | ||||||||
Strike Price $11.50 * | 30,557 | 1 | ||||||
ScION Tech Growth II, Expires 01/31/2026 | ||||||||
Strike Price $11.50 * | 9,805 | 1 | ||||||
SCP & CO Healthcare Acquisition, Expires 01/30/2028 | ||||||||
Strike Price $11.50 * | 23,962 | 1 | ||||||
Seaport Global Acquisition II, Expires 11/20/2026 | ||||||||
Strike Price $11.50 * | 29,322 | 4 | ||||||
Semper Paratus Acquisition, Expires 11/07/2026 | ||||||||
Strike Price $11.50 * | 925 | – | ||||||
Senior Connect Acquisition I, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 13,932 | – | ||||||
Shelter Acquisition I, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 6,990 | 1 | ||||||
Sierra Lake Acquisition, Expires 04/03/2028 | ||||||||
Strike Price $11.50 * | 17 | – | ||||||
SILVER AIRWAYS WARRANTS | ||||||||
Strike Price $– ‡‡ | 0 | – | ||||||
Silver Spike Acquisition II, Expires 03/01/2026 | ||||||||
Strike Price $11.50 * | 3,661 | – | ||||||
Sizzle Acquisition, Expires 03/15/2026 | ||||||||
Strike Price $11.50 * | 4,038 | – | ||||||
Slam, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 13,622 | 1 | ||||||
Spindletop Health Acquisition, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 235 | – |
Description | Number of Warrants | Market Value | ||||||
WARRANTS (continued) | ||||||||
SportsTek Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 36,919 | $ | 2 | |||||
Spree Acquisition 1, Expires 12/25/2028 | ||||||||
Strike Price $11.50 * | 11,933 | 1 | ||||||
SpringBig Holdings, Expires 06/17/2027 | ||||||||
Strike Price $11.50 * | 2,210 | – | ||||||
Springwater Special Situations, Expires 04/15/2026 | ||||||||
Strike Price $11.50 * | 3,030 | – | ||||||
StoneBridge Acquisition, Expires 03/01/2023 | ||||||||
Strike Price $11.50 * | 25,770 | 1 | ||||||
Stratim Cloud Acquisition, Expires 03/08/2026 | ||||||||
Strike Price $11.50 * | 10,006 | 1 | ||||||
Summit Healthcare Acquisition, Expires 05/06/2023 | ||||||||
Strike Price $11.50 * | 31 | – | ||||||
Sustainable Development Acquisition I, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 878 | – | ||||||
SVF Investment, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 38 | – | ||||||
Swiftmerge Acquisition, Expires 06/20/2028 | ||||||||
Strike Price $11.50 * | 3,398 | – | ||||||
Tailwind Acquisition, Expires 09/10/2027 | ||||||||
Strike Price $11.50 * | 22,553 | 2 | ||||||
Tailwind International Acquisition, Expires 03/04/2028 | ||||||||
Strike Price $11.50 * | 108,719 | 3 | ||||||
Talon 1 Acquisition, Expires 04/21/2023 | ||||||||
Strike Price $11.50 * | 12,503 | 1 | ||||||
Target Global Acquisition I, Expires 01/03/2028 | ||||||||
Strike Price $1.00 * | 961 | – | ||||||
Tastemaker Acquisition, Expires 01/03/2026 | ||||||||
Strike Price $11.50 * | 3,311 | – | ||||||
TB Acquisition, Expires 03/28/2028 | ||||||||
Strike Price $11.50 * | 9,183 | – | ||||||
TCW Special Purpose Acquisition | ||||||||
Strike Price $11.50 ‡‡ | 7,800 | – | ||||||
Tech and Energy Transition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 30,080 | 2 | ||||||
Technology & Telecommunication Acquisition, Expires 02/18/2027 | ||||||||
Strike Price $11.50 * | 3,937 | – | ||||||
TG Venture Acquisition, Expires 08/16/2023 | ||||||||
Strike Price $11.50 * | 21,532 | 1 | ||||||
Thrive Acquisition, Expires 03/12/2023 | ||||||||
Strike Price $11.50 * | 3,143 | – |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
271
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Strategy Alternative Fund (Continued)
Description | Number of Warrants | Market Value | ||||||
WARRANTS (continued) | ||||||||
Thunder Bridge Capital Partners III, Expires 02/18/2028 | ||||||||
Strike Price $11.50 * | 1,073 | $ | – | |||||
TLG Acquisition One, Expires 01/28/2028 | ||||||||
Strike Price $11.50 * | 36,511 | 2 | ||||||
TLGY Acquisition, Expires 01/17/2028 | ||||||||
Strike Price $11.50 * | 7,284 | 1 | ||||||
Trine II Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 4,586 | 1 | ||||||
Tristar Acquisition I, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 80 | – | ||||||
Twelve Seas Investment II, Expires 03/05/2028 | ||||||||
Strike Price $11.50 * | 24,081 | 1 | ||||||
TZP Strategies Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 43,570 | 4 | ||||||
VectoIQ Acquisition II, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 66 | – | ||||||
VPC Impact Acquisition Holdings II, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 3,842 | – | ||||||
Wag! Group, Expires 08/02/2027 | ||||||||
Strike Price $11.50 * | 1,991 | – | ||||||
Warburg Pincus Capital I-A, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 263 | – | ||||||
Warburg Pincus Capital I-B, Expires 03/12/2026 | ||||||||
Strike Price $11.50 * | 1,386 | – | ||||||
Williams Rowland Acquisition, Expires 12/28/2022 | ||||||||
Strike Price $11.50 * | 68,930 | 4 | ||||||
Windstream Services | ||||||||
Strike Price $– *‡‡(B) | 5,809 | 89 | ||||||
WinVest Acquisition, Expires 02/22/2023 | ||||||||
Strike Price $11.50 * | 46,640 | 3 | ||||||
World Quantum Growth Acquisition, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 2,724 | – | ||||||
Worldwide Webb Acquisition, Expires 03/30/2023 | ||||||||
Strike Price $11.50 * | 80 | – | ||||||
XPAC Acquisition, Expires 05/16/2027 | ||||||||
Strike Price $11.50 * | 9,469 | 1 | ||||||
Z-Work Acquisition, Expires 01/07/2026 | ||||||||
Strike Price $11.50 * | 32,168 | 1 | �� | |||||
Total Warrants | ||||||||
(Cost $2,487) ($ Thousands) | 636 | |||||||
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITY — 0.1% | ||||||||
Non-Agency Mortgage-Backed Obligations — 0.1% | ||||||||
BX Commercial Mortgage Trust, Ser 2022-CSMO, Cl D | ||||||||
7.183%, TSFR1M + 4.337%, 06/15/2027(D)(F) | $ | 245 | $ | 240 | ||||
Total Mortgage-Backed Security | ||||||||
(Cost $244) ($ Thousands) | 240 | |||||||
| ||||||||
CASH EQUIVALENTS — 30.9% | ||||||||
Morgan Stanley Institutional Liquidity Fund Treasury Securities Portfolio, Institutional Share Class | ||||||||
2.510%** | 6,512,011 | 6,512 | ||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||
2.600%**†(A) | 117,844,471 | 117,844 | ||||||
Total Cash Equivalents | ||||||||
(Cost $124,356) ($ Thousands) | 124,356 | |||||||
PURCHASED OPTIONS — 0.6% | ||||||||
Total Purchased Options | ||||||||
(Cost $2,661) ($ Thousands) | 2,591 | |||||||
Total Investments in Securities — 96.4% | ||||||||
(Cost $414,512) ($ Thousands) | $ | 388,339 | ||||||
COMMON STOCK SOLD SHORT— (8.6)% | ||||||||
Communication Services — (0.2)% | ||||||||
ROBLOX Corp, Cl A * | (7,133 | ) | (256 | ) | ||||
Trade Desk Inc/The, Cl A * | (9,876 | ) | (590 | ) | ||||
(846 | ) | |||||||
Consumer Discretionary — (2.8)% | ||||||||
Airbnb Inc, Cl A * | (2,872 | ) | (302 | ) | ||||
Brunswick Corp/DE | (5,813 | ) | (380 | ) | ||||
Crocs Inc * | (8,764 | ) | (602 | ) | ||||
DR Horton Inc | (7,884 | ) | (531 | ) | ||||
DraftKings Inc, Cl A * | (18,035 | ) | (273 | ) | ||||
Duolingo, Cl A * | (1,714 | ) | (163 | ) | ||||
Floor & Decor Holdings Inc, Cl A * | (8,270 | ) | (581 | ) | ||||
Fox Factory Holding Corp * | (2,857 | ) | (226 | ) | ||||
Home Depot Inc/The | (4,498 | ) | (1,241 | ) | ||||
Lennar Corp, Cl A | (17,104 | ) | (1,275 | ) | ||||
Lowe's Cos Inc | (6,490 | ) | (1,219 | ) | ||||
Pool Corp | (1,800 | ) | (573 | ) | ||||
PulteGroup Inc | (31,570 | ) | (1,184 | ) | ||||
Red Rock Resorts Inc, Cl A | (4,183 | ) | (143 | ) |
272
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK SOLD SHORT (continued) | ||||||||
Tenneco Inc, Cl A * | (3,932 | ) | $ | (68 | ) | |||
Tesla Inc * | (2,068 | ) | (549 | ) | ||||
Texas Roadhouse Inc, Cl A | (3,586 | ) | (313 | ) | ||||
Topgolf Callaway Brands Corp * | (14,275 | ) | (275 | ) | ||||
Williams-Sonoma Inc | (8,937 | ) | (1,053 | ) | ||||
Wingstop Inc, Cl A | (2,183 | ) | (274 | ) | ||||
(11,225 | ) | |||||||
Consumer Staples — (1.1)% | ||||||||
Coca-Cola Co/The | (20,622 | ) | (1,155 | ) | ||||
Estee Lauder Cos Inc/The, Cl A | (1,178 | ) | (255 | ) | ||||
Hostess Brands Inc, Cl A * | (14,337 | ) | (333 | ) | ||||
J M Smucker Co/The | (2,200 | ) | (302 | ) | ||||
Procter & Gamble Co/The | (9,046 | ) | (1,142 | ) | ||||
SpartanNash Co | (39,749 | ) | (1,154 | ) | ||||
(4,341 | ) | |||||||
Energy — (0.1)% | ||||||||
EQT Corp | (6,626 | ) | (270 | ) | ||||
Range Resources Corp | (10,420 | ) | (263 | ) | ||||
(533 | ) | |||||||
Financials — (0.3)% | ||||||||
Axos Financial Inc * | (7,244 | ) | (248 | ) | ||||
Goldman Sachs Group Inc/The | (1,918 | ) | (562 | ) | ||||
MarketAxess Holdings Inc | (668 | ) | (149 | ) | ||||
Silvergate Capital, Cl A * | (3,096 | ) | (233 | ) | ||||
TriplePoint Venture Growth BDC | (12,317 | ) | (134 | ) | ||||
(1,326 | ) | |||||||
Industrials — (1.2)% | ||||||||
Apogee Enterprises Inc | (26,170 | ) | (1,000 | ) | ||||
ArcBest Corp | (14,933 | ) | (1,086 | ) | ||||
Covenant Logistics Group Inc, Cl A | (5,368 | ) | (154 | ) | ||||
Dycom Industries Inc * | (2,803 | ) | (268 | ) | ||||
Expeditors International of Washington Inc | (6,441 | ) | (569 | ) | ||||
Landstar System Inc | (4,148 | ) | (599 | ) | ||||
Saia Inc * | (733 | ) | (139 | ) | ||||
TPI Composites Inc * | (76,354 | ) | (861 | ) | ||||
Vicor Corp * | (2,527 | ) | (150 | ) | ||||
(4,826 | ) | |||||||
Information Technology — (2.6)% | ||||||||
Accenture PLC, Cl A | (1,156 | ) | (297 | ) | ||||
Affirm Holdings Inc, Cl A * | (30,842 | ) | (579 | ) | ||||
Analog Devices Inc | (1,534 | ) | (214 | ) | ||||
Apple Inc | (2,075 | ) | (287 | ) | ||||
Axcelis Technologies Inc * | (9,142 | ) | (554 | ) | ||||
Bill.com Holdings Inc * | (1,168 | ) | (155 | ) |
Description | Shares | Market Value | ||||||
COMMON STOCK SOLD SHORT (continued) | ||||||||
Ceridian HCM Holding Inc * | (9,471 | ) | $ | (529 | ) | |||
Cloudflare Inc, Cl A * | (5,138 | ) | (284 | ) | ||||
Corsair Gaming * | (77,306 | ) | (877 | ) | ||||
Coupa Software Inc * | (4,413 | ) | (259 | ) | ||||
Datadog Inc, Cl A * | (1,962 | ) | (174 | ) | ||||
Intel Corp | (8,716 | ) | (225 | ) | ||||
International Business Machines Corp | (2,567 | ) | (305 | ) | ||||
Lam Research Corp | (3,435 | ) | (1,257 | ) | ||||
Mastercard Inc, Cl A | (1,761 | ) | (501 | ) | ||||
Microchip Technology Inc | (4,822 | ) | (294 | ) | ||||
MongoDB Inc, Cl A * | (574 | ) | (114 | ) | ||||
NVIDIA Corp | (6,706 | ) | (814 | ) | ||||
ON Semiconductor Corp * | (3,451 | ) | (215 | ) | ||||
Paycom Software Inc * | (864 | ) | (285 | ) | ||||
Procore Technologies Inc * | (6,155 | ) | (305 | ) | ||||
ServiceNow Inc * | (670 | ) | (253 | ) | ||||
Snowflake Inc, Cl A * | (2,094 | ) | (356 | ) | ||||
Texas Instruments Inc | (1,515 | ) | (234 | ) | ||||
Xerox Holdings Corp | (75,616 | ) | (989 | ) | ||||
Zscaler Inc * | (1,717 | ) | (282 | ) | ||||
(10,638 | ) | |||||||
Real Estate — (0.3)% | ||||||||
Lamar Advertising Co, Cl A | (11,867 | ) | (979 | ) | ||||
Total Common Stock Sold Short | ||||||||
(Proceeds $38,883) ($ Thousands) | (34,714 | ) | ||||||
Face Amount | ||||||||
CORPORATE OBLIGATIONS SOLD SHORT — (2.0)% | ||||||||
Communication Services — (0.1)% | ||||||||
Front Range BidCo | ||||||||
6.125%, 03/01/2028 (D) | $ | (496 | ) | (348 | ) | |||
Gannett Holdings | ||||||||
6.000%, 11/01/2026 (D) | (215 | ) | (165 | ) | ||||
(513 | ) | |||||||
Consumer Discretionary — (0.5)% | ||||||||
At Home Group | ||||||||
7.125%, 07/15/2029 (D) | (250 | ) | (148 | ) | ||||
B&M European Value Retail | ||||||||
4.000%, 11/15/2028 | GBP | (109 | ) | (93 | ) | |||
3.625%, 07/15/2025 | (54 | ) | (51 | ) | ||||
Burger King France SAS | ||||||||
5.017%, Euribor 3 Month + 4.750%, 11/01/2026 (F) | EUR | (146 | ) | (136 | ) | |||
Carrols Restaurant Group | ||||||||
5.875%, 07/01/2029 (D) | $ | (234 | ) | (156 | ) | |||
Clarios Global | ||||||||
8.500%, 05/15/2027 (D) | (170 | ) | (162 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
273
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Strategy Alternative Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS SOLD SHORT (continued) | ||||||||
Fertitta Entertainment | ||||||||
4.625%, 01/15/2029 (D) | $ | (379 | ) | $ | (314 | ) | ||
Life Time | ||||||||
8.000%, 04/15/2026 (D) | (153 | ) | (131 | ) | ||||
Scientific Games Holdings | ||||||||
6.625%, 03/01/2030 (D) | (296 | ) | (237 | ) | ||||
Univision Communications | ||||||||
7.375%, 06/30/2030 (D) | (510 | ) | (487 | ) | ||||
Wheel Pros | ||||||||
6.500%, 05/15/2029 (D) | (97 | ) | (44 | ) | ||||
(1,959 | ) | |||||||
Consumer Staples — (0.0)% | ||||||||
Natura & Luxembourg Holdings SARL | ||||||||
6.000%, 04/19/2029 | (169 | ) | (139 | ) | ||||
Ontex Group | ||||||||
3.500%, 07/15/2026 | EUR | (98 | ) | (75 | ) | |||
United Natural Foods | ||||||||
6.750%, 10/15/2028 (D) | $ | (56 | ) | (51 | ) | |||
(265 | ) | |||||||
Energy — (0.2)% | ||||||||
Callon Petroleum | ||||||||
8.000%, 08/01/2028 (D) | (130 | ) | (120 | ) | ||||
Calumet Specialty Products Partners | ||||||||
8.125%, 01/15/2027 (D) | (146 | ) | (134 | ) | ||||
Genesis Energy | ||||||||
8.000%, 01/15/2027 | (180 | ) | (158 | ) | ||||
NGL Energy Partners | ||||||||
7.500%, 11/01/2023 | (65 | ) | (63 | ) | ||||
6.125%, 03/01/2025 | (240 | ) | (191 | ) | ||||
Range Resources | ||||||||
4.750%, 02/15/2030 (D) | (195 | ) | (169 | ) | ||||
Summit Midstream Holdings | ||||||||
5.750%, 04/15/2025 | (107 | ) | (87 | ) | ||||
(922 | ) | |||||||
Health Care — (0.2)% | ||||||||
AthenaHealth Group | ||||||||
6.500%, 02/15/2030 (D) | (282 | ) | (223 | ) | ||||
Embecta | ||||||||
5.000%, 02/15/2030 (D) | (255 | ) | (219 | ) | ||||
Medline Borrower | ||||||||
5.250%, 10/01/2029 (D) | (140 | ) | (106 | ) | ||||
Select Medical | ||||||||
6.250%, 08/15/2026 (D) | (266 | ) | (250 | ) | ||||
(798 | ) | |||||||
Industrials — (0.2)% | ||||||||
3M MTN | ||||||||
4.000%, 09/14/2048 | (107 | ) | (84 | ) | ||||
3.375%, 03/01/2029 | (290 | ) | (257 | ) | ||||
Artera Services | ||||||||
9.033%, 12/04/2025 (D) | (178 | ) | (143 | ) | ||||
Madison IAQ | ||||||||
5.875%, 06/30/2029 (D) | (45 | ) | (31 | ) |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS SOLD SHORT (continued) | ||||||||
4.125%, 06/30/2028 (D) | $ | (87 | ) | $ | (70 | ) | ||
Oscar AcquisitionCo | ||||||||
9.500%, 04/15/2030 (D) | (198 | ) | (166 | ) | ||||
Waste Pro USA | ||||||||
5.500%, 02/15/2026 (D) | (22 | ) | (19 | ) | ||||
(770 | ) | |||||||
Information Technology — (0.2)% | ||||||||
ams-OSRAM | ||||||||
7.000%, 07/31/2025 (D) | (156 | ) | (141 | ) | ||||
Central Parent | ||||||||
7.250%, 06/15/2029 (D) | (392 | ) | (373 | ) | ||||
HP | ||||||||
4.750%, 03/01/2029 (D) | (170 | ) | (171 | ) | ||||
Rocket Software | ||||||||
6.500%, 02/15/2029 (D) | (83 | ) | (61 | ) | ||||
(746 | ) | |||||||
Materials — (0.5)% | ||||||||
Arconic | ||||||||
6.125%, 02/15/2028 (D) | (234 | ) | (207 | ) | ||||
Baffinland Iron Mines | ||||||||
8.750%, 07/15/2026 (D) | (188 | ) | (166 | ) | ||||
Constellium | ||||||||
5.625%, 06/15/2028 (D) | (115 | ) | (94 | ) | ||||
FMG Resources August 2006 Pty | ||||||||
5.875%, 04/15/2030 (D) | (58 | ) | (51 | ) | ||||
New Gold | ||||||||
7.500%, 07/15/2027 (D) | (173 | ) | (137 | ) | ||||
SCIH Salt Holdings | ||||||||
6.625%, 05/01/2029 (D) | (153 | ) | (117 | ) | ||||
4.875%, 05/01/2028 (D) | (217 | ) | (179 | ) | ||||
SRM Escrow Issuer | ||||||||
6.000%, 11/01/2028 (D) | (23 | ) | (19 | ) | ||||
Summit Materials | ||||||||
5.250%, 01/15/2029 (D) | (225 | ) | (198 | ) | ||||
Trivium Packaging Finance BV | ||||||||
8.500%, 08/15/2027 (D) | (240 | ) | (212 | ) | ||||
United States Steel | ||||||||
6.875%, 03/01/2029 | (230 | ) | (209 | ) | ||||
WEPA Hygieneprodukte GmbH | ||||||||
2.875%, 12/15/2027 | EUR | (185 | ) | (130 | ) | |||
(1,719 | ) | |||||||
Utilities — (0.1)% | ||||||||
PG&E | ||||||||
5.250%, 07/01/2030 | $ | (340 | ) | (290 | ) | |||
Total Corporate Obligations Sold Short | ||||||||
(Proceeds $8,739) ($ Thousands) | (7,982 | ) | ||||||
| ||||||||
REGISTERED INVESTMENT COMPANIES SOLD SHORT — (1.5)% | ||||||||
ARK Innovation ETF | (14,328 | ) | (541 | ) |
274
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
REGISTERED INVESTMENT COMPANIES (continued) | ||||||||
Direxion Daily 20 Year Plus Treasury Bull 3x Shares | (69,988 | ) | $ | (600 | ) | |||
Invesco QQQ Trust Series 1 | (5,465 | ) | (1,460 | ) | ||||
iShares MSCI Japan ETF | (10,044 | ) | (491 | ) | ||||
iShares MSCI United Kingdom ETF | (20,112 | ) | (527 | ) | ||||
iShares Russell 2000 ETF | (7,291 | ) | (1,202 | ) | ||||
SPDR S&P 500 ETF Trust | (3,323 | ) | (1,187 | ) | ||||
Total Registered Investment Companies Sold Short | ||||||||
(Cost $(7,097)) ($ Thousands) | (6,008 | ) | ||||||
FOREIGN COMMON STOCK SOLD SHORT— (1.1)% | ||||||||
Bermuda — (0.2)% | ||||||||
Triton International Ltd | (16,646 | ) | (911 | ) | ||||
Canada — (0.0)% | ||||||||
Lightspeed Commerce * | (10,496 | ) | (185 | ) | ||||
China — (0.1)% | ||||||||
Tencent Music Entertainment Group ADR * | (48,026 | ) | (195 | ) | ||||
France — (0.1)% | ||||||||
Capgemini SE | (1,357 | ) | (217 | ) | ||||
Dassault Systemes SE | (8,237 | ) | (284 | ) | ||||
(501 | ) | |||||||
India — (0.1)% | ||||||||
Infosys ADR | (11,092 | ) | (188 | ) | ||||
Wipro ADR | (46,029 | ) | (217 | ) | ||||
(405 | ) | |||||||
Japan — (0.2)% | ||||||||
Renesas Electronics Corp * | (15,900 | ) | (134 | ) | ||||
SCREEN Holdings Co Ltd | (5,000 | ) | (271 | ) | ||||
SoftBank Group Corp | (3,900 | ) | (132 | ) | ||||
Sony Group ADR | (4,560 | ) | (292 | ) | ||||
(829 | ) | |||||||
Norway — (0.1)% | ||||||||
Nordic Semiconductor * | (14,879 | ) | (196 | ) | ||||
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK SOLD SHORT (continued) | ||||||||
Switzerland — (0.3)% | ||||||||
Logitech International | (26,661 | ) | $ | (1,226 | ) | |||
Total Foreign Common Stock Sold Short | ||||||||
(Proceeds $5,901) ($ Thousands) | (4,448 | ) | ||||||
Face Amount | ||||||||
U.S. TREASURY OBLIGATION SOLD SHORT — (0.2)% | ||||||||
U.S. Treasury Notes | ||||||||
2.750%, 08/15/32 | $ | (873 | ) | (798 | ) | |||
Total U.S. Treasury Obligation Sold Short | ||||||||
(Proceeds $847) ($ Thousands) | (798 | ) | ||||||
Total Investments Sold Short — (13.4)% | ||||||||
(Proceeds $61,467) ($ Thousands) | $ | (53,950 | ) | |||||
WRITTEN OPTIONS — (0.1)% | ||||||||
Total Written Options | ||||||||
(Premiums Received $265) ($ Thousands) | $ | (597 | ) | |||||
SEI Institutional Managed Trust / Annual Report / September 30, 2022
275
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Strategy Alternative Fund (Continued)
A list of the open exchange traded options contracts for the Fund at September 30, 2022, is as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||
PURCHASED OPTIONS — 0.6% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
Equitrans Midstream Corp | 108 | $ | 81 | $ | 8.00 | 10/22/2022 | $ | 8 | ||||||||||||
GCP Applied Technologies Inc | 30 | 96 | 30.00 | 12/17/2022 | 1 | |||||||||||||||
Global Blood Therapeutics Inc. | 15 | 102 | 30.00 | 1/21/2023 | – | |||||||||||||||
Nasdaq-100 | 2,652 | 28,323 | 10,680.00 | 10/22/2022 | 804 | |||||||||||||||
Nielsen Holdings PLC | 1 | 3 | 18.00 | 11/19/2022 | – | |||||||||||||||
Nielsen Holdings PLC | 1 | 3 | 19.00 | 11/19/2022 | – | |||||||||||||||
S&P 500 Index | 2 | 696 | 3,480.00 | 10/22/2022 | 8 | |||||||||||||||
S&P 500 Index | 2 | 750 | 3,750.00 | 10/22/2022 | 33 | |||||||||||||||
Tenneco Inc | 20 | 35 | 15.00 | 12/17/2022 | 1 | |||||||||||||||
Tenneco Inc | 27 | 47 | 10.00 | 1/21/2023 | 1 | |||||||||||||||
Tenneco Inc | 10 | 17 | 15.00 | 10/22/2022 | 1 | |||||||||||||||
Tenneco Inc | 11 | 19 | 10.00 | 12/17/2022 | – | |||||||||||||||
Tenneco Inc | 1 | 2 | 16.00 | 10/22/2022 | – | |||||||||||||||
Tower Semiconductor Ltd. | 4 | 17 | 50.00 | 1/21/2023 | 2 | |||||||||||||||
Tower Semiconductor Ltd. | 4 | 18 | 47.00 | 7/22/2023 | 2 | |||||||||||||||
Tower Semiconductor Ltd. | 23 | 101 | 47.00 | 10/22/2022 | 6 | |||||||||||||||
Tower Semiconductor Ltd. | 2 | 9 | 45.00 | 1/21/2023 | 1 | |||||||||||||||
Tower Semiconductor Ltd. | 1 | 4 | 47.00 | 1/20/2024 | – | |||||||||||||||
Tower Semiconductor Ltd. | 7 | 31 | 47.00 | 1/21/2023 | 3 | |||||||||||||||
Tower Semiconductor Ltd. | 3 | 13 | 45.00 | 1/20/2024 | 1 | |||||||||||||||
30,367 | 872 | |||||||||||||||||||
Call Options | ||||||||||||||||||||
Activision Blizzard, Inc. | 184 | $ | 1,368 | 50.00 | 11/19/2022 | $ | 436 | |||||||||||||
Applovin Corporation | 55 | 107 | 40.00 | 11/19/2022 | 1 | |||||||||||||||
Broadcom Inc. | 31 | 1,376 | 300.00 | 10/22/2022 | 441 | |||||||||||||||
Gold Fields Limited | 81 | 66 | 9.00 | 10/22/2022 | 1 | |||||||||||||||
istar Inc | 41 | 38 | 10.00 | 1/21/2023 | 4 | |||||||||||||||
istar Inc | 154 | 143 | 10.00 | 10/22/2022 | 5 | |||||||||||||||
istar Inc | 81 | 75 | 10.00 | 12/17/2022 | 6 | |||||||||||||||
istar Inc | 41 | 38 | 10.00 | 11/19/2022 | 2 | |||||||||||||||
JetBlue Airways Corporation | 81 | 54 | 6.00 | 1/21/2023 | 11 | |||||||||||||||
JetBlue Airways Corporation | 81 | 54 | 7.00 | 10/22/2022 | 2 | |||||||||||||||
Momentive Inc. | 28 | 16 | 8.00 | 1/21/2023 | 1 | |||||||||||||||
Momentive Inc. | 69 | 40 | 9.00 | 1/21/2023 | 1 | |||||||||||||||
Momentive Inc. | 69 | 40 | 10.00 | 1/21/2023 | – | |||||||||||||||
Momentive Inc. | 20 | 12 | 5.00 | 11/19/2022 | 2 | |||||||||||||||
Open Text Corp | 41 | 108 | 30.00 | 11/19/2022 | 1 | |||||||||||||||
Open Text Corp | 84 | 222 | 25.00 | 11/19/2022 | 21 | |||||||||||||||
Russell 2000 Index | 5,332 | 9,464 | 1,775.00 | 10/22/2022 | 10 | |||||||||||||||
Signify Health Inc | 7 | 20 | 30.00 | 10/22/2022 | 1 | |||||||||||||||
Signify Health Inc | 19 | 55 | 25.00 | 10/22/2022 | 8 | |||||||||||||||
Silicon Motion Technology Corp. | 459 | 2,992 | 50.00 | 10/22/2022 | 633 | |||||||||||||||
Spirit Airlines Inc. | 123 | 232 | 20.00 | 10/22/2022 | 5 | |||||||||||||||
VMware, Inc. | 153 | 1,629 | 100.00 | 10/22/2022 | 122 | |||||||||||||||
World Fuel Services Corp | 122 | 314 | 35.00 | 12/17/2022 | 2 | |||||||||||||||
World Fuel Services Corp | 122 | 314 | 34.00 | 11/19/2022 | 1 | |||||||||||||||
World Fuel Services Corp | 162 | 418 | 29.00 | 10/22/2022 | 1 | |||||||||||||||
World Fuel Services Corp | 81 | 209 | 34.00 | 12/17/2022 | 1 |
276
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||
PURCHASED OPTIONS (continued) | ||||||||||||||||||||
$ | 19,404 | $ | 1,719 | |||||||||||||||||
Total Purchased Options | $ | 49,771 | $ | 2,591 | ||||||||||||||||
WRITTEN OPTIONS — (0.1)% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
Nasdaq-100 | (2,652 | ) | $ | (27,780 | ) | 10,475.00 | 10/22/22 | $ | (595 | ) | ||||||||||
S&P 500 Index | (2 | ) | (710 | ) | 3,550.00 | 10/22/22 | – | |||||||||||||
S&P 500 Index | (2 | ) | (660 | ) | 3,300.00 | 10/22/22 | (2 | ) | ||||||||||||
Total Written Options | $ | (29,150 | ) | $ | (597 | ) | ||||||||||||||
A list of the open futures contracts held by the Fund at September 30, 2022 is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation (Thousands) | |||||||||||||||
Short Contracts | ||||||||||||||||||||
Euro STOXX 50 | (31 | ) | Dec-2022 | $ | (1,132 | ) | $ | (1,007 | ) | $ | 88 | |||||||||
S&P 500 Index E-MINI | (3 | ) | Dec-2022 | (545 | ) | (540 | ) | 5 | ||||||||||||
$ | (1,677 | ) | $ | (1,547 | ) | $ | 93 |
A list of the open forward foreign currency contracts held by the Fund at September 30, 2022 is as follows:
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
Barr Brothers & Co., Inc. | 12/21/22 | MXN | 60,860 | USD | 2,975 | $ | (7 | ) | ||||||||||||||||
Barclays PLC | 11/04/22 | USD | 54 | CAD | 71 | (3 | ) | |||||||||||||||||
Barclays PLC | 11/04/22 | CAD | 71 | USD | 55 | 4 | ||||||||||||||||||
Barclays PLC | 11/04/22 | USD | 120 | EUR | 120 | (2 | ) | |||||||||||||||||
Barclays PLC | 11/04/22 | EUR | 590 | USD | 608 | 29 | ||||||||||||||||||
Barclays PLC | 12/21/22 | PLN | 2,654 | USD | 548 | 18 | ||||||||||||||||||
BNYMellon | 12/21/22 | USD | 20 | CAD | 27 | — | ||||||||||||||||||
BNYMellon | 12/21/22 | USD | 24 | CAD | 33 | — | ||||||||||||||||||
BNYMellon | 12/21/22 | CAD | 95 | USD | 72 | 2 | ||||||||||||||||||
BNYMellon | 12/21/22 | USD | 124 | EUR | 127 | 1 | ||||||||||||||||||
BNYMellon | 12/21/22 | HKD | 460 | USD | 59 | — | ||||||||||||||||||
BNYMellon | 12/21/22 | EUR | 740 | USD | 744 | 14 | ||||||||||||||||||
Citi | 10/19/22 | USD | 31 | ILS | 107 | (1 | ) | |||||||||||||||||
Citi | 10/19/22 | ILS | 107 | USD | 30 | — | ||||||||||||||||||
Citi | 11/16/22 | USD | 91 | SGD | 125 | (4 | ) | |||||||||||||||||
Citi | 11/16/22 | USD | 150 | CNH | 1,032 | (5 | ) | |||||||||||||||||
Citi | 11/16/22 | CNH | 1,116 | USD | 166 | 9 | ||||||||||||||||||
Credit Suisse First Boston | 12/21/22 | USD | 136 | CHF | 130 | (3 | ) | |||||||||||||||||
Deutsche Bank | 12/21/22 | PLN | 1,237 | USD | 247 | — | ||||||||||||||||||
Deutsche Bank | 12/21/22 | EUR | 1,591 | USD | 1,587 | 18 | ||||||||||||||||||
Goldman Sachs | 11/16/22 | SGD | 125 | USD | 91 | 4 | ||||||||||||||||||
Goldman Sachs | 11/16/22 | USD | 220 | JPY | 31,476 | (2 | ) | |||||||||||||||||
Goldman Sachs | 11/16/22 | USD | 531 | KRW | 693,906 | (47 | ) | |||||||||||||||||
Goldman Sachs | 11/16/22 | CNH | 674 | USD | 100 | 5 | ||||||||||||||||||
Goldman Sachs | 11/16/22 | TWD | 718 | USD | 24 | 1 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
277
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Strategy Alternative Fund (Continued)
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
Goldman Sachs | 12/21/22 | USD | 228 | PLN | 1,072 | $ | (14 | ) | ||||||||||||||||
HSBC | 10/04/22 | BRL | 3,676 | USD | 716 | 37 | ||||||||||||||||||
HSBC | 11/16/22 | USD | 135 | JPY | 17,498 | (13 | ) | |||||||||||||||||
HSBC | 12/21/22 | PLN | 1,072 | USD | 228 | 14 | ||||||||||||||||||
JPMorgan Chase | 10/04/22 | USD | 1,308 | BRL | 6,827 | (47 | ) | |||||||||||||||||
JPMorgan Chase | 10/19/22 | CAD | 173 | USD | 133 | 8 | ||||||||||||||||||
JPMorgan Chase | 12/21/22 | GBP | — | USD | — | — | ||||||||||||||||||
JPMorgan Chase | 12/21/22 | USD | 147 | NOK | 1,445 | (14 | ) | |||||||||||||||||
JPMorgan Chase | 12/21/22 | USD | 168 | CHF | 160 | (4 | ) | |||||||||||||||||
JPMorgan Chase | 12/21/22 | USD | 460 | EUR | 473 | 7 | ||||||||||||||||||
Montgomery/Bank of America | 11/16/22 | CNH | 1,651 | USD | 245 | 13 | ||||||||||||||||||
Montgomery/Bank of America | 12/21/22 | USD | 289 | EUR | 286 | (8 | ) | |||||||||||||||||
Morgan Stanley | 10/19/22 | CAD | 54 | USD | 42 | 3 | ||||||||||||||||||
Morgan Stanley | 10/19/22 | USD | 364 | CAD | 469 | (23 | ) | |||||||||||||||||
Morgan Stanley | 11/16/22 | SGD | 114 | USD | 83 | 3 | ||||||||||||||||||
Morgan Stanley | 11/16/22 | USD | 224 | JPY | 29,230 | (21 | ) | |||||||||||||||||
Morgan Stanley | 12/21/22 | ZAR | 46,025 | USD | 2,623 | 80 | ||||||||||||||||||
Santander | 10/04/22 | BRL | 3,151 | USD | 605 | 23 | ||||||||||||||||||
State Street | 10/19/22 | USD | 327 | CAD | 425 | (18 | ) | |||||||||||||||||
State Street | 10/19/22 | CAD | 904 | USD | 699 | 41 | ||||||||||||||||||
State Street | 11/16/22 | CNH | 1,526 | USD | 226 | 12 | ||||||||||||||||||
State Street | 11/16/22 | JPY | 45,504 | USD | 341 | 25 | ||||||||||||||||||
TD Bank | 10/19/22 | CAD | 202 | USD | 156 | 8 | ||||||||||||||||||
TD Bank | 10/19/22 | USD | 348 | CAD | 447 | (22 | ) | |||||||||||||||||
TD Bank | 11/16/22 | USD | 152 | JPY | 21,519 | (2 | ) | |||||||||||||||||
TD Bank | 11/16/22 | USD | 537 | CNH | 3,846 | 3 | ||||||||||||||||||
TD Bank | 11/16/22 | USD | 334 | CNH | 2,345 | (5 | ) | |||||||||||||||||
TD Bank | 11/16/22 | CNH | 3,269 | USD | 475 | 16 | ||||||||||||||||||
TD Bank | 12/21/22 | EUR | 155 | USD | 156 | 3 | ||||||||||||||||||
UBS | 11/16/22 | CNH | 6,795 | USD | 1,007 | 53 | ||||||||||||||||||
UBS | 12/21/22 | USD | 12 | NOK | 119 | (1 | ) | |||||||||||||||||
Westpac Banking | 11/16/22 | JPY | 27,023 | USD | 204 | 17 | ||||||||||||||||||
Westpac Banking | 12/21/22 | USD | 51 | EUR | 50 | (1 | ) | |||||||||||||||||
$ | 204 |
A list of the open OTC swap agreements held by the Fund at September 30, 2022 is as follows:
Total Return Swaps | ||||||||||||||||||||||||||||||||||||||||
Counterparty | Reference Entity/ Obligation | Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional | Value | Upfront Payments/ | Net Unrealized | ||||||||||||||||||||||||||||||
Goldman Sachs | KAKAO CORP | ASSET RETURN | 1 MONTH USD LIBOR +0.50 | Annually | 12/15/2025 | USD | 139 | $ | 24 | $ | – | $ | 24 | |||||||||||||||||||||||||||
Goldman Sachs | SAMSUNG ELECTRONICS | ASSET RETURN | 1 MONTH USD LIBOR -0.50 | Annually | 12/15/2025 | USD | 314 | 22 | – | 22 | ||||||||||||||||||||||||||||||
JPMorgan Chase | IBOX.HY | ASSET RETURN | 12M SOFR | Annually | 12/20/2022 | USD | 820 | 25 | — | 25 | ||||||||||||||||||||||||||||||
JPMorgan Chase | IBOX.HY | ASSET RETURN | 12M SOFR | Annually | 12/20/2022 | USD | 520 | 15 | — | 15 | ||||||||||||||||||||||||||||||
JPMorgan Chase | IBOX.HY | ASSET RETURN | 12M SOFR | Annually | 12/20/2022 | USD | 700 | 23 | — | 23 | ||||||||||||||||||||||||||||||
JPMorgan Chase | IBOX.HY | ASSET RETURN | 12M SOFR | Quarterly | 12/20/2022 | USD | 1,300 | 95 | 2 | 93 | ||||||||||||||||||||||||||||||
Morgan Stanley | 1LIFE HEALTHCARE | ASSET RETURN | FEDEF-1-DAY | Annually | 09/11/2023 | USD | 291 | — | – | – | ||||||||||||||||||||||||||||||
Morgan Stanley | BROADCOM INC | FEDEF-1-DAY | ASSET RETURN | Annually | 09/11/2023 | USD | 520 | (13 | ) | – | (13 | ) |
278
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Total Return Swaps (continued) | ||||||||||||||||||||||||||||||||||||||||
Counterparty | Reference Entity/ Obligation | Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional | Value | Upfront Payments/ | Net Unrealized | ||||||||||||||||||||||||||||||
Morgan Stanley | COMPUTER SCIENCES | FEDEF-1-DAY | ASSET RETURN | Annually | 06/09/2023 | USD | 232 | $ | (13 | ) | $ | – | $ | (13 | ) | |||||||||||||||||||||||||
Morgan Stanley | EVOPAYMENTS INC | ASSET RETURN | FEDEF-1-DAY | Annually | 09/11/2023 | USD | 835 | — | – | – | ||||||||||||||||||||||||||||||
Morgan Stanley | FLAGSTAR BANCORP | FEDEF-1-DAY | ASSET RETURN | Annually | 06/09/2023 | USD | 387 | (19 | ) | – | (19 | ) | ||||||||||||||||||||||||||||
Morgan Stanley | INTEL CORPORATION | FEDEF-1-DAY | ASSET RETURN | Annually | 06/09/2023 | USD | 665 | (81 | ) | – | (81 | ) | ||||||||||||||||||||||||||||
Morgan Stanley | ISTAR FINANCIAL | FEDEF-1-DAY | ASSET RETURN | Annually | 06/09/2023 | USD | 683 | (116 | ) | – | (116 | ) | ||||||||||||||||||||||||||||
Morgan Stanley | JETBLUE AIRWAYS | FEDEF-1-DAY | ASSET RETURN | Annually | 06/09/2023 | USD | 26 | (2 | ) | – | (2 | ) | ||||||||||||||||||||||||||||
Morgan Stanley | KNOWBE4 INC. | FEDEF-1-DAY | ASSET RETURN | Annually | 06/09/2023 | USD | 19 | — | – | – | ||||||||||||||||||||||||||||||
Morgan Stanley | MICROSOFT CORP | FEDEF-1-DAY | ASSET RETURN | Annually | 06/25/2023 | USD | 623 | (26 | ) | – | (26 | ) | ||||||||||||||||||||||||||||
Morgan Stanley | MONEYGRAM INTERNATIONAL | FEDEF-1-DAY | ASSET RETURN | Annually | 06/09/2023 | USD | 223 | 17 | – | 17 | ||||||||||||||||||||||||||||||
Morgan Stanley | OPEN TEXT CO | FEDEF-1-DAY | ASSET RETURN | Annually | 06/09/2023 | USD | 687 | (72 | ) | – | (72 | ) | ||||||||||||||||||||||||||||
Morgan Stanley | SAFEHOLD INC. | FEDEF-1-DAY | ASSET RETURN | Annually | 06/09/2023 | USD | 540 | (74 | ) | – | (74 | ) | ||||||||||||||||||||||||||||
Morgan Stanley | SHAW COMM | DISC -1-DAY | ASSET RETURN | Annually | 02/27/2023 | CAD | 6,962 | (183 | ) | – | (183 | ) | ||||||||||||||||||||||||||||
Morgan Stanley | SILICON MOTION | FEDEF-1-DAY | ASSET RETURN | Annually | 06/09/2023 | USD | 1,529 | (395 | ) | – | (395 | ) | ||||||||||||||||||||||||||||
Morgan Stanley | SOUTH JERSEY INDUSTRIES | FEDEF-1-DAY | ASSET RETURN | Annually | 06/09/2023 | USD | 564 | 2 | – | 2 | ||||||||||||||||||||||||||||||
Morgan Stanley | STORE CAPITAL | FEDEF-1-DAY | ASSET RETURN | Annually | 06/09/2023 | USD | 822 | (10 | ) | – | (10 | ) | ||||||||||||||||||||||||||||
Morgan Stanley | VMWARE INC. | FEDEF-1-DAY | ASSET RETURN | Annually | 06/09/2023 | USD | 1,500 | (53 | ) | – | (53 | ) | ||||||||||||||||||||||||||||
UBS | INTERTRUST N.V. | EURIBOR-1M | ASSET RETURN | Annually | 11/03/2022 | EUR | 1,553 | 36 | – | 36 | ||||||||||||||||||||||||||||||
$ | (798 | ) | $ | 2 | $ | (800 | ) |
A list of the open centrally cleared swap agreements held by the Fund at September 30, 2022 is as follows:
Credit Default Swaps - Buy Protection | ||||||||||||||||||||||||||||
Reference Entity/ Obligation | Pay Rate | Payment Frequency | Termination Date | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | |||||||||||||||||||||
BASF 100 | 1.00% | Quarterly | 12/20/2027 | $ | 790 | $ | 20 | $ | 17 | $ | 3 | |||||||||||||||||
BYIF 100 | 1.00% | Quarterly | 12/20/2027 | 376 | 9 | 7 | 2 | |||||||||||||||||||||
CDS_HY38_-1.92 | 5.00% | Quarterly | 06/20/2027 | 1,287 | 29 | (24 | ) | 53 | ||||||||||||||||||||
CDS_HY38_-5.5575 | 5.00% | Quarterly | 06/20/2027 | 1,604 | 36 | (83 | ) | 119 | ||||||||||||||||||||
CDX HY38 500 | 5.00% | Quarterly | 12/20/2027 | 2,712 | 88 | 118 | (30 | ) | ||||||||||||||||||||
CDX IG39 100 | 1.00% | Quarterly | 12/20/2027 | 1,674 | 6 | (3 | ) | 9 | ||||||||||||||||||||
HENKEL 100 | 1.00% | Quarterly | 12/20/2027 | 376 | (5 | ) | (6 | ) | 1 | |||||||||||||||||||
LXSGR 100 | 1.00% | Quarterly | 12/20/2027 | 376 | 30 | 31 | (1 | ) | ||||||||||||||||||||
$ | 213 | $ | 57 | $ | 156 |
Interest Rate Swaps | ||||||||||||||||||||||||||||||||
Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | ||||||||||||||||||||||||
CNY 2.354% | 1.0 X CNRR007 + 0.0 BPS | Quarterly | 12/21/2027 | CNY | 35,641 | $ | 43 | $ | – | $ | 43 | |||||||||||||||||||||
MXN 9.35% | 1.0 X MXIBTIIE + 0.0 BPS | Monthly | 12/17/2025 | MXN | 36,480 | 9 | – | 9 | ||||||||||||||||||||||||
PLN 6.4% | 1.0 X WIBR6-MONTH + 0.0 BPS | Annually | 12/21/2027 | PLN | 4,977 | 24 | – | 24 | ||||||||||||||||||||||||
PLN 7.07% | 1.0 X WIBR6-MONTH + 0.0 BPS | Annually | 12/21/2027 | PLN | 4,288 | (2 | ) | – | (2 | ) | ||||||||||||||||||||||
$ | 74 | $ | – | $ | 74 |
| Percentages are based on Net Assets of $402,945 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2022. |
‡ | Real Estate Investment Trust. |
‡‡ | Expiration date not available. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Security, or portion thereof, has been pledged as collateral on securities sold short. The total market value of such securities as of September 30, 2022 was $1,712,314 ($ Thousands). |
(B) | Level 3 security in accordance with fair value hierarchy. |
(C) | Security considered restricted, excluding 144A. The total market value of such securities as of September 30, 2022 was $1,309 ($ Thousands) and represented 0.3% of the Net Assets of the Fund. See table below for acquisition dates and acquisition cost. |
(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, 2022, the value of these securities amounted to $40,107 ($ Thousands), representing 10.0% of the Net Assets of the Fund. |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
279
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Strategy Alternative Fund (Continued)
(E) | No interest rate available. |
(F) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(G) | Perpetual security with no stated maturity date. |
(H) | Security is in default on interest payment. |
(I) | Interest rate represents the security's effective yield at the time of purchase. |
(J) | Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
(K) | Unsettled bank loan. Interest rate may not be available. |
The following is a summary of the level of inputs used as of September 30, 2022, 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 | 92,115 | – | 1,058 | 93,173 | ||||||||||||
Corporate Obligations | – | 60,891 | 5 | 60,896 | ||||||||||||
Registered Investment Companies | 47,347 | – | – | 47,347 | ||||||||||||
U.S. Treasury Obligations | – | 17,189 | – | 17,189 | ||||||||||||
Sovereign Debt | – | 15,755 | – | 15,755 | ||||||||||||
Loan Participations | – | 10,439 | 3,376 | 13,815 | ||||||||||||
Foreign Common Stock | 9,107 | – | – | 9,107 | ||||||||||||
Asset-Backed Securities | – | 1,411 | – | 1,411 | ||||||||||||
Convertible Bonds | – | 667 | 325 | 992 | ||||||||||||
Preferred Stock | – | – | 831 | 831 | ||||||||||||
Warrants | – | 353 | 283 | 636 | ||||||||||||
Mortgage-Backed Security | – | 240 | – | 240 | ||||||||||||
Cash Equivalents | 117,844 | 6,512 | – | 124,356 | ||||||||||||
Purchased Options | 2,591 | – | – | 2,591 | ||||||||||||
Total Investments in Securities | 269,004 | 113,457 | 5,878 | 388,339 | ||||||||||||
Securities Sold Short | ||||||||||||||||
Common Stock | (34,714 | ) | – | – | (34,714 | ) | ||||||||||
Corporate Obligations | – | (7,982 | ) | – | (7,982 | ) | ||||||||||
Registered Investment Companies | (6,008 | ) | – | – | (6,008 | ) | ||||||||||
Foreign Common Stock | (4,448 | ) | – | – | (4,448 | ) | ||||||||||
U.S. Treasury Obligation | – | (798 | ) | – | (798 | ) | ||||||||||
Total Securities Sold Short | (45,170 | ) | (8,780 | ) | – | (53,950 | ) |
Other Financial Instruments | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Written Options | (597 | ) | – | – | (597 | ) | ||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 93 | – | – | 93 | ||||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | – | 471 | – | 471 | ||||||||||||
Unrealized Depreciation | – | (267 | ) | – | (267 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Total Return Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 257 | – | 257 | ||||||||||||
Unrealized Depreciation | – | (1,057 | ) | – | (1,057 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 187 | – | 187 | ||||||||||||
Unrealized Depreciation | – | (31 | ) | – | (31 | ) | ||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 76 | – | 76 | ||||||||||||
Unrealized Depreciation | – | (2 | ) | – | (2 | ) | ||||||||||
Total Other Financial Instruments | (504 | ) | (366 | ) | – | (870 | ) |
* | Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
280
SEI Institutional Managed Trust / Annual Report / September 30, 2022
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Investments in Common Stock | Investments in Corporate Obligations | Investments in Loan Participations | Investments in Convertible Bond | Investments in Preferred Stock | Investments in Warrants | |||||||||||||||||||
Balance as of October 1, 2021 | $ | 1,147 | $ | – | $ | 3,896 | $ | – | $ | 115 | $ | 73 | ||||||||||||
Accrued discounts/premiums | – | – | (3 | ) | – | – | – | |||||||||||||||||
Realized gain/(loss) | 247 | – | (11 | ) | – | – | – | |||||||||||||||||
Change in unrealized appreciation/(depreciation) | (128 | ) | 5 | (75 | ) | 2 | (2 | ) | 88 | |||||||||||||||
Purchases | 113 | – | 711 | 94 | 290 | 33 | ||||||||||||||||||
Sales | (220 | ) | – | (1,220 | ) | – | – | – | ||||||||||||||||
Net transfer into Level 3 | 98 | – | 977 | 229 | 428 | 89 | ||||||||||||||||||
Net transfer out of Level 3 | (199 | ) | – | (899 | ) | – | – | – | ||||||||||||||||
Ending Balance as of September 30, 2022(1) | $ | 1,058 | $ | 5 | $ | 3,376 | $ | 325 | $ | 831 | $ | 283 | ||||||||||||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | (231 | ) | $ | 5 | $ | (104 | ) | $ | 3 | $ | (2 | ) | $ | 126 |
(1) | Of the $5,878 ($ Thousands) in Level 3 securities as of September 30, 2022, $3,099 ($ Thousands) or 0.8% of the Net Assets of the Fund 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, 2022, 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.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2022 ($ Thousands):
Security Description | Value 9/30/2021 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 9/30/2022 | Shares | Income | Capital Gains | |||||||||||||||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | $ | 153,952 | $ | 569,775 | $ | (605,883 | ) | $ | — | $ | — | $ | 117,844 | 117,844,471 | $ | 674 | $ | 2 |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
281
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Strategy Alternative Fund (Concluded)
A list of the restricted securities, excluding 144a, held by the Fund at September 30, 2022, is as follows:
Description | Number of Shares/Face Amount ($ Thousands)/Number of Warrants | Acquisition Date/Right to Acquire Date | Cost ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Common Stock | ||||||||||||||
Guitar Center | 2,167 | 1/8/2021 | $ | 275 | $ | 415 | ||||||||
Parker Drilling Co | 4,414 | 3/26/2019 | 56 | 29 | ||||||||||
Corporate Obligations | ||||||||||||||
Mountain Province Diamonds | $ | 300 | 10/17/2022 | 293 | 282 | |||||||||
Northwest Acquisitions ULC | 460 | 10/1/2019 | 419 | – | ||||||||||
Loan Participations | ||||||||||||||
Boardriders Inc., Closing Date Tranche A Loan, 1st Lien | 47 | 9/4/2020 | 46 | 46 | ||||||||||
Boardriders Inc., Closing Date Tranche B-2 Loan, 1st Lien | 274 | 9/4/2020 | 227 | 246 | ||||||||||
Glass Mountain Holdings Pipeline, 1st Lien | 16 | 11/18/2021 | 15 | 14 | ||||||||||
Premier Brands Group Holdings, LLC, Term Loan, 1st Lien | 112 | 3/21/2019 | 97 | 91 | ||||||||||
Premier Brands Group Holdings, LLC, Term Loan, 1st Lien | 82 | 3/21/2019 | 73 | 67 | ||||||||||
Preferred Stock | ||||||||||||||
Boardriders Inc. | 25,646 | 9/4/2020 | – | 30 | ||||||||||
Guitar Center | 39 | 1/8/2021 | 4 | 3 | ||||||||||
Warrant | ||||||||||||||
Guitar Center | 574 | 1/8/2021 | 31 | 54 | ||||||||||
Guitar Center | 574 | 1/8/2021 | 21 | 32 | ||||||||||
$ | 1,557 | $ | 1,309 |
282
SEI Institutional Managed Trust / Annual Report / September 30, 2022
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Accumulation Fund
† | Percentages based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Face Amount | Market Value | ||||||
U.S. TREASURY OBLIGATIONS — 36.4% | ||||||||
U.S. Treasury Bills ^ | ||||||||
3.927%, 03/30/2023 (A) | $ | 80,000 | $ | 78,488 | ||||
3.854%, 03/23/2023 (A) | 100,000 | 98,260 | ||||||
3.527%, 03/16/2023 (A) | 140,000 | 137,646 | ||||||
2.966%, 01/19/2023 (A)(B) | 84,000 | 83,152 | ||||||
1.542%, 11/25/2022 (A) | 170,000 | 169,296 | ||||||
U.S. Treasury Inflation Protected Securities | ||||||||
3.875%, 04/15/2029 | 3,604 | 4,037 | ||||||
3.625%, 04/15/2028 | 1,832 | 1,991 | ||||||
3.375%, 04/15/2032 | 5,007 | 5,708 | ||||||
2.500%, 01/15/2029 | 2,622 | 2,713 | ||||||
2.375%, 01/15/2025 | 1,257 | 1,262 | ||||||
2.375%, 01/15/2027 | 1,469 | 1,491 | ||||||
2.125%, 02/15/2040 | 1,371 | 1,427 | ||||||
2.125%, 02/15/2041 | 1,353 | 1,395 | ||||||
2.000%, 01/15/2026 | 1,493 | 1,488 | ||||||
1.750%, 01/15/2028 | 670 | 664 | ||||||
1.375%, 02/15/2044 | 1,271 | 1,131 | ||||||
1.000%, 02/15/2046 | 1,626 | 1,318 | ||||||
1.000%, 02/15/2049 | 2,355 | 1,917 | ||||||
0.875%, 01/15/2029 | 1,291 | 1,214 | ||||||
0.750%, 07/15/2028 | 6,020 | 5,657 | ||||||
0.750%, 02/15/2042 | 1,836 | 1,476 | ||||||
0.750%, 02/15/2045 | 944 | 728 | ||||||
0.625%, 01/15/2024 | 1,270 | 1,240 | ||||||
0.625%, 01/15/2026 | 2,494 | 2,380 | ||||||
0.625%, 07/15/2032 | 2,141 | 1,943 | ||||||
0.625%, 02/15/2043 | 1,933 | 1,486 | ||||||
0.500%, 01/15/2028 | 12,011 | 11,147 | ||||||
0.375%, 07/15/2023 | 1,273 | 1,253 | ||||||
0.375%, 07/15/2025 | 6,247 | 5,969 | ||||||
0.375%, 01/15/2027 | 2,453 | 2,291 | ||||||
0.250%, 01/15/2025 | 625 | 599 | ||||||
0.250%, 07/15/2029 | 11,467 | 10,339 | ||||||
0.250%, 02/15/2050 | 346 | 226 |
Description | Face Amount | Market Value | ||||||
U.S. TREASURY OBLIGATIONS (continued) | ||||||||
0.125%, 01/15/2023 | $ | 6,418 | $ | 6,354 | ||||
0.125%, 07/15/2024 | 3,743 | 3,615 | ||||||
0.125%, 10/15/2024 | 2,887 | 2,776 | ||||||
0.125%, 10/15/2025 | 2,855 | 2,697 | ||||||
0.125%, 04/15/2026 | 3,107 | 2,901 | ||||||
0.125%, 07/15/2026 | 2,472 | 2,311 | ||||||
0.125%, 04/15/2027 | 5,142 | 4,741 | ||||||
0.125%, 01/15/2030 | 15,776 | 13,947 | ||||||
0.125%, 07/15/2030 | 17,680 | 15,566 | ||||||
0.125%, 01/15/2031 | 17,357 | 15,163 | ||||||
0.125%, 07/15/2031 | 16,802 | 14,650 | ||||||
0.125%, 01/15/2032 | 17,315 | 14,968 | ||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $764,292) ($ Thousands) | 741,021 | |||||||
SOVEREIGN DEBT — 11.4% | ||||||||
Canada Government International Bond | ||||||||
2.000%, 11/15/2022^ | $ | 375 | 374 | |||||
Council of Europe Development Bank | ||||||||
2.625%, 02/13/2023^ | 500 | 497 | ||||||
Deutsche Bundesrepublik Inflation Linked Bond | ||||||||
0.500%, 04/15/2030 | EUR | 25,802 | 26,342 | |||||
0.100%, 04/15/2023 | 8,485 | 8,462 | ||||||
0.100%, 04/15/2026 | 6,361 | 6,353 | ||||||
0.100%, 04/15/2033 | 11,406 | 11,185 | ||||||
0.100%, 04/15/2046 | 6,554 | 6,653 | ||||||
European Bank for Reconstruction & Development MTN | ||||||||
2.750%, 03/07/2023^ | $ | 750 | 746 | |||||
European Investment Bank | ||||||||
2.500%, 03/15/2023^ | 375 | 373 | ||||||
Export Development Canada | ||||||||
2.750%, 03/15/2023^ | 750 | 745 | ||||||
2.500%, 01/24/2023^ | 750 | 746 | ||||||
French Republic Government Bond OAT | ||||||||
3.400%, 07/25/2029 | EUR | 1,414 | 1,702 | |||||
3.150%, 07/25/2032 | 2,887 | 3,560 | ||||||
2.100%, 07/25/2023(C) | 2,357 | 2,371 | ||||||
1.850%, 07/25/2027 | 4,554 | 4,868 | ||||||
1.800%, 07/25/2040(C) | 2,005 | 2,300 | ||||||
0.700%, 07/25/2030(C) | 15,976 | 16,250 | ||||||
0.250%, 07/25/2024 | 3,795 | 3,834 | ||||||
0.100%, 03/01/2025 | 2,601 | 2,585 | ||||||
0.100%, 03/01/2026(C) | 1,611 | 1,606 | ||||||
0.100%, 03/01/2028 | 2,258 | 2,212 | ||||||
0.100%, 03/01/2029 | 2,391 | 2,324 | ||||||
0.100%, 07/25/2031(C) | 8,904 | 8,544 | ||||||
0.100%, 03/01/2032 | 1,831 | 1,758 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
283
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Accumulation Fund (Continued)
Description | Face Amount | Market Value | ||||||
SOVEREIGN DEBT (continued) | ||||||||
0.100%, 03/01/2036(C) | EUR | 1,611 | $ | 1,483 | ||||
0.100%, 07/25/2036(C) | 2,379 | 2,147 | ||||||
0.100%, 07/25/2047(C) | 1,340 | 1,145 | ||||||
Inter-American Development Bank | ||||||||
2.625%, 01/16/2024^ | $ | 375 | 367 | |||||
2.500%, 01/18/2023^ | 750 | 747 | ||||||
International Bank for Reconstruction & Development | ||||||||
7.625%, 01/19/2023^ | 750 | 758 | ||||||
1.875%, 10/07/2022^ | 875 | 875 | ||||||
1.750%, 04/19/2023^ | 1,000 | 987 | ||||||
International Finance MTN | ||||||||
2.875%, 07/31/2023^ | 375 | 370 | ||||||
2.000%, 10/24/2022^ | 750 | 750 | ||||||
Italy Buoni Poliennali Del Tesoro | ||||||||
3.100%, 09/15/2026(C) | EUR | 3,961 | 4,168 | |||||
2.600%, 09/15/2023(C) | 1,333 | 1,360 | ||||||
2.550%, 09/15/2041(C) | 2,004 | 1,996 | ||||||
2.350%, 09/15/2024(C) | 2,112 | 2,163 | ||||||
2.350%, 09/15/2035(C) | 3,488 | 3,387 | ||||||
1.300%, 05/15/2028(C) | 1,610 | 1,524 | ||||||
1.250%, 09/15/2032(C) | 1,632 | 1,429 | ||||||
0.650%, 05/15/2026 | 1,427 | 1,361 | ||||||
0.400%, 05/15/2030(C) | 1,449 | 1,235 | ||||||
0.150%, 05/15/2051(C) | 1,118 | 636 | ||||||
0.100%, 05/15/2023 | 1,021 | 1,018 | ||||||
Korea International Bond | ||||||||
2.750%, 01/19/2027^ | $ | 1,000 | 934 | |||||
North American Development Bank | ||||||||
2.400%, 10/26/2022^ | 200 | 200 | ||||||
Province of British Columbia Canada | ||||||||
2.000%, 10/23/2022^ | 750 | 750 | ||||||
Province of Ontario Canada | ||||||||
2.200%, 10/03/2022^ | 500 | 500 | ||||||
Province of Quebec Canada | ||||||||
2.625%, 02/13/2023^ | 500 | 498 | ||||||
United Kingdom Gilt Inflation Linked | ||||||||
4.125%, 07/22/2030 | GBP | 500 | 1,830 | |||||
2.500%, 07/17/2024 | 340 | 1,385 | ||||||
2.000%, 01/26/2035 | 932 | 2,499 | ||||||
1.875%, 11/22/2022 | 834 | 938 | ||||||
1.250%, 11/22/2027 | 2,653 | 3,125 | ||||||
1.250%, 11/22/2032 | 9,958 | 12,381 | ||||||
1.250%, 11/22/2055 | 1,429 | 2,379 | ||||||
1.125%, 11/22/2037 | 2,376 | 3,120 | ||||||
0.750%, 03/22/2034 | 7,241 | 8,616 | ||||||
0.750%, 11/22/2047 | 1,487 | 1,978 | ||||||
0.625%, 03/22/2040 | 2,378 | 2,983 | ||||||
0.625%, 11/22/2042 | 3,877 | 4,897 | ||||||
0.500%, 03/22/2050 | 804 | 1,032 | ||||||
0.375%, 03/22/2062 | 1,601 | 2,339 | ||||||
0.250%, 03/22/2052 | 1,701 | 2,104 |
Description | Face Amount | Market Value | ||||||
SOVEREIGN DEBT (continued) | ||||||||
0.125%, 03/22/2024 | GBP | 1,982 | $ | 2,258 | ||||
0.125%, 03/22/2026 | 2,392 | 2,681 | ||||||
0.125%, 08/10/2028 | 4,646 | 5,169 | ||||||
0.125%, 03/22/2029 | 2,168 | 2,402 | ||||||
0.125%, 08/10/2031 | 3,273 | 3,706 | ||||||
0.125%, 03/22/2044 | 2,973 | 3,432 | ||||||
0.125%, 08/10/2048 | 1,249 | 1,469 | ||||||
0.125%, 03/22/2058 | 2,951 | 3,859 | ||||||
0.125%, 11/22/2065 | 1,450 | 2,050 | ||||||
0.125%, 03/22/2068 | 2,062 | 2,990 | ||||||
Total Sovereign Debt | ||||||||
(Cost $303,328) ($ Thousands) | 230,800 | |||||||
| ||||||||
FOREIGN COMMON STOCK — 2.9% | ||||||||
Australia — 0.1% | ||||||||
Ampol Ltd | 2,048 | 38 | ||||||
APA Group | 9,304 | 58 | ||||||
Aristocrat Leisure Ltd | 3,212 | 68 | ||||||
ASX Ltd | 1,383 | 64 | ||||||
Aurizon Holdings Ltd | 21,309 | 47 | ||||||
BHP Group Ltd | 3,324 | 83 | ||||||
BlueScope Steel Ltd | 3,194 | 31 | ||||||
Brambles Ltd | 4,589 | 34 | ||||||
Cochlear Ltd | 834 | 104 | ||||||
Coles Group Ltd | 12,289 | 130 | ||||||
Commonwealth Bank of Australia | 792 | 46 | ||||||
Computershare Ltd | 8,847 | 142 | ||||||
CSL Ltd | 892 | 163 | ||||||
Dexus *‡ | 7,723 | 39 | ||||||
Domino's Pizza Enterprises Ltd | 1,046 | 35 | ||||||
Endeavour Group Ltd/Australia | 22,375 | 101 | ||||||
Evolution Mining Ltd | 58,565 | 77 | ||||||
Fortescue Metals Group Ltd | 3,424 | 37 | ||||||
Goodman Group ‡ | 3,333 | 34 | ||||||
IDP Education Ltd | 3,370 | 57 | ||||||
Insurance Australia Group Ltd | 20,132 | 60 | ||||||
Lendlease Corp Ltd ‡ | 5,588 | 32 | ||||||
Lottery Corp Ltd/The * | 30,312 | 82 | ||||||
Medibank Pvt Ltd | 28,257 | 64 | ||||||
Mineral Resources | 1,549 | 65 | ||||||
National Australia Bank Ltd | 769 | 14 | ||||||
Newcrest Mining Ltd | 5,302 | 59 | ||||||
Northern Star Resources Ltd | 18,299 | 92 | ||||||
Orica Ltd | 6,944 | 59 | ||||||
Origin Energy Ltd | 9,571 | 32 | ||||||
Qantas Airways Ltd * | 8,953 | 29 | ||||||
REA Group Ltd | 484 | 35 | ||||||
Rio Tinto Ltd | 1,118 | 68 | ||||||
Rio Tinto PLC | 1,750 | 95 | ||||||
SEEK Ltd | 2,052 | 25 |
284
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Sonic Healthcare Ltd | 4,379 | $ | 86 | |||||
South32 Ltd | 23,300 | 56 | ||||||
Suncorp Group Ltd | 7,008 | 45 | ||||||
Telstra Corp Ltd, Cl B | 22,809 | 56 | ||||||
Treasury Wine Estates Ltd | 15,968 | 129 | ||||||
Washington H Soul Pattinson & Co Ltd | 2,377 | 41 | ||||||
Wesfarmers Ltd | 2,749 | 76 | ||||||
Westpac Banking Corp | 1,983 | 26 | ||||||
WiseTech Global Ltd | 2,927 | 96 | ||||||
Woolworths Group Ltd | 6,248 | 136 | ||||||
Xero Ltd * | 1,446 | 67 | ||||||
3,013 | ||||||||
Austria — 0.0% | ||||||||
Erste Group Bank AG | 1,198 | 26 | ||||||
Belgium — 0.1% | ||||||||
Ageas SA/NV | 1,537 | 56 | ||||||
Anheuser-Busch InBev SA/NV | 4,659 | 211 | ||||||
Argenx SE * | 392 | 140 | ||||||
D'ieteren SA/NV | 263 | 37 | ||||||
Elia Group SA/NV | 2,997 | 353 | ||||||
Groupe Bruxelles Lambert SA | 357 | 25 | ||||||
KBC Group NV | 780 | 37 | ||||||
Proximus SADP | 10,623 | 110 | ||||||
Solvay SA | 1,000 | 77 | ||||||
UCB SA, Cl A | 2,355 | 163 | ||||||
Umicore SA | 2,797 | 82 | ||||||
1,291 | ||||||||
Canada — 0.2% | ||||||||
Agnico Eagle Mines Ltd | 1,381 | 59 | ||||||
Air Canada, Cl A * | 3,723 | 45 | ||||||
Alimentation Couche-Tard | 1,594 | 64 | ||||||
Bank of Nova Scotia/The, Cl C | 1,239 | 59 | ||||||
Barrick Gold Corp | 5,823 | 91 | ||||||
Bausch Health Cos Inc * | 4,037 | 28 | ||||||
BCE Inc | 920 | 39 | ||||||
BlackBerry Ltd * | 8,664 | 41 | ||||||
Brookfield Renewable Corp, Cl A | 595 | 20 | ||||||
BRP Inc/CA | 914 | 57 | ||||||
CAE Inc * | 3,606 | 56 | ||||||
Canadian Pacific Railway Ltd | 1,666 | 112 | ||||||
Canadian Tire Corp Ltd, Cl A | 894 | 96 | ||||||
Canadian Utilities Ltd, Cl A | 2,438 | 64 | ||||||
CCL Industries Inc, Cl B | 2,082 | 101 | ||||||
CGI Inc, Cl A * | 1,997 | 151 | ||||||
Constellation Software Inc/Canada | 100 | 140 | ||||||
Dollarama Inc | 3,557 | 205 | ||||||
Emera Inc | 1,092 | 44 | ||||||
Empire Co Ltd, Cl A | 4,984 | 125 | ||||||
Fairfax Financial Holdings Ltd | 161 | 74 |
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
First Quantum Minerals Ltd (Canada) | 2,143 | $ | 37 | |||||
FirstService Corp ‡ | 514 | 61 | ||||||
Franco-Nevada Corp | 892 | 107 | ||||||
George Weston Ltd | 1,417 | 149 | ||||||
GFL Environmental Inc | 3,393 | 86 | ||||||
Gildan Activewear Inc | 3,722 | 106 | ||||||
iA Financial Corp Inc | 1,313 | 67 | ||||||
Kinross Gold Corp | 13,832 | 52 | ||||||
Lightspeed Commerce Inc * | 1,493 | 26 | ||||||
Loblaw Cos Ltd | 2,051 | 163 | ||||||
Magna International Inc, Cl A | 1,520 | 72 | ||||||
Metro Inc/CN, Cl A | 4,352 | 219 | ||||||
Northland Power Inc | 1,799 | 53 | ||||||
Nutrien Ltd | 1,332 | 112 | ||||||
Nuvei Corp * | 1,571 | 43 | ||||||
Onex Corp | 1,334 | 62 | ||||||
Open Text Corp | 2,952 | 78 | ||||||
Pan American Silver Corp | 1,768 | 28 | ||||||
Quebecor Inc, Cl B | 3,150 | 58 | ||||||
Restaurant Brands International Inc | 2,731 | 146 | ||||||
Ritchie Bros Auctioneers Inc, Cl B | 1,487 | 93 | ||||||
Royal Bank of Canada | 1,147 | 104 | ||||||
Saputo Inc | 4,704 | 113 | ||||||
Shopify Inc, Cl A * | 1,129 | 31 | ||||||
Teck Resources Ltd, Cl B | 2,736 | 84 | ||||||
Thomson Reuters Corp | 2,088 | 215 | ||||||
TMX Group Ltd | 1,370 | 127 | ||||||
Toronto-Dominion Bank/The | 1,857 | 114 | ||||||
Wheaton Precious Metals Corp | 2,919 | 95 | ||||||
WSP Global Inc | 1,000 | 111 | ||||||
4,483 | ||||||||
China — 0.0% | ||||||||
Sands China Ltd * | 18,800 | 47 | ||||||
Denmark — 0.1% | ||||||||
Carlsberg AS, Cl B | 2,006 | 234 | ||||||
Chr Hansen Holding A/S | 3,738 | 184 | ||||||
Coloplast A/S, Cl B | 1,741 | 177 | ||||||
Danske Bank A/S | 4,024 | 50 | ||||||
Demant A/S * | 2,583 | 64 | ||||||
DSV A/S | 468 | 55 | ||||||
Genmab A/S * | 435 | 140 | ||||||
GN Store Nord AS | 2,472 | 43 | ||||||
Novo Nordisk A/S, Cl B | 2,301 | 229 | ||||||
Novozymes A/S, Cl B | 2,193 | 110 | ||||||
Orsted AS | 938 | 75 | ||||||
Pandora A/S | 852 | 40 | ||||||
Tryg A/S | 2,801 | 58 | ||||||
Vestas Wind Systems A/S | 1,472 | 27 | ||||||
1,486 | ||||||||
SEI Institutional Managed Trust / Annual Report / September 30, 2022
285
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Accumulation Fund (Continued)
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Finland — 0.0% | ||||||||
Elisa Oyj | 1,161 | $ | 53 | |||||
Kesko Oyj, Cl B | 3,963 | 74 | ||||||
Kone Oyj, Cl B | 1,311 | 51 | ||||||
Nokia Oyj | 10,220 | 44 | ||||||
Orion Oyj, Cl B | 1,076 | 45 | ||||||
UPM-Kymmene Oyj, Cl V | 1,682 | 53 | ||||||
Wartsila OYJ Abp | 4,133 | 26 | ||||||
346 | ||||||||
France — 0.2% | ||||||||
Accor SA | 1,293 | 27 | ||||||
Aeroports de Paris, Cl A | 373 | 43 | ||||||
Air Liquide SA | 872 | 100 | ||||||
Arkema SA | 736 | 54 | ||||||
BioMerieux | 284 | 22 | ||||||
Bollore SE | 19,190 | 88 | ||||||
Bouygues SA | 892 | 23 | ||||||
Capgemini SE | 366 | 59 | ||||||
Carrefour SA | 6,251 | 87 | ||||||
Cie Generale des Etablissements Michelin SCA | 1,173 | 26 | ||||||
Covivio ‡ | 434 | 21 | ||||||
Danone SA | 1,033 | 49 | ||||||
Dassault Systemes SE | 1,640 | 57 | ||||||
Eiffage SA | 687 | 55 | ||||||
Electricite de France SA | 20,994 | 243 | ||||||
Engie SA | 23,170 | 267 | ||||||
Eurazeo SE | 468 | 24 | ||||||
Euronext NV | 536 | 34 | ||||||
Gecina SA ‡ | 323 | 25 | ||||||
Getlink SE | 4,624 | 72 | ||||||
Hermes International | 44 | 52 | ||||||
Ipsen SA | 736 | 68 | ||||||
Kering SA | 119 | 53 | ||||||
La Francaise des Jeux SAEM | 1,007 | 30 | ||||||
Legrand SA | 1,748 | 113 | ||||||
L'Oreal SA | 545 | 174 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 84 | 50 | ||||||
Orange SA | 5,452 | 49 | ||||||
Pernod Ricard SA | 584 | 107 | ||||||
Publicis Groupe SA | 768 | 36 | ||||||
Remy Cointreau SA | 674 | 112 | ||||||
Renault SA | 1,557 | 42 | ||||||
Sanofi | 904 | 69 | ||||||
Sartorius Stedim Biotech | 137 | 42 | ||||||
Sodexo SA | 477 | 36 | ||||||
STMicroelectronics NV | 1,562 | 48 | ||||||
Teleperformance | 98 | 25 | ||||||
Thales SA, Cl A | 220 | 24 | ||||||
TotalEnergies SE | 16,834 | 790 | ||||||
Ubisoft Entertainment SA * | 1,690 | 46 |
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Valeo | 1,298 | $ | 20 | |||||
Veolia Environnement SA | 9,043 | 173 | ||||||
Vinci SA | 720 | 58 | ||||||
Vivendi SE | 5,328 | 41 | ||||||
Wendel SE | 480 | 34 | ||||||
Worldline SA/France * | 865 | 34 | ||||||
3,702 | ||||||||
Germany — 0.2% | ||||||||
adidas AG | 399 | 46 | ||||||
Allianz SE | 347 | 55 | ||||||
Aroundtown SA ‡ | 9,569 | 21 | ||||||
BASF SE | 930 | 36 | ||||||
Bayerische Motoren Werke AG | 600 | 41 | ||||||
Beiersdorf AG | 1,765 | 173 | ||||||
Brenntag SE | 810 | 49 | ||||||
Carl Zeiss Meditec AG | 837 | 87 | ||||||
Commerzbank AG | 4,489 | 32 | ||||||
Continental AG | 779 | 34 | ||||||
Covestro AG | 2,090 | 60 | ||||||
Deutsche Boerse AG | 198 | 32 | ||||||
Deutsche Lufthansa AG * | 6,970 | 40 | ||||||
Deutsche Telekom AG | 6,455 | 110 | ||||||
E.ON SE | 54,282 | 417 | ||||||
GEA Group AG | 1,568 | 51 | ||||||
Hannover Rueck SE | 313 | 47 | ||||||
HeidelbergCement AG | 1,561 | 62 | ||||||
HelloFresh SE * | 5,463 | 114 | ||||||
Henkel AG & Co KGaA | 2,041 | 116 | ||||||
Infineon Technologies AG | 2,515 | 55 | ||||||
Knorr-Bremse AG | 603 | 26 | ||||||
Merck KGaA | 510 | 82 | ||||||
MTU Aero Engines AG | 221 | 33 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 274 | 66 | ||||||
Puma SE | 744 | 34 | ||||||
QIAGEN NV * | 3,375 | 140 | ||||||
Rational AG | 61 | 30 | ||||||
Rheinmetall | 281 | 43 | ||||||
RWE AG | 10,793 | 397 | ||||||
Scout24 SE | 1,602 | 80 | ||||||
Siemens Healthineers AG | 2,595 | 111 | ||||||
Symrise AG, Cl A | 1,058 | 103 | ||||||
Telefonica Deutschland Holding AG | 49,295 | 100 | ||||||
Uniper SE | 72,630 | 274 | ||||||
United Internet AG | 3,471 | 65 | ||||||
Vonovia SE ‡ | 1,664 | 36 | ||||||
Zalando SE * | 1,399 | 27 | ||||||
3,325 | ||||||||
Hong Kong — 0.2% | ||||||||
AIA Group Ltd | 6,600 | 55 |
286
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Budweiser Brewing Co APAC Ltd | 17,900 | $ | 47 | |||||
CK Asset Holdings Ltd ‡ | 5,931 | 36 | ||||||
CK Hutchison Holdings Ltd | 18,208 | 100 | ||||||
CK Infrastructure Holdings Ltd | 80,500 | 410 | ||||||
CLP Holdings Ltd, Cl B | 143,838 | 1,087 | ||||||
ESR Group Ltd ‡ | 7,400 | 19 | ||||||
Galaxy Entertainment Group Ltd | 8,000 | 47 | ||||||
HK Electric Investments & HK Electric Investments Ltd | 644,000 | 451 | ||||||
Hong Kong & China Gas Co Ltd | 1,283,999 | 1,131 | ||||||
Power Assets Holdings Ltd | 150,974 | 757 | ||||||
Sino Land Co Ltd ‡ | 28,000 | 37 | ||||||
Swire Properties Ltd ‡ | 18,400 | 39 | ||||||
Techtronic Industries Co Ltd | 4,001 | 38 | ||||||
WH Group Ltd | 85,329 | 54 | ||||||
Xinyi Glass Holdings Ltd | 30,000 | 43 | ||||||
4,351 | ||||||||
Ireland — 0.0% | ||||||||
CRH PLC | 3,263 | 105 | ||||||
Flutter Entertainment PLC * | 818 | 90 | ||||||
James Hardie Industries PLC | 2,747 | 54 | ||||||
Kerry Group PLC, Cl A | 4,887 | 436 | ||||||
685 | ||||||||
Israel — 0.0% | ||||||||
Azrieli Group Ltd ‡ | 746 | 51 | ||||||
Bank Leumi Le-Israel BM | 7,501 | 64 | ||||||
Elbit Systems Ltd | 167 | 32 | ||||||
Nice Ltd * | 443 | 84 | ||||||
Teva Pharmaceutical Industries Ltd ADR * | 63,840 | 515 | ||||||
Wix.com Ltd * | 1,024 | 80 | ||||||
826 | ||||||||
Italy — 0.1% | ||||||||
Amplifon SpA | 2,640 | 69 | ||||||
Atlantia SpA | 3,095 | 68 | ||||||
CNH Industrial NV | 1,935 | 22 | ||||||
Davide Campari-Milano NV | 7,301 | 65 | ||||||
DiaSorin SpA | 523 | 58 | ||||||
Ferrari NV | 737 | 137 | ||||||
FinecoBank Banca Fineco | 2,444 | 30 | ||||||
Infrastrutture Wireless Italiane SpA | 3,110 | 27 | ||||||
Intesa Sanpaolo SpA | 23,072 | 38 | ||||||
Moncler SpA | 2,825 | 115 | ||||||
Nexi SpA * | 17,114 | 138 | ||||||
Poste Italiane SpA | 8,102 | 61 | ||||||
Prysmian SpA | 1,571 | 45 | ||||||
Recordati Industria Chimica e Farmaceutica SpA | 2,099 | 77 | ||||||
Stellantis NV | 6,352 | 75 | ||||||
Terna - Rete Elettrica Nazionale | 14,047 | 86 |
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
UniCredit SpA | 3,777 | $ | 38 | |||||
1,149 | ||||||||
Japan — 0.8% | ||||||||
Advantest Corp | 600 | 28 | ||||||
Aeon Co Ltd, Cl H | 5,400 | 101 | ||||||
Aisin Corp | 1,500 | 39 | ||||||
Ajinomoto Co Inc | 8,000 | 219 | ||||||
ANA Holdings Inc | 3,500 | 66 | ||||||
Asahi Group Holdings Ltd | 2,400 | 75 | ||||||
Asahi Intecc Co Ltd | 2,900 | 46 | ||||||
Asahi Kasei Corp | 4,200 | 28 | ||||||
Astellas Pharma Inc | 6,600 | 87 | ||||||
Bandai Namco Holdings Inc | 1,500 | 98 | ||||||
Brother Industries Ltd | 3,100 | 54 | ||||||
Canon Inc | 5,200 | 114 | ||||||
Capcom Co Ltd | 4,100 | 103 | ||||||
Central Japan Railway Co | 600 | 70 | ||||||
Chiba Bank Ltd/The, Cl B | 7,300 | 40 | ||||||
Chubu Electric Power Co Inc | 50,000 | 450 | ||||||
Chugai Pharmaceutical Co Ltd | 2,500 | 62 | ||||||
Concordia Financial Group Ltd | 15,100 | 47 | ||||||
CyberAgent Inc | 5,200 | 44 | ||||||
Dai Nippon Printing Co Ltd | 3,300 | 66 | ||||||
Daifuku Co Ltd | 700 | 33 | ||||||
Dai-ichi Life Holdings Inc | 2,300 | 37 | ||||||
Daiichi Sankyo Co Ltd | 2,400 | 67 | ||||||
Daito Trust Construction Co Ltd | 900 | 84 | ||||||
Daiwa House Industry Co Ltd ‡ | 1,300 | 26 | ||||||
Daiwa House Investment Corp ‡ | 42 | 88 | ||||||
Dentsu Group Inc | 1,500 | 43 | ||||||
Disco Corp | 200 | 44 | ||||||
East Japan Railway Co | 1,200 | 61 | ||||||
Eisai Co Ltd | 1,400 | 75 | ||||||
ENEOS Holdings Inc | 332,300 | 1,072 | ||||||
FUJIFILM Holdings Corp | 1,700 | 78 | ||||||
Fujitsu Ltd | 400 | 44 | ||||||
GLP J-Reit ‡ | 44 | 49 | ||||||
GMO Payment Gateway Inc | 400 | 27 | ||||||
Hakuhodo DY Holdings Inc | 5,800 | 41 | ||||||
Hankyu Hanshin Holdings Inc | 3,600 | 108 | ||||||
Hirose Electric Co Ltd | 682 | 89 | ||||||
Hitachi Construction Machinery Co Ltd | 3,100 | 58 | ||||||
Hitachi Metals Ltd | 3,300 | 50 | ||||||
Hoya Corp | 500 | 48 | ||||||
Ibiden Co Ltd | 1,500 | 41 | ||||||
Idemitsu Kosan Co Ltd | 49,898 | 1,084 | ||||||
Iida Group Holdings Co Ltd | 3,400 | 46 | ||||||
Inpex Corp | 96,200 | 897 | ||||||
Ito En Ltd | 2,000 | 81 | ||||||
ITOCHU Corp | 3,700 | 89 | ||||||
Itochu Techno-Solutions Corp | 2,800 | 66 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
287
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Accumulation Fund (Continued)
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Japan Metropolitan Fund Invest, Cl A ‡ | 64 | $ | 48 | |||||
Japan Post Bank Co Ltd | 14,500 | 101 | ||||||
Japan Post Holdings Co Ltd | 13,200 | 87 | ||||||
Japan Real Estate Investment Corp ‡ | 12 | 49 | ||||||
Japan Tobacco Inc | 6,700 | 110 | ||||||
JFE Holdings Inc | 5,400 | 50 | ||||||
JSR Corp | 1,900 | 36 | ||||||
Kakaku.com Inc | 2,300 | 39 | ||||||
Kansai Electric Power Co Inc/The | 67,900 | 568 | ||||||
Kao Corp | 1,800 | 73 | ||||||
KDDI Corp | 6,500 | 190 | ||||||
Keio Corp | 2,500 | 91 | ||||||
Kikkoman Corp | 900 | 51 | ||||||
Kintetsu Group Holdings Co Ltd | 4,000 | 133 | ||||||
Kirin Holdings Co Ltd | 4,100 | 63 | ||||||
Kobayashi Pharmaceutical Co Ltd | 1,100 | 64 | ||||||
Kobe Bussan Co Ltd | 2,600 | 63 | ||||||
Koei Tecmo Holdings Co Ltd | 4,360 | 72 | ||||||
Komatsu Ltd | 4,100 | 75 | ||||||
Konami Group Corp | 1,600 | 74 | ||||||
Kose Corp | 1,000 | 103 | ||||||
Kubota Corp | 3,100 | 43 | ||||||
Kyocera Corp | 1,500 | 76 | ||||||
Kyowa Kirin Co Ltd | 4,100 | 94 | ||||||
Lasertec Corp | 200 | 20 | ||||||
Lixil Corp | 2,000 | 29 | ||||||
M3 Inc | 1,900 | 53 | ||||||
Marubeni Corp | 7,100 | 62 | ||||||
McDonald's Holdings Co Japan Ltd | 5,223 | 182 | ||||||
MEIJI Holdings Co Ltd | 2,400 | 106 | ||||||
Mitsubishi Chemical Group Corp, Cl B | 8,100 | 37 | ||||||
Mitsui Fudosan Co Ltd ‡ | 2,500 | 48 | ||||||
MonotaRO Co Ltd | 2,000 | 31 | ||||||
Murata Manufacturing Co Ltd | 700 | 32 | ||||||
NEC Corp | 1,400 | 45 | ||||||
Nexon Co Ltd | 3,800 | 67 | ||||||
Nintendo Co Ltd | 2,040 | 82 | ||||||
Nippon Building Fund Inc ‡ | 13 | 57 | ||||||
Nippon Paint Holdings Co Ltd | 5,400 | 36 | ||||||
Nippon Prologis Inc ‡ | 40 | 88 | ||||||
Nippon Sanso Holdings Corp | 2,600 | 41 | ||||||
Nippon Shinyaku Co Ltd | 1,500 | 76 | ||||||
Nippon Steel Corp | 4,300 | 60 | ||||||
Nippon Telegraph & Telephone Corp | 7,400 | 200 | ||||||
Nippon Yusen KK | 900 | 15 | ||||||
Nissan Chemical Corp | 1,800 | 80 | ||||||
Nisshin Seifun Group Inc | 4,815 | 49 | ||||||
Nissin Foods Holdings Co Ltd | 2,000 | 139 | ||||||
Nitori Holdings | 600 | 50 | ||||||
Nomura Holdings Inc | 12,000 | 40 | ||||||
Nomura Real Estate Master Fund Inc ‡ | 44 | 49 | ||||||
Nomura Research Institute Ltd | 1,434 | 35 |
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
NTT Data Corp | 3,400 | $ | 44 | |||||
Obic Co Ltd | 400 | 54 | ||||||
Odakyu Electric Railway Co Ltd | 3,500 | 45 | ||||||
Oji Holdings Corp | 14,000 | 52 | ||||||
Olympus Corp | 3,600 | 69 | ||||||
Omron Corp, Cl JP | 700 | 32 | ||||||
Ono Pharmaceutical Co Ltd | 3,700 | 86 | ||||||
Oracle Corp Japan | 1,200 | 64 | ||||||
Oriental Land Co Ltd/Japan | 600 | 81 | ||||||
ORIX Corp | 3,400 | 48 | ||||||
Osaka Gas Co Ltd | 40,900 | 617 | ||||||
Otsuka Corp | 2,000 | 62 | ||||||
Otsuka Holdings Co Ltd | 2,600 | 82 | ||||||
Pan Pacific International Holdings Corp | 12,400 | 219 | ||||||
Panasonic Holdings Corp | 10,200 | 72 | ||||||
Rakuten Group Inc | 7,600 | 32 | ||||||
Renesas Electronics Corp * | 4,800 | 40 | ||||||
Ricoh Co Ltd | 5,000 | 37 | ||||||
Rohm Co Ltd | 700 | 46 | ||||||
SBI Holdings Inc/Japan | 2,400 | 43 | ||||||
SCSK Corp | 3,600 | 54 | ||||||
Secom Co Ltd | 1,100 | 63 | ||||||
Seiko Epson Corp | 2,500 | 34 | ||||||
Seven & i Holdings Co Ltd | 3,600 | 145 | ||||||
Sharp Corp/Japan | 4,700 | 28 | ||||||
Shimadzu Corp | 2,300 | 60 | ||||||
Shimano Inc | 400 | 63 | ||||||
Shionogi & Co Ltd | 1,600 | 77 | ||||||
Shiseido Co Ltd | 1,900 | 67 | ||||||
Shizuoka Bank Ltd/The | 12,000 | 74 | ||||||
SoftBank Corp | 14,200 | 142 | ||||||
SoftBank Group Corp | 900 | 30 | ||||||
Sompo Holdings Inc | 2,100 | 84 | ||||||
Sony Group Corp | 800 | 51 | ||||||
Square Enix Holdings Co Ltd | 1,400 | 60 | ||||||
Subaru Corp | 3,700 | 56 | ||||||
SUMCO Corp | 3,000 | 35 | ||||||
Sumitomo Chemical Co Ltd | 39,700 | 137 | ||||||
Sumitomo Corp | 6,500 | 80 | ||||||
Sumitomo Metal Mining Co Ltd | 1,000 | 29 | ||||||
Suntory Beverage & Food Ltd | 3,500 | 125 | ||||||
Sysmex Corp | 1,000 | 53 | ||||||
T&D Holdings Inc | 4,600 | 44 | ||||||
Taisei Corp | 1,900 | 53 | ||||||
Takeda Pharmaceutical Co Ltd | 4,318 | 112 | ||||||
TDK Corp | 1,500 | 46 | ||||||
Terumo Corp | 2,800 | 79 | ||||||
TIS Inc | 3,300 | 88 | ||||||
Tobu Railway Co Ltd | 5,000 | 118 | ||||||
Toho Co Ltd/Tokyo | 3,600 | 131 | ||||||
Tokio Marine Holdings Inc | 6,900 | 123 | ||||||
Tokyo Electric Power Co Holdings Inc * | 104,000 | 332 |
288
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Tokyo Electron Ltd | 100 | $ | 25 | |||||
Tokyo Gas Co Ltd | 61,800 | 1,043 | ||||||
Tokyu Corp | 7,000 | 80 | ||||||
Toray Industries Inc | 10,000 | 49 | ||||||
Toyota Industries Corp | 700 | 33 | ||||||
Toyota Motor Corp | 8,800 | 115 | ||||||
Trend Micro Inc/Japan | 1,000 | 54 | ||||||
Unicharm Corp | 5,000 | 164 | ||||||
Welcia Holdings Co Ltd | 5,700 | 120 | ||||||
Yakult Honsha Co Ltd | 2,100 | 122 | ||||||
Yamaha Corp | 1,100 | 39 | ||||||
Yamato Holdings Co Ltd | 2,500 | 38 | ||||||
Yaskawa Electric Corp | 1,400 | 40 | ||||||
Yokogawa Electric Corp | 3,700 | 58 | ||||||
Z Holdings Corp | 17,700 | 47 | ||||||
ZOZO Inc | 1,800 | 36 | ||||||
17,086 | ||||||||
Jordan — 0.0% | ||||||||
Hikma Pharmaceuticals PLC | 6,315 | 95 | ||||||
Luxembourg — 0.0% | ||||||||
Eurofins Scientific SE | 880 | 52 | ||||||
Netherlands — 0.1% | ||||||||
ABN AMRO Bank NV | 5,808 | 52 | ||||||
Adyen NV * | 65 | 81 | ||||||
Aegon NV | 14,434 | 57 | ||||||
Akzo Nobel NV | 725 | 41 | ||||||
ArcelorMittal SA | 2,187 | 43 | ||||||
ASM International NV | 322 | 72 | ||||||
ASML Holding NV | 209 | 87 | ||||||
Heineken Holding NV | 1,929 | 132 | ||||||
Heineken NV | 1,761 | 154 | ||||||
ING Groep NV | 6,781 | 58 | ||||||
JDE Peet's NV | 6,548 | 191 | ||||||
Just Eat Takeaway.com NV * | 2,362 | 37 | ||||||
Koninklijke Ahold Delhaize NV | 6,728 | 171 | ||||||
Koninklijke DSM NV | 490 | 56 | ||||||
Koninklijke KPN NV | 43,321 | 117 | ||||||
Koninklijke Philips NV | 3,809 | 59 | ||||||
OCI NV | 1,649 | 60 | ||||||
Prosus NV | 898 | 47 | ||||||
Universal Music Group NV | 1,614 | 30 | ||||||
Wolters Kluwer NV | 1,366 | 133 | ||||||
1,678 | ||||||||
New Zealand — 0.0% | ||||||||
Auckland International Airport Ltd * | 12,197 | 49 | ||||||
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Norway — 0.0% | ||||||||
Aker BP ASA | 18,424 | $ | 528 | |||||
Singapore — 0.1% | ||||||||
Ascendas Real Estate Investment Trust ‡ | 17,600 | 33 | ||||||
Capitaland Investment Ltd/Singapore ‡ | 15,100 | 36 | ||||||
City Developments Ltd ‡ | 7,600 | 40 | ||||||
Jardine Matheson Holdings Ltd | 764 | 39 | ||||||
Oversea-Chinese Banking Corp Ltd | 4,100 | 34 | ||||||
Sea Ltd ADR * | 6,566 | 368 | ||||||
Singapore Airlines Ltd | 3,500 | 12 | ||||||
Singapore Exchange Ltd | 7,100 | 46 | ||||||
Singapore Technologies Engineering Ltd | 8,700 | 22 | ||||||
Singapore Telecommunications Ltd | 541,800 | 1,001 | ||||||
1,631 | ||||||||
South Africa — 0.0% | ||||||||
Anglo American PLC | 2,355 | 71 | ||||||
South Korea — 0.0% | ||||||||
Delivery Hero SE * | 1,113 | 41 | ||||||
Spain — 0.0% | ||||||||
ACS Actividades de Construccion y Servicios SA | 1,954 | 44 | ||||||
Aena SME SA * | 513 | 53 | ||||||
Banco Santander SA | 14,314 | 33 | ||||||
CaixaBank SA | 13,416 | 43 | ||||||
Enagas SA | 3,003 | 47 | ||||||
Ferrovial SA | 2,453 | 56 | ||||||
Grifols SA * | 6,579 | 57 | ||||||
Iberdrola SA | 4,859 | 45 | ||||||
Industria de Diseno Textil SA | 6,929 | 143 | ||||||
Red Electrica Corp SA | 1,523 | 23 | ||||||
Siemens Gamesa Renewable Energy SA | 3,174 | 55 | ||||||
599 | ||||||||
Sweden — 0.2% | ||||||||
Atlas Copco AB, Cl A | 1,380 | 13 | ||||||
Boliden AB | 2,335 | 72 | ||||||
Electrolux AB, Cl B | 1,693 | 18 | ||||||
Embracer Group AB, Cl B * | 119,439 | 708 | ||||||
EQT AB | 570 | 11 | ||||||
Essity AB, Cl B | 1,340 | 26 | ||||||
Getinge AB, Cl B | 3,429 | 59 | ||||||
H & M Hennes & Mauritz AB, Cl B | 2,264 | 21 | ||||||
Hexagon AB, Cl B | 6,475 | 60 | ||||||
Kinnevik AB, Cl B * | 1,565 | 20 | ||||||
Nordea Bank Abp, Cl A | 6,982 | 60 | ||||||
Skandinaviska Enskilda Banken AB, Cl A | 5,484 | 52 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
289
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Accumulation Fund (Continued)
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Svenska Cellulosa AB SCA, Cl B | 4,559 | $ | 58 | |||||
Svenska Handelsbanken AB, Cl A | 7,194 | 59 | ||||||
Swedbank AB, Cl A | 3,925 | 52 | ||||||
Swedish Match AB | 5,342 | 53 | ||||||
Swedish Orphan Biovitrum AB * | 5,208 | 101 | ||||||
Tele2 AB, Cl B | 94,018 | 811 | ||||||
Telia Co AB | 328,546 | 946 | ||||||
3,200 | ||||||||
Switzerland — 0.2% | ||||||||
Adecco Group AG | 1,187 | 33 | ||||||
Alcon Inc | 2,354 | 137 | ||||||
Bachem Holding, Cl B | 1,868 | 118 | ||||||
Baloise Holding AG | 496 | 63 | ||||||
Barry Callebaut AG | 104 | 197 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 1 | 100 | ||||||
Cie Financiere Richemont SA, Cl A | 745 | 70 | ||||||
Clariant AG | 2,005 | 32 | ||||||
Credit Suisse Group | 4,390 | 17 | ||||||
Geberit AG | 215 | 92 | ||||||
Givaudan SA | 26 | 79 | ||||||
Holcim AG | 1,540 | 63 | ||||||
Logitech International SA | 1,488 | 68 | ||||||
Lonza Group AG | 296 | 144 | ||||||
Nestle SA | 1,850 | 201 | ||||||
Novartis AG | 1,266 | 97 | ||||||
Partners Group Holding AG | 76 | 61 | ||||||
Roche Holding AG | 484 | 190 | ||||||
Schindler Holding AG | 179 | 27 | ||||||
SGS SA, Cl B | 41 | 88 | ||||||
Sika AG | 195 | 39 | ||||||
Sonova Holding AG | 526 | 116 | ||||||
Straumann Holding AG | 960 | 88 | ||||||
Swatch Group AG/The, Cl B | 251 | 57 | ||||||
Swiss Life Holding AG | 180 | 80 | ||||||
Swiss Prime Site AG ‡ | 588 | 47 | ||||||
Swisscom AG | 2,529 | 1,187 | ||||||
Temenos AG | 836 | 56 | ||||||
UBS Group AG | 4,371 | 64 | ||||||
Zurich Insurance Group AG | 87 | 35 | ||||||
3,646 | ||||||||
United Kingdom — 0.3% | ||||||||
Admiral Group PLC | 2,390 | 51 | ||||||
Antofagasta PLC | 6,096 | 75 | ||||||
Associated British Foods PLC | 7,753 | 108 | ||||||
AstraZeneca PLC | 1,035 | 114 | ||||||
AVEVA Group PLC | 2,005 | 69 | ||||||
Barratt Developments PLC | 6,905 | 26 | ||||||
Berkeley Group Holdings PLC | 1,223 | 45 | ||||||
BP PLC | 166,963 | 798 | ||||||
British American Tobacco PLC | 4,565 | 164 |
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
BT Group PLC, Cl A | 16,376 | $ | 22 | |||||
Bunzl PLC | 3,000 | 92 | ||||||
Burberry Group PLC | 2,683 | 54 | ||||||
Coca-Cola Europacific Partners PLC | 4,019 | 171 | ||||||
Coca-Cola HBC AG | 4,673 | 98 | ||||||
Compass Group PLC | 3,169 | 63 | ||||||
DCC PLC | 732 | 38 | ||||||
Diageo PLC | 2,888 | 122 | ||||||
Experian PLC | 1,157 | 34 | ||||||
GSK PLC | 4,891 | 71 | ||||||
Haleon * | 18,957 | 59 | ||||||
Halma PLC | 5,482 | 123 | ||||||
Hargreaves Lansdown PLC | 4,638 | 44 | ||||||
HSBC Holdings PLC | 17,725 | 92 | ||||||
Imperial Brands PLC | 5,956 | 122 | ||||||
Informa PLC | 4,973 | 28 | ||||||
InterContinental Hotels Group PLC | 861 | 41 | ||||||
J Sainsbury PLC | 54,025 | 105 | ||||||
Johnson Matthey PLC | 2,742 | 55 | ||||||
Kingfisher PLC | 15,739 | 38 | ||||||
Kingspan Group PLC | 608 | 27 | ||||||
Land Securities Group PLC | 4,420 | 26 | ||||||
Linde PLC | 660 | 178 | ||||||
London Stock Exchange Group PLC | 585 | 49 | ||||||
Mondi PLC | 5,822 | 89 | ||||||
National Grid PLC | 16,672 | 172 | ||||||
NMC Health PLC * | 12,179 | — | ||||||
Ocado Group PLC * | 7,660 | 40 | ||||||
Pearson PLC | 4,394 | 42 | ||||||
Pentair PLC | 1,382 | 56 | ||||||
Persimmon PLC | 1,207 | 16 | ||||||
Phoenix Group Holdings PLC | 7,887 | 46 | ||||||
Prudential PLC | 1,980 | 19 | ||||||
Reckitt Benckiser Group PLC | 1,269 | 84 | ||||||
RELX PLC | 3,034 | 74 | ||||||
Rentokil Initial PLC | 12,011 | 64 | ||||||
Rolls-Royce Holdings PLC * | 19,553 | 15 | ||||||
Sage Group PLC/The | 12,410 | 96 | ||||||
Segro PLC ‡ | 3,917 | 33 | ||||||
Severn Trent PLC | 3,984 | 104 | ||||||
Shell PLC | 32,193 | 798 | ||||||
Smith & Nephew PLC | 7,784 | 90 | ||||||
Smiths Group PLC | 3,056 | 51 | ||||||
Smurfit Kappa Group PLC | 3,889 | 111 | ||||||
SSE PLC | 6,499 | 110 | ||||||
Tesco PLC | 17,126 | 39 | ||||||
Unilever PLC | 702 | 31 | ||||||
United Utilities Group PLC, Cl B | 16,150 | 159 | ||||||
Whitbread PLC | 1,289 | 33 | ||||||
5,574 | ||||||||
290
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
United States — 0.0% | ||||||||
Accenture PLC, Cl A | 286 | $ | 73 | |||||
Allegion PLC | 654 | 58 | ||||||
Amcor PLC | 16,032 | 172 | ||||||
Aon PLC, Cl A | 234 | 63 | ||||||
Aptiv PLC * | 853 | 67 | ||||||
Eaton Corp PLC | 402 | 54 | ||||||
Johnson Controls International plc | 3,007 | 148 | ||||||
Medtronic PLC | 1,787 | 144 | ||||||
Trane Technologies PLC | 641 | 93 | ||||||
872 | ||||||||
Total Foreign Common Stock | ||||||||
(Cost $67,880) ($ Thousands) | 59,852 | |||||||
COMMON STOCK — 2.7% | ||||||||
Communication Services — 0.3% | ||||||||
Activision Blizzard Inc | 2,968 | 221 | ||||||
Alphabet Inc, Cl A * | 2,300 | 220 | ||||||
AT&T Inc | 21,541 | 331 | ||||||
Charter Communications Inc, Cl A * | 386 | 117 | ||||||
Comcast Corp, Cl A | 5,273 | 155 | ||||||
DISH Network Corp, Cl A * | 9,866 | 136 | ||||||
Electronic Arts Inc | 2,309 | 267 | ||||||
Fox Corp, Cl B | 7,570 | 216 | ||||||
Interpublic Group of Cos Inc/The | 7,556 | 193 | ||||||
Live Nation Entertainment Inc * | 2,510 | 191 | ||||||
Lumen Technologies Inc | 36,323 | 264 | ||||||
Match Group Inc * | 3,749 | 179 | ||||||
Meta Platforms Inc, Cl A * | 1,292 | 175 | ||||||
Netflix Inc * | 572 | 135 | ||||||
News Corp, Cl B | 12,829 | 198 | ||||||
Omnicom Group Inc | 3,054 | 193 | ||||||
Paramount Global, Cl B | 10,617 | 202 | ||||||
Take-Two Interactive Software Inc, Cl A * | 2,112 | 230 | ||||||
T-Mobile US Inc * | 2,725 | 366 | ||||||
Twitter Inc * | 6,607 | 290 | ||||||
Verizon Communications Inc | 10,486 | 398 | ||||||
Walt Disney Co/The * | 1,666 | 157 | ||||||
Warner Bros Discovery Inc * | 12,559 | 144 | ||||||
4,978 | ||||||||
Consumer Discretionary — 0.2% | ||||||||
Advance Auto Parts Inc | 554 | 87 | ||||||
Amazon.com Inc, Cl A * | 920 | 104 | ||||||
AutoZone Inc * | 63 | 135 | ||||||
Bath & Body Works Inc | 2,693 | 88 | ||||||
Best Buy Co Inc | 1,132 | 72 | ||||||
Booking Holdings Inc * | 47 | 77 | ||||||
BorgWarner Inc | 2,489 | 78 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
CarMax Inc * | 933 | $ | 62 | |||||
Chipotle Mexican Grill Inc, Cl A * | 60 | 90 | ||||||
Darden Restaurants Inc | 800 | 101 | ||||||
Dollar General Corp | 528 | 127 | ||||||
Dollar Tree Inc * | 910 | 124 | ||||||
Domino's Pizza Inc | 229 | 71 | ||||||
DR Horton Inc | 1,517 | 102 | ||||||
eBay Inc | 2,264 | 83 | ||||||
Etsy Inc * | 824 | 83 | ||||||
Expedia Group Inc * | 847 | 79 | ||||||
Garmin Ltd | 1,316 | 106 | ||||||
General Motors Co | 2,191 | 70 | ||||||
Hasbro Inc | 959 | 65 | ||||||
Hilton Worldwide Holdings Inc | 1,035 | 125 | ||||||
Home Depot Inc/The | 344 | 95 | ||||||
Las Vegas Sands Corp * | 3,108 | 117 | ||||||
Lennar Corp, Cl A | 1,120 | 84 | ||||||
LKQ Corp | 2,394 | 113 | ||||||
Lowe's Cos Inc | 598 | 112 | ||||||
Marriott International Inc/MD, Cl A | 453 | 63 | ||||||
McDonald's Corp | 446 | 103 | ||||||
MGM Resorts International | 2,528 | 75 | ||||||
Mohawk Industries Inc * | 714 | 65 | ||||||
Newell Brands Inc, Cl B | 4,778 | 66 | ||||||
NIKE Inc, Cl B | 913 | 76 | ||||||
O'Reilly Automotive Inc * | 186 | 131 | ||||||
Penn EntertainmentInc * | 2,062 | 57 | ||||||
PVH Corp | 1,266 | 57 | ||||||
Ralph Lauren Corp, Cl A | 835 | 71 | ||||||
Ross Stores Inc | 1,391 | 117 | ||||||
Royal Caribbean Cruises Ltd * | 2,081 | 79 | ||||||
Starbucks Corp | 1,082 | 91 | ||||||
Tapestry Inc | 2,823 | 80 | ||||||
Target Corp, Cl A | 683 | 101 | ||||||
Tesla Inc * | 237 | 63 | ||||||
TJX Cos Inc/The | 1,988 | 123 | ||||||
Tractor Supply Co | 712 | 132 | ||||||
Ulta Beauty Inc * | 252 | 101 | ||||||
VF Corp | 2,239 | 67 | ||||||
Whirlpool Corp | 588 | 79 | ||||||
Wynn Resorts Ltd * | 1,214 | 77 | ||||||
Yum! Brands Inc | 926 | 98 | ||||||
4,422 | ||||||||
Consumer Staples — 0.4% | ||||||||
Altria Group Inc | 5,478 | 221 | ||||||
Archer-Daniels-Midland Co | 2,936 | 236 | ||||||
Brown-Forman Corp, Cl B | 2,289 | 152 | ||||||
Campbell Soup Co | 7,410 | 349 | ||||||
Church & Dwight Co Inc | 2,519 | 180 | ||||||
Clorox Co/The | 1,236 | 159 | ||||||
Coca-Cola Co/The | 3,032 | 170 | ||||||
Colgate-Palmolive Co | 3,689 | 259 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
291
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Accumulation Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Conagra Brands Inc | 7,947 | $ | 259 | |||||
Constellation Brands Inc, Cl A | 1,139 | 262 | ||||||
Costco Wholesale Corp | 479 | 226 | ||||||
Estee Lauder Cos Inc/The, Cl A | 852 | 184 | ||||||
General Mills Inc | 5,970 | 457 | ||||||
Hershey Co/The | 1,347 | 297 | ||||||
Hormel Foods Corp | 6,752 | 307 | ||||||
J M Smucker Co/The | 2,772 | 381 | ||||||
Kellogg Co | 4,858 | 339 | ||||||
Kimberly-Clark Corp | 2,081 | 234 | ||||||
Kraft Heinz Co/The | 8,225 | 274 | ||||||
Kroger Co/The | 4,435 | 194 | ||||||
Lamb Weston Holdings Inc | 2,378 | 184 | ||||||
McCormick & Co Inc/MD | 3,295 | 235 | ||||||
Molson Coors Beverage Co, Cl B | 3,119 | 150 | ||||||
Mondelez International Inc, Cl A | 3,684 | 202 | ||||||
Monster Beverage Corp * | 3,145 | 274 | ||||||
PepsiCo Inc | 1,095 | 179 | ||||||
Philip Morris International Inc | 2,561 | 213 | ||||||
Procter & Gamble Co/The | 2,075 | 262 | ||||||
Sysco Corp, Cl A | 2,494 | 176 | ||||||
Tyson Foods Inc, Cl A | 2,695 | 178 | ||||||
Walgreens Boots Alliance Inc | 4,466 | 140 | ||||||
Walmart Inc | 1,137 | 147 | ||||||
7,480 | ||||||||
Energy — 0.2% | ||||||||
Baker Hughes Co, Cl A | 6,778 | 142 | ||||||
Chevron Corp | 1,696 | 244 | ||||||
ConocoPhillips | 2,608 | 267 | ||||||
Coterra Energy Inc | 9,055 | 237 | ||||||
Diamondback Energy Inc, Cl A | 1,554 | 187 | ||||||
EOG Resources Inc | 2,103 | 235 | ||||||
Exxon Mobil Corp | 3,328 | 290 | ||||||
Halliburton Co | 5,813 | 143 | ||||||
Hess Corp | 3,016 | 329 | ||||||
Kinder Morgan Inc | 11,252 | 187 | ||||||
Marathon Petroleum Corp | 2,992 | 297 | ||||||
Occidental Petroleum Corp | 5,199 | 320 | ||||||
ONEOK Inc | 3,697 | 189 | ||||||
Phillips 66 | 2,119 | 171 | ||||||
Pioneer Natural Resources Co | 950 | 206 | ||||||
Schlumberger NV, Cl A | 4,748 | 170 | ||||||
Valero Energy Corp | 2,323 | 248 | ||||||
Williams Cos Inc/The | 6,562 | 188 | ||||||
4,050 | ||||||||
Financials — 0.2% | ||||||||
Allstate Corp/The | 963 | 120 | ||||||
Ameriprise Financial Inc | 353 | 89 | ||||||
Arthur J Gallagher & Co | 347 | 59 | ||||||
Assurant Inc | 976 | 142 | ||||||
Bank of America Corp | 1,442 | 43 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Bank of New York Mellon Corp/The | 1,593 | $ | 61 | |||||
BlackRock Inc | 75 | 41 | ||||||
Capital One Financial Corp | 280 | 26 | ||||||
Cboe Global Markets Inc | 436 | 51 | ||||||
Charles Schwab Corp/The | 1,056 | 76 | ||||||
Chubb Ltd | 281 | 51 | ||||||
Cincinnati Financial Corp | 502 | 45 | ||||||
Citigroup Inc | 1,014 | 42 | ||||||
Discover Financial Services | 794 | 72 | ||||||
Eversource Energy | 4,311 | 336 | ||||||
Fifth Third Bancorp | 2,376 | 76 | ||||||
Franklin Resources Inc | 2,773 | 60 | ||||||
Globe Life Inc | 870 | 87 | ||||||
Goldman Sachs Group Inc/The | 156 | 46 | ||||||
Hartford Financial Services Group Inc/The | 671 | 42 | ||||||
Huntington Bancshares Inc/OH | 2,954 | 39 | ||||||
Intercontinental Exchange Inc | 482 | 43 | ||||||
Invesco Ltd | 3,850 | 53 | ||||||
JPMorgan Chase & Co | 293 | 31 | ||||||
KeyCorp | 2,956 | 47 | ||||||
Loews Corp | 1,583 | 79 | ||||||
M&T Bank Corp | 1,522 | 268 | ||||||
MarketAxess Holdings Inc | 257 | 57 | ||||||
Marsh & McLennan Cos Inc | 634 | 95 | ||||||
MetLife Inc | 351 | 21 | ||||||
Morgan Stanley | 1,357 | 107 | ||||||
MSCI Inc, Cl A | 231 | 97 | ||||||
Nasdaq Inc, Cl A | 1,104 | 63 | ||||||
Northern Trust Corp | 370 | 32 | ||||||
PNC Financial Services Group Inc/The | 607 | 91 | ||||||
Principal Financial Group Inc, Cl A | 1,498 | 108 | ||||||
Progressive Corp/The | 529 | 62 | ||||||
Prudential Financial Inc | 736 | 63 | ||||||
Raymond James Financial Inc | 1,314 | 130 | ||||||
Regions Financial Corp | 3,285 | 66 | ||||||
S&P Global Inc | 277 | 85 | ||||||
State Street Corp | 770 | 47 | ||||||
SVB Financial Group, Cl B * | 177 | 59 | ||||||
Synchrony Financial | 2,695 | 76 | ||||||
T Rowe Price Group Inc | 327 | 34 | ||||||
Travelers Cos Inc/The | 290 | 44 | ||||||
US Bancorp | 2,336 | 94 | ||||||
Wells Fargo & Co | 1,682 | 68 | ||||||
Willis Towers Watson PLC | 490 | 99 | ||||||
3,723 | ||||||||
Health Care — 0.3% | ||||||||
Abbott Laboratories | 1,268 | 123 | ||||||
AbbVie Inc | 968 | 130 | ||||||
ABIOMED Inc * | 422 | 104 | ||||||
Agilent Technologies Inc | 1,033 | 126 | ||||||
Align Technology Inc * | 294 | 61 | ||||||
AmerisourceBergen Corp, Cl A | 593 | 80 |
292
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Amgen Inc, Cl A | 646 | $ | 146 | |||||
Baxter International Inc | 1,597 | 86 | ||||||
Becton Dickinson and Co | 396 | 88 | ||||||
Biogen Inc * | 485 | 129 | ||||||
Bio-Rad Laboratories Inc, Cl A * | 142 | 59 | ||||||
Boston Scientific Corp * | 2,255 | 87 | ||||||
Bristol-Myers Squibb Co | 1,520 | 108 | ||||||
Cardinal Health Inc | 1,236 | 82 | ||||||
Catalent Inc * | 1,309 | 95 | ||||||
Centene Corp * | 1,160 | 90 | ||||||
Cigna Corp | 365 | 101 | ||||||
Cooper Cos Inc/The, Cl A | 391 | 103 | ||||||
CVS Health Corp | 1,342 | 128 | ||||||
Danaher Corp, Cl A | 606 | 157 | ||||||
DENTSPLY SIRONA Inc | 2,914 | 83 | ||||||
Dexcom Inc * | 860 | 69 | ||||||
Edwards Lifesciences Corp, Cl A * | 1,150 | 95 | ||||||
Elevance Health Inc | 269 | 122 | ||||||
Eli Lilly & Co | 431 | 139 | ||||||
Gilead Sciences Inc | 1,887 | 116 | ||||||
HCA Healthcare Inc | 406 | 75 | ||||||
Henry Schein Inc * | 1,495 | 98 | ||||||
Hologic Inc * | 1,195 | 77 | ||||||
Humana Inc | 212 | 103 | ||||||
IDEXX Laboratories Inc * | 289 | 94 | ||||||
Illumina Inc * | 448 | 85 | ||||||
Incyte Corp * | 1,380 | 92 | ||||||
Intuitive Surgical Inc * | 390 | 73 | ||||||
Johnson & Johnson | 1,720 | 281 | ||||||
Laboratory Corp of America Holdings | 675 | 138 | ||||||
McKesson Corp | 525 | 178 | ||||||
Merck & Co Inc | 1,941 | 167 | ||||||
Mettler-Toledo International Inc * | 80 | 87 | ||||||
Moderna Inc * | 589 | 70 | ||||||
Neogen Corp, Cl B * | 7 | — | ||||||
Organon & Co | 3,618 | 85 | ||||||
PerkinElmer Inc | 728 | 88 | ||||||
Pfizer Inc | 2,320 | 102 | ||||||
Quest Diagnostics Inc | 658 | 81 | ||||||
Regeneron Pharmaceuticals Inc * | 259 | 178 | ||||||
ResMed Inc | 487 | 106 | ||||||
Stryker Corp | 526 | 107 | ||||||
Thermo Fisher Scientific Inc | 120 | 61 | ||||||
UnitedHealth Group Inc | 200 | 101 | ||||||
Universal Health Services Inc, Cl B | 971 | 86 | ||||||
Vertex Pharmaceuticals Inc * | 617 | 179 | ||||||
Viatris Inc, Cl W * | 12,206 | 104 | ||||||
Waters Corp * | 259 | 70 | ||||||
West Pharmaceutical Services Inc | 276 | 68 | ||||||
Zimmer Biomet Holdings Inc | 1,053 | 110 | ||||||
