UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
________
FORM N-CSRS
________
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-04878
SEI Institutional Managed Trust
(Exact name of registrant as specified in charter)
________
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices)
Timothy D. Barto, Esq.
SEI Investments Co.
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, 2023
Date of reporting period: March 31, 2023
Item 1. Reports to Stockholders.
MARCH 31, 2023
SEMI-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
Schedules of Investments | 1 |
Glossary | 299 |
Statements of Assets and Liabilities/Consolidated Statements of Assets and Liabilities | 300 |
Statements of Operations/Consolidated Statements of Operations | 312 |
Statements of Changes in Net Assets/Consolidated Statements of Changes in Net Assets | 318 |
Consolidated Statement of Cash Flows | 326 |
Financial Highlights/Consolidated Financial Highlights | 327 |
Notes to Financial Statements/Consolidated Notes to Financial Statements | 340 |
Disclosure of Fund Expenses | 386 |
Review of the Liquidity Risk Management Program | 389 |
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreement | 390 |
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.
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 — 98.9% | ||||||||
Communication Services — 6.5% | ||||||||
Alphabet Inc, Cl A * | 91,640 | $ | 9,506 | |||||
Alphabet Inc, Cl C * | 198,335 | 20,627 | ||||||
AT&T Inc | 216,966 | 4,177 | ||||||
Comcast Corp, Cl A | 142,077 | 5,386 | ||||||
Fox Corp, Cl A | 57,265 | 1,950 | ||||||
Liberty Media Corp-Liberty Formula One, Cl C * | 32,908 | 2,462 | ||||||
Live Nation Entertainment Inc * | 65,855 | 4,610 | ||||||
Meta Platforms Inc, Cl A * | 66,488 | 14,091 | ||||||
Netflix Inc * | 7,623 | 2,634 | ||||||
Nexstar Media Group Inc, Cl A | 7,733 | 1,335 | ||||||
Paramount Global, Cl B | 22,664 | 506 | ||||||
TEGNA Inc | 150,197 | 2,540 | ||||||
T-Mobile US Inc * | 67,629 | 9,795 | ||||||
Trade Desk Inc/The, Cl A * | 47,680 | 2,904 | ||||||
Verizon Communications Inc | 280,734 | 10,918 | ||||||
Walt Disney Co/The * | 160,172 | 16,038 | ||||||
Warner Bros Discovery Inc * | 56,488 | 853 | ||||||
110,332 | ||||||||
Consumer Discretionary — 9.2% | ||||||||
Amazon.com Inc, Cl A * | 282,471 | 29,176 | ||||||
Autoliv Inc | 14,037 | 1,310 | ||||||
AutoNation Inc * | 2,478 | 333 | ||||||
AutoZone Inc * | 1,077 | 2,647 | ||||||
Best Buy Co Inc | 63,975 | 5,007 | ||||||
Bloomin' Brands Inc | 26,398 | 677 | ||||||
Booking Holdings Inc * | 1,179 | 3,127 | ||||||
BorgWarner Inc | 159,883 | 7,852 | ||||||
Carnival Corp * | 75,978 | 771 | ||||||
Dick's Sporting Goods Inc | 36,476 | 5,176 | ||||||
Dillard's Inc, Cl A | 7,630 | 2,348 | ||||||
eBay Inc | 56,727 | 2,517 | ||||||
Foot Locker Inc, Cl A | 23,394 | 929 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Ford Motor Co | 65,375 | $ | 824 | |||||
General Motors Co | 167,255 | 6,135 | ||||||
Harley-Davidson Inc, Cl A | 49,267 | 1,871 | ||||||
Kohl's Corp | 24,781 | 583 | ||||||
Lennar Corp, Cl A | 12,211 | 1,283 | ||||||
Lithia Motors Inc, Cl A | 10,129 | 2,319 | ||||||
Lowe's Cos Inc | 60,013 | 12,001 | ||||||
Magna International Inc, Cl A | 47,105 | 2,523 | ||||||
MercadoLibre Inc * | 3,871 | 5,102 | ||||||
MGM Resorts International * | 148,597 | 6,601 | ||||||
NIKE Inc, Cl B | 90,033 | 11,042 | ||||||
O'Reilly Automotive Inc * | 1,199 | 1,018 | ||||||
Penske Automotive Group Inc, Cl A | 4,717 | 669 | ||||||
PulteGroup Inc | 101,999 | 5,944 | ||||||
PVH Corp | 11,442 | 1,020 | ||||||
Ross Stores Inc | 101,920 | 10,817 | ||||||
Starbucks Corp | 73,877 | 7,693 | ||||||
Tesla Inc * | 34,686 | 7,196 | ||||||
Thor Industries Inc | 11,700 | 932 | ||||||
Trip.com Group Ltd ADR * | 48,035 | 1,809 | ||||||
Whirlpool Corp | 27,260 | 3,599 | ||||||
Williams-Sonoma Inc | 30,798 | 3,747 | ||||||
156,598 | ||||||||
Consumer Staples — 8.0% | ||||||||
Altria Group Inc | 46,068 | 2,056 | ||||||
Archer-Daniels-Midland Co | 20,067 | 1,599 | ||||||
Church & Dwight Co Inc | 42,854 | 3,789 | ||||||
Coca-Cola Co/The | 146,094 | 9,062 | ||||||
Coca-Cola Europacific Partners PLC | 89,238 | 5,282 | ||||||
Colgate-Palmolive Co | 145,985 | 10,971 | ||||||
Conagra Brands Inc | 263,174 | 9,885 | ||||||
Dollar General Corp | 41,094 | 8,649 | ||||||
Hershey Co/The | 1,388 | 353 | ||||||
Ingredion Inc | 72,988 | 7,425 | ||||||
J M Smucker Co/The | 58,157 | 9,152 | ||||||
Kraft Heinz Co/The | 9,187 | 355 | ||||||
Kroger Co/The | 268,628 | 13,262 | ||||||
Molson Coors Beverage Co, Cl B | 30,456 | 1,574 | ||||||
Mondelez International Inc, Cl A | 47,375 | 3,303 | ||||||
PepsiCo Inc | 62,828 | 11,454 | ||||||
Philip Morris International Inc | 106,185 | 10,326 | ||||||
Sysco Corp, Cl A | 145,077 | 11,204 | ||||||
Target Corp, Cl A | 45,317 | 7,506 | ||||||
Tyson Foods Inc, Cl A | 105,363 | 6,250 | ||||||
Walgreens Boots Alliance Inc | 38,987 | 1,348 | ||||||
134,805 | ||||||||
Energy — 4.6% | ||||||||
Baker Hughes Co, Cl A | 209,475 | 6,045 | ||||||
BP PLC ADR | 131,377 | 4,984 | ||||||
Canadian Natural Resources Ltd | 96,107 | 5,320 | ||||||
Chesapeake Energy Corp | 7,654 | 582 |
SEI Institutional Managed Trust
1
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Large Cap Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Chevron Corp | 75,839 | $ | 12,374 | |||||
ConocoPhillips | 81,177 | 8,054 | ||||||
Devon Energy Corp | 81,767 | 4,138 | ||||||
EOG Resources Inc | 75,132 | 8,612 | ||||||
Exxon Mobil Corp | 16,215 | 1,778 | ||||||
HF Sinclair Corp | 44,588 | 2,157 | ||||||
Marathon Oil Corp | 12,387 | 297 | ||||||
Marathon Petroleum Corp | 52,516 | 7,081 | ||||||
Phillips 66 | 39,964 | 4,052 | ||||||
Schlumberger NV, Cl A | 64,571 | 3,170 | ||||||
Shell PLC ADR | 30,942 | 1,780 | ||||||
Valero Energy Corp | 49,196 | 6,868 | ||||||
77,292 | ||||||||
Financials — 14.2% | ||||||||
Aflac Inc | 81,002 | 5,226 | ||||||
Allstate Corp/The | 21,940 | 2,431 | ||||||
American Financial Group Inc/OH | 10,346 | 1,257 | ||||||
Ameriprise Financial Inc | 17,997 | 5,516 | ||||||
Bank of America Corp | 352,610 | 10,085 | ||||||
Bank of New York Mellon Corp/The | 19,244 | 874 | ||||||
Berkshire Hathaway Inc, Cl B * | 63,875 | 19,723 | ||||||
Capital One Financial Corp | 28,853 | 2,774 | ||||||
Charles Schwab Corp/The | 118,223 | 6,192 | ||||||
Citigroup Inc | 178,158 | 8,354 | ||||||
Citizens Financial Group Inc | 9,142 | 278 | ||||||
Discover Financial Services | 33,010 | 3,263 | ||||||
Everest Re Group Ltd | 1,843 | 660 | ||||||
Fifth Third Bancorp | 123,682 | 3,295 | ||||||
First American Financial Corp | 14,531 | 809 | ||||||
Global Payments Inc | 148,513 | 15,629 | ||||||
Goldman Sachs Group Inc/The | 996 | 326 | ||||||
Hartford Financial Services Group Inc/The | 69,124 | 4,817 | ||||||
JPMorgan Chase & Co | 79,023 | 10,297 | ||||||
KeyCorp | 107,415 | 1,345 | ||||||
LPL Financial Holdings Inc | 11,674 | 2,363 | ||||||
Markel Corp * | 12,740 | 16,274 | ||||||
Marsh & McLennan Cos Inc | 57,085 | 9,507 | ||||||
Moody's Corp | 38,887 | 11,900 | ||||||
Morgan Stanley | 27,105 | 2,380 | ||||||
New York Community Bancorp Inc | 249,203 | 2,253 | ||||||
PayPal Holdings Inc * | 41,194 | 3,128 | ||||||
PNC Financial Services Group Inc/The | 12,954 | 1,646 | ||||||
Progressive Corp/The | 57,358 | 8,206 | ||||||
Radian Group Inc | 16,498 | 365 | ||||||
Regions Financial Corp | 212,723 | 3,948 | ||||||
Reinsurance Group of America Inc, Cl A | 17,568 | 2,332 | ||||||
S&P Global Inc | 20,519 | 7,074 | ||||||
Starwood Property Trust Inc ‡ | 32,387 | 573 | ||||||
State Street Corp | 99,816 | 7,555 | ||||||
Synchrony Financial | 96,135 | 2,796 | ||||||
US Bancorp | 241,322 | 8,700 | ||||||
Visa Inc, Cl A | 110,461 | 24,905 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Voya Financial Inc | 59,127 | $ | 4,225 | |||||
Wells Fargo & Co | 115,137 | 4,304 | ||||||
Willis Towers Watson PLC | 48,312 | 11,227 | ||||||
Zions Bancorp NA (A) | 71,519 | 2,141 | ||||||
240,953 | ||||||||
Health Care — 15.1% | ||||||||
AbbVie Inc | 59,751 | 9,523 | ||||||
Acadia Healthcare Co Inc, Cl A * | 46,772 | 3,379 | ||||||
AmerisourceBergen Corp, Cl A | 70,298 | 11,255 | ||||||
Amgen Inc, Cl A | 48,551 | 11,737 | ||||||
AstraZeneca PLC ADR | 85,913 | 5,963 | ||||||
Baxter International Inc | 136,426 | 5,533 | ||||||
Biogen Inc * | 8,964 | 2,492 | ||||||
Boston Scientific Corp * | 30,639 | 1,533 | ||||||
Bristol-Myers Squibb Co | 155,447 | 10,774 | ||||||
Cardinal Health Inc | 15,457 | 1,167 | ||||||
Cigna Group/The | 1,877 | 480 | ||||||
CVS Health Corp | 187,434 | 13,928 | ||||||
Danaher Corp, Cl A | 37,827 | 9,534 | ||||||
DaVita Inc * | 4,103 | 333 | ||||||
DENTSPLY SIRONA Inc | 41,453 | 1,628 | ||||||
Gilead Sciences Inc | 63,484 | 5,267 | ||||||
GSK PLC ADR | 48,685 | 1,732 | ||||||
HCA Healthcare Inc | 14,456 | 3,812 | ||||||
Horizon Therapeutics Plc * | 43,342 | 4,730 | ||||||
Humana Inc | 11,971 | 5,812 | ||||||
Jazz Pharmaceuticals PLC * | 28,906 | 4,230 | ||||||
Johnson & Johnson | 149,252 | 23,134 | ||||||
Lantheus Holdings Inc * | 15,517 | 1,281 | ||||||
McKesson Corp | 32,704 | 11,644 | ||||||
Medtronic PLC | 79,267 | 6,391 | ||||||
Merck & Co Inc | 91,347 | 9,718 | ||||||
Mettler-Toledo International Inc * | 10,186 | 15,587 | ||||||
Natera Inc * | 90,672 | 5,034 | ||||||
Organon & Co | 15,833 | 372 | ||||||
PerkinElmer Inc | 19,741 | 2,631 | ||||||
Perrigo Co PLC | 61,799 | 2,217 | ||||||
Pfizer Inc | 237,127 | 9,675 | ||||||
Prometheus Biosciences Inc * | 13,076 | 1,403 | ||||||
Teleflex Inc | 22,986 | 5,823 | ||||||
Thermo Fisher Scientific Inc | 13,628 | 7,855 | ||||||
TransMedics Group Inc * | 35,971 | 2,724 | ||||||
UnitedHealth Group Inc | 39,331 | 18,587 | ||||||
Universal Health Services Inc, Cl B | 14,474 | 1,840 | ||||||
Vertex Pharmaceuticals Inc * | 21,049 | 6,632 | ||||||
Viatris Inc, Cl W | 65,540 | 631 | ||||||
Zimmer Biomet Holdings Inc | 62,960 | 8,134 | ||||||
256,155 | ||||||||
Industrials — 11.0% | ||||||||
AerCap Holdings NV * | 62,810 | 3,532 | ||||||
AGCO Corp | 28,514 | 3,855 |
2
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Alaska Air Group Inc * | 80,294 | $ | 3,369 | |||||
Allison Transmission Holdings Inc | 37,699 | 1,706 | ||||||
American Airlines Group Inc * | 127,347 | 1,878 | ||||||
AMETEK Inc | 42,093 | 6,118 | ||||||
Cummins Inc | 24,677 | 5,895 | ||||||
Delta Air Lines Inc, Cl A * | 64,342 | 2,247 | ||||||
Eaton Corp PLC | 36,869 | 6,317 | ||||||
Emerson Electric Co | 16,230 | 1,414 | ||||||
Fastenal Co, Cl A | 93,346 | 5,035 | ||||||
FedEx Corp | 33,861 | 7,737 | ||||||
Fortive Corp | 171,178 | 11,669 | ||||||
GFL Environmental Inc | 30,787 | 1,060 | ||||||
GXO Logistics Inc * | 191,843 | 9,681 | ||||||
Hillenbrand Inc | 34,870 | 1,657 | ||||||
Honeywell International Inc | 75,534 | 14,436 | ||||||
Huntington Ingalls Industries Inc, Cl A | 10,975 | 2,272 | ||||||
Jacobs Solutions Inc | 28,438 | 3,342 | ||||||
Knight-Swift Transportation Holdings Inc, Cl A | 78,885 | 4,463 | ||||||
L3Harris Technologies Inc | 9,696 | 1,903 | ||||||
Lockheed Martin Corp | 8,565 | 4,049 | ||||||
ManpowerGroup Inc | 29,203 | 2,410 | ||||||
Owens Corning | 34,317 | 3,288 | ||||||
Parker-Hannifin Corp, Cl A | 23,421 | 7,872 | ||||||
Paychex Inc | 9,846 | 1,128 | ||||||
Ryder System Inc | 14,973 | 1,336 | ||||||
Snap-on Inc | 9,070 | 2,239 | ||||||
Southwest Airlines Co, Cl A | 49,272 | 1,603 | ||||||
Textron Inc | 56,360 | 3,981 | ||||||
Timken Co/The | 61,063 | 4,990 | ||||||
TransDigm Group Inc * | 27,853 | 20,529 | ||||||
Triton International Ltd | 4,943 | 313 | ||||||
Uber Technologies Inc * | 83,796 | 2,656 | ||||||
United Airlines Holdings Inc * | 23,047 | 1,020 | ||||||
United Parcel Service Inc, Cl B | 67,742 | 13,141 | ||||||
Westinghouse Air Brake Technologies Corp | 9,477 | 958 | ||||||
WW Grainger Inc | 23,291 | 16,043 | ||||||
187,142 | ||||||||
Information Technology — 21.4% | ||||||||
Adobe Inc * | 45,245 | 17,436 | ||||||
Advanced Micro Devices Inc * | 71,209 | 6,979 | ||||||
Amdocs Ltd | 51,821 | 4,976 | ||||||
Amkor Technology Inc | 51,908 | 1,351 | ||||||
Amphenol Corp, Cl A | 108,662 | 8,880 | ||||||
Apple Inc | 337,558 | 55,663 | ||||||
Applied Materials Inc | 44,845 | 5,508 | ||||||
Arista Networks Inc * | 13,867 | 2,328 | ||||||
Arrow Electronics Inc, Cl A * | 14,925 | 1,864 | ||||||
Broadcom Inc | 685 | 439 | ||||||
Cadence Design Systems Inc * | 18,760 | 3,941 | ||||||
Cirrus Logic Inc * | 4,992 | 546 | ||||||
Cisco Systems Inc | 151,519 | 7,921 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Datadog Inc, Cl A * | 63,552 | $ | 4,618 | |||||
Dell Technologies Inc, Cl C | 26,601 | 1,070 | ||||||
DXC Technology Co * | 70,284 | 1,796 | ||||||
First Solar Inc * | 23,682 | 5,151 | ||||||
Fortinet Inc * | 22,373 | 1,487 | ||||||
Hewlett Packard Enterprise Co | 249,894 | 3,981 | ||||||
HP Inc | 173,068 | 5,079 | ||||||
Intel Corp | 118,591 | 3,874 | ||||||
International Business Machines Corp | 24,273 | 3,182 | ||||||
Intuit Inc | 40,098 | 17,877 | ||||||
Jabil Inc | 68,671 | 6,054 | ||||||
Marvell Technology Inc | 183,135 | 7,930 | ||||||
Microchip Technology Inc | 278,655 | 23,346 | ||||||
Micron Technology Inc | 46,921 | 2,831 | ||||||
Microsoft Corp | 221,552 | 63,873 | ||||||
Motorola Solutions Inc | 23,607 | 6,755 | ||||||
NVIDIA Corp | 39,931 | 11,092 | ||||||
ON Semiconductor Corp * | 50,746 | 4,177 | ||||||
Oracle Corp, Cl B | 60,494 | 5,621 | ||||||
Palo Alto Networks Inc * | 2,041 | 408 | ||||||
Qorvo Inc * | 8,524 | 866 | ||||||
QUALCOMM Inc | 73,578 | 9,387 | ||||||
Roper Technologies Inc | 21,778 | 9,597 | ||||||
Salesforce Inc * | 52,218 | 10,432 | ||||||
SAP SE ADR (A) | 85,766 | 10,854 | ||||||
Seagate Technology Holdings PLC | 44,700 | 2,956 | ||||||
Teradyne Inc | 61,524 | 6,614 | ||||||
Vishay Intertechnology Inc | 115,899 | 2,622 | ||||||
VMware Inc, Cl A * | 16,249 | 2,029 | ||||||
Vontier Corp | 253,262 | 6,924 | ||||||
Xerox Holdings Corp | 58,641 | 903 | ||||||
Zebra Technologies Corp, Cl A * | 7,469 | 2,375 | ||||||
363,593 | ||||||||
Materials — 4.2% | ||||||||
Air Products and Chemicals Inc | 47,893 | 13,755 | ||||||
Avery Dennison Corp | 4,043 | 723 | ||||||
Berry Global Group Inc | 31,426 | 1,851 | ||||||
Celanese Corp, Cl A | 33,158 | 3,611 | ||||||
Crown Holdings Inc | 71,500 | 5,914 | ||||||
Eastman Chemical Co | 73,135 | 6,168 | ||||||
Huntsman Corp | 161,847 | 4,428 | ||||||
International Flavors & Fragrances Inc | 15,501 | 1,426 | ||||||
International Paper Co | 39,192 | 1,413 | ||||||
Linde PLC | 27,030 | 9,608 | ||||||
Louisiana-Pacific Corp | 35,915 | 1,947 | ||||||
LyondellBasell Industries NV, Cl A | 3,410 | 320 | ||||||
Martin Marietta Materials Inc, Cl A | 4,215 | 1,497 | ||||||
Mosaic Co/The | 15,728 | 722 | ||||||
Newmont Corp | 50,822 | 2,491 | ||||||
O-I Glass Inc, Cl I * | 44,115 | 1,002 | ||||||
Reliance Steel & Aluminum Co | 8,194 | 2,104 | ||||||
Sherwin-Williams Co/The, Cl A | 8,943 | 2,010 |
SEI Institutional Managed Trust
3
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Large Cap Fund (Concluded)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Steel Dynamics Inc | 9,490 | $ | 1,073 | |||||
Sylvamo Corp | 61,164 | 2,829 | ||||||
Vulcan Materials Co | 39,159 | 6,718 | ||||||
Westrock Co | 8,670 | 264 | ||||||
71,874 | ||||||||
Real Estate — 2.6% | ||||||||
American Homes 4 Rent, Cl A ‡ | 254,955 | 8,018 | ||||||
American Tower Corp, Cl A ‡ | 55,725 | 11,387 | ||||||
Crown Castle Inc ‡ | 70,972 | 9,499 | ||||||
Extra Space Storage Inc ‡ | 39,044 | 6,362 | ||||||
Howard Hughes Corp/The * | 35,813 | 2,865 | ||||||
Omega Healthcare Investors Inc ‡ | 57,992 | 1,590 | ||||||
Prologis Inc ‡ | 20,464 | 2,553 | ||||||
Sabra Health Care Inc ‡ | 73,150 | 841 | ||||||
Service Properties Trust ‡ | 140,154 | 1,396 | ||||||
44,511 | ||||||||
Utilities — 2.1% | ||||||||
CMS Energy Corp | 51,784 | 3,178 | ||||||
Edison International | 104,559 | 7,381 | ||||||
FirstEnergy Corp | 180,214 | 7,219 | ||||||
NRG Energy Inc | 66,137 | 2,268 | ||||||
PPL Corp | 319,532 | 8,880 | ||||||
UGI Corp | 103,502 | 3,598 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Vistra Corp | 114,510 | $ | 2,748 | |||||
35,272 | ||||||||
Total Common Stock | ||||||||
(Cost $1,131,361) ($ Thousands) | 1,678,527 | |||||||
AFFILIATED PARTNERSHIP — 0.9% | ||||||||
SEI Liquidity Fund, LP | ||||||||
4.740% **†(B) | 14,986,752 | 14,992 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $14,990) ($ Thousands) | 14,992 | |||||||
CASH EQUIVALENT — 0.9% | ||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | ||||||||
4.570%**† | 15,448,985 | 15,449 | ||||||
Total Cash Equivalent | ||||||||
(Cost $15,449) ($ Thousands) | 15,449 | |||||||
Total Investments in Securities — 100.7% | ||||||||
(Cost $1,161,800) ($ Thousands) | $ | 1,708,968 | ||||||
A list of the open futures contracts held by the Fund at March 31, 2023 is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 Index E-MINI | 69 | Jun-2023 | $ | 13,740 | $ | 14,275 | $ | 535 | ||||||||||||
S&P Mid Cap 400 Index E-MINI | 5 | Jun-2023 | 1,219 | 1,265 | 46 | |||||||||||||||
$ | 14,959 | $ | 15,540 | $ | 581 |
| Percentages are based on Net Assets of $1,696,899 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2023. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2023 (see Note 12). |
(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 March 31, 2023 was $14,992 ($ Thousands). |
The following is a summary of the level of inputs used as of March 31, 2023, 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 | 1,678,527 | – | – | 1,678,527 | ||||||||||||
Affiliated Partnership | – | 14,992 | – | 14,992 | ||||||||||||
Cash Equivalent | 15,449 | – | – | 15,449 | ||||||||||||
Total Investments in Securities | 1,693,976 | 14,992 | – | 1,708,968 |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 581 | – | – | 581 | ||||||||||||
Total Other Financial Instruments | 581 | – | – | 581 |
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
4
SEI Institutional Managed Trust
The following is a summary of the Fund’s transactions with affiliates for the period ended March 31, 2023 ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 3/31/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 1,266 | $ | 23,436 | $ | (9,703 | ) | $ | (4 | ) | $ | (3 | ) | $ | 14,992 | $ | 2 | $ | — | |||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | 15,252 | 194,930 | (194,733 | ) | — | — | 15,449 | 309 | — | |||||||||||||||||||||||
Totals | $ | 16,518 | $ | 218,366 | $ | (204,436 | ) | $ | (4 | ) | $ | (3 | ) | $ | 30,441 | $ | 311 | $ | — |
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
5
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 — 98.7% | ||||||||
Communication Services — 7.7% | ||||||||
Alphabet Inc, Cl A * | 36,224 | $ | 3,758 | |||||
AT&T Inc | 1,216,008 | 23,408 | ||||||
BCE Inc | 272,263 | 12,195 | ||||||
Comcast Corp, Cl A | 445,242 | 16,879 | ||||||
Fox Corp, Cl A | 114,572 | 3,901 | ||||||
Meta Platforms Inc, Cl A * | 66,365 | 14,066 | ||||||
Nexstar Media Group Inc, Cl A | 7,601 | 1,312 | ||||||
Omnicom Group Inc | 9,242 | 872 | ||||||
Paramount Global, Cl B | 76,913 | 1,716 | ||||||
TEGNA Inc | 131,658 | 2,226 | ||||||
T-Mobile US Inc * | 50,440 | 7,306 | ||||||
Verizon Communications Inc | 174,796 | 6,798 | ||||||
Walt Disney Co/The * | 70,190 | 7,028 | ||||||
Warner Bros Discovery Inc * | 71,996 | 1,087 | ||||||
102,552 | ||||||||
Consumer Discretionary — 6.6% | ||||||||
Autoliv Inc | 22,443 | 2,095 | ||||||
Best Buy Co Inc | 56,534 | 4,425 | ||||||
Bloomin' Brands Inc | 59,763 | 1,533 | ||||||
BorgWarner Inc | 24,610 | 1,209 | ||||||
Carnival Corp * | 171,400 | 1,740 | ||||||
Dick's Sporting Goods Inc | 18,515 | 2,627 | ||||||
Dillard's Inc, Cl A | 7,538 | 2,319 | ||||||
eBay Inc | 41,518 | 1,842 | ||||||
Foot Locker Inc, Cl A | 44,858 | 1,781 | ||||||
Ford Motor Co | 185,547 | 2,338 | ||||||
General Motors Co | 256,100 | 9,394 | ||||||
Genuine Parts Co | 109,501 | 18,321 | ||||||
Goodyear Tire & Rubber Co/The * | 230,109 | 2,536 | ||||||
Harley-Davidson Inc, Cl A | 31,143 | 1,182 | ||||||
Kohl's Corp | 33,830 | 796 | ||||||
Lennar Corp, Cl A | 9,612 | 1,010 | ||||||
Lithia Motors Inc, Cl A | 9,683 | 2,217 | ||||||
Lowe's Cos Inc | 46,949 | 9,388 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Magna International Inc, Cl A | 27,465 | $ | 1,471 | |||||
NVR Inc * | 114 | 635 | ||||||
Penske Automotive Group Inc, Cl A | 10,242 | 1,452 | ||||||
PulteGroup Inc | 104,103 | 6,067 | ||||||
PVH Corp | 26,398 | 2,354 | ||||||
Royal Caribbean Cruises Ltd * | 20,285 | 1,325 | ||||||
Thor Industries Inc | 20,376 | 1,623 | ||||||
Whirlpool Corp | 17,096 | 2,257 | ||||||
Williams-Sonoma Inc | 33,785 | 4,110 | ||||||
88,047 | ||||||||
Consumer Staples — 9.2% | ||||||||
Altria Group Inc | 207,317 | 9,250 | ||||||
Archer-Daniels-Midland Co | 11,947 | 952 | ||||||
Conagra Brands Inc | 146,906 | 5,518 | ||||||
Diageo PLC ADR | 37,752 | 6,840 | ||||||
Ingredion Inc | 79,830 | 8,121 | ||||||
J M Smucker Co/The | 17,549 | 2,762 | ||||||
Kimberly-Clark Corp | 77,089 | 10,347 | ||||||
Kraft Heinz Co/The | 56,221 | 2,174 | ||||||
Kroger Co/The | 347,326 | 17,147 | ||||||
Molson Coors Beverage Co, Cl B | 104,071 | 5,378 | ||||||
Philip Morris International Inc | 156,341 | 15,204 | ||||||
Target Corp, Cl A | 94,360 | 15,629 | ||||||
Tyson Foods Inc, Cl A | 158,338 | 9,393 | ||||||
Unilever PLC ADR | 172,247 | 8,945 | ||||||
Walgreens Boots Alliance Inc | 134,840 | 4,663 | ||||||
122,323 | ||||||||
Energy — 7.7% | ||||||||
APA Corp | 43,986 | 1,586 | ||||||
BP PLC ADR | 119,233 | 4,524 | ||||||
Canadian Natural Resources Ltd | 33,334 | 1,845 | ||||||
Chevron Corp | 148,216 | 24,183 | ||||||
ConocoPhillips | 177,827 | 17,642 | ||||||
Devon Energy Corp | 36,246 | 1,834 | ||||||
Exxon Mobil Corp | 273,934 | 30,040 | ||||||
HF Sinclair Corp | 30,151 | 1,459 | ||||||
Marathon Oil Corp | 48,813 | 1,169 | ||||||
Marathon Petroleum Corp | 68,784 | 9,274 | ||||||
Phillips 66 | 15,015 | 1,522 | ||||||
Shell PLC ADR | 61,589 | 3,544 | ||||||
Valero Energy Corp | 26,222 | 3,661 | ||||||
102,283 | ||||||||
Financials — 17.9% | ||||||||
Aflac Inc | 86,434 | 5,577 | ||||||
Ally Financial Inc | 31,400 | 800 | ||||||
American Financial Group Inc/OH | 20,349 | 2,472 | ||||||
Ameriprise Financial Inc | 21,678 | 6,644 | ||||||
Annaly Capital Management Inc ‡ | 66,321 | 1,267 | ||||||
Bank of America Corp | 623,733 | 17,839 | ||||||
Bank of New York Mellon Corp/The | 191,211 | 8,689 | ||||||
Berkshire Hathaway Inc, Cl B * | 39,144 | 12,086 |
6
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Capital One Financial Corp | 28,002 | $ | 2,693 | |||||
Charles Schwab Corp/The | 43,038 | 2,254 | ||||||
Chubb Ltd | 85,357 | 16,575 | ||||||
Citigroup Inc | 544,061 | 25,511 | ||||||
Citizens Financial Group Inc | 104,794 | 3,183 | ||||||
Discover Financial Services | 35,862 | 3,544 | ||||||
Fifth Third Bancorp | 113,014 | 3,011 | ||||||
First American Financial Corp | 19,225 | 1,070 | ||||||
Global Payments Inc | 34,526 | 3,634 | ||||||
Goldman Sachs Group Inc/The | 6,327 | 2,069 | ||||||
Hartford Financial Services Group Inc/The | 40,505 | 2,823 | ||||||
JPMorgan Chase & Co | 171,797 | 22,387 | ||||||
KeyCorp | 125,944 | 1,577 | ||||||
Lincoln National Corp | 49,895 | 1,121 | ||||||
MetLife Inc | 85,353 | 4,945 | ||||||
Morgan Stanley | 194,327 | 17,062 | ||||||
New York Community Bancorp Inc | 533,663 | 4,824 | ||||||
Principal Financial Group Inc, Cl A | 4,436 | 330 | ||||||
Prudential Financial Inc | 15,906 | 1,316 | ||||||
Radian Group Inc | 78,204 | 1,728 | ||||||
Regions Financial Corp | 201,984 | 3,749 | ||||||
Reinsurance Group of America Inc, Cl A | 21,858 | 2,902 | ||||||
State Street Corp | 47,517 | 3,597 | ||||||
Synchrony Financial | 153,808 | 4,473 | ||||||
T Rowe Price Group Inc | 6,272 | 708 | ||||||
Travelers Cos Inc/The | 48,773 | 8,360 | ||||||
Truist Financial Corp | 211,571 | 7,215 | ||||||
Unum Group | 58,479 | 2,313 | ||||||
Voya Financial Inc | 94,607 | 6,761 | ||||||
Wells Fargo & Co | 377,180 | 14,099 | ||||||
Willis Towers Watson PLC | 16,379 | 3,806 | ||||||
Zions Bancorp NA (A) | 79,407 | 2,377 | ||||||
237,391 | ||||||||
Health Care — 16.2% | ||||||||
AbbVie Inc | 22,361 | 3,564 | ||||||
Amgen Inc, Cl A | 22,684 | 5,484 | ||||||
AstraZeneca PLC ADR | 54,158 | 3,759 | ||||||
Baxter International Inc | 27,948 | 1,134 | ||||||
Biogen Inc * | 10,497 | 2,918 | ||||||
Bristol-Myers Squibb Co | 183,512 | 12,719 | ||||||
Cardinal Health Inc | 69,526 | 5,249 | ||||||
Cigna Group/The | 22,581 | 5,770 | ||||||
CVS Health Corp | 181,962 | 13,522 | ||||||
DaVita Inc * | 25,118 | 2,037 | ||||||
DENTSPLY SIRONA Inc | 115,297 | 4,529 | ||||||
Gilead Sciences Inc | 114,091 | 9,466 | ||||||
GSK PLC ADR | 98,291 | 3,497 | ||||||
HCA Healthcare Inc | 16,836 | 4,439 | ||||||
Hologic Inc * | 17,032 | 1,375 | ||||||
Horizon Therapeutics Plc * | 42,242 | 4,610 | ||||||
Jazz Pharmaceuticals PLC * | 41,808 | 6,118 | ||||||
Johnson & Johnson | 142,804 | 22,135 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Lantheus Holdings Inc * | 28,734 | $ | 2,372 | |||||
McKesson Corp | 28,817 | 10,260 | ||||||
Medtronic PLC | 182,215 | 14,690 | ||||||
Merck & Co Inc | 276,116 | 29,376 | ||||||
Novartis AG ADR | 100,888 | 9,282 | ||||||
Organon & Co | 65,898 | 1,550 | ||||||
Pfizer Inc | 713,334 | 29,104 | ||||||
Syneos Health Inc, Cl A * | 71,479 | 2,546 | ||||||
Viatris Inc, Cl W | 405,459 | 3,901 | ||||||
215,406 | ||||||||
Industrials — 10.5% | ||||||||
AerCap Holdings NV * | 77,499 | 4,358 | ||||||
AGCO Corp | 31,476 | 4,256 | ||||||
Alaska Air Group Inc * | 72,619 | 3,047 | ||||||
Allison Transmission Holdings Inc | 68,559 | 3,102 | ||||||
Cummins Inc | 28,130 | 6,719 | ||||||
Delta Air Lines Inc, Cl A * | 130,072 | 4,542 | ||||||
Expeditors International of Washington Inc | 7,871 | 867 | ||||||
FedEx Corp | 39,365 | 8,994 | ||||||
General Dynamics Corp | 60,416 | 13,787 | ||||||
Hillenbrand Inc | 8,094 | 385 | ||||||
Huntington Ingalls Industries Inc, Cl A | 15,488 | 3,206 | ||||||
Johnson Controls International PLC | 261,479 | 15,746 | ||||||
Lockheed Martin Corp | 5,611 | 2,652 | ||||||
ManpowerGroup Inc | 42,383 | 3,498 | ||||||
Owens Corning | 35,493 | 3,400 | ||||||
PACCAR Inc | 28,141 | 2,060 | ||||||
Raytheon Technologies Corp | 194,355 | 19,033 | ||||||
Ryder System Inc | 31,013 | 2,768 | ||||||
Siemens AG ADR | 114,640 | 9,280 | ||||||
Snap-on Inc | 18,096 | 4,468 | ||||||
Textron Inc | 56,910 | 4,020 | ||||||
Timken Co/The | 50,058 | 4,091 | ||||||
United Airlines Holdings Inc * | 38,423 | 1,700 | ||||||
United Parcel Service Inc, Cl B | 68,760 | 13,339 | ||||||
139,318 | ||||||||
Information Technology — 9.8% | ||||||||
Amdocs Ltd | 68,616 | 6,589 | ||||||
Amkor Technology Inc | 102,883 | 2,677 | ||||||
Applied Materials Inc | 28,754 | 3,532 | ||||||
Arrow Electronics Inc, Cl A * | 43,920 | 5,484 | ||||||
Broadcom Inc | 23,152 | 14,853 | ||||||
Cirrus Logic Inc * | 17,288 | 1,891 | ||||||
Cisco Systems Inc | 349,960 | 18,294 | ||||||
Cognizant Technology Solutions Corp, Cl A | 18,994 | 1,157 | ||||||
Dell Technologies Inc, Cl C | 22,376 | 900 | ||||||
DXC Technology Co * | 76,611 | 1,958 | ||||||
Hewlett Packard Enterprise Co | 292,631 | 4,662 | ||||||
HP Inc | 292,652 | 8,589 | ||||||
Intel Corp | 562,549 | 18,378 | ||||||
International Business Machines Corp | 26,606 | 3,488 |
SEI Institutional Managed Trust
7
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Large Cap Value Fund (Concluded)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Jabil Inc | 72,955 | $ | 6,432 | |||||
Micron Technology Inc | 65,413 | 3,947 | ||||||
Microsoft Corp | 31,115 | 8,970 | ||||||
Oracle Corp, Cl B | 34,542 | 3,210 | ||||||
Seagate Technology Holdings PLC | 34,718 | 2,296 | ||||||
Teradyne Inc | 55,447 | 5,961 | ||||||
Vontier Corp | 159,939 | 4,373 | ||||||
Zebra Technologies Corp, Cl A * | 5,903 | 1,877 | ||||||
129,518 | ||||||||
Materials — 5.1% | ||||||||
Berry Global Group Inc | 26,280 | 1,548 | ||||||
Celanese Corp, Cl A | 20,666 | 2,250 | ||||||
Crown Holdings Inc | 47,060 | 3,892 | ||||||
Dow Inc | 320,918 | 17,593 | ||||||
Eastman Chemical Co | 55,322 | 4,666 | ||||||
Huntsman Corp | 146,520 | 4,009 | ||||||
International Paper Co | 111,708 | 4,028 | ||||||
Louisiana-Pacific Corp | 56,701 | 3,074 | ||||||
LyondellBasell Industries NV, Cl A | 44,349 | 4,164 | ||||||
Mosaic Co/The | 52,568 | 2,412 | ||||||
Newmont Corp | 65,956 | 3,233 | ||||||
O-I Glass Inc, Cl I * | 64,028 | 1,454 | ||||||
Reliance Steel & Aluminum Co | 30,848 | 7,920 | ||||||
Steel Dynamics Inc | 47,842 | 5,409 | ||||||
Sylvamo Corp | 16,541 | 765 | ||||||
Westrock Co | 60,481 | 1,843 | ||||||
68,260 | ||||||||
Real Estate — 3.0% | ||||||||
Boston Properties Inc ‡ | 88,658 | 4,798 | ||||||
Healthpeak Properties Inc ‡ | 453,779 | 9,969 | ||||||
Host Hotels & Resorts Inc ‡ | 123,322 | 2,034 | ||||||
Howard Hughes Corp/The * | 41,684 | 3,335 | ||||||
Jones Lang LaSalle Inc * | 2,215 | 322 | ||||||
Omega Healthcare Investors Inc ‡ | 117,830 | 3,230 | ||||||
Sabra Health Care REIT Inc ‡ | 143,789 | 1,654 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Service Properties Trust ‡ | 89,985 | $ | 896 | |||||
Simon Property Group Inc ‡ | 18,224 | 2,040 | ||||||
VICI Properties Inc, Cl A ‡ | 340,826 | 11,118 | ||||||
39,396 | ||||||||
Utilities — 5.0% | ||||||||
Duke Energy Corp | 145,181 | 14,005 | ||||||
Edison International | 113,921 | 8,042 | ||||||
FirstEnergy Corp | 188,154 | 7,537 | ||||||
NextEra Energy Inc | 234,869 | 18,104 | ||||||
NRG Energy Inc | 150,729 | 5,168 | ||||||
UGI Corp | 253,874 | 8,825 | ||||||
Vistra Corp | 200,451 | 4,811 | ||||||
66,492 | ||||||||
Total Common Stock | ||||||||
(Cost $964,814) ($ Thousands) | 1,310,986 | |||||||
AFFILIATED PARTNERSHIP — 0.4% | ||||||||
SEI Liquidity Fund, LP | ||||||||
4.740% **†(B) | 4,913,803 | 4,914 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $4,915) ($ Thousands) | 4,914 | |||||||
CASH EQUIVALENT — 0.9% | ||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | ||||||||
4.570%**† | 12,440,457 | 12,440 | ||||||
Total Cash Equivalent | ||||||||
(Cost $12,440) ($ Thousands) | 12,440 | |||||||
Total Investments in Securities — 100.0% | ||||||||
(Cost $982,169) ($ Thousands) | $ | 1,328,340 | ||||||
A list of the open futures contracts held at March 31, 2023 is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 Index E-MINI | 32 | Jun-2023 | $ | 6,389 | $ | 6,620 | $ | 231 | ||||||||||||
S&P Mid Cap 400 Index E-MINI | 15 | Jun-2023 | 3,661 | 3,795 | 134 | |||||||||||||||
$ | 10,050 | $ | 10,415 | $ | 365 |
8
SEI Institutional Managed Trust
| Percentages are based on Net Assets of $1,327,862 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2023. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2023 (see Note 12). |
(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 March 31, 2023 was $4,914 ($ Thousands). |
The following is a summary of the level of inputs used as of March 31, 2023, 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 | 1,310,986 | – | – | 1,310,986 | ||||||||||||
Affiliated Partnership | – | 4,914 | – | 4,914 | ||||||||||||
Cash Equivalent | 12,440 | – | – | 12,440 | ||||||||||||
Total Investments in Securities | 1,323,426 | 4,914 | – | 1,328,340 |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 365 | – | – | 365 | ||||||||||||
Total Other Financial Instruments | 365 | – | – | 365 |
* | Futures contracts are valued at the unrealized appreciation 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 March 31, 2023 ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 3/31/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 15,770 | $ | 46,285 | $ | (57,144 | ) | $ | 2 | $ | 1 | $ | 4,914 | $ | 36 | $ | 2 | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | 16,000 | 133,541 | (137,101 | ) | — | — | 12,440 | 251 | — | |||||||||||||||||||||||
Totals | $ | 31,770 | $ | 179,826 | $ | (194,245 | ) | $ | 2 | $ | 1 | $ | 17,354 | $ | 287 | $ | 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
9
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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†† — 99.1% | ||||||||
Communication Services — 7.8% | ||||||||
Alphabet Inc, Cl A * | 305,521 | $ | 31,692 | |||||
Alphabet Inc, Cl C * | 291,080 | 30,272 | ||||||
Interpublic Group of Cos Inc/The | 5,517 | 205 | ||||||
Liberty Media Corp-Liberty Formula One, Cl C * | 119,488 | 8,941 | ||||||
Live Nation Entertainment Inc * | 80,442 | 5,631 | ||||||
Meta Platforms Inc, Cl A * | 52,953 | 11,223 | ||||||
Netflix Inc * | 24,802 | 8,569 | ||||||
Omnicom Group Inc | 10,519 | 992 | ||||||
T-Mobile US Inc * | 25,964 | 3,761 | ||||||
Trade Desk Inc/The, Cl A * | 89,812 | 5,470 | ||||||
Walt Disney Co/The * | 3,670 | 368 | ||||||
World Wrestling Entertainment Inc, Cl A | 11,987 | 1,094 | ||||||
108,218 | ||||||||
Consumer Discretionary — 13.4% | ||||||||
Airbnb Inc, Cl A * | 1,684 | 209 | ||||||
Amazon.com Inc, Cl A * | 568,799 | 58,751 | ||||||
AutoZone Inc * | 10,177 | 25,017 | ||||||
Booking Holdings Inc * | 599 | 1,589 | ||||||
Choice Hotels International Inc | 1,628 | 191 | ||||||
Deckers Outdoor Corp * | 475 | 213 | ||||||
Dick's Sporting Goods Inc | 1,447 | 205 | ||||||
eBay Inc | 4,082 | 181 | ||||||
Five Below Inc * | 1,032 | 213 | ||||||
Genuine Parts Co | 10,431 | 1,745 | ||||||
Grand Canyon Education Inc * | 1,871 | 213 | ||||||
H&R Block Inc | 13,227 | 466 | ||||||
Home Depot Inc/The | 35,275 | 10,411 | ||||||
LKQ Corp | 3,678 | 209 | ||||||
Lowe's Cos Inc | 69,965 | 13,991 | ||||||
Lululemon Athletica Inc * | 630 | 229 | ||||||
Marriott International Inc/MD, Cl A | 41,075 | 6,820 | ||||||
McDonald's Corp | 12,195 | 3,410 | ||||||
MercadoLibre Inc * | 2,911 | 3,837 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
MGM Resorts International * | 207,574 | $ | 9,220 | |||||
NIKE Inc, Cl B | 41,733 | 5,118 | ||||||
O'Reilly Automotive Inc * | 4,451 | 3,779 | ||||||
Tapestry Inc | 4,909 | 212 | ||||||
Tempur Sealy International Inc | 5,173 | 204 | ||||||
Tesla Inc * | 114,397 | 23,733 | ||||||
TJX Cos Inc/The | 148,505 | 11,637 | ||||||
Trip.com Group Ltd ADR * | 89,186 | 3,360 | ||||||
Ulta Beauty Inc * | 406 | 222 | ||||||
Williams-Sonoma Inc | 1,692 | 206 | ||||||
Yum! Brands Inc | 1,539 | 203 | ||||||
185,794 | ||||||||
Consumer Staples — 5.3% | ||||||||
Altria Group Inc | 23 | 1 | ||||||
BJ's Wholesale Club Holdings Inc * | 1,343 | 102 | ||||||
Bunge Ltd | 74,082 | 7,077 | ||||||
Colgate-Palmolive Co | 99,839 | 7,503 | ||||||
Costco Wholesale Corp | 24,528 | 12,187 | ||||||
General Mills Inc | 24,235 | 2,071 | ||||||
Hershey Co/The | 53,638 | 13,646 | ||||||
Lamb Weston Holdings Inc | 8,611 | 900 | ||||||
PepsiCo Inc | 126,633 | 23,085 | ||||||
Performance Food Group Co * | 3,396 | 205 | ||||||
Procter & Gamble Co/The | 51,969 | 7,727 | ||||||
74,504 | ||||||||
Energy — 2.4% | ||||||||
Cheniere Energy Inc | 19,669 | 3,100 | ||||||
Chevron Corp | 10,356 | 1,690 | ||||||
ConocoPhillips | 35,268 | 3,499 | ||||||
EOG Resources Inc | 101,428 | 11,626 | ||||||
Exxon Mobil Corp | 14,681 | 1,610 | ||||||
Schlumberger NV, Cl A | 229,508 | 11,269 | ||||||
32,794 | ||||||||
Financials — 9.0% | ||||||||
Apollo Global Management Inc | 2,808 | 177 | ||||||
CME Group Inc, Cl A | 54,686 | 10,474 | ||||||
FactSet Research Systems Inc | 23,882 | 9,913 | ||||||
JPMorgan Chase & Co | 7,680 | 1,001 | ||||||
LPL Financial Holdings Inc | 20,472 | 4,144 | ||||||
Mastercard Inc, Cl A | 71,392 | 25,945 | ||||||
Moody's Corp | 44,675 | 13,671 | ||||||
MSCI Inc, Cl A | 24,877 | 13,923 | ||||||
PayPal Holdings Inc * | 25,018 | 1,900 | ||||||
Progressive Corp/The | 6,747 | 965 | ||||||
S&P Global Inc | 29,549 | 10,188 | ||||||
Shift4 Payments Inc, Cl A * | 3,246 | 246 | ||||||
Unum Group | 42,974 | 1,700 | ||||||
Visa Inc, Cl A | 111,971 | 25,245 | ||||||
W R Berkley Corp | 106,990 | 6,661 | ||||||
126,153 |
10
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Health Care — 12.1% | ||||||||
AbbVie Inc | 78,624 | $ | 12,530 | |||||
Acadia Healthcare Co Inc, Cl A * | 112,809 | 8,150 | ||||||
AstraZeneca PLC ADR | 42,107 | 2,923 | ||||||
Becton Dickinson & Co | 19,601 | 4,852 | ||||||
Biogen Inc * | 10,027 | 2,788 | ||||||
Boston Scientific Corp * | 60,316 | 3,018 | ||||||
Cardinal Health Inc | 2,614 | 197 | ||||||
Charles River Laboratories International Inc * | 5,103 | 1,030 | ||||||
Danaher Corp, Cl A | 53,479 | 13,479 | ||||||
Eli Lilly & Co | 25,889 | 8,891 | ||||||
Gilead Sciences Inc | 12,470 | 1,035 | ||||||
Humana Inc | 20,491 | 9,948 | ||||||
Incyte Corp * | 2,512 | 181 | ||||||
Johnson & Johnson | 74,128 | 11,490 | ||||||
McKesson Corp | 46,355 | 16,505 | ||||||
Merck & Co Inc | 44,718 | 4,757 | ||||||
Mettler-Toledo International Inc * | 3,304 | 5,056 | ||||||
Natera Inc * | 204,575 | 11,358 | ||||||
Prometheus Biosciences Inc * | 31,254 | 3,354 | ||||||
Thermo Fisher Scientific Inc | 356 | 205 | ||||||
TransMedics Group Inc * | 46,400 | 3,514 | ||||||
UnitedHealth Group Inc | 80,380 | 37,987 | ||||||
Vertex Pharmaceuticals Inc * | 18,383 | 5,792 | ||||||
Waters Corp * | 291 | 90 | ||||||
169,130 | ||||||||
Industrials — 8.2% | ||||||||
Builders FirstSource Inc * | 2,387 | 212 | ||||||
Carrier Global Corp | 209,480 | 9,584 | ||||||
Caterpillar Inc, Cl A | 11,646 | 2,665 | ||||||
Deere & Co | 458 | 189 | ||||||
Eaton Corp PLC | 63,165 | 10,823 | ||||||
General Dynamics Corp | 27,835 | 6,352 | ||||||
GFL Environmental Inc | 85,659 | 2,950 | ||||||
Graco Inc | 143,435 | 10,472 | ||||||
Hubbell Inc, Cl B | 421 | 102 | ||||||
Middleby Corp/The * | 51,098 | 7,491 | ||||||
nVent Electric PLC | 4,521 | 194 | ||||||
Otis Worldwide Corp | 108,620 | 9,167 | ||||||
Parker-Hannifin Corp, Cl A | 6,551 | 2,202 | ||||||
Paychex Inc | 20,540 | 2,354 | ||||||
Tetra Tech Inc | 35,198 | 5,171 | ||||||
Trane Technologies PLC | 9,117 | 1,677 | ||||||
TransDigm Group Inc * | 23,156 | 17,067 | ||||||
Uber Technologies Inc * | 229,081 | 7,262 | ||||||
Union Pacific Corp | 34,255 | 6,894 | ||||||
Waste Management Inc | 34,717 | 5,665 | ||||||
WESCO International Inc | 1,383 | 214 | ||||||
Westinghouse Air Brake Technologies Corp | 56,071 | 5,667 | ||||||
WillScot Mobile Mini Holdings Corp, Cl A * | 4,344 | 204 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
WW Grainger Inc | 299 | $ | 206 | |||||
114,784 | ||||||||
Information Technology — 37.7% | ||||||||
Adobe Inc * | 36,710 | 14,147 | ||||||
Advanced Micro Devices Inc * | 99,468 | 9,749 | ||||||
Allegro MicroSystems Inc * | 4,527 | 217 | ||||||
Analog Devices Inc | 66,281 | 13,072 | ||||||
Apple Inc | 733,739 | 120,993 | ||||||
Applied Materials Inc | 79,121 | 9,718 | ||||||
Arista Networks Inc * | 67,318 | 11,300 | ||||||
Broadcom Inc | 21,517 | 13,804 | ||||||
Cadence Design Systems Inc * | 21,585 | 4,535 | ||||||
Datadog Inc, Cl A * | 97,799 | 7,106 | ||||||
Dropbox Inc, Cl A * | 19,706 | 426 | ||||||
Enphase Energy Inc * | 11,125 | 2,339 | ||||||
Fair Isaac Corp * | 2,282 | 1,604 | ||||||
First Solar Inc * | 36,224 | 7,879 | ||||||
Fortinet Inc * | 69,634 | 4,628 | ||||||
Gartner Inc * | 600 | 195 | ||||||
Intuit Inc | 60,488 | 26,967 | ||||||
Jabil Inc | 49,341 | 4,350 | ||||||
Keysight Technologies Inc * | 9,106 | 1,470 | ||||||
KLA Corp | 2,291 | 914 | ||||||
Lattice Semiconductor Corp * | 2,775 | 265 | ||||||
Manhattan Associates Inc * | 772 | 120 | ||||||
Marvell Technology Inc | 198,585 | 8,599 | ||||||
Microchip Technology Inc | 88,488 | 7,413 | ||||||
Microsoft Corp | 550,121 | 158,600 | ||||||
Monolithic Power Systems Inc | 2,523 | 1,263 | ||||||
New Relic Inc * | 2,690 | 203 | ||||||
NVIDIA Corp | 167,395 | 46,497 | ||||||
ON Semiconductor Corp * | 129,764 | 10,682 | ||||||
Oracle Corp, Cl B | 124,059 | 11,528 | ||||||
Palo Alto Networks Inc * | 49,938 | 9,975 | ||||||
Paylocity Holding Corp * | 1,274 | 253 | ||||||
Pure Storage Inc, Cl A * | 76,360 | 1,948 | ||||||
ServiceNow Inc * | 26,921 | 12,511 | ||||||
VeriSign Inc * | 930 | 197 | ||||||
525,467 | ||||||||
Materials — 3.2% | ||||||||
Ball Corp | 32,993 | 1,818 | ||||||
Linde PLC | 41,809 | 14,860 | ||||||
Martin Marietta Materials Inc, Cl A | 24,759 | 8,791 | ||||||
Reliance Steel & Aluminum Co | 2,087 | 536 | ||||||
Sherwin-Williams Co/The, Cl A | 45,748 | 10,283 | ||||||
Steel Dynamics Inc | 75,818 | 8,572 | ||||||
44,860 |
SEI Institutional Managed Trust
11
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Large Cap Growth Fund (Concluded)
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Real Estate — 0.0% | ||||||||
Gaming and Leisure Properties Inc ‡ | 3,710 | $ | 193 | |||||
Total Common Stock | ||||||||
(Cost $721,542) ($ Thousands) | 1,381,897 | |||||||
AFFILIATED PARTNERSHIP — 0.0% | ||||||||
SEI Liquidity Fund, LP | ||||||||
4.740% **†(A) | 11,252 | 11 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $11) ($ Thousands) | 11 | |||||||
Description | Shares | Market Value | ||||||
CASH EQUIVALENT — 1.0% | ||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | ||||||||
4.570%**† | 14,381,242 | $ | 14,381 | |||||
Total Cash Equivalent | ||||||||
(Cost $14,381) ($ Thousands) | 14,381 | |||||||
Total Investments in Securities — 100.1% | ||||||||
(Cost $735,934) ($ Thousands) | $ | 1,396,289 | ||||||
A list of the open futures contracts held at March 31, 2023 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 | 45 | Jun-2023 | $ | 9,110 | $ | 9,310 | $ | 200 | ||||||||||||
| Percentages are based on Net Assets of $1,395,445 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2023. |
† | Investment in Affiliated Security (see Note 6). |
†† | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
‡ | Real Estate Investment Trust. |
(A) | This security was purchased with cash collateral held from securities on loan (see Note 12). |
The following is a summary of the level of inputs used as of March 31, 2023, 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 | 1,381,897 | – | – | 1,381,897 | ||||||||||||
Affiliated Partnership | – | 11 | – | 11 | ||||||||||||
Cash Equivalent | 14,381 | – | – | 14,381 | ||||||||||||
Total Investments in Securities | 1,396,278 | 11 | – | 1,396,289 |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 200 | – | – | 200 | ||||||||||||
Total Other Financial Instruments | 200 | – | – | 200 |
* | Futures contracts are valued at the unrealized appreciation 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 March 31, 2023, ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 3/31/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 45 | $ | 6,588 | $ | (6,621 | ) | $ | (1 | ) | $ | — | $ | 11 | $ | 9 | $ | — | ||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | 13,898 | 113,268 | (112,785 | ) | — | — | 14,381 | 193 | — | |||||||||||||||||||||||
Totals | $ | 13,943 | $ | 119,856 | $ | (119,406 | ) | $ | (1 | ) | $ | — | $ | 14,392 | $ | 202 | $ | — |
12
SEI Institutional Managed Trust
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
13
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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†† — 99.0% | ||||||||
Communication Services — 7.8% | ||||||||
Activision Blizzard Inc | 20,881 | $ | 1,787 | |||||
Alphabet Inc, Cl A * | 161,181 | 16,719 | ||||||
Alphabet Inc, Cl C * | 140,172 | 14,578 | ||||||
Altice USA Inc, Cl A * | 5,800 | 20 | ||||||
AMC Entertainment Holdings Inc, Cl A *(A) | 13,800 | 69 | ||||||
AT&T Inc | 192,001 | 3,696 | ||||||
Cable One Inc | 138 | 97 | ||||||
Charter Communications Inc, Cl A * | 2,772 | 991 | ||||||
Comcast Corp, Cl A | 112,176 | 4,252 | ||||||
DISH Network Corp, Cl A * | 6,511 | 61 | ||||||
Electronic Arts Inc | 7,306 | 880 | ||||||
Fox Corp, Cl A | 7,731 | 263 | ||||||
Fox Corp, Cl B | 3,700 | 116 | ||||||
Frontier Communications Parent Inc * | 6,600 | 150 | ||||||
IAC Inc * | 1,998 | 103 | ||||||
Interpublic Group of Cos Inc/The | 10,400 | 387 | ||||||
Liberty Broadband Corp, Cl A * | 500 | 41 | ||||||
Liberty Broadband Corp, Cl C * | 3,158 | 258 | ||||||
Liberty Media Corp-Liberty Formula One, Cl A * | 500 | 34 | ||||||
Liberty Media Corp-Liberty Formula One, Cl C * | 5,400 | 404 | ||||||
Liberty Media Corp-Liberty SiriusXM * | 6,198 | 174 | ||||||
Live Nation Entertainment Inc * | 4,190 | 293 | ||||||
Lumen Technologies Inc | 27,095 | 72 | ||||||
Madison Square Garden Sports Corp * | 496 | 97 | ||||||
Match Group Inc * | 7,499 | 288 | ||||||
Meta Platforms Inc, Cl A * | 59,628 | 12,637 | ||||||
Netflix Inc * | 11,677 | 4,034 | ||||||
New York Times Co/The, Cl A | 4,312 | 168 | ||||||
News Corp, Cl A | 10,300 | 178 | ||||||
News Corp, Cl B | 3,200 | 56 | ||||||
Nexstar Media Group Inc, Cl A | 1,000 | 173 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Omnicom Group Inc | 5,426 | $ | 512 | |||||
Paramount Global, Cl A | 219 | 6 | ||||||
Paramount Global, Cl B | 15,453 | 345 | ||||||
Pinterest Inc, Cl A * | 15,976 | 436 | ||||||
Playtika Holding Corp * | 2,637 | 30 | ||||||
ROBLOX Corp, Cl A * | 12,100 | 544 | ||||||
Roku Inc, Cl A * | 3,345 | 220 | ||||||
Sirius XM Holdings Inc (A) | 18,618 | 74 | ||||||
Spotify Technology SA * | 3,760 | 502 | ||||||
Take-Two Interactive Software Inc, Cl A * | 4,404 | 525 | ||||||
T-Mobile US Inc * | 15,714 | 2,276 | ||||||
Trade Desk Inc/The, Cl A * | 11,851 | 722 | ||||||
TripAdvisor Inc * | 2,600 | 52 | ||||||
Verizon Communications Inc | 112,679 | 4,382 | ||||||
Walt Disney Co/The * | 48,844 | 4,891 | ||||||
Warner Bros Discovery Inc * | 63,520 | 959 | ||||||
World Wrestling Entertainment Inc, Cl A | 1,200 | 109 | ||||||
ZoomInfo Technologies Inc, Cl A * | 7,400 | 183 | ||||||
79,844 | ||||||||
Consumer Discretionary — 10.2% | ||||||||
ADT Inc | 5,828 | 42 | ||||||
Advance Auto Parts Inc | 1,617 | 197 | ||||||
Airbnb Inc, Cl A * | 10,100 | 1,256 | ||||||
Amazon.com Inc, Cl A * | 238,105 | 24,594 | ||||||
Aptiv PLC * | 7,253 | 814 | ||||||
Aramark | 6,191 | 222 | ||||||
AutoNation Inc * | 894 | 120 | ||||||
AutoZone Inc * | 517 | 1,271 | ||||||
Bath & Body Works Inc | 6,100 | 223 | ||||||
Best Buy Co Inc | 5,380 | 421 | ||||||
Booking Holdings Inc * | 1,039 | 2,756 | ||||||
BorgWarner Inc | 6,200 | 304 | ||||||
Boyd Gaming Corp | 2,100 | 135 | ||||||
Bright Horizons Family Solutions Inc * | 1,500 | 115 | ||||||
Brunswick Corp/DE | 1,900 | 156 | ||||||
Burlington Stores Inc * | 1,753 | 354 | ||||||
Caesars Entertainment Inc * | 5,600 | 273 | ||||||
Capri Holdings Ltd * | 3,300 | 155 | ||||||
CarMax Inc * | 4,200 | 270 | ||||||
Carnival Corp * | 25,927 | 263 | ||||||
Carter's Inc | 1,000 | 72 | ||||||
Carvana Co, Cl A *(A) | 2,868 | 28 | ||||||
Chipotle Mexican Grill Inc, Cl A * | 739 | 1,262 | ||||||
Choice Hotels International Inc | 828 | 97 | ||||||
Churchill Downs Inc | 961 | 247 | ||||||
Columbia Sportswear Co | 1,000 | 90 | ||||||
Darden Restaurants Inc | 3,299 | 512 | ||||||
Deckers Outdoor Corp * | 701 | 315 | ||||||
Dick's Sporting Goods Inc | 1,392 | 198 | ||||||
Domino's Pizza Inc | 960 | 317 | ||||||
DoorDash Inc, Cl A * | 6,664 | 424 | ||||||
DR Horton Inc | 8,438 | 824 |
14
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
DraftKings Inc, Cl A * | 9,300 | $ | 180 | |||||
eBay Inc | 14,606 | 648 | ||||||
Etsy Inc * | 3,404 | 379 | ||||||
Expedia Group Inc * | 3,924 | 381 | ||||||
Five Below Inc * | 1,483 | 305 | ||||||
Floor & Decor Holdings Inc, Cl A * | 2,800 | 275 | ||||||
Ford Motor Co | 105,385 | 1,328 | ||||||
GameStop Corp, Cl A *(A) | 7,200 | 166 | ||||||
Gap Inc/The | 5,300 | 53 | ||||||
Garmin Ltd | 4,157 | 420 | ||||||
General Motors Co | 37,349 | 1,370 | ||||||
Gentex Corp | 6,235 | 175 | ||||||
Genuine Parts Co | 3,676 | 615 | ||||||
Grand Canyon Education Inc * | 800 | 91 | ||||||
H&R Block Inc | 4,200 | 148 | ||||||
Hanesbrands Inc | 9,000 | 47 | ||||||
Harley-Davidson Inc, Cl A | 3,600 | 137 | ||||||
Hasbro Inc | 3,502 | 188 | ||||||
Hilton Worldwide Holdings Inc | 6,984 | 984 | ||||||
Home Depot Inc/The | 27,346 | 8,070 | ||||||
Hyatt Hotels Corp, Cl A * | 1,294 | 145 | ||||||
Kohl's Corp | 3,025 | 71 | ||||||
Las Vegas Sands Corp * | 8,846 | 508 | ||||||
Lear Corp | 1,594 | 222 | ||||||
Leggett & Platt Inc | 3,600 | 115 | ||||||
Lennar Corp, Cl A | 6,689 | 703 | ||||||
Lennar Corp, Cl B | 450 | 40 | ||||||
Leslie's Inc * | 4,400 | 48 | ||||||
Lithia Motors Inc, Cl A | 730 | 167 | ||||||
LKQ Corp | 6,688 | 380 | ||||||
Lowe's Cos Inc | 16,226 | 3,245 | ||||||
Lucid Group Inc *(A) | 15,600 | 125 | ||||||
Lululemon Athletica Inc * | 2,993 | 1,090 | ||||||
Macy's Inc | 7,100 | 124 | ||||||
Marriott International Inc/MD, Cl A | 7,055 | 1,171 | ||||||
Marriott Vacations Worldwide Corp | 1,000 | 135 | ||||||
Mattel Inc * | 9,300 | 171 | ||||||
McDonald's Corp | 19,761 | 5,525 | ||||||
MGM Resorts International * | 8,553 | 380 | ||||||
Mister Car Wash Inc * | 2,100 | 18 | ||||||
Mohawk Industries Inc * | 1,432 | 144 | ||||||
Newell Brands Inc, Cl B | 10,070 | 125 | ||||||
NIKE Inc, Cl B | 32,244 | 3,954 | ||||||
Nordstrom Inc | 3,000 | 49 | ||||||
Norwegian Cruise Line Holdings Ltd * | 11,363 | 153 | ||||||
NVR Inc * | 75 | 418 | ||||||
Ollie's Bargain Outlet Holdings Inc * | 1,661 | 96 | ||||||
O'Reilly Automotive Inc * | 1,650 | 1,401 | ||||||
Peloton Interactive Inc, Cl A * | 7,927 | 90 | ||||||
Penn Entertainment Inc * | 4,200 | 125 | ||||||
Penske Automotive Group Inc, Cl A | 700 | 99 | ||||||
Petco Health & Wellness Co Inc, Cl A * | 2,300 | 21 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Planet Fitness Inc, Cl A * | 2,200 | $ | 171 | |||||
Polaris Inc | 1,531 | 169 | ||||||
Pool Corp | 1,021 | 350 | ||||||
PulteGroup Inc | 6,100 | 356 | ||||||
PVH Corp | 1,749 | 156 | ||||||
QuantumScape Corp, Cl A *(A) | 6,600 | 54 | ||||||
Ralph Lauren Corp, Cl A | 1,084 | 126 | ||||||
RH * | 453 | 110 | ||||||
Rivian Automotive Inc, Cl A * | 13,700 | 212 | ||||||
Ross Stores Inc | 9,144 | 970 | ||||||
Royal Caribbean Cruises Ltd * | 5,923 | 387 | ||||||
Service Corp International/US | 4,000 | 275 | ||||||
Six Flags Entertainment Corp * | 2,100 | 56 | ||||||
Skechers USA Inc, Cl A * | 3,653 | 174 | ||||||
Starbucks Corp | 30,701 | 3,197 | ||||||
Tapestry Inc | 6,408 | 276 | ||||||
Tempur Sealy International Inc | 4,400 | 174 | ||||||
Tesla Inc * | 69,224 | 14,361 | ||||||
Thor Industries Inc | 1,400 | 112 | ||||||
TJX Cos Inc/The | 31,159 | 2,442 | ||||||
Toll Brothers Inc | 2,900 | 174 | ||||||
TopBuild Corp * | 858 | 179 | ||||||
Tractor Supply Co | 2,901 | 682 | ||||||
Travel + Leisure Co | 2,063 | 81 | ||||||
Ulta Beauty Inc * | 1,378 | 752 | ||||||
Under Armour Inc, Cl A * | 4,815 | 46 | ||||||
Under Armour Inc, Cl C * | 5,600 | 48 | ||||||
Vail Resorts Inc | 1,070 | 250 | ||||||
VF Corp | 9,364 | 215 | ||||||
Victoria's Secret & Co * | 2,266 | 77 | ||||||
Wayfair Inc, Cl A * | 2,023 | 69 | ||||||
Wendy's Co/The | 4,600 | 100 | ||||||
Whirlpool Corp | 1,438 | 190 | ||||||
Williams-Sonoma Inc | 1,800 | 219 | ||||||
Wyndham Hotels & Resorts Inc | 2,363 | 160 | ||||||
Wynn Resorts Ltd * | 2,815 | 315 | ||||||
YETI Holdings Inc * | 2,300 | 92 | ||||||
Yum! Brands Inc | 7,509 | 992 | ||||||
104,114 | ||||||||
Consumer Staples — 6.7% | ||||||||
Albertsons Cos Inc, Cl A | 6,300 | 131 | ||||||
Altria Group Inc | 48,050 | 2,144 | ||||||
Archer-Daniels-Midland Co | 14,688 | 1,170 | ||||||
BJ's Wholesale Club Holdings Inc * | 3,600 | 274 | ||||||
Boston Beer Co Inc/The, Cl A * | 240 | 79 | ||||||
Brown-Forman Corp, Cl A | 1,240 | 81 | ||||||
Brown-Forman Corp, Cl B | 4,922 | 316 | ||||||
Bunge Ltd | 3,700 | 353 | ||||||
Campbell Soup Co | 5,200 | 286 | ||||||
Casey's General Stores Inc | 996 | 216 | ||||||
Church & Dwight Co Inc | 6,510 | 575 | ||||||
Clorox Co/The | 3,271 | 518 |
SEI Institutional Managed Trust
15
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Large Cap Index Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Coca-Cola Co/The | 104,576 | $ | 6,487 | |||||
Colgate-Palmolive Co | 22,179 | 1,667 | ||||||
Conagra Brands Inc | 12,549 | 471 | ||||||
Constellation Brands Inc, Cl A | 4,086 | 923 | ||||||
Costco Wholesale Corp | 11,864 | 5,895 | ||||||
Coty Inc, Cl A * | 9,339 | 113 | ||||||
Darling Ingredients Inc * | 4,223 | 247 | ||||||
Dollar General Corp | 6,045 | 1,272 | ||||||
Dollar Tree Inc * | 5,556 | 798 | ||||||
Estee Lauder Cos Inc/The, Cl A | 6,180 | 1,523 | ||||||
Flowers Foods Inc | 4,900 | 134 | ||||||
Freshpet Inc * | 1,200 | 79 | ||||||
General Mills Inc | 15,861 | 1,355 | ||||||
Grocery Outlet Holding Corp * | 2,300 | 65 | ||||||
Hershey Co/The | 3,942 | 1,003 | ||||||
Hormel Foods Corp | 7,637 | 305 | ||||||
Ingredion Inc | 1,810 | 184 | ||||||
J M Smucker Co/The | 2,754 | 433 | ||||||
Kellogg Co | 6,785 | 454 | ||||||
Keurig Dr Pepper Inc | 23,085 | 814 | ||||||
Kimberly-Clark Corp | 8,990 | 1,207 | ||||||
Kraft Heinz Co/The | 18,849 | 729 | ||||||
Kroger Co/The | 17,688 | 873 | ||||||
Lamb Weston Holdings Inc | 3,900 | 408 | ||||||
McCormick & Co Inc/MD | 6,682 | 556 | ||||||
Molson Coors Beverage Co, Cl B | 4,695 | 243 | ||||||
Mondelez International Inc, Cl A | 36,546 | 2,548 | ||||||
Monster Beverage Corp * | 19,678 | 1,063 | ||||||
Olaplex Holdings Inc * | 3,500 | 15 | ||||||
PepsiCo Inc | 37,030 | 6,751 | ||||||
Performance Food Group Co * | 4,100 | 247 | ||||||
Philip Morris International Inc | 41,563 | 4,042 | ||||||
Pilgrim's Pride Corp * | 1,300 | 30 | ||||||
Post Holdings Inc * | 1,507 | 135 | ||||||
Procter & Gamble Co/The | 63,230 | 9,402 | ||||||
Reynolds Consumer Products Inc | 1,500 | 41 | ||||||
Seaboard Corp | 6 | 23 | ||||||
Spectrum Brands Holdings Inc | 1,057 | 70 | ||||||
Sysco Corp, Cl A | 13,663 | 1,055 | ||||||
Target Corp, Cl A | 12,402 | 2,054 | ||||||
Tyson Foods Inc, Cl A | 7,408 | 439 | ||||||
US Foods Holding Corp * | 5,397 | 199 | ||||||
Walgreens Boots Alliance Inc | 19,341 | 669 | ||||||
Walmart Inc | 38,071 | 5,614 | ||||||
68,778 | ||||||||
Energy — 4.5% | ||||||||
Antero Midstream Corp | 8,900 | 93 | ||||||
Antero Resources Corp * | 7,700 | 178 | ||||||
APA Corp | 8,600 | 310 | ||||||
Baker Hughes Co, Cl A | 25,402 | 733 | ||||||
Cheniere Energy Inc | 6,673 | 1,052 | ||||||
Chesapeake Energy Corp | 3,200 | 243 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Chevron Corp | 51,833 | $ | 8,457 | |||||
ConocoPhillips | 32,804 | 3,254 | ||||||
Coterra Energy Inc | 21,214 | 521 | ||||||
Devon Energy Corp | 17,361 | 879 | ||||||
Diamondback Energy Inc, Cl A | 4,829 | 653 | ||||||
DT Midstream Inc | 2,506 | 124 | ||||||
Enviva Inc | 800 | 23 | ||||||
EOG Resources Inc | 15,682 | 1,798 | ||||||
EQT Corp | 9,767 | 312 | ||||||
Exxon Mobil Corp | 110,447 | 12,112 | ||||||
Halliburton Co | 24,245 | 767 | ||||||
Hess Corp | 7,549 | 999 | ||||||
HF Sinclair Corp | 3,600 | 174 | ||||||
Kinder Morgan Inc | 53,534 | 937 | ||||||
Marathon Oil Corp | 16,892 | 405 | ||||||
Marathon Petroleum Corp | 12,112 | 1,633 | ||||||
New Fortress Energy Inc, Cl A | 1,500 | 44 | ||||||
NOV Inc | 10,400 | 192 | ||||||
Occidental Petroleum Corp | 21,223 | 1,325 | ||||||
ONEOK Inc | 11,961 | 760 | ||||||
Ovintiv Inc | 6,700 | 242 | ||||||
PDC Energy Inc, Cl A | 2,300 | 148 | ||||||
Phillips 66 | 12,462 | 1,263 | ||||||
Pioneer Natural Resources Co | 6,374 | 1,302 | ||||||
Range Resources Corp | 6,200 | 164 | ||||||
Schlumberger NV, Cl A | 37,875 | 1,860 | ||||||
Southwestern Energy Co * | 29,800 | 149 | ||||||
Targa Resources Corp | 6,100 | 445 | ||||||
Texas Pacific Land Corp | 149 | 253 | ||||||
Valero Energy Corp | 10,274 | 1,434 | ||||||
Vitesse Energy Inc | 635 | 12 | ||||||
Williams Cos Inc/The | 32,773 | 979 | ||||||
46,229 | ||||||||
Financials — 13.2% | ||||||||
Affiliated Managers Group Inc | 971 | 138 | ||||||
Affirm Holdings Inc, Cl A * | 6,100 | 69 | ||||||
Aflac Inc | 16,346 | 1,055 | ||||||
AGNC Investment Corp ‡ | 14,928 | 150 | ||||||
Allstate Corp/The | 7,080 | 785 | ||||||
Ally Financial Inc | 7,858 | 200 | ||||||
American Express Co | 15,914 | 2,625 | ||||||
American Financial Group Inc/OH | 1,843 | 224 | ||||||
American International Group Inc | 20,003 | 1,007 | ||||||
Ameriprise Financial Inc | 2,836 | 869 | ||||||
Annaly Capital Management Inc ‡ | 12,593 | 241 | ||||||
Aon PLC, Cl A | 5,447 | 1,717 | ||||||
Apollo Global Management Inc | 13,047 | 824 | ||||||
Arch Capital Group Ltd * | 9,489 | 644 | ||||||
Ares Management Corp, Cl A | 4,100 | 342 | ||||||
Arthur J Gallagher & Co | 5,605 | 1,072 | ||||||
Assurant Inc | 1,400 | 168 | ||||||
Assured Guaranty Ltd | 1,514 | 76 |
16
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Axis Capital Holdings Ltd | 2,023 | $ | 110 | |||||
Bank of America Corp | 188,202 | 5,383 | ||||||
Bank of Hawaii Corp | 1,048 | 55 | ||||||
Bank of New York Mellon Corp/The | 19,785 | 899 | ||||||
Bank OZK | 2,900 | 99 | ||||||
Berkshire Hathaway Inc, Cl B * | 48,320 | 14,920 | ||||||
BlackRock Inc | 3,969 | 2,656 | ||||||
Blackstone Inc, Cl A | 18,999 | 1,669 | ||||||
Block Inc, Cl A * | 14,453 | 992 | ||||||
Blue Owl Capital Inc, Cl A | 10,800 | 120 | ||||||
BOK Financial Corp | 800 | 68 | ||||||
Brighthouse Financial Inc * | 1,900 | 84 | ||||||
Brown & Brown Inc | 6,300 | 362 | ||||||
Capital One Financial Corp | 10,263 | 987 | ||||||
Carlyle Group Inc/The | 5,600 | 174 | ||||||
Cboe Global Markets Inc | 2,800 | 376 | ||||||
Charles Schwab Corp/The | 40,727 | 2,133 | ||||||
Chubb Ltd | 11,110 | 2,157 | ||||||
Cincinnati Financial Corp | 4,100 | 460 | ||||||
Citigroup Inc | 51,880 | 2,433 | ||||||
Citizens Financial Group Inc | 13,059 | 397 | ||||||
CME Group Inc, Cl A | 9,633 | 1,845 | ||||||
CNA Financial Corp | 752 | 29 | ||||||
Coinbase Global Inc, Cl A *(A) | 4,300 | 291 | ||||||
Columbia Banking System Inc | 5,666 | 121 | ||||||
Comerica Inc | 3,453 | 150 | ||||||
Commerce Bancshares Inc/MO | 3,024 | 176 | ||||||
Corebridge Financial Inc | 2,200 | 35 | ||||||
Credit Acceptance Corp, Cl A * | 136 | 59 | ||||||
Cullen/Frost Bankers Inc | 1,614 | 170 | ||||||
Discover Financial Services | 7,171 | 709 | ||||||
East West Bancorp Inc | 3,800 | 211 | ||||||
Equitable Holdings Inc | 9,900 | 251 | ||||||
Erie Indemnity Co, Cl A | 656 | 152 | ||||||
Euronet Worldwide Inc * | 1,300 | 145 | ||||||
Evercore Inc, Cl A | 983 | 113 | ||||||
Everest Re Group Ltd | 1,016 | 364 | ||||||
Eversource Energy | 9,298 | 728 | ||||||
F&G Annuities & Life Inc | 476 | 9 | ||||||
FactSet Research Systems Inc | 985 | 409 | ||||||
Fidelity National Financial Inc | 7,010 | 245 | ||||||
Fidelity National Information Services Inc, Cl B | 15,819 | 859 | ||||||
Fifth Third Bancorp | 18,400 | 490 | ||||||
First American Financial Corp | 2,700 | 150 | ||||||
First Citizens BancShares Inc/NC, Cl A | 319 | 310 | ||||||
First Hawaiian Inc | 3,500 | 72 | ||||||
First Horizon Corp | 14,000 | 249 | ||||||
First Republic Bank/CA *(A) | 4,873 | 68 | ||||||
Fiserv Inc, Cl A * | 15,828 | 1,789 | ||||||
FleetCor Technologies Inc * | 1,911 | 403 | ||||||
FNB Corp/PA | 9,200 | 107 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Franklin Resources Inc | 7,700 | $ | 207 | |||||
Global Payments Inc | 6,977 | 734 | ||||||
Globe Life Inc | 2,401 | 264 | ||||||
Goldman Sachs Group Inc/The | 8,740 | 2,859 | ||||||
Hanover Insurance Group Inc/The, Cl A | 926 | 119 | ||||||
Hartford Financial Services Group Inc/The | 8,559 | 596 | ||||||
Huntington Bancshares Inc/OH | 38,338 | 429 | ||||||
Interactive Brokers Group Inc, Cl A | 2,521 | 208 | ||||||
Intercontinental Exchange Inc | 14,812 | 1,545 | ||||||
Invesco Ltd | 10,062 | 165 | ||||||
Jack Henry & Associates Inc | 1,894 | 285 | ||||||
Janus Henderson Group PLC | 3,600 | 96 | ||||||
Jefferies Financial Group Inc | 5,400 | 171 | ||||||
JPMorgan Chase & Co | 78,145 | 10,183 | ||||||
Kemper Corp, Cl A | 1,755 | 96 | ||||||
KeyCorp | 24,788 | 310 | ||||||
KKR & Co Inc | 15,400 | 809 | ||||||
Lazard Ltd, Cl A | 2,300 | 76 | ||||||
Lincoln National Corp | 4,477 | 101 | ||||||
Loews Corp | 5,289 | 307 | ||||||
LPL Financial Holdings Inc | 2,092 | 423 | ||||||
M&T Bank Corp | 4,577 | 547 | ||||||
Markel Corp * | 350 | 447 | ||||||
MarketAxess Holdings Inc | 975 | 382 | ||||||
Marsh & McLennan Cos Inc | 13,295 | 2,214 | ||||||
Mastercard Inc, Cl A | 22,795 | 8,284 | ||||||
MetLife Inc | 17,815 | 1,032 | ||||||
MGIC Investment Corp | 8,200 | 110 | ||||||
Moody's Corp | 4,256 | 1,302 | ||||||
Morgan Stanley | 33,062 | 2,903 | ||||||
Morningstar Inc, Cl A | 700 | 142 | ||||||
MSCI Inc, Cl A | 2,087 | 1,168 | ||||||
Nasdaq Inc, Cl A | 9,200 | 503 | ||||||
New York Community Bancorp Inc | 17,900 | 162 | ||||||
Northern Trust Corp | 5,550 | 489 | ||||||
Old Republic International Corp | 7,500 | 187 | ||||||
OneMain Holdings Inc, Cl A | 2,981 | 111 | ||||||
PacWest Bancorp (A) | 3,000 | 29 | ||||||
PayPal Holdings Inc * | 30,520 | 2,318 | ||||||
Pinnacle Financial Partners Inc | 2,000 | 110 | ||||||
PNC Financial Services Group Inc/The | 10,756 | 1,367 | ||||||
Popular Inc | 1,900 | 109 | ||||||
Primerica Inc | 981 | 169 | ||||||
Principal Financial Group Inc, Cl A | 6,534 | 486 | ||||||
Progressive Corp/The | 15,607 | 2,233 | ||||||
Prosperity Bancshares Inc | 2,300 | 142 | ||||||
Prudential Financial Inc | 9,862 | 816 | ||||||
Raymond James Financial Inc | 5,205 | 485 | ||||||
Regions Financial Corp | 25,212 | 468 | ||||||
Reinsurance Group of America Inc, Cl A | 1,824 | 242 | ||||||
RenaissanceRe Holdings Ltd | 1,175 | 235 | ||||||
Rithm Capital Corp ‡ | 11,640 | 93 |
SEI Institutional Managed Trust
17
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Large Cap Index Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Robinhood Markets Inc, Cl A * | 14,900 | $ | 145 | |||||
Rocket Cos Inc, Cl A *(A) | 2,800 | 25 | ||||||
Ryan Specialty Holdings Inc, Cl A * | 2,200 | 89 | ||||||
S&P Global Inc | 8,651 | 2,983 | ||||||
SEI Investments Co † | 2,800 | 161 | ||||||
Shift4 Payments Inc, Cl A * | 1,300 | 99 | ||||||
SLM Corp | 6,540 | 81 | ||||||
SoFi Technologies Inc * | 21,300 | 129 | ||||||
Starwood Property Trust Inc ‡ | 7,600 | 134 | ||||||
State Street Corp | 9,309 | 705 | ||||||
Stifel Financial Corp | 2,800 | 165 | ||||||
Synchrony Financial | 11,668 | 339 | ||||||
Synovus Financial Corp | 3,900 | 120 | ||||||
T Rowe Price Group Inc | 5,871 | 663 | ||||||
TFS Financial Corp | 1,417 | 18 | ||||||
Toast Inc, Cl A * | 6,700 | 119 | ||||||
Tradeweb Markets Inc, Cl A | 2,900 | 229 | ||||||
Travelers Cos Inc/The | 6,270 | 1,075 | ||||||
Truist Financial Corp | 35,527 | 1,211 | ||||||
Unum Group | 5,275 | 209 | ||||||
Upstart Holdings Inc *(A) | 2,000 | 32 | ||||||
US Bancorp | 36,980 | 1,333 | ||||||
UWM Holdings Corp (A) | 2,800 | 14 | ||||||
Virtu Financial Inc, Cl A | 2,400 | 45 | ||||||
Visa Inc, Cl A | 43,519 | 9,812 | ||||||
Voya Financial Inc | 2,600 | 186 | ||||||
W R Berkley Corp | 5,550 | 346 | ||||||
Webster Financial Corp | 4,568 | 180 | ||||||
Wells Fargo & Co | 102,715 | 3,840 | ||||||
Western Alliance Bancorp | 2,800 | 100 | ||||||
Western Union Co/The | 10,000 | 112 | ||||||
WEX Inc * | 1,195 | 220 | ||||||
White Mountains Insurance Group Ltd | 79 | 109 | ||||||
Willis Towers Watson PLC | 2,904 | 675 | ||||||
Wintrust Financial Corp | 1,600 | 117 | ||||||
Zions Bancorp NA | 4,000 | 120 | ||||||
134,657 | ||||||||
Health Care — 13.8% | ||||||||
10X Genomics Inc, Cl A * | 2,498 | 139 | ||||||
Abbott Laboratories | 45,933 | 4,651 | ||||||
AbbVie Inc | 47,385 | 7,552 | ||||||
Acadia Healthcare Co Inc, Cl A * | 2,400 | 173 | ||||||
Agilent Technologies Inc | 7,954 | 1,100 | ||||||
agilon health Inc * | 5,070 | 120 | ||||||
Align Technology Inc * | 2,051 | 685 | ||||||
Alnylam Pharmaceuticals Inc * | 3,327 | 666 | ||||||
Amedisys Inc * | 900 | 66 | ||||||
AmerisourceBergen Corp, Cl A | 4,395 | 704 | ||||||
Amgen Inc, Cl A | 14,345 | 3,468 | ||||||
Avantor Inc * | 16,220 | 343 | ||||||
Azenta Inc * | 1,900 | 85 | ||||||
Baxter International Inc | 13,465 | 546 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Becton Dickinson & Co | 7,609 | $ | 1,884 | |||||
Biogen Inc * | 3,859 | 1,073 | ||||||
BioMarin Pharmaceutical Inc * | 4,967 | 483 | ||||||
Bio-Rad Laboratories Inc, Cl A * | 556 | 266 | ||||||
Bio-Techne Corp | 4,196 | 311 | ||||||
Boston Scientific Corp * | 38,238 | 1,913 | ||||||
Bristol-Myers Squibb Co | 57,136 | 3,960 | ||||||
Bruker Corp | 2,900 | 229 | ||||||
Cardinal Health Inc | 6,900 | 521 | ||||||
Catalent Inc * | 4,823 | 317 | ||||||
Centene Corp * | 14,681 | 928 | ||||||
Certara Inc * | 3,100 | 75 | ||||||
Charles River Laboratories International Inc * | 1,303 | 263 | ||||||
Chemed Corp | 392 | 211 | ||||||
Cigna Group/The | 7,850 | 2,006 | ||||||
Cooper Cos Inc/The, Cl A | 1,268 | 473 | ||||||
CVS Health Corp | 34,408 | 2,557 | ||||||
Danaher Corp, Cl A | 17,334 | 4,369 | ||||||
DaVita Inc * | 1,500 | 122 | ||||||
Definitive Healthcare Corp, Cl A * | 600 | 6 | ||||||
DENTSPLY SIRONA Inc | 5,800 | 228 | ||||||
Dexcom Inc * | 10,372 | 1,205 | ||||||
Doximity Inc, Cl A * | 2,900 | 94 | ||||||
Edwards Lifesciences Corp, Cl A * | 16,547 | 1,369 | ||||||
Elanco Animal Health Inc * | 11,877 | 112 | ||||||
Elevance Health Inc | 6,432 | 2,958 | ||||||
Eli Lilly & Co | 22,616 | 7,767 | ||||||
Encompass Health Corp | 2,600 | 141 | ||||||
Enhabit Inc * | 1,300 | 18 | ||||||
Enovis Corp * | 1,366 | 73 | ||||||
Envista Holdings Corp * | 4,300 | 176 | ||||||
Exact Sciences Corp * | 4,700 | 319 | ||||||
Exelixis Inc * | 8,200 | 159 | ||||||
GE HealthCare Technologies Inc | 9,804 | 804 | ||||||
Gilead Sciences Inc | 33,644 | 2,791 | ||||||
Globus Medical Inc, Cl A * | 2,100 | 119 | ||||||
Guardant Health Inc * | 2,609 | 61 | ||||||
HCA Healthcare Inc | 5,804 | 1,530 | ||||||
Henry Schein Inc * | 3,647 | 297 | ||||||
Hologic Inc * | 6,600 | 533 | ||||||
Horizon Therapeutics Plc * | 5,900 | 644 | ||||||
Humana Inc | 3,404 | 1,653 | ||||||
ICU Medical Inc * | 519 | 86 | ||||||
IDEXX Laboratories Inc * | 2,155 | 1,078 | ||||||
Illumina Inc * | 4,228 | 983 | ||||||
Incyte Corp * | 4,843 | 350 | ||||||
Insulet Corp * | 1,819 | 580 | ||||||
Integra LifeSciences Holdings Corp * | 1,900 | 109 | ||||||
Intuitive Surgical Inc * | 9,383 | 2,397 | ||||||
Ionis Pharmaceuticals Inc * | 3,700 | 132 | ||||||
IQVIA Holdings Inc * | 5,005 | 995 |
18
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Jazz Pharmaceuticals PLC * | 1,680 | $ | 246 | |||||
Johnson & Johnson | 70,547 | 10,935 | ||||||
Laboratory Corp of America Holdings | 2,401 | 551 | ||||||
Maravai LifeSciences Holdings Inc, Cl A * | 3,000 | 42 | ||||||
Masimo Corp * | 1,300 | 240 | ||||||
McKesson Corp | 3,642 | 1,297 | ||||||
Medtronic PLC | 35,803 | 2,886 | ||||||
Merck & Co Inc | 67,772 | 7,210 | ||||||
Mettler-Toledo International Inc * | 593 | 907 | ||||||
Mirati Therapeutics Inc * | 1,100 | 41 | ||||||
Moderna Inc * | 8,881 | 1,364 | ||||||
Molina Healthcare Inc * | 1,495 | 400 | ||||||
Natera Inc * | 2,600 | 144 | ||||||
Neurocrine Biosciences Inc * | 2,584 | 262 | ||||||
Novavax Inc *(A) | 2,000 | 14 | ||||||
Novocure Ltd * | 2,775 | 167 | ||||||
Oak Street Health Inc * | 3,200 | 124 | ||||||
Organon & Co | 6,770 | 159 | ||||||
Penumbra Inc * | 900 | 251 | ||||||
PerkinElmer Inc | 3,341 | 445 | ||||||
Perrigo Co PLC | 3,493 | 125 | ||||||
Pfizer Inc | 151,575 | 6,184 | ||||||
Premier Inc, Cl A | 3,200 | 104 | ||||||
QIAGEN NV * | 6,000 | 276 | ||||||
Quest Diagnostics Inc | 3,000 | 424 | ||||||
QuidelOrtho Corp * | 1,300 | 116 | ||||||
Regeneron Pharmaceuticals Inc * | 2,813 | 2,311 | ||||||
Repligen Corp * | 1,450 | 244 | ||||||
ResMed Inc | 3,853 | 844 | ||||||
Royalty Pharma PLC, Cl A | 10,000 | 360 | ||||||
Sarepta Therapeutics Inc * | 2,300 | 317 | ||||||
Seagen Inc * | 3,607 | 730 | ||||||
Sotera Health Co * | 2,700 | 48 | ||||||
STERIS PLC | 2,640 | 505 | ||||||
Stryker Corp | 9,398 | 2,683 | ||||||
Syneos Health Inc, Cl A * | 2,659 | 95 | ||||||
Tandem Diabetes Care Inc * | 1,662 | 68 | ||||||
Teladoc Health Inc * | 4,310 | 112 | ||||||
Teleflex Inc | 1,239 | 314 | ||||||
Tenet Healthcare Corp * | 2,800 | 166 | ||||||
Thermo Fisher Scientific Inc | 10,447 | 6,021 | ||||||
Ultragenyx Pharmaceutical Inc * | 1,700 | 68 | ||||||
United Therapeutics Corp * | 1,172 | 263 | ||||||
UnitedHealth Group Inc | 25,085 | 11,855 | ||||||
Universal Health Services Inc, Cl B | 1,675 | 213 | ||||||
Veeva Systems Inc, Cl A * | 3,768 | 693 | ||||||
Vertex Pharmaceuticals Inc * | 6,796 | 2,141 | ||||||
Viatris Inc, Cl W | 32,830 | 316 | ||||||
Waters Corp * | 1,599 | 495 | ||||||
West Pharmaceutical Services Inc | 1,928 | 668 | ||||||
Zimmer Biomet Holdings Inc | 5,622 | 726 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Zoetis Inc, Cl A | 12,625 | $ | 2,101 | |||||
141,297 | ||||||||
Industrials — 9.4% | ||||||||
3M Co | 14,752 | 1,551 | ||||||
A O Smith Corp | 3,300 | 228 | ||||||
Acuity Brands Inc | 819 | 150 | ||||||
Advanced Drainage Systems Inc | 1,700 | 143 | ||||||
AECOM | 3,500 | 295 | ||||||
AGCO Corp | 1,700 | 230 | ||||||
Air Lease Corp, Cl A | 2,800 | 110 | ||||||
Alaska Air Group Inc * | 3,400 | 143 | ||||||
Allegion plc | 2,350 | 251 | ||||||
Allison Transmission Holdings Inc | 2,500 | 113 | ||||||
American Airlines Group Inc * | 17,072 | 252 | ||||||
AMETEK Inc | 6,183 | 899 | ||||||
Armstrong World Industries Inc | 1,200 | 85 | ||||||
Automatic Data Processing Inc | 11,174 | 2,488 | ||||||
Avis Budget Group Inc * | 700 | 136 | ||||||
Axon Enterprise Inc * | 1,843 | 414 | ||||||
AZEK Co Inc/The, Cl A * | 3,000 | 71 | ||||||
Boeing Co/The * | 14,838 | 3,152 | ||||||
Booz Allen Hamilton Holding Corp, Cl A | 3,540 | 328 | ||||||
Broadridge Financial Solutions Inc | 3,125 | 458 | ||||||
Builders FirstSource Inc * | 3,900 | 346 | ||||||
BWX Technologies Inc, Cl W | 2,500 | 158 | ||||||
CACI International Inc, Cl A * | 592 | 175 | ||||||
Carlisle Cos Inc | 1,324 | 299 | ||||||
Carrier Global Corp | 22,352 | 1,023 | ||||||
Caterpillar Inc, Cl A | 13,967 | 3,196 | ||||||
CH Robinson Worldwide Inc | 3,155 | 313 | ||||||
ChargePoint Holdings Inc *(A) | 6,800 | 71 | ||||||
Cintas Corp | 2,301 | 1,065 | ||||||
Clarivate PLC * | 12,400 | 116 | ||||||
Clean Harbors Inc * | 1,400 | 200 | ||||||
Concentrix Corp | 1,100 | 134 | ||||||
Copa Holdings SA, Cl A | 733 | 68 | ||||||
Copart Inc * | 11,428 | 859 | ||||||
Core & Main Inc, Cl A * | 2,000 | 46 | ||||||
CoStar Group Inc * | 10,900 | 750 | ||||||
Crane NXT Co | 1,300 | 148 | ||||||
CSX Corp | 56,300 | 1,686 | ||||||
Cummins Inc | 3,744 | 894 | ||||||
Curtiss-Wright Corp | 1,000 | 176 | ||||||
Deere & Co | 7,262 | 2,998 | ||||||
Delta Air Lines Inc, Cl A * | 17,221 | 601 | ||||||
Donaldson Co Inc, Cl A | 3,300 | 216 | ||||||
Dover Corp | 3,751 | 570 | ||||||
Driven Brands Holdings Inc * | 1,500 | 45 | ||||||
Dun & Bradstreet Holdings Inc | 6,900 | 81 | ||||||
Eaton Corp PLC | 10,711 | 1,835 | ||||||
Emerson Electric Co | 15,246 | 1,329 | ||||||
Equifax Inc | 3,279 | 665 |
SEI Institutional Managed Trust
19
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Large Cap Index Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Esab Corp | 1,366 | $ | 81 | |||||
Expeditors International of Washington Inc | 4,300 | 473 | ||||||
Fastenal Co, Cl A | 15,487 | 835 | ||||||
FedEx Corp | 6,260 | 1,430 | ||||||
Flowserve Corp | 3,400 | 116 | ||||||
Fortive Corp | 9,559 | 652 | ||||||
Fortune Brands Innovations Inc | 3,461 | 203 | ||||||
FTI Consulting Inc * | 852 | 168 | ||||||
Gates Industrial Corp PLC * | 2,600 | 36 | ||||||
Generac Holdings Inc * | 1,700 | 184 | ||||||
General Dynamics Corp | 6,555 | 1,496 | ||||||
General Electric Co | 29,114 | 2,783 | ||||||
Genpact Ltd | 4,900 | 226 | ||||||
Graco Inc | 4,500 | 329 | ||||||
GXO Logistics Inc * | 2,833 | 143 | ||||||
Hayward Holdings Inc * | 2,000 | 23 | ||||||
HEICO Corp | 1,150 | 197 | ||||||
HEICO Corp, Cl A | 2,100 | 285 | ||||||
Hertz Global Holdings Inc * | 4,900 | 80 | ||||||
Hexcel Corp, Cl A | 2,200 | 150 | ||||||
Honeywell International Inc | 18,051 | 3,450 | ||||||
Howmet Aerospace Inc | 10,000 | 424 | ||||||
Hubbell Inc, Cl B | 1,405 | 342 | ||||||
Huntington Ingalls Industries Inc, Cl A | 1,027 | 213 | ||||||
IDEX Corp | 2,003 | 463 | ||||||
Illinois Tool Works Inc | 8,189 | 1,994 | ||||||
Ingersoll Rand Inc | 10,849 | 631 | ||||||
ITT Inc | 2,248 | 194 | ||||||
Jacobs Solutions Inc | 3,395 | 399 | ||||||
JB Hunt Transport Services Inc | 2,210 | 388 | ||||||
JetBlue Airways Corp * | 8,197 | 60 | ||||||
Johnson Controls International PLC | 18,526 | 1,116 | ||||||
KBR Inc | 3,700 | 204 | ||||||
Kirby Corp * | 1,600 | 111 | ||||||
Knight-Swift Transportation Holdings Inc, Cl A | 4,127 | 233 | ||||||
L3Harris Technologies Inc | 5,097 | 1,000 | ||||||
Landstar System Inc | 992 | 178 | ||||||
Leidos Holdings Inc | 3,700 | 341 | ||||||
Lennox International Inc | 878 | 221 | ||||||
Lincoln Electric Holdings Inc | 1,542 | 261 | ||||||
Lockheed Martin Corp | 6,088 | 2,878 | ||||||
Lyft Inc, Cl A * | 8,300 | 77 | ||||||
ManpowerGroup Inc | 1,388 | 115 | ||||||
Masco Corp | 6,000 | 298 | ||||||
MasTec Inc * | 1,600 | 151 | ||||||
Masterbrand Inc * | 3,461 | 28 | ||||||
MDU Resources Group Inc | 5,300 | 162 | ||||||
Mercury Systems Inc * | 1,300 | 66 | ||||||
Middleby Corp/The * | 1,439 | 211 | ||||||
MSA Safety Inc | 958 | 128 | ||||||
MSC Industrial Direct Co Inc, Cl A | 1,279 | 107 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Nordson Corp | 1,543 | $ | 343 | |||||
Norfolk Southern Corp | 6,115 | 1,296 | ||||||
Northrop Grumman Corp | 3,831 | 1,769 | ||||||
nVent Electric PLC | 4,400 | 189 | ||||||
Old Dominion Freight Line Inc, Cl A | 2,670 | 910 | ||||||
Oshkosh Corp | 1,800 | 150 | ||||||
Otis Worldwide Corp | 11,226 | 947 | ||||||
Owens Corning | 2,460 | 236 | ||||||
PACCAR Inc | 13,782 | 1,009 | ||||||
Parker-Hannifin Corp, Cl A | 3,456 | 1,162 | ||||||
Paychex Inc | 8,690 | 996 | ||||||
Pentair PLC | 4,400 | 243 | ||||||
Plug Power Inc * | 13,800 | 162 | ||||||
Quanta Services Inc | 3,800 | 633 | ||||||
Raytheon Technologies Corp | 39,397 | 3,858 | ||||||
Regal Rexnord Corp | 1,700 | 239 | ||||||
Republic Services Inc | 5,546 | 750 | ||||||
Ritchie Bros Auctioneers Inc | 1,890 | 106 | ||||||
Robert Half International Inc | 2,800 | 226 | ||||||
Rockwell Automation Inc | 3,049 | 895 | ||||||
Rollins Inc | 6,100 | 229 | ||||||
RXO Inc * | 2,733 | 54 | ||||||
Ryder System Inc | 1,300 | 116 | ||||||
Schneider National Inc, Cl B | 1,500 | 40 | ||||||
Science Applications International Corp | 1,500 | 161 | ||||||
Sensata Technologies Holding PLC | 4,100 | 205 | ||||||
SiteOne Landscape Supply Inc * | 1,152 | 158 | ||||||
Snap-on Inc | 1,379 | 340 | ||||||
Southwest Airlines Co, Cl A | 16,044 | 522 | ||||||
Spirit AeroSystems Holdings Inc, Cl A | 2,700 | 93 | ||||||
SS&C Technologies Holdings Inc | 5,900 | 333 | ||||||
Stanley Black & Decker Inc | 3,957 | 319 | ||||||
Stericycle Inc, Cl A * | 2,400 | 105 | ||||||
Sunrun Inc * | 5,409 | 109 | ||||||
Tetra Tech Inc | 1,400 | 206 | ||||||
Textron Inc | 5,638 | 398 | ||||||
Timken Co/The | 1,600 | 131 | ||||||
Toro Co/The | 2,800 | 311 | ||||||
Trane Technologies PLC | 6,120 | 1,126 | ||||||
TransDigm Group Inc * | 1,325 | 977 | ||||||
TransUnion | 5,100 | 317 | ||||||
Trex Co Inc * | 2,900 | 141 | ||||||
Uber Technologies Inc * | 51,429 | 1,630 | ||||||
U-Haul Holding Co * | 237 | 14 | ||||||
U-Haul Holding Co, Cl B | 2,133 | 111 | ||||||
Union Pacific Corp | 16,436 | 3,308 | ||||||
United Airlines Holdings Inc * | 8,773 | 388 | ||||||
United Parcel Service Inc, Cl B | 19,720 | 3,825 | ||||||
United Rentals Inc | 1,888 | 747 | ||||||
Univar Solutions Inc * | 4,200 | 147 | ||||||
Valmont Industries Inc | 559 | 178 | ||||||
Verisk Analytics Inc, Cl A | 4,149 | 796 |
20
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Vertiv Holdings Co, Cl A | 7,900 | $ | 113 | |||||
Waste Management Inc | 10,950 | 1,787 | ||||||
Watsco Inc | 876 | 279 | ||||||
WESCO International Inc | 1,200 | 185 | ||||||
Westinghouse Air Brake Technologies Corp | 4,866 | 492 | ||||||
WillScot Mobile Mini Holdings Corp, Cl A * | 5,500 | 258 | ||||||
Woodward Inc | 1,542 | 150 | ||||||
WW Grainger Inc | 1,211 | 834 | ||||||
XPO Inc * | 2,733 | 87 | ||||||
Xylem Inc/NY | 4,838 | 507 | ||||||
96,240 | ||||||||
Information Technology — 25.1% | ||||||||
Accenture PLC, Cl A | 16,979 | 4,853 | ||||||
Adobe Inc * | 12,203 | 4,703 | ||||||
Advanced Micro Devices Inc * | 43,323 | 4,246 | ||||||
Akamai Technologies Inc * | 4,100 | 321 | ||||||
Allegro MicroSystems Inc * | 1,800 | 86 | ||||||
Alteryx Inc, Cl A * | 1,636 | 96 | ||||||
Amdocs Ltd | 3,200 | 307 | ||||||
Amphenol Corp, Cl A | 15,732 | 1,286 | ||||||
Analog Devices Inc | 13,537 | 2,670 | ||||||
ANSYS Inc * | 2,275 | 757 | ||||||
Apple Inc | 402,711 | 66,407 | ||||||
Applied Materials Inc | 22,597 | 2,776 | ||||||
AppLovin Corp, Cl A * | 6,000 | 94 | ||||||
Arista Networks Inc * | 6,552 | 1,100 | ||||||
Arrow Electronics Inc, Cl A * | 1,531 | 191 | ||||||
Aspen Technology Inc * | 731 | 167 | ||||||
Atlassian Corp Ltd, Cl A * | 3,843 | 658 | ||||||
Autodesk Inc, Cl A * | 5,782 | 1,204 | ||||||
Avnet Inc | 2,500 | 113 | ||||||
Bentley Systems Inc, Cl B | 4,600 | 198 | ||||||
BILL Holdings Inc * | 2,641 | 214 | ||||||
Black Knight Inc * | 4,100 | 236 | ||||||
Broadcom Inc | 10,601 | 6,801 | ||||||
Cadence Design Systems Inc * | 7,302 | 1,534 | ||||||
CCC Intelligent Solutions Holdings Inc * | 4,500 | 40 | ||||||
CDW Corp/DE | 3,645 | 710 | ||||||
Ceridian HCM Holding Inc * | 3,655 | 268 | ||||||
Ciena Corp * | 3,900 | 205 | ||||||
Cirrus Logic Inc * | 1,500 | 164 | ||||||
Cisco Systems Inc | 110,181 | 5,760 | ||||||
Cloudflare Inc, Cl A * | 7,600 | 469 | ||||||
Cognex Corp | 4,700 | 233 | ||||||
Cognizant Technology Solutions Corp, Cl A | 13,761 | 838 | ||||||
Coherent Corp * | 3,085 | 117 | ||||||
Confluent Inc, Cl A * | 3,300 | 79 | ||||||
Corning Inc, Cl B | 19,714 | 695 | ||||||
Crowdstrike Holdings Inc, Cl A * | 5,741 | 788 | ||||||
Datadog Inc, Cl A * | 7,100 | 516 | ||||||
Dell Technologies Inc, Cl C | 6,287 | 253 | ||||||
DocuSign Inc, Cl A * | 5,320 | 310 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Dolby Laboratories Inc, Cl A | 1,653 | $ | 141 | |||||
DoubleVerify Holdings Inc, Cl Rights * | 2,300 | 69 | ||||||
Dropbox Inc, Cl A * | 7,300 | 158 | ||||||
DXC Technology Co * | 6,081 | 155 | ||||||
Dynatrace Inc * | 5,700 | 241 | ||||||
Elastic NV * | 2,000 | 116 | ||||||
Enphase Energy Inc * | 3,540 | 744 | ||||||
Entegris Inc | 4,000 | 328 | ||||||
EPAM Systems Inc * | 1,492 | 446 | ||||||
F5 Inc, Cl A * | 1,581 | 230 | ||||||
Fair Isaac Corp * | 662 | 465 | ||||||
First Solar Inc * | 2,800 | 609 | ||||||
Five9 Inc * | 1,900 | 137 | ||||||
Fortinet Inc * | 17,335 | 1,152 | ||||||
Gartner Inc * | 2,025 | 660 | ||||||
Gen Digital Inc | 14,801 | 254 | ||||||
GLOBALFOUNDRIES Inc *(A) | 1,700 | 123 | ||||||
Globant SA * | 1,053 | 173 | ||||||
GoDaddy Inc, Cl A * | 4,225 | 328 | ||||||
Guidewire Software Inc, Cl Z * | 2,182 | 179 | ||||||
Hewlett Packard Enterprise Co | 34,307 | 547 | ||||||
HP Inc | 26,301 | 772 | ||||||
HubSpot Inc * | 1,271 | 545 | ||||||
Informatica Inc, Cl A * | 900 | 15 | ||||||
Intel Corp | 110,876 | 3,622 | ||||||
International Business Machines Corp | 24,137 | 3,164 | ||||||
Intuit Inc | 7,399 | 3,299 | ||||||
IPG Photonics Corp * | 872 | 108 | ||||||
Jabil Inc | 3,500 | 309 | ||||||
Jamf Holding Corp * | 1,790 | 35 | ||||||
Juniper Networks Inc | 8,500 | 293 | ||||||
Keysight Technologies Inc * | 4,832 | 780 | ||||||
KLA Corp | 3,695 | 1,475 | ||||||
Kyndryl Holdings Inc * | 5,177 | 76 | ||||||
Lam Research Corp | 3,607 | 1,912 | ||||||
Lattice Semiconductor Corp * | 3,600 | 344 | ||||||
Littelfuse Inc | 600 | 161 | ||||||
Lumentum Holdings Inc * | 1,800 | 97 | ||||||
Manhattan Associates Inc * | 1,705 | 264 | ||||||
Marvell Technology Inc | 22,859 | 990 | ||||||
Microchip Technology Inc | 14,250 | 1,194 | ||||||
Micron Technology Inc | 29,073 | 1,754 | ||||||
Microsoft Corp | 200,479 | 57,798 | ||||||
MKS Instruments Inc | 1,500 | 133 | ||||||
MongoDB Inc, Cl A * | 1,764 | 411 | ||||||
Monolithic Power Systems Inc | 1,184 | 593 | ||||||
Motorola Solutions Inc | 4,364 | 1,249 | ||||||
National Instruments Corp | 3,527 | 185 | ||||||
nCino inc * | 1,900 | 47 | ||||||
NCR Corp * | 3,423 | 81 | ||||||
NetApp Inc | 5,800 | 370 | ||||||
New Relic Inc * | 1,400 | 105 |
SEI Institutional Managed Trust
21
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Large Cap Index Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Nutanix Inc, Cl A * | 6,259 | $ | 163 | |||||
NVIDIA Corp | 63,423 | 17,617 | ||||||
Okta Inc, Cl A * | 4,016 | 346 | ||||||
ON Semiconductor Corp * | 11,657 | 960 | ||||||
Oracle Corp, Cl B | 40,993 | 3,809 | ||||||
Palantir Technologies Inc, Cl A * | 49,720 | 420 | ||||||
Palo Alto Networks Inc * | 7,923 | 1,583 | ||||||
Paycom Software Inc * | 1,366 | 415 | ||||||
Paycor HCM Inc * | 1,400 | 37 | ||||||
Paylocity Holding Corp * | 1,035 | 206 | ||||||
Pegasystems Inc | 1,100 | 53 | ||||||
Procore Technologies Inc * | 1,900 | 119 | ||||||
PTC Inc * | 2,865 | 367 | ||||||
Pure Storage Inc, Cl A * | 7,600 | 194 | ||||||
Qorvo Inc * | 2,724 | 277 | ||||||
QUALCOMM Inc | 30,057 | 3,835 | ||||||
RingCentral Inc, Cl A * | 2,155 | 66 | ||||||
Roper Technologies Inc | 2,844 | 1,253 | ||||||
Salesforce Inc * | 25,804 | 5,155 | ||||||
SentinelOne Inc, Cl A * | 5,300 | 87 | ||||||
ServiceNow Inc * | 5,443 | 2,529 | ||||||
Skyworks Solutions Inc | 4,226 | 499 | ||||||
Smartsheet Inc, Cl A * | 3,500 | 167 | ||||||
Snowflake Inc, Cl A * | 8,300 | 1,281 | ||||||
Splunk Inc * | 4,382 | 420 | ||||||
Synopsys Inc * | 4,067 | 1,571 | ||||||
TD SYNNEX Corp | 1,300 | 126 | ||||||
Teledyne Technologies Inc * | 1,194 | 534 | ||||||
Teradata Corp * | 2,697 | 109 | ||||||
Teradyne Inc | 4,254 | 457 | ||||||
Texas Instruments Inc | 24,257 | 4,512 | ||||||
Thoughtworks Holding Inc * | 2,400 | 18 | ||||||
Trimble Inc * | 6,600 | 346 | ||||||
Twilio Inc, Cl A * | 4,758 | 317 | ||||||
Tyler Technologies Inc * | 1,060 | 376 | ||||||
Ubiquiti Inc | 69 | 19 | ||||||
UiPath Inc, Cl A * | 10,000 | 176 | ||||||
Unity Software Inc * | 6,253 | 203 | ||||||
Universal Display Corp | 1,142 | 177 | ||||||
VeriSign Inc * | 2,448 | 517 | ||||||
Viasat Inc * | 1,900 | 64 | ||||||
VMware Inc, Cl A * | 5,675 | 709 | ||||||
Vontier Corp | 4,063 | 111 | ||||||
Western Digital Corp * | 8,492 | 320 | ||||||
Wix.com Ltd * | 1,500 | 150 | ||||||
Wolfspeed Inc * | 3,330 | 216 | ||||||
Workday Inc, Cl A * | 5,339 | 1,103 | ||||||
Zebra Technologies Corp, Cl A * | 1,384 | 440 | ||||||
Zoom Video Communications Inc, Cl A * | 6,600 | 487 | ||||||
Zscaler Inc * | 2,264 | 264 | ||||||
257,079 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Materials — 2.8% | ||||||||
Air Products and Chemicals Inc | 5,885 | $ | 1,690 | |||||
Albemarle Corp | 3,120 | 690 | ||||||
Alcoa Corp | 4,700 | 200 | ||||||
Amcor PLC | 40,100 | 456 | ||||||
AptarGroup Inc | 1,800 | 213 | ||||||
Ardagh Metal Packaging SA | 5,550 | 23 | ||||||
Ashland Inc | 1,400 | 144 | ||||||
Avery Dennison Corp | 2,166 | 387 | ||||||
Axalta Coating Systems Ltd * | 6,000 | 182 | ||||||
Ball Corp | 8,235 | 454 | ||||||
Berry Global Group Inc | 3,177 | 187 | ||||||
Celanese Corp, Cl A | 2,938 | 320 | ||||||
CF Industries Holdings Inc | 5,237 | 380 | ||||||
Chemours Co/The | 3,900 | 117 | ||||||
Cleveland-Cliffs Inc * | 13,800 | 253 | ||||||
Corteva Inc | 19,234 | 1,160 | ||||||
Crown Holdings Inc | 3,100 | 256 | ||||||
Dow Inc | 18,975 | 1,040 | ||||||
DuPont de Nemours Inc | 12,338 | 885 | ||||||
Eagle Materials Inc | 959 | 141 | ||||||
Eastman Chemical Co | 3,232 | 273 | ||||||
Ecolab Inc | 6,588 | 1,090 | ||||||
Element Solutions Inc | 6,100 | 118 | ||||||
FMC Corp | 3,410 | 416 | ||||||
Freeport-McMoRan Inc, Cl B | 38,202 | 1,563 | ||||||
Ginkgo Bioworks Holdings Inc *(A) | 22,000 | 29 | ||||||
Graphic Packaging Holding Co | 8,300 | 211 | ||||||
Huntsman Corp | 4,805 | 131 | ||||||
International Flavors & Fragrances Inc | 6,869 | 632 | ||||||
International Paper Co | 9,591 | 346 | ||||||
Linde PLC | 13,200 | 4,692 | ||||||
Louisiana-Pacific Corp | 1,900 | 103 | ||||||
LyondellBasell Industries NV, Cl A | 6,861 | 644 | ||||||
Martin Marietta Materials Inc, Cl A | 1,616 | 574 | ||||||
Mosaic Co/The | 9,200 | 422 | ||||||
MP Materials Corp * | 2,400 | 68 | ||||||
NewMarket Corp | 182 | 66 | ||||||
Newmont Corp | 21,255 | 1,042 | ||||||
Nucor Corp | 6,841 | 1,057 | ||||||
Olin Corp | 3,200 | 178 | ||||||
Packaging Corp of America | 2,464 | 342 | ||||||
PPG Industries Inc | 6,288 | 840 | ||||||
Reliance Steel & Aluminum Co | 1,529 | 392 | ||||||
Royal Gold Inc, Cl A | 1,747 | 227 | ||||||
RPM International Inc | 3,400 | 297 | ||||||
Scotts Miracle-Gro Co/The, Cl A | 1,077 | 75 | ||||||
Sealed Air Corp | 3,900 | 179 | ||||||
Sherwin-Williams Co/The, Cl A | 6,442 | 1,448 | ||||||
Silgan Holdings Inc | 2,230 | 120 | ||||||
Sonoco Products Co | 2,600 | 159 | ||||||
Southern Copper Corp | 2,300 | 175 |
22
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
SSR Mining Inc | 5,700 | $ | 86 | |||||
Steel Dynamics Inc | 4,449 | 503 | ||||||
United States Steel Corp | 6,200 | 162 | ||||||
Valvoline Inc | 4,800 | 168 | ||||||
Vulcan Materials Co | 3,539 | 607 | ||||||
Westlake Corp | 932 | 108 | ||||||
Westrock Co | 6,700 | 204 | ||||||
28,925 | ||||||||
Real Estate — 2.9% | ||||||||
Alexandria Real Estate Equities Inc ‡ | 4,648 | 584 | ||||||
American Homes 4 Rent, Cl A ‡ | 8,200 | 258 | ||||||
American Tower Corp, Cl A ‡ | 12,384 | 2,531 | ||||||
Americold Realty Trust Inc ‡ | 7,100 | 202 | ||||||
Apartment Income REIT Corp ‡ | 3,965 | 142 | ||||||
AvalonBay Communities Inc ‡ | 3,759 | 632 | ||||||
Boston Properties Inc ‡ | 4,162 | 225 | ||||||
Brixmor Property Group Inc ‡ | 7,900 | 170 | ||||||
Camden Property Trust ‡ | 2,769 | 290 | ||||||
CBRE Group Inc, Cl A * | 8,500 | 619 | ||||||
Cousins Properties Inc ‡ | 4,000 | 86 | ||||||
Crown Castle Inc ‡ | 11,536 | 1,544 | ||||||
CubeSmart ‡ | 6,100 | 282 | ||||||
Digital Realty Trust Inc, Cl A ‡ | 7,673 | 754 | ||||||
Douglas Emmett Inc ‡ | 4,500 | 55 | ||||||
EastGroup Properties Inc ‡ | 1,100 | 182 | ||||||
EPR Properties, Cl A ‡ | 1,900 | 72 | ||||||
Equinix Inc ‡ | 2,512 | 1,811 | ||||||
Equity LifeStyle Properties Inc ‡ | 4,800 | 322 | ||||||
Equity Residential ‡ | 9,883 | 593 | ||||||
Essex Property Trust Inc ‡ | 1,717 | 359 | ||||||
Extra Space Storage Inc ‡ | 3,540 | 577 | ||||||
Federal Realty Investment Trust ‡ | 2,146 | 212 | ||||||
First Industrial Realty Trust Inc ‡ | 3,500 | 186 | ||||||
Gaming and Leisure Properties Inc ‡ | 6,610 | 344 | ||||||
Healthcare Realty Trust Inc, Cl A ‡ | 10,300 | 199 | ||||||
Healthpeak Properties Inc ‡ | 14,370 | 316 | ||||||
Highwoods Properties Inc ‡ | 2,778 | 64 | ||||||
Host Hotels & Resorts Inc ‡ | 18,802 | 310 | ||||||
Howard Hughes Corp/The * | 963 | 77 | ||||||
Hudson Pacific Properties Inc ‡ | 3,800 | 25 | ||||||
Invitation Homes Inc ‡ | 16,300 | 509 | ||||||
Iron Mountain Inc ‡ | 7,800 | 413 | ||||||
JBG SMITH Properties ‡ | 2,800 | 42 | ||||||
Jones Lang LaSalle Inc * | 1,303 | 190 | ||||||
Kilroy Realty Corp ‡ | 3,100 | 100 | ||||||
Kimco Realty Corp ‡ | 16,005 | 313 | ||||||
Lamar Advertising Co, Cl A ‡ | 2,300 | 230 | ||||||
Life Storage Inc ‡ | 2,251 | 295 | ||||||
Medical Properties Trust Inc ‡ | 15,735 | 129 | ||||||
Mid-America Apartment Communities Inc ‡ | 3,100 | 468 | ||||||
National Retail Properties Inc ‡ | 4,700 | 207 | ||||||
National Storage Affiliates Trust ‡ | 2,300 | 96 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Omega Healthcare Investors Inc ‡ | 6,245 | $ | 171 | |||||
Opendoor Technologies Inc * | 12,400 | 22 | ||||||
Park Hotels & Resorts Inc ‡ | 5,800 | 72 | ||||||
Prologis Inc ‡ | 24,712 | 3,083 | ||||||
Public Storage ‡ | 4,156 | 1,256 | ||||||
Rayonier Inc ‡ | 4,000 | 133 | ||||||
Realty Income Corp ‡ | 16,739 | 1,060 | ||||||
Regency Centers Corp ‡ | 4,600 | 281 | ||||||
Rexford Industrial Realty Inc ‡ | 5,300 | 316 | ||||||
SBA Communications Corp, Cl A ‡ | 2,837 | 741 | ||||||
Simon Property Group Inc ‡ | 8,735 | 978 | ||||||
SL Green Realty Corp ‡ | 1,830 | 43 | ||||||
Spirit Realty Capital Inc ‡ | 3,678 | 147 | ||||||
Sun Communities Inc ‡ | 3,283 | 463 | ||||||
UDR Inc ‡ | 8,600 | 353 | ||||||
Ventas Inc ‡ | 10,790 | 468 | ||||||
VICI Properties Inc, Cl A ‡ | 26,994 | 881 | ||||||
Vornado Realty Trust ‡ | 4,600 | 71 | ||||||
Welltower Inc ‡ | 12,700 | 910 | ||||||
WeWork Inc, Cl A * | 3,500 | 3 | ||||||
Weyerhaeuser Co ‡ | 19,797 | 596 | ||||||
WP Carey Inc ‡ | 5,590 | 433 | ||||||
Zillow Group Inc, Cl A * | 1,600 | 70 | ||||||
Zillow Group Inc, Cl C * | 4,200 | 187 | ||||||
29,753 | ||||||||
Utilities — 2.6% | ||||||||
AES Corp/The | 17,800 | 429 | ||||||
Alliant Energy Corp | 6,821 | 364 | ||||||
Ameren Corp | 6,925 | 598 | ||||||
American Electric Power Co Inc | 13,829 | 1,258 | ||||||
American Water Works Co Inc | 5,165 | 757 | ||||||
Atmos Energy Corp | 3,766 | 423 | ||||||
Avangrid Inc | 1,900 | 76 | ||||||
Brookfield Renewable Corp, Cl A | 3,400 | 119 | ||||||
CenterPoint Energy Inc | 16,855 | 497 | ||||||
CMS Energy Corp | 7,710 | 473 | ||||||
Consolidated Edison Inc | 9,479 | 907 | ||||||
Constellation Energy Corp | 8,813 | 692 | ||||||
Dominion Energy Inc | 22,402 | 1,252 | ||||||
DTE Energy Co | 5,213 | 571 | ||||||
Duke Energy Corp | 20,612 | 1,988 | ||||||
Edison International | 10,149 | 716 | ||||||
Entergy Corp | 5,489 | 591 | ||||||
Essential Utilities Inc | 6,300 | 275 | ||||||
Evergy Inc | 5,917 | 362 | ||||||
Exelon Corp | 26,739 | 1,120 | ||||||
FirstEnergy Corp | 14,500 | 581 | ||||||
Hawaiian Electric Industries Inc | 2,800 | 107 | ||||||
IDACORP Inc, Cl A | 1,400 | 152 | ||||||
National Fuel Gas Co | 2,300 | 133 | ||||||
NextEra Energy Inc | 53,255 | 4,105 | ||||||
NiSource Inc | 10,900 | 305 |
SEI Institutional Managed Trust
23
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Large Cap Index Fund (Concluded)
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
NRG Energy Inc | 5,600 | $ | 192 | |||||
OGE Energy Corp | 5,300 | 200 | ||||||
PG&E Corp * | 44,406 | 718 | ||||||
Pinnacle West Capital Corp | 3,000 | 238 | ||||||
PPL Corp | 19,703 | 548 | ||||||
Public Service Enterprise Group Inc | 13,404 | 837 | ||||||
Sempra Energy | 8,431 | 1,274 | ||||||
Southern Co/The | 29,162 | 2,029 | ||||||
UGI Corp | 5,530 | 192 | ||||||
Vistra Corp | 10,469 | 251 | ||||||
WEC Energy Group Inc | 8,484 | 804 | ||||||
Xcel Energy Inc | 14,690 | 991 | ||||||
27,125 | ||||||||
Total Common Stock | ||||||||
(Cost $742,133) ($ Thousands) | 1,014,041 | |||||||
Description | Shares | Market Value | ||||||
AFFILIATED PARTNERSHIP — 0.1% | ||||||||
SEI Liquidity Fund, LP | ||||||||
4.740% **†(B) | 1,126,575 | $ | 1,127 | |||||
Total Affiliated Partnership | ||||||||
(Cost $1,127) ($ Thousands) | 1,127 | |||||||
CASH EQUIVALENT — 0.8% | ||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | ||||||||
4.570%**† | 7,719,179 | 7,719 | ||||||
Total Cash Equivalent | ||||||||
(Cost $7,719) ($ Thousands) | 7,719 | |||||||
Total Investments in Securities — 99.9% | ||||||||
(Cost $750,979) ($ Thousands) | $ | 1,022,887 | ||||||
A list of the open futures contracts held by the Fund at March 31, 2023 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 | 47 | Jun-2023 | $ | 9,359 | $ | 9,724 | $ | 365 | ||||||||||||
S&P Mid Cap 400 Index E-MINI | 3 | Jun-2023 | 741 | 759 | 18 | |||||||||||||||
$ | 10,100 | $ | 10,483 | $ | 383 |
| Percentages are based on Net Assets of $1,023,607 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2023. |
‡ | 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 March 31, 2023 (see Note 12). |
(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 March 31, 2023 was $1,127 ($ Thousands). |
The following is a summary of the level of inputs used as of March 31, 2023, 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 | 1,014,041 | – | – | 1,014,041 | ||||||||||||
Affiliated Partnership | – | 1,127 | – | 1,127 | ||||||||||||
Cash Equivalent | 7,719 | – | – | 7,719 | ||||||||||||
Total Investments in Securities | 1,021,760 | 1,127 | – | 1,022,887 |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 383 | – | – | 383 | ||||||||||||
Total Other Financial Instruments | 383 | – | – | 383 |
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
24
SEI Institutional Managed Trust
The following is a summary of the Fund’s transactions with affiliates for the period ended March 31, 2023 ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 3/31/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Investments Co | $ | 137 | $ | — | $ | — | $ | — | $ | 24 | $ | 161 | $ | 1 | $ | — | ||||||||||||||||
SEI Liquidity Fund, LP | 855 | 3,243 | (2,972 | ) | — | 1 | 1,127 | 46 | — | |||||||||||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | 5,327 | 95,573 | (93,181 | ) | — | — | 7,719 | 151 | — | |||||||||||||||||||||||
Totals | $ | 6,319 | $ | 98,816 | $ | (96,153 | ) | $ | — | $ | 25 | $ | 9,007 | $ | 198 | $ | — |
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
25
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 — 5.4% | ||||||||
Alphabet Inc, Cl A * | 524,280 | $ | 54,383 | |||||
Alphabet Inc, Cl C * | 456,960 | 47,524 | ||||||
AT&T Inc | 448,397 | 8,632 | ||||||
BCE Inc | 199,232 | 8,924 | ||||||
Charter Communications Inc, Cl A * | 12,696 | 4,540 | ||||||
Comcast Corp, Cl A | 240,091 | 9,102 | ||||||
Electronic Arts Inc | 44,812 | 5,398 | ||||||
Meta Platforms Inc, Cl A * | 135,757 | 28,772 | ||||||
Omnicom Group Inc | 70,330 | 6,635 | ||||||
Paramount Global, Cl B | 301,322 | 6,722 | ||||||
TEGNA Inc | 153,973 | 2,604 | ||||||
Verizon Communications Inc | 97,068 | 3,775 | ||||||
Walt Disney Co/The * | 197,217 | 19,747 | ||||||
Warner Bros Discovery Inc * | 82,533 | 1,246 | ||||||
208,004 | ||||||||
Consumer Discretionary — 9.5% | ||||||||
Amazon.com Inc, Cl A * | 368,960 | 38,110 | ||||||
AutoZone Inc * | 16,513 | 40,591 | ||||||
Best Buy Co Inc | 185,088 | 14,487 | ||||||
Booking Holdings Inc * | 2,537 | 6,729 | ||||||
BorgWarner Inc | 89,239 | 4,382 | ||||||
Brinker International Inc * | 141,821 | 5,389 | ||||||
Darden Restaurants Inc | 3,127 | 485 | ||||||
Dick's Sporting Goods Inc | 94,331 | 13,385 | ||||||
Domino's Pizza Inc | 16,892 | 5,572 | ||||||
DR Horton Inc | 16,198 | 1,582 | ||||||
eBay Inc | 127,055 | 5,637 | ||||||
Foot Locker Inc, Cl A | 65,687 | 2,607 | ||||||
Genuine Parts Co | 79,642 | 13,325 | ||||||
Goodyear Tire & Rubber Co/The * | 406,438 | 4,479 | ||||||
Grand Canyon Education Inc * | 9,300 | 1,059 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Harley-Davidson Inc, Cl A | 88,020 | $ | 3,342 | |||||
Home Depot Inc/The | 28,380 | 8,375 | ||||||
Lear Corp | 45,771 | 6,385 | ||||||
Lowe's Cos Inc | 328,236 | 65,637 | ||||||
Magna International Inc, Cl A | 19,822 | 1,062 | ||||||
NIKE Inc, Cl B | 357,743 | 43,874 | ||||||
O'Reilly Automotive Inc * | 1,906 | 1,618 | ||||||
PulteGroup Inc | 251,522 | 14,659 | ||||||
Ross Stores Inc | 102,513 | 10,880 | ||||||
Royal Caribbean Cruises Ltd * | 81,005 | 5,290 | ||||||
Starbucks Corp | 68,046 | 7,086 | ||||||
TJX Cos Inc/The | 374,562 | 29,351 | ||||||
TopBuild Corp * | 31,775 | 6,614 | ||||||
Whirlpool Corp | 59,551 | 7,862 | ||||||
369,854 | ||||||||
Consumer Staples — 9.0% | ||||||||
Altria Group Inc | 257,075 | 11,471 | ||||||
Archer-Daniels-Midland Co | 50,878 | 4,053 | ||||||
Coca-Cola Co/The | 123,765 | 7,677 | ||||||
Conagra Brands Inc | 351,277 | 13,194 | ||||||
Constellation Brands Inc, Cl A | 10,975 | 2,479 | ||||||
Costco Wholesale Corp | 12,956 | 6,437 | ||||||
Diageo PLC ADR | 65,244 | 11,821 | ||||||
Dollar General Corp | 192,477 | 40,509 | ||||||
Estee Lauder Cos Inc/The, Cl A | 35,000 | 8,626 | ||||||
Hershey Co/The | 26,426 | 6,723 | ||||||
Ingredion Inc | 26,094 | 2,654 | ||||||
J M Smucker Co/The | 115,422 | 18,164 | ||||||
Kimberly-Clark Corp | 41,873 | 5,620 | ||||||
Kraft Heinz Co/The | 115,076 | 4,450 | ||||||
Kroger Co/The | 798,798 | 39,437 | ||||||
Lamb Weston Holdings Inc | 16,377 | 1,712 | ||||||
Molson Coors Beverage Co, Cl B | 246,452 | 12,737 | ||||||
Mondelez International Inc, Cl A | 24,475 | 1,706 | ||||||
Monster Beverage Corp * | 27,454 | 1,483 | ||||||
PepsiCo Inc | 208,587 | 38,025 | ||||||
Philip Morris International Inc | 317,871 | 30,913 | ||||||
Procter & Gamble Co/The | 233,806 | 34,765 | ||||||
Sysco Corp, Cl A | 22,279 | 1,721 | ||||||
Target Corp, Cl A | 56,539 | 9,364 | ||||||
Tyson Foods Inc, Cl A | 253,116 | 15,015 | ||||||
Unilever PLC ADR | 162,720 | 8,450 | ||||||
Walgreens Boots Alliance Inc | 99,700 | 3,448 | ||||||
Walmart Inc | 43,983 | 6,485 | ||||||
349,139 | ||||||||
Energy — 4.4% | ||||||||
Canadian Natural Resources Ltd | 293,668 | 16,255 | ||||||
Chevron Corp | 212,408 | 34,656 | ||||||
ConocoPhillips | 204,582 | 20,297 | ||||||
Devon Energy Corp | 457,139 | 23,136 | ||||||
Exxon Mobil Corp | 129,439 | 14,194 |
26
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
HF Sinclair Corp | 40,846 | $ | 1,976 | |||||
Marathon Petroleum Corp | 154,884 | 20,883 | ||||||
Phillips 66 | 109,951 | 11,147 | ||||||
Shell PLC ADR | 66,816 | 3,845 | ||||||
Valero Energy Corp | 173,346 | 24,199 | ||||||
170,588 | ||||||||
Financials — 17.0% | ||||||||
Aflac Inc | 136,144 | 8,784 | ||||||
Allstate Corp/The | 49,660 | 5,503 | ||||||
American Financial Group Inc/OH | 11,100 | 1,349 | ||||||
Ameriprise Financial Inc | 82,444 | 25,269 | ||||||
Assurant Inc | 33,412 | 4,012 | ||||||
Assured Guaranty Ltd | 31,872 | 1,602 | ||||||
Bank of America Corp | 1,439,653 | 41,174 | ||||||
Berkshire Hathaway Inc, Cl B * | 93,247 | 28,792 | ||||||
Capital One Financial Corp | 43,778 | 4,210 | ||||||
Charles Schwab Corp/The | 172,552 | 9,038 | ||||||
Citigroup Inc | 167,922 | 7,874 | ||||||
Citizens Financial Group Inc | 31,397 | 953 | ||||||
CME Group Inc, Cl A | 77,815 | 14,903 | ||||||
Comerica Inc | 75,804 | 3,291 | ||||||
Discover Financial Services | 126,480 | 12,501 | ||||||
Everest Re Group Ltd | 38,172 | 13,666 | ||||||
FactSet Research Systems Inc | 11,209 | 4,653 | ||||||
Fifth Third Bancorp | 501,389 | 13,357 | ||||||
Goldman Sachs Group Inc/The | 21,644 | 7,080 | ||||||
Hartford Financial Services Group Inc/The | 66,936 | 4,665 | ||||||
Intercontinental Exchange Inc | 58,438 | 6,094 | ||||||
JPMorgan Chase & Co | 444,568 | 57,932 | ||||||
KeyCorp | 778,006 | 9,741 | ||||||
KKR & Co Inc | 76,949 | 4,041 | ||||||
Lincoln National Corp | 21,062 | 473 | ||||||
Markel Corp * | 11,113 | 14,196 | ||||||
Marsh & McLennan Cos Inc | 138,328 | 23,039 | ||||||
Mastercard Inc, Cl A | 168,189 | 61,122 | ||||||
Moody's Corp | 229,512 | 70,235 | ||||||
Morgan Stanley | 311,935 | 27,388 | ||||||
MSCI Inc, Cl A | 64,006 | 35,823 | ||||||
Navient Corp | 263,511 | 4,214 | ||||||
PNC Financial Services Group Inc/The | 36,433 | 4,631 | ||||||
Popular Inc | 103,116 | 5,920 | ||||||
Progressive Corp/The | 23,730 | 3,395 | ||||||
Prudential Financial Inc | 17,700 | 1,464 | ||||||
Regions Financial Corp | 599,114 | 11,120 | ||||||
S&P Global Inc | 17,358 | 5,984 | ||||||
Travelers Cos Inc/The | 119,703 | 20,518 | ||||||
Truist Financial Corp | 32,333 | 1,103 | ||||||
US Bancorp | 41,704 | 1,503 | ||||||
Visa Inc, Cl A | 275,684 | 62,156 | ||||||
Voya Financial Inc | 156,840 | 11,208 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Wells Fargo & Co | 92,870 | $ | 3,471 | |||||
659,447 | ||||||||
Health Care — 14.9% | ||||||||
Abbott Laboratories | 84,496 | 8,556 | ||||||
AbbVie Inc | 92,048 | 14,670 | ||||||
AmerisourceBergen Corp, Cl A | 137,635 | 22,037 | ||||||
Amgen Inc, Cl A | 144,595 | 34,956 | ||||||
AstraZeneca PLC ADR | 99,185 | 6,884 | ||||||
Becton Dickinson & Co | 113,758 | 28,160 | ||||||
Biogen Inc * | 23,794 | 6,615 | ||||||
Bristol-Myers Squibb Co | 192,866 | 13,367 | ||||||
Cardinal Health Inc | 36,074 | 2,724 | ||||||
Centene Corp * | 19,739 | 1,248 | ||||||
Cigna Group/The | 27,340 | 6,986 | ||||||
CVS Health Corp | 379,134 | 28,173 | ||||||
Edwards Lifesciences Corp, Cl A * | 61,914 | 5,122 | ||||||
Elevance Health Inc | 10,844 | 4,986 | ||||||
Eli Lilly & Co | 17,885 | 6,142 | ||||||
Gilead Sciences Inc | 120,443 | 9,993 | ||||||
HCA Healthcare Inc | 109,165 | 28,785 | ||||||
Horizon Therapeutics Plc * | 70,709 | 7,717 | ||||||
Humana Inc | 11,818 | 5,737 | ||||||
IDEXX Laboratories Inc * | 13,235 | 6,618 | ||||||
Intuitive Surgical Inc * | 21,300 | 5,441 | ||||||
Johnson & Johnson | 532,816 | 82,586 | ||||||
McKesson Corp | 12,923 | 4,601 | ||||||
Medtronic PLC | 65,252 | 5,261 | ||||||
Merck & Co Inc | 563,613 | 59,963 | ||||||
Mettler-Toledo International Inc * | 28,371 | 43,414 | ||||||
Novartis AG ADR | 32,225 | 2,965 | ||||||
Novo Nordisk A/S ADR | 42,109 | 6,701 | ||||||
Organon & Co | 26,217 | 617 | ||||||
Perrigo Co PLC | 48,381 | 1,735 | ||||||
Pfizer Inc | 727,201 | 29,670 | ||||||
Syneos Health Inc, Cl A * | 32,178 | 1,146 | ||||||
United Therapeutics Corp * | 22,931 | 5,136 | ||||||
UnitedHealth Group Inc | 158,185 | 74,757 | ||||||
Veeva Systems Inc, Cl A * | 4,706 | 865 | ||||||
Vertex Pharmaceuticals Inc * | 2,576 | 812 | ||||||
Zoetis Inc, Cl A | 38,042 | 6,332 | ||||||
581,478 | ||||||||
Industrials — 9.9% | ||||||||
AerCap Holdings NV * | 20,386 | 1,146 | ||||||
AGCO Corp | 52,600 | 7,112 | ||||||
Alaska Air Group Inc * | 317,367 | 13,317 | ||||||
Carlisle Cos Inc | 6,137 | 1,387 | ||||||
Carrier Global Corp | 357,041 | 16,335 | ||||||
Caterpillar Inc, Cl A | 25,261 | 5,781 | ||||||
Chart Industries Inc * | 29,522 | 3,702 | ||||||
Cummins Inc | 8,214 | 1,962 | ||||||
Deere & Co | 14,637 | 6,043 |
SEI Institutional Managed Trust
27
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Tax-Managed Large Cap Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Delta Air Lines Inc, Cl A * | 128,832 | $ | 4,499 | |||||
Eaton Corp PLC | 36,716 | 6,291 | ||||||
Expeditors International of Washington Inc | 28,492 | 3,138 | ||||||
FedEx Corp | 20,626 | 4,713 | ||||||
Fortive Corp | 67,655 | 4,612 | ||||||
Graco Inc | 542,313 | 39,594 | ||||||
GXO Logistics Inc * | 266,043 | 13,425 | ||||||
Honeywell International Inc | 44,277 | 8,462 | ||||||
Huntington Ingalls Industries Inc, Cl A | 41,706 | 8,634 | ||||||
Illinois Tool Works Inc | 47,481 | 11,559 | ||||||
Johnson Controls International PLC | 490,100 | 29,514 | ||||||
L3Harris Technologies Inc | 25,220 | 4,949 | ||||||
Lockheed Martin Corp | 15,688 | 7,416 | ||||||
ManpowerGroup Inc | 18,167 | 1,499 | ||||||
Middleby Corp/The * | 100,000 | 14,661 | ||||||
Northrop Grumman Corp | 13,751 | 6,349 | ||||||
Oshkosh Corp | 61,954 | 5,153 | ||||||
PACCAR Inc | 64,500 | 4,721 | ||||||
Raytheon Technologies Corp | 247,761 | 24,263 | ||||||
Robert Half International Inc | 25,692 | 2,070 | ||||||
Siemens AG ADR | 170,436 | 13,797 | ||||||
Southwest Airlines Co, Cl A | 86,460 | 2,813 | ||||||
SPX Technologies Inc * | 89,103 | 6,289 | ||||||
Textron Inc | 190,528 | 13,457 | ||||||
Timken Co/The | 112,333 | 9,180 | ||||||
TransDigm Group Inc * | 26,934 | 19,852 | ||||||
United Parcel Service Inc, Cl B | 57,341 | 11,124 | ||||||
Waste Management Inc | 18,232 | 2,975 | ||||||
WW Grainger Inc | 64,211 | 44,229 | ||||||
386,023 | ||||||||
Information Technology — 20.7% | ||||||||
Adobe Inc * | 132,912 | 51,220 | ||||||
Amphenol Corp, Cl A | 104,624 | 8,550 | ||||||
Analog Devices Inc | 101,656 | 20,049 | ||||||
Apple Inc | 800,024 | 131,924 | ||||||
Applied Materials Inc | 148,944 | 18,295 | ||||||
Arista Networks Inc * | 90,886 | 15,256 | ||||||
ASML Holding NV, Cl G | 9,863 | 6,714 | ||||||
Broadcom Inc | 17,576 | 11,276 | ||||||
Cadence Design Systems Inc * | 10,238 | 2,151 | ||||||
Cirrus Logic Inc * | 23,057 | 2,522 | ||||||
Cisco Systems Inc | 488,328 | 25,527 | ||||||
Cognizant Technology Solutions Corp, Cl A | 8,912 | 543 | ||||||
Corning Inc, Cl B | 177,573 | 6,265 | ||||||
Dropbox Inc, Cl A * | 324,078 | 7,006 | ||||||
Fair Isaac Corp * | 2,421 | 1,701 | ||||||
Hewlett Packard Enterprise Co | 307,307 | 4,895 | ||||||
HP Inc | 480,394 | 14,099 | ||||||
Intel Corp | 398,465 | 13,018 | ||||||
International Business Machines Corp | 6,932 | 909 | ||||||
Intuit Inc | 127,317 | 56,762 | ||||||
Juniper Networks Inc | 88,843 | 3,058 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Keysight Technologies Inc * | 96,705 | $ | 15,616 | |||||
Lam Research Corp | 10,701 | 5,673 | ||||||
Marvell Technology Inc | 74,923 | 3,244 | ||||||
Microchip Technology Inc | 554,907 | 46,490 | ||||||
Micron Technology Inc | 156,515 | 9,444 | ||||||
Microsoft Corp | 486,353 | 140,216 | ||||||
Motorola Solutions Inc | 22,111 | 6,327 | ||||||
NetApp Inc | 45,929 | 2,933 | ||||||
Oracle Corp, Cl B | 453,993 | 42,185 | ||||||
Qorvo Inc * | 19,308 | 1,961 | ||||||
QUALCOMM Inc | 67,431 | 8,603 | ||||||
Roper Technologies Inc | 56,426 | 24,866 | ||||||
Salesforce Inc * | 55,295 | 11,047 | ||||||
SAP SE ADR (A) | 178,714 | 22,616 | ||||||
Seagate Technology Holdings PLC | 112,151 | 7,415 | ||||||
ServiceNow Inc * | 12,293 | 5,713 | ||||||
Texas Instruments Inc | 44,297 | 8,240 | ||||||
VeriSign Inc * | 91,384 | 19,312 | ||||||
Vishay Intertechnology Inc | 666,583 | 15,078 | ||||||
VMware Inc, Cl A * | 21,032 | 2,626 | ||||||
Western Digital Corp * | 33,750 | 1,271 | ||||||
Xerox Holdings Corp | 197,397 | 3,040 | ||||||
805,656 | ||||||||
Materials — 5.2% | ||||||||
Air Products and Chemicals Inc | 67,837 | 19,484 | ||||||
Cabot Corp | 81,410 | 6,239 | ||||||
Celanese Corp, Cl A | 28,298 | 3,081 | ||||||
Corteva Inc | 64,004 | 3,860 | ||||||
Dow Inc | 162,912 | 8,931 | ||||||
DuPont de Nemours Inc | 43,599 | 3,129 | ||||||
Eastman Chemical Co | 139,435 | 11,760 | ||||||
Ecolab Inc | 37,520 | 6,211 | ||||||
Huntsman Corp | 531,983 | 14,555 | ||||||
Ingevity Corp * | 14,131 | 1,011 | ||||||
International Paper Co | 76,269 | 2,750 | ||||||
Linde PLC | 123,959 | 44,060 | ||||||
LyondellBasell Industries NV, Cl A | 74,826 | 7,025 | ||||||
O-I Glass Inc, Cl I * | 451,358 | 10,250 | ||||||
Reliance Steel & Aluminum Co | 11,055 | 2,838 | ||||||
Sherwin-Williams Co/The, Cl A | 170,648 | 38,357 | ||||||
Steel Dynamics Inc | 152,103 | 17,197 | ||||||
Sylvamo Corp | 12,276 | 568 | ||||||
Westrock Co | 27,405 | 835 | ||||||
202,141 | ||||||||
Real Estate — 1.5% | ||||||||
American Tower Corp, Cl A ‡ | 101,757 | 20,793 | ||||||
Brandywine Realty Trust ‡ | 24,300 | 115 | ||||||
CBRE Group Inc, Cl A * | 41,173 | 2,998 | ||||||
Crown Castle Inc ‡ | 34,157 | 4,571 | ||||||
Equinix Inc ‡ | 1,986 | 1,432 | ||||||
Gaming and Leisure Properties Inc ‡ | 53,447 | 2,782 |
28
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Healthpeak Properties Inc ‡ | 428,561 | $ | 9,415 | |||||
Invitation Homes Inc ‡ | 28,203 | 881 | ||||||
Public Storage ‡ | 4,106 | 1,241 | ||||||
SBA Communications Corp, Cl A ‡ | 18,373 | 4,797 | ||||||
Service Properties Trust ‡ | 574,963 | 5,727 | ||||||
Welltower Inc ‡ | 70,223 | 5,034 | ||||||
59,786 | ||||||||
Utilities — 1.9% | ||||||||
Ameren Corp | 64,109 | 5,538 | ||||||
American Electric Power Co Inc | 57,553 | 5,237 | ||||||
CenterPoint Energy Inc | 66,863 | 1,970 | ||||||
Constellation Energy Corp | 59,660 | 4,683 | ||||||
Duke Energy Corp | 266,163 | 25,677 | ||||||
Edison International | 97,576 | 6,888 | ||||||
Exelon Corp | 132,096 | 5,533 | ||||||
FirstEnergy Corp | 57,608 | 2,308 | ||||||
NextEra Energy Inc | 192,725 | 14,855 | ||||||
UGI Corp | 29,973 | 1,042 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Vistra Corp | 40,284 | $ | 967 | |||||
74,698 | ||||||||
Total Common Stock | ||||||||
(Cost $1,336,771) ($ Thousands) | 3,866,814 | |||||||
AFFILIATED PARTNERSHIP — 0.4% | ||||||||
SEI Liquidity Fund, LP | ||||||||
4.740% **†(B) | 17,169,108 | 17,173 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $17,173) ($ Thousands) | 17,173 | |||||||
CASH EQUIVALENT — 0.6% | ||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | ||||||||
4.570%**† | 22,772,979 | 22,773 | ||||||
Total Cash Equivalent | ||||||||
(Cost $22,773) ($ Thousands) | 22,773 | |||||||
Total Investments in Securities — 100.4% | ||||||||
(Cost $1,376,717) ($ Thousands) | $ | 3,906,760 | ||||||
A list of the open futures contracts held by the Fund at March 31, 2023 is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 Index E-MINI | 38 | Jun-2023 | $ | 7,401 | $ | 7,862 | $ | 461 | ||||||||||||
S&P Mid Cap 400 Index E-MINI | 3 | Jun-2023 | 732 | 759 | 27 | |||||||||||||||
$ | 8,133 | $ | 8,621 | $ | 488 |
| Percentages are based on Net Assets of $3,891,052 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2023. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2023 (see Note 12). |
(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 March 31, 2023 was $17,173 ($ Thousands). |
The following is a summary of the level of inputs used as of March 31, 2023, 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 | 3,866,814 | – | – | 3,866,814 | ||||||||||||
Affiliated Partnership | – | 17,173 | – | 17,173 | ||||||||||||
Cash Equivalent | 22,773 | – | – | 22,773 | ||||||||||||
Total Investments in Securities | 3,889,587 | 17,173 | – | 3,906,760 |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 488 | – | – | 488 | ||||||||||||
Total Other Financial Instruments | 488 | – | – | 488 |
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
SEI Institutional Managed Trust
29
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Tax-Managed Large Cap Fund (Concluded)
The following is a summary of the Fund’s transactions with affiliates for the period ended March 31, 2023 ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 3/31/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 28,547 | $ | 62,158 | $ | (73,534 | ) | $ | — | $ | 2 | $ | 17,173 | $ | 16 | $ | 1 | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | 21,654 | 347,176 | (346,057 | ) | — | — | 22,773 | 367 | — | |||||||||||||||||||||||
Totals | $ | 50,201 | $ | 409,334 | $ | (419,591 | ) | $ | — | $ | 2 | $ | 39,946 | $ | 383 | $ | 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.