Zoetis Inc, Cl A | 653 | 97 | ||||||
5,948 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Industrials — 0.2% | ||||||||
3M Co | 563 | $ | 62 | |||||
A O Smith Corp | 980 | 48 | ||||||
Alaska Air Group Inc * | 1,425 | 56 | ||||||
AMETEK Inc | 926 | 105 | ||||||
Carrier Global Corp | 1,544 | 55 | ||||||
CH Robinson Worldwide Inc | 978 | 94 | ||||||
Cintas Corp | 146 | 57 | ||||||
Copart Inc * | 726 | 77 | ||||||
CSX Corp | 2,961 | 79 | ||||||
Cummins Inc | 289 | 59 | ||||||
Delta Air Lines Inc, Cl A * | 1,919 | 54 | ||||||
Dover Corp | 565 | 66 | ||||||
Emerson Electric Co | 986 | 72 | ||||||
Equifax Inc | 349 | 60 | ||||||
Expeditors International of Washington Inc | 870 | 77 | ||||||
Fastenal Co, Cl A | 1,178 | 54 | ||||||
FedEx Corp | 571 | 85 | ||||||
Fortive Corp | 1,754 | 102 | ||||||
Generac Holdings Inc * | 415 | 74 | ||||||
General Dynamics Corp | 849 | 180 | ||||||
General Electric Co | 646 | 40 | ||||||
Honeywell International Inc | 494 | 82 | ||||||
Howmet Aerospace Inc | 2,374 | 73 | ||||||
Huntington Ingalls Industries Inc, Cl A | 418 | 93 | ||||||
IDEX Corp | 1,267 | 253 | ||||||
Illinois Tool Works Inc | 606 | 109 | ||||||
Ingersoll Rand Inc | 1,458 | 63 | ||||||
Jacobs Solutions Inc | 942 | 102 | ||||||
JB Hunt Transport Services Inc | 390 | 61 | ||||||
L3Harris Technologies Inc | 320 | 67 | ||||||
Leidos Holdings Inc | 1,361 | 119 | ||||||
Lockheed Martin Corp | 186 | 72 | ||||||
Masco Corp | 1,288 | 60 | ||||||
Nielsen Holdings PLC | 10,077 | 279 | ||||||
Norfolk Southern Corp | 347 | 73 | ||||||
Northrop Grumman Corp | 381 | 179 | ||||||
Otis Worldwide Corp | 879 | 56 | ||||||
PACCAR Inc | 956 | 80 | ||||||
Parker-Hannifin Corp, Cl A | 382 | 93 | ||||||
Quanta Services Inc | 797 | 102 | ||||||
Raytheon Technologies Corp | 905 | 74 | ||||||
Rockwell Automation Inc | 289 | 62 | ||||||
Rollins Inc | 4,270 | 148 | ||||||
Snap-on Inc | 986 | 199 | ||||||
Southwest Airlines Co, Cl A * | 1,959 | 60 | ||||||
TransDigm Group Inc | 128 | 67 | ||||||
Union Pacific Corp | 311 | 61 | ||||||
United Parcel Service Inc, Cl B | 363 | 59 | ||||||
United Rentals Inc * | 308 | 83 | ||||||
Verisk Analytics Inc, Cl A | 884 | 151 | ||||||
Waste Management Inc | 830 | 133 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
293
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Accumulation Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Xylem Inc/NY | 691 | $ | 60 | |||||
4,729 | ||||||||
Information Technology — 0.2% | ||||||||
Adobe Inc * | 192 | 53 | ||||||
Advanced Micro Devices Inc * | 841 | 53 | ||||||
Akamai Technologies Inc * | 831 | 67 | ||||||
Analog Devices Inc | 376 | 52 | ||||||
ANSYS Inc * | 288 | 64 | ||||||
Applied Materials Inc | 1,164 | 95 | ||||||
Autodesk Inc, Cl A * | 366 | 68 | ||||||
Automatic Data Processing Inc | 354 | 80 | ||||||
Broadcom Inc | 192 | 85 | ||||||
Cadence Design Systems Inc * | 1,227 | 201 | ||||||
Ceridian HCM Holding Inc * | 1,787 | 100 | ||||||
Check Point Software Technologies Ltd * | 1,215 | 136 | ||||||
Cisco Systems Inc | 2,109 | 84 | ||||||
Citrix Systems Inc | 1,065 | 111 | ||||||
Cognizant Technology Solutions Corp, Cl A | 1,546 | 89 | ||||||
Corning Inc, Cl B | 2,864 | 83 | ||||||
CyberArk Software Ltd * | 486 | 73 | ||||||
DXC Technology Co * | 2,072 | 51 | ||||||
Enphase Energy Inc * | 541 | 150 | ||||||
F5 Inc, Cl A * | 420 | 61 | ||||||
Fidelity National Information Services Inc, Cl B | 799 | 60 | ||||||
Fiserv Inc, Cl A * | 790 | 74 | ||||||
FleetCor Technologies Inc * | 390 | 69 | ||||||
Global Payments Inc | 738 | 80 | ||||||
Hewlett Packard Enterprise Co | 8,829 | 106 | ||||||
HP Inc | 2,363 | 59 | ||||||
Intel Corp | 1,628 | 42 | ||||||
International Business Machines Corp | 639 | 76 | ||||||
Intuit Inc | 357 | 138 | ||||||
Jack Henry & Associates Inc | 575 | 105 | ||||||
Juniper Networks Inc | 2,925 | 76 | ||||||
Keysight Technologies Inc * | 736 | 116 | ||||||
KLA Corp | 464 | 141 | ||||||
Mastercard Inc, Cl A | 332 | 94 | ||||||
Microchip Technology Inc | 1,142 | 70 | ||||||
Micron Technology Inc | 831 | 42 | ||||||
Microsoft Corp | 768 | 179 | ||||||
Monolithic Power Systems Inc | 286 | 104 | ||||||
Motorola Solutions Inc | 317 | 71 | ||||||
NetApp Inc | 725 | 45 | ||||||
NortonLifeLock Inc | 4,139 | 83 | ||||||
Oracle Corp, Cl B | 2,724 | 166 | ||||||
Paychex Inc | 656 | 74 | ||||||
Paycom Software Inc * | 261 | 86 | ||||||
PayPal Holdings Inc * | 1,101 | 95 | ||||||
PTC Inc * | 987 | 103 | ||||||
Qorvo Inc * | 628 | 50 | ||||||
QUALCOMM Inc | 570 | 64 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Salesforce Inc * | 438 | $ | 63 | |||||
ServiceNow Inc * | 159 | 60 | ||||||
Skyworks Solutions Inc | 656 | 56 | ||||||
Synopsys Inc * | 211 | 64 | ||||||
Teledyne Technologies Inc * | 176 | 59 | ||||||
Texas Instruments Inc | 780 | 121 | ||||||
Trimble Inc * | 1,788 | 97 | ||||||
Tyler Technologies Inc * | 247 | 86 | ||||||
VeriSign Inc * | 681 | 118 | ||||||
Western Digital Corp * | 1,138 | 37 | ||||||
Zebra Technologies Corp, Cl A * | 223 | 58 | ||||||
5,043 | ||||||||
Materials — 0.2% | ||||||||
Air Products and Chemicals Inc | 580 | 135 | ||||||
Albemarle Corp | 1,075 | 284 | ||||||
Avery Dennison Corp | 1,153 | 187 | ||||||
Ball Corp | 1,736 | 84 | ||||||
Celanese Corp, Cl A | 803 | 72 | ||||||
CF Industries Holdings Inc | 2,959 | 285 | ||||||
Corteva Inc | 5,121 | 293 | ||||||
Dow Inc | 2,337 | 103 | ||||||
DuPont de Nemours Inc | 2,736 | 138 | ||||||
Eastman Chemical Co | 1,987 | 141 | ||||||
Ecolab Inc | 1,343 | 194 | ||||||
FMC Corp | 1,834 | 194 | ||||||
Freeport-McMoRan Inc, Cl B | 3,462 | 95 | ||||||
International Flavors & Fragrances Inc | 1,993 | 181 | ||||||
International Paper Co | 6,235 | 198 | ||||||
LyondellBasell Industries NV, Cl A | 1,153 | 87 | ||||||
Martin Marietta Materials Inc, Cl A | 696 | 224 | ||||||
Mosaic Co/The | 4,243 | 205 | ||||||
Newmont Corp | 4,763 | 200 | ||||||
Packaging Corp of America | 1,034 | 116 | ||||||
PPG Industries Inc | 1,382 | 153 | ||||||
Sealed Air Corp | 3,350 | 149 | ||||||
Sherwin-Williams Co/The, Cl A | 828 | 169 | ||||||
Vulcan Materials Co | 1,039 | 164 | ||||||
Westrock Co | 5,436 | 168 | ||||||
4,219 | ||||||||
Real Estate — 0.1% | ||||||||
Alexandria Real Estate Equities Inc ‡ | 628 | 88 | ||||||
American Tower Corp, Cl A ‡ | 353 | 76 | ||||||
Boston Properties Inc ‡ | 379 | 28 | ||||||
Crown Castle Inc ‡ | 437 | 63 | ||||||
Digital Realty Trust Inc, Cl A ‡ | 526 | 52 | ||||||
Duke Realty Corp ‡ | 2,124 | 102 | ||||||
Equinix Inc ‡ | 66 | 38 | ||||||
Equity Residential ‡ | 1,670 | 112 | ||||||
Essex Property Trust Inc ‡ | 198 | 48 | ||||||
Extra Space Storage Inc ‡ | 738 | 128 | ||||||
Federal Realty Investment Trust ‡ | 1,348 | 122 |
294
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Healthpeak Properties Inc ‡ | 1,687 | $ | 39 | |||||
Host Hotels & Resorts Inc ‡ | 8,096 | 129 | ||||||
Iron Mountain Inc ‡ | 1,556 | 68 | ||||||
Mid-America Apartment Communities Inc ‡ | 907 | 141 | ||||||
Prologis Inc ‡ | 549 | 56 | ||||||
Public Storage ‡ | 325 | 95 | ||||||
Realty Income Corp ‡ | 2,310 | 134 | ||||||
Regency Centers Corp ‡ | 515 | 28 | ||||||
SBA Communications Corp, Cl A ‡ | 152 | 43 | ||||||
UDR Inc ‡ | 2,549 | 106 | ||||||
Ventas Inc ‡ | 1,594 | 64 | ||||||
Vornado Realty Trust ‡ | 747 | 17 | ||||||
Welltower Inc ‡ | 476 | 31 | ||||||
Weyerhaeuser Co ‡ | 1,020 | 29 | ||||||
1,837 | ||||||||
Utilities — 0.4% | ||||||||
AES Corp/The | 15,573 | 352 | ||||||
Alliant Energy Corp | 6,201 | 329 | ||||||
Ameren Corp | 4,410 | 355 | ||||||
American Electric Power Co Inc | 3,595 | 311 | ||||||
American Water Works Co Inc | 1,287 | 168 | ||||||
Atmos Energy Corp | 1,688 | 172 | ||||||
CenterPoint Energy Inc | 10,623 | 299 | ||||||
CMS Energy Corp | 5,009 | 292 | ||||||
Consolidated Edison Inc | 3,428 | 294 | ||||||
Constellation Energy Corp | 4,283 | 356 | ||||||
Dominion Energy Inc | 3,964 | 274 | ||||||
DTE Energy Co | 2,191 | 252 | ||||||
Duke Energy Corp | 3,471 | 323 | ||||||
Edison International | 5,332 | 302 | ||||||
Entergy Corp | 2,469 | 248 | ||||||
Evergy Inc | 5,347 | 318 | ||||||
Exelon Corp | 5,763 | 216 | ||||||
FirstEnergy Corp | 5,862 | 217 | ||||||
NextEra Energy Inc | 3,133 | 246 | ||||||
NiSource Inc | 10,261 | 258 | ||||||
NRG Energy Inc | 6,095 | 233 | ||||||
Pinnacle West Capital Corp | 4,965 | 320 | ||||||
PPL Corp | 9,644 | 244 | ||||||
Public Service Enterprise Group Inc | 5,156 | 290 | ||||||
Sempra Energy | 2,197 | 329 | ||||||
Southern Co/The | 5,517 | 375 | ||||||
WEC Energy Group Inc | 3,611 | 323 | ||||||
Xcel Energy Inc | 4,952 | 317 | ||||||
8,013 | ||||||||
Total Common Stock | ||||||||
(Cost $39,740) ($ Thousands) | 54,442 | |||||||
Description | Shares | Market Value | ||||||
EXCHANGE TRADED FUND — 0.7% | ||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 130,327 | $ | 13,352 | |||||
Total Exchange Traded Fund | ||||||||
(Cost $14,921) ($ Thousands) | 13,352 | |||||||
Face Amount | ||||||||
CORPORATE OBLIGATIONS — 0.5% | ||||||||
Consumer Discretionary — 0.0% | ||||||||
Toyota Motor | ||||||||
3.419%, 07/20/2023 ^ | $ | 500 | 496 | |||||
Toyota Motor Credit MTN | ||||||||
2.625%, 01/10/2023 ^ | 375 | 373 | ||||||
869 | ||||||||
Consumer Staples — 0.1% | ||||||||
Colgate-Palmolive MTN | ||||||||
2.250%, 11/15/2022 ^ | 1,250 | 1,248 | ||||||
Energy — 0.1% | ||||||||
CNOOC Petroleum North America ULC | ||||||||
5.875%, 03/10/2035 ^ | 100 | 98 | ||||||
Equinor ASA | ||||||||
2.450%, 01/17/2023 ^ | 1,250 | 1,243 | ||||||
1,341 | ||||||||
Financials — 0.2% | ||||||||
Bank of Montreal MTN | ||||||||
2.550%, 11/06/2022 ^ | 250 | 250 | ||||||
Berkshire Hathaway | ||||||||
2.750%, 03/15/2023 ^ | 1,000 | 995 | ||||||
FMS Wertmanagement | ||||||||
2.750%, 03/06/2023 ^ | 375 | 373 | ||||||
Kreditanstalt fuer Wiederaufbau | ||||||||
2.125%, 01/17/2023 ^ | 1,250 | 1,244 | ||||||
Landwirtschaftliche Rentenbank | ||||||||
2.000%, 01/13/2025 ^ | 250 | 237 | ||||||
National Australia Bank Ltd | ||||||||
3.000%, 01/20/2023 ^ | 200 | 199 | ||||||
Oesterreichische Kontrollbank MTN | ||||||||
2.875%, 03/13/2023 ^ | 500 | 498 | ||||||
Svensk Exportkredit MTN | ||||||||
2.875%, 03/14/2023 ^ | 1,000 | 994 | ||||||
1.625%, 11/14/2022 ^ | 125 | 125 | ||||||
Toronto-Dominion Bank MTN | ||||||||
3.500%, 07/19/2023 ^ | 250 | 248 | ||||||
5,163 | ||||||||
SEI Institutional Managed Trust / Annual Report / September 30, 2022
295
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Accumulation Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Information Technology — 0.1% | ||||||||
Apple | ||||||||
2.850%, 02/23/2023 ^ | $ | 1,000 | $ | 995 | ||||
2.400%, 05/03/2023 ^ | 250 | 247 | ||||||
Microsoft | ||||||||
2.125%, 11/15/2022 ^ | 500 | 499 | ||||||
Visa | ||||||||
2.800%, 12/14/2022 ^ | 125 | 125 | ||||||
1,866 | ||||||||
Total Corporate Obligations | ||||||||
(Cost $10,577) ($ Thousands) | 10,487 |
Description |
| Market Value | ||||||
PREFERRED STOCK — 0.0% | ||||||||
Health Care — 0.0% | ||||||||
Sartorius AG (D) | 230 | $ | 79 | |||||
Total Preferred Stock | ||||||||
(Cost $91) ($ Thousands) | 79 | |||||||
Total Investments in Securities — 54.6% | ||||||||
(Cost $1,200,829) ($ Thousands) | $ | 1,110,033 |
A list of the open futures contracts held by the Fund at September 30, 2022, is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Platinum^ | 8 | Aug-2023 | $ | 107 | $ | 108 | $ | 1 | ||||||||||||
Amsterdam Index | 73 | Oct-2022 | 10,029 | 9,163 | (660 | ) | ||||||||||||||
Australian 10-Year Bond | 1,119 | Dec-2022 | 91,774 | 84,261 | (1,970 | ) | ||||||||||||||
Australian 3-Year Bond | 135 | Dec-2022 | 9,291 | 9,249 | 40 | |||||||||||||||
Bloomberg Commodity Index^ | 3,456 | Dec-2022 | 40,746 | 38,531 | (2,215 | ) | ||||||||||||||
Brent Crude^ | 268 | Dec-2022 | 23,394 | 22,383 | (1,011 | ) | ||||||||||||||
Brent Crude^ | 97 | Dec-2022 | 8,480 | 8,259 | (221 | ) | ||||||||||||||
CAC40 10 Euro Index | 75 | Oct-2022 | 4,419 | 4,235 | (154 | ) | ||||||||||||||
Canadian 10-Year Bond | 700 | Dec-2022 | 67,541 | 62,962 | (838 | ) | ||||||||||||||
Coffee C^ | 124 | Dec-2022 | 9,741 | 10,302 | 561 | |||||||||||||||
Copper^ | 113 | Dec-2022 | 10,085 | 9,640 | (444 | ) | ||||||||||||||
Corn^ | 464 | Dec-2022 | 13,998 | 15,718 | 1,720 | |||||||||||||||
Cotton No. 2^ | 74 | Dec-2022 | 4,059 | 3,158 | (901 | ) | ||||||||||||||
Cotton No. 2^ | 72 | Mar-2023 | 3,618 | 3,004 | (614 | ) | ||||||||||||||
DAX Index | 27 | Dec-2022 | 9,167 | 8,024 | (848 | ) | ||||||||||||||
Euro STOXX 50 | 427 | Dec-2022 | 14,050 | 13,867 | (282 | ) | ||||||||||||||
Euro-Bobl | 1,032 | Dec-2022 | 127,087 | 121,067 | (3,137 | ) | ||||||||||||||
Euro-BTP | 359 | Dec-2022 | 42,339 | 39,383 | (1,996 | ) | ||||||||||||||
Euro-Bund | 928 | Dec-2022 | 131,423 | 125,904 | (4,191 | ) | ||||||||||||||
Euro-Buxl | 122 | Dec-2022 | 19,148 | 17,526 | (1,390 | ) | ||||||||||||||
Euro-OAT | 172 | Dec-2022 | 23,954 | 22,262 | (1,086 | ) | ||||||||||||||
Euro-Schatz | 442 | Dec-2022 | 46,452 | 46,403 | (7 | ) | ||||||||||||||
Feeder Cattle^ | 87 | Nov-2022 | 7,992 | 7,596 | (396 | ) | ||||||||||||||
Feeder Cattle^ | 1 | Jan-2023 | 92 | 88 | (4 | ) | ||||||||||||||
FTSE 100 Index | 345 | Dec-2022 | 29,315 | 26,629 | (1,808 | ) | ||||||||||||||
FTSE MIB Index | 152 | Dec-2022 | 15,607 | 15,285 | (450 | ) | ||||||||||||||
FTSE Taiwan Index | 84 | Oct-2022 | 4,012 | 3,923 | (90 | ) | ||||||||||||||
FTSE/JSE Top 40 Index | 122 | Dec-2022 | 4,108 | 3,924 | (132 | ) | ||||||||||||||
Gasoline^ | 26 | Nov-2022 | 2,579 | 2,588 | 9 | |||||||||||||||
Gasoline^ | 88 | Nov-2022 | 8,610 | 8,423 | (188 | ) | ||||||||||||||
Gold^ | 26 | Dec-2022 | 4,328 | 4,347 | 19 | |||||||||||||||
Gold^ | 203 | Dec-2022 | 36,067 | 33,942 | (2,125 | ) | ||||||||||||||
Hang Seng China Enterprises Index | 122 | Oct-2022 | 4,722 | 4,596 | (127 | ) | ||||||||||||||
Hang Seng Index | 130 | Oct-2022 | 14,763 | 14,251 | (512 | ) | ||||||||||||||
IBEX | 109 | Oct-2022 | 8,733 | 7,863 | (709 | ) | ||||||||||||||
Japanese 10-Year Bond | 87 | Dec-2022 | 89,675 | 89,137 | (91 | ) |
296
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Japanese 10-Year Government Bond E-MINI | 1,765 | Dec-2022 | $ | 184,100 | $ | 181,152 | $ | (370 | ) | |||||||||||
KC HRW Wheat^ | 28 | Dec-2022 | 1,334 | 1,388 | 54 | |||||||||||||||
Lean Hogs^ | 104 | Dec-2022 | 3,578 | 3,171 | (407 | ) | ||||||||||||||
Live Cattle^ | 361 | Dec-2022 | 21,740 | 21,234 | (506 | ) | ||||||||||||||
LME Copper^ | 53 | Dec-2022 | 10,242 | 10,042 | (200 | ) | ||||||||||||||
LME Lead^ | 26 | Dec-2022 | 1,192 | 1,241 | 49 | |||||||||||||||
LME Nickel^ | 63 | Dec-2022 | 8,359 | 7,973 | (386 | ) | ||||||||||||||
LME Primary Aluminum^ | 217 | Dec-2022 | 13,254 | 11,723 | (1,531 | ) | ||||||||||||||
LME Zinc^ | 131 | Dec-2022 | 10,101 | 9,769 | (331 | ) | ||||||||||||||
LME Zinc^ | 74 | Dec-2022 | 5,404 | 5,519 | 114 | |||||||||||||||
Long Gilt 10-Year Bond | 744 | Dec-2022 | 89,741 | 80,063 | (7,080 | ) | ||||||||||||||
Low Sulphur Gasoil^ | 105 | Dec-2022 | 10,033 | 9,474 | (560 | ) | ||||||||||||||
Low Sulphur Gasoil^ | 44 | Nov-2022 | 4,360 | 4,144 | (216 | ) | ||||||||||||||
MSCI Emerging Markets | 1,091 | Dec-2022 | 53,129 | 47,540 | (5,589 | ) | ||||||||||||||
Natural Gas^ | 232 | Nov-2022 | 19,677 | 16,391 | (3,286 | ) | ||||||||||||||
NY Harbor ULSD^ | 50 | Nov-2022 | 7,128 | 6,567 | (561 | ) | ||||||||||||||
NY Harbor ULSD^ | 34 | Dec-2022 | 4,464 | 4,465 | 1 | |||||||||||||||
NYMEX Cocoa^ | 417 | Dec-2022 | 10,001 | 9,816 | (185 | ) | ||||||||||||||
OMX Stockholm 30 | 437 | Oct-2022 | 8,045 | 7,206 | (525 | ) | ||||||||||||||
Russell 2000 Index E-MINI | 934 | Dec-2022 | 86,352 | 77,980 | (8,373 | ) | ||||||||||||||
S&P - Goldman Sachs Commodity Index^ | 72 | Oct-2022 | 11,360 | 10,922 | (437 | ) | ||||||||||||||
S&P 500 Index E-MINI | 980 | Dec-2022 | 196,036 | 176,474 | (19,562 | ) | ||||||||||||||
S&P Mid Cap 400 Index E-MINI | 54 | Dec-2022 | 13,434 | 11,924 | (1,510 | ) | ||||||||||||||
S&P TSX 60 Index | 108 | Dec-2022 | 19,257 | 17,543 | (815 | ) | ||||||||||||||
SGX Nifty 50 | 155 | Oct-2022 | 5,229 | 5,297 | 68 | |||||||||||||||
Silver^ | 182 | Dec-2022 | 18,345 | 17,325 | (1,019 | ) | ||||||||||||||
Soybean^ | 73 | Jan-2023 | 5,316 | 5,021 | (295 | ) | ||||||||||||||
Soybean^ | 257 | Nov-2022 | 18,903 | 17,537 | (1,366 | ) | ||||||||||||||
Soybean Meal^ | 345 | Dec-2022 | 14,050 | 13,903 | (146 | ) | ||||||||||||||
Soybean Oil^ | 214 | Dec-2022 | 9,149 | 7,904 | (1,245 | ) | ||||||||||||||
SPI 200 Index | 295 | Dec-2022 | 33,448 | 30,660 | (1,441 | ) | ||||||||||||||
Sugar No. 11^ | 567 | Mar-2023 | 11,520 | 11,228 | (292 | ) | ||||||||||||||
TOPIX Index | 470 | Dec-2022 | 62,165 | 59,617 | (1,768 | ) | ||||||||||||||
U.S. 2-Year Treasury Note | 1,528 | Dec-2022 | 317,125 | 313,837 | (3,288 | ) | ||||||||||||||
U.S. 5-Year Treasury Note | 1,108 | Jan-2023 | 123,144 | 119,119 | (4,026 | ) | ||||||||||||||
U.S. 10-Year Treasury Note | 2,032 | Dec-2022 | 233,882 | 227,711 | (6,171 | ) | ||||||||||||||
U.S. Long Treasury Bond | 699 | Dec-2022 | 94,888 | 88,358 | (6,530 | ) | ||||||||||||||
U.S. Ultra Long Treasury Bond | 84 | Dec-2022 | 12,287 | 11,508 | (779 | ) | ||||||||||||||
Wheat^ | 163 | Dec-2022 | 6,485 | 7,510 | 1,025 | |||||||||||||||
WTI Crude Oil^ | 65 | Nov-2022 | 5,124 | 5,117 | (7 | ) | ||||||||||||||
2,704,886 | 2,573,374 | (105,739 | ) | |||||||||||||||||
Short Contracts | ||||||||||||||||||||
FTSE KLCI | (2 | ) | Oct-2022 | $ | (30 | ) | $ | (30 | ) | $ | – | |||||||||
Amsterdam Index | (34 | ) | Oct-2022 | (4,246 | ) | (4,268 | ) | 21 | ||||||||||||
Canadian 10-Year Bond | (409 | ) | Dec-2022 | (36,929 | ) | (36,788 | ) | (34 | ) | |||||||||||
DAX Index | (47 | ) | Dec-2022 | (14,152 | ) | (13,967 | ) | 332 | ||||||||||||
Feeder Cattle^ | (10 | ) | Nov-2022 | (891 | ) | (873 | ) | 18 | ||||||||||||
KOSPI 200 Index | (14 | ) | Dec-2022 | (696 | ) | (691 | ) | 8 | ||||||||||||
LME Primary Aluminum^ | (77 | ) | Dec-2022 | (4,166 | ) | (4,160 | ) | 7 | ||||||||||||
Mexican Bolsa Index | (6 | ) | Dec-2022 | (136 | ) | (134 | ) | 2 | ||||||||||||
MSCI Singapore Index | (180 | ) | Oct-2022 | (3,531 | ) | (3,521 | ) | 15 | ||||||||||||
Natural Gas^ | (10 | ) | Oct-2022 | (708 | ) | (677 | ) | 32 | ||||||||||||
NY Harbor ULSD^ | (20 | ) | Oct-2022 | (2,687 | ) | (2,706 | ) | (19 | ) | |||||||||||
NYMEX Cocoa^ | (45 | ) | Dec-2022 | (1,018 | ) | (1,059 | ) | (41 | ) | |||||||||||
OMX Stockholm 30 | (481 | ) | Oct-2022 | (7,760 | ) | (7,932 | ) | (62 | ) | |||||||||||
Soybean^ | (102 | ) | Jan-2023 | (7,297 | ) | (7,015 | ) | 282 | ||||||||||||
Wheat^ | (23 | ) | Dec-2022 | (1,022 | ) | (1,060 | ) | (37 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
297
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Accumulation Fund (Continued)
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
WTI Crude Oil^ | (86 | ) | Oct-2022 | $ | (6,819 | ) | $ | (6,836 | ) | $ | (17 | ) | ||||||||
(92,088 | ) | (91,717 | ) | 507 | ||||||||||||||||
$ | 2,612,798 | $ | 2,481,657 | $ | (105,232 | ) |
A list of the open forward foreign currency contracts held by the Fund at September 30, 2022, is as follows:
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
BNP Paribas | 10/27/22 | USD | 18,835 | GBP | 17,000 | $ | 150 | |||||||||||||||||
Brown Brothers Harriman | 10/27/22 | EUR | 126,500 | USD | 127,118 | 2,974 | ||||||||||||||||||
Brown Brothers Harriman | 10/28/22 | GBP | 28 | USD | 31 | (1 | ) | |||||||||||||||||
Citigroup | 12/21/22 | SGD | 112 | USD | 79 | 1 | ||||||||||||||||||
Citigroup | 12/21/22 | USD | 185 | GBP | 160 | (6 | ) | |||||||||||||||||
Citigroup | 12/21/22 | USD | 215 | SGD | 310 | 1 | ||||||||||||||||||
Citigroup | 12/21/22 | USD | 73 | SGD | 104 | — | ||||||||||||||||||
Citigroup | 12/21/22 | USD | 295 | IDR | 4,500,000 | (1 | ) | |||||||||||||||||
Citigroup | 12/21/22 | USD | 986 | COP | 4,450,000 | (31 | ) | |||||||||||||||||
Citigroup | 12/21/22 | USD | 3,684 | HUF | 1,525,496 | (231 | ) | |||||||||||||||||
Citigroup | 12/21/22 | USD | 907 | CZK | 23,000 | 5 | ||||||||||||||||||
Citigroup | 12/21/22 | USD | 3,089 | CZK | 77,023 | (36 | ) | |||||||||||||||||
Citigroup | 12/21/22 | ILS | 5,917 | USD | 1,685 | 9 | ||||||||||||||||||
Citigroup | 12/21/22 | USD | 1,171 | CLP | 1,150,000 | 12 | ||||||||||||||||||
Citigroup | 12/21/22 | USD | 5,128 | CLP | 4,723,017 | (273 | ) | |||||||||||||||||
Citigroup | 12/21/22 | USD | 9,964 | PLN | 47,701 | (437 | ) | |||||||||||||||||
Citigroup | 12/21/22 | PHP | 10,000 | USD | 170 | 1 | ||||||||||||||||||
Citigroup | 12/21/22 | USD | 10,344 | KRW | 13,914,702 | (624 | ) | |||||||||||||||||
Citigroup | 12/21/22 | USD | 80 | CNH | 570 | 1 | ||||||||||||||||||
Citigroup | 12/21/22 | USD | 11,697 | CNH | 80,668 | (359 | ) | |||||||||||||||||
Citigroup | 12/21/22 | USD | 14,527 | BRL | 76,648 | (621 | ) | |||||||||||||||||
Citigroup | 12/21/22 | USD | 82 | ZAR | 1,500 | 1 | ||||||||||||||||||
Citigroup | 12/21/22 | USD | 15,042 | ZAR | 259,276 | (719 | ) | |||||||||||||||||
Citigroup | 12/21/22 | GBP | 15,667 | USD | 18,422 | 916 | ||||||||||||||||||
Citigroup | 12/21/22 | USD | 16,272 | INR | 1,310,125 | (317 | ) | |||||||||||||||||
Citigroup | 12/21/22 | BRL | 17,045 | USD | 3,228 | 136 | ||||||||||||||||||
Citigroup | 12/21/22 | USD | 18,767 | MXN | 384,726 | 86 | ||||||||||||||||||
Citigroup | 12/21/22 | USD | 7,737 | MXN | 157,389 | (24 | ) | |||||||||||||||||
Citigroup | 12/21/22 | PLN | 19,476 | USD | 3,965 | 75 | ||||||||||||||||||
Citigroup | 12/21/22 | PLN | 15,520 | USD | 3,056 | (43 | ) | |||||||||||||||||
Citigroup | 12/21/22 | USD | 25,326 | EUR | 25,844 | 157 | ||||||||||||||||||
Citigroup | 12/21/22 | USD | 10,352 | EUR | 10,341 | (156 | ) | |||||||||||||||||
Citigroup | 12/21/22 | TWD | 33,000 | USD | 1,045 | 3 | ||||||||||||||||||
Citigroup | 12/21/22 | TWD | 5,000 | USD | 157 | — | ||||||||||||||||||
Citigroup | 12/21/22 | CNH | 35,390 | USD | 5,000 | 27 | ||||||||||||||||||
Citigroup | 12/21/22 | CNH | 4,429 | USD | 618 | (5 | ) | |||||||||||||||||
Citigroup | 12/21/22 | CZK | 12,491 | USD | 501 | 6 | ||||||||||||||||||
Citigroup | 12/21/22 | CZK | 30,000 | USD | 1,182 | (7 | ) | |||||||||||||||||
Citigroup | 12/21/22 | ZAR | 42,897 | USD | 2,458 | 89 | ||||||||||||||||||
Citigroup | 12/21/22 | EUR | 100,145 | USD | 100,655 | 1,910 | ||||||||||||||||||
Citigroup | 12/21/22 | MXN | 7,002 | USD | 344 | 1 |
298
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
Citigroup | 12/21/22 | MXN | 110,411 | USD | 5,388 | $ | (22 | ) | ||||||||||||||||
Citigroup | 12/21/22 | HUF | 250,000 | USD | 575 | 9 | ||||||||||||||||||
Citigroup | 12/21/22 | HUF | 105,000 | USD | 236 | (2 | ) | |||||||||||||||||
Citigroup | 12/21/22 | INR | 760,000 | USD | 9,283 | 28 | ||||||||||||||||||
Citigroup | 12/21/22 | INR | 165,000 | USD | 2,004 | (5 | ) | |||||||||||||||||
Citigroup | 12/21/22 | CLP | 50,000 | USD | 52 | — | ||||||||||||||||||
Citigroup | 12/21/22 | CLP | 3,550,000 | USD | 3,619 | (30 | ) | |||||||||||||||||
Citigroup | 12/21/22 | KRW | 10,885,821 | USD | 7,803 | 199 | ||||||||||||||||||
Citigroup | 12/21/22 | KRW | 50,000 | USD | 35 | — | ||||||||||||||||||
JPMorgan Chase Bank | 10/28/22 | CHF | 3,600 | USD | 3,649 | (19 | ) | |||||||||||||||||
JPMorgan Chase Bank | 10/28/22 | GBP | 4,900 | USD | 5,282 | (190 | ) | |||||||||||||||||
JPMorgan Chase Bank | 10/28/22 | CAD | 6,140 | USD | 4,476 | 7 | ||||||||||||||||||
JPMorgan Chase Bank | 10/28/22 | EUR | 13,500 | USD | 13,024 | (226 | ) | |||||||||||||||||
JPMorgan Chase Bank | 10/28/22 | JPY | 2,491,000 | USD | 17,265 | 7 | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | SGD | 112 | USD | 79 | 1 | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | USD | 215 | SGD | 310 | 1 | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | USD | 73 | SGD | 104 | — | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | USD | 295 | IDR | 4,500,000 | (1 | ) | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | USD | 986 | COP | 4,450,000 | (32 | ) | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | USD | 3,684 | HUF | 1,525,496 | (231 | ) | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | USD | 907 | CZK | 23,000 | 5 | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | USD | 3,089 | CZK | 77,022 | (36 | ) | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | ILS | 5,917 | USD | 1,685 | 9 | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | USD | 1,171 | CLP | 1,150,000 | 11 | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | USD | 5,128 | CLP | 4,723,017 | (273 | ) | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | USD | 9,964 | PLN | 47,701 | (438 | ) | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | PHP | 10,000 | USD | 170 | — | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | USD | 10,344 | KRW | 13,914,702 | (624 | ) | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | USD | 5,191 | EUR | 5,343 | 78 | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | USD | 6,396 | EUR | 6,404 | (82 | ) | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | USD | 80 | CNH | 570 | — | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | USD | 11,697 | CNH | 80,668 | (360 | ) | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | GBP | 14,193 | USD | 16,679 | 819 | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | USD | 14,527 | BRL | 76,647 | (621 | ) | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | USD | 82 | ZAR | 1,500 | 1 | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | USD | 15,042 | ZAR | 259,275 | (719 | ) | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | USD | 16,272 | INR | 1,310,125 | (318 | ) | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | BRL | 17,045 | USD | 3,228 | 135 | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | USD | 18,767 | MXN | 384,726 | 86 | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | USD | 7,737 | MXN | 157,389 | (25 | ) | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | PLN | 19,476 | USD | 3,965 | 75 | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | PLN | 15,520 | USD | 3,056 | (44 | ) | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | TWD | 33,000 | USD | 1,045 | 3 | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | TWD | 5,000 | USD | 157 | (1 | ) | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | CNH | 35,390 | USD | 5,000 | 26 | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | CNH | 4,429 | USD | 618 | (5 | ) | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | CZK | 12,491 | USD | 501 | 6 | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | CZK | 30,000 | USD | 1,182 | (8 | ) | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | ZAR | 42,897 | USD | 2,458 | 88 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
299
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Accumulation Fund (Concluded)
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | EUR | 99,781 | USD | 100,290 | $ | 1,903 | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | MXN | 7,002 | USD | 344 | — | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | MXN | 110,411 | USD | 5,388 | (22 | ) | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | INR | 165,000 | USD | 2,004 | (6 | ) | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | HUF | 250,000 | USD | 575 | 8 | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | HUF | 105,000 | USD | 236 | (2 | ) | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | INR | 760,000 | USD | 9,283 | 28 | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | CLP | 50,000 | USD | 52 | — | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | CLP | 3,550,000 | USD | 3,619 | (31 | ) | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | KRW | 10,885,821 | USD | 7,803 | 198 | ||||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | KRW | 50,000 | USD | 35 | — | ||||||||||||||||||
State Street | 10/27/22 | USD | 29,329 | EUR | 30,000 | 112 | ||||||||||||||||||
State Street | 10/27/22 | GBP | 73,200 | USD | 86,600 | 4,855 | ||||||||||||||||||
State Street | 10/28/22 | EUR | 14 | USD | 13 | — | ||||||||||||||||||
State Street | 10/28/22 | AUD | 4,500 | USD | 2,912 | 19 | ||||||||||||||||||
State Street | 10/28/22 | HKD | 36,100 | USD | 4,602 | (1 | ) | |||||||||||||||||
$ | 7,013 |
A list of the open OTC swap agreements held by the Fund at September 30, 2022 is as follows:
Total Return Swaps | |||||||||||||||||||||||||
Counterparty | Reference Entity/ Obligation | Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount ($ Thousands) | Value | Upfront Payments | Net Unrealized | |||||||||||||||
Bank of America | Bovespa Index | NEGATIVE PRICE RETURN | POSITVE PRICE RETURN | At Maturity | 10/13/2022 | BRL | $ | 2,909 | $ | 2,656 | $ | – | $ | (117 | ) | ||||||||||
JPMorgan Chase | Taiwan Index (TAIEX) | NEGATIVE PRICE RETURN | POSITVE PRICE RETURN | At Maturity | 10/19/2022 | TWD | 7,251 | 6,666 | – | (508 | ) | ||||||||||||||
JPMorgan Chase | Taiwan Index (TAIEX) | NEGATIVE PRICE RETURN | POSITVE PRICE RETURN | At Maturity | 10/19/2022 | TWD | 1,662 | 1,519 | – | (123 | ) | ||||||||||||||
Bank of America | SGX Nifty 50 | NEGATIVE PRICE RETURN | POSITVE PRICE RETURN | At Maturity | 10/27/2022 | USD | 2,430 | 2,461 | – | 31 | |||||||||||||||
Bank of America | Hang Seng Index | NEGATIVE PRICE RETURN | POSITVE PRICE RETURN | At Maturity | 10/28/2022 | HKX | 336 | 329 | – | (7 | ) | ||||||||||||||
Bank of America | H-shares Index | NEGATIVE PRICE RETURN | POSITVE PRICE RETURN | At Maturity | 10/28/2022 | HKD | 11,962 | 11,602 | – | (360 | ) | ||||||||||||||
Bank of America | H-shares Index | NEGATIVE PRICE RETURN | POSITVE PRICE RETURN | At Maturity | 10/28/2022 | HKD | 9,979 | 9,719 | – | (260 | ) | ||||||||||||||
JPMorgan Chase | KOSPI Index | NEGATIVE PRICE RETURN | POSITVE PRICE RETURN | At Maturity | 12/08/2022 | KRW | 6,070 | 5,232 | – | (592 | ) | ||||||||||||||
Bank of America | Soybean Oil^ | NEGATIVE PRICE RETURN | POSITVE PRICE RETURN | At Maturity | 12/14/2022 | USD | 1,636 | 1,330 | – | (306 | ) | ||||||||||||||
Bank of America | Swiss Market | NEGATIVE PRICE RETURN | POSITVE PRICE RETURN | At Maturity | 12/16/2022 | CHF | 5,256 | 5,003 | – | (188 | ) | ||||||||||||||
JPMorgan Chase | Canadian 10-Year Bond | NEGATIVE PRICE RETURN | POSITVE PRICE RETURN | At Maturity | 12/19/2022 | CAX | 91 | (90 | ) | – | 1 | ||||||||||||||
Citibank | MSCI Australia Index | NEGATIVE INDEX RETURN | POSITIVE INDEX RETURN | Monthly | 12/21/2022 | AUD | 2,153 | (19 | ) | – | (19 | ) | |||||||||||||
Citibank | MSCI Mexico Index | NEGATIVE INDEX RETURN | POSITIVE INDEX RETURN | Monthly | 12/21/2022 | MXN | 2,459 | 1 | – | 1 | |||||||||||||||
Citibank | MSCI United Kingdom Index | NEGATIVE INDEX RETURN | POSITIVE INDEX RETURN | Monthly | 12/21/2022 | GBP | 2,158 | (48 | ) | – | (48 | ) | |||||||||||||
Citibank | MSCI Spain Index | NEGATIVE INDEX RETURN | POSITIVE INDEX RETURN | Monthly | 12/21/2022 | EUR | 391 | (14 | ) | – | (14 | ) | |||||||||||||
Citibank | MSCI Netherlands Index | NEGATIVE INDEX RETURN | POSITIVE INDEX RETURN | Monthly | 12/21/2022 | EUR | 403 | 4 | – | 4 | |||||||||||||||
Citibank | MSCI Italy Index | NEGATIVE INDEX RETURN | POSITIVE INDEX RETURN | Annually | 12/21/2022 | EUR | 1,091 | (21 | ) | – | (21 | ) | |||||||||||||
Citibank | MSCI France Index | NEGATIVE INDEX RETURN | POSITIVE INDEX RETURN | Annually | 12/21/2022 | EUR | 1,671 | (15 | ) | – | (15 | ) | |||||||||||||
Citibank | MSCI Sweden Index | NEGATIVE INDEX RETURN | POSITIVE INDEX RETURN | Annually | 12/21/2022 | SEK | 2,772 | (1 | ) | – | (1 | ) | |||||||||||||
Bank of America | Tel Aviv Index | NEGATIVE PRICE RETURN | POSITVE PRICE RETURN | At Maturity | 12/28/2022 | ILX | – | 155 | – | (4 | ) | ||||||||||||||
$ | 46,469 | $ | – | (2,546 | ) |
A list of the open centrally cleared swap agreements held by the Fund at September 30, 2022 is as follows:
Interest Rate Swap | ||||||||||||||||||||||||||||||||
Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | ||||||||||||||||||||||||
1.00 % | USD-SOFR 1D | Annually | 12/21/2027 | USD | 109,150 | $ | (8,784 | ) | $ | (4,168 | ) | $ | (4,616 | ) |
300
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Percentages are based on Net Assets of $2,033,087 ($ Thousands). | |
^ | Security, or a portion thereof, is held by the Accumulation Commodity Strategy Subsidiary, Ltd. as of September 30, 2022. |
* | Non-income producing security. |
‡ | Real Estate Investment Trust. |
(A) | Interest rate represents the security's effective yield at the time of purchase. |
(B) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. The total market value of such securities as of September 30, 2022 was $83,152. |
(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, 2022, the value of these securities amounted to $54,736 ($ Thousands), representing 2.7% of the Net Assets of the Fund. |
(D) | No interest rate available. |
The following is a summary of the level of inputs used as of September 30, 2022, 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 | – | 741,021 | – | 741,021 | ||||||||||||
Sovereign Debt | 1,830 | 228,970 | – | 230,800 | ||||||||||||
Foreign Common Stock | 59,852 | – | – | 59,852 | ||||||||||||
Common Stock | 54,442 | – | – | 54,442 | ||||||||||||
Exchange Traded Fund | 13,352 | – | – | 13,352 | ||||||||||||
Corporate Obligations | – | 10,487 | – | 10,487 | ||||||||||||
Preferred Stock | 79 | – | – | 79 | ||||||||||||
Total Investments in Securities | 129,555 | 980,478 | – | 1,110,033 |
Other Financial Instruments | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 4,378 | – | – | 4,378 | ||||||||||||
Unrealized Depreciation | (109,610 | ) | – | – | (109,610 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | – | 15,278 | – | 15,278 | ||||||||||||
Unrealized Depreciation | – | (8,265 | ) | – | (8,265 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Total Return Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 37 | – | 37 | ||||||||||||
Unrealized Depreciation | – | (2,583 | ) | – | (2,583 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Depreciation | – | (4,616 | ) | – | (4,616 | ) | ||||||||||
Total Other Financial Instruments | (105,232 | ) | (149 | ) | – | (105,381 | ) |
* | Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
See “Glossary” for abbreviations.
Amounts designated as “—” are either $0 or have been rounded to $0.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
301
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Income Fund
† | Percentages based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS — 49.5% | ||||||||
Communication Services — 4.1% | ||||||||
Altice France | ||||||||
5.500%, 10/15/2029 (A) | $ | 1,666 | $ | 1,254 | ||||
Altice France Holding | ||||||||
10.500%, 05/15/2027 (A) | 2,090 | 1,637 | ||||||
AMC Entertainment Holdings | ||||||||
10.000%, 06/15/2026 (A) | 70 | 48 | ||||||
AT&T | ||||||||
4.350%, 03/01/2029 | 700 | 654 | ||||||
3.500%, 06/01/2041 | 350 | 252 | ||||||
2.750%, 06/01/2031 | 375 | 300 | ||||||
2.550%, 12/01/2033 | 1,428 | 1,057 | ||||||
2.300%, 06/01/2027 | 1,009 | 882 | ||||||
1.650%, 02/01/2028 | 875 | 719 | ||||||
Bharti Airtel | ||||||||
3.250%, 06/03/2031 (A) | 1,360 | 1,094 | ||||||
CCO Holdings | ||||||||
4.750%, 02/01/2032 (A) | 1,625 | 1,266 | ||||||
4.500%, 05/01/2032 | 790 | 603 | ||||||
Charter Communications Operating | ||||||||
5.125%, 07/01/2049 | 200 | 147 | ||||||
4.908%, 07/23/2025 | 3,200 | 3,121 | ||||||
3.750%, 02/15/2028 | 650 | 574 | ||||||
Clear Channel Outdoor Holdings | ||||||||
7.500%, 06/01/2029 (A) | 160 | 116 | ||||||
Digicel Group Holdings | ||||||||
8.000%cash/0% PIK, 04/01/2025 (A) | 92 | 36 | ||||||
DISH DBS | ||||||||
5.875%, 11/15/2024 | 530 | 473 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
5.750%, 12/01/2028 (A) | $ | 480 | $ | 363 | ||||
5.250%, 12/01/2026 (A) | 580 | 475 | ||||||
5.125%, 06/01/2029 | 2,025 | 1,190 | ||||||
Frontier Communications Holdings | ||||||||
5.000%, 05/01/2028 (A) | 395 | 339 | ||||||
Gannett Holdings | ||||||||
6.000%, 11/01/2026 (A) | 250 | 192 | ||||||
iHeartCommunications | ||||||||
8.375%, 05/01/2027 | 830 | 698 | ||||||
Intelsat Jackson Holdings (Escrow Security) | ||||||||
0.000%, 12/31/2049 (B)(C) | 2,397 | – | ||||||
Mauritius Investments | ||||||||
6.500%, 10/13/2026 | 2,470 | 2,376 | ||||||
Millicom International Cellular | ||||||||
6.250%, 03/25/2029 (A) | 477 | 405 | ||||||
4.500%, 04/27/2031 (A) | 219 | 156 | ||||||
Playtika Holding | ||||||||
4.250%, 03/15/2029 (A) | 868 | 694 | ||||||
Scripps Escrow | ||||||||
5.875%, 07/15/2027 (A) | 450 | 392 | ||||||
Scripps Escrow II | ||||||||
5.375%, 01/15/2031 (A) | 580 | 439 | ||||||
Sinclair Television Group | ||||||||
5.125%, 02/15/2027 (A) | 495 | 409 | ||||||
Telecom Argentina | ||||||||
8.500%, 08/06/2025 (A) | 28 | 27 | ||||||
T-Mobile USA | ||||||||
4.500%, 04/15/2050 | 1,516 | 1,214 | ||||||
Townsquare Media | ||||||||
6.875%, 02/01/2026 (A) | 902 | 824 | ||||||
Turk Telekomunikasyon | ||||||||
6.875%, 02/28/2025 (A) | 530 | 464 | ||||||
5.000%, 03/01/2030 (A) | 1,270 | 1,217 | ||||||
Urban One | ||||||||
7.375%, 02/01/2028 (A) | 740 | 629 | ||||||
Verizon Communications | ||||||||
2.100%, 03/22/2028 | 515 | 435 | ||||||
Vmed O2 UK Financing I | ||||||||
4.750%, 07/15/2031 (A) | 490 | 378 | ||||||
VTR Comunicaciones | ||||||||
5.125%, 01/15/2028 (A) | 676 | 456 | ||||||
WarnerMedia Inc | ||||||||
3.755%, 03/15/2027 (A) | 970 | 868 | ||||||
Ziff Davis | ||||||||
4.625%, 10/15/2030 (A) | 670 | 549 | ||||||
ZipRecruiter | ||||||||
5.000%, 01/15/2030 (A) | 200 | 161 | ||||||
29,583 | ||||||||
302
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Consumer Discretionary — 7.3% | ||||||||
Abercrombie & Fitch Management | ||||||||
8.750%, 07/15/2025 (A) | $ | 70 | $ | 68 | ||||
Allen Media | ||||||||
10.500%, 02/15/2028 (A) | 1,060 | 525 | ||||||
Altice Financing | ||||||||
5.000%, 01/15/2028 (A) | 735 | 566 | ||||||
AMC Entertainment Holdings | ||||||||
7.500%, 02/15/2029 (A) | 130 | 100 | ||||||
American Axle & Manufacturing | ||||||||
5.000%, 10/01/2029 | 190 | 144 | ||||||
APX Group | ||||||||
5.750%, 07/15/2029 (A) | 1,216 | 961 | ||||||
Asbury Automotive Group | ||||||||
5.000%, 02/15/2032 (A) | 280 | 216 | ||||||
4.625%, 11/15/2029 (A) | 505 | 404 | ||||||
Banijay Entertainment SASU | ||||||||
5.375%, 03/01/2025 (A) | 650 | 611 | ||||||
Bath & Body Works | ||||||||
6.625%, 10/01/2030 (A) | 220 | 191 | ||||||
5.250%, 02/01/2028 | 710 | 615 | ||||||
Bed Bath & Beyond | ||||||||
5.165%, 08/01/2044 | 1,060 | 159 | ||||||
BorgWarner | ||||||||
5.000%, 10/01/2025 (A) | 560 | 549 | ||||||
Boyne USA | ||||||||
4.750%, 05/15/2029 (A) | 1,140 | 955 | ||||||
CalAtlantic Group | ||||||||
5.250%, 06/01/2026 | 330 | 312 | ||||||
Carnival | ||||||||
10.500%, 06/01/2030 (A) | 380 | 304 | ||||||
7.875%, 06/01/2027 | 1,690 | 1,625 | ||||||
Carriage Services | ||||||||
4.250%, 05/15/2029 (A) | 440 | 348 | ||||||
Carrols Restaurant Group | ||||||||
5.875%, 07/01/2029 (A) | 251 | 167 | ||||||
Carvana | ||||||||
5.500%, 04/15/2027 (A) | 360 | 196 | ||||||
4.875%, 09/01/2029 (A) | 555 | 271 | ||||||
CD&R Smokey Buyer | ||||||||
6.750%, 07/15/2025 (A) | 441 | 400 | ||||||
Clarios Global | ||||||||
8.500%, 05/15/2027 (A) | 640 | 611 | ||||||
CMG Media | ||||||||
8.875%, 12/15/2027 (A) | 850 | 649 | ||||||
CSC Holdings | ||||||||
6.500%, 02/01/2029 (A) | 770 | 679 | ||||||
5.750%, 01/15/2030 (A) | 873 | 620 | ||||||
5.000%, 11/15/2031 (A) | 709 | 468 | ||||||
4.500%, 11/15/2031 (A) | 460 | 345 | ||||||
Dealer Tire | ||||||||
8.000%, 02/01/2028 (A) | 1,734 | 1,526 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Diamond Sports Group | ||||||||
6.625%, 08/15/2027 (A) | $ | 500 | $ | 35 | ||||
5.375%, 08/15/2026 (A) | 330 | 66 | ||||||
DirecTV Financing | ||||||||
5.875%, 08/15/2027 (A) | 3,140 | 2,707 | ||||||
eG Global Finance | ||||||||
6.750%, 02/07/2025 (A) | 488 | 440 | ||||||
Expedia Group | ||||||||
4.625%, 08/01/2027 | 647 | 608 | ||||||
Fertitta Entertainment | ||||||||
4.625%, 01/15/2029 (A) | 280 | 232 | ||||||
Foot Locker | ||||||||
4.000%, 10/01/2029 (A) | 90 | 70 | ||||||
Ford Motor | ||||||||
6.100%, 08/19/2032 | 420 | 370 | ||||||
3.250%, 02/12/2032 | 1,391 | 1,002 | ||||||
Ford Motor Credit | ||||||||
4.950%, 05/28/2027 | 1,449 | 1,294 | ||||||
4.000%, 11/13/2030 | 560 | 437 | ||||||
3.625%, 06/17/2031 | 900 | 669 | ||||||
2.900%, 02/16/2028 | 290 | 228 | ||||||
Foundation Building Materials | ||||||||
6.000%, 03/01/2029 (A) | 355 | 259 | ||||||
Full House Resorts | ||||||||
8.250%, 02/15/2028 (A) | 280 | 252 | ||||||
General Motors | ||||||||
5.950%, 04/01/2049 | 36 | 30 | ||||||
4.000%, 04/01/2025 | 250 | 241 | ||||||
General Motors Financial | ||||||||
5.650%, 01/17/2029 | 175 | 165 | ||||||
Getty Images | ||||||||
9.750%, 03/01/2027 (A) | 720 | 715 | ||||||
GrubHub Holdings | ||||||||
5.500%, 07/01/2027 (A) | 300 | 207 | ||||||
Guitar Center | ||||||||
8.500%, 01/15/2026 (A) | 1,050 | 930 | ||||||
Hilton Grand Vacations Borrower Escrow | ||||||||
5.000%, 06/01/2029 (A) | 1,010 | 815 | ||||||
Installed Building Products | ||||||||
5.750%, 02/01/2028 (A) | 450 | 403 | ||||||
KB Home | ||||||||
7.250%, 07/15/2030 | 545 | 495 | ||||||
LCM Investments Holdings II | ||||||||
4.875%, 05/01/2029 (A) | 1,205 | 933 | ||||||
Liberty Interactive | ||||||||
8.500%, 07/15/2029 | 330 | 216 | ||||||
Marriott Ownership Resorts | ||||||||
4.500%, 06/15/2029 (A) | 280 | 221 | ||||||
Match Group Holdings II | ||||||||
3.625%, 10/01/2031 (A) | 385 | 291 | ||||||
Mclaren Finance | ||||||||
7.500%, 08/01/2026 (A) | 740 | 594 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
303
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
MDC Holdings | ||||||||
6.000%, 01/15/2043 | $ | 180 | $ | 135 | ||||
Melco Resorts Finance | ||||||||
5.375%, 12/04/2029 (A) | 920 | 557 | ||||||
4.875%, 06/06/2025 (A) | 200 | 148 | ||||||
MercadoLibre | ||||||||
3.125%, 01/14/2031 | 840 | 609 | ||||||
Metis Merger Sub | ||||||||
6.500%, 05/15/2029 (A) | 287 | 224 | ||||||
Michaels | ||||||||
7.875%, 05/01/2029 (A) | 580 | 335 | ||||||
5.250%, 05/01/2028 (A) | 240 | 168 | ||||||
NCL | ||||||||
5.875%, 03/15/2026 (A) | 360 | 274 | ||||||
5.875%, 02/15/2027 (A) | 640 | 533 | ||||||
3.625%, 12/15/2024 (A) | 804 | 676 | ||||||
NESCO Holdings II | ||||||||
5.500%, 04/15/2029 (A) | 284 | 237 | ||||||
Newell Brands | ||||||||
5.750%, 04/01/2046 | 536 | 419 | ||||||
Penn National Gaming | ||||||||
4.125%, 07/01/2029 (A) | 1,219 | 933 | ||||||
Penske Automotive Group | ||||||||
3.750%, 06/15/2029 | 848 | 674 | ||||||
PM General Purchaser | ||||||||
9.500%, 10/01/2028 (A) | 930 | 778 | ||||||
Rent-A-Center | ||||||||
6.375%, 02/15/2029 (A) | 920 | 718 | ||||||
Royal Caribbean Cruises | ||||||||
11.625%, 08/15/2027 (A) | 350 | 318 | ||||||
Sally Holdings | ||||||||
5.625%, 12/01/2025 | 880 | 834 | ||||||
Sands China | ||||||||
5.900%, 08/08/2028 | 240 | 202 | ||||||
5.625%, 08/08/2025 | 200 | 181 | ||||||
3.750%, 08/08/2031 | 200 | 143 | ||||||
3.350%, 03/08/2029 | 200 | 148 | ||||||
2.800%, 03/08/2027 | 230 | 183 | ||||||
Scientific Games International | ||||||||
8.625%, 07/01/2025 (A) | 320 | 328 | ||||||
SeaWorld Parks & Entertainment | ||||||||
5.250%, 08/15/2029 (A) | 1,765 | 1,466 | ||||||
Specialty Building Products Holdings | ||||||||
6.375%, 09/30/2026 (A) | 1,592 | 1,317 | ||||||
SRS Distribution | ||||||||
6.125%, 07/01/2029 (A) | 1,360 | 1,092 | ||||||
StoneMor | ||||||||
8.500%, 05/15/2029 (A) | 960 | 809 | ||||||
SWF Escrow Issuer | ||||||||
6.500%, 10/01/2029 (A) | 1,165 | 690 | ||||||
Titan International | ||||||||
7.000%, 04/30/2028 | 560 | 508 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
TKC Holdings | ||||||||
6.875%, 05/15/2028 (A) | $ | 200 | $ | 162 | ||||
TUI Cruises GmbH | ||||||||
6.500%, 05/15/2026 (A) | EUR | 375 | 277 | |||||
Viking Ocean Cruises Ship VII | ||||||||
5.625%, 02/15/2029 (A) | $ | 230 | 179 | |||||
VOC Escrow | ||||||||
5.000%, 02/15/2028 (A) | 420 | 342 | ||||||
VZ Secured Financing BV | ||||||||
5.000%, 01/15/2032 (A) | 685 | 512 | ||||||
Wendy's International | ||||||||
7.000%, 12/15/2025 | 570 | 570 | ||||||
Wheel Bidco | ||||||||
6.750%, 07/15/2026 (A) | GBP | 610 | 526 | |||||
Wynn Macau | ||||||||
5.625%, 08/26/2028 (A) | $ | 390 | 260 | |||||
5.500%, 01/15/2026 (A) | 600 | 455 | ||||||
5.125%, 12/15/2029 (A) | 470 | 305 | ||||||
4.875%, 10/01/2024 (A) | 220 | 177 | ||||||
Wynn Resorts Finance | ||||||||
7.750%, 04/15/2025 (A) | 600 | 586 | ||||||
Yum! Brands | ||||||||
4.750%, 01/15/2030 (A) | 454 | 397 | ||||||
ZF North America Capital | ||||||||
4.750%, 04/29/2025 (A) | 600 | 546 | ||||||
50,441 | ||||||||
Consumer Staples — 1.5% | ||||||||
Altria Group | ||||||||
2.350%, 05/06/2025 | 425 | 394 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
4.750%, 01/23/2029 | 1,650 | 1,607 | ||||||
Bellis Acquisition | ||||||||
3.250%, 02/16/2026 (A) | GBP | 200 | 168 | |||||
Constellation Brands | ||||||||
3.150%, 08/01/2029 | $ | 600 | 515 | |||||
Darling Ingredients | ||||||||
6.000%, 06/15/2030 (A) | 670 | 638 | ||||||
Energizer Holdings | ||||||||
6.500%, 12/31/2027 (A) | 325 | 289 | ||||||
FAGE International | ||||||||
5.625%, 08/15/2026 (A) | 660 | 586 | ||||||
H-Food Holdings | ||||||||
8.500%, 06/01/2026 (A) | 1,090 | 692 | ||||||
HLF Financing S.A.R.L. | ||||||||
4.875%, 06/01/2029 (A) | 2,719 | 1,940 | ||||||
Kraft Heinz Foods | ||||||||
4.375%, 06/01/2046 | 1,671 | 1,299 | ||||||
Lindley | ||||||||
4.625%, 04/12/2023 | 95 | 95 | ||||||
Performance Food Group | ||||||||
5.500%, 10/15/2027 (A) | 450 | 409 |
304
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Post Holdings | ||||||||
4.625%, 04/15/2030 (A) | $ | 429 | $ | 352 | ||||
Prosperous Ray | ||||||||
4.625%, 11/12/2023 | 300 | 300 | ||||||
United Rentals North America | ||||||||
4.000%, 07/15/2030 | 290 | 240 | ||||||
US Foods | ||||||||
4.750%, 02/15/2029 (A) | 1,171 | 1,002 | ||||||
4.625%, 06/01/2030 (A) | 580 | 480 | ||||||
11,006 | ||||||||
Energy — 7.5% | ||||||||
Berry Petroleum | ||||||||
7.000%, 02/15/2026 (A) | 1,200 | 1,058 | ||||||
Blue Racer Midstream | ||||||||
7.625%, 12/15/2025 (A) | 570 | 547 | ||||||
Cheniere Corpus Christi Holdings | ||||||||
7.000%, 06/30/2024 | 250 | 254 | ||||||
5.125%, 06/30/2027 | 850 | 823 | ||||||
Cheniere Energy Partners | ||||||||
3.250%, 01/31/2032 | 300 | 230 | ||||||
Chord Energy | ||||||||
6.375%, 06/01/2026 (A) | 820 | 779 | ||||||
Civitas Resources | ||||||||
5.000%, 10/15/2026 (A) | 475 | 432 | ||||||
CNX Midstream Partners | ||||||||
4.750%, 04/15/2030 (A) | 430 | 338 | ||||||
Colgate Energy Partners III | ||||||||
5.875%, 07/01/2029 (A) | 700 | 625 | ||||||
Continental Resources | ||||||||
5.750%, 01/15/2031 (A) | 400 | 362 | ||||||
CQP Holdco | ||||||||
5.500%, 06/15/2031 (A) | 1,605 | 1,359 | ||||||
DCP Midstream | ||||||||
7.375%, ICE LIBOR USD 3 Month + 5.148%(D)(E) | 560 | 552 | ||||||
DCP Midstream Operating | ||||||||
6.750%, 09/15/2037 (A) | 302 | 293 | ||||||
Devon Energy | ||||||||
5.850%, 12/15/2025 | 1,021 | 1,030 | ||||||
Ecopetrol | ||||||||
6.875%, 04/29/2030 | 1,010 | 848 | ||||||
Energy Transfer | ||||||||
7.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.306%(D)(E) | 220 | 181 | ||||||
6.250%, ICE LIBOR USD 3 Month + 4.028%(D)(E) | 230 | 189 | ||||||
Energy Transfer Operating | ||||||||
4.200%, 09/15/2023 | 3,225 | 3,190 | ||||||
EQM Midstream Partners | ||||||||
7.500%, 06/01/2030 (A) | 330 | 312 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
EQT | ||||||||
7.000%, 02/01/2030 | $ | 360 | $ | 371 | ||||
6.125%, 02/01/2025 | 340 | 340 | ||||||
Gazprom PJSC Via Gaz Capital MTN | ||||||||
7.288%, 08/16/2037 | 300 | 147 | ||||||
Global Partners | ||||||||
6.875%, 01/15/2029 | 545 | 491 | ||||||
GNL Quintero | ||||||||
4.634%, 07/31/2029 | 329 | 303 | ||||||
Hess Midstream Operations | ||||||||
5.500%, 10/15/2030 (A) | 325 | 279 | ||||||
Hilcorp Energy I | ||||||||
6.250%, 04/15/2032 (A) | 420 | 372 | ||||||
Howard Midstream Energy Partners | ||||||||
6.750%, 01/15/2027 (A) | 1,000 | 891 | ||||||
ITT Holdings | ||||||||
6.500%, 08/01/2029 (A) | 1,150 | 892 | ||||||
KazMunayGas National JSC | ||||||||
4.750%, 04/19/2027 (A) | 400 | 334 | ||||||
KazTransGas JSC | ||||||||
4.375%, 09/26/2027 (A) | 300 | 254 | ||||||
Kinetik Holdings | ||||||||
5.875%, 06/15/2030 (A) | 775 | 710 | ||||||
Marathon Petroleum | ||||||||
3.800%, 04/01/2028 | 325 | 291 | ||||||
3.625%, 09/15/2024 | 350 | 339 | ||||||
MEG Energy | ||||||||
7.125%, 02/01/2027 (A) | 1,190 | 1,208 | ||||||
5.875%, 02/01/2029 (A) | 70 | 63 | ||||||
MPLX | ||||||||
4.800%, 02/15/2029 | 250 | 233 | ||||||
4.000%, 03/15/2028 | 950 | 865 | ||||||
Nabors Industries | ||||||||
9.000%, 02/01/2025 (A) | 1,597 | 1,589 | ||||||
7.375%, 05/15/2027 (A) | 1,390 | 1,283 | ||||||
Neptune Energy Bondco | ||||||||
6.625%, 05/15/2025 (A) | 800 | 743 | ||||||
New Fortress Energy | ||||||||
6.750%, 09/15/2025 (A) | 715 | 677 | ||||||
NGL Energy Operating | ||||||||
7.500%, 02/01/2026 (A) | 1,025 | 912 | ||||||
NGL Energy Partners | ||||||||
7.500%, 11/01/2023 | 1,150 | 1,115 | ||||||
Noble Holdings International | ||||||||
11.000%, 02/15/2028 | 248 | 272 | ||||||
Northern Oil and Gas | ||||||||
8.125%, 03/01/2028 (A) | 600 | 562 | ||||||
NuStar Logistics | ||||||||
6.375%, 10/01/2030 | 670 | 573 | ||||||
Occidental Petroleum | ||||||||
7.200%, 03/15/2029 | 150 | 154 | ||||||
6.625%, 09/01/2030 | 700 | 711 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
305
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
6.450%, 09/15/2036 | $ | 30 | $ | 30 | ||||
4.500%, 07/15/2044 | 210 | 175 | ||||||
ONEOK | ||||||||
6.350%, 01/15/2031 | 325 | 319 | ||||||
Parsley Energy | ||||||||
5.625%, 10/15/2027 (A) | 480 | 493 | ||||||
Penn Virginia Escrow | ||||||||
9.250%, 08/15/2026 (A) | 570 | 536 | ||||||
Petrobras Global Finance BV | ||||||||
5.299%, 01/27/2025 | 500 | 496 | ||||||
Petroleos de Venezuela | ||||||||
6.000%, 10/28/2022 (F) | 8,860 | 177 | ||||||
6.000%, 05/16/2024 (F) | 3,790 | 76 | ||||||
6.000%, 11/15/2026 (F) | 1,110 | 22 | ||||||
5.500%, 04/12/2037 (F) | 130 | 3 | ||||||
5.375%, 04/12/2027 (F) | 2,570 | 51 | ||||||
Petroleos Mexicanos | ||||||||
7.690%, 01/23/2050 | 406 | 249 | ||||||
6.950%, 01/28/2060 | 207 | 114 | ||||||
6.500%, 03/13/2027 | 430 | 360 | ||||||
6.490%, 01/23/2027 | 160 | 134 | ||||||
5.350%, 02/12/2028 | 180 | 137 | ||||||
4.500%, 01/23/2026 | 40 | 34 | ||||||
Petroleos Mexicanos MTN | ||||||||
6.750%, 09/21/2047 | 16 | 9 | ||||||
Phillips 66 | ||||||||
3.900%, 03/15/2028 | 525 | 482 | ||||||
Plains All American Pipeline | ||||||||
6.125%, ICE LIBOR USD 3 Month + 4.110%(D)(E) | 340 | 277 | ||||||
3.600%, 11/01/2024 | 175 | 168 | ||||||
Range Resources | ||||||||
8.250%, 01/15/2029 | 700 | 712 | ||||||
5.000%, 03/15/2023 | 110 | 110 | ||||||
4.750%, 02/15/2030 (A) | 655 | 568 | ||||||
Rockies Express Pipeline | ||||||||
7.500%, 07/15/2038 (A) | 350 | 297 | ||||||
Sabine Pass Liquefaction | ||||||||
5.625%, 03/01/2025 | 800 | 799 | ||||||
Southwestern Energy | ||||||||
8.375%, 09/15/2028 | 510 | 528 | ||||||
7.750%, 10/01/2027 | 1,400 | 1,423 | ||||||
4.750%, 02/01/2032 | 1,020 | 855 | ||||||
Summit Midstream Holdings | ||||||||
8.500%, 10/15/2026 (A) | 1,454 | 1,365 | ||||||
5.750%, 04/15/2025 | 925 | 752 | ||||||
Tallgrass Energy Partners | ||||||||
6.000%, 12/31/2030 (A) | 230 | 196 | ||||||
TechnipFMC | ||||||||
6.500%, 02/01/2026 (A) | 1,050 | 1,007 | ||||||
Total Capital International | ||||||||
2.829%, 01/10/2030 | 1,350 | 1,162 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Transocean | ||||||||
11.500%, 01/30/2027 (A) | $ | 2,088 | $ | 1,931 | ||||
Transocean Poseidon | ||||||||
6.875%, 02/01/2027 (A) | 411 | 376 | ||||||
Transportadora de Gas del Sur | ||||||||
6.750%, 05/02/2025 (A) | 1,250 | 1,072 | ||||||
USA Compression Partners | ||||||||
6.875%, 04/01/2026 | 1,175 | 1,081 | ||||||
Venture Global Calcasieu Pass | ||||||||
4.125%, 08/15/2031 (A) | 390 | 323 | ||||||
3.875%, 11/01/2033 (A) | 430 | 334 | ||||||
Viper Energy Partners | ||||||||
5.375%, 11/01/2027 (A) | 500 | 460 | ||||||
Western Midstream Operating | ||||||||
5.450%, 04/01/2044 | 1,100 | 902 | ||||||
5.300%, 03/01/2048 | 530 | 436 | ||||||
YPF | ||||||||
9.000%, 02/12/2023 (A)(G) | 425 | 357 | ||||||
8.500%, 07/28/2025 (A) | 700 | 494 | ||||||
6.950%, 07/21/2027 (A) | 380 | 222 | ||||||
52,480 | ||||||||
Financials — 10.8% | ||||||||
ABN AMRO Bank | ||||||||
4.375%(D)(E) | EUR | 400 | 332 | |||||
Accelerate360 Holdings | ||||||||
8.000%, 03/01/2028 (A) | $ | 1,154 | 1,226 | |||||
Acrisure | ||||||||
6.000%, 08/01/2029 (A) | 915 | 705 | ||||||
4.250%, 02/15/2029 (A) | 975 | 764 | ||||||
AFC Gamma | ||||||||
5.750%, 05/01/2027 (A) | 300 | 241 | ||||||
AG Issuer | ||||||||
6.250%, 03/01/2028 (A) | 1,116 | 965 | ||||||
AIA Group | ||||||||
3.900%, 04/06/2028 (A) | 475 | 445 | ||||||
AIA Group MTN | ||||||||
3.200%, 03/11/2025 (A) | 425 | 408 | ||||||
AIB Group MTN | ||||||||
4.750%, 10/12/2023 (A) | 550 | 543 | ||||||
Alliant Holdings Intermediate | ||||||||
6.750%, 10/15/2027 (A) | 760 | 655 | ||||||
Ally Financial | ||||||||
4.700%, H15T7Y + 3.481%(D)(E) | 1,325 | 944 | ||||||
American International Group | ||||||||
3.900%, 04/01/2026 | 325 | 310 | ||||||
3.400%, 06/30/2030 | 225 | 196 | ||||||
Apollo Commercial Real Estate Finance | ||||||||
4.625%, 06/15/2029 (A) | 440 | 331 | ||||||
Aviation Capital Group | ||||||||
5.500%, 12/15/2024 (A) | 390 | 378 | ||||||
1.950%, 01/30/2026 (A) | 350 | 294 |
306
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Avolon Holdings Funding | ||||||||
5.125%, 10/01/2023 (A) | $ | 140 | $ | 138 | ||||
4.250%, 04/15/2026 (A) | 430 | 386 | ||||||
2.875%, 02/15/2025 (A) | 1,250 | 1,131 | ||||||
B3 - Brasil Bolsa Balcao | ||||||||
4.125%, 09/20/2031 (A) | 700 | 548 | ||||||
Banco Bilbao Vizcaya Argentaria | ||||||||
5.875%, EUR Swap Annual 5 Yr + 5.660%(D)(E) | EUR | 800 | 716 | |||||
Banco de Bogota | ||||||||
6.250%, 05/12/2026 (A) | $ | 980 | 916 | |||||
Banco do Brasil | ||||||||
9.000%, US Treas Yield Curve Rate T Note Const Mat 10 Yr + 6.362%(D)(E) | 200 | 199 | ||||||
6.250%, US Treas Yield Curve Rate T Note Const Mat 10 Yr + 4.398%(D)(E) | 1,920 | 1,651 | ||||||
Banco Mercantil del Norte | ||||||||
7.500%, US Treas Yield Curve Rate T Note Const Mat 10 Yr + 5.470%(A)(D)(E) | 970 | 827 | ||||||
6.750%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.967%(A)(D)(E) | 420 | 389 | ||||||
5.875%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.643%(A)(D)(E) | 1,340 | 1,095 | ||||||
Banco Santander | ||||||||
4.250%, 04/11/2027 | 400 | 368 | ||||||
3.306%, 06/27/2029 | 400 | 339 | ||||||
2.749%, 12/03/2030 | 200 | 141 | ||||||
2.746%, 05/28/2025 | 600 | 549 | ||||||
Bank of America | ||||||||
6.250%, ICE LIBOR USD 3 Month + 3.705%(D)(E) | 150 | 145 | ||||||
3.419%, ICE LIBOR USD 3 Month + 1.040%, 12/20/2028 (D) | 2,115 | 1,878 | ||||||
Bank of America MTN | ||||||||
4.200%, 08/26/2024 | 225 | 221 | ||||||
4.000%, 01/22/2025 | 1,350 | 1,307 | ||||||
3.824%, ICE LIBOR USD 3 Month + 1.575%, 01/20/2028 (D) | 1,525 | 1,404 | ||||||
Bank of New York Mellon MTN | ||||||||
4.596%, U.S. SOFR + 1.755%, 07/26/2030 (D) | 75 | 71 | ||||||
Banque Ouest Africaine de Developpement | ||||||||
2.750%, 01/22/2033 (A) | EUR | 1,870 | 1,337 | |||||
Barclays | ||||||||
8.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.672%(D)(E) | $ | 970 | 900 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
7.125%, UK Govt Bonds 5 Year Note Generic Bid Yield + 6.579%(D)(E) | GBP | 700 | $ | 676 | ||||
2.852%, U.S. SOFR + 2.714%, 05/07/2026 (D) | $ | 725 | 658 | |||||
BBVA Bancomer | ||||||||
5.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 2.650%, 01/18/2033 (A)(D) | 410 | 339 | ||||||
BNP Paribas | ||||||||
7.750%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.899%(A)(D)(E) | 270 | 249 | ||||||
3.375%, 01/09/2025 (A) | 1,000 | 951 | ||||||
1.323%, U.S. SOFR + 1.004%, 01/13/2027 (A)(D) | 675 | 575 | ||||||
BPCE | ||||||||
4.625%, 09/12/2028 (A) | 500 | 455 | ||||||
2.277%, U.S. SOFR + 1.312%, 01/20/2032 (A)(D) | 375 | 270 | ||||||
BroadStreet Partners | ||||||||
5.875%, 04/15/2029 (A) | 1,195 | 941 | ||||||
Burford Capital Global Finance | ||||||||
6.875%, 04/15/2030 (A) | 380 | 332 | ||||||
Cellnex Finance MTN | ||||||||
1.250%, 01/15/2029 | EUR | 400 | 290 | |||||
Citigroup | ||||||||
6.300%, ICE LIBOR USD 3 Month + 3.423%(D)(E) | $ | 1,250 | 1,164 | |||||
5.900%, ICE LIBOR USD 3 Month + 4.230%(D)(E) | 675 | 668 | ||||||
4.125%, 07/25/2028 | 1,450 | 1,308 | ||||||
3.400%, 05/01/2026 | 1,675 | 1,562 | ||||||
Coinbase Global | ||||||||
3.625%, 10/01/2031 (A) | 400 | 222 | ||||||
Cooperatieve Rabobank UA | ||||||||
4.625%, EUR Swap Annual 5 Yr + 4.098%(D)(E) | EUR | 1,400 | 1,197 | |||||
Credit Agricole | ||||||||
8.125%, USD Swap Semi 30/360 5 Yr Curr + 6.185%(A)(D)(E) | $ | 710 | 683 | |||||
Credit Suisse Group | ||||||||
9.750%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 6.383%(A)(D)(E) | 1,020 | 1,001 | ||||||
7.500%, USD Swap Semi 30/360 5 Yr Curr + 4.600%(A)(D)(E) | 410 | 352 | ||||||
7.250%, USD ICE Swap 11:00 NY 5 Yr + 4.332%(A)(D)(E) | 200 | 153 | ||||||
6.537%, U.S. SOFR + 3.920%, 08/12/2033 (A)(D) | 540 | 485 | ||||||
4.550%, 04/17/2026 | 802 | 738 | ||||||
3.869%, ICE LIBOR USD 3 Month + 1.410%, 01/12/2029 (A)(D) | 600 | 489 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
307
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Deutsche Bank | ||||||||
6.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.524%(D)(E) | $ | 400 | $ | 300 | ||||
DP World MTN | ||||||||
5.625%, 09/25/2048 | 200 | 174 | ||||||
First Horizon National | ||||||||
4.000%, 05/26/2025 | 625 | 603 | ||||||
FirstCash | ||||||||
5.625%, 01/01/2030 (A) | 340 | 291 | ||||||
Freedom Mortgage | ||||||||
7.625%, 05/01/2026 (A) | 1,450 | 1,083 | ||||||
6.625%, 01/15/2027 (A) | 1,015 | 723 | ||||||
Global Aircraft Leasing | ||||||||
6.500%cash/0% PIK, 09/15/2024 (A) | 3,189 | 2,400 | ||||||
Highlands Holdings Bond Issuer | ||||||||
7.625%, 10/15/2025 (A) | 930 | 877 | ||||||
HSBC Holdings | ||||||||
4.950%, 03/31/2030 | 226 | 208 | ||||||
3.803%, ICE LIBOR USD 3 Month + 1.211%, 03/11/2025 (D) | 700 | 676 | ||||||
1.645%, U.S. SOFR + 1.538%, 04/18/2026 (D) | 1,000 | 889 | ||||||
Intercontinental Exchange | ||||||||
2.100%, 06/15/2030 | 800 | 636 | ||||||
Intesa Sanpaolo MTN | ||||||||
5.710%, 01/15/2026 (A) | 1,080 | 982 | ||||||
Itau Unibanco Holding | ||||||||
4.625%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.222%(A)(D)(E) | 1,120 | 874 | ||||||
Jane Street Group | ||||||||
4.500%, 11/15/2029 (A) | 160 | 138 | ||||||
JPMorgan Chase | ||||||||
4.125%, 12/15/2026 | 3,400 | 3,208 | ||||||
2.956%, U.S. SOFR + 2.515%, 05/13/2031 (D) | 250 | 198 | ||||||
Ladder Capital Finance Holdings LLLP | ||||||||
4.750%, 06/15/2029 (A) | 270 | 202 | ||||||
4.250%, 02/01/2027 (A) | 240 | 193 | ||||||
LD Holdings Group | ||||||||
6.500%, 11/01/2025 (A) | 860 | 516 | ||||||
Lloyds Banking Group | ||||||||
4.947%(D)(E) | EUR | 290 | 251 | |||||
Midcap Financial Issuer Trust | ||||||||
6.500%, 05/01/2028 (A) | $ | 1,532 | 1,309 | |||||
5.625%, 01/15/2030 (A) | 305 | 234 | ||||||
Morgan Stanley | ||||||||
3.625%, 01/20/2027 | 750 | 698 | ||||||
Morgan Stanley MTN | ||||||||
3.950%, 04/23/2027 | 1,100 | 1,022 | ||||||
1.794%, U.S. SOFR + 1.034%, 02/13/2032 (D) | 625 | 457 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
National Bank of Uzbekistan | ||||||||
4.850%, 10/21/2025 | $ | 200 | $ | 176 | ||||
Nationstar Mortgage Holdings | ||||||||
5.500%, 08/15/2028 (A) | 1,754 | 1,377 | ||||||
Nationwide Building Society | ||||||||
3.960%, ICE LIBOR USD 3 Month + 1.855%, 07/18/2030 (A)(D) | 450 | 388 | ||||||
NatWest Group | ||||||||
4.500%, UK Govt Bonds 5 Year Note Generic Bid Yield + 3.992%(D)(E) | GBP | 1,160 | 874 | |||||
3.754%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 2.100%, 11/01/2029 (D) | $ | 225 | 208 | |||||
Navient | ||||||||
5.500%, 03/15/2029 | 1,519 | 1,155 | ||||||
5.000%, 03/15/2027 | 1,100 | 900 | ||||||
Navient MTN | ||||||||
5.625%, 08/01/2033 | 180 | 121 | ||||||
NFP | ||||||||
6.875%, 08/15/2028 (A) | 893 | 696 | ||||||
NMI Holdings | ||||||||
7.375%, 06/01/2025 (A) | 410 | 398 | ||||||
Oxford Finance | ||||||||
6.375%, 02/01/2027 (A) | 465 | 435 | ||||||
Park Aerospace Holdings | ||||||||
4.500%, 03/15/2023 (A) | 170 | 169 | ||||||
PNC Financial Services Group | ||||||||
6.200%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.238%(D)(E) | 1,350 | 1,276 | ||||||
Raymond James Financial | ||||||||
4.650%, 04/01/2030 | 400 | 376 | ||||||
StoneX Group | ||||||||
8.625%, 06/15/2025 (A) | 380 | 384 | ||||||
TTMT Escrow Issuer | ||||||||
8.625%, 09/30/2027 (A) | 130 | 122 | ||||||
Turkiye Vakiflar Bankasi TAO | ||||||||
6.500%, 01/08/2026 (A) | 680 | 588 | ||||||
UBS Group | ||||||||
7.000%, USD Swap Semi 30/360 5 Yr Curr + 4.344%(A)(D)(E) | 810 | 766 | ||||||
2.746%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.100%, 02/11/2033 (A)(D) | 340 | 253 | ||||||
UniCredit MTN | ||||||||
7.296%, USD ICE Swap 11:00 NY 5 Yr + 4.914%, 04/02/2034 (A)(D) | 260 | 221 | ||||||
5.459%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.750%, 06/30/2035 (A)(D) | 440 | 327 | ||||||
United Wholesale Mortgage | ||||||||
5.500%, 04/15/2029 (A) | 1,360 | 1,034 |
308
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
VistaJet Malta Finance | ||||||||
7.875%, 05/01/2027 (A) | $ | 370 | $ | 333 | ||||
6.375%, 02/01/2030 (A) | 1,340 | 1,095 | ||||||
Wells Fargo | ||||||||
5.875%, ICE LIBOR USD 3 Month + 3.990%(D)(E) | 525 | 500 | ||||||
Wells Fargo MTN | ||||||||
4.897%, U.S. SOFR + 2.100%, 07/25/2033 (D) | 660 | 608 | ||||||
4.100%, 06/03/2026 | 1,575 | 1,498 | ||||||
Yapi ve Kredi Bankasi MTN | ||||||||
13.875%, USD Swap Semi 30/360 5 Yr Curr + 11.245%(D)(E) | 480 | 493 | ||||||
8.250%, 10/15/2024 (A) | 500 | 487 | ||||||
77,551 | ||||||||
Health Care — 3.0% | ||||||||
1375209 B.C. Ltd | ||||||||
9.000%, 01/30/2028 (A) | 51 | 50 | ||||||
AbbVie | ||||||||
3.200%, 11/21/2029 | 1,375 | 1,204 | ||||||
AdaptHealth | ||||||||
6.125%, 08/01/2028 (A) | 670 | 600 | ||||||
5.125%, 03/01/2030 (A) | 370 | 305 | ||||||
4.625%, 08/01/2029 (A) | 605 | 485 | ||||||
Akumin | ||||||||
7.000%, 11/01/2025 (A) | 140 | 115 | ||||||
Akumin Escrow | ||||||||
7.500%, 08/01/2028 (A) | 490 | 374 | ||||||
AthenaHealth Group | ||||||||
6.500%, 02/15/2030 (A) | 2,400 | 1,897 | ||||||
Bausch Health | ||||||||
14.000%, 10/15/2030 (A) | 18 | 10 | ||||||
11.000%, 09/30/2028 | 91 | 73 | ||||||
7.000%, 01/15/2028 (A) | 130 | 50 | ||||||
6.125%, 02/01/2027 (A) | 1,040 | 720 | ||||||
5.500%, 11/01/2025 (A) | 310 | 246 | ||||||
5.000%, 01/30/2028 (A) | 60 | 22 | ||||||
5.000%, 02/15/2029 (A) | 390 | 151 | ||||||
Bayer US Finance II | ||||||||
4.375%, 12/15/2028 (A) | 300 | 274 | ||||||
4.250%, 12/15/2025 (A) | 500 | 479 | ||||||
Becton Dickinson | ||||||||
3.700%, 06/06/2027 | 690 | 642 | ||||||
2.823%, 05/20/2030 | 625 | 523 | ||||||
CAB SELAS | ||||||||
3.375%, 02/01/2028 (A) | EUR | 475 | 355 | |||||
Centene | ||||||||
4.250%, 12/15/2027 | $ | 20 | 18 | |||||
Chrome Holdco SASU | ||||||||
5.000%, 05/31/2029 (A) | EUR | 375 | 277 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
CHS | ||||||||
6.125%, 04/01/2030 (A) | $ | 1,270 | $ | 599 | ||||
Cidron Aida Finco S.A.R.L. | ||||||||
6.250%, 04/01/2028 (A) | GBP | 440 | 387 | |||||
CVS Health | ||||||||
3.750%, 04/01/2030 | $ | 590 | 525 | |||||
DaVita | ||||||||
3.750%, 02/15/2031 (A) | 1,760 | 1,254 | ||||||
DH Europe Finance II S.A.R.L. | ||||||||
2.600%, 11/15/2029 | 175 | 150 | ||||||
HealthEquity | ||||||||
4.500%, 10/01/2029 (A) | 376 | 318 | ||||||
Laboratoire Eimer Selas | ||||||||
5.000%, 02/01/2029 (A) | EUR | 225 | 159 | |||||
LifePoint Health | ||||||||
5.375%, 01/15/2029 (A) | $ | 1,185 | 826 | |||||
Medline Borrower | ||||||||
5.250%, 10/01/2029 (A) | 810 | 612 | ||||||
3.875%, 04/01/2029 (A) | 1,980 | 1,587 | ||||||
Option Care Health | ||||||||
4.375%, 10/31/2029 (A) | 740 | 625 | ||||||
Pediatrix Medical Group | ||||||||
5.375%, 02/15/2030 (A) | 250 | 207 | ||||||
Prestige Brands | ||||||||
3.750%, 04/01/2031 (A) | 810 | 629 | ||||||
Prime Security Services Borrower | ||||||||
6.250%, 01/15/2028 (A) | 330 | 282 | ||||||
Radiology Partners | ||||||||
9.250%, 02/01/2028 (A) | 565 | 368 | ||||||
RegionalCare Hospital Partners Holdings | ||||||||
9.750%, 12/01/2026 (A) | 500 | 447 | ||||||
Stryker | ||||||||
1.950%, 06/15/2030 | 825 | 653 | ||||||
Tenet Healthcare | ||||||||
6.250%, 02/01/2027 (A) | 200 | 187 | ||||||
6.125%, 06/15/2030 (A) | 446 | 409 | ||||||
Teva Pharmaceutical Finance LLC | ||||||||
6.150%, 02/01/2036 | 930 | 766 | ||||||
US Renal Care | ||||||||
10.625%, 07/15/2027 (A) | 430 | 197 | ||||||
Verisure Holding | ||||||||
3.250%, 02/15/2027 (A) | EUR | 475 | 377 | |||||
Verisure Midholding | ||||||||
5.250%, 02/15/2029 (A) | 500 | 360 | ||||||
Zoetis | ||||||||
2.000%, 05/15/2030 | $ | 1,100 | 874 | |||||
21,668 | ||||||||
Industrials — 7.8% | ||||||||
Advanced Drainage Systems | ||||||||
6.375%, 06/15/2030 (A) | 390 | 378 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
309
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
AerCap Ireland Capital DAC | ||||||||
6.500%, 07/15/2025 | $ | 285 | $ | 284 | ||||
4.875%, 01/16/2024 | 400 | 393 | ||||||
3.300%, 01/30/2032 | 260 | 195 | ||||||
Aeropuerto Internacional de Tocumen | ||||||||
5.125%, 08/11/2061 (A) | 520 | 371 | ||||||
4.000%, 08/11/2041 (A) | 640 | 474 | ||||||
Aeropuertos Dominicanos Siglo XXI | ||||||||
6.750%, 03/30/2029 (A) | 350 | 323 | ||||||
Air Canada | ||||||||
3.875%, 08/15/2026 (A) | 400 | 343 | ||||||
Air Lease | ||||||||
3.250%, 03/01/2025 | 850 | 796 | ||||||
Air Lease MTN | ||||||||
3.750%, 06/01/2026 | 600 | 548 | ||||||
Allegiant Travel | ||||||||
7.250%, 08/15/2027 (A) | 295 | 278 | ||||||
Allied Universal Holdco | ||||||||
9.750%, 07/15/2027 | 649 | 533 | ||||||
6.625%, 07/15/2026 (A) | 330 | 294 | ||||||
6.000%, 06/01/2029 (A) | 1,000 | 645 | ||||||
Allison Transmission | ||||||||
4.750%, 10/01/2027 (A) | 210 | 185 | ||||||
American Airlines | ||||||||
11.750%, 07/15/2025 (A) | 660 | 689 | ||||||
5.750%, 04/20/2029 (A) | 1,071 | 934 | ||||||
5.500%, 04/20/2026 (A) | 582 | 547 | ||||||
American Airlines Pass-Through Trust | ||||||||
4.950%, 02/15/2025 | 299 | 272 | ||||||
American Builders & Contractors Supply | ||||||||
3.875%, 11/15/2029 (A) | 1,115 | 873 | ||||||
American News | ||||||||
8.500%cash/0% PIK, 09/01/2026 (A) | 927 | 1,024 | ||||||
APi Group DE | ||||||||
4.750%, 10/15/2029 (A) | 143 | 119 | ||||||
4.125%, 07/15/2029 (A) | 1,778 | 1,409 | ||||||
Arcosa | ||||||||
4.375%, 04/15/2029 (A) | 500 | 425 | ||||||
Avis Budget Car Rental | ||||||||
5.375%, 03/01/2029 (A) | 705 | 579 | ||||||
BCPE Empire Holdings | ||||||||
7.625%, 05/01/2027 (A) | 990 | 858 | ||||||
Boeing | ||||||||
5.930%, 05/01/2060 | 410 | 351 | ||||||
5.805%, 05/01/2050 | 350 | 304 | ||||||
5.150%, 05/01/2030 | 150 | 139 | ||||||
3.450%, 11/01/2028 | 375 | 323 | ||||||
3.250%, 03/01/2028 | 425 | 368 | ||||||
Builders FirstSource | ||||||||
4.250%, 02/01/2032 (A) | 310 | 238 | ||||||
Cargo Aircraft Management | ||||||||
4.750%, 02/01/2028 (A) | 320 | 275 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Carriage Purchaser | ||||||||
7.875%, 10/15/2029 (A) | $ | 240 | $ | 179 | ||||
Carrier Global | ||||||||
2.493%, 02/15/2027 | 1,100 | 975 | ||||||
2.242%, 02/15/2025 | 1,000 | 934 | ||||||
CoreCivic | ||||||||
8.250%, 04/15/2026 | 1,060 | 1,055 | ||||||
Cornerstone Building Brands | ||||||||
6.125%, 01/15/2029 (A) | 567 | 316 | ||||||
CoStar Group | ||||||||
2.800%, 07/15/2030 (A) | 625 | 493 | ||||||
CP Atlas Buyer | ||||||||
7.000%, 12/01/2028 (A) | 955 | 711 | ||||||
DP World MTN | ||||||||
6.850%, 07/02/2037 (A) | 100 | 102 | ||||||
5.625%, 09/25/2048 (A) | 450 | 393 | ||||||
GEO Group | ||||||||
10.500%, 06/30/2028 | 742 | 734 | ||||||
GFL Environmental | ||||||||
5.125%, 12/15/2026 (A) | 330 | 307 | ||||||
4.000%, 08/01/2028 (A) | 1,188 | 990 | ||||||
Global Infrastructure Solutions | ||||||||
7.500%, 04/15/2032 (A) | 455 | 346 | ||||||
5.625%, 06/01/2029 (A) | 1,271 | 940 | ||||||
Granite US Holdings | ||||||||
11.000%, 10/01/2027 (A) | 350 | 330 | ||||||
GYP Holdings III | ||||||||
4.625%, 05/01/2029 (A) | 470 | 358 | ||||||
H&E Equipment Services | ||||||||
3.875%, 12/15/2028 (A) | 240 | 188 | ||||||
Hawaiian Brand Intellectual Property | ||||||||
5.750%, 01/20/2026 (A) | 1,330 | 1,173 | ||||||
Hillenbrand | ||||||||
3.750%, 03/01/2031 | 589 | 455 | ||||||
Husky III Holding | ||||||||
13.000%cash/0% PIK, 02/15/2025 (A) | 600 | 563 | ||||||
IHS Holding | ||||||||
6.250%, 11/29/2028 (A) | 350 | 267 | ||||||
5.625%, 11/29/2026 (A) | 440 | 346 | ||||||
Johnson Controls International | ||||||||
4.900%, 12/01/2032 | 150 | 142 | ||||||
KOC Holding | ||||||||
6.500%, 03/11/2025 | 2,170 | 2,036 | ||||||
5.250%, 03/15/2023 | 1,330 | 1,314 | ||||||
Legends Hospitality Holding | ||||||||
5.000%, 02/01/2026 (A) | 510 | 437 | ||||||
Madison IAQ | ||||||||
5.875%, 06/30/2029 (A) | 189 | 132 | ||||||
4.125%, 06/30/2028 (A) | 179 | 144 | ||||||
Mexico City Airport Trust | ||||||||
5.500%, 10/31/2046 | 400 | 252 | ||||||
5.500%, 07/31/2047 | 892 | 558 |
310
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.250%, 10/31/2026 (A) | $ | 210 | $ | 187 | ||||
3.875%, 04/30/2028 (A) | 1,190 | 982 | ||||||
MHP Lux | ||||||||
6.950%, 04/03/2026 (F) | 1,870 | 910 | ||||||
MV24 Capital BV | ||||||||
6.748%, 06/01/2034 | 2,391 | 2,020 | ||||||
Northrop Grumman | ||||||||
3.250%, 01/15/2028 | 1,950 | 1,774 | ||||||
Otis Worldwide | ||||||||
2.565%, 02/15/2030 | 1,425 | 1,166 | ||||||
Park-Ohio Industries | ||||||||
6.625%, 04/15/2027 | 1,550 | 1,163 | ||||||
Spirit AeroSystems | ||||||||
4.600%, 06/15/2028 | 2,135 | 1,543 | ||||||
Spirit Loyalty Cayman | ||||||||
8.000%, 09/20/2025 (A) | 503 | 506 | ||||||
Standard Industries | ||||||||
4.375%, 07/15/2030 (A) | 645 | 493 | ||||||
Stanley Black & Decker | ||||||||
4.250%, 11/15/2028 | 650 | 612 | ||||||
Swire Pacific Financing MTN | ||||||||
4.500%, 10/09/2023 | 200 | 199 | ||||||
Titan Acquisition | ||||||||
7.750%, 04/15/2026 (A) | 1,465 | 1,158 | ||||||
TK Elevator Holdco GmbH | ||||||||
7.625%, 07/15/2028 (A) | 1,546 | 1,295 | ||||||
TransDigm | ||||||||
8.000%, 12/15/2025 (A) | 310 | 314 | ||||||
7.500%, 03/15/2027 | 260 | 248 | ||||||
5.500%, 11/15/2027 | 1,330 | 1,157 | ||||||
4.875%, 05/01/2029 | 359 | 290 | ||||||
4.625%, 01/15/2029 | 135 | 109 | ||||||
Triumph Group | ||||||||
8.875%, 06/01/2024 (A) | 100 | 99 | ||||||
7.750%, 08/15/2025 | 1,821 | 1,392 | ||||||
Tutor Perini | ||||||||
6.875%, 05/01/2025 (A) | 440 | 329 | ||||||
United Airlines | ||||||||
4.625%, 04/15/2029 (A) | 330 | 273 | ||||||
United Airlines Pass-Through Trust, Ser 2020-1, Cl B | ||||||||
4.875%, 01/15/2026 | 64 | 59 | ||||||
United Rentals North America | ||||||||
5.250%, 01/15/2030 | 530 | 480 | ||||||
Vertiv Group | ||||||||
4.125%, 11/15/2028 (A) | 810 | 652 | ||||||
XPO CNW | ||||||||
6.700%, 05/01/2034 | 1,130 | 1,050 | ||||||
53,397 | ||||||||
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Information Technology — 3.0% | ||||||||
Arches Buyer | ||||||||
6.125%, 12/01/2028 (A) | $ | 364 | $ | 282 | ||||
Broadcom | ||||||||
3.500%, 02/15/2041 (A) | 525 | 354 | ||||||
3.469%, 04/15/2034 (A) | 175 | 131 | ||||||
3.419%, 04/15/2033 (A) | 1,150 | 878 | ||||||
3.187%, 11/15/2036 (A) | 53 | 36 | ||||||
Castle US Holding | ||||||||
9.500%, 02/15/2028 (A) | 1,334 | 981 | ||||||
Central Parent | ||||||||
7.250%, 06/15/2029 (A) | 880 | 837 | ||||||
Clarivate Science Holdings | ||||||||
4.875%, 07/01/2029 (A) | 1,206 | 944 | ||||||
Coherent | ||||||||
5.000%, 12/15/2029 (A) | 420 | 348 | ||||||
CommScope | ||||||||
8.250%, 03/01/2027 (A) | 120 | 99 | ||||||
4.750%, 09/01/2029 (A) | 410 | 334 | ||||||
Crowdstrike Holdings | ||||||||
3.000%, 02/15/2029 | 280 | 235 | ||||||
Dell International | ||||||||
6.020%, 06/15/2026 | 1,525 | 1,531 | ||||||
5.450%, 06/15/2023 | 141 | 141 | ||||||
5.300%, 10/01/2029 | 75 | 70 | ||||||
Elastic | ||||||||
4.125%, 07/15/2029 (A) | 695 | 549 | ||||||
Endurance International Group Holdings | ||||||||
6.000%, 02/15/2029 (A) | 1,260 | 837 | ||||||
Global Payments | ||||||||
2.650%, 02/15/2025 | 400 | 374 | ||||||
Hewlett Packard Enterprise | ||||||||
4.900%, 10/15/2025 | 1,865 | 1,849 | ||||||
Imola Merger | ||||||||
4.750%, 05/15/2029 (A) | 1,054 | 889 | ||||||
ION Trading Technologies S.A.R.L. | ||||||||
5.750%, 05/15/2028 (A) | 687 | 560 | ||||||
Lam Research | ||||||||
1.900%, 06/15/2030 | 300 | 238 | ||||||
MEGlobal Canada ULC MTN | ||||||||
5.875%, 05/18/2030 (A) | 460 | 455 | ||||||
Meta Platforms | ||||||||
3.850%, 08/15/2032 (A) | 950 | 835 | ||||||
3.500%, 08/15/2027 (A) | 950 | 888 | ||||||
NCR | ||||||||
5.125%, 04/15/2029 (A) | 530 | 398 | ||||||
NortonLifeLock | ||||||||
7.125%, 09/30/2030 (A) | 660 | 638 | ||||||
NXP BV | ||||||||
3.400%, 05/01/2030 | 225 | 187 | ||||||
Open Text Holdings | ||||||||
4.125%, 02/15/2030 (A) | 3 | 2 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
311
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Oracle | ||||||||
2.875%, 03/25/2031 | $ | 550 | $ | 434 | ||||
Paysafe Finance | ||||||||
4.000%, 06/15/2029 (A) | 400 | 279 | ||||||
Presidio Holdings | ||||||||
8.250%, 02/01/2028 (A) | 110 | 95 | ||||||
Prosus | ||||||||
3.680%, 01/21/2030 (A) | 250 | 187 | ||||||
Prosus MTN | ||||||||
4.027%, 08/03/2050 (A) | 560 | 312 | ||||||
3.061%, 07/13/2031 (A) | 740 | 508 | ||||||
Saga | ||||||||
5.500%, 07/15/2026 | GBP | 610 | 490 | |||||
SPCM | ||||||||
3.375%, 03/15/2030 (A) | $ | 310 | 242 | |||||
Sprint Capital | ||||||||
8.750%, 03/15/2032 | 510 | 591 | ||||||
Sunny Express Enterprises | ||||||||
3.350%(D)(E) | 200 | 200 | ||||||
Switch | ||||||||
4.125%, 06/15/2029 (A) | 300 | 297 | ||||||
TeamSystem | ||||||||
3.500%, 02/15/2028 (A) | EUR | 550 | 444 | |||||
Uniquify | ||||||||
6.000%, 06/15/2024 (A) | $ | 158 | 152 | |||||
United Group BV | ||||||||
4.625%, 08/15/2028 (A) | EUR | 450 | 311 | |||||
Vericast | ||||||||
13.000%, 10/15/2027 (A) | $ | 180 | 204 | |||||
11.000%, 09/15/2026 (A) | 240 | 236 | ||||||
Virtusa | ||||||||
7.125%, 12/15/2028 (A) | 275 | 204 | ||||||
21,086 | ||||||||
Materials — 2.4% | ||||||||
Anglo American Capital | ||||||||
5.625%, 04/01/2030 (A) | 500 | 473 | ||||||
AngloGold Ashanti Holdings | ||||||||
3.750%, 10/01/2030 | 930 | 721 | ||||||
Ardagh Metal Packaging Finance USA | ||||||||
6.000%, 06/15/2027 (A) | 210 | 198 | ||||||
4.000%, 09/01/2029 (A) | 360 | 264 | ||||||
3.000%, 09/01/2029 | EUR | 350 | 244 | |||||
ASP Unifrax Holdings | ||||||||
5.250%, 09/30/2028 (A) | $ | 275 | 211 | |||||
Avient | ||||||||
7.125%, 08/01/2030 (A) | 500 | 461 | ||||||
Axalta Coating Systems | ||||||||
3.375%, 02/15/2029 (A) | 1,405 | 1,101 | ||||||
Berry Global | ||||||||
1.570%, 01/15/2026 | 325 | 283 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Braskem Netherlands Finance BV | ||||||||
4.500%, 01/10/2028 (A) | $ | 670 | $ | 567 | ||||
Chemours | ||||||||
4.625%, 11/15/2029 (A) | 1,645 | 1,221 | ||||||
Cleveland-Cliffs | �� | |||||||
4.875%, 03/01/2031 (A) | 715 | 591 | ||||||
First Quantum Minerals | ||||||||
6.875%, 10/15/2027 (A) | 1,000 | 900 | ||||||
Freeport-McMoRan | ||||||||
5.450%, 03/15/2043 | 750 | 626 | ||||||
Glencore Funding | ||||||||
4.125%, 03/12/2024 (A) | 400 | 393 | ||||||
Huntsman International | ||||||||
4.500%, 05/01/2029 | 375 | 331 | ||||||
INEOS Quattro Finance II | ||||||||
3.375%, 01/15/2026 (A) | 205 | 171 | ||||||
Ingevity | ||||||||
3.875%, 11/01/2028 (A) | 735 | 608 | ||||||
LABL | ||||||||
6.750%, 07/15/2026 (A) | 950 | 862 | ||||||
Metinvest BV | ||||||||
7.750%, 04/23/2023 (A) | 375 | 188 | ||||||
Newcrest Finance Pty | ||||||||
3.250%, 05/13/2030 (A) | 150 | 125 | ||||||
OCP | ||||||||
3.750%, 06/23/2031 (A) | 200 | 152 | ||||||
Owens-Brockway Glass Container | ||||||||
6.625%, 05/13/2027 (A) | 200 | 181 | ||||||
Pactiv | ||||||||
8.375%, 04/15/2027 | 1,615 | 1,441 | ||||||
7.950%, 12/15/2025 | 130 | 121 | ||||||
Rayonier AM Products | ||||||||
7.625%, 01/15/2026 (A) | 125 | 110 | ||||||
Samarco Mineracao | ||||||||
5.750%, 10/24/2023 (F) | 200 | 123 | ||||||
4.125%, 11/01/2022 (F) | 200 | 117 | ||||||
Sasol Financing USA | ||||||||
5.500%, 03/18/2031 | 440 | 332 | ||||||
4.375%, 09/18/2026 | 1,360 | 1,187 | ||||||
Sealed Air | ||||||||
6.875%, 07/15/2033 (A) | 411 | 393 | ||||||
SRM Escrow Issuer | ||||||||
6.000%, 11/01/2028 (A) | 710 | 577 | ||||||
Suzano Austria GmbH | ||||||||
3.125%, 01/15/2032 | 590 | 425 | ||||||
Syngenta Finance MTN | ||||||||
1.250%, 09/10/2027 | EUR | 200 | 163 | |||||
Teck Resources | ||||||||
3.900%, 07/15/2030 | $ | 250 | 213 | |||||
Vale Overseas | ||||||||
6.250%, 08/10/2026 | 580 | 585 |
312
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
WR Grace Holdings | ||||||||
5.625%, 08/15/2029 (A) | $ | 670 | $ | 502 | ||||
17,161 | ||||||||
Real Estate — 0.9% | ||||||||
Agree | ||||||||
2.900%, 10/01/2030 | 175 | 140 | ||||||
Alexandria Real Estate Equities | ||||||||
3.375%, 08/15/2031 | 375 | 315 | ||||||
Diversified Healthcare Trust | ||||||||
9.750%, 06/15/2025 | 234 | 212 | ||||||
Duke Realty | ||||||||
1.750%, 07/01/2030 | 300 | 234 | ||||||
Essex Portfolio | ||||||||
3.000%, 01/15/2030 | 400 | 332 | ||||||
Five Point Operating | ||||||||
7.875%, 11/15/2025 (A) | 870 | 692 | ||||||
IIP Operating Partnership | ||||||||
5.500%, 05/25/2026 | 410 | 366 | ||||||
Iron Mountain Information Management Services | ||||||||
5.000%, 07/15/2032 (A) | 820 | 635 | ||||||
MPT Operating Partnership | ||||||||
3.692%, 06/05/2028 | GBP | 544 | 448 | |||||
Realty Income | ||||||||
4.875%, 06/01/2026 | $ | 1,000 | 983 | |||||
2.850%, 12/15/2032 | 375 | 300 | ||||||
Service Properties Trust | ||||||||
7.500%, 09/15/2025 | 370 | 346 | ||||||
5.500%, 12/15/2027 | 370 | 300 | ||||||
Spirit Realty | ||||||||
3.200%, 01/15/2027 | 600 | 526 | ||||||
WP Carey | ||||||||
4.250%, 10/01/2026 | 700 | 660 | ||||||
6,489 | ||||||||
Utilities — 1.2% | ||||||||
AES | ||||||||
2.450%, 01/15/2031 | 340 | 260 | ||||||
Alliant Energy Finance | ||||||||
4.250%, 06/15/2028 (A) | 125 | 115 | ||||||
American Electric Power | ||||||||
2.300%, 03/01/2030 | 300 | 239 | ||||||
Berkshire Hathaway Energy | ||||||||
4.250%, 10/15/2050 | 175 | 141 | ||||||
Calpine | ||||||||
3.750%, 03/01/2031 (A) | 1,875 | 1,467 | ||||||
Eskom Holdings SOC MTN | ||||||||
6.750%, 08/06/2023 | 230 | 218 | ||||||
6.350%, 08/10/2028 | 500 | 435 | ||||||
Greenko Investment | ||||||||
4.875%, 08/16/2023 (A) | 410 | 391 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
InterGen | ||||||||
7.000%, 06/30/2023 (A) | $ | 470 | $ | 457 | ||||
NiSource | ||||||||
3.600%, 05/01/2030 | 50 | 44 | ||||||
Pike | ||||||||
5.500%, 09/01/2028 (A) | 983 | 796 | ||||||
Sempra Energy | ||||||||
3.400%, 02/01/2028 | 1,075 | 972 | ||||||
Southern California Edison | ||||||||
4.200%, 03/01/2029 | 450 | 416 | ||||||
Sunnova Energy | ||||||||
5.875%, 09/01/2026 (A) | 410 | 366 | ||||||
TransAlta | ||||||||
6.500%, 03/15/2040 | 1,020 | 935 | ||||||
Vistra Operations | ||||||||
3.550%, 07/15/2024 (A) | 1,200 | 1,144 | ||||||
8,396 | ||||||||
Total Corporate Obligations | ||||||||
(Cost $425,186) ($ Thousands) | 349,258 | |||||||
LOAN PARTICIPATIONS — 13.5% | ||||||||
19th Holdings Golf LLC, Initial Term Loan, 1st Lien | ||||||||
5.696%, CME Term SOFR + 3.000%, 02/07/2029 (B)(D) | 918 | 849 | ||||||
ABG, Term Loan, 1st Lien | ||||||||
6.634%, 12/21/2028 (D) | 337 | 322 | ||||||
Academy, LTD., Initial Term Loan (2021), 1st Lien | ||||||||
6.314%, LIBOR + 3.750%, 11/05/2027 (D) | 215 | 210 | ||||||
Acrisure, LLC, 2020 Term Loan, 1st Lien | ||||||||
6.615%, LIBOR + 3.500%, 02/15/2027 (D) | 361 | 329 | ||||||
ADS Tactical Inc, Term Loan, 1st Lien | ||||||||
8.802%, 03/19/2026 (D) | 1,110 | 1,014 | ||||||
Adtalem Global, Term Loan, 1st Lien | ||||||||
7.052%, 08/12/2028 | 351 | 347 | ||||||
Air Canada, Term Loan, 1st Lien | ||||||||
6.421%, 08/11/2028 (D) | 599 | 568 | ||||||
Allen Media LLC, Initial Term Loan, 1st Lien | ||||||||
9.203%, 02/10/2027 | 966 | 832 | ||||||
Allied Universal Holdco LLC (f/k/a USAGM Holdco, LLC), Initial U.S. Dollar Term Loan, 1st Lien | ||||||||
6.784%, LIBOR + 3.750%, 05/12/2028 (D) | 672 | 589 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
313
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Alterra Moutain Company, Series B-2 Term Loan, 1st Lien | ||||||||
6.615%, 08/17/2028 (D) | $ | 528 | $ | 511 | ||||
AMC Entertainment Holdings, Inc. (fka AMC Entertainment Inc.), Term B-1 Loan, 1st Lien | ||||||||
5.756%, LIBOR + 3.000%, 04/22/2026 (D) | 364 | 284 | ||||||
Amentum Goverment Services Holdings LLC, Term Loan, 1st Lien | ||||||||
7.558%, 02/15/2029 (D) | 512 | 488 | ||||||
7.206%, 02/15/2029 | 455 | 434 | ||||||
Amentum Government Services Holdings LLC, Initial Term Loan, 1st Lien | ||||||||
7.674%, LIBOR + 3.500%, 01/29/2027 (D) | 358 | 340 | ||||||
Amentum Government Services Holdings LLC, Tranche 1 Term Loan, 1st Lien | ||||||||
7.674%, LIBOR + 3.500%, 01/29/2027 (D) | 180 | 171 | ||||||
Amentum/Aecom Maverick, Term Loan, 2nd Lien | ||||||||
12.920%, 01/31/2028 | 151 | 138 | ||||||
Apex Tool Group, Term Loan, 1st Lien | ||||||||
8.098%, 02/08/2029 (D) | 898 | 791 | ||||||
Apollo Commercial Real Estate Finance, Inc., Term B-1 Loan, 1st Lien | ||||||||
6.584%, LIBOR + 3.500%, 03/11/2028 (B)(D) | 1,064 | 995 | ||||||
Apollo Commercial Real Estate Finance, Inc., Term Loan, 1st Lien | ||||||||
5.865%, 05/15/2026 (D) | 20 | 18 | ||||||
AppLovin Corporation, Amendment No. 6 New Term Loan, 1st Lien | ||||||||
6.674%, 10/25/2028 (D) | 468 | 448 | ||||||
Arcis Golf LLC, Initial Term Loan, 1st Lien | ||||||||
7.365%, 11/24/2028 | 697 | 676 | ||||||
Arctic Canadian Diamond Company Ltd., Term Loan, 2nd Lien | ||||||||
7.500%, 12/31/2027 (B) | 861 | 830 | ||||||
Asurion, LLC, New B-4 Term Loan, 2nd Lien | ||||||||
6.615%, 01/20/2029 (D) | 950 | 722 | ||||||
Asurion, LLC, New B-9 Term Loan, 1st Lien | ||||||||
6.365%, LIBOR + 3.250%, 07/31/2027 (D) | 502 | 423 | ||||||
Athena Helath Group, Initial Term Loan | ||||||||
6.576%, 02/15/2029 (D) | 77 | 69 | ||||||
Atlantic Aviation, Term Loan, 2nd Lien | ||||||||
6.615%, 09/21/2029 (D) | 125 | 119 | ||||||
Autokiniton, Term Loan B, 1st Lien | ||||||||
7.185%, 04/06/2028 (D) | 217 | 200 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Brown Group Holdings, LLC, Initial Term Loan, 1st Lien | ||||||||
5.615%, LIBOR + 2.750%, 06/07/2028 (D) | $ | 984 | $ | 934 | ||||
Caesars Resort Collection, LLC, Term B Loan, 1st Lien | ||||||||
5.865%, LIBOR + 2.750%, 12/23/2024 (D) | 684 | 667 | ||||||
Caesars Resort Collection, LLC, Term B-1 Loan, 1st Lien | ||||||||
6.615%, 07/21/2025 (D) | 173 | 170 | ||||||
Cardinal Parent, Inc., Initial Term Loan, 1st Lien | ||||||||
8.174%, LIBOR + 4.500%, 11/12/2027 (D) | 615 | 581 | ||||||
Carnival Corporation, 2021 Incremental Term B Advance, 1st Lien | ||||||||
6.127%, 10/18/2028 | 485 | 423 | ||||||
Castle US Holding Corporation, Initial Dollar Term Loan, 1st Lien | ||||||||
6.865%, LIBOR + 3.750%, 01/29/2027 (D) | 362 | 290 | ||||||
Chariot Buyer LLC, Initial Term Loan, 1st Lien | ||||||||
6.615%, 11/03/2028 | 571 | 517 | ||||||
Citadel Securities LP, 2021 Term Loan, 1st Lien | ||||||||
5.649%, LIBOR + 2.500%, 02/02/2028 (D) | 635 | 616 | ||||||
City Brewing Company, LLC, Closing Date Term Loan, 1st Lien | ||||||||
6.185%, LIBOR + 3.500%, 04/05/2028 (D) | 376 | 292 | ||||||
CityMD/Summit Health, Term Loan, 1st Lien | ||||||||
6.924%, 12/22/2028 | 662 | 632 | ||||||
Clark Equipment Company, Term Loan B, 1st Lien | ||||||||
6.153%, 04/20/2029 (D) | 100 | 97 | ||||||
ClubCorp Holdings, Inc., Term B Loan, 1st Lien | ||||||||
6.424%, LIBOR + 2.750%, 09/18/2024 (D)(H) | 705 | 647 | ||||||
CNT Holdings I Corp, Initial Term Loan, 1st Lien | ||||||||
6.248%, LIBOR + 3.750%, 11/08/2027 (D) | 739 | 702 | ||||||
Commscope, Inc., Initial Term Loan, 1st Lien | ||||||||
6.365%, LIBOR + 3.250%, 04/06/2026 (D) | 931 | 858 | ||||||
CPP, Term Loan, 2nd Lien | ||||||||
10.560%, 04/30/2026 | 370 | 307 |
314
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Crosby US Acquisition Corp., Initial Term Loan, 1st Lien | ||||||||
7.834%, LIBOR + 4.750%, 06/26/2026 (D) | $ | 992 | $ | 931 | ||||
CTC Holdings/Chicago Trading Company, Term Loan, 1st Lien | ||||||||
8.357%, 02/20/2029 (D) | 567 | 542 | ||||||
DCert Buyer, Inc., First Amendment Refinancing Loan, 2nd Lien | ||||||||
9.903%, LIBOR + 7.000%, 02/19/2029 (D) | 2,190 | 2,034 | ||||||
DCert Buyer, Inc., Initial Term Loan, 1st Lien | ||||||||
6.903%, LIBOR + 4.000%, 10/16/2026 (D) | 874 | 832 | ||||||
Deerfield Dakota Holding, Llc 4/7/2028 2021 Replacement Term Loan, 2nd Lien | ||||||||
9.865%, 04/07/2028 (B)(D) | 300 | 290 | ||||||
Deerfield Dakota Holding, LLC, Initial Dollar Term Loan, 1st Lien | ||||||||
6.784%, LIBOR + 3.750%, 04/09/2027 (D) | 244 | 230 | ||||||
Del Monte Food, Term Loan, 1st Lien | ||||||||
7.374%, 05/16/2029 | 650 | 621 | ||||||
Diamond Sports Group LLC, Term Loan, 1st Lien | ||||||||
10.696%, 05/25/2026 (D)(H) | 99 | 95 | ||||||