30
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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†† — 99.4% | ||||||||
Communication Services — 8.1% | ||||||||
Activision Blizzard Inc * | 16,752 | $ | 1,434 | |||||
Alphabet Inc, Cl A * | 139,790 | 14,500 | ||||||
Alphabet Inc, Cl C * | 121,835 | 12,671 | ||||||
AT&T Inc | 167,517 | 3,225 | ||||||
Charter Communications Inc, Cl A * | 2,432 | 870 | ||||||
Comcast Corp, Cl A | 98,755 | 3,744 | ||||||
DISH Network Corp, Cl A * | 6,238 | 58 | ||||||
Electronic Arts Inc | 6,078 | 732 | ||||||
Fox Corp, Cl A | 6,886 | 235 | ||||||
Fox Corp, Cl B | 3,381 | 106 | ||||||
Interpublic Group of Cos Inc/The | 9,101 | 339 | ||||||
Live Nation Entertainment Inc * | 3,400 | 238 | ||||||
Match Group Inc * | 6,500 | 250 | ||||||
Meta Platforms Inc, Cl A * | 52,285 | 11,081 | ||||||
Netflix Inc * | 10,465 | 3,615 | ||||||
News Corp, Cl A | 8,975 | 155 | ||||||
News Corp, Cl B | 3,000 | 52 | ||||||
Omnicom Group Inc | 4,804 | 453 | ||||||
Paramount Global, Cl B | 11,817 | 264 | ||||||
Take-Two Interactive Software Inc, Cl A * | 3,700 | 441 | ||||||
T-Mobile US Inc * | 13,900 | 2,013 | ||||||
Verizon Communications Inc | 98,713 | 3,839 | ||||||
Walt Disney Co/The * | 42,924 | 4,298 | ||||||
Warner Bros Discovery Inc * | 51,974 | 785 | ||||||
65,398 | ||||||||
Consumer Discretionary — 10.1% | ||||||||
Advance Auto Parts Inc | 1,400 | 170 | ||||||
Amazon.com Inc, Cl A * | 209,265 | 21,615 | ||||||
Aptiv PLC * | 6,370 | 715 | ||||||
AutoZone Inc * | 446 | 1,096 | ||||||
Bath & Body Works Inc | 5,427 | 199 | ||||||
Best Buy Co Inc | 4,654 | 364 | ||||||
Booking Holdings Inc * | 914 | 2,424 | ||||||
BorgWarner Inc | 5,553 | 273 | ||||||
Caesars Entertainment Inc * | 5,000 | 244 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
CarMax Inc * | 3,700 | $ | 238 | |||||
Carnival Corp * | 23,784 | 241 | ||||||
Chipotle Mexican Grill Inc, Cl A * | 662 | 1,131 | ||||||
Darden Restaurants Inc | 2,818 | 437 | ||||||
Domino's Pizza Inc | 795 | 262 | ||||||
DR Horton Inc | 7,358 | 719 | ||||||
eBay Inc | 12,849 | 570 | ||||||
Etsy Inc * | 2,900 | 323 | ||||||
Expedia Group Inc * | 3,455 | 335 | ||||||
Ford Motor Co | 91,870 | 1,158 | ||||||
Garmin Ltd * | 3,571 | 360 | ||||||
General Motors Co | 32,747 | 1,201 | ||||||
Genuine Parts Co | 3,296 | 551 | ||||||
Hasbro Inc | 3,096 | 166 | ||||||
Hilton Worldwide Holdings Inc | 6,200 | 873 | ||||||
Home Depot Inc/The | 23,963 | 7,072 | ||||||
Las Vegas Sands Corp * | 7,800 | 448 | ||||||
Lennar Corp, Cl A | 5,974 | 628 | ||||||
LKQ Corp | 6,000 | 341 | ||||||
Lowe's Cos Inc | 14,206 | 2,841 | ||||||
Marriott International Inc/MD, Cl A | 6,324 | 1,050 | ||||||
McDonald's Corp | 17,154 | 4,796 | ||||||
MGM Resorts International * | 7,400 | 329 | ||||||
Mohawk Industries Inc * | 1,200 | 120 | ||||||
Newell Brands Inc, Cl B | 8,855 | 110 | ||||||
NIKE Inc, Cl B | 29,276 | 3,590 | ||||||
Norwegian Cruise Line Holdings Ltd * | 10,200 | 137 | ||||||
NVR Inc * | 68 | 379 | ||||||
O'Reilly Automotive Inc * | 1,477 | 1,254 | ||||||
Pool Corp | 922 | 316 | ||||||
PulteGroup Inc | 5,299 | 309 | ||||||
Ralph Lauren Corp, Cl A | 1,005 | 117 | ||||||
Ross Stores Inc | 8,119 | 862 | ||||||
Royal Caribbean Cruises Ltd * | 5,200 | 340 | ||||||
Starbucks Corp | 27,004 | 2,812 | ||||||
Tapestry Inc | 5,519 | 238 | ||||||
Tesla Inc * | 63,139 | 13,099 | ||||||
TJX Cos Inc/The | 27,086 | 2,123 | ||||||
Tractor Supply Co | 2,580 | 606 | ||||||
Ulta Beauty Inc * | 1,197 | 653 | ||||||
VF Corp | 7,965 | 183 | ||||||
Whirlpool Corp | 1,312 | 173 | ||||||
Wynn Resorts Ltd * | 2,429 | 272 | ||||||
Yum! Brands Inc | 6,570 | 868 | ||||||
81,731 | ||||||||
Consumer Staples — 7.2% | ||||||||
Altria Group Inc | 41,873 | 1,868 | ||||||
Archer-Daniels-Midland Co | 12,818 | 1,021 | ||||||
Brown-Forman Corp, Cl B | 4,365 | 281 | ||||||
Bunge Ltd | 3,500 | 334 | ||||||
Campbell Soup Co | 4,784 | 263 | ||||||
Church & Dwight Co Inc | 5,776 | 511 |
SEI Institutional Managed Trust
31
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
S&P 500 Index Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Clorox Co/The | 2,902 | $ | 459 | |||||
Coca-Cola Co/The | 91,348 | 5,666 | ||||||
Colgate-Palmolive Co | 19,595 | 1,473 | ||||||
Conagra Brands Inc | 11,165 | 419 | ||||||
Constellation Brands Inc, Cl A | 3,807 | 860 | ||||||
Costco Wholesale Corp | 10,419 | 5,177 | ||||||
Dollar General Corp | 5,281 | 1,111 | ||||||
Dollar Tree Inc * | 4,854 | 697 | ||||||
Estee Lauder Cos Inc/The, Cl A | 5,450 | 1,343 | ||||||
General Mills Inc | 13,786 | 1,178 | ||||||
Hershey Co/The | 3,412 | 868 | ||||||
Hormel Foods Corp | 6,908 | 276 | ||||||
J M Smucker Co/The | 2,453 | 386 | ||||||
Kellogg Co | 6,067 | 406 | ||||||
Keurig Dr Pepper Inc | 20,000 | 706 | ||||||
Kimberly-Clark Corp | 7,903 | 1,061 | ||||||
Kraft Heinz Co/The | 18,808 | 727 | ||||||
Kroger Co/The | 15,336 | 757 | ||||||
Lamb Weston Holdings Inc | 3,400 | 355 | ||||||
McCormick & Co Inc/MD | 5,932 | 494 | ||||||
Molson Coors Beverage Co, Cl B | 4,451 | 230 | ||||||
Mondelez International Inc, Cl A | 32,020 | 2,232 | ||||||
Monster Beverage Corp * | 17,908 | 967 | ||||||
PepsiCo Inc | 32,279 | 5,885 | ||||||
Philip Morris International Inc | 36,427 | 3,543 | ||||||
Procter & Gamble Co/The | 55,372 | 8,233 | ||||||
Sysco Corp, Cl A | 11,920 | 921 | ||||||
Target Corp, Cl A | 10,828 | 1,793 | ||||||
Tyson Foods Inc, Cl A | 6,703 | 398 | ||||||
Walgreens Boots Alliance Inc | 16,857 | 583 | ||||||
Walmart Inc | 32,873 | 4,847 | ||||||
58,329 | ||||||||
Energy — 4.6% | ||||||||
APA Corp | 7,531 | 272 | ||||||
Baker Hughes Co, Cl A | 23,649 | 682 | ||||||
Chevron Corp | 41,741 | 6,810 | ||||||
ConocoPhillips | 28,708 | 2,848 | ||||||
Coterra Energy Inc | 18,613 | 457 | ||||||
Devon Energy Corp | 15,413 | 780 | ||||||
Diamondback Energy Inc, Cl A | 4,351 | 588 | ||||||
EOG Resources Inc | 13,807 | 1,583 | ||||||
EQT Corp | 8,700 | 278 | ||||||
Exxon Mobil Corp | 96,621 | 10,595 | ||||||
Halliburton Co | 21,142 | 669 | ||||||
Hess Corp | 6,475 | 857 | ||||||
Kinder Morgan Inc | 46,682 | 817 | ||||||
Marathon Oil Corp | 14,856 | 356 | ||||||
Marathon Petroleum Corp | 10,658 | 1,437 | ||||||
Occidental Petroleum Corp | 17,062 | 1,065 | ||||||
ONEOK Inc | 10,509 | 668 | ||||||
Phillips 66 | 10,887 | 1,104 | ||||||
Pioneer Natural Resources Co | 5,566 | 1,137 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Schlumberger NV, Cl A | 33,400 | $ | 1,640 | |||||
Targa Resources Corp | 5,300 | 387 | ||||||
Valero Energy Corp | 9,010 | 1,258 | ||||||
Williams Cos Inc/The | 28,569 | 853 | ||||||
37,141 | ||||||||
Financials — 12.9% | ||||||||
Aflac Inc | 13,134 | 847 | ||||||
Allstate Corp/The | 6,159 | 682 | ||||||
American Express Co | 13,995 | 2,308 | ||||||
American International Group Inc | 17,535 | 883 | ||||||
Ameriprise Financial Inc | 2,481 | 760 | ||||||
Aon PLC, Cl A | 4,801 | 1,514 | ||||||
Arch Capital Group Ltd * | 8,700 | 590 | ||||||
Arthur J Gallagher & Co | 4,949 | 947 | ||||||
Assurant Inc | 1,205 | 145 | ||||||
Bank of America Corp | 163,909 | 4,688 | ||||||
Bank of New York Mellon Corp/The | 17,299 | 786 | ||||||
Berkshire Hathaway Inc, Cl B * | 42,247 | 13,045 | ||||||
BlackRock Inc | 3,469 | 2,321 | ||||||
Brown & Brown Inc | 5,600 | 322 | ||||||
Capital One Financial Corp | 8,949 | 861 | ||||||
Cboe Global Markets Inc | 2,500 | 336 | ||||||
Charles Schwab Corp/The | 35,770 | 1,874 | ||||||
Chubb Ltd | 9,701 | 1,884 | ||||||
Cincinnati Financial Corp | 3,683 | 413 | ||||||
Citigroup Inc | 45,398 | 2,129 | ||||||
Citizens Financial Group Inc | 11,600 | 352 | ||||||
CME Group Inc, Cl A | 8,412 | 1,611 | ||||||
Comerica Inc | 3,092 | 134 | ||||||
Discover Financial Services | 6,230 | 616 | ||||||
Everest Re Group Ltd | 937 | 335 | ||||||
Eversource Energy | 8,235 | 644 | ||||||
FactSet Research Systems Inc | 900 | 374 | ||||||
Fidelity National Information Services Inc, Cl B | 13,965 | 759 | ||||||
Fifth Third Bancorp | 16,011 | 427 | ||||||
First Republic Bank/CA *(A) | 4,259 | 60 | ||||||
Fiserv Inc, Cl A * | 14,872 | 1,681 | ||||||
FleetCor Technologies Inc * | 1,729 | 365 | ||||||
Franklin Resources Inc | 6,738 | 181 | ||||||
Global Payments Inc | 6,183 | 651 | ||||||
Globe Life Inc | 2,139 | 235 | ||||||
Goldman Sachs Group Inc/The | 7,945 | 2,599 | ||||||
Hartford Financial Services Group Inc/The | 7,486 | 522 | ||||||
Huntington Bancshares Inc/OH | 34,314 | 384 | ||||||
Intercontinental Exchange Inc | 13,105 | 1,367 | ||||||
Invesco Ltd | 10,616 | 174 | ||||||
Jack Henry & Associates Inc | 1,700 | 256 | ||||||
JPMorgan Chase & Co | 68,808 | 8,966 | ||||||
KeyCorp | 22,183 | 278 | ||||||
Lincoln National Corp | 3,589 | 81 | ||||||
Loews Corp | 4,662 | 270 |
32
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
M&T Bank Corp | 3,934 | $ | 470 | |||||
MarketAxess Holdings Inc | 856 | 335 | ||||||
Marsh & McLennan Cos Inc | 11,659 | 1,942 | ||||||
Mastercard Inc, Cl A | 19,756 | 7,180 | ||||||
MetLife Inc | 15,539 | 900 | ||||||
Moody's Corp | 3,671 | 1,123 | ||||||
Morgan Stanley | 30,636 | 2,690 | ||||||
MSCI Inc, Cl A | 1,884 | 1,054 | ||||||
Nasdaq Inc, Cl A | 7,977 | 436 | ||||||
Northern Trust Corp | 4,909 | 433 | ||||||
PayPal Holdings Inc * | 26,529 | 2,015 | ||||||
PNC Financial Services Group Inc/The | 9,413 | 1,196 | ||||||
Principal Financial Group Inc, Cl A | 5,357 | 398 | ||||||
Progressive Corp/The | 13,685 | 1,958 | ||||||
Prudential Financial Inc | 8,666 | 717 | ||||||
Raymond James Financial Inc | 4,558 | 425 | ||||||
Regions Financial Corp | 22,163 | 411 | ||||||
S&P Global Inc | 7,705 | 2,656 | ||||||
State Street Corp | 8,245 | 624 | ||||||
Synchrony Financial | 10,263 | 298 | ||||||
T Rowe Price Group Inc | 5,293 | 598 | ||||||
Travelers Cos Inc/The | 5,456 | 935 | ||||||
Truist Financial Corp | 31,206 | 1,064 | ||||||
US Bancorp | 32,838 | 1,184 | ||||||
Visa Inc, Cl A | 38,149 | 8,601 | ||||||
W R Berkley Corp | 4,800 | 299 | ||||||
Wells Fargo & Co | 89,567 | 3,348 | ||||||
Willis Towers Watson PLC | 2,469 | 574 | ||||||
Zions Bancorp NA | 3,486 | 104 | ||||||
104,625 | ||||||||
Health Care — 14.1% | ||||||||
Abbott Laboratories | 40,912 | 4,143 | ||||||
AbbVie Inc | 41,513 | 6,616 | ||||||
Agilent Technologies Inc | 6,915 | 957 | ||||||
Align Technology Inc * | 1,686 | 563 | ||||||
AmerisourceBergen Corp, Cl A | 3,796 | 608 | ||||||
Amgen Inc, Cl A | 12,522 | 3,027 | ||||||
Baxter International Inc | 11,835 | 480 | ||||||
Becton Dickinson & Co | 6,621 | 1,639 | ||||||
Biogen Inc * | 3,406 | 947 | ||||||
Bio-Rad Laboratories Inc, Cl A * | 531 | 254 | ||||||
Bio-Techne Corp | 3,752 | 278 | ||||||
Boston Scientific Corp * | 33,576 | 1,680 | ||||||
Bristol-Myers Squibb Co | 49,932 | 3,461 | ||||||
Cardinal Health Inc | 6,059 | 457 | ||||||
Catalent Inc * | 4,200 | 276 | ||||||
Centene Corp * | 12,889 | 815 | ||||||
Charles River Laboratories International Inc * | 1,160 | 234 | ||||||
Cigna Group/The | 7,043 | 1,800 | ||||||
Cooper Cos Inc/The, Cl A | 1,204 | 449 | ||||||
CVS Health Corp | 30,176 | 2,242 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Danaher Corp, Cl A | 15,407 | $ | 3,883 | |||||
DaVita Inc * | 1,256 | 102 | ||||||
DENTSPLY SIRONA Inc | 5,009 | 197 | ||||||
Dexcom Inc * | 9,072 | 1,054 | ||||||
Edwards Lifesciences Corp, Cl A * | 14,549 | 1,204 | ||||||
Elevance Health Inc | 5,629 | 2,588 | ||||||
Eli Lilly & Co | 18,462 | 6,340 | ||||||
GE HealthCare Technologies Inc * | 8,562 | 702 | ||||||
Gilead Sciences Inc | 29,314 | 2,432 | ||||||
HCA Healthcare Inc | 4,939 | 1,302 | ||||||
Henry Schein Inc * | 3,200 | 261 | ||||||
Hologic Inc * | 5,800 | 468 | ||||||
Humana Inc | 2,931 | 1,423 | ||||||
IDEXX Laboratories Inc * | 1,923 | 962 | ||||||
Illumina Inc * | 3,696 | 859 | ||||||
Incyte Corp * | 4,400 | 318 | ||||||
Insulet Corp * | 1,600 | 510 | ||||||
Intuitive Surgical Inc * | 8,207 | 2,097 | ||||||
IQVIA Holdings Inc * | 4,396 | 874 | ||||||
Johnson & Johnson | 61,398 | 9,517 | ||||||
Laboratory Corp of America Holdings | 2,110 | 484 | ||||||
McKesson Corp | 3,243 | 1,155 | ||||||
Medtronic PLC | 31,279 | 2,522 | ||||||
Merck & Co Inc | 59,514 | 6,332 | ||||||
Mettler-Toledo International Inc * | 524 | 802 | ||||||
Moderna Inc * | 7,700 | 1,183 | ||||||
Molina Healthcare Inc * | 1,379 | 369 | ||||||
Organon & Co | 6,017 | 141 | ||||||
PerkinElmer Inc | 2,998 | 399 | ||||||
Pfizer Inc | 131,701 | 5,373 | ||||||
Quest Diagnostics Inc | 2,624 | 371 | ||||||
Regeneron Pharmaceuticals Inc * | 2,544 | 2,090 | ||||||
ResMed Inc | 3,409 | 746 | ||||||
STERIS PLC | 2,345 | 448 | ||||||
Stryker Corp | 7,926 | 2,263 | ||||||
Teleflex Inc | 1,129 | 286 | ||||||
Thermo Fisher Scientific Inc | 9,218 | 5,313 | ||||||
UnitedHealth Group Inc | 21,972 | 10,384 | ||||||
Universal Health Services Inc, Cl B | 1,500 | 191 | ||||||
Vertex Pharmaceuticals Inc * | 6,027 | 1,899 | ||||||
Viatris Inc, Cl W | 28,757 | 277 | ||||||
Waters Corp * | 1,372 | 425 | ||||||
West Pharmaceutical Services Inc | 1,722 | 597 | ||||||
Zimmer Biomet Holdings Inc | 4,874 | 630 | ||||||
Zoetis Inc, Cl A | 10,945 | 1,822 | ||||||
114,521 | ||||||||
Industrials — 8.6% | ||||||||
3M Co | 12,971 | 1,363 | ||||||
A O Smith Corp | 3,000 | 207 | ||||||
Alaska Air Group Inc * | 3,000 | 126 | ||||||
Allegion plc | 2,070 | 221 | ||||||
American Airlines Group Inc * | 15,309 | 226 |
SEI Institutional Managed Trust
33
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
S&P 500 Index Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
AMETEK Inc | 5,400 | $ | 785 | |||||
Automatic Data Processing Inc | 9,765 | 2,174 | ||||||
Boeing Co/The * | 13,155 | 2,794 | ||||||
Broadridge Financial Solutions Inc | 2,784 | 408 | ||||||
Carrier Global Corp | 19,631 | 898 | ||||||
Caterpillar Inc, Cl A | 12,234 | 2,800 | ||||||
CH Robinson Worldwide Inc | 2,805 | 279 | ||||||
Cintas Corp | 2,032 | 940 | ||||||
Copart Inc * | 10,100 | 760 | ||||||
CoStar Group Inc * | 9,400 | 647 | ||||||
CSX Corp | 49,499 | 1,482 | ||||||
Cummins Inc | 3,298 | 788 | ||||||
Deere & Co | 6,311 | 2,606 | ||||||
Delta Air Lines Inc, Cl A * | 15,013 | 524 | ||||||
Dover Corp | 3,237 | 492 | ||||||
Eaton Corp PLC | 9,320 | 1,597 | ||||||
Emerson Electric Co | 13,375 | 1,165 | ||||||
Equifax Inc | 2,889 | 586 | ||||||
Expeditors International of Washington Inc | 3,777 | 416 | ||||||
Fastenal Co, Cl A | 13,418 | 724 | ||||||
FedEx Corp | 5,411 | 1,236 | ||||||
Fortive Corp | 8,287 | 565 | ||||||
Generac Holdings Inc * | 1,454 | 157 | ||||||
General Dynamics Corp | 5,244 | 1,197 | ||||||
General Electric Co | 25,588 | 2,446 | ||||||
Honeywell International Inc | 15,720 | 3,004 | ||||||
Howmet Aerospace Inc | 8,678 | 368 | ||||||
Huntington Ingalls Industries Inc, Cl A | 947 | 196 | ||||||
IDEX Corp | 1,800 | 416 | ||||||
Illinois Tool Works Inc | 6,465 | 1,574 | ||||||
Ingersoll Rand Inc | 9,533 | 555 | ||||||
Jacobs Solutions Inc | 2,962 | 348 | ||||||
JB Hunt Transport Services Inc | 1,951 | 342 | ||||||
Johnson Controls International PLC | 16,172 | 974 | ||||||
L3Harris Technologies Inc | 4,509 | 885 | ||||||
Leidos Holdings Inc | 3,243 | 298 | ||||||
Lockheed Martin Corp | 5,328 | 2,519 | ||||||
Masco Corp | 5,384 | 268 | ||||||
Nordson Corp | 1,300 | 289 | ||||||
Norfolk Southern Corp | 5,386 | 1,142 | ||||||
Northrop Grumman Corp | 3,330 | 1,537 | ||||||
Old Dominion Freight Line Inc, Cl A | 2,144 | 731 | ||||||
Otis Worldwide Corp | 9,750 | 823 | ||||||
PACCAR Inc | 12,300 | 900 | ||||||
Parker-Hannifin Corp, Cl A | 2,971 | 999 | ||||||
Paychex Inc | 7,569 | 867 | ||||||
Pentair PLC | 3,866 | 214 | ||||||
Quanta Services Inc | 3,318 | 553 | ||||||
Raytheon Technologies Corp | 34,428 | 3,371 | ||||||
Republic Services Inc | 4,783 | 647 | ||||||
Robert Half International Inc | 2,532 | 204 | ||||||
Rockwell Automation Inc | 2,726 | 800 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Rollins Inc | 5,500 | $ | 206 | |||||
Snap-on Inc | 1,207 | 298 | ||||||
Southwest Airlines Co, Cl A | 13,962 | 454 | ||||||
Stanley Black & Decker Inc | 3,508 | 283 | ||||||
Textron Inc | 4,907 | 347 | ||||||
Trane Technologies PLC | 5,370 | 988 | ||||||
TransDigm Group Inc * | 1,220 | 899 | ||||||
Union Pacific Corp | 14,341 | 2,886 | ||||||
United Airlines Holdings Inc * | 7,700 | 341 | ||||||
United Parcel Service Inc, Cl B | 17,168 | 3,330 | ||||||
United Rentals Inc | 1,614 | 639 | ||||||
Verisk Analytics Inc, Cl A | 3,666 | 703 | ||||||
Waste Management Inc | 8,684 | 1,417 | ||||||
Westinghouse Air Brake Technologies Corp | 4,271 | 432 | ||||||
WW Grainger Inc | 1,064 | 733 | ||||||
Xylem Inc/NY | 4,200 | 440 | ||||||
69,829 | ||||||||
Information Technology — 25.9% | ||||||||
Accenture PLC, Cl A | 14,808 | 4,232 | ||||||
Adobe Inc * | 10,747 | 4,142 | ||||||
Advanced Micro Devices Inc * | 37,825 | 3,707 | ||||||
Akamai Technologies Inc * | 3,704 | 290 | ||||||
Amphenol Corp, Cl A | 13,960 | 1,141 | ||||||
Analog Devices Inc | 11,872 | 2,341 | ||||||
ANSYS Inc * | 2,007 | 668 | ||||||
Apple Inc | 349,129 | 57,571 | ||||||
Applied Materials Inc | 19,741 | 2,425 | ||||||
Arista Networks Inc * | 5,770 | 969 | ||||||
Autodesk Inc, Cl A * | 5,055 | 1,052 | ||||||
Broadcom Inc | 9,851 | 6,320 | ||||||
Cadence Design Systems Inc * | 6,451 | 1,355 | ||||||
CDW Corp/DE | 3,147 | 613 | ||||||
Ceridian HCM Holding Inc * | 3,500 | 256 | ||||||
Cisco Systems Inc | 96,378 | 5,038 | ||||||
Cognizant Technology Solutions Corp, Cl A | 11,905 | 725 | ||||||
Corning Inc, Cl B | 17,908 | 632 | ||||||
DXC Technology Co * | 5,430 | 139 | ||||||
Enphase Energy Inc * | 3,200 | 673 | ||||||
EPAM Systems Inc * | 1,300 | 389 | ||||||
F5 Inc, Cl A * | 1,360 | 198 | ||||||
Fair Isaac Corp * | 600 | 422 | ||||||
First Solar Inc * | 2,300 | 500 | ||||||
Fortinet Inc * | 15,290 | 1,016 | ||||||
Gartner Inc * | 1,856 | 605 | ||||||
Gen Digital Inc | 13,247 | 227 | ||||||
Hewlett Packard Enterprise Co | 30,391 | 484 | ||||||
HP Inc | 20,272 | 595 | ||||||
Intel Corp | 96,937 | 3,167 | ||||||
International Business Machines Corp | 21,168 | 2,775 | ||||||
Intuit Inc | 6,559 | 2,924 | ||||||
Juniper Networks Inc | 7,600 | 262 | ||||||
Keysight Technologies Inc * | 4,132 | 667 |
34
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
KLA Corp | 3,277 | $ | 1,308 | |||||
Lam Research Corp | 3,124 | 1,656 | ||||||
Microchip Technology Inc | 12,913 | 1,082 | ||||||
Micron Technology Inc | 25,569 | 1,543 | ||||||
Microsoft Corp | 174,684 | 50,361 | ||||||
Monolithic Power Systems Inc | 1,050 | 526 | ||||||
Motorola Solutions Inc | 3,882 | 1,111 | ||||||
NetApp Inc | 5,085 | 325 | ||||||
NVIDIA Corp | 57,697 | 16,026 | ||||||
NXP Semiconductors NV | 6,076 | 1,133 | ||||||
ON Semiconductor Corp * | 10,200 | 840 | ||||||
Oracle Corp, Cl B | 36,071 | 3,352 | ||||||
Paycom Software Inc * | 1,159 | 352 | ||||||
PTC Inc * | 2,457 | 315 | ||||||
Qorvo Inc * | 2,300 | 234 | ||||||
QUALCOMM Inc | 26,132 | 3,334 | ||||||
Roper Technologies Inc | 2,513 | 1,107 | ||||||
Salesforce Inc * | 23,416 | 4,678 | ||||||
Seagate Technology Holdings PLC | 4,500 | 297 | ||||||
ServiceNow Inc * | 4,785 | 2,224 | ||||||
Skyworks Solutions Inc | 3,716 | 438 | ||||||
SolarEdge Technologies Inc * | 1,300 | 395 | ||||||
Synopsys Inc * | 3,571 | 1,379 | ||||||
TE Connectivity Ltd | 7,409 | 972 | ||||||
Teledyne Technologies Inc * | 1,118 | 500 | ||||||
Teradyne Inc | 3,615 | 389 | ||||||
Texas Instruments Inc | 21,244 | 3,952 | ||||||
Trimble Inc * | 5,800 | 304 | ||||||
Tyler Technologies Inc * | 1,020 | 362 | ||||||
VeriSign Inc * | 2,095 | 443 | ||||||
Western Digital Corp * | 7,474 | 282 | ||||||
Zebra Technologies Corp, Cl A * | 1,173 | 373 | ||||||
210,113 | ||||||||
Materials — 2.6% | ||||||||
Air Products and Chemicals Inc | 5,166 | 1,484 | ||||||
Albemarle Corp | 2,757 | 609 | ||||||
Amcor PLC | 35,032 | 399 | ||||||
Avery Dennison Corp | 1,864 | 334 | ||||||
Ball Corp | 7,372 | 406 | ||||||
Celanese Corp, Cl A | 2,352 | 256 | ||||||
CF Industries Holdings Inc | 4,650 | 337 | ||||||
Corteva Inc | 16,673 | 1,006 | ||||||
Dow Inc | 16,606 | 910 | ||||||
DuPont de Nemours Inc | 10,799 | 775 | ||||||
Eastman Chemical Co | 2,820 | 238 | ||||||
Ecolab Inc | 5,816 | 963 | ||||||
FMC Corp | 2,900 | 354 | ||||||
Freeport-McMoRan Inc, Cl B | 33,663 | 1,377 | ||||||
International Flavors & Fragrances Inc | 6,026 | 554 | ||||||
International Paper Co | 8,452 | 305 | ||||||
Linde PLC | 11,546 | 4,104 | ||||||
LyondellBasell Industries NV, Cl A | 5,974 | 561 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Martin Marietta Materials Inc, Cl A | 1,469 | $ | 522 | |||||
Mosaic Co/The | 8,109 | 372 | ||||||
Newmont Corp | 18,725 | 918 | ||||||
Nucor Corp | 5,927 | 916 | ||||||
Packaging Corp of America | 2,200 | 305 | ||||||
PPG Industries Inc | 5,505 | 735 | ||||||
Sealed Air Corp | 3,428 | 157 | ||||||
Sherwin-Williams Co/The, Cl A | 5,545 | 1,246 | ||||||
Steel Dynamics Inc | 3,900 | 441 | ||||||
Vulcan Materials Co | 3,149 | 540 | ||||||
Westrock Co | 5,984 | 182 | ||||||
21,306 | ||||||||
Real Estate — 2.5% | ||||||||
Alexandria Real Estate Equities Inc ‡ | 3,723 | 468 | ||||||
American Tower Corp, Cl A ‡ | 10,897 | 2,227 | ||||||
AvalonBay Communities Inc ‡ | 3,228 | 543 | ||||||
Boston Properties Inc ‡ | 3,400 | 184 | ||||||
Camden Property Trust ‡ | 2,500 | 262 | ||||||
CBRE Group Inc, Cl A * | 7,409 | 539 | ||||||
Crown Castle Inc ‡ | 10,164 | 1,360 | ||||||
Digital Realty Trust Inc, Cl A ‡ | 6,769 | 665 | ||||||
Equinix Inc ‡ | 2,196 | 1,583 | ||||||
Equity Residential ‡ | 8,044 | 483 | ||||||
Essex Property Trust Inc ‡ | 1,521 | 318 | ||||||
Extra Space Storage Inc ‡ | 3,099 | 505 | ||||||
Federal Realty Investment Trust ‡ | 1,700 | 168 | ||||||
Healthpeak Properties Inc ‡ | 12,800 | 281 | ||||||
Host Hotels & Resorts Inc ‡ | 16,974 | 280 | ||||||
Invitation Homes Inc ‡ | 13,700 | 428 | ||||||
Iron Mountain Inc ‡ | 6,838 | 362 | ||||||
Kimco Realty Corp ‡ | 14,713 | 287 | ||||||
Mid-America Apartment Communities Inc ‡ | 2,740 | 414 | ||||||
Prologis Inc ‡ | 21,680 | 2,705 | ||||||
Public Storage ‡ | 3,687 | 1,114 | ||||||
Realty Income Corp ‡ | 14,700 | 931 | ||||||
Regency Centers Corp ‡ | 3,699 | 226 | ||||||
SBA Communications Corp, Cl A ‡ | 2,549 | 665 | ||||||
Simon Property Group Inc ‡ | 7,706 | 863 | ||||||
UDR Inc ‡ | 7,200 | 296 | ||||||
Ventas Inc ‡ | 9,432 | 409 | ||||||
VICI Properties Inc, Cl A ‡ | 23,700 | 773 | ||||||
Welltower Inc ‡ | 11,000 | 789 | ||||||
Weyerhaeuser Co ‡ | 17,261 | 520 | ||||||
20,648 | ||||||||
Utilities — 2.8% | ||||||||
AES Corp/The | 15,890 | 383 | ||||||
Alliant Energy Corp | 5,900 | 315 | ||||||
Ameren Corp | 6,053 | 523 | ||||||
American Electric Power Co Inc | 12,115 | 1,102 | ||||||
American Water Works Co Inc | 4,557 | 667 | ||||||
Atmos Energy Corp | 3,300 | 371 |
SEI Institutional Managed Trust
35
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
S&P 500 Index Fund (Concluded)
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
CenterPoint Energy Inc | 14,785 | $ | 436 | |||||
CMS Energy Corp | 6,901 | 424 | ||||||
Consolidated Edison Inc | 8,336 | 797 | ||||||
Constellation Energy Corp | 7,651 | 601 | ||||||
Dominion Energy Inc | 19,630 | 1,097 | ||||||
DTE Energy Co | 4,570 | 501 | ||||||
Duke Energy Corp | 18,091 | 1,745 | ||||||
Edison International | 8,957 | 632 | ||||||
Entergy Corp | 4,726 | 509 | ||||||
Evergy Inc | 5,399 | 330 | ||||||
Exelon Corp | 23,255 | 974 | ||||||
FirstEnergy Corp | 12,723 | 510 | ||||||
NextEra Energy Inc | 46,680 | 3,598 | ||||||
NiSource Inc | 9,644 | 270 | ||||||
NRG Energy Inc | 5,481 | 188 | ||||||
PG&E Corp * | 37,900 | 613 | ||||||
Pinnacle West Capital Corp | 2,649 | 210 | ||||||
PPL Corp | 17,471 | 485 | ||||||
Public Service Enterprise Group Inc | 11,730 | 732 | ||||||
Sempra Energy | 7,345 | 1,110 | ||||||
Southern Co/The | 25,619 | 1,783 | ||||||
WEC Energy Group Inc | 7,371 | 699 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Xcel Energy Inc | 12,836 | $ | 866 | |||||
22,471 | ||||||||
Total Common Stock | ||||||||
(Cost $223,398) ($ Thousands) | 806,112 | |||||||
AFFILIATED PARTNERSHIP — 0.0% | ||||||||
SEI Liquidity Fund, LP | ||||||||
4.740% **†(B) | 55,971 | 56 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $56) ($ Thousands) | 56 | |||||||
CASH EQUIVALENT — 0.4% | ||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | ||||||||
4.570%**† | 3,659,040 | 3,659 | ||||||
Total Cash Equivalent | ||||||||
(Cost $3,659) ($ Thousands) | 3,659 | |||||||
Total Investments in Securities — 99.8% | ||||||||
(Cost $227,113) ($ Thousands) | $ | 809,827 | ||||||
A list of the open futures contracts held by the Fund at March 31, 2023 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 | 21 | Jun-2023 | $ | 4,183 | $ | 4,345 | $ | 162 | ||||||||||||
| Percentages are based on Net Assets of $811,206 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2023. |
‡ | 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 March 31, 2023 (see Note 12). |
(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 March 31, 2023 was $56 ($ Thousands). |
The following is a summary of the level of inputs used as of March 31, 2023, 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 | 806,112 | – | – | 806,112 | ||||||||||||
Affiliated Partnership | – | 56 | – | 56 | ||||||||||||
Cash Equivalent | 3,659 | – | – | 3,659 | ||||||||||||
Total Investments in Securities | 809,771 | 56 | – | 809,827 |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 162 | – | – | 162 | ||||||||||||
Total Other Financial Instruments | 162 | – | – | 162 |
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
36
SEI Institutional Managed Trust
The following is a summary of the Fund’s transactions with affiliates for the period ended March 31, 2023 ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 3/31/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 1 | $ | 118 | $ | (63 | ) | $ | — | $ | — | $ | 56 | $ | 6 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | 2,986 | 58,310 | (57,637 | ) | — | — | 3,659 | 63 | — | |||||||||||||||||||||||
Totals | $ | 2,987 | $ | 58,428 | $ | (57,700 | ) | $ | — | $ | — | $ | 3,715 | $ | 69 | $ | — |
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
37
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 — 98.7% | ||||||||
Communication Services — 3.7% | ||||||||
Audacy Inc, Cl A * | 735,284 | $ | 99 | |||||
Bandwidth Inc, Cl A * | 28,130 | 428 | ||||||
Cable One Inc | 1,595 | 1,120 | ||||||
Cars.com Inc * | 27,500 | 531 | ||||||
Cinemark Holdings Inc * | 219,917 | 3,252 | ||||||
Cogent Communications Holdings Inc | 17,496 | 1,115 | ||||||
Eventbrite Inc, Cl A * | 96,810 | 831 | ||||||
IDT Corp, Cl B * | 13,680 | 466 | ||||||
Integral Ad Science Holding Corp * | 61,920 | 884 | ||||||
Iridium Communications Inc | 29,659 | 1,837 | ||||||
Liberty Latin America Ltd, Cl A * | 71,694 | 596 | ||||||
Lions Gate Entertainment Corp, Cl A * | 200,116 | 2,215 | ||||||
MediaAlpha Inc, Cl A * | 9,340 | 140 | ||||||
Nexstar Media Group Inc, Cl A | 6,718 | 1,160 | ||||||
Shutterstock Inc | 28,668 | 2,081 | ||||||
Stagwell Inc, Cl A * | 59,909 | 444 | ||||||
TEGNA Inc | 27,168 | 460 | ||||||
Thryv Holdings Inc * | 47,180 | 1,088 | ||||||
United States Cellular Corp * | 21,590 | 447 | ||||||
Vimeo Inc * | 41,530 | 159 | ||||||
Ziff Davis Inc * | 8,282 | 646 | ||||||
19,999 | ||||||||
Consumer Discretionary — 12.1% | ||||||||
2U Inc * | 80,510 | 552 | ||||||
Aaron's Co Inc/The | 80,165 | 774 | ||||||
Academy Sports & Outdoors Inc | 15,214 | 993 | ||||||
Advance Auto Parts Inc | 5,965 | 725 | ||||||
American Eagle Outfitters Inc | 254,098 | 3,415 | ||||||
Asbury Automotive Group Inc * | 2,583 | 542 | ||||||
AutoNation Inc * | 3,923 | 527 | ||||||
Bally's Corp * | 17,250 | 337 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Beazer Homes USA Inc, Cl A * | 41,028 | $ | 652 | |||||
Biglari Holdings Inc, Cl B * | 2,026 | 343 | ||||||
BJ's Restaurants Inc * | 19,710 | 574 | ||||||
Bloomin' Brands Inc | 129,932 | 3,333 | ||||||
Bluegreen Vacations Holding Corp, Cl A | 30,461 | 834 | ||||||
Boot Barn Holdings Inc * | 6,934 | 531 | ||||||
Brinker International Inc * | 98,238 | 3,733 | ||||||
Brunswick Corp/DE | 16,337 | 1,340 | ||||||
Buckle Inc/The | 5,800 | 207 | ||||||
Build-A-Bear Workshop Inc * | 41,640 | 968 | ||||||
Carter's Inc | 17,270 | 1,242 | ||||||
Century Casinos Inc * | 41,032 | 301 | ||||||
Cheesecake Factory Inc/The | 16,462 | 577 | ||||||
Chico's FAS Inc * | 39,480 | 217 | ||||||
Churchill Downs Inc | 6,780 | 1,743 | ||||||
Chuy's Holdings Inc * | 32,783 | 1,175 | ||||||
Crocs Inc * | 7,680 | 971 | ||||||
Deckers Outdoor Corp * | 1,600 | 719 | ||||||
Denny's Corp, Cl A * | 27,430 | 306 | ||||||
Destination XL Group Inc * | 133,785 | 737 | ||||||
Dick's Sporting Goods Inc | 3,891 | 552 | ||||||
Domino's Pizza Inc | 3,287 | 1,084 | ||||||
Dorman Products Inc * | 10,123 | 873 | ||||||
Duolingo Inc, Cl A * | 11,152 | 1,590 | ||||||
Ethan Allen Interiors Inc | 42,120 | 1,157 | ||||||
Express Inc * | 173,000 | 136 | ||||||
First Watch Restaurant Group Inc * | 58,864 | 945 | ||||||
Foot Locker Inc, Cl A | 14,243 | 565 | ||||||
Goodyear Tire & Rubber Co/The * | 46,775 | 515 | ||||||
Green Brick Partners Inc * | 15,400 | 540 | ||||||
Haverty Furniture Cos Inc | 31,729 | 1,012 | ||||||
Hooker Furnishings Corp | 29,300 | 533 | ||||||
Inspired Entertainment Inc * | 26,290 | 336 | ||||||
Latham Group Inc * | 43,731 | 125 | ||||||
Legacy Housing Corp * | 35,791 | 815 | ||||||
Lifetime Brands Inc | 22,874 | 135 | ||||||
Light & Wonder Inc, Cl A * | 7,419 | 446 | ||||||
Lindblad Expeditions Holdings Inc * | 35,490 | 339 | ||||||
M/I Homes Inc * | 11,162 | 704 | ||||||
Marine Products Corp | 14,288 | 188 | ||||||
MarineMax Inc * | 6,130 | 176 | ||||||
MasterCraft Boat Holdings Inc * | 35,620 | 1,084 | ||||||
Modine Manufacturing Co * | 89,490 | 2,063 | ||||||
Monarch Casino & Resort Inc | 5,395 | 400 | ||||||
Monro Inc | 20,896 | 1,033 | ||||||
Movado Group Inc | 32,936 | 948 | ||||||
Murphy USA Inc | 4,651 | 1,200 | ||||||
Noodles & Co, Cl A * | 31,075 | 151 | ||||||
OneSpaWorld Holdings Ltd * | 57,106 | 685 | ||||||
Oxford Industries Inc, Cl A | 4,418 | 467 | ||||||
Pool Corp | 3,093 | 1,059 | ||||||
Red Robin Gourmet Burgers Inc * | 34,000 | 487 |
38
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Ruth's Hospitality Group Inc | 66,862 | $ | 1,098 | |||||
Shoe Carnival Inc | 23,518 | 603 | ||||||
Skyline Champion Corp * | 9,273 | 698 | ||||||
Steven Madden Ltd | 22,812 | 821 | ||||||
Target Hospitality Corp * | 27,284 | 359 | ||||||
Topgolf Callaway Brands Corp * | 39,949 | 864 | ||||||
Travel + Leisure Co | 28,185 | 1,105 | ||||||
Urban Outfitters Inc * | 88,794 | 2,461 | ||||||
Visteon Corp * | 4,297 | 674 | ||||||
Wingstop Inc, Cl A | 12,176 | 2,235 | ||||||
Winmark Corp | 648 | 208 | ||||||
WW International Inc * | 123,290 | 508 | ||||||
Wynn Resorts Ltd * | 6,143 | 687 | ||||||
Xponential Fitness Inc, Cl A * | 56,037 | 1,703 | ||||||
YETI Holdings Inc * | 8,994 | 360 | ||||||
65,095 | ||||||||
Consumer Staples — 4.2% | ||||||||
BellRing Brands Inc * | 40,700 | 1,384 | ||||||
Cal-Maine Foods Inc | 12,341 | 751 | ||||||
Casey's General Stores Inc | 5,624 | 1,217 | ||||||
Coty Inc, Cl A * | 62,000 | 748 | ||||||
Duckhorn Portfolio Inc/The * | 45,910 | 730 | ||||||
elf Beauty Inc * | 16,799 | 1,383 | ||||||
Fresh Market Inc * | 19,578 | — | ||||||
Hain Celestial Group Inc/The * | 29,717 | 510 | ||||||
Hostess Brands Inc, Cl A * | 34,315 | 854 | ||||||
Ingles Markets Inc, Cl A | 6,280 | 557 | ||||||
Ingredion Inc | 11,623 | 1,182 | ||||||
Inter Parfums Inc | 21,559 | 3,067 | ||||||
John B Sanfilippo & Son Inc | 5,750 | 557 | ||||||
Lancaster Colony Corp | 6,557 | 1,330 | ||||||
Medifast Inc | 9,000 | 933 | ||||||
MGP Ingredients Inc | 6,123 | 592 | ||||||
Natural Grocers by Vitamin Cottage Inc | 32,460 | 381 | ||||||
Performance Food Group Co * | 17,332 | 1,046 | ||||||
Pilgrim's Pride Corp * | 93,348 | 2,164 | ||||||
TreeHouse Foods Inc * | 28,192 | 1,422 | ||||||
Village Super Market Inc, Cl A | 18,788 | 430 | ||||||
Vita Coco Co Inc/The * | 31,500 | 618 | ||||||
Vital Farms Inc * | 40,314 | 617 | ||||||
22,473 | ||||||||
Energy — 7.6% | ||||||||
Archrock Inc | 52,000 | 508 | ||||||
Ardmore Shipping Corp | 40,645 | 604 | ||||||
Berry Corp | 125,085 | 982 | ||||||
Borr Drilling Ltd * | 85,000 | 644 | ||||||
Bristow Group Inc * | 40,488 | 907 | ||||||
Cactus Inc, Cl A | 20,505 | 845 | ||||||
Centrus Energy Corp, Cl A * | 14,644 | 472 | ||||||
ChampionX Corp | 36,339 | 986 | ||||||
Chord Energy Corp | 9,172 | 1,235 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Civitas Resources Inc | 34,212 | $ | 2,338 | |||||
CNX Resources Corp * | 29,252 | 469 | ||||||
Crescent Point Energy Corp | 75,692 | 534 | ||||||
Delek US Holdings Inc | 120,541 | 2,766 | ||||||
DHT Holdings Inc | 111,627 | 1,207 | ||||||
Diamondback Energy Inc, Cl A | 2,579 | 349 | ||||||
DMC Global Inc * | 31,798 | 699 | ||||||
Dorian LPG Ltd * | 55,970 | 1,116 | ||||||
Expro Group Holdings NV * | 49,712 | 913 | ||||||
Golar LNG Ltd * | 25,781 | 557 | ||||||
Helix Energy Solutions Group Inc * | 159,243 | 1,233 | ||||||
Helmerich & Payne Inc | 14,355 | 513 | ||||||
HF Sinclair Corp | 33,734 | 1,632 | ||||||
International Seaways Inc | 15,324 | 639 | ||||||
Liberty Energy Inc, Cl A | 40,657 | 521 | ||||||
Matador Resources Co | 22,107 | 1,053 | ||||||
Noble Corp PLC * | 12,200 | 481 | ||||||
Nordic American Tankers Ltd | 125,000 | 495 | ||||||
Northern Oil and Gas Inc | 42,268 | 1,283 | ||||||
Oceaneering International Inc, Cl A * | 24,861 | 438 | ||||||
Oil States International Inc * | 33,050 | 275 | ||||||
Par Pacific Holdings Inc * | 49,294 | 1,439 | ||||||
PBF Energy Inc, Cl A | 11,208 | 486 | ||||||
PDC Energy Inc, Cl A | 19,818 | 1,272 | ||||||
Permian Resources Corp, Cl A | 40,274 | 423 | ||||||
Ranger Energy Services Inc, Cl A * | 53,440 | 545 | ||||||
REX American Resources Corp * | 34,989 | 1,000 | ||||||
RPC Inc | 146,250 | 1,125 | ||||||
Scorpio Tankers Inc | 13,305 | 749 | ||||||
Select Energy Services Inc, Cl A | 36,500 | 254 | ||||||
SFL Corp Ltd | 60,576 | 576 | ||||||
Solaris Oilfield Infrastructure Inc, Cl A | 84,396 | 721 | ||||||
Southwestern Energy Co * | 379,815 | 1,899 | ||||||
Talos Energy Inc * | 29,210 | 433 | ||||||
Teekay Corp * | 49,230 | 304 | ||||||
Teekay Tankers Ltd, Cl A * | 21,198 | 910 | ||||||
TETRA Technologies Inc * | 44,830 | 119 | ||||||
Tidewater Inc * | 23,707 | 1,045 | ||||||
VAALCO Energy Inc | 128,230 | 581 | ||||||
Weatherford International PLC * | 7,100 | 421 | ||||||
40,996 | ||||||||
Financials — 16.2% | ||||||||
1st Source Corp | 17,969 | 775 | ||||||
AFC Gamma Inc ‡ | 10,318 | 125 | ||||||
Amalgamated Financial Corp | 19,440 | 344 | ||||||
Ambac Financial Group Inc * | 33,651 | 521 | ||||||
American Equity Investment Life Holding Co | 83,608 | 3,051 | ||||||
Arrow Financial Corp | 5,539 | 138 | ||||||
AssetMark Financial Holdings Inc * | 60,808 | 1,912 | ||||||
Associated Banc-Corp | 26,195 | 471 | ||||||
Atlanticus Holdings Corp * | 21,406 | 581 | ||||||
AvidXchange Holdings Inc * | 18,800 | 147 |
SEI Institutional Managed Trust
39
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Small Cap Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Axos Financial Inc * | 13,412 | $ | 495 | |||||
Bank of Marin Bancorp | 5,399 | 118 | ||||||
Bank of NT Butterfield & Son Ltd/The | 18,798 | 508 | ||||||
Bank OZK | 32,827 | 1,123 | ||||||
BankUnited Inc | 88,837 | 2,006 | ||||||
BGC Partners Inc, Cl A | 107,347 | 561 | ||||||
Byline Bancorp Inc | 12,540 | 271 | ||||||
Capital Bancorp Inc | 11,234 | 187 | ||||||
Capital City Bank Group Inc | 18,195 | 533 | ||||||
Carter Bankshares Inc * | 15,208 | 213 | ||||||
Cass Information Systems Inc | 11,720 | 508 | ||||||
Central Pacific Financial Corp | 19,330 | 346 | ||||||
Central Valley Community Bancorp | 4,214 | 87 | ||||||
Chimera Investment Corp ‡ | 127,610 | 720 | ||||||
City Holding Co | 6,300 | 573 | ||||||
Civista Bancshares Inc | 18,241 | 308 | ||||||
CNB Financial Corp/PA | 5,880 | 113 | ||||||
CNO Financial Group Inc | 139,704 | 3,100 | ||||||
Coastal Financial Corp/WA * | 31,077 | 1,119 | ||||||
Cohen & Steers Inc | 14,808 | 947 | ||||||
Columbia Banking System Inc | 124,824 | 2,674 | ||||||
Comerica Inc | 18,259 | 793 | ||||||
Crawford & Co, Cl A | 21,350 | 178 | ||||||
CrossFirst Bankshares Inc * | 22,630 | 237 | ||||||
CVB Financial Corp | 24,025 | 401 | ||||||
Enova International Inc * | 13,865 | 616 | ||||||
Enterprise Financial Services Corp | 11,586 | 517 | ||||||
Esquire Financial Holdings Inc | 9,954 | 389 | ||||||
FactSet Research Systems Inc | 2,718 | 1,128 | ||||||
Federated Hermes Inc, Cl B | 16,776 | 673 | ||||||
Financial Institutions Inc | 15,449 | 298 | ||||||
First American Financial Corp | 13,400 | 746 | ||||||
First Bancshares Inc/The | 9,163 | 237 | ||||||
First Commonwealth Financial Corp | 131,236 | 1,631 | ||||||
First Community Bankshares Inc | 17,640 | 442 | ||||||
First Financial Bancorp | 27,509 | 599 | ||||||
First Financial Corp/IN | 5,780 | 217 | ||||||
First Interstate BancSystem Inc, Cl A | 47,080 | 1,406 | ||||||
FirstCash Holdings Inc | 6,827 | 651 | ||||||
Flywire Corp * | 23,000 | 675 | ||||||
FNB Corp/PA | 177,465 | 2,059 | ||||||
Globe Life Inc | 9,253 | 1,018 | ||||||
Great Southern Bancorp Inc | 8,100 | 410 | ||||||
Hamilton Lane Inc, Cl A | 14,607 | 1,081 | ||||||
Hanover Insurance Group Inc/The, Cl A | 6,500 | 835 | ||||||
HBT Financial Inc | 26,450 | 522 | ||||||
Heartland Financial USA Inc | 12,399 | 476 | ||||||
Heritage Commerce Corp | 44,663 | 372 | ||||||
Home BancShares Inc/AR | 58,431 | 1,269 | ||||||
HomeTrust Bancshares Inc | 17,390 | 428 | ||||||
I3 Verticals Inc, Cl A * | 8,772 | 215 | ||||||
Independent Bank Corp | 25,316 | 1,661 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Independent Bank Corp/MI | 25,550 | $ | 454 | |||||
International Money Express Inc * | 23,447 | 604 | ||||||
Jack Henry & Associates Inc | 5,809 | 875 | ||||||
Kinsale Capital Group Inc | 4,572 | 1,372 | ||||||
Lincoln National Corp | 113,821 | 2,558 | ||||||
Macatawa Bank Corp | 56,098 | 573 | ||||||
Mercantile Bank Corp | 12,752 | 390 | ||||||
Merchants Bancorp/IN | 21,630 | 563 | ||||||
Metrocity Bankshares Inc | 7,846 | 134 | ||||||
Metropolitan Bank Holding Corp * | 16,530 | 560 | ||||||
MGIC Investment Corp | 50,530 | 678 | ||||||
Mid Penn Bancorp Inc | 4,790 | 123 | ||||||
Morningstar Inc, Cl A | 4,506 | 915 | ||||||
National Western Life Group Inc, Cl A | 750 | 182 | ||||||
NerdWallet Inc, Cl A * | 27,500 | 445 | ||||||
NMI Holdings Inc, Cl A * | 21,942 | 490 | ||||||
Northrim BanCorp Inc | 10,839 | 511 | ||||||
OFG Bancorp | 41,702 | 1,040 | ||||||
Old National Bancorp/IN, Cl A | 274,999 | 3,965 | ||||||
Old Second Bancorp Inc | 75,858 | 1,067 | ||||||
Oppenheimer Holdings Inc, Cl A | 23,880 | 935 | ||||||
Orrstown Financial Services Inc | 16,710 | 332 | ||||||
Paysafe Ltd * | 35,177 | 607 | ||||||
Peapack-Gladstone Financial Corp | 9,550 | 283 | ||||||
Peoples Bancorp Inc/OH | 6,720 | 173 | ||||||
Peoples Financial Services Corp | 7,134 | 309 | ||||||
Pinnacle Financial Partners Inc | 17,456 | 963 | ||||||
Preferred Bank/Los Angeles CA | 9,422 | 516 | ||||||
Primerica Inc | 8,333 | 1,435 | ||||||
Prosperity Bancshares Inc | 15,894 | 978 | ||||||
Provident Bancorp Inc | 31,936 | 218 | ||||||
RBB Bancorp | 18,380 | 285 | ||||||
Regional Management Corp | 25,347 | 661 | ||||||
Remitly Global Inc * | 76,500 | 1,297 | ||||||
RenaissanceRe Holdings Ltd | 2,337 | 468 | ||||||
Renasant Corp | 16,993 | 520 | ||||||
Republic First Bancorp Inc * | 17,576 | 24 | ||||||
RLI Corp | 3,473 | 462 | ||||||
S&T Bancorp Inc | 18,316 | 576 | ||||||
Selectquote Inc * | 209,370 | 454 | ||||||
Shift4 Payments Inc, Cl A * | 9,559 | 725 | ||||||
Southern Missouri Bancorp Inc | 4,691 | 175 | ||||||
SouthState Corp | 5,585 | 398 | ||||||
Stellar Bancorp Inc | 18,610 | 458 | ||||||
StepStone Group Inc, Cl A | 14,875 | 361 | ||||||
StoneX Group Inc * | 7,800 | 808 | ||||||
Summit Financial Group Inc | 6,000 | 124 | ||||||
TrustCo Bank Corp NY | 18,426 | 588 | ||||||
Universal Insurance Holdings Inc | 89,615 | 1,633 | ||||||
Univest Financial Corp | 50,472 | 1,198 | ||||||
Valley National Bancorp | 96,000 | 887 | ||||||
Voya Financial Inc | 8,000 | 572 |
40
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Washington Federal Inc | 20,442 | $ | 616 | |||||
Westamerica BanCorp | 10,407 | 461 | ||||||
Wintrust Financial Corp | 19,960 | 1,456 | ||||||
Zions Bancorp NA | 26,000 | 778 | ||||||
86,988 | ||||||||
Health Care — 15.0% | ||||||||
2seventy bio Inc * | 14,580 | 149 | ||||||
89bio Inc * | 28,500 | 434 | ||||||
Accolade Inc * | 41,700 | 600 | ||||||
ADMA Biologics Inc * | 303,721 | 1,005 | ||||||
Agenus Inc * | 149,019 | 226 | ||||||
Akero Therapeutics Inc * | 9,513 | 364 | ||||||
Alector Inc * | 109,330 | 677 | ||||||
ALX Oncology Holdings Inc * | 76,127 | 344 | ||||||
Amedisys Inc * | 8,855 | 651 | ||||||
Amicus Therapeutics Inc * | 52,206 | 579 | ||||||
AMN Healthcare Services Inc * | 35,776 | 2,968 | ||||||
Amneal Pharmaceuticals Inc * | 89,590 | 124 | ||||||
Arcellx Inc * | 24,825 | 765 | ||||||
Arcturus Therapeutics Holdings Inc * | 10,257 | 246 | ||||||
Assertio Holdings Inc * | 79,000 | 503 | ||||||
Avanos Medical Inc * | 23,224 | 691 | ||||||
Axogen Inc * | 53,557 | 506 | ||||||
Axonics Inc * | 9,646 | 526 | ||||||
BioLife Solutions Inc * | 23,950 | 521 | ||||||
Biomea Fusion Inc * | 16,500 | 512 | ||||||
Bluebird Bio Inc * | 51,090 | 162 | ||||||
Bridgebio Pharma Inc * | 35,300 | 585 | ||||||
Brookdale Senior Living Inc, Cl A * | 130,398 | 385 | ||||||
CareDx Inc * | 51,950 | 475 | ||||||
Castle Biosciences Inc * | 10,150 | 231 | ||||||
Catalyst Pharmaceuticals Inc * | 69,119 | 1,146 | ||||||
Celldex Therapeutics Inc * | 10,000 | 360 | ||||||
Chemed Corp | 2,166 | 1,165 | ||||||
Chinook Therapeutics Inc * | 18,761 | 434 | ||||||
Co-Diagnostics Inc * | 12,871 | 19 | ||||||
Collegium Pharmaceutical Inc * | 66,410 | 1,593 | ||||||
Community Health Systems Inc * | 62,770 | 308 | ||||||
Computer Programs and Systems Inc * | 5,150 | 155 | ||||||
Cross Country Healthcare Inc * | 128,483 | 2,868 | ||||||
CVRx Inc * | 6,500 | 61 | ||||||
Deciphera Pharmaceuticals Inc * | 37,564 | 580 | ||||||
Eagle Pharmaceuticals Inc/DE * | 36,530 | 1,036 | ||||||
Emergent BioSolutions Inc * | 23,170 | 240 | ||||||
Encompass Health Corp | 47,318 | 2,560 | ||||||
Ensign Group Inc/The | 17,115 | 1,635 | ||||||
Envista Holdings Corp * | 26,311 | 1,076 | ||||||
Evolent Health Inc, Cl A * | 17,500 | 568 | ||||||
FibroGen Inc * | 28,000 | 522 | ||||||
Generation Bio Co * | 35,081 | 151 | ||||||
Haemonetics Corp * | 7,797 | 645 | ||||||
Harrow Health Inc * | 28,812 | 610 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
HealthEquity Inc * | 10,775 | $ | 633 | |||||
HealthStream Inc | 44,248 | 1,199 | ||||||
Heron Therapeutics Inc * | 291,510 | 440 | ||||||
Hims & Hers Health Inc * | 113,000 | 1,121 | ||||||
Inhibrx Inc * | 14,150 | 267 | ||||||
Innoviva Inc * | 32,903 | 370 | ||||||
Inspire Medical Systems Inc * | 2,332 | 546 | ||||||
Integra LifeSciences Holdings Corp * | 64,722 | 3,716 | ||||||
Intra-Cellular Therapies Inc, Cl A * | 11,983 | 649 | ||||||
Invitae Corp * | 212,246 | 287 | ||||||
iRadimed Corp * | 26,335 | 1,036 | ||||||
iTeos Therapeutics Inc * | 55,633 | 757 | ||||||
IVERIC bio Inc * | 19,888 | 484 | ||||||
Karyopharm Therapeutics Inc * | 47,010 | 183 | ||||||
Kiniksa Pharmaceuticals Ltd, Cl A * | 56,592 | 609 | ||||||
Kodiak Sciences Inc * | 79,980 | 496 | ||||||
Krystal Biotech Inc * | 5,486 | 439 | ||||||
Lantheus Holdings Inc * | 18,325 | 1,513 | ||||||
LeMaitre Vascular Inc | 23,029 | 1,185 | ||||||
Madrigal Pharmaceuticals Inc * | 2,606 | 631 | ||||||
Merit Medical Systems Inc * | 9,532 | 705 | ||||||
Mersana Therapeutics Inc * | 104,470 | 429 | ||||||
Morphic Holding Inc * | 4,860 | 183 | ||||||
Natera Inc * | 10,500 | 583 | ||||||
NeoGenomics Inc * | 68,381 | 1,190 | ||||||
Neuronetics Inc * | 100,909 | 294 | ||||||
Nurix Therapeutics Inc * | 50,060 | 445 | ||||||
NuVasive Inc * | 14,815 | 612 | ||||||
OptimizeRx Corp * | 12,815 | 187 | ||||||
Option Care Health Inc * | 21,299 | 677 | ||||||
OraSure Technologies Inc * | 158,486 | 959 | ||||||
Organogenesis Holdings Inc, Cl A * | 255,215 | 544 | ||||||
Orthofix Medical Inc * | 16,710 | 280 | ||||||
Pennant Group Inc/The * | 13,290 | 190 | ||||||
Penumbra Inc * | 1,550 | 432 | ||||||
Perrigo Co PLC | 29,881 | 1,072 | ||||||
PetIQ Inc, Cl A * | 15,870 | 182 | ||||||
Phreesia Inc * | 17,051 | 551 | ||||||
Pliant Therapeutics Inc * | 14,442 | 384 | ||||||
PMV Pharmaceuticals Inc * | 24,940 | 119 | ||||||
Praxis Precision Medicines Inc * | 141,700 | 115 | ||||||
Precigen Inc * | 233,510 | 247 | ||||||
Premier Inc, Cl A | 27,200 | 880 | ||||||
Prestige Consumer Healthcare Inc, Cl A * | 29,287 | 1,834 | ||||||
Privia Health Group Inc * | 25,718 | 710 | ||||||
Prometheus Biosciences Inc * | 5,468 | 587 | ||||||
Protagonist Therapeutics Inc * | 24,529 | 564 | ||||||
Prothena Corp PLC * | 7,449 | 361 | ||||||
Quest Diagnostics Inc | 8,318 | 1,177 | ||||||
RAPT Therapeutics Inc * | 45,250 | 830 | ||||||
Revance Therapeutics Inc * | 17,308 | 557 | ||||||
Rigel Pharmaceuticals Inc * | 193,906 | 256 |
SEI Institutional Managed Trust
41
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Small Cap Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Sana Biotechnology Inc * | 75,620 | $ | 247 | |||||
Shockwave Medical Inc * | 2,481 | 538 | ||||||
SIGA Technologies Inc * | 161,040 | 926 | ||||||
STERIS PLC | 6,878 | 1,316 | ||||||
Stoke Therapeutics Inc * | 17,924 | 149 | ||||||
Supernus Pharmaceuticals Inc * | 10,666 | 386 | ||||||
Sutro Biopharma Inc * | 24,827 | 115 | ||||||
Tactile Systems Technology Inc * | 60,483 | 993 | ||||||
TG Therapeutics Inc * | 42,501 | 639 | ||||||
TransMedics Group Inc * | 8,439 | 639 | ||||||
Treace Medical Concepts Inc * | 23,100 | 582 | ||||||
UFP Technologies Inc * | 10,751 | 1,396 | ||||||
US Physical Therapy Inc | 12,897 | 1,263 | ||||||
Utah Medical Products Inc | 2,416 | 229 | ||||||
Vanda Pharmaceuticals Inc * | 103,267 | 701 | ||||||
Vaxcyte Inc * | 12,887 | 483 | ||||||
Ventyx Biosciences Inc * | 12,469 | 418 | ||||||
Verrica Pharmaceuticals Inc * | 42,796 | 278 | ||||||
Viemed Healthcare Inc * | 72,702 | 702 | ||||||
ViewRay Inc * | 105,970 | 367 | ||||||
Viking Therapeutics Inc * | 50,201 | 836 | ||||||
Viridian Therapeutics Inc * | 17,201 | 438 | ||||||
80,299 | ||||||||
Industrials — 19.2% | ||||||||
AAON Inc | 16,069 | 1,554 | ||||||
AAR Corp * | 10,500 | 573 | ||||||
ABM Industries Inc | 103,005 | 4,629 | ||||||
ACCO Brands Corp | 548,520 | 2,918 | ||||||
Air Lease Corp, Cl A | 28,767 | 1,133 | ||||||
Alamo Group Inc | 6,884 | 1,268 | ||||||
Alight Inc, Cl A * | 63,500 | 585 | ||||||
Allied Motion Technologies Inc | 15,970 | 617 | ||||||
Allison Transmission Holdings Inc | 25,490 | 1,153 | ||||||
API Group Corp * | 31,032 | 698 | ||||||
Applied Industrial Technologies Inc, Cl A | 11,552 | 1,642 | ||||||
Astronics Corp * | 77,229 | 1,032 | ||||||
Atkore Inc * | 6,411 | 901 | ||||||
AZEK Co Inc/The, Cl A * | 32,490 | 765 | ||||||
Barrett Business Services Inc | 9,003 | 798 | ||||||
Beacon Roofing Supply Inc * | 9,800 | 577 | ||||||
Booz Allen Hamilton Holding Corp, Cl A | 12,993 | 1,204 | ||||||
Bowman Consulting Group Ltd, Cl A * | 26,238 | 753 | ||||||
Brady Corp, Cl A | 13,660 | 734 | ||||||
Broadridge Financial Solutions Inc | 7,976 | 1,169 | ||||||
BWX Technologies Inc, Cl W | 34,962 | 2,204 | ||||||
CACI International Inc, Cl A * | 4,273 | 1,266 | ||||||
Carlisle Cos Inc | 4,498 | 1,017 | ||||||
CBIZ Inc * | 22,998 | 1,138 | ||||||
CECO Environmental Corp * | 52,014 | 728 | ||||||
CIRCOR International Inc * | 46,482 | 1,447 | ||||||
Clean Harbors Inc * | 13,876 | 1,978 | ||||||
Comfort Systems USA Inc | 10,814 | 1,578 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Costamare Inc | 39,644 | $ | 373 | |||||
Crane NXT Co | 3,576 | 406 | ||||||
CSG Systems International Inc | 7,184 | 386 | ||||||
CSW Industrials Inc | 5,041 | 700 | ||||||
Daseke Inc * | 118,484 | 916 | ||||||
Douglas Dynamics Inc | 15,632 | 498 | ||||||
Ducommun Inc * | 7,899 | 432 | ||||||
EMCOR Group Inc | 18,287 | 2,973 | ||||||
Enerpac Tool Group Corp, Cl A | 21,925 | 559 | ||||||
Ennis Inc | 47,373 | 999 | ||||||
EnPro Industries Inc | 9,536 | 991 | ||||||
ExlService Holdings Inc * | 10,030 | 1,623 | ||||||
Federal Signal Corp | 14,043 | 761 | ||||||
First Advantage Corp * | 14,080 | 197 | ||||||
Forrester Research Inc * | 10,498 | 340 | ||||||
Franklin Covey Co * | 22,442 | 863 | ||||||
FTI Consulting Inc * | 3,300 | 651 | ||||||
Gates Industrial Corp PLC * | 52,487 | 729 | ||||||
GATX Corp | 4,079 | 449 | ||||||
Genco Shipping & Trading Ltd | 9,333 | 146 | ||||||
GFL Environmental Inc | 40,070 | 1,380 | ||||||
Griffon Corp | 12,397 | 397 | ||||||
H&E Equipment Services Inc | 14,952 | 661 | ||||||
Harsco Corp * | 36,576 | 250 | ||||||
Heartland Express Inc | 25,330 | 403 | ||||||
Heidrick & Struggles International Inc | 16,326 | 496 | ||||||
Heritage-Crystal Clean Inc * | 31,866 | 1,135 | ||||||
Hexcel Corp, Cl A | 11,302 | 771 | ||||||
Hub Group Inc, Cl A * | 6,790 | 570 | ||||||
Hudson Technologies Inc * | 95,030 | 830 | ||||||
Huron Consulting Group Inc * | 39,611 | 3,184 | ||||||
Hyster-Yale Materials Handling Inc | 23,681 | 1,181 | ||||||
IBEX Holdings Ltd * | 13,695 | 334 | ||||||
Insperity Inc, Cl A | 16,463 | 2,001 | ||||||
ITT Inc | 16,060 | 1,386 | ||||||
Kennametal Inc | 17,426 | 481 | ||||||
Korn Ferry | 17,911 | 927 | ||||||
Landstar System Inc | 7,004 | 1,256 | ||||||
LSI Industries Inc | 53,446 | 744 | ||||||
Manitowoc Co Inc/The * | 66,613 | 1,138 | ||||||
Marten Transport Ltd | 32,477 | 680 | ||||||
Masonite International Corp * | 10,679 | 969 | ||||||
MasTec Inc * | 3,514 | 332 | ||||||
Mayville Engineering Co Inc * | 46,210 | 689 | ||||||
McGrath RentCorp | 6,903 | 644 | ||||||
MRC Global Inc * | 52,617 | 511 | ||||||
Nordson Corp | 5,146 | 1,144 | ||||||
Northwest Pipe Co * | 16,705 | 522 | ||||||
nVent Electric PLC | 14,043 | 603 | ||||||
PAM Transportation Services Inc * | 24,986 | 715 | ||||||
Powell Industries Inc | 25,489 | 1,086 | ||||||
Primoris Services Corp | 24,088 | 594 |
42
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Quanex Building Products Corp | 25,057 | $ | 539 | |||||
Radiant Logistics Inc * | 124,075 | 814 | ||||||
Regal Rexnord Corp | 8,355 | 1,176 | ||||||
Rush Enterprises Inc, Cl A | 13,816 | 754 | ||||||
Safe Bulkers Inc | 269,660 | 995 | ||||||
Shoals Technologies Group Inc, Cl A * | 21,108 | 481 | ||||||
Simpson Manufacturing Co Inc | 5,123 | 562 | ||||||
SP Plus Corp * | 16,879 | 579 | ||||||
SPX Technologies Inc * | 5,632 | 397 | ||||||
Standex International Corp | 20,056 | 2,456 | ||||||
Sterling Infrastructure Inc * | 52,280 | 1,980 | ||||||
Sun Country Airlines Holdings Inc * | 8,150 | 167 | ||||||
Terex Corp | 33,251 | 1,609 | ||||||
Tetra Tech Inc | 8,615 | 1,266 | ||||||
Thermon Group Holdings Inc * | 43,872 | 1,093 | ||||||
Timken Co/The | 6,091 | 498 | ||||||
Titan Machinery Inc * | 14,314 | 436 | ||||||
TPI Composites Inc * | 16,770 | 219 | ||||||
TTEC Holdings Inc | 20,712 | 771 | ||||||
UFP Industries Inc | 13,252 | 1,053 | ||||||
UniFirst Corp/MA | 5,563 | 980 | ||||||
V2X Inc * | 13,330 | 529 | ||||||
Valmont Industries Inc | 4,171 | 1,332 | ||||||
Wabash National Corp | 38,700 | 952 | ||||||
WESCO International Inc | 9,075 | 1,402 | ||||||
WillScot Mobile Mini Holdings Corp, Cl A * | 12,606 | 591 | ||||||
102,696 | ||||||||
Information Technology — 13.0% | ||||||||
8x8 Inc * | 238,890 | 996 | ||||||
A10 Networks Inc | 33,569 | 520 | ||||||
ACM Research Inc, Cl A * | 60,620 | 709 | ||||||
Aehr Test Systems * | 14,213 | 441 | ||||||
Agilysys Inc * | 17,779 | 1,467 | ||||||
Alkami Technology Inc * | 48,731 | 617 | ||||||
Allegro MicroSystems Inc * | 15,990 | 767 | ||||||
Altair Engineering Inc, Cl A * | 11,000 | 793 | ||||||
American Software Inc/GA, Cl A | 56,828 | 717 | ||||||
Amplitude Inc, Cl A * | 19,220 | 239 | ||||||
Appfolio Inc, Cl A * | 4,922 | 613 | ||||||
Arlo Technologies Inc * | 77,260 | 468 | ||||||
Asure Software Inc * | 49,202 | 713 | ||||||
Aviat Networks Inc * | 15,520 | 535 | ||||||
Axcelis Technologies Inc * | 12,257 | 1,633 | ||||||
AXT Inc * | 74,345 | 296 | ||||||
Badger Meter Inc | 6,400 | 780 | ||||||
Bel Fuse Inc, Cl B | 18,593 | 699 | ||||||
Belden Inc | 27,150 | 2,356 | ||||||
Box Inc, Cl A * | 23,269 | 623 | ||||||
C3.ai Inc, Cl A *(A) | 19,000 | 638 | ||||||
Calix Inc * | 10,015 | 537 | ||||||
Cambium Networks Corp * | 7,670 | 136 | ||||||
Cirrus Logic Inc * | 6,109 | 668 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Clearfield Inc * | 2,714 | $ | 126 | |||||
Cognex Corp | 20,573 | 1,019 | ||||||
Diebold Nixdorf Inc * | 170,890 | 205 | ||||||
Digi International Inc * | 19,012 | 640 | ||||||
Diodes Inc * | 9,100 | 844 | ||||||
eGain Corp * | 54,866 | 416 | ||||||
EngageSmart Inc * | 33,789 | 650 | ||||||
Entegris Inc | 16,409 | 1,346 | ||||||
Fabrinet * | 5,765 | 685 | ||||||
Fastly Inc, Cl A * | 75,500 | 1,341 | ||||||
Grid Dynamics Holdings Inc * | 43,640 | 500 | ||||||
Hackett Group Inc/The | 49,277 | 911 | ||||||
Harmonic Inc, Cl A * | 91,968 | 1,342 | ||||||
Impinj Inc * | 10,959 | 1,485 | ||||||
indie Semiconductor Inc, Cl A * | 52,695 | 556 | ||||||
Insight Enterprises Inc * | 5,205 | 744 | ||||||
Intapp Inc * | 37,110 | 1,664 | ||||||
Iteris Inc * | 136,756 | 641 | ||||||
Kimball Electronics Inc * | 14,930 | 360 | ||||||
Kulicke & Soffa Industries Inc | 23,706 | 1,249 | ||||||
Lattice Semiconductor Corp * | 7,333 | 700 | ||||||
Littelfuse Inc | 4,615 | 1,237 | ||||||
Lumentum Holdings Inc * | 16,426 | 887 | ||||||
MACOM Technology Solutions Holdings Inc * | 14,707 | 1,042 | ||||||
Mitek Systems Inc * | 15,216 | 146 | ||||||
Model N Inc * | 17,200 | 576 | ||||||
Napco Security Technologies Inc * | 37,123 | 1,395 | ||||||
National Instruments Corp | 17,833 | 935 | ||||||
New Relic Inc * | 7,556 | 569 | ||||||
Olo Inc, Cl A * | 29,960 | 244 | ||||||
PC Connection Inc | 21,707 | 976 | ||||||
PDF Solutions Inc * | 32,747 | 1,388 | ||||||
Photronics Inc * | 227,134 | 3,766 | ||||||
Plexus Corp * | 5,847 | 571 | ||||||
Porch Group Inc * | 147,690 | 211 | ||||||
Power Integrations Inc | 15,189 | 1,286 | ||||||
Qualys Inc * | 4,061 | 528 | ||||||
Rambus Inc * | 29,725 | 1,524 | ||||||
Ribbon Communications Inc * | 94,170 | 322 | ||||||
Sanmina Corp * | 17,104 | 1,043 | ||||||
ScanSource Inc * | 5,410 | 165 | ||||||
ShotSpotter Inc * | 13,576 | 534 | ||||||
Silicon Motion Technology Corp ADR | 38,907 | 2,549 | ||||||
Smartsheet Inc, Cl A * | 11,872 | 567 | ||||||
SPS Commerce Inc * | 4,351 | 663 | ||||||
Squarespace Inc * | 19,000 | 604 | ||||||
Super Micro Computer Inc * | 49,659 | 5,291 | ||||||
Tenable Holdings Inc * | 12,170 | 578 | ||||||
Universal Display Corp | 13,947 | 2,164 | ||||||
Viavi Solutions Inc * | 90,277 | 978 | ||||||
Vishay Precision Group Inc * | 27,200 | 1,136 |
SEI Institutional Managed Trust
43
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Small Cap Fund (Concluded)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Yext Inc * | 54,500 | $ | 524 | |||||
69,784 | ||||||||
Materials — 4.7% | ||||||||
Alpha Metallurgical Resources Inc | 3,105 | 484 | ||||||
Aspen Aerogels Inc * | 31,910 | 238 | ||||||
ATI Inc * | 19,158 | 756 | ||||||
Axalta Coating Systems Ltd * | 28,898 | 875 | ||||||
Cabot Corp | 14,263 | 1,093 | ||||||
Carpenter Technology Corp | 11,402 | 510 | ||||||
Chase Corp | 6,220 | 651 | ||||||
Clearwater Paper Corp * | 33,760 | 1,128 | ||||||
Commercial Metals Co, Cl A | 60,617 | 2,964 | ||||||
Diversey Holdings Ltd * | 25,151 | 204 | ||||||
Ecovyst Inc * | 58,865 | 650 | ||||||
Element Solutions Inc | 49,661 | 959 | ||||||
Haynes International Inc | 21,893 | 1,097 | ||||||
Ingevity Corp * | 13,802 | 987 | ||||||
Innospec Inc | 11,637 | 1,195 | ||||||
Livent Corp * | 59,259 | 1,287 | ||||||
Materion Corp | 5,807 | 674 | ||||||
O-I Glass Inc, Cl I * | 103,331 | 2,347 | ||||||
Olympic Steel Inc | 17,626 | 920 | ||||||
Quaker Chemical Corp | 4,842 | 959 | ||||||
Reliance Steel & Aluminum Co | 6,114 | 1,570 | ||||||
Ryerson Holding Corp | 16,540 | 602 | ||||||
Silgan Holdings Inc | 21,610 | 1,160 | ||||||
SunCoke Energy Inc | 66,740 | 599 | ||||||
Tredegar Corp | 20,970 | 191 | ||||||
Valvoline Inc | 34,886 | 1,219 | ||||||
25,319 | ||||||||
Real Estate — 1.8% | ||||||||
Ashford Hospitality Trust Inc *‡ | 39,640 | 127 | ||||||
Corporate Office Properties Trust ‡ | 33,968 | 805 | ||||||
eXp World Holdings Inc (A) | 71,813 | 911 | ||||||
Hersha Hospitality Trust, Cl A ‡ | 19,630 | 132 | ||||||
Industrial Logistics Properties Trust ‡ | 109,943 | 338 | ||||||
Kennedy-Wilson Holdings Inc | 57,512 | 954 | ||||||
National Storage Affiliates Trust ‡ | 24,328 | 1,016 | ||||||
Newmark Group Inc, Cl A | 108,556 | 769 | ||||||
NexPoint Residential Trust Inc ‡ | 22,858 | 998 | ||||||
RMR Group Inc/The, Cl A | 9,710 | 255 | ||||||
Ryman Hospitality Properties Inc ‡ | 6,986 | 627 | ||||||
STAG Industrial Inc ‡ | 38,927 | 1,317 | ||||||
Terreno Realty Corp ‡ | 17,143 | 1,107 | ||||||
9,356 | ||||||||
Utilities — 1.2% | ||||||||
Black Hills Corp, Cl A | 12,481 | 788 | ||||||
Brookfield Infrastructure Corp, Cl A | 26,800 | 1,234 | ||||||
Chesapeake Utilities Corp | 7,955 | 1,018 | ||||||
IDACORP Inc, Cl A | 9,935 | 1,076 | ||||||
Portland General Electric Co | 33,990 | 1,662 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Spire Inc | 8,900 | $ | 624 | |||||
Via Renewables Inc, Cl A | 298 | 6 | ||||||
6,408 | ||||||||
Total Common Stock | ||||||||
(Cost $459,335) ($ Thousands) | 529,413 | |||||||
EXCHANGE TRADED FUND — 0.1% | ||||||||
SPDR S&P Regional Banking ETF (A) | 14,897 | 653 | ||||||
Total Exchange Traded Fund | ||||||||
(Cost $683) ($ Thousands) | 653 | |||||||
AFFILIATED PARTNERSHIP — 0.4% | ||||||||
SEI Liquidity Fund, LP | ||||||||
4.740% **†(B) | 1,985,679 | 1,986 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $1,986) ($ Thousands) | 1,986 | |||||||
CASH EQUIVALENT — 1.3% | ||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | ||||||||
4.570%**† | 6,919,603 | 6,920 | ||||||
Total Cash Equivalent | ||||||||
(Cost $6,920) ($ Thousands) | 6,920 | |||||||
Total Investments in Securities — 100.5% | ||||||||
(Cost $468,924) ($ Thousands) | $ | 538,972 | ||||||
44
SEI Institutional Managed Trust
| Percentages are based on Net Assets of $536,333 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2023. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2023 (see Note 12). |
(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 March 31, 2023 was $1,986 ($ Thousands). |
The following is a summary of the level of inputs used as of March 31, 2023, in valuing the Fund's investments carried at value ($ Thousands): | ||||||||||||||||
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | 529,413 | – | – | 529,413 | ||||||||||||
Exchange Traded Fund | 653 | – | – | 653 | ||||||||||||
Affiliated Partnership | – | 1,986 | – | 1,986 | ||||||||||||
Cash Equivalent | 6,920 | – | – | 6,920 | ||||||||||||
Total Investments in Securities | 536,986 | 1,986 | – | 538,972 |
Amounts designated as “—” are either $0 or have been rounded to $0.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The following is a summary of the Fund’s transactions with affiliates for the period ended March 31, 2023 ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 3/31/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 2,751 | $ | 10,092 | $ | (10,857 | ) | $ | — | $ | — | $ | 1,986 | $ | 9 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | 9,050 | 87,673 | (89,803 | ) | — | — | 6,920 | 146 | — | |||||||||||||||||||||||
Totals | $ | 11,801 | $ | 97,765 | $ | (100,660 | ) | $ | — | $ | — | $ | 8,906 | $ | 155 | $ | — |
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
45
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 — 98.5% | ||||||||
Communication Services — 5.2% | ||||||||
Advantage Solutions Inc * | 22,958 | $ | 36 | |||||
AMC Networks Inc, Cl A * | 18,606 | 327 | ||||||
Cinemark Holdings Inc * | 163,007 | 2,411 | ||||||
EchoStar Corp, Cl A * | 11,616 | 212 | ||||||
Entravision Communications Corp, Cl A | 16,827 | 102 | ||||||
IDT Corp, Cl B * | 1,416 | 48 | ||||||
John Wiley & Sons Inc, Cl A | 66,508 | 2,579 | ||||||
Lions Gate Entertainment Corp, Cl A * | 147,658 | 1,635 | ||||||
Nexstar Media Group Inc, Cl A | 35,975 | 6,211 | ||||||
Scholastic Corp, Cl B | 7,838 | 268 | ||||||
Telephone and Data Systems Inc | 26,718 | 281 | ||||||
Yelp Inc, Cl A * | 4,612 | 142 | ||||||
Ziff Davis Inc * | 54,017 | 4,216 | ||||||
18,468 | ||||||||
Consumer Discretionary — 13.5% | ||||||||
Aaron's Co Inc/The | 32,783 | 317 | ||||||
American Axle & Manufacturing Holdings Inc * | 70,825 | 553 | ||||||
American Eagle Outfitters Inc | 154,630 | 2,078 | ||||||
Big 5 Sporting Goods Corp (A) | 6,921 | 53 | ||||||
Big Lots Inc | 10,080 | 110 | ||||||
Biglari Holdings Inc, Cl B * | 325 | 55 | ||||||
Bloomin' Brands Inc | 136,643 | 3,505 | ||||||
Bluegreen Vacations Holding Corp, Cl A | 3,675 | 101 | ||||||
Brinker International Inc * | 72,243 | 2,745 | ||||||
Capri Holdings Ltd * | 13,195 | 620 | ||||||
Carriage Services Inc, Cl A | 13,839 | 422 | ||||||
Carter's Inc | 9,447 | 679 | ||||||
Cato Corp/The, Cl A | 6,012 | 53 | ||||||
Chico's FAS Inc * | 33,606 | 185 | ||||||
Dick's Sporting Goods Inc | 7,820 | 1,110 | ||||||
Ethan Allen Interiors Inc | 6,584 | 181 | ||||||
Genesco Inc * | 13,164 | 486 | ||||||
G-III Apparel Group Ltd * | 22,248 | 346 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Goodyear Tire & Rubber Co/The * | 78,617 | $ | 866 | |||||
Group 1 Automotive Inc | 7,662 | 1,735 | ||||||
Guess? inc, Cl 3 | 35,748 | 696 | ||||||
H&R Block Inc | 40,245 | 1,419 | ||||||
Harley-Davidson Inc, Cl A | 22,288 | 846 | ||||||
Haverty Furniture Cos Inc | 26,455 | 844 | ||||||
Helen of Troy Ltd * | 9,343 | 889 | ||||||
KB Home | 21,107 | 848 | ||||||
La-Z-Boy Inc, Cl Z | 47,344 | 1,377 | ||||||
Leslie's Inc * | 126,399 | 1,392 | ||||||
Lithia Motors Inc, Cl A | 13,017 | 2,980 | ||||||
Macy's Inc | 56,392 | 986 | ||||||
MasterCraft Boat Holdings Inc * | 5,463 | 166 | ||||||
Meritage Homes Corp | 12,288 | 1,435 | ||||||
Modine Manufacturing Co * | 86,498 | 1,994 | ||||||
Movado Group Inc | 4,903 | 141 | ||||||
ODP Corp/The * | 18,103 | 814 | ||||||
Perdoceo Education Corp * | 20,135 | 270 | ||||||
PVH Corp | 10,100 | 901 | ||||||
Qurate Retail Inc * | 103,000 | 102 | ||||||
Sally Beauty Holdings Inc * | 51,779 | 807 | ||||||
Shoe Carnival Inc | 1,654 | 42 | ||||||
Signet Jewelers Ltd | 18,500 | 1,439 | ||||||
Sonic Automotive Inc, Cl A | 22,681 | 1,232 | ||||||
Taylor Morrison Home Corp, Cl A * | 29,834 | 1,141 | ||||||
Thor Industries Inc | 9,367 | 746 | ||||||
Travel + Leisure Co | 13,500 | 529 | ||||||
Tri Pointe Homes Inc * | 78,210 | 1,980 | ||||||
Tupperware Brands Corp * | 64,997 | 163 | ||||||
Universal Technical Institute Inc * | 9,294 | 69 | ||||||
Upbound Group Inc | 22,699 | 556 | ||||||
Urban Outfitters Inc * | 60,451 | 1,676 | ||||||
Victoria's Secret & Co * | 63,792 | 2,179 | ||||||
Vista Outdoor Inc * | 2,670 | 74 | ||||||
Winnebago Industries Inc | 18,233 | 1,052 | ||||||
Zumiez Inc * | 5,830 | 108 | ||||||
48,093 | ||||||||
Consumer Staples — 3.9% | ||||||||
Cal-Maine Foods Inc | 6,050 | 368 | ||||||
Coca-Cola Consolidated Inc | 2,005 | 1,073 | ||||||
Energizer Holdings Inc | 22,563 | 783 | ||||||
Herbalife Nutrition Ltd * | 21,359 | 344 | ||||||
Ingles Markets Inc, Cl A | 16,408 | 1,455 | ||||||
Ingredion Inc | 13,044 | 1,327 | ||||||
Medifast Inc | 6,621 | 686 | ||||||
Nature's Sunshine Products Inc * | 5,446 | 56 | ||||||
Nu Skin Enterprises Inc, Cl A | 3,050 | 120 | ||||||
Pilgrim's Pride Corp * | 69,568 | 1,612 | ||||||
SpartanNash Co | 22,908 | 568 | ||||||
Spectrum Brands Holdings Inc | 42,976 | 2,846 | ||||||
Sprouts Farmers Market Inc * | 47,093 | 1,650 | ||||||
US Foods Holding Corp * | 21,700 | 802 |
46
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Village Super Market Inc, Cl A | 13,897 | $ | 318 | |||||
14,008 | ||||||||
Energy — 7.1% | ||||||||
Bristow Group Inc * | 6,871 | 154 | ||||||
California Resources Corp | 27,037 | 1,041 | ||||||
Chord Energy Corp | 5,463 | 735 | ||||||
Civitas Resources Inc | 13,163 | 900 | ||||||
CNX Resources Corp * | 22,155 | 355 | ||||||
Comstock Resources Inc | 61,920 | 668 | ||||||
Crescent Point Energy Corp | 56,510 | 399 | ||||||
Delek US Holdings Inc | 89,725 | 2,059 | ||||||
DHT Holdings Inc | 38,336 | 414 | ||||||
DT Midstream Inc | 67,400 | 3,327 | ||||||
HF Sinclair Corp | 62,241 | 3,011 | ||||||
Magnolia Oil & Gas Corp, Cl A | 123,435 | 2,701 | ||||||
Murphy Oil Corp | 21,656 | 801 | ||||||
National Energy Services Reunited Corp * | 4,990 | 26 | ||||||
NexTier Oilfield Solutions Inc * | 26,000 | 207 | ||||||
Par Pacific Holdings Inc * | 3,700 | 108 | ||||||
PBF Energy Inc, Cl A | 23,985 | 1,040 | ||||||
PDC Energy Inc, Cl A | 26,732 | 1,716 | ||||||
REX American Resources Corp * | 4,644 | 133 | ||||||
SFL Corp Ltd | 65,246 | 620 | ||||||
Southwestern Energy Co * | 280,549 | 1,403 | ||||||
TechnipFMC PLC * | 76,000 | 1,037 | ||||||
Teekay Corp * | 20,000 | 124 | ||||||
Viper Energy Partners LP | 3,189 | 89 | ||||||
W&T Offshore Inc * | 174,023 | 884 | ||||||
World Fuel Services Corp | 49,588 | 1,267 | ||||||
25,219 | ||||||||
Financials — 22.4% | ||||||||
Amalgamated Financial Corp | 4,384 | 78 | ||||||
A-Mark Precious Metals Inc | 5,257 | 182 | ||||||
American Equity Investment Life Holding Co | 65,412 | 2,387 | ||||||
Apollo Commercial Real Estate Finance Inc ‡ | 26,004 | 242 | ||||||
Arbor Realty Trust Inc ‡ | 65,836 | 756 | ||||||
Associated Banc-Corp | 70,672 | 1,271 | ||||||
Axis Capital Holdings Ltd | 15,008 | 818 | ||||||
B Riley Financial Inc (A) | 11,672 | 331 | ||||||
Banco Latinoamericano de Comercio Exterior SA, Cl E | 37,823 | 657 | ||||||
Bank OZK | 24,568 | 840 | ||||||
BankUnited Inc | 111,811 | 2,525 | ||||||
Bankwell Financial Group Inc | 1,565 | 39 | ||||||
Banner Corp | 11,870 | 645 | ||||||
Bar Harbor Bankshares | 4,295 | 114 | ||||||
BayCom Corp | 4,440 | 76 | ||||||
BCB Bancorp Inc | 4,000 | 52 | ||||||
Berkshire Hills Bancorp Inc | 32,500 | 814 | ||||||
BGC Partners Inc, Cl A | 568,809 | 2,975 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Blue Ridge Bankshares Inc | 5,776 | $ | 59 | |||||
BrightSpire Capital Inc, Cl A ‡ | 60,274 | 356 | ||||||
Business First Bancshares Inc | 5,863 | 100 | ||||||
Camden National Corp | 20,223 | 732 | ||||||
Capital Bancorp Inc | 2,753 | 46 | ||||||
Carlyle Secured Lending Inc | 37,000 | 504 | ||||||
Carter Bankshares Inc * | 7,203 | 101 | ||||||
Cathay General Bancorp | 36,652 | 1,265 | ||||||
Central Pacific Financial Corp | 31,526 | 564 | ||||||
Civista Bancshares Inc | 4,598 | 78 | ||||||
CNB Financial Corp/PA | 5,063 | 97 | ||||||
CNO Financial Group Inc | 209,057 | 4,639 | ||||||
Columbia Banking System Inc | 119,961 | 2,570 | ||||||
Comerica Inc | 12,800 | 556 | ||||||
Community Trust Bancorp Inc | 10,140 | 385 | ||||||
Crawford & Co, Cl A | 5,820 | 49 | ||||||
CrossFirst Bankshares Inc * | 11,080 | 116 | ||||||
Customers Bancorp Inc * | 10,152 | 188 | ||||||
Donnelley Financial Solutions Inc * | 25,508 | 1,042 | ||||||
Enova International Inc * | 5,055 | 225 | ||||||
Enterprise Bancorp Inc | 2,900 | 91 | ||||||
Euronet Worldwide Inc * | 16,895 | 1,891 | ||||||
EZCORP Inc, Cl A * | 15,751 | 135 | ||||||
Federated Hermes Inc, Cl B | 26,381 | 1,059 | ||||||
Financial Institutions Inc | 4,854 | 94 | ||||||
First American Financial Corp | 10,366 | 577 | ||||||
First Bank/Hamilton NJ | 4,774 | 48 | ||||||
First Busey Corp | 47,931 | 975 | ||||||
First Business Financial Services Inc | 2,400 | 73 | ||||||
First Commonwealth Financial Corp | 159,357 | 1,981 | ||||||
First Financial Corp/IN | 13,031 | 488 | ||||||
First Foundation Inc | 15,500 | 115 | ||||||
First Guaranty Bancshares Inc | 2,368 | 37 | ||||||
First Internet Bancorp | 3,003 | 50 | ||||||
First Merchants Corp | 55,053 | 1,814 | ||||||
Flushing Financial Corp | 47,072 | 701 | ||||||
FNB Corp/PA | 209,969 | 2,436 | ||||||
FS KKR Capital Corp | 29,785 | 551 | ||||||
Fulton Financial Corp | 61,083 | 844 | ||||||
Genworth Financial Inc, Cl A * | 237,298 | 1,191 | ||||||
Golub Capital BDC Inc | 46,500 | 630 | ||||||
Great Southern Bancorp Inc | 6,917 | 351 | ||||||
Green Dot Corp, Cl A * | 13,500 | 232 | ||||||
Greenlight Capital Re Ltd, Cl A * | 9,121 | 86 | ||||||
Hancock Whitney Corp, Cl A | 30,065 | 1,094 | ||||||
Hanmi Financial Corp | 29,402 | 546 | ||||||
Hercules Capital Inc, Cl A (A) | 47,609 | 614 | ||||||
Hilltop Holdings Inc | 16,789 | 498 | ||||||
HomeStreet Inc | 25,397 | 457 | ||||||
HomeTrust Bancshares Inc | 4,006 | 98 | ||||||
Hope Bancorp Inc | 114,753 | 1,127 | ||||||
Horizon Bancorp Inc/IN | 1,050 | 12 |
SEI Institutional Managed Trust
47
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Small Cap Value Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Independent Bank Corp/MI | 6,278 | $ | 112 | |||||
Invesco Mortgage Capital Inc ‡ | 19,075 | 212 | ||||||
Jackson Financial Inc, Cl A | 21,629 | 809 | ||||||
Ladder Capital Corp, Cl A ‡ | 59,500 | 562 | ||||||
LendingClub Corp * | 30,639 | 221 | ||||||
Lincoln National Corp | 84,642 | 1,902 | ||||||
Mercantile Bank Corp | 4,399 | 134 | ||||||
Merchants Bancorp/IN | 5,977 | 156 | ||||||
Metropolitan Bank Holding Corp * | 3,100 | 105 | ||||||
MGIC Investment Corp | 61,442 | 825 | ||||||
Mid Penn Bancorp Inc | 4,546 | 116 | ||||||
Midland States Bancorp Inc | 6,502 | 139 | ||||||
MidWestOne Financial Group Inc | 4,386 | 107 | ||||||
MVB Financial Corp | 3,000 | 62 | ||||||
Navient Corp | 58,190 | 930 | ||||||
New Mountain Finance Corp | 35,378 | 431 | ||||||
OceanFirst Financial Corp | 16,218 | 300 | ||||||
OFG Bancorp | 79,694 | 1,988 | ||||||
Old National Bancorp/IN, Cl A | 156,502 | 2,257 | ||||||
Oppenheimer Holdings Inc, Cl A | 4,859 | 190 | ||||||
Orrstown Financial Services Inc | 3,530 | 70 | ||||||
Oscar Health Inc, Cl A * | 5,967 | 39 | ||||||
Pacific Premier Bancorp Inc | 52,393 | 1,258 | ||||||
PacWest Bancorp (A) | 140,860 | 1,371 | ||||||
Pathward Financial Inc | 8,006 | 332 | ||||||
Paysafe Ltd * | 9,033 | 156 | ||||||
PCB Bancorp | 3,500 | 51 | ||||||
Peapack-Gladstone Financial Corp | 5,631 | 167 | ||||||
PennantPark Investment Corp | 59,908 | 316 | ||||||
PennyMac Financial Services Inc | 19,118 | 1,140 | ||||||
Peoples Bancorp Inc/OH | 15,990 | 412 | ||||||
Peoples Financial Services Corp | 840 | 36 | ||||||
Popular Inc | 17,949 | 1,030 | ||||||
Provident Bancorp Inc | 4,672 | 32 | ||||||
QCR Holdings Inc | 4,792 | 210 | ||||||
Radian Group Inc | 85,163 | 1,882 | ||||||
RBB Bancorp | 4,906 | 76 | ||||||
Redwood Trust Inc ‡ | 43,651 | 294 | ||||||
Republic Bancorp Inc/KY, Cl A | 9,707 | 412 | ||||||
Republic First Bancorp Inc * | 17,661 | 24 | ||||||
Rithm Capital Corp ‡ | 113,008 | 904 | ||||||
Sierra Bancorp | 4,509 | 78 | ||||||
Simmons First National Corp, Cl A | 38,404 | 672 | ||||||
SiriusPoint Ltd * | 28,661 | 233 | ||||||
Sixth Street Specialty Lending Inc | 33,800 | 618 | ||||||
SmartFinancial Inc | 2,250 | 52 | ||||||
South Plains Financial Inc | 3,417 | 73 | ||||||
Starwood Property Trust Inc ‡ | 156,977 | 2,777 | ||||||
Summit Financial Group Inc | 3,604 | 75 | ||||||
Synovus Financial Corp | 20,383 | 628 | ||||||
Third Coast Bancshares Inc * | 4,000 | 63 | ||||||
TowneBank | 20,236 | 539 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Two Harbors Investment Corp ‡ | 11,596 | $ | 171 | |||||
Victory Capital Holdings Inc, Cl A | 19,500 | 571 | ||||||
Washington Federal Inc | 28,112 | 847 | ||||||
Zions Bancorp NA | 45,396 | 1,359 | ||||||
79,896 | ||||||||
Health Care — 6.5% | ||||||||
AbCellera Biologics Inc * | 1,480 | 11 | ||||||
AMN Healthcare Services Inc * | 38,720 | 3,212 | ||||||
Amneal Pharmaceuticals Inc * | 99,560 | 138 | ||||||
Arcus Biosciences Inc * | 8,877 | 162 | ||||||
Avanos Medical Inc * | 20,455 | 608 | ||||||
Catalyst Pharmaceuticals Inc * | 19,933 | 331 | ||||||
Co-Diagnostics Inc * | 10,330 | 15 | ||||||
Collegium Pharmaceutical Inc * | 39,267 | 942 | ||||||
Computer Programs and Systems Inc * | 19,696 | 595 | ||||||
Corcept Therapeutics Inc * | 4,347 | 94 | ||||||
Cross Country Healthcare Inc * | 101,251 | 2,260 | ||||||
Dynavax Technologies Corp * | 35,122 | 345 | ||||||
Eagle Pharmaceuticals Inc/DE * | 3,432 | 97 | ||||||
Emergent BioSolutions Inc * | 18,367 | 190 | ||||||
Enovis Corp * | 38,602 | 2,065 | ||||||
Exelixis Inc * | 43,393 | 842 | ||||||
Fulgent Genetics Inc * | 6,500 | 203 | ||||||
Innoviva Inc * | 17,595 | 198 | ||||||
Integra LifeSciences Holdings Corp * | 31,184 | 1,790 | ||||||
Ironwood Pharmaceuticals Inc, Cl A * | 149,808 | 1,576 | ||||||
iTeos Therapeutics Inc * | 7,004 | 95 | ||||||
LivaNova PLC * | 23,056 | 1,005 | ||||||
NextGen Healthcare Inc * | 1,004 | 17 | ||||||
Organon & Co | 30,000 | 706 | ||||||
Pediatrix Medical Group Inc * | 23,879 | 356 | ||||||
Premier Inc, Cl A | 27,248 | 882 | ||||||
Prestige Consumer Healthcare Inc, Cl A * | 21,072 | 1,320 | ||||||
QuidelOrtho Corp * | 13,244 | 1,180 | ||||||
Select Medical Holdings Corp | 46,496 | 1,202 | ||||||
SIGA Technologies Inc * | 13,000 | 75 | ||||||
Vanda Pharmaceuticals Inc * | 17,220 | 117 | ||||||
Varex Imaging Corp * | 4,500 | 82 | ||||||
Veradigm Inc * | 20,048 | 262 | ||||||
Zimvie Inc * | 5,861 | 42 | ||||||
23,015 | ||||||||
Industrials — 14.9% | ||||||||
ABM Industries Inc | 56,717 | 2,549 | ||||||
ACCO Brands Corp | 510,841 | 2,718 | ||||||
AerSale Corp * | 4,881 | 84 | ||||||
Alaska Air Group Inc * | 15,633 | 656 | ||||||
Allison Transmission Holdings Inc | 24,064 | 1,089 | ||||||
Apogee Enterprises Inc | 14,704 | 636 | ||||||
ArcBest Corp | 14,630 | 1,352 | ||||||
Argan Inc | 754 | 31 | ||||||
Atkore Inc * | 13,535 | 1,901 |
48
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Boise Cascade Co | 11,348 | $ | 718 | |||||
BWX Technologies Inc, Cl W | 56,937 | 3,589 | ||||||
Conduent Inc * | 52,230 | 179 | ||||||
CoreCivic Inc *‡ | 22,280 | 205 | ||||||
Covenant Logistics Group Inc, Cl A | 3,450 | 122 | ||||||
CSG Systems International Inc | 15,466 | 831 | ||||||
Deluxe Corp | 12,713 | 203 | ||||||
Eagle Bulk Shipping Inc | 3,395 | 155 | ||||||
EMCOR Group Inc | 4,045 | 658 | ||||||
Encore Wire Corp | 11,356 | 2,105 | ||||||
Ennis Inc | 21,905 | 462 | ||||||
Esab Corp | 39,045 | 2,306 | ||||||
Fluor Corp * | 10,509 | 325 | ||||||
Genco Shipping & Trading Ltd | 6,414 | 100 | ||||||
GXO Logistics Inc * | 63,299 | 3,194 | ||||||
Heidrick & Struggles International Inc | 5,834 | 177 | ||||||
Hillenbrand Inc | 11,392 | 541 | ||||||
Hub Group Inc, Cl A * | 724 | 61 | ||||||
Interface Inc, Cl A | 38,264 | 311 | ||||||
Kaman Corp, Cl A | 33,906 | 775 | ||||||
KAR Auction Services Inc * | 171,144 | 2,341 | ||||||
Kelly Services Inc, Cl A | 29,293 | 486 | ||||||
Kennametal Inc | 13,020 | 359 | ||||||
ManpowerGroup Inc | 6,913 | 571 | ||||||
Matson Inc | 9,719 | 580 | ||||||
MDU Resources Group Inc | 25,108 | 765 | ||||||
Moog Inc, Cl A | 12,159 | 1,225 | ||||||
Mueller Industries Inc | 24,390 | 1,792 | ||||||
Park-Ohio Holdings Corp | 11,604 | 140 | ||||||
Primoris Services Corp | 26,839 | 662 | ||||||
Quanex Building Products Corp | 7,497 | 161 | ||||||
Resources Connection Inc | 4,918 | 84 | ||||||
Ritchie Bros Auctioneers Inc | 17,286 | 973 | ||||||
Rush Enterprises Inc, Cl A | 17,288 | 944 | ||||||
Ryder System Inc | 15,874 | 1,417 | ||||||
Safe Bulkers Inc | 26,340 | 97 | ||||||
SkyWest Inc * | 8,046 | 178 | ||||||
Terex Corp | 36,794 | 1,780 | ||||||
Timken Co/The | 14,464 | 1,182 | ||||||
Titan International Inc * | 15,000 | 157 | ||||||
Titan Machinery Inc * | 5,729 | 174 | ||||||
Triton International Ltd | 23,720 | 1,500 | ||||||
TrueBlue Inc * | 13,004 | 231 | ||||||
Tutor Perini Corp * | 11,956 | 74 | ||||||
UFP Industries Inc | 3,153 | 251 | ||||||
V2X Inc * | 593 | 24 | ||||||
Verra Mobility Corp, Cl A * | 132,879 | 2,248 | ||||||
Wabash National Corp | 44,196 | 1,087 | ||||||
Werner Enterprises Inc | 23,723 | 1,079 | ||||||
WESCO International Inc | 13,054 | 2,017 | ||||||
XPO Inc * | 9,499 | 303 | ||||||
52,915 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Information Technology — 9.6% | ||||||||
ACI Worldwide Inc * | 43,431 | $ | 1,172 | |||||
Adeia Inc | 29,641 | 263 | ||||||
Amkor Technology Inc | 108,210 | 2,816 | ||||||
Avnet Inc | 29,289 | 1,324 | ||||||
Benchmark Electronics Inc | 26,198 | 621 | ||||||
Cirrus Logic Inc * | 10,817 | 1,183 | ||||||
Consensus Cloud Solutions Inc * | 25,304 | 862 | ||||||
Diodes Inc * | 15,413 | 1,430 | ||||||
Insight Enterprises Inc * | 5,915 | 845 | ||||||
Jabil Inc | 30,253 | 2,667 | ||||||
Methode Electronics Inc | 10,375 | 455 | ||||||
NCR Corp * | 32,204 | 760 | ||||||
NetScout Systems Inc * | 6,016 | 172 | ||||||
Photronics Inc * | 165,203 | 2,739 | ||||||
Rimini Street Inc * | 7,468 | 31 | ||||||
Sanmina Corp * | 50,058 | 3,053 | ||||||
ScanSource Inc * | 15,259 | 464 | ||||||
Silicon Motion Technology Corp ADR | 28,889 | 1,893 | ||||||
Super Micro Computer Inc * | 34,265 | 3,651 | ||||||
TD SYNNEX Corp | 8,893 | 861 | ||||||
Teledyne Technologies Inc * | 3,474 | 1,554 | ||||||
TTM Technologies Inc * | 53,829 | 726 | ||||||
Unisys Corp * | 8,449 | 33 | ||||||
Verint Systems Inc * | 89,422 | 3,330 | ||||||
Vishay Intertechnology Inc | 38,941 | 881 | ||||||
Xerox Holdings Corp | 27,788 | 428 | ||||||
34,214 | ||||||||
Materials — 8.6% | ||||||||
AdvanSix Inc | 23,393 | 895 | ||||||
Alpha Metallurgical Resources Inc | 2,250 | 351 | ||||||
Ashland Inc | 32,467 | 3,335 | ||||||
Axalta Coating Systems Ltd * | 114,882 | 3,480 | ||||||
Chemours Co/The | 20,292 | 608 | ||||||
Clearwater Paper Corp * | 4,378 | 146 | ||||||
Commercial Metals Co, Cl A | 81,766 | 3,998 | ||||||
FMC Corp | 27,142 | 3,315 | ||||||
FutureFuel Corp | 8,285 | 61 | ||||||
Greif Inc, Cl A | 26,208 | 1,661 | ||||||
Huntsman Corp | 37,937 | 1,038 | ||||||
Ingevity Corp * | 9,734 | 696 | ||||||
Koppers Holdings Inc | 23,760 | 831 | ||||||
Kronos Worldwide Inc | 1,434 | 13 | ||||||
Louisiana-Pacific Corp | 11,888 | 644 | ||||||
Mativ Holdings Inc | 22,418 | 481 | ||||||
Minerals Technologies Inc | 1,186 | 72 | ||||||
O-I Glass Inc, Cl I * | 47,243 | 1,073 | ||||||
Rayonier Advanced Materials Inc * | 3,940 | 25 | ||||||
Silgan Holdings Inc | 123,208 | 6,613 | ||||||
SunCoke Energy Inc | 88,096 | 791 | ||||||
TimkenSteel Corp * | 7,730 | 142 | ||||||
Valhi Inc | 1,055 | 18 |
SEI Institutional Managed Trust
49
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Small Cap Value Fund (Concluded)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Warrior Met Coal Inc | 12,359 | $ | 454 | |||||
30,741 | ||||||||
Real Estate — 6.0% | ||||||||
Acadia Realty Trust ‡ | 1,711 | 24 | ||||||
Alexander & Baldwin Inc ‡ | 9,957 | 188 | ||||||
American Assets Trust Inc ‡ | 28,681 | 533 | ||||||
Anywhere Real Estate Inc * | 29,998 | 158 | ||||||
Apple Hospitality REIT Inc ‡ | 52,276 | 811 | ||||||
Brandywine Realty Trust ‡ | 55,921 | 265 | ||||||
Brixmor Property Group Inc ‡ | 29,107 | 626 | ||||||
Chatham Lodging Trust ‡ | 44,725 | 469 | ||||||
City Office REIT Inc ‡ | 40,274 | 278 | ||||||
CTO Realty Growth Inc ‡ | 4,895 | 84 | ||||||
DiamondRock Hospitality Co ‡ | 6,594 | 54 | ||||||
Diversified Healthcare Trust ‡ | 48,583 | 66 | ||||||
Douglas Elliman Inc | 25,262 | 79 | ||||||
EPR Properties, Cl A ‡ | 23,636 | 901 | ||||||
Equity Commonwealth *‡ | 63,739 | 1,320 | ||||||
Forestar Group Inc * | 5,053 | 79 | ||||||
Franklin Street Properties Corp ‡ | 86,591 | 136 | ||||||
Gaming and Leisure Properties Inc ‡ | 93,499 | 4,868 | ||||||
Global Net Lease Inc ‡ | 56,412 | 725 | ||||||
Hersha Hospitality Trust, Cl A ‡ | 9,104 | 61 | ||||||
Industrial Logistics Properties Trust ‡ | 36,893 | 113 | ||||||
Kite Realty Group Trust ‡ | 32,262 | 675 | ||||||
LXP Industrial Trust, Cl B ‡ | 3,503 | 36 | ||||||
Marcus & Millichap Inc | 3,088 | 99 | ||||||
Medical Properties Trust Inc ‡ | 253,654 | 2,085 | ||||||
Newmark Group Inc, Cl A | 188,137 | 1,332 | ||||||
Office Properties Income Trust ‡ | 18,671 | 230 | ||||||
Paramount Group Inc ‡ | 2,496 | 11 | ||||||
Pebblebrook Hotel Trust ‡ | 4,360 | 61 | ||||||
Piedmont Office Realty Trust Inc, Cl A ‡ | 64,119 | 468 | ||||||
PotlatchDeltic Corp ‡ | 15,171 | 751 | ||||||
RLJ Lodging Trust ‡ | 16,338 | 173 | ||||||
Sabra Health Care Inc ‡ | 111,299 | 1,280 | ||||||
Service Properties Trust ‡ | 45,487 | 453 | ||||||
SITE Centers Corp ‡ | 4,500 | 55 | ||||||
Summit Hotel Properties Inc ‡ | 4,100 | 29 | ||||||
Sunstone Hotel Investors Inc ‡ | 17,789 | 176 | ||||||
Tanger Factory Outlet Centers Inc ‡ | 58,286 | 1,144 | ||||||
Uniti Group Inc ‡ | 91,739 | 326 | ||||||
Urstadt Biddle Properties Inc, Cl A ‡ | 8,782 | 154 | ||||||
Xenia Hotels & Resorts Inc ‡ | 5,651 | 74 | ||||||
21,450 | ||||||||
Utilities — 0.8% | ||||||||
National Fuel Gas Co | 26,315 | 1,519 | ||||||
Northwest Natural Holding Co | 6,625 | 315 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Otter Tail Corp | 2,420 | $ | 175 | |||||
Portland General Electric Co | 3,596 | 176 | ||||||
UGI Corp | 12,300 | 428 | ||||||
Unitil Corp | 1,587 | 90 | ||||||
Via Renewables Inc, Cl A | 857 | 16 | ||||||
2,719 | ||||||||
Total Common Stock | ||||||||
(Cost $299,283) ($ Thousands) | 350,738 | |||||||
AFFILIATED PARTNERSHIP — 0.7% | ||||||||
SEI Liquidity Fund, LP | ||||||||
4.740% **†(B) | 2,391,488 | 2,394 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $2,392) ($ Thousands) | 2,394 | |||||||
CASH EQUIVALENT — 1.5% | ||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | ||||||||
4.570%**† | 5,279,314 | 5,279 | ||||||
Total Cash Equivalent | ||||||||
(Cost $5,279) ($ Thousands) | 5,279 | |||||||
Total Investments in Securities — 100.7% | ||||||||
(Cost $306,954) ($ Thousands) | $ | 358,411 | ||||||
| Percentages are based on Net Assets of $355,906 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2023. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2023 (see Note 12). |
(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 March 31, 2023 was $2,394 ($ Thousands). |
The following is a summary of the level of inputs used as of March 31, 2023, in valuing the Fund's investments carried at value ($ Thousands): | ||||||||||||||||
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | 350,738 | – | – | 350,738 | ||||||||||||
Affiliated Partnership | – | 2,394 | – | 2,394 | ||||||||||||
Cash Equivalent | 5,279 | – | – | 5,279 | ||||||||||||
Total Investments in Securities | 356,017 | 2,394 | – | 358,411 |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
50
SEI Institutional Managed Trust
The following is a summary of the Fund’s transactions with affiliates for the period ended March 31, 2023 ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 3/31/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 675 | $ | 4,974 | $ | (3,255 | ) | $ | — | $ | — | $ | 2,394 | $ | 5 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | 10,063 | 52,549 | (57,333 | ) | — | — | 5,279 | 106 | — | |||||||||||||||||||||||
Totals | $ | 10,738 | $ | 57,523 | $ | (60,588 | ) | $ | — | $ | — | $ | 7,673 | $ | 111 | $ | — |
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
51
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 — 98.7% | ||||||||
Communication Services — 3.6% | ||||||||
Bandwidth Inc, Cl A * | 27,327 | $ | 415 | |||||
Bumble Inc, Cl A * | 19,566 | 383 | ||||||
Cargurus Inc, Cl A * | 121,722 | 2,274 | ||||||
Cars.com Inc * | 29,686 | 573 | ||||||
EverQuote Inc, Cl A * | 32,566 | 453 | ||||||
Gogo Inc * | 9,322 | 135 | ||||||
Integral Ad Science Holding Corp * | 45,855 | 654 | ||||||
Iridium Communications Inc | 23,302 | 1,443 | ||||||
Reservoir Media Inc *(A) | 161,636 | 1,054 | ||||||
Shutterstock Inc | 16,609 | 1,206 | ||||||
Stagwell Inc, Cl A * | 76,341 | 566 | ||||||
TechTarget Inc * | 13,869 | 501 | ||||||
Yelp Inc, Cl A * | 8,808 | 270 | ||||||
ZipRecruiter Inc, Cl A * | 104,754 | 1,670 | ||||||
11,597 | ||||||||
Consumer Discretionary — 13.3% | ||||||||
Academy Sports & Outdoors Inc | 26,444 | 1,726 | ||||||
American Eagle Outfitters Inc | 44,162 | 594 | ||||||
Asbury Automotive Group Inc * | 3,248 | 682 | ||||||
AutoNation Inc * | 5,059 | 680 | ||||||
Bloomin' Brands Inc | 17,613 | 452 | ||||||
Boot Barn Holdings Inc * | 8,812 | 675 | ||||||
Bowlero Corp * | 51,506 | 873 | ||||||
Boyd Gaming Corp | 2,419 | 155 | ||||||
Brinker International Inc * | 10,988 | 418 | ||||||
Canada Goose Holdings Inc *(A) | 48,331 | 930 | ||||||
Cavco Industries Inc * | 1,905 | 605 | ||||||
Clarus Corp | 59,446 | 562 | ||||||
Crocs Inc * | 20,653 | 2,611 | ||||||
Dave & Buster's Entertainment Inc * | 5,753 | 212 | ||||||
Deckers Outdoor Corp * | 1,939 | 872 | ||||||
Dick's Sporting Goods Inc | 4,913 | 697 | ||||||
Dillard's Inc, Cl A | 1,479 | 455 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Duolingo Inc, Cl A * | 6,937 | $ | 989 | |||||
Ethan Allen Interiors Inc | 3,390 | 93 | ||||||
Everi Holdings Inc * | 53,473 | 917 | ||||||
Farfetch Ltd, Cl A * | 124,414 | 611 | ||||||
Foot Locker Inc, Cl A | 17,710 | 703 | ||||||
Frontdoor Inc * | 57,107 | 1,592 | ||||||
Grand Canyon Education Inc * | 10,370 | 1,181 | ||||||
Green Brick Partners Inc * | 19,486 | 683 | ||||||
Group 1 Automotive Inc | 2,668 | 604 | ||||||
Hanesbrands Inc * | 80,026 | 421 | ||||||
Installed Building Products Inc | 4,826 | 550 | ||||||
International Game Technology PLC | 23,241 | 623 | ||||||
Lovesac Co/The * | 6,292 | 182 | ||||||
MasterCraft Boat Holdings Inc * | 13,709 | 417 | ||||||
Modine Manufacturing Co * | 51,726 | 1,192 | ||||||
Movado Group Inc | 8,598 | 247 | ||||||
Murphy USA Inc | 2,777 | 717 | ||||||
NEOGAMES SA * | 102,303 | 1,555 | ||||||
Oxford Industries Inc, Cl A | 7,948 | 839 | ||||||
PlayAGS Inc * | 186,766 | 1,335 | ||||||
Red Robin Gourmet Burgers Inc * | 42,905 | 614 | ||||||
Sally Beauty Holdings Inc * | 92,264 | 1,437 | ||||||
SeaWorld Entertainment Inc * | 4,963 | 304 | ||||||
Signet Jewelers Ltd | 5,584 | 434 | ||||||
Skechers USA Inc, Cl A * | 51,209 | 2,434 | ||||||
Skyline Champion Corp * | 23,280 | 1,751 | ||||||
Stoneridge Inc * | 76,189 | 1,425 | ||||||
Stride Inc * | 17,284 | 678 | ||||||
Target Hospitality Corp * | 39,382 | 518 | ||||||
Taylor Morrison Home Corp, Cl A * | 13,029 | 499 | ||||||
Texas Roadhouse Inc, Cl A | 4,174 | 451 | ||||||
Vista Outdoor Inc * | 12,660 | 351 | ||||||
Visteon Corp * | 9,712 | 1,523 | ||||||
Wynn Resorts Ltd * | 7,555 | 846 | ||||||
Xponential Fitness Inc, Cl A * | 23,542 | 716 | ||||||
42,631 | ||||||||
Consumer Staples — 5.0% | ||||||||
Andersons Inc/The | 5,126 | 212 | ||||||
Beauty Health Co/The * | 115,516 | 1,459 | ||||||
BellRing Brands Inc * | 27,331 | 929 | ||||||
Cal-Maine Foods Inc | 7,968 | 485 | ||||||
Celsius Holdings Inc * | 6,949 | 646 | ||||||
Chefs' Warehouse Inc/The * | 13,997 | 477 | ||||||
Coca-Cola Consolidated Inc | 568 | 304 | ||||||
Coty Inc, Cl A * | 78,342 | 945 | ||||||
elf Beauty Inc * | 26,040 | 2,144 | ||||||
Hostess Brands Inc, Cl A * | 30,081 | 748 | ||||||
Inter Parfums Inc | 13,492 | 1,919 | ||||||
John B Sanfilippo & Son Inc | 6,369 | 617 | ||||||
MGP Ingredients Inc | 9,579 | 927 | ||||||
Performance Food Group Co * | 11,108 | 670 | ||||||
Primo Water Corp | 40,770 | 626 |
52
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
SpartanNash Co | 11,315 | $ | 281 | |||||
Turning Point Brands Inc | 92,757 | 1,948 | ||||||
Vita Coco Co Inc/The * | 40,733 | 799 | ||||||
16,136 | ||||||||
Energy — 5.3% | ||||||||
Archrock Inc | 66,065 | 646 | ||||||
Borr Drilling Ltd * | 117,887 | 894 | ||||||
Chord Energy Corp | 2,202 | 296 | ||||||
Civitas Resources Inc | 10,479 | 716 | ||||||
CVR Energy Inc | 14,388 | 472 | ||||||
DHT Holdings Inc | 54,622 | 591 | ||||||
Earthstone Energy Inc, Cl A * | 16,120 | 210 | ||||||
Expro Group Holdings NV * | 29,038 | 533 | ||||||
Frontline PLC | 5,767 | 96 | ||||||
Helix Energy Solutions Group Inc * | 124,677 | 965 | ||||||
Liberty Energy Inc, Cl A | 40,993 | 525 | ||||||
Nabors Industries Ltd * | 2,807 | 342 | ||||||
NexTier Oilfield Solutions Inc * | 36,432 | 290 | ||||||
Noble Corp PLC * | 17,666 | 697 | ||||||
Nordic American Tankers Ltd | 157,184 | 622 | ||||||
Northern Oil and Gas Inc | 21,747 | 660 | ||||||
Oceaneering International Inc, Cl A * | 43,670 | 770 | ||||||
Par Pacific Holdings Inc * | 51,793 | 1,512 | ||||||
PBF Energy Inc, Cl A | 14,082 | 611 | ||||||
PDC Energy Inc, Cl A | 7,484 | 480 | ||||||
Peabody Energy Corp * | 12,521 | 321 | ||||||
Permian Resources Corp, Cl A | 91,246 | 958 | ||||||
RPC Inc | 58,870 | 453 | ||||||
Select Energy Services Inc, Cl A | 10,362 | 72 | ||||||
SFL Corp Ltd | 19,621 | 186 | ||||||
Tidewater Inc * | 23,853 | 1,051 | ||||||
US Silica Holdings Inc * | 31,854 | 380 | ||||||
Viper Energy Partners LP | 14,402 | 403 | ||||||
Weatherford International PLC * | 22,749 | 1,350 | ||||||
17,102 | ||||||||
Financials — 7.7% | ||||||||
Amerant Bancorp Inc, Cl A | 5,820 | 127 | ||||||
Artisan Partners Asset Management Inc, Cl A | 11,876 | 380 | ||||||
Associated Banc-Corp | 22,245 | 400 | ||||||
Axos Financial Inc * | 9,347 | 345 | ||||||
Bancorp Inc/The * | 9,564 | 266 | ||||||
Banner Corp | 8,437 | 459 | ||||||
BGC Partners Inc, Cl A | 197,214 | 1,031 | ||||||
Blackstone Mortgage Trust Inc, Cl A ‡ | 16,735 | 299 | ||||||
City Holding Co | 998 | 91 | ||||||
CNO Financial Group Inc | 22,623 | 502 | ||||||
Customers Bancorp Inc * | 11,593 | 215 | ||||||
Donnelley Financial Solutions Inc * | 6,564 | 268 | ||||||
Eagle Bancorp Inc | 9,259 | 310 | ||||||
Employers Holdings Inc | 8,749 | 365 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Enova International Inc * | 23,150 | $ | 1,029 | |||||
Enterprise Financial Services Corp | 17,459 | 778 | ||||||
First Bank/Hamilton NJ | 11,277 | 114 | ||||||
First Commonwealth Financial Corp | 32,753 | 407 | ||||||
First Financial Bancorp | 19,426 | 423 | ||||||
Fulton Financial Corp | 50,504 | 698 | ||||||
Hanmi Financial Corp | 22,899 | 425 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital Inc ‡ | 6,871 | 196 | ||||||
Heartland Financial USA Inc | 11,845 | 454 | ||||||
Heritage Financial Corp/WA | 6,542 | 140 | ||||||
Houlihan Lokey Inc, Cl A | 6,857 | 600 | ||||||
International Money Express Inc * | 73,961 | 1,907 | ||||||
Kinsale Capital Group Inc | 4,603 | 1,382 | ||||||
Mr Cooper Group Inc * | 29,428 | 1,206 | ||||||
Navient Corp | 18,169 | 290 | ||||||
NerdWallet Inc, Cl A * | 34,718 | 562 | ||||||
OceanFirst Financial Corp | 18,721 | 346 | ||||||
Orrstown Financial Services Inc | 5,121 | 102 | ||||||
Payoneer Global Inc * | 100,955 | 634 | ||||||
PennyMac Financial Services Inc | 1,509 | 90 | ||||||
Preferred Bank/Los Angeles CA | 9,084 | 498 | ||||||
Remitly Global Inc * | 60,665 | 1,028 | ||||||
RenaissanceRe Holdings Ltd | 4,053 | 812 | ||||||
RLI Corp | 7,211 | 958 | ||||||
S&T Bancorp Inc | 17,015 | 535 | ||||||
Selective Insurance Group Inc | 4,619 | 440 | ||||||
Shift4 Payments Inc, Cl A * | 11,910 | 903 | ||||||
Victory Capital Holdings Inc, Cl A | 14,137 | 414 | ||||||
Voya Financial Inc | 8,847 | 632 | ||||||
Washington Federal Inc | 17,308 | 521 | ||||||
WisdomTree Inc | 208,395 | 1,221 | ||||||
24,803 | ||||||||
Health Care — 20.3% | ||||||||
4D Molecular Therapeutics Inc * | 32,306 | 555 | ||||||
89bio Inc * | 36,087 | 550 | ||||||
ACADIA Pharmaceuticals Inc * | 30,552 | 575 | ||||||
Addus HomeCare Corp * | 4,273 | 456 | ||||||
ADMA Biologics Inc * | 163,076 | 540 | ||||||
Akero Therapeutics Inc * | 12,248 | 469 | ||||||
Alkermes PLC * | 15,005 | 423 | ||||||
AMN Healthcare Services Inc * | 3,532 | 293 | ||||||
Amphastar Pharmaceuticals Inc * | 20,825 | 781 | ||||||
Amylyx Pharmaceuticals Inc * | 16,245 | 477 | ||||||
Arbutus Biopharma Corp * | 73,832 | 224 | ||||||
Arcellx Inc * | 32,925 | 1,014 | ||||||
Artivion Inc * | 46,721 | 612 | ||||||
Arvinas Inc * | 19,341 | 528 | ||||||
Assertio Holdings Inc * | 98,749 | 629 | ||||||
Aurinia Pharmaceuticals Inc * | 46,126 | 506 | ||||||
Avid Bioservices Inc * | 19,092 | 358 | ||||||
Axogen Inc * | 41,733 | 394 |
SEI Institutional Managed Trust
53
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Small Cap Growth Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Axonics Inc * | 10,215 | $ | 557 | |||||
Biomea Fusion Inc * | 17,568 | 545 | ||||||
Bridgebio Pharma Inc * | 47,348 | 785 | ||||||
C4 Therapeutics Inc * | 77,945 | 245 | ||||||
CareDx Inc * | 21,007 | 192 | ||||||
Catalyst Pharmaceuticals Inc * | 49,429 | 820 | ||||||
Celldex Therapeutics Inc * | 14,177 | 510 | ||||||
Certara Inc * | 68,919 | 1,662 | ||||||
Chinook Therapeutics Inc * | 31,747 | 735 | ||||||
Collegium Pharmaceutical Inc * | 23,024 | 552 | ||||||
CorVel Corp * | 1,759 | 335 | ||||||
Cross Country Healthcare Inc * | 14,340 | 320 | ||||||
DICE Therapeutics Inc * | 22,859 | 655 | ||||||
Eagle Pharmaceuticals Inc/DE * | 12,083 | 343 | ||||||
Ensign Group Inc/The | 6,807 | 650 | ||||||
Erasca Inc * | 85,761 | 258 | ||||||
Haemonetics Corp * | 8,308 | 688 | ||||||
Halozyme Therapeutics Inc * | 9,033 | 345 | ||||||
Harmony Biosciences Holdings Inc * | 11,007 | 359 | ||||||
Harrow Health Inc * | 36,300 | 768 | ||||||
HealthEquity Inc * | 37,716 | 2,214 | ||||||
Heron Therapeutics Inc * | 164,901 | 249 | ||||||
Hims & Hers Health Inc * | 104,653 | 1,038 | ||||||
ImmunoGen Inc * | 15,787 | 61 | ||||||
Inhibrx Inc * | 26,446 | 499 | ||||||
Intercept Pharmaceuticals Inc * | 39,193 | 526 | ||||||
Ironwood Pharmaceuticals Inc, Cl A * | 44,101 | 464 | ||||||
iTeos Therapeutics Inc * | 7,324 | 100 | ||||||
IVERIC bio Inc * | 25,785 | 627 | ||||||
Kiniksa Pharmaceuticals Ltd, Cl A * | 72,398 | 779 | ||||||
Krystal Biotech Inc * | 7,630 | 611 | ||||||
Lantheus Holdings Inc * | 34,585 | 2,855 | ||||||
Ligand Pharmaceuticals Inc * | 6,361 | 468 | ||||||
Madrigal Pharmaceuticals Inc * | 3,248 | 787 | ||||||
MaxCyte Inc * | 155,225 | 768 | ||||||
Medpace Holdings Inc * | 6,554 | 1,232 | ||||||
Merit Medical Systems Inc * | 50,414 | 3,728 | ||||||
Natera Inc * | 13,288 | 738 | ||||||
NeoGenomics Inc * | 35,265 | 614 | ||||||
Nevro Corp * | 19,140 | 692 | ||||||
NextGen Healthcare Inc * | 38,514 | 671 | ||||||
Nuvalent Inc, Cl A * | 19,005 | 496 | ||||||
Omnicell Inc * | 15,435 | 906 | ||||||
Option Care Health Inc * | 14,441 | 459 | ||||||
Paragon 28 Inc * | 49,522 | 845 | ||||||
Pediatrix Medical Group Inc * | 52,442 | 782 | ||||||
Penumbra Inc * | 2,258 | 629 | ||||||
Phreesia Inc * | 22,792 | 736 | ||||||
Pliant Therapeutics Inc * | 17,835 | 474 | ||||||
PMV Pharmaceuticals Inc * | 94,804 | 452 | ||||||
Prestige Consumer Healthcare Inc, Cl A * | 8,212 | 514 | ||||||
Prometheus Biosciences Inc * | 9,092 | 976 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Prothena Corp PLC * | 12,508 | $ | 606 | |||||
QuidelOrtho Corp * | 38,565 | 3,436 | ||||||
Relay Therapeutics Inc * | 28,142 | 464 | ||||||
Revance Therapeutics Inc * | 38,208 | 1,231 | ||||||
Shockwave Medical Inc * | 3,381 | 733 | ||||||
Sight Sciences Inc * | 68,908 | 602 | ||||||
Silk Road Medical Inc * | 15,801 | 618 | ||||||
Sonendo Inc * | 139,610 | 279 | ||||||
SpringWorks Therapeutics Inc * | 24,732 | 637 | ||||||
STAAR Surgical Co * | 1,352 | 86 | ||||||
Supernus Pharmaceuticals Inc * | 46,888 | 1,699 | ||||||
Tenet Healthcare Corp * | 8,951 | 532 | ||||||
TG Therapeutics Inc * | 43,599 | 656 | ||||||
TransMedics Group Inc * | 16,956 | 1,284 | ||||||
UFP Technologies Inc * | 6,832 | 887 | ||||||
Vaxcyte Inc * | 16,734 | 627 | ||||||
Ventyx Biosciences Inc * | 19,038 | 638 | ||||||
Veracyte Inc * | 32,101 | 716 | ||||||
Veradigm Inc * | 12,411 | 162 | ||||||
Viking Therapeutics Inc * | 69,497 | 1,157 | ||||||
Viridian Therapeutics Inc * | 18,060 | 459 | ||||||
65,207 | ||||||||
Industrials — 22.0% | ||||||||
AAON Inc | 17,251 | 1,668 | ||||||
ACV Auctions Inc, Cl A * | 199,825 | 2,580 | ||||||
Alamo Group Inc | 3,884 | 715 | ||||||
Alight Inc, Cl A * | 288,243 | 2,655 | ||||||
Allegiant Travel Co, Cl A * | 4,666 | 429 | ||||||
Apogee Enterprises Inc | 12,442 | 538 | ||||||
Applied Industrial Technologies Inc, Cl A | 12,198 | 1,734 | ||||||
Arcosa Inc | 8,649 | 546 | ||||||
Atkore Inc * | 14,035 | 1,972 | ||||||
Avis Budget Group Inc * | 1,439 | 280 | ||||||
Barrett Business Services Inc | 4,450 | 394 | ||||||
Beacon Roofing Supply Inc * | 19,148 | 1,127 | ||||||
Boise Cascade Co | 4,541 | 287 | ||||||
Byrna Technologies Inc * | 122,117 | 927 | ||||||
CBIZ Inc * | 11,167 | 553 | ||||||
Cimpress PLC * | 16,514 | 724 | ||||||
Clean Harbors Inc * | 5,173 | 737 | ||||||
Comfort Systems USA Inc | 13,100 | 1,912 | ||||||
Crane NXT Co | 6,622 | 752 | ||||||
Dycom Industries Inc * | 8,835 | 827 | ||||||
EMCOR Group Inc | 9,075 | 1,475 | ||||||
Encore Wire Corp | 3,802 | 705 | ||||||
Ennis Inc | 4,669 | 98 | ||||||
ESCO Technologies Inc | 4,978 | 475 | ||||||
Evoqua Water Technologies Corp * | 15,408 | 766 | ||||||
ExlService Holdings Inc * | 11,624 | 1,881 | ||||||
Federal Signal Corp | 16,903 | 916 | ||||||
Forrester Research Inc * | 37,608 | 1,217 | ||||||
Forward Air Corp | 17,010 | 1,833 |
54
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Franklin Covey Co * | 2,081 | $ | 80 | |||||
FTI Consulting Inc * | 4,249 | 838 | ||||||
GMS Inc * | 6,076 | 352 | ||||||
Griffon Corp | 29,718 | 951 | ||||||
H&E Equipment Services Inc | 12,810 | 567 | ||||||
Heartland Express Inc | 44,675 | 711 | ||||||
Helios Technologies Inc | 6,705 | 438 | ||||||
Herc Holdings Inc | 2,749 | 313 | ||||||
Heritage-Crystal Clean Inc * | 77,579 | 2,763 | ||||||
Hillenbrand Inc | 11,225 | 533 | ||||||
Hub Group Inc, Cl A * | 4,523 | 380 | ||||||
Hudson Technologies Inc * | 299,314 | 2,613 | ||||||
Huron Consulting Group Inc * | 16,797 | 1,350 | ||||||
ICF International Inc, Cl A | 1,240 | 136 | ||||||
Janus International Group Inc * | 38,752 | 382 | ||||||
John Bean Technologies Corp, Cl A | 10,630 | 1,162 | ||||||
Kadant Inc | 4,890 | 1,020 | ||||||
Kirby Corp * | 27,819 | 1,939 | ||||||
Korn Ferry | 8,422 | 436 | ||||||
Legalzoom.com Inc * | 124,814 | 1,171 | ||||||
Matson Inc | 21,177 | 1,264 | ||||||
Maxar Technologies Inc | 4,476 | 229 | ||||||
McGrath RentCorp | 3,943 | 368 | ||||||
MYR Group Inc * | 1,829 | 230 | ||||||
NOW Inc * | 57,259 | 638 | ||||||
nVent Electric PLC | 17,520 | 752 | ||||||
Quanex Building Products Corp | 11,556 | 249 | ||||||
Ritchie Bros Auctioneers Inc | 50,659 | 2,852 | ||||||
Rocket Lab USA Inc * | 106,971 | 432 | ||||||
Rush Enterprises Inc, Cl A | 15,765 | 861 | ||||||
Shoals Technologies Group Inc, Cl A * | 15,529 | 354 | ||||||
SP Plus Corp * | 43,928 | 1,506 | ||||||
SPX Technologies Inc * | 10,241 | 723 | ||||||
Sterling Infrastructure Inc * | 22,016 | 834 | ||||||
Sun Country Airlines Holdings Inc * | 20,961 | 430 | ||||||
Tennant Co | 22,508 | 1,542 | ||||||
Terex Corp | 23,760 | 1,149 | ||||||
Thermon Group Holdings Inc * | 24,360 | 607 | ||||||
Timken Co/The | 8,875 | 725 | ||||||
Titan Machinery Inc * | 21,824 | 665 | ||||||
Transcat Inc * | 1,095 | 98 | ||||||
TriNet Group Inc * | 9,013 | 726 | ||||||
TrueBlue Inc * | 30,318 | 540 | ||||||
UniFirst Corp/MA | 2,102 | 370 | ||||||
Wabash National Corp | 46,712 | 1,149 | ||||||
WESCO International Inc | 4,657 | 720 | ||||||
WillScot Mobile Mini Holdings Corp, Cl A * | 38,920 | 1,825 | ||||||
70,696 | ||||||||
Information Technology — 15.5% | ||||||||
8x8 Inc * | 183,693 | 766 | ||||||
A10 Networks Inc | 21,880 | 339 | ||||||
ADTRAN Holdings Inc | 29,313 | 465 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Aehr Test Systems * | 21,743 | $ | 674 | |||||
Agilysys Inc * | 12,055 | 995 | ||||||
Alkami Technology Inc * | 108,451 | 1,373 | ||||||
Allegro MicroSystems Inc * | 48,085 | 2,308 | ||||||
Altair Engineering Inc, Cl A * | 21,552 | 1,554 | ||||||
Asure Software Inc * | 42,719 | 619 | ||||||
Axcelis Technologies Inc * | 15,735 | 2,097 | ||||||
Badger Meter Inc | 12,903 | 1,572 | ||||||
Belden Inc | 19,361 | 1,680 | ||||||
Blackbaud Inc, Cl A * | 6,651 | 461 | ||||||
Box Inc, Cl A * | 12,166 | 326 | ||||||
C3.ai Inc, Cl A *(A) | 20,430 | 686 | ||||||
Cirrus Logic Inc * | 8,704 | 952 | ||||||
Clearfield Inc * | 4,484 | 209 | ||||||
Consensus Cloud Solutions Inc * | 54,493 | 1,858 | ||||||
Digi International Inc * | 12,645 | 426 | ||||||
EngageSmart Inc * | 21,821 | 420 | ||||||
Everbridge Inc * | 9,734 | 337 | ||||||
Extreme Networks Inc * | 64,666 | 1,236 | ||||||
Fabrinet * | 5,382 | 639 | ||||||
Fastly Inc, Cl A * | 46,367 | 823 | ||||||
Hackett Group Inc/The | 6,806 | 126 | ||||||
Impinj Inc * | 17,694 | 2,398 | ||||||
indie Semiconductor Inc, Cl A * | 65,986 | 696 | ||||||
Insight Enterprises Inc * | 6,762 | 967 | ||||||
Intapp Inc * | 27,628 | 1,239 | ||||||
Lattice Semiconductor Corp * | 9,862 | 942 | ||||||
MACOM Technology Solutions Holdings Inc * | 1,488 | 105 | ||||||
Mirion Technologies Inc, Cl A * | 184,678 | 1,577 | ||||||
Model N Inc * | 20,993 | 703 | ||||||
Momentive Global Inc * | 118,814 | 1,107 | ||||||
Monday.com Ltd * | 6,096 | 870 | ||||||
Napco Security Technologies Inc * | 22,140 | 832 | ||||||
New Relic Inc * | 9,322 | 702 | ||||||
PagerDuty Inc * | 39,507 | 1,382 | ||||||
PDF Solutions Inc * | 17,771 | 754 | ||||||
Plexus Corp * | 3,288 | 321 | ||||||
Qualys Inc * | 11,052 | 1,437 | ||||||
Rambus Inc * | 32,948 | 1,689 | ||||||
Sanmina Corp * | 35,139 | 2,143 | ||||||
Silicon Laboratories Inc * | 2,426 | 425 | ||||||
Smartsheet Inc, Cl A * | 15,797 | 755 | ||||||
SPS Commerce Inc * | 9,318 | 1,419 | ||||||
Squarespace Inc * | 24,220 | 769 | ||||||
Sumo Logic Inc * | 44,661 | 535 | ||||||
Super Micro Computer Inc * | 13,121 | 1,398 | ||||||
Universal Display Corp | 4,287 | 665 | ||||||
Varonis Systems Inc, Cl B * | 15,795 | 411 | ||||||
Yext Inc * | 59,980 | 576 | ||||||
49,758 |
SEI Institutional Managed Trust
55
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Small Cap Growth Fund (Concluded)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Materials — 3.2% | ||||||||
American Vanguard Corp, Cl B | 4,806 | $ | 105 | |||||
ATI Inc * | 41,549 | 1,640 | ||||||
Carpenter Technology Corp | 14,243 | 637 | ||||||
Clearwater Paper Corp * | 8,984 | 300 | ||||||
Commercial Metals Co, Cl A | 14,688 | 718 | ||||||
Ecovyst Inc * | 50,217 | 555 | ||||||
Innospec Inc | 3,894 | 400 | ||||||
Kronos Worldwide Inc | 10,538 | 97 | ||||||
Livent Corp * | 49,152 | 1,068 | ||||||
Materion Corp | 7,426 | 861 | ||||||
O-I Glass Inc, Cl I * | 71,052 | 1,614 | ||||||
Orion Engineered Carbons SA | 32,241 | 841 | ||||||
Ranpak Holdings Corp, Cl A * | 141,167 | 737 | ||||||
Silgan Holdings Inc | 14,400 | 773 | ||||||
10,346 | ||||||||
Real Estate — 1.9% | ||||||||
Alexander & Baldwin Inc ‡ | 5,139 | 97 | ||||||
Armada Hoffler Properties Inc ‡ | 30,753 | 363 | ||||||
DiamondRock Hospitality Co ‡ | 52,142 | 424 | ||||||
Equity Commonwealth *‡ | 14,574 | 302 | ||||||
Essential Properties Realty Trust Inc ‡ | 18,857 | 468 | ||||||
Independence Realty Trust Inc ‡ | 64,169 | 1,029 | ||||||
Kennedy-Wilson Holdings Inc | 23,573 | 391 | ||||||
Kite Realty Group Trust ‡ | 18,624 | 390 | ||||||
LTC Properties Inc ‡ | 13,041 | 458 | ||||||
Newmark Group Inc, Cl A | 33,010 | 234 | ||||||
Plymouth Industrial REIT Inc ‡ | 20,392 | 428 | ||||||
SITE Centers Corp ‡ | 64,434 | 791 | ||||||
Tanger Factory Outlet Centers Inc ‡ | 26,231 | 515 | ||||||
Uniti Group Inc ‡ | 33,236 | 118 | ||||||
6,008 | ||||||||
Utilities — 0.9% | ||||||||
ALLETE Inc | 7,013 | 452 | ||||||
Clearway Energy Inc, Cl C | 10,956 | 343 | ||||||
New Jersey Resources Corp | 10,251 | 545 | ||||||
Northwest Natural Holding Co | 8,550 | 407 | ||||||
Otter Tail Corp | 10,130 | 732 | ||||||
Portland General Electric Co | 8,353 | 408 | ||||||
2,887 | ||||||||
Total Common Stock | ||||||||
(Cost $286,751) ($ Thousands) | 317,171 | |||||||
Description | Shares | Market Value | ||||||
AFFILIATED PARTNERSHIP — 0.7% | ||||||||
SEI Liquidity Fund, LP | ||||||||
4.740% **†(B) | 2,117,608 | $ | 2,113 | |||||
Total Affiliated Partnership | ||||||||
(Cost $2,117) ($ Thousands) | 2,113 | |||||||
CASH EQUIVALENT — 1.5% | ||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | ||||||||
4.570%**† | 4,893,949 | 4,894 | ||||||
Total Cash Equivalent | ||||||||
(Cost $4,894) ($ Thousands) | 4,894 | |||||||
Total Investments in Securities — 100.9% | ||||||||
(Cost $293,762) ($ Thousands) | $ | 324,178 | ||||||
| Percentages are based on Net Assets of $321,322 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2023. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2023 (see Note 12). |
(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 March 31, 2023 was $2,113 ($ Thousands). |
The following is a summary of the level of inputs used as of March 31, 2023, in valuing the Fund's investments carried at value ($ Thousands): | ||||||||||||||||
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | 317,171 | – | – | 317,171 | ||||||||||||
Affiliated Partnership | – | 2,113 | – | 2,113 | ||||||||||||
Cash Equivalent | 4,894 | – | – | 4,894 | ||||||||||||
Total Investments in Securities | 322,065 | 2,113 | – | 324,178 |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
56
SEI Institutional Managed Trust
The following is a summary of the Fund’s transactions with affiliates for the period ended March 31, 2023 ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 3/31/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 3,740 | $ | 23,370 | $ | (24,998 | ) | $ | 1 | $ | — | $ | 2,113 | $ | 33 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | 6,614 | 39,869 | (41,589 | ) | — | — | 4,894 | 77 | — | |||||||||||||||||||||||
Totals | $ | 10,354 | $ | 63,239 | $ | (66,587 | ) | $ | 1 | $ | — | $ | 7,007 | $ | 110 | $ | — |
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
57
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 — 98.2% | ||||||||
Communication Services — 5.8% | ||||||||
ATN International Inc | 16,608 | $ | 680 | |||||
Cinemark Holdings Inc * | 442,178 | 6,540 | ||||||
Cogent Communications Holdings Inc | 18,392 | 1,172 | ||||||
EchoStar Corp, Cl A * | 14,096 | 258 | ||||||
Electronic Arts Inc | 2,290 | 276 | ||||||
IAC Inc * | 3,105 | 160 | ||||||
Interpublic Group of Cos Inc/The | 24,754 | 922 | ||||||
Iridium Communications Inc | 9,732 | 603 | ||||||
John Wiley & Sons Inc, Cl A | 54,927 | 2,129 | ||||||
Lions Gate Entertainment Corp, Cl A * | 407,462 | 4,511 | ||||||
Match Group Inc * | 1,449 | 56 | ||||||
Nexstar Media Group Inc, Cl A | 68,960 | 11,907 | ||||||
Ooma Inc * | 8,203 | 103 | ||||||
Playstudios Inc * | 29,700 | 109 | ||||||
Shutterstock Inc | 14,686 | 1,066 | ||||||
Take-Two Interactive Software Inc, Cl A * | 3,431 | 409 | ||||||
World Wrestling Entertainment Inc, Cl A | 47,069 | 4,295 | ||||||
Ziff Davis Inc * | 144,668 | 11,291 | ||||||
46,487 | ||||||||
Consumer Discretionary — 9.3% | ||||||||
Advance Auto Parts Inc | 8,265 | 1,005 | ||||||
American Eagle Outfitters Inc | 398,373 | 5,354 | ||||||
Arko Corp | 27,266 | 231 | ||||||
Asbury Automotive Group Inc * | 3,907 | 821 | ||||||
AutoNation Inc * | 1,730 | 232 | ||||||
Bloomin' Brands Inc | 193,749 | 4,970 | ||||||
Bright Horizons Family Solutions Inc * | 1,538 | 118 | ||||||
Brinker International Inc * | 203,887 | 7,748 | ||||||
Carter's Inc | 4,159 | 299 | ||||||
Cavco Industries Inc * | 1,857 | 590 | ||||||
Dave & Buster's Entertainment Inc * | 43,840 | 1,613 | ||||||
Deckers Outdoor Corp * | 3,400 | 1,528 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Duolingo Inc, Cl A * | 10,279 | $ | 1,466 | |||||
Etsy Inc * | 6,503 | 724 | ||||||
Group 1 Automotive Inc | 4,472 | 1,013 | ||||||
Haverty Furniture Cos Inc | 17,831 | 569 | ||||||
Helen of Troy Ltd * | 9,910 | 943 | ||||||
Hibbett Inc | 17,681 | 1,043 | ||||||
Hooker Furnishings Corp | 36,806 | 670 | ||||||
JAKKS Pacific Inc * | 53,967 | 934 | ||||||
LCI Industries | 16,429 | 1,805 | ||||||
Leslie's Inc * | 152,262 | 1,676 | ||||||
Lithia Motors Inc, Cl A | 24,454 | 5,598 | ||||||
LKQ Corp | 65,256 | 3,704 | ||||||
Modine Manufacturing Co * | 243,920 | 5,622 | ||||||
Murphy USA Inc | 8,055 | 2,079 | ||||||
Ollie's Bargain Outlet Holdings Inc * | 3,893 | 226 | ||||||
Overstock.com Inc * | 28,534 | 578 | ||||||
Penske Automotive Group Inc, Cl A | 1,099 | 156 | ||||||
Pool Corp | 14,737 | 5,047 | ||||||
Service Corp International/US | 8,000 | 550 | ||||||
Skechers USA Inc, Cl A * | 19,536 | 928 | ||||||
Sleep Number Corp * | 2,049 | 62 | ||||||
Standard Motor Products Inc | 15,384 | 568 | ||||||
Stride Inc * | 38,570 | 1,514 | ||||||
Taylor Morrison Home Corp, Cl A * | 55,866 | 2,137 | ||||||
Urban Outfitters Inc * | 129,062 | 3,578 | ||||||
Vail Resorts Inc | 9,517 | 2,224 | ||||||
Victoria's Secret & Co * | 93,387 | 3,189 | ||||||
Whirlpool Corp | 3,320 | 438 | ||||||
Williams-Sonoma Inc | 7,799 | 949 | ||||||
Wingstop Inc, Cl A | 572 | 105 | ||||||
Winmark Corp | 1,329 | 426 | ||||||
75,030 | ||||||||
Consumer Staples — 4.6% | ||||||||
BJ's Wholesale Club Holdings Inc * | 24,382 | 1,855 | ||||||
Cal-Maine Foods Inc | 23,045 | 1,403 | ||||||
Casey's General Stores Inc | 6,437 | 1,393 | ||||||
Central Garden & Pet Co, Cl A * | 15,496 | 605 | ||||||
Coca-Cola Consolidated Inc | 2,500 | 1,338 | ||||||
Darling Ingredients Inc * | 16,819 | 982 | ||||||
elf Beauty Inc * | 11,364 | 936 | ||||||
Flowers Foods Inc | 23,770 | 652 | ||||||
Fresh Del Monte Produce Inc | 14,071 | 424 | ||||||
Fresh Market Inc * | 17,502 | — | ||||||
Freshpet Inc * | 8,866 | 587 | ||||||
Hostess Brands Inc, Cl A * | 85,034 | 2,116 | ||||||
Ingles Markets Inc, Cl A | 6,621 | 587 | ||||||
Ingredion Inc | 14,851 | 1,511 | ||||||
J & J Snack Foods Corp | 7,030 | 1,042 | ||||||
John B Sanfilippo & Son Inc | 5,357 | 519 | ||||||
Kroger Co/The | 6,156 | 304 | ||||||
Lancaster Colony Corp | 2,000 | 406 | ||||||
Medifast Inc | 25,446 | 2,638 |
58
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Mission Produce Inc * | 9,560 | $ | 106 | |||||
Pilgrim's Pride Corp * | 131,642 | 3,052 | ||||||
PriceSmart Inc | 12,015 | 859 | ||||||
Primo Water Corp | 30,856 | 474 | ||||||
Seaboard Corp | 144 | 543 | ||||||
Seneca Foods Corp, Cl A * | 315 | 16 | ||||||
SpartanNash Co | 5,962 | 148 | ||||||
Spectrum Brands Holdings Inc | 69,995 | 4,635 | ||||||
Sprouts Farmers Market Inc * | 27,834 | 975 | ||||||
Tootsie Roll Industries Inc | 6,062 | 272 | ||||||
TreeHouse Foods Inc * | 9,556 | 482 | ||||||
Universal Corp/VA | 18,077 | 956 | ||||||
US Foods Holding Corp * | 10,313 | 381 | ||||||
USANA Health Sciences Inc * | 4,731 | 298 | ||||||
Vector Group Ltd | 6,608 | 79 | ||||||
Village Super Market Inc, Cl A | 7,188 | 164 | ||||||
Vital Farms Inc * | 111,395 | 1,704 | ||||||
Weis Markets Inc | 27,069 | 2,292 | ||||||
36,734 | ||||||||
Energy — 5.8% | ||||||||
Ardmore Shipping Corp | 69,843 | 1,039 | ||||||
ChampionX Corp | 14,821 | 402 | ||||||
CNX Resources Corp * | 6,766 | 108 | ||||||
Coterra Energy Inc | 69,602 | 1,708 | ||||||
Delek US Holdings Inc | 314,513 | 7,218 | ||||||
DHT Holdings Inc | 134,402 | 1,453 | ||||||
Diamondback Energy Inc, Cl A | 12,076 | 1,632 | ||||||
DT Midstream Inc | 67,641 | 3,340 | ||||||
Golar LNG Ltd * | 17,050 | 368 | ||||||
Helmerich & Payne Inc | 23,788 | 850 | ||||||
HF Sinclair Corp | 73,441 | 3,553 | ||||||
International Seaways Inc | 44,523 | 1,856 | ||||||
Liberty Energy Inc, Cl A | 83,798 | 1,074 | ||||||
Magnolia Oil & Gas Corp, Cl A | 130,870 | 2,863 | ||||||
Marathon Petroleum Corp | 7,296 | 984 | ||||||
Par Pacific Holdings Inc * | 31,805 | 929 | ||||||
PBF Energy Inc, Cl A | 42,772 | 1,855 | ||||||
Pioneer Natural Resources Co | 4,198 | 857 | ||||||
Ranger Energy Services Inc, Cl A * | 103,649 | 1,056 | ||||||
REX American Resources Corp * | 69 | 2 | ||||||
Scorpio Tankers Inc | 14,901 | 839 | ||||||
SFL Corp Ltd | 96,342 | 915 | ||||||
Southwestern Energy Co * | 660,743 | 3,304 | ||||||
TechnipFMC PLC * | 115,262 | 1,573 | ||||||
Teekay Corp * | 107,083 | 662 | ||||||
Teekay Tankers Ltd, Cl A * | 30,805 | 1,322 | ||||||
Tidewater Inc * | 11,094 | 489 | ||||||
Viper Energy Partners LP | 126,194 | 3,533 | ||||||
45,784 | ||||||||
Financials — 16.4% | ||||||||
1st Source Corp | 19,527 | 843 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Alerus Financial Corp | 30,542 | $ | 490 | |||||
Allstate Corp/The | 990 | 110 | ||||||
Amalgamated Financial Corp | 43,074 | 762 | ||||||
American Equity Investment Life Holding Co | 164,447 | 6,001 | ||||||
American Financial Group Inc/OH | 13,674 | 1,661 | ||||||
Ameriprise Financial Inc | 4,701 | 1,441 | ||||||
Arch Capital Group Ltd * | 10,008 | 679 | ||||||
Argo Group International Holdings Ltd * | 76,729 | 2,247 | ||||||
Arrow Financial Corp | 21,180 | 528 | ||||||
AssetMark Financial Holdings Inc * | 24,034 | 756 | ||||||
Assurant Inc | 5,558 | 667 | ||||||
Axos Financial Inc * | 48,113 | 1,776 | ||||||
Bank of NT Butterfield & Son Ltd/The | 40,579 | 1,096 | ||||||
Bank OZK | 55,988 | 1,915 | ||||||
BankUnited Inc | 209,185 | 4,723 | ||||||
BGC Partners Inc, Cl A | 1,099,126 | 5,748 | ||||||
Bridgewater Bancshares Inc * | 19,061 | 207 | ||||||
Business First Bancshares Inc | 20,719 | 355 | ||||||
Camden National Corp | 18,864 | 683 | ||||||
Capital City Bank Group Inc | 9,652 | 283 | ||||||
Capstar Financial Holdings Inc | 5,941 | 90 | ||||||
Cass Information Systems Inc | 15,894 | 688 | ||||||
Cboe Global Markets Inc | 3,600 | 483 | ||||||
Central Pacific Financial Corp | 6,509 | 117 | ||||||
Central Valley Community Bancorp | 4,108 | 85 | ||||||
City Holding Co | 15,826 | 1,438 | ||||||
CNB Financial Corp/PA | 44,272 | 850 | ||||||
CNO Financial Group Inc | 289,034 | 6,414 | ||||||
Coastal Financial Corp/WA * | 2,756 | 99 | ||||||
Columbia Banking System Inc | 250,076 | 5,357 | ||||||
Columbia Financial Inc * | 91,296 | 1,669 | ||||||
Comerica Inc | 47,125 | 2,046 | ||||||
Community Trust Bancorp Inc | 27,038 | 1,026 | ||||||
Diamond Hill Investment Group Inc | 3,103 | 511 | ||||||
Donnelley Financial Solutions Inc * | 39,415 | 1,610 | ||||||
Eagle Bancorp Inc | 29,167 | 976 | ||||||
Employers Holdings Inc | 17,888 | 746 | ||||||
Enstar Group Ltd * | 314 | 73 | ||||||
Equity Bancshares Inc, Cl A | 3,686 | 90 | ||||||
Euronet Worldwide Inc * | 51,944 | 5,813 | ||||||
Everest Re Group Ltd | 6,060 | 2,170 | ||||||
EVERTEC Inc | 55,000 | 1,856 | ||||||
Farmers National Banc Corp | 24,544 | 310 | ||||||
Financial Institutions Inc | 51,330 | 990 | ||||||
First American Financial Corp | 3,200 | 178 | ||||||
First Busey Corp | 9,425 | 192 | ||||||
First Citizens BancShares Inc/NC, Cl A | 775 | 754 | ||||||
First Commonwealth Financial Corp | 316,920 | 3,939 | ||||||
First Community Bankshares Inc | 66,479 | 1,665 | ||||||
First Financial Corp/IN | 22,861 | 857 | ||||||
First Interstate BancSystem Inc, Cl A | 51,000 | 1,523 | ||||||
First Merchants Corp | 77,646 | 2,558 |
SEI Institutional Managed Trust
59
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Tax-Managed Small/Mid Cap Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
First Mid Bancshares Inc | 17,585 | $ | 479 | |||||
First of Long Island Corp/The | 7,275 | 98 | ||||||
Flywire Corp * | 44,351 | 1,302 | ||||||
FNB Corp/PA | 494,669 | 5,738 | ||||||
German American Bancorp Inc | 1,528 | 51 | ||||||
Glacier Bancorp Inc, Cl A | 18,951 | 796 | ||||||
Global Payments Inc | 1,009 | 106 | ||||||
Great Southern Bancorp Inc | 13,042 | 661 | ||||||
Guaranty Bancshares Inc/TX | 3,440 | 96 | ||||||
Hanmi Financial Corp | 5,071 | 94 | ||||||
Hanover Insurance Group Inc/The, Cl A | 25,705 | 3,303 | ||||||
Heritage Commerce Corp | 106,217 | 885 | ||||||
Heritage Financial Corp/WA | 16,404 | 351 | ||||||
HomeTrust Bancshares Inc | 4,975 | 122 | ||||||
Horace Mann Educators Corp, Cl A | 21,962 | 735 | ||||||
Independent Bank Corp/MI | 12,857 | 228 | ||||||
International Money Express Inc * | 1,250 | 32 | ||||||
Lincoln National Corp | 28,000 | 629 | ||||||
MarketAxess Holdings Inc | 350 | 137 | ||||||
Mercantile Bank Corp | 1,832 | 56 | ||||||
Merchants Bancorp/IN | 59,391 | 1,547 | ||||||
Northfield Bancorp Inc | 63,237 | 745 | ||||||
OFG Bancorp | 133,441 | 3,328 | ||||||
Old National Bancorp/IN, Cl A | 195,344 | 2,817 | ||||||
Old Second Bancorp Inc | 44,774 | 630 | ||||||
Pacific Premier Bancorp Inc | 84,780 | 2,036 | ||||||
PacWest Bancorp | 113,005 | 1,100 | ||||||
Peoples Bancorp Inc/OH | 2,043 | 53 | ||||||
PJT Partners Inc, Cl A | 14,364 | 1,037 | ||||||
Popular Inc | 11,261 | 647 | ||||||
Preferred Bank/Los Angeles CA | 4,751 | 260 | ||||||
RBB Bancorp | 40,126 | 622 | ||||||
Reinsurance Group of America Inc, Cl A | 7,938 | 1,054 | ||||||
Remitly Global Inc * | 93,513 | 1,585 | ||||||
RenaissanceRe Holdings Ltd | 6,494 | 1,301 | ||||||
Renasant Corp | 23,294 | 712 | ||||||
Republic Bancorp Inc/KY, Cl A | 17,019 | 722 | ||||||
S&T Bancorp Inc | 16,259 | 511 | ||||||
Selective Insurance Group Inc | 19,688 | 1,877 | ||||||
ServisFirst Bancshares Inc | 26,000 | 1,420 | ||||||
Sierra Bancorp | 20,570 | 354 | ||||||
SmartFinancial Inc | 4,000 | 93 | ||||||
Southern First Bancshares Inc * | 5,581 | 171 | ||||||
Southside Bancshares Inc | 5,386 | 179 | ||||||
Starwood Property Trust Inc ‡ | 234,606 | 4,150 | ||||||
StoneX Group Inc * | 10,593 | 1,097 | ||||||
Towne Bank/Portsmouth VA | 17,345 | 462 | ||||||
TriCo Bancshares | 22,196 | 923 | ||||||
TrustCo Bank Corp NY | 19,056 | 609 | ||||||
United Fire Group Inc | 15,704 | 417 | ||||||
Univest Financial Corp | 50,690 | 1,203 | ||||||
Washington Federal Inc | 40,487 | 1,219 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Zions Bancorp NA | 40,322 | $ | 1,207 | |||||
132,131 | ||||||||
Health Care — 13.1% | ||||||||
AbCellera Biologics Inc * | 57,252 | 432 | ||||||
ACADIA Pharmaceuticals Inc * | 87,758 | 1,652 | ||||||
ADMA Biologics Inc * | 236,247 | 782 | ||||||
Akero Therapeutics Inc * | 30,983 | 1,185 | ||||||
Alkermes PLC * | 68,608 | 1,934 | ||||||
AmerisourceBergen Corp, Cl A | 4,713 | 755 | ||||||
Amicus Therapeutics Inc * | 125,521 | 1,392 | ||||||
AMN Healthcare Services Inc * | 53,595 | 4,446 | ||||||
Amphastar Pharmaceuticals Inc * | 39,594 | 1,485 | ||||||
AnaptysBio Inc * | 7,862 | 171 | ||||||
ANI Pharmaceuticals Inc * | 11,989 | 476 | ||||||
Apellis Pharmaceuticals Inc * | 968 | 64 | ||||||
Arcutis Biotherapeutics Inc * | 9,000 | 99 | ||||||
Ascendis Pharma A/S ADR * | 9,780 | 1,049 | ||||||
AtriCure Inc * | 8,762 | 363 | ||||||
Atrion Corp | 890 | 559 | ||||||
Avanos Medical Inc * | 54,401 | 1,618 | ||||||
Avista Public Acquisition Corp II, Cl W * | 31,894 | 117 | ||||||
Axogen Inc * | 152,108 | 1,437 | ||||||
Axonics Inc * | 20,500 | 1,118 | ||||||
Biohaven Ltd * | 7,698 | 105 | ||||||
BioMarin Pharmaceutical Inc * | 9,577 | 931 | ||||||
Catalyst Pharmaceuticals Inc * | 56,995 | 945 | ||||||
Charles River Laboratories International Inc * | 7,525 | 1,519 | ||||||
Chemed Corp | 5,665 | 3,046 | ||||||
Chinook Therapeutics Inc * | 21,466 | 497 | ||||||
Co-Diagnostics Inc * | 452,750 | 670 | ||||||
Collegium Pharmaceutical Inc * | 46,029 | 1,104 | ||||||
Computer Programs and Systems Inc * | 21,134 | 638 | ||||||
Corcept Therapeutics Inc * | 24,000 | 520 | ||||||
CorVel Corp * | 3,132 | 596 | ||||||
Cross Country Healthcare Inc * | 232,025 | 5,179 | ||||||
Cullinan Oncology Inc * | 10,941 | 112 | ||||||
CVRx Inc * | 36,296 | 338 | ||||||
Day One Biopharmaceuticals Inc * | 8,316 | 111 | ||||||
Deciphera Pharmaceuticals Inc * | 73,334 | 1,133 | ||||||
DICE Therapeutics Inc * | 10,756 | 308 | ||||||
Doximity Inc, Cl A * | 45,839 | 1,484 | ||||||
Dyne Therapeutics Inc * | 15,684 | 181 | ||||||
Eagle Pharmaceuticals Inc/DE * | 11,371 | 323 | ||||||
Encompass Health Corp | 19,928 | 1,078 | ||||||
Enovis Corp * | 57,084 | 3,053 | ||||||
Ensign Group Inc/The | 4,885 | 467 | ||||||
Evolent Health Inc, Cl A * | 16,963 | 550 | ||||||
FibroGen Inc * | 55,239 | 1,031 | ||||||
Globus Medical Inc, Cl A * | 14,804 | 838 | ||||||
Haemonetics Corp * | 8,827 | 730 | ||||||
Harmony Biosciences Holdings Inc * | 1,750 | 57 |
60
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
HealthEquity Inc * | 13,790 | $ | 810 | |||||
HealthStream Inc | 93,597 | 2,536 | ||||||
Hims & Hers Health Inc * | 124,264 | 1,233 | ||||||
ICON PLC * | 7,886 | 1,684 | ||||||
ICU Medical Inc * | 5,669 | 935 | ||||||
IDEXX Laboratories Inc * | 458 | 229 | ||||||
Incyte Corp * | 3,300 | 238 | ||||||
Insmed Inc * | 25,371 | 433 | ||||||
Integra LifeSciences Holdings Corp * | 70,747 | 4,062 | ||||||
Ionis Pharmaceuticals Inc * | 8,741 | 312 | ||||||
Iovance Biotherapeutics Inc * | 113,425 | 693 | ||||||
Jazz Pharmaceuticals PLC * | 5,000 | 732 | ||||||
Kiniksa Pharmaceuticals Ltd, Cl A * | 31,021 | 334 | ||||||
Kura Oncology Inc * | 16,563 | 203 | ||||||
Lantheus Holdings Inc * | 22,178 | 1,831 | ||||||
LeMaitre Vascular Inc | 3,528 | 182 | ||||||
Ligand Pharmaceuticals Inc * | 15,446 | 1,136 | ||||||
Masimo Corp * | 3,863 | 713 | ||||||
Medpace Holdings Inc * | 12,810 | 2,409 | ||||||
Merit Medical Systems Inc * | 21,642 | 1,600 | ||||||
Mettler-Toledo International Inc * | 411 | 629 | ||||||
NeoGenomics Inc * | 81,134 | 1,413 | ||||||
Neurocrine Biosciences Inc * | 15,038 | 1,522 | ||||||
NextGen Healthcare Inc * | 66,488 | 1,158 | ||||||
Novocure Ltd * | 2,480 | 149 | ||||||
OmniAB Inc * | 11,714 | — | ||||||
Option Care Health Inc * | 42,714 | 1,357 | ||||||
Pacira BioSciences Inc * | 44,489 | 1,816 | ||||||
Penumbra Inc * | 1,427 | 398 | ||||||
PerkinElmer Inc | 12,707 | 1,693 | ||||||
Perrigo Co PLC | 27,874 | 1,000 | ||||||
Phibro Animal Health Corp, Cl A | 33,788 | 518 | ||||||
Phreesia Inc * | 27,973 | 903 | ||||||
Point Biopharma Global Inc, Cl A * | 14,694 | 107 | ||||||
Premier Inc, Cl A | 76,765 | 2,485 | ||||||
Prestige Consumer Healthcare Inc, Cl A * | 46,904 | 2,938 | ||||||
Privia Health Group Inc * | 41,900 | 1,157 | ||||||
PTC Therapeutics Inc * | 6,783 | 329 | ||||||
Puma Biotechnology Inc * | 179,196 | 554 | ||||||
QuidelOrtho Corp * | 14,903 | 1,328 | ||||||
Revance Therapeutics Inc * | 61,071 | 1,967 | ||||||
Shockwave Medical Inc * | 2,788 | 604 | ||||||
SIGA Technologies Inc * | 20,751 | 119 | ||||||
Supernus Pharmaceuticals Inc * | 50,405 | 1,826 | ||||||
Teleflex Inc | 5,980 | 1,515 | ||||||
Tenet Healthcare Corp * | 6,108 | 363 | ||||||
Theravance Biopharma Inc * | 9,506 | 103 | ||||||
Travere Therapeutics Inc * | 4,570 | 103 | ||||||
Treace Medical Concepts Inc * | 13,195 | 332 | ||||||
UFP Technologies Inc * | 9,200 | 1,194 | ||||||
United Therapeutics Corp * | 7,055 | 1,580 | ||||||
Utah Medical Products Inc | 11,227 | 1,064 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Varex Imaging Corp * | 12,155 | $ | 221 | |||||
Ventyx Biosciences Inc * | 5,243 | 176 | ||||||
Verrica Pharmaceuticals Inc * | 69,820 | 454 | ||||||
Viemed Healthcare Inc * | 122,739 | 1,186 | ||||||
Voyager Therapeutics Inc * | 95,680 | 738 | ||||||
Xencor Inc * | 5,445 | 152 | ||||||
106,134 | ||||||||
Industrials — 16.8% | ||||||||
A O Smith Corp | 4,400 | 304 | ||||||
AAON Inc | 16,416 | 1,587 | ||||||
ABM Industries Inc | 90,461 | 4,065 | ||||||
ACCO Brands Corp | 963,827 | 5,128 | ||||||
Advanced Drainage Systems Inc | 15,809 | 1,331 | ||||||
AECOM | 13,579 | 1,145 | ||||||
Alamo Group Inc | 561 | 103 | ||||||
Allied Motion Technologies Inc | 19,225 | 743 | ||||||
Apogee Enterprises Inc | 8,561 | 370 | ||||||
Applied Industrial Technologies Inc, Cl A | 12,000 | 1,706 | ||||||
Argan Inc | 2,608 | 106 | ||||||
Armstrong World Industries Inc | 4,726 | 337 | ||||||
Barrett Business Services Inc | 2,700 | 239 | ||||||
Boise Cascade Co | 4,228 | 267 | ||||||
Bowman Consulting Group Ltd, Cl A * | 33,064 | 949 | ||||||
Brady Corp, Cl A | 1,378 | 74 | ||||||
Broadridge Financial Solutions Inc | 1,700 | 249 | ||||||
Builders FirstSource Inc * | 23,370 | 2,075 | ||||||
BWX Technologies Inc, Cl W | 92,285 | 5,818 | ||||||
CACI International Inc, Cl A * | 1,073 | 318 | ||||||
Casella Waste Systems Inc, Cl A * | 5,000 | 413 | ||||||
CBIZ Inc * | 22,449 | 1,111 | ||||||
CECO Environmental Corp * | 122,408 | 1,713 | ||||||
Cintas Corp | 3,186 | 1,474 | ||||||
Clean Harbors Inc * | 7,022 | 1,001 | ||||||
CoStar Group Inc * | 27,109 | 1,867 | ||||||
CRA International Inc | 11,678 | 1,259 | ||||||
CSG Systems International Inc | 16,685 | 896 | ||||||
CSW Industrials Inc | 1,824 | 253 | ||||||
Curtiss-Wright Corp | 12,804 | 2,257 | ||||||
Douglas Dynamics Inc | 14,102 | 450 | ||||||
EMCOR Group Inc | 19,007 | 3,090 | ||||||
Ennis Inc | 34,657 | 731 | ||||||
Esab Corp | 75,081 | 4,435 | ||||||
Evoqua Water Technologies Corp * | 9,047 | 450 | ||||||
ExlService Holdings Inc * | 24,383 | 3,946 | ||||||
Exponent Inc | 30,000 | 2,991 | ||||||
Forrester Research Inc * | 1,863 | 60 | ||||||
Forward Air Corp | 13,445 | 1,449 | ||||||
Franklin Covey Co * | 12,085 | 465 | ||||||
FTI Consulting Inc * | 6,375 | 1,258 | ||||||
Genpact Ltd | 30,604 | 1,414 | ||||||
Griffon Corp | 22,517 | 721 | ||||||
GXO Logistics Inc * | 66,615 | 3,361 |
SEI Institutional Managed Trust
61
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Tax-Managed Small/Mid Cap Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Heartland Express Inc | 53,253 | $ | 848 | |||||
Heritage-Crystal Clean Inc * | 29,302 | 1,043 | ||||||
Hillenbrand Inc | 8,146 | 387 | ||||||
Hub Group Inc, Cl A * | 12,964 | 1,088 | ||||||
Hubbell Inc, Cl B | 1,071 | 261 | ||||||
Huron Consulting Group Inc * | 1,476 | 119 | ||||||
IDEX Corp | 4,000 | 924 | ||||||
Insperity Inc, Cl A | 5,000 | 608 | ||||||
Kadant Inc | 10,269 | 2,141 | ||||||
Kaman Corp, Cl A | 92,301 | 2,110 | ||||||
KAR Auction Services Inc * | 269,192 | 3,683 | ||||||
Kennametal Inc | 33,177 | 915 | ||||||
Kforce Inc | 10,057 | 636 | ||||||
L3Harris Technologies Inc | 2,036 | 400 | ||||||
Landstar System Inc | 8,600 | 1,542 | ||||||
LSI Industries Inc | 123,562 | 1,721 | ||||||
Marten Transport Ltd | 78,638 | 1,648 | ||||||
Masonite International Corp * | 28,376 | 2,576 | ||||||
Matthews International Corp, Cl A | 45,895 | 1,655 | ||||||
Mayville Engineering Co Inc * | 81,985 | 1,223 | ||||||
McGrath RentCorp | 6,000 | 560 | ||||||
Miller Industries Inc/TN | 55,417 | 1,959 | ||||||
MRC Global Inc * | 45,636 | 444 | ||||||
MSA Safety Inc | 10,698 | 1,428 | ||||||
MSC Industrial Direct Co Inc, Cl A | 3,679 | 309 | ||||||
Mueller Industries Inc | 8,000 | 588 | ||||||
MYR Group Inc * | 22,025 | 2,775 | ||||||
National Presto Industries Inc | 7,176 | 517 | ||||||
Old Dominion Freight Line Inc, Cl A | 6,164 | 2,101 | ||||||
Park Aerospace Corp | 85,755 | 1,153 | ||||||
Primoris Services Corp | 3,901 | 96 | ||||||
Radiant Logistics Inc * | 17,857 | 117 | ||||||
RBC Bearings Inc * | 4,000 | 931 | ||||||
Resources Connection Inc | 51,753 | 883 | ||||||
Ritchie Bros Auctioneers Inc | 49,373 | 2,779 | ||||||
Rush Enterprises Inc, Cl A | 38,922 | 2,125 | ||||||
RXO Inc * | 50,356 | 989 | ||||||
Schneider National Inc, Cl B | 13,231 | 354 | ||||||
Science Applications International Corp | 13,698 | 1,472 | ||||||
Shoals Technologies Group Inc, Cl A * | 27,903 | 636 | ||||||
Simpson Manufacturing Co Inc | 7,500 | 822 | ||||||
SP Plus Corp * | 1,746 | 60 | ||||||
Standex International Corp | 5,842 | 715 | ||||||
Tennant Co | 12,618 | 865 | ||||||
Terex Corp | 17,424 | 843 | ||||||
Tetra Tech Inc | 27,739 | 4,075 | ||||||
Textainer Group Holdings Ltd | 47,803 | 1,535 | ||||||
Toro Co/The | 2,800 | 311 | ||||||
UFP Industries Inc | 9,396 | 747 | ||||||
United Rentals Inc | 4,375 | 1,731 | ||||||
Verra Mobility Corp, Cl A * | 126,073 | 2,133 | ||||||
Wabash National Corp | 23,582 | 580 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Werner Enterprises Inc | 7,139 | $ | 325 | |||||
WESCO International Inc | 29,823 | 4,609 | ||||||
Westinghouse Air Brake Technologies Corp | 3,600 | 364 | ||||||
WNS Holdings Ltd ADR * | 26,370 | 2,457 | ||||||
XPO Inc * | 60,356 | 1,925 | ||||||
135,820 | ||||||||
Information Technology — 13.6% | ||||||||
A10 Networks Inc | 113,184 | 1,753 | ||||||
ACI Worldwide Inc * | 202,478 | 5,463 | ||||||
Agilysys Inc * | 17,117 | 1,412 | ||||||
Amdocs Ltd | 14,000 | 1,344 | ||||||
American Software Inc/GA, Cl A | 30,440 | 384 | ||||||
Amkor Technology Inc | 28,193 | 734 | ||||||
ANSYS Inc * | 2,600 | 865 | ||||||
Appfolio Inc, Cl A * | 977 | 122 | ||||||
Arista Networks Inc * | 9,952 | 1,671 | ||||||
Arlo Technologies Inc * | 92,723 | 562 | ||||||
Aspen Technology Inc * | 9,821 | 2,248 | ||||||
Asure Software Inc * | 68,501 | 993 | ||||||
Axcelis Technologies Inc * | 22,971 | 3,061 | ||||||
Bel Fuse Inc, Cl B | 80,329 | 3,019 | ||||||
Blackbaud Inc, Cl A * | 10,741 | 744 | ||||||
Cadence Design Systems Inc * | 9,295 | 1,953 | ||||||
Calix Inc * | 23,763 | 1,273 | ||||||
CommVault Systems Inc * | 19,305 | 1,095 | ||||||
Consensus Cloud Solutions Inc * | 40,554 | 1,383 | ||||||
CTS Corp | 7,000 | 346 | ||||||
Digital Turbine Inc * | 50,884 | 629 | ||||||
Diodes Inc * | 15,000 | 1,391 | ||||||
eGain Corp * | 13,072 | 99 | ||||||
EngageSmart Inc * | 15,583 | 300 | ||||||
Entegris Inc | 17,353 | 1,423 | ||||||
EPAM Systems Inc * | 2,034 | 608 | ||||||
Fabrinet * | 2,627 | 312 | ||||||
Fair Isaac Corp * | 1,635 | 1,149 | ||||||
Fastly Inc, Cl A * | 85,988 | 1,527 | ||||||
Gartner Inc * | 1,518 | 495 | ||||||
GoDaddy Inc, Cl A * | 35,607 | 2,767 | ||||||
Hackett Group Inc/The | 37,239 | 688 | ||||||
Ichor Holdings Ltd * | 16,589 | 543 | ||||||
Insight Enterprises Inc * | 21,641 | 3,094 | ||||||
Intapp Inc * | 19,103 | 857 | ||||||
Iteris Inc * | 232,679 | 1,091 | ||||||
Lattice Semiconductor Corp * | 22,776 | 2,175 | ||||||
Lumentum Holdings Inc * | 2,779 | 150 | ||||||
MACOM Technology Solutions Holdings Inc * | 12,485 | 884 | ||||||
Manhattan Associates Inc * | 10,280 | 1,592 | ||||||
Monolithic Power Systems Inc | 2,213 | 1,108 | ||||||
ON Semiconductor Corp * | 54,188 | 4,461 | ||||||
OSI Systems Inc * | 184 | 19 | ||||||
Palo Alto Networks Inc * | 2,358 | 471 |
62
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
PDF Solutions Inc * | 6,638 | $ | 281 | |||||
Perficient Inc * | 12,505 | 903 | ||||||
Photronics Inc * | 288,454 | 4,783 | ||||||
Power Integrations Inc | 10,000 | 846 | ||||||
Progress Software Corp | 5,788 | 333 | ||||||
PTC Inc * | 19,109 | 2,450 | ||||||
Qualys Inc * | 8,879 | 1,154 | ||||||
Radware Ltd * | 15,000 | 323 | ||||||
Rambus Inc * | 12,784 | 655 | ||||||
RingCentral Inc, Cl A * | 773 | 24 | ||||||
ShotSpotter Inc * | 17,620 | 693 | ||||||
Silicon Motion Technology Corp ADR | 92,517 | 6,062 | ||||||
SolarWinds Corp * | 64,815 | 557 | ||||||
SPS Commerce Inc * | 16,563 | 2,523 | ||||||
Super Micro Computer Inc * | 108,849 | 11,598 | ||||||
Synopsys Inc * | 5,341 | 2,063 | ||||||
Teledyne Technologies Inc * | 13,375 | 5,983 | ||||||
Tenable Holdings Inc * | 29,500 | 1,402 | ||||||
Teradyne Inc | 11,312 | 1,216 | ||||||
Tyler Technologies Inc * | 4,508 | 1,599 | ||||||
Verint Systems Inc * | 114,807 | 4,275 | ||||||
Vishay Precision Group Inc * | 10,000 | 418 | ||||||
Wix.com Ltd * | 12,484 | 1,246 | ||||||
109,645 | ||||||||
Materials — 7.2% | ||||||||
Alamos Gold Inc, Cl A | 47,569 | 582 | ||||||
Albemarle Corp | 3,497 | 773 | ||||||
Alpha Metallurgical Resources Inc | 971 | 151 | ||||||
Ashland Inc | 55,852 | 5,737 | ||||||
Avery Dennison Corp | 2,472 | 442 | ||||||
Axalta Coating Systems Ltd * | 170,448 | 5,163 | ||||||
Balchem Corp | 14,444 | 1,827 | ||||||
Century Aluminum Co * | 83,044 | 830 | ||||||
Chase Corp | 3,821 | 400 | ||||||
Commercial Metals Co, Cl A | 188,176 | 9,202 | ||||||
Crown Holdings Inc | 4,800 | 397 | ||||||
FMC Corp | 63,800 | 7,792 | ||||||
Fortitude Gold Corp | 40,846 | 291 | ||||||
Hawkins Inc | 12,136 | 531 | ||||||
Ingevity Corp * | 39,763 | 2,844 | ||||||
Innospec Inc | 7,000 | 719 | ||||||
Materion Corp | 9,421 | 1,093 | ||||||
NewMarket Corp | 1,035 | 378 | ||||||
Novagold Resources Inc * | 213,395 | 1,327 | ||||||
Packaging Corp of America | 2,600 | 361 | ||||||
Reliance Steel & Aluminum Co | 1,787 | 459 | ||||||
Royal Gold Inc, Cl A | 8,757 | 1,136 | ||||||
Ryerson Holding Corp | 23,026 | 838 | ||||||
Silgan Holdings Inc | 256,629 | 13,773 | ||||||
Stepan Co | 1,291 | 133 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Warrior Met Coal Inc | 5,000 | $ | 183 | |||||
57,362 | ||||||||
Real Estate — 3.7% | ||||||||
Alexander & Baldwin Inc ‡ | 34,477 | 652 | ||||||
Alexander's Inc ‡ | 3,523 | 683 | ||||||
Centerspace ‡ | 15,417 | 842 | ||||||
Community Healthcare Trust Inc ‡ | 384 | 14 | ||||||
EastGroup Properties Inc ‡ | 14,800 | 2,447 | ||||||
Elme Communities ‡ | 58,378 | 1,043 | ||||||
Equity LifeStyle Properties Inc ‡ | 20,564 | 1,380 | ||||||
FRP Holdings Inc * | 4,575 | 265 | ||||||
Gaming and Leisure Properties Inc ‡ | 167,435 | 8,717 | ||||||
Getty Realty Corp ‡ | 28,351 | 1,021 | ||||||
Gladstone Commercial Corp ‡ | 24,848 | 314 | ||||||
Howard Hughes Corp/The * | 9,600 | 768 | ||||||
Independence Realty Trust Inc ‡ | 76,848 | 1,232 | ||||||
Invitation Homes Inc ‡ | 23,648 | 739 | ||||||
Life Storage Inc ‡ | 4,650 | 610 | ||||||
LTC Properties Inc ‡ | 1,664 | 58 | ||||||
Medical Properties Trust Inc ‡ | 269,187 | 2,213 | ||||||
Newmark Group Inc, Cl A | 450,766 | 3,191 | ||||||
RMR Group Inc/The, Cl A | 2,112 | 55 | ||||||
Ryman Hospitality Properties Inc ‡ | 10,995 | 987 | ||||||
Sun Communities Inc ‡ | 1,400 | 197 | ||||||
Terreno Realty Corp ‡ | 13,647 | 882 | ||||||
Universal Health Realty Income Trust ‡ | 14,403 | 693 | ||||||
Urstadt Biddle Properties Inc, Cl A ‡ | 3,615 | 63 | ||||||
Ventas Inc ‡ | 7,436 | 322 | ||||||
29,388 | ||||||||
Utilities — 1.9% | ||||||||
Artesian Resources Corp, Cl A | 30,081 | 1,665 | ||||||
Avista Corp | 32,500 | 1,380 | ||||||
Chesapeake Utilities Corp | 10,037 | 1,285 | ||||||
Hawaiian Electric Industries Inc | 21,153 | 812 | ||||||
IDACORP Inc, Cl A | 10,909 | 1,182 | ||||||
MGE Energy Inc | 16,399 | 1,274 | ||||||
Middlesex Water Co | 16,481 | 1,287 | ||||||
Northwest Natural Holding Co | 15,832 | 753 | ||||||
NorthWestern Corp | 11,200 | 648 | ||||||
Otter Tail Corp | 19,000 | 1,373 | ||||||
Portland General Electric Co | 43,378 | 2,121 | ||||||
UGI Corp | 6,450 | 224 | ||||||
Unitil Corp | 17,644 | 1,006 | ||||||
York Water Co/The | 9,081 | 406 | ||||||
15,416 | ||||||||
Total Common Stock | ||||||||
(Cost $484,804) ($ Thousands) | 789,931 | |||||||
SEI Institutional Managed Trust
63
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Tax-Managed Small/Mid Cap Fund (Concluded)
Description | Number of Rights | Market Value | ||||||
RIGHTS — 0.0% | ||||||||
Abiomed Inc *‡‡ | 967 | $ | – | |||||
Total Rights | ||||||||
(Cost $—) ($ Thousands) | – | |||||||
| ||||||||
AFFILIATED PARTNERSHIP — 0.1% | ||||||||
SEI Liquidity Fund, LP | ||||||||
4.740% **†(A) | 370,754 | 377 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $370) ($ Thousands) | 377 | |||||||
CASH EQUIVALENT — 1.7% | ||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | ||||||||
4.570%**† | 13,744,069 | 13,744 | ||||||
Total Cash Equivalent | ||||||||
(Cost $13,744) ($ Thousands) | 13,744 | |||||||
Total Investments in Securities — 100.0% | ||||||||
(Cost $498,918) ($ Thousands) | $ | 804,052 | ||||||
A list of the open futures contracts held by the Fund at March 31, 2023, is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Russell 2000 Index E-MINI | 3 | Jun-2023 | $ | 272 | $ | 272 | $ | – | ||||||||||||
S&P Mid Cap 400 Index E-MINI | 1 | Jun-2023 | 253 | 253 | – | |||||||||||||||
$ | 525 | $ | 525 | $ | – |
Amounts designated as “—” are either $0 or have been rounded to $0.
| Percentages are based on Net Assets of $804,068 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2023. |
‡ | Real Estate Investment Trust. |
‡‡ | Expiration date not available. |
† | Investment in Affiliated Security (see Note 6). |
(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 March 31, 2023 was $377 ($ Thousands). |
The following is a summary of the level of inputs used as of March 31, 2023, 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 | 789,931 | – | – | 789,931 | ||||||||||||
Rights | – | – | – | – | ||||||||||||
Affiliated Partnership | – | 377 | – | 377 | ||||||||||||
Cash Equivalent | 13,744 | – | – | 13,744 | ||||||||||||
Total Investments in Securities | 803,675 | 377 | – | 804,052 |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | – | – | – | – | ||||||||||||
Total Other Financial Instruments | – | – | – | – |
* | Futures contracts are valued at unrealized depreciation on the instrument. |
Amounts designated as “—” are either $0 or have been rounded to $0.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
64
SEI Institutional Managed Trust
The following is a summary of the Fund’s transactions with affiliates for the period ended March 31, 2023 ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 3/31/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 525 | $ | 6,004 | $ | (6,152 | ) | $ | — | $ | — | $ | 377 | $ | 9 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | 10,783 | 117,107 | (114,146 | ) | — | — | 13,744 | 202 | — | |||||||||||||||||||||||
Totals | $ | 11,308 | $ | 123,111 | $ | (120,298 | ) | $ | — | $ | — | $ | 14,121 | $ | 211 | $ | — |
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
65
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 — 98.2% | ||||||||
Communication Services — 1.6% | ||||||||
Fox Corp, Cl A | 2,180 | $ | 74 | |||||
Liberty Broadband Corp, Cl A * | 1,010 | 83 | ||||||
Liberty Broadband Corp, Cl C * | 1,150 | 94 | ||||||
Liberty Media Corp-Liberty SiriusXM * | 5,271 | 148 | ||||||
Pinterest Inc, Cl A * | 5,895 | 161 | ||||||
Playtika Holding Corp * | 10,490 | 118 | ||||||
ROBLOX Corp, Cl A * | 2,380 | 107 | ||||||
Roku Inc, Cl A * | 1,070 | 70 | ||||||
Trade Desk Inc/The, Cl A * | 3,050 | 186 | ||||||
TripAdvisor Inc * | 7,840 | 156 | ||||||
1,197 | ||||||||
Consumer Discretionary — 12.1% | ||||||||
Aptiv PLC * | 1,200 | 135 | ||||||
AutoNation Inc * | 539 | 72 | ||||||
AutoZone Inc * | 153 | 376 | ||||||
Bath & Body Works Inc | 3,330 | 122 | ||||||
Best Buy Co Inc | 4,370 | 342 | ||||||
BorgWarner Inc | 6,016 | 295 | ||||||
Boyd Gaming Corp | 3,304 | 212 | ||||||
Caesars Entertainment Inc * | 3,800 | 185 | ||||||
Carter's Inc | 1,646 | 118 | ||||||
Chipotle Mexican Grill Inc, Cl A * | 114 | 195 | ||||||
Choice Hotels International Inc | 950 | 111 | ||||||
Columbia Sportswear Co | 4,109 | 371 | ||||||
DoorDash Inc, Cl A * | 960 | 61 | ||||||
eBay Inc | 4,700 | 209 | ||||||
Expedia Group Inc * | 3,510 | 341 | ||||||
Grand Canyon Education Inc * | 1,050 | 120 | ||||||
H&R Block Inc | 11,830 | 417 | ||||||
Harley-Davidson Inc, Cl A | 10,586 | 402 | ||||||
Hasbro Inc | 3,858 | 207 | ||||||
Hilton Worldwide Holdings Inc | 550 | 78 | ||||||
Lennar Corp, Cl A | 2,180 | 229 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Lennar Corp, Cl B | 1,585 | $ | 142 | |||||
LKQ Corp | 6,016 | 341 | ||||||
Lululemon Athletica Inc * | 491 | 179 | ||||||
Mattel Inc * | 3,420 | 63 | ||||||
MGM Resorts International | 1,790 | 80 | ||||||
O'Reilly Automotive Inc * | 260 | 221 | ||||||
Planet Fitness Inc, Cl A * | 3,560 | 277 | ||||||
Polaris Inc | 690 | 76 | ||||||
PulteGroup Inc | 5,142 | 300 | ||||||
Ross Stores Inc | 2,150 | 228 | ||||||
Royal Caribbean Cruises Ltd * | 3,030 | 198 | ||||||
Six Flags Entertainment Corp * | 7,657 | 205 | ||||||
Tapestry Inc | 6,897 | 297 | ||||||
Thor Industries Inc | 1,010 | 80 | ||||||
Toll Brothers Inc | 4,720 | 283 | ||||||
TopBuild Corp * | 1,470 | 306 | ||||||
Tractor Supply Co | 844 | 198 | ||||||
Travel + Leisure Co | 5,670 | 222 | ||||||
Ulta Beauty Inc * | 217 | 118 | ||||||
Wyndham Hotels & Resorts Inc | 1,250 | 85 | ||||||
YETI Holdings Inc * | 2,210 | 88 | ||||||
Yum! Brands Inc | 3,130 | 413 | ||||||
8,998 | ||||||||
Consumer Staples — 7.4% | ||||||||
Albertsons Cos Inc, Cl A | 4,270 | 89 | ||||||
Brown-Forman Corp, Cl A | 4,840 | 315 | ||||||
Brown-Forman Corp, Cl B | 5,980 | 384 | ||||||
Campbell Soup Co | 2,110 | 116 | ||||||
Casey's General Stores Inc | 2,422 | 524 | ||||||
Constellation Brands Inc, Cl A | 1,177 | 266 | ||||||
Coty Inc, Cl A * | 23,710 | 286 | ||||||
Darling Ingredients Inc * | 7,767 | 454 | ||||||
Dollar Tree Inc * | 2,066 | 297 | ||||||
Hain Celestial Group Inc/The * | 3,453 | 59 | ||||||
Hershey Co/The | 1,951 | 496 | ||||||
Ingredion Inc | 3,173 | 323 | ||||||
Kellogg Co | 993 | 67 | ||||||
Kroger Co/The | 6,580 | 325 | ||||||
Lamb Weston Holdings Inc | 6,708 | 701 | ||||||
Performance Food Group Co * | 1,830 | 110 | ||||||
Post Holdings Inc * | 710 | 64 | ||||||
TreeHouse Foods Inc * | 5,766 | 291 | ||||||
Tyson Foods Inc, Cl A | 4,567 | 271 | ||||||
US Foods Holding Corp * | 2,300 | 85 | ||||||
5,523 | ||||||||
Energy — 5.0% | ||||||||
Baker Hughes Co, Cl A | 10,010 | 289 | ||||||
ChampionX Corp | 8,194 | 222 | ||||||
Cheniere Energy Inc | 910 | 143 | ||||||
Coterra Energy Inc | 9,307 | 228 | ||||||
DT Midstream Inc | 7,675 | 379 |
66
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
EQT Corp | 2,170 | $ | 69 | |||||
Halliburton Co | 4,510 | 143 | ||||||
Marathon Petroleum Corp | 1,035 | 140 | ||||||
ONEOK Inc | 5,865 | 373 | ||||||
Ovintiv Inc | 2,280 | 82 | ||||||
PDC Energy Inc, Cl A | 1,520 | 98 | ||||||
Phillips 66 | 3,485 | 353 | ||||||
Pioneer Natural Resources Co | 1,851 | 378 | ||||||
Range Resources Corp | 3,090 | 82 | ||||||
Targa Resources Corp | 6,066 | 443 | ||||||
Valero Energy Corp | 1,297 | 181 | ||||||
Williams Cos Inc/The | 4,052 | 121 | ||||||
3,724 | ||||||||
Financials — 12.6% | ||||||||
Aflac Inc | 1,370 | 89 | ||||||
Allstate Corp/The | 4,255 | 471 | ||||||
Ally Financial Inc | 2,250 | 57 | ||||||
American International Group Inc | 5,714 | 288 | ||||||
Ameriprise Financial Inc | 905 | 277 | ||||||
Arch Capital Group Ltd * | 8,307 | 564 | ||||||
Assurant Inc | 670 | 80 | ||||||
Axis Capital Holdings Ltd | 2,240 | 122 | ||||||
Bank of New York Mellon Corp/The | 4,480 | 204 | ||||||
Bank OZK | 4,630 | 158 | ||||||
Carlyle Group Inc/The | 1,920 | 60 | ||||||
Chimera Investment Corp ‡ | 20,745 | 117 | ||||||
Cincinnati Financial Corp | 1,450 | 163 | ||||||
CNA Financial Corp | 1,490 | 58 | ||||||
Evercore Inc, Cl A | 690 | 80 | ||||||
Everest Re Group Ltd | 1,305 | 467 | ||||||
Eversource Energy | 2,140 | 167 | ||||||
First Hawaiian Inc | 3,930 | 81 | ||||||
First Horizon Corp | 8,947 | 159 | ||||||
FleetCor Technologies Inc * | 1,777 | 375 | ||||||
Global Payments Inc | 2,478 | 261 | ||||||
Globe Life Inc | 737 | 81 | ||||||
Jefferies Financial Group Inc | 5,100 | 162 | ||||||
Loews Corp | 1,340 | 78 | ||||||
Markel Corp * | 200 | 255 | ||||||
MarketAxess Holdings Inc | 1,070 | 419 | ||||||
MGIC Investment Corp | 16,680 | 224 | ||||||
MSCI Inc, Cl A | 940 | 526 | ||||||
Nasdaq Inc, Cl A | 1,386 | 76 | ||||||
Pinnacle Financial Partners Inc | 3,297 | 182 | ||||||
Primerica Inc | 1,253 | 216 | ||||||
Progressive Corp/The | 2,835 | 406 | ||||||
Reinsurance Group of America Inc, Cl A | 3,613 | 480 | ||||||
RenaissanceRe Holdings Ltd | 960 | 192 | ||||||
Stifel Financial Corp | 6,878 | 406 | ||||||
StoneCo Ltd, Cl A * | 8,750 | 83 | ||||||
Synchrony Financial | 7,150 | 208 | ||||||
Unum Group | 1,500 | 59 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Voya Financial Inc | 4,330 | $ | 309 | |||||
W R Berkley Corp | 3,742 | 233 | ||||||
Webster Financial Corp | 3,726 | 147 | ||||||
Western Union Co/The | 16,730 | 187 | ||||||
Wintrust Financial Corp | 1,070 | 78 | ||||||
9,305 | ||||||||
Health Care — 11.2% | ||||||||
Acadia Healthcare Co Inc, Cl A * | 1,560 | 113 | ||||||
Agilent Technologies Inc | 4,116 | 569 | ||||||
Align Technology Inc * | 1,050 | 351 | ||||||
Alnylam Pharmaceuticals Inc * | 340 | 68 | ||||||
AmerisourceBergen Corp, Cl A | 2,268 | 363 | ||||||
Biogen Inc * | 510 | 142 | ||||||
Bio-Rad Laboratories Inc, Cl A * | 330 | 158 | ||||||
Bio-Techne Corp | 1,168 | 87 | ||||||
Centene Corp * | 3,947 | 250 | ||||||
Chemed Corp | 705 | 379 | ||||||
DENTSPLY SIRONA Inc | 4,460 | 175 | ||||||
Dexcom Inc * | 2,620 | 304 | ||||||
Doximity Inc, Cl A * | 2,030 | 66 | ||||||
Encompass Health Corp | 6,931 | 375 | ||||||
Envista Holdings Corp * | 5,445 | 223 | ||||||
Exact Sciences Corp * | 1,440 | 98 | ||||||
Exelixis Inc * | 9,200 | 179 | ||||||
Globus Medical Inc, Cl A * | 4,250 | 241 | ||||||
Hologic Inc * | 3,310 | 267 | ||||||
Horizon Therapeutics Plc * | 780 | 85 | ||||||
IDEXX Laboratories Inc * | 890 | 445 | ||||||
Incyte Corp * | 1,010 | 73 | ||||||
IQVIA Holdings Inc * | 1,778 | 354 | ||||||
Jazz Pharmaceuticals PLC * | 504 | 74 | ||||||
Laboratory Corp of America Holdings | 1,645 | 377 | ||||||
Mettler-Toledo International Inc * | 241 | 369 | ||||||
Molina Healthcare Inc * | 970 | 259 | ||||||
Neurocrine Biosciences Inc * | 940 | 95 | ||||||
Perrigo Co PLC | 3,990 | 143 | ||||||
Premier Inc, Cl A | 2,230 | 72 | ||||||
QuidelOrtho Corp * | 770 | 69 | ||||||
Repligen Corp * | 725 | 122 | ||||||
Royalty Pharma PLC, Cl A | 7,173 | 258 | ||||||
United Therapeutics Corp * | 1,090 | 244 | ||||||
Veeva Systems Inc, Cl A * | 659 | 121 | ||||||
Waters Corp * | 433 | 134 | ||||||
West Pharmaceutical Services Inc | 870 | 301 | ||||||
Zimmer Biomet Holdings Inc | 2,101 | 271 | ||||||
8,274 | ||||||||
Industrials — 19.2% | ||||||||
A O Smith Corp | 3,510 | 243 | ||||||
AECOM | 730 | 62 | ||||||
AerCap Holdings NV * | 4,446 | 250 | ||||||
Alaska Air Group Inc * | 2,870 | 120 |
SEI Institutional Managed Trust
67
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Mid-Cap Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Allegion plc | 4,918 | $ | 525 | |||||
Allison Transmission Holdings Inc | 4,480 | 203 | ||||||
AMETEK Inc | 967 | 141 | ||||||
Carlisle Cos Inc | 992 | 224 | ||||||
Carrier Global Corp | 13,440 | 615 | ||||||
Cintas Corp | 1,000 | 463 | ||||||
Clean Harbors Inc * | 3,467 | 494 | ||||||
Copa Holdings SA, Cl A | 3,410 | 315 | ||||||
Copart Inc * | 1,030 | 77 | ||||||
Delta Air Lines Inc, Cl A * | 4,360 | 152 | ||||||
Donaldson Co Inc, Cl A | 2,260 | 148 | ||||||
Dover Corp | 3,503 | 532 | ||||||
Esab Corp | 3,540 | 209 | ||||||
Fastenal Co, Cl A | 9,327 | 503 | ||||||
Flowserve Corp | 2,970 | 101 | ||||||
Genpact Ltd | 5,755 | 266 | ||||||
GXO Logistics Inc * | 1,760 | 89 | ||||||
HEICO Corp, Cl A | 1,310 | 178 | ||||||
Hexcel Corp, Cl A | 3,652 | 249 | ||||||
Huntington Ingalls Industries Inc, Cl A | 531 | 110 | ||||||
Ingersoll Rand Inc | 1,940 | 113 | ||||||
Kirby Corp * | 3,200 | 223 | ||||||
Landstar System Inc | 1,408 | 252 | ||||||
Leidos Holdings Inc | 1,741 | 160 | ||||||
Lincoln Electric Holdings Inc | 630 | 107 | ||||||
MSC Industrial Direct Co Inc, Cl A | 940 | 79 | ||||||
nVent Electric PLC | 9,553 | 410 | ||||||
Old Dominion Freight Line Inc, Cl A | 480 | 164 | ||||||
Otis Worldwide Corp | 7,115 | 601 | ||||||
PACCAR Inc | 5,475 | 401 | ||||||
Parker-Hannifin Corp, Cl A | 1,307 | 439 | ||||||
Paychex Inc | 4,870 | 558 | ||||||
Quanta Services Inc | 370 | 62 | ||||||
Regal Rexnord Corp | 2,952 | 415 | ||||||
Republic Services Inc | 1,024 | 138 | ||||||
Rockwell Automation Inc | 265 | 78 | ||||||
Ryder System Inc | 3,980 | 355 | ||||||
Schneider National Inc, Cl B | 5,190 | 139 | ||||||
Sensata Technologies Holding PLC | 1,330 | 67 | ||||||
Snap-on Inc | 1,344 | 332 | ||||||
Tetra Tech Inc | 1,670 | 245 | ||||||
Textron Inc | 3,980 | 281 | ||||||
Timken Co/The | 2,110 | 172 | ||||||
Trane Technologies PLC | 853 | 157 | ||||||
TransDigm Group Inc | 170 | 125 | ||||||
United Rentals Inc | 1,330 | 526 | ||||||
Univar Solutions Inc * | 3,130 | 110 | ||||||
Watsco Inc | 523 | 166 | ||||||
Westinghouse Air Brake Technologies Corp | 2,640 | 267 | ||||||
WW Grainger Inc | 793 | 546 | ||||||
Xylem Inc/NY | 2,770 | 290 | ||||||
14,247 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Information Technology — 15.1% | ||||||||
Akamai Technologies Inc * | 2,800 | $ | 219 | |||||
Alteryx Inc, Cl A * | 2,930 | 172 | ||||||
Amdocs Ltd | 3,196 | 307 | ||||||
Amphenol Corp, Cl A | 935 | 76 | ||||||
ANSYS Inc * | 657 | 219 | ||||||
Arista Networks Inc * | 1,020 | 171 | ||||||
Arrow Electronics Inc, Cl A * | 575 | 72 | ||||||
Avnet Inc | 7,385 | 334 | ||||||
Cadence Design Systems Inc * | 2,175 | 457 | ||||||
CDW Corp/DE | 818 | 159 | ||||||
Ceridian HCM Holding Inc * | 830 | 61 | ||||||
Ciena Corp * | 6,520 | 342 | ||||||
Cirrus Logic Inc * | 1,790 | 196 | ||||||
Cloudflare Inc, Cl A * | 1,127 | 70 | ||||||
Crowdstrike Holdings Inc, Cl A * | 700 | 96 | ||||||
Datadog Inc, Cl A * | 2,035 | 148 | ||||||
DocuSign Inc, Cl A * | 2,330 | 136 | ||||||
DoubleVerify Holdings Inc, Cl Rights * | 7,350 | 222 | ||||||
Dynatrace Inc * | 3,793 | 160 | ||||||
F5 Inc, Cl A * | 1,659 | 242 | ||||||
Fair Isaac Corp * | 473 | 332 | ||||||
First Solar Inc * | 370 | 81 | ||||||
Fortinet Inc * | 1,440 | 96 | ||||||
HubSpot Inc * | 557 | 239 | ||||||
Juniper Networks Inc | 8,750 | 301 | ||||||
Lattice Semiconductor Corp * | 3,360 | 321 | ||||||
Manhattan Associates Inc * | 2,295 | 355 | ||||||
Microchip Technology Inc | 4,676 | 392 | ||||||
MongoDB Inc, Cl A * | 389 | 91 | ||||||
Monolithic Power Systems Inc | 1,390 | 696 | ||||||
Motorola Solutions Inc | 2,513 | 719 | ||||||
New Relic Inc * | 3,010 | 227 | ||||||
Okta Inc, Cl A * | 1,210 | 104 | ||||||
Palantir Technologies Inc, Cl A * | 17,580 | 149 | ||||||
Paycom Software Inc * | 1,230 | 374 | ||||||
Pegasystems Inc | 3,131 | 152 | ||||||
PTC Inc * | 1,646 | 211 | ||||||
Pure Storage Inc, Cl A * | 2,680 | 68 | ||||||
Qorvo Inc * | 2,030 | 206 | ||||||
Skyworks Solutions Inc | 3,509 | 414 | ||||||
Smartsheet Inc, Cl A * | 3,166 | 151 | ||||||
Splunk Inc * | 1,720 | 165 | ||||||
Synopsys Inc * | 744 | 287 | ||||||
Teradata Corp * | 8,550 | 344 | ||||||
Universal Display Corp | 1,569 | 243 | ||||||
VeriSign Inc * | 602 | 127 | ||||||
Vontier Corp | 6,389 | 175 | ||||||
Wix.com Ltd * | 620 | 62 | ||||||
Zebra Technologies Corp, Cl A * | 248 | 79 | ||||||
Zoom Video Communications Inc, Cl A * | 1,320 | 97 |
68
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Zscaler Inc * | 520 | $ | 61 | |||||
11,178 | ||||||||
Materials — 5.1% | ||||||||
Albemarle Corp | 640 | 142 | ||||||
Alcoa Corp | 2,030 | 86 | ||||||
Axalta Coating Systems Ltd * | 9,144 | 277 | ||||||
Berry Global Group Inc | 4,522 | 266 | ||||||
CF Industries Holdings Inc | 1,950 | 141 | ||||||
Cleveland-Cliffs Inc * | 5,980 | 110 | ||||||
Eagle Materials Inc | 2,380 | 349 | ||||||
FMC Corp | 2,972 | 363 | ||||||
Graphic Packaging Holding Co | 3,890 | 99 | ||||||
International Flavors & Fragrances Inc | 1,770 | 163 | ||||||
International Paper Co | 4,500 | 162 | ||||||
Livent Corp * | 11,473 | 249 | ||||||
NewMarket Corp | 423 | 154 | ||||||
Nucor Corp | 1,340 | 207 | ||||||
Scotts Miracle-Gro Co/The, Cl A | 1,172 | 82 | ||||||
Silgan Holdings Inc | 3,758 | 202 | ||||||
Sonoco Products Co | 1,530 | 93 | ||||||
SSR Mining Inc | 17,760 | 269 | ||||||
United States Steel Corp | 4,710 | 123 | ||||||
Valvoline Inc | 7,988 | 279 | ||||||
3,816 | ||||||||
Real Estate — 4.5% | ||||||||
Alexandria Real Estate Equities Inc ‡ | 2,063 | 259 | ||||||
AvalonBay Communities Inc ‡ | 444 | 75 | ||||||
Camden Property Trust ‡ | 1,190 | 125 | ||||||
CubeSmart ‡ | 1,410 | 65 | ||||||
Digital Realty Trust Inc, Cl A ‡ | 2,071 | 204 | ||||||
EPR Properties, Cl A ‡ | 7,190 | 274 | ||||||
Equity Residential ‡ | 1,190 | 71 | ||||||
Essex Property Trust Inc ‡ | 1,091 | 228 | ||||||
Federal Realty Investment Trust ‡ | 670 | 66 | ||||||
First Industrial Realty Trust Inc ‡ | 3,610 | 192 | ||||||
Healthcare Realty Trust Inc, Cl A ‡ | 7,920 | 153 | ||||||
Host Hotels & Resorts Inc ‡ | 7,956 | 131 | ||||||
Lamar Advertising Co, Cl A ‡ | 760 | 76 | ||||||
Mid-America Apartment Communities Inc ‡ | 1,106 | 167 | ||||||
National Retail Properties Inc ‡ | 8,941 | 395 | ||||||
Park Hotels & Resorts Inc ‡ | 7,770 | 96 | ||||||
SBA Communications Corp, Cl A ‡ | 1,260 | 329 | ||||||
Simon Property Group Inc ‡ | 863 | 97 | ||||||
Spirit Realty Capital Inc ‡ | 3,775 | 150 | ||||||
Ventas Inc ‡ | 4,763 | 207 | ||||||
3,360 | ||||||||
Utilities — 4.4% | ||||||||
Alliant Energy Corp | 2,500 | 133 | ||||||
CenterPoint Energy Inc | 10,850 | 320 | ||||||
CMS Energy Corp | 1,280 | 79 | ||||||
Consolidated Edison Inc | 810 | 77 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
DTE Energy Co | 2,558 | $ | 280 | |||||
Entergy Corp | 3,206 | 345 | ||||||
Evergy Inc | 3,266 | 200 | ||||||
Hawaiian Electric Industries Inc | 4,330 | 166 | ||||||
IDACORP Inc, Cl A | 1,502 | 163 | ||||||
National Fuel Gas Co | 1,725 | 100 | ||||||
NiSource Inc | 14,465 | 404 | ||||||
PPL Corp | 10,580 | 294 | ||||||
UGI Corp | 4,683 | 163 | ||||||
WEC Energy Group Inc | 4,069 | 386 | ||||||
Xcel Energy Inc | 2,510 | 169 | ||||||
3,279 | ||||||||
Total Common Stock | ||||||||
(Cost $69,998) ($ Thousands) | 72,901 | |||||||
EXCHANGE TRADED FUND — 0.4% | ||||||||
iShares Russell Mid-Cap Value ETF | 2,693 | 286 | ||||||
Total Exchange Traded Fund | ||||||||
(Cost $286) ($ Thousands) | 286 | |||||||
Number of Rights | �� | |||||||
RIGHTS — 0.0% | ||||||||
Abiomed Inc *‡‡ | 160 | – | ||||||
Total Rights | ||||||||
(Cost $—) ($ Thousands) | – | |||||||
| ||||||||
CASH EQUIVALENT — 0.6% | ||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | ||||||||
4.570%**† | 452,252 | 452 | ||||||
Total Cash Equivalent | ||||||||
(Cost $452) ($ Thousands) | 452 | |||||||
Total Investments in Securities — 99.2% | ||||||||
(Cost $70,736) ($ Thousands) | $ | 73,639 | ||||||
SEI Institutional Managed Trust
69
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Mid-Cap Fund (Concluded)
| Percentages are based on a Net Assets of $74,259 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2023. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
As of March 31, 2023, 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 period ended March 31, 2023 ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/(Depreciation) | Value 3/31/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | — | $ | 630 | $ | (630 | ) | $ | — | $ | — | $ | — | $ | 1 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | 2,161 | 5,383 | (7,092 | ) | — | — | 452 | 28 | — | |||||||||||||||||||||||
Totals | $ | 2,161 | $ | 6,013 | $ | (7,722 | ) | $ | — | $ | — | $ | 452 | $ | 29 | $ | — |
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.
70
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 — 97.8% | ||||||||
Communication Services — 6.0% | ||||||||
Advantage Solutions Inc * | 33,948 | $ | 54 | |||||
AT&T Inc | 580,400 | 11,172 | ||||||
Comcast Corp, Cl A | 153,928 | 5,835 | ||||||
EchoStar Corp, Cl A * | 9,048 | 165 | ||||||
Fox Corp, Cl A | 92,000 | 3,133 | ||||||
Fox Corp, Cl B | 35,449 | 1,110 | ||||||
Madison Square Garden Sports Corp | 13,055 | 2,544 | ||||||
Omnicom Group Inc | 42,409 | 4,001 | ||||||
Scholastic Corp, Cl B | 1,606 | 55 | ||||||
Shutterstock Inc | 3,969 | 288 | ||||||
SK Telecom Co Ltd ADR (A) | 84,213 | 1,727 | ||||||
TEGNA Inc | 171,600 | 2,902 | ||||||
Verizon Communications Inc | 373,537 | 14,527 | ||||||
World Wrestling Entertainment Inc, Cl A | 11,974 | 1,093 | ||||||
48,606 | ||||||||
Consumer Discretionary — 5.8% | ||||||||
AutoZone Inc * | 4,963 | 12,200 | ||||||
Canadian Tire Corp Ltd, Cl A | 23,000 | 2,997 | ||||||
Coursera Inc * | 5,773 | 67 | ||||||
eBay Inc | 66,799 | 2,964 | ||||||
Gentex Corp | 37,401 | 1,048 | ||||||
Graham Holdings Co, Cl B | 318 | 189 | ||||||
Grand Canyon Education Inc * | 29,155 | 3,321 | ||||||
H&R Block Inc | 84,700 | 2,986 | ||||||
Honda Motor Co Ltd ADR | 145,242 | 3,848 | ||||||
LKQ Corp | 8,489 | 482 | ||||||
Lowe's Cos Inc | 18,200 | 3,639 | ||||||
Marriott International Inc/MD, Cl A | 8,189 | 1,360 | ||||||
Murphy USA Inc | 9,200 | 2,374 | ||||||
O'Reilly Automotive Inc * | 2,606 | 2,212 | ||||||
Perdoceo Education Corp * | 23,496 | 316 | ||||||
Service Corp International/US | 33,200 | 2,283 | ||||||
Toyota Motor Corp ADR (A) | 19,100 | 2,706 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Whirlpool Corp | 20,400 | $ | 2,693 | |||||
47,685 | ||||||||
Consumer Staples — 17.3% | ||||||||
Altria Group Inc | 135,977 | 6,067 | ||||||
Archer-Daniels-Midland Co | 67,530 | 5,379 | ||||||
BJ's Wholesale Club Holdings Inc * | 26,427 | 2,010 | ||||||
Boston Beer Co Inc/The, Cl A * | 2,640 | 868 | ||||||
Bunge Ltd | 4,849 | 463 | ||||||
Calavo Growers Inc | 11,289 | 325 | ||||||
Cal-Maine Foods Inc | 8,669 | 528 | ||||||
Campbell Soup Co | 110,125 | 6,055 | ||||||
Church & Dwight Co Inc | 30,018 | 2,654 | ||||||
Clorox Co/The | 20,499 | 3,244 | ||||||
Colgate-Palmolive Co | 47,221 | 3,549 | ||||||
Conagra Brands Inc | 279,991 | 10,517 | ||||||
Dollar General Corp | 17,173 | 3,614 | ||||||
Flowers Foods Inc | 96,334 | 2,641 | ||||||
Fresh Del Monte Produce Inc | 15,134 | 456 | ||||||
General Mills Inc | 107,282 | 9,168 | ||||||
Hain Celestial Group Inc/The * | 6,201 | 106 | ||||||
Herbalife Nutrition Ltd * | 17,212 | 277 | ||||||
Hormel Foods Corp | 47,695 | 1,902 | ||||||
Hostess Brands Inc, Cl A * | 20,698 | 515 | ||||||
Ingles Markets Inc, Cl A | 1,106 | 98 | ||||||
Ingredion Inc | 44,500 | 4,527 | ||||||
J & J Snack Foods Corp | 2,624 | 389 | ||||||
J M Smucker Co/The | 82,416 | 12,970 | ||||||
John B Sanfilippo & Son Inc | 5,936 | 575 | ||||||
Kellogg Co | 145,444 | 9,739 | ||||||
Keurig Dr Pepper Inc | 2,033 | 72 | ||||||
Kimberly-Clark Corp | 45,127 | 6,057 | ||||||
Kraft Heinz Co/The | 224,063 | 8,665 | ||||||
Kroger Co/The | 242,300 | 11,962 | ||||||
Lancaster Colony Corp | 1,267 | 257 | ||||||
Molson Coors Beverage Co, Cl B | 101,200 | 5,230 | ||||||
National Beverage Corp, Cl A * | 2,890 | 152 | ||||||
PepsiCo Inc | 926 | 169 | ||||||
Philip Morris International Inc | 17,153 | 1,668 | ||||||
Pilgrim's Pride Corp * | 89,326 | 2,071 | ||||||
Post Holdings Inc * | 21,457 | 1,928 | ||||||
PriceSmart Inc | 3,873 | 277 | ||||||
Procter & Gamble Co/The | 11,732 | 1,744 | ||||||
Reynolds Consumer Products Inc | 30,768 | 846 | ||||||
Seaboard Corp | 64 | 241 | ||||||
Seneca Foods Corp, Cl A * | 2,634 | 138 | ||||||
Simply Good Foods Co/The * | 2,568 | 102 | ||||||
SpartanNash Co | 3,986 | 99 | ||||||
Tootsie Roll Industries Inc | 9,627 | 432 | ||||||
TreeHouse Foods Inc * | 6,763 | 341 | ||||||
Turning Point Brands Inc | 10,972 | 230 | ||||||
Tyson Foods Inc, Cl A | 48,995 | 2,906 | ||||||
Universal Corp/VA | 7,966 | 421 |
SEI Institutional Managed Trust
71
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
U.S. Managed Volatility Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
USANA Health Sciences Inc * | 5,476 | $ | 345 | |||||
Vector Group Ltd | 29,933 | 360 | ||||||
Village Super Market Inc, Cl A | 10,265 | 235 | ||||||
Vital Farms Inc * | 20,255 | 310 | ||||||
Walmart Inc | 5,270 | 777 | ||||||
WD-40 Co | 126 | 22 | ||||||
Weis Markets Inc | 52,226 | 4,422 | ||||||
141,115 | ||||||||
Energy — 3.6% | ||||||||
California Resources Corp | 2,222 | 86 | ||||||
Chesapeake Energy Corp | 49,800 | 3,787 | ||||||
Chevron Corp | 53,700 | 8,762 | ||||||
DT Midstream Inc | 56,800 | 2,804 | ||||||
Exxon Mobil Corp | 96,267 | 10,556 | ||||||
Kinder Morgan Inc | 146,600 | 2,567 | ||||||
Southwestern Energy Co * | 85,507 | 427 | ||||||
Teekay Corp * | 17,377 | 107 | ||||||
Teekay Tankers Ltd, Cl A * | 3,363 | 144 | ||||||
29,240 | ||||||||
Financials — 12.8% | ||||||||
Aflac Inc | 161,700 | 10,433 | ||||||
Allstate Corp/The | 44,400 | 4,920 | ||||||
American Financial Group Inc/OH | 14,800 | 1,798 | ||||||
AMERISAFE Inc | 5,736 | 281 | ||||||
Annaly Capital Management Inc ‡ | 63,275 | 1,209 | ||||||
Aon PLC, Cl A | 799 | 252 | ||||||
Axis Capital Holdings Ltd | 22,074 | 1,204 | ||||||
Banco Latinoamericano de Comercio Exterior SA, Cl E | 3,237 | 56 | ||||||
Bank First Corp | 1,616 | 119 | ||||||
Bank of New York Mellon Corp/The | 199,083 | 9,046 | ||||||
Bankwell Financial Group Inc | 613 | 15 | ||||||
Berkshire Hathaway Inc, Cl B * | 15,800 | 4,879 | ||||||
Blue Foundry Bancorp * | 2,472 | 24 | ||||||
Byline Bancorp Inc | 5,118 | 111 | ||||||
Canadian Imperial Bank of Commerce | 58,800 | 2,490 | ||||||
Carter Bankshares Inc * | 2,619 | 37 | ||||||
Cboe Global Markets Inc | 23,418 | 3,144 | ||||||
Chubb Ltd | 2,040 | 396 | ||||||
Columbia Financial Inc * | 15,930 | 291 | ||||||
Community Bank System Inc | 522 | 27 | ||||||
Community Trust Bancorp Inc | 2,353 | 89 | ||||||
CVB Financial Corp | 5,922 | 99 | ||||||
Eastern Bankshares Inc | 13,060 | 165 | ||||||
Employers Holdings Inc | 11,670 | 487 | ||||||
Enact Holdings | 811 | 19 | ||||||
Erie Indemnity Co, Cl A | 4,052 | 939 | ||||||
Euronet Worldwide Inc * | 315 | 35 | ||||||
Everest Re Group Ltd | 17,028 | 6,097 | ||||||
EVERTEC Inc | 916 | 31 | ||||||
First Busey Corp | 4,891 | 100 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
First Commonwealth Financial Corp | 2,179 | $ | 27 | |||||
First Financial Bankshares Inc, Cl A | 3,256 | 104 | ||||||
First Financial Corp/IN | 7,948 | 298 | ||||||
FleetCor Technologies Inc * | 7,960 | 1,678 | ||||||
Glacier Bancorp Inc, Cl A | 494 | 21 | ||||||
Greenlight Capital Re Ltd, Cl A * | 22,757 | 214 | ||||||
Hanover Insurance Group Inc/The, Cl A | 21,384 | 2,748 | ||||||
Hartford Financial Services Group Inc/The | 111,000 | 7,736 | ||||||
Heritage Commerce Corp | 6,129 | 51 | ||||||
Independent Bank Corp | 414 | 27 | ||||||
Independent Bank Corp/MI | 1,017 | 18 | ||||||
James River Group Holdings Ltd | 11,884 | 245 | ||||||
Loblaw Cos Ltd | 61,600 | 5,606 | ||||||
Loews Corp | 1,203 | 70 | ||||||
MarketAxess Holdings Inc | 1,305 | 511 | ||||||
Marsh & McLennan Cos Inc | 13,396 | 2,231 | ||||||
Mercantile Bank Corp | 790 | 24 | ||||||
MetLife Inc | 57,100 | 3,308 | ||||||
NBT Bancorp Inc | 2,194 | 74 | ||||||
OceanFirst Financial Corp | 90,806 | 1,678 | ||||||
Orrstown Financial Services Inc | 709 | 14 | ||||||
Park National Corp | 113 | 13 | ||||||
Popular Inc | 8,782 | 504 | ||||||
Primis Financial | 1,814 | 17 | ||||||
Progressive Corp/The | 22,901 | 3,276 | ||||||
Reinsurance Group of America Inc, Cl A | 13,715 | 1,821 | ||||||
RLI Corp | 1,696 | 225 | ||||||
Ryan Specialty Holdings Inc, Cl A * | 10,423 | 419 | ||||||
Safety Insurance Group Inc | 4,018 | 299 | ||||||
Selective Insurance Group Inc | 601 | 57 | ||||||
Towne Bank/Portsmouth VA | 24,200 | 645 | ||||||
Travelers Cos Inc/The | 17,900 | 3,068 | ||||||
TrustCo Bank Corp NY | 3,796 | 121 | ||||||
Unity Bancorp Inc | 1,503 | 34 | ||||||
Univest Financial Corp | 6,031 | 143 | ||||||
Virtu Financial Inc, Cl A | 166,163 | 3,141 | ||||||
W R Berkley Corp | 59,506 | 3,705 | ||||||
Washington Federal Inc | 79,300 | 2,389 | ||||||
Westamerica BanCorp | 3,198 | 142 | ||||||
Western Union Co/The | 667,751 | 7,445 | ||||||
Willis Towers Watson PLC | 900 | 209 | ||||||
Zions Bancorp NA | 22,683 | 679 | ||||||
103,828 | ||||||||
Health Care — 19.8% | ||||||||
Abbott Laboratories | 6,401 | 648 | ||||||
AbbVie Inc | 34,100 | 5,434 | ||||||
ADMA Biologics Inc * | 10,950 | 36 | ||||||
Agilent Technologies Inc | 10,663 | 1,475 | ||||||
Alkermes PLC * | 4,924 | 139 | ||||||
Amgen Inc, Cl A | 42,500 | 10,274 | ||||||
Amneal Pharmaceuticals Inc * | 64,717 | 90 | ||||||
Amphastar Pharmaceuticals Inc * | 10,517 | 394 |
72
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Anika Therapeutics Inc * | 6,523 | $ | 187 | |||||
Avanos Medical Inc * | 6,936 | 206 | ||||||
Becton Dickinson & Co | 12,613 | 3,122 | ||||||
Biogen Inc * | 6,089 | 1,693 | ||||||
Bio-Techne Corp | 7,576 | 562 | ||||||
Bristol-Myers Squibb Co | 175,120 | 12,138 | ||||||
Catalent Inc * | 3,425 | 225 | ||||||
Catalyst Pharmaceuticals Inc * | 15,830 | 263 | ||||||
Cigna Group/The | 7,527 | 1,923 | ||||||
Computer Programs and Systems Inc * | 4,572 | 138 | ||||||
Corcept Therapeutics Inc * | 13,227 | 287 | ||||||
Cross Country Healthcare Inc * | 719 | 16 | ||||||
CVS Health Corp | 119,726 | 8,897 | ||||||
Danaher Corp, Cl A | 4,326 | 1,090 | ||||||
DaVita Inc * | 10,280 | 834 | ||||||
Deciphera Pharmaceuticals Inc * | 19,401 | 300 | ||||||
Eagle Pharmaceuticals Inc/DE * | 9,883 | 280 | ||||||
Elevance Health Inc | 6,787 | 3,121 | ||||||
Esperion Therapeutics Inc * | 29,844 | 47 | ||||||
Exelixis Inc * | 151,002 | 2,931 | ||||||
Gilead Sciences Inc | 213,030 | 17,675 | ||||||
Haemonetics Corp * | 3,071 | 254 | ||||||
Halozyme Therapeutics Inc * | 732 | 28 | ||||||
Harmony Biosciences Holdings Inc * | 3,696 | 121 | ||||||
Hologic Inc * | 31,188 | 2,517 | ||||||
Humana Inc | 3,823 | 1,856 | ||||||
Incyte Corp * | 51,014 | 3,687 | ||||||
Innoviva Inc * | 31,047 | 349 | ||||||
Intercept Pharmaceuticals Inc * | 13,263 | 178 | ||||||
Ionis Pharmaceuticals Inc * | 48,943 | 1,749 | ||||||
Ironwood Pharmaceuticals Inc, Cl A * | 27,928 | 294 | ||||||
Jazz Pharmaceuticals PLC * | 37,755 | 5,525 | ||||||
Johnson & Johnson | 67,199 | 10,416 | ||||||
Kiniksa Pharmaceuticals Ltd, Cl A * | 15,231 | 164 | ||||||
Laboratory Corp of America Holdings | 14,400 | 3,304 | ||||||
LeMaitre Vascular Inc | 1,038 | 53 | ||||||
Ligand Pharmaceuticals Inc * | 883 | 65 | ||||||
Masimo Corp * | 4,026 | 743 | ||||||
McKesson Corp | 19,000 | 6,765 | ||||||
Medpace Holdings Inc * | 663 | 125 | ||||||
Merck & Co Inc | 96,200 | 10,235 | ||||||
Merit Medical Systems Inc * | 1,114 | 82 | ||||||
Mirum Pharmaceuticals Inc * | 5,887 | 141 | ||||||
Neurocrine Biosciences Inc * | 32,488 | 3,288 | ||||||
NuVasive Inc * | 1,856 | 77 | ||||||
Organogenesis Holdings Inc, Cl A * | 34,275 | 73 | ||||||
Organon & Co | 110,753 | 2,605 | ||||||
Patterson Cos Inc | 6,524 | 175 | ||||||
PerkinElmer Inc | 1,810 | 241 | ||||||
PetIQ Inc, Cl A * | 8,518 | 97 | ||||||
Pfizer Inc | 234,656 | 9,574 | ||||||
Phibro Animal Health Corp, Cl A | 12,502 | 192 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Point Biopharma Global Inc, Cl A * | 4,532 | $ | 33 | |||||
Premier Inc, Cl A | 77,570 | 2,511 | ||||||
Prestige Consumer Healthcare Inc, Cl A * | 2,007 | 126 | ||||||
QIAGEN NV * | 54,359 | 2,497 | ||||||
Quest Diagnostics Inc | 29,654 | 4,195 | ||||||
Regeneron Pharmaceuticals Inc * | 208 | 171 | ||||||
Sage Therapeutics Inc * | 3,057 | 128 | ||||||
Supernus Pharmaceuticals Inc * | 7,096 | 257 | ||||||
Vanda Pharmaceuticals Inc * | 26,865 | 182 | ||||||
Vertex Pharmaceuticals Inc * | 206 | 65 | ||||||
Viatris Inc, Cl W | 253,179 | 2,436 | ||||||
Vir Biotechnology Inc * | 4,372 | 102 | ||||||
Waters Corp * | 8,437 | 2,612 | ||||||
West Pharmaceutical Services Inc | 8,106 | 2,809 | ||||||
Zimmer Biomet Holdings Inc | 28,816 | 3,723 | ||||||
161,245 | ||||||||
Industrials — 8.6% | ||||||||
3M Co | 13,246 | 1,392 | ||||||
Allison Transmission Holdings Inc | 120,448 | 5,449 | ||||||
AZZ Inc | 2,474 | 102 | ||||||
Barrett Business Services Inc | 3,251 | 288 | ||||||
Booz Allen Hamilton Holding Corp, Cl A | 18,880 | 1,750 | ||||||
Broadridge Financial Solutions Inc | 1,143 | 168 | ||||||
BWX Technologies Inc, Cl W | 11,628 | 733 | ||||||
Casella Waste Systems Inc, Cl A * | 3,466 | 287 | ||||||
CH Robinson Worldwide Inc | 23,529 | 2,338 | ||||||
CSG Systems International Inc | 59,368 | 3,188 | ||||||
Cummins Inc | 31,600 | 7,549 | ||||||
Dun & Bradstreet Holdings Inc | 23,228 | 273 | ||||||
Enerpac Tool Group Corp, Cl A | 15,755 | 402 | ||||||
Ennis Inc | 15,604 | 329 | ||||||
Exponent Inc | 525 | 52 | ||||||
FTI Consulting Inc * | 18,509 | 3,653 | ||||||
General Dynamics Corp | 6,738 | 1,538 | ||||||
Golden Ocean Group Ltd (A) | 36,812 | 350 | ||||||
Huntington Ingalls Industries Inc, Cl A | 7,736 | 1,602 | ||||||
L3Harris Technologies Inc | 1,005 | 197 | ||||||
Landstar System Inc | 3,094 | 555 | ||||||
Leidos Holdings Inc | 2,626 | 242 | ||||||
Lockheed Martin Corp | 19,149 | 9,052 | ||||||
ManpowerGroup Inc | 9,909 | 818 | ||||||
Matson Inc | 2,626 | 157 | ||||||
Maximus Inc | 1,038 | 82 | ||||||
Miller Industries Inc/TN | 1,507 | 53 | ||||||
MSC Industrial Direct Co Inc, Cl A | 2,371 | 199 | ||||||
National Presto Industries | 5,408 | 390 | ||||||
Northrop Grumman Corp | 8,859 | 4,090 | ||||||
Otis Worldwide Corp | 9,220 | 778 | ||||||
Proto Labs Inc * | 2,749 | 91 | ||||||
Resources Connection Inc | 14,682 | 250 | ||||||
Rollins Inc | 68,252 | 2,561 | ||||||
Schneider National Inc, Cl B | 150,871 | 4,036 |
SEI Institutional Managed Trust
73
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
U.S. Managed Volatility Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Science Applications International Corp | 38,100 | $ | 4,094 | |||||
Snap-on Inc | 23,330 | 5,760 | ||||||
SS&C Technologies Holdings Inc | 7,993 | 451 | ||||||
Stericycle Inc, Cl A * | 559 | 24 | ||||||
Werner Enterprises Inc | 99,600 | 4,531 | ||||||
69,854 | ||||||||
Information Technology — 14.2% | ||||||||
A10 Networks Inc | 19,278 | 299 | ||||||
ACI Worldwide Inc * | 9,046 | 244 | ||||||
Adeia Inc | 14,871 | 132 | ||||||
Adobe Inc * | 785 | 303 | ||||||
Altair Engineering Inc, Cl A * | 376 | 27 | ||||||
Amdocs Ltd | 130,242 | 12,507 | ||||||
American Software Inc/GA, Cl A | 7,577 | 96 | ||||||
Arrow Electronics Inc, Cl A * | 38,000 | 4,745 | ||||||
Autodesk Inc, Cl A * | 12,852 | 2,675 | ||||||
AvePoint * | 4,264 | 18 | ||||||
Avnet Inc | 101,300 | 4,579 | ||||||
Brightcove Inc * | 30,831 | 137 | ||||||
Canon Inc ADR | 212,800 | 4,735 | ||||||
Cisco Systems Inc | 265,600 | 13,884 | ||||||
CommVault Systems Inc * | 5,680 | 322 | ||||||
Consensus Cloud Solutions Inc * | 12,471 | 425 | ||||||
Dropbox Inc, Cl A * | 67,962 | 1,469 | ||||||
eGain Corp * | 3,349 | 25 | ||||||
Fortinet Inc * | 3,033 | 202 | ||||||
Gen Digital Inc | 114,203 | 1,960 | ||||||
GoDaddy Inc, Cl A * | 15,291 | 1,188 | ||||||
Hewlett Packard Enterprise Co | 418,100 | 6,660 | ||||||
Intel Corp | 321,509 | 10,504 | ||||||
InterDigital Inc | 2,733 | 199 | ||||||
International Business Machines Corp | 102,708 | 13,464 | ||||||
Knowles Corp * | 187,900 | 3,194 | ||||||
LiveRamp Holdings Inc * | 11,133 | 244 | ||||||
NetApp Inc | 6,942 | 443 | ||||||
Open Text Corp | 57,000 | 2,196 | ||||||
Oracle Corp, Cl B | 105,100 | 9,766 | ||||||
OSI Systems Inc * | 28,433 | 2,910 | ||||||
Progress Software Corp | 8,096 | 465 | ||||||
PTC Inc * | 17,968 | 2,304 | ||||||
Roper Technologies Inc | 4,223 | 1,861 | ||||||
Sanmina Corp * | 1,185 | 72 | ||||||
Sapiens International Corp NV | 16,915 | 367 | ||||||
ScanSource Inc * | 1,858 | 57 | ||||||
Seagate Technology Holdings PLC | 61,200 | 4,047 | ||||||
Skyworks Solutions Inc | 12,229 | 1,443 | ||||||
Synopsys Inc * | 2,381 | 920 | ||||||
Teradata Corp * | 59,860 | 2,411 | ||||||
Upland Software Inc * | 23,680 | 102 | ||||||
VeriSign Inc * | 3,129 | 661 | ||||||
Vishay Intertechnology Inc | 6,312 | 143 | ||||||
Vishay Precision Group Inc * | 6,009 | 251 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Vontier Corp | 17,162 | $ | 469 | |||||
Yext Inc * | 22,753 | 219 | ||||||
115,344 | ||||||||
Materials — 4.4% | ||||||||
Balchem Corp | 1,865 | 236 | ||||||
Berry Global Group Inc | 61,293 | 3,610 | ||||||
FutureFuel Corp | 8,834 | 65 | ||||||
Innospec Inc | 606 | 62 | ||||||
International Paper Co | 65,600 | 2,366 | ||||||
NewMarket Corp | 24,356 | 8,889 | ||||||
Newmont Corp | 14,740 | 723 | ||||||
Reliance Steel & Aluminum Co | 15,600 | 4,005 | ||||||
Sealed Air Corp | 43,200 | 1,983 | ||||||
Silgan Holdings Inc | 136,535 | 7,328 | ||||||
Sonoco Products Co | 72,100 | 4,398 | ||||||
SSR Mining Inc | 109,250 | 1,652 | ||||||
Westrock Co | 16,624 | 507 | ||||||
35,824 | ||||||||
Real Estate — 0.2% | ||||||||
Agree Realty Corp ‡ | 3,126 | 215 | ||||||
BRT Apartments Corp ‡ | 5,322 | 105 | ||||||
Easterly Government Properties Inc, Cl A ‡ | 5,111 | 70 | ||||||
Equity Commonwealth ‡ | 10,051 | 208 | ||||||
InvenTrust Properties Corp ‡ | 4,826 | 113 | ||||||
NETSTREIT Corp ‡ | 5,167 | 94 | ||||||
Omega Healthcare Investors Inc ‡ | 2,843 | 78 | ||||||
Postal Realty Trust Inc, Cl A ‡ | 21,348 | 325 | ||||||
RMR Group Inc/The, Cl A | 3,682 | 97 | ||||||
Weyerhaeuser Co ‡ | 20,736 | 625 | ||||||
1,930 | ||||||||
Utilities — 5.1% | ||||||||
American States Water Co | 3,957 | 352 | ||||||
Avista Corp | 4,419 | 188 | ||||||
Brookfield Infrastructure Corp, Cl A | 18,992 | 875 | ||||||
Chesapeake Utilities Corp | 3,739 | 479 | ||||||
Clearway Energy Inc, Cl A | 1,300 | 39 | ||||||
Clearway Energy Inc, Cl C | 688 | 22 | ||||||
Consolidated Edison Inc | 9,926 | 950 | ||||||
Constellation Energy Corp | 2,661 | 209 | ||||||
Dominion Energy Inc | 29,907 | 1,672 | ||||||
DTE Energy Co | 2,146 | 235 | ||||||
Entergy Corp | 33,565 | 3,616 | ||||||
Evergy Inc | 131,300 | 8,025 | ||||||
Exelon Corp | 61,000 | 2,555 | ||||||
Hawaiian Electric Industries Inc | 2,924 | 112 | ||||||
Middlesex Water Co | 795 | 62 | ||||||
National Fuel Gas Co | 121,522 | 7,017 | ||||||
Northwest Natural Holding Co | 5,992 | 285 | ||||||
NorthWestern Corp | 3,196 | 185 | ||||||
Otter Tail Corp | 55,888 | 4,039 | ||||||
Portland General Electric Co | 7,945 | 388 |
74
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
PPL Corp | 17,974 | $ | 499 | |||||
Spire Inc | 2,651 | 186 | ||||||
UGI Corp | 201,690 | 7,011 | ||||||
Vistra Corp | 107,590 | 2,582 | ||||||
York Water Co/The | 1,550 | 69 | ||||||
41,652 | ||||||||
Total Common Stock | ||||||||
(Cost $681,826) ($ Thousands) | 796,323 | |||||||
AFFILIATED PARTNERSHIP — 0.5% | ||||||||
SEI Liquidity Fund, LP | ||||||||
4.740% **†(B) | 4,621,675 | 4,622 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $4,622) ($ Thousands) | 4,622 | |||||||
CASH EQUIVALENT — 2.0% | ||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | ||||||||
4.570%**† | 16,109,697 | 16,110 | ||||||
Total Cash Equivalent | ||||||||
(Cost $16,110) ($ Thousands) | 16,110 | |||||||
Total Investments in Securities — 100.3% | ||||||||
(Cost $702,558) ($ Thousands) | $ | 817,055 | ||||||
A list of the open futures contracts held by the Fund at March 31, 2023, 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 | 36 | Jun-2023 | $ | 7,013 | $ | 7,448 | $ | 435 | ||||||||||||
| Percentages are based on a Net Assets of $814,364 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2023. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2023 (see Note 12). |
(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 March 31, 2023 was $4,622 ($ Thousands). |
The following is a summary of the level of inputs used as of March 31, 2023, 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 | 796,323 | – | – | 796,323 | ||||||||||||
Affiliated Partnership | – | 4,622 | – | 4,622 | ||||||||||||
Cash Equivalent | 16,110 | – | – | 16,110 | ||||||||||||
Total Investments in Securities | 812,433 | 4,622 | – | 817,055 |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 435 | – | – | 435 | ||||||||||||
Total Other Financial Instruments | 435 | – | – | 435 |
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
SEI Institutional Managed Trust
75
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
U.S. Managed Volatility 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 period ended March 31, 2023 ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 3/31/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 7,816 | $ | 14,183 | $ | (17,377 | ) | $ | (1 | ) | $ | 1 | $ | 4,622 | $ | 35 | $ | — | ||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | 9,947 | 116,402 | (110,239 | ) | — | — | 16,110 | 319 | — | |||||||||||||||||||||||
Totals | $ | 17,763 | $ | 130,585 | $ | (127,616 | ) | $ | (1 | ) | $ | 1 | $ | 20,732 | $ | 354 | $ | — |
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.
76
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 — 96.7% | ||||||||
Australia — 0.4% | ||||||||
Aurizon Holdings Ltd | 263,069 | $ | 594 | |||||
Glencore PLC | 127,996 | 735 | ||||||
Rio Tinto Ltd | 13,776 | 1,109 | ||||||
Telstra Group Ltd, Cl B | 272,266 | 773 | ||||||
3,211 | ||||||||
Austria — 0.0% | ||||||||
Oberbank AG * | 81 | 9 | ||||||
Telekom Austria AG, Cl A | 44,848 | 339 | ||||||
348 | ||||||||
Belgium — 0.3% | ||||||||
Ageas SA/NV | 21,222 | 919 | ||||||
Solvay SA | 12,483 | 1,429 | ||||||
TINC Comm VA | 2,066 | 27 | ||||||
2,375 | ||||||||
Brazil — 0.4% | ||||||||
Yara International ASA | 86,465 | 3,747 | ||||||
Canada — 2.1% | ||||||||
BCE Inc | 99,699 | 4,466 | ||||||
Canadian Utilities Ltd, Cl A | 38,800 | 1,080 | ||||||
CGI Inc, Cl A * | 7,400 | 712 | ||||||
Dollarama Inc | 6,500 | 388 | ||||||
Emera Inc | 14,800 | 607 | ||||||
Empire Co Ltd, Cl A | 82,600 | 2,211 | ||||||
Fairfax Financial Holdings Ltd | 2,400 | 1,594 | ||||||
George Weston Ltd | 21,921 | 2,901 | ||||||
Loblaw Cos Ltd | 31,126 | 2,833 | ||||||
Metro Inc/CN, Cl A | 22,600 | 1,241 | ||||||
18,033 | ||||||||
China — 0.3% | ||||||||
BOC Hong Kong Holdings Ltd | 72,000 | 224 | ||||||
CITIC Telecom International Holdings Ltd | 1,597,000 | 651 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Kerry Logistics Network Ltd | 108,054 | $ | 168 | |||||
Wilmar International Ltd | 433,000 | 1,373 | ||||||
2,416 | ||||||||
Denmark — 0.9% | ||||||||
Carlsberg AS, Cl B | 12,726 | 1,973 | ||||||
Novo Nordisk A/S, Cl B | 34,277 | 5,428 | ||||||
7,401 | ||||||||
Finland — 0.8% | ||||||||
Elisa Oyj | 86,919 | 5,247 | ||||||
Kemira Oyj | 15,212 | 268 | ||||||
Orion Oyj, Cl A | 259 | 12 | ||||||
Orion Oyj, Cl B | 18,621 | 833 | ||||||
TietoEVRY Oyj | 8,052 | 253 | ||||||
6,613 | ||||||||
France — 2.6% | ||||||||
ABC arbitrage | 4,265 | 28 | ||||||
Air Liquide SA | 19,174 | 3,212 | ||||||
Carrefour SA | 185,782 | 3,761 | ||||||
Legrand SA | 14,100 | 1,288 | ||||||
Orange SA | 650,329 | 7,738 | ||||||
Sanofi | 56,205 | 6,121 | ||||||
Vivendi SE | 22,345 | 226 | ||||||
22,374 | ||||||||
Germany — 0.2% | ||||||||
Henkel AG & Co KGaA | 17,258 | 1,256 | ||||||
McKesson Europe AG | 874 | 23 | ||||||
1,279 | ||||||||
Hong Kong — 3.0% | ||||||||
APT Satellite Holdings Ltd | 202,000 | 63 | ||||||
CK Hutchison Holdings Ltd | 705,500 | 4,365 | ||||||
CLP Holdings Ltd, Cl B | 531,656 | 3,842 | ||||||
Dah Sing Banking Group Ltd | 108,898 | 83 | ||||||
HK Electric Investments & HK Electric Investments Ltd | 475,315 | 298 | ||||||
HKT Trust & HKT Ltd | 2,953,000 | 3,920 | ||||||
Langham Hospitality Investments and Langham Hospitality Investments Ltd | 425,500 | 57 | ||||||
Link REIT ‡ | 135,200 | 869 | ||||||
Miramar Hotel & Investment | 49,000 | 74 | ||||||
MTR Corp Ltd | 208,000 | 1,004 | ||||||
New World Development Co Ltd | 90,000 | 241 | ||||||
Nissin Foods Co Ltd | 16,455 | 14 | ||||||
PCCW Ltd | 4,732,000 | 2,362 | ||||||
Power Assets Holdings Ltd | 800,000 | 4,292 | ||||||
Regal Hotels International Holdings Ltd * | 158,182 | 63 | ||||||
SmarTone Telecommunications Holdings Ltd | 118,020 | 76 | ||||||
Swire Pacific Ltd, Cl A | 74,000 | 569 | ||||||
VTech Holdings Ltd | 58,569 | 350 |
SEI Institutional Managed Trust
77
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Global Managed Volatility Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
WH Group Ltd | 4,683,000 | $ | 2,792 | |||||
25,334 | ||||||||
Ireland — 0.1% | ||||||||
Kerry Group PLC, Cl A | 4,173 | 417 | ||||||
Israel — 2.3% | ||||||||
Bank Hapoalim BM | 166,611 | 1,377 | ||||||
Bank Leumi Le-Israel BM | 375,974 | 2,819 | ||||||
Bezeq The Israeli Telecommunication Corp Ltd | 589,703 | 800 | ||||||
Check Point Software Technologies Ltd * | 82,303 | 10,699 | ||||||
Elbit Systems Ltd | 1,395 | 236 | ||||||
First International Bank Of Israel Ltd/The | 43,619 | 1,532 | ||||||
ICL Group Ltd | 245,104 | 1,643 | ||||||
Isracard Ltd | 5 | – | ||||||
Nice Ltd * | 842 | 188 | ||||||
Radware Ltd * | 14,978 | 323 | ||||||
Rami Levy Chain Stores Hashikma Marketing 2006 Ltd | 1,637 | 97 | ||||||
19,714 | ||||||||
Italy — 0.3% | ||||||||
Italgas SpA | 28,912 | 177 | ||||||
Snam SpA | 358,025 | 1,902 | ||||||
TXT e-solutions SpA | 5,101 | 110 | ||||||
2,189 | ||||||||
Japan — 8.3% | ||||||||
Achilles Corp | 2,500 | 26 | ||||||
Ahjikan Co Ltd | 1,200 | 8 | ||||||
Aichi Electric Co Ltd (A) | 600 | 16 | ||||||
Albis Co Ltd | 1,600 | 30 | ||||||
Alinco Inc | 2,700 | 21 | ||||||
Amano Corp | 14,300 | 270 | ||||||
Anritsu Corp | 28,300 | 261 | ||||||
Arcs Co Ltd | 38,300 | 648 | ||||||
Asahi Co Ltd | 6,200 | 63 | ||||||
Asante Inc | 8,400 | 104 | ||||||
Autobacs Seven Co Ltd | 19,500 | 212 | ||||||
Axial Retailing Inc | 2,300 | 60 | ||||||
Belc Co Ltd (A) | 4,300 | 181 | ||||||
Benesse Holdings Inc, Cl A | 26,300 | 384 | ||||||
Calbee Inc | 1,800 | 38 | ||||||
Canon Marketing Japan Inc | 7,100 | 169 | ||||||
Cawachi Ltd (A) | 29,900 | 515 | ||||||
C'BON COSMETICS Co Ltd | 1,100 | 13 | ||||||
Chubu Electric Power Co Inc | 54,600 | 575 | ||||||
Chugin Financial Group Inc | 34,800 | 233 | ||||||
Chugoku Marine Paints Ltd | 16,700 | 138 | ||||||
CI Takiron Corp | 20,800 | 77 | ||||||
Computer Engineering & Consulting Ltd | 18,100 | 175 | ||||||
COMSYS Holdings Corp | 10,100 | 186 | ||||||
Create Medic Co Ltd | 5,677 | 38 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Dai Nippon Toryo Co Ltd | 7,800 | $ | 50 | |||||
Earth Corp | 21,200 | 757 | ||||||
Eizo Corp | 8,600 | 266 | ||||||
Ezaki Glico Co Ltd | 21,100 | 529 | ||||||
FAN Communications Inc | 8,000 | 24 | ||||||
FJ Next Holdings Co Ltd | 14,600 | 109 | ||||||
FTGroup Co Ltd | 2,900 | 24 | ||||||
Fujicco Co Ltd (A) | 22,500 | 314 | ||||||
Fujiya Co Ltd | 2,900 | 54 | ||||||
Fukuda Denshi Co Ltd | 200 | 6 | ||||||
Gakkyusha Co Ltd | 5,600 | 84 | ||||||
Heiwado Co Ltd | 46,600 | 714 | ||||||
Hitachi Ltd | 569 | 31 | ||||||
Hokuto Corp | 53,000 | 740 | ||||||
House Foods Group Inc | 21,600 | 457 | ||||||
Itochu-Shokuhin Co Ltd | 2,003 | 77 | ||||||
Japan Oil Transportation Co Ltd | 2,100 | 38 | ||||||
Japan Tobacco Inc | 380,300 | 8,014 | ||||||
JSP Corp | 20,300 | 237 | ||||||
Kajima Corp | 54,600 | 658 | ||||||
Kaken Pharmaceutical Co Ltd | 23,200 | 646 | ||||||
Kakiyasu Honten Co Ltd | 1,131 | 19 | ||||||
Kansai Electric Power Co Inc/The | 228,800 | 2,223 | ||||||
Kato Sangyo Co Ltd | 27,200 | 720 | ||||||
KDDI Corp (A) | 54,900 | 1,689 | ||||||
Kenedix Retail REIT Corp ‡ | 36 | 64 | ||||||
Kewpie Corp | 11,900 | 199 | ||||||
Key Coffee Inc | 7,400 | 113 | ||||||
Komeri Co Ltd | 2,800 | 58 | ||||||
Kyokuyo Co Ltd | 1,900 | 49 | ||||||
Kyorin Pharmaceutical (A) | 104,700 | 1,344 | ||||||
Kyosan Electric Manufacturing Co Ltd | 9,800 | 31 | ||||||
Kyushu Leasing Service Co Ltd | 4,100 | 27 | ||||||
Lawson Inc | 6,600 | 279 | ||||||
Lion Corp | 34,900 | 376 | ||||||
Maezawa Kasei Industries Co Ltd | 2,400 | 27 | ||||||
Marvelous Inc | 5,300 | 27 | ||||||
McDonald's Holdings Co Japan Ltd | 33,100 | 1,373 | ||||||
Megmilk Snow Brand Co Ltd | 23,600 | 313 | ||||||
Ministop Co Ltd | 4,700 | 50 | ||||||
Miroku Jyoho Service Co Ltd | 6,500 | 81 | ||||||
Mitsubishi Corp | 32,200 | 1,154 | ||||||
Mitsubishi Shokuhin Co Ltd | 18,900 | 463 | ||||||
Mitsui & Co Ltd | 5,600 | 174 | ||||||
Mitsui DM Sugar Holdings Co Ltd | 9,900 | 152 | ||||||
MIXI Inc | 1,900 | 38 | ||||||
Miyoshi Oil & Fat Co Ltd | 16,300 | 120 | ||||||
Mochida Pharmaceutical Co Ltd | 6,100 | 154 | ||||||
Mori Hills REIT Investment Corp ‡ | 41 | 46 | ||||||
Morinaga & Co Ltd/Japan | 2,200 | 62 | ||||||
Morinaga Milk Industry Co Ltd | 4,000 | 144 | ||||||
Morozoff Ltd | 1,200 | 31 |
78
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Musashi Co Ltd | 2,400 | $ | 29 | |||||
Nagatanien Holdings Co Ltd | 1,700 | 27 | ||||||
NEC Capital Solutions Ltd | 1,600 | 30 | ||||||
Nichirei Corp | 16,800 | 339 | ||||||
Nichirin Co Ltd | 6,200 | 110 | ||||||
Nihon Chouzai Co Ltd | 25,200 | 220 | ||||||
Nihon Denkei Co Ltd | 2,000 | 29 | ||||||
Nikko Co Ltd/Hyogo | 5,600 | 27 | ||||||
Nintendo Co Ltd (A) | 50,300 | 1,949 | ||||||
Nippn Corp | 111,234 | 1,389 | ||||||
Nippon BS Broadcasting Corp | 1,700 | 12 | ||||||
NIPPON REIT Investment Corp ‡ | 213 | 513 | ||||||
Nippon Telegraph & Telephone Corp | 206,600 | 6,159 | ||||||
Nisshin Oillio Group Ltd/The | 5,452 | 133 | ||||||
Nissin Foods Holdings Co Ltd | 5,100 | 465 | ||||||
Nittoc Construction Co Ltd | 17,600 | 129 | ||||||
Oiles Corp | 15,300 | 194 | ||||||
Okinawa Cellular Telephone Co | 7,000 | 160 | ||||||
Okuwa Co Ltd | 5,400 | 34 | ||||||
Osaki Electric Co Ltd | 13,700 | 55 | ||||||
Otsuka Holdings Co Ltd | 41,900 | 1,327 | ||||||
OUG Holdings Inc | 2,236 | 42 | ||||||
Raito Kogyo Co Ltd | 6,700 | 98 | ||||||
Rasa Corp | 3,900 | 43 | ||||||
RYODEN CORP | 2,300 | 32 | ||||||
San Holdings Inc | 3,800 | 64 | ||||||
San-A Co Ltd, Cl A | 25,300 | 778 | ||||||
Sanki Engineering Co Ltd | 20,300 | 224 | ||||||
Sankyo Co Ltd | 33,700 | 1,404 | ||||||
Showa Sangyo Co Ltd | 18,600 | 355 | ||||||
SKY Perfect JSAT Holdings Inc | 180,700 | 704 | ||||||
Socionext Inc | 38,300 | 2,820 | ||||||
SoftBank Corp | 391,700 | 4,511 | ||||||
SPK Corp | 1,900 | 25 | ||||||
SRA Holdings | 5,000 | 110 | ||||||
ST Corp | 5,400 | 64 | ||||||
Sundrug Co Ltd | 69,100 | 1,891 | ||||||
Tachibana Eletech Co Ltd | 1,000 | 15 | ||||||
Takamatsu Construction Group Co Ltd | 12,500 | 191 | ||||||
Takasago International Corp | 2,300 | 45 | ||||||
Takeda Pharmaceutical Co Ltd | 80,400 | 2,634 | ||||||
Teijin Ltd | 31,000 | 326 | ||||||
Tekken Corp | 6,000 | 82 | ||||||
TOKAI Holdings Corp | 46,400 | 305 | ||||||
Tokuyama Corp | 13,000 | 207 | ||||||
Tokyo Gas Co Ltd | 28,700 | 538 | ||||||
Tokyo Individualized Educational Institute Inc | 14,600 | 59 | ||||||
Tokyo Seimitsu Co Ltd | 11,000 | 426 | ||||||
Tokyu Construction Co Ltd | 5,000 | 25 | ||||||
Toyo Ink SC Holdings Co Ltd | 21,700 | 336 | ||||||
Trend Micro Inc/Japan * | 117,800 | 5,766 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Unicafe Inc (A) | 6,400 | $ | 44 | |||||
United Super Markets Holdings Inc (A) | 101,800 | 854 | ||||||
Uoriki Co Ltd | 5,800 | 95 | ||||||
Valor Holdings Co Ltd | 12,300 | 179 | ||||||
Vital KSK Holdings Inc | 31,000 | 209 | ||||||
Warabeya Nichiyo Holdings Co Ltd | 2,600 | 35 | ||||||
Wowow Inc | 19,124 | 181 | ||||||
Yamato Holdings Co Ltd | 37,300 | 639 | ||||||
Yamaura Corp | 2,900 | 24 | ||||||
Yaoko Co Ltd | 6,100 | 317 | ||||||
Yokorei Co Ltd | 16,000 | 116 | ||||||
Yondoshi Holdings Inc | 3,300 | 44 | ||||||
Zenkoku Hosho Co Ltd | 4,000 | 151 | ||||||
Zenrin Co Ltd | 16,500 | 104 | ||||||
70,312 | ||||||||
Netherlands — 2.5% | ||||||||
Flow Traders Ltd | 4,825 | 140 | ||||||
Koninklijke Ahold Delhaize NV | 368,976 | 12,623 | ||||||
OCI NV | 12,398 | 421 | ||||||
Shell PLC | 95,963 | 2,762 | ||||||
Wolters Kluwer NV | 44,109 | 5,576 | ||||||
21,522 | ||||||||
New Zealand — 0.6% | ||||||||
Freightways Group Ltd | 13,822 | 82 | ||||||
Spark New Zealand Ltd | 1,620,820 | 5,138 | ||||||
5,220 | ||||||||
Norway — 1.5% | ||||||||
AF Gruppen ASA | 449 | 6 | ||||||
AMSC ASA | 7,860 | 31 | ||||||
Bouvet ASA | 2,334 | 14 | ||||||
DNB Bank ASA | 52,189 | 934 | ||||||
Equinor ASA | 118,867 | 3,390 | ||||||
Gjensidige Forsikring ASA | 21,783 | 356 | ||||||
Orkla ASA | 300,688 | 2,132 | ||||||
Sparebank 1 Oestlandet | 3,854 | 42 | ||||||
SpareBank 1 SMN | 5,063 | 60 | ||||||
SpareBank 1 Sorost-Norge | 3,479 | 17 | ||||||
Sparebanken Vest | 8,999 | 79 | ||||||
Telenor ASA | 487,942 | 5,717 | ||||||
Veidekke ASA | 21,684 | 230 | ||||||
13,008 | ||||||||
Portugal — 0.7% | ||||||||
Corticeira Amorim SGPS SA | 3,292 | 36 | ||||||
Jeronimo Martins SGPS SA | 191,357 | 4,495 | ||||||
NOS SGPS SA | 57,922 | 265 | ||||||
REN - Redes Energeticas Nacionais SGPS SA | 471,024 | 1,382 | ||||||
6,178 | ||||||||
Singapore — 0.9% | ||||||||
Bukit Sembawang Estates Ltd | 11,000 | 34 | ||||||
Fraser and Neave Ltd | 20,400 | 17 |
SEI Institutional Managed Trust
79
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Global Managed Volatility Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Jardine Cycle & Carriage Ltd | 33,200 | $ | 783 | |||||
Jardine Matheson Holdings Ltd | 38,500 | 1,870 | ||||||
Kimly Ltd | 90,400 | 22 | ||||||
Oversea-Chinese Banking Corp Ltd | 235,600 | 2,198 | ||||||
Sheng Siong Group Ltd | 1,367,374 | 1,739 | ||||||
Singapore Technologies Engineering Ltd | 206,400 | 569 | ||||||
Venture Corp Ltd | 12,700 | 169 | ||||||
7,401 | ||||||||
Spain — 0.7% | ||||||||
Cia de Distribucion Integral Logista Holdings SA | 30,628 | 765 | ||||||
Endesa SA | 9,562 | 208 | ||||||
Red Electrica Corp SA (A) | 295,592 | 5,203 | ||||||
6,176 | ||||||||
Sweden — 0.4% | ||||||||
Axfood AB | 53,762 | 1,313 | ||||||
Nordea Bank Abp, Cl A | 13,795 | 147 | ||||||
Tele2 AB, Cl B | 218,269 | 2,173 | ||||||
Volvo AB, Cl A | 6,820 | 147 | ||||||
3,780 | ||||||||
Switzerland — 4.8% | ||||||||
ABB Ltd | 35,169 | 1,208 | ||||||
Barry Callebaut AG | 331 | 703 | ||||||
Bell Food Group AG | 194 | 60 | ||||||
Berner Kantonalbank AG | 248 | 62 | ||||||
BKW AG | 2,434 | 383 | ||||||
Emmi AG | 90 | 90 | ||||||
Nestle SA | 53,225 | 6,494 | ||||||
Novartis AG | 102,145 | 9,365 | ||||||
Plazza AG | 133 | 45 | ||||||
PSP Swiss Property AG | 30,307 | 3,450 | ||||||
Roche Holding AG | 34,862 | 10,018 | ||||||
St Galler Kantonalbank AG | 813 | 438 | ||||||
Swatch Group AG/The | 8,046 | 509 | ||||||
Swatch Group AG/The, Cl B | 1,223 | 420 | ||||||
Swisscom AG | 12,308 | 7,857 | ||||||
41,102 | ||||||||
United Kingdom — 5.8% | ||||||||
British American Tobacco PLC | 31,628 | 1,111 | ||||||
Bunzl PLC | 64,308 | 2,431 | ||||||
Coca-Cola Europacific Partners PLC | 25,128 | 1,487 | ||||||
GSK PLC | 416,150 | 7,353 | ||||||
HSBC Holdings PLC | 215,324 | 1,464 | ||||||
Imperial Brands PLC | 189,952 | 4,378 | ||||||
J Sainsbury PLC | 78,875 | 272 | ||||||
Liberty Global PLC, Cl A * | 77,588 | 1,513 | ||||||
Pearson PLC | 33,866 | 354 | ||||||
Reckitt Benckiser Group PLC | 41,769 | 3,180 | ||||||
RELX PLC | 230,133 | 7,449 | ||||||
Sage Group PLC/The | 636,756 | 6,102 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Shell PLC | 117,710 | $ | 3,360 | |||||
Spirent Communications PLC | 322,252 | 690 | ||||||
Tesco PLC | 1,088,018 | 3,574 | ||||||
Unilever PLC | 23,783 | 1,232 | ||||||
Vodafone Group PLC | 3,319,373 | 3,665 | ||||||
49,615 | ||||||||
United States — 56.8% | ||||||||
AbbVie Inc | 19,984 | 3,185 | ||||||
Aflac Inc | 37,274 | 2,405 | ||||||
Air Products and Chemicals Inc | 7,755 | 2,227 | ||||||
Alphabet Inc, Cl A * | 17,304 | 1,795 | ||||||
Alphabet Inc, Cl C * | 16,522 | 1,718 | ||||||
Altria Group Inc | 126,106 | 5,627 | ||||||
Amcor PLC | 280,950 | 3,197 | ||||||
Amdocs Ltd | 75,235 | 7,225 | ||||||
American Business Bank * | 1,369 | 45 | ||||||
American Electric Power Co Inc | 9,451 | 860 | ||||||
AMETEK Inc | 21,787 | 3,166 | ||||||
Amgen Inc, Cl A | 34,558 | 8,354 | ||||||
Aon PLC, Cl A | 7,297 | 2,301 | ||||||
Apple Inc | 45,559 | 7,513 | ||||||
AptarGroup Inc | 17,370 | 2,053 | ||||||
Archer-Daniels-Midland Co | 12,360 | 985 | ||||||
Arrow Electronics Inc, Cl A * | 8,774 | 1,096 | ||||||
Ashland Inc | 12,450 | 1,279 | ||||||
AT&T Inc | 4,257 | 82 | ||||||
AutoZone Inc * | 2,801 | 6,885 | ||||||
Bank of New York Mellon Corp/The | 15,549 | 706 | ||||||
Becton Dickinson & Co | 15,047 | 3,725 | ||||||
Berkshire Hathaway Inc, Cl B * | 15,948 | 4,924 | ||||||
BlackRock TCP Capital Corp | 34,247 | 353 | ||||||
Booz Allen Hamilton Holding Corp, Cl A | 20,559 | 1,906 | ||||||
Box Inc, Cl A * | 42,528 | 1,139 | ||||||
Bristol-Myers Squibb Co | 159,716 | 11,070 | ||||||
CACI International Inc, Cl A * | 1,202 | 356 | ||||||
Cadence Design Systems Inc * | 15,875 | 3,335 | ||||||
Campbell Soup Co | 121,688 | 6,690 | ||||||
Cardinal Health Inc | 11,093 | 837 | ||||||
Casey's General Stores Inc | 25,469 | 5,513 | ||||||
Cboe Global Markets Inc | 33,863 | 4,546 | ||||||
CF Industries Holdings Inc | 28,682 | 2,079 | ||||||
CH Robinson Worldwide Inc | 16,647 | 1,654 | ||||||
Chemed Corp | 3,076 | 1,654 | ||||||
Chubb Ltd | 2,889 | 561 | ||||||
Church & Dwight Co Inc | 95,418 | 8,436 | ||||||
Cigna Group/The | 6,237 | 1,594 | ||||||
Cirrus Logic Inc * | 2,471 | 270 | ||||||
Cisco Systems Inc | 175,162 | 9,157 | ||||||
Clorox Co/The | 48,912 | 7,740 | ||||||
Coca-Cola Co/The | 100,764 | 6,250 | ||||||
Cognizant Technology Solutions Corp, Cl A | 4,618 | 281 | ||||||
Colgate-Palmolive Co | 101,625 | 7,637 |
80
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Comcast Corp, Cl A | 8,307 | $ | 315 | |||||
CommVault Systems Inc * | 55,554 | 3,152 | ||||||
Conagra Brands Inc | 90,049 | 3,382 | ||||||
Consolidated Edison Inc | 12,694 | 1,215 | ||||||
Corebridge Financial Inc | 105,816 | 1,695 | ||||||
Costco Wholesale Corp | 3,431 | 1,705 | ||||||
Crane NXT Co | 47,378 | 5,377 | ||||||
CVS Health Corp | 59,126 | 4,394 | ||||||
Dolby Laboratories Inc, Cl A | 62,691 | 5,355 | ||||||
Dollar General Corp | 7,159 | 1,507 | ||||||
Dominion Energy Inc | 17,999 | 1,006 | ||||||
Domino's Pizza Inc | 4,057 | 1,338 | ||||||
Donaldson Co Inc, Cl A | 2,371 | 155 | ||||||
DTE Energy Co | 34,037 | 3,728 | ||||||
Duke Energy Corp | 22,584 | 2,179 | ||||||
Ecolab Inc | 8,626 | 1,428 | ||||||
Electronic Arts Inc | 1,918 | 231 | ||||||
Elevance Health Inc | 1,275 | 586 | ||||||
Ennis Inc | 1,617 | 34 | ||||||
Expeditors International of Washington Inc | 5,016 | 552 | ||||||
Exxon Mobil Corp | 1,222 | 134 | ||||||
Fair Isaac Corp * | 4,913 | 3,452 | ||||||
Ferguson PLC | 15,957 | 2,134 | ||||||
Flowers Foods Inc | 54,651 | 1,498 | ||||||
FMC Corp | 14,148 | 1,728 | ||||||
Fox Corp, Cl A | 23,607 | 804 | ||||||
General Dynamics Corp | 15,843 | 3,616 | ||||||
General Mills Inc | 108,679 | 9,288 | ||||||
Genuine Parts Co | 5,849 | 979 | ||||||
Gilead Sciences Inc | 102,882 | 8,536 | ||||||
Graco Inc | 68,806 | 5,024 | ||||||
Graham Holdings Co, Cl B | 2,107 | 1,256 | ||||||
Grand Canyon Education Inc * | 13,044 | 1,486 | ||||||
HealthStream Inc | 9,405 | 255 | ||||||
Hershey Co/The | 32,252 | 8,205 | ||||||
HF Sinclair Corp | 11,270 | 545 | ||||||
Hologic Inc * | 10,065 | 812 | ||||||
Hormel Foods Corp | 27,183 | 1,084 | ||||||
Hubbell Inc, Cl B | 1,975 | 481 | ||||||
Humana Inc | 16,236 | 7,882 | ||||||
Huntington Ingalls Industries Inc, Cl A | 4,369 | 904 | ||||||
Incyte Corp * | 130,100 | 9,402 | ||||||
Ingredion Inc | 2,723 | 277 | ||||||
Insperity Inc, Cl A | 2,599 | 316 | ||||||
Intercontinental Exchange Inc | 51,850 | 5,408 | ||||||
J M Smucker Co/The | 19,923 | 3,135 | ||||||
Jack Henry & Associates Inc | 391 | 59 | ||||||
Jacobs Solutions Inc | 17,773 | 2,088 | ||||||
John B Sanfilippo & Son Inc | 2,862 | 277 | ||||||
Johnson & Johnson | 72,083 | 11,173 | ||||||
Juniper Networks Inc | 244,138 | 8,403 | ||||||
Kellogg Co | 126,059 | 8,441 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Kimberly-Clark Corp | 94,758 | $ | 12,719 | |||||
Knight-Swift Transportation Holdings Inc, Cl A | 635 | 36 | ||||||
Kraft Heinz Co/The | 33,824 | 1,308 | ||||||
L3Harris Technologies Inc | 4,955 | 972 | ||||||
Lamb Weston Holdings Inc | 2,580 | 270 | ||||||
Leidos Holdings Inc | 10,532 | 970 | ||||||
Lockheed Martin Corp | 9,473 | 4,478 | ||||||
Marathon Petroleum Corp | 2,104 | 284 | ||||||
Marsh & McLennan Cos Inc | 46,568 | 7,756 | ||||||
McDonald's Corp | 6,506 | 1,819 | ||||||
McKesson Corp | 21,827 | 7,771 | ||||||
Medtronic PLC | 51,373 | 4,142 | ||||||
Merck & Co Inc | 64,282 | 6,839 | ||||||
Microsoft Corp | 24,820 | 7,156 | ||||||
Molina Healthcare Inc * | 3,348 | 896 | ||||||
Mondelez International Inc, Cl A | 115,772 | 8,071 | ||||||
MP Materials Corp * | 46,084 | 1,299 | ||||||
Neurocrine Biosciences Inc * | 7,551 | 764 | ||||||
NewMarket Corp | 280 | 102 | ||||||
Newmont Corp | 10,897 | 534 | ||||||
NextGen Healthcare Inc * | 1,547 | 27 | ||||||
Northrop Grumman Corp | 8,122 | 3,750 | ||||||
Oracle Corp, Cl B | 46,556 | 4,326 | ||||||
O'Reilly Automotive Inc * | 1,137 | 965 | ||||||
PACCAR Inc | 40,617 | 2,973 | ||||||
Packaging Corp of America | 641 | 89 | ||||||
PepsiCo Inc | 41,651 | 7,593 | ||||||
Pfizer Inc | 31,207 | 1,273 | ||||||
Philip Morris International Inc | 74,471 | 7,242 | ||||||
Phillips 66 | 21,044 | 2,133 | ||||||
Procter & Gamble Co/The | 60,856 | 9,049 | ||||||
Public Storage ‡ | 8,145 | 2,461 | ||||||
QIAGEN NV * | 764 | 35 | ||||||
Regeneron Pharmaceuticals Inc * | 444 | 365 | ||||||
Reliance Steel & Aluminum Co | 22,326 | 5,732 | ||||||
Royal Gold Inc, Cl A | 57,746 | 7,490 | ||||||
RPM International Inc | 50,616 | 4,416 | ||||||
Service Corp International/US | 10,643 | 732 | ||||||
Silgan Holdings Inc | 81,099 | 4,353 | ||||||
Sonoco Products Co | 458 | 28 | ||||||
Synopsys Inc * | 7,134 | 2,756 | ||||||
Toro Co/The | 10,955 | 1,218 | ||||||
Travelers Cos Inc/The | 3,112 | 533 | ||||||
Tyson Foods Inc, Cl A | 13,129 | 779 | ||||||
United Therapeutics Corp * | 8,379 | 1,877 | ||||||
UnitedHealth Group Inc | 13,397 | 6,331 | ||||||
USANA Health Sciences Inc * | 11,882 | 747 | ||||||
Valero Energy Corp | 24,155 | 3,372 | ||||||
Varia US Properties AG | 28 | 1 | ||||||
VeriSign Inc * | 12,264 | 2,592 | ||||||
Verizon Communications Inc | 279,461 | 10,868 |
SEI Institutional Managed Trust
81
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Global Managed Volatility Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Vertex Pharmaceuticals Inc * | 4,712 | $ | 1,485 | |||||
Vistra Corp | 43,220 | 1,037 | ||||||
VMware Inc, Cl A * | 1,674 | 209 | ||||||
Walgreens Boots Alliance Inc | 77,751 | 2,689 | ||||||
Walmart Inc | 46,632 | 6,876 | ||||||
Waste Management Inc | 2,314 | 378 | ||||||
WEC Energy Group Inc | 2,066 | 196 | ||||||
Western Union Co/The | 253,967 | 2,832 | ||||||
482,821 | ||||||||
Total Common Stock | ||||||||
(Cost $777,899) ($ Thousands) | 822,586 | |||||||
PREFERRED STOCK — 0.4% | ||||||||
Germany — 0.4% | ||||||||
Bayerische Motoren Werke AG, 7.000% | 1,468 | 150 | ||||||
Henkel AG & Co KGaA (B) | 37,652 | 2,948 | ||||||
Total Preferred Stock | ||||||||
(Cost $2,849) ($ Thousands) | 3,098 | |||||||
AFFILIATED PARTNERSHIP — 1.4% | ||||||||
SEI Liquidity Fund, LP | ||||||||
4.740% **†(C) | 11,914,745 | 11,920 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $11,916) ($ Thousands) | 11,920 | |||||||
CASH EQUIVALENT — 0.9% | ||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | ||||||||
4.570%**† | 7,742,220 | 7,742 | ||||||
Total Cash Equivalent | ||||||||
(Cost $7,742) ($ Thousands) | 7,742 | |||||||
Total Investments in Securities — 99.4% | ||||||||
(Cost $800,406) ($ Thousands) | $ | 845,346 | ||||||
82
SEI Institutional Managed Trust
A list of the open futures contracts held by the Fund at March 31, 2023, is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Euro STOXX 50 | 29 | Jun-2023 | $ | 1,314 | $ | 1,342 | $ | 22 | ||||||||||||
FTSE 100 Index | 8 | Jun-2023 | 752 | 756 | 2 | |||||||||||||||
Hang Seng Index | 2 | Apr-2023 | 262 | 261 | (1 | ) | ||||||||||||||
S&P 500 Index E-MINI | 37 | Jun-2023 | 7,502 | 7,655 | 153 | |||||||||||||||
SPI 200 Index | 3 | Jun-2023 | 352 | 361 | 7 | |||||||||||||||
TOPIX Index | 5 | Jun-2023 | 750 | 753 | 3 | |||||||||||||||
$ | 10,932 | $ | 11,128 | $ | 186 |
A list of the open forward foreign currency contracts held by the Fund at March 31, 2023, is as follows:
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
Barclays PLC | 04/03/23 | CAD | 8,682 | USD | 6,401 | $ | (14 | ) | ||||||||||||||||
Barclays PLC | 04/03/23 | CHF | 19,391 | USD | 20,739 | (487 | ) | |||||||||||||||||
Barclays PLC | 04/03/23 - 05/01/23 | DKK | 52,217 | USD | 7,535 | (87 | ) | |||||||||||||||||
Barclays PLC | 04/03/23 | HKD | 123,075 | USD | 15,703 | 25 | ||||||||||||||||||
BNP Paribas | 04/03/23 | SGD | 4,771 | USD | 3,540 | (48 | ) | |||||||||||||||||
BNP Paribas | 04/03/23 | EUR | 29,714 | USD | 31,581 | (701 | ) | |||||||||||||||||
BNP Paribas | 04/03/23 | NOK | 75,714 | USD | 7,338 | 108 | ||||||||||||||||||
BNP Paribas | 04/03/23 - 05/02/23 | SEK | 170,752 | USD | 16,418 | (63 | ) | |||||||||||||||||
BNP Paribas | 04/03/23 | JPY | 4,961,428 | USD | 36,456 | (823 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/03/23 | USD | 148 | NZD | 238 | 1 | ||||||||||||||||||
Brown Brothers Harriman | 04/03/23 | USD | 88 | NZD | 140 | — | ||||||||||||||||||
Brown Brothers Harriman | 05/02/23 | SGD | 45 | USD | 34 | — | ||||||||||||||||||
Brown Brothers Harriman | 04/03/23 | SGD | 199 | USD | 148 | (2 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/03/23 - 05/01/23 | AUD | 48 | USD | 32 | — | ||||||||||||||||||
Brown Brothers Harriman | 04/03/23 - 05/01/23 | AUD | 229 | USD | 152 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/03/23 - 05/01/23 | USD | 277 | AUD | 417 | 3 | ||||||||||||||||||
Brown Brothers Harriman | 04/03/23 | USD | 66 | AUD | 98 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/03/23 - 05/01/23 | NZD | 444 | USD | 274 | (4 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/03/23 - 05/01/23 | USD | 518 | CAD | 709 | 6 | ||||||||||||||||||
Brown Brothers Harriman | 04/03/23 | USD | 440 | NOK | 4,666 | 5 | ||||||||||||||||||
Brown Brothers Harriman | 04/03/23 | USD | 239 | NOK | 2,459 | (4 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/03/23 | USD | 658 | SGD | 888 | 9 | ||||||||||||||||||
Brown Brothers Harriman | 04/03/23 | USD | 43 | SGD | 57 | — | ||||||||||||||||||
Brown Brothers Harriman | 04/03/23 - 05/01/23 | USD | 903 | DKK | 6,338 | 21 | ||||||||||||||||||
Brown Brothers Harriman | 04/03/23 - 05/01/23 | USD | 65 | DKK | 443 | — | ||||||||||||||||||
Brown Brothers Harriman | 04/03/23 | CHF | 40 | USD | 43 | — | ||||||||||||||||||
Brown Brothers Harriman | 04/03/23 - 05/02/23 | CHF | 933 | USD | 1,008 | (13 | ) | |||||||||||||||||
Brown Brothers Harriman | 05/02/23 | GBP | 43 | USD | 53 | — | ||||||||||||||||||
Brown Brothers Harriman | 04/03/23 - 05/02/23 | GBP | 1,477 | USD | 1,787 | (40 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/03/23 - 05/01/23 | DKK | 1,740 | USD | 249 | (5 | ) | |||||||||||||||||
Brown Brothers Harriman | 05/01/23 | CAD | 32 | USD | 24 | — | ||||||||||||||||||
Brown Brothers Harriman | 04/03/23 - 05/01/23 | CAD | 1,777 | USD | 1,291 | (21 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/03/23 - 05/02/23 | USD | 1,257 | CHF | 1,163 | 16 | ||||||||||||||||||
Brown Brothers Harriman | 04/03/23 - 05/02/23 | USD | 666 | CHF | 607 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/03/23 | USD | 2,476 | GBP | 2,038 | 44 | ||||||||||||||||||
Brown Brothers Harriman | 04/03/23 | USD | 2,402 | SEK | 25,542 | 61 | ||||||||||||||||||
Brown Brothers Harriman | 04/03/23 | USD | 274 | SEK | 2,830 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/03/23 | USD | 3,018 | HKD | 23,662 | (4 | ) |
SEI Institutional Managed Trust
83
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Global Managed Volatility Fund (Concluded)
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
Brown Brothers Harriman | 04/03/23 - 05/02/23 | USD | 2,448 | EUR | 2,289 | $ | 39 | |||||||||||||||||
Brown Brothers Harriman | 04/03/23 - 05/02/23 | USD | 660 | EUR | 606 | (2 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/03/23 | USD | 2,623 | JPY | 355,618 | 49 | ||||||||||||||||||
Brown Brothers Harriman | 04/03/23 | USD | 2,152 | JPY | 283,527 | (21 | ) | |||||||||||||||||
Brown Brothers Harriman | 05/02/23 | EUR | 207 | USD | 225 | — | ||||||||||||||||||
Brown Brothers Harriman | 04/03/23 | EUR | 4,922 | USD | 5,217 | (131 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/03/23 - 05/02/23 | HKD | 4,233 | USD | 540 | 1 | ||||||||||||||||||
Brown Brothers Harriman | 05/02/23 | HKD | 988 | USD | 126 | — | ||||||||||||||||||
Brown Brothers Harriman | 04/03/23 - 05/02/23 | SEK | 887 | USD | 86 | — | ||||||||||||||||||
Brown Brothers Harriman | 04/03/23 - 05/02/23 | SEK | 6,947 | USD | 659 | (10 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/03/23 - 05/02/23 | NOK | 1,590 | USD | 153 | 1 | ||||||||||||||||||
Brown Brothers Harriman | 04/03/23 - 05/02/23 | NOK | 24,030 | USD | 2,262 | (33 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/03/23 - 05/01/23 | JPY | 178,956 | USD | 1,354 | 7 | ||||||||||||||||||
Brown Brothers Harriman | 04/03/23 - 05/01/23 | JPY | 130,491 | USD | 969 | (13 | ) | |||||||||||||||||
Standard Chartered | 04/03/23 | AUD | 3,254 | USD | 2,194 | 14 | ||||||||||||||||||
Standard Chartered | 05/02/23 | GBP | 21,922 | USD | 27,053 | (63 | ) | |||||||||||||||||
Westpac Banking | 04/03/23 - 05/01/23 | NZD | 8,520 | USD | 5,274 | (55 | ) | |||||||||||||||||
Westpac Banking | 04/03/23 | GBP | 22,568 | USD | 27,307 | (597 | ) | |||||||||||||||||
Westpac Banking | 05/01/23 | AUD | 2,995 | USD | 2,002 | (5 | ) | |||||||||||||||||
Westpac Banking | 05/01/23 | CAD | 9,733 | USD | 7,160 | (36 | ) | |||||||||||||||||
Westpac Banking | 05/01/23 | JPY | 4,594,634 | USD | 34,854 | 174 | ||||||||||||||||||
Westpac Banking | 05/02/23 | SGD | 4,046 | USD | 3,045 | (2 | ) | |||||||||||||||||
Westpac Banking | 05/02/23 | CHF | 18,832 | USD | 20,565 | (115 | ) | |||||||||||||||||
Westpac Banking | 05/02/23 | EUR | 31,843 | USD | 34,607 | (38 | ) | |||||||||||||||||
Westpac Banking | 05/02/23 | NOK | 92,422 | USD | 8,893 | 54 | ||||||||||||||||||
Westpac Banking | 05/02/23 | HKD | 104,504 | USD | 13,337 | 3 | ||||||||||||||||||
$ | (2,800 | ) |
| Percentages are based on Net Assets of $850,321 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2023. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2023 (see Note 12). |
(B) | No interest rate available. |
(C) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of March 31, 2023 was $11,920 ($ Thousands). |
The following is a summary of the level of inputs used as of March 31, 2023, 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 | 822,392 | 194 | – | 822,586 | ||||||||||||
Preferred Stock | 3,098 | – | – | 3,098 | ||||||||||||
Affiliated Partnership | – | 11,920 | – | 11,920 | ||||||||||||
Cash Equivalent | 7,742 | – | – | 7,742 | ||||||||||||
Total Investments in Securities | 833,232 | 12,114 | – | 845,346 |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 187 | – | – | 187 | ||||||||||||
Unrealized Depreciation | (1 | ) | – | – | (1 | ) | ||||||||||
Forward Contracts* | ||||||||||||||||
Unrealized Appreciation | – | 641 | – | 641 | ||||||||||||
Unrealized Depreciation | – | (3,441 | ) | – | (3,441 | ) | ||||||||||
Total Other Financial Instruments | 186 | (2,800 | ) | – | (2,614 | ) |
* | 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.
84
SEI Institutional Managed Trust
The following is a summary of the Fund’s transactions with affiliates for the period ended March 31, 2023 ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 3/31/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 17,355 | $ | 66,904 | $ | (72,346 | ) | $ | — | $ | 7 | $ | 11,920 | $ | 38 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | 8,497 | 83,281 | (84,036 | ) | — | — | 7,742 | 210 | — | |||||||||||||||||||||||
Totals | $ | 25,852 | $ | 150,185 | $ | (156,382 | ) | $ | — | $ | 7 | $ | 19,662 | $ | 248 | $ | — |
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
85
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 — 98.1% | ||||||||
Communication Services — 2.6% | ||||||||
Alphabet Inc, Cl A * | 19,626 | $ | 2,036 | |||||
Alphabet Inc, Cl C * | 4,281 | 445 | ||||||
AT&T Inc | 190,500 | 3,667 | ||||||
Fox Corp, Cl A | 83,711 | 2,850 | ||||||
Fox Corp, Cl B | 50,761 | 1,589 | ||||||
Madison Square Garden Sports Corp | 8,917 | 1,738 | ||||||
New York Times Co/The, Cl A | 90,938 | 3,536 | ||||||
Verizon Communications Inc | 176,872 | 6,879 | ||||||
22,740 | ||||||||
Consumer Discretionary — 4.6% | ||||||||
AutoZone Inc * | 10,000 | 24,581 | ||||||
Darden Restaurants Inc | 7,687 | 1,193 | ||||||
Dick's Sporting Goods Inc | 12,374 | 1,756 | ||||||
Honda Motor Co Ltd ADR | 129,300 | 3,425 | ||||||
McDonald's Corp | 24,867 | 6,953 | ||||||
Toyota Motor Corp ADR (A) | 16,500 | 2,338 | ||||||
40,246 | ||||||||
Consumer Staples — 16.4% | ||||||||
Altria Group Inc | 51,246 | 2,287 | ||||||
Archer-Daniels-Midland Co | 1,842 | 147 | ||||||
Bunge Ltd | 11,345 | 1,084 | ||||||
Campbell Soup Co | 53,765 | 2,956 | ||||||
Church & Dwight Co Inc | 72,051 | 6,370 | ||||||
Clorox Co/The | 19,287 | 3,052 | ||||||
Coca-Cola Co/The | 69,556 | 4,315 | ||||||
Coca-Cola Europacific Partners PLC | 49,400 | 2,924 | ||||||
Colgate-Palmolive Co | 56,926 | 4,278 | ||||||
Costco Wholesale Corp | 10,898 | 5,415 | ||||||
Dollar General Corp | 8,848 | 1,862 | ||||||
General Mills Inc | 70,976 | 6,066 | ||||||
Hershey Co/The | 32,533 | 8,277 | ||||||
Hormel Foods Corp | 110,755 | 4,417 | ||||||
J M Smucker Co/The | 33,538 | 5,278 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Kellogg Co | 96,962 | $ | 6,492 | |||||
Kimberly-Clark Corp | 41,715 | 5,599 | ||||||
Kroger Co/The | 317,500 | 15,675 | ||||||
Lamb Weston Holdings Inc | 28,333 | 2,961 | ||||||
McCormick & Co Inc/MD | 75,752 | 6,303 | ||||||
Metro Inc/CN, Cl A | 58,400 | 3,208 | ||||||
PepsiCo Inc | 56,305 | 10,264 | ||||||
Procter & Gamble Co/The | 39,918 | 5,935 | ||||||
Target Corp, Cl A | 22,685 | 3,757 | ||||||
Tyson Foods Inc, Cl A | 54,966 | 3,261 | ||||||
Walmart Inc | 146,507 | 21,602 | ||||||
143,785 | ||||||||
Energy — 1.0% | ||||||||
DT Midstream Inc | 19,049 | 940 | ||||||
Eni ADR (A) | 117,500 | 3,290 | ||||||
Exxon Mobil Corp | 17,300 | 1,897 | ||||||
Williams Cos Inc/The | 96,414 | 2,879 | ||||||
9,006 | ||||||||
Financials — 15.0% | ||||||||
Aflac Inc | 112,800 | 7,278 | ||||||
Allstate Corp/The | 65,446 | 7,252 | ||||||
American Financial Group Inc/OH | 41,500 | 5,042 | ||||||
Assurant Inc | 10,566 | 1,269 | ||||||
Bank of America Corp | 7,089 | 203 | ||||||
Bank of Hawaii Corp | 44,635 | 2,325 | ||||||
Bank OZK | 120,055 | 4,106 | ||||||
Berkshire Hathaway Inc, Cl B * | 33,500 | 10,344 | ||||||
Cboe Global Markets Inc | 46,588 | 6,254 | ||||||
Chubb Ltd | 12,399 | 2,408 | ||||||
Cullen/Frost Bankers Inc | 13,679 | 1,441 | ||||||
Everest Re Group Ltd | 41,580 | 14,886 | ||||||
Eversource Energy | 68,092 | 5,329 | ||||||
First Hawaiian Inc | 91,228 | 1,882 | ||||||
Hanover Insurance Group Inc/The, Cl A | 19,700 | 2,531 | ||||||
Jack Henry & Associates Inc | 10,939 | 1,649 | ||||||
M&T Bank Corp | 2,432 | 291 | ||||||
MGIC Investment Corp | 145,255 | 1,949 | ||||||
Morningstar Inc, Cl A | 22,856 | 4,640 | ||||||
National Bank of Canada | 54,700 | 3,907 | ||||||
Progressive Corp/The | 115,800 | 16,566 | ||||||
RenaissanceRe Holdings Ltd | 31,431 | 6,297 | ||||||
TFS Financial Corp | 110,415 | 1,394 | ||||||
Travelers Cos Inc/The | 106,824 | 18,311 | ||||||
White Mountains Insurance Group Ltd | 2,847 | 3,922 | ||||||
131,476 | ||||||||
Health Care — 21.0% | ||||||||
AbbVie Inc | 85,676 | 13,654 | ||||||
AmerisourceBergen Corp, Cl A | 14,727 | 2,358 | ||||||
Amgen Inc, Cl A | 16,800 | 4,061 | ||||||
AstraZeneca PLC ADR | 75,200 | 5,220 | ||||||
Bio-Rad Laboratories Inc, Cl A * | 4,023 | 1,927 |
86
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Bristol-Myers Squibb Co | 124,169 | $ | 8,606 | |||||
Chemed Corp | 1,680 | 903 | ||||||
CVS Health Corp | 31,417 | 2,335 | ||||||
Danaher Corp, Cl A | 9,731 | 2,453 | ||||||
Elevance Health Inc | 44,047 | 20,253 | ||||||
Eli Lilly & Co | 77,000 | 26,443 | ||||||
Gilead Sciences Inc | 42,973 | 3,566 | ||||||
Henry Schein Inc * | 15,109 | 1,232 | ||||||
Humana Inc | 25,337 | 12,300 | ||||||
Incyte Corp * | 55,898 | 4,040 | ||||||
Johnson & Johnson | 53,074 | 8,227 | ||||||
McKesson Corp | 8,957 | 3,189 | ||||||
Merck & Co Inc | 195,945 | 20,847 | ||||||
Mettler-Toledo International Inc * | 3,168 | 4,848 | ||||||
Pfizer Inc | 208,635 | 8,512 | ||||||
Quest Diagnostics Inc | 50,752 | 7,180 | ||||||
Thermo Fisher Scientific Inc | 3,426 | 1,975 | ||||||
United Therapeutics Corp * | 15,161 | 3,395 | ||||||
UnitedHealth Group Inc | 35,650 | 16,848 | ||||||
184,372 | ||||||||
Industrials — 12.3% | ||||||||
3M Co | 12,057 | 1,267 | ||||||
Automatic Data Processing Inc | 11,680 | 2,600 | ||||||
Carrier Global Corp | 50,700 | 2,320 | ||||||
CH Robinson Worldwide Inc | 33,696 | 3,348 | ||||||
CSG Systems International Inc | 37,600 | 2,019 | ||||||
Cummins Inc | 10,600 | 2,532 | ||||||
EMCOR Group Inc | 13,365 | 2,173 | ||||||
General Dynamics Corp | 24,400 | 5,568 | ||||||
L3Harris Technologies Inc | 26,704 | 5,241 | ||||||
Landstar System Inc | 11,414 | 2,046 | ||||||
Lockheed Martin Corp | 5,885 | 2,782 | ||||||
Northrop Grumman Corp | 40,245 | 18,582 | ||||||
Quanta Services Inc | 37,697 | 6,282 | ||||||
Raytheon Technologies Corp | 135,100 | 13,230 | ||||||
Republic Services Inc | 131,000 | 17,714 | ||||||
Schneider National Inc, Cl B | 126,110 | 3,374 | ||||||
Waste Management Inc | 101,545 | 16,569 | ||||||
107,647 | ||||||||
Information Technology — 17.2% | ||||||||
Amdocs Ltd | 167,300 | 16,066 | ||||||
Apple Inc | 181,200 | 29,880 | ||||||
Ciena Corp * | 40,425 | 2,123 | ||||||
Cisco Systems Inc | 108,070 | 5,650 | ||||||
F5 Inc, Cl A * | 22,786 | 3,320 | ||||||
Microsoft Corp | 93,896 | 27,070 | ||||||
Motorola Solutions Inc | 87,964 | 25,169 | ||||||
NetApp Inc | 46,296 | 2,956 | ||||||
Oracle Corp, Cl B | 205,447 | 19,090 | ||||||
Qorvo Inc * | 29,520 | 2,998 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Synopsys Inc * | 41,600 | $ | 16,068 | |||||
150,390 | ||||||||
Materials — 2.3% | ||||||||
AptarGroup Inc | 6,262 | 740 | ||||||
Avery Dennison Corp | 31,600 | 5,654 | ||||||
Corteva Inc | 74,350 | 4,484 | ||||||
Royal Gold Inc, Cl A | 15,330 | 1,989 | ||||||
Sealed Air Corp | 58,400 | 2,681 | ||||||
Silgan Holdings Inc | 81,300 | 4,363 | ||||||
19,911 | ||||||||
Real Estate — 0.5% | ||||||||
Equity LifeStyle Properties Inc ‡ | 29,390 | 1,973 | ||||||
SBA Communications Corp, Cl A ‡ | 7,655 | 1,998 | ||||||
3,971 | ||||||||
Utilities — 5.2% | ||||||||
Ameren Corp | 74,283 | 6,417 | ||||||
American Electric Power Co Inc | 42,147 | 3,835 | ||||||
DTE Energy Co | 38,099 | 4,173 | ||||||
Duke Energy Corp | 41,428 | 3,997 | ||||||
Entergy Corp | 17,400 | 1,875 | ||||||
National Fuel Gas Co | 34,340 | 1,983 | ||||||
NextEra Energy Inc | 85,116 | 6,561 | ||||||
Portland General Electric Co | 52,500 | 2,567 | ||||||
Public Service Enterprise Group Inc | 37,300 | 2,329 | ||||||
Southern Co/The | 83,686 | 5,823 | ||||||
WEC Energy Group Inc | 63,946 | 6,061 | ||||||
45,621 | ||||||||
Total Common Stock | ||||||||
(Cost $378,348) ($ Thousands) | 859,165 | |||||||
AFFILIATED PARTNERSHIP — 0.5% | ||||||||
SEI Liquidity Fund, LP | ||||||||
4.740% **†(B) | 4,192,720 | 4,193 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $4,194) ($ Thousands) | 4,193 | |||||||
SEI Institutional Managed Trust
87
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Tax-Managed Managed Volatility Fund (Concluded)
Description | Shares | Market Value | ||||||
CASH EQUIVALENT — 1.8% | ||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | ||||||||
4.570%**† | 16,110,322 | $ | 16,110 | |||||
Total Cash Equivalent | ||||||||
(Cost $16,110) ($ Thousands) | 16,110 | |||||||
Total Investments in Securities — 100.4% | ||||||||
(Cost $398,652) ($ Thousands) | $ | 879,468 | ||||||
A list of the open futures contracts held by the Fund at March 31, 2023, 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 | 29 | Jun-2023 | $ | 5,653 | $ | 6,000 | $ | 347 | ||||||||||||
| Percentages are based on a Net Assets of $876,163 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2023. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2023 (see Note 12). |
(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 March 31, 2023 was $4,193 ($ Thousands). |
The following is a summary of the level of inputs used as of March 31, 2023, 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 | 859,165 | – | – | 859,165 | ||||||||||||
Affiliated Partnership | – | 4,193 | – | 4,193 | ||||||||||||
Cash Equivalent | 16,110 | – | – | 16,110 | ||||||||||||
Total Investments in Securities | 875,275 | 4,193 | – | 879,468 |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 347 | – | – | 347 | ||||||||||||
Total Other Financial Instruments | 347 | – | – | 347 |
* | Futures contracts are valued at unrealized appreciation 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 March 31, 2023 ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 3/31/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 3,473 | $ | 7,412 | $ | (6,692 | ) | $ | — | $ | — | $ | 4,193 | $ | 13 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | 14,834 | 136,737 | (135,461 | ) | — | — | 16,110 | 357 | — | |||||||||||||||||||||||
Totals | $ | 18,307 | $ | 144,149 | $ | (142,153 | ) | $ | — | $ | — | $ | 20,303 | $ | 370 | $ | — |
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.
88
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 — 95.6% | ||||||||
Australia — 4.7% | ||||||||
Abacus Property Group ‡ | 226,087 | $ | 396 | |||||
AGL Energy Ltd | 194,391 | 1,051 | ||||||
ASX Ltd | 1,380 | 60 | ||||||
Aurizon Holdings Ltd | 652,462 | 1,472 | ||||||
Australia & New Zealand Banking Group | 24,433 | 377 | ||||||
Bendigo & Adelaide Bank | 52,109 | 304 | ||||||
BHP Group Ltd | 9,678 | 306 | ||||||
Brambles Ltd | 38,595 | 349 | ||||||
Coles Group Ltd | 10,208 | 124 | ||||||
CSL Ltd | 3,288 | 638 | ||||||
Deterra Royalties | 32,233 | 104 | ||||||
Dexus *‡ | 57,350 | 291 | ||||||
EBOS Group Ltd | 5,627 | 164 | ||||||
Elders Ltd | 16,343 | 95 | ||||||
Endeavour Group Ltd/Australia | 21,286 | 97 | ||||||
Glencore PLC | 56,000 | 322 | ||||||
Harvey Norman Holdings Ltd (A) | 390,215 | 941 | ||||||
JB Hi-Fi Ltd | 28,421 | 813 | ||||||
Medibank Pvt Ltd | 474,152 | 1,072 | ||||||
Metcash Ltd, Cl A | 406,212 | 1,052 | ||||||
Newcrest Mining Ltd | 13,198 | 236 | ||||||
Orica Ltd | 14,718 | 152 | ||||||
Rio Tinto Ltd | 9,399 | 757 | ||||||
Rio Tinto PLC | 5,470 | 370 | ||||||
Rio Tinto PLC ADR | 4,770 | 327 | ||||||
Sonic Healthcare Ltd | 27,138 | 637 | ||||||
South32 Ltd | 55,362 | 163 | ||||||
Telstra Group Ltd, Cl B | 466,530 | 1,324 | ||||||
Transurban Group | 42,206 | 404 | ||||||
Vicinity Ltd ‡ | 170,560 | 223 | ||||||
Wesfarmers Ltd | 18,824 | 637 | ||||||
Woolworths Group Ltd | 17,215 | 438 | ||||||
15,696 | ||||||||
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Austria — 0.6% | ||||||||
CA Immobilien Anlagen AG | 4,737 | $ | 128 | |||||
Mayr Melnhof Karton AG | 3,798 | 631 | ||||||
S Immo AG | 9,548 | – | ||||||
Telekom Austria AG, Cl A | 81,520 | 616 | ||||||
Verbund AG | 5,746 | 499 | ||||||
1,874 | ||||||||
Belgium — 0.9% | ||||||||
Ageas SA/NV | 32,749 | 1,418 | ||||||
Etablissements Franz Colruyt NV | 20,118 | 588 | ||||||
Proximus SADP | 86,765 | 839 | ||||||
UCB SA, Cl A | 2,296 | 206 | ||||||
3,051 | ||||||||
Brazil — 0.2% | ||||||||
Yara International ASA | 15,995 | 693 | ||||||
Canada — 2.0% | ||||||||
Bank of Nova Scotia/The, Cl C (A) | 7,856 | 395 | ||||||
Canadian Imperial Bank of Commerce | 23,786 | 1,008 | ||||||
Canadian Tire Corp Ltd, Cl A | 14,765 | 1,924 | ||||||
Cogeco Communications Inc | 5,754 | 280 | ||||||
Empire Co Ltd, Cl A | 26,754 | 716 | ||||||
Loblaw Cos Ltd | 24,108 | 2,194 | ||||||
6,517 | ||||||||
China — 0.2% | ||||||||
BOC Hong Kong Holdings Ltd | 89,000 | 277 | ||||||
Wilmar International Ltd | 124,500 | 395 | ||||||
672 | ||||||||
Denmark — 3.2% | ||||||||
AP Moller - Maersk A/S, Cl B | 236 | 428 | ||||||
Carlsberg AS, Cl B | 12,271 | 1,902 | ||||||
Coloplast A/S, Cl B | 7,340 | 965 | ||||||
Danske Bank A/S | 48,402 | 974 | ||||||
DSV A/S | 720 | 139 | ||||||
Genmab A/S * | 1,478 | 558 | ||||||
Jyske Bank A/S * | 2,041 | 143 | ||||||
Novo Nordisk A/S, Cl B | 18,196 | 2,882 | ||||||
Scandinavian Tobacco Group A/S | 66,734 | 1,326 | ||||||
Solar A/S, Cl B | 2,119 | 171 | ||||||
Sydbank A/S | 22,507 | 1,014 | ||||||
UIE | 5,640 | 157 | ||||||
10,659 | ||||||||
Finland — 1.6% | ||||||||
Elisa OYJ | 10,692 | 645 | ||||||
Kemira Oyj | 45,914 | 809 | ||||||
Kesko OYJ, Cl B | 56,495 | 1,216 | ||||||
Metsa Board, Cl B | 50,571 | 408 | ||||||
Orion OYJ, Cl B | 25,567 | 1,144 | ||||||
Sampo Oyj, Cl A | 3,897 | 184 |
SEI Institutional Managed Trust
89
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Tax-Managed International Managed Volatility Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
TietoEVRY Oyj | 32,083 | $ | 1,008 | |||||
5,414 | ||||||||
France — 9.7% | ||||||||
Air Liquide SA | 3,881 | 650 | ||||||
Arkema SA | 7,540 | 744 | ||||||
AXA SA | 35,579 | 1,089 | ||||||
BNP Paribas SA | 3,209 | 193 | ||||||
Caisse Regionale de Credit Agricole Mutuel Brie Picardie | 5,335 | 106 | ||||||
Caisse Regionale de Credit Agricole Mutuel Nord de France | 9,313 | 154 | ||||||
Caisse Regionale de Credit Agricole Mutuel Sud Rhone Alpes | 886 | 107 | ||||||
Carrefour SA | 145,801 | 2,951 | ||||||
Cie Generale des Etablissements Michelin SCA | 59,833 | 1,830 | ||||||
Credit Agricole SA | 22,471 | 254 | ||||||
Danone SA | 39,253 | 2,444 | ||||||
Dassault Systemes SE | 2,647 | 109 | ||||||
Eiffage SA | 6,260 | 678 | ||||||
Engie SA | 109,908 | 1,740 | ||||||
Euroapi * | 2,998 | 34 | ||||||
Eutelsat Communications SA (A) | 17,947 | 120 | ||||||
Hermes International | 182 | 369 | ||||||
Legrand SA | 7,583 | 693 | ||||||
L'Oreal SA | 465 | 208 | ||||||
Metropole Television SA | 61,744 | 1,003 | ||||||
Orange SA | 414,604 | 4,933 | ||||||
Pernod Ricard SA | 2,108 | 478 | ||||||
Sanofi | 66,490 | 7,241 | ||||||
Societe BIC SA | 22,897 | 1,445 | ||||||
Thales SA, Cl A | 5,065 | 750 | ||||||
TotalEnergies SE | 25,354 | 1,497 | ||||||
Vivendi SE | 33,639 | 340 | ||||||
32,160 | ||||||||
Germany — 5.4% | ||||||||
BASF SE | 3,269 | 172 | ||||||
Bayer AG | 34,730 | 2,216 | ||||||
Bayerische Motoren Werke AG | 1,331 | 146 | ||||||
Beiersdorf AG | 12,795 | 1,667 | ||||||
Deutsche Boerse AG | 3,936 | 767 | ||||||
Deutsche Post AG | 28,985 | 1,357 | ||||||
Deutsche Telekom AG | 155,073 | 3,765 | ||||||
E.ON SE | 10,939 | 137 | ||||||
Freenet AG | 42,882 | 1,116 | ||||||
Fresenius Medical Care AG & Co KGaA | 3,728 | 158 | ||||||
Fresenius SE & Co KGaA | 10,322 | 279 | ||||||
Hannover Rueck SE | 1,509 | 296 | ||||||
Henkel AG & Co KGaA | 7,694 | 560 | ||||||
Hornbach Holding AG & Co KGaA | 11,109 | 889 | ||||||
Knorr-Bremse AG | 2,220 | 148 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Merck KGaA | 4,963 | $ | 925 | |||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 5,589 | 1,958 | ||||||
QIAGEN NV * | 6,386 | 291 | ||||||
RWE AG | 12,965 | 558 | ||||||
Siemens Healthineers AG | 2,446 | 141 | ||||||
Sirius Real Estate Ltd | 87,389 | 83 | ||||||
Talanx AG | 3,767 | 175 | ||||||
17,804 | ||||||||
Hong Kong — 3.8% | ||||||||
CK Asset Holdings Ltd | 267,500 | 1,622 | ||||||
CK Hutchison Holdings Ltd | 248,000 | 1,534 | ||||||
CK Infrastructure Holdings Ltd | 82,000 | 446 | ||||||
CLP Holdings Ltd, Cl B | 92,000 | 665 | ||||||
Dah Sing Banking Group Ltd | 303,600 | 232 | ||||||
Harbour Centre Development | 88,000 | 83 | ||||||
Henderson Land Development | 44,000 | 152 | ||||||
HK Electric Investments & HK Electric Investments Ltd | 1,860,000 | 1,165 | ||||||
HKT Trust & HKT Ltd | 582,000 | 773 | ||||||
Kerry Properties Ltd | 340,000 | 868 | ||||||
Link REIT ‡ | 55,400 | 356 | ||||||
MTR Corp Ltd | 98,000 | 473 | ||||||
New World Development Co Ltd | 41,000 | 110 | ||||||
Pacific Textiles Holdings | 749,000 | 241 | ||||||
Paliburg Holdings Ltd * | 146,000 | 33 | ||||||
PCCW Ltd | 862,704 | 431 | ||||||
Power Assets Holdings Ltd | 174,500 | 936 | ||||||
SmarTone Telecommunications Holdings Ltd | 328,500 | 211 | ||||||
VTech Holdings Ltd | 256,200 | 1,533 | ||||||
WH Group Ltd | 1,416,500 | 844 | ||||||
12,708 | ||||||||
Indonesia — 0.2% | ||||||||
First Resources Ltd | 533,200 | 633 | ||||||
Ireland — 0.1% | ||||||||
Kerry Group PLC, Cl A | 2,140 | 214 | ||||||
Israel — 2.1% | ||||||||
Bank Hapoalim BM | 73,060 | 604 | ||||||
Bank Leumi Le-Israel BM | 118,458 | 888 | ||||||
Bezeq The Israeli Telecommunication Corp Ltd | 361,216 | 490 | ||||||
Check Point Software Technologies Ltd * | 18,230 | 2,370 | ||||||
Elbit Systems Ltd | 6,793 | 1,149 | ||||||
ICL Group Ltd | 45,755 | 307 | ||||||
Isracard Ltd | – | – | ||||||
Kerur Holdings Ltd | 4,845 | 107 | ||||||
Mizrahi Tefahot Bank Ltd | 12,013 | 374 | ||||||
Oil Refineries Ltd | 1,057,809 | 288 | ||||||
Radware Ltd * | 9,378 | 202 |
90
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Shufersal Ltd | 26,493 | $ | 128 | |||||
6,907 | ||||||||
Italy — 1.9% | ||||||||
A2A SpA | 636,039 | 1,016 | ||||||
ACEA SpA | 26,106 | 357 | ||||||
Assicurazioni Generali SpA | 15,478 | 309 | ||||||
Enel SpA | 61,229 | 374 | ||||||
Eni SpA | 119,562 | 1,676 | ||||||
Snam SpA | 154,099 | 819 | ||||||
Terna - Rete Elettrica Nazionale | 27,136 | 223 | ||||||
UnipolSai Assicurazioni SpA | 546,367 | 1,382 | ||||||
6,156 | ||||||||
Japan — 23.8% | ||||||||
AEON Investment Corp ‡ | 681 | 743 | ||||||
Aozora Bank Ltd (A) | 12,800 | 231 | ||||||
Arcs Co Ltd | 38,800 | 656 | ||||||
Bandai Namco Holdings Inc | 6,900 | 148 | ||||||
Benesse Holdings Inc, Cl A | 13,700 | 200 | ||||||
Bridgestone Corp | 26,900 | 1,090 | ||||||
Brother Industries Ltd | 28,700 | 431 | ||||||
Canon Inc | 69,600 | 1,546 | ||||||
Choushimaru Co Ltd | 10,500 | 92 | ||||||
Chubu Electric Power Co Inc | 9,600 | 101 | ||||||
CI Takiron Corp | 40,400 | 150 | ||||||
Citizen Holdings (A) | 89,900 | 528 | ||||||
Cosmos Pharmaceutical Corp | 1,000 | 90 | ||||||
Daicel Corp | 75,100 | 566 | ||||||
Daiichi Sankyo Co Ltd | 7,500 | 273 | ||||||
Daiki Aluminium Industry Co Ltd | 9,800 | 106 | ||||||
Daito Trust Construction Co Ltd | 1,700 | 169 | ||||||
DCM Holdings Co Ltd | 97,200 | 845 | ||||||
Earth Corp | 7,100 | 254 | ||||||
EDION Corp (A) | 77,600 | 749 | ||||||
ENEOS Holdings Inc (A) | 409,800 | 1,434 | ||||||
Ezaki Glico Co Ltd | 16,900 | 424 | ||||||
Fuji Nihon Seito | 29,300 | 114 | ||||||
Fujicco Co Ltd | 7,900 | 110 | ||||||
FUJIFILM Holdings Corp | 7,600 | 385 | ||||||
Heiwado Co Ltd | 7,900 | 121 | ||||||
Honda Motor Co Ltd | 24,900 | 657 | ||||||
House Foods Group Inc | 9,900 | 209 | ||||||
Hoya Corp | 1,500 | 165 | ||||||
Inpex Corp | 88,300 | 932 | ||||||
ITOCHU Corp (A) | 88,700 | 2,882 | ||||||
Itochu Enex Co Ltd | 78,700 | 669 | ||||||
Itoham Yonekyu Holdings | 160,400 | 845 | ||||||
Iwatani Corp | 3,900 | 170 | ||||||
Japan Post Bank Co Ltd (A) | 38,900 | 317 | ||||||
Japan Post Holdings Co Ltd | 227,700 | 1,844 | ||||||
Japan Post Insurance Co Ltd | 7,700 | 120 | ||||||
Japan Tobacco Inc | 123,900 | 2,611 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Kadoya Sesame Mills Inc | 3,900 | $ | 104 | |||||
Kajima Corp | 157,800 | 1,900 | ||||||
Kaken Pharmaceutical Co Ltd | 21,900 | 610 | ||||||
Kamigumi Co Ltd | 10,100 | 212 | ||||||
Kaneka Corp | 24,800 | 646 | ||||||
Kansai Electric Power Co Inc/The | 47,000 | 457 | ||||||
Kato Sangyo Co Ltd | 8,700 | 230 | ||||||
KDDI Corp (A) | 108,400 | 3,335 | ||||||
Keihanshin Building Co Ltd | 14,200 | 128 | ||||||
Keisei Electric Railway | 4,674 | 144 | ||||||
Keiyo Co Ltd | 32,400 | 206 | ||||||
Kewpie Corp | 18,100 | 303 | ||||||
Kinden Corp | 67,500 | 812 | ||||||
Komeri Co Ltd | 5,200 | 107 | ||||||
K's Holdings Corp (A) | 88,600 | 776 | ||||||
Kuraray Co Ltd | 171,300 | 1,572 | ||||||
Kurimoto Ltd | 10,700 | 164 | ||||||
Kyorin Pharmaceutical | 7,800 | 100 | ||||||
Kyowa Kirin Co Ltd | 4,500 | 98 | ||||||
Lawson Inc | 8,600 | 363 | ||||||
Lintec Corp | 44,600 | 729 | ||||||
Lion Corp | 11,800 | 127 | ||||||
Marubeni Corp | 17,400 | 236 | ||||||
Maruichi Steel Tube Ltd | 4,400 | 97 | ||||||
McDonald's Holdings Co Japan Ltd | 3,100 | 129 | ||||||
Megmilk Snow Brand Co Ltd | 25,000 | 332 | ||||||
MEIJI Holdings Co Ltd | 20,600 | 489 | ||||||
Mirait Holdings Corp | 50,300 | 625 | ||||||
Mitsubishi Corp | 3,200 | 115 | ||||||
Mitsubishi Electric Corp | 67,600 | 806 | ||||||
Mitsubishi Shokuhin Co Ltd | 27,500 | 674 | ||||||
Mitsubishi UFJ Financial Group Inc | 205,800 | 1,316 | ||||||
Mitsui & Co Ltd (A) | 28,400 | 883 | ||||||
Mizuho Financial Group Inc | 200,280 | 2,831 | ||||||
Mochida Pharmaceutical Co Ltd | 4,000 | 101 | ||||||
Morinaga & Co Ltd/Japan | 10,800 | 305 | ||||||
Morinaga Milk Industry Co Ltd | 3,000 | 108 | ||||||
Morishita Jintan Co Ltd | 10,900 | 164 | ||||||
MS&AD Insurance Group Holdings Inc | 52,400 | 1,620 | ||||||
NEC Corp | 6,400 | 246 | ||||||
NH Foods Ltd (A) | 17,300 | 499 | ||||||
Nichirei Corp | 6,500 | 131 | ||||||
Nintendo Co Ltd | 19,000 | 736 | ||||||
Nippn Corp | 17,100 | 214 | ||||||
Nippon Electric Glass | 34,400 | 662 | ||||||
NIPPON EXPRESS HOLDINGS INC | 12,700 | 765 | ||||||
Nippon Kayaku | 11,300 | 102 | ||||||
Nippon Light Metal Holdings Co Ltd | 8,400 | 93 | ||||||
Nippon Telegraph & Telephone Corp | 165,900 | 4,946 | ||||||
Nippon Television Holdings | 80,400 | 692 | ||||||
Nissan Chemical Corp | 2,200 | 100 | ||||||
Nisshin Seifun Group Inc | 15,500 | 181 |
SEI Institutional Managed Trust
91
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Tax-Managed International Managed Volatility Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Nissin Foods Holdings Co Ltd | 2,500 | $ | 228 | |||||
Nitto Fuji Flour Milling Co Ltd | 5,000 | 169 | ||||||
Nomura Holdings Inc (A) | 183,400 | 705 | ||||||
Okinawa Cellular Telephone Co | 6,200 | 141 | ||||||
ORIX Corp | 7,200 | 118 | ||||||
Otsuka Corp | 9,100 | 322 | ||||||
Otsuka Holdings Co Ltd | 16,600 | 526 | ||||||
Sankyo Co Ltd | 38,600 | 1,608 | ||||||
Sankyu Inc | 18,100 | 670 | ||||||
Secom Co Ltd | 8,500 | 523 | ||||||
Seino Holdings Co Ltd | 58,300 | 642 | ||||||
Sekisui Chemical Co Ltd | 43,000 | 609 | ||||||
Sekisui House Ltd | 47,600 | 968 | ||||||
Senko Group Holdings | 59,100 | 421 | ||||||
Seven & i Holdings Co Ltd | 5,500 | 248 | ||||||
Shimizu Corp | 43,700 | 247 | ||||||
Shizuoka Financial Group Inc | 45,700 | 327 | ||||||
Showa Sangyo Co Ltd | 5,500 | 105 | ||||||
SoftBank Corp (A) | 55,400 | 638 | ||||||
Sompo Holdings Inc | 5,800 | 229 | ||||||
Sugi Holdings Co Ltd | 3,400 | 146 | ||||||
Sumitomo Chemical Co Ltd | 38,500 | 129 | ||||||
Sumitomo Corp | 38,800 | 686 | ||||||
Sumitomo Mitsui Financial Group Inc | 46,500 | 1,856 | ||||||
Sumitomo Mitsui Trust Holdings (A) | 29,800 | 1,021 | ||||||
Sundrug Co Ltd | 12,400 | 339 | ||||||
Suntory Beverage & Food Ltd | 3,200 | 119 | ||||||
Taisei Corp (A) | 17,100 | 528 | ||||||
Takeda Pharmaceutical Co Ltd | 26,500 | 868 | ||||||
Techno Ryowa | 18,100 | 119 | ||||||
Teijin Ltd | 148,100 | 1,559 | ||||||
Toho Holdings Co Ltd | 6,100 | 108 | ||||||
Tokio Marine Holdings Inc | 8,700 | 167 | ||||||
Tokyo Gas Co Ltd | 25,900 | 486 | ||||||
Toppan Printing Co Ltd | 5,800 | 117 | ||||||
Trend Micro Inc/Japan | 24,300 | 1,189 | ||||||
Tsuruha Holdings Inc | 2,700 | 180 | ||||||
USS Co Ltd | 30,200 | 523 | ||||||
Valor Holdings Co Ltd | 29,600 | 430 | ||||||
Yaizu Suisankagaku Industry Co Ltd | 16,800 | 108 | ||||||
Yamada Denki Co Ltd (A) | 348,900 | 1,197 | ||||||
Yamaguchi Financial Group | 92,500 | 565 | ||||||
Yamato Holdings Co Ltd | 10,600 | 182 | ||||||
Yellow Hat Ltd | 11,200 | 154 | ||||||
Zaoh Co Ltd | 8,700 | 148 | ||||||
78,666 | ||||||||
Jordan — 0.3% | ||||||||
Hikma Pharmaceuticals PLC | 40,058 | 830 | ||||||
Netherlands — 3.0% | ||||||||
ABN AMRO Bank NV | 11,695 | 186 | ||||||
JDE Peet's NV | 16,874 | 492 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Koninklijke Ahold Delhaize NV | 180,028 | $ | 6,159 | |||||
Koninklijke KPN NV | 143,332 | 507 | ||||||
NN Group NV | 37,509 | 1,363 | ||||||
Shell PLC | 3,555 | 102 | ||||||
Signify NV | 4,814 | 160 | ||||||
Wolters Kluwer NV | 7,314 | 925 | ||||||
9,894 | ||||||||
New Zealand — 0.8% | ||||||||
Fisher & Paykel Healthcare Corp Ltd | 19,131 | 320 | ||||||
Fletcher Building Ltd | 191,165 | 523 | ||||||
Freightways Group Ltd | 50,319 | 298 | ||||||
Mainfreight Ltd | 2,097 | 92 | ||||||
Mercury NZ Ltd | 109,078 | 432 | ||||||
Meridian Energy Ltd | 35,190 | 116 | ||||||
SKY Network Television | 70,053 | 110 | ||||||
Spark New Zealand Ltd | 282,585 | 896 | ||||||
2,787 | ||||||||
Norway — 1.1% | ||||||||
DNB Bank ASA | 22,448 | 402 | ||||||
Equinor ASA | 40,333 | 1,150 | ||||||
Norsk Hydro ASA | 28,454 | 211 | ||||||
Olav Thon Eiendomsselskap ASA | 6,096 | 100 | ||||||
Orkla ASA | 185,365 | 1,314 | ||||||
SpareBank 1 SR-Bank ASA | 17,208 | 199 | ||||||
Telenor ASA | 29,170 | 342 | ||||||
3,718 | ||||||||
Portugal — 0.9% | ||||||||
Galp Energia SGPS SA | 11,883 | 135 | ||||||
Jeronimo Martins SGPS SA | 75,328 | 1,769 | ||||||
NOS SGPS SA | 37,349 | 171 | ||||||
REN - Redes Energeticas Nacionais SGPS SA | 209,231 | 614 | ||||||
Sonae SGPS | 383,487 | 419 | ||||||
3,108 | ||||||||
Singapore — 4.1% | ||||||||
DBS Group Holdings Ltd | 108,700 | 2,705 | ||||||
Frasers Property | 144,000 | 95 | ||||||
Great Eastern Holdings Ltd | 18,400 | 242 | ||||||
Ho Bee Land Ltd | 56,400 | 95 | ||||||
Jardine Cycle & Carriage Ltd | 111,500 | 2,628 | ||||||
Jardine Matheson Holdings Ltd | 15,300 | 743 | ||||||
Mapletree Logistics Trust ‡ | 154,270 | 199 | ||||||
Oversea-Chinese Banking Corp Ltd | 233,500 | 2,179 | ||||||
Sheng Siong Group Ltd | 383,000 | 487 | ||||||
Singapore Airlines Ltd | 27,500 | 119 | ||||||
Singapore Exchange Ltd | 30,300 | 215 | ||||||
Singapore Technologies Engineering Ltd | 465,500 | 1,283 | ||||||
Straits Trading Co Ltd | 74,500 | 125 | ||||||
United Overseas Bank Ltd | 89,200 | 2,003 | ||||||
Venture Corp Ltd | 25,400 | 338 | ||||||
13,456 | ||||||||
92
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
South Africa — 0.0% | ||||||||
Anglo American PLC | 3,222 | $ | 107 | |||||
Thungela Resources Ltd | 1,394 | 16 | ||||||
123 | ||||||||
Spain — 1.9% | ||||||||
CaixaBank SA | 14,847 | 58 | ||||||
Cia de Distribucion Integral Logista Holdings SA | 90,492 | 2,261 | ||||||
Endesa SA | 25,772 | 560 | ||||||
Faes Farma SA | 69,832 | 239 | ||||||
Iberdrola SA | 57,953 | 723 | ||||||
Red Electrica Corp SA | 46,663 | 821 | ||||||
Repsol SA, Cl A | 81,536 | 1,257 | ||||||
Telefonica SA | 61,390 | 265 | ||||||
6,184 | ||||||||
Sweden — 1.7% | ||||||||
Axfood AB | 37,092 | 906 | ||||||
Epiroc AB, Cl B | 14,793 | 252 | ||||||
Essity AB, Cl B | 24,943 | 713 | ||||||
KNOW IT AB | 7,589 | 151 | ||||||
Nordea Bank Abp, Cl A | 29,586 | 316 | ||||||
Nyfosa AB | 18,745 | 130 | ||||||
Securitas, Cl B | 16,575 | 147 | ||||||
Svenska Cellulosa AB SCA, Cl B | 11,438 | 150 | ||||||
Swedbank AB, Cl A | 32,836 | 539 | ||||||
Swedish Orphan Biovitrum AB * | 29,681 | 691 | ||||||
Tele2 AB, Cl B | 109,903 | 1,094 | ||||||
Telefonaktiebolaget LM Ericsson, Cl B | 57,079 | 334 | ||||||
Telia Co AB | 86,472 | 220 | ||||||
5,643 | ||||||||
Switzerland — 7.6% | ||||||||
ABB Ltd | 9,006 | 309 | ||||||
Alcon Inc | 3,282 | 232 | ||||||
ALSO Holding AG | 606 | 123 | ||||||
Baloise Holding AG | 7,301 | 1,138 | ||||||
Barry Callebaut AG | 349 | 741 | ||||||
Basellandschaftliche Kantonalbank | 201 | 200 | ||||||
Berner Kantonalbank AG | 473 | 119 | ||||||
BKW AG | 5,701 | 897 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 74 | 875 | ||||||
Emmi AG | 591 | 594 | ||||||
EMS-Chemie Holding AG | 206 | 170 | ||||||
Helvetia Holding AG | 3,743 | 522 | ||||||
Nestle SA | 10,269 | 1,253 | ||||||
Novartis AG | 55,965 | 5,131 | ||||||
PSP Swiss Property AG | 2,998 | 341 | ||||||
Roche Holding AG | 16,289 | 4,658 | ||||||
Romande Energie Holding SA | 76 | 96 | ||||||
Sika AG | 1,337 | 374 | ||||||
Sonova Holding AG | 3,097 | 911 | ||||||
Swiss Life Holding AG | 1,417 | 874 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Swiss Re AG | 1,155 | $ | 119 | |||||
Swisscom AG | 5,873 | 3,749 | ||||||
Thurgauer Kantonalbank | 927 | 121 | ||||||
TX Group AG | 559 | 65 | ||||||
Valiant Holding AG | 8,341 | 897 | ||||||
Vetropack Holding, Cl A | 3,654 | 184 | ||||||
Zurich Insurance Group AG | 965 | 462 | ||||||
25,155 | ||||||||
United Kingdom — 13.5% | ||||||||
3i Group PLC | 18,195 | 379 | ||||||
AstraZeneca PLC ADR | 5,620 | 390 | ||||||
Atalaya Mining PLC | 44,952 | 190 | ||||||
B&M European Value Retail SA | 150,368 | 896 | ||||||
BAE Systems PLC | 390,677 | 4,746 | ||||||
Bank of Georgia Group | 12,433 | 423 | ||||||
BP PLC | 235,524 | 1,488 | ||||||
BP PLC ADR | 18,564 | 704 | ||||||
British American Tobacco PLC | 60,174 | 2,113 | ||||||
BT Group PLC, Cl A | 650,300 | 1,172 | ||||||
Bunzl PLC | 27,294 | 1,032 | ||||||
Coca-Cola Europacific Partners PLC | 6,368 | 377 | ||||||
Computacenter PLC | 30,082 | 795 | ||||||
DCC PLC | 10,563 | 616 | ||||||
Diageo PLC | 12,148 | 543 | ||||||
Direct Line Insurance Group | 35,934 | 61 | ||||||
Ferguson PLC | 3,272 | 431 | ||||||
Finsbury Food Group PLC | 134,390 | 159 | ||||||
Gateley Holdings | 45,924 | 101 | ||||||
GSK PLC | 251,716 | 4,448 | ||||||
Haleon PLC | 227,013 | 904 | ||||||
Howden Joinery Group PLC | 31,799 | 274 | ||||||
HSBC Holdings PLC | 99,862 | 679 | ||||||
Imperial Brands PLC | 143,551 | 3,308 | ||||||
Inchcape PLC | 24,346 | 233 | ||||||
J Sainsbury PLC | 549,681 | 1,894 | ||||||
Kingfisher PLC | 221,705 | 716 | ||||||
Land Securities Group PLC ‡ | 30,716 | 236 | ||||||
National Grid PLC | 49,038 | 665 | ||||||
Pearson PLC | 91,651 | 957 | ||||||
Premier Foods PLC | 273,039 | 412 | ||||||
QinetiQ Group PLC | 391,128 | 1,571 | ||||||
Reckitt Benckiser Group PLC | 9,785 | 745 | ||||||
RELX PLC | 23,211 | 751 | ||||||
Sage Group PLC/The | 38,292 | 367 | ||||||
Shell PLC | 80,736 | 2,304 | ||||||
Standard Chartered PLC | 15,772 | 120 | ||||||
Tate & Lyle | 112,963 | 1,096 | ||||||
Tesco PLC | 734,967 | 2,415 | ||||||
Unilever PLC | 58,454 | 3,028 | ||||||
Vodafone Group PLC | 540,380 | 597 | ||||||
Woodside Energy Group | 5,009 | 112 |
SEI Institutional Managed Trust
93
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Tax-Managed International Managed Volatility Fund (Concluded)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
YouGov PLC | 8,551 | $ | 96 | |||||
44,544 | ||||||||
United States — 0.3% | ||||||||
Ferguson PLC | 2,386 | 319 | ||||||
GSK PLC ADR | 9,074 | 323 | ||||||
QIAGEN NV * | 5,555 | 255 | ||||||
897 | ||||||||
Total Common Stock | ||||||||
(Cost $262,551) ($ Thousands) | 316,163 | |||||||
PREFERRED STOCK — 0.8% | ||||||||
Germany — 0.8% | ||||||||
Henkel AG & Co KGaA (B) | 33,981 | 2,660 | ||||||
Total Preferred Stock | ||||||||
(Cost $2,260) ($ Thousands) | 2,660 | |||||||
AFFILIATED PARTNERSHIP — 5.3% | ||||||||
SEI Liquidity Fund, LP | ||||||||
4.740% **†(C) | 17,515,723 | 17,523 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $17,520) ($ Thousands) | 17,523 | |||||||
CASH EQUIVALENT — 1.3% | ||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | ||||||||
4.570%**† | 4,327,361 | 4,327 | ||||||
Total Cash Equivalent | ||||||||
(Cost $4,327) ($ Thousands) | 4,327 | |||||||
Total Investments in Securities — 103.0% | ||||||||
(Cost $286,658) ($ Thousands) | $ | 340,673 | ||||||
94
SEI Institutional Managed Trust
A list of the open futures contracts held by the Fund at March 31, 2023, is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Euro STOXX 50 | 30 | Jun-2023 | $ | 1,311 | $ | 1,389 | $ | 62 | ||||||||||||
FTSE 100 Index | 8 | Jun-2023 | 730 | 756 | 16 | |||||||||||||||
Hang Seng Index | 1 | Apr-2023 | 126 | 130 | 5 | |||||||||||||||
SPI 200 Index | 2 | Jun-2023 | 233 | 241 | 7 | |||||||||||||||
TOPIX Index | 6 | Jun-2023 | 881 | 903 | 23 | |||||||||||||||
$ | 3,281 | $ | 3,419 | $ | 113 |
| Percentages are based on Net Assets of $330,615 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2023. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2023 (see Note 12). |
(B) | No interest rate available. |
(C) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of March 31, 2023 was $17,523 ($ Thousands). |
The following is a summary of the level of inputs used as of March 31, 2023, 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 | 316,163 | — | — | 316,163 | ||||||||||||
Affiliated Partnership | — | 17,523 | — | 17,523 | ||||||||||||
Cash Equivalent | 4,327 | — | — | 4,327 | ||||||||||||
Preferred Stock | 2,660 | — | — | 2,660 | ||||||||||||
Total Investments in Securities | 323,150 | 17,523 | — | 340,673 |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 113 | – | – | 113 | ||||||||||||
Total Other Financial Instruments | 113 | – | – | 113 |
* | Futures contracts are valued at unrealized appreciation 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 March 31, 2023, ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 3/31/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 18,526 | $ | 48,825 | $ | (49,832 | ) | $ | 1 | $ | 3 | $ | 17,523 | $ | 46 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | 2,754 | 33,273 | (31,700 | ) | — | — | 4,327 | 79 | — | |||||||||||||||||||||||
Totals | $ | 21,280 | $ | 82,098 | $ | (81,532 | ) | $ | 1 | $ | 3 | $ | 21,850 | $ | 125 | $ | — |
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
95
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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†† — 98.7% | ||||||||
Real Estate — 98.7% | ||||||||
Acadia Realty Trust ‡ | 40,530 | $ | 565 | |||||
Alexandria Real Estate Equities Inc ‡ | 16,120 | 2,025 | ||||||
American Homes 4 Rent, Cl A ‡ | 24,180 | 761 | ||||||
American Tower Corp, Cl A ‡ | 6,740 | 1,377 | ||||||
Apple Hospitality REIT Inc ‡ | 21,250 | 330 | ||||||
AvalonBay Communities Inc ‡ | 18,330 | 3,081 | ||||||
Boston Properties Inc ‡ | 14,690 | 795 | ||||||
Brixmor Property Group Inc ‡ | 59,030 | 1,270 | ||||||
Camden Property Trust ‡ | 9,060 | 950 | ||||||
Cousins Properties Inc ‡ | 23,759 | 508 | ||||||
CubeSmart ‡ | 24,560 | 1,135 | ||||||
DiamondRock Hospitality Co ‡ | 45,390 | 369 | ||||||
Digital Realty Trust Inc, Cl A ‡ | 37,280 | 3,665 | ||||||
Douglas Emmett Inc ‡ | 60,799 | 750 | ||||||
Equinix Inc ‡ | 6,780 | 4,889 | ||||||
Equity Residential ‡ | 51,210 | 3,073 | ||||||
Extra Space Storage Inc ‡ | 10,164 | 1,656 | ||||||
First Industrial Realty Trust Inc ‡ | 41,040 | 2,183 | ||||||
Healthpeak Properties Inc ‡ | 61,010 | 1,340 | ||||||
Highwoods Properties Inc ‡ | 26,040 | 604 | ||||||
Host Hotels & Resorts Inc ‡ | 66,570 | 1,098 | ||||||
Invitation Homes Inc ‡ | 92,260 | 2,881 | ||||||
Kilroy Realty Corp ‡ | 26,360 | 854 | ||||||
Kimco Realty Corp ‡ | 29,590 | 578 | ||||||
Life Storage Inc ‡ | 7,670 | 1,005 | ||||||
Medical Properties Trust Inc ‡ | 53,853 | 443 | ||||||
Mid-America Apartment Communities Inc ‡ | 5,880 | 888 | ||||||
Omega Healthcare Investors Inc ‡ | 30,880 | 846 | ||||||
Park Hotels & Resorts Inc ‡ | 32,220 | 398 | ||||||
Prologis Inc ‡ | 72,857 | 9,090 | ||||||
Public Storage ‡ | 11,300 | 3,414 | ||||||
Regency Centers Corp ‡ | 13,377 | 818 | ||||||
Retail Opportunity Investments Corp ‡ | 27,952 | 390 | ||||||
Rexford Industrial Realty Inc ‡ | 19,560 | 1,167 | ||||||
RPT Realty ‡ | 61,569 | 586 | ||||||
Sabra Health Care Inc ‡ | 37,284 | 429 | ||||||
SBA Communications Corp, Cl A ‡ | 5,250 | 1,371 | ||||||
Simon Property Group Inc ‡ | 24,910 | 2,789 | ||||||
Sun Communities Inc ‡ | 17,727 | 2,497 | ||||||
UDR Inc ‡ | 36,340 | 1,492 | ||||||
Urban Edge Properties ‡ | 35,350 | 532 | ||||||
Ventas Inc ‡ | 57,826 | 2,507 | ||||||
Veris Residential Inc *‡ | 16,094 | 236 | ||||||
Welltower Inc ‡ | 48,140 | 3,451 |
Description | Shares | Market Value | ||||||
COMMON STOCK†† (continued) | ||||||||
Xenia Hotels & Resorts Inc ‡ | 48,217 | $ | 631 | |||||
Total Common Stock | ||||||||
(Cost $60,758) ($ Thousands) | 71,717 | |||||||
AFFILIATED PARTNERSHIP — 0.0% | ||||||||
SEI Liquidity Fund, LP | ||||||||
4.740% **†(A) | 4,247 | 4 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $4) ($ Thousands) | 4 | |||||||
CASH EQUIVALENT — 1.2% | ||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | ||||||||
4.570%**† | 860,244 | 860 | ||||||
Total Cash Equivalent | ||||||||
(Cost $860) ($ Thousands) | 860 | |||||||
Total Investments in Securities — 99.9% | ||||||||
(Cost $61,622) ($ Thousands) | $ | 72,581 | ||||||
| Percentages are based on Net Assets of $72,679 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2023. |
‡ | 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 March 31, 2023 was $4 ($ Thousands). |
The following is a summary of the level of inputs used as of March 31, 2023, in valuing the Fund's investments carried at value ($ Thousands): | ||||||||||||||||
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | 71,717 | – | – | 71,717 | ||||||||||||
Affiliated Partnership | – | 4 | – | 4 | ||||||||||||
Cash Equivalent | 860 | – | – | 860 | ||||||||||||
Total Investments in Securities | 72,577 | 4 | – | 72,581 |
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
96
SEI Institutional Managed Trust
The following is a summary of the Fund’s transactions with affiliates for the period ended March 31, 2023 ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 3/31/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 3 | $ | — | $ | — | $ | — | $ | 1 | $ | 4 | $ | — | $ | — | ||||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | 2,110 | 10,292 | (11,542 | ) | — | — | 860 | 27 | — | |||||||||||||||||||||||
Totals | $ | 2,113 | $ | 10,292 | $ | (11,542 | ) | $ | — | $ | 1 | $ | 864 | $ | 27 | $ | — |
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
97
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 — 39.6% | ||||||||
Agency Mortgage-Backed Obligations — 33.9% | ||||||||
FHLMC | ||||||||
7.500%, 05/01/2031 to 02/01/2038 | $ | 203 | $ | 209 | ||||
7.000%, 05/01/2024 to 03/01/2039 | 55 | 59 | ||||||
6.500%, 10/01/2031 to 03/01/2053 | 1,425 | 1,473 | ||||||
6.000%, 02/01/2032 to 12/01/2052 | 1,351 | 1,387 | ||||||
5.500%, 01/01/2024 to 01/01/2053 | 2,243 | 2,275 | ||||||
5.000%, 05/01/2033 to 01/01/2053 | 5,895 | 5,931 | ||||||
4.500%, 04/01/2035 to 11/01/2052 | 7,972 | 7,934 | ||||||
4.000%, 08/01/2041 to 07/01/2052 | 13,808 | 13,462 | ||||||
3.500%, 12/01/2033 to 05/01/2052 | 39,493 | 37,349 | ||||||
3.000%, 03/01/2031 to 04/01/2052 | 30,312 | 27,679 | ||||||
2.500%, 10/01/2031 to 05/01/2052 | 63,510 | 55,383 | ||||||
2.000%, 06/01/2040 to 05/01/2052 | 49,148 | 41,441 | ||||||
1.500%, 10/01/2041 to 05/01/2051 | 11,257 | 8,877 | ||||||
0.000%, 07/15/2031(A) | 265 | 192 | ||||||
FHLMC ARM | ||||||||
6.268%, ICE LIBOR USD 12 Month + 1.688%, 02/01/2043(B) | 127 | 129 | ||||||
5.497%, ICE LIBOR USD 12 Month + 1.770%, 09/01/2042(B) | 76 | 78 | ||||||
4.301%, SOFR30A + 2.130%, 07/01/2052(B) | 511 | 500 | ||||||
4.119%, SOFR30A + 2.380%, 09/01/2052(B) | 290 | 283 | ||||||
4.069%, ICE LIBOR USD 12 Month + 1.636%, 04/01/2048(B) | 1,101 | 1,102 | ||||||
3.986%, SOFR30A + 2.140%, 08/01/2052(B) | 561 | 536 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
3.912%, SOFR30A + 2.130%, 07/01/2052(B) | $ | 427 | $ | 413 | ||||
3.884%, ICE LIBOR USD 12 Month + 1.688%, 09/01/2047(B) | 531 | 539 | ||||||
3.470%, ICE LIBOR USD 12 Month + 1.637%, 03/01/2049(B) | 464 | 461 | ||||||
3.380%, ICE LIBOR USD 12 Month + 1.650%, 03/01/2043(B) | 110 | 112 | ||||||
3.097%, ICE LIBOR USD 12 Month + 1.621%, 02/01/2050(B) | 238 | 230 | ||||||
3.007%, ICE LIBOR USD 12 Month + 1.628%, 11/01/2048(B) | 1,331 | 1,273 | ||||||
2.980%, ICE LIBOR USD 12 Month + 1.637%, 09/01/2045(B) | 995 | 1,009 | ||||||
2.877%, ICE LIBOR USD 12 Month + 1.619%, 11/01/2047(B) | 446 | 432 | ||||||
2.838%, ICE LIBOR USD 12 Month + 1.719%, 01/01/2044(B) | 189 | 192 | ||||||
2.817%, ICE LIBOR USD 12 Month + 1.640%, 05/01/2049(B) | 298 | 288 | ||||||
2.673%, ICE LIBOR USD 12 Month + 1.611%, 10/01/2043(B) | 103 | 104 | ||||||
2.557%, ICE LIBOR USD 12 Month + 1.606%, 09/01/2043(B) | 45 | 46 | ||||||
2.553%, ICE LIBOR USD 12 Month + 1.646%, 10/01/2043(B) | 172 | 175 | ||||||
2.508%, ICE LIBOR USD 12 Month + 1.631%, 11/01/2043(B) | 94 | 95 | ||||||
2.368%, ICE LIBOR USD 12 Month + 1.635%, 07/01/2043(B) | 54 | 54 | ||||||
2.304%, ICE LIBOR USD 12 Month + 1.642%, 08/01/2043(B) | 85 | 86 | ||||||
FHLMC CMO, Ser 1997-1983, Cl Z | ||||||||
6.500%, 12/15/2023 | 14 | 14 | ||||||
FHLMC CMO, Ser 2001-2277, Cl B | ||||||||
7.500%, 01/15/2031 | 17 | 18 | ||||||
FHLMC CMO, Ser 2002-2399, Cl XG | ||||||||
6.500%, 01/15/2032 | 162 | 168 | ||||||
FHLMC CMO, Ser 2006-R007, Cl ZA | ||||||||
6.000%, 05/15/2036 | 435 | 458 | ||||||
FHLMC CMO, Ser 2007-3281, Cl AI, IO | ||||||||
1.746%, 02/15/2037(B) | 34 | 3 | ||||||
FHLMC CMO, Ser 2007-3294, Cl CB | ||||||||
5.500%, 03/15/2037 | 109 | 114 | ||||||
FHLMC CMO, Ser 2007-3316, Cl JO, PO | ||||||||
0.000%, 05/15/2037(A) | 1 | 1 | ||||||
FHLMC CMO, Ser 2008-3451, Cl SB, IO | ||||||||
1.346%, 05/15/2038(B) | 4 | – | ||||||
FHLMC CMO, Ser 2010-3621, Cl SB, IO | ||||||||
1.546%, 01/15/2040(B) | 24 | 2 | ||||||
FHLMC CMO, Ser 2011-3947, Cl SG, IO | ||||||||
1.266%, 10/15/2041(B) | 193 | 18 |
98
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FHLMC CMO, Ser 2012-264, Cl 30 | ||||||||
3.000%, 07/15/2042 | $ | 923 | $ | 856 | ||||
FHLMC CMO, Ser 2012-271, Cl 30 | ||||||||
3.000%, 08/15/2042 | 245 | 229 | ||||||
FHLMC CMO, Ser 2012-272, Cl F1 | ||||||||
5.184%, ICE LIBOR USD 1 Month + 0.500%, 08/15/2042(B) | 475 | 466 | ||||||
FHLMC CMO, Ser 2012-280, Cl F1 | ||||||||
5.184%, ICE LIBOR USD 1 Month + 0.500%, 09/15/2042(B) | 488 | 479 | ||||||
FHLMC CMO, Ser 2012-283, Cl IO, IO | ||||||||
3.500%, 10/15/2027 | 128 | 6 | ||||||
FHLMC CMO, Ser 2012-4054, Cl SA, IO | ||||||||
1.366%, 08/15/2039(B) | 362 | 31 | ||||||
FHLMC CMO, Ser 2012-4146, Cl DI, IO | ||||||||
3.000%, 12/15/2031 | 253 | 13 | ||||||
FHLMC CMO, Ser 2013-4194, Cl BI, IO | ||||||||
3.500%, 04/15/2043 | 48 | 8 | ||||||
FHLMC CMO, Ser 2013-4203, Cl PS, IO | ||||||||
1.566%, 09/15/2042(B) | 178 | 15 | ||||||
FHLMC CMO, Ser 2013-4205, Cl PA | ||||||||
1.750%, 05/15/2043 | 301 | 262 | ||||||
FHLMC CMO, Ser 2013-4210, Cl Z | ||||||||
3.000%, 05/15/2043 | 71 | 59 | ||||||
FHLMC CMO, Ser 2013-4239, Cl IO, IO | ||||||||
3.500%, 06/15/2027 | 82 | 3 | ||||||
FHLMC CMO, Ser 2013-4240, Cl FA | ||||||||
5.184%, ICE LIBOR USD 1 Month + 0.500%, 08/15/2043(B) | 883 | 867 | ||||||
FHLMC CMO, Ser 2014-328, Cl S4, IO | ||||||||
0.074%, 02/15/2038(B) | 11 | – | ||||||
FHLMC CMO, Ser 2014-4335, Cl SW, IO | ||||||||
1.316%, 05/15/2044(B) | 39 | 4 | ||||||
FHLMC CMO, Ser 2014-4391, Cl MZ | ||||||||
3.000%, 09/15/2044 | 129 | 115 | ||||||
FHLMC CMO, Ser 2014-4415, Cl IO, IO | ||||||||
0.212%, 04/15/2041(B) | 122 | 5 | ||||||
FHLMC CMO, Ser 2015-4479, Cl HA | ||||||||
3.750%, 05/15/2039(C) | 111 | 109 | ||||||
FHLMC CMO, Ser 2016-353, Cl S1, IO | ||||||||
1.316%, 12/15/2046(B) | 272 | 29 | ||||||
FHLMC CMO, Ser 2016-4639, Cl HZ | ||||||||
3.250%, 04/15/2053(C) | 1,847 | 1,534 | ||||||
FHLMC CMO, Ser 2017-356, Cl 300 | ||||||||
3.000%, 09/15/2047 | 1,248 | 1,152 | ||||||
FHLMC CMO, Ser 2017-4742, Cl PA | ||||||||
3.000%, 10/15/2047 | 913 | 843 | ||||||
FHLMC CMO, Ser 2018-4793, Cl FD | ||||||||
4.984%, ICE LIBOR USD 1 Month + 0.300%, 06/15/2048(B) | 133 | 128 | ||||||
FHLMC CMO, Ser 2018-4813, Cl CJ | ||||||||
3.000%, 08/15/2048 | 188 | 167 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FHLMC CMO, Ser 2018-4818, Cl CA | ||||||||
3.000%, 04/15/2048 | $ | 428 | $ | 381 | ||||
FHLMC CMO, Ser 2018-4826, Cl KF | ||||||||
4.984%, ICE LIBOR USD 1 Month + 0.300%, 09/15/2048(B) | 272 | 262 | ||||||
FHLMC CMO, Ser 2018-4846, Cl PA | ||||||||
4.000%, 06/15/2047 | 41 | 40 | ||||||
FHLMC CMO, Ser 2019-4880, Cl DA | ||||||||
3.000%, 05/15/2050 | 617 | 572 | ||||||
FHLMC CMO, Ser 2020-4993, Cl KF | ||||||||
5.295%, ICE LIBOR USD 1 Month + 0.450%, 07/25/2050(B) | 2,412 | 2,315 | ||||||
FHLMC CMO, Ser 2020-4995, Cl IC, IO | ||||||||
4.500%, 07/25/2050 | 762 | 124 | ||||||
FHLMC CMO, Ser 2020-5004, Cl FM | ||||||||
5.195%, ICE LIBOR USD 1 Month + 0.350%, 08/25/2050(B) | 520 | 499 | ||||||
FHLMC CMO, Ser 2020-5010, Cl IK, IO | ||||||||
2.500%, 09/25/2050 | 274 | 40 | ||||||
FHLMC CMO, Ser 2020-5010, Cl JI, IO | ||||||||
2.500%, 09/25/2050 | 732 | 114 | ||||||
FHLMC CMO, Ser 2020-5012, Cl BI, IO | ||||||||
4.000%, 09/25/2050 | 2,809 | 490 | ||||||
FHLMC CMO, Ser 2020-5013, Cl IN, IO | ||||||||
2.500%, 09/25/2050 | 330 | 50 | ||||||
FHLMC CMO, Ser 2020-5018, Cl MI, IO | ||||||||
2.000%, 10/25/2050 | 514 | 69 | ||||||
FHLMC CMO, Ser 2020-5040, Cl IB, IO | ||||||||
2.500%, 11/25/2050 | 147 | 21 | ||||||
FHLMC CMO, Ser 2020-5059, Cl IB, IO | ||||||||
2.500%, 01/25/2051 | 696 | 110 | ||||||
FHLMC CMO, Ser 2021-5070, Cl DI, IO | ||||||||
4.000%, 02/25/2051 | 2,370 | 433 | ||||||
FHLMC CMO, Ser 2021-5071, Cl IH, IO | ||||||||
2.500%, 02/25/2051 | 519 | 67 | ||||||
FHLMC CMO, Ser 2021-5085, Cl NI, IO | ||||||||
2.000%, 03/25/2051 | 1,054 | 118 | ||||||
FHLMC CMO, Ser 2021-5091, Cl AB | ||||||||
1.500%, 03/25/2051 | 1,038 | 848 | ||||||
FHLMC CMO, Ser 2021-5119, Cl AB | ||||||||
1.500%, 08/25/2049 | 439 | 354 | ||||||
FHLMC CMO, Ser 2021-5119, Cl QF | ||||||||
4.760%, SOFR30A + 0.200%, 06/25/2051(B) | 735 | 701 | ||||||
FHLMC CMO, Ser 2021-5140, Cl NI, IO | ||||||||
2.500%, 05/25/2049 | 1,000 | 138 | ||||||
FHLMC CMO, Ser 2021-5143, Cl GA | ||||||||
2.000%, 06/25/2049 | 368 | 308 | ||||||
FHLMC CMO, Ser 2021-5178, Cl TP | ||||||||
2.500%, 04/25/2049 | 846 | 743 | ||||||
FHLMC CMO, Ser 2021-5182, Cl M | ||||||||
2.500%, 05/25/2049 | 535 | 482 |
SEI Institutional Managed Trust
99
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FHLMC CMO, Ser 2022-5201, Cl CA | ||||||||
2.500%, 07/25/2048 | $ | 780 | $ | 707 | ||||
FHLMC CMO, Ser 2022-5202, Cl LA | ||||||||
2.500%, 05/25/2049 | 768 | 677 | ||||||
FHLMC CMO, Ser 2022-5203, Cl G | ||||||||
2.500%, 11/25/2048 | 339 | 301 | ||||||
FHLMC CMO, Ser 2022-5217, Cl CD | ||||||||
2.500%, 07/25/2049 | 677 | 617 | ||||||
FHLMC CMO, Ser 2022-5224, Cl HL | ||||||||
4.000%, 04/25/2052 | 2,100 | 1,982 | ||||||
FHLMC CMO, Ser 2023-5300, Cl C | ||||||||
2.000%, 09/25/2047 | 1,047 | 935 | ||||||
FHLMC Multiclass Certificates, Ser P009, Cl A2 | ||||||||
1.878%, 01/25/2031 | 500 | 423 | ||||||
FHLMC Multifamily Structured Pass Through Certificates, Ser 152, Cl X1, IO | ||||||||
0.154%, 11/25/2032(B) | 12,999 | 204 | ||||||
FHLMC Multifamily Structured Pass Through Certificates, Ser 154, Cl X1, IO | ||||||||
0.527%, 01/25/2033(B) | 6,500 | 203 | ||||||
FHLMC Multifamily Structured Pass Through Certificates, Ser K149, Cl X1, IO | ||||||||
0.264%, 08/25/2032(B) | 10,992 | 257 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K032, Cl X1, IO | ||||||||
0.093%, 05/25/2023(B) | 26,067 | 1 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K047, Cl A2 | ||||||||
3.329%, 05/25/2025(B) | 280 | 273 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K064, Cl X1, IO | ||||||||
0.602%, 03/25/2027(B) | 4,578 | 92 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K094, Cl X1, IO | ||||||||
0.880%, 06/25/2029(B) | 1,988 | 89 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K094, Cl XAM, IO | ||||||||
1.148%, 06/25/2029(B) | 4,850 | 299 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K095, Cl XAM, IO | ||||||||
1.240%, 06/25/2029(B) | 700 | 46 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K110, Cl X1, IO | ||||||||
1.697%, 04/25/2030(B) | 1,295 | 118 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K723, Cl X1, IO | ||||||||
0.913%, 08/25/2023(B) | 6,173 | 9 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K736, Cl X1, IO | ||||||||
1.288%, 07/25/2026(B) | 967 | 33 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K741, Cl X1, IO | ||||||||
0.570%, 12/25/2027(B) | $ | 2,992 | $ | 66 | ||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K743, Cl X1, IO | ||||||||
0.925%, 05/25/2028(B) | 3,997 | 158 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KC05, Cl X1, IO | ||||||||
1.212%, 06/25/2027(B) | 1,513 | 45 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KLU1, Cl A4 | ||||||||
2.854%, 01/25/2031 | 600 | 551 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KSG2, Cl A2 | ||||||||
2.091%, 11/25/2031(B) | 710 | 601 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser S8FX, Cl A2 | ||||||||
3.291%, 03/25/2027 | 320 | 307 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser X3FX, Cl A2FX | ||||||||
3.000%, 06/25/2027 | 580 | 553 | ||||||
FHLMC STACR REMIC Trust, Ser 2020-DNA1, Cl B1 | ||||||||
7.145%, ICE LIBOR USD 1 Month + 2.300%, 01/25/2050(B)(D) | 590 | 570 | ||||||
FHLMC Structured Pass-Through Certificates, Ser 2007-76, Cl 2A | ||||||||
2.012%, 10/25/2037(B) | 63 | 54 | ||||||
FNMA | ||||||||
7.500%, 10/01/2037 to 04/01/2039 | 69 | 74 | ||||||
7.000%, 09/01/2026 to 02/01/2053 | 968 | 1,009 | ||||||
6.500%, 05/01/2027 to 02/01/2053 | 1,413 | 1,482 | ||||||
6.000%, 01/01/2024 to 01/01/2053 | 1,964 | 2,028 | ||||||
5.500%, 02/01/2035 to 09/01/2056 | 2,774 | 2,852 | ||||||
5.000%, 07/01/2033 to 12/01/2052 | 3,639 | 3,713 | ||||||
4.500%, 04/01/2025 to 08/01/2058 | 16,125 | 16,033 | ||||||
4.440%, 11/01/2032 | 100 | 101 | ||||||
4.410%, 12/01/2032 | 200 | 202 | ||||||
4.370%, 11/01/2032 | 200 | 202 | ||||||
4.260%, 11/01/2032 | 200 | 200 | ||||||
4.200%, 01/01/2029 | 775 | 766 | ||||||
4.060%, 07/01/2032 | 299 | 292 | ||||||
4.000%, 01/01/2027 to 06/01/2057 | 39,656 | 38,714 | ||||||
3.900%, 08/01/2032 | 100 | 96 | ||||||
3.890%, 07/01/2032 | 600 | 573 | ||||||
3.880%, 07/01/2032 | 99 | 97 | ||||||
3.850%, 08/01/2032 | 200 | 190 | ||||||
3.840%, 07/01/2032 to 08/01/2032 | 300 | 291 | ||||||
3.820%, 07/01/2027 | 111 | 109 | ||||||
3.740%, 09/01/2032 | 200 | 192 | ||||||
3.560%, 07/01/2032 | 100 | 95 | ||||||
3.520%, 06/01/2032 | 100 | 95 | ||||||
3.500%, 05/01/2033 to 06/01/2052 | 53,805 | 50,764 |
100
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
3.450%, 03/01/2029 | $ | 57 | $ | 55 | ||||
3.250%, 05/01/2029 | 58 | 55 | ||||||
3.160%, 05/01/2029 | 180 | 170 | ||||||
3.020%, 05/01/2026 | 550 | 527 | ||||||
3.000%, 12/01/2031 to 07/01/2060 | 113,924 | 104,171 | ||||||
2.930%, 06/01/2030 | 76 | 71 | ||||||
2.900%, 11/01/2029 | 497 | 460 | ||||||
2.820%, 07/01/2027 | 554 | 524 | ||||||
2.500%, 03/01/2035 to 09/01/2061 | 78,004 | 68,498 | ||||||
2.455%, 04/01/2040 | 1,920 | 1,426 | ||||||
2.150%, 02/01/2032(B) | 239 | 203 | ||||||
2.000%, 05/01/2036 to 04/01/2052 | 139,356 | 117,706 | ||||||
1.850%, 09/01/2035 | 558 | 480 | ||||||
1.500%, 10/01/2041 to 07/01/2051 | 17,173 | 13,854 | ||||||
FNMA ARM | ||||||||
6.131%, ICE LIBOR USD 12 Month + 1.641%, 01/01/2043(B) | 50 | 51 | ||||||
4.720%, 12 Month Treas Avg + 1.928%, 11/01/2035(B) | 168 | 165 | ||||||
4.657%, 12 Month Treas Avg + 1.848%, 10/01/2035(B) | 38 | 37 | ||||||
4.647%, SOFR30A + 2.130%, 08/01/2052(B) | 970 | 965 | ||||||
4.645%, SOFR30A + 2.122%, 08/01/2052(B) | 926 | 910 | ||||||
4.621%, 12 Month Treas Avg + 1.854%, 10/01/2035 to 08/01/2052 (B) | 1,386 | 1,374 | ||||||
4.613%, 12 Month Treas Avg + 1.859%, 11/01/2035(B) | 32 | 31 | ||||||
4.353%, SOFR30A + 2.124%, 07/01/2052(B) | 1,077 | 1,061 | ||||||
4.315%, SOFR30A + 2.125%, 08/01/2052(B) | 1,108 | 1,090 | ||||||
4.249%, SOFR30A + 2.127%, 11/01/2052(B) | 707 | 701 | ||||||
4.227%, SOFR30A + 2.370%, 09/01/2052(B) | 282 | 276 | ||||||
4.168%, SOFR30A + 2.120%, 07/01/2052(B) | 970 | 936 | ||||||
4.154%, SOFR30A + 2.133%, 10/01/2052(B) | 2,115 | 2,092 | ||||||
4.129%, SOFR30A + 2.120%, 09/01/2052(B) | 883 | 875 | ||||||
3.963%, SOFR30A + 2.120%, 08/01/2052(B) | 247 | 237 | ||||||
3.831%, ICE LIBOR USD 12 Month + 1.584%, 01/01/2046(B) | 671 | 675 | ||||||
3.739%, ICE LIBOR USD 12 Month + 1.579%, 06/01/2045(B) | 257 | 259 | ||||||
3.683%, SOFR30A + 2.370%, 08/01/2052(B) | 625 | 601 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
3.307%, ICE LIBOR USD 12 Month + 1.567%, 03/01/2043(B) | $ | 25 | $ | 26 | ||||
3.172%, ICE LIBOR USD 12 Month + 1.579%, 10/01/2043(B) | 229 | 232 | ||||||
2.981%, ICE LIBOR USD 12 Month + 1.603%, 03/01/2050(B) | 1,076 | 1,045 | ||||||
2.255%, ICE LIBOR USD 12 Month + 1.560%, 06/01/2043(B) | 69 | 70 | ||||||
1.615%, 12/01/2051(B) | 274 | 246 | ||||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||||
5.500%, 03/25/2029 | 95 | 92 | ||||||
FNMA CMO, Ser 2005-29, Cl ZA | ||||||||
5.500%, 04/25/2035 | 118 | 123 | ||||||
FNMA CMO, Ser 2006-112, Cl ST, IO | ||||||||
1.855%, 11/25/2036(B) | 222 | 10 | ||||||
FNMA CMO, Ser 2009-103, Cl MB | ||||||||
3.325%, 12/25/2039(B) | 16 | 16 | ||||||
FNMA CMO, Ser 2009-86, Cl BO, PO | ||||||||
0.000%, 03/25/2037(A) | 384 | 330 | ||||||
FNMA CMO, Ser 2011-59, Cl NZ | ||||||||
5.500%, 07/25/2041 | 835 | 862 | ||||||
FNMA CMO, Ser 2011-87, Cl SG, IO | ||||||||
1.705%, 04/25/2040(B) | 44 | 1 | ||||||
FNMA CMO, Ser 2011-96, Cl SA, IO | ||||||||
1.705%, 10/25/2041(B) | 454 | 33 | ||||||
FNMA CMO, Ser 2012-101, Cl AI, IO | ||||||||
3.000%, 06/25/2027 | 69 | 2 | ||||||
FNMA CMO, Ser 2012-101, Cl BI, IO | ||||||||
4.000%, 09/25/2027 | 11 | – | ||||||
FNMA CMO, Ser 2012-133, Cl CS, IO | ||||||||
1.305%, 12/25/2042(B) | 124 | 15 | ||||||
FNMA CMO, Ser 2012-133, Cl JF | ||||||||
5.195%, ICE LIBOR USD 1 Month + 0.350%, 12/25/2042(B) | 405 | 396 | ||||||
FNMA CMO, Ser 2012-151, Cl NX | ||||||||
1.500%, 01/25/2043 | 329 | 283 | ||||||
FNMA CMO, Ser 2012-28, Cl B | ||||||||
6.500%, 06/25/2039 | 4 | 4 | ||||||
FNMA CMO, Ser 2012-35, Cl SC, IO | ||||||||
1.655%, 04/25/2042(B) | 101 | 12 | ||||||
FNMA CMO, Ser 2012-46, Cl BA | ||||||||
6.000%, 05/25/2042 | 109 | 116 | ||||||
FNMA CMO, Ser 2012-74, Cl OA, PO | ||||||||
0.000%, 03/25/2042(A) | 10 | 9 | ||||||
FNMA CMO, Ser 2012-74, Cl SA, IO | ||||||||
1.805%, 03/25/2042(B) | 130 | 8 | ||||||
FNMA CMO, Ser 2012-75, Cl AO, PO | ||||||||
0.000%, 03/25/2042(A) | 20 | 18 | ||||||
FNMA CMO, Ser 2013-11, Cl AP | ||||||||
1.500%, 01/25/2043 | 1,121 | 1,004 | ||||||
FNMA CMO, Ser 2013-111, Cl PL | ||||||||
2.000%, 12/25/2042 | 281 | 251 |
SEI Institutional Managed Trust
101
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FNMA CMO, Ser 2013-124, Cl SB, IO | ||||||||
1.105%, 12/25/2043(B) | $ | 201 | $ | 22 | ||||
FNMA CMO, Ser 2013-126, Cl CS, IO | ||||||||
1.305%, 09/25/2041(B) | 162 | 10 | ||||||
FNMA CMO, Ser 2013-15, Cl FA | ||||||||
5.195%, ICE LIBOR USD 1 Month + 0.350%, 03/25/2043(B) | 492 | 480 | ||||||
FNMA CMO, Ser 2013-35, Cl CL | ||||||||
3.000%, 02/25/2043 | 6,875 | 6,521 | ||||||
FNMA CMO, Ser 2013-43, Cl BP | ||||||||
1.750%, 05/25/2043 | 377 | 328 | ||||||
FNMA CMO, Ser 2013-54, Cl BS, IO | ||||||||
1.305%, 06/25/2043(B) | 74 | 9 | ||||||
FNMA CMO, Ser 2013-73, Cl IA, IO | ||||||||
3.000%, 09/25/2032 | 190 | 11 | ||||||
FNMA CMO, Ser 2013-73, Cl IB, IO | ||||||||
3.500%, 07/25/2028 | 28 | 1 | ||||||
FNMA CMO, Ser 2013-9, Cl SA, IO | ||||||||
1.305%, 03/25/2042(B) | 161 | 10 | ||||||
FNMA CMO, Ser 2013-9, Cl BC | ||||||||
6.500%, 07/25/2042 | 128 | 138 | ||||||
FNMA CMO, Ser 2013-9, Cl CB | ||||||||
5.500%, 04/25/2042 | 971 | 999 | ||||||
FNMA CMO, Ser 2014-25, Cl EL | ||||||||
3.000%, 05/25/2044 | 459 | 422 | ||||||
FNMA CMO, Ser 2014-47, Cl AI, IO | ||||||||
0.255%, 08/25/2044(B) | 85 | 4 | ||||||
FNMA CMO, Ser 2014-6, Cl Z | ||||||||
2.500%, 02/25/2044 | 251 | 218 | ||||||
FNMA CMO, Ser 2015-20, Cl EF | ||||||||
5.195%, ICE LIBOR USD 1 Month + 0.350%, 04/25/2045(B) | 1,134 | 1,105 | ||||||
FNMA CMO, Ser 2015-26, Cl GF | ||||||||
5.145%, ICE LIBOR USD 1 Month + 0.300%, 05/25/2045(B) | 708 | 691 | ||||||
FNMA CMO, Ser 2015-32, Cl FA | ||||||||
5.145%, ICE LIBOR USD 1 Month + 0.300%, 05/25/2045(B) | 424 | 412 | ||||||
FNMA CMO, Ser 2015-48, Cl FB | ||||||||
5.145%, ICE LIBOR USD 1 Month + 0.300%, 07/25/2045(B) | 532 | 517 | ||||||
FNMA CMO, Ser 2015-55, Cl IO, IO | ||||||||
0.309%, 08/25/2055(B) | 215 | 8 | ||||||
FNMA CMO, Ser 2015-56, Cl AS, IO | ||||||||
1.305%, 08/25/2045(B) | 31 | 4 | ||||||
FNMA CMO, Ser 2015-65, Cl CZ | ||||||||
3.500%, 09/25/2045 | 261 | 226 | ||||||
FNMA CMO, Ser 2015-84, Cl PA | ||||||||
1.700%, 08/25/2033 | 1,289 | 1,174 | ||||||
FNMA CMO, Ser 2016-37, Cl MJ | ||||||||
3.500%, 08/25/2043 | 53 | 52 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FNMA CMO, Ser 2016-48, Cl MA | ||||||||
2.000%, 06/25/2038 | $ | 1,303 | $ | 1,187 | ||||
FNMA CMO, Ser 2016-57, Cl PC | ||||||||
1.750%, 06/25/2046 | 2,568 | 2,178 | ||||||
FNMA CMO, Ser 2017-13, Cl PA | ||||||||
3.000%, 08/25/2046 | 507 | 473 | ||||||
FNMA CMO, Ser 2017-76, Cl SB, IO | ||||||||
1.255%, 10/25/2057(B) | 795 | 87 | ||||||
FNMA CMO, Ser 2017-85, Cl SC, IO | ||||||||
1.355%, 11/25/2047(B) | 243 | 24 | ||||||
FNMA CMO, Ser 2018-14, Cl KC | ||||||||
3.000%, 03/25/2048 | 918 | 865 | ||||||
FNMA CMO, Ser 2018-43, Cl CT | ||||||||
3.000%, 06/25/2048 | 707 | 639 | ||||||
FNMA CMO, Ser 2018-54, Cl KA | ||||||||
3.500%, 01/25/2047 | 251 | 243 | ||||||
FNMA CMO, Ser 2018-8, Cl KL | ||||||||
2.500%, 03/25/2047 | 258 | 230 | ||||||
FNMA CMO, Ser 2018-85, Cl EA | ||||||||
3.500%, 12/25/2048 | 387 | 372 | ||||||
FNMA CMO, Ser 2018-85, Cl FE | ||||||||
5.145%, ICE LIBOR USD 1 Month + 0.300%, 12/25/2048(B) | 1,170 | 1,137 | ||||||
FNMA CMO, Ser 2019-15, Cl FA | ||||||||
5.345%, ICE LIBOR USD 1 Month + 0.500%, 04/25/2049(B) | 275 | 268 | ||||||
FNMA CMO, Ser 2019-25, Cl PA | ||||||||
3.000%, 05/25/2048 | 847 | 784 | ||||||
FNMA CMO, Ser 2019-43, Cl FC | ||||||||
5.245%, ICE LIBOR USD 1 Month + 0.400%, 08/25/2049(B) | 552 | 534 | ||||||
FNMA CMO, Ser 2019-67, Cl FB | ||||||||
5.295%, ICE LIBOR USD 1 Month + 0.450%, 11/25/2049(B) | 271 | 263 | ||||||
FNMA CMO, Ser 2019-79, Cl FA | ||||||||
5.345%, ICE LIBOR USD 1 Month + 0.500%, 01/25/2050(B) | 1,305 | 1,270 | ||||||
FNMA CMO, Ser 2020-25, Cl BI, IO | ||||||||
3.500%, 01/25/2047 | 641 | 102 | ||||||
FNMA CMO, Ser 2020-34, Cl F | ||||||||
5.295%, ICE LIBOR USD 1 Month + 0.450%, 06/25/2050(B) | 378 | 366 | ||||||
FNMA CMO, Ser 2020-45, Cl JL | ||||||||
3.000%, 07/25/2040 | 1,012 | 929 | ||||||
FNMA CMO, Ser 2020-47, Cl GZ | ||||||||
2.000%, 07/25/2050 | 423 | 259 | ||||||
FNMA CMO, Ser 2020-48, Cl AB | ||||||||
2.000%, 07/25/2050 | 418 | 351 | ||||||
FNMA CMO, Ser 2020-48, Cl DA | ||||||||
2.000%, 07/25/2050 | 1,275 | 1,085 | ||||||
FNMA CMO, Ser 2020-56, Cl DI, IO | ||||||||
2.500%, 08/25/2050 | 553 | 85 |
102
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FNMA CMO, Ser 2020-56, Cl AQ | ||||||||
2.000%, 08/25/2050 | $ | 900 | $ | 694 | ||||
FNMA CMO, Ser 2020-64, Cl IB, IO | ||||||||
4.000%, 09/25/2050 | 917 | 178 | ||||||
FNMA CMO, Ser 2020-65, Cl EI, IO | ||||||||
4.000%, 09/25/2050 | 1,599 | 297 | ||||||
FNMA CMO, Ser 2020-65, Cl DI, IO | ||||||||
4.000%, 09/25/2050 | 1,078 | 201 | ||||||
FNMA CMO, Ser 2020-65, Cl JI, IO | ||||||||
4.000%, 09/25/2050 | 1,902 | 339 | ||||||
FNMA CMO, Ser 2020-96, Cl IN, IO | ||||||||
3.000%, 01/25/2051 | 726 | 114 | ||||||
FNMA CMO, Ser 2021-1, Cl IG, IO | ||||||||
2.500%, 02/25/2051 | 172 | 28 | ||||||
FNMA CMO, Ser 2021-27, Cl EC | ||||||||
1.500%, 05/25/2051 | 1,819 | 1,486 | ||||||
FNMA CMO, Ser 2021-78, Cl ND | ||||||||
1.500%, 11/25/2051 | 1,070 | 896 | ||||||
FNMA CMO, Ser 2021-78, Cl PA | ||||||||
2.500%, 11/25/2051 | 580 | 515 | ||||||
FNMA CMO, Ser 2022-11, Cl A | ||||||||
2.500%, 07/25/2047 | 1,628 | 1,484 | ||||||
FNMA CMO, Ser 2022-28, Cl CA | ||||||||
2.000%, 01/25/2048 | 631 | 564 | ||||||
FNMA Connecticut Avenue Securities, Ser 2014-C02, Cl 1M2 | ||||||||
7.445%, ICE LIBOR USD 1 Month + 2.600%, 05/25/2024(B) | 353 | 355 | ||||||
FNMA Connecticut Avenue Securities, Ser 2014-C03, Cl 1M2 | ||||||||
7.845%, ICE LIBOR USD 1 Month + 3.000%, 07/25/2024(B) | 1,309 | 1,335 | ||||||
FNMA Connecticut Avenue Securities, Ser 2018-C05, Cl 1B1 | ||||||||
9.095%, ICE LIBOR USD 1 Month + 4.250%, 01/25/2031(B) | 540 | 569 | ||||||
FNMA Interest CMO, Ser 2005-360, Cl 2, IO | ||||||||
5.000%, 08/25/2035 | 479 | 80 | ||||||
FNMA Interest CMO, Ser 2012-409, Cl C22, IO | ||||||||
4.500%, 11/25/2039 | 140 | 26 | ||||||
FNMA Interest CMO, Ser 2012-409, Cl C13, IO | ||||||||
3.500%, 11/25/2041 | 116 | 18 | ||||||
FNMA Interest CMO, Ser 2012-409, Cl C2, IO | ||||||||
3.000%, 04/25/2027 | 116 | 5 | ||||||
FNMA Interest CMO, Ser 2012-411, Cl A3 | ||||||||
3.000%, 08/25/2042 | 616 | 566 | ||||||
FNMA Interest CMO, Ser 2012-414, Cl A35 | ||||||||
3.500%, 10/25/2042 | 911 | 868 | ||||||
FNMA Interest CMO, Ser 2018-424, Cl C11, IO | ||||||||
3.500%, 02/25/2048 | 1,195 | 232 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FNMA Interest CMO, Ser 2022-427, Cl C73, IO | ||||||||
3.000%, 12/25/2048 | $ | 1,928 | $ | 309 | ||||
FNMA TBA | ||||||||
6.500%, 04/30/2037 | 400 | 412 | ||||||
6.000%, 05/01/2032 | 11,820 | 12,057 | ||||||
5.500%, 04/30/2035 | 27,930 | 28,212 | ||||||
5.000%, 04/30/2037 to 05/01/2038 | 40,763 | 40,562 | ||||||
4.500%, 04/14/2033 to 05/01/2038 | 39,474 | 38,680 | ||||||
4.000%, 04/01/2039 to 05/15/2053 | 31,704 | 30,332 | ||||||
3.500%, 04/01/2041 to 05/15/2053 | 18,055 | 16,783 | ||||||
3.000%, 04/01/2043 to 05/15/2053 | 40,360 | 36,238 | ||||||
2.500%, 04/25/2027 to 04/15/2053 | 62,513 | 54,085 | ||||||
2.000%, 04/15/2038 to 05/15/2053 | 60,229 | 50,055 | ||||||
FNMA, Ser 2014-M8, Cl X2, IO | ||||||||
0.293%, 06/25/2024(B) | 2,430 | 4 | ||||||
FNMA, Ser 2017-M7, Cl A2 | ||||||||
2.961%, 02/25/2027(B) | 276 | 261 | ||||||
FNMA, Ser M15, Cl 1A2 | ||||||||
3.700%, 01/25/2036 | 100 | 93 | ||||||
FNMA, Ser M36, Cl X1, IO | ||||||||
1.498%, 09/25/2034(B) | 535 | 36 | ||||||
FREMF Mortgage Trust, Ser 2019-KF58, Cl B | ||||||||
6.819%, ICE LIBOR USD 1 Month + 2.150%, 01/25/2026(B)(D) | 709 | 659 | ||||||
GNMA | ||||||||
8.000%, 11/15/2029 to 09/15/2030 | 26 | 27 | ||||||
7.500%, 03/15/2029 to 10/15/2037 | 33 | 34 | ||||||
7.000%, 09/15/2031 | 13 | 13 | ||||||
6.500%, 07/15/2028 to 12/15/2035 | 699 | 721 | ||||||
6.000%, 12/15/2028 to 10/20/2040 | 1,272 | 1,314 | ||||||
5.505%, 07/20/2060(B) | 1 | 1 | ||||||
5.500%, 11/20/2052 | 1,088 | 1,102 | ||||||
5.000%, 07/20/2040 to 02/20/2053 | 3,742 | 3,794 | ||||||
4.700%, 09/20/2061(B) | 66 | 66 | ||||||
4.500%, 04/20/2041 to 12/20/2050 | 5,663 | 5,641 | ||||||
4.496%, 01/20/2069(B) | 7 | 7 | ||||||
4.000%, 06/20/2047 to 11/20/2050 | 8,626 | 8,408 | ||||||
3.500%, 01/20/2046 to 12/20/2052 | 15,565 | 14,740 | ||||||
3.000%, 09/15/2042 to 12/20/2052 | 26,465 | 24,264 | ||||||
2.625%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.500%, 02/20/2034(B) | 77 | 76 | ||||||
2.500%, 12/20/2050 to 02/20/2053 | 15,972 | 14,052 | ||||||
2.000%, 09/20/2050 to 10/20/2051 | 6,734 | 5,748 | ||||||
GNMA CMO, Ser 2007-17, Cl IB, IO | ||||||||
1.489%, 04/20/2037(B) | 244 | 11 | ||||||
GNMA CMO, Ser 2007-51, Cl SG, IO | ||||||||
1.819%, 08/20/2037(B) | 32 | 1 | ||||||
GNMA CMO, Ser 2007-78, Cl SA, IO | ||||||||
1.802%, 12/16/2037(B) | 325 | 13 |
SEI Institutional Managed Trust
103
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GNMA CMO, Ser 2009-66, Cl XS, IO | ||||||||
2.072%, 07/16/2039(B) | $ | 172 | $ | 8 | ||||
GNMA CMO, Ser 2010-4, Cl NS, IO | ||||||||
1.662%, 01/16/2040(B) | 2,105 | 208 | ||||||
GNMA CMO, Ser 2010-85, Cl HS, IO | ||||||||
1.889%, 01/20/2040(B) | 4 | – | ||||||
GNMA CMO, Ser 2010-H11, Cl FA | ||||||||
5.635%, ICE LIBOR USD 1 Month + 1.000%, 06/20/2060(B) | 271 | 272 | ||||||
GNMA CMO, Ser 2010-H27, Cl FA | ||||||||
4.946%, ICE LIBOR USD 1 Month + 0.380%, 12/20/2060(B) | 760 | 755 | ||||||
GNMA CMO, Ser 2010-H28, Cl FE | ||||||||
4.966%, ICE LIBOR USD 1 Month + 0.400%, 12/20/2060(B) | 230 | 228 | ||||||
GNMA CMO, Ser 2011-H08, Cl FG | ||||||||
5.046%, ICE LIBOR USD 1 Month + 0.480%, 03/20/2061(B) | 245 | 244 | ||||||
GNMA CMO, Ser 2011-H08, Cl FD | ||||||||
5.066%, ICE LIBOR USD 1 Month + 0.500%, 02/20/2061(B) | 119 | 119 | ||||||
GNMA CMO, Ser 2011-H09, Cl AF | ||||||||
5.066%, ICE LIBOR USD 1 Month + 0.500%, 03/20/2061(B) | 157 | 156 | ||||||
GNMA CMO, Ser 2012-141, Cl WA | ||||||||
4.521%, 11/16/2041(B) | 170 | 168 | ||||||
GNMA CMO, Ser 2012-34, Cl SA, IO | ||||||||
1.289%, 03/20/2042(B) | 247 | 27 | ||||||
GNMA CMO, Ser 2012-43, Cl SN, IO | ||||||||
1.872%, 04/16/2042(B) | 42 | 6 | ||||||
GNMA CMO, Ser 2012-98, Cl SA, IO | ||||||||
1.372%, 08/16/2042(B) | 104 | 11 | ||||||
GNMA CMO, Ser 2012-H25, Cl FA | ||||||||
4.700%, ICE LIBOR USD 1 Month + 0.700%, 12/20/2061(B) | 6 | 6 | ||||||
GNMA CMO, Ser 2012-H27, Cl AI, IO | ||||||||
1.743%, 10/20/2062(B) | 513 | 14 | ||||||
GNMA CMO, Ser 2013-53, Cl OI, IO | ||||||||
3.500%, 04/20/2043 | 81 | 8 | ||||||
GNMA CMO, Ser 2013-69, Cl AI, IO | ||||||||
3.500%, 05/20/2043 | 262 | 40 | ||||||
GNMA CMO, Ser 2014-5, Cl SP, IO | ||||||||
1.422%, 06/16/2043(B) | 71 | 3 | ||||||
GNMA CMO, Ser 2014-H10, Cl TA | ||||||||
5.166%, ICE LIBOR USD 1 Month + 0.600%, 04/20/2064(B) | 411 | 409 | ||||||
GNMA CMO, Ser 2015-167, Cl OI, IO | ||||||||
4.000%, 04/16/2045 | 69 | 12 | ||||||
GNMA CMO, Ser 2015-H10, Cl FC | ||||||||
5.046%, ICE LIBOR USD 1 Month + 0.480%, 04/20/2065(B) | 252 | 250 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GNMA CMO, Ser 2015-H18, Cl FA | ||||||||
5.016%, ICE LIBOR USD 1 Month + 0.450%, 06/20/2065(B) | $ | 105 | $ | 105 | ||||
GNMA CMO, Ser 2015-H20, Cl FA | ||||||||
5.036%, ICE LIBOR USD 1 Month + 0.470%, 08/20/2065(B) | 180 | 178 | ||||||
GNMA CMO, Ser 2016-120, Cl FA | ||||||||
5.161%, ICE LIBOR USD 1 Month + 0.400%, 09/20/2046(B) | 259 | 253 | ||||||
GNMA CMO, Ser 2016-135, Cl SB, IO | ||||||||
1.372%, 10/16/2046(B) | 201 | 29 | ||||||
GNMA CMO, Ser 2017-167, Cl BQ | ||||||||
2.500%, 08/20/2044 | 498 | 459 | ||||||
GNMA CMO, Ser 2017-H15, Cl KI, IO | ||||||||
1.717%, 07/20/2067(B) | 473 | 26 | ||||||
GNMA CMO, Ser 2017-H18, Cl BI, IO | ||||||||
0.163%, 09/20/2067(B) | 3,026 | 110 | ||||||
GNMA CMO, Ser 2017-H20, Cl IB, IO | ||||||||
0.153%, 10/20/2067(B) | 217 | 10 | ||||||
GNMA CMO, Ser 2017-H22, Cl IC, IO | ||||||||
0.002%, 11/20/2067(B) | 98 | 4 | ||||||
GNMA CMO, Ser 2018-H06, Cl PF | ||||||||
4.866%, ICE LIBOR USD 1 Month + 0.300%, 02/20/2068(B) | 240 | 238 | ||||||
GNMA CMO, Ser 2018-H07, Cl FD | ||||||||
4.866%, ICE LIBOR USD 1 Month + 0.300%, 05/20/2068(B) | 434 | 433 | ||||||
GNMA CMO, Ser 2019-90, Cl AB | ||||||||
3.000%, 07/20/2049 | 294 | 268 | ||||||
GNMA CMO, Ser 2020-123, Cl NI, IO | ||||||||
2.500%, 08/20/2050 | 636 | 88 | ||||||
GNMA CMO, Ser 2020-123, Cl IL, IO | ||||||||
2.500%, 08/20/2050 | 237 | 33 | ||||||
GNMA CMO, Ser 2020-127, Cl IN, IO | ||||||||
2.500%, 08/20/2050 | 311 | 43 | ||||||
GNMA CMO, Ser 2020-129, Cl IE, IO | ||||||||
2.500%, 09/20/2050 | 242 | 33 | ||||||
GNMA CMO, Ser 2020-160, Cl YI, IO | ||||||||
2.500%, 10/20/2050 | 904 | 121 | ||||||
GNMA CMO, Ser 2020-160, Cl VI, IO | ||||||||
2.500%, 10/20/2050 | 242 | 34 | ||||||
GNMA CMO, Ser 2020-160, Cl IH, IO | ||||||||
2.500%, 10/20/2050 | 166 | 23 | ||||||
GNMA CMO, Ser 2020-175, Cl GI, IO | ||||||||
2.000%, 11/20/2050 | 312 | 33 | ||||||
GNMA CMO, Ser 2020-181, Cl WI, IO | ||||||||
2.000%, 12/20/2050 | 2,019 | 220 | ||||||
GNMA CMO, Ser 2020-47, Cl NI, IO | ||||||||
3.500%, 04/20/2050 | 218 | 36 | ||||||
GNMA CMO, Ser 2020-47, Cl MI, IO | ||||||||
3.500%, 04/20/2050 | 534 | 87 |
104
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GNMA CMO, Ser 2020-H09, Cl NF | ||||||||
5.816%, ICE LIBOR USD 1 Month + 1.250%, 04/20/2070(B) | $ | 232 | $ | 233 | ||||
GNMA CMO, Ser 2020-H09, Cl FL | ||||||||
5.716%, ICE LIBOR USD 1 Month + 1.150%, 05/20/2070(B) | 569 | 565 | ||||||
GNMA CMO, Ser 2020-H12, Cl F | ||||||||
5.066%, ICE LIBOR USD 1 Month + 0.500%, 07/20/2070(B) | 50 | 48 | ||||||
GNMA CMO, Ser 2020-H13, Cl FA | ||||||||
5.016%, ICE LIBOR USD 1 Month + 0.450%, 07/20/2070(B) | 585 | 565 | ||||||
GNMA CMO, Ser 2021-115, Cl MI, IO | ||||||||
2.500%, 05/20/2051 | 426 | 47 | ||||||
GNMA CMO, Ser 2021-176, Cl IN, IO | ||||||||
2.500%, 10/20/2051 | 1,089 | 153 | ||||||
GNMA CMO, Ser 2021-191, Cl NI, IO | ||||||||
3.000%, 10/20/2051 | 651 | 110 | ||||||
GNMA CMO, Ser 2021-23, Cl MG | ||||||||
1.500%, 02/20/2051 | 1,230 | 1,025 | ||||||
GNMA CMO, Ser 2021-27, Cl CW | ||||||||
5.001%, 02/20/2051(B) | 669 | 672 | ||||||
GNMA CMO, Ser 2021-27, Cl NT | ||||||||
5.000%, 02/20/2051 | 530 | 525 | ||||||
GNMA CMO, Ser 2021-27, Cl BD | ||||||||
5.000%, 02/20/2051 | 499 | 508 | ||||||
GNMA CMO, Ser 2021-27, Cl Q | ||||||||
5.000%, 02/20/2051 | 465 | 461 | ||||||
GNMA CMO, Ser 2021-29, Cl TI, IO | ||||||||
2.500%, 02/20/2051 | 469 | 82 | ||||||
GNMA CMO, Ser 2021-57, Cl BI, IO | ||||||||
3.000%, 03/20/2051 | 1,422 | 206 | ||||||
GNMA CMO, Ser 2021-8, Cl CY | ||||||||
5.000%, 01/20/2051 | 475 | 477 | ||||||
GNMA CMO, Ser 2021-96, Cl VI, IO | ||||||||
2.500%, 06/20/2051 | 902 | 123 | ||||||
GNMA CMO, Ser 2022-107, Cl C | ||||||||
2.500%, 06/20/2051 | 2,247 | 1,936 | ||||||
GNMA CMO, Ser 2022-189, Cl PT | ||||||||
2.500%, 10/20/2051 | 884 | 772 | ||||||
GNMA CMO, Ser 2022-197, Cl LF | ||||||||
5.259%, SOFR30A + 0.700%, 11/20/2052(B) | 1,919 | 1,918 | ||||||
GNMA CMO, Ser 2022-205, Cl A | ||||||||
2.000%, 09/20/2051 | 800 | 659 | ||||||
GNMA CMO, Ser 2022-31, Cl GH | ||||||||
2.500%, 12/20/2049 | 1,497 | 1,354 | ||||||
GNMA CMO, Ser 2022-50, Cl DC | ||||||||
2.500%, 08/20/2051 | 675 | 588 | ||||||
GNMA CMO, Ser 2022-84, Cl A | ||||||||
2.500%, 01/20/2052 | 4,269 | 3,701 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GNMA TBA | ||||||||
6.000%, 06/01/2036 | $ | 3,600 | $ | 3,664 | ||||
5.500%, 04/22/2034 | 4,000 | 4,045 | ||||||
5.000%, 04/01/2040 | 6,575 | 6,583 | ||||||
4.500%, 04/01/2039 | 10,450 | 10,293 | ||||||
4.000%, 04/01/2040 | 17,808 | 17,144 | ||||||
3.500%, 04/15/2053 | 11,853 | 11,112 | ||||||
3.000%, 04/15/2043 | 2,400 | 2,186 | ||||||
2.500%, 05/15/2046 to 04/15/2048 | 23,523 | 20,712 | ||||||
2.000%, 04/15/2053 | 1,900 | 1,614 | ||||||
GNMA, Ser 103, Cl AD | ||||||||
1.450%, 01/16/2063 | 767 | 608 | ||||||
GNMA, Ser 107, Cl AD | ||||||||
2.844%, 11/16/2047(B) | 230 | 209 | ||||||
GNMA, Ser 110, Cl IO, IO | ||||||||
0.872%, 11/16/2063(B) | 2,387 | 165 | ||||||
GNMA, Ser 113, Cl Z | ||||||||
2.000%, 09/16/2061 | 2,233 | 1,523 | ||||||
GNMA, Ser 14, Cl AB | ||||||||
1.340%, 06/16/2063 | 508 | 402 | ||||||
GNMA, Ser 196, Cl BE | ||||||||
3.000%, 10/16/2064(B) | 600 | 471 | ||||||
GNMA, Ser 2012-112, Cl IO, IO | ||||||||
0.130%, 02/16/2053(B) | 345 | 1 | ||||||
GNMA, Ser 2012-152, Cl IO, IO | ||||||||
0.610%, 01/16/2054(B) | 2,195 | 36 | ||||||
GNMA, Ser 2012-27, Cl IO, IO | ||||||||
0.270%, 04/16/2053(B) | 428 | 1 | ||||||
GNMA, Ser 2013-96, Cl IO, IO | ||||||||
0.051%, 10/16/2054(B) | 637 | 1 | ||||||
GNMA, Ser 2014-47, Cl IA, IO | ||||||||
0.148%, 02/16/2048(B) | 49 | – | ||||||
GNMA, Ser 2014-50, Cl IO, IO | ||||||||
0.629%, 09/16/2055(B) | 241 | 6 | ||||||
GNMA, Ser 2014-92, Cl IX, IO | ||||||||
0.102%, 05/16/2054(B) | 2,882 | 14 | ||||||
GNMA, Ser 2015-5, Cl IK, IO | ||||||||
0.296%, 11/16/2054(B) | 2,484 | 22 | ||||||
GNMA, Ser 2019-71, Cl PT | ||||||||
3.000%, 06/20/2049 | 156 | 145 | ||||||
GNMA, Ser 21, Cl AH | ||||||||
1.400%, 06/16/2063 | 88 | 70 | ||||||
GNMA, Ser 210, Cl IO, IO | ||||||||
0.694%, 07/16/2064(B) | 1,496 | 103 | ||||||
GNMA, Ser 216, Cl IO, IO | ||||||||
0.751%, 07/16/2065(B) | 1,497 | 102 | ||||||
GNMA, Ser 220, Cl E | ||||||||
3.000%, 10/16/2064(B) | 500 | 398 | ||||||
GNMA, Ser 3, Cl IO, IO | ||||||||
0.640%, 02/16/2061(B) | 685 | 39 | ||||||
GNMA, Ser 3, Cl B | ||||||||
1.850%, 02/16/2061 | 300 | 172 |
SEI Institutional Managed Trust
105
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GNMA, Ser 41, Cl IO, IO | ||||||||
0.595%, 07/16/2058(B) | $ | 514 | $ | 14 | ||||
GNMA, Ser 59, Cl IO, IO | ||||||||
0.571%, 02/16/2062(B) | 3,440 | 182 | ||||||
GNMA, Ser 60, Cl IO, IO | ||||||||
0.826%, 05/16/2063(B) | 2,285 | 143 | ||||||
1,216,794 | ||||||||
Non-Agency Mortgage-Backed Obligations — 5.7% | ||||||||
Alen Mortgage Trust, Ser ACEN, Cl A | ||||||||
5.834%, ICE LIBOR USD 1 Month + 1.150%, 04/15/2034(B)(D) | 885 | 782 | ||||||
Alternative Loan Trust, Ser 2006-18CB, Cl A6 | ||||||||
9.219%, 07/25/2036(B) | 144 | 141 | ||||||
American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A | ||||||||
7.277%, ICE LIBOR USD 6 Month + 2.000%, 06/25/2045(B) | 428 | 419 | ||||||
American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A | ||||||||
7.021%, ICE LIBOR USD 6 Month + 1.750%, 11/25/2045(B) | 695 | 314 | ||||||
American Home Mortgage Investment Trust, Ser 2006-1, Cl 12A1 | ||||||||
5.245%, ICE LIBOR USD 1 Month + 0.400%, 03/25/2046(B) | 2,035 | 1,652 | ||||||
Angel Oak Mortgage Trust, Ser 2020-2, Cl A1A | ||||||||
2.531%, 01/26/2065(B)(D) | 277 | 254 | ||||||
Angel Oak Mortgage Trust, Ser 2020-5, Cl A1 | ||||||||
1.373%, 05/25/2065(B)(D) | 87 | 78 | ||||||
Angel Oak Mortgage Trust, Ser 2021-6, Cl A1 | ||||||||
1.458%, 09/25/2066(B)(D) | 509 | 403 | ||||||
Angel Oak Mortgage Trust, Ser 2022-2, Cl A1 | ||||||||
3.353%, 01/25/2067(B)(D) | 4,877 | 4,460 | ||||||
Arbor Multifamily Mortgage Securities Trust, Ser MF2, Cl B | ||||||||
2.560%, 06/15/2054(B)(D) | 615 | 459 | ||||||
AREIT Trust, Ser 2019-CRE3, Cl A | ||||||||
6.044%, TSFR1M + 1.384%, 09/14/2036(B)(D) | 199 | 197 | ||||||
AREIT, Ser 2022-CRE7, Cl A | ||||||||
6.985%, TSFR1M + 2.242%, 06/17/2039(B)(D) | 2,050 | 2,032 | ||||||
BAMLL Commercial Mortgage Securities Trust, Ser 2018-PARK, Cl A | ||||||||
4.091%, 08/10/2038(B)(D) | 1,790 | 1,617 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
BAMLL Re-REMIC Trust, Ser 2016-GG10, Cl AJA | ||||||||
5.596%, 08/10/2045(B)(D) | $ | 871 | $ | 214 | ||||
BANK 2022, Ser BNK40, Cl A4 | ||||||||
3.394%, 03/15/2064(B) | 605 | 530 | ||||||
BANK, Ser BNK42, Cl A5 | ||||||||
4.493%, 06/15/2055(B) | 655 | 623 | ||||||
BANK, Ser BNK43, Cl A5 | ||||||||
4.399%, 08/15/2055 | 1,715 | 1,618 | ||||||
Barclays Commercial Mortgage Trust, Ser C3, Cl A3 | ||||||||
3.319%, 05/15/2052 | 432 | 394 | ||||||
BBCMS Mortgage Trust, Ser C2, Cl ASB | ||||||||
4.236%, 12/15/2051 | 221 | 215 | ||||||
BBCMS Mortgage Trust, Ser C6, Cl A2 | ||||||||
2.690%, 02/15/2053 | 660 | 625 | ||||||
BBCMS Trust, Ser 2015-SRCH, Cl A1 | ||||||||
3.312%, 08/10/2035(D) | 462 | 438 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A | ||||||||
3.715%, 05/25/2034(B) | 4 | 4 | ||||||
Bear Stearns ARM Trust, Ser 2003-7, Cl 9A | ||||||||
4.236%, 10/25/2033(B) | 251 | 227 | ||||||
Bear Stearns Asset Backed Securities I Trust, Ser 2005-AC8, Cl A3, IO | ||||||||
2.805%, 11/25/2035(B) | 2,343 | 480 | ||||||
Bear Stearns Asset-Backed Securities I Trust, Ser 2005-AC6, Cl 1A3 | ||||||||
5.500%, 09/25/2035(B) | 625 | 559 | ||||||
Bear Stearns Mortgage Funding Trust, Ser 2007-AR3, Cl 1A1 | ||||||||
4.985%, ICE LIBOR USD 1 Month + 0.140%, 03/25/2037(B) | 2,396 | 1,966 | ||||||
Benchmark Mortgage Trust, Ser B13, Cl A4 | ||||||||
2.952%, 08/15/2057 | 337 | 293 | ||||||
Benchmark Mortgage Trust, Ser B33, Cl A5 | ||||||||
3.458%, 03/15/2055 | 935 | 823 | ||||||
Benchmark Mortgage Trust, Ser B35, Cl A5 | ||||||||
4.457%, 05/15/2055(B) | 485 | 461 | ||||||
Benchmark Mortgage Trust, Ser B35, Cl AS | ||||||||
4.457%, 05/15/2055(B) | 645 | 581 | ||||||
BMO Mortgage Trust, Ser C1, Cl A1 | ||||||||
2.198%, 02/15/2055 | 660 | 617 | ||||||
BPR Trust, Ser OANA, Cl A | ||||||||
6.725%, TSFR1M + 1.898%, 04/15/2037(B)(D) | 915 | 879 | ||||||
BPR Trust, Ser STAR, Cl A | ||||||||
8.059%, TSFR1M + 3.232%, 08/15/2024(B)(D) | 1,785 | 1,780 | ||||||
BPR Trust, Ser TY, Cl A | ||||||||
5.734%, ICE LIBOR USD 1 Month + 1.050%, 09/15/2038(B)(D) | 415 | 395 |
106
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Bunker Hill Loan Depositary Trust, Ser 2019-2, Cl A1 | ||||||||
2.879%, 07/25/2049(C)(D) | $ | 358 | $ | 333 | ||||
Bunker Hill Loan Depositary Trust, Ser 2019-3, Cl A1 | ||||||||
2.724%, 11/25/2059(C)(D) | 209 | 202 | ||||||
BWAY Mortgage Trust, Ser 1740, Cl A | ||||||||
2.917%, 01/10/2035(D) | 1,540 | 1,294 | ||||||
BX Commercial Mortgage Trust, Ser 2019-XL, Cl A | ||||||||
5.862%, TSFR1M + 1.034%, 10/15/2036(B)(D) | 4,636 | 4,584 | ||||||
BX Commercial Mortgage Trust, Ser 2019-XL, Cl F | ||||||||
6.942%, TSFR1M + 2.114%, 10/15/2036(B)(D) | 2,303 | 2,225 | ||||||
BX Commercial Mortgage Trust, Ser VIV4, Cl A | ||||||||
2.843%, 03/09/2044(D) | 2,000 | 1,629 | ||||||
BX Commercial Mortgage Trust, Ser VOLT, Cl A | ||||||||
5.384%, ICE LIBOR USD 1 Month + 0.700%, 09/15/2036(B)(D) | 2,867 | 2,756 | ||||||
BX Commercial Mortgage Trust, Ser XL2, Cl A | ||||||||
5.373%, ICE LIBOR USD 1 Month + 0.689%, 10/15/2038(B)(D) | 833 | 798 | ||||||
BX Trust, Ser 2019-OC11, Cl A | ||||||||
3.202%, 12/09/2041(D) | 1,200 | 1,024 | ||||||
BX Trust, Ser GPA, Cl A | ||||||||
6.992%, TSFR1M + 2.165%, 10/15/2039(B)(D) | 1,285 | 1,269 | ||||||
BX Trust, Ser MMP, Cl A | ||||||||
5.684%, ICE LIBOR USD 1 Month + 1.000%, 08/15/2036(B)(D) | 1,378 | 1,362 | ||||||
BX Trust, Ser PSB, Cl A | ||||||||
7.278%, TSFR1M + 2.451%, 08/15/2039(B)(D) | 994 | 989 | ||||||
Cali Mortgage Trust, Ser 101C, Cl A | ||||||||
3.957%, 03/10/2039(D) | 1,280 | 1,120 | ||||||
CD Commercial Mortgage Trust, Ser 2006-CD2, Cl X, IO | ||||||||
0.023%, 01/15/2046(B)(D) | 11 | – | ||||||
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 | ||||||||
0.789%, 08/15/2050(B) | 7,451 | 201 | ||||||
CD Mortgage Trust, Ser CD3, Cl AS | ||||||||
3.833%, 02/10/2050 | 3,843 | 3,420 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
CFCRE Commercial Mortgage Trust, Ser 2017-C8, Cl ASB | ||||||||
3.367%, 06/15/2050 | $ | 248 | $ | 238 | ||||
CFCRE Commercial Mortgage Trust, Ser 2017-C8, Cl A4 | ||||||||
3.572%, 06/15/2050 | 371 | 346 | ||||||
CFCRE Commercial Mortgage Trust, Ser C4, Cl AM | ||||||||
3.691%, 05/10/2058 | 2,502 | 2,306 | ||||||
CFK Trust, Ser 2020-MF2, Cl E | ||||||||
3.458%, 03/15/2039(B)(D) | 2,840 | 2,236 | ||||||
CFK Trust, Ser MF2, Cl F | ||||||||
3.458%, 03/15/2039(B)(D) | 2,960 | 2,251 | ||||||
Chase Mortgage Finance, Ser 2007-A1, Cl 9A1 | ||||||||
4.066%, 02/25/2037(B) | 3 | 3 | ||||||
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1 | ||||||||
3.644%, 02/25/2037(B) | 6 | 6 | ||||||
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1 | ||||||||
3.226%, 06/25/2035(B) | 5 | 4 | ||||||
CIM Trust, Ser 2018-INV1, Cl A4 | ||||||||
4.000%, 08/25/2048(B)(D) | 52 | 48 | ||||||
CIM Trust, Ser 2021-R6, Cl A1 | ||||||||
1.425%, 07/25/2061(B)(D) | 1,156 | 994 | ||||||
CIM TRUST, Ser 2022-R2, Cl A1 | ||||||||
3.750%, 12/25/2061(B)(D) | 701 | 657 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2013-375P, Cl A | ||||||||
3.251%, 05/10/2035(D) | 240 | 219 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2019-GC41, Cl A5 | ||||||||
2.869%, 08/10/2056 | 2,680 | 2,339 | ||||||
Citigroup Commercial Mortgage Trust, Ser GC48, Cl A5 | ||||||||
4.580%, 05/15/2054(B) | 303 | 294 | ||||||
Citigroup Global Markets Mortgage Securities VII, Ser 2003-HYB1, Cl A | ||||||||
4.240%, 09/25/2033(B) | 3 | 3 | ||||||
COLT Mortgage Loan Trust, Ser 2021-2, Cl A1 | ||||||||
0.924%, 08/25/2066(B)(D) | 664 | 529 | ||||||
COLT Mortgage Loan Trust, Ser 2021-4, Cl A1 | ||||||||
1.397%, 10/25/2066(B)(D) | 728 | 574 | ||||||
COMM Mortgage Trust, Ser 2013-CR10, Cl A4 | ||||||||
4.210%, 08/10/2046(B) | 14 | 14 | ||||||
COMM Mortgage Trust, Ser 2013-CR12, Cl C | ||||||||
5.110%, 10/10/2046(B) | 70 | 46 | ||||||
COMM Mortgage Trust, Ser 2013-CR12, Cl B | ||||||||
4.762%, 10/10/2046(B) | 120 | 99 |
SEI Institutional Managed Trust
107
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
COMM Mortgage Trust, Ser 2013-CR12, Cl AM | ||||||||
4.300%, 10/10/2046 | $ | 130 | $ | 117 | ||||
COMM Mortgage Trust, Ser 2013-CR6, Cl B | ||||||||
3.397%, 03/10/2046(D) | 140 | 128 | ||||||
COMM Mortgage Trust, Ser 2014-UBS2, Cl A5 | ||||||||
3.961%, 03/10/2047 | 236 | 232 | ||||||
COMM Mortgage Trust, Ser 2014-UBS2, Cl XA, IO | ||||||||
1.056%, 03/10/2047(B) | 1,317 | 7 | ||||||
COMM Mortgage Trust, Ser 2014-UBS3, Cl AM | ||||||||
4.012%, 06/10/2047 | 285 | 276 | ||||||
COMM Mortgage Trust, Ser 2015-LC19, Cl XA, IO | ||||||||
1.084%, 02/10/2048(B) | 5,236 | 73 | ||||||
COMM Mortgage Trust, Ser 2017-PANW, Cl A | ||||||||
3.244%, 10/10/2029(D) | 410 | 388 | ||||||
COMM Mortgage Trust, Ser CBM, Cl A2 | ||||||||
2.896%, 02/10/2037(D) | 1,085 | 1,011 | ||||||
COMM Mortgage Trust, Ser CR11, Cl A4 | ||||||||
4.258%, 08/10/2050 | 2,331 | 2,309 | ||||||
COMM Mortgage Trust, Ser CR13, Cl A4 | ||||||||
4.194%, 11/10/2046(B) | 318 | 313 | ||||||
COMM Mortgage Trust, Ser CR14, Cl B | ||||||||
4.588%, 02/10/2047(B) | 850 | 810 | ||||||
COMM Mortgage Trust, Ser CR26, Cl C | ||||||||
4.467%, 10/10/2048(B) | 870 | 781 | ||||||
COMM Mortgage Trust, Ser CR8, Cl A5 | ||||||||
3.612%, 06/10/2046(B) | 128 | 128 | ||||||
COMM Mortgage Trust, Ser LC19, Cl A3 | ||||||||
2.922%, 02/10/2048 | 1,488 | 1,426 | ||||||
COMM Mortgage Trust, Ser LC23, Cl A3 | ||||||||
3.521%, 10/10/2048 | 368 | 352 | ||||||
COMM Mortgage Trust, Ser UBS4, Cl A4 | ||||||||
3.420%, 08/10/2047 | 729 | 706 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR4, Cl AM | ||||||||
3.251%, 10/15/2045 | 590 | 538 | ||||||
Connecticut Avenue Securities Trust, Ser 2019-R02, Cl 1M2 | ||||||||
7.145%, ICE LIBOR USD 1 Month + 2.300%, 08/25/2031(B)(D) | 60 | 60 | ||||||
Connecticut Avenue Securities Trust, Ser 2019-R07, Cl 1M2 | ||||||||
6.945%, ICE LIBOR USD 1 Month + 2.100%, 10/25/2039(B)(D) | 130 | 130 | ||||||
Connecticut Avenue Securities Trust, Ser 2020-R01, Cl 1M2 | ||||||||
6.895%, ICE LIBOR USD 1 Month + 2.050%, 01/25/2040(B)(D) | 190 | 191 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1 | ||||||||
7.000%, 12/25/2033 | $ | 12 | $ | 12 | ||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 | ||||||||
4.436%, 10/25/2033(B) | 287 | 270 | ||||||
Credit Suisse Mortgage Trust, Ser 2022-7R, Cl 1A1 | ||||||||
7.042%, SOFR30A + 2.500%, 10/25/2066(B)(D) | 1,372 | 1,351 | ||||||
CSAIL Commercial Mortgage Trust, Ser 2015-C3, Cl A3 | ||||||||
3.447%, 08/15/2048 | 462 | 443 | ||||||
CSAIL Commercial Mortgage Trust, Ser C16, Cl A2 | ||||||||
3.067%, 06/15/2052 | 363 | 323 | ||||||
CSAIL Commercial Mortgage Trust, Ser C20, Cl A3 | ||||||||
2.805%, 03/15/2054 | 1,066 | 885 | ||||||
CSAIL Commercial Mortgage Trust, Ser C3, Cl ASB | ||||||||
3.448%, 08/15/2048 | 708 | 690 | ||||||
CSMC Trust, Ser 2014-USA, Cl E | ||||||||
4.373%, 09/15/2037(D) | 290 | 161 | ||||||
CSMC Trust, Ser 2017-CHOP, Cl G | ||||||||
10.034%, ICE LIBOR USD 1 Month + 5.350%, 07/15/2032(B)(D) | 1,000 | 888 | ||||||
CSMC Trust, Ser 2017-PFHP, Cl A | ||||||||
5.634%, ICE LIBOR USD 1 Month + 0.950%, 12/15/2030(B)(D) | 1,190 | 1,123 | ||||||
CSMC Trust, Ser 2017-RPL1, Cl M2 | ||||||||
2.952%, 07/25/2057(B)(D) | 1,760 | 1,355 | ||||||
CSMC Trust, Ser 2018-J1, Cl A2 | ||||||||
3.500%, 02/25/2048(B)(D) | 1,895 | 1,697 | ||||||
CSMC Trust, Ser 2020-RPL4, Cl A1 | ||||||||
2.000%, 01/25/2060(B)(D) | 586 | 510 | ||||||
CSMC Trust, Ser 2021-RPL3, Cl A1 | ||||||||
2.000%, 01/25/2060(B)(D) | 1,587 | 1,356 | ||||||
CSMC Trust, Ser 2021-RPL4, Cl A1 | ||||||||
1.796%, 12/27/2060(B)(D) | 448 | 415 | ||||||
CSMC Trust, Ser 2021-RPL6, Cl A1 | ||||||||
2.000%, 10/25/2060(B)(D) | 1,484 | 1,309 | ||||||
CSMC, Ser 2014-11R, Cl 9A2 | ||||||||
4.897%, ICE LIBOR USD 1 Month + 0.140%, 10/27/2036(B)(D) | 1,746 | 1,292 | ||||||
CSMC, Ser 2014-USA, Cl A2 | ||||||||
3.953%, 09/15/2037(D) | 2,135 | 1,939 | ||||||
CSMC, Ser 2021-NQM8, Cl A1 | ||||||||
1.841%, 10/25/2066(B)(D) | 1,403 | 1,209 | ||||||
CSMC, Ser 2022-ATH2, Cl A1 | ||||||||
4.547%, 05/25/2067(B)(D) | 3,009 | 2,907 |
108
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
CSMC, Ser MARK, Cl A | ||||||||
7.523%, TSFR1M + 2.695%, 06/15/2039(B)(D) | $ | 480 | $ | 476 | ||||
DBCCRE Mortgage Trust, Ser 2014-ARCP, Cl A | ||||||||
4.238%, 01/10/2034(D) | 1,175 | 1,139 | ||||||
DBCCRE Mortgage Trust, Ser 2018-ARCP, Cl C | ||||||||
4.935%, 01/10/2034(B)(D) | 550 | 522 | ||||||
DC Office Trust, Ser 2019-MTC, Cl A | ||||||||
2.965%, 09/15/2045(D) | 1,240 | 1,015 | ||||||
DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B | ||||||||
5.561%, ICE LIBOR USD 1 Month + 0.800%, 11/19/2044(B) | 245 | 225 | ||||||
ELP Commercial Mortgage Trust, Ser ELP, Cl C | ||||||||
6.005%, ICE LIBOR USD 1 Month + 1.320%, 11/15/2038(B)(D) | 2,500 | 2,364 | ||||||
EQUS Mortgage Trust, Ser EQAZ, Cl A | ||||||||
5.439%, ICE LIBOR USD 1 Month + 0.755%, 10/15/2038(B)(D) | 816 | 785 | ||||||
EQUS Mortgage Trust, Ser EQAZ, Cl B | ||||||||
5.784%, ICE LIBOR USD 1 Month + 1.100%, 10/15/2038(B)(D) | 790 | 748 | ||||||
EverBank Mortgage Loan Trust, Ser 2018-1, Cl A22 | ||||||||
3.500%, 02/25/2048(B)(D) | 134 | 118 | ||||||
FHLMC STACR REMIC Trust, Ser 2021-DNA6, Cl M2 | ||||||||
6.060%, SOFR30A + 1.500%, 10/25/2041(B)(D) | 5,746 | 5,467 | ||||||
Flagstar Mortgage Trust, Ser 2018-2, Cl A4 | ||||||||
3.500%, 04/25/2048(B)(D) | 65 | 64 | ||||||
GPMT, Ser 2021-FL3, Cl A | ||||||||
6.011%, ICE LIBOR USD 1 Month + 1.250%, 07/16/2035(B)(D) | 725 | 718 | ||||||
GS Mortgage Securities II, Ser 2017-SLP, Cl C | ||||||||
3.924%, 10/10/2032(D) | 1,310 | 1,246 | ||||||
GS Mortgage Securities II, Ser ARDN, Cl B | ||||||||
6.334%, ICE LIBOR USD 1 Month + 1.650%, 11/15/2036(B)(D) | 1,623 | 1,562 | ||||||
GS Mortgage Securities II, Ser GC30, Cl B | ||||||||
4.025%, 05/10/2050(B) | 480 | 438 | ||||||
GS Mortgage Securities II, Ser SRP5, Cl A | ||||||||
6.484%, ICE LIBOR USD 1 Month + 1.800%, 09/15/2031(B)(D) | 2,627 | 2,182 | ||||||
GS Mortgage Securities Trust, Ser 2013-GC16, Cl B | ||||||||
5.161%, 11/10/2046(B) | 270 | 265 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GS Mortgage Securities Trust, Ser 2014-GC18, Cl A4 | ||||||||
4.074%, 01/10/2047 | $ | 977 | $ | 959 | ||||
GS Mortgage Securities Trust, Ser 2014-GC26, Cl B | ||||||||
4.215%, 11/10/2047(B) | 680 | 633 | ||||||
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 | 272 | ||||||
GS Mortgage Securities Trust, Ser GSA2, Cl A4 | ||||||||
1.721%, 12/12/2053 | 1,055 | 840 | ||||||
GS Mortgage Securities Trust, Ser ROSS, Cl A | ||||||||
5.835%, ICE LIBOR USD 1 Month + 1.150%, 05/15/2026(B)(D) | 2,170 | 1,952 | ||||||
GS Mortgage-Backed Securities Trust, Ser 2018-RPL1, Cl A1A | ||||||||
3.750%, 10/25/2057(D) | 1,921 | 1,837 | ||||||
GS Mortgage-Backed Securities Trust, Ser 2022-PJ2, Cl A24 | ||||||||
3.000%, 06/25/2052(B)(D) | 830 | 733 | ||||||
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A | ||||||||
8.000%, 09/19/2027(B)(D) | 10 | 10 | ||||||
GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1 | ||||||||
4.121%, 10/25/2033(B) | 89 | 85 | ||||||
GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3 | ||||||||
6.000%, 09/25/2034 | 7 | 7 | ||||||
GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4 | ||||||||
5.500%, 01/25/2037 | 2 | 2 | ||||||
HarborView Mortgage Loan, Ser 2004-3, Cl 1A | ||||||||
4.194%, 05/19/2034(B) | 375 | 351 | ||||||
HIT Trust, Ser HI32, Cl A | ||||||||
7.218%, TSFR1M + 2.391%, 07/15/2024(B)(D) | 1,560 | 1,557 | ||||||
Hudson Yards Mortgage Trust, Ser 2019-30HY, Cl A | ||||||||
3.228%, 07/10/2039(D) | 1,225 | 1,053 | ||||||
Hudson Yards Mortgage Trust, Ser 2019-55HY, Cl A | ||||||||
2.943%, 12/10/2041(B)(D) | 1,240 | 1,047 | ||||||
Impact Funding, Ser 2010-1, Cl A1 | ||||||||
5.314%, 01/25/2051(D) | 549 | 537 |
SEI Institutional Managed Trust
109
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C17, Cl B | ||||||||
4.884%, 01/15/2047(B) | $ | 130 | $ | 127 | ||||
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C22, Cl C | ||||||||
4.548%, 09/15/2047(B) | 120 | 105 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C23, Cl A4 | ||||||||
3.670%, 09/15/2047 | 331 | 322 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, Cl A3 | ||||||||
2.912%, 10/15/2048 | 1,219 | 1,162 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C30, Cl A5 | ||||||||
3.822%, 07/15/2048 | 568 | 543 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser C12, Cl A5 | ||||||||
3.664%, 07/15/2045 | 358 | 356 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser C15, Cl AS | ||||||||
4.420%, 11/15/2045 | 925 | 909 | ||||||
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 | ||||||||
1.009%, 06/12/2043(B) | 40 | – | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-LD12, Cl AJ | ||||||||
6.201%, 02/15/2051(B) | 2 | 2 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl C | ||||||||
4.561%, 07/15/2047(B) | 380 | 324 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2018-BCON, Cl B | ||||||||
3.756%, 01/05/2031(B)(D) | 1,305 | 1,304 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2019-OSB, Cl A | ||||||||
3.397%, 06/05/2039(D) | 1,500 | 1,320 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser C16, Cl A4 | ||||||||
4.166%, 12/15/2046 | 908 | 897 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser JP4, Cl A3 | ||||||||
3.393%, 12/15/2049 | 206 | 193 | ||||||
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 5A3 | ||||||||
4.184%, 11/25/2033(B) | 9 | 8 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1 | ||||||||
3.661%, 08/25/2034(B) | $ | 25 | $ | 24 | ||||
JPMorgan Mortgage Trust, Ser 2015-5, Cl A9 | ||||||||
5.853%, 05/25/2045(B)(D) | 26 | 25 | ||||||
JPMorgan Mortgage Trust, Ser 2018-4, Cl A1 | ||||||||
3.500%, 10/25/2048(B)(D) | 97 | 87 | ||||||
JPMorgan Mortgage Trust, Ser 2018-5, Cl A1 | ||||||||
3.500%, 10/25/2048(B)(D) | 307 | 273 | ||||||
JPMorgan Mortgage Trust, Ser 2020-1, Cl A3A | ||||||||
3.000%, 06/25/2050(B)(D) | 146 | 125 | ||||||
JPMorgan Mortgage Trust, Ser 2021-11, Cl A3 | ||||||||
2.500%, 01/25/2052(B)(D) | 703 | 567 | ||||||
JPMorgan Mortgage Trust, Ser 2021-INV2, Cl A2 | ||||||||
2.500%, 12/25/2051(B)(D) | 1,919 | 1,553 | ||||||
JPMorgan Mortgage Trust, Ser 2022-3, Cl A2 | ||||||||
3.000%, 08/25/2052(B)(D) | 1,754 | 1,490 | ||||||
Legacy Mortgage Asset Trust, Ser 2021-GS2, Cl A1 | ||||||||
1.750%, 04/25/2061(C)(D) | 494 | 461 | ||||||
Lehman XS Trust, Ser 2007-16N, Cl 2A2 | ||||||||
6.545%, ICE LIBOR USD 1 Month + 1.700%, 09/25/2047(B) | 3,833 | 3,131 | ||||||
Master Resecuritization Trust, Ser 2005, Cl 3, PO | ||||||||
0.000%, 05/28/2035(A)(D) | 2 | 1 | ||||||
MASTR Reperforming Loan Trust, Ser 2005-1, Cl 1A1 | ||||||||
6.000%, 08/25/2034(D) | 1,041 | 699 | ||||||
Med Trust, Ser MDLN, Cl A | ||||||||
5.635%, ICE LIBOR USD 1 Month + 0.950%, 11/15/2038(B)(D) | 1,310 | 1,261 | ||||||
Merrill Lynch Mortgage Investors Trust, Ser 2003-A4, Cl 2A | ||||||||
4.447%, 07/25/2033(B) | 6 | 5 | ||||||
MFA Trust, Ser 2021-RPL1, Cl A1 | ||||||||
1.131%, 07/25/2060(B)(D) | 530 | 464 | ||||||
MFA Trust, Ser 2022-NQM2, Cl A1 | ||||||||
4.000%, 05/25/2067(C)(D) | 923 | 877 | ||||||
MHC Trust, Ser MHC2, Cl A | ||||||||
5.534%, ICE LIBOR USD 1 Month + 0.850%, 05/15/2038(B)(D) | 1,250 | 1,206 | ||||||
Mill City Mortgage Loan Trust, Ser 2021-NMR1, Cl A1 | ||||||||
1.125%, 11/25/2060(B)(D) | 628 | 581 | ||||||
MKT Mortgage Trust, Ser 525M, Cl A | ||||||||
2.694%, 02/12/2040(D) | 965 | 763 |
110
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
ML-CFC Commercial Mortgage Trust, Ser 2007-5, Cl AJFL | ||||||||
5.450%, 08/12/2048(B)(D) | $ | 11 | $ | 3 | ||||
ML-CFC Commercial Mortgage Trust, Ser 2007-5, Cl AJ | ||||||||
5.450%, 08/12/2048(B) | 83 | 20 | ||||||
ML-CFC Commercial Mortgage Trust, Ser 2007-9, Cl AJ | ||||||||
6.193%, 09/12/2049(B) | 14 | 14 | ||||||
Morgan Stanley BAML Trust, Ser 2012-CKSV, Cl A2 | ||||||||
3.277%, 10/15/2030(D) | 737 | 587 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C6, Cl B | ||||||||
3.930%, 11/15/2045 | 7 | 7 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C9, Cl AS | ||||||||
3.456%, 05/15/2046 | 80 | 80 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C25, Cl A5 | ||||||||
3.635%, 10/15/2048 | 250 | 239 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser C34, Cl B | ||||||||
4.111%, 11/15/2052(B) | 1,030 | 918 | ||||||
Morgan Stanley Capital I Trust, Ser 2007-IQ16, Cl AJ | ||||||||
5.674%, 12/12/2049(B) | 54 | 27 | ||||||
Morgan Stanley Capital I Trust, Ser 2016-BNK2, Cl XA, IO | ||||||||
0.962%, 11/15/2049(B) | 2,862 | 75 | ||||||
Morgan Stanley Capital I Trust, Ser 2017-ASHF, Cl A | ||||||||
5.659%, ICE LIBOR USD 1 Month + 0.975%, 11/15/2034(B)(D) | 36 | 35 | ||||||
Morgan Stanley Capital I Trust, Ser 2019-BPR, Cl A | ||||||||
6.334%, ICE LIBOR USD 1 Month + 1.650%, 05/15/2036(B)(D) | 1,508 | 1,463 | ||||||
Morgan Stanley Capital I Trust, Ser HR8, Cl A3 | ||||||||
1.790%, 07/15/2053 | 576 | 460 | ||||||
Morgan Stanley Capital I Trust, Ser L2, Cl A3 | ||||||||
3.806%, 03/15/2052 | 480 | 445 | ||||||
Morgan Stanley Capital I Trust, Ser L8, Cl AS | ||||||||
3.795%, 04/15/2055(B) | 580 | 497 | ||||||
Morgan Stanley Residential Mortgage Loan Trust, Ser 2021-2, Cl A3 | ||||||||
2.500%, 05/25/2051(B)(D) | 5,557 | 4,483 | ||||||
MSCG Trust, Ser 2015-ALDR, Cl A2 | ||||||||
3.462%, 06/07/2035(B)(D) | 620 | 569 | ||||||
New Residential Mortgage Loan Trust, Ser 2017-1A, Cl A1 | ||||||||
4.000%, 02/25/2057(B)(D) | 518 | 489 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
New Residential Mortgage Loan Trust, Ser 2019-NQM4, Cl A1 | ||||||||
2.492%, 09/25/2059(B)(D) | $ | 137 | $ | 126 | ||||
New Residential Mortgage Loan Trust, Ser 2021-NQM3, Cl A3 | ||||||||
1.516%, 11/27/2056(B)(D) | 360 | 294 | ||||||
New Residential Mortgage Loan Trust, Ser 2022-NQM4, Cl A1 | ||||||||
5.000%, 06/25/2062(C)(D) | 1,783 | 1,750 | ||||||
NewRez Warehouse Securitization Trust, Ser 2021-1, Cl A | ||||||||
5.595%, ICE LIBOR USD 1 Month + 0.750%, 05/25/2055(B)(D) | 1,696 | 1,677 | ||||||
OBX Trust, Ser 2019-EXP1, Cl 1A3 | ||||||||
4.000%, 01/25/2059(B)(D) | 34 | 33 | ||||||
OBX Trust, Ser 2020-EXP3, Cl 2A1A | ||||||||
5.745%, ICE LIBOR USD 1 Month + 0.900%, 01/25/2060(B)(D) | 45 | 45 | ||||||
OBX Trust, Ser 2021-NQM2, Cl A1 | ||||||||
1.101%, 05/25/2061(B)(D) | 509 | 402 | ||||||
OBX Trust, Ser 2021-NQM3, Cl A3 | ||||||||
1.362%, 07/25/2061(B)(D) | 443 | 332 | ||||||
OBX Trust, Ser 2022-NQM1, Cl A1 | ||||||||
2.305%, 11/25/2061(B)(D) | 1,560 | 1,334 | ||||||
One Bryant Park Trust, Ser 2019-OBP, Cl A | ||||||||
2.516%, 09/15/2054(D) | 1,570 | 1,288 | ||||||
PHH Alternative Mortgage Trust, Ser 2007-3, Cl A3 | ||||||||
5.445%, ICE LIBOR USD 1 Month + 0.600%, 07/25/2037(B) | 2,855 | 2,740 | ||||||
Prime Mortgage Trust, Ser 2004-CL1, Cl 1, PO | ||||||||
0.000%, 02/25/2034(A) | 2 | 1 | ||||||
Prime Mortgage Trust, Ser 2004-CL1, Cl 1A1 | ||||||||
6.000%, 02/25/2034 | 7 | 7 | ||||||
Prime Mortgage Trust, Ser 2006-DR1, Cl 2A1 | ||||||||
5.500%, 05/25/2035(D) | 631 | 552 | ||||||
PRKCM Trust, Ser 2022-AFC1, Cl A1A | ||||||||
4.100%, 04/25/2057(B)(D) | 1,728 | 1,624 | ||||||
RATE Mortgage Trust, Ser 2021-HB1, Cl A1 | ||||||||
2.500%, 12/25/2051(B)(D) | 2,084 | 1,684 | ||||||
Rate Mortgage Trust, Ser 2021-J1, Cl A7 | ||||||||
2.500%, 07/25/2051(B)(D) | 289 | 250 | ||||||
Rate Mortgage Trust, Ser 2021-J1, Cl A1 | ||||||||
2.500%, 07/25/2051(B)(D) | 400 | 324 | ||||||
Rate Mortgage Trust, Ser 2022-J1, Cl A7 | ||||||||
3.000%, 01/25/2052(B)(D) | 898 | 758 | ||||||
RBSCF Trust, Ser 2013-GSP, Cl A | ||||||||
3.834%, 01/15/2032(B)(D) | 445 | 431 | ||||||
RCKT Mortgage Trust, Ser 2021-3, Cl A1 | ||||||||
2.500%, 07/25/2051(B)(D) | 486 | 394 | ||||||
RCKT Mortgage Trust, Ser 2022-2, Cl A2 | ||||||||
2.500%, 02/25/2052(B)(D) | 604 | 489 |
SEI Institutional Managed Trust
111
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
�� | ||||||||
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||||
3.529%, 12/25/2034(B) | $ | 195 | $ | 160 | ||||
Residential Mortgage Loan Trust, Ser 2019-3, Cl A1 | ||||||||
2.633%, 09/25/2059(B)(D) | 230 | 224 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2016-1, Cl M2 | ||||||||
3.750%, 09/25/2055(B)(D) | 2,264 | 2,033 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2019-1, Cl M | ||||||||
4.750%, 07/25/2058(B)(D) | 2,840 | 2,517 | ||||||
Sequoia Mortgage Trust, Ser 2018-CH4, Cl B1B | ||||||||
4.987%, 10/25/2048(B)(D) | 1,167 | 1,131 | ||||||
SFAVE Commercial Mortgage Securities Trust, Ser 2015-5AVE, Cl A2B | ||||||||
4.144%, 01/05/2043(B)(D) | 75 | 53 | ||||||
SFAVE Commercial Mortgage Securities Trust, Ser 2015-5AVE, Cl A1 | ||||||||
3.872%, 01/05/2043(B)(D) | 390 | 278 | ||||||
Stack Infrastructure Issuer, Ser 2019-1A, Cl A2 | ||||||||
4.540%, 02/25/2044(D) | 211 | 208 | ||||||
STAR Trust, Ser 2021-1, Cl A1 | ||||||||
1.219%, 05/25/2065(B)(D) | 253 | 217 | ||||||
Starwood Mortgage Residential Trust, Ser 2020-1, Cl A1 | ||||||||
2.275%, 02/25/2050(B)(D) | 50 | 47 | ||||||
Starwood Mortgage Residential Trust, Ser 2020-3, Cl A1 | ||||||||
1.486%, 04/25/2065(B)(D) | 170 | 159 | ||||||
Starwood Mortgage Residential Trust, Ser 2020-INV1, Cl A1 | ||||||||
1.027%, 11/25/2055(B)(D) | 196 | 172 | ||||||
Starwood Mortgage Residential Trust, Ser 2021-4, Cl A1 | ||||||||
1.162%, 08/25/2056(B)(D) | 676 | 558 | ||||||
Structured Asset Mortgage Investments II Trust, Ser 2007-AR3, Cl 2A1 | ||||||||
5.035%, ICE LIBOR USD 1 Month + 0.190%, 09/25/2047(B) | 2,047 | 1,770 | ||||||
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2003-24A, Cl 3A2 | ||||||||
5.507%, 07/25/2033(B) | 25 | 23 | ||||||
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2003-37A, Cl 2A | ||||||||
3.933%, 12/25/2033(B) | 11 | 10 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Towd Point Mortgage Trust, Ser 2017-5, Cl A1 | ||||||||
4.208%, ICE LIBOR USD 1 Month + 0.600%, 02/25/2057(B)(D) | $ | 253 | $ | 252 | ||||
Towd Point Mortgage Trust, Ser 2017-6, Cl M1 | ||||||||
3.250%, 10/25/2057(B)(D) | 1,050 | 926 | ||||||
Towd Point Mortgage Trust, Ser 2019-4, Cl A1 | ||||||||
2.900%, 10/25/2059(B)(D) | 732 | 682 | ||||||
Towd Point Mortgage Trust, Ser 2019-MH1, Cl A1 | ||||||||
3.000%, 11/25/2058(B)(D) | 499 | 490 | ||||||
Towd Point Mortgage Trust, Ser 2020-3, Cl A1 | ||||||||
3.088%, 02/25/2063(B)(D) | 839 | 788 | ||||||
Towd Point Mortgage Trust, Ser 2021-1, Cl A1 | ||||||||
2.250%, 11/25/2061(B)(D) | 506 | 456 | ||||||
Towd Point Mortgage Trust, Ser 2022-4, Cl A1 | ||||||||
3.750%, 09/25/2062(D) | 462 | 432 | ||||||
UBS Commercial Mortgage Trust, Ser C4, Cl A3 | ||||||||
3.301%, 10/15/2050 | 401 | 370 | ||||||
Verus Securitization Trust, Ser 2019-4, Cl A1 | ||||||||
2.642%, 11/25/2059(C)(D) | 227 | 216 | ||||||
Verus Securitization Trust, Ser 2019-INV2, Cl A1 | ||||||||
2.913%, 07/25/2059(B)(D) | 118 | 114 | ||||||
Verus Securitization Trust, Ser 2019-INV3, Cl A1 | ||||||||
2.692%, 11/25/2059(B)(D) | 196 | 187 | ||||||
Verus Securitization Trust, Ser 2020-2, Cl A1 | ||||||||
2.226%, 05/25/2060(B)(D) | 171 | 164 | ||||||
Verus Securitization Trust, Ser 2020-5, Cl A1 | ||||||||
1.218%, 05/25/2065(C)(D) | 97 | 89 | ||||||
Verus Securitization Trust, Ser 2021-1, Cl A1 | ||||||||
0.815%, 01/25/2066(B)(D) | 331 | 276 | ||||||
Verus Securitization Trust, Ser 2021-2, Cl A1 | ||||||||
1.031%, 02/25/2066(B)(D) | 629 | 534 | ||||||
Verus Securitization Trust, Ser 2021-3, Cl A1 | ||||||||
1.046%, 06/25/2066(B)(D) | 474 | 395 | ||||||
Verus Securitization Trust, Ser 2021-4, Cl A1 | ||||||||
0.938%, 07/25/2066(B)(D) | 589 | 471 | ||||||
Verus Securitization Trust, Ser 2021-5, Cl A1 | ||||||||
1.013%, 09/25/2066(B)(D) | 1,853 | 1,498 | ||||||
Verus Securitization Trust, Ser 2021-7, Cl A1 | ||||||||
1.829%, 10/25/2066(B)(D) | 911 | 771 | ||||||
Verus Securitization Trust, Ser 2021-8, Cl A1 | ||||||||
1.824%, 11/25/2066(B)(D) | 655 | 556 |
112
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Verus Securitization Trust, Ser 2021-R1, Cl A1 | ||||||||
0.820%, 10/25/2063(B)(D) | $ | 285 | $ | 255 | ||||
Verus Securitization Trust, Ser 2021-R3, Cl A1 | ||||||||
1.020%, 04/25/2064(B)(D) | 294 | 261 | ||||||
Visio Trust, Ser 2020-1R, Cl A1 | ||||||||
1.312%, 11/25/2055(D) | 217 | 196 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7 | ||||||||
4.233%, 10/25/2033(B) | 19 | 17 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7 | ||||||||
3.818%, 08/25/2033(B) | 12 | 11 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6 | ||||||||
4.157%, 09/25/2033(B) | 19 | 17 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10 | ||||||||
4.138%, 06/25/2033(B) | 3 | 3 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8 | ||||||||
5.250%, 10/25/2033 | 40 | 39 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2 | ||||||||
3.253%, 06/25/2034(B) | 11 | 10 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-RA4, Cl 3A | ||||||||
7.500%, 07/25/2034 | 60 | 62 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A3 | ||||||||
6.405%, ICE LIBOR USD 1 Month + 1.560%, 10/25/2045(B) | 156 | 146 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A1 | ||||||||
5.365%, ICE LIBOR USD 1 Month + 0.520%, 11/25/2045(B) | 3,536 | 3,128 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2007-OA1, Cl A1A | ||||||||
3.838%, 12 Month Treas Avg + 0.700%, 02/25/2047(B) | 1,000 | 815 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust, Ser 2007-OA2, Cl 2A | ||||||||
3.838%, 12 Month Treas Avg + 0.700%, 01/25/2047(B) | 648 | 503 | ||||||
Waterfall Commercial Mortgage Trust, Ser 2015-SBC5, Cl A | ||||||||
4.104%, 09/14/2022(B)(D) | 88 | 86 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2013-LC12, Cl B | ||||||||
4.364%, 07/15/2046(B) | 20 | 15 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
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 | ||||||||
1.183%, 11/15/2059(B) | 4,460 | 141 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser C62, Cl A4 | ||||||||
4.000%, 04/15/2055(B) | 840 | 767 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2005-AR7, Cl B1 | ||||||||
3.277%, 05/25/2035(B) | 1,334 | 1,098 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2013-C13, Cl XA, IO | ||||||||
1.047%, 05/15/2045(B)(D) | 220 | – | ||||||
WFRBS Commercial Mortgage Trust, Ser 2014-C19, Cl B | ||||||||
4.723%, 03/15/2047(B) | 110 | 106 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2014-C21, Cl B | ||||||||
4.213%, 08/15/2047(B) | 300 | 279 | ||||||
WFRBS Commercial Mortgage Trust, Ser C22, Cl B | ||||||||
4.371%, 09/15/2057(B) | 245 | 226 | ||||||
WFRBS Commercial Mortgage Trust, Ser C25, Cl ASB | ||||||||
3.369%, 11/15/2047 | 172 | 168 | ||||||
201,803 | ||||||||
Total Mortgage-Backed Securities | ||||||||
(Cost $1,489,088) ($ Thousands) | 1,418,597 | |||||||
CORPORATE OBLIGATIONS — 31.7% | ||||||||
Communication Services — 2.8% | ||||||||
Alphabet | ||||||||
2.050%, 08/15/2050 | 150 | 95 | ||||||
1.900%, 08/15/2040 | 250 | 175 | ||||||
1.100%, 08/15/2030 | 240 | 197 | ||||||
0.450%, 08/15/2025 | 110 | 101 | ||||||
Altice France | ||||||||
5.500%, 10/15/2029 (D) | 210 | 161 | ||||||
AT&T | ||||||||
5.550%, 08/15/2041 | 130 | 132 | ||||||
5.350%, 09/01/2040 | 130 | 129 | ||||||
5.250%, 03/01/2037 | 2,420 | 2,420 | ||||||
5.150%, 03/15/2042 | 25 | 24 | ||||||
4.850%, 03/01/2039 | 750 | 704 | ||||||
4.750%, 05/15/2046 | 170 | 154 | ||||||
4.500%, 05/15/2035 | 370 | 347 | ||||||
4.350%, 03/01/2029 | 300 | 294 |
SEI Institutional Managed Trust
113
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.350%, 06/15/2045 | $ | 350 | $ | 300 | ||||
3.800%, 02/15/2027 | 318 | 308 | ||||||
3.800%, 12/01/2057 (E) | 1,141 | 847 | ||||||
3.650%, 09/15/2059 | 430 | 307 | ||||||
3.550%, 09/15/2055 | 151 | 108 | ||||||
3.500%, 06/01/2041 | 296 | 234 | ||||||
3.500%, 09/15/2053 | 2,943 | 2,137 | ||||||
2.550%, 12/01/2033 | 290 | 233 | ||||||
2.300%, 06/01/2027 | 750 | 687 | ||||||
2.250%, 02/01/2032 | 60 | 49 | ||||||
1.700%, 03/25/2026 | 2,510 | 2,309 | ||||||
1.650%, 02/01/2028 | 2,005 | 1,761 | ||||||
CCO Holdings | ||||||||
4.750%, 02/01/2032 (D)(E) | 250 | 210 | ||||||
4.500%, 08/15/2030 (D) | 50 | 42 | ||||||
4.500%, 05/01/2032 | 1,240 | 1,014 | ||||||
Charter Communications Operating | ||||||||
6.834%, 10/23/2055 | 70 | 68 | ||||||
6.484%, 10/23/2045 | 110 | 104 | ||||||
6.384%, 10/23/2035 | 10 | 10 | ||||||
5.750%, 04/01/2048 | 1,097 | 947 | ||||||
5.500%, 04/01/2063 | 320 | 260 | ||||||
5.375%, 04/01/2038 | 663 | 578 | ||||||
5.375%, 05/01/2047 | 191 | 158 | ||||||
5.250%, 04/01/2053 | 1,000 | 810 | ||||||
5.125%, 07/01/2049 | 160 | 127 | ||||||
4.908%, 07/23/2025 | 1,924 | 1,905 | ||||||
4.800%, 03/01/2050 | 3,110 | 2,370 | ||||||
4.400%, 04/01/2033 | 800 | 710 | ||||||
4.200%, 03/15/2028 | 1,263 | 1,195 | ||||||
3.750%, 02/15/2028 | 85 | 79 | ||||||
3.500%, 06/01/2041 | 159 | 109 | ||||||
3.500%, 03/01/2042 | 1,180 | 797 | ||||||
Comcast | ||||||||
7.050%, 03/15/2033 | 90 | 107 | ||||||
6.500%, 11/15/2035 (E) | 97 | 111 | ||||||
5.500%, 11/15/2032 | 562 | 599 | ||||||
5.350%, 11/15/2027 | 608 | 633 | ||||||
4.950%, 10/15/2058 | 60 | 58 | ||||||
4.400%, 08/15/2035 | 1,770 | 1,713 | ||||||
4.250%, 10/15/2030 | 730 | 715 | ||||||
4.200%, 08/15/2034 | 220 | 211 | ||||||
4.150%, 10/15/2028 | 2,220 | 2,196 | ||||||
4.000%, 08/15/2047 | 90 | 76 | ||||||
4.000%, 03/01/2048 | 70 | 59 | ||||||
3.999%, 11/01/2049 | 259 | 217 | ||||||
3.969%, 11/01/2047 | 418 | 351 | ||||||
3.950%, 10/15/2025 | 90 | 89 | ||||||
3.750%, 04/01/2040 | 200 | 172 | ||||||
3.450%, 02/01/2050 | 140 | 108 | ||||||
3.400%, 04/01/2030 | 755 | 706 | ||||||
3.400%, 07/15/2046 | 60 | 47 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
3.300%, 04/01/2027 | $ | 190 | $ | 183 | ||||
3.250%, 11/01/2039 | 60 | 49 | ||||||
3.150%, 03/01/2026 | 390 | 378 | ||||||
2.987%, 11/01/2063 | 346 | 224 | ||||||
2.937%, 11/01/2056 | 533 | 355 | ||||||
2.887%, 11/01/2051 | 410 | 280 | ||||||
2.800%, 01/15/2051 | 280 | 189 | ||||||
1.500%, 02/15/2031 | 1,420 | 1,140 | ||||||
Discovery Communications | ||||||||
4.000%, 09/15/2055 | 324 | 215 | ||||||
DISH DBS | ||||||||
7.750%, 07/01/2026 | 120 | 79 | ||||||
5.875%, 11/15/2024 | 410 | 366 | ||||||
5.750%, 12/01/2028 (D) | 30 | 22 | ||||||
5.250%, 12/01/2026 (D) | 170 | 136 | ||||||
5.125%, 06/01/2029 | 280 | 149 | ||||||
Fox | ||||||||
5.476%, 01/25/2039 | 520 | 498 | ||||||
Meta Platforms | ||||||||
4.450%, 08/15/2052 | 620 | 545 | ||||||
NTT Finance | ||||||||
1.162%, 04/03/2026 (D)(E) | 2,250 | 2,033 | ||||||
Paramount Global | ||||||||
6.875%, 04/30/2036 (E) | 620 | 630 | ||||||
5.900%, 10/15/2040 (E) | 455 | 405 | ||||||
4.950%, 05/19/2050 | 368 | 276 | ||||||
4.750%, 05/15/2025 | 457 | 451 | ||||||
SES GLOBAL Americas Holdings | ||||||||
5.300%, 03/25/2044 (D) | 1,200 | 944 | ||||||
Sprint Spectrum | ||||||||
5.152%, 03/20/2028 (D) | 3,552 | 3,529 | ||||||
4.738%, 03/20/2025 (D) | 3,143 | 3,119 | ||||||
Take-Two Interactive Software | ||||||||
4.000%, 04/14/2032 (E) | 1,265 | 1,162 | ||||||
Telefonica Emisiones | ||||||||
5.213%, 03/08/2047 | 150 | 131 | ||||||
T-Mobile USA | ||||||||
5.650%, 01/15/2053 | 660 | 676 | ||||||
5.050%, 07/15/2033 | 759 | 763 | ||||||
4.950%, 03/15/2028 | 614 | 620 | ||||||
4.500%, 04/15/2050 | 600 | 522 | ||||||
3.875%, 04/15/2030 | 4,485 | 4,208 | ||||||
3.750%, 04/15/2027 | 2,195 | 2,110 | ||||||
3.500%, 04/15/2025 | 1,910 | 1,857 | ||||||
3.500%, 04/15/2031 | 794 | 714 | ||||||
3.400%, 10/15/2052 | 1,230 | 885 | ||||||
3.375%, 04/15/2029 | 270 | 246 | ||||||
2.875%, 02/15/2031 | 366 | 316 | ||||||
2.700%, 03/15/2032 | 70 | 59 | ||||||
2.625%, 02/15/2029 | 330 | 291 | ||||||
2.550%, 02/15/2031 | 3,058 | 2,592 | ||||||
2.250%, 02/15/2026 | 746 | 694 |
114
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
1.500%, 02/15/2026 | $ | 205 | $ | 187 | ||||
Verizon Communications | ||||||||
5.500%, 03/16/2047 | 60 | 60 | ||||||
5.250%, 03/16/2037 (E) | 805 | 827 | ||||||
4.862%, 08/21/2046 | 470 | 448 | ||||||
4.500%, 08/10/2033 | 740 | 715 | ||||||
4.400%, 11/01/2034 | 2,062 | 1,960 | ||||||
4.329%, 09/21/2028 | 1,106 | 1,093 | ||||||
4.272%, 01/15/2036 | 78 | 72 | ||||||
4.125%, 08/15/2046 | 320 | 273 | ||||||
4.016%, 12/03/2029 | 714 | 684 | ||||||
4.000%, 03/22/2050 | 170 | 142 | ||||||
3.875%, 02/08/2029 | 210 | 203 | ||||||
3.875%, 03/01/2052 (E) | 307 | 248 | ||||||
3.850%, 11/01/2042 | 610 | 510 | ||||||
3.700%, 03/22/2061 | 195 | 145 | ||||||
3.550%, 03/22/2051 | 960 | 733 | ||||||
3.400%, 03/22/2041 | 130 | 103 | ||||||
3.150%, 03/22/2030 | 360 | 328 | ||||||
3.000%, 03/22/2027 | 140 | 133 | ||||||
2.875%, 11/20/2050 | 1,420 | 945 | ||||||
2.650%, 11/20/2040 | 1,338 | 955 | ||||||
2.625%, 08/15/2026 | 1,000 | 945 | ||||||
2.550%, 03/21/2031 | 1,160 | 988 | ||||||
2.355%, 03/15/2032 | 1,982 | 1,626 | ||||||
2.100%, 03/22/2028 | 400 | 356 | ||||||
1.750%, 01/20/2031 | 410 | 331 | ||||||
Vmed O2 UK Financing I | ||||||||
4.750%, 07/15/2031 (D) | 630 | 540 | ||||||
Vodafone Group | ||||||||
4.875%, 06/19/2049 | 1,544 | 1,395 | ||||||
Walt Disney | ||||||||
6.650%, 11/15/2037 | 235 | 279 | ||||||
6.200%, 12/15/2034 | 65 | 74 | ||||||
4.625%, 03/23/2040 | 615 | 601 | ||||||
3.500%, 05/13/2040 | 665 | 565 | ||||||
Warnermedia Holdings | ||||||||
6.412%, 03/15/2026 | 390 | 392 | ||||||
5.391%, 03/15/2062 (D) | 380 | 307 | ||||||
5.141%, 03/15/2052 (D) | 9,370 | 7,592 | ||||||
5.050%, 03/15/2042 (D) | 3,307 | 2,766 | ||||||
4.279%, 03/15/2032 (D) | 2,040 | 1,821 | ||||||
4.054%, 03/15/2029 (D)(E) | 925 | 861 | ||||||
3.755%, 03/15/2027 (D) | 200 | 188 | ||||||
100,306 | ||||||||
Consumer Discretionary — 1.4% | ||||||||
ADT Security | ||||||||
4.125%, 08/01/2029 (D) | 20 | 18 | ||||||
Amazon.com | ||||||||
4.950%, 12/05/2044 | 500 | 515 | ||||||
4.250%, 08/22/2057 | 110 | 100 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.050%, 08/22/2047 | $ | 380 | $ | 345 | ||||
3.875%, 08/22/2037 | 1,290 | 1,200 | ||||||
3.600%, 04/13/2032 | 1,240 | 1,178 | ||||||
3.450%, 04/13/2029 | 310 | 298 | ||||||
3.300%, 04/13/2027 | 150 | 145 | ||||||
3.150%, 08/22/2027 | 680 | 655 | ||||||
2.800%, 08/22/2024 | 245 | 240 | ||||||
2.500%, 06/03/2050 | 550 | 373 | ||||||
2.100%, 05/12/2031 | 300 | 256 | ||||||
1.500%, 06/03/2030 | 350 | 291 | ||||||
1.200%, 06/03/2027 | 672 | 597 | ||||||
0.800%, 06/03/2025 | 560 | 521 | ||||||
BMW US Capital | ||||||||
3.800%, 04/06/2023 (D) | 420 | 420 | ||||||
Comcast | ||||||||
4.049%, 11/01/2052 | 298 | 251 | ||||||
Cox Communications | ||||||||
2.600%, 06/15/2031 (D) | 915 | 756 | ||||||
CSC Holdings | ||||||||
4.500%, 11/15/2031 (D) | 1,200 | 865 | ||||||
4.125%, 12/01/2030 (D) | 590 | 424 | ||||||
3.375%, 02/15/2031 (D) | 200 | 138 | ||||||
Ford Motor | ||||||||
6.100%, 08/19/2032 | 380 | 368 | ||||||
5.291%, 12/08/2046 | 99 | 81 | ||||||
4.750%, 01/15/2043 | 59 | 45 | ||||||
3.250%, 02/12/2032 | 480 | 378 | ||||||
Ford Motor Credit | ||||||||
7.350%, 03/06/2030 | 1,170 | 1,202 | ||||||
5.125%, 06/16/2025 | 400 | 392 | ||||||
5.113%, 05/03/2029 | 420 | 394 | ||||||
4.950%, 05/28/2027 | 850 | 811 | ||||||
4.125%, 08/17/2027 | 200 | 183 | ||||||
4.000%, 11/13/2030 | 470 | 399 | ||||||
3.815%, 11/02/2027 | 261 | 234 | ||||||
3.810%, 01/09/2024 | 300 | 296 | ||||||
3.625%, 06/17/2031 | 380 | 313 | ||||||
2.900%, 02/16/2028 | 200 | 172 | ||||||
2.900%, 02/10/2029 | 572 | 474 | ||||||
2.700%, 08/10/2026 | 321 | 286 | ||||||
General Motors | ||||||||
6.600%, 04/01/2036 | 40 | 41 | ||||||
6.250%, 10/02/2043 | 260 | 250 | ||||||
6.125%, 10/01/2025 | 320 | 326 | ||||||
5.950%, 04/01/2049 | 80 | 74 | ||||||
5.600%, 10/15/2032 | 150 | 147 | ||||||
5.400%, 10/15/2029 | 537 | 532 | ||||||
5.200%, 04/01/2045 | 247 | 208 | ||||||
5.150%, 04/01/2038 | 240 | 217 | ||||||
General Motors Financial | ||||||||
5.000%, 04/09/2027 | 180 | 178 | ||||||
4.350%, 01/17/2027 | 110 | 106 |
SEI Institutional Managed Trust
115
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.250%, 05/15/2023 | $ | 110 | $ | 110 | ||||
4.150%, 06/19/2023 | 83 | 83 | ||||||
3.100%, 01/12/2032 | 298 | 243 | ||||||
Hanesbrands | ||||||||
4.875%, 05/15/2026 (D) | 210 | 199 | ||||||
Harley-Davidson Financial Services | ||||||||
6.500%, 03/10/2028 (D) | 917 | 927 | ||||||
Hilton Domestic Operating | ||||||||
5.750%, 05/01/2028 (D) | 150 | 150 | ||||||
5.375%, 05/01/2025 (D) | 460 | 459 | ||||||
Home Depot | ||||||||
4.250%, 04/01/2046 | 48 | 44 | ||||||
3.900%, 12/06/2028 | 40 | 39 | ||||||
3.900%, 06/15/2047 | 60 | 52 | ||||||
3.750%, 02/15/2024 | 66 | 65 | ||||||
3.625%, 04/15/2052 | 275 | 221 | ||||||
3.350%, 04/15/2050 | 710 | 549 | ||||||
3.300%, 04/15/2040 | 464 | 386 | ||||||
3.125%, 12/15/2049 | 536 | 396 | ||||||
2.700%, 04/15/2030 | 320 | 289 | ||||||
2.500%, 04/15/2027 | 280 | 263 | ||||||
2.375%, 03/15/2051 | 442 | 278 | ||||||
Hyundai Capital America | ||||||||
5.600%, 03/30/2028 (D) | 608 | 609 | ||||||
5.500%, 03/30/2026 (D) | 912 | 913 | ||||||
Hyundai Capital America MTN | ||||||||
1.300%, 01/08/2026 (D) | 583 | 524 | ||||||
0.800%, 01/08/2024 (D) | 243 | 234 | ||||||
Las Vegas Sands | ||||||||
3.200%, 08/08/2024 | 1,980 | 1,916 | ||||||
2.900%, 06/25/2025 | 210 | 199 | ||||||
Lennar | ||||||||
4.750%, 11/29/2027 | 410 | 406 | ||||||
4.500%, 04/30/2024 | 140 | 138 | ||||||
Lowe's | ||||||||
5.850%, 04/01/2063 | 152 | 154 | ||||||
5.750%, 07/01/2053 | 152 | 155 | ||||||
5.625%, 04/15/2053 (E) | 744 | 746 | ||||||
5.150%, 07/01/2033 | 836 | 844 | ||||||
5.000%, 04/15/2040 | 725 | 690 | ||||||
4.500%, 04/15/2030 | 200 | 198 | ||||||
4.250%, 04/01/2052 | 580 | 476 | ||||||
McDonald's MTN | ||||||||
4.875%, 12/09/2045 | 260 | 252 | ||||||
4.450%, 03/01/2047 | 240 | 220 | ||||||
4.450%, 09/01/2048 | 72 | 67 | ||||||
4.200%, 04/01/2050 | 530 | 467 | ||||||
3.800%, 04/01/2028 | 170 | 167 | ||||||
3.700%, 01/30/2026 | 220 | 216 | ||||||
3.625%, 09/01/2049 | 180 | 144 | ||||||
3.600%, 07/01/2030 | 290 | 275 | ||||||
3.500%, 03/01/2027 | 510 | 494 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
3.500%, 07/01/2027 | $ | 200 | $ | 194 | ||||
3.300%, 07/01/2025 | 320 | 313 | ||||||
1.450%, 09/01/2025 | 80 | 75 | ||||||
MDC Holdings | ||||||||
6.000%, 01/15/2043 | 30 | 26 | ||||||
Mercedes-Benz Finance North America | ||||||||
4.800%, 03/30/2028 (D) | 728 | 730 | ||||||
2.700%, 06/14/2024 (D) | 595 | 580 | ||||||
0.750%, 03/01/2024 (D) | 980 | 941 | ||||||
Newell Brands | ||||||||
4.700%, 04/01/2026 | 110 | 106 | ||||||
NIKE | ||||||||
3.375%, 03/27/2050 (E) | 520 | 428 | ||||||
3.250%, 03/27/2040 | 210 | 177 | ||||||
2.850%, 03/27/2030 | 150 | 138 | ||||||
2.750%, 03/27/2027 | 410 | 389 | ||||||
2.400%, 03/27/2025 | 260 | 252 | ||||||
Nissan Motor | ||||||||
4.345%, 09/17/2027 (D) | 1,100 | 1,038 | ||||||
3.522%, 09/17/2025 (D) | 1,190 | 1,127 | ||||||
3.043%, 09/15/2023 (D) | 580 | 571 | ||||||
Sands China | ||||||||
5.900%, 08/08/2028 | 320 | 304 | ||||||
5.625%, 08/08/2025 | 1,580 | 1,538 | ||||||
4.300%, 01/08/2026 | 420 | 393 | ||||||
3.350%, 03/08/2029 | 690 | 573 | ||||||
2.800%, 03/08/2027 | 460 | 394 | ||||||
Starbucks | ||||||||
3.500%, 11/15/2050 (E) | 435 | 337 | ||||||
3.350%, 03/12/2050 | 120 | 90 | ||||||
Target | ||||||||
2.250%, 04/15/2025 | 450 | 432 | ||||||
Time Warner Cable | ||||||||
7.300%, 07/01/2038 | 530 | 550 | ||||||
6.750%, 06/15/2039 | 10 | 10 | ||||||
6.550%, 05/01/2037 | 268 | 264 | ||||||
5.875%, 11/15/2040 (E) | 1,405 | 1,273 | ||||||
5.500%, 09/01/2041 | 1,599 | 1,382 | ||||||
Time Warner Entertainment | ||||||||
8.375%, 07/15/2033 | 270 | 307 | ||||||
Toll Brothers Finance | ||||||||
4.375%, 04/15/2023 | 120 | 120 | ||||||
Virgin Media Secured Finance | ||||||||
5.500%, 05/15/2029 (D) | 250 | 233 | ||||||
VOC Escrow | ||||||||
5.000%, 02/15/2028 (D) | 380 | 337 | ||||||
Volkswagen Group of America Finance | ||||||||
1.250%, 11/24/2025 (D)(E) | 1,345 | 1,224 | ||||||
0.875%, 11/22/2023 (D) | 1,055 | 1,026 | ||||||
Wynn Macau | ||||||||
5.625%, 08/26/2028 (D) | 500 | 425 | ||||||
5.125%, 12/15/2029 (D)(E) | 200 | 164 |
116
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Wynn Resorts Finance | ||||||||
7.125%, 02/15/2031 (D)(E) | $ | 310 | $ | 315 | ||||
5.125%, 10/01/2029 (D) | 30 | 27 | ||||||
51,753 | ||||||||
Consumer Staples — 1.7% | ||||||||
Alimentation Couche-Tard | ||||||||
3.550%, 07/26/2027 (D) | 360 | 338 | ||||||
Altria Group | ||||||||
6.200%, 02/14/2059 | 76 | 74 | ||||||
5.950%, 02/14/2049 | 960 | 908 | ||||||
5.800%, 02/14/2039 | 630 | 615 | ||||||
4.800%, 02/14/2029 | 28 | 28 | ||||||
4.400%, 02/14/2026 | 514 | 510 | ||||||
3.875%, 09/16/2046 | 240 | 173 | ||||||
3.400%, 02/04/2041 | 600 | 424 | ||||||
2.450%, 02/04/2032 | 770 | 606 | ||||||
2.350%, 05/06/2025 | 130 | 123 | ||||||
Anheuser-Busch | ||||||||
4.900%, 02/01/2046 | 4,114 | 4,021 | ||||||
4.700%, 02/01/2036 | 1,703 | 1,696 | ||||||
3.650%, 02/01/2026 | 1,135 | 1,114 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
5.550%, 01/23/2049 | 475 | 509 | ||||||
5.450%, 01/23/2039 | 645 | 677 | ||||||
4.750%, 01/23/2029 | 120 | 122 | ||||||
4.600%, 04/15/2048 | 59 | 56 | ||||||
4.375%, 04/15/2038 | 819 | 778 | ||||||
4.350%, 06/01/2040 | 560 | 520 | ||||||
4.000%, 04/13/2028 | 160 | 158 | ||||||
3.500%, 06/01/2030 | 200 | 189 | ||||||
Bacardi | ||||||||
4.450%, 05/15/2025 (D) | 1,840 | 1,811 | ||||||
BAT Capital | ||||||||
5.650%, 03/16/2052 (E) | 695 | 610 | ||||||
5.282%, 04/02/2050 | 1,260 | 1,035 | ||||||
4.540%, 08/15/2047 | 2,583 | 1,923 | ||||||
4.390%, 08/15/2037 | 61 | 50 | ||||||
3.734%, 09/25/2040 | 10 | 7 | ||||||
3.557%, 08/15/2027 | 3,000 | 2,789 | ||||||
3.222%, 08/15/2024 | 167 | 162 | ||||||
Bunge Finance | ||||||||
1.630%, 08/17/2025 | 317 | 293 | ||||||
Cargill | ||||||||
1.375%, 07/23/2023 (D) | 440 | 435 | ||||||
Coca-Cola | ||||||||
3.375%, 03/25/2027 | 380 | 374 | ||||||
2.600%, 06/01/2050 | 190 | 136 | ||||||
2.500%, 06/01/2040 | 20 | 15 | ||||||
1.450%, 06/01/2027 | 490 | 445 | ||||||
Constellation Brands | ||||||||
4.400%, 11/15/2025 | 415 | 409 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.350%, 05/09/2027 | $ | 320 | $ | 316 | ||||
3.600%, 05/09/2024 | 230 | 227 | ||||||
2.250%, 08/01/2031 | 80 | 66 | ||||||
Costco Wholesale | ||||||||
3.000%, 05/18/2027 (E) | 284 | 274 | ||||||
2.750%, 05/18/2024 | 183 | 180 | ||||||
1.600%, 04/20/2030 | 450 | 382 | ||||||
1.375%, 06/20/2027 | 780 | 699 | ||||||
CVS Health | ||||||||
4.875%, 07/20/2035 | 90 | 88 | ||||||
Danone | ||||||||
2.589%, 11/02/2023 (D) | 1,370 | 1,349 | ||||||
Diageo Capital | ||||||||
5.500%, 01/24/2033 | 1,010 | 1,093 | ||||||
Haleon US Capital | ||||||||
3.625%, 03/24/2032 | 490 | 445 | ||||||
3.375%, 03/24/2027 | 410 | 389 | ||||||
3.375%, 03/24/2029 | 575 | 530 | ||||||
Hershey | ||||||||
0.900%, 06/01/2025 | 130 | 120 | ||||||
Imperial Brands Finance | ||||||||
3.500%, 07/26/2026 (D) | 635 | 595 | ||||||
3.125%, 07/26/2024 (D) | 2,250 | 2,179 | ||||||
JBS USA LUX | ||||||||
6.500%, 12/01/2052 (D)(E) | 2,115 | 2,008 | ||||||
3.000%, 02/02/2029 (D) | 1,205 | 1,026 | ||||||
3.000%, 05/15/2032 (D) | 1,520 | 1,190 | ||||||
Kenvue | ||||||||
5.200%, 03/22/2063 (D) | 153 | 159 | ||||||
5.050%, 03/22/2028 (D) | 611 | 631 | ||||||
5.050%, 03/22/2053 (D) | 381 | 393 | ||||||
4.900%, 03/22/2033 (D) | 1,930 | 1,994 | ||||||
Kraft Heinz Foods | ||||||||
7.125%, 08/01/2039 (D) | 10 | 11 | ||||||
6.875%, 01/26/2039 | 40 | 45 | ||||||
6.750%, 03/15/2032 | 10 | 11 | ||||||
5.500%, 06/01/2050 | 220 | 223 | ||||||
5.200%, 07/15/2045 | 360 | 349 | ||||||
5.000%, 06/04/2042 | 1,250 | 1,199 | ||||||
4.875%, 10/01/2049 | 1,225 | 1,138 | ||||||
4.625%, 10/01/2039 | 10 | 9 | ||||||
4.375%, 06/01/2046 | 160 | 139 | ||||||
4.250%, 03/01/2031 | 110 | 107 | ||||||
3.000%, 06/01/2026 | 380 | 363 | ||||||