DirecTV Financing LLC, Closing Date Term Loan, 1st Lien | ||||||||
8.115%, LIBOR + 5.000%, 08/02/2027 (D) | 865 | 803 | ||||||
Empire Today, Term Loan, 1st Lien | ||||||||
7.685%, 04/03/2028 (D) | 482 | 381 | ||||||
Energize Holdco LLC, Initial Term Loan, 1st Lien | ||||||||
6.865%, 12/08/2028 (D) | 796 | 742 | ||||||
Energize Holdco LLC, Initial Term Loan, 2nd Lien | ||||||||
9.865%, 12/07/2029 | 425 | 397 | ||||||
Engineered Machinery Holdings, Inc., Incremental Amendment No. 4 Term Loan, 1st Lien | ||||||||
3.750%, 05/21/2028 (D) | 322 | 284 | ||||||
Engineered Machinery Holdings, Inc., Incremental Amendment No. 5 Term Loan, 1st Lien | ||||||||
7.424%, 05/19/2028 | 718 | 689 | ||||||
Equinox Holdings Inc., Incremental Term B-2 Loan, 1st Lien | ||||||||
12.674%, 03/08/2024 (D) | 244 | 196 | ||||||
EyeCare Partners, LLC, Term Loan, 1st Lien | ||||||||
7.424%, LIBOR + 3.750%, 02/18/2027 (D) | 752 | 680 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
EyeCare Partners, Term Loan, 1st Lien | ||||||||
7.424%, 11/15/2028 | $ | 458 | $ | 427 | ||||
EyeCare Partners, Term Loan, 2nd Lien | ||||||||
10.424%, 11/15/2029 | 430 | 391 | ||||||
Fanatics Commercial, Term Loan, 1st Lien | ||||||||
6.056%, 11/24/2028 (H) | 715 | 688 | ||||||
First Brand Group, Term Loan, 2nd Lien | ||||||||
11.871%, 03/30/2028 | 1,410 | 1,343 | ||||||
First Brands Group, LLC, 2021 Term Loan, 1st Lien | ||||||||
8.369%, LIBOR + 5.000%, 03/30/2027 (D) | 878 | 842 | ||||||
Focus Financial Partnersm LLC, Tranche B-3, Term Loan, 1st Lien | ||||||||
5.115%, LIBOR + 2.000%, 07/03/2024 (D)(H) | 570 | 555 | ||||||
Focus Financial, Term Loan, 1st Lien | ||||||||
5.615%, 06/30/2028 | 534 | 515 | ||||||
Froneri International Limited, Facility B1, 1st Lien | ||||||||
3.006%, Euribor + 2.375%, 01/29/2027 (D) | 330 | 286 | ||||||
Froneri International Limited, Facility B2, 1st Lien | ||||||||
5.365%, LIBOR + 2.250%, 01/29/2027 (D) | 137 | 129 | ||||||
Gainwell Acquisition Corp., Term B Loan, 1st Lien | ||||||||
7.674%, LIBOR + 4.000%, 10/01/2027 (D) | 1,965 | 1,868 | ||||||
Garda Security, Term Loan, 1st Lien | ||||||||
7.050%, 02/01/2029 | 570 | 529 | ||||||
Garda World Security Corp | ||||||||
7.240%, LIBOR + 4.250%, 10/30/2026 (D) | 679 | 637 | ||||||
Getty Images, Inc., Initial Dollar Term Loan, 1st Lien | ||||||||
7.625%, LIBOR + 4.500%, 02/19/2026 (D) | 381 | 378 | ||||||
Global Medical Response, Inc., 2020 Refinancing Term Loan, 1st Lien | ||||||||
6.814%, LIBOR + 4.750%, 10/02/2025 (D) | 1,171 | 1,012 | ||||||
Global Tel*Link Corporation, Term Loan, 1st Lien | ||||||||
7.056%, LIBOR + 0.040%, 11/29/2025 (D) | 570 | 509 | ||||||
Great Outdoors Group, LLC, Term B-2 Loan, 1st Lien | ||||||||
6.865%, 03/06/2028 (D) | 795 | 732 | ||||||
Greystone Select, Term Loan, 1st Lien | ||||||||
7.738%, 06/16/2028 (D) | 285 | 265 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
315
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Grifols Worldwide Operations Limited, Dollar Tranche B Term Loan, 1st Lien | ||||||||
5.115%, LIBOR + 2.000%, 11/15/2027 (D) | $ | 318 | $ | 302 | ||||
Grinding Media, Inc., Term Loan B, 1st Lien | ||||||||
7.702%, 10/12/2028 (D) | 941 | 837 | ||||||
Hexion, 1st Lien | ||||||||
7.413%, 03/15/2029 (D)(H) | 708 | 601 | ||||||
Holley Inc., Initial Term Loan, 1st Lien | ||||||||
7.424%, 08/01/2027 | 93 | 85 | ||||||
6.711%, 11/17/2028 | 976 | 885 | ||||||
Hornblower, Term Loan, 1st Lien | ||||||||
7.377%, 04/27/2025 (H) | 655 | 451 | ||||||
Hudson River Trading LLC, Term Loan, 1st Lien | ||||||||
6.164%, LIBOR + 3.000%, 03/20/2028 (D) | 1,025 | 925 | ||||||
Hunter Douglas, Term Loan | ||||||||
6.340%, 02/26/2029 | 236 | 193 | ||||||
Hunter Douglas, Term Loan, 1st Lien | ||||||||
6.340%, 02/26/2029 (D) | 642 | 526 | ||||||
Icebox Holdco III, Inc., Initial Term Loan, 1st Lien | ||||||||
7.424%, 12/22/2028 (H) | 639 | 597 | ||||||
Icebox Holdco III, Inc., Initial Term Loan, 2nd Lien | ||||||||
10.424%, 12/21/2029 (H) | 225 | 208 | ||||||
Intelsat Jackson, Term Loan, 1st Lien | ||||||||
7.445%, 02/01/2029 (D) | 1,077 | 1,009 | ||||||
Jane Street Group, LLC, Dollar Term Loan, 1st Lien | ||||||||
5.865%, LIBOR + 2.750%, 01/26/2028 (D) | 1,029 | 986 | ||||||
Jazz Pharmaceuticals Public Limited Company, Initial Dollar Term Loan, 1st Lien | ||||||||
6.615%, LIBOR + 3.500%, 05/05/2028 (D) | 713 | 688 | ||||||
Jump Financial LLC, Term Loan, 1st Lien | ||||||||
8.315%, CME Term SOFR + 4.500%, 08/07/2028 (D) | 1,892 | 1,754 | ||||||
Knight Health Holdings, Term Loan, 1st Lien | ||||||||
8.365%, 12/23/2028 (H) | 645 | 467 | ||||||
LABL, Initial Dollar Term Loan, 1st Lien | ||||||||
8.115%, LIBOR + 5.000%, 10/29/2028 (D) | 645 | 580 | ||||||
Lakeshore Learning Materials, Term Loan, 1st Lien | ||||||||
6.133%, 09/29/2028 (D) | 1,340 | 1,273 | ||||||
LaserShip, Inc., Initial Term Loan, 1st Lien | ||||||||
7.377%, LIBOR + 4.500%, 05/07/2028 (D) | 965 | 810 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Lids Holdings, Term Loan | ||||||||
8.990%, 12/14/2026 (B) | $ | 979 | $ | 992 | ||||
Loyalty Ventures Inc., Term B Loan, 1st Lien | ||||||||
7.615%, 11/03/2027 | 897 | 269 | ||||||
LRS Holdings, LLC, Intial Term Loan, 1st Lien | ||||||||
7.365%, 08/31/2028 | 665 | 628 | ||||||
LS Group Opco Acquisition LLC (LS Group PropCo Acquisition LLC), Initial Term Loan, 1st Lien | ||||||||
6.580%, LIBOR + 3.250%, 11/02/2027 (D) | 354 | 337 | ||||||
Madison IAQ, LLC, Initial Term Loan, 1st Lien | ||||||||
6.815%, LIBOR + 3.250%, 06/21/2028 (D) | 277 | 255 | ||||||
Magenta Buyer LLC, Initial Term Loan, 1st Lien | ||||||||
7.870%, LIBOR + 5.000%, 07/27/2028 (D) | 802 | 722 | ||||||
Maverick Purchase, Term Loan, 1st Lien | ||||||||
12.920%, 01/31/2028 (H) | 289 | 263 | ||||||
Mercury Borrower, Inc., Initial Term Loan, 1st Lien | ||||||||
7.188%, 08/02/2028 (D) | 736 | 668 | ||||||
Mileage Plus Holdings, LLC (Mileage Plus Intellectual Property Assets, Ltd.), Initial Term Loan, 1st Lien | ||||||||
8.777%, LIBOR + 5.250%, 06/21/2027 (D) | 703 | 705 | ||||||
Mister Car Wash Holdings, Inc., Initial Term Loan, 1st Lien | ||||||||
6.115%, LIBOR + 3.000%, 05/14/2026 (D) | 266 | 256 | ||||||
Monitronics International Inc, Term Loan, 1st Lien | ||||||||
10.306%, LIBOR + 6.500%, 03/29/2024 (D) | 640 | 423 | ||||||
Mozart Debt Merger, Term Loan, 1st Lien | ||||||||
6.365%, LIBOR + 3.250%, 10/23/2028 (D)(H) | 945 | 868 | ||||||
Naked Juice/Tropicana, Term Loan, 1st Lien | ||||||||
6.903%, 01/24/2029 (D)(H) | 45 | 41 | ||||||
New Era Cap, Term Loan, 1st Lien | ||||||||
8.455%, 07/13/2027 (H) | 683 | 648 | ||||||
Newport Parent, Inc., Initial Term Loan, 1st Lien | ||||||||
8.750%, 12/10/2027 (D) | 884 | 852 | ||||||
One Call Corporation, Term B Loan, 1st Lien | ||||||||
8.313%, LIBOR + 5.500%, 04/22/2027 (D) | 958 | 699 | ||||||
Pacific Bells, LLC, Initial Term Loan, 1st Lien | ||||||||
8.315%, 11/10/2028 | 258 | 240 |
316
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Packers Holdings, LLC, Initial Term Loan, 1st Lien | ||||||||
6.006%, LIBOR + 3.250%, 03/09/2028 (D) | $ | 1,010 | $ | 925 | ||||
Parexel International, Term Loan, 1st Lien | ||||||||
6.365%, LIBOR + 3.250%, 11/15/2028 (D) | 1,045 | 995 | ||||||
Particle Investment S.A.R.L. (WebPros), Term Loan, 1st Lien | ||||||||
8.924%, 02/18/2027 (B)(D) | 367 | 354 | ||||||
PDS HoldCo Inc., Delayed Draw Term Loan, 1st Lien | ||||||||
7.615%, 08/18/2028 | 437 | 391 | ||||||
7.306%, 08/18/2028 | 39 | 35 | ||||||
PDS Holdco Inc., Term Loan | ||||||||
7.282%, 08/18/2028 | 1 | 1 | ||||||
PECF USS Intermediate Holding III Corporation, Initial Term Loan, 1st Lien | ||||||||
7.365%, 12/15/2028 (H) | 566 | 481 | ||||||
Peraton Corp., Term B Loan, 1st Lien | ||||||||
6.865%, LIBOR + 3.750%, 02/01/2028 (D)(H) | 1,128 | 1,067 | ||||||
Peraton Corp., Term B-1 Loan, 2nd Lien | ||||||||
10.568%, LIBOR + 7.750%, 02/01/2029 (D) | 582 | 549 | ||||||
Phoenix Guarantor Inc., Tranche B-1 Term Loan, 1st Lien | ||||||||
6.365%, LIBOR + 3.250%, 03/05/2026 (D) | 42 | 39 | ||||||
Pilot Travel Centers, LLC, Initial Tranche B Term Loan | ||||||||
5.134%, 08/04/2028 (D) | 334 | 319 | ||||||
Polyconcept, Term Loan, 1st Lien | ||||||||
8.534%, 05/18/2029 | 670 | 634 | ||||||
Precision Medicine Group, LLC, Amendment No. 1 Refinancing Term Loan, 1st Lien | ||||||||
6.674%, LIBOR + 3.000%, 11/18/2027 (D) | 715 | 660 | ||||||
Project Sky, Term Loan, 1st Lien | ||||||||
9.115%, 10/08/2029 (D)(H) | 390 | 328 | ||||||
6.865%, 10/08/2028 (D) | 766 | 670 | ||||||
Quikrete Holding, Term Loan B1, 1st Lien | ||||||||
6.115%, 06/11/2028 (D) | 667 | 640 | ||||||
Rackspace Technology Global, Inc., 2021 Term B Loan, 1st Lien | ||||||||
5.617%, LIBOR + 2.750%, 02/15/2028 (D)(H) | 946 | 670 | ||||||
Radiology Partners, Inc., Term B Loan, 1st Lien | ||||||||
7.334%, 07/09/2025 | 296 | 247 | ||||||
7.302%, 07/09/2025 | 254 | 212 | ||||||
RC Buyer, Inc., Initial Term Loan, 2nd Lien | ||||||||
10.174%, 07/30/2029 | 300 | 284 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Redstone HoldCo 2 LP, Initial Loan, 2nd Lien | ||||||||
10.519%, LIBOR + 7.750%, 04/27/2029 (D) | $ | 910 | $ | 719 | ||||
Redstone Holdco, Term Loan, 1st Lien | ||||||||
7.533%, LIBOR + 4.750%, 04/27/2028 (D) | 832 | 613 | ||||||
Resolute Investment Managers, Inc., Tranche C Term Loan, 1st Lien | ||||||||
7.924%, 04/30/2024 | 302 | 268 | ||||||
Rough Country LLC, Term Loan, 1st Lien | ||||||||
7.174%, 07/28/2028 (D) | 691 | 646 | ||||||
Royal Caribbean Cruises, Term Loan, 1st Lien | ||||||||
11.370%, 07/27/2029 | 900 | 824 | ||||||
Ryan Specialty Group, LLC, Initial Term Loan, 1st Lien | ||||||||
6.134%, LIBOR + 3.000%, 09/01/2027 (D) | 263 | 254 | ||||||
Sedgwick Claims Management Services, Inc. (Lightning Cayman Merger Sub, Ltd.), Initial Term Loan, 1st Lien | ||||||||
6.365%, LIBOR + 3.250%, 12/31/2025 (D) | 844 | 797 | ||||||
Sigma Holdco | ||||||||
5.899%, 07/02/2025 | 250 | 214 | ||||||
SkyMiles IP Ltd. (Delta Air Lines, Inc.), Initial Term Loan, 1st Lien | ||||||||
6.460%, LIBOR + 3.750%, 10/20/2027 (D) | 480 | 480 | ||||||
Sovos Brands Intermediate, Inc., Initial Term Loan, 1st Lien | ||||||||
6.615%, LIBOR + 4.250%, 06/08/2028 (D) | 216 | 205 | ||||||
Spencer Gifts LLC (Spirit Halloween Superstores LLC), Term Loan, 1st Lien | ||||||||
8.806%, 06/19/2026 (H) | 592 | 576 | ||||||
SPX Flow, Term Loan, 1st Lien | ||||||||
7.634%, CME Term SOFR + 4.500%, 04/05/2029 (D) | 880 | 812 | ||||||
Surf Holdings S.a r.l., Dollar Tranche Term Loan, 1st Lien | ||||||||
6.668%, LIBOR + 3.500%, 03/05/2027 (D) | 459 | 443 | ||||||
Symplr Software, Inc., Initial Term Loan, 1st Lien | ||||||||
7.634%, LIBOR + 4.500%, 12/22/2027 (D) | 473 | 444 | ||||||
Tekni-Plex, Inc., Term Loan, 1st Lien | ||||||||
7.674%, 09/15/2028 (H) | 60 | 57 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
317
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Terrier Media Buyer, Inc., 2021 Term B Loan, 1st Lien | ||||||||
6.615%, LIBOR + 3.500%, 12/17/2026 (D) | $ | 865 | $ | 808 | ||||
Thermostat Purchaser III, Inc., Initial Term Loan, 1st Lien | ||||||||
7.570%, 08/31/2028 | 266 | 247 | ||||||
TKC Holdings, Inc., Closing Date Initial Term Loan, 1st Lien | ||||||||
9.180%, LIBOR + 5.500%, 05/15/2028 (D) | 552 | 469 | ||||||
Travelport Finance (Luxembourg) Sarl, Initial Term Loan (Priority), 1st Lien | ||||||||
5.174%, LIBOR + 1.500%, 02/28/2025 (D)(H) | 523 | 517 | ||||||
Trident TPI Holdings, Inc., Tranche B-3 Initial Term Loan, 1st Lien | ||||||||
7.674%, 09/15/2028 | 672 | 635 | ||||||
Triton Water Holdings, Inc., Initial Term Loan, 1st Lien | ||||||||
7.174%, LIBOR + 3.500%, 03/31/2028 (D) | 780 | 698 | ||||||
TruGreen Limited Partnership, Initial Term Loan, 2nd Lien | ||||||||
11.615%, LIBOR + 8.500%, 11/02/2028 (D) | 200 | 176 | ||||||
Tutor Perini Corporation, Term Loan, 1st Lien | ||||||||
7.865%, LIBOR + 4.750%, 08/18/2027 (B)(D) | 730 | 679 | ||||||
U.S. Renal Care, Inc., Initial Term Loan, 1st Lien | ||||||||
8.115%, LIBOR + 5.000%, 06/26/2026 (D) | 1,095 | 784 | ||||||
UFC Holdings, Term Loan, 1st Lien | ||||||||
5.520%, 04/29/2026 | 346 | 332 | ||||||
Ultimus Group Midco LLC, The, Initial Term Loan, 1st Lien | ||||||||
6.865%, LIBOR + 3.750%, 05/04/2026 (D) | 243 | 231 | ||||||
United AirLines, Inc., Class B Term Loan, 1st Lien | ||||||||
6.533%, LIBOR + 3.750%, 04/21/2028 (D) | 729 | 694 | ||||||
UST Holdings, Term Loan, 1st Lien | ||||||||
6.834%, 11/20/2028 | 486 | 472 | ||||||
Vaco Holdings, Term Loan, 1st Lien | ||||||||
8.703%, 01/21/2029 | 422 | 408 | ||||||
Verscend Holding Corp., Term B-1 Loan, 1st Lien | ||||||||
7.115%, LIBOR + 4.000%, 08/27/2025 (D) | 1,055 | 1,021 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Vertex Aerospace Services Corp., Initial Term Loan, 1st Lien | ||||||||
6.865%, LIBOR + 4.000%, 12/06/2028 (D) | $ | 1,104 | $ | 1,071 | ||||
VFH Parent, Initial Term Loan | ||||||||
6.118%, 01/13/2029 (D) | 290 | 277 | ||||||
Virgin Media Bristol LLC, N Facility, 1st Lien | ||||||||
5.318%, LIBOR + 2.500%, 01/31/2028 (D) | 935 | 891 | ||||||
Virgin Media Bristol LLC, N Facility, Term Loan, 1st Lien | ||||||||
6.068%, LIBOR + 3.250%, 01/31/2029 (D) | 590 | 570 | ||||||
Virgin Pulse, Inc., Initial Term Loan, 1st Lien | ||||||||
7.115%, 04/06/2028 (D) | 970 | 843 | ||||||
Virgin Pulse, Inc., Initial Term Loan, 2nd Lien | ||||||||
10.365%, 04/06/2029 | 320 | 266 | ||||||
Virtusa, Term Loan | ||||||||
6.865%, 02/11/2028 | 1,660 | 1,551 | ||||||
VT Topco, Inc., Delayed Term Loan, 1st Lien | ||||||||
5.973%, 08/01/2025 | 12 | 12 | ||||||
VT Topco, Inc., Term Loan, 1st Lien | ||||||||
6.865%, 08/01/2025 | 375 | 356 | ||||||
VT Topco, Inc., Term Loan, 2nd Lien | ||||||||
9.865%, 07/31/2026 | 320 | 308 | ||||||
WP CPP Holdings, Term B Loan | ||||||||
6.560%, LIBOR + 3.750%, 04/30/2025 (D) | 506 | 450 | ||||||
Wwex Uni TopCo Holdings LLC, Initial Term Loan, 1st Lien | ||||||||
7.674%, 07/26/2028 (D) | 774 | 702 | ||||||
Total Loan Participations | ||||||||
(Cost $104,570) ($ Thousands) | 95,667 | |||||||
SOVEREIGN DEBT — 8.9% | ||||||||
Abu Dhabi Government International Bond MTN | ||||||||
3.875%, 04/16/2050(A) | $ | 1,630 | 1,329 | |||||
Angolan Government International Bond | ||||||||
9.375%, 05/08/2048 | 200 | 135 | ||||||
9.125%, 11/26/2049(A) | 1,170 | 786 | ||||||
8.750%, 04/14/2032(A) | 210 | 156 | ||||||
8.000%, 11/26/2029(A) | 420 | 315 | ||||||
Argentine Republic Government International Bond | ||||||||
4.875%, 07/09/2029(G) | 1,310 | 279 | ||||||
3.625%, 07/09/2023(G) | 1,686 | 305 | ||||||
1.000%, 07/09/2029 | 262 | 50 |
318
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
SOVEREIGN DEBT (continued) | ||||||||
0.750%, 07/09/2023(G) | $ | 3,760 | $ | 750 | ||||
0.500%, 07/09/2029 | EUR | 6 | 1 | |||||
0.125%, 07/09/2030 | 165 | 30 | ||||||
Azerbaijan Government International Bond | ||||||||
3.500%, 09/01/2032 | $ | 1,360 | 1,094 | |||||
Bahrain Government International Bond | ||||||||
7.375%, 05/14/2030(A) | 1,610 | 1,533 | ||||||
5.625%, 05/18/2034(A) | 940 | 735 | ||||||
Benin Government International Bond | ||||||||
4.875%, 01/19/2032(A) | EUR | 1,480 | 986 | |||||
Brazil Government International Bond | ||||||||
5.333%, 02/15/2028 | $ | 120 | 116 | |||||
Buenos Aires Government International Bond MTN | ||||||||
6.375%, 09/01/2023(A)(G) | 7,102 | 2,202 | ||||||
Bundesrepublik Deutschland Bundesanleihe | ||||||||
0.000%, 08/15/2026(I) | EUR | 360 | 329 | |||||
CBB International Sukuk Programme SPC | ||||||||
6.250%, 11/14/2024(A) | $ | 300 | 304 | |||||
Ciudad Autonoma De Buenos Aires | ||||||||
7.500%, 06/01/2027 | 480 | 416 | ||||||
Colombia Government International Bond | ||||||||
4.125%, 05/15/2051 | 630 | 339 | ||||||
3.125%, 04/15/2031 | 730 | 506 | ||||||
3.000%, 01/30/2030 | 730 | 523 | ||||||
Cordoba Government International Bond | ||||||||
6.990%, 06/01/2027(A)(G) | 526 | 332 | ||||||
Country Garden Holdings | ||||||||
8.000%, 01/27/2024 | 200 | 77 | ||||||
Dominican Republic International Bond | ||||||||
7.450%, 04/30/2044 | 600 | 503 | ||||||
6.850%, 01/27/2045 | 660 | 513 | ||||||
6.500%, 02/15/2048(A) | 1,270 | 935 | ||||||
6.400%, 06/05/2049(A) | 660 | 475 | ||||||
6.000%, 02/22/2033(A) | 440 | 358 | ||||||
5.500%, 02/22/2029(A) | 240 | 207 | ||||||
4.500%, 01/30/2030 | 550 | 432 | ||||||
Ecuador Government International Bond | ||||||||
6.000%, 07/31/2023(A)(G) | 352 | 166 | ||||||
2.500%, 07/31/2023(A)(G) | 1,128 | 330 | ||||||
0.000%, 07/31/2030(A)(I) | 329 | 94 | ||||||
Egypt Government International Bond | ||||||||
8.875%, 05/29/2050(A) | 710 | 393 | ||||||
8.700%, 03/01/2049(A) | 520 | 287 | ||||||
8.500%, 01/31/2047 | 450 | 250 | ||||||
7.903%, 02/21/2048(A) | 360 | 187 | ||||||
7.625%, 05/29/2032(A) | 480 | 289 | ||||||
6.375%, 04/11/2031(A) | EUR | 330 | 188 | |||||
5.625%, 04/16/2030 | 1,560 | 884 | ||||||
4.750%, 04/16/2026(A) | 100 | 69 |
Description | Face Amount | Market Value | ||||||
SOVEREIGN DEBT (continued) | ||||||||
Gabon Government International Bond | ||||||||
7.000%, 11/24/2031(A) | $ | 1,120 | $ | 735 | ||||
Ghana Government International Bond | ||||||||
8.125%, 01/18/2026 | 500 | 250 | ||||||
8.125%, 03/26/2032(A) | 950 | 354 | ||||||
Guatemala Government Bond | ||||||||
6.125%, 06/01/2050(A) | 530 | 435 | ||||||
4.900%, 06/01/2030(A) | 280 | 245 | ||||||
4.875%, 02/13/2028 | 790 | 713 | ||||||
4.500%, 05/03/2026(A) | 770 | 726 | ||||||
4.375%, 06/05/2027(A) | 790 | 723 | ||||||
Hazine Mustesarligi Varlik Kiralama | ||||||||
5.004%, 04/06/2023(A) | 860 | 852 | ||||||
Indonesia Government International Bond | ||||||||
7.000%, 05/15/2027 | IDR | 86,448,000 | 5,674 | |||||
3.850%, 10/15/2030 | $ | 200 | 179 | |||||
3.500%, 01/11/2028 | 880 | 799 | ||||||
2.850%, 02/14/2030 | 900 | 771 | ||||||
1.100%, 03/12/2033 | EUR | 400 | 267 | |||||
0.900%, 02/14/2027 | 180 | 150 | ||||||
Iraq Government International Bond | ||||||||
5.800%, 01/15/2028 | $ | 193 | 158 | |||||
Ivory Coast Government International Bond | ||||||||
6.625%, 03/22/2048 | EUR | 420 | 241 | |||||
6.125%, 06/15/2033 | $ | 650 | 494 | |||||
5.250%, 03/22/2030 | EUR | 390 | 279 | |||||
4.875%, 01/30/2032(A) | 1,660 | 1,086 | ||||||
Jamaica Government International Bond | ||||||||
7.875%, 07/28/2045 | $ | 740 | 796 | |||||
Jordan Government International Bond | ||||||||
7.750%, 01/15/2028(A) | 500 | 472 | ||||||
Kazakhstan Government International Bond MTN | ||||||||
5.125%, 07/21/2025 | 420 | 428 | ||||||
Kenya Government International Bond | ||||||||
8.250%, 02/28/2048(A) | 260 | 156 | ||||||
8.000%, 05/22/2032(A) | 910 | 615 | ||||||
7.000%, 05/22/2027(A) | 250 | 192 | ||||||
Lebanon Government International Bond | ||||||||
8.250%, 05/17/2034(F) | 30 | 2 | ||||||
8.200%, 05/17/2033(F) | 40 | 2 | ||||||
7.150%, 11/20/2031(F) | 40 | 2 | ||||||
7.050%, 11/02/2035(F) | 100 | 6 | ||||||
7.000%, 03/20/2028(F) | 40 | 2 | ||||||
6.850%, 03/23/2027(F) | 100 | 6 | ||||||
6.850%, 05/25/2029(F) | 721 | 41 | ||||||
6.750%, 11/29/2027(F) | 410 | 24 | ||||||
6.650%, 04/22/2024(F) | 170 | 10 | ||||||
6.650%, 11/03/2028(F) | 80 | 5 | ||||||
6.650%, 02/26/2030(F) | 832 | 48 | ||||||
6.600%, 11/27/2026(F) | 30 | 2 | ||||||
6.200%, 02/26/2025(F) | 860 | 48 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
319
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
SOVEREIGN DEBT (continued) | ||||||||
Mexico Government International Bond | ||||||||
4.750%, 03/08/2044 | $ | 240 | $ | 184 | ||||
3.771%, 05/24/2061 | 520 | 307 | ||||||
2.659%, 05/24/2031 | 1,120 | 858 | ||||||
Mongolia Government International Bond | ||||||||
5.625%, 05/01/2023 | 200 | 189 | ||||||
Morocco Government International Bond | ||||||||
3.000%, 12/15/2032(A) | 730 | 511 | ||||||
1.500%, 11/27/2031(A) | EUR | 290 | 187 | |||||
Mozambique International Bond | ||||||||
9.000%, 09/15/2023(G) | $ | 220 | 150 | |||||
Nigeria Government International Bond | ||||||||
8.747%, 01/21/2031 | 1,720 | 1,204 | ||||||
7.696%, 02/23/2038(A) | 690 | 402 | ||||||
Oman Government International Bond | ||||||||
6.750%, 01/17/2048 | 200 | 160 | ||||||
6.250%, 01/25/2031(A) | 1,600 | 1,490 | ||||||
Pakistan Government International Bond | ||||||||
6.875%, 12/05/2027 | 200 | 75 | ||||||
6.000%, 04/08/2026(A) | 540 | 207 | ||||||
Pakistan Water & Power Development Authority | ||||||||
7.500%, 06/04/2031 | 420 | 145 | ||||||
Panama Government International Bond | ||||||||
4.500%, 04/01/2056 | 300 | 202 | ||||||
Papua New Guinea Government International Bond | ||||||||
8.375%, 10/04/2028(A) | 290 | 235 | ||||||
Paraguay Government International Bond | ||||||||
6.100%, 08/11/2044 | 500 | 414 | ||||||
5.600%, 03/13/2048 | 760 | 570 | ||||||
5.400%, 03/30/2050(A) | 320 | 235 | ||||||
Perusahaan Penerbit SBSN Indonesia III | ||||||||
4.550%, 03/29/2026(A) | 530 | 518 | ||||||
4.450%, 02/20/2029(A) | 330 | 316 | ||||||
Peruvian Government International Bond | ||||||||
2.783%, 01/23/2031 | 380 | 301 | ||||||
Qatar Government International Bond | ||||||||
5.103%, 04/23/2048(A) | 820 | 794 | ||||||
4.817%, 03/14/2049(A) | 930 | 860 | ||||||
4.625%, 06/02/2046 | 280 | 257 | ||||||
4.400%, 04/16/2050(A) | 450 | 395 | ||||||
3.750%, 04/16/2030(A) | 200 | 188 | ||||||
Romanian Government International Bond | ||||||||
5.125%, 06/15/2048(A) | 200 | 139 | ||||||
3.375%, 01/28/2050 | EUR | 230 | 116 | |||||
2.875%, 05/26/2028 | 650 | 501 | ||||||
2.875%, 03/11/2029 | 1,490 | 1,113 | ||||||
2.124%, 07/16/2031(A) | 250 | 155 | ||||||
2.000%, 12/08/2026(A) | 590 | 497 | ||||||
2.000%, 01/28/2032(A) | 110 | 66 | ||||||
2.000%, 04/14/2033(A) | 900 | 521 |
Description | Face Amount | Market Value | ||||||
SOVEREIGN DEBT (continued) | ||||||||
Saudi Government International Bond MTN | ||||||||
4.500%, 04/22/2060(A) | $ | 1,070 | $ | 900 | ||||
3.750%, 01/21/2055(A) | 220 | 162 | ||||||
3.250%, 10/22/2030(A) | 430 | 387 | ||||||
Senegal Government International Bond | ||||||||
5.375%, 06/08/2037(A) | EUR | 930 | 546 | |||||
4.750%, 03/13/2028(A) | 740 | 585 | ||||||
Serbia Government International Bond | ||||||||
1.500%, 06/26/2029(A) | 500 | 323 | ||||||
South Africa Government International Bond | ||||||||
5.650%, 09/27/2047 | $ | 950 | 610 | |||||
4.850%, 09/27/2027 | 890 | 795 | ||||||
4.300%, 10/12/2028 | 200 | 166 | ||||||
Sri Lanka Government International Bond | ||||||||
7.550%, 03/28/2030(A)(F) | 910 | 223 | ||||||
6.850%, 03/14/2024(A)(F) | 200 | 49 | ||||||
6.850%, 11/03/2025(F) | 570 | 146 | ||||||
6.825%, 07/18/2026(A)(F) | 250 | 63 | ||||||
6.750%, 04/18/2028(A)(F) | 360 | 88 | ||||||
Turkey Government International Bond | ||||||||
7.625%, 04/26/2029 | 560 | 476 | ||||||
6.875%, 03/17/2036 | 60 | 44 | ||||||
6.500%, 09/20/2033 | 900 | 651 | ||||||
6.000%, 01/14/2041 | 1,980 | 1,218 | ||||||
5.200%, 02/16/2026 | EUR | 260 | 235 | |||||
4.250%, 04/14/2026 | $ | 530 | 436 | |||||
Ukraine Government International Bond | ||||||||
9.750%, 11/01/2030(A)(F) | 640 | 136 | ||||||
8.994%, 02/01/2026(F) | 280 | 58 | ||||||
7.750%, 09/01/2025(F) | 910 | 213 | ||||||
7.750%, 09/01/2026(F) | 230 | 46 | ||||||
7.750%, 09/01/2029(F) | 250 | 51 | ||||||
7.375%, 09/25/2034(A)(F) | 200 | 37 | ||||||
7.253%, 03/15/2035(A)(F) | 420 | 77 | ||||||
Uzbekistan Government International Bond MTN | ||||||||
4.750%, 02/20/2024(A) | 340 | 319 | ||||||
3.700%, 11/25/2030(A) | 660 | 471 | ||||||
Virgin Money UK | ||||||||
9.250%, UK Govt Bonds 5 Year Note Generic Bid Yield + 8.307%, 06/08/2171(D)(E) | GBP | 300 | 308 | |||||
Zambia Government International Bond | ||||||||
5.375%, 09/20/2022(F) | $ | 760 | 357 | |||||
Total Sovereign Debt | ||||||||
(Cost $91,982) ($ Thousands) | 62,814 | |||||||
320
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES — 7.7% | ||||||||
Agency Mortgage-Backed Obligations — 1.1% | ||||||||
FHLMC REMIC CMO, Ser 2020-5012, Cl DI, IO | ||||||||
4.000%, 09/25/2050 | $ | 612 | $ | 114 | ||||
FHLMC REMIC CMO, Ser 2020-5020, Cl IH, IO | ||||||||
3.000%, 08/25/2050 | 516 | 80 | ||||||
FHLMC STACR REMIC Trust, Ser 2017-HRP1, Cl B1 | ||||||||
7.684%, ICE LIBOR USD 1 Month + 4.600%, 12/25/2042(D) | 330 | 324 | ||||||
FHLMC STACR REMIC Trust, Ser 2020-DNA1, Cl B1 | ||||||||
5.384%, ICE LIBOR USD 1 Month + 2.300%, 01/25/2050(A)(D) | 660 | 604 | ||||||
FHLMC STACR REMIC Trust, Ser 2020-DNA3, Cl B1 | ||||||||
8.184%, ICE LIBOR USD 1 Month + 5.100%, 06/25/2050(A)(D) | 1,350 | 1,363 | ||||||
FHLMC STACR REMIC Trust, Ser 2020-DNA5, Cl B1 | ||||||||
7.081%, SOFR30A + 4.800%, 10/25/2050(A)(D) | 210 | 211 | ||||||
FHLMC STACR REMIC Trust, Ser 2021-DNA1, Cl M2 | ||||||||
4.081%, SOFR30A + 1.800%, 01/25/2051(A)(D) | 165 | 158 | ||||||
FHLMC STACR REMIC Trust, Ser 2021-DNA3, Cl B1 | ||||||||
5.781%, SOFR30A + 3.500%, 10/25/2033(A)(D) | 390 | 359 | ||||||
FHLMC STACR REMIC Trust, Ser 2021-DNA5, Cl B1 | ||||||||
5.331%, SOFR30A + 3.050%, 01/25/2034(A)(D) | 250 | 222 | ||||||
FHLMC STACR REMIC Trust, Ser 2022-DNA4, Cl M1A | ||||||||
4.481%, SOFR30A + 2.200%, 05/25/2042(A)(D) | 707 | 701 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2021-DNA7, Cl B1 | ||||||||
5.931%, SOFR30A + 3.650%, 11/25/2041(A)(D) | 540 | 475 | ||||||
FNMA | ||||||||
2.790%, 01/01/2035(D) | 346 | 295 | ||||||
2.680%, 01/01/2035 | 100 | 82 | ||||||
FNMA Connecticut Avenue Securities, Ser 2018-C01, Cl 1B1 | ||||||||
6.634%, ICE LIBOR USD 1 Month + 3.550%, 07/25/2030(D) | 570 | 568 | ||||||
FNMA REMIC CMO, Ser 2015-30, Cl SJ, IO | ||||||||
2.516%, 05/25/2045(D) | 1,452 | 111 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FNMA REMIC CMO, Ser 2017-104, Cl SB, IO | ||||||||
3.066%, 01/25/2048(D) | $ | 1,029 | $ | 106 | ||||
FNMA REMIC CMO, Ser 2020-60, Cl NI, IO | ||||||||
4.000%, 09/25/2050 | 569 | 106 | ||||||
FNMA REMIC CMO, Ser 2020-62, Cl GI, IO | ||||||||
4.000%, 06/25/2048 | 1,101 | 258 | ||||||
GNMA REMIC CMO, Ser 2010-9, Cl XD, IO | ||||||||
3.661%, 01/16/2040(D) | 1,112 | 132 | ||||||
GNMA REMIC CMO, Ser 2013-124, Cl CS, IO | ||||||||
3.036%, 08/20/2043(D) | 117 | 12 | ||||||
GNMA REMIC CMO, Ser 2015-111, Cl IM, IO | ||||||||
4.000%, 08/20/2045 | 1,354 | 204 | ||||||
GNMA REMIC CMO, Ser 2015-168, Cl IP, IO | ||||||||
4.000%, 11/20/2045 | 460 | 48 | ||||||
GNMA REMIC CMO, Ser 2016-109, Cl IH, IO | ||||||||
4.000%, 10/20/2045 | 783 | 111 | ||||||
GNMA REMIC CMO, Ser 2016-27, Cl IA, IO | ||||||||
4.000%, 06/20/2045 | 317 | 40 | ||||||
GNMA REMIC CMO, Ser 2017-112, Cl SJ, IO | ||||||||
2.646%, 07/20/2047(D) | 760 | 55 | ||||||
GNMA REMIC CMO, Ser 2018-122, Cl HS, IO | ||||||||
3.186%, 09/20/2048(D) | 331 | 35 | ||||||
GNMA REMIC CMO, Ser 2018-122, Cl SE, IO | ||||||||
3.186%, 09/20/2048(D) | 452 | 43 | ||||||
GNMA REMIC CMO, Ser 2018-124, Cl SN, IO | ||||||||
3.186%, 09/20/2048(D) | 1,503 | 134 | ||||||
GNMA REMIC CMO, Ser 2018-137, Cl SN, IO | ||||||||
3.136%, 10/20/2048(D) | 442 | 36 | ||||||
GNMA REMIC CMO, Ser 2018-139, Cl SQ, IO | ||||||||
3.136%, 10/20/2048(D) | 274 | 24 | ||||||
GNMA REMIC CMO, Ser 2018-67, Cl PS, IO | ||||||||
3.186%, 05/20/2048(D) | 1,428 | 126 | ||||||
GNMA REMIC CMO, Ser 2018-7, Cl DS, IO | ||||||||
2.686%, 01/20/2048(D) | 931 | 86 | ||||||
GNMA REMIC CMO, Ser 2019-1, Cl SN, IO | ||||||||
3.036%, 01/20/2049(D) | 237 | 20 | ||||||
GNMA REMIC CMO, Ser 2019-110, Cl SE, IO | ||||||||
3.086%, 09/20/2049(D) | 665 | 52 | ||||||
GNMA REMIC CMO, Ser 2019-110, Cl SD, IO | ||||||||
3.086%, 09/20/2049(D) | 662 | 53 | ||||||
GNMA REMIC CMO, Ser 2019-151, Cl NI, IO | ||||||||
3.500%, 10/20/2049 | 2,145 | 308 | ||||||
GNMA REMIC CMO, Ser 2019-6, Cl SA, IO | ||||||||
3.036%, 01/20/2049(D) | 187 | 17 | ||||||
GNMA REMIC CMO, Ser 2019-78, Cl SE, IO | ||||||||
3.086%, 06/20/2049(D) | 150 | 13 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
321
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GNMA REMIC CMO, Ser 2020-78, Cl DI, IO | ||||||||
4.000%, 06/20/2050 | $ | 791 | $ | 149 | ||||
7,835 | ||||||||
Non-Agency Mortgage-Backed Obligations — 6.6% | ||||||||
ACE Securities Home Equity Loan Trust, Ser 2004-HE3, Cl M1 | ||||||||
4.014%, ICE LIBOR USD 1 Month + 0.930%, 11/25/2034(D) | 374 | 365 | ||||||
Alternative Loan Trust, Ser 2005-81, Cl A1 | ||||||||
3.644%, ICE LIBOR USD 1 Month + 0.560%, 02/25/2037(D) | 477 | 393 | ||||||
Barclays Commercial Mortgage Trust, Ser 2019-C5, Cl A4 | ||||||||
3.063%, 11/15/2052 | 870 | 756 | ||||||
Benchmark Mortgage Trust, Ser 2019-B11, Cl XA, IO | ||||||||
1.176%, 05/15/2052(D) | 10,712 | 503 | ||||||
BIG Commercial Mortgage Trust, Ser BIG, Cl F | ||||||||
8.281%, TSFR1M + 5.436%, 02/15/2039(A)(D) | 480 | 447 | ||||||
BRAVO Residential Funding Trust, Ser 2022-R1, Cl A | ||||||||
3.125%, 01/29/2070(A)(G) | 665 | 588 | ||||||
BX Commercial Mortgage Trust, Ser 2019-IMC, Cl E | ||||||||
4.968%, ICE LIBOR USD 1 Month + 2.150%, 04/15/2034(A)(D) | 1,970 | 1,858 | ||||||
BX Commercial Mortgage Trust, Ser LP2, Cl G | ||||||||
7.028%, TSFR1M + 4.106%, 02/15/2039(A)(D) | 691 | 633 | ||||||
BX Commercial Mortgage Trust, Ser XL2, Cl J | ||||||||
6.708%, ICE LIBOR USD 1 Month + 3.890%, 10/15/2038(A)(D) | 467 | 429 | ||||||
BX Trust, Ser 2018-GWMZ, Cl MC | ||||||||
8.306%, ICE LIBOR USD 1 Month + 5.488%, 05/15/2037(A)(D) | 1,100 | 1,058 | ||||||
BX Trust, Ser SDMF, Cl F | ||||||||
4.755%, ICE LIBOR USD 1 Month + 1.937%, 09/15/2034(A)(D) | 310 | 277 | ||||||
Capmark Military Housing Trust, Ser 2007-AET2, Cl A | ||||||||
6.063%, 10/10/2052(A) | 923 | 820 | ||||||
CFK Trust, Ser 2020-MF2, Cl E | ||||||||
3.573%, 03/15/2039(A)(D) | 500 | 404 | ||||||
Citigroup Mortgage Loan Trust, Ser 2022-A, Cl A1 | ||||||||
6.170%, 09/25/2062(A)(G) | 608 | 596 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Connecticut Avenue Securities Trust, Ser 2018-R07, Cl 1B1 | ||||||||
6.794%, ICE LIBOR USD 1 Month + 4.350%, 04/25/2031(A)(D) | $ | 460 | $ | 461 | ||||
Connecticut Avenue Securities Trust, Ser 2019-R05, Cl 1B1 | ||||||||
7.184%, ICE LIBOR USD 1 Month + 4.100%, 07/25/2039(A)(D) | 562 | 557 | ||||||
Connecticut Avenue Securities Trust, Ser 2021-R01, Cl 1B1 | ||||||||
5.381%, SOFR30A + 3.100%, 10/25/2041(A)(D) | 670 | 607 | ||||||
Connecticut Avenue Securities Trust, Ser 2021-R03, Cl 1B1 | ||||||||
5.031%, SOFR30A + 2.750%, 12/25/2041(A)(D) | 680 | 575 | ||||||
Connecticut Avenue Securities Trust, Ser 2022-R05, Cl 2M2 | ||||||||
5.281%, SOFR30A + 3.000%, 04/25/2042(A)(D) | 386 | 356 | ||||||
Connecticut Avenue Securities Trust, Ser 2022-R05, Cl 2B1 | ||||||||
6.781%, SOFR30A + 4.500%, 04/25/2042(A)(D) | 433 | 410 | ||||||
Credit Suisse European Mortgage Capital, Ser 2019-1OTF, Cl A | ||||||||
5.682%, ICE LIBOR USD 3 Month + 2.900%, 08/09/2024(A)(D) | 945 | 924 | ||||||
Credit Suisse Mortgage Trust, Ser 2019-RIO, Cl B | ||||||||
9.818%, ICE LIBOR USD 1 Month + 7.000%, 12/15/2022(A)(D) | 1,430 | 1,415 | ||||||
CSMC Trust, Ser 2014-USA, Cl E | ||||||||
4.373%, 09/15/2037(A) | 320 | 236 | ||||||
CSMC Trust, Ser 2017-RPL1, Cl M2 | ||||||||
2.958%, 07/25/2057(A)(D) | 1,190 | 955 | ||||||
CSMC Trust, Ser 2019-UVIL, Cl A | ||||||||
3.160%, 12/15/2041(A) | 950 | 786 | ||||||
FHLMC STACR REMIC Trust, Ser 2020-DNA6, Cl B1 | ||||||||
5.281%, SOFR30A + 3.000%, 12/25/2050(A)(D) | 630 | 582 | ||||||
First Franklin Mortgage Loan Trust, Ser 2006-FF15, Cl A5 | ||||||||
3.244%, ICE LIBOR USD 1 Month + 0.160%, 11/25/2036(D) | 541 | 533 | ||||||
GS Mortgage Securities II, Ser 2018-SRP5, Cl C | ||||||||
7.068%, ICE LIBOR USD 1 Month + 4.250%, 09/15/2031(A)(D) | 1,810 | 706 |
322
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GS Mortgage Securities Trust, Ser 2020-DUNE, Cl F | ||||||||
6.068%, ICE LIBOR USD 1 Month + 3.250%, 12/15/2036(A)(D) | $ | 595 | $ | 560 | ||||
GS Mortgage Securities Trust, Ser 2020-DUNE, Cl A | ||||||||
3.918%, ICE LIBOR USD 1 Month + 1.100%, 12/15/2036(A)(D) | 1,830 | 1,793 | ||||||
GS Mortgage Securities Trust, Ser LUAU, Cl G | ||||||||
7.268%, ICE LIBOR USD 1 Month + 4.450%, 11/15/2032(A)(D) | 500 | 461 | ||||||
HarborView Mortgage Loan Trust, Ser 2006-10, Cl 2A1B | ||||||||
3.233%, ICE LIBOR USD 1 Month + 0.240%, 11/19/2036(D) | 1,621 | 1,458 | ||||||
Impac CMB Trust, Ser 2005-4, Cl 1M1 | ||||||||
3.729%, ICE LIBOR USD 1 Month + 0.430%, 05/25/2035(D) | 672 | 625 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust, Ser NLP, Cl D | ||||||||
5.012%, TSFR1M + 2.166%, 04/15/2037(A)(D) | 300 | 279 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2018-WPT, Cl FFL | ||||||||
5.783%, ICE LIBOR USD 1 Month + 3.150%, 07/05/2033(A)(D) | 1,790 | 1,720 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2019-BKWD, Cl E | ||||||||
5.668%, ICE LIBOR USD 1 Month + 2.600%, 09/15/2029(A)(D) | 1,730 | 1,636 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser HTL5, Cl F | ||||||||
7.083%, ICE LIBOR USD 1 Month + 4.265%, 11/15/2038(A)(D) | 710 | 643 | ||||||
Legacy Mortgage Asset Trust, Ser 2021-GS1, Cl A2 | ||||||||
3.844%, 10/25/2066(A)(G) | 660 | 582 | ||||||
Morgan Stanley Re-REMIC Trust, Ser 2010-R5, Cl 4B | ||||||||
2.397%, 06/26/2036(A)(G) | 209 | 187 | ||||||
Mortgage Repurchase Agreement Financing Trust II Series, Ser 2022-S1, Cl A1 | ||||||||
4.637%, SOFR30A + 2.000%, 03/30/2025(A)(D) | 420 | 420 | ||||||
Multifamily Connecticut Avenue Securities Trust, Ser 2019-01, Cl M10 | ||||||||
6.334%, ICE LIBOR USD 1 Month + 3.250%, 10/25/2049(A)(D) | 517 | 490 | ||||||
Multifamily Connecticut Avenue Securities Trust, Ser 2020-01, Cl M10 | ||||||||
6.834%, ICE LIBOR USD 1 Month + 3.750%, 03/25/2050(A)(D) | 480 | 448 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
New Residential Mortgage Loan Trust, Ser 2018-4A, Cl B1 | ||||||||
3.309%, ICE LIBOR USD 1 Month + 1.050%, 01/25/2048(A)(D) | $ | 267 | $ | 253 | ||||
NewRez Warehouse Securitization Trust, Ser 2021-1, Cl F | ||||||||
8.334%, ICE LIBOR USD 1 Month + 5.250%, 05/25/2055(A)(D) | 430 | 426 | ||||||
Nomura Asset Acceptance Alternative Loan Trust, Ser 2003-A1, Cl M | ||||||||
6.657%, 05/25/2033(D) | 627 | 362 | ||||||
Nomura Resecuritization Trust, Ser 2015-4R, Cl 5A1 | ||||||||
1.812%, ICE LIBOR USD 1 Month + 0.430%, 03/26/2036(A)(D) | 292 | 260 | ||||||
PMT Credit Risk Transfer Trust, Ser 2019-3R, Cl A | ||||||||
5.193%, ICE LIBOR USD 1 Month + 2.700%, 10/27/2022(A)(D) | 196 | 189 | ||||||
Radnor, Ser 2020-1, Cl M1C | ||||||||
4.834%, ICE LIBOR USD 1 Month + 1.750%, 01/25/2030(A)(D) | 1,830 | 1,738 | ||||||
RALI Series Trust, Ser 2006-QO2, Cl A2 | ||||||||
3.624%, ICE LIBOR USD 1 Month + 0.540%, 02/25/2046(D) | 1,286 | 290 | ||||||
RALI Series Trust, Ser 2007-QO2, Cl A1 | ||||||||
3.234%, ICE LIBOR USD 1 Month + 0.150%, 02/25/2047(D) | 805 | 319 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2018-1, Cl M | ||||||||
4.750%, 05/25/2057(D) | 1,720 | 1,566 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2018-3, Cl M | ||||||||
4.750%, 08/25/2057(A)(D) | 1,125 | 966 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2019-4, Cl M | ||||||||
4.500%, 02/25/2059(A)(D) | 1,720 | 1,454 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2020-1, Cl M | ||||||||
4.250%, 08/25/2059(A)(D) | 2,230 | 1,853 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2020-2, Cl M | ||||||||
4.250%, 11/25/2059(A)(D) | 830 | 711 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2020-3, Cl M | ||||||||
4.250%, 05/25/2060(A)(D) | 640 | 574 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2022-1, Cl M | ||||||||
4.500%, 11/25/2061(A)(D) | 320 | 254 | ||||||
Shops at Crystals Trust, Ser 2106-CSTL, Cl D | ||||||||
3.856%, 07/05/2036(A)(D) | 885 | 700 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
323
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
SMR Mortgage Trust, Ser IND, Cl F | ||||||||
8.845%, TSFR1M + 6.000%, 02/15/2039(A)(D) | $ | 820 | $ | 771 | ||||
Soho Trust, Ser SOHO, Cl D | ||||||||
2.787%, 08/10/2038(A)(D) | 440 | 302 | ||||||
Taubman Centers Commercial Mortgage Trust, Ser DPM, Cl A | ||||||||
5.031%, TSFR1M + 2.186%, 05/15/2037(A)(D) | 650 | 635 | ||||||
Tharaldson Hotel Portfolio Trust, Ser 2018-THL, Cl F | ||||||||
6.896%, ICE LIBOR USD 1 Month + 4.252%, 11/11/2034(A)(D) | 583 | 547 | ||||||
Tharaldson Hotel Portfolio Trust, Ser 2018-THL, Cl E | ||||||||
6.123%, ICE LIBOR USD 1 Month + 3.480%, 11/11/2034(A)(D) | 1,742 | 1,633 | ||||||
Towd Point Mortgage Trust, Ser 2019-4, Cl B1B | ||||||||
3.500%, 10/25/2059(A)(D) | 640 | 476 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, Ser 2006-AR16, Cl 2A2 | ||||||||
2.430%, 12/25/2036(D) | 530 | 468 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR5, Cl 2A1 | ||||||||
2.755%, 04/25/2036(D) | 386 | 364 | ||||||
46,643 | ||||||||
Total Mortgage-Backed Securities | ||||||||
(Cost $59,963) ($ Thousands) | 54,478 | |||||||
| ||||||||
COMMON STOCK — 6.4% | ||||||||
Communication Services — 0.6% | ||||||||
Activision Blizzard Inc | 1,028 | 76 | ||||||
Alphabet Inc, Cl A * | 8,641 | 827 | ||||||
Alphabet Inc, Cl C * | 7,739 | 744 | ||||||
AT&T Inc | 10,215 | 157 | ||||||
Charter Communications Inc, Cl A * | 163 | 49 | ||||||
Comcast Corp, Cl A | 6,392 | 188 | ||||||
DISH Network Corp, Cl A * | 377 | 5 | ||||||
Electronic Arts Inc | 381 | 44 | ||||||
Fox Corp, Cl A | 527 | 16 | ||||||
Fox Corp, Cl B | 207 | 6 | ||||||
Intelsat Jackson Holdings *(B) | 22,512 | 630 | ||||||
Interpublic Group of Cos Inc/The | 661 | 17 | ||||||
Live Nation Entertainment Inc * | 224 | 17 | ||||||
Lumen Technologies Inc | 1,286 | 9 | ||||||
Match Group Inc * | 431 | 21 | ||||||
Meta Platforms Inc, Cl A * | 3,291 | 446 | ||||||
Netflix Inc * | 632 | 149 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
News Corp, Cl A | 509 | $ | 8 | |||||
News Corp, Cl B | 145 | 2 | ||||||
Omnicom Group Inc | 298 | 19 | ||||||
Paramount Global, Cl B | 880 | 17 | ||||||
Take-Two Interactive Software Inc, Cl A * | 215 | 23 | ||||||
T-Mobile US Inc * | 869 | 117 | ||||||
Twitter Inc * | 970 | 43 | ||||||
Verizon Communications Inc | 6,008 | 228 | ||||||
Walt Disney Co/The * | 2,606 | 246 | ||||||
Warner Bros Discovery Inc * | 3,084 | 35 | ||||||
4,139 | ||||||||
Consumer Discretionary — 0.7% | ||||||||
Advance Auto Parts Inc | 103 | 16 | ||||||
Amazon.com Inc, Cl A * | 12,793 | 1,446 | ||||||
Aptiv PLC * | 413 | 32 | ||||||
AutoZone Inc * | 28 | 60 | ||||||
Bath & Body Works Inc | 303 | 10 | ||||||
Best Buy Co Inc | 311 | 20 | ||||||
Booking Holdings Inc * | 58 | 95 | ||||||
BorgWarner Inc | 394 | 12 | ||||||
Caesars Entertainment Inc * | 366 | 12 | ||||||
CarMax Inc * | 215 | 14 | ||||||
Carnival Corp * | 1,370 | 10 | ||||||
Chipotle Mexican Grill Inc, Cl A * | 39 | 59 | ||||||
Darden Restaurants Inc | 188 | 24 | ||||||
Dollar General Corp | 323 | 77 | ||||||
Dollar Tree Inc * | 305 | 41 | ||||||
Domino's Pizza Inc | 48 | 15 | ||||||
DR Horton Inc | 487 | 33 | ||||||
eBay Inc | 775 | 29 | ||||||
Etsy Inc * | 168 | 17 | ||||||
Expedia Group Inc * | 221 | 21 | ||||||
Ford Motor Co | 5,582 | 63 | ||||||
Garmin Ltd | 255 | 21 | ||||||
General Motors Co | 2,056 | 66 | ||||||
Genuine Parts Co | 211 | 31 | ||||||
Hasbro Inc | 183 | 12 | ||||||
Hilton Worldwide Holdings Inc | 396 | 48 | ||||||
Home Depot Inc/The | 1,482 | 409 | ||||||
Las Vegas Sands Corp * | 474 | 18 | ||||||
Lennar Corp, Cl A | 353 | 26 | ||||||
LKQ Corp | 346 | 16 | ||||||
Lowe's Cos Inc | 922 | 173 | ||||||
Marriott International Inc/MD, Cl A | 386 | 54 | ||||||
McDonald's Corp | 1,058 | 244 | ||||||
MGM Resorts International | 463 | 14 | ||||||
Mohawk Industries Inc * | 83 | 8 | ||||||
Newell Brands Inc, Cl B | 593 | 8 | ||||||
NIKE Inc, Cl B | 1,812 | 151 | ||||||
Norwegian Cruise Line Holdings Ltd * | 566 | 6 | ||||||
NVR Inc * | 5 | 20 | ||||||
O'Reilly Automotive Inc * | 92 | 65 |
324
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Pool Corp | 67 | $ | 21 | |||||
PulteGroup Inc | 424 | 16 | ||||||
Ralph Lauren Corp, Cl A | 70 | 6 | ||||||
Ross Stores Inc | 540 | 45 | ||||||
Royal Caribbean Cruises Ltd * | 377 | 14 | ||||||
Starbucks Corp | 1,632 | 138 | ||||||
Tapestry Inc | 445 | 13 | ||||||
Target Corp, Cl A | 656 | 97 | ||||||
Tesla Inc * | 3,844 | 1,020 | ||||||
TJX Cos Inc/The | 1,665 | 103 | ||||||
Tractor Supply Co | 153 | 28 | ||||||
Ulta Beauty Inc * | 71 | 28 | ||||||
VF Corp | 542 | 16 | ||||||
Whirlpool Corp | 98 | 13 | ||||||
Wynn Resorts Ltd * | 136 | 9 | ||||||
Yum! Brands Inc | 411 | 44 | ||||||
5,107 | ||||||||
Consumer Staples — 0.4% | ||||||||
Altria Group Inc | 2,570 | 104 | ||||||
Archer-Daniels-Midland Co | 791 | 64 | ||||||
Brown-Forman Corp, Cl B | 260 | 17 | ||||||
Campbell Soup Co | 352 | 16 | ||||||
Church & Dwight Co Inc | 331 | 24 | ||||||
Clorox Co/The | 166 | 21 | ||||||
Coca-Cola Co/The | 5,589 | 313 | ||||||
Colgate-Palmolive Co | 1,186 | 83 | ||||||
Conagra Brands Inc | 645 | 21 | ||||||
Constellation Brands Inc, Cl A | 228 | 52 | ||||||
Costco Wholesale Corp | 635 | 300 | ||||||
Estee Lauder Cos Inc/The, Cl A | 328 | 71 | ||||||
General Mills Inc | 846 | 65 | ||||||
Hershey Co/The | 221 | 49 | ||||||
Hormel Foods Corp | 408 | 19 | ||||||
J M Smucker Co/The | 154 | 21 | ||||||
Kellogg Co | 343 | 24 | ||||||
Keurig Dr Pepper Inc | 1,226 | 44 | ||||||
Kimberly-Clark Corp | 473 | 53 | ||||||
Kraft Heinz Co/The | 1,076 | 36 | ||||||
Kroger Co/The | 911 | 40 | ||||||
Lamb Weston Holdings Inc | 229 | 18 | ||||||
McCormick & Co Inc/MD | 342 | 24 | ||||||
Molson Coors Beverage Co, Cl B | 262 | 13 | ||||||
Mondelez International Inc, Cl A | 1,967 | 108 | ||||||
Monster Beverage Corp * | 572 | 50 | ||||||
PepsiCo Inc | 1,981 | 323 | ||||||
Philip Morris International Inc | 2,214 | 184 | ||||||
Procter & Gamble Co/The | 3,441 | 434 | ||||||
Sysco Corp, Cl A | 715 | 51 | ||||||
Tyson Foods Inc, Cl A | 402 | 26 | ||||||
Walgreens Boots Alliance Inc | 1,095 | 34 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Walmart Inc | 2,057 | $ | 267 | |||||
2,969 | ||||||||
Energy — 0.4% | ||||||||
APA Corp | 471 | 16 | ||||||
Baker Hughes Co, Cl A | 1,383 | 29 | ||||||
Chevron Corp | 2,599 | 373 | ||||||
ConocoPhillips | 1,844 | 189 | ||||||
Coterra Energy Inc | 1,105 | 29 | ||||||
Devon Energy Corp | 945 | 57 | ||||||
Diamondback Energy Inc, Cl A | 256 | 31 | ||||||
EOG Resources Inc | 828 | 93 | ||||||
EQT Corp | 534 | 22 | ||||||
Exxon Mobil Corp | 6,044 | 528 | ||||||
Halliburton Co | 1,373 | 34 | ||||||
Hess Corp | 384 | 42 | ||||||
Kinder Morgan Inc | 2,718 | 45 | ||||||
Marathon Oil Corp | 978 | 22 | ||||||
Marathon Petroleum Corp | 720 | 72 | ||||||
Noble Corp PLC * | 7,982 | 236 | ||||||
Occidental Petroleum Corp | 1,076 | 66 | ||||||
ONEOK Inc | 680 | 35 | ||||||
Phillips 66 | 674 | 54 | ||||||
Pioneer Natural Resources Co | 344 | 75 | ||||||
Schlumberger NV, Cl A | 1,990 | 71 | ||||||
Summit Midstream Partners LP * | 28,458 | 427 | ||||||
Valero Energy Corp | 573 | 61 | ||||||
Williams Cos Inc/The | 1,868 | 53 | ||||||
2,660 | ||||||||
Financials — 0.7% | ||||||||
Aflac Inc | 826 | 46 | ||||||
Allstate Corp/The | 382 | 48 | ||||||
American Express Co | 868 | 117 | ||||||
American International Group Inc | 1,109 | 53 | ||||||
Ameriprise Financial Inc | 156 | 39 | ||||||
Aon PLC, Cl A | 300 | 80 | ||||||
Arthur J Gallagher & Co | 319 | 55 | ||||||
Aspect *(B) | 57 | — | ||||||
Assurant Inc | 88 | 13 | ||||||
Bank of America Corp | 10,154 | 307 | ||||||
Bank of New York Mellon Corp/The | 1,136 | 44 | ||||||
Berkshire Hathaway Inc, Cl B * | 2,598 | 694 | ||||||
BlackRock Inc | 218 | 120 | ||||||
Brown & Brown Inc | 387 | 23 | ||||||
Capital One Financial Corp | 551 | 51 | ||||||
Cboe Global Markets Inc | 152 | 18 | ||||||
Charles Schwab Corp/The | 2,204 | 158 | ||||||
Chubb Ltd | 601 | 109 | ||||||
Cincinnati Financial Corp | 249 | 22 | ||||||
Citigroup Inc | 2,764 | 115 | ||||||
Citizens Financial Group Inc | 664 | 23 | ||||||
CME Group Inc, Cl A | 509 | 90 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
325
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Income Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Comerica Inc | 213 | $ | 15 | |||||
Discover Financial Services | 394 | 36 | ||||||
Everest Re Group Ltd | 64 | 17 | ||||||
Eversource Energy | 523 | 41 | ||||||
FactSet Research Systems Inc | 51 | 20 | ||||||
Fifth Third Bancorp | 1,042 | 33 | ||||||
First Republic Bank/CA | 273 | 36 | ||||||
Franklin Resources Inc | 359 | 8 | ||||||
Globe Life Inc | 148 | 15 | ||||||
Goldman Sachs Group Inc/The | 489 | 143 | ||||||
Hartford Financial Services Group Inc/The | 504 | 31 | ||||||
Huntington Bancshares Inc/OH | 1,954 | 26 | ||||||
Intercontinental Exchange Inc | 788 | 71 | ||||||
Invesco Ltd | 456 | 6 | ||||||
JPMorgan Chase & Co | 4,212 | 440 | ||||||
KeyCorp | 1,346 | 22 | ||||||
Lincoln National Corp | 274 | 12 | ||||||
Loews Corp | 335 | 17 | ||||||
M&T Bank Corp | 249 | 44 | ||||||
MarketAxess Holdings Inc | 67 | 15 | ||||||
Marsh & McLennan Cos Inc | 713 | 106 | ||||||
MetLife Inc | 970 | 59 | ||||||
Moody's Corp | 226 | 55 | ||||||
Morgan Stanley | 1,933 | 153 | ||||||
MSCI Inc, Cl A | 114 | 48 | ||||||
Nasdaq Inc, Cl A | 471 | 27 | ||||||
Northern Trust Corp | 284 | 24 | ||||||
PNC Financial Services Group Inc/The | 586 | 88 | ||||||
Principal Financial Group Inc, Cl A | 315 | 23 | ||||||
Progressive Corp/The | 828 | 96 | ||||||
Prudential Financial Inc | 523 | 45 | ||||||
Raymond James Financial Inc | 264 | 26 | ||||||
Regions Financial Corp | 1,271 | 25 | ||||||
S&P Global Inc | 495 | 151 | ||||||
Signature Bank/New York NY, Cl B | 105 | 16 | ||||||
State Street Corp | 559 | 34 | ||||||
SVB Financial Group, Cl B * | 90 | 30 | ||||||
Synchrony Financial | 676 | 19 | ||||||
T Rowe Price Group Inc | 351 | 37 | ||||||
Travelers Cos Inc/The | 335 | 51 | ||||||
Truist Financial Corp | 1,885 | 82 | ||||||
US Bancorp | 1,912 | 77 | ||||||
W R Berkley Corp | 343 | 22 | ||||||
Wells Fargo & Co | 5,418 | 218 | ||||||
Willis Towers Watson PLC | 153 | 31 | ||||||
Zions Bancorp NA | 250 | 13 | ||||||
4,829 | ||||||||
Health Care — 0.9% | ||||||||
Abbott Laboratories | 2,505 | 242 | ||||||
AbbVie Inc | 2,531 | 340 | ||||||
ABIOMED Inc * | 75 | 18 | ||||||
Agilent Technologies Inc | 420 | 51 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Align Technology Inc * | 112 | $ | 23 | |||||
AmerisourceBergen Corp, Cl A | 226 | 31 | ||||||
Amgen Inc, Cl A | 762 | 172 | ||||||
Baxter International Inc | 769 | 41 | ||||||
Becton Dickinson and Co | 404 | 90 | ||||||
Biogen Inc * | 224 | 60 | ||||||
Bio-Rad Laboratories Inc, Cl A * | 35 | 15 | ||||||
Bio-Techne Corp | 66 | 19 | ||||||
Boston Scientific Corp * | 2,019 | 78 | ||||||
Bristol-Myers Squibb Co | 3,042 | 216 | ||||||
Cardinal Health Inc | 366 | 24 | ||||||
Catalent Inc * | 291 | 21 | ||||||
Centene Corp * | 825 | 64 | ||||||
Charles River Laboratories International Inc * | 86 | 17 | ||||||
Cigna Corp | 451 | 125 | ||||||
Cooper Cos Inc/The, Cl A | 71 | 19 | ||||||
CVS Health Corp | 1,871 | 178 | ||||||
Danaher Corp, Cl A | 945 | 244 | ||||||
DaVita Inc * | 98 | 8 | ||||||
DENTSPLY SIRONA Inc | 307 | 9 | ||||||
Dexcom Inc * | 600 | 48 | ||||||
Edwards Lifesciences Corp, Cl A * | 879 | 73 | ||||||
Elevance Health Inc | 344 | 156 | ||||||
Eli Lilly & Co | 1,130 | 365 | ||||||
Gilead Sciences Inc | 1,780 | 110 | ||||||
HCA Healthcare Inc | 320 | 59 | ||||||
Henry Schein Inc * | 227 | 15 | ||||||
Hologic Inc * | 370 | 24 | ||||||
Humana Inc | 179 | 87 | ||||||
IDEXX Laboratories Inc * | 117 | 38 | ||||||
Illumina Inc * | 242 | 46 | ||||||
Incyte Corp * | 274 | 18 | ||||||
Intuitive Surgical Inc * | 510 | 96 | ||||||
IQVIA Holdings Inc * | 266 | 48 | ||||||
Johnson & Johnson | 3,777 | 617 | ||||||
Laboratory Corp of America Holdings | 141 | 29 | ||||||
McKesson Corp | 204 | 69 | ||||||
Medtronic PLC | 1,914 | 155 | ||||||
Merck & Co Inc | 3,621 | 312 | ||||||
Mettler-Toledo International Inc * | 35 | 38 | ||||||
Moderna Inc * | 490 | 58 | ||||||
Molina Healthcare Inc * | 84 | 28 | ||||||
Organon & Co | 346 | 8 | ||||||
PerkinElmer Inc | 171 | 21 | ||||||
Pfizer Inc | 8,041 | 352 | ||||||
Quest Diagnostics Inc | 175 | 21 | ||||||
Regeneron Pharmaceuticals Inc * | 153 | 105 | ||||||
ResMed Inc | 224 | 49 | ||||||
STERIS PLC | 136 | 23 | ||||||
Stryker Corp | 477 | 97 | ||||||
Teleflex Inc | 77 | 15 |
326
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Thermo Fisher Scientific Inc | 561 | $ | 285 | |||||
UnitedHealth Group Inc | 1,347 | 680 | ||||||
Universal Health Services Inc, Cl B | 117 | 10 | ||||||
Vertex Pharmaceuticals Inc * | 362 | 105 | ||||||
Viatris Inc, Cl W * | 2,064 | 18 | ||||||
Waters Corp * | 82 | 22 | ||||||
West Pharmaceutical Services Inc | 113 | 28 | ||||||
Zimmer Biomet Holdings Inc | 316 | 33 | ||||||
Zoetis Inc, Cl A | 668 | 99 | ||||||
6,565 | ||||||||
Industrials — 0.5% | ||||||||
3M Co | 787 | 87 | ||||||
A O Smith Corp | 208 | 10 | ||||||
Alaska Air Group Inc * | 188 | 7 | ||||||
Allegion PLC | 146 | 13 | ||||||
American Airlines Group Inc * | 1,042 | 13 | ||||||
AMETEK Inc | 352 | 40 | ||||||
Boeing Co/The * | 791 | 96 | ||||||
Carrier Global Corp | 1,182 | 42 | ||||||
Caterpillar Inc, Cl A | 759 | 125 | ||||||
CH Robinson Worldwide Inc | 169 | 16 | ||||||
Cintas Corp | 121 | 47 | ||||||
Copart Inc * | 323 | 34 | ||||||
CoStar Group Inc * | 571 | 40 | ||||||
CSX Corp | 3,080 | 82 | ||||||
Cummins Inc | 217 | 44 | ||||||
Deere & Co | 397 | 133 | ||||||
Delta Air Lines Inc, Cl A * | 875 | 25 | ||||||
Dover Corp | 196 | 23 | ||||||
Eaton Corp PLC | 564 | 75 | ||||||
Emerson Electric Co | 837 | 61 | ||||||
Equifax Inc | 185 | 32 | ||||||
Expeditors International of Washington Inc | 226 | 20 | ||||||
Fastenal Co, Cl A | 798 | 37 | ||||||
FedEx Corp | 336 | 50 | ||||||
Fortive Corp | 537 | 31 | ||||||
Fortune Brands Home & Security Inc | 219 | 12 | ||||||
Generac Holdings Inc * | 86 | 15 | ||||||
General Dynamics Corp | 325 | 69 | ||||||
General Electric Co | 1,563 | 97 | ||||||
Honeywell International Inc | 971 | 162 | ||||||
Howmet Aerospace Inc | 627 | 19 | ||||||
Huntington Ingalls Industries Inc, Cl A | 70 | 16 | ||||||
IDEX Corp | 102 | 20 | ||||||
Illinois Tool Works Inc | 400 | 72 | ||||||
Ingersoll Rand Inc | 553 | 24 | ||||||
Jacobs Solutions Inc | 191 | 21 | ||||||
JB Hunt Transport Services Inc | 139 | 22 | ||||||
Johnson Controls International plc | 972 | 48 | ||||||
L3Harris Technologies Inc | 271 | 56 | ||||||
Leidos Holdings Inc | 216 | 19 | ||||||
Lockheed Martin Corp | 337 | 130 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Masco Corp | 326 | $ | 15 | |||||
Nielsen Holdings PLC | 477 | 13 | ||||||
Nordson Corp | 71 | 15 | ||||||
Norfolk Southern Corp | 337 | 71 | ||||||
Northrop Grumman Corp | 207 | 97 | ||||||
Old Dominion Freight Line Inc, Cl A | 142 | 35 | ||||||
Otis Worldwide Corp | 649 | 41 | ||||||
PACCAR Inc | 529 | 44 | ||||||
Parker-Hannifin Corp, Cl A | 197 | 48 | ||||||
Pentair PLC | 269 | 11 | ||||||
Quanta Services Inc | 195 | 25 | ||||||
Raytheon Technologies Corp | 2,123 | 174 | ||||||
Republic Services Inc | 316 | 43 | ||||||
Robert Half International Inc | 184 | 14 | ||||||
Rockwell Automation Inc | 177 | 38 | ||||||
Rollins Inc | 285 | 10 | ||||||
Snap-on Inc | 75 | 15 | ||||||
Southwest Airlines Co, Cl A * | 813 | 25 | ||||||
Stanley Black & Decker Inc | 245 | 18 | ||||||
Textron Inc | 286 | 17 | ||||||
Trane Technologies PLC | 334 | 48 | ||||||
TransDigm Group Inc | 72 | 38 | ||||||
Union Pacific Corp | 897 | 175 | ||||||
United Airlines Holdings Inc * | 552 | 18 | ||||||
United Parcel Service Inc, Cl B | 1,049 | 169 | ||||||
United Rentals Inc * | 98 | 26 | ||||||
Verisk Analytics Inc, Cl A | 246 | 42 | ||||||
Waste Management Inc | 540 | 87 | ||||||
Westinghouse Air Brake Technologies Corp | 246 | 20 | ||||||
WW Grainger Inc | 65 | 32 | ||||||
Xylem Inc/NY | 243 | 21 | ||||||
3,430 | ||||||||
Information Technology — 1.6% | ||||||||
Accenture PLC, Cl A | 906 | 233 | ||||||
Adobe Inc * | 676 | 186 | ||||||
Advanced Micro Devices Inc * | 2,316 | 147 | ||||||
Akamai Technologies Inc * | 241 | 19 | ||||||
Amphenol Corp, Cl A | 839 | 56 | ||||||
Analog Devices Inc | 744 | 104 | ||||||
ANSYS Inc * | 120 | 27 | ||||||
Apple Inc | 21,804 | 3,013 | ||||||
Applied Materials Inc | 1,257 | 103 | ||||||
Arista Networks Inc * | 342 | 39 | ||||||
Autodesk Inc, Cl A * | 306 | 57 | ||||||
Automatic Data Processing Inc | 595 | 135 | ||||||
Broadcom Inc | 585 | 260 | ||||||
Broadridge Financial Solutions Inc | 173 | 25 | ||||||
Cadence Design Systems Inc * | 388 | 63 | ||||||
CDW Corp/DE | 204 | 32 | ||||||
Ceridian HCM Holding Inc * | 251 | 14 | ||||||
Cisco Systems Inc | 5,943 | 238 | ||||||
Citrix Systems Inc | 178 | 19 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
327
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Income Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Cognizant Technology Solutions Corp, Cl A | 727 | $ | 42 | |||||
Corning Inc, Cl B | 1,133 | 33 | ||||||
DXC Technology Co * | 313 | 8 | ||||||
Enphase Energy Inc * | 189 | 52 | ||||||
EPAM Systems Inc * | 78 | 28 | ||||||
F5 Inc, Cl A * | 87 | 13 | ||||||
Fidelity National Information Services Inc, Cl B | 864 | 65 | ||||||
Fiserv Inc, Cl A * | 923 | 86 | ||||||
FleetCor Technologies Inc * | 104 | 18 | ||||||
Fortinet Inc * | 934 | 46 | ||||||
Gartner Inc * | 124 | 34 | ||||||
Global Payments Inc | 393 | 42 | ||||||
Hewlett Packard Enterprise Co | 1,939 | 23 | ||||||
HP Inc | 1,313 | 33 | ||||||
Intel Corp | 5,840 | 150 | ||||||
International Business Machines Corp | 1,282 | 152 | ||||||
Intuit Inc | 404 | 156 | ||||||
Jack Henry & Associates Inc | 123 | 22 | ||||||
Juniper Networks Inc | 521 | 14 | ||||||
Keysight Technologies Inc * | 278 | 44 | ||||||
KLA Corp | 211 | 64 | ||||||
Lam Research Corp | 197 | 72 | ||||||
Mastercard Inc, Cl A | 1,231 | 350 | ||||||
Microchip Technology Inc | 779 | 48 | ||||||
Micron Technology Inc | 1,582 | 79 | ||||||
Microsoft Corp | 10,755 | 2,505 | ||||||
Monolithic Power Systems Inc | 63 | 23 | ||||||
Motorola Solutions Inc | 234 | 52 | ||||||
NetApp Inc | 318 | 20 | ||||||
NortonLifeLock Inc | 981 | 20 | ||||||
NVIDIA Corp | 3,594 | 436 | ||||||
NXP Semiconductors NV | 369 | 54 | ||||||
ON Semiconductor Corp * | 602 | 38 | ||||||
Oracle Corp, Cl B | 2,192 | 134 | ||||||
Paychex Inc | 450 | 51 | ||||||
Paycom Software Inc * | 65 | 21 | ||||||
PayPal Holdings Inc * | 1,650 | 142 | ||||||
PTC Inc * | 170 | 18 | ||||||
Qlik *(B) | 3,600 | — | ||||||
Qlik, Cl A *(B) | 56 | 57 | ||||||
Qlik, Cl B *(B) | 13,812 | — | ||||||
Qorvo Inc * | 188 | 15 | ||||||
QUALCOMM Inc | 1,601 | 181 | ||||||
Roper Technologies Inc | 149 | 54 | ||||||
Salesforce Inc * | 1,421 | 204 | ||||||
Seagate Technology Holdings PLC | 265 | 14 | ||||||
ServiceNow Inc * | 285 | 108 | ||||||
Skyworks Solutions Inc | 237 | 20 | ||||||
SolarEdge Technologies Inc * | 86 | 20 | ||||||
Synopsys Inc * | 216 | 66 | ||||||
TE Connectivity Ltd | 452 | 50 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Teledyne Technologies Inc * | 68 | $ | 23 | |||||
Teradyne Inc | 234 | 18 | ||||||
Texas Instruments Inc | 1,318 | 204 | ||||||
Trimble Inc * | 337 | 18 | ||||||
Tyler Technologies Inc * | 69 | 24 | ||||||
VeriSign Inc * | 140 | 24 | ||||||
Visa Inc, Cl A | 2,360 | 419 | ||||||
Western Digital Corp * | 524 | 17 | ||||||
Zebra Technologies Corp, Cl A * | 77 | 20 | ||||||
11,514 | ||||||||
Materials — 0.2% | ||||||||
Air Products and Chemicals Inc | 313 | 73 | ||||||
Albemarle Corp | 177 | 47 | ||||||
Amcor PLC | 2,230 | 24 | ||||||
Arctic Canadian Diamond Company Ltd *(B) | 824 | — | ||||||
Avery Dennison Corp | 109 | 18 | ||||||
Ball Corp | 492 | 24 | ||||||
Celanese Corp, Cl A | 144 | 13 | ||||||
CF Industries Holdings Inc | 284 | 27 | ||||||
Corteva Inc | 1,013 | 58 | ||||||
Dow Inc | 1,017 | 45 | ||||||
DuPont de Nemours Inc | 788 | 40 | ||||||
Eastman Chemical Co | 219 | 16 | ||||||
Ecolab Inc | 348 | 50 | ||||||
FMC Corp | 209 | 22 | ||||||
Freeport-McMoRan Inc, Cl B | 2,031 | 55 | ||||||
International Flavors & Fragrances Inc | 389 | 35 | ||||||
International Paper Co | 497 | 16 | ||||||
Linde PLC | 719 | 194 | ||||||
LyondellBasell Industries NV, Cl A | 354 | 27 | ||||||
Martin Marietta Materials Inc, Cl A | 85 | 27 | ||||||
Mosaic Co/The | 491 | 23 | ||||||
Newmont Corp | 1,107 | 46 | ||||||
Nucor Corp | 371 | 40 | ||||||
Packaging Corp of America | 138 | 15 | ||||||
PPG Industries Inc | 362 | 40 | ||||||
Sealed Air Corp | 231 | 10 | ||||||
Sherwin-Williams Co/The, Cl A | 338 | 69 | ||||||
Vulcan Materials Co | 182 | 29 | ||||||
Westrock Co | 376 | 12 | ||||||
1,095 | ||||||||
Real Estate — 0.2% | ||||||||
Alexandria Real Estate Equities Inc ‡ | 214 | 30 | ||||||
American Tower Corp, Cl A ‡ | 663 | 142 | ||||||
AvalonBay Communities Inc ‡ | 214 | 39 | ||||||
Boston Properties Inc ‡ | 203 | 15 | ||||||
Camden Property Trust ‡ | 162 | 19 | ||||||
CBRE Group Inc, Cl A * | 464 | 31 | ||||||
Crown Castle Inc ‡ | 614 | 89 | ||||||
Digital Realty Trust Inc, Cl A ‡ | 436 | 43 | ||||||
Duke Realty Corp ‡ | 570 | 28 |
328
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Equinix Inc ‡ | 129 | $ | 73 | |||||
Equity Residential ‡ | 521 | 35 | ||||||
Essex Property Trust Inc ‡ | 95 | 23 | ||||||
Extra Space Storage Inc ‡ | 203 | 35 | ||||||
Federal Realty Investment Trust ‡ | 92 | 8 | ||||||
Healthpeak Properties Inc ‡ | 771 | 18 | ||||||
Host Hotels & Resorts Inc ‡ | 1,182 | 19 | ||||||
Invitation Homes Inc ‡ | 837 | 28 | ||||||
Iron Mountain Inc ‡ | 445 | 20 | ||||||
Kimco Realty Corp ‡ | 900 | 17 | ||||||
Mid-America Apartment Communities Inc ‡ | 157 | 24 | ||||||
Prologis Inc ‡ | 1,053 | 107 | ||||||
Public Storage ‡ | 228 | 67 | ||||||
Realty Income Corp ‡ | 844 | 49 | ||||||
Regency Centers Corp ‡ | 251 | 14 | ||||||
SBA Communications Corp, Cl A ‡ | 151 | 43 | ||||||
Simon Property Group Inc ‡ | 507 | 46 | ||||||
UDR Inc ‡ | 495 | 21 | ||||||
Ventas Inc ‡ | 545 | 22 | ||||||
VICI Properties Inc ‡ | 1,340 | 40 | ||||||
Vornado Realty Trust ‡ | 297 | 7 | ||||||
Welltower Inc ‡ | 670 | 43 | ||||||
Weyerhaeuser Co ‡ | 1,135 | 32 | ||||||
1,227 | ||||||||
Utilities — 0.2% | ||||||||
AES Corp/The | 1,094 | 25 | ||||||
Alliant Energy Corp | 413 | 22 | ||||||
Ameren Corp | 355 | 29 | ||||||
American Electric Power Co Inc | 723 | 62 | ||||||
American Water Works Co Inc | 276 | 36 | ||||||
Atmos Energy Corp | 222 | 23 | ||||||
CenterPoint Energy Inc | 856 | 24 | ||||||
CMS Energy Corp | 431 | 25 | ||||||
Consolidated Edison Inc | 540 | 46 | ||||||
Constellation Energy Corp | 447 | 37 | ||||||
Dominion Energy Inc | 1,202 | 83 | ||||||
DTE Energy Co | 267 | 31 | ||||||
Duke Energy Corp | 1,094 | 102 | ||||||
Edison International | 526 | 30 | ||||||
Entergy Corp | 279 | 28 | ||||||
Evergy Inc | 379 | 23 | ||||||
Exelon Corp | 1,375 | 51 | ||||||
FirstEnergy Corp | 782 | 29 | ||||||
NextEra Energy Inc | 2,808 | 220 | ||||||
NiSource Inc | 636 | 16 | ||||||
NRG Energy Inc | 400 | 15 | ||||||
PG&E Corp * | 2,322 | 29 | ||||||
Pinnacle West Capital Corp | 199 | 13 | ||||||
PPL Corp | 1,005 | 25 | ||||||
Public Service Enterprise Group Inc | 773 | 43 | ||||||
Sempra Energy | 443 | 66 | ||||||
Southern Co/The | 1,509 | 103 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
WEC Energy Group Inc | 480 | $ | 43 | |||||
Xcel Energy Inc | 827 | 53 | ||||||
1,332 | ||||||||
Total Common Stock | ||||||||
(Cost $23,376) ($ Thousands) | 44,867 | |||||||
Face Amount | ||||||||
ASSET-BACKED SECURITIES — 4.3% | ||||||||
Other Asset-Backed Securities — 4.3% | ||||||||
Aimco CLO 12, Ser 2022-12A, Cl DR | ||||||||
5.381%, TSFR3M + 2.900%, 01/17/2032(A)(D) | 360 | 317 | ||||||
Apidos CLO XXII, Ser 2020-22A, Cl DR | ||||||||
9.460%, ICE LIBOR USD 3 Month + 6.750%, 04/20/2031(A)(D) | 1,380 | 1,161 | ||||||
Benefit Street Partners CLO IV, Ser 2021-IVA, Cl CRRR | ||||||||
6.310%, ICE LIBOR USD 3 Month + 3.600%, 01/20/2032(A)(D) | 340 | 300 | ||||||
BlueMountain CLO XXIX, Ser 2021-29A, Cl ER | ||||||||
9.643%, ICE LIBOR USD 3 Month + 6.860%, 07/25/2034(A)(D) | 890 | 744 | ||||||
Bristol Park CLO, Ser 2020-1A, Cl ER | ||||||||
9.512%, ICE LIBOR USD 3 Month + 7.000%, 04/15/2029(A)(D) | 500 | 432 | ||||||
Canyon Capital CLO, Ser 2021-1A, Cl E | ||||||||
8.922%, ICE LIBOR USD 3 Month + 6.410%, 04/15/2034(A)(D) | 280 | 212 | ||||||
Carlyle Global Market Strategies CLO, Ser 2018-2RA, Cl A1 | ||||||||
3.955%, ICE LIBOR USD 3 Month + 1.050%, 05/15/2031(A)(D) | 1,045 | 1,019 | ||||||
Carlyle US CLO, Ser 2021-2A, Cl DR | ||||||||
9.012%, ICE LIBOR USD 3 Month + 6.500%, 07/15/2032(A)(D) | 850 | 719 | ||||||
Cathedral Lake VI, Ser 2021-6A, Cl E | ||||||||
9.993%, ICE LIBOR USD 3 Month + 7.210%, 04/25/2034(A)(D) | 300 | 245 | ||||||
Cathedral Lake VII, Ser 2021-7RA, Cl D | ||||||||
6.792%, ICE LIBOR USD 3 Month + 4.280%, 01/15/2032(A)(D) | 700 | 613 | ||||||
Catskill Park CLO, Ser 2017-1A, Cl D | ||||||||
8.710%, ICE LIBOR USD 3 Month + 6.000%, 04/20/2029(A)(D) | 900 | 733 | ||||||
CIFC Funding, Ser 2017-3A, Cl C | ||||||||
6.360%, ICE LIBOR USD 3 Month + 3.650%, 07/20/2030(A)(D) | 690 | 619 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
329
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
CIFC Funding, Ser 2021-4A, Cl D | ||||||||
5.412%, ICE LIBOR USD 3 Month + 2.900%, 07/15/2033(A)(D) | $ | 490 | $ | 439 | ||||
Copper River CLO, Ser 2006-1A | ||||||||
0.000%, 01/20/2021(A)(C) | 3,000 | 177 | ||||||
Countrywide Asset-Backed Certificates, Ser 2006-12, Cl 1A | ||||||||
3.344%, ICE LIBOR USD 1 Month + 0.260%, 12/25/2036(D) | 1,044 | 951 | ||||||
CQS US CLO, Ser 2021-1A, Cl D1 | ||||||||
6.260%, ICE LIBOR USD 3 Month + 3.550%, 01/20/2035(A)(D) | 1,850 | 1,602 | ||||||
Dryden LXXV CLO, Ser 2021-75A, Cl ER2 | ||||||||
9.112%, ICE LIBOR USD 3 Month + 6.600%, 04/15/2034(A)(D) | 770 | 607 | ||||||
Dryden XLIII Senior Loan Fund, Ser 2021-43A, Cl ER3 | ||||||||
9.110%, ICE LIBOR USD 3 Month + 6.400%, 04/20/2034(A)(D) | 330 | 274 | ||||||
Eaton Vance CLO, Ser 2021-2A, Cl ER | ||||||||
9.012%, ICE LIBOR USD 3 Month + 6.500%, 01/15/2035(A)(D) | 500 | 410 | ||||||
Educational Funding, Ser 2006-1A, Cl A3 | ||||||||
3.133%, ICE LIBOR USD 3 Month + 0.350%, 04/25/2033(A)(D) | 678 | 503 | ||||||
Fortress Credit BSL XII, Ser 2021-4A, Cl E | ||||||||
9.642%, ICE LIBOR USD 3 Month + 7.130%, 10/15/2034(A)(D) | 250 | 206 | ||||||
Golub Capital Partners CLO LIII, Ser 2021-53A, Cl E | ||||||||
9.410%, ICE LIBOR USD 3 Month + 6.700%, 07/20/2034(A)(D) | 410 | 341 | ||||||
GoodLeap Sustainable Home Solutions Trust, Ser 2021-4GS, Cl A | ||||||||
1.930%, 07/20/2048(A) | 146 | 118 | ||||||
GoodLeap Sustainable Home Solutions Trust, Ser 2022-1GS, Cl B | ||||||||
2.940%, 01/20/2049(A) | 92 | 76 | ||||||
Halsey Point CLO I, Ser 2019-1A, Cl F | ||||||||
10.910%, ICE LIBOR USD 3 Month + 8.200%, 01/20/2033(A)(D) | 290 | 230 | ||||||
Hardee's Funding, Ser 2021-1A, Cl A2 | ||||||||
2.865%, 06/20/2051(A) | 158 | 125 | ||||||
HGI CRE CLO, Ser 2021-FL1, Cl C | ||||||||
4.639%, ICE LIBOR USD 1 Month + 1.700%, 06/16/2036(A)(D) | 330 | 313 | ||||||
Jay Park CLO, Ser 2018-1A, Cl DR | ||||||||
7.910%, ICE LIBOR USD 3 Month + 5.200%, 10/20/2027(A)(D) | 590 | 512 | ||||||
Marathon CLO II, Ser 2005-2A | ||||||||
0.000%, 12/20/2019(A)(B)(C) | 750 | – |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Marathon CLO, Ser 2019-2A, Cl BA | ||||||||
6.010%, ICE LIBOR USD 3 Month + 3.300%, 01/20/2033(A)(D) | $ | 330 | $ | 305 | ||||
Neuberger Berman Loan Advisers CLO 33, Ser 2021-33A, Cl DR | ||||||||
5.640%, ICE LIBOR USD 3 Month + 2.900%, 10/16/2033(A)(D) | 500 | 436 | ||||||
Neuberger Berman Loan Advisers CLO 44, Ser 2021-44A, Cl E | ||||||||
8.740%, ICE LIBOR USD 3 Month + 6.000%, 10/16/2034(A)(D) | 490 | 401 | ||||||
Neuberger Berman Loan Advisers CLO 49, Ser 2022-49A, Cl D | ||||||||
4.701%, TSFR3M + 3.400%, 07/25/2034(A)(D) | 2,975 | 2,631 | ||||||
Oaktree CLO, Ser 2019-1A, Cl D | ||||||||
6.559%, ICE LIBOR USD 3 Month + 3.800%, 04/22/2030(A)(D) | 250 | 211 | ||||||
Ocean Trails CLO X, Ser 2021-10A, Cl ER | ||||||||
10.082%, ICE LIBOR USD 3 Month + 7.570%, 10/15/2034(A)(D) | 590 | 482 | ||||||
OCP CLO, Ser 2022-24A, Cl D | ||||||||
5.461%, TSFR3M + 3.800%, 07/20/2035(A)(D) | 3,200 | 2,803 | ||||||
OZLM VII, Ser 2018-7RA, Cl CR | ||||||||
5.740%, ICE LIBOR USD 3 Month + 3.000%, 07/17/2029(A)(D) | 650 | 592 | ||||||
OZLM XI, Ser 2017-11A, Cl BR | ||||||||
5.082%, ICE LIBOR USD 3 Month + 2.300%, 10/30/2030(A)(D) | 600 | 562 | ||||||
Palmer Square Loan Funding, Ser 2022-3A, Cl C | ||||||||
0.000%, 04/15/2031(A)(C)(D) | 670 | 639 | ||||||
Parallel, Ser 2020-1A, Cl CR | ||||||||
4.710%, ICE LIBOR USD 3 Month + 2.000%, 07/20/2029(A)(D) | 750 | 698 | ||||||
Peace Park CLO, Ser 2021-1A, Cl E | ||||||||
8.710%, ICE LIBOR USD 3 Month + 6.000%, 10/20/2034(A)(D) | 400 | 328 | ||||||
RR, Ser 2021-18A, Cl D | ||||||||
8.762%, ICE LIBOR USD 3 Month + 6.250%, 10/15/2034(A)(D) | 750 | 636 | ||||||
Sculptor CLO XXVI, Ser 2021-26A, Cl E | ||||||||
9.960%, ICE LIBOR USD 3 Month + 7.250%, 07/20/2034(A)(D) | 450 | 374 | ||||||
SMB Private Education Loan Trust, Ser 2021-A, Cl D1 | ||||||||
3.860%, 01/15/2053(A) | 690 | 617 | ||||||
Structured Asset Securities Mortgage Loan Trust, Ser 2006-GEL4, Cl M1 | ||||||||
3.654%, ICE LIBOR USD 1 Month + 0.570%, 10/25/2036(A)(D) | 1,116 | 1,088 |
330
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Sunnova Helios II, Ser 2019-AA, Cl C | ||||||||
5.320%, 06/20/2046(A) | $ | 448 | $ | 382 | ||||
Sunrun Atlas Issuer, Ser 2019-2, Cl A | ||||||||
3.610%, 02/01/2055(A) | 397 | 352 | ||||||
Symphony CLO XIX, Ser 2018-19A, Cl E | ||||||||
7.940%, ICE LIBOR USD 3 Month + 5.200%, 04/16/2031(A)(D) | 250 | 195 | ||||||
TCI-Symphony CLO, Ser 2021-1A, Cl ER2 | ||||||||
9.205%, ICE LIBOR USD 3 Month + 6.750%, 10/13/2032(A)(D) | 730 | 621 | ||||||
Tikehau US CLO I, Ser 2021-1A, Cl E | ||||||||
9.650%, ICE LIBOR USD 3 Month + 6.910%, 01/18/2035(A)(D) | 1,200 | 972 | ||||||
Voya CLO, Ser 2018-3A, Cl A1A | ||||||||
3.662%, ICE LIBOR USD 3 Month + 1.150%, 10/15/2031(A)(D) | 250 | 245 | ||||||
Voya CLO, Ser 2021-3A, Cl DR | ||||||||
9.660%, ICE LIBOR USD 3 Month + 6.950%, 04/20/2034(A)(D) | 260 | 219 | ||||||
Whitehorse XII, Ser 2018-12A, Cl D | ||||||||
6.162%, ICE LIBOR USD 3 Month + 3.650%, 10/15/2031(A)(D) | 250 | 218 | ||||||
Z Capital Credit Partners CLO, Ser 2021-1A, Cl D | ||||||||
6.712%, ICE LIBOR USD 3 Month + 4.200%, 07/15/2033(A)(D) | 450 | 390 | ||||||
Total Asset-Backed Securities | ||||||||
(Cost $38,464) ($ Thousands) | 30,395 | |||||||
| ||||||||
PREFERRED STOCK — 0.4% | ||||||||
Energy — 0.4% | ||||||||
MPLX, 8.462% *(B)(E) | 70,655 | 2,556 | ||||||
Financials — 0.0% | ||||||||
B Riley Financial, 5.500% | 15,750 | 356 | ||||||
Total Preferred Stock | ||||||||
(Cost $2,690) ($ Thousands) | 2,912 | |||||||
Face Amount | ||||||||
CONVERTIBLE BONDS — 0.3% | ||||||||
Alarm.com Holdings | ||||||||
0.000%, 01/15/2026(I) | 57 | 47 | ||||||
Apollo Commercial Real Estate Finance | ||||||||
5.375% , 10/15/2023 | 400 | 389 | ||||||
Blackstone Mortgage Trust | ||||||||
5.500% , 03/15/2027 | 200 | 170 |
Description | Face Amount | Market Value | ||||||
CONVERTIBLE BONDS (continued) | ||||||||
DISH Network | ||||||||
3.375% , 08/15/2026 | $ | 640 | $ | 440 | ||||
DraftKings Holdings | ||||||||
0.000%, 03/15/2028(I) | 900 | 581 | ||||||
Gannett | ||||||||
6.000% , 12/01/2027 | 240 | 215 | ||||||
Liberty Latin America | ||||||||
2.000% , 07/15/2024 | 140 | 122 | ||||||
Liberty TripAdvisor Holdings | ||||||||
0.500% , 06/30/2051(A) | 70 | 50 | ||||||
Spirit Airlines | ||||||||
1.000% , 05/15/2026 | 40 | 34 | ||||||
Total Convertible Bonds | ||||||||
(Cost $2,431) ($ Thousands) | 2,048 | |||||||
MUNICIPAL BOND — 0.0% | ||||||||
Illinois — 0.0% | ||||||||
Illinois State, Build America Bonds, GO | ||||||||
7.350%, 07/01/2035 | 209 | 222 | ||||||
Total Municipal Bond | ||||||||
(Cost $231) ($ Thousands) | 222 | |||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Noble Corp., Expires 02/08/2028 | ||||||||
Strike Price $19.27 * | 2,787 | 36 | ||||||
Noble Corp., Expires 02/08/2028 | ||||||||
Strike Price $23.13 * | 2,787 | 34 | ||||||
Total Warrants | ||||||||
(Cost $12) ($ Thousands) | 70 | |||||||
Number of Rights | ||||||||
RIGHTS — 0.0% | ||||||||
Intelsat Jackson Holdings *‡‡(B) | 4,712 | – | ||||||
Total Rights | ||||||||
(Cost $—) ($ Thousands) | – | |||||||
PURCHASED OPTIONS — 0.3% | ||||||||
Total Purchased Options | ||||||||
(Cost $1,413) ($ Thousands) | 2,012 | |||||||
Total Investments in Securities — 91.3% | ||||||||
(Cost $750,318) ($ Thousands) | $ | 644,743 | ||||||
SEI Institutional Managed Trust / Annual Report / September 30, 2022
331
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Income Fund (Continued)
Description | Number of Rights | Market Value | ||||||
PURCHASED OPTIONS (continued) | ||||||||
WRITTEN OPTIONS — (0.2)% | ||||||||
Total Written Options | ||||||||
(Premiums Received $3,029) ($ Thousands) | $ | (1,526 | ) | |||||
A list of the open exchange traded options contracts held by the Fund at September 30, 2022 is as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||
PURCHASED OPTIONS — 0.3% | ||||||||||||||||||||
Put Options | �� | |||||||||||||||||||
November 2022, S&P 500 E-mini 3rd Week Option | 18 | $ | 3,150 | $ | 3,500.00 | 11/19/2022 | $ | 99 | ||||||||||||
November 2022, S&P 500 E-mini 3rd Week Option | 23 | 3,910 | 3,400.00 | 11/19/2022 | 92 | |||||||||||||||
October 2022, S&P 500 E-mini 3rd Week Option | 17 | 3,060 | 3,600.00 | 10/22/2022 | 86 | |||||||||||||||
December 2022, S&P 500 E-mini Option | 65 | 12,025 | 3,700.00 | 12/17/2022 | 735 | |||||||||||||||
December 2022, S&P 500 E-mini Option | 25 | 4,375 | 3,500.00 | 12/17/2022 | 175 | |||||||||||||||
USD Put | 2,630,000 | 7,101 | 2.70 | 5/21/2033 | 26 | |||||||||||||||
USD Put | 2,800,000 | 6,720 | 2.40 | 7/22/2023 | 25 | |||||||||||||||
USD Put | 28,200,000 | 52,170 | 1.85 | 11/19/2022 | – | |||||||||||||||
USD Put | 28,100,000 | 50,580 | 1.80 | 11/19/2022 | – | |||||||||||||||
USD Put/ CAD Call | 1,028,000 | 1,306 | 1.27 | 10/22/2022 | – | |||||||||||||||
USD Put/ CAD Call | 1,010,000 | 1,281 | 1.27 | 10/22/2022 | – | |||||||||||||||
USD Put/ CAD Call | 335,000 | 424 | 1.27 | 10/22/2022 | – | |||||||||||||||
USD Put/ CAD Call | 335,000 | 424 | 1.27 | 10/22/2022 | – | |||||||||||||||
USD Put/ CAD Call | 693,000 | 878 | 1.27 | 10/22/2022 | – | |||||||||||||||
USD Put/ MXN Call | 2,600,000 | 53,621 | 20.62 | 10/22/2022 | 68 | |||||||||||||||
201,025 | 1,306 | |||||||||||||||||||
Call Options | ||||||||||||||||||||
December 2023, IMM Eurodollar Future Option | 6 | $ | 1,485 | 99.00 | 12/16/2023 | $ | 1 | |||||||||||||
USD Call | 2,820,000 | 7,896 | 2.80 | 8/19/2023 | 198 | |||||||||||||||
USD Call | 2,820,000 | 8,347 | 2.96 | 9/16/2023 | 171 | |||||||||||||||
USD Call/ GBP Put | 3,100,000 | 3,689 | 1.19 | 10/22/2022 | 189 | |||||||||||||||
USD Put | 2,600,000 | 7,800 | 3.00 | 5/20/2023 | 147 | |||||||||||||||
29,217 | 706 | |||||||||||||||||||
Total Purchased Options | $ | 230,242 | $ | 2,012 | ||||||||||||||||
WRITTEN OPTIONS — (0.2)% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
October 2022, S&P 500 E-mini 3rd Week Option | (17 | ) | $ | (2,805 | ) | 3,300.00 | 10/22/22 | $ | (19 | ) | ||||||||||
December 2022, S&P 500 E-mini Option | (48 | ) | (7,920 | ) | 3,300.00 | 12/17/22 | (201 | ) | ||||||||||||
USD Put | (28,100,000 | ) | (36,249 | ) | 1.29 | 11/19/22 | – | |||||||||||||
USD Put | (28,100,000 | ) | (43,415 | ) | 1.55 | 11/19/22 | – | |||||||||||||
USD Put | (28,200,000 | ) | (37,999 | ) | 1.35 | 11/19/22 | – | |||||||||||||
USD Put | (28,200,000 | ) | (45,085 | ) | 1.60 | 11/19/22 | – | |||||||||||||
USD Put | (2,630,000 | ) | (5,293 | ) | 2.01 | 05/21/33 | (8 | ) | ||||||||||||
USD Put | (2,800,000 | ) | (4,900 | ) | 1.75 | 07/22/23 | (10 | ) | ||||||||||||
USD Put | (2,630,000 | ) | (6,197 | ) | 2.36 | 05/21/33 | (14 | ) | ||||||||||||
USD Put | (2,800,000 | ) | (5,810 | ) | 2.08 | 07/22/23 | (16 | ) | ||||||||||||
$ | (195,673 | ) | (268 | ) | ||||||||||||||||
332
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||
WRITTEN OPTIONS (continued) | ||||||||||||||||||||
Call Options | ||||||||||||||||||||
December 2022, IMM Eurodollar Future Option | (59 | ) | $ | (14,234 | ) | $ | 96.50 | 12/17/22 | $ | (4 | ) | |||||||||
S&P 500 IndexS&P 500 E-mini Option | (94 | ) | (37,224 | ) | 3,960.00 | 10/22/22 | (37 | ) | ||||||||||||
S&P 500 IndexS&P 500 E-mini Option | (98 | ) | (36,358 | ) | 3,710.00 | 10/22/22 | (468 | ) | ||||||||||||
USD Call | (2,820,000 | ) | (10,857 | ) | 3.85 | 09/16/23 | (74 | ) | ||||||||||||
USD Call | (2,820,000 | ) | (10,321 | ) | 3.66 | 08/19/23 | (90 | ) | ||||||||||||
USD Call | (2,820,000 | ) | (9,602 | ) | 3.41 | 09/16/23 | (114 | ) | ||||||||||||
USD Call | (2,820,000 | ) | (9,108 | ) | 3.23 | 08/19/23 | (136 | ) | ||||||||||||
USD Call | (6,200,000 | ) | (7,130 | ) | 1.15 | 10/22/22 | (191 | ) | ||||||||||||
USD Put | (2,600,000 | ) | (10,117 | ) | 3.89 | 05/20/23 | (53 | ) | ||||||||||||
USD Put | (2,600,000 | ) | (8,958 | ) | 3.45 | 05/20/23 | (91 | ) | ||||||||||||
(153,909 | ) | (1,258 | ) | |||||||||||||||||
Total Written Options | $ | (349,582 | ) | $ | (1,526 | ) | ||||||||||||||
A list of the open futures contracts held by the Fund at September 30, 2022 is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
90-Day Euro$ | 153 | Dec-2022 | $ | 37,442 | $ | 36,456 | $ | (986 | ) | |||||||||||
90-Day Euro$ | 411 | Dec-2023 | 99,969 | 98,137 | (1,832 | ) | ||||||||||||||
Australian 10-Year Bond | 24 | Dec-2022 | 1,976 | 1,807 | (52 | ) | ||||||||||||||
Euro-Bobl | 5 | Dec-2022 | 609 | 587 | (14 | ) | ||||||||||||||
Long Gilt 10-Year Bond | 40 | Dec-2022 | 5,201 | 4,304 | (619 | ) | ||||||||||||||
S&P 500 Index E-MINI | 147 | Dec-2022 | 30,094 | 26,471 | (3,623 | ) | ||||||||||||||
3-Month SOFR | 4 | Jun-2023 | 965 | 956 | (9 | ) | ||||||||||||||
U.S. 2-Year Treasury Note | 536 | Dec-2022 | 111,811 | 110,089 | (1,722 | ) | ||||||||||||||
U.S. 5-Year Treasury Note | 101 | Dec-2022 | 10,857 | 10,858 | 1 | |||||||||||||||
U.S. 10-Year Treasury Note | 25 | Dec-2022 | 2,822 | 2,802 | (20 | ) | ||||||||||||||
U.S. Long Treasury Bond | 99 | Dec-2022 | 13,414 | 12,514 | (900 | ) | ||||||||||||||
U.S. Ultra Long Treasury Bond | 296 | Dec-2022 | 43,726 | 40,552 | (3,174 | ) | ||||||||||||||
Ultra 10-Year U.S. Treasury Note | 110 | Dec-2022 | 13,765 | 13,033 | (732 | ) | ||||||||||||||
372,651 | 358,566 | (13,682 | ) | |||||||||||||||||
Short Contracts | ||||||||||||||||||||
U.S. 5-Year Treasury Note | (166 | ) | Dec-2022 | $ | (18,411 | ) | $ | (17,846 | ) | $ | 565 | |||||||||
$ | 354,240 | $ | 340,720 | $ | (13,117 | ) |
A list of the open forward foreign currency contracts held by the Fund at September 30, 2022 is as follows:
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
BNP Paribas | 10/18/22 | USD | 4,864 | JPY | 658,011 | $ | (310 | ) | ||||||||||||||||
BNP Paribas | 10/18/22 | EUR | 6,301 | USD | 6,389 | 209 | ||||||||||||||||||
BNP Paribas | 10/18/22 | NOK | 11,587 | USD | 1,164 | 100 | ||||||||||||||||||
BNP Paribas | 10/18/22 | JPY | 60,180 | USD | 462 | 45 | ||||||||||||||||||
Citigroup | 10/11/22 - 10/18/22 | EUR | 18,940 | USD | 19,301 | 733 | ||||||||||||||||||
Citigroup | 10/12/22 | CAD | 918 | USD | 719 | 51 | ||||||||||||||||||
Citigroup | 10/17/22 | MXN | 22,487 | USD | 1,066 | (49 | ) | |||||||||||||||||
Citigroup | 10/18/22 | USD | 10 | NZD | 16 | (1 | ) | |||||||||||||||||
Citigroup | 10/18/22 | USD | 628 | EUR | 630 | (10 | ) | |||||||||||||||||
Citigroup | 10/18/22 | USD | 841 | IDR | 12,599,650 | (16 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
333
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Income Fund (Continued)
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | |||||
Citigroup | 10/18/22 | AUD | 1,701 | USD | 1,174 | $ | 80 | ||
Citigroup | 10/18/22 | CNY | 2,870 | USD | 428 | 23 | |||
Citigroup | 10/18/22 | USD | 3,958 | AUD | 5,777 | (243 | ) | ||
Citigroup | 10/18/22 | USD | 5,342 | CAD | 6,926 | (302 | ) | ||
Citigroup | 10/18/22 | CNH | 9,900 | USD | 1,461 | 72 | |||
Citigroup | 10/18/22 | IDR | 106,237,610 | USD | 7,039 | 77 | |||
Citigroup | 12/15/22 | GBP | 1,339 | USD | 1,534 | 39 | |||
Goldman Sachs | 10/17/22 | CAD | 564 | USD | 440 | 30 | |||
Goldman Sachs | 10/18/22 | USD | 770 | EUR | 770 | (15 | ) | ||
Goldman Sachs | 10/18/22 | BRL | 937 | USD | 167 | (5 | ) | ||
Goldman Sachs | 10/18/22 | USD | 1,299 | JPY | 181,260 | (44 | ) | ||
Goldman Sachs | 10/18/22 | USD | 2,147 | GBP | 1,820 | (115 | ) | ||
Goldman Sachs | 10/18/22 | USD | 2,632 | MXN | 55,780 | 133 | |||
Goldman Sachs | 10/18/22 | GBP | 5,982 | USD | 7,182 | 503 | |||
Goldman Sachs | 10/18/22 | GBP | 1,487 | USD | 1,649 | (11 | ) | ||
Goldman Sachs | 10/18/22 | JPY | 28,214 | USD | 196 | 1 | |||
JPMorgan Chase Bank | 10/11/22 | USD | 295 | EUR | 288 | (13 | ) | ||
JPMorgan Chase Bank | 10/18/22 | AUD | 15 | USD | 10 | — | |||
JPMorgan Chase Bank | 10/18/22 | USD | 61 | CNY | 430 | — | |||
JPMorgan Chase Bank | 10/18/22 | USD | 312 | CNY | 2,200 | (2 | ) | ||
JPMorgan Chase Bank | 10/18/22 | USD | 761 | CNH | 5,270 | (22 | ) | ||
JPMorgan Chase Bank | 10/18/22 | USD | 3,876 | IDR | 58,796,790 | (23 | ) | ||
JPMorgan Chase Bank | 01/18/23 | CNY | 2,200 | USD | 311 | 1 | |||
JPMorgan Chase Bank | 01/18/23 | CNY | 430 | USD | 60 | — | |||
JPMorgan Chase Bank | 01/18/23 | IDR | 58,796,790 | USD | 3,854 | 22 | |||
Merrill Lynch | 10/11/22 | USD | 253 | EUR | 249 | (9 | ) | ||
Morgan Stanley | 10/11/22 | CAD | 380 | USD | 298 | 21 | |||
Morgan Stanley | 10/11/22 - 10/18/22 | USD | 2,582 | EUR | 2,561 | (70 | ) | ||
Morgan Stanley | 10/18/22 | GBP | 450 | USD | 528 | 25 | |||
Morgan Stanley | 10/18/22 | USD | 670 | CNH | 4,630 | (20 | ) | ||
Morgan Stanley | 10/18/22 | USD | 1,430 | GBP | 1,220 | (67 | ) | ||
Morgan Stanley | 10/18/22 | USD | 1,827 | MXN | 38,250 | 69 | |||
Morgan Stanley | 12/14/22 | USD | 403 | MXN | 8,185 | (2 | ) | ||
Morgan Stanley | 10/18/22 | USD | 5,440 | NOK | 54,853 | (405 | ) | ||
Morgan Stanley | 10/18/22 | MXN | 8,640 | USD | 429 | 1 | |||
Morgan Stanley | 10/18/22 | MXN | 114,380 | USD | 5,517 | (153 | ) | ||
Morgan Stanley | 10/18/22 | JPY | 153,490 | USD | 1,088 | 25 | |||
$ | 353 |
334
SEI Institutional Managed Trust / Annual Report / September 30, 2022
A list of the open centrally cleared swap agreements held by the Fund at September 30, 2022 is as follows:
Interest Rate Swaps | ||||||||||||||||||||||||||||
Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | ||||||||||||||||||||
BZDIOVRA | 10.565% | Monthly | 01/02/2023 | BRL | 4,810 | $ | (7 | ) | $ | – | $ | (7 | ) | |||||||||||||||
BZDIOVRA | 12.40% | Monthly | 01/02/2023 | BRL | 4,280 | (3 | ) | – | (3 | ) | ||||||||||||||||||
5.80% | BZDIOVRA | Monthly | 01/02/2023 | BRL | 11,150 | 39 | 1 | 38 | ||||||||||||||||||||
BZDIOVRA | 12.30% | Monthly | 01/02/2024 | BRL | 1,690 | (2 | ) | 1 | (3 | ) | ||||||||||||||||||
12.795% | BZDIOVRA | Monthly | 01/02/2024 | BRL | 7,200 | – | – | – | ||||||||||||||||||||
11.814% | BZDIOVRA | Monthly | 01/02/2024 | BRL | 12,765 | (25 | ) | 7 | (32 | ) | ||||||||||||||||||
10.95% | BZDIOVRA | Monthly | 01/02/2025 | BRL | 4,140 | 10 | (1 | ) | 11 | |||||||||||||||||||
9.20% | MXIBTIIE | Monthly | 12/18/2024 | MXN | 43,850 | 33 | – | 33 | ||||||||||||||||||||
MXIBTIIE | 8.60% | Monthly | 12/08/2032 | MXN | 6,120 | (12 | ) | – | (12 | ) | ||||||||||||||||||
28-DAY MXN - TIIE | 7.2% | Monthly | 07/17/2024 | MXN | 365,383 | (916 | ) | – | (916 | ) | ||||||||||||||||||
1.52% | USD-SOFR-OIS | Annually | 11/20/2026 | USD | 4,830 | 287 | (7 | ) | 294 | |||||||||||||||||||
2.65% | USD-SOFR-OIS | Annually | 08/15/2047 | USD | 3,625 | 342 | 41 | 301 | ||||||||||||||||||||
2.62% | USD-SOFR-OIS | Annually | 02/15/2048 | USD | 1,335 | 131 | – | 131 | ||||||||||||||||||||
2.51% FIXED | SD-SOFR-OIS COMPOUND | Annually | 02/15/2048 | USD | 1,456 | 169 | 26 | 143 | ||||||||||||||||||||
3.05% | SD-SOFR-OIS | Annually | 02/15/2048 | USD | 1,668 | 39 | 51 | (12 | ) | |||||||||||||||||||
2.00% | EUR006M | Annually | 12/21/2042 | EUR | 380 | 48 | 24 | 24 | ||||||||||||||||||||
CNRR007 | 2.50% | Quarterly | 12/21/2024 | CNY | 21,180 | 18 | 23 | (5 | ) | |||||||||||||||||||
CNRR007 | 2.50% | Quarterly | 12/21/2027 | CNY | 9,810 | (3 | ) | 6 | (9 | ) | ||||||||||||||||||
1.50% | EUR006M | Annually | 12/21/2025 | EUR | 3,530 | 146 | 114 | 32 | ||||||||||||||||||||
1.50% | EUR006M | Annually | 12/21/2027 | EUR | 1,380 | 95 | 69 | 26 | ||||||||||||||||||||
1.75% | EUR006M | Annually | 12/21/2029 | EUR | 3,660 | 293 | 186 | 107 | ||||||||||||||||||||
2.00% | EUR006M | Annually | 12/21/2032 | EUR | 3,430 | 320 | 182 | 138 | ||||||||||||||||||||
1.75% | EUR006M | Annually | 12/21/2052 | EUR | 290 | 38 | 20 | 18 | ||||||||||||||||||||
2.25% | SONIO | Annually | 12/21/2032 | GBP | 490 | 93 | 48 | 45 | ||||||||||||||||||||
3.75% | HIHD03M | Quarterly | 12/21/2024 | HKD | 30,970 | 51 | 27 | 24 | ||||||||||||||||||||
3.00% | KWCDC | Quarterly | 06/15/2024 | KRW | 2,602,850 | 35 | 2 | 33 | ||||||||||||||||||||
3.75% | KWCDC | Quarterly | 12/21/2032 | KRW | 823,780 | 4 | (17 | ) | 21 | |||||||||||||||||||
7.5% | WIBR6M | Annually | 12/21/2024 | PLN | 1,500 | 1 | (3 | ) | 4 | |||||||||||||||||||
WIBR6M | 6.50% | Semi-Annually | 12/21/2027 | PLN | 950 | (4 | ) | 3 | (7 | ) | ||||||||||||||||||
PLN @ 6.75% | WIBR6M | Annually | 12/21/2027 | PLN | 950 | 2 | 1 | 1 | ||||||||||||||||||||
WIBR6M | 6.25% | Semi-Annually | 12/21/2032 | PLN | 2,625 | (22 | ) | 9 | (31 | ) | ||||||||||||||||||
SOFRRATE | 3.60% | Annually | 12/21/2024 | USD | 3,810 | (44 | ) | (21 | ) | (23 | ) | |||||||||||||||||
2.50% | SOFRRATE | Annually | 12/21/2032 | USD | 2,090 | 182 | 175 | 7 | ||||||||||||||||||||
8.75% | JIBA3M | Quarterly | 12/21/2024 | ZAR | 50,675 | (16 | ) | (43 | ) | 27 | ||||||||||||||||||
9.50% | JIBA3M | Quarterly | 12/21/2032 | ZAR | 7,750 | (7 | ) | 9 | (16 | ) | ||||||||||||||||||
USA-CPI-U | 3.37% | Annually | 11/18/2026 | USD | 4,250 | (175 | ) | 38 | (213 | ) | ||||||||||||||||||
3.97% | USA-CPI-U | Annually | 11/18/2023 | USD | 4,250 | 264 | (9 | ) | 273 | |||||||||||||||||||
$ | 1,404 | $ | 962 | $ | 442 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
335
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Income Fund (Concluded)
Credit Default Swaps - Buy Protection | ||||||||||||||||||||||||||||
Reference Entity/ Obligation | Pay Rate | Payment Frequency | Termination Date | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | |||||||||||||||||||||
CDS-CDX.NA.IG.3912/27@500 | 5.00% | Quarterly | 12/20/2027 | $ | 3,753 | $ | 154 | $ | 153 | $ | 1 | |||||||||||||||||
CDS-DAIGR@100BP5.1Y | 1.00% | Quarterly | 12/20/2024 | 1,290 | (3 | ) | (12 | ) | 9 | |||||||||||||||||||
CDS-DIS@100BP5.2Y | 1.00% | Quarterly | 06/20/2026 | 660 | (10 | ) | (15 | ) | 5 | |||||||||||||||||||
CDS-GM@500BP4.9Y | 5.00% | Quarterly | 06/20/2026 | 1,450 | (134 | ) | (211 | ) | 77 | |||||||||||||||||||
CDS-VIAC@100BP5.2Y | 1.00% | Quarterly | 06/20/2026 | 660 | 11 | (7 | ) | 18 | ||||||||||||||||||||
ICE CD RIG 1.00 20DEC22 P | 1.00% | Quarterly | 12/20/2022 | 235 | 2 | 4 | (2 | ) | ||||||||||||||||||||
$ | 20 | $ | (88 | ) | $ | 108 |
Credit Default Swaps - Sell Protection | ||||||||||||||||||||||||||||
Reference Entity/ Obligation | Receive Rate | Payment Frequency | Termination Date | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | |||||||||||||||||||||
CDS-F@500BPS 4.9Y | 5.00% | Quarterly | 06/20/2026 | $ | 1,450 | $ | 47 | $ | 157 | $ | (110 | ) | ||||||||||||||||
CDS-VW@100BP5.1Y | 1.00% | Quarterly | 12/20/2024 | 1,290 | (10 | ) | 7 | (17 | ) | |||||||||||||||||||
ICE CD BA 1.00 20JUN24 P | 1.00% | Quarterly | 06/20/2024 | 525 | (4 | ) | 4 | (8 | ) | |||||||||||||||||||
ICE CD CDXIG533 1.00 20DE | 1.00% | Quarterly | 12/20/2024 | 2,375 | 6 | 28 | (22 | ) | ||||||||||||||||||||
ICE CD CDXIG534 1.00 20JU | 1.00% | Quarterly | 06/20/2025 | 26,200 | 23 | 215 | (192 | ) | ||||||||||||||||||||
ICE CD CHILE 1.00 20DEC27 | 1.00% | Quarterly | 12/20/2027 | 210 | (5 | ) | (4 | ) | (1 | ) | ||||||||||||||||||
ICE CD CXPHY530 5.00 20JU | 5.00% | Quarterly | 06/20/2023 | 15,916 | 202 | 175 | 27 | |||||||||||||||||||||
ICE CD CXPHY534 5.00 20JU | 5.00% | Quarterly | 06/25/2025 | 6,092 | 16 | (128 | ) | 144 | ||||||||||||||||||||
ICE CD GE 1.00 20JUN26 P | 1.00% | Quarterly | 06/20/2026 | 1,175 | (11 | ) | 14 | (25 | ) | |||||||||||||||||||
ICE CD KSA 1.00 20DEC26 P | 1.00% | Quarterly | 12/20/2026 | 2,180 | 40 | 45 | (5 | ) | ||||||||||||||||||||
ICE CD PERU 1.00 20JUN27 | 1.00% | Quarterly | 06/20/2027 | 980 | (23 | ) | 11 | (34 | ) | |||||||||||||||||||
ICE CD PHILIP 1.00 20DEC2 | 1.00% | Quarterly | 12/20/2027 | 390 | (8 | ) | (5 | ) | (3 | ) | ||||||||||||||||||
ICE CD US91087BAC46 1.00 | 1.00% | Quarterly | 12/20/2027 | 1,160 | (40 | ) | (32 | ) | (8 | ) | ||||||||||||||||||
$ | 233 | $ | 487 | $ | (254 | ) |
A list of open OTC swap agreements held by the Fund at September 30, 2022 is as follows:
Credit Default Swaps | ||||||||||||||||||||||||||||||||||||
Counterparty | Reference Entity/ Obligation | Buy/Sell Protection | (Pays)/Receives Rate | Payment Frequency | Termination Date | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | |||||||||||||||||||||||||||
Morgan Stanley | CDS-NFLX@500BP5.2Y | Sell | 5.00% | Quarterly | 06/20/2026 | $ | 440 | $ | 50 | $ | 70 | $ | (20 | ) | ||||||||||||||||||||||
Morgan Stanley | CDS-NFLX@500BP5.2Y | Sell | 5.00% | Quarterly | 06/20/2026 | 880 | 98 | 140 | (42 | ) | ||||||||||||||||||||||||||
148 | $ | 210 | (62 | ) |
Percentages are based on Net Assets of $706,164 ($ Thousands).