Mars | ||||||||
3.200%, 04/01/2030 (D) | 210 | 193 | ||||||
2.700%, 04/01/2025 (D) | 370 | 356 | ||||||
2.375%, 07/16/2040 (D) | 300 | 217 | ||||||
Mondelez International | ||||||||
1.500%, 05/04/2025 | 660 | 618 | ||||||
Nestle Holdings | ||||||||
5.000%, 03/14/2028 (D) | 765 | 795 |
SEI Institutional Managed Trust
117
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.950%, 03/14/2030 (D) | $ | 280 | $ | 291 | ||||
PepsiCo | ||||||||
4.650%, 02/15/2053 | 460 | 472 | ||||||
4.450%, 05/15/2028 | 153 | 156 | ||||||
2.875%, 10/15/2049 | 60 | 46 | ||||||
2.625%, 03/19/2027 | 50 | 47 | ||||||
2.250%, 03/19/2025 | 50 | 48 | ||||||
1.625%, 05/01/2030 | 440 | 372 | ||||||
0.750%, 05/01/2023 | 530 | 528 | ||||||
Philip Morris International | ||||||||
5.750%, 11/17/2032 | 156 | 164 | ||||||
5.375%, 02/15/2033 | 666 | 680 | ||||||
5.125%, 11/17/2027 | 978 | 1,001 | ||||||
5.125%, 02/15/2030 | 1,751 | 1,774 | ||||||
5.000%, 11/17/2025 | 653 | 658 | ||||||
4.875%, 02/13/2026 | 498 | 502 | ||||||
4.875%, 02/15/2028 | 1,330 | 1,342 | ||||||
4.500%, 03/20/2042 | 130 | 113 | ||||||
2.100%, 05/01/2030 | 290 | 241 | ||||||
1.125%, 05/01/2023 | 280 | 279 | ||||||
Pilgrim's Pride | ||||||||
3.500%, 03/01/2032 | 350 | 285 | ||||||
Procter & Gamble | ||||||||
3.000%, 03/25/2030 | 240 | 225 | ||||||
2.800%, 03/25/2027 | 80 | 76 | ||||||
Reckitt Benckiser Treasury Services | ||||||||
2.750%, 06/26/2024 (D) | 1,505 | 1,466 | ||||||
Reynolds American | ||||||||
8.125%, 05/01/2040 | 570 | 648 | ||||||
7.250%, 06/15/2037 | 390 | 424 | ||||||
5.850%, 08/15/2045 | 3,140 | 2,831 | ||||||
Target | ||||||||
4.800%, 01/15/2053 | 615 | 604 | ||||||
4.400%, 01/15/2033 | 829 | 824 | ||||||
Walmart | ||||||||
3.300%, 04/22/2024 | 60 | 59 | ||||||
1.800%, 09/22/2031 | 110 | 93 | ||||||
1.500%, 09/22/2028 | 230 | 202 | ||||||
62,690 | ||||||||
Energy — 2.8% | ||||||||
Aker BP | ||||||||
4.000%, 01/15/2031 (D) | 369 | 335 | ||||||
3.100%, 07/15/2031 (D) | 934 | 790 | ||||||
Apache | ||||||||
7.750%, 12/15/2029 | 140 | 147 | ||||||
5.350%, 07/01/2049 | 230 | 178 | ||||||
5.250%, 02/01/2042 | 90 | 75 | ||||||
5.100%, 09/01/2040 | 205 | 174 | ||||||
4.750%, 04/15/2043 (E) | 390 | 293 | ||||||
4.250%, 01/15/2044 | 890 | 649 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
BP Capital Markets America | ||||||||
4.812%, 02/13/2033 | $ | 2,820 | $ | 2,863 | ||||
3.633%, 04/06/2030 | 320 | 304 | ||||||
3.410%, 02/11/2026 | 1,110 | 1,082 | ||||||
3.119%, 05/04/2026 | 230 | 221 | ||||||
3.000%, 02/24/2050 | 940 | 665 | ||||||
Cameron LNG | ||||||||
3.302%, 01/15/2035 (D) | 660 | 568 | ||||||
2.902%, 07/15/2031 (D) | 140 | 124 | ||||||
Canadian Natural Resources | ||||||||
6.450%, 06/30/2033 | 50 | 52 | ||||||
Cheniere Corpus Christi Holdings | ||||||||
3.700%, 11/15/2029 | 938 | 863 | ||||||
Cheniere Energy | ||||||||
4.625%, 10/15/2028 | 260 | 247 | ||||||
Cheniere Energy Partners | ||||||||
4.000%, 03/01/2031 | 100 | 89 | ||||||
3.250%, 01/31/2032 | 530 | 438 | ||||||
Chevron | ||||||||
2.895%, 03/03/2024 | 560 | 550 | ||||||
1.995%, 05/11/2027 | 180 | 165 | ||||||
1.554%, 05/11/2025 | 520 | 490 | ||||||
Chevron USA | ||||||||
3.850%, 01/15/2028 | 200 | 197 | ||||||
3.250%, 10/15/2029 | 50 | 47 | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/2031 | 180 | 210 | ||||||
ConocoPhillips | ||||||||
5.900%, 10/15/2032 | 10 | 11 | ||||||
5.900%, 05/15/2038 | 420 | 456 | ||||||
4.150%, 11/15/2034 | 280 | 255 | ||||||
Continental Resources | ||||||||
5.750%, 01/15/2031 (D) | 370 | 356 | ||||||
4.900%, 06/01/2044 | 80 | 62 | ||||||
4.500%, 04/15/2023 | 250 | 250 | ||||||
4.375%, 01/15/2028 | 520 | 490 | ||||||
3.800%, 06/01/2024 | 200 | 196 | ||||||
2.268%, 11/15/2026 (D) | 2,070 | 1,838 | ||||||
Coterra Energy | ||||||||
4.375%, 03/15/2029 | 780 | 741 | ||||||
3.900%, 05/15/2027 | 970 | 926 | ||||||
DCP Midstream Operating | ||||||||
6.450%, 11/03/2036 (D) | 110 | 114 | ||||||
Devon Energy | ||||||||
8.250%, 08/01/2023 | 50 | 50 | ||||||
7.875%, 09/30/2031 | 660 | 754 | ||||||
5.875%, 06/15/2028 | 40 | 41 | ||||||
5.850%, 12/15/2025 | 50 | 51 | ||||||
5.600%, 07/15/2041 (E) | 920 | 881 | ||||||
5.250%, 10/15/2027 | 46 | 46 | ||||||
5.000%, 06/15/2045 | 1,232 | 1,095 | ||||||
4.750%, 05/15/2042 | 187 | 163 |
118
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.500%, 01/15/2030 | $ | 304 | $ | 290 | ||||
Diamondback Energy | ||||||||
6.250%, 03/15/2033 | 1,430 | 1,511 | ||||||
3.500%, 12/01/2029 | 500 | 457 | ||||||
3.250%, 12/01/2026 | 30 | 29 | ||||||
Ecopetrol | ||||||||
5.875%, 05/28/2045 (E) | 1,276 | 886 | ||||||
5.375%, 06/26/2026 | 200 | 191 | ||||||
4.625%, 11/02/2031 | 160 | 123 | ||||||
Enbridge | ||||||||
5.700%, 03/08/2033 | 925 | 962 | ||||||
Energy Transfer | ||||||||
8.892%, ICE LIBOR USD 3 Month + 4.028%(B)(F) | 90 | 80 | ||||||
7.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.306%(B)(F) | 580 | 488 | ||||||
6.750%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.134%(B)(F) | 500 | 440 | ||||||
6.500%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.694%(B)(F) | 200 | 176 | ||||||
6.250%, 04/15/2049 | 130 | 129 | ||||||
6.125%, 12/15/2045 | 246 | 238 | ||||||
5.750%, 02/15/2033 | 1,118 | 1,145 | ||||||
5.500%, 06/01/2027 | 118 | 119 | ||||||
5.400%, 10/01/2047 | 2,160 | 1,920 | ||||||
5.350%, 05/15/2045 | 465 | 411 | ||||||
5.300%, 04/01/2044 | 640 | 566 | ||||||
5.300%, 04/15/2047 | 795 | 697 | ||||||
5.250%, 04/15/2029 | 1,165 | 1,161 | ||||||
5.150%, 03/15/2045 | 414 | 360 | ||||||
5.000%, 05/15/2050 | 1,405 | 1,199 | ||||||
4.950%, 05/15/2028 | 1,017 | 1,002 | ||||||
4.950%, 06/15/2028 | 180 | 179 | ||||||
4.500%, 11/01/2023 | 690 | 684 | ||||||
4.400%, 03/15/2027 | 136 | 132 | ||||||
4.000%, 10/01/2027 | 600 | 572 | ||||||
3.750%, 05/15/2030 | 1,250 | 1,154 | ||||||
Enterprise Products Operating | ||||||||
7.550%, 04/15/2038 | 40 | 47 | ||||||
5.700%, 02/15/2042 | 40 | 41 | ||||||
5.375%, ICE LIBOR USD 3 Month + 2.570%, 02/15/2078 (B) | 150 | 120 | ||||||
5.350%, 01/31/2033 | 900 | 932 | ||||||
4.850%, 03/15/2044 | 430 | 399 | ||||||
4.800%, 02/01/2049 | 60 | 55 | ||||||
4.200%, 01/31/2050 | 120 | 102 | ||||||
4.150%, 10/16/2028 | 1,605 | 1,560 | ||||||
3.950%, 01/31/2060 | 220 | 172 | ||||||
3.700%, 01/31/2051 | 270 | 209 | ||||||
3.125%, 07/31/2029 | 170 | 156 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.800%, 01/31/2030 | $ | 540 | $ | 479 | ||||
EOG Resources | ||||||||
4.950%, 04/15/2050 | 450 | 453 | ||||||
4.375%, 04/15/2030 | 120 | 120 | ||||||
4.150%, 01/15/2026 | 340 | 337 | ||||||
3.900%, 04/01/2035 | 390 | 357 | ||||||
EQM Midstream Partners | ||||||||
5.500%, 07/15/2028 | 30 | 27 | ||||||
EQT | ||||||||
6.125%, 02/01/2025 | 30 | 30 | ||||||
5.000%, 01/15/2029 | 150 | 142 | ||||||
3.900%, 10/01/2027 | 1,020 | 959 | ||||||
3.625%, 05/15/2031 (D) | 320 | 278 | ||||||
3.125%, 05/15/2026 (D) | 10 | 9 | ||||||
Equinor | ||||||||
3.000%, 04/06/2027 | 260 | 247 | ||||||
2.875%, 04/06/2025 | 1,685 | 1,633 | ||||||
Exxon Mobil | ||||||||
4.327%, 03/19/2050 | 1,077 | 994 | ||||||
4.114%, 03/01/2046 | 533 | 480 | ||||||
3.482%, 03/19/2030 | 460 | 439 | ||||||
3.452%, 04/15/2051 | 974 | 776 | ||||||
3.043%, 03/01/2026 | 660 | 641 | ||||||
2.992%, 03/19/2025 | 1,240 | 1,207 | ||||||
1.571%, 04/15/2023 | 50 | 50 | ||||||
Galaxy Pipeline Assets Bidco | ||||||||
2.940%, 09/30/2040 (D) | 248 | 200 | ||||||
2.625%, 03/31/2036 (D) | 458 | 376 | ||||||
2.160%, 03/31/2034 (D) | 639 | 549 | ||||||
1.750%, 09/30/2027 (D) | 1,201 | 1,117 | ||||||
Halliburton | ||||||||
5.000%, 11/15/2045 | 80 | 73 | ||||||
4.850%, 11/15/2035 | 60 | 58 | ||||||
3.800%, 11/15/2025 | 17 | 16 | ||||||
Hess | ||||||||
6.000%, 01/15/2040 | 880 | 888 | ||||||
5.800%, 04/01/2047 | 770 | 754 | ||||||
5.600%, 02/15/2041 | 860 | 829 | ||||||
HF Sinclair | ||||||||
5.875%, 04/01/2026 (E) | 620 | 627 | ||||||
KazMunayGas National JSC | ||||||||
5.750%, 04/19/2047 (D) | 340 | 265 | ||||||
Kinder Morgan | ||||||||
5.550%, 06/01/2045 | 300 | 284 | ||||||
5.200%, 06/01/2033 | 190 | 189 | ||||||
5.200%, 03/01/2048 | 455 | 407 | ||||||
5.050%, 02/15/2046 | 170 | 150 | ||||||
4.300%, 06/01/2025 (E) | 510 | 502 | ||||||
4.300%, 03/01/2028 | 150 | 147 | ||||||
Kinder Morgan Energy Partners | ||||||||
5.500%, 03/01/2044 | 415 | 390 | ||||||
5.400%, 09/01/2044 | 20 | 18 |
SEI Institutional Managed Trust
119
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
MEG Energy | ||||||||
5.875%, 02/01/2029 (D) | $ | 80 | $ | 77 | ||||
MPLX | ||||||||
5.650%, 03/01/2053 | 155 | 149 | ||||||
5.500%, 02/15/2049 | 390 | 363 | ||||||
5.000%, 03/01/2033 | 924 | 904 | ||||||
4.950%, 03/14/2052 | 1,575 | 1,369 | ||||||
4.875%, 12/01/2024 | 320 | 318 | ||||||
4.800%, 02/15/2029 | 330 | 327 | ||||||
4.700%, 04/15/2048 | 430 | 361 | ||||||
4.500%, 04/15/2038 | 520 | 462 | ||||||
Northwest Pipeline | ||||||||
4.000%, 04/01/2027 | 219 | 212 | ||||||
Occidental Petroleum | ||||||||
7.875%, 09/15/2031 | 610 | 685 | ||||||
7.500%, 05/01/2031 | 870 | 960 | ||||||
6.950%, 07/01/2024 | 136 | 138 | ||||||
6.600%, 03/15/2046 | 360 | 378 | ||||||
6.450%, 09/15/2036 | 280 | 294 | ||||||
5.550%, 03/15/2026 | 110 | 111 | ||||||
4.625%, 06/15/2045 | 280 | 224 | ||||||
4.400%, 04/15/2046 | 120 | 95 | ||||||
4.200%, 03/15/2048 | 170 | 132 | ||||||
4.100%, 02/15/2047 (E) | 600 | 456 | ||||||
3.400%, 04/15/2026 | 270 | 254 | ||||||
3.000%, 02/15/2027 (E) | 300 | 274 | ||||||
Parsley Energy | ||||||||
4.125%, 02/15/2028 (D) | 60 | 56 | ||||||
Pertamina Persero | ||||||||
6.000%, 05/03/2042 (D) | 300 | 294 | ||||||
Petrobras Global Finance BV | ||||||||
6.850%, 06/05/2115 | 790 | 694 | ||||||
6.250%, 03/17/2024 | 1,394 | 1,394 | ||||||
5.299%, 01/27/2025 | 1,278 | 1,265 | ||||||
Petroleos Mexicanos | ||||||||
6.950%, 01/28/2060 | 780 | 504 | ||||||
6.375%, 01/23/2045 (E) | 1,105 | 698 | ||||||
5.625%, 01/23/2046 | 480 | 285 | ||||||
4.875%, 01/18/2024 | 32 | 32 | ||||||
2.460%, 12/15/2025 | 554 | 534 | ||||||
2.378%, 04/15/2025 | 254 | 247 | ||||||
Petroleos Mexicanos MTN | ||||||||
6.875%, 08/04/2026 | 120 | 114 | ||||||
6.750%, 09/21/2047 | 3,737 | 2,429 | ||||||
Phillips 66 | ||||||||
1.300%, 02/15/2026 | 405 | 367 | ||||||
Pioneer Natural Resources | ||||||||
2.150%, 01/15/2031 | 660 | 542 | ||||||
1.900%, 08/15/2030 | 240 | 196 | ||||||
1.125%, 01/15/2026 | 110 | 100 | ||||||
Plains All American Pipeline | ||||||||
3.550%, 12/15/2029 | 495 | 443 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Range Resources | ||||||||
4.875%, 05/15/2025 | $ | 120 | $ | 118 | ||||
Reliance Industries | �� | |||||||
3.625%, 01/12/2052 (D) | 870 | 614 | ||||||
2.875%, 01/12/2032 (D) | 320 | 266 | ||||||
Rockies Express Pipeline | ||||||||
6.875%, 04/15/2040 (D) | 830 | 692 | ||||||
4.950%, 07/15/2029 (D) | 1,600 | 1,425 | ||||||
Sabine Pass Liquefaction | ||||||||
5.750%, 05/15/2024 | 1,370 | 1,373 | ||||||
5.000%, 03/15/2027 | 1,265 | 1,261 | ||||||
4.500%, 05/15/2030 | 760 | 733 | ||||||
Saudi Arabian Oil | ||||||||
1.625%, 11/24/2025 (D) | 540 | 500 | ||||||
1.250%, 11/24/2023 (D) | 450 | 438 | ||||||
Schlumberger Holdings | ||||||||
3.900%, 05/17/2028 (D) | 475 | 457 | ||||||
Schlumberger Investment | ||||||||
3.650%, 12/01/2023 | 61 | 60 | ||||||
Shell International Finance BV | ||||||||
4.550%, 08/12/2043 (E) | 280 | 265 | ||||||
4.375%, 05/11/2045 | 470 | 434 | ||||||
4.125%, 05/11/2035 | 1,356 | 1,298 | ||||||
3.250%, 04/06/2050 | 840 | 640 | ||||||
2.875%, 05/10/2026 | 900 | 861 | ||||||
2.750%, 04/06/2030 | 440 | 401 | ||||||
Sinopec Group Overseas Development | ||||||||
4.375%, 04/10/2024 (D) | 1,240 | 1,232 | ||||||
Southern Natural Gas | ||||||||
8.000%, 03/01/2032 | 170 | 198 | ||||||
Southwestern Energy | ||||||||
5.375%, 02/01/2029 | 20 | 19 | ||||||
5.375%, 03/15/2030 | 80 | 75 | ||||||
4.750%, 02/01/2032 | 190 | 168 | ||||||
Tallgrass Energy Partners | ||||||||
6.000%, 12/31/2030 (D) | 20 | 18 | ||||||
Targa Resources | ||||||||
5.200%, 07/01/2027 | 540 | 535 | ||||||
4.200%, 02/01/2033 | 250 | 225 | ||||||
Targa Resources Partners | ||||||||
5.500%, 03/01/2030 | 293 | 286 | ||||||
5.000%, 01/15/2028 | 100 | 97 | ||||||
4.875%, 02/01/2031 | 1,019 | 953 | ||||||
4.000%, 01/15/2032 | 40 | 35 | ||||||
Tennessee Gas Pipeline | ||||||||
8.375%, 06/15/2032 | 1,140 | 1,331 | ||||||
2.900%, 03/01/2030 (D) | 1,560 | 1,352 | ||||||
TransCanada PipeLines | ||||||||
4.625%, 03/01/2034 | 860 | 808 | ||||||
Transcontinental Gas Pipe Line | ||||||||
7.850%, 02/01/2026 | 60 | 64 |
120
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Venture Global Calcasieu Pass | ||||||||
3.875%, 11/01/2033 (D) | $ | 290 | $ | 244 | ||||
Western Midstream Operating | ||||||||
5.500%, 08/15/2048 | 244 | 210 | ||||||
5.500%, 02/01/2050 | 210 | 178 | ||||||
5.300%, 03/01/2048 | 162 | 137 | ||||||
4.650%, 07/01/2026 | 40 | 39 | ||||||
4.500%, 03/01/2028 | 60 | 57 | ||||||
4.300%, 02/01/2030 | 1,200 | 1,092 | ||||||
3.350%, 02/01/2025 | 390 | 373 | ||||||
Williams | ||||||||
7.750%, 06/15/2031 | 841 | 939 | ||||||
7.500%, 01/15/2031 | 100 | 111 | ||||||
5.750%, 06/24/2044 | 51 | 50 | ||||||
5.400%, 03/04/2044 | 84 | 79 | ||||||
3.750%, 06/15/2027 | 1,044 | 1,002 | ||||||
101,663 | ||||||||
Financials — 11.5% | ||||||||
ABN AMRO Bank | ||||||||
4.750%, 07/28/2025 (D) | 360 | 347 | ||||||
AerCap Ireland Capital DAC | ||||||||
3.400%, 10/29/2033 | 540 | 438 | ||||||
Agree | ||||||||
4.800%, 10/01/2032 | 289 | 278 | ||||||
Ally Financial | ||||||||
1.450%, 10/02/2023 | 670 | 648 | ||||||
American Express | ||||||||
4.050%, 05/03/2029 | 770 | 750 | ||||||
3.950%, 08/01/2025 | 555 | 544 | ||||||
3.375%, 05/03/2024 | 480 | 471 | ||||||
American International Group | ||||||||
5.125%, 03/27/2033 | 700 | 696 | ||||||
3.900%, 04/01/2026 | 264 | 257 | ||||||
3.875%, 01/15/2035 | 210 | 187 | ||||||
2.500%, 06/30/2025 | 212 | 200 | ||||||
American Tower | ||||||||
3.125%, 01/15/2027 | 289 | 269 | ||||||
Antares Holdings | ||||||||
3.750%, 07/15/2027 (D) | 649 | 549 | ||||||
Aon | ||||||||
6.250%, 09/30/2040 | 19 | 20 | ||||||
5.350%, 02/28/2033 | 368 | 381 | ||||||
2.600%, 12/02/2031 | 2,080 | 1,745 | ||||||
Apollo Management Holdings | ||||||||
4.400%, 05/27/2026 (D) | 530 | 514 | ||||||
Arthur J Gallagher | ||||||||
5.750%, 03/02/2053 | 155 | 155 | ||||||
3.050%, 03/09/2052 | 1,370 | 890 | ||||||
Athene Global Funding | ||||||||
5.472%, SOFRINDX + 0.700%, 05/24/2024 (B)(D) | 2,025 | 1,993 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
3.205%, 03/08/2027 (D) | $ | 635 | $ | 584 | ||||
2.950%, 11/12/2026 (D) | 2,090 | 1,871 | ||||||
1.985%, 08/19/2028 (D) | 30 | 24 | ||||||
1.608%, 06/29/2026 (D) | 1,365 | 1,179 | ||||||
Athene Global Funding MTN | ||||||||
2.646%, 10/04/2031 (D) | 197 | 156 | ||||||
Athene Holding | ||||||||
4.125%, 01/12/2028 | 605 | 548 | ||||||
Avolon Holdings Funding | ||||||||
3.950%, 07/01/2024 (D) | 715 | 696 | ||||||
2.875%, 02/15/2025 (D) | 975 | 915 | ||||||
2.528%, 11/18/2027 (D) | 779 | 659 | ||||||
AXA Equitable Holdings | ||||||||
3.900%, 04/20/2023 (E) | 500 | 499 | ||||||
Banco Santander | ||||||||
5.926%, ICE LIBOR USD 3 Month + 1.120%, 04/12/2023 (B) | 400 | 400 | ||||||
4.175%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.000%, 03/24/2028 (B) | 200 | 188 | ||||||
3.848%, 04/12/2023 | 600 | 600 | ||||||
2.746%, 05/28/2025 | 1,400 | 1,320 | ||||||
1.722%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.900%, 09/14/2027 (B) | 390 | 340 | ||||||
Bank of America | ||||||||
5.080%, U.S. SOFR + 1.290%, 01/20/2027 (B) | 1,355 | 1,351 | ||||||
4.571%, U.S. SOFR + 1.830%, 04/27/2033 (B) | 2,350 | 2,237 | ||||||
3.419%, ICE LIBOR USD 3 Month + 1.040%, 12/20/2028 (B) | 2,743 | 2,549 | ||||||
2.687%, U.S. SOFR + 1.320%, 04/22/2032 (B) | 1,227 | 1,024 | ||||||
2.651%, U.S. SOFR + 1.220%, 03/11/2032 (B) | 1,305 | 1,089 | ||||||
2.592%, U.S. SOFR + 2.150%, 04/29/2031 (B) | 530 | 449 | ||||||
2.572%, U.S. SOFR + 1.210%, 10/20/2032 (B) | 3,620 | 2,959 | ||||||
2.299%, U.S. SOFR + 1.220%, 07/21/2032 (B) | 1,110 | 895 | ||||||
1.734%, U.S. SOFR + 0.960%, 07/22/2027 (B) | 5,320 | 4,770 | ||||||
1.658%, U.S. SOFR + 0.910%, 03/11/2027 (B) | 7,215 | 6,532 | ||||||
Bank of America MTN | ||||||||
5.000%, 01/21/2044 | 830 | 797 | ||||||
4.450%, 03/03/2026 | 1,157 | 1,130 | ||||||
4.376%, U.S. SOFR + 1.580%, 04/27/2028 (B) | 1,140 | 1,102 | ||||||
4.330%, ICE LIBOR USD 3 Month + 1.520%, 03/15/2050 (B) | 260 | 223 |
SEI Institutional Managed Trust
121
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.250%, 10/22/2026 | $ | 80 | $ | 77 | ||||
4.244%, ICE LIBOR USD 3 Month + 1.814%, 04/24/2038 (B) | 179 | 160 | ||||||
4.200%, 08/26/2024 | 1,530 | 1,503 | ||||||
4.125%, 01/22/2024 | 290 | 288 | ||||||
4.100%, 07/24/2023 | 340 | 338 | ||||||
4.083%, ICE LIBOR USD 3 Month + 3.150%, 03/20/2051 (B) | 1,630 | 1,337 | ||||||
4.000%, 04/01/2024 | 1,309 | 1,294 | ||||||
4.000%, 01/22/2025 | 1,070 | 1,045 | ||||||
3.974%, ICE LIBOR USD 3 Month + 1.210%, 02/07/2030 (B) | 1,900 | 1,776 | ||||||
3.970%, ICE LIBOR USD 3 Month + 1.070%, 03/05/2029 (B) | 625 | 592 | ||||||
3.824%, ICE LIBOR USD 3 Month + 1.575%, 01/20/2028 (B) | 631 | 603 | ||||||
3.593%, ICE LIBOR USD 3 Month + 1.370%, 07/21/2028 (B) | 1,364 | 1,282 | ||||||
3.500%, 04/19/2026 | 780 | 750 | ||||||
3.194%, ICE LIBOR USD 3 Month + 1.180%, 07/23/2030 (B) | 240 | 213 | ||||||
3.093%, ICE LIBOR USD 3 Month + 1.090%, 10/01/2025 (B)(E) | 960 | 924 | ||||||
2.972%, U.S. SOFR + 1.330%, 02/04/2033 (B) | 690 | 581 | ||||||
2.884%, ICE LIBOR USD 3 Month + 1.190%, 10/22/2030 (B) | 265 | 230 | ||||||
2.551%, U.S. SOFR + 1.050%, 02/04/2028 (B) | 524 | 477 | ||||||
2.496%, ICE LIBOR USD 3 Month + 0.990%, 02/13/2031 (B) | 755 | 639 | ||||||
2.087%, U.S. SOFR + 1.060%, 06/14/2029 (B) | 6,025 | 5,189 | ||||||
1.530%, U.S. SOFR + 0.650%, 12/06/2025 (B) | 2,562 | 2,395 | ||||||
1.197%, U.S. SOFR + 1.010%, 10/24/2026 (B) | 720 | 647 | ||||||
Bank of Montreal MTN | ||||||||
1.850%, 05/01/2025 | 880 | 824 | ||||||
Bank of New York Mellon | ||||||||
4.543%, U.S. SOFR + 1.169%, 02/01/2029 (B)(E) | 1,085 | 1,075 | ||||||
3.400%, 05/15/2024 | 530 | 521 | ||||||
Bank of New York Mellon MTN | ||||||||
3.250%, 09/11/2024 | 100 | 97 | ||||||
1.600%, 04/24/2025 | 260 | 242 | ||||||
Bank of Nova Scotia | ||||||||
4.900%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.551%(B)(F) | 510 | 464 | ||||||
4.588%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 2.050%, 05/04/2037 (B) | 390 | 344 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
1.300%, 06/11/2025 | $ | 480 | $ | 442 | ||||
Barclays | ||||||||
7.437%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 3.500%, 11/02/2033 (B) | 1,584 | 1,751 | ||||||
5.088%, ICE LIBOR USD 3 Month + 3.054%, 06/20/2030 (B) | 1,940 | 1,795 | ||||||
4.375%, 01/12/2026 (E) | 2,270 | 2,191 | ||||||
Barclays MTN | ||||||||
4.972%, ICE LIBOR USD 3 Month + 1.902%, 05/16/2029 (B) | 520 | 502 | ||||||
Berkshire Hathaway Finance | ||||||||
4.250%, 01/15/2049 | 870 | 802 | ||||||
Blackstone Holdings Finance | ||||||||
6.200%, 04/22/2033 (D)(E) | 702 | 735 | ||||||
Blackstone Secured Lending Fund | ||||||||
3.625%, 01/15/2026 | 670 | 607 | ||||||
BNP Paribas | ||||||||
5.125%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.450%, 01/13/2029 (B)(D) | 1,670 | 1,674 | ||||||
4.705%, ICE LIBOR USD 3 Month + 2.235%, 01/10/2025 (B)(D) | 930 | 919 | ||||||
4.625%, 03/13/2027 (D) | 200 | 191 | ||||||
4.400%, 08/14/2028 (D) | 1,447 | 1,371 | ||||||
3.375%, 01/09/2025 (D) | 290 | 278 | ||||||
2.219%, U.S. SOFR + 2.074%, 06/09/2026 (B)(D) | 600 | 551 | ||||||
BNP Paribas MTN | ||||||||
4.375%, USD Swap Semi 30/360 5 Yr Curr + 1.483%, 03/01/2033 (B)(D) | 400 | 364 | ||||||
3.052%, U.S. SOFR + 1.507%, 01/13/2031 (B)(D) | 200 | 172 | ||||||
BPCE | ||||||||
5.150%, 07/21/2024 (D) | 410 | 402 | ||||||
BPCE MTN | ||||||||
5.975%, U.S. SOFR + 2.100%, 01/18/2027 (B)(D) | 1,560 | 1,556 | ||||||
Brighthouse Financial | ||||||||
3.850%, 12/22/2051 | 273 | 176 | ||||||
Brighthouse Financial Global Funding MTN | ||||||||
1.000%, 04/12/2024 (D)(E) | 1,505 | 1,437 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
0.950%, 06/23/2023 | 480 | 475 | ||||||
Cantor Fitzgerald | ||||||||
4.500%, 04/14/2027 (D)(E) | 1,135 | 1,058 | ||||||
Capital One Financial | ||||||||
3.273%, U.S. SOFR + 1.790%, 03/01/2030 (B) | 1,850 | 1,576 | ||||||
Cboe Global Markets | ||||||||
3.000%, 03/16/2032 | 1,330 | 1,155 | ||||||
Chubb INA Holdings | ||||||||
3.350%, 05/03/2026 | 200 | 194 |
122
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
3.150%, 03/15/2025 | $ | 74 | $ | 72 | ||||
CI Financial | ||||||||
4.100%, 06/15/2051 | 1,020 | 617 | ||||||
3.200%, 12/17/2030 | 1,255 | 967 | ||||||
Citadel | ||||||||
4.875%, 01/15/2027 (D) | 660 | 635 | ||||||
Citigroup | ||||||||
8.870%, ICE LIBOR USD 3 Month + 4.068%(B)(F) | 360 | 357 | ||||||
8.125%, 07/15/2039 | 1,064 | 1,372 | ||||||
6.675%, 09/13/2043 | 70 | 78 | ||||||
6.625%, 06/15/2032 | 100 | 107 | ||||||
6.300%, TSFR3M + 3.685%(B)(F) | 300 | 285 | ||||||
6.270%, U.S. SOFR + 2.338%, 11/17/2033 (B) | 1,038 | 1,123 | ||||||
5.950%, TSFR3M + 4.167%(B)(F) | 590 | 550 | ||||||
5.610%, U.S. SOFR + 1.546%, 09/29/2026 (B) | 2,720 | 2,740 | ||||||
5.500%, 09/13/2025 | 950 | 948 | ||||||
5.300%, 05/06/2044 | 225 | 214 | ||||||
4.910%, U.S. SOFR + 2.086%, 05/24/2033 (B) | 370 | 363 | ||||||
4.750%, 05/18/2046 | 100 | 89 | ||||||
4.658%, U.S. SOFR + 1.887%, 05/24/2028 (B) | 340 | 336 | ||||||
4.650%, 07/30/2045 | 903 | 822 | ||||||
4.450%, 09/29/2027 | 1,295 | 1,256 | ||||||
4.412%, U.S. SOFR + 3.914%, 03/31/2031 (B) | 2,750 | 2,612 | ||||||
4.400%, 06/10/2025 | 1,080 | 1,053 | ||||||
4.300%, 11/20/2026 | 240 | 232 | ||||||
4.125%, 07/25/2028 | 210 | 198 | ||||||
4.075%, TSFR3M + 1.454%, 04/23/2029 (B) | 81 | 77 | ||||||
3.980%, TSFR3M + 1.600%, 03/20/2030 (B) | 1,860 | 1,733 | ||||||
3.878%, TSFR3M + 1.430%, 01/24/2039 (B) | 59 | 50 | ||||||
3.785%, U.S. SOFR + 1.939%, 03/17/2033 (B) | 970 | 869 | ||||||
3.500%, 05/15/2023 | 630 | 628 | ||||||
3.352%, TSFR3M + 1.158%, 04/24/2025 (B) | 125 | 122 | ||||||
3.300%, 04/27/2025 | 120 | 116 | ||||||
3.200%, 10/21/2026 | 440 | 415 | ||||||
3.106%, U.S. SOFR + 2.842%, 04/08/2026 (B) | 350 | 335 | ||||||
3.070%, U.S. SOFR + 1.280%, 02/24/2028 (B) | 655 | 609 | ||||||
3.057%, U.S. SOFR + 1.351%, 01/25/2033 (B) | 4,065 | 3,440 | ||||||
2.976%, U.S. SOFR + 1.422%, 11/05/2030 (B) | 715 | 626 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.572%, U.S. SOFR + 2.107%, 06/03/2031 (B) | $ | 2,500 | $ | 2,109 | ||||
2.561%, U.S. SOFR + 1.167%, 05/01/2032 (B) | 2,880 | 2,389 | ||||||
2.520%, U.S. SOFR + 1.177%, 11/03/2032 (B) | 360 | 293 | ||||||
1.678%, U.S. SOFR + 1.667%, 05/15/2024 (B) | 500 | 498 | ||||||
1.462%, U.S. SOFR + 0.770%, 06/09/2027 (B) | 1,800 | 1,598 | ||||||
0.981%, U.S. SOFR + 0.669%, 05/01/2025 (B) | 250 | 238 | ||||||
Citizens Financial Group | ||||||||
2.500%, 02/06/2030 | 304 | 240 | ||||||
CME Group | ||||||||
3.000%, 03/15/2025 | 51 | 49 | ||||||
Cooperatieve Rabobank UA | ||||||||
5.564%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.400%, 02/28/2029 (B)(D) | 2,147 | 2,161 | ||||||
4.375%, 08/04/2025 | 2,150 | 2,080 | ||||||
3.758%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.420%, 04/06/2033 (B)(D) | 1,790 | 1,599 | ||||||
3.649%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.220%, 04/06/2028 (B)(D) | 420 | 394 | ||||||
Credit Agricole MTN | ||||||||
4.000%, USD Swap Semi 30/360 5 Yr Curr + 1.644%, 01/10/2033 (B)(D) | 250 | 226 | ||||||
1.907%, U.S. SOFR + 1.676%, 06/16/2026 (B)(D) | 400 | 367 | ||||||
Credit Suisse Group | ||||||||
9.750%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 6.383%(D)(F)(G) | 2,030 | – | ||||||
9.016%, U.S. SOFR + 5.020%, 11/15/2033 (B)(D) | 3,358 | 3,979 | ||||||
6.537%, U.S. SOFR + 3.920%, 08/12/2033 (B)(D) | 7,055 | 7,249 | ||||||
6.442%, U.S. SOFR + 3.700%, 08/11/2028 (B)(D) | 881 | 874 | ||||||
6.373%, U.S. SOFR + 3.340%, 07/15/2026 (B)(D) | 605 | 585 | ||||||
4.282%, 01/09/2028 (D) | 480 | 432 | ||||||
4.207%, ICE LIBOR USD 3 Month + 1.240%, 06/12/2024 (B)(D) | 300 | 291 | ||||||
4.194%, U.S. SOFR + 3.730%, 04/01/2031 (B)(D) | 730 | 648 | ||||||
3.091%, U.S. SOFR + 1.730%, 05/14/2032 (B)(D) | 2,510 | 2,018 | ||||||
2.593%, U.S. SOFR + 1.560%, 09/11/2025 (B)(D) | 1,235 | 1,144 |
SEI Institutional Managed Trust
123
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.193%, U.S. SOFR + 2.044%, 06/05/2026 (B)(D) | $ | 1,070 | $ | 952 | ||||
1.305%, U.S. SOFR + 0.980%, 02/02/2027 (B)(D) | 2,825 | 2,378 | ||||||
Credit Suisse NY | ||||||||
7.950%, 01/09/2025 | 1,220 | 1,240 | ||||||
7.500%, 02/15/2028 (E) | 1,240 | 1,314 | ||||||
2.950%, 04/09/2025 | 520 | 483 | ||||||
CTR Partnership | ||||||||
3.875%, 06/30/2028 (D) | 90 | 77 | ||||||
Danske Bank | ||||||||
6.466%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.100%, 01/09/2026 (B)(D) | 1,115 | 1,116 | ||||||
5.375%, 01/12/2024 (D) | 650 | 644 | ||||||
3.875%, 09/12/2023 (D) | 200 | 198 | ||||||
3.244%, ICE LIBOR USD 3 Month + 1.591%, 12/20/2025 (B)(D) | 220 | 209 | ||||||
1.226%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.000%, 06/22/2024 (B)(D) | 200 | 198 | ||||||
Danske Bank MTN | ||||||||
4.375%, 06/12/2028 (D) | 200 | 189 | ||||||
Deutsche Bank NY | ||||||||
3.742%, U.S. SOFR + 2.257%, 01/07/2033 (B) | 978 | 708 | ||||||
DNB Bank | ||||||||
1.605%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.680%, 03/30/2028 (B)(D)(E) | 2,065 | 1,805 | ||||||
1.127%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.850%, 09/16/2026 (B)(D) | 5 | 4 | ||||||
Enstar Group | ||||||||
3.100%, 09/01/2031 | 90 | 69 | ||||||
F&G Global Funding | ||||||||
1.750%, 06/30/2026 (D)(E) | 810 | 728 | ||||||
Farmers Exchange Capital | ||||||||
7.200%, 07/15/2048 (D) | 1,021 | 1,121 | ||||||
7.050%, 07/15/2028 (D) | 1,000 | 1,042 | ||||||
Farmers Exchange Capital II | ||||||||
6.151%, ICE LIBOR USD 3 Month + 3.744%, 11/01/2053 (B)(D) | 1,650 | 1,638 | ||||||
Federal Realty Investment Trust | ||||||||
3.950%, 01/15/2024 | 366 | 361 | ||||||
Fiserv | ||||||||
5.600%, 03/02/2033 | 2,197 | 2,278 | ||||||
5.450%, 03/02/2028 | 918 | 938 | ||||||
Goldman Sachs Capital II | ||||||||
5.730%, ICE LIBOR USD 3 Month + 0.768%(B)(E)(F) | 10 | 8 | ||||||
Goldman Sachs Group | ||||||||
6.750%, 10/01/2037 | 30 | 32 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
6.250%, 02/01/2041 | $ | 1,050 | $ | 1,154 | ||||
5.150%, 05/22/2045 | 820 | 777 | ||||||
4.750%, 10/21/2045 | 370 | 342 | ||||||
4.250%, 10/21/2025 (E) | 1,120 | 1,087 | ||||||
4.223%, ICE LIBOR USD 3 Month + 1.301%, 05/01/2029 (B) | 1,300 | 1,246 | ||||||
3.814%, ICE LIBOR USD 3 Month + 1.158%, 04/23/2029 (B) | 480 | 451 | ||||||
3.750%, 02/25/2026 | 345 | 335 | ||||||
3.691%, ICE LIBOR USD 3 Month + 1.510%, 06/05/2028 (B) | 380 | 360 | ||||||
3.615%, U.S. SOFR + 1.846%, 03/15/2028 (B) | 170 | 161 | ||||||
3.500%, 04/01/2025 | 540 | 524 | ||||||
3.500%, 11/16/2026 | 900 | 860 | ||||||
3.272%, ICE LIBOR USD 3 Month + 1.201%, 09/29/2025 (B) | 1,130 | 1,096 | ||||||
3.210%, U.S. SOFR + 1.513%, 04/22/2042 (B) | 120 | 90 | ||||||
3.102%, U.S. SOFR + 1.410%, 02/24/2033 (B) | 905 | 777 | ||||||
2.908%, U.S. SOFR + 1.472%, 07/21/2042 (B) | 260 | 186 | ||||||
2.650%, U.S. SOFR + 1.264%, 10/21/2032 (B) | 2,885 | 2,384 | ||||||
2.383%, U.S. SOFR + 1.248%, 07/21/2032 (B) | 3,845 | 3,122 | ||||||
1.948%, U.S. SOFR + 0.913%, 10/21/2027 (B)(E) | 2,254 | 2,014 | ||||||
1.542%, U.S. SOFR + 0.818%, 09/10/2027 (B) | 5,835 | 5,131 | ||||||
1.431%, U.S. SOFR + 0.798%, 03/09/2027 (B) | 1,150 | 1,029 | ||||||
1.217%, 12/06/2023 | 3,465 | 3,365 | ||||||
0.925%, U.S. SOFR + 0.486%, 10/21/2024 (B) | 1,370 | 1,333 | ||||||
Goldman Sachs Group MTN | ||||||||
4.000%, 03/03/2024 | 690 | 680 | ||||||
3.850%, 07/08/2024 | 330 | 324 | ||||||
Guardian Life Global Funding | ||||||||
1.100%, 06/23/2025 (D) | 190 | 174 | ||||||
Healthcare Realty Holdings | ||||||||
3.875%, 05/01/2025 | 15 | 15 | ||||||
2.400%, 03/15/2030 | 170 | 136 | ||||||
2.000%, 03/15/2031 | 30 | 23 | ||||||
HSBC Bank USA | ||||||||
7.000%, 01/15/2039 (E) | 275 | 301 | ||||||
HSBC Holdings | ||||||||
6.332%, U.S. SOFR + 2.650%, 03/09/2044 (B) | 909 | 960 | ||||||
6.254%, U.S. SOFR + 2.390%, 03/09/2034 (B) | 1,247 | 1,304 |
124
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
6.161%, U.S. SOFR + 1.970%, 03/09/2029 (B) | $ | 1,223 | $ | 1,257 | ||||
4.762%, U.S. SOFR + 2.530%, 03/29/2033 (B)(E) | 670 | 606 | ||||||
4.755%, U.S. SOFR + 2.110%, 06/09/2028 (B) | 220 | 213 | ||||||
4.583%, ICE LIBOR USD 3 Month + 1.535%, 06/19/2029 (B) | 260 | 247 | ||||||
4.375%, 11/23/2026 | 345 | 329 | ||||||
4.300%, 03/08/2026 | 1,710 | 1,654 | ||||||
4.250%, 03/14/2024 | 510 | 497 | ||||||
4.250%, 08/18/2025 | 560 | 533 | ||||||
3.973%, ICE LIBOR USD 3 Month + 1.610%, 05/22/2030 (B) | 860 | 776 | ||||||
2.999%, U.S. SOFR + 1.430%, 03/10/2026 (B) | 370 | 349 | ||||||
2.804%, U.S. SOFR + 1.187%, 05/24/2032 (B) | 530 | 433 | ||||||
2.357%, U.S. SOFR + 1.947%, 08/18/2031 (B) | 370 | 298 | ||||||
2.206%, U.S. SOFR + 1.285%, 08/17/2029 (B) | 1,930 | 1,618 | ||||||
2.099%, U.S. SOFR + 1.929%, 06/04/2026 (B) | 2,640 | 2,424 | ||||||
2.013%, U.S. SOFR + 1.732%, 09/22/2028 (B) | 3,230 | 2,767 | ||||||
1.645%, U.S. SOFR + 1.538%, 04/18/2026 (B)(E) | 330 | 301 | ||||||
1.589%, U.S. SOFR + 1.290%, 05/24/2027 (B) | 815 | 718 | ||||||
ILFC E-Capital Trust II | ||||||||
6.798%, 12/21/2065 (B)(D) | 400 | 265 | ||||||
Intercontinental Exchange | ||||||||
4.950%, 06/15/2052 | 150 | 146 | ||||||
4.600%, 03/15/2033 | 1,150 | 1,139 | ||||||
1.850%, 09/15/2032 | 1,470 | 1,151 | ||||||
Intesa Sanpaolo MTN | ||||||||
5.017%, 06/26/2024 (D) | 2,320 | 2,229 | ||||||
Invitation Homes Operating Partnership | ||||||||
2.000%, 08/15/2031 | 316 | 242 | ||||||
Jackson Financial | ||||||||
3.125%, 11/23/2031 (E) | 1,405 | 1,158 | ||||||
JPMorgan Chase | ||||||||
8.750%, 09/01/2030 (E) | 970 | 1,163 | ||||||
5.364%, ICE LIBOR USD 3 Month + 0.550%, 02/01/2027 (B) | 1,590 | 1,460 | ||||||
4.950%, 06/01/2045 | 430 | 409 | ||||||
4.452%, ICE LIBOR USD 3 Month + 1.330%, 12/05/2029 (B) | 300 | 291 | ||||||
4.260%, ICE LIBOR USD 3 Month + 1.580%, 02/22/2048 (B) | 84 | 73 | ||||||
4.250%, 10/01/2027 | 720 | 708 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.203%, ICE LIBOR USD 3 Month + 1.260%, 07/23/2029 (B) | $ | 800 | $ | 773 | ||||
4.023%, ICE LIBOR USD 3 Month + 1.000%, 12/05/2024 (B) | 1,480 | 1,466 | ||||||
3.882%, ICE LIBOR USD 3 Month + 1.360%, 07/24/2038 (B) | 325 | 286 | ||||||
3.875%, 09/10/2024 | 1,140 | 1,121 | ||||||
3.625%, 05/13/2024 | 230 | 227 | ||||||
3.625%, 12/01/2027 | 230 | 220 | ||||||
3.109%, U.S. SOFR + 2.440%, 04/22/2051 (B) | 130 | 92 | ||||||
2.956%, U.S. SOFR + 2.515%, 05/13/2031 (B) | 620 | 536 | ||||||
2.950%, 10/01/2026 | 377 | 356 | ||||||
2.947%, U.S. SOFR + 1.170%, 02/24/2028 (B) | 650 | 602 | ||||||
2.739%, U.S. SOFR + 1.510%, 10/15/2030 (B) | 855 | 746 | ||||||
2.580%, U.S. SOFR + 1.250%, 04/22/2032 (B) | 795 | 669 | ||||||
2.545%, U.S. SOFR + 1.180%, 11/08/2032 (B) | 4,350 | 3,607 | ||||||
2.522%, U.S. SOFR + 2.040%, 04/22/2031 (B)(E) | 450 | 385 | ||||||
2.301%, U.S. SOFR + 1.160%, 10/15/2025 (B) | 1,190 | 1,138 | ||||||
2.182%, U.S. SOFR + 1.890%, 06/01/2028 (B) | 847 | 759 | ||||||
2.083%, U.S. SOFR + 1.850%, 04/22/2026 (B) | 830 | 777 | ||||||
2.069%, U.S. SOFR + 1.015%, 06/01/2029 (B) | 1,285 | 1,115 | ||||||
2.005%, TSFR3M + 1.585%, 03/13/2026 (B) | 660 | 622 | ||||||
1.953%, U.S. SOFR + 1.065%, 02/04/2032 (B) | 3,020 | 2,430 | ||||||
1.578%, U.S. SOFR + 0.885%, 04/22/2027 (B) | 6,073 | 5,456 | ||||||
1.561%, U.S. SOFR + 0.605%, 12/10/2025 (B) | 4,355 | 4,084 | ||||||
1.514%, U.S. SOFR + 1.455%, 06/01/2024 (B) | 1,340 | 1,331 | ||||||
1.045%, U.S. SOFR + 0.800%, 11/19/2026 (B)(E) | 761 | 679 | ||||||
1.040%, TSFR3M + 0.695%, 02/04/2027 (B) | 3,515 | 3,137 | ||||||
0.969%, TSFR3M + 0.580%, 06/23/2025 (B) | 4,070 | 3,856 | ||||||
KeyBank MTN | ||||||||
5.000%, 01/26/2033 | 339 | 315 | ||||||
KKR Group Finance II | ||||||||
5.500%, 02/01/2043 (D)(E) | 80 | 76 |
SEI Institutional Managed Trust
125
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
KKR Group Finance III | ||||||||
5.125%, 06/01/2044 (D) | $ | 535 | $ | 471 | ||||
KRC Interim | ||||||||
4.600%, 02/01/2033 | 118 | 111 | ||||||
Liberty Mutual Group | ||||||||
5.500%, 06/15/2052 (D)(E) | 268 | 255 | ||||||
Life Storage | ||||||||
2.400%, 10/15/2031 | 525 | 423 | ||||||
Lloyds Banking Group | ||||||||
5.871%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.700%, 03/06/2029 (B) | 1,550 | 1,563 | ||||||
4.976%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.300%, 08/11/2033 (B) | 1,790 | 1,714 | ||||||
4.375%, 03/22/2028 (E) | 670 | 636 | ||||||
4.344%, 01/09/2048 | 200 | 155 | ||||||
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 (B) | 1,190 | 1,157 | ||||||
1.627%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.850%, 05/11/2027 (B) | 2,000 | 1,757 | ||||||
M&T Bank | ||||||||
5.053%, U.S. SOFR + 1.850%, 01/27/2034 (B) | 255 | 237 | ||||||
Macquarie Bank | ||||||||
3.624%, 06/03/2030 (D)(E) | 425 | 367 | ||||||
Macquarie Group | ||||||||
4.442%, U.S. SOFR + 2.405%, 06/21/2033 (B)(D) | 330 | 300 | ||||||
1.340%, U.S. SOFR + 1.069%, 01/12/2027 (B)(D) | 2,045 | 1,825 | ||||||
Macquarie Group MTN | ||||||||
5.033%, ICE LIBOR USD 3 Month + 1.750%, 01/15/2030 (B)(D) | 635 | 626 | ||||||
2.871%, U.S. SOFR + 1.532%, 01/14/2033 (B)(D) | 1,400 | 1,134 | ||||||
Marsh & McLennan | ||||||||
6.250%, 11/01/2052 | 152 | 171 | ||||||
5.450%, 03/15/2053 | 229 | 236 | ||||||
Massachusetts Mutual Life Insurance | ||||||||
3.729%, 10/15/2070 (D) | 88 | 62 | ||||||
Mercury General | ||||||||
4.400%, 03/15/2027 | 935 | 904 | ||||||
MetLife | ||||||||
6.400%, 12/15/2036 | 420 | 406 | ||||||
5.700%, 06/15/2035 | 15 | 16 | ||||||
MetLife Capital Trust IV | ||||||||
7.875%, 12/15/2037 (D) | 800 | 836 | ||||||
Metropolitan Life Global Funding I | ||||||||
3.450%, 12/18/2026 (D) | 1,955 | 1,852 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Metropolitan Life Global Funding I MTN | ||||||||
5.150%, 03/28/2033 (D) | $ | 700 | $ | 706 | ||||
5.000%, 01/06/2026 (D) | 660 | 664 | ||||||
Mitsubishi UFJ Financial Group | ||||||||
5.719%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.080%, 02/20/2026 (B) | 4,214 | 4,225 | ||||||
5.475%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.530%, 02/22/2031 (B) | 386 | 389 | ||||||
5.441%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.630%, 02/22/2034 (B) | 690 | 697 | ||||||
5.422%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.380%, 02/22/2029 (B) | 630 | 636 | ||||||
5.063%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.550%, 09/12/2025 (B) | 1,620 | 1,609 | ||||||
4.080%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.300%, 04/19/2028 (B) | 400 | 383 | ||||||
3.837%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.125%, 04/17/2026 (B) | 380 | 368 | ||||||
Mizuho Financial Group | ||||||||
5.754%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.800%, 05/27/2034 (B) | 775 | 793 | ||||||
5.739%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.650%, 05/27/2031 (B) | 630 | 642 | ||||||
5.667%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.500%, 05/27/2029 (B) | 920 | 933 | ||||||
Morgan Stanley | ||||||||
6.342%, U.S. SOFR + 2.560%, 10/18/2033 (B) | 1,037 | 1,133 | ||||||
5.948%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 2.430%, 01/19/2038 (B) | 585 | 582 | ||||||
5.297%, U.S. SOFR + 2.620%, 04/20/2037 (B) | 30 | 28 | ||||||
5.123%, U.S. SOFR + 1.730%, 02/01/2029 (B) | 768 | 774 | ||||||
2.484%, U.S. SOFR + 1.360%, 09/16/2036 (B) | 1,040 | 790 | ||||||
1.593%, U.S. SOFR + 0.879%, 05/04/2027 (B) | 770 | 690 | ||||||
0.985%, U.S. SOFR + 0.720%, 12/10/2026 (B) | 1,405 | 1,252 | ||||||
0.790%, U.S. SOFR + 0.525%, 05/30/2025 (B) | 1,779 | 1,684 |
126
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Morgan Stanley MTN | ||||||||
4.431%, ICE LIBOR USD 3 Month + 1.628%, 01/23/2030 (B) | $ | 340 | $ | 328 | ||||
3.971%, ICE LIBOR USD 3 Month + 1.455%, 07/22/2038 (B) | 119 | 105 | ||||||
3.772%, ICE LIBOR USD 3 Month + 1.140%, 01/24/2029 (B) | 1,080 | 1,023 | ||||||
3.622%, U.S. SOFR + 3.120%, 04/01/2031 (B) | 2,920 | 2,670 | ||||||
2.699%, U.S. SOFR + 1.143%, 01/22/2031 (B) | 520 | 448 | ||||||
2.511%, U.S. SOFR + 1.200%, 10/20/2032 (B) | 1,905 | 1,560 | ||||||
2.475%, U.S. SOFR + 1.000%, 01/21/2028 (B) | 2,025 | 1,850 | ||||||
2.239%, U.S. SOFR + 1.178%, 07/21/2032 (B) | 1,195 | 959 | ||||||
2.188%, U.S. SOFR + 1.990%, 04/28/2026 (B) | 1,300 | 1,220 | ||||||
1.928%, U.S. SOFR + 1.020%, 04/28/2032 (B) | 865 | 680 | ||||||
1.794%, U.S. SOFR + 1.034%, 02/13/2032 (B) | 2,400 | 1,884 | ||||||
1.512%, U.S. SOFR + 0.858%, 07/20/2027 (B) | 1,629 | 1,448 | ||||||
1.164%, U.S. SOFR + 0.560%, 10/21/2025 (B) | 4,860 | 4,538 | ||||||
0.864%, U.S. SOFR + 0.745%, 10/21/2025 (B) | 152 | 141 | ||||||
MUFG Bank | ||||||||
4.100%, 09/09/2023 (D) | 200 | 199 | ||||||
National Australia Bank | ||||||||
6.429%, 01/12/2033 (D) | 635 | 654 | ||||||
National Securities Clearing | ||||||||
1.500%, 04/23/2025 (D) | 330 | 308 | ||||||
1.200%, 04/23/2023 (D) | 410 | 409 | ||||||
Nationwide Building Society | ||||||||
4.363%, ICE LIBOR USD 3 Month + 1.392%, 08/01/2024 (B)(D) | 800 | 793 | ||||||
Nationwide Building Society MTN | ||||||||
2.972%, U.S. SOFR + 1.290%, 02/16/2028 (B)(D) | 1,375 | 1,238 | ||||||
Nationwide Mutual Insurance | ||||||||
7.156%, ICE LIBOR USD 3 Month + 2.290%, 12/15/2024 (B)(D) | 3,735 | 3,720 | ||||||
NatWest Group | ||||||||
7.472%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.850%, 11/10/2026 (B)(E) | 1,085 | 1,121 | ||||||
4.892%, ICE LIBOR USD 3 Month + 1.754%, 05/18/2029 (B) | 200 | 192 | ||||||
4.519%, ICE LIBOR USD 3 Month + 1.550%, 06/25/2024 (B) | 830 | 826 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.269%, ICE LIBOR USD 3 Month + 1.762%, 03/22/2025 (B) | $ | 1,500 | $ | 1,472 | ||||
1.642%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.900%, 06/14/2027 (B)(E) | 920 | 811 | ||||||
New York Life Global Funding | ||||||||
0.950%, 06/24/2025 (D) | 340 | 313 | �� | |||||
Northwestern Mutual Life Insurance | ||||||||
3.625%, 09/30/2059 (D) | 1,112 | 818 | ||||||
Ohio National Financial Services | ||||||||
6.800%, 01/24/2030 (D) | 625 | 594 | ||||||
ORIX | ||||||||
5.200%, 09/13/2032 | 1,130 | 1,138 | ||||||
Park Aerospace Holdings | ||||||||
5.500%, 02/15/2024 (D) | 212 | 210 | ||||||
Physicians Realty | ||||||||
2.625%, 11/01/2031 | 700 | 551 | ||||||
PNC Bank | ||||||||
3.875%, 04/10/2025 | 430 | 416 | ||||||
PNC Financial Services Group | ||||||||
6.037%, SOFRINDX + 2.140%, 10/28/2033 (B) | 1,045 | 1,100 | ||||||
5.068%, U.S. SOFR + 1.933%, 01/24/2034 (B) | 1,375 | 1,356 | ||||||
Principal Life Global Funding II | ||||||||
2.250%, 11/21/2024 (D) | 1,465 | 1,405 | ||||||
1.250%, 06/23/2025 (D) | 160 | 146 | ||||||
Prospect Capital | ||||||||
3.706%, 01/22/2026 | 395 | 349 | ||||||
Prudential Financial MTN | ||||||||
5.625%, 05/12/2041 | 10 | 10 | ||||||
Royal Bank of Canada MTN | ||||||||
1.600%, 04/17/2023 | 760 | 759 | ||||||
1.150%, 06/10/2025 | 460 | 423 | ||||||
Santander Holdings USA | ||||||||
6.499%, U.S. SOFR + 2.356%, 03/09/2029 (B) | 917 | 916 | ||||||
4.500%, 07/17/2025 | 80 | 77 | ||||||
Santander UK Group Holdings | ||||||||
4.796%, ICE LIBOR USD 3 Month + 1.570%, 11/15/2024 (B) | 3,050 | 3,008 | ||||||
2.896%, U.S. SOFR + 1.475%, 03/15/2032 (B) | 610 | 492 | ||||||
2.469%, U.S. SOFR + 1.220%, 01/11/2028 (B) | 510 | 448 | ||||||
1.673%, U.S. SOFR + 0.989%, 06/14/2027 (B) | 445 | 387 | ||||||
1.532%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.250%, 08/21/2026 (B) | 235 | 210 | ||||||
1.089%, U.S. SOFR + 0.787%, 03/15/2025 (B) | 2,475 | 2,339 |
SEI Institutional Managed Trust
127
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
SBL Holdings | ||||||||
5.000%, 02/18/2031 (D) | $ | 955 | $ | 791 | ||||
Scentre Group Trust 1 | ||||||||
3.625%, 01/28/2026 (D) | 635 | 608 | ||||||
Societe Generale | ||||||||
3.625%, 03/01/2041 (D)(E) | 645 | 414 | ||||||
Societe Generale MTN | ||||||||
2.625%, 01/22/2025 (D) | 735 | 689 | ||||||
State Street | ||||||||
3.300%, 12/16/2024 | 70 | 68 | ||||||
Stewart Information Services | ||||||||
3.600%, 11/15/2031 | 131 | 103 | ||||||
Sumitomo Mitsui Financial Group | ||||||||
5.710%, 01/13/2030 | 1,224 | 1,264 | ||||||
5.520%, 01/13/2028 | 1,244 | 1,265 | ||||||
Swedbank | ||||||||
1.300%, 06/02/2023 (D) | 580 | 575 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/2039 (D) | 124 | 139 | ||||||
4.900%, 09/15/2044 (D) | 240 | 222 | ||||||
3.300%, 05/15/2050 (D) | 2,455 | 1,770 | ||||||
The Vanguard Group | ||||||||
3.050%, 08/22/2050 | 670 | 438 | ||||||
Toronto-Dominion Bank MTN | ||||||||
4.456%, 06/08/2032 (E) | 2,190 | 2,133 | ||||||
2.800%, 03/10/2027 (E) | 1,300 | 1,199 | ||||||
1.150%, 06/12/2025 (E) | 460 | 424 | ||||||
0.750%, 06/12/2023 | 910 | 902 | ||||||
Truist Financial MTN | ||||||||
4.260%, U.S. SOFR + 1.456%, 07/28/2026 (B) | 1,590 | 1,533 | ||||||
Trust Fibra Uno | ||||||||
6.390%, 01/15/2050 (D) | 344 | 259 | ||||||
UBS MTN | ||||||||
4.500%, 06/26/2048 (D) | 440 | 392 | ||||||
UBS Group | ||||||||
7.000%, USD Swap Semi 30/360 5 Yr Curr + 4.344%(B)(D)(F) | 1,640 | 1,556 | ||||||
5.959%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.200%, 01/12/2034 (B)(D) | 739 | 758 | ||||||
5.711%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.550%, 01/12/2027 (B)(D) | 685 | 679 | ||||||
4.751%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.750%, 05/12/2028 (B)(D) | 360 | 345 | ||||||
4.488%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.550%, 05/12/2026 (B)(D) | 320 | 309 | ||||||
4.253%, 03/23/2028 (D) | 350 | 325 | ||||||
4.125%, 09/24/2025 (D) | 200 | 191 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.746%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.100%, 02/11/2033 (B)(D) | $ | 210 | $ | 168 | ||||
US Bancorp | ||||||||
5.850%, U.S. SOFR + 2.090%, 10/21/2033 (B) | 1,065 | 1,112 | ||||||
5.727%, U.S. SOFR + 1.430%, 10/21/2026 (B) | 185 | 186 | ||||||
4.839%, U.S. SOFR + 1.600%, 02/01/2034 (B) | 1,905 | 1,849 | ||||||
4.653%, U.S. SOFR + 1.230%, 02/01/2029 (B) | 1,850 | 1,808 | ||||||
1.450%, 05/12/2025 (E) | 1,020 | 939 | ||||||
Validus Holdings | ||||||||
8.875%, 01/26/2040 | 905 | 1,125 | ||||||
WEA Finance | ||||||||
4.750%, 09/17/2044 (D) | 230 | 167 | ||||||
3.750%, 09/17/2024 (D) | 990 | 938 | ||||||
Wells Fargo | ||||||||
7.950%, 11/15/2029 | 495 | 549 | ||||||
5.375%, 11/02/2043 | 400 | 383 | ||||||
5.292%, ICE LIBOR USD 3 Month + 0.500%, 01/15/2027 (B) | 1,200 | 1,100 | ||||||
3.000%, 10/23/2026 | 1,030 | 963 | ||||||
2.188%, U.S. SOFR + 2.000%, 04/30/2026 (B) | 2,760 | 2,587 | ||||||
Wells Fargo MTN | ||||||||
5.013%, U.S. SOFR + 4.502%, 04/04/2051 (B) | 4,525 | 4,256 | ||||||
4.900%, 11/17/2045 | 909 | 810 | ||||||
4.897%, U.S. SOFR + 2.100%, 07/25/2033 (B) | 2,537 | 2,477 | ||||||
4.750%, 12/07/2046 | 700 | 608 | ||||||
4.650%, 11/04/2044 | 261 | 225 | ||||||
4.478%, U.S. SOFR + 4.032%, 04/04/2031 (B) | 2,630 | 2,518 | ||||||
4.400%, 06/14/2046 | 1,370 | 1,130 | ||||||
4.150%, 01/24/2029 | 1,010 | 965 | ||||||
4.125%, 08/15/2023 | 900 | 895 | ||||||
3.750%, 01/24/2024 | 250 | 247 | ||||||
3.584%, ICE LIBOR USD 3 Month + 1.310%, 05/22/2028 (B) | 515 | 485 | ||||||
3.526%, U.S. SOFR + 1.510%, 03/24/2028 (B) | 4,124 | 3,891 | ||||||
3.350%, U.S. SOFR + 1.500%, 03/02/2033 (B) | 4,735 | 4,104 | ||||||
3.196%, ICE LIBOR USD 3 Month + 1.170%, 06/17/2027 (B)(E) | 1,550 | 1,458 | ||||||
2.879%, TSFR3M + 1.432%, 10/30/2030 (B) | 20 | 17 | ||||||
2.406%, ICE LIBOR USD 3 Month + 0.825%, 10/30/2025 (B) | 1,005 | 955 |
128
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.393%, U.S. SOFR + 2.100%, 06/02/2028 (B) | $ | 900 | $ | 810 | ||||
2.164%, ICE LIBOR USD 3 Month + 0.750%, 02/11/2026 (B) | 1,695 | 1,594 | ||||||
Westpac Banking | ||||||||
2.668%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 1.750%, 11/15/2035 (B) | 420 | 327 | ||||||
413,441 | ||||||||
Health Care — 3.3% | ||||||||
Abbott Laboratories | ||||||||
4.900%, 11/30/2046 | 470 | 483 | ||||||
4.750%, 11/30/2036 | 722 | 750 | ||||||
3.750%, 11/30/2026 | 463 | 460 | ||||||
1.400%, 06/30/2030 | 692 | 578 | ||||||
AbbVie | ||||||||
4.875%, 11/14/2048 | 70 | 67 | ||||||
4.625%, 10/01/2042 | 38 | 35 | ||||||
4.550%, 03/15/2035 | 461 | 451 | ||||||
4.500%, 05/14/2035 | 510 | 494 | ||||||
4.450%, 05/14/2046 | 204 | 185 | ||||||
4.300%, 05/14/2036 | 200 | 188 | ||||||
4.250%, 11/21/2049 | 3,990 | 3,521 | ||||||
4.050%, 11/21/2039 | 742 | 663 | ||||||
3.800%, 03/15/2025 | 460 | 452 | ||||||
3.750%, 11/14/2023 | 100 | 99 | ||||||
3.600%, 05/14/2025 (E) | 770 | 755 | ||||||
3.200%, 11/21/2029 | 1,325 | 1,230 | ||||||
2.950%, 11/21/2026 | 380 | 362 | ||||||
2.600%, 11/21/2024 | 1,820 | 1,756 | ||||||
Advocate Health & Hospitals | ||||||||
2.211%, 06/15/2030 | 1,615 | 1,368 | ||||||
Aetna | ||||||||
3.875%, 08/15/2047 | 90 | 71 | ||||||
2.800%, 06/15/2023 | 1,750 | 1,742 | ||||||
Alcon Finance | ||||||||
3.000%, 09/23/2029 (D) | 1,975 | 1,787 | ||||||
Amgen | ||||||||
6.375%, 06/01/2037 | 910 | 1,008 | ||||||
5.650%, 03/02/2053 | 3,524 | 3,667 | ||||||
5.600%, 03/02/2043 | 1,075 | 1,108 | ||||||
5.250%, 03/02/2025 | 1,534 | 1,551 | ||||||
5.250%, 03/02/2033 | 1,842 | 1,893 | ||||||
5.150%, 03/02/2028 | 917 | 936 | ||||||
5.150%, 11/15/2041 | 332 | 323 | ||||||
4.663%, 06/15/2051 | 269 | 245 | ||||||
4.400%, 05/01/2045 | 375 | 331 | ||||||
4.200%, 03/01/2033 (E) | 63 | 60 | ||||||
3.625%, 05/22/2024 | 130 | 128 | ||||||
3.150%, 02/21/2040 | 190 | 149 | ||||||
2.770%, 09/01/2053 | 263 | 168 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.000%, 01/15/2032 | $ | 1,515 | $ | 1,233 | ||||
Astrazeneca Finance | ||||||||
4.900%, 03/03/2030 | 919 | 940 | ||||||
4.875%, 03/03/2028 | 919 | 946 | ||||||
4.875%, 03/03/2033 | 612 | 631 | ||||||
Bausch Health | ||||||||
7.250%, 05/30/2029 (D) | 170 | 64 | ||||||
6.250%, 02/15/2029 (D) | 500 | 200 | ||||||
5.500%, 11/01/2025 (D) | 20 | 16 | ||||||
Baxter International | ||||||||
3.950%, 04/01/2030 (E) | 425 | 396 | ||||||
BayCare Health System | ||||||||
3.831%, 11/15/2050 | 1,595 | 1,340 | ||||||
Bayer US Finance | ||||||||
3.375%, 10/08/2024 (D)(E) | 800 | 778 | ||||||
Bayer US Finance II | ||||||||
4.875%, 06/25/2048 (D) | 1,795 | 1,610 | ||||||
4.700%, 07/15/2064 (D) | 210 | 172 | ||||||
4.625%, 06/25/2038 (D) | 420 | 385 | ||||||
4.375%, 12/15/2028 (D) | 4,578 | 4,426 | ||||||
4.250%, 12/15/2025 (D) | 520 | 509 | ||||||
Becton Dickinson | ||||||||
4.685%, 12/15/2044 | 264 | 246 | ||||||
3.734%, 12/15/2024 | 287 | 280 | ||||||
3.700%, 06/06/2027 | 121 | 117 | ||||||
3.363%, 06/06/2024 | 758 | 744 | ||||||
Bon Secours Mercy Health | ||||||||
3.464%, 06/01/2030 (E) | 855 | 770 | ||||||
Bristol-Myers Squibb | ||||||||
4.550%, 02/20/2048 | 129 | 122 | ||||||
4.350%, 11/15/2047 | 51 | 47 | ||||||
3.400%, 07/26/2029 | 124 | 118 | ||||||
3.200%, 06/15/2026 | 506 | 489 | ||||||
2.900%, 07/26/2024 | 785 | 770 | ||||||
2.550%, 11/13/2050 | 365 | 244 | ||||||
Centene | ||||||||
4.625%, 12/15/2029 | 390 | 367 | ||||||
4.250%, 12/15/2027 | 260 | 250 | ||||||
3.375%, 02/15/2030 | 230 | 201 | ||||||
3.000%, 10/15/2030 | 3,402 | 2,865 | ||||||
2.625%, 08/01/2031 | 40 | 32 | ||||||
Cigna Group | ||||||||
5.400%, 03/15/2033 | 1,068 | 1,109 | ||||||
4.900%, 12/15/2048 | 1,137 | 1,070 | ||||||
4.800%, 08/15/2038 | 1,144 | 1,108 | ||||||
4.375%, 10/15/2028 | 810 | 798 | ||||||
4.125%, 11/15/2025 | 290 | 285 | ||||||
3.750%, 07/15/2023 | 462 | 460 | ||||||
3.400%, 03/01/2027 | 380 | 364 | ||||||
3.400%, 03/15/2050 | 120 | 89 | ||||||
3.400%, 03/15/2051 | 588 | 433 |
SEI Institutional Managed Trust
129
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
CommonSpirit Health | ||||||||
4.350%, 11/01/2042 | $ | 110 | $ | 95 | ||||
2.782%, 10/01/2030 | 1,970 | 1,673 | ||||||
CVS Health | ||||||||
5.125%, 02/21/2030 | 1,375 | 1,394 | ||||||
5.125%, 07/20/2045 | 670 | 636 | ||||||
5.050%, 03/25/2048 | 4,625 | 4,327 | ||||||
5.000%, 02/20/2026 | 1,515 | 1,532 | ||||||
4.780%, 03/25/2038 | 565 | 539 | ||||||
4.300%, 03/25/2028 | 1,084 | 1,064 | ||||||
4.250%, 04/01/2050 | 30 | 25 | ||||||
4.125%, 04/01/2040 | 160 | 137 | ||||||
3.875%, 07/20/2025 | 515 | 506 | ||||||
3.750%, 04/01/2030 | 540 | 505 | ||||||
3.625%, 04/01/2027 (E) | 360 | 347 | ||||||
3.000%, 08/15/2026 | 298 | 284 | ||||||
2.700%, 08/21/2040 | 500 | 358 | ||||||
2.125%, 09/15/2031 (E) | 370 | 302 | ||||||
1.875%, 02/28/2031 | 110 | 89 | ||||||
CVS Pass-Through Trust | ||||||||
5.926%, 01/10/2034 (D) | 63 | 63 | ||||||
DH Europe Finance II Sarl | ||||||||
2.200%, 11/15/2024 | 755 | 725 | ||||||
Elevance Health | ||||||||
4.625%, 05/15/2042 | 41 | 38 | ||||||
4.550%, 05/15/2052 | 250 | 226 | ||||||
4.100%, 05/15/2032 | 270 | 258 | ||||||
3.650%, 12/01/2027 | 220 | 213 | ||||||
3.500%, 08/15/2024 (E) | 90 | 88 | ||||||
3.350%, 12/01/2024 | 1,425 | 1,391 | ||||||
Eli Lilly | ||||||||
4.950%, 02/27/2063 | 215 | 221 | ||||||
4.875%, 02/27/2053 | 460 | 476 | ||||||
4.700%, 02/27/2033 | 613 | 628 | ||||||
Fresenius Medical Care US Finance III | ||||||||
1.875%, 12/01/2026 (D) | 1,345 | 1,168 | ||||||
Gilead Sciences | ||||||||
5.650%, 12/01/2041 | 35 | 38 | ||||||
4.750%, 03/01/2046 | 380 | 366 | ||||||
4.500%, 02/01/2045 | 10 | 9 | ||||||
4.000%, 09/01/2036 | 246 | 228 | ||||||
3.700%, 04/01/2024 | 410 | 405 | ||||||
3.650%, 03/01/2026 | 460 | 450 | ||||||
2.800%, 10/01/2050 | 758 | 523 | ||||||
2.600%, 10/01/2040 | 479 | 353 | ||||||
1.650%, 10/01/2030 | 276 | 227 | ||||||
HCA | ||||||||
5.875%, 02/01/2029 | 410 | 419 | ||||||
5.625%, 09/01/2028 | 60 | 61 | ||||||
5.500%, 06/15/2047 | 965 | 906 | ||||||
5.375%, 02/01/2025 | 160 | 160 | ||||||
5.375%, 09/01/2026 (E) | 155 | 155 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
5.250%, 04/15/2025 | $ | 820 | $ | 819 | ||||
5.250%, 06/15/2026 | 650 | 651 | ||||||
5.250%, 06/15/2049 | 2,150 | 1,939 | ||||||
4.625%, 03/15/2052 (D) | 1,920 | 1,594 | ||||||
4.500%, 02/15/2027 | 20 | 19 | ||||||
4.125%, 06/15/2029 | 1,500 | 1,405 | ||||||
3.625%, 03/15/2032 (D) | 840 | 740 | ||||||
3.500%, 09/01/2030 | 790 | 704 | ||||||
3.500%, 07/15/2051 | 672 | 464 | ||||||
2.375%, 07/15/2031 | 945 | 763 | ||||||
Humana | ||||||||
4.950%, 10/01/2044 | 60 | 56 | ||||||
4.800%, 03/15/2047 | 30 | 27 | ||||||
4.625%, 12/01/2042 | 170 | 153 | ||||||
4.500%, 04/01/2025 | 80 | 79 | ||||||
3.950%, 03/15/2027 | 70 | 68 | ||||||
3.700%, 03/23/2029 | 3,205 | 3,015 | ||||||
2.150%, 02/03/2032 | 130 | 106 | ||||||
Johnson & Johnson | ||||||||
3.700%, 03/01/2046 | 170 | 152 | ||||||
3.625%, 03/03/2037 | 260 | 240 | ||||||
3.500%, 01/15/2048 | 92 | 80 | ||||||
3.400%, 01/15/2038 | 173 | 156 | ||||||
2.625%, 01/15/2025 | 86 | 84 | ||||||
2.450%, 09/01/2060 (E) | 655 | 432 | ||||||
0.950%, 09/01/2027 | 610 | 540 | ||||||
0.550%, 09/01/2025 | 300 | 276 | ||||||
Medtronic | ||||||||
4.625%, 03/15/2045 | 9 | 9 | ||||||
Merck | ||||||||
1.450%, 06/24/2030 | 300 | 248 | ||||||
0.750%, 02/24/2026 | 530 | 485 | ||||||
New York and Presbyterian Hospital | ||||||||
3.563%, 08/01/2036 | 730 | 632 | ||||||
Pfizer | ||||||||
4.000%, 12/15/2036 (E) | 815 | 784 | ||||||
2.625%, 04/01/2030 (E) | 440 | 397 | ||||||
1.700%, 05/28/2030 (E) | 420 | 354 | ||||||
0.800%, 05/28/2025 | 670 | 621 | ||||||
Roche Holdings | ||||||||
2.607%, 12/13/2051 (D) | 425 | 297 | ||||||
2.076%, 12/13/2031 (D) | 1,917 | 1,618 | ||||||
Royalty Pharma | ||||||||
1.200%, 09/02/2025 | 535 | 485 | ||||||
0.750%, 09/02/2023 (E) | 925 | 902 | ||||||
RWJ Barnabas Health | ||||||||
3.949%, 07/01/2046 | 1,030 | 857 | ||||||
Shire Acquisitions Investments Ireland DAC | ||||||||
2.875%, 09/23/2023 | 919 | 908 | ||||||
Takeda Pharmaceutical | ||||||||
4.400%, 11/26/2023 | 1,127 | 1,123 |
130
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Tenet Healthcare | ||||||||
4.375%, 01/15/2030 | $ | 20 | $ | 18 | ||||
Teva Pharmaceutical Finance Netherlands III BV | ||||||||
8.125%, 09/15/2031 | 200 | 210 | ||||||
7.125%, 01/31/2025 | 390 | 398 | ||||||
5.125%, 05/09/2029 | 1,780 | 1,612 | ||||||
4.750%, 05/09/2027 | 200 | 187 | ||||||
3.150%, 10/01/2026 | 1,580 | 1,430 | ||||||
2.800%, 07/21/2023 | 85 | 84 | ||||||
UnitedHealth Group | ||||||||
5.875%, 02/15/2053 | 2,815 | 3,164 | ||||||
5.800%, 03/15/2036 | 280 | 306 | ||||||
5.200%, 04/15/2063 | 314 | 318 | ||||||
5.050%, 04/15/2053 | 471 | 476 | ||||||
4.625%, 07/15/2035 | 523 | 525 | ||||||
4.500%, 04/15/2033 | 471 | 468 | ||||||
4.450%, 12/15/2048 | 90 | 83 | ||||||
4.250%, 04/15/2047 | 450 | 402 | ||||||
4.250%, 06/15/2048 | 110 | 99 | ||||||
4.200%, 05/15/2032 | 290 | 284 | ||||||
4.000%, 05/15/2029 | 997 | 975 | ||||||
3.875%, 12/15/2028 | 170 | 167 | ||||||
3.875%, 08/15/2059 | 360 | 294 | ||||||
3.750%, 07/15/2025 | 270 | 267 | ||||||
3.700%, 08/15/2049 | 150 | 122 | ||||||
3.500%, 06/15/2023 | 150 | 150 | ||||||
3.250%, 05/15/2051 | 456 | 343 | ||||||
3.125%, 05/15/2060 | 50 | 35 | ||||||
3.050%, 05/15/2041 | 145 | 114 | ||||||
2.300%, 05/15/2031 | 80 | 68 | ||||||
2.000%, 05/15/2030 | 140 | 120 | ||||||
1.250%, 01/15/2026 | 170 | 156 | ||||||
Universal Health Services | ||||||||
1.650%, 09/01/2026 | 685 | 603 | ||||||
Viatris | ||||||||
4.000%, 06/22/2050 | 505 | 332 | ||||||
Wyeth | ||||||||
5.950%, 04/01/2037 | 470 | 528 | ||||||
118,316 | ||||||||
Industrials — 2.4% | ||||||||
3M | ||||||||
3.700%, 04/15/2050 (E) | 660 | 540 | ||||||
3.050%, 04/15/2030 (E) | 90 | 82 | ||||||
2.375%, 08/26/2029 (E) | 390 | 345 | ||||||
Adani International Container Terminal Pvt | ||||||||
3.000%, 02/16/2031 (D) | 255 | 192 | ||||||
AerCap Ireland Capital DAC | ||||||||
3.875%, 01/23/2028 | 345 | 318 | ||||||
3.500%, 01/15/2025 | 232 | 222 | ||||||
3.300%, 01/30/2032 | 4,118 | 3,412 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
3.150%, 02/15/2024 | $ | 560 | $ | 543 | ||||
3.000%, 10/29/2028 | 2,375 | 2,073 | ||||||
2.450%, 10/29/2026 | 3,530 | 3,169 | ||||||
1.650%, 10/29/2024 (E) | 1,395 | 1,305 | ||||||
1.150%, 10/29/2023 | 3,112 | 3,017 | ||||||
Air Lease | ||||||||
5.850%, 12/15/2027 | 820 | 824 | ||||||
5.300%, 02/01/2028 | 450 | 444 | ||||||
3.625%, 04/01/2027 | 221 | 205 | ||||||
3.625%, 12/01/2027 | 216 | 200 | ||||||
3.375%, 07/01/2025 | 310 | 295 | ||||||
3.250%, 03/01/2025 | 1,645 | 1,580 | ||||||
Air Lease MTN | ||||||||
2.300%, 02/01/2025 | 355 | 336 | ||||||
Allied Universal Holdco | ||||||||
6.625%, 07/15/2026 (D) | 20 | 19 | ||||||
Boeing | ||||||||
5.930%, 05/01/2060 | 626 | 625 | ||||||
5.805%, 05/01/2050 | 1,390 | 1,399 | ||||||
5.705%, 05/01/2040 | 690 | 698 | ||||||
5.150%, 05/01/2030 | 940 | 946 | ||||||
4.875%, 05/01/2025 | 2,075 | 2,071 | ||||||
3.750%, 02/01/2050 | 954 | 722 | ||||||
3.625%, 03/01/2048 | 23 | 16 | ||||||
3.550%, 03/01/2038 | 196 | 156 | ||||||
3.250%, 02/01/2035 | 1,549 | 1,265 | ||||||
3.200%, 03/01/2029 | 490 | 448 | ||||||
3.100%, 05/01/2026 | 160 | 152 | ||||||
2.800%, 03/01/2027 | 190 | 174 | ||||||
2.700%, 02/01/2027 | 140 | 129 | ||||||
2.196%, 02/04/2026 | 1,979 | 1,836 | ||||||
1.433%, 02/04/2024 | 2,065 | 1,995 | ||||||
Builders FirstSource | ||||||||
4.250%, 02/01/2032 (D) | 80 | 70 | ||||||
Burlington Northern Santa Fe | ||||||||
7.290%, 06/01/2036 | 90 | 109 | ||||||
5.400%, 06/01/2041 | 50 | 52 | ||||||
4.450%, 01/15/2053 | 122 | 114 | ||||||
4.150%, 12/15/2048 | 150 | 131 | ||||||
4.050%, 06/15/2048 | 124 | 108 | ||||||
2.875%, 06/15/2052 | 120 | 84 | ||||||
Canadian National Railway | ||||||||
4.400%, 08/05/2052 | 290 | 272 | ||||||
3.850%, 08/05/2032 | 435 | 413 | ||||||
Canadian Pacific Railway | ||||||||
6.125%, 09/15/2115 | 44 | 47 | ||||||
3.000%, 12/02/2041 | 50 | 40 | ||||||
1.750%, 12/02/2026 | 133 | 121 | ||||||
1.350%, 12/02/2024 | 685 | 645 | ||||||
Carrier Global | ||||||||
3.577%, 04/05/2050 | 30 | 23 |
SEI Institutional Managed Trust
131
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Cintas No. 2 | ||||||||
4.000%, 05/01/2032 | $ | 1,190 | $ | 1,143 | ||||
3.700%, 04/01/2027 | 400 | 388 | ||||||
CoStar Group | ||||||||
2.800%, 07/15/2030 (D) | 830 | 695 | ||||||
Crowley Conro | ||||||||
4.181%, 08/15/2043 | 405 | 391 | ||||||
Deere | ||||||||
3.750%, 04/15/2050 (E) | 530 | 470 | ||||||
3.100%, 04/15/2030 | 100 | 92 | ||||||
Delta Air Lines | ||||||||
7.375%, 01/15/2026 | 580 | 603 | ||||||
4.750%, 10/20/2028 (D) | 2,065 | 1,992 | ||||||
4.500%, 10/20/2025 (D) | 449 | 442 | ||||||
4.375%, 04/19/2028 | 153 | 142 | ||||||
3.800%, 04/19/2023 | 381 | 380 | ||||||
2.900%, 10/28/2024 (E) | 60 | 57 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2020-1, Cl AA | ||||||||
2.000%, 06/10/2028 (E) | 3,402 | 2,994 | ||||||
DP World MTN | ||||||||
5.625%, 09/25/2048 (D) | 990 | 956 | ||||||
Eaton | ||||||||
7.625%, 04/01/2024 | 75 | 77 | ||||||
4.150%, 11/02/2042 | 140 | 124 | ||||||
Emerson Electric | ||||||||
2.800%, 12/21/2051 | 280 | 190 | ||||||
Equifax | ||||||||
3.950%, 06/15/2023 | 1,612 | 1,605 | ||||||
2.600%, 12/15/2025 | 255 | 238 | ||||||
General Dynamics | ||||||||
4.250%, 04/01/2040 | 880 | 831 | ||||||
4.250%, 04/01/2050 | 200 | 187 | ||||||
3.500%, 05/15/2025 | 60 | 59 | ||||||
3.250%, 04/01/2025 | 160 | 156 | ||||||
General Electric MTN | ||||||||
5.344%, ICE LIBOR USD 3 Month + 0.480%, 08/15/2036 (B) | 2,400 | 2,012 | ||||||
GFL Environmental | ||||||||
4.250%, 06/01/2025 (D) | 250 | 244 | ||||||
H&E Equipment Services | ||||||||
3.875%, 12/15/2028 (D) | 80 | 70 | ||||||
Hawaiian Brand Intellectual Property | ||||||||
5.750%, 01/20/2026 (D)(E) | 50 | 47 | ||||||
Honeywell International | ||||||||
1.350%, 06/01/2025 | 310 | 291 | ||||||
John Deere Capital MTN | ||||||||
5.050%, 03/03/2026 | 1,072 | 1,090 | ||||||
4.900%, 03/03/2028 | 765 | 786 | ||||||
4.850%, 10/11/2029 | 506 | 523 | ||||||
4.150%, 09/15/2027 | 1,449 | 1,442 | ||||||
3.350%, 04/18/2029 | 1,255 | 1,188 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
L3Harris Technologies | ||||||||
5.054%, 04/27/2045 | $ | 180 | $ | 172 | ||||
4.854%, 04/27/2035 | 80 | 79 | ||||||
Lockheed Martin | ||||||||
4.500%, 05/15/2036 | 90 | 89 | ||||||
4.150%, 06/15/2053 | 1,220 | 1,109 | ||||||
4.070%, 12/15/2042 | 91 | 83 | ||||||
3.900%, 06/15/2032 (E) | 230 | 224 | ||||||
3.550%, 01/15/2026 | 1,188 | 1,177 | ||||||
Mileage Plus Holdings | ||||||||
6.500%, 06/20/2027 (D) | 434 | 432 | ||||||
Norfolk Southern | ||||||||
4.450%, 03/01/2033 | 465 | 452 | ||||||
Northrop Grumman | ||||||||
5.250%, 05/01/2050 | 350 | 362 | ||||||
4.950%, 03/15/2053 | 456 | 455 | ||||||
4.700%, 03/15/2033 | 635 | 641 | ||||||
4.400%, 05/01/2030 | 985 | 980 | ||||||
4.030%, 10/15/2047 | 192 | 167 | ||||||
3.250%, 08/01/2023 | 716 | 712 | ||||||
3.250%, 01/15/2028 | 1,074 | 1,021 | ||||||
2.930%, 01/15/2025 | 810 | 784 | ||||||
Otis Worldwide | ||||||||
3.112%, 02/15/2040 | 335 | 260 | ||||||
2.056%, 04/05/2025 | 220 | 207 | ||||||
Parker-Hannifin | ||||||||
4.250%, 09/15/2027 | 760 | 745 | ||||||
2.700%, 06/14/2024 | 400 | 389 | ||||||
Prime Security Services Borrower | ||||||||
5.750%, 04/15/2026 (D) | 320 | 318 | ||||||
Protective Life Global Funding | ||||||||
1.618%, 04/15/2026 (D) | 2,170 | 1,978 | ||||||
Quanta Services | ||||||||
0.950%, 10/01/2024 | 550 | 513 | ||||||
Raytheon Technologies | ||||||||
5.375%, 02/27/2053 | 633 | 666 | ||||||
5.150%, 02/27/2033 | 949 | 988 | ||||||
4.625%, 11/16/2048 | 51 | 48 | ||||||
4.500%, 06/01/2042 | 170 | 161 | ||||||
4.450%, 11/16/2038 | 63 | 60 | ||||||
4.150%, 05/15/2045 | 59 | 52 | ||||||
4.125%, 11/16/2028 | 280 | 276 | ||||||
3.950%, 08/16/2025 | 510 | 504 | ||||||
3.150%, 12/15/2024 | 200 | 195 | ||||||
2.250%, 07/01/2030 | 420 | 360 | ||||||
Republic Services | ||||||||
5.000%, 04/01/2034 | 457 | 466 | ||||||
4.875%, 04/01/2029 | 457 | 462 | ||||||
3.950%, 05/15/2028 | 335 | 326 | ||||||
2.500%, 08/15/2024 | 385 | 373 | ||||||
1.450%, 02/15/2031 | 1,650 | 1,312 |
132
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Siemens Financieringsmaatschappij | ||||||||
1.200%, 03/11/2026 (D) | $ | 1,120 | $ | 1,021 | ||||
Spirit Loyalty Cayman | ||||||||
8.000%, 09/20/2025 (D) | 375 | 376 | ||||||
Triton Container International | ||||||||
2.050%, 04/15/2026 (D) | 755 | 670 | ||||||
Union Pacific | ||||||||
3.839%, 03/20/2060 | 1,030 | 834 | ||||||
3.750%, 07/15/2025 | 340 | 335 | ||||||
3.750%, 02/05/2070 | 230 | 176 | ||||||
3.375%, 02/14/2042 | 330 | 272 | ||||||
3.250%, 02/05/2050 | 480 | 365 | ||||||
2.891%, 04/06/2036 | 1,595 | 1,316 | ||||||
2.800%, 02/14/2032 | 397 | 349 | ||||||
2.375%, 05/20/2031 (E) | 293 | 253 | ||||||
United Airlines | ||||||||
4.625%, 04/15/2029 (D) | 510 | 461 | ||||||
4.375%, 04/15/2026 (D) | 300 | 287 | ||||||
United Parcel Service | ||||||||
5.200%, 04/01/2040 (E) | 240 | 250 | ||||||
United Rentals North America | ||||||||
4.875%, 01/15/2028 | 150 | 143 | ||||||
3.875%, 11/15/2027 | 100 | 94 | ||||||
3.875%, 02/15/2031 | 920 | 812 | ||||||
3.750%, 01/15/2032 | 300 | 258 | ||||||
US Airways Pass-Through Trust, Ser 2012-2, Cl A | ||||||||
4.625%, 06/03/2025 | 429 | 406 | ||||||
Vertiv Group | ||||||||
4.125%, 11/15/2028 (D) | 140 | 124 | ||||||
XPO Logistics | ||||||||
6.250%, 05/01/2025 (D) | 32 | 32 | ||||||
84,319 | ||||||||
Information Technology — 1.9% | ||||||||
Apple | ||||||||
4.375%, 05/13/2045 | 360 | 349 | ||||||
4.250%, 02/09/2047 | 162 | 155 | ||||||
4.100%, 08/08/2062 | 217 | 193 | ||||||
3.950%, 08/08/2052 | 429 | 384 | ||||||
3.850%, 05/04/2043 | 220 | 200 | ||||||
3.250%, 08/08/2029 | 225 | 215 | ||||||
3.200%, 05/13/2025 | 64 | 63 | ||||||
3.200%, 05/11/2027 | 232 | 226 | ||||||
2.650%, 05/11/2050 | 425 | 300 | ||||||
2.650%, 02/08/2051 | 189 | 133 | ||||||
2.450%, 08/04/2026 | 1,410 | 1,342 | ||||||
2.400%, 08/20/2050 | 36 | 24 | ||||||
2.375%, 02/08/2041 | 224 | 168 | ||||||
1.400%, 08/05/2028 | 580 | 508 | ||||||
1.125%, 05/11/2025 | 1,110 | 1,042 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Broadcom | ||||||||
4.926%, 05/15/2037 (D) | $ | 939 | $ | 854 | ||||
4.150%, 11/15/2030 | 370 | 343 | ||||||
3.469%, 04/15/2034 (D) | 309 | 254 | ||||||
3.419%, 04/15/2033 (D) | 925 | 774 | ||||||
3.187%, 11/15/2036 (D) | 10 | 8 | ||||||
3.150%, 11/15/2025 | 361 | 345 | ||||||
3.137%, 11/15/2035 (D) | 1,960 | 1,507 | ||||||
2.600%, 02/15/2033 (D) | 1,312 | 1,029 | ||||||
2.450%, 02/15/2031 (D) | 482 | 395 | ||||||
CommScope | ||||||||
6.000%, 03/01/2026 (D) | 200 | 193 | ||||||
4.750%, 09/01/2029 (D) | 140 | 117 | ||||||
Corning | ||||||||
5.450%, 11/15/2079 | 570 | 525 | ||||||
Dell International | ||||||||
6.020%, 06/15/2026 | 39 | 40 | ||||||
Global Payments | ||||||||
4.450%, 06/01/2028 | 1,845 | 1,751 | ||||||
Intel | ||||||||
5.900%, 02/10/2063 | 430 | 443 | ||||||
5.700%, 02/10/2053 | 304 | 310 | ||||||
5.625%, 02/10/2043 | 175 | 179 | ||||||
5.200%, 02/10/2033 | 1,290 | 1,314 | ||||||
5.125%, 02/10/2030 | 320 | 326 | ||||||
4.750%, 03/25/2050 | 170 | 156 | ||||||
3.700%, 07/29/2025 | 223 | 220 | ||||||
3.050%, 08/12/2051 | 270 | 184 | ||||||
2.800%, 08/12/2041 | 721 | 523 | ||||||
1.600%, 08/12/2028 | 540 | 472 | ||||||
International Business Machines | ||||||||
3.000%, 05/15/2024 | 1,510 | 1,482 | ||||||
KLA | ||||||||
4.950%, 07/15/2052 | 257 | 255 | ||||||
3.300%, 03/01/2050 | 252 | 192 | ||||||
Kyndryl Holdings | �� | |||||||
2.050%, 10/15/2026 | 1,350 | 1,173 | ||||||
Marvell Technology | ||||||||
1.650%, 04/15/2026 | 1,030 | 934 | ||||||
Mastercard | ||||||||
3.850%, 03/26/2050 | 80 | 71 | ||||||
3.375%, 04/01/2024 | 80 | 79 | ||||||
Micron Technology | ||||||||
5.875%, 02/09/2033 | 1,043 | 1,055 | ||||||
3.477%, 11/01/2051 | 149 | 97 | ||||||
Microsoft | ||||||||
4.100%, 02/06/2037 (E) | 251 | 248 | ||||||
3.625%, 12/15/2023 | 89 | 89 | ||||||
3.500%, 02/12/2035 | 156 | 148 | ||||||
3.450%, 08/08/2036 | 565 | 523 | ||||||
3.300%, 02/06/2027 | 1,550 | 1,521 | ||||||
3.041%, 03/17/2062 | 199 | 149 |
SEI Institutional Managed Trust
133
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.921%, 03/17/2052 | $ | 669 | $ | 509 | ||||
2.875%, 02/06/2024 | 1,010 | 995 | ||||||
2.700%, 02/12/2025 | 250 | 243 | ||||||
2.525%, 06/01/2050 | 884 | 625 | ||||||
2.400%, 08/08/2026 | 1,410 | 1,342 | ||||||
2.375%, 05/01/2023 | 20 | 20 | ||||||
NVIDIA | ||||||||
3.700%, 04/01/2060 | 310 | 249 | ||||||
3.500%, 04/01/2040 | 430 | 369 | ||||||
3.500%, 04/01/2050 | 1,150 | 941 | ||||||
2.850%, 04/01/2030 | 1,000 | 911 | ||||||
NXP BV | ||||||||
4.400%, 06/01/2027 | 334 | 330 | ||||||
3.250%, 05/11/2041 | 302 | 220 | ||||||
2.700%, 05/01/2025 | 280 | 266 | ||||||
2.500%, 05/11/2031 | 306 | 253 | ||||||
Open Text Holdings | ||||||||
4.125%, 02/15/2030 (D) | 20 | 17 | ||||||
4.125%, 12/01/2031 (D) | 30 | 25 | ||||||
Oracle | ||||||||
6.900%, 11/09/2052 | 2,104 | 2,358 | ||||||
5.550%, 02/06/2053 | 939 | 894 | ||||||
4.900%, 02/06/2033 | 787 | 771 | ||||||
4.650%, 05/06/2030 | 330 | 321 | ||||||
4.375%, 05/15/2055 | 186 | 147 | ||||||
4.000%, 07/15/2046 | 535 | 408 | ||||||
3.950%, 03/25/2051 | 2,335 | 1,757 | ||||||
3.900%, 05/15/2035 | 1,720 | 1,502 | ||||||
3.800%, 11/15/2037 | 2,255 | 1,872 | ||||||
3.650%, 03/25/2041 | 800 | 617 | ||||||
3.600%, 04/01/2040 | 915 | 710 | ||||||
3.600%, 04/01/2050 | 1,150 | 816 | ||||||
2.950%, 11/15/2024 | 315 | 306 | ||||||
2.950%, 04/01/2030 | 860 | 759 | ||||||
2.875%, 03/25/2031 | 1,320 | 1,130 | ||||||
1.650%, 03/25/2026 | 890 | 818 | ||||||
PayPal Holdings | ||||||||
2.300%, 06/01/2030 (E) | 2,845 | 2,436 | ||||||
1.650%, 06/01/2025 | 400 | 376 | ||||||
Prosus | ||||||||
3.832%, 02/08/2051 (D) | 320 | 205 | ||||||
Prosus MTN | ||||||||
4.027%, 08/03/2050 (D) | 730 | 479 | ||||||
3.061%, 07/13/2031 (D) | 2,100 | 1,654 | ||||||
QUALCOMM | ||||||||
6.000%, 05/20/2053 | 693 | 787 | ||||||
Roper Technologies | ||||||||
1.000%, 09/15/2025 | 420 | 384 | ||||||
Salesforce | ||||||||
3.700%, 04/11/2028 | 670 | 658 | ||||||
3.250%, 04/11/2023 | 480 | 480 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Sprint | ||||||||
7.875%, 09/15/2023 | $ | 110 | $ | 111 | ||||
Sprint Capital | ||||||||
8.750%, 03/15/2032 | 590 | 718 | ||||||
Tencent Holdings MTN | ||||||||
3.975%, 04/11/2029 (D) | 600 | 570 | ||||||
3.840%, 04/22/2051 (D) | 1,225 | 888 | ||||||
3.680%, 04/22/2041 (D) | 680 | 519 | ||||||
Texas Instruments | ||||||||
5.000%, 03/14/2053 | 762 | 803 | ||||||
4.900%, 03/14/2033 | 1,220 | 1,269 | ||||||
4.150%, 05/15/2048 | 300 | 279 | ||||||
1.750%, 05/04/2030 | 290 | 246 | ||||||
TSMC Arizona | ||||||||
1.750%, 10/25/2026 | 300 | 272 | ||||||
TSMC Global | ||||||||
1.375%, 09/28/2030 (D) | 1,365 | 1,090 | ||||||
Visa | ||||||||
4.300%, 12/14/2045 | 690 | 664 | ||||||
3.650%, 09/15/2047 | 235 | 205 | ||||||
3.150%, 12/14/2025 | 1,410 | 1,369 | ||||||
VMware | ||||||||
4.700%, 05/15/2030 | 554 | 538 | ||||||
1.400%, 08/15/2026 | 895 | 791 | ||||||
1.000%, 08/15/2024 | 956 | 902 | ||||||
0.600%, 08/15/2023 | 1,347 | 1,322 | ||||||
Vontier | ||||||||
2.950%, 04/01/2031 | 425 | 340 | ||||||
1.800%, 04/01/2026 (E) | 495 | 438 | ||||||
Workday | ||||||||
3.700%, 04/01/2029 | 260 | 244 | ||||||
Xilinx | ||||||||
2.375%, 06/01/2030 | 236 | 206 | ||||||
69,324 | ||||||||
Materials — 1.0% | ||||||||
Amcor Finance USA | ||||||||
3.625%, 04/28/2026 | 2,425 | 2,334 | ||||||
Anglo American Capital | ||||||||
4.750%, 04/10/2027 (D) | 720 | 704 | ||||||
4.750%, 03/16/2052 (D) | 546 | 464 | ||||||
4.000%, 09/11/2027 (D) | 200 | 190 | ||||||
3.875%, 03/16/2029 (D) | 679 | 624 | ||||||
3.625%, 09/11/2024 (D) | 710 | 693 | ||||||
ArcelorMittal | ||||||||
7.000%, 10/15/2039 (E) | 120 | 126 | ||||||
Ball | ||||||||
3.125%, 09/15/2031 | 370 | 306 | ||||||
Barrick North America Finance | ||||||||
5.750%, 05/01/2043 | 290 | 306 | ||||||
5.700%, 05/30/2041 | 509 | 534 |
134
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Berry Global | ||||||||
1.650%, 01/15/2027 | $ | 2,985 | $ | 2,613 | ||||
BHP Billiton Finance USA | ||||||||
5.000%, 09/30/2043 | 410 | 415 | ||||||
4.875%, 02/27/2026 | 1,533 | 1,544 | ||||||
4.750%, 02/28/2028 | 1,226 | 1,241 | ||||||
4.125%, 02/24/2042 | 40 | 36 | ||||||
Celanese US Holdings | ||||||||
6.330%, 07/15/2029 | 990 | 1,001 | ||||||
6.050%, 03/15/2025 (E) | 2,425 | 2,439 | ||||||
Dow Chemical | ||||||||
7.375%, 11/01/2029 | 217 | 249 | ||||||
6.900%, 05/15/2053 | 289 | 334 | ||||||
5.250%, 11/15/2041 | 25 | 24 | ||||||
4.800%, 05/15/2049 | 360 | 320 | ||||||
DuPont de Nemours | ||||||||
4.493%, 11/15/2025 | 830 | 829 | ||||||
Equate Petrochemical BV MTN | ||||||||
4.250%, 11/03/2026 (D) | 480 | 465 | ||||||
First Quantum Minerals | ||||||||
6.875%, 10/15/2027 (D) | 220 | 212 | ||||||
Freeport-McMoRan | ||||||||
5.450%, 03/15/2043 | 785 | 734 | ||||||
5.250%, 09/01/2029 | 859 | 842 | ||||||
4.625%, 08/01/2030 | 180 | 170 | ||||||
4.550%, 11/14/2024 | 40 | 40 | ||||||
Glencore Finance Canada | ||||||||
6.900%, 11/15/2037 (D) | 318 | 355 | ||||||
6.000%, 11/15/2041 (D) | 113 | 114 | ||||||
5.550%, 10/25/2042 (D) | 138 | 132 | ||||||
Glencore Funding | ||||||||
4.875%, 03/12/2029 (D) | 245 | 242 | ||||||
4.125%, 05/30/2023 (D) | 200 | 199 | ||||||
4.125%, 03/12/2024 (D) | 1,340 | 1,325 | ||||||
4.000%, 03/27/2027 (D) | 1,200 | 1,156 | ||||||
3.875%, 10/27/2027 (D) | 220 | 208 | ||||||
3.875%, 04/27/2051 (D) | 173 | 132 | ||||||
2.625%, 09/23/2031 (D) | 678 | 557 | ||||||
International Flavors & Fragrances | ||||||||
5.000%, 09/26/2048 | 1,505 | 1,283 | ||||||
2.300%, 11/01/2030 (D) | 990 | 795 | ||||||
1.230%, 10/01/2025 (D) | 625 | 559 | ||||||
OCP | ||||||||
5.125%, 06/23/2051 (D) | 360 | 261 | ||||||
4.500%, 10/22/2025 (D) | 400 | 387 | ||||||
3.750%, 06/23/2031 (D)(E) | 410 | 334 | ||||||
Orbia Advance | ||||||||
2.875%, 05/11/2031 (D) | 780 | 627 | ||||||
1.875%, 05/11/2026 (D) | 820 | 730 | ||||||
Rohm and Haas | ||||||||
7.850%, 07/15/2029 | 501 | 571 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Southern Copper | ||||||||
5.250%, 11/08/2042 (E) | $ | 2,220 | $ | 2,125 | ||||
Suzano Austria GmbH | ||||||||
3.750%, 01/15/2031 | 1,400 | 1,219 | ||||||
3.125%, 01/15/2032 (E) | 70 | 57 | ||||||
Teck Resources | ||||||||
6.250%, 07/15/2041 | 5 | 5 | ||||||
6.000%, 08/15/2040 | 30 | 30 | ||||||
Vale Overseas | ||||||||
6.875%, 11/21/2036 | 874 | 914 | ||||||
6.250%, 08/10/2026 | 32 | 33 | ||||||
34,139 | ||||||||
Real Estate — 1.0% | ||||||||
Agree | ||||||||
2.600%, 06/15/2033 | 131 | 103 | ||||||
2.000%, 06/15/2028 | 577 | 489 | ||||||
American Assets Trust | ||||||||
3.375%, 02/01/2031 | 1,370 | 1,100 | ||||||
American Homes 4 Rent | ||||||||
4.300%, 04/15/2052 | 238 | 187 | ||||||
3.625%, 04/15/2032 | 3,106 | 2,690 | ||||||
American Tower | ||||||||
5.650%, 03/15/2033 | 1,590 | 1,636 | ||||||
5.500%, 03/15/2028 | 612 | 624 | ||||||
2.950%, 01/15/2051 | 153 | 98 | ||||||
2.700%, 04/15/2031 | 275 | 231 | ||||||
1.875%, 10/15/2030 | 1,430 | 1,134 | ||||||
AvalonBay Communities MTN | ||||||||
2.450%, 01/15/2031 | 1,155 | 973 | ||||||
Boston Properties | ||||||||
3.400%, 06/21/2029 (E) | 720 | 590 | ||||||
Brandywine Operating Partnership | ||||||||
3.950%, 11/15/2027 | 17 | 13 | ||||||
Brixmor Operating Partnership | ||||||||
2.500%, 08/16/2031 | 321 | 248 | ||||||
Camden Property Trust | ||||||||
2.800%, 05/15/2030 | 265 | 230 | ||||||
Crown Castle | ||||||||
5.000%, 01/11/2028 | 1,227 | 1,236 | ||||||
2.900%, 03/15/2027 | 444 | 412 | ||||||
2.900%, 04/01/2041 | 307 | 219 | ||||||
1.050%, 07/15/2026 | 827 | 729 | ||||||
CubeSmart | ||||||||
2.250%, 12/15/2028 | 744 | 639 | ||||||
Equinix | ||||||||
3.900%, 04/15/2032 | 1,715 | 1,559 | ||||||
Essential Properties | ||||||||
2.950%, 07/15/2031 | 1,290 | 947 | ||||||
Essex Portfolio | ||||||||
2.550%, 06/15/2031 | 274 | 225 | ||||||
1.700%, 03/01/2028 | 695 | 597 |
SEI Institutional Managed Trust
135
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Extra Space Storage | ||||||||
3.900%, 04/01/2029 | $ | 226 | $ | 208 | ||||
2.550%, 06/01/2031 | 735 | 596 | ||||||
2.350%, 03/15/2032 | 340 | 267 | ||||||
GLP Capital | ||||||||
5.375%, 04/15/2026 | 1,690 | 1,640 | ||||||
5.300%, 01/15/2029 | 1,463 | 1,396 | ||||||
5.250%, 06/01/2025 | 80 | 78 | ||||||
4.000%, 01/15/2030 | 176 | 156 | ||||||
4.000%, 01/15/2031 | 35 | 30 | ||||||
3.250%, 01/15/2032 | 56 | 46 | ||||||
Healthcare Realty Holdings | ||||||||
3.100%, 02/15/2030 | 1,645 | 1,426 | ||||||
2.050%, 03/15/2031 | 98 | 74 | ||||||
Hudson Pacific Properties | ||||||||
4.650%, 04/01/2029 (E) | 580 | 407 | ||||||
3.950%, 11/01/2027 | 1,246 | 855 | ||||||
Invitation Homes Operating Partnership | ||||||||
4.150%, 04/15/2032 | 1,568 | 1,405 | ||||||
2.300%, 11/15/2028 | 82 | 69 | ||||||
Life Storage | ||||||||
3.875%, 12/15/2027 | 5 | 5 | ||||||
Mid-America Apartments | ||||||||
4.300%, 10/15/2023 | 272 | 271 | ||||||
Physicians Realty | ||||||||
3.950%, 01/15/2028 | 30 | 28 | ||||||
Realty Income | ||||||||
5.625%, 10/13/2032 | 841 | 873 | ||||||
4.850%, 03/15/2030 | 369 | 364 | ||||||
2.850%, 12/15/2032 | 384 | 317 | ||||||
2.200%, 06/15/2028 | 284 | 251 | ||||||
Regency Centers | ||||||||
2.950%, 09/15/2029 | 727 | 629 | ||||||
Sabra Health Care | ||||||||
3.900%, 10/15/2029 | 715 | 591 | ||||||
Simon Property Group | ||||||||
2.450%, 09/13/2029 | 1,020 | 875 | ||||||
STORE Capital | ||||||||
4.625%, 03/15/2029 | 339 | 301 | ||||||
4.500%, 03/15/2028 | 708 | 634 | ||||||
2.750%, 11/18/2030 | 470 | 346 | ||||||
2.700%, 12/01/2031 | 185 | 133 | ||||||
Sun Communities Operating | ||||||||
4.200%, 04/15/2032 | 531 | 475 | ||||||
VICI Properties | ||||||||
5.750%, 02/01/2027 (D) | 185 | 182 | ||||||
5.625%, 05/15/2052 | 627 | 564 | ||||||
5.125%, 05/15/2032 | 1,164 | 1,097 | ||||||
4.625%, 06/15/2025 (D) | 100 | 97 | ||||||
4.500%, 09/01/2026 (D) | 375 | 353 | ||||||
4.500%, 01/15/2028 (D) | 238 | 220 | ||||||
4.125%, 08/15/2030 (D) | 184 | 162 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
3.875%, 02/15/2029 (D) | $ | 655 | $ | 582 | ||||
3.750%, 02/15/2027 (D) | 30 | 28 | ||||||
Welltower | ||||||||
4.500%, 01/15/2024 | 102 | 101 | ||||||
35,041 | ||||||||
Utilities — 1.9% | ||||||||
AEP Texas | ||||||||
6.650%, 02/15/2033 | 500 | 546 | ||||||
Alabama Power | ||||||||
3.700%, 12/01/2047 | 965 | 763 | ||||||
American Electric Power | ||||||||
5.950%, 11/01/2032 | 750 | 798 | ||||||
5.625%, 03/01/2033 | 612 | 633 | ||||||
American Transmission Systems | ||||||||
2.650%, 01/15/2032 (D) | 1,412 | 1,189 | ||||||
Baltimore Gas and Electric | ||||||||
2.250%, 06/15/2031 | 411 | 347 | ||||||
Berkshire Hathaway Energy | ||||||||
2.850%, 05/15/2051 | 1,060 | 728 | ||||||
Boston Gas | ||||||||
4.487%, 02/15/2042 (D) | 35 | 30 | ||||||
CenterPoint Energy Houston Electric | ||||||||
4.950%, 04/01/2033 | 458 | 468 | ||||||
3.600%, 03/01/2052 | 304 | 240 | ||||||
Cleco Power | ||||||||
6.000%, 12/01/2040 | 700 | 704 | ||||||
Comision Federal de Electricidad | ||||||||
3.875%, 07/26/2033 (D)(E) | 270 | 205 | ||||||
Commonwealth Edison | ||||||||
5.300%, 02/01/2053 | 124 | 130 | ||||||
Consolidated Edison of New York | ||||||||
5.200%, 03/01/2033 | 858 | 885 | ||||||
4.450%, 03/15/2044 | 1,120 | 1,002 | ||||||
3.950%, 04/01/2050 | 130 | 108 | ||||||
3.350%, 04/01/2030 (E) | 180 | 166 | ||||||
Constellation Energy Generation | ||||||||
5.600%, 03/01/2028 | 935 | 962 | ||||||
Consumers Energy | ||||||||
2.650%, 08/15/2052 | 184 | 121 | ||||||
2.500%, 05/01/2060 | 235 | 138 | ||||||
Dominion Energy | ||||||||
3.071%, 08/15/2024 (C) | 980 | 950 | ||||||
DTE Electric | ||||||||
3.650%, 03/01/2052 (E) | 220 | 175 | ||||||
2.950%, 03/01/2050 | 480 | 337 | ||||||
DTE Energy | ||||||||
2.529%, 10/01/2024 (C) | 830 | 798 | ||||||
1.050%, 06/01/2025 | 1,495 | 1,374 | ||||||
Duke Energy | ||||||||
3.500%, 06/15/2051 | 85 | 62 | ||||||
3.150%, 08/15/2027 | 280 | 263 |
136
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.550%, 06/15/2031 | $ | 301 | $ | 252 | ||||
0.900%, 09/15/2025 | 705 | 642 | ||||||
Duke Energy Carolinas | ||||||||
5.350%, 01/15/2053 | 615 | 640 | ||||||
4.250%, 12/15/2041 | 628 | 557 | ||||||
4.000%, 09/30/2042 | 1,000 | 855 | ||||||
3.550%, 03/15/2052 | 372 | 289 | ||||||
2.850%, 03/15/2032 | 511 | 444 | ||||||
2.550%, 04/15/2031 | 280 | 240 | ||||||
Duke Energy Florida | ||||||||
3.200%, 01/15/2027 | 1,080 | 1,030 | ||||||
2.400%, 12/15/2031 | 410 | 344 | ||||||
Duke Energy Indiana | ||||||||
4.200%, 03/15/2042 | 30 | 26 | ||||||
2.750%, 04/01/2050 | 280 | 185 | ||||||
Duke Energy Ohio | ||||||||
5.250%, 04/01/2033 | 845 | 869 | ||||||
Duke Energy Progress | ||||||||
5.250%, 03/15/2033 | 428 | 444 | ||||||
4.100%, 05/15/2042 | 425 | 367 | ||||||
2.500%, 08/15/2050 | 415 | 260 | ||||||
Enel Finance International | ||||||||
6.800%, 10/14/2025 (D) | 480 | 496 | ||||||
Entergy Arkansas | ||||||||
5.150%, 01/15/2033 | 616 | 633 | ||||||
2.650%, 06/15/2051 | 370 | 239 | ||||||
Evergy Metro | ||||||||
5.300%, 10/01/2041 | 100 | 99 | ||||||
Eversource Energy | ||||||||
2.900%, 10/01/2024 | 1,610 | 1,552 | ||||||
1.650%, 08/15/2030 | 467 | 376 | ||||||
Exelon | ||||||||
5.625%, 06/15/2035 | 760 | 792 | ||||||
5.600%, 03/15/2053 | 369 | 376 | ||||||
5.300%, 03/15/2033 | 2,093 | 2,129 | ||||||
FirstEnergy | ||||||||
4.150%, 07/15/2027 | 940 | 896 | ||||||
1.600%, 01/15/2026 | 180 | 164 | ||||||
FirstEnergy Transmission | ||||||||
5.450%, 07/15/2044 (D) | 35 | 34 | ||||||
Indiana Michigan Power | ||||||||
4.550%, 03/15/2046 | 325 | 286 | ||||||
ITC Holdings | ||||||||
4.050%, 07/01/2023 | 1,152 | 1,148 | ||||||
Jersey Central Power & Light | ||||||||
4.700%, 04/01/2024 (D) | 700 | 695 | ||||||
2.750%, 03/01/2032 (D) | 1,527 | 1,277 | ||||||
KeySpan Gas East | ||||||||
5.994%, 03/06/2033 (D) | 55 | 57 | ||||||
3.586%, 01/18/2052 (D) | 2,295 | 1,660 | ||||||
2.742%, 08/15/2026 (D) | 1,025 | 938 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Louisville Gas and Electric | ||||||||
5.450%, 04/15/2033 | $ | 1,135 | $ | 1,180 | ||||
Metropolitan Edison | ||||||||
5.200%, 04/01/2028 (D) | 456 | 460 | ||||||
4.300%, 01/15/2029 (D) | 484 | 464 | ||||||
MidAmerican Energy | ||||||||
4.800%, 09/15/2043 | 830 | 799 | ||||||
2.700%, 08/01/2052 | 356 | 241 | ||||||
Mid-Atlantic Interstate Transmission | ||||||||
4.100%, 05/15/2028 (D) | 162 | 157 | ||||||
Mississippi Power | ||||||||
4.250%, 03/15/2042 | 189 | 161 | ||||||
3.100%, 07/30/2051 | 493 | 339 | ||||||
National Rural Utilities Cooperative Finance MTN | ||||||||
1.875%, 02/07/2025 | 275 | 261 | ||||||
NextEra Energy Capital Holdings | ||||||||
6.051%, 03/01/2025 | 1,095 | 1,114 | ||||||
NiSource | ||||||||
5.800%, 02/01/2042 | 149 | 147 | ||||||
NSTAR Electric | ||||||||
4.550%, 06/01/2052 | 334 | 311 | ||||||
3.100%, 06/01/2051 | 254 | 182 | ||||||
Oncor Electric Delivery | ||||||||
2.750%, 05/15/2030 | 1,065 | 949 | ||||||
Pacific Gas and Electric | ||||||||
5.250%, 03/01/2052 | 125 | 106 | ||||||
4.950%, 07/01/2050 | 1,313 | 1,082 | ||||||
4.750%, 02/15/2044 | 138 | 111 | ||||||
4.500%, 07/01/2040 | 141 | 116 | ||||||
4.200%, 06/01/2041 | 239 | 188 | ||||||
3.950%, 12/01/2047 (E) | 945 | 672 | ||||||
3.500%, 08/01/2050 | 130 | 86 | ||||||
3.300%, 08/01/2040 (E) | 60 | 42 | ||||||
2.500%, 02/01/2031 | 1,595 | 1,292 | ||||||
2.100%, 08/01/2027 | 1,515 | 1,321 | ||||||
1.700%, 11/15/2023 | 1,560 | 1,522 | ||||||
PacifiCorp | ||||||||
2.900%, 06/15/2052 | 1,330 | 912 | ||||||
PECO Energy | ||||||||
4.150%, 10/01/2044 | 900 | 786 | ||||||
2.850%, 09/15/2051 | 496 | 339 | ||||||
Pennsylvania Electric | ||||||||
5.150%, 03/30/2026 (D) | 304 | 305 | ||||||
3.250%, 03/15/2028 (D) | 401 | 373 | ||||||
Perusahaan Perseroan Persero Perusahaan Listrik Negara MTN | ||||||||
6.150%, 05/21/2048 (D) | 500 | 486 | ||||||
Piedmont Natural Gas | ||||||||
5.050%, 05/15/2052 | 1,100 | 1,021 | ||||||
Public Service Electric and Gas MTN | ||||||||
5.125%, 03/15/2053 | 545 | 558 |
SEI Institutional Managed Trust
137
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
2.700%, 05/01/2050 | $ | 225 | $ | 152 | ||||
2.050%, 08/01/2050 (E) | 114 | 68 | ||||||
1.900%, 08/15/2031 | 552 | 449 | ||||||
Public Service Enterprise Group | ||||||||
1.600%, 08/15/2030 | 222 | 178 | ||||||
Public Service of Colorado | ||||||||
5.250%, 04/01/2053 | 1,090 | 1,110 | ||||||
Public Service of Oklahoma | ||||||||
3.150%, 08/15/2051 | 278 | 192 | ||||||
Southern California Edison | ||||||||
4.125%, 03/01/2048 | 735 | 608 | ||||||
4.050%, 03/15/2042 | 5 | 4 | ||||||
3.700%, 08/01/2025 | 99 | 96 | ||||||
Southern California Gas | ||||||||
2.550%, 02/01/2030 | 900 | 786 | ||||||
Southern Gas Capital | ||||||||
5.875%, 03/15/2041 | 700 | 731 | ||||||
4.400%, 05/30/2047 | 500 | 427 | ||||||
Southwestern Electric Power | ||||||||
1.650%, 03/15/2026 | 1,575 | 1,432 | ||||||
Southwestern Public Service | ||||||||
3.750%, 06/15/2049 | 845 | 663 | ||||||
Texas Electric Market Stabilization Funding N | ||||||||
4.265%, 08/01/2034 (D)(E) | 2,682 | 2,598 | ||||||
Virginia Electric & Power | ||||||||
4.650%, 08/15/2043 | 585 | 531 | ||||||
Virginia Electric and Power | ||||||||
5.450%, 04/01/2053 | 137 | 140 | ||||||
5.000%, 04/01/2033 | 1,041 | 1,049 | ||||||
2.950%, 11/15/2051 | 411 | 280 | ||||||
Vistra Operations | ||||||||
4.300%, 07/15/2029 (D) | 1,590 | 1,423 | ||||||
WEC Energy Group | ||||||||
0.800%, 03/15/2024 | 595 | 570 | ||||||
Wisconsin Electric Power | ||||||||
4.750%, 09/30/2032 | 412 | 415 | ||||||
1.700%, 06/15/2028 | 255 | 222 | ||||||
67,620 | ||||||||
Total Corporate Obligations | ||||||||
(Cost $1,235,330) ($ Thousands) | 1,138,612 | |||||||
U.S. TREASURY OBLIGATIONS — 24.0% | ||||||||
U.S. Treasury Bills | ||||||||
5.067%, 08/31/2023 (H) | 12,950 | 12,698 | ||||||
4.753%, 07/20/2023 (H) | 10,015 | 9,876 | ||||||
4.752%, 06/15/2023 (H) | 21,475 | 21,273 | ||||||
4.744%, 08/03/2023 (H) | 9,199 | 9,052 | ||||||
4.657%, 06/01/2023 (H) | 5,920 | 5,876 |
Description | Face Amount | Market Value | ||||||
U.S. TREASURY OBLIGATIONS (continued) | ||||||||
4.652%, 07/18/2023 (H) | $ | 16,415 | $ | 16,190 | ||||
4.600%, 07/27/2023 (H) | 5,940 | 5,852 | ||||||
4.558%, 05/11/2023 (H) | 3,985 | 3,965 | ||||||
4.545%, 05/25/2023 (H) | 12,555 | 12,471 | ||||||
4.541%, 05/18/2023 (H) | 12,160 | 12,089 | ||||||
4.444%, 04/27/2023 (H) | 9,030 | 9,002 | ||||||
4.393%, 05/23/2023 (H) | 8,930 | 8,873 | ||||||
U.S. Treasury Bonds | ||||||||
5.250%, 11/15/2028 | 384 | 416 | ||||||
4.000%, 11/15/2042 | 1,930 | 1,982 | ||||||
4.000%, 11/15/2052 | 13,680 | 14,518 | ||||||
3.875%, 02/15/2043 | 13,634 | 13,755 | ||||||
3.625%, 08/15/2043 | 240 | 233 | ||||||
3.625%, 02/15/2053 | 41,328 | 41,031 | ||||||
3.375%, 08/15/2042 | 440 | 413 | ||||||
3.375%, 11/15/2048 | 1,080 | 1,010 | ||||||
3.250%, 05/15/2042 | 4,020 | 3,709 | ||||||
3.125%, 08/15/2044 | 280 | 250 | ||||||
3.125%, 05/15/2048 | 5,285 | 4,717 | ||||||
3.000%, 08/15/2052 | 14,728 | 12,938 | ||||||
2.875%, 08/15/2045 | 320 | 273 | ||||||
2.875%, 05/15/2052 | 9,055 | 7,746 | ||||||
2.375%, 02/15/2042 | 31,615 | 25,423 | ||||||
2.375%, 05/15/2051 | 12,200 | 9,368 | ||||||
2.250%, 02/15/2052 | 20,974 | 15,640 | ||||||
2.000%, 11/15/2041 | 89,782 | 67,761 | ||||||
2.000%, 02/15/2050 | 1,550 | 1,099 | ||||||
2.000%, 08/15/2051 | 13,091 | 9,208 | ||||||
1.875%, 02/15/2041 | 1,382 | 1,034 | ||||||
1.875%, 02/15/2051 | 9,680 | 6,611 | ||||||
1.875%, 11/15/2051 | 9,297 | 6,331 | ||||||
1.750%, 08/15/2041 | 53,279 | 38,577 | ||||||
1.625%, 11/15/2050 | 7,670 | 4,919 | ||||||
1.375%, 11/15/2040 | 25,405 | 17,499 | ||||||
1.375%, 08/15/2050 | 14,650 | 8,797 | ||||||
1.250%, 05/15/2050 | 12,020 | 6,988 | ||||||
1.125%, 05/15/2040 | 13,102 | 8,718 | ||||||
1.125%, 08/15/2040 | 17,246 | 11,399 | ||||||
0.000%, 05/15/2049 (A) | 5,380 | 2,064 | ||||||
U.S. Treasury Inflation Protected Securities | ||||||||
1.625%, 10/15/2027 | 7,824 | 7,976 | ||||||
1.125%, 01/15/2033 | 18,633 | 18,584 | ||||||
U.S. Treasury Notes | ||||||||
4.625%, 02/28/2025 | 12,738 | 12,862 | ||||||
4.625%, 03/15/2026 | 48,444 | 49,549 | ||||||
4.500%, 11/30/2024 | 42 | 42 | ||||||
4.500%, 11/15/2025 | 815 | 827 | ||||||
4.375%, 10/31/2024 | 196 | 196 | ||||||
4.250%, 10/15/2025 | 8,515 | 8,581 | ||||||
4.125%, 01/31/2025 | 7,050 | 7,048 | ||||||
4.125%, 09/30/2027 | 250 | 255 | ||||||
4.000%, 12/15/2025 | 92 | 92 |
138
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
U.S. TREASURY OBLIGATIONS (continued) | ||||||||
4.000%, 02/15/2026 | $ | 925 | $ | 929 | ||||
4.000%, 02/29/2028 | 51,103 | 52,025 | ||||||
4.000%, 02/28/2030 | 4,416 | 4,533 | ||||||
3.875%, 03/31/2025 | 18,964 | 18,906 | ||||||
3.875%, 12/31/2027 | 472 | 477 | ||||||
3.625%, 03/31/2028 | 66,432 | 66,541 | ||||||
3.625%, 03/31/2030 | 5,110 | 5,134 | ||||||
3.500%, 01/31/2028 | 6,430 | 6,396 | ||||||
3.500%, 01/31/2030 | 950 | 946 | ||||||
3.500%, 02/15/2033 | 9,859 | 9,874 | ||||||
3.250%, 06/30/2027 | 7,385 | 7,258 | ||||||
3.250%, 06/30/2029 | 2,594 | 2,543 | ||||||
3.000%, 07/15/2025 | 7,715 | 7,550 | ||||||
3.000%, 09/30/2025 | 449 | 439 | ||||||
2.875%, 04/30/2025 | 3,009 | 2,939 | ||||||
2.750%, 04/30/2027 | 4,880 | 4,703 | ||||||
2.750%, 02/15/2028 | 5,009 | 4,811 | ||||||
2.750%, 05/31/2029 | 3,582 | 3,414 | ||||||
2.625%, 02/15/2029 | 1,635 | 1,550 | ||||||
2.625%, 07/31/2029 | 21,925 | 20,736 | ||||||
2.000%, 11/15/2026 | 5,213 | 4,903 | ||||||
1.875%, 02/28/2029 | 3,246 | 2,949 | ||||||
1.750%, 12/31/2026 | 1,541 | 1,435 | ||||||
1.625%, 05/15/2026 | 4,510 | 4,223 | ||||||
1.500%, 08/15/2026 | 14,437 | 13,400 | ||||||
1.500%, 01/31/2027 | 3,140 | 2,891 | ||||||
1.500%, 11/30/2028 | 2,552 | 2,276 | ||||||
1.375%, 10/31/2028 | 11,356 | 10,075 | ||||||
1.125%, 08/31/2028 | 1,527 | 1,341 | ||||||
0.750%, 05/31/2026 | 6,938 | 6,311 | ||||||
0.500%, 04/30/2027 | 1,070 | 942 | ||||||
0.375%, 11/30/2025 | 3,245 | 2,960 | ||||||
0.375%, 07/31/2027 | 9,400 | 8,166 | ||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $925,872) ($ Thousands) | 861,232 | |||||||
ASSET-BACKED SECURITIES — 9.3% | ||||||||
Automotive — 2.2% | ||||||||
Ally Auto Receivables Trust, Ser 2022-3, Cl A4 | ||||||||
5.070%, 06/15/2031 | 336 | 340 | ||||||
Americredit Automobile Receivables Trust, Ser 2022-1, Cl A2 | ||||||||
2.050%, 01/20/2026 | 626 | 619 | ||||||
Americredit Automobile Receivables Trust, Ser 2022-1, Cl A3 | ||||||||
2.450%, 11/18/2026 | 274 | 265 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
AmeriCredit Automobile Receivables Trust, Ser 2022-2, Cl A3 | ||||||||
4.380%, 04/18/2028 | $ | 1,140 | $ | 1,127 | ||||
Americredit Automobile Receivables Trust, Ser 2023-1, Cl A3 | ||||||||
5.620%, 11/18/2027 | 921 | 934 | ||||||
ARI Fleet Lease Trust, Ser 2022-A, Cl A2 | ||||||||
3.120%, 01/15/2031 (D) | 728 | 716 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2019-3A, Cl A | ||||||||
2.360%, 03/20/2026 (D) | 665 | 630 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2020-1A, Cl A | ||||||||
2.330%, 08/20/2026 (D) | 1,550 | 1,455 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2020-2A, Cl A | ||||||||
2.020%, 02/20/2027 (D) | 2,800 | 2,572 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2021-2A, Cl A | ||||||||
1.660%, 02/20/2028 (D) | 1,460 | 1,284 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2022-4A, Cl A | ||||||||
4.770%, 02/20/2029 (D) | 351 | 345 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2023-1A, Cl A | ||||||||
5.250%, 04/20/2029 (D) | 1,378 | 1,381 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2023-2A, Cl A | ||||||||
5.200%, 10/20/2027 (D) | 771 | 769 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2023-3A, Cl A | ||||||||
5.440%, 02/22/2028 (D) | 630 | 630 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2023-4A, Cl A | ||||||||
5.490%, 06/20/2029 (D) | 1,597 | 1,596 | ||||||
BMW Vehicle Lease Trust, Ser 2023-1, Cl A3 | ||||||||
5.160%, 11/25/2025 | 450 | 451 | ||||||
BMW Vehicle Lease Trust, Ser 2023-1, Cl A4 | ||||||||
5.070%, 06/25/2026 | 462 | 464 | ||||||
Capital One Prime Auto Receivables Trust, Ser 2022-2, Cl A3 | ||||||||
3.660%, 05/17/2027 | 1,095 | 1,069 | ||||||
Capital One Prime Auto Receivables Trust, Ser 2023-1, Cl A3 | ||||||||
4.870%, 02/15/2028 | 1,911 | 1,924 | ||||||
Capital One Prime Auto Receivables Trust, Ser 2023-1, Cl A4 | ||||||||
4.760%, 08/15/2028 | 637 | 641 | ||||||
Chase Auto Owner Trust, Ser 2022-AA, Cl A4 | ||||||||
3.990%, 03/27/2028 (D) | 439 | 432 | ||||||
Donlen Fleet Lease Funding 2, Ser 2021-2, Cl B | ||||||||
0.980%, 12/11/2034 (D) | 575 | 543 |
SEI Institutional Managed Trust
139
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Donlen Fleet Lease Funding 2, Ser 2021-2, Cl C | ||||||||
1.200%, 12/11/2034 (D) | $ | 1,010 | $ | 950 | ||||
Enterprise Fleet Financing, Ser 2023-1, Cl A2 | ||||||||
5.510%, 01/22/2029 (D) | 916 | 918 | ||||||
Enterprise Fleet Financing, Ser 2023-1, Cl A3 | ||||||||
5.420%, 10/22/2029 (D) | 565 | 566 | ||||||
Enterprise Fleet Funding, Ser 2021-1, Cl A3 | ||||||||
0.700%, 12/21/2026 (D) | 425 | 400 | ||||||
Exeter Automobile Receivables Trust, Ser 2023-1A, Cl A2 | ||||||||
5.610%, 06/16/2025 | 630 | 630 | ||||||
Ford Credit Auto Lease Trust, Ser 2022-A, Cl A4 | ||||||||
3.370%, 07/15/2025 | 327 | 320 | ||||||
Ford Credit Auto Lease Trust, Ser 2023-A, Cl A3 | ||||||||
4.940%, 03/15/2026 | 983 | 980 | ||||||
Ford Credit Auto Lease Trust, Ser 2023-A, Cl A4 | ||||||||
4.830%, 05/15/2026 | 492 | 492 | ||||||
Ford Credit Auto Owner Trust, Ser 2022-1, Cl A | ||||||||
3.880%, 11/15/2034 (D) | 2,218 | 2,147 | ||||||
Ford Credit Auto Owner Trust, Ser 2022-A, Cl A3 | ||||||||
1.290%, 06/15/2026 | 436 | 418 | ||||||
Ford Credit Auto Owner Trust, Ser 2022-C, Cl A4 | ||||||||
4.590%, 12/15/2027 | 776 | 775 | ||||||
Ford Credit Auto Owner Trust, Ser 2022-D, Cl A3 | ||||||||
5.270%, 05/17/2027 | 905 | 915 | ||||||
Ford Credit Auto Owner Trust, Ser 2022-D, Cl A4 | ||||||||
5.300%, 03/15/2028 | 307 | 313 | ||||||
Ford Credit Auto Owner Trust, Ser 2023-1, Cl A | ||||||||
4.850%, 08/15/2035 (D) | 2,384 | 2,390 | ||||||
Ford Credit Auto Owner Trust, Ser 2023-A, Cl A3 | ||||||||
4.650%, 02/15/2028 | 2,112 | 2,113 | ||||||
Foursight Capital Automobile Receivables Trust, Ser 2022-1, Cl A2 | ||||||||
1.150%, 09/15/2025 (D) | 342 | 337 | ||||||
GLS Auto Receivables Issuer Trust, Ser 2021-3A, Cl A | ||||||||
0.420%, 01/15/2025 (D) | 18 | 18 | ||||||
GM Financial Automobile Leasing Trust, Ser 2022-3, Cl A3 | ||||||||
4.010%, 09/22/2025 | 840 | 830 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
GM Financial Automobile Leasing Trust, Ser 2023-1, Cl A3 | ||||||||
5.160%, 04/20/2026 | $ | 909 | $ | 914 | ||||
GM Financial Automobile Leasing Trust, Ser 2023-1, Cl A4 | ||||||||
5.160%, 01/20/2027 | 688 | 689 | ||||||
GM Financial Consumer Automobile Receivables Trust, Ser 2022-2, Cl A3 | �� | |||||||
3.100%, 02/16/2027 | 1,894 | 1,834 | ||||||
GM Financial Consumer Automobile Receivables Trust, Ser 2022-2, Cl A4 | ||||||||
3.250%, 04/17/2028 | 1,010 | 978 | ||||||
GM Financial Consumer Automobile Receivables Trust, Ser 2022-4, Cl A3 | ||||||||
4.820%, 08/16/2027 | 891 | 894 | ||||||
GM Financial Revolving Receivables Trust, Ser 2022-1, Cl A | ||||||||
5.910%, 10/11/2035 (D) | 807 | 846 | ||||||
Hertz Vehicle Financing III, Ser 2021-2A, Cl A | ||||||||
1.680%, 12/27/2027 (D) | 780 | 691 | ||||||
Hertz Vehicle Financing III, Ser 2022-1A, Cl A | ||||||||
1.990%, 06/25/2026 (D) | 2,440 | 2,273 | ||||||
Hertz Vehicle Financing III, Ser 2022-3A, Cl A | ||||||||
3.370%, 03/25/2025 (D) | 460 | 451 | ||||||
Hertz Vehicle Financing III, Ser 2023-2A, Cl A | ||||||||
5.570%, 09/25/2029 (D) | 1,526 | 1,549 | ||||||
Hertz Vehicle Financing, Ser 2022-4A, Cl A | ||||||||
3.730%, 09/25/2026 (D) | 363 | 350 | ||||||
Honda Auto Receivables Owner Trust, Ser 2022-2, Cl A3 | ||||||||
3.730%, 07/20/2026 | 575 | 564 | ||||||
Honda Auto Receivables Owner Trust, Ser 2022-2, Cl A4 | ||||||||
3.760%, 12/18/2028 | 419 | 409 | ||||||
Honda Auto Receivables Owner Trust, Ser 2023-1, Cl A3 | ||||||||
5.040%, 04/21/2027 | 1,656 | 1,668 | ||||||
Honda Auto Receivables Owner Trust, Ser 2023-1, Cl A4 | ||||||||
4.970%, 06/21/2029 | 796 | 806 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2022-C, Cl A3 | ||||||||
4.380%, 10/15/2025 (D) | 725 | 718 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2022-C, Cl A4 | ||||||||
4.480%, 08/17/2026 (D) | 900 | 889 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2023-A, Cl A3 | ||||||||
5.050%, 01/15/2026 (D) | 1,020 | 1,021 |
140
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Hyundai Auto Lease Securitization Trust, Ser 2023-A, Cl A4 | ||||||||
4.940%, 11/16/2026 (D) | $ | 404 | $ | 403 | ||||
Hyundai Auto Receivables Trust, Ser 2021-C, Cl A4 | ||||||||
1.030%, 12/15/2027 | 566 | 520 | ||||||
Hyundai Auto Receivables Trust, Ser 2022-A, Cl A3 | ||||||||
2.220%, 10/15/2026 | 1,061 | 1,020 | ||||||
Hyundai Auto Receivables Trust, Ser 2022-A, Cl A4 | ||||||||
2.350%, 04/17/2028 | 361 | 341 | ||||||
Hyundai Auto Receivables Trust, Ser 2022-C, Cl A4 | ||||||||
5.520%, 10/16/2028 | 713 | 732 | ||||||
JPMorgan Chase Bank - CACLN, Ser 2020-1, Cl B | ||||||||
0.991%, 01/25/2028 (D) | 68 | 68 | ||||||
JPMorgan Chase Bank - CACLN, Ser 2020-2, Cl B | ||||||||
0.840%, 02/25/2028 (D) | 186 | 182 | ||||||
JPMorgan Chase Bank - CACLN, Ser 2021-2, Cl B | ||||||||
0.889%, 12/26/2028 (D) | 305 | 294 | ||||||
JPMorgan Chase Bank - CACLN, Ser 2021-3, Cl B | ||||||||
0.760%, 02/26/2029 (D) | 864 | 820 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2022-1, Cl A4 | ||||||||
5.250%, 02/15/2029 | 711 | 725 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2023-1, Cl A3 | �� | |||||||
4.510%, 11/15/2027 | 672 | 671 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2023-1, Cl A4 | ||||||||
4.310%, 04/16/2029 | 544 | 540 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2022-B, Cl A4 | ||||||||
4.450%, 11/15/2029 | 434 | 431 | ||||||
PenFed Auto Receivables Owner Trust, Ser 2022-A, Cl A3 | ||||||||
3.960%, 04/15/2026 (D) | 648 | 640 | ||||||
PenFed Auto Receivables Owner Trust, Ser 2022-A, Cl A4 | ||||||||
4.180%, 12/15/2028 (D) | 318 | 315 | ||||||
Santander Drive Auto Receivables Trust, Ser 2021-2, Cl C | ||||||||
0.900%, 06/15/2026 | 764 | 750 | ||||||
Santander Drive Auto Receivables Trust, Ser 2022-2, Cl A2 | ||||||||
2.120%, 10/15/2026 | 4 | 4 |
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 | $ | 1,951 | ||||
Santander Drive Auto Receivables Trust, Ser 2022-3, Cl A3 | ||||||||
3.400%, 12/15/2026 | 1,453 | 1,432 | ||||||
Santander Drive Auto Receivables Trust, Ser 2022-4, Cl A3 | ||||||||
4.140%, 02/16/2027 | 935 | 923 | ||||||
Santander Drive Auto Receivables Trust, Ser 2022-5, Cl A3 | ||||||||
4.110%, 08/17/2026 | 773 | 765 | ||||||
Santander Drive Auto Receivables Trust, Ser 2022-6, Cl A3 | ||||||||
4.490%, 11/16/2026 | 2,530 | 2,506 | ||||||
Santander Drive Auto Receivables Trust, Ser 2022-7, Cl A3 | ||||||||
5.750%, 04/15/2027 | 513 | 518 | ||||||
Santander Retail Auto Lease Trust, Ser 2022-B, Cl A3 | ||||||||
3.280%, 11/20/2025 (D) | 1,115 | 1,087 | ||||||
Toyota Auto Loan Extended Note Trust, Ser 2019-1A, Cl A | ||||||||
2.560%, 11/25/2031 (D) | 440 | 427 | ||||||
Toyota Auto Loan Extended Note Trust, Ser 2020-1A, Cl A | ||||||||
1.350%, 05/25/2033 (D) | 1,360 | 1,263 | ||||||
Toyota Auto Loan Extended Note Trust, Ser 2022-1A, Cl A | ||||||||
3.820%, 04/25/2035 (D) | 1,891 | 1,833 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2022-B, Cl A4 | ||||||||
3.110%, 08/16/2027 | 753 | 722 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2022-C, Cl A4 | ||||||||
3.770%, 02/15/2028 | 702 | 685 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2022-D, Cl A4 | ||||||||
5.430%, 04/17/2028 | 389 | 398 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2023-A, Cl A4 | ||||||||
4.420%, 08/15/2028 | 513 | 510 | ||||||
Volkswagen Auto Lease Trust, Ser 2022-A, Cl A3 | ||||||||
3.440%, 07/21/2025 | 430 | 421 | ||||||
Wheels SPV 2, Ser 2020-1A, Cl A2 | ||||||||
0.510%, 08/20/2029 (D) | 202 | 201 | ||||||
World Omni Auto Receivables Trust, Ser 2022-C, Cl A3 | ||||||||
3.660%, 10/15/2027 | 645 | 632 | ||||||
World Omni Auto Receivables Trust, Ser 2022-D, Cl A3 | ||||||||
5.610%, 02/15/2028 | 1,435 | 1,458 |
SEI Institutional Managed Trust
141
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
World Omni Select Auto Trust, Ser 2023-A, Cl A2A | ||||||||
5.920%, 03/15/2027 | $ | 767 | $ | 765 | ||||
80,196 | ||||||||
Credit Cards — 0.5% | ||||||||
American Express Credit Account Master Trust, Ser 2022-2, Cl A | ||||||||
3.390%, 05/15/2027 | 785 | 767 | ||||||
American Express Credit Account Master Trust, Ser 2022-3, Cl A | ||||||||
3.750%, 08/15/2027 | 553 | 543 | ||||||
American Express Credit Account Master Trust, Ser 2022-4, Cl A | ||||||||
4.950%, 10/15/2027 | 765 | 772 | ||||||
BA Credit Card Trust, Ser 2022-A1, Cl A1 | ||||||||
3.530%, 11/15/2027 | 998 | 975 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2022-A2, Cl A | ||||||||
3.490%, 05/15/2027 | 931 | 909 | ||||||
Citibank Credit Card Issuance Trust, Ser 2017-A6, Cl A6 | ||||||||
5.569%, ICE LIBOR USD 1 Month + 0.770%, 05/14/2029 (B) | 2,340 | 2,329 | ||||||
Discover Card Execution Note Trust, Ser 2022-A3, Cl A3 | ||||||||
3.560%, 07/15/2027 | 3,577 | 3,495 | ||||||
Discover Card Execution Note Trust, Ser 2022-A4, Cl A | ||||||||
5.030%, 10/15/2027 | 1,729 | 1,751 | ||||||
Evergreen Credit Card Trust, Ser 2023-CRT3, Cl B | ||||||||
6.580%, 02/16/2027 (D) | 1,060 | 1,077 | ||||||
Golden Credit Card Trust, Ser 2022-4A, Cl A | ||||||||
4.310%, 09/15/2027 (D) | 1,940 | 1,919 | ||||||
Master Credit Card Trust II, Ser 2023-1A, Cl A | ||||||||
4.700%, 06/21/2027 (D) | 1,645 | 1,641 | ||||||
Mercury Financial Credit Card Master Trust, Ser 2022-1A, Cl B | ||||||||
3.200%, 09/21/2026 (D) | 580 | 540 | ||||||
Synchrony Card Funding, Ser 2022-A1, Cl A | ||||||||
3.370%, 04/15/2028 | 771 | 749 | ||||||
Synchrony Card Funding, Ser 2022-A2, Cl A | ||||||||
3.860%, 07/15/2028 | 474 | 465 | ||||||
17,932 | ||||||||
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Mortgage Related Securities — 0.3% | ||||||||
Aegis Asset-Backed Securities Mortgage Pass Through Certificates, Ser 2003-3, Cl M1 | ||||||||
5.895%, ICE LIBOR USD 1 Month + 1.050%, 01/25/2034 (B) | $ | 505 | $ | 483 | ||||
Bayview Financial Mortgage Pass-Through Trust, Ser 2006-A, Cl M3 | ||||||||
5.806%, ICE LIBOR USD 1 Month + 0.975%, 02/28/2041 (B) | 95 | 95 | ||||||
Bear Stearns Asset-Backed Securities I Trust, Ser 2004-HE10, Cl M1 | ||||||||
5.820%, ICE LIBOR USD 1 Month + 0.975%, 12/25/2034 (B) | 221 | 216 | ||||||
Bear Stearns Asset-Backed Securities I Trust, Ser 2004-HE6, Cl M1 | ||||||||
5.700%, ICE LIBOR USD 1 Month + 0.855%, 08/25/2034 (B) | 2,599 | 2,467 | ||||||
Citigroup Mortgage Loan Trust, Ser 2006-HE2, Cl M1 | ||||||||
5.280%, ICE LIBOR USD 1 Month + 0.435%, 08/25/2036 (B) | 1,082 | 1,075 | ||||||
Master Asset-Backed Securities Trust, Ser 2007-HE1, Cl A4 | ||||||||
5.125%, ICE LIBOR USD 1 Month + 0.280%, 05/25/2037 (B) | 5,500 | 4,208 | ||||||
Morgan Stanley ABS Capital I Trust, Ser 2005-HE1, Cl M1 | ||||||||
5.520%, ICE LIBOR USD 1 Month + 0.675%, 12/25/2034 (B) | 209 | 195 | ||||||
8,739 | ||||||||
Non-Agency Mortgage-Backed Obligations — 0.3% | ||||||||
Angel Oak Mortgage Trust, Ser 2023-1, Cl A1 | ||||||||
4.750%, 09/26/2067 (C)(D) | 1,816 | 1,748 | ||||||
BANK 2022, Ser BNK44, Cl A5 | ||||||||
5.746%, 11/15/2055 (B) | 703 | 735 | ||||||
BANK5 2023, Ser 5YR1, Cl A3 | ||||||||
6.260%, 03/15/2056 (B) | 981 | 1,010 | ||||||
BBCMS Mortgage Trust, Ser C18, Cl A5 | ||||||||
5.710%, 12/15/2055 (B) | 675 | 705 | ||||||
BLP Commercial Mortgage Trust, Ser IND, Cl A | ||||||||
6.519%, TSFR1M + 1.692%, 03/15/2040 (B)(D) | 450 | 445 | ||||||
BX Trust, Ser LBA, Cl AV | ||||||||
5.743%, TSFR1M + 0.914%, 02/15/2036 (B)(D) | 450 | 429 | ||||||
EFMT, Ser 2023-1, Cl A3 | ||||||||
6.544%, 02/25/2068 (C)(D) | 1,576 | 1,546 |
142
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
FIVE Mortgage Trust, Ser V1, Cl A3 | ||||||||
5.668%, 02/10/2056 (B) | $ | 1,283 | $ | 1,309 | ||||
GS Mortgage Securities Trust, Ser GC32, Cl A3 | ||||||||
3.498%, 07/10/2048 | 346 | 330 | ||||||
LAQ Mortgage Trust, Ser LAQ, Cl A | ||||||||
6.741%, TSFR1M + 2.091%, 03/15/2036 (B)(D) | 440 | 436 | ||||||
PRKCM Trust, Ser 2023-AFC1, Cl A1 | ||||||||
6.598%, 02/25/2058 (C)(D) | 1,826 | 1,829 | ||||||
SCOTT Trust, Ser SFS, Cl A | ||||||||
5.910%, 03/15/2040 (D) | 1,110 | 1,131 | ||||||
11,653 | ||||||||
Other Asset-Backed Securities — 6.0% | ||||||||
Academic Loan Funding Trust, Ser 2012-1A, Cl A2 | ||||||||
5.945%, ICE LIBOR USD 1 Month + 1.100%, 12/27/2044 (B)(D) | 941 | 921 | ||||||
ACRES Commercial Realty, Ser 2021-FL1, Cl A | ||||||||
5.909%, ICE LIBOR USD 1 Month + 1.200%, 06/15/2036 (B)(D) | 1,760 | 1,716 | ||||||
AIG CLO, Ser 2021-1A, Cl A1R | ||||||||
5.928%, ICE LIBOR USD 3 Month + 1.120%, 04/20/2032 (B)(D) | 3,400 | 3,353 | ||||||
Aligned Data Centers Issuer, Ser 2022-1A, Cl A2 | ||||||||
6.350%, 10/15/2047 (D) | 70 | 71 | ||||||
American Homes 4 Rent Trust, Ser 2015-SFR1, Cl A | ||||||||
3.467%, 04/17/2052 (D) | 1,870 | 1,805 | ||||||
AMMC CLO XIII, Ser 2021-13A, Cl A1R2 | ||||||||
5.866%, ICE LIBOR USD 3 Month + 1.050%, 07/24/2029 (B)(D) | 2,118 | 2,102 | ||||||
Antares CLO, Ser 2021-1A, Cl A1R | ||||||||
6.275%, ICE LIBOR USD 3 Month + 1.460%, 10/23/2033 (B)(D) | 1,400 | 1,348 | ||||||
Applebee's Funding, Ser 2019-1A, Cl A2I | ||||||||
4.194%, 06/05/2049 (D) | 1,851 | 1,809 | ||||||
Applebee's Funding, Ser 2023-1A, Cl A2 | ||||||||
7.824%, 03/05/2053 (D) | 1,790 | 1,790 | ||||||
Aqua Finance Trust, Ser 2021-A, Cl A | ||||||||
1.540%, 07/17/2046 (D) | 893 | 801 | ||||||
Arbor Realty Commercial Real Estate Notes, Ser 2021-FL3, Cl A | ||||||||
5.754%, ICE LIBOR USD 1 Month + 1.070%, 08/15/2034 (B)(D) | 3,213 | 3,153 | ||||||
Brazos Higher Education Authority, Ser 2010-1, Cl A2 | ||||||||
6.158%, ICE LIBOR USD 3 Month + 1.200%, 02/25/2035 (B) | 2,401 | 2,382 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Brazos Higher Education Authority, Ser 2011-2, Cl A3 | ||||||||
5.818%, ICE LIBOR USD 3 Month + 1.000%, 10/27/2036 (B) | $ | 1,758 | $ | 1,741 | ||||
Cedar Funding XII CLO, Ser 2021-12A, Cl BR | ||||||||
6.418%, ICE LIBOR USD 3 Month + 1.600%, 10/25/2034 (B)(D) | 3,000 | 2,893 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A5 | ||||||||
4.841%, 11/25/2034 (C) | 24 | 23 | ||||||
CIFC Funding, Ser 2021-7A, Cl A1 | ||||||||
5.945%, ICE LIBOR USD 3 Month + 1.130%, 01/23/2035 (B)(D) | 3,500 | 3,419 | ||||||
CIT Education Loan Trust, Ser 2007-1, Cl A | ||||||||
5.224%, ICE LIBOR USD 3 Month + 0.090%, 03/25/2042 (B)(D) | 702 | 667 | ||||||
Citicorp Residential Mortgage Trust, Ser 2007-1, Cl A5 | ||||||||
4.933%, 03/25/2037 (C) | 622 | 615 | ||||||
CNH Equipment Trust, Ser 2022-B, Cl A3 | ||||||||
3.890%, 08/16/2027 | 1,360 | 1,336 | ||||||
CNH Equipment Trust, Ser 2022-C, Cl A3 | ||||||||
5.150%, 04/17/2028 | 1,255 | 1,266 | ||||||
College Ave Student Loans, Ser 2021-C, Cl A2 | ||||||||
2.320%, 07/26/2055 (D) | 740 | 642 | ||||||
College Avenue Student Loans, Ser 2017-A, Cl A1 | ||||||||
6.495%, ICE LIBOR USD 1 Month + 1.650%, 11/26/2046 (B)(D) | 321 | 319 | ||||||
College Avenue Student Loans, Ser 2018-A, Cl A2 | ||||||||
4.130%, 12/26/2047 (D) | 210 | 198 | ||||||
College Avenue Student Loans, Ser 2019-A, Cl A2 | ||||||||
3.280%, 12/28/2048 (D) | 406 | 372 | ||||||
College Avenue Student Loans, Ser 2021-A, Cl A2 | ||||||||
1.600%, 07/25/2051 (D) | 521 | 455 | ||||||
College Avenue Student Loans, Ser 2021-B, Cl A2 | ||||||||
1.760%, 06/25/2052 (D) | 343 | 295 | ||||||
Countrywide Asset-Backed Certificates, Ser 2004-5, Cl 1A | ||||||||
5.345%, ICE LIBOR USD 1 Month + 0.500%, 10/25/2034 (B) | 298 | 278 | ||||||
Countrywide Asset-Backed Certificates, Ser 2004-6, Cl 1A1 | ||||||||
5.385%, ICE LIBOR USD 1 Month + 0.540%, 12/25/2034 (B) | 210 | 197 |
SEI Institutional Managed Trust
143
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Countrywide Asset-Backed Certificates, Ser 2007-13, Cl 2A2 | ||||||||
5.645%, ICE LIBOR USD 1 Month + 0.800%, 10/25/2047 (B) | $ | 1,134 | $ | 1,016 | ||||
Countrywide Home Equity Loan Trust, Ser 2006-F, Cl 2A1A | ||||||||
4.824%, ICE LIBOR USD 1 Month + 0.140%, 07/15/2036 (B) | 185 | 166 | ||||||
CSEMC, Ser 2020-1, Cl A | ||||||||
7.252%, 08/09/2024 | 1,250 | 1,222 | ||||||
Dividend Solar Loans, Ser 2019-1, Cl A | ||||||||
3.670%, 08/22/2039 (D) | 1,087 | 980 | ||||||
DLLAD, Ser 2023-1A, Cl A3 | ||||||||
4.790%, 01/20/2028 (D) | 1,325 | 1,312 | ||||||
DLLST, Ser 2022-1A, Cl A3 | ||||||||
3.400%, 01/21/2025 (D) | 2,440 | 2,391 | ||||||
Dryden XXVI Senior Loan Fund, Ser 2018-26A, Cl AR | ||||||||
5.692%, ICE LIBOR USD 3 Month + 0.900%, 04/15/2029 (B)(D) | 1,007 | 998 | ||||||
Educational Funding of the South, Ser 2011-1, Cl A2 | ||||||||
5.468%, ICE LIBOR USD 3 Month + 0.650%, 04/25/2035 (B) | 340 | 339 | ||||||
Educational Funding, Ser 2006-1A, Cl A3 | ||||||||
5.168%, ICE LIBOR USD 3 Month + 0.350%, 04/25/2033 (B)(D) | 1,491 | 1,027 | ||||||
EDvestinU Private Education Loan Issue No. 4, Ser 2022-A, Cl A | ||||||||
5.250%, 11/25/2040 (D) | 656 | 637 | ||||||
First Franklin Mortgage Loan Trust, Ser 2004-FF5, Cl A3C | ||||||||
5.845%, ICE LIBOR USD 1 Month + 1.000%, 08/25/2034 (B) | 256 | 238 | ||||||
FirstKey Homes Trust, Ser 2020-SFR2, Cl A | ||||||||
1.266%, 10/19/2037 (D) | 3,377 | 3,065 | ||||||
FNMA Grantor Trust, Ser 2017-T1, Cl A | ||||||||
2.898%, 06/25/2027 | 199 | 187 | ||||||
Ford Credit Floorplan Master Owner Trust A, Ser 2018-4, Cl A | ||||||||
4.060%, 11/15/2030 | 1,860 | 1,797 | ||||||
Fremont Home Loan Trust, Ser 2005-E, Cl 2A4 | ||||||||
5.505%, ICE LIBOR USD 1 Month + 0.660%, 01/25/2036 (B) | 4,401 | 4,056 | ||||||
Galaxy Xxiv Clo, Ser 2017-24A, Cl A | ||||||||
5.912%, ICE LIBOR USD 3 Month + 1.120%, 01/15/2031 (B)(D) | 1,160 | 1,148 | ||||||
Galaxy Xxviii Clo, Ser 2018-28A, Cl A1 | ||||||||
5.892%, ICE LIBOR USD 3 Month + 1.100%, 07/15/2031 (B)(D) | 700 | 692 | ||||||
Global SC Finance II SRL, Ser 2014-1A, Cl A2 | ||||||||
3.090%, 07/17/2029 (D) | 225 | 219 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
GoldenTree Loan Opportunities IX, Ser 2018-9A, Cl AR2 | ||||||||
5.912%, ICE LIBOR USD 3 Month + 1.110%, 10/29/2029 (B)(D) | $ | 2,423 | $ | 2,408 | ||||
GoodLeap Sustainable Home Solutions Trust, Ser 2021-4GS, Cl A | ||||||||
1.930%, 07/20/2048 (D) | 868 | 670 | ||||||
GreatAmerica Leasing Receivables Funding Series, Ser 2022-1, Cl A3 | ||||||||
5.080%, 09/15/2026 (D) | 750 | 752 | ||||||
GSAMP Trust, Ser 2003-SEA, Cl A1 | ||||||||
5.645%, ICE LIBOR USD 1 Month + 0.800%, 02/25/2033 (B) | 299 | 288 | ||||||
GSAMP Trust, Ser 2005-WMC3, Cl A2C | ||||||||
5.505%, ICE LIBOR USD 1 Month + 0.660%, 12/25/2035 (B) | 5,090 | 4,906 | ||||||
GSAMP Trust, Ser 2006-HE3, Cl A2D | ||||||||
5.345%, ICE LIBOR USD 1 Month + 0.500%, 05/25/2046 (B) | 4,470 | 4,090 | ||||||
Higher Education Funding, Ser 2014-1, Cl A | ||||||||
6.008%, ICE LIBOR USD 3 Month + 1.050%, 05/25/2034 (B)(D) | 64 | 64 | ||||||
Hildene Community Funding CDO, Ser 2021-1A, Cl ARR | ||||||||
2.600%, 11/01/2035 (D) | 1,212 | 1,034 | ||||||
Hilton Grand Vacations Trust, Ser 2020-AA, Cl A | ||||||||
2.740%, 02/25/2039 (D) | 504 | 475 | ||||||
Home Partners of America Trust, Ser 2019-2, Cl A | ||||||||
2.703%, 10/19/2039 (D) | 1,443 | 1,312 | ||||||
Home Partners of America Trust, Ser 2022-1, Cl A | ||||||||
3.930%, 04/17/2039 (D) | 2,059 | 1,951 | ||||||
Hotwire Funding, Ser 2021-1, Cl A2 | ||||||||
2.311%, 11/20/2051 (D) | 820 | 712 | ||||||
JGWPT XXX, Ser 2013-3A, Cl A | ||||||||
4.080%, 01/17/2073 (D) | 700 | 650 | ||||||
JGWPT XXXII, Ser 2014-2A, Cl A | ||||||||
3.610%, 01/17/2073 (D) | 916 | 817 | ||||||
LCM XXI, Ser 2018-21A, Cl AR | ||||||||
5.688%, ICE LIBOR USD 3 Month + 0.880%, 04/20/2028 (B)(D) | 221 | 220 | ||||||
LMREC, Ser 2019-CRE3, Cl A | ||||||||
6.197%, ICE LIBOR USD 1 Month + 1.400%, 12/22/2035 (B)(D) | 1,698 | 1,695 | ||||||
Lunar Structured Aircraft Portfolio Notes, Ser 2021-1, Cl A | ||||||||
2.636%, 10/15/2046 (D) | 987 | 859 | ||||||
Magnetite VII, Ser 2018-7A, Cl A1R2 | ||||||||
5.592%, ICE LIBOR USD 3 Month + 0.800%, 01/15/2028 (B)(D) | 766 | 759 |
144
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
MF1, Ser 2020-FL4, Cl A | ||||||||
6.474%, TSFR1M + 1.814%, 11/15/2035 (B)(D) | $ | 645 | $ | 640 | ||||
MF1, Ser 2021-FL7, Cl A | ||||||||
5.841%, ICE LIBOR USD 1 Month + 1.080%, 10/16/2036 (B)(D) | 4,115 | 3,990 | ||||||
MF1, Ser 2022-FL10, Cl A | ||||||||
7.391%, TSFR1M + 2.635%, 09/17/2037 (B)(D) | 675 | 671 | ||||||
MF1, Ser 2022-FL8, Cl A | ||||||||
5.910%, SOFR30A + 1.350%, 02/19/2037 (B)(D) | 2,380 | 2,315 | ||||||
MFA Trust, Ser 2021-NQM2, Cl A1 | ||||||||
1.029%, 11/25/2064 (B)(D) | 294 | 240 | ||||||
Mid-State Trust XI, Ser 2003-11, Cl A1 | ||||||||
4.864%, 07/15/2038 | 981 | 950 | ||||||
Morgan Stanley Resecuritization Trust, Ser 2015-R7, Cl 1BXA | ||||||||
7.060%, 02/26/2029 (B)(D) | 770 | 712 | ||||||
MVW, Ser 2021-1WA, Cl A | ||||||||
1.140%, 01/22/2041 (D) | 478 | 435 | ||||||
MVW, Ser 2021-1WA, Cl B | ||||||||
1.440%, 01/22/2041 (D) | 238 | 217 | ||||||
Navient Private Education Loan Trust, Ser 2014-AA, Cl A3 | ||||||||
6.284%, ICE LIBOR USD 1 Month + 1.600%, 10/15/2031 (B)(D) | 410 | 408 | ||||||
Navient Private Education Loan Trust, Ser 2016-AA, Cl A2B | ||||||||
6.834%, ICE LIBOR USD 1 Month + 2.150%, 12/15/2045 (B)(D) | 226 | 226 | ||||||
Navient Private Education Loan Trust, Ser 2018-BA, Cl A2A | ||||||||
3.610%, 12/15/2059 (D) | 239 | 231 | ||||||
Navient Private Education Refi Loan Trust, Ser 2018-A, Cl A2 | ||||||||
3.190%, 02/18/2042 (D) | 16 | 16 | ||||||
Navient Private Education Refi Loan Trust, Ser 2018-CA, Cl A2 | ||||||||
3.520%, 06/16/2042 (D) | 29 | 29 | ||||||
Navient Private Education Refi Loan Trust, Ser 2018-DA, Cl A2A | ||||||||
4.000%, 12/15/2059 (D) | 1,376 | 1,326 | ||||||
Navient Private Education Refi Loan Trust, Ser 2019-A, Cl A2A | ||||||||
3.420%, 01/15/2043 (D) | 530 | 508 | ||||||
Navient Private Education Refi Loan Trust, Ser 2019-CA, Cl A2 | ||||||||
3.130%, 02/15/2068 (D) | 817 | 779 | ||||||
Navient Private Education Refi Loan Trust, Ser 2019-D, Cl A2A | ||||||||
3.010%, 12/15/2059 (D) | 1,098 | 1,030 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Navient Private Education Refi Loan Trust, Ser 2019-FA, Cl A2 | ||||||||
2.600%, 08/15/2068 (D) | $ | 1,664 | $ | 1,539 | ||||
Navient Private Education Refi Loan Trust, Ser 2020-BA, Cl A2 | ||||||||
2.120%, 01/15/2069 (D) | 383 | 350 | ||||||
Navient Private Education Refi Loan Trust, Ser 2020-DA, Cl A | ||||||||
1.690%, 05/15/2069 (D) | 147 | 134 | ||||||
Navient Private Education Refi Loan Trust, Ser 2020-GA, Cl A | ||||||||
1.170%, 09/16/2069 (D) | 654 | 585 | ||||||
Navient Private Education Refi Loan Trust, Ser 2020-HA, Cl A | ||||||||
1.310%, 01/15/2069 (D) | 350 | 321 | ||||||
Navient Private Education Refi Loan Trust, Ser 2021-A, Cl A | ||||||||
0.840%, 05/15/2069 (D) | 94 | 83 | ||||||
Navient Private Education Refi Loan Trust, Ser 2021-BA, Cl A | ||||||||
0.940%, 07/15/2069 (D) | 765 | 668 | ||||||
Navient Private Education Refi Loan Trust, Ser 2021-CA, Cl A | ||||||||
1.060%, 10/15/2069 (D) | 1,285 | 1,122 | ||||||
Navient Private Education Refi Loan Trust, Ser 2021-EA, Cl A | ||||||||
0.970%, 12/16/2069 (D) | 1,411 | 1,198 | ||||||
Navient Private Education Refi Loan Trust, Ser 2021-FA, Cl A | ||||||||
1.110%, 02/18/2070 (D) | 924 | 779 | ||||||
Navient Private Education Refi Loan Trust, Ser 2021-GA, Cl A | ||||||||
1.580%, 04/15/2070 (D) | 219 | 191 | ||||||
Navient Private Education Refi Loan Trust, Ser 2022-A, Cl A | ||||||||
2.230%, 07/15/2070 (D) | 660 | 593 | ||||||
Navient Student Loan Trust, Ser 2014-1, Cl A3 | ||||||||
5.355%, ICE LIBOR USD 1 Month + 0.510%, 06/25/2031 (B) | 1,928 | 1,889 | ||||||
Navient Student Loan Trust, Ser 2014-3, Cl A | ||||||||
5.465%, ICE LIBOR USD 1 Month + 0.620%, 03/25/2083 (B) | 1,785 | 1,733 | ||||||
Navient Student Loan Trust, Ser 2014-4, Cl A | ||||||||
5.465%, ICE LIBOR USD 1 Month + 0.620%, 03/25/2083 (B) | 1,200 | 1,166 | ||||||
Navient Student Loan Trust, Ser 2016-2A, Cl A3 | ||||||||
6.345%, ICE LIBOR USD 1 Month + 1.500%, 06/25/2065 (B)(D) | 1,087 | 1,084 |
SEI Institutional Managed Trust
145
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Navient Student Loan Trust, Ser 2017-1A, Cl A3 | ||||||||
5.995%, ICE LIBOR USD 1 Month + 1.150%, 07/26/2066 (B)(D) | $ | 806 | $ | 795 | ||||
Navient Student Loan Trust, Ser 2017-3A, Cl A3 | ||||||||
5.895%, ICE LIBOR USD 1 Month + 1.050%, 07/26/2066 (B)(D) | 2,786 | 2,759 | ||||||
Navient Student Loan Trust, Ser 2019-BA, Cl A2A | ||||||||
3.390%, 12/15/2059 (D) | 1,124 | 1,071 | ||||||
Navient Student Loan Trust, Ser 2021-1A, Cl A1A | ||||||||
1.310%, 12/26/2069 (D) | 412 | 351 | ||||||
Navient Student Loan Trust, Ser 2021-3A, Cl A1A | ||||||||
1.770%, 08/25/2070 (D) | 995 | 873 | ||||||
Nelnet Student Loan Trust, Ser 2004-3, Cl A5 | ||||||||
4.998%, ICE LIBOR USD 3 Month + 0.180%, 10/27/2036 (B) | 345 | 337 | ||||||
Nelnet Student Loan Trust, Ser 2004-4, Cl A5 | ||||||||
4.978%, ICE LIBOR USD 3 Month + 0.160%, 01/25/2037 (B) | 690 | 680 | ||||||
Nelnet Student Loan Trust, Ser 2005-1, Cl A5 | ||||||||
4.928%, ICE LIBOR USD 3 Month + 0.110%, 10/25/2033 (B) | 2,004 | 1,957 | ||||||
Nelnet Student Loan Trust, Ser 2005-2, Cl A5 | ||||||||
5.047%, ICE LIBOR USD 3 Month + 0.100%, 03/23/2037 (B) | 1,660 | 1,620 | ||||||
Nelnet Student Loan Trust, Ser 2005-3, Cl A5 | ||||||||
5.067%, ICE LIBOR USD 3 Month + 0.120%, 12/24/2035 (B) | 1,647 | 1,611 | ||||||
Nelnet Student Loan Trust, Ser 2005-4, Cl A4 | ||||||||
5.127%, ICE LIBOR USD 3 Month + 0.180%, 03/22/2032 (B) | 272 | 264 | ||||||
Nelnet Student Loan Trust, Ser 2014-2A, Cl A3 | ||||||||
5.695%, ICE LIBOR USD 1 Month + 0.850%, 07/27/2037 (B)(D) | 950 | 929 | ||||||
Nelnet Student Loan Trust, Ser 2014-4A, Cl A2 | ||||||||
5.795%, ICE LIBOR USD 1 Month + 0.950%, 11/25/2048 (B)(D) | 2,155 | 2,107 | ||||||
Nelnet Student Loan Trust, Ser 2019-5, Cl A | �� | |||||||
2.530%, 10/25/2067 (D) | 627 | 574 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Nelnet Student Loan Trust, Ser 2021-A, Cl APT1 | ||||||||
1.360%, 04/20/2062 (D) | $ | 455 | $ | 411 | ||||
Nelnet Student Loan Trust, Ser 2021-CA, Cl AFX | ||||||||
1.320%, 04/20/2062 (D) | 880 | 791 | ||||||
Neuberger Berman CLO XVII, Ser 2020-17A, Cl AR2 | ||||||||
5.845%, ICE LIBOR USD 3 Month + 1.030%, 04/22/2029 (B)(D) | 343 | 339 | ||||||
New Economy Assets Phase 1 Sponsor, Ser 2021-1, Cl B1 | ||||||||
2.410%, 10/20/2061 (D) | 3,245 | 2,765 | ||||||
Oak Street Investment Grade Net Lease Fund, Ser 2020-1A, Cl A1 | ||||||||
1.850%, 11/20/2050 (D) | 1,074 | 969 | ||||||
Octagon Investment Partners XIV, Ser 2021-1A, Cl AARR | ||||||||
5.742%, ICE LIBOR USD 3 Month + 0.950%, 07/15/2029 (B)(D) | 3,065 | 3,038 | ||||||
Octane Receivables Trust, Ser 2023-1A, Cl A | ||||||||
5.870%, 05/21/2029 (D) | 924 | 926 | ||||||
Orange Lake Timeshare Trust, Ser 2019-A, Cl A | ||||||||
3.060%, 04/09/2038 (D) | 367 | 354 | ||||||
Origen Manufactured Housing Contract Trust, Ser 2006-A, Cl A2 | ||||||||
5.522%, 10/15/2037 (B) | 522 | 475 | ||||||
Pawneee Equipment Receivables, Ser 2021-1, Cl A2 | ||||||||
1.100%, 07/15/2027 (D) | 663 | 637 | ||||||
PFCA Home Equity Investment Trust, Ser 2004-GP2, Cl A | ||||||||
4.225%, 08/25/2035 (B)(D) | 12 | 10 | ||||||
Progress Residential Trust, Ser 2019-SFR3, Cl A | ||||||||
2.271%, 09/17/2036 (D) | 1,059 | 1,013 | ||||||
Progress Residential Trust, Ser 2019-SFR4, Cl A | ||||||||
2.687%, 10/17/2036 (D) | 879 | 841 | ||||||
Progress Residential Trust, Ser 2021-SFR11, Cl A | ||||||||
2.283%, 01/17/2039 (D) | 698 | 599 | ||||||
Progress Residential Trust, Ser 2021-SFR3, Cl A | ||||||||
1.637%, 05/17/2026 (D) | 2,380 | 2,122 | ||||||
RAMP Trust, Ser 2006-RZ3, Cl M1 | ||||||||
5.195%, ICE LIBOR USD 1 Month + 0.350%, 08/25/2036 (B) | 3,123 | 2,999 | ||||||
Rockford Tower CLO, Ser 2021-2A, Cl AR | ||||||||
6.015%, ICE LIBOR USD 3 Month + 1.100%, 08/20/2032 (B)(D) | 3,150 | 3,086 |
146
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
SBA Small Business Investment, Ser 2018-10B, Cl 1 | ||||||||
3.548%, 09/10/2028 | $ | 578 | $ | 550 | ||||
SBA Small Business Investment, Ser 2022-10A, Cl 1 | ||||||||
2.938%, 03/10/2032 | 857 | 801 | ||||||
SBA Small Business Investment, Ser 2022-10B, Cl 1 | ||||||||
4.262%, 09/10/2032 | 445 | 436 | ||||||
Sequoia Infrastructure Funding I Ltd., Ser 2021-1A, Cl A | ||||||||
6.192%, ICE LIBOR USD 3 Month + 1.400%, 04/15/2031 (B)(D) | 531 | 525 | ||||||
Sierra Timeshare Receivables Funding, Ser 2018-3A, Cl B | ||||||||
3.870%, 09/20/2035 (D) | 432 | 425 | ||||||
Sierra Timeshare Receivables Funding, Ser 2021-2A, Cl A | ||||||||
1.350%, 09/20/2038 (D) | 341 | 315 | ||||||
SLM Private Credit Student Loan Trust, Ser 2004-B, Cl A3 | ||||||||
5.196%, ICE LIBOR USD 3 Month + 0.330%, 03/15/2024 (B) | 48 | 48 | ||||||
SLM Private Credit Student Loan Trust, Ser 2005-A, Cl A4 | ||||||||
5.176%, ICE LIBOR USD 3 Month + 0.310%, 12/15/2038 (B) | 915 | 871 | ||||||
SLM Student Loan Trust, Ser 2003-7A, Cl A5A | ||||||||
6.066%, ICE LIBOR USD 3 Month + 1.200%, 12/15/2033 (B)(D) | 1,520 | 1,497 | ||||||
SLM Student Loan Trust, Ser 2005-4, Cl A4 | ||||||||
4.988%, ICE LIBOR USD 3 Month + 0.170%, 07/25/2040 (B) | 2,877 | 2,719 | ||||||
SLM Student Loan Trust, Ser 2006-8, Cl A6 | ||||||||
4.978%, ICE LIBOR USD 3 Month + 0.160%, 01/25/2041 (B) | 1,857 | 1,763 | ||||||
SLM Student Loan Trust, Ser 2007-7, Cl B | ||||||||
5.568%, ICE LIBOR USD 3 Month + 0.750%, 10/27/2070 (B) | 1,050 | 892 | ||||||
SLM Student Loan Trust, Ser 2008-2, Cl B | ||||||||
6.018%, ICE LIBOR USD 3 Month + 1.200%, 01/25/2083 (B) | 685 | 532 | ||||||
SLM Student Loan Trust, Ser 2008-3, Cl B | ||||||||
6.018%, ICE LIBOR USD 3 Month + 1.200%, 04/26/2083 (B) | 685 | 610 | ||||||
SLM Student Loan Trust, Ser 2008-4, Cl A4 | ||||||||
6.468%, ICE LIBOR USD 3 Month + 1.650%, 07/25/2022 (B) | 440 | 439 | ||||||
SLM Student Loan Trust, Ser 2008-4, Cl B | ||||||||
6.668%, ICE LIBOR USD 3 Month + 1.850%, 04/25/2073 (B) | 685 | 655 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
SLM Student Loan Trust, Ser 2008-5, Cl A4 | ||||||||
6.518%, ICE LIBOR USD 3 Month + 1.700%, 07/25/2023 (B) | $ | 75 | $ | 75 | ||||
SLM Student Loan Trust, Ser 2008-5, Cl B | ||||||||
6.668%, ICE LIBOR USD 3 Month + 1.850%, 07/25/2073 (B) | 685 | 638 | ||||||
SLM Student Loan Trust, Ser 2008-6, Cl A4 | ||||||||
5.918%, ICE LIBOR USD 3 Month + 1.100%, 07/25/2023 (B) | 2,334 | 2,270 | ||||||
SLM Student Loan Trust, Ser 2008-6, Cl B | ||||||||
6.668%, ICE LIBOR USD 3 Month + 1.850%, 07/26/2083 (B) | 685 | 632 | ||||||
SLM Student Loan Trust, Ser 2008-7, Cl B | ||||||||
6.668%, ICE LIBOR USD 3 Month + 1.850%, 07/26/2083 (B) | 685 | 639 | ||||||
SLM Student Loan Trust, Ser 2008-8, Cl B | ||||||||
7.068%, ICE LIBOR USD 3 Month + 2.250%, 10/25/2075 (B) | 685 | 654 | ||||||
SLM Student Loan Trust, Ser 2008-9, Cl A | ||||||||
6.318%, ICE LIBOR USD 3 Month + 1.500%, 04/25/2023 (B) | 935 | 932 | ||||||
SLM Student Loan Trust, Ser 2008-9, Cl B | ||||||||
7.068%, ICE LIBOR USD 3 Month + 2.250%, 10/25/2083 (B) | 685 | 652 | ||||||
SLM Student Loan Trust, Ser 2009-3, Cl A | ||||||||
5.595%, ICE LIBOR USD 1 Month + 0.750%, 01/25/2045 (B)(D) | 391 | 375 | ||||||
SLM Student Loan Trust, Ser 2021-10A, Cl A4 | ||||||||
5.536%, ICE LIBOR USD 3 Month + 0.670%, 12/17/2068 (B)(D) | 802 | 775 | ||||||
SMB Private Education Loan Trust, Ser 2016-B, Cl A2A | ||||||||
2.430%, 02/17/2032 (D) | 188 | 181 | ||||||
SMB Private Education Loan Trust, Ser 2016-B, Cl A2B | ||||||||
6.134%, ICE LIBOR USD 1 Month + 1.450%, 02/17/2032 (B)(D) | 162 | 162 | ||||||
SMB Private Education Loan Trust, Ser 2016-C, Cl A2B | ||||||||
5.784%, ICE LIBOR USD 1 Month + 1.100%, 09/15/2034 (B)(D) | 171 | 170 | ||||||
SMB Private Education Loan Trust, Ser 2018-C, Cl A2A | ||||||||
3.630%, 11/15/2035 (D) | 317 | 303 | ||||||
SMB Private Education Loan Trust, Ser 2019-A, Cl A2A | ||||||||
3.440%, 07/15/2036 (D) | 1,247 | 1,191 | ||||||
SMB Private Education Loan Trust, Ser 2020-B, Cl A1A | ||||||||
1.290%, 07/15/2053 (D) | 493 | 441 | ||||||
SMB Private Education Loan Trust, Ser 2020-PTA, Cl A2A | ||||||||
1.600%, 09/15/2054 (D) | 779 | 696 |
SEI Institutional Managed Trust
147
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
SMB Private Education Loan Trust, Ser 2020-PTB, Cl A2A | ||||||||
1.600%, 09/15/2054 (D) | $ | 2,147 | $ | 1,922 | ||||
SMB Private Education Loan Trust, Ser 2021-A, Cl A2B | ||||||||
1.590%, 01/15/2053 (D) | 450 | 395 | ||||||
SMB Private Education Loan Trust, Ser 2021-A, Cl APT1 | ||||||||
1.070%, 01/15/2053 (D) | 1,312 | 1,129 | ||||||
SMB Private Education Loan Trust, Ser 2021-B, Cl A | ||||||||
1.310%, 07/17/2051 (D) | 1,319 | 1,174 | ||||||
SMB Private Education Loan Trust, Ser 2021-D, Cl A1A | ||||||||
1.340%, 03/17/2053 (D) | 2,000 | 1,787 | ||||||
SMB Private Education Loan Trust, Ser 2021-E, Cl A1A | ||||||||
1.680%, 02/15/2051 (D) | 941 | 855 | ||||||
SMB Private Education Loan Trust, Ser 2022-D, Cl A1B | ||||||||
6.358%, SOFR30A + 1.800%, 10/15/2058 (B)(D) | 737 | 740 | ||||||
SoFi Consumer Loan Program Trust, Ser 2023-1S, Cl A | ||||||||
5.810%, 05/15/2031 (D) | 310 | 310 | ||||||
SoFi Professional Loan Program Trust, Ser 2020-C, Cl AFX | ||||||||
1.950%, 02/15/2046 (D) | 94 | 85 | ||||||
SoFi Professional Loan Program Trust, Ser 2021-A, Cl AFX | ||||||||
1.030%, 08/17/2043 (D) | 703 | 590 | ||||||
SoFi Professional Loan Program Trust, Ser 2021-B, Cl AFX | ||||||||
1.140%, 02/15/2047 (D) | 725 | 606 | ||||||
South Carolina Student Loan, Ser 2015-A, Cl A | ||||||||
6.345%, ICE LIBOR USD 1 Month + 1.500%, 01/25/2036 (B) | 779 | 778 | ||||||
Southwick Park CLO, Ser 2021-4A, Cl A1R | ||||||||
5.868%, ICE LIBOR USD 3 Month + 1.060%, 07/20/2032 (B)(D) | 2,610 | 2,566 | ||||||
Stack Infrastructure Issuer, Ser 2020-1A, Cl A2 | ||||||||
1.893%, 08/25/2045 (D) | 1,355 | 1,239 | ||||||
Store Master Funding I-VII XIV XIX XX, Ser 2021-1A, Cl A1 | ||||||||
2.120%, 06/20/2051 (D) | 1,487 | 1,276 | ||||||
Structured Asset Investment Loan Trust, Ser 2004-8, Cl A2 | ||||||||
5.395%, ICE LIBOR USD 1 Month + 0.550%, 09/25/2034 (B) | 342 | 322 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Structured Asset Securities Mortgage Loan Trust, Ser 2007-WF1, Cl A1 | ||||||||
5.265%, ICE LIBOR USD 1 Month + 0.420%, 02/25/2037 (B) | $ | 2,296 | $ | 2,183 | ||||
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2002-AL1, Cl A2 | ||||||||
3.450%, 02/25/2032 | 3 | 3 | ||||||
STWD, Ser 2019-FL1, Cl A | ||||||||
5.854%, TSFR1M + 1.194%, 07/15/2038 (B)(D) | 289 | 288 | ||||||
Sunrun Vulcan Issuer, Ser 2021-1A, Cl A | ||||||||
2.460%, 01/30/2052 (D) | 665 | 561 | ||||||
T-Mobile US Trust, Ser 2022-1A, Cl A | ||||||||
4.910%, 05/22/2028 (D) | 1,186 | 1,191 | ||||||
Towd Point Mortgage Trust, Ser 2017-4, Cl A1 | ||||||||
2.750%, 06/25/2057 (B)(D) | 570 | 541 | ||||||
Trestles CLO IV, Ser 2021-4A, Cl B1 | ||||||||
6.515%, ICE LIBOR USD 3 Month + 1.700%, 07/21/2034 (B)(D) | 3,445 | 3,338 | ||||||
Triton Container Finance VIII, Ser 2020-1A, Cl A | ||||||||
2.110%, 09/20/2045 (D) | 204 | 179 | ||||||
United States Small Business Administration, Ser 2019-20D, Cl 1 | ||||||||
2.980%, 04/01/2039 | 163 | 152 | ||||||
United States Small Business Administration, Ser 2019-25G, Cl 1 | ||||||||
2.690%, 07/01/2044 | 287 | 255 | ||||||
United States Small Business Administration, Ser 2022-25E, Cl 1 | ||||||||
3.940%, 05/01/2047 | 500 | 482 | ||||||
United States Small Business Administration, Ser 2022-25F, Cl 1 | ||||||||
4.010%, 06/01/2047 | 721 | 701 | ||||||
United States Small Business Administration, Ser 2022-25G, Cl 1 | ||||||||
3.930%, 07/01/2047 | 4,785 | 4,633 | ||||||
United States Small Business Administration, Ser 2022-25H, Cl 1 | ||||||||
3.800%, 08/01/2047 | 2,747 | 2,620 | ||||||
Verizon Master Trust, Ser 2022-2, Cl A | ||||||||
1.530%, 07/20/2028 | 610 | 575 | ||||||
Verizon Master Trust, Ser 2022-4, Cl A | ||||||||
3.400%, 11/20/2028 (C) | 1,298 | 1,266 | ||||||
Verizon Master Trust, Ser 2022-6, Cl A | ||||||||
3.670%, 01/22/2029 (C) | 1,144 | 1,114 | ||||||
Verizon Master Trust, Ser 2023-1, Cl A | ||||||||
4.490%, 01/22/2029 (C) | 2,664 | 2,658 |
148
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Wells Fargo Home Equity Asset-Backed Securities Trust, Ser 2006-2, Cl M2 | ||||||||
5.135%, ICE LIBOR USD 1 Month + 0.290%, 07/25/2036 (B) | $ | 4,868 | $ | 4,748 | ||||
Z Capital Credit Partners CLO, Ser 2021-1A, Cl A1R | ||||||||
6.302%, ICE LIBOR USD 3 Month + 1.510%, 07/16/2031 (B)(D) | 1,000 | 994 | ||||||
214,700 | ||||||||
Total Asset-Backed Securities | ||||||||
(Cost $344,239) ($ Thousands) | 333,220 | |||||||
SOVEREIGN DEBT — 1.4% | ||||||||
Argentine Republic Government International Bond | ||||||||
3.500%, 07/09/2041(C) | 1,460 | 412 | ||||||
1.000%, 07/09/2029 | 203 | 57 | ||||||
0.500%, 07/09/2030(C) | 976 | 283 | ||||||
Bermuda Government International Bond | ||||||||
5.000%, 07/15/2032(D) | 339 | 340 | ||||||
Brazilian Government International Bond | ||||||||
5.000%, 01/27/2045 | 3,400 | 2,669 | ||||||
4.750%, 01/14/2050 | 1,300 | 959 | ||||||
4.625%, 01/13/2028 | 3,090 | 3,019 | ||||||
Buenos Aires Government International Bond MTN | ||||||||
5.250%, 09/01/2037(C)(D) | 2,885 | 1,011 | ||||||
Colombia Government International Bond | ||||||||
5.625%, 02/26/2044 | 660 | 499 | ||||||
5.000%, 06/15/2045 | 830 | 579 | ||||||
4.125%, 02/22/2042 | 680 | 439 | ||||||
3.250%, 04/22/2032 | 670 | 498 | ||||||
Export Finance & Insurance | ||||||||
4.625%, 10/26/2027(D) | 1,079 | 1,102 | ||||||
Export-Import Bank of India | ||||||||
3.375%, 08/05/2026(D)(E) | 350 | 330 | ||||||
Indonesia Government International Bond | ||||||||
3.700%, 10/30/2049(E) | 460 | 364 | ||||||
Indonesia Treasury Bond | ||||||||
6.500%, 02/15/2031 | IDR | 100,717,000 | 6,670 | |||||
6.375%, 04/15/2032 | 58,803,000 | 3,834 | ||||||
Israel Government International Bond | ||||||||
4.500%, 01/17/2033 | $ | 1,128 | 1,122 | |||||
3.375%, 01/15/2050 | 280 | 214 | ||||||
2.750%, 07/03/2030 | 470 | 425 | ||||||
Kenya Government International Bond | ||||||||
7.250%, 02/28/2028(D) | 200 | 164 | ||||||
6.875%, 06/24/2024 | 200 | 184 | ||||||
6.300%, 01/23/2034(D)(E) | 960 | 674 |
Description | Face Amount | Market Value | ||||||
SOVEREIGN DEBT (continued) | ||||||||
Mexico Government International Bond | ||||||||
6.050%, 01/11/2040 | $ | 1,210 | $ | 1,230 | ||||
4.750%, 03/08/2044 | 10,080 | 8,548 | ||||||
4.600%, 02/10/2048(E) | 200 | 163 | ||||||
4.500%, 04/22/2029 | 496 | 484 | ||||||
4.400%, 02/12/2052(E) | 716 | 558 | ||||||
4.350%, 01/15/2047 | 228 | 180 | ||||||
3.771%, 05/24/2061 | 466 | 314 | ||||||
3.750%, 01/11/2028 | 390 | 374 | ||||||
3.500%, 02/12/2034(E) | 2,111 | 1,790 | ||||||
2.659%, 05/24/2031 | 3,760 | 3,138 | ||||||
Nigeria Government International Bond | ||||||||
7.143%, 02/23/2030(D) | 240 | 182 | ||||||
6.500%, 11/28/2027(D) | 220 | 179 | ||||||
Panama Government International Bond | ||||||||
6.853%, 03/28/2054 | 305 | 313 | ||||||
4.500%, 04/01/2056 | 540 | 401 | ||||||
2.252%, 09/29/2032(E) | 620 | 474 | ||||||
Paraguay Government International Bond | ||||||||
5.400%, 03/30/2050(D) | 342 | 295 | ||||||
3.849%, 06/28/2033(D) | 350 | 307 | ||||||
Peruvian Government International Bond | ||||||||
5.625%, 11/18/2050(E) | 600 | 603 | ||||||
3.600%, 01/15/2072(E) | 162 | 108 | ||||||
3.000%, 01/15/2034(E) | 210 | 171 | ||||||
2.783%, 01/23/2031 | 300 | 256 | ||||||
Province of Saskatchewan Canada | ||||||||
3.250%, 06/08/2027 | 419 | 407 | ||||||
Republic of Italy Government International Bond | ||||||||
3.875%, 05/06/2051 | 237 | 168 | ||||||
Republic of Poland Government International Bond | ||||||||
5.500%, 04/04/2053 | 563 | 570 | ||||||
4.875%, 10/04/2033 | 912 | 908 | ||||||
Russian Federal Bond - OFZ | ||||||||
8.150%, 02/03/2027(G) | RUB | 315,940 | 203 | |||||
7.650%, 04/10/2030(G) | 63,630 | 41 | ||||||
7.250%, 05/10/2034(G) | 24,200 | 16 | ||||||
6.900%, 05/23/2029(G) | 331,700 | 214 | ||||||
2.270%, 03/16/2039(G) | 162,070 | 104 | ||||||
Total Sovereign Debt | ||||||||
(Cost $68,185) ($ Thousands) | 48,547 | |||||||
LOAN PARTICIPATIONS — 0.7% | ||||||||
Air Canada, Term Loan, 1st Lien | ||||||||
8.369%, 08/11/2028 (B) | $ | 418 | 416 | |||||
Ali Group | ||||||||
6.922%, 07/30/2029 (B)(I) | 446 | 439 |
SEI Institutional Managed Trust
149
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Allied Universal Holdco LLC (f/k/a USAGM Holdco, LLC), Initial U.S. Dollar Term Loan, 1st Lien | ||||||||
8.468%, LIBOR + 3.750%, 05/12/2028 (B) | $ | 946 | $ | 897 | ||||
Alterra Moutain Company, Series B-2 Term Loan, 1st Lien | ||||||||
8.135%, 08/17/2028 (B) | 558 | 556 | ||||||
AMWINS Group Inc. | ||||||||
7.413%, 02/19/2028 | 120 | 119 | ||||||
APi Group DE, Inc., Initial Term Loan, 1st Lien | ||||||||
7.340%, LIBOR + 2.500%, 10/01/2026 (B) | 473 | 473 | ||||||
Asurion | ||||||||
8.913%, 08/19/2028 (B) | 558 | 516 | ||||||
Asurion, LLC, New B-8 Term Loan, 1st Lien | ||||||||
7.885%, LIBOR + 3.250%, 12/23/2026 (B) | 327 | 302 | ||||||
Asurion, LLC, New B-9 Term Loan, 1st Lien | ||||||||
7.885%, LIBOR + 3.250%, 07/31/2027 (B) | 373 | 342 | ||||||
Athena Health, Term Loan, 1st Lien | ||||||||
3.500%, 02/15/2029 (B)(I) | 151 | 141 | ||||||
Athena Helath Group, Initial Term Loan | ||||||||
8.259%, 02/15/2029 (B) | 1,179 | 1,102 | ||||||
Avolon TLB Borrower 1 LLC | ||||||||
7.011%, 12/01/2027 (I) | 125 | 125 | ||||||
Brown Group Holdings, LLC, Initial Term Loan, 1st Lien | ||||||||
7.218%, LIBOR + 2.750%, 06/07/2028 (B) | 572 | 567 | ||||||
Caesars Entertainment, Term Loan, 1st Lien | ||||||||
7.968%, 02/06/2030 (B) | 70 | 70 | ||||||
Castlelake Avia | ||||||||
7.616%, 10/22/2026 (B)(I) | 395 | 391 | ||||||
Central Parent Inc. | ||||||||
0.000%, 07/06/2029 (B)(I)(J) | 1 | 1 | ||||||
Charter Communications Operating LLC, Lien1 | ||||||||
6.368%, 04/30/2025 | 619 | 619 | ||||||
Citadel Securities LP, 2021 Term Loan, 1st Lien | ||||||||
7.232%, LIBOR + 2.500%, 02/02/2028 (B) | 565 | 559 | ||||||
DCert Buyer, Inc., Initial Term Loan, 1st Lien | ||||||||
8.696%, LIBOR + 4.000%, 10/16/2026 (B) | 814 | 795 | ||||||
Deerfield Dakota Holding, LLC, Initial Dollar Term Loan, 1st Lien | ||||||||
8.648%, LIBOR + 3.750%, 04/09/2027 (B)(I) | 791 | 764 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Energizer Holdings | ||||||||
7.116%, 12/22/2027 | $ | 184 | $ | 182 | ||||
Entain PLC | ||||||||
7.230%, 03/29/2027 | 117 | 116 | ||||||
EyeCare Partners, LLC, Term Loan, 1st Lien | ||||||||
8.480%, LIBOR + 3.750%, 02/18/2027 (B) | 302 | 245 | ||||||
First Eagle Holdings, Term Loan | ||||||||
7.230%, 02/01/2027 | 252 | 244 | ||||||
Focus Financial, Term Loan, 1st Lien | ||||||||
7.868%, 06/30/2028 | 788 | 779 | ||||||
Gainwell Acquisition Corp., Term B Loan, 1st Lien | ||||||||
8.730%, LIBOR + 4.000%, 10/01/2027 (B) | 1,336 | 1,273 | ||||||
Garda World Security Corp | ||||||||
9.109%, LIBOR + 4.250%, 10/30/2026 (B) | 268 | 264 | ||||||
GFL Environmental | ||||||||
7.718%, 05/28/2027 | 56 | 56 | ||||||
Global Medical Response, Inc., 2021 Refinancing Term Loan, 1st Lien | ||||||||
8.830%, LIBOR + 4.250%, 10/02/2025 (B) | 709 | 494 | ||||||
Grifols Worldwide Operations Limited, Dollar Tranche B Term Loan, 1st Lien | ||||||||
6.635%, LIBOR + 2.000%, 11/15/2027 (B) | 600 | 588 | ||||||
Harbor Freight Tools USA, Inc | ||||||||
7.590%, 10/19/2027 (I) | 652 | 630 | ||||||
Hunter Douglas, Term Loan | ||||||||
8.373%, 02/26/2029 | 369 | 330 | ||||||
Hunter Douglas, Term Loan, 1st Lien | ||||||||
8.373%, 02/26/2029 (B) | 1,004 | 899 | ||||||
Icon Public Limited Company, Lux Term Loan, 1st Lien | ||||||||
7.000%, 07/03/2028 (B) | 603 | 601 | ||||||
Icon Public Limited Company, U.S. Term Loan, 1st Lien | ||||||||
7.000%, 07/03/2028 (B) | 150 | 150 | ||||||
iHeartCommunications, Inc. (fka Clear Channel Communications, Inc.), New Term Loan, 1st Lien | ||||||||
7.635%, LIBOR + 3.000%, 05/01/2026 (B)(I) | 548 | 484 | ||||||
KKR Apple Bidco, LLC, Term Loan, 1st Lien | ||||||||
7.385%, 09/22/2028 (B) | 410 | 405 | ||||||
Magenta Buyer LLC, Initial Term Loan, 1st Lien | ||||||||
9.580%, LIBOR + 5.000%, 07/27/2028 (B) | 1,501 | 1,232 | ||||||
PCI Gaming Authority, Term B Facility Loan | ||||||||
7.135%, 05/29/2026 (B) | 389 | 388 |
150
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Phoenix Guarantor Inc., Tranche B-1 Term Loan, 1st Lien | ||||||||
7.885%, LIBOR + 3.250%, 03/05/2026 (B) | $ | 923 | $ | 897 | ||||
Project Sky, Term Loan, 1st Lien | ||||||||
8.385%, 10/08/2028 (B) | 248 | 236 | ||||||
Rackspace Technology Global, Inc., 2021 Term B Loan, 1st Lien | ||||||||
7.595%, LIBOR + 2.750%, 02/15/2028 (B) | 374 | 200 | ||||||
Scientific Games/Lights & Wonder | ||||||||
7.960%, 04/14/2029 (B) | 896 | 887 | ||||||
Setanta Aircraft | ||||||||
6.730%, 11/05/2028 | 1,060 | 1,059 | ||||||
Sotera Health Holdings, LLC, Refinancing Loan, 1st Lien | ||||||||
7.575%, 12/11/2026 (B) | 1,090 | 1,048 | ||||||
Triton Water Holdings, Inc., Initial Term Loan, 1st Lien | ||||||||
8.230%, LIBOR + 3.500%, 03/31/2028 (B) | 778 | 695 | ||||||
UFC Holdings, Term Loan, 1st Lien | ||||||||
7.570%, 04/29/2026 | 829 | 824 | ||||||
United AirLines, Inc., Class B Term Loan, 1st Lien | ||||||||
8.568%, LIBOR + 3.750%, 04/21/2028 (B) | 815 | 808 | ||||||
VFH Parent, Initial Term Loan | ||||||||
7.859%, 01/13/2029 (B) | 406 | 390 | ||||||
Virgin Media Bristol LLC, N Facility, 1st Lien | ||||||||
7.184%, LIBOR + 2.500%, 01/31/2028 (B)(I) | 144 | 141 | ||||||
Zebra Buyer LLC | ||||||||
7.750%, 11/01/2028 (B) | 318 | 316 | ||||||
Total Loan Participations | ||||||||
(Cost $27,530) ($ Thousands) | 26,055 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.3% | ||||||||
FHLMC MTN | ||||||||
0.000%, 12/14/2029(A) | 1,213 | 929 | ||||||
FNMA | ||||||||
1.900%, 01/25/2036 | 1,343 | 989 | ||||||
1.520%, 08/21/2035 | 1,498 | 1,063 | ||||||
0.500%, 06/17/2025 | 4,215 | 3,895 | ||||||
0.000%, 11/15/2030(A) | 3,564 | 2,626 | ||||||
Resolution Funding Interest | ||||||||
0.000%, 01/15/2030(A) | 905 | 669 | ||||||
Resolution Funding Principal | ||||||||
0.000%, 04/15/2030(A) | 1,165 | 875 |
Description | Face Amount | Market Value | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | ||||||||
Tennessee Valley Authority | ||||||||
0.750%, 05/15/2025 | $ | 1,055 | $ | 976 | ||||
Total U.S. Government Agency Obligations | ||||||||
(Cost $13,866) ($ Thousands) | 12,022 | |||||||
MUNICIPAL BONDS — 0.3% | ||||||||
California — 0.1% | ||||||||
California State University, Ser B, RB | ||||||||
2.374%, 11/01/2035 | 685 | 527 | ||||||
California State, Health Facilities Financing Authority, RB | ||||||||
3.000%, 08/15/2051 | 785 | 609 | ||||||
Regents of the University of California Medical Center Pooled Revenue, Ser N, RB | ||||||||
3.256%, 05/15/2060 | 790 | 540 | ||||||
1,676 | ||||||||
Georgia — 0.0% | ||||||||
Georgia State, Municipal Electric Authority, RB | ||||||||
7.055%, 04/01/2057 | 1,052 | 1,090 | ||||||
Nevada — 0.0% | ||||||||
Clark County, Department of Aviation, Ser C, RB | ||||||||
6.820%, 07/01/2045 | 728 | 902 | ||||||
New York — 0.2% | ||||||||
Metropolitan New York, Transportation Authority, Ser C2, RB | ||||||||
5.175%, 11/15/2049 | 260 | 236 | ||||||
New York and New Jersey, Port Authority, RB | ||||||||
4.458%, 10/01/2062 | 505 | 472 | ||||||
New York City, Ser D, GO | ||||||||
2.223%, 08/01/2035 | 1,350 | 1,037 | ||||||
1.823%, 08/01/2030 | 610 | 508 | ||||||
New York City, Transitional Finance Authority Future Tax Secured Revenue, Sub-Ser B-3, RB | ||||||||
2.000%, 08/01/2035 | 1,000 | 730 | ||||||
New York City, Transitional Finance Authority Future Tax Secured Revenue, Sub-Ser D-3, RB | ||||||||
2.400%, 11/01/2032 | 610 | 497 |
SEI Institutional Managed Trust
151
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
MUNICIPAL BONDS (continued) | ||||||||
New York City, Transitional Finance Authority, Future Tax Secured Revenue, Sub-Ser, RB | ||||||||
5.508%, 08/01/2037 | $ | 275 | $ | 286 | ||||
New York State, Dormitory Authority, RB | ||||||||
5.628%, 03/15/2039 | 400 | 421 | ||||||
5.289%, 03/15/2033 | 850 | 870 | ||||||
5,057 | ||||||||
Ohio — 0.0% | ||||||||
Ohio State University, Ser A, RB | ||||||||
4.800%, 06/01/2111 | 433 | 399 | ||||||
Texas — 0.0% | ||||||||
Board of Regents of the University of Texas System, Ser B, RB | ||||||||
2.439%, 08/15/2049 | 295 | 198 | ||||||
North Texas, Tollway Authority, Ser B, RB | ||||||||
6.718%, 01/01/2049 | 632 | 793 | ||||||
991 | ||||||||
Virginia — 0.0% | ||||||||
University of Virginia, RB | ||||||||
2.256%, 09/01/2050 | 480 | 306 | ||||||
Total Municipal Bonds | ||||||||
(Cost $12,107) ($ Thousands) | 10,421 | |||||||
| ||||||||
AFFILIATED PARTNERSHIP — 1.2% | ||||||||
SEI Liquidity Fund, LP | ||||||||
4.740% **†(K) | 41,990,018 | 42,036 | ||||||
Total Affiliated Partnership | ||||||||
(Cost $41,979) ($ Thousands) | 42,036 | |||||||
Description | Shares | Market Value | ||||||
CASH EQUIVALENT — 5.7% | ||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | ||||||||
4.570%**† | 205,130,981 | $ | 205,131 | |||||
Total Cash Equivalent | ||||||||
(Cost $205,131) ($ Thousands) | 205,131 | |||||||
PURCHASED OPTIONS — 0.0% | ||||||||
Total Purchased Options | ||||||||
(Cost $1,348) ($ Thousands) | 730 | |||||||
Total Investments in Securities — 114.2% | ||||||||
(Cost $4,364,675) ($ Thousands) | $ | 4,096,603 | ||||||
WRITTEN OPTIONS — (0.0)% | ||||||||
Total Written Options | ||||||||
(Premiums Received $1,675) ($ Thousands) | $ | (1,336 | ) | |||||
A list of the exchange traded option contracts held by the Fund at March 31, 2023, is as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||
PURCHASED OPTIONS — 0.0% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
December 2023, SOFR 1yr MidCurve Dec23P 95.88 | 155 | $ | 37,151 | $ | 95.88 | 12/16/2023 | $ | 80 | ||||||||||||
December 2023, SOFR 1yr MidCurve Dec23P 96 | 118 | 28,320 | 96.00 | 12/16/2023 | 71 | |||||||||||||||
June 2023, SOFR 1yr MidCurve Jun23P 95.5 | 1,176 | 280,770 | 95.50 | 6/17/2023 | 147 | |||||||||||||||
May 2023, U.S. 10 Year Future Option | 232 | 26,216 | 113.00 | 4/22/2023 | 58 | |||||||||||||||
May 2023, U.S. 5 Year Future Option | 351 | 37,996 | 108.25 | 4/22/2023 | 71 | |||||||||||||||
410,453 | 427 | |||||||||||||||||||
Call Options | – | – | ||||||||||||||||||
June 2023, 3 Month SOFR OPT Jun23C 95.5 | 79 | 18,862 | 95.50 | 6/17/2023 | 30 |
152
SEI Institutional Managed Trust
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||
PURCHASED OPTIONS (continued) | ||||||||||||||||||||
May 2023, U.S. 5 Year Future Option | 351 | $ | 38,522 | $ | 109.75 | 4/22/2023 | $ | 217 | ||||||||||||
May 2023, U.S. 5 Year Future Option | 233 | 25,921 | 111.25 | 4/22/2023 | 56 | |||||||||||||||
83,305 | 303 | |||||||||||||||||||
Total Purchased Options | $ | 493,758 | $ | 730 | ||||||||||||||||
WRITTEN OPTIONS — (0.0)% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
June 2024, 3 Month SOFR OPT Jun24P 97.5 | (1,176 | ) | $ | (277,830 | ) | 94.50 | 06/22/2024 | $ | (382 | ) | ||||||||||
December 2023, SOFR 1yr MidCurve Dec23P 95.25 | (310 | ) | (73,819 | ) | 95.25 | 12/16/2023 | (68 | ) | ||||||||||||
December 2023, SOFR 1yr MidCurve Dec23P 95.38 | (236 | ) | (56,271 | ) | 95.38 | 12/16/2023 | (62 | ) | ||||||||||||
June 2023, U.S. 10 Year Future Option | (464 | ) | (51,040 | ) | 110.00 | 05/20/2023 | (72 | ) | ||||||||||||
June 2023, U.S. 5 Year Future Option | (234 | ) | (25,272 | ) | 108.00 | 05/20/2023 | (99 | ) | ||||||||||||
(484,232 | ) | (683 | ) | |||||||||||||||||
Call Options | ||||||||||||||||||||
June 2023, 3 Month SOFR OPT Jun23C 96 | (79 | ) | (18,960 | ) | 96.00 | 06/17/2023 | (17 | ) | ||||||||||||
June 2024, 3 Month SOFR OPT Jun24C 97.5 | (354 | ) | (86,287 | ) | 97.50 | 06/22/2024 | (328 | ) | ||||||||||||
September 2023, 3 Month SOFR OPT Sep23C 98.75 | (164 | ) | (40,488 | ) | 98.75 | 09/16/2023 | (12 | ) | ||||||||||||
June 2023, U.S. 10 Year Future Option | (117 | ) | (13,689 | ) | 117.00 | 05/20/2023 | (88 | ) | ||||||||||||
June 2023, U.S. 5 Year Future Option | (234 | ) | (25,740 | ) | 110.00 | 05/20/2023 | (208 | ) | ||||||||||||
(185,164 | ) | (653 | ) | |||||||||||||||||
Total Written Options | $ | (669,396 | ) | $ | (1,336 | ) | ||||||||||||||
A list of the open futures contracts held by the Fund at March 31, 2023, is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
3 Month SOFR | 5 | Sep-2023 | $ | 1,206 | $ | 1,189 | $ | (17 | ) | |||||||||||
3 Month SOFR | 91 | Mar-2026 | 21,928 | 22,082 | 154 | |||||||||||||||
90-Day Euro$ | 95 | Jun-2023 | 23,037 | 22,510 | (527 | ) | ||||||||||||||
Euro-Bobl | 37 | Jun-2023 | 4,523 | 4,739 | 104 | |||||||||||||||
Euro-OAT | 75 | Jun-2023 | 10,008 | 10,612 | 354 | |||||||||||||||
U.S. 2-Year Treasury Note | 1,612 | Jun-2023 | 330,730 | 332,802 | 2,072 | |||||||||||||||
U.S. 5-Year Treasury Note | 2,497 | Jun-2023 | 269,654 | 273,441 | 3,787 | |||||||||||||||
U.S. 10-Year Treasury Note | 14 | Jun-2023 | 1,611 | 1,609 | (2 | ) | ||||||||||||||
U.S. 10-Year Treasury Note | 65 | Jun-2023 | 7,261 | 7,470 | 209 | |||||||||||||||
U.S. Long Treasury Bond | 30 | Jun-2023 | 3,960 | 3,935 | (25 | ) | ||||||||||||||
U.S. Ultra Long Treasury Bond | 444 | Jun-2023 | 62,242 | 62,659 | 417 | |||||||||||||||
736,160 | 743,048 | 6,526 | ||||||||||||||||||
Short Contracts | ||||||||||||||||||||
3 Month SOFR | (323 | ) | Jun-2025 | $ | (78,416 | ) | $ | (78,299 | ) | $ | 117 | |||||||||
3 Month SOFR | (43 | ) | Mar-2024 | (10,315 | ) | (10,288 | ) | 27 | ||||||||||||
3 Month SOFR | (413 | ) | Mar-2025 | (99,412 | ) | (100,023 | ) | (611 | ) | |||||||||||
Euro-Buxl | (4 | ) | Jun-2023 | (568 | ) | (612 | ) | (33 | ) | |||||||||||
U.S. 2-Year Treasury Note | (17 | ) | Jun-2023 | (3,463 | ) | (3,510 | ) | (47 | ) | |||||||||||
U.S. 10-Year Treasury Note | (585 | ) | Jun-2023 | (67,603 | ) | (67,229 | ) | 374 | ||||||||||||
U.S. Long Treasury Bond | (117 | ) | Jun-2023 | (14,700 | ) | (15,345 | ) | (645 | ) | |||||||||||
Ultra 10-Year U.S. Treasury Note | (379 | ) | Jun-2023 | (44,280 | ) | (45,912 | ) | (1,632 | ) |
SEI Institutional Managed Trust
153
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income Fund (Continued)
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Ultra 10-Year U.S. Treasury Note | (29 | ) | Jun-2023 | $ | (3,563 | ) | $ | (3,513 | ) | $ | 50 | |||||||||
(322,320 | ) | (324,731 | ) | (2,400 | ) | |||||||||||||||
$ | 413,840 | $ | 418,317 | $ | 4,126 |
A list of the open forward foreign currency contracts held by the Fund at March 31, 2023, is as follows:
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
BNP Paribas | 04/18/23 | EUR | 381 | USD | 408 | $ | (7 | ) | ||||||||||||||||
BNP Paribas | 04/18/23 | USD | 18,656 | EUR | 17,342 | 202 | ||||||||||||||||||
BNP Paribas | 04/18/23 | USD | 2,172 | EUR | 1,994 | (4 | ) | |||||||||||||||||
Goldman Sachs | 04/18/23 | CAD | 3,200 | USD | 2,385 | 20 | ||||||||||||||||||
Goldman Sachs | 04/18/23 | USD | 9,536 | AUD | 13,772 | (307 | ) | |||||||||||||||||
Goldman Sachs | 04/18/23 | EUR | 14,532 | USD | 15,724 | (78 | ) | |||||||||||||||||
Goldman Sachs | 04/18/23 | USD | 11,275 | JPY | 1,525,988 | 226 | ||||||||||||||||||
Goldman Sachs | 04/18/23 | USD | 4,516 | JPY | 590,593 | (65 | ) | |||||||||||||||||
Goldman Sachs | 04/18/23 | IDR | 759,546 | USD | 49 | (2 | ) | |||||||||||||||||
Goldman Sachs | 04/18/23 | JPY | 300,485 | USD | 2,266 | 1 | ||||||||||||||||||
Goldman Sachs | 04/18/23 | JPY | 624,315 | USD | 4,702 | (3 | ) | |||||||||||||||||
Morgan Stanley | 04/18/23 | GBP | 462 | USD | 563 | (9 | ) | |||||||||||||||||
Morgan Stanley | 04/18/23 | CAD | 3,197 | USD | 2,380 | 17 | ||||||||||||||||||
Morgan Stanley | 04/18/23 | AUD | 3,243 | USD | 2,232 | 59 | ||||||||||||||||||
Morgan Stanley | 04/18/23 | EUR | 4,344 | NOK | 46,790 | (252 | ) | |||||||||||||||||
Morgan Stanley | 04/18/23 | USD | 22,751 | CAD | 30,529 | (185 | ) | |||||||||||||||||
Morgan Stanley | 04/18/23 | CNH | 52,111 | USD | 7,737 | 137 | ||||||||||||||||||
$ | (250 | ) |
A list of the open centrally cleared swap agreements held by the Fund at March 31, 2023, is as follows:
Interest Rate Swaps | ||||||||||||||||||||||||||||||||
Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | ||||||||||||||||||||||||
1.113% | SOFR- COMPOUNDING | Annual | 08/15/2028 | USD | 10,788 | $ | 1,168 | $ | 37 | $ | 1,131 | |||||||||||||||||||||
.5 | SD-SOFR-OIS-COMPOUND | Annual | 04/21/2052 | USD | 5,290 | 492 | 9 | 483 | ||||||||||||||||||||||||
USD-SOFR-OIS COMPOUND | 3.15% | Annual | 05/15/2048 | USD | 5,867 | (87 | ) | – | (87 | ) | ||||||||||||||||||||||
2.62% FIXED | USD-SOFR-OIS COMPOUND | Monthly | 02/15/2048 | USD | 5,315 | 410 | 6 | 404 | ||||||||||||||||||||||||
0.026% FIXED | USD-SOFR-OIS-COMPOUND | Annual | 02/15/2048 | USD | 4,412 | 356 | 297 | 59 | ||||||||||||||||||||||||
2.51% FIXED | USD-SOFR-OIS COMPOUND | Monthly | 02/15/2048 | USD | 4,321 | 415 | 28 | 387 | ||||||||||||||||||||||||
.65 | SD-SOFR-OIS-COMPOUND | Annual | 08/15/2047 | USD | 560 | 136 | 54 | 82 | ||||||||||||||||||||||||
.63 | USD-SOFR-OIS-COMPOUND | Annual | 05/15/2047 | USD | 7,680 | 1,878 | 329 | 1,549 | ||||||||||||||||||||||||
MORGAN STANLEY CAPITAL SERVICES INC | 3% FIXED | Annual | 09/20/2053 | USD | 3,595 | (62 | ) | – | (62 | ) | ||||||||||||||||||||||
1.52% FIXED | USD-SOFR-COMPOUND 2/15/47 | Annual | 02/15/2047 | USD | 5,559 | 1,456 | (62 | ) | 1,518 | |||||||||||||||||||||||
3.15% | SD-SOFR-OIS COMPOUND | Annual | 03/18/2032 | USD | 5,870 | 554 | 34 | 520 | ||||||||||||||||||||||||
USD-SOFR-OIS COMPOUND | 3.25% FIXED | Annual | 12/31/2029 | USD | 14,759 | 44 | (102 | ) | 146 | |||||||||||||||||||||||
.4% | USD-SOFR-OIS COMPOUND | Annual | 12/31/2029 | USD | 11,979 | 139 | 25 | 114 | ||||||||||||||||||||||||
3.85% FIXED | USD-SOFR-OIS COMPOUND | Annual | 06/30/2029 | USD | 18,587 | (575 | ) | 15 | (590 | ) | ||||||||||||||||||||||
0.0327% FIXED | USD-SOFR-OIS COMPOUND | Annual | 04/30/2029 | USD | 26,663 | 54 | (249 | ) | 303 | |||||||||||||||||||||||
LE - 2.85% FIXED | USD-SOFR-OIS COMPOUND | Annual | 02/15/2029 | USD | 10,144 | 252 | (18 | ) | 270 | |||||||||||||||||||||||
.22% FIXED | SD-SOFR-OIS-COMPOUND | Annual | 08/15/2028 | USD | 9,318 | 968 | (1 | ) | 969 |
154
SEI Institutional Managed Trust
Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | ||||||||||||||||||||||||
1.72875% FIXED | CMENA IR 2/15/47 | Annual | 02/15/2047 | USD | 5,240 | $ | 1,190 | $ | 61 | $ | 1,129 | |||||||||||||||||||||
BARCLAYS CAPITAL INC | 3% FIXED | Annual | 09/20/2053 | USD | 3,472 | (60 | ) | – | (60 | ) | ||||||||||||||||||||||
$ | 8,728 | $ | 463 | $ | 8,265 |
Credit Default Swap - Buy Protection | ||||||||||||||||||||||||||||
Reference Entity/ Obligation | Pay Rate | Payment Frequency | Termination Date | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | |||||||||||||||||||||
CDS-CDX.NA.HY.4006 | 5.00% | Quarterly | 06/20/2028 | $ | 9,051 | $ | (142 | ) | $ | 28 | $ | (170 | ) | |||||||||||||||
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.4006 | 1.00% | Quarterly | 06/20/2028 | $ | 138,701 | $ | 1,576 | $ | 1,107 | $ | 469 | |||||||||||||||||
| Percentages are based on Net Assets of $3,586,928 ($ Thousands). |
** | The rate reported is the 7-day effective yield as of March 31, 2023. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Zero coupon security. |
(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) | 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 March 31, 2023, the value of these securities amounted to $551,403 ($ Thousands), representing 15.4% of the Net Assets of the Fund. |
(E) | Certain securities or partial positions of certain securities are on loan at March 31, 2023 (see Note 12). |
(F) | Perpetual security with no stated maturity date. |
(G) | Security is in default on interest payment. |
(H) | Interest rate represents the security's effective yield at the time of purchase. |
(I) | Unsettled bank loan. Interest rate may not be available. |
(J) | No interest rate 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 March 31, 2023 was $42,036 ($ Thousands). |
The following is a summary of the level of inputs used as of March 31, 2023, 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 | – | 1,418,597 | – | 1,418,597 | ||||||||||||
Corporate Obligations | – | 1,138,612 | – | 1,138,612 | ||||||||||||
U.S. Treasury Obligations | – | 861,232 | – | 861,232 | ||||||||||||
Asset-Backed Securities | – | 333,220 | – | 333,220 | ||||||||||||
Sovereign Debt | – | 48,547 | – | 48,547 | ||||||||||||
Loan Participations | – | 26,055 | – | 26,055 | ||||||||||||
U.S. Government Agency Obligations | – | 12,022 | – | 12,022 | ||||||||||||
Municipal Bonds | – | 10,421 | – | 10,421 | ||||||||||||
Affiliated Partnership | – | 42,036 | – | 42,036 | ||||||||||||
Cash Equivalent | 205,131 | – | – | 205,131 | ||||||||||||
Purchased Options | 730 | – | – | 730 | ||||||||||||
Total Investments in Securities | 205,861 | 3,890,742 | – | 4,096,603 |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options | (1,336 | ) | – | – | (1,336 | ) | ||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 7,665 | – | – | 7,665 | ||||||||||||
Unrealized Depreciation | (3,539 | ) | – | – | (3,539 | ) | ||||||||||
Forward Contracts* | ||||||||||||||||
Unrealized Appreciation | – | 662 | – | 662 | ||||||||||||
Unrealized Depreciation | – | (912 | ) | – | (912 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 9,064 | – | 9,064 | ||||||||||||
Unrealized Depreciation | – | (799 | ) | – | (799 | ) | ||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 469 | – | 469 | ||||||||||||
Unrealized Depreciation | – | (170 | ) | – | (170 | ) | ||||||||||
Total Other Financial Instruments | 2,790 | 8,314 | – | 11,104 |
* | Futures contracts, forward contracts and swaps contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
SEI Institutional Managed Trust
155
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Core Fixed Income 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 period ended March 31, 2023, ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 3/31/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 254,770 | $ | 784,316 | $ | (997,112 | ) | $ | 21 | $ | 41 | $ | 42,036 | $ | 13 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | 113,748 | 1,435,045 | (1,343,662 | ) | — | — | 205,131 | 1,919 | — | |||||||||||||||||||||||
Totals | $ | 368,518 | $ | 2,219,361 | $ | (2,340,774 | ) | $ | 21 | $ | 41 | $ | 247,167 | $ | 1,932 | $ | — |
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.
156
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
High Yield Bond 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 | ||||||
CORPORATE OBLIGATIONS — 76.6% | ||||||||
Communication Services — 9.0% | ||||||||
Altice France | ||||||||
8.125%, 02/01/2027 (A) | $ | 380 | $ | 352 | ||||
5.500%, 01/15/2028 (A) | 220 | 180 | ||||||
5.500%, 10/15/2029 (A) | 2,542 | 1,944 | ||||||
5.125%, 07/15/2029 (A) | 396 | 298 | ||||||
Altice France Holding | ||||||||
10.500%, 05/15/2027 (A) | 4,976 | 3,807 | ||||||
6.000%, 02/15/2028 (A) | 811 | 517 | ||||||
AMC Entertainment Holdings | ||||||||
10.000%, 06/15/2026 (A) | 117 | 74 | ||||||
6.125%, 05/15/2027 | 420 | 164 | ||||||
AMC Networks | ||||||||
5.000%, 04/01/2024 | 837 | 826 | ||||||
4.250%, 02/15/2029 | 556 | 342 | ||||||
ANGI Group | ||||||||
3.875%, 08/15/2028 (A) | 1,919 | 1,458 | ||||||
Audacy Capital | ||||||||
6.750%, 03/31/2029 (A) | 3,784 | 267 | ||||||
6.500%, 05/01/2027 (A) | 1,717 | 124 | ||||||
Beasley Mezzanine Holdings | ||||||||
8.625%, 02/01/2026 (A) | 3,305 | 2,186 | ||||||
Belo | ||||||||
7.250%, 09/15/2027 | 250 | 234 | ||||||
CCO Holdings | ||||||||
5.375%, 06/01/2029 (A) | 1,433 | 1,316 | ||||||
5.125%, 05/01/2027 (A) | 3,664 | 3,463 | ||||||
5.000%, 02/01/2028 (A) | 3,134 | 2,891 | ||||||
4.750%, 03/01/2030 (A) | 1,470 | 1,274 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.750%, 02/01/2032 (A) | $ | 67 | $ | 56 | ||||
4.500%, 08/15/2030 (A) | 4,575 | 3,866 | ||||||
4.500%, 05/01/2032 | 2,270 | 1,856 | ||||||
4.250%, 02/01/2031 (A) | 4,119 | 3,368 | ||||||
4.250%, 01/15/2034 (A) | 880 | 688 | ||||||
Charter Communications Operating | ||||||||
4.400%, 12/01/2061 | 235 | 161 | ||||||
3.950%, 06/30/2062 | 420 | 266 | ||||||
3.900%, 06/01/2052 | 655 | 433 | ||||||
3.700%, 04/01/2051 | 720 | 461 | ||||||
Cinemark USA | ||||||||
8.750%, 05/01/2025 (A) | 160 | 163 | ||||||
5.250%, 07/15/2028 (A) | 135 | 117 | ||||||
Clear Channel Outdoor Holdings Inc | ||||||||
7.750%, 04/15/2028 (A) | 1,135 | 851 | ||||||
7.500%, 06/01/2029 (A) | 524 | 372 | ||||||
5.125%, 08/15/2027 (A) | 1,770 | 1,589 | ||||||
Comcast | ||||||||
2.987%, 11/01/2063 | 1,595 | 1,034 | ||||||
2.937%, 11/01/2056 | 1,010 | 672 | ||||||
Connect Finco Sarl | ||||||||
6.750%, 10/01/2026 (A) | 575 | 541 | ||||||
Consolidated Communications | ||||||||
6.500%, 10/01/2028 (A) | 2,155 | 1,562 | ||||||
DISH DBS | ||||||||
7.750%, 07/01/2026 | 3,135 | 2,069 | ||||||
7.375%, 07/01/2028 | 6,019 | 3,435 | ||||||
5.875%, 11/15/2024 | 2,592 | 2,311 | ||||||
5.750%, 12/01/2028 (A) | 1,035 | 772 | ||||||
5.250%, 12/01/2026 (A) | 2,180 | 1,739 | ||||||
5.125%, 06/01/2029 | 1,730 | 921 | ||||||
DISH Network | ||||||||
11.750%, 11/15/2027 (A) | 2,207 | 2,141 | ||||||
Embarq | ||||||||
7.995%, 06/01/2036 | 725 | 305 | ||||||
Frontier Communications Holdings | ||||||||
8.750%, 05/15/2030 (A) | 1,397 | 1,391 | ||||||
6.750%, 05/01/2029 (A) | 269 | 213 | ||||||
6.000%, 01/15/2030 (A) | 968 | 736 | ||||||
5.875%, 10/15/2027 (A) | 206 | 187 | ||||||
5.875%, 11/01/2029 | 1,157 | 882 | ||||||
5.000%, 05/01/2028 (A) | 662 | 574 | ||||||
Gannett Holdings | ||||||||
6.000%, 11/01/2026 (A) | 158 | 133 | ||||||
Gray Escrow II | ||||||||
5.375%, 11/15/2031 (A) | 3,400 | 2,258 | ||||||
Gray Television | ||||||||
7.000%, 05/15/2027 (A) | 125 | 105 | ||||||
4.750%, 10/15/2030 (A) | 717 | 476 | ||||||
iHeartCommunications | ||||||||
8.375%, 05/01/2027 | 575 | 418 | ||||||
6.375%, 05/01/2026 | 399 | 352 |
SEI Institutional Managed Trust
157
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
High Yield Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
5.250%, 08/15/2027 (A) | $ | 290 | $ | 237 | ||||
Iliad Holding SASU | ||||||||
7.000%, 10/15/2028 (A) | 180 | 171 | ||||||
6.500%, 10/15/2026 (A) | 1,125 | 1,072 | ||||||
Intelsat Jackson Holdings | ||||||||
6.500%, 03/15/2030 (A) | 1,432 | 1,313 | ||||||
Intelsat Jackson Holdings (Escrow Security) | ||||||||
0.000%, 12/31/2049 (B)(C) | 4,165 | – | ||||||
Level 3 Financing | ||||||||
10.500%, 05/15/2030 (A) | 2,150 | 2,064 | ||||||
4.625%, 09/15/2027 (A) | 2,596 | 1,561 | ||||||
4.250%, 07/01/2028 (A) | 1,068 | 603 | ||||||
3.750%, 07/15/2029 (A) | 320 | 171 | ||||||
3.625%, 01/15/2029 (A) | 3,080 | 1,703 | ||||||
Live Nation Entertainment | ||||||||
6.500%, 05/15/2027 (A) | 421 | 426 | ||||||
5.625%, 03/15/2026 (A) | 309 | 299 | ||||||
4.875%, 11/01/2024 (A) | 582 | 570 | ||||||
4.750%, 10/15/2027 (A) | 3,005 | 2,780 | ||||||
Lumen Technologies | ||||||||
5.625%, 04/01/2025 | 274 | 229 | ||||||
5.375%, 06/15/2029 (A) | 263 | 128 | ||||||
5.125%, 12/15/2026 (A) | 1,176 | 776 | ||||||
4.500%, 01/15/2029 (A) | 110 | 49 | ||||||
4.000%, 02/15/2027 (A) | 2,214 | 1,461 | ||||||
News | ||||||||
5.125%, 02/15/2032 (A) | 140 | 131 | ||||||
3.875%, 05/15/2029 (A) | 174 | 155 | ||||||
Nexstar Media | ||||||||
5.625%, 07/15/2027 (A) | 1,130 | 1,044 | ||||||
4.750%, 11/01/2028 (A) | 1,542 | 1,371 | ||||||
Sable International Finance | ||||||||
5.750%, 09/07/2027 (A) | 854 | 796 | ||||||
Scripps Escrow | ||||||||
5.875%, 07/15/2027 (A) | 130 | 96 | ||||||
Scripps Escrow II | ||||||||
5.375%, 01/15/2031 (A) | 66 | 45 | ||||||
3.875%, 01/15/2029 (A) | 2,325 | 1,824 | ||||||
Sinclair Television Group | ||||||||
5.125%, 02/15/2027 (A) | 215 | 188 | ||||||
4.125%, 12/01/2030 (A) | 2,315 | 1,866 | ||||||
Sirius XM Radio | ||||||||
5.500%, 07/01/2029 (A) | 994 | 905 | ||||||
5.000%, 08/01/2027 (A) | 1,222 | 1,144 | ||||||
4.125%, 07/01/2030 (A) | 1,977 | 1,616 | ||||||
4.000%, 07/15/2028 (A) | 212 | 182 | ||||||
3.875%, 09/01/2031 (A) | 1,570 | 1,221 | ||||||
SoftBank Group | ||||||||
5.125%, 09/19/2027 | 527 | 457 | ||||||
Spanish Broadcasting System | ||||||||
9.750%, 03/01/2026 (A) | 2,645 | 1,792 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Stagwell Global | ||||||||
5.625%, 08/15/2029 (A) | $ | 348 | $ | 305 | ||||
TEGNA | ||||||||
4.625%, 03/15/2028 | 1,040 | 907 | ||||||
Telecom Italia | ||||||||
5.303%, 05/30/2024 (A) | 330 | 323 | ||||||
Telecom Italia Capital | ||||||||
6.000%, 09/30/2034 | 1,005 | 862 | ||||||
Telesat Canada | ||||||||
6.500%, 10/15/2027 (A) | 3,482 | 1,079 | ||||||
5.625%, 12/06/2026 (A) | 1,865 | 962 | ||||||
T-Mobile USA | ||||||||
3.500%, 04/15/2031 | 1,935 | 1,740 | ||||||
3.375%, 04/15/2029 | 310 | 283 | ||||||
TripAdvisor | ||||||||
7.000%, 07/15/2025 (A) | 772 | 774 | ||||||
United States Cellular | ||||||||
6.700%, 12/15/2033 | 1,214 | 1,056 | ||||||
Urban One | ||||||||
7.375%, 02/01/2028 (A) | 4,835 | 4,393 | ||||||
Verizon Communications | ||||||||
3.000%, 11/20/2060 | 465 | 298 | ||||||
2.987%, 10/30/2056 | 1,105 | 719 | ||||||
Vmed O2 UK Financing I | ||||||||
4.250%, 01/31/2031 (A) | 1,695 | 1,442 | ||||||
VTR Comunicaciones | ||||||||
5.125%, 01/15/2028 (A) | 1,165 | 720 | ||||||
Windstream Escrow | ||||||||
7.750%, 08/15/2028 (A) | 3,060 | 2,506 | ||||||
WMG Acquisition | ||||||||
3.000%, 02/15/2031 (A) | 793 | 663 | ||||||
Zayo Group Holdings Inc | ||||||||
6.125%, 03/01/2028 (A) | 1,120 | 681 | ||||||
111,350 | ||||||||
Consumer Discretionary — 17.2% | ||||||||
1011778 BC ULC | ||||||||
4.375%, 01/15/2028 (A) | 1,360 | 1,256 | ||||||
4.000%, 10/15/2030 (A) | 185 | 159 | ||||||
3.875%, 01/15/2028 (A) | 633 | 589 | ||||||
Abercrombie & Fitch Management | ||||||||
8.750%, 07/15/2025 (A) | 803 | 809 | ||||||
Academy | ||||||||
6.000%, 11/15/2027 (A) | 1,305 | 1,273 | ||||||
Adient Global Holdings Ltd | ||||||||
8.250%, 04/15/2031 (A) | 257 | 265 | ||||||
7.000%, 04/15/2028 (A) | 17 | 17 | ||||||
4.875%, 08/15/2026 (A) | 2,395 | 2,308 | ||||||
ADT Security | ||||||||
4.875%, 07/15/2032 (A) | 1,563 | 1,379 | ||||||
4.125%, 08/01/2029 (A) | 271 | 242 |
158
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Adtalem Global Education | ||||||||
5.500%, 03/01/2028 (A) | $ | 888 | $ | 842 | ||||
Altice Financing | ||||||||
5.750%, 08/15/2029 (A) | 3,019 | 2,400 | ||||||
5.000%, 01/15/2028 (A) | 3,968 | 3,227 | ||||||
American Axle & Manufacturing | ||||||||
6.875%, 07/01/2028 | 388 | 351 | ||||||
6.500%, 04/01/2027 | 405 | 373 | ||||||
6.250%, 03/15/2026 | 268 | 257 | ||||||
5.000%, 10/01/2029 | 177 | 149 | ||||||
American Greetings | ||||||||
8.750%, 04/15/2025 (A) | 650 | 642 | ||||||
Aramark Services | ||||||||
5.000%, 02/01/2028 (A) | 277 | 262 | ||||||
Asbury Automotive Group | ||||||||
4.625%, 11/15/2029 (A) | 976 | 874 | ||||||
4.500%, 03/01/2028 | 1,926 | 1,753 | ||||||
Ashton Woods USA | ||||||||
6.625%, 01/15/2028 (A) | 3,562 | 3,229 | ||||||
Aston Martin Capital Holdings | ||||||||
10.500%, 11/30/2025 (A) | 777 | 765 | ||||||
Aventine (Escrow Security) | ||||||||
0.000%, 10/15/2049 (B)(C)(D)(E) | 2,750 | – | ||||||
Bath & Body Works | ||||||||
7.600%, 07/15/2037 | 370 | 319 | ||||||
7.500%, 06/15/2029 | 271 | 277 | ||||||
6.875%, 11/01/2035 | 539 | 486 | ||||||
6.750%, 07/01/2036 | 2,225 | 1,989 | ||||||
6.694%, 01/15/2027 | 81 | 81 | ||||||
6.625%, 10/01/2030 (A) | 1,715 | 1,672 | ||||||
5.250%, 02/01/2028 | 1,994 | 1,904 | ||||||
BCPE Ulysses Intermediate | ||||||||
7.750% PIK, 04/01/2027 (A) | 1,246 | 978 | ||||||
Bloomin' Brands | ||||||||
5.125%, 04/15/2029 (A) | 1,370 | 1,226 | ||||||
Boyne USA | ||||||||
4.750%, 05/15/2029 (A) | 168 | 150 | ||||||
Brinker International | ||||||||
5.000%, 10/01/2024 (A) | 422 | 414 | ||||||
Brookfield Residential Properties | ||||||||
4.875%, 02/15/2030 (A) | 712 | 537 | ||||||
Caesars Entertainment | ||||||||
8.125%, 07/01/2027 (A) | 415 | 423 | ||||||
7.000%, 02/15/2030 (A) | 740 | 753 | ||||||
6.250%, 07/01/2025 (A) | 2,587 | 2,587 | ||||||
4.625%, 10/15/2029 (A) | 538 | 470 | ||||||
Caesars Resort Collection | ||||||||
5.750%, 07/01/2025 (A) | 340 | 340 | ||||||
Carnival | ||||||||
10.500%, 02/01/2026 (A) | 186 | 194 | ||||||
10.500%, 06/01/2030 (A) | 1,510 | 1,450 | ||||||
9.875%, 08/01/2027 (A) | 1,825 | 1,880 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
7.625%, 03/01/2026 (A) | $ | 2,184 | $ | 1,993 | ||||
6.000%, 05/01/2029 (A) | 74 | 59 | ||||||
5.750%, 03/01/2027 (A) | 5,576 | 4,574 | ||||||
4.000%, 08/01/2028 (A) | 673 | 579 | ||||||
Carnival Holdings Bermuda | ||||||||
10.375%, 05/01/2028 (A) | 274 | 295 | ||||||
Carvana | ||||||||
10.250%, 05/01/2030 (A) | 54 | 31 | ||||||
5.875%, 10/01/2028 (A) | 228 | 101 | ||||||
5.625%, 10/01/2025 (A) | 486 | 336 | ||||||
4.875%, 09/01/2029 (A) | 757 | 309 | ||||||
CD&R Smokey Buyer | ||||||||
6.750%, 07/15/2025 (A) | 434 | 372 | ||||||
Cedar Fair | ||||||||
5.250%, 07/15/2029 | 295 | 275 | ||||||
Century Communities | ||||||||
6.750%, 06/01/2027 | 444 | 443 | ||||||
Clarios Global | ||||||||
8.500%, 05/15/2027 (A) | 2,175 | 2,183 | ||||||
6.750%, 05/15/2025 (A) | 576 | 582 | ||||||
6.250%, 05/15/2026 (A) | 908 | 906 | ||||||
CMG Media | ||||||||
8.875%, 12/15/2027 (A) | 5,114 | 3,866 | ||||||
Cooper-Standard Automotive | ||||||||
13.500% PIK, 03/31/2027 (A) | 1,517 | 1,585 | ||||||
5.625% PIK, 05/15/2027 (A) | 885 | 510 | ||||||
CSC Holdings | ||||||||
7.500%, 04/01/2028 (A) | 880 | 561 | ||||||
6.500%, 02/01/2029 (A) | 1,925 | 1,599 | ||||||
5.750%, 01/15/2030 (A) | 5,592 | 2,944 | ||||||
4.625%, 12/01/2030 (A) | 1,370 | 676 | ||||||
4.500%, 11/15/2031 (A) | 299 | 216 | ||||||
3.375%, 02/15/2031 (A) | 463 | 320 | ||||||
Cumulus Media New Holdings | ||||||||
6.750%, 07/01/2026 (A) | 916 | 696 | ||||||
Dana | ||||||||
5.625%, 06/15/2028 | 320 | 301 | ||||||
5.375%, 11/15/2027 | 539 | 503 | ||||||
Dealer Tire | ||||||||
8.000%, 02/01/2028 (A) | 625 | 561 | ||||||
Diamond Sports Group | ||||||||
6.625%, 08/15/2027 (A)(D) | 3,243 | 41 | ||||||
5.375%, 08/15/2026 (A)(D) | 6,139 | 338 | ||||||
DirecTV Financing | ||||||||
5.875%, 08/15/2027 (A) | 3,991 | 3,615 | ||||||
Dornoch Debt Merger Sub | ||||||||
6.625%, 10/15/2029 (A) | 3,676 | 2,480 | ||||||
eG Global Finance | ||||||||
8.500%, 10/30/2025 (A) | 520 | 487 | ||||||
6.750%, 02/07/2025 (A) | 4,294 | 3,974 | ||||||
Empire Resorts | ||||||||
7.750%, 11/01/2026 (A) | 3,175 | 2,615 |
SEI Institutional Managed Trust
159
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 | ||||||||
4.750%, 01/15/2043 | 2,200 | 1,687 | ||||||
Ford Motor Credit | ||||||||
7.350%, 03/06/2030 | 450 | 462 | ||||||
6.950%, 03/06/2026 | 200 | 203 | ||||||
5.584%, 03/18/2024 | 1,320 | 1,307 | ||||||
5.125%, 06/16/2025 | 6,111 | 5,982 | ||||||
5.113%, 05/03/2029 | 4,855 | 4,558 | ||||||
4.687%, 06/09/2025 | 655 | 630 | ||||||
4.542%, 08/01/2026 | 730 | 692 | ||||||
4.271%, 01/09/2027 | 735 | 684 | ||||||
4.134%, 08/04/2025 | 250 | 238 | ||||||
4.125%, 08/17/2027 | 1,219 | 1,117 | ||||||
4.063%, 11/01/2024 | 1,594 | 1,539 | ||||||
4.000%, 11/13/2030 | 1,962 | 1,667 | ||||||
3.815%, 11/02/2027 | 685 | 614 | ||||||
3.810%, 01/09/2024 | 43 | 42 | ||||||
3.375%, 11/13/2025 | 1,200 | 1,125 | ||||||
3.370%, 11/17/2023 | 1,320 | 1,295 | ||||||
2.900%, 02/16/2028 | 2,285 | 1,964 | ||||||
2.900%, 02/10/2029 | 470 | 389 | ||||||
2.700%, 08/10/2026 | 200 | 178 | ||||||
Ford Motor Credit MTN | ||||||||
4.389%, 01/08/2026 | 415 | 394 | ||||||
Gap | ||||||||
3.625%, 10/01/2029 (A) | 158 | 113 | ||||||
GCI | ||||||||
4.750%, 10/15/2028 (A) | 599 | 517 | ||||||
Golden Entertainment | ||||||||
7.625%, 04/15/2026 (A) | 501 | 505 | ||||||
Goodyear Tire & Rubber | ||||||||
5.250%, 04/30/2031 | 192 | 169 | ||||||
5.250%, 07/15/2031 | 234 | 202 | ||||||
5.000%, 07/15/2029 | 317 | 283 | ||||||
Hanesbrands | ||||||||
9.000%, 02/15/2031 (A) | 87 | 89 | ||||||
Hertz (Escrow Security) | ||||||||
7.125%, 08/01/2026 | 465 | 40 | ||||||
6.000%, 01/15/2028 | 450 | 38 | ||||||
5.500%, 10/15/2024 | 559 | 20 | ||||||
Hilton Domestic Operating | ||||||||
5.750%, 05/01/2028 (A) | 246 | 246 | ||||||
4.875%, 01/15/2030 | 50 | 48 | ||||||
4.000%, 05/01/2031 (A) | 2,140 | 1,874 | ||||||
3.750%, 05/01/2029 (A) | 2,159 | 1,932 | ||||||
3.625%, 02/15/2032 (A) | 1,566 | 1,321 | ||||||
Hilton Worldwide Finance | ||||||||
4.875%, 04/01/2027 | 175 | 173 | ||||||
International Game Technology | ||||||||
6.250%, 01/15/2027 (A) | 1,225 | 1,239 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.125%, 04/15/2026 (A) | $ | 1,400 | $ | 1,351 | ||||
Jacobs Entertainment | ||||||||
6.750%, 02/15/2029 (A) | 2,270 | 1,983 | ||||||
Jaguar Land Rover Automotive | ||||||||
5.500%, 07/15/2029 (A) | 2,350 | 1,845 | ||||||
Ken Garff Automotive | ||||||||
4.875%, 09/15/2028 (A) | 278 | 236 | ||||||
LBM Acquisition | ||||||||
6.250%, 01/15/2029 (A) | 2,005 | 1,534 | ||||||
LCM Investments Holdings II | ||||||||
4.875%, 05/01/2029 (A) | 2,720 | 2,276 | ||||||
LCPR Senior Secured Financing DAC | ||||||||
6.750%, 10/15/2027 (A) | 1,997 | 1,886 | ||||||
Liberty Interactive | ||||||||
8.250%, 02/01/2030 | 4,140 | 1,021 | ||||||
Life Time | ||||||||
5.750%, 01/15/2026 (A) | 1,800 | 1,749 | ||||||
Lions Gate Capital Holdings | ||||||||
5.500%, 04/15/2029 (A) | 1,431 | 941 | ||||||
Lithia Motors | ||||||||
4.375%, 01/15/2031 (A) | 1,041 | 897 | ||||||
3.875%, 06/01/2029 (A) | 341 | 295 | ||||||
MajorDrive Holdings IV | ||||||||
6.375%, 06/01/2029 (A) | 3,078 | 2,279 | ||||||
Marriott Ownership Resorts | ||||||||
4.500%, 06/15/2029 (A) | 261 | 222 | ||||||
Mattamy Group | ||||||||
4.625%, 03/01/2030 (A) | 713 | 620 | ||||||
Mattel | ||||||||
3.375%, 04/01/2026 (A) | 1,570 | 1,478 | ||||||
McGraw-Hill Education | ||||||||
5.750%, 08/01/2028 (A) | 2,510 | 2,184 | ||||||
MGM Resorts International | ||||||||
6.750%, 05/01/2025 | 315 | 317 | ||||||
5.750%, 06/15/2025 | 674 | 672 | ||||||
4.750%, 10/15/2028 | 670 | 624 | ||||||
Michaels | ||||||||
7.875%, 05/01/2029 (A) | 2,240 | 1,568 | ||||||
Midcontinent Communications | ||||||||
5.375%, 08/15/2027 (A) | 552 | 500 | ||||||
Midwest Gaming Borrower | ||||||||
4.875%, 05/01/2029 (A) | 1,227 | 1,067 | ||||||
Millennium Escrow | ||||||||
6.625%, 08/01/2026 (A) | 1,420 | 923 | ||||||
National CineMedia | ||||||||
5.875%, 04/15/2028 (A)(D) | 150 | 43 | ||||||
NCL | ||||||||
8.375%, 02/01/2028 (A) | 61 | 61 | ||||||
5.875%, 03/15/2026 (A) | 890 | 757 | ||||||
5.875%, 02/15/2027 (A) | 1,235 | 1,152 | ||||||
NCL Finance | ||||||||
6.125%, 03/15/2028 (A) | 846 | 685 |
160
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Neiman Marcus Group (Escrow Security) | ||||||||
0.000%, 10/15/2022 (B)(C)(D) | $ | 1,582 | $ | 397 | ||||
NESCO Holdings II | ||||||||
5.500%, 04/15/2029 (A) | 271 | 245 | ||||||
Newell Brands | ||||||||
6.625%, 09/15/2029 | 50 | 50 | ||||||
6.375%, 09/15/2027 | 50 | 50 | ||||||
Nissan Motor | ||||||||
4.345%, 09/17/2027 (A) | 1,687 | 1,592 | ||||||
Nissan Motor Acceptance | ||||||||
2.000%, 03/09/2026 (A) | 1,390 | 1,232 | ||||||
Nordstrom | ||||||||
4.375%, 04/01/2030 | 9 | 7 | ||||||
PECF USS Intermediate Holding III | ||||||||
8.000%, 11/15/2029 (A) | 2,340 | 1,554 | ||||||
PetSmart | ||||||||
7.750%, 02/15/2029 (A) | 1,085 | 1,065 | ||||||
4.750%, 02/15/2028 (A) | 1,335 | 1,253 | ||||||
Photo Holdings Merger Sub | ||||||||
8.500%, 10/01/2026 (A) | 575 | 246 | ||||||
PM General Purchaser | ||||||||
9.500%, 10/01/2028 (A) | 383 | 351 | ||||||
QVC | ||||||||
4.850%, 04/01/2024 | 283 | 226 | ||||||
4.750%, 02/15/2027 | 380 | 160 | ||||||
4.375%, 09/01/2028 | 873 | 354 | ||||||
Radiate Holdco | ||||||||
6.500%, 09/15/2028 (A) | 3,005 | 1,232 | ||||||
4.500%, 09/15/2026 (A) | 1,155 | 904 | ||||||
Raptor Acquisition | ||||||||
4.875%, 11/01/2026 (A) | 233 | 217 | ||||||
Royal Caribbean Cruises | ||||||||
11.625%, 08/15/2027 (A) | 3,341 | 3,588 | ||||||
11.500%, 06/01/2025 (A) | 272 | 290 | ||||||
9.250%, 01/15/2029 (A) | 225 | 239 | ||||||
8.250%, 01/15/2029 (A) | 225 | 235 | ||||||
7.250%, 01/15/2030 (A) | 165 | 166 | ||||||
5.500%, 08/31/2026 (A) | 1,370 | 1,282 | ||||||
5.500%, 04/01/2028 (A) | 585 | 516 | ||||||
Service International | ||||||||
7.500%, 04/01/2027 | 640 | 662 | ||||||
4.000%, 05/15/2031 | 14 | 12 | ||||||
3.375%, 08/15/2030 | 61 | 52 | ||||||
Shea Homes | ||||||||
4.750%, 02/15/2028 | 711 | 635 | ||||||
4.750%, 04/01/2029 | 825 | 720 | ||||||
Six Flags Entertainment | ||||||||
5.500%, 04/15/2027 (A) | 235 | 228 | ||||||
4.875%, 07/31/2024 (A) | 2,882 | 2,839 | ||||||
Six Flags Theme Parks | ||||||||
7.000%, 07/01/2025 (A) | 336 | 339 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Sonic Automotive | ||||||||
4.625%, 11/15/2029 (A) | $ | 239 | $ | 200 | ||||
Sotheby's | ||||||||
5.875%, 06/01/2029 (A) | 460 | 381 | ||||||
Specialty Building Products Holdings | ||||||||
6.375%, 09/30/2026 (A) | 2,628 | 2,415 | ||||||
SRS Distribution | ||||||||
6.125%, 07/01/2029 (A) | 969 | 818 | ||||||
6.000%, 12/01/2029 (A) | 1,166 | 963 | ||||||
4.625%, 07/01/2028 (A) | 327 | 290 | ||||||
Staples | ||||||||
10.750%, 04/15/2027 (A) | 1,223 | 887 | ||||||
7.500%, 04/15/2026 (A) | 2,438 | 2,136 | ||||||
Station Casinos | ||||||||
4.500%, 02/15/2028 (A) | 2,001 | 1,806 | ||||||
StoneMor | ||||||||
8.500%, 05/15/2029 (A) | 2,030 | 1,561 | ||||||
Studio City | ||||||||
7.000%, 02/15/2027 (A) | 475 | 448 | ||||||
Studio City Finance | ||||||||
5.000%, 01/15/2029 (A) | 2,405 | 1,846 | ||||||
Sugarhouse HSP Gaming Prop Mezz | ||||||||
5.875%, 05/15/2025 (A) | 1,275 | 1,218 | ||||||
Superior Plus | ||||||||
4.500%, 03/15/2029 (A) | 202 | 180 | ||||||
Telenet Finance Luxembourg Notes Sarl | ||||||||
5.500%, 03/01/2028 (A) | 2,600 | 2,392 | ||||||
Tempur Sealy International | ||||||||
4.000%, 04/15/2029 (A) | 525 | 462 | ||||||
3.875%, 10/15/2031 (A) | 1,351 | 1,128 | ||||||
Time Warner Entertainment | ||||||||
8.375%, 07/15/2033 | 1,028 | 1,171 | ||||||
Univision Communications | ||||||||
7.375%, 06/30/2030 (A) | 211 | 199 | ||||||
6.625%, 06/01/2027 (A) | 40 | 38 | ||||||
4.500%, 05/01/2029 (A) | 1,668 | 1,401 | ||||||
Vail Resorts | ||||||||
6.250%, 05/15/2025 (A) | 437 | 438 | ||||||
Victoria's Secret | ||||||||
4.625%, 07/15/2029 (A) | 1,891 | 1,532 | ||||||
Viking Cruises | ||||||||
5.875%, 09/15/2027 (A) | 2,336 | 2,011 | ||||||
Virgin Media Finance | ||||||||
5.000%, 07/15/2030 (A) | 493 | 407 | ||||||
Virgin Media Secured Finance | ||||||||
5.500%, 05/15/2029 (A) | 290 | 270 | ||||||
4.500%, 08/15/2030 (A) | 480 | 413 | ||||||
Virgin Media Vendor Financing Notes IV DAC | ||||||||
5.000%, 07/15/2028 (A) | 2,212 | 1,966 | ||||||
Vista Outdoor | ||||||||
4.500%, 03/15/2029 (A) | 408 | 329 |
SEI Institutional Managed Trust
161
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
High Yield Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
VZ Secured Financing BV | ||||||||
5.000%, 01/15/2032 (A) | $ | 1,305 | $ | 1,065 | ||||
Wheel Pros | ||||||||
6.500%, 05/15/2029 (A) | 2,530 | 1,138 | ||||||
White Capital Buyer | ||||||||
6.875%, 10/15/2028 (A) | 105 | 91 | ||||||
White Capital Parent | ||||||||
8.250% PIK, 03/15/2026 (A) | 2,275 | 2,069 | ||||||
Wolverine World Wide | ||||||||
4.000%, 08/15/2029 (A) | 1,701 | 1,382 | ||||||
WW International | ||||||||
4.500%, 04/15/2029 (A) | 1,840 | 989 | ||||||
Wynn Las Vegas | ||||||||
5.500%, 03/01/2025 (A) | 720 | 706 | ||||||
Wynn Resorts Finance | ||||||||
5.125%, 10/01/2029 (A) | 379 | 344 | ||||||
Yum! Brands | ||||||||
6.875%, 11/15/2037 | 1,065 | 1,125 | ||||||
5.375%, 04/01/2032 | 325 | 315 | ||||||
4.625%, 01/31/2032 | 217 | 202 | ||||||
3.625%, 03/15/2031 | 2,574 | 2,260 | ||||||
213,149 | ||||||||
Consumer Staples — 2.8% | ||||||||
Albertsons | ||||||||
5.875%, 02/15/2028 (A) | 125 | 124 | ||||||
4.875%, 02/15/2030 (A) | 60 | 56 | ||||||
4.625%, 01/15/2027 (A) | 835 | 807 | ||||||
3.500%, 03/15/2029 (A) | 448 | 390 | ||||||
3.250%, 03/15/2026 (A) | 196 | 184 | ||||||
B&G Foods | ||||||||
5.250%, 04/01/2025 | 552 | 514 | ||||||
Central Garden & Pet | ||||||||
5.125%, 02/01/2028 | 350 | 337 | ||||||
4.125%, 10/15/2030 | 242 | 214 | ||||||
4.125%, 04/30/2031 (A) | 168 | 145 | ||||||
Chobani | ||||||||
7.500%, 04/15/2025 (A) | 3,498 | 3,411 | ||||||
4.625%, 11/15/2028 (A) | 1,118 | 1,019 | ||||||
Coca-Cola | ||||||||
2.500%, 06/01/2040 | 880 | 675 | ||||||
Coty | ||||||||
5.000%, 04/15/2026 (A) | 1,138 | 1,098 | ||||||
4.750%, 01/15/2029 (A) | 2,085 | 1,947 | ||||||
Edgewell Personal Care | ||||||||
5.500%, 06/01/2028 (A) | 305 | 292 | ||||||
4.125%, 04/01/2029 (A) | 117 | 102 | ||||||
Energizer Holdings | ||||||||
6.500%, 12/31/2027 (A) | 133 | 129 | ||||||
4.750%, 06/15/2028 (A) | 469 | 422 | ||||||
4.375%, 03/31/2029 (A) | 622 | 547 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
High Ridge Brands Co. (Escrow Security) | ||||||||
9.772%, 03/15/2025 | $ | 445 | $ | 8 | ||||
HLF Financing Sarl | ||||||||
4.875%, 06/01/2029 (A) | 2,345 | 1,782 | ||||||
JBS USA LUX | ||||||||
5.500%, 01/15/2030 (A) | 2,468 | 2,356 | ||||||
Lamb Weston Holdings | ||||||||
4.375%, 01/31/2032 (A) | 63 | 57 | ||||||
4.125%, 01/31/2030 (A) | 1,193 | 1,092 | ||||||
LSF9 Atlantis Holdings | ||||||||
7.750%, 02/15/2026 (A) | 3,523 | 3,200 | ||||||
New Albertsons | ||||||||
8.700%, 05/01/2030 | 955 | 1,003 | ||||||
8.000%, 05/01/2031 | 1,540 | 1,569 | ||||||
Performance Food Group | ||||||||
6.875%, 05/01/2025 (A) | 50 | 50 | ||||||
5.500%, 10/15/2027 (A) | 355 | 347 | ||||||
4.250%, 08/01/2029 (A) | 460 | 413 | ||||||
Pilgrim's Pride | ||||||||
3.500%, 03/01/2032 | 835 | 680 | ||||||
Post Holdings | ||||||||
5.750%, 03/01/2027 (A) | 15 | 15 | ||||||
5.625%, 01/15/2028 (A) | 489 | 479 | ||||||
5.500%, 12/15/2029 (A) | 282 | 266 | ||||||
4.625%, 04/15/2030 (A) | 83 | 74 | ||||||
Rite Aid | ||||||||
8.000%, 11/15/2026 (A) | 832 | 397 | ||||||
7.500%, 07/01/2025 (A) | 646 | 381 | ||||||
Sigma Holdco BV | ||||||||
7.875%, 05/15/2026 (A) | 3,282 | 2,601 | ||||||
Simmons Foods | ||||||||
4.625%, 03/01/2029 (A) | 885 | 719 | ||||||
Spectrum Brands | ||||||||
5.500%, 07/15/2030 (A) | 617 | 543 | ||||||
5.000%, 10/01/2029 (A) | 100 | 87 | ||||||
3.875%, 03/15/2031 (A) | 93 | 76 | ||||||
Triton Water Holdings | ||||||||
6.250%, 04/01/2029 (A) | 3,094 | 2,457 | ||||||
US Foods | ||||||||
4.625%, 06/01/2030 (A) | 230 | 207 | ||||||
Vector Group | ||||||||
5.750%, 02/01/2029 (A) | 1,265 | 1,126 | ||||||
34,398 | ||||||||
Energy — 10.6% | ||||||||
Aethon United BR | ||||||||
8.250%, 02/15/2026 (A) | 1,216 | 1,193 | ||||||
Antero Midstream Partners | ||||||||
7.875%, 05/15/2026 (A) | 318 | 324 | ||||||
5.750%, 03/01/2027 (A) | 50 | 49 | ||||||
5.750%, 01/15/2028 (A) | 290 | 278 | ||||||
5.375%, 06/15/2029 (A) | 707 | 665 |
162
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Antero Resources | ||||||||
8.375%, 07/15/2026 (A) | $ | 260 | $ | 271 | ||||
7.625%, 02/01/2029 (A) | 742 | 759 | ||||||
5.375%, 03/01/2030 (A) | 1,081 | 1,006 | ||||||
Apache | ||||||||
5.100%, 09/01/2040 | 2,729 | 2,313 | ||||||
Archrock Partners | ||||||||
6.250%, 04/01/2028 (A) | 1,068 | 1,025 | ||||||
Ascent Resources Utica Holdings | ||||||||
8.250%, 12/31/2028 (A) | 1,578 | 1,526 | ||||||
7.000%, 11/01/2026 (A) | 911 | 881 | ||||||
5.875%, 06/30/2029 (A) | 1,407 | 1,242 | ||||||
Baytex Energy | ||||||||
8.750%, 04/01/2027 (A) | 325 | 333 | ||||||
Blue Racer Midstream | ||||||||
7.625%, 12/15/2025 (A) | 2,721 | 2,694 | ||||||
Buckeye Partners | ||||||||
4.500%, 03/01/2028 (A) | 400 | 361 | ||||||
4.125%, 03/01/2025 (A) | 230 | 218 | ||||||
4.125%, 12/01/2027 | 135 | 118 | ||||||
California Resources | ||||||||
7.125%, 02/01/2026 (A) | 374 | 379 | ||||||
Cheniere Energy | ||||||||
4.625%, 10/15/2028 | 550 | 523 | ||||||
Cheniere Energy Partners | ||||||||
4.500%, 10/01/2029 | 3,457 | 3,212 | ||||||
4.000%, 03/01/2031 | 389 | 346 | ||||||
3.250%, 01/31/2032 | 393 | 325 | ||||||
Chesapeake Energy (Escrow Security) | ||||||||
0.000%, 12/31/2049 (B)(C) | 3,650 | 68 | ||||||
Chesapeake Energy Corp | ||||||||
6.750%, 04/15/2029 (A) | 1,149 | 1,141 | ||||||
Chord Energy Corp | ||||||||
6.375%, 06/01/2026 (A) | 264 | 261 | ||||||
Citgo Holding | ||||||||
9.250%, 08/01/2024 (A) | 3,016 | 3,022 | ||||||
CITGO Petroleum | ||||||||
6.375%, 06/15/2026 (A) | 525 | 512 | ||||||
CNX Midstream Partners | ||||||||
4.750%, 04/15/2030 (A) | 54 | 46 | ||||||
CNX Resources | ||||||||
7.375%, 01/15/2031 (A) | 147 | 145 | ||||||
Comstock Resources | ||||||||
6.750%, 03/01/2029 (A) | 3,826 | 3,501 | ||||||
5.875%, 01/15/2030 (A) | 157 | 135 | ||||||
CQP Holdco | ||||||||
5.500%, 06/15/2031 (A) | 906 | 814 | ||||||
Crescent Energy Finance | ||||||||
9.250%, 02/15/2028 (A) | 232 | 222 | ||||||
Crestwood Midstream Partners | ||||||||
8.000%, 04/01/2029 (A) | 698 | 712 | ||||||
7.375%, 02/01/2031 (A) | 1,167 | 1,167 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Delek Logistics Partners | ||||||||
6.750%, 05/15/2025 | $ | 811 | $ | 793 | ||||
DT Midstream | ||||||||
4.375%, 06/15/2031 (A) | 103 | 90 | ||||||
4.125%, 06/15/2029 (A) | 1,629 | 1,428 | ||||||
Earthstone Energy Holdings | ||||||||
8.000%, 04/15/2027 (A) | 1,305 | 1,266 | ||||||
Encino Acquisition Partners Holdings | ||||||||
8.500%, 05/01/2028 (A) | 2,269 | 1,985 | ||||||
Energy Transfer | ||||||||
5.500%, 06/01/2027 | 1,564 | 1,557 | ||||||
EnLink Midstream | ||||||||
6.500%, 09/01/2030 (A) | 93 | 94 | ||||||
5.375%, 06/01/2029 | 4,626 | 4,453 | ||||||
EnLink Midstream Partners | ||||||||
4.850%, 07/15/2026 | 190 | 183 | ||||||
Enviva Partners | ||||||||
6.500%, 01/15/2026 (A) | 4,475 | 4,072 | ||||||
EQM Midstream Partners | ||||||||
7.500%, 06/01/2027 (A) | 170 | 171 | ||||||
7.500%, 06/01/2030 (A) | 134 | 130 | ||||||
6.500%, 07/01/2027 (A) | 712 | 690 | ||||||
6.500%, 07/15/2048 | 2,980 | 2,303 | ||||||
6.000%, 07/01/2025 (A) | 276 | 273 | ||||||
4.750%, 01/15/2031 (A) | 934 | 775 | ||||||
4.500%, 01/15/2029 (A) | 1,624 | 1,380 | ||||||
Genesis Energy | ||||||||
8.875%, 04/15/2030 | 357 | 361 | ||||||
8.000%, 01/15/2027 | 1,187 | 1,174 | ||||||
7.750%, 02/01/2028 | 1,753 | 1,700 | ||||||
6.500%, 10/01/2025 | 20 | 19 | ||||||
Gulfport Energy Corp | ||||||||
8.000%, 05/17/2026 (A) | 2,335 | 2,312 | ||||||
Gulfport Energy Operating (Escrow Security) | ||||||||
6.375%, 05/15/2025 (B) | 183 | – | ||||||
6.375%, 01/15/2026 | 585 | – | ||||||
6.000%, 10/15/2024 | 215 | – | ||||||
Harvest Midstream I | ||||||||
7.500%, 09/01/2028 (A) | 1,300 | 1,296 | ||||||
Hess Midstream Operations | ||||||||
5.625%, 02/15/2026 (A) | 325 | 322 | ||||||
5.500%, 10/15/2030 (A) | 415 | 386 | ||||||
4.250%, 02/15/2030 (A) | 1,777 | 1,587 | ||||||
Hilcorp Energy I | ||||||||
6.250%, 11/01/2028 (A) | 10 | 9 | ||||||
6.250%, 04/15/2032 (A) | 85 | 79 | ||||||
6.000%, 04/15/2030 (A) | 101 | 93 | ||||||
Holly Energy Partners | ||||||||
6.375%, 04/15/2027 (A) | 160 | 158 | ||||||
Howard Midstream Energy Partners | ||||||||
6.750%, 01/15/2027 (A) | 3,205 | 3,022 |
SEI Institutional Managed Trust
163
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
High Yield Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
ITT Holdings | ||||||||
6.500%, 08/01/2029 (A) | $ | 2,575 | $ | 2,174 | ||||
Kinetik Holdings | ||||||||
5.875%, 06/15/2030 (A) | 129 | 124 | ||||||
Moss Creek Resources Holdings | ||||||||
10.500%, 05/15/2027 (A) | 36 | 34 | ||||||
7.500%, 01/15/2026 (A) | 2,742 | 2,543 | ||||||
Motiva Enterprises | ||||||||
6.850%, 01/15/2040 (A) | 967 | 1,045 | ||||||
Nabors Industries | ||||||||
7.250%, 01/15/2026 (A) | 93 | 89 | ||||||
5.750%, 02/01/2025 | 325 | 315 | ||||||
New Fortress Energy | ||||||||
6.750%, 09/15/2025 (A) | 1,403 | 1,350 | ||||||
6.500%, 09/30/2026 (A) | 2,411 | 2,218 | ||||||
NGL Energy Operating | ||||||||
7.500%, 02/01/2026 (A) | 2,146 | 2,071 | ||||||
NGL Energy Partners | ||||||||
7.500%, 04/15/2026 | 1,755 | 1,518 | ||||||
6.125%, 03/01/2025 | 3,712 | 3,331 | ||||||
Northern Oil and Gas | ||||||||
8.125%, 03/01/2028 (A) | 2,099 | 2,082 | ||||||
NuStar Logistics | ||||||||
6.375%, 10/01/2030 | 685 | 657 | ||||||
6.000%, 06/01/2026 | 255 | 250 | ||||||
5.750%, 10/01/2025 | 114 | 111 | ||||||
5.625%, 04/28/2027 | 115 | 109 | ||||||
Occidental Petroleum | ||||||||
8.875%, 07/15/2030 | 338 | 393 | ||||||
8.500%, 07/15/2027 | 293 | 322 | ||||||
6.625%, 09/01/2030 | 150 | 158 | ||||||
6.375%, 09/01/2028 | 150 | 155 | ||||||
6.125%, 01/01/2031 | 3,235 | 3,356 | ||||||
4.625%, 06/15/2045 | 1,110 | 889 | ||||||
Patterson-UTI Energy | ||||||||
5.150%, 11/15/2029 | 625 | 575 | ||||||
3.950%, 02/01/2028 | 514 | 456 | ||||||
Permian Resources Operating | ||||||||
5.875%, 07/01/2029 (A) | 1,645 | 1,558 | ||||||
Precision Drilling | ||||||||
7.125%, 01/15/2026 (A) | 300 | 293 | ||||||
6.875%, 01/15/2029 (A) | 66 | 60 | ||||||
Range Resources | ||||||||
8.250%, 01/15/2029 | 402 | 424 | ||||||
4.875%, 05/15/2025 | 280 | 274 | ||||||
Rockcliff Energy II | ||||||||
5.500%, 10/15/2029 (A) | 3,750 | 3,323 | ||||||
Seventy Seven Operating (Escrow Security) | ||||||||
6.625%, 01/15/2020 (B)(D) | 1,869 | – | ||||||
SM Energy | ||||||||
6.750%, 09/15/2026 | 514 | 504 | ||||||
6.625%, 01/15/2027 | 73 | 70 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
6.500%, 07/15/2028 | $ | 113 | $ | 108 | ||||
5.625%, 06/01/2025 | 295 | 286 | ||||||
Southwestern Energy | ||||||||
5.375%, 03/15/2030 | 993 | 934 | ||||||
4.750%, 02/01/2032 | 772 | 682 | ||||||
Strathcona Resources | ||||||||
6.875%, 08/01/2026 (A) | 3,010 | 2,393 | ||||||
Summit Midstream Holdings | ||||||||
8.500%, 10/15/2026 (A) | 176 | 169 | ||||||
5.750%, 04/15/2025 | 1,540 | 1,283 | ||||||
Sunoco | ||||||||
5.875%, 03/15/2028 | 1,585 | 1,522 | ||||||
4.500%, 05/15/2029 | 1,243 | 1,141 | ||||||
4.500%, 04/30/2030 | 1,342 | 1,214 | ||||||
Tallgrass Energy Partners | ||||||||
7.500%, 10/01/2025 (A) | 381 | 381 | ||||||
6.000%, 03/01/2027 (A) | 270 | 256 | ||||||
6.000%, 12/31/2030 (A) | 4,060 | 3,629 | ||||||
6.000%, 09/01/2031 (A) | 722 | 638 | ||||||
5.500%, 01/15/2028 (A) | 70 | 64 | ||||||
Targa Resources Partners | ||||||||
6.875%, 01/15/2029 | 192 | 196 | ||||||
6.500%, 07/15/2027 | 523 | 533 | ||||||
4.875%, 02/01/2031 | 250 | 234 | ||||||
4.000%, 01/15/2032 | 167 | 146 | ||||||
TerraForm Power Operating | ||||||||
5.000%, 01/31/2028 (A) | 2,957 | 2,809 | ||||||
4.750%, 01/15/2030 (A) | 375 | 336 | ||||||
Transocean | ||||||||
11.500%, 01/30/2027 (A) | 2,140 | 2,210 | ||||||
8.750%, 02/15/2030 (A) | 87 | 89 | ||||||
8.000%, 02/01/2027 (A) | 1,425 | 1,281 | ||||||
7.500%, 04/15/2031 | 790 | 600 | ||||||
7.250%, 11/01/2025 (A) | 772 | 730 | ||||||
6.800%, 03/15/2038 | 492 | 341 | ||||||
Transocean Titan Financing | ||||||||
8.375%, 02/01/2028 (A) | 58 | 60 | ||||||
USA Compression Partners | ||||||||
6.875%, 09/01/2027 | 220 | 210 | ||||||
Venture Global Calcasieu Pass | ||||||||
4.125%, 08/15/2031 (A) | 540 | 474 | ||||||
3.875%, 08/15/2029 (A) | 255 | 230 | ||||||
3.875%, 11/01/2033 (A) | 3,079 | 2,586 | ||||||
Weatherford International | ||||||||
8.625%, 04/30/2030 (A) | 1,657 | 1,695 | ||||||
Western Midstream Operating | ||||||||
5.500%, 02/01/2050 | 2,924 | 2,481 | ||||||
4.300%, 02/01/2030 | 3,066 | 2,791 | ||||||
133,511 | ||||||||
164
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Financials — 7.1% | ||||||||
Acrisure | ||||||||
10.125%, 08/01/2026 (A) | $ | 1,211 | $ | 1,204 | ||||
4.250%, 02/15/2029 (A) | 1,702 | 1,451 | ||||||
Advisor Group Holdings | ||||||||
10.750%, 08/01/2027 (A) | 1,515 | 1,538 | ||||||
AG Issuer | ||||||||
6.250%, 03/01/2028 (A) | 1,208 | 1,088 | ||||||
AG TTMT Escrow Issuer | ||||||||
8.625%, 09/30/2027 (A) | 419 | 422 | ||||||
Alliant Holdings Intermediate | ||||||||
6.750%, 10/15/2027 (A) | 1,623 | 1,505 | ||||||
5.875%, 11/01/2029 (A) | 1,445 | 1,219 | ||||||
Apollo Commercial Real Estate Finance | ||||||||
4.625%, 06/15/2029 (A) | 798 | 561 | ||||||
Armor Holdco | ||||||||
8.500%, 11/15/2029 (A) | 1,735 | 1,410 | ||||||
AssuredPartners | ||||||||
5.625%, 01/15/2029 (A) | 750 | 648 | ||||||
Blackstone Mortgage Trust | ||||||||
3.750%, 01/15/2027 (A) | 556 | 437 | ||||||
Blackstone Private Credit Fund | ||||||||
7.050%, 09/29/2025 (A) | 772 | 761 | ||||||
2.625%, 12/15/2026 | 3,105 | 2,607 | ||||||
Block | ||||||||
3.500%, 06/01/2031 | 291 | 239 | ||||||
Bread Financial Holdings | ||||||||
4.750%, 12/15/2024 (A) | 840 | 751 | ||||||
BroadStreet Partners | ||||||||
5.875%, 04/15/2029 (A) | 2,190 | 1,852 | ||||||
Coinbase Global | ||||||||
3.625%, 10/01/2031 (A) | 80 | 45 | ||||||
3.375%, 10/01/2028 (A) | 647 | 399 | ||||||
CPI CG | ||||||||
8.625%, 03/15/2026 (A) | 1,328 | 1,315 | ||||||
Finance of America Funding | ||||||||
7.875%, 11/15/2025 (A) | 4,222 | 3,008 | ||||||
FirstCash | ||||||||
5.625%, 01/01/2030 (A) | 2,135 | 1,970 | ||||||
Freedom Mortgage | ||||||||
8.250%, 04/15/2025 (A) | 1,802 | 1,665 | ||||||
7.625%, 05/01/2026 (A) | 1,235 | 992 | ||||||
6.625%, 01/15/2027 (A) | 355 | 273 | ||||||
HAT Holdings I | ||||||||
6.000%, 04/15/2025 (A) | 957 | 919 | ||||||
3.750%, 09/15/2030 (A) | 910 | 687 | ||||||
3.375%, 06/15/2026 (A) | 577 | 501 | ||||||
Home Point Capital | ||||||||
5.000%, 02/01/2026 (A) | 2,185 | 1,639 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
HSBC Holdings | ||||||||
4.600%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.649%(F)(G) | $ | 783 | $ | 585 | ||||
HUB International | ||||||||
5.625%, 12/01/2029 (A) | 1,010 | 880 | ||||||
Hunt | ||||||||
5.250%, 04/15/2029 (A) | 953 | 745 | ||||||
Jane Street Group | ||||||||
4.500%, 11/15/2029 (A) | 2,099 | 1,879 | ||||||
JPMorgan Chase | ||||||||
5.000%, TSFR3M + 3.380%(F)(G) | 856 | 822 | ||||||
4.600%, TSFR3M + 3.125%(F)(G) | 556 | 517 | ||||||
Ladder Capital Finance Holdings LLLP | ||||||||
5.250%, 10/01/2025 (A) | 210 | 185 | ||||||
4.750%, 06/15/2029 (A) | 1,921 | 1,389 | ||||||
4.250%, 02/01/2027 (A) | 3,501 | 2,766 | ||||||
LD Holdings Group | ||||||||
6.500%, 11/01/2025 (A) | 1,250 | 788 | ||||||
6.125%, 04/01/2028 (A) | 2,265 | 1,057 | ||||||
Lloyds Banking Group | ||||||||
7.500%, USD Swap Semi 30/360 5 Yr Curr + 4.760%(F)(G) | 200 | 189 | ||||||
LPL Holdings | ||||||||
4.625%, 11/15/2027 (A) | 1,542 | 1,457 | ||||||
4.375%, 05/15/2031 (A) | 325 | 287 | ||||||
4.000%, 03/15/2029 (A) | 130 | 117 | ||||||
Midcap Financial Issuer Trust | ||||||||
6.500%, 05/01/2028 (A) | 2,300 | 1,957 | ||||||
5.625%, 01/15/2030 (A) | 1,666 | 1,316 | ||||||
MPH Acquisition Holdings | ||||||||
5.750%, 11/01/2028 (A) | 414 | 298 | ||||||
5.500%, 09/01/2028 (A) | 414 | 329 | ||||||
MSCI | ||||||||
4.000%, 11/15/2029 (A) | 1,902 | 1,735 | ||||||
Nationstar Mortgage Holdings | ||||||||
6.000%, 01/15/2027 (A) | 903 | 819 | ||||||
5.750%, 11/15/2031 (A) | 270 | 209 | ||||||
5.500%, 08/15/2028 (A) | 1,487 | 1,275 | ||||||
5.125%, 12/15/2030 (A) | 138 | 106 | ||||||
Navient | ||||||||
5.000%, 03/15/2027 | 691 | 609 | ||||||
OneMain Finance | ||||||||
7.125%, 03/15/2026 | 1,125 | 1,081 | ||||||
6.625%, 01/15/2028 | 257 | 236 | ||||||
5.375%, 11/15/2029 | 2,232 | 1,878 | ||||||
4.000%, 09/15/2030 | 2,077 | 1,558 | ||||||
3.875%, 09/15/2028 | 253 | 201 | ||||||
3.500%, 01/15/2027 | 440 | 369 | ||||||
Owl Rock Capital | ||||||||
3.400%, 07/15/2026 | 1,587 | 1,401 |
SEI Institutional Managed Trust
165
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
High Yield Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Paysafe Finance | ||||||||
4.000%, 06/15/2029 (A) | $ | 1,895 | $ | 1,473 | ||||
PennyMac Financial Services | ||||||||
5.750%, 09/15/2031 (A) | 425 | 337 | ||||||
5.375%, 10/15/2025 (A) | 561 | 524 | ||||||
4.250%, 02/15/2029 (A) | 4,863 | 3,870 | ||||||
PRA Group | ||||||||
5.000%, 10/01/2029 (A) | 1,882 | 1,574 | ||||||
Rithm Capital | ||||||||
6.250%, 10/15/2025 (A) | 1,832 | 1,635 | ||||||
Rocket Mortgage | ||||||||
4.000%, 10/15/2033 (A) | 1,902 | 1,510 | ||||||
3.625%, 03/01/2029 (A) | 2,328 | 1,999 | ||||||
2.875%, 10/15/2026 (A) | 180 | 161 | ||||||
Sabre GLBL | ||||||||
11.250%, 12/15/2027 (A) | 1,460 | 1,361 | ||||||
9.250%, 04/15/2025 (A) | 348 | 328 | ||||||
Science Applications International | ||||||||
4.875%, 04/01/2028 (A) | 1,172 | 1,091 | ||||||
UBS Group | ||||||||
7.000%, USD Swap Semi 30/360 5 Yr Curr + 4.344%(A)(F)(G) | 1,388 | 1,317 | ||||||
United Wholesale Mortgage | ||||||||
5.750%, 06/15/2027 (A) | 563 | 501 | ||||||
5.500%, 11/15/2025 (A) | 309 | 292 | ||||||
5.500%, 04/15/2029 (A) | 205 | 171 | ||||||
Verscend Escrow | ||||||||
9.750%, 08/15/2026 (A) | 782 | 782 | ||||||
VistaJet Malta Finance | ||||||||
6.375%, 02/01/2030 (A) | 7,892 | 7,033 | ||||||
WeWork | ||||||||
7.875%, 05/01/2025 (A) | 3,100 | 1,713 | ||||||
87,818 | ||||||||
Health Care — 5.8% | ||||||||
1375209 BC Ltd | ||||||||
9.000%, 01/30/2028 (A) | 1,408 | 1,396 | ||||||
180 Medical Inc | ||||||||
3.875%, 10/15/2029 (A) | 200 | 177 | ||||||
Acadia Healthcare | ||||||||
5.500%, 07/01/2028 (A) | 441 | 427 | ||||||
5.000%, 04/15/2029 (A) | 1,006 | 946 | ||||||
AHP Health Partners | ||||||||
5.750%, 07/15/2029 (A) | 251 | 211 | ||||||
Air Methods | ||||||||
8.000%, 05/15/2025 (A) | 4,620 | 277 | ||||||
Akumin | ||||||||
7.000%, 11/01/2025 (A) | 3,430 | 2,701 | ||||||
Akumin Escrow | ||||||||
7.500%, 08/01/2028 (A) | 1,205 | 843 | ||||||
APX Group | ||||||||
5.750%, 07/15/2029 (A) | 643 | 575 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
AthenaHealth Group | ||||||||
6.500%, 02/15/2030 (A) | $ | 2,651 | $ | 2,150 | ||||
Avantor Funding | ||||||||
4.625%, 07/15/2028 (A) | 574 | 544 | ||||||
3.875%, 11/01/2029 (A) | 2,166 | 1,939 | ||||||
Bausch Health | ||||||||
14.000%, 10/15/2030 (A) | 536 | 302 | ||||||
11.000%, 09/30/2028 (A) | 1,607 | 1,182 | ||||||
9.000%, 12/15/2025 (A) | 1,765 | 1,405 | ||||||
5.750%, 08/15/2027 (A) | 220 | 137 | ||||||
5.500%, 11/01/2025 (A) | 980 | 806 | ||||||
5.250%, 01/30/2030 (A) | 3,780 | 1,411 | ||||||
5.250%, 02/15/2031 (A) | 193 | 75 | ||||||
5.000%, 01/30/2028 (A) | 215 | 82 | ||||||
5.000%, 02/15/2029 (A) | 445 | 174 | ||||||
4.875%, 06/01/2028 (A) | 485 | 286 | ||||||
Bausch Health Americas | ||||||||
9.250%, 04/01/2026 (A) | 385 | 285 | ||||||
8.500%, 01/31/2027 (A) | 444 | 203 | ||||||
Bristol-Myers Squibb | ||||||||
2.550%, 11/13/2050 | 1,410 | 943 | ||||||
Centene | ||||||||
4.625%, 12/15/2029 | 832 | 782 | ||||||
3.375%, 02/15/2030 | 455 | 397 | ||||||
2.625%, 08/01/2031 | 2,250 | 1,823 | ||||||
2.500%, 03/01/2031 | 275 | 223 | ||||||
Charles River Laboratories International | ||||||||
4.000%, 03/15/2031 (A) | 1,015 | 888 | ||||||
3.750%, 03/15/2029 (A) | 385 | 342 | ||||||
CHS | ||||||||
8.000%, 03/15/2026 (A) | 1,563 | 1,511 | ||||||
6.875%, 04/01/2028 (A) | 1,200 | 744 | ||||||
6.875%, 04/15/2029 (A) | 855 | 529 | ||||||
6.125%, 04/01/2030 (A) | 319 | 192 | ||||||
6.000%, 01/15/2029 (A) | 250 | 211 | ||||||
5.625%, 03/15/2027 (A) | 1,706 | 1,498 | ||||||
5.250%, 05/15/2030 (A) | 1,077 | 845 | ||||||
4.750%, 02/15/2031 (A) | 240 | 177 | ||||||
DaVita | ||||||||
4.625%, 06/01/2030 (A) | 520 | 444 | ||||||
3.750%, 02/15/2031 (A) | 583 | 460 | ||||||
Elanco Animal Health | ||||||||
6.650%, 08/28/2028 | 220 | 208 | ||||||
Embecta | ||||||||
6.750%, 02/15/2030 (A) | 335 | 305 | ||||||
5.000%, 02/15/2030 (A) | 940 | 808 | ||||||
Emergent BioSolutions | ||||||||
3.875%, 08/15/2028 (A) | 307 | 150 | ||||||
Encompass Health | ||||||||
4.750%, 02/01/2030 | 1,521 | 1,383 | ||||||
4.625%, 04/01/2031 | 250 | 218 | ||||||
4.500%, 02/01/2028 | 425 | 396 |
166
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Endo DAC | ||||||||
9.500%, 07/31/2027 (A)(D) | $ | 1,406 | $ | 107 | ||||
6.000%, 06/30/2028 (A)(D) | 1,302 | 98 | ||||||
Endo Luxembourg Finance I Sarl | ||||||||
6.125%, 04/01/2029 (A)(D) | 1,035 | 766 | ||||||
Envision Healthcare | ||||||||
8.750%, 10/15/2026 (A) | 1,825 | 344 | ||||||
Global Medical Response | ||||||||
6.500%, 10/01/2025 (A) | 3,320 | 2,424 | ||||||
Grifols Escrow Issuer | ||||||||
4.750%, 10/15/2028 (A) | 1,472 | 1,207 | ||||||
HCA | ||||||||
5.875%, 02/15/2026 | 1,049 | 1,065 | ||||||
3.500%, 09/01/2030 | 1,676 | 1,493 | ||||||
Hologic | ||||||||
3.250%, 02/15/2029 (A) | 258 | 230 | ||||||
IQVIA | ||||||||
5.000%, 10/15/2026 (A) | 605 | 591 | ||||||
Lannett | ||||||||
7.750%, 04/15/2026 (A) | 3,385 | 558 | ||||||
Legacy LifePoint Health | ||||||||
4.375%, 02/15/2027 (A) | 2,916 | 2,385 | ||||||
LifePoint Health | ||||||||
5.375%, 01/15/2029 (A) | 1,166 | 713 | ||||||
Mallinckrodt International Finance | ||||||||
11.500%, 12/15/2028 (A) | 575 | 470 | ||||||
10.000%, 06/15/2029 (A) | 236 | 129 | ||||||
Medline Borrower | ||||||||
5.250%, 10/01/2029 (A) | 352 | 305 | ||||||
3.875%, 04/01/2029 (A) | 4,306 | 3,735 | ||||||
Molina Healthcare | ||||||||
4.375%, 06/15/2028 (A) | 1,966 | 1,829 | ||||||
Organon | ||||||||
5.125%, 04/30/2031 (A) | 2,656 | 2,358 | ||||||
4.125%, 04/30/2028 (A) | 906 | 828 | ||||||
Owens & Minor | ||||||||
6.625%, 04/01/2030 (A) | 115 | 99 | ||||||
4.500%, 03/31/2029 (A) | 467 | 364 | ||||||
Par Pharmaceutical | ||||||||
7.500%, 04/01/2027 (A)(D) | 1,353 | 1,007 | ||||||
Pediatrix Medical Group | ||||||||
5.375%, 02/15/2030 (A) | 2,299 | 2,081 | ||||||
Radiology Partners | ||||||||
9.250%, 02/01/2028 (A) | 974 | 538 | ||||||
RP Escrow Issuer | ||||||||
5.250%, 12/15/2025 (A) | 3,336 | 2,527 | ||||||
Syneos Health | ||||||||
3.625%, 01/15/2029 (A) | 1,852 | 1,522 | ||||||
Tenet Healthcare | ||||||||
6.250%, 02/01/2027 | 563 | 554 | ||||||
6.125%, 06/15/2030 (A) | 1,191 | 1,175 | ||||||
5.125%, 11/01/2027 | 663 | 636 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.875%, 01/01/2026 | $ | 3,511 | $ | 3,442 | ||||
4.625%, 06/15/2028 | 2,434 | 2,245 | ||||||
4.375%, 01/15/2030 | 225 | 202 | ||||||
US Acute Care Solutions | ||||||||
6.375%, 03/01/2026 (A) | 762 | 678 | ||||||
US Renal Care | ||||||||
10.625%, 07/15/2027 (A) | 2,010 | 526 | ||||||
73,242 | ||||||||
Industrials — 8.1% | ||||||||
ACCO Brands | ||||||||
4.250%, 03/15/2029 (A) | 545 | 470 | ||||||
Air Canada | ||||||||
3.875%, 08/15/2026 (A) | 1,084 | 984 | ||||||
Allegiant Travel | ||||||||
7.250%, 08/15/2027 (A) | 858 | 854 | ||||||
Allied Universal Holdco | ||||||||
6.625%, 07/15/2026 (A) | 1,471 | 1,414 | ||||||
4.625%, 06/01/2028 (A) | 400 | 337 | ||||||
Allison Transmission | ||||||||
5.875%, 06/01/2029 (A) | 210 | 204 | ||||||
4.750%, 10/01/2027 (A) | 545 | 515 | ||||||
3.750%, 01/30/2031 (A) | 1,485 | 1,267 | ||||||
American Airlines | ||||||||
5.750%, 04/20/2029 (A) | 5,151 | 4,941 | ||||||
5.500%, 04/20/2026 (A) | 2,492 | 2,452 | ||||||
American Airlines Group | ||||||||
3.750%, 03/01/2025 (A) | 1,988 | 1,824 | ||||||
American Builders & Contractors Supply | ||||||||
4.000%, 01/15/2028 (A) | 1,046 | 952 | ||||||
APi Group DE | ||||||||
4.750%, 10/15/2029 (A) | 1,113 | 979 | ||||||
4.125%, 07/15/2029 (A) | 214 | 184 | ||||||
ATS Corp | ||||||||
4.125%, 12/15/2028 (A) | 270 | 239 | ||||||
Avianca Midco 2 | ||||||||
9.000%, 12/01/2028 (A) | 1,763 | 1,450 | ||||||
Avis Budget Car Rental | ||||||||
5.750%, 07/15/2027 (A) | 315 | 301 | ||||||
5.375%, 03/01/2029 (A) | 553 | 513 | ||||||
Bombardier | ||||||||
7.875%, 04/15/2027 (A) | 2,736 | 2,770 | ||||||
7.500%, 03/15/2025 (A) | 175 | 175 | ||||||
7.500%, 02/01/2029 (A) | 853 | 871 | ||||||
Builders FirstSource | ||||||||
6.375%, 06/15/2032 (A) | 236 | 237 | ||||||
4.250%, 02/01/2032 (A) | 1,473 | 1,284 | ||||||
BWX Technologies | ||||||||
4.125%, 06/30/2028 (A) | 762 | 686 | ||||||
4.125%, 04/15/2029 (A) | 969 | 859 | ||||||
Camelot Return Merger Sub | ||||||||
8.750%, 08/01/2028 (A) | 1,750 | 1,620 |
SEI Institutional Managed Trust
167
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
High Yield Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Chart Industries | ||||||||
9.500%, 01/01/2031 (A) | $ | 1,117 | $ | 1,178 | ||||
7.500%, 01/01/2030 (A) | 119 | 123 | ||||||
Clean Harbors | ||||||||
6.375%, 02/01/2031 (A) | 569 | 581 | ||||||
Conduent Business Services | ||||||||
6.000%, 11/01/2029 (A) | 310 | 244 | ||||||
CoreCivic | ||||||||
8.250%, 04/15/2026 | 267 | 269 | ||||||
CoreLogic | ||||||||
4.500%, 05/01/2028 (A) | 2,655 | 2,014 | ||||||
CP Atlas Buyer | ||||||||
7.000%, 12/01/2028 (A) | 2,400 | 1,782 | ||||||
Delta Air Lines | ||||||||
4.750%, 10/20/2028 (A) | 399 | 385 | ||||||
4.375%, 04/19/2028 | 406 | 377 | ||||||
Deluxe | ||||||||
8.000%, 06/01/2029 (A) | 2,480 | 1,813 | ||||||
Dycom Industries | ||||||||
4.500%, 04/15/2029 (A) | 333 | 301 | ||||||
EnerSys | ||||||||
4.375%, 12/15/2027 (A) | 559 | 518 | ||||||
EnPro Industries | ||||||||
5.750%, 10/15/2026 | 232 | 226 | ||||||
First Student Bidco | ||||||||
4.000%, 07/31/2029 (A) | 15 | 13 | ||||||
Garda World Security | ||||||||
9.500%, 11/01/2027 (A) | 310 | 294 | ||||||
6.000%, 06/01/2029 (A) | 242 | 192 | ||||||
GFL Environmental | ||||||||
5.125%, 12/15/2026 (A) | 335 | 328 | ||||||
4.375%, 08/15/2029 (A) | 1,264 | 1,132 | ||||||
4.000%, 08/01/2028 (A) | 669 | 608 | ||||||
3.500%, 09/01/2028 (A) | 3,013 | 2,727 | ||||||
Global Infrastructure Solutions | ||||||||
7.500%, 04/15/2032 (A) | 175 | 151 | ||||||
5.625%, 06/01/2029 (A) | 332 | 274 | ||||||
GrafTech Finance | ||||||||
4.625%, 12/15/2028 (A) | 2,410 | 2,010 | ||||||
Griffon | ||||||||
5.750%, 03/01/2028 | 500 | 464 | ||||||
H&E Equipment Services | ||||||||
3.875%, 12/15/2028 (A) | 1,960 | 1,718 | ||||||
Harsco | ||||||||
5.750%, 07/31/2027 (A) | 465 | 365 | ||||||
Hawaiian Brand Intellectual Property | ||||||||
5.750%, 01/20/2026 (A) | 1,846 | 1,753 | ||||||
Hertz | ||||||||
5.000%, 12/01/2029 (A) | 573 | 475 | ||||||
4.625%, 12/01/2026 (A) | 888 | 804 | ||||||
Icahn Enterprises | ||||||||
4.375%, 02/01/2029 | 523 | 450 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
IEA Energy Services | ||||||||
6.625%, 08/15/2029 (A) | $ | 1,225 | $ | 1,167 | ||||
JELD-WEN | ||||||||
6.250%, 05/15/2025 (A) | 235 | 234 | ||||||
4.875%, 12/15/2027 (A) | 225 | 191 | ||||||
4.625%, 12/15/2025 (A) | 470 | 436 | ||||||
Korn Ferry | ||||||||
4.625%, 12/15/2027 (A) | 2,022 | 1,911 | ||||||
Madison IAQ | ||||||||
5.875%, 06/30/2029 (A) | 493 | 381 | ||||||
4.125%, 06/30/2028 (A) | 170 | 147 | ||||||
Masonite International | ||||||||
5.375%, 02/01/2028 (A) | 298 | 285 | ||||||
MasTec | ||||||||
4.500%, 08/15/2028 (A) | 433 | 400 | ||||||
Mileage Plus Holdings | ||||||||
6.500%, 06/20/2027 (A) | 2,138 | 2,131 | ||||||
MIWD Holdco II | ||||||||
5.500%, 02/01/2030 (A) | 221 | 187 | ||||||
Monitronics International (Escrow Security) | ||||||||
9.125%, 04/01/2020 (B)(D) | 5,936 | – | ||||||
PGT Innovations | ||||||||
4.375%, 10/01/2029 (A) | 133 | 120 | ||||||
Pitney Bowes | ||||||||
7.250%, 03/15/2029 (A) | 1,315 | 981 | ||||||
6.875%, 03/15/2027 (A) | 200 | 158 | ||||||
Prime Security Services Borrower | ||||||||
5.750%, 04/15/2026 (A) | 1,189 | 1,180 | ||||||
3.375%, 08/31/2027 (A) | 679 | 609 | ||||||
Raytheon Technologies | ||||||||
3.030%, 03/15/2052 | 595 | 431 | ||||||
2.820%, 09/01/2051 | 970 | 673 | ||||||
Regal Rexnord | ||||||||
6.400%, 04/15/2033 (A) | 178 | 178 | ||||||
6.300%, 02/15/2030 (A) | 127 | 128 | ||||||
6.050%, 02/15/2026 (A) | 147 | 148 | ||||||
6.050%, 04/15/2028 (A) | 300 | 300 | ||||||
Ritchie Bros Holdings | ||||||||
7.750%, 03/15/2031 (A) | 859 | 900 | ||||||
6.750%, 03/15/2028 (A) | 2,730 | 2,811 | ||||||
Rolls-Royce | ||||||||
3.625%, 10/14/2025 (A) | 851 | 806 | ||||||
Sensata Technologies | ||||||||
4.000%, 04/15/2029 (A) | 816 | 737 | ||||||
3.750%, 02/15/2031 (A) | 109 | 95 | ||||||
Signature Aviation US Holdings | ||||||||
4.000%, 03/01/2028 (A) | 1,133 | 1,045 | ||||||
Spirit AeroSystems | ||||||||
9.375%, 11/30/2029 (A) | 170 | 186 | ||||||
7.500%, 04/15/2025 (A) | 1,114 | 1,114 | ||||||
4.600%, 06/15/2028 | 2,030 | 1,720 |
168
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
SS&C Technologies | ||||||||
5.500%, 09/30/2027 (A) | $ | 602 | $ | 584 | ||||
Standard Industries | ||||||||
5.000%, 02/15/2027 (A) | 870 | 826 | ||||||
4.750%, 01/15/2028 (A) | 768 | 717 | ||||||
4.375%, 07/15/2030 (A) | 1,558 | 1,355 | ||||||
3.375%, 01/15/2031 (A) | 88 | 71 | ||||||
Stericycle | ||||||||
3.875%, 01/15/2029 (A) | 284 | 248 | ||||||
Team Health Holdings | ||||||||
6.375%, 02/01/2025 (A) | 3,442 | 2,071 | ||||||
Terex | ||||||||
5.000%, 05/15/2029 (A) | 335 | 312 | ||||||
TK Elevator US Newco | ||||||||
5.250%, 07/15/2027 (A) | 1,548 | 1,461 | ||||||
TransDigm | ||||||||
6.750%, 08/15/2028 (A) | 668 | 675 | ||||||
6.250%, 03/15/2026 (A) | 3,100 | 3,103 | ||||||
5.500%, 11/15/2027 | 1,982 | 1,869 | ||||||
Triumph Group | ||||||||
9.000%, 03/15/2028 (A) | 108 | 108 | ||||||
7.750%, 08/15/2025 | 280 | 257 | ||||||
Tutor Perini | ||||||||
6.875%, 05/01/2025 (A) | 5,227 | 3,685 | ||||||
Uber Technologies | ||||||||
8.000%, 11/01/2026 (A) | 1,029 | 1,055 | ||||||
7.500%, 09/15/2027 (A) | 135 | 139 | ||||||
4.500%, 08/15/2029 (A) | 244 | 222 | ||||||
United Airlines | ||||||||
4.625%, 04/15/2029 (A) | 1,384 | 1,252 | ||||||
4.375%, 04/15/2026 (A) | 2,052 | 1,963 | ||||||
United Rentals North America | ||||||||
6.000%, 12/15/2029 (A) | 1,173 | 1,189 | ||||||
5.250%, 01/15/2030 | 1,650 | 1,588 | ||||||
4.875%, 01/15/2028 | 350 | 335 | ||||||
US Airways Pass Through Trust | ||||||||
3.950%, 11/15/2025 | 409 | 382 | ||||||
Vertiv Group | ||||||||
4.125%, 11/15/2028 (A) | 820 | 724 | ||||||
Wabash National | ||||||||
4.500%, 10/15/2028 (A) | 240 | 208 | ||||||
Wesco Aircraft Holdings | ||||||||
13.125%, 11/15/2027 (A) | 100 | 8 | ||||||
9.000%, 11/15/2026 (A) | 599 | 48 | ||||||
WESCO Distribution | ||||||||
7.250%, 06/15/2028 (A) | 468 | 481 | ||||||
7.125%, 06/15/2025 (A) | 356 | 362 | ||||||
Western Global Airlines | ||||||||
10.375%, 08/15/2025 (A) | 1,135 | 463 | ||||||
101,502 | ||||||||
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Information Technology — 4.4% | ||||||||
ACI Worldwide | ||||||||
5.750%, 08/15/2026 (A) | $ | 394 | $ | 390 | ||||
Ahead DB Holdings | ||||||||
6.625%, 05/01/2028 (A) | 2,415 | 2,000 | ||||||
ams-OSRAM | ||||||||
7.000%, 07/31/2025 (A) | 1,617 | 1,517 | ||||||
Apple | ||||||||
2.650%, 05/11/2050 | 2,300 | 1,621 | ||||||
2.375%, 02/08/2041 | 435 | 326 | ||||||
Arches Buyer | ||||||||
6.125%, 12/01/2028 (A) | 1,686 | 1,391 | ||||||
4.250%, 06/01/2028 (A) | 213 | 178 | ||||||
Avaya | ||||||||
6.125%, 09/15/2028 (A)(D) | 5,184 | 493 | ||||||
Black Knight InfoServ | ||||||||
3.625%, 09/01/2028 (A) | 196 | 178 | ||||||
Castle US Holding | ||||||||
9.500%, 02/15/2028 (A) | 1,205 | 490 | ||||||
CDW | ||||||||
4.250%, 04/01/2028 | 370 | 345 | ||||||
3.250%, 02/15/2029 | 171 | 150 | ||||||
Ciena | ||||||||
4.000%, 01/31/2030 (A) | 1,085 | 944 | ||||||
Clarivate Science Holdings | ||||||||
4.875%, 07/01/2029 (A) | 184 | 166 | ||||||
3.875%, 07/01/2028 (A) | 164 | 146 | ||||||
Coherent | ||||||||
5.000%, 12/15/2029 (A) | 3,873 | 3,516 | ||||||
CommScope | ||||||||
8.250%, 03/01/2027 (A) | 6,425 | 5,263 | ||||||
7.125%, 07/01/2028 (A) | 1,635 | 1,206 | ||||||
6.000%, 03/01/2026 (A) | 805 | 777 | ||||||
4.750%, 09/01/2029 (A) | 384 | 320 | ||||||
CommScope Technologies | ||||||||
6.000%, 06/15/2025 (A) | 3,262 | 3,072 | ||||||
5.000%, 03/15/2027 (A) | 200 | 146 | ||||||
Crowdstrike Holdings | ||||||||
3.000%, 02/15/2029 | 926 | 808 | ||||||
Elastic | ||||||||
4.125%, 07/15/2029 (A) | 1,054 | 900 | ||||||
Entegris | ||||||||
4.375%, 04/15/2028 (A) | 182 | 164 | ||||||
3.625%, 05/01/2029 (A) | 2,779 | 2,399 | ||||||
Entegris Escrow | ||||||||
5.950%, 06/15/2030 (A) | 50 | 49 | ||||||
4.750%, 04/15/2029 (A) | 2,837 | 2,682 | ||||||
Gartner | ||||||||
3.625%, 06/15/2029 (A) | 184 | 164 | ||||||
Go Daddy Operating | ||||||||
5.250%, 12/01/2027 (A) | 1,136 | 1,105 | ||||||
3.500%, 03/01/2029 (A) | 920 | 795 |
SEI Institutional Managed Trust
169
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
High Yield Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Imola Merger | ||||||||
4.750%, 05/15/2029 (A) | $ | 816 | $ | 730 | ||||
Intel | ||||||||
3.200%, 08/12/2061 | 490 | 324 | ||||||
ION Trading Technologies Sarl | ||||||||
5.750%, 05/15/2028 (A) | 2,145 | 1,713 | ||||||
McAfee | ||||||||
7.375%, 02/15/2030 (A) | 643 | 539 | ||||||
NCR | ||||||||
6.125%, 09/01/2029 (A) | 305 | 301 | ||||||
5.750%, 09/01/2027 (A) | 455 | 447 | ||||||
5.125%, 04/15/2029 (A) | 318 | 275 | ||||||
5.000%, 10/01/2028 (A) | 147 | 129 | ||||||
Northwest Fiber | ||||||||
4.750%, 04/30/2027 (A) | 530 | 453 | ||||||
ON Semiconductor | ||||||||
3.875%, 09/01/2028 (A) | 471 | 424 | ||||||
Open Text Holdings | ||||||||
4.125%, 02/15/2030 (A) | 1,792 | 1,537 | ||||||
Presidio Holdings | ||||||||
4.875%, 02/01/2027 (A) | 260 | 249 | ||||||
Seagate HDD Cayman | ||||||||
5.750%, 12/01/2034 | 1,099 | 1,003 | ||||||
3.375%, 07/15/2031 | 829 | 616 | ||||||
Sprint | ||||||||
7.625%, 02/15/2025 | 1,898 | 1,968 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/2032 | 2,378 | 2,895 | ||||||
Synaptics | ||||||||
4.000%, 06/15/2029 (A) | 1,610 | 1,386 | ||||||
Veritas US | ||||||||
7.500%, 09/01/2025 (A) | 2,235 | 1,682 | ||||||
ViaSat | ||||||||
6.500%, 07/15/2028 (A) | 2,175 | 1,607 | ||||||
5.625%, 09/15/2025 (A) | 1,413 | 1,340 | ||||||
Virtusa | ||||||||
7.125%, 12/15/2028 (A) | 1,327 | 1,043 | ||||||
Western Digital | ||||||||
4.750%, 02/15/2026 | 1,375 | 1,319 | ||||||
Xerox Holdings | ||||||||
5.500%, 08/15/2028 (A) | 278 | 241 | ||||||
5.000%, 08/15/2025 (A) | 278 | 262 | ||||||
56,184 | ||||||||
Materials — 7.4% | ||||||||
Alcoa Nederland Holding BV | ||||||||
5.500%, 12/15/2027 (A) | 600 | 593 | ||||||
Arconic | ||||||||
6.125%, 02/15/2028 (A) | 443 | 436 | ||||||
6.000%, 05/15/2025 (A) | 228 | 228 | ||||||
ARD Finance | ||||||||
6.500% PIK, 06/30/2027 (A) | 3,114 | 2,382 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Ardagh Metal Packaging Finance USA | ||||||||
3.250%, 09/01/2028 (A) | $ | 840 | $ | 723 | ||||
Ardagh Packaging Finance | ||||||||
5.250%, 04/30/2025 (A) | 1,258 | 1,239 | ||||||
5.250%, 08/15/2027 (A) | 2,548 | 2,009 | ||||||
4.125%, 08/15/2026 (A) | 845 | 788 | ||||||
Ashland | ||||||||
6.875%, 05/15/2043 | 851 | 853 | ||||||
ASP Unifrax Holdings | ||||||||
5.250%, 09/30/2028 (A) | 2,670 | 2,133 | ||||||
ATI | ||||||||
5.875%, 12/01/2027 | 174 | 170 | ||||||
5.125%, 10/01/2031 | 80 | 73 | ||||||
4.875%, 10/01/2029 | 160 | 146 | ||||||
Axalta Coating Systems | ||||||||
4.750%, 06/15/2027 (A) | 394 | 374 | ||||||
3.375%, 02/15/2029 (A) | 1,615 | 1,384 | ||||||
Baffinland Iron Mines | ||||||||
8.750%, 07/15/2026 (A) | 2,595 | 2,475 | ||||||
Ball | ||||||||
6.875%, 03/15/2028 | 2,113 | 2,187 | ||||||
2.875%, 08/15/2030 | 1,751 | 1,459 | ||||||
Big River Steel | ||||||||
6.625%, 01/31/2029 (A) | 298 | 296 | ||||||
Carpenter Technology | ||||||||
7.625%, 03/15/2030 | 60 | 62 | ||||||
6.375%, 07/15/2028 | 184 | 179 | ||||||
CF Industries | ||||||||
5.150%, 03/15/2034 | 2,249 | 2,156 | ||||||
Chemours | ||||||||
5.750%, 11/15/2028 (A) | 1,829 | 1,633 | ||||||
4.625%, 11/15/2029 (A) | 1,316 | 1,085 | ||||||
Cleveland-Cliffs Inc | ||||||||
4.625%, 03/01/2029 (A) | 213 | 195 | ||||||
Clydesdale Acquisition Holdings | ||||||||
8.750%, 04/15/2030 (A) | 772 | 702 | ||||||
Consolidated Energy Finance | ||||||||
5.625%, 10/15/2028 (A) | 553 | 476 | ||||||
Cornerstone Chemical | ||||||||
10.250% PIK, 09/01/2027 (A) | 7,095 | 6,386 | ||||||
CVR Partners | ||||||||
6.125%, 06/15/2028 (A) | 1,301 | 1,153 | ||||||
Domtar | ||||||||
6.750%, 10/01/2028 (A) | 2,940 | 2,617 | ||||||
Eldorado Gold | ||||||||
6.250%, 09/01/2029 (A) | 793 | 737 | ||||||
Element Solutions | ||||||||
3.875%, 09/01/2028 (A) | 2,462 | 2,161 | ||||||
ERO Copper | ||||||||
6.500%, 02/15/2030 (A) | 2,690 | 2,353 | ||||||
First Quantum Minerals | ||||||||
7.500%, 04/01/2025 (A) | 258 | 258 |
170
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
FMG Resources August 2006 PTY | ||||||||
4.500%, 09/15/2027 (A) | $ | 772 | $ | 741 | ||||
Freeport-McMoRan | ||||||||
5.450%, 03/15/2043 | 995 | 931 | ||||||
5.400%, 11/14/2034 | 1,040 | 1,019 | ||||||
Glatfelter | ||||||||
4.750%, 11/15/2029 (A) | 154 | 102 | ||||||
Graham Packaging | ||||||||
7.125%, 08/15/2028 (A) | 185 | 160 | ||||||
INEOS Finance | ||||||||
6.750%, 05/15/2028 (A) | 1,044 | 1,008 | ||||||
INEOS Quattro Finance II | ||||||||
3.375%, 01/15/2026 (A) | 390 | 353 | ||||||
Infrabuild Australia Pty | ||||||||
12.000%, 10/01/2024 (A) | 785 | 751 | ||||||
Innophos Holdings | ||||||||
9.375%, 02/15/2028 (A) | 2,550 | 2,607 | ||||||
LABL | ||||||||
10.500%, 07/15/2027 (A) | 290 | 268 | ||||||
6.750%, 07/15/2026 (A) | 1,162 | 1,120 | ||||||
LSB Industries | ||||||||
6.250%, 10/15/2028 (A) | 2,600 | 2,314 | ||||||
Martin Marietta Materials | ||||||||
2.400%, 07/15/2031 | 843 | 690 | ||||||
Mauser Packaging Solutions Holding | ||||||||
9.250%, 04/15/2027 (A) | 2,622 | 2,423 | ||||||
7.875%, 08/15/2026 (A) | 1,020 | 1,020 | ||||||
Methanex | ||||||||
5.125%, 10/15/2027 | 786 | 741 | ||||||
Mineral Resources | ||||||||
8.125%, 05/01/2027 (A) | 1,415 | 1,436 | ||||||
Mineral Resources MTN | ||||||||
8.500%, 05/01/2030 (A) | 135 | 139 | ||||||
8.000%, 11/01/2027 (A) | 105 | 108 | ||||||
Mountain Province Diamonds | ||||||||
9.000%, 12/15/2025 (A) | 2,191 | 2,125 | ||||||
NMG Holding | ||||||||
7.125%, 04/01/2026 (A) | 2,251 | 2,113 | ||||||
Northwest Acquisitions ULC | ||||||||
7.125%, 11/01/2022 (A)(B)(D)(E) | 2,115 | – | ||||||
NOVA Chemicals | ||||||||
5.250%, 06/01/2027 (A) | 545 | 497 | ||||||
5.000%, 05/01/2025 (A) | 889 | 848 | ||||||
4.875%, 06/01/2024 (A) | 300 | 296 | ||||||
4.250%, 05/15/2029 (A) | 213 | 174 | ||||||
Novelis | ||||||||
4.750%, 01/30/2030 (A) | 270 | 248 | ||||||
3.875%, 08/15/2031 (A) | 2,020 | 1,701 | ||||||
3.250%, 11/15/2026 (A) | 735 | 672 | ||||||
OI European Group BV | ||||||||
4.750%, 02/15/2030 (A) | 1,810 | 1,656 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Owens-Brockway Glass Container | ||||||||
6.625%, 05/13/2027 (A) | $ | 347 | $ | 347 | ||||
5.875%, 08/15/2023 (A) | 204 | 204 | ||||||
Pactiv Evergreen Group Issuer | ||||||||
4.000%, 10/15/2027 (A) | 1,093 | 982 | ||||||
Polar US Borrower | ||||||||
6.750%, 05/15/2026 (A) | 3,481 | 1,790 | ||||||
Rain CII Carbon | ||||||||
7.250%, 04/01/2025 (A) | 2,705 | 2,619 | ||||||
SCIH Salt Holdings | ||||||||
6.625%, 05/01/2029 (A) | 4,763 | 3,941 | ||||||
4.875%, 05/01/2028 (A) | 195 | 174 | ||||||
Scotts Miracle-Gro | ||||||||
4.500%, 10/15/2029 | 84 | 72 | ||||||
4.375%, 02/01/2032 | 212 | 170 | ||||||
4.000%, 04/01/2031 | 470 | 375 | ||||||
Smyrna Ready Mix Concrete | ||||||||
6.000%, 11/01/2028 (A) | 790 | 742 | ||||||
Summit Materials | ||||||||
5.250%, 01/15/2029 (A) | 1,704 | 1,610 | ||||||
Tacora Resources | ||||||||
8.250%, 05/15/2026 (A) | 1,685 | 1,266 | ||||||
Taseko Mines | ||||||||
7.000%, 02/15/2026 (A) | 1,297 | 1,177 | ||||||
Trident TPI Holdings | ||||||||
9.250%, 08/01/2024 (A) | 1,212 | 1,200 | ||||||
TriMas | ||||||||
4.125%, 04/15/2029 (A) | 294 | 259 | ||||||
Trinseo Materials Operating | ||||||||
5.375%, 09/01/2025 (A) | 460 | 374 | ||||||
5.125%, 04/01/2029 (A) | 266 | 163 | ||||||
Trivium Packaging Finance BV | ||||||||
8.500%, 08/15/2027 (A) | 200 | 182 | ||||||
5.500%, 08/15/2026 (A) | 1,299 | 1,244 | ||||||
Tronox | ||||||||
4.625%, 03/15/2029 (A) | 4,329 | 3,625 | ||||||
United States Steel | ||||||||
6.875%, 03/01/2029 | 31 | 31 | ||||||
Venator Finance Sarl | ||||||||
9.500%, 07/01/2025 (A) | 250 | 155 | ||||||
5.750%, 07/15/2025 (A) | 280 | 39 | ||||||
WR Grace Holdings | ||||||||
5.625%, 08/15/2029 (A) | 617 | 523 | ||||||
4.875%, 06/15/2027 (A) | 300 | 289 | ||||||
93,915 | ||||||||
Real Estate — 2.7% | ||||||||
American Tower | ||||||||
3.700%, 10/15/2049 | 150 | 110 | ||||||
3.100%, 06/15/2050 | 565 | 371 | ||||||
2.950%, 01/15/2051 | 645 | 413 | ||||||
2.100%, 06/15/2030 | 1,378 | 1,126 |
SEI Institutional Managed Trust
171
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
High Yield Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Brookfield Property REIT | ||||||||
5.750%, 05/15/2026 (A) | $ | 153 | $ | 137 | ||||
4.500%, 04/01/2027 (A) | 5,121 | 4,110 | ||||||
Crown Castle | ||||||||
2.900%, 04/01/2041 | 1,080 | 770 | ||||||
Cushman & Wakefield US Borrower | ||||||||
6.750%, 05/15/2028 (A) | 405 | 363 | ||||||
Diversified Healthcare Trust | ||||||||
9.750%, 06/15/2025 | 406 | 393 | ||||||
4.750%, 05/01/2024 | 1,415 | 1,274 | ||||||
4.750%, 02/15/2028 | 140 | 95 | ||||||
4.375%, 03/01/2031 | 2,490 | 1,783 | ||||||
Iron Mountain | ||||||||
5.250%, 03/15/2028 (A) | 756 | 720 | ||||||
5.250%, 07/15/2030 (A) | 865 | 780 | ||||||
5.000%, 07/15/2028 (A) | 255 | 237 | ||||||
4.875%, 09/15/2029 (A) | 2,554 | 2,295 | ||||||
4.500%, 02/15/2031 (A) | 268 | 230 | ||||||
Outfront Media Capital | ||||||||
4.250%, 01/15/2029 (A) | 2,085 | 1,731 | ||||||
Prologis | ||||||||
3.000%, 04/15/2050 | 475 | 329 | ||||||
2.125%, 10/15/2050 | 920 | 522 | ||||||
Realogy Group | ||||||||
5.250%, 04/15/2030 (A) | 367 | 268 | ||||||
RHP Hotel Properties | ||||||||
4.750%, 10/15/2027 | 798 | 748 | ||||||
4.500%, 02/15/2029 (A) | 269 | 243 | ||||||
SBA Communications | ||||||||
3.125%, 02/01/2029 | 1,320 | 1,148 | ||||||
Service Properties Trust | ||||||||
5.500%, 12/15/2027 | 460 | 412 | ||||||
4.950%, 02/15/2027 | 2,340 | 1,981 | ||||||
4.375%, 02/15/2030 | 3,820 | 2,850 | ||||||
4.350%, 10/01/2024 | 848 | 811 | ||||||
3.950%, 01/15/2028 | 215 | 168 | ||||||
Uniti Group | ||||||||
10.500%, 02/15/2028 (A) | 587 | 569 | ||||||
6.000%, 01/15/2030 (A) | 836 | 489 | ||||||
VICI Properties | ||||||||
5.750%, 02/01/2027 (A) | 204 | 200 | ||||||
5.625%, 05/01/2024 (A) | 185 | 183 | ||||||
4.625%, 06/15/2025 (A) | 261 | 252 | ||||||
4.625%, 12/01/2029 (A) | 153 | 139 | ||||||
4.500%, 09/01/2026 (A) | 125 | 118 | ||||||
4.500%, 01/15/2028 (A) | 95 | 88 | ||||||
4.250%, 12/01/2026 (A) | 429 | 400 | ||||||
4.125%, 08/15/2030 (A) | 2,736 | 2,417 | ||||||
3.875%, 02/15/2029 (A) | 227 | 202 | ||||||
3.750%, 02/15/2027 (A) | 1,840 | 1,699 | ||||||
33,174 | ||||||||
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Utilities — 1.5% | ||||||||
Calpine | ||||||||
5.000%, 02/01/2031 (A) | $ | 175 | $ | 148 | ||||
4.625%, 02/01/2029 (A) | 897 | 774 | ||||||
Clearway Energy Operating LLC | ||||||||
3.750%, 02/15/2031 (A) | 2,119 | 1,828 | ||||||
Duke Energy Carolinas | ||||||||
6.050%, 04/15/2038 | 418 | 456 | ||||||
NRG Energy | ||||||||
10.250%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.920%(A)(F)(G) | 1,468 | 1,403 | ||||||
7.000%, 03/15/2033 (A) | 264 | 273 | ||||||
6.625%, 01/15/2027 | 304 | 303 | ||||||
5.750%, 01/15/2028 | 155 | 152 | ||||||
5.250%, 06/15/2029 (A) | 335 | 311 | ||||||
3.875%, 02/15/2032 (A) | 1,011 | 809 | ||||||
3.625%, 02/15/2031 (A) | 3,164 | 2,537 | ||||||
3.375%, 02/15/2029 (A) | 145 | 120 | ||||||
PacifiCorp | ||||||||
5.750%, 04/01/2037 | 418 | 446 | ||||||
Pattern Energy Operations | ||||||||
4.500%, 08/15/2028 (A) | 1,659 | 1,518 | ||||||
PG&E | ||||||||
5.250%, 07/01/2030 | 63 | 58 | ||||||
5.000%, 07/01/2028 | 284 | 268 | ||||||
Pike | ||||||||
5.500%, 09/01/2028 (A) | 192 | 168 | ||||||
Solaris Midstream Holdings | ||||||||
7.625%, 04/01/2026 (A) | 980 | 943 | ||||||
Vistra | ||||||||
8.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 6.930%(A)(F)(G) | 945 | 883 | ||||||
7.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.740%(A)(F)(G) | 250 | 220 | ||||||
Vistra Operations | ||||||||
5.625%, 02/15/2027 (A) | 1,660 | 1,611 | ||||||
5.000%, 07/31/2027 (A) | 1,826 | 1,726 | ||||||
4.375%, 05/01/2029 (A) | 1,591 | 1,409 | ||||||
4.300%, 07/15/2029 (A) | 375 | 336 | ||||||
18,700 | ||||||||
Total Corporate Obligations | ||||||||
(Cost $1,113,692) ($ Thousands) | 956,943 | |||||||
172
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES — 8.7% | ||||||||
Other Asset-Backed Securities — 8.7% | ||||||||
Airplanes Pass-Through Trust, Ser 2001-1A, Cl A9 | ||||||||
5.234%, ICE LIBOR USD 1 Month + 0.550%, 03/15/2019 (A)(B)(D)(F)(H) | $ | 587 | $ | 18 | ||||
Ares XXXIV CLO, Ser 2020-2A, Cl FR | ||||||||
13.392%, ICE LIBOR USD 3 Month + 8.600%, 04/17/2033 (A)(B)(F) | 1,446 | 1,164 | ||||||
B&M CLO, Ser 2014-1A, Cl E | ||||||||
10.542%, ICE LIBOR USD 3 Month + 5.750%, 04/16/2026 (A)(B)(F) | 262 | 42 | ||||||
Battalion CLO VII, Ser 2014-7A, Cl SUB | ||||||||
0.000%, 07/17/2028 (A)(B)(C)(F) | 4,490 | 69 | ||||||
Battalion CLO VIII, Ser 2015-8A, Cl SUB | ||||||||
0.000%, 07/18/2030 (A)(B)(C)(F) | 3,390 | 1,281 | ||||||
Battalion CLO X, Ser 2016-10A, Cl SUB | ||||||||
0.000%, 01/25/2035 (A)(B)(C)(F) | 4,450 | 3,520 | ||||||
Battalion CLO XI, Ser 2017-11A, Cl SUB | ||||||||
0.000%, 04/24/2034 (A)(B)(C)(F) | 5,857 | 3,339 | ||||||
Battalion CLO XII, Ser 2018-12A, Cl SUB | ||||||||
0.000%, 05/17/2031 (A)(B)(C)(F) | 4,663 | 2,189 | ||||||
Battalion CLO XIV, Ser 2019-14A | ||||||||
0.000%, 04/20/2032 (B)(C) | 3,427 | 2,561 | ||||||
Battalion CLO XVI, Ser 2019-16A, Cl SUB | ||||||||
0.000%, 12/19/2032 (A)(B)(C)(F) | 2,128 | 1,166 | ||||||
Battalion CLO XX, Ser 2021-20A | ||||||||
0.000%, 07/15/2034 (B)(C) | 4,839 | 2,986 | ||||||
Benefit Street Partners CLO III, Ser 2013-IIIA, Cl SUB | ||||||||
0.000%, 07/20/2029 (A)(B)(C)(F) | 2,531 | 343 | ||||||
Benefit Street Partners CLO IV | ||||||||
0.000%, 07/20/2026 (A)(B)(I) | 7 | 2,563 | ||||||
Benefit Street Partners CLO IX | ||||||||
0.000%, 07/20/2025 (A)(B)(I) | 2,293 | 894 | ||||||
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 | 3,724 | ||||||
Benefit Street Partners CLO VI, Ser 2015-VIA, Cl SUB | ||||||||
0.000%, 10/18/2029 (A)(B)(C)(F) | 7,502 | 2,945 | ||||||
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 | 2,335 | ||||||
Benefit Street Partners CLO X, Ser 2016-10A, Cl SUB | ||||||||
0.000%, 04/20/2034 (A)(B)(C)(F) | 7,631 | 3,796 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Benefit Street Partners CLO XIV, Ser 2018-14A, Cl SUB | ||||||||
0.000%, 04/20/2031 (A)(B)(C)(F) | $ | 3,809 | $ | 1,769 | ||||
Benefit Street Partners CLO XVIII, Ser 2019-18A, Cl SUB | ||||||||
0.000%, 10/15/2034 (A)(B)(C)(F) | 3,486 | 2,343 | ||||||
Benefit Street Partners CLO XX, Ser 2020-20A, Cl SUB | ||||||||
0.000%, 07/15/2034 (A)(B)(C)(F) | 2,261 | 1,808 | ||||||
Benefit Street Partners CLO XXIII, Ser 2021-23A | ||||||||
0.000%, 04/25/2034 (B)(C) | 5,130 | 3,653 | ||||||
Blue Ridge CLO II, Ser 2014-2A, Cl E | ||||||||
6.041%, ICE LIBOR USD 3 Month + 5.800%, 07/18/2026 (A)(B)(D)(F) | 2,571 | – | ||||||
Cathedral Lake CLO III, Ser 2015-3A, Cl SUB | ||||||||
0.000%, 01/15/2026 (A)(B)(C)(F) | 2,725 | 790 | ||||||
Cathedral Lake V, Ser 2018-5A, Cl SUB | ||||||||
0.000%, 10/21/2030 (A)(B)(C)(F) | 3,139 | 848 | ||||||
Great Lakes CLO, Ser 2015-1A, Cl ER | ||||||||
12.152%, ICE LIBOR USD 3 Month + 7.360%, 01/16/2030 (A)(B)(F) | 3,253 | 2,903 | ||||||
Great Lakes CLO, Ser 2015-1A, Cl FR | ||||||||
14.792%, ICE LIBOR USD 3 Month + 10.000%, 01/16/2030 (A)(B)(D)(F) | 1,198 | 980 | ||||||
Great Lakes CLO, Ser 2015-1A, Cl SUB | ||||||||
0.000%, 01/16/2030 (A)(B)(C)(F) | 4,519 | 1,988 | ||||||
Great Lakes CLO, Ser 2017-1A, Cl ER | ||||||||
12.292%, ICE LIBOR USD 3 Month + 7.500%, 10/15/2029 (A)(B)(F) | 3,321 | 3,014 | ||||||
Ivy Hill Middle Market Credit Fund VII, Ser 2013-7A, Cl SUB | ||||||||
0.000%, 10/20/2033 (A)(B)(C)(F) | 2,484 | 1,552 | ||||||
Ivy Hill Middle Market Credit Fund XII, Ser 2017-12A, Cl SUB | ||||||||
0.000%, 07/20/2033 (A)(B)(C)(F) | 651 | 465 | ||||||
Ivy Hill Middle Market Credit Fund XIV, Ser 2018-14A, Cl D | ||||||||
11.865%, ICE LIBOR USD 3 Month + 7.070%, 04/18/2030 (A)(B)(F) | 1,559 | 1,342 | ||||||
Ivy Hill Middle Market Credit Fund XIV, Ser 2018-14A, Cl SUB | ||||||||
0.000%, 04/18/2030 (A)(B)(C)(F) | 1,169 | 724 | ||||||
LCM CLO, Ser 31A | ||||||||
0.000%, 01/20/2032 (B)(C) | 1,115 | 785 | ||||||
Lockwood Grove CLO, Ser 2014-1A, Cl SUB | ||||||||
0.000%, 01/25/2030 (A)(B)(C)(F) | 3,797 | 1,291 | ||||||
Lockwood Grove CLO, Ser 2018-1A, Cl ERR | ||||||||
10.668%, ICE LIBOR USD 3 Month + 5.850%, 01/25/2030 (A)(B)(F) | 2,499 | 2,050 | ||||||
Neuberger Berman CLO XXII, Ser 2016-22A, Cl SUB | ||||||||
0.000%, 10/17/2027 (A)(B)(C)(F) | 3,640 | 1,274 |
SEI Institutional Managed Trust
173
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
High Yield Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Neuberger Berman Loan Advisers CLO XLI, Ser 2021-41 | ||||||||
0.000%, 04/15/2034 (B)(C) | $ | 1,924 | $ | 1,330 | ||||
Neuberger Berman Loan Advisers CLO XXXIX, Ser 2020-39 | ||||||||
0.000%, 01/20/2032 (B)(C) | 3,294 | 2,003 | ||||||
Neuberger Berman Loan Advisers CLO XXXVIII | ||||||||
0.000%, 10/20/2032 (B)(C) | 3,438 | 2,364 | ||||||
Neuberger Berman Loan Advisers CLO, Ser 2020-36A, Cl INC | ||||||||
0.000%, 04/20/2033 (A)(B)(C)(F) | 1,095 | 734 | ||||||
Neuberger Berman Loan Advisers CLO, Ser 2020-36A, Cl SPIN | ||||||||
0.114%, 04/20/2033 (A)(B)(F) | 14 | 9 | ||||||
NewStar Fairfield Fund CLO, Ser 2015-2A, Cl SUB | ||||||||
0.000%, 04/20/2030 (A)(B)(C)(F) | 7,983 | 2,863 | ||||||
OCP CLO, Ser 2017-14A, Cl SUB | ||||||||
0.000%, 11/20/2030 (A)(B)(C)(F) | 1,655 | 679 | ||||||
OCP CLO, Ser 2020-19A, Cl SUB | ||||||||
0.000%, 10/20/2034 (A)(B)(C)(F) | 1,224 | 1,024 | ||||||
OCP CLO, Ser 2021-21A | ||||||||
0.000%, 07/20/2034 (B)(C) | 4,413 | 3,149 | ||||||
Shackleton CLO, Ser 2014-6RA | ||||||||
0.000%, 07/17/2028 (B)(C) | 6,388 | 64 | ||||||
Shackleton CLO, Ser 2019-14A, Cl SUB | ||||||||
0.000%, 07/20/2034 (A)(B)(C)(F) | 1,999 | 1,199 | ||||||
TCP Whitney CLO, Ser 2017-1I, Cl SUB | ||||||||
0.000%, 08/20/2029 (B)(C)(F) | 9,085 | 5,541 | ||||||
TCW CLO, Ser 2017-1A, Cl SUB | ||||||||
0.000%, 10/29/2034 (A)(B)(C)(F) | 4,194 | 2,265 | ||||||
TCW CLO, Ser 2018-1A, Cl SUB | ||||||||
0.000%, 04/25/2031 (A)(B)(C)(F) | 2,978 | 1,541 | ||||||
TCW CLO, Ser 2019-2A, Cl SUB | ||||||||
0.000%, 10/20/2032 (A)(B)(C)(F) | 3,528 | 2,205 | ||||||
TCW CLO, Ser 2020-1 | ||||||||
0.000%, 04/20/2028 (B)(C) | 5,352 | 2,783 | ||||||
Venture CLO, Ser 2018-35A, Cl SUB | ||||||||
0.000%, 10/22/2031 (A)(B)(C)(F) | 11,892 | 4,400 | ||||||
Venture XXV CLO, Ser 2016-25A, Cl SUB | ||||||||
0.000%, 04/20/2029 (A)(B)(C)(F) | 2,030 | 467 | ||||||
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 | 968 | ||||||
Voya CLO, Ser 2020-2 | ||||||||
0.000%, 07/19/2034 (B)(C) | 4,915 | 4,187 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Wind River CLO, Ser 2021-3 | ||||||||
0.000%, 07/20/2033 (B)(C) | $ | 6,577 | $ | 4,520 | ||||
Total Asset-Backed Securities | ||||||||
(Cost $61,164) ($ Thousands) | 109,187 | |||||||
LOAN PARTICIPATIONS — 8.7% | ||||||||
1236904 BC Ltd., Initial Term Loan, 1st Lien | ||||||||
10.135%, LIBOR + 5.500%, 03/04/2027 (F) | 174 | 165 | ||||||
AAdvantage Loyality IP Ltd. (American Airlines, Inc.), Initial Term Loan, 1st Lien | ||||||||
9.558%, LIBOR + 4.750%, 04/20/2028 (F) | 100 | 101 | ||||||
ACProducts Holdings, Inc., Initial Term Loan, 1st Lien | ||||||||
8.980%, LIBOR + 4.250%, 05/17/2028 (F) | 329 | 260 | ||||||
Adient U.S., LLC, Term B-1 Loan, 1st Lien | ||||||||
7.885%, LIBOR + 3.500%, 04/10/2028 (F) | 179 | 178 | ||||||
Alchemy US Holdco 1, LLC, Initial Term Loan, 1st Lien | ||||||||
10.135%, LIBOR + 5.500%, 10/10/2025 (F) | 984 | 924 | ||||||
Alvogen Pharma U.S., Inc., June 2002 Loan | ||||||||
12.230%, CME Term SOFR + 7.500%, 06/30/2025 (F) | 1,756 | 1,527 | ||||||
AP Core Holdings II, LLC, Term B-1 Loan, 1st Lien | ||||||||
10.135%, LIBOR + 5.500%, 09/01/2027 (F) | 299 | 290 | ||||||
AP Core Holdings II, LLC, Term B-2 Loan, 1st Lien | ||||||||
10.135%, LIBOR + 5.500%, 09/01/2027 (F) | 1,000 | 972 | ||||||
Arctic Canadian Diamond Company Ltd., Term Loan, 2nd Lien | ||||||||
17.500%, 12/31/2027 (B) | 1,276 | 1,261 | ||||||
AssuredPartners, Inc., 2020 February Refinancing Term Loan, 1st Lien | ||||||||
8.135%, LIBOR + 3.500%, 02/12/2027 (F)(J) | 269 | 267 | ||||||
Avantor Funding, Inc., 2021 Incremental B-5 Dollar Term Loan | ||||||||
7.090%, LIBOR + 2.250%, 11/08/2027 (F)(J) | 649 | 648 | ||||||
Avaya Inc., DIP Term Loan, 1st Lien | ||||||||
12.563%, CME Term SOFR + 8.000%, 08/15/2023 (F) | 1,580 | 1,620 |
174
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Avaya Inc., Tranche B-1 Term Loan, 1st Lien | ||||||||
8.709%, LIBOR + 4.250%, 12/15/2027 (D)(F)(J) | $ | 1,233 | $ | 293 | ||||
Avaya Inc., Tranche B-2 Term Loan, 1st Lien | ||||||||
8.459%, LIBOR + 4.000%, 12/15/2027 (D)(F)(J) | 1,081 | 250 | ||||||
Bausch Health Companies, Inc., Second Amendment Term Loan, 1st Lien | ||||||||
9.914%, CME Term SOFR + 5.250%, 02/01/2027 (F)(J) | 2,207 | 1,634 | ||||||
Blackhawk Network Cov-Lite, Term Loan, 2nd Lien | ||||||||
11.813%, 06/15/2026 | 1,412 | 1,205 | ||||||
Boardriders Inc., Closing Date Tranche A Loan, 1st Lien | ||||||||
12.845%, LIBOR + 6.500%, 10/23/2023 (B)(E)(F) | 382 | 375 | ||||||
Boardriders Inc., Closing Date Tranche B-2 Loan, 1st Lien | ||||||||
12.845%, LIBOR + 6.500%, 04/23/2024 (E)(F) | 1,637 | 1,518 | ||||||
BYJU's Alpha, Inc., Initial Term Loan | ||||||||
12.928%, LIBOR + 6.000%, 11/24/2026 (F)(J) | 2,774 | 2,248 | ||||||
Carestream Health, Inc., Term Loan, 1st Lien | ||||||||
12.180%, CME Term SOFR + 7.500%, 09/30/2027 (B)(F) | 1,312 | 755 | ||||||
Castle US Holding Corp., Dollar Term B-2 Loan, 1st Lien | ||||||||
8.635%, LIBOR + 4.000%, 01/29/2027 (F)(J) | 640 | 414 | ||||||
Castle US Holding Corp., Initial Dollar Term Loan, 1st Lien | ||||||||
8.385%, LIBOR + 3.750%, 01/29/2027 (F)(J) | 656 | 428 | ||||||
Cenveo, 1st Lien | ||||||||
12.298%, 12/31/2024 (B) | 372 | 372 | ||||||
Claire's Stores, Inc., Initial Term Loan, 1st Lien | ||||||||
11.135%, LIBOR + 6.500%, 12/18/2026 (F) | 1,105 | 987 | ||||||
Clear Channel Outdoor Holdings, Inc., Term B Loan | ||||||||
8.325%, LIBOR + 3.500%, 08/21/2026 (F)(J) | 100 | 93 | ||||||
Cloud Software Group, Inc., Term Loan, 2nd Lien | ||||||||
9.500%, CME Term SOFR + 7.500%, 09/28/2029 (B)(F) | 422 | 337 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
ClubCorp Holdings, Inc., Term B Loan, 1st Lien | ||||||||
7.480%, LIBOR + 2.750%, 09/18/2024 (F) | $ | 2,476 | $ | 2,358 | ||||
ConvergeOne Holdings, Corp., Initial Term Loan, 1st Lien | ||||||||
9.635%, LIBOR + 5.000%, 01/04/2026 (F)(J) | 2,365 | 1,414 | ||||||
Delta Topco, Inc., Initial Term Loan, 2nd Lien | ||||||||
11.654%, CME Term SOFR + 7.250%, 12/01/2028 (F)(J) | 1,314 | 1,114 | ||||||
DexKo Global, Inc., Closing Date Dollar Term Loan, 1st Lien | ||||||||
8.480%, LIBOR + 3.750%, 10/04/2028 (F) | 342 | 319 | ||||||
DirecTV Financing, LLC, Closing Date Term Loan, 1st Lien | ||||||||
9.635%, LIBOR + 5.000%, 08/02/2027 (F) | 1,145 | 1,100 | ||||||
East Valley Tourist Development Authority , Term Loan, 1st Lien | ||||||||
11.481%, CME Term SOFR + 7.500%, 11/23/2026 (B)(F) | 2,527 | 2,451 | ||||||
Envision Healthcare Corp., First Out Term Loan, 1st Lien | ||||||||
12.605%, CME Term SOFR + 7.875%, 03/31/2027 (F) | 581 | 482 | ||||||
Envision Healthcare Corp., Second Out Term Loan, 1st Lien | ||||||||
8.830%, CME Term SOFR + 4.250%, 03/31/2027 (F)(J) | 5,523 | 1,312 | ||||||
Envision Healthcare Corp., Third Out Term Loan, 1st Lien | ||||||||
8.330%, CME Term SOFR + 3.750%, 03/31/2027 (F) | 805 | 121 | ||||||
Epic Crude Services, LP, Term Loan, 1st Lien | ||||||||
9.740%, LIBOR + 5.000%, 03/02/2026 (F) | 911 | 839 | ||||||
Epic Y-Grade Services, LP, Term Loan, 1st Lien | ||||||||
10.960%, LIBOR + 6.000%, 06/30/2027 (F)(J) | 6,680 | 5,829 | ||||||
First Student Bidco, Inc., 2022 Incremental Term B Loan, 1st Lien | ||||||||
8.680%, CME Term SOFR + 4.000%, 07/21/2028 (F) | 253 | 247 | ||||||
First Student Bidco, Inc., 2022 Incremental Term C Loan, 1st Lien | ||||||||
8.680%, CME Term SOFR + 4.000%, 07/21/2028 (F) | 18 | 17 |
SEI Institutional Managed Trust
175
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
High Yield Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
First Student Bidco, Inc., Initial Term B Loan, 1st Lien | ||||||||
7.726%, LIBOR + 3.000%, 07/21/2028 (F) | $ | 242 | $ | 231 | ||||
First Student Bidco, Inc., Initial Term C Loan, 1st Lien | ||||||||
7.726%, LIBOR + 3.000%, 07/21/2028 (F) | 90 | 86 | ||||||
Foresight Energy Operating, LLC, Tranche A Term Loan, 1st Lien | ||||||||
12.730%, LIBOR + 8.000%, 06/30/2027 (F) | 221 | 210 | ||||||
Freeport LNG Investments, LLLP, 1st Lien | ||||||||
7.808%, 11/16/2026 | 672 | 647 | ||||||
Freeport LNG Investments, LLLP, Initial Term B Loan, 1st Lien | ||||||||
8.308%, LIBOR + 3.500%, 12/21/2028 (F) | 1,225 | 1,183 | ||||||
GatesAir, Term Loan | ||||||||
14.296%, 08/01/2027 (B)(E) | 1,137 | 1,137 | ||||||
Genesys Cloud Services Holdings I, LLC, Initial Dollar Term Loan (2020), 1st Lien | ||||||||
8.635%, LIBOR + 4.000%, 12/01/2027 (F) | 280 | 275 | ||||||
Geon Performance Solutions, LLC, Initial Term Loan, 1st Lien | ||||||||
9.230%, LIBOR + 4.500%, 08/18/2028 (F)(J) | 1,277 | 1,256 | ||||||
Global Medical Response, Inc., 2018 New Term Loan, 1st Lien | ||||||||
9.203%, LIBOR + 4.250%, 03/14/2025 (F)(J) | 664 | 463 | ||||||
Global Medical Response, Inc., 2021 Refinancing Term Loan, 1st Lien | ||||||||
8.830%, LIBOR + 4.250%, 10/02/2025 (F)(J) | 971 | 677 | ||||||
Graham Packaging Co. Inc., Initial Term Loan (2021), 1st Lien | ||||||||
7.635%, LIBOR + 3.000%, 08/04/2027 (F) | 342 | 338 | ||||||
Gulf Finance, LLC, Term Loan, 1st Lien | ||||||||
11.430%, CME Term SOFR + 6.750%, 08/25/2026 (F) | 2,716 | 2,630 | ||||||
Hercules Achievement, Inc. (Varsity Brands Holding Co., Inc.), Third Amendment Extended Term Loan, 1st Lien | ||||||||
9.874%, CME Term SOFR + 5.000%, 12/15/2026 (F)(J) | 500 | 465 | ||||||
Hub International Ltd., B-3 Incremental Term Loan, 1st Lien | ||||||||
8.058%, LIBOR + 3.250%, 04/25/2025 (F)(J) | 647 | 644 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Hudson River Trading, LLC, Term Loan, 1st Lien | ||||||||
7.732%, CME Term SOFR + 3.000%, 03/20/2028 (F) | $ | 1,898 | $ | 1,770 | ||||
Hyland Software, Inc., Term Loan 3, 1st Lien | ||||||||
8.135%, LIBOR + 3.500%, 07/01/2024 (F) | 1,544 | 1,524 | ||||||
iHeartCommunications, Inc. (fka Clear Channel Communications, Inc.), New Term Loan, 1st Lien | ||||||||
7.635%, LIBOR + 3.000%, 05/01/2026 (F) | 426 | 376 | ||||||
Intelsat Jackson Holdings S.A., Term B Loan, 1st Lien | ||||||||
9.082%, CME Term SOFR + 4.250%, 02/01/2029 (F) | 820 | 810 | ||||||
IRB Holding Corp., 2022 Replacement Term B Loan, 1st Lien | ||||||||
7.687%, CME Term SOFR + 3.000%, 12/15/2027 (F)(J) | 1,550 | 1,522 | ||||||
J.C. Penney Corporation Inc., Term Loan, 1st Lien | ||||||||
5.250%, LIBOR + 4.250%, 06/23/2023 (B)(D)(F) | 2,253 | — | ||||||
Journey Personal Care Corp., Initial Term Loan, 1st Lien | ||||||||
8.980%, LIBOR + 4.250%, 03/01/2028 (F) | 1,994 | 1,524 | ||||||
Jump Financial, LLC, Term Loan, 1st Lien | ||||||||
9.342%, CME Term SOFR + 4.500%, 08/07/2028 (F) | 2,212 | 2,030 | ||||||
LABL, Inc., Initial Dollar Term Loan, 1st Lien | ||||||||
9.635%, LIBOR + 5.000%, 10/29/2028 (F) | 284 | 275 | ||||||
LifeScan Global Corp., Initial Term Loan, 1st Lien | ||||||||
10.754%, LIBOR + 6.000%, 10/01/2024 (F)(J) | 5,491 | 4,100 | ||||||
Lightstone Holdco, LLC, Extended Term B Loan, 1st Lien | ||||||||
10.368%, CME Term SOFR + 5.750%, 01/29/2027 (F) | 1,142 | 976 | ||||||
Lightstone Holdco, LLC, Extended Term C Loan, 1st Lien | ||||||||
10.368%, CME Term SOFR + 5.750%, 01/29/2027 (F) | 65 | 55 | ||||||
Lumen Technologies, Inc., Term A Loan | ||||||||
6.922%, CME Term SOFR + 2.000%, 01/31/2025 (F)(J) | 841 | 771 | ||||||
Madison IAQ, LLC, Initial Term Loan, 1st Lien | ||||||||
7.988%, LIBOR + 3.250%, 06/21/2028 (F) | 247 | 234 |
176
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Magnite, Inc., Initial Term Loan, 1st Lien | ||||||||
9.635%, LIBOR + 5.000%, 04/28/2028 (F) | $ | 627 | $ | 598 | ||||
Mashantucket (Western) Pequot Tribe, Term Loan B, 1st Lien | ||||||||
11.965%, LIBOR + 8.125%, 02/16/2025 (F) | 2,886 | 2,850 | ||||||
Mavenir Systems, Inc., Initial Term Loan, 1st Lien | ||||||||
10.554%, CME Term SOFR + 5.750%, 08/18/2028 (B)(F) | 530 | 367 | ||||||
9.651%, LIBOR + 4.750%, 08/18/2028 (B)(F)(J) | 1,817 | 1,259 | ||||||
Medline Borrower, LP, Initial Dollar Term Loan, 1st Lien | ||||||||
7.885%, LIBOR + 3.250%, 10/23/2028 (F)(J) | 166 | 161 | ||||||
Misys Limited, Dollar Term Loan, 1st Lien | ||||||||
8.325%, LIBOR + 3.500%, 06/13/2024 (F)(J) | 1,749 | 1,630 | ||||||
Mitnick Corporate Purchaser, Inc., Initial Term Loan, 1st Lien | ||||||||
9.526%, CME Term SOFR + 4.750%, 05/02/2029 (F)(J) | 816 | 767 | ||||||
MLN US HoldCo, LLC, Term B Loan, 1st Lien | ||||||||
9.557%, LIBOR + 4.500%, 11/30/2025 (F) | 647 | 158 | ||||||
Mountaineer Merger Corp., Initial Term Loan, 1st Lien | ||||||||
11.814%, LIBOR + 7.000%, 10/26/2028 (F)(J) | 1,543 | 1,157 | ||||||
Naked Juice, LLC, Initial Loan, 2nd Lien | ||||||||
10.680%, CME Term SOFR + 6.000%, 01/24/2030 (F)(J) | 1,247 | 930 | ||||||
Nexus Buyer, LLC, Initial Term Loan, 2nd Lien | ||||||||
10.885%, LIBOR + 6.250%, 11/05/2029 (F) | 667 | 584 | ||||||
Nouryon Finance B.V., Initial Dollar Term Loan, 1st Lien | ||||||||
7.526%, CME Term SOFR + 2.750%, 10/01/2025 (F) | 417 | 413 | ||||||
OLA Netherlands B.V., Initial Term Loan | ||||||||
11.106%, LIBOR + 6.250%, 12/15/2026 (F) | 2,224 | 2,102 | ||||||
Open Text Corp., Term B Loan, 1st Lien | ||||||||
8.218%, CME Term SOFR + 3.500%, 08/27/2029 (F)(J) | 1,095 | 1,091 | ||||||
Park River Holdings Inc., Initial Term Loan, 1st Lien | ||||||||
8.004%, LIBOR + 3.250%, 12/28/2027 (F) | 126 | 115 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Petco Health and Wellness Co., Inc., Initial Term Loan, 1st Lien | ||||||||
8.092%, CME Term SOFR + 3.250%, 03/03/2028 (F) | $ | 337 | $ | 330 | ||||
Polaris Newco, LLC, Dollar Term Loan, 1st Lien | ||||||||
8.730%, LIBOR + 4.000%, 06/02/2028 (F)(J) | 1,054 | 959 | ||||||
Prairie ECI Acquiror LP, Initial Term Loan | ||||||||
9.385%, 03/11/2026 (J) | 588 | 574 | ||||||
Premier Brands Group Holdings, LLC, Term Loan, 1st Lien | ||||||||
12.825%, LIBOR + 8.000%, 03/20/2024 (E)(F) | 535 | 414 | ||||||
12.802%, LIBOR + 8.000%, 03/20/2024 (E)(F) | 574 | 444 | ||||||
Pug LLC, Term B-2 Loan, 1st Lien | ||||||||
8.885%, LIBOR + 4.250%, 02/12/2027 (B)(F)(J) | 1,038 | 743 | ||||||
Pug LLC, USD Term B Loan, 1st Lien | ||||||||
8.135%, LIBOR + 3.500%, 02/12/2027 (F)(J) | 2,473 | 1,782 | ||||||
Quest Software U.S. Holdings, Inc., Initial Loan, 2nd Lien | ||||||||
12.326%, CME Term SOFR + 7.500%, 02/01/2030 (F)(J) | 1,200 | 720 | ||||||
Red Planet Borrower, LLC, Initial Term Loan, 1st Lien | ||||||||
8.385%, LIBOR + 3.750%, 10/02/2028 (F)(J) | 1,431 | 1,000 | ||||||
Serta Simmons Bedding, LLC, Initial Exchange Term Loan, 1st Lien | ||||||||
14.184%, LIBOR + 7.500%, 08/10/2023 (D)(F) | 377 | 214 | ||||||
Shutterfly, LLC, 2021 Refinancing Term B Loan, 1st Lien | ||||||||
9.635%, LIBOR + 5.000%, 09/25/2026 (F)(J) | 186 | 90 | ||||||
SP PF Buyer, LLC, Closing Date Term Loan, 1st Lien | ||||||||
9.135%, LIBOR + 4.500%, 12/22/2025 (F) | 1,478 | 899 | ||||||
SPX Flow, Inc., Term Loan, 1st Lien | ||||||||
9.218%, CME Term SOFR + 4.500%, 04/05/2029 (F) | 176 | 168 | ||||||
Staples, Inc., 2019 Refinancing New Term B-1 Loan, 1st Lien | ||||||||
9.814%, LIBOR + 5.000%, 04/16/2026 (F) | 3,002 | 2,758 | ||||||
Sunshine Luxembourg VII S.a r.l., Facility B3, 1st Lien | ||||||||
8.480%, LIBOR + 3.750%, 10/01/2026 (F) | 772 | 764 |
SEI Institutional Managed Trust
177
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
High Yield Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Syniverse Holdings, LLC, Initial Term Loan, 1st Lien | ||||||||
11.580%, CME Term SOFR + 7.000%, 05/13/2027 (F)(J) | $ | 1,310 | $ | 1,155 | ||||
Team Health Holdings, Inc., Extended Term Loan, 1st Lien | ||||||||
9.868%, CME Term SOFR + 5.250%, 03/02/2027 (F)(J) | 3,349 | 2,286 | ||||||
Team Health Holdings, Inc., Non-Extended Term Loan, 1st Lien | ||||||||
7.385%, LIBOR + 2.750%, 02/06/2024 (F) | 253 | 215 | ||||||
Titan Acquisition Ltd., Initial Term Loan, 1st Lien | ||||||||
8.151%, LIBOR + 3.000%, 03/28/2025 (F)(J) | 627 | 593 | ||||||
TK Elevator Midco GmbH, Facility B1 (USD), 1st Lien | ||||||||
8.602%, LIBOR + 3.500%, 07/30/2027 (F)(J) | 271 | 264 | ||||||
Tortoise Borrower, LLC, Initial Term Loan, 1st Lien | ||||||||
8.325%, 01/31/2025 | 1,005 | 588 | ||||||
TransDigm, Inc., Tranche F Term Loan, 1st Lien | ||||||||
6.980%, LIBOR + 2.250%, 12/09/2025 (F)(J) | 808 | 806 | ||||||
Travelport Finance (Luxembourg) S.a r.l., 2021 Consented Term Loan, 1st Lien | ||||||||
9.730%, LIBOR + 5.000%, 05/29/2026 (F)(J) | 952 | 538 | ||||||
Traverse Midstream Partners LLC, Advance, 1st Lien | ||||||||
8.726%, CME Term SOFR + 4.250%, 02/16/2028 (F)(J) | 1,493 | 1,466 | ||||||
Triton Water Holdings, Inc., Initial Term Loan, 1st Lien | ||||||||
8.230%, LIBOR + 3.500%, 03/31/2028 (F) | 203 | 181 | ||||||
Tutor Perini Corp., Term Loan, 1st Lien | ||||||||
9.385%, LIBOR + 4.750%, 08/18/2027 (B)(F) | 2,021 | 1,875 | ||||||
U.S. Renal Care, Inc., Initial Term Loan, 1st Lien | ||||||||
9.688%, LIBOR + 5.000%, 06/26/2026 (F) | 473 | 318 | ||||||
Univision Communications, Inc., 2021 Replacement Converted First-Lien Term Loan, 1st Lien | ||||||||
7.885%, LIBOR + 3.250%, 03/15/2026 (F)(J) | 970 | 963 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
VeriFone Systems, Inc., Initial Term Loan, 1st Lien | ||||||||
8.958%, LIBOR + 4.000%, 08/20/2025 (F) | $ | 1,500 | $ | 1,280 | ||||
Vida Capital, Inc., Initial Term Loan, 1st Lien | ||||||||
10.840%, 10/01/2026 | 1,832 | 1,331 | ||||||
WaterBridge Midstream Operating, LLC, Initial Term Loan, 1st Lien | ||||||||
10.568%, LIBOR + 5.750%, 06/22/2026 (F)(J) | 513 | 503 | ||||||
Wellful Inc., Initial Term Loan, 1st Lien | ||||||||
10.420%, LIBOR + 6.250%, 04/21/2027 (F) | 1,860 | 1,625 | ||||||
White Cap Supply Holdings, LLC, Initial Closing Date Term Loan, 1st Lien | ||||||||
8.368%, CME Term SOFR + 3.750%, 10/19/2027 (F) | 434 | 429 | ||||||
Wilsonart, LLC, Tranche E Term Loan, 1st Lien | ||||||||
7.980%, LIBOR + 3.250%, 12/31/2026 (F)(J) | 800 | 768 | ||||||
Xplornet Communications, Inc., Refinancing Term Loan, 1st Lien | ||||||||
8.635%, 10/02/2028 (J) | 1,327 | 1,067 | ||||||
Zayo Group Holdings, Inc., Initial Dollar Term Loan, 1st Lien | ||||||||
7.635%, LIBOR + 3.000%, 03/09/2027 (F)(J) | 1,442 | 1,167 | ||||||
Total Loan Participations | ||||||||
(Cost $122,152) ($ Thousands) | 108,393 | |||||||
| ||||||||
COMMON STOCK — 1.1% | ||||||||
21st Century Oncology Private Company *(B) | 15,311 | 229 | ||||||
Aquity Holdings Inc *(B) | 85,745 | 933 | ||||||
Arctic Canadian Diamond Company Ltd *(B) | 1,054 | 391 | ||||||
Carestream Health Holdings Inc *(B) | 69,956 | 1,355 | ||||||
CHC Group LLC * | 399 | — | ||||||
Chesapeake Energy Corp | 3,418 | 260 | ||||||
Chord Energy Corp | 2,778 | 374 | ||||||
Clear Channel Outdoor Holdings Inc, Cl A * | 202,317 | 243 | ||||||
Copper Property Pass-Through Certificates *(B) | 118,100 | 1,255 | ||||||
EP Energy Corp * | 15,235 | 99 | ||||||
Frontier Communications Parent Inc * | 9,642 | 220 | ||||||
Guitar Center *(B)(E) | 13,905 | 2,561 | ||||||
Gulfport Energy Corp * | 7,057 | 565 | ||||||
Gymboree Holding Corp *(B)(E) | 40,312 | — | ||||||
iHeartMedia Inc * | 8,286 | 32 | ||||||
Intelsat Jackson Holdings *(B) | 39,805 | 1,055 |
178
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Lumileds Common Bright Bidco * | 5,198 | $ | 62 | |||||
Mallinckrodt PLC * | 8,281 | 60 | ||||||
Medical Card Systems *(B) | 284,758 | 126 | ||||||
Monitronics International Inc *(B) | 211,006 | 644 | ||||||
MYT Holding LLC, Ser B *(B) | 274,755 | 246 | ||||||
Neiman Marcus Group *(B) | 6,554 | 1,146 | ||||||
Nine West FKA Premier Brands *(B)(E) | 92,548 | 62 | ||||||
Parker Drilling Co *(B)(E) | 79,089 | 870 | ||||||
Penney Borrower LLC *(B) | 19,723 | 103 | ||||||
Quad/Graphics Inc * | 54 | — | ||||||
Rue 21 * | 1 | — | ||||||
SandRidge Energy Inc * | 20 | — | ||||||
VICI Properties Inc, Cl A ‡ | 34,318 | 1,119 | ||||||
Windstream Services *(B) | 10,897 | 94 | ||||||
Total Common Stock | ||||||||
(Cost $16,638) ($ Thousands) | 14,104 | |||||||
PREFERRED STOCK — 0.7% | ||||||||
Boardriders Inc., Ser A, 0.000% *(B)(C)(E)(G) | 215,931 | 255 | ||||||
Bowlero, 0.000% *(B)(C)(G) | 1,110 | 1,254 | ||||||
Claire's Stores, 0.000% *(B)(C)(E)(G) | 823 | 934 | ||||||
Crestwood Equity Partners, 9.250% (G) | 113,214 | 1,053 | ||||||
FHLMC, 0.000% *(C)(F)(G) | 16,903 | 41 | ||||||
FNMA, 0.000% *(C)(F)(G) | 24,650 | 62 | ||||||
Foresight, 0.000% *(B)(C)(G) | 32,601 | 359 | ||||||
Guitar Center, 0.000% *(B)(C)(E)(G) | 365 | 34 | ||||||
Gulfport Energy Corp., 10.000% PIK (B)(C)(G) | 28 | 160 | ||||||
Ladenburg Thalmann Financial Services, 6.500% * | 65,290 | 1,045 | ||||||
MPLX, 8.462% *(B)(G) | 23,039 | 818 | ||||||
MYT Holding LLC, 10.000% | 325,766 | 306 | ||||||
Qurate Retail, 8.000% | 6,857 | 201 | ||||||
Syniverse, 0.000% *(B)(C)(G) | 2,866,325 | 2,755 | ||||||
Total Preferred Stock | ||||||||
(Cost $9,268) ($ Thousands) | 9,277 | |||||||
Face Amount | ||||||||
CONVERTIBLE BONDS — 0.6% | ||||||||
Avaya | ||||||||
8.000% , 12/15/2027(D) | $ | 2,700 | 662 | |||||
Chesapeake Energy Corp (Escrow Security) | ||||||||
5.500% , 12/31/2049 | 100 | 2 | ||||||
DISH Network | ||||||||
2.375% , 03/15/2024 | 885 | 783 | ||||||
3.375% , 08/15/2026 | 465 | 240 |
Description | Face Amount | Market Value | ||||||
CONVERTIBLE BONDS (continued) | ||||||||
DraftKings Holdings | ||||||||
0.000%, 03/15/2028(I) | $ | 851 | $ | 589 | ||||
Liberty Interactive | ||||||||
4.000% , 11/15/2029 | 123 | 18 | ||||||
3.750% , 02/15/2030 | 2,634 | 342 | ||||||
Liberty Latin America | ||||||||
2.000% , 07/15/2024 | 1,330 | 1,224 | ||||||
MicroStrategy | ||||||||
0.750% , 12/15/2025 | 257 | 235 | ||||||
North Sea Natural Resources | ||||||||
0.000%, (B)(C)(G) | 570 | 570 | ||||||
Silver Airways LLC | ||||||||
15.000% , 12/31/2027(B) | 2,320 | 2,320 | ||||||
Spotify USA | ||||||||
0.000%, 03/15/2026(I) | 851 | 712 | ||||||
Total Convertible Bonds | ||||||||
(Cost $10,899) ($ Thousands) | 7,697 | |||||||
Number of Warrants | ||||||||
WARRANTS — 0.1% | ||||||||
Guitar Center, Expires 12/22/2070 | ||||||||
Strike Price $100.00 *(B)(E) | 3,680 | 318 | ||||||
Guitar Center, Expires 12/22/2070 | ||||||||
Strike Price $160.00 *(B)(E) | 3,681 | 184 | ||||||
Intelsat Jackson Holdings | ||||||||
Strike Price *‡‡(B) | 4 | – | ||||||
Neiman Marcus Group | ||||||||
Strike Price *‡‡(B) | 3,938 | 118 | ||||||
Silver Airways LLC | ||||||||
Strike Price $– *‡‡ | 1 | – | ||||||
Windstream | ||||||||
Strike Price $– *‡‡(B) | 104 | 1 | ||||||
Windstream Services | ||||||||
Strike Price $– *‡‡(B) | 12,184 | 106 | ||||||
Total Warrants | ||||||||
(Cost $435) ($ Thousands) | 727 | |||||||
Number of Rights | ||||||||
RIGHTS — 0.0% | ||||||||
Intelsat Jackson Holdings *‡‡(B) | 8,336 | – | ||||||
Total Rights | ||||||||
(Cost $—) ($ Thousands) | – | |||||||
SEI Institutional Managed Trust
179
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
High Yield Bond Fund (Continued)
Description | Shares | Market Value | ||||||
AFFILIATED PARTNERSHIP — 0.0% | ||||||||
SEI Liquidity Fund, LP | ||||||||
4.740% **†(K) | 1,146 | $ | 1 | |||||
Total Affiliated Partnership | ||||||||
(Cost $1) ($ Thousands) | 1 | |||||||
CASH EQUIVALENT — 2.0% | ||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | ||||||||
4.570%**† | 24,576,438 | 24,576 | ||||||
Total Cash Equivalent | ||||||||
(Cost $24,576) ($ Thousands) | 24,576 | |||||||
Total Investments in Securities — 98.5% | ||||||||
(Cost $1,358,825) ($ Thousands) | $ | 1,230,905 | ||||||
| Percentages are based on Net Assets of $1,249,522 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2023. |
‡ | 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 March 31, 2023, the value of these securities amounted to $824,624 ($ Thousands), representing 66.0% 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 March 31, 2023 was $9,106 ($ Thousands) and represented 0.7% 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 March 31, 2023 was $1 ($ Thousands). |
The following is a summary of the level of inputs used as of March 31, 2023, in valuing the Fund's investments carried at value ($ Thousands): | ||||||||||||||||
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Obligations | – | 956,477 | 466 | 956,943 | ||||||||||||
Asset-Backed Securities | – | – | 109,187 | 109,187 | ||||||||||||
Loan Participations | – | 97,461 | 10,932 | 108,393 | ||||||||||||
Common Stock | 2,972 | 62 | 11,070 | 14,104 | ||||||||||||
Preferred Stock | 1,316 | 1,392 | 6,569 | 9,277 | ||||||||||||
Convertible Bonds | – | 4,807 | 2,890 | 7,697 | ||||||||||||
Warrants | – | – | 727 | 727 | ||||||||||||
Rights | – | – | – | ^ | – | ^ | ||||||||||
Affiliated Partnership | – | 1 | – | 1 | ||||||||||||
Cash Equivalent | 24,576 | – | – | 24,576 | ||||||||||||
Total Investments in Securities | 28,864 | 1,060,200 | 141,841 | 1,230,905 |
^ This category includes securities with a value of $0.
180
SEI Institutional Managed Trust
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Investments in Corporate Obligations | Investments in Loan Participations | Investments in Asset-Backed Securities | Investments in Common Stock | Investments in Preferred Stock | Investments in Convertible Bonds | Investments in Warrants | Investments in Rights | |||||||||||||||||||||||||
Balance as of October 1, 2022 | $ | 538 | $ | 13,138 | $ | 117,365 | $ | 11,298 | $ | 6,339 | $ | 2,030 | $ | 910 | $ | – | ^ | |||||||||||||||
Accrued discounts/premiums | – | 12 | (268 | ) | – | – | 1 | – | – | |||||||||||||||||||||||
Realized gain/(loss) | – | (31 | ) | 3,298 | 193 | – | – | – | – | |||||||||||||||||||||||
Change in unrealized appreciation/(depreciation) | (72 | ) | (925 | ) | 3,716 | (228 | ) | 45 | 14 | (183 | ) | – | ||||||||||||||||||||
Purchases | – | 1,467 | – | – | 185 | 845 | – | – | ||||||||||||||||||||||||
Sales | – | (2,729 | ) | (14,924 | ) | (193 | ) | – | – | – | �� | – | ||||||||||||||||||||
Net transfer into Level 3 | – | – | – | – | – | – | – | – | ||||||||||||||||||||||||
Net transfer out of Level 3 | – | – | – | – | – | – | – | – | ||||||||||||||||||||||||
Ending Balance as of March 31, 2023(1) | $ | 466 | $ | 10,932 | $ | 109,187 | $ | 11,070 | $ | 6,569 | $ | 2,890 | $ | 727 | $ | – | ^ | |||||||||||||||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | (95 | ) | $ | (1,062 | ) | $ | 746 | $ | (352 | ) | $ | 20 | $ | 14 | $ | (211 | ) | $ | – |
(1) Of the $141,841 ($ Thousands) in Level 3 securities as of March 31, 2023, $20,328 ($ Thousands) or 1.6% 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 March 31, 2023 ($ Thousands) | Valuation Technique | Unobservable Inputs | Range Input Value(s) (Average Input Value) | ||||||||||||
Common Stock | $ | 5,550 | 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 | ||||||||||||||
Month-end mean price from 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% | |||||||||||||||
Market Comparables Approach | EBITDA | $190m | ||||||||||||||
EBITDA multiple | 3.5x - 4.0x | |||||||||||||||
Valuation case probability weighting | 100% | |||||||||||||||
Weighted valuation techniques | EBITDA | $207m - $216m | ||||||||||||||
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 | $55.0m | ||||||||||||||
Estimated Indemnity escrow | $15.0m | |||||||||||||||
Discount Rate | 0.5 | |||||||||||||||
Estimated recovery Model | EBITDA | $206.0m | ||||||||||||||
EBITDA multiple | 1.15x - 1.65x | |||||||||||||||
Convertible Bonds | 2,890 | Milestone Approach | Convertible Note Balance | $44.34m | ||||||||||||
Converted Equity Percent | 50.2% | |||||||||||||||
Projected Barrels | 2.9bn | |||||||||||||||
Discounted cash flow model | Implied total yield | 15.75% - 16.75% | ||||||||||||||
SEI Institutional Managed Trust
181
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
High Yield Bond Fund (Concluded)
Corporate Bonds | 2,523 | 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 | $420.0M - 440.0M | ||||||||||||||
Estimated recovery model | Estimated Debt Claims | $157.5M | ||||||||||||||
Discounted cash flow model | Implied total yield | 9.67% - 10.67% | ||||||||||||||
Loan Participations | 5,541 | Discounted cash flow model | Implied total yield | 17.30% - 17.70% | ||||||||||||
Asset Protection Analysis | EBITA | $35.4m - $39m | ||||||||||||||
Enterprise Value | $64.5m | |||||||||||||||
Discounted cash flow model | Implied total credit spread | 9.56% - 10.56% | ||||||||||||||
Cost | None | N/A | ||||||||||||||
Yield Analysis | Market Yield | 0.1322 | ||||||||||||||
Preferred Stock | 3,203 | 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 | 7.0x - 9.5x | |||||||||||||||
Valuation case probability weighting | 100% | |||||||||||||||
Weighted valuation techniques | EBITDA | $207m - $260m | ||||||||||||||
EBITDA multiple | 3.50x - 5.25x | |||||||||||||||
Weighted Average Cost of Capital | 16.25% | |||||||||||||||
Valuation case probability weighting | 0.5 | |||||||||||||||
Comparable Yield approach | Implied total yield | 11.64% - 13.64% | ||||||||||||||
Warrants | 621 | Use an average mid-pricing based off of available broker runs on a monthly basis | None | N/A | ||||||||||||
Weighted valuation techniques | EBITDA | $207m - $216m | ||||||||||||||
EBITDA multiple | 4.50x - 5.75x | |||||||||||||||
Weighted Average Cost of Capital | 16.50% | |||||||||||||||
Valuation case probability weighting | 0.5 | |||||||||||||||
Weighted valuation techniques | EBITDA | $207m - $216m | ||||||||||||||
EBITDA multiple | 4.50x - 5.75x | |||||||||||||||
Weighted Average Cost of Capital | 16.50% | |||||||||||||||
Valuation case probability weighting | 0.5 | |||||||||||||||
Weighted valuation techniques | EBITDA | $207m - $216m | ||||||||||||||
EBITDA multiple | 4.50x - 5.75x | |||||||||||||||
Weighted Average Cost of Capital | 16.50% | |||||||||||||||
Valuation case probability weighting | 0.5 | |||||||||||||||
Total | $ | 20,328 |
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
182
SEI Institutional Managed Trust
The following is a summary of the Fund’s transactions with affiliates for the period ended March 31, 2023 ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 3/31/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Liquidity Fund, LP | $ | 1 | $ | — | $ | — | $ | — | $ | — | $ | 1 | $ | — | $ | — | ||||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | 15,930 | 264,363 | (255,717 | ) | — | — | 24,576 | 434 | — | |||||||||||||||||||||||
Totals | $ | 15,931 | $ | 264,363 | $ | (255,717 | ) | $ | — | $ | — | $ | 24,577 | $ | 434 | $ | — |
Amounts designated as “—” are either $0 or have been rounded to $0.