* | Non-income producing security. |
‡ | Real Estate Investment Trust. |
‡‡ | Expiration date not available. |
(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, 2022, the value of these securities amounted to $303,197 ($ Thousands), representing 42.9% of the Net Assets of the Fund. |
(B) | Level 3 security in accordance with fair value hierarchy. |
(C) | No interest rate available. |
(D) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(E) | Perpetual security with no stated maturity date. |
(F) | Security is in default on interest payment. |
(G) | Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
(H) | Unsettled bank loan. Interest rate may not be available. |
(I) | Zero coupon security. |
336
SEI Institutional Managed Trust / Annual Report / September 30, 2022
The following is a summary of the level of inputs used as of September 30, 2022, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): | ||||||||||||||||
Investments in Securities | Level 1 ($) | Level 2 ($) | Level 3 | Total ($) | ||||||||||||
Corporate Obligations | – | 349,258 | – | 349,258 | ||||||||||||
Loan Participations | – | 90,678 | 4,989 | 95,667 | ||||||||||||
Sovereign Debt | – | 62,814 | – | 62,814 | ||||||||||||
Mortgage-Backed Securities | – | 54,478 | – | 54,478 | ||||||||||||
Common Stock | 44,180 | – | 687 | 44,867 | ||||||||||||
Asset-Backed Securities | – | 30,395 | – | 30,395 | ||||||||||||
Preferred Stock | – | 356 | 2,556 | 2,912 | ||||||||||||
Convertible Bonds | – | 2,048 | – | 2,048 | ||||||||||||
Municipal Bond | – | 222 | – | 222 | ||||||||||||
Warrants | – | 70 | – | 70 | ||||||||||||
Rights | – | – | – | – | ||||||||||||
Purchased Options | 2,012 | – | – | 2,012 | ||||||||||||
Total Investments in Securities | 46,192 | 590,319 | 8,232 | 644,743 |
Other Financial Instruments | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Written Options | (1,526 | ) | – | – | (1,526 | ) | ||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 566 | – | – | 566 | ||||||||||||
Unrealized Depreciation | (13,683 | ) | – | – | (13,683 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | – | 2,260 | – | 2,260 | ||||||||||||
Unrealized Depreciation | – | (1,907 | ) | – | (1,907 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Depreciation | – | (62 | ) | – | (62 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 281 | – | 281 | ||||||||||||
Unrealized Depreciation | – | (427 | ) | – | (427 | ) | ||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 1,731 | – | 1,731 | ||||||||||||
Unrealized Depreciation | – | (1,289 | ) | – | (1,289 | ) | ||||||||||
Total Other Financial Instruments | (14,643 | ) | 587 | – | (14,056 | ) |
* | Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
Investments in Corporate Obligation | Investments in Loan Participation | Investments in Common Stock | Investments in Preferred Stock | |||||||||||||
Balance as of October 1, 2021 | $ | 522 | $ | 760 | $ | 57 | $ | 2,332 | ||||||||
Accrued discounts/premiums | – | – | – | – | ||||||||||||
Realized gain/(loss) | (1 | ) | 254 | (408 | ) | – | ||||||||||
Change in unrealized appreciation/(depreciation) | – | 98 | 408 | 224 | ||||||||||||
Purchases | – | – | – | – | ||||||||||||
Sales | (521 | ) | – | – | – | |||||||||||
Net transfer into Level 3 | – | 3,877 | 630 | – | ||||||||||||
Net transfer out of Level 3 | – | – | – | – | ||||||||||||
Ending Balance as of September 30, 2022 | $ | (– | ) | $ | 4,989 | $ | 687 | $ | 2,556 | |||||||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | (– | ) | $ | (161 | ) | $ | (135 | ) | $ | 83 |
(1) | Of the $8,232 ($ Thousands) in Level 3 securities as of September 30, 2022, $1,822 ($ Thousands) or 0.3% of the Net Assets of the Fund 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, 2022, transfers in or out of Level 3 were due to the availability or lack of 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 either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
337
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Inflation Managed Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Face Amount | Market Value | ||||||
U.S. TREASURY OBLIGATIONS — 59.7% | ||||||||
U.S. Treasury Bills ^ | ||||||||
3.299%, 08/10/2023 (A) | $ | 400 | $ | 387 | ||||
3.121%, 06/15/2023 (A) | 500 | 487 | ||||||
2.918%, 12/08/2022 (A) | 6,000 | 5,968 | ||||||
2.742%, 11/25/2022 (A) | 10,000 | 9,958 | ||||||
2.535%, 11/03/2022 (A) | 12,000 | 11,972 | ||||||
2.333%, 10/20/2022 (A) | 12,000 | 11,986 | ||||||
2.300%, 10/13/2022 (A) | 11,000 | 10,992 | ||||||
2.282%, 10/06/2022 (A) | 6,000 | 5,999 | ||||||
U.S. Treasury Inflation Protected Securities | ||||||||
2.375%, 01/15/2027 | 37,432 | 37,997 | ||||||
0.625%, 01/15/2026 | 11,812 | 11,275 | ||||||
0.375%, 07/15/2025 (H) | 56,640 | 54,126 | ||||||
0.375%, 01/15/2027 (H) | 59,417 | 55,501 | ||||||
0.375%, 07/15/2027 | 18,873 | 17,608 | ||||||
0.250%, 01/15/2025 (H) | 70,051 | 67,034 | ||||||
0.125%, 07/15/2024 | 15,406 | 14,879 | ||||||
0.125%, 10/15/2024 (J) | 53,698 | 51,637 | ||||||
0.125%, 10/15/2025 | 34,158 | 32,268 | ||||||
0.125%, 07/15/2026 (H) | 42,540 | 39,769 | ||||||
U.S. Treasury Note ^ | ||||||||
3.405%, US Treasury 3 Month Bill Money Market Yield + 0.037%, 07/31/2024 (B) | 800 | 799 | ||||||
3.250%, 08/31/2024 | 400 | 393 | ||||||
U.S. Treasury Notes ^ | ||||||||
3.403%, US Treasury 3 Month Bill Money Market Yield + 0.035%, 10/31/2023 (B) | 6,000 | 6,006 | ||||||
3.402%, US Treasury 3 Month Bill Money Market Yield + 0.034%, 04/30/2023 (B) | 5,700 | 5,707 |
Description | Face Amount | Market Value | ||||||
U.S. TREASURY OBLIGATIONS (continued) | ||||||||
3.397%, US Treasury 3 Month Bill Money Market Yield + 0.029%, 07/31/2023 (B)(I) | $ | 19,400 | $ | 19,422 | ||||
3.353%, US Treasury 3 Month Bill Money Market Yield + -0.015%, 01/31/2024 (B) | 10,600 | 10,599 | ||||||
3.293%, US Treasury 3 Month Bill Money Market Yield + -0.075%, 04/30/2024 (B) | 5,000 | 4,993 | ||||||
0.125%, 04/30/2023 | 400 | 391 | ||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $522,388) ($ Thousands) | 488,153 | |||||||
| ||||||||
COMMON STOCK — 29.5% | ||||||||
Communication Services — 2.3% | ||||||||
Activision Blizzard Inc | 7,983 | 593 | ||||||
Alphabet Inc, Cl A * | 28,604 | 2,736 | ||||||
Alphabet Inc, Cl C * | 26,116 | 2,511 | ||||||
AMC Entertainment Holdings Inc, Cl A | 4,023 | 28 | ||||||
Anterix Inc * | 580 | 21 | ||||||
AT&T Inc (G) | 133,073 | 2,041 | ||||||
Cogent Communications Holdings Inc | 792 | 41 | ||||||
EchoStar Corp, Cl A * | 960 | 16 | ||||||
Electronic Arts Inc | 2,816 | 326 | ||||||
Frontier Communications Parent Inc * | 4,634 | 109 | ||||||
IAC Inc * | 300 | 17 | ||||||
Iridium Communications Inc * | 2,474 | 110 | ||||||
Liberty Media Corp-Liberty Formula One, Cl C * | 1,556 | 91 | ||||||
Live Nation Entertainment Inc * | 1,373 | 104 | ||||||
Lumen Technologies Inc | 21,640 | 158 | ||||||
Match Group Inc * | 1,028 | 49 | ||||||
Meta Platforms Inc, Cl A * | 10,234 | 1,389 | ||||||
Netflix Inc * | 4,402 | 1,036 | ||||||
Pinterest Inc, Cl A * | 1,821 | 42 | ||||||
Radius Global Infrastructure, Cl A * | 4,800 | 45 | ||||||
ROBLOX Corp, Cl A * | 4,204 | 151 | ||||||
Roku Inc, Cl A * | 1,123 | 63 | ||||||
Spotify Technology SA * | 1,484 | 128 | ||||||
Take-Two Interactive Software Inc, Cl A * | 1,757 | 191 | ||||||
Telephone and Data Systems Inc | 400 | 6 | ||||||
T-Mobile US Inc * | 11,637 | 1,561 | ||||||
Trade Desk Inc/The, Cl A * | 1,371 | 82 | ||||||
Twitter Inc * | 3,033 | 133 | ||||||
Verizon Communications Inc | 79,423 | 3,016 | ||||||
Walt Disney Co/The * | 18,200 | 1,717 | ||||||
Warner Bros Discovery Inc (G)* | 23,733 | 273 | ||||||
ZoomInfo Technologies Inc, Cl A * | 1,100 | 46 | ||||||
18,830 |
338
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Consumer Staples — 7.4% | ||||||||
Albertsons Cos Inc, Cl A | 4,316 | $ | 107 | |||||
Altria Group Inc (G) | 48,766 | 1,969 | ||||||
Andersons Inc/The | 300 | 9 | ||||||
Archer-Daniels-Midland Co | 15,607 | 1,256 | ||||||
Beauty Health Co/The * | 2,868 | 34 | ||||||
BellRing Brands Inc * | 4,796 | 99 | ||||||
Beyond Meat Inc * | 1,385 | 20 | ||||||
BJ's Wholesale Club Holdings Inc * | 3,322 | 242 | ||||||
Boston Beer Co Inc/The, Cl A * | 245 | 79 | ||||||
Brown-Forman Corp, Cl A | 1,107 | 75 | ||||||
Brown-Forman Corp, Cl B | 4,725 | 315 | ||||||
Bunge Ltd | 3,958 | 327 | ||||||
Cal-Maine Foods Inc | 1,129 | 63 | ||||||
Campbell Soup Co | 5,885 | 277 | ||||||
Casey's General Stores Inc | 978 | 198 | ||||||
Celsius Holdings Inc * | 1,373 | 124 | ||||||
Chefs' Warehouse Inc/The * | 1,682 | 49 | ||||||
Church & Dwight Co Inc | 6,649 | 475 | ||||||
Clorox Co/The | 3,447 | 443 | ||||||
Coca-Cola Co/The (G) | 108,939 | 6,103 | ||||||
Coca-Cola Consolidated Inc | 157 | 65 | ||||||
Colgate-Palmolive Co | 22,583 | 1,586 | ||||||
Conagra Brands Inc | 12,426 | 405 | ||||||
Constellation Brands Inc, Cl A | 4,238 | 973 | ||||||
Costco Wholesale Corp (G) | 12,202 | 5,763 | ||||||
Coty Inc, Cl A * | 10,268 | 65 | ||||||
Darling Ingredients Inc * | 4,048 | 268 | ||||||
Edgewell Personal Care Co | 402 | 15 | ||||||
elf Beauty Inc * | 1,587 | 60 | ||||||
Energizer Holdings Inc | 779 | 20 | ||||||
Estee Lauder Cos Inc/The, Cl A | 6,383 | 1,378 | ||||||
Flowers Foods Inc | 4,913 | 121 | ||||||
Freshpet Inc * | 1,177 | 59 | ||||||
General Mills Inc | 16,579 | 1,270 | ||||||
Grocery Outlet Holding Corp * | 1,963 | 65 | ||||||
Hain Celestial Group Inc/The * | 2,012 | 34 | ||||||
Herbalife Nutrition Ltd * | 2,363 | 47 | ||||||
Hershey Co/The | 4,118 | 908 | ||||||
Hormel Foods Corp | 8,491 | 386 | ||||||
Hostess Brands Inc, Cl A * | 3,699 | 86 | ||||||
Ingredion Inc | 1,247 | 100 | ||||||
Inter Parfums Inc | 400 | 30 | ||||||
J & J Snack Foods Corp | 319 | 41 | ||||||
J M Smucker Co/The | 2,159 | 297 | ||||||
Kellogg Co | 7,076 | 493 | ||||||
Keurig Dr Pepper Inc | 24,989 | 895 | ||||||
Kimberly-Clark Corp | 8,476 | 954 | ||||||
Kraft Heinz Co/The | 19,051 | 635 | ||||||
Kroger Co/The | 17,482 | 765 | ||||||
Lamb Weston Holdings Inc | 4,026 | 311 | ||||||
Lancaster Colony Corp | 540 | 81 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
McCormick & Co Inc/MD | 6,813 | $ | 486 | |||||
Medifast Inc | 350 | 38 | ||||||
MGP Ingredients Inc | 300 | 32 | ||||||
Molson Coors Beverage Co, Cl B | 4,370 | 210 | ||||||
Mondelez International Inc, Cl A | 38,380 | 2,104 | ||||||
Monster Beverage Corp * | 9,928 | 863 | ||||||
National Beverage Corp, Cl A | 1,276 | 49 | ||||||
Nu Skin Enterprises Inc, Cl A | 1,131 | 38 | ||||||
Olaplex Holdings Inc * | 3,561 | 34 | ||||||
PepsiCo Inc (G) | 38,172 | 6,232 | ||||||
Performance Food Group Co * | 4,213 | 181 | ||||||
Philip Morris International Inc (G) | 42,158 | 3,499 | ||||||
Pilgrim's Pride Corp * | 1,264 | 29 | ||||||
Post Holdings Inc * | 1,139 | 93 | ||||||
Primo Water Corp | 4,080 | 51 | ||||||
Procter & Gamble Co/The (G) | 66,341 | 8,376 | ||||||
Simply Good Foods Co/The * | 1,865 | 60 | ||||||
SpartanNash Co | 1,682 | 49 | ||||||
Spectrum Brands Holdings Inc | 146 | 6 | ||||||
Sprouts Farmers Market Inc * | 2,971 | 82 | ||||||
Sysco Corp, Cl A | 14,253 | 1,008 | ||||||
TreeHouse Foods Inc * | 1,208 | 51 | ||||||
Tyson Foods Inc, Cl A (G) | 7,709 | 508 | ||||||
United Natural Foods Inc * | 1,570 | 54 | ||||||
US Foods Holding Corp * | 5,845 | 155 | ||||||
Vector Group Ltd | 1,399 | 12 | ||||||
Veru Inc * | 3,462 | 40 | ||||||
Walgreens Boots Alliance Inc | 17,532 | 550 | ||||||
Walmart Inc (G) | 38,889 | 5,044 | ||||||
WD-40 Co | 354 | 62 | ||||||
Weis Markets Inc | 585 | 42 | ||||||
60,478 | ||||||||
Energy — 7.4% | ||||||||
Antero Midstream Corp | 15,308 | 140 | ||||||
Antero Resources Corp * | 9,811 | 300 | ||||||
APA Corp | 11,997 | 410 | ||||||
Arch Resources Inc | 187 | 22 | ||||||
Archrock Inc | 14,600 | 94 | ||||||
Baker Hughes Co, Cl A | 32,022 | 671 | ||||||
Brigham Minerals Inc, Cl A | 1,642 | 40 | ||||||
Bristow Group Inc * | 1,582 | 37 | ||||||
Cactus Inc, Cl A | 2,356 | 90 | ||||||
California Resources Corp | 1,338 | 51 | ||||||
Callon Petroleum * | 1,766 | 62 | ||||||
ChampionX Corp | 6,975 | 136 | ||||||
Cheniere Energy Inc | 9,345 | 1,550 | ||||||
Chesapeake Energy Corp | 4,002 | 377 | ||||||
Chevron Corp (G) | 71,387 | 10,256 | ||||||
Chord Energy | 1,489 | 204 | ||||||
Civitas Resources Inc | 2,559 | 147 | ||||||
Clean Energy Fuels Corp * | 7,123 | 38 | ||||||
CNX Resources Corp * | 7,418 | 115 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
339
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Inflation Managed Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Comstock Resources Inc * | 3,165 | $ | 55 | |||||
ConocoPhillips (G) | 46,752 | 4,785 | ||||||
CONSOL Energy Inc | 981 | 63 | ||||||
Continental Resources Inc/OK, Cl A | 1,161 | 78 | ||||||
Coterra Energy Inc | 27,864 | 728 | ||||||
Crescent Energy, Cl A | 4,000 | 54 | ||||||
CVR Energy Inc | 1,766 | 51 | ||||||
Delek US Holdings Inc | 1,466 | 40 | ||||||
Denbury * | 2,061 | 178 | ||||||
Devon Energy Corp | 23,471 | 1,411 | ||||||
Diamondback Energy Inc, Cl A | 6,448 | 777 | ||||||
Dril-Quip Inc * | 2,441 | 48 | ||||||
DT Midstream Inc | 2,637 | 137 | ||||||
Energy Fuels Inc/Canada * | 7,420 | 45 | ||||||
Enviva Inc | 576 | 35 | ||||||
EOG Resources Inc | 21,363 | 2,387 | ||||||
EQT Corp | 13,204 | 538 | ||||||
Equitrans Midstream Corp | 13,188 | 99 | ||||||
Expro Group Holdings NV * | 2,200 | 28 | ||||||
Exxon Mobil Corp (G) | 151,853 | 13,258 | ||||||
Green Plains Inc * | 1,865 | 54 | ||||||
Gulfport Energy * | 687 | 61 | ||||||
Halliburton Co | 33,108 | 815 | ||||||
Helix Energy Solutions Group Inc * | 20,400 | 79 | ||||||
Helmerich & Payne Inc | 3,055 | 113 | ||||||
Hess Corp | 10,014 | 1,092 | ||||||
HF Sinclair Corp | 5,512 | 297 | ||||||
International Seaways Inc | 48 | 2 | ||||||
Kinder Morgan Inc | 67,068 | 1,116 | ||||||
Laredo Petroleum * | 594 | 37 | ||||||
Liberty Energy Inc, Cl A * | 4,779 | 61 | ||||||
Magnolia Oil & Gas Corp, Cl A | 5,477 | 108 | ||||||
Marathon Oil Corp | 25,539 | 577 | ||||||
Marathon Petroleum Corp (G) | 19,395 | 1,926 | ||||||
Matador Resources Co | 4,217 | 206 | ||||||
Murphy Oil Corp | 5,910 | 208 | ||||||
Nabors Industries Ltd * | 589 | 60 | ||||||
New Fortress Energy Inc, Cl A | 1,668 | 73 | ||||||
NexTier Oilfield Solutions Inc * | 4,550 | 34 | ||||||
Northern Oil and Gas Inc | 2,355 | 65 | ||||||
NOV Inc | 13,824 | 224 | ||||||
Occidental Petroleum Corp | 29,416 | 1,808 | ||||||
ONEOK Inc | 17,014 | 872 | ||||||
Ovintiv Inc | 9,273 | 427 | ||||||
Par Pacific Holdings Inc * | 429 | 7 | ||||||
Patterson-UTI Energy Inc | 7,319 | 85 | ||||||
PBF Energy Inc, Cl A * | 3,455 | 121 | ||||||
PDC Energy Inc, Cl A | 2,843 | 164 | ||||||
Peabody Energy Corp * | 4,121 | 102 | ||||||
Phillips 66 | 17,412 | 1,405 | ||||||
Pioneer Natural Resources Co | 8,595 | 1,861 | ||||||
ProPetro Holding Corp * | 2,694 | 22 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Range Resources Corp | 8,443 | $ | 213 | |||||
SandRidge Energy Inc * | 2,600 | 42 | ||||||
Schlumberger NV, Cl A | 51,056 | 1,833 | ||||||
SM Energy Co | 4,907 | 185 | ||||||
Southwestern Energy Co * | 40,840 | 250 | ||||||
Talos Energy Inc * | 3,925 | 65 | ||||||
Targa Resources Corp | 8,196 | 495 | ||||||
Tellurian * | 16,976 | 41 | ||||||
TETRA Technologies Inc * | 16,700 | 60 | ||||||
Texas Pacific Land Corp | 192 | 341 | ||||||
Tidewater Inc * | 2,572 | 56 | ||||||
Uranium Energy * | 15,995 | 56 | ||||||
US Silica Holdings Inc * | 4,317 | 47 | ||||||
Valaris * | 1,754 | 86 | ||||||
Valero Energy Corp (G) | 14,741 | 1,575 | ||||||
Weatherford International * | 1,925 | 62 | ||||||
Williams Cos Inc/The | 43,737 | 1,252 | ||||||
World Fuel Services Corp | 1,303 | 30 | ||||||
60,306 | ||||||||
Financials — 0.0% | ||||||||
Eversource Energy | 3,905 | 304 | ||||||
Health Care — 6.2% | ||||||||
10X Genomics Inc, Cl A * | 922 | 26 | ||||||
1Life Healthcare * | 3,200 | 55 | ||||||
Abbott Laboratories | 17,183 | 1,663 | ||||||
AbbVie Inc | 17,967 | 2,411 | ||||||
ABIOMED Inc * | 418 | 103 | ||||||
Acadia Healthcare Co Inc, Cl A * | 1,145 | 90 | ||||||
ACADIA Pharmaceuticals Inc * | 3,165 | 52 | ||||||
Agilent Technologies Inc | 3,038 | 369 | ||||||
Align Technology Inc * | 727 | 151 | ||||||
Alkermes PLC * | 2,551 | 57 | ||||||
Alnylam Pharmaceuticals Inc * | 1,147 | 230 | ||||||
AmerisourceBergen Corp, Cl A | 908 | 123 | ||||||
Amgen Inc, Cl A (G) | 5,478 | 1,235 | ||||||
Amicus Therapeutics Inc * | 6,300 | 66 | ||||||
AMN Healthcare Services Inc * | 589 | 62 | ||||||
Apellis Pharmaceuticals Inc * | 1,177 | 80 | ||||||
Arrowhead Pharmaceuticals Inc * | 916 | 30 | ||||||
Arvinas Inc * | 1,000 | 44 | ||||||
Avantor Inc * | 4,992 | 98 | ||||||
Baxter International Inc (G) | 4,863 | 262 | ||||||
Beam Therapeutics * | 500 | 24 | ||||||
Becton Dickinson and Co | 2,780 | 619 | ||||||
Biogen Inc * | 1,562 | 417 | ||||||
Biohaven Pharmaceutical Holding Co Ltd * | 491 | 74 | ||||||
BioMarin Pharmaceutical Inc * | 1,801 | 153 | ||||||
Bio-Rad Laboratories Inc, Cl A * | 189 | 79 | ||||||
Bio-Techne Corp | 322 | 91 | ||||||
Blueprint Medicines Corp * | 540 | 36 | ||||||
Boston Scientific Corp * | 15,441 | 598 |
340
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Bristol-Myers Squibb Co | 21,561 | $ | 1,533 | |||||
Bruker Corp | 1,103 | 59 | ||||||
Cardinal Health Inc | 3,133 | 209 | ||||||
Catalent Inc * | 1,602 | 116 | ||||||
Centene Corp * | 5,542 | 431 | ||||||
Change Healthcare Inc * | 1,978 | 54 | ||||||
Charles River Laboratories International Inc * | 444 | 87 | ||||||
Chemed Corp | 14 | 6 | ||||||
ChemoCentryx Inc * | 1,200 | 62 | ||||||
Cigna Corp | 3,063 | 850 | ||||||
CONMED Corp | 396 | 32 | ||||||
Cooper Cos Inc/The, Cl A | 463 | 122 | ||||||
CorVel Corp * | 297 | 41 | ||||||
Covetrus Inc * | 1,914 | 40 | ||||||
CVS Health Corp | 12,848 | 1,225 | ||||||
Cytokinetics Inc * | 1,177 | 57 | ||||||
Danaher Corp, Cl A | 6,222 | 1,607 | ||||||
DaVita Inc * | 651 | 54 | ||||||
Denali Therapeutics Inc * | 1,187 | 36 | ||||||
DENTSPLY SIRONA Inc | 1,672 | 47 | ||||||
Dexcom Inc * | 4,229 | 341 | ||||||
Doximity Inc, Cl A * | 1,668 | 50 | ||||||
Edwards Lifesciences Corp, Cl A * | 8,028 | 663 | ||||||
Elanco Animal Health Inc * | 3,925 | 49 | ||||||
Elevance Health Inc | 2,420 | 1,099 | ||||||
Eli Lilly & Co | 8,470 | 2,739 | ||||||
Enanta Pharmaceuticals Inc * | 500 | 26 | ||||||
Encompass Health Corp | 968 | 44 | ||||||
Ensign Group Inc/The | 379 | 30 | ||||||
Envista Holdings Corp * | 1,668 | 55 | ||||||
Evolent Health Inc, Cl A * | 1,800 | 65 | ||||||
Exact Sciences Corp * | 1,805 | 59 | ||||||
Exelixis Inc * | 2,279 | 36 | ||||||
Gilead Sciences Inc (G) | 12,356 | 762 | ||||||
Global Blood Therapeutics Inc * | 1,400 | 95 | ||||||
Globus Medical Inc, Cl A * | 890 | 53 | ||||||
Haemonetics Corp * | 621 | 46 | ||||||
Halozyme Therapeutics Inc * | 1,255 | 50 | ||||||
HCA Healthcare Inc | 2,419 | 445 | ||||||
HealthEquity Inc * | 600 | 40 | ||||||
Henry Schein Inc * | 1,082 | 71 | ||||||
Hologic Inc * | 2,274 | 147 | ||||||
Horizon Therapeutics Plc * | 2,480 | 153 | ||||||
Humana Inc | 1,234 | 599 | ||||||
ICU Medical Inc * | 224 | 34 | ||||||
IDEXX Laboratories Inc * | 832 | 271 | ||||||
Illumina Inc * | 1,564 | 298 | ||||||
Inari Medical * | 594 | 43 | ||||||
Incyte Corp * | 1,809 | 121 | ||||||
Insmed Inc * | 1,300 | 28 | ||||||
Inspire Medical Systems Inc * | 297 | 53 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Insulet Corp * | 696 | $ | 160 | |||||
Integer Holdings Corp * | 500 | 31 | ||||||
Integra LifeSciences Holdings Corp * | 720 | 31 | ||||||
Intellia Therapeutics * | 1,289 | 72 | ||||||
Intra-Cellular Therapies Inc, Cl A * | 1,177 | 55 | ||||||
Intuitive Surgical Inc * | 3,634 | 681 | ||||||
Ionis Pharmaceuticals Inc * | 1,350 | 60 | ||||||
IQVIA Holdings Inc * | 1,844 | 334 | ||||||
iRhythm Technologies Inc * | 400 | 50 | ||||||
Jazz Pharmaceuticals PLC * | 519 | 69 | ||||||
Johnson & Johnson (G) | 25,993 | 4,246 | ||||||
Karuna Therapeutics Inc * | 193 | 43 | ||||||
Laboratory Corp of America Holdings | 1,012 | 207 | ||||||
Lantheus Holdings Inc * | 981 | 69 | ||||||
LHC Group Inc * | 393 | 64 | ||||||
LivaNova PLC * | 557 | 28 | ||||||
Maravai LifeSciences Holdings Inc, Cl A * | 1,978 | 51 | ||||||
Masimo Corp * | 483 | 68 | ||||||
McKesson Corp | 1,212 | 412 | ||||||
Medpace Holdings Inc * | 297 | 47 | ||||||
Medtronic PLC | 13,097 | 1,058 | ||||||
Merck & Co Inc | 25,315 | 2,180 | ||||||
Merit Medical Systems Inc * | 600 | 34 | ||||||
Mettler-Toledo International Inc * | 202 | 219 | ||||||
Mirati Therapeutics Inc * | 366 | 26 | ||||||
Moderna Inc * | 3,648 | 431 | ||||||
Molina Healthcare Inc * | 526 | 174 | ||||||
Natera Inc * | 641 | 28 | ||||||
National HealthCare Corp | 792 | 50 | ||||||
Neogen Corp, Cl B * | 600 | 8 | ||||||
Neurocrine Biosciences Inc * | 911 | 97 | ||||||
Novocure Ltd * | 883 | 67 | ||||||
NuVasive Inc * | 300 | 13 | ||||||
Oak Street Health Inc * | 1,884 | 46 | ||||||
Omnicell Inc * | 346 | 30 | ||||||
Option Care Health Inc * | 2,257 | 71 | ||||||
Organon & Co | 2,197 | 51 | ||||||
Owens & Minor Inc | 1,187 | 29 | ||||||
Pacira BioSciences Inc * | 792 | 42 | ||||||
Penumbra Inc * | 247 | 47 | ||||||
PerkinElmer Inc | 1,101 | 132 | ||||||
Perrigo Co PLC | 1,203 | 43 | ||||||
Pfizer Inc | 56,236 | 2,461 | ||||||
Progyny Inc * | 1,000 | 37 | ||||||
PTC Therapeutics Inc * | 800 | 40 | ||||||
QIAGEN NV * | 2,555 | 105 | ||||||
Quest Diagnostics Inc | 1,006 | 123 | ||||||
QuidelOrtho Corp * | 200 | 14 | ||||||
R1 RCM * | 2,150 | 40 | ||||||
Regeneron Pharmaceuticals Inc * | 1,023 | 705 | ||||||
Repligen Corp * | 577 | 108 | ||||||
ResMed Inc | 1,386 | 303 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
341
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Inflation Managed Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Revance Therapeutics Inc * | 2,000 | $ | 54 | |||||
Royalty Pharma PLC, Cl A | 2,654 | 107 | ||||||
Sage Therapeutics Inc * | 897 | 35 | ||||||
Sarepta Therapeutics Inc * | 788 | 87 | ||||||
Seagen Inc * | 1,327 | 182 | ||||||
Select Medical Holdings Corp | 700 | 15 | ||||||
Shockwave Medical Inc * | 295 | 82 | ||||||
STAAR Surgical Co * | 880 | 62 | ||||||
STERIS PLC | 739 | 123 | ||||||
Stryker Corp | 3,769 | 763 | ||||||
Syneos Health Inc, Cl A * | 1,152 | 54 | ||||||
Tandem Diabetes Care Inc * | 900 | 43 | ||||||
Teladoc Health Inc * | 1,446 | 37 | ||||||
Teleflex Inc | 483 | 97 | ||||||
Tenet Healthcare Corp * | 1,079 | 56 | ||||||
Thermo Fisher Scientific Inc | 3,660 | 1,856 | ||||||
Twist Bioscience Corp * | 1,190 | 42 | ||||||
United Therapeutics Corp * | 452 | 95 | ||||||
UnitedHealth Group Inc (G) | 9,272 | 4,683 | ||||||
Universal Health Services Inc, Cl B | 493 | 43 | ||||||
Veeva Systems Inc, Cl A * | 1,249 | 206 | ||||||
Vertex Pharmaceuticals Inc * | 2,681 | 776 | ||||||
Viatris Inc, Cl W * | 10,134 | 86 | ||||||
Waters Corp * | 692 | 187 | ||||||
West Pharmaceutical Services Inc | 756 | 186 | ||||||
Xencor Inc * | 1,592 | 41 | ||||||
Zimmer Biomet Holdings Inc | 2,302 | 241 | ||||||
Zoetis Inc, Cl A | 4,954 | 735 | ||||||
51,095 | ||||||||
Information Technology — 1.9% | ||||||||
Accenture PLC, Cl A | 2,114 | 544 | ||||||
Adobe Inc * | 1,717 | 473 | ||||||
Akamai Technologies Inc * | 589 | 47 | ||||||
Amdocs Ltd | 335 | 27 | ||||||
ANSYS Inc * | 345 | 77 | ||||||
AppLovin Corp, Cl A * | 1,500 | 29 | ||||||
Aspen Technology Inc * | 199 | 47 | ||||||
Atlassian Corp PLC, Cl A * | 491 | 103 | ||||||
Autodesk Inc, Cl A * | 748 | 140 | ||||||
Automatic Data Processing Inc | 1,312 | 297 | ||||||
Avalara Inc * | 600 | 55 | ||||||
Bentley Systems Inc, Cl B | 700 | 21 | ||||||
Bill.com Holdings Inc * | 496 | 66 | ||||||
Block Inc, Cl A * | 2,031 | 112 | ||||||
Broadridge Financial Solutions Inc | 393 | 57 | ||||||
Cadence Design Systems Inc * | 1,062 | 174 | ||||||
Citrix Systems Inc | 687 | 71 | ||||||
Cloudflare Inc, Cl A * | 1,600 | 89 | ||||||
Cognizant Technology Solutions Corp, Cl A | 815 | 47 | ||||||
Crowdstrike Holdings Inc, Cl A * | 687 | 113 | ||||||
Datadog Inc, Cl A * | 761 | 68 | ||||||
DocuSign Inc, Cl A * | 500 | 27 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Dropbox Inc, Cl A * | 400 | $ | 8 | |||||
Dynatrace Inc * | 900 | 31 | ||||||
EPAM Systems Inc * | 139 | 50 | ||||||
Fair Isaac Corp * | 98 | 40 | ||||||
Fidelity National Information Services Inc, Cl B | 2,078 | 157 | ||||||
Fiserv Inc, Cl A * | 2,257 | 211 | ||||||
Five9 Inc * | 500 | 38 | ||||||
Fortinet Inc * | 2,215 | 109 | ||||||
Gartner Inc * | 295 | 82 | ||||||
Global Payments Inc | 846 | 91 | ||||||
GoDaddy Inc, Cl A * | 893 | 63 | ||||||
Guidewire Software Inc, Cl Z * | 500 | 31 | ||||||
HubSpot Inc * | 170 | 46 | ||||||
International Business Machines Corp | 2,201 | 262 | ||||||
Intuit Inc | 982 | 380 | ||||||
Jack Henry & Associates Inc | 144 | 26 | ||||||
Manhattan Associates Inc * | 311 | 41 | ||||||
Mastercard Inc, Cl A | 3,044 | 866 | ||||||
Microsoft Corp (G) | 26,930 | 6,272 | ||||||
MongoDB Inc, Cl A * | 338 | 67 | ||||||
NortonLifeLock Inc | 1,406 | 28 | ||||||
Okta Inc, Cl A * | 300 | 17 | ||||||
Oracle Corp, Cl B | 5,195 | 317 | ||||||
Palantir Technologies Inc, Cl A * | 8,887 | 72 | ||||||
Palo Alto Networks Inc * | 1,041 | 171 | ||||||
Paychex Inc | 1,055 | 118 | ||||||
Paycom Software Inc * | 201 | 66 | ||||||
Paylocity Holding Corp * | 198 | 48 | ||||||
PayPal Holdings Inc * | 3,989 | 343 | ||||||
PTC Inc * | 589 | 62 | ||||||
Roper Technologies Inc | 491 | 177 | ||||||
Salesforce Inc * | 3,335 | 480 | ||||||
ServiceNow Inc * | 738 | 279 | ||||||
Snowflake Inc, Cl A * | 589 | 100 | ||||||
Splunk Inc * | 453 | 34 | ||||||
SS&C Technologies Holdings Inc | 560 | 27 | ||||||
Synopsys Inc * | 152 | 46 | ||||||
Twilio Inc, Cl A * | 395 | 27 | ||||||
Tyler Technologies Inc * | 110 | 38 | ||||||
VeriSign Inc * | 296 | 51 | ||||||
Visa Inc, Cl A | 5,474 | 973 | ||||||
VMware Inc, Cl A | 661 | 70 | ||||||
Workday Inc, Cl A * | 737 | 112 | ||||||
Zendesk Inc * | 693 | 53 | ||||||
Zoom Video Communications Inc, Cl A * | 1,131 | 83 | ||||||
Zscaler Inc * | 397 | 65 | ||||||
15,412 | ||||||||
Real Estate — 2.9% | ||||||||
Acadia Realty Trust ‡ | 4,316 | 54 | ||||||
Agree Realty Corp ‡ | 1,683 | 114 | ||||||
Alexandria Real Estate Equities Inc ‡ | 3,152 | 442 |
342
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
American Assets Trust Inc ‡ | 2,300 | $ | 59 | |||||
American Homes 4 Rent, Cl A ‡ | 7,099 | 233 | ||||||
American Tower Corp, Cl A ‡ | 8,862 | 1,903 | ||||||
Americold Realty Trust Inc ‡ | 4,496 | 111 | ||||||
Anywhere Real Estate * | 300 | 2 | ||||||
Apartment Income Corp ‡ | 3,978 | 154 | ||||||
Apartment Investment and Management Co, Cl A ‡ | 6,200 | 45 | ||||||
Apple Hospitality Inc ‡ | 6,586 | 93 | ||||||
AvalonBay Communities Inc ‡ | 2,804 | 516 | ||||||
Boston Properties Inc ‡ | 3,071 | 230 | ||||||
Brixmor Property Group Inc ‡ | 4,891 | 90 | ||||||
Broadstone Net Lease, Cl A ‡ | 3,532 | 55 | ||||||
Camden Property Trust ‡ | 1,866 | 223 | ||||||
CareTrust Inc ‡ | 2,572 | 47 | ||||||
CBRE Group Inc, Cl A * | 6,157 | 416 | ||||||
Centerspace ‡ | 687 | 46 | ||||||
Compass, Cl A *‡ | 15,897 | 37 | ||||||
Corporate Office Properties Trust ‡ | 1,795 | 42 | ||||||
Cousins Properties Inc ‡ | 2,775 | 65 | ||||||
Crown Castle Inc ‡ | 8,247 | 1,192 | ||||||
CubeSmart ‡ | 4,774 | 191 | ||||||
DiamondRock Hospitality Co ‡ | 6,476 | 49 | ||||||
Digital Realty Trust Inc, Cl A ‡ | 5,651 | 560 | ||||||
DigitalBridge Group ‡ | 2,091 | 26 | ||||||
Douglas Emmett Inc ‡ | 2,815 | 50 | ||||||
Duke Realty Corp ‡ | 7,829 | 377 | ||||||
Easterly Government Properties Inc, Cl A ‡ | 4,084 | 64 | ||||||
EastGroup Properties Inc ‡ | 1,005 | 145 | ||||||
Empire State Realty Trust Inc, Cl A ‡ | 5,073 | 33 | ||||||
EPR Properties, Cl A ‡ | 1,033 | 37 | ||||||
Equinix Inc ‡ | 1,815 | 1,032 | ||||||
Equity Commonwealth ‡ | 2,158 | 53 | ||||||
Equity LifeStyle Properties Inc ‡ | 3,327 | 209 | ||||||
Equity Residential ‡ | 7,256 | 488 | ||||||
Essential Properties Realty Trust Inc ‡ | 1,782 | 35 | ||||||
Essex Property Trust Inc ‡ | 1,306 | 316 | ||||||
Extra Space Storage Inc ‡ | 2,531 | 437 | ||||||
Federal Realty Investment Trust ‡ | 1,294 | 117 | ||||||
First Industrial Realty Trust Inc ‡ | 3,096 | 139 | ||||||
Four Corners Property Trust Inc ‡ | 2,256 | 55 | ||||||
Gaming and Leisure Properties Inc ‡ | 3,534 | 156 | ||||||
Getty Realty Corp ‡ | 1,483 | 40 | ||||||
Global Net Lease Inc ‡ | 3,224 | 34 | ||||||
Healthcare Realty Trust Inc, Cl A ‡ | 7,108 | 148 | ||||||
Healthpeak Properties Inc ‡ | 10,222 | 234 | ||||||
Highwoods Properties Inc ‡ | 2,111 | 57 | ||||||
Host Hotels & Resorts Inc ‡ | 13,138 | 209 | ||||||
Howard Hughes Corp/The *‡ | 390 | 22 | ||||||
Hudson Pacific Properties Inc ‡ | 2,482 | 27 | ||||||
Independence Realty Trust Inc ‡ | 3,434 | 57 | ||||||
Innovative Industrial Properties Inc, Cl A ‡ | 500 | 44 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
InvenTrust Properties ‡ | 1,166 | $ | 25 | |||||
Invitation Homes Inc ‡ | 11,272 | 381 | ||||||
Iron Mountain Inc ‡ | 5,950 | 262 | ||||||
JBG SMITH Properties ‡ | 2,077 | 39 | ||||||
Jones Lang LaSalle Inc *‡ | 810 | 122 | ||||||
Kennedy-Wilson Holdings Inc ‡ | 3,200 | 49 | ||||||
Kilroy Realty Corp ‡ | 1,794 | 76 | ||||||
Kimco Realty Corp ‡ | 10,972 | 202 | ||||||
Kite Realty Group Trust ‡ | 4,380 | 75 | ||||||
Lamar Advertising Co, Cl A ‡ | 1,958 | 162 | ||||||
Life Storage Inc ‡ | 1,825 | 202 | ||||||
LTC Properties Inc ‡ | 1,286 | 48 | ||||||
LXP Industrial Trust, Cl B ‡ | 5,876 | 54 | ||||||
Macerich Co/The ‡ | 4,152 | 33 | ||||||
Medical Properties Trust Inc ‡ | 10,360 | 123 | ||||||
Mid-America Apartment Communities Inc ‡ | 2,275 | 353 | ||||||
National Health Investors Inc ‡ | 923 | 52 | ||||||
National Retail Properties Inc ‡ | 3,042 | 121 | ||||||
National Storage Affiliates Trust ‡ | 1,906 | 79 | ||||||
Newmark Group Inc, Cl A ‡ | 200 | 2 | ||||||
Office Properties Income Trust ‡ | 2,246 | 32 | ||||||
Omega Healthcare Investors Inc ‡ | 3,802 | 112 | ||||||
Opendoor Technologies Inc *‡ | 8,310 | 26 | ||||||
Outfront Media Inc ‡ | 2,890 | 44 | ||||||
Paramount Group Inc ‡ | 4,700 | 29 | ||||||
Park Hotels & Resorts Inc ‡ | 4,665 | 53 | ||||||
Pebblebrook Hotel Trust ‡ | 2,945 | 43 | ||||||
Phillips Edison & Co Inc ‡ | 2,944 | 83 | ||||||
Physicians Realty Trust ‡ | 3,510 | 53 | ||||||
PotlatchDeltic Corp ‡ | 1,151 | 47 | ||||||
Prologis Inc ‡ | 14,733 | 1,497 | ||||||
Public Storage ‡ | 3,060 | 896 | ||||||
Rayonier Inc ‡ | 2,952 | 88 | ||||||
Realty Income Corp ‡ | 12,106 | 705 | ||||||
Regency Centers Corp ‡ | 4,070 | 219 | ||||||
Retail Opportunity Investments Corp ‡ | 1,900 | 26 | ||||||
Rexford Industrial Realty Inc ‡ | 3,559 | 185 | ||||||
RLJ Lodging Trust ‡ | 4,512 | 46 | ||||||
Ryman Hospitality Properties Inc ‡ | 954 | 70 | ||||||
Sabra Health Care Inc ‡ | 3,527 | 46 | ||||||
Saul Centers Inc ‡ | 825 | 31 | ||||||
SBA Communications Corp, Cl A ‡ | 2,080 | 592 | ||||||
Service Properties Trust ‡ | 7,900 | 41 | ||||||
Simon Property Group Inc ‡ | 6,711 | 602 | ||||||
SITE Centers Corp ‡ | 3,165 | 34 | ||||||
SL Green Realty Corp ‡ | 941 | 38 | ||||||
Spirit Realty Capital Inc ‡ | 4,204 | 152 | ||||||
STAG Industrial Inc ‡ | 3,217 | 91 | ||||||
STORE Capital Corp ‡ | 4,862 | 152 | ||||||
Sun Communities Inc ‡ | 2,504 | 339 | ||||||
Sunstone Hotel Investors Inc ‡ | 1,187 | 11 | ||||||
Tanger Factory Outlet Centers Inc ‡ | 3,462 | 47 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
343
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Inflation Managed Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Terreno Realty Corp ‡ | 1,156 | $ | 61 | |||||
UDR Inc ‡ | 7,178 | 299 | ||||||
Uniti Group Inc ‡ | 4,711 | 33 | ||||||
Urban Edge Properties ‡ | 3,114 | 42 | ||||||
Ventas Inc ‡ | 7,242 | 291 | ||||||
Veris Residential Inc *‡ | 3,288 | 37 | ||||||
VICI Properties Inc ‡ | 19,563 | 584 | ||||||
Vornado Realty Trust ‡ | 3,020 | 70 | ||||||
Washington Real Estate Investment Trust ‡ | 2,546 | 45 | ||||||
Welltower Inc ‡ | 8,994 | 579 | ||||||
Weyerhaeuser Co ‡ | 13,709 | 392 | ||||||
WP Carey Inc ‡ | 3,503 | 245 | ||||||
Xenia Hotels & Resorts Inc ‡ | 2,275 | 31 | ||||||
Zillow Group Inc, Cl A *‡ | 1,187 | 34 | ||||||
Zillow Group Inc, Cl C *‡ | 2,846 | 81 | ||||||
23,324 | ||||||||
Utilities — 1.4% | ||||||||
AES Corp/The | 7,498 | 169 | ||||||
ALLETE Inc | 981 | 49 | ||||||
Alliant Energy Corp | 2,579 | 137 | ||||||
Ameren Corp | 2,898 | 233 | ||||||
American Electric Power Co Inc | 5,963 | 516 | ||||||
American States Water Co | 594 | 46 | ||||||
American Water Works Co Inc | 2,117 | 276 | ||||||
Atmos Energy Corp | 1,543 | 157 | ||||||
Avangrid Inc | 1,177 | 49 | ||||||
Avista Corp | 1,187 | 44 | ||||||
Black Hills Corp, Cl A | 981 | 66 | ||||||
Brookfield Renewable Corp, Cl A | 1,374 | 45 | ||||||
CenterPoint Energy Inc | 6,681 | 188 | ||||||
Clearway Energy Inc, Cl C | 1,305 | 42 | ||||||
CMS Energy Corp | 3,339 | 195 | ||||||
Consolidated Edison Inc | 3,764 | 323 | ||||||
Constellation Energy Corp | 3,518 | 293 | ||||||
Dominion Energy Inc | 8,926 | 617 | ||||||
DTE Energy Co | 2,093 | 241 | ||||||
Duke Energy Corp | 8,851 | 823 | ||||||
Edison International | 3,992 | 226 | ||||||
Entergy Corp | 2,052 | 207 | ||||||
Essential Utilities Inc | 2,162 | 90 | ||||||
Evergy Inc | 2,258 | 134 | ||||||
Exelon Corp | 11,245 | 421 | ||||||
FirstEnergy Corp | 5,796 | 214 | ||||||
IDACORP Inc, Cl A | 489 | 48 | ||||||
National Fuel Gas Co | 1,170 | 72 | ||||||
New Jersey Resources Corp | 1,374 | 53 | ||||||
NextEra Energy Inc | 22,218 | 1,742 | ||||||
NiSource Inc | 4,166 | 105 | ||||||
NorthWestern Corp | 1,000 | 49 | ||||||
NRG Energy Inc | 1,843 | 71 | ||||||
OGE Energy Corp | 1,683 | 61 | ||||||
ONE Gas Inc | 489 | 34 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Ormat Technologies Inc | 78 | $ | 7 | |||||
PG&E Corp * | 18,018 | 225 | ||||||
Pinnacle West Capital Corp | 1,620 | 105 | ||||||
PNM Resources Inc | 752 | 34 | ||||||
Portland General Electric Co | 1,056 | 46 | ||||||
PPL Corp | 9,137 | 232 | ||||||
Public Service Enterprise Group Inc | 5,614 | 316 | ||||||
Sempra Energy | 3,511 | 526 | ||||||
SJW Group | 883 | 51 | ||||||
South Jersey Industries Inc, Cl A | 2,257 | 75 | ||||||
Southern Co/The | 12,191 | 829 | ||||||
Southwest Gas Holdings Inc | 594 | 41 | ||||||
Spire Inc | 792 | 49 | ||||||
Sunnova Energy International Inc * | 2,083 | 46 | ||||||
UGI Corp | 1,812 | 59 | ||||||
Vistra Corp | 4,371 | 92 | ||||||
WEC Energy Group Inc | 3,443 | 308 | ||||||
Xcel Energy Inc | 6,054 | 388 | ||||||
11,465 | ||||||||
Total Common Stock | ||||||||
(Cost $170,088) ($ Thousands) | 241,214 | |||||||
Face Amount | ||||||||
CORPORATE OBLIGATIONS — 9.0% | ||||||||
Communication Services — 0.5% | ||||||||
Altice France | ||||||||
3.375%, 01/15/2028 | EUR | 117 | 87 | |||||
Baidu | ||||||||
3.425%, 04/07/2030 | $ | 201 | 174 | |||||
CCO Holdings | ||||||||
4.750%, 02/01/2032 (C) | 535 | 417 | ||||||
4.500%, 08/15/2030 (C) | 63 | 50 | ||||||
4.500%, 06/01/2033 (C) | 219 | 162 | ||||||
DISH DBS | ||||||||
5.250%, 12/01/2026 (C) | 1,007 | 825 | ||||||
Lorca Telecom Bondco | ||||||||
4.000%, 09/18/2027 | EUR | 237 | 202 | |||||
Netflix | ||||||||
5.875%, 11/15/2028 | $ | 812 | 792 | |||||
T-Mobile USA | ||||||||
3.375%, 04/15/2029 | 73 | 63 | ||||||
2.875%, 02/15/2031 | 374 | 301 | ||||||
2.625%, 02/15/2029 | 123 | 101 | ||||||
2.550%, 02/15/2031 | 883 | 700 | ||||||
3.375%, 07/08/2030 | 1,395 | 1,024 | ||||||
4,898 | ||||||||
344
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Consumer Discretionary — 1.0% | ||||||||
Adient Global Holdings | ||||||||
3.500%, 08/15/2024 | EUR | 237 | $ | 214 | ||||
Advance Auto Parts | ||||||||
3.900%, 04/15/2030 | $ | 922 | 791 | |||||
Altice Financing | ||||||||
3.000%, 01/15/2028 | EUR | 237 | 175 | |||||
Ashtead Capital | ||||||||
5.500%, 08/11/2032 (C) | $ | 204 | 189 | |||||
Booking Holdings | ||||||||
4.625%, 04/13/2030 | 1,080 | 1,015 | ||||||
Carnival | ||||||||
4.000%, 08/01/2028 (C) | 605 | 488 | ||||||
Clarios Global | ||||||||
4.375%, 05/15/2026 (C) | EUR | 155 | 134 | |||||
Expedia Group | ||||||||
6.250%, 05/01/2025 (C) | $ | 24 | 24 | |||||
4.625%, 08/01/2027 | 251 | 236 | ||||||
Ford Motor | ||||||||
6.100%, 08/19/2032 | 435 | 383 | ||||||
Globo Comunicacao e Participacoes | ||||||||
4.875%, 01/22/2030 (C) | 413 | 311 | ||||||
Harley-Davidson Financial Services | �� | |||||||
3.350%, 06/08/2025 (C) | 463 | 434 | ||||||
3.050%, 02/14/2027 (C) | 418 | 359 | ||||||
Las Vegas Sands | ||||||||
3.900%, 08/08/2029 | 722 | 597 | ||||||
Marriott International | ||||||||
5.750%, 05/01/2025 | 68 | 69 | ||||||
MDC Holdings | ||||||||
6.000%, 01/15/2043 | 389 | 292 | ||||||
MercadoLibre | ||||||||
2.375%, 01/14/2026 | 200 | 171 | ||||||
NH Hotel Group | ||||||||
4.000%, 07/02/2026 | EUR | 237 | 202 | |||||
Nissan Motor | ||||||||
4.345%, 09/17/2027 (C) | $ | 1,086 | 936 | |||||
Nobel Bidco BV | ||||||||
3.125%, 06/15/2028 | EUR | 237 | 155 | |||||
Ross Stores | ||||||||
4.700%, 04/15/2027 | $ | 842 | 819 | |||||
Royal Caribbean Cruises | ||||||||
11.500%, 06/01/2025 (C) | 343 | 364 | ||||||
8.250%, 01/15/2029 (C) | 231 | 225 | ||||||
Summer BC Holdco B SARL | ||||||||
5.750%, 10/31/2026 | EUR | 237 | 197 | |||||
Time Warner Cable | ||||||||
4.500%, 09/15/2042 | $ | 330 | 228 | |||||
Wynn Macau | ||||||||
5.625%, 08/26/2028 (C) | 348 | 232 | ||||||
9,240 | ||||||||
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Consumer Staples — 0.5% | ||||||||
Albertsons | ||||||||
3.500%, 03/15/2029 (C) | $ | 408 | $ | 329 | ||||
Altria Group | ||||||||
4.800%, 02/14/2029 | 167 | 154 | ||||||
3.400%, 05/06/2030 | 745 | 603 | ||||||
BAT Capital | ||||||||
4.906%, 04/02/2030 | 467 | 412 | ||||||
4.700%, 04/02/2027 | 475 | 443 | ||||||
2.259%, 03/25/2028 | 1,337 | 1,064 | ||||||
Natura & Luxembourg Holdings SARL | ||||||||
6.000%, 04/19/2029 (C) | 392 | 323 | ||||||
Natura Cosmeticos | ||||||||
4.125%, 05/03/2028 (C) | 322 | 254 | ||||||
Virgolino de Oliveira Finance | ||||||||
10.500%, 01/28/2018 (C)(D) | 660 | – | ||||||
3,582 | ||||||||
Corporate Obligation — 0.1% | ||||||||
Barclays | ||||||||
5.304%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.300%, 08/09/2026 (B) | 229 | 220 | ||||||
Credit Suisse Group | ||||||||
6.373%, U.S. SOFR + 3.340%, 07/15/2026 (B)(C) | 344 | 332 | ||||||
Deutsche Bank NY | ||||||||
6.119%, U.S. SOFR + 3.190%, 07/14/2026 (B) | 255 | 248 | ||||||
HSBC Holdings | ||||||||
5.402%, U.S. SOFR + 2.870%, 08/11/2033 (B) | 219 | 195 | ||||||
Mizuho Financial Group | ||||||||
5.414%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.050%, 09/13/2028 (B) | 430 | 420 | ||||||
Morgan Stanley MTN | ||||||||
4.679%, U.S. SOFR + 1.669%, 07/17/2026 (B) | 248 | 242 | ||||||
1,657 | ||||||||
Energy — 0.6% | ||||||||
BP Capital Markets America | ||||||||
2.939%, 06/04/2051 | 1,261 | 801 | ||||||
Continental Resources | ||||||||
2.268%, 11/15/2026 (C) | 1,050 | 896 | ||||||
Enbridge Energy Partners | ||||||||
7.375%, 10/15/2045 | 688 | 748 | ||||||
Energy Transfer | ||||||||
6.250%, 04/15/2049 | 413 | 366 | ||||||
Eni | ||||||||
4.250%, 05/09/2029 (C) | 900 | 811 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
345
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Inflation Managed Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Equities | ||||||||
5.700%, 04/01/2028 | $ | 131 | $ | 128 | ||||
Marathon Petroleum | ||||||||
6.500%, 03/01/2041 | 175 | 173 | ||||||
5.125%, 12/15/2026 | 227 | 223 | ||||||
Oleoducto Central | ||||||||
4.000%, 07/14/2027 (C) | 438 | 338 | ||||||
ONEOK | ||||||||
6.350%, 01/15/2031 | 128 | 126 | ||||||
ONEOK Partners | ||||||||
6.125%, 02/01/2041 | 63 | 56 | ||||||
Tengizchevroil Finance International | ||||||||
3.250%, 08/15/2030 (C) | 262 | 186 | ||||||
TransCanada PipeLines | ||||||||
6.200%, 10/15/2037 | 362 | 356 | ||||||
6.100%, 06/01/2040 | 573 | 555 | ||||||
5,763 | ||||||||
Financials — 3.8% | ||||||||
ABN AMRO Bank | ||||||||
4.750%, 07/28/2025 (C) | 269 | 259 | ||||||
Aircastle | ||||||||
5.250%, 08/11/2025 (C) | 456 | 429 | ||||||
4.250%, 06/15/2026 | 62 | 56 | ||||||
4.125%, 05/01/2024 | 181 | 174 | ||||||
2.850%, 01/26/2028 (C) | 904 | 702 | ||||||
Alleghany | ||||||||
3.625%, 05/15/2030 | 931 | 830 | ||||||
Aviation Capital Group | ||||||||
5.500%, 12/15/2024 (C) | 455 | 441 | ||||||
4.875%, 10/01/2025 (C) | 182 | 169 | ||||||
4.375%, 01/30/2024 (C) | 161 | 156 | ||||||
4.125%, 08/01/2025 (C) | 6 | 6 | ||||||
3.500%, 11/01/2027 (C) | 165 | 137 | ||||||
1.950%, 01/30/2026 (C) | 480 | 403 | ||||||
1.950%, 09/20/2026 (C) | 153 | 124 | ||||||
Banco de Credito del Peru S.A. MTN | ||||||||
3.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.000%, 07/01/2030 (B)(C) | 755 | 661 | ||||||
Banco Santander | ||||||||
4.175%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.000%, 03/24/2028 (B) | 400 | 360 | ||||||
Bank of America | ||||||||
1.734%, U.S. SOFR + 0.960%, 07/22/2027 (B) | 1,198 | 1,028 | ||||||
Bank of America MTN | ||||||||
4.376%, U.S. SOFR + 1.580%, 04/27/2028 (B) | 931 | 872 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Bank of Ireland Group | ||||||||
6.253%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.650%, 09/16/2026 (B)(C) | $ | 210 | $ | 206 | ||||
BNP Paribas | ||||||||
7.750%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.899%(B)(C)(E) | 869 | 802 | ||||||
2.871%, U.S. SOFR + 1.387%, 04/19/2032 (B)(C) | 806 | 609 | ||||||
Capital One Financial | ||||||||
4.927%, U.S. SOFR + 2.057%, 05/10/2028 (B) | 333 | 317 | ||||||
2.636%, U.S. SOFR + 1.290%, 03/03/2026 (B) | 475 | 441 | ||||||
CDBL Funding 1 MTN | ||||||||
3.500%, 10/24/2027 | 620 | 569 | ||||||
Charles Schwab | ||||||||
5.375%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.971%(B)(E) | 393 | 382 | ||||||
4.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.168%(B)(E) | 756 | 620 | ||||||
Citigroup | ||||||||
5.950%, ICE LIBOR USD 3 Month + 4.068%(B)(E) | 311 | 307 | ||||||
4.075%, ICE LIBOR USD 3 Month + 1.192%, 04/23/2029 (B) | 334 | 302 | ||||||
4.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.597%(B)(E) | 359 | 303 | ||||||
3.980%, ICE LIBOR USD 3 Month + 1.338%, 03/20/2030 (B) | 227 | 201 | ||||||
Credit Suisse Group | ||||||||
7.500%, USD Swap Semi 30/360 5 Yr Curr + 4.598%(B)(C)(E) | 200 | 184 | ||||||
7.500%, USD Swap Semi 30/360 5 Yr Curr + 4.600%(B)(E) | 440 | 377 | ||||||
6.375%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.822%(B)(C)(E) | 365 | 266 | ||||||
4.194%, U.S. SOFR + 3.730%, 04/01/2031 (B)(C) | 427 | 336 | ||||||
3.091%, U.S. SOFR + 1.730%, 05/14/2032 (B)(C) | 292 | 205 | ||||||
Danske Bank | ||||||||
4.298%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.750%, 04/01/2028 (B)(C) | 245 | 218 | ||||||
Deutsche Bank NY | ||||||||
3.961%, U.S. SOFR + 2.581%, 11/26/2025 (B) | 315 | 294 |
346
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.129%, U.S. SOFR + 1.870%, 11/24/2026 (B) | $ | 347 | $ | 295 | ||||
Discover Bank | ||||||||
4.682%, USD Swap Semi 30/360 5 Yr Curr + 1.730%, 08/09/2028 (B) | 475 | 456 | ||||||
Discover Financial Services | ||||||||
6.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.783%(B)(E) | 1,308 | 1,276 | ||||||
Federation des Caisses Desjardins du Quebec | ||||||||
4.550%, 08/23/2027 (C) | 435 | 411 | ||||||
Fifth Third Bancorp | ||||||||
4.500%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.215%(B)(E) | 247 | 227 | ||||||
Global Payments | ||||||||
5.300%, 08/15/2029 | 287 | 270 | ||||||
Goldman Sachs Group | ||||||||
4.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 2.949%(B)(E) | 328 | 261 | ||||||
2.615%, U.S. SOFR + 1.281%, 04/22/2032 (B) | 805 | 624 | ||||||
2.383%, U.S. SOFR + 1.248%, 07/21/2032 (B) | 238 | 179 | ||||||
Guardian Life Insurance of America | ||||||||
4.850%, 01/24/2077 (C) | 145 | 118 | ||||||
ING Groep | ||||||||
1.726%, U.S. SOFR + 1.005%, 04/01/2027 (B) | 1,191 | 1,021 | ||||||
JPMorgan Chase | ||||||||
7.063%, ICE LIBOR USD 3 Month + 3.320%(B)(E) | 12 | 12 | ||||||
6.276%, ICE LIBOR USD 3 Month + 3.470%(B)(E) | 256 | 256 | ||||||
2.580%, U.S. SOFR + 1.250%, 04/22/2032 (B) | 805 | 624 | ||||||
Morgan Stanley | ||||||||
4.210%, U.S. SOFR + 1.610%, 04/20/2028 (B) | 289 | 270 | ||||||
Nationwide Building Society MTN | ||||||||
2.972%, U.S. SOFR + 1.290%, 02/16/2028 (B)(C) | 319 | 274 | ||||||
OEC Finance | ||||||||
7.125%cash/0% PIK, 12/26/2046 (C) | 279 | 7 | ||||||
S&P Global | ||||||||
4.750%, 08/01/2028 (C) | 35 | 34 | ||||||
4.250%, 05/01/2029 (C) | 166 | 156 | ||||||
Santander Holdings USA | ||||||||
4.400%, 07/13/2027 | 405 | 373 | ||||||
4.260%, SOFRINDX + 1.380%, 06/09/2025 (B) | 196 | 189 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.490%, U.S. SOFR + 1.249%, 01/06/2028 (B) | $ | 67 | $ | 56 | ||||
Societe Generale | ||||||||
2.797%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.300%, 01/19/2028 (B)(C) | 623 | 525 | ||||||
Standard Chartered | ||||||||
7.750%, USD Swap Semi 30/360 5 Yr Curr + 5.723%(B)(C)(E) | 200 | 195 | ||||||
6.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.661%(B)(C)(E) | 552 | 490 | ||||||
4.316%, ICE LIBOR USD 3 Month + 1.510%(B)(C)(E) | 400 | 301 | ||||||
3.971%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.650%, 03/30/2026 (B)(C) | 239 | 225 | ||||||
Svenska Handelsbanken | ||||||||
4.375%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.942%(B)(E) | 800 | 650 | ||||||
Swiss Re Finance Luxembourg | ||||||||
5.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.582%, 04/02/2049 (B) | 600 | 525 | ||||||
Synchrony Financial | ||||||||
4.875%, 06/13/2025 | 139 | 134 | ||||||
4.500%, 07/23/2025 | 120 | 114 | ||||||
3.950%, 12/01/2027 | 97 | 84 | ||||||
2.875%, 10/28/2031 | 328 | 233 | ||||||
Truist Financial | ||||||||
5.100%, US Treas Yield Curve Rate T Note Const Mat 10 Yr + 4.349%(B)(E) | 829 | 735 | ||||||
UBS Group | ||||||||
4.488%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.550%, 05/12/2026 (B)(C) | 238 | 229 | ||||||
UniCredit | ||||||||
3.127%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.550%, 06/03/2032 (B)(C) | 201 | 143 | ||||||
2.569%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.300%, 09/22/2026 (B)(C) | 519 | 445 | ||||||
1.982%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.200%, 06/03/2027 (B)(C) | 231 | 189 | ||||||
US Bancorp | ||||||||
5.300%, ICE LIBOR USD 3 Month + 2.914%(B)(E) | 474 | 399 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
347
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Inflation Managed Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Voya Financial | ||||||||
5.650%, ICE LIBOR USD 3 Month + 3.580%, 05/15/2053 (B) | $ | 258 | $ | 250 | ||||
Wells Fargo | ||||||||
3.900%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.453%(B)(E) | 327 | 277 | ||||||
2.188%, U.S. SOFR + 2.000%, 04/30/2026 (B) | 433 | 395 | ||||||
27,673 | ||||||||
Health Care — 0.2% | ||||||||
Amgen | ||||||||
3.000%, 02/22/2029 | 249 | 218 | ||||||
Cigna | ||||||||
4.375%, 10/15/2028 | 382 | 361 | ||||||
IQVIA | ||||||||
2.250%, 03/15/2029 | EUR | 200 | 149 | |||||
Organon | ||||||||
2.875%, 04/30/2028 | 200 | 156 | ||||||
Takeda Pharmaceutical | ||||||||
4.400%, 11/26/2023 | $ | 820 | 815 | |||||
1,699 | ||||||||
Industrials — 0.7% | ||||||||
AerCap Ireland Capital DAC | ||||||||
6.500%, 07/15/2025 | 190 | 190 | ||||||
4.450%, 04/03/2026 | 173 | 161 | ||||||
2.450%, 10/29/2026 | 671 | 566 | ||||||
Air Lease | ||||||||
3.625%, 04/01/2027 | 40 | 36 | ||||||
2.100%, 09/01/2028 | 178 | 139 | ||||||
Air Lease MTN | ||||||||
2.875%, 01/15/2026 | 85 | 76 | ||||||
Alfa | ||||||||
5.250%, 03/25/2024 (C) | 660 | 657 | ||||||
APCOA Parking Holdings GmbH | ||||||||
4.625%, 01/15/2027 | EUR | 237 | 184 | |||||
CNH Industrial Capital | ||||||||
3.950%, 05/23/2025 | $ | 723 | 697 | |||||
Delta Air Lines | ||||||||
4.750%, 10/20/2028 (C) | 475 | 442 | ||||||
4.500%, 10/20/2025 (C) | 409 | 397 | ||||||
Deutsche Lufthansa MTN | ||||||||
3.000%, 05/29/2026 | EUR | 100 | 82 | |||||
Embraer Netherlands Finance BV | ||||||||
6.950%, 01/17/2028 (C) | $ | 236 | 222 | |||||
5.400%, 02/01/2027 | 670 | 614 | ||||||
ENA Master Trust | ||||||||
4.000%, 05/19/2048 (C) | 272 | 202 | ||||||
Flowserve | ||||||||
2.800%, 01/15/2032 | 246 | 176 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Lima Metro Line 2 Finance | ||||||||
5.875%, 07/05/2034 | $ | 216 | $ | 204 | ||||
4.350%, 04/05/2036 (C) | 211 | 180 | ||||||
Odebrecht Holdco Finance | ||||||||
0.000%, 09/10/2058 (C)(F) | 294 | 1 | ||||||
Parker-Hannifin | ||||||||
4.500%, 09/15/2029 | 546 | 515 | ||||||
TK Elevator Midco GmbH | ||||||||
4.375%, 07/15/2027 | EUR | 125 | 102 | |||||
TransDigm | ||||||||
6.250%, 03/15/2026 (C) | $ | 405 | 393 | |||||
Westinghouse Air Brake Technologies | ||||||||
3.200%, 06/15/2025 | 141 | 131 | ||||||
6,367 | ||||||||
Information Technology — 0.9% | ||||||||
Broadcom | ||||||||
4.926%, 05/15/2037 (C) | 535 | 441 | ||||||
4.150%, 11/15/2030 | 191 | 165 | ||||||
4.150%, 04/15/2032 (C) | 164 | 137 | ||||||
4.000%, 04/15/2029 (C) | 47 | 41 | ||||||
3.187%, 11/15/2036 (C) | 448 | 306 | ||||||
3.137%, 11/15/2035 (C) | 154 | 108 | ||||||
Entegris Escrow | ||||||||
4.750%, 04/15/2029 (C) | 699 | 616 | ||||||
Global Payments | ||||||||
2.900%, 11/15/2031 | 157 | 120 | ||||||
HP | ||||||||
4.750%, 01/15/2028 | 572 | 537 | ||||||
Infor | ||||||||
1.750%, 07/15/2025 (C) | 340 | 306 | ||||||
International Business Machines | ||||||||
4.900%, 07/27/2052 | 434 | 380 | ||||||
Kyndryl Holdings | ||||||||
2.050%, 10/15/2026 | 631 | 507 | ||||||
Micron Technology | ||||||||
5.327%, 02/06/2029 | 202 | 191 | ||||||
4.185%, 02/15/2027 | 419 | 391 | ||||||
NXP BV | ||||||||
5.550%, 12/01/2028 | 317 | 306 | ||||||
Playtech | ||||||||
4.250%, 03/07/2026 | EUR | 200 | 177 | |||||
Prosus | ||||||||
3.680%, 01/21/2030 (C) | $ | 569 | 426 | |||||
3.257%, 01/19/2027 (C) | 264 | 221 | ||||||
SK Hynix | ||||||||
2.375%, 01/19/2031 (C) | 290 | 214 | ||||||
Tencent Holdings MTN | ||||||||
3.240%, 06/03/2050 (C) | 439 | 267 | ||||||
1.810%, 01/26/2026 (C) | 649 | 582 | ||||||
TSMC Arizona | ||||||||
3.875%, 04/22/2027 | 406 | 387 |
348
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Western Digital | ||||||||
3.100%, 02/01/2032 | $ | 64 | $ | 43 | ||||
2.850%, 02/01/2029 | 132 | 103 | ||||||
Workday | ||||||||
3.800%, 04/01/2032 | 176 | 153 | ||||||
3.700%, 04/01/2029 | 68 | 61 | ||||||
7,186 | ||||||||
Materials — 0.3% | ||||||||
Anglo American Capital | ||||||||
3.875%, 03/16/2029 (C) | 235 | 202 | ||||||
Celanese US Holdings | ||||||||
5.900%, 07/05/2024 | 867 | 855 | ||||||
Freeport Indonesia MTN | ||||||||
4.763%, 04/14/2027 (C) | 243 | 219 | ||||||
INEOS Quattro Finance 2 | ||||||||
2.500%, 01/15/2026 (C) | EUR | 333 | 268 | |||||
Inversiones CMPC | ||||||||
4.375%, 05/15/2023 | $ | 389 | 386 | |||||
Nucor | ||||||||
4.300%, 05/23/2027 | 335 | 321 | ||||||
Suzano Austria GmbH | ||||||||
3.750%, 01/15/2031 | 173 | 135 | ||||||
Volcan Cia Minera SAA | ||||||||
4.375%, 02/11/2026 (C) | 81 | 67 | ||||||
2,453 | ||||||||
Real Estate — 0.1% | ||||||||
American Tower | ||||||||
4.050%, 03/15/2032 | 118 | 102 | ||||||
3.650%, 03/15/2027 | 235 | 215 | ||||||
Host Hotels & Resorts | ||||||||
3.500%, 09/15/2030 | 142 | 113 | ||||||
2.900%, 12/15/2031 | 236 | 173 | ||||||
Vornado Realty | ||||||||
2.150%, 06/01/2026 | 403 | 337 | ||||||
940 | ||||||||
Utilities — 0.3% | ||||||||
AES Panama Generation Holdings SRL | ||||||||
4.375%, 05/31/2030 (C) | 304 | 239 | ||||||
Chile Electricity PEC | ||||||||
3.079%, 01/25/2028 (C) | 523 | 366 | ||||||
Comision Federal de Electricidad | ||||||||
4.688%, 05/15/2029 (C) | 268 | 224 | ||||||
3.348%, 02/09/2031 (C) | 687 | 490 | ||||||
Duke Energy Carolinas NC Storm Funding | ||||||||
2.617%, 07/01/2041 | 403 | 300 | ||||||
Engie Energia Chile | ||||||||
3.400%, 01/28/2030 | 390 | 294 | ||||||
Terraform Global Operating | ||||||||
6.125%, 03/01/2026 (C) | 74 | 69 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Vistra | ||||||||
7.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.740%(B)(C)(E) | $ | 286 | $ | 250 | ||||
2,232 | ||||||||
Total Corporate Obligations | ||||||||
(Cost $87,982) ($ Thousands) | 73,690 | |||||||
MORTGAGE-BACKED SECURITIES — 5.3% | ||||||||
Agency Mortgage-Backed Obligations — 3.5% | ||||||||
FHLMC CMO, Ser 2017-4693, Cl SL, IO | ||||||||
3.332%, 06/15/2047(B) | 1,144 | 124 | ||||||
FHLMC CMO, Ser 2020-4981, Cl HS, IO | ||||||||
3.016%, 06/25/2050(B) | 2,298 | 226 | ||||||
FHLMC CMO, Ser 2020-5015, Cl BI, IO | ||||||||
4.000%, 09/25/2050 | 1,609 | 305 | ||||||
FHLMC Multifamily Structured Credit Risk, Ser MN1, Cl M1 | ||||||||
4.281%, SOFR30A + 2.000%, 01/25/2051(B)(C) | 82 | 79 | ||||||
FHLMC STACR Debt Notes, Ser 2021-DNA7, Cl M2 | ||||||||
4.081%, SOFR30A + 1.800%, 11/25/2041(B)(C) | 1,042 | 934 | ||||||
FHLMC STACR Debt Notes, Ser 2022-DNA5, Cl M1A | ||||||||
5.133%, SOFR30A + 2.950%, 06/25/2042(B)(C) | 840 | 840 | ||||||
FHLMC STACR REMIC Trust, Ser 2020-DNA1, Cl M2 | ||||||||
4.784%, ICE LIBOR USD 1 Month + 1.700%, 01/25/2050(B)(C) | 141 | 139 | ||||||
FHLMC STACR REMIC Trust, Ser 2020-DNA5, Cl M2 | ||||||||
5.081%, SOFR30A + 2.800%, 10/25/2050(B)(C) | 321 | 321 | ||||||
FHLMC STACR REMIC Trust, Ser 2021-DNA5, Cl M2 | ||||||||
3.931%, SOFR30A + 1.650%, 01/25/2034(B)(C) | 259 | 252 | ||||||
FHLMC STACR REMIC Trust, Ser 2021-DNA6, Cl M2 | ||||||||
3.781%, SOFR30A + 1.500%, 10/25/2041(B)(C) | 1,079 | 979 | ||||||
FHLMC STACR REMIC Trust, Ser 2021-HQA4, Cl M2 | ||||||||
4.631%, SOFR30A + 2.350%, 12/25/2041(B)(C) | 668 | 568 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
349
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Inflation Managed Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FHLMC STACR REMIC Trust, Ser 2022-DNA1, Cl M1A | ||||||||
3.281%, SOFR30A + 1.000%, 01/25/2042(B)(C) | $ | 505 | $ | 491 | ||||
FHLMC STACR REMIC Trust, Ser 2022-DNA1, Cl M1B | ||||||||
4.131%, SOFR30A + 1.850%, 01/25/2042(B)(C) | 542 | 492 | ||||||
FHLMC STACR REMIC Trust, Ser 2022-DNA4, Cl M1A | ||||||||
4.481%, SOFR30A + 2.200%, 05/25/2042(B)(C) | 685 | 679 | ||||||
FHLMC STACR REMIC Trust, Ser 2022-DNA6, Cl M1A | ||||||||
4.435%, SOFR30A + 2.150%, 09/25/2042(B)(C) | 479 | 476 | ||||||
FHLMC STACR REMIC Trust, Ser 2022-DNA7, Cl M1A | ||||||||
4.876%, SOFR30A + 2.500%, 09/25/2042(B)(C) | 1,246 | 1,247 | ||||||
FHLMC STACR Trust, Ser 2019-DNA3, Cl M2 | ||||||||
5.134%, ICE LIBOR USD 1 Month + 2.050%, 07/25/2049(B)(C) | 34 | 33 | ||||||
FHLMC STACR Trust, Ser 2019-DNA4, Cl M2 | ||||||||
5.034%, ICE LIBOR USD 1 Month + 1.950%, 10/25/2049(B)(C) | 57 | 57 | ||||||
FHLMC STACR Trust, Ser 2019-FTR2, Cl M2 | ||||||||
5.234%, ICE LIBOR USD 1 Month + 2.150%, 11/25/2048(B)(C) | 363 | 342 | ||||||
FHLMC STACR Trust, Ser 2019-HQA3, Cl M2 | ||||||||
4.934%, ICE LIBOR USD 1 Month + 1.850%, 09/25/2049(B)(C) | 310 | 304 | ||||||
FNMA | ||||||||
3.000%, 02/01/2052 | 2,291 | 2,007 | ||||||
FNMA CMO, Ser 2011-131, Cl ST, IO | ||||||||
3.456%, 12/25/2041(B) | 588 | 69 | ||||||
FNMA CMO, Ser 2014-17, Cl SA, IO | ||||||||
2.966%, 04/25/2044(B) | 1,500 | 166 | ||||||
FNMA CMO, Ser 2014-78, Cl SE, IO | ||||||||
3.016%, 12/25/2044(B) | 902 | 88 | ||||||
FNMA CMO, Ser 2016-77, Cl DS, IO | ||||||||
2.916%, 10/25/2046(B) | 859 | 85 | ||||||
FNMA CMO, Ser 2017-62, Cl AS, IO | ||||||||
3.066%, 08/25/2047(B) | 972 | 110 | ||||||
FNMA CMO, Ser 2017-81, Cl SA, IO | ||||||||
3.116%, 10/25/2047(B) | 1,150 | 126 | ||||||
FNMA CMO, Ser 2017-97, Cl LS, IO | ||||||||
3.116%, 12/25/2047(B) | 1,381 | 152 | ||||||
FNMA CMO, Ser 2020-89, Cl KI, IO | ||||||||
4.000%, 12/25/2050 | 3,441 | 651 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FNMA Connecticut Avenue Securities Trust, Ser 2018-R07, Cl 1M2 | ||||||||
4.844%, ICE LIBOR USD 1 Month + 2.400%, 04/25/2031(B)(C) | $ | 42 | $ | 42 | ||||
FNMA Connecticut Avenue Securities Trust, Ser 2019-R02, Cl 1M2 | ||||||||
4.744%, ICE LIBOR USD 1 Month + 2.300%, 08/25/2031(B)(C) | 18 | 18 | ||||||
FNMA Connecticut Avenue Securities Trust, Ser 2019-R03, Cl 1M2 | ||||||||
4.594%, ICE LIBOR USD 1 Month + 2.150%, 09/25/2031(B)(C) | 11 | 10 | ||||||
FNMA Connecticut Avenue Securities Trust, Ser 2019-R06, Cl 2M2 | ||||||||
5.184%, ICE LIBOR USD 1 Month + 2.100%, 09/25/2039(B)(C) | 14 | 14 | ||||||
FNMA Connecticut Avenue Securities Trust, Ser 2019-R07, Cl 1M2 | ||||||||
5.184%, ICE LIBOR USD 1 Month + 2.100%, 10/25/2039(B)(C) | 75 | 74 | ||||||
FNMA Connecticut Avenue Securities Trust, Ser 2020-R02, Cl 2M2 | ||||||||
5.084%, ICE LIBOR USD 1 Month + 2.000%, 01/25/2040(B)(C) | 145 | 142 | ||||||
FNMA Connecticut Avenue Securities Trust, Ser 2021-R03, Cl 1M2 | ||||||||
3.931%, SOFR30A + 1.650%, 12/25/2041(B)(C) | 319 | 291 | ||||||
FNMA Connecticut Avenue Securities Trust, Ser 2022-R01, Cl 1M2 | ||||||||
4.181%, SOFR30A + 1.900%, 12/25/2041(B)(C) | 1,023 | 932 | ||||||
FNMA Connecticut Avenue Securities Trust, Ser 2022-R03, Cl 1M2 | ||||||||
5.781%, SOFR30A + 3.500%, 03/25/2042(B)(C) | 838 | 796 | ||||||
FNMA Connecticut Avenue Securities Trust, Ser 2022-R04, Cl 1M2 | ||||||||
5.381%, SOFR30A + 3.100%, 03/25/2042(B)(C) | 211 | 198 | ||||||
FNMA Connecticut Avenue Securities, Ser 2015-C02, Cl 1M2 | ||||||||
7.084%, ICE LIBOR USD 1 Month + 4.000%, 05/25/2025(B) | 153 | 156 | ||||||
FNMA Connecticut Avenue Securities, Ser 2015-C03, Cl 1M2 | ||||||||
8.084%, ICE LIBOR USD 1 Month + 5.000%, 07/25/2025(B) | 151 | 154 | ||||||
FNMA Connecticut Avenue Securities, Ser 2015-C04, Cl 1M2 | ||||||||
8.144%, ICE LIBOR USD 1 Month + 5.700%, 04/25/2028(B) | 104 | 108 |
350
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FNMA Connecticut Avenue Securities, Ser 2017-C04, Cl 2M2 | ||||||||
5.294%, ICE LIBOR USD 1 Month + 2.850%, 11/25/2029(B) | $ | 473 | $ | 476 | ||||
FNMA Connecticut Avenue Securities, Ser 2021-R02, Cl 2M2 | ||||||||
4.281%, SOFR30A + 2.000%, 11/25/2041(B)(C) | 469 | 419 | ||||||
FNMA TBA | ||||||||
3.000%, 10/15/2052 | 6,428 | 5,593 | ||||||
2.500%, 10/01/2042 | 7,470 | 6,266 | ||||||
GNMA CMO, Ser 2017-122, Cl SA, IO | ||||||||
3.186%, 08/20/2047(B) | 701 | 80 | ||||||
GNMA CMO, Ser 2017-134, Cl SE, IO | ||||||||
3.186%, 09/20/2047(B) | 587 | 56 | ||||||
28,167 | ||||||||
Non-Agency Mortgage-Backed Obligations — 1.8% | ||||||||
Alternative Loan Trust, Ser 2005-20CB, Cl 3A6 | ||||||||
5.500%, 07/25/2035 | 47 | 34 | ||||||
Alternative Loan Trust, Ser 2006-24CB, Cl A16 | ||||||||
5.750%, 08/25/2036 | 245 | 141 | ||||||
Alternative Loan Trust, Ser 2006-28CB, Cl A14 | ||||||||
6.250%, 10/25/2036 | 186 | 106 | ||||||
Alternative Loan Trust, Ser 2006-J1, Cl 1A13 | ||||||||
5.500%, 02/25/2036 | 106 | 77 | ||||||
AREIT Trust, Ser 2022-CRE6, Cl A | ||||||||
3.534%, SOFR30A + 1.250%, 01/16/2037(B)(C) | 1,359 | 1,300 | ||||||
Ashford Hospitality Trust, Ser 2018-KEYS, Cl A | ||||||||
3.818%, ICE LIBOR USD 1 Month + 1.000%, 06/15/2035(B)(C) | 526 | 509 | ||||||
BAMLL Commercial Mortgage Securities Trust, Ser 2013-WBRK, Cl D | ||||||||
3.652%, 03/10/2037(B)(C) | 365 | 310 | ||||||
BAMLL Commercial Mortgage Securities Trust, Ser 2017-SCH, Cl AF | ||||||||
3.818%, ICE LIBOR USD 1 Month + 1.000%, 11/15/2033(B)(C) | 1,610 | 1,517 | ||||||
BBCMS Mortgage Trust, Ser 2020-BID, Cl A | ||||||||
4.958%, ICE LIBOR USD 1 Month + 2.140%, 10/15/2037(B)(C) | 779 | 767 | ||||||
Bellemeade Re, Ser 2019-1A, Cl M1B | ||||||||
4.834%, ICE LIBOR USD 1 Month + 1.750%, 03/25/2029(B)(C) | 83 | 83 | ||||||
Bellemeade Re, Ser 2019-3A, Cl M1C | ||||||||
5.034%, ICE LIBOR USD 1 Month + 1.950%, 07/25/2029(B)(C) | 340 | 336 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Bellemeade Re, Ser 2019-3A, Cl M1B | ||||||||
4.684%, ICE LIBOR USD 1 Month + 1.600%, 07/25/2029(B)(C) | $ | 97 | $ | 97 | ||||
Bellemeade Re, Ser 2019-4A, Cl M1B | ||||||||
5.084%, ICE LIBOR USD 1 Month + 2.000%, 10/25/2029(B)(C) | 3 | 3 | ||||||
Bellemeade Re, Ser 2021-1A, Cl M1C | ||||||||
5.231%, SOFR30A + 2.950%, 03/25/2031(B)(C) | 437 | 422 | ||||||
Bellemeade Re, Ser 2021-2A, Cl M1B | ||||||||
3.781%, SOFR30A + 1.500%, 06/25/2031(B)(C) | 704 | 681 | ||||||
Bellemeade Re, Ser 2022-2, Cl M1A | ||||||||
6.285%, SOFR30A + 4.000%, 09/27/2032(B)(C) | 978 | 978 | ||||||
BFLD Trust, Ser 2021-FPM, Cl A | ||||||||
4.418%, ICE LIBOR USD 1 Month + 1.600%, 06/15/2038(B)(C) | 1,189 | 1,147 | ||||||
BX Commercial Mortgage Trust, Ser 2019-IMC, Cl E | ||||||||
4.968%, ICE LIBOR USD 1 Month + 2.150%, 04/15/2034(B)(C) | 656 | 618 | ||||||
BX Commercial Mortgage Trust, Ser 2019-IMC, Cl D | ||||||||
4.718%, ICE LIBOR USD 1 Month + 1.900%, 04/15/2034(B)(C) | 162 | 154 | ||||||
Chase Mortgage Finance Trust, Ser 2007-S5, Cl 1A17 | ||||||||
6.000%, 07/25/2037 | 88 | 43 | ||||||
CHL Mortgage Pass-Through Trust, Ser 2006-10, Cl 1A8 | ||||||||
6.000%, 05/25/2036 | 122 | 60 | ||||||
CHL Mortgage Pass-Through Trust, Ser 2006-13, Cl 1A19 | ||||||||
6.250%, 09/25/2036 | 60 | 28 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Cl D | ||||||||
4.563%, 04/10/2046(B)(C) | 343 | 325 | ||||||
CLNY Trust, Ser 2019-IKPR, Cl D | ||||||||
4.843%, ICE LIBOR USD 1 Month + 2.025%, 11/15/2038(B)(C) | 680 | 634 | ||||||
COMM Mortgage Trust, Ser 2010-C1, Cl D | ||||||||
5.985%, 07/10/2046(B)(C) | 696 | 679 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2013-SFS, Cl A1 | ||||||||
1.873%, 04/12/2035(C) | 32 | 32 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust, Ser 2006-AR4, Cl A2 | ||||||||
3.464%, ICE LIBOR USD 1 Month + 0.380%, 12/25/2036(B) | 340 | 126 | ||||||
Eagle RE, Ser 2020-1, Cl M1A | ||||||||
3.984%, ICE LIBOR USD 1 Month + 0.900%, 01/25/2030(B)(C) | 0 | 1 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
351
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Inflation Managed Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GS Mortgage Securities Trust, Ser 2011-GC5, Cl D | ||||||||
5.302%, 08/10/2044(B)(C) | $ | 13 | $ | 5 | ||||
GS Mortgage Securities Trust, Ser 2014-GC18, Cl D | ||||||||
5.225%, 01/10/2047(B)(C) | 271 | 112 | ||||||
GS Mortgage Securities Trust, Ser 2021-1, Cl A-1 | ||||||||
2.638%, 08/17/2026 | 26 | 24 | ||||||
2.435%, 08/17/2026 | 769 | 725 | ||||||
1.433%, 08/17/2026 | 298 | 276 | ||||||
HomeBanc Mortgage Trust, Ser 2005-1, Cl A1 | ||||||||
3.584%, ICE LIBOR USD 1 Month + 0.500%, 03/25/2035(B) | 61 | 51 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C22, Cl XA, IO | ||||||||
0.957%, 09/15/2047(B) | 16,136 | 183 | ||||||
JPMorgan Chase Bank, Ser 2019-CL1, Cl M3 | ||||||||
5.184%, ICE LIBOR USD 1 Month + 2.100%, 04/25/2047(B)(C) | 96 | 91 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C6, Cl AJ | ||||||||
5.452%, 09/15/2039(B) | 125 | 55 | ||||||
LSTAR Commercial Mortgage Trust, Ser 2016-4, Cl A2 | ||||||||
2.579%, 03/10/2049(C) | 283 | 281 | ||||||
Natixis Commercial Mortgage Securities Trust, Ser 2019-MILE, Cl A | ||||||||
4.318%, ICE LIBOR USD 1 Month + 1.500%, 07/15/2036(B)(C) | 313 | 308 | ||||||
PMT Credit Risk Transfer Trust, Ser 2019-2R, Cl A | ||||||||
5.243%, ICE LIBOR USD 1 Month + 2.750%, 05/27/2023(B)(C) | 299 | 287 | ||||||
PMT Credit Risk Transfer Trust, Ser 2019-3R, Cl A | ||||||||
5.193%, ICE LIBOR USD 1 Month + 2.700%, 10/27/2022(B)(C) | 35 | 34 | ||||||
PMT Credit Risk Transfer Trust, Ser 2020-1R, Cl A | ||||||||
4.843%, ICE LIBOR USD 1 Month + 2.350%, 02/27/2023(B)(C) | 120 | 114 | ||||||
Radnor RE, Ser 2019-1, Cl M1B | ||||||||
5.034%, ICE LIBOR USD 1 Month + 1.950%, 02/25/2029(B)(C) | 423 | 418 | ||||||
Radnor RE, Ser 2019-2, Cl M1B | ||||||||
4.834%, ICE LIBOR USD 1 Month + 1.750%, 06/25/2029(B)(C) | 80 | 80 | ||||||
Radnor RE, Ser 2020-1, Cl M1A | ||||||||
4.034%, ICE LIBOR USD 1 Month + 0.950%, 01/25/2030(B)(C) | 113 | 113 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Wells Fargo Commercial Mortgage Trust, Ser 2016-NXS6, Cl C | ||||||||
4.531%, 11/15/2049(B) | $ | 925 | $ | 824 | ||||
Wells Fargo Credit Risk Transfer Securities Trust, Ser 2015-WF1, Cl 2M2 | ||||||||
8.584%, ICE LIBOR USD 1 Month + 5.500%, 11/25/2025(B)(C) | 37 | 29 | ||||||
Wells Fargo Credit Risk Transfer Securities Trust, Ser 2015-WF1, Cl 1M2 | ||||||||
8.334%, ICE LIBOR USD 1 Month + 5.250%, 11/25/2025(B)(C) | 156 | 119 | ||||||
15,337 | ||||||||
Total Mortgage-Backed Securities | ||||||||
(Cost $46,825) ($ Thousands) | 43,504 | |||||||
ASSET-BACKED SECURITIES — 3.7% | ||||||||
Automotive — 1.4% | ||||||||
ACM Auto Trust, Ser 2022-1A, Cl A | ||||||||
3.230%, 04/20/2029(C) | 667 | 665 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2018-1A, Cl A | ||||||||
3.700%, 09/20/2024(C) | 930 | 922 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2018-2A, Cl A | ||||||||
4.000%, 03/20/2025(C) | 1,080 | 1,061 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2022-2A, Cl D | ||||||||
4.560%, 03/20/2024(C) | 937 | 933 | ||||||
Carvana Auto Receivables Trust, Ser 2021-N3, Cl C | ||||||||
1.020%, 06/12/2028 | 358 | 344 | ||||||
Carvana Auto Receivables Trust, Ser 2021-N4, Cl D | ||||||||
2.300%, 09/11/2028 | 347 | 319 | ||||||
Carvana Auto Receivables Trust, Ser 2021-P4, Cl D | ||||||||
2.610%, 09/11/2028 | 441 | 362 | ||||||
CPS Auto Receivables Trust, Ser 2022-A, Cl C | ||||||||
2.170%, 04/16/2029(C) | 611 | 566 | ||||||
FHF Trust, Ser 2021-2A, Cl A | ||||||||
0.830%, 12/15/2026(C) | 233 | 221 | ||||||
Ford Credit Auto Owner Trust, Ser 2021-1, Cl D | ||||||||
2.310%, 10/17/2033(C) | 605 | 521 | ||||||
Hertz Vehicle Financing III, Ser 2022-1A, Cl C | ||||||||
2.630%, 06/25/2026(C) | 620 | 554 |
352
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
LAD Auto Receivables Trust, Ser 2021-1A, Cl A | ||||||||
1.300%, 08/17/2026(C) | $ | 373 | $ | 360 | ||||
LAD Auto Receivables Trust, Ser 2022-1A, Cl A | ||||||||
5.210%, 06/15/2027(C) | 795 | 785 | ||||||
Research-Driven Pagaya Motor Asset Trust VII, Ser 2022-3A, Cl A | ||||||||
5.380%, 11/25/2030(C) | 852 | 841 | ||||||
Santander Bank Auto Credit-Linked Notes, Ser 2022-A, Cl B | ||||||||
5.281%, 05/15/2032(C) | 901 | 885 | ||||||
Santander Bank Auto Credit-Linked Notes, Ser 2022-B, Cl B | ||||||||
5.721%, 08/16/2032(C) | 910 | 911 | ||||||
Santander Consumer Auto Receivables Trust, Ser 2021-CA, Cl B | ||||||||
1.440%, 04/17/2028(C) | 57 | 56 | ||||||
United Auto Credit Securitization Trust, Ser 2022-2, Cl A | ||||||||
4.390%, 04/10/2025(C) | 779 | 775 | ||||||
11,081 | ||||||||
Credit Cards — 0.2% | ||||||||
Brex Commercial Charge Card Master Trust, Ser 2021-1, Cl A | ||||||||
2.090%, 07/15/2024(C) | 437 | 429 | ||||||
Brex Commercial Charge Card Master Trust, Ser 2022-1, Cl A | ||||||||
4.630%, 07/15/2025(C) | 1,010 | 978 | ||||||
Mission Lane Credit Card Master Trust, Ser 2021-A, Cl B | ||||||||
2.240%, 09/15/2026(C) | 175 | 169 | ||||||
1,576 | ||||||||
Other Asset-Backed Securities — 2.1% | ||||||||
AB Issuer, Ser 2021-1, Cl A2 | ||||||||
3.734%, 07/30/2051(C) | 834 | 684 | ||||||
Affirm Asset Securitization Trust, Ser 2021-Z1, Cl A | ||||||||
1.070%, 08/15/2025(C) | 170 | 165 | ||||||
Affirm Asset Securitization Trust, Ser 2021-Z2, Cl A | ||||||||
1.170%, 11/16/2026(C) | 188 | 181 | ||||||
Affirm Asset Securitization Trust, Ser 2022-X1, Cl A | ||||||||
1.750%, 02/15/2027(C) | 520 | 507 | ||||||
AGL CLO 12, Ser 2021-12A, Cl A1 | ||||||||
3.870%, ICE LIBOR USD 3 Month + 1.160%, 07/20/2034(B)(C) | 970 | 932 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Amur Equipment Finance Receivables XI, Ser 2022-2A, Cl A2 | ||||||||
5.300%, 06/21/2028(C) | $ | 351 | $ | 349 | ||||
Atalaya Equipment Leasing Trust, Ser 2021-1A, Cl B | ||||||||
2.080%, 02/15/2027(C) | 185 | 173 | ||||||
Balboa Bay Loan Funding, Ser 2021-1A, Cl A | ||||||||
3.910%, ICE LIBOR USD 3 Month + 1.200%, 07/20/2034(B)(C) | 589 | 566 | ||||||
Ballyrock CLO 15, Ser 2021-1A, Cl C | ||||||||
5.612%, ICE LIBOR USD 3 Month + 3.100%, 04/15/2034(B)(C) | 600 | 528 | ||||||
Ballyrock CLO 16, Ser 2021-16A, Cl A1 | ||||||||
3.840%, ICE LIBOR USD 3 Month + 1.130%, 07/20/2034(B)(C) | 1,222 | 1,168 | ||||||
Cajun Global, Ser 2021-1, Cl A2 | ||||||||
3.931%, 11/20/2051(C) | 183 | 156 | ||||||
College Ave Student Loans, Ser 2021-C, Cl B | ||||||||
2.720%, 07/26/2055(C) | 232 | 196 | ||||||
Conn's Receivables Funding, Ser 2021-A, Cl A | ||||||||
1.050%, 05/15/2026(C) | 232 | 232 | ||||||
Diamond Issuer, Ser 2021-1A, Cl A | ||||||||
2.305%, 11/20/2051(C) | 839 | 709 | ||||||
Domino's Pizza Master Issuer, Ser 2021-1A, Cl A2I | ||||||||
2.662%, 04/25/2051(C) | 458 | 377 | ||||||
Dryden 78 CLO, Ser 2020-78A, Cl C | ||||||||
4.690%, ICE LIBOR USD 3 Month + 1.950%, 04/17/2033(B)(C) | 620 | 558 | ||||||
Dryden 78 CLO, Ser 2020-78A, Cl D | ||||||||
5.740%, ICE LIBOR USD 3 Month + 3.000%, 04/17/2033(B)(C) | 320 | 279 | ||||||
Elevation CLO, Ser 2020-11A, Cl C | ||||||||
4.712%, ICE LIBOR USD 3 Month + 2.200%, 04/15/2033(B)(C) | 550 | 496 | ||||||
Elmwood CLO IX, Ser 2021-2A, Cl D | ||||||||
5.660%, ICE LIBOR USD 3 Month + 2.950%, 07/20/2034(B)(C) | 583 | 501 | ||||||
Flatiron CLO 21, Ser 2021-1A, Cl D | ||||||||
5.638%, ICE LIBOR USD 3 Month + 2.900%, 07/19/2034(B)(C) | 620 | 535 | ||||||
GCI Funding I, Ser 2021-1, Cl A | ||||||||
2.380%, 06/18/2046(C) | 292 | 249 | ||||||
Goldentree Loan Management US CLO 7, Ser 2021-7A, Cl AR | ||||||||
3.780%, ICE LIBOR USD 3 Month + 1.070%, 04/20/2034(B)(C) | 651 | 620 | ||||||
Hardee's Funding, Ser 2018-1A, Cl A23 | ||||||||
5.710%, 06/20/2048(C) | 384 | 351 | ||||||
Hardee's Funding, Ser 2020-1A, Cl A2 | ||||||||
3.981%, 12/20/2050(C) | 267 | 229 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
353
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Inflation Managed Fund (Continued)
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
HFX, Ser 2017-1A | ||||||||
3.647%, 03/15/2035 | 830 | $ | 762 | |||||
Magnetite XXVI, Ser 2021-26A, Cl A1R | ||||||||
3.903%, ICE LIBOR USD 3 Month + 1.120%, 07/25/2034(B)(C) | 1,127 | 1,081 | ||||||
MVW, Ser 2021-2A, Cl B | ||||||||
1.830%, 05/20/2039(C) | 381 | 340 | ||||||
Neighborly Issuer, Ser 2021-1A, Cl A2 | ||||||||
3.584%, 04/30/2051(C) | 325 | 269 | ||||||
Nelnet Student Loan Trust, Ser 2021-DA, Cl AFX | ||||||||
1.630%, 04/20/2062(C) | 242 | 219 | ||||||
Neuberger Berman Loan Advisers CLO 42, Ser 2021-42A, Cl A | ||||||||
3.840%, ICE LIBOR USD 3 Month + 1.100%, 07/16/2035(B)(C) | 1,141 | 1,091 | ||||||
Neuberger Berman Loan Advisers CLO 43, Ser 2021-43A, Cl A | ||||||||
3.870%, ICE LIBOR USD 3 Month + 1.130%, 07/17/2035(B)(C) | 690 | 660 | ||||||
OCP CLO, Ser 2021-18A, Cl AR | ||||||||
3.800%, ICE LIBOR USD 3 Month + 1.090%, 07/20/2032(B)(C) | 849 | 821 | ||||||
Octane Receivables Trust, Ser 2021-2A, Cl B | ||||||||
2.020%, 09/20/2028(C) | 636 | 568 | ||||||
Rad CLO 7, Ser 2020-7A, Cl C | ||||||||
4.740%, ICE LIBOR USD 3 Month + 2.000%, 04/17/2033(B)(C) | 280 | 254 | ||||||
SMB Private Education Loan Trust, Ser 2021-E, Cl A1A | ||||||||
1.680%, 02/15/2051(C) | 546 | 488 | ||||||
Upstart Securitization Trust, Ser 2020-3, Cl A | ||||||||
1.702%, 11/20/2030(C) | 15 | 15 | ||||||
Upstart Securitization Trust, Ser 2021-3, Cl B | ||||||||
1.660%, 07/20/2031(C) | 530 | 488 | ||||||
Voya CLO, Ser 2020-1A, Cl DR | ||||||||
5.362%, ICE LIBOR USD 3 Month + 2.850%, 04/15/2031(B)(C) | 250 | 215 | ||||||
18,012 | ||||||||
Total Asset-Backed Securities | ||||||||
(Cost $32,906) ($ Thousands) | 30,669 | |||||||
Description | Face Amount | Market Value | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.2% | ||||||||
FFCB | ||||||||
3.788%, US Treasury 3 Month Bill Money Market Yield + 0.420%, 11/07/2022(B) | $ | 1,200 | $ | 1,201 | ||||
3.420%, U.S. SOFR + 0.380%, 05/08/2023(B) | 7,900 | 7,916 | ||||||
3.350%, U.S. SOFR + 0.310%, 11/07/2022(B) | 2,500 | 2,501 | ||||||
3.175%, U.S. SOFR + 0.135%, 11/06/2023(B) | 2,000 | 2,002 | ||||||
3.100%, U.S. SOFR + 0.060%, 01/13/2023(B) | 1,400 | 1,400 | ||||||
3.080%, U.S. SOFR + 0.040%, 05/15/2024(B) | 300 | 300 | ||||||
3.065%, U.S. SOFR + 0.025%, 09/27/2023(B) | 600 | 600 | ||||||
0.300%, 09/01/2023 | 300 | 289 | ||||||
FHLB^ | ||||||||
0.620%, 02/26/2026 | 200 | 175 | ||||||
FHLMC | ||||||||
4.200%, 08/28/2025 | 700 | 692 | ||||||
0.400%, 05/24/2024 | 400 | 375 | ||||||
0.375%, 05/05/2023 | 1,000 | 978 | ||||||
0.375%, 07/21/2025 | 1,400 | 1,256 | ||||||
FNMA | ||||||||
3.875%, 08/28/2024 | 800 | 793 | ||||||
0.625%, 04/22/2025 | 1,300 | 1,185 | ||||||
0.500%, 06/17/2025 | 1,500 | 1,356 | ||||||
0.375%, 06/14/2024 | 700 | 652 | ||||||
0.250%, 05/22/2023 | 1,500 | 1,464 | ||||||
0.250%, 07/10/2023 | 1,100 | 1,067 | ||||||
0.250%, 11/27/2023 | 100 | 95 | ||||||
Total U.S. Government Agency Obligations | ||||||||
(Cost $26,895) ($ Thousands) | 26,297 | |||||||
MUNICIPAL BONDS — 0.1% | ||||||||
New York — 0.1% | ||||||||
City of New York, Ser D, GO | ||||||||
1.923%, 08/01/2031 | 535 | 411 | ||||||
Port Authority of New York & New Jersey, Ser AAA, RB | ||||||||
1.086%, 07/01/2023 | 515 | 502 | ||||||
913 | ||||||||
354
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Face Amount | Market Value | ||||||
MUNICIPAL BONDS (continued) | ||||||||
West Virginia — 0.0% | ||||||||
Tobacco Settlement Finance Authority, RB | ||||||||
3.000%, 06/01/2035 | $ | 222 | $ | 211 | ||||
Total Municipal Bonds | ||||||||
(Cost $1,273) ($ Thousands) | 1,124 | |||||||
SOVEREIGN DEBT — 0.1% | ||||||||
Colombia Government International Bond | ||||||||
3.125%, 04/15/2031 | $ | 225 | 156 | |||||
Dominican Republic International Bond | ||||||||
4.875%, 09/23/2032(C) | 923 | 694 | ||||||
Egypt Government International Bond MTN | ||||||||
5.875%, 02/16/2031(C) | 436 | 253 | ||||||
Total Sovereign Debt | ||||||||
(Cost $1,581) ($ Thousands) | 1,103 | |||||||
| ||||||||
FOREIGN COMMON STOCK — 0.1% | ||||||||
Cameroon — 0.0% | ||||||||
Golar LNG Ltd * | 3,370 | 84 | ||||||
Canada — 0.1% | ||||||||
AbCellera Biologics Inc * | 5,102 | 51 | ||||||
Brookfield Infrastructure Corp, Cl A | 972 | 40 | ||||||
SunOpta * | 6,200 | 56 | ||||||
147 | ||||||||
Chile — 0.0% | ||||||||
Liberty Latin America Ltd, Cl C * | 2,500 | 15 | ||||||
Ghana — 0.0% | ||||||||
Kosmos Energy Ltd * | 17,369 | 90 | ||||||
Monaco — 0.0% | ||||||||
Scorpio Tankers Inc | 1,362 | 57 | ||||||
Norway — 0.0% | ||||||||
FLEX LNG | 1,963 | 62 | ||||||
Total Foreign Common Stock | ||||||||
(Cost $301) ($ Thousands) | 455 | |||||||
Description | Market Value | |||||||
PURCHASED OPTIONS — 0.1% | ||||||||
Total Purchased Options | ||||||||
(Cost $547) ($ Thousands) | $ | 549 | ||||||
Total Investments in Securities — 110.8% | ||||||||
(Cost $890,786) ($ Thousands) | $ | 906,758 | ||||||
| ||||||||
COMMON STOCK SOLD SHORT— (12.5)% | ||||||||
Communication Services — (0.5)% | ||||||||
Altice USA Inc, Cl A * | (5,500 | ) | (32 | ) | ||||
Cable One Inc | (93 | ) | (79 | ) | ||||
Charter Communications Inc, Cl A * | (1,765 | ) | (535 | ) | ||||
Comcast Corp, Cl A | (68,962 | ) | (2,023 | ) | ||||
DISH Network Corp, Cl A * | (4,079 | ) | (56 | ) | ||||
Fox Corp, Cl A | (5,233 | ) | (161 | ) | ||||
Fox Corp, Cl B | (967 | ) | (28 | ) | ||||
Interpublic Group of Cos Inc/The | (3,486 | ) | (89 | ) | ||||
John Wiley & Sons Inc, Cl A | (190 | ) | (7 | ) | ||||
Liberty Broadband Corp, Cl A * | (500 | ) | (37 | ) | ||||
Liberty Broadband Corp, Cl C * | (2,049 | ) | (151 | ) | ||||
Liberty Media Corp-Liberty SiriusXM * | (4,160 | ) | (158 | ) | ||||
New York Times Co/The, Cl A | (2,458 | ) | (71 | ) | ||||
News Corp, Cl A | (2,410 | ) | (36 | ) | ||||
Nexstar Media Group Inc, Cl A | (441 | ) | (74 | ) | ||||
Omnicom Group Inc | (2,087 | ) | (132 | ) | ||||
Paramount Global, Cl B | (8,280 | ) | (158 | ) | ||||
TEGNA Inc | (2,770 | ) | (57 | ) | ||||
(3,884 | ) | |||||||
Consumer Discretionary — (8.6)% | ||||||||
Academy Sports & Outdoors Inc | (1,287 | ) | (54 | ) | ||||
Acushnet Holdings Corp | (1,967 | ) | (86 | ) | ||||
Adient PLC * | (5,989 | ) | (166 | ) | ||||
ADT Inc | (963 | ) | (7 | ) | ||||
Advance Auto Parts Inc | (816 | ) | (128 | ) | ||||
Airbnb Inc, Cl A * | (9,037 | ) | (949 | ) | ||||
Amazon.com Inc, Cl A * | (52,660 | ) | (5,951 | ) | ||||
American Axle & Manufacturing Holdings Inc * | (5,039 | ) | (34 | ) | ||||
American Eagle Outfitters Inc | (4,800 | ) | (47 | ) | ||||
Aptiv PLC * | (16,152 | ) | (1,263 | ) | ||||
Aramark | (4,866 | ) | (152 | ) | ||||
Asbury Automotive Group Inc * | (297 | ) | (45 | ) | ||||
AutoNation Inc * | (495 | ) | (50 | ) | ||||
AutoZone Inc * | (235 | ) | (503 | ) | ||||
Bath & Body Works Inc | (2,832 | ) | (92 | ) | ||||
Best Buy Co Inc | (2,854 | ) | (181 | ) | ||||
Bloomin' Brands Inc | (2,177 | ) | (40 | ) | ||||
Booking Holdings Inc * | (946 | ) | (1,554 | ) | ||||
Boot Barn Holdings Inc * | (594 | ) | (35 | ) | ||||
BorgWarner Inc | (15,079 | ) | (473 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
355
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Inflation Managed Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK SOLD SHORT (continued) | ||||||||
Boyd Gaming Corp | (1,752 | ) | $ | (83 | ) | |||
Bright Horizons Family Solutions Inc * | (1,269 | ) | (73 | ) | ||||
Brunswick Corp/DE | (3,122 | ) | (204 | ) | ||||
Burlington Stores Inc * | (648 | ) | (73 | ) | ||||
Caesars Entertainment Inc * | (4,502 | ) | (145 | ) | ||||
Canoo * | (8,500 | ) | (16 | ) | ||||
Capri Holdings Ltd * | (7,334 | ) | (282 | ) | ||||
CarMax Inc * | (1,781 | ) | (118 | ) | ||||
Carnival Corp * | (19,028 | ) | (134 | ) | ||||
Carter's Inc | (1,721 | ) | (113 | ) | ||||
Carvana Co, Cl A * | (412 | ) | (8 | ) | ||||
Cavco Industries Inc * | (451 | ) | (93 | ) | ||||
Century Communities Inc | (1,228 | ) | (53 | ) | ||||
Cheesecake Factory Inc/The | (1,800 | ) | (53 | ) | ||||
Chegg Inc * | (2,770 | ) | (58 | ) | ||||
Chipotle Mexican Grill Inc, Cl A * | (680 | ) | (1,022 | ) | ||||
Choice Hotels International Inc | (993 | ) | (109 | ) | ||||
Churchill Downs Inc | (984 | ) | (181 | ) | ||||
Columbia Sportswear Co | (2,066 | ) | (139 | ) | ||||
Cracker Barrel Old Country Store Inc | (500 | ) | (46 | ) | ||||
Crocs Inc * | (2,962 | ) | (203 | ) | ||||
Dana Inc | (8,738 | ) | (100 | ) | ||||
Darden Restaurants Inc | (2,910 | ) | (368 | ) | ||||
Dave & Buster's Entertainment Inc * | (1,100 | ) | (34 | ) | ||||
Deckers Outdoor Corp * | (1,333 | ) | (417 | ) | ||||
Dick's Sporting Goods Inc | (594 | ) | (62 | ) | ||||
Dollar General Corp | (2,538 | ) | (609 | ) | ||||
Dollar Tree Inc * | (2,419 | ) | (329 | ) | ||||
Domino's Pizza Inc | (844 | ) | (262 | ) | ||||
DoorDash Inc, Cl A * | (2,948 | ) | (146 | ) | ||||
Dorman Products Inc * | (1,815 | ) | (149 | ) | ||||
DR Horton Inc | (15,405 | ) | (1,038 | ) | ||||
DraftKings Inc, Cl A * | (9,240 | ) | (140 | ) | ||||
Duolingo, Cl A * | (193 | ) | (18 | ) | ||||
eBay Inc | (4,920 | ) | (181 | ) | ||||
Ethan Allen Interiors Inc | (2,300 | ) | (49 | ) | ||||
Etsy Inc * | (1,074 | ) | (108 | ) | ||||
Everi Holdings Inc * | (2,000 | ) | (32 | ) | ||||
Expedia Group Inc * | (3,605 | ) | (338 | ) | ||||
Fisker * | (5,542 | ) | (42 | ) | ||||
Five Below Inc * | (392 | ) | (54 | ) | ||||
Floor & Decor Holdings Inc, Cl A * | (1,179 | ) | (83 | ) | ||||
Foot Locker Inc, Cl A | (1,300 | ) | (40 | ) | ||||
Ford Motor Co | (235,571 | ) | (2,638 | ) | ||||
Fox Factory Holding Corp * | (2,272 | ) | (180 | ) | ||||
Frontdoor Inc * | (1,463 | ) | (30 | ) | ||||
GameStop Corp, Cl A * | (1,574 | ) | (40 | ) | ||||
Garmin Ltd | (7,277 | ) | (584 | ) | ||||
General Motors Co | (88,325 | ) | (2,834 | ) | ||||
Gentex Corp | (13,496 | ) | (322 | ) | ||||
Gentherm Inc * | (1,655 | ) | (82 | ) | ||||
Genuine Parts Co | (1,896 | ) | (283 | ) |
Description | Shares | Market Value | ||||||
COMMON STOCK SOLD SHORT (continued) | ||||||||
G-III Apparel Group Ltd * | (2,800 | ) | $ | (42 | ) | |||
Goodyear Tire & Rubber Co/The * | (17,138 | ) | (173 | ) | ||||
GoPro Inc, Cl A * | (5,900 | ) | (29 | ) | ||||
Graham Holdings Co, Cl B | (198 | ) | (107 | ) | ||||
Grand Canyon Education Inc * | (549 | ) | (45 | ) | ||||
Group 1 Automotive Inc | (297 | ) | (42 | ) | ||||
H&R Block Inc | (3,165 | ) | (135 | ) | ||||
Hanesbrands Inc | (14,582 | ) | (101 | ) | ||||
Harley-Davidson Inc, Cl A | (7,728 | ) | (270 | ) | ||||
Hasbro Inc | (5,811 | ) | (392 | ) | ||||
Helen of Troy Ltd * | (750 | ) | (72 | ) | ||||
Hilton Grand Vacations Inc * | (172 | ) | (6 | ) | ||||
Hilton Worldwide Holdings Inc | (6,493 | ) | (783 | ) | ||||
Holley * | (5,245 | ) | (21 | ) | ||||
Home Depot Inc/The | (12,266 | ) | (3,385 | ) | ||||
Hyatt Hotels Corp, Cl A * | (885 | ) | (72 | ) | ||||
Installed Building Products Inc | (1,059 | ) | (86 | ) | ||||
International Game Technology PLC | (1,900 | ) | (30 | ) | ||||
iRobot * | (924 | ) | (52 | ) | ||||
Jack in the Box Inc | (613 | ) | (45 | ) | ||||
KB Home | (2,870 | ) | (74 | ) | ||||
Kohl's Corp | (1,484 | ) | (37 | ) | ||||
Kontoor Brands Inc | (2,345 | ) | (79 | ) | ||||
Las Vegas Sands Corp * | (8,021 | ) | (301 | ) | ||||
La-Z-Boy Inc, Cl Z | (1,758 | ) | (40 | ) | ||||
LCI Industries | (1,581 | ) | (160 | ) | ||||
Lear Corp | (3,393 | ) | (406 | ) | ||||
Leggett & Platt Inc | (6,955 | ) | (231 | ) | ||||
Lennar Corp, Cl A | (12,305 | ) | (917 | ) | ||||
Lennar Corp, Cl B | (693 | ) | (41 | ) | ||||
LGI Homes Inc * | (754 | ) | (61 | ) | ||||
Light & Wonder Inc, Cl A * | (3,019 | ) | (129 | ) | ||||
Lithia Motors Inc, Cl A | (393 | ) | (84 | ) | ||||
LKQ Corp | (3,034 | ) | (143 | ) | ||||
Lowe's Cos Inc | (7,855 | ) | (1,475 | ) | ||||
Lucid Group Inc * | (29,800 | ) | (416 | ) | ||||
Lululemon Athletica Inc * | (4,997 | ) | (1,397 | ) | ||||
Luminar Technologies, Cl A * | (14,349 | ) | (105 | ) | ||||
M/I Homes Inc * | (1,906 | ) | (69 | ) | ||||
Macy's Inc | (5,015 | ) | (79 | ) | ||||
Malibu Boats Inc, Cl A * | (1,377 | ) | (66 | ) | ||||
Marriott International Inc/MD, Cl A | (7,021 | ) | (984 | ) | ||||
Marriott Vacations Worldwide Corp | (1,151 | ) | (140 | ) | ||||
Mattel Inc * | (16,191 | ) | (307 | ) | ||||
McDonald's Corp | (17,783 | ) | (4,103 | ) | ||||
MDC Holdings Inc | (2,346 | ) | (64 | ) | ||||
Meritage Homes Corp * | (1,374 | ) | (97 | ) | ||||
MGM Resorts International | (7,734 | ) | (230 | ) | ||||
Mohawk Industries Inc * | (2,522 | ) | (230 | ) | ||||
Movado Group Inc | (1,700 | ) | (48 | ) | ||||
Murphy USA Inc | (95 | ) | (26 | ) | ||||
Newell Brands Inc, Cl B | (15,051 | ) | (209 | ) |
356
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK SOLD SHORT (continued) | ||||||||
NIKE Inc, Cl B | (56,270 | ) | $ | (4,677 | ) | |||
Norwegian Cruise Line Holdings Ltd * | (7,008 | ) | (80 | ) | ||||
NVR Inc * | (139 | ) | (554 | ) | ||||
O'Reilly Automotive Inc * | (719 | ) | (506 | ) | ||||
Oxford Industries Inc, Cl A | (495 | ) | (44 | ) | ||||
Papa John's International Inc, Cl A | (533 | ) | (37 | ) | ||||
Patrick Industries Inc | (990 | ) | (43 | ) | ||||
Peloton Interactive Inc, Cl A * | (8,332 | ) | (58 | ) | ||||
Penn EntertainmentInc * | (4,869 | ) | (134 | ) | ||||
Penske Automotive Group Inc, Cl A | (190 | ) | (19 | ) | ||||
Planet Fitness Inc, Cl A * | (1,468 | ) | (85 | ) | ||||
Polaris Inc | (2,669 | ) | (255 | ) | ||||
Pool Corp | (512 | ) | (163 | ) | ||||
PulteGroup Inc | (10,456 | ) | (392 | ) | ||||
PVH Corp | (2,904 | ) | (130 | ) | ||||
QuantumScape Corp, Cl A * | (15,139 | ) | (127 | ) | ||||
Ralph Lauren Corp, Cl A | (2,213 | ) | (188 | ) | ||||
Red Rock Resorts Inc, Cl A | (1,188 | ) | (41 | ) | ||||
RH * | (158 | ) | (39 | ) | ||||