A list of the restricted securities, excluding 144a, held by the Fund at March 31, 2023, is as follows:
Description | Number of Shares/Face Amount ($ Thousands)/Number of Warrants | Acquisition Date | Cost ($ Thousands) | Market Value | ||||||||||||
Common Stock | ||||||||||||||||
Guitar Center | 13,905 | 1/8/2021 | $ | 1,762 | $ | 2,561 | ||||||||||
Gymboree Holding Corp | 40,312 | 10/2/2017 | 672 | – | ||||||||||||
Nine West FKA Premier Brands | 92,548 | 5/20/2019 | 1,967 | 62 | ||||||||||||
Parker Drilling Co | 79,089 | 3/26/2019 | 1,000 | 870 | ||||||||||||
Corporate Obligations | ||||||||||||||||
Aventine (Escrow Security) | $ | 2,750 | 4/21/2010 | – | – | |||||||||||
Northwest Acquisitions ULC | 2,115 | 10/1/2019 | 1,493 | – | ||||||||||||
Loan Participations | ||||||||||||||||
Boardriders Inc., Closing Date Tranche A Loan, 1st Lien | 382 | 9/4/2020 | 382 | 375 | ||||||||||||
Boardriders Inc., Closing Date Tranche B-2 Loan, 1st Lien | 1,637 | 9/4/2020 | 1,400 | 1,518 | ||||||||||||
GatesAir, Term Loan | 1,137 | 8/9/2022 | 1,106 | 1,137 | ||||||||||||
Premier Brands Group Holdings, LLC, Term Loan, 1st Lien | 574 | 3/21/2019 | 531 | 444 | ||||||||||||
Premier Brands Group Holdings, LLC, Term Loan, 1st Lien | 535 | 3/21/2019 | 524 | 414 | ||||||||||||
Preferred Stock | ||||||||||||||||
Boardriders Inc. | 215,931 | 9/4/2020 | – | 255 | ||||||||||||
Claire's Stores | 823 | 10/22/2018 | 976 | 934 | ||||||||||||
Guitar Center | 365 | 1/8/2021 | 34 | 34 | ||||||||||||
Warrants | ||||||||||||||||
Guitar Center | 3,680 | 1/8/2021 | 197 | 318 | ||||||||||||
Guitar Center | 3,681 | 1/8/2021 | 132 | 184 | ||||||||||||
$ | 12,176 | $ | 9,106 |
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
183
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 — 33.7% | ||||||||
Consumer Discretionary — 0.8% | ||||||||
American Honda Finance | ||||||||
4.935%, 04/12/2023 (A) | $ | 3,500 | $ | 3,494 | ||||
Financials — 27.4% | ||||||||
ABN AMRO Funding USA | ||||||||
4.879%, 05/22/2023 (A)(B) | 3,000 | 2,979 | ||||||
Alinghi Funding | ||||||||
3.064%, 05/17/2023 (A)(B) | 1,000 | 993 | ||||||
Antalis | ||||||||
5.098%, 08/01/2023 (A)(B) | 2,000 | 1,964 | ||||||
Atlantic Asset Securitization | ||||||||
5.042%, 06/15/2023 (A)(B) | 3,000 | 2,965 | ||||||
Australia & New Zealand Banking Group | ||||||||
4.920%, 04/26/2023 (A)(B) | 2,500 | 2,500 | ||||||
Autobahn Funding | ||||||||
4.848%, 04/04/2023 (A)(B) | 9,000 | 8,995 | ||||||
Barton Capital | ||||||||
4.855%, 04/03/2023 (A)(B) | 5,000 | 4,998 | ||||||
Bedford Row Funding | ||||||||
4.855%, 04/05/2023 (A)(B) | 7,000 | 6,995 | ||||||
Bennington Stark Capital | ||||||||
4.855%, 04/05/2023 (A)(B) | 3,500 | 3,498 | ||||||
BNG Bank | ||||||||
4.819%, 04/06/2023 (A)(B) | 7,000 | 6,994 | ||||||
BPCE | ||||||||
4.250%, 09/01/2023 (A)(B) | 1,500 | 1,467 | ||||||
Brighthouse Financial Short Term Funding | ||||||||
5.150%, 09/21/2023 (A)(B) | 2,500 | 2,436 | ||||||
Chariot Funding | ||||||||
4.898%, 04/27/2023 (A)(B) | 3,000 | 2,989 | ||||||
4.890%, 04/26/2023 (A)(B) | 8,000 | 7,971 | ||||||
Chesham Finance | ||||||||
4.852%, 04/03/2023 (A) | 10,000 | 9,996 | ||||||
Columbia Funding | ||||||||
5.044%, 08/02/2023 (A)(B) | 2,440 | 2,396 | ||||||
Landesbank Baden-Wuerttemberg NY | ||||||||
4.822%, 04/03/2023 (A) | 8,000 | 7,997 | ||||||
Lime Funding | ||||||||
4.930%, 04/12/2023 (A)(B) | 3,913 | 3,907 |
Description | Face Amount | Market Value | ||||||
COMMERCIAL PAPER (continued) | ||||||||
LMA-Americas | ||||||||
5.340%, 04/28/2023 (A) | $ | 4,000 | $ | 3,984 | ||||
Longship Funding | ||||||||
4.837%, 04/03/2023 (A)(B) | 8,000 | 7,997 | ||||||
Macquarie Bank | ||||||||
5.327%, 11/06/2023 (A)(B) | 730 | 707 | ||||||
5.188%, 10/23/2023 (A)(B) | 3,000 | 2,910 | ||||||
PSP Capital | ||||||||
4.027%, 08/17/2023 (A)(B) | 1,500 | 1,470 | ||||||
Ridgefield Funding | ||||||||
5.016%, 08/02/2023 (A)(B) | 3,000 | 2,946 | ||||||
U.S. Collateralized Commercial Paper | ||||||||
5.051%, 06/16/2023 (A) | 4,000 | 3,955 | ||||||
Versailles | ||||||||
5.095%, 06/05/2023 (A) | 1,500 | 1,486 | ||||||
Victory Receivables | ||||||||
4.859%, 04/11/2023 (A)(B) | 7,000 | 6,990 | ||||||
114,485 | ||||||||
Government — 3.5% | ||||||||
Export Development Canada | ||||||||
4.797%, 04/03/2023 (A) | 8,500 | 8,496 | ||||||
4.750%, 04/04/2023 (A) | 6,000 | 5,997 | ||||||
14,493 | ||||||||
Materials — 2.0% | ||||||||
Amcor Finance USA | ||||||||
4.942%, 04/05/2023 (A)(B) | 3,200 | 3,198 | ||||||
Great Bear Funding | ||||||||
4.855%, 04/06/2023 (A)(B) | 5,000 | 4,996 | ||||||
8,194 | ||||||||
Total Commercial Paper | ||||||||
(Cost $140,725) ($ Thousands) | 140,666 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATION — 2.4% | ||||||||
FHLB DN | ||||||||
0.000%, 04/18/2023 (C) | 10,000 | 9,981 | ||||||
Total U.S. Government Agency Obligation | ||||||||
(Cost $9,979) ($ Thousands) | 9,981 | |||||||
CORPORATE OBLIGATIONS — 1.9% | ||||||||
Consumer Discretionary — 0.9% | ||||||||
Jets Stadium Development | ||||||||
5.350%, 04/01/2047 (B)(D) | 3,900 | 3,900 | ||||||
184
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Financials — 1.0% | ||||||||
Bank of Nova Scotia | ||||||||
5.330%, U.S. SOFR + 0.500%, 05/05/2023 (D) | $ | 4,000 | $ | 4,002 | ||||
Total Corporate Obligations | ||||||||
(Cost $7,900) ($ Thousands) | 7,902 | |||||||
MUNICIPAL BOND — 0.2% | ||||||||
California — 0.2% | ||||||||
Tender Option Bond Trust Receipts, Ser 2021-XMT0950, RB | ||||||||
4.170%, 11/01/2035 (B)(D) | 750 | 750 | ||||||
Total Municipal Bond | ||||||||
(Cost $750) ($ Thousands) | 750 | |||||||
CERTIFICATES OF DEPOSIT — 31.4% | ||||||||
Bank of America | ||||||||
5.440%, 02/06/2024 | 1,839 | 1,839 | ||||||
5.250%, 01/31/2024 | 3,000 | 3,000 | ||||||
4.850%, 04/03/2023 | 5,000 | 5,000 | ||||||
Bank of Montreal IL | ||||||||
5.100%, 06/06/2023 | 1,000 | 1,001 | ||||||
5.050%, 05/05/2023 | 1,000 | 1,000 | ||||||
2.800%, 05/12/2023 | 1,000 | 1,000 | ||||||
Bank of Nova Scotia | ||||||||
5.210%, 08/18/2023 (B) | 1,500 | 1,502 | ||||||
5.200%, 06/14/2023 (B) | 2,000 | 2,002 | ||||||
5.050%, 11/06/2023 (B) | 2,000 | 2,000 | ||||||
Barclays Bank | ||||||||
5.170%, 04/05/2023 | 1,500 | 1,500 | ||||||
Bayerische Landesbank | ||||||||
4.850%, 04/05/2023 | 10,000 | 10,000 | ||||||
BNP Paribas NY | ||||||||
5.250%, 01/31/2024 | 2,000 | 1,998 | ||||||
5.180%, 02/05/2024 | 1,200 | 1,201 | ||||||
BNZ International Funding | ||||||||
4.881%, 10/27/2023 (B) | 2,000 | 1,998 | ||||||
Canadian Imperial Bank of Commerce NY | ||||||||
5.600%, 03/04/2024 | 1,500 | 1,500 | ||||||
5.300%, 07/21/2023 | 1,000 | 1,002 | ||||||
5.200%, 07/03/2023 | 2,000 | 2,002 | ||||||
Chariot Funding | ||||||||
5.130%, 05/31/2023 (B) | 3,000 | 2,999 | ||||||
Citibank | ||||||||
5.170%, 09/21/2023 | 1,000 | 1,001 | ||||||
4.160%, 09/01/2023 | 1,250 | 1,250 |
Description | Face Amount | Market Value | ||||||
CERTIFICATES OF DEPOSIT (continued) | ||||||||
Commonwealth Bank of Australia | ||||||||
5.400%, 02/16/2024 (B) | $ | 1,250 | $ | 1,252 | ||||
5.150%, 07/13/2023 (B) | 2,000 | 2,002 | ||||||
Credit Agricole | ||||||||
5.000%, 06/15/2023 | 4,000 | 3,999 | ||||||
DNB Bank | ||||||||
5.040%, 05/26/2023 (B) | 3,000 | 3,001 | ||||||
4.800%, 04/03/2023 | 8,000 | 8,000 | ||||||
HSBC Bank | ||||||||
5.150%, 06/06/2023 (B) | 2,000 | 2,001 | ||||||
ING US Funding | ||||||||
5.150%, 05/22/2023 | 4,000 | 4,003 | ||||||
Macquarie Bank | ||||||||
5.300%, 04/25/2023 (B) | 3,000 | 3,001 | ||||||
5.150%, 06/22/2023 (B) | 3,000 | 3,002 | ||||||
Mitsubishi UFJ Trust and Banking | ||||||||
4.690%, 07/10/2023 | 5,000 | 4,997 | ||||||
MUFG Bank NY | ||||||||
4.880%, 06/20/2023 | 1,000 | 1,001 | ||||||
National Australia Bank | ||||||||
5.130%, 06/25/2023 (B) | 2,000 | 2,001 | ||||||
4.950%, 05/12/2023 (B) | 1,500 | 1,500 | ||||||
4.920%, 04/13/2023 (B) | 2,000 | 2,000 | ||||||
Natixis NY | ||||||||
5.220%, 05/04/2023 | 3,500 | 3,502 | ||||||
5.220%, 10/13/2023 | 1,500 | 1,500 | ||||||
Nordea Bank Abp | ||||||||
5.030%, 08/17/2023 | 1,500 | 1,500 | ||||||
Nordea Bank Abp NY | ||||||||
5.040%, 05/24/2023 | 1,500 | 1,501 | ||||||
Old Line Funding | ||||||||
5.060%, 05/04/2023 (B) | 4,000 | 4,001 | ||||||
Royal Bank of Canada | ||||||||
5.100%, 10/19/2023 | 1,000 | 1,002 | ||||||
4.080%, 07/14/2023 | 1,200 | 1,196 | ||||||
Standard Chartered Bank NY | ||||||||
5.210%, 10/31/2023 | 2,000 | 1,997 | ||||||
5.100%, 05/04/2023 | 1,500 | 1,501 | ||||||
Sumitomo Mitsui Banking | ||||||||
5.430%, 05/03/2023 | 2,000 | 2,001 | ||||||
Sumitomo Mitsui Trust Bank | ||||||||
4.800%, 05/18/2023 | 5,000 | 4,999 | ||||||
4.730%, 08/25/2023 | 2,000 | 1,998 | ||||||
Svenska Handelsbanken NY | ||||||||
5.490%, 07/03/2023 | 2,000 | 2,003 | ||||||
Swedbank NY | ||||||||
5.440%, 04/19/2023 | 3,000 | 3,001 | ||||||
5.090%, 09/01/2023 | 1,500 | 1,499 | ||||||
Toronto-Dominion Bank | ||||||||
5.270%, 01/24/2024 | 2,000 | 1,997 | ||||||
5.260%, 05/01/2023 | 2,000 | 2,001 | ||||||
4.120%, 08/28/2023 | 1,000 | 995 |
SEI Institutional Managed Trust
185
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Conservative Income Fund (Concluded)
Description | Face Amount | Market Value | ||||||
CERTIFICATES OF DEPOSIT (continued) | ||||||||
3.137%, 06/02/2023 | $ | 2,000 | $ | 2,001 | ||||
2.800%, 05/08/2023 | 1,500 | 1,496 | ||||||
Toyota Motor Credit | ||||||||
4.938%, 02/22/2024 | 910 | 908 | ||||||
Westpac Banking | ||||||||
5.340%, 07/07/2023 (B) | 2,000 | 2,002 | ||||||
Total Certificates of Deposit | ||||||||
(Cost $131,147) ($ Thousands) | 131,156 | |||||||
| ||||||||
CASH EQUIVALENT — 0.0% | ||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | ||||||||
4.570%**† | 79,281 | 79 | ||||||
Total Cash Equivalent | ||||||||
(Cost $79) ($ Thousands) | 79 | |||||||
Face Amount | ||||||||
REPURCHASE AGREEMENTS — 30.3% | ||||||||
Bank of America Securities | ||||||||
4.820%, dated 3/31/2023, to be repurchased on 4/3/2023, repurchase price $58,723,577 (collateralized by a U.S. Treasury obligation, par value $62,950,200, 0.250%, 6/15/2024; with total market value $59,874,077) (E) | $ | 58,700 | 58,700 | |||||
Goldman Sachs & Co | ||||||||
4.810%, dated 3/31/2023, to be repurchased on 4/3/2023, repurchase price $40,016,032 (collateralized by various GNMA obligations, ranging in par value $150,000 - $28,000,000, 2.400% - 4.340%, 5/15/2057 - 6/15/2064; with total market value $40,800,000) (E) | 40,000 | 40,000 | ||||||
TD Securities | ||||||||
4.810%, dated 3/31/2023, to be repurchased on 4/3/2023, repurchase price $28,011,223 (collateralized by various GNMA obligations, ranging in par value $3,769,646 - $38,821,064, 3.000% - 4.000%, 8/20/2051 - 6/20/2052; with total market value $28,560,000) (E) | 28,000 | 28,000 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $126,700) ($ Thousands) | 126,700 | |||||||
Total Investments in Securities — 99.9% | ||||||||
(Cost $417,280) ($ Thousands) | $ | 417,234 | ||||||
| Percentages are based on Net Assets of $417,487 ($ Thousands). |
** | The rate reported is the 7-day effective yield as of March 31, 2023. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Interest rate represents the security's effective yield at the time of purchase. |
(B) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On March 31, 2023, the value of these securities amounted to $136,175 ($ Thousands), representing 32.6% of the Net Assets of the Fund. |
(C) | Zero coupon security. |
(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) | Tri-Party Repurchase Agreement. |
The following is a summary of the level of inputs used as of March 31, 2023, 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 | – | 140,666 | – | 140,666 | ||||||||||||
U.S. Government Agency Obligation | – | 9,981 | – | 9,981 | ||||||||||||
Corporate Obligations | – | 7,902 | – | 7,902 | ||||||||||||
Municipal Bond | – | 750 | – | 750 | ||||||||||||
Certificates of Deposit | – | 131,156 | – | 131,156 | ||||||||||||
Cash Equivalent | 79 | – | – | 79 | ||||||||||||
Repurchase Agreements | – | 126,700 | – | 126,700 | ||||||||||||
Total Investments in Securities | 79 | 417,155 | – | 417,234 |
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
186
SEI Institutional Managed Trust
The following is a summary of the Fund’s transactions with affiliates for the period ended March 31, 2023 ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 3/31/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | $ | — | $ | 5,152,561 | $ | (5,152,482 | ) | $ | — | $ | — | $ | 79 | $ | 39 | $ | — |
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
187
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 — 94.5% | ||||||||
Alabama — 1.9% | ||||||||
Mobile, Industrial Development Board, RB | ||||||||
2.850%, 06/01/2034 (A) | $ | 3,000 | $ | 3,000 | ||||
Arizona — 1.0% | ||||||||
Phoenix, Industrial Development Authority, Ser B-REM, RB | ||||||||
2.650%, 11/15/2052 (A) | 200 | 200 | ||||||
Yavapai County, Industrial Development Authority, Drake Cement Project, Ser A, RB | ||||||||
4.100%, 09/01/2035 (A)(B) | 1,500 | 1,500 | ||||||
1,700 | ||||||||
Colorado — 4.1% | ||||||||
Colorado Springs, Utilities System Revenue, Ser C-REMK, RB | ||||||||
3.950%, 11/01/2040 (A) | 4,150 | 4,150 | ||||||
Colorado State, Educational & Cultural Facilities Authority, RB | ||||||||
2.800%, 01/01/2039 (A)(B) | 2,500 | 2,500 | ||||||
6,650 | ||||||||
Connecticut — 3.7% | ||||||||
Connecticut State, Housing Finance Authority, Mortgage Finance Program, Sub-Ser F-3, RB | ||||||||
3.900%, 05/15/2040 (A) | 3,000 | 3,000 | ||||||
Connecticut State, Ser C, GO | ||||||||
3.940%, 05/15/2034 (A) | 2,870 | 2,870 | ||||||
5,870 | ||||||||
Delaware — 0.2% | ||||||||
University of Delaware, Ser C-REMK, RB | ||||||||
2.700%, 11/01/2037 (A) | 300 | 300 | ||||||
District of Columbia — 0.4% | ||||||||
Tender Option Bond Trust Receipts, Ser 2019-XG0267, RB | ||||||||
4.020%, 10/01/2053 (A)(B)(C) | 670 | 670 | ||||||
Florida — 9.5% | ||||||||
Escambia County, Solid Waste Disposal, Florida Power & Light, RB | ||||||||
2.850%, 04/01/2039 (A) | 4,500 | 4,500 |
Description | Face Amount | Market Value | ||||||
MUNICIPAL BONDS (continued) | ||||||||
Gainesville, Utilities System Revenue, Ser B-REMK, RB | ||||||||
2.800%, 10/01/2042 (A) | $ | 1,750 | $ | 1,750 | ||||
Hillsborough County, Industrial Development Authority, Baycare Health Systems, RB | ||||||||
2.700%, 11/01/2038 (A)(B) | 1,000 | 1,000 | ||||||
Lucie County, Florida Power & Light Project, RB | ||||||||
2.750%, 09/01/2028 (A) | 5,100 | 5,100 | ||||||
Miami-Dade County, Industrial Development Authority, Dave and Mary Alper Jewish Community Center Project, RB | ||||||||
3.350%, 04/01/2032 (A)(B) | 2,895 | 2,895 | ||||||
15,245 | ||||||||
Georgia — 0.2% | ||||||||
Georgia State, Main Street Natural Gas, Ser B, RB | ||||||||
5.000%, 03/01/2024 | 290 | 293 | ||||||
Illinois — 6.2% | ||||||||
Aurora, Fox Valley Counseling Center, RB | ||||||||
3.970%, 05/01/2028 (A)(B) | 1,710 | 1,710 | ||||||
Illinois State, Development Finance Authority, Glenwood School For Boys, RB | ||||||||
4.020%, 02/01/2033 (A)(B) | 2,000 | 2,000 | ||||||
Illinois State, Development Finance Authority, YMCA Metropolitan Chicago Project, RB | ||||||||
3.300%, 06/01/2029 (A)(B) | 3,800 | 3,800 | ||||||
Illinois State, Finance Authority, Advocate Health Care Network, Sub-Ser C3A, RB | ||||||||
3.030%, 11/01/2038 (A) | 2,400 | 2,400 | ||||||
9,910 | ||||||||
Indiana — 1.1% | ||||||||
Tender Option Bond Trust Receipts, Ser 2016-XL0019, RB | ||||||||
4.120%, 04/01/2030 (A)(C) | 1,770 | 1,770 | ||||||
Iowa — 4.4% | ||||||||
Iowa State, Finance Authority, Disaster Area Economic Development, CJ Bio America Project, RB | ||||||||
3.970%, 12/01/2041 (A)(B)(C) | 2,000 | 2,000 | ||||||
Iowa State, Finance Authority, Mortgage-Backed Securities Program, RB, GNMA/FNMA/FHLMC | ||||||||
3.880%, 01/01/2047 (A) | 500 | 500 |
188
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
MUNICIPAL BONDS (continued) | ||||||||
Iowa State, Finance Authority, Pollution Control Facilities, MidAmerican Energy Project, RB | ||||||||
3.120%, 09/01/2036 (A) | $ | 1,600 | $ | 1,600 | ||||
Iowa State, Finance Authority, Pollution Control Facilities, MidAmerican Energy Project, Ser B, RB | ||||||||
3.120%, 05/01/2023 (A) | 3,000 | 3,000 | ||||||
7,100 | ||||||||
Louisiana — 0.9% | ||||||||
Saint James Parish, Nucor Steel Louisiana LLC Project, Ser 2010A-1, RB | ||||||||
3.460%, 11/01/2040 (A) | 1,500 | 1,500 | ||||||
Maryland — 0.7% | ||||||||
Maryland State, Community Development Administration, Department of Housing and Community Development, Crusader Arms Apartments Project, Ser D, RB | ||||||||
3.940%, 02/01/2041 (A) | 1,070 | 1,070 | ||||||
Michigan — 0.9% | ||||||||
Central Michigan University, Ser A, RB | ||||||||
3.950%, 10/01/2032 (A)(B) | 1,400 | 1,400 | ||||||
Mississippi — 1.0% | ||||||||
Mississippi State, Business Finance, Chevron USA Project, Ser F, RB | ||||||||
2.700%, 12/01/2030 (A) | 1,600 | 1,600 | ||||||
Missouri — 3.5% | ||||||||
Kansas City, Special Obligation, H Roe Bartle Project, Ser E, RB | ||||||||
3.020%, 04/15/2034 (A)(B) | 2,100 | 2,100 | ||||||
RBC Municipal Products Trust, Ser C-16, RB | ||||||||
4.020%, 09/01/2039 (A)(B)(C) | 3,500 | 3,500 | ||||||
5,600 | ||||||||
New Jersey — 13.7% | ||||||||
Berlin, GO | ||||||||
4.500%, 09/26/2023 | 4,600 | 4,624 | ||||||
Deptford, Ser A, GO | ||||||||
4.000%, 07/11/2023 | 3,000 | 3,006 | ||||||
Park Ridge, GO | ||||||||
4.500%, 04/28/2023 | 3,650 | 3,653 | ||||||
Plainsboro, GO | ||||||||
4.500%, 07/26/2023 | 1,500 | 1,506 | ||||||
4.000%, 07/26/2023 | 3,000 | 3,007 | ||||||
River Vale, GO | ||||||||
4.000%, 07/14/2023 | 1,900 | 1,904 |
Description | Face Amount | Market Value | ||||||
MUNICIPAL BONDS (continued) | ||||||||
Voorhees, Ser A, GO | ||||||||
4.000%, 09/27/2023 | $ | 4,572 | $ | 4,589 | ||||
22,289 | ||||||||
New Mexico — 0.8% | ||||||||
New Mexico, Hospital Equipment Loan Council, RB | ||||||||
2.750%, 08/01/2034 (A) | 1,300 | 1,300 | ||||||
New York — 4.6% | ||||||||
New York City, Ser A-3, GO | ||||||||
2.650%, 09/01/2049 (A) | 770 | 770 | ||||||
New York State, Housing Finance Agency, Ser A, RB | ||||||||
3.120%, 11/01/2050 (A)(B) | 2,500 | 2,500 | ||||||
RBC Municipal Products Trust, Ser 2018-G5, GO | ||||||||
3.650%, 10/01/2025 (A)(B)(C) | 1,900 | 1,900 | ||||||
Tender Option Bond Trust Receipts, Ser 2023-XF1450, RB | ||||||||
4.000%, 03/15/2054 (A)(C) | 2,200 | 2,200 | ||||||
7,370 | ||||||||
North Carolina — 1.2% | ||||||||
Charlotte, Governmental Facilities Project, RB | ||||||||
3.900%, 06/01/2033 (A) | 1,965 | 1,965 | ||||||
Ohio — 1.2% | ||||||||
Miami County, GO | ||||||||
3.250%, 07/27/2023 | 1,950 | 1,948 | ||||||
Oregon — 1.7% | ||||||||
Oregon State, Facilities Authority, Ser B, RB | ||||||||
2.700%, 08/01/2034 (A)(B) | 2,800 | 2,800 | ||||||
Pennsylvania — 2.7% | ||||||||
Montgomery County, Industrial Development Authority, Acts Retirement Life Communities, RB, AGC | ||||||||
2.850%, 11/15/2029 (A) | 175 | 175 | ||||||
Pennsylvania State, Economic Development Financing Authority, PPL Energy Supply Project, RB | ||||||||
4.200%, 12/01/2037 (A)(B)(D) | 3,000 | 3,000 | ||||||
Pennsylvania State, Turnpike Commission, RB | ||||||||
3.950%, 12/01/2038 (A)(B) | 1,100 | 1,100 | ||||||
4,275 | ||||||||
SEI Institutional Managed Trust
189
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Tax-Free Conservative Income Fund (Concluded)
Description | Face Amount | Market Value | ||||||
MUNICIPAL BONDS (continued) | ||||||||
South Carolina — 4.9% | ||||||||
South Carolina State, Jobs-Economic Development Authority, RB, FHLB | ||||||||
4.240%, 03/01/2063 (A)(B) | $ | 3,000 | $ | 3,000 | ||||
South Carolina State, Public Service Authority, Ser A, RB | ||||||||
3.000%, 01/01/2036 (A)(B) | 4,400 | 4,400 | ||||||
Tender Option Bond Trust Receipts, Ser 2022-XG0398, RB, BAM | ||||||||
4.090%, 12/01/2055 (A)(C) | 500 | 500 | ||||||
7,900 | ||||||||
South Dakota — 1.8% | ||||||||
South Dakota State, Housing Development Authority, Ser A, RB | ||||||||
3.950%, 11/01/2062 (A) | 2,915 | 2,915 | ||||||
Tennessee — 0.4% | ||||||||
Clarksville, Public Building Authority, Pooled Financing, RB | ||||||||
3.940%, 06/01/2029 (A)(B) | 600 | 600 | ||||||
Texas — 10.1% | ||||||||
Pasadena, Independent School District, Ser B, GO, AGM | ||||||||
4.000%, 02/01/2035 (A) | 1,050 | 1,050 | ||||||
Port Arthur, Navigation District, Industrial Development, Petrochemicals USA Project, RB | ||||||||
3.950%, 03/01/2039 (A) | 5,300 | 5,300 | ||||||
Port Arthur, Navigation District, Industrial Development, Petrochemicals USA Project, Ser A, RB | ||||||||
2.950%, 12/01/2040 (A) | 2,200 | 2,200 | ||||||
Tarrant County, Cultural Education Facilities Finance, Christus Health, RB | ||||||||
3.350%, 07/01/2047 (A)(B) | 1,525 | 1,525 | ||||||
Texas State, Veterans Bonds, GO | ||||||||
3.080%, 12/01/2046 (A) | 2,000 | 2,000 | ||||||
Texas State, Veterans Bonds, Ser B, GO | ||||||||
3.100%, 12/01/2042 (A) | 2,500 | 2,500 | ||||||
Texas State, Veterans Bonds, Ser B-REMK, GO | ||||||||
3.100%, 12/01/2043 (A) | 2,000 | 2,000 | ||||||
16,575 | ||||||||
Utah — 1.1% | ||||||||
Utah State, Water Finance Agency, Ser B-2-REMK, RB | ||||||||
4.100%, 10/01/2035 (A) | 1,705 | 1,705 | ||||||
Description | Face Amount | Market Value | ||||||
MUNICIPAL BONDS (continued) | ||||||||
Virginia — 1.1% | ||||||||
Fairfax County, Industrial Development Authority, Inova Health System Project, RB | ||||||||
4.000%, 05/15/2042 (A) | $ | 1,835 | $ | 1,835 | ||||
Washington — 0.6% | ||||||||
Washington State, Housing Finance Commission, Ser VR, RB | ||||||||
3.880%, 12/01/2046 (A) | 1,000 | 1,000 | ||||||
West Virginia — 0.7% | ||||||||
West Virginia State, Hospital Finance Authority, West Virginia University, RB | ||||||||
3.930%, 06/01/2034 (A)(B) | 1,165 | 1,165 | ||||||
Wisconsin — 8.2% | ||||||||
Racine, Unified School District, RB | ||||||||
4.000%, 08/09/2023 | 5,000 | 5,006 | ||||||
University of Wisconsin, Hospitals & Clinics, RB | ||||||||
2.720%, 04/01/2048 (A) | 2,600 | 2,600 | ||||||
Wisconsin State, Housing & Economic Development Authority, Ser B, RB | ||||||||
3.880%, 03/01/2041 (A) | 1,845 | 1,845 | ||||||
Wisconsin State, Housing & Economic Development Authority, Ser C, RB | ||||||||
3.950%, 05/01/2046 (A) | 2,000 | 2,000 | ||||||
Wisconsin State, Ser A, GO | ||||||||
4.140%, 05/01/2023 (A) | 2,000 | 2,000 | ||||||
13,451 | ||||||||
Total Municipal Bonds | ||||||||
(Cost $152,786) ($ Thousands) | 152,771 | |||||||
TAX-EXEMPT COMMERCIAL PAPER — 5.0% | ||||||||
King County | ||||||||
2.800%, 05/04/2023 | 3,000 | 2,997 | ||||||
University of Minnesota | ||||||||
3.050%, 04/06/2023 | 5,000 | 4,999 | ||||||
Total Tax-Exempt Commercial Paper | ||||||||
(Cost $8,000) ($ Thousands) | 7,996 | |||||||
Total Investments in Securities — 99.5% | ||||||||
(Cost $160,786) ($ Thousands) | $ | 160,767 | ||||||
| Percentages are based on Net Assets of $161,585 ($ Thousands). |
190
SEI Institutional Managed Trust
(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 March 31, 2023, the value of these securities amounted to $12,540 ($ Thousands), representing 7.8% of the Net Assets of the Fund. |
(D) | Security is in default on interest payment. |
As of March 31, 2023, 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
191
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 | $ | 9,032 | $ | 9,141 | ||||
2.375%, 01/15/2027 | 5,597 | 5,802 | ||||||
2.000%, 01/15/2026 | 5,791 | 5,875 | ||||||
1.750%, 01/15/2028 | 5,472 | 5,599 | ||||||
1.625%, 10/15/2027 | 14,385 | 14,665 | ||||||
0.625%, 01/15/2026 | 12,268 | 11,994 | ||||||
0.500%, 04/15/2024 | 8,958 | 8,814 | ||||||
0.500%, 01/15/2028 | 13,056 | 12,600 | ||||||
0.375%, 07/15/2025 | 14,594 | 14,274 | ||||||
0.375%, 01/15/2027 | 11,377 | 10,964 | ||||||
0.375%, 07/15/2027 | 12,787 | 12,351 | ||||||
0.250%, 01/15/2025 | 13,298 | 12,975 | ||||||
0.125%, 07/15/2024 | 14,554 | 14,269 | ||||||
0.125%, 10/15/2024 | 12,969 | 12,667 | ||||||
0.125%, 04/15/2025 | 10,602 | 10,272 | ||||||
0.125%, 10/15/2025 | 12,924 | 12,520 | ||||||
0.125%, 04/15/2026 | 9,958 | 9,555 | ||||||
0.125%, 07/15/2026 | 12,226 | 11,776 | ||||||
0.125%, 10/15/2026 | 13,821 | 13,270 |
Description | Face Amount | Market Value | ||||||
U.S. TREASURY OBLIGATIONS (continued) | ||||||||
0.125%, 04/15/2027 | $ | 14,355 | $ | 13,673 | ||||
Total U.S. Treasury Obligations | ||||||||
(Cost $233,856) ($ Thousands) | 223,056 | |||||||
| ||||||||
CASH EQUIVALENT — 0.1% | ||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | ||||||||
4.570%**† | 148,302 | 148 | ||||||
Total Cash Equivalent | ||||||||
(Cost $148) ($ Thousands) | 148 | |||||||
Total Investments in Securities — 99.6% | ||||||||
(Cost $234,004) ($ Thousands) | $ | 223,204 | ||||||
| Percentages are based on Net Assets of $224,098 ($ Thousands). |
** | The rate reported is the 7-day effective yield as of March 31, 2023. |
† | Investment in Affiliated Security (see Note 6). |
The following is a summary of the level of inputs used as of March 31, 2023, in valuing the Fund's investments carried at value ($ Thousands): | ||||||||||||||||
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Obligations | – | 223,056 | – | 223,056 | ||||||||||||
Cash Equivalent | 148 | – | – | 148 | ||||||||||||
Total Investments in Securities | 148 | 223,056 | – | 223,204 |
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 March 31, 2023 ($Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 3/31/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | $ | 1,251 | $ | 53,538 | $ | (54,641 | ) | $ | — | $ | — | $ | 148 | $ | 15 | $ | — |
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.
192
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 — 82.9% | ||||||||
Communication Services — 6.8% | ||||||||
Activision Blizzard Inc * | 11,897 | $ | 1,018 | |||||
Alphabet Inc, Cl A * | 98,596 | 10,227 | ||||||
Alphabet Inc, Cl C * | 85,911 | 8,935 | ||||||
AT&T Inc | 118,354 | 2,278 | ||||||
Charter Communications Inc, Cl A * | 1,743 | 623 | ||||||
Comcast Corp, Cl A | 69,554 | 2,637 | ||||||
DISH Network Corp, Cl A * | 4,302 | 40 | ||||||
Electronic Arts Inc | 4,225 | 509 | ||||||
Fox Corp, Cl A | 4,871 | 166 | ||||||
Fox Corp, Cl B | 2,366 | 74 | ||||||
Interpublic Group of Cos Inc/The | 6,327 | 236 | ||||||
Live Nation Entertainment Inc * | 2,307 | 161 | ||||||
Match Group Inc * | 5,006 | 192 | ||||||
Meta Platforms Inc, Cl A * | 36,825 | 7,805 | ||||||
Netflix Inc * | 7,409 | 2,560 | ||||||
News Corp, Cl A | 6,762 | 117 | ||||||
News Corp, Cl B | 2,017 | 35 | ||||||
Omnicom Group Inc | 3,243 | 306 | ||||||
Paramount Global, Cl B | 8,271 | 184 | ||||||
Take-Two Interactive Software Inc, Cl A * | 2,621 | 313 | ||||||
T-Mobile US Inc * | 9,771 | 1,415 | ||||||
Verizon Communications Inc | 69,486 | 2,702 | ||||||
Walt Disney Co/The * | 30,266 | 3,031 | ||||||
Warner Bros Discovery Inc * | 37,064 | 560 | ||||||
46,124 | ||||||||
Consumer Discretionary — 8.4% | ||||||||
Advance Auto Parts Inc | 1,051 | 128 | ||||||
Amazon.com Inc, Cl A * | 147,570 | 15,243 | ||||||
Aptiv PLC * | 4,372 | 491 | ||||||
AutoZone Inc * | 309 | 760 | ||||||
Bath & Body Works Inc | 4,129 | 151 | ||||||
Best Buy Co Inc | 3,230 | 253 | ||||||
Booking Holdings Inc * | 635 | 1,684 | ||||||
BorgWarner Inc | 3,837 | 188 | ||||||
Caesars Entertainment Inc * | 3,854 | 188 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
CarMax Inc * | 2,545 | $ | 164 | |||||
Carnival Corp * | 16,326 | 166 | ||||||
Chipotle Mexican Grill Inc, Cl A * | 450 | 769 | ||||||
Darden Restaurants Inc | 1,942 | 301 | ||||||
Domino's Pizza Inc | 584 | 193 | ||||||
DR Horton Inc | 5,047 | 493 | ||||||
eBay Inc | 8,718 | 387 | ||||||
Etsy Inc * | 1,991 | 222 | ||||||
Expedia Group Inc * | 2,412 | 234 | ||||||
Ford Motor Co | 66,108 | 833 | ||||||
Garmin Ltd * | 2,500 | 252 | ||||||
General Motors Co | 23,062 | 846 | ||||||
Genuine Parts Co | 2,325 | 389 | ||||||
Hasbro Inc | 2,409 | 129 | ||||||
Hilton Worldwide Holdings Inc | 4,386 | 618 | ||||||
Home Depot Inc/The | 16,849 | 4,973 | ||||||
Las Vegas Sands Corp * | 5,419 | 311 | ||||||
Lennar Corp, Cl A | 4,090 | 430 | ||||||
LKQ Corp | 4,116 | 234 | ||||||
Lowe's Cos Inc | 9,983 | 1,996 | ||||||
Marriott International Inc/MD, Cl A | 4,473 | 743 | ||||||
McDonald's Corp | 12,137 | 3,394 | ||||||
MGM Resorts International * | 5,142 | 228 | ||||||
Mohawk Industries Inc * | 920 | 92 | ||||||
Newell Brands Inc, Cl B | 7,154 | 89 | ||||||
NIKE Inc, Cl B | 20,584 | 2,524 | ||||||
Norwegian Cruise Line Holdings Ltd * | 7,614 | 102 | ||||||
NVR Inc * | 49 | 273 | ||||||
O'Reilly Automotive Inc * | 1,018 | 864 | ||||||
Pool Corp | 616 | 211 | ||||||
PulteGroup Inc | 3,673 | 214 | ||||||
Ralph Lauren Corp, Cl A | 728 | 85 | ||||||
Ross Stores Inc | 5,826 | 618 | ||||||
Royal Caribbean Cruises Ltd * | 3,466 | 226 | ||||||
Starbucks Corp | 19,026 | 1,981 | ||||||
Tapestry Inc | 4,253 | 183 | ||||||
Tesla Inc * | 44,515 | 9,235 | ||||||
TJX Cos Inc/The | 19,310 | 1,513 | ||||||
Tractor Supply Co | 1,774 | 417 | ||||||
Ulta Beauty Inc * | 823 | 449 | ||||||
VF Corp | 5,819 | 133 | ||||||
Whirlpool Corp | 969 | 128 | ||||||
Wynn Resorts Ltd * | 1,845 | 206 | ||||||
Yum! Brands Inc | 4,760 | 629 | ||||||
57,563 | ||||||||
Consumer Staples — 6.0% | ||||||||
Altria Group Inc | 29,816 | 1,330 | ||||||
Archer-Daniels-Midland Co | 9,221 | 735 | ||||||
Brown-Forman Corp, Cl B | 2,960 | 190 | ||||||
Bunge Ltd | 2,500 | 239 | ||||||
Campbell Soup Co | 3,234 | 178 | ||||||
Church & Dwight Co Inc | 3,885 | 344 |
SEI Institutional Managed Trust
193
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Dynamic Asset Allocation Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Clorox Co/The | 2,035 | $ | 322 | |||||
Coca-Cola Co/The | 64,404 | 3,995 | ||||||
Colgate-Palmolive Co | 14,021 | 1,054 | ||||||
Conagra Brands Inc | 7,863 | 295 | ||||||
Constellation Brands Inc, Cl A | 2,728 | 616 | ||||||
Costco Wholesale Corp | 7,377 | 3,665 | ||||||
Dollar General Corp | 3,771 | 794 | ||||||
Dollar Tree Inc * | 3,396 | 488 | ||||||
Estee Lauder Cos Inc/The, Cl A | 3,870 | 954 | ||||||
General Mills Inc | 9,940 | 849 | ||||||
Hershey Co/The | 2,476 | 630 | ||||||
Hormel Foods Corp | 4,723 | 188 | ||||||
J M Smucker Co/The | 1,730 | 272 | ||||||
Kellogg Co | 4,219 | 283 | ||||||
Keurig Dr Pepper Inc | 13,692 | 483 | ||||||
Kimberly-Clark Corp | 5,679 | 762 | ||||||
Kraft Heinz Co/The | 12,843 | 497 | ||||||
Kroger Co/The | 10,988 | 543 | ||||||
Lamb Weston Holdings Inc | 2,401 | 251 | ||||||
McCormick & Co Inc/MD | 3,980 | 331 | ||||||
Molson Coors Beverage Co, Cl B | 3,295 | 170 | ||||||
Mondelez International Inc, Cl A | 22,648 | 1,579 | ||||||
Monster Beverage Corp * | 12,744 | 688 | ||||||
PepsiCo Inc | 22,758 | 4,149 | ||||||
Philip Morris International Inc | 25,658 | 2,495 | ||||||
Procter & Gamble Co/The | 39,002 | 5,799 | ||||||
Sysco Corp, Cl A | 8,511 | 657 | ||||||
Target Corp, Cl A | 7,626 | 1,263 | ||||||
Tyson Foods Inc, Cl A | 4,675 | 277 | ||||||
Walgreens Boots Alliance Inc | 11,524 | 399 | ||||||
Walmart Inc | 23,199 | 3,421 | ||||||
41,185 | ||||||||
Energy — 3.8% | ||||||||
APA Corp | 5,752 | 207 | ||||||
Baker Hughes Co, Cl A | 16,168 | 467 | ||||||
Chevron Corp | 29,474 | 4,809 | ||||||
ConocoPhillips | 20,249 | 2,009 | ||||||
Coterra Energy Inc | 12,941 | 318 | ||||||
Devon Energy Corp | 10,595 | 536 | ||||||
Diamondback Energy Inc, Cl A | 2,823 | 382 | ||||||
EOG Resources Inc | 9,799 | 1,123 | ||||||
EQT Corp | 6,500 | 207 | ||||||
Exxon Mobil Corp | 68,126 | 7,471 | ||||||
Halliburton Co | 15,278 | 483 | ||||||
Hess Corp | 4,696 | 622 | ||||||
Kinder Morgan Inc | 31,998 | 560 | ||||||
Marathon Oil Corp | 10,359 | 248 | ||||||
Marathon Petroleum Corp | 7,537 | 1,016 | ||||||
Occidental Petroleum Corp | 12,215 | 763 | ||||||
ONEOK Inc | 7,206 | 458 | ||||||
Phillips 66 | 7,685 | 779 | ||||||
Pioneer Natural Resources Co | 3,968 | 810 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Schlumberger NV, Cl A | 23,578 | $ | 1,158 | |||||
Targa Resources Corp | 3,700 | 270 | ||||||
Valero Energy Corp | 6,474 | 904 | ||||||
Williams Cos Inc/The | 20,429 | 610 | ||||||
26,210 | ||||||||
Financials — 10.8% | ||||||||
Aflac Inc | 9,471 | 611 | ||||||
Allstate Corp/The | 4,290 | 475 | ||||||
American Express Co | 9,797 | 1,616 | ||||||
American International Group Inc | 12,469 | 628 | ||||||
Ameriprise Financial Inc | 1,723 | 528 | ||||||
Aon PLC, Cl A | 3,376 | 1,064 | ||||||
Arch Capital Group Ltd * | 5,925 | 402 | ||||||
Arthur J Gallagher & Co | 3,519 | 673 | ||||||
Assurant Inc | 943 | 113 | ||||||
Bank of America Corp | 115,500 | 3,303 | ||||||
Bank of New York Mellon Corp/The | 12,313 | 560 | ||||||
Berkshire Hathaway Inc, Cl B * | 29,780 | 9,195 | ||||||
BlackRock Inc | 2,461 | 1,647 | ||||||
Brown & Brown Inc | 3,839 | 220 | ||||||
Capital One Financial Corp | 6,398 | 615 | ||||||
Cboe Global Markets Inc | 1,727 | 232 | ||||||
Charles Schwab Corp/The | 25,316 | 1,326 | ||||||
Chubb Ltd | 6,893 | 1,339 | ||||||
Cincinnati Financial Corp | 2,503 | 281 | ||||||
Citigroup Inc | 32,220 | 1,511 | ||||||
Citizens Financial Group Inc | 8,108 | 246 | ||||||
CME Group Inc, Cl A | 5,972 | 1,144 | ||||||
Comerica Inc | 2,283 | 99 | ||||||
Discover Financial Services | 4,408 | 436 | ||||||
Everest Re Group Ltd | 673 | 241 | ||||||
Eversource Energy | 5,601 | 438 | ||||||
FactSet Research Systems Inc | 674 | 280 | ||||||
Fidelity National Information Services Inc, Cl B | 9,635 | 523 | ||||||
Fifth Third Bancorp | 11,019 | 294 | ||||||
First Republic Bank/CA * | 2,935 | 41 | ||||||
Fiserv Inc, Cl A * | 10,577 | 1,196 | ||||||
FleetCor Technologies Inc * | 1,244 | 262 | ||||||
Franklin Resources Inc | 5,343 | 144 | ||||||
Global Payments Inc | 4,359 | 459 | ||||||
Globe Life Inc | 1,600 | 176 | ||||||
Goldman Sachs Group Inc/The | 5,655 | 1,850 | ||||||
Hartford Financial Services Group Inc/The | 5,099 | 355 | ||||||
Huntington Bancshares Inc/OH | 23,662 | 265 | ||||||
Intercontinental Exchange Inc | 9,308 | 971 | ||||||
Invesco Ltd | 8,378 | 137 | ||||||
Jack Henry & Associates Inc | 1,150 | 173 | ||||||
JPMorgan Chase & Co | 48,498 | 6,320 | ||||||
KeyCorp | 14,812 | 185 | ||||||
Lincoln National Corp | 2,895 | 65 | ||||||
Loews Corp | 3,155 | 183 |
194
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
M&T Bank Corp | 2,776 | $ | 332 | |||||
MarketAxess Holdings Inc | 653 | 256 | ||||||
Marsh & McLennan Cos Inc | 8,215 | 1,368 | ||||||
Mastercard Inc, Cl A | 13,970 | 5,077 | ||||||
MetLife Inc | 11,011 | 638 | ||||||
Moody's Corp | 2,662 | 815 | ||||||
Morgan Stanley | 21,628 | 1,899 | ||||||
MSCI Inc, Cl A | 1,299 | 727 | ||||||
Nasdaq Inc, Cl A | 5,591 | 306 | ||||||
Northern Trust Corp | 3,322 | 293 | ||||||
PayPal Holdings Inc * | 18,959 | 1,440 | ||||||
PNC Financial Services Group Inc/The | 6,581 | 836 | ||||||
Principal Financial Group Inc, Cl A | 3,767 | 280 | ||||||
Progressive Corp/The | 9,768 | 1,397 | ||||||
Prudential Financial Inc | 5,960 | 493 | ||||||
Raymond James Financial Inc | 3,193 | 298 | ||||||
Regions Financial Corp | 14,934 | 277 | ||||||
S&P Global Inc | 5,461 | 1,883 | ||||||
Synchrony Financial | 7,144 | 208 | ||||||
T Rowe Price Group Inc | 3,589 | 405 | ||||||
Travelers Cos Inc/The | 3,904 | 669 | ||||||
Truist Financial Corp | 22,248 | 759 | ||||||
US Bancorp | 22,670 | 817 | ||||||
Visa Inc, Cl A | 26,918 | 6,069 | ||||||
W R Berkley Corp | 3,357 | 209 | ||||||
Wells Fargo & Co | 63,011 | 2,355 | ||||||
Willis Towers Watson PLC | 1,738 | 404 | ||||||
Zions Bancorp NA | 2,733 | 82 | ||||||
73,414 | ||||||||
Health Care — 11.8% | ||||||||
Abbott Laboratories | 28,853 | 2,922 | ||||||
AbbVie Inc | 29,292 | 4,668 | ||||||
Agilent Technologies Inc | 5,009 | 693 | ||||||
Align Technology Inc * | 1,198 | 400 | ||||||
AmerisourceBergen Corp, Cl A | 2,599 | 416 | ||||||
Amgen Inc, Cl A | 8,854 | 2,140 | ||||||
Baxter International Inc | 8,249 | 335 | ||||||
Becton Dickinson & Co | 4,758 | 1,178 | ||||||
Biogen Inc * | 2,436 | 677 | ||||||
Bio-Rad Laboratories Inc, Cl A * | 333 | 160 | ||||||
Bio-Techne Corp | 2,692 | 200 | ||||||
Boston Scientific Corp * | 23,984 | 1,200 | ||||||
Bristol-Myers Squibb Co | 35,310 | 2,447 | ||||||
Cardinal Health Inc | 4,323 | 326 | ||||||
Catalent Inc * | 2,977 | 196 | ||||||
Centene Corp * | 9,082 | 574 | ||||||
Charles River Laboratories International Inc * | 865 | 175 | ||||||
Cigna Group/The | 4,904 | 1,253 | ||||||
Cooper Cos Inc/The, Cl A | 766 | 286 | ||||||
CVS Health Corp | 21,247 | 1,579 | ||||||
Danaher Corp, Cl A | 10,862 | 2,738 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
DaVita Inc * | 915 | $ | 74 | |||||
DENTSPLY SIRONA Inc | 3,821 | 150 | ||||||
Dexcom Inc * | 6,466 | 751 | ||||||
Edwards Lifesciences Corp, Cl A * | 10,351 | 856 | ||||||
Elevance Health Inc | 3,916 | 1,801 | ||||||
Eli Lilly & Co | 13,074 | 4,490 | ||||||
GE HealthCare Technologies Inc * | 5,843 | 479 | ||||||
Gilead Sciences Inc | 20,655 | 1,714 | ||||||
HCA Healthcare Inc | 3,553 | 937 | ||||||
Henry Schein Inc * | 2,449 | 200 | ||||||
Hologic Inc * | 4,029 | 325 | ||||||
Humana Inc | 2,065 | 1,002 | ||||||
IDEXX Laboratories Inc * | 1,343 | 672 | ||||||
Illumina Inc * | 2,637 | 613 | ||||||
Incyte Corp * | 3,271 | 236 | ||||||
Insulet Corp * | 1,200 | 383 | ||||||
Intuitive Surgical Inc * | 5,782 | 1,477 | ||||||
IQVIA Holdings Inc * | 3,115 | 620 | ||||||
Johnson & Johnson | 43,252 | 6,704 | ||||||
Laboratory Corp of America Holdings | 1,453 | 333 | ||||||
McKesson Corp | 2,308 | 822 | ||||||
Medtronic PLC | 22,087 | 1,781 | ||||||
Merck & Co Inc | 41,911 | 4,459 | ||||||
Mettler-Toledo International Inc * | 360 | 551 | ||||||
Moderna Inc * | 5,581 | 857 | ||||||
Molina Healthcare Inc * | 960 | 257 | ||||||
Organon & Co | 4,792 | 113 | ||||||
PerkinElmer Inc | 2,083 | 278 | ||||||
Pfizer Inc | 92,922 | 3,791 | ||||||
Quest Diagnostics Inc | 1,796 | 254 | ||||||
Regeneron Pharmaceuticals Inc * | 1,751 | 1,439 | ||||||
ResMed Inc | 2,364 | 518 | ||||||
STERIS PLC | 1,674 | 320 | ||||||
Stryker Corp | 5,612 | 1,602 | ||||||
Teleflex Inc | 800 | 203 | ||||||
Thermo Fisher Scientific Inc | 6,449 | 3,717 | ||||||
UnitedHealth Group Inc | 15,487 | 7,319 | ||||||
Universal Health Services Inc, Cl B | 1,192 | 151 | ||||||
Vertex Pharmaceuticals Inc * | 4,295 | 1,353 | ||||||
Viatris Inc, Cl W | 19,783 | 190 | ||||||
Waters Corp * | 946 | 293 | ||||||
West Pharmaceutical Services Inc | 1,179 | 408 | ||||||
Zimmer Biomet Holdings Inc | 3,373 | 436 | ||||||
Zoetis Inc, Cl A | 7,717 | 1,284 | ||||||
80,776 | ||||||||
Industrials — 7.2% | ||||||||
3M Co | 9,217 | 969 | ||||||
A O Smith Corp | 2,310 | 160 | ||||||
Alaska Air Group Inc * | 2,214 | 93 | ||||||
Allegion plc | 1,433 | 153 | ||||||
American Airlines Group Inc * | 11,581 | 171 | ||||||
AMETEK Inc | 3,710 | 539 |
SEI Institutional Managed Trust
195
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Dynamic Asset Allocation Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Automatic Data Processing Inc | 6,892 | $ | 1,534 | |||||
Boeing Co/The * | 9,287 | 1,973 | ||||||
Broadridge Financial Solutions Inc | 1,934 | 283 | ||||||
Carrier Global Corp | 14,042 | 642 | ||||||
Caterpillar Inc, Cl A | 8,638 | 1,977 | ||||||
CH Robinson Worldwide Inc | 2,098 | 208 | ||||||
Cintas Corp | 1,398 | 647 | ||||||
Copart Inc * | 6,905 | 519 | ||||||
CoStar Group Inc * | 6,559 | 452 | ||||||
CSX Corp | 35,214 | 1,054 | ||||||
Cummins Inc | 2,380 | 569 | ||||||
Deere & Co | 4,502 | 1,859 | ||||||
Delta Air Lines Inc, Cl A * | 10,287 | 359 | ||||||
Dover Corp | 2,241 | 341 | ||||||
Eaton Corp PLC | 6,592 | 1,129 | ||||||
Emerson Electric Co | 9,420 | 821 | ||||||
Equifax Inc | 1,965 | 399 | ||||||
Expeditors International of Washington Inc | 2,592 | 285 | ||||||
Fastenal Co, Cl A | 9,231 | 498 | ||||||
FedEx Corp | 3,795 | 867 | ||||||
Fortive Corp | 5,670 | 387 | ||||||
Generac Holdings Inc * | 1,183 | 128 | ||||||
General Dynamics Corp | 3,764 | 859 | ||||||
General Electric Co | 18,182 | 1,738 | ||||||
Honeywell International Inc | 11,032 | 2,108 | ||||||
Howmet Aerospace Inc | 6,032 | 256 | ||||||
Huntington Ingalls Industries Inc, Cl A | 673 | 139 | ||||||
IDEX Corp | 1,248 | 288 | ||||||
Illinois Tool Works Inc | 4,663 | 1,135 | ||||||
Ingersoll Rand Inc | 6,479 | 377 | ||||||
Jacobs Solutions Inc | 2,032 | 239 | ||||||
JB Hunt Transport Services Inc | 1,387 | 243 | ||||||
Johnson Controls International PLC | 11,585 | 698 | ||||||
L3Harris Technologies Inc | 3,187 | 625 | ||||||
Leidos Holdings Inc | 2,204 | 203 | ||||||
Lockheed Martin Corp | 3,723 | 1,760 | ||||||
Masco Corp | 4,059 | 202 | ||||||
Nordson Corp | 963 | 214 | ||||||
Norfolk Southern Corp | 3,771 | 799 | ||||||
Northrop Grumman Corp | 2,361 | 1,090 | ||||||
Old Dominion Freight Line Inc, Cl A | 1,463 | 499 | ||||||
Otis Worldwide Corp | 7,035 | 594 | ||||||
PACCAR Inc | 8,750 | 641 | ||||||
Parker-Hannifin Corp, Cl A | 2,086 | 701 | ||||||
Paychex Inc | 5,391 | 618 | ||||||
Pentair PLC | 2,664 | 147 | ||||||
Quanta Services Inc | 2,283 | 380 | ||||||
Raytheon Technologies Corp | 24,231 | 2,373 | ||||||
Republic Services Inc | 3,298 | 446 | ||||||
Robert Half International Inc | 1,884 | 152 | ||||||
Rockwell Automation Inc | 1,955 | 574 | ||||||
Rollins Inc | 4,220 | 158 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Snap-on Inc | 918 | $ | 227 | |||||
Southwest Airlines Co, Cl A | 9,727 | 317 | ||||||
Stanley Black & Decker Inc | 2,399 | 193 | ||||||
Textron Inc | 3,686 | 260 | ||||||
Trane Technologies PLC | 3,837 | 706 | ||||||
TransDigm Group Inc * | 837 | 617 | ||||||
Union Pacific Corp | 10,085 | 2,030 | ||||||
United Airlines Holdings Inc * | 5,378 | 238 | ||||||
United Parcel Service Inc, Cl B | 12,076 | 2,343 | ||||||
United Rentals Inc | 1,118 | 442 | ||||||
Verisk Analytics Inc, Cl A | 2,515 | 483 | ||||||
Waste Management Inc | 6,087 | 993 | ||||||
Westinghouse Air Brake Technologies Corp | 2,962 | 299 | ||||||
WW Grainger Inc | 725 | 499 | ||||||
Xylem Inc/NY | 2,866 | 300 | ||||||
49,219 | ||||||||
Information Technology — 21.5% | ||||||||
Accenture PLC, Cl A | 10,453 | 2,988 | ||||||
Adobe Inc * | 7,538 | 2,905 | ||||||
Advanced Micro Devices Inc * | 26,658 | 2,613 | ||||||
Akamai Technologies Inc * | 2,563 | 201 | ||||||
Amphenol Corp, Cl A | 9,975 | 815 | ||||||
Analog Devices Inc | 8,420 | 1,661 | ||||||
ANSYS Inc * | 1,440 | 479 | ||||||
Apple Inc | 246,259 | 40,608 | ||||||
Applied Materials Inc | 13,892 | 1,706 | ||||||
Arista Networks Inc * | 4,100 | 688 | ||||||
Autodesk Inc, Cl A * | 3,610 | 751 | ||||||
Broadcom Inc | 6,961 | 4,466 | ||||||
Cadence Design Systems Inc * | 4,564 | 959 | ||||||
CDW Corp/DE | 2,178 | 424 | ||||||
Ceridian HCM Holding Inc * | 2,606 | 191 | ||||||
Cisco Systems Inc | 67,980 | 3,554 | ||||||
Cognizant Technology Solutions Corp, Cl A | 8,307 | 506 | ||||||
Corning Inc, Cl B | 12,234 | 432 | ||||||
DXC Technology Co * | 4,309 | 110 | ||||||
Enphase Energy Inc * | 2,188 | 460 | ||||||
EPAM Systems Inc * | 918 | 274 | ||||||
F5 Inc, Cl A * | 1,049 | 153 | ||||||
Fair Isaac Corp * | 400 | 281 | ||||||
First Solar Inc * | 1,600 | 348 | ||||||
Fortinet Inc * | 10,900 | 724 | ||||||
Gartner Inc * | 1,271 | 414 | ||||||
Gen Digital Inc | 10,309 | 177 | ||||||
Hewlett Packard Enterprise Co | 21,024 | 335 | ||||||
HP Inc | 14,221 | 417 | ||||||
Intel Corp | 68,562 | 2,240 | ||||||
International Business Machines Corp | 15,028 | 1,970 | ||||||
Intuit Inc | 4,622 | 2,061 | ||||||
Juniper Networks Inc | 5,854 | 202 | ||||||
Keysight Technologies Inc * | 2,887 | 466 | ||||||
KLA Corp | 2,310 | 922 |
196
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Lam Research Corp | 2,227 | $ | 1,181 | |||||
Microchip Technology Inc | 9,239 | 774 | ||||||
Micron Technology Inc | 18,244 | 1,101 | ||||||
Microsoft Corp | 123,206 | 35,520 | ||||||
Monolithic Power Systems Inc | 770 | 385 | ||||||
Motorola Solutions Inc | 2,814 | 805 | ||||||
NetApp Inc | 3,476 | 222 | ||||||
NVIDIA Corp | 40,718 | 11,310 | ||||||
ON Semiconductor Corp * | 7,299 | 601 | ||||||
Oracle Corp, Cl B | 25,517 | 2,371 | ||||||
Paycom Software Inc * | 787 | 239 | ||||||
PTC Inc * | 1,728 | 222 | ||||||
Qorvo Inc * | 1,631 | 166 | ||||||
QUALCOMM Inc | 18,403 | 2,348 | ||||||
Roper Technologies Inc | 1,723 | 759 | ||||||
Salesforce Inc * | 16,528 | 3,302 | ||||||
Seagate Technology Holdings PLC | 3,405 | 225 | ||||||
ServiceNow Inc * | 3,307 | 1,537 | ||||||
Skyworks Solutions Inc | 2,646 | 312 | ||||||
SolarEdge Technologies Inc * | 964 | 293 | ||||||
Synopsys Inc * | 2,491 | 962 | ||||||
Teledyne Technologies Inc * | 790 | 353 | ||||||
Teradyne Inc | 2,588 | 278 | ||||||
Texas Instruments Inc | 15,004 | 2,791 | ||||||
Trimble Inc * | 4,028 | 211 | ||||||
Tyler Technologies Inc * | 709 | 251 | ||||||
VeriSign Inc * | 1,512 | 320 | ||||||
Western Digital Corp * | 5,724 | 216 | ||||||
Zebra Technologies Corp, Cl A * | 877 | 279 | ||||||
146,835 | ||||||||
Materials — 2.2% | ||||||||
Air Products and Chemicals Inc | 3,719 | 1,068 | ||||||
Albemarle Corp | 1,890 | 418 | ||||||
Amcor PLC | 24,372 | 277 | ||||||
Avery Dennison Corp | 1,419 | 254 | ||||||
Ball Corp | 5,190 | 286 | ||||||
Celanese Corp, Cl A | 1,626 | 177 | ||||||
CF Industries Holdings Inc | 3,236 | 235 | ||||||
Corteva Inc | 12,004 | 724 | ||||||
Dow Inc | 11,817 | 648 | ||||||
DuPont de Nemours Inc | 7,545 | 542 | ||||||
Eastman Chemical Co | 2,110 | 178 | ||||||
Ecolab Inc | 4,110 | 680 | ||||||
FMC Corp | 2,062 | 252 | ||||||
Freeport-McMoRan Inc, Cl B | 23,912 | 978 | ||||||
International Flavors & Fragrances Inc | 4,082 | 375 | ||||||
International Paper Co | 5,808 | 209 | ||||||
Linde PLC | 8,120 | 2,886 | ||||||
LyondellBasell Industries NV, Cl A | 4,075 | 383 | ||||||
Martin Marietta Materials Inc, Cl A | 992 | 352 | ||||||
Mosaic Co/The | 5,556 | 255 | ||||||
Newmont Corp | 12,855 | 630 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Nucor Corp | 4,262 | $ | 658 | |||||
Packaging Corp of America | 1,635 | 227 | ||||||
PPG Industries Inc | 3,789 | 506 | ||||||
Sealed Air Corp | 2,657 | 122 | ||||||
Sherwin-Williams Co/The, Cl A | 3,941 | 886 | ||||||
Steel Dynamics Inc | 2,751 | 311 | ||||||
Vulcan Materials Co | 2,131 | 366 | ||||||
Westrock Co | 4,612 | 141 | ||||||
15,024 | ||||||||
Real Estate — 2.1% | ||||||||
Alexandria Real Estate Equities Inc ‡ | 2,395 | 301 | ||||||
American Tower Corp, Cl A ‡ | 7,727 | 1,579 | ||||||
AvalonBay Communities Inc ‡ | 2,245 | 377 | ||||||
Boston Properties Inc ‡ | 2,611 | 141 | ||||||
Camden Property Trust ‡ | 1,900 | 199 | ||||||
CBRE Group Inc, Cl A * | 5,083 | 370 | ||||||
Crown Castle Inc ‡ | 7,263 | 972 | ||||||
Digital Realty Trust Inc, Cl A ‡ | 4,641 | 456 | ||||||
Equinix Inc ‡ | 1,511 | 1,090 | ||||||
Equity Residential ‡ | 5,609 | 337 | ||||||
Essex Property Trust Inc ‡ | 1,115 | 233 | ||||||
Extra Space Storage Inc ‡ | 2,141 | 349 | ||||||
Federal Realty Investment Trust ‡ | 1,352 | 134 | ||||||
Healthpeak Properties Inc ‡ | 9,561 | 210 | ||||||
Host Hotels & Resorts Inc ‡ | 12,723 | 210 | ||||||
Invitation Homes Inc ‡ | 9,500 | 297 | ||||||
Iron Mountain Inc ‡ | 4,778 | 253 | ||||||
Kimco Realty Corp ‡ | 10,974 | 214 | ||||||
Mid-America Apartment Communities Inc ‡ | 1,839 | 278 | ||||||
Prologis Inc ‡ | 15,337 | 1,914 | ||||||
Public Storage ‡ | 2,669 | 806 | ||||||
Realty Income Corp ‡ | 10,474 | 663 | ||||||
Regency Centers Corp ‡ | 2,794 | 171 | ||||||
SBA Communications Corp, Cl A ‡ | 1,781 | 465 | ||||||
Simon Property Group Inc ‡ | 5,502 | 616 | ||||||
UDR Inc ‡ | 5,095 | 209 | ||||||
Ventas Inc ‡ | 6,537 | 283 | ||||||
VICI Properties Inc, Cl A ‡ | 16,856 | 550 | ||||||
Welltower Inc ‡ | 7,941 | 569 | ||||||
Weyerhaeuser Co ‡ | 11,805 | 356 | ||||||
14,602 | ||||||||
Utilities — 2.3% | ||||||||
AES Corp/The | 10,955 | 264 | ||||||
Alliant Energy Corp | 4,129 | 220 | ||||||
Ameren Corp | 4,129 | 357 | ||||||
American Electric Power Co Inc | 8,648 | 787 | ||||||
American Water Works Co Inc | 3,223 | 472 | ||||||
Atmos Energy Corp | 2,507 | 282 | ||||||
CenterPoint Energy Inc | 10,382 | 306 | ||||||
CMS Energy Corp | 4,787 | 294 | ||||||
Consolidated Edison Inc | 5,728 | 548 |
SEI Institutional Managed Trust
197
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Dynamic Asset Allocation Fund (Concluded)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Constellation Energy Corp | 5,260 | $ | 413 | |||||
Dominion Energy Inc | 13,948 | 780 | ||||||
DTE Energy Co | 3,095 | 339 | ||||||
Duke Energy Corp | 12,785 | 1,233 | ||||||
Edison International | 6,127 | 433 | ||||||
Entergy Corp | 3,247 | 350 | ||||||
Evergy Inc | 3,743 | 229 | ||||||
Exelon Corp | 16,609 | 696 | ||||||
FirstEnergy Corp | 8,673 | 347 | ||||||
NextEra Energy Inc | 33,021 | 2,545 | ||||||
NiSource Inc | 6,644 | 186 | ||||||
NRG Energy Inc | 4,296 | 147 | ||||||
PG&E Corp * | 25,827 | 418 | ||||||
Pinnacle West Capital Corp | 1,817 | 144 | ||||||
PPL Corp | 12,144 | 337 | ||||||
Public Service Enterprise Group Inc | 8,040 | 502 | ||||||
Sempra Energy | 5,311 | 803 | ||||||
Southern Co/The | 18,185 | 1,265 | ||||||
WEC Energy Group Inc | 5,079 | 481 | ||||||
Xcel Energy Inc | 8,859 | 597 | ||||||
15,775 | ||||||||
Total Common Stock | ||||||||
(Cost $273,732) ($ Thousands) | 566,727 | |||||||
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK — 0.2% | ||||||||
China — 0.1% | ||||||||
NXP Semiconductors NV | 4,315 | $ | 805 | |||||
Switzerland — 0.1% | ||||||||
TE Connectivity Ltd | 5,361 | 703 | ||||||
Total Foreign Common Stock | ||||||||
(Cost $1,213) ($ Thousands) | 1,508 | |||||||
CASH EQUIVALENT — 1.4% | ||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | ||||||||
4.570%**† | 9,276,290 | 9,276 | ||||||
Total Cash Equivalent | ||||||||
(Cost $9,276) ($ Thousands) | 9,276 | |||||||
Total Investments in Securities — 84.5% | ||||||||
(Cost $284,221) ($ Thousands) | $ | 577,511 | ||||||
A list of the open futures contracts held by the Fund at March 31, 2023 is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 Index E-MINI^ | 387 | Jun-2023 | $ | 75,917 | $ | 80,065 | $ | 4,148 |
A list of the open OTC swap agreements held by the Fund at March 31, 2023, 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^ | GSINFCI1M23 05/30/23 | 3 MONTH TREASURY BILL RATE + 7.5 BPS | POSITIVE INDEX RETURN | Quarterly | 5/30/2023 | USD | 48,097 | $ | (2,644 | ) | $ | – | $ | (2,644 | ) | |||||||||||||||||||||||||
GOLDMAN SACHS^ | PAYB +BCOMTR/0.075 | % | 3 MONTH TREASURY BILL RATE + 7.5 BPS | INDEX RETURN | Quarterly | 6/10/2023 | USD | 47,000 | 580 | – | 580 | |||||||||||||||||||||||||||||
$ | (2,064 | ) | $ | – | $ | (2,064 | ) |
A list of the open centrally cleared swap agreements held by the Fund at March 31, 2023, is as follows:
Interest Rate Swap | ||||||||||||||||||||||||||||||||
Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | ||||||||||||||||||||||||
2.659%^ | UNITED STATES CONSUMER PRICE INDEX (CPI) | Annually | 2/27/2033 | USD | 103,200 | $ | (36 | ) | $ | – | $ | (36 | ) |
198
SEI Institutional Managed Trust
| Percentages are based on Net Assets of $683,383 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2023. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
^ | Security is held by the Dynamic Commodity Strategy Subsidiary Ltd. as of March 31, 2023. |
The following is a summary of the level of inputs used as of March 31, 2023, 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 | 566,727 | – | – | 566,727 | ||||||||||||
Foreign Common Stock | 1,508 | – | – | 1,508 | ||||||||||||
Cash Equivalent | 9,276 | – | – | 9,276 | ||||||||||||
Total Investments in Securities | 577,511 | – | – | 577,511 |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 4,148 | – | – | 4,148 | ||||||||||||
OTC Swaps | ||||||||||||||||
Total Return Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 580 | – | 580 | ||||||||||||
Unrealized Depreciation | – | (2,644 | ) | – | (2,644 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Depreciation | – | (36 | ) | – | (36 | ) | ||||||||||
Total Other Financial Instruments | 4,148 | (2,100 | ) | – | 2,048 |
* | 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 period ended March 31, 2023 ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 3/31/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | $ | 6,875 | $ | 41,749 | $ | (39,348 | ) | $ | — | $ | — | $ | 9,276 | $ | 122 | $ | — |
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
199
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 — 20.9% | ||||||||
Communication Services — 0.5% | ||||||||
Clear Channel Outdoor Holdings Inc, Cl A * | 17,350 | $ | 21 | |||||
Live Nation Entertainment Inc * | 9,166 | 642 | ||||||
Pinterest Inc, Cl A * | 11,623 | 317 | ||||||
Take-Two Interactive Software Inc, Cl A * | 5,584 | 666 | ||||||
United States Cellular Corp * | 2,301 | 48 | ||||||
Urban One | 8,259 | 45 | ||||||
Urban One, Cl A | 6,442 | 49 | ||||||
WideOpenWest Inc * | 3,977 | 42 | ||||||
Windstream Services *(A) | 5,206 | 45 | ||||||
1,875 | ||||||||
Consumer Discretionary — 1.8% | ||||||||
ADT Inc | 1,613 | 12 | ||||||
American Eagle Outfitters Inc | 71,568 | 962 | ||||||
Capri Holdings Ltd * | 1,449 | 68 | ||||||
Crocs Inc * | 483 | 61 | ||||||
Dave & Buster's Entertainment Inc * | 43,014 | 1,583 | ||||||
Everi Holdings Inc * | 8,336 | 143 | ||||||
Full House Resorts * | 36,025 | 260 | ||||||
Golden Entertainment Inc * | 1,421 | 62 | ||||||
Guitar Center *(A)(B) | 2,167 | 399 | ||||||
iRobot * | 204 | 9 | ||||||
Monitronics International Inc *(A) | 18,437 | 56 | ||||||
PlayAGS Inc * | 15,463 | 111 | ||||||
RH * | 2,621 | 638 | ||||||
TravelCenters of America Inc * | 605 | 52 | ||||||
Ulta Beauty Inc * | 1,207 | 659 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Vail Resorts Inc | 8,247 | $ | 1,927 | |||||
7,002 | ||||||||
Consumer Staples — 0.5% | ||||||||
Dollar General Corp | 1,057 | 222 | ||||||
Keurig Dr Pepper Inc | 35,762 | 1,262 | ||||||
United Natural Foods Inc * | 14,807 | 390 | ||||||
1,874 | ||||||||
Energy — 1.6% | ||||||||
APA Corp | 18,416 | 664 | ||||||
Comstock Resources Inc | 15,061 | 163 | ||||||
Diamondback Energy Inc, Cl A | 13,452 | 1,818 | ||||||
OKEA | 39,879 | 120 | ||||||
Parker Drilling Co *(A)(B) | 4,414 | 49 | ||||||
RPC Inc | 194,722 | 1,497 | ||||||
Seadrill * | 14,652 | 589 | ||||||
Transocean Ltd * | 98,467 | 626 | ||||||
Valaris * | 4,755 | 309 | ||||||
5,835 | ||||||||
Financials — 2.8% | ||||||||
Broadmark Realty Capital ‡ | 12,267 | 58 | ||||||
Capital One Financial Corp | 6,682 | 642 | ||||||
Evercore Inc, Cl A | 16,120 | 1,860 | ||||||
Fidelity National Information Services Inc, Cl B | 23,108 | 1,256 | ||||||
Focus Financial Partners Inc, Cl A * | 23,952 | 1,242 | ||||||
Goldman Sachs Group Inc/The | 5,841 | 1,911 | ||||||
KKR & Co Inc | 12,118 | 636 | ||||||
MoneyGram International Inc * | 106,195 | 1,107 | ||||||
Penney Borrower LLC *(A) | 3,070 | 16 | ||||||
Robinhood Markets Inc, Cl A * | 167,136 | 1,623 | ||||||
Stifel Financial Corp | 12,799 | 756 | ||||||
11,107 | ||||||||
Health Care — 1.7% | ||||||||
Carestream Health Holdings Inc *(A) | 5,876 | 114 | ||||||
Catalent Inc * | 981 | 64 | ||||||
CVS Health Corp | 31,251 | 2,322 | ||||||
Horizon Therapeutics Plc * | 33,183 | 3,622 | ||||||
Oak Street Health Inc * | 4,689 | 181 | ||||||
Provention Bio Inc * | 18,372 | 443 | ||||||
6,746 | ||||||||
Industrials — 2.3% | ||||||||
Dycom Industries Inc * | 13,087 | 1,226 | ||||||
KBR Inc | 9,020 | 497 | ||||||
Maxar Technologies Inc | 54,569 | 2,786 | ||||||
Spirit AeroSystems Holdings Inc, Cl A | 72,379 | 2,499 | ||||||
Spirit Airlines Inc | 488 | 8 | ||||||
Stanley Black & Decker Inc | 8,353 | 673 | ||||||
Univar Solutions Inc * | 38,402 | 1,345 | ||||||
9,034 |
200
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Information Technology — 4.3% | ||||||||
Aquity Holdings Inc *(A) | 3,945 | $ | 43 | |||||
Black Knight Inc * | 49,944 | 2,875 | ||||||
Cirrus Logic Inc * | 9,602 | 1,050 | ||||||
CommScope Holding Co Inc * | 3,866 | 25 | ||||||
Entegris Inc | 21,959 | 1,801 | ||||||
Everbridge Inc * | 19,046 | 660 | ||||||
Gitlab, Cl A * | 18,652 | 640 | ||||||
New Relic Inc * | 17,671 | 1,330 | ||||||
SentinelOne Inc, Cl A * | 38,705 | 633 | ||||||
Twilio Inc, Cl A * | 9,898 | 659 | ||||||
Vishay Intertechnology Inc (K) | 112,843 | 2,553 | ||||||
VMware Inc, Cl A * | 7,008 | 875 | ||||||
Vontier Corp | 47,925 | 1,310 | ||||||
Zoom Video Communications Inc, Cl A * | 33,627 | 2,483 | ||||||
16,937 | ||||||||
Materials — 3.3% | ||||||||
Alcoa Corp (K) | 50,188 | 2,136 | ||||||
Arctic Canadian Diamond Company Ltd *(A) | 228 | 85 | ||||||
Century Aluminum Co * | 250,174 | 2,502 | ||||||
Constellium, Cl A * | 132,760 | 2,028 | ||||||
Freeport-McMoRan Inc, Cl B (K) | 60,325 | 2,468 | ||||||
Hudbay Minerals (K) | 185,258 | 973 | ||||||
Libbey Glass Inc. *(A) | 1,227 | 12 | ||||||
Lynas Rare Earths * | 199,273 | 850 | ||||||
Olin Corp | 32,962 | 1,829 | ||||||
12,883 | ||||||||
Real Estate — 1.8% | ||||||||
Copper Property Pass-Through Certificates *(A) | 18,673 | 198 | ||||||
Hudson Pacific Properties Inc ‡ | 20,173 | 134 | ||||||
Kimco Realty Corp ‡ | 133,942 | 2,616 | ||||||
Park Hotels & Resorts Inc ‡ | 78,246 | 967 | ||||||
Regency Centers Corp ‡ | 10,886 | 666 | ||||||
Sabra Health Care REIT Inc ‡ | 219,893 | 2,529 | ||||||
7,110 | ||||||||
Utilities — 0.3% | ||||||||
Lumileds Common Bright Bidco * | 964 | 12 | ||||||
PNM Resources Inc | 23,446 | 1,141 | ||||||
1,153 | ||||||||
Total Common Stock | ||||||||
(Cost $79,755) ($ Thousands) | 81,556 | |||||||
Face Amount | ||||||||
CORPORATE OBLIGATIONS — 17.7% | ||||||||
Communication Services — 1.6% | ||||||||
Altice France | ||||||||
5.500%, 10/15/2029 (C) | $ | 310 | 237 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Altice France Holding | ||||||||
10.500%, 05/15/2027 (C) | $ | 95 | $ | 72 | ||||
AMC Entertainment Holdings | ||||||||
6.125%, 05/15/2027 | 55 | 21 | ||||||
Audacy Capital | ||||||||
6.750%, 03/31/2029 (C) | 335 | 24 | ||||||
6.500%, 05/01/2027 (C) | 220 | 16 | ||||||
Beasley Mezzanine Holdings | ||||||||
8.625%, 02/01/2026 (C) | 605 | 400 | ||||||
CCO Holdings | ||||||||
7.375%, 03/01/2031 (C) | 465 | 458 | ||||||
6.375%, 09/01/2029 (C) | 287 | 274 | ||||||
5.375%, 06/01/2029 (C) | 75 | 69 | ||||||
4.500%, 08/15/2030 (C) | 150 | 127 | ||||||
4.250%, 02/01/2031 (C) | 125 | 102 | ||||||
4.250%, 01/15/2034 (C) | 65 | 51 | ||||||
Charter Communications Operating | ||||||||
4.400%, 12/01/2061 | 40 | 27 | ||||||
3.950%, 06/30/2062 | 155 | 98 | ||||||
3.900%, 06/01/2052 | 100 | 66 | ||||||
3.700%, 04/01/2051 | 120 | 77 | ||||||
Clear Channel International | ||||||||
6.625%, 08/01/2025 (C) | 376 | 366 | ||||||
Comcast | ||||||||
2.987%, 11/01/2063 | 405 | 263 | ||||||
2.937%, 11/01/2056 | 295 | 196 | ||||||
DISH DBS | ||||||||
7.750%, 07/01/2026 | 275 | 181 | ||||||
7.375%, 07/01/2028 | 185 | 105 | ||||||
5.750%, 12/01/2028 (C) | 320 | 239 | ||||||
5.250%, 12/01/2026 (C) | 25 | 20 | ||||||
5.125%, 06/01/2029 | 145 | 77 | ||||||
Gray Escrow II | ||||||||
5.375%, 11/15/2031 (C) | 400 | 266 | ||||||
Level 3 Financing | ||||||||
10.500%, 05/15/2030 (C) | 151 | 145 | ||||||
4.250%, 07/01/2028 (C) | 75 | 42 | ||||||
Lumen Technologies | ||||||||
4.000%, 02/15/2027 (C) | 280 | 185 | ||||||
Spanish Broadcasting System | ||||||||
9.750%, 03/01/2026 (C) | 375 | 254 | ||||||
Stagwell Global | ||||||||
5.625%, 08/15/2029 (C) | 437 | 383 | ||||||
T-Mobile USA | ||||||||
3.500%, 04/15/2031 | 210 | 189 | ||||||
3.375%, 04/15/2029 | 65 | 59 | ||||||
Urban One | ||||||||
7.375%, 02/01/2028 (C) | 844 | 767 | ||||||
Verizon Communications | ||||||||
3.000%, 11/20/2060 | 20 | 13 | ||||||
2.987%, 10/30/2056 | 240 | 156 |
SEI Institutional Managed Trust
201
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Strategy Alternative Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Vmed O2 UK Financing I | ||||||||
4.250%, 01/31/2031 (C) | $ | 230 | $ | 196 | ||||
VTR Comunicaciones | ||||||||
5.125%, 01/15/2028 (C) | 200 | 123 | ||||||
Windstream Escrow | ||||||||
7.750%, 08/15/2028 (C) | 405 | 332 | ||||||
6,676 | ||||||||
Consumer Discretionary — 4.0% | ||||||||
1011778 BC ULC | ||||||||
4.375%, 01/15/2028 (C) | 260 | 240 | ||||||
4.000%, 10/15/2030 (C) | 197 | 169 | ||||||
Abercrombie & Fitch Management | ||||||||
8.750%, 07/15/2025 (C) | 135 | 136 | ||||||
Academy | ||||||||
6.000%, 11/15/2027 (C) | 252 | 246 | ||||||
Adient Global Holdings Ltd | ||||||||
7.000%, 04/15/2028 (C) | 37 | 38 | ||||||
4.875%, 08/15/2026 (C) | 86 | 83 | ||||||
Altice Financing | ||||||||
5.750%, 08/15/2029 (C) | 225 | 179 | ||||||
American Greetings | ||||||||
8.750%, 04/15/2025 (C) | 225 | 222 | ||||||
Aramark Services | ||||||||
6.375%, 05/01/2025 (C) | 306 | 308 | ||||||
At Home Group | ||||||||
4.875%, 07/15/2028 (C) | 125 | 85 | ||||||
Bath & Body Works | ||||||||
7.600%, 07/15/2037 | 5 | 4 | ||||||
6.750%, 07/01/2036 | 175 | 156 | ||||||
6.625%, 10/01/2030 (C) | 60 | 58 | ||||||
Bloomin' Brands | ||||||||
5.125%, 04/15/2029 (C) | 220 | 197 | ||||||
Caesars Entertainment | ||||||||
8.125%, 07/01/2027 (C) | 269 | 274 | ||||||
6.250%, 07/01/2025 (C) | 1,390 | 1,390 | ||||||
Caesars Resort Collection | ||||||||
5.750%, 07/01/2025 (C) | 851 | 851 | ||||||
Carnival | ||||||||
10.500%, 02/01/2026 (C) | 95 | 99 | ||||||
9.875%, 08/01/2027 (C) | 270 | 278 | ||||||
5.750%, 03/01/2027 (C) | 15 | 12 | ||||||
4.000%, 08/01/2028 (C) | 45 | 39 | ||||||
CEC Entertainment | ||||||||
6.750%, 05/01/2026 (C) | 375 | 356 | ||||||
Clarios Global | ||||||||
6.750%, 05/15/2025 (C) | 293 | 296 | ||||||
CMG Media | ||||||||
8.875%, 12/15/2027 (C) | 540 | 408 | ||||||
CSC Holdings | ||||||||
7.500%, 04/01/2028 (C) | 100 | 64 | ||||||
5.750%, 01/15/2030 (C) | 90 | 47 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Dave & Buster's | ||||||||
7.625%, 11/01/2025 (C) | $ | 241 | $ | 246 | ||||
Diamond Sports Group | ||||||||
6.625%, 08/15/2027 (C)(D) | 312 | 4 | ||||||
5.375%, 08/15/2026 (C)(D) | 480 | 26 | ||||||
DirecTV Financing | ||||||||
5.875%, 08/15/2027 (C) | 80 | 72 | ||||||
Empire Resorts | ||||||||
7.750%, 11/01/2026 (C) | 510 | 420 | ||||||
Fertitta Entertainment | ||||||||
6.750%, 01/15/2030 (C) | 187 | 154 | ||||||
Ford Motor Credit | ||||||||
7.350%, 03/06/2030 | 145 | 149 | ||||||
5.113%, 05/03/2029 | 55 | 52 | ||||||
4.271%, 01/09/2027 | 30 | 28 | ||||||
3.815%, 11/02/2027 | 315 | 282 | ||||||
2.900%, 02/16/2028 | 110 | 95 | ||||||
2.900%, 02/10/2029 | 70 | 58 | ||||||
Golden Entertainment | ||||||||
7.625%, 04/15/2026 (C) | 860 | 867 | ||||||
Hyatt Hotels | ||||||||
1.800%, 10/01/2024 | 1,008 | 954 | ||||||
Jacobs Entertainment | ||||||||
6.750%, 02/15/2029 (C) | 375 | 328 | ||||||
Las Vegas Sands | ||||||||
3.200%, 08/08/2024 | 1,112 | 1,076 | ||||||
2.900%, 06/25/2025 | 45 | 43 | ||||||
Liberty Interactive | ||||||||
8.250%, 02/01/2030 | 605 | 149 | ||||||
Macy's Retail Holdings | ||||||||
6.125%, 03/15/2032 (C) | 94 | 83 | ||||||
4.500%, 12/15/2034 | 255 | 186 | ||||||
McGraw-Hill Education | ||||||||
5.750%, 08/01/2028 (C) | 200 | 174 | ||||||
MGM Resorts International | ||||||||
5.750%, 06/15/2025 | 291 | 290 | ||||||
Midwest Gaming Borrower | ||||||||
4.875%, 05/01/2029 (C) | 84 | 73 | ||||||
NCL | ||||||||
8.375%, 02/01/2028 (C) | 90 | 90 | ||||||
7.750%, 02/15/2029 (C) | 90 | 77 | ||||||
5.875%, 03/15/2026 (C) | 773 | 658 | ||||||
5.875%, 02/15/2027 (C) | 110 | 103 | ||||||
PetSmart | ||||||||
7.750%, 02/15/2029 (C) | 182 | 179 | ||||||
QVC | ||||||||
4.750%, 02/15/2027 | 135 | 57 | ||||||
4.375%, 09/01/2028 | 95 | 38 | ||||||
Royal Caribbean Cruises | ||||||||
11.625%, 08/15/2027 (C) | 105 | 113 | ||||||
5.500%, 08/31/2026 (C) | 160 | 150 |
202
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
StoneMor | ||||||||
8.500%, 05/15/2029 (C) | $ | 335 | $ | 258 | ||||
Sugarhouse HSP Gaming Prop Mezz | ||||||||
5.875%, 05/15/2025 (C) | 155 | 148 | ||||||
VZ Secured Financing BV | ||||||||
5.000%, 01/15/2032 (C) | 145 | 118 | ||||||
WW International | ||||||||
4.500%, 04/15/2029 (C) | 265 | 142 | ||||||
Wynn Las Vegas | ||||||||
5.500%, 03/01/2025 (C) | 824 | 809 | ||||||
Yum! Brands | ||||||||
5.375%, 04/01/2032 | 160 | 155 | ||||||
3.625%, 03/15/2031 | 45 | 40 | ||||||
15,179 | ||||||||
Consumer Staples — 0.9% | ||||||||
Albertsons | ||||||||
7.500%, 03/15/2026 (C) | 1,452 | 1,490 | ||||||
B&G Foods | ||||||||
5.250%, 04/01/2025 | 344 | 320 | ||||||
Coca-Cola | ||||||||
2.750%, 06/01/2060 | 72 | 51 | ||||||
2.500%, 06/01/2040 | 145 | 111 | ||||||
New Albertsons | ||||||||
8.700%, 05/01/2030 | 235 | 247 | ||||||
8.000%, 05/01/2031 | 60 | 61 | ||||||
Rite Aid | ||||||||
7.500%, 07/01/2025 (C) | 50 | 30 | ||||||
US Foods | ||||||||
6.250%, 04/15/2025 (C) | 898 | 906 | ||||||
Vector Group | ||||||||
5.750%, 02/01/2029 (C) | 305 | 271 | ||||||
3,487 | ||||||||
Energy — 2.5% | ||||||||
Ascent Resources Utica Holdings | ||||||||
8.250%, 12/31/2028 (C) | 330 | 319 | ||||||
Carrizo Oil & Gas | ||||||||
8.250%, 07/15/2025 | 200 | 199 | ||||||
Chesapeake Energy (Escrow Security) | ||||||||
0.000%, 12/31/2049 (A)(E) | 225 | 4 | ||||||
Earthstone Energy Holdings | ||||||||
8.000%, 04/15/2027 (C) | 210 | 204 | ||||||
EnLink Midstream | ||||||||
6.500%, 09/01/2030 (C) | 25 | 25 | ||||||
5.625%, 01/15/2028 (C) | 80 | 79 | ||||||
5.375%, 06/01/2029 | 230 | 221 | ||||||
EnLink Midstream Partners | ||||||||
8.976%, ICE LIBOR USD 3 Month + 4.110%(F)(G) | 208 | 179 | ||||||
Genesis Energy | ||||||||
8.875%, 04/15/2030 | 25 | 25 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
8.000%, 01/15/2027 | $ | 245 | $ | 242 | ||||
7.750%, 02/01/2028 | 160 | 155 | ||||||
Greenfire Resources | ||||||||
12.000%, 08/15/2025 (C) | 189 | 200 | ||||||
Greensaif Pipelines Bidco Sarl | ||||||||
6.510%, 02/23/2042 (C) | 705 | 742 | ||||||
6.129%, 02/23/2038 (C) | 1,381 | 1,421 | ||||||
KazMunayGas National JSC MTN | ||||||||
5.375%, 04/24/2030 | 750 | 669 | ||||||
NGL Energy Operating | ||||||||
7.500%, 02/01/2026 (C) | 25 | 24 | ||||||
NGL Energy Partners | ||||||||
7.500%, 04/15/2026 | 405 | 350 | ||||||
6.125%, 03/01/2025 | 145 | 130 | ||||||
Northern Oil and Gas | ||||||||
8.125%, 03/01/2028 (C) | 200 | 198 | ||||||
Occidental Petroleum | ||||||||
6.125%, 01/01/2031 | 360 | 374 | ||||||
4.625%, 06/15/2045 | 120 | 96 | ||||||
4.500%, 07/15/2044 | 10 | 8 | ||||||
4.400%, 04/15/2046 | 10 | 8 | ||||||
PBF Holding | ||||||||
6.000%, 02/15/2028 | 444 | 427 | ||||||
Petroleos Mexicanos | ||||||||
6.500%, 03/13/2027 | 1,006 | 915 | ||||||
Petroleos Mexicanos MTN | ||||||||
6.750%, 09/21/2047 | 1,463 | 951 | ||||||
Rockcliff Energy II | ||||||||
5.500%, 10/15/2029 (C) | 444 | 394 | ||||||
SM Energy | ||||||||
5.625%, 06/01/2025 | 629 | 610 | ||||||
Strathcona Resources | ||||||||
6.875%, 08/01/2026 (C) | 460 | 366 | ||||||
Transocean | ||||||||
11.500%, 01/30/2027 (C) | 185 | 191 | ||||||
8.750%, 02/15/2030 (C) | 65 | 66 | ||||||
8.000%, 02/01/2027 (C) | 130 | 117 | ||||||
6.800%, 03/15/2038 | 175 | 121 | ||||||
Transocean Titan Financing | ||||||||
8.375%, 02/01/2028 (C) | 70 | 72 | ||||||
10,102 | ||||||||
Financials — 0.8% | ||||||||
AG Issuer | ||||||||
6.250%, 03/01/2028 (C) | 180 | 162 | ||||||
Armor Holdco | ||||||||
8.500%, 11/15/2029 (C) | 290 | 236 | ||||||
Finance of America Funding | ||||||||
7.875%, 11/15/2025 (C) | 475 | 338 | ||||||
Freedom Mortgage | ||||||||
8.250%, 04/15/2025 (C) | 398 | 368 | ||||||
6.625%, 01/15/2027 (C) | 230 | 177 |
SEI Institutional Managed Trust
203
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Strategy Alternative Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Home Point Capital | ||||||||
5.000%, 02/01/2026 (C) | $ | 375 | $ | 281 | ||||
LD Holdings Group | ||||||||
6.500%, 11/01/2025 (C) | 360 | 227 | ||||||
6.125%, 04/01/2028 (C) | 200 | 93 | ||||||
Novo Banco MTN | ||||||||
3.500%, 01/02/2043 | EUR | 20 | 16 | |||||
3.500%, 01/23/2043 | 280 | 219 | ||||||
PennyMac Financial Services | ||||||||
5.750%, 09/15/2031 (C) | $ | 40 | 32 | |||||
4.250%, 02/15/2029 (C) | 340 | 271 | ||||||
VistaJet Malta Finance | ||||||||
6.375%, 02/01/2030 (C) | 265 | 236 | ||||||
WeWork | ||||||||
7.875%, 05/01/2025 (C) | 480 | 265 | ||||||
2,921 | ||||||||
Health Care — 1.0% | ||||||||
Akumin | ||||||||
7.000%, 11/01/2025 (C) | 520 | 410 | ||||||
Akumin Escrow | ||||||||
7.500%, 08/01/2028 (C) | 285 | 199 | ||||||
APX Group | ||||||||
5.750%, 07/15/2029 (C) | 396 | 354 | ||||||
Bausch Health | ||||||||
6.250%, 02/15/2029 (C) | 235 | 94 | ||||||
5.250%, 01/30/2030 (C) | 155 | 58 | ||||||
5.000%, 02/15/2029 (C) | 55 | 22 | ||||||
4.875%, 06/01/2028 (C) | 35 | 21 | ||||||
Bristol-Myers Squibb | ||||||||
2.550%, 11/13/2050 | 250 | 167 | ||||||
Centene | ||||||||
2.625%, 08/01/2031 | 145 | 117 | ||||||
2.500%, 03/01/2031 | 215 | 174 | ||||||
CHS | ||||||||
6.000%, 01/15/2029 (C) | 179 | 151 | ||||||
5.625%, 03/15/2027 (C) | 225 | 198 | ||||||
Embecta | ||||||||
6.750%, 02/15/2030 (C) | 165 | 150 | ||||||
Endo DAC | ||||||||
9.500%, 07/31/2027 (C)(D) | 194 | 15 | ||||||
6.000%, 06/30/2028 (C)(D) | 193 | 14 | ||||||
5.875%, 10/15/2024 (C)(D) | 85 | 63 | ||||||
Endo Luxembourg Finance I Sarl | ||||||||
6.125%, 04/01/2029 (C)(D) | 25 | 18 | ||||||
Envision Healthcare | ||||||||
8.750%, 10/15/2026 (C) | 145 | 27 | ||||||
Jazz Securities DAC | ||||||||
4.375%, 01/15/2029 (C) | 402 | 370 | ||||||
Lannett | ||||||||
7.750%, 04/15/2026 (C) | 550 | 91 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Medline Borrower | ||||||||
3.875%, 04/01/2029 (C) | $ | 210 | $ | 182 | ||||
Molina Healthcare | ||||||||
4.375%, 06/15/2028 (C) | 200 | 186 | ||||||
Owens & Minor | ||||||||
6.625%, 04/01/2030 (C) | 213 | 183 | ||||||
Par Pharmaceutical | ||||||||
7.500%, 04/01/2027 (C)(D) | 80 | 60 | ||||||
Prime Security Services Borrower | ||||||||
5.250%, 04/15/2024 (C) | 294 | 291 | ||||||
RP Escrow Issuer | ||||||||
5.250%, 12/15/2025 (C) | 105 | 80 | ||||||
Tenet Healthcare | ||||||||
6.125%, 06/15/2030 (C) | 150 | 148 | ||||||
3,843 | ||||||||
Industrials — 2.9% | ||||||||
ADT | ||||||||
4.125%, 06/15/2023 | 7 | 7 | ||||||
American Airlines | ||||||||
11.750%, 07/15/2025 (C) | 1,781 | 1,948 | ||||||
5.750%, 04/20/2029 (C) | 80 | 77 | ||||||
Avianca Midco 2 | ||||||||
9.000%, 12/01/2028 (C) | 368 | 302 | ||||||
Bombardier | ||||||||
7.875%, 04/15/2027 (C) | 231 | 234 | ||||||
Builders FirstSource | ||||||||
4.250%, 02/01/2032 (C) | 240 | 209 | ||||||
Camelot Return Merger Sub | ||||||||
8.750%, 08/01/2028 (C) | 331 | 307 | ||||||
Delta Air Lines | ||||||||
7.000%, 05/01/2025 (C) | 714 | 732 | ||||||
2.900%, 10/28/2024 | 467 | 447 | ||||||
GFL Environmental | ||||||||
4.250%, 06/01/2025 (C) | 237 | 231 | ||||||
3.750%, 08/01/2025 (C) | 326 | 313 | ||||||
JELD-WEN | ||||||||
4.875%, 12/15/2027 (C) | 271 | 231 | ||||||
Monitronics International (Escrow Security) | ||||||||
9.125%, 04/01/2020 (A)(D) | 495 | – | ||||||
Neptune Bidco US | ||||||||
9.290%, 04/15/2029 (C) | 685 | 635 | ||||||
Pitney Bowes | ||||||||
7.250%, 03/15/2029 (C) | 220 | 164 | ||||||
6.875%, 03/15/2027 (C) | 30 | 24 | ||||||
Prime Security Services Borrower | ||||||||
5.750%, 04/15/2026 (C) | 224 | 222 | ||||||
Raytheon Technologies | ||||||||
3.030%, 03/15/2052 | 130 | 94 | ||||||
2.820%, 09/01/2051 | 185 | 128 | ||||||
Spirit Loyalty Cayman | ||||||||
8.000%, 09/20/2025 (C) | 503 | 504 |
204
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Team Health Holdings | ||||||||
6.375%, 02/01/2025 (C) | $ | 110 | $ | 66 | ||||
TransDigm | ||||||||
8.000%, 12/15/2025 (C) | 725 | 739 | ||||||
6.750%, 08/15/2028 (C) | 393 | 397 | ||||||
6.250%, 03/15/2026 (C) | 908 | 909 | ||||||
Transnet SOC | ||||||||
8.250%, 02/06/2028 (C) | 1,753 | 1,744 | ||||||
Tutor Perini | ||||||||
6.875%, 05/01/2025 (C) | 175 | 123 | ||||||
United Airlines | ||||||||
4.625%, 04/15/2029 (C) | 115 | 104 | ||||||
4.375%, 04/15/2026 (C) | 115 | 110 | ||||||
Western Global Airlines | ||||||||
10.375%, 08/15/2025 (C) | 90 | 37 | ||||||
11,038 | ||||||||
Information Technology — 0.5% | ||||||||
Apple | ||||||||
2.700%, 08/05/2051 | 40 | 28 | ||||||
2.650%, 05/11/2050 | 455 | 321 | ||||||
2.650%, 02/08/2051 | 75 | 52 | ||||||
2.375%, 02/08/2041 | 45 | 34 | ||||||
Avaya | ||||||||
6.125%, 09/15/2028 (C)(D) | 380 | 36 | ||||||
Boxer Parent | ||||||||
9.125%, 03/01/2026 (C) | 238 | 231 | ||||||
Castle US Holding | ||||||||
9.500%, 02/15/2028 (C) | 170 | 69 | ||||||
CDW | ||||||||
5.500%, 12/01/2024 | 24 | 24 | ||||||
CommScope | ||||||||
8.250%, 03/01/2027 (C) | 225 | 184 | ||||||
7.125%, 07/01/2028 (C) | 290 | 214 | ||||||
6.000%, 03/01/2026 (C) | 150 | 145 | ||||||
CommScope Technologies | ||||||||
6.000%, 06/15/2025 (C) | 36 | 34 | ||||||
5.000%, 03/15/2027 (C) | 35 | 26 | ||||||
Endurance International Group Holdings | ||||||||
6.000%, 02/15/2029 (C) | 187 | 126 | ||||||
Intel | ||||||||
3.200%, 08/12/2061 | 205 | 136 | ||||||
3.100%, 02/15/2060 | 60 | 39 | ||||||
Presidio Holdings | ||||||||
8.250%, 02/01/2028 (C) | 300 | 285 | ||||||
Virtusa | ||||||||
7.125%, 12/15/2028 (C) | 219 | 172 | ||||||
2,156 | ||||||||
Materials — 1.4% | ||||||||
Axalta Coating Systems | ||||||||
3.375%, 02/15/2029 (C) | 280 | 240 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Baffinland Iron Mines | ||||||||
8.750%, 07/15/2026 (C) | $ | 465 | $ | 444 | ||||
CEMEX Materials | ||||||||
7.700%, 07/21/2025 (C) | 265 | 266 | ||||||
Cornerstone Chemical | ||||||||
10.250%cash/0% PIK, 09/01/2027 (C) | 1,155 | 1,039 | ||||||
Domtar | ||||||||
6.750%, 10/01/2028 (C) | 435 | 387 | ||||||
FMG Resources August 2006 Pty | ||||||||
5.125%, 05/15/2024 (C) | 491 | 486 | ||||||
Innophos Holdings | ||||||||
9.375%, 02/15/2028 (C) | 210 | 215 | ||||||
Iris Holdings | ||||||||
8.750%cash/0% PIK, 02/15/2026 (C) | 5 | 5 | ||||||
LSB Industries | ||||||||
6.250%, 10/15/2028 (C) | 329 | 293 | ||||||
Mineral Resources | ||||||||
8.125%, 05/01/2027 (C) | 105 | 107 | ||||||
Mineral Resources MTN | ||||||||
8.500%, 05/01/2030 (C) | 165 | 169 | ||||||
8.000%, 11/01/2027 (C) | 35 | 36 | ||||||
Mountain Province Diamonds | ||||||||
9.000%, 12/15/2025 (C) | 245 | 238 | ||||||
Nobian Finance BV | ||||||||
3.625%, 07/15/2026 | EUR | 105 | 99 | |||||
Northwest Acquisitions ULC | ||||||||
7.125%, 11/01/2022 (A)(B)(C)(D) | $ | 460 | – | |||||
Rain CII Carbon | ||||||||
7.250%, 04/01/2025 (C) | 530 | 513 | ||||||
Tacora Resources | ||||||||
8.250%, 05/15/2026 (C) | 305 | 229 | ||||||
Trinseo Materials Operating | ||||||||
5.125%, 04/01/2029 (C) | 244 | 150 | ||||||
Trivium Packaging Finance BV | ||||||||
5.500%, 08/15/2026 (C) | 467 | 448 | ||||||
Tronox | ||||||||
4.625%, 03/15/2029 (C) | 640 | 536 | ||||||
5,900 | ||||||||
Real Estate — 0.8% | ||||||||
American Tower | ||||||||
3.700%, 10/15/2049 | 25 | 18 | ||||||
3.100%, 06/15/2050 | 95 | 62 | ||||||
2.950%, 01/15/2051 | 200 | 128 | ||||||
Crown Castle | ||||||||
3.250%, 01/15/2051 | 35 | 24 | ||||||
2.900%, 04/01/2041 | 215 | 153 | ||||||
Diversified Healthcare Trust | ||||||||
9.750%, 06/15/2025 | 104 | 101 | ||||||
4.750%, 05/01/2024 | 260 | 234 | ||||||
4.750%, 02/15/2028 | 25 | 17 | ||||||
4.375%, 03/01/2031 | 300 | 215 |
SEI Institutional Managed Trust
205
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Strategy Alternative Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Park Intermediate Holdings | ||||||||
7.500%, 06/01/2025 (C) | $ | 269 | $ | 270 | ||||
4.875%, 05/15/2029 (C) | 180 | 155 | ||||||
Prologis | ||||||||
3.000%, 04/15/2050 | 80 | 56 | ||||||
2.125%, 10/15/2050 | 150 | 85 | ||||||
Service Properties Trust | ||||||||
5.500%, 12/15/2027 | 5 | 5 | ||||||
5.250%, 02/15/2026 | 90 | 79 | ||||||
4.950%, 02/15/2027 | 206 | 174 | ||||||
4.950%, 10/01/2029 | 55 | 42 | ||||||
4.750%, 10/01/2026 | 131 | 109 | ||||||
4.375%, 02/15/2030 | 490 | 366 | ||||||
4.350%, 10/01/2024 | 366 | 350 | ||||||
3.950%, 01/15/2028 | 190 | 148 | ||||||
VICI Properties | ||||||||
5.625%, 05/01/2024 (C) | 10 | 10 | ||||||
4.625%, 06/15/2025 (C) | 146 | 141 | ||||||
2,942 | ||||||||
Utilities — 1.3% | ||||||||
Alexander Funding Trust | ||||||||
1.841%, 11/15/2023 (C) | 131 | 127 | ||||||
Eskom Holdings SOC | ||||||||
7.125%, 02/11/2025 | 1,550 | 1,518 | ||||||
Eskom Holdings SOC MTN | ||||||||
6.750%, 08/06/2023 | 1,038 | 1,029 | ||||||
Vistra Operations | ||||||||
5.625%, 02/15/2027 (C) | 140 | 136 | ||||||
5.500%, 09/01/2026 (C) | 55 | 53 | ||||||
5.125%, 05/13/2025 (C) | 536 | 522 | ||||||
3.550%, 07/15/2024 (C) | 1,403 | 1,355 | ||||||
4,740 | ||||||||
Total Corporate Obligations | ||||||||
(Cost $76,245) ($ Thousands) | 68,984 | |||||||
| ||||||||
REGISTERED INVESTMENT COMPANIES — 11.6% | ||||||||
Merger Fund , Cl I | 2,703,983 | 45,211 | ||||||
Sprott Physical Uranium Trust | 19,864 | 232 | ||||||
Total Registered Investment Companies | ||||||||
(Cost $43,719) ($ Thousands) | 45,443 | |||||||
Face Amount | ||||||||
SOVEREIGN DEBT — 4.7% | ||||||||
Angolan Government International Bond | ||||||||
8.750%, 04/14/2032(C) | $ | 313 | 264 |
Description | Face Amount | Market Value | ||||||
SOVEREIGN DEBT (continued) | ||||||||
8.000%, 11/26/2029 | $ | 1,387 | $ | 1,187 | ||||
Argentine Republic Government International Bond | ||||||||
1.500%, 07/09/2023(H) | 6,167 | 1,603 | ||||||
Dominican Republic International Bond | ||||||||
7.050%, 02/03/2031(C) | 850 | 863 | ||||||
5.875%, 01/30/2060 | 1,377 | 1,051 | ||||||
Finance Department Government of Sharjah MTN | ||||||||
3.625%, 03/10/2033 | 1,799 | 1,456 | ||||||
Hungary Government International Bond | ||||||||
6.250%, 09/22/2032 | 800 | 815 | ||||||
Iraq Government International Bond | ||||||||
5.800%, 01/15/2028 | 698 | 649 | ||||||
Iraq International Bond | ||||||||
5.800%, 01/15/2028 | 234 | 218 | ||||||
Ivory Coast Government International Bond | ||||||||
4.875%, 01/30/2032 | EUR | 650 | 537 | |||||
Mexico Government International Bond | ||||||||
6.350%, 02/09/2035 | $ | 914 | 971 | |||||
4.400%, 02/12/2052 | 1,799 | 1,403 | ||||||
Nigeria Government International Bond MTN | ||||||||
8.375%, 03/24/2029 | 738 | 607 | ||||||
7.625%, 11/28/2047 | 800 | 507 | ||||||
Oman Government International Bond MTN | ||||||||
6.000%, 08/01/2029 | 1,300 | 1,305 | ||||||
Panama Government International Bond | ||||||||
6.853%, 03/28/2054 | 315 | 323 | ||||||
6.400%, 02/14/2035 | 500 | 521 | ||||||
3.870%, 07/23/2060 | 1,799 | 1,176 | ||||||
Saudi Government International Bond MTN | ||||||||
3.450%, 02/02/2061 | 1,799 | 1,271 | ||||||
South Africa Government Bond | ||||||||
8.875%, 02/28/2035 | ZAR | 31,476 | 1,520 | |||||
Ukraine Government International Bond | ||||||||
1.258%, 08/01/2041 (D)(F) | $ | 758 | 200 | |||||
Total Sovereign Debt | ||||||||
(Cost $19,677) ($ Thousands) | 18,447 | |||||||
LOAN PARTICIPATIONS — 3.8% | ||||||||
1236904 BC Ltd., Initial Term Loan, 1st Lien | ||||||||
10.135%, LIBOR + 5.500%, 03/04/2027 (F) | 256 | 244 | ||||||
888 Holdings PLC, Facility B (USD), 1st Lien | ||||||||
9.930%, 07/03/2028 | 214 | 179 | ||||||
ACProducts Holdings, Inc., Initial Term Loan, 1st Lien | ||||||||
8.980%, LIBOR + 4.250%, 05/17/2028 (F) | 353 | 280 |
206
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
American Airlines, Inc., 2020 Term Loan, 1st Lien | ||||||||
8.260%, 01/29/2027 | $ | 125 | $ | 122 | ||||
American Tire Distributors Inc., Initial Term Loan | ||||||||
11.068%, 10/20/2028 (F) | 216 | 188 | ||||||
Apollo Commercial Real Estate Finance, Inc., Term B-1 Loan, 1st Lien | ||||||||
8.135%, LIBOR + 3.500%, 03/11/2028 (A)(F) | 196 | 168 | ||||||
Aquity Solutions LLC, Term Loan, 1st Lien | ||||||||
10.385%, 09/13/2026 (A) | 435 | 435 | ||||||
Arctic Canadian Diamond Company Ltd., Term Loan, 2nd Lien | ||||||||
17.500%, 12/31/2027 (A) | 268 | 265 | ||||||
Avaya Inc., DIP Term Loan, 1st Lien | ||||||||
12.563%, CME Term SOFR + 8.000%, 08/15/2023 (F) | 165 | 170 | ||||||
Avaya Inc., Tranche B-1 Term Loan, 1st Lien | ||||||||
8.709%, LIBOR + 4.250%, 12/15/2027 (D)(F)(I) | 198 | 47 | ||||||
Avaya Inc., Tranche B-2 Term Loan, 1st Lien | ||||||||
8.459%, LIBOR + 4.000%, 12/15/2027 (D)(F)(I) | 171 | 39 | ||||||
Aveanna Healthcare LLC, 2021 Extended Term Loan, 1st Lien | ||||||||
8.703%, 07/17/2028 (F)(I) | 311 | 263 | ||||||
Boardriders Inc., Closing Date Tranche A Loan, 1st Lien | ||||||||
12.845%, LIBOR + 6.500%, 10/23/2023 (A)(B)(F) | 45 | 45 | ||||||
Boardriders Inc., Closing Date Tranche B-2 Loan, 1st Lien | ||||||||
12.845%, LIBOR + 6.500%, 04/23/2024 (B)(F) | 274 | 254 | ||||||
Carestream Health, Inc., Term Loan, 1st Lien | ||||||||
12.180%, CME Term SOFR + 7.500%, 09/30/2027 (A)(F) | 467 | 269 | ||||||
Castle US Holding Corp., Dollar Term B-2 Loan, 1st Lien | ||||||||
8.635%, LIBOR + 4.000%, 01/29/2027 (F) | 78 | 50 | ||||||
Castle US Holding Corp., Initial Dollar Term Loan, 1st Lien | ||||||||
8.385%, LIBOR + 3.750%, 01/29/2027 (F) | 146 | 95 | ||||||
Cengage Learning Inc., Term B Loan, 1st Lien | ||||||||
9.880%, 07/14/2026 (F) | 365 | 337 | ||||||
Cenveo, 1st Lien | ||||||||
12.298%, 12/31/2024 (A) | 62 | 62 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
ConvergeOne Holdings, Corp., Initial Term Loan, 1st Lien | ||||||||
9.635%, LIBOR + 5.000%, 01/04/2026 (F)(I) | $ | 341 | $ | 204 | ||||
Cooper’s Hawk Intermediate Holding, LLC, Initial Term Loan, 1st Lien | ||||||||
11.340%, 10/31/2026 (A)(F) | 234 | 229 | ||||||
Cooper's Hawk Intermediate Holding, 2022 Incremental Term Loan, 1st Lien | ||||||||
11.135%, 10/31/2026 (A) | 45 | 44 | ||||||
CoreLogic Inc., Initial Term Loan, 1st Lien | ||||||||
8.188%, 06/02/2028 (F) | 384 | 327 | ||||||
DirecTV Financing, LLC, Closing Date Term Loan, 1st Lien | ||||||||
9.635%, LIBOR + 5.000%, 08/02/2027 (F) | 229 | 220 | ||||||
DMT Solutions Global Corporation, Initial Term Loan, 1st Lien | ||||||||
12.816%, LIBOR + 7.500%, 07/02/2024 (A)(F) | 42 | 40 | ||||||
12.498%, LIBOR + 7.500%, 07/02/2024 (A)(F) | 38 | 36 | ||||||
DMT Solutions Global Corporation, Term B-2 Loan, 1st Lien | ||||||||
12.101%, 07/02/2024 (A)(F) | 103 | 96 | ||||||
12.098%, 07/02/2024 (A)(F) | 86 | 81 | ||||||
Domtar Corporation, Initial Term Loan, 1st Lien | ||||||||
10.101%, 11/30/2028 (F) | 108 | 105 | ||||||
East Valley Tourist Development Authority , Term Loan, 1st Lien | ||||||||
11.481%, CME Term SOFR + 7.500%, 11/23/2026 (A)(F) | 158 | 154 | ||||||
Envision Healthcare Corp., First Out Term Loan, 1st Lien | ||||||||
12.605%, CME Term SOFR + 7.875%, 03/31/2027 (F) | 95 | 79 | ||||||
Envision Healthcare Corp., Second Out Term Loan, 1st Lien | ||||||||
8.830%, CME Term SOFR + 4.250%, 03/31/2027 (F)(I) | 798 | 190 | ||||||
Epic Y-Grade Services, LP, Term Loan, 1st Lien | ||||||||
10.960%, LIBOR + 6.000%, 06/30/2027 (F) | 1,152 | 1,006 | ||||||
Global Medical Response, Inc., 2018 New Term Loan, 1st Lien | ||||||||
9.203%, LIBOR + 4.250%, 03/14/2025 (F) | 297 | 207 | ||||||
Global Medical Response, Inc., 2021 Refinancing Term Loan, 1st Lien | ||||||||
8.830%, LIBOR + 4.250%, 10/02/2025 (F)(I) | 72 | 50 |
SEI Institutional Managed Trust
207
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Strategy Alternative Fund (Continued)
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Grab Holdings, Inc., Initial Term Loan, 1st Lien | ||||||||
9.140%, LIBOR + 4.500%, 01/29/2026 (F) | $ | 46 | $ | 45 | ||||
Hexion Holdings Corporation, Initial Term Loan, 1st Lien | ||||||||
9.454%, 03/15/2029 (F) | 268 | 239 | ||||||
J.C. Penney Corporation Inc., Term Loan, 1st Lien | ||||||||
5.250%, LIBOR + 4.250%, 06/23/2023 (A)(D)(F) | 378 | — | ||||||
Jadex Inc., 2021 Refinancing Term Loan, 1st Lien | ||||||||
9.590%, 02/18/2028 (A)(F)(I) | 65 | �� | 58 | |||||
Libbey Glass LLC, Incremental Term Loan, 1st Lien | ||||||||
8.711%, 11/22/2027 | 372 | 372 | ||||||
LifeScan Global Copr., Initial Term Loan, 2nd Lien | ||||||||
14.254%, 10/01/2025 (F) | 85 | 54 | ||||||
LifeScan Global Corp., Initial Term Loan, 1st Lien | ||||||||
10.754%, LIBOR + 6.000%, 10/01/2024 (F) | 1,039 | 775 | ||||||
Mashantucket (Western) Pequot Tribe, Term Loan B, 1st Lien | ||||||||
11.965%, LIBOR + 8.125%, 02/16/2025 (F) | 402 | 397 | ||||||
Mavenir Systems, Inc., Initial Term Loan, 1st Lien | ||||||||
10.554%, CME Term SOFR + 5.750%, 08/18/2028 (A)(F) | 78 | 54 | ||||||
9.651%, LIBOR + 4.750%, 08/18/2028 (A)(F)(I) | 522 | 362 | ||||||
Mcgraw-Hill Education Inc., Initial Term Loan, 1st Lien | ||||||||
9.703%, 07/28/2028 (F) | 281 | 262 | ||||||
Medline Borrower, LP, Initial Dollar Term Loan, 1st Lien | ||||||||
7.885%, LIBOR + 3.250%, 10/23/2028 (F) | 197 | 191 | ||||||
Newport Parent, Inc., Initial Term Loan, 1st Lien | ||||||||
11.230%, 12/10/2027 (F) | 223 | 219 | ||||||
Onex TSG Intermediate Corp., Initial Term Loan, 1st Lien | ||||||||
9.688%, 02/28/2028 (F) | 203 | 179 | ||||||
PLNTF Holdings LLC, Initial Term Loan, 1st Lien | ||||||||
12.947%, 03/22/2026 (A) | 201 | 190 | ||||||
Pluto Acquistion I, Inc., 2021 Term Loan, 1st Lien | ||||||||
8.953%, 06/22/2026 (A) | 240 | 169 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
PMHC II Inc., Initial Term Loan, 1st Lien | ||||||||
9.076%, 04/23/2029 (F) | $ | 274 | $ | 241 | ||||
Premier Brands Group Holdings, LLC, Term Loan, 1st Lien | ||||||||
12.825%, LIBOR + 8.000%, 03/20/2024 (B)(F) | 82 | 64 | ||||||
12.802%, LIBOR + 8.000%, 03/20/2024 (B)(F) | 112 | 86 | ||||||
Pug LLC, Term B-2 Loan, 1st Lien | ||||||||
8.885%, LIBOR + 4.250%, 02/12/2027 (A)(F)(I) | 339 | 242 | ||||||
Pug LLC, USD Term B Loan, 1st Lien | ||||||||
8.135%, LIBOR + 3.500%, 02/12/2027 (F)(I) | 340 | 245 | ||||||
Quantum Health, Inc., Amendment No. 1 Refinancing Term Loan, 1st Lien | ||||||||
9.135%, 12/22/2027 (A)(F) | 146 | 129 | ||||||
Quest Software US Holdings Inc., Initial Term Loan, 1st Lien | ||||||||
9.076%, 02/01/2029 (F) | 262 | 213 | ||||||
Radiate Holdco LLC, Amendment No. 6 Term Loan, 1st Lien | ||||||||
7.885%, 09/25/2026 (F)(I) | 238 | 194 | ||||||
Red Planet Borrower, LLC, Initial Term Loan, 1st Lien | ||||||||
8.385%, LIBOR + 3.750%, 10/02/2028 (F) | 331 | 231 | ||||||
S&S Holdings, LLC, Initial Term Loan, 1st Lien | ||||||||
9.830%, 03/11/2028 (F) | 285 | 268 | ||||||
Spencer Gifts LLC (Spirit Halloween Superstores LLC), Term Loan, 1st Lien | ||||||||
10.845%, 06/19/2026 | 203 | 199 | ||||||
SWF Holdings I Corp., Initial Term Loan, 1st Lien | ||||||||
8.752%, LIBOR + 4.000%, 10/06/2028 (F) | 317 | 265 | ||||||
Syniverse Holdings, LLC, Initial Term Loan, 1st Lien | ||||||||
11.580%, CME Term SOFR + 7.000%, 05/13/2027 (F) | 542 | 478 | ||||||
Team Health Holdings, Inc., Extended Term Loan, 1st Lien | ||||||||
9.868%, CME Term SOFR + 5.250%, 03/02/2027 (F)(I) | 553 | 378 | ||||||
Travelport Finance (Luxembourg) S.a r.l., 2021 Consented Term Loan, 1st Lien | ||||||||
9.730%, LIBOR + 5.000%, 05/29/2026 (F)(I) | 211 | 119 | ||||||
Vida Capital, Inc., Initial Term Loan, 1st Lien | ||||||||
10.840%, 10/01/2026 | 525 | 382 |
208
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Wellful Inc., Initial Term Loan, 1st Lien | ||||||||
10.420%, LIBOR + 6.250%, 04/21/2027 (F) | $ | 355 | $ | 310 | ||||
WW International, Inc., Intial Term Loan, 1st Lien | ||||||||
8.140%, 04/13/2028 | 35 | 20 | ||||||
Xplornet Communications, Inc., Refinancing Term Loan, 1st Lien | ||||||||
8.635%, 10/02/2028 (I) | 281 | 226 | ||||||
Zayo Group Holdings, Inc., Initial Dollar Term Loan, 1st Lien | ||||||||
7.635%, LIBOR + 3.000%, 03/09/2027 (F)(I) | 300 | 243 | ||||||
Total Loan Participations | ||||||||
(Cost $16,554) ($ Thousands) | 14,679 | |||||||
U.S. TREASURY OBLIGATIONS — 3.4% | ||||||||
U.S. Treasury Bills | ||||||||
4.931%, 06/08/2023 (J) | 600 | 595 | ||||||
4.736%, 05/18/2023 (J) | 3,000 | 2,982 | ||||||
4.736%, 06/01/2023 (J) | 3,500 | 3,474 | ||||||
4.704%, 06/29/2023 (J) | 300 | 297 | ||||||
4.611%, 06/15/2023 (J) | 1,000 | 991 | ||||||
4.544%, 04/11/2023 (J) | 1,000 | 999 | ||||||
4.542%, 04/18/2023 (J) | 3,500 | 3,493 | ||||||
U.S. Treasury Notes | ||||||||
4.000%, 02/29/2028 | 519 | 528 | ||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $13,357) ($ Thousands) | 13,359 | |||||||
| ||||||||
FOREIGN COMMON STOCK — 1.2% | ||||||||
Australia — 0.5% | ||||||||
South32 Ltd | 684,161 | 2,009 | ||||||
Belgium — 0.1% | ||||||||
X-Fab Silicon Foundries * | 45,423 | 429 | ||||||
Canada — 0.1% | ||||||||
NexGen Energy * | 131,430 | 503 | ||||||
Israel — 0.3% | ||||||||
Tower Semiconductor Ltd * | 29,243 | 1,242 | ||||||
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Taiwan — 0.2% | ||||||||
Silicon Motion Technology Corp ADR | 10,425 | $ | 683 | |||||
Total Foreign Common Stock | ||||||||
(Cost $5,407) ($ Thousands) | 4,866 | |||||||
Face Amount | ||||||||
CONVERTIBLE BONDS — 1.0% | ||||||||
Avaya | ||||||||
8.000% , 12/15/2027(D) | $ | 445 | 109 | |||||
Liberty Interactive | ||||||||
4.000% , 11/15/2029 | 55 | 8 | ||||||
3.750% , 02/15/2030 | 229 | 30 | ||||||
Liberty Latin America | ||||||||
2.000% , 07/15/2024 | 265 | 244 | ||||||
North Sea Natural Resources | ||||||||
0.000%, (A)(E)(G) | 94 | 94 | ||||||
Radius Global Infrastructure | ||||||||
2.500% , 09/15/2026(C) | 3,167 | 3,080 | ||||||
Silver Airways LLC | ||||||||
15.000% , 12/31/2027(A) | 367 | 367 | ||||||
Total Convertible Bonds | ||||||||
(Cost $4,336) ($ Thousands) | 3,932 | |||||||
| ||||||||
PREFERRED STOCK — 0.2% | ||||||||
Consumer Discretionary — 0.1% | ||||||||
Boardriders Inc., Ser A *(A)(B)(G) | 25,646 | 30 | ||||||
Bowlero *(A)(G) | 290 | 328 | ||||||
Guitar Center *(A)(B)(G) | 39 | 4 | ||||||
362 | ||||||||
Financials — 0.0% | ||||||||
First Republic Bank, 4.125% (G) | 3,771 | 20 | ||||||
Information Technology — 0.1% | ||||||||
Syniverse *(A)(G) | 467,193 | 449 | ||||||
Total Preferred Stock | ||||||||
(Cost $781) ($ Thousands) | 831 | |||||||
SEI Institutional Managed Trust
209
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Strategy Alternative Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES — 0.1% | ||||||||
Non-Agency Mortgage-Backed Obligations — 0.1% | ||||||||
BX Commercial Mortgage Trust, Ser 2022-CSMO, Cl D | ||||||||
9.164%, TSFR1M + 4.337%, 06/15/2027(C)(F) | $ | 245 | $ | 236 | ||||
TRTX, Ser 2021-FL4, Cl D | ||||||||
8.309%, ICE LIBOR USD 1 Month + 3.600%, 03/15/2038(C)(F) | 100 | 92 | ||||||
TRTX, Ser 2021-FL4, Cl E | ||||||||
9.059%, ICE LIBOR USD 1 Month + 4.350%, 03/15/2038(C)(F) | 100 | 91 | ||||||
419 | ||||||||
Total Mortgage-Backed Securities | ||||||||
(Cost $444) ($ Thousands) | 419 | |||||||
Number of Warrants | ||||||||
WARRANTS — 0.1% | ||||||||
Accretion Acquisition, Expires 03/04/2028 | ||||||||
Strike Price $11.50 * | 46,548 | 2 | ||||||
Achari Ventures Holdings I, Expires 10/18/2026 | ||||||||
Strike Price $11.50 * | 48,686 | 2 | ||||||
Aetherium Acquisition, Expires 01/24/2028 | ||||||||
Strike Price $11.50 * | 15,770 | – | ||||||
ALSP Orchid Acquisition I, Expires 12/03/2028 | ||||||||
Strike Price $11.50 * | 18,864 | 1 | ||||||
Altimar Acquisition III, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 2,861 | – | ||||||
Anzu Special Acquisition I, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 11,611 | – | ||||||
APx Acquisition I, Expires 08/22/2028 | ||||||||
Strike Price $11.50 * | 21,464 | 2 | ||||||
Bannix Acquisition, Expires 08/03/2026 | ||||||||
Strike Price $11.50 * | 49,736 | 1 | ||||||
Blockchain Moon Acquisition, Expires 10/17/2026 | ||||||||
Strike Price $11.50 * | 4,486 | – | ||||||
BlueRiver Acquisition, Expires 01/07/2026 | ||||||||
Strike Price $11.50 * | 5,848 | – | ||||||
BurTech Acquisition, Expires 12/21/2026 | ||||||||
Strike Price $11.50 * | 52,428 | 2 | ||||||
BYTE Acquisition, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 7,294 | 1 | ||||||
Capitalworks Emerging Markets Acquisition, Expires 04/30/2028 | ||||||||
Strike Price $11.50 * | 18,598 | 1 | ||||||
Catcha Investment, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 11,652 | – |
Description | Number of Warrants | Market Value | ||||||
WARRANTS (continued) | ||||||||
CF Acquisition VIII, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 2,768 | $ | – | |||||
Consilium Acquisition I, Expires 06/04/2027 | ||||||||
Strike Price $11.50 * | 39,874 | 1 | ||||||
Data Knights Acquisition, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 23,366 | – | ||||||
DHC Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 15,760 | 1 | ||||||
Digital Transformation Opportunities, Expires 04/03/2028 | ||||||||
Strike Price $11.50 * | 24,294 | 1 | ||||||
Financial Strategies Acquisition, Expires 04/03/2028 | ||||||||
Strike Price $11.50 * | 137,915 | 5 | ||||||
Finnovate Acquisition, Expires 10/03/2026 | ||||||||
Strike Price $11.50 * | 32,229 | 1 | ||||||
Fintech Ecosystem Development, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 3,756 | – | ||||||
FOXO Technologies, Expires 08/04/2027 | ||||||||
Strike Price $11.50 * | 15,647 | 1 | ||||||
Fusion Acquisition II, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 42,415 | 1 | ||||||
GigCapital5, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 86,918 | 2 | ||||||
Globalink Investment, Expires 12/06/2026 | ||||||||
Strike Price $11.50 * | 121,483 | 1 | ||||||
Goal Acquisitions, Expires 02/14/2026 | ||||||||
Strike Price $11.50 * | 84,168 | 3 | ||||||
Golden Arrow Merger, Expires 08/03/2026 | ||||||||
Strike Price $11.50 * | 7,511 | – | ||||||
Greenfire Resources, Expires 08/15/2026 | ||||||||
Strike Price $– *(A) | 272 | 109 | ||||||
Guitar Center, Expires 12/22/2070 | ||||||||
Strike Price $100.00 *(A)(B) | 574 | 50 | ||||||
Guitar Center, Expires 12/22/2070 | ||||||||
Strike Price $160.00 *(A)(B) | 574 | 29 | ||||||
HCM ACQUISITION CORP, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 11,149 | – | ||||||
Inception Growth Acquisition, Expires 10/18/2026 | ||||||||
Strike Price $11.50 * | 21,147 | – | ||||||
Innovative International Acquisition, Expires 07/04/2028 | ||||||||
Strike Price $11.50 * | 13,586 | 1 | ||||||
Investcorp Europe Acquisition I, Expires 11/26/2028 | ||||||||
Strike Price $11.50 * | 4,069 | – | ||||||
Jaws Mustang Acquisition, Expires 02/02/2026 | ||||||||
Strike Price $11.50 * | 6,739 | 1 |
210
SEI Institutional Managed Trust
Description | Number of Warrants | Market Value | ||||||
WARRANTS (continued) | ||||||||
Kalera, Expires 07/01/2027 | ||||||||
Strike Price $11.50 * | 31,885 | $ | 1 | |||||
LAMF Global Ventures I, Expires 11/14/2026 | ||||||||
Strike Price $11.50 * | 72 | – | ||||||
Minority Equality Opportunities Acquisition, Expires 05/02/2023 | ||||||||
Strike Price $11.50 * | 87,572 | 4 | ||||||
Monterey Bio Acquisition, Expires 06/10/2023 | ||||||||
Strike Price $11.50 * | 30,129 | 1 | ||||||
Nogin, Expires 08/29/2027 | ||||||||
Strike Price $11.50 * | 3,958 | – | ||||||
Northern Star Investment IV, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 476 | – | ||||||
Nova Vision Acquisition, Expires 01/03/2029 | ||||||||
Strike Price $11.50 * | 18,235 | 1 | ||||||
Oxbridge Acquisition, Expires 08/15/2026 | ||||||||
Strike Price $11.50 * | 23,574 | 1 | ||||||
Parabellum Acquisition, Expires 10/03/2026 | ||||||||
Strike Price $11.50 * | 51,450 | 1 | ||||||
PMV Consumer Acquisition, Expires 09/03/2027 | ||||||||
Strike Price $11.50 * | 3,027 | – | ||||||
Prime Impact Acquisition I, Expires 10/04/2030 | ||||||||
Strike Price $11.50 * | 23,925 | 1 | ||||||
Progress Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 33,151 | 1 | ||||||
Seaport Global Acquisition II, Expires 11/20/2026 | ||||||||
Strike Price $11.50 * | 29,322 | 1 | ||||||
SEP Acquisition, Expires 07/30/2026 | ||||||||
Strike Price $11.50 * | 21,457 | 1 | ||||||
Spree Acquisition 1, Expires 12/25/2028 | ||||||||
Strike Price $11.50 * | 11,933 | – | ||||||
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 | – | ||||||
Tailwind International Acquisition, Expires 03/04/2028 | ||||||||
Strike Price $11.50 * | 108,719 | 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 * | 12,736 | 1 | ||||||
Trine II Acquisition, Expires 01/03/2028 | ||||||||
Strike Price $11.50 * | 4,586 | – |
Description | Number of Warrants | Market Value | ||||||
WARRANTS (continued) | ||||||||
Twelve Seas Investment II, Expires 03/05/2028 | ||||||||
Strike Price $11.50 * | 24,081 | $ | 1 | |||||
Williams Rowland Acquisition, Expires 12/14/2026 | ||||||||
Strike Price $11.50 * | 48,789 | 2 | ||||||
Windstream Services | ||||||||
Strike Price $– *‡‡(A) | 5,809 | 50 | ||||||
WinVest Acquisition, Expires 08/12/2026 | ||||||||
Strike Price $11.50 * | 46,640 | 1 | ||||||
Total Warrants | ||||||||
(Cost $714) ($ Thousands) | 289 | |||||||
Face Amount | ||||||||
ASSET-BACKED SECURITIES — 0.0% | ||||||||
Other Asset-Backed Securities — 0.0% | ||||||||
STWD, Ser 2021-FL2, Cl D | ||||||||
7.509%, ICE LIBOR USD 1 Month + 2.800%, 04/18/2038(C)(F) | $ | 100 | 84 | |||||
STWD, Ser 2021-FL2, Cl E | ||||||||
8.259%, ICE LIBOR USD 1 Month + 3.550%, 04/18/2038(C)(F) | 100 | 87 | ||||||
Total Asset-Backed Securities | ||||||||
(Cost $200) ($ Thousands) | 171 | |||||||
| ||||||||
CASH EQUIVALENTS — 26.8% | ||||||||
Morgan Stanley Institutional Liquidity Fund Treasury Securities Portfolio, Institutional Share Class | ||||||||
4.408%** | 1,640,513 | 1,641 | ||||||
SEI Daily Income Trust, Government Fund, Institutional Class | ||||||||
4.570%**† | 103,022,071 | 103,022 | ||||||
Total Cash Equivalents | ||||||||
(Cost $104,663) ($ Thousands) | 104,663 | |||||||
PURCHASED OPTIONS — 0.4% | ||||||||
Total Purchased Options | ||||||||
(Cost $1,301) ($ Thousands) | 1,368 | |||||||
Total Investments in Securities — 91.9% | ||||||||
(Cost $367,153) ($ Thousands) | $ | 359,007 | ||||||
SEI Institutional Managed Trust
211
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Strategy Alternative Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK SOLD SHORT— (7.2)% | ||||||||
Communication Services — (0.5)% | ||||||||
Interpublic Group of Cos Inc/The | (21,269 | ) | $ | (792 | ) | |||
Shutterstock Inc | (2,694 | ) | (195 | ) | ||||
Yelp Inc, Cl A * | (35,531 | ) | (1,091 | ) | ||||
(2,078 | ) | |||||||
Consumer Discretionary — (2.5)% | ||||||||
BorgWarner Inc | (16,198 | ) | (795 | ) | ||||
Caesars Entertainment Inc * | (16,297 | ) | (795 | ) | ||||
Dick's Sporting Goods Inc | (4,465 | ) | (634 | ) | ||||
Gentex Corp | (13,826 | ) | (388 | ) | ||||
Hilton Grand Vacations Inc * | (16,686 | ) | (741 | ) | ||||
Home Depot Inc/The | (2,711 | ) | (800 | ) | ||||
Hyatt Hotels Corp, Cl A * | (1,671 | ) | (187 | ) | ||||
Lear Corp | (5,693 | ) | (794 | ) | ||||
Lennar Corp, Cl A | (6,068 | ) | (638 | ) | ||||
Marriott International Inc/MD, Cl A | (1,121 | ) | (186 | ) | ||||
MGM Resorts International | (17,796 | ) | (790 | ) | ||||
Papa John's International Inc, Cl A | (4,155 | ) | (311 | ) | ||||
Red Rock Resorts Inc, Cl A | (11,932 | ) | (532 | ) | ||||
Stitch Fix Inc, Cl A * | (164,969 | ) | (843 | ) | ||||
Target Hospitality Corp * | (625 | ) | (8 | ) | ||||
Urban Outfitters Inc * | (23,039 | ) | (639 | ) | ||||
Visteon Corp * | (2,396 | ) | (376 | ) | ||||
Wingstop Inc, Cl A | (1,007 | ) | (185 | ) | ||||
YETI Holdings Inc * | (5,675 | ) | (227 | ) | ||||
(9,869 | ) | |||||||
Consumer Staples — (0.2)% | ||||||||
Albertsons Cos Inc, Cl A | (47,772 | ) | (993 | ) | ||||
Energy — (0.2)% | ||||||||
Hess Corp | (2,388 | ) | (316 | ) | ||||
Schlumberger NV, Cl A | (6,445 | ) | (317 | ) | ||||
(633 | ) | |||||||
Financials — (0.2)% | ||||||||
Affirm Holdings Inc, Cl A * | (35,692 | ) | (402 | ) | ||||
Coinbase Global Inc, Cl A * | (2,701 | ) | (183 | ) | ||||
TriplePoint Venture Growth BDC | (12,317 | ) | (149 | ) | ||||
(734 | ) | |||||||
Health Care — (0.3)% | ||||||||
Demant A/S * | (17,294 | ) | (606 | ) | ||||
Hims & Hers Health Inc * | (18,932 | ) | (188 | ) | ||||
Merit Medical Systems Inc * | (2,625 | ) | (194 | ) | ||||
(988 | ) | |||||||
Description | Shares | Market Value | ||||||
COMMON STOCK SOLD SHORT (continued) | ||||||||
Industrials — (0.9)% | ||||||||
AECOM | (2,245 | ) | $ | (189 | ) | |||
Caterpillar Inc, Cl A | (3,483 | ) | (797 | ) | ||||
Delta Air Lines Inc, Cl A * | (2,800 | ) | (98 | ) | ||||
Lockheed Martin Corp | (661 | ) | (312 | ) | ||||
Rockwell Automation Inc | (2,711 | ) | (796 | ) | ||||
Saia Inc * | (695 | ) | (189 | ) | ||||
United Airlines Holdings Inc * | (2,144 | ) | (95 | ) | ||||
United Parcel Service Inc, Cl B | (4,110 | ) | (797 | ) | ||||
Westinghouse Air Brake Technologies Corp | (1,925 | ) | (195 | ) | ||||
(3,468 | ) | |||||||
Information Technology — (2.0)% | ||||||||
Altair Engineering Inc, Cl A * | (2,709 | ) | (195 | ) | ||||
Atlassian Corp Ltd, Cl A * | (1,908 | ) | (327 | ) | ||||
Axcelis Technologies Inc * | (1,204 | ) | (160 | ) | ||||
Corning Inc, Cl B | (14,110 | ) | (498 | ) | ||||
Corsair Gaming * | (59,126 | ) | (1,085 | ) | ||||
Crowdstrike Holdings Inc, Cl A * | (1,396 | ) | (192 | ) | ||||
Datadog Inc, Cl A * | (4,456 | ) | (324 | ) | ||||
Dynatrace Inc * | (12,100 | ) | (512 | ) | ||||
HP Inc | (10,922 | ) | (321 | ) | ||||
Microchip Technology Inc | (9,480 | ) | (794 | ) | ||||
Microsoft Corp | (1,102 | ) | (318 | ) | ||||
MongoDB Inc, Cl A * | (1,411 | ) | (329 | ) | ||||
ON Semiconductor Corp * | (7,760 | ) | (639 | ) | ||||
SiTime Corp * | (1,402 | ) | (199 | ) | ||||
Smartsheet Inc, Cl A * | (13,521 | ) | (646 | ) | ||||
Vishay Intertechnology Inc | (14,079 | ) | (318 | ) | ||||
Xerox Holdings Corp | (58,722 | ) | (904 | ) | ||||
(7,761 | ) | |||||||
Materials — (0.1)% | ||||||||
PureCycle Technologies * | (34,470 | ) | (241 | ) | ||||
Real Estate — (0.3)% | ||||||||
Lamar Advertising Co, Cl A | (12,838 | ) | (1,282 | ) | ||||
Total Common Stock Sold Short | ||||||||
(Proceeds $27,403) ($ Thousands) | (28,047 | ) | ||||||
Face Amount | ||||||||
CORPORATE OBLIGATIONS SOLD SHORT — (2.3)% | ||||||||
Communication Services — (0.1)% | ||||||||
Clear Channel Outdoor Holdings Inc | ||||||||
5.125%, 08/15/2027 (C) | $ | (290 | ) | (260 | ) |
212
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS SOLD SHORT (continued) | ||||||||
iHeartCommunications | ||||||||
8.375%, 05/01/2027 | $ | (20 | ) | $ | (15 | ) | ||
Zayo Group Holdings Inc | ||||||||
6.125%, 03/01/2028 (C) | (91 | ) | (55 | ) | ||||
(330 | ) | |||||||
Consumer Discretionary — (0.8)% | ||||||||
Advantage Sales & Marketing | ||||||||
6.500%, 11/15/2028 (C) | (100 | ) | (76 | ) | ||||
At Home Group | ||||||||
7.125%, 07/15/2029 (C) | (135 | ) | (77 | ) | ||||
Caesars Entertainment | ||||||||
7.000%, 02/15/2030 (C) | (345 | ) | (351 | ) | ||||
Carrols Restaurant Group | ||||||||
5.875%, 07/01/2029 (C) | (16 | ) | (13 | ) | ||||
Fertitta Entertainment | ||||||||
4.625%, 01/15/2029 (C) | (372 | ) | (326 | ) | ||||
Hanesbrands | ||||||||
9.000%, 02/15/2031 (C) | (351 | ) | (359 | ) | ||||
Michaels | ||||||||
7.875%, 05/01/2029 (C) | (157 | ) | (110 | ) | ||||
5.250%, 05/01/2028 (C) | (105 | ) | (88 | ) | ||||
Mohegan Tribal Gaming Authority | ||||||||
8.000%, 02/01/2026 (C) | (387 | ) | (354 | ) | ||||
Newell Brands | ||||||||
6.625%, 09/15/2029 | (325 | ) | (328 | ) | ||||
6.375%, 09/15/2027 | (95 | ) | (96 | ) | ||||
Scientific Games Holdings | ||||||||
6.625%, 03/01/2030 (C) | (296 | ) | (262 | ) | ||||
Univision Communications | ||||||||
7.375%, 06/30/2030 (C) | (269 | ) | (254 | ) | ||||
Wynn Resorts Finance | ||||||||
7.125%, 02/15/2031 (C) | (280 | ) | (284 | ) | ||||
(2,978 | ) | |||||||
Consumer Staples — (0.0)% | ||||||||
B&G Foods | ||||||||
5.250%, 09/15/2027 | (210 | ) | (180 | ) | ||||
Energy — (0.1)% | ||||||||
Callon Petroleum | ||||||||
8.000%, 08/01/2028 (C) | (130 | ) | (129 | ) | ||||
Southwestern Energy | ||||||||
5.375%, 03/15/2030 | (165 | ) | (155 | ) | ||||
(284 | ) | |||||||
Financials — (0.1)% | ||||||||
MPH Acquisition Holdings | ||||||||
5.750%, 11/01/2028 (C) | (125 | ) | (90 | ) | ||||
5.500%, 09/01/2028 (C) | (290 | ) | (231 | ) | ||||
(321 | ) | |||||||
Health Care — (0.2)% | ||||||||
AthenaHealth Group | ||||||||
6.500%, 02/15/2030 (C) | (202 | ) | (164 | ) |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS SOLD SHORT (continued) | ||||||||
Charles River Laboratories International | ||||||||
4.000%, 03/15/2031 (C) | $ | (105 | ) | $ | (92 | ) | ||
3.750%, 03/15/2029 (C) | (195 | ) | (173 | ) | ||||
Embecta | ||||||||
5.000%, 02/15/2030 (C) | (5 | ) | (4 | ) | ||||
Select Medical | ||||||||
6.250%, 08/15/2026 (C) | (441 | ) | (428 | ) | ||||
(861 | ) | |||||||
Industrials — (0.3)% | ||||||||
3M MTN | ||||||||
3.375%, 03/01/2029 | (479 | ) | (451 | ) | ||||
Allied Universal Holdco | ||||||||
9.750%, 07/15/2027 (C) | (380 | ) | (339 | ) | ||||
American Airlines | ||||||||
7.250%, 02/15/2028 (C) | (373 | ) | (363 | ) | ||||
Artera Services | ||||||||
9.033%, 12/04/2025 (C) | (178 | ) | (153 | ) | ||||
(1,306 | ) | |||||||
Information Technology — (0.2)% | ||||||||
Central Parent | ||||||||
7.250%, 06/15/2029 (C) | (421 | ) | (414 | ) | ||||
Cloud Software Group Holdings | ||||||||
6.500%, 03/31/2029 (C) | (275 | ) | (243 | ) | ||||
Gen Digital | ||||||||
7.125%, 09/30/2030 (C) | (125 | ) | (124 | ) | ||||
(781 | ) | |||||||
Materials — (0.5)% | ||||||||
Chemours | ||||||||
5.375%, 05/15/2027 | (45 | ) | (42 | ) | ||||
FMG Resources August 2006 Pty | ||||||||
6.125%, 04/15/2032 (C) | (235 | ) | (226 | ) | ||||
5.875%, 04/15/2030 (C) | (205 | ) | (196 | ) | ||||
Iris Holding | ||||||||
10.000%, 12/15/2028 (C) | (95 | ) | (70 | ) | ||||
Olympus Water US Holding | ||||||||
6.250%, 10/01/2029 (C) | (264 | ) | (195 | ) | ||||
SCIH Salt Holdings | ||||||||
4.875%, 05/01/2028 (C) | (149 | ) | (133 | ) | ||||
Scotts Miracle-Gro | ||||||||
4.500%, 10/15/2029 | (383 | ) | (329 | ) | ||||
4.375%, 02/01/2032 | (95 | ) | (76 | ) | ||||
Summit Materials | ||||||||
5.250%, 01/15/2029 (C) | (330 | ) | (312 | ) | ||||
Vibrantz Technologies | ||||||||
9.000%, 02/15/2030 (C) | (345 | ) | (265 | ) | ||||
(1,844 | ) | |||||||
Total Corporate Obligations Sold Short | ||||||||
(Proceeds $8,975) ($ Thousands) | (8,885 | ) | ||||||
SEI Institutional Managed Trust
213
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Strategy Alternative Fund (Continued)
Description | Shares | Market Value | ||||||
REGISTERED INVESTMENT COMPANIES SOLD SHORT — (1.6)% | ||||||||
iShares Russell 2000 ETF | (18,082 | ) | $ | (3,226 | ) | |||
SPDR S&P 500 ETF Trust | (7,937 | ) | (3,249 | ) | ||||
Total Registered Investment Companies Sold Short | ||||||||
(Proceeds $6,285) ($ Thousands) | (6,475 | ) | ||||||
FOREIGN COMMON STOCK SOLD SHORT— (0.4)% | ||||||||
Bermuda — (0.3)% | ||||||||
Triton International Ltd | (16,646 | ) | (1,053 | ) | ||||
Switzerland — (0.1)% | ||||||||
Logitech International | (10,544 | ) | (612 | ) | ||||
Total Foreign Common Stock Sold Short | ||||||||
(Proceeds $1,903) ($ Thousands) | (1,665 | ) | ||||||
Face Amount | ||||||||
U.S. TREASURY OBLIGATION SOLD SHORT — (0.1)% | ||||||||
U.S. Treasury Notes | ||||||||
4.000%, 02/29/2028 | $ | (449 | ) | (457 | ) | |||
Total U.S. Treasury Obligation Sold Short | ||||||||
(Proceeds $458) ($ Thousands) | (457 | ) | ||||||
Total Investments Sold Short — (11.6)% | ||||||||
(Proceeds $45,024) ($ Thousands) | $ | (45,529 | ) | |||||
WRITTEN OPTIONS — (0.0)% | ||||||||
Total Written Options | ||||||||
(Premiums Received $6) ($ Thousands) | $ | (1 | ) | |||||
A list of the open exchange traded options contracts for the Fund at March 31, 2023, is as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||
PURCHASED OPTIONS — 0.0% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
Apollo Endosurgery Inc. | 25 | $ | 25 | $ | 10.00 | 4/22/2023 | $ | – | ||||||||||||
Apollo Endosurgery Inc. | 1 | 1 | 10.00 | 7/22/2023 | – | |||||||||||||||
Duck Creek Technologies Inc | 53 | 101 | 17.50 | 4/22/2023 | – | |||||||||||||||
iRobot Corporation | 83 | 362 | 40.00 | 1/20/2024 | 37 | |||||||||||||||
Provention Bio Inc | 191 | 460 | 10.00 | 7/22/2023 | 1 | |||||||||||||||
Provention Bio Inc | 38 | 91 | 15.00 | 1/20/2024 | 1 | |||||||||||||||
Provention Bio Inc | 47 | 113 | 12.50 | 5/20/2023 | – | |||||||||||||||
S&P 500 Index | 1 | 411 | 3,890.00 | 5/20/2023 | 2 | |||||||||||||||
S&P 500 Index | 2 | 822 | 3,825.00 | 4/22/2023 | 1 | |||||||||||||||
S&P 500 Index | 1 | 411 | 3,790.00 | 4/22/2023 | 1 |
214
SEI Institutional Managed Trust
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||
PURCHASED OPTIONS (continued) | ||||||||||||||||||||
S&P 500 Index | 1 | $ | 411 | $ | 3,830.00 | 4/22/2023 | $ | – | ||||||||||||
Signify Health Inc | 57 | 174 | 25.00 | 10/21/2023 | – | |||||||||||||||
Tower Semiconductor Ltd. | 4 | 17 | 47.00 | 7/22/2023 | 2 | |||||||||||||||
Tower Semiconductor Ltd. | 3 | 13 | 45.00 | 1/20/2024 | 1 | |||||||||||||||
Tower Semiconductor Ltd. | 1 | 4 | 47.00 | 1/20/2024 | – | |||||||||||||||
3,416 | 46 | |||||||||||||||||||
Call Options | – | – | ||||||||||||||||||
Albertsons Cos Inc | 2,435 | 5,060 | 15.00 | 4/22/2023 | 1,315 | |||||||||||||||
Bed Bath & Beyond Inc | 34 | 1 | 2.50 | 4/22/2023 | – | |||||||||||||||
CVS Health Corp | 156 | 1,159 | 90.00 | 5/20/2023 | 2 | |||||||||||||||
Hanesbrands Inc | 110 | 58 | 7.00 | 4/22/2023 | – | |||||||||||||||
Party City Holdco Inc | 108 | 1 | 1.00 | 4/22/2023 | – | |||||||||||||||
Rite Aid Corp | 68 | 15 | 5.00 | 4/22/2023 | – | |||||||||||||||
Spirit Airlines Inc | 38 | 65 | 25.00 | 1/20/2024 | 3 | |||||||||||||||
Spirit Airlines Inc | 23 | 40 | 22.50 | 1/20/2024 | 2 | |||||||||||||||
Spirit Airlines Inc | 4 | 7 | 20.00 | 9/16/2023 | – | |||||||||||||||
Spirit Airlines Inc | 8 | 14 | 22.50 | 9/16/2023 | – | |||||||||||||||
6,420 | 1,322 | |||||||||||||||||||
Total Purchased Options | $ | 9,836 | $ | 1,368 | ||||||||||||||||
WRITTEN OPTIONS — (0.0)% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
S&P 500 Index | (1 | ) | $ | (411 | ) | 3,670.00 | 04/22/2023 | $ | – | |||||||||||
S&P 500 Index | (1 | ) | (411 | ) | 3,590.00 | 04/22/2023 | – | |||||||||||||
S&P 500 Index | (2 | ) | (822 | ) | 3,700.00 | 04/22/2023 | – | |||||||||||||
S&P 500 Index | (1 | ) | (411 | ) | 3,725.00 | 05/20/2023 | (1 | ) | ||||||||||||
Total Written Options | $ | (2,055 | ) | $ | (1 | ) | ||||||||||||||
A list of the open futures contracts held by the Fund at March 31, 2023 is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Short Contracts | ||||||||||||||||||||
U.S. 10-Year Treasury Notes | (133 | ) | Jun-2023 | $ | (15,254 | ) | $ | (15,285 | ) | $ | (31 | ) | ||||||||
A list of the open forward foreign currency contracts held by the Fund at March 31, 2023 is as follows:
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
Bank of America | 06/21/23 | EUR | 297 | HUF | 120,039 | $ | 10 | |||||||||||||||||
Barclays PLC | 04/04/23 | USD | 675 | BRL | 3,562 | 27 | ||||||||||||||||||
Barclays PLC | 04/27/23 | EUR | 214 | USD | 234 | 2 | ||||||||||||||||||
BNP Paribas | 04/04/23 | BRL | 5,604 | USD | 1,050 | (55 | ) | |||||||||||||||||
BNP Paribas | 06/21/23 | USD | 298 | PLN | 1,333 | 10 | ||||||||||||||||||
BNP Paribas | 06/21/23 | PLN | 1,424 | EUR | 300 | (2 | ) | |||||||||||||||||
BNYMellon | 06/21/23 | USD | 197 | EUR | 181 | — | ||||||||||||||||||
BNYMellon | 06/21/23 | EUR | 273 | USD | 289 | (9 | ) |
SEI Institutional Managed Trust
215
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Strategy Alternative Fund (Continued)
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
Citigroup | 06/21/23 | EUR | 150 | PLN | 709 | $ | — | |||||||||||||||||
Citigroup | 06/21/23 | EUR | 284 | CZK | 6,804 | 3 | ||||||||||||||||||
Citigroup | 06/21/23 | USD | 442 | PLN | 1,959 | 10 | ||||||||||||||||||
Citigroup | 06/21/23 | USD | 595 | CZK | 12,999 | 4 | ||||||||||||||||||
Citigroup | 06/21/23 | EUR | 598 | USD | 654 | 1 | ||||||||||||||||||
Citigroup | 06/21/23 | USD | 835 | ZAR | 15,545 | 35 | ||||||||||||||||||
Citigroup | 06/21/23 | PLN | 1,352 | USD | 306 | (7 | ) | |||||||||||||||||
Citigroup | 06/21/23 | EUR | 1,639 | HUF | 657,774 | 43 | ||||||||||||||||||
Citigroup | 06/21/23 | CZK | 9,720 | USD | 449 | 1 | ||||||||||||||||||
Citigroup | 06/21/23 | CZK | 10,268 | USD | 447 | (26 | ) | |||||||||||||||||
Citigroup | 06/21/23 | ZAR | 49,991 | USD | 2,669 | (129 | ) | |||||||||||||||||
Citigroup | 06/21/23 | HUF | 406,193 | EUR | 1,010 | (30 | ) | |||||||||||||||||
Deutsche Bank | 05/03/23 | USD | 684 | BRL | 3,562 | 15 | ||||||||||||||||||
Deutsche Bank | 06/21/23 | EUR | 193 | HUF | 77,870 | 7 | ||||||||||||||||||
Deutsche Bank | 06/21/23 | EUR | 224 | USD | 241 | (4 | ) | |||||||||||||||||
Deutsche Bank | 06/21/23 | EUR | 446 | CZK | 10,677 | 6 | ||||||||||||||||||
Deutsche Bank | 06/21/23 | USD | 810 | THB | 27,427 | (1 | ) | |||||||||||||||||
Deutsche Bank | 06/21/23 | USD | 773 | EUR | 717 | 10 | ||||||||||||||||||
Deutsche Bank | 06/21/23 | USD | 329 | EUR | 300 | (1 | ) | |||||||||||||||||
Deutsche Bank | 06/21/23 | USD | 1,491 | CZK | 33,160 | 38 | ||||||||||||||||||
Deutsche Bank | 06/21/23 | CZK | 13,060 | USD | 601 | (2 | ) | |||||||||||||||||
Deutsche Bank | 06/21/23 | CZK | 15,321 | EUR | 643 | (5 | ) | |||||||||||||||||
Deutsche Bank | 06/21/23 | HUF | 174,935 | EUR | 447 | — | ||||||||||||||||||
Deutsche Bank | 06/21/23 | HUF | 687,501 | EUR | 1,691 | (69 | ) | |||||||||||||||||
Goldman Sachs | 06/21/23 | USD | 1,390 | ZAR | 25,809 | 55 | ||||||||||||||||||
Goldman Sachs | 06/21/23 | ZAR | 16,143 | USD | 905 | 2 | ||||||||||||||||||
JPMorgan Chase | 04/04/23 - 05/03/23 | USD | 1,755 | BRL | 9,065 | 28 | ||||||||||||||||||
JPMorgan Chase | 06/21/23 | EUR | 297 | CZK | 7,098 | 3 | ||||||||||||||||||
JPMorgan Chase | 06/21/23 | USD | 318 | EUR | 298 | 8 | ||||||||||||||||||
Midland Walwyn Capital | 06/21/23 | EUR | 151 | PLN | 715 | 1 | ||||||||||||||||||
Midland Walwyn Capital | 06/21/23 | USD | 275 | KRW | 355,257 | (1 | ) | |||||||||||||||||
RBC | 06/21/23 | USD | 655 | EUR | 598 | (2 | ) | |||||||||||||||||
SCB Securities | 06/21/23 | IDR | 11,169,642 | USD | 727 | (19 | ) | |||||||||||||||||
Societe Generale | 06/21/23 | USD | 148 | CZK | 3,275 | 3 | ||||||||||||||||||
Societe Generale | 06/21/23 | USD | 900 | MXN | 16,885 | 21 | ||||||||||||||||||
TD Securities | 06/21/23 | HUF | 153,235 | EUR | 386 | (5 | ) | |||||||||||||||||
UBS | 06/21/23 | USD | 475 | EUR | 447 | 13 | ||||||||||||||||||
UBS | 06/21/23 | EUR | 1,692 | USD | 1,814 | (32 | ) | |||||||||||||||||
UBS | 06/21/23 | EUR | 445 | HUF | 179,744 | 15 | ||||||||||||||||||
UBS | 06/21/23 | EUR | 1,370 | HUF | 535,843 | (3 | ) | |||||||||||||||||
UBS | 06/21/23 | PLN | 1,940 | USD | 439 | (9 | ) | |||||||||||||||||
$ | (40 | ) |
216
SEI Institutional Managed Trust
A list of the open OTC swap agreements held by the Fund at March 31, 2023 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 PLC | AAREAL Bank AG | EURIB-1M | ASSET RETURN | Annually | 11/03/2023 | EUR | 481 | $ | (32 | ) | $ | – | $ | (32 | ) | |||||||||||||||||||||||||
JPMorgan Chase | Indonesia Government | USD SOFR + 0.55 | % | ASSET RETURN | Semi-Annually | 02/15/2033 | USD | 11,863,217 | 26 | – | 26 | |||||||||||||||||||||||||||||
Morgan Stanley | Broadcom Inc | ASSET RETURN | FEDEF-1-DAY | Monthly | 09/11/2023 | USD | 568 | 2 | – | 2 | ||||||||||||||||||||||||||||||
Morgan Stanley | Emis Group PLC | ASSET RETURN | SONIA-1D | Annually | 03/10/2025 | GBP | 27 | (6 | ) | – | (6 | ) | ||||||||||||||||||||||||||||
Morgan Stanley | ISTAR Financial | FEDEF-1-DAY | ASSET RETURN | Monthly | 06/09/2023 | USD | 591 | 31 | – | 31 | ||||||||||||||||||||||||||||||
Morgan Stanley | ISTAR Inc | ASSET RETURN | FEDEF-1-DAY | Monthly | 09/11/2023 | USD | 775 | 20 | – | 20 | ||||||||||||||||||||||||||||||
Morgan Stanley | Kroger Co | FEDEF-1D | ASSET RETURN | Monthly | 09/11/2023 | USD | 2,059 | (52 | ) | – | (52 | ) | ||||||||||||||||||||||||||||
Morgan Stanley | Maxlinear Inc | ASSET RETURN | FEDEF-1-DAY | Monthly | 09/11/2023 | USD | 136 | (1 | ) | – | (1 | ) | ||||||||||||||||||||||||||||
Morgan Stanley | Microsoft Corp | ASSET RETURN | FEDEF-1D | Monthly | 06/25/2023 | USD | 537 | (15 | ) | – | (15 | ) | ||||||||||||||||||||||||||||
Morgan Stanley | Uni-Select Inc | DISC-1D | ASSET RETURN | Annually | 02/27/2024 | CAD | 589 | 1 | – | 1 | ||||||||||||||||||||||||||||||
$ | (26 | ) | $ | – | $ | (26 | ) |
A list of the open centrally cleared swap agreements held by the Fund at March 31, 2023 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 | |||||||||||||||||||||
CDS.HY.40 | 5.00% | Quarterly | 06/20/2028 | $ | 2,500 | $ | (39 | ) | $ | 6 | $ | (45 | ) | |||||||||||||||
CDS.HY.40 | 5.00% | Quarterly | 06/20/2028 | 2,920 | (45 | ) | – | (45 | ) | |||||||||||||||||||
CDX.HY.40 | 5.00% | Quarterly | 06/20/2028 | 1,239 | (13 | ) | 4 | (17 | ) | |||||||||||||||||||
CDX.IG.40 | 1.00% | Quarterly | 06/28/2028 | 2,130 | (23 | ) | (10 | ) | (13 | ) | ||||||||||||||||||
$ | (120 | ) | $ | – | $ | (120 | ) |
Credit Default Swap - Sell Protection | ||||||||||||||||||||||||||||
Reference Entity/ Obligation | Receive Rate | Payment Frequency | Termination Date | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | |||||||||||||||||||||
CDX.EM.S39.5Y | 1.00% | Quarterly | 06/20/2028 | $ | 8,546 | $ | (492 | ) | $ | (569 | ) | $ | 77 | |||||||||||||||
| Percentages are based on Net Assets of $390,734 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2023. |
‡ | Real Estate Investment Trust. |
‡‡ | Expiration date not available. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Level 3 security in accordance with fair value hierarchy. |
(B) | Security considered restricted, excluding 144A. The total market value of such securities as of March 31, 2023 was $1,010 ($ Thousands) and represented 0.3% of the Net Assets of the Fund. See table below for acquisition dates and acquisition cost. |
(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 March 31, 2023, the value of these securities amounted to $48,168 ($ Thousands), representing 12.3% of the Net Assets of the Fund. |
(D) | Security is in default on interest payment. |
(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) | 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. |
(I) | Unsettled bank loan. Interest rate may not be available. |
(J) | Interest rate represents the security's effective yield at the time of purchase. |
(K) | Security, or a portion thereof, has been pledged as collateral for securities sold short. The total market value of such securities as of March 31, 2023 was $5,710($ Thousands).. |
SEI Institutional Managed Trust
217
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Strategy Alternative Fund (Concluded)
The following is a summary of the level of inputs used as of March 31, 2023, 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 | 80,527 | 12 | 1,017 | 81,556 | ||||||||||||
Corporate Obligations | – | 68,980 | 4 | 68,984 | ||||||||||||
Registered Investment Companies | 45,443 | – | – | 45,443 | ||||||||||||
Sovereign Debt | – | 18,447 | – | 18,447 | ||||||||||||
Loan Participations | – | 11,551 | 3,128 | 14,679 | ||||||||||||
U.S. Treasury Obligations | – | 13,359 | – | 13,359 | ||||||||||||
Foreign Common Stock | 4,866 | – | – | 4,866 | ||||||||||||
Convertible Bonds | – | 3,471 | 461 | 3,932 | ||||||||||||
Preferred Stock | – | 20 | 811 | 831 | ||||||||||||
Mortgage-Backed Securities | – | 419 | – | 419 | ||||||||||||
Warrants | – | 51 | 238 | 289 | ||||||||||||
Asset-Backed Securities | – | 171 | – | 171 | ||||||||||||
Cash Equivalents | 103,022 | 1,641 | – | 104,663 | ||||||||||||
Purchased Options | 1,368 | – | – | 1,368 | ||||||||||||
Total Investments in Securities | 235,226 | 118,122 | 5,659 | 359,007 | ||||||||||||
Securities Sold Short | ||||||||||||||||
Common Stock | (28,047 | ) | – | – | (28,047 | ) | ||||||||||
Corporate Obligations | – | (8,885 | ) | – | (8,885 | ) | ||||||||||
Registered Investment Companies | (6,475 | ) | – | – | (6,475 | ) | ||||||||||
Foreign Common Stock | (1,665 | ) | – | – | (1,665 | ) | ||||||||||
U.S. Treasury Obligation | – | (457 | ) | – | (457 | ) | ||||||||||
Total Securities Sold Short | (36,187 | ) | (9,342 | ) | – | (45,529 | ) |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options | (1 | ) | – | – | (1 | ) | ||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | (31 | ) | – | – | (31 | ) | ||||||||||
Forward Contracts* | ||||||||||||||||
Unrealized Appreciation | – | 371 | – | 371 | ||||||||||||
Unrealized Depreciation | – | (411 | ) | – | (411 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Total Return Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 80 | – | 80 | ||||||||||||
Unrealized Depreciation | – | (106 | ) | – | (106 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 77 | – | 77 | ||||||||||||
Unrealized Depreciation | – | (120 | ) | – | (120 | ) | ||||||||||
Total Other Financial Instruments | (32 | ) | (109 | ) | – | (141 | ) |
* | Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
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, 2022 | $ | 1,058 | $ | 5 | $ | 3,376 | $ | 325 | $ | 831 | $ | 283 | ||||||||||||
Accrued discounts/premiums | – | – | 9 | – | – | – | ||||||||||||||||||
Realized gain/(loss) | – | – | 10 | – | 32 | – | ||||||||||||||||||
Change in unrealized appreciation/(depreciation) | (41 | ) | (1 | ) | (387 | ) | 1 | 23 | (45 | ) | ||||||||||||||
Purchases | – | – | 640 | 135 | 31 | – | ||||||||||||||||||
Sales | – | – | (394 | ) | – | (106 | ) | – | ||||||||||||||||
Net transfer into Level 3 | – | – | – | – | – | – | ||||||||||||||||||
Net transfer out of Level 3 | – | – | (126 | ) | – | – | – | |||||||||||||||||
Ending Balance as of March 31, 2023(1) | $ | 1,017 | $ | 4 | $ | 3,128 | $ | 461 | $ | 811 | $ | 238 | ||||||||||||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | (41 | ) | $ | (1 | ) | $ | (399 | ) | $ | 2 | $ | 35 | $ | (45 | ) |
(1) Of the $5,659 ($ Thousands) in Level 3 securities as of March 31, 2023, $3,002 ($ 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 period ended March 31, 2023, 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 period ended March 31, 2023 ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 3/31/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | $ | 117,844 | $ | 385,464 | $ | (400,286 | ) | $ | — | $ | — | $ | 103,022 | $ | 2,371 | $ | — |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
218
SEI Institutional Managed Trust
A list of the restricted securities, excluding 144a, held by the Fund at March 31, 2023, is as follows:
Description | Number of Shares/Face Amount ($ Thousands)/Number of Warrants | Acquisition Date | Cost ($ Thousands) | Market Value | ||||||||||||
Common Stock | ||||||||||||||||
Guitar Center | 2,167 | 1/8/2021 | $ | 275 | $ | 399 | ||||||||||
Parker Drilling Co | 4,414 | 3/26/2019 | 56 | 49 | ||||||||||||
Corporate Obligations | ||||||||||||||||
Northwest Acquisitions ULC | $ | 460 | 10/1/2019 | 419 | – | |||||||||||
Loan Participations | ||||||||||||||||
Boardriders Inc., Closing Date Tranche A Loan, 1st Lien | 45 | 9/4/2020 | 45 | 45 | ||||||||||||
Boardriders Inc., Closing Date Tranche B-2 Loan, 1st Lien | 274 | 9/4/2020 | 241 | 254 | ||||||||||||
Premier Brands Group Holdings, LLC, Term Loan, 1st Lien | 112 | 3/21/2019 | 102 | 86 | ||||||||||||
Premier Brands Group Holdings, LLC, Term Loan, 1st Lien | 82 | 3/21/2019 | 76 | 64 | ||||||||||||
Preferred Stock | ||||||||||||||||
Boardriders Inc. | 25,646 | 9/4/2020 | – | 30 | ||||||||||||
Guitar Center | 39 | 1/8/2021 | 4 | 4 | ||||||||||||
Warrant | ||||||||||||||||
Guitar Center | 574 | 1/8/2021 | 31 | 50 | ||||||||||||
Guitar Center | 574 | 1/8/2021 | 21 | 29 | ||||||||||||
$ | 1,270 | $ | 1,010 |
SEI Institutional Managed Trust
219
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 — 53.2% | ||||||||
U.S. Treasury Bills | ||||||||
5.067%, 08/31/2023 ^(A) | $ | 5,240 | $ | 5,138 | ||||
4.825%, 07/13/2023 ^(A) | 10,020 | 9,888 | ||||||
4.815%, 09/14/2023 (A) | 50,000 | 48,928 | ||||||
4.762%, 09/28/2023 ^(A) | 80,000 | 78,140 | ||||||
4.753%, 07/20/2023 ^(A) | 62,000 | 61,138 | ||||||
4.741%, 06/15/2023 ^(A) | 13,199 | 13,075 | ||||||
4.730%, 09/21/2023 ^(A) | 100,000 | 97,777 | ||||||
4.678%, 06/08/2023 ^(A) | 28,805 | 28,564 | ||||||
4.657%, 06/01/2023 ^(A) | 130,000 | 129,033 | ||||||
4.625%, 05/25/2023 (A) | 120,000 | 119,200 | ||||||
4.542%, 05/04/2023 ^(A) | 118,000 | 117,531 | ||||||
4.444%, 04/27/2023 (A) | 200,000 | 199,387 | ||||||
U.S. Treasury Inflation Protected Securities | ||||||||
3.875%, 04/15/2029 | 1,820 | 2,096 | ||||||
3.625%, 04/15/2028 | 1,850 | 2,065 | ||||||
3.375%, 04/15/2032 | 1,685 | 1,993 | ||||||
2.500%, 01/15/2029 | 1,393 | 1,492 | ||||||
2.375%, 01/15/2025 | 1,270 | 1,285 | ||||||
2.375%, 01/15/2027 | 1,484 | 1,538 | ||||||
2.125%, 02/15/2040 | 692 | 764 | ||||||
2.125%, 02/15/2041 | 683 | 754 | ||||||
2.000%, 01/15/2026 | 1,507 | 1,529 | ||||||
1.750%, 01/15/2028 | 677 | 693 | ||||||
1.625%, 10/15/2027 | 8,988 | 9,163 | ||||||
1.375%, 02/15/2044 | 642 | 621 | ||||||
1.000%, 02/15/2046 | 1,641 | 1,467 | ||||||
1.000%, 02/15/2049 | 1,189 | 1,057 | ||||||
0.875%, 01/15/2029 | 1,303 | 1,280 | ||||||
0.750%, 07/15/2028 | 8,343 | 8,180 | ||||||
0.750%, 02/15/2042 | 662 | 578 | ||||||
0.750%, 02/15/2045 | 953 | 811 | ||||||
0.625%, 01/15/2024 | 1,282 | 1,271 | ||||||
0.625%, 01/15/2026 | 1,259 | 1,231 | ||||||
0.625%, 07/15/2032 | 26,977 | 25,766 | ||||||
0.625%, 02/15/2043 | 651 | 549 | ||||||
0.500%, 01/15/2028 | 12,007 | 11,587 |
Description | Face Amount | Market Value | ||||||
U.S. TREASURY OBLIGATIONS (continued) | ||||||||
0.375%, 07/15/2023 | $ | 1,286 | $ | 1,289 | ||||
0.375%, 07/15/2025 | 2,523 | 2,468 | ||||||
0.375%, 01/15/2027 | 2,477 | 2,387 | ||||||
0.375%, 07/15/2027 | 2,691 | 2,599 | ||||||
0.250%, 01/15/2025 | 632 | 616 | ||||||
0.250%, 07/15/2029 | 7,485 | 7,092 | ||||||
0.250%, 02/15/2050 | 349 | 253 | ||||||
0.125%, 07/15/2024 | 2,520 | 2,471 | ||||||
0.125%, 07/15/2026 | 1,248 | 1,202 | ||||||
0.125%, 04/15/2027 | 4,238 | 4,037 | ||||||
0.125%, 01/15/2030 | 13,488 | 12,569 | ||||||
0.125%, 07/15/2030 | 13,419 | 12,484 | ||||||
0.125%, 01/15/2031 | 12,642 | 11,683 | ||||||
0.125%, 07/15/2031 | 27,124 | 24,979 | ||||||
0.125%, 01/15/2032 | 30,003 | 27,403 | ||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $1,106,611) ($ Thousands) | 1,099,101 | |||||||
SOVEREIGN DEBT — 8.4% | ||||||||
Deutsche Bundesrepublik Inflation Linked Bond | ||||||||
0.500%, 04/15/2030 | EUR | 23,708 | 26,833 | |||||
0.100%, 04/15/2023 | 8,712 | 9,475 | ||||||
0.100%, 04/15/2026 | 2,926 | 3,190 | ||||||
0.100%, 04/15/2033 | 1,837 | 2,031 | ||||||
0.100%, 04/15/2046 | 4,752 | 5,449 | ||||||
French Republic Government Bond OAT | ||||||||
3.400%, 07/25/2029 | 1,436 | 1,915 | ||||||
3.150%, 07/25/2032 | 1,482 | 2,040 | ||||||
2.100%, 07/25/2023(B) | 2,394 | 2,654 | ||||||
1.850%, 07/25/2027 | 8,776 | 10,323 | ||||||
1.800%, 07/25/2040(B) | 1,373 | 1,788 | ||||||
0.700%, 07/25/2030(B) | 6,214 | 7,046 | ||||||
0.250%, 07/25/2024 | 2,070 | 2,281 | ||||||
0.100%, 03/01/2025 | 1,148 | 1,256 | ||||||
0.100%, 03/01/2026(B) | 545 | 596 | ||||||
0.100%, 03/01/2028 | 1,720 | 1,894 | ||||||
0.100%, 03/01/2029 | 773 | 837 | ||||||
0.100%, 07/25/2031(B) | 3,725 | 4,019 | ||||||
0.100%, 03/01/2032 | 547 | 599 | ||||||
0.100%, 03/01/2036(B) | 545 | 575 | ||||||
0.100%, 07/25/2036(B) | 1,221 | 1,255 | ||||||
0.100%, 07/25/2047(B) | 1,361 | 1,328 | ||||||
Inter-American Development Bank | ||||||||
2.625%, 01/16/2024^ | $ | 375 | 369 | |||||
International Bank for Reconstruction & Development | ||||||||
1.750%, 04/19/2023^ | 1,000 | 999 |
220
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
SOVEREIGN DEBT (continued) | ||||||||
International Finance MTN | ||||||||
2.875%, 07/31/2023^ | $ | 375 | $ | 372 | ||||
Italy Buoni Poliennali Del Tesoro | ||||||||
3.100%, 09/15/2026(B) | EUR | 1,271 | 1,491 | |||||
2.600%, 09/15/2023(B) | 1,368 | 1,523 | ||||||
2.550%, 09/15/2041(B) | 2,058 | 2,452 | ||||||
2.350%, 09/15/2024(B) | 1,205 | 1,357 | ||||||
2.350%, 09/15/2035(B) | 2,149 | 2,457 | ||||||
1.300%, 05/15/2028(B) | 1,181 | 1,283 | ||||||
1.250%, 09/15/2032(B) | 1,197 | 1,251 | ||||||
0.650%, 05/15/2026 | 564 | 607 | ||||||
0.400%, 05/15/2030(B) | 1,145 | 1,142 | ||||||
0.150%, 05/15/2051(B) | 574 | 403 | ||||||
0.100%, 05/15/2023 | 1,048 | 1,148 | ||||||
Korea International Bond | ||||||||
2.750%, 01/19/2027^ | $ | 1,000 | 960 | |||||
United Kingdom Gilt Inflation Linked | ||||||||
4.125%, 07/22/2030 | GBP | 500 | 2,151 | |||||
2.500%, 07/17/2024 | 340 | 1,574 | ||||||
2.000%, 01/26/2035 | 932 | 2,920 | ||||||
1.250%, 11/22/2027 | 1,857 | 2,461 | ||||||
1.250%, 11/22/2032 | 7,301 | 10,362 | ||||||
1.250%, 11/22/2055 | 1,500 | 2,355 | ||||||
1.125%, 11/22/2037 | 891 | 1,270 | ||||||
0.750%, 03/22/2034 | 7,447 | 10,099 | ||||||
0.750%, 11/22/2047 | 1,561 | 2,089 | ||||||
0.625%, 03/22/2040 | 2,496 | 3,309 | ||||||
0.625%, 11/22/2042 | 1,696 | 2,248 | ||||||
0.500%, 03/22/2050 | 844 | 1,069 | ||||||
0.375%, 03/22/2062 | 1,681 | 2,129 | ||||||
0.250%, 03/22/2052 | 1,786 | 2,124 | ||||||
0.125%, 03/22/2024 | 1,040 | 1,287 | ||||||
0.125%, 03/22/2026 | 698 | 870 | ||||||
0.125%, 08/10/2028 | 4,877 | 6,171 | ||||||
0.125%, 03/22/2029 | 4,097 | 5,178 | ||||||
0.125%, 08/10/2031 | 2,945 | 3,786 | ||||||
0.125%, 03/22/2044 | 1,486 | 1,758 | ||||||
0.125%, 03/22/2058 | 704 | 804 | ||||||
0.125%, 11/22/2065 | 761 | 894 | ||||||
0.125%, 03/22/2068 | 721 | 852 | ||||||
Total Sovereign Debt | ||||||||
(Cost $195,981) ($ Thousands) | 172,958 | |||||||
| ||||||||
FOREIGN COMMON STOCK — 3.4% | ||||||||
Australia — 0.2% | ||||||||
Ampol Ltd | 9,426 | 193 | ||||||
APA Group | 26,821 | 183 | ||||||
Aristocrat Leisure Ltd | 3,212 | 81 | ||||||
ASX Ltd | 1,383 | 61 | ||||||
Aurizon Holdings Ltd | 21,309 | 48 |
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
BHP Group Ltd | 3,324 | $ | 105 | |||||
BlueScope Steel Ltd | 3,194 | 43 | ||||||
Brambles Ltd | 4,589 | 41 | ||||||
Cochlear Ltd | 834 | 133 | ||||||
Coles Group Ltd | 12,289 | 149 | ||||||
Commonwealth Bank of Australia | 792 | 52 | ||||||
Computershare Ltd | 8,847 | 129 | ||||||
CSL Ltd | 892 | 173 | ||||||
Dexus *‡ | 7,723 | 39 | ||||||
Endeavour Group Ltd/Australia | 22,375 | 102 | ||||||
Fortescue Metals Group Ltd | 3,424 | 52 | ||||||
Glencore PLC | 20,900 | 120 | ||||||
Goodman Group ‡ | 3,333 | 42 | ||||||
IDP Education Ltd | 3,370 | 62 | ||||||
Insurance Australia Group Ltd | 20,132 | 64 | ||||||
Lendlease Corp Ltd | 5,588 | 27 | ||||||
Lottery Corp Ltd/The | 30,312 | 105 | ||||||
Medibank Pvt Ltd | 28,257 | 64 | ||||||
Newcrest Mining Ltd | 5,302 | 95 | ||||||
Orica Ltd | 6,944 | 72 | ||||||
Origin Energy Ltd | 9,571 | 53 | ||||||
Qantas Airways Ltd * | 8,953 | 40 | ||||||
Ramsay Health Care Ltd | 2,924 | 131 | ||||||
Rio Tinto Ltd | 1,118 | 90 | ||||||
Rio Tinto PLC | 1,750 | 119 | ||||||
Santos Ltd | 43,557 | 201 | ||||||
Sonic Healthcare Ltd | 8,788 | 206 | ||||||
South32 Ltd | 23,300 | 68 | ||||||
Suncorp Group Ltd | 7,008 | 57 | ||||||
Vicinity Ltd ‡ | 121,603 | 159 | ||||||
Washington H Soul Pattinson & Co Ltd | 10,657 | 216 | ||||||
Wesfarmers Ltd | 2,749 | 93 | ||||||
Westpac Banking Corp | 1,983 | 29 | ||||||
Woolworths Group Ltd | 6,248 | 159 | ||||||
Xero Ltd * | 2,369 | 144 | ||||||
4,000 | ||||||||
Austria — 0.0% | ||||||||
Erste Group Bank AG | 1,198 | 40 | ||||||
OMV AG | 5,074 | 233 | ||||||
Verbund AG | 1,703 | 148 | ||||||
421 | ||||||||
Belgium — 0.1% | ||||||||
Ageas SA/NV | 1,537 | 67 | ||||||
Anheuser-Busch InBev SA/NV | 2,899 | 193 | ||||||
Argenx SE * | 357 | 132 | ||||||
D'ieteren Group | 263 | 51 | ||||||
Elia Group SA/NV | 1,691 | 223 | ||||||
KBC Group NV | 780 | 54 | ||||||
Solvay SA | 1,000 | 114 | ||||||
UCB SA, Cl A | 2,355 | 211 |
SEI Institutional Managed Trust
221
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Accumulation Fund (Continued)
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Umicore SA | 2,797 | $ | 95 | |||||
1,140 | ||||||||
Canada — 0.3% | ||||||||
Agnico Eagle Mines Ltd | 1,381 | 70 | ||||||
Algonquin Power & Utilities Corp | 32,126 | 269 | ||||||
Alimentation Couche-Tard Inc | 2,364 | 119 | ||||||
AltaGas Ltd | 8,963 | 149 | ||||||
ARC Resources Ltd | 15,527 | 176 | ||||||
Bank of Nova Scotia/The, Cl C | 1,239 | 62 | ||||||
Barrick Gold Corp | 5,823 | 108 | ||||||
Brookfield Asset Management Ltd, Cl A | 336 | 11 | ||||||
Brookfield Corp, Cl A | 1,346 | 44 | ||||||
CAE Inc * | 3,606 | 82 | ||||||
Cameco Corp | 7,757 | 203 | ||||||
Canadian Natural Resources Ltd | 2,511 | 139 | ||||||
Canadian Pacific Railway Ltd | 1,666 | 128 | ||||||
Canadian Tire Corp Ltd, Cl A | 894 | 117 | ||||||
Canadian Utilities Ltd, Cl A | 4,850 | 135 | ||||||
CCL Industries Inc, Cl B | 2,082 | 103 | ||||||
CGI Inc, Cl A * | 1,997 | 192 | ||||||
Constellation Software Inc/Canada | 100 | 188 | ||||||
Dollarama Inc | 3,557 | 212 | ||||||
Empire Co Ltd, Cl A | 4,984 | 133 | ||||||
Enbridge Inc | 4,791 | 182 | ||||||
Fairfax Financial Holdings Ltd | 161 | 107 | ||||||
First Quantum Minerals Ltd (Canada) | 2,143 | 49 | ||||||
FirstService Corp | 514 | 72 | ||||||
Franco-Nevada Corp | 892 | 130 | ||||||
George Weston Ltd | 1,417 | 188 | ||||||
Hydro One Ltd | 7,241 | 206 | ||||||
iA Financial Corp Inc | 1,313 | 83 | ||||||
IGM Financial Inc | 1,781 | 53 | ||||||
Imperial Oil Ltd | 2,811 | 143 | ||||||
Kinross Gold Corp | 13,832 | 65 | ||||||
Loblaw Cos Ltd | 2,051 | 187 | ||||||
Lumine Group Inc *(C) | 300 | 3 | ||||||
Magna International Inc, Cl A | 1,520 | 81 | ||||||
Manulife Financial Corp | 3,345 | 61 | ||||||
Metro Inc/CN, Cl A | 4,352 | 239 | ||||||
Northland Power Inc | 5,821 | 146 | ||||||
Nutrien Ltd | 1,332 | 98 | ||||||
Nuvei Corp * | 1,571 | 68 | ||||||
Onex Corp | 1,334 | 62 | ||||||
Open Text Corp | 2,952 | 114 | ||||||
Parkland Corp | 6,250 | 150 | ||||||
Pembina Pipeline Corp | 4,545 | 147 | ||||||
Quebecor Inc, Cl B | 3,150 | 78 | ||||||
Ritchie Bros Auctioneers Inc, Cl B | 2,228 | 125 | ||||||
Royal Bank of Canada | 1,147 | 110 | ||||||
Saputo Inc | 4,704 | 122 | ||||||
Shaw Communications Inc, Cl B | 6,318 | 189 |
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Shopify Inc, Cl A * | 1,129 | $ | 54 | |||||
Suncor Energy Inc | 5,194 | 161 | ||||||
TC Energy Corp | 4,836 | 188 | ||||||
Teck Resources Ltd, Cl B | 2,369 | 86 | ||||||
TMX Group Ltd | 1,370 | 138 | ||||||
Toronto-Dominion Bank/The | 1,857 | 111 | ||||||
Tourmaline Oil Corp | 3,283 | 137 | ||||||
Wheaton Precious Metals Corp | 2,919 | 140 | ||||||
WSP Global Inc | 1,000 | 131 | ||||||
7,044 | ||||||||
China — 0.0% | ||||||||
Sands China Ltd * | 36,800 | 128 | ||||||
Denmark — 0.1% | ||||||||
Carlsberg AS, Cl B | 1,231 | 191 | ||||||
Chr Hansen Holding A/S | 3,738 | 284 | ||||||
Coloplast A/S, Cl B | 1,741 | 229 | ||||||
Danske Bank A/S | 4,024 | 81 | ||||||
Demant A/S * | 3,284 | 115 | ||||||
Genmab A/S * | 210 | 79 | ||||||
Novo Nordisk A/S, Cl B | 2,301 | 364 | ||||||
Novozymes A/S, Cl B | 2,193 | 112 | ||||||
Orsted AS | 1,899 | 162 | ||||||
Pandora A/S | 852 | 82 | ||||||
Tryg A/S | 2,801 | 61 | ||||||
Vestas Wind Systems A/S | 1,472 | 43 | ||||||
1,803 | ||||||||
Finland — 0.1% | ||||||||
Elisa OYJ | 1,161 | 70 | ||||||
Fortum OYJ | 9,851 | 151 | ||||||
Kesko OYJ, Cl B | 5,815 | 125 | ||||||
Kone OYJ, Cl B | 1,311 | 68 | ||||||
Neste OYJ | 4,083 | 202 | ||||||
Nokia OYJ | 10,220 | 50 | ||||||
Orion OYJ, Cl B | 1,076 | 48 | ||||||
Stora Enso OYJ, Cl R | 7,398 | 96 | ||||||
UPM-Kymmene OYJ, Cl V | 1,682 | 57 | ||||||
Wartsila OYJ ABP | 4,133 | 39 | ||||||
906 | ||||||||
France — 0.2% | ||||||||
Accor SA | 1,293 | 42 | ||||||
Aeroports de Paris, Cl A | 373 | 53 | ||||||
Air Liquide SA | 872 | 146 | ||||||
Arkema SA | 736 | 73 | ||||||
BioMerieux | 1,345 | 142 | ||||||
Bollore SE | 19,190 | 119 | ||||||
Bouygues SA | 892 | 30 | ||||||
Capgemini SE | 366 | 68 | ||||||
Carrefour SA | 6,251 | 126 |
222
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Cie Generale des Etablissements Michelin SCA | 1,899 | $ | 58 | |||||
Danone SA | 1,033 | 64 | ||||||
Dassault Systemes SE | 2,191 | 90 | ||||||
Edenred | 1,730 | 102 | ||||||
Eiffage SA | 687 | 74 | ||||||
Engie SA | 11,598 | 184 | ||||||
Eurazeo SE | 468 | 33 | ||||||
Euronext NV | 536 | 41 | ||||||
Gecina SA ‡ | 323 | 33 | ||||||
Getlink SE | 4,624 | 76 | ||||||
Hermes International | 44 | 89 | ||||||
Ipsen SA | 736 | 81 | ||||||
Kering SA | 119 | 78 | ||||||
La Francaise des Jeux SAEM | 1,007 | 42 | ||||||
Legrand SA | 1,748 | 160 | ||||||
L'Oreal SA | 545 | 243 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 84 | 77 | ||||||
Orange SA | 26,305 | 313 | ||||||
Pernod Ricard SA | 584 | 132 | ||||||
Publicis Groupe SA | 2,309 | 180 | ||||||
Remy Cointreau SA | 674 | 123 | ||||||
Renault SA | 1,557 | 64 | ||||||
Sanofi | 904 | 98 | ||||||
Sartorius Stedim Biotech | 137 | 42 | ||||||
Sodexo SA | 477 | 47 | ||||||
STMicroelectronics NV | 1,562 | 83 | ||||||
Teleperformance | 98 | 24 | ||||||
Thales SA, Cl A | 220 | 33 | ||||||
TotalEnergies SE | 3,922 | 232 | ||||||
Veolia Environnement SA | 6,279 | 194 | ||||||
Vinci SA | 720 | 83 | ||||||
Vivendi SE | 5,328 | 54 | ||||||
Wendel SE | 480 | 51 | ||||||
Worldline SA/France * | 1,571 | 67 | ||||||
4,144 | ||||||||
Germany — 0.2% | ||||||||
adidas AG | 399 | 71 | ||||||
Allianz SE | 347 | 80 | ||||||
BASF SE | 930 | 49 | ||||||
Bayerische Motoren Werke AG | 600 | 66 | ||||||
Bechtle AG | 3,183 | 152 | ||||||
Beiersdorf AG | 1,765 | 230 | ||||||
Brenntag SE | 810 | 61 | ||||||
Carl Zeiss Meditec AG | 837 | 116 | ||||||
Commerzbank AG | 4,489 | 47 | ||||||
Continental AG | 779 | 58 | ||||||
Covestro AG | 2,090 | 87 | ||||||
Deutsche Boerse AG | 198 | 39 | ||||||
Deutsche Lufthansa AG * | 6,970 | 78 | ||||||
Deutsche Telekom AG | 6,455 | 157 |
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
E.ON SE | 19,443 | $ | 243 | |||||
Fresenius Medical Care AG & Co KGaA | 5,480 | 233 | ||||||
GEA Group AG | 1,568 | 71 | ||||||
Hannover Rueck SE | 313 | 61 | ||||||
HeidelbergCement AG | 1,561 | 114 | ||||||
HelloFresh SE * | 4,883 | 116 | ||||||
Henkel AG & Co KGaA | 2,041 | 149 | ||||||
Infineon Technologies AG | 2,515 | 103 | ||||||
Knorr-Bremse AG | 603 | 40 | ||||||
Mercedes-Benz Group AG | 2,395 | 184 | ||||||
Merck KGaA | 510 | 95 | ||||||
MTU Aero Engines AG | 221 | 55 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 274 | 96 | ||||||
Puma SE | 744 | 46 | ||||||
QIAGEN NV * | 3,375 | 154 | ||||||
Rational AG | 61 | 41 | ||||||
Rheinmetall AG | 281 | 83 | ||||||
RWE AG | 3,800 | 164 | ||||||
Scout24 SE | 3,632 | 216 | ||||||
Siemens Healthineers AG | 2,595 | 149 | ||||||
Symrise AG, Cl A | 1,058 | 115 | ||||||
Telefonica Deutschland Holding AG | 49,295 | 152 | ||||||
United Internet AG | 3,471 | 60 | ||||||
Vonovia SE | 1,664 | 31 | ||||||
Zalando SE * | 1,399 | 59 | ||||||
4,121 | ||||||||
Hong Kong — 0.2% | ||||||||
AIA Group Ltd | 6,600 | 69 | ||||||
Budweiser Brewing Co APAC Ltd | 60,300 | 183 | ||||||
CK Asset Holdings Ltd | 5,931 | 36 | ||||||
CK Hutchison Holdings Ltd | 18,208 | 113 | ||||||
CK Infrastructure Holdings Ltd | 61,500 | 335 | ||||||
CLP Holdings Ltd, Cl B | 60,338 | 436 | ||||||
Galaxy Entertainment Group Ltd * | 23,000 | 154 | ||||||
Hang Lung Properties Ltd | 77,000 | 144 | ||||||
HKT Trust & HKT Ltd | 368,000 | 488 | ||||||
Hong Kong & China Gas Co Ltd | 595,999 | 525 | ||||||
Power Assets Holdings Ltd | 68,474 | 367 | ||||||
Sino Land Co Ltd | 28,000 | 38 | ||||||
SITC International Holdings Co Ltd | 32,000 | 69 | ||||||
Swire Properties Ltd | 18,400 | 47 | ||||||
Techtronic Industries Co Ltd | 4,001 | 43 | ||||||
WH Group Ltd | 477,329 | 285 | ||||||
Xinyi Glass Holdings Ltd | 30,000 | 54 | ||||||
3,386 | ||||||||
Ireland — 0.0% | ||||||||
CRH PLC | 3,263 | 165 | ||||||
Flutter Entertainment PLC * | 818 | 149 | ||||||
James Hardie Industries PLC | 2,747 | 59 |
SEI Institutional Managed Trust
223
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Accumulation Fund (Continued)
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Kerry Group PLC, Cl A | 2,791 | $ | 278 | |||||
Kingspan Group PLC | 608 | 42 | ||||||
693 | ||||||||
Israel — 0.1% | ||||||||
Azrieli Group Ltd | 746 | 43 | ||||||
Bank Leumi Le-Israel BM | 7,501 | 56 | ||||||
Bezeq The Israeli Telecommunication Corp Ltd | 133,087 | 181 | ||||||
Check Point Software Technologies Ltd * | 1,215 | 158 | ||||||
Elbit Systems Ltd | 167 | 28 | ||||||
ICL Group Ltd | 15,926 | 107 | ||||||
Nice Ltd * | 443 | 99 | ||||||
Teva Pharmaceutical Industries Ltd ADR * | 19,121 | 169 | ||||||
Tower Semiconductor Ltd * | 4,148 | 176 | ||||||
Wix.com Ltd * | 1,638 | 163 | ||||||
1,180 | ||||||||
Italy — 0.1% | ||||||||
Amplifon SpA | 4,119 | 143 | ||||||
CNH Industrial NV | 1,935 | 30 | ||||||
Davide Campari-Milano NV | 7,301 | 89 | ||||||
DiaSorin SpA | 1,085 | 114 | ||||||
Eni SpA | 15,298 | 215 | ||||||
Ferrari NV | 832 | 225 | ||||||
FinecoBank Banca Fineco SpA | 4,628 | 71 | ||||||
Infrastrutture Wireless Italiane SpA | 16,055 | 211 | ||||||
Intesa Sanpaolo SpA | 23,072 | 59 | ||||||
Nexi SpA * | 15,465 | 126 | ||||||
Poste Italiane SpA | 8,102 | 83 | ||||||
Prysmian SpA | 1,571 | 66 | ||||||
Recordati Industria Chimica e Farmaceutica SpA | 2,099 | 89 | ||||||
Stellantis NV | 7,212 | 131 | ||||||
Terna - Rete Elettrica Nazionale | 19,352 | 159 | ||||||
UniCredit SpA | 3,777 | 72 | ||||||
1,883 | ||||||||
Japan — 0.9% | ||||||||
Advantest Corp | 600 | 56 | ||||||
Aeon Co Ltd, Cl H | 5,400 | 105 | ||||||
Aisin Corp | 1,500 | 41 | ||||||
Ajinomoto Co Inc | 8,000 | 278 | ||||||
ANA Holdings Inc * | 3,500 | 76 | ||||||
Asahi Group Holdings Ltd | 2,400 | 89 | ||||||
Asahi Intecc Co Ltd | 2,900 | 51 | ||||||
Astellas Pharma Inc | 6,600 | 94 | ||||||
Bandai Namco Holdings Inc | 4,500 | 97 | ||||||
Brother Industries Ltd | 9,300 | 140 | ||||||
Canon Inc | 5,200 | 116 | ||||||
Capcom Co Ltd | 4,100 | 146 | ||||||
Central Japan Railway Co | 600 | 71 |
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Chiba Bank Ltd/The, Cl B | 7,300 | $ | 47 | |||||
Chubu Electric Power Co Inc | 24,700 | 260 | ||||||
Chugai Pharmaceutical Co Ltd | 2,500 | 62 | ||||||
Concordia Financial Group Ltd | 15,100 | 56 | ||||||
CyberAgent Inc | 13,100 | 111 | ||||||
Dai Nippon Printing Co Ltd | 3,300 | 92 | ||||||
Daifuku Co Ltd | 2,100 | 39 | ||||||
Dai-ichi Life Holdings Inc | 2,300 | 42 | ||||||
Daiichi Sankyo Co Ltd | 3,800 | 138 | ||||||
Daito Trust Construction Co Ltd | 900 | 89 | ||||||
Daiwa House Industry Co Ltd | 1,300 | 31 | ||||||
Daiwa House REIT Investment Corp ‡ | 42 | 86 | ||||||
Dentsu Group Inc | 4,300 | 151 | ||||||
Disco Corp | 600 | 70 | ||||||
East Japan Railway Co | 1,200 | 66 | ||||||
Eisai Co Ltd | 1,400 | 79 | ||||||
ENEOS Holdings Inc | 70,100 | 245 | ||||||
Fast Retailing Co Ltd | 702 | 153 | ||||||
FUJIFILM Holdings Corp | 1,700 | 86 | ||||||
Fujitsu Ltd | 400 | 54 | ||||||
GLP J-Reit ‡ | 44 | 47 | ||||||
Hakuhodo DY Holdings Inc | 5,800 | 66 | ||||||
Hankyu Hanshin Holdings Inc | 3,600 | 107 | ||||||
Hikari Tsushin Inc | 1,400 | 196 | ||||||
Hirose Electric Co Ltd | 682 | 89 | ||||||
Hitachi Construction Machinery Co Ltd | 3,100 | 72 | ||||||
Hoya Corp | 500 | 55 | ||||||
Ibiden Co Ltd | 1,500 | 60 | ||||||
Idemitsu Kosan Co Ltd | 8,998 | 197 | ||||||
Iida Group Holdings Co Ltd | 3,400 | 55 | ||||||
Inpex Corp | 12,100 | 128 | ||||||
ITOCHU Corp | 3,700 | 120 | ||||||
Itochu Techno-Solutions Corp | 2,800 | 69 | ||||||
Japan Airlines Co Ltd | 5,500 | 107 | ||||||
Japan Exchange Group Inc | 12,200 | 186 | ||||||
Japan Metropolitan Fund Invest, Cl A ‡ | 64 | 47 | ||||||
Japan Post Bank Co Ltd | 14,500 | 118 | ||||||
Japan Post Holdings Co Ltd | 13,200 | 107 | ||||||
Japan Real Estate Investment Corp ‡ | 12 | 48 | ||||||
Japan Tobacco Inc | 6,700 | 141 | ||||||
JFE Holdings Inc | 5,400 | 68 | ||||||
JSR Corp | 1,900 | 45 | ||||||
Kansai Electric Power Co Inc/The | 26,300 | 256 | ||||||
Kao Corp | 1,800 | 70 | ||||||
KDDI Corp | 12,600 | 388 | ||||||
Keio Corp | 2,500 | 88 | ||||||
Kikkoman Corp | 900 | 46 | ||||||
Kintetsu Group Holdings Co Ltd | 4,000 | 129 | ||||||
Kirin Holdings Co Ltd | 4,100 | 65 | ||||||
Kobayashi Pharmaceutical Co Ltd | 1,100 | 67 | ||||||
Kobe Bussan Co Ltd | 2,600 | 72 | ||||||
Koei Tecmo Holdings Co Ltd | 4,360 | 79 |
224
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Koito Manufacturing Co Ltd | 9,900 | $ | 187 | |||||
Komatsu Ltd | 4,100 | 102 | ||||||
Konami Group Corp | 1,600 | 73 | ||||||
Kose Corp | 1,000 | 119 | ||||||
Kubota Corp | 3,100 | 47 | ||||||
Kyocera Corp | 1,500 | 78 | ||||||
Kyowa Kirin Co Ltd | 4,100 | 89 | ||||||
Lasertec Corp | 200 | 35 | ||||||
Lixil Corp | 2,000 | 33 | ||||||
M3 Inc | 1,900 | 48 | ||||||
Marubeni Corp | 7,100 | 96 | ||||||
McDonald's Holdings Co Japan Ltd | 5,223 | 217 | ||||||
MEIJI Holdings Co Ltd | 4,800 | 114 | ||||||
Mitsubishi Chemical Group Corp, Cl B | 8,100 | 48 | ||||||
Mitsui Fudosan Co Ltd | 2,500 | 47 | ||||||
MonotaRO Co Ltd | 2,000 | 25 | ||||||
NEC Corp | 4,600 | 177 | ||||||
Nexon Co Ltd | 3,800 | 91 | ||||||
Nintendo Co Ltd | 2,040 | 79 | ||||||
Nippon Building Fund Inc ‡ | 13 | 54 | ||||||
Nippon Paint Holdings Co Ltd | 5,400 | 51 | ||||||
Nippon Prologis REIT Inc ‡ | 40 | 84 | ||||||
Nippon Sanso Holdings Corp | 2,600 | 47 | ||||||
Nippon Shinyaku Co Ltd | 2,600 | 114 | ||||||
Nippon Steel Corp | 4,300 | 101 | ||||||
Nippon Telegraph & Telephone Corp | 8,100 | 241 | ||||||
Nippon Yusen KK | 900 | 21 | ||||||
Nissan Chemical Corp | 1,800 | 82 | ||||||
Nisshin Seifun Group Inc | 4,815 | 56 | ||||||
Nissin Foods Holdings Co Ltd | 2,000 | 182 | ||||||
Nitori Holdings | 600 | 72 | ||||||
Nomura Holdings Inc | 12,000 | 46 | ||||||
Nomura Real Estate Holdings Inc | 8,400 | 186 | ||||||
Nomura Real Estate Master Fund Inc ‡ | 44 | 49 | ||||||
NTT Data Corp | 3,400 | 45 | ||||||
Obic Co Ltd | 400 | 63 | ||||||
Odakyu Electric Railway Co Ltd | 3,500 | 45 | ||||||
Oji Holdings Corp | 14,000 | 55 | ||||||
Olympus Corp | 3,600 | 63 | ||||||
Ono Pharmaceutical Co Ltd | 3,700 | 77 | ||||||
Oracle Corp Japan | 1,200 | 86 | ||||||
Oriental Land Co Ltd/Japan | 3,000 | 102 | ||||||
ORIX Corp | 3,400 | 56 | ||||||
Osaka Gas Co Ltd | 40,900 | 670 | ||||||
Otsuka Corp | 2,000 | 71 | ||||||
Otsuka Holdings Co Ltd | 2,600 | 82 | ||||||
Pan Pacific International Holdings Corp | 19,300 | 373 | ||||||
Panasonic Holdings Corp | 10,200 | 91 | ||||||
Rakuten Group Inc | 7,600 | 35 | ||||||
Renesas Electronics Corp * | 4,800 | 69 | ||||||
Rohm Co Ltd | 700 | 58 | ||||||
SBI Holdings Inc | 2,400 | 48 |
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
SCSK Corp | 3,600 | $ | 53 | |||||
Secom Co Ltd | 1,100 | 68 | ||||||
Seiko Epson Corp | 9,600 | 137 | ||||||
Seven & i Holdings Co Ltd | 3,600 | 162 | ||||||
SG Holdings Co Ltd | 8,000 | 118 | ||||||
Sharp Corp/Japan | 4,700 | 33 | ||||||
Shimadzu Corp | 2,300 | 72 | ||||||
Shimano Inc | 400 | 69 | ||||||
Shionogi & Co Ltd | 1,600 | 72 | ||||||
Shiseido Co Ltd | 1,900 | 89 | ||||||
Shizuoka Financial Group Inc | 12,000 | 86 | ||||||
SoftBank Corp | 14,200 | 164 | ||||||
SoftBank Group Corp | 900 | 35 | ||||||
Sompo Holdings Inc | 2,100 | 83 | ||||||
Sony Group Corp | 800 | 73 | ||||||
Square Enix Holdings Co Ltd | 3,200 | 153 | ||||||
Subaru Corp | 3,700 | 59 | ||||||
SUMCO Corp | 3,000 | 45 | ||||||
Sumitomo Chemical Co Ltd | 39,700 | 133 | ||||||
Sumitomo Corp | 6,500 | 115 | ||||||
Sumitomo Metal Mining Co Ltd | 1,000 | 38 | ||||||
Suntory Beverage & Food Ltd | 3,500 | 130 | ||||||
Sysmex Corp | 1,000 | 65 | ||||||
T&D Holdings Inc | 4,600 | 57 | ||||||
Taisei Corp | 1,900 | 59 | ||||||
Takeda Pharmaceutical Co Ltd | 4,318 | 142 | ||||||
TDK Corp | 1,500 | 54 | ||||||
Terumo Corp | 2,800 | 76 | ||||||
TIS Inc | 3,300 | 87 | ||||||
Tobu Railway Co Ltd | 5,000 | 119 | ||||||
Toho Co Ltd/Tokyo | 3,600 | 138 | ||||||
Tokio Marine Holdings Inc | 6,900 | 132 | ||||||
Tokyo Electric Power Co Holdings Inc * | 43,300 | 154 | ||||||
Tokyo Gas Co Ltd | 50,200 | 941 | ||||||
Tokyu Corp | 7,000 | 93 | ||||||
Toray Industries Inc | 10,000 | 57 | ||||||
Toshiba Corp | 2,700 | 90 | ||||||
Tosoh Corp | 12,700 | 172 | ||||||
Toyota Industries Corp | 700 | 39 | ||||||
Toyota Motor Corp | 8,800 | 125 | ||||||
Trend Micro Inc/Japan | 3,300 | 162 | ||||||
Unicharm Corp | 5,000 | 205 | ||||||
Welcia Holdings Co Ltd | 5,700 | 122 | ||||||
West Japan Railway Co | 3,400 | 140 | ||||||
Yakult Honsha Co Ltd | 2,100 | 152 | ||||||
Yamaha Corp | 1,100 | 42 | ||||||
Yamato Holdings Co Ltd | 2,500 | 43 | ||||||
Yaskawa Electric Corp | 1,400 | 61 | ||||||
Yokogawa Electric Corp | 3,700 | 60 | ||||||
ZOZO Inc | 1,800 | 41 | ||||||
17,500 | ||||||||
SEI Institutional Managed Trust
225
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Accumulation Fund (Continued)
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Jordan — 0.0% | ||||||||
Hikma Pharmaceuticals PLC | 6,315 | $ | 131 | |||||
Luxembourg — 0.0% | ||||||||
Eurofins Scientific SE | 1,432 | 96 | ||||||
Netherlands — 0.1% | ||||||||
ABN AMRO Bank NV | 5,808 | 92 | ||||||
Adyen NV * | 65 | 103 | ||||||
Aegon NV | 14,434 | 62 | ||||||
Akzo Nobel NV | 725 | 57 | ||||||
ArcelorMittal SA | 2,187 | 66 | ||||||
ASM International NV | 322 | 130 | ||||||
ASML Holding NV | 209 | 142 | ||||||
Heineken Holding NV | 1,929 | 177 | ||||||
Heineken NV | 1,761 | 190 | ||||||
ING Groep NV | 6,781 | 80 | ||||||
JDE Peet's NV | 6,548 | 191 | ||||||
Just Eat Takeaway.com NV * | 2,362 | 45 | ||||||
Koninklijke Ahold Delhaize NV | 6,728 | 230 | ||||||
Koninklijke DSM NV | 490 | 58 | ||||||
Koninklijke KPN NV | 43,321 | 153 | ||||||
Koninklijke Philips NV | 3,809 | 70 | ||||||
OCI NV | 1,649 | 56 | ||||||
Prosus NV | 898 | 70 | ||||||
Unibail-Rodamco-Westfield *‡ | 1,316 | 71 | ||||||
Universal Music Group NV | 5,777 | 146 | ||||||
Wolters Kluwer NV | 1,366 | 173 | ||||||
2,362 | ||||||||
New Zealand — 0.0% | ||||||||
Auckland International Airport Ltd * | 12,197 | 66 | ||||||
Fisher & Paykel Healthcare Corp Ltd | 11,240 | 188 | ||||||
Meridian Energy Ltd | 35,246 | 116 | ||||||
Spark New Zealand Ltd | 101,554 | 322 | ||||||
692 | ||||||||
Norway — 0.0% | ||||||||
Aker BP ASA | 6,322 | 155 | ||||||
Equinor ASA | 5,897 | 168 | ||||||
Gjensidige Forsikring ASA | 3,339 | 55 | ||||||
Kongsberg Gruppen ASA | 3,110 | 125 | ||||||
Norsk Hydro ASA | 18,290 | 136 | ||||||
Telenor ASA | 20,281 | 238 | ||||||
877 | ||||||||
Portugal — 0.0% | ||||||||
EDP - Energias de Portugal SA | 41,479 | 226 | ||||||
Galp Energia SGPS SA | 27,201 | 309 | ||||||
535 | ||||||||
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Singapore — 0.1% | ||||||||
CapitaLand Ascendas REIT ‡ | 28,900 | $ | 62 | |||||
Capitaland Investment Ltd/Singapore | 15,100 | 42 | ||||||
City Developments Ltd | 10,200 | 57 | ||||||
Jardine Cycle & Carriage Ltd | 9,100 | 214 | ||||||
Jardine Matheson Holdings Ltd | 3,164 | 154 | ||||||
Oversea-Chinese Banking Corp Ltd | 4,100 | 38 | ||||||
Sea Ltd ADR * | 5,508 | 477 | ||||||
Singapore Exchange Ltd | 7,100 | 50 | ||||||
Singapore Technologies Engineering Ltd | 26,600 | 73 | ||||||
Singapore Telecommunications Ltd | 252,100 | 468 | ||||||
Venture Corp Ltd | 25,300 | 337 | ||||||
1,972 | ||||||||
South Korea — 0.0% | ||||||||
Delivery Hero SE * | 1,113 | 38 | ||||||
Spain — 0.1% | ||||||||
Acciona SA | 722 | 145 | ||||||
ACS Actividades de Construccion y Servicios SA | 1,954 | 62 | ||||||
Aena SME SA * | 513 | 83 | ||||||
Amadeus IT Group SA, Cl A * | 1,707 | 114 | ||||||
Banco Santander SA | 14,314 | 53 | ||||||
CaixaBank SA | 13,416 | 52 | ||||||
Cellnex Telecom SA | 4,726 | 184 | ||||||
Corp ACCIONA Energias Renovables SA | 3,758 | 146 | ||||||
EDP Renovaveis SA | 7,361 | 169 | ||||||
Enagas SA | 5,761 | 111 | ||||||
Endesa SA | 8,563 | 186 | ||||||
Ferrovial SA | 2,453 | 72 | ||||||
Grifols SA * | 12,839 | 127 | ||||||
Iberdrola SA | 10,170 | 127 | ||||||
Industria de Diseno Textil SA | 6,407 | 215 | ||||||
Repsol SA, Cl A | 13,993 | 216 | ||||||
Telefonica SA | 41,335 | 179 | ||||||
2,241 | ||||||||
Sweden — 0.1% | ||||||||
Atlas Copco AB, Cl A | 1,380 | 18 | ||||||
Boliden AB | 2,335 | 92 | ||||||
Embracer Group AB, Cl B * | 38,931 | 182 | ||||||
Epiroc AB, Cl A | 6,391 | 127 | ||||||
EQT AB | 2,299 | 47 | ||||||
Evolution AB | 948 | 127 | ||||||
Getinge AB, Cl B | 3,429 | 84 | ||||||
Hexagon AB, Cl B | 6,475 | 74 | ||||||
Holmen AB, Cl B | 3,015 | 116 | ||||||
Indutrade AB | 8,779 | 186 | ||||||
L E Lundbergforetagen AB, Cl B | 4,595 | 208 | ||||||
Nibe Industrier AB, Cl B | 13,845 | 157 | ||||||
Nordea Bank Abp, Cl A | 6,982 | 75 |
226
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Skandinaviska Enskilda Banken AB, Cl A | 5,484 | $ | 61 | |||||
SKF AB, Cl B | 7,979 | 157 | ||||||
Svenska Cellulosa AB SCA, Cl B | 8,996 | 118 | ||||||
Svenska Handelsbanken AB, Cl A | 7,194 | 62 | ||||||
Swedbank AB, Cl A | 3,925 | 64 | ||||||
Swedish Orphan Biovitrum AB * | 5,208 | 121 | ||||||
Tele2 AB, Cl B | 24,535 | 244 | ||||||
Telefonaktiebolaget LM Ericsson, Cl B | 24,467 | 143 | ||||||
Telia Co AB | 107,041 | 272 | ||||||
2,735 | ||||||||
Switzerland — 0.2% | ||||||||
Adecco Group AG | 1,187 | 43 | ||||||
Alcon Inc | 2,354 | 167 | ||||||
Bachem Holding AG, Cl B | 1,569 | 157 | ||||||
Baloise Holding AG | 496 | 77 | ||||||
Barry Callebaut AG | 104 | 221 | ||||||
BKW AG | 2,261 | 356 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 1 | 118 | ||||||
Cie Financiere Richemont SA, Cl A | 745 | 119 | ||||||
Geberit AG | 215 | 120 | ||||||
Givaudan SA | 26 | 85 | ||||||
Holcim AG | 1,540 | 99 | ||||||
Logitech International SA | 1,488 | 86 | ||||||
Lonza Group AG | 296 | 177 | ||||||
Nestle SA | 1,850 | 226 | ||||||
Novartis AG | 1,266 | 116 | ||||||
Partners Group Holding AG | 76 | 71 | ||||||
Roche Holding AG | 484 | 146 | ||||||
Schindler Holding AG | 179 | 38 | ||||||
SGS SA, Cl B | 41 | 90 | ||||||
SIG Group AG | 4,394 | 113 | ||||||
Sika AG | 195 | 55 | ||||||
Sonova Holding AG | 526 | 155 | ||||||
Straumann Holding AG | 960 | 143 | ||||||
Swatch Group AG/The, Cl B | 251 | 86 | ||||||
Swiss Life Holding AG | 180 | 111 | ||||||
Swiss Prime Site AG | 588 | 49 | ||||||
Swisscom AG | 729 | 465 | ||||||
Temenos AG | 2,087 | 145 | ||||||
UBS Group AG | 4,371 | 92 | ||||||
VAT Group AG | 332 | 119 | ||||||
Zurich Insurance Group AG | 87 | 42 | ||||||
4,087 | ||||||||
United Kingdom — 0.3% | ||||||||
Admiral Group PLC | 2,390 | 60 | ||||||
Antofagasta PLC | 6,096 | 119 | ||||||
Associated British Foods PLC | 7,753 | 186 | ||||||
AstraZeneca PLC | 1,035 | 144 | ||||||
Auto Trader Group PLC | 23,673 | 180 | ||||||
Barratt Developments PLC | 6,905 | 40 |
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
Berkeley Group Holdings PLC | 1,223 | $ | 64 | |||||
BP PLC | 46,411 | 293 | ||||||
British American Tobacco PLC | 4,565 | 160 | ||||||
BT Group PLC, Cl A | 104,801 | 189 | ||||||
Bunzl PLC | 3,000 | 113 | ||||||
Burberry Group PLC | 2,683 | 86 | ||||||
Coca-Cola Europacific Partners PLC | 3,518 | 208 | ||||||
Coca-Cola HBC AG | 4,673 | 128 | ||||||
Compass Group PLC | 3,169 | 80 | ||||||
DCC PLC | 732 | 43 | ||||||
Diageo PLC | 2,888 | 129 | ||||||
Experian PLC | 1,157 | 38 | ||||||
GSK PLC | 4,891 | 86 | ||||||
Haleon PLC | 22,671 | 90 | ||||||
Halma PLC | 5,482 | 151 | ||||||
Hargreaves Lansdown PLC | 4,638 | 46 | ||||||
HSBC Holdings PLC | 17,725 | 121 | ||||||
Imperial Brands PLC | 5,956 | 137 | ||||||
InterContinental Hotels Group PLC | 861 | 57 | ||||||
J Sainsbury PLC | 54,025 | 186 | ||||||
Johnson Matthey PLC | 2,742 | 67 | ||||||
Kingfisher PLC | 15,739 | 51 | ||||||
Land Securities Group PLC ‡ | 4,420 | 34 | ||||||
London Stock Exchange Group PLC | 585 | 57 | ||||||
Mondi PLC | 5,822 | 92 | ||||||
National Grid PLC | 16,672 | 226 | ||||||
NMC Health PLC * | 12,179 | — | ||||||
Ocado Group PLC * | 7,660 | 51 | ||||||
Pearson PLC | 15,564 | 163 | ||||||
Persimmon PLC | 2,512 | 39 | ||||||
Phoenix Group Holdings PLC | 7,887 | 53 | ||||||
Prudential PLC | 1,980 | 27 | ||||||
Reckitt Benckiser Group PLC | 1,696 | 129 | ||||||
RELX PLC | 3,034 | 98 | ||||||
Rentokil Initial PLC | 12,011 | 88 | ||||||
Rolls-Royce Holdings PLC * | 19,553 | 36 | ||||||
Sage Group PLC/The | 12,410 | 119 | ||||||
Segro PLC ‡ | 3,917 | 37 | ||||||
Severn Trent PLC | 3,984 | 142 | ||||||
Shell PLC | 10,804 | 308 | ||||||
Smith & Nephew PLC | 9,612 | 133 | ||||||
Smiths Group PLC | 3,056 | 65 | ||||||
Smurfit Kappa Group PLC | 3,889 | 141 | ||||||
SSE PLC | 6,499 | 145 | ||||||
Taylor Wimpey PLC | 153,902 | 226 | ||||||
Tesco PLC | 17,126 | 56 | ||||||
United Utilities Group PLC, Cl B | 16,150 | 212 | ||||||
Vodafone Group PLC | 157,079 | 173 | ||||||
Whitbread PLC | 1,289 | 48 |
SEI Institutional Managed Trust
227
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Accumulation Fund (Continued)
Description | Shares | Market Value | ||||||
FOREIGN COMMON STOCK (continued) | ||||||||
WPP PLC | 14,932 | $ | 177 | |||||
6,327 | ||||||||
Total Foreign Common Stock | ||||||||
(Cost $65,181) ($ Thousands) | 70,442 | |||||||
EXCHANGE TRADED FUND — 0.7% | ||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 130,327 | 14,285 | ||||||
Total Exchange Traded Fund | ||||||||
(Cost $14,921) ($ Thousands) | 14,285 | |||||||
Face Amount | ||||||||
CORPORATE OBLIGATIONS — 0.1%^ | ||||||||
Consumer Discretionary — 0.1% | ||||||||
Toyota Motor | ||||||||
3.419%, 07/20/2023 ^ | $ | 500 | 497 | |||||
Energy — 0.0% | ||||||||
CNOOC Petroleum North America ULC | ||||||||
5.875%, 03/10/2035 ^ | 100 | 105 | ||||||
Financials — 0.0% | ||||||||
Landwirtschaftliche Rentenbank | ||||||||
2.000%, 01/13/2025 ^ | 250 | 240 | ||||||
Toronto-Dominion Bank MTN | ||||||||
3.500%, 07/19/2023 ^ | 250 | 249 | ||||||
489 | ||||||||
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Information Technology — 0.0% | ||||||||
Apple | ||||||||
2.400%, 05/03/2023 ^ | $ | 250 | $ | 250 | ||||
Total Corporate Obligations | ||||||||
(Cost $1,361) ($ Thousands) | 1,341 | |||||||
| ||||||||
PREFERRED STOCK — 0.0% | ||||||||
Consumer Discretionary — 0.0% | ||||||||
Porsche Automobil Holding SE (D) | 2,071 | 119 | ||||||
Health Care — 0.0% | ||||||||
Sartorius AG (D) | 230 | 97 | ||||||
Total Preferred Stock | ||||||||
(Cost $215) ($ Thousands) | 216 | |||||||
COMMON STOCK — 0.0% | ||||||||
Information Technology — 0.0% | ||||||||
CyberArk Software Ltd * | 1,176 | 174 | ||||||
Total Common Stock | ||||||||
(Cost $148) ($ Thousands) | 174 | |||||||
Number of Rights | ||||||||
RIGHTS — 0.0% | ||||||||
Abiomed Inc *‡‡ | 422 | – | ||||||
Total Rights | ||||||||
(Cost $—) ($ Thousands) | – | |||||||
Total Investments in Securities — 65.8% | ||||||||
(Cost $1,384,418) ($ Thousands) | $ | 1,358,517 | ||||||
A list of the open futures contracts held by the Fund at March 31, 2023, is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Amsterdam Index | 117 | Apr-2023 | $ | 18,523 | $ | 19,234 | $ | 478 | ||||||||||||
Australian 10-Year Bond | 1,628 | Jun-2023 | 130,566 | 133,990 | 2,384 | |||||||||||||||
Australian 3-Year Bond | 254 | Jun-2023 | 18,369 | 18,511 | 74 | |||||||||||||||
Brent Crude^ | 141 | May-2023 | 11,430 | 11,242 | (188 | ) | ||||||||||||||
Brent Crude^ | 40 | Apr-2023 | 2,935 | 3,196 | 261 |
228
SEI Institutional Managed Trust
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
CAC40 10 Euro Index | 31 | Apr-2023 | $ | 2,327 | $ | 2,470 | $ | 92 | ||||||||||||
Canadian 10-Year Bond | 1,018 | Jun-2023 | 91,359 | 94,898 | 3,413 | |||||||||||||||
Coffee C^ | 6 | May-2023 | 392 | 384 | (8 | ) | ||||||||||||||
Coffee C^ | 74 | Jul-2023 | 4,887 | 4,709 | (178 | ) | ||||||||||||||
Copper^ | 43 | May-2023 | 4,441 | 4,402 | (40 | ) | ||||||||||||||
Corn^ | 87 | Sep-2023 | 2,520 | 2,511 | (9 | ) | ||||||||||||||
Corn^ | 309 | Jul-2023 | 9,486 | 9,826 | 340 | |||||||||||||||
Corn^ | 13 | May-2023 | 410 | 429 | 20 | |||||||||||||||
Corn^ | 20 | Jul-2023 | 639 | 636 | (3 | ) | ||||||||||||||
Cotton No. 2^ | 50 | Jul-2023 | 2,145 | 2,077 | (67 | ) | ||||||||||||||
Cotton No. 2^ | 13 | Jul-2023 | 532 | 540 | 8 | |||||||||||||||
DAX Index | 41 | Jun-2023 | 16,912 | 17,592 | 470 | |||||||||||||||
Euro STOXX 50 | 537 | Jun-2023 | 23,556 | 24,860 | 994 | |||||||||||||||
Euro-Bobl | 719 | Jun-2023 | 88,110 | 92,083 | 1,919 | |||||||||||||||
Euro-BTP | 337 | Jun-2023 | 39,915 | 42,233 | 1,421 | |||||||||||||||
Euro-Bund | 735 | Jun-2023 | 104,314 | 108,474 | 2,301 | |||||||||||||||
Euro-Buxl | 157 | Jun-2023 | 22,145 | 24,027 | 1,349 | |||||||||||||||
Euro-OAT | 137 | Jun-2023 | 18,708 | 19,384 | 379 | |||||||||||||||
Euro-Schatz | 258 | Jun-2023 | 29,139 | 29,627 | 57 | |||||||||||||||
Feeder Cattle^ | 10 | Aug-2023 | 1,071 | 1,110 | 38 | |||||||||||||||
Feeder Cattle^ | 53 | May-2023 | 5,328 | 5,439 | 112 | |||||||||||||||
FTSE 100 Index | 506 | Jun-2023 | 46,601 | 47,793 | 329 | |||||||||||||||
FTSE MIB Index | 147 | Jun-2023 | 20,273 | 21,286 | 632 | |||||||||||||||
FTSE Taiwan Index | 147 | Apr-2023 | 8,102 | 8,161 | 60 | |||||||||||||||
FTSE/JSE Top 40 Index | 96 | Jun-2023 | 3,692 | 3,854 | 66 | |||||||||||||||
Gasoline^ | 22 | Jun-2023 | 2,369 | 2,378 | 8 | |||||||||||||||
Gasoline^ | 62 | May-2023 | 6,772 | 6,843 | 71 | |||||||||||||||
Gasoline^ | 37 | Apr-2023 | 4,082 | 4,166 | 84 | |||||||||||||||
Gold^ | 229 | Jun-2023 | 43,071 | 45,484 | 2,413 | |||||||||||||||
Hang Seng China Enterprises Index | 219 | Apr-2023 | 9,490 | 9,781 | 291 | |||||||||||||||
Hang Seng Index | 259 | Apr-2023 | 32,522 | 33,787 | 1,265 | |||||||||||||||
IBEX | 152 | Apr-2023 | 14,852 | 15,182 | 151 | |||||||||||||||
Japanese 10-Year Bond | 199 | Jun-2023 | 213,307 | 221,473 | 3,534 | |||||||||||||||
Japanese 10-Year Government Bond E-MINI | 1,496 | Jun-2023 | 160,038 | 166,157 | 2,702 | |||||||||||||||
KC HRW Wheat^ | 28 | May-2023 | 1,240 | 1,229 | (11 | ) | ||||||||||||||
KOSPI 200 Index | 39 | Jun-2023 | 2,361 | 2,424 | 65 | |||||||||||||||
Lean Hogs^ | 20 | Aug-2023 | 832 | 755 | (77 | ) | ||||||||||||||
Lean Hogs^ | 13 | Jun-2023 | 534 | 476 | (58 | ) | ||||||||||||||
Live Cattle^ | 156 | Jun-2023 | 9,908 | 10,117 | 209 | |||||||||||||||
Live Cattle^ | 65 | Aug-2023 | 4,154 | 4,197 | 43 | |||||||||||||||
LME Copper^ | 125 | Jun-2023 | 27,936 | 28,102 | 165 | |||||||||||||||
LME Lead^ | 39 | Jun-2023 | 2,089 | 2,055 | (34 | ) | ||||||||||||||
LME Nickel^ | 35 | Jun-2023 | 5,423 | 5,004 | (419 | ) | ||||||||||||||
LME Primary Aluminum^ | 92 | Jun-2023 | 5,650 | 5,544 | (106 | ) | ||||||||||||||
LME Zinc^ | 124 | Jun-2023 | 9,708 | 9,067 | (641 | ) | ||||||||||||||
Long Gilt 10-Year Bond | 997 | Jun-2023 | 122,545 | 127,403 | 1,995 | |||||||||||||||
Low Sulphur Gasoil^ | 96 | Jun-2023 | 7,509 | 7,102 | (407 | ) | ||||||||||||||
Low Sulphur Gasoil^ | 6 | Jul-2023 | 476 | 441 | (35 | ) | ||||||||||||||
MSCI Emerging Markets | 70 | Jun-2023 | 3,367 | 3,484 | 117 | |||||||||||||||
Natural Gas^ | 198 | May-2023 | 5,905 | 4,881 | (1,024 | ) | ||||||||||||||
Natural Gas^ | 60 | Jun-2023 | 1,941 | 1,639 | (302 | ) | ||||||||||||||
NY Harbor ULSD^ | 60 | May-2023 | 6,686 | 6,469 | (217 | ) | ||||||||||||||
NYMEX Cocoa^ | 5 | May-2023 | 138 | 147 | 8 | |||||||||||||||
NYMEX Cocoa^ | 123 | Sep-2023 | 3,491 | 3,537 | 46 | |||||||||||||||
NYMEX Cocoa^ | 72 | Jul-2023 | 1,989 | 2,084 | 94 | |||||||||||||||
OMX Stockholm 30 | 695 | Apr-2023 | 14,347 | 14,857 | 381 | |||||||||||||||
Russell 2000 Index E-MINI | 1,022 | Jun-2023 | 90,288 | 92,670 | 2,381 | |||||||||||||||
Russell 2000 Index E-MINI | 110 | Jun-2023 | 10,022 | 9,974 | (48 | ) |
SEI Institutional Managed Trust
229
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Accumulation Fund (Continued)
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
S&P 500 Index E-MINI | 896 | Jun-2023 | $ | 176,506 | $ | 185,371 | $ | 8,866 | ||||||||||||
S&P Mid Cap 400 Index E-MINI | 52 | Jun-2023 | 12,981 | 13,154 | 174 | |||||||||||||||
S&P TSX 60 Index | 219 | Jun-2023 | 38,075 | 39,135 | 623 | |||||||||||||||
SET 50 | 155 | Jun-2023 | 870 | 878 | 6 | |||||||||||||||
SGX Nifty 50 | 7 | Apr-2023 | 240 | 244 | 4 | |||||||||||||||
Silver^ | 95 | May-2023 | 10,275 | 11,474 | 1,200 | |||||||||||||||
Soybean^ | 182 | May-2023 | 13,901 | 13,700 | (201 | ) | ||||||||||||||
Soybean^ | 7 | Aug-2023 | 508 | 498 | (10 | ) | ||||||||||||||
Soybean^ | 27 | Jul-2023 | 2,002 | 1,992 | (10 | ) | ||||||||||||||
Soybean Meal^ | 166 | Jul-2023 | 7,467 | 7,658 | 190 | |||||||||||||||
Soybean Meal^ | 30 | May-2023 | 1,421 | 1,398 | (23 | ) | ||||||||||||||
Soybean Meal^ | 5 | Aug-2023 | 224 | 225 | 1 | |||||||||||||||
Soybean Meal^ | 51 | Jul-2023 | 2,361 | 2,353 | (9 | ) | ||||||||||||||
Soybean Oil^ | 56 | May-2023 | 2,026 | 1,864 | (162 | ) | ||||||||||||||
Soybean Oil^ | 17 | Jul-2023 | 556 | 567 | 11 | |||||||||||||||
Soybean Oil^ | 20 | Sep-2023 | 711 | 657 | (54 | ) | ||||||||||||||
Soybean Oil^ | 28 | Aug-2023 | 1,006 | 928 | (78 | ) | ||||||||||||||
Soybean Oil^ | 12 | Jul-2023 | 439 | 400 | (38 | ) | ||||||||||||||
SPI 200 Index | 275 | Jun-2023 | 32,755 | 33,111 | 265 | |||||||||||||||
Sugar No. 11^ | 137 | Jun-2023 | 3,078 | 3,350 | 271 | |||||||||||||||
Sugar No. 11^ | 466 | Apr-2023 | 10,376 | 11,613 | 1,237 | |||||||||||||||
TOPIX Index | 516 | Jun-2023 | 76,240 | 77,677 | (447 | ) | ||||||||||||||
U.S. 2-Year Treasury Note | 831 | Jun-2023 | 169,842 | 171,563 | 1,721 | |||||||||||||||
U.S. 5-Year Treasury Note | 1,927 | Jun-2023 | 207,059 | 211,022 | 3,963 | |||||||||||||||
U.S. 10-Year Treasury Note | 2,244 | Jun-2023 | 252,210 | 257,885 | 5,674 | |||||||||||||||
U.S. Long Treasury Bond | 709 | Jun-2023 | 89,559 | 92,990 | 3,431 | |||||||||||||||
U.S. Ultra Long Treasury Bond | 317 | Jun-2023 | 43,221 | 44,737 | 1,516 | |||||||||||||||
Wheat^ | 75 | Jul-2023 | 2,680 | 2,642 | (38 | ) | ||||||||||||||
Wheat^ | 20 | Sep-2023 | 725 | 717 | (8 | ) | ||||||||||||||
Wheat^ | 20 | Jul-2023 | 688 | 704 | 16 | |||||||||||||||
WTI Crude Oil^ | 38 | Aug-2023 | 2,545 | 2,850 | 305 | |||||||||||||||
WTI Crude Oil^ | 82 | May-2023 | 6,172 | 6,216 | 44 | |||||||||||||||
2,722,588 | 2,803,460 | 57,788 | ||||||||||||||||||
Short Contracts | ||||||||||||||||||||
Cotton No. 2^ | (15 | ) | May-2023 | $ | (601 | ) | $ | (621 | ) | $ | (20 | ) | ||||||||
DAX Index | (15 | ) | Jun-2023 | (6,047 | ) | (6,436 | ) | (252 | ) | |||||||||||
FTSE KLCI | (1 | ) | Apr-2023 | (16 | ) | (16 | ) | – | ||||||||||||
KC HRW Wheat^ | (6 | ) | Jul-2023 | (241 | ) | (259 | ) | (18 | ) | |||||||||||
LME Primary Aluminum^ | (82 | ) | Jun-2023 | (4,858 | ) | (4,942 | ) | (84 | ) | |||||||||||
Low Sulphur Gasoil^ | (4 | ) | May-2023 | (298 | ) | (301 | ) | (3 | ) | |||||||||||
MSCI Singapore Index | (111 | ) | Apr-2023 | (2,530 | ) | (2,557 | ) | (27 | ) | |||||||||||
Natural Gas^ | (21 | ) | Apr-2023 | (489 | ) | (465 | ) | 23 | ||||||||||||
NY Harbor ULSD^ | (18 | ) | Apr-2023 | (1,971 | ) | (1,981 | ) | (10 | ) | |||||||||||
OMX Stockholm 30 | (303 | ) | Apr-2023 | (6,076 | ) | (6,477 | ) | (304 | ) | |||||||||||
Platinum^ | (2 | ) | Feb-2024 | (31 | ) | (31 | ) | – | ||||||||||||
Soybean^ | (59 | ) | Jul-2023 | (4,271 | ) | (4,353 | ) | (82 | ) | |||||||||||
Wheat^ | (13 | ) | May-2023 | (445 | ) | (450 | ) | (5 | ) | |||||||||||
WTI Crude Oil^ | (46 | ) | Apr-2023 | (3,473 | ) | (3,481 | ) | (7 | ) | |||||||||||
(31,347 | ) | (32,370 | ) | (789 | ) | |||||||||||||||
$ | 2,691,241 | $ | 2,771,090 | $ | 56,999 |
230
SEI Institutional Managed Trust
A list of the open forward foreign currency contracts held by the Fund at March 31, 2023, is as follows:
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
BNYMellon | 04/27/23 | GBP | 5,090 | USD | 6,271 | $ | (25 | ) | ||||||||||||||||
BNYMellon | 04/27/23 | AUD | 5,450 | USD | 3,646 | (7 | ) | |||||||||||||||||
BNYMellon | 04/27/23 | CAD | 9,267 | USD | 6,796 | (55 | ) | |||||||||||||||||
BNYMellon | 04/27/23 | EUR | 16,890 | USD | 18,310 | (65 | ) | |||||||||||||||||
BNYMellon | 04/27/23 | JPY | 2,296,200 | USD | 17,580 | 248 | ||||||||||||||||||
Brown Brothers Harriman | 04/27/23 | GBP | 30,700 | USD | 37,571 | (402 | ) | |||||||||||||||||
Citigroup | 06/21/23 | USD | 183 | PHP | 10,000 | 1 | ||||||||||||||||||
Citigroup | 06/21/23 | SGD | 542 | USD | 404 | (5 | ) | |||||||||||||||||
Citigroup | 06/21/23 | USD | 83 | TWD | 2,500 | — | ||||||||||||||||||
Citigroup | 06/21/23 | USD | 616 | TWD | 18,500 | (4 | ) | |||||||||||||||||
Citigroup | 06/21/23 | USD | 734 | SGD | 977 | 3 | ||||||||||||||||||
Citigroup | 06/21/23 | USD | 133 | SGD | 177 | — | ||||||||||||||||||
Citigroup | 06/21/23 | USD | 947 | COP | 4,700,000 | 46 | ||||||||||||||||||
Citigroup | 06/21/23 | USD | 1,033 | ILS | 3,735 | 8 | ||||||||||||||||||
Citigroup | 06/21/23 | USD | 18 | ILS | 63 | — | ||||||||||||||||||
Citigroup | 06/21/23 | USD | 1,528 | GBP | 1,266 | 39 | ||||||||||||||||||
Citigroup | 06/21/23 | USD | 1,737 | IDR | 26,500,000 | 35 | ||||||||||||||||||
Citigroup | 06/21/23 | USD | 3,924 | CZK | 87,532 | 112 | ||||||||||||||||||
Citigroup | 06/21/23 | USD | 5,152 | HUF | 1,920,496 | 196 | ||||||||||||||||||
Citigroup | 06/21/23 | ILS | 1,852 | USD | 524 | 8 | ||||||||||||||||||
Citigroup | 06/21/23 | ILS | 5,555 | USD | 1,525 | (24 | ) | |||||||||||||||||
Citigroup | 06/21/23 | USD | 7,599 | PLN | 34,125 | 284 | ||||||||||||||||||
Citigroup | 06/21/23 | USD | 9,195 | BRL | 49,037 | 330 | ||||||||||||||||||
Citigroup | 06/21/23 | USD | 9,683 | ZAR | 178,379 | 301 | ||||||||||||||||||
Citigroup | 06/21/23 | PLN | 1,222 | USD | 282 | — | ||||||||||||||||||
Citigroup | 06/21/23 | PLN | 11,175 | USD | 2,490 | (92 | ) | |||||||||||||||||
Citigroup | 06/21/23 | MXP | 14,000 | USD | 735 | (28 | ) | |||||||||||||||||
Citigroup | 06/21/23 | BRL | 14,641 | USD | 2,750 | (94 | ) | |||||||||||||||||
Citigroup | 06/21/23 | USD | 14,524 | INR | 1,210,125 | 131 | ||||||||||||||||||
Citigroup | 06/21/23 | USD | 2,548 | INR | 210,000 | (5 | ) | |||||||||||||||||
Citigroup | 06/21/23 | USD | 17,848 | EUR | 16,652 | 325 | ||||||||||||||||||
Citigroup | 06/21/23 | USD | 332 | EUR | 304 | (1 | ) | |||||||||||||||||
Citigroup | 06/21/23 | USD | 18,289 | MXP | 343,703 | 447 | ||||||||||||||||||
Citigroup | 06/21/23 | GBP | 19,232 | USD | 23,266 | (547 | ) | |||||||||||||||||
Citigroup | 06/21/23 | USD | 9,133 | KRW | 11,939,441 | 74 | ||||||||||||||||||
Citigroup | 06/21/23 | USD | 10,125 | KRW | 13,089,441 | (31 | ) | |||||||||||||||||
Citigroup | 06/21/23 | USD | 19,880 | CNH | 135,853 | 43 | ||||||||||||||||||
Citigroup | 06/21/23 | USD | 854 | CNH | 5,810 | (2 | ) | |||||||||||||||||
Citigroup | 06/21/23 | CNH | 228 | USD | 33 | — | ||||||||||||||||||
Citigroup | 06/21/23 | CNH | 27,076 | USD | 3,941 | (30 | ) | |||||||||||||||||
Citigroup | 06/21/23 | CZK | 43,000 | USD | 1,928 | (55 | ) | |||||||||||||||||
Citigroup | 06/21/23 | TWD | 33,750 | USD | 1,126 | 9 | ||||||||||||||||||
Citigroup | 06/21/23 | TWD | 11,250 | USD | 372 | — | ||||||||||||||||||
Citigroup | 06/21/23 | PHP | 65,000 | USD | 1,181 | (17 | ) | |||||||||||||||||
Citigroup | 06/21/23 | ZAR | 66,000 | USD | 3,584 | (110 | ) | |||||||||||||||||
Citigroup | 06/21/23 | INR | 70,000 | USD | 841 | (7 | ) | |||||||||||||||||
Citigroup | 06/21/23 | EUR | 1,533 | USD | 1,678 | 5 |
SEI Institutional Managed Trust
231
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Accumulation Fund (Continued)
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
Citigroup | 06/21/23 | EUR | 80,845 | USD | 86,658 | $ | (1,570 | ) | ||||||||||||||||
Citigroup | 06/21/23 | HUF | 265,000 | USD | 710 | (28 | ) | |||||||||||||||||
Citigroup | 06/21/23 | IDR | 1,000,000 | USD | 66 | (1 | ) | |||||||||||||||||
Citigroup | 06/21/23 | COP | 1,850,000 | USD | 371 | (20 | ) | |||||||||||||||||
Citigroup | 06/21/23 | KRW | 2,543,750 | USD | 1,973 | 11 | ||||||||||||||||||
Citigroup | 06/21/23 | KRW | 5,106,250 | USD | 3,923 | (15 | ) | |||||||||||||||||
Citigroup | 06/22/23 | USD | 4,921 | CLP | 4,023,017 | 122 | ||||||||||||||||||
Citigroup | 06/22/23 | CLP | 650,000 | USD | 792 | (23 | ) | |||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 183 | PHP | 10,000 | 1 | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 332 | EUR | 304 | (1 | ) | |||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | SGD | 542 | USD | 404 | (4 | ) | |||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 83 | TWD | 2,500 | — | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 616 | TWD | 18,500 | (3 | ) | |||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 734 | SGD | 977 | 4 | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 133 | SGD | 177 | — | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 947 | COP | 4,700,000 | 46 | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 1,033 | ILS | 3,735 | 8 | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 18 | ILS | 63 | — | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 1,737 | IDR | 26,500,000 | 35 | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 3,527 | EUR | 3,292 | 66 | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 3,924 | CZK | 87,532 | 112 | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 5,152 | HUF | 1,920,496 | 197 | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | ILS | 1,852 | USD | 524 | 8 | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | ILS | 5,555 | USD | 1,525 | (24 | ) | |||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 7,599 | PLN | 34,125 | 285 | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 9,195 | BRL | 49,037 | 331 | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 9,682 | ZAR | 178,379 | 302 | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | PLN | 1,222 | USD | 282 | 1 | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | PLN | 11,175 | USD | 2,490 | (91 | ) | |||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | MXP | 14,000 | USD | 735 | (28 | ) | |||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | BRL | 14,641 | USD | 2,750 | (94 | ) | |||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | GBP | 16,627 | USD | 20,068 | (520 | ) | |||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 14,524 | INR | 1,210,125 | 132 | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 2,548 | INR | 210,000 | (5 | ) | |||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 18,289 | MXP | 343,703 | 448 | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 10,118 | KRW | 13,213,121 | 71 | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 9,142 | KRW | 11,815,760 | (30 | ) | |||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 19,879 | CNH | 135,853 | 44 | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 854 | CNH | 5,810 | (2 | ) | |||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | CNH | 228 | USD | 33 | — | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | CNH | 27,076 | USD | 3,941 | (29 | ) | |||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | CZK | 43,000 | USD | 1,928 | (54 | ) | |||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | TWD | 33,750 | USD | 1,126 | 9 | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | TWD | 11,250 | USD | 372 | — | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | PHP | 65,000 | USD | 1,181 | (16 | ) | |||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | ZAR | 66,000 | USD | 3,582 | (112 | ) | |||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | EUR | 69,961 | USD | 74,926 | (1,424 | ) | |||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | INR | 70,000 | USD | 841 | (7 | ) | |||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | HUF | 265,000 | USD | 710 | (28 | ) |
232
SEI Institutional Managed Trust
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | IDR | 1,000,000 | USD | 66 | $ | (1 | ) | ||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | COP | 1,850,000 | USD | 371 | (20 | ) | |||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | KRW | 2,543,750 | USD | 1,973 | 11 | ||||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | KRW | 5,106,250 | USD | 3,923 | (15 | ) | |||||||||||||||||
JPMorgan Chase Bank | 06/22/23 | USD | 4,921 | CLP | 4,023,017 | 123 | ||||||||||||||||||
JPMorgan Chase Bank | 06/22/23 | CLP | 650,000 | USD | 792 | (22 | ) | |||||||||||||||||
State Street | 04/27/23 | CHF | 3,630 | USD | 3,952 | (34 | ) | |||||||||||||||||
State Street | 04/27/23 | HKD | 27,350 | USD | 3,489 | — | ||||||||||||||||||
State Street | 04/27/23 | EUR | 55,500 | USD | 59,802 | (579 | ) | |||||||||||||||||
$ | (1,394 | ) |
A list of the open OTC swap agreements held by the Fund at March 31, 2023 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 FUTURE APRL23 | POSITIVE PRICE RETURN | POSITIVE PRICE RETURN | At Maturity | 04/12/2023 | BRL | $ | 3,511 | $ | 3,526 | $ | – | $ | 14 | ||||||||||||||||||||||||||
Bank of America | TAIEX FUTURES APR23 | NEGATIVE PRICE RETURN | POSITIVE PRICE RETURN | At Maturity | 04/19/2023 | TWD | 7,440 | 7,711 | – | 271 | ||||||||||||||||||||||||||||||
JPMorgan Chase | AEX INDEX FUTURE SWAP - APR 2023 | NEGATIVE PRICE RETURN | POSITIVE PRICE RETURN | At Maturity | 04/21/2023 | EUR | (6,289 | ) | (6,740 | ) | – | (451 | ) | |||||||||||||||||||||||||||
Citibank | AEX INDEX FUTURE SWAP - APR 2023 | NEGATIVE PRICE RETURN | POSITIVE PRICE RETURN | At Maturity | 04/21/2023 | EUR | (160 | ) | (164 | ) | – | (4 | ) | |||||||||||||||||||||||||||
Bank of America | SGX CNX NIFTY INDEX FUTURE SWAP APR23 | 1 MONTH USD LIBOR | ASSET RETURN | At Maturity | 04/27/2023 | USD | 2,464 | 2,508 | – | 44 | ||||||||||||||||||||||||||||||
JPMorgan Chase | HSCEI FUTURES SWAP APR23 | 1 MONTH USD LIBOR | ASSET RETURN | At Maturity | 04/27/2023 | HKD | 12,917 | 13,309 | – | 392 | ||||||||||||||||||||||||||||||
JPMorgan Chase | HSCEI FUTURES SWAP APR23 | 1 MONTH USD LIBOR | ASSET RETURN | At Maturity | 04/27/2023 | HKD | 13,011 | 13,354 | – | 343 | ||||||||||||||||||||||||||||||
JPMorgan Chase | KOSPI 200 INDEX FUTURE JUN23 | NEGATIVE PRICE RETURN | POSITIVE PRICE RETURN | At Maturity | 06/08/2023 | KRW | 2,969 | 2,984 | – | 15 | ||||||||||||||||||||||||||||||
Bank of America | WIG 20 INDEX FUTURE SWAP - JUN23 | NEGATIVE PRICE RETURN | POSITIVE PRICE RETURN | At Maturity | 06/16/2023 | PLN | (203 | ) | (206 | ) | – | (3 | ) | |||||||||||||||||||||||||||
Bank of America | SWISS MARKET INDEX FUTURE | NEGATIVE PRICE RETURN | POSITIVE PRICE RETURN | At Maturity | 06/16/2023 | CHF | (16,017 | ) | (16,851 | ) | – | (834 | ) | |||||||||||||||||||||||||||
Bank of America | CANADA 10 YR BOND FUTURE SWAP - JUN23 | ASSET PRICE RETURN | NEGATIVE PRICE RETURN | At Maturity | 06/21/2023 | CAD | (90 | ) | (93 | ) | – | (3 | ) | |||||||||||||||||||||||||||
Citibank | RECV .MISG00000NSG | ASSET RETURN | SIBCSORA INDEX | Monthly | 06/21/2023 | SGD | 1,214 | (15 | ) | – | (15 | ) | ||||||||||||||||||||||||||||
Citibank | .MISE00000NSE | ASSET RETURN | STBB1M INDEX | Monthly | 06/21/2023 | SEK | 4,867 | 7 | – | 7 | ||||||||||||||||||||||||||||||
Citibank | RECV .MIMX00000NMX | ASSET RETURN | MXIBTIIE INDEX | Monthly | 06/21/2023 | MXN | 2,960 | – | – | – | ||||||||||||||||||||||||||||||
Bank of America | PAYB TEL AVIV 35 IND | TELBOR01 INDEX | ASSET RETURN | Monthly | 06/21/2023 | ILS | 3,859 | (33 | ) | – | (33 | ) | ||||||||||||||||||||||||||||
Citibank | .MINL00000NEU | ASSET RETURN | ESTRON INDEX | Monthly | 06/21/2023 | EUR | 495 | (12 | ) | – | (12 | ) | ||||||||||||||||||||||||||||
Citibank | PAYB .MIIT00000NEU | ESTRON INDEX | ASSET RETURN | Monthly | 06/21/2023 | EUR | 1,168 | (43 | ) | – | (43 | ) | ||||||||||||||||||||||||||||
Citibank | RECV .MICH00000NCH | ASSET RETURN | SSARON INDEX | Monthly | 06/21/2023 | CHF | 1,673 | (37 | ) | – | (37 | ) | ||||||||||||||||||||||||||||
Citibank | PAYB .MIZA00000NZA | JIBA1M INDEX | ASSET RETURN | Monthly | 06/21/2023 | ZAR | 5,896 | (2 | ) | – | (2 | ) | ||||||||||||||||||||||||||||
Citibank | PAYB .MIAU00000NAU | BBSW1M INDEX | ASSET RETURN | Monthly | 06/21/2023 | AUD | 1,942 | (19 | ) | – | (19 | ) | ||||||||||||||||||||||||||||
$ | 19,184 | $ | – | (370 | ) |
| Percentages are based on Net Assets of $2,065,393 ($ Thousands). |
^ | Security, or a portion thereof, is held by the Accumulation Commodity Strategy Subsidiary, Ltd. as of March 31, 2023. |
* | Non-income producing security. |
‡ | Real Estate Investment Trust. |
‡‡ | Expiration date not available. |
(A) | Interest rate represents the security's effective yield at the time of purchase. |
(B) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On March 31, 2023, the value of these securities amounted to $35,575 ($ Thousands), representing 1.7% of the Net Assets of the Fund. |
(C) | Level 3 security in accordance with fair value hierarchy. |
(D) | No interest rate available. |
SEI Institutional Managed Trust
233
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Accumulation Fund (Concluded)
The following is a summary of the level of inputs used as of March 31, 2023, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): | ||||||||||||||||
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Obligations | – | 1,099,101 | – | 1,099,101 | ||||||||||||
Sovereign Debt | – | 172,958 | – | 172,958 | ||||||||||||
Foreign Common Stock | 70,439 | – | 3 | 70,442 | ||||||||||||
Exchange Traded Fund | 14,285 | – | – | 14,285 | ||||||||||||
Corporate Obligations | – | 1,341 | – | 1,341 | ||||||||||||
Preferred Stock | 216 | – | – | 216 | ||||||||||||
Common Stock | 174 | – | – | 174 | ||||||||||||
Rights | – | – | – | – | ||||||||||||
Total Investments in Securities | 85,114 | 1,273,400 | 3 | 1,358,517 |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 62,761 | – | – | 62,761 | ||||||||||||
Unrealized Depreciation | (5,762 | ) | – | – | (5,762 | ) | ||||||||||
Forward Contracts* | ||||||||||||||||
Unrealized Appreciation | – | 5,012 | – | 5,012 | ||||||||||||
Unrealized Depreciation | – | (6,406 | ) | – | (6,406 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Total Return Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 1,086 | – | 1,086 | ||||||||||||
Unrealized Depreciation | – | (1,456 | ) | – | (1,456 | ) | ||||||||||
Total Other Financial Instruments | 56,999 | (1,764 | ) | – | 55,235 |
* | 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.