Rivian Automotive Inc, Cl A * | (10,108 | ) | (333 | ) | ||||
Ross Stores Inc | (4,089 | ) | (345 | ) | ||||
Royal Caribbean Cruises Ltd * | (5,369 | ) | (203 | ) | ||||
SeaWorld Entertainment Inc * | (891 | ) | (41 | ) | ||||
Service Corp International/US | (2,058 | ) | (119 | ) | ||||
Shake Shack Inc, Cl A * | (1,100 | ) | (49 | ) | ||||
Signet Jewelers Ltd | (693 | ) | (40 | ) | ||||
Skechers USA Inc, Cl A * | (6,301 | ) | (200 | ) | ||||
Skyline Champion Corp * | (2,010 | ) | (106 | ) | ||||
Smith & Wesson Brands Inc | (4,100 | ) | (43 | ) | ||||
Sonos Inc * | (5,181 | ) | (72 | ) | ||||
Standard Motor Products Inc | (1,183 | ) | (38 | ) | ||||
Starbucks Corp | (27,424 | ) | (2,311 | ) | ||||
Steven Madden Ltd | (3,637 | ) | (97 | ) | ||||
Stoneridge Inc * | (1,630 | ) | (28 | ) | ||||
Strategic Education Inc | (100 | ) | (6 | ) | ||||
Stride Inc * | (100 | ) | (4 | ) | ||||
Sturm Ruger & Co Inc | (191 | ) | (10 | ) | ||||
Tapestry Inc | (12,617 | ) | (359 | ) | ||||
Target Corp, Cl A | (5,230 | ) | (776 | ) | ||||
Taylor Morrison Home Corp, Cl A * | (5,250 | ) | (122 | ) | ||||
Tempur Sealy International Inc | (8,007 | ) | (193 | ) | ||||
Tenneco Inc, Cl A * | (5,936 | ) | (103 | ) | ||||
Terminix Global Holdings Inc * | (2,599 | ) | (100 | ) | ||||
Tesla Inc * | (24,659 | ) | (6,541 | ) | ||||
Texas Roadhouse Inc, Cl A | (1,796 | ) | (157 | ) | ||||
Thor Industries Inc | (3,261 | ) | (228 | ) | ||||
TJX Cos Inc/The | (15,024 | ) | (933 | ) | ||||
Toll Brothers Inc | (5,049 | ) | (212 | ) | ||||
TopBuild Corp * | (1,355 | ) | (223 | ) | ||||
Topgolf Callaway Brands Corp * | (5,635 | ) | (109 | ) | ||||
Tractor Supply Co | (1,296 | ) | (241 | ) | ||||
Tri Pointe Homes Inc * | (3,726 | ) | (56 | ) |
Description | Shares | Market Value | ||||||
COMMON STOCK SOLD SHORT (continued) | ||||||||
Ulta Beauty Inc * | (477 | ) | $ | (191 | ) | |||
Under Armour Inc, Cl A * | (7,830 | ) | (52 | ) | ||||
Under Armour Inc, Cl C * | (6,936 | ) | (41 | ) | ||||
Vail Resorts Inc | (1,128 | ) | (243 | ) | ||||
VF Corp | (15,265 | ) | (457 | ) | ||||
Vista Outdoor Inc * | (2,300 | ) | (56 | ) | ||||
Visteon Corp * | (1,690 | ) | (179 | ) | ||||
Vizio Holding, Cl A * | (5,100 | ) | (45 | ) | ||||
Wayfair Inc, Cl A * | (576 | ) | (19 | ) | ||||
Wendy's Co/The | (3,860 | ) | (72 | ) | ||||
Whirlpool Corp | (2,424 | ) | (327 | ) | ||||
Williams-Sonoma Inc | (710 | ) | (84 | ) | ||||
Wingstop Inc, Cl A | (589 | ) | (74 | ) | ||||
Winnebago Industries | (1,862 | ) | (99 | ) | ||||
Wolverine World Wide Inc | (4,665 | ) | (72 | ) | ||||
Wyndham Hotels & Resorts Inc | (1,458 | ) | (89 | ) | ||||
Wynn Resorts Ltd * | (2,899 | ) | (183 | ) | ||||
XPEL Inc * | (971 | ) | (63 | ) | ||||
YETI Holdings Inc * | (4,000 | ) | (114 | ) | ||||
Yum! Brands Inc | (6,875 | ) | (731 | ) | ||||
(70,405 | ) | |||||||
Information Technology — (2.2)% | ||||||||
Advanced Micro Devices Inc * | (9,703 | ) | (615 | ) | ||||
Amphenol Corp, Cl A | (3,313 | ) | (222 | ) | ||||
Analog Devices Inc | (3,656 | ) | (509 | ) | ||||
Apple Inc | (42,733 | ) | (5,906 | ) | ||||
Applied Materials Inc | (5,036 | ) | (413 | ) | ||||
Arista Networks Inc * | (1,187 | ) | (134 | ) | ||||
Arrow Electronics Inc, Cl A * | (592 | ) | (55 | ) | ||||
Avnet Inc | (1,377 | ) | (50 | ) | ||||
Broadcom Inc | (2,201 | ) | (977 | ) | ||||
CDW Corp/DE | (694 | ) | (108 | ) | ||||
Ciena Corp * | (1,089 | ) | (44 | ) | ||||
Cirrus Logic Inc * | (1,000 | ) | (69 | ) | ||||
Cisco Systems Inc | (23,726 | ) | (949 | ) | ||||
Cognex Corp | (1,057 | ) | (44 | ) | ||||
Coherent Corp * | (747 | ) | (26 | ) | ||||
Corning Inc, Cl B | (3,836 | ) | (111 | ) | ||||
Dell Technologies Inc, Cl C | (1,400 | ) | (48 | ) | ||||
Enphase Energy Inc * | (817 | ) | (227 | ) | ||||
Entegris Inc | (1,194 | ) | (99 | ) | ||||
First Solar Inc * | (500 | ) | (66 | ) | ||||
Hewlett Packard Enterprise Co | (6,641 | ) | (80 | ) | ||||
HP Inc | (5,936 | ) | (148 | ) | ||||
Intel Corp | (26,803 | ) | (691 | ) | ||||
Jabil Inc | (722 | ) | (42 | ) | ||||
Juniper Networks Inc | (2,752 | ) | (72 | ) | ||||
Keysight Technologies Inc * | (537 | ) | (84 | ) | ||||
KLA Corp | (905 | ) | (274 | ) | ||||
Lam Research Corp | (914 | ) | (335 | ) | ||||
Lattice Semiconductor Corp * | (891 | ) | (44 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
357
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Inflation Managed Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK SOLD SHORT (continued) | ||||||||
Littelfuse Inc | (100 | ) | $ | (20 | ) | |||
Lumentum Holdings Inc * | (495 | ) | (34 | ) | ||||
Marvell Technology Inc | (5,805 | ) | (249 | ) | ||||
Microchip Technology Inc | (3,033 | ) | (185 | ) | ||||
Micron Technology Inc | (6,430 | ) | (322 | ) | ||||
MKS Instruments Inc | (471 | ) | (39 | ) | ||||
Monolithic Power Systems Inc | (227 | ) | (82 | ) | ||||
Motorola Solutions Inc | (638 | ) | (143 | ) | ||||
National Instruments Corp | (100 | ) | (4 | ) | ||||
NetApp Inc | (938 | ) | (58 | ) | ||||
NVIDIA Corp | (14,547 | ) | (1,766 | ) | ||||
ON Semiconductor Corp * | (2,874 | ) | (179 | ) | ||||
Pure Storage Inc, Cl A * | (1,188 | ) | (32 | ) | ||||
Qorvo Inc * | (456 | ) | (36 | ) | ||||
QUALCOMM Inc | (6,698 | ) | (757 | ) | ||||
Rogers Corp * | (100 | ) | (24 | ) | ||||
Silicon Laboratories Inc * | (400 | ) | (49 | ) | ||||
Skyworks Solutions Inc | (1,189 | ) | (101 | ) | ||||
Synaptics Inc * | (297 | ) | (29 | ) | ||||
Teledyne Technologies Inc * | (98 | ) | (33 | ) | ||||
Teradyne Inc | (717 | ) | (54 | ) | ||||
Texas Instruments Inc | (5,309 | ) | (822 | ) | ||||
Trimble Inc * | (1,906 | ) | (103 | ) | ||||
Universal Display Corp | (495 | ) | (47 | ) | ||||
Western Digital Corp * | (1,658 | ) | (54 | ) | ||||
Wolfspeed Inc * | (593 | ) | (61 | ) | ||||
Zebra Technologies Corp, Cl A * | (257 | ) | (67 | ) | ||||
(17,792 | ) | |||||||
Materials — (1.2)% | ||||||||
Air Products and Chemicals Inc | (2,767 | ) | (644 | ) | ||||
Albemarle Corp | (1,438 | ) | (380 | ) | ||||
Alcoa Corp | (1,753 | ) | (59 | ) | ||||
Amcor PLC | (17,383 | ) | (187 | ) | ||||
AptarGroup Inc | (885 | ) | (84 | ) | ||||
Arconic * | (1,781 | ) | (30 | ) | ||||
Ashland Inc | (185 | ) | (18 | ) | ||||
ATI Inc * | (386 | ) | (10 | ) | ||||
Avery Dennison Corp | (713 | ) | (116 | ) | ||||
Avient Corp | (1,287 | ) | (39 | ) | ||||
Axalta Coating Systems Ltd * | (2,484 | ) | (52 | ) | ||||
Ball Corp | (4,034 | ) | (195 | ) | ||||
Berry Global Group Inc * | (2,068 | ) | (96 | ) | ||||
Cabot Corp | (284 | ) | (18 | ) | ||||
Celanese Corp, Cl A | (1,349 | ) | (122 | ) | ||||
CF Industries Holdings Inc | (2,499 | ) | (241 | ) | ||||
Chemours Co/The | (2,262 | ) | (56 | ) | ||||
Cleveland-Cliffs Inc * | (7,594 | ) | (102 | ) | ||||
Commercial Metals Co, Cl A | (1,317 | ) | (47 | ) | ||||
Constellium, Cl A * | (2,968 | ) | (30 | ) | ||||
Corteva Inc | (8,090 | ) | (462 | ) | ||||
Crown Holdings Inc | (1,234 | ) | (100 | ) |
Description | Shares | Market Value | ||||||
COMMON STOCK SOLD SHORT (continued) | ||||||||
Dow Inc | (8,930 | ) | $ | (392 | ) | |||
DuPont de Nemours Inc | (6,581 | ) | (332 | ) | ||||
Eagle Materials Inc | (495 | ) | (53 | ) | ||||
Eastman Chemical Co | (1,467 | ) | (104 | ) | ||||
Ecolab Inc | (3,068 | ) | (443 | ) | ||||
Element Solutions Inc | (4,129 | ) | (67 | ) | ||||
FMC Corp | (1,399 | ) | (148 | ) | ||||
Freeport-McMoRan Inc, Cl B | (17,889 | ) | (489 | ) | ||||
Graphic Packaging Holding Co | (2,533 | ) | (50 | ) | ||||
HB Fuller Co | (990 | ) | (59 | ) | ||||
Hecla Mining Co | (10,392 | ) | (41 | ) | ||||
Huntsman Corp | (2,272 | ) | (56 | ) | ||||
Ingevity Corp * | (800 | ) | (49 | ) | ||||
International Flavors & Fragrances Inc | (2,454 | ) | (223 | ) | ||||
International Paper Co | (5,130 | ) | (163 | ) | ||||
Livent Corp * | (2,078 | ) | (64 | ) | ||||
Louisiana-Pacific Corp | (1,205 | ) | (62 | ) | ||||
LyondellBasell Industries NV, Cl A | (3,460 | ) | (260 | ) | ||||
Martin Marietta Materials Inc, Cl A | (658 | ) | (212 | ) | ||||
Minerals Technologies Inc | (990 | ) | (49 | ) | ||||
Mosaic Co/The | (5,157 | ) | (249 | ) | ||||
MP Materials Corp * | (400 | ) | (11 | ) | ||||
Newmont Corp | (9,549 | ) | (401 | ) | ||||
Nucor Corp | (3,508 | ) | (375 | ) | ||||
O-I Glass Inc, Cl I * | (554 | ) | (7 | ) | ||||
Olin Corp | (2,066 | ) | (89 | ) | ||||
Packaging Corp of America | (887 | ) | (100 | ) | ||||
PPG Industries Inc | (2,813 | ) | (311 | ) | ||||
Reliance Steel & Aluminum Co | (707 | ) | (123 | ) | ||||
Royal Gold Inc, Cl A | (795 | ) | (75 | ) | ||||
RPM International Inc | (1,492 | ) | (124 | ) | ||||
Scotts Miracle-Gro Co/The, Cl A | (594 | ) | (25 | ) | ||||
Sealed Air Corp | (1,625 | ) | (72 | ) | ||||
Sherwin-Williams Co/The, Cl A | (2,762 | ) | (566 | ) | ||||
Sonoco Products Co | (1,187 | ) | (67 | ) | ||||
Steel Dynamics Inc | (2,110 | ) | (150 | ) | ||||
Summit Materials Inc, Cl A * | (1,583 | ) | (38 | ) | ||||
Sylvamo Corp | (1,200 | ) | (41 | ) | ||||
Tronox Holdings | (2,473 | ) | (30 | ) | ||||
United States Steel Corp | (2,947 | ) | (53 | ) | ||||
Valvoline Inc | (1,781 | ) | (45 | ) | ||||
Vulcan Materials Co | (1,386 | ) | (219 | ) | ||||
Warrior Met Coal Inc | (1,700 | ) | (48 | ) | ||||
Westlake Corp | (594 | ) | (52 | ) | ||||
Westrock Co | (3,818 | ) | (118 | ) | ||||
(9,793 | ) | |||||||
Total Common Stock Sold Short | ||||||||
(Proceeds $123,065) ($ Thousands) | (101,874 | ) | ||||||
358
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK SOLD SHORT —(0.2)% | ||||||||
United Kingdom — (0.2)% | ||||||||
Linde PLC | (5,895 | ) | $ | (1,589 | ) | |||
Total Foreign Common Stock Sold Short | ||||||||
(Proceeds $1,606) ($ Thousands) | (1,589 | ) | ||||||
Total Investments Sold Short — (12.7)% | ||||||||
(Proceeds $124,671) ($ Thousands) | $ | (103,463 | ) | |||||
WRITTEN OPTIONS — (0.1)% | ||||||||
Total Written Options | ||||||||
(Premiums Received $566) ($ Thousands) | $ | (586 | ) | |||||
A list of open exchange traded options contracts for the Fund at September 30, 2022, is as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||
PURCHASED OPTIONS — 0.0% | ||||||||||||||||||||
Call Options | ||||||||||||||||||||
January 2023, Crude Oil Future | 108 | $ | 9,180 | $ | 85.00 | 12/17/2022 | $ | 544 | ||||||||||||
October 2022, Zinc LME Future | 9 | 698 | 3,100.00 | 10/22/2022 | 5 | |||||||||||||||
Total Purchased Options | $ | 9,878 | $ | 549 | ||||||||||||||||
WRITTEN OPTIONS — 0.0% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
January 2023, Crude Oil Future | (18 | ) | $ | (1,440 | ) | 80.00 | 12/17/22 | $ | (163 | ) | ||||||||||
October 2022, Zinc LME Future | (9 | ) | (698 | ) | 3,100.00 | 10/22/22 | (23 | ) | ||||||||||||
$ | (2,138 | ) | $ | (186 | ) | |||||||||||||||
Call Options | ||||||||||||||||||||
January 2023, Crude Oil Future | (108 | ) | $ | (9,720 | ) | 90.00 | 12/17/22 | $ | (400 | ) | ||||||||||
Total Written Options | $ | (11,858 | ) | $ | (586 | ) | ||||||||||||||
A list of the open futures contracts held by the Fund at September 30, 2022, is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Brent Crude^ | 22 | Apr-2023 | $ | 1,962 | $ | 1,732 | $ | (230 | ) | |||||||||||
Brent Crude^ | 39 | Dec-2022 | 3,619 | 3,257 | (362 | ) | ||||||||||||||
Brent Crude^ | 13 | Feb-2023 | 1,041 | 1,049 | 8 | |||||||||||||||
Brent Crude^ | 11 | Feb-2023 | 1,093 | 888 | (205 | ) | ||||||||||||||
Brent Crude^ | 11 | Jun-2023 | 938 | 851 | (87 | ) | ||||||||||||||
Coffee C^ | 1 | Dec-2022 | 82 | 83 | 1 | |||||||||||||||
Coffee C^ | 8 | May-2023 | 636 | 623 | (13 | ) | ||||||||||||||
Coffee C^ | 8 | Mar-2023 | 630 | 638 | 8 | |||||||||||||||
Coffee C^ | 13 | Mar-2023 | 1,040 | 1,036 | (3 | ) | ||||||||||||||
Copper^ | 11 | Dec-2022 | 903 | 938 | 35 | |||||||||||||||
Copper^ | 12 | May-2023 | 1,076 | 1,014 | (62 | ) | ||||||||||||||
Copper^ | 12 | Apr-2023 | 1,045 | 1,018 | (27 | ) | ||||||||||||||
Corn^ | 45 | May-2023 | 1,464 | 1,540 | 76 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
359
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Inflation Managed Fund (Continued)
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Corn^ | 45 | Mar-2023 | $ | 1,431 | $ | 1,539 | $ | 108 | ||||||||||||
Corn^ | 12 | Dec-2022 | 373 | 407 | 34 | |||||||||||||||
Cotton No. 2^ | 53 | Dec-2022 | 2,734 | 2,262 | (472 | ) | ||||||||||||||
Cotton No. 2^ | 30 | Mar-2023 | 1,356 | 1,252 | (104 | ) | ||||||||||||||
Cotton No. 2^ | 7 | May-2023 | 343 | 287 | (56 | ) | ||||||||||||||
Feeder Cattle^ | 10 | Jan-2023 | 897 | 878 | (19 | ) | ||||||||||||||
Gasoline^ | 22 | Jan-2023 | 2,045 | 2,067 | 22 | |||||||||||||||
Gasoline^ | 16 | Nov-2022 | 1,560 | 1,593 | 32 | |||||||||||||||
Gasoline^ | 3 | Jan-2023 | 359 | 282 | (77 | ) | ||||||||||||||
Gasoline^ | 3 | Mar-2023 | 322 | 280 | (42 | ) | ||||||||||||||
Gasoline^ | 5 | Apr-2023 | 540 | 502 | (38 | ) | ||||||||||||||
Gasoline^ | 8 | Nov-2022 | 847 | 796 | (51 | ) | ||||||||||||||
Gold^ | 10 | Feb-2023 | 1,741 | 1,685 | (56 | ) | ||||||||||||||
Gold^ | 21 | Apr-2023 | 3,791 | 3,566 | (225 | ) | ||||||||||||||
Gold^ | 10 | Jul-2023 | 1,761 | 1,712 | (49 | ) | ||||||||||||||
Gold^ | 13 | Dec-2022 | 2,254 | 2,174 | (80 | ) | ||||||||||||||
KC HRW Wheat^ | 23 | Dec-2022 | 1,065 | 1,140 | 75 | |||||||||||||||
KC HRW Wheat^ | 11 | May-2023 | 490 | 539 | 48 | |||||||||||||||
KC HRW Wheat^ | 55 | Mar-2023 | 2,532 | 2,709 | 178 | |||||||||||||||
Lean Hogs^ | 12 | Apr-2023 | 447 | 409 | (38 | ) | ||||||||||||||
Lean Hogs^ | 5 | Jun-2023 | 205 | 193 | (12 | ) | ||||||||||||||
Lean Hogs^ | 13 | Dec-2022 | 437 | 396 | (41 | ) | ||||||||||||||
Lean Hogs^ | 6 | Feb-2023 | 217 | 191 | (26 | ) | ||||||||||||||
Live Cattle^ | 15 | May-2023 | 940 | 926 | (14 | ) | ||||||||||||||
Live Cattle^ | 8 | Mar-2023 | 487 | 482 | (5 | ) | ||||||||||||||
Live Cattle^ | 7 | Dec-2022 | 411 | 412 | 1 | |||||||||||||||
Live Cattle^ | 8 | Jul-2023 | 495 | 483 | (12 | ) | ||||||||||||||
LME Lead^ | 30 | Dec-2022 | 1,528 | 1,433 | (96 | ) | ||||||||||||||
LME Lead^ | 20 | Nov-2022 | 1,046 | 957 | (89 | ) | ||||||||||||||
LME Nickel^ | 1 | Nov-2022 | 156 | 126 | (30 | ) | ||||||||||||||
LME Nickel^ | 3 | Mar-2023 | 395 | 382 | (13 | ) | ||||||||||||||
LME Nickel^ | 5 | May-2023 | 687 | 642 | (46 | ) | ||||||||||||||
LME Nickel^ | 12 | Dec-2022 | 1,598 | 1,519 | (80 | ) | ||||||||||||||
LME Nickel^ | 3 | Jan-2023 | 469 | 380 | (88 | ) | ||||||||||||||
LME Primary Aluminum^ | 14 | May-2023 | 838 | 771 | (68 | ) | ||||||||||||||
LME Primary Aluminum^ | 7 | Mar-2023 | 416 | 382 | (33 | ) | ||||||||||||||
LME Primary Aluminum^ | 7 | Jan-2023 | 445 | 380 | (65 | ) | ||||||||||||||
LME Primary Aluminum^ | 5 | Nov-2022 | 318 | 269 | (49 | ) | ||||||||||||||
LME Zinc^ | 21 | Dec-2022 | 1,579 | 1,566 | (13 | ) | ||||||||||||||
LME Zinc^ | 4 | Jan-2023 | 314 | 296 | (18 | ) | ||||||||||||||
LME Zinc^ | 4 | Mar-2023 | 310 | 292 | (18 | ) | ||||||||||||||
LME Zinc^ | 9 | May-2023 | 724 | 646 | (78 | ) | ||||||||||||||
LME Zinc^ | 8 | Nov-2022 | 642 | 600 | (42 | ) | ||||||||||||||
Low Sulphur Gasoil^ | 12 | Nov-2022 | 1,143 | 1,130 | (13 | ) | ||||||||||||||
Low Sulphur Gasoil^ | 10 | May-2023 | 899 | 830 | (69 | ) | ||||||||||||||
Low Sulphur Gasoil^ | 5 | Mar-2023 | 471 | 428 | (42 | ) | ||||||||||||||
Low Sulphur Gasoil^ | 5 | Jan-2023 | 554 | 444 | (110 | ) | ||||||||||||||
Low Sulphur Gasoil^ | 15 | Dec-2022 | 1,319 | 1,353 | 35 | |||||||||||||||
Natural Gas^ | 39 | Apr-2023 | 1,888 | 1,866 | (22 | ) | ||||||||||||||
Natural Gas^ | 26 | Dec-2022 | 1,918 | 1,884 | (34 | ) | ||||||||||||||
Natural Gas^ | 106 | Oct-2022 | 8,311 | 7,172 | (1,139 | ) | ||||||||||||||
Natural Gas^ | 62 | Feb-2023 | 3,732 | 3,737 | 5 | |||||||||||||||
NY Harbor ULSD^ | 3 | Jan-2023 | 415 | 387 | (28 | ) | ||||||||||||||
NY Harbor ULSD^ | 9 | Dec-2022 | 1,167 | 1,182 | 15 | |||||||||||||||
NY Harbor ULSD^ | 3 | Mar-2023 | 406 | 371 | (35 | ) | ||||||||||||||
NY Harbor ULSD^ | 6 | May-2023 | 759 | 708 | (52 | ) | ||||||||||||||
NY Harbor ULSD^ | 5 | Nov-2022 | 689 | 677 | (13 | ) | ||||||||||||||
NYMEX Cocoa^ | 8 | Dec-2022 | 186 | 188 | 3 |
360
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Palladium^ | 5 | Dec-2022 | $ | 1,047 | $ | 1,091 | $ | 45 | ||||||||||||
Platinum^ | 43 | Jan-2023 | 1,876 | 1,847 | (29 | ) | ||||||||||||||
Silver^ | 13 | Apr-2023 | 1,204 | 1,247 | 43 | |||||||||||||||
Silver^ | 10 | Apr-2023 | 964 | 959 | (5 | ) | ||||||||||||||
Silver^ | 10 | May-2023 | 1,008 | 965 | (43 | ) | ||||||||||||||
Soybean^ | 54 | Nov-2022 | 3,900 | 3,685 | (215 | ) | ||||||||||||||
Soybean^ | 20 | May-2023 | 1,437 | 1,391 | (47 | ) | ||||||||||||||
Soybean^ | 10 | Mar-2023 | 684 | 692 | 8 | |||||||||||||||
Soybean^ | 10 | Jan-2023 | 710 | 688 | (22 | ) | ||||||||||||||
Soybean Meal^ | 29 | Mar-2023 | 1,182 | 1,152 | (31 | ) | ||||||||||||||
Soybean Meal^ | 96 | Dec-2022 | 3,887 | 3,869 | (19 | ) | ||||||||||||||
Soybean Meal^ | 18 | Dec-2022 | 698 | 725 | 27 | |||||||||||||||
Soybean Meal^ | 11 | Mar-2023 | 434 | 437 | 3 | |||||||||||||||
Soybean Meal^ | 11 | Jan-2023 | 441 | 441 | – | |||||||||||||||
Soybean Meal^ | 22 | May-2023 | 881 | 869 | (12 | ) | ||||||||||||||
Soybean Oil^ | 23 | May-2023 | 873 | 820 | (52 | ) | ||||||||||||||
Soybean Oil^ | 11 | Mar-2023 | 375 | 397 | 22 | |||||||||||||||
Soybean Oil^ | 20 | Jan-2023 | 772 | 731 | (41 | ) | ||||||||||||||
Soybean Oil^ | 33 | Dec-2022 | 1,282 | 1,219 | (63 | ) | ||||||||||||||
Sugar No. 11^ | 254 | Mar-2023 | 5,084 | 5,030 | (54 | ) | ||||||||||||||
Sugar No. 11^ | 69 | Apr-2023 | 1,351 | 1,309 | (42 | ) | ||||||||||||||
Wheat^ | 18 | May-2023 | 774 | 843 | 69 | |||||||||||||||
Wheat^ | 18 | Mar-2023 | 761 | 839 | 78 | |||||||||||||||
Wheat^ | 30 | Dec-2022 | 1,240 | 1,382 | 143 | |||||||||||||||
WTI Crude Oil^ | 26 | Apr-2023 | 2,079 | 1,918 | (161 | ) | ||||||||||||||
WTI Crude Oil^ | 13 | Feb-2023 | 1,062 | 982 | (80 | ) | ||||||||||||||
WTI Crude Oil^ | 13 | Dec-2022 | 1,087 | 1,011 | (77 | ) | ||||||||||||||
WTI Crude Oil^ | 17 | Oct-2022 | 1,451 | 1,351 | (99 | ) | ||||||||||||||
119,475 | 114,717 | (4,759 | ) | |||||||||||||||||
Short Contracts | ||||||||||||||||||||
Coffee C^ | (3 | ) | Dec-2022 | $ | (253 | ) | $ | (249 | ) | $ | 3 | |||||||||
Copper^ | (20 | ) | Dec-2022 | (1,703 | ) | (1,706 | ) | (3 | ) | |||||||||||
Corn^ | (7 | ) | Dec-2022 | (235 | ) | (237 | ) | (2 | ) | |||||||||||
Japanese 10-Year Bond | (15 | ) | Dec-2022 | (15,928 | ) | (15,368 | ) | 40 | ||||||||||||
Lean Hogs^ | (60 | ) | Feb-2023 | (1,935 | ) | (1,906 | ) | 29 | ||||||||||||
Live Cattle^ | (7 | ) | Dec-2022 | (424 | ) | (412 | ) | 12 | ||||||||||||
LME Primary Aluminum^ | (52 | ) | Dec-2022 | (2,988 | ) | (2,809 | ) | 179 | ||||||||||||
Long Gilt 10-Year Bond^ | (108 | ) | Dec-2022 | (11,346 | ) | (11,622 | ) | (142 | ) | |||||||||||
MSCI EAFE Index | (156 | ) | Dec-2022 | (14,425 | ) | (12,953 | ) | 1,472 | ||||||||||||
NYMEX Cocoa^ | (66 | ) | Dec-2022 | (1,526 | ) | (1,554 | ) | (27 | ) | |||||||||||
S&P 500 Index E-MINI | (142 | ) | Dec-2022 | (28,565 | ) | (25,571 | ) | 2,994 | ||||||||||||
Silver^ | (3 | ) | Dec-2022 | (287 | ) | (286 | ) | 2 | ||||||||||||
U.S. 2-Year Treasury Note | (140 | ) | Jan-2023 | (29,140 | ) | (28,755 | ) | 386 | ||||||||||||
U.S. 5-Year Treasury Note | (13 | ) | Jan-2023 | (1,449 | ) | (1,398 | ) | 51 | ||||||||||||
U.S. Ultra Long Treasury Bond | (38 | ) | Dec-2022 | (5,706 | ) | (5,206 | ) | 500 | ||||||||||||
Ultra 10-Year U.S. Treasury Note | (52 | ) | Dec-2022 | (6,411 | ) | (6,161 | ) | 250 | ||||||||||||
WTI Crude Oil^ | (4 | ) | Nov-2022 | (310 | ) | (315 | ) | (5 | ) | |||||||||||
(122,631 | ) | (116,508 | ) | 5,739 | ||||||||||||||||
$ | (3,156 | ) | $ | (1,791 | ) | $ | 980 |
A list of the open forward foreign currency contracts held by the Fund at September 30, 2022, is as follows:
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized | ||||||||||||||||||||
Bank of America | 12/08/22 | EUR | 3,163 | USD | 3,055 | $ | (59 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
361
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Inflation Managed Fund (Continued)
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
Brown Brothers Harriman | 11/09/22 | USD | 400 | EUR | 412 | $ | 4 | |||||||||||||||||
$ | (55 | ) |
A list of the open OTC swap agreements held by the Fund at September 30, 2022 is as follows:
Credit Default Swaps - Sell Protection | ||||||||||||||||||||||||||||||||
Counterparty | Reference Entity/ Obligation | Receive Rate | Payment Frequency | Termination Date | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | ||||||||||||||||||||||||
Credit Suisse | CMBX.BBB.6 | 3.00% | Monthly | 05/11/2063 | $ | 73 | $ | (17 | ) | $ | (8 | ) | $ | (9 | ) | |||||||||||||||||
Credit Suisse | CMBX.BBB.6 | 3.00% | Monthly | 05/11/2063 | 2 | (1 | ) | — | (1 | ) | ||||||||||||||||||||||
Credit Suisse | CMBX.NA.BBB.6 | 3.00% | Monthly | 12/31/2049 | 157 | (37 | ) | (10 | ) | (27 | ) | |||||||||||||||||||||
Citibank | CMBX.BBB.6 | 3.00% | Monthly | 05/11/2063 | 14 | (3 | ) | (2 | ) | (1 | ) | |||||||||||||||||||||
Citibank | CMBX.BBB.6 | 3.00% | Monthly | 05/11/2063 | 5 | (1 | ) | (1 | ) | — | ||||||||||||||||||||||
Citibank | CMBX.BBB.6 | 3.00% | Monthly | 05/11/2063 | 22 | (5 | ) | (3 | ) | (2 | ) | |||||||||||||||||||||
Citibank | CMBX.BBB.6 | 3.00% | Monthly | 05/11/2063 | 19 | (5 | ) | (2 | ) | (3 | ) | |||||||||||||||||||||
Citibank | CMBX.BBB.6 | 3.00% | Monthly | 05/11/2063 | 23 | (5 | ) | (3 | ) | (2 | ) | |||||||||||||||||||||
Citibank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 21 | (5 | ) | (3 | ) | (2 | ) | |||||||||||||||||||||
Citibank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 3 | (1 | ) | — | (1 | ) | ||||||||||||||||||||||
Citibank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 32 | (7 | ) | (3 | ) | (4 | ) | |||||||||||||||||||||
Citibank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 46 | (11 | ) | (5 | ) | (6 | ) | |||||||||||||||||||||
Citibank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 64 | (15 | ) | (7 | ) | (8 | ) | |||||||||||||||||||||
Citibank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 64 | (15 | ) | (7 | ) | (8 | ) | |||||||||||||||||||||
Citibank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 12 | (3 | ) | (1 | ) | (2 | ) | |||||||||||||||||||||
Citibank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 15 | (3 | ) | (1 | ) | (2 | ) | |||||||||||||||||||||
Citibank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 42 | (10 | ) | (5 | ) | (5 | ) | |||||||||||||||||||||
CGG | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 23 | (5 | ) | (3 | ) | (2 | ) | |||||||||||||||||||||
Deutsche Bank | CMBX.BBB.6 | 3.00% | Monthly | 05/11/2063 | 23 | (5 | ) | (2 | ) | (3 | ) | |||||||||||||||||||||
Deutsche Bank | CMBX.BBB.6 | 3.00% | Monthly | 05/11/2063 | 139 | (32 | ) | (16 | ) | (16 | ) | |||||||||||||||||||||
Deutsche Bank | CMBX.NA.BBB.6 | 3.00% | Monthly | 12/31/2049 | 29 | (7 | ) | (1 | ) | (6 | ) | |||||||||||||||||||||
Deutsche Bank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 78 | (18 | ) | (8 | ) | (10 | ) | |||||||||||||||||||||
Deutsche Bank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 78 | (18 | ) | (8 | ) | (10 | ) | |||||||||||||||||||||
Goldman Sachs | CMBX.NA.BBB.6 | 3.00% | Monthly | 12/31/2049 | 181 | (42 | ) | (11 | ) | (31 | ) | |||||||||||||||||||||
Goldman Sachs | CMBX.NA.BBB.6 | 3.00% | Monthly | 12/31/2049 | 301 | (70 | ) | (20 | ) | (50 | ) | |||||||||||||||||||||
Goldman Sachs | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 134 | (31 | ) | (11 | ) | (20 | ) | |||||||||||||||||||||
Goldman Sachs | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 11 | (3 | ) | (1 | ) | (2 | ) | |||||||||||||||||||||
Goldman Sachs | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 154 | (36 | ) | (15 | ) | (21 | ) | |||||||||||||||||||||
Goldman Sachs | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 228 | (53 | ) | (29 | ) | (24 | ) | |||||||||||||||||||||
Goldman Sachs | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 45 | (11 | ) | (5 | ) | (6 | ) | |||||||||||||||||||||
Goldman Sachs | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 22 | (5 | ) | (2 | ) | (3 | ) | |||||||||||||||||||||
Goldman Sachs | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 22 | (5 | ) | (2 | ) | (3 | ) | |||||||||||||||||||||
Goldman Sachs | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 137 | (32 | ) | (21 | ) | (11 | ) | |||||||||||||||||||||
Goldman Sachs | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 191 | (45 | ) | (30 | ) | (15 | ) | |||||||||||||||||||||
JPMorgan Chase | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 34 | (8 | ) | (3 | ) | (5 | ) | |||||||||||||||||||||
JPMorgan Chase | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 32 | (7 | ) | (3 | ) | (4 | ) | |||||||||||||||||||||
JPMorgan Chase | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 139 | (32 | ) | (13 | ) | (19 | ) | |||||||||||||||||||||
JPMorgan Chase | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 348 | (80 | ) | (40 | ) | (40 | ) | |||||||||||||||||||||
JPMorgan Chase | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 121 | (28 | ) | (14 | ) | (14 | ) | |||||||||||||||||||||
$ | (717 | ) | $ | (319 | ) | $ | (398 | ) |
362
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Total Return Swaps | ||||||||||||||||||||||||||||||||||||||||
Counterparty | Reference Entity/ Obligation | Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional | Value | Upfront Payments/ | Net Unrealized | ||||||||||||||||||||||||||||||
JPMorgan Chase | IBOXHY-TRS-652981 | IBOXX USD LIQUID HY INDEX | 3-MONTH USD LIBOR | Annually | 03/20/2023 | USD | 4,300 | $ | (175 | ) | $ | – | $ | (175 | ) | |||||||||||||||||||||||||
JPMorgan Chase | IBOXHY-TRS-633279 | IBOXX USD LIQUID HY INDEX | 3-MONTH USD LIBOR | Annually | 12/20/2022 | USD | 16,070 | 707 | – | 707 | ||||||||||||||||||||||||||||||
Macquarie Bank Limited^ | BCOMTR_ | US T-BILL HIGH DISCOUNT RATE + 9 BPS | INDEX RETURN | Monthly | 10/14/2022 | USD | 5,438 | (391 | ) | – | (391 | ) | ||||||||||||||||||||||||||||
Merrill Lynch^ | BCOMF2T | US T-BILL HIGH DISCOUNT RATE + 12 BPS | INDEX RETURN | Monthly | 10/13/2022 | USD | 3,875 | (268 | ) | – | (268 | ) | ||||||||||||||||||||||||||||
Merrill Lynch^ | BCOMTR_ | US T-BILL HIGH DISCOUNT RATE + 11 BPS | INDEX RETURN | Monthly | 10/13/2022 | USD | 19,943 | (1,432 | ) | – | (1,432 | ) | ||||||||||||||||||||||||||||
Societe Generale^ | BCOMF2T | US T-BILL HIGH DISCOUNT RATE + 14 BPS | INDEX RETURN | Monthly | 10/15/2022 | USD | 2,939 | (203 | ) | – | (203 | ) | ||||||||||||||||||||||||||||
Societe Generale^ | BCOMTR_ | US T-BILL HIGH DISCOUNT RATE + 11 BPS | INDEX RETURN | Monthly | 10/15/2022 | USD | 11,519 | (827 | ) | – | (827 | ) | ||||||||||||||||||||||||||||
$ | (2,589 | ) | $ | – | $ | (2,589 | ) |
A list of the open centrally cleared swap agreements held by the Fund at September 30, 2022 is as follows:
Credit Default Swaps - Buy Protection | ||||||||||||||||||||||||||||
Reference Entity/ Obligation | Pay Rate | Payment Frequency | Termination Date | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | |||||||||||||||||||||
Malaysia-658305 | 1.00% | Quarterly | 12/20/2027 | 39,000 | $ | 334 | $ | (246 | ) | $ | 580 |
Interest Rate Swaps | ||||||||||||||||||||||||||||||||
Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | ||||||||||||||||||||||||
USD @ 0% | USD CPI | Annually | 01/15/2027 | USD | 6,000 | $ | 598 | $ | – | $ | 598 | |||||||||||||||||||||
3 MONTH USD - LIBOR | 2.310% | Semi-Annually | 05/18/2025 | USD | – | – | – | – | ||||||||||||||||||||||||
1.660% | 3-MONTH USD - LIBOR | Semi-Annually | 11/08/2026 | USD | 1,490 | 138 | – | 138 | ||||||||||||||||||||||||
1.670% | 3-MONTH USD - LIBOR | Semi-Annually | 11/09/2026 | USD | 1,490 | 137 | – | 137 | ||||||||||||||||||||||||
1.6165% | 3 MONTH USD- LIBOR | Semi-Annually | 05/21/2031 | USD | 18,720 | 3,082 | – | 3,082 | ||||||||||||||||||||||||
3 MONTH USD - LIBOR | 2.310% | Quarterly | 05/18/2025 | USD | 2,820 | 141 | – | 141 | ||||||||||||||||||||||||
1.990% | 3-MONTH USD - LIBOR | Quarterly | 04/21/2025 | USD | 2,760 | 157 | – | 157 | ||||||||||||||||||||||||
2.490% | 3-MONTH USD - LIBOR | Quarterly | 06/09/2025 | USD | 1,710 | 79 | – | 79 | ||||||||||||||||||||||||
2.293% | 3-MONTH USD - LIBOR | Quarterly | 08/04/2025 | USD | 2,717 | 145 | – | 145 | ||||||||||||||||||||||||
2.631% | 3-MONTH USD - LIBOR | Quarterly | 11/10/2035 | USD | 1,190 | 145 | – | 145 | ||||||||||||||||||||||||
1.600% | 3-MONTH USD - LIBOR | Quarterly | 10/25/2026 | USD | 6,110 | 582 | – | 582 | ||||||||||||||||||||||||
2.440% | 3-MONTH USD - LIBOR | Quarterly | 04/04/2027 | USD | 10,400 | 720 | – | 720 | ||||||||||||||||||||||||
2.355% | 3-MONTH USD - LIBOR | Quarterly | 07/12/2027 | USD | 1,075 | 81 | – | 81 | ||||||||||||||||||||||||
2.150% | 3-MONTH USD - LIBOR | Quarterly | 06/04/2029 | USD | 4,220 | 449 | – | 449 | ||||||||||||||||||||||||
1.593% | 3-MONTH USD - LIBOR | Quarterly | 09/27/2029 | USD | 2,230 | 322 | – | 322 | ||||||||||||||||||||||||
0.558% | 3-MONTH USD - LIBOR | Quarterly | 06/05/2027 | USD | 15,800 | 2,371 | – | 2,371 | ||||||||||||||||||||||||
$ | 9,147 | $ | – | $ | 9,147 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
363
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Inflation Managed Fund (Concluded)
A list of the open reverse repurchase agreements held by the Fund at September 30, 2022 is as follows:
Principal Amount ($ Thousands) | Counterparty | Rate | Value ($ Thousands) | |||||||||
$ | (22,118 | ) | Chase Securities | 3.12 % | $ | (22,118 | ) | |||||
(28,914 | ) | Chase Securities | 3.12 % | (28,914 | ) | |||||||
(31,850 | ) | Chase Securities | 3.12 % | (31,850 | ) | |||||||
(37,761 | ) | Chase Securities | 3.12 % | (37,761 | ) | |||||||
$ | (120,643 | ) |
| Percentages are based on Net Assets of $818,127 ($ Thousands). |
^ | Security, or a portion thereof, is held by the Accumulation Commodity Strategy Subsidiary, Ltd. as of September 30, 2022. |
* | Non-income producing security. |
‡ | Real Estate Investment Trust. |
(A) | Interest rate represents the security's effective yield at the time of purchase. |
(B) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(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, 2022, the value of these securities amounted to $80,809 ($ Thousands), representing 9.9% of the Net Assets of the Fund. |
(D) | Security is in default on interest payment. |
(E) | Perpetual security with no stated maturity date. |
(F) | Zero coupon security. |
(G) | Security, or portion thereof, has been pledged as collateral on securities sold short. The total market value of such securities as of September 30, 2022 was $89,068 |
(H) | Security, or portion thereof, has been pledged as collateral on reverse repos. The total market value of such securities as of September 30, 2022 was $216,430. |
(I) | Security, or portion thereof, has been pledged as collateral on over the counter swaps. The total market value of such securities as of September 30, 2022 was $14,116. |
(J) | Security, or portion thereof, has been pledged as collateral on cleared swaps. The total market value of such securities as of September 30, 2022 was $1,613. |
The following is a summary of the level of inputs used as of September 30, 2022, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): | ||||||||||||||||
Investments in Securities | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
U.S. Treasury Obligations | – | 488,153 | – | 488,153 | ||||||||||||
Common Stock | 241,214 | – | – | 241,214 | ||||||||||||
Corporate Obligations | – | 73,690 | – | 73,690 | ||||||||||||
Mortgage-Backed Securities | – | 43,504 | – | 43,504 | ||||||||||||
Asset-Backed Securities | – | 30,669 | – | 30,669 | ||||||||||||
U.S. Government Agency Obligations | – | 26,297 | – | 26,297 | ||||||||||||
Municipal Bonds | – | 1,124 | – | 1,124 | ||||||||||||
Sovereign Debt | – | 1,103 | – | 1,103 | ||||||||||||
Foreign Common Stock | 455 | – | – | 455 | ||||||||||||
Purchased Options | 549 | – | – | 549 | ||||||||||||
Total Investments in Securities | 242,218 | 664,540 | – | 906,758 | ||||||||||||
Securities Sold Short | ||||||||||||||||
Common Stock | (101,874 | ) | – | – | (101,874 | ) | ||||||||||
Foreign Common Stock | (1,589 | ) | – | – | (1,589 | ) | ||||||||||
Total Securities Sold Short | (103,463 | ) | – | – | (103,463 | ) |
Other Financial Instruments | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Written Options | (586 | ) | – | – | (586 | ) | ||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 7,040 | – | – | 7,040 | ||||||||||||
Unrealized Depreciation | (6,060 | ) | – | – | (6,060 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | – | 4 | – | 4 | ||||||||||||
Unrealized Depreciation | – | (59 | ) | – | (59 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Depreciation | – | (398 | ) | – | (398 | ) | ||||||||||
Total Return Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 707 | – | 707 | ||||||||||||
Unrealized Depreciation | – | (3,296 | ) | – | (3,296 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 580 | – | 580 | ||||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 9,147 | – | 9,147 | ||||||||||||
Reverse Repurchase Agreements | – | (120,643 | ) | – | (120,643 | ) | ||||||||||
Total Other Financial Instruments | 394 | (113,958 | ) | – | (113,564 | ) |
* | Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
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.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
364
SEI Institutional Managed Trust / Annual Report / September 30, 2022
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Capital Stability Fund
† | Percentages are based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Face Amount | Market Value | ||||||
COMMERCIAL PAPER — 28.9% | ||||||||
Communication Services — 1.1% | ||||||||
Rogers Communications | ||||||||
3.812%, 10/20/2022 (A) | $ | 7,500 | $ | 7,486 | ||||
Consumer Discretionary — 0.8% | ||||||||
Harley-Davidson Financial Services | ||||||||
3.060%, 10/07/2022 (A) | 5,000 | 4,997 | ||||||
Energy — 3.3% | ||||||||
ONEOK | ||||||||
3.761%, 10/17/2022 (A) | 12,200 | 12,179 | ||||||
Targa Resources | ||||||||
3.963%, 10/24/2022 (A) | 9,350 | 9,330 | ||||||
21,509 | ||||||||
Financials — 5.6% | ||||||||
General Motors Financial | ||||||||
3.264%, 10/24/2022 (A) | 12,300 | 12,270 | ||||||
Glencore Funding | ||||||||
3.012%, 10/07/2022 (A) | 12,500 | 12,492 | ||||||
Southern California Edison | ||||||||
3.753%, 10/04/2022 (A) | 12,100 | 12,095 | ||||||
36,857 | ||||||||
Industrials — 3.4% | ||||||||
Fortune Brands Home & Security | ||||||||
4.018%, 11/01/2022 (A) | 10,200 | 10,168 | ||||||
Quanta Services | ||||||||
3.511%, 10/17/2022 (A) | 12,250 | 12,228 | ||||||
22,396 | ||||||||
Information Technology — 3.7% | ||||||||
Arrow Electronics | ||||||||
3.505%, 10/04/2022 (A) | 12,200 | 12,195 | ||||||
Jabil | ||||||||
3.854%, 10/07/2022 (A) | 12,100 | 12,091 | ||||||
24,286 | ||||||||
Real Estate — 3.7% | ||||||||
Crown Castle | ||||||||
3.359%, 10/04/2022 (A) | 12,300 | 12,295 |
Description | Face Amount | Market Value | ||||||
COMMERCIAL PAPER (continued) | ||||||||
Healthpeak Properties | ||||||||
2.962%, 10/18/2022 (A) | $ | 12,300 | $ | 12,279 | ||||
24,574 | ||||||||
Utilities — 7.3% | ||||||||
American Electric Power | ||||||||
3.356%, 10/05/2022 (A) | 12,000 | 11,994 | ||||||
Brookfield Infrastructure Holdings Canada | ||||||||
3.315%, 11/01/2022 (A) | 12,300 | 12,261 | ||||||
Constellation Energy Generation | ||||||||
3.853%, 10/03/2022 (A) | 12,100 | 12,096 | ||||||
Entergy | ||||||||
3.360%, 10/18/2022 (A) | 11,650 | 11,631 | ||||||
47,982 | ||||||||
Total Commercial Paper | ||||||||
(Cost $190,106) ($ Thousands) | 190,087 | |||||||
| ||||||||
EXCHANGE TRADED FUNDS — 4.9% | ||||||||
Invesco Nasdaq 100 ETF | 36 | 4 | ||||||
Vanguard Mortgage-Backed Securities ETF | 12,025 | 542 | ||||||
Energy Select Sector SPDR Fund | 6 | 1 | ||||||
Financial Select Sector SPDR Fund | 10 | — | ||||||
Industrial Select Sector SPDR Fund | 1 | — | ||||||
Invesco QQQ Trust Series 1, Ser 1 | 9 | 3 | ||||||
iShares China Large-Cap ETF | 20 | 1 | ||||||
iShares Core S&P 500 ETF | 42,145 | 15,115 | ||||||
iShares Global Energy ETF | 12,640 | 421 | ||||||
Lyxor FTSE MIB UCITS ETF | 2 | — | ||||||
SPDR S&P Homebuilders ETF | 20 | 1 | ||||||
Vanguard Health Care ETF | 3 | 1 | ||||||
Vanguard Intermediate-Term Corporate Bond ETF | 4,610 | 349 | ||||||
Vanguard Long-Term Corporate Bond ETF | 10,396 | 761 | ||||||
Vanguard S&P 500 ETF | 45,998 | 15,101 | ||||||
Vanguard Small-Capital ETF | 8 | 1 | ||||||
WisdomTree Japan Hedged Equity Fund | 12 | 1 | ||||||
Total Exchange Traded Funds | ||||||||
(Cost $24,761) ($ Thousands) | 32,302 | |||||||
Face Amount | ||||||||
U.S. TREASURY OBLIGATIONS — 3.3% | ||||||||
U.S. Treasury Inflation Protected Securities | ||||||||
3.875%, 04/15/2029 | $ | 463 | 519 | |||||
3.625%, 04/15/2028 | 256 | 278 | ||||||
3.375%, 04/15/2032 | 80 | 91 | ||||||
2.500%, 01/15/2029 | 287 | 297 | ||||||
2.375%, 01/15/2025 | 522 | 524 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
365
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Capital Stability Fund (Continued)
Description | Face Amount | Market Value | ||||||
U.S. TREASURY OBLIGATIONS (continued) | ||||||||
2.375%, 01/15/2027 | $ | 280 | $ | 284 | ||||
2.125%, 02/15/2040 | 178 | 185 | ||||||
2.125%, 02/15/2041 | 247 | 255 | ||||||
2.000%, 01/15/2026 | 138 | 138 | ||||||
1.750%, 01/15/2028 | 376 | 372 | ||||||
1.375%, 02/15/2044 | 441 | 393 | ||||||
1.000%, 02/15/2046 | 229 | 186 | ||||||
1.000%, 02/15/2048 | 214 | 174 | ||||||
1.000%, 02/15/2049 | 195 | 159 | ||||||
0.875%, 01/15/2029 | 488 | 459 | ||||||
0.875%, 02/15/2047 | 280 | 219 | ||||||
0.750%, 07/15/2028 | 582 | 546 | ||||||
0.750%, 02/15/2042 | 325 | 261 | ||||||
0.750%, 02/15/2045 | 462 | 356 | ||||||
0.625%, 01/15/2024 | 879 | 859 | ||||||
0.625%, 01/15/2026 | 574 | 548 | ||||||
0.625%, 07/15/2032 | 646 | 586 | ||||||
0.625%, 02/15/2043 | 303 | 233 | ||||||
0.500%, 04/15/2024 | 480 | 467 | ||||||
0.500%, 01/15/2028 | 749 | 695 | ||||||
0.375%, 07/15/2025 | 772 | 738 | ||||||
0.375%, 01/15/2027 | 660 | 616 | ||||||
0.375%, 07/15/2027 | 812 | 758 | ||||||
0.250%, 01/15/2025 | 887 | 849 | ||||||
0.250%, 07/15/2029 | 645 | 581 | ||||||
0.250%, 02/15/2050 | 289 | 189 | ||||||
0.125%, 07/15/2024 | 312 | 301 | ||||||
0.125%, 10/15/2024 | 1,095 | 1,053 | ||||||
0.125%, 04/15/2025 | 800 | 759 | ||||||
0.125%, 10/15/2025 | 655 | 619 | ||||||
0.125%, 10/15/2025 | 27 | 25 | ||||||
0.125%, 04/15/2026 | 560 | 523 | ||||||
0.125%, 07/15/2026 | 536 | 501 | ||||||
0.125%, 10/15/2026 | 667 | 622 | ||||||
0.125%, 04/15/2027 | 656 | 604 | ||||||
0.125%, 01/15/2030 | 667 | 590 | ||||||
0.125%, 07/15/2030 | 757 | 666 | ||||||
0.125%, 01/15/2031 | 869 | 759 | ||||||
0.125%, 07/15/2031 | 824 | 718 | ||||||
0.125%, 01/15/2032 | 888 | 768 | ||||||
0.125%, 02/15/2051 | 299 | 188 | ||||||
0.125%, 02/15/2052 | 355 | 224 | ||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $24,443) ($ Thousands) | 21,735 | |||||||
SOVEREIGN DEBT — 2.7% | ||||||||
Japanese Government CPI Linked Bond | ||||||||
0.100%, 03/10/2026 | JPY | 1,385,201 | 9,991 |
Description | Face Amount | Market Value | ||||||
SOVEREIGN DEBT (continued) | ||||||||
0.100%, 03/10/2027 | JPY | 1,107,422 | $ | 8,098 | ||||
Total Sovereign Debt | ||||||||
(Cost $23,882) ($ Thousands) | 18,089 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATION — 1.9% | ||||||||
FHLB | ||||||||
1.375%, 02/17/2023 | $ | 12,910 | 12,797 | |||||
Total U.S. Government Agency Obligation | ||||||||
(Cost $12,965) ($ Thousands) | 12,797 | |||||||
| ||||||||
COMMON STOCK — 0.7% | ||||||||
Communication Services — 0.0% | ||||||||
AT&T Inc | 1,767 | 27 | ||||||
New York Times Co/The, Cl A | 759 | 22 | ||||||
Sirius XM Holdings Inc | 11,131 | 63 | ||||||
Verizon Communications Inc | 1,066 | 41 | ||||||
153 | ||||||||
Consumer Discretionary — 0.0% | ||||||||
BorgWarner Inc | 611 | 19 | ||||||
Chipotle Mexican Grill Inc, Cl A * | 14 | 21 | ||||||
Garmin Ltd | 259 | 21 | ||||||
Hasbro Inc | 292 | 20 | ||||||
Leggett & Platt Inc | 616 | 20 | ||||||
Service Corp International/US | 378 | 22 | ||||||
Texas Roadhouse Inc, Cl A | 264 | 23 | ||||||
Wendy's Co/The | 3,367 | 63 | ||||||
Yum! Brands Inc | 205 | 22 | ||||||
231 | ||||||||
Consumer Staples — 0.1% | ||||||||
Albertsons Cos Inc, Cl A | 1,077 | 27 | ||||||
Campbell Soup Co | 633 | 30 | ||||||
Church & Dwight Co Inc | 678 | 48 | ||||||
Coca-Cola Co/The | 876 | 49 | ||||||
Conagra Brands Inc | 1,315 | 43 | ||||||
General Mills Inc | 416 | 32 | ||||||
Hormel Foods Corp | 652 | 30 | ||||||
J M Smucker Co/The | 210 | 29 | ||||||
Kellogg Co | 537 | 37 | ||||||
Keurig Dr Pepper Inc | 787 | 28 | ||||||
Kraft Heinz Co/The | 1,518 | 51 | ||||||
McCormick & Co Inc/MD | 856 | 61 | ||||||
Mondelez International Inc, Cl A | 496 | 27 | ||||||
PepsiCo Inc | 177 | 29 | ||||||
Philip Morris International Inc | 467 | 39 | ||||||
Sysco Corp, Cl A | 286 | 20 | ||||||
Tyson Foods Inc, Cl A | 319 | 21 |
366
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
US Foods Holding Corp * | 754 | $ | 20 | |||||
621 | ||||||||
Energy — 0.0% | ||||||||
Enbridge | 561 | 21 | ||||||
Kinder Morgan Inc | 1,690 | 28 | ||||||
Magellan Midstream Partners | 884 | 42 | ||||||
TC Energy | 489 | 20 | ||||||
Williams Cos Inc/The | 878 | 25 | ||||||
136 | ||||||||
Financials — 0.3% | ||||||||
Aflac Inc | 491 | 28 | ||||||
AGNC Investment Corp ‡ | 4,706 | 40 | ||||||
Annaly Capital Management Inc ‡ | 2,623 | 45 | ||||||
Ares Capital | 738 | 12 | ||||||
Bank of New York Mellon Corp/The | 715 | 28 | ||||||
Bank of Nova Scotia | 804 | 38 | ||||||
Bank OZK | 744 | 29 | ||||||
Berkshire Hathaway Inc, Cl B * | 103 | 28 | ||||||
Blackstone Mortgage Trust Inc, Cl A ‡ | 1,879 | 44 | ||||||
Blue Owl Capital Inc, Cl A | 4,787 | 44 | ||||||
Brookfield Asset Management, Cl A | 469 | 19 | �� | |||||
Canadian Imperial Bank of Commerce | 1,403 | 61 | ||||||
Chubb Ltd | 283 | 51 | ||||||
Citizens Financial Group Inc | 1,426 | 49 | ||||||
Fidelity National Financial Inc | 1,658 | 60 | ||||||
Fifth Third Bancorp | 1,527 | 49 | ||||||
Franklin Resources Inc | 1,704 | 37 | ||||||
FS KKR Capital Corp | 3,219 | 55 | ||||||
Huntington Bancshares Inc/OH | 2,191 | 29 | ||||||
Jefferies Financial Group Inc | 1,639 | 48 | ||||||
KeyCorp | 2,900 | 46 | ||||||
Manulife Financial | 1,757 | 27 | ||||||
MetLife Inc | 462 | 28 | ||||||
Nasdaq Inc, Cl A | 376 | 21 | ||||||
New York Community Bancorp Inc | 2,402 | 20 | ||||||
Progressive Corp/The | 381 | 44 | ||||||
Regions Financial Corp | 1,324 | 27 | ||||||
Royal Bank of Canada | 562 | 51 | ||||||
S&P Global Inc | 80 | 24 | ||||||
Starwood Property Trust Inc ‡ | 2,333 | 43 | ||||||
Toronto-Dominion Bank | 434 | 27 | ||||||
Travelers Cos Inc/The | 180 | 28 | ||||||
Truist Financial Corp | 920 | 40 | ||||||
US Bancorp | 666 | 27 | ||||||
Willis Towers Watson PLC | 138 | 28 | ||||||
Zions Bancorp NA | 97 | 5 | ||||||
1,280 | ||||||||
Health Care — 0.1% | ||||||||
Abbott Laboratories | 281 | 27 | ||||||
AbbVie Inc | 320 | 43 | ||||||
Agilent Technologies Inc | 213 | 26 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Alcon | 345 | $ | 20 | |||||
Boston Scientific Corp * | 342 | 13 | ||||||
Bristol-Myers Squibb Co | 425 | 30 | ||||||
Cardinal Health Inc | 349 | 23 | ||||||
Elanco Animal Health Inc * | 1,527 | 19 | ||||||
Gilead Sciences Inc | 437 | 27 | ||||||
HCA Healthcare Inc | 142 | 26 | ||||||
Johnson & Johnson | 90 | 15 | ||||||
Merck & Co Inc | 337 | 29 | ||||||
Quest Diagnostics Inc | 226 | 28 | ||||||
Repligen Corp * | 104 | 20 | ||||||
Shockwave Medical Inc * | 6 | 2 | ||||||
Stryker Corp | 128 | 26 | ||||||
Vertex Pharmaceuticals Inc * | 101 | 29 | ||||||
403 | ||||||||
Industrials — 0.0% | ||||||||
A O Smith Corp | 694 | 34 | ||||||
Canadian National Railway | 450 | 48 | ||||||
Canadian Pacific Railway | 302 | 20 | ||||||
Eaton Corp PLC | 163 | 22 | ||||||
Emerson Electric Co | 238 | 17 | ||||||
Fastenal Co, Cl A | 898 | 41 | ||||||
Fortive Corp | 222 | 13 | ||||||
Howmet Aerospace Inc | 804 | 25 | ||||||
Ingersoll Rand Inc | 467 | 20 | ||||||
Johnson Controls International plc | 947 | 47 | ||||||
Leidos Holdings Inc | 155 | 14 | ||||||
Masco Corp | 1,058 | 49 | ||||||
Ryder System Inc | 71 | 5 | ||||||
355 | ||||||||
Information Technology — 0.0% | ||||||||
Check Point Software Technologies Ltd * | 195 | 22 | ||||||
Cisco Systems Inc | 519 | 21 | ||||||
Cognizant Technology Solutions Corp, Cl A | 841 | 48 | ||||||
Corning Inc, Cl B | 867 | 25 | ||||||
Dell Technologies Inc, Cl C | 598 | 21 | ||||||
Fortinet Inc * | 431 | 21 | ||||||
HP Inc | 1,043 | 26 | ||||||
Jabil Inc | 515 | 30 | ||||||
Juniper Networks Inc | 506 | 13 | ||||||
NetApp Inc | 328 | 20 | ||||||
NortonLifeLock Inc | 784 | 16 | ||||||
Paychex Inc | 189 | 21 | ||||||
Synopsys Inc * | 10 | 3 | ||||||
287 | ||||||||
Materials — 0.0% | ||||||||
Berry Global Group Inc * | 543 | 25 | ||||||
Corteva Inc | 479 | 28 | ||||||
Huntsman Corp | 530 | 13 | ||||||
International Paper Co | 1,081 | 34 | ||||||
LyondellBasell Industries NV, Cl A | 349 | 26 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
367
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Capital Stability Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Westrock Co | 582 | $ | 18 | |||||
144 | ||||||||
Real Estate — 0.1% | ||||||||
Boston Properties Inc ‡ | 276 | 21 | ||||||
CBRE Group Inc, Cl A * | 388 | 26 | ||||||
Equinix Inc ‡ | 36 | 20 | ||||||
Invitation Homes Inc ‡ | 1,137 | 38 | ||||||
Kimco Realty Corp ‡ | 1,080 | 20 | ||||||
National Retail Properties Inc ‡ | 1,175 | 47 | ||||||
Omega Healthcare Investors Inc ‡ | 904 | 27 | ||||||
STORE Capital Corp ‡ | 1,934 | 61 | ||||||
VICI Properties Inc ‡ | 1,639 | 49 | ||||||
Weyerhaeuser Co ‡ | 1,585 | 45 | ||||||
WP Carey Inc ‡ | 366 | 25 | ||||||
379 | ||||||||
Utilities — 0.1% | ||||||||
AES Corp/The | 539 | 12 | ||||||
American Electric Power Co Inc | 301 | 26 | ||||||
Atlantica Sustainable Infrastructure | 442 | 11 | ||||||
CenterPoint Energy Inc | 1,377 | 39 | ||||||
Consolidated Edison Inc | 537 | 46 | ||||||
Dominion Energy Inc | 365 | 25 | ||||||
Exelon Corp | 687 | 26 | ||||||
FirstEnergy Corp | 1,091 | 40 | ||||||
PG&E Corp * | 2,403 | 30 | ||||||
Pinnacle West Capital Corp | 407 | 26 | ||||||
PPL Corp | 1,817 | 46 | ||||||
Public Service Enterprise Group Inc | 563 | 32 | ||||||
Sempra Energy | 85 | 13 | ||||||
Southern Co/The | 569 | 39 | ||||||
Vistra Corp | 2,125 | 45 | ||||||
Xcel Energy Inc | 192 | 12 | ||||||
468 | ||||||||
Total Common Stock | ||||||||
(Cost $4,933) ($ Thousands) | 4,457 | |||||||
PURCHASED OPTIONS — 0.0% | ||||||||
Total Purchased Options | ||||||||
(Cost $103) ($ Thousands) | 61 | |||||||
Total Investments in Securities — 42.4% | ||||||||
(Cost $281,193) ($ Thousands) | $ | 279,528 | ||||||
WRITTEN OPTIONS — (0.0)% | ||||||||
Total Written Options | ||||||||
(Premiums Received $115) ($ Thousands) | $ | (141 | ) | |||||
368
SEI Institutional Managed Trust / Annual Report / September 30, 2022
A list of open exchange traded options held by the Fund at September 30, 2022, is as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||
PURCHASED OPTIONS — 0.0% | ||||||||||||||||||||
Call Options | ||||||||||||||||||||
QQQ US 12/16/22 C305 Long | 72 | $ | – | $ | 305.00 | 12/17/2022 | $ | 25 | ||||||||||||
SPY US 12/16/22 C400 Long | 72 | 2,312 | 400.00 | 12/17/2022 | 23 | |||||||||||||||
SPY US 12/16/22 C405 Long | 54 | – | 405.00 | 12/17/2022 | 13 | |||||||||||||||
2,312 | 61 | |||||||||||||||||||
Total Purchased Options | $ | 2,312 | $ | 61 | ||||||||||||||||
WRITTEN OPTIONS — (0.0)% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
QQQ US 12/16/22 P235 Short | (72 | ) | $ | – | 235.00 | 12/17/22 | $ | (41 | ) | |||||||||||
SPY US 12/16/22 P325 Short | (72 | ) | (2,312 | ) | 325.00 | 12/17/22 | (53 | ) | ||||||||||||
SPY US 12/16/22 P330 Short | (54 | ) | (1,734 | ) | 330.00 | 12/17/22 | (47 | ) | ||||||||||||
$ | (4,046 | ) | (141 | ) | ||||||||||||||||
Total Written Options | $ | (4,046 | ) | $ | (141 | ) | ||||||||||||||
† | Represents cost. |
A list of the open futures contracts held by the Fund at September 30, 2022, is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Amsterdam Index | 7 | Oct-2022 | $ | 962 | $ | 879 | $ | (63 | ) | |||||||||||
Australian 3-Year Bond | 6 | Dec-2022 | 445 | 411 | (4 | ) | ||||||||||||||
CAC40 10 Euro Index | 7 | Oct-2022 | 431 | 395 | (28 | ) | ||||||||||||||
Canadian 10-Year Bond | 55 | Dec-2022 | 5,308 | 4,947 | (47 | ) | ||||||||||||||
DAX Index | 1 | Dec-2022 | 332 | 297 | (28 | ) | ||||||||||||||
Euro STOXX 50 | 4 | Dec-2022 | 147 | 130 | (14 | ) | ||||||||||||||
Euro-OAT | 23 | Dec-2022 | 3,215 | 2,977 | (165 | ) | ||||||||||||||
FTSE MIB Index | 1 | Dec-2022 | 111 | 101 | (8 | ) | ||||||||||||||
Hang Seng Index | 5 | Oct-2022 | 567 | 548 | (19 | ) | ||||||||||||||
IBEX | 10 | Oct-2022 | 799 | 721 | (62 | ) | ||||||||||||||
Japanese 10-Year Bond | 3 | Dec-2022 | 3,106 | 3,074 | (5 | ) | ||||||||||||||
Long Gilt 10-Year Bond | 22 | Dec-2022 | 2,862 | 2,367 | (336 | ) | ||||||||||||||
MSCI EAFE Index | 59 | Dec-2022 | 5,541 | 4,899 | (642 | ) | ||||||||||||||
MSCI Emerging Markets | 136 | Dec-2022 | 6,625 | 5,926 | (699 | ) | ||||||||||||||
NASDAQ 100 Index E-MINI | 16 | Dec-2022 | 4,089 | 3,531 | (558 | ) | ||||||||||||||
Nikkei 225 Index | 2 | Dec-2022 | 276 | 259 | (17 | ) | ||||||||||||||
Nikkei 225 Index | 52 | Dec-2022 | 1,001 | 932 | (56 | ) | ||||||||||||||
OMX Stockholm 30 | 161 | Oct-2022 | 2,937 | 2,655 | (164 | ) | ||||||||||||||
Russell 2000 Index E-MINI | 3 | Dec-2022 | 287 | 250 | (37 | ) | ||||||||||||||
S&P 500 Index E-MINI | 50 | Dec-2022 | 10,253 | 9,004 | (1,249 | ) | ||||||||||||||
S&P Mid Cap 400 Index E-MINI | 5 | Dec-2022 | 1,253 | 1,104 | (149 | ) | ||||||||||||||
SPI 200 Index | 9 | Dec-2022 | 1,055 | 935 | (67 | ) | ||||||||||||||
U.S. 2-Year Treasury Note | 5 | Jan-2023 | 1,043 | 1,027 | (16 | ) | ||||||||||||||
U.S. 5-Year Treasury Note | 128 | Jan-2023 | 14,237 | 13,761 | (476 | ) | ||||||||||||||
U.S. 10-Year Treasury Note | 93 | Dec-2022 | 10,960 | 10,422 | (538 | ) | ||||||||||||||
U.S. Long Treasury Bond | 4 | Dec-2022 | 544 | 506 | (38 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
369
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Capital Stability Fund (Continued)
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
U.S. Ultra Long Treasury Bond | 9 | Dec-2022 | $ | 1,325 | $ | 1,233 | $ | (92 | ) | |||||||||||
79,711 | 73,291 | (5,577 | ) | |||||||||||||||||
Short Contracts | ||||||||||||||||||||
FTSE 100 Index | (4 | ) | Dec-2022 | $ | (345 | ) | $ | (309 | ) | $ | 26 | |||||||||
Japanese 10-Year Bond | (11 | ) | Dec-2022 | (11,681 | ) | (11,270 | ) | 30 | ||||||||||||
MSCI Singapore Index | (11 | ) | Oct-2022 | (216 | ) | (215 | ) | 1 | ||||||||||||
S&P 500 Index E-MINI | (113 | ) | Dec-2022 | (23,037 | ) | (20,348 | ) | 2,688 | ||||||||||||
S&P TSX 60 Index | (4 | ) | Dec-2022 | (665 | ) | (650 | ) | 8 | ||||||||||||
SPI 200 Index | (13 | ) | Dec-2022 | (1,456 | ) | (1,351 | ) | 60 | ||||||||||||
(37,400 | ) | (34,143 | ) | 2,813 | ||||||||||||||||
$ | 42,311 | $ | 39,148 | $ | (2,764 | ) |
A list of the open forward foreign currency contracts held by the Fund at September 30, 2022, is as follows:
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
Bank of America | 10/21/22 | TWD | 13,669 | USD | 454 | $ | 24 | |||||||||||||||||
Bank of America | 10/27/22 | USD | 601 | PHP | 34,261 | (18 | ) | |||||||||||||||||
Bank of America | 10/27/22 | USD | 1,893 | KRW | 2,476,902 | (167 | ) | |||||||||||||||||
Bank of America | 11/22/22 | USD | 235 | CLP | 207,083 | (21 | ) | |||||||||||||||||
Bank of America | 11/22/22 | COP | 3,801,814 | USD | 851 | 31 | ||||||||||||||||||
Bank of America | 12/07/22 | USD | 2,407 | CHF | 2,343 | (10 | ) | |||||||||||||||||
Barclays PLC | 12/15/22 | USD | 350 | MYR | 1,625 | — | ||||||||||||||||||
BNP Paribas | 11/17/22 | GBP | 605 | USD | 714 | 38 | ||||||||||||||||||
BNP Paribas | 11/18/22 | USD | 778 | NZD | 1,257 | (67 | ) | |||||||||||||||||
BNP Paribas | 11/30/22 | USD | 1,143 | CZK | 28,507 | (13 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/13/22 | USD | 1,400 | ZAR | 23,763 | (79 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/19/22 | USD | 60 | EUR | 63 | 2 | ||||||||||||||||||
Brown Brothers Harriman | 10/19/22 | USD | 250 | NOK | 2,720 | — | ||||||||||||||||||
Brown Brothers Harriman | 10/19/22 | USD | 400 | CAD | 532 | (13 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/19/22 | EUR | 428 | USD | 419 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/20/22 | USD | 197 | AUD | 285 | (14 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/20/22 | USD | 636 | CNH | 4,282 | (35 | ) | |||||||||||||||||
Brown Brothers Harriman | 10/27/22 | CAD | 386 | USD | 293 | 13 | ||||||||||||||||||
Brown Brothers Harriman | 10/27/22 | USD | 612 | CAD | 786 | (40 | ) | |||||||||||||||||
Brown Brothers Harriman | 11/10/22 | USD | 2,972 | THB | 104,958 | (182 | ) | |||||||||||||||||
Brown Brothers Harriman | 11/10/22 | THB | 31,528 | USD | 862 | 24 | ||||||||||||||||||
Brown Brothers Harriman | 11/17/22 | GBP | 856 | USD | 1,017 | 61 | ||||||||||||||||||
Brown Brothers Harriman | 11/17/22 | USD | 1,141 | GBP | 973 | (54 | ) | |||||||||||||||||
Brown Brothers Harriman | 11/18/22 | USD | 454 | MXN | 9,310 | 5 | ||||||||||||||||||
Brown Brothers Harriman | 11/18/22 | NZD | 827 | USD | 511 | 44 | ||||||||||||||||||
Brown Brothers Harriman | 11/30/22 | USD | 400 | HUF | 162,895 | (29 | ) | |||||||||||||||||
Brown Brothers Harriman | 11/30/22 | PLN | 1,319 | EUR | 276 | 6 | ||||||||||||||||||
Brown Brothers Harriman | 11/30/22 | PLN | 3,303 | USD | 687 | 25 | ||||||||||||||||||
Brown Brothers Harriman | 11/30/22 | HUF | 221,600 | USD | 544 | 40 | ||||||||||||||||||
Brown Brothers Harriman | 12/01/22 | USD | 684 | SEK | 7,513 | (5 | ) | |||||||||||||||||
Brown Brothers Harriman | 12/01/22 | USD | 1,302 | NOK | 13,350 | (74 | ) | |||||||||||||||||
Brown Brothers Harriman | 12/02/22 | USD | 468 | JPY | 66,278 | (7 | ) | |||||||||||||||||
Brown Brothers Harriman | 12/02/22 | JPY | 49,980 | USD | 349 | 2 | ||||||||||||||||||
Citigroup | 10/19/22 | SEK | 20,239 | USD | 1,863 | 37 |
370
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
Citigroup | 10/27/22 | USD | 871 | PHP | 49,562 | $ | (28 | ) | ||||||||||||||||
Citigroup | 10/27/22 | CAD | 1,171 | USD | 902 | 49 | ||||||||||||||||||
Citigroup | 10/27/22 | KRW | 2,658,992 | USD | 2,027 | 174 | ||||||||||||||||||
Citigroup | 11/17/22 | USD | 1,065 | GBP | 910 | (48 | ) | |||||||||||||||||
Citigroup | 11/18/22 | NZD | 2,188 | USD | 1,238 | 1 | ||||||||||||||||||
Credit Suisse First Boston | 10/19/22 | USD | 1,579 | NZD | 2,737 | (31 | ) | |||||||||||||||||
Credit Suisse First Boston | 10/20/22 | USD | 477 | CNH | 3,290 | (15 | ) | |||||||||||||||||
Credit Suisse First Boston | 10/21/22 | TWD | 17,158 | USD | 565 | 24 | ||||||||||||||||||
Credit Suisse First Boston | 10/27/22 | USD | 634 | KRW | 830,013 | (56 | ) | |||||||||||||||||
Credit Suisse First Boston | 10/27/22 | USD | 639 | IDR | 9,473,627 | (19 | ) | |||||||||||||||||
Credit Suisse First Boston | 11/22/22 | USD | 397 | COP | 1,763,241 | (16 | ) | |||||||||||||||||
Credit Suisse First Boston | 11/30/22 | USD | 1,022 | HUF | 424,529 | (55 | ) | |||||||||||||||||
Credit Suisse First Boston | 11/30/22 | HUF | 425,186 | USD | 1,023 | 56 | ||||||||||||||||||
Deutsche Bank | 10/19/22 | USD | 527 | NZD | 877 | (32 | ) | |||||||||||||||||
Deutsche Bank | 10/19/22 | GBP | 1,248 | USD | 1,425 | 32 | ||||||||||||||||||
Deutsche Bank | 10/19/22 | USD | 1,791 | JPY | 255,432 | (23 | ) | |||||||||||||||||
Deutsche Bank | 10/19/22 | NZD | 2,188 | USD | 1,233 | (4 | ) | |||||||||||||||||
Deutsche Bank | 10/20/22 | USD | 1,295 | CNH | 8,708 | (73 | ) | |||||||||||||||||
Deutsche Bank | 10/20/22 | CNH | 7,838 | USD | 1,157 | 57 | ||||||||||||||||||
Deutsche Bank | 11/10/22 | THB | 90,433 | USD | 2,562 | 158 | ||||||||||||||||||
Deutsche Bank | 11/30/22 | USD | 1,859 | HUF | 759,512 | (131 | ) | |||||||||||||||||
Deutsche Bank | 11/30/22 | CZK | 55,972 | USD | 2,238 | 19 | ||||||||||||||||||
Deutsche Bank | 12/07/22 | CHF | 1,033 | USD | 1,048 | (9 | ) | |||||||||||||||||
Deutsche Bank | 12/08/22 | EUR | 1,333 | USD | 1,286 | (26 | ) | |||||||||||||||||
Deutsche Bank | 12/08/22 | USD | 2,171 | EUR | 2,252 | 46 | ||||||||||||||||||
Goldman Sachs | 10/04/22 - 11/03/22 | BRL | 4,997 | USD | 936 | 16 | ||||||||||||||||||
Goldman Sachs | 10/19/22 | USD | 1,153 | NOK | 12,378 | (17 | ) | |||||||||||||||||
Goldman Sachs | 10/19/22 - 10/20/22 | USD | 2,177 | AUD | 3,310 | (48 | ) | |||||||||||||||||
Goldman Sachs | 10/19/22 | NOK | 5,917 | USD | 576 | 33 | ||||||||||||||||||
Goldman Sachs | 10/19/22 | SEK | 8,293 | USD | 737 | (11 | ) | |||||||||||||||||
Goldman Sachs | 10/20/22 | CNH | 20,949 | USD | 3,109 | 170 | ||||||||||||||||||
Goldman Sachs | 10/21/22 | USD | 632 | TWD | 19,235 | (26 | ) | |||||||||||||||||
Goldman Sachs | 10/21/22 | TWD | 53,800 | USD | 1,812 | 118 | ||||||||||||||||||
Goldman Sachs | 10/27/22 | USD | 847 | PHP | 48,472 | (23 | ) | |||||||||||||||||
Goldman Sachs | 10/27/22 | USD | 1,555 | KRW | 2,030,632 | (141 | ) | |||||||||||||||||
Goldman Sachs | 10/27/22 | USD | 3,218 | IDR | 48,524,934 | (41 | ) | |||||||||||||||||
Goldman Sachs | 10/27/22 | PHP | 164,513 | USD | 2,901 | 102 | ||||||||||||||||||
Goldman Sachs | 10/27/22 | KRW | 1,400,520 | USD | 1,080 | 104 | ||||||||||||||||||
Goldman Sachs | 10/27/22 | IDR | 45,664,796 | USD | 3,072 | 82 | ||||||||||||||||||
Goldman Sachs | 11/18/22 | USD | 757 | MXN | 15,588 | 11 | ||||||||||||||||||
Goldman Sachs | 11/22/22 | USD | 601 | CLP | 561,442 | (20 | ) | |||||||||||||||||
Goldman Sachs | 11/22/22 | PEN | 801 | USD | 206 | 5 | ||||||||||||||||||
Goldman Sachs | 12/15/22 | USD | 3,174 | MYR | 14,030 | (156 | ) | |||||||||||||||||
Goldman Sachs | 12/15/22 | MYR | 14,030 | USD | 3,143 | 125 | ||||||||||||||||||
HSBC | 10/21/22 | USD | 788 | TWD | 23,454 | (50 | ) | |||||||||||||||||
HSBC | 10/27/22 | KRW | 764,038 | USD | 588 | 55 | ||||||||||||||||||
HSBC | 11/30/22 | USD | 1,105 | PLN | 5,311 | (39 | ) | |||||||||||||||||
JPMorgan Chase Bank | 10/04/22 | BRL | 2,296 | USD | 448 | 24 | ||||||||||||||||||
JPMorgan Chase Bank | 10/13/22 | ZAR | 23,147 | USD | 1,382 | 95 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
371
SCHEDULE OF INVESTMENTS
September 30, 2022
Multi-Asset Capital Stability Fund (Concluded)
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
JPMorgan Chase Bank | 10/19/22 | EUR | 2,031 | USD | 2,032 | $ | 39 | |||||||||||||||||
JPMorgan Chase Bank | 10/20/22 | USD | 439 | CNH | 2,964 | (24 | ) | |||||||||||||||||
JPMorgan Chase Bank | 10/20/22 | CNH | 2,816 | USD | 402 | 7 | ||||||||||||||||||
JPMorgan Chase Bank | 10/21/22 | USD | 944 | TWD | 28,157 | (58 | ) | |||||||||||||||||
JPMorgan Chase Bank | 10/27/22 | USD | 581 | IDR | 8,796,916 | (5 | ) | |||||||||||||||||
JPMorgan Chase Bank | 10/27/22 | KRW | 681,547 | USD | 521 | 46 | ||||||||||||||||||
JPMorgan Chase Bank | 10/27/22 | IDR | 3,205,013 | USD | 217 | 7 | ||||||||||||||||||
JPMorgan Chase Bank | 11/22/22 | CLP | 192,182 | USD | 216 | 17 | ||||||||||||||||||
JPMorgan Chase Bank | 11/30/22 | PLN | 4,942 | USD | 1,039 | 48 | ||||||||||||||||||
JPMorgan Chase Bank | 12/02/22 | JPY | 10,305,106 | USD | 71,896 | 206 | ||||||||||||||||||
JPMorgan Chase Bank | 12/08/22 | EUR | 651 | USD | 637 | (4 | ) | |||||||||||||||||
JPMorgan Chase Bank | 12/21/22 | INR | 37,348 | USD | 453 | (2 | ) | |||||||||||||||||
Merrill Lynch | 10/19/22 | USD | 1,635 | CAD | 2,181 | (47 | ) | |||||||||||||||||
Morgan Stanley | 10/04/22 | USD | 1,292 | BRL | 6,545 | (83 | ) | |||||||||||||||||
Morgan Stanley | 10/19/22 | USD | 681 | NZD | 1,154 | (29 | ) | |||||||||||||||||
Morgan Stanley | 10/19/22 | CHF | 1,460 | USD | 1,515 | 28 | ||||||||||||||||||
Morgan Stanley | 10/19/22 | NOK | 6,461 | USD | 640 | 47 | ||||||||||||||||||
Morgan Stanley | 10/20/22 | USD | 955 | AUD | 1,383 | (66 | ) | |||||||||||||||||
Morgan Stanley | 10/21/22 | USD | 872 | TWD | 25,983 | (53 | ) | |||||||||||||||||
Morgan Stanley | 10/21/22 | TWD | 82,451 | USD | 2,735 | 139 | ||||||||||||||||||
Morgan Stanley | 10/27/22 | USD | 596 | IDR | 8,816,513 | (19 | ) | |||||||||||||||||
Morgan Stanley | 10/27/22 | USD | 683 | CAD | 883 | (41 | ) | |||||||||||||||||
Morgan Stanley | 10/27/22 | USD | 1,404 | PHP | 78,045 | (76 | ) | |||||||||||||||||
Morgan Stanley | 10/27/22 | KRW | 1,067,496 | USD | 813 | 69 | ||||||||||||||||||
Morgan Stanley | 10/27/22 | IDR | 8,881,101 | USD | 582 | 1 | ||||||||||||||||||
Morgan Stanley | 11/22/22 | USD | 1,087 | COP | 4,842,118 | (42 | ) | |||||||||||||||||
RBS | 12/15/22 | MYR | 5,500 | USD | 1,227 | 44 | ||||||||||||||||||
Standard Chartered | 11/03/22 | USD | 713 | BRL | 3,844 | (8 | ) | |||||||||||||||||
UBS | 10/20/22 | AUD | 2,180 | USD | 1,483 | 81 | ||||||||||||||||||
UBS | 10/21/22 | USD | 602 | TWD | 17,969 | (37 | ) | |||||||||||||||||
UBS | 11/30/22 | HUF | 202,929 | EUR | 489 | 19 | ||||||||||||||||||
$ | 145 |
A list of the open OTC swap agreements held by the Fund at September 30, 2022 is as follows:
Total Return Swaps | ||||||||||||||||||||||||||||||||||||||||
Counterparty | Reference Entity/ Obligation | Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional | Value | Upfront Payments/ | Net Unrealized | ||||||||||||||||||||||||||||||
Morgan Stanley | SWISS MKT IDX FUTURE | 9297788 | Morgan Stanley | Annually | 12/16/2022 | CHF | 441 | $ | (31 | ) | $ | – | $ | (31 | ) | |||||||||||||||||||||||||
Morgan Stanley | SWISS MKT IDX FUTURE | 9297788 | Morgan Stanley | Annually | 12/16/2022 | CHF | 108 | (5 | ) | – | (5 | ) | ||||||||||||||||||||||||||||
Morgan Stanley | SWISS MKT IDX FUTURE | 9297788 | Morgan Stanley | Annually | 12/16/2022 | CHF | 101 | 1 | – | 1 | ||||||||||||||||||||||||||||||
$ | (35 | ) | $ | – | $ | (35 | ) |
372
SEI Institutional Managed Trust / Annual Report / September 30, 2022
A list of the open centrally cleared swap agreements held by the Fund at September 30, 2022 is as follows:
Credit Default Swaps - Sell Protection | ||||||||||||||||||||||||||||
Reference Entity/ Obligation | Receive Rate | Payment Frequency | Termination Date | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | |||||||||||||||||||||
CDX.NA.HY.S37V1-5Y | 7.461% | Quarterly | 12/20/2026 | $ | 901 | $ | (4 | ) | $ | 70 | $ | (74 | ) | |||||||||||||||
CDX.NA.HY.S38V1-5Y | 160.182% | Quarterly | 06/20/2027 | 1,535 | (35 | ) | 36 | (71 | ) | |||||||||||||||||||
CDX.NA.IG.S37V1-5Y | 8.204% | Quarterly | 12/20/2026 | 850 | 3 | 18 | (15 | ) | ||||||||||||||||||||
CDX.NA.IG.S38V1-5Y | 134.353% | Quarterly | 06/20/2027 | 1,140 | 0 | 12 | (12 | ) | ||||||||||||||||||||
ITRAXX.XOVER.S36V1-5Y | 23.553% | Quarterly | 12/20/2026 | 490 | (12 | ) | 57 | (69 | ) | |||||||||||||||||||
$ | (48 | ) | $ | 193 | $ | (241 | ) |
Interest Rate Swaps | ||||||||||||||||||||||||||||||||
Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | ||||||||||||||||||||||||
6-MONTH AUD - BBSW | 2.074% | Semi-Annually | 11/22/2031 | AUD | 530 | $ | (59 | ) | $ | – | $ | (59 | ) | |||||||||||||||||||
3-MONTH NZD - BKBM | 2.8% | Quarterly | 11/23/2031 | NZD | 180 | (13 | ) | – | (13 | ) | ||||||||||||||||||||||
6-MONTH AUD - BBSW | 2.033% | Semi-Annually | 01/05/2032 | AUD | 3,780 | (434 | ) | – | (434 | ) | ||||||||||||||||||||||
3-MONTH NZD - BKBM | 2.641% | Quarterly | 01/06/2032 | NZD | 3,620 | (289 | ) | – | (289 | ) | ||||||||||||||||||||||
6-MONTH AUD - BBSW | 3.475% | Semi-Annually | 08/02/2032 | AUD | 920 | (38 | ) | – | (38 | ) | ||||||||||||||||||||||
3-MONTH NZD - BKBM | 3.5505% | Quarterly | 08/03/2032 | NZD | 2,050 | (84 | ) | – | (84 | ) | ||||||||||||||||||||||
AUD @ 3.745% | AUD BBSW 6M | Semi-Annually | 08/18/2032 | AUD | 1,000 | (26 | ) | – | (26 | ) | ||||||||||||||||||||||
$ | (943 | ) | $ | – | $ | (943 | ) |
| Percentages are based on Net Assets of $658,806 ($ Thousands). |
* | Non-income producing security. |
‡ | Real Estate Investment Trust. |
(A) | Interest rate represents the security's effective yield at the time of purchase. |
The following is a summary of the level of inputs used as of September 30, 2022, 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 | – | 190,087 | – | 190,087 | ||||||||||||
Exchange Traded Funds | 32,302 | – | – | 32,302 | ||||||||||||
U.S. Treasury Obligations | – | 21,735 | – | 21,735 | ||||||||||||
Sovereign Debt | – | 18,089 | – | 18,089 | ||||||||||||
U.S. Government Agency Obligation | – | 12,797 | – | 12,797 | ||||||||||||
Common Stock | 4,457 | – | – | 4,457 | ||||||||||||
Purchased Options | 61 | – | – | 61 | ||||||||||||
Total Investments in Securities | 36,820 | 242,708 | – | 279,528 |
Other Financial Instruments | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Written Options | (141 | ) | – | – | (141 | ) | ||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 2,813 | – | – | 2,813 | ||||||||||||
Unrealized Depreciation | (5,577 | ) | – | – | (5,577 | ) | ||||||||||
Forward Contracts* | ||||||||||||||||
Unrealized Appreciation | – | 2,706 | – | 2,706 | ||||||||||||
Unrealized Depreciation | – | (2,561 | ) | – | (2,561 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Total Return Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 1 | – | 1 | ||||||||||||
Unrealized Depreciation | – | (36 | ) | – | (36 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Depreciation | – | (241 | ) | – | (241 | ) | ||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Depreciation | – | (943 | ) | – | (943 | ) | ||||||||||
Total Other Financial Instruments | (2,905 | ) | (1,074 | ) | – | (3,979 | ) |
* | Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
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.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
373
Glossary: (abbreviations used in preceding Schedules of Investments)
Portfolio Abbreviations |
ADR — American Depositary Receipt |
AGC — Assured Guaranty Corporation |
AGM— Assured Guaranty Municipal |
ARM — Adjustable Rate Mortgage |
BAM — Build America Mutual Assurance Corp. |
BBSW — Bank Bill Swap Rate |
BKBM — Bank Bill Market Rate |
BPS — Basis Points |
BZDIOVRA — Overnight Brazil CETIP - Interbank Rate |
CD — Certificate of Deposit |
CDO — Collateralized Debt Obligation |
Cl — Class |
CLO — Collateralized Loan Obligation |
CMO — Collateralized Mortgage Obligation |
CPI — Consumer Price Index |
DAC — Designated Activity Company |
ETF — Exchange-Traded Fund |
EURIBOR — Euro London Interbank Offered Rate |
FEDEF — U.S. Federal Funds Effective Rate |
FFCB — Federal Farm Credit Bank |
FHLB — Federal Home Loan Bank |
FHLMC — Federal Home Loan Mortgage Corporation |
FNMA — Federal National Mortgage Association |
GICS — Global Industry Classification Standard |
GNMA — Government National Mortgage Association |
GO — General Obligation |
H15T7Y — Harmonized Index of Consumer Prices |
IO — Interest Only — face amount represents notional amount |
JSC — Joint-Stock Company |
LIBOR— London Interbank Offered Rate |
LLLP — Limited Liability Limited Partnership |
LP — Limited Partnership |
MTN — Medium Term Note |
MXN-TIIE — Mexican Interbank TIIE 28-Day |
OIS — Overnight Index Swap |
OTC — Over The Counter |
PIK — Payment-in-Kind |
PJSC — Public Joint Stock Company |
PO — Principal Only |
RB — Revenue Bond |
REIT — Real Estate Investment Trust |
REMIC — Real Estate Mortgage Investment Conduit |
Re-REMIC — Resecuritization of Real Estate Mortgage Investment Conduit |
Ser — Series |
SOFR — Secured Overnight Financing Rate |
SOFR30A — Secured Overnight Financing Rate 30-day Average |
SOFRINDX — Custom SOFR Index |
SPDR — Standard & Poor's Depository Receipt |
STACR — Structured Agency Credit Risk |
TBA — To Be Announced |
Currency Abbreviations |
AUD — Australian Dollar |
BRL — Brazilian Real |
CAD — Canadian Dollar |
CHF — Swiss Franc |
CLP — Chilean Peso |
CNH — Chinese Yuan Offshore |
CNY — Chinese Yuan Onshore |
COP — Colombian Peso |
CZK — Czech Koruna |
DKK — Danish Krone |
EUR — Euro |
GBP — British Pound Sterling |
HKD — Hong Kong Dollar |
HUF — Hungarian Forint |
IDR — Indonesian Rupiah |
ILS — Israeli New Sheckels |
INR — Indian Rupee |
JPY — Japanese Yen |
KRW — Korean Won |
MYR — Malaysian Ringgit |
MXN — Mexican Peso |
NOK — Norwegian Krone |
NZD — New Zealand Dollar |
PEN — Peruvian Nuevo Sol |
PHP— Philippine Peso |
PLN — Polish Zloty |
RUB — Russian Ruble |
SEK — Swedish Krona |
SGD — Singapore Dollar |
THB — Thai Baht |
TWD — Taiwan Dollar |
USD — U.S. Dollar |
ZAR — South African Rand |
374
SEI Institutional Managed Trust / Annual Report / September 30, 2022
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STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
September 30, 2022
Large Cap Fund | Large Cap Value Fund | |||||||
Assets: | ||||||||
Investments, at value † | $ | 1,554,592 | * | $ | 1,224,663 | * | ||
Affiliated investments, at value †† | 16,518 | 31,770 | ||||||
Cash and cash equivalents | – | – | ||||||
Cash pledged as collateral on OTC swap contracts | – | – | ||||||
Cash pledged as collateral on futures contracts | 464 | 681 | ||||||
Foreign currency, at value ††† | – | – | ||||||
Receivable for fund shares sold | 133 | 1,558 | ||||||
Receivable for investment securities sold | 7,363 | 5,120 | ||||||
Dividends and interest receivable | 1,912 | 2,863 | ||||||
Foreign tax reclaim receivable | 51 | 114 | ||||||
Prepaid expenses | 26 | 19 | ||||||
Total Assets | 1,581,059 | 1,266,788 | ||||||
Liabilities: | ||||||||
Payable for investment securities purchased | 7,515 | 5,106 | ||||||
Payable upon return on securities loaned | 1,256 | 15,773 | ||||||
Payable for fund shares redeemed | 903 | 373 | ||||||
Administration fees payable | 375 | 331 | ||||||
Shareholder servicing fees payable Class F | 337 | 235 | ||||||
Shareholder servicing fees payable Class I | – | – | ||||||
Payable for Variation Margin on Futures Contracts | 115 | 136 | ||||||
Due to custodian | – | – | ||||||
Investment advisory fees payable | 509 | 360 | ||||||
Chief Compliance Officer fees payable | 3 | 2 | ||||||
Trustees fees payable | – | – | ||||||
Accrued expense payable | 142 | 112 | ||||||
Total Liabilities | 11,155 | 22,428 | ||||||
Net Assets | $ | 1,569,904 | $ | 1,244,360 | ||||
† Cost of investments and repurchase agreements | $ | 1,209,558 | $ | 1,016,862 | ||||
†† Cost of affiliated investments | 16,512 | 31,772 | ||||||
††† Cost of foreign currency | – | – | ||||||
* Includes market value of securities on loan | 1,141 | 14,981 | ||||||
Amounts designated as "—" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
376
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Large Cap Growth Fund | Large Cap Index 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 | ||||||||||||||||||||||||
$ | 1,285,303 | * | $ | 895,790 | * | $ | 3,587,250 | * | $ | 742,852 | $ | 506,223 | * | $ | 337,649 | * | $ | 303,595 | * | $ | 769,932 | * | |||||||||
13,943 | 6,319 | 50,201 | 2,987 | 11,801 | 10,738 | 10,354 | 11,308 | ||||||||||||||||||||||||
– | – | – | – | 8 | 28 | – | – | ||||||||||||||||||||||||
– | – | – | – | – | – | – | – | ||||||||||||||||||||||||
570 | 431 | 781 | 210 | – | – | – | – | ||||||||||||||||||||||||
– | – | 123 | – | – | – | – | – | ||||||||||||||||||||||||
1,480 | 596 | 444 | 162 | 240 | 253 | 190 | 118 | ||||||||||||||||||||||||
6,819 | – | 33,047 | 575 | 2,696 | 1,393 | 1,585 | 2,601 | ||||||||||||||||||||||||
314 | 730 | 4,707 | 591 | 327 | 497 | 137 | 796 | ||||||||||||||||||||||||
– | – | 212 | 11 | – | – | – | – | ||||||||||||||||||||||||
20 | 10 | 48 | 12 | 8 | 5 | 5 | 12 | ||||||||||||||||||||||||
1,308,449 | 903,876 | 3,676,813 | 747,400 | 521,303 | 350,563 | 315,866 | 784,767 | ||||||||||||||||||||||||
6,913 | – | 33,049 | 867 | 3,220 | 1,389 | 1,606 | 2,181 | ||||||||||||||||||||||||
45 | 856 | 28,550 | 1 | 2,752 | 674 | 3,744 | 514 | ||||||||||||||||||||||||
511 | 835 | 1,691 | 807 | 265 | 287 | 243 | 516 | ||||||||||||||||||||||||
347 | 82 | 718 | 104 | 136 | 95 | 81 | 207 | ||||||||||||||||||||||||
245 | 81 | 701 | 33 | 108 | 65 | 60 | 134 | ||||||||||||||||||||||||
– | – | – | 1 | – | – | – | – | ||||||||||||||||||||||||
150 | 108 | 195 | 55 | – | – | – | – | ||||||||||||||||||||||||
– | 1 | – | 2 | – | – | – | – | ||||||||||||||||||||||||
378 | 16 | 1,283 | 13 | 260 | 181 | 150 | 395 | ||||||||||||||||||||||||
2 | 2 | 6 | 1 | 1 | 1 | 1 | 1 | ||||||||||||||||||||||||
– | – | 1 | – | – | – | – | – | ||||||||||||||||||||||||
114 | 207 | 321 | 149 | 47 | 32 | 28 | 70 | ||||||||||||||||||||||||
8,705 | 2,188 | 66,515 | 2,033 | 6,789 | 2,724 | 5,913 | 4,018 | ||||||||||||||||||||||||
$ | 1,299,744 | $ | 901,688 | $ | 3,610,298 | $ | 745,367 | $ | 514,514 | $ | 347,839 | $ | 309,953 | $ | 780,749 | ||||||||||||||||
$ | 832,475 | $ | 757,574 | $ | 1,506,119 | $ | 238,817 | $ | 480,025 | $ | 318,470 | $ | 316,371 | $ | 535,391 | ||||||||||||||||
13,943 | 6,352 | 50,203 | 2,987 | 11,801 | 10,736 | 10,359 | 11,301 | ||||||||||||||||||||||||
– | – | 129 | – | – | – | – | – | ||||||||||||||||||||||||
41 | 822 | 26,824 | – | 2,695 | 664 | 3,627 | 149 | ||||||||||||||||||||||||
SEI Institutional Managed Trust / Annual Report / September 30, 2022
377
STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
September 30, 2022
Large Cap Fund | Large Cap Value Fund | |||||||
Net Assets: | ||||||||
Paid-in capital — (unlimited authorization — no par value) | $ | 1,098,098 | $ | 964,663 | ||||
Total distributable earnings/(loss) | 471,806 | 279,697 | ||||||
Net Assets | $ | 1,569,904 | $ | 1,244,360 | ||||
Net Asset Value, Offering and Redemption Price Per Share — Class F | $ | 12.66 | $ | 23.02 | ||||
($1,519,963,052 ÷ 120,105,587 shares | ) | ($1,068,126,126 ÷ 46,400,835 shares | ) | |||||
Net Asset Value, Offering and Redemption Price Per Share — Class I | N/A | $ | 23.05 | |||||
($2,111,387 ÷ 91,587 shares | ) | |||||||
Net Asset Value, Offering and Redemption Price Per Share — Class Y | $ | 12.66 | $ | 23.02 | ||||
($49,940,713 ÷ 3,944,667 shares | ) | ($174,122,569 ÷ 7,564,665 shares | ) |
N/A – Not applicable. Share class currently not offered.
The accompanying notes are an integral part of the financial statements.
378
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Large Cap Growth Fund | Large Cap Index 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 | ||||||||||||||||||||||||
$ | 759,748 | $ | 783,889 | $ | 1,361,021 | $ | 180,649 | $ | 498,841 | $ | 321,502 | $ | 341,454 | $ | 541,727 | ||||||||||||||||
539,996 | 117,799 | 2,249,277 | 564,718 | 15,673 | 26,337 | (31,501 | ) | 239,022 | |||||||||||||||||||||||
$ | 1,299,744 | $ | 901,688 | $ | 3,610,298 | $ | 745,367 | $ | 514,514 | $ | 347,839 | $ | 309,953 | $ | 780,749 | ||||||||||||||||
$ | 34.86 | $ | 12.60 | $ | 28.50 | $ | 72.34 | $ | 10.83 | $ | 20.77 | $ | 27.01 | $ | 20.64 | ||||||||||||||||
($1,110,116,505 ÷ 31,846,121 shares | ) | ($901,687,866 ÷ 71,584,360 shares | ) | ($3,182,189,588 ÷ 111,643,238 shares | ) | ($740,552,296 ÷ 10,237,600 shares | ) | ($493,393,308 ÷ 45,548,843 shares | ) | ($289,279,207 ÷ 13,928,865 shares | ) | ($276,600,666 ÷ 10,240,282 shares | ) | ($691,835,218 ÷ 33,523,580 shares | ) | ||||||||||||||||
$ | 33.49 | N/A | N/A | $ | 72.85 | N/A | $ | 20.55 | $ | 25.02 | N/A | ||||||||||||||||||||
($2,094,132 ÷ 62,532 shares | ) | ($4,814,770 ÷ 66,091 shares | ) | ($819,209 ÷ 39,871 shares | ) | ($849,603 ÷ 33,957 shares | ) | ||||||||||||||||||||||||
$ | 35.03 | N/A | $ | 28.52 | N/A | $ | 10.97 | $ | 20.78 | $ | 27.66 | $ | 20.68 | ||||||||||||||||||
($187,533,180 ÷ 5,353,081 shares | ) | ($428,108,773 ÷ 15,012,637 shares | ) | ($21,120,974 ÷ 1,924,931 shares | ) | ($57,740,707 ÷ 2,778,453 shares | ) | ($32,502,634 ÷ 1,175,272 shares | ) | ($88,913,492 ÷ 4,299,098 shares | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
379
STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
September 30, 2022
Mid-Cap Fund | U.S. Managed Volatility Fund | |||||||
Assets: | ||||||||
Investments, at value † | $ | 66,760 | $ | 776,795 | * | |||
Affiliated investments, at value †† | 2,161 | 17,763 | ||||||
Repurchase agreements† | – | – | ||||||
Cash and cash equivalents | 1 | – | ||||||
Due from Broker | – | – | ||||||
Cash pledged as collateral on centrally cleared swap contracts | – | – | ||||||
Cash pledged as collateral on OTC swap contracts | – | – | ||||||
Cash pledged as collateral on futures contracts | 54 | 200 | ||||||
Cash pledged as collateral on forward foreign currency contracts | – | – | ||||||
Cash pledged as collateral on TBA's | – | – | ||||||
Foreign currency, at value ††† | – | 64 | ||||||
Receivable for fund shares sold | 16 | 405 | ||||||
Receivable for investment securities sold | – | 10,243 | ||||||
Dividends and interest receivable | 76 | 1,484 | ||||||
Unrealized gain on forward foreign currency contracts | – | – | ||||||
OTC Swap contracts, at value †††† | – | – | ||||||
Receivable for Variation Margin on Futures Contracts | – | – | ||||||
Receivable for Variation Margin on Swap Contracts | – | – | ||||||
Foreign tax reclaim receivable | – | 15 | ||||||
Prepaid expenses | 1 | 12 | ||||||
Total Assets | 69,069 | 806,981 | ||||||
Liabilities: | ||||||||
Administration fees payable | 18 | 174 | ||||||
Shareholder servicing fees payable Class F | 14 | 141 | ||||||
Shareholder servicing fees payable Class I | – | – | ||||||
Payable for Variation Margin on Futures Contracts | 7 | 46 | ||||||
Payable for fund shares redeemed | 5 | 785 | ||||||
Payable upon return on securities loaned | – | 7,817 | ||||||
Payable for investment securities purchased | – | 232 | ||||||
Income distribution payable | – | – | ||||||
Options written, at value ^^ | – | – | ||||||
Payable for Variation Margin on Swap Contracts | – | – | ||||||
Unrealized loss on foreign currency spot contracts | – | – | ||||||
Unrealized loss on forward foreign currency contracts | – | – | ||||||
Investment advisory fees payable | 24 | 274 | ||||||
Trustees fees payable | – | – | ||||||
Chief Compliance Officer fees payable | – | 1 | ||||||
Administration servicing fees payable Class I | – | – | ||||||
Accrued expense payable | 7 | 69 | ||||||
Total Liabilities | 75 | 9,539 | ||||||
Net Assets | $ | 68,994 | $ | 797,442 | ||||
† Cost of investments and repurchase agreements | $ | 73,780 | $ | 702,101 | ||||
†† Cost of affiliated investments | 2,161 | 17,764 | ||||||
††† Cost of foreign currency | – | 67 | ||||||
†††† Cost (premiums received) | – | – | ||||||
^^ Premiums received from written options and swaptions | – | – | ||||||
* Includes market value of securities on loan | – | 7,508 | ||||||
Amounts designated as “—“ are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements
380
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | Tax-Managed International Managed Volatility Fund | Real Estate Fund | Core Fixed Income Fund | High Yield Bond Fund | Conservative Income Fund | |||||||||||||||||||||
$ | 795,542 | * | $ | 852,006 | * | $ | 280,655 | * | $ | 72,976 | $ | 3,857,685 | * | $ | 1,242,264 | $ | 332,435 | ||||||||||
25,852 | 18,307 | 21,280 | 2,113 | 368,518 | 15,931 | – | |||||||||||||||||||||
– | – | – | – | – | – | 27,000 | |||||||||||||||||||||
3,652 | – | 2,298 | – | 3,418 | 208 | 489 | |||||||||||||||||||||
– | – | – | – | 445 | – | – | |||||||||||||||||||||
– | – | – | – | 10,877 | – | – | |||||||||||||||||||||
– | – | – | – | – | – | – | |||||||||||||||||||||
411 | 410 | 173 | – | 12,611 | – | – | |||||||||||||||||||||
– | – | – | – | – | 130 | – | |||||||||||||||||||||
– | – | – | – | 710 | – | – | |||||||||||||||||||||
545 | 41 | 738 | – | 2,002 | 4 | – | |||||||||||||||||||||
513 | 98 | 66 | 2 | 3,065 | 1,119 | 580 | |||||||||||||||||||||
528 | – | 2,993 | 144 | 237,916 | 11,895 | – | |||||||||||||||||||||
1,661 | 867 | 1,124 | 227 | 20,559 | 20,099 | 334 | |||||||||||||||||||||
4,356 | – | – | – | 2,106 | – | – | |||||||||||||||||||||
– | – | – | – | – | 382 | – | |||||||||||||||||||||
11 | – | 15 | – | 1,330 | – | – | |||||||||||||||||||||
– | – | – | – | 2,966 | – | – | |||||||||||||||||||||
3,102 | 10 | 2,404 | – | 723 | 74 | – | |||||||||||||||||||||
13 | 13 | 5 | 1 | 55 | 19 | 4 | |||||||||||||||||||||
836,186 | 871,752 | 311,751 | 75,463 | 4,524,986 | 1,292,125 | 360,842 | |||||||||||||||||||||
200 | 231 | 115 | 21 | 504 | 198 | 30 | |||||||||||||||||||||
155 | 174 | 55 | 14 | 674 | 238 | 25 | |||||||||||||||||||||
– | – | – | – | 1 | – | – | |||||||||||||||||||||
77 | 109 | 11 | – | 2,362 | – | – | |||||||||||||||||||||
1,020 | 1,079 | 224 | 58 | 2,312 | 2,851 | 326 | |||||||||||||||||||||
17,360 | 3,473 | 18,527 | 4 | 254,624 | 1 | – | |||||||||||||||||||||
384 | 598 | 72 | 154 | 645,709 | 12,416 | – | |||||||||||||||||||||
– | – | – | – | 710 | 894 | 137 | |||||||||||||||||||||
– | – | – | – | 5,339 | – | – | |||||||||||||||||||||
– | – | – | – | 1,915 | – | – | |||||||||||||||||||||
– | – | 2 | – | – | – | – | |||||||||||||||||||||
103 | – | – | – | 4,056 | – | – | |||||||||||||||||||||
388 | 336 | 102 | 41 | 620 | 453 | 16 | |||||||||||||||||||||
– | – | – | – | 1 | – | – | |||||||||||||||||||||
1 | 2 | 1 | – | 6 | 2 | – | |||||||||||||||||||||
– | – | – | – | 1 | – | – | |||||||||||||||||||||
112 | 76 | 38 | 8 | 456 | 168 | 28 | |||||||||||||||||||||
19,800 | 6,078 | 19,147 | 300 | 919,290 | 17,221 | 562 | |||||||||||||||||||||
$ | 816,386 | $ | 865,674 | $ | 292,604 | $ | 75,163 | $ | 3,605,696 | $ | 1,274,904 | $ | 360,280 | ||||||||||||||
$ | 841,892 | $ | 412,604 | $ | 289,455 | $ | 66,402 | $ | 4,341,726 | $ | 1,409,742 | $ | 359,500 | ||||||||||||||
25,856 | 18,307 | 21,281 | 2,114 | 368,502 | 15,931 | – | |||||||||||||||||||||
550 | 44 | 741 | – | 2,082 | 3 | – | |||||||||||||||||||||
– | – | – | – | – | 1 | – | |||||||||||||||||||||
– | – | – | – | 2,554 | – | – | |||||||||||||||||||||
15,403 | 3,144 | 17,510 | – | 247,121 | – | – | |||||||||||||||||||||
SEI Institutional Managed Trust / Annual Report / September 30, 2022
381
STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
September 30, 2022
Mid-Cap Fund | U.S. Managed Volatility Fund | |||||||
Net Assets: | ||||||||
Paid-in capital — (unlimited authorization — no par value) | $ | 77,225 | $ | 651,129 | ||||
Total distributable earnings/(loss) | (8,231 | ) | 146,313 | |||||
Net Assets | $ | 68,994 | $ | 797,442 | ||||
Net Asset Value, Offering and Redemption Price Per Share — Class F | $ | 22.81 | $ | 15.00 | ||||
($65,123,601 ÷ 2,855,297 shares | ) | ($642,383,316 ÷ 42,814,938 shares | ) | |||||
Net Asset Value, Offering and Redemption Price Per Share — Class I | $ | 22.75 | $ | 15.00 | ||||
($311,036 ÷ 13,672 shares | ) | ($496,535 ÷ 33,104 shares | ) | |||||
Net Asset Value, Offering and Redemption Price Per Share — Class Y | $ | 22.82 | $ | 15.01 | ||||
($3,559,445 ÷ 155,970 shares | ) | ($154,561,679 ÷ 10,299,796 shares | ) |
N/A - Not applicable. Share class currently not offered.