234
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 — 52.5% | ||||||||
Communication Services — 4.4% | ||||||||
Altice France | ||||||||
5.500%, 10/15/2029 (A) | $ | 1,666 | $ | 1,274 | ||||
Altice France Holding | ||||||||
10.500%, 05/15/2027 (A) | 2,090 | 1,599 | ||||||
AMC Entertainment Holdings | ||||||||
7.500%, 02/15/2029 (A) | 290 | 200 | ||||||
AT&T | ||||||||
4.350%, 03/01/2029 | 700 | 685 | ||||||
3.500%, 06/01/2041 | 350 | 276 | ||||||
2.750%, 06/01/2031 | 375 | 323 | ||||||
2.550%, 12/01/2033 | 1,428 | 1,149 | ||||||
2.300%, 06/01/2027 | 1,009 | 925 | ||||||
1.650%, 02/01/2028 | 875 | 769 | ||||||
Bharti Airtel | ||||||||
3.250%, 06/03/2031 (A) | 1,360 | 1,175 | ||||||
CCO Holdings | ||||||||
4.750%, 02/01/2032 (A) | 1,625 | 1,365 | ||||||
4.500%, 05/01/2032 | 790 | 646 | ||||||
Charter Communications Operating | ||||||||
5.125%, 07/01/2049 | 200 | 158 | ||||||
4.908%, 07/23/2025 | 3,200 | 3,168 | ||||||
3.750%, 02/15/2028 | 650 | 604 | ||||||
Cinemark USA | ||||||||
5.875%, 03/15/2026 (A) | 1,025 | 967 | ||||||
DISH DBS | ||||||||
5.875%, 11/15/2024 | 890 | 793 | ||||||
5.750%, 12/01/2028 (A) | 480 | 358 | ||||||
5.250%, 12/01/2026 (A) | 580 | 463 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
5.125%, 06/01/2029 | $ | 1,635 | $ | 871 | ||||
Gannett Holdings | ||||||||
6.000%, 11/01/2026 (A) | 250 | 210 | ||||||
iHeartCommunications | ||||||||
8.375%, 05/01/2027 | 830 | 604 | ||||||
Intelsat Jackson Holdings (Escrow Security) | ||||||||
0.000%, 12/31/2049 (B)(C) | 2,397 | – | ||||||
Mauritius Investments | ||||||||
6.500%, 10/13/2026 | 2,470 | 2,457 | ||||||
Meta Platforms | ||||||||
3.850%, 08/15/2032 (A) | 875 | 819 | ||||||
3.500%, 08/15/2027 (A) | 950 | 917 | ||||||
Millicom International Cellular | ||||||||
6.250%, 03/25/2029 (A) | 477 | 440 | ||||||
4.500%, 04/27/2031 (A) | 219 | 176 | ||||||
Scripps Escrow | ||||||||
5.875%, 07/15/2027 (A) | 1,015 | 748 | ||||||
Sinclair Television Group | ||||||||
5.125%, 02/15/2027 (A) | 495 | 433 | ||||||
Telecom Argentina | ||||||||
8.500%, 08/06/2025 (A) | 27 | 26 | ||||||
T-Mobile USA | ||||||||
4.500%, 04/15/2050 | 1,516 | 1,320 | ||||||
Townsquare Media | ||||||||
6.875%, 02/01/2026 (A) | 902 | 853 | ||||||
Turk Telekomunikasyon | ||||||||
6.875%, 02/28/2025 (A) | 530 | 507 | ||||||
Urban One | ||||||||
7.375%, 02/01/2028 (A) | 1,120 | 1,018 | ||||||
Verizon Communications | ||||||||
2.100%, 03/22/2028 | 515 | 459 | ||||||
Vmed O2 UK Financing I | ||||||||
4.750%, 07/15/2031 (A) | 490 | 420 | ||||||
VTR Comunicaciones | ||||||||
5.125%, 01/15/2028 (A) | 676 | 418 | ||||||
Ziff Davis | ||||||||
4.625%, 10/15/2030 (A) | 670 | 578 | ||||||
ZipRecruiter | ||||||||
5.000%, 01/15/2030 (A) | 200 | 171 | ||||||
30,342 | ||||||||
Consumer Discretionary — 7.3% | ||||||||
Abercrombie & Fitch Management | ||||||||
8.750%, 07/15/2025 (A) | 660 | 665 | ||||||
Allen Media | ||||||||
10.500%, 02/15/2028 (A) | 1,060 | 580 | ||||||
Altice Financing | ||||||||
5.000%, 01/15/2028 (A) | 735 | 598 | ||||||
Asbury Automotive Group | ||||||||
5.000%, 02/15/2032 (A) | 280 | 245 | ||||||
4.625%, 11/15/2029 (A) | 505 | 452 |
SEI Institutional Managed Trust
235
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Banijay Entertainment SASU | ||||||||
5.375%, 03/01/2025 (A) | $ | 650 | $ | 635 | ||||
Bath & Body Works | ||||||||
6.625%, 10/01/2030 (A) | 220 | 215 | ||||||
5.250%, 02/01/2028 | 710 | 678 | ||||||
BorgWarner | ||||||||
5.000%, 10/01/2025 (A) | 560 | 558 | ||||||
Boyne USA | ||||||||
4.750%, 05/15/2029 (A) | 1,140 | 1,018 | ||||||
Caesars Entertainment | ||||||||
8.125%, 07/01/2027 (A) | 230 | 235 | ||||||
7.000%, 02/15/2030 (A) | 870 | 885 | ||||||
CalAtlantic Group | ||||||||
5.250%, 06/01/2026 | 330 | 312 | ||||||
Carnival | ||||||||
10.500%, 06/01/2030 (A) | 380 | 365 | ||||||
7.875%, 06/01/2027 | 350 | 344 | ||||||
4.000%, 08/01/2028 (A) | 610 | 525 | ||||||
Carriage Services | ||||||||
4.250%, 05/15/2029 (A) | 440 | 362 | ||||||
CD&R Smokey Buyer | ||||||||
6.750%, 07/15/2025 (A) | 441 | 378 | ||||||
Clarios Global | ||||||||
8.500%, 05/15/2027 (A) | 640 | 642 | ||||||
CSC Holdings | ||||||||
6.500%, 02/01/2029 (A) | 1,230 | 1,022 | ||||||
5.750%, 01/15/2030 (A) | 1,113 | 586 | ||||||
5.000%, 11/15/2031 (A) | 200 | 101 | ||||||
Dealer Tire | ||||||||
8.000%, 02/01/2028 (A) | 1,734 | 1,556 | ||||||
Diamond Sports Group | ||||||||
6.625%, 08/15/2027 (A)(D) | 500 | 6 | ||||||
5.375%, 08/15/2026 (A)(D) | 330 | 18 | ||||||
DirecTV Financing | ||||||||
5.875%, 08/15/2027 (A) | 3,140 | 2,844 | ||||||
eG Global Finance | ||||||||
6.750%, 02/07/2025 (A) | 488 | 452 | ||||||
Expedia Group | ||||||||
4.625%, 08/01/2027 | 647 | 634 | ||||||
Foot Locker | ||||||||
4.000%, 10/01/2029 (A) | 420 | 350 | ||||||
Ford Motor | ||||||||
6.100%, 08/19/2032 | 1,200 | 1,163 | ||||||
3.250%, 02/12/2032 | 2,181 | 1,714 | ||||||
Ford Motor Credit | ||||||||
4.950%, 05/28/2027 | 1,019 | 972 | ||||||
3.625%, 06/17/2031 | 900 | 742 | ||||||
Foundation Building Materials | ||||||||
6.000%, 03/01/2029 (A) | 1,240 | 983 | ||||||
Full House Resorts | ||||||||
8.250%, 02/15/2028 (A) | 550 | 501 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
General Motors | ||||||||
5.950%, 04/01/2049 | $ | 36 | $ | 33 | ||||
4.000%, 04/01/2025 | 250 | 244 | ||||||
General Motors Financial | ||||||||
5.650%, 01/17/2029 | 175 | 177 | ||||||
Getty Images | ||||||||
9.750%, 03/01/2027 (A) | 720 | 719 | ||||||
GrubHub Holdings | ||||||||
5.500%, 07/01/2027 (A) | 300 | 225 | ||||||
Hilton Grand Vacations Borrower Escrow | ||||||||
5.000%, 06/01/2029 (A) | 1,010 | 897 | ||||||
KB Home | ||||||||
7.250%, 07/15/2030 | 545 | 553 | ||||||
Las Vegas Sands | ||||||||
3.200%, 08/08/2024 | 440 | 426 | ||||||
LCM Investments Holdings II | ||||||||
4.875%, 05/01/2029 (A) | 1,205 | 1,008 | ||||||
Liberty Interactive | ||||||||
8.500%, 07/15/2029 | 280 | 70 | ||||||
Marriott Ownership Resorts | ||||||||
4.500%, 06/15/2029 (A) | 280 | 238 | ||||||
Match Group | ||||||||
5.000%, 12/15/2027 (A) | 190 | 180 | ||||||
Match Group Holdings II | ||||||||
3.625%, 10/01/2031 (A) | 385 | 313 | ||||||
McClatchy | ||||||||
11.000%, 07/15/2027 (A) | 430 | 486 | ||||||
Mclaren Finance | ||||||||
7.500%, 08/01/2026 (A) | 540 | 444 | ||||||
MDC Holdings | ||||||||
6.000%, 01/15/2043 | 180 | 156 | ||||||
Melco Resorts Finance | ||||||||
5.375%, 12/04/2029 (A) | 920 | 750 | ||||||
4.875%, 06/06/2025 (A) | 200 | 188 | ||||||
MercadoLibre | ||||||||
3.125%, 01/14/2031 | 640 | 504 | ||||||
Metis Merger Sub | ||||||||
6.500%, 05/15/2029 (A) | 287 | 239 | ||||||
Michaels | ||||||||
7.875%, 05/01/2029 (A) | 530 | 371 | ||||||
5.250%, 05/01/2028 (A) | 290 | 242 | ||||||
Mohegan Tribal Gaming Authority | ||||||||
13.250%, 12/15/2027 (A) | 960 | 1,033 | ||||||
NCL | ||||||||
5.875%, 03/15/2026 (A) | 900 | 766 | ||||||
5.875%, 02/15/2027 (A) | 330 | 308 | ||||||
3.625%, 12/15/2024 (A) | 430 | 400 | ||||||
NESCO Holdings II | ||||||||
5.500%, 04/15/2029 (A) | 284 | 257 | ||||||
Newell Brands | ||||||||
6.000%, 04/01/2046 | 536 | 438 |
236
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Penn National Gaming | ||||||||
4.125%, 07/01/2029 (A) | $ | 1,219 | $ | 1,017 | ||||
Penske Automotive Group | ||||||||
3.750%, 06/15/2029 | 848 | 732 | ||||||
PM General Purchaser | ||||||||
9.500%, 10/01/2028 (A) | 860 | 787 | ||||||
QVC | ||||||||
4.850%, 04/01/2024 | 47 | 37 | ||||||
4.375%, 09/01/2028 | 330 | 134 | ||||||
Royal Caribbean Cruises | ||||||||
11.625%, 08/15/2027 (A) | 470 | 505 | ||||||
11.500%, 06/01/2025 (A) | 220 | 234 | ||||||
9.250%, 01/15/2029 (A) | 170 | 181 | ||||||
Sally Holdings | ||||||||
5.625%, 12/01/2025 | 970 | 955 | ||||||
Sands China | ||||||||
5.900%, 08/08/2028 | 240 | 228 | ||||||
5.625%, 08/08/2025 | 200 | 195 | ||||||
3.750%, 08/08/2031 | 200 | 160 | ||||||
3.350%, 03/08/2029 | 200 | 166 | ||||||
2.800%, 03/08/2027 | 230 | 197 | ||||||
SeaWorld Parks & Entertainment | ||||||||
5.250%, 08/15/2029 (A) | 1,765 | 1,593 | ||||||
Specialty Building Products Holdings | ||||||||
6.375%, 09/30/2026 (A) | 1,592 | 1,463 | ||||||
SRS Distribution | ||||||||
6.125%, 07/01/2029 (A) | 1,031 | 870 | ||||||
StoneMor | ||||||||
8.500%, 05/15/2029 (A) | 710 | 546 | ||||||
TKC Holdings | ||||||||
6.875%, 05/15/2028 (A) | 200 | 169 | ||||||
TUI Cruises GmbH | ||||||||
6.500%, 05/15/2026 (A) | EUR | 375 | 364 | |||||
Upbound Group | ||||||||
6.375%, 02/15/2029 (A) | $ | 550 | 462 | |||||
Viking Cruises | ||||||||
13.000%, 05/15/2025 (A) | 60 | 63 | ||||||
Viking Ocean Cruises Ship VII | ||||||||
5.625%, 02/15/2029 (A) | 230 | 197 | ||||||
VOC Escrow | ||||||||
5.000%, 02/15/2028 (A) | 610 | 541 | ||||||
VZ Secured Financing BV | ||||||||
5.000%, 01/15/2032 (A) | 685 | 559 | ||||||
Wheel Bidco | ||||||||
6.750%, 07/15/2026 (A) | GBP | 610 | 628 | |||||
Wynn Macau | ||||||||
5.500%, 01/15/2026 (A) | $ | 200 | 185 | |||||
4.875%, 10/01/2024 (A) | 1,670 | 1,620 | ||||||
Wynn Resorts Finance | ||||||||
7.125%, 02/15/2031 (A) | 400 | 406 | ||||||
Yum! Brands | ||||||||
4.750%, 01/15/2030 (A) | 454 | 434 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
ZF North America Capital | ||||||||
4.750%, 04/29/2025 (A) | $ | 400 | $ | 393 | ||||
51,022 | ||||||||
Consumer Staples — 1.3% | ||||||||
Altria Group | ||||||||
2.350%, 05/06/2025 | 425 | 403 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
4.750%, 01/23/2029 | 1,506 | 1,538 | ||||||
Bellis Acquisition | ||||||||
3.250%, 02/16/2026 (A) | GBP | 200 | 202 | |||||
Constellation Brands | ||||||||
3.150%, 08/01/2029 | $ | 600 | 549 | |||||
Darling Ingredients | ||||||||
6.000%, 06/15/2030 (A) | 940 | 937 | ||||||
FAGE International | ||||||||
5.625%, 08/15/2026 (A) | 660 | 616 | ||||||
H-Food Holdings | ||||||||
8.500%, 06/01/2026 (A) | 1,090 | 674 | ||||||
Kraft Heinz Foods | ||||||||
4.375%, 06/01/2046 | 1,671 | 1,456 | ||||||
Lindley | ||||||||
4.625%, 04/12/2023 | 48 | 47 | ||||||
Performance Food Group | ||||||||
5.500%, 10/15/2027 (A) | 450 | 440 | ||||||
Post Holdings | ||||||||
4.625%, 04/15/2030 (A) | 429 | 384 | ||||||
Prosperous Ray | ||||||||
4.625%, 11/12/2023 | 300 | 299 | ||||||
United Rentals North America | ||||||||
4.000%, 07/15/2030 | 290 | 261 | ||||||
US Foods | ||||||||
4.750%, 02/15/2029 (A) | 1,171 | 1,082 | ||||||
4.625%, 06/01/2030 (A) | 580 | 523 | ||||||
9,411 | ||||||||
Energy — 6.8% | ||||||||
Berry Petroleum | ||||||||
7.000%, 02/15/2026 (A) | 1,200 | 1,126 | ||||||
Blue Racer Midstream | ||||||||
7.625%, 12/15/2025 (A) | 570 | 564 | ||||||
Cheniere Corpus Christi Holdings | ||||||||
5.125%, 06/30/2027 | 850 | 851 | ||||||
Chord Energy Corp | ||||||||
6.375%, 06/01/2026 (A) | 820 | 812 | ||||||
Civitas Resources | ||||||||
5.000%, 10/15/2026 (A) | 475 | 447 | ||||||
CNX Midstream Partners | ||||||||
4.750%, 04/15/2030 (A) | 430 | 370 | ||||||
CQP Holdco | ||||||||
5.500%, 06/15/2031 (A) | 1,605 | 1,443 |
SEI Institutional Managed Trust
237
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
DCP Midstream Operating | ||||||||
6.750%, 09/15/2037 (A) | $ | 302 | $ | 328 | ||||
Devon Energy | ||||||||
5.850%, 12/15/2025 | 1,021 | 1,037 | ||||||
Ecopetrol | ||||||||
6.875%, 04/29/2030 | 1,010 | 931 | ||||||
Energy Transfer | ||||||||
8.892%, ICE LIBOR USD 3 Month + 4.028%(E)(F) | 230 | 204 | ||||||
7.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.306%(E)(F) | 220 | 185 | ||||||
4.200%, 09/15/2023 | 1,393 | 1,388 | ||||||
EQM Midstream Partners | ||||||||
7.500%, 06/01/2030 (A) | 330 | 320 | ||||||
Genesis Energy | ||||||||
8.875%, 04/15/2030 | 440 | 445 | ||||||
Global Partners | ||||||||
6.875%, 01/15/2029 | 545 | 507 | ||||||
GNL Quintero | ||||||||
4.634%, 07/31/2029 | 306 | 293 | ||||||
Hess Midstream Operations | ||||||||
5.500%, 10/15/2030 (A) | 325 | 302 | ||||||
Hilcorp Energy I | ||||||||
6.250%, 04/15/2032 (A) | 420 | 389 | ||||||
Howard Midstream Energy Partners | ||||||||
6.750%, 01/15/2027 (A) | 1,000 | 943 | ||||||
KazMunayGas National JSC | ||||||||
4.750%, 04/19/2027 (A) | 400 | 367 | ||||||
KazTransGas JSC | ||||||||
4.375%, 09/26/2027 (A) | 300 | 268 | ||||||
Kinetik Holdings | ||||||||
5.875%, 06/15/2030 (A) | 775 | 746 | ||||||
Marathon Petroleum | ||||||||
3.800%, 04/01/2028 | 325 | 310 | ||||||
MEG Energy | ||||||||
7.125%, 02/01/2027 (A) | 1,190 | 1,214 | ||||||
5.875%, 02/01/2029 (A) | 110 | 106 | ||||||
MPLX | ||||||||
4.800%, 02/15/2029 | 250 | 248 | ||||||
4.000%, 03/15/2028 | 950 | 909 | ||||||
Nabors Industries | ||||||||
7.375%, 05/15/2027 (A) | 3,040 | 2,977 | ||||||
Neptune Energy Bondco | ||||||||
6.625%, 05/15/2025 (A) | 800 | 775 | ||||||
Noble Holdings International | ||||||||
11.000%cash/0% PIK, 02/15/2028 | 248 | 270 | ||||||
Northern Oil and Gas | ||||||||
8.125%, 03/01/2028 (A) | 600 | 595 | ||||||
NuStar Logistics | ||||||||
6.375%, 10/01/2030 | 670 | 643 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Occidental Petroleum | ||||||||
7.500%, 05/01/2031 | $ | 120 | $ | 132 | ||||
6.625%, 09/01/2030 | 700 | 737 | ||||||
6.450%, 09/15/2036 | 730 | 768 | ||||||
4.400%, 08/15/2049 | 220 | 172 | ||||||
ONEOK | ||||||||
6.350%, 01/15/2031 | 325 | 341 | ||||||
Permian Resources Operating | ||||||||
5.875%, 07/01/2029 (A) | 1,050 | 994 | ||||||
Petrobras Global Finance BV | ||||||||
5.299%, 01/27/2025 | 400 | 396 | ||||||
Petroleos de Venezuela | ||||||||
6.000%, 10/28/2022 (D) | 8,860 | 244 | ||||||
6.000%, 05/16/2024 (D) | 3,790 | 163 | ||||||
6.000%, 11/15/2026 (D) | 1,110 | 44 | ||||||
5.500%, 04/12/2037 (D) | 130 | 5 | ||||||
5.375%, 04/12/2027 (D) | 2,570 | 103 | ||||||
Petroleos Mexicanos | ||||||||
7.690%, 01/23/2050 | 406 | 287 | ||||||
6.950%, 01/28/2060 | 207 | 134 | ||||||
6.500%, 03/13/2027 | 328 | 298 | ||||||
6.490%, 01/23/2027 | 73 | 66 | ||||||
5.350%, 02/12/2028 | 180 | 152 | ||||||
4.500%, 01/23/2026 | 40 | 37 | ||||||
Petroleos Mexicanos MTN | ||||||||
6.750%, 09/21/2047 | 16 | 10 | ||||||
Phillips 66 | ||||||||
3.900%, 03/15/2028 | 525 | 505 | ||||||
Plains All American Pipeline | ||||||||
8.974%, ICE LIBOR USD 3 Month + 4.110%(E)(F) | 750 | 664 | ||||||
3.600%, 11/01/2024 | 175 | 170 | ||||||
Range Resources | ||||||||
8.250%, 01/15/2029 | 700 | 738 | ||||||
4.750%, 02/15/2030 (A) | 655 | 597 | ||||||
ROCC Holdings | ||||||||
9.250%, 08/15/2026 (A) | 400 | 421 | ||||||
Rockies Express Pipeline | ||||||||
7.500%, 07/15/2038 (A) | 310 | 285 | ||||||
Sabine Pass Liquefaction | ||||||||
5.625%, 03/01/2025 | 800 | 805 | ||||||
Southwestern Energy | ||||||||
8.375%, 09/15/2028 | 790 | 831 | ||||||
4.750%, 02/01/2032 | 1,410 | 1,245 | ||||||
Summit Midstream Holdings | ||||||||
8.500%, 10/15/2026 (A) | 1,454 | 1,396 | ||||||
5.750%, 04/15/2025 | 925 | 770 | ||||||
Tallgrass Energy Partners | ||||||||
6.000%, 12/31/2030 (A) | 230 | 206 | ||||||
TechnipFMC | ||||||||
6.500%, 02/01/2026 (A) | 1,050 | 1,041 |
238
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Total Capital International | ||||||||
2.829%, 01/10/2030 | $ | 1,350 | $ | 1,231 | ||||
Transocean | ||||||||
11.500%, 01/30/2027 (A) | 2,088 | 2,156 | ||||||
8.750%, 02/15/2030 (A) | 380 | 388 | ||||||
Transocean Poseidon | ||||||||
6.875%, 02/01/2027 (A) | 382 | 374 | ||||||
Transocean Titan Financing | ||||||||
8.375%, 02/01/2028 (A) | 230 | 237 | ||||||
Transportadora de Gas del Sur | ||||||||
6.750%, 05/02/2025 (A) | 850 | 765 | ||||||
USA Compression Partners | ||||||||
6.875%, 04/01/2026 | 1,175 | 1,142 | ||||||
Venture Global Calcasieu Pass | ||||||||
6.250%, 01/15/2030 (A) | 860 | 867 | ||||||
3.875%, 11/01/2033 (A) | 430 | 361 | ||||||
Viper Energy Partners | ||||||||
5.375%, 11/01/2027 (A) | 670 | 644 | ||||||
Western Midstream Operating | ||||||||
5.450%, 04/01/2044 | 1,100 | 959 | ||||||
5.300%, 03/01/2048 | 530 | 449 | ||||||
YPF | ||||||||
8.500%, 07/28/2025 (A) | 700 | 615 | ||||||
6.950%, 07/21/2027 (A) | 380 | 282 | ||||||
47,540 | ||||||||
Financials — 12.5% | ||||||||
ABN AMRO Bank | ||||||||
4.375%(E)(F) | EUR | 400 | 387 | |||||
Accelerate360 Holdings | ||||||||
8.000%, 03/01/2028 (A) | $ | 1,154 | 1,226 | |||||
Acrisure | ||||||||
6.000%, 08/01/2029 (A) | 915 | 756 | ||||||
4.250%, 02/15/2029 (A) | 975 | 831 | ||||||
AG Issuer | ||||||||
6.250%, 03/01/2028 (A) | 1,116 | 1,005 | ||||||
AG TTMT Escrow Issuer | ||||||||
8.625%, 09/30/2027 (A) | 130 | 131 | ||||||
AIA Group | ||||||||
3.900%, 04/06/2028 (A) | 475 | 459 | ||||||
AIA Group MTN | ||||||||
3.200%, 03/11/2025 (A) | 425 | 412 | ||||||
Alliant Holdings Intermediate | ||||||||
6.750%, 10/15/2027 (A) | 760 | 705 | ||||||
Ally Financial | ||||||||
4.700%, H15T7Y + 3.481%(E)(F) | 1,325 | 884 | ||||||
American International Group | ||||||||
3.900%, 04/01/2026 | 163 | 158 | ||||||
3.400%, 06/30/2030 | 225 | 202 | ||||||
Apollo Commercial Real Estate Finance | ||||||||
4.625%, 06/15/2029 (A) | 970 | 682 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Aviation Capital Group | ||||||||
1.950%, 01/30/2026 (A) | $ | 350 | $ | 311 | ||||
Avolon Holdings Funding | ||||||||
5.125%, 10/01/2023 (A) | 140 | 138 | ||||||
4.250%, 04/15/2026 (A) | 100 | 94 | ||||||
2.875%, 02/15/2025 (A) | 1,250 | 1,173 | ||||||
B3 - Brasil Bolsa Balcao | ||||||||
4.125%, 09/20/2031 (A) | 500 | 413 | ||||||
Banco Bilbao Vizcaya Argentaria | ||||||||
5.875%, EUR Swap Annual 5 Yr + 5.660%(E)(F) | EUR | 800 | 827 | |||||
Banco de Bogota | ||||||||
6.250%, 05/12/2026 (A) | $ | 980 | 953 | |||||
Banco do Brasil | ||||||||
9.000%, US Treas Yield Curve Rate T Note Const Mat 10 Yr + 6.362%(E)(F) | 200 | 197 | ||||||
6.250%, US Treas Yield Curve Rate T Note Const Mat 10 Yr + 4.398%(E)(F) | 1,920 | 1,744 | ||||||
Banco Mercantil del Norte | ||||||||
7.500%, US Treas Yield Curve Rate T Note Const Mat 10 Yr + 5.470%(A)(E)(F) | 970 | 839 | ||||||
6.750%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.967%(A)(E)(F) | 420 | 398 | ||||||
5.875%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.643%(A)(E)(F) | 1,340 | 1,139 | ||||||
Banco Santander | ||||||||
4.250%, 04/11/2027 | 400 | 378 | ||||||
3.306%, 06/27/2029 | 400 | 356 | ||||||
2.749%, 12/03/2030 | 200 | 156 | ||||||
2.746%, 05/28/2025 | 600 | 566 | ||||||
Bank of America | ||||||||
6.250%, ICE LIBOR USD 3 Month + 3.705%(E)(F) | 150 | 147 | ||||||
3.419%, ICE LIBOR USD 3 Month + 1.040%, 12/20/2028 (E) | 2,115 | 1,965 | ||||||
Bank of America MTN | ||||||||
5.015%, U.S. SOFR + 2.160%, 07/22/2033 (E) | 565 | 559 | ||||||
4.200%, 08/26/2024 | 225 | 221 | ||||||
3.824%, ICE LIBOR USD 3 Month + 1.575%, 01/20/2028 (E) | 1,525 | 1,457 | ||||||
Bank of New York Mellon MTN | ||||||||
4.596%, U.S. SOFR + 1.755%, 07/26/2030 (E) | 75 | 73 | ||||||
Banque Ouest Africaine de Developpement | ||||||||
2.750%, 01/22/2033 (A) | EUR | 1,870 | 1,504 |
SEI Institutional Managed Trust
239
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Barclays | ||||||||
8.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.431%(E)(F) | $ | 225 | $ | 192 | ||||
8.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.672%(E)(F) | 970 | 873 | ||||||
7.125%, UK Govt Bonds 5 Year Note Generic Bid Yield + 6.579%(E)(F) | GBP | 700 | 754 | |||||
6.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.867%(E)(F) | $ | 280 | 238 | |||||
2.852%, U.S. SOFR + 2.714%, 05/07/2026 (E) | 725 | 677 | ||||||
BBVA Bancomer | ||||||||
5.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 2.650%, 01/18/2033 (A)(E) | 410 | 351 | ||||||
BNP Paribas | ||||||||
7.750%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.899%(A)(E)(F) | 270 | 259 | ||||||
3.375%, 01/09/2025 (A) | 1,000 | 959 | ||||||
BPCE | ||||||||
4.625%, 09/12/2028 (A) | 500 | 469 | ||||||
2.277%, U.S. SOFR + 1.312%, 01/20/2032 (A)(E) | 375 | 292 | ||||||
BroadStreet Partners | ||||||||
5.875%, 04/15/2029 (A) | 1,195 | 1,011 | ||||||
Burford Capital Global Finance | ||||||||
6.875%, 04/15/2030 (A) | 380 | 327 | ||||||
Citigroup | ||||||||
9.094%, ICE LIBOR USD 3 Month + 4.230%(E)(F) | 675 | 671 | ||||||
6.300%, TSFR3M + 3.685%(E)(F) | 1,250 | 1,188 | ||||||
4.910%, U.S. SOFR + 2.086%, 05/24/2033 (E) | 575 | 564 | ||||||
4.125%, 07/25/2028 | 1,450 | 1,369 | ||||||
3.400%, 05/01/2026 | 1,675 | 1,598 | ||||||
Coinbase Global | ||||||||
3.625%, 10/01/2031 (A) | 370 | 207 | ||||||
Comerica | ||||||||
3.700%, 07/31/2023 | 410 | 393 | ||||||
Cooperatieve Rabobank UA | ||||||||
4.625%, EUR Swap Annual 5 Yr + 4.098%(E)(F) | EUR | 1,400 | 1,374 | |||||
Credit Agricole | ||||||||
8.125%, USD Swap Semi 30/360 5 Yr Curr + 6.185%(A)(E)(F) | $ | 710 | 684 | |||||
Credit Suisse Group | ||||||||
9.750%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 6.383%(A)(D)(F) | 1,020 | – |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
7.500%, USD Swap Semi 30/360 5 Yr Curr + 4.600%(A)(D)(F) | $ | 410 | $ | – | ||||
7.250%, USD ICE Swap 11:00 NY 5 Yr + 4.332%(A)(D)(F) | 200 | – | ||||||
4.550%, 04/17/2026 | 802 | 740 | ||||||
3.869%, ICE LIBOR USD 3 Month + 1.410%, 01/12/2029 (A)(E) | 600 | 534 | ||||||
Credit Suisse NY | ||||||||
7.950%, 01/09/2025 | 500 | 508 | ||||||
4.750%, 08/09/2024 | 260 | 252 | ||||||
1.000%, 05/05/2023 | 250 | 247 | ||||||
Credit Suisse NY MTN | ||||||||
3.625%, 09/09/2024 | 290 | 276 | ||||||
Danske Bank | ||||||||
6.466%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.100%, 01/09/2026 (A)(E) | 810 | 811 | ||||||
Deutsche Bank | ||||||||
6.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.524%(E)(F) | 400 | 296 | ||||||
DP World MTN | ||||||||
5.625%, 09/25/2048 | 200 | 193 | ||||||
First Horizon National | ||||||||
4.000%, 05/26/2025 | 625 | 583 | ||||||
FirstCash | ||||||||
5.625%, 01/01/2030 (A) | 340 | 314 | ||||||
Freedom Mortgage | ||||||||
7.625%, 05/01/2026 (A) | 1,450 | 1,165 | ||||||
6.625%, 01/15/2027 (A) | 1,015 | 781 | ||||||
Global Aircraft Leasing | ||||||||
6.500%cash/0% PIK, 09/15/2024 (A) | 2,979 | 2,688 | ||||||
Global Payments | ||||||||
2.650%, 02/15/2025 | 400 | 380 | ||||||
Highlands Holdings Bond Issuer | ||||||||
7.625%, 10/15/2025 (A) | 930 | 859 | ||||||
HSBC Holdings | ||||||||
4.950%, 03/31/2030 | 226 | 222 | ||||||
3.803%, ICE LIBOR USD 3 Month + 1.211%, 03/11/2025 (E) | 700 | 685 | ||||||
1.645%, U.S. SOFR + 1.538%, 04/18/2026 (E) | 1,000 | 913 | ||||||
Intercontinental Exchange | ||||||||
2.100%, 06/15/2030 | 800 | 673 | ||||||
Intesa Sanpaolo MTN | ||||||||
5.710%, 01/15/2026 (A) | 1,080 | 1,023 | ||||||
Itau Unibanco Holding | ||||||||
4.625%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.222%(A)(E)(F) | 1,120 | 842 | ||||||
Jane Street Group | ||||||||
4.500%, 11/15/2029 (A) | 160 | 143 |
240
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
JPMorgan Chase | ||||||||
4.912%, U.S. SOFR + 2.080%, 07/25/2033 (E) | $ | 570 | $ | 567 | ||||
4.323%, U.S. SOFR + 1.560%, 04/26/2028 (E) | 2,000 | 1,951 | ||||||
4.125%, 12/15/2026 | 3,400 | 3,319 | ||||||
2.956%, U.S. SOFR + 2.515%, 05/13/2031 (E) | 250 | 216 | ||||||
Ladder Capital Finance Holdings LLLP | ||||||||
4.750%, 06/15/2029 (A) | 270 | 195 | ||||||
4.250%, 02/01/2027 (A) | 70 | 55 | ||||||
LD Holdings Group | ||||||||
6.500%, 11/01/2025 (A) | 600 | 378 | ||||||
Lloyds Banking Group | ||||||||
4.947%(E)(F) | EUR | 290 | 283 | |||||
LPL Holdings | ||||||||
4.000%, 03/15/2029 (A) | $ | 500 | 450 | |||||
M&T Bank | ||||||||
5.053%, U.S. SOFR + 1.850%, 01/27/2034 (E) | 525 | 488 | ||||||
Midcap Financial Issuer Trust | ||||||||
6.500%, 05/01/2028 (A) | 1,532 | 1,303 | ||||||
5.625%, 01/15/2030 (A) | 305 | 241 | ||||||
Morgan Stanley | ||||||||
4.210%, U.S. SOFR + 1.610%, 04/20/2028 (E) | 1,950 | 1,892 | ||||||
3.625%, 01/20/2027 | 750 | 722 | ||||||
Morgan Stanley MTN | ||||||||
4.889%, U.S. SOFR + 2.076%, 07/20/2033 (E) | 565 | 555 | ||||||
3.950%, 04/23/2027 | 1,100 | 1,063 | ||||||
1.794%, U.S. SOFR + 1.034%, 02/13/2032 (E) | 625 | 491 | ||||||
National Bank of Uzbekistan | ||||||||
4.850%, 10/21/2025 | 200 | 184 | ||||||
Nationstar Mortgage Holdings | ||||||||
5.500%, 08/15/2028 (A) | 615 | 527 | ||||||
Nationwide Building Society | ||||||||
3.960%, ICE LIBOR USD 3 Month + 1.855%, 07/18/2030 (A)(E) | 450 | 406 | ||||||
NatWest Group | ||||||||
4.500%, UK Govt Bonds 5 Year Note Generic Bid Yield + 3.992%(E)(F) | GBP | 1,160 | 1,052 | |||||
3.754%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 2.100%, 11/01/2029 (E) | $ | 225 | 211 | |||||
Navient | ||||||||
5.500%, 03/15/2029 | 1,519 | 1,284 | ||||||
5.000%, 03/15/2027 | 1,100 | 969 | ||||||
Navient MTN | ||||||||
5.625%, 08/01/2033 | 180 | 134 | ||||||
NFP | ||||||||
6.875%, 08/15/2028 (A) | 893 | 766 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
NMI Holdings | ||||||||
7.375%, 06/01/2025 (A) | $ | 410 | $ | 411 | ||||
Oxford Finance | ||||||||
6.375%, 02/01/2027 (A) | 465 | 435 | ||||||
Paysafe Finance | ||||||||
4.000%, 06/15/2029 (A) | 400 | 311 | ||||||
PNC Financial Services Group | ||||||||
6.200%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.238%(E)(F) | 1,350 | 1,270 | ||||||
Popular | ||||||||
7.250%, 03/13/2028 | 890 | 880 | ||||||
Raymond James Financial | ||||||||
4.650%, 04/01/2030 | 400 | 391 | ||||||
Rocket Mortgage | ||||||||
3.875%, 03/01/2031 (A) | 50 | 41 | ||||||
3.625%, 03/01/2029 (A) | 950 | 816 | ||||||
Sabre GLBL | ||||||||
11.250%, 12/15/2027 (A) | 810 | 755 | ||||||
Saga | ||||||||
5.500%, 07/15/2026 | GBP | 610 | 588 | |||||
StoneX Group | ||||||||
8.625%, 06/15/2025 (A) | $ | 770 | 774 | |||||
Turkiye Vakiflar Bankasi TAO | ||||||||
6.500%, 01/08/2026 (A) | 680 | 636 | ||||||
UBS Group | ||||||||
7.000%, USD Swap Semi 30/360 5 Yr Curr + 4.344%(A)(E)(F) | 410 | 389 | ||||||
2.746%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.100%, 02/11/2033 (A)(E) | 340 | 272 | ||||||
UniCredit MTN | ||||||||
7.296%, USD ICE Swap 11:00 NY 5 Yr + 4.914%, 04/02/2034 (A)(E) | 260 | 240 | ||||||
5.459%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.750%, 06/30/2035 (A)(E) | 440 | 362 | ||||||
United Wholesale Mortgage | ||||||||
5.500%, 04/15/2029 (A) | 641 | 535 | ||||||
VistaJet Malta Finance | ||||||||
7.875%, 05/01/2027 (A) | 770 | 745 | ||||||
6.375%, 02/01/2030 (A) | 1,340 | 1,194 | ||||||
Wells Fargo | ||||||||
5.875%, ICE LIBOR USD 3 Month + 3.990%(E)(F) | 525 | 516 | ||||||
Wells Fargo MTN | ||||||||
4.897%, U.S. SOFR + 2.100%, 07/25/2033 (E) | 1,235 | 1,206 | ||||||
4.100%, 06/03/2026 | 1,575 | 1,524 |
SEI Institutional Managed Trust
241
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Yapi ve Kredi Bankasi MTN | ||||||||
13.875%, USD Swap Semi 30/360 5 Yr Curr + 11.245%(E)(F) | $ | 480 | $ | 493 | ||||
87,510 | ||||||||
Health Care — 4.3% | ||||||||
AbbVie | ||||||||
3.200%, 11/21/2029 | 1,375 | 1,276 | ||||||
AdaptHealth | ||||||||
6.125%, 08/01/2028 (A) | 670 | 615 | ||||||
5.125%, 03/01/2030 (A) | 370 | 314 | ||||||
4.625%, 08/01/2029 (A) | 605 | 504 | ||||||
Akumin | ||||||||
7.000%, 11/01/2025 (A) | 310 | 244 | ||||||
Akumin Escrow | ||||||||
7.500%, 08/01/2028 (A) | 490 | 343 | ||||||
Amgen | ||||||||
5.250%, 03/02/2030 | 850 | 869 | ||||||
5.250%, 03/02/2033 | 900 | 925 | ||||||
APX Group | ||||||||
5.750%, 07/15/2029 (A) | 1,216 | 1,088 | ||||||
AthenaHealth Group | ||||||||
6.500%, 02/15/2030 (A) | 2,400 | 1,946 | ||||||
Bausch Health | ||||||||
14.000%, 10/15/2030 (A) | 18 | 10 | ||||||
7.000%, 01/15/2028 (A) | 130 | 51 | ||||||
6.125%, 02/01/2027 (A) | 280 | 181 | ||||||
5.500%, 11/01/2025 (A) | 310 | 255 | ||||||
5.000%, 01/30/2028 (A) | 60 | 23 | ||||||
5.000%, 02/15/2029 (A) | 390 | 153 | ||||||
Bayer US Finance II | ||||||||
4.375%, 12/15/2028 (A) | 300 | 290 | ||||||
4.250%, 12/15/2025 (A) | 500 | 489 | ||||||
Becton Dickinson | ||||||||
3.700%, 06/06/2027 | 690 | 666 | ||||||
2.823%, 05/20/2030 | 625 | 558 | ||||||
CAB SELAS | ||||||||
3.375%, 02/01/2028 (A) | EUR | 475 | 422 | |||||
Chrome Holdco SASU | ||||||||
5.000%, 05/31/2029 (A) | 375 | 301 | ||||||
CHS | ||||||||
6.125%, 04/01/2030 (A) | $ | 1,270 | 765 | |||||
4.750%, 02/15/2031 (A) | 500 | 369 | ||||||
Cidron Aida Finco S.A.R.L. | ||||||||
6.250%, 04/01/2028 (A) | GBP | 440 | 462 | |||||
CVS Health | ||||||||
4.300%, 03/25/2028 | $ | 950 | 933 | |||||
3.750%, 04/01/2030 | 590 | 552 | ||||||
DaVita | ||||||||
3.750%, 02/15/2031 (A) | 1,760 | 1,388 | ||||||
DH Europe Finance II S.A.R.L. | ||||||||
2.600%, 11/15/2029 | 175 | 157 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
HealthEquity | ||||||||
4.500%, 10/01/2029 (A) | $ | 376 | $ | 334 | ||||
Laboratoire Eimer Selas | ||||||||
5.000%, 02/01/2029 (A) | EUR | 225 | 182 | |||||
Legacy LifePoint Health | ||||||||
6.750%, 04/15/2025 (A) | $ | 490 | 465 | |||||
LifePoint Health | ||||||||
5.375%, 01/15/2029 (A) | 1,185 | 724 | ||||||
Medline Borrower | ||||||||
5.250%, 10/01/2029 (A) | 1,650 | 1,432 | ||||||
3.875%, 04/01/2029 (A) | 1,160 | 1,006 | ||||||
Option Care Health | ||||||||
4.375%, 10/31/2029 (A) | 690 | 609 | ||||||
Prime Security Services Borrower | ||||||||
6.250%, 01/15/2028 (A) | 330 | 309 | ||||||
Radiology Partners | ||||||||
9.250%, 02/01/2028 (A) | 545 | 301 | ||||||
Stryker | ||||||||
1.950%, 06/15/2030 | 825 | 696 | ||||||
Tenet Healthcare | ||||||||
6.250%, 02/01/2027 | 200 | 197 | ||||||
6.125%, 06/15/2030 (A) | 446 | 440 | ||||||
Teva Pharmaceutical Finance LLC | ||||||||
6.150%, 02/01/2036 | 930 | 844 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | ||||||||
8.125%, 09/15/2031 | 550 | 577 | ||||||
UnitedHealth Group | ||||||||
5.350%, 02/15/2033 | 1,525 | 1,621 | ||||||
5.300%, 02/15/2030 | 1,800 | 1,897 | ||||||
US Renal Care | ||||||||
10.625%, 07/15/2027 (A) | 430 | 113 | ||||||
Verisure Holding | ||||||||
3.250%, 02/15/2027 (A) | EUR | 475 | 457 | |||||
Verisure Midholding | ||||||||
5.250%, 02/15/2029 (A) | 500 | 451 | ||||||
Zoetis | ||||||||
2.000%, 05/15/2030 | $ | 1,100 | 925 | |||||
29,729 | ||||||||
Industrials — 8.9% | ||||||||
Advanced Drainage Systems | ||||||||
6.375%, 06/15/2030 (A) | 390 | 382 | ||||||
AerCap Ireland Capital DAC | ||||||||
6.500%, 07/15/2025 | 285 | 287 | ||||||
4.875%, 01/16/2024 | 400 | 396 | ||||||
Aeropuerto Internacional de Tocumen | ||||||||
5.125%, 08/11/2061 (A) | 520 | 403 | ||||||
4.000%, 08/11/2041 (A) | 640 | 510 | ||||||
Aeropuertos Dominicanos Siglo XXI | ||||||||
6.750%, 03/30/2029 (A) | 350 | 343 |
242
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Air Canada | ||||||||
3.875%, 08/15/2026 (A) | $ | 750 | $ | 681 | ||||
Air Lease | ||||||||
3.250%, 03/01/2025 | 850 | 816 | ||||||
Air Lease MTN | ||||||||
3.750%, 06/01/2026 | 600 | 567 | ||||||
Allegiant Travel | ||||||||
7.250%, 08/15/2027 (A) | 295 | 294 | ||||||
Allied Universal Holdco | ||||||||
9.750%, 07/15/2027 | 649 | 578 | ||||||
6.625%, 07/15/2026 (A) | 590 | 567 | ||||||
6.000%, 06/01/2029 (A) | 680 | 508 | ||||||
Allison Transmission | ||||||||
4.750%, 10/01/2027 (A) | 210 | 198 | ||||||
American Airlines | ||||||||
11.750%, 07/15/2025 (A) | 430 | 470 | ||||||
7.250%, 02/15/2028 (A) | 440 | 428 | ||||||
5.750%, 04/20/2029 (A) | 991 | 951 | ||||||
5.500%, 04/20/2026 (A) | 812 | 799 | ||||||
American Airlines Pass-Through Trust | ||||||||
4.950%, 02/15/2025 | 334 | 322 | ||||||
American Builders & Contractors Supply | ||||||||
3.875%, 11/15/2029 (A) | 1,115 | 952 | ||||||
American News | ||||||||
8.500%cash/0% PIK, 09/01/2026 (A) | 973 | 1,105 | ||||||
APi Group DE | ||||||||
4.750%, 10/15/2029 (A) | 143 | 126 | ||||||
4.125%, 07/15/2029 (A) | 1,778 | 1,526 | ||||||
Arcosa | ||||||||
4.375%, 04/15/2029 (A) | 500 | 445 | ||||||
BCPE Empire Holdings | ||||||||
7.625%, 05/01/2027 (A) | 990 | 905 | ||||||
Boeing | ||||||||
5.805%, 05/01/2050 | 350 | 352 | ||||||
5.150%, 05/01/2030 | 150 | 151 | ||||||
3.450%, 11/01/2028 | 375 | 346 | ||||||
3.250%, 03/01/2028 | 425 | 392 | ||||||
Builders FirstSource | ||||||||
4.250%, 02/01/2032 (A) | 310 | 270 | ||||||
Cargo Aircraft Management | ||||||||
4.750%, 02/01/2028 (A) | 320 | 286 | ||||||
Carriage Purchaser | ||||||||
7.875%, 10/15/2029 (A) | 220 | 163 | ||||||
Carrier Global | ||||||||
2.493%, 02/15/2027 | 1,100 | 1,022 | ||||||
2.242%, 02/15/2025 | 1,000 | 954 | ||||||
Chart Industries | ||||||||
7.500%, 01/01/2030 (A) | 300 | 310 | ||||||
CoreCivic | ||||||||
8.250%, 04/15/2026 | 1,060 | 1,068 | ||||||
Cornerstone Building Brands | ||||||||
6.125%, 01/15/2029 (A) | 567 | 405 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
CoStar Group | ||||||||
2.800%, 07/15/2030 (A) | $ | 625 | $ | 524 | ||||
CP Atlas Buyer | ||||||||
7.000%, 12/01/2028 (A) | 955 | 709 | ||||||
DP World MTN | ||||||||
5.625%, 09/25/2048 (A) | 450 | 434 | ||||||
Garda World Security | ||||||||
7.750%, 02/15/2028 (A) | 255 | 251 | ||||||
GEO Group | ||||||||
10.500%, 06/30/2028 | 742 | 750 | ||||||
GFL Environmental | ||||||||
5.125%, 12/15/2026 (A) | 330 | 323 | ||||||
4.750%, 06/15/2029 (A) | 210 | 196 | ||||||
4.000%, 08/01/2028 (A) | 1,188 | 1,079 | ||||||
Global Infrastructure Solutions | ||||||||
7.500%, 04/15/2032 (A) | 455 | 391 | ||||||
5.625%, 06/01/2029 (A) | 1,271 | 1,049 | ||||||
GYP Holdings III | ||||||||
4.625%, 05/01/2029 (A) | 470 | 402 | ||||||
H&E Equipment Services | ||||||||
3.875%, 12/15/2028 (A) | 240 | 210 | ||||||
Hawaiian Brand Intellectual Property | ||||||||
5.750%, 01/20/2026 (A) | 1,330 | 1,263 | ||||||
Hillenbrand | ||||||||
3.750%, 03/01/2031 | 589 | 492 | ||||||
Husky III Holding | ||||||||
13.000%cash/0% PIK, 02/15/2025 (A) | 600 | 507 | ||||||
IHS Holding | ||||||||
6.250%, 11/29/2028 (A) | 350 | 280 | ||||||
5.625%, 11/29/2026 (A) | 440 | 369 | ||||||
Johnson Controls International | ||||||||
4.900%, 12/01/2032 | 150 | 152 | ||||||
KOC Holding | ||||||||
6.500%, 03/11/2025 | 2,170 | 2,152 | ||||||
Legends Hospitality Holding | ||||||||
5.000%, 02/01/2026 (A) | 510 | 456 | ||||||
Madison IAQ | ||||||||
5.875%, 06/30/2029 (A) | 189 | 146 | ||||||
4.125%, 06/30/2028 (A) | 179 | 155 | ||||||
Mexico City Airport Trust | ||||||||
5.500%, 10/31/2046 | 400 | 308 | ||||||
5.500%, 07/31/2047 | 892 | 687 | ||||||
4.250%, 10/31/2026 (A) | 210 | 201 | ||||||
3.875%, 04/30/2028 (A) | 1,190 | 1,101 | ||||||
MHP Lux | ||||||||
6.950%, 04/03/2026 (D) | 1,870 | 919 | ||||||
MV24 Capital BV | ||||||||
6.748%, 06/01/2034 | 2,304 | 2,122 | ||||||
Northrop Grumman | ||||||||
3.250%, 01/15/2028 | 1,950 | 1,853 | ||||||
Otis Worldwide | ||||||||
2.565%, 02/15/2030 | 1,425 | 1,250 |
SEI Institutional Managed Trust
243
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Park-Ohio Industries | ||||||||
6.625%, 04/15/2027 | $ | 1,120 | $ | 867 | ||||
Rand Parent | ||||||||
8.500%, 02/15/2030 (A) | 835 | 785 | ||||||
Regal Rexnord | ||||||||
6.300%, 02/15/2030 (A) | 575 | 579 | ||||||
Spirit AeroSystems | ||||||||
9.375%, 11/30/2029 (A) | 340 | 371 | ||||||
4.600%, 06/15/2028 | 2,135 | 1,809 | ||||||
Spirit Loyalty Cayman | ||||||||
8.000%, 09/20/2025 (A) | 923 | 927 | ||||||
Standard Industries | ||||||||
4.375%, 07/15/2030 (A) | 645 | 561 | ||||||
Stanley Black & Decker | ||||||||
4.250%, 11/15/2028 | 650 | 628 | ||||||
Swire Pacific Financing MTN | ||||||||
4.500%, 10/09/2023 | 200 | 199 | ||||||
Titan Acquisition | ||||||||
7.750%, 04/15/2026 (A) | 1,465 | 1,227 | ||||||
Titan International | ||||||||
7.000%, 04/30/2028 | 1,400 | 1,261 | ||||||
TK Elevator Holdco GmbH | ||||||||
7.625%, 07/15/2028 (A) | 1,546 | 1,336 | ||||||
TransDigm | ||||||||
8.000%, 12/15/2025 (A) | 250 | 255 | ||||||
7.500%, 03/15/2027 | 260 | 259 | ||||||
6.750%, 08/15/2028 (A) | 500 | 505 | ||||||
6.250%, 03/15/2026 (A) | 700 | 701 | ||||||
5.500%, 11/15/2027 | 960 | 905 | ||||||
4.875%, 05/01/2029 | 359 | 318 | ||||||
4.625%, 01/15/2029 | 135 | 120 | ||||||
Triumph Group | ||||||||
9.000%, 03/15/2028 (A) | 1,815 | 1,817 | ||||||
7.750%, 08/15/2025 | 1,161 | 1,065 | ||||||
Tutor Perini | ||||||||
6.875%, 05/01/2025 (A) | 490 | 345 | ||||||
United Airlines | ||||||||
4.625%, 04/15/2029 (A) | 330 | 299 | ||||||
United Airlines Pass-Through Trust, Ser 2020-1, Cl B | ||||||||
4.875%, 01/15/2026 | 58 | 56 | ||||||
United Rentals North America | ||||||||
6.000%, 12/15/2029 (A) | 240 | 244 | ||||||
5.500%, 05/15/2027 | 290 | 287 | ||||||
5.250%, 01/15/2030 | 530 | 510 | ||||||
3.875%, 02/15/2031 | 170 | 150 | ||||||
Vertiv Group | ||||||||
4.125%, 11/15/2028 (A) | 850 | 750 | ||||||
XPO CNW | ||||||||
6.700%, 05/01/2034 | 1,090 | 987 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
XPO Escrow Sub | ||||||||
7.500%, 11/15/2027 (A) | $ | 660 | $ | 686 | ||||
61,818 | ||||||||
Information Technology — 2.9% | ||||||||
Arches Buyer | ||||||||
6.125%, 12/01/2028 (A) | 364 | 300 | ||||||
Broadcom | ||||||||
3.500%, 02/15/2041 (A) | 525 | 396 | ||||||
3.469%, 04/15/2034 (A) | 175 | 144 | ||||||
3.419%, 04/15/2033 (A) | 1,150 | 962 | ||||||
3.187%, 11/15/2036 (A) | 53 | 40 | ||||||
Castle US Holding | ||||||||
9.500%, 02/15/2028 (A) | 1,334 | 542 | ||||||
Central Parent | ||||||||
7.250%, 06/15/2029 (A) | 1,080 | 1,061 | ||||||
Clarivate Science Holdings | ||||||||
4.875%, 07/01/2029 (A) | 936 | 846 | ||||||
Coherent | ||||||||
5.000%, 12/15/2029 (A) | 420 | 381 | ||||||
CommScope | ||||||||
7.125%, 07/01/2028 (A) | 60 | 44 | ||||||
6.000%, 03/01/2026 (A) | 210 | 203 | ||||||
4.750%, 09/01/2029 (A) | 460 | 383 | ||||||
Crowdstrike Holdings | ||||||||
3.000%, 02/15/2029 | 310 | 271 | ||||||
Dell International | ||||||||
6.020%, 06/15/2026 | 1,525 | 1,565 | ||||||
5.450%, 06/15/2023 | 141 | 141 | ||||||
5.300%, 10/01/2029 | 75 | 76 | ||||||
Elastic | ||||||||
4.125%, 07/15/2029 (A) | 695 | 593 | ||||||
Endurance International Group Holdings | ||||||||
6.000%, 02/15/2029 (A) | 630 | 426 | ||||||
Gen Digital | ||||||||
7.125%, 09/30/2030 (A) | 660 | 657 | ||||||
Hewlett Packard Enterprise | ||||||||
4.900%, 10/15/2025 | 1,865 | 1,862 | ||||||
Imola Merger | ||||||||
4.750%, 05/15/2029 (A) | 1,054 | 943 | ||||||
ION Trading Technologies Sarl | ||||||||
5.750%, 05/15/2028 (A) | 687 | 549 | ||||||
Lam Research | ||||||||
1.900%, 06/15/2030 | 300 | 253 | ||||||
MEGlobal Canada ULC MTN | ||||||||
5.875%, 05/18/2030 (A) | 460 | 469 | ||||||
NCR | ||||||||
5.125%, 04/15/2029 (A) | 380 | 329 | ||||||
NXP BV | ||||||||
3.400%, 05/01/2030 | 225 | 202 | ||||||
Open Text Holdings | ||||||||
4.125%, 02/15/2030 (A) | 3 | 3 |
244
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Oracle | ||||||||
6.250%, 11/09/2032 | $ | 2,175 | $ | 2,339 | ||||
2.950%, 04/01/2030 | 98 | 86 | ||||||
2.875%, 03/25/2031 | 550 | 471 | ||||||
Presidio Holdings | ||||||||
8.250%, 02/01/2028 (A) | 110 | 105 | ||||||
Prosus | ||||||||
3.680%, 01/21/2030 (A) | 250 | 212 | ||||||
Prosus MTN | ||||||||
4.027%, 08/03/2050 (A) | 560 | 368 | ||||||
3.061%, 07/13/2031 (A) | 540 | 425 | ||||||
SPCM | ||||||||
3.375%, 03/15/2030 (A) | 310 | 256 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/2032 | 510 | 621 | ||||||
TeamSystem | ||||||||
3.500%, 02/15/2028 (A) | EUR | 550 | 526 | |||||
United Group BV | ||||||||
4.625%, 08/15/2028 (A) | 450 | 360 | ||||||
Vericast | ||||||||
12.500%, 12/15/2027 (A) | $ | 180 | 204 | |||||
11.000%, 09/15/2026 (A) | 240 | 252 | ||||||
Virtusa | ||||||||
7.125%, 12/15/2028 (A) | 275 | 216 | ||||||
20,082 | ||||||||
Materials — 2.2% | ||||||||
Anglo American Capital | ||||||||
5.625%, 04/01/2030 (A) | 500 | 503 | ||||||
AngloGold Ashanti Holdings | ||||||||
3.750%, 10/01/2030 | 930 | 813 | ||||||
Ardagh Metal Packaging Finance USA | ||||||||
6.000%, 06/15/2027 (A) | 210 | 208 | ||||||
4.000%, 09/01/2029 (A) | 360 | 282 | ||||||
3.000%, 09/01/2029 | EUR | 350 | 282 | |||||
ASP Unifrax Holdings | ||||||||
5.250%, 09/30/2028 (A) | $ | 275 | 220 | |||||
Avient | ||||||||
7.125%, 08/01/2030 (A) | 500 | 516 | ||||||
Axalta Coating Systems | ||||||||
3.375%, 02/15/2029 (A) | 1,405 | 1,204 | ||||||
Berry Global | ||||||||
1.570%, 01/15/2026 | 325 | 295 | ||||||
Braskem Netherlands Finance BV | ||||||||
4.500%, 01/10/2028 (A) | 470 | 429 | ||||||
Chemours | ||||||||
4.625%, 11/15/2029 (A) | 645 | 532 | ||||||
Cleveland-Cliffs Inc | ||||||||
4.875%, 03/01/2031 (A) | 715 | 650 | ||||||
First Quantum Minerals | ||||||||
6.875%, 10/15/2027 (A) | 1,000 | 964 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Huntsman International | ||||||||
4.500%, 05/01/2029 | $ | 375 | $ | 352 | ||||
INEOS Quattro Finance II | ||||||||
3.375%, 01/15/2026 (A) | 205 | 186 | ||||||
Ingevity | ||||||||
3.875%, 11/01/2028 (A) | 735 | 630 | ||||||
LABL | ||||||||
6.750%, 07/15/2026 (A) | 950 | 916 | ||||||
Metinvest BV | ||||||||
7.750%, 04/23/2023 (A) | 375 | 350 | ||||||
Newcrest Finance Pty | ||||||||
3.250%, 05/13/2030 (A) | 150 | 133 | ||||||
OCP | ||||||||
3.750%, 06/23/2031 (A) | 200 | 163 | ||||||
Owens-Brockway Glass Container | ||||||||
6.625%, 05/13/2027 (A) | 200 | 200 | ||||||
Pactiv | ||||||||
8.375%, 04/15/2027 | 450 | 444 | ||||||
Rayonier AM Products | ||||||||
7.625%, 01/15/2026 (A) | 125 | 118 | ||||||
Sasol Financing USA | ||||||||
5.500%, 03/18/2031 | 440 | 368 | ||||||
4.375%, 09/18/2026 | 1,360 | 1,229 | ||||||
Sealed Air | ||||||||
6.875%, 07/15/2033 (A) | 411 | 412 | ||||||
6.125%, 02/01/2028 (A) | 200 | 202 | ||||||
Smyrna Ready Mix Concrete | ||||||||
6.000%, 11/01/2028 (A) | 710 | 666 | ||||||
Suzano Austria GmbH | ||||||||
3.125%, 01/15/2032 | 590 | 483 | ||||||
Syngenta Finance MTN | ||||||||
1.250%, 09/10/2027 | EUR | 200 | 190 | |||||
Teck Resources | ||||||||
3.900%, 07/15/2030 | $ | 250 | 230 | |||||
Vale Overseas | ||||||||
6.250%, 08/10/2026 | 380 | 390 | ||||||
WR Grace Holdings | ||||||||
5.625%, 08/15/2029 (A) | 670 | 568 | ||||||
15,128 | ||||||||
Real Estate — 0.8% | ||||||||
Agree | ||||||||
2.900%, 10/01/2030 | 175 | 149 | ||||||
Alexandria Real Estate Equities | ||||||||
3.375%, 08/15/2031 | 375 | 332 | ||||||
Diversified Healthcare Trust | ||||||||
9.750%, 06/15/2025 | 124 | 120 | ||||||
4.750%, 05/01/2024 | 90 | 81 | ||||||
Essex Portfolio | ||||||||
3.000%, 01/15/2030 | 400 | 348 | ||||||
Five Point Operating | ||||||||
7.875%, 11/15/2025 (A) | 520 | 468 |
SEI Institutional Managed Trust
245
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
IIP Operating Partnership | ||||||||
5.500%, 05/25/2026 | $ | 410 | $ | 352 | ||||
Prologis | ||||||||
1.750%, 07/01/2030 | 300 | 243 | ||||||
Realty Income | ||||||||
4.875%, 06/01/2026 | 1,000 | 995 | ||||||
2.850%, 12/15/2032 | 375 | 310 | ||||||
Service Properties Trust | ||||||||
7.500%, 09/15/2025 | 700 | 691 | ||||||
5.500%, 12/15/2027 | 160 | 143 | ||||||
Spirit Realty | ||||||||
3.200%, 01/15/2027 | 600 | 547 | ||||||
WP Carey | ||||||||
4.250%, 10/01/2026 | 700 | 683 | ||||||
5,462 | ||||||||
Utilities — 1.1% | ||||||||
Alliant Energy Finance | ||||||||
4.250%, 06/15/2028 (A) | 125 | 119 | ||||||
American Electric Power | ||||||||
2.300%, 03/01/2030 | 300 | 253 | ||||||
Berkshire Hathaway Energy | ||||||||
4.250%, 10/15/2050 | 175 | 150 | ||||||
Calpine | ||||||||
3.750%, 03/01/2031 (A) | 1,875 | 1,582 | ||||||
Eskom Holdings SOC MTN | ||||||||
6.750%, 08/06/2023 | 230 | 228 | ||||||
6.350%, 08/10/2028 | 500 | 472 | ||||||
NiSource | ||||||||
3.600%, 05/01/2030 | 50 | 46 | ||||||
Pike | ||||||||
5.500%, 09/01/2028 (A) | 983 | 860 | ||||||
Sempra Energy | ||||||||
3.400%, 02/01/2028 | 1,075 | 1,010 | ||||||
Southern California Edison | ||||||||
4.200%, 03/01/2029 | 450 | 435 | ||||||
Sunnova Energy | ||||||||
5.875%, 09/01/2026 (A) | 560 | 475 | ||||||
TransAlta | ||||||||
7.750%, 11/15/2029 | 270 | 284 | ||||||
6.500%, 03/15/2040 | 980 | 899 | ||||||
Vistra Operations | ||||||||
3.550%, 07/15/2024 (A) | 1,200 | 1,159 | ||||||
7,972 | ||||||||
Total Corporate Obligations | ||||||||
(Cost $415,426) ($ Thousands) | 366,016 | |||||||
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS — 11.2% | ||||||||
19th Holdings Golf LLC, Initial Term Loan, 1st Lien | ||||||||
7.798%, CME Term SOFR + 3.000%, 02/07/2029 (B)(E) | $ | 913 | $ | 847 | ||||
Acrisure, LLC, 1st Lien | ||||||||
10.447%, 02/15/2027 | 589 | 583 | ||||||
Acrisure, LLC, 2020 Term Loan, 1st Lien | ||||||||
8.135%, LIBOR + 3.500%, 02/15/2027 (E) | 359 | 347 | ||||||
ADS Tactical Inc, Term Loan, 1st Lien | ||||||||
10.385%, 03/19/2026 (E) | 983 | 904 | ||||||
Adtalem Global, Term Loan, 1st Lien | ||||||||
8.635%, 08/12/2028 | 301 | 300 | ||||||
Allen Media LLC, Initial Term Loan, 1st Lien | ||||||||
10.230%, 02/10/2027 (E) | 961 | 832 | ||||||
Allied Universal Holdco LLC (f/k/a USAGM Holdco, LLC), Initial U.S. Dollar Term Loan, 1st Lien | ||||||||
8.468%, LIBOR + 3.750%, 05/12/2028 (E) | 669 | 634 | ||||||
Alterra Moutain Company, Series B-2 Term Loan, 1st Lien | ||||||||
8.135%, 08/17/2028 (E) | 526 | 523 | ||||||
Amentum Goverment Services Holdings LLC, Term Loan, 1st Lien | ||||||||
9.033%, 02/15/2029 (E) | 510 | 497 | ||||||
8.827%, 02/15/2029 | 453 | 442 | ||||||
8.764%, 02/15/2029 | – | — | ||||||
8.170%, 01/29/2027 | 133 | 130 | ||||||
Amentum Government Services Holdings LLC, Initial Term Loan, 1st Lien | ||||||||
8.635%, LIBOR + 3.500%, 01/29/2027 (E) | 268 | 262 | ||||||
Amentum Government Services Holdings LLC, Tranche 1 Term Loan, 1st Lien | ||||||||
8.635%, LIBOR + 3.500%, 01/29/2027 (E) | 135 | 132 | ||||||
Apollo Commercial Real Estate Finance, Inc., Term B-1 Loan, 1st Lien | ||||||||
8.135%, LIBOR + 3.500%, 03/11/2028 (B)(E) | 320 | 274 | ||||||
Apollo Commercial Real Estate Finance, Inc., Term Loan, 1st Lien | ||||||||
7.385%, 05/15/2026 (E) | 20 | 17 | ||||||
Arcis Golf LLC, Initial Term Loan, 1st Lien | ||||||||
8.885%, 11/24/2028 | 693 | 688 | ||||||
Arctic Canadian Diamond Company Ltd., Term Loan, 2nd Lien | ||||||||
17.500%, 12/31/2027 (B) | 916 | 878 | ||||||
Asurion, LLC, New B-4 Term Loan, 2nd Lien | ||||||||
9.885%, 01/20/2029 (E) | 950 | 781 |
246
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Asurion, LLC, New B-9 Term Loan, 1st Lien | ||||||||
7.885%, LIBOR + 3.250%, 07/31/2027 (E) | $ | 500 | $ | 457 | ||||
Athena Helath Group, Initial Term Loan | ||||||||
8.259%, 02/15/2029 (E)(G) | 80 | 74 | ||||||
Atlantic Aviation, Term Loan, 2nd Lien | ||||||||
10.385%, 09/21/2029 (E) | 125 | 122 | ||||||
Autokiniton, Term Loan B, 1st Lien | ||||||||
9.280%, 04/06/2028 (E) | 216 | 210 | ||||||
Brown Group Holdings, LLC, Initial Term Loan, 1st Lien | ||||||||
7.218%, LIBOR + 2.750%, 06/07/2028 (E) | 979 | 969 | ||||||
Caesars Entertainment, Term Loan, 1st Lien | ||||||||
7.968%, 02/06/2030 (E) | 220 | 219 | ||||||
Cardinal Parent, Inc., Initial Term Loan, 1st Lien | ||||||||
9.230%, LIBOR + 4.500%, 11/12/2027 (E) | 612 | 540 | ||||||
Chariot Buyer LLC, Initial Term Loan, 1st Lien | ||||||||
7.885%, 11/03/2028 | 568 | 545 | ||||||
Citadel Securities LP, 2021 Term Loan, 1st Lien | ||||||||
7.232%, LIBOR + 2.500%, 02/02/2028 (E) | 632 | 625 | ||||||
City Brewing Company, LLC, Closing Date Term Loan, 1st Lien | ||||||||
8.330%, LIBOR + 3.500%, 04/05/2028 (E) | 374 | 150 | ||||||
Clark Equipment Company, Term Loan B, 1st Lien | ||||||||
7.180%, 04/20/2029 (E) | 99 | 99 | ||||||
ClubCorp Holdings, Inc., Term B Loan, 1st Lien | ||||||||
7.480%, LIBOR + 2.750%, 09/18/2024 (E) | 701 | 668 | ||||||
CPP, Term Loan, 2nd Lien | ||||||||
12.580%, 04/30/2026 | 370 | 302 | ||||||
CTC Holdings/Chicago Trading Company, Term Loan, 1st Lien | ||||||||
9.954%, 02/20/2029 (E) | 485 | 470 | ||||||
DCert Buyer, Inc., First Amendment Refinancing Loan, 2nd Lien | ||||||||
11.696%, LIBOR + 7.000%, 02/19/2029 (E) | 2,190 | 2,015 | ||||||
DCert Buyer, Inc., Initial Term Loan, 1st Lien | ||||||||
8.696%, LIBOR + 4.000%, 10/16/2026 (E) | 869 | 849 | ||||||
Deerfield Dakota Holding, Llc 4/7/2028 2021 Replacement Term Loan, 2nd Lien | ||||||||
11.385%, 04/07/2028 (E) | 300 | 275 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Deerfield Dakota Holding, LLC, Initial Dollar Term Loan, 1st Lien | ||||||||
8.648%, LIBOR + 3.750%, 04/09/2027 (E) | $ | 243 | $ | 235 | ||||
DirecTV Financing, LLC, Closing Date Term Loan, 1st Lien | ||||||||
9.635%, LIBOR + 5.000%, 08/02/2027 (E) | 822 | 789 | ||||||
Donnelley Financial, Term Loan, 1st Lien | ||||||||
0.000%, 03/17/2028 (C) | 790 | 778 | ||||||
Empire Today, Term Loan, 1st Lien | ||||||||
9.709%, 04/03/2028 (E) | 151 | 117 | ||||||
Energize Holdco LLC, Initial Term Loan, 1st Lien | ||||||||
8.385%, 12/08/2028 (E) | 792 | 764 | ||||||
Energize Holdco LLC, Initial Term Loan, 2nd Lien | ||||||||
11.385%, 12/07/2029 | 425 | 388 | ||||||
Engineered Machinery Holdings, Inc., Incremental Amendment No. 4 Term Loan, 1st Lien | ||||||||
5.952%, Euribor + 3.750%, 05/21/2028 (E) | 320 | 335 | ||||||
Engineered Machinery Holdings, Inc., Incremental Amendment No. 5 Term Loan, 1st Lien | ||||||||
8.230%, 05/19/2028 | 714 | 703 | ||||||
Entercom Media Corp., Term B-2 Loan, 1st Lien | ||||||||
7.331%, LIBOR + 2.500%, 11/18/2024 (E) | 180 | 115 | ||||||
Equinox Holdings Inc., Incremental Term B-2 Loan, 1st Lien | ||||||||
13.730%, 03/08/2024 (E) | 243 | 221 | ||||||
EyeCare Partners, LLC, Term Loan, 1st Lien | ||||||||
8.480%, LIBOR + 3.750%, 02/18/2027 (E) | 748 | 607 | ||||||
EyeCare Partners, Term Loan, 1st Lien | ||||||||
8.480%, 11/15/2028 | 455 | 368 | ||||||
EyeCare Partners, Term Loan, 2nd Lien | ||||||||
11.480%, 11/15/2029 | 430 | 325 | ||||||
Fanatics Commercial, Term Loan, 1st Lien | ||||||||
7.885%, 11/24/2028 (G) | 711 | 707 | ||||||
First Brand Group, Term Loan, 2nd Lien | ||||||||
13.602%, 03/30/2028 | 1,410 | 1,243 | ||||||
First Brands Group, LLC, 2021 Term Loan, 1st Lien | ||||||||
9.119%, LIBOR + 5.000%, 03/30/2027 (E) | 540 | 518 | ||||||
First Brands Group, LLC, Term Loan, 1st Lien | ||||||||
10.246%, 03/30/2027 | 115 | 110 | ||||||
Focus Financial, Term Loan, 1st Lien | ||||||||
7.868%, 06/30/2028 | 567 | 561 |
SEI Institutional Managed Trust
247
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
7.118%, 06/30/2028 | $ | 531 | $ | 522 | ||||
Froneri International Limited, Facility B1, 1st Lien | ||||||||
5.067%, Euribor + 2.375%, 01/29/2027 (E) | 330 | 339 | ||||||
Gainwell Acquisition Corp., Term B Loan, 1st Lien | ||||||||
8.730%, LIBOR + 4.000%, 10/01/2027 (E)(G) | 1,955 | 1,862 | ||||||
Garda Security, Term Loan, 1st Lien | ||||||||
9.009%, 02/01/2029 | 567 | 548 | ||||||
Garda World Security Corp | ||||||||
9.109%, LIBOR + 4.250%, 10/30/2026 (E) | 679 | 670 | ||||||
GEO Group, Term Loan, 1st Lien | ||||||||
0.000%, 03/23/2027 (C) | 120 | 121 | ||||||
Getty Images, Inc., Initial Dollar Term Loan, 1st Lien | ||||||||
9.218%, LIBOR + 4.500%, 02/19/2026 (E) | 379 | 378 | ||||||
Global Medical Response, Inc., 2021 Refinancing Term Loan, 1st Lien | ||||||||
8.830%, LIBOR + 4.250%, 10/02/2025 (E)(G) | 1,165 | 812 | ||||||
Global Tel*Link Corporation, Term Loan, 1st Lien | ||||||||
9.076%, LIBOR + 0.040%, 11/29/2025 (E) | 417 | 363 | ||||||
Great Outdoors Group, LLC, Term B-2 Loan, 1st Lien | ||||||||
8.385%, 03/06/2028 (E) | 791 | 779 | ||||||
Greystone Select, Term Loan, 1st Lien | ||||||||
9.798%, 06/16/2028 (E) | 283 | 263 | ||||||
Grinding Media, Inc., Term Loan B, 1st Lien | ||||||||
8.701%, 10/12/2028 (E) | 406 | 380 | ||||||
Grinding Media, Inc., Term Loan, 1st Lien | ||||||||
8.701%, 10/12/2028 | 529 | 495 | ||||||
Hayward Industries, 1st Lien | ||||||||
7.968%, 05/30/2028 | 269 | 260 | ||||||
Hudson River Trading, LLC, Term Loan, 1st Lien | ||||||||
7.732%, CME Term SOFR + 3.000%, 03/20/2028 (E) | 1,020 | 951 | ||||||
Hunter Douglas, Term Loan | ||||||||
8.373%, 02/26/2029 | 235 | 210 | ||||||
Hunter Douglas, Term Loan, 1st Lien | ||||||||
8.373%, 02/26/2029 (E) | 639 | 572 | ||||||
Hyperion Insurance, Term Loan, 1st Lien | ||||||||
0.000%, 03/24/2030 (C) | 120 | 119 | ||||||
Icebox Holdco III, Inc., Initial Term Loan, 1st Lien | ||||||||
8.230%, 12/22/2028 (G) | 768 | 723 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Icebox Holdco III, Inc., Initial Term Loan, 2nd Lien | ||||||||
11.480%, 12/21/2029 (G) | $ | 225 | $ | 199 | ||||
Intelsat Jackson Holdings S.A., Term B Loan, 1st Lien | ||||||||
9.082%, CME Term SOFR + 4.250%, 02/01/2029 (E) | 1,017 | 1,005 | ||||||
Jane Street Group, LLC, Dollar Term Loan, 1st Lien | ||||||||
7.590%, LIBOR + 2.750%, 01/26/2028 (E) | 1,024 | 1,006 | ||||||
Jazz Pharmaceuticals Public Limited Company, Initial Dollar Term Loan, 1st Lien | ||||||||
8.135%, LIBOR + 3.500%, 05/05/2028 (E) | 709 | 705 | ||||||
Jump Financial, LLC, Term Loan, 1st Lien | ||||||||
9.342%, CME Term SOFR + 4.500%, 08/07/2028 (E) | 1,882 | 1,727 | ||||||
Knight Health Holdings, Term Loan, 1st Lien | ||||||||
9.885%, 12/23/2028 (G) | 642 | 321 | ||||||
LABL, Inc., Initial Dollar Term Loan, 1st Lien | ||||||||
9.635%, LIBOR + 5.000%, 10/29/2028 (E) | 642 | 621 | ||||||
Lakeshore Learning Materials, Term Loan, 1st Lien | ||||||||
8.230%, 09/29/2028 (E) | 1,333 | 1,305 | ||||||
LaserShip, Inc., Initial Term Loan, 1st Lien | ||||||||
9.230%, LIBOR + 4.500%, 05/07/2028 (E) | 960 | 813 | ||||||
Lids Holdings, Term Loan | ||||||||
10.393%, 12/14/2026 (B) | 911 | 852 | ||||||
Loyalty Ventures Inc., Term B Loan, 1st Lien | ||||||||
11.000%, 11/03/2027 | 879 | 80 | ||||||
LRS Holdings, LLC, Intial Term Loan, 1st Lien | ||||||||
8.885%, 08/31/2028 | 662 | 645 | ||||||
Magenta Buyer LLC, Initial Term Loan, 1st Lien | ||||||||
9.580%, LIBOR + 5.000%, 07/27/2028 (E) | 798 | 655 | ||||||
Medline Borrower, LP, Initial Dollar Term Loan, 1st Lien | ||||||||
7.885%, LIBOR + 3.250%, 10/23/2028 (E)(G) | 941 | 916 | ||||||
Mercury Borrower, Inc., Initial Term Loan, 1st Lien | ||||||||
8.250%, 08/02/2028 (E) | 733 | 710 | ||||||
MRI Software, Term Loan, 1st Lien | ||||||||
10.230%, 02/10/2026 | 320 | 305 | ||||||
NCL Corp, Term Loan, 1st Lien | ||||||||
6.930%, 01/02/2025 | 1,073 | 1,042 | ||||||
New Era Cap, Term Loan, 1st Lien | ||||||||
10.815%, 07/13/2027 (G) | 665 | 652 |
248
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Newport Parent, Inc., Initial Term Loan, 1st Lien | ||||||||
11.230%, 12/10/2027 (E) | $ | 873 | $ | 857 | ||||
One Call Corporation, Term B Loan, 1st Lien | ||||||||
10.375%, LIBOR + 5.500%, 04/22/2027 (E) | 953 | 703 | ||||||
Pacific Bells, LLC, Initial Term Loan, 1st Lien | ||||||||
9.342%, 11/10/2028 | 257 | 246 | ||||||
Packers Holdings, LLC, Initial Term Loan, 1st Lien | ||||||||
8.093%, LIBOR + 3.250%, 03/09/2028 (E) | 1,005 | 906 | ||||||
Particle Investment S.A.R.L. (WebPros), Term Loan, 1st Lien | ||||||||
9.980%, 02/18/2027 (B)(E)(G) | – | — | ||||||
PDS HoldCo Inc., Delayed Draw Term Loan, 1st Lien | ||||||||
9.135%, 08/18/2028 | 474 | 436 | ||||||
PECF USS Intermediate Holding III Corporation, Initial Term Loan, 1st Lien | ||||||||
8.885%, 12/15/2028 (G) | 563 | 472 | ||||||
Peraton Corp., Term B Loan, 1st Lien | ||||||||
8.385%, LIBOR + 3.750%, 02/01/2028 (E) | 1,122 | 1,106 | ||||||
Peraton Corp., Term B-1 Loan, 2nd Lien | ||||||||
12.651%, LIBOR + 7.750%, 02/01/2029 (E) | 582 | 565 | ||||||
Phoenix Guarantor Inc., Tranche B-1 Term Loan, 1st Lien | ||||||||
7.885%, LIBOR + 3.250%, 03/05/2026 (E) | 42 | 40 | ||||||
Planview Parent, Inc., Closing Date Term Loan, 1st Lien | ||||||||
8.730%, LIBOR + 4.000%, 12/17/2027 (E) | 408 | 385 | ||||||
Polyconcept, Term Loan, 1st Lien | ||||||||
10.080%, 05/18/2029 | 667 | 652 | ||||||
Precision Medicine Group, LLC, Amendment No. 1 Refinancing Term Loan, 1st Lien | ||||||||
7.730%, LIBOR + 3.000%, 11/18/2027 (E) | 744 | 715 | ||||||
Project Sky, Term Loan, 1st Lien | ||||||||
10.635%, 10/08/2029 (E)(G) | 140 | 124 | ||||||
8.385%, 10/08/2028 (E) | 762 | 726 | ||||||
Quikrete Holding, Term Loan B1, 1st Lien | ||||||||
7.635%, 03/18/2029 (E) | 663 | 654 | ||||||
Rackspace Technology Global, Inc., 2021 Term B Loan, 1st Lien | ||||||||
7.595%, LIBOR + 2.750%, 02/15/2028 (E) | 941 | 502 | ||||||
RC Buyer, Inc., Initial Term Loan, 2nd Lien | ||||||||
11.230%, 07/30/2029 | 300 | 267 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Redstone HoldCo 2 LP, Initial Loan, 2nd Lien | ||||||||
12.565%, LIBOR + 7.750%, 04/27/2029 (E) | $ | 820 | $ | 457 | ||||
Redstone Holdco, Term Loan, 1st Lien | ||||||||
9.568%, LIBOR + 4.750%, 04/27/2028 (E) | 827 | 646 | ||||||
Resolute Investment Managers, Inc., Tranche C Term Loan, 1st Lien | ||||||||
8.980%, 04/30/2024 | 300 | 218 | ||||||
Rough Country LLC, Term Loan, 1st Lien | ||||||||
8.230%, 07/28/2028 (E) | 684 | 636 | ||||||
Royal Caribbean Cruises, Term Loan, 1st Lien | ||||||||
13.080%, 07/27/2029 | 900 | 666 | ||||||
Sedgewick CMS, Term Loan, 1st Lien | ||||||||
8.557%, 02/17/2028 (G) | 1,222 | 1,204 | ||||||
Sigma Holdco | ||||||||
7.460%, 07/02/2025 | 1 | 1 | ||||||
SkyMiles IP Ltd. (Delta Air Lines, Inc.), Initial Term Loan, 1st Lien | ||||||||
8.558%, LIBOR + 3.750%, 10/20/2027 (E) | 456 | 472 | ||||||
Smyrna Ready Mix Concrete, LLC, Initial Term Loan, 1st Lien | ||||||||
8.968%, CME Term SOFR + 4.250%, 04/02/2029 (E)(G) | 549 | 544 | ||||||
Sotera Health, Term Loan, 1st Lien | ||||||||
8.816%, 12/11/2026 (G) | 530 | 521 | ||||||
Spencer Gifts LLC (Spirit Halloween Superstores LLC), Term Loan, 1st Lien | ||||||||
10.845%, 06/19/2026 (G) | 577 | 568 | ||||||
SPX Flow, Inc., Term Loan, 1st Lien | ||||||||
9.218%, CME Term SOFR + 4.500%, 04/05/2029 (E) | 767 | 730 | ||||||
Thermostat Buyer, Term Loan | ||||||||
9.453%, 08/31/2028 | 4 | 4 | ||||||
Thermostat Purchaser III, Inc., Initial Term Loan, 1st Lien | ||||||||
9.453%, 08/31/2028 | 260 | 247 | ||||||
Topgolf, Term Loan, 1st Lien | ||||||||
8.260%, 03/15/2030 | 420 | 417 | ||||||
Travelport Finance (Luxembourg) S.A R.L., Initial Term Loan (Priority), 1st Lien | ||||||||
13.480%, LIBOR + 1.500%, 02/28/2025 (E)(G) | 19 | 20 | ||||||
Trident TPI Holdings, Inc., Tranche B-3 Initial Term Loan, 1st Lien | ||||||||
8.730%, 09/15/2028 | 764 | 737 | ||||||
Triton Water Holdings, Inc., Initial Term Loan, 1st Lien | ||||||||
8.230%, LIBOR + 3.500%, 03/31/2028 (E) | 776 | 694 |
SEI Institutional Managed Trust
249
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
TruGreen Limited Partnership, Initial Term Loan, 2nd Lien | ||||||||
13.325%, LIBOR + 8.500%, 11/02/2028 (E) | $ | 200 | $ | 130 | ||||
Tutor Perini Corp., Term Loan, 1st Lien | ||||||||
9.385%, LIBOR + 4.750%, 08/18/2027 (B)(E) | 726 | 674 | ||||||
U.S. Renal Care, Inc., Initial Term Loan, 1st Lien | ||||||||
9.688%, LIBOR + 5.000%, 06/26/2026 (E) | 1,089 | 732 | ||||||
UFC Holdings, Term Loan, 1st Lien | ||||||||
7.570%, 04/29/2026 | 338 | 336 | ||||||
Ultimus Group Midco LLC, The, Initial Term Loan, 1st Lien | ||||||||
8.575%, LIBOR + 3.750%, 05/04/2026 (E) | 241 | 237 | ||||||
United AirLines, Inc., Class B Term Loan, 1st Lien | ||||||||
8.568%, LIBOR + 3.750%, 04/21/2028 (E) | 725 | 719 | ||||||
UST Holdings, Term Loan, 1st Lien | ||||||||
8.482%, 11/20/2028 | 484 | 479 | ||||||
Vaco Holdings, Term Loan, 1st Lien | ||||||||
9.730%, 01/21/2029 | 420 | 411 | ||||||
Verscend Holding Corp., Term B-1 Loan, 1st Lien | ||||||||
8.840%, LIBOR + 4.000%, 08/27/2025 (E) | 1,050 | 1,048 | ||||||
Vertex Aerospace Services Corp., Initial Term Loan, 1st Lien | ||||||||
8.135%, LIBOR + 4.000%, 12/06/2028 (E) | 1,099 | 1,092 | ||||||
Virgin Media Bristol LLC, N Facility, 1st Lien | ||||||||
7.184%, LIBOR + 2.500%, 01/31/2028 (E) | 935 | 918 | ||||||
Virgin Pulse, Inc., Initial Term Loan, 1st Lien | ||||||||
8.635%, 04/06/2028 (E) | 257 | 211 | ||||||
Virtusa, Term Loan | ||||||||
8.385%, 02/11/2028 | 915 | 902 | ||||||
VT Topco, Inc., Delayed Term Loan, 1st Lien | ||||||||
8.385%, 08/01/2025 | 10 | 10 | ||||||
VT Topco, Inc., Term Loan, 1st Lien | ||||||||
8.385%, 08/01/2025 | 385 | 379 | ||||||
VT Topco, Inc., Term Loan, 2nd Lien | ||||||||
11.385%, 07/31/2026 | 320 | 306 | ||||||
WP CPP Holdings, LLC, Initial Term Loan, 1st Lien | ||||||||
8.390%, LIBOR + 3.750%, 04/30/2025 (E) | – | — | ||||||
WP CPP Holdings, Term B Loan | ||||||||
8.580%, LIBOR + 3.750%, 04/30/2025 (E) | 504 | 457 |
Description | Face Amount | Market Value | ||||||
LOAN PARTICIPATIONS (continued) | ||||||||
Wwex Uni TopCo Holdings LLC, Initial Term Loan, 1st Lien | ||||||||
8.730%, 07/26/2028 (E) | $ | 750 | $ | 725 | ||||
Total Loan Participations | ||||||||
(Cost $85,381) ($ Thousands) | 78,374 | |||||||
| ||||||||
COMMON STOCK — 10.6% | ||||||||
Communication Services — 0.9% | ||||||||
BCE Inc | 4,069 | 182 | ||||||
HKT Trust & HKT Ltd | 197,586 | 262 | ||||||
Intelsat Jackson Holdings *(B) | 22,512 | 597 | ||||||
KDDI Corp | 42,312 | 1,301 | ||||||
Koninklijke KPN NV | 184,001 | 651 | ||||||
Orange SA | 109,772 | 1,306 | ||||||
SoftBank Corp | 15,573 | 179 | ||||||
Spark New Zealand Ltd | 102,378 | 324 | ||||||
TIME dotCom Bhd | 58,112 | 73 | ||||||
Verizon Communications Inc | 27,947 | 1,087 | ||||||
5,962 | ||||||||
Consumer Discretionary — 0.3% | ||||||||
Harvey Norman Holdings Ltd | 32,467 | 78 | ||||||
Industria de Diseno Textil SA | 40,479 | 1,359 | ||||||
JB Hi-Fi Ltd | 6,557 | 186 | ||||||
McDonald's Corp | 1,109 | 310 | ||||||
Premier Investments Ltd | 4,897 | 86 | ||||||
USS Co Ltd | 11,112 | 192 | ||||||
2,211 | ||||||||
Consumer Staples — 1.8% | ||||||||
Altria Group Inc | 38,400 | 1,713 | ||||||
British American Tobacco PLC | 35,432 | 1,244 | ||||||
Clorox Co/The | 6,316 | 999 | ||||||
Coca-Cola Co/The | 5,881 | 365 | ||||||
Colgate-Palmolive Co | 1,237 | 93 | ||||||
Flowers Foods Inc | 10,839 | 297 | ||||||
General Mills Inc | 17,848 | 1,525 | ||||||
Imperial Brands PLC | 49,536 | 1,142 | ||||||
Japan Tobacco Inc | 66,096 | 1,390 | ||||||
Kimberly-Clark Corp | 8,756 | 1,175 | ||||||
Mondelez International Inc, Cl A | 2,052 | 143 | ||||||
PepsiCo Inc | 2,083 | 380 | ||||||
Philip Morris International Inc | 15,518 | 1,509 | ||||||
Procter & Gamble Co/The | 3,592 | 534 | ||||||
Vector Group Ltd | 6,784 | 81 | ||||||
Viscofan SA | 2,142 | 154 | ||||||
Want Want China Holdings Ltd | 274,457 | 177 | ||||||
12,921 |
250
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Energy — 0.9% | ||||||||
Chord Energy Corp | 2,163 | $ | 291 | |||||
Civitas Resources Inc | 3,002 | 205 | ||||||
Coterra Energy Inc | 43,149 | 1,059 | ||||||
EOG Resources Inc | 9,857 | 1,130 | ||||||
Noble Corp PLC * | 7,982 | 315 | ||||||
PetroChina Co Ltd, Cl H | 1,156,114 | 685 | ||||||
Summit Midstream Partners LP * | 28,458 | 437 | ||||||
TotalEnergies SE | 17,724 | 1,046 | ||||||
Williams Cos Inc/The | 39,114 | 1,168 | ||||||
6,336 | ||||||||
Financials — 2.3% | ||||||||
Agricultural Bank of China Ltd, Cl H | 1,613,375 | 598 | ||||||
American Financial Group Inc/OH | 4,029 | 490 | ||||||
Arbor Realty Trust Inc ‡ | 8,268 | 95 | ||||||
Artisan Partners Asset Management Inc, Cl A | 3,718 | 119 | ||||||
ASR Nederland NV | 7,629 | 305 | ||||||
Azimut Holding SpA | 5,873 | 126 | ||||||
Banca Generali SpA | 3,193 | 102 | ||||||
Banca Mediolanum SpA | 11,715 | 106 | ||||||
Bank of China Ltd, Cl H | 4,384,547 | 1,681 | ||||||
Bank of Communications Co Ltd, Cl H | 477,981 | 301 | ||||||
Bank OZK | 6,175 | 211 | ||||||
China CITIC Bank Corp Ltd, Cl H | 489,770 | 246 | ||||||
China Construction Bank Corp, Cl H | 2,913,881 | 1,889 | ||||||
CME Group Inc, Cl A | 8,836 | 1,692 | ||||||
Cohen & Steers Inc | 1,416 | 91 | ||||||
Great-West Lifeco Inc | 14,862 | 393 | ||||||
Industrial & Commercial Bank of China Ltd, Cl H | 2,343,710 | 1,248 | ||||||
Mapfre SA | 47,313 | 96 | ||||||
Nordea Bank Abp, Cl A | 96,458 | 1,029 | ||||||
Northwest Bancshares Inc | 6,232 | 75 | ||||||
Old Republic International Corp | 15,720 | 393 | ||||||
OneMain Holdings Inc, Cl A | 5,990 | 222 | ||||||
Oversea-Chinese Banking Corp Ltd | 132,962 | 1,237 | ||||||
Prosperity Bancshares Inc | 4,892 | 301 | ||||||
Public Bank Bhd | 816,434 | 740 | ||||||
S&T Bancorp Inc | 1,953 | 61 | ||||||
Toronto-Dominion Bank/The | 18,191 | 1,088 | ||||||
Unipol Gruppo SpA | 20,996 | 108 | ||||||
WesBanco Inc | 3,194 | 98 | ||||||
Zurich Insurance Group AG | 2,460 | 1,179 | ||||||
16,320 | ||||||||
Health Care — 1.8% | ||||||||
Abbott Laboratories | 2,627 | 266 | ||||||
AbbVie Inc | 9,800 | 1,562 | ||||||
Amgen Inc, Cl A | 6,144 | 1,485 | ||||||
Bristol-Myers Squibb Co | 20,039 | 1,389 | ||||||
Gilead Sciences Inc | 19,811 | 1,644 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Medtronic PLC | 14,066 | $ | 1,134 | |||||
Merck & Co Inc | 3,836 | 408 | ||||||
Novartis AG | 18,327 | 1,680 | ||||||
Pfizer Inc | 31,348 | 1,279 | ||||||
Sanofi | 12,832 | 1,398 | ||||||
12,245 | ||||||||
Industrials — 0.5% | ||||||||
Assicurazioni Generali SpA | 59,767 | 1,193 | ||||||
Automatic Data Processing Inc | 645 | 144 | ||||||
Cia de Distribucion Integral Logista Holdings SA | 3,662 | 92 | ||||||
CITIC Ltd | 318,524 | 372 | ||||||
Illinois Tool Works Inc | 417 | 102 | ||||||
MSC Industrial Direct Co Inc, Cl A | 2,443 | 205 | ||||||
NWS Holdings Ltd | 80,301 | 72 | ||||||
PACCAR Inc | 16,864 | 1,234 | ||||||
Pacific Basin Shipping Ltd | 274,541 | 106 | ||||||
Pagegroup PLC | 17,876 | 101 | ||||||
SITC International Holdings Co Ltd | 71,531 | 154 | ||||||
3,775 | ||||||||
Information Technology — 0.7% | ||||||||
Broadcom Inc | 2,191 | 1,405 | ||||||
Cisco Systems Inc | 28,967 | 1,514 | ||||||
Qlik, Cl A *(B) | 56 | 74 | ||||||
Qlik, Cl B *(B) | 13,812 | — | ||||||
Texas Instruments Inc | 9,213 | 1,714 | ||||||
4,707 | ||||||||
Materials — 0.7% | ||||||||
Arctic Canadian Diamond Company Ltd *(B) | 824 | 306 | ||||||
BHP Group Ltd | 48,580 | 1,536 | ||||||
LyondellBasell Industries NV, Cl A | 13,537 | 1,271 | ||||||
Petronas Chemicals Group Bhd | 137,453 | 220 | ||||||
Rio Tinto PLC | 21,465 | 1,454 | ||||||
4,787 | ||||||||
Real Estate — 0.5% | ||||||||
CapitaLand Ascott Trust ‡ | 111,606 | 84 | ||||||
Frontier Real Estate Investment Corp ‡ | 27 | 96 | ||||||
Getty Realty Corp ‡ | 2,146 | 77 | ||||||
Innovative Industrial Properties Inc, Cl A ‡ | 1,511 | 115 | ||||||
Medical Properties Trust Inc ‡ | 34,176 | 281 | ||||||
Public Storage ‡ | 4,490 | 1,357 | ||||||
VICI Properties Inc, Cl A ‡ | 34,841 | 1,136 | ||||||
Waypoint REIT Ltd ‡ | 38,403 | 67 | ||||||
3,213 | ||||||||
Utilities — 0.2% | ||||||||
CK Infrastructure Holdings Ltd | 34,145 | 186 | ||||||
Enagas SA | 13,317 | 256 | ||||||
Italgas SpA | 25,503 | 156 | ||||||
Petronas Gas Bhd | 43,248 | 162 |
SEI Institutional Managed Trust
251
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Income Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Power Assets Holdings Ltd | 76,848 | $ | 412 | |||||
Red Electrica Corp SA | 22,377 | 394 | ||||||
Rubis SCA | 5,050 | 135 | ||||||
1,701 | ||||||||
Total Common Stock | ||||||||
(Cost $71,727) ($ Thousands) | 74,178 | |||||||
Face Amount | ||||||||
SOVEREIGN DEBT — 9.5% | ||||||||
Abu Dhabi Government International Bond MTN | ||||||||
3.875%, 04/16/2050(A) | $ | 1,630 | 1,384 | |||||
Adani Ports & Special Economic Zone | ||||||||
4.000%, 07/30/2027 | 910 | 723 | ||||||
3.375%, 07/24/2024 | 570 | 528 | ||||||
Angolan Government International Bond | ||||||||
9.375%, 05/08/2048 | 200 | 156 | ||||||
9.125%, 11/26/2049(A) | 1,170 | 904 | ||||||
8.750%, 04/14/2032(A) | 210 | 177 | ||||||
8.000%, 11/26/2029(A) | 420 | 360 | ||||||
Argentine Republic Government International Bond | ||||||||
3.500%, 07/09/2029(H) | 1,310 | 370 | ||||||
1.500%, 07/09/2023(H) | 1,316 | 342 | ||||||
1.000%, 07/09/2029 | 262 | 73 | ||||||
0.500%, 07/09/2023(H) | 3,590 | 1,040 | ||||||
0.500%, 07/09/2029 | EUR | 6 | 2 | |||||
0.125%, 07/09/2030 | 165 | 42 | ||||||
Azerbaijan Government International Bond | ||||||||
3.500%, 09/01/2032 | $ | 1,360 | 1,158 | |||||
Bahrain Government International Bond MTN | ||||||||
5.625%, 05/18/2034(A) | 940 | 820 | ||||||
Benin Government International Bond | ||||||||
4.875%, 01/19/2032(A) | EUR | 1,480 | 1,208 | |||||
Brazil Government International Bond | ||||||||
5.333%, 02/15/2028 | $ | 100 | 98 | |||||
Buenos Aires Government International Bond MTN | ||||||||
5.250%, 09/01/2023(A)(H) | 7,512 | 2,633 | ||||||
Bundesrepublik Deutschland Bundesanleihe | ||||||||
0.000%, 08/15/2026(C) | EUR | 360 | 361 | |||||
CBB International Sukuk Programme SPC | ||||||||
6.250%, 11/14/2024(A) | $ | 300 | 302 | |||||
Ciudad Autonoma De Buenos Aires | ||||||||
7.500%, 06/01/2027 | 480 | 429 | ||||||
Colombia Government International Bond | ||||||||
4.125%, 05/15/2051 | 630 | 388 |
Description | Face Amount | Market Value | ||||||
SOVEREIGN DEBT (continued) | ||||||||
3.125%, 04/15/2031 | $ | 730 | $ | 556 | ||||
3.000%, 01/30/2030 | 730 | 572 | ||||||
Cordoba Government International Bond | ||||||||
6.990%, 06/01/2027(A)(H) | 526 | 387 | ||||||
Country Garden Holdings | ||||||||
8.000%, 01/27/2024 | 200 | 173 | ||||||
Dominican Republic International Bond | ||||||||
7.450%, 04/30/2044 | 600 | 576 | ||||||
6.850%, 01/27/2045 | 660 | 588 | ||||||
6.500%, 02/15/2048(A) | 1,270 | 1,074 | ||||||
6.400%, 06/05/2049(A) | 660 | 550 | ||||||
5.500%, 02/22/2029(A) | 240 | 226 | ||||||
4.875%, 09/23/2032 | 460 | 390 | ||||||
4.500%, 01/30/2030 | 550 | 478 | ||||||
Ecuador Government International Bond | ||||||||
5.500%, 07/31/2023(A)(H) | 352 | 163 | ||||||
1.500%, 07/31/2023(A)(H) | 1,128 | 337 | ||||||
0.000%, 07/31/2030(A)(I) | 329 | 98 | ||||||
Egypt Government International Bond | ||||||||
8.875%, 05/29/2050(A) | 710 | 416 | ||||||
8.700%, 03/01/2049(A) | 520 | 303 | ||||||
8.500%, 01/31/2047 | 450 | 260 | ||||||
7.903%, 02/21/2048(A) | 360 | 199 | ||||||
7.625%, 05/29/2032(A) | 480 | 304 | ||||||
6.375%, 04/11/2031(A) | EUR | 330 | 213 | |||||
5.625%, 04/16/2030 | 1,560 | 1,011 | ||||||
4.750%, 04/16/2026(A) | 100 | 80 | ||||||
Gabon Government International Bond | ||||||||
7.000%, 11/24/2031(A) | $ | 1,120 | 853 | |||||
Guatemala Government Bond | ||||||||
6.125%, 06/01/2050(A) | 530 | 501 | ||||||
4.900%, 06/01/2030(A) | 280 | 267 | ||||||
4.875%, 02/13/2028 | 790 | 767 | ||||||
4.500%, 05/03/2026(A) | 770 | 752 | ||||||
4.375%, 06/05/2027(A) | 790 | 761 | ||||||
Hazine Mustesarligi Varlik Kiralama | ||||||||
5.004%, 04/06/2023(A) | 860 | 859 | ||||||
Indonesia Government International Bond | ||||||||
7.000%, 05/15/2027 | IDR | 41,349,000 | 2,813 | |||||
3.850%, 10/15/2030 | $ | 200 | 190 | |||||
3.500%, 01/11/2028 | 880 | 843 | ||||||
2.850%, 02/14/2030 | 900 | 812 | ||||||
1.100%, 03/12/2033 | EUR | 400 | 320 | |||||
0.900%, 02/14/2027 | 180 | 174 | ||||||
Iraq Government International Bond | ||||||||
5.800%, 01/15/2028 | $ | 175 | 163 | |||||
Ivory Coast Government International Bond | ||||||||
6.625%, 03/22/2048 | EUR | 420 | 315 | |||||
6.125%, 06/15/2033 | $ | 650 | 561 | |||||
5.250%, 03/22/2030 | EUR | 390 | 347 | |||||
4.875%, 01/30/2032(A) | 1,660 | 1,370 |
252
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
SOVEREIGN DEBT (continued) | ||||||||
Jamaica Government International Bond | ||||||||
7.875%, 07/28/2045 | $ | 740 | $ | 866 | ||||
Jordan Government International Bond | ||||||||
7.750%, 01/15/2028(A) | 500 | 507 | ||||||
Kazakhstan Government International Bond MTN | ||||||||
5.125%, 07/21/2025 | 220 | 226 | ||||||
Kenya Government International Bond | ||||||||
8.250%, 02/28/2048(A) | 260 | 190 | ||||||
8.000%, 05/22/2032(A) | 910 | 736 | ||||||
7.000%, 05/22/2027(A) | 250 | 211 | ||||||
Lebanon Government International Bond | ||||||||
8.250%, 05/17/2034(D) | 30 | 2 | ||||||
8.200%, 05/17/2033(D) | 40 | 2 | ||||||
7.150%, 11/20/2031(D) | 40 | 2 | ||||||
7.050%, 11/02/2035(D) | 100 | 6 | ||||||
7.000%, 03/20/2028(D) | 40 | 2 | ||||||
6.850%, 03/23/2027(D) | 100 | 6 | ||||||
6.850%, 05/25/2029(D) | 721 | 45 | ||||||
6.750%, 11/29/2027(D) | 410 | 26 | ||||||
6.650%, 04/22/2024(D) | 170 | 11 | ||||||
6.650%, 11/03/2028(D) | 80 | 5 | ||||||
6.650%, 02/26/2030(D) | 832 | 52 | ||||||
6.600%, 11/27/2026(D) | 30 | 2 | ||||||
6.200%, 02/26/2025(D) | 860 | 53 | ||||||
Mexican Bonos | ||||||||
5.750%, 03/05/2026 | MXN | 14,530 | 726 | |||||
Mexico Government International Bond | ||||||||
3.771%, 05/24/2061 | $ | 520 | 351 | |||||
2.659%, 05/24/2031 | 1,120 | 934 | ||||||
Morocco Government International Bond | ||||||||
3.000%, 12/15/2032(A) | 730 | 588 | ||||||
1.500%, 11/27/2031(A) | EUR | 290 | 236 | |||||
Mozambique International Bond | ||||||||
5.000%, 09/15/2023(H) | $ | 220 | 157 | |||||
Nigeria Government International Bond | ||||||||
8.747%, 01/21/2031 | 1,720 | 1,380 | ||||||
7.696%, 02/23/2038(A) | 690 | 461 | ||||||
Oman Government International Bond | ||||||||
6.750%, 01/17/2048 | 200 | 189 | ||||||
6.250%, 01/25/2031(A) | 1,600 | 1,626 | ||||||
Pakistan Government International Bond | ||||||||
6.875%, 12/05/2027 | 200 | 71 | ||||||
6.000%, 04/08/2026(A) | 540 | 196 | ||||||
Pakistan Water & Power Development Authority | ||||||||
7.500%, 06/04/2031 | 420 | 130 | ||||||
Panama Government International Bond | ||||||||
4.500%, 04/01/2056 | 300 | 223 | ||||||
Papua New Guinea Government International Bond | ||||||||
8.375%, 10/04/2028(A) | 290 | 264 |
Description | Face Amount | Market Value | ||||||
SOVEREIGN DEBT (continued) | ||||||||
Paraguay Government International Bond | ||||||||
6.100%, 08/11/2044 | $ | 500 | $ | 484 | ||||
5.600%, 03/13/2048 | 760 | 674 | ||||||
5.400%, 03/30/2050(A) | 320 | 275 | ||||||
Perusahaan Penerbit SBSN Indonesia III | ||||||||
4.550%, 03/29/2026(A) | 530 | 530 | ||||||
4.450%, 02/20/2029(A) | 330 | 327 | ||||||
Peruvian Government International Bond | ||||||||
2.783%, 01/23/2031 | 380 | 324 | ||||||
Qatar Government International Bond | ||||||||
5.103%, 04/23/2048(A) | 820 | 832 | ||||||
4.817%, 03/14/2049(A) | 930 | 910 | ||||||
4.625%, 06/02/2046 | 280 | 270 | ||||||
4.400%, 04/16/2050(A) | 450 | 416 | ||||||
3.750%, 04/16/2030(A) | 200 | 195 | ||||||
Romanian Government International Bond | ||||||||
5.125%, 06/15/2048(A) | 200 | 167 | ||||||
3.375%, 01/28/2050 | EUR | 230 | 151 | |||||
2.875%, 05/26/2028 | 650 | 620 | ||||||
2.875%, 03/11/2029 | 1,490 | 1,379 | ||||||
2.124%, 07/16/2031(A) | 250 | 197 | ||||||
2.000%, 12/08/2026(A) | 590 | 574 | ||||||
2.000%, 01/28/2032(A) | 110 | 84 | ||||||
2.000%, 04/14/2033(A) | 900 | 665 | ||||||
Saudi Government International Bond MTN | ||||||||
4.500%, 04/22/2060(A) | $ | 1,070 | 933 | |||||
3.750%, 01/21/2055(A) | 220 | 169 | ||||||
3.250%, 10/22/2030(A) | 430 | 396 | ||||||
Senegal Government International Bond | ||||||||
5.375%, 06/08/2037(A) | EUR | 930 | 647 | |||||
4.750%, 03/13/2028(A) | 740 | 674 | ||||||
Serbia Government International Bond | ||||||||
1.500%, 06/26/2029(A) | 500 | 414 | ||||||
South Africa Government International Bond | ||||||||
5.650%, 09/27/2047 | $ | 950 | 701 | |||||
4.850%, 09/27/2027 | 890 | 848 | ||||||
4.300%, 10/12/2028 | 200 | 179 | ||||||
Sri Lanka Government International Bond | ||||||||
7.550%, 03/28/2030(A)(D) | 910 | 318 | ||||||
6.850%, 03/14/2024(A)(D) | 200 | 70 | ||||||
6.850%, 11/03/2025(D) | 570 | 207 | ||||||
6.825%, 07/18/2026(A)(D) | 250 | 91 | ||||||
6.750%, 04/18/2028(A)(D) | 360 | 126 | ||||||
Turkey Government International Bond | ||||||||
7.625%, 04/26/2029 | 560 | 532 | ||||||
6.875%, 03/17/2036 | 60 | 51 | ||||||
6.500%, 09/20/2033 | 900 | 767 | ||||||
6.000%, 03/25/2027 | 320 | 295 | ||||||
6.000%, 01/14/2041 | 1,980 | 1,488 | ||||||
4.250%, 04/14/2026 | 530 | 476 |
SEI Institutional Managed Trust
253
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
SOVEREIGN DEBT (continued) | ||||||||
Ukraine Government International Bond | ||||||||
9.750%, 11/01/2030(A)(D) | $ | 640 | $ | 118 | ||||
8.994%, 02/01/2026(D) | 280 | 51 | ||||||
7.750%, 09/01/2025(D) | 910 | 180 | ||||||
7.750%, 09/01/2026(D) | 230 | 42 | ||||||
7.750%, 09/01/2029(D) | 250 | 45 | ||||||
7.375%, 09/25/2034(A)(D) | 200 | 34 | ||||||
7.253%, 03/15/2035(A)(D) | 420 | 72 | ||||||
Uzbekistan Government International Bond MTN | ||||||||
4.750%, 02/20/2024(A) | 340 | 334 | ||||||
3.700%, 11/25/2030(A) | 660 | 529 | ||||||
Virgin Money UK | ||||||||
9.250%, UK Govt Bonds 5 Year Note Generic Bid Yield + 8.307%, 06/08/2171(E)(F) | GBP | 300 | 347 | |||||
Zambia Government International Bond | ||||||||
5.375%, 09/20/2022(D) | $ | 760 | 321 | |||||
Total Sovereign Debt | ||||||||
(Cost $87,021) ($ Thousands) | 66,131 | |||||||
MORTGAGE-BACKED SECURITIES — 7.2% | ||||||||
Agency Mortgage-Backed Obligations — 1.1% | ||||||||
FHLMC | ||||||||
6.000%, 12/01/2052 | 100 | 103 | ||||||
FHLMC REMIC CMO, Ser 2020-5012, Cl DI, IO | ||||||||
4.000%, 09/25/2050 | 579 | 111 | ||||||
FHLMC REMIC CMO, Ser 2020-5020, Cl IH, IO | ||||||||
3.000%, 08/25/2050 | 498 | 79 | ||||||
FHLMC STACR REMIC Trust, Ser 2017-HRP1, Cl B1 | ||||||||
9.445%, ICE LIBOR USD 1 Month + 4.600%, 12/25/2042(E) | 330 | 336 | ||||||
FHLMC STACR REMIC Trust, Ser 2020-DNA1, Cl B1 | ||||||||
7.145%, ICE LIBOR USD 1 Month + 2.300%, 01/25/2050(A)(E) | 660 | 638 | ||||||
FHLMC STACR REMIC Trust, Ser 2020-DNA3, Cl B1 | ||||||||
9.945%, ICE LIBOR USD 1 Month + 5.100%, 06/25/2050(A)(E) | 1,248 | 1,323 | ||||||
FHLMC STACR REMIC Trust, Ser 2020-DNA5, Cl B1 | ||||||||
9.360%, SOFR30A + 4.800%, 10/25/2050(A)(E) | 210 | 221 | ||||||
FHLMC STACR REMIC Trust, Ser 2020-DNA6, Cl B1 | ||||||||
7.560%, SOFR30A + 3.000%, 12/25/2050(A)(E) | 630 | 600 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FHLMC STACR REMIC Trust, Ser 2021-DNA1, Cl M2 | ||||||||
6.360%, SOFR30A + 1.800%, 01/25/2051(A)(E) | $ | 149 | $ | 147 | ||||
FHLMC STACR REMIC Trust, Ser 2021-DNA3, Cl B1 | ||||||||
8.060%, SOFR30A + 3.500%, 10/25/2033(A)(E) | 390 | 372 | ||||||
FHLMC STACR REMIC Trust, Ser 2021-DNA5, Cl B1 | ||||||||
7.610%, SOFR30A + 3.050%, 01/25/2034(A)(E) | 590 | 542 | ||||||
FHLMC STACR REMIC Trust, Ser 2021-DNA7, Cl B1 | ||||||||
8.210%, SOFR30A + 3.650%, 11/25/2041(A)(E) | 540 | 507 | ||||||
FNMA | ||||||||
2.790%, 01/01/2035(E) | 344 | 301 | ||||||
FNMA REMIC CMO, Ser 2015-30, Cl SJ, IO | ||||||||
0.755%, 05/25/2045(E) | 1,363 | 113 | ||||||
FNMA REMIC CMO, Ser 2017-104, Cl SB, IO | ||||||||
1.305%, 01/25/2048(E) | 952 | 104 | ||||||
FNMA REMIC CMO, Ser 2020-60, Cl NI, IO | ||||||||
4.000%, 09/25/2050 | 538 | 103 | ||||||
FNMA REMIC CMO, Ser 2020-62, Cl GI, IO | ||||||||
4.000%, 06/25/2048 | 1,031 | 196 | ||||||
GNMA REMIC CMO, Ser 2010-9, Cl XD, IO | ||||||||
1.872%, 01/16/2040(E) | 1,039 | 131 | ||||||
GNMA REMIC CMO, Ser 2013-124, Cl CS, IO | ||||||||
1.289%, 08/20/2043(E) | 110 | 12 | ||||||
GNMA REMIC CMO, Ser 2015-111, Cl IM, IO | ||||||||
4.000%, 08/20/2045 | 1,279 | 183 | ||||||
GNMA REMIC CMO, Ser 2016-109, Cl IH, IO | ||||||||
4.000%, 10/20/2045 | 731 | 101 | ||||||
GNMA REMIC CMO, Ser 2016-27, Cl IA, IO | ||||||||
4.000%, 06/20/2045 | 289 | 34 | ||||||
GNMA REMIC CMO, Ser 2017-112, Cl SJ, IO | ||||||||
0.899%, 07/20/2047(E) | 707 | 59 | ||||||
GNMA REMIC CMO, Ser 2018-122, Cl HS, IO | ||||||||
1.439%, 09/20/2048(E) | 310 | 32 | ||||||
GNMA REMIC CMO, Ser 2018-122, Cl SE, IO | ||||||||
1.439%, 09/20/2048(E) | 422 | 43 | ||||||
GNMA REMIC CMO, Ser 2018-124, Cl SN, IO | ||||||||
1.439%, 09/20/2048(E) | 1,411 | 161 | ||||||
GNMA REMIC CMO, Ser 2018-137, Cl SN, IO | ||||||||
1.389%, 10/20/2048(E) | 417 | 36 | ||||||
GNMA REMIC CMO, Ser 2018-139, Cl SQ, IO | ||||||||
1.389%, 10/20/2048(E) | 261 | 25 | ||||||
GNMA REMIC CMO, Ser 2018-67, Cl PS, IO | ||||||||
1.439%, 05/20/2048(E) | 1,329 | 137 | ||||||
GNMA REMIC CMO, Ser 2018-7, Cl DS, IO | ||||||||
0.939%, 01/20/2048(E) | 875 | 83 |
254
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GNMA REMIC CMO, Ser 2019-1, Cl SN, IO | ||||||||
1.289%, 01/20/2049(E) | $ | 224 | $ | 21 | ||||
GNMA REMIC CMO, Ser 2019-110, Cl SE, IO | ||||||||
1.339%, 09/20/2049(E) | 812 | 72 | ||||||
GNMA REMIC CMO, Ser 2019-110, Cl SD, IO | ||||||||
1.339%, 09/20/2049(E) | 624 | 61 | ||||||
GNMA REMIC CMO, Ser 2019-151, Cl NI, IO | ||||||||
3.500%, 10/20/2049 | 2,014 | 295 | ||||||
GNMA REMIC CMO, Ser 2019-6, Cl SA, IO | ||||||||
1.289%, 01/20/2049(E) | 176 | 17 | ||||||
GNMA REMIC CMO, Ser 2019-78, Cl SE, IO | ||||||||
1.339%, 06/20/2049(E) | 141 | 13 | ||||||
GNMA REMIC CMO, Ser 2020-78, Cl DI, IO | ||||||||
4.000%, 06/20/2050 | 750 | 130 | ||||||
7,442 | ||||||||
Non-Agency Mortgage-Backed Obligations — 6.1% | ||||||||
ACE Securities Home Equity Loan Trust, Ser 2004-HE3, Cl M1 | ||||||||
5.775%, ICE LIBOR USD 1 Month + 0.930%, 11/25/2034(E) | 331 | 314 | ||||||
Alternative Loan Trust, Ser 2005-81, Cl A1 | ||||||||
5.405%, ICE LIBOR USD 1 Month + 0.560%, 02/25/2037(E) | 456 | 368 | ||||||
Barclays Commercial Mortgage Trust, Ser 2019-C5, Cl A4 | ||||||||
3.063%, 11/15/2052 | 870 | 768 | ||||||
Benchmark Mortgage Trust, Ser 2019-B11, Cl XA, IO | ||||||||
1.003%, 05/15/2052(E) | 10,458 | 448 | ||||||
BIG Commercial Mortgage Trust, Ser BIG, Cl F | ||||||||
10.263%, TSFR1M + 5.436%, 02/15/2039(A)(E) | 480 | 444 | ||||||
BRAVO Residential Funding Trust, Ser 2022-R1, Cl A | ||||||||
3.125%, 01/29/2070(A)(H) | 652 | 583 | ||||||
BX Commercial Mortgage Trust, Ser 2019-IMC, Cl E | ||||||||
6.834%, ICE LIBOR USD 1 Month + 2.150%, 04/15/2034(A)(E) | 1,970 | 1,869 | ||||||
BX Commercial Mortgage Trust, Ser LP2, Cl G | ||||||||
8.933%, TSFR1M + 4.106%, 02/15/2039(A)(E) | 687 | 630 | ||||||
BX Commercial Mortgage Trust, Ser XL2, Cl J | ||||||||
8.574%, ICE LIBOR USD 1 Month + 3.890%, 10/15/2038(A)(E) | 463 | 421 | ||||||
BX Trust, Ser SDMF, Cl F | ||||||||
6.621%, ICE LIBOR USD 1 Month + 1.937%, 09/15/2034(A)(E) | 310 | 284 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Capmark Military Housing Trust, Ser 2007-AET2, Cl A | ||||||||
6.063%, 10/10/2052(A) | $ | 918 | $ | 875 | ||||
CFK Trust, Ser 2020-MF2, Cl E | ||||||||
3.458%, 03/15/2039(A)(E) | 500 | 394 | ||||||
Citigroup Mortgage Loan Trust, Ser 2022-A, Cl A1 | ||||||||
6.170%, 09/25/2062(A)(H) | 583 | 580 | ||||||
Connecticut Avenue Securities Trust, Ser 2018-R07, Cl 1B1 | ||||||||
9.195%, ICE LIBOR USD 1 Month + 4.350%, 04/25/2031(A)(E) | 460 | 477 | ||||||
Connecticut Avenue Securities Trust, Ser 2019-R05, Cl 1B1 | ||||||||
8.945%, ICE LIBOR USD 1 Month + 4.100%, 07/25/2039(A)(E) | 528 | 533 | ||||||
Connecticut Avenue Securities Trust, Ser 2021-R01, Cl 1B1 | ||||||||
7.660%, SOFR30A + 3.100%, 10/25/2041(A)(E) | 670 | 631 | ||||||
Connecticut Avenue Securities Trust, Ser 2021-R03, Cl 1B1 | ||||||||
7.310%, SOFR30A + 2.750%, 12/25/2041(A)(E) | 680 | 624 | ||||||
Connecticut Avenue Securities Trust, Ser 2022-R05, Cl 2B1 | ||||||||
9.060%, SOFR30A + 4.500%, 04/25/2042(A)(E) | 433 | 421 | ||||||
Connecticut Avenue Securities Trust, Ser 2022-R05, Cl 2M2 | ||||||||
7.560%, SOFR30A + 3.000%, 04/25/2042(A)(E) | 386 | 376 | ||||||
Connecticut Avenue Securities, Ser 2018-C01, Cl 1B1 | ||||||||
8.395%, ICE LIBOR USD 1 Month + 3.550%, 07/25/2030(E) | 570 | 587 | ||||||
Credit Suisse European Mortgage Capital, Ser 2019-1OTF, Cl A | ||||||||
7.702%, ICE LIBOR USD 3 Month + 2.900%, 08/09/2024(A)(E) | 935 | 918 | ||||||
CSMC Trust, Ser 2014-USA, Cl E | ||||||||
4.373%, 09/15/2037(A) | 320 | 177 | ||||||
CSMC Trust, Ser 2017-RPL1, Cl M2 | ||||||||
2.952%, 07/25/2057(A)(E) | 1,190 | 916 | ||||||
CSMC Trust, Ser 2019-UVIL, Cl A | ||||||||
3.160%, 12/15/2041(A) | 950 | 787 | ||||||
Ellington Financial Mortgage Trust, Ser 2020-1, Cl B1 | ||||||||
5.105%, 05/25/2065(A)(E) | 600 | 559 | ||||||
FHLMC STACR REMIC Trust, Ser 2022-DNA4, Cl M1A | ||||||||
6.760%, SOFR30A + 2.200%, 05/25/2042(A)(E) | 638 | 641 |
SEI Institutional Managed Trust
255
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
First Franklin Mortgage Loan Trust, Ser 2006-FF15, Cl A5 | ||||||||
5.005%, ICE LIBOR USD 1 Month + 0.160%, 11/25/2036(E) | $ | 461 | $ | 450 | ||||
GS Mortgage Securities Trust, Ser 2018-SRP5, Cl C | ||||||||
8.934%, ICE LIBOR USD 1 Month + 4.250%, 09/15/2031(A)(E) | 1,785 | 406 | ||||||
GS Mortgage Securities Trust, Ser 2020-DUNE, Cl F | ||||||||
7.934%, ICE LIBOR USD 1 Month + 3.250%, 12/15/2036(A)(E) | 595 | 559 | ||||||
GS Mortgage Securities Trust, Ser 2020-DUNE, Cl A | ||||||||
5.784%, ICE LIBOR USD 1 Month + 1.100%, 12/15/2036(A)(E) | 1,830 | 1,800 | ||||||
GS Mortgage Securities Trust, Ser LUAU, Cl G | ||||||||
9.134%, ICE LIBOR USD 1 Month + 4.450%, 11/15/2032(A)(E) | 500 | 467 | ||||||
HarborView Mortgage Loan Trust, Ser 2006-10, Cl 2A1B | ||||||||
4.838%, ICE LIBOR USD 1 Month + 0.240%, 11/19/2036(E) | 1,568 | 1,360 | ||||||
Impac CMB Trust, Ser 2005-4, Cl 1M1 | ||||||||
5.490%, ICE LIBOR USD 1 Month + 0.430%, 05/25/2035(E) | 625 | 565 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2018-WPT, Cl FFL | ||||||||
7.851%, ICE LIBOR USD 1 Month + 3.150%, 07/05/2033(A)(E) | 910 | 736 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2019-BKWD, Cl E | ||||||||
7.534%, ICE LIBOR USD 1 Month + 2.850%, 09/15/2029(A)(E) | 1,730 | 1,440 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser HTL5, Cl F | ||||||||
8.950%, ICE LIBOR USD 1 Month + 4.265%, 11/15/2038(A)(E) | 710 | 659 | ||||||
Legacy Mortgage Asset Trust, Ser 2021-GS1, Cl A2 | ||||||||
3.844%, 10/25/2066(A)(H) | 660 | 584 | ||||||
Morgan Stanley Re-REMIC Trust, Ser 2010-R5, Cl 4B | ||||||||
3.219%, 06/26/2036(A)(H) | 201 | 173 | ||||||
Multifamily Connecticut Avenue Securities Trust, Ser 2019-01, Cl M10 | ||||||||
8.095%, ICE LIBOR USD 1 Month + 3.250%, 10/25/2049(A)(E) | 500 | 458 | ||||||
Multifamily Connecticut Avenue Securities Trust, Ser 2020-01, Cl M10 | ||||||||
8.595%, ICE LIBOR USD 1 Month + 3.750%, 03/25/2050(A)(E) | 480 | 445 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
New Residential Mortgage Loan Trust, Ser 2018-4A, Cl B1 | ||||||||
5.895%, ICE LIBOR USD 1 Month + 1.050%, 01/25/2048(A)(E) | $ | 258 | $ | 248 | ||||
NewRez Warehouse Securitization Trust, Ser 2021-1, Cl F | ||||||||
10.095%, ICE LIBOR USD 1 Month + 5.250%, 05/25/2055(A)(E) | 468 | 458 | ||||||
Nomura Asset Acceptance Alternative Loan Trust, Ser 2003-A1, Cl M | ||||||||
6.660%, 05/25/2033(E) | 7 | 4 | ||||||
Nomura Resecuritization Trust, Ser 2015-4R, Cl 5A1 | ||||||||
2.599%, ICE LIBOR USD 1 Month + 0.430%, 03/26/2036(A)(E) | 251 | 226 | ||||||
PMT Credit Risk Transfer Trust, Ser 2019-3R, Cl A | ||||||||
8.552%, ICE LIBOR USD 1 Month + 3.700%, 11/27/2031(A)(E) | 184 | 178 | ||||||
PRKCM Trust, Ser 2023-AFC1, Cl A3 | ||||||||
7.304%, 02/25/2058(A)(H) | 337 | 338 | ||||||
Radnor, Ser 2020-1, Cl M1C | ||||||||
6.595%, ICE LIBOR USD 1 Month + 1.750%, 01/25/2030(A)(E) | 1,830 | 1,809 | ||||||
RALI Series Trust, Ser 2006-QO2, Cl A2 | ||||||||
5.385%, ICE LIBOR USD 1 Month + 0.540%, 02/25/2046(E) | 1,286 | 260 | ||||||
RALI Series Trust, Ser 2007-QO2, Cl A1 | ||||||||
4.995%, ICE LIBOR USD 1 Month + 0.150%, 02/25/2047(E) | 792 | 288 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2018-1, Cl M | ||||||||
4.750%, 05/25/2057(E) | 1,575 | 1,423 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2018-3, Cl M | ||||||||
4.750%, 08/25/2057(A)(E) | 1,125 | 1,002 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2019-4, Cl M | ||||||||
4.500%, 02/25/2059(A)(E) | 1,720 | 1,492 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2020-1, Cl M | ||||||||
4.250%, 08/25/2059(A)(E) | 2,230 | 1,890 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2020-2, Cl M | ||||||||
4.250%, 11/25/2059(A)(E) | 830 | 716 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2020-3, Cl M | ||||||||
4.250%, 05/25/2060(A)(E) | 640 | 561 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2022-1, Cl M | ||||||||
4.500%, 11/25/2061(A)(E) | 320 | 255 | ||||||
Shops at Crystals Trust, Ser 2106-CSTL, Cl D | ||||||||
3.731%, 07/05/2036(A)(E) | 885 | 710 |
256
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
SMR Mortgage Trust, Ser IND, Cl F | ||||||||
10.827%, TSFR1M + 6.000%, 02/15/2039(A)(E) | $ | 810 | $ | 741 | ||||
Soho Trust, Ser SOHO, Cl D | ||||||||
2.697%, 08/10/2038(A)(E) | 440 | 264 | ||||||
Structured Asset Securities Mortgage Loan Trust, Ser 2006-GEL4, Cl M1 | ||||||||
5.415%, ICE LIBOR USD 1 Month + 0.570%, 10/25/2036(A)(E) | 982 | 956 | ||||||
Tharaldson Hotel Portfolio Trust, Ser 2018-THL, Cl F | ||||||||
8.963%, ICE LIBOR USD 1 Month + 4.252%, 11/11/2034(A)(E) | 583 | 544 | ||||||
Tharaldson Hotel Portfolio Trust, Ser 2018-THL, Cl E | ||||||||
8.190%, ICE LIBOR USD 1 Month + 3.480%, 11/11/2034(A)(E) | 1,742 | 1,637 | ||||||
Towd Point Mortgage Trust, Ser 2019-4, Cl B1B | ||||||||
3.500%, 10/25/2059(A)(E) | 640 | 464 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, Ser 2006-AR16, Cl 2A2 | ||||||||
3.404%, 12/25/2036(E) | 517 | 433 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR5, Cl 2A1 | ||||||||
4.365%, 04/25/2036(E) | 360 | 329 | ||||||
42,953 | ||||||||
Total Mortgage-Backed Securities | ||||||||
(Cost $55,727) ($ Thousands) | 50,395 | |||||||
ASSET-BACKED SECURITIES — 4.4% | ||||||||
Other Asset-Backed Securities — 4.4% | ||||||||
Aimco CLO 12, Ser 2022-12A, Cl DR | ||||||||
7.558%, TSFR3M + 2.900%, 01/17/2032(A)(E) | 360 | 329 | ||||||
Apidos CLO XXII, Ser 2020-22A, Cl DR | ||||||||
11.558%, ICE LIBOR USD 3 Month + 6.750%, 04/20/2031(A)(E) | 1,380 | 1,234 | ||||||
Bain Capital Credit CLO, Ser 2023-1A, Cl AN | ||||||||
6.573%, TSFR3M + 1.830%, 04/16/2036(A)(E) | 690 | 686 | ||||||
Benefit Street Partners CLO IV, Ser 2021-IVA, Cl CRRR | ||||||||
8.408%, ICE LIBOR USD 3 Month + 3.600%, 01/20/2032(A)(E) | 340 | 311 | ||||||
BlueMountain CLO XXIX, Ser 2021-29A, Cl ER | ||||||||
11.678%, ICE LIBOR USD 3 Month + 6.860%, 07/25/2034(A)(E) | 890 | 785 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Bristol Park CLO, Ser 2020-1A, Cl ER | ||||||||
11.792%, ICE LIBOR USD 3 Month + 7.000%, 04/15/2029(A)(E) | $ | 500 | $ | 430 | ||||
Canyon Capital CLO, Ser 2021-1A, Cl E | ||||||||
11.202%, ICE LIBOR USD 3 Month + 6.410%, 04/15/2034(A)(E) | 280 | 237 | ||||||
Carlyle Global Market Strategies CLO, Ser 2018-2RA, Cl A1 | ||||||||
5.914%, ICE LIBOR USD 3 Month + 1.050%, 05/15/2031(A)(E) | 1,045 | 1,031 | ||||||
Carlyle US CLO, Ser 2021-2A, Cl DR | ||||||||
11.292%, ICE LIBOR USD 3 Month + 6.500%, 07/15/2032(A)(E) | 1,600 | 1,407 | ||||||
CarVal CLO VII-C, Ser 2023-1A, Cl A1 | ||||||||
6.884%, TSFR3M + 2.200%, 01/20/2035(A)(E) | 730 | 728 | ||||||
Cathedral Lake VI, Ser 2021-6A, Cl E | ||||||||
12.028%, ICE LIBOR USD 3 Month + 7.210%, 04/25/2034(A)(E) | 300 | 245 | ||||||
Cathedral Lake VII, Ser 2021-7RA, Cl D | ||||||||
9.072%, ICE LIBOR USD 3 Month + 4.280%, 01/15/2032(A)(E) | 700 | 645 | ||||||
Catskill Park CLO, Ser 2017-1A, Cl D | ||||||||
10.808%, ICE LIBOR USD 3 Month + 6.000%, 04/20/2029(A)(E) | 900 | 750 | ||||||
CIFC Funding, Ser 2017-3A, Cl C | ||||||||
8.458%, ICE LIBOR USD 3 Month + 3.650%, 07/20/2030(A)(E) | 690 | 643 | ||||||
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 | ||||||||
5.105%, ICE LIBOR USD 1 Month + 0.260%, 12/25/2036(E) | 1,022 | 915 | ||||||
CQS US CLO, Ser 2021-1A, Cl D1 | ||||||||
8.358%, ICE LIBOR USD 3 Month + 3.550%, 01/20/2035(A)(E) | 1,850 | 1,660 | ||||||
Dryden LXXV CLO, Ser 2021-75A, Cl ER2 | ||||||||
11.392%, ICE LIBOR USD 3 Month + 6.600%, 04/15/2034(A)(E) | 770 | 654 | ||||||
Dryden XLIII Senior Loan Fund, Ser 2021-43A, Cl ER3 | ||||||||
11.208%, ICE LIBOR USD 3 Month + 6.400%, 04/20/2034(A)(E) | 330 | 275 | ||||||
Eaton Vance CLO, Ser 2021-2A, Cl ER | ||||||||
11.292%, ICE LIBOR USD 3 Month + 6.500%, 01/15/2035(A)(E) | 500 | 433 | ||||||
Educational Funding, Ser 2006-1A, Cl A3 | ||||||||
5.168%, ICE LIBOR USD 3 Month + 0.350%, 04/25/2033(A)(E) | 632 | 436 | ||||||
Fortress Credit BSL XII, Ser 2021-4A, Cl E | ||||||||
11.922%, ICE LIBOR USD 3 Month + 7.130%, 10/15/2034(A)(E) | 250 | 219 |
SEI Institutional Managed Trust
257
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Income Fund (Continued)
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Golub Capital Partners CLO LIII, Ser 2021-53A, Cl E | ||||||||
11.508%, ICE LIBOR USD 3 Month + 6.700%, 07/20/2034(A)(E) | $ | 410 | $ | 364 | ||||
GoodLeap Sustainable Home Solutions Trust, Ser 2021-4GS, Cl A | ||||||||
1.930%, 07/20/2048(A) | 138 | 106 | ||||||
GoodLeap Sustainable Home Solutions Trust, Ser 2022-1GS, Cl B | ||||||||
2.940%, 01/20/2049(A) | 90 | 69 | ||||||
Halsey Point CLO I, Ser 2019-1A, Cl F | ||||||||
13.008%, ICE LIBOR USD 3 Month + 8.200%, 01/20/2033(A)(E) | 290 | 237 | ||||||
Hardee's Funding, Ser 2020-1A, Cl A2 | ||||||||
3.981%, 12/20/2050(A) | 978 | 850 | ||||||
Hardee's Funding, Ser 2021-1A, Cl A2 | ||||||||
2.865%, 06/20/2051(A) | 157 | 127 | ||||||
HGI CRE CLO, Ser 2021-FL1, Cl C | ||||||||
6.428%, ICE LIBOR USD 1 Month + 1.700%, 06/16/2036(A)(E) | 330 | 309 | ||||||
Jay Park CLO, Ser 2018-1A, Cl DR | ||||||||
10.008%, ICE LIBOR USD 3 Month + 5.200%, 10/20/2027(A)(E) | 590 | 536 | ||||||
Marathon CLO II, Ser 2005-2A | ||||||||
0.000%, 12/20/2019(A)(B)(C) | 750 | – | ||||||
Marathon CLO, Ser 2019-2A, Cl BA | ||||||||
8.108%, ICE LIBOR USD 3 Month + 3.300%, 01/20/2033(A)(E) | 330 | 305 | ||||||
Neuberger Berman Loan Advisers CLO 33, Ser 2021-33A, Cl DR | ||||||||
7.692%, ICE LIBOR USD 3 Month + 2.900%, 10/16/2033(A)(E) | 500 | 446 | ||||||
Neuberger Berman Loan Advisers CLO 44, Ser 2021-44A, Cl E | ||||||||
10.792%, ICE LIBOR USD 3 Month + 6.000%, 10/16/2034(A)(E) | 490 | 432 | ||||||
Oaktree CLO, Ser 2019-1A, Cl D | ||||||||
8.615%, ICE LIBOR USD 3 Month + 3.800%, 04/22/2030(A)(E) | 250 | 216 | ||||||
Ocean Trails CLO X, Ser 2021-10A, Cl ER | ||||||||
12.362%, ICE LIBOR USD 3 Month + 7.570%, 10/15/2034(A)(E) | 590 | 504 | ||||||
Ocean Trails CLO XIV, Ser 2023-14A, Cl A1 | ||||||||
6.780%, TSFR3M + 2.000%, 01/20/2035(A)(E) | 650 | 648 | ||||||
OZLM XI, Ser 2017-11A, Cl BR | ||||||||
7.102%, ICE LIBOR USD 3 Month + 2.300%, 10/30/2030(A)(E) | 600 | 579 | ||||||
Palmer Square Loan Funding, Ser 2022-3A, Cl C | ||||||||
9.405%, TSFR3M + 5.400%, 04/15/2031(A)(E) | 670 | 633 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Parallel, Ser 2020-1A, Cl CR | ||||||||
6.808%, ICE LIBOR USD 3 Month + 2.000%, 07/20/2029(A)(E) | $ | 750 | $ | 716 | ||||
Peace Park CLO, Ser 2021-1A, Cl E | ||||||||
10.808%, ICE LIBOR USD 3 Month + 6.000%, 10/20/2034(A)(E) | 400 | 366 | ||||||
Rad CLO 15, Ser 2021-15A, Cl A | ||||||||
5.898%, ICE LIBOR USD 3 Month + 1.090%, 01/20/2034(A)(E) | 760 | 746 | ||||||
RR, Ser 2021-18A, Cl D | ||||||||
11.042%, ICE LIBOR USD 3 Month + 6.250%, 10/15/2034(A)(E) | 750 | 668 | ||||||
Sculptor CLO XXVI, Ser 2021-26A, Cl E | ||||||||
12.058%, ICE LIBOR USD 3 Month + 7.250%, 07/20/2034(A)(E) | 450 | 392 | ||||||
SMB Private Education Loan Trust, Ser 2021-A, Cl D1 | ||||||||
3.860%, 01/15/2053(A) | 690 | 632 | ||||||
Sunnova Helios II, Ser 2019-AA, Cl C | ||||||||
5.320%, 06/20/2046(A) | 429 | 304 | ||||||
Sunrun Atlas Issuer, Ser 2019-2, Cl A | ||||||||
3.610%, 02/01/2055(A) | 390 | 348 | ||||||
Sycamore Tree CLO, Ser 2023-2A, Cl A | ||||||||
7.011%, TSFR3M + 2.330%, 04/20/2035(A)(E) | 750 | 749 | ||||||
Symphony CLO 37, Ser 2022-37A, Cl A1A | ||||||||
6.546%, TSFR3M + 2.300%, 10/20/2034(A)(E) | 660 | 659 | ||||||
Symphony CLO XIX, Ser 2018-19A, Cl E | ||||||||
9.992%, ICE LIBOR USD 3 Month + 5.200%, 04/16/2031(A)(E) | 250 | 205 | ||||||
TCI-Symphony CLO, Ser 2021-1A, Cl ER2 | ||||||||
11.565%, ICE LIBOR USD 3 Month + 6.750%, 10/13/2032(A)(E) | 730 | 615 | ||||||
Tikehau US CLO I, Ser 2021-1A, Cl E | ||||||||
11.705%, ICE LIBOR USD 3 Month + 6.910%, 01/18/2035(A)(E) | 1,200 | 1,017 | ||||||
TSTAT, Ser 2022-2A, Cl C | ||||||||
9.313%, TSFR3M + 4.800%, 01/20/2031(A)(E) | 480 | 486 | ||||||
Voya CLO, Ser 2018-3A, Cl A1A | ||||||||
5.942%, ICE LIBOR USD 3 Month + 1.150%, 10/15/2031(A)(E) | 250 | 247 | ||||||
Voya CLO, Ser 2021-3A, Cl DR | ||||||||
11.758%, ICE LIBOR USD 3 Month + 6.950%, 04/20/2034(A)(E) | 260 | 232 | ||||||
Whitebox CLO IV, Ser 2023-4A, Cl A1 | ||||||||
6.930%, TSFR3M + 2.150%, 04/20/2036(A)(E) | 770 | 768 | ||||||
Whitehorse XII, Ser 2018-12A, Cl D | ||||||||
8.442%, ICE LIBOR USD 3 Month + 3.650%, 10/15/2031(A)(E) | 250 | 228 |
258
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Z Capital Credit Partners CLO, Ser 2021-1A, Cl D | ||||||||
8.992%, ICE LIBOR USD 3 Month + 4.200%, 07/15/2033(A)(E) | $ | 450 | $ | 405 | ||||
Total Asset-Backed Securities | ||||||||
(Cost $36,978) ($ Thousands) | 30,374 | |||||||
| ||||||||
PREFERRED STOCK — 0.4% | ||||||||
Energy — 0.4% | ||||||||
MPLX, 8.462% *(B)(F) | 70,655 | 2,511 | ||||||
Total Preferred Stock | ||||||||
(Cost $2,296) ($ Thousands) | 2,511 | |||||||
Face Amount | ||||||||
CONVERTIBLE BONDS — 0.2% | ||||||||
Alarm.com Holdings | ||||||||
0.000%, 01/15/2026(I) | $ | 57 | 48 | |||||
Apollo Commercial Real Estate Finance | ||||||||
5.375% , 10/15/2023 | 270 | 262 | ||||||
DISH Network | ||||||||
0.000%, 12/15/2025(I) | 690 | 364 | ||||||
3.375% , 08/15/2026 | 170 | 88 | ||||||
DraftKings Holdings | ||||||||
0.000%, 03/15/2028(I) | 770 | 533 | ||||||
Gannett | ||||||||
6.000% , 12/01/2027 | 240 | 176 | ||||||
Total Convertible Bonds | ||||||||
(Cost $1,759) ($ Thousands) | 1,471 | |||||||
MUNICIPAL BOND — 0.0% | ||||||||
Illinois — 0.0% | ||||||||
Illinois State, Build America Bonds, GO | ||||||||
7.350%, 07/01/2035 | 209 | 229 | ||||||
Total Municipal Bond | ||||||||
(Cost $230) ($ Thousands) | 229 | |||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Noble Corp PLC, Expires 02/07/2028 | ||||||||
Strike Price $19.27 * | 2,787 | 69 | ||||||
Noble Corp PLC, Expires 02/07/2028 | ||||||||
Strike Price $23.13 * | 2,787 | 64 | ||||||
Description | Number of Warrants | Market Value | ||||||
WARRANTS (continued) | ||||||||
Total Warrants | ||||||||
(Cost $12) ($ Thousands) | $ | 133 | ||||||
Number of Rights | ||||||||
RIGHTS — 0.0% | ||||||||
Intelsat Jackson Holdings *‡‡(B) | 4,712 | – | ||||||
Total Rights | ||||||||
(Cost $—) ($ Thousands) | – | |||||||
PURCHASED OPTIONS — 0.1% | ||||||||
Total Purchased Options | ||||||||
(Cost $617) ($ Thousands) | 445 | |||||||
Total Investments in Securities — 96.1% | ||||||||
(Cost $757,174) ($ Thousands) | $ | 670,257 | ||||||
WRITTEN OPTIONS — (0.0)% | ||||||||
Total Written Options | ||||||||
(Premiums Received $584) ($ Thousands) | $ | (221 | ) | |||||
SEI Institutional Managed Trust
259
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Income Fund (Continued)
A list of the open exchange traded options contracts held by the Fund at March 31, 2023 is as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||
PURCHASED OPTIONS — 0.1% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
USD Put | 3,900,000 | $ | 4,236 | $ | 1.09 | 6/17/2023 | $ | 57 | ||||||||||||
USD Put | 1,150,000 | 20,585 | 17.90 | 6/17/2023 | 31 | |||||||||||||||
USD Put | 2,920,000 | 3,201 | 1.10 | 6/17/2023 | 30 | |||||||||||||||
USD Put | 1,990,000 | 2,687 | 1.35 | 6/17/2023 | 24 | |||||||||||||||
USD Put | 2,800,000 | 6,720 | 2.40 | 7/22/2023 | 12 | |||||||||||||||
USD Put | 2,630,000 | 7,101 | 2.70 | 5/21/2033 | 3 | |||||||||||||||
44,530 | 157 | |||||||||||||||||||
Call Options | – | – | ||||||||||||||||||
December 2023, IMM Eurodollar Future Option | 6 | $ | 1,485 | 99.00 | 12/16/2023 | $ | – | |||||||||||||
USD Call | 2,820,000 | 7,896 | 2.80 | 8/19/2023 | 122 | |||||||||||||||
USD Call | 2,820,000 | 8,347 | 2.96 | 9/16/2023 | 99 | |||||||||||||||
USD Call | 3,800,000 | 4,399 | 1.16 | 4/22/2023 | – | |||||||||||||||
USD Put | 2,600,000 | 7,800 | 3.00 | 5/20/2023 | 67 | |||||||||||||||
29,927 | 288 | |||||||||||||||||||
Total Purchased Options | $ | 74,457 | $ | 445 | ||||||||||||||||
WRITTEN OPTIONS — 0.0% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
USD Put | (2,630,000 | ) | $ | (5,293 | ) | 2.01 | 05/21/2033 | $ | – | |||||||||||
USD Put | (2,630,000 | ) | (6,197 | ) | 2.36 | 05/21/2033 | (1 | ) | ||||||||||||
USD Put | (2,800,000 | ) | (4,900 | ) | 1.75 | 07/22/2023 | (3 | ) | ||||||||||||
USD Put | (2,800,000 | ) | (5,810 | ) | 2.08 | 07/22/2023 | (6 | ) | ||||||||||||
USD Put | (5,840,000 | ) | (6,548 | ) | 1.12 | 06/17/2023 | (19 | ) | ||||||||||||
(28,748 | ) | (29 | ) | |||||||||||||||||
Call Options | ||||||||||||||||||||
June 2023, U.S. 5 Year Future Option | (39 | ) | $ | (4,368 | ) | 112.00 | 05/20/2023 | $ | (15 | ) | ||||||||||
USD Call | (1,150,000 | ) | (23,000 | ) | 20.00 | 06/17/2023 | (4 | ) | ||||||||||||
USD Call | (2,820,000 | ) | (10,857 | ) | 3.85 | 09/16/2023 | (20 | ) | ||||||||||||
USD Call | (2,820,000 | ) | (10,321 | ) | 3.66 | 08/19/2023 | (27 | ) | ||||||||||||
USD Call | (2,820,000 | ) | (9,602 | ) | 3.41 | 09/16/2023 | (47 | ) | ||||||||||||
USD Call | (2,820,000 | ) | (9,109 | ) | 3.23 | 08/19/2023 | (62 | ) | ||||||||||||
USD Put | (2,600,000 | ) | (10,117 | ) | 3.89 | 05/20/2023 | (2 | ) | ||||||||||||
USD Put | (2,600,000 | ) | (8,958 | ) | 3.45 | 05/20/2023 | (15 | ) | ||||||||||||
(86,332 | ) | (192 | ) | |||||||||||||||||
Total Written Options | $ | (115,080 | ) | $ | (221 | ) | ||||||||||||||
A list of the open futures contracts held by the Fund at March 31, 2023 is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Australian 10-Year Bond | 24 | Jun-2023 | $ | 1,888 | $ | 1,975 | $ | 64 | ||||||||||||
Euro-Bobl | 5 | Jun-2023 | 611 | 640 | 14 | |||||||||||||||
ICE 3-Month SONIA | 22 | Sep-2023 | 6,384 | 6,491 | (22 | ) |
260
SEI Institutional Managed Trust
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
ICE 3-Month SONIA | 62 | Dec-2023 | $ | 17,964 | $ | 18,283 | $ | (14 | ) | |||||||||||
ICE 3-Month SONIA | 38 | Mar-2024 | 10,977 | 11,219 | (62 | ) | ||||||||||||||
Long Gilt 10-Year Bond | 26 | Jun-2023 | 3,151 | 3,322 | 90 | |||||||||||||||
3-Month SOFR | 52 | Mar-2025 | 12,561 | 12,594 | 33 | |||||||||||||||
U.S. 2-Year Treasury Note | 310 | Jul-2023 | 63,520 | 64,001 | 480 | |||||||||||||||
U.S. 5-Year Treasury Note | 59 | Jun-2023 | 6,449 | 6,461 | 12 | |||||||||||||||
U.S. 10-Year Treasury Note | 319 | Jun-2023 | 35,902 | 36,660 | 758 | |||||||||||||||
U.S. Long Treasury Bond | 137 | Jun-2023 | 17,250 | 17,968 | 719 | |||||||||||||||
U.S. Ultra Long Treasury Bond | 184 | Jun-2023 | 25,039 | 25,967 | 928 | |||||||||||||||
Ultra 10-Year U.S. Treasury Note | 103 | Jun-2023 | 12,065 | 12,478 | 413 | |||||||||||||||
213,761 | 218,059 | 3,413 | ||||||||||||||||||
Short Contracts | ||||||||||||||||||||
30 Day Federal Funds Futures | (22 | ) | Sep-2023 | $ | (8,737 | ) | $ | (8,731 | ) | $ | 7 | |||||||||
3-Month SOFR | (19 | ) | Sep-2023 | (4,535 | ) | (4,518 | ) | 16 | ||||||||||||
3-Month SOFR | (214 | ) | Mar-2024 | (51,398 | ) | (51,199 | ) | 199 | ||||||||||||
U.S. 5-Year Treasury Note | (187 | ) | Jun-2023 | (20,204 | ) | (20,478 | ) | (274 | ) | |||||||||||
(84,874 | ) | (84,926 | ) | (52 | ) | |||||||||||||||
$ | 128,887 | $ | 133,133 | $ | 3,361 |
A list of the open forward foreign currency contracts held by the Fund at March 31, 2023 is as follows:
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
Bank of America | 06/21/23 | SEK | 6,432 | USD | 605 | $ | (18 | ) | ||||||||||||||||
Bank of America | 06/26/23 | EUR | 15,403 | USD | 16,879 | 64 | ||||||||||||||||||
Bank of Montreal | 05/25/23 | USD | 445 | MXN | 8,185 | 4 | ||||||||||||||||||
Barclays PLC | 06/21/23 | CAD | 1,093 | USD | 803 | (6 | ) | |||||||||||||||||
BNP Paribas | 04/18/23 | USD | 3,215 | EUR | 3,000 | 47 | ||||||||||||||||||
BNP Paribas | 04/18/23 - 06/02/23 | EUR | 7,031 | USD | 7,582 | (67 | ) | |||||||||||||||||
Deutsche Bank | 04/03/23 | USD | 254 | EUR | 237 | 4 | ||||||||||||||||||
Deutsche Bank | 06/21/23 | AUD | 861 | USD | 581 | 3 | ||||||||||||||||||
Goldman Sachs | 04/14/23 - 04/18/23 | USD | 1,616 | GBP | 1,362 | 68 | ||||||||||||||||||
Goldman Sachs | 04/18/23 | USD | 3,172 | MXN | 61,264 | 209 | ||||||||||||||||||
Goldman Sachs | 04/18/23 | USD | 3,713 | JPY | 503,170 | 79 | ||||||||||||||||||
Goldman Sachs | 04/18/23 | USD | 5,253 | JPY | 687,517 | (72 | ) | |||||||||||||||||
Goldman Sachs | 04/18/23 | MXN | 64,081 | USD | 3,314 | (224 | ) | |||||||||||||||||
Goldman Sachs | 04/18/23 | JPY | 650,400 | USD | 4,943 | 41 | ||||||||||||||||||
Goldman Sachs | 04/18/23 | JPY | 313,270 | USD | 2,341 | (20 | ) | |||||||||||||||||
Goldman Sachs | 06/13/23 | USD | 544 | ZAR | 10,187 | 26 | ||||||||||||||||||
Goldman Sachs | 06/13/23 | ZAR | 10,217 | USD | 544 | (28 | ) | |||||||||||||||||
JPMorgan Chase Bank | 04/03/23 | USD | 387 | EUR | 354 | (3 | ) | |||||||||||||||||
JPMorgan Chase Bank | 04/18/23 | USD | 10 | NZD | 16 | — | ||||||||||||||||||
JPMorgan Chase Bank | 04/18/23 | USD | 413 | CNY | 2,870 | 6 | ||||||||||||||||||
JPMorgan Chase Bank | 04/18/23 | AUD | 437 | USD | 300 | 7 | ||||||||||||||||||
JPMorgan Chase Bank | 04/18/23 | USD | 559 | BRL | 2,993 | 30 | ||||||||||||||||||
JPMorgan Chase Bank | 04/18/23 | USD | 807 | AUD | 1,210 | 4 | ||||||||||||||||||
JPMorgan Chase Bank | 04/18/23 | BRL | 1,020 | USD | 197 | (4 | ) | |||||||||||||||||
JPMorgan Chase Bank | 04/18/23 | CNY | 2,870 | USD | 418 | — | ||||||||||||||||||
JPMorgan Chase Bank | 04/18/23 | CAD | 3,120 | USD | 2,345 | 39 | ||||||||||||||||||
JPMorgan Chase Bank | 04/18/23 | USD | 3,792 | CAD | 5,065 | (49 | ) | |||||||||||||||||
JPMorgan Chase Bank | 04/18/23 | USD | 5,397 | IDR | 82,695,620 | 127 | ||||||||||||||||||
JPMorgan Chase Bank | 04/18/23 | CNH | 9,180 | USD | 1,341 | 2 |
SEI Institutional Managed Trust
261
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Income Fund (Continued)
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
JPMorgan Chase Bank | 04/18/23 | JPY | 227,020 | USD | 1,797 | $ | 86 | |||||||||||||||||
JPMorgan Chase Bank | 04/18/23 | IDR | 93,637,960 | USD | 5,992 | (263 | ) | |||||||||||||||||
JPMorgan Chase Bank | 06/21/23 | USD | 1,691 | CHF | 1,529 | (1 | ) | |||||||||||||||||
Morgan Stanley | 04/03/23 | USD | 74 | EUR | 69 | — | ||||||||||||||||||
Morgan Stanley | 04/03/23 | EUR | 17,100 | USD | 18,225 | (356 | ) | |||||||||||||||||
Morgan Stanley | 04/18/23 | AUD | 1,080 | USD | 764 | 40 | ||||||||||||||||||
Morgan Stanley | 04/18/23 | USD | 2,659 | MXN | 48,206 | 2 | ||||||||||||||||||
Morgan Stanley | 04/18/23 | USD | 3,877 | GBP | 3,239 | 129 | ||||||||||||||||||
Morgan Stanley | 04/18/23 | USD | 4,007 | NOK | 39,927 | (190 | ) | |||||||||||||||||
Morgan Stanley | 04/18/23 | USD | 6,662 | AUD | 9,552 | (261 | ) | |||||||||||||||||
Morgan Stanley | 04/18/23 - 05/16/23 | GBP | 9,956 | USD | 12,132 | (182 | ) | |||||||||||||||||
Morgan Stanley | 06/21/23 | NZD | 940 | USD | 575 | (12 | ) | |||||||||||||||||
Morgan Stanley | 06/21/23 | USD | 1,437 | JPY | 189,233 | 3 | ||||||||||||||||||
Morgan Stanley | 06/21/23 | NOK | 5,826 | USD | 560 | 1 | ||||||||||||||||||
State Street | 04/03/23 | USD | 1,012 | EUR | 937 | 6 | ||||||||||||||||||
UBS | 06/21/23 | GBP | 590 | USD | 700 | (30 | ) | |||||||||||||||||
UBS | 06/21/23 | EUR | 745 | USD | 799 | (14 | ) | |||||||||||||||||
$ | (773 | ) |
A list of the open centrally cleared swap agreements held by the Fund at March 31, 2023 is as follows:
Interest Rate Swaps | ||||||||||||||||||||||||||||||||
Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | ||||||||||||||||||||||||
BZDIOVRA | 12.30% | Monthly | 01/02/2024 | BRL | 1,690 | $ | (2 | ) | $ | 1 | $ | (3 | ) | |||||||||||||||||||
11.814% | BZDIOVRA | Monthly | 01/02/2024 | BRL | 12,765 | (22 | ) | 4 | (26 | ) | ||||||||||||||||||||||
12.795% | BZDIOVRA | Monthly | 01/02/2024 | BRL | 7,200 | 3 | – | 3 | ||||||||||||||||||||||||
10.95% | BZDIOVRA | Monthly | 01/02/2025 | BRL | 4,140 | 15 | (1 | ) | 16 | |||||||||||||||||||||||
13.3% | BZDIOVRA | Monthly | 01/02/2025 | BRL | 4,360 | (18 | ) | – | (18 | ) | ||||||||||||||||||||||
BZDIOVRA | 12.06% | Monthly | 01/02/2025 | BRL | 3,670 | – | (7 | ) | 7 | |||||||||||||||||||||||
BZDIOVRA | 12.063% | Monthly | 01/02/2025 | BRL | 6,480 | 1 | – | 1 | ||||||||||||||||||||||||
BZDIOVRA | 8.495% | Monthly | 01/04/2027 | BRL | 1,200 | (25 | ) | (27 | ) | 2 | ||||||||||||||||||||||
BZDIOVRA | 13.03% | Monthly | 01/04/2027 | BRL | 2,270 | 14 | 2 | 12 | ||||||||||||||||||||||||
BRL @11.23% | BZDIOVRA 1M | Monthly | 01/04/2027 | BRL | 800 | (4 | ) | (6 | ) | 2 | ||||||||||||||||||||||
CME IR | CME IR | Monthly | 01/02/2024 | BRL | 3,790 | 4 | – | 4 | ||||||||||||||||||||||||
10.50% | MXIBTIIE | Monthly | 06/18/2025 | MXN | 5,260 | (5 | ) | (2 | ) | (3 | ) | |||||||||||||||||||||
28-DAY MXN - TIIE | 7.2% | Monthly | 07/17/2024 | MXP | 365,383 | (925 | ) | – | (925 | ) | ||||||||||||||||||||||
2.65% | USD-SOFR-OIS | Annually | 08/15/2047 | USD | 3,625 | 264 | 40 | 224 | ||||||||||||||||||||||||
3.05% | SD-SOFR-OIS | Annually | 02/15/2048 | USD | 1,668 | 6 | 50 | (44 | ) | |||||||||||||||||||||||
USD-SOFR-OIS | 3.4% FIXED | Annually | 12/29/2029 | USD | 1,481 | 17 | – | 17 | ||||||||||||||||||||||||
2.51% FIXED | USD-SOFR-OIS | Annually | 02/15/2048 | USD | 1,290 | 124 | 23 | 101 | ||||||||||||||||||||||||
3.25% FIXED | SD-SOFR-OIS | Annually | 09/30/2029 | USD | 4,087 | 8 | 2 | 6 | ||||||||||||||||||||||||
USD-SOFR-OIS | 3.25% FIXED | Annually | 12/29/2029 | USD | 4,725 | 14 | (20 | ) | 34 | |||||||||||||||||||||||
3.85% FIXED | SD-SOFR-OIS | Annually | 06/30/2029 | USD | 4,348 | (134 | ) | 5 | (139 | ) | ||||||||||||||||||||||
CNRR007 | 2.75% | Quarterly | 06/21/2025 | CNY | 23,000 | (17 | ) | (3 | ) | (14 | ) | |||||||||||||||||||||
3.00% | CNRR007 | Quarterly | 06/21/2028 | CNY | 4,620 | (6 | ) | – | (6 | ) | ||||||||||||||||||||||
2.50% | EUR006M | Annually | 06/21/2026 | EUR | 2,980 | 65 | 82 | (17 | ) | |||||||||||||||||||||||
2.50% | EUR006M | Annually | 06/21/2028 | EUR | 1,230 | 32 | 41 | (9 | ) | |||||||||||||||||||||||
2.50% | EUR006M | Annually | 06/21/2030 | EUR | 3,340 | 103 | 133 | (30 | ) | |||||||||||||||||||||||
2.50% | EUR006M | Annually | 06/21/2033 | EUR | 3,050 | 128 | 160 | (32 | ) | |||||||||||||||||||||||
2.50% | EUR006M | Annually | 06/21/2043 | EUR | 350 | 18 | 21 | (3 | ) | |||||||||||||||||||||||
2.25% | EUR006M | Annually | 06/21/2053 | EUR | 270 | 14 | 17 | (3 | ) |
262
SEI Institutional Managed Trust
Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | ||||||||||||||||||||||||
3.25% | SONIO | Annually | 06/21/2033 | GBP | 440 | $ | 6 | $ | 18 | $ | (12 | ) | ||||||||||||||||||||
3.25% | HIHD03M | Quarterly | 06/21/2025 | HKD | 15,540 | 19 | 1 | 16 | ||||||||||||||||||||||||
KWCDC | 3.50% | Quarterly | 06/21/2028 | KRW | 2,310,870 | 30 | (12 | ) | 42 | |||||||||||||||||||||||
KWCDC | 3.50% | Quarterly | 06/21/2033 | KRW | 504,330 | 14 | 1 | 13 | ||||||||||||||||||||||||
WIBR6M | 6.00% | Semi-Annually | 06/21/2033 | PLN | 3,925 | 40 | 12 | 28 | ||||||||||||||||||||||||
SOFRATE | 3.50% | Annually | 06/21/2025 | USD | 1,960 | (14 | ) | (5 | ) | (9 | ) | |||||||||||||||||||||
3.00% | SOFRRATE | Annually | 06/21/2033 | USD | 740 | 10 | 21 | (11 | ) | |||||||||||||||||||||||
SOFRRATE | 3.35% | Annually | 10/26/2027 | USD | 41,980 | 388 | 50 | 338 | ||||||||||||||||||||||||
3.24% | SOFRRATE | Annually | 10/26/2035 | USD | 9,610 | (181 | ) | 59 | (240 | ) | ||||||||||||||||||||||
JIBA3M | 9.25% | Quarterly | 06/21/2033 | ZAR | 10,375 | 5 | (4 | ) | 9 | |||||||||||||||||||||||
$ | (10 | ) | $ | 656 | $ | (665 | ) |
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.HY.4006/28@500 | 5.00% | Quarterly | 06/20/2028 | $ | 3,753 | $ | (59 | ) | $ | 11 | $ | (70 | ) | |||||||||||||||
CDS-DAIGR@100BP5.1Y | 1.00% | Quarterly | 12/20/2024 | 1,290 | (14 | ) | (10 | ) | (4 | ) | ||||||||||||||||||
CDS-GM@500BP4.9Y | 5.00% | Quarterly | 06/20/2026 | 1,450 | (156 | ) | (182 | ) | 26 | |||||||||||||||||||
$ | (229 | ) | $ | (181 | ) | $ | (48 | ) |
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 | $ | 112 | $ | 136 | $ | (24 | ) | ||||||||||||||||
CDS-VW@100BP5.1Y | 1.00% | Quarterly | 12/20/2024 | 1,290 | 9 | 5 | 4 | |||||||||||||||||||||
ICE CD BA 1.00 20JUN24 P | 1.00% | Quarterly | 06/20/2024 | 525 | 3 | 3 | – | |||||||||||||||||||||
ICE CD CDXIG533 1.00 20DE | 1.00% | Quarterly | 12/20/2024 | 2,375 | 21 | 21 | – | |||||||||||||||||||||
ICE CD CDXIG534 1.00 20JU | 1.00% | Quarterly | 06/20/2025 | 26,200 | 243 | 175 | 68 | |||||||||||||||||||||
ICE CD CHILE 1.00 20JUN28 | 1.00% | Quarterly | 06/20/2028 | 210 | – | – | – | |||||||||||||||||||||
ICE CD CXPHY530 5.00 20JU | 5.00% | Quarterly | 06/20/2023 | 15,916 | 149 | 53 | 96 | |||||||||||||||||||||
ICE CD CXPHY534 5.00 20JU | 5.00% | Quarterly | 06/25/2025 | 6,092 | 149 | (105 | ) | 254 | ||||||||||||||||||||
ICE CD GE 1.00 20JUN26 P | 1.00% | Quarterly | 06/20/2026 | 1,175 | 14 | 12 | 2 | |||||||||||||||||||||
ICE CD PERU 1.00 20JUN28 | 1.00% | Quarterly | 06/20/2028 | 980 | (3 | ) | (11 | ) | 8 | |||||||||||||||||||
ICE CD PHILIP 1.00 20JUN2 | 1.00% | Quarterly | 06/20/2028 | 390 | 1 | (1 | ) | 2 | ||||||||||||||||||||
ICE CD US91087BAC46 1.00 | 1.00% | Quarterly | 06/20/2028 | 1,160 | (11 | ) | (8 | ) | (3 | ) | ||||||||||||||||||
$ | 687 | $ | 280 | $ | 407 |
| Percentages are based on Net Assets of $697,575 ($ 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 March 31, 2023, the value of these securities amounted to $304,611 ($ Thousands), representing 43.7% 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) | 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. |
(F) | Perpetual security with no stated maturity date. |
(G) | Unsettled bank loan. Interest rate may not be available. |
(H) | 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. |
(I) | Zero coupon security. |
SEI Institutional Managed Trust
263
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Income Fund (Concluded)
The following is a summary of the level of inputs used as of March 31, 2023, 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 | – | 366,016 | – | 366,016 | ||||||||||||
Loan Participations | – | 74,849 | 3,525 | 78,374 | ||||||||||||
Common Stock | 73,130 | 72 | 976 | 74,178 | ||||||||||||
Sovereign Debt | – | 66,131 | – | 66,131 | ||||||||||||
Mortgage-Backed Securities | – | 50,395 | – | 50,395 | ||||||||||||
Asset-Backed Securities | – | 30,374 | – | 30,374 | ||||||||||||
Preferred Stock | – | – | 2,511 | 2,511 | ||||||||||||
Convertible Bonds | – | 1,471 | – | 1,471 | ||||||||||||
Municipal Bond | – | 229 | – | 229 | ||||||||||||
Warrants | – | 133 | – | 133 | ||||||||||||
Rights | – | – | – | – | ||||||||||||
Purchased Options | 445 | – | – | 445 | ||||||||||||
Total Investments in Securities | 73,575 | 589,670 | 7,012 | 670,257 |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options | (221 | ) | – | – | (221 | ) | ||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 3,733 | – | – | 3,733 | ||||||||||||
Unrealized Depreciation | (372 | ) | – | – | (372 | ) | ||||||||||
Forward Contracts* | ||||||||||||||||
Unrealized Appreciation | – | 1,027 | – | 1,027 | ||||||||||||
Unrealized Depreciation | – | (1,800 | ) | – | (1,800 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 460 | – | 460 | ||||||||||||
Unrealized Depreciation | – | (101 | ) | – | (101 | ) | ||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 877 | – | 877 | ||||||||||||
Unrealized Depreciation | – | (1,544 | ) | – | (1,544 | ) | ||||||||||
Total Other Financial Instruments | 3,140 | (1,081 | ) | – | 2,059 |
* | Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
Investments in Loan Participations | Investments in Common Stock | Investments in Preferred Stock | ||||||||||
Balance as of September 30, 2022 | $ | 4,989 | $ | 687 | $ | 2,556 | ||||||
Accrued discounts/premiums | (5 | ) | – | – | ||||||||
Realized gain/(loss) | (68 | ) | – | – | ||||||||
Change in unrealized appreciation/(depreciation) | (37 | ) | 289 | (45 | ) | |||||||
Purchases | 54 | – | – | |||||||||
Sales | (1,408 | ) | – | – | ||||||||
Net transfer into Level 3 | – | – | – | |||||||||
Net transfer out of Level 3 | – | – | – | |||||||||
Ending Balance as of March 31, 2023 | $ | 3,525 | $ | 976 | $ | 2,511 | ||||||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | (36 | ) | $ | 289 | $ | (45 | ) |
(1) Of the $7,039 ($ Thousands) in Level 3 securities as of March 31, 2023, $7,039 ($ Thousands) or 1.0% 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 period ended March 31, 2023, 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.