The accompanying notes are an integral part of the financial statements.
382
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | Tax-Managed International Managed Volatility Fund | Real Estate Fund | Core Fixed Income Fund | High Yield Bond Fund | Conservative Income Fund | |||||||||||||||||||||
$ | 787,083 | $ | 379,480 | $ | 345,311 | $ | 67,521 | $ | 4,403,499 | $ | 1,719,047 | $ | 360,304 | ||||||||||||||
29,303 | 486,194 | (52,707 | ) | 7,642 | (797,803 | ) | (444,143 | ) | (24 | ) | |||||||||||||||||
$ | 816,386 | $ | 865,674 | $ | 292,604 | $ | 75,163 | $ | 3,605,696 | $ | 1,274,904 | $ | 360,280 | ||||||||||||||
$ | 9.55 | $ | 18.39 | $ | 8.69 | $ | 13.56 | $ | 9.37 | $ | 5.75 | $ | 10.00 | ||||||||||||||
($710,668,728 ÷ 74,436,288 shares | ) | ($787,892,291 ÷ 42,843,511 shares | ) | ($251,038,314 ÷ 28,882,571 shares | ) | ($61,247,444 ÷ 4,515,697 shares | ) | ($3,192,558,333 ÷ 340,869,915 shares | ) | ($1,115,353,200 ÷ 194,092,706 shares | ) | ($344,974,850 ÷ 34,501,875 shares | ) | ||||||||||||||
$ | 9.28 | N/A | N/A | $ | 13.54 | $ | 9.35 | $ | 5.53 | N/A | |||||||||||||||||
($416,466 ÷ 44,879 shares | ) | ($164,371 ÷ 12,144 shares | ) | ($3,423,310 ÷ 366,058 shares | ) | ($3,266 ÷ 591 shares | ) | ||||||||||||||||||||
$ | 9.58 | $ | 18.39 | $ | 8.71 | $ | 13.57 | $ | 9.37 | $ | 5.75 | $ | 10.01 | ||||||||||||||
($105,301,129 ÷ 10,991,591 shares | ) | ($77,781,887 ÷ 4,228,745 shares | ) | ($41,566,066 ÷ 4,774,473 shares | ) | ($13,751,533 ÷ 1,013,307 shares | ) | ($409,714,729 ÷ 43,715,987 shares | ) | ($159,547,243 ÷ 27,766,752 shares | ) | ($15,305,287 ÷ 1,528,506 shares | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
383
STATEMENTS OF ASSETS AND LIABILITIES/CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
September 30, 2022
Tax-Free Conservative Income Fund | ||||
Assets: | ||||
Investments, at value † | $ | 175,624 | ||
Affiliated investments, at value †† | – | |||
Cash and cash equivalents | 74 | |||
Due from Broker | – | |||
Cash pledged as collateral on centrally cleared swap contracts | – | |||
Cash pledged as collateral on OTC 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 | – | |||
Cash pledged as collateral on securities sold short | – | |||
Foreign currency, at value ††† | – | |||
Receivable for fund shares sold | 66 | |||
Receivable for investment securities sold | 5,900 | |||
Dividends and interest receivable | 341 | |||
Unrealized gain on forward foreign currency contracts | – | |||
Unrealized gain on foreign spot currency contracts | – | |||
OTC Swap contracts, at value †††† | – | |||
Receivable for Variation Margin on Futures Contracts | – | |||
Receivable for Variation Margin on Swap Contracts | – | |||
Foreign tax reclaim receivable | – | |||
Prepaid expenses | 2 | |||
Total Assets | 182,007 | |||
Liabilities: | ||||
Payable for fund shares redeemed | 214 | |||
Income distribution payable | 36 | |||
Administration fees payable | 17 | |||
Shareholder servicing fees payable Class F | 15 | |||
Payable for securities sold short@ | – | |||
Payable for investment securities purchased | – | |||
OTC Swap contracts, at value †††† | – | |||
Options written, at value ^^ | – | |||
Due to broker | – | |||
Reverse repurchase agreements | – | |||
Deposits from counterparty | – | |||
Payable for Variation Margin on Swap Contracts | – | |||
Payable for Variation Margin on Futures Contracts | – | |||
Unrealized loss on foreign currency spot contracts | – | |||
Unrealized loss on forward foreign currency contracts | – | |||
Investment advisory fees payable | 9 | |||
Trustees fees payable | – | |||
Interest payable | – | |||
Chief Compliance Officer fees payable | – | |||
Unfunded commitments on loan participations | – | |||
Repurchase agreements payable | – | |||
Other payables | – | |||
Accrued expense payable | 16 | |||
Total Liabilities | 307 | |||
Net Assets | $ | 181,700 | ||
† Cost of investments and repurchase agreements | $ | 175,795 | ||
†† Cost of affiliated investments | – | |||
††† Cost of foreign currency | – | |||
†††† Cost (premiums received) | – | |||
^^ Premiums received from written options and swaptions | – | |||
@Proceeds from securities sold short | – | |||
Amounts designated as "—" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
384
SEI Institutional Managed Trust / Annual Report / September 30, 2022
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 | |||||||||||||||||||||
$ | 256,588 | $ | 568,185 | $ | 270,495 | $ | 1,110,033 | $ | 644,743 | $ | 906,758 | $ | 279,528 | ||||||||||||||
1,251 | 6,875 | 117,844 | – | – | – | – | |||||||||||||||||||||
– | 53,324 | 41,630 | 855,051 | 17,628 | 137,117 | 321,021 | |||||||||||||||||||||
– | – | 741 | 219 | – | 457 | – | |||||||||||||||||||||
– | 3,310 | 11,139 | – | 2,036 | 1,240 | 712 | |||||||||||||||||||||
– | – | – | 11,122 | 5,986 | 570 | – | |||||||||||||||||||||
– | 3,540 | 144 | 42,888 | 4,719 | 11,096 | 5,085 | |||||||||||||||||||||
– | – | 600 | – | – | – | 56 | |||||||||||||||||||||
– | – | – | – | 20,434 | – | – | |||||||||||||||||||||
– | – | 26,142 | – | – | – | – | |||||||||||||||||||||
– | – | 557 | 2,308 | 355 | – | 52,788 | |||||||||||||||||||||
94 | 267 | 63 | 525 | 264 | 176 | 274 | |||||||||||||||||||||
– | – | 1,812 | 18,831 | 6,466 | 3,947 | 1,799 | |||||||||||||||||||||
315 | 461 | 2,024 | 1,038 | 8,151 | 2,237 | 146 | |||||||||||||||||||||
– | – | 471 | 15,278 | 2,260 | 4 | 2,706 | |||||||||||||||||||||
– | – | – | – | – | – | 10 | |||||||||||||||||||||
– | 2,865 | 259 | 37 | 148 | 707 | 1 | |||||||||||||||||||||
– | – | 8 | 3,955 | 55 | 1,042 | 426 | |||||||||||||||||||||
– | – | 335 | – | 184 | 298 | 17 | |||||||||||||||||||||
– | – | 45 | 307 | 89 | 6 | – | |||||||||||||||||||||
4 | 10 | 6 | 32 | 11 | 13 | 9 | |||||||||||||||||||||
258,252 | 638,837 | 474,315 | 2,061,624 | 713,529 | 1,065,668 | 664,578 | |||||||||||||||||||||
358 | 343 | 408 | 1,284 | 633 | 773 | 916 | |||||||||||||||||||||
– | – | – | – | 423 | – | – | |||||||||||||||||||||
45 | 169 | 65 | 469 | 134 | 200 | 77 | |||||||||||||||||||||
21 | 134 | 82 | 410 | 49 | – | 52 | |||||||||||||||||||||
– | – | 53,950 | – | – | 103,463 | – | |||||||||||||||||||||
– | 664 | 14,217 | – | 909 | 12,875 | 1,292 | |||||||||||||||||||||
– | 2,938 | 1,057 | 2,583 | – | 4,013 | 36 | |||||||||||||||||||||
– | – | 597 | – | 1,526 | 586 | 141 | |||||||||||||||||||||
– | – | 9 | 2,594 | – | 2,281 | 30 | |||||||||||||||||||||
– | – | – | – | – | 120,643 | – | |||||||||||||||||||||
– | – | – | 1,796 | – | – | – | |||||||||||||||||||||
– | – | 357 | 308 | 121 | 219 | 15 | |||||||||||||||||||||
– | 961 | 14 | 9,432 | 1,245 | 1,459 | 388 | |||||||||||||||||||||
– | – | – | 67 | – | – | 7 | |||||||||||||||||||||
– | – | 267 | 8,265 | 1,907 | 59 | 2,561 | |||||||||||||||||||||
30 | 111 | 285 | 1,131 | 255 | 231 | 197 | |||||||||||||||||||||
– | – | – | 1 | – | – | – | |||||||||||||||||||||
– | – | – | – | 1 | – | – | |||||||||||||||||||||
– | 1 | 1 | 4 | 1 | 1 | 1 | |||||||||||||||||||||
– | – | – | – | 25 | – | – | |||||||||||||||||||||
– | – | – | – | – | 467 | – | |||||||||||||||||||||
– | – | – | – | 6 | – | – | |||||||||||||||||||||
24 | 58 | 61 | 193 | 130 | 271 | 59 | |||||||||||||||||||||
478 | 5,379 | 71,370 | 28,537 | 7,365 | 247,541 | 5,772 | |||||||||||||||||||||
$ | 257,774 | $ | 633,458 | $ | 402,945 | $ | 2,033,087 | $ | 706,164 | $ | 818,127 | $ | 658,806 | ||||||||||||||
$ | 279,010 | $ | 316,232 | $ | 296,668 | $ | 1,200,829 | $ | 750,318 | $ | 890,786 | $ | 281,193 | ||||||||||||||
1,251 | 6,875 | 117,844 | – | – | – | – | |||||||||||||||||||||
– | – | 616 | 496 | 2,105 | – | 52,899 | |||||||||||||||||||||
– | – | 2 | – | (210 | ) | 699 | – | ||||||||||||||||||||
– | – | 265 | – | 3,029 | (566 | ) | (115 | ) | |||||||||||||||||||
– | – | (61,467 | ) | – | – | 124,671 | – |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
385
STATEMENTS OF ASSETS AND LIABILITIES/CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
September 30, 2022
Tax-Free Conservative Income Fund | ||||
Net Assets: | ||||
Paid-in capital — (unlimited authorization — no par value) | $ | 181,866 | ||
Total distributable earnings/(loss) | (166 | ) | ||
Net Assets | $ | 181,700 | ||
Net Asset Value, Offering and Redemption Price Per Share — Class F | $ | 9.99 | ||
($176,810,360 ÷ 17,698,588 shares | ) | |||
Net Asset Value, Offering and Redemption Price Per Share — Class Y | $ | 10.01 | ||
($4,889,707 ÷ 488,579 shares | ) |
N/A - Not applicable. Share class currently not offered.
The accompanying notes are an integral part of the financial statements.
386
SEI Institutional Managed Trust / Annual Report / September 30, 2022
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 | |||||||||||||||||||||
$ | 275,352 | $ | 329,675 | $ | 439,216 | $ | 2,864,983 | $ | 816,244 | $ | 921,999 | $ | 674,173 | ||||||||||||||
(17,578 | ) | 303,783 | (36,271 | ) | (831,896 | ) | (110,080 | ) | (103,872 | ) | (15,367 | ) | |||||||||||||||
$ | 257,774 | $ | 633,458 | $ | 402,945 | $ | 2,033,087 | $ | 706,164 | $ | 818,127 | $ | 658,806 | ||||||||||||||
$ | 9.57 | $ | 14.41 | $ | 9.08 | $ | 7.17 | $ | 9.22 | $ | 8.68 | $ | 9.79 | ||||||||||||||
($241,033,751 ÷ 25,173,701 shares | ) | ($597,961,215 ÷ 41,509,369 shares | ) | ($394,876,396 ÷ 43,496,008 shares | ) | ($1,886,712,237 ÷ 263,008,761 shares | ) | ($568,204,663 ÷ 61,650,317 shares | ) | ($783,196,197 ÷ 90,233,638 shares | ) | ($626,296,223 ÷ 63,950,090 shares | ) | ||||||||||||||
$ | 9.62 | $ | 14.43 | $ | 9.08 | $ | 7.25 | $ | 9.22 | $ | 8.69 | $ | 9.81 | ||||||||||||||
($16,740,748 ÷ 1,740,736 shares | ) | ($35,496,683 ÷ 2,459,652 shares | ) | ($8,068,839 ÷ 888,357 shares | ) | ($146,374,918 ÷ 20,195,481 shares | ) | ($137,959,572 ÷ 14,970,340 shares | ) | ($34,930,785 ÷ 4,019,768 shares | ) | ($32,509,318 ÷ 3,312,691 shares | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
387
STATEMENTS OF OPERATIONS ($ Thousands)
For the year ended September 30, 2022
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 32,760 | $ | 40,963 | $ | 13,491 | ||||||
Income from affiliated investments(1) | 113 | 100 | 114 | |||||||||
Security lending income - net(1) (2) | 23 | 28 | 18 | |||||||||
Less: foreign taxes withheld | (131 | ) | (322 | ) | (1 | ) | ||||||
Total Investment Income | 32,765 | 40,769 | 13,622 | |||||||||
Expenses: | ||||||||||||
Investment advisory fees | 7,774 | 5,284 | 6,383 | |||||||||
Administration fees | 5,719 | 4,506 | 4,729 | |||||||||
Shareholder servicing fees Class F | 4,767 | 3,252 | 3,442 | |||||||||
Shareholder servicing fees Class I | – | 7 | 7 | |||||||||
Trustees' fees | 45 | 34 | 36 | |||||||||
Chief compliance officer fees | 11 | 9 | 9 | |||||||||
Administration servicing fees Class I | – | 7 | 7 | |||||||||
Printing fees | 154 | 126 | 121 | |||||||||
Professional fees | 104 | 81 | 85 | |||||||||
Custodian/Wire agent fees | 85 | 67 | 68 | |||||||||
Registration fees | 80 | 56 | 64 | |||||||||
Pricing fees | 21 | 17 | 16 | |||||||||
Other expenses | 38 | 29 | 32 | |||||||||
Total Expenses | 18,798 | 13,475 | 14,999 | |||||||||
Less: | ||||||||||||
Waiver of investment advisory fees | (548 | ) | (361 | ) | (1,172 | ) | ||||||
Waiver of shareholder servicing fees Class F | (38 | ) | (26 | ) | (28 | ) | ||||||
Waiver of shareholder servicing fees Class I | – | (1 | ) | (1 | ) | |||||||
Waiver of administration fees | (644 | ) | (125 | ) | (92 | ) | ||||||
Net Expenses | 17,568 | 12,962 | 13,706 | |||||||||
Net Investment Income (Loss) | 15,197 | 27,807 | (84 | ) | ||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 170,249 | 101,410 | 117,255 | |||||||||
Affiliated investments | – | (1 | ) | 1 | ||||||||
Futures contracts | 326 | (2,446 | ) | (1,144 | ) | |||||||
Capital gains on Affiliated Investments | 1 | – | – | |||||||||
Net Realized Gain (Loss) | 170,576 | 98,963 | 116,112 | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | (513,192 | ) | (260,703 | ) | (503,216 | ) | ||||||
Affiliated investments | (1 | ) | (2 | ) | – | |||||||
Futures contracts | (454 | ) | (228 | ) | (275 | ) | ||||||
Foreign currency translation of other assets and liabilities denominated in foreign currencies | – | – | – | |||||||||
Net Change in Unrealized Appreciation (Depreciation) | $ | (513,647 | ) | $ | (260,933 | ) | $ | (503,491 | ) | |||
Net Decrease in Net Assets Resulting from Operations | $ | (327,874 | ) | $ | (134,163 | ) | $ | (387,463 | ) |
(1) | See Note 6 in Notes to Financial Statements. |
(2) | Income is from the investment of collateral in an affiliated security. |
Amounts designated as "—" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
388
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Large Cap Index 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 | |||||||||||||||||||||
$ | 15,546 | $ | 80,074 | $ | 13,976 | $ | 8,724 | $ | 8,180 | $ | 3,349 | $ | 13,790 | ||||||||||||||
44 | 134 | 13 | 61 | 57 | 40 | 86 | |||||||||||||||||||||
39 | 48 | – | 88 | 20 | 169 | 15 | |||||||||||||||||||||
(4 | ) | (532 | ) | (3 | ) | (29 | ) | (18 | ) | (7 | ) | (22 | ) | ||||||||||||||
15,625 | 79,724 | 13,986 | 8,844 | 8,239 | 3,551 | 13,869 | |||||||||||||||||||||
538 | 17,724 | 282 | 4,050 | 2,733 | 2,475 | 6,257 | |||||||||||||||||||||
3,228 | 9,367 | 2,071 | 1,869 | 1,261 | 1,142 | 2,888 | |||||||||||||||||||||
2,690 | 9,803 | 2,337 | 1,493 | 879 | 849 | 2,138 | |||||||||||||||||||||
– | – | 16 | – | 4 | 3 | – | |||||||||||||||||||||
18 | 100 | 21 | 14 | 9 | 9 | 22 | |||||||||||||||||||||
6 | 26 | 5 | 4 | 2 | 2 | 6 | |||||||||||||||||||||
– | – | 16 | – | 4 | 3 | – | |||||||||||||||||||||
89 | 356 | 75 | 49 | 35 | 29 | 76 | |||||||||||||||||||||
58 | 235 | 49 | 33 | 23 | 20 | 50 | |||||||||||||||||||||
48 | 195 | 41 | 26 | 18 | 12 | 42 | |||||||||||||||||||||
30 | 159 | 36 | 25 | 16 | 16 | 37 | |||||||||||||||||||||
18 | 45 | 14 | 12 | 8 | 8 | 15 | |||||||||||||||||||||
128 | 84 | 113 | 12 | 7 | 7 | 18 | |||||||||||||||||||||
6,851 | 38,094 | 5,076 | 7,587 | 4,999 | 4,575 | 11,549 | |||||||||||||||||||||
(323 | ) | – | (94 | ) | (469 | ) | (328 | ) | (410 | ) | (738 | ) | |||||||||||||||
(1,614 | ) | (78 | ) | (1,870 | ) | (12 | ) | (7 | ) | (7 | ) | (257 | ) | ||||||||||||||
– | – | (3 | ) | – | – | – | – | ||||||||||||||||||||
(2,206 | ) | (62 | ) | (710 | ) | (54 | ) | (27 | ) | (19 | ) | (83 | ) | ||||||||||||||
2,708 | 37,954 | 2,399 | 7,052 | 4,637 | 4,139 | 10,471 | |||||||||||||||||||||
12,917 | 41,770 | 11,587 | 1,792 | 3,602 | (588 | ) | 3,398 | ||||||||||||||||||||
(11,861 | ) | 178,918 | 64,666 | 10,693 | 16,399 | (7,488 | ) | 3,714 | |||||||||||||||||||
(1 | ) | (2 | ) | (3 | ) | – | (5 | ) | (2 | ) | – | ||||||||||||||||
(654 | ) | (627 | ) | (294 | ) | (46 | ) | 182 | 110 | 161 | |||||||||||||||||
– | 1 | – | – | – | – | – | |||||||||||||||||||||
(12,516 | ) | 178,290 | 64,369 | 10,647 | 16,576 | (7,380 | ) | 3,875 | |||||||||||||||||||
(188,910 | ) | (834,287 | ) | (214,224 | ) | (125,888 | ) | (91,169 | ) | (97,012 | ) | (193,181 | ) | ||||||||||||||
(28 | ) | (2 | ) | 1 | (2 | ) | – | (4 | ) | (1 | ) | ||||||||||||||||
(230 | ) | (77 | ) | (207 | ) | – | 24 | – | – | ||||||||||||||||||
– | (10 | ) | – | – | – | – | – | ||||||||||||||||||||
$ | (189,168 | ) | $ | (834,376 | ) | $ | (214,430 | ) | $ | (125,890 | ) | $ | (91,145 | ) | $ | (97,016 | ) | $ | (193,182 | ) | |||||||
$ | (188,767 | ) | $ | (614,316 | ) | $ | (138,474 | ) | $ | (113,451 | ) | $ | (70,967 | ) | $ | (104,984 | ) | $ | (185,909 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
389
STATEMENTS OF OPERATIONS ($ Thousands)
For the year ended September 30, 2022
Mid-Cap Fund | U.S. Managed Volatility Fund | Global Managed Volatility Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 1,361 | $ | 24,849 | $ | 25,233 | ||||||
Income from affiliated investments(1) | 11 | 105 | 63 | |||||||||
Interest income | – | – | 32 | |||||||||
Security lending income - net(1) (2) | 1 | 48 | 76 | |||||||||
Less: foreign taxes withheld | (2 | ) | (158 | ) | (1,423 | ) | ||||||
Total Investment Income | 1,371 | 24,844 | 23,981 | |||||||||
Expenses: | ||||||||||||
Investment advisory fees | 338 | 6,060 | 6,328 | |||||||||
Administration fees | 253 | 2,797 | 2,921 | |||||||||
Shareholder servicing fees Class F | 200 | 1,854 | 2,123 | |||||||||
Shareholder servicing fees Class I | 1 | 2 | 2 | |||||||||
Trustees' fees | 2 | 21 | 22 | |||||||||
Administration servicing fees Class I | 1 | 2 | 2 | |||||||||
Chief compliance officer fees | – | 5 | 6 | |||||||||
Printing fees | 7 | 76 | 78 | |||||||||
Professional fees | 4 | 51 | 53 | |||||||||
Custodian/Wire agent fees | 4 | 41 | 90 | |||||||||
Pricing fees | 4 | 12 | 20 | |||||||||
Registration fees | 3 | 40 | 38 | |||||||||
Other expenses | 2 | 18 | 26 | |||||||||
Total Expenses | 819 | 10,979 | 11,709 | |||||||||
Less: | ||||||||||||
Waiver of investment advisory fees | – | (2,429 | ) | (1,051 | ) | |||||||
Waiver of shareholder servicing fees Class F | (2 | ) | (15 | ) | (17 | ) | ||||||
Waiver of shareholder servicing fees Class I | – | – | – | |||||||||
Waiver of administration fees | – | (596 | ) | (111 | ) | |||||||
Net Expenses | 817 | 7,939 | 10,530 | |||||||||
Net Investment Income | 554 | 16,905 | 13,451 | |||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | (773 | ) | 78,800 | 48,443 | ||||||||
Securities sold short | – | – | – | |||||||||
Affiliated investments | – | – | (1 | ) | ||||||||
Futures contracts | (187 | ) | (2,135 | ) | (1,047 | ) | ||||||
Foreign currency translation | – | (17 | ) | (3,243 | ) | |||||||
Forward foreign currency contracts | – | – | 30,122 | |||||||||
Purchased options and swaptions | – | – | – | |||||||||
Written options and swaptions | – | – | – | |||||||||
Swap contracts | – | – | – | |||||||||
Capital gains on Affiliated Investments | – | – | – | |||||||||
Net Realized Gain (Loss) | (960 | ) | 76,648 | 74,274 | ||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | (12,322 | ) | (138,791 | ) | (168,249 | ) | ||||||
Affiliated investments | – | (1 | ) | (3 | ) | |||||||
Futures contracts | (106 | ) | (251 | ) | (255 | ) | ||||||
Purchased options and swaptions | – | – | – | |||||||||
Written options and swaptions | – | – | – | |||||||||
Swap contracts | – | – | – | |||||||||
Foreign currency translation of other assets and liabilities denominated in foreign currencies | – | (4 | ) | (355 | ) | |||||||
Forward foreign currency contracts | – | – | 2,106 | |||||||||
Net Change in Unrealized Appreciation (Depreciation) | $ | (12,428 | ) | $ | (139,047 | ) | $ | (166,756 | ) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (12,834 | ) | $ | (45,494 | ) | $ | (79,031 | ) |
(1) | See Note 6 in Notes to Financial Statements. |
(2) | Income is from the investment of collateral in an affiliated security. |
Amounts designated as "—" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
390
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Tax-Managed Managed Volatility Fund | Tax-Managed International Managed Volatility Fund | Real Estate Fund | Core Fixed Income Fund | High Yield Bond Fund | Conservative Income Fund | Tax-Free Conservative Income Fund | |||||||||||||||||||||
$ | 19,871 | $ | 16,140 | $ | 2,226 | $ | – | $ | 3,108 | $ | – | $ | – | ||||||||||||||
109 | 23 | 11 | 619 | 242 | 1 | – | |||||||||||||||||||||
2 | 9 | – | 105,731 | 83,348 | 2,819 | 1,159 | |||||||||||||||||||||
23 | 186 | 2 | 195 | – | – | – | |||||||||||||||||||||
(81 | ) | (1,245 | ) | – | (247 | ) | (8 | ) | – | – | |||||||||||||||||
19,924 | 15,113 | 2,239 | 106,298 | 86,690 | 2,820 | 1,159 | |||||||||||||||||||||
6,601 | 2,426 | 717 | 11,627 | 7,252 | 306 | 189 | |||||||||||||||||||||
3,046 | 1,680 | 331 | 6,676 | 2,967 | 613 | 377 | |||||||||||||||||||||
2,323 | 798 | 232 | 9,389 | 3,255 | 729 | 453 | |||||||||||||||||||||
– | – | 1 | 11 | 1 | – | – | |||||||||||||||||||||
23 | 9 | 3 | 96 | 34 | 7 | 4 | |||||||||||||||||||||
– | – | 1 | 11 | 1 | – | – | |||||||||||||||||||||
6 | 2 | 1 | 24 | 9 | 2 | 1 | |||||||||||||||||||||
85 | 29 | 9 | 341 | 121 | 28 | 17 | |||||||||||||||||||||
56 | 19 | 5 | 225 | 80 | 18 | 11 | |||||||||||||||||||||
46 | 33 | 5 | 159 | 60 | 14 | 8 | |||||||||||||||||||||
11 | 17 | 2 | 669 | 254 | 17 | 12 | |||||||||||||||||||||
37 | 15 | 4 | 200 | 57 | 11 | 7 | |||||||||||||||||||||
19 | 8 | 2 | 81 | 28 | 5 | 3 | |||||||||||||||||||||
12,253 | 5,036 | 1,313 | 29,509 | 14,119 | 1,750 | 1,082 | |||||||||||||||||||||
(2,171 | ) | (1,007 | ) | (91 | ) | (2,592 | ) | (1,135 | ) | (142 | ) | (96 | ) | ||||||||||||||
(19 | ) | (6 | ) | (2 | ) | (75 | ) | (26 | ) | (442 | ) | (312 | ) | ||||||||||||||
– | – | – | (1 | ) | – | – | – | ||||||||||||||||||||
(101 | ) | (5 | ) | (1 | ) | – | (146 | ) | (418 | ) | (263 | ) | |||||||||||||||
9,962 | 4,018 | 1,219 | 26,841 | 12,812 | 748 | 411 | |||||||||||||||||||||
9,962 | 11,095 | 1,020 | 79,457 | 73,878 | 2,072 | 748 | |||||||||||||||||||||
50,760 | (6,509 | ) | 4,757 | (244,862 | ) | (18,293 | ) | 5 | 1 | ||||||||||||||||||
– | – | – | 22 | – | – | – | |||||||||||||||||||||
– | (2 | ) | – | (24 | ) | – | – | – | |||||||||||||||||||
(1,444 | ) | (545 | ) | – | (45,839 | ) | – | – | – | ||||||||||||||||||
(19 | ) | (919 | ) | – | 614 | (1 | ) | – | – | ||||||||||||||||||
– | 3 | – | (2,327 | ) | (15 | ) | – | – | |||||||||||||||||||
– | – | – | (5,620 | ) | – | – | – | ||||||||||||||||||||
– | – | – | 3,977 | – | – | – | |||||||||||||||||||||
– | – | – | 10,099 | (319 | ) | – | – | ||||||||||||||||||||
– | – | – | 4 | 1 | – | – | |||||||||||||||||||||
49,297 | (7,972 | ) | 4,757 | (283,956 | ) | (18,627 | ) | 5 | 1 | ||||||||||||||||||
(74,308 | ) | (81,289 | ) | (22,938 | ) | (536,129 | ) | (254,336 | ) | (87 | ) | (168 | ) | ||||||||||||||
– | – | (1 | ) | (2 | ) | – | – | – | |||||||||||||||||||
119 | 3 | – | (13,844 | ) | – | – | – | ||||||||||||||||||||
– | – | – | (643 | ) | – | – | – | ||||||||||||||||||||
– | – | – | (2,828 | ) | – | – | – | ||||||||||||||||||||
– | – | – | 4,742 | 381 | – | – | |||||||||||||||||||||
(3 | ) | (252 | ) | – | (106 | ) | – | – | – | ||||||||||||||||||
– | – | – | (2,297 | ) | (5 | ) | – | – | |||||||||||||||||||
$ | (74,192 | ) | $ | (81,538 | ) | $ | (22,939 | ) | $ | (551,107 | ) | $ | (253,960 | ) | $ | (87 | ) | $ | (168 | ) | |||||||
$ | (14,933 | ) | $ | (78,415 | ) | $ | (17,162 | ) | $ | (755,606 | ) | $ | (198,709 | ) | $ | 1,990 | $ | 581 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
391
STATEMENTS OF OPERATIONS/CONSOLIDATED STATEMENTS OF OPERATIONS ($ Thousands)
For the year ended September 30, 2022
Real Return Fund | Dynamic Asset Allocation Fund | |||||||
Investment Income: | ||||||||
Dividends | $ | – | $ | 10,715 | ||||
Income from affiliated investments(1) | 10 | 7 | ||||||
Interest income | 20,138 | 233 | ||||||
Less: foreign taxes withheld | – | (2 | ) | |||||
Total Investment Income | 20,148 | 10,953 | ||||||
Expenses: | ||||||||
Shareholder servicing fees Class F | 645 | 1,887 | ||||||
Investment advisory fees | 607 | 4,786 | ||||||
Administration fees | 552 | 2,393 | ||||||
Trustees' fees | 6 | 18 | ||||||
Chief compliance officer fees | 2 | 5 | ||||||
Printing fees | 26 | 62 | ||||||
Professional fees | 16 | 42 | ||||||
Custodian/Wire agent fees | 13 | 28 | ||||||
Registration fees | 9 | 31 | ||||||
Pricing fees | 3 | 12 | ||||||
Dividend and interest expense on securities sold short | – | – | ||||||
Interest expense | – | – | ||||||
Other expenses | 5 | 15 | ||||||
Total Expenses | 1,884 | 9,279 | ||||||
Less: | ||||||||
Waiver of investment advisory fees | (248 | ) | (3,295 | ) | ||||
Waiver of shareholder servicing fees Class F | (387 | ) | – | |||||
Waiver of administration fees | (19 | ) | (91 | ) | ||||
Net Expenses | 1,230 | 5,893 | ||||||
Net Investment Income | 18,918 | 5,060 | ||||||
Net Realized Gain (Loss) on: | ||||||||
Investments | (183 | ) | 55,195 | |||||
Securities sold short | – | – | ||||||
Futures contracts | – | (8,842 | ) | |||||
Foreign currency translation | – | 57 | ||||||
Forward foreign currency contracts | – | (13 | ) | |||||
Purchased options and swaptions | – | 13,723 | ||||||
Written options and swaptions | – | 340 | ||||||
Swap contracts | – | 22,648 | ||||||
Capital gains on Affiliated Investments | – | – | ||||||
Net Realized Gain (Loss) | (183 | ) | 83,108 | |||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||
Investments | (31,793 | ) | (165,409 | ) | ||||
Securities sold short | – | – | ||||||
Futures contracts | – | (5,196 | ) | |||||
Purchased options and swaptions | – | (4,265 | ) | |||||
Written options and swaptions | – | 45 | ||||||
Swap contracts | – | (6,785 | ) | |||||
Foreign currency translation of other assets and liabilities denominated in foreign currencies | – | – | ||||||
Forward foreign currency contracts | – | 43 | ||||||
Net Change in Unrealized Appreciation (Depreciation) | $ | (31,793 | ) | $ | (181,567 | ) | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (13,058 | ) | $ | (93,399 | ) |
(1) | See Note 6 in Notes to Financial Statements. |
(2) | Income is from the investment of collateral in an affiliated security. |
Amounts designated as "—" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
392
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Multi-Strategy Alternative Fund | Multi-Asset Accumulation Fund | Multi-Asset Income Fund | Multi-Asset Inflation Managed Fund | Multi-Asset Capital Stability Fund | |||||||||||||||
$ | 1,372 | $ | 4,062 | $ | 1,525 | $ | 6,467 | $ | 1,006 | ||||||||||
674 | – | – | – | – | |||||||||||||||
10,020 | 56,576 | 42,016 | 37,747 | 5,218 | |||||||||||||||
(14 | ) | (297 | ) | (90 | ) | – | (7 | ) | |||||||||||
12,052 | 60,341 | 43,451 | 44,214 | 6,217 | |||||||||||||||
1,063 | 5,809 | 1,709 | 2,094 | 1,649 | |||||||||||||||
6,556 | 18,754 | 5,056 | 4,832 | 2,782 | |||||||||||||||
1,311 | 6,785 | 2,528 | 2,636 | 2,087 | |||||||||||||||
10 | 57 | 19 | 20 | 16 | |||||||||||||||
3 | 14 | 5 | 5 | 4 | |||||||||||||||
37 | 196 | 67 | 78 | 59 | |||||||||||||||
24 | 132 | 44 | 49 | 39 | |||||||||||||||
31 | 75 | 44 | 26 | 23 | |||||||||||||||
17 | 98 | 34 | 31 | 27 | |||||||||||||||
112 | 82 | 226 | 109 | 16 | |||||||||||||||
1,511 | – | – | 1,825 | – | |||||||||||||||
1,013 | – | – | 1,160 | – | |||||||||||||||
8 | 48 | 17 | 16 | 14 | |||||||||||||||
11,696 | 32,050 | 9,749 | 12,881 | 6,716 | |||||||||||||||
(2,807 | ) | (2,748 | ) | (1,520 | ) | (1,915 | ) | (278 | ) | ||||||||||
– | – | (1,025 | ) | – | (989 | ) | |||||||||||||
(473 | ) | �� | (432 | ) | (601 | ) | (156 | ) | (1,152 | ) | |||||||||
8,416 | 28,870 | 6,603 | 10,810 | 4,297 | |||||||||||||||
3,636 | 31,471 | 36,848 | 33,404 | 1,920 | |||||||||||||||
(22,545 | ) | (31,192 | ) | 11,072 | 8,041 | 5,774 | |||||||||||||
8,240 | – | – | (17,976 | ) | – | ||||||||||||||
193 | (332,075 | ) | (18,515 | ) | 42,711 | (16,493 | ) | ||||||||||||
(925 | ) | (21,885 | ) | (1,806 | ) | 315 | (20,478 | ) | |||||||||||
402 | 87,104 | 5,455 | 1,675 | 26,496 | |||||||||||||||
(927 | ) | – | 2,583 | 1,939 | (407 | ) | |||||||||||||
593 | – | (1,452 | ) | (1,189 | ) | 217 | |||||||||||||
3,361 | (47,998 | ) | 6,573 | 14,119 | (1,364 | ) | |||||||||||||
2 | – | – | – | – | |||||||||||||||
(11,606 | ) | (346,046 | ) | 3,910 | 49,635 | (6,255 | ) | ||||||||||||
(31,636 | ) | (186,385 | ) | (169,166 | ) | (86,522 | ) | (24,183 | ) | ||||||||||
8,882 | – | – | 48,093 | – | |||||||||||||||
(88 | ) | (37,053 | ) | (10,822 | ) | (7,184 | ) | (52 | ) | ||||||||||
109 | – | 696 | (495 | ) | (35 | ) | |||||||||||||
(332 | ) | – | (582 | ) | 939 | (38 | ) | ||||||||||||
(1,166 | ) | (1,223 | ) | (3,359 | ) | 7,332 | (603 | ) | |||||||||||
(81 | ) | 85 | (122 | ) | (15 | ) | 1,180 | ||||||||||||
94 | 1,048 | 76 | (153 | ) | (1,620 | ) | |||||||||||||
$ | (24,218 | ) | $ | (223,528 | ) | $ | (183,279 | ) | $ | (38,005 | ) | $ | (25,351 | ) | |||||
$ | (32,188 | ) | $ | (538,103 | ) | $ | (142,521 | ) | $ | 45,034 | $ | (29,686 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
393
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the years ended September 30,
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 15,197 | $ | 14,332 | $ | 27,807 | $ | 27,393 | $ | (84 | ) | $ | (4,041 | ) | ||||||||||
Net realized gain (loss) | 170,576 | 269,789 | 98,963 | 117,261 | 116,112 | 210,908 | ||||||||||||||||||
Capital gain distribution from investment | — | — | — | — | — | — | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (513,647 | ) | 287,532 | (260,933 | ) | 317,839 | (503,491 | ) | 181,592 | |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (327,874 | ) | 571,653 | (134,163 | ) | 462,493 | (387,463 | ) | 388,459 | |||||||||||||||
Distributions: | ||||||||||||||||||||||||
Class F: | (268,239 | ) | (70,587 | ) | (80,770 | ) | (23,697 | ) | (189,817 | ) | (127,247 | ) | ||||||||||||
Class I: | N/A | N/A | (193 | ) | (48 | ) | (551 | ) | (330 | ) | ||||||||||||||
Class Y: | (13,977 | ) | (4,062 | ) | (13,213 | ) | (3,806 | ) | (28,424 | ) | (16,537 | ) | ||||||||||||
Total Distributions | (282,216 | ) | (74,649 | ) | (94,176 | ) | (27,551 | ) | (218,792 | ) | (144,114 | ) | ||||||||||||
Capital Share Transactions:(1) | ||||||||||||||||||||||||
Class F: | ||||||||||||||||||||||||
Proceeds from shares issued | 208,257 | 222,584 | 218,643 | 182,475 | 271,763 | 203,033 | ||||||||||||||||||
Reinvestment of dividends & distributions | 246,549 | 65,129 | 75,731 | 22,281 | 176,988 | 119,107 | ||||||||||||||||||
Cost of shares redeemed | (401,737 | ) | (652,608 | ) | (352,574 | ) | (360,399 | ) | (330,620 | ) | (417,077 | ) | ||||||||||||
Net increase (decrease) from Class F transactions | 53,069 | (364,895 | ) | (58,200 | ) | (155,643 | ) | 118,131 | (94,937 | ) | ||||||||||||||
Class I: | ||||||||||||||||||||||||
Proceeds from shares issued | N/A | N/A | 1,353 | 312 | 434 | 964 | ||||||||||||||||||
Reinvestment of dividends & distributions | N/A | N/A | 173 | 38 | 495 | 290 | ||||||||||||||||||
Cost of shares redeemed | N/A | N/A | (2,056 | ) | (586 | ) | (1,819 | ) | (806 | ) | ||||||||||||||
Net increase (decrease) from Class I transactions | N/A | N/A | (530 | ) | (236 | ) | (890 | ) | 448 | |||||||||||||||
Class Y: | ||||||||||||||||||||||||
Proceeds from shares issued | 11,036 | 10,915 | 29,107 | 33,465 | 49,661 | 45,039 | ||||||||||||||||||
Reinvestment of dividends & distributions | 13,514 | 3,944 | 12,530 | 3,560 | 26,869 | 15,476 | ||||||||||||||||||
Cost of shares redeemed | (58,092 | ) | (33,878 | ) | (39,750 | ) | (34,761 | ) | (31,042 | ) | (37,081 | ) | ||||||||||||
Net increase (decrease) from Class Y transactions | (33,542 | ) | (19,019 | ) | 1,887 | 2,264 | 45,488 | 23,434 | ||||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 19,527 | (383,914 | ) | (56,843 | ) | (153,615 | ) | 162,729 | (71,055 | ) | ||||||||||||||
Net Increase (Decrease) in Net Assets | (590,563 | ) | 113,090 | (285,182 | ) | 281,327 | (443,526 | ) | 173,290 | |||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of year | 2,160,467 | 2,047,377 | 1,529,542 | 1,248,215 | 1,743,270 | 1,569,980 | ||||||||||||||||||
End of year | $ | 1,569,904 | $ | 2,160,467 | $ | 1,244,360 | $ | 1,529,542 | $ | 1,299,744 | $ | 1,743,270 |
(1) | See Note 7 in Notes to Financial Statements for additional information. |
|
N/A — Not applicable. Shares currently not offered.
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
394
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Large Cap Index Fund | Tax-Managed Large Cap Fund | S&P 500 Index Fund | Small Cap Fund | ||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||
$ | 12,917 | $ | 11,000 | $ | 41,770 | $ | 40,610 | $ | 11,587 | $ | 11,440 | $ | 1,792 | $ | 667 | ||||||||||||||||
(12,516 | ) | 1,878 | 178,289 | 198,814 | 64,369 | 73,511 | 10,647 | 167,926 | |||||||||||||||||||||||
— | — | 1 | — | — | — | — | — | ||||||||||||||||||||||||
(189,168 | ) | 214,364 | (834,376 | ) | 928,426 | (214,430 | ) | 156,418 | (125,890 | ) | 91,648 | ||||||||||||||||||||
(188,767 | ) | 227,242 | (614,316 | ) | 1,167,850 | (138,474 | ) | 241,369 | (113,451 | ) | 260,241 | ||||||||||||||||||||
(15,797 | ) | (10,181 | ) | (209,161 | ) | (85,083 | ) | (75,572 | ) | (53,607 | ) | (123,055 | ) | (761 | ) | ||||||||||||||||
N/A | N/A | N/A | N/A | (502 | ) | (321 | ) | N/A | N/A | ||||||||||||||||||||||
N/A | N/A | (27,949 | ) | (11,562 | ) | N/A | N/A | (5,426 | ) | (86 | ) | ||||||||||||||||||||
(15,797 | ) | (10,181 | ) | (237,110 | ) | (96,645 | ) | (76,074 | ) | (53,928 | ) | (128,481 | ) | (847 | ) | ||||||||||||||||
303,335 | 426,026 | 299,638 | 303,901 | 97,115 | 72,622 | 71,913 | 83,621 | ||||||||||||||||||||||||
15,028 | 9,701 | 182,965 | 75,242 | 66,695 | 48,222 | 114,411 | 707 | ||||||||||||||||||||||||
(302,229 | ) | (269,127 | ) | (609,242 | ) | (640,988 | ) | (191,252 | ) | (170,771 | ) | (114,277 | ) | (181,964 | ) | ||||||||||||||||
16,134 | 166,600 | (126,639 | ) | (261,845 | ) | (27,442 | ) | (49,927 | ) | 72,047 | (97,636 | ) | |||||||||||||||||||
N/A | N/A | N/A | N/A | 1,137 | 1,576 | N/A | N/A | ||||||||||||||||||||||||
N/A | N/A | N/A | N/A | 441 | 268 | N/A | N/A | ||||||||||||||||||||||||
N/A | N/A | N/A | N/A | (2,208 | ) | (1,455 | ) | N/A | N/A | ||||||||||||||||||||||
N/A | N/A | N/A | N/A | (630 | ) | 389 | N/A | N/A | |||||||||||||||||||||||
N/A | N/A | 52,211 | 45,978 | N/A | N/A | 3,654 | 4,352 | ||||||||||||||||||||||||
N/A | N/A | 26,149 | 10,734 | N/A | N/A | 5,232 | 83 | ||||||||||||||||||||||||
N/A | N/A | (67,364 | ) | (66,074 | ) | N/A | N/A | (6,836 | ) | (13,366 | ) | ||||||||||||||||||||
N/A | N/A | 10,996 | (9,362 | ) | N/A | N/A | 2,050 | (8,931 | ) | ||||||||||||||||||||||
16,134 | 166,600 | (115,643 | ) | (271,207 | ) | (28,072 | ) | (49,538 | ) | 74,097 | (106,567 | ) | |||||||||||||||||||
(188,430 | ) | 383,661 | (967,069 | ) | 799,998 | (242,620 | ) | 137,903 | (167,835 | ) | 152,827 | ||||||||||||||||||||
1,090,118 | 706,457 | 4,577,367 | 3,777,369 | 987,987 | 850,084 | 682,349 | 529,522 | ||||||||||||||||||||||||
$ | 901,688 | $ | 1,090,118 | $ | 3,610,298 | $ | 4,577,367 | $ | 745,367 | $ | 987,987 | $ | 514,514 | $ | 682,349 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
395
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the years ended September 30,
Small Cap Value Fund | Small Cap Growth Fund | Tax-Managed Small/Mid Cap Fund | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 3,602 | $ | 2,506 | $ | (588 | ) | $ | (1,827 | ) | $ | 3,398 | $ | 1,244 | ||||||||||
Net realized gain (loss) | 16,576 | 53,021 | (7,380 | ) | 95,225 | 3,875 | 117,138 | |||||||||||||||||
Net change in unrealized appreciation (depreciation) | (91,145 | ) | 120,003 | (97,016 | ) | 40,141 | (193,182 | ) | 211,186 | |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (70,967 | ) | 175,530 | (104,984 | ) | 133,539 | (185,909 | ) | 329,568 | |||||||||||||||
Distributions: | ||||||||||||||||||||||||
Class F: | (28,963 | ) | (2,113 | ) | (81,068 | ) | — | (85,601 | ) | (1,267 | ) | |||||||||||||
Class I: | (150 | ) | (7 | ) | (380 | ) | — | N/A | N/A | |||||||||||||||
Class Y: | (5,667 | ) | (526 | ) | (9,315 | ) | — | (10,758 | ) | (351 | ) | |||||||||||||
Total Distributions | (34,780 | ) | (2,646 | ) | (90,763 | ) | — | (96,359 | ) | (1,618 | ) | |||||||||||||
Capital Share Transactions:(1) | ||||||||||||||||||||||||
Class F: | ||||||||||||||||||||||||
Proceeds from shares issued | 66,183 | 68,130 | 45,964 | 72,313 | 80,105 | 101,402 | ||||||||||||||||||
Reinvestment of dividends & distributions | 26,971 | 1,971 | 74,743 | — | 74,501 | 1,111 | ||||||||||||||||||
Cost of shares redeemed | (80,336 | ) | (101,454 | ) | (51,627 | ) | (100,763 | ) | (129,864 | ) | (141,459 | ) | ||||||||||||
Net increase (decrease) from Class F transactions | 12,818 | (31,353 | ) | 69,080 | (28,450 | ) | 24,742 | (38,946 | ) | |||||||||||||||
Class I: | ||||||||||||||||||||||||
Proceeds from shares issued | 80 | 259 | 209 | 381 | N/A | N/A | ||||||||||||||||||
Reinvestment of dividends & distributions | 142 | 7 | 350 | — | N/A | N/A | ||||||||||||||||||
Cost of shares redeemed | (1,000 | ) | (264 | ) | (685 | ) | (429 | ) | N/A | N/A | ||||||||||||||
Net increase (decrease) from Class I transactions | (778 | ) | 2 | (126 | ) | (48 | ) | N/A | N/A | |||||||||||||||
Class Y: | ||||||||||||||||||||||||
Proceeds from shares issued | 10,199 | 9,409 | 5,555 | 6,348 | 10,162 | 7,745 | ||||||||||||||||||
Reinvestment of dividends & distributions | 5,281 | 486 | 8,670 | — | 10,054 | 324 | ||||||||||||||||||
Cost of shares redeemed | (7,967 | ) | (15,042 | ) | (5,884 | ) | (7,803 | ) | (12,217 | ) | (16,302 | ) | ||||||||||||
Net increase (decrease) from Class Y transactions | 7,513 | (5,147 | ) | 8,341 | (1,455 | ) | 7,999 | (8,233 | ) | |||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 19,553 | (36,498 | ) | 77,295 | (29,953 | ) | 32,741 | (47,179 | ) | |||||||||||||||
Net Increase (Decrease) in Net Assets | (86,194 | ) | 136,386 | (118,452 | ) | 103,586 | (249,527 | ) | 280,771 | |||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of year | 434,033 | 297,647 | 428,405 | 324,819 | 1,030,276 | 749,505 | ||||||||||||||||||
End of year | $ | 347,839 | $ | 434,033 | $ | 309,953 | $ | 428,405 | $ | 780,749 | $ | 1,030,276 |
(1) | See Note 7 in Notes to Financial Statements for additional information. |
|
N/A — Not applicable. Shares currently not offered.
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
396
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Mid-Cap Fund | U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | Tax-Managed International Managed Volatility Fund | |||||||||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||||||||
$ | 554 | $ | 393 | $ | 16,905 | $ | 19,226 | $ | 13,451 | $ | 11,554 | $ | 9,962 | $ | 10,525 | $ | 11,095 | $ | 9,735 | ||||||||||||||||||||
(960 | ) | 24,293 | 76,648 | 216,873 | 74,274 | 102,920 | 49,297 | 36,315 | (7,972 | ) | 7,755 | ||||||||||||||||||||||||||||
(12,428 | ) | (240 | ) | (139,047 | ) | 28,223 | (166,756 | ) | 28,033 | (74,192 | ) | 137,951 | (81,538 | ) | 30,469 | ||||||||||||||||||||||||
(12,834 | ) | 24,446 | (45,494 | ) | 264,322 | (79,031 | ) | 142,507 | (14,933 | ) | 184,791 | (78,415 | ) | 47,959 | |||||||||||||||||||||||||
(17,821 | ) | (552 | ) | (74,613 | ) | (74,071 | ) | (99,371 | ) | (9,100 | ) | (44,793 | ) | (16,500 | ) | (10,683 | ) | (5,612 | ) | ||||||||||||||||||||
(119 | ) | (4 | ) | (119 | ) | (122 | ) | (117 | ) | (8 | ) | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
(702 | ) | (33 | ) | (20,458 | ) | (79,965 | ) | (14,771 | ) | (1,740 | ) | (4,339 | ) | (1,679 | ) | (1,958 | ) | (1,091 | ) | ||||||||||||||||||||
(18,642 | ) | (589 | ) | (95,190 | ) | (154,158 | ) | (114,259 | ) | (10,848 | ) | (49,132 | ) | (18,179 | ) | (12,641 | ) | (6,703 | ) | ||||||||||||||||||||
44,463 | 18,486 | 130,696 | 110,819 | 111,073 | 135,895 | 111,375 | 95,526 | 55,878 | 56,716 | ||||||||||||||||||||||||||||||
16,597 | 511 | 63,699 | 63,662 | 84,681 | 7,835 | 37,742 | 14,024 | 9,216 | 4,833 | ||||||||||||||||||||||||||||||
(44,477 | ) | (29,960 | ) | (189,071 | ) | (263,199 | ) | (198,493 | ) | (290,305 | ) | (223,539 | ) | (197,881 | ) | (74,475 | ) | (73,462 | ) | ||||||||||||||||||||
16,583 | (10,963 | ) | 5,324 | (88,718 | ) | (2,739 | ) | (146,575 | ) | (74,422 | ) | (88,331 | ) | (9,381 | ) | (11,913 | ) | ||||||||||||||||||||||
109 | 68 | 8 | 40 | 8 | 37 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||||
118 | 4 | 119 | 122 | 116 | 8 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||||
(410 | ) | (210 | ) | (844 | ) | (250 | ) | (605 | ) | (80 | ) | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
(183 | ) | (138 | ) | (717 | ) | (88 | ) | (481 | ) | (35 | ) | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
1,412 | 2,444 | 17,409 | 81,390 | 18,351 | 21,139 | 10,885 | 7,953 | 7,289 | 4,989 | ||||||||||||||||||||||||||||||
696 | 32 | 18,535 | 78,716 | 12,865 | 1,591 | 3,848 | 1,444 | 1,685 | 935 | ||||||||||||||||||||||||||||||
(862 | ) | (2,403 | ) | (54,045 | ) | (866,669 | ) | (28,874 | ) | (55,034 | ) | (14,652 | ) | (15,890 | ) | (11,416 | ) | (8,289 | ) | ||||||||||||||||||||
1,246 | 73 | (18,101 | ) | (706,563 | ) | 2,342 | (32,304 | ) | 81 | (6,493 | ) | (2,442 | ) | (2,365 | ) | ||||||||||||||||||||||||
17,646 | (11,028 | ) | (13,494 | ) | (795,369 | ) | (878 | ) | (178,914 | ) | (74,341 | ) | (94,824 | ) | (11,823 | ) | (14,278 | ) | |||||||||||||||||||||
(13,830 | ) | 12,829 | (154,178 | ) | (685,205 | ) | (194,168 | ) | (47,255 | ) | (138,406 | ) | 71,788 | (102,879 | ) | 26,978 | |||||||||||||||||||||||
82,824 | 69,995 | 951,620 | 1,636,825 | 1,010,554 | 1,057,809 | 1,004,080 | 932,292 | 395,483 | 368,505 | ||||||||||||||||||||||||||||||
$ | 68,994 | $ | 82,824 | $ | 797,442 | $ | 951,620 | $ | 816,386 | $ | 1,010,554 | $ | 865,674 | $ | 1,004,080 | $ | 292,604 | $ | 395,483 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
397
STATEMENTS OF CHANGES IN NET ASSETS/CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the years ended September 30,
Real Estate Fund | Core Fixed Income Fund | High Yield Bond Fund | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 1,020 | $ | 739 | $ | 79,457 | $ | 57,529 | $ | 73,878 | $ | 90,864 | ||||||||||||
Capital gain distribution from investment | — | — | 4 | — | 1 | — | ||||||||||||||||||
Net realized gain (loss) | 4,757 | 12,912 | (283,960 | ) | 34,029 | (18,628 | ) | 25,326 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) | (22,939 | ) | 19,615 | (551,107 | ) | (89,183 | ) | (253,960 | ) | 138,204 | ||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (17,162 | ) | 33,266 | (755,606 | ) | 2,375 | (198,709 | ) | 254,394 | |||||||||||||||
Distributions: | ||||||||||||||||||||||||
Class F: | (7,139 | ) | (4,639 | ) | (82,466 | ) | (209,245 | ) | (89,328 | ) | (99,417 | ) | ||||||||||||
Class I: | (30 | ) | (19 | ) | (85 | ) | (248 | ) | (15 | ) | (35 | ) | ||||||||||||
Class Y: | (1,354 | ) | (1,093 | ) | (11,442 | ) | (26,125 | ) | (13,180 | ) | (13,886 | ) | ||||||||||||
Total Distributions | (8,523 | ) | (5,751 | ) | (93,993 | ) | (235,618 | ) | (102,523 | ) | (113,338 | ) | ||||||||||||
Capital Share Transactions:(1) | ||||||||||||||||||||||||
Class F: | ||||||||||||||||||||||||
Proceeds from shares issued | 34,788 | 18,726 | 674,455 | 1,058,326 | 241,315 | 259,561 | ||||||||||||||||||
Reinvestment of dividends & distributions | 6,464 | 4,164 | 75,249 | 190,625 | 79,075 | 88,858 | ||||||||||||||||||
Cost of shares redeemed | (42,936 | ) | (34,821 | ) | (904,145 | ) | (799,251 | ) | (372,248 | ) | (299,577 | ) | ||||||||||||
Net increase (decrease) from Class F transactions | (1,684 | ) | (11,931 | ) | (154,441 | ) | 449,700 | (51,858 | ) | 48,842 | ||||||||||||||
Class I: | ||||||||||||||||||||||||
Proceeds from shares issued | 4 | 15 | 335 | 1,068 | 5 | 118 | ||||||||||||||||||
Reinvestment of dividends & distributions | 30 | 19 | 67 | 187 | 16 | 36 | ||||||||||||||||||
Cost of shares redeemed | (235 | ) | (15 | ) | (1,234 | ) | (584 | ) | (576 | ) | (25 | ) | ||||||||||||
Net increase (decrease) from Class I transactions | (201 | ) | 19 | (832 | ) | 671 | (555 | ) | 129 | |||||||||||||||
Class Y: | ||||||||||||||||||||||||
Proceeds from shares issued | 2,448 | 1,302 | 72,075 | 144,791 | 37,252 | 24,292 | ||||||||||||||||||
Reinvestment of dividends & distributions | 1,298 | 1,032 | 11,112 | 24,972 | 12,850 | 13,536 | ||||||||||||||||||
Cost of shares redeemed | (4,344 | ) | (6,291 | ) | (80,320 | ) | (98,397 | ) | (48,456 | ) | (33,312 | ) | ||||||||||||
Net increase (decrease) from Class Y transactions | (598 | ) | (3,957 | ) | 2,867 | 71,366 | 1,646 | 4,516 | ||||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | (2,483 | ) | (15,869 | ) | (152,406 | ) | 521,737 | (50,767 | ) | 53,487 | ||||||||||||||
Net Increase (Decrease) in Net Assets | (28,168 | ) | 11,646 | (1,002,005 | ) | 288,494 | (351,999 | ) | 194,543 | |||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of year | 103,331 | 91,685 | 4,607,701 | 4,319,207 | 1,626,903 | 1,432,360 | ||||||||||||||||||
End of year | $ | 75,163 | $ | 103,331 | $ | 3,605,696 | $ | 4,607,701 | $ | 1,274,904 | $ | 1,626,903 |
(1) | See Note 7 in Notes to Financial Statements for additional information. |
N/A — Not applicable. Shares currently not offered.
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
398
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Conservative Income Fund | Tax-Free Conservative Income Fund | Real Return Fund | Dynamic Asset Allocation Fund | |||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
$ | 2,072 | $ | 30 | $ | 748 | $ | 21 | $ | 18,918 | $ | 10,657 | $ | 5,060 | $ | 4,868 | |||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||
5 | 4 | 1 | 5 | (183 | ) | 3,419 | 83,108 | 95,367 | ||||||||||||||||||||||
(87 | ) | (48 | ) | (168 | ) | (37 | ) | (31,793 | ) | (733 | ) | (181,567 | ) | 133,752 | ||||||||||||||||
1,990 | (14 | ) | 581 | (11 | ) | (13,058 | ) | 13,343 | (93,399 | ) | 233,987 | |||||||||||||||||||
(1,944 | ) | (27 | ) | (698 | ) | (20 | ) | (15,792 | ) | (5,681 | ) | (84,694 | ) | (53,187 | ) | |||||||||||||||
N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||
(98 | ) | (2 | ) | (33 | ) | (1 | ) | (1,141 | ) | (492 | ) | (4,926 | ) | (3,265 | ) | |||||||||||||||
(2,042 | ) | (29 | ) | (731 | ) | (21 | ) | (16,933 | ) | (6,173 | ) | (89,620 | ) | (56,452 | ) | |||||||||||||||
234,776 | 136,861 | 66,380 | 76,662 | 109,238 | 50,858 | 83,921 | 110,155 | |||||||||||||||||||||||
1,495 | 22 | 581 | 16 | 12,967 | 4,596 | 78,820 | 49,479 | |||||||||||||||||||||||
(160,921 | ) | (186,175 | ) | (73,634 | ) | (105,843 | ) | (81,437 | ) | (72,570 | ) | (208,511 | ) | (234,020 | ) | |||||||||||||||
75,350 | (49,292 | ) | (6,673 | ) | (29,165 | ) | 40,768 | (17,116 | ) | (45,770 | ) | (74,386 | ) | |||||||||||||||||
N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||
N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||
N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||
N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||
5,123 | 8,817 | 8,200 | 9,684 | 4,179 | 4,797 | 6,378 | 4,566 | |||||||||||||||||||||||
93 | 2 | 31 | 1 | 1,082 | 466 | 4,823 | 3,205 | |||||||||||||||||||||||
(6,877 | ) | (14,127 | ) | (12,607 | ) | (6,187 | ) | (4,514 | ) | (9,311 | ) | (12,907 | ) | (12,499 | ) | |||||||||||||||
(1,661 | ) | (5,308 | ) | (4,376 | ) | 3,498 | 747 | (4,048 | ) | (1,706 | ) | (4,728 | ) | |||||||||||||||||
73,689 | (54,600 | ) | (11,049 | ) | (25,667 | ) | 41,515 | (21,164 | ) | (47,476 | ) | (79,114 | ) | |||||||||||||||||
73,637 | (54,643 | ) | (11,199 | ) | (25,699 | ) | 11,524 | (13,994 | ) | (230,495 | ) | 98,421 | ||||||||||||||||||
286,643 | 341,286 | 192,899 | 218,598 | 246,250 | 260,244 | 863,953 | 765,532 | |||||||||||||||||||||||
$ | 360,280 | $ | 286,643 | $ | 181,700 | $ | 192,899 | $ | 257,774 | $ | 246,250 | $ | 633,458 | $ | 863,953 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
399
STATEMENTS OF CHANGES IN NET ASSETS/CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the years ended September 30,
Multi-Strategy Alternative Fund | Multi-Asset Accumulation Fund | Multi-Asset Income Fund | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 3,636 | $ | 4,135 | $ | 31,471 | $ | (3,282 | ) | $ | 36,848 | $ | 35,147 | |||||||||||
Capital gain distribution from investment | 2 | 1,293 | — | — | — | — | ||||||||||||||||||
Net realized gain (loss) | (11,608 | ) | 39,398 | (346,046 | ) | 408,868 | 3,910 | 22,225 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) | (24,218 | ) | (4,886 | ) | (223,528 | ) | (61,686 | ) | (183,279 | ) | 28,851 | |||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (32,188 | ) | 39,940 | (538,103 | ) | 343,900 | (142,521 | ) | 86,223 | |||||||||||||||
Distributions: | ||||||||||||||||||||||||
Class F: | (31,913 | ) | (13,167 | ) | (319,256 | ) | (126,250 | ) | (29,430 | ) | (26,306 | ) | ||||||||||||
Class Y: | (651 | ) | (263 | ) | (24,540 | ) | (9,708 | ) | (7,046 | ) | (5,898 | ) | ||||||||||||
Total Distributions | (32,564 | ) | (13,430 | ) | (343,796 | ) | (135,958 | ) | (36,476 | ) | (32,204 | ) | ||||||||||||
Capital Share Transactions:(1) | ||||||||||||||||||||||||
Class F: | ||||||||||||||||||||||||
Proceeds from shares issued | 56,599 | 58,785 | 287,707 | 349,735 | 92,813 | 124,809 | ||||||||||||||||||
Reinvestment of dividends & distributions | 28,632 | 11,882 | 291,088 | 115,417 | 25,506 | 22,936 | ||||||||||||||||||
Cost of shares redeemed | (76,788 | ) | (110,237 | ) | (378,794 | ) | (570,957 | ) | (164,750 | ) | (203,258 | ) | ||||||||||||
Net increase (decrease) from Class F transactions | 8,443 | (39,570 | ) | 200,001 | (105,805 | ) | (46,431 | ) | (55,513 | ) | ||||||||||||||
Class Y: | ||||||||||||||||||||||||
Proceeds from shares issued | 1,611 | 935 | 22,797 | 28,314 | 18,241 | 39,537 | ||||||||||||||||||
Reinvestment of dividends & distributions | 615 | 247 | 24,167 | 9,575 | 6,305 | 5,431 | ||||||||||||||||||
Cost of shares redeemed | (1,491 | ) | (1,535 | ) | (31,818 | ) | (50,716 | ) | (24,915 | ) | (43,784 | ) | ||||||||||||
Net increase (decrease) from Class Y transactions | 735 | (353 | ) | 15,146 | (12,827 | ) | (369 | ) | 1,184 | |||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 9,178 | (39,923 | ) | 215,147 | (118,632 | ) | (46,800 | ) | (54,329 | ) | ||||||||||||||
Net Increase (Decrease) in Net Assets | (55,574 | ) | (13,413 | ) | (666,752 | ) | 89,310 | (225,797 | ) | (310 | ) | |||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of year | 458,519 | 471,932 | 2,699,839 | 2,610,529 | 931,961 | 932,271 | ||||||||||||||||||
End of year | $ | 402,945 | $ | 458,519 | $ | 2,033,087 | $ | 2,699,839 | $ | 706,164 | $ | 931,961 |
(1) | See Note 7 in Notes to Financial Statements for additional information. |
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
400
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Multi-Asset Inflation Managed Fund | Multi-Asset Capital Stability Fund | ||||||||||||||
2022 | 2021 | 2022 | 2021 | ||||||||||||
$ | 33,404 | $ | 22,919 | $ | 1,920 | $ | 3 | ||||||||
— | — | — | — | ||||||||||||
49,635 | 28,775 | (6,255 | ) | 21,289 | |||||||||||
(38,005 | ) | 58,940 | (25,351 | ) | 4,450 | ||||||||||
45,034 | 110,634 | (29,686 | ) | 25,742 | |||||||||||
(58,859 | ) | (10,636 | ) | (18,556 | ) | (7,473 | ) | ||||||||
(3,253 | ) | (776 | ) | (1,084 | ) | (530 | ) | ||||||||
(62,112 | ) | (11,412 | ) | (19,640 | ) | (8,003 | ) | ||||||||
192,810 | 136,205 | 145,926 | 157,770 | ||||||||||||
53,507 | 9,692 | 14,496 | 6,005 | ||||||||||||
(250,560 | ) | (171,680 | ) | (170,164 | ) | (230,131 | ) | ||||||||
(4,243 | ) | (25,783 | ) | (9,742 | ) | (66,356 | ) | ||||||||
4,229 | 5,966 | 4,063 | 8,771 | ||||||||||||
3,181 | 761 | 1,051 | 519 | ||||||||||||
(15,746 | ) | (13,517 | ) | (8,043 | ) | (20,602 | ) | ||||||||
(8,336 | ) | (6,790 | ) | (2,929 | ) | (11,312 | ) | ||||||||
(12,579 | ) | (32,573 | ) | (12,671 | ) | (77,668 | ) | ||||||||
(29,657 | ) | 66,649 | (61,997 | ) | (59,929 | ) | |||||||||
847,784 | 781,135 | 720,803 | 780,732 | ||||||||||||
$ | 818,127 | $ | 847,784 | $ | 658,806 | $ | 720,803 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
401
CONSOLIDATED STATEMENT OF CASH FLOWS ($ Thousands)
For the year ended September 30, 2022
Multi-Asset Inflation Managed Fund | ||||
Cash Flows Provided By Operating Activities: | ||||
Net Increase in Net Assets Resulting from Operations | $ | 45,034 | ||
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to Net Cash Provided by Operating Activities: | ||||
Purchase of Investment Securities | (1,155,901 | ) | ||
Proceeds from Disposition of Investment Securities | 1,166,545 | |||
Proceeds from Securities Sold Short | 81,177 | |||
Purchases to Cover Securities Sold Short | (53,842 | ) | ||
Purchased Options/Purchases to Cover Written Options | 1,853 | |||
Amortization (Accretion of Market Discount) | (29,007 | ) | ||
Net Realized (Gain) Loss on: | ||||
Investments and Securities Sold Short | 9,935 | |||
Net Change in Unrealized (Appreciation) Depreciation on: | ||||
Investments and Securities Sold Short | 38,429 | |||
Changes in Assets: | ||||
OTC Swap Contracts, at Value | 2,755 | |||
OTC Options, at value | 1,568 | |||
Cash Collateral on Over The Counter Swaps | (570 | ) | ||
Cash Collateral on Centrally Cleared Swaps | 1,051 | |||
Cash Collateral on Futures | (2,363 | ) | ||
Receivable for Investment Securities Sold | (3,947 | ) | ||
Dividends and Interest Receivable | (434 | ) | ||
Receivable for Variation Margin on Futures | 2,528 | |||
Receivable for Variation Margin on Swaps | (298 | ) | ||
Foreign Tax Reclaim receivable | 4 | |||
Unrealized Loss on Forward Foreign Currency Contracts | 186 | |||
Due from Broker | (547 | ) | ||
Prepaid expenses | 1 | |||
Changes in Liabilities: | ||||
OTC Swap Contracts, at Value | 2,027 | |||
OTC Options, at value | (909 | ) | ||
Payable for securities sold short | (2,842 | ) | ||
Payable for Investment Securities Purchased | (6,736 | ) | ||
Administration Fees Payable | 13 | |||
Shareholder Servicing Fees Payable | (164 | ) | ||
Payable for Variation Margin on Futures | 430 | |||
Payable for Variation Margin on Swaps | (895 | ) | ||
Repurchase Agreements Payable | 467 | |||
Investment Advisory Fees Payable | (17 | ) | ||
Due to Broker | 1,502 | |||
Unrealized Gain on Forward Foreign Currency Contracts | (33 | ) | ||
Accrued Expense Payable | 396 | |||
Net Cash Provided by Operating Activities | 97,396 | |||
Cash Flows Used In Financing Activities | ||||
Reverse Repurchase Agreements | (64,214 | ) | ||
Dividends and Distributions | (62,112 | ) | ||
Proceeds from Shares Issued | 197,024 | |||
Reinvestment of Dividends and Distributions | 56,688 | |||
Cost of Shares Redeemed | (266,175 | ) | ||
Net Cash Used In Financing Activities | (138,789 | ) | ||
Net Change in Cash, Restricted Cash, and Foreign Currency | (41,393 | ) | ||
Cash, Restricted Cash, and Foreign Currency at Beginning of Period | $ | 178,510 | �� | |
Cash, Restricted Cash, and Foreign Currency at End of Period | $ | 137,117 | ||
Supplemental Disclosure of Cash Flow Information Interest paid | $ | 1,160 |
The accompanying notes are an integral part of the financial statements.
402
SEI Institutional Managed Trust / Annual Report / September 30, 2022
FINANCIAL HIGHLIGHTS
For the years or periods ended September 30, (unless otherwise indicated)
For a share outstanding throughout each period
Net Asset | Net | Net Realized | Total | Distributions | Distributions | Total | Net Asset | Total | Net Assets | Ratio of Net | Ratio of Expenses | Ratio of Net | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
Large Cap Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 17.51 | $ | 0.12 | $ | (2.62 | ) | $ | (2.50 | ) | $ | (0.10 | ) | $ | (2.25 | ) | $ | (2.35 | ) | $ | 12.66 | (17.25 | )% | $ | 1,519,963 | 0.89 | % | 0.95 | % | 0.75 | % | 39 | % | |||||||||||||||||||||||
2021 | 13.95 | 0.10 | 4.00 | 4.10 | (0.12 | ) | (0.42 | ) | (0.54 | ) | 17.51 | 29.93 | 2,050,558 | 0.89 | 0.95 | 0.63 | 33 | |||||||||||||||||||||||||||||||||||||||
2020 | 13.94 | 0.16 | 0.89 | 1.05 | (0.18 | ) | (0.86 | ) | (1.04 | ) | 13.95 | 7.67 | 1,944,209 | 0.89 | 0.96 | 1.16 | 63 | |||||||||||||||||||||||||||||||||||||||
2019 | 15.92 | 0.19 | (0.22 | ) | (0.03 | ) | (0.18 | ) | (1.77 | ) | (1.95 | ) | 13.94 | 1.17 | 2,158,883 | 0.89 | 0.95 | 1.37 | 72 | |||||||||||||||||||||||||||||||||||||
2018 | 14.65 | 0.13 | 2.22 | 2.35 | (0.12 | ) | (0.96 | ) | (1.08 | ) | 15.92 | 16.80 | 2,439,320 | 0.89 | 0.94 | 0.87 | 80 | |||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 17.52 | $ | 0.15 | $ | (2.62 | ) | $ | (2.47 | ) | $ | (0.14 | ) | $ | (2.25 | ) | $ | (2.39 | ) | $ | 12.66 | (17.08 | )% | $ | 49,941 | 0.64 | % | 0.70 | % | 0.95 | % | 39 | % | |||||||||||||||||||||||
2021 | 13.95 | 0.15 | 4.00 | 4.15 | (0.16 | ) | (0.42 | ) | (0.58 | ) | 17.52 | 30.33 | 109,909 | 0.64 | 0.70 | 0.88 | 33 | |||||||||||||||||||||||||||||||||||||||
2020 | 13.95 | 0.19 | 0.89 | 1.08 | (0.22 | ) | (0.86 | ) | (1.08 | ) | 13.95 | 7.86 | 103,168 | 0.64 | 0.71 | 1.41 | 63 | |||||||||||||||||||||||||||||||||||||||
2019 | 15.93 | 0.22 | (0.22 | ) | — | (0.21 | ) | (1.77 | ) | (1.98 | ) | 13.95 | 1.44 | 131,736 | 0.64 | 0.70 | 1.62 | 72 | ||||||||||||||||||||||||||||||||||||||
2018 | 14.66 | 0.17 | 2.22 | 2.39 | (0.16 | ) | (0.96 | ) | (1.12 | ) | 15.93 | 17.08 | 137,136 | 0.64 | 0.69 | 1.11 | 80 | |||||||||||||||||||||||||||||||||||||||
Large Cap Value Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 27.27 | $ | 0.49 | $ | (3.07 | ) | $ | (2.58 | ) | $ | (0.48 | ) | $ | (1.19 | ) | $ | (1.67 | ) | $ | 23.02 | (10.30 | )% | $ | 1,068,126 | 0.89 | % | 0.93 | % | 1.81 | % | 24 | % | |||||||||||||||||||||||
2021 | 20.11 | 0.46 | 7.16 | 7.62 | (0.46 | ) | — | (0.46 | ) | 27.27 | 38.21 | 1,322,518 | 0.89 | 0.93 | 1.80 | 29 | ||||||||||||||||||||||||||||||||||||||||
2020 | 23.25 | 0.45 | (2.70 | ) | (2.25 | ) | (0.46 | ) | (0.43 | ) | (0.89 | ) | 20.11 | (9.96 | ) | 1,097,338 | 0.89 | 0.93 | 2.15 | 65 | ||||||||||||||||||||||||||||||||||||
2019 | 26.21 | 0.50 | (0.92 | ) | (0.42 | ) | (0.48 | ) | (2.06 | ) | (2.54 | ) | 23.25 | (0.91 | ) | 1,190,700 | 0.89 | 0.93 | 2.17 | 52 | ||||||||||||||||||||||||||||||||||||
2018 | 24.70 | 0.39 | 2.39 | 2.78 | (0.37 | ) | (0.90 | ) | (1.27 | ) | 26.21 | 11.54 | 1,285,571 | 0.89 | 0.93 | 1.51 | 83 | |||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 27.30 | $ | 0.43 | $ | (3.07 | ) | $ | (2.64 | ) | $ | (0.42 | ) | $ | (1.19 | ) | $ | (1.61 | ) | $ | 23.05 | (10.52 | )% | $ | 2,111 | 1.11 | % | 1.18 | % | 1.57 | % | 24 | % | |||||||||||||||||||||||
2021 | 20.13 | 0.40 | 7.18 | 7.58 | (0.41 | ) | — | (0.41 | ) | 27.30 | 37.93 | 3,060 | 1.11 | 1.18 | 1.58 | 29 | ||||||||||||||||||||||||||||||||||||||||
2020 | 23.27 | 0.41 | (2.71 | ) | (2.30 | ) | (0.41 | ) | (0.43 | ) | (0.84 | ) | 20.13 | (10.17 | ) | 2,454 | 1.11 | 1.18 | 1.93 | 65 | ||||||||||||||||||||||||||||||||||||
2019 | 26.23 | 0.45 | (0.93 | ) | (0.48 | ) | (0.42 | ) | (2.06 | ) | (2.48 | ) | 23.27 | (1.14 | ) | 3,042 | 1.11 | 1.18 | 1.95 | 52 | ||||||||||||||||||||||||||||||||||||
2018 | 24.71 | 0.33 | 2.40 | 2.73 | (0.31 | ) | (0.90 | ) | (1.21 | ) | 26.23 | 11.30 | 4,427 | 1.11 | 1.18 | 1.29 | 83 | |||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 27.27 | $ | 0.56 | $ | (3.07 | ) | $ | (2.51 | ) | $ | (0.55 | ) | $ | (1.19 | ) | $ | (1.74 | ) | $ | 23.02 | (10.06 | )% | $ | 174,123 | 0.64 | % | 0.68 | % | 2.06 | % | 24 | % | |||||||||||||||||||||||
2021 | 20.11 | 0.52 | 7.16 | 7.68 | (0.52 | ) | — | (0.52 | ) | 27.27 | 38.55 | 203,964 | 0.64 | 0.68 | 2.05 | 29 | ||||||||||||||||||||||||||||||||||||||||
2020 | 23.26 | 0.51 | (2.71 | ) | (2.20 | ) | (0.52 | ) | (0.43 | ) | (0.95 | ) | 20.11 | (9.76 | ) | 148,423 | 0.64 | 0.68 | 2.40 | 65 | ||||||||||||||||||||||||||||||||||||
2019 | 26.21 | 0.55 | (0.91 | ) | (0.36 | ) | (0.53 | ) | (2.06 | ) | (2.59 | ) | 23.26 | (0.62 | ) | 150,772 | 0.64 | 0.69 | 2.41 | 52 | ||||||||||||||||||||||||||||||||||||
2018 | 24.70 | 0.45 | 2.40 | 2.85 | (0.44 | ) | (0.90 | ) | (1.34 | ) | 26.21 | 11.82 | 141,700 | 0.64 | 0.68 | 1.77 | 83 |
† | 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 Fees Paid Indirectly, if applicable. There was no impact to the expense ratios. See Note 6 in Notes to Financial Statements. |
(1) | Per share calculated using average shares. |
Amounts designated as “—“are either $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, 2022
403
FINANCIAL HIGHLIGHTS
For the years or periods ended September 30, (unless otherwise indicated)
For a share outstanding throughout each period
Net Asset | Net | Net Realized | Total | Distributions | Distributions | Total | Net Asset | Total | Net Assets | Ratio of Net | Ratio of Expenses | Ratio of Net | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
Large Cap Growth Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 51.97 | $ | (0.02 | ) | $ | (10.34 | ) | $ | (10.36 | ) | $ | (0.01 | ) | $ | (6.74 | ) | $ | (6.75 | ) | $ | 34.86 | (23.91 | )% | $ | 1,110,117 | 0.89 | % | 0.97 | % | (0.04 | )% | 61 | % | ||||||||||||||||||||||
2021 | 45.29 | (0.13 | ) | 11.07 | 10.94 | (0.03 | ) | (4.23 | ) | (4.26 | ) | 51.97 | 25.80 | 1,515,191 | 0.89 | 0.97 | (0.26 | ) | 42 | |||||||||||||||||||||||||||||||||||||
2020 | 35.79 | 0.04 | 11.63 | 11.67 | (0.08 | ) | (2.09 | ) | (2.17 | ) | 45.29 | 34.07 | 1,395,858 | 0.89 | 0.98 | 0.11 | 58 | |||||||||||||||||||||||||||||||||||||||
2019 | 39.89 | 0.13 | 0.22 | 0.35 | (0.12 | ) | (4.33 | ) | (4.45 | ) | 35.79 | 2.43 | 1,314,152 | 0.89 | 0.98 | 0.36 | 88 | |||||||||||||||||||||||||||||||||||||||
2018 | 34.72 | 0.06 | 8.03 | 8.09 | (0.05 | ) | (2.87 | ) | (2.92 | ) | 39.89 | 24.74 | 1,416,472 | 0.89 | 0.98 | 0.16 | 75 | |||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 50.26 | $ | (0.13 | ) | $ | (9.90 | ) | $ | (10.03 | ) | $ | — | $ | (6.74 | ) | $ | (6.74 | ) | $ | 33.49 | (24.08 | )% | $ | 2,094 | 1.11 | % | 1.22 | % | (0.30 | )% | 61 | % | |||||||||||||||||||||||
2021 | 43.99 | (0.23 | ) | 10.73 | 10.50 | — | (4.23 | ) | (4.23 | ) | 50.26 | 25.53 | 4,178 | 1.11 | 1.22 | (0.49 | ) | 42 | ||||||||||||||||||||||||||||||||||||||
2020 | 34.86 | (0.04 | ) | 11.30 | 11.26 | (0.04 | ) | (2.09 | ) | (2.13 | ) | 43.99 | 33.75 | 3,239 | 1.11 | 1.23 | (0.12 | ) | 58 | |||||||||||||||||||||||||||||||||||||
2019 | 38.96 | 0.05 | 0.21 | 0.26 | (0.03 | ) | (4.33 | ) | (4.36 | ) | 34.86 | 2.22 | 2,643 | 1.11 | 1.16 | 0.14 | 88 | |||||||||||||||||||||||||||||||||||||||
2018 | 34.02 | (0.02 | ) | 7.84 | 7.82 | (0.01 | ) | (2.87 | ) | (2.88 | ) | 38.96 | 24.42 | 3,863 | 1.11 | 1.23 | (0.06 | ) | 75 | |||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 52.11 | $ | 0.10 | $ | (10.41 | ) | $ | (10.31 | ) | $ | (0.03 | ) | $ | (6.74 | ) | $ | (6.77 | ) | $ | 35.03 | (23.73 | )% | $ | 187,533 | 0.64 | % | 0.72 | % | 0.22 | % | 61 | % | |||||||||||||||||||||||
2021 | 45.35 | (0.01 | ) | 11.08 | 11.07 | (0.08 | ) | (4.23 | ) | (4.31 | ) | 52.11 | 26.10 | 223,901 | 0.64 | 0.72 | (0.02 | ) | 42 | |||||||||||||||||||||||||||||||||||||
2020 | 35.84 | 0.14 | 11.63 | 11.77 | (0.17 | ) | (2.09 | ) | (2.26 | ) | 45.35 | 34.39 | 170,883 | 0.64 | 0.73 | 0.36 | 58 | |||||||||||||||||||||||||||||||||||||||
2019 | 39.96 | 0.21 | 0.24 | 0.45 | (0.24 | ) | (4.33 | ) | (4.57 | ) | 35.84 | 2.70 | 157,270 | 0.64 | 0.73 | 0.60 | 88 | |||||||||||||||||||||||||||||||||||||||
2018 | 34.76 | 0.15 | 8.04 | 8.19 | (0.12 | ) | (2.87 | ) | (2.99 | ) | 39.96 | 25.04 | 139,001 | 0.64 | 0.73 | 0.41 | 75 | |||||||||||||||||||||||||||||||||||||||
Large Cap Index Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 15.47 | $ | 0.18 | $ | (2.82 | ) | $ | (2.64 | ) | $ | (0.18 | ) | $ | (0.05 | ) | $ | (0.23 | ) | $ | 12.60 | (17.38 | )% | $ | 901,688 | 0.25 | % | 0.64 | % | 1.20 | % | 13 | % | |||||||||||||||||||||||
2021 | 11.98 | 0.17 | 3.48 | 3.65 | (0.16 | ) | — | (0.16 | ) | 15.47 | 30.64 | 1,090,118 | 0.25 | 0.64 | 1.18 | 9 | ||||||||||||||||||||||||||||||||||||||||
2020 | 10.54 | 0.17 | 1.46 | 1.63 | (0.17 | ) | (0.02 | ) | (0.19 | ) | 11.98 | 15.67 | 706,457 | 0.25 | 0.64 | 1.52 | 8 | |||||||||||||||||||||||||||||||||||||||
2019 | 10.37 | 0.18 | 0.18 | 0.36 | (0.17 | ) | (0.02 | ) | (0.19 | ) | 10.54 | 3.61 | 455,657 | 0.25 | 0.65 | 1.81 | 6 | |||||||||||||||||||||||||||||||||||||||
2018(2) | 10.00 | 0.13 | 0.31 | 0.44 | (0.07 | ) | — | (0.07 | ) | 10.37 | 4.47 | ‡ | 233,871 | 0.25 | 0.64 | 1.93 | 6 | |||||||||||||||||||||||||||||||||||||||
Tax-Managed Large Cap Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 35.12 | $ | 0.31 | $ | (5.11 | ) | $ | (4.80 | ) | $ | (0.29 | ) | $ | (1.53 | ) | $ | (1.82 | ) | $ | 28.50 | (14.72 | )% | $ | 3,182,189 | 0.89 | % | 0.89 | % | 0.91 | % | 22 | % | |||||||||||||||||||||||
2021 | 27.26 | 0.29 | 8.28 | 8.57 | (0.30 | ) | (0.41 | ) | (0.71 | ) | 35.12 | 31.84 | 4,061,063 | 0.89 | 0.89 | 0.90 | 14 | |||||||||||||||||||||||||||||||||||||||
2020 | 27.53 | 0.31 | 1.80 | 2.11 | (0.34 | ) | (2.04 | ) | (2.38 | ) | 27.26 | 7.84 | 3,368,577 | 0.89 | 0.91 | 1.19 | 40 | |||||||||||||||||||||||||||||||||||||||
2019 | 27.66 | 0.31 | 0.04 | 0.35 | (0.30 | ) | (0.18 | ) | (0.48 | ) | 27.53 | 1.42 | 3,543,245 | 0.89 | 0.91 | 1.20 | 54 | |||||||||||||||||||||||||||||||||||||||
2018 | 24.11 | 0.22 | 3.83 | 4.05 | (0.20 | ) | (0.30 | ) | (0.50 | ) | 27.66 | 16.99 | 3,773,973 | 0.89 | 0.90 | 0.84 | 44 | |||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 35.14 | $ | 0.40 | $ | (5.11 | ) | $ | (4.71 | ) | $ | (0.38 | ) | $ | (1.53 | ) | $ | (1.91 | ) | $ | 28.52 | (14.49 | )% | $ | 428,109 | 0.64 | % | 0.64 | % | 1.16 | % | 22 | % | |||||||||||||||||||||||
2021 | 27.27 | 0.37 | 8.28 | 8.65 | (0.37 | ) | (0.41 | ) | (0.78 | ) | 35.14 | 32.18 | 516,304 | 0.64 | 0.64 | 1.14 | 14 | |||||||||||||||||||||||||||||||||||||||
2020 | 27.54 | 0.38 | 1.80 | 2.18 | (0.41 | ) | (2.04 | ) | (2.45 | ) | 27.27 | 8.11 | 408,792 | 0.64 | 0.66 | 1.44 | 40 | |||||||||||||||||||||||||||||||||||||||
2019 | 27.67 | 0.38 | 0.04 | 0.42 | (0.37 | ) | (0.18 | ) | (0.55 | ) | 27.54 | 1.67 | 447,895 | 0.64 | 0.66 | 1.46 | 54 | |||||||||||||||||||||||||||||||||||||||
2018 | 24.13 | 0.28 | 3.82 | 4.10 | (0.26 | ) | (0.30 | ) | (0.56 | ) | 27.67 | 17.22 | 371,706 | 0.64 | 0.65 | 1.08 | 44 |
† | 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 contribution from SIMC. Without the cash contribution, the Fund's return would have been 4.26% (See Note 6 in the Notes to Financial Statements). |
(1) | Per share calculated using average shares. |
(2) | Commenced operations on January 31, 2018. All ratios for the period have been annualized. |
* | Includes Fees Paid Indirectly, if applicable. There was no impact to the expense ratios. See Note 6 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.
404
SEI Institutional Managed Trust / Annual Report / September 30, 2022
FINANCIAL HIGHLIGHTS
For the years or periods ended September 30, (unless otherwise indicated)
For a share outstanding throughout each period
Net Asset | Net | Net Realized | Total | Distributions | Distributions | Total | Net Asset | Total | Net Assets | Ratio of Net | Ratio of Expenses | Ratio of Net | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
S&P 500 Index Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 92.42 | $ | 1.08 | $ | (13.98 | ) | $ | (12.90 | ) | $ | (1.04 | ) | $ | (6.14 | ) | $ | (7.18 | ) | $ | 72.34 | (15.68 | )% | $ | 740,552 | 0.25 | % | 0.54 | % | 1.23 | % | 3 | % | |||||||||||||||||||||||
2021 | 75.64 | 1.04 | 20.61 | 21.65 | (1.04 | ) | (3.83 | ) | (4.87 | ) | 92.42 | 29.73 | 981,074 | 0.25 | 0.54 | 1.20 | 5 | |||||||||||||||||||||||||||||||||||||||
2020 | 69.00 | 1.15 | 8.74 | 9.89 | (1.20 | ) | (2.05 | ) | (3.25 | ) | 75.64 | 14.82 | (2) | 844,753 | 0.25 | 0.54 | 1.64 | 19 | ||||||||||||||||||||||||||||||||||||||
2019 | 68.94 | 1.24 | 1.29 | 2.53 | (1.23 | ) | (1.24 | ) | (2.47 | ) | 69.00 | 4.07 | 826,946 | 0.25 | 0.54 | 1.90 | 11 | |||||||||||||||||||||||||||||||||||||||
2018(3) | 60.22 | 1.20 | 9.19 | 10.39 | (1.13 | ) | (0.54 | ) | (1.67 | ) | 68.94 | 17.53 | 904,819 | 0.29 | 0.55 | 1.85 | 17 | |||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 93.01 | $ | 0.73 | $ | (14.09 | ) | $ | (13.36 | ) | $ | (0.66 | ) | $ | (6.14 | ) | $ | (6.80 | ) | $ | 72.85 | (16.02 | )% | $ | 4,815 | 0.65 | % | 0.79 | % | 0.83 | % | 3 | % | |||||||||||||||||||||||
2021 | 76.11 | 0.69 | 20.75 | 21.44 | (0.71 | ) | (3.83 | ) | (4.54 | ) | 93.01 | 29.21 | 6,913 | 0.65 | 0.79 | 0.80 | 5 | |||||||||||||||||||||||||||||||||||||||
2020 | 69.39 | 0.87 | 8.82 | 9.69 | (0.92 | ) | (2.05 | ) | (2.97 | ) | 76.11 | 14.37 | (2) | 5,331 | 0.65 | 0.79 | 1.23 | 19 | ||||||||||||||||||||||||||||||||||||||
2019 | 69.31 | 0.98 | 1.30 | 2.28 | (0.96 | ) | (1.24 | ) | (2.20 | ) | 69.39 | 3.66 | 5,322 | 0.65 | 0.79 | 1.49 | 11 | |||||||||||||||||||||||||||||||||||||||
2018(3) | 60.56 | 0.92 | 9.30 | 10.22 | (0.93 | ) | (0.54 | ) | (1.47 | ) | 69.31 | 17.13 | 6,372 | 0.65 | 0.80 | 1.43 | 17 | |||||||||||||||||||||||||||||||||||||||
Small Cap Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 16.29 | $ | 0.04 | $ | (2.34 | ) | $ | (2.30 | ) | $ | (0.01 | ) | $ | (3.15 | ) | $ | (3.16 | ) | $ | 10.83 | (17.98 | )% | $ | 493,393 | 1.14 | % | 1.23 | % | 0.28 | % | 111 | % | |||||||||||||||||||||||
2021 | 10.74 | 0.01 | 5.56 | 5.57 | (0.02 | ) | — | (0.02 | ) | 16.29 | 51.86 | 653,372 | 1.14 | 1.23 | 0.09 | 139 | ||||||||||||||||||||||||||||||||||||||||
2020 | 11.05 | 0.02 | (0.31 | ) | (0.29 | ) | (0.02 | )(4) | — | (0.02 | ) | 10.74 | (2.60 | ) | 503,795 | 1.14 | 1.23 | 0.16 | 149 | |||||||||||||||||||||||||||||||||||||
2019 | 14.28 | 0.01 | (1.67 | ) | (1.66 | ) | (0.01 | ) | (1.56 | ) | (1.57 | ) | 11.05 | (10.85 | ) | 554,260 | 1.14 | 1.24 | 0.11 | 116 | ||||||||||||||||||||||||||||||||||||
2018 | 13.25 | (0.02 | ) | 1.97 | 1.95 | — | (0.92 | ) | (0.92 | ) | 14.28 | 15.56 | 690,400 | 1.14 | 1.24 | (0.17 | ) | 162 | ||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 16.46 | $ | 0.07 | $ | (2.36 | ) | $ | (2.29 | ) | $ | (0.05 | ) | $ | (3.15 | ) | $ | (3.20 | ) | $ | 10.97 | (17.78 | )% | $ | 21,121 | 0.89 | % | 0.98 | % | 0.52 | % | 111 | % | |||||||||||||||||||||||
2021 | 10.85 | 0.05 | 5.60 | 5.65 | (0.04 | ) | — | (0.04 | ) | 16.46 | 52.15 | 28,977 | 0.89 | 0.98 | 0.34 | 139 | ||||||||||||||||||||||||||||||||||||||||
2020 | 11.15 | 0.04 | (0.29 | ) | (0.25 | ) | (0.05 | )(4) | — | (0.05 | ) | 10.85 | (2.23 | ) | 25,727 | 0.89 | 0.98 | 0.41 | 149 | |||||||||||||||||||||||||||||||||||||
2019 | 14.38 | 0.04 | (1.69 | ) | (1.65 | ) | (0.02 | ) | (1.56 | ) | (1.58 | ) | 11.15 | (10.66 | ) | 33,128 | 0.89 | 0.99 | 0.36 | 116 | ||||||||||||||||||||||||||||||||||||
2018 | 13.31 | 0.01 | 1.98 | 1.99 | — | ^ | (0.92 | ) | (0.92 | ) | 14.38 | 15.83 | 36,423 | 0.89 | 0.99 | 0.07 | 162 |
† | 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 Fees Paid Indirectly, if applicable. There was no impact to the expense ratios. See Note 6 in Notes to Financial Statements. |
(1) | Per share calculated using average shares. |
(2) | Includes contribution from SIMC. Without the cash contribution, the Fund's return for Class F and Class I would have been 14.78% and 14.33%, respectively (See Note 6 in the Notes to Financial Statements). |
(3) | On April 20, 2018, the Class Y shares and Class E shares were converted to Class F shares. The performance and financial history shown of the class is solely that of the fund's Class F shares. |
(4) | Includes return of capital less than $0.005. |
^ | Amount represents less than $0.005 per share. |
Amounts designated as “—“ are either $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, 2022
405
FINANCIAL HIGHLIGHTS
For the years or periods ended September 30, (unless otherwise indicated)
For a share outstanding throughout each period
Net Asset | Net | Net Realized | Total | Distributions | Distributions | Total | Net Asset | Total | Net Assets | Ratio of Net | Ratio of Expenses | Ratio of Net | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
Small Cap Value Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 27.04 | $ | 0.21 | $ | (4.29 | ) | $ | (4.08 | ) | $ | (0.18 | ) | $ | (2.01 | ) | $ | (2.19 | ) | $ | 20.77 | (16.59 | )% | $ | 289,279 | 1.14 | % | 1.23 | % | 0.82 | % | 42 | % | |||||||||||||||||||||||
2021 | 17.07 | 0.14 | 9.98 | 10.12 | (0.15 | ) | — | (0.15 | ) | 27.04 | 59.43 | 364,946 | 1.14 | 1.23 | 0.56 | 80 | ||||||||||||||||||||||||||||||||||||||||
2020 | 20.60 | 0.17 | (3.46 | ) | (3.29 | ) | (0.24 | ) | — | (0.24 | ) | 17.07 | (16.03 | ) | 250,718 | 1.14 | 1.24 | 0.91 | 65 | |||||||||||||||||||||||||||||||||||||
2019 | 25.54 | 0.27 | (2.86 | ) | (2.59 | ) | (0.25 | ) | (2.10 | ) | (2.35 | ) | 20.60 | (9.62 | ) | 274,660 | 1.14 | 1.24 | 1.30 | 74 | ||||||||||||||||||||||||||||||||||||
2018 | 26.16 | 0.17 | 1.53 | 1.70 | (0.17 | ) | (2.15 | ) | (2.32 | ) | 25.54 | 6.81 | 336,361 | 1.14 | 1.24 | 0.68 | 132 | |||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 26.76 | $ | 0.13 | $ | (4.21 | ) | $ | (4.08 | ) | $ | (0.12 | ) | $ | (2.01 | ) | $ | (2.13 | ) | $ | 20.55 | (16.77 | )% | $ | 819 | 1.36 | % | 1.48 | % | 0.53 | % | 42 | % | |||||||||||||||||||||||
2021 | 16.90 | 0.09 | 9.87 | 9.96 | (0.10 | ) | — | (0.10 | ) | 26.76 | 59.05 | 1,900 | 1.36 | 1.48 | 0.35 | 80 | ||||||||||||||||||||||||||||||||||||||||
2020 | 20.39 | 0.12 | (3.42 | ) | (3.30 | ) | (0.19 | ) | — | (0.19 | ) | 16.90 | (16.20 | ) | 1,204 | 1.36 | 1.49 | 0.67 | 65 | |||||||||||||||||||||||||||||||||||||
2019 | 25.31 | 0.22 | (2.84 | ) | (2.62 | ) | (0.20 | ) | (2.10 | ) | (2.30 | ) | 20.39 | (9.83 | ) | 1,703 | 1.36 | 1.49 | 1.07 | 74 | ||||||||||||||||||||||||||||||||||||
2018 | 25.94 | 0.12 | 1.51 | 1.63 | (0.11 | ) | (2.15 | ) | (2.26 | ) | 25.31 | 6.59 | 2,354 | 1.36 | 1.49 | 0.46 | 132 | |||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 27.06 | $ | 0.27 | $ | (4.29 | ) | $ | (4.02 | ) | $ | (0.25 | ) | $ | (2.01 | ) | $ | (2.26 | ) | $ | 20.78 | (16.40 | )% | $ | 57,741 | 0.89 | % | 0.98 | % | 1.07 | % | 42 | % | |||||||||||||||||||||||
2021 | 17.08 | 0.20 | 9.99 | 10.19 | (0.21 | ) | — | (0.21 | ) | 27.06 | 59.84 | 67,188 | 0.89 | 0.98 | 0.82 | 80 | ||||||||||||||||||||||||||||||||||||||||
2020 | 20.61 | 0.21 | (3.46 | ) | (3.25 | ) | (0.28 | ) | — | (0.28 | ) | 17.08 | (15.80 | ) | 45,725 | 0.89 | 0.99 | 1.13 | 65 | |||||||||||||||||||||||||||||||||||||
2019 | 25.56 | 0.33 | (2.87 | ) | (2.54 | ) | (0.31 | ) | (2.10 | ) | (2.41 | ) | 20.61 | (9.42 | ) | 44,255 | 0.89 | 0.99 | 1.55 | 74 | ||||||||||||||||||||||||||||||||||||
2018 | 26.18 | 0.24 | 1.52 | 1.76 | (0.23 | ) | (2.15 | ) | (2.38 | ) | 25.56 | 7.07 | 41,421 | 0.89 | 0.99 | 0.94 | 132 | |||||||||||||||||||||||||||||||||||||||
Small Cap Growth Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 45.89 | $ | (0.06 | ) | $ | (9.02 | ) | $ | (9.08 | ) | $ | — | $ | (9.80 | ) | $ | (9.80 | ) | $ | 27.01 | (25.22 | )% | $ | 276,600 | 1.11 | % | 1.23 | % | (0.18 | )% | 172 | % | |||||||||||||||||||||||
2021 | 32.60 | (0.20 | ) | 13.49 | 13.29 | — | — | — | 45.89 | 40.77 | 382,281 | 1.11 | 1.23 | (0.45 | ) | 196 | ||||||||||||||||||||||||||||||||||||||||
2020 | 31.88 | (0.12 | ) | 1.96 | 1.84 | — | (1.12 | ) | (1.12 | ) | 32.60 | 5.68 | 290,981 | 1.11 | 1.23 | (0.39 | ) | 173 | ||||||||||||||||||||||||||||||||||||||
2019 | 42.96 | (0.11 | ) | (6.04 | ) | (6.15 | ) | — | (4.93 | ) | (4.93 | ) | 31.88 | (13.89 | ) | 293,814 | 1.11 | 1.24 | (0.33 | ) | 172 | |||||||||||||||||||||||||||||||||||
2018 | 34.42 | (0.20 | ) | 8.86 | 8.66 | — | (0.12 | ) | (0.12 | ) | 42.96 | 25.25 | 386,055 | 1.11 | 1.24 | (0.53 | ) | 168 | ||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 43.32 | $ | (0.15 | ) | $ | (8.35 | ) | $ | (8.50 | ) | $ | — | $ | (9.80 | ) | $ | (9.80 | ) | $ | 25.02 | (25.41 | )% | $ | 850 | 1.36 | % | 1.48 | % | (0.45 | )% | 172 | % | |||||||||||||||||||||||
2021 | 30.85 | (0.29 | ) | 12.76 | 12.47 | — | — | — | 43.32 | 40.42 | 1,717 | 1.36 | 1.48 | (0.70 | ) | 196 | ||||||||||||||||||||||||||||||||||||||||
2020 | 30.29 | (0.19 | ) | 1.87 | 1.68 | — | (1.12 | ) | (1.12 | ) | 30.85 | 5.44 | 1,245 | 1.36 | 1.48 | (0.64 | ) | 173 | ||||||||||||||||||||||||||||||||||||||
2019 | 41.21 | (0.19 | ) | (5.80 | ) | (5.99 | ) | — | (4.93 | ) | (4.93 | ) | 30.29 | (14.13 | ) | 1,408 | 1.36 | 1.49 | (0.59 | ) | 172 | |||||||||||||||||||||||||||||||||||
2018 | 33.11 | (0.28 | ) | 8.50 | 8.22 | — | (0.12 | ) | (0.12 | ) | 41.21 | 24.92 | 2,127 | 1.36 | 1.49 | (0.79 | ) | 168 | ||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 46.65 | $ | 0.02 | $ | (9.21 | ) | $ | (9.19 | ) | $ | — | $ | (9.80 | ) | $ | (9.80 | ) | $ | 27.66 | (25.01 | )% | $ | 32,503 | 0.86 | % | 0.98 | % | 0.07 | % | 172 | % | ||||||||||||||||||||||||
2021 | 33.06 | (0.09 | ) | 13.68 | 13.59 | — | — | — | 46.65 | 41.11 | 44,407 | 0.86 | 0.98 | (0.20 | ) | 196 | ||||||||||||||||||||||||||||||||||||||||
2020 | 32.23 | (0.04 | ) | 1.99 | 1.95 | — | (1.12 | ) | (1.12 | ) | 33.06 | 5.97 | 32,593 | 0.86 | 0.98 | (0.14 | ) | 173 | ||||||||||||||||||||||||||||||||||||||
2019 | 43.27 | (0.03 | ) | (6.08 | ) | (6.11 | ) | — | (4.93 | ) | (4.93 | ) | 32.23 | (13.68 | ) | 33,340 | 0.86 | 0.99 | (0.08 | ) | 172 | |||||||||||||||||||||||||||||||||||
2018 | 34.59 | (0.11 | ) | 8.91 | 8.80 | — | (0.12 | ) | (0.12 | ) | 43.27 | 25.56 | 34,078 | 0.86 | 0.99 | (0.28 | ) | 168 |
† | 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 Fees Paid Indirectly, if applicable. There was no impact to the expense ratios. See Note 6 in Notes to Financial Statements. |
(1) | Per share calculated using average shares. |
Amounts designated as “—“ are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
406
SEI Institutional Managed Trust / Annual Report / September 30, 2022
FINANCIAL HIGHLIGHTS
For the years or periods ended September 30, (unless otherwise indicated)
For a share outstanding throughout each period
Net Asset | Net | Net Realized | Total | Distributions | Distributions | Total | Net Asset | Total | Net Assets | Ratio of Net | Ratio of Expenses | Ratio of Net | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
Tax-Managed Small/Mid Cap Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 28.01 | $ | 0.08 | $ | (4.83 | ) | $ | (4.75 | ) | $ | (0.05 | ) | $ | (2.57 | ) | $ | (2.62 | ) | $ | 20.64 | (18.96 | )% | $ | 691,835 | 1.11 | % | 1.23 | % | 0.33 | % | 58 | % | |||||||||||||||||||||||
2021 | 19.41 | 0.03 | 8.61 | 8.64 | (0.04 | ) | — | (0.04 | ) | 28.01 | 44.52 | 917,919 | 1.11 | 1.23 | 0.10 | 71 | ||||||||||||||||||||||||||||||||||||||||
2020 | 21.04 | 0.04 | (1.15 | ) | (1.11 | ) | (0.08 | ) | (0.44 | ) | (0.52 | ) | 19.41 | (5.47 | ) | 664,941 | 1.11 | 1.24 | 0.22 | 90 | ||||||||||||||||||||||||||||||||||||
2019 | 25.02 | 0.11 | (2.32 | ) | (2.21 | ) | (0.10 | ) | (1.67 | ) | (1.77 | ) | 21.04 | (8.27 | ) | 771,375 | 1.11 | 1.23 | 0.54 | 115 | ||||||||||||||||||||||||||||||||||||
2018 | 22.09 | 0.02 | 3.34 | 3.36 | (0.02 | ) | (0.41 | ) | (0.43 | ) | 25.02 | 15.38 | 907,519 | 1.11 | 1.23 | 0.07 | 186 | |||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 28.07 | $ | 0.14 | $ | (4.85 | ) | $ | (4.71 | ) | $ | (0.11 | ) | $ | (2.57 | ) | $ | (2.68 | ) | $ | 20.68 | (18.81 | )% | $ | 88,914 | 0.89 | % | 0.98 | % | 0.55 | % | 58 | % | |||||||||||||||||||||||
2021 | 19.45 | 0.08 | 8.63 | 8.71 | (0.09 | ) | — | (0.09 | ) | 28.07 | 44.81 | 112,357 | 0.89 | 0.98 | 0.32 | 71 | ||||||||||||||||||||||||||||||||||||||||
2020 | 21.06 | 0.09 | (1.14 | ) | (1.05 | ) | (0.12 | ) | (0.44 | ) | (0.56 | ) | 19.45 | (5.20 | ) | 84,564 | 0.89 | 0.99 | 0.44 | 90 | ||||||||||||||||||||||||||||||||||||
2019 | 25.07 | 0.16 | (2.34 | ) | (2.18 | ) | (0.16 | ) | (1.67 | ) | (1.83 | ) | 21.06 | (8.12 | ) | 98,434 | 0.89 | 0.99 | 0.77 | 115 | ||||||||||||||||||||||||||||||||||||
2018 | 22.11 | 0.07 | 3.35 | 3.42 | (0.05 | ) | (0.41 | ) | (0.46 | ) | 25.07 | 15.69 | 88,854 | 0.89 | 0.98 | 0.29 | 186 | |||||||||||||||||||||||||||||||||||||||
Mid-Cap Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 32.65 | $ | 0.18 | $ | (4.20 | ) | $ | (4.02 | ) | $ | (0.14 | ) | $ | (5.68 | ) | $ | (5.82 | ) | $ | 22.81 | (15.67 | )% | $ | 65,124 | 0.98 | % | 0.98 | % | 0.64 | % | 95 | % | |||||||||||||||||||||||
2021 | 23.59 | 0.15 | 9.13 | 9.28 | (0.22 | ) | — | (0.22 | ) | 32.65 | 39.49 | 78,488 | 0.98 | 0.98 | 0.49 | 163 | ||||||||||||||||||||||||||||||||||||||||
2020 | 24.94 | 0.28 | (1.00 | ) | (0.72 | ) | (0.29 | ) | (0.34 | ) | (0.63 | ) | 23.59 | (2.87 | ) | 66,828 | 0.98 | 0.98 | 1.17 | 108 | ||||||||||||||||||||||||||||||||||||
2019 | 29.13 | 0.22 | (1.43 | ) | (1.21 | ) | (0.20 | ) | (2.78 | ) | (2.98 | ) | 24.94 | (3.10 | ) | 102,280 | 0.98 | 0.99 | 0.89 | 99 | ||||||||||||||||||||||||||||||||||||
2018 | 27.81 | 0.19 | 3.37 | 3.56 | (0.21 | ) | (2.03 | ) | (2.24 | ) | 29.13 | 13.41 | 131,640 | 0.98 | 0.99 | 0.66 | 99 | |||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 32.59 | $ | 0.10 | $ | (4.18 | ) | $ | (4.08 | ) | $ | (0.08 | ) | $ | (5.68 | ) | $ | (5.76 | ) | $ | 22.75 | (15.88 | )% | $ | 311 | 1.20 | % | 1.23 | % | 0.37 | % | 95 | % | |||||||||||||||||||||||
2021 | 23.55 | 0.09 | 9.11 | 9.20 | (0.16 | ) | — | (0.16 | ) | 32.59 | 39.19 | 669 | 1.20 | 1.23 | 0.28 | 163 | ||||||||||||||||||||||||||||||||||||||||
2020 | 24.91 | 0.22 | (0.99 | ) | (0.77 | ) | (0.25 | ) | (0.34 | ) | (0.59 | ) | 23.55 | (3.13 | ) | 583 | 1.20 | 1.23 | 0.96 | 108 | ||||||||||||||||||||||||||||||||||||
2019 | 29.09 | 0.16 | (1.41 | ) | (1.25 | ) | (0.15 | ) | (2.78 | ) | (2.93 | ) | 24.91 | (3.27 | ) | 716 | 1.20 | 1.24 | 0.66 | 99 | ||||||||||||||||||||||||||||||||||||
2018 | 27.78 | 0.12 | 3.36 | 3.48 | (0.14 | ) | (2.03 | ) | (2.17 | ) | 29.09 | 13.11 | 821 | 1.20 | 1.24 | 0.42 | 99 | |||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 32.67 | $ | 0.25 | $ | (4.21 | ) | $ | (3.96 | ) | $ | (0.21 | ) | $ | (5.68 | ) | $ | (5.89 | ) | $ | 22.82 | (15.48 | )% | $ | 3,559 | 0.73 | % | 0.73 | % | 0.92 | % | 95 | % | |||||||||||||||||||||||
2021 | 23.61 | 0.22 | 9.13 | 9.35 | (0.29 | ) | — | (0.29 | ) | 32.67 | 39.80 | 3,667 | 0.73 | 0.73 | 0.71 | 163 | ||||||||||||||||||||||||||||||||||||||||
2020 | 24.96 | 0.33 | (0.99 | ) | (0.66 | ) | (0.35 | ) | (0.34 | ) | (0.69 | ) | 23.61 | (2.61 | ) | 2,584 | 0.73 | 0.73 | 1.42 | 108 | ||||||||||||||||||||||||||||||||||||
2019 | 29.15 | 0.28 | (1.42 | ) | (1.14 | ) | (0.27 | ) | (2.78 | ) | (3.05 | ) | 24.96 | (2.85 | ) | 2,604 | 0.73 | 0.74 | 1.14 | 99 | ||||||||||||||||||||||||||||||||||||
2018 | 27.83 | 0.26 | 3.37 | 3.63 | (0.28 | ) | (2.03 | ) | (2.31 | ) | 29.15 | 13.68 | 2,962 | 0.73 | 0.74 | 0.92 | 99 |
† | 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 Fees Paid Indirectly, if applicable. There was no impact to the expense ratios. See Note 6 in Notes to Financial Statements. |
(1) | Per share calculated using average shares. |
Amounts designated as “—“ are either $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, 2022
407
FINANCIAL HIGHLIGHTS
For the years or periods ended September 30, (unless otherwise indicated)
For a share outstanding throughout each period
Net Asset | Net | Net Realized | Total | Distributions | Distributions | Total | Net Asset | Total | Net Assets | Ratio of Net | Ratio of Expenses | Ratio of Net | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
U.S. Managed Volatility Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 17.64 | $ | 0.30 | $ | (1.16 | ) | $ | (0.86 | ) | $ | (0.29 | ) | $ | (1.49 | ) | $ | (1.78 | ) | $ | 15.00 | (5.98 | )% | $ | 642,383 | 0.90 | % | 1.23 | % | 1.76 | % | 48 | % | |||||||||||||||||||||||
2021 | 16.14 | 0.25 | 2.91 | 3.16 | (0.26 | ) | (1.40 | ) | (1.66 | ) | 17.64 | 20.39 | 749,637 | 0.90 | 1.23 | 1.43 | 50 | |||||||||||||||||||||||||||||||||||||||
2020 | 17.78 | 0.26 | (1.08 | ) | (0.82 | ) | (0.29 | ) | (0.53 | ) | (0.82 | ) | 16.14 | (4.87 | ) | 764,608 | 0.90 | 1.23 | 1.55 | 77 | ||||||||||||||||||||||||||||||||||||
2019 | 18.69 | 0.32 | 0.91 | 1.23 | (0.31 | ) | (1.83 | ) | (2.14 | ) | 17.78 | 7.89 | 914,612 | 0.93 | 1.23 | 1.89 | 44 | |||||||||||||||||||||||||||||||||||||||
2018 | 18.26 | 0.26 | 1.80 | 2.06 | (0.27 | ) | (1.36 | ) | (1.63 | ) | 18.69 | 11.83 | 934,551 | 0.97 | 1.23 | 1.44 | 72 | |||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 17.64 | $ | 0.28 | $ | (1.19 | ) | $ | (0.91 | ) | $ | (0.24 | ) | $ | (1.49 | ) | $ | (1.73 | ) | $ | 15.00 | (6.26 | )% | $ | 497 | 1.15 | % | 1.48 | % | 1.61 | % | 48 | % | |||||||||||||||||||||||
2021 | 16.13 | 0.21 | 2.92 | 3.13 | (0.22 | ) | (1.40 | ) | (1.62 | ) | 17.64 | 20.17 | 1,324 | 1.15 | 1.48 | 1.17 | 50 | |||||||||||||||||||||||||||||||||||||||
2020 | 17.78 | 0.21 | (1.08 | ) | (0.87 | ) | (0.25 | ) | (0.53 | ) | (0.78 | ) | 16.13 | (5.17 | ) | 1,282 | 1.15 | 1.48 | 1.29 | 77 | ||||||||||||||||||||||||||||||||||||
2019 | 18.69 | 0.28 | 0.91 | 1.19 | (0.27 | ) | (1.83 | ) | (2.10 | ) | 17.78 | 7.62 | 1,345 | 1.18 | 1.48 | 1.64 | 44 | |||||||||||||||||||||||||||||||||||||||
2018 | 18.26 | 0.21 | 1.80 | 2.01 | (0.22 | ) | (1.36 | ) | (1.58 | ) | 18.69 | 11.55 | 1,183 | 1.22 | 1.48 | 1.18 | 72 | |||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 17.65 | $ | 0.34 | $ | (1.15 | ) | $ | (0.81 | ) | $ | (0.34 | ) | $ | (1.49 | ) | $ | (1.83 | ) | $ | 15.01 | (5.73 | )% | $ | 154,562 | 0.65 | % | 0.98 | % | 2.01 | % | 48 | % | |||||||||||||||||||||||
2021 | 16.15 | 0.29 | 2.92 | 3.21 | (0.31 | ) | (1.40 | ) | (1.71 | ) | 17.65 | 20.68 | 200,659 | 0.65 | 0.98 | 1.69 | 50 | |||||||||||||||||||||||||||||||||||||||
2020 | 17.79 | 0.30 | (1.08 | ) | (0.78 | ) | (0.33 | ) | (0.53 | ) | (0.86 | ) | 16.15 | (4.62 | ) | 870,935 | 0.65 | 0.98 | 1.79 | 77 | ||||||||||||||||||||||||||||||||||||
2019 | 18.70 | 0.37 | 0.91 | 1.28 | (0.36 | ) | (1.83 | ) | (2.19 | ) | 17.79 | 8.16 | 922,175 | 0.68 | 0.98 | 2.15 | 44 | |||||||||||||||||||||||||||||||||||||||
2018 | 18.27 | 0.30 | 1.80 | 2.10 | (0.31 | ) | (1.36 | ) | (1.67 | ) | 18.70 | 12.11 | 682,081 | 0.72 | 0.98 | 1.68 | 72 | |||||||||||||||||||||||||||||||||||||||
Global Managed Volatility Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 11.78 | $ | 0.15 | $ | (1.03 | ) | $ | (0.88 | ) | $ | (0.13 | ) | $ | (1.22 | ) | $ | (1.35 | ) | $ | 9.55 | (9.19 | )% | $ | 710,669 | 1.11 | % | 1.23 | % | 1.35 | % | 88 | % | |||||||||||||||||||||||
2021 | 10.40 | 0.12 | 1.37 | 1.49 | (0.09 | ) | (0.02 | ) | (0.11 | ) | 11.78 | 14.40 | 881,712 | 1.11 | 1.23 | 1.07 | 80 | |||||||||||||||||||||||||||||||||||||||
2020 | 11.46 | 0.12 | (0.57 | ) | (0.45 | ) | (0.28 | ) | (0.33 | ) | (0.61 | ) | 10.40 | (4.33 | ) | 913,791 | 1.11 | 1.25 | 1.12 | 86 | ||||||||||||||||||||||||||||||||||||
2019 | 12.08 | 0.18 | 0.26 | 0.44 | (0.29 | ) | (0.77 | ) | (1.06 | ) | 11.46 | 4.75 | 1,060,614 | 1.11 | 1.24 | 1.61 | 66 | |||||||||||||||||||||||||||||||||||||||
2018 | 11.97 | 0.17 | 0.77 | 0.94 | (0.18 | ) | (0.65 | ) | (0.83 | ) | 12.08 | 8.12 | 1,184,336 | 1.11 | 1.24 | 1.46 | 55 | |||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 11.48 | $ | 0.10 | $ | (0.98 | ) | $ | (0.88 | ) | $ | (0.10 | ) | $ | (1.22 | ) | $ | (1.32 | ) | $ | 9.28 | (9.37 | )% | $ | 416 | 1.36 | % | 1.48 | % | 0.88 | % | 88 | % | |||||||||||||||||||||||
2021 | 10.15 | 0.09 | 1.33 | 1.42 | (0.07 | ) | (0.02 | ) | (0.09 | ) | 11.48 | 14.01 | 1,041 | 1.36 | 1.48 | 0.83 | 80 | |||||||||||||||||||||||||||||||||||||||
2020 | 11.19 | 0.09 | (0.55 | ) | (0.46 | ) | (0.25 | ) | (0.33 | ) | (0.58 | ) | 10.15 | (4.51 | ) | 952 | 1.36 | 1.50 | 0.88 | 86 | ||||||||||||||||||||||||||||||||||||
2019 | 11.82 | 0.15 | 0.25 | 0.40 | (0.26 | ) | (0.77 | ) | (1.03 | ) | 11.19 | 4.45 | 1,067 | 1.36 | 1.49 | 1.36 | 66 | |||||||||||||||||||||||||||||||||||||||
2018 | 11.73 | 0.14 | 0.75 | 0.89 | (0.15 | ) | (0.65 | ) | (0.80 | ) | 11.82 | 7.87 | 1,225 | 1.36 | 1.49 | 1.19 | 55 | |||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 11.81 | $ | 0.18 | $ | (1.04 | ) | $ | (0.86 | ) | $ | (0.15 | ) | $ | (1.22 | ) | $ | (1.37 | ) | $ | 9.58 | (8.95 | )% | $ | 105,301 | 0.86 | % | 0.98 | % | 1.60 | % | 88 | % | |||||||||||||||||||||||
2021 | 10.43 | 0.15 | 1.37 | 1.52 | (0.12 | ) | (0.02 | ) | (0.14 | ) | 11.81 | 14.65 | 127,801 | 0.86 | 0.98 | 1.31 | 80 | |||||||||||||||||||||||||||||||||||||||
2020 | 11.49 | 0.15 | (0.58 | ) | (0.43 | ) | (0.30 | ) | (0.33 | ) | (0.63 | ) | 10.43 | (4.08 | ) | 143,066 | 0.86 | 1.00 | 1.39 | 86 | ||||||||||||||||||||||||||||||||||||
2019 | 12.12 | 0.21 | 0.25 | 0.46 | (0.32 | ) | (0.77 | ) | (1.09 | ) | 11.49 | 4.95 | 220,260 | 0.86 | 0.99 | 1.86 | 66 | |||||||||||||||||||||||||||||||||||||||
2018 | 12.00 | 0.20 | 0.78 | 0.98 | (0.21 | ) | (0.65 | ) | (0.86 | ) | 12.12 | 8.46 | 233,708 | 0.86 | 0.99 | 1.74 | 55 |
† | 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 Fees Paid Indirectly, if applicable. There was no impact to the expense ratios. See Note 6 in Notes to Financial Statements. |
(1) | Per share calculated using average shares. |
Amounts designated as “—“are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
408
SEI Institutional Managed Trust / Annual Report / September 30, 2022
FINANCIAL HIGHLIGHTS
For the years or periods ended September 30, (unless otherwise indicated)
For a share outstanding throughout each period
Net Asset | Net | Net Realized | Total | Distributions | Distributions | Total | Net Asset | Total | Net Assets | Ratio of Net | Ratio of Expenses | Ratio of Net | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
Tax-Managed Managed Volatility Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 19.75 | $ | 0.19 | $ | (0.58 | ) | $ | (0.39 | ) | $ | (0.19 | ) | $ | (0.78 | ) | $ | (0.97 | ) | $ | 18.39 | (2.48 | )% | $ | 787,892 | 1.00 | % | 1.23 | % | 0.96 | % | 17 | % | |||||||||||||||||||||||
2021 | 16.66 | 0.19 | 3.23 | 3.42 | (0.20 | ) | (0.13 | ) | (0.33 | ) | 19.75 | 20.76 | 920,670 | 1.00 | 1.23 | 1.04 | 17 | |||||||||||||||||||||||||||||||||||||||
2020 | 17.61 | 0.25 | (0.51 | ) | (0.26 | ) | (0.27 | ) | (0.42 | ) | (0.69 | ) | 16.66 | (1.53 | ) | 856,160 | 1.00 | 1.23 | 1.48 | 27 | ||||||||||||||||||||||||||||||||||||
2019 | 17.22 | 0.27 | 0.88 | 1.15 | (0.27 | ) | (0.49 | ) | (0.76 | ) | 17.61 | 7.16 | 1,004,802 | 1.00 | 1.23 | 1.65 | 29 | |||||||||||||||||||||||||||||||||||||||
2018 | 15.96 | 0.21 | 1.70 | 1.91 | (0.22 | ) | (0.43 | ) | (0.65 | ) | 17.22 | 12.26 | 1,030,813 | 1.00 | 1.23 | 1.31 | 24 | |||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 19.76 | $ | 0.24 | $ | (0.59 | ) | $ | (0.35 | ) | $ | (0.24 | ) | $ | (0.78 | ) | $ | (1.02 | ) | $ | 18.39 | (2.28 | )% | $ | 77,782 | 0.75 | % | 0.98 | % | 1.21 | % | 17 | % | |||||||||||||||||||||||
2021 | 16.66 | 0.24 | 3.24 | 3.48 | (0.25 | ) | (0.13 | ) | (0.38 | ) | 19.76 | 21.12 | 83,410 | 0.75 | 0.98 | 1.28 | 17 | |||||||||||||||||||||||||||||||||||||||
2020 | 17.62 | 0.29 | (0.52 | ) | (0.23 | ) | (0.31 | ) | (0.42 | ) | (0.73 | ) | 16.66 | (1.34 | ) | 76,132 | 0.75 | 0.98 | 1.73 | 27 | ||||||||||||||||||||||||||||||||||||
2019 | 17.23 | 0.31 | 0.88 | 1.19 | (0.31 | ) | (0.49 | ) | (0.80 | ) | 17.62 | 7.42 | 87,717 | 0.75 | 0.99 | 1.88 | 29 | |||||||||||||||||||||||||||||||||||||||
2018 | 15.96 | 0.26 | 1.70 | 1.96 | (0.26 | ) | (0.43 | ) | (0.69 | ) | 17.23 | 12.60 | 78,609 | 0.75 | 0.99 | 1.56 | 24 | |||||||||||||||||||||||||||||||||||||||
Tax-Managed International Managed Volatility Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 11.30 | $ | 0.31 | $ | (2.57 | ) | $ | (2.26 | ) | $ | (0.35 | ) | $ | — | $ | (0.35 | ) | $ | 8.69 | (20.68 | )% | $ | 251,038 | 1.11 | % | 1.39 | % | 2.94 | % | 73 | % | ||||||||||||||||||||||||
2021 | 10.15 | 0.27 | 1.06 | 1.33 | (0.18 | ) | — | (0.18 | ) | 11.30 | 13.23 | 338,490 | 1.11 | 1.39 | 2.44 | 79 | ||||||||||||||||||||||||||||||||||||||||
2020 | 10.77 | 0.19 | (0.49 | ) | (0.30 | ) | (0.32 | ) | — | (0.32 | ) | 10.15 | (3.08 | ) | 315,250 | 1.11 | 1.41 | 1.84 | 79 | |||||||||||||||||||||||||||||||||||||
2019 | 11.38 | 0.27 | (0.61 | ) | (0.34 | ) | (0.27 | ) | — | (0.27 | ) | 10.77 | (2.76 | ) | 331,996 | 1.11 | 1.40 | 2.54 | 55 | |||||||||||||||||||||||||||||||||||||
2018 | 11.56 | 0.26 | (0.15 | ) | 0.11 | (0.29 | ) | — | (0.29 | ) | 11.38 | 0.93 | 355,027 | 1.11 | 1.40 | 2.21 | 54 | |||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 11.32 | $ | 0.34 | $ | (2.57 | ) | $ | (2.23 | ) | $ | (0.38 | ) | $ | — | $ | (0.38 | ) | $ | 8.71 | (20.44 | )% | $ | 41,566 | 0.86 | % | 1.14 | % | 3.17 | % | 73 | % | ||||||||||||||||||||||||
2021 | 10.17 | 0.30 | 1.06 | 1.36 | (0.21 | ) | — | (0.21 | ) | 11.32 | 13.48 | 56,993 | 0.86 | 1.14 | 2.69 | 79 | ||||||||||||||||||||||||||||||||||||||||
2020 | 10.79 | 0.23 | (0.51 | ) | (0.28 | ) | (0.34 | ) | — | (0.34 | ) | 10.17 | (2.84 | ) | 53,255 | 0.86 | 1.16 | 2.27 | 79 | |||||||||||||||||||||||||||||||||||||
2019 | 11.40 | 0.32 | (0.63 | ) | (0.31 | ) | (0.30 | ) | — | (0.30 | ) | 10.79 | (2.47 | ) | 42,782 | 0.86 | 1.15 | 3.05 | 55 | |||||||||||||||||||||||||||||||||||||
2018 | 11.58 | 0.30 | (0.16 | ) | 0.14 | (0.32 | ) | — | (0.32 | ) | 11.40 | 1.16 | 25,862 | 0.86 | 1.15 | 2.60 | 54 | |||||||||||||||||||||||||||||||||||||||
Real Estate Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 17.62 | $ | 0.15 | $ | (2.89 | ) | $ | (2.74 | ) | $ | (0.23 | ) | $ | (1.09 | ) | $ | (1.32 | ) | $ | 13.56 | (17.41 | )% | $ | 61,247 | 1.14 | % | 1.23 | % | 0.87 | % | 77 | % | |||||||||||||||||||||||
2021 | 13.51 | 0.11 | 4.87 | 4.98 | (0.20 | ) | (0.67 | ) | (0.87 | ) | 17.62 | 38.41 | 84,666 | 1.14 | 1.23 | 0.67 | 78 | |||||||||||||||||||||||||||||||||||||||
2020 | 17.24 | 0.14 | (2.47 | ) | (2.33 | ) | (0.28 | ) | (1.12 | ) | (1.40 | ) | 13.51 | (14.21 | ) | 74,099 | 1.14 | 1.23 | 0.95 | 123 | ||||||||||||||||||||||||||||||||||||
2019 | 16.06 | 0.23 | 2.31 | 2.54 | (0.21 | ) | (1.15 | ) | (1.36 | ) | 17.24 | 17.35 | 104,562 | 1.14 | 1.24 | 1.47 | 71 | |||||||||||||||||||||||||||||||||||||||
2018 | 17.15 | 0.24 | 0.62 | 0.86 | (0.23 | ) | (1.72 | ) | (1.95 | ) | 16.06 | 5.04 | 94,715 | 1.14 | 1.24 | 1.27 | 103 | |||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 17.58 | $ | 0.07 | $ | (2.84 | ) | $ | (2.77 | ) | $ | (0.18 | ) | $ | (1.09 | ) | $ | (1.27 | ) | $ | 13.54 | (17.54 | )% | $ | 164 | 1.36 | % | 1.48 | % | 0.38 | % | 77 | % | |||||||||||||||||||||||
2021 | 13.48 | 0.07 | 4.86 | 4.93 | (0.16 | ) | (0.67 | ) | (0.83 | ) | 17.58 | 38.14 | 424 | 1.36 | 1.48 | 0.47 | 78 | |||||||||||||||||||||||||||||||||||||||
2020 | 17.20 | 0.11 | (2.46 | ) | (2.35 | ) | (0.25 | ) | (1.12 | ) | (1.37 | ) | 13.48 | (14.38 | ) | 307 | 1.36 | 1.48 | 0.79 | 123 | ||||||||||||||||||||||||||||||||||||
2019 | 16.03 | 0.21 | 2.29 | 2.50 | (0.18 | ) | (1.15 | ) | (1.33 | ) | 17.20 | 17.06 | 420 | 1.36 | 1.48 | 1.33 | 71 | |||||||||||||||||||||||||||||||||||||||
2018 | 17.13 | 0.24 | 0.58 | 0.82 | (0.20 | ) | (1.72 | ) | (1.92 | ) | 16.03 | 4.80 | 455 | 1.36 | 1.49 | 1.31 | 103 | |||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 17.63 | $ | 0.21 | $ | (2.91 | ) | $ | (2.70 | ) | $ | (0.27 | ) | $ | (1.09 | ) | $ | (1.36 | ) | $ | 13.57 | (17.18 | )% | $ | 13,752 | 0.89 | % | 0.98 | % | 1.23 | % | 77 | % | |||||||||||||||||||||||
2021 | 13.51 | 0.15 | 4.87 | 5.02 | (0.23 | ) | (0.67 | ) | (0.90 | ) | 17.63 | 38.81 | 18,241 | 0.89 | 0.98 | 0.93 | 78 | |||||||||||||||||||||||||||||||||||||||
2020 | 17.25 | 0.21 | (2.51 | ) | (2.30 | ) | (0.32 | ) | (1.12 | ) | (1.44 | ) | 13.51 | (14.04 | ) | 17,279 | 0.89 | 0.98 | 1.40 | 123 | ||||||||||||||||||||||||||||||||||||
2019 | 16.07 | 0.27 | 2.31 | 2.58 | (0.25 | ) | (1.15 | ) | (1.40 | ) | 17.25 | 17.65 | 36,910 | 0.89 | 0.98 | 1.72 | 71 | |||||||||||||||||||||||||||||||||||||||
2018 | 17.15 | 0.32 | 0.58 | 0.90 | (0.26 | ) | (1.72 | ) | (1.98 | ) | 16.07 | 5.30 | 36,197 | 0.89 | 0.99 | 1.76 | 103 |
† | 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 Fees Paid Indirectly, if applicable. There was no impact to the expense ratios. See Note 6 in Notes to Financial Statements. |
(1) | Per share calculated using average shares. |
Amounts designated as “—“are either $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, 2022
409
FINANCIAL HIGHLIGHTS
For the years or periods ended September 30, (unless otherwise indicated)
For a share outstanding throughout each period
Net Asset | Net | Net Realized | Total | Distributions | Distributions | Total | Net Asset | Total | Net Assets | Ratio of Net | Ratio of Expenses | Ratio of Net | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
Core Fixed Income Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 11.50 | $ | 0.20 | $ | (2.09 | ) | $ | (1.89 | ) | $ | (0.21 | ) | $ | (0.03 | ) | $ | (0.24 | ) | $ | 9.37 | (16.70 | )% | $ | 3,192,558 | 0.66 | % | 0.73 | % | 1.85 | % | 362 | % | |||||||||||||||||||||||
2021 | 12.15 | 0.15 | (0.16 | ) | (0.01 | ) | (0.18 | ) | (0.46 | ) | (0.64 | ) | 11.50 | (0.08 | ) | 4,101,094 | 0.66 | 0.72 | 1.27 | 375 | ||||||||||||||||||||||||||||||||||||
2020 | 11.65 | 0.23 | 0.65 | 0.88 | (0.27 | ) | (0.11 | ) | (0.38 | ) | 12.15 | 7.75 | 3,859,455 | 0.66 | 0.73 | 1.98 | 357 | |||||||||||||||||||||||||||||||||||||||
2019 | 10.86 | 0.31 | 0.81 | 1.12 | (0.33 | ) | — | (0.33 | ) | 11.65 | 10.45 | 3,755,355 | 0.66 | 0.73 | 2.78 | 387 | ||||||||||||||||||||||||||||||||||||||||
2018 | 11.32 | 0.29 | (0.46 | ) | (0.17 | ) | (0.29 | ) | — | (0.29 | ) | 10.86 | (1.53 | ) | 3,600,785 | 0.67 | 0.77 | 2.55 | 384 | |||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 11.49 | $ | 0.17 | $ | (2.10 | ) | $ | (1.93 | ) | $ | (0.18 | ) | $ | (0.03 | ) | $ | (0.21 | ) | $ | 9.35 | (16.99 | )% | $ | 3,423 | 0.88 | % | 0.98 | % | 1.60 | % | 362 | % | |||||||||||||||||||||||
2021 | 12.14 | 0.12 | (0.15 | ) | (0.03 | ) | (0.16 | ) | (0.46 | ) | (0.62 | ) | 11.49 | (0.30 | ) | 5,102 | 0.88 | 0.97 | 1.05 | 375 | ||||||||||||||||||||||||||||||||||||
2020 | 11.64 | 0.21 | 0.66 | 0.87 | (0.26 | ) | (0.11 | ) | (0.37 | ) | 12.14 | 7.59 | 4,698 | 0.88 | 0.98 | 1.76 | 357 | |||||||||||||||||||||||||||||||||||||||
2019 | 10.86 | 0.29 | 0.79 | 1.08 | (0.30 | ) | — | (0.30 | ) | 11.64 | 10.11 | 5,085 | 0.88 | 0.98 | 2.57 | 387 | ||||||||||||||||||||||||||||||||||||||||
2018 | 11.31 | 0.26 | (0.45 | ) | (0.19 | ) | (0.26 | ) | — | (0.26 | ) | 10.86 | (1.66 | ) | 6,255 | 0.89 | 1.02 | 2.29 | 384 | |||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 11.51 | $ | 0.22 | $ | (2.10 | ) | $ | (1.88 | ) | $ | (0.23 | ) | $ | (0.03 | ) | $ | (0.26 | ) | $ | 9.37 | (16.56 | )% | $ | 409,715 | 0.41 | % | 0.48 | % | 2.11 | % | 362 | % | |||||||||||||||||||||||
2021 | 12.16 | 0.18 | (0.16 | ) | 0.02 | (0.21 | ) | (0.46 | ) | (0.67 | ) | 11.51 | 0.16 | 501,505 | 0.41 | 0.47 | 1.51 | 375 | ||||||||||||||||||||||||||||||||||||||
2020 | 11.66 | 0.26 | 0.65 | 0.91 | (0.30 | ) | (0.11 | ) | (0.41 | ) | 12.16 | 7.98 | 455,054 | 0.41 | 0.48 | 2.22 | 357 | |||||||||||||||||||||||||||||||||||||||
2019 | 10.87 | 0.34 | 0.80 | 1.14 | (0.35 | ) | — | (0.35 | ) | 11.66 | 10.71 | 439,460 | 0.41 | 0.48 | 3.03 | 387 | ||||||||||||||||||||||||||||||||||||||||
2018 | 11.32 | 0.31 | (0.44 | ) | (0.13 | ) | (0.32 | ) | — | (0.32 | ) | 10.87 | (1.20 | ) | 392,931 | 0.42 | 0.52 | 2.80 | 384 | |||||||||||||||||||||||||||||||||||||
High Yield Bond Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 7.08 | $ | 0.32 | $ | (1.20 | ) | $ | (0.88 | ) | $ | (0.40 | ) | $ | (0.05 | ) | $ | (0.45 | ) | $ | 5.75 | (12.98 | )% | $ | 1,115,354 | 0.89 | % | 0.98 | % | 4.93 | % | 49 | % | |||||||||||||||||||||||
2021 | 6.46 | 0.40 | 0.72 | 1.12 | (0.37 | ) | (0.13 | ) | (0.50 | ) | 7.08 | 17.84 | 1,430,709 | 0.89 | 0.98 | 5.78 | 67 | |||||||||||||||||||||||||||||||||||||||
2020 | 6.91 | 0.36 | (0.39 | ) | (0.03 | ) | (0.38 | ) | (0.04 | ) | (0.42 | ) | 6.46 | (0.33 | ) | 1,257,617 | 0.89 | 0.98 | 5.54 | 88 | ||||||||||||||||||||||||||||||||||||
2019 | 7.13 | 0.39 | (0.11 | ) | 0.28 | (0.39 | ) | (0.11 | ) | (0.50 | ) | 6.91 | 4.24 | 1,444,565 | 0.89 | 0.98 | 5.68 | 69 | ||||||||||||||||||||||||||||||||||||||
2018 | 7.33 | 0.38 | (0.11 | ) | 0.27 | (0.38 | ) | (0.09 | ) | (0.47 | ) | 7.13 | 3.88 | 1,484,436 | 0.89 | 0.98 | 5.38 | 58 | ||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 6.82 | $ | 0.27 | $ | (1.13 | ) | $ | (0.86 | ) | $ | (0.38 | ) | $ | (0.05 | ) | $ | (0.43 | ) | $ | 5.53 | (13.14 | )% | $ | 3 | 1.11 | % | 1.23 | % | 4.09 | % | 49 | % | |||||||||||||||||||||||
2021 | 6.22 | 0.37 | 0.70 | 1.07 | (0.34 | ) | (0.13 | ) | (0.47 | ) | 6.82 | 17.72 | 581 | 1.11 | 1.23 | 5.55 | 67 | |||||||||||||||||||||||||||||||||||||||
2020 | 6.65 | 0.33 | (0.37 | ) | (0.04 | ) | (0.35 | ) | (0.04 | ) | (0.39 | ) | 6.22 | (0.46 | ) | 409 | 1.11 | 1.23 | 4.99 | 88 | ||||||||||||||||||||||||||||||||||||
2019 | 6.88 | 0.36 | (0.12 | ) | 0.24 | (0.36 | ) | (0.11 | ) | (0.47 | ) | 6.65 | 3.79 | 11,926 | 1.12 | 1.23 | 5.51 | 69 | ||||||||||||||||||||||||||||||||||||||
2018 | 7.08 | 0.35 | (0.11 | ) | 0.24 | (0.35 | ) | (0.09 | ) | (0.44 | ) | 6.88 | 3.61 | 545 | 1.10 | 1.22 | 5.08 | 58 | ||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 7.08 | $ | 0.34 | $ | (1.20 | ) | $ | (0.86 | ) | $ | (0.42 | ) | $ | (0.05 | ) | $ | (0.47 | ) | $ | 5.75 | (12.77 | )% | $ | 159,547 | 0.64 | % | 0.73 | % | 5.20 | % | 49 | % | |||||||||||||||||||||||
2021 | 6.46 | 0.42 | 0.72 | 1.14 | (0.39 | ) | (0.13 | ) | (0.52 | ) | 7.08 | 18.13 | 195,613 | 0.64 | 0.73 | 6.03 | 67 | |||||||||||||||||||||||||||||||||||||||
2020 | 6.91 | 0.38 | (0.39 | ) | (0.01 | ) | (0.40 | ) | (0.04 | ) | (0.44 | ) | 6.46 | (0.07 | ) | 174,334 | 0.64 | 0.73 | 5.78 | 88 | ||||||||||||||||||||||||||||||||||||
2019 | 7.13 | 0.41 | (0.11 | ) | 0.30 | (0.41 | ) | (0.11 | ) | (0.52 | ) | 6.91 | 4.51 | 185,383 | 0.64 | 0.73 | 5.92 | 69 | ||||||||||||||||||||||||||||||||||||||
2018 | 7.32 | 0.40 | (0.11 | ) | 0.29 | (0.39 | ) | (0.09 | ) | (0.48 | ) | 7.13 | 4.27 | 177,644 | 0.64 | 0.73 | 5.62 | 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. |
* | Includes Fees Paid Indirectly, if applicable. There was no impact to the expense ratios. See Note 6 in Notes to Financial Statements. |
(1) | Per share calculated using average shares. |
Amounts designated as “—“ are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
410
SEI Institutional Managed Trust / Annual Report / September 30, 2022
FINANCIAL HIGHLIGHTS/CONSOLIDATED FINANCIAL HIGHLIGHTS
For the years or periods ended September 30, (unless otherwise indicated)
For a share outstanding throughout each period
Net Asset | Net | Net Realized | Total | Distributions | Distributions | Total | Net Asset | Total | Net Assets | Ratio of Net | Ratio of Expenses | Ratio of Net | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
Conservative Income Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 10.00 | $ | 0.07 | $ | (0.01 | ) | $ | 0.06 | $ | (0.06 | ) | $ | — | ^ | $ | (0.06 | ) | $ | 10.00 | 0.65 | % | $ | 344,975 | 0.25 | % | 0.58 | % | 0.67 | % | – | % | ||||||||||||||||||||||||
2021 | 10.00 | — | — | — | — | ^ | — | — | ^ | 10.00 | 0.01 | 269,681 | 0.19 | 0.58 | — | – | ||||||||||||||||||||||||||||||||||||||||
2020 | 10.00 | 0.09 | 0.01 | 0.10 | (0.10 | ) | — | (0.10 | ) | 10.00 | 0.96 | 319,030 | 0.30 | 0.59 | 0.90 | – | ||||||||||||||||||||||||||||||||||||||||
2019 | 10.00 | 0.23 | — | 0.23 | (0.23 | ) | — | (0.23 | ) | 10.00 | 2.32 | 229,166 | 0.30 | 0.59 | 2.29 | – | ||||||||||||||||||||||||||||||||||||||||
2018 | 10.00 | 0.16 | — | 0.16 | (0.16 | ) | — | (0.16 | ) | 10.00 | 1.60 | 209,822 | 0.30 | 0.59 | 1.60 | – | ||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 10.01 | $ | 0.07 | $ | — | $ | 0.07 | $ | (0.07 | ) | $ | — | ^ | $ | (0.07 | ) | $ | 10.01 | 0.70 | % | $ | 15,305 | 0.14 | % | 0.33 | % | 0.72 | % | – | % | |||||||||||||||||||||||||
2021 | 10.00 | 0.01 | — | 0.01 | — | ^ | — | — | ^ | 10.01 | 0.11 | 16,962 | 0.09 | 0.33 | 0.10 | – | ||||||||||||||||||||||||||||||||||||||||
2020 | 10.00 | 0.11 | — | 0.11 | (0.11 | ) | — | (0.11 | ) | 10.00 | 1.06 | 22,256 | 0.20 | 0.34 | 1.05 | – | ||||||||||||||||||||||||||||||||||||||||
2019 | 10.00 | 0.24 | — | 0.24 | (0.24 | ) | — | (0.24 | ) | 10.00 | 2.42 | 23,125 | 0.20 | 0.34 | 2.38 | – | ||||||||||||||||||||||||||||||||||||||||
2018 | 10.00 | 0.17 | — | 0.17 | (0.17 | ) | — | (0.17 | ) | 10.00 | 1.70 | 27,498 | 0.20 | 0.34 | 1.71 | – | ||||||||||||||||||||||||||||||||||||||||
Tax-Free Conservative Income Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 10.00 | $ | 0.04 | $ | (0.01 | ) | $ | 0.03 | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | 9.99 | 0.29 | % | $ | 176,810 | 0.22 | % | 0.58 | % | 0.39 | % | – | % | |||||||||||||||||||||||||
2021 | 10.00 | — | — | — | — | ^ | — | — | ^ | 10.00 | 0.01 | 183,626 | 0.13 | 0.58 | 0.01 | – | ||||||||||||||||||||||||||||||||||||||||
2020 | 10.00 | 0.06 | — | 0.06 | (0.06 | ) | — | (0.06 | ) | 10.00 | 0.64 | 212,828 | 0.30 | 0.59 | 0.62 | – | ||||||||||||||||||||||||||||||||||||||||
2019 | 10.00 | 0.14 | — | 0.14 | (0.14 | ) | — | (0.14 | ) | 10.00 | 1.37 | 162,368 | 0.30 | 0.59 | 1.36 | – | ||||||||||||||||||||||||||||||||||||||||
2018 | 10.00 | 0.10 | — | 0.10 | (0.10 | ) | — | (0.10 | ) | 10.00 | 0.99 | 162,338 | 0.30 | 0.59 | 0.99 | – | ||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 10.01 | $ | 0.05 | $ | (0.01 | ) | $ | 0.04 | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | 10.01 | 0.44 | % | $ | 4,890 | 0.13 | % | 0.33 | % | 0.48 | % | – | % | |||||||||||||||||||||||||
2021 | 10.00 | 0.01 | — | 0.01 | — | ^ | — | — | ^ | 10.01 | 0.11 | 9,273 | 0.03 | 0.33 | 0.10 | – | ||||||||||||||||||||||||||||||||||||||||
2020 | 10.00 | 0.09 | (0.02 | ) | 0.07 | (0.07 | ) | — | (0.07 | ) | 10.00 | 0.73 | 5,770 | 0.20 | 0.34 | 0.87 | – | |||||||||||||||||||||||||||||||||||||||
2019 | 10.00 | 0.15 | — | �� | 0.15 | (0.15 | ) | — | (0.15 | ) | 10.00 | 1.47 | 16,727 | 0.20 | 0.34 | 1.45 | – | |||||||||||||||||||||||||||||||||||||||
2018 | 10.00 | 0.11 | — | 0.11 | (0.11 | ) | — | (0.11 | ) | 10.00 | 1.09 | 11,126 | 0.20 | 0.34 | 1.13 | – |
† | 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 Fees Paid Indirectly, if applicable. There was no impact to the expense ratios. See Note 6 in Notes to Financial Statements. |
(1) | Per share calculated using average shares. |
^ | Amount represents less than $0.005 per share. |
Amounts designated as “—“are either $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, 2022
411
FINANCIAL HIGHLIGHTS/CONSOLIDATED FINANCIAL HIGHLIGHTS
For the years or periods ended September 30, (unless otherwise indicated)
For a share outstanding throughout each period
Net Asset | Net | Net Realized | Total | Distributions | Distributions | Total | Net Asset | Total | Net Assets | Ratio of Net | Ratio of Expenses | Ratio of Net | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
Real Return Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 10.68 | $ | 0.71 | $ | (1.17 | ) | $ | (0.46 | ) | $ | (0.65 | ) | $ | — | $ | (0.65 | ) | $ | 9.57 | (4.52 | )% | $ | 241,034 | 0.45 | % | 0.70 | % | 6.86 | % | 50 | % | ||||||||||||||||||||||||
2021 | 10.40 | 0.44 | 0.10 | 0.54 | (0.26 | ) | — | (0.26 | ) | 10.68 | 5.26 | 228,319 | 0.45 | 0.70 | 4.18 | 31 | ||||||||||||||||||||||||||||||||||||||||
2020 | 9.96 | 0.07 | 0.42 | 0.49 | (0.05 | ) | — | (0.05 | ) | 10.40 | 4.98 | 238,849 | 0.45 | 0.70 | 0.72 | 41 | ||||||||||||||||||||||||||||||||||||||||
2019 | 9.91 | 0.16 | 0.15 | 0.31 | (0.26 | ) | — | (0.26 | ) | 9.96 | 3.14 | 227,413 | 0.45 | 0.70 | 1.59 | 34 | ||||||||||||||||||||||||||||||||||||||||
2018 | 10.03 | 0.25 | (0.23 | ) | 0.02 | (0.14 | ) | — | (0.14 | ) | 9.91 | 0.24 | 238,889 | 0.45 | 0.71 | 2.51 | 35 | |||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 10.73 | $ | 0.71 | $ | (1.16 | ) | $ | (0.45 | ) | $ | (0.66 | ) | $ | — | $ | (0.66 | ) | $ | 9.62 | (4.40 | )% | $ | 16,740 | 0.35 | % | 0.45 | % | 6.85 | % | 50 | % | ||||||||||||||||||||||||
2021 | 10.44 | 0.43 | 0.14 | 0.57 | (0.28 | ) | — | (0.28 | ) | 10.73 | 5.47 | 17,931 | 0.35 | 0.45 | 4.11 | 31 | ||||||||||||||||||||||||||||||||||||||||
2020 | 10.00 | 0.08 | 0.42 | 0.50 | (0.06 | ) | — | (0.06 | ) | 10.44 | 5.01 | 21,395 | 0.35 | 0.45 | 0.84 | 41 | ||||||||||||||||||||||||||||||||||||||||
2019 | 9.94 | 0.18 | 0.14 | 0.32 | (0.26 | ) | — | (0.26 | ) | 10.00 | 3.31 | 24,322 | 0.35 | 0.46 | 1.80 | 34 | ||||||||||||||||||||||||||||||||||||||||
2018 | 10.06 | 0.26 | (0.23 | ) | 0.03 | (0.15 | ) | — | (0.15 | ) | 9.94 | 0.29 | 16,691 | 0.35 | 0.46 | 2.60 | 35 | |||||||||||||||||||||||||||||||||||||||
Dynamic Asset Allocation Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 18.50 | $ | 0.11 | $ | (2.20 | ) | $ | (2.09 | ) | $ | (0.59 | ) | $ | (1.41 | ) | $ | (2.00 | ) | $ | 14.41 | (13.56 | )% | $ | 597,961 | 0.75 | % | 1.18 | % | 0.62 | % | 5 | % | |||||||||||||||||||||||
2021 | 14.98 | 0.10 | 4.58 | 4.68 | (0.89 | ) | (0.27 | ) | (1.16 | ) | 18.50 | 32.72 | 816,977 | 0.75 | 1.18 | 0.56 | 10 | |||||||||||||||||||||||||||||||||||||||
2020 | 13.23 | 0.14 | 1.84 | 1.98 | (0.23 | ) | — | (0.23 | ) | 14.98 | 15.07 | 723,775 | 0.75 | 1.18 | 1.06 | 16 | ||||||||||||||||||||||||||||||||||||||||
2019 | 13.22 | 0.17 | 0.07 | 0.24 | (0.23 | ) | — | (0.23 | ) | 13.23 | 2.14 | 725,857 | 0.75 | 1.18 | 1.31 | 5 | ||||||||||||||||||||||||||||||||||||||||
2018 | 12.10 | 0.17 | 1.15 | 1.32 | (0.18 | ) | (0.02 | ) | (0.20 | ) | 13.22 | 10.95 | 800,036 | 0.75 | 1.19 | 1.30 | 11 | |||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 18.54 | $ | 0.16 | $ | (2.22 | ) | $ | (2.06 | ) | $ | (0.64 | ) | $ | (1.41 | ) | $ | (2.05 | ) | $ | 14.43 | (13.44 | )% | $ | 35,497 | 0.50 | % | 0.93 | % | 0.91 | % | 5 | % | |||||||||||||||||||||||
2021 | 15.01 | 0.14 | 4.58 | 4.72 | (0.92 | ) | (0.27 | ) | (1.19 | ) | 18.54 | 33.05 | 46,976 | 0.50 | 0.93 | 0.81 | 10 | |||||||||||||||||||||||||||||||||||||||
2020 | 13.26 | 0.08 | 1.93 | 2.01 | (0.26 | ) | — | (0.26 | ) | 15.01 | 15.31 | 41,757 | 0.50 | 0.93 | 0.59 | 16 | ||||||||||||||||||||||||||||||||||||||||
2019 | 13.25 | 0.19 | 0.08 | 0.27 | (0.26 | ) | — | (0.26 | ) | 13.26 | 2.43 | 70,477 | 0.50 | 0.93 | 1.51 | 5 | ||||||||||||||||||||||||||||||||||||||||
2018 | 12.12 | 0.19 | 1.17 | 1.36 | (0.21 | ) | (0.02 | ) | (0.23 | ) | 13.25 | 11.26 | 78,280 | 0.50 | 0.93 | 1.51 | 11 |
† | 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 Fees Paid Indirectly, if applicable. There was no impact to the expense ratios. See Note 6 in Notes to Financial Statements. |
(1) | Per share calculated using average shares. |
Amounts designated as “—“are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
412
SEI Institutional Managed Trust / Annual Report / September 30, 2022
FINANCIAL HIGHLIGHTS/CONSOLIDATED FINANCIAL HIGHLIGHTS
For the years or periods ended September 30, (unless otherwise indicated)
For a share outstanding throughout each period
Net Asset | Net | Net Realized | Total | Distributions | Distributions | Total | Net Asset | Total | Net Assets | Ratio of Net | Ratio of Expenses | Ratio of Net | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
Multi-Strategy Alternative Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 10.54 | $ | 0.08 | $ | (0.79 | ) | $ | (0.71 | ) | $ | (0.13 | ) | $ | (0.62 | ) | $ | (0.75 | ) | $ | 9.08 | (7.24 | )% | $ | 394,876 | 1.93 | %(2) | 2.68 | % | 0.83 | % | 369 | % | |||||||||||||||||||||||
2021 | 9.98 | 0.09 | 0.76 | 0.85 | (0.05 | ) | (0.24 | ) | (0.29 | ) | 10.54 | 8.57 | 449,934 | 1.99 | (2) | 2.75 | 0.87 | 424 | ||||||||||||||||||||||||||||||||||||||
2020 | 9.61 | 0.08 | 0.39 | 0.47 | (0.10 | ) | — | (0.10 | ) | 9.98 | 4.90 | 463,468 | 1.72 | (3) | 2.54 | 0.84 | 527 | |||||||||||||||||||||||||||||||||||||||
2019 | 10.10 | 0.14 | (0.18 | ) | (0.04 | ) | (0.16 | ) | (0.29 | ) | (0.45 | ) | 9.61 | (0.18 | ) | 472,129 | 1.44 | (4) | 2.38 | 1.24 | 315 | |||||||||||||||||||||||||||||||||||
2018 | 10.11 | 0.07 | 0.14 | 0.21 | (0.02 | ) | (0.20 | ) | (0.22 | ) | 10.10 | 2.11 | 509,559 | 1.41 | (5) | 2.41 | 0.72 | 266 | (6) | |||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 10.55 | $ | 0.11 | $ | (0.81 | ) | $ | (0.70 | ) | $ | (0.15 | ) | $ | (0.62 | ) | $ | (0.77 | ) | $ | 9.08 | (7.09 | )% | $ | 8,069 | 1.68 | %(7) | 2.43 | % | 1.09 | % | 369 | % | |||||||||||||||||||||||
2021 | 9.98 | 0.12 | 0.77 | 0.89 | (0.08 | ) | (0.24 | ) | (0.32 | ) | 10.55 | 8.94 | 8,585 | 1.74 | (7) | 2.50 | 1.12 | 424 | ||||||||||||||||||||||||||||||||||||||
2020 | 9.61 | 0.11 | 0.38 | 0.49 | (0.12 | ) | — | (0.12 | ) | 9.98 | 5.16 | 8,464 | 1.47 | (8) | 2.29 | 1.12 | 527 | |||||||||||||||||||||||||||||||||||||||
2019 | 10.11 | 0.13 | (0.15 | ) | (0.02 | ) | (0.19 | ) | (0.29 | ) | (0.48 | ) | 9.61 | (0.01 | ) | 9,821 | 1.20 | (9) | 2.15 | 1.11 | 315 | |||||||||||||||||||||||||||||||||||
2018 | 10.12 | 0.10 | 0.14 | 0.24 | (0.05 | ) | (0.20 | ) | (0.25 | ) | 10.11 | 2.36 | 5,951 | 1.16 | (10) | 2.16 | 0.95 | 266 | (6) | |||||||||||||||||||||||||||||||||||||
Multi-Asset Accumulation Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 10.31 | $ | 0.11 | $ | (1.96 | ) | $ | (1.85 | ) | $ | (0.64 | ) | $ | (0.65 | ) | $ | (1.29 | ) | $ | 7.17 | (20.79 | )% | $ | 1,886,712 | 1.17 | % | 1.30 | % | 1.25 | % | 42 | % | |||||||||||||||||||||||
2021 | 9.55 | (0.01 | ) | 1.28 | 1.27 | — | (0.51 | ) | (0.51 | ) | 10.31 | 13.73 | 2,506,500 | 1.17 | 1.29 | (0.12 | ) | 54 | ||||||||||||||||||||||||||||||||||||||
2020 | 10.63 | (0.02 | ) | 0.18 | 0.16 | (0.13 | ) | (1.11 | ) | (1.24 | ) | 9.55 | 1.51 | 2,420,060 | 1.17 | 1.30 | (0.23 | ) | 61 | |||||||||||||||||||||||||||||||||||||
2019 | 9.81 | 0.08 | 1.03 | 1.11 | (0.27 | ) | (0.02 | ) | (0.29 | ) | 10.63 | 11.94 | 2,659,785 | 1.17 | 1.30 | 0.80 | 63 | |||||||||||||||||||||||||||||||||||||||
2018 | 10.01 | 0.06 | 0.24 | 0.30 | — | (0.50 | ) | (0.50 | ) | 9.81 | 2.93 | 2,655,399 | 1.17 | 1.29 | 0.64 | 11 | ||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 10.41 | $ | 0.12 | $ | (1.97 | ) | $ | (1.85 | ) | $ | (0.66 | ) | $ | (0.65 | ) | $ | (1.31 | ) | $ | 7.25 | (20.57 | )% | $ | 146,375 | 0.92 | % | 1.05 | % | 1.36 | % | 42 | % | |||||||||||||||||||||||
2021 | 9.62 | (0.02 | ) | 1.32 | 1.30 | — | (0.51 | ) | (0.51 | ) | 10.41 | 13.95 | 193,339 | 0.92 | 1.04 | (0.15 | ) | 54 | ||||||||||||||||||||||||||||||||||||||
2020 | 10.70 | (0.03 | ) | 0.21 | 0.18 | (0.15 | ) | (1.11 | ) | (1.26 | ) | 9.62 | 1.74 | 190,469 | 0.92 | 1.05 | (0.26 | ) | 61 | |||||||||||||||||||||||||||||||||||||
2019 | 9.88 | 0.07 | 1.06 | 1.13 | (0.29 | ) | (0.02 | ) | (0.31 | ) | 10.70 | 12.16 | 220,654 | 0.92 | 1.05 | 0.66 | 63 | |||||||||||||||||||||||||||||||||||||||
2018 | 10.06 | 0.05 | 0.27 | 0.32 | — | (0.50 | ) | (0.50 | ) | 9.88 | 3.13 | 228,037 | 0.92 | 1.04 | 0.52 | 11 |
† | 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 Fees Paid Indirectly, if applicable. There was no impact to the expense ratios. See Note 6 in Notes to Financial Statements. |
(1) | Per share calculated using average shares. |
(2) | The expense ratio includes dividend and interest expense, and other expenses outside the cap. Had this expense been excluded the ratios would have been 1.35%. |
(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 1.27%. |
(4) | The expense ratio includes dividend and interest expense, and other expenses outside the cap. Had this expense been excluded the ratios would have been 1.20%. |
(5) | The expense ratio includes dividend and interest expense, and other expenses outside the cap. Had this expense been excluded the ratios would have been 1.09%. |
(6) | The portfolio turnover rate in 2018 has been changed from 373% to 266%. |
(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 1.10%. |
(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 1.02%. |
(9) | The expense ratio includes dividend and interest expense, and other expenses outside the cap. Had this expense been excluded the ratios would have been 0.96%. |
(10) | The expense ratio includes dividend and interest expense, and other expenses outside the cap. Had this expense been excluded the ratios would have been 0.84%. |
Amounts designated as “—“are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
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FINANCIAL HIGHLIGHTS/CONSOLIDATED FINANCIAL HIGHLIGHTS
For the years or periods ended September 30, (unless otherwise indicated)
For a share outstanding throughout each period
Net Asset | Net | Net Realized | Total | Distributions | Distributions | Total | Net Asset | Total | Net Assets | Ratio of Net | Ratio of Expenses | Ratio of Net | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
Multi-Asset Income Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 11.49 | $ | 0.46 | $ | (2.26 | ) | $ | (1.80 | ) | $ | (0.46 | ) | $ | (0.01 | ) | $ | (0.47 | ) | $ | 9.22 | (16.13 | )% | $ | 568,205 | 0.80 | % | 1.20 | % | 4.35 | % | 24 | % | |||||||||||||||||||||||
2021 | 10.85 | 0.42 | 0.61 | 1.03 | (0.39 | ) | — | (0.39 | ) | 11.49 | 9.57 | 759,685 | 0.80 | 1.20 | 3.71 | 59 | ||||||||||||||||||||||||||||||||||||||||
2020 | 11.07 | 0.40 | (0.20 | ) | 0.20 | (0.39 | ) | (0.03 | ) | (0.42 | ) | 10.85 | 1.86 | 770,599 | 0.80 | 1.21 | 3.69 | 137 | ||||||||||||||||||||||||||||||||||||||
2019 | 10.61 | 0.45 | 0.41 | 0.86 | (0.40 | ) | — | (0.40 | ) | 11.07 | 8.29 | 816,056 | 0.80 | 1.20 | 4.15 | 76 | ||||||||||||||||||||||||||||||||||||||||
2018 | 10.88 | 0.40 | (0.24 | ) | 0.16 | (0.34 | )(2) | (0.09 | ) | (0.43 | ) | 10.61 | 1.56 | 815,020 | 0.80 | 1.21 | 3.78 | 119 | ||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 11.49 | $ | 0.47 | $ | (2.26 | ) | $ | (1.79 | ) | $ | (0.47 | ) | $ | (0.01 | ) | $ | (0.48 | ) | $ | 9.22 | (16.08 | )% | $ | 137,959 | 0.70 | % | 0.95 | % | 4.46 | % | 24 | % | |||||||||||||||||||||||
2021 | 10.85 | 0.43 | 0.61 | 1.04 | (0.40 | ) | — | (0.40 | ) | 11.49 | 9.68 | 172,276 | 0.70 | 0.95 | 3.81 | 59 | ||||||||||||||||||||||||||||||||||||||||
2020 | 11.07 | 0.41 | (0.20 | ) | 0.21 | (0.40 | ) | (0.03 | ) | (0.43 | ) | 10.85 | 1.96 | 161,672 | 0.70 | 0.96 | 3.79 | 137 | ||||||||||||||||||||||||||||||||||||||
2019 | 10.61 | 0.46 | 0.41 | 0.87 | (0.41 | ) | — | (0.41 | ) | 11.07 | 8.39 | 161,776 | 0.70 | 0.95 | 4.25 | 76 | ||||||||||||||||||||||||||||||||||||||||
2018 | 10.88 | 0.41 | (0.24 | ) | 0.17 | (0.35 | )(2) | (0.09 | ) | (0.44 | ) | 10.61 | 1.66 | 175,431 | 0.70 | 0.96 | 3.88 | 119 | ||||||||||||||||||||||||||||||||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 8.91 | $ | 0.34 | $ | 0.09 | $ | 0.43 | $ | (0.66 | ) | $ | — | $ | (0.66 | ) | $ | 8.68 | 5.10 | % | $ | 783,196 | 1.24 | %(3) | 1.48 | % | 3.80 | % | 81 | % | ||||||||||||||||||||||||||
2021 | 7.88 | 0.24 | 0.91 | 1.15 | (0.12 | ) | — | (0.12 | ) | 8.91 | 14.71 | 803,799 | 1.12 | (3) | 1.36 | 2.84 | 65 | |||||||||||||||||||||||||||||||||||||||
2020 | 8.28 | 0.10 | (0.38 | ) | (0.28 | ) | (0.12 | ) | — | (0.12 | ) | 7.88 | (3.41 | ) | 735,962 | 1.38 | (3) | 1.62 | 1.28 | 63 | ||||||||||||||||||||||||||||||||||||
2019 | 8.49 | 0.14 | (0.20 | ) | (0.06 | ) | (0.15 | ) | — | (0.15 | ) | 8.28 | (0.62 | ) | 798,451 | 1.52 | (3) | 1.76 | 1.68 | 30 | ||||||||||||||||||||||||||||||||||||
2018 | 8.52 | 0.17 | (0.08 | ) | 0.09 | (0.12 | ) | — | (0.12 | ) | 8.49 | 1.04 | 860,457 | 1.52 | (3) | 1.76 | 1.97 | 32 | ||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 8.92 | $ | 0.34 | $ | 0.11 | $ | 0.45 | $ | (0.68 | ) | $ | — | $ | (0.68 | ) | $ | 8.69 | 5.36 | % | $ | 34,931 | 0.98 | %(4) | 1.22 | % | 3.84 | % | 81 | % | ||||||||||||||||||||||||||
2021 | 7.89 | 0.22 | 0.95 | 1.17 | (0.14 | ) | — | (0.14 | ) | 8.92 | 14.99 | 43,985 | 0.87 | (5) | 1.11 | 2.62 | 65 | |||||||||||||||||||||||||||||||||||||||
2020 | 8.29 | 0.11 | (0.37 | ) | (0.26 | ) | (0.14 | ) | — | (0.14 | ) | 7.89 | (3.17 | ) | 45,173 | 1.13 | (6) | 1.37 | 1.35 | 63 | ||||||||||||||||||||||||||||||||||||
2019 | 8.50 | 0.13 | (0.17 | ) | (0.04 | ) | (0.17 | ) | — | (0.17 | ) | 8.29 | (0.35 | ) | 55,857 | 1.27 | (5) | 1.51 | 1.56 | 30 | ||||||||||||||||||||||||||||||||||||
2018 | 8.53 | 0.16 | (0.05 | ) | 0.11 | (0.14 | ) | — | (0.14 | ) | 8.50 | 1.29 | 63,546 | 1.27 | (5) | 1.50 | 1.90 | 32 |
† | 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 Fees Paid Indirectly, if applicable. There was no impact to the expense ratios. See Note 6 in Notes to Financial Statements. |
(1) | Per share calculated using average shares. |
(2) | Includes return of capital of $0.02. |
(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%. |
(4) | The expense ratio includes dividend and interest expense, and other expenses outside the cap. Had this expense been excluded the ratios would have been 0.64%. |
(5) | 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%. |
(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 0.66%. |
Amounts designated as “—“are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
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FINANCIAL HIGHLIGHTS/CONSOLIDATED FINANCIAL HIGHLIGHTS
For the years or periods ended September 30, (unless otherwise indicated)
For a share outstanding throughout each period
Net Asset | Net | Net Realized | Total | Distributions | Distributions | Total | Net Asset | Total | Net Assets | Ratio of Net | Ratio of Expenses | Ratio of Net | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
Multi-Asset Capital Stability Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 10.51 | $ | 0.03 | $ | (0.46 | ) | $ | (0.43 | ) | $ | (0.07 | ) | $ | (0.22 | ) | $ | (0.29 | ) | $ | 9.79 | (4.24 | )% | $ | 626,296 | 0.62 | % | 0.98 | % | 0.27 | % | 69 | % | |||||||||||||||||||||||
2021 | 10.28 | — | 0.34 | 0.34 | (0.02 | ) | (0.09 | ) | (0.11 | ) | 10.51 | 3.27 | 682,772 | 0.62 | 0.98 | — | ^ | 125 | ||||||||||||||||||||||||||||||||||||||
2020 | 10.39 | 0.04 | 0.22 | 0.26 | (0.18 | ) | (0.19 | ) | (0.37 | ) | 10.28 | 2.55 | 732,425 | 0.62 | 0.98 | 0.37 | 124 | |||||||||||||||||||||||||||||||||||||||
2019 | 10.05 | 0.15 | 0.24 | 0.39 | (0.05 | ) | — | (0.05 | ) | 10.39 | 3.94 | 684,753 | 0.62 | 0.98 | 1.45 | 128 | ||||||||||||||||||||||||||||||||||||||||
2018 | 10.25 | 0.09 | 0.09 | 0.18 | (0.20 | ) | (0.18 | ) | (0.38 | ) | 10.05 | 1.75 | 682,982 | 0.62 | 0.98 | 0.88 | 228 | |||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | $ | 10.54 | $ | 0.04 | $ | (0.47 | ) | $ | (0.43 | ) | $ | (0.08 | ) | $ | (0.22 | ) | $ | (0.30 | ) | $ | 9.81 | (4.23 | )% | $ | 32,510 | 0.52 | % | 0.73 | % | 0.36 | % | 69 | % | |||||||||||||||||||||||
2021 | 10.30 | 0.01 | 0.35 | 0.36 | (0.03 | ) | (0.09 | ) | (0.12 | ) | 10.54 | 3.47 | 38,031 | 0.52 | 0.73 | 0.08 | 125 | |||||||||||||||||||||||||||||||||||||||
2020 | 10.41 | 0.05 | 0.22 | 0.27 | (0.19 | ) | (0.19 | ) | (0.38 | ) | 10.30 | 2.64 | 48,307 | 0.52 | 0.73 | 0.48 | 124 | |||||||||||||||||||||||||||||||||||||||
2019 | 10.07 | 0.16 | 0.24 | 0.40 | (0.06 | ) | — | (0.06 | ) | 10.41 | 4.04 | 47,957 | 0.52 | 0.73 | 1.55 | 128 | ||||||||||||||||||||||||||||||||||||||||
2018 | 10.27 | 0.10 | 0.09 | 0.19 | (0.21 | ) | (0.18 | ) | (0.39 | ) | 10.07 | 1.84 | 44,681 | 0.52 | 0.73 | 0.97 | 228 |
† | 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 Fees Paid Indirectly, if applicable. There was no impact to the expense ratios. See Note 6 in Notes to Financial Statements. |
^ | Amount represents less than 0.005%. |
(1) | Per share calculated using average shares. |
Amounts designated as “—“are either $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, 2022
415
Notes to Financial Statements/Consolidated Notes to Financial Statements
September 30, 2022
1. ORGANIZATION
SEI Institutional Managed Trust (the “Trust”) is organized as a Massachusetts business trust under a Declaration of Trust dated October 20, 1986.
The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end investment company with 27 funds: Large Cap, Large Cap Value, Large Cap Growth, Large Cap Index, 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, Core 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, and Multi-Asset Capital Stability (each a “Fund,” collectively the “Funds”) each of which are diversified Funds, with the exception of the Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds.
The Dynamic Commodity Strategy Subsidiary, Ltd., the Accumulation Commodity Strategy Subsidiary, Ltd. and the Inflation Commodity Strategy Subsidiary, Ltd. are wholly-owned subsidiaries of the Dynamic Asset Allocation, 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 Dynamic Asset Allocation, 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 of the Funds and Class Y shares of the Funds, except for the Large Cap Index and S&P 500 Index Funds and 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, Core 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.
2. SIGNIFICANT ACCOUNTING POLICIES
The following are significant accounting policies, which are consistently followed in the preparation of its financial statements by the Funds. The Funds are investment companies that apply the accounting and reporting guidance issued in Topic 946 by the U.S. Financial Accounting Standards Board (“FASB”).
Use of Estimates — The preparation of financial statements, in conformity with accounting principles generally accepted in the United States of America ("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 —Effective September 8, 2022, and pursuant to the requirements of the 1940 Act and Rule 2a-5, the administrator, as delegated by the Board of Trustees (the “Board”), has the responsibility for the valuation of Fund investments with readily available market quotations in accordance with the Funds’ Valuation and Pricing Policy. The Trust's Board of Trustees has designated SEI Investments Management Corporation (“SIMC”) as the Valuation Designee for the Funds pursuant to Rule 2a-5 (the “Rule”) under the 1940 Act. The Valuation Designee has the responsibility for the fair value determination with respect to all Fund investments that do not have readily available market quotations or quotations that are no longer reliable. SIMC has appointed a Valuation Committee (the “Committee”) and has established a Valuation and Pricing Policy to implement the Rule and the Funds’ Valuation and Pricing Policy (together the “Policy”). Prior to September 8, 2022, fair-value determinations were performed in accordance with the Trust’s Fair Value Procedures established by the Funds’ Board of Trustees and were implemented through a Fair Value Committee designated by the Board.
When valuing portfolio securities, a Fund values 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. A Fund values securities traded on NASDAQ at the NASDAQ Official Closing Price. If available, debt securities, swaps (which are not centrally cleared), bank loans or debt tranches of
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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 NAV per share, with the exception of exchange-traded funds, which are priced as equity securities. These open-end investment companies’ shares are offered in separate prospectuses, each of which describes the process by which the applicable investment company’s NAV is determined. 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 or in the case of an equity tranche of a CDO/CLO, a Fund will value the securities using a bid price from at least one independent broker.
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 Policy until an independent source can be secured. Debt securities held by a Fund with remaining maturities of 60 days or less will 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, and 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 a 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 forward rates provided by an independent source.
Prices for most securities held by a Fund are provided daily by third-party independent pricing agents. SIMC or a Sub-Adviser, as applicable, reasonably believes that prices provided by independent pricing agents are reliable. However, there can be no assurance that such pricing service’s prices will be reliable. SIMC or a Sub-Adviser, as applicable, 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 SIMC, as Valuation Designee if it receives such notification from 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 Policy provides that any change in a primary pricing agent or a pricing methodology requires prior approval by the Board. However, when the change would not materially affect the 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, ratification may be obtained at the next regularly scheduled meeting of the Board.
Securities for which market prices are not "readily available" are valued in accordance with Rule 2a-5 and the Policy. The Valuation Designee must monitor for circumstances that may necessitate that a security be valued using Fair Value Procedures which can include: (i) the security's trading has been halted or suspended, (ii) the security has been de-listed 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, (iv) the security has not been traded for an extended period of time, (v) the security's primary pricing source is not able or
SEI Institutional Managed Trust / Annual Report / September 30, 2022
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2022
willing to provide a price, (vi) trading of the security is subject to local government-imposed restrictions; or (vii) a significant event (as defined below). When a security is valued in accordance with the Fair Value Procedures, the Valuation Designee will determine the value after taking into consideration relevant information reasonably available to the Valuation Designee. Examples of factors the Valuation Designee may consider include: (i) the type of security or asset, (ii) the last trade price, (iii) evaluation of the forces that influence the market in which the security is purchased and sold, (iv) the liquidity of the security, (v) the size of the holding in a Fund or (vi) any other appropriate information.
The Valuation Designee is responsible for selecting and applying, in a consistent manner, the appropriate methodologies for determining and calculating the fair value of holdings of the Funds, including specifying the key inputs and assumptions specific to each asset class or holding. 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.
Certain of the Funds use 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.
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 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 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 a Fund calculate NAV, it may request that a Committee meeting be called. In addition, with respect to certain securities, the Funds’ administrator performs price comparisons and price movement review (among other processes), to monitor the pricing data supplied by various sources. Any identified discrepancies are researched and subject to the procedures described above.
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.)
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Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.
Debt securities are valued in accordance with the evaluated bid price supplied by the pricing service and generally categorized as Level 2 in the hierarchy. Other securities that are categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, warrants, swaps and forward contracts. The Fund may use a systematic fair valuation model provided by an independent pricing service to value foreign equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the NYSE. These are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. For certain collateralized debt obligations, corporate obligations, mortgage backed securities, auction rate preferred securities and loan participations where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
The valuation techniques used by the Funds to measure fair value during the year ended September 30, 2022, maximized the use of observable inputs and minimized the use of unobservable inputs. For details of the investment classification, reference the Schedules of Investments.
For the year ended September 30, 2022, there have been no significant changes to the Trust’s fair valuation methodologies.
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 gains 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.
Cash and Cash Equivalents — Idle cash and currency balances may be swept into various overnight sweep accounts and are classified as cash and cash equivalents on the Statement of Assets and Liabilities/Consolidated Statement of Assets and Liabilities and Consolidated Statement of Cash Flows. These amounts, at times, may exceed United States federally insured limits. Amounts swept are available on the next business day.
Repurchase Agreements —Securities pledged as collateral for repurchase agreements are held by each Fund’s custodian bank until the repurchase date of the repurchase agreement. The Funds may also invest in tri-party repurchase agreements. Securities held as collateral for tri-party repurchase agreements are maintained by the broker’s custodian bank in a segregated account until the repurchase date of the repurchase agreement. Provisions of the repurchase agreements and the Trust’s policies require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. If the counterparty defaults and the value of the collateral declines, or if the counterparty enters into an insolvency proceeding, realization of the collateral by the Funds may be delayed or limited.
Reverse Repurchase Agreements —To the extent consistent with its Investment Objective and Strategies,
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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 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
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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 or Consolidated Schedule of Investments for details regarding open forward foreign currency contracts as of September 30, 2022, 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 or Consolidated Schedule of Investments for details regarding open futures contracts as of September 30, 2022, 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 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
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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 or Consolidated Schedule of Investments for details regarding open option/swaption contracts as of September 30, 2022, 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 or Consolidated Schedule of Investments for details regarding securities sold short as of September 30, 2022, if applicable.
Swap Agreements — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in swap contracts as an efficient means to synthetically obtain exposure to securities or baskets of securities and to manage a Fund’s interest rate duration and yield curve exposure. Swap contracts may also be used to mitigate a Fund’s overall level of risk and/or a Fund’s risk to particular types of securities, currencies or market segments. Interest rate swaps may further be used to manage a Fund’s yield spread sensitivity. A Fund may buy credit default swaps in an attempt to manage credit risk where a Fund has credit exposure to an issuer, and a Fund may sell credit default swaps to more efficiently gain credit exposure to a security or basket of securities. A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or “basket” of securities representing a particular index. Swap agreements are privately negotiated in the over-the-counter market (“OTC swaps”) or may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“Centrally Cleared swaps”). Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit-default swaps involve periodic payments by a Fund or counterparty based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the recovery rate used to settle the contracts. The recovery rate is a function of how many credit default swap investors wish to deliver the security or receive the security. The recovery rate is determined through an auction process. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR or some other form of indices on the notional amount. Payments received or made are recorded as realized gains or loss. A Fund could be exposed to credit or market risk due to unfavorable
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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 or Consolidated Schedule of Investments for details regarding open swap agreements as of September 30, 2022, 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.
Participation Notes (P-Notes) — To the extent consistent with its Investment Objective and Strategies, a Fund may acquire P-Notes issued by participating banks or broker-dealers. P-Notes are participation interest notes that are designed to offer a return linked to a particular underlying equity, debt, currency or market. The P-Notes in which the Fund may invest will typically have a maturity of one year. When purchasing a P-Note, the posting of margin is not required because the full cost of the P-Note (plus commission) is paid at the time of purchase. When the P-Note matures, the issuer will pay to, or receive from, the purchaser the difference between the minimal value of the underlying instrument at the time of purchase and that instrument’s value at maturity. Investments in P-Notes involve the same risks associated with a direct investment in the underlying foreign companies of foreign securities markets that they seek to replicate.
In addition, there can be no assurance that the trading price of P-Notes will equal the underlying value of the foreign companies or foreign securities markets that they seek to replicate. The holder of a participation note that is linked to a particular underlying security is entitled to receive any dividends paid in connection with an underlying security or instrument. However, the holder of a participation note does not receive voting rights as it would if it directly owned the underlying security or instrument. P-Notes are generally traded over-the- counter. P-Notes constitute general unsecured contractual obligations of the banks or broker-dealers that issue them and the counterparty. There is also counterparty risk associated with these investments because the Fund is relying on the creditworthiness of such counterparty and has no rights under a participation note against the issuer of the underlying security. In addition, the Fund will incur transaction costs as a result of investments in P-Notes.
Loan Participations and Brady Bonds — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in Loan Participations. Loan Participations include fixed and floating rate loans that are privately negotiated between a corporate borrower and one or more financial institutions, including, but not limited to, term loans, revolvers, and other instruments issued in the bank loan market. Each Fund may acquire
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interests in loans directly (by way of assignment from the selling institution) or indirectly (by way of the purchase of a participation interest from the selling institution). Under a bank loan assignment, a Fund generally will succeed to all the rights and obligations of an assigning lending institution and becomes a lender under the loan agreement with the relevant borrower in connection with that loan. Under bank loan participation, the Fund generally will have a contractual relationship only with the lender, not with the relevant borrower. As a result, a Fund generally will have the right to receive payments of principal, interest, and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the lender of the payments from the relevant borrower. The Fund may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, a Fund will assume the credit risk of both the borrower and the institution selling the participation to the Fund. The interest rate indicated in the Fund’s Schedule of Investments is the rate in effect at September 30, 2022. Pursuant to the terms of certain loan agreements, the Funds may hold unfunded commitments in loan participations which are disclosed on the Statement of Assets and Liabilities. Unfunded commitments represent the remaining obligation of the Fund to the borrower. At any point in time, up to the maturity date of the issue, the borrower may demand the unfunded portion. Unfunded amounts, if any, are marked to market and any unrealized gains or losses are recorded in the Statement of Assets and Liabilities. The Funds disclosed consent fees and amendment income in the Statement of Operations as “Interest income”.
Certain debt obligations, customarily referred to as “Brady Bonds,” are created through the exchange of existing commercial bank loans to foreign entities for new obligations in connection with debt restructuring under a plan introduced by former U.S. Secretary of the Treasury Nicholas F. Brady. Brady Bonds have only been issued since 1989, and, accordingly, do not have a long payment history. They are issued by governments that may have previously defaulted on the loans being restructured by the Brady Bonds, so they are subject to the risk of default by the issuer. They may be fully or partially collateralized or uncollateralized and issued in various currencies.
Collateralized Debt Obligations — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in collateralized debt obligations (“CDOs”), which include collateralized loan obligations (“CLOs”) and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior
secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses.
For CDOs, the cash flows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than its underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class.
The risks of an investment in a CDO depend largely on its Class and its collateral securities. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Funds as illiquid securities; however, an active dealer market may exist for CDOs, allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Funds may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.
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, Large Cap Index, 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 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 and Dynamic Asset Allocation;
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are declared daily and paid monthly for the Core Fixed Income, High Yield Bond, Conservative Income, Tax-Free Conservative Income and Multi-Asset Income. 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.
Restricted Securities — The Funds may invest in 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. Please refer to the Schedule of Investments for Funds that held Restricted Securities.
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 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 (“Directors”) that is responsible for overseeing the operations of such Subsidiary, the respective Fund’s Directors have 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
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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.
The notional amounts of the swaps are not recorded in the financial statements. The notional amounts approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund was the seller of protection and a credit event was to occur.
Those credit default swaps (“CDS”) for which the Fund is providing protection at the balance sheet date are summarized as follows:
MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM | ||||||||||||||||||||||||
CORE FIXED INCOME FUND | 0-6 MONTHS | 6-12 MONTHS | 1-5 YEARS | 5-10 YEARS | > 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points) | ||||||||||||||||||||||||
0-100 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | ||||||||||||
101-200 | - | - | - | 182,199,000 | - | 182,199,000 | ||||||||||||||||||
> than 200 | - | - | - | - | - | - | ||||||||||||||||||
Total | $ | - | $ | - | $ | - | $ | 182,199,000 | $ | - | $ | 182,199,000 |
MULTI-ASSET 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 | $ | - | $ | - | $ | 30,755,000 | $ | - | $ | - | $ | 30,755,000 | ||||||||||||
101-200 | - | - | 5,290,000 | 1,760,000 | - | 7,050,000 | ||||||||||||||||||
201-300 | - | - | - | - | - | - | ||||||||||||||||||
301-400 | - | 15,916,000 | 1,450,000 | - | - | 17,366,000 | ||||||||||||||||||
> than 400 | - | - | 6,091,500 | - | - | 6,091,500 | ||||||||||||||||||
Total | $ | - | $ | 15,916,000 | $ | 43,586,500 | $ | 1,760,000 | $ | - | $ | 61,262,500 |
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 | - | - | - | - | - | - | ||||||||||||||||||
201-400 | - | - | - | - | - | - | ||||||||||||||||||
> than 400 | - | - | - | - | 3,084,254 | 3,084,254 | ||||||||||||||||||
Total | $ | - | $ | - | $ | - | $ | - | $ | 3,084,254 | $ | 3,084,254 |
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 | $ | - | $ | - | $ | 1,990,000 | $ | - | $ | - | $ | 1,990,000 | ||||||||||||
101-400 | - | - | - | - | - | - | ||||||||||||||||||
> than 400 | - | - | 2,915,430 | - | - | 2,915,430 | ||||||||||||||||||
Total | $ | - | $ | - | $ | 4,905,430 | $ | - | $ | - | $ | 4,905,430 |
* | 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. |
426
SEI Institutional Managed Trust / Annual Report / September 30, 2022
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 show the derivatives categorized by underlying risk exposure.
The fair value of derivative instruments as of September 30, 2022 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: | ||||||||||
Large Cap Fund | ||||||||||
Equity contracts | Unrealized appreciation on | $ | — | * | Unrealized depreciation on futures contracts | $ | 696 | * | ||
Total Derivatives not accounted for as hedging instruments | $ | — | $ | 696 |
Large Cap Value Fund | ||||||||||
Equity contracts | Unrealized appreciation on | $ | — | * | Unrealized depreciation on futures contracts | $ | 670 | * | ||
Total Derivatives not accounted for as hedging instruments | $ | — | $ | 670 |
Large Cap Growth Fund | ||||||||||
Equity contracts | Unrealized appreciation on | $ | — | * | Unrealized depreciation on futures contracts | $ | 516 | * | ||
Total Derivatives not accounted for as hedging instruments | $ | — | $ | 516 |
Large Cap Index Fund | ||||||||||
Equity contracts | Unrealized appreciation on | $ | — | * | Unrealized depreciation on futures contracts | $ | 786 | * | ||
Total Derivatives not accounted for as hedging instruments | $ | — | $ | 786 |
Tax-Managed Large Cap Fund | ||||||||||
Equity contracts | Unrealized appreciation on | $ | — | * | Unrealized depreciation on futures contracts | $ | 478 | * | ||
Total Derivatives not accounted for as hedging instruments | $ | — | $ | 478 |
S&P 500 Index Fund | ||||||||||
Equity contracts | Unrealized appreciation on | $ | — | * | Unrealized depreciation on futures contracts | $ | 535 | * | ||
Total Derivatives not accounted for as hedging instruments | $ | — | $ | 535 |
Mid-Cap Fund | ||||||||||
Equity contracts | Unrealized appreciation on | $ | — | * | Unrealized depreciation on futures contracts | $ | 106 | * | ||
Total Derivatives not accounted for as hedging instruments | $ | — | $ | 106 |
U.S. Managed Volatility Fund | ||||||||||
Equity contracts | Unrealized appreciation on | $ | — | * | Unrealized depreciation on futures contracts | $ | 456 | * | ||
Total Derivatives not accounted for as hedging instruments | $ | — | $ | 456 |
Global Managed Volatility Fund | ||||||||||
Equity contracts | Unrealized appreciation on | $ | — | Unrealized depreciation on futures contracts | $ | 437 | * | |||
Foreign exchange contracts | Unrealized gain on forward foreign | 4,356 | Unrealized loss on forward foreign | 103 | ||||||
Total Derivatives not accounted for as hedging instruments | $ | 4,356 | $ | 540 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
427
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2022
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: | ||||||||||
Tax-Managed Managed Volatility Fund | ||||||||||
Equity contracts | Unrealized appreciation on | $ | — | * | Unrealized depreciation on futures contracts | $ | 200 | * | ||
Total Derivatives not accounted for as hedging instruments | $ | — | $ | 200 |
Tax-Managed International Managed Volatility Fund | ||||||||||
Equity contracts | Unrealized appreciation on | $ | 15 | * | Unrealized depreciation on futures contracts | $ | 11 | * | ||
Total Derivatives not accounted for as hedging instruments | $ | 15 | $ | 11 |
Core Fixed Income Fund | ||||||||||
Interest rate contracts | Unrealized appreciation on | $ | 17,071 | * | Unrealized depreciation on | $ | 35,506 | * | ||
Unrealized appreciation on | 22,054 | † | Unrealized depreciation on | 9,084 | † | |||||
Investments purchased, at value | 520 | Options written, at value | 4,774 | |||||||
Foreign exchange contracts | Unrealized gain on forward foreign | 2,106 | Unrealized loss on forward foreign | 4,056 | ||||||
Investments purchased, at value | — | Options written, at value | 565 | |||||||
Credit contracts | Unrealized appreciation on | — | † | Unrealized depreciation on swap contracts | 516 | † | ||||
Total Derivatives not accounted for as hedging instruments | $ | 41,751 | $ | 54,501 |
High Yield Bond Fund | ||||||||||
Credit contracts | Unrealized appreciation on | $ | 382 | † | Unrealized depreciation on swap contracts | $ | — | † | ||
Total Derivatives not accounted for as hedging instruments | $ | 382 | $ | — |
Dynamic Asset Allocation Fund | ||||||||||
Equity contracts | Unrealized appreciation on | $ | — | * | Unrealized depreciation on | $ | 7,996 | * | ||
Unrealized appreciation on | 2,865 | † | Unrealized depreciation on swap contracts | — | † | |||||
Commodity contracts | Unrealized appreciation on | — | † | Unrealized depreciation on swap contracts | 2,938 | † | ||||
Total Derivatives not accounted for as hedging instruments | $ | 2,865 | $ | 10,934 |
Multi-Strategy Alternative Fund | ||||||||||
Interest rate contracts | Unrealized appreciation on | $ | 76 | † | Unrealized depreciation on | $ | 2 | † | ||
Equity contracts | Investments purchased, at value | 2,591 | Options and Swaptions written, at value | 597 | ||||||
Unrealized appreciation on | 93 | * | Unrealized depreciation on | — | * | |||||
Unrealized appreciation on | 257 | † | Unrealized depreciation on | 1,057 | † | |||||
Foreign exchange contracts | Unrealized gain on forward foreign | 471 | Unrealized loss on forward foreign | 267 | ||||||
Credit contracts | Unrealized appreciation on | 187 | † | Unrealized depreciation on | 31 | † | ||||
Total Derivatives not accounted for as hedging instruments | $ | 3,675 | $ | 1,954 |
428
SEI Institutional Managed Trust / Annual Report / September 30, 2022
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 | Unrealized appreciation on | $ | 40 | * | Unrealized depreciation on futures contracts | $ | 36,766 | * | ||
Unrealized appreciation on | — | † | Unrealized depreciation on | 4,616 | † | |||||
Equity contracts | Unrealized appreciation on | 446 | * | Unrealized depreciation on | 51,635 | * | ||||
Unrealized appreciation on | 37 | † | Unrealized depreciation on | 2,583 | † | |||||
Foreign exchange contracts | Unrealized gain on forward foreign | 15,278 | Unrealized loss on forward foreign | 8,265 | ||||||
Commodity contracts | Unrealized appreciation on | 3,892 | * | Unrealized depreciation on futures contracts | 21,209 | * | ||||
Total Derivatives not accounted for as hedging instruments | $ | 19,693 | $ | 125,074 |
Multi-Asset Income Fund | ||||||||||
Interest rate contracts | Unrealized appreciation on | Unrealized depreciation on | ||||||||
futures contracts | $ | 566 | * | futures contracts | $ | 10,060 | * | |||
Unrealized appreciation on | 1,731 | † | Unrealized depreciation on | 1,289 | † | |||||
Equity contracts | Unrealized appreciation on | — | * | Unrealized depreciation on | 3,623 | * | ||||
Investments purchased, at value | 1,239 | Options and Swaptions written, at value | 729 | |||||||
Foreign exchange contracts | Unrealized gain on forward foreign | 2,260 | Unrealized loss on forward foreign | 1,907 | ||||||
Investments purchased, at value | 773 | Options and Swaptions written, at value | 797 | |||||||
Credit contracts | Unrealized appreciation on | 281 | † | Unrealized depreciation on | 489 | † | ||||
Total Derivatives not accounted for as hedging instruments | $ | 6,850 | $ | 18,894 |
Multi-Asset Inflation Managed Fund | ||||||||||
Interest rate contracts | Unrealized appreciation on | $ | 1,228 | * | Unrealized depreciation on futures contracts | $ | 142 | * | ||
Unrealized appreciation on | 9,147 | † | Unrealized depreciation on | — | † | |||||
Equity contracts | Unrealized appreciation on | 4,466 | * | Unrealized depreciation on | — | * | ||||
Foreign exchange contracts | Unrealized gain on forward foreign | 4 | Unrealized loss on forward foreign | 59 | ||||||
Commodity contracts | Unrealized appreciation on | 1,346 | * | Unrealized depreciation on future contracts | 5,918 | * | ||||
Unrealized appreciation on | 707 | † | Unrealized depreciation on | 3,296 | † | |||||
Investments purchased, at value | 549 | Options and Swaptions written, at value | 586 | |||||||
Credit contracts | Unrealized appreciation on | 580 | † | Unrealized depreciation on swaps contracts | 398 | † | ||||
Total Derivatives not accounted for as hedging instruments | $ | 18,027 | $ | 10,399 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
429
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2022
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 | Unrealized appreciation on | $ | 2,783 | * | Unrealized depreciation on futures contracts | $ | 3,859 | * | ||
Unrealized appreciation on | 1 | † | Unrealized depreciation on | 36 | † | |||||
Options and Swaptions written, at value | 61 | Options and Swaptions written, at value | 141 | |||||||
Equity contracts | Unrealized appreciation on | 30 | * | Unrealized depreciation on | 1,718 | * | ||||
Unrealized appreciation on | — | † | Unrealized depreciation on | 943 | † | |||||
Foreign exchange contracts | Unrealized gain on forward foreign | 2,706 | Unrealized loss on forward foreign | 2,561 | ||||||
Credit contracts | Unrealized appreciation on | — | † | Unrealized depreciation on swap contracts | 241 | † | ||||
Total Derivatives not accounted for as hedging instruments | $ | 5,581 | $ | 9,499 |
* | 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, 2022:
Amount of realized gain or (loss) on derivatives recognized in income ($ Thousands):
Derivatives Not Accounted for as Hedging Instruments | Purchased Options and Swaptions | Written Options and Swaptions | Futures | Forward Foreign | Swaps | Total | ||||||||||||||||||
Large Cap Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 326 | $ | — | $ | — | $ | 326 | ||||||||||||
Total | $ | — | $ | — | $ | 326 | $ | — | $ | — | $ | 326 | ||||||||||||
Large Cap Value Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (2,446 | ) | $ | — | $ | — | $ | (2,446 | ) | ||||||||||
Total | $ | — | $ | — | $ | (2,446 | ) | $ | — | $ | — | $ | (2,446 | ) | ||||||||||
Large Cap Growth Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (1,144 | ) | $ | — | $ | — | $ | (1,144 | ) | ||||||||||
Total | $ | — | $ | — | $ | (1,144 | ) | $ | — | $ | — | $ | (1,144 | ) | ||||||||||
Large Cap Index Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (654 | ) | $ | — | $ | — | $ | (654 | ) | ||||||||||
Total | $ | — | $ | — | $ | (654 | ) | $ | — | $ | — | $ | (654 | ) | ||||||||||
Tax-Managed Large Cap Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (627 | ) | $ | — | $ | — | $ | (627 | ) | ||||||||||
Total | $ | — | $ | — | $ | (627 | ) | $ | — | $ | — | $ | (627 | ) | ||||||||||
S&P 500 Index Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (294 | ) | $ | — | $ | — | $ | (294 | ) | ||||||||||
Total | $ | — | $ | — | $ | (294 | ) | $ | — | $ | — | $ | (294 | ) | ||||||||||
Small Cap Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (46 | ) | $ | — | $ | — | $ | (46 | ) | ||||||||||
Total | $ | — | $ | — | $ | (46 | ) | $ | — | $ | — | $ | (46 | ) |
430
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Derivatives Not Accounted for as Hedging Instruments | Purchased Options and Swaptions | Written Options and Swaptions | Futures | Forward Foreign | Swaps | Total | ||||||||||||||||||
Small Cap Value Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 182 | $ | — | $ | — | $ | 182 | ||||||||||||
Total | $ | — | $ | — | $ | 182 | $ | — | $ | — | $ | 182 | ||||||||||||
Small Cap Growth Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 110 | $ | — | $ | — | $ | 110 | ||||||||||||
Total | $ | — | $ | — | $ | 110 | $ | — | $ | — | $ | 110 | ||||||||||||
Tax-Managed Small/Mid Cap Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 161 | $ | — | $ | — | $ | 161 | ||||||||||||
Total | $ | — | $ | — | $ | 161 | $ | — | $ | — | $ | 161 | ||||||||||||
Mid Cap Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (187 | ) | $ | — | $ | — | $ | (187 | ) | ||||||||||
Total | $ | — | $ | — | $ | (187 | ) | $ | — | $ | — | $ | (187 | ) | ||||||||||
U.S. Managed Volatility Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (2,135 | ) | $ | — | $ | — | $ | (2,135 | ) | ||||||||||
Total | $ | — | $ | — | $ | (2,135 | ) | $ | — | $ | — | $ | (2,135 | ) | ||||||||||
Global Managed Volatility Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (1,047 | ) | $ | — | $ | — | $ | (1,047 | ) | ||||||||||
Foreign exchange contracts | — | — | — | 30,122 | — | 30,122 | ||||||||||||||||||
Total | $ | — | $ | — | $ | (1,047 | ) | $ | 30,122 | $ | — | $ | 29,075 | |||||||||||
Tax-Managed Managed Volatility Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (1,444 | ) | $ | — | $ | — | $ | (1,444 | ) | ||||||||||
Total | $ | — | $ | — | $ | (1,444 | ) | $ | — | $ | — | $ | (1,444 | ) | ||||||||||
Tax-Managed International Managed Volatility Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (545 | ) | $ | — | $ | — | $ | (545 | ) | ||||||||||
Total | $ | — | $ | — | $ | (545 | ) | $ | — | $ | — | $ | (545 | ) | ||||||||||
Core Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | (5,496 | ) | $ | 3,913 | $ | (45,839 | ) | $ | — | $ | 12,242 | $ | (35,180 | ) | |||||||||
Foreign exchange contracts | (124 | ) | 64 | — | (2,327 | ) | — | (2,387 | ) | |||||||||||||||
Credit contracts | — | — | — | — | (2,143 | ) | (2,143 | ) | ||||||||||||||||
Total | $ | (5,620 | ) | $ | 3,977 | $ | (45,839 | ) | $ | (2,327 | ) | $ | 10,099 | $ | (39,710 | ) | ||||||||
High Yield Bond Fund | ||||||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | — | $ | (15 | ) | $ | — | $ | (15 | ) | ||||||||||
Credit contracts | — | — | — | — | (319 | ) | (319 | ) | ||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | (15 | ) | $ | (319 | ) | $ | (334 | ) | |||||||||
Dynamic Asset Allocation Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | 14,523 | $ | — | $ | — | $ | — | $ | 7,995 | $ | 22,518 | ||||||||||||
Equity contracts | (800 | ) | 340 | (8,842 | ) | — | 278 | (9,024 | ) | |||||||||||||||
Commodity contracts | — | — | — | — | 14,375 | 14,375 | ||||||||||||||||||
Foreign exchange contracts | — | — | — | (13 | ) | — | (13 | ) | ||||||||||||||||
Total | $ | 13,723 | $ | 340 | $ | (8,842 | ) | $ | (13 | ) | $ | 22,648 | $ | 27,856 | ||||||||||
Multi-Strategy Alternative Fund | ||||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | 569 | $ | 569 | ||||||||||||
Equity contracts | (927 | ) | 581 | 34 | — | 1,969 | 1,657 | |||||||||||||||||
Interest rate contracts | — | — | 159 | — | 823 | 982 | ||||||||||||||||||
Foreign exchange contracts | — | 12 | — | 402 | — | 414 | ||||||||||||||||||
Total | $ | (927 | ) | $ | 593 | $ | 193 | $ | 402 | $ | 3,361 | $ | 3,622 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
431
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2022
Derivatives Not Accounted for as Hedging Instruments | Purchased Options and Swaptions | Written Options and Swaptions | Futures | Forward Foreign | Swaps | Total |
Multi-Asset Accumulation Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (124,689 | ) | $ | — | $ | (11,758 | ) | $ | (136,447 | ) | |||||||||
Interest rate contracts | — | — | (300,568 | ) | — | (36,240 | ) | (336,808 | ) | |||||||||||||||
Foreign exchange contracts | — | — | — | 87,104 | — | 87,104 | ||||||||||||||||||
Commodity contracts | — | — | 93,182 | — | — | 93,182 | ||||||||||||||||||
Total | $ | — | $ | — | $ | (332,075 | ) | $ | 87,104 | $ | (47,998 | ) | $ | (292,969 | ) | |||||||||
Multi-Asset Income Fund | ||||||||||||||||||||||||
Equity contracts | $ | 2,111 | $ | (938 | ) | $ | (1,700 | ) | $ | — | $ | — | $ | (527 | ) | |||||||||
Credit contracts | — | — | — | — | 1,519 | 1,519 | ||||||||||||||||||
Interest rate contracts | 66 | (46 | ) | (16,815 | ) | — | 5,054 | (11,741 | ) | |||||||||||||||
Foreign exchange contracts | 406 | (468 | ) | — | 5,455 | — | 5,393 | |||||||||||||||||
Total | $ | 2,583 | $ | (1,452 | ) | $ | (18,515 | ) | $ | 5,455 | $ | 6,573 | $ | (5,356 | ) | |||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | 593 | $ | 593 | ||||||||||||
Equity contracts | — | — | 5,656 | — | — | 5,656 | ||||||||||||||||||
Interest rate contracts | — | — | 1,766 | — | 758 | 2,524 | ||||||||||||||||||
Foreign exchange contracts | — | — | — | 1,675 | — | 1,675 | ||||||||||||||||||
Commodity contracts | 1,939 | (1,189 | ) | 35,289 | — | 12,768 | 48,807 | |||||||||||||||||
Total | $ | 1,939 | $ | (1,189 | ) | $ | 42,711 | $ | 1,675 | $ | 14,119 | $ | 59,255 | |||||||||||
Multi-Asset Capital Stability Fund | ||||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (100 | ) | $ | (100 | ) | ||||||||||
Equity contracts | (407 | ) | 217 | (6,533 | ) | — | 16 | (6,707 | ) | |||||||||||||||
Interest rate contracts | — | — | (9,860 | ) | — | (1,280 | ) | (11,140 | ) | |||||||||||||||
Foreign exchange contracts | — | — | — | 26,496 | — | 26,496 | ||||||||||||||||||
Commodity contracts | — | — | (100 | ) | — | — | (100 | ) | ||||||||||||||||
Total | $ | (407 | ) | $ | 217 | $ | (16,493 | ) | $ | 26,496 | $ | (1,364 | ) | $ | 8,449 |
Change in unrealized appreciation or (depreciation) on derivatives recognized in income ($ Thousands):
Derivatives Not Accounted for as Hedging Instruments | Purchased Options and Swaptions | Written Options and Swaptions | Futures | Forward Foreign | Swaps | Total | ||||||||||||||||||
Large Cap Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (454 | ) | $ | — | $ | — | $ | (454 | ) | ||||||||||
Total | $ | — | $ | — | $ | (454 | ) | $ | — | $ | — | $ | (454 | ) | ||||||||||
Large Cap Value Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (228 | ) | $ | — | $ | — | $ | (228 | ) | ||||||||||
Total | $ | — | $ | — | $ | (228 | ) | $ | — | $ | — | $ | (228 | ) | ||||||||||
Large Cap Growth Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (275 | ) | $ | — | $ | — | $ | (275 | ) | ||||||||||
Total | $ | — | $ | — | $ | (275 | ) | $ | — | $ | — | $ | (275 | ) | ||||||||||
Large Cap Index Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (230 | ) | $ | — | $ | — | $ | (230 | ) | ||||||||||
Total | $ | — | $ | — | $ | (230 | ) | $ | — | $ | — | $ | (230 | ) |
432
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Derivatives Not Accounted for as Hedging Instruments | Purchased Options and Swaptions | Written Options and Swaptions | Futures | Forward Foreign | Swaps | Total | ||||||||||||||||||
Tax Managed Large Cap Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (77 | ) | $ | — | $ | — | $ | (77 | ) | ||||||||||
Total | $ | — | $ | — | $ | (77 | ) | $ | — | $ | — | $ | (77 | ) | ||||||||||
S&P 500 Index Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (207 | ) | $ | — | $ | — | $ | (207 | ) | ||||||||||
Total | $ | — | $ | — | $ | (207 | ) | $ | — | $ | — | $ | (207 | ) | ||||||||||
Small Cap Value Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 24 | $ | — | $ | — | $ | 24 | ||||||||||||
Total | $ | — | $ | — | $ | 24 | $ | — | $ | — | $ | 24 | ||||||||||||
Mid Cap Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (106 | ) | $ | — | $ | — | $ | (106 | ) | ||||||||||
Total | $ | — | $ | — | $ | (106 | ) | $ | — | $ | — | $ | (106 | ) | ||||||||||
U.S. Managed Volatility Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (251 | ) | $ | — | $ | — | $ | (251 | ) | ||||||||||
Total | $ | — | $ | — | $ | (251 | ) | $ | — | $ | — | $ | (251 | ) | ||||||||||
Global Managed Volatility Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (255 | ) | $ | — | $ | — | $ | (255 | ) | ||||||||||
Foreign exchange contracts | — | — | — | 2,106 | — | 2,106 | ||||||||||||||||||
Total | $ | — | $ | — | $ | (255 | ) | $ | 2,106 | $ | — | $ | 1,851 | |||||||||||
Tax-Managed Managed Volatility Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 119 | $ | — | $ | — | $ | 119 | ||||||||||||
Total | $ | — | $ | — | $ | 119 | $ | — | $ | — | $ | 119 | ||||||||||||
Tax-Managed International Managed Volatility Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 3 | $ | — | $ | — | $ | 3 | ||||||||||||
Total | $ | — | $ | — | $ | 3 | $ | — | $ | — | $ | 3 | ||||||||||||
Core Fixed Income Fund | ||||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (794 | ) | $ | (794 | ) | ||||||||||
Interest rate contracts | (422 | ) | (2,828 | ) | (13,844 | ) | — | 5,536 | (11,558 | ) | ||||||||||||||
Foreign exchange contracts | (221 | ) | — | — | (2,297 | ) | — | (2,518 | ) | |||||||||||||||
Total | $ | (643 | ) | $ | (2,828 | ) | $ | (13,844 | ) | $ | (2,297 | ) | $ | 4,742 | $ | (14,870 | ) | |||||||
High Yield Bond Fund | ||||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | 381 | $ | 381 | ||||||||||||
Foreign exchange contracts | — | — | — | (5 | ) | — | (5 | ) | ||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | (5 | ) | $ | 381 | $ | 376 | |||||||||||
Dynamic Asset Allocation Fund | ||||||||||||||||||||||||
Equity contracts | $ | (446 | ) | $ | 45 | $ | (5,196 | ) | $ | — | $ | 2,865 | $ | (2,732 | ) | |||||||||
Interest rate contracts | (3,819 | ) | — | — | — | (2,707 | ) | (6,526 | ) | |||||||||||||||
Foreign exchange contracts | — | — | — | 43 | — | 43 | ||||||||||||||||||
Commodity contracts | — | — | — | — | (6,943 | ) | (6,943 | ) | ||||||||||||||||
Total | $ | (4,265 | ) | $ | 45 | $ | (5,196 | ) | $ | 43 | $ | (6,785 | ) | $ | (16,158 | ) | ||||||||
Multi-Strategy Alternative Fund | ||||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | 144 | $ | 144 | ||||||||||||
Equity contracts | 109 | (332 | ) | 10 | — | (1,256 | ) | (1,469 | ) | |||||||||||||||
Interest rate contracts | — | — | (98 | ) | — | (54 | ) | (152 | ) | |||||||||||||||
Foreign exchange contracts | — | — | — | 94 | — | 94 | ||||||||||||||||||
Total | $ | 109 | $ | (332 | ) | $ | (88 | ) | $ | 94 | $ | (1,166 | ) | $ | (1,383 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
433
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2022
Derivatives Not Accounted for as Hedging Instruments | Purchased Options and Swaptions | Written Options and Swaptions | Futures | Forward Foreign | Swaps | Total | ||||||||||||||||||
Multi-Asset Accumulation Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (20,021 | ) | $ | — | $ | 884 | $ | (19,137 | ) | ||||||||||
Interest rate contracts | — | — | 7,239 | — | (1,801 | ) | 5,438 | |||||||||||||||||
Foreign exchange contracts | — | — | — | 1,048 | — | 1,048 | ||||||||||||||||||
Commodity contracts | — | — | (24,271 | ) | — | (306 | ) | (24,577 | ) | |||||||||||||||
Total | $ | — | $ | — | $ | (37,053 | ) | $ | 1,048 | $ | (1,223 | ) | $ | (37,228 | ) | |||||||||
Multi-Asset Income Fund | ||||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (1,719 | ) | $ | (1,719 | ) | ||||||||||
Equity contracts | 597 | (473 | ) | (2,457 | ) | — | — | (2,333 | ) | |||||||||||||||
Interest rate contracts | — | — | (8,365 | ) | — | (1,640 | ) | (10,005 | ) | |||||||||||||||
Foreign exchange contracts | 99 | (109 | ) | — | 76 | — | 66 | |||||||||||||||||
Total | $ | 696 | $ | (582 | ) | $ | (10,822 | ) | $ | 76 | $ | (3,359 | ) | $ | (13,991 | ) | ||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | 1,950 | $ | 1,950 | ||||||||||||
Equity contracts | — | — | 3,620 | — | — | 3,620 | ||||||||||||||||||
Interest rate contracts | — | — | 52 | — | 10,715 | 10,767 | ||||||||||||||||||
Foreign exchange contracts | — | — | — | (153 | ) | — | (153 | ) | ||||||||||||||||
Commodity contracts | (495 | ) | 939 | (10,856 | ) | — | (5,333 | ) | (15,745 | ) | ||||||||||||||
Total | $ | (495 | ) | $ | 939 | $ | (7,184 | ) | $ | (153 | ) | $ | 7,332 | $ | 439 | |||||||||
Multi-Asset Capital Stability Fund | ||||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (187 | ) | $ | (187 | ) | ||||||||||
Equity contracts | (35 | ) | (38 | ) | 491 | — | 130 | 548 | ||||||||||||||||
Interest rate contracts | — | — | (543 | ) | — | (546 | ) | (1,089 | ) | |||||||||||||||
Foreign exchange contracts | — | — | — | (1,620 | ) | — | (1,620 | ) | ||||||||||||||||
Total | $ | (35 | ) | $ | (38 | ) | $ | (52 | ) | $ | (1,620 | ) | $ | (603 | ) | $ | (2,348 | ) |
The following table discloses the average quarterly balances of the Funds' derivative activity during the year ended September 30, 2022 ($ Thousands):
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | Large Cap Index Fund | |||||||||||||
Futures Contracts: | ||||||||||||||||
Average Notional Balance Long | $ | 14,234 | $ | 11,768 | $ | 22,276 | $ | 11,694 |
Tax-Managed Large Cap Fund | S&P 500 Index Fund | Small Cap Value Fund | Small Cap Growth Fund | Mid-Cap Fund | ||||||||||||||||
Futures Contracts: | ||||||||||||||||||||
Average Notional Balance Long | $ | 11,564 | $ | 6,881 | $ | 585 | $ | 120 | $ | 1,115,026 |
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | Tax-Managed International Managed Volatility Fund | |||||||||||||
Futures Contracts: | ||||||||||||||||
Average Notional Balance Long | $ | 5,535 | $ | 8,235 | $ | 7,385 | $ | 4,616 | ||||||||
Forward Foreign Currency Contracts: | ||||||||||||||||
Average Notional Balance Long | – | 314,502 | – | – | ||||||||||||
Average Notional Balance Short | – | 313,087 | – | – |
434
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Core Fixed Income Fund | High Yield Bond Fund | Dynamic Asset Allocation Fund | Multi-Strategy Alternative Fund | |||||||||||||
Futures Contracts: | ||||||||||||||||
Average Notional Balance Long | $ | 1,301,165 | $ | – | $ | 80,064 | $ | – | ||||||||
Average Notional Balance Short | 596,418 | – | – | 5,300 | ||||||||||||
Forward Foreign Currency Contracts: | ||||||||||||||||
Average Notional Balance Long | 129,532 | – | 12,881 | 37,458 | ||||||||||||
Average Notional Balance Short | 131,122 | – | 12,887 | 37,483 | ||||||||||||
Credit Default Swaps: | ||||||||||||||||
Average Notional Balance Buy Protection | 455 | – | – | 10,491 | ||||||||||||
Average Notional Balance Sell Protection | 161,221 | 1,701 | – | 253 | ||||||||||||
Total Return Swaps | ||||||||||||||||
Average Notional Balance Long | – | – | 54,937 | 15,337 | ||||||||||||
Average Notional Balance Short | – | 3,087 | – | 10,035 | ||||||||||||
Interest Rate Swaps | ||||||||||||||||
Average Notional Balance | 414,535 | – | 13,881 | 8,529 | ||||||||||||
Options/Swaptions: | ||||||||||||||||
Average Notional Balance Long† | 1,254 | – | 3,772 | 1,845 | ||||||||||||
Average Notional Balance Short† | 2,997 | – | – | 121 |
Multi-Asset Accumulation Fund | Multi-Asset Income Fund | Multi-Asset Inflation Managed Fund | Multi-Asset Capital Stability Fund | |||||||||||||
Futures Contracts: | ||||||||||||||||
Average Notional Balance Long | $ | 3,029 | $ | 412,584 | $ | 131,297 | $ | 113,764 | ||||||||
Average Notional Balance Short | 16,870 | 63,913 | 131,345 | 37,662 | ||||||||||||
Forward Foreign Currency Contracts: | ||||||||||||||||
Average Notional Balance Long | 1,089,806 | 131,594 | 31,501 | 233,222 | ||||||||||||
Average Notional Balance Short | 1,088,172 | 131,044 | 31,547 | 230,480 | ||||||||||||
Credit Default Swaps: | ||||||||||||||||
Average Notional Balance Buy Protection | – | 8,113 | 186,867 | – | ||||||||||||
Average Notional Balance Sell Protection | – | 64,115 | 73,921 | 6,885 | ||||||||||||
Total Return Swaps | ||||||||||||||||
Average Notional Balance Long | 1,721 | – | 63,560 | – | ||||||||||||
Average Notional Balance Short | 192 | – | 13,539 | – | ||||||||||||
Interest Rate Swaps | ||||||||||||||||
Average Notional Balance | 363,788 | 85,137 | 85,315 | 9,559 | ||||||||||||
Options/Swaptions: | ||||||||||||||||
Average Notional Balance Long† | – | 959 | 1,066 | 43 | ||||||||||||
Average Notional Balance Short† | – | – | – | 31 |
† | Represents cost. |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
435
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2022
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. Refer to each Funds Statement of Assets and Liabilities or Consolidated Statement of Assets and Liabilities for market value, variation margin and collateral of exchange-traded or centrally cleared financial derivative instruments.
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.
436
SEI Institutional Managed Trust / Annual Report / September 30, 2022
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of September 30, 2022 ($ Thousands):
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Global Managed Volatility Fund | Forward | Purchased Options | Swap Agreements | Total Over the | Forward | Written | Swap | Reverse Repurchase Agreements | Total | Net Market Value of OTC | Collateral | Net | ||||||||||||||||||||||||||||||||||||
Barclay Bank PLC | $ | 755 | $ | — | $ | — | $ | 755 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 755 | $ | — | $ | 755 | ||||||||||||||||||||||||
BNP Paribas | 1,148 | — | — | 1,148 | — | — | — | — | — | 1,148 | — | 1,148 | ||||||||||||||||||||||||||||||||||||
Brown Brothers Harriman | 49 | — | — | 49 | 103 | — | — | — | 103 | (54 | ) | — | (54 | ) | ||||||||||||||||||||||||||||||||||
Standard Chartered | 2,215 | — | — | 2,215 | — | — | — | — | — | 2,215 | — | 2,215 | ||||||||||||||||||||||||||||||||||||
Westpack Banking | 189 | — | — | 189 | — | — | — | — | — | 189 | — | 189 | ||||||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 4,356 | $ | — | $ | — | $ | 4,356 | $ | 103 | $ | — | $ | — | $ | — | $ | 103 |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Core Fixed Income Fund | Forward | Purchased Options | Swap Agreements | Total Over the | Forward | Written | Swap | Reverse Repurchase Agreements | Total | Net Market Value of OTC | Collateral | Net | ||||||||||||||||||||||||||||||||||||
BNP Paribas | $ | 475 | $ | — | $ | — | $ | 475 | $ | (844 | ) | $ | — | $ | — | $ | — | $ | (844 | ) | $ | (369 | ) | $ | — | $ | (369 | ) | ||||||||||||||||||||
Citigroup | 762 | — | — | 762 | (2,969 | ) | — | — | — | (2,969 | ) | (2,207 | ) | — | (2,207 | ) | ||||||||||||||||||||||||||||||||
Goldman Sachs | 692 | — | — | 692 | (189 | ) | — | — | — | (189 | ) | 503 | — | 503 | ||||||||||||||||||||||||||||||||||
Morgan Stanley | 177 | — | — | 177 | (54 | ) | — | — | — | (54 | ) | 123 | — | 123 | ||||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 2,106 | $ | — | $ | — | $ | 2,106 | $ | (4,056 | ) | $ | — | $ | — | $ | — | $ | (4,056 | ) |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
High Yield Bond Fund | Forward | Purchased Options | Swap Agreements | Total Over the | Forward | Written | Swap | Reverse Repurchase Agreements | Total | Net Market Value of OTC | Collateral | Net | ||||||||||||||||||||||||||||||||||||
Barclays | $ | — | $ | — | $ | 94 | $ | 94 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 94 | $ | — | 94 | |||||||||||||||||||||||||
JPMorgan Chase | — | — | 288 | 288 | — | — | — | — | — | 288 | — | 288 | ||||||||||||||||||||||||||||||||||||
Total Over the Counter | $ | — | $ | — | $ | 382 | $ | 382 | $ | — | $ | — | $ | — | $ | — | $ | — |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Dynamic Asset Allocation Fund | Forward | Purchased Options | Swap Agreements | Total Over the | Forward | Written | Swap | Reverse Repurchase Agreements | Total | Net Market Value of OTC | Collateral | Net | ||||||||||||||||||||||||||||||||||||
BNP Paribas | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 2,938 | $ | — | $ | 2,938 | $ | (2,938 | ) | $ | — | $ | (2,938 | ) | ||||||||||||||||||||||
Goldman Sachs | — | — | 2,865 | 2,865 | — | — | — | — | — | 2,865 | — | 2,865 | ||||||||||||||||||||||||||||||||||||
Total Over the Counter | $ | — | $ | — | $ | 2,865 | $ | 2,865 | $ | — | $ | — | $ | 2,938 | $ | — | $ | 2,938 |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Multi-Strategy Alternative Fund | Forward | Purchased Options | Swap Agreements | Total Over the | Forward | Written | Swap | Reverse Repurchase Agreements | Total | Net Market Value of OTC | Collateral | Net | ||||||||||||||||||||||||||||||||||||
Barclays PLC | $ | 51 | $ | — | $ | — | $ | 51 | $ | 5 | $ | — | $ | — | $ | — | $ | 5 | $ | 46 | $ | — | $ | 46 | ||||||||||||||||||||||||
Barr Brothers & Co., Inc. | — | — | — | — | 7 | — | — | — | 7 | (7 | ) | — | (7 | ) | ||||||||||||||||||||||||||||||||||
BNYMellon | 17 | — | — | 17 | — | — | — | — | — | 17 | — | 17 | ||||||||||||||||||||||||||||||||||||
Citi | 9 | — | — | 9 | 10 | — | — | — | 10 | (1 | ) | — | (1 | ) | ||||||||||||||||||||||||||||||||||
Credit Suisse First Boston | — | — | — | — | 3 | — | — | — | 3 | (3 | ) | — | (3 | ) | ||||||||||||||||||||||||||||||||||
Deutsche Bank | 18 | — | — | 18 | — | — | — | — | — | 18 | — | 18 | ||||||||||||||||||||||||||||||||||||
Goldman Sachs | 10 | — | 46 | 56 | 63 | — | — | — | 63 | (7 | ) | — | (7 | ) | ||||||||||||||||||||||||||||||||||
HSBC | 51 | — | — | 51 | 13 | — | — | — | 13 | 38 | — | 38 | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase | 15 | — | 158 | 173 | 65 | — | — | — | 65 | 108 | — | 108 | ||||||||||||||||||||||||||||||||||||
Montgomery/Bank of America | 13 | — | — | 13 | 8 | — | — | — | 8 | 5 | — | 5 | ||||||||||||||||||||||||||||||||||||
Morgan Stanley | 86 | — | 19 | 105 | 44 | — | 1,057 | — | 1,101 | (996 | ) | — | (996 | ) | ||||||||||||||||||||||||||||||||||
Santander | 23 | — | — | 23 | — | — | — | — | — | 23 | — | 23 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
437
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2022
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Multi-Strategy Alternative Fund | Forward | Purchased Options | Swap Agreements | Total Over the | Forward | Written | Swap | Reverse Repurchase Agreements | Total | Net Market Value of OTC | Collateral | Net | ||||||||||||||||||||||||||||||||||||
State Street | $ | 78 | $ | — | $ | — | $ | 78 | $ | 18 | $ | — | $ | — | $ | — | $ | 18 | $ | 60 | $ | — | $ | 60 | ||||||||||||||||||||||||
TD Bank | 30 | — | — | 30 | 29 | — | — | — | 29 | 1 | — | 1 | ||||||||||||||||||||||||||||||||||||
UBS | 53 | — | 36 | 89 | 1 | — | — | — | 1 | 88 | — | 88 | ||||||||||||||||||||||||||||||||||||
Westpac Banking | 17 | — | — | 17 | 1 | — | — | — | 1 | 16 | — | 16 | ||||||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 471 | $ | — | $ | 259 | $ | 730 | $ | 267 | $ | — | $ | 1,057 | $ | — | $ | 1,324 |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Multi-Asset Accumulation Fund | Forward | Purchased Options | Swap Agreements | Total Over the | Forward | Written | Swap | Reverse Repurchase Agreements | Total | Net Market Value of OTC | Collateral | Net | ||||||||||||||||||||||||||||||||||||
Bank of America | $ | — | $ | — | $ | 33,255 | $ | 33,255 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 33,255 | $ | — | $ | 33,255 | ||||||||||||||||||||||||
BNP Paribas | 150 | — | — | 150 | — | — | — | — | — | 150 | — | 150 | ||||||||||||||||||||||||||||||||||||
Brown Brothers Harmon | 2,974 | — | — | 2,974 | 1 | — | — | — | 1 | 2,973 | — | 2,973 | ||||||||||||||||||||||||||||||||||||
Citibank | — | — | 5 | 5 | — | — | 118 | — | 118 | (113 | ) | — | (113 | ) | ||||||||||||||||||||||||||||||||||
Citigroup | 3,673 | — | — | 3,673 | 3,949 | — | — | — | 3,949 | (276 | ) | — | (276 | ) | ||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 3,495 | — | 13,417 | 16,912 | 4,314 | — | 90 | — | 4,404 | 12,508 | — | 12,508 | ||||||||||||||||||||||||||||||||||||
State Street | 4,986 | — | — | 4,986 | 1 | — | — | — | 1 | 4,985 | — | 4,985 | ||||||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 15,278 | $ | — | $ | 46,677 | $ | 61,955 | $ | 8,265 | $ | — | $ | 208 | $ | — | $ | 8,473 |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Multi-Asset Income Fund | Forward | Purchased Options | Swap Agreements | Total Over the | Forward | Written | Swap | Reverse Repurchase Agreements | Total | Net Market Value of OTC | Collateral | Net | ||||||||||||||||||||||||||||||||||||
BNP Paribas | $ | 354 | $ | — | $ | — | $ | 354 | $ | 310 | $ | — | $ | — | $ | — | $ | 310 | $ | 44 | $ | — | $ | 44 | ||||||||||||||||||||||||
Citigroup | 1,075 | — | — | 1,075 | 621 | — | — | — | 621 | 454 | — | 454 | ||||||||||||||||||||||||||||||||||||
Goldman Sachs | 667 | — | — | 667 | 190 | — | — | — | 190 | 477 | — | 477 | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase | 23 | — | — | 23 | 60 | — | — | — | 60 | (37 | ) | — | (37 | ) | ||||||||||||||||||||||||||||||||||
Merrill Lynch | — | — | — | — | 9 | — | — | — | 9 | (9 | ) | — | (9 | ) | ||||||||||||||||||||||||||||||||||
Morgan Stanley | 141 | — | 148 | 289 | 717 | — | — | — | 717 | (428 | ) | — | (428 | ) | ||||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 2,260 | $ | — | $ | 148 | $ | 2,408 | $ | 1,907 | $ | — | $ | — | $ | — | $ | 1,907 |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Multi-Asset Inflation Managed Fund | Forward | Purchased Options | Swap Agreements | Total Over the | Forward | Written | Swap | Reverse Repurchase Agreements | Total | Net Market Value of OTC | Collateral | Net | ||||||||||||||||||||||||||||||||||||
Bank of America | $ | — | $ | — | $ | — | $ | — | $ | 59 | $ | — | $ | — | $ | — | $ | 59 | $ | (59 | ) | $ | 1 | $ | (58 | ) | ||||||||||||||||||||||
Brown Brothers Harriman | 4 | — | — | 4 | — | — | — | — | — | 4 | — | 4 | ||||||||||||||||||||||||||||||||||||
CGG | — | — | — | — | — | — | 5 | — | 5 | (5 | ) | — | (5 | ) | ||||||||||||||||||||||||||||||||||
Chase Securities | — | — | — | — | — | — | — | 120,643 | 120,643 | (120,643 | ) | — | (120,643 | ) | ||||||||||||||||||||||||||||||||||
Citibank | — | — | — | — | — | — | 89 | — | 89 | (89 | ) | — | (89 | ) | ||||||||||||||||||||||||||||||||||
Credit Suisse | — | — | — | — | — | — | 55 | — | 55 | (55 | ) | 55 | — | |||||||||||||||||||||||||||||||||||
Deutsche Bank | — | — | — | — | — | — | 80 | — | 80 | (80 | ) | — | (80 | ) | ||||||||||||||||||||||||||||||||||
Goldman Sachs | — | — | — | — | — | — | 333 | — | 333 | (333 | ) | — | (333 | ) | ||||||||||||||||||||||||||||||||||
JPMorgan Chase | — | — | 707 | 707 | — | — | 330 | — | 330 | 377 | — | 377 | ||||||||||||||||||||||||||||||||||||
Macquarie Bank Limited | — | — | — | — | — | — | 391 | — | 391 | (391 | ) | 391 | — | |||||||||||||||||||||||||||||||||||
Merrill Lynch | — | — | — | — | — | — | 1,700 | — | 1,700 | (1,700 | ) | — | (1,700 | ) | ||||||||||||||||||||||||||||||||||
Societe Generale | — | — | — | — | — | — | 1,030 | — | 1,030 | (1,030 | ) | — | (1,030 | ) | ||||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 4 | $ | — | $ | 707 | $ | 711 | $ | 59 | $ | — | $ | 4,013 | $ | 120,643 | $ | 124,715 |
438
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Multi-Asset Capital Stability Fund | Forward | Purchased Options | Swap Agreements | Total Over the | Forward | Written | Swap | Reverse Repurchase Agreements | Total | Net Market Value of OTC | Collateral | Net | ||||||||||||||||||||||||||||||||||||
Bank of America | $ | 55 | $ | — | $ | — | $ | 55 | $ | (216 | ) | $ | — | $ | — | $ | — | $ | (216 | ) | $ | (161 | ) | $ | — | $ | (161 | ) | ||||||||||||||||||||
BNP Paribas | 38 | — | — | 38 | (80 | ) | — | — | — | (80 | ) | (42 | ) | — | (42 | ) | ||||||||||||||||||||||||||||||||
Brown Brothers Harriman | 222 | — | — | 222 | (533 | ) | — | — | — | (533 | ) | (311 | ) | — | (311 | ) | ||||||||||||||||||||||||||||||||
Citigroup | 261 | — | — | 261 | (76 | ) | — | — | — | (76 | ) | 185 | — | 185 | ||||||||||||||||||||||||||||||||||
Credit Suisse First Boston | 80 | — | — | 80 | (192 | ) | — | — | — | (192 | ) | (112 | ) | — | (112 | ) | ||||||||||||||||||||||||||||||||
Deutsche Bank | 312 | — | — | 312 | (298 | ) | — | — | — | (298 | ) | 14 | — | 14 | ||||||||||||||||||||||||||||||||||
Goldman Sachs | 766 | — | — | 766 | (483 | ) | — | — | — | (483 | ) | 283 | — | 283 | ||||||||||||||||||||||||||||||||||
HSBC | 55 | — | — | 55 | (89 | ) | — | — | — | (89 | ) | (34 | ) | — | (34 | ) | ||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 489 | — | — | 489 | (93 | ) | — | — | — | (93 | ) | 396 | — | 396 | ||||||||||||||||||||||||||||||||||
Merrill Lynch | — | — | — | — | (47 | ) | — | — | — | (47 | ) | (47 | ) | — | (47 | ) | ||||||||||||||||||||||||||||||||
Morgan Stanley | 284 | — | 1 | 285 | (409 | ) | — | — | (36 | ) | (445 | ) | (160 | ) | — | (160 | ) | |||||||||||||||||||||||||||||||
RBS | 44 | — | — | 44 | — | — | — | — | — | 44 | — | 44 | ||||||||||||||||||||||||||||||||||||
Standard Chartered | — | — | — | — | (8 | ) | — | — | — | (8 | ) | (8 | ) | — | (8 | ) | ||||||||||||||||||||||||||||||||
UBS | 100 | — | — | 100 | (37 | ) | — | — | — | (37 | ) | 63 | — | 63 | ||||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 2,706 | $ | — | $ | 1 | $ | 2,707 | $ | (2,561 | ) | $ | — | $ | — | $ | (36 | ) | $ | (2,597 | ) |
(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. |
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 Dynamic Asset Allocation Fund, 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 Dynamic Asset Allocation Fund, 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, 2022 ($ Thousands) | % of Total | ||||||||||
Dynamic Commodity Strategy Subsidiary, Ltd. | March 28, 2018 | $ | 50,607 | 8.0 | % | |||||||
Accumulation Commodity Strategy Subsidiary, Ltd. | April 9, 2012 | 358,135 | 17.6 | % | ||||||||
Inflation Commodity Strategy Subsidiary Ltd. | April 9, 2012 | 140,652 | 17.2 | % |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
439
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2022
Gains and losses attributed to the Funds’ investments in Subsidiaries are as follows:
Dynamic Commodity Strategy Subsidiary, Ltd. ($ Thousands) | Accumulation Commodity Strategy, Ltd. ($ Thousands) | Inflation Commodity Strategy Subsidiary, Ltd. ($ Thousands) | |||||||||||||
Net Investment Income: | |||||||||||||||
Investment Income | $ | 220 | $ | 3,032 | $ | 1,193 | |||||||||
Net Realized Gain (Loss) on: | |||||||||||||||
Investments | — | (1,175 | ) | (50 | ) | ||||||||||
Futures Contracts | (5,550 | ) | 93,896 | 35,289 | |||||||||||
Swap Contracts | 18,752 | 6,294 | 14,009 | ||||||||||||
Purchased Options and Swaptions | — | — | 1,939 | ||||||||||||
Written Options and Swaptions | — | — | (1,189 | ) | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | |||||||||||||||
Investments | — | (3,619 | ) | (654 | ) | ||||||||||
Futures Contracts | (5,115 | ) | (24,271 | ) | (10,856 | ) | |||||||||
Swap Contracts | (9,934 | ) | 516 | (5,858 | ) | ||||||||||
Purchased Options and Swaptions | — | — | (495 | ) | |||||||||||
Written Options and Swaptions | — | — | 939 | ||||||||||||
Total gains and losses attributed to the Funds' investment in Subsidiaries | $ | (1,627 | ) | $ | 74,673 | $ | 34,267 |
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. (“the 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 Administrator has voluntarily agreed to waive and reduce their fee and/or reimburse certain expenses of the Conservative Income and Tax Free Conservative Funds in order to limit the one-day net income yield of the Funds to not less than 0.01% of the Funds’ average daily net assets.