264
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 — 64.0% | ||||||||
U.S. Treasury Bills ^ (A) | ||||||||
4.703%, 05/18/2023 | $ | 9,000 | $ | 8,947 | ||||
4.688%, 09/07/2023 | 5,500 | 5,388 | ||||||
4.668%, 05/11/2023 | 5,000 | 4,976 | ||||||
4.653%, 04/18/2023 | 7,000 | 6,987 | ||||||
4.647%, 05/04/2023 | 12,000 | 11,952 | ||||||
4.599%, 04/11/2023 | 8,000 | 7,992 | ||||||
4.590%, 04/25/2023 | 13,000 | 12,964 | ||||||
3.298%, 08/10/2023 | 400 | 393 | ||||||
3.121%, 06/15/2023 | 500 | 495 | ||||||
U.S. Treasury Inflation Protected Securities | ||||||||
0.375%, 07/15/2027 | 137,843 | 133,148 | ||||||
0.125%, 07/15/2024 | 153,247 | 150,254 | ||||||
0.125%, 07/15/2026 | 85,616 | 82,464 | ||||||
U.S. Treasury Notes ^ | ||||||||
5.039%, US Treasury 3 Month Bill Money Market Yield + 0.200%, 01/31/2025 (B) | 3,500 | 3,502 | ||||||
4.979%, US Treasury 3 Month Bill Money Market Yield + 0.140%, 10/31/2024 (B) | 1,700 | 1,700 | ||||||
4.876%, US Treasury 3 Month Bill Money Market Yield + 0.037%, 07/31/2024 (B) | 1,800 | 1,798 | ||||||
4.874%, US Treasury 3 Month Bill Money Market Yield + 0.035%, 10/31/2023 (B) | 6,000 | 5,999 | ||||||
4.868%, US Treasury 3 Month Bill Money Market Yield + 0.029%, 07/31/2023 (B) | 19,400 | 19,392 | ||||||
4.824%, US Treasury 3 Month Bill Money Market Yield + -0.015%, 01/31/2024 (B) | 10,600 | 10,595 |
Description | Face Amount | Market Value | ||||||
U.S. TREASURY OBLIGATIONS (continued) | ||||||||
4.764%, US Treasury 3 Month Bill Money Market Yield + -0.075%, 04/30/2024 (B) | $ | 5,000 | $ | 4,992 | ||||
4.625%, 02/28/2025 ^ | 800 | 808 | ||||||
4.000%, 02/15/2026 ^ | 200 | 201 | ||||||
0.125%, 04/30/2023 ^ | 400 | 399 | ||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $472,444) ($ Thousands) | 475,346 | |||||||
| ||||||||
COMMON STOCK — 30.3% | ||||||||
Communication Services — 2.6% | ||||||||
Activision Blizzard Inc | 6,832 | 585 | ||||||
Alphabet Inc, Cl A * | 27,441 | 2,846 | ||||||
Alphabet Inc, Cl C * | 24,441 | 2,542 | ||||||
AMC Entertainment Holdings Inc, Cl A | 6,500 | 33 | ||||||
AT&T Inc | 113,729 | 2,189 | ||||||
Cogent Communications Holdings Inc | 627 | 40 | ||||||
Electronic Arts Inc | 2,662 | 321 | ||||||
Frontier Communications Parent Inc * | 3,879 | 88 | ||||||
Iridium Communications Inc | 2,035 | 126 | ||||||
Liberty Latin America Ltd, Cl C * | 2,393 | 20 | ||||||
Liberty Media Corp-Liberty Formula One, Cl C * | 1,259 | 94 | ||||||
Live Nation Entertainment Inc * | 1,351 | 95 | ||||||
Lumen Technologies Inc | 18,071 | 48 | ||||||
Madison Square Garden Entertainment Corp * | 500 | 30 | ||||||
Madison Square Garden Sports Corp | 200 | 39 | ||||||
Marcus Corp/The | 1,700 | 27 | ||||||
Match Group Inc * | 1,415 | 54 | ||||||
Meta Platforms Inc, Cl A * | 10,117 | 2,144 | ||||||
Netflix Inc * | 3,494 | 1,207 | ||||||
Pinterest Inc, Cl A * | 3,327 | 91 | ||||||
ROBLOX Corp, Cl A * | 3,583 | 161 | ||||||
Roku Inc, Cl A * | 918 | 60 | ||||||
Spotify Technology SA * | 1,244 | 166 | ||||||
Take-Two Interactive Software Inc, Cl A * | 1,391 | 166 | ||||||
T-Mobile US Inc * | 9,768 | 1,415 | ||||||
Verizon Communications Inc | 66,714 | 2,595 | ||||||
Walt Disney Co/The * | 14,640 | 1,466 | ||||||
Warner Bros Discovery Inc * | 19,341 | 292 | ||||||
World Wrestling Entertainment Inc, Cl A | 400 | 36 | ||||||
ZoomInfo Technologies Inc, Cl A * | 997 | 25 | ||||||
19,001 | ||||||||
Consumer Staples — 7.7% | ||||||||
Albertsons Cos Inc, Cl A | 3,602 | 75 | ||||||
Altria Group Inc | 41,527 | 1,853 | ||||||
Andersons Inc/The | 800 | 33 | ||||||
Archer-Daniels-Midland Co | 12,905 | 1,028 |
SEI Institutional Managed Trust
265
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Inflation Managed Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
B&G Foods Inc, Cl A | 1,800 | $ | 28 | |||||
Beauty Health Co/The * | 2,399 | 30 | ||||||
BellRing Brands Inc * | 3,934 | 134 | ||||||
Beyond Meat Inc * | 1,800 | 29 | ||||||
BJ's Wholesale Club Holdings Inc * | 2,822 | 215 | ||||||
Boston Beer Co Inc/The, Cl A * | 220 | 72 | ||||||
Brown-Forman Corp, Cl A | 905 | 59 | ||||||
Brown-Forman Corp, Cl B | 4,037 | 259 | ||||||
Bunge Ltd | 3,138 | 300 | ||||||
Cal-Maine Foods Inc | 923 | 56 | ||||||
Campbell Soup Co | 4,773 | 262 | ||||||
Casey's General Stores Inc | 579 | 125 | ||||||
Celsius Holdings Inc * | 1,135 | 105 | ||||||
Central Garden & Pet Co, Cl A * | 900 | 35 | ||||||
Chefs' Warehouse Inc/The * | 1,424 | 48 | ||||||
Church & Dwight Co Inc | 5,160 | 456 | ||||||
Clorox Co/The | 3,049 | 482 | ||||||
Coca-Cola Co/The | 90,550 | 5,617 | ||||||
Coca-Cola Consolidated Inc | 132 | 71 | ||||||
Colgate-Palmolive Co | 19,230 | 1,445 | ||||||
Conagra Brands Inc | 11,027 | 414 | ||||||
Constellation Brands Inc, Cl A | 3,519 | 795 | ||||||
Costco Wholesale Corp | 10,229 | 5,082 | ||||||
Coty Inc, Cl A * | 8,738 | 105 | ||||||
Darling Ingredients Inc * | 3,789 | 221 | ||||||
Edgewell Personal Care Co | 1,021 | 43 | ||||||
elf Beauty Inc * | 1,328 | 109 | ||||||
Energizer Holdings Inc | 1,130 | 39 | ||||||
Estee Lauder Cos Inc/The, Cl A | 5,264 | 1,297 | ||||||
Flowers Foods Inc | 3,939 | 108 | ||||||
Freshpet Inc * | 959 | 63 | ||||||
General Mills Inc | 13,596 | 1,162 | ||||||
Grocery Outlet Holding Corp * | 1,588 | 45 | ||||||
Hain Celestial Group Inc/The * | 1,823 | 31 | ||||||
Herbalife Nutrition Ltd * | 2,041 | 33 | ||||||
Hershey Co/The | 3,423 | 871 | ||||||
Hormel Foods Corp | 6,655 | 265 | ||||||
Hostess Brands Inc, Cl A * | 3,047 | 76 | ||||||
Ingles Markets Inc, Cl A | 544 | 48 | ||||||
Ingredion Inc | 1,652 | 168 | ||||||
Inter Parfums Inc | 362 | 52 | ||||||
J & J Snack Foods Corp | 289 | 43 | ||||||
J M Smucker Co/The | 2,206 | 347 | ||||||
Kellogg Co | 6,092 | 408 | ||||||
Keurig Dr Pepper Inc | 19,717 | 696 | ||||||
Kimberly-Clark Corp | 7,362 | 988 | ||||||
Kraft Heinz Co/The | 16,113 | 623 | ||||||
Kroger Co/The | 14,494 | 716 | ||||||
Lamb Weston Holdings Inc | 3,194 | 334 | ||||||
Lancaster Colony Corp | 486 | 99 | ||||||
McCormick & Co Inc/MD | 5,514 | 459 | ||||||
Medifast Inc | 244 | 25 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
MGP Ingredients Inc | 172 | $ | 17 | |||||
Molson Coors Beverage Co, Cl B | 3,941 | 204 | ||||||
Mondelez International Inc, Cl A | 31,510 | 2,197 | ||||||
Monster Beverage Corp * | 17,436 | 942 | ||||||
Nu Skin Enterprises Inc, Cl A | 1,100 | 43 | ||||||
Olaplex Holdings Inc * | 3,900 | 17 | ||||||
PepsiCo Inc | 32,061 | 5,845 | ||||||
Performance Food Group Co * | 3,591 | 217 | ||||||
Philip Morris International Inc | 35,999 | 3,501 | ||||||
Pilgrim's Pride Corp * | 1,045 | 24 | ||||||
Post Holdings Inc * | 1,464 | 132 | ||||||
PriceSmart Inc | 500 | 36 | ||||||
Primo Water Corp | 3,497 | 54 | ||||||
Procter & Gamble Co/The | 54,758 | 8,142 | ||||||
Simply Good Foods Co/The * | 1,749 | 70 | ||||||
SpartanNash Co | 1,334 | 33 | ||||||
Spectrum Brands Holdings Inc | 1,064 | 70 | ||||||
Sprouts Farmers Market Inc * | 2,483 | 87 | ||||||
SunOpta * | 5,419 | 42 | ||||||
Sysco Corp, Cl A | 12,073 | 932 | ||||||
TreeHouse Foods Inc * | 1,004 | 51 | ||||||
Tyson Foods Inc, Cl A | 6,659 | 395 | ||||||
United Natural Foods Inc * | 1,313 | 35 | ||||||
Universal Corp/VA | 897 | 48 | ||||||
US Foods Holding Corp * | 4,574 | 169 | ||||||
Utz Brands Inc | 3,488 | 57 | ||||||
Vector Group Ltd | 1,926 | 23 | ||||||
Walgreens Boots Alliance Inc | 16,614 | 575 | ||||||
Walmart Inc | 32,498 | 4,792 | ||||||
WD-40 Co | 260 | 46 | ||||||
Weis Markets Inc | 530 | 45 | ||||||
57,423 | ||||||||
Energy — 7.3% | ||||||||
Antero Midstream Corp | 10,330 | 108 | ||||||
Antero Resources Corp * | 8,817 | 204 | ||||||
APA Corp | 9,592 | 346 | ||||||
Arch Resources Inc | 400 | 53 | ||||||
Archrock Inc | 5,590 | 55 | ||||||
Ardmore Shipping Corp | 1,600 | 24 | ||||||
Baker Hughes Co, Cl A | 27,859 | 804 | ||||||
Borr Drilling Ltd * | 5,768 | 44 | ||||||
Bristow Group Inc * | 1,334 | 30 | ||||||
Cactus Inc, Cl A | 1,929 | 79 | ||||||
California Resources Corp | 1,661 | 64 | ||||||
Callon Petroleum * | 1,489 | 50 | ||||||
ChampionX Corp | 5,886 | 160 | ||||||
Cheniere Energy Inc | 7,215 | 1,137 | ||||||
Chesapeake Energy Corp | 3,738 | 284 | ||||||
Chevron Corp | 55,810 | 9,106 | ||||||
Chord Energy Corp | 1,242 | 167 | ||||||
Civitas Resources Inc | 2,112 | 144 | ||||||
Clean Energy Fuels Corp * | 6,002 | 26 |
266
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
CNX Resources Corp * | 6,173 | $ | 99 | |||||
Comstock Resources Inc | 2,687 | 29 | ||||||
ConocoPhillips | 36,345 | 3,606 | ||||||
CONSOL Energy Inc | 977 | 57 | ||||||
Coterra Energy Inc | 22,868 | 561 | ||||||
CVR Energy Inc | 1,200 | 39 | ||||||
Delek US Holdings Inc | 2,529 | 58 | ||||||
Denbury * | 1,615 | 141 | ||||||
Devon Energy Corp | 18,869 | 955 | ||||||
DHT Holdings Inc | 4,000 | 43 | ||||||
Diamond Offshore Drilling * | 3,778 | 45 | ||||||
Diamondback Energy Inc, Cl A | 5,261 | 711 | ||||||
Dorian LPG Ltd | 1,300 | 26 | ||||||
Dril-Quip Inc * | 1,131 | 32 | ||||||
DT Midstream Inc | 3,252 | 161 | ||||||
Energy Fuels Inc/Canada * | 5,200 | 29 | ||||||
Enviva Inc | 1,100 | 32 | ||||||
EOG Resources Inc | 16,877 | 1,935 | ||||||
EQT Corp | 10,537 | 336 | ||||||
Equitrans Midstream Corp | 11,466 | 66 | ||||||
Expro Group Holdings NV * | 2,600 | 48 | ||||||
Exxon Mobil Corp | 118,313 | 12,974 | ||||||
FLEX LNG | 1,416 | 48 | ||||||
Frontline PLC | 4,018 | 67 | ||||||
Gevo * | 13,200 | 20 | ||||||
Golar LNG Ltd * | 2,732 | 59 | ||||||
Green Plains Inc * | 1,700 | 53 | ||||||
Gulfport Energy Corp * | 523 | 42 | ||||||
Halliburton Co | 26,370 | 834 | ||||||
Helix Energy Solutions Group Inc * | 4,140 | 32 | ||||||
Helmerich & Payne Inc | 3,178 | 114 | ||||||
Hess Corp | 8,366 | 1,107 | ||||||
HF Sinclair Corp | 3,998 | 193 | ||||||
International Seaways Inc | 1,472 | 61 | ||||||
Kinder Morgan Inc | 58,893 | 1,031 | ||||||
Kosmos Energy Ltd * | 14,375 | 107 | ||||||
Liberty Energy Inc, Cl A | 3,818 | 49 | ||||||
Magnolia Oil & Gas Corp, Cl A | 4,628 | 101 | ||||||
Marathon Oil Corp | 18,278 | 438 | ||||||
Marathon Petroleum Corp | 13,770 | 1,857 | ||||||
Matador Resources Co | 3,374 | 161 | ||||||
Murphy Oil Corp | 3,948 | 146 | ||||||
Nabors Industries Ltd * | 162 | 20 | ||||||
New Fortress Energy Inc, Cl A | 2,210 | 65 | ||||||
NexTier Oilfield Solutions Inc * | 3,851 | 31 | ||||||
Noble Corp PLC * | 2,329 | 92 | ||||||
Nordic American Tankers Ltd | 8,400 | 33 | ||||||
Northern Oil and Gas Inc | 1,837 | 56 | ||||||
NOV Inc | 11,059 | 205 | ||||||
Occidental Petroleum Corp | 23,079 | 1,441 | ||||||
Oceaneering International Inc, Cl A * | 3,344 | 59 | ||||||
Oil States International Inc * | 2,800 | 23 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
ONEOK Inc | 13,165 | $ | 836 | |||||
Ovintiv Inc | 7,807 | 282 | ||||||
Par Pacific Holdings Inc * | 1,014 | 30 | ||||||
Patterson-UTI Energy Inc | 6,185 | 72 | ||||||
PBF Energy Inc, Cl A | 2,717 | 118 | ||||||
PDC Energy Inc, Cl A | 2,628 | 169 | ||||||
Peabody Energy Corp * | 3,327 | 85 | ||||||
Permian Resources Corp, Cl A | 7,169 | 75 | ||||||
Phillips 66 | 13,591 | 1,378 | ||||||
Pioneer Natural Resources Co | 6,913 | 1,412 | ||||||
ProPetro Holding Corp * | 3,600 | 26 | ||||||
Range Resources Corp | 7,018 | 186 | ||||||
REX American Resources Corp * | 900 | 26 | ||||||
Schlumberger NV, Cl A | 41,280 | 2,027 | ||||||
Scorpio Tankers Inc | 1,425 | 80 | ||||||
SFL Corp Ltd | 3,600 | 34 | ||||||
Sitio Royalties Corp, Cl A | 2,500 | 56 | ||||||
SM Energy Co | 3,868 | 109 | ||||||
Southwestern Energy Co * | 31,864 | 159 | ||||||
Talos Energy Inc * | 1,010 | 15 | ||||||
Targa Resources Corp | 6,352 | 463 | ||||||
Teekay Tankers Ltd, Cl A * | 800 | 34 | ||||||
Tellurian * | 14,384 | 18 | ||||||
Texas Pacific Land Corp | 158 | 269 | ||||||
Tidewater Inc * | 1,524 | 67 | ||||||
Uranium Energy * | 11,895 | 34 | ||||||
US Silica Holdings Inc * | 2,600 | 31 | ||||||
Valaris * | 1,748 | 114 | ||||||
Valero Energy Corp | 11,289 | 1,576 | ||||||
Vital Energy * | 438 | 20 | ||||||
Weatherford International PLC * | 2,122 | 126 | ||||||
Williams Cos Inc/The | 36,131 | 1,079 | ||||||
World Fuel Services Corp | 1,261 | 32 | ||||||
54,451 | ||||||||
Financials — 0.4% | ||||||||
Block Inc, Cl A * | 1,637 | 113 | ||||||
Eversource Energy | 3,522 | 276 | ||||||
Fidelity National Information Services Inc, Cl B | 1,770 | 96 | ||||||
Fiserv Inc, Cl A * | 1,940 | 219 | ||||||
FleetCor Technologies Inc * | 200 | 42 | ||||||
Global Payments Inc | 861 | 91 | ||||||
Jack Henry & Associates Inc | 200 | 30 | ||||||
Mastercard Inc, Cl A | 2,718 | 988 | ||||||
PayPal Holdings Inc * | 3,494 | 265 | ||||||
Visa Inc, Cl A | 5,355 | 1,207 | ||||||
3,327 | ||||||||
Health Care — 6.0% | ||||||||
10X Genomics Inc, Cl A * | 959 | 53 | ||||||
Abbott Laboratories | 13,621 | 1,379 | ||||||
AbbVie Inc | 14,467 | 2,306 |
SEI Institutional Managed Trust
267
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Inflation Managed Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
AbCellera Biologics Inc * | 4,390 | $ | 33 | |||||
Acadia Healthcare Co Inc, Cl A * | 930 | 67 | ||||||
ACADIA Pharmaceuticals Inc * | 2,768 | 52 | ||||||
Agilent Technologies Inc | 2,332 | 323 | ||||||
agilon health Inc * | 2,437 | 58 | ||||||
Agios Pharmaceuticals Inc * | 797 | 18 | ||||||
Align Technology Inc * | 596 | 199 | ||||||
Alkermes PLC * | 2,121 | 60 | ||||||
Alnylam Pharmaceuticals Inc * | 1,121 | 225 | ||||||
Amedisys Inc * | 444 | 33 | ||||||
AmerisourceBergen Corp, Cl A | 1,198 | 192 | ||||||
Amgen Inc, Cl A | 4,299 | 1,039 | ||||||
Amicus Therapeutics Inc * | 1,365 | 15 | ||||||
AMN Healthcare Services Inc * | 330 | 27 | ||||||
Apellis Pharmaceuticals Inc * | 1,067 | 70 | ||||||
Arrowhead Pharmaceuticals Inc * | 730 | 19 | ||||||
Arvinas Inc * | 906 | 25 | ||||||
Avantor Inc * | 5,192 | 110 | ||||||
Axonics Inc * | 816 | 45 | ||||||
Axsome Therapeutics Inc * | 300 | 18 | ||||||
Azenta Inc * | 700 | 31 | ||||||
Baxter International Inc | 4,086 | 166 | ||||||
Beam Therapeutics * | 669 | 20 | ||||||
Becton Dickinson & Co | 2,195 | 543 | ||||||
BioCryst Pharmaceuticals Inc * | 3,787 | 32 | ||||||
Biogen Inc * | 1,080 | 300 | ||||||
Biohaven Ltd * | 1,401 | 19 | ||||||
BioMarin Pharmaceutical Inc * | 1,520 | 148 | ||||||
Bio-Rad Laboratories Inc, Cl A * | 152 | 73 | ||||||
Bio-Techne Corp | 1,100 | 82 | ||||||
Blueprint Medicines Corp * | 389 | 17 | ||||||
Boston Scientific Corp * | 11,130 | 557 | ||||||
Bristol-Myers Squibb Co | 17,264 | 1,197 | ||||||
Bruker Corp | 902 | 71 | ||||||
Cardinal Health Inc | 1,994 | 151 | ||||||
Catalent Inc * | 1,352 | 89 | ||||||
Centene Corp * | 4,394 | 278 | ||||||
Certara Inc * | 1,400 | 34 | ||||||
Charles River Laboratories International Inc * | 400 | 81 | ||||||
Chemed Corp | 110 | 59 | ||||||
Chinook Therapeutics Inc * | 900 | 21 | ||||||
Cigna Group/The | 2,458 | 628 | ||||||
CONMED Corp | 359 | 37 | ||||||
Cooper Cos Inc/The, Cl A | 533 | 199 | ||||||
CorVel Corp * | 200 | 38 | ||||||
Crinetics Pharmaceuticals * | 1,400 | 22 | ||||||
Cullinan Oncology Inc * | 3,100 | 32 | ||||||
CVS Health Corp | 10,266 | 763 | ||||||
Cytokinetics Inc * | 1,067 | 38 | ||||||
Danaher Corp, Cl A | 5,174 | 1,304 | ||||||
DaVita Inc * | 499 | 40 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Denali Therapeutics Inc * | 976 | $ | 22 | |||||
DENTSPLY SIRONA Inc | 1,515 | 59 | ||||||
Dexcom Inc * | 2,945 | 342 | ||||||
Doximity Inc, Cl A * | 1,321 | 43 | ||||||
Edwards Lifesciences Corp, Cl A * | 6,047 | 500 | ||||||
Elanco Animal Health Inc * | 3,557 | 33 | ||||||
Elevance Health Inc | 1,951 | 897 | ||||||
Eli Lilly & Co | 6,684 | 2,295 | ||||||
Embecta | 900 | 25 | ||||||
Enanta Pharmaceuticals Inc * | 453 | 18 | ||||||
Encompass Health Corp | 777 | 42 | ||||||
Enovis Corp * | 700 | 37 | ||||||
Ensign Group Inc/The | 343 | 33 | ||||||
Envista Holdings Corp * | 1,412 | 58 | ||||||
Exact Sciences Corp * | 1,524 | 103 | ||||||
Exelixis Inc * | 2,065 | 40 | ||||||
Fate Therapeutics Inc * | 2,628 | 15 | ||||||
FibroGen Inc * | 1,400 | 26 | ||||||
GE HealthCare Technologies Inc * | 3,300 | 271 | ||||||
Gilead Sciences Inc | 10,420 | 864 | ||||||
Globus Medical Inc, Cl A * | 716 | 41 | ||||||
Guardant Health Inc * | 1,100 | 26 | ||||||
Haemonetics Corp * | 563 | 47 | ||||||
Halozyme Therapeutics Inc * | 1,137 | 43 | ||||||
HCA Healthcare Inc | 1,780 | 469 | ||||||
HealthEquity Inc * | 444 | 26 | ||||||
Henry Schein Inc * | 873 | 71 | ||||||
Hologic Inc * | 1,856 | 150 | ||||||
Horizon Therapeutics Plc * | 1,950 | 213 | ||||||
Humana Inc | 978 | 475 | ||||||
ICU Medical Inc * | 130 | 21 | ||||||
IDEXX Laboratories Inc * | 659 | 330 | ||||||
Illumina Inc * | 1,231 | 286 | ||||||
Inari Medical * | 438 | 27 | ||||||
Incyte Corp * | 1,437 | 104 | ||||||
Insmed Inc * | 1,078 | 18 | ||||||
Inspire Medical Systems Inc * | 203 | 48 | ||||||
Insulet Corp * | 526 | 168 | ||||||
Integra LifeSciences Holdings Corp * | 562 | 32 | ||||||
Intellia Therapeutics * | 1,068 | 40 | ||||||
Intra-Cellular Therapies Inc, Cl A * | 967 | 52 | ||||||
Intuitive Surgical Inc * | 2,882 | 736 | ||||||
Ionis Pharmaceuticals Inc * | 941 | 34 | ||||||
IQVIA Holdings Inc * | 1,468 | 292 | ||||||
iRhythm Technologies Inc * | 362 | 45 | ||||||
IVERIC bio Inc * | 1,256 | 31 | ||||||
Jazz Pharmaceuticals PLC * | 467 | 68 | ||||||
Johnson & Johnson | 20,965 | 3,250 | ||||||
Karuna Therapeutics Inc * | 175 | 32 | ||||||
Laboratory Corp of America Holdings | 711 | 163 | ||||||
Lantheus Holdings Inc * | 798 | 66 | ||||||
LivaNova PLC * | 414 | 18 |
268
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Madrigal Pharmaceuticals Inc * | 82 | $ | 20 | |||||
Masimo Corp * | 438 | 81 | ||||||
McKesson Corp | 1,027 | 366 | ||||||
Medpace Holdings Inc * | 269 | 51 | ||||||
Medtronic PLC | 10,820 | 872 | ||||||
Merck & Co Inc | 20,735 | 2,206 | ||||||
Merit Medical Systems Inc * | 444 | 33 | ||||||
Mettler-Toledo International Inc * | 165 | 252 | ||||||
Mirati Therapeutics Inc * | 444 | 16 | ||||||
Moderna Inc * | 2,769 | 425 | ||||||
Molina Healthcare Inc * | 473 | 127 | ||||||
Natera Inc * | 481 | 27 | ||||||
National HealthCare Corp | 618 | 36 | ||||||
Neogen Corp, Cl B * | 2,062 | 38 | ||||||
Neurocrine Biosciences Inc * | 720 | 73 | ||||||
Novocure Ltd * | 710 | 43 | ||||||
Oak Street Health Inc * | 1,507 | 58 | ||||||
Omnicell Inc * | 500 | 29 | ||||||
Option Care Health Inc * | 1,855 | 59 | ||||||
Organon & Co | 1,900 | 45 | ||||||
Owens & Minor Inc * | 1,200 | 17 | ||||||
Pacific Biosciences of California Inc * | 2,600 | 30 | ||||||
Pacira BioSciences Inc * | 627 | 26 | ||||||
Penumbra Inc * | 305 | 85 | ||||||
PerkinElmer Inc | 818 | 109 | ||||||
Perrigo Co PLC | 1,000 | 36 | ||||||
Pfizer Inc | 44,670 | 1,822 | ||||||
Premier Inc, Cl A | 1,600 | 52 | ||||||
Progyny Inc * | 816 | 26 | ||||||
Prometheus Biosciences Inc * | 453 | 49 | ||||||
Prothena Corp PLC * | 416 | 20 | ||||||
PTC Therapeutics Inc * | 634 | 31 | ||||||
QIAGEN NV * | 2,199 | 101 | ||||||
Quest Diagnostics Inc | 919 | 130 | ||||||
QuidelOrtho Corp * | 500 | 45 | ||||||
R1 RCM * | 1,748 | 26 | ||||||
Regeneron Pharmaceuticals Inc * | 801 | 658 | ||||||
Repligen Corp * | 437 | 74 | ||||||
ResMed Inc | 1,011 | 221 | ||||||
Revance Therapeutics Inc * | 1,012 | 33 | ||||||
REVOLUTION Medicines * | 1,055 | 23 | ||||||
Royalty Pharma PLC, Cl A | 2,757 | 99 | ||||||
Sage Therapeutics Inc * | 722 | 30 | ||||||
Sarepta Therapeutics Inc * | 609 | 84 | ||||||
Seagen Inc * | 1,011 | 205 | ||||||
Select Medical Holdings Corp | 1,600 | 41 | ||||||
Shockwave Medical Inc * | 373 | 81 | ||||||
Silk Road Medical Inc * | 6 | — | ||||||
Sotera Health Co * | 1,400 | 25 | ||||||
STAAR Surgical Co * | 497 | 32 | ||||||
STERIS PLC | 715 | 137 | ||||||
Stryker Corp | 2,750 | 785 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Syneos Health Inc, Cl A * | 944 | $ | 34 | |||||
Tandem Diabetes Care Inc * | 725 | 29 | ||||||
Teladoc Health Inc * | 1,110 | 29 | ||||||
Teleflex Inc | 435 | 110 | ||||||
Tenet Healthcare Corp * | 887 | 53 | ||||||
TG Therapeutics Inc * | 1,700 | 26 | ||||||
Thermo Fisher Scientific Inc | 3,110 | 1,793 | ||||||
Travere Therapeutics Inc * | 1,200 | 27 | ||||||
Twist Bioscience Corp * | 1,078 | 16 | ||||||
Ultragenyx Pharmaceutical Inc * | 600 | 24 | ||||||
United Therapeutics Corp * | 407 | 91 | ||||||
UnitedHealth Group Inc | 7,370 | 3,483 | ||||||
Universal Health Services Inc, Cl B | 447 | 57 | ||||||
Vaxcyte Inc * | 890 | 33 | ||||||
Veeva Systems Inc, Cl A * | 1,024 | 188 | ||||||
Vertex Pharmaceuticals Inc * | 2,010 | 633 | ||||||
Viatris Inc, Cl W | 8,446 | 81 | ||||||
Vir Biotechnology Inc * | 900 | 21 | ||||||
Waters Corp * | 585 | 181 | ||||||
West Pharmaceutical Services Inc | 581 | 201 | ||||||
Xencor Inc * | 1,252 | 35 | ||||||
Zimmer Biomet Holdings Inc | 1,881 | 243 | ||||||
Zoetis Inc, Cl A | 3,611 | 601 | ||||||
44,560 | ||||||||
Industrials — 0.1% | ||||||||
Automatic Data Processing Inc | 1,277 | 284 | ||||||
Broadridge Financial Solutions Inc | 256 | 37 | ||||||
Paychex Inc | 1,009 | 116 | ||||||
SS&C Technologies Holdings Inc | 350 | 20 | ||||||
457 | ||||||||
Information Technology — 1.8% | ||||||||
Accenture PLC, Cl A | 1,818 | 520 | ||||||
Adobe Inc * | 1,474 | 568 | ||||||
Akamai Technologies Inc * | 500 | 39 | ||||||
Amdocs Ltd | 806 | 77 | ||||||
ANSYS Inc * | 313 | 104 | ||||||
Aspen Technology Inc * | 180 | 41 | ||||||
Atlassian Corp Ltd, Cl A * | 445 | 76 | ||||||
Autodesk Inc, Cl A * | 755 | 157 | ||||||
BILL Holdings Inc * | 449 | 36 | ||||||
Cadence Design Systems Inc * | 840 | 177 | ||||||
Ceridian HCM Holding Inc * | 500 | 37 | ||||||
Cloudflare Inc, Cl A * | 940 | 58 | ||||||
Cognizant Technology Solutions Corp, Cl A | 1,463 | 89 | ||||||
Crowdstrike Holdings Inc, Cl A * | 888 | 122 | ||||||
Datadog Inc, Cl A * | 1,124 | 82 | ||||||
DocuSign Inc, Cl A * | 353 | 21 | ||||||
Dropbox Inc, Cl A * | 66 | 1 | ||||||
DXC Technology Co * | 900 | 23 | ||||||
Dynatrace Inc * | 716 | 30 | ||||||
EPAM Systems Inc * | 241 | 72 |
SEI Institutional Managed Trust
269
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Inflation Managed Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Fair Isaac Corp * | 88 | $ | 62 | |||||
Five9 Inc * | 300 | 22 | ||||||
Fortinet Inc * | 1,893 | 126 | ||||||
Gartner Inc * | 238 | 78 | ||||||
Gen Digital Inc | 1,174 | 20 | ||||||
GoDaddy Inc, Cl A * | 419 | 33 | ||||||
Guidewire Software Inc, Cl Z * | 353 | 29 | ||||||
HubSpot Inc * | 135 | 58 | ||||||
International Business Machines Corp | 2,571 | 337 | ||||||
Intuit Inc | 936 | 417 | ||||||
Manhattan Associates Inc * | 282 | 44 | ||||||
Microsoft Corp | 22,888 | 6,599 | ||||||
MongoDB Inc, Cl A * | 296 | 69 | ||||||
Nutanix Inc, Cl A * | 903 | 23 | ||||||
Okta Inc, Cl A * | 716 | 62 | ||||||
Oracle Corp, Cl B | 4,977 | 462 | ||||||
Palantir Technologies Inc, Cl A * | 7,354 | 62 | ||||||
Palo Alto Networks Inc * | 1,041 | 208 | ||||||
Paycom Software Inc * | 70 | 21 | ||||||
Paylocity Holding Corp * | 179 | 36 | ||||||
PTC Inc * | 430 | 55 | ||||||
Roper Technologies Inc | 404 | 178 | ||||||
Salesforce Inc * | 3,011 | 601 | ||||||
ServiceNow Inc * | 681 | 317 | ||||||
Snowflake Inc, Cl A * | 1,069 | 165 | ||||||
Splunk Inc * | 494 | 47 | ||||||
Synopsys Inc * | 500 | 193 | ||||||
Twilio Inc, Cl A * | 900 | 60 | ||||||
Tyler Technologies Inc * | 91 | 32 | ||||||
Unity Software Inc * | 750 | 24 | ||||||
VeriSign Inc * | 214 | 45 | ||||||
VMware Inc, Cl A * | 882 | 110 | ||||||
Workday Inc, Cl A * | 663 | 137 | ||||||
Zoom Video Communications Inc, Cl A * | 918 | 68 | ||||||
Zscaler Inc * | 360 | 42 | ||||||
13,172 | ||||||||
Real Estate — 2.9% | ||||||||
Acadia Realty Trust ‡ | 2,211 | 31 | ||||||
Agree Realty Corp ‡ | 1,414 | 97 | ||||||
Alexander & Baldwin Inc ‡ | 1,840 | 35 | ||||||
Alexandria Real Estate Equities Inc ‡ | 2,816 | 354 | ||||||
American Assets Trust Inc ‡ | 1,084 | 20 | ||||||
American Homes 4 Rent, Cl A ‡ | 5,907 | 186 | ||||||
American Tower Corp, Cl A ‡ | 7,803 | 1,594 | ||||||
Americold Realty Trust Inc ‡ | 4,844 | 138 | ||||||
Apartment Income Corp ‡ | 3,289 | 118 | ||||||
Apartment Investment and Management Co, Cl A ‡ | 5,319 | 41 | ||||||
Apple Hospitality REIT Inc ‡ | 5,525 | 86 | ||||||
AvalonBay Communities Inc ‡ | 2,364 | 397 | ||||||
Boston Properties Inc ‡ | 2,663 | 144 | ||||||
Brixmor Property Group Inc ‡ | 5,429 | 117 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Broadstone Net Lease Inc, Cl A ‡ | 3,101 | $ | 53 | |||||
Camden Property Trust ‡ | 1,939 | 203 | ||||||
CareTrust REIT Inc ‡ | 2,150 | 42 | ||||||
CBRE Group Inc, Cl A * | 5,458 | 397 | ||||||
Corporate Office Properties Trust ‡ | 1,445 | 34 | ||||||
Cousins Properties Inc ‡ | 2,306 | 49 | ||||||
Crown Castle Inc ‡ | 7,520 | 1,006 | ||||||
CubeSmart ‡ | 4,005 | 185 | ||||||
Cushman & Wakefield PLC * | 3,203 | 34 | ||||||
DiamondRock Hospitality Co ‡ | 5,569 | 45 | ||||||
Digital Realty Trust Inc, Cl A ‡ | 4,805 | 472 | ||||||
DigitalBridge Group | 2,216 | 27 | ||||||
Douglas Elliman Inc | 6,100 | 19 | ||||||
Douglas Emmett Inc ‡ | 2,351 | 29 | ||||||
Easterly Government Properties Inc, Cl A ‡ | 2,101 | 29 | ||||||
EastGroup Properties Inc ‡ | 804 | 133 | ||||||
Elme Communities ‡ | 2,207 | 39 | ||||||
Empire State Realty Trust Inc, Cl A ‡ | 4,235 | 28 | ||||||
EPR Properties, Cl A ‡ | 836 | 32 | ||||||
Equinix Inc ‡ | 1,603 | 1,156 | ||||||
Equity Commonwealth ‡ | 1,856 | 38 | ||||||
Equity LifeStyle Properties Inc ‡ | 3,299 | 221 | ||||||
Equity Residential ‡ | 6,385 | 383 | ||||||
Essential Properties Realty Trust Inc ‡ | 2,557 | 64 | ||||||
Essex Property Trust Inc ‡ | 1,111 | 232 | ||||||
Extra Space Storage Inc ‡ | 2,199 | 358 | ||||||
Federal Realty Investment Trust ‡ | 1,605 | 159 | ||||||
First Industrial Realty Trust Inc ‡ | 2,595 | 138 | ||||||
Forestar Group Inc * | 2,300 | 36 | ||||||
Four Corners Property Trust Inc ‡ | 1,854 | 50 | ||||||
Gaming and Leisure Properties Inc ‡ | 4,409 | 230 | ||||||
Getty Realty Corp ‡ | 1,163 | 42 | ||||||
Global Net Lease Inc ‡ | 2,722 | 35 | ||||||
Healthcare Realty Trust Inc, Cl A ‡ | 5,915 | 114 | ||||||
Healthpeak Properties Inc ‡ | 9,745 | 214 | ||||||
Highwoods Properties Inc ‡ | 1,722 | 40 | ||||||
Host Hotels & Resorts Inc ‡ | 12,192 | 201 | ||||||
Howard Hughes Corp/The * | 800 | 64 | ||||||
Independence Realty Trust Inc ‡ | 3,012 | 48 | ||||||
Innovative Industrial Properties Inc, Cl A ‡ | 453 | 34 | ||||||
InvenTrust Properties Corp ‡ | 2,081 | 49 | ||||||
Invitation Homes Inc ‡ | 10,236 | 320 | ||||||
Iron Mountain Inc ‡ | 5,082 | 269 | ||||||
JBG SMITH Properties ‡ | 1,701 | 26 | ||||||
Jones Lang LaSalle Inc * | 988 | 144 | ||||||
Kennedy-Wilson Holdings Inc | 2,600 | 43 | ||||||
Kilroy Realty Corp ‡ | 2,674 | 87 | ||||||
Kimco Realty Corp ‡ | 11,370 | 222 | ||||||
Kite Realty Group Trust ‡ | 3,741 | 78 | ||||||
Lamar Advertising Co, Cl A ‡ | 1,662 | 166 | ||||||
Life Storage Inc ‡ | 1,542 | 202 | ||||||
LTC Properties Inc ‡ | 1,065 | 37 |
270
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
LXP Industrial Trust, Cl B ‡ | 4,662 | $ | 48 | |||||
Macerich Co/The ‡ | 3,563 | 38 | ||||||
Medical Properties Trust Inc ‡ | 9,533 | 78 | ||||||
Mid-America Apartment Communities Inc ‡ | 2,046 | 309 | ||||||
National Health Investors Inc ‡ | 746 | 38 | ||||||
National Retail Properties Inc ‡ | 3,707 | 164 | ||||||
National Storage Affiliates Trust ‡ | 1,525 | 64 | ||||||
NETSTREIT Corp ‡ | 2,078 | 38 | ||||||
Office Properties Income Trust ‡ | 1,935 | 24 | ||||||
Omega Healthcare Investors Inc ‡ | 4,560 | 125 | ||||||
Opendoor Technologies Inc * | 12,000 | 21 | ||||||
Outfront Media Inc ‡ | 2,438 | 40 | ||||||
Park Hotels & Resorts Inc ‡ | 3,665 | 45 | ||||||
Pebblebrook Hotel Trust ‡ | 2,488 | 35 | ||||||
Phillips Edison & Co Inc ‡ | 2,458 | 80 | ||||||
Physicians Realty Trust ‡ | 2,909 | 43 | ||||||
Piedmont Office Realty Trust Inc, Cl A ‡ | 3,300 | 24 | ||||||
PotlatchDeltic Corp ‡ | 943 | 47 | ||||||
Prologis Inc ‡ | 15,429 | 1,925 | ||||||
Public Storage ‡ | 2,550 | 770 | ||||||
Rayonier Inc ‡ | 2,366 | 79 | ||||||
Realty Income Corp ‡ | 10,650 | 674 | ||||||
Regency Centers Corp ‡ | 3,371 | 206 | ||||||
Retail Opportunity Investments Corp ‡ | 1,722 | 24 | ||||||
Rexford Industrial Realty Inc ‡ | 3,599 | 215 | ||||||
RLJ Lodging Trust ‡ | 3,889 | 41 | ||||||
Ryman Hospitality Properties Inc ‡ | 758 | 68 | ||||||
Sabra Health Care REIT Inc ‡ | 2,996 | 34 | ||||||
Saul Centers Inc ‡ | 748 | 29 | ||||||
SBA Communications Corp, Cl A ‡ | 1,840 | 480 | ||||||
Service Properties Trust ‡ | 4,412 | 44 | ||||||
Simon Property Group Inc ‡ | 5,511 | 617 | ||||||
SITE Centers Corp ‡ | 2,668 | 33 | ||||||
SL Green Realty Corp ‡ | 753 | 18 | ||||||
Spirit Realty Capital Inc ‡ | 2,223 | 89 | ||||||
St Joe Co/The | 1,100 | 46 | ||||||
STAG Industrial Inc ‡ | 2,604 | 88 | ||||||
Sun Communities Inc ‡ | 2,118 | 298 | ||||||
Sunstone Hotel Investors Inc ‡ | 5,786 | 57 | ||||||
Tanger Factory Outlet Centers Inc ‡ | 2,756 | 54 | ||||||
Terreno Realty Corp ‡ | 1,750 | 113 | ||||||
UDR Inc ‡ | 5,845 | 240 | ||||||
Uniti Group Inc ‡ | 3,869 | 14 | ||||||
Urban Edge Properties ‡ | 2,641 | 40 | ||||||
Ventas Inc ‡ | 6,937 | 301 | ||||||
Veris Residential Inc *‡ | 1,208 | 18 | ||||||
VICI Properties Inc, Cl A ‡ | 16,841 | 549 | ||||||
Vornado Realty Trust ‡ | 2,537 | 39 | ||||||
Welltower Inc ‡ | 8,140 | 584 | ||||||
Weyerhaeuser Co ‡ | 12,669 | 382 | ||||||
WP Carey Inc ‡ | 3,533 | 274 | ||||||
Xenia Hotels & Resorts Inc ‡ | 2,062 | 27 |
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Zillow Group Inc, Cl A * | 976 | $ | 43 | |||||
Zillow Group Inc, Cl C * | 2,900 | 129 | ||||||
21,617 | ||||||||
Utilities — 1.5% | ||||||||
AES Corp/The | 7,075 | 170 | ||||||
ALLETE Inc | 798 | 51 | ||||||
Alliant Energy Corp | 2,939 | 157 | ||||||
Ameren Corp | 2,407 | 208 | ||||||
American Electric Power Co Inc | 5,109 | 465 | ||||||
American States Water Co | 438 | 39 | ||||||
American Water Works Co Inc | 1,901 | 279 | ||||||
Atmos Energy Corp | 1,498 | 168 | ||||||
Avangrid Inc | 976 | 39 | ||||||
Avista Corp | 976 | 41 | ||||||
Black Hills Corp, Cl A | 798 | 50 | ||||||
Brookfield Infrastructure Corp, Cl A | 1,290 | 60 | ||||||
Brookfield Renewable Corp, Cl A | 1,055 | 37 | ||||||
California Water Service Group, Cl A | 990 | 58 | ||||||
CenterPoint Energy Inc | 7,050 | 208 | ||||||
Chesapeake Utilities Corp | 200 | 26 | ||||||
Clearway Energy Inc, Cl C | 1,183 | 37 | ||||||
CMS Energy Corp | 2,813 | 173 | ||||||
Consolidated Edison Inc | 3,451 | 330 | ||||||
Constellation Energy Corp | 3,459 | 272 | ||||||
Dominion Energy Inc | 8,537 | 477 | ||||||
DTE Energy Co | 2,067 | 226 | ||||||
Duke Energy Corp | 7,688 | 742 | ||||||
Edison International | 3,931 | 278 | ||||||
Entergy Corp | 2,104 | 227 | ||||||
Essential Utilities Inc | 2,915 | 127 | ||||||
Evergy Inc | 1,932 | 118 | ||||||
Exelon Corp | 9,858 | 413 | ||||||
FirstEnergy Corp | 6,025 | 241 | ||||||
Hawaiian Electric Industries Inc | 1,610 | 62 | ||||||
IDACORP Inc, Cl A | 343 | 37 | ||||||
MGE Energy Inc | 725 | 56 | ||||||
National Fuel Gas Co | 962 | 56 | ||||||
New Jersey Resources Corp | 1,136 | 61 | ||||||
NextEra Energy Inc | 20,010 | 1,542 | ||||||
NiSource Inc | 4,177 | 117 | ||||||
Northwest Natural Holding Co | 500 | 24 | ||||||
NorthWestern Corp | 906 | 52 | ||||||
NRG Energy Inc | 2,718 | 93 | ||||||
OGE Energy Corp | 1,425 | 54 | ||||||
ONE Gas Inc | 343 | 27 | ||||||
Ormat Technologies Inc | 500 | 42 | ||||||
Otter Tail Corp | 400 | 29 | ||||||
PG&E Corp * | 17,128 | 277 | ||||||
Pinnacle West Capital Corp | 1,367 | 108 | ||||||
PNM Resources Inc | 591 | 29 | ||||||
Portland General Electric Co | 957 | 47 | ||||||
PPL Corp | 7,549 | 210 |
SEI Institutional Managed Trust
271
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Inflation Managed Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK (continued) | ||||||||
Public Service Enterprise Group Inc | 5,258 | $ | 328 | |||||
Sempra Energy | 3,300 | 499 | ||||||
SJW Group | 710 | 54 | ||||||
Southern Co/The | 11,193 | 779 | ||||||
Southwest Gas Holdings Inc | 838 | 52 | ||||||
Spire Inc | 618 | 43 | ||||||
Sunnova Energy International Inc * | 1,300 | 20 | ||||||
UGI Corp | 2,240 | 78 | ||||||
Vistra Corp | 3,633 | 87 | ||||||
WEC Energy Group Inc | 3,112 | 295 | ||||||
Xcel Energy Inc | 5,425 | 366 | ||||||
York Water Co/The | 600 | 27 | ||||||
11,268 | ||||||||
Total Common Stock | ||||||||
(Cost $133,437) ($ Thousands) | 225,276 | |||||||
Face Amount | ||||||||
CORPORATE OBLIGATIONS — 9.8% | ||||||||
Communication Services — 0.2% | ||||||||
Altice France | ||||||||
3.375%, 01/15/2028 | EUR | 117 | 99 | |||||
CCO Holdings | ||||||||
4.750%, 02/01/2032 (C) | $ | 535 | 449 | |||||
4.500%, 08/15/2030 (C) | 63 | 53 | ||||||
4.500%, 06/01/2033 (C) | 219 | 176 | ||||||
DISH DBS | ||||||||
5.250%, 12/01/2026 (C) | 1,007 | 804 | ||||||
Lorca Telecom Bondco | ||||||||
4.000%, 09/18/2027 | EUR | 237 | 236 | |||||
1,817 | ||||||||
Consumer Discretionary — 1.3% | ||||||||
Alibaba Group Holding | ||||||||
2.125%, 02/09/2031 | $ | 1,178 | 975 | |||||
Altice Financing | ||||||||
3.000%, 01/15/2028 | EUR | 237 | 205 | |||||
Amazon.com | ||||||||
4.550%, 12/01/2027 | $ | 605 | 614 | |||||
Booking Holdings | ||||||||
4.625%, 04/13/2030 | 1,080 | 1,079 | ||||||
Caesars Entertainment | ||||||||
7.000%, 02/15/2030 (C) | 220 | 224 | ||||||
Carnival | ||||||||
4.000%, 08/01/2028 (C) | 605 | 521 | ||||||
Expedia Group | ||||||||
6.250%, 05/01/2025 (C) | 24 | 24 | ||||||
4.625%, 08/01/2027 | 251 | 246 | ||||||
Ford Motor | ||||||||
6.100%, 08/19/2032 | 435 | 422 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Ford Motor Credit | ||||||||
7.350%, 11/04/2027 | $ | 204 | $ | 210 | ||||
Globo Comunicacao e Participacoes | ||||||||
4.875%, 01/22/2030 (C) | 413 | 329 | ||||||
Harley-Davidson Financial Services | ||||||||
3.050%, 02/14/2027 (C) | 700 | 627 | ||||||
Las Vegas Sands | ||||||||
3.900%, 08/08/2029 | 722 | 652 | ||||||
Marriott International | ||||||||
5.750%, 05/01/2025 | 68 | 69 | ||||||
4.900%, 04/15/2029 | 309 | 306 | ||||||
MDC Holdings | ||||||||
6.000%, 01/15/2043 | 389 | 338 | ||||||
Mercedes-Benz Finance North America | ||||||||
4.800%, 03/30/2026 (C) | 331 | 331 | ||||||
Nissan Motor | ||||||||
4.345%, 09/17/2027 (C) | 1,086 | 1,025 | ||||||
Ross Stores | ||||||||
4.700%, 04/15/2027 | 842 | 835 | ||||||
Royal Caribbean Cruises | ||||||||
8.250%, 01/15/2029 (C) | 231 | 241 | ||||||
Summer BC Holdco B SARL | ||||||||
5.750%, 10/31/2026 | EUR | 237 | 224 | |||||
Time Warner Cable | ||||||||
4.500%, 09/15/2042 | $ | 330 | 253 | |||||
Wynn Macau | ||||||||
5.625%, 08/26/2028 (C) | 348 | 296 | ||||||
10,046 | ||||||||
Consumer Staples — 0.6% | ||||||||
Altria Group | ||||||||
3.400%, 05/06/2030 | 745 | 663 | ||||||
BAT Capital | ||||||||
4.906%, 04/02/2030 | 467 | 451 | ||||||
2.259%, 03/25/2028 | 1,337 | 1,146 | ||||||
Cargill | ||||||||
5.125%, 10/11/2032 (C) | 239 | 247 | ||||||
Natura & Luxembourg Holdings SARL | ||||||||
6.000%, 04/19/2029 (C) | 392 | 340 | ||||||
Natura Cosmeticos | ||||||||
4.125%, 05/03/2028 (C) | 322 | 262 | ||||||
Philip Morris International | ||||||||
5.625%, 11/17/2029 | 110 | 115 | ||||||
4.875%, 02/13/2026 | 582 | 586 | ||||||
Virgolino de Oliveira Finance | ||||||||
10.500%, 01/28/2018 (C)(D) | 660 | – | ||||||
3,810 | ||||||||
Energy — 0.6% | ||||||||
Continental Resources | ||||||||
2.268%, 11/15/2026 (C) | 1,050 | 932 |
272
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Eni | ||||||||
4.250%, 05/09/2029 (C) | $ | 900 | $ | 850 | ||||
Oleoducto Central | ||||||||
4.000%, 07/14/2027 (C) | 438 | 375 | ||||||
ONEOK | ||||||||
6.350%, 01/15/2031 | 128 | 134 | ||||||
ONEOK Partners | ||||||||
6.125%, 02/01/2041 | 63 | 62 | ||||||
TransCanada PipeLines | ||||||||
6.100%, 06/01/2040 | 573 | 591 | ||||||
Var Energi | ||||||||
8.000%, 11/15/2032 (C) | 403 | 429 | ||||||
7.500%, 01/15/2028 (C) | 314 | 325 | ||||||
3,698 | ||||||||
Financials — 4.3% | ||||||||
ABN AMRO Bank | ||||||||
4.750%, 07/28/2025 (C) | 269 | 260 | ||||||
AIB Group | ||||||||
7.583%, U.S. SOFR + 3.456%, 10/14/2026 (B)(C) | 817 | 838 | ||||||
Aircastle | ||||||||
5.250%, 08/11/2025 (C) | 456 | 446 | ||||||
4.125%, 05/01/2024 | 181 | 177 | ||||||
2.850%, 01/26/2028 (C) | 904 | 778 | ||||||
Alleghany | ||||||||
3.625%, 05/15/2030 | 931 | 877 | ||||||
Aviation Capital Group | ||||||||
5.500%, 12/15/2024 (C) | 455 | 449 | ||||||
4.875%, 10/01/2025 (C) | 182 | 176 | ||||||
4.375%, 01/30/2024 (C) | 161 | 157 | ||||||
4.125%, 08/01/2025 (C) | 6 | 6 | ||||||
3.500%, 11/01/2027 (C) | 165 | 147 | ||||||
1.950%, 01/30/2026 (C) | 480 | 427 | ||||||
1.950%, 09/20/2026 (C) | 153 | 132 | ||||||
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 | 680 | ||||||
Banco Santander | ||||||||
4.175%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.000%, 03/24/2028 (B) | 400 | 375 | ||||||
Bank of America | ||||||||
1.734%, U.S. SOFR + 0.960%, 07/22/2027 (B) | 1,198 | 1,074 | ||||||
Bank of America MTN | ||||||||
4.376%, U.S. SOFR + 1.580%, 04/27/2028 (B) | 931 | 900 |
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 | $ | 209 | ||||
Barclays PLC | ||||||||
7.385%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 3.300%, 11/02/2028 (B) | 383 | 406 | ||||||
BNP Paribas | ||||||||
7.375%, USD Swap Semi 30/360 5 Yr Curr + 5.150%(B)(E) | 200 | 190 | ||||||
4.625%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.340%(B)(E) | 669 | 500 | ||||||
2.871%, U.S. SOFR + 1.387%, 04/19/2032 (B)(C) | 806 | 671 | ||||||
Capital One Financial | ||||||||
4.927%, U.S. SOFR + 2.057%, 05/10/2028 (B) | 333 | 320 | ||||||
2.636%, U.S. SOFR + 1.290%, 03/03/2026 (B) | 475 | 440 | ||||||
Charles Schwab | ||||||||
5.375%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.971%(B)(E) | 184 | 174 | ||||||
4.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.168%(B)(E) | 756 | 616 | ||||||
Citigroup | ||||||||
8.870%, ICE LIBOR USD 3 Month + 4.068%(B)(E) | 125 | 124 | ||||||
4.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.597%(B)(E) | 359 | 317 | ||||||
Credit Suisse Group | ||||||||
7.500%, USD Swap Semi 30/360 5 Yr Curr + 4.598%(C)(E) | 200 | – | ||||||
7.500%, USD Swap Semi 30/360 5 Yr Curr + 4.600%(E) | 440 | – | ||||||
6.375%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.822%(C)(E) | 365 | – | ||||||
6.373%, U.S. SOFR + 3.340%, 07/15/2026 (B)(C) | 344 | 332 | ||||||
4.194%, U.S. SOFR + 3.730%, 04/01/2031 (B)(C) | 427 | 379 | ||||||
3.091%, U.S. SOFR + 1.730%, 05/14/2032 (B)(C) | 292 | 235 | ||||||
Danske Bank | ||||||||
6.466%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.100%, 01/09/2026 (B)(C) | 274 | 274 |
SEI Institutional Managed Trust
273
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Inflation Managed Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.298%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.750%, 04/01/2028 (B)(C) | $ | 245 | $ | 231 | ||||
Deutsche Bank NY | ||||||||
6.119%, U.S. SOFR + 3.190%, 07/14/2026 (B) | 255 | 247 | ||||||
3.961%, U.S. SOFR + 2.581%, 11/26/2025 (B) | 315 | 298 | ||||||
2.129%, U.S. SOFR + 1.870%, 11/24/2026 (B) | 347 | 299 | ||||||
Discover Bank | ||||||||
4.682%, USD Swap Semi 30/360 5 Yr Curr + 1.730%, 08/09/2028 (B) | 475 | 435 | ||||||
Federation des Caisses Desjardins du Quebec | ||||||||
4.550%, 08/23/2027 (C) | 435 | 429 | ||||||
Global Payments | ||||||||
5.300%, 08/15/2029 | 287 | 283 | ||||||
2.900%, 11/15/2031 | 157 | 129 | ||||||
Goldman Sachs Group | ||||||||
4.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 2.949%(B)(E) | 328 | 272 | ||||||
Guardian Life Insurance of America | ||||||||
4.850%, 01/24/2077 (C) | 145 | 126 | ||||||
HSBC Holdings | ||||||||
8.113%, U.S. SOFR + 4.250%, 11/03/2033 (B) | 200 | 224 | ||||||
8.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.858%(B)(E) | 494 | 493 | ||||||
7.336%, U.S. SOFR + 3.030%, 11/03/2026 (B) | 810 | 840 | ||||||
2.804%, U.S. SOFR + 1.187%, 05/24/2032 (B) | 219 | 179 | ||||||
ING Groep | ||||||||
1.726%, U.S. SOFR + 1.005%, 04/01/2027 (B) | 1,191 | 1,058 | ||||||
Intesa Sanpaolo | ||||||||
7.000%, 11/21/2025 (C) | 214 | 218 | ||||||
KBC Group | ||||||||
5.796%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.100%, 01/19/2029 (B)(C) | 263 | 265 | ||||||
Lloyds Banking Group PLC | ||||||||
8.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.913%(B)(E) | 322 | 297 | ||||||
7.953%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 3.750%, 11/15/2033 (B) | 604 | 668 | ||||||
7.500%, USD Swap Semi 30/360 5 Yr Curr + 4.760%(B)(E) | 415 | 392 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Mitsubishi UFJ Financial Group | ||||||||
5.475%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.530%, 02/22/2031 (B) | $ | 213 | $ | 214 | ||||
Mizuho Financial Group | ||||||||
5.414%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.050%, 09/13/2028 (B) | 430 | 432 | ||||||
Morgan Stanley | ||||||||
6.296%, U.S. SOFR + 2.240%, 10/18/2028 (B) | 467 | 491 | ||||||
4.210%, U.S. SOFR + 1.610%, 04/20/2028 (B) | 289 | 280 | ||||||
0.406%, 10/29/2027 (B) | EUR | 480 | 455 | |||||
Nationwide Building Society MTN | ||||||||
2.972%, U.S. SOFR + 1.290%, 02/16/2028 (B)(C) | $ | 319 | 287 | |||||
NatWest Group | ||||||||
7.472%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.850%, 11/10/2026 (B) | 260 | 269 | ||||||
5.847%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.350%, 03/02/2027 (B) | 340 | 341 | ||||||
4.269%, ICE LIBOR USD 3 Month + 1.762%, 03/22/2025 (B) | 232 | 228 | ||||||
Nomura Holdings | ||||||||
5.709%, 01/09/2026 | 325 | 326 | ||||||
OEC Finance | ||||||||
7.125%cash/0% PIK, 12/26/2046 (C) | 294 | 11 | ||||||
PNC Financial Services Group | ||||||||
5.068%, U.S. SOFR + 1.933%, 01/24/2034 (B) | 108 | 107 | ||||||
S&P Global | ||||||||
4.750%, 08/01/2028 | 35 | 36 | ||||||
4.250%, 05/01/2029 | 166 | 163 | ||||||
Santander Holdings USA | ||||||||
6.499%, U.S. SOFR + 2.356%, 03/09/2029 (B) | 165 | 165 | ||||||
4.260%, SOFRINDX + 1.380%, 06/09/2025 (B) | 196 | 189 | ||||||
2.490%, U.S. SOFR + 1.249%, 01/06/2028 (B) | 67 | 58 | ||||||
Santander UK Group Holdings | ||||||||
6.833%, U.S. SOFR + 2.749%, 11/21/2026 (B) | 603 | 611 | ||||||
Societe Generale | ||||||||
2.797%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.300%, 01/19/2028 (B)(C) | 623 | 550 |
274
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Standard Chartered | ||||||||
7.776%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 3.100%, 11/16/2025 (B)(C) | $ | 363 | $ | 371 | ||||
7.750%, USD Swap Semi 30/360 5 Yr Curr + 5.723%(B)(C)(E) | 200 | 200 | ||||||
6.312%, ICE LIBOR USD 3 Month + 1.510%(B)(C)(E) | 400 | 336 | ||||||
6.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.661%(B)(C)(E) | 552 | 501 | ||||||
3.971%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.650%, 03/30/2026 (B)(C) | 239 | 230 | ||||||
Svenska Handelsbanken | ||||||||
4.750%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.048%(B)(E) | 800 | 639 | ||||||
Swiss Re Finance Luxembourg | ||||||||
5.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.582%, 04/02/2049 (B) | 600 | 562 | ||||||
Synchrony Financial | ||||||||
4.875%, 06/13/2025 | 118 | 109 | ||||||
4.500%, 07/23/2025 | 120 | 109 | ||||||
3.950%, 12/01/2027 | 118 | 100 | ||||||
2.875%, 10/28/2031 | 328 | 232 | ||||||
Truist Financial MTN | ||||||||
5.122%, U.S. SOFR + 1.852%, 01/26/2034 (B) | 204 | 199 | ||||||
1.950%, 06/05/2030 | 74 | 60 | ||||||
UBS Group | ||||||||
4.488%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.550%, 05/12/2026 (B)(C) | 238 | 230 | ||||||
UniCredit | ||||||||
3.127%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.550%, 06/03/2032 (B)(C) | 201 | 158 | ||||||
2.569%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.300%, 09/22/2026 (B)(C) | 519 | 470 | ||||||
1.982%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.200%, 06/03/2027 (B)(C) | 231 | 201 | ||||||
US Bancorp | ||||||||
5.300%, ICE LIBOR USD 3 Month + 2.914%(B)(E) | 474 | 403 | ||||||
Voya Financial | ||||||||
5.650%, ICE LIBOR USD 3 Month + 3.580%, 05/15/2053 (B) | 258 | 249 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Wells Fargo | ||||||||
3.900%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.453%(B)(E) | $ | 327 | $ | 289 | ||||
2.188%, U.S. SOFR + 2.000%, 04/30/2026 (B) | 433 | 406 | ||||||
31,736 | ||||||||
Health Care — 0.0% | ||||||||
Organon & Co | ||||||||
2.875%, 04/30/2028 | EUR | 200 | 191 | |||||
Takeda Pharmaceutical | ||||||||
4.400%, 11/26/2023 | $ | 220 | 219 | |||||
410 | ||||||||
Industrials — 0.9% | ||||||||
AerCap Ireland Capital DAC | ||||||||
6.500%, 07/15/2025 | 190 | 192 | ||||||
4.450%, 04/03/2026 | 173 | 166 | ||||||
2.450%, 10/29/2026 | 671 | 602 | ||||||
Air Lease | ||||||||
3.625%, 04/01/2027 | 40 | 37 | ||||||
2.100%, 09/01/2028 | 178 | 148 | ||||||
Air Lease MTN | ||||||||
2.875%, 01/15/2026 | 85 | 79 | ||||||
APCOA Parking Holdings GmbH | ||||||||
4.625%, 01/15/2027 | EUR | 237 | 219 | |||||
CNH Industrial Capital | ||||||||
3.950%, 05/23/2025 | $ | 723 | 704 | |||||
Delta Air Lines | ||||||||
4.750%, 10/20/2028 (C) | 475 | 458 | ||||||
4.500%, 10/20/2025 (C) | 375 | 369 | ||||||
Embraer Netherlands Finance BV | ||||||||
6.950%, 01/17/2028 (C) | 236 | 239 | ||||||
5.400%, 02/01/2027 | 670 | 651 | ||||||
ENA Master Trust | ||||||||
4.000%, 05/19/2048 (C) | 272 | 204 | ||||||
Flowserve | ||||||||
2.800%, 01/15/2032 | 246 | 195 | ||||||
Honeywell International | ||||||||
4.125%, 11/02/2034 | EUR | 810 | 892 | |||||
Lima Metro Line 2 Finance | ||||||||
5.875%, 07/05/2034 | $ | 210 | 202 | |||||
4.350%, 04/05/2036 (C) | 206 | 179 | ||||||
Odebrecht Holdco Finance | ||||||||
0.000%, 09/10/2058 (C)(F) | 294 | – | ||||||
Parker-Hannifin | ||||||||
4.500%, 09/15/2029 | 546 | 541 | ||||||
Regal Rexnord | ||||||||
6.050%, 02/15/2026 (C) | 789 | 792 | ||||||
TK Elevator Midco GmbH | ||||||||
4.375%, 07/15/2027 | EUR | 125 | 123 |
SEI Institutional Managed Trust
275
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Inflation Managed Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Trane Technologies Financing | ||||||||
5.250%, 03/03/2033 | $ | 137 | $ | 142 | ||||
Verisk Analytics | ||||||||
5.750%, 04/01/2033 | 218 | 229 | ||||||
Westinghouse Air Brake Technologies | ||||||||
3.200%, 06/15/2025 | 141 | 135 | ||||||
7,498 | ||||||||
Information Technology — 1.0% | ||||||||
Broadcom | ||||||||
4.926%, 05/15/2037 (C) | 535 | 487 | ||||||
3.187%, 11/15/2036 (C) | 448 | 340 | ||||||
3.137%, 11/15/2035 (C) | 154 | 118 | ||||||
Entegris Escrow | ||||||||
4.750%, 04/15/2029 (C) | 699 | 661 | ||||||
HP | ||||||||
4.750%, 01/15/2028 | 572 | 565 | ||||||
Infor | ||||||||
1.750%, 07/15/2025 (C) | 340 | 311 | ||||||
International Business Machines | ||||||||
4.900%, 07/27/2052 | 434 | 405 | ||||||
4.500%, 02/06/2026 | 392 | 391 | ||||||
Kyndryl Holdings | ||||||||
2.050%, 10/15/2026 | 631 | 548 | ||||||
Lenovo Group | ||||||||
5.831%, 01/27/2028 | 966 | 972 | ||||||
Micron Technology | ||||||||
6.750%, 11/01/2029 | 563 | 598 | ||||||
NXP BV | ||||||||
5.550%, 12/01/2028 | 317 | 323 | ||||||
Prosus | ||||||||
3.680%, 01/21/2030 (C) | 569 | 483 | ||||||
3.257%, 01/19/2027 (C) | 264 | 240 | ||||||
SK Hynix | ||||||||
2.375%, 01/19/2031 (C) | 290 | 217 | ||||||
Tencent Holdings MTN | ||||||||
3.240%, 06/03/2050 (C) | 439 | 288 | ||||||
TSMC Arizona | ||||||||
3.875%, 04/22/2027 | 406 | 399 | ||||||
Western Digital | ||||||||
3.100%, 02/01/2032 | 35 | 26 | ||||||
2.850%, 02/01/2029 | 157 | 128 | ||||||
Workday | ||||||||
3.700%, 04/01/2029 | 68 | 64 | ||||||
7,564 | ||||||||
Materials — 0.2% | ||||||||
Celanese US Holdings | ||||||||
5.900%, 07/05/2024 | 867 | 867 | ||||||
Freeport Indonesia MTN | ||||||||
4.763%, 04/14/2027 (C) | 243 | 236 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Nucor | ||||||||
4.300%, 05/23/2027 | $ | 335 | $ | 329 | ||||
Volcan Cia Minera SAA | ||||||||
4.375%, 02/11/2026 (C) | 81 | 67 | ||||||
1,499 | ||||||||
Real Estate — 0.1% | ||||||||
American Tower | ||||||||
4.050%, 03/15/2032 | 118 | 108 | ||||||
3.650%, 03/15/2027 | 235 | 223 | ||||||
Host Hotels & Resorts | ||||||||
3.500%, 09/15/2030 | 142 | 120 | ||||||
Vornado Realty | ||||||||
2.150%, 06/01/2026 | 403 | 323 | ||||||
774 | ||||||||
Utilities — 0.6% | ||||||||
AES Panama Generation Holdings SRL | ||||||||
4.375%, 05/31/2030 (C) | 304 | 262 | ||||||
Chile Electricity PEC | ||||||||
0.000%, 01/25/2028 (C)(F) | 523 | 389 | ||||||
Comision Federal de Electricidad | ||||||||
4.688%, 05/15/2029 (C) | 268 | 240 | ||||||
3.348%, 02/09/2031 (C) | 687 | 543 | ||||||
Duke Energy Carolinas NC Storm Funding | ||||||||
2.617%, 07/01/2041 | 403 | 318 | ||||||
Enel Finance International | ||||||||
7.500%, 10/14/2032 (C) | 400 | 446 | ||||||
Engie Energia Chile | ||||||||
3.400%, 01/28/2030 | 390 | 318 | ||||||
NRG Energy | ||||||||
7.000%, 03/15/2033 (C) | 421 | 436 | ||||||
Public Service Enterprise Group | ||||||||
5.850%, 11/15/2027 | 402 | 418 | ||||||
Terraform Global Operating | ||||||||
6.125%, 03/01/2026 (C) | 74 | 70 | ||||||
Vistra | ||||||||
7.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.740%(B)(C)(E) | 286 | 252 | ||||||
3,692 | ||||||||
Total Corporate Obligations | ||||||||
(Cost $80,085) ($ Thousands) | 72,544 | |||||||
276
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES — 4.3% | ||||||||
Automotive — 1.5% | ||||||||
Americredit Automobile Receivables Trust, Ser 2023-1, Cl A2A | ||||||||
5.840%, 10/19/2026 | $ | 841 | $ | 845 | ||||
Avis Budget Rental Car Funding AESOP, Ser 2023-3A, Cl A | ||||||||
5.440%, 02/22/2028(C) | 554 | 554 | ||||||
Carvana Auto Receivables Trust, Ser 2021-N3, Cl C | ||||||||
1.020%, 06/12/2028 | 223 | 212 | ||||||
Carvana Auto Receivables Trust, Ser 2021-N4, Cl D | ||||||||
2.300%, 09/11/2028 | 347 | 322 | ||||||
Carvana Auto Receivables Trust, Ser 2021-P4, Cl D | ||||||||
2.610%, 09/11/2028 | 441 | 371 | ||||||
CPS Auto Receivables Trust, Ser 2022-A, Cl C | ||||||||
2.170%, 04/16/2029(C) | 611 | 576 | ||||||
FHF Trust, Ser 2021-2A, Cl A | ||||||||
0.830%, 12/15/2026(C) | 171 | 163 | ||||||
Ford Credit Auto Owner Trust, Ser 2021-1, Cl D | ||||||||
2.310%, 10/17/2033(C) | 605 | 529 | ||||||
Hertz Vehicle Financing III, Ser 2022-1A, Cl C | ||||||||
2.630%, 06/25/2026(C) | 620 | 568 | ||||||
LAD Auto Receivables Trust, Ser 2021-1A, Cl A | ||||||||
1.300%, 08/17/2026(C) | 243 | 236 | ||||||
LAD Auto Receivables Trust, Ser 2022-1A, Cl A | ||||||||
5.210%, 06/15/2027(C) | 616 | 612 | ||||||
Lendbuzz Securitization Trust, Ser 2023-1A, Cl A2 | ||||||||
6.920%, 08/15/2028(C) | 1,307 | 1,308 | ||||||
Prestige Auto Receivables Trust, Ser 2022-1A, Cl A2 | ||||||||
5.900%, 07/15/2025(C) | 556 | 556 | ||||||
Research-Driven Pagaya Motor Asset Trust VII, Ser 2022-3A, Cl A | ||||||||
5.380%, 11/25/2030(C) | 770 | 756 | ||||||
Santander Bank Auto Credit-Linked Notes, Ser 2022-A, Cl B | ||||||||
5.281%, 05/15/2032(C) | 671 | 656 | ||||||
Santander Bank Auto Credit-Linked Notes, Ser 2022-B, Cl B | ||||||||
5.721%, 08/16/2032(C) | 658 | 655 | ||||||
Santander Bank Auto Credit-Linked Notes, Ser 2022-C, Cl B | ||||||||
6.451%, 12/15/2032(C) | 705 | 706 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
United Auto Credit Securitization Trust, Ser 2022-2, Cl A | ||||||||
4.390%, 04/10/2025(C) | $ | 410 | $ | 409 | ||||
Westlake Automobile Receivables Trust, Ser 2023-2A, Cl A2A | ||||||||
5.870%, 07/15/2026(C) | 850 | 852 | ||||||
10,886 | ||||||||
Credit Cards — 0.2% | ||||||||
Brex Commercial Charge Card Master Trust, Ser 2022-1, Cl A | ||||||||
4.630%, 07/15/2025(C) | 1,010 | 986 | ||||||
Mission Lane Credit Card Master Trust, Ser 2021-A, Cl B | ||||||||
2.240%, 09/15/2026(C) | 175 | 167 | ||||||
1,153 | ||||||||
Other Asset-Backed Securities — 2.6% | ||||||||
AB Issuer, Ser 2021-1, Cl A2 | ||||||||
3.734%, 07/30/2051(C) | 834 | 688 | ||||||
Affirm Asset Securitization Trust, Ser 2021-Z1, Cl A | ||||||||
1.070%, 08/15/2025(C) | 103 | 100 | ||||||
Affirm Asset Securitization Trust, Ser 2021-Z2, Cl A | ||||||||
1.170%, 11/16/2026(C) | 122 | 117 | ||||||
Affirm Asset Securitization Trust, Ser 2022-X1, Cl A | ||||||||
1.750%, 02/15/2027(C) | 246 | 239 | ||||||
AGL CLO 12, Ser 2021-12A, Cl A1 | ||||||||
5.968%, ICE LIBOR USD 3 Month + 1.160%, 07/20/2034(B)(C) | 970 | 948 | ||||||
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 | 175 | ||||||
Balboa Bay Loan Funding, Ser 2021-1A, Cl A | ||||||||
6.008%, ICE LIBOR USD 3 Month + 1.200%, 07/20/2034(B)(C) | 589 | 575 | ||||||
Ballyrock CLO 15, Ser 2021-1A, Cl C | ||||||||
7.892%, ICE LIBOR USD 3 Month + 3.100%, 04/15/2034(B)(C) | 600 | 550 | ||||||
Ballyrock CLO 16, Ser 2021-16A, Cl A1 | ||||||||
5.938%, ICE LIBOR USD 3 Month + 1.130%, 07/20/2034(B)(C) | 1,222 | 1,198 | ||||||
Cajun Global, Ser 2021-1, Cl A2 | ||||||||
3.931%, 11/20/2051(C) | 182 | 156 | ||||||
College Ave Student Loans, Ser 2021-C, Cl B | ||||||||
2.720%, 07/26/2055(C) | 232 | 199 |
SEI Institutional Managed Trust
277
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Inflation Managed Fund (Continued)
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Dext ABS, Ser 2023-1, Cl A2 | ||||||||
5.990%, 03/15/2032(C) | $ | 923 | $ | 923 | ||||
Diamond Issuer, Ser 2021-1A, Cl A | ||||||||
2.305%, 11/20/2051(C) | 839 | 724 | ||||||
Domino's Pizza Master Issuer, Ser 2021-1A, Cl A2I | ||||||||
2.662%, 04/25/2051(C) | 456 | 391 | ||||||
Dryden 78 CLO, Ser 2020-78A, Cl C | ||||||||
6.742%, ICE LIBOR USD 3 Month + 1.950%, 04/17/2033(B)(C) | 620 | 580 | ||||||
Dryden 78 CLO, Ser 2020-78A, Cl D | ||||||||
7.792%, ICE LIBOR USD 3 Month + 3.000%, 04/17/2033(B)(C) | 320 | 291 | ||||||
Elevation CLO, Ser 2020-11A, Cl C | ||||||||
6.992%, ICE LIBOR USD 3 Month + 2.200%, 04/15/2033(B)(C) | 550 | 515 | ||||||
Elmwood CLO IX, Ser 2021-2A, Cl D | ||||||||
7.758%, ICE LIBOR USD 3 Month + 2.950%, 07/20/2034(B)(C) | 583 | 536 | ||||||
Flatiron CLO 21, Ser 2021-1A, Cl D | ||||||||
7.698%, ICE LIBOR USD 3 Month + 2.900%, 07/19/2034(B)(C) | 620 | 568 | ||||||
GCI Funding I, Ser 2021-1, Cl A | ||||||||
2.380%, 06/18/2046(C) | 273 | 235 | ||||||
Goldentree Loan Management US CLO 7, Ser 2021-7A, Cl AR | ||||||||
5.878%, ICE LIBOR USD 3 Month + 1.070%, 04/20/2034(B)(C) | 651 | 636 | ||||||
Hardee's Funding, Ser 2018-1A, Cl A23 | ||||||||
5.710%, 06/20/2048(C) | 382 | 355 | ||||||
Hardee's Funding, Ser 2020-1A, Cl A2 | ||||||||
3.981%, 12/20/2050(C) | 266 | 231 | ||||||
HFX, Ser 2017-1A | ||||||||
3.647%, 03/15/2035 | 830 | 794 | ||||||
Magnetite XXVI, Ser 2021-26A, Cl A1R | ||||||||
5.938%, ICE LIBOR USD 3 Month + 1.120%, 07/25/2034(B)(C) | 1,127 | 1,103 | ||||||
MVW, Ser 2021-2A, Cl B | ||||||||
1.830%, 05/20/2039(C) | 329 | 294 | ||||||
Neighborly Issuer, Ser 2021-1A, Cl A2 | ||||||||
3.584%, 04/30/2051(C) | 323 | 275 | ||||||
Neighborly Issuer, Ser 2023-1A, Cl A2 | ||||||||
7.308%, 01/30/2053(C) | 782 | 769 | ||||||
Nelnet Student Loan Trust, Ser 2021-DA, Cl AFX | ||||||||
1.630%, 04/20/2062(C) | 217 | 197 | ||||||
Neuberger Berman Loan Advisers CLO 42, Ser 2021-42A, Cl A | ||||||||
5.892%, ICE LIBOR USD 3 Month + 1.100%, 07/16/2035(B)(C) | 1,141 | 1,119 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Neuberger Berman Loan Advisers CLO 43, Ser 2021-43A, Cl A | ||||||||
5.922%, ICE LIBOR USD 3 Month + 1.130%, 07/17/2035(B)(C) | $ | 690 | $ | 675 | ||||
NMEF Funding, Ser 2022-B, Cl A2 | ||||||||
6.070%, 06/15/2029(C) | 367 | 370 | ||||||
OCP CLO, Ser 2021-18A, Cl AR | ||||||||
5.898%, ICE LIBOR USD 3 Month + 1.090%, 07/20/2032(B)(C) | 849 | 835 | ||||||
Octane Receivables Trust, Ser 2021-2A, Cl B | ||||||||
2.020%, 09/20/2028(C) | 636 | 579 | ||||||
Rad CLO 7, Ser 2020-7A, Cl C | ||||||||
6.792%, ICE LIBOR USD 3 Month + 2.000%, 04/17/2033(B)(C) | 280 | 264 | ||||||
SMB Private Education Loan Trust, Ser 2021-E, Cl A1A | ||||||||
1.680%, 02/15/2051(C) | 474 | 431 | ||||||
Upstart Securitization Trust, Ser 2021-3, Cl B | ||||||||
1.660%, 07/20/2031(C) | 530 | 504 | ||||||
Voya CLO, Ser 2020-1A, Cl DR | ||||||||
7.642%, ICE LIBOR USD 3 Month + 2.850%, 04/15/2031(B)(C) | 250 | 221 | ||||||
19,709 | ||||||||
Total Asset-Backed Securities | ||||||||
(Cost $33,394) ($ Thousands) | 31,748 | |||||||
MORTGAGE-BACKED SECURITIES — 3.8% | ||||||||
Agency Mortgage-Backed Obligations — 0.4% | ||||||||
FHLMC CMO, Ser 2017-4693, Cl SL, IO | ||||||||
1.466%, 06/15/2047(B) | 1,075 | 124 | ||||||
FHLMC CMO, Ser 2020-4981, Cl HS, IO | ||||||||
1.255%, 06/25/2050(B) | 2,143 | 237 | ||||||
FNMA | ||||||||
3.000%, 02/01/2052 | 2,241 | 2,021 | ||||||
FNMA CMO, Ser 2014-78, Cl SE, IO | ||||||||
1.255%, 12/25/2044(B) | 815 | 89 | ||||||
FNMA CMO, Ser 2016-77, Cl DS, IO | ||||||||
1.155%, 10/25/2046(B) | 810 | 88 | ||||||
FNMA CMO, Ser 2017-62, Cl AS, IO | ||||||||
1.305%, 08/25/2047(B) | 915 | 113 | ||||||
FNMA CMO, Ser 2017-97, Cl LS, IO | ||||||||
1.355%, 12/25/2047(B) | 1,281 | 159 | ||||||
GNMA CMO, Ser 2017-122, Cl SA, IO | ||||||||
1.439%, 08/20/2047(B) | 665 | 81 |
278
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GNMA CMO, Ser 2017-134, Cl SE, IO | ||||||||
1.439%, 09/20/2047(B) | $ | 552 | $ | 55 | ||||
2,967 | ||||||||
Non-Agency Mortgage-Backed Obligations — 3.4% | ||||||||
Alternative Loan Trust, Ser 2005-20CB, Cl 3A6 | ||||||||
5.500%, 07/25/2035 | 45 | 32 | ||||||
Alternative Loan Trust, Ser 2006-24CB, Cl A16 | ||||||||
5.750%, 08/25/2036 | 241 | 136 | ||||||
Alternative Loan Trust, Ser 2006-28CB, Cl A14 | ||||||||
6.250%, 10/25/2036 | 183 | 102 | ||||||
Alternative Loan Trust, Ser 2006-J1, Cl 1A13 | ||||||||
5.500%, 02/25/2036 | 103 | 74 | ||||||
AREIT Trust, Ser 2022-CRE6, Cl A | ||||||||
5.809%, SOFR30A + 1.250%, 01/16/2037(B)(C) | 1,322 | 1,289 | ||||||
BAMLL Commercial Mortgage Securities Trust, Ser 2013-WBRK, Cl D | ||||||||
3.534%, 03/10/2037(B)(C) | 365 | 264 | ||||||
BAMLL Commercial Mortgage Securities Trust, Ser 2017-SCH, Cl AF | ||||||||
5.685%, ICE LIBOR USD 1 Month + 1.000%, 11/15/2033(B)(C) | 1,610 | 1,530 | ||||||
BBCMS Mortgage Trust, Ser 2020-BID, Cl A | ||||||||
6.824%, ICE LIBOR USD 1 Month + 2.140%, 10/15/2037(B)(C) | 779 | 752 | ||||||
Bellemeade Re, Ser 2019-3A, Cl M1C | ||||||||
6.795%, ICE LIBOR USD 1 Month + 1.950%, 07/25/2029(B)(C) | 332 | 331 | ||||||
Bellemeade Re, Ser 2021-1A, Cl M1C | ||||||||
7.510%, SOFR30A + 2.950%, 03/25/2031(B)(C) | 437 | 436 | ||||||
Bellemeade Re, Ser 2021-2A, Cl M1B | ||||||||
6.060%, SOFR30A + 1.500%, 06/25/2031(B)(C) | 704 | 691 | ||||||
Bellemeade Re, Ser 2022-2, Cl M1A | ||||||||
8.568%, SOFR30A + 4.000%, 09/27/2032(B)(C) | 978 | 980 | ||||||
BFLD Trust, Ser 2021-FPM, Cl A | ||||||||
6.285%, ICE LIBOR USD 1 Month + 1.600%, 06/15/2038(B)(C) | 1,189 | 1,126 | ||||||
BX Commercial Mortgage Trust, Ser 2019-IMC, Cl E | ||||||||
6.834%, ICE LIBOR USD 1 Month + 2.150%, 04/15/2034(B)(C) | 656 | 622 | ||||||
BX Commercial Mortgage Trust, Ser 2019-IMC, Cl D | ||||||||
6.584%, ICE LIBOR USD 1 Month + 1.900%, 04/15/2034(B)(C) | 162 | 154 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
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 | 58 | 23 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Cl D | ||||||||
4.452%, 04/10/2046(B)(C) | 343 | 341 | ||||||
COMM Mortgage Trust, Ser 2010-C1, Cl D | ||||||||
5.794%, 07/10/2046(B)(C) | 649 | 623 | ||||||
Connecticut Avenue Securities Trust, Ser 2018-R07, Cl 1M2 | ||||||||
7.245%, ICE LIBOR USD 1 Month + 2.400%, 04/25/2031(B)(C) | 27 | 27 | ||||||
Connecticut Avenue Securities Trust, Ser 2019-R02, Cl 1M2 | ||||||||
7.145%, ICE LIBOR USD 1 Month + 2.300%, 08/25/2031(B)(C) | 7 | 7 | ||||||
Connecticut Avenue Securities Trust, Ser 2019-R03, Cl 1M2 | ||||||||
6.995%, ICE LIBOR USD 1 Month + 2.150%, 09/25/2031(B)(C) | 5 | 5 | ||||||
Connecticut Avenue Securities Trust, Ser 2019-R07, Cl 1M2 | ||||||||
6.945%, ICE LIBOR USD 1 Month + 2.100%, 10/25/2039(B)(C) | 43 | 43 | ||||||
Connecticut Avenue Securities Trust, Ser 2020-R02, Cl 2M2 | ||||||||
6.845%, ICE LIBOR USD 1 Month + 2.000%, 01/25/2040(B)(C) | 123 | 122 | ||||||
Connecticut Avenue Securities Trust, Ser 2021-R03, Cl 1M2 | ||||||||
6.210%, SOFR30A + 1.650%, 12/25/2041(B)(C) | 319 | 302 | ||||||
Connecticut Avenue Securities Trust, Ser 2022-R01, Cl 1M2 | ||||||||
6.460%, SOFR30A + 1.900%, 12/25/2041(B)(C) | 1,023 | 979 | ||||||
Connecticut Avenue Securities Trust, Ser 2022-R03, Cl 1M2 | ||||||||
8.060%, SOFR30A + 3.500%, 03/25/2042(B)(C) | 838 | 843 | ||||||
Connecticut Avenue Securities Trust, Ser 2022-R04, Cl 1M2 | ||||||||
7.660%, SOFR30A + 3.100%, 03/25/2042(B)(C) | 211 | 209 |
SEI Institutional Managed Trust
279
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Inflation Managed Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Connecticut Avenue Securities Trust, Ser 2023-R02, Cl 1M1 | ||||||||
6.868%, SOFR30A + 2.300%, 01/25/2043(B)(C) | $ | 447 | $ | 446 | ||||
Deutsche Alt-A Securities Mortgage Loan Trust, Ser 2006-AR4, Cl A2 | ||||||||
5.225%, ICE LIBOR USD 1 Month + 0.380%, 12/25/2036(B) | 333 | 114 | ||||||
FHLMC Multifamily Structured Credit Risk, Ser 2021-MN1, Cl M1 | ||||||||
6.560%, SOFR30A + 2.000%, 01/25/2051(B)(C) | 77 | 73 | ||||||
FHLMC STACR REMIC Trust, Ser 2020-DNA1, Cl M2 | ||||||||
6.545%, ICE LIBOR USD 1 Month + 1.700%, 01/25/2050(B)(C) | 114 | 114 | ||||||
FHLMC STACR REMIC Trust, Ser 2020-DNA5, Cl M2 | ||||||||
7.360%, SOFR30A + 2.800%, 10/25/2050(B)(C) | 270 | 273 | ||||||
FHLMC STACR REMIC Trust, Ser 2021-DNA5, Cl M2 | ||||||||
6.210%, SOFR30A + 1.650%, 01/25/2034(B)(C) | 233 | 229 | ||||||
FHLMC STACR REMIC Trust, Ser 2021-DNA6, Cl M2 | ||||||||
6.060%, SOFR30A + 1.500%, 10/25/2041(B)(C) | 1,079 | 1,027 | ||||||
FHLMC STACR REMIC Trust, Ser 2021-DNA7, Cl M2 | ||||||||
6.360%, SOFR30A + 1.800%, 11/25/2041(B)(C) | 1,042 | 990 | ||||||
FHLMC STACR REMIC Trust, Ser 2021-HQA4, Cl M2 | ||||||||
6.910%, SOFR30A + 2.350%, 12/25/2041(B)(C) | 668 | 601 | ||||||
FHLMC STACR REMIC Trust, Ser 2022-DNA1, Cl M1B | ||||||||
6.410%, SOFR30A + 1.850%, 01/25/2042(B)(C) | 542 | 513 | ||||||
FHLMC STACR REMIC Trust, Ser 2022-DNA1, Cl M1A | ||||||||
5.560%, SOFR30A + 1.000%, 01/25/2042(B)(C) | 461 | 452 | ||||||
FHLMC STACR REMIC Trust, Ser 2022-DNA4, Cl M1A | ||||||||
6.760%, SOFR30A + 2.200%, 05/25/2042(B)(C) | 618 | 621 | ||||||
FHLMC STACR REMIC Trust, Ser 2022-DNA5, Cl M1A | ||||||||
7.510%, SOFR30A + 2.950%, 06/25/2042(B)(C) | 761 | 774 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FHLMC STACR REMIC Trust, Ser 2022-DNA6, Cl M1A | ||||||||
6.710%, SOFR30A + 2.150%, 09/25/2042(B)(C) | $ | 422 | $ | 423 | ||||
FHLMC STACR REMIC Trust, Ser 2022-DNA7, Cl M1A | ||||||||
7.060%, SOFR30A + 2.500%, 03/25/2052(B)(C) | 1,125 | 1,133 | ||||||
FHLMC STACR REMIC Trust, Ser 2023-DNA1, Cl M1A | ||||||||
6.658%, SOFR30A + 2.100%, 03/25/2043(B)(C) | 530 | 531 | ||||||
FHLMC STACR Trust, Ser 2019-DNA4, Cl M2 | ||||||||
6.795%, ICE LIBOR USD 1 Month + 1.950%, 10/25/2049(B)(C) | 36 | 36 | ||||||
FNMA Connecticut Avenue Securities, Ser 2015-C02, Cl 1M2 | ||||||||
8.845%, ICE LIBOR USD 1 Month + 4.000%, 05/25/2025(B) | 137 | 141 | ||||||
FNMA Connecticut Avenue Securities, Ser 2015-C03, Cl 1M2 | ||||||||
9.845%, ICE LIBOR USD 1 Month + 5.000%, 07/25/2025(B) | 135 | 141 | ||||||
FNMA Connecticut Avenue Securities, Ser 2015-C04, Cl 1M2 | ||||||||
10.545%, ICE LIBOR USD 1 Month + 5.700%, 04/25/2028(B) | 95 | 102 | ||||||
FNMA Connecticut Avenue Securities, Ser 2017-C04, Cl 2M2 | ||||||||
7.695%, ICE LIBOR USD 1 Month + 2.850%, 11/25/2029(B) | 431 | 438 | ||||||
FNMA Connecticut Avenue Securities, Ser 2021-R02, Cl 2M2 | ||||||||
6.560%, SOFR30A + 2.000%, 11/25/2041(B)(C) | 469 | 435 | ||||||
GS Mortgage Securities Trust, Ser 2011-GC5, Cl D | ||||||||
5.156%, 08/10/2044(B)(C) | 13 | 5 | ||||||
GS Mortgage Securities Trust, Ser 2014-GC18, Cl D | ||||||||
5.056%, 01/10/2047(B)(C) | 272 | 88 | ||||||
GS Mortgage Securities Trust, Ser 2021-1, Cl A-1 | ||||||||
2.638%, 08/17/2026 | 26 | 24 | ||||||
2.435%, 08/17/2026 | 769 | 727 | ||||||
1.433%, 08/17/2026 | 297 | 279 | ||||||
HomeBanc Mortgage Trust, Ser 2005-1, Cl A1 | ||||||||
5.345%, ICE LIBOR USD 1 Month + 0.500%, 03/25/2035(B) | 54 | 45 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C22, Cl XA, IO | ||||||||
0.798%, 09/15/2047(B) | 15,749 | 116 |
280
SEI Institutional Managed Trust
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
JPMorgan Chase Bank, Ser 2019-CL1, Cl M3 | ||||||||
6.945%, ICE LIBOR USD 1 Month + 2.100%, 04/25/2047(B)(C) | $ | 89 | $ | 84 | ||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C6, Cl AJ | ||||||||
5.452%, 09/15/2039(B) | 125 | 52 | ||||||
LSTAR Commercial Mortgage Trust, Ser 2016-4, Cl A2 | ||||||||
2.579%, 03/10/2049(C) | 207 | 207 | ||||||
Natixis Commercial Mortgage Securities Trust, Ser 2019-MILE, Cl A | ||||||||
6.407%, TSFR1M + 1.579%, 07/15/2036(B)(C) | 313 | 301 | ||||||
PMT Credit Risk Transfer Trust, Ser 2019-2R, Cl A | ||||||||
7.602%, ICE LIBOR USD 1 Month + 2.750%, 05/27/2023(B)(C) | 285 | 278 | ||||||
PMT Credit Risk Transfer Trust, Ser 2019-3R, Cl A | ||||||||
8.552%, ICE LIBOR USD 1 Month + 3.700%, 11/27/2031(B)(C) | 33 | 32 | ||||||
PMT Credit Risk Transfer Trust, Ser 2020-1R, Cl A | ||||||||
8.202%, ICE LIBOR USD 1 Month + 2.350%, 02/27/2023(B)(C) | 113 | 108 | ||||||
Radnor RE, Ser 2019-1, Cl M1B | ||||||||
6.795%, ICE LIBOR USD 1 Month + 1.950%, 02/25/2029(B)(C) | 423 | 424 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2016-NXS6, Cl C | ||||||||
4.387%, 11/15/2049(B) | 925 | 803 | ||||||
Wells Fargo Credit Risk Transfer Securities Trust, Ser 2015-WF1, Cl 2M2 | ||||||||
10.345%, ICE LIBOR USD 1 Month + 5.500%, 11/25/2025(B)(C) | 35 | 26 | ||||||
Wells Fargo Credit Risk Transfer Securities Trust, Ser 2015-WF1, Cl 1M2 | ||||||||
10.095%, ICE LIBOR USD 1 Month + 5.250%, 11/25/2025(B)(C) | 150 | 110 | ||||||
25,462 | ||||||||
Total Mortgage-Backed Securities | ||||||||
(Cost $30,658) ($ Thousands) | 28,429 | |||||||
Description | Face Amount | Market Value | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.8% | ||||||||
FFCB ^ | ||||||||
5.210%, U.S. SOFR + 0.380%, 05/08/2023 (B) | $ | 2,000 | $ | 2,001 | ||||
5.000%, U.S. SOFR + 0.170%, 01/23/2025 (B) | 2,100 | 2,103 | ||||||
4.965%, U.S. SOFR + 0.135%, 11/06/2023 (B) | 2,000 | 2,001 | ||||||
4.870%, U.S. SOFR + 0.040%, 05/15/2024 (B) | 300 | 300 | ||||||
4.855%, U.S. SOFR + 0.025%, 09/27/2023 (B) | 600 | 600 | ||||||
0.300%, 09/01/2023 | 300 | 294 | ||||||
FHLB ^ | ||||||||
4.870%, U.S. SOFR + 0.040%, 06/16/2023 (B) | 2,100 | 2,100 | ||||||
0.620%, 02/26/2026 | 200 | 181 | ||||||
FHLB DN ^ | ||||||||
4.910%, 02/02/2024 (A) | 800 | 770 | ||||||
FHLMC ^ | ||||||||
5.150%, 01/27/2026 | 1,200 | 1,195 | ||||||
4.200%, 08/28/2025 | 700 | 692 | ||||||
0.400%, 05/24/2024 | 400 | 381 | ||||||
0.375%, 05/05/2023 | 1,000 | 996 | ||||||
FNMA ^ | ||||||||
5.060%, 02/07/2025 | 700 | 697 | ||||||
3.875%, 08/28/2024 | 800 | 790 | ||||||
0.625%, 04/22/2025 | 1,300 | 1,209 | ||||||
0.500%, 06/17/2025 | 1,500 | 1,386 | ||||||
0.375%, 06/14/2024 | 700 | 665 | ||||||
0.250%, 05/22/2023 | 1,500 | 1,491 | ||||||
0.250%, 07/10/2023 | 1,100 | 1,087 | ||||||
0.250%, 11/27/2023 | 100 | 97 | ||||||
Total U.S. Government Agency Obligations | ||||||||
(Cost $21,365) ($ Thousands) | 21,036 | |||||||
MUNICIPAL BONDS — 0.2% | ||||||||
New York — 0.2% | ||||||||
New York & New Jersey, Port Authority, Ser AAA, RB | ||||||||
1.086%, 07/01/2023 | 515 | 510 | ||||||
New York City, Ser D, GO | ||||||||
1.923%, 08/01/2031 | 535 | 438 | ||||||
948 | ||||||||
SEI Institutional Managed Trust
281
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Inflation Managed Fund (Continued)
Description | Face Amount | Market Value | ||||||
MUNICIPAL BONDS (continued) | ||||||||
West Virginia — 0.0% | ||||||||
Tobacco Settlement Finance Authority, RB | ||||||||
3.000%, 06/01/2035 | $ | 217 | $ | 217 | ||||
Total Municipal Bonds | ||||||||
(Cost $1,268) ($ Thousands) | 1,165 | |||||||
SOVEREIGN DEBT — 0.1% | ||||||||
Colombia Government International Bond | ||||||||
3.125%, 04/15/2031 | 225 | 171 | ||||||
Dominican Republic International Bond | ||||||||
4.875%, 09/23/2032(C) | 923 | 783 | ||||||
Total Sovereign Debt | ||||||||
(Cost $1,147) ($ Thousands) | 954 | |||||||
Number of Rights | ||||||||
RIGHTS — 0.0% | ||||||||
Abiomed Inc *‡‡ | 408 | – | ||||||
Total Rights | ||||||||
(Cost $—) ($ Thousands) | – | |||||||
PURCHASED OPTIONS — 0.0% | ||||||||
Total Purchased Options ^ | ||||||||
(Cost $98) ($ Thousands) | 71 | |||||||
Total Investments in Securities — 115.3% | ||||||||
(Cost $773,896) ($ Thousands) | $ | 856,569 | ||||||
| ||||||||
COMMON STOCK SOLD SHORT— (13.7)% | ||||||||
Communication Services — (0.6)% | ||||||||
Cable One Inc | (77 | ) | (54 | ) | ||||
Charter Communications Inc, Cl A * | (1,369 | ) | (490 | ) | ||||
Comcast Corp, Cl A | (56,748 | ) | (2,151 | ) | ||||
DISH Network Corp, Cl A * | (3,334 | ) | (31 | ) | ||||
Fox Corp, Cl A | (3,581 | ) | (122 | ) | ||||
Fox Corp, Cl B | (1,800 | ) | (57 | ) | ||||
Interpublic Group of Cos Inc/The | (4,754 | ) | (177 | ) | ||||
John Wiley & Sons Inc, Cl A | (500 | ) | (20 | ) | ||||
Liberty Broadband Corp, Cl C * | (1,382 | ) | (113 | ) | ||||
Liberty Media Corp-Liberty SiriusXM * | (2,894 | ) | (81 | ) | ||||
New York Times Co/The, Cl A | (2,012 | ) | (78 | ) | ||||
News Corp, Cl A | (4,867 | ) | (84 | ) | ||||
News Corp, Cl B | (1,900 | ) | (33 | ) | ||||
Nexstar Media Group Inc, Cl A | (432 | ) | (75 | ) | ||||
Omnicom Group Inc | (2,524 | ) | (238 | ) | ||||
Paramount Global, Cl B | (6,775 | ) | (151 | ) | ||||
Scholastic Corp, Cl B | (500 | ) | (17 | ) |
Description | Shares | Market Value | ||||||
COMMON STOCK SOLD SHORT (continued) | ||||||||
TEGNA Inc | (2,800 | ) | $ | (47 | ) | |||
Trade Desk Inc/The, Cl A * | (5,356 | ) | (326 | ) | ||||
(4,345 | ) | |||||||
Consumer Discretionary — (8.8)% | ||||||||
Academy Sports & Outdoors Inc | (1,020 | ) | (67 | ) | ||||
Acushnet Holdings Corp | (1,580 | ) | (81 | ) | ||||
Adient PLC * | (4,611 | ) | (189 | ) | ||||
ADT Inc | (3,144 | ) | (23 | ) | ||||
Adtalem Global Education Inc * | (700 | ) | (27 | ) | ||||
Advance Auto Parts Inc | (596 | ) | (72 | ) | ||||
Airbnb Inc, Cl A * | (6,601 | ) | (821 | ) | ||||
Amazon.com Inc, Cl A * | (58,371 | ) | (6,029 | ) | ||||
American Axle & Manufacturing Holdings Inc * | (5,830 | ) | (46 | ) | ||||
American Eagle Outfitters Inc | (1,400 | ) | (19 | ) | ||||
Aptiv PLC * | (13,329 | ) | (1,495 | ) | ||||
Aramark | (4,473 | ) | (160 | ) | ||||
Arko Corp | (2,900 | ) | (25 | ) | ||||
Asbury Automotive Group Inc * | (191 | ) | (40 | ) | ||||
AutoNation Inc * | (426 | ) | (57 | ) | ||||
AutoZone Inc * | (177 | ) | (435 | ) | ||||
Bath & Body Works Inc | (2,317 | ) | (85 | ) | ||||
Best Buy Co Inc | (1,735 | ) | (136 | ) | ||||
Bloomin' Brands Inc | (1,599 | ) | (41 | ) | ||||
Booking Holdings Inc * | (695 | ) | (1,843 | ) | ||||
Boot Barn Holdings Inc * | (510 | ) | (39 | ) | ||||
BorgWarner Inc | (12,357 | ) | (607 | ) | ||||
Boyd Gaming Corp | (1,309 | ) | (84 | ) | ||||
Bright Horizons Family Solutions Inc * | (983 | ) | (76 | ) | ||||
Brinker International Inc * | (700 | ) | (27 | ) | ||||
Brunswick Corp/DE | (2,762 | ) | (227 | ) | ||||
Burlington Stores Inc * | (603 | ) | (122 | ) | ||||
Caesars Entertainment Inc * | (3,556 | ) | (174 | ) | ||||
Capri Holdings Ltd * | (4,182 | ) | (197 | ) | ||||
CarMax Inc * | (1,336 | ) | (86 | ) | ||||
Carnival Corp * | (16,256 | ) | (165 | ) | ||||
Carter's Inc | (1,383 | ) | (99 | ) | ||||
Cavco Industries Inc * | (385 | ) | (122 | ) | ||||
Century Communities Inc | (870 | ) | (56 | ) | ||||
Cheesecake Factory Inc/The | (862 | ) | (30 | ) | ||||
Chegg Inc * | (2,279 | ) | (37 | ) | ||||
Chipotle Mexican Grill Inc, Cl A * | (501 | ) | (856 | ) | ||||
Choice Hotels International Inc | (500 | ) | (59 | ) | ||||
Churchill Downs Inc | (726 | ) | (187 | ) | ||||
Columbia Sportswear Co | (1,529 | ) | (138 | ) | ||||
Coursera Inc * | (1,500 | ) | (17 | ) | ||||
Cracker Barrel Old Country Store Inc | (430 | ) | (49 | ) | ||||
Crocs Inc * | (1,956 | ) | (247 | ) | ||||
Dana Inc | (6,359 | ) | (96 | ) | ||||
Darden Restaurants Inc | (2,183 | ) | (339 | ) | ||||
Dave & Buster's Entertainment Inc * | (846 | ) | (31 | ) |
282
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK SOLD SHORT (continued) | ||||||||
Deckers Outdoor Corp * | (933 | ) | $ | (419 | ) | |||
Dick's Sporting Goods Inc | (510 | ) | (72 | ) | ||||
Domino's Pizza Inc | (637 | ) | (210 | ) | ||||
DoorDash Inc, Cl A * | (2,103 | ) | (134 | ) | ||||
Dorman Products Inc * | (1,463 | ) | (126 | ) | ||||
DR Horton Inc | (10,629 | ) | (1,038 | ) | ||||
DraftKings Inc, Cl A * | (6,360 | ) | (123 | ) | ||||
Duolingo Inc, Cl A * | (400 | ) | (57 | ) | ||||
eBay Inc | (4,805 | ) | (213 | ) | ||||
Etsy Inc * | (1,115 | ) | (124 | ) | ||||
Everi Holdings Inc * | (1,619 | ) | (28 | ) | ||||
Expedia Group Inc * | (2,723 | ) | (264 | ) | ||||
Fisker * | (4,163 | ) | (26 | ) | ||||
Five Below Inc * | (377 | ) | (78 | ) | ||||
Floor & Decor Holdings Inc, Cl A * | (1,007 | ) | (99 | ) | ||||
Foot Locker Inc, Cl A | (932 | ) | (37 | ) | ||||
Ford Motor Co | (190,686 | ) | (2,403 | ) | ||||
Fox Factory Holding Corp * | (1,982 | ) | (241 | ) | ||||
Frontdoor Inc * | (1,057 | ) | (29 | ) | ||||
GameStop Corp, Cl A * | (1,352 | ) | (31 | ) | ||||
Gap Inc/The | (1,926 | ) | (19 | ) | ||||
Garmin Ltd | (5,532 | ) | (558 | ) | ||||
General Motors Co | (69,434 | ) | (2,547 | ) | ||||
Gentex Corp | (12,518 | ) | (351 | ) | ||||
Gentherm Inc * | (1,785 | ) | (108 | ) | ||||
Genuine Parts Co | (1,433 | ) | (240 | ) | ||||
Goodyear Tire & Rubber Co/The * | (13,558 | ) | (149 | ) | ||||
GoPro Inc, Cl A * | (5,071 | ) | (26 | ) | ||||
Graham Holdings Co, Cl B | (100 | ) | (60 | ) | ||||
Grand Canyon Education Inc * | (372 | ) | (42 | ) | ||||
Group 1 Automotive Inc | (255 | ) | (58 | ) | ||||
H&R Block Inc | (2,697 | ) | (95 | ) | ||||
Hanesbrands Inc | (11,171 | ) | (59 | ) | ||||
Harley-Davidson Inc, Cl A | (7,171 | ) | (272 | ) | ||||
Hasbro Inc | (4,925 | ) | (264 | ) | ||||
Helen of Troy Ltd * | (768 | ) | (73 | ) | ||||
Hilton Grand Vacations Inc * | (1,454 | ) | (65 | ) | ||||
Hilton Worldwide Holdings Inc | (4,886 | ) | (688 | ) | ||||
Home Depot Inc/The | (9,629 | ) | (2,842 | ) | ||||
Hyatt Hotels Corp, Cl A * | (656 | ) | (73 | ) | ||||
Installed Building Products Inc | (904 | ) | (103 | ) | ||||
International Game Technology PLC | (1,433 | ) | (38 | ) | ||||
iRobot * | (794 | ) | (35 | ) | ||||
Jack in the Box Inc | (527 | ) | (46 | ) | ||||
KB Home | (2,964 | ) | (119 | ) | ||||
Kohl's Corp | (1,089 | ) | (26 | ) | ||||
Kontoor Brands Inc | (2,016 | ) | (98 | ) | ||||
Las Vegas Sands Corp * | (6,145 | ) | (353 | ) | ||||
Laureate Education Inc, Cl A | (2,200 | ) | (26 | ) | ||||
La-Z-Boy Inc, Cl Z | (1,511 | ) | (44 | ) | ||||
LCI Industries | (1,364 | ) | (150 | ) | ||||
Lear Corp | (2,970 | ) | (414 | ) |
Description | Shares | Market Value | ||||||
COMMON STOCK SOLD SHORT (continued) | ||||||||
Leggett & Platt Inc | (5,074 | ) | $ | (162 | ) | |||
Lennar Corp, Cl A | (8,613 | ) | (905 | ) | ||||
Lennar Corp, Cl B | (509 | ) | (45 | ) | ||||
LGI Homes Inc * | (648 | ) | (74 | ) | ||||
Light & Wonder Inc, Cl A * | (1,537 | ) | (92 | ) | ||||
Lithia Motors Inc, Cl A | (235 | ) | (54 | ) | ||||
LKQ Corp | (2,389 | ) | (136 | ) | ||||
Lowe's Cos Inc | (5,905 | ) | (1,181 | ) | ||||
Lucid Group Inc * | (26,163 | ) | (210 | ) | ||||
Lululemon Athletica Inc * | (3,849 | ) | (1,402 | ) | ||||
Luminar Technologies, Cl A * | (11,149 | ) | (72 | ) | ||||
M/I Homes Inc * | (1,127 | ) | (71 | ) | ||||
Macy's Inc | (1,909 | ) | (33 | ) | ||||
Malibu Boats Inc, Cl A * | (690 | ) | (39 | ) | ||||
Marriott International Inc/MD, Cl A | (4,971 | ) | (825 | ) | ||||
Marriott Vacations Worldwide Corp | (797 | ) | (107 | ) | ||||
Mattel Inc * | (12,331 | ) | (227 | ) | ||||
McDonald's Corp | (13,567 | ) | (3,793 | ) | ||||
MDC Holdings Inc | (1,916 | ) | (74 | ) | ||||
Meritage Homes Corp | (1,254 | ) | (146 | ) | ||||
MGM Resorts International | (5,720 | ) | (254 | ) | ||||
Modine Manufacturing Co * | (3,299 | ) | (76 | ) | ||||
Mohawk Industries Inc * | (1,906 | ) | (191 | ) | ||||
Movado Group Inc | (761 | ) | (22 | ) | ||||
Murphy USA Inc | (152 | ) | (39 | ) | ||||
Newell Brands Inc, Cl B | (12,546 | ) | (156 | ) | ||||
NIKE Inc, Cl B | (41,446 | ) | (5,083 | ) | ||||
Nordstrom Inc | (1,164 | ) | (19 | ) | ||||
Norwegian Cruise Line Holdings Ltd * | (6,832 | ) | (92 | ) | ||||
NVR Inc * | (105 | ) | (585 | ) | ||||
Ollie's Bargain Outlet Holdings Inc * | (500 | ) | (29 | ) | ||||
O'Reilly Automotive Inc * | (564 | ) | (479 | ) | ||||
Oxford Industries Inc, Cl A | (626 | ) | (66 | ) | ||||
Papa John's International Inc, Cl A | (458 | ) | (34 | ) | ||||
Patrick Industries Inc | (1,525 | ) | (105 | ) | ||||
Peloton Interactive Inc, Cl A * | (10,403 | ) | (118 | ) | ||||
Penn Entertainment Inc * | (2,595 | ) | (77 | ) | ||||
Planet Fitness Inc, Cl A * | (1,316 | ) | (102 | ) | ||||
Polaris Inc | (1,813 | ) | (201 | ) | ||||
Pool Corp | (409 | ) | (140 | ) | ||||
PulteGroup Inc | (7,515 | ) | (438 | ) | ||||
PVH Corp | (2,140 | ) | (191 | ) | ||||
QuantumScape Corp, Cl A * | (12,222 | ) | (100 | ) | ||||
Ralph Lauren Corp, Cl A | (1,513 | ) | (177 | ) | ||||
Red Rock Resorts Inc, Cl A | (935 | ) | (42 | ) | ||||
RH * | (141 | ) | (34 | ) | ||||
Rivian Automotive Inc, Cl A * | (24,162 | ) | (374 | ) | ||||
Ross Stores Inc | (3,090 | ) | (328 | ) | ||||
Royal Caribbean Cruises Ltd * | (3,880 | ) | (253 | ) | ||||
SeaWorld Entertainment Inc * | (680 | ) | (42 | ) | ||||
Service Corp International/US | (2,714 | ) | (187 | ) | ||||
Shake Shack Inc, Cl A * | (946 | ) | (53 | ) |
SEI Institutional Managed Trust
283
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Inflation Managed Fund (Continued)
Description | Shares | Market Value | ||||||
COMMON STOCK SOLD SHORT (continued) | ||||||||
Signet Jewelers Ltd | (509 | ) | $ | (40 | ) | |||
Six Flags Entertainment Corp * | (678 | ) | (18 | ) | ||||
Skechers USA Inc, Cl A * | (4,759 | ) | (226 | ) | ||||
Skyline Champion Corp * | (1,684 | ) | (127 | ) | ||||
Solid Power * | (9,100 | ) | (27 | ) | ||||
Sonos Inc * | (4,222 | ) | (83 | ) | ||||
Standard Motor Products Inc | (916 | ) | (34 | ) | ||||
Starbucks Corp | (20,560 | ) | (2,141 | ) | ||||
Steven Madden Ltd | (2,833 | ) | (102 | ) | ||||
Stoneridge Inc * | (2,148 | ) | (40 | ) | ||||
Strategic Education Inc | (400 | ) | (36 | ) | ||||
Stride Inc * | (600 | ) | (24 | ) | ||||
Sturm Ruger & Co Inc | (700 | ) | (40 | ) | ||||
Sweetgreen, Cl A * | (2,406 | ) | (19 | ) | ||||
Tapestry Inc | (8,215 | ) | (354 | ) | ||||
Taylor Morrison Home Corp, Cl A * | (4,009 | ) | (153 | ) | ||||
Tempur Sealy International Inc | (5,955 | ) | (235 | ) | ||||
Tesla Inc * | (26,758 | ) | (5,551 | ) | ||||
Texas Roadhouse Inc, Cl A | (1,448 | ) | (156 | ) | ||||
Thor Industries Inc | (2,648 | ) | (211 | ) | ||||
TJX Cos Inc/The | (10,663 | ) | (836 | ) | ||||
Toll Brothers Inc | (3,518 | ) | (211 | ) | ||||
TopBuild Corp * | (1,062 | ) | (221 | ) | ||||
Topgolf Callaway Brands Corp * | (4,394 | ) | (95 | ) | ||||
Tractor Supply Co | (979 | ) | (230 | ) | ||||
Travel + Leisure Co | (2,000 | ) | (78 | ) | ||||
Tri Pointe Homes Inc * | (3,902 | ) | (99 | ) | ||||
Ulta Beauty Inc * | (431 | ) | (235 | ) | ||||
Under Armour Inc, Cl A * | (6,229 | ) | (59 | ) | ||||
Under Armour Inc, Cl C * | (6,519 | ) | (56 | ) | ||||
Urban Outfitters Inc * | (900 | ) | (25 | ) | ||||
Vail Resorts Inc | (853 | ) | (199 | ) | ||||
VF Corp | (11,336 | ) | (260 | ) | ||||
Victoria's Secret & Co * | (700 | ) | (24 | ) | ||||
Vista Outdoor Inc * | (1,776 | ) | (49 | ) | ||||
Visteon Corp * | (1,407 | ) | (221 | ) | ||||
Vizio Holding, Cl A * | (4,183 | ) | (38 | ) | ||||
Wayfair Inc, Cl A * | (500 | ) | (17 | ) | ||||
Wendy's Co/The | (2,995 | ) | (65 | ) | ||||
Whirlpool Corp | (1,887 | ) | (249 | ) | ||||
Williams-Sonoma Inc | (606 | ) | (74 | ) | ||||
Wingstop Inc, Cl A | (503 | ) | (92 | ) | ||||
Winnebago Industries Inc | (1,703 | ) | (98 | ) | ||||
Wolverine World Wide Inc | (2,109 | ) | (36 | ) | ||||
Wyndham Hotels & Resorts Inc | (1,327 | ) | (90 | ) | ||||
Wynn Resorts Ltd * | (1,848 | ) | (207 | ) | ||||
XPEL Inc * | (1,098 | ) | (75 | ) | ||||
YETI Holdings Inc * | (3,128 | ) | (125 | ) | ||||
Yum! Brands Inc | (5,258 | ) | (694 | ) | ||||
(65,761 | ) | |||||||
Description | Shares | Market Value | ||||||
COMMON STOCK SOLD SHORT (continued) | ||||||||
Consumer Staples — (0.2)% | ||||||||
Dollar General Corp | (2,017 | ) | $ | (425 | ) | |||
Dollar Tree Inc * | (1,828 | ) | (262 | ) | ||||
Target Corp, Cl A | (4,198 | ) | (695 | ) | ||||
(1,382 | ) | |||||||
Information Technology — (2.6)% | ||||||||
Advanced Micro Devices Inc * | (7,306 | ) | (716 | ) | ||||
Amphenol Corp, Cl A | (2,336 | ) | (191 | ) | ||||
Analog Devices Inc | (2,407 | ) | (475 | ) | ||||
Apple Inc | (37,412 | ) | (6,169 | ) | ||||
Applied Materials Inc | (3,766 | ) | (463 | ) | ||||
Arista Networks Inc * | (1,163 | ) | (195 | ) | ||||
Arrow Electronics Inc, Cl A * | (409 | ) | (51 | ) | ||||
Avnet Inc | (1,097 | ) | (50 | ) | ||||
Broadcom Inc | (1,882 | ) | (1,207 | ) | ||||
CDW Corp/DE | (689 | ) | (134 | ) | ||||
Ciena Corp * | (850 | ) | (45 | ) | ||||
Cisco Systems Inc | (19,730 | ) | (1,031 | ) | ||||
Cognex Corp | (822 | ) | (41 | ) | ||||
Coherent Corp * | (590 | ) | (22 | ) | ||||
Corning Inc, Cl B | (3,316 | ) | (117 | ) | ||||
Dell Technologies Inc, Cl C | (1,100 | ) | (44 | ) | ||||
Diodes Inc * | (301 | ) | (28 | ) | ||||
Enphase Energy Inc * | (622 | ) | (131 | ) | ||||
Entegris Inc | (634 | ) | (52 | ) | ||||
F5 Inc, Cl A * | (200 | ) | (29 | ) | ||||
First Solar Inc * | (510 | ) | (111 | ) | ||||
GLOBALFOUNDRIES Inc * | (360 | ) | (26 | ) | ||||
Hewlett Packard Enterprise Co | (5,269 | ) | (84 | ) | ||||
HP Inc | (4,682 | ) | (137 | ) | ||||
Intel Corp | (18,342 | ) | (599 | ) | ||||
Jabil Inc | (620 | ) | (55 | ) | ||||
Juniper Networks Inc | (749 | ) | (26 | ) | ||||
Keysight Technologies Inc * | (941 | ) | (152 | ) | ||||
KLA Corp | (704 | ) | (281 | ) | ||||
Lam Research Corp | (643 | ) | (341 | ) | ||||
Lattice Semiconductor Corp * | (766 | ) | (73 | ) | ||||
Lumentum Holdings Inc * | (426 | ) | (23 | ) | ||||
Marvell Technology Inc | (3,894 | ) | (169 | ) | ||||
Microchip Technology Inc | (2,411 | ) | (202 | ) | ||||
Micron Technology Inc | (4,794 | ) | (289 | ) | ||||
MKS Instruments Inc | (405 | ) | (36 | ) | ||||
Monolithic Power Systems Inc | (242 | ) | (121 | ) | ||||
Motorola Solutions Inc | (842 | ) | (241 | ) | ||||
NetApp Inc | (770 | ) | (49 | ) | ||||
NVIDIA Corp | (10,688 | ) | (2,969 | ) | ||||
ON Semiconductor Corp * | (2,268 | ) | (187 | ) | ||||
Onto Innovation Inc * | (287 | ) | (25 | ) | ||||
Pure Storage Inc, Cl A * | (921 | ) | (23 | ) | ||||
Qorvo Inc * | (392 | ) | (40 | ) | ||||
QUALCOMM Inc | (5,149 | ) | (657 | ) |
284
SEI Institutional Managed Trust
Description | Shares | Market Value | ||||||
COMMON STOCK SOLD SHORT (continued) | ||||||||
Rambus Inc * | (690 | ) | $ | (35 | ) | |||
Skyworks Solutions Inc | (915 | ) | (108 | ) | ||||
Synaptics Inc * | (100 | ) | (11 | ) | ||||
Teledyne Technologies Inc * | (200 | ) | (89 | ) | ||||
Teradyne Inc | (593 | ) | (64 | ) | ||||
Texas Instruments Inc | (4,508 | ) | (839 | ) | ||||
Trimble Inc * | (1,527 | ) | (80 | ) | ||||
Universal Display Corp | (326 | ) | (51 | ) | ||||
Western Digital Corp * | (1,240 | ) | (47 | ) | ||||
Wolfspeed Inc * | (509 | ) | (33 | ) | ||||
Zebra Technologies Corp, Cl A * | (209 | ) | (66 | ) | ||||
(19,530 | ) | |||||||
Materials — (1.5)% | ||||||||
Air Products and Chemicals Inc | (2,090 | ) | (600 | ) | ||||
Albemarle Corp | (1,085 | ) | (240 | ) | ||||
Alcoa Corp | (1,442 | ) | (61 | ) | ||||
Alpha Metallurgical Resources Inc | (344 | ) | (54 | ) | ||||
Amcor PLC | (13,039 | ) | (148 | ) | ||||
AptarGroup Inc | (256 | ) | (30 | ) | ||||
Arconic * | (1,430 | ) | (38 | ) | ||||
Ashland Inc | (500 | ) | (51 | ) | ||||
ATI Inc * | (1,164 | ) | (46 | ) | ||||
Avery Dennison Corp | (780 | ) | (140 | ) | ||||
Avient Corp | (1,021 | ) | (42 | ) | ||||
Axalta Coating Systems Ltd * | (1,949 | ) | (59 | ) | ||||
Balchem Corp | (300 | ) | (38 | ) | ||||
Ball Corp | (3,128 | ) | (172 | ) | ||||
Berry Global Group Inc | (1,680 | ) | (99 | ) | ||||
Celanese Corp, Cl A | (1,051 | ) | (114 | ) | ||||
CF Industries Holdings Inc | (1,822 | ) | (132 | ) | ||||
Chemours Co/The | (1,758 | ) | (53 | ) | ||||
Cleveland-Cliffs Inc * | (4,911 | ) | (90 | ) | ||||
Commercial Metals Co, Cl A | (1,132 | ) | (55 | ) | ||||
Constellium, Cl A * | (2,351 | ) | (36 | ) | ||||
Corteva Inc | (6,740 | ) | (406 | ) | ||||
Crown Holdings Inc | (865 | ) | (72 | ) | ||||
Dow Inc | (6,678 | ) | (366 | ) | ||||
DuPont de Nemours Inc | (4,972 | ) | (357 | ) | ||||
Eagle Materials Inc | (326 | ) | (48 | ) | ||||
Eastman Chemical Co | (1,152 | ) | (97 | ) | ||||
Ecolab Inc | (2,322 | ) | (384 | ) | ||||
Element Solutions Inc | (3,224 | ) | (62 | ) | ||||
FMC Corp | (1,106 | ) | (135 | ) | ||||
Freeport-McMoRan Inc, Cl B | (13,735 | ) | (562 | ) | ||||
Ginkgo Bioworks Holdings Inc * | (12,300 | ) | (16 | ) | ||||
Graphic Packaging Holding Co | (2,637 | ) | (67 | ) | ||||
HB Fuller Co | (759 | ) | (52 | ) | ||||
Hecla Mining Co | (8,432 | ) | (53 | ) | ||||
Huntsman Corp | (1,766 | ) | (48 | ) | ||||
Ingevity Corp * | (601 | ) | (43 | ) | ||||
International Flavors & Fragrances Inc | (2,328 | ) | (214 | ) |
Description | Shares | Market Value | ||||||
COMMON STOCK SOLD SHORT (continued) | ||||||||
International Paper Co | (2,607 | ) | $ | (94 | ) | |||
Linde PLC | (4,818 | ) | (1,713 | ) | ||||
Livent Corp * | (1,786 | ) | (39 | ) | ||||
Louisiana-Pacific Corp | (529 | ) | (29 | ) | ||||
LyondellBasell Industries NV, Cl A | (2,600 | ) | (244 | ) | ||||
Martin Marietta Materials Inc, Cl A | (663 | ) | (235 | ) | ||||
Mosaic Co/The | (3,516 | ) | (161 | ) | ||||
MP Materials Corp * | (700 | ) | (20 | ) | ||||
Newmont Corp | (7,709 | ) | (378 | ) | ||||
Nucor Corp | (2,517 | ) | (389 | ) | ||||
O-I Glass Inc, Cl I * | (2,636 | ) | (60 | ) | ||||
Olin Corp | (890 | ) | (49 | ) | ||||
Packaging Corp of America | (811 | ) | (113 | ) | ||||
PPG Industries Inc | (2,103 | ) | (281 | ) | ||||
Quaker Chemical Corp | (258 | ) | (51 | ) | ||||
Reliance Steel & Aluminum Co | (504 | ) | (129 | ) | ||||
Royal Gold Inc, Cl A | (679 | ) | (88 | ) | ||||
RPM International Inc | (1,188 | ) | (104 | ) | ||||
Sealed Air Corp | (1,287 | ) | (59 | ) | ||||
Sherwin-Williams Co/The, Cl A | (2,236 | ) | (503 | ) | ||||
Silgan Holdings Inc | (1,000 | ) | (54 | ) | ||||
Sonoco Products Co | (900 | ) | (55 | ) | ||||
Southern Copper Corp | (995 | ) | (76 | ) | ||||
SSR Mining Inc | (1,700 | ) | (26 | ) | ||||
Steel Dynamics Inc | (1,598 | ) | (181 | ) | ||||
Stepan Co | (430 | ) | (44 | ) | ||||
Summit Materials Inc, Cl A * | (1,197 | ) | (34 | ) | ||||
Tronox Holdings | (2,026 | ) | (29 | ) | ||||
United States Steel Corp | (2,329 | ) | (61 | ) | ||||
Valvoline Inc | (1,244 | ) | (43 | ) | ||||
Vulcan Materials Co | (1,140 | ) | (196 | ) | ||||
Westlake Corp | (410 | ) | (48 | ) | ||||
Westrock Co | (1,773 | ) | (54 | ) | ||||
(10,920 | ) | |||||||
Total Common Stock Sold Short | ||||||||
(Proceeds $110,467) ($ Thousands) | (101,938 | ) | ||||||
Total Investments Sold Short — (13.7)% | ||||||||
(Proceeds $110,467) ($ Thousands) | $ | (101,938 | ) | |||||
WRITTEN OPTIONS — (0.0)% | ||||||||
Total Written Options ^ | ||||||||
(Premiums Received $49) ($ Thousands) | $ | (36 | ) | |||||
SEI Institutional Managed Trust
285
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Inflation Managed Fund (Continued)
A list of open exchange traded options contracts for the Fund at March 31, 2023, is as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||
PURCHASED OPTIONS — 0.0% | ||||||||||||||||||||
Put Options ^ | ||||||||||||||||||||
June 2023, Crude Oil Future | 92 | $ | 6,974 | $ | 60.00 | 5/20/2023 | $ | 47 | ||||||||||||
May 2023, HG Copper Future | 33 | 3,378 | 390.00 | 4/22/2023 | 22 | |||||||||||||||
May 2023, HG Copper Future | 33 | 3,378 | 350.00 | 4/22/2023 | 2 | |||||||||||||||
Total Purchased Options | $ | 13,730 | $ | 71 | ||||||||||||||||
WRITTEN OPTIONS — 0.0% | ||||||||||||||||||||
Put Options ^ | ||||||||||||||||||||
June 2023, Crude Oil Future | (92 | ) | $ | (6,974 | ) | 55.00 | 05/20/2023 | $ | (25 | ) | ||||||||||
May 2023, HG Copper Future | (66 | ) | (6,756 | ) | 370.00 | 04/22/2023 | (11 | ) | ||||||||||||
Total Written Options | $ | (13,730 | ) | $ | (36 | ) | ||||||||||||||
A list of the open futures contracts held by the Fund at March 31, 2023, is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Brent Crude^ | 21 | Jul-2023 | $ | 1,614 | $ | 1,661 | $ | 47 | ||||||||||||
Brent Crude^ | 48 | May-2023 | 3,608 | 3,827 | 219 | |||||||||||||||
Brent Crude^ | 25 | Sep-2023 | 2,037 | 1,958 | (79 | ) | ||||||||||||||
Brent Crude^ | 12 | Jul-2023 | 962 | 949 | (13 | ) | ||||||||||||||
Brent Crude^ | 14 | May-2023 | 1,168 | 1,116 | (52 | ) | ||||||||||||||
Brent Crude^ | 13 | Nov-2023 | 1,022 | 1,008 | (14 | ) | ||||||||||||||
Coffee C^ | 13 | Dec-2023 | 847 | 815 | (32 | ) | ||||||||||||||
Coffee C^ | 7 | Sep-2023 | 411 | 442 | 31 | |||||||||||||||
Coffee C^ | 17 | Jul-2023 | 1,067 | 1,082 | 15 | |||||||||||||||
Coffee C^ | 17 | May-2023 | 1,119 | 1,087 | (32 | ) | ||||||||||||||
Copper^ | 44 | May-2023 | 4,527 | 4,504 | (23 | ) | ||||||||||||||
Copper^ | 14 | Dec-2023 | 1,419 | 1,438 | 19 | |||||||||||||||
Copper^ | 7 | Sep-2023 | 736 | 719 | (17 | ) | ||||||||||||||
Copper^ | 9 | May-2023 | 902 | 921 | 19 | |||||||||||||||
Copper^ | 7 | Jul-2023 | 671 | 718 | 47 | |||||||||||||||
Corn^ | 24 | Jul-2023 | 790 | 763 | (27 | ) | ||||||||||||||
Corn^ | 142 | Jul-2023 | 4,456 | 4,516 | 60 | |||||||||||||||
Corn^ | 95 | May-2023 | 3,153 | 3,137 | (16 | ) | ||||||||||||||
Corn^ | 26 | Sep-2023 | 792 | 750 | (42 | ) | ||||||||||||||
Corn^ | 52 | Dec-2023 | 1,504 | 1,473 | (31 | ) | ||||||||||||||
Cotton No. 2^ | 10 | May-2023 | 423 | 414 | (9 | ) | ||||||||||||||
Cotton No. 2^ | 11 | Jul-2023 | 462 | 457 | (5 | ) | ||||||||||||||
Cotton No. 2^ | 14 | Dec-2023 | 577 | 584 | 7 | |||||||||||||||
Feeder Cattle^ | 10 | May-2023 | 1,000 | 1,026 | 26 | |||||||||||||||
Gasoline^ | 8 | Oct-2023 | 759 | 748 | (11 | ) | ||||||||||||||
Gasoline^ | 34 | Apr-2023 | 3,739 | 3,828 | 89 | |||||||||||||||
Gasoline^ | 3 | Aug-2023 | 311 | 310 | (1 | ) | ||||||||||||||
Gasoline^ | 32 | Jun-2023 | 3,403 | 3,459 | 56 | |||||||||||||||
Gold^ | 32 | Dec-2023 | 6,246 | 6,525 | 279 | |||||||||||||||
Gold^ | 25 | Jun-2023 | 4,568 | 4,965 | 397 | |||||||||||||||
Gold^ | 67 | Aug-2023 | 13,296 | 13,427 | 131 | |||||||||||||||
KC HRW Wheat^ | 12 | Dec-2023 | 502 | 515 | 13 | |||||||||||||||
KC HRW Wheat^ | 6 | Jul-2023 | 279 | 259 | (20 | ) |
286
SEI Institutional Managed Trust
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
KC HRW Wheat^ | 7 | May-2023 | $ | 308 | $ | 307 | $ | (1 | ) | |||||||||||
KC HRW Wheat^ | 6 | Sep-2023 | 247 | 257 | 10 | |||||||||||||||
KC HRW Wheat^ | 3 | Jul-2023 | 129 | 129 | – | |||||||||||||||
KC HRW Wheat^ | 16 | May-2023 | 642 | 702 | 60 | |||||||||||||||
Lean Hogs^ | 20 | Jul-2023 | 746 | 752 | 6 | |||||||||||||||
Lean Hogs^ | 10 | Jun-2023 | 403 | 367 | (36 | ) | ||||||||||||||
Lean Hogs^ | 47 | Jun-2023 | 1,719 | 1,723 | 4 | |||||||||||||||
Lean Hogs^ | 9 | Dec-2023 | 300 | 288 | (12 | ) | ||||||||||||||
Lean Hogs^ | 16 | Oct-2023 | 580 | 543 | (37 | ) | ||||||||||||||
Lean Hogs^ | 7 | Jul-2023 | 291 | 263 | (28 | ) | ||||||||||||||
Live Cattle^ | 68 | Jun-2023 | 4,355 | 4,410 | 55 | |||||||||||||||
Live Cattle^ | 7 | Aug-2023 | 439 | 452 | 13 | |||||||||||||||
Live Cattle^ | 14 | Oct-2023 | 910 | 926 | 16 | |||||||||||||||
Live Cattle^ | 7 | Dec-2023 | 471 | 477 | 6 | |||||||||||||||
LME Lead^ | 5 | Nov-2023 | 263 | 265 | 2 | |||||||||||||||
LME Lead^ | 2 | Sep-2023 | 107 | 106 | (1 | ) | ||||||||||||||
LME Lead^ | 2 | Jul-2023 | 104 | 106 | 2 | |||||||||||||||
LME Lead^ | 6 | May-2023 | 317 | 316 | (1 | ) | ||||||||||||||
LME Lead^ | 10 | Jun-2023 | 533 | 527 | (6 | ) | ||||||||||||||
LME Nickel^ | 2 | Sep-2023 | 329 | 289 | (40 | ) | ||||||||||||||
LME Nickel^ | 4 | Nov-2023 | 631 | 582 | (49 | ) | ||||||||||||||
LME Nickel^ | 2 | Jul-2023 | 341 | 287 | (54 | ) | ||||||||||||||
LME Nickel^ | 1 | May-2023 | 135 | 143 | 8 | |||||||||||||||
LME Primary Aluminum^ | 19 | Nov-2023 | 1,175 | 1,176 | 1 | |||||||||||||||
LME Primary Aluminum^ | 9 | Sep-2023 | 579 | 551 | (28 | ) | ||||||||||||||
LME Primary Aluminum^ | 5 | May-2023 | 307 | 299 | (8 | ) | ||||||||||||||
LME Primary Aluminum^ | 92 | Jun-2023 | 5,900 | 5,544 | (356 | ) | ||||||||||||||
LME Primary Aluminum^ | 9 | Jul-2023 | 536 | 545 | 9 | |||||||||||||||
LME Zinc^ | 17 | May-2023 | 1,290 | 1,245 | (45 | ) | ||||||||||||||
LME Zinc^ | 5 | Jul-2023 | 368 | 365 | (3 | ) | ||||||||||||||
LME Zinc^ | 62 | Sep-2023 | 4,557 | 4,513 | (44 | ) | ||||||||||||||
LME Zinc^ | 11 | Nov-2023 | 825 | 798 | (27 | ) | ||||||||||||||
Low Sulphur Gasoil^ | 5 | Sep-2023 | 399 | 365 | (34 | ) | ||||||||||||||
Low Sulphur Gasoil^ | 9 | Nov-2023 | 692 | 651 | (41 | ) | ||||||||||||||
Low Sulphur Gasoil^ | 4 | Jul-2023 | 338 | 294 | (44 | ) | ||||||||||||||
Low Sulphur Gasoil^ | 18 | May-2023 | 1,452 | 1,353 | (99 | ) | ||||||||||||||
Natural Gas^ | 31 | Jun-2023 | 843 | 847 | 4 | |||||||||||||||
Natural Gas^ | 27 | Aug-2023 | 927 | 743 | (184 | ) | ||||||||||||||
Natural Gas^ | 27 | Jun-2023 | 1,211 | 738 | (473 | ) | ||||||||||||||
Natural Gas^ | 81 | Apr-2023 | 2,500 | 1,795 | (705 | ) | ||||||||||||||
Natural Gas^ | 46 | Oct-2023 | 1,638 | 1,489 | (149 | ) | ||||||||||||||
NY Harbor ULSD^ | 5 | Oct-2023 | 560 | 533 | (27 | ) | ||||||||||||||
NY Harbor ULSD^ | 11 | Apr-2023 | 1,276 | 1,211 | (65 | ) | ||||||||||||||
NY Harbor ULSD^ | 2 | Jun-2023 | 239 | 215 | (24 | ) | ||||||||||||||
NY Harbor ULSD^ | 21 | Apr-2023 | 2,309 | 2,311 | 2 | |||||||||||||||
NY Harbor ULSD^ | 15 | Jun-2023 | 1,574 | 1,609 | 35 | |||||||||||||||
NY Harbor ULSD^ | 2 | Aug-2023 | 237 | 214 | (23 | ) | ||||||||||||||
NYMEX Cocoa^ | 48 | May-2023 | 1,375 | 1,408 | 33 | |||||||||||||||
NYMEX Cocoa^ | 82 | Jul-2023 | 2,330 | 2,373 | 43 | |||||||||||||||
Platinum^ | 26 | Jul-2023 | 1,280 | 1,304 | 24 | |||||||||||||||
Silver^ | 5 | Sep-2023 | 611 | 614 | 3 | |||||||||||||||
Silver^ | 5 | Jul-2023 | 554 | 609 | 55 | |||||||||||||||
Silver^ | 32 | May-2023 | 3,576 | 3,865 | 289 | |||||||||||||||
Silver^ | 10 | Dec-2023 | 1,117 | 1,243 | 126 | |||||||||||||||
Soybean^ | 20 | May-2023 | 1,498 | 1,506 | 8 | |||||||||||||||
Soybean^ | 58 | Jul-2023 | 4,199 | 4,279 | 80 | |||||||||||||||
Soybean^ | 11 | May-2023 | 833 | 828 | (5 | ) | ||||||||||||||
Soybean^ | 65 | Nov-2023 | 4,439 | 4,289 | (150 | ) |
SEI Institutional Managed Trust
287
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Inflation Managed Fund (Continued)
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Soybean Meal^ | 48 | May-2023 | $ | 2,236 | $ | 2,237 | $ | 1 | ||||||||||||
Soybean Meal^ | 10 | Jul-2023 | 406 | 461 | 55 | |||||||||||||||
Soybean Meal^ | 17 | May-2023 | 816 | 792 | (24 | ) | ||||||||||||||
Soybean Meal^ | 49 | Dec-2023 | 2,017 | 2,057 | 40 | |||||||||||||||
Soybean Oil^ | 11 | May-2023 | 354 | 366 | 12 | |||||||||||||||
Soybean Oil^ | 8 | Jul-2023 | 265 | 267 | 2 | |||||||||||||||
Soybean Oil^ | 36 | Dec-2023 | 1,291 | 1,166 | (125 | ) | ||||||||||||||
Soybean Oil^ | 12 | Jul-2023 | 487 | 400 | (87 | ) | ||||||||||||||
Soybean Oil^ | 16 | May-2023 | 568 | 533 | (35 | ) | ||||||||||||||
Sugar No. 11^ | 34 | Sep-2023 | 700 | 818 | 118 | |||||||||||||||
Sugar No. 11^ | 225 | Apr-2023 | 4,879 | 5,607 | 728 | |||||||||||||||
Sugar No. 11^ | 17 | Feb-2024 | 385 | 406 | 21 | |||||||||||||||
Sugar No. 11^ | 17 | Jun-2023 | 344 | 416 | 72 | |||||||||||||||
U.S. 2-Year Treasury Notes | 77 | Jun-2023 | 15,677 | 15,897 | 220 | |||||||||||||||
U.S. 5-Year Treasury Notes | 145 | Jun-2023 | 15,698 | 15,879 | 181 | |||||||||||||||
Wheat^ | 19 | Dec-2023 | 731 | 698 | (33 | ) | ||||||||||||||
Wheat^ | 10 | Sep-2023 | 380 | 358 | (22 | ) | ||||||||||||||
Wheat^ | 10 | Jul-2023 | 421 | 352 | (69 | ) | ||||||||||||||
Wheat^ | 73 | May-2023 | 2,580 | 2,527 | (53 | ) | ||||||||||||||
Wheat^ | 42 | May-2023 | 1,428 | 1,454 | 26 | |||||||||||||||
WTI Crude Oil^ | 16 | Jun-2023 | 1,104 | 1,212 | 108 | |||||||||||||||
WTI Crude Oil^ | 28 | Oct-2023 | 2,120 | 2,073 | (47 | ) | ||||||||||||||
WTI Crude Oil^ | 14 | Aug-2023 | 1,091 | 1,050 | (41 | ) | ||||||||||||||
WTI Crude Oil^ | 14 | Jun-2023 | 1,133 | 1,060 | (73 | ) | ||||||||||||||
WTI Crude Oil^ | 16 | Apr-2023 | 1,265 | 1,211 | (54 | ) | ||||||||||||||
WTI Crude Oil^ | 14 | Aug-2023 | 1,015 | 1,050 | 35 | |||||||||||||||
195,605 | 195,687 | 82 | ||||||||||||||||||
Short Contracts | ||||||||||||||||||||
Corn^ | �� | (21 | ) | May-2023 | $ | (666 | ) | $ | (694 | ) | $ | (28 | ) | |||||||
Japanese 10-Year Bond | (12 | ) | Jun-2023 | (12,756 | ) | (13,355 | ) | (243 | ) | |||||||||||
LME Nickel^ | (4 | ) | Jun-2023 | (547 | ) | (572 | ) | (25 | ) | |||||||||||
LME Primary Aluminum^ | (92 | ) | Jun-2024 | (6,120 | ) | (5,874 | ) | 246 | ||||||||||||
LME Primary Aluminum^ | (9 | ) | Jun-2023 | (546 | ) | (542 | ) | 4 | ||||||||||||
MSCI EAFE Index | (110 | ) | Jun-2023 | (10,681 | ) | (11,531 | ) | (850 | ) | |||||||||||
Palladium^ | (5 | ) | Jun-2023 | (777 | ) | (734 | ) | 43 | ||||||||||||
S&P 500 Index E-MINI | (113 | ) | Jun-2023 | (22,325 | ) | (23,378 | ) | (1,053 | ) | |||||||||||
U.S. Ultra Long Treasury Bond | (12 | ) | Jun-2023 | (1,620 | ) | (1,694 | ) | (74 | ) | |||||||||||
Ultra 10-Year U.S. Treasury Notes | (4 | ) | Jun-2023 | (482 | ) | (485 | ) | (3 | ) | |||||||||||
(56,520 | ) | (58,859 | ) | (1,983 | ) | |||||||||||||||
$ | 139,085 | $ | 136,828 | $ | (1,901 | ) |
A list of the open forward foreign currency contracts held by the Fund at March 31, 2023, is as follows:
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Depreciation | ||||||||||||||||||||
Bank of America | 05/11/23 | EUR | 2,453 | USD | 2,611 | $ | (60 | ) | ||||||||||||||||
A list of the open OTC swap agreements held by the Fund at March 31, 2023 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 | ||||||||||||||||||||||||
Deutsche Bank | CMBX.NA.BBB.6 | 3.00% | Monthly | 12/31/2049 | $ | 16 | $ | (5 | ) | $ | (1 | ) | $ | (4 | ) | |||||||||||||||||
Citibank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 13 | (4 | ) | (1 | ) | (3 | ) |
288
SEI Institutional Managed Trust
Counterparty | Reference Entity/ Obligation | Receive Rate | Payment Frequency | Termination Date | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | ||||||||||||||||||||||||
Citibank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | $ | 13 | $ | (4 | ) | $ | (2 | ) | $ | (2 | ) | |||||||||||||||||
Citibank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 2 | (1 | ) | — | (1 | ) | ||||||||||||||||||||||
Citibank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 21 | (11 | ) | (2 | ) | (9 | ) | |||||||||||||||||||||
Citibank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 18 | (4 | ) | (2 | ) | (2 | ) | |||||||||||||||||||||
Citibank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 15 | (3 | ) | (2 | ) | (1 | ) | |||||||||||||||||||||
Citibank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 18 | (4 | ) | (2 | ) | (2 | ) | |||||||||||||||||||||
Citibank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 4 | (1 | ) | — | (1 | ) | ||||||||||||||||||||||
Citibank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 1 | (2 | ) | — | (2 | ) | ||||||||||||||||||||||
Citibank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 8 | (3 | ) | (1 | ) | (2 | ) | |||||||||||||||||||||
Citibank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 34 | (7 | ) | (4 | ) | (3 | ) | |||||||||||||||||||||
Credit Suisse | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 1 | — | — | — | ||||||||||||||||||||||||
Deutsche Bank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 15 | (4 | ) | (2 | ) | (2 | ) | |||||||||||||||||||||
Deutsche Bank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 111 | (23 | ) | (13 | ) | (10 | ) | |||||||||||||||||||||
Deutsche Bank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 62 | (14 | ) | (6 | ) | (8 | ) | |||||||||||||||||||||
Deutsche Bank | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 63 | (14 | ) | (7 | ) | (7 | ) | |||||||||||||||||||||
Goldman Sachs | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 120 | (27 | ) | (12 | ) | (15 | ) | |||||||||||||||||||||
Goldman Sachs | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 109 | (24 | ) | (9 | ) | (15 | ) | |||||||||||||||||||||
Goldman Sachs | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 8 | (2 | ) | (1 | ) | (1 | ) | |||||||||||||||||||||
Goldman Sachs | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 18 | (4 | ) | (1 | ) | (3 | ) | |||||||||||||||||||||
Goldman Sachs | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 17 | (4 | ) | (1 | ) | (3 | ) | |||||||||||||||||||||
Goldman Sachs | CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 36 | (8 | ) | (4 | ) | (4 | ) | |||||||||||||||||||||
$ | (173 | ) | $ | (73 | ) | $ | (100 | ) |
A list of the open centrally cleared swap agreements held by the Fund at March 31, 2023 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 | |||||||||||||||||||||
CDX.NA.HY. S39V1.5Y | 5.00% | Quarterly | 12/20/2027 | $ | 9,870 | $ | (116 | ) | $ | 104 | $ | (220 | ) | |||||||||||||||
CDX.NA.HY. S40V1.5Y | 5.00% | Quarterly | 06/20/2028 | 9,870 | (154 | ) | (22 | ) | (132 | ) | ||||||||||||||||||
Malaysia | 1.00% | Quarterly | 06/20/2028 | 39,000 | (506 | ) | (266 | ) | (240 | ) | ||||||||||||||||||
$ | (776 | ) | $ | (184 | ) | $ | (592 | ) |
Credit Default Swap - Sell Protection | ||||||||||||||||||||||||||||
Reference Entity/ Obligation | Receive Rate | Payment Frequency | Termination Date | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | |||||||||||||||||||||
CDX.NA.HY. S39V1.5Y | 5.00% | Quarterly | 12/20/2027 | $ | 9,870 | $ | 115 | $ | (19 | ) | $ | 134 | ||||||||||||||||
Interest Rate Swaps | ||||||||||||||||||||||||||||||||
Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | ||||||||||||||||||||||||
1.8% | SOFR% | Annually | 04/21/2025 | USD | 2,760 | $ | 123 | $ | 147 | $ | (24 | ) | ||||||||||||||||||||
2.28% | SOFR% | Annually | 05/18/2025 | USD | 2,820 | 101 | 126 | (25 | ) | |||||||||||||||||||||||
2.51% | SOFR% | Annually | 06/09/2025 | USD | 1,710 | 53 | 69 | (16 | ) | |||||||||||||||||||||||
1.92% | SOFR% | Annually | 08/04/2025 | USD | 2,717 | 122 | 147 | (25 | ) | |||||||||||||||||||||||
1.33% | SOFR% | Annually | 10/25/2026 | USD | 6,110 | 460 | 531 | (71 | ) | |||||||||||||||||||||||
1.455% | SOFR% | Annually | 11/08/2026 | USD | 1,490 | 76 | 142 | (66 | ) | |||||||||||||||||||||||
1.4725% | SOFR% | Annually | 11/09/2026 | USD | 1,490 | 76 | 142 | (66 | ) | |||||||||||||||||||||||
2.21% | SOFR% | Annually | 04/04/2027 | USD | 10,400 | 501 | 637 | (136 | ) |
SEI Institutional Managed Trust
289
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Inflation Managed Fund (Concluded)
Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | ||||||||||||||||||||||||
0.316% | SOFR% | Annually | 06/05/2027 | USD | 15,800 | $ | 1,929 | $ | 2,124 | $ | (195 | ) | ||||||||||||||||||||
1.98% | SOFR% | Annually | 07/12/2027 | USD | 1,075 | 63 | 77 | (14 | ) | |||||||||||||||||||||||
1.965% | SOFR% | Annually | 06/04/2029 | USD | 4,220 | 312 | 374 | (62 | ) | |||||||||||||||||||||||
1.27% | SOFR% | Annually | 09/27/2029 | USD | 2,230 | 260 | 292 | (32 | ) | |||||||||||||||||||||||
1.3945% | SOFR% | Annually | 05/21/2031 | USD | 18,720 | 2,329 | 3,017 | (688 | ) | |||||||||||||||||||||||
2.4% | SOFR% | Annually | 11/10/2035 | USD | 1,190 | 100 | 116 | (16 | ) | |||||||||||||||||||||||
USD @ 3.146% | USD CPI% | Annually | 01/15/2027 | USD | 6,000 | 761 | – | 761 | ||||||||||||||||||||||||
$ | 7,266 | $ | 7,941 | $ | (675 | ) |
A list of the open reverse repurchase agreements held by the Fund at March 31, 2023 is as follows:
Principal Amount ($ Thousands) | Counterparty | Rate | Value ($ Thousands) | |||||||||
$ | (10,969 | ) | Chase Securities | 4.63 % | $ | (10,969 | ) | |||||
(13,587 | ) | Chase Securities | 4.62 % | (13,587 | ) | |||||||
(107,638 | ) | Chase Securities | 4.37 % | (107,638 | ) | |||||||
$ | (132,194 | ) |
| Percentages are based on Net Assets of $742,952 ($ Thousands). |
^ | Security, or a portion thereof, is held by the Inflation Commodity Strategy Subsidiary, Ltd. as of March 31, 2023. |
* | Non-income producing security. |
‡ | Real Estate Investment Trust. |
‡‡ | Expiration date not available. |
(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 March 31, 2023, the value of these securities amounted to $80,584 ($ Thousands), representing 10.8% 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. |
The following is a summary of the level of inputs used as of March 31, 2023, 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 | – | 475,346 | – | 475,346 | ||||||||||||
Common Stock | 225,276 | – | – | 225,276 | ||||||||||||
Corporate Obligations | – | 72,544 | – | 72,544 | ||||||||||||
Asset-Backed Securities | – | 31,748 | – | 31,748 | ||||||||||||
Mortgage-Backed Securities | – | 28,429 | – | 28,429 | ||||||||||||
U.S. Government Agency Obligations | – | 21,036 | – | 21,036 | ||||||||||||
Municipal Bonds | – | 1,165 | – | 1,165 | ||||||||||||
Sovereign Debt | – | 954 | – | 954 | ||||||||||||
Rights | – | (1) | – | – | – | |||||||||||
Purchased Options | 71 | – | – | 71 | ||||||||||||
Total Investments in Securities | 225,347 | 631,222 | – | 856,569 | ||||||||||||
Securities Sold Short | ||||||||||||||||
Common Stock | (101,938 | ) | – | – | (101,938 | ) | ||||||||||
Total Securities Sold Short | (101,938 | ) | – | – | (101,938 | ) |
(1) This category includes securities with a value of $0.
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options | (36 | ) | – | – | (36 | ) | ||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 4,261 | – | – | 4,261 | ||||||||||||
Unrealized Depreciation | (6,162 | ) | – | – | (6,162 | ) | ||||||||||
Forward Contracts* | ||||||||||||||||
Unrealized Depreciation | – | (60 | ) | – | (60 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Depreciation | – | (100 | ) | – | (100 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 134 | – | 134 | ||||||||||||
Unrealized Depreciation | – | (592 | ) | – | (592 | ) | ||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 761 | – | 761 | ||||||||||||
Unrealized Depreciation | – | (1,436 | ) | – | (1,436 | ) | ||||||||||
Reverse Repurchase Agreements | – | (132,194 | ) | – | (132,194 | ) | ||||||||||
Total Other Financial Instruments | (1,937 | ) | (133,487 | ) | – | (135,424 | ) |
* | 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.
290
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
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 — 33.4% | ||||||||
Communication Services — 3.4% | ||||||||
AT&T | ||||||||
5.095%, 05/16/2023 (A)(B) | $ | 9,750 | $ | 9,683 | ||||
Rogers Communications | ||||||||
11.537%, 05/25/2023 (A)(B) | 11,500 | 11,405 | ||||||
21,088 | ||||||||
Consumer Discretionary — 4.5% | ||||||||
American Honda Finance | ||||||||
5.143%, 05/08/2023 (B) | 7,250 | 7,209 | ||||||
4.933%, 04/24/2023 (B) | 4,450 | 4,434 | ||||||
Canadian Tire | ||||||||
5.041%, 04/12/2023 (B) | 1,650 | 1,647 | ||||||
Harley-Davidson Financial Services | ||||||||
5.525%, 05/04/2023 (A)(B) | 4,000 | 3,979 | ||||||
5.470%, 04/14/2023 (A)(B) | 7,500 | 7,485 | ||||||
Parker-Hannifin | ||||||||
5.071%, 06/01/2023 (A)(B) | 2,250 | 2,229 | ||||||
5.002%, 05/23/2023 (A)(B) | 1,500 | 1,489 | ||||||
28,472 | ||||||||
Consumer Staples — 3.5% | ||||||||
Constellation Brands | ||||||||
5.958%, 04/18/2023 (A)(B) | 10,000 | 9,972 | ||||||
Walgreens Boots Alliance | ||||||||
5.155%, 04/03/2023 (A)(B) | 11,750 | 11,745 | ||||||
21,717 | ||||||||
Energy — 3.6% | ||||||||
Sempra Energy | ||||||||
5.764%, 04/26/2023 (A)(B) | 11,500 | 11,456 | ||||||
Suncor Energy | ||||||||
5.115%, 04/13/2023 (A)(B) | 6,250 | 6,239 | ||||||
Targa Resources | ||||||||
5.836%, 05/05/2023 (A)(B) | 5,250 | 5,223 | ||||||
22,918 | ||||||||
Financials — 3.9% | ||||||||
BAT International Finance | ||||||||
5.496%, 05/22/2023 (A)(B) | 6,700 | 6,648 | ||||||
General Motors Financial | ||||||||
5.151%, 05/04/2023 (A)(B) | 8,850 | 8,802 |
Description | Face Amount | Market Value | ||||||
COMMERCIAL PAPER (continued) | ||||||||
National Australia Bank | ||||||||
5.050%, 06/01/2023 (A)(B) | $ | 4,250 | $ | 4,213 | ||||
Southern California Edison | ||||||||
5.411%, 04/06/2023 (A)(B) | 5,000 | 4,996 | ||||||
24,659 | ||||||||
Information Technology — 5.2% | ||||||||
Fidelity National Information Services | ||||||||
5.080%, 04/10/2023 (A)(B) | 9,750 | 9,736 | ||||||
Jabil | ||||||||
5.430%, 04/03/2023 (A)(B) | 11,300 | 11,295 | ||||||
Oracle | ||||||||
5.589%, 05/05/2023 (A)(B) | 11,500 | 11,445 | ||||||
32,476 | ||||||||
Materials — 1.5% | ||||||||
FMC | ||||||||
5.930%, 04/24/2023 (A)(B) | 9,350 | 9,316 | ||||||
Real Esate — 0.8% | ||||||||
Crown Castle | ||||||||
5.479%, 04/11/2023 (A)(B) | 5,250 | 5,241 | ||||||
Utilities — 7.0% | ||||||||
AES | ||||||||
5.553%, 04/03/2023 (B) | 6,200 | 6,197 | ||||||
Brookfield Infrastructure Holdings Canada | ||||||||
5.317%, 04/13/2023 (B) | 11,750 | 11,728 | ||||||
Edison International | ||||||||
5.335%, 05/15/2023 (A)(B) | 10,550 | 10,482 | ||||||
Electricite de France | ||||||||
5.296%, 04/19/2023 (A)(B) | 5,400 | 5,385 | ||||||
WGL Holdings | ||||||||
12.963%, 04/18/2023 (A)(B) | 10,000 | 9,975 | ||||||
43,767 | ||||||||
Total Commercial Paper | ||||||||
(Cost $209,672) ($ Thousands) | 209,654 | |||||||
| ||||||||
EXCHANGE TRADED FUNDS — 6.4% | ||||||||
iShares Core S&P 500 ETF | 42,126 | 17,317 | ||||||
Vanguard Intermediate-Term Corporate Bond ETF | 56,544 | 4,536 | ||||||
Vanguard Long-Term Corporate Bond ETF | 12,545 | 1,000 | ||||||
Vanguard Mortgage-Backed Securities ETF | 1 | — |
SEI Institutional Managed Trust
291
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Capital Stability Fund (Continued)
Description | Shares | Market Value | ||||||
EXCHANGE TRADED FUNDS (continued) | ||||||||
Vanguard S&P 500 ETF | 45,998 | $ | 17,299 | |||||
Total Exchange Traded Funds | ||||||||
(Cost $27,649) ($ Thousands) | 40,152 | |||||||
Face Amount | ||||||||
U.S. TREASURY OBLIGATIONS — 5.1% | ||||||||
U.S. Treasury Inflation Protected Securities | ||||||||
3.875%, 04/15/2029 | $ | 659 | 759 | |||||
3.625%, 04/15/2028 | 493 | 551 | ||||||
3.375%, 04/15/2032 | 110 | 130 | ||||||
2.500%, 01/15/2029 | 405 | 433 | ||||||
2.375%, 01/15/2025 | 821 | 831 | ||||||
2.375%, 01/15/2027 | 385 | 399 | ||||||
2.125%, 02/15/2040 | 216 | 238 | ||||||
2.125%, 02/15/2041 | 342 | 377 | ||||||
2.000%, 01/15/2026 | 199 | 202 | ||||||
1.750%, 01/15/2028 | 539 | 551 | ||||||
1.625%, 10/15/2027 | 331 | 338 | ||||||
1.500%, 02/15/2053 | 226 | 229 | ||||||
1.375%, 02/15/2044 | 587 | 568 | ||||||
1.125%, 01/15/2033 | 881 | 879 | ||||||
1.000%, 02/15/2046 | 317 | 283 | ||||||
1.000%, 02/15/2048 | 291 | 259 | ||||||
1.000%, 02/15/2049 | 258 | 230 | ||||||
0.875%, 01/15/2029 | 680 | 668 | ||||||
0.875%, 02/15/2047 | 387 | 335 | ||||||
0.750%, 07/15/2028 | 827 | 811 | ||||||
0.750%, 02/15/2042 | 426 | 372 | ||||||
0.750%, 02/15/2045 | 630 | 536 | ||||||
0.625%, 01/15/2026 | 807 | 789 | ||||||
0.625%, 07/15/2032 | 1,177 | 1,125 | ||||||
0.625%, 02/15/2043 | 424 | 358 | ||||||
0.500%, 04/15/2024 | 367 | 361 | ||||||
0.500%, 01/15/2028 | 1,121 | 1,081 | ||||||
0.375%, 07/15/2025 | 1,082 | 1,058 | ||||||
0.375%, 01/15/2027 | 937 | 903 | ||||||
0.375%, 07/15/2027 | 926 | 894 | ||||||
0.250%, 01/15/2025 | 1,255 | 1,224 | ||||||
0.250%, 07/15/2029 | 916 | 868 | ||||||
0.250%, 02/15/2050 | 409 | 296 | ||||||
0.125%, 07/15/2024 | 650 | 637 | ||||||
0.125%, 10/15/2024 | 1,196 | 1,168 | ||||||
0.125%, 04/15/2025 | 1,129 | 1,094 | ||||||
0.125%, 10/15/2025 | 434 | 421 | ||||||
0.125%, 10/15/2025 | 661 | 641 | ||||||
0.125%, 04/15/2026 | 790 | 758 | ||||||
0.125%, 07/15/2026 | 756 | 728 | ||||||
0.125%, 10/15/2026 | 942 | 904 | ||||||
0.125%, 04/15/2027 | 923 | 879 |
Description | Face Amount | Market Value | ||||||
U.S. TREASURY OBLIGATIONS (continued) | ||||||||
0.125%, 01/15/2030 | $ | 940 | $ | 876 | ||||
0.125%, 07/15/2030 | 1,075 | 1,000 | ||||||
0.125%, 01/15/2031 | 1,225 | 1,132 | ||||||
0.125%, 07/15/2031 | 1,161 | 1,069 | ||||||
0.125%, 01/15/2032 | 1,167 | 1,066 | ||||||
0.125%, 02/15/2051 | 412 | 285 | ||||||
0.125%, 02/15/2052 | 471 | 326 | ||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $31,878) ($ Thousands) | 31,920 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.0% | ||||||||
FHLB | ||||||||
4.500%, 03/10/2028 | 7,260 | 7,494 | ||||||
FNMA DN | ||||||||
0.000%, 04/03/2023(C) | 11,600 | 11,600 | ||||||
Total U.S. Government Agency Obligations | ||||||||
(Cost $19,066) ($ Thousands) | 19,094 | |||||||
| ||||||||
PURCHASED OPTIONS — 0.0% | ||||||||
Total Purchased Options | ||||||||
(Cost $298) ($ Thousands) | 13 | |||||||
Total Investments in Securities — 47.9% | ||||||||
(Cost $288,563) ($ Thousands) | $ | 300,833 | ||||||
WRITTEN OPTIONS — (0.0)% | ||||||||
Total Written Options | ||||||||
(Premiums Received $224) ($ Thousands) | $ | (5 | ) | |||||
292
SEI Institutional Managed Trust
A list of open exchange traded options held by the Fund at March 31, 2023, is as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||
PURCHASED OPTIONS — 0.0% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
SPX US 04/21/23 P3800 | 20 | $ | 7,600 | $ | 3,800.00 | 4/22/2023 | $ | 13 | ||||||||||||
SPX US 06/16/23 P400 | 173 | 6,920 | 400.00 | 6/17/2023 | – | |||||||||||||||
Total Purchased Options | $ | 14,520 | $ | 13 | ||||||||||||||||
WRITTEN OPTIONS — (0.0)% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
SPX US 04/21/23 P3620 | (20 | ) | $ | (7,240 | ) | 3,620.00 | 04/22/2023 | $ | (5 | ) | ||||||||||
SPY US 06/16/23 P380 | (173 | ) | (6,574 | ) | 380.00 | 06/17/2023 | – | |||||||||||||
(13,814 | ) | (5 | ) | |||||||||||||||||
Call Options | ||||||||||||||||||||
SPY US 06/16/23 C432 | (173 | ) | (7,474 | ) | 432.00 | 06/17/2023 | – | |||||||||||||
Total Written Options | $ | (21,288 | ) | $ | (5 | ) | ||||||||||||||
†Represents cost.
A list of the open futures contracts held by the Fund at March 31, 2023, is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Amsterdam Index | 13 | Apr-2023 | $ | 2,070 | $ | 2,137 | $ | 46 | ||||||||||||
Australian 3-Year Bond | 39 | Jun-2023 | 2,829 | 2,842 | (2 | ) | ||||||||||||||
CAC40 10 Euro Index | 17 | Apr-2023 | 1,289 | 1,355 | 47 | |||||||||||||||
Canadian 10-Year Bond | 99 | Jun-2023 | 8,952 | 9,229 | 253 | |||||||||||||||
DAX Index | 4 | Jun-2023 | 1,655 | 1,716 | 41 | |||||||||||||||
Euro STOXX 50 | 7 | Jun-2023 | 309 | 324 | 11 | |||||||||||||||
Euro-OAT | 1 | Jun-2023 | 133 | 142 | 5 | |||||||||||||||
FTSE 100 Index | 7 | Jun-2023 | 648 | 661 | 9 | |||||||||||||||
IBEX | 3 | Apr-2023 | 294 | 300 | 2 | |||||||||||||||
Long Gilt 10-Year Bond | 31 | Jun-2023 | 3,786 | 3,961 | 77 | |||||||||||||||
MSCI EAFE Index | 114 | Jun-2023 | 11,613 | 11,950 | 337 | |||||||||||||||
MSCI Emerging Markets | 228 | Jun-2023 | 10,957 | 11,349 | 392 | |||||||||||||||
NASDAQ 100 Index E-MINI | 4 | Jun-2023 | 1,007 | 1,064 | 57 | |||||||||||||||
Nikkei 225 Index | 4 | Jun-2023 | 560 | 565 | 5 | |||||||||||||||
Nikkei 225 Index | 343 | Jun-2023 | 7,006 | 7,227 | 76 | |||||||||||||||
OMX Stockholm 30 | 112 | Apr-2023 | 2,272 | 2,394 | 97 | |||||||||||||||
S&P 500 Index E-MINI | 60 | Jun-2023 | 11,788 | 12,413 | 625 | |||||||||||||||
S&P Mid Cap 400 Index E-MINI | 10 | Jun-2023 | 2,446 | 2,530 | 84 | |||||||||||||||
S&P TSX 60 Index | 21 | Jun-2023 | 3,616 | 3,753 | 96 | |||||||||||||||
SPI 200 Index | 11 | Jun-2023 | 1,287 | 1,325 | 24 | |||||||||||||||
U.S. 2-Year Treasury Note | 27 | Jun-2023 | 5,544 | 5,574 | 30 | |||||||||||||||
U.S. 5-Year Treasury Note | 278 | Jun-2023 | 30,089 | 30,443 | 354 | |||||||||||||||
U.S. 10-Year Treasury Note | 221 | Jun-2023 | 24,986 | 25,398 | 412 | |||||||||||||||
U.S. Long Treasury Bond | 14 | Jun-2023 | 1,793 | 1,836 | 43 | |||||||||||||||
U.S. Ultra Long Treasury Bond | 3 | Jun-2023 | 409 | 423 | 15 | |||||||||||||||
137,338 | 140,911 | 3,136 | ||||||||||||||||||
Short Contracts | ||||||||||||||||||||
MSCI Singapore Index | (12 | ) | Apr-2023 | $ | (271 | ) | $ | (276 | ) | $ | (5 | ) |
SEI Institutional Managed Trust
293
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Capital Stability Fund (Continued)
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
S&P 500 Index E-MINI | (51 | ) | Jun-2023 | $ | (9,917 | ) | $ | (10,551 | ) | $ | (634 | ) | ||||||||
S&P TSX 60 Index | (1 | ) | Jun-2023 | (167 | ) | (179 | ) | (8 | ) | |||||||||||
SPI 200 Index | (9 | ) | Jun-2023 | (1,052 | ) | (1,084 | ) | (25 | ) | |||||||||||
(11,407 | ) | (12,090 | ) | (672 | ) | |||||||||||||||
$ | 125,931 | $ | 128,821 | $ | 2,464 |
A list of the open forward foreign currency contracts held by the Fund at March 31, 2023, is as follows:
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
Bank of America | 04/04/23 | USD | 569 | BRL | 2,940 | $ | 10 | |||||||||||||||||
Bank of America | 04/21/23 | USD | 1,483 | NOK | 14,748 | (73 | ) | |||||||||||||||||
Bank of America | 04/27/23 | USD | 797 | PHP | 43,936 | 13 | ||||||||||||||||||
Bank of America | 05/11/23 | EUR | 651 | USD | 693 | (16 | ) | |||||||||||||||||
Bank of America | 05/17/23 | USD | 179 | CLP | 145,850 | 4 | ||||||||||||||||||
Bank of America | 05/24/23 | GBP | 1,766 | USD | 2,163 | (23 | ) | |||||||||||||||||
Barclays PLC | 04/26/23 | USD | 766 | KRW | 945,323 | (40 | ) | |||||||||||||||||
Barclays PLC | 04/26/23 | KRW | 560,798 | USD | 440 | 9 | ||||||||||||||||||
Barclays PLC | 04/27/23 | PHP | 83,719 | USD | 1,517 | (26 | ) | |||||||||||||||||
Barclays PLC | 05/03/23 | USD | 563 | BRL | 2,940 | 14 | ||||||||||||||||||
Barclays PLC | 05/24/23 | USD | 1,595 | CHF | 1,482 | 37 | ||||||||||||||||||
BNP Paribas | 04/13/23 | USD | 771 | IDR | 11,673,468 | 9 | ||||||||||||||||||
Brown Brothers Harriman | 04/13/23 | AUD | 1,015 | USD | 713 | 32 | ||||||||||||||||||
Brown Brothers Harriman | 04/13/23 | USD | 500 | AUD | 753 | 5 | ||||||||||||||||||
Brown Brothers Harriman | 04/13/23 | USD | 2,450 | AUD | 3,540 | (78 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/20/23 | USD | 93 | CNH | 638 | — | ||||||||||||||||||
Brown Brothers Harriman | 04/20/23 | USD | 774 | ZAR | 14,053 | 17 | ||||||||||||||||||
Brown Brothers Harriman | 04/20/23 | CNH | 825 | USD | 119 | (2 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/20/23 | USD | 1,208 | CNY | 8,333 | 8 | ||||||||||||||||||
Brown Brothers Harriman | 04/20/23 | USD | 973 | NZD | 1,572 | 10 | ||||||||||||||||||
Brown Brothers Harriman | 04/20/23 | USD | 485 | NZD | 751 | (15 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/20/23 | NZD | 1,912 | USD | 1,217 | 21 | ||||||||||||||||||
Brown Brothers Harriman | 04/20/23 | NZD | 791 | USD | 492 | (3 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/20/23 | CNY | 5,570 | USD | 815 | 2 | ||||||||||||||||||
Brown Brothers Harriman | 04/20/23 | ZAR | 14,079 | USD | 777 | (15 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/21/23 | USD | 1,040 | SEK | 10,914 | 15 | ||||||||||||||||||
Brown Brothers Harriman | 04/21/23 | USD | 982 | SEK | 10,147 | (2 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/21/23 | SEK | 20,923 | USD | 2,013 | (8 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/21/23 | NOK | 22,803 | USD | 2,251 | 71 | ||||||||||||||||||
Brown Brothers Harriman | 04/27/23 | USD | 359 | CZK | 7,898 | 6 | ||||||||||||||||||
Brown Brothers Harriman | 04/27/23 | USD | 752 | HUF | 272,569 | 20 | ||||||||||||||||||
Brown Brothers Harriman | 04/27/23 | USD | 1,043 | THB | 35,602 | 1 | ||||||||||||||||||
Brown Brothers Harriman | 04/27/23 | PLN | 7,131 | USD | 1,633 | (21 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/27/23 | CZK | 21,755 | USD | 987 | (19 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/27/23 | THB | 80,093 | USD | 2,347 | (3 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/27/23 | HUF | 218,681 | USD | 599 | (20 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/28/23 | USD | 1,818 | JPY | 236,858 | (30 | ) | |||||||||||||||||
Brown Brothers Harriman | 04/28/23 | JPY | 2,692,824 | USD | 20,739 | 411 | ||||||||||||||||||
Brown Brothers Harriman | 04/28/23 | JPY | 77,681 | USD | 584 | (3 | ) |
294
SEI Institutional Managed Trust
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
Brown Brothers Harriman | 05/11/23 | EUR | 420 | USD | 458 | $ | 1 | |||||||||||||||||
Brown Brothers Harriman | 05/11/23 | EUR | 884 | USD | 944 | (19 | ) | |||||||||||||||||
Brown Brothers Harriman | 05/24/23 | USD | 471 | CHF | 430 | 3 | ||||||||||||||||||
Brown Brothers Harriman | 05/24/23 | GBP | 506 | USD | 625 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman | 05/24/23 | USD | 760 | GBP | 618 | 5 | ||||||||||||||||||
Brown Brothers Harriman | 05/25/23 | MXN | 15,184 | USD | 792 | (40 | ) | |||||||||||||||||
Citigroup | 04/28/23 | JPY | 7,705,007 | USD | 59,325 | 1,158 | ||||||||||||||||||
Deutsche Bank | 04/13/23 | USD | 543 | AUD | 787 | (16 | ) | |||||||||||||||||
Deutsche Bank | 04/13/23 | USD | 3,871 | IDR | 59,129,431 | 77 | ||||||||||||||||||
Deutsche Bank | 04/20/23 | CNH | 8,228 | USD | 1,183 | (17 | ) | |||||||||||||||||
Deutsche Bank | 04/27/23 | CZK | 10,892 | USD | 495 | (8 | ) | |||||||||||||||||
Deutsche Bank | 05/17/23 | USD | 1,308 | COP | 6,333,231 | 39 | ||||||||||||||||||
Deutsche Bank | 05/17/23 | COP | 5,650,751 | USD | 1,167 | (34 | ) | |||||||||||||||||
Deutsche Bank | 05/25/23 | USD | 2,400 | MXN | 45,368 | 86 | ||||||||||||||||||
Goldman Sachs | 04/04/23 | USD | 482 | BRL | 2,514 | 13 | ||||||||||||||||||
Goldman Sachs | 04/13/23 | USD | 109 | IDR | 1,632,730 | — | ||||||||||||||||||
Goldman Sachs | 04/13/23 | AUD | 1,061 | USD | 715 | 4 | ||||||||||||||||||
Goldman Sachs | 04/13/23 | IDR | 11,673,468 | USD | 755 | (24 | ) | |||||||||||||||||
Goldman Sachs | 04/20/23 | USD | 617 | NZD | 983 | (2 | ) | |||||||||||||||||
Goldman Sachs | 04/20/23 | CNH | 7,755 | USD | 1,141 | 10 | ||||||||||||||||||
Goldman Sachs | 04/21/23 | USD | 1,443 | SEK | 15,007 | 7 | ||||||||||||||||||
Goldman Sachs | 04/21/23 | USD | 1,083 | NOK | 11,603 | 26 | ||||||||||||||||||
Goldman Sachs | 04/21/23 | USD | 1,254 | NOK | 13,001 | (11 | ) | |||||||||||||||||
Goldman Sachs | 04/21/23 | SEK | 6,057 | USD | 582 | (3 | ) | |||||||||||||||||
Goldman Sachs | 04/21/23 | NOK | 6,421 | USD | 626 | 12 | ||||||||||||||||||
Goldman Sachs | 04/21/23 | NOK | 7,197 | USD | 686 | (2 | ) | |||||||||||||||||
Goldman Sachs | 04/26/23 | USD | 324 | KRW | 399,563 | (17 | ) | |||||||||||||||||
Goldman Sachs | 04/26/23 | KRW | 1,454,935 | USD | 1,136 | 17 | ||||||||||||||||||
Goldman Sachs | 04/27/23 | USD | 1,482 | HUF | 541,653 | 52 | ||||||||||||||||||
Goldman Sachs | 04/27/23 | USD | 1,738 | PHP | 95,296 | 18 | ||||||||||||||||||
Goldman Sachs | 04/27/23 | PHP | 68,893 | USD | 1,248 | (22 | ) | |||||||||||||||||
Goldman Sachs | 04/28/23 | USD | 674 | JPY | 90,893 | 12 | ||||||||||||||||||
Goldman Sachs | 04/28/23 | JPY | 102,560 | USD | 759 | (15 | ) | |||||||||||||||||
Goldman Sachs | 05/17/23 | USD | 302 | PEN | 1,141 | — | ||||||||||||||||||
Goldman Sachs | 05/24/23 | USD | 665 | CHF | 604 | — | ||||||||||||||||||
Goldman Sachs | 05/24/23 | CHF | 3,228 | USD | 3,489 | (67 | ) | |||||||||||||||||
Goldman Sachs | 06/09/23 | CAD | 2,214 | USD | 1,623 | (15 | ) | |||||||||||||||||
Goldman Sachs | 06/09/23 | USD | 3,904 | CAD | 5,324 | 35 | ||||||||||||||||||
Goldman Sachs | 06/22/23 | USD | 1,188 | INR | 98,123 | — | ||||||||||||||||||
Goldman Sachs | 06/22/23 | USD | 1,181 | INR | 97,413 | (1 | ) | |||||||||||||||||
Goldman Sachs | 06/22/23 | MYR | 4,197 | USD | 943 | (19 | ) | |||||||||||||||||
Goldman Sachs | 06/22/23 | INR | 98,317 | USD | 1,190 | — | ||||||||||||||||||
HSBC | 04/28/23 | USD | 75,551 | JPY | 10,190,099 | 1,376 | ||||||||||||||||||
JPMorgan Chase Bank | 04/13/23 | IDR | 4,181,814 | USD | 279 | (1 | ) | |||||||||||||||||
JPMorgan Chase Bank | 04/20/23 | USD | 811 | NZD | 1,257 | (25 | ) | |||||||||||||||||
JPMorgan Chase Bank | 04/20/23 | USD | 815 | NZD | 1,305 | 1 | ||||||||||||||||||
JPMorgan Chase Bank | 04/21/23 | SEK | 12,026 | USD | 1,150 | (11 | ) | |||||||||||||||||
JPMorgan Chase Bank | 04/26/23 | KRW | 133,467 | USD | 102 | (1 | ) | |||||||||||||||||
JPMorgan Chase Bank | 04/27/23 | PHP | 28,138 | USD | 518 | (1 | ) |
SEI Institutional Managed Trust
295
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Capital Stability Fund (Continued)
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation | ||||||||||||||||||||
JPMorgan Chase Bank | 04/28/23 | USD | 576 | JPY | 76,466 | $ | 2 | |||||||||||||||||
JPMorgan Chase Bank | 06/15/23 | USD | 795 | TWD | 24,043 | — | ||||||||||||||||||
JPMorgan Chase Bank | 06/15/23 | TWD | 14,693 | USD | 486 | — | ||||||||||||||||||
JPMorgan Chase Bank | 06/22/23 | USD | 573 | INR | 47,452 | 1 | ||||||||||||||||||
Merrill Lynch | 04/04/23 | BRL | 2,514 | USD | 478 | (17 | ) | |||||||||||||||||
Merrill Lynch | 04/13/23 | USD | 611 | IDR | 9,174,494 | 2 | ||||||||||||||||||
Merrill Lynch | 04/13/23 | AUD | 759 | USD | 508 | — | ||||||||||||||||||
Merrill Lynch | 04/13/23 | IDR | 25,244,764 | USD | 1,667 | (19 | ) | |||||||||||||||||
Merrill Lynch | 04/21/23 | SEK | 22,419 | USD | 2,145 | (20 | ) | |||||||||||||||||
Merrill Lynch | 04/26/23 | USD | 421 | KRW | 516,839 | (23 | ) | |||||||||||||||||
Merrill Lynch | 04/26/23 | KRW | 610,963 | USD | 485 | 16 | ||||||||||||||||||
Merrill Lynch | 04/27/23 | USD | 332 | PHP | 18,382 | 7 | ||||||||||||||||||
Merrill Lynch | 04/27/23 | PHP | 80,412 | USD | 1,465 | (17 | ) | |||||||||||||||||
Merrill Lynch | 04/28/23 | USD | 1,050 | JPY | 136,543 | (20 | ) | |||||||||||||||||
Merrill Lynch | 04/28/23 | JPY | 124,326 | USD | 946 | 7 | ||||||||||||||||||
Merrill Lynch | 05/11/23 | USD | 2,876 | EUR | 2,702 | 65 | ||||||||||||||||||
Merrill Lynch | 05/17/23 | PEN | 11,736 | USD | 3,077 | (35 | ) | |||||||||||||||||
Merrill Lynch | 05/17/23 | CLP | 1,061,579 | USD | 1,306 | (30 | ) | |||||||||||||||||
Merrill Lynch | 05/24/23 | GBP | 589 | USD | 726 | (3 | ) | |||||||||||||||||
Merrill Lynch | 05/24/23 | USD | 2,176 | GBP | 1,777 | 23 | ||||||||||||||||||
Merrill Lynch | 06/15/23 | USD | 610 | TWD | 18,604 | 5 | ||||||||||||||||||
Merrill Lynch | 06/15/23 | USD | 163 | TWD | 4,882 | (2 | ) | |||||||||||||||||
Morgan Stanley | 04/13/23 | USD | 967 | AUD | 1,383 | (41 | ) | |||||||||||||||||
Morgan Stanley | 04/13/23 | IDR | 40,510,077 | USD | 2,693 | (13 | ) | |||||||||||||||||
Morgan Stanley | 04/21/23 | USD | 532 | SEK | 5,559 | 5 | ||||||||||||||||||
Morgan Stanley | 06/22/23 | USD | 638 | MYR | 2,842 | 13 | ||||||||||||||||||
Morgan Stanley | 06/22/23 | MYR | 1,598 | USD | 359 | (7 | ) | |||||||||||||||||
Morgan Stanley | 07/12/23 | USD | 2,686 | IDR | 40,457,080 | 18 | ||||||||||||||||||
$ | 2,815 |
A list of the open OTC swap agreements held by the Fund at March 31, 2023, 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 | SWISS MKT IDX FUTURE | Morgan Stanley | Annually | 06/16/2023 | CHF | 210 | $ | 11 | $ | – | $ | 11 | |||||||||||||||||||||||||||
$ | 11 | $ | – | $ | 11 |
296
SEI Institutional Managed Trust
A list of the open centrally cleared swap agreements held by the Fund at March 31, 2023, 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.S39V1-5Y | 147.886% | Quarterly | 12/20/2027 | $ | 5,540 | $ | 51 | $ | 116 | $ | (65 | ) | ||||||||||||||||
CDX.NA.IG.S39V1-5Y | 77.378% | Quarterly | 12/20/2027 | 4,420 | 35 | 53 | (18 | ) | ||||||||||||||||||||
ITRAXX.XOVER.S38V1-5Y | 61.935% | Quarterly | 12/20/2027 | 790 | 31 | 25 | 6 | |||||||||||||||||||||
$ | 117 | $ | 194 | $ | (77 | ) |
Interest Rate Swaps | ||||||||||||||||||||||||||||||||
Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount | Value | Upfront Payments/ Receipts | Net Unrealized | ||||||||||||||||||||||||
3-MONTH NZD - BKBM | 3.5505% | Quarterly | 08/03/2032 | NZD | 830 | $ | (29 | ) | $ | – | $ | (29 | ) | |||||||||||||||||||
3-MONTH NZD - BKBM | 4.216% | Quarterly | 02/01/2033 | NZD | 950 | (1 | ) | – | (1 | ) | ||||||||||||||||||||||
6-MONTH AUD - BBSW | 4.143% | Semi-Annually | 01/30/2033 | AUD | 830 | 20 | – | 20 | ||||||||||||||||||||||||
3-MONTH NZD - BKBM | 4.255% | Quarterly | 01/25/2033 | NZD | 2,860 | 24 | – | 24 | ||||||||||||||||||||||||
6-MONTH AUD - BBSW | 4.022% | Semi-Annually | 01/24/2033 | AUD | 3,040 | 52 | – | 52 | ||||||||||||||||||||||||
2.641% | 3-MONTH NZD - BKBM | Quarterly | 12/19/2032 | NZD | 310 | 5 | – | 5 | ||||||||||||||||||||||||
4.045% | 6-MONTH AUD - BBSW | Semi-Annually | 12/16/2032 | AUD | 380 | 6 | – | 6 | ||||||||||||||||||||||||
3-MONTH NZD - BKBM | 4.222% | Quarterly | 12/06/2032 | NZD | 420 | 1 | – | 1 | ||||||||||||||||||||||||
6-MONTH AUD - BBSW | 3.941% | Semi-Annually | 12/05/2032 | AUD | 440 | 3 | – | 3 | ||||||||||||||||||||||||
4.385% | 3-MONTH NZD - BKBM | Quarterly | 12/01/2032 | NZD | – | 2 | – | 2 | ||||||||||||||||||||||||
2.074% | 6-MONTH AUD - BBSW | Semi-Annually | 11/30/2032 | AUD | 600 | 10 | – | 10 | ||||||||||||||||||||||||
3-MONTH NZD - BKBM | 4.43% | Quarterly | 11/22/2032 | NZD | 440 | 5 | – | 5 | ||||||||||||||||||||||||
6-MONTH AUD - BBSW | 4.255% | Semi-Annually | 11/21/2032 | AUD | 420 | 11 | – | 11 | ||||||||||||||||||||||||
3-MONTH NZD - BKBM | 4.7725% | Quarterly | 11/04/2032 | NZD | 340 | 8 | – | 8 | ||||||||||||||||||||||||
6-MONTH AUD - BBSW | 4.66% | Semi-Annually | 11/03/2032 | AUD | 460 | 20 | – | 20 | ||||||||||||||||||||||||
AUD @ 3.745% | AUD BBSW 6M | Semi-Annually | 08/18/2032 | AUD | 800 | (4 | ) | – | (4 | ) | ||||||||||||||||||||||
6-MONTH AUD - BBSW | 4.07% | Semi-Annually | 03/17/2033 | AUD | 1,100 | (26 | ) | – | (26 | ) | ||||||||||||||||||||||
3-MONTH NZD - BKBM | 4.351% | Quarterly | 03/20/2033 | NZD | 920 | 17 | – | 17 | ||||||||||||||||||||||||
$ | 124 | $ | – | $ | 124 |
| Percentages are based on Net Assets of $627,439 ($ 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 March 31, 2023, the value of these securities amounted to $178,439 ($ Thousands), representing 28.4% of the Net Assets of the Fund. |
(B) | Interest rate represents the security's effective yield at the time of purchase. |
(C) | Zero coupon security. |
The following is a summary of the level of inputs used as of March 31, 2023, 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 | – | 209,654 | – | 209,654 | ||||||||||||
Exchange Traded Funds | 40,152 | – | – | 40,152 | ||||||||||||
U.S. Treasury Obligations | – | 31,920 | – | 31,920 | ||||||||||||
U.S. Government Agency Obligations | – | 19,094 | – | 19,094 | ||||||||||||
Purchased Options | 13 | – | – | 13 | ||||||||||||
Total Investments in Securities | 40,165 | 260,668 | – | 300,833 |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options | (5 | ) | – | – | (5 | ) | ||||||||||
Futures Contracts* |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Unrealized Appreciation | 3,138 | – | – | 3,138 | ||||||||||||
Unrealized Depreciation | (674 | ) | – | – | (674 | ) | ||||||||||
Forward Contracts* | ||||||||||||||||
Unrealized Appreciation | – | 3,831 | – | 3,831 | ||||||||||||
Unrealized Depreciation | – | (1,016 | ) | – | (1,016 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Total Return Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 11 | – | 11 | ||||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 6 | – | 6 | ||||||||||||
Unrealized Depreciation | – | (83 | ) | – | (83 | ) | ||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Appreciation | – | 184 | – | 184 | ||||||||||||
Unrealized Depreciation | – | (60 | ) | – | (60 | ) | ||||||||||
Total Other Financial Instruments | 2,459 | 2,873 | – | 5,332 |
* | Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
SEI Institutional Managed Trust
297
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2023
Multi-Asset Capital Stability Fund (Concluded)
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.
298
SEI Institutional Managed Trust
Glossary (abbreviations which may be used in the preceding Schedules of Investments):
(Unaudited)
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 |
SEI Institutional Managed Trust
299
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) ($ Thousands)
March 31, 2023
Large Cap Fund | Large Cap Value Fund | |||||||
Assets: | ||||||||
Investments, at value † | $ | 1,678,527 | * | $ | 1,310,986 | * | ||
Affiliated investments, at value †† | 30,441 | 17,354 | ||||||
Cash and cash equivalents | 1,685 | 2,374 | ||||||
Cash pledged as collateral on OTC swap contracts | – | – | ||||||
Cash pledged as collateral on futures contracts | 822 | 643 | ||||||
Foreign currency, at value ††† | – | – | ||||||
Receivable for fund shares sold | 781 | 156 | ||||||
Receivable for investment securities sold | 2,045 | 9,472 | ||||||
Dividends and interest receivable | 1,817 | 2,555 | ||||||
Receivable for Variation Margin on Futures Contracts | 216 | 180 | ||||||
Foreign tax reclaim receivable | 48 | 221 | ||||||
Prepaid expenses | 47 | 38 | ||||||
Total Assets | 1,716,429 | 1,343,979 | ||||||
Liabilities: | ||||||||
Payable upon return on securities loaned | 14,990 | 4,913 | ||||||
Payable for investment securities purchased | 2,057 | 9,418 | ||||||
Payable for fund shares redeemed | 1,082 | 702 | ||||||
Administration fees payable | 352 | 318 | ||||||
Shareholder servicing fees payable Class F | 337 | 240 | ||||||
Shareholder servicing fees payable Class I | – | – | ||||||
Due to custodian | – | – | ||||||
Investment advisory fees payable | 509 | 363 | ||||||
Trustees fees payable | 1 | 1 | ||||||
Administration servicing fees payable Class I | – | – | ||||||
Printing Fee Payable | – | – | ||||||
Accrued expense payable | 202 | 162 | ||||||
Total Liabilities | 19,530 | 16,117 | ||||||
Net Assets | $ | 1,696,899 | $ | 1,327,862 | ||||
† Cost of investments and repurchase agreements | $ | 1,131,361 | $ | 964,814 | ||||
†† Cost of affiliated investments | 30,439 | 17,355 | ||||||
††† Cost of foreign currency | – | – | ||||||
* Includes market value of securities on loan | 13,769 | 3,544 | ||||||
Amounts designated as "—" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
300
SEI Institutional Managed Trust
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 | ||||||||||||||||||||||||
$ | 1,381,897 | $ | 1,013,880 | * | $ | 3,866,814 | * | $ | 806,112 | * | $ | 530,066 | * | $ | 350,738 | * | $ | 317,171 | * | $ | 789,931 | ||||||||||
14,392 | 9,007 | 39,946 | 3,715 | 8,906 | 7,673 | 7,007 | 14,121 | ||||||||||||||||||||||||
– | – | – | – | 9 | – | – | – | ||||||||||||||||||||||||
– | – | – | – | – | – | – | – | ||||||||||||||||||||||||
582 | 570 | 