440
SEI Institutional Managed Trust / Annual Report / September 30, 2022
The following is a summary of annual fees payable to the Adviser and Distributor and the voluntary expense limitations for each fund:
Advisory | Shareholder | Administrative | Voluntary | ||||||||||||||
Large Cap Fund | |||||||||||||||||
Class F | 0.3900 | % | 0.25 | % | — | 0.89 | % | ||||||||||
Class Y | 0.3900 | % | — | — | 0.64 | % | |||||||||||
Large Cap Value Fund | |||||||||||||||||
Class F | 0.3500 | % | 0.25 | % | — | 0.89 | % | ||||||||||
Class I | 0.3500 | % | 0.25 | % | 0.25 | % | 1.11 | % | |||||||||
Class Y | 0.3500 | % | — | — | 0.64 | % | |||||||||||
Large Cap Growth Fund | |||||||||||||||||
Class F | 0.4000 | % | 0.25 | % | — | 0.89 | % | ||||||||||
Class I | 0.4000 | % | 0.25 | % | 0.25 | % | 1.11 | % | |||||||||
Class Y | 0.4000 | % | — | — | 0.64 | % | |||||||||||
Large Cap Index Fund | |||||||||||||||||
Class F | 0.0500 | % | 0.25 | % | — | 0.25 | % | ||||||||||
Tax-Managed Large Cap Fund | |||||||||||||||||
Class F | 0.4000 | % | 0.25 | % | — | 0.89 | % | ||||||||||
Class Y | 0.4000 | % | — | — | 0.64 | % | |||||||||||
S&P 500 Index Fund | |||||||||||||||||
Class F | 0.0300 | % | 0.25 | % | — | 0.25 | % | ||||||||||
Class I | 0.0300 | % | 0.25 | % | 0.25 | % | 0.65 | % | |||||||||
Small Cap Fund | |||||||||||||||||
Class F | 0.6500 | % | 0.25 | % | — | 1.14 | % | ||||||||||
Class Y | 0.6500 | % | — | — | 0.89 | % | |||||||||||
Small Cap Value Fund | |||||||||||||||||
Class F | 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 | 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 | 0.6500 | % | 0.25 | % | — | 1.11 | % | ||||||||||
Class Y | 0.6500 | % | — | — | 0.89 | % | |||||||||||
Mid-Cap Fund | |||||||||||||||||
Class F | 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 | 0.6500 | % | 0.25 | % | — | 0.90 | % | ||||||||||
Class I | 0.6500 | % | 0.25 | % | 0.25 | % | 1.15 | % | |||||||||
Class Y | 0.6500 | % | — | — | 0.65 | % | |||||||||||
Global Managed Volatility Fund | |||||||||||||||||
Class F | 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 | 0.6500 | % | 0.25 | % | — | 1.00 | % | ||||||||||
Class Y | 0.6500 | % | — | — | 0.75 | % |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
441
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2022
Advisory | Shareholder | Administrative | Voluntary | ||||||||||||||
Tax-Managed International Managed Volatility Fund | |||||||||||||||||
Class F | 0.6500 | % | 0.25 | % | — | 1.11 | % | ||||||||||
Class Y | 0.6500 | % | — | — | 0.86 | % | |||||||||||
Real Estate Fund | |||||||||||||||||
Class F | 0.6500 | % | 0.25 | % | — | 1.14 | % | ||||||||||
Class I | 0.6500 | % | 0.25 | % | 0.25 | % | 1.36 | % | |||||||||
Class Y | 0.6500 | % | — | — | 0.89 | % | |||||||||||
Core Fixed Income Fund | |||||||||||||||||
Class F | 0.2750 | % | 0.25 | % | — | 0.66 | % | ||||||||||
Class I | 0.2750 | % | 0.25 | % | 0.25 | % | 0.88 | % | |||||||||
Class Y | 0.2750 | % | — | — | 0.41 | % | |||||||||||
High Yield Bond Fund | |||||||||||||||||
Class F | 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 | 0.1000 | % | 0.25 | % | — | 0.30 | % | ||||||||||
Class Y | 0.1000 | % | — | — | 0.20 | % | |||||||||||
Tax-Free Conservative Income Fund | |||||||||||||||||
Class F | 0.1000 | % | 0.25 | % | — | 0.30 | % | ||||||||||
Class Y | 0.1000 | % | — | — | 0.20 | % | |||||||||||
Real Return Fund | |||||||||||||||||
Class F | 0.2200 | % | 0.25 | % | — | 0.45 | % | ||||||||||
Class Y | 0.2200 | % | — | — | 0.35 | % | |||||||||||
Dynamic Asset Allocation Fund | |||||||||||||||||
Class F | 0.6000 | % | 0.25 | % | — | 0.75 | % | ||||||||||
Class Y | 0.6000 | % | — | — | 0.50 | % | |||||||||||
Multi-Strategy Alternative Fund | |||||||||||||||||
Class F | 1.5000 | % | 0.25 | % | — | 1.35 | % | ||||||||||
Class Y | 1.5000 | % | — | — | 1.10 | % | |||||||||||
Multi-Asset Accumulation Fund | |||||||||||||||||
Class F | 0.7500 | % | 0.25 | % | — | 1.17 | % | ||||||||||
Class Y | 0.7500 | % | — | — | 0.92 | % | |||||||||||
Multi-Asset Income Fund | |||||||||||||||||
Class F | 0.6000 | % | 0.25 | % | — | 0.80 | % | ||||||||||
Class Y | 0.6000 | % | — | — | 0.70 | % | |||||||||||
Multi-Asset Inflation Managed Fund | |||||||||||||||||
Class F | 0.5500 | % | 0.25 | % | — | 0.90 | % | ||||||||||
Class Y | 0.5500 | % | — | — | 0.65 | % | |||||||||||
Multi-Asset Capital Stability Fund | |||||||||||||||||
Class F | 0.4000 | % | 0.25 | % | — | 0.62 | % | ||||||||||
Class Y | 0.4000 | % | — | — | 0.52 | % |
442
SEI Institutional Managed Trust / Annual Report / September 30, 2022
The following is a summary of annual fees payable to the Administrator:
First $1.5 Billion | Next $500 Million | Next $500 Million | Next $500 Million | Over $3 Billion | |||||||||||
Large Cap Fund | 0.300 | % | 0.2550 | % | 0.2100 | % | 0.1650 | % | 0.120 | % | |||||
Large Cap Value Fund | 0.300 | % | 0.2550 | % | 0.2100 | % | 0.1650 | % | 0.120 | % | |||||
Large Cap Growth Fund | 0.300 | % | 0.2550 | % | 0.2100 | % | 0.1650 | % | 0.120 | % | |||||
Large Cap Index Fund | 0.300 | % | 0.2550 | % | 0.2100 | % | 0.1650 | % | 0.120 | % | |||||
Tax-Managed Large Cap Fund | 0.300 | % | 0.2550 | % | 0.2100 | % | 0.1650 | % | 0.120 | % | |||||
Small Cap Fund | 0.300 | % | 0.2550 | % | 0.2100 | % | 0.1650 | % | 0.120 | % | |||||
Small Cap Value Fund | 0.300 | % | 0.2550 | % | 0.2100 | % | 0.1650 | % | 0.120 | % | |||||
Small Cap Growth Fund | 0.300 | % | 0.2550 | % | 0.2100 | % | 0.1650 | % | 0.120 | % | |||||
Tax-Managed Small/Mid Cap Fund | 0.300 | % | 0.2550 | % | 0.2100 | % | 0.1650 | % | 0.120 | % | |||||
Mid-Cap Fund | 0.300 | % | 0.2550 | % | 0.2100 | % | 0.1650 | % | 0.120 | % | |||||
U.S. Managed Volatility Fund | 0.300 | % | 0.2550 | % | 0.2100 | % | 0.1650 | % | 0.120 | % | |||||
Global Managed Volatility Fund | 0.300 | % | 0.2550 | % | 0.2100 | % | 0.1650 | % | 0.120 | % | |||||
Tax-Managed Managed Volatility Fund | 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 | % | 0.2550 | % | 0.2100 | % | 0.1650 | % | 0.120 | % | |||||
Core Fixed Income Fund | 0.200 | % | 0.1775 | % | 0.1550 | % | 0.1325 | % | 0.110 | % | |||||
High Yield Bond Fund | 0.200 | % | 0.1775 | % | 0.1550 | % | 0.1325 | % | 0.110 | % | |||||
Conservative Income Fund | 0.200 | % | 0.1775 | % | 0.1550 | % | 0.1325 | % | 0.110 | % | |||||
Tax-Free Conservative Income Fund | 0.200 | % | 0.1775 | % | 0.1550 | % | 0.1325 | % | 0.110 | % | |||||
Real Return Fund | 0.200 | % | 0.1775 | % | 0.1550 | % | 0.1325 | % | 0.110 | % | |||||
Dynamic Asset Allocation Fund | 0.300 | % | 0.2550 | % | 0.2100 | % | 0.1650 | % | 0.120 | % | |||||
Multi-Strategy Alternative Fund | 0.300 | % | 0.2550 | % | 0.2100 | % | 0.1650 | % | 0.120 | % | |||||
Multi-Asset Accumulation Fund | 0.300 | % | 0.2550 | % | 0.2100 | % | 0.1650 | % | 0.120 | % | |||||
Multi-Asset Income Fund | 0.300 | % | 0.2550 | % | 0.2100 | % | 0.1650 | % | 0.120 | % | |||||
Multi-Asset Inflation Managed Fund | 0.300 | % | 0.2550 | % | 0.2100 | % | 0.1650 | % | 0.120 | % | |||||
Multi-Asset Capital Stability Fund | 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 | % | 0.2100 | % | 0.1650 | % | 0.120 | % |
As of September 30, 2022, SIMC has entered into investment sub-advisory agreements with the following affiliated and unaffiliated parties:
Investment Sub-Adviser
Large Cap Fund
Brandywine Global Investment Management, LLC
Ceredex Value Advisors, LLC
Coho Partners, Ltd.
Fred Alger Management, LLC
LSV Asset Management*
Mar Vista Investment Partners, LLC
Parametric Portfolio Associates LLC
Large Cap Value Fund
Brandywine Global Investment Management, LLC
Cullen Capital Management, LLC
LSV Asset Management*
Parametric Portfolio Associates LLC
Large Cap Growth Fund
Fiera Capital Inc.
Fred Alger Management, LLC
McKinley Capital Management, LLC
Parametric Portfolio Associates LLC
Large Cap Index Fund
SSGA Funds Management, Inc.
Tax-Managed Large Cap Fund
Brandywine Global Investment Management, LLC
Coho Partners, Ltd.
Cullen Capital Management, LLC (Cullen) (fka
Schafer Cullen Capital Management)
Fiera Capital Inc.
LSV Asset Management*
Mar Vista Investment Partners, LLC
Parametric Portfolio Associates LLC
S&P 500 Index Fund
SSGA Funds Management, Inc.
Small Cap Fund
Copeland Capital Management, LLC
EAM Investors, LLC
Easterly Investment Partners LLC
Hillsdale Investment Management Inc.
Los Angeles Capital Management, LLC
Leeward Investments, LLC
Parametric Portfolio Associates LLC
Small Cap Value Fund
Cardinal Capital Management, LLC
Easterly Investment Partners LLC
LSV Asset Management, LLC*
Parametric Portfolio Associates LLC
SEI Institutional Managed Trust / Annual Report / September 30, 2022
443
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2022
Small Cap Growth Fund
ArrowMark Colorado Holdings LLC
EAM Investors LLC
Jackson Creek Investment Advisors, LLC
Parametric Portfolio Associates LLC
Tax-Managed Small/Mid Cap Fund
Cardinal Capital Management, LLC
Easterly Investment Partners LLC
Hillsdale Investment Management Inc.
Martingale Asset Management, LP
Parametric Portfolio Associates LLC
Rice Hall James & Associates LLC
Mid-Cap Fund
Leeward Investments, LLC
Los Angeles Capital Management LLC
U.S. Managed Volatility Fund
Allspring Global Investments, LLC
LSV Asset Management*
Global Managed Volatility Fund
Acadian Asset Management LLC
Allspring Global Investments, LLC
Tax-Managed Managed Volatility Fund
Allspring Global Investments, LLC
LSV Asset Management*
Parametric Portfolio Associates LLC
Tax-Managed International Managed Volatility Fund
Acadian Asset Management LLC
Allspring Global Investments, LLC
LSV Asset Management*
Parametric Portfolio Associates LLC
Real Estate Fund
CenterSquare Investment Management LLC
Core Fixed Income Fund
Allspring Global Investments, LLC
Jennison Associates LLC
MetLife Investment Management, LLC
Metropolitan West Asset Management, LLC
Western Asset Management Company, LLC
Western Asset Management Company Limited
High Yield Bond Fund
Ares Capital Management II LLC
Benefit Street Partners, LLC
Brigade Capital Management, LP
J.P. Morgan Investment Management, Inc.
T. Rowe Price Associates, 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
Brigade Capital Management, LP
Emso Asset Management Limited
Global Credit Advisers, LLC
Kettle Hill Capital Management LLC
Mountaineer Partners Management, LLC
Putnam Investment 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
SSGA Funds Management Inc.
Western Asset Management Company, LLC
Western Asset Management Company Limited
Multi-Asset Inflation Managed Fund
AllianceBernstein, L.P.
Columbia Management Investments Advisers, LLC
Credit Suisse Asset Management, LLC
Franklin Advisers, Inc.
Multi-Asset Capital Stability Fund
AllianceBernstein, L.P.
Janus Henderson Investors US LLC
* Affiliated
Under the investment sub-advisory agreements, each sub-adviser receives a fee paid by SIMC.
Brokerage Commissions Paid to Affiliates — 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.
For the year ended September 30, 2022, there were no such commissions.
Payments to/from 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.
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SEI Institutional Managed Trust / Annual Report / September 30, 2022
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, Tax-Managed Managed Volatility and Tax-Managed International Managed Volatility Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the year ended September 30, 2022 were as follows ($ Thousands):
Large Cap Fund | $ | 323 | ||
Large Cap Value Fund | 503 | |||
Tax-Managed Large Cap Fund | 673 | |||
Small Cap Value Fund | 851 | |||
U.S. Managed Volatility Fund | 1,335 | |||
Tax-Managed Managed Volatility Fund | 1,733 | |||
Tax-Managed International Managed Volatility Fund | 460 | |||
$ | 5,878 |
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, 2022, 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, LP.
Each of the Large Cap Index and S&P 500 Index Funds may purchase companies with which it is affiliated
to the extent these companies are represented in its benchmark index.
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 Board. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate.
For the year ended September 30, 2022, the following Funds 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 | Maturity | Amount | Interest | Interest | |||||||
Mid-Cap Fund | 12/21/21 | 12/22/21 | 10,498 | – | 1.08% | ||||||
Mid-Cap Fund | 2/28/22 | 3/1/22 | 5,800 | – | 1.08% | ||||||
Real Estate Fund | 6/2/22 | 6/3/22 | 8,000 | – | 1.83% |
7. CAPITAL SHARE TRANSACTIONS
Capital share transactions for the Funds were as follows (Thousands):
For the years ended September 30, 2022 and September 30, 2021.
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | Large Cap Index Fund | |||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||
Class F: | ||||||||||||||||
Shares Issued | 13,469 | 13,566 | 8,091 | 7,160 | 6,420 | 4,190 | 19,892 | 29,697 | ||||||||
Shares Issued in Lieu of Dividends and Distributions | 15,037 | 4,271 | 2,781 | 926 | 3,525 | 2,689 | 966 | 696 | ||||||||
Shares Redeemed | (25,530 | ) | (40,111 | ) | (12,968 | ) | (14,156 | ) | (7,254 | ) | (8,544 | ) | (19,731 | ) | (18,893 | ) |
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | 2,976 | (22,274 | ) | (2,096 | ) | (6,070 | ) | 2,691 | (1,665 | ) | 1,127 | 11,500 | ||||
Class I: | ||||||||||||||||
Shares Issued | – | – | 50 | 12 | 11 | 21 | – | – | ||||||||
Shares Issued in Lieu of Dividends and Distributions | – | – | 6 | 2 | 10 | 7 | – | – | ||||||||
Shares Redeemed | – | – | (76 | ) | (24 | ) | (41 | ) | (17 | ) | – | – |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
445
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2022
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | Large Cap Index Fund | |||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class I Transactions | – | – | (20 | ) | (10 | ) | (20 | ) | 11 | – | – | |||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||
Shares Issued | 739 | 668 | 1,079 | 1,296 | 1,180 | 914 | – | – | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 824 | 258 | 461 | 147 | 534 | 349 | – | – | ||||||||||||||||||||||||
Shares Redeemed | (3,893 | ) | (2,044 | ) | (1,454 | ) | (1,344 | ) | (658 | ) | (734 | ) | – | – | ||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | (2,330 | ) | (1,118 | ) | 86 | 99 | 1,056 | 529 | – | – | ||||||||||||||||||||||
Increase (Decrease) in Capital Shares | 646 | (23,392 | ) | (2,030 | ) | (5,981 | ) | 3,727 | (1,125 | ) | 1,127 | 11,500 |
Tax-Managed Large Cap Fund | S&P 500 Index Fund | Small Cap Fund | Small Cap Value Fund | |||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Class F: | ||||||||||||||||||||||||||||||||
Shares Issued | 8,835 | 9,293 | 1,117 | 861 | 5,486 | 5,479 | 2,644 | 2,776 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 5,061 | 2,479 | 710 | 605 | 8,435 | 51 | 1,051 | 86 | ||||||||||||||||||||||||
Shares Redeemed | (17,878 | ) | (19,738 | ) | (2,205 | ) | (2,018 | ) | (8,476 | ) | (12,318 | ) | (3,264 | ) | (4,048 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | (3,982 | ) | (7,966 | ) | (378 | ) | (552 | ) | 5,445 | (6,788 | ) | 431 | (1,186 | ) | ||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||
Shares Issued | – | – | 13 | 18 | – | – | 3 | 11 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | – | – | 5 | 3 | – | – | 6 | — | ||||||||||||||||||||||||
Shares Redeemed | – | – | (26 | ) | (17 | ) | – | – | (40 | ) | (11 | ) | ||||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class I Transactions | – | – | (8 | ) | 4 | – | – | (31 | ) | — | ||||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||
Shares Issued | 1,561 | 1,372 | – | – | 281 | 280 | 416 | 372 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 725 | 352 | – | – | 381 | 6 | 206 | 21 | ||||||||||||||||||||||||
Shares Redeemed | (1,965 | ) | (2,023 | ) | – | – | (497 | ) | (898 | ) | (327 | ) | (586 | ) | ||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | 321 | (299 | ) | – | – | 165 | (612 | ) | 295 | (193 | ) | |||||||||||||||||||||
Increase (Decrease) in Capital Shares | (3,661 | ) | (8,265 | ) | (386 | ) | (548 | ) | 5,610 | (7,400 | ) | 695 | (1,379 | ) |
Small Cap Growth Fund | Tax-Managed Small/Mid Cap Fund | Mid-Cap Fund | U.S. Managed Volatility Fund | |||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Class F: | ||||||||||||||||||||||||||||||||
Shares Issued | 1,361 | 1,717 | 3,213 | 3,927 | 1,483 | 615 | 7,667 | 6,421 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 2,064 | — | 2,832 | 43 | 587 | 19 | 3,722 | 3,836 | ||||||||||||||||||||||||
Shares Redeemed | (1,515 | ) | (2,312 | ) | (5,287 | ) | (5,454 | ) | (1,619 | ) | (1,062 | ) | (11,060 | ) | (15,149 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | 1,910 | (595 | ) | 758 | (1,484 | ) | 451 | (428 | ) | 329 | (4,892 | ) | ||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||
Shares Issued | 7 | 9 | – | – | 4 | 2 | — | 3 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 10 | — | – | – | 4 | — | 7 | 7 | ||||||||||||||||||||||||
Shares Redeemed | (23 | ) | (10 | ) | – | – | (15 | ) | (6 | ) | (49 | ) | (14 | ) | ||||||||||||||||||
Total Decrease in Net Assets Derived from Class I Transactions | (6 | ) | (1 | ) | – | – | (7 | ) | (4 | ) | (42 | ) | (4 | ) | ||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||
Shares Issued | 163 | 142 | 416 | 288 | 49 | 79 | 1,020 | 4,759 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 234 | — | 381 | 13 | 25 | 1 | 1,083 | 4,761 | ||||||||||||||||||||||||
Shares Redeemed | (174 | ) | (176 | ) | (501 | ) | (646 | ) | (30 | ) | (77 | ) | (3,172 | ) | (52,092 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | 223 | (34 | ) | 296 | (345 | ) | 44 | 3 | (1,069 | ) | (42,572 | ) | ||||||||||||||||||||
Increase (Decrease) in Capital Shares | 2,127 | (630 | ) | 1,054 | (1,829 | ) | 488 | (429 | ) | (782 | ) | (47,468 | ) |
Global Managed Volatility Fund | Tax-Managed Managed | Tax-Managed International Managed Volatility Fund | Real Estate Fund | |||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Class F: | ||||||||||||||||||||||||||||||||
Shares Issued | 10,124 | 12,133 | 5,501 | 5,084 | 5,275 | 5,102 | 1,946 | 1,117 |
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SEI Institutional Managed Trust / Annual Report / September 30, 2022
Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | Tax-Managed International Managed Volatility Fund | Real Estate Fund | |||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 7,473 | 725 | 1,817 | 781 | 819 | 447 | 354 | 291 | ||||||||||||||||||||||||
Shares Redeemed | (18,019 | ) | (25,859 | ) | (11,087 | ) | (10,638 | ) | (7,157 | ) | (6,663 | ) | (2,589 | ) | (2,089 | ) | ||||||||||||||||
Total Decrease in Net Assets Derived from Class F Transactions | (422 | ) | (13,001 | ) | (3,769 | ) | (4,773 | ) | (1,063 | ) | (1,114 | ) | (289 | ) | (681 | ) | ||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||
Shares Issued | 1 | 3 | – | – | – | – | — | 1 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 10 | 1 | – | – | – | – | 2 | 1 | ||||||||||||||||||||||||
Shares Redeemed | (57 | ) | (7 | ) | – | – | – | – | (14 | ) | (1 | ) | ||||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class I Transactions | (46 | ) | (3 | ) | – | – | – | – | (12 | ) | 1 | |||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||
Shares Issued | 1,682 | 1,880 | 542 | 426 | 699 | 450 | 156 | 85 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 1,131 | 147 | 185 | 80 | 150 | 86 | 71 | 72 | ||||||||||||||||||||||||
Shares Redeemed | (2,639 | ) | (4,923 | ) | (721 | ) | (853 | ) | (1,109 | ) | (740 | ) | (248 | ) | (402 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | 174 | (2,896 | ) | 6 | (347 | ) | (260 | ) | (204 | ) | (21 | ) | (245 | ) | ||||||||||||||||||
(Decrease) in Capital Shares | (294 | ) | (15,900 | ) | (3,763 | ) | (5,120 | ) | (1,323 | ) | (1,318 | ) | (322 | ) | (925 | ) |
Core Fixed Income Fund | High Yield Bond Fund | Conservative Income Fund | Tax-Free Conservative | |||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Class F: | ||||||||||||||||||||||||||||||||
Shares Issued | 63,452 | 91,203 | 37,354 | 37,851 | 23,483 | 13,686 | 6,639 | 7,666 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 7,145 | 16,247 | 12,143 | 12,961 | 150 | 2 | 58 | 2 | ||||||||||||||||||||||||
Shares Redeemed | (86,282 | ) | (68,450 | ) | (57,435 | ) | (43,544 | ) | (16,099 | ) | (18,618 | ) | (7,364 | ) | (10,584 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | (15,685 | ) | 39,000 | (7,938 | ) | 7,268 | 7,534 | (4,930 | ) | (667 | ) | (2,916 | ) | |||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||
Shares Issued | 33 | 91 | 1 | 18 | – | – | – | – | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 6 | 16 | 3 | 5 | – | – | – | – | ||||||||||||||||||||||||
Shares Redeemed | (117 | ) | (50 | ) | (88 | ) | (4 | ) | – | – | – | – | ||||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class I Transactions | (78 | ) | 57 | (84 | ) | 19 | – | – | – | – | ||||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||
Shares Issued | 6,784 | 12,487 | 5,793 | 3,522 | 512 | 881 | 819 | 968 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 1,056 | 2,128 | 1,977 | 1,974 | 9 | — | 3 | — | ||||||||||||||||||||||||
Shares Redeemed | (7,696 | ) | (8,460 | ) | (7,628 | ) | (4,872 | ) | (687 | ) | (1,412 | ) | (1,260 | ) | (618 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | 144 | 6,155 | 142 | 624 | (166 | ) | (531 | ) | (438 | ) | 350 | |||||||||||||||||||||
Increase (Decrease) in Capital Shares | (15,619 | ) | 45,212 | (7,880 | ) | 7,911 | 7,368 | (5,461 | ) | (1,105 | ) | (2,566 | ) |
Real Return Fund | Dynamic Asset Allocation Fund | Multi-Strategy Alternative Fund | Multi-Asset Accumulation Fund | |||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Class F: | ||||||||||||||||||||||||||||||||
Shares Issued | 10,533 | 4,819 | 4,820 | 6,462 | 5,838 | 5,595 | 32,374 | 34,974 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 1,274 | 436 | 4,220 | 3,159 | 2,914 | 1,143 | 30,363 | 12,023 | ||||||||||||||||||||||||
Shares Redeemed | (8,003 | ) | (6,861 | ) | (11,685 | ) | (13,791 | ) | (7,946 | ) | (10,493 | ) | (42,752 | ) | (57,285 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | 3,804 | (1,606 | ) | (2,645 | ) | (4,170 | ) | 806 | (3,755 | ) | 19,985 | (10,288 | ) | |||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||
Shares Issued | 403 | 454 | 387 | 268 | 167 | 88 | 2,568 | 2,834 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 106 | 44 | 258 | 205 | 62 | 24 | 2,499 | 989 | ||||||||||||||||||||||||
Shares Redeemed | (439 | ) | (876 | ) | (719 | ) | (720 | ) | (155 | ) | (146 | ) | (3,447 | ) | (5,040 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | 70 | (378 | ) | (74 | ) | (247 | ) | 74 | (34 | ) | 1,620 | (1,217 | ) | |||||||||||||||||||
Increase (Decrease) in Capital Shares | 3,874 | (1,984 | ) | (2,719 | ) | (4,417 | ) | 880 | (3,789 | ) | 21,605 | (11,505 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
447
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2022
Multi-Asset Income Fund | Multi-Asset Inflation Managed Fund | Multi-Asset Capital Stability Fund | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||
Class F: | ||||||||||||||||||||||||
Shares Issued | 8,691 | 10,992 | 21,495 | 16,169 | 14,438 | 15,124 | ||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 2,441 | 2,019 | 6,439 | 1,205 | 1,405 | 579 | ||||||||||||||||||
Shares Redeemed | (15,610 | ) | (17,903 | ) | (27,949 | ) | (20,504 | ) | (16,832 | ) | (22,028 | ) | ||||||||||||
Total Decrease in Net Assets Derived from Class F Transactions | (4,478 | ) | (4,892 | ) | (15 | ) | (3,130 | ) | (989 | ) | (6,325 | ) | ||||||||||||
Class Y: | ||||||||||||||||||||||||
Shares Issued | 1,715 | 3,482 | 469 | 718 | 398 | 840 | ||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 605 | 478 | 383 | 95 | 102 | 50 | ||||||||||||||||||
Shares Redeemed | (2,347 | ) | (3,864 | ) | (1,764 | ) | (1,603 | ) | (797 | ) | (1,971 | ) | ||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | (27 | ) | 96 | (912 | ) | (790 | ) | (297 | ) | (1,081 | ) | |||||||||||||
(Decrease) in Capital Shares | (4,505 | ) | (4,796 | ) | (927 | ) | (3,920 | ) | (1,286 | ) | (7,406 | ) |
8. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities, other than temporary cash investments, during the year ended September 30, 2022, were as follows:
U.S. Gov't | Other | Total | ||||||||||
Large Cap Fund | ||||||||||||
Purchases | $ | — | $ | 763,846 | $ | 763,846 | ||||||
Sales | — | 1,020,983 | 1,020,983 | |||||||||
Large Cap Value Fund | ||||||||||||
Purchases | — | 353,467 | 353,467 | |||||||||
Sales | — | 466,537 | 466,537 | |||||||||
Large Cap Growth Fund | ||||||||||||
Purchases | — | 956,715 | 956,715 | |||||||||
Sales | — | 1,013,519 | 1,013,519 | |||||||||
Large Cap Index Fund | ||||||||||||
Purchases | — | 161,131 | 161,131 | |||||||||
Sales | — | 140,080 | 140,080 | |||||||||
Tax-Managed Large Cap Fund | ||||||||||||
Purchases | — | 946 | 946 | |||||||||
Sales | — | 1,242 | 1,242 | |||||||||
S&P 500 Index Fund | ||||||||||||
Purchases | — | 28,252 | 28,252 | |||||||||
Sales | — | 115,815 | 115,815 | |||||||||
Small Cap Fund | ||||||||||||
Purchases | — | 689,666 | 689,666 | |||||||||
Sales | — | 755,872 | 755,872 | |||||||||
Small Cap Value Fund | ||||||||||||
Purchases | — | 172,240 | 172,240 | |||||||||
Sales | — | 188,958 | 188,958 | |||||||||
Small Cap Growth Fund | ||||||||||||
Purchases | — | 723,886 | 723,886 | |||||||||
Sales | — | 896,520 | 896,520 | |||||||||
Tax-Managed Small/Mid Cap Fund | ||||||||||||
Purchases | — | 546,054 | 546,054 | |||||||||
Sales | — | 608,853 | 608,853 | |||||||||
Mid-Cap Fund | ||||||||||||
Purchases | — | 76,366 | 76,366 | |||||||||
Sales | — | 78,002 | 78,002 | |||||||||
U.S. Managed Volatility Fund | ||||||||||||
Purchases | — | 440,083 | 440,083 | |||||||||
Sales | — | 541,022 | 541,022 |
U.S. Gov't | Other | Total | ||||||||||
Global Managed Volatility Fund | ||||||||||||
Purchases | — | 846,683 | 846,683 | |||||||||
Sales | — | 918,390 | 918,390 | |||||||||
Tax-Managed Managed Volatility Fund | ||||||||||||
Purchases | — | 165,517 | 165,517 | |||||||||
Sales | — | 275,866 | 275,866 | |||||||||
Tax-Managed International Managed Volatility Fund | ||||||||||||
Purchases | — | 270,704 | 270,704 | |||||||||
Sales | — | 286,008 | 286,008 | |||||||||
Real Estate Fund | ||||||||||||
Purchases | — | 81,522 | 81,522 | |||||||||
Sales | — | 90,902 | 90,902 | |||||||||
Core Fixed Income Fund | ||||||||||||
Purchases | 13,686,010 | 2,659,696 | 16,345,706 | |||||||||
Sales | 13,853,432 | 2,428,279 | 16,281,711 | |||||||||
High Yield Bond Fund | ||||||||||||
Purchases | 1,394 | 602,354 | 603,748 | |||||||||
Sales | — | 643,723 | 643,723 | |||||||||
Conservative Income Fund | ||||||||||||
Purchases | — | — | — | |||||||||
Sales | — | — | — | |||||||||
Tax-Free Conservative Income Fund | ||||||||||||
Purchases | — | — | — | |||||||||
Sales | — | — | — | |||||||||
Real Return Fund | ||||||||||||
Purchases | 158,941 | — | 158,941 | |||||||||
Sales | 134,461 | — | 134,461 | |||||||||
Dynamic Asset Allocation Fund | ||||||||||||
Purchases | — | 33,580 | 33,580 | |||||||||
Sales | — | 154,844 | 154,844 | |||||||||
Multi-Strategy Alternative Fund | ||||||||||||
Purchases | 2,349 | 1,091,537 | 1,093,886 | |||||||||
Sales | 2,535 | 1,102,789 | 1,105,324 | |||||||||
Multi-Asset Accumulation Fund | ||||||||||||
Purchases | 308,613 | 216,573 | 525,186 | |||||||||
Sales | 538,578 | 347,942 | 886,520 | |||||||||
Multi-Asset Income Fund | ||||||||||||
Purchases | 10,301 | 156,011 | 166,312 | |||||||||
Sales | 14,822 | 217,023 | 231,845 | |||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||
Purchases | 503,182 | 116,443 | 619,625 | |||||||||
Sales | 461,590 | 209,313 | 670,903 |
448
SEI Institutional Managed Trust / Annual Report / September 30, 2022
U.S. Gov't | Other | Total | ||||||||||
Multi-Asset Capital Stability Fund | ||||||||||||
Purchases | 57,141 | 37,947 | 95,088 | |||||||||
Sales | 109,406 | 69,518 | 178,924 |
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 Dynamic Commodity Strategy, 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”. The Treasury released a proposed regulation in October 2016 stating that income inclusion from a controlled foreign corporation is treated as dividends i.e. qualifying income only to the extent that the Funds received cash distributions from the subsidiary. The Treasury released a final regulation in March 2019 reversing its position on the proposed regulation by removing the cash distribution requirement.
The Real Estate Fund has a tax year that ends on December 31. The following tax disclosures are representative as of September 30, 2022, except
for the permanent reclassification and tax character of distributions, which are as of December 31, 2021. 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, 2022.
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.
The permanent differences are 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, expiration of capital loss carryforwards, collateralized loan obligation basis adjustments, utilization of earnings and profits on shareholder redemptions, certain foreign currency related transactions, payment of excise tax, and non-taxable in-kind redemptions. The permanent differences that is charged or credited to Paid In Capital and Distributable Earnings are primarily related to net operating losses and distribution in excess of net investment income have been reclassified to/from the following accounts as of September 30, 2022:
Distributable Earnings (Loss) | Paid-in- | |||||||
Small Cap Fund | $ | 16 | $ | (16 | ) | |||
Small Cap Growth Fund | 1,977 | (1,977 | ) | |||||
Tax-Managed Small/Mid Cap Fund | 204 | (204 | ) | |||||
High Yield Bond Fund | 5 | (5 | ) | |||||
Multi-Asset Capital Stability Fund | (43 | ) | 43 |
These reclassifications had no impact on net assets or net asset value per share.
The tax character of dividends and distributions paid during the fiscal years or periods ended September 30, 2022 or September 30, 2021 (unless otherwise indicated) was as follows:
Ordinary | Long-term | Return of Capital | Tax Exempt Income | Total | ||||||||||||||||||||
Large Cap Fund | ||||||||||||||||||||||||
2022 | $ | 61,429 | $ | 220,787 | $ | — | $ | — | $ | 282,216 | ||||||||||||||
2021 | 18,293 | 56,356 | — | — | 74,649 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
449
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2022
Ordinary | Long-term | Return of Capital | Tax Exempt Income | Total | ||||||||||||||||||||
Large Cap Value Fund | ||||||||||||||||||||||||
2022 | $ | 31,326 | $ | 62,850 | $ | — | $ | — | $ | 94,176 | ||||||||||||||
2021 | 27,551 | — | — | — | 27,551 | |||||||||||||||||||
Large Cap Growth Fund | ||||||||||||||||||||||||
2022 | 21,472 | 197,320 | — | — | 218,792 | |||||||||||||||||||
2021 | 9,934 | 134,180 | — | — | 144,114 | |||||||||||||||||||
Large Cap Index Fund | ||||||||||||||||||||||||
2022 | 14,044 | 1,753 | — | — | 15,797 | |||||||||||||||||||
2021 | 10,181 | — | — | — | 10,181 | |||||||||||||||||||
Tax-Managed Large Cap Fund | ||||||||||||||||||||||||
2022 | 39,532 | 197,578 | — | — | 237,110 | |||||||||||||||||||
2021 | 41,049 | 55,596 | — | — | 96,645 | |||||||||||||||||||
S&P 500 Index Fund | ||||||||||||||||||||||||
2022 | 13,514 | 62,560 | — | — | 76,074 | |||||||||||||||||||
2021 | 11,520 | 42,408 | — | — | 53,928 | |||||||||||||||||||
Small Cap Fund | ||||||||||||||||||||||||
2022 | 66,921 | 61,560 | — | — | 128,481 | |||||||||||||||||||
2021 | 847 | — | — | — | 847 | |||||||||||||||||||
Small Cap Value Fund | ||||||||||||||||||||||||
2022 | 11,167 | 23,613 | — | — | 34,780 | |||||||||||||||||||
2021 | 2,646 | — | — | — | 2,646 | |||||||||||||||||||
Small Cap Growth Fund | ||||||||||||||||||||||||
2022 | 38,252 | 52,511 | — | — | 90,763 | |||||||||||||||||||
2021 | — | — | — | — | — | |||||||||||||||||||
Tax-Managed Small/Mid Cap Fund | ||||||||||||||||||||||||
2022 | 2,336 | 94,023 | — | — | 96,359 | |||||||||||||||||||
2021 | 1,552 | 66 | — | — | 1,618 | |||||||||||||||||||
Mid-Cap Fund | ||||||||||||||||||||||||
2022 | 8,990 | 9,652 | — | — | 18,642 | |||||||||||||||||||
2021 | 589 | — | — | — | 589 | |||||||||||||||||||
U.S. Managed Volatility Fund | ||||||||||||||||||||||||
2022 | 35,245 | 59,945 | — | — | 95,190 | |||||||||||||||||||
2021 | 44,441 | 109,717 | — | — | 154,158 | |||||||||||||||||||
Global Managed Volatility Fund | ||||||||||||||||||||||||
2022 | 18,044 | 96,215 | — | — | 114,259 | |||||||||||||||||||
2021 | 9,076 | 1,772 | — | — | 10,848 | |||||||||||||||||||
Tax-Managed Managed Volatility Fund | ||||||||||||||||||||||||
2022 | 9,958 | 39,174 | — | — | 49,132 | |||||||||||||||||||
2021 | 11,074 | 7,105 | — | — | 18,179 | |||||||||||||||||||
Tax-Managed International Managed Volatility Fund | ||||||||||||||||||||||||
2022 | 12,641 | — | — | — | 12,641 | |||||||||||||||||||
2021 | 6,703 | — | — | — | 6,703 | |||||||||||||||||||
Real Estate Fund | ||||||||||||||||||||||||
2022 | 4,783 | 3,740 | — | — | 8,523 | |||||||||||||||||||
2021 | 2,122 | 3,629 | — | — | 5,751 | |||||||||||||||||||
Core Fixed Income Fund | ||||||||||||||||||||||||
2022 | 93,993 | — | — | — | 93,993 | |||||||||||||||||||
2021 | 193,862 | 41,756 | — | — | 235,618 | |||||||||||||||||||
High Yield Bond Fund | ||||||||||||||||||||||||
2022 | 102,523 | — | — | — | 102,523 | |||||||||||||||||||
2021 | 113,338 | — | — | — | 113,338 | |||||||||||||||||||
Conservative Income Fund | ||||||||||||||||||||||||
2022 | 2,042 | — | — | — | 2,042 | |||||||||||||||||||
2021 | 29 | — | — | — | 29 |
450
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Ordinary | Long-term | Return of Capital | Tax Exempt Income | Total | ||||||||||||||||||||
Tax-Free Conservative Income Fund | ||||||||||||||||||||||||
2022 | $ | 1 | $ | — | $ | — | $ | 730 | $ | 731 | ||||||||||||||
2021 | — | — | — | 21 | 21 | |||||||||||||||||||
Real Return Fund | ||||||||||||||||||||||||
2022 | 16,933 | — | — | — | 16,933 | |||||||||||||||||||
2021 | 6,173 | — | — | — | 6,173 | |||||||||||||||||||
Dynamic Asset Allocation Fund | ||||||||||||||||||||||||
2022 | 33,460 | 56,160 | — | — | 89,620 | |||||||||||||||||||
2021 | 43,356 | 13,096 | — | — | 56,452 | |||||||||||||||||||
Multi-Strategy Alternative Fund | ||||||||||||||||||||||||
2022 | 32,564 | — | — | — | 32,564 | |||||||||||||||||||
2021 | 13,430 | — | — | — | 13,430 | |||||||||||||||||||
Multi-Asset Accumulation Fund | ||||||||||||||||||||||||
2022 | 274,745 | 69,051 | — | — | 343,796 | |||||||||||||||||||
2021 | 28,663 | 107,295 | — | — | 135,958 | |||||||||||||||||||
Multi-Asset Income Fund | ||||||||||||||||||||||||
2022 | 36,039 | 437 | — | — | 36,476 | |||||||||||||||||||
2021 | 32,204 | — | — | — | 32,204 | |||||||||||||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||||||||||||||
2022 | 62,112 | — | — | — | 62,112 | |||||||||||||||||||
2021 | 11,412 | — | — | — | 11,412 | |||||||||||||||||||
Multi-Asset Capital Stability Fund | ||||||||||||||||||||||||
2022 | 17,226 | 2,414 | — | — | 19,640 | |||||||||||||||||||
2021 | 4,599 | 3,404 | — | — | 8,003 |
As of September 30, 2022, the components of Distributable Earnings/(Accumulated Losses) were as follows:
Undistributed | Undistributed | Undistributed | Capital | Post- | Late Year | Unrealized | Other | Total | ||||||||||||||||||||||||||||
Large Cap Fund | $ | 9 | $ | 145,527 | $ | — | $ | — | $ | — | $ | — | $ | 326,271 | $ | (1 | ) | $ | 471,806 | |||||||||||||||||
Large Cap Value Fund | 15,024 | 85,456 | — | — | — | — | 179,219 | (2 | ) | 279,697 | ||||||||||||||||||||||||||
Large Cap Growth Fund | — | 97,245 | — | — | — | — | 442,750 | 1 | 539,996 | |||||||||||||||||||||||||||
Large Cap Index Fund | 3,390 | — | — | — | (3,558 | ) | — | 117,967 | — | 117,799 | ||||||||||||||||||||||||||
Tax-Managed Large Cap Fund | 11,177 | 175,475 | — | — | — | — | 2,062,625 | — | 2,249,277 | |||||||||||||||||||||||||||
S&P 500 Index Fund | 2,888 | 61,457 | — | — | — | — | 500,377 | (4 | ) | 564,718 | ||||||||||||||||||||||||||
Small Cap Fund | 1,026 | 3,123 | — | — | — | — | 11,523 | 1 | 15,673 | |||||||||||||||||||||||||||
Small Cap Value Fund | 1,445 | 16,648 | — | — | (3,445 | ) | — | 11,691 | (2 | ) | 26,337 | |||||||||||||||||||||||||
Small Cap Growth Fund | — | — | — | — | (13,930 | ) | (419 | ) | (17,138 | ) | (14 | ) | (31,501 | ) | ||||||||||||||||||||||
Tax-Managed Small/Mid Cap Fund | 1,276 | 3,360 | — | — | — | — | 234,385 | 1 | 239,022 | |||||||||||||||||||||||||||
Mid-Cap Fund | 177 | — | — | — | (1,043 | ) | — | (7,365 | ) | — | (8,231 | ) | ||||||||||||||||||||||||
U.S. Managed Volatility Fund | 3,058 | 71,541 | — | — | — | — | 71,710 | 4 | 146,313 | |||||||||||||||||||||||||||
Global Managed Volatility Fund | 37,763 | 39,567 | — | — | — | — | (48,030 | ) | 3 | 29,303 | ||||||||||||||||||||||||||
Tax-Managed Managed Volatility Fund | 1,843 | 45,783 | — | — | — | — | 438,567 | 1 | 486,194 | |||||||||||||||||||||||||||
Tax-Managed International Managed Volatility Fund | 8,445 | — | — | (41,035 | ) | (9,504 | ) | — | (10,611 | ) | (2 | ) | (52,707 | ) | ||||||||||||||||||||||
Real Estate Fund | — | 3,774 | — | — | — | — | 3,868 | — | 7,642 | |||||||||||||||||||||||||||
Core Fixed Income Fund | 980 | — | — | (7,443 | ) | (267,258 | ) | — | (514,735 | ) | (9,347 | ) | (797,803 | ) | ||||||||||||||||||||||
High Yield Bond Fund | 37,806 | — | — | (76,962 | ) | (33,858 | ) | — | (362,825 | ) | (8,304 | ) | (444,143 | ) | ||||||||||||||||||||||
Conservative Income Fund | 654 | — | — | — | — | — | (65 | ) | (613 | ) | (24 | ) | ||||||||||||||||||||||||
Tax-Free Conservative Income Fund | — | — | 53 | (9 | ) | — | — | (171 | ) | (39 | ) | (166 | ) | |||||||||||||||||||||||
Real Return Fund | 7,427 | 1,073 | — | — | — | — | (22,802 | ) | (3,276 | ) | (17,578 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
451
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2022
Undistributed | Undistributed | Undistributed | Capital | Post- | Late Year | Unrealized | Other | Total | ||||||||||||||||||||||||||||
Dynamic Asset Allocation Fund | $ | 19,828 | $ | 59,860 | $ | — | $ | — | $ | — | $ | — | $ | 224,092 | $ | 3 | $ | 303,783 | ||||||||||||||||||
Multi-Strategy Alternative Fund | 1,491 | — | — | (3,349 | ) | (7,523 | ) | — | (26,368 | ) | (522 | ) | (36,271 | ) | ||||||||||||||||||||||
Multi-Asset Accumulation Fund | 155,791 | — | — | — | (542,857 | ) | — | (444,600 | ) | (230 | ) | (831,896 | ) | |||||||||||||||||||||||
Multi-Asset Income Fund | 11,973 | — | — | — | (16,912 | ) | — | (101,138 | ) | (4,003 | ) | (110,080 | ) | |||||||||||||||||||||||
Multi-Asset Inflation Managed Fund | 86,579 | — | — | (61,979 | ) | (23,336 | ) | — | (105,079 | ) | (57 | ) | (103,872 | ) | ||||||||||||||||||||||
Multi-Asset Capital Stability Fund | 5,550 | — | — | — | (16,103 | ) | — | (4,307 | ) | (507 | ) | (15,367 | ) |
Post October losses represent losses realized on investment transactions from November 1, 2021 through September 30, 2022, 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, 2022 through September 30, 2022, and specified losses realized on investment transactions from November 1, 2021 through September 30, 2022, 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. Losses carried forward are as follows:
Short-Term | Long-Term | Total * | ||||||||||
Tax-Managed International Managed Volatility Fund | $ | – | $ | 41,035 | $ | 41,035 | ||||||
Core Fixed Income Fund | – | 7,443 | 7,443 | |||||||||
High Yield Bond Fund | – | 76,962 | 76,962 | |||||||||
Tax-Free Conservative Income Fund | 9 | – | 9 | |||||||||
Multi-Strategy Alternative Fund | 3,349 | – | 3,349 | |||||||||
Multi-Asset Inflation Managed Fund | 53,174 | 8,805 | 61,979 |
* | This table should be used in conjunction with the capital loss carryforwards table. |
During the fiscal year ended September 30, 2022, the following Funds utilized capital loss carryforward to offset capital gains:
Amount Utilized | ||||
High Yield Bond Fund | $ | 3,563 | ||
Tax-Free Conservative Income Fund | 1 | |||
Real Return Fund | 1,367 | |||
Multi-Asset Income Fund | 1,161 |
(1) | The Utilization is subject to a limitation. |
For Federal income tax purposes, the cost of investments owned at September 30, 2022, and the net realized gains or losses on investments 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, 2022, were as follows:
Federal Tax Cost | Appreciated | Depreciated | Net Unrealized | |||||||||||||
Large Cap Fund | $ | 1,244,839 | $ | 466,121 | $ | (139,850 | ) | $ | 326,271 | |||||||
Large Cap Value Fund | 1,077,214 | 295,216 | (115,997 | ) | 179,219 | |||||||||||
Large Cap Growth Fund | 856,496 | 508,277 | (65,527 | ) | 442,750 | |||||||||||
Large Cap Index Fund | 784,472 | 202,778 | (84,811 | ) | 117,967 | |||||||||||
Tax-Managed Large Cap Fund | 1,574,822 | 2,092,981 | (30,356 | ) | 2,062,625 | |||||||||||
S&P 500 Index Fund | 245,462 | 517,864 | (17,487 | ) | 500,377 | |||||||||||
Small Cap Fund | 506,501 | 76,742 | (65,219 | ) | 11,523 | |||||||||||
Small Cap Value Fund | 336,696 | 61,821 | (50,130 | ) | 11,691 | |||||||||||
Small Cap Growth Fund | 331,087 | 32,937 | (50,075 | ) | (17,138 | ) | ||||||||||
Tax-Managed Small/Mid Cap Fund | 546,855 | 256,329 | (21,944 | ) | 234,385 | |||||||||||
Mid-Cap Fund | 76,285 | 3,726 | (11,091 | ) | (7,365 | ) | ||||||||||
U.S. Managed Volatility Fund | 722,845 | 139,343 | (67,633 | ) | 71,710 | |||||||||||
Global Managed Volatility Fund | 869,269 | 52,064 | (100,094 | ) | (48,030 | ) | ||||||||||
Tax-Managed Managed Volatility Fund | 431,743 | 444,434 | (5,867 | ) | 438,567 | |||||||||||
Tax-Managed International Managed Volatility Fund | 312,299 | 22,505 | (33,116 | ) | (10,611 | ) | ||||||||||
Real Estate Fund | 71,221 | 12,913 | (9,045 | ) | 3,868 | |||||||||||
Core Fixed Income Fund | 4,753,287 | 4,609 | (519,344 | ) | (514,735 | ) | ||||||||||
High Yield Bond Fund | 1,621,400 | 79,357 | (442,182 | ) | (362,825 | ) | ||||||||||
Conservative Income Fund | 359,500 | 56 | (121 | ) | (65 | ) | ||||||||||
Tax-Free Conservative Income Fund | 175,795 | — | (171 | ) | (171 | ) | ||||||||||
Real Return Fund | 280,641 | — | (22,802 | ) | (22,802 | ) | ||||||||||
Dynamic Asset Allocation Fund | 329,724 | 271,868 | (47,776 | ) | 224,092 | |||||||||||
Multi-Strategy Alternative Fund | 421,658 | 5,963 | (32,331 | ) | (26,368 | ) |
452
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Federal Tax Cost | Appreciated | Depreciated | Net Unrealized | |||||||||||||
Multi-Asset Accumulation Fund | $ | 1,241,166 | $ | 69,555 | $ | (514,155 | ) | $ | (444,600 | ) | ||||||
Multi-Asset Income Fund | 745,841 | 24,997 | (126,161 | ) | (101,164 | ) | ||||||||||
Multi-Asset Inflation Managed Fund | 1,035,273 | 80,495 | (185,574 | ) | (105,079 | ) | ||||||||||
Multi-Asset Capital Stability Fund | 282,080 | 2,148 | (6,503 | ) | (4,355 | ) |
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, 2022, 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. 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.
To the extent consistent with its investment strategy a Fund may have one or more of the following principle risks. A more complete description of principal risks is included in each Fund’s prospectus under the heading “Principal Risks.”
Arbitrage Strategies Risk — Arbitrage strategies involve engaging in transactions that attempt to exploit price differences of identical, related or similar securities on different markets or in different forms. The Fund may realize losses or a reduced rate of return if underlying relationships among securities in which it takes investment positions change in an adverse manner or if a transaction is unexpectedly terminated or delayed. Trading to seek short-term capital appreciation can be expected to cause the Fund’s portfolio turnover rate to be substantially higher than that of the average equity-oriented investment company.
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. Securitization trusts generally do not have any assets or sources of funds other than the receivables and related property they own, and asset-backed securities are generally not insured or guaranteed by the related sponsor or any other entity.
Asset-backed securities may be more illiquid than more conventional types of fixed income securities that the Fund may acquire.
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 in the loan. The Fund may also have difficulty disposing of bank loans because, in certain cases, the market for such instruments is not highly liquid.
Below Investment Grade Securities (Junk Bonds) Risk — Fixed income securities rated below investment grade ( junk bonds) involve greater risks of default or downgrade and are generally more volatile than investment grade securities because the prospect for repayment of principal and interest of many of these securities is speculative. Because these securities typically offer a higher rate of return to compensate investors for these risks, they are sometimes referred to as “high yield bonds,” but there is no guarantee that an investment in these securities will result in a high rate of return.
Call Risk — Issuers of callable bonds may call (redeem) securities with higher coupons or interest rates before their maturity dates. The Fund may be forced to reinvest the unanticipated proceeds at lower interest rates, resulting in a decline in the Fund’s income. Bonds may be called due to falling interest rates or non-economical circumstances.
Collateralized Debt Obligations (CDOs) and Collateralized Loan Obligations (CLOs) Risk — CDOs and CLOs are securities backed by an underlying portfolio of debt and loan obligations, respectively. CDOs and CLOs issue classes or “tranches” that vary in risk and yield and may experience substantial losses due to actual defaults, decrease in market value due to collateral defaults and removal of subordinate tranches, market anticipation of defaults and investor aversion to CDO and CLO securities as a class. The risks of investing in CDOs and CLOs depend largely on the tranche invested in and the type of the underlying debts and loans in the tranche of the CDO or CLO, respectively, in which the Fund invests. CDOs and CLOs also carry risks including, but not limited to, interest rate risk and credit risk, which are described below. For example, a liquidity crisis in the global credit markets could cause substantial fluctuations in prices for leveraged loans and high-yield debt securities and limited liquidity for such instruments. When the Fund invests in CDOs or CLOs, in addition to directly bearing the expenses associated with its own operations, it may bear a pro rata portion of the CDO’s or CLO’s expenses.
Commercial Paper Risk — Commercial paper is a short-term obligation with a maturity generally ranging
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from one to 270 days and is issued by U.S. or foreign companies or other entities in order to finance their current operations. Such investments are unsecured and usually discounted from their value at maturity. The value of commercial paper may be affected by changes in the credit rating or financial condition of the issuing entities and will tend to fall when interest rates rise and rise when interest rates fall. Asset-backed commercial paper may be issued by structured investment vehicles or other conduits that are organized to issue the commercial paper and to purchase trade receivables or other financial assets. The repayment of asset-backed commercial paper depends primarily on the cash collections received from such issuer’s underlying asset portfolio and the issuer’s ability to issue new asset-backed commercial paper.
Commodity Investments and Derivatives Risk — Commodity investments and derivatives may be more volatile and less liquid than direct investments in the underlying commodities themselves. Commodity related equity returns can also be affected by the issuer’s financial structure or the performance of unrelated businesses. The value of a commodity investment or a derivative investment in commodities is typically based upon the price movements of a physical commodity, a commodity futures contract or commodity index or some other readily measurable economic variable that is dependent upon changes in the value of commodities or the commodities markets. The value of these securities will rise or fall in response to changes in the underlying commodity or related benchmark or investment, changes in interest rates or factors affecting a particular industry or commodity, such as natural disasters, weather and U.S. and international economic, political and regulatory developments.
Commodity-Linked Securities Risk — Investments in commodity-linked securities may be more volatile and less liquid than direct investments in the underlying commodities themselves. Commodity-related equity returns can also be affected by the issuer’s financial structure or the performance of unrelated businesses.
Concentration Risk — A downturn in the financial services industry would impact the Fund more than a portfolio that does not concentrate in securities issued by companies in the financial services industry.
Convertible and Preferred Securities Risk — Convertible and preferred securities have many of the same characteristics as stocks, including many of the same risks. In addition, convertible securities may be more sensitive to changes in interest rates than stocks. Convertible securities may also have credit ratings below investment grade, meaning that they carry a
higher risk of failure by the issuer to pay principal and/or interest when due.
Corporate Fixed Income Securities Risk — Corporate fixed income securities respond to economic developments, especially changes in interest rates, as well as perceptions of the creditworthiness and business prospects of individual issuers.
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 — As a result of the Fund’s investments in securities or other investments denominated in, and/or receiving revenues in, foreign currencies, the Fund will be subject to currency risk. Currency risk is the risk that foreign currencies will decline in value relative to the U.S. dollar or, in the case of hedging positions, that the U.S. dollar will decline in value relative to the currency hedged. In either event, the dollar value of an investment in the Fund would be adversely affected. Due to the Fund’s investments in securities denominated in foreign 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.
Depositary Receipts Risk — Depositary receipts, such as ADRs, are certificates evidencing ownership of shares of a foreign issuer that are issued by depositary banks and generally trade on an established market. Depositary receipts are subject to many of the risks associated with investing directly in foreign securities, including, among other things, political, social and economic developments abroad, currency movements and different legal, regulatory, tax, accounting and audit environments.
Derivatives Risk — The Funds’ use of futures contracts, forward contracts, options and swaps is subject to market risk, leverage risk, correlation risk and liquidity risk. Market risk is described above, and leverage risk and liquidity risk are described below. Many over-the-counter (OTC) derivative instruments will not have liquidity beyond the counterparty to the instrument. Market risk is the risk that the market value of an investment may move up and down, sometimes rapidly and unpredictably. Correlation risk is the risk that changes in the value of the derivative may not correlate perfectly with the underlying asset, rate or index. The Fund’s use of forward contracts and swap agreements is also subject to credit risk and valuation risk. Credit risk is described above. Valuation risk is the risk that the derivative may be difficult to value and/or
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valued incorrectly. Each of these risks could cause the Fund to lose more than the principal amount invested in a derivative instrument. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment. The other parties to certain derivative contracts present the same types of credit risk as issuers of fixed income securities. The Fund’s use of derivatives may also increase the amount of taxes payable by shareholders. Both U.S. and non-U.S. regulators have adopted and are in the process of implementing regulations governing derivatives markets, the ultimate impact of which remains unclear.
Directional or Tactical Strategies Risk — Directional or tactical strategies usually use long and short positions, which entail predicting the direction that particular securities or sectors or the overall market might move. Directional or tactical strategies may utilize leverage and hedging. There may be a significant risk of loss if the Fund’s judgment is incorrect as to the direction, timing or extent of expected movements of particular securities or sectors or the market as a whole.
Distressed Securities Risk — Distressed securities frequently do not produce income while they are outstanding and may require the Fund to bear certain extraordinary expenses in order to protect and recover its investment. Distressed securities are at high risk for default.
Duration Risk — The longer-term securities in which the Fund may invest tend to be more volatile than shorter-term securities. A portfolio with a longer average portfolio duration is more sensitive to changes in interest rates than a portfolio with a shorter average portfolio duration.
Economic Risks of Global Health Events — Global health events and pandemics, such as COVID-19, have the ability to affect—quickly, drastically and substantially the economies of many nations, states, individual companies and the markets in general and can cause disruptions that cannot necessarily be foreseen. The spread of COVID-19 around the world in 2020 resulted in a substantial number of nations implementing social distancing measures, quarantines, and the shutdown of non-essential businesses and governmental services. Further, it has caused significant volatility in U.S. and international markets. The impact of the outbreak may be short term or may last for an extended period of time.
Event-Driven Strategies Risk — Event-driven strategies involve making evaluations and predictions about both the likelihood that a particular event in the life of a company will occur and the impact such an event will have on the value of the company’s securities. The transaction in which such a company is involved may be unsuccessful, take considerable time (or longer
than anticipated) or may result in a distribution of cash or a new security, the value of which may be less than the purchase price of the company’s security. If an anticipated transaction does not occur, the Fund may be required to sell its securities at a loss.
Exchange-Traded Funds (ETFs) Risk — The risks of owning shares of an ETF generally reflect the risks of owning the underlying securities the ETF is designed to track, although lack of liquidity in an ETF could result in its value being more volatile than the underlying portfolio securities. When the Fund invests in an ETF, in addition to directly bearing the expenses associated with its own operations, it will bear a pro rata portion of the ETF’s expenses.
Exchange-Traded Notes (ETNs) Risk — The value of an ETN is subject to the credit risk of the issuer.
There may not be an active trading market available for some ETNs. Additionally, trading of ETNs may be halted or the ETN may be delisted by the listing exchange.
Extension Risk — The risk that rising interest rates may extend the duration of a fixed income security, typically reducing the security’s value.
Financial Services Industry Risk — The Conservative Income Fund’s portfolio is concentrated in investments in securities issued by companies in the financial services industry. The financial services industry is subject to extensive government regulation. Profitability is largely dependent on the availability and cost of capital, and can fluctuate significantly when interest rates change. Financial services companies are highly dependent on short-term interest rates and typically will be adversely affected by economic downturns or changes in banking regulations.
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, tax, accounting and audit environments. These additional risks may be heightened with respect to emerging market countries because political turmoil and rapid changes in economic conditions are more likely to occur in these countries. Investments in emerging markets are subject to the added risk that information in emerging market investments may be unreliable or outdated due to differences in regulatory, accounting or auditing and financial record keeping standards, or because less information about emerging market investments is publicly available. In addition, the rights and remedies associated with emerging market investments may be different than investments in developed markets. A lack of reliable information, rights and remedies increase the
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risks of investing in emerging markets in comparison to more developed markets. In addition, periodic U.S. Government restrictions on investments in issuers from certain foreign countries may require the Fund to sell such investments at inopportune times, which could result in losses to the Fund.
Foreign Sovereign Debt Securities Risk — The risks that: (i) the governmental entity that controls the repayment of sovereign debt may not be willing or able to repay the principal and/or interest when it becomes due because of factors such as debt service burden, political constraints, cash flow problems and other national economic factors; (ii) governments may default on their debt securities, which may require holders of such securities to participate in debt rescheduling or additional lending to defaulting governments; and (iii) there is no bankruptcy proceeding by which defaulted sovereign debt may be collected in whole or in part.
Income Risk — An investment in the Fund is subject to income risk, which is the possibility that the Fund’s yield will decline due to falling interest rates.
Inflation Protected Securities Risk — The value of inflation protected securities, including TIPS, generally will fluctuate in response to changes in “real” interest rates, generally decreasing when real interest rates rise and increasing when real interest rates fall. Real interest rates represent nominal (or stated) interest rates reduced by the expected impact of inflation. In addition, interest payments on inflation indexed securities will generally vary up or down along with the rate of inflation.
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. 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.
Investment Company and Exchange-Traded Funds (ETFs) Risk — When the Fund invests in an investment company, in addition to directly bearing the expenses associated with its own operations, it will bear a pro rata portion of the investment company’s expenses. In addition, while the risks of owning shares of an investment company generally reflect the risks of owning the underlying investments of the investment company, the Fund may be subject to additional or different risks than if the Fund had invested directly in the underlying investments. For example, the lack of liquidity in an ETF could result in its value being more volatile than the underlying portfolio securities. Closed-end investment companies issue a fixed number of shares that trade on a stock exchange or over-the-counter at a premium or a discount to their net asset
value. As a result, a closed-end fund’s share price fluctuates based on what another investor is willing to pay rather than on the market value of the securities in the fund.
Investment in the Subsidiary Risk — A Subsidiary is not registered under the Investment Company Act of 1940 (the 1940 Act) and, unless otherwise noted, is not subject to all of the investor protections of the 1940 Act. Thus, the Fund, as an investor in a Subsidiary, will not have all of the protections offered to investors in registered investment companies. In addition, changes in the laws of the United States and/or the Cayman Islands, under which the Fund and a Subsidiary, respectively, are organized, could result in the inability of the Fund and/or a Subsidiary to operate as intended and could negatively affect the Fund and its shareholders.
Investment Style Risk — The risk that large capitalization securities may underperform other segments of the equity markets or the equity markets as a whole.
Large Capitalization Risk — The risk that larger, more established companies may be unable to respond quickly to new competitive challenges such as changes in technology and consumer tastes. Larger companies also may not be able to attain the high growth rates of successful smaller companies.
Leverage Risk — The Fund’s use of derivatives may result in the Fund’s total investment exposure substantially exceeding the value of its portfolio securities and the Fund’s investment returns depending substantially on the performance of securities that the Fund may not directly own. The use of leverage can amplify the effects of market volatility on the Fund’s share price and may also cause the Fund to liquidate portfolio positions when it would not be advantageous to do so in order to satisfy its obligations. The Fund’s use of leverage may result in a heightened risk of investment loss.
Liquidity Risk — The risk that certain securities may be difficult or impossible to sell at the time and the price that the Fund would like. The Fund may have to lower the price of the security, sell other securities instead or forego an investment opportunity, any of which could have a negative effect on Fund management or performance.
Market Risk — The risk that the market value of a security may move up and down, sometimes rapidly and unpredictably. Market risk may affect a single issuer, an industry, a sector or the equity or bond market as a whole. Equity markets may decline significantly in response to adverse issuer, political, regulatory, market, economic or other developments that may cause broad changes in market value, public perceptions concerning
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these developments, and adverse investor sentiment or publicity. Similarly, environmental and public health risks, such as natural disasters, epidemics, pandemics or widespread fear that such events may occur, may impact markets adversely and cause market volatility in both the short- and long-term. The prices of the Fund’s fixed income securities respond to economic developments, particularly interest rate changes, as well as to perceptions about the creditworthiness of individual issuers, including governments and their agencies. Generally, the Fund’s fixed income securities will decrease in value if interest rates rise and vice versa. In a low interest rate environment, risks associated with rising rates are heightened. Declines in dealer market-making capacity as a result of structural or regulatory changes could decrease liquidity and/or increase volatility in the fixed income markets. Markets for fixed income securities may decline significantly in response to adverse issuer, political, regulatory, market, economic or other developments that may cause broad changes in market value, public perceptions concerning these developments, and adverse investor sentiment or publicity. Similarly, environmental and public health risks, such as natural disasters, epidemics, pandemics or widespread fear that such events may occur, may impact markets adversely and cause market volatility in both the short- and long-term. In response to these events, the Fund’s value may fluctuate and/or the Fund may experience increased redemptions from shareholders, which may impact the Fund’s liquidity or force the Fund to sell securities into a declining or illiquid market.
Master Limited Partnership (MLP) Risk — Investments in units of MLPs involve risks that differ from an investment in common stock. Holders of the units of MLPs 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 MLPs. In addition, conflicts of interest may exist between common unit holders, subordinated unit holders and the general partner of an MLP, including a conflict arising as a result of incentive distribution payments. The benefit the 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 a reduction in the after-tax return to the Fund of distributions from the MLP, likely causing a reduction in the value of the 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 the 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. The Internal Revenue Code of 1986, as amended, provides that the Fund is permitted to invest up to 25% of its assets in one or more qualified publicly traded partnerships (QPTPs), which will include certain MLPs, and treat the income allocated by such QPTPs as qualifying income for purposes of the regulated investment company annual qualifying income requirements described in “Taxes” below.
Mortgage Dollar Rolls Risk — Mortgage dollar rolls are transactions in which the Fund sells securities (usually mortgage-backed securities) and simultaneously contracts to repurchase substantially similar, but not identical, securities on a specified future date. If the broker-dealer to whom the Fund sells the security becomes insolvent, the Fund’s right to repurchase the security may be restricted. Other risks involved in entering into mortgage dollar rolls include the risk that the value of the security may change adversely over the term of the mortgage dollar roll and that the security the Fund is required to repurchase may be worth less than the security that the Fund originally held.
Mortgage-Backed Securities Risk — Mortgage-backed securities are affected significantly by the rate of prepayments and modifications of the mortgage loans backing those securities, as well as by other factors such as borrower defaults, delinquencies, realized or liquidation losses and other shortfalls. Mortgage backed securities are particularly sensitive to prepayment risk, which is described below, given that the term to maturity for mortgage loans is generally substantially longer than the expected lives of those securities; however, the timing and amount of prepayments cannot be accurately predicted. The timing of changes in the rate of prepayments of the mortgage loans may significantly affect the Fund’s actual yield to maturity on any mortgage-backed securities, even if the average rate of principal payments is consistent with the Fund’s expectation. Along with prepayment risk, mortgage-backed securities are significantly affected by interest rate risk, which is described above. In a low interest rate environment, mortgage loan prepayments would generally be expected to increase due to factors such as refinancings and loan modifications at lower interest rates. In contrast, if prevailing interest rates rise, prepayments of mortgage loans would generally be expected to decline and therefore extend the weighted average lives of mortgage-backed securities held or acquired by the Fund.
Municipal Securities Risk — Municipal securities, like other fixed income securities, rise and fall in value in response to economic and market factors, primarily changes in interest rates, and actual or perceived
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credit quality. Rising interest rates will generally cause municipal securities to decline in value. Longer term securities usually respond more sharply to interest rate changes than do shorter-term securities. A municipal security will also lose value if, due to rating downgrades or other factors, there are concerns about the issuer’s current or future ability to make principal or interest payments. State and local governments rely on taxes and, to some extent, revenues from private projects financed by municipal securities, to pay interest and principal on municipal debt. Poor statewide or local economic results or changing political sentiments may reduce tax revenues and increase the expenses of municipal issuers, making it more difficult for them to meet their obligations. Actual or perceived erosion of the creditworthiness of municipal issuers may reduce the value of the Fund’s holdings. As a result, the Fund will be more susceptible to factors that adversely affect issuers of municipal obligations than a mutual fund that does not have as great a concentration in municipal obligations. Municipal obligations may be underwritten or guaranteed by a relatively small number of financial services firms, so changes in the municipal securities market that affect those firms may decrease the availability of municipal instruments in the market, thereby making it difficult for the Sub-Adviser to identify and obtain appropriate investments for the Fund’s portfolio. Also, there may be economic or political changes that impact the ability of issuers of municipal securities to repay principal and to make interest payments on securities owned by the Fund. Any changes in the financial condition of municipal issuers may also adversely affect the value of the Fund’s securities.
Non-Diversified Risk — The Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds are non-diversified, which means that they may invest in the securities of relatively few issuers. As a result, these Funds may be more susceptible to a single adverse economic or political occurrence affecting one or more of these issuers and may experience increased volatility due to its investments in those securities. However, the Funds intend to satisfy the asset diversification requirements under the Code for classification as a RIC.
Opportunity Risk — The risk of missing out on an investment opportunity because the assets necessary to take advantage of it are tied up in other investments.
Portfolio Turnover Risk — Due to its investment strategy, the Fund may buy and sell securities frequently. This may result in higher transaction costs and taxes subject to ordinary income tax rates as opposed to
more favorable capital gains rates, which may affect the Fund’s performance.
Prepayment Risk — The risk that, in a declining interest rate environment, fixed income securities with stated interest rates may have the principal paid earlier than expected, requiring the Fund to invest the proceeds at generally lower interest rates.
Private Placements Risk — Investment in privately placed securities may be less liquid than in publicly traded securities. Although these securities may be resold in privately negotiated transactions, the prices realized from these sales could be less than those originally paid by the Fund or less than what may be considered the fair value of such securities. Further, companies whose securities are not publicly traded may not be subject to the disclosure and other investor protection requirements that might be applicable if their securities were publicly traded.
Real Estate Industry Risk — Securities of companies principally engaged in the real estate industry may be subject to the risks associated with the direct ownership of real estate. Risks commonly associated with the direct ownership of real estate include fluctuations in the value of underlying properties, defaults by borrowers or tenants, changes in interest rates and risks related to general or local economic conditions. The Fund’s investments are concentrated in issuers conducting business in the real estate industry, and therefore the Fund is subject to risks associated with legislative or regulatory changes, adverse market conditions and/or increased competition affecting that industry.
Real Estate Investment Trusts (REITs) Risk — REITs are trusts that invest primarily in commercial real estate or real estate-related loans. The Fund’s investments in REITs will be subject to the risks associated with the direct ownership of real estate. Risks commonly associated with the direct ownership of real estate include fluctuations in the value of underlying properties, defaults by borrowers or tenants, changes in interest rates and risks related to general or local economic conditions. Some REITs may have limited diversification and may be subject to risks inherent in financing a limited number of properties.
Repurchase Agreement Risk — Although repurchase agreement transactions must be fully collateralized at all times, they generally create leverage and involve some counterparty risk to the Fund whereby a defaulting counterparty could delay or prevent the Fund’s recovery of collateral.
Short Sales Risk — A short sale involves the sale of a security that the Fund does not own in the expectation of purchasing the same security (or a security exchangeable therefore) at a later date at a lower price.
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Short sales expose the Fund to the risk that it will be required to buy the security sold short (also known as “covering” the short position) at a time when the security has appreciated in value, thus resulting in a loss to the Fund. Investment in short sales may also cause the Fund to incur expenses related to borrowing securities. Reinvesting proceeds received from short selling may create leverage, which can amplify the effects of market volatility on the Fund’s share price. In addition, shorting a future contract may require posting only a margin that may amount to less than the notional exposure of the contract. Such a practice may exacerbate the loss in a case of adverse price action.
Small and Medium Capitalization Companies Risk — The risk that small and medium capitalization companies in which the Fund may invest may be more vulnerable to adverse business or economic events than larger, more established companies. In particular, small and medium capitalization companies may have limited product lines, markets and financial resources and may depend upon a relatively small management group. Therefore, small capitalization and medium capitalization stocks may be more volatile than those of larger companies. Small capitalization and medium capitalization stocks may be traded over-the-counter or listed on an exchange.
Tax Risk — The Fund may gain most of its exposure to the commodities markets through its investment in a Subsidiary, which invests in commodity investments and derivative instruments. To the extent the Fund invests in such instruments directly, it 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) to comply with certain qualifying income tests necessary for the Fund to qualify as a regulated investment company (RIC) under Subchapter M of the Internal Revenue Code of 1986, as amended. The tax treatment of certain commodity-linked derivative instruments may be affected by future regulatory or legislative changes that could affect the character, timing and/or amount of the Fund’s taxable income or gains and distributions. The Fund intends to hold certain commodity-related investments indirectly through a Subsidiary. The Fund believes that income from the Subsidiary will be qualifying income because it expects that the Subsidiary will make annual distributions of its earnings and profits. The Fund intends to secure an opinion of counsel based on customary representations that actual distributions made to the Fund from its Subsidiary should be treated as “qualifying income.” If the Fund did not qualify as a RIC for any taxable year and certain relief provisions were not available, the Fund’s taxable income would
be subject to tax at the Fund level and to a further tax at the shareholder level when such income is distributed. Failure to comply with the requirements for qualification as a RIC would have significant negative tax consequences to Fund shareholders.
Taxation Risk — The Fund is managed to seek to minimize tax consequences to shareholders, but there is no guarantee that the Fund will be able to operate without incurring taxable income and gains to shareholders.
Tracking Error Risk — The risk that the Fund’s performance may vary substantially from the performance of the benchmark index it tracks as a result of cash flows, Fund expenses, imperfect correlation between the Fund’s investments and the index’s components and other factors.
U.S. Government Securities Risk — Although U.S. Government securities are considered to be among the safest investments, they are still subject to the credit risk of the U.S. Government and are not guaranteed against price movements due to changing interest rates. Obligations issued by some U.S. Government agencies are backed by the U.S. Treasury, while others are backed solely by the ability of the agency to borrow from the U.S. Treasury or by the agency’s own resources. No assurance can be given that the U.S. Government will provide financial support to its agencies and instrumentalities if it is not obligated by law to do so.
Warrants Risk — Warrants are instruments that entitle the holder to buy an equity security at a specific price for a specific period of time. Warrants may be more speculative than other types of investments. The price of a warrant may be more volatile than the price of its underlying security, and a warrant may offer greater potential for capital appreciation as well as capital loss. A warrant ceases to have value if it is not exercised prior to its expiration date.
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.
11. CONCENTRATION OF SHAREHOLDERS
SEI Private Trust Company (“SPTC”) and SIMC are subsidiaries of SEI Investments Company. As of September 30, 2022, SPTC held of record the following percentage of outstanding shares of each Fund:
Fund | % Held | |||
Large Cap Fund | ||||
Class F | 97 | % | ||
Class Y | 34 |
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Fund | % Held | |||
Large Cap Value Fund | ||||
Class F | 92 | % | ||
Class I | – | |||
Class Y | 98 | |||
Large Cap Growth Fund | ||||
Class F | 90 | % | ||
Class I | – | |||
Class Y | 98 | |||
Large Cap Index Fund | ||||
Class F | 99 | % | ||
Tax-Managed Large Cap Fund | ||||
Class F | 83 | % | ||
Class Y | 55 | |||
S&P 500 Index Fund | ||||
Class F | 46 | % | ||
Class I | 6 | |||
Small Cap Fund | ||||
Class F | 98 | % | ||
Class Y | 30 | |||
Small Cap Value Fund | ||||
Class F | 94 | % | ||
Class I | – | |||
Class Y | 98 | |||
Small Cap Growth Fund | ||||
Class F | 92 | % | ||
Class I | – | |||
Class Y | 95 | |||
Tax-Managed Small/Mid Cap Fund | ||||
Class F | 91 | % | ||
Class Y | 55 | |||
Mid-Cap Fund | ||||
Class F | 93 | % | ||
Class I | – | |||
Class Y | 20 | |||
U.S. Managed Volatility Fund | ||||
Class F | 94 | % | ||
Class I | – | |||
Class Y | 42 | |||
Global Managed Volatility Fund | ||||
Class F | 97 | % | ||
Class I | – | |||
Class Y | 47 | |||
Tax-Managed Managed Volatility Fund | ||||
Class F | 87 | % | ||
Class Y | 62 | |||
Tax-Managed International Managed Volatility Fund | ||||
Class F | 97 | % | ||
Class Y | 88 | |||
Real Estate Fund | ||||
Class F | 95 | % | ||
Class I | – | |||
Class Y | 54 | |||
Core Fixed Income Fund |
Fund | % Held | |||
Class F | 97 | % | ||
Class I | 9 | |||
Class Y | 59 | |||
High Yield Bond Fund | ||||
Class F | 97 | % | ||
Class I | – | |||
Class Y | 62 | |||
Conservative Income Fund | ||||
Class F | 99 | % | ||
Class Y | 33 | |||
Tax-Free Conservative Income Fund | ||||
Class F | 98 | % | ||
Class Y | 70 | |||
Real Return Fund | ||||
Class F | 98 | % | ||
Class Y | 38 | |||
Dynamic Asset Allocation Fund | ||||
Class F | 97 | % | ||
Class Y | 19 | |||
Multi-Strategy Alternative Fund | ||||
Class F | 98 | % | ||
Class Y | 74 | |||
Multi-Asset Accumulation Fund | ||||
Class F | 98 | % | ||
Class Y | 20 | |||
Multi-Asset Income Fund | ||||
Class F | 98 | % | ||
Class Y | 62 | |||
Multi-Asset Inflation Managed Fund | ||||
Class F | 97 | % | ||
Class Y | 28 | |||
Multi-Asset Capital Stability Fund | ||||
Class F | 99 | % | ||
Class Y | 26 | |||
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.
12. 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 Board. 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
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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, 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 LP (“Liquidity Fund”), and the Fund bears its pro rata portion of the Liquidity Fund’s expenses and is subject to the risk of loss in the underlying investments of the Liquidity Fund. 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, 2022 ($ Thousands):
Securities | Cash | Net | ||||||||||
Large Cap Fund | $ | 1,141 | $ | 1,141 | $ | – | ||||||
Large Cap Value Fund | 14,981 | 14,981 | – | |||||||||
Large Cap Growth Fund | 41 | 41 | – | |||||||||
Large Cap Index Fund | 822 | 822 | – | |||||||||
Tax-Managed Large Cap Fund | 26,824 | 26,824 | – | |||||||||
Small Cap Fund | 2,695 | 2,695 | – | |||||||||
Small Cap Value Fund | 664 | 664 | – | |||||||||
Small Cap Growth Fund | 3,627 | 3,627 | – | |||||||||
Tax-Managed Small/Mid Cap Fund | 149 | 149 | – | |||||||||
U.S. Managed Volatility Fund | 7,508 | 7,508 | – | |||||||||
Global Managed Volatility Fund | 15,403 | 15,403 | – | |||||||||
Tax-Managed Managed Volatility Fund | 3,144 | 3,144 | – | |||||||||
Tax-Managed International Managed Volatility Fund | 17,510 | 17,510 | – | |||||||||
Core Fixed Income Fund | 247,121 | 247,121 | – |
(1) | Excess collateral received in connection with the above securities lending transactions is not shown for financial reporting purposes. See each Fund’s Schedule of Investments for the total collateral received. |
13. REGULATORY MATTERS
On July 27, 2017, the U.K. Financial Conduct Authority announced that it intends to stop compelling or inducing banks to submit London Inter Bank Offered Rate (LIBOR) rates after 2021. The publication of LIBOR on a representative basis ceased for the one-week and two-month U.S. dollar LIBOR settings immediately after December 31, 2021, and is expected to cease for the remaining U.S. dollar LIBOR settings immediately after June 30, 2023. The elimination of the LIBOR may adversely affect the interest rates on, and value of, certain Fund investments for which the value is tied to LIBOR. Such investments may include bank loans, derivatives, floating rate securities, and other assets or liabilities tied to LIBOR. Actions by regulators have resulted in the establishment of alternative reference rates to LIBOR in most major currencies. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Financing Rate, which is intended to replace U.S. dollar LIBOR. Alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates. Questions around liquidity impacted by these rates, and how to appropriately adjust these rates at the time of transition, remain a concern for a Fund. The effect of any changes to, or discontinuation of, LIBOR on a Fund will vary depending on, among other things, (1) existing fallback or termination provisions in individual contracts and (2) whether, how, and when industry participants develop
SEI Institutional Managed Trust / Annual Report / September 30, 2022
461
Notes to Financial Statements/Consolidated Notes to Financial Statements (Concluded)
September 30, 2022
and adopt new reference rates and fallbacks for both legacy and new products and instruments. Accordingly, it is difficult to predict the full impact of the transition away from LIBOR on a Fund until new reference rates and fallbacks for both legacy and new products, instruments and contracts are commercially accepted.
14. SUBSEQUENT EVENTS
Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no disclosures and/or adjustments were required to the financial statements as of September 30, 2022.
462
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Report of Independent Registered Public Accounting Firm
To the Shareholders of the Funds and Board of Trustees
SEI Institutional Managed Trust:
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Large Cap Index 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, Core Fixed Income Fund, High Yield Bond Fund, Conservative Income Fund, Tax-Free Conservative Income Fund, Real Return Fund, Multi-Strategy Alternative Fund, Multi-Asset Income Fund, and Multi-Asset Capital Stability Fund (twenty-four of the twenty-seven funds comprising the SEI Institutional Managed Trust (the Trust)), including the schedules of investments, as of September 30, 2022, the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods presented therein. We have also audited the accompanying consolidated statements of assets and liabilities of the Dynamic Asset Allocation Fund, Multi-Asset Accumulation Fund, and Multi-Asset Inflation Managed Fund (three of the twenty-seven funds comprising the Trust) (the twenty-seven funds collectively, the Funds), including the consolidated schedules of investments, as of September 30, 2022, 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 related notes (collectively, the consolidated financial statements) and the consolidated financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights present fairly, in all material respects, the financial position of the Funds as of September 30, 2022, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, the consolidated cash flows of the Multi-Asset Inflation Managed Fund for the year then ended, and the financial highlights and consolidated financial highlights for each of the years or periods presented therein, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and consolidated financial statements and financial highlights and consolidated financial highlights are the responsibility of the Funds’ 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 are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. 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, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights. Such procedures also included confirmation of securities owned as of September 30, 2022, by correspondence with custodians, transfer agents, agent banks and brokers or by other appropriate auditing procedures when replies were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights. We believe that our audits provide a reasonable basis for our opinion.
/s/ KPMG LLP |
We have served as the auditor of one or more SEI Funds investment companies since 2005.
Philadelphia, Pennsylvania
November 29, 2022
SEI Institutional Managed Trust / Annual Report / September 30, 2022
463
Trustees and Officers of the Trust (Unaudited)
The following chart lists Trustees and Officers as of September 30, 2022.
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 1-800-342-5794.
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 76 yrs. old | Chairman of the Board of Trustees*
| since 1989 | Currently performs various services on behalf of SEI for which Mr. Nesher is compensated.
| 95 | 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. 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. President, Chief Executive Officer and Trustee of SEI Insurance Products Trust from 2013 to 2020. Trustee of The KP Funds from 2013 to 2020. Vice Chairman of O'Connor EQUUS (closed-end investment company) from 2014 to 2016. Vice Chairman of Winton Series Trust from 2014 to 2017. Vice Chairman of The Advisors' Inner Circle Fund III and Winton Diversified Opportunities Fund (closed-end investment company) from 2014 to 2018. Vice Chairman of Gallery Trust from 2015 to 2018. Vice Chairman of Schroder Series Trust and Schroder Global Series Trust from 2017 to 2018. Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, Frost Family of Funds and Catholic Responsible Investments 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, Adviser Managed Trust, New Covenant Funds, SEI Catholic Values Trust and SEI Exchange Traded Funds. |
William M. Doran One Freedom Valley Drive Oaks, PA 19456 82 yrs. old | Trustee* | since 1982 | Self-employed consultant since 2003.Partner, Morgan, Lewis & Bockius LLP (law firm) from 1976 to 2003, Counsel to the Trust, SEI Investments, SIMC, the Administrator and the Distributor.
| 95 | Director of SEI Investments since 1985; Secretary of SEI Investments 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 (closed-end investment company) from 2014 to 2016. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of Winton Series Trust from 2014 to 2017. Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II and Bishop Street Funds from 1991 to 2018. Trustee of The KP Funds from 2013 to 2018. Trustee of Winton Diversified Opportunities Fund (closed-end investment company) from 2014 to 2018. Trustee of SEI Insurance Products Trust from 2013 to 2020. Trustee of Schroder Series Trust and Schroder Global Series Trust from 2017 to 2021. Trustee of The Advisors’ Inner Circle Fund III, Gallery Trust, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, Adviser Managed Trust, New Covenant Funds, SEI Catholic Values Trust and SEI Exchange Traded Funds. |
* | Messrs. Nesher and Doran are Trustees who may be deemed as “interested” persons of the Trust as that term is defined in the 1940 Act by virtue of their affiliation with SIMC and the Trust’s Distributor. |
1 | Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust. |
2 | The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Tax Exempt Trust, SEI Catholic Values Trust, New Covenant Funds and SEI Exchange Traded Funds. |
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SEI Institutional Managed Trust / Annual Report / September 30, 2022
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 | |||||
Nina Lesavoy One Freedom Valley Drive, Oaks, PA 19456 65 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. | 95 | Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 2003 to 2016. Trustee of SEI Insurance Products Trust from 2013 to 2020. 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, New Covenant Funds, Adviser Managed Trust, SEI Catholic Values Trust and SEI Exchange Traded Funds. |
James M. Williams One Freedom Valley Drive, Oaks, PA 19456 74 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. Manager, Pension Asset Management, Ford Motor Company, 1997-1999. | 95 | Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 2004 to 2016. Trustee of SEI Insurance Products Trust from 2013 to 2020. 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, New Covenant Funds, Adviser Managed Trust, SEI Catholic Values Trust and SEI Exchange Traded Funds.
|
Mitchell A. Johnson One Freedom Valley Drive, Oaks, PA 19456 80 yrs. old | Trustee | since 2007 | Retired Private Investor since 1994 | 95 | 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 SEI Insurance Products Trust from 2013 to 2020. Trustee of The KP Funds from 2013 to 2020. Trustee of the Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, Catholic Responsible Investments 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, Adviser Managed Trust, New Covenant Funds, SEI Catholic Values Trust and SEI Exchange Traded Funds. |
Hubert L. Harris, Jr. One Freedom Valley Drive, Oaks, PA 19456 79 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 2005. | 95 | Director of AMVESCAP PLC from 1993-2004. Served as a director of a bank holding company, 2003-2009. Director, Aaron’s Inc., 2012-present. Member of the Board of Councilors of the Carter Center (nonprofit corporation) and served on the board of other non-profit organizations. Director of SEI Alpha Strategy Portfolios, LP from 2008 to 2013. Trustee of SEI Liquid Asset Trust from 2008 to 2016. Trustee of SEI Insurance Products Trust from 2013 to 2020. 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, New Covenant Funds, Adviser Managed Trust, SEI Catholic Values Trust and SEI Exchange Traded Funds. |
Susan C. Cote One Freedom Valley Drive Oaks, PA 19456 67 years old
| Trustee | since 2016 | Retired since July 2015. Treasurer and Chair of Finance, Investment and Audit Committee of the New York Women's Foundation from 2009 to 2017. 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. Member of the Ernst & Young LLP Retirement Investment Committtee, 2009-2015. | 95 | Trustee of SEI Insurance Products Trust from 2015 to 2020. Trustee/Director of SEI Structured Credit Fund, LP, SEI Tax Exempt Trust, SEI Daily Income Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional Investments Trust, New Covenant Funds, Adviser Managed Trust, SEI Catholic Values Trust and SEI Exchange Traded Funds. |
James B. Taylor One Freedom Valley Drive Oaks, PA 19456 71 years old
| Trustee | since 2018 | Retired since December 2017. Chief Investment Officer at Georgia Tech Foundation from 2008 to 2017. Director at Delta Air Lines from 1983 to 1985. Assistant Vice President at Delta Air Lines from 1985 to 1995. Chief Investment Officer at Delta Air Lines from 1995 to 2007. Member of the Investment Committee at the Institute of Electrical and Electronic Engineers from 1999 to 2004. President, Vice President and Treasurer at Southern Benefits Conference from 1998 to 2000.
| 95 | Trustee of SEI Insurance Products Trust from 2018 to 2020. Trustee of SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Asset Allocation Trust, Adviser Managed Trust, New Covenant Funds, SEI Catholic Values Trust and SEI Exchange Traded Funds. |
Christine Reynolds One Freedom Valley Drive Oaks, PA 19456 64 years old
| Trustee | since 2019 | Retired since December 2016. Executive Vice President, Fidelity Investments from 2014-2016. President, Fidelity Pricing and Cash Management Services and Chief Financial Officer of Fidelity Funds from 2008-2014. Chief Operating Officer, Fidelity Pricing and Cash Management Services from 2007-2008. President and Treasurer, Fidelity Funds from 2004-2007. Anti-Money Laundering Officer, Fidelity Funds in 2004. Executive Vice President, Fidelity Funds from 2002-2004. Audit Partner, PricewaterhouseCoopers from 1992-2002.
| 95 | Trustee of SEI Insurance Products Trust from 2019 to 2020. Trustee of SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Asset Allocation Trust, Adviser Managed Trust, New Covenant Funds, SEI Catholic Values Trust and SEI Exchange Traded Funds.
|
Thomas Melendez One Freedom Valley Drive Oaks, PA 19456 62 years old | Trustee | since 2021 | Retired since 2019. Investment Officer and Institutional Equity Portfolio Manager at MFS Investment Management from 2002 to 2019. Director of Emerging Markets Group, General Manager of Operations in Argentina and Portfolio Manager for Latin America at Schroders Investment Management from 1994 to 2002. | 89 | Trustee of Boston Children’s Hospital, The Partnership Inc. and Brae Burn Country Club (non-profit organizations). Trustee of SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Asset Allocation Trust, SEI Exchange Traded Funds and Adviser Managed Trust. Independent Consultant of New Covenant Funds and SEI Catholic Values Trust. |
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 Tax Exempt Trust, Catholic Values Trust, New Covenant Funds and SEI Exchange Traded Funds. |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
465
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 | |||||
Robert A. Nesher One Freedom Valley Drive, Oaks, PA 19456 76 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 |
Ankit Puri One Freedom Valley Drive Oaks, PA 19456 38 yrs. old | Controller and Chief Financial Officer
| since 2022 | Director, Fund Accounting, SEI Investments Global Funds Services since July 2021. Associate Director, Fund Accounting Policy, Vanguard from September 2020 to June 2021. Senior Manager, Ernst & Young LLP, October 2017 to August 2020. | N/A | N/A |
Glenn R. Kurdziel One Freedom Valley Drive Oaks, PA 19456 48 yrs. old | Assistant Controller | since 2017 | Senior Manager, Funds Accounting, SEI Investments Global Funds Services since 2005. | N/A | N/A |
Steven Panner One Freedom Valley Drive Oaks, PA 19456 52 yrs. old | Chief Compliance Officer | since 2022 | Chief Compliance Officer of SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Tax Exempt Trust, Adviser Managed Trust, New Covenant Funds, SEI Catholic Values Trust, SEI Exchange Traded Funds, SEI Structured Credit Fund, L.P., The Advisors' Inner Circle Fund, The Advisors' Inner Circle Fund II, The Advisors' Inner Circle Fund III, Bishop Street Funds, Frost Family of Funds, Gallery Trust, Delaware Wilshire Private Markets Fund, Delaware Wilshire Private Markets Master Fund, Delaware Wilshire Private Markets Tender Fund and Catholic Responsible Investments Funds since September 2022. Fund Compliance Officer of SEI Investments Company from February 2011 to September 2022. Fund Accounting Director and CFO and Controller for the SEI Funds from July 2005 to February 2011. | N/A | N/A |
Timothy D Barto One Freedom Valley Drive Oaks, PA 19456 54 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 since 2004. Vice President of SIMC and the Administrator since 1999. Vice President and Assistant Secretary of SEI since 2001. | N/A | N/A |
David F. McCann One Freedom Valley Drive, Oaks, PA 19456 46 yrs. old | Vice President and Assistant Secretary | since 2010 | Vice President and Assisant Secretary of SEI Institutional Transfer Agent, Inc. since 2009. Vice President and Assistant Secretary of SIMC since 2008. Attorney, Drinker Biddle & Reath, LLP (law firm), May 2005 - October 2008. | N/A | N/A |
Katherine Mason One Freedom Valley Drive Oaks, PA 19456 42 yrs. Old | Vice President and Assistant Secretary | since 2022 | Consulting Attorney, Hirtle, Callaghan & Co. from October 2021-June 2022. Attorney, Stradley, Ronon, Stevens & Young from September 2007-July 2012. | N/A | N/A |
Stephen G. MacRae One Freedom Valley Drive, Oaks, PA 19456 54 yrs. old | Vice President | since 2012 | Director of Global Investment Product Management since January 2004. | N/A | N/A |
Bridget Sudall One Freedom Valley Drive Oaks, PA 19456 41 yrs. old | Anti-Money Laundering Compliance Officer and Privacy Officer | since 2015 | Anti-Money Laundering Compliance Officer and Privacy Officer of Schroder Global Series Trust and Schroder Series Trust from 2017 to 2021. Anti-Money Laundering Compliance Officer and Privacy Officer of The KP Funds from 2015 to 2020. Anti-Money Laundering Compliance Officer and Privacy Officer of Winton Series Trust from 2015 to 2017. Senior Associate and AML Officer at Morgan Stanley Alternative Investment Partners from April 2011 to March 2015. Investor Services Team Lead at Morgan Stanley Alternative Investment Partners from July 2007 to April 2011. | N/A | N/A |
1 | Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust. |
2 | The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Tax Exempt Trust, SEI Catholic Values Trust, New Covenant Funds and SEI Exchange Traded Funds. |
466
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Disclosure of Fund Expenses (Unaudited)
September 30, 2022
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 “Expenses 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 | Ending | Annualized | Expenses | |||||||||||||
Large Cap Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 806.30 | 0.89 | % | $ | 4.03 | ||||||||
Class Y Shares | 1,000.00 | 807.40 | 0.64 | 2.90 | ||||||||||||
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 | 3.25 | ||||||||||||
Large Cap Value Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 832.90 | 0.89 | % | $ | 4.09 | ||||||||
Class I Shares | 1,000.00 | 831.90 | 1.11 | 5.09 | ||||||||||||
Class Y Shares | 1,000.00 | 834.00 | 0.64 | 2.95 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,020.61 | 0.89 | % | $ | 4.51 | ||||||||
Class I Shares | 1,000.00 | 1,019.51 | 1.11 | 5.61 | ||||||||||||
Class Y Shares | 1,000.00 | 1,021.85 | 0.64 | 3.25 |
Beginning | Ending | Annualized | Expenses | |||||||||||||
Large Cap Growth Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 766.70 | 0.89 | % | $ | 3.94 | ||||||||
Class I Shares | 1,000.00 | 765.80 | 1.11 | 4.91 | ||||||||||||
Class Y Shares | 1,000.00 | 767.50 | 0.64 | 2.84 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,020.61 | 0.89 | % | $ | 4.51 | ||||||||
Class I Shares | 1,000.00 | 1,019.51 | 1.11 | 5.61 | ||||||||||||
Class Y Shares | 1,000.00 | 1,021.85 | 0.64 | 3.25 | ||||||||||||
Large Cap Index Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 793.90 | 0.25 | % | $ | 1.12 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,023.82 | 0.25 | % | $ | 1.27 |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
467
Disclosure of Fund Expenses (Unaudited) (Concluded)
September 30, 2022
Beginning | Ending | Annualized | Expenses | |||||||||||||
Tax-Managed Large Cap Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 817.60 | 0.89 | % | $ | 4.06 | ||||||||
Class Y Shares | 1,000.00 | 818.80 | 0.64 | 2.92 | ||||||||||||
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 | ||||||||||||
S&P 500 Index Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 796.90 | 0.25 | % | $ | 1.13 | ||||||||
Class I Shares | 1,000.00 | 795.30 | 0.65 | 2.93 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,023.82 | 0.25 | % | $ | 1.28 | ||||||||
Class I Shares | 1,000.00 | 1,021.80 | 0.65 | 3.30 | ||||||||||||
Small Cap Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 829.90 | 1.14 | % | $ | 5.23 | ||||||||
Class Y Shares | 1,000.00 | 830.90 | 0.89 | 4.09 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,025.07 | 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 | $ | 810.20 | 1.14 | % | $ | 5.17 | ||||||||
Class I Shares | 1,000.00 | 809.30 | 1.36 | 6.16 | ||||||||||||
Class Y Shares | 1,000.00 | 811.00 | 0.89 | 4.04 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,019.35 | 1.14 | % | $ | 5.77 | ||||||||
Class I Shares | 1,000.00 | 1,018.26 | 1.36 | 6.87 | ||||||||||||
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 | $ | 801.50 | 1.11 | % | $ | 5.01 | ||||||||
Class I Shares | 1,000.00 | 800.40 | 1.36 | 6.13 | ||||||||||||
Class Y Shares | 1,000.00 | 802.70 | 0.86 | 3.89 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,019.50 | 1.11 | % | $ | 5.62 | ||||||||
Class I Shares | 1,000.00 | 1,018.26 | 1.36 | 6.87 | ||||||||||||
Class Y Shares | 1,000.00 | 1,020.76 | 0.86 | 4.36 | ||||||||||||
Tax-Managed Small/Mid Cap Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 816.00 | 1.11 | % | $ | 5.05 | ||||||||
Class Y Shares | 1,000.00 | 816.90 | 0.89 | 4.05 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,019.50 | 1.11 | % | $ | 5.62 | ||||||||
Class Y Shares | 1,000.00 | 1,020.61 | 0.89 | 4.50 | ||||||||||||
Beginning | Ending | Annualized | Expenses | |||||||||||||
Mid-Cap Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 837.20 | 0.98 | % | $ | 4.51 | ||||||||
Class I Shares | 1,000.00 | 836.10 | 1.20 | 5.52 | ||||||||||||
Class Y Shares | 1,000.00 | 838.10 | 0.73 | 3.36 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,020.16 | 0.98 | % | $ | 4.96 | ||||||||
Class I Shares | 1,000.00 | 1,019.05 | 1.20 | 6.07 | ||||||||||||
Class Y Shares | 1,000.00 | 1,021.41 | 0.73 | 3.70 | ||||||||||||
U.S. Managed Volatility Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 859.00 | 0.90 | % | $ | 4.19 | ||||||||
Class I Shares | 1,000.00 | 857.60 | 1.15 | 5.35 | ||||||||||||
Class Y Shares | 1,000.00 | 860.20 | 0.65 | 3.04 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,020.56 | 0.90 | % | $ | 4.56 | ||||||||
Class I Shares | 1,000.00 | 1,019.31 | 1.15 | 5.82 | ||||||||||||
Class Y Shares | 1,000.00 | 1,021.81 | 0.65 | 3.30 | ||||||||||||
Global Managed Volatility Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 857.30 | 1.11 | % | $ | 5.17 | ||||||||
Class I Shares | 1,000.00 | 856.10 | 1.36 | 6.32 | ||||||||||||
Class Y Shares | 1,000.00 | 858.40 | 0.86 | 4.01 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,019.50 | 1.11 | % | $ | 5.62 | ||||||||
Class I Shares | 1,000.00 | 1,018.26 | 1.36 | 6.87 | ||||||||||||
Class Y Shares | 1,000.00 | 1,020.75 | 0.86 | 4.36 | ||||||||||||
Tax-Managed Managed Volatility Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 878.50 | 1.00 | % | $ | 4.71 | ||||||||
Class Y Shares | 1,000.00 | 879.20 | 0.75 | 3.54 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,020.06 | 1.00 | % | $ | 5.06 | ||||||||
Class Y Shares | 1,000.00 | 1,021.30 | 0.75 | 3.81 | ||||||||||||
Tax-Managed International Managed Volatility Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 800.20 | 1.11 | % | $ | 5.01 | ||||||||
Class Y Shares | 1,000.00 | 801.30 | 0.86 | 3.89 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,019.50 | 1.11 | % | $ | 5.62 | ||||||||
Class Y Shares | 1,000.00 | 1,020.75 | 0.86 | 4.36 | ||||||||||||
Real Estate Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 741.90 | 1.14 | % | $ | 4.98 | ||||||||
Class I Shares | 1,000.00 | 741.80 | 1.36 | 5.94 | ||||||||||||
Class Y Shares | 1,000.00 | 743.10 | 0.89 | 3.90 | ||||||||||||
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 | 1,020.59 | 0.89 | 4.52 | ||||||||||||
468
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Beginning | Ending | Annualized | Expenses | |||||||||||||
Core Fixed Income Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 895.30 | 0.66 | % | $ | 3.14 | ||||||||
Class I Shares | 1,000.00 | 893.30 | 0.88 | 4.18 | ||||||||||||
Class Y Shares | 1,000.00 | 895.60 | 0.41 | 1.96 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,021.76 | 0.66 | % | $ | 3.35 | ||||||||
Class I Shares | 1,000.00 | 1,020.66 | 0.88 | 4.46 | ||||||||||||
Class Y Shares | 1,000.00 | 1,023.00 | 0.41 | 2.09 | ||||||||||||
High Yield Bond Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 891.90 | 0.89 | % | $ | 4.22 | ||||||||
Class I Shares | 1,000.00 | 890.30 | 1.08 | 5.12 | ||||||||||||
Class Y Shares | 1,000.00 | 893.00 | 0.64 | 3.04 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,020.61 | 0.89 | % | $ | 4.51 | ||||||||
Class I Shares | 1,000.00 | 1,019.66 | 1.08 | 5.47 | ||||||||||||
Class Y Shares | 1,000.00 | 1,021.85 | 0.64 | 3.25 | ||||||||||||
Conservative Income Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,007.40 | 0.30 | % | $ | 1.51 | ||||||||
Class Y Shares | 1,000.00 | 1,006.80 | 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 | 1,024.06 | 0.20 | 1.02 | ||||||||||||
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 | 1,004.30 | 0.20 | 1.02 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,023.56 | 0.30 | % | $ | 1.52 | ||||||||
Class Y Shares | 1,000.00 | 1,024.05 | 0.20 | 1.03 | ||||||||||||
Real Return Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 950.00 | 0.45 | % | $ | 2.20 | ||||||||
Class Y Shares | 1,000.00 | 950.70 | 0.35 | 1.72 | ||||||||||||
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 | ||||||||||||
Beginning | Ending | Annualized | Expenses | |||||||||||||
Dynamic Asset Allocation Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 801.40 | 0.75 | % | $ | 3.39 | ||||||||
Class Y Shares | 1,000.00 | 802.10 | 0.50 | 2.26 | ||||||||||||
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 | ||||||||||||
Multi-Strategy Alternative Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 927.50 | 1.43 | % | $ | 6.91 | ||||||||
Class Y Shares | 1,000.00 | 929.40 | 1.18 | 5.70 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,017.90 | 1.43 | % | $ | 7.23 | ||||||||
Class Y Shares | 1,000.00 | 1,019.16 | 1.18 | 5.97 | ||||||||||||
Multi-Asset Accumulation Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 805.60 | 1.17 | % | $ | 5.30 | ||||||||
Class Y Shares | 1,000.00 | 807.30 | 0.92 | 4.17 | ||||||||||||
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 | $ | 879.80 | 0.80 | % | $ | 3.77 | ||||||||
Class Y Shares | 1,000.00 | 880.20 | 0.70 | 3.30 | ||||||||||||
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 | $ | 965.50 | 1.18 | % | $ | 5.81 | ||||||||
Class Y Shares | 1,000.00 | 966.60 | 0.93 | 4.58 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,019.15 | 1.18 | % | $ | 5.97 | ||||||||
Class Y Shares | 1,000.00 | 1,020.41 | 0.93 | 4.71 | ||||||||||||
Multi-Asset Capital Stability Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 970.30 | 0.62 | % | $ | 3.06 | ||||||||
Class Y Shares | 1,000.00 | 971.30 | 0.52 | 2.57 | ||||||||||||
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 |
* | 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). |
SEI Institutional Managed Trust / Annual Report / September 30, 2022
469
Review of the Liquidity Risk Management Program (Unaudited)
September 30, 2022
Pursuant to Rule 22e-4 under the 1940 Act, the Trust, on behalf of the Funds, has adopted a liquidity risk management program (the “Program”) to govern the Trust’s approach to managing liquidity risk. The Program is overseen by the SIMC Liquidity Risk Oversight Committee, and the Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the Fund.
At a meeting of the Board held on March 22, 2022, the Trustees received a report from the SIMC Liquidity Risk Oversight Committee addressing the operations of the Program and assessing its adequacy and effectiveness of implementation. The SIMC Liquidity Risk Oversight Committee determined, and reported to the Board, that the Program remains reasonably designed to assess and manage each Fund’s liquidity risk and that the Program adequately and effectively managed each Fund’s liquidity risk during the 2021 calendar year. The SIMC Liquidity Risk Oversight Committee also reported that with respect to the Trust there were no reportable liquidity events during the period. The SIMC Liquidity Risk Oversight Committee noted that additional monitoring processes have been implemented.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the prospectus for more information regarding a Fund’s exposure to liquidity risk and other principal risks to which an investment in the Funds may be subject.
470
SEI Institutional Managed Trust / Annual Report / September 30, 2022
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 which SIMC provides investment advisory services 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 (each member, a “Trustee” and, collectively, the “Trustees” or 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 a Fund’s Investment Advisory Agreements be specifically approved by the vote of a majority of the outstanding shareholders of the Funds and 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 (or otherwise, as consistent with applicable laws, regulations and related guidance and relief) at a meeting called for such purpose. In addition, the 1940 Act requires that the continuation or renewal of any Investment Advisory Agreement be approved at least annually (after an initial period of up to two years), which also requires the vote of a majority of the Board, including a majority of the Independent Trustees. In the case of the initial approval of a Sub-Advisory Agreement, only the approval of a majority of the Board, including a majority of the Independent Trustees, is required, pursuant to an exemptive order that has been granted to the Trust by the Securities and Exchange Commission. In connection with their consideration of such initial approvals and renewals, 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, who was engaged to prepare an assessment of the Funds in connection with the renewal of the Investment Advisory Agreements (the “Broadridge Report”); (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.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
471
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited)
At the March 21-23, 2022 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 6-8, 2021, March 21-23, 2022, June 20-22, 2022, and September 6-8, 2022. In each case, the Board’s approval (or renewal) was based on its consideration and evaluation of the factors described above, as discussed at the meetings and at prior meetings. The following discusses some, but not all, of the factors that were considered by the Board in connection with its assessment of the Investment Advisory Agreements.
Nature, Extent and Quality of Services. The Board considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC’s and each Sub-Adviser’s personnel, experience, track record and compliance program. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds were sufficient to support the approval or 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 the Broadridge Report. The Broadridge Report included metrics on risk analysis, volatility versus total return, net total return and performance consistency for the Funds and a universe of comparable funds. Based on the materials considered and discussed at the meetings, the Trustees found Fund performance satisfactory, or, where performance was materially below the benchmark and/or peer group, the Trustees were satisfied 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 ratios 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 (including transfer agent expenses), 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 and its affiliates’ voluntary waivers of management and other fees to prevent total Fund operating expenses from exceeding any applicable 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 approval or 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.
472
SEI Institutional Managed Trust / Annual Report / September 30, 2022
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 approval or 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.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
473
Notice to Shareholders (Unaudited)
For shareholders who do not have a September 30, 2022, taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2022, taxable year end, please consult your tax adviser as to the pertinence of this notice.
For the fiscal year ended September 30, 2022, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:
(A) | (B) | (C) | (D) Income Distribution | Total | (E) | |||||||||||||||||||
Large Cap Fund | 0.00% | 78.23% | 21.77% | 0.00% | 100.00% | 24.95% | ||||||||||||||||||
Large Cap Value Fund | 0.00% | 66.74% | 33.26% | 0.00% | 100.00% | 100.00% | ||||||||||||||||||
Large Cap Growth Fund | 0.00% | 90.19% | 9.81% | 0.00% | 100.00% | 58.43% | ||||||||||||||||||
Large Cap Index Fund | 0.00% | 11.10% | 88.90% | 0.00% | 100.00% | 0.00% | ||||||||||||||||||
Tax-Managed Large Cap Fund | 0.00% | 83.33% | 16.67% | 0.00% | 100.00% | 77.84% | ||||||||||||||||||
S&P 500 Index Fund | 0.00% | 82.24% | 17.76% | 0.00% | 100.00% | 18.41% | ||||||||||||||||||
Small Cap Fund | 0.00% | 47.91% | 52.09% | 0.00% | 100.00% | 1.26% | ||||||||||||||||||
Small Cap Value Fund | 0.00% | 67.89% | 32.11% | 0.00% | 100.00% | 66.37% | ||||||||||||||||||
Small Cap Growth Fund | 0.00% | 57.85% | 45.12% | 0.00% | 100.00% | 0.72% | ||||||||||||||||||
Tax-Managed Small/Mid Cap Fund | 0.00% | 97.58% | 2.42% | 0.00% | 100.00% | 100.00% | ||||||||||||||||||
Mid-Cap Fund | 0.00% | 51.77% | 48.23% | 0.00% | 100.00% | 6.52% | ||||||||||||||||||
U.S. Managed Volatility Fund | 0.00% | 62.97% | 37.03% | 0.00% | 100.00% | 62.95% | ||||||||||||||||||
Global Managed Volatility Fund | 0.00% | 84.21% | 15.79% | 0.00% | 100.00% | 38.66% | ||||||||||||||||||
Tax-Managed Managed Volatility Fund | 0.00% | 79.73% | 20.27% | 0.00% | 100.00% | 0.00% | ||||||||||||||||||
Tax-Managed International Managed Volatility Fund | 0.00% | 0.00% | 100.00% | 0.00% | 100.00% | 0.00% | ||||||||||||||||||
Real Estate Fund | 0.00% | 44.04% | 55.96% | 0.00% | 100.00% | 0.00% | ||||||||||||||||||
Core Fixed Income Fund | 0.00% | 0.00% | 100.00% | 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% | 0.10% | 99.90% | 100.00% | 0.00% | ||||||||||||||||||
Real Return Fund | 0.00% | 0.00% | 100.00% | 0.00% | 100.00% | 0.00% | ||||||||||||||||||
Dynamic Asset Allocation Fund | 0.00% | 62.66% | 37.34% | 0.00% | 100.00% | 1.63% | ||||||||||||||||||
Multi-Strategy Alternative Fund | 0.00% | 0.00% | 100.00% | 0.00% | 100.00% | 0.00% | ||||||||||||||||||
Multi-Asset Accumulation Fund | 0.00% | 20.09% | 79.91% | 0.00% | 100.00% | 0.00% | ||||||||||||||||||
Multi-Asset Income Fund | 0.00% | 1.22% | 98.78% | 0.00% | 100.00% | 1.29% | ||||||||||||||||||
Multi-Asset Inflation Managed Fund | 0.00% | 0.00% | 100.00% | 0.00% | 100.00% | 0.16% | ||||||||||||||||||
Multi-Asset Capital Stability Fund | 0.00% | 12.29% | 87.71% | 0.00% | 100.00% | 0.73% |
474
SEI Institutional Managed Trust / Annual Report / September 30, 2022
(F) Qualifying |
| Interest | Short-Term | Qualifying Business Income (6) | ||||||||||||||||
Large Cap Fund | 24.95% | 0.00% | 0.00% | 100.00% | 0.69% | |||||||||||||||
Large Cap Value Fund | 100.00% | 0.00% | 0.00% | 100.00% | 0.00% | |||||||||||||||
Large Cap Growth Fund | 60.80% | 0.00% | 0.00% | 100.00% | 0.00% | |||||||||||||||
Large Cap Index Fund | 0.00% | 0.00% | 0.19% | 100.00% | 0.00% | |||||||||||||||
Tax-Managed Large Cap Fund | 77.84% | 0.00% | 0.00% | 100.00% | 1.62% | |||||||||||||||
S&P 500 Index Fund | 19.10% | 0.00% | 0.00% | 100.00% | 2.82% | |||||||||||||||
Small Cap Fund | 1.26% | 0.00% | 0.00% | 100.00% | 0.10% | |||||||||||||||
Small Cap Value Fund | 68.63% | 0.00% | 0.00% | 100.00% | 5.77% | |||||||||||||||
Small Cap Growth Fund | 0.72% | 0.00% | 0.00% | 100.00% | 0.00% | |||||||||||||||
Tax-Managed Small/Mid Cap Fund | 100.00% | 0.00% | 0.00% | 0.00% | 0.00% | |||||||||||||||
Mid-Cap Fund | 6.52% | 0.00% | 0.00% | 100.00% | 0.62% | |||||||||||||||
U.S. Managed Volatility Fund | 65.34% | 0.00% | 0.00% | 100.00% | 1.92% | |||||||||||||||
Global Managed Volatility Fund | 85.74% | 0.00% | 0.06% | 100.00% | 1.10% | |||||||||||||||
Tax-Managed Managed Volatility Fund | 0.00% | 0.00% | 0.49% | 100.00% | 0.31% | |||||||||||||||
Tax-Managed International Managed Volatility Fund | 12.17% | 0.00% | 0.00% | 0.00% | 0.00% | |||||||||||||||
Real Estate Fund | 0.00% | 0.00% | 0.00% | 100.00% | 31.93% | |||||||||||||||
Core Fixed Income Fund | 0.00% | 18.05% | 81.98% | 100.00% | 0.00% | |||||||||||||||
High Yield Bond Fund | 0.00% | 0.00% | 60.96% | 0.00% | 0.00% | |||||||||||||||
Conservative Income Fund | 0.00% | 0.08% | 99.72% | 100.00% | 0.00% | |||||||||||||||
Tax-Free Conservative Income Fund | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | |||||||||||||||
Real Return Fund | 0.00% | 0.00% | 67.87% | 0.00% | 0.00% | |||||||||||||||
Dynamic Asset Allocation Fund | 1.70% | 0.00% | 0.00% | 100.00% | 0.00% | |||||||||||||||
Multi-Strategy Alternative Fund | 0.00% | 0.00% | 0.02% | 100.00% | 0.00% | |||||||||||||||
Multi-Asset Accumulation Fund` | 0.00% | 0.00% | 4.73% | 100.00% | 0.00% | |||||||||||||||
Multi-Asset Income Fund | 1.34% | 0.00% | 72.57% | 0.00% | 0.00% | |||||||||||||||
Multi-Asset Inflation Managed Fund | 0.16% | 0.00% | 1.14% | 0.00% | 0.00% | |||||||||||||||
Multi-Asset Capital Stability Fund | 1.05% | 0.00% | 4.96% | 100.00% | 0.00% |
The Funds intend to pass through foreign tax credit to shareholders. For the fiscal year ended September 30, 2022, the amount of foreign source income and foreign tax credit are as follows:
Fund | Foreign | Foreign | ||||||
Tax-Managed International Managed Volatility Fund | $ | 10,322,481 | $ | 773,686 |
(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, 2022. Complete information will be computed and reported in conjunction with your 2022 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 in 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. |
(6) | The percentage in this column represents the amount of ordinary dividend income that qualified for 20% Business Income Deduction. |
Items (A) and (B) are based on the percentage of each Fund’s total distribution.
SEI Institutional Managed Trust / Annual Report / September 30, 2022
475
Notice to Shareholders (Unaudited) (Concluded)
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.
476
SEI Institutional Managed Trust / Annual Report / September 30, 2022
SEI Institutional Managed Trust / Annual Report / September 30, 2022
Trustees
Robert A. Nesher, Chairman
William M. Doran
Nina Lesavoy
James M. Williams
Mitchell A. Johnson
Hubert L. Harris, Jr.
Susan C. Cote
James B. Taylor
Christine Reynolds
Thomas Melendez
Officers
Robert A. Nesher
President and Chief Executive Officer
Ankit Puri
Controller and Chief Financial Officer
Glenn R. Kurdziel
Assistant Controller
Stephen Panner
Chief Compliance Officer
Timothy D. Barto
Vice President, Secretary
David F. McCann
Vice President, Assistant Secretary
Katherine Mason
Vice President, Assistant Secretary
Stephen G. MacRae
Vice President
Bridget Sudall
Anti-Money Laundering Compliance Officer
Privacy Officer
Investment Adviser
SEI Investments Management Corporation
Administrator
SEI Investments Global Funds Services
Distributor
SEI Investments Distribution Co.
Legal Counsel
Morgan, Lewis & Bockius LLP
Independent Registered Public Accounting Firm
KPMG LLP
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal.
For more information call
1 800 DIAL SEI
(1 800 342 5734)
SEI-F-087 (9/22)
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 two audit committee financial experts serving on the audit committee.
(a) (2) The audit committee financial experts are Susan C. Cote and Hubert L. Harris, Jr. Ms. Cote and Mr. 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 2022 and 2021 as follows:
Fiscal Year 2022 | Fiscal Year 2021 | ||||||
All fees and services to the Registrant that were pre-approved | All fees and services to service affiliates that were pre-approved | All other fees and services to service affiliates that did not require pre-approval | All fees and services to the Registrant that were pre-approved | All fees and services to service affiliates that were pre-approved | All other fees and services to service affiliates that did not require pre-approval | ||
(a) | Audit Fees(1) | $1,035,060 | N/A | $0 | $1,021,310 | $0 | N/A |
(b) | Audit-Related Fees | $0 | $0 | $0 | $0 | $0 | $0 |
(c) | Tax Fees (2) | $0 | $0 | $0 | $0 | $0 | $0 |
(d) | All Other Fees(3) | $0 | $332,500 | $0 | $0 | $331,000 | $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) | Tax fees include amounts related to tax compliance and consulting services. |
(3) | 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’s 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 applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:
Fiscal 2022 | Fiscal 2021 | |
Audit-Related Fees | 0% | 0% |
Tax Fees | 0% | 0% |
All Other Fees | 0% | 0% |
(f) Not Applicable.
(g)(1) The aggregate non-audit fees and services billed by KPMG for the fiscal years 2022 and 2021 were $332,500 and $331,000, respectively. Non-audit fees consist of a SSAE No. 16 review of fund accounting and administration operations and an attestation report in accordance with Rule 17Ad-13.
(h) During the past fiscal year, the Registrant’s principal accountant provided certain non-audit services to the Registrant’s investment adviser or to entities controlling, controlled by, or under common control with the Registrant’s investment adviser that provide ongoing services to the 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 the Registrant’s Board of Trustees reviewed and considered these non-audit services provided by the Registrant’s principal accountant to the Registrant’s affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant’s independence.
(i) Not Applicable.
(j) Not Applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Included in Item 1.
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 period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) Code of Ethics attached hereto.
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 and Chief Executive Officer |
Date: December 5, 2022 |
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 and Chief Executive Officer | ||
Date: December 5, 2022 | ||
By | /s/ Ankit Puri | |
Ankit Puri Controller and Chief Financial Officer | ||
Date: December 5, 2022 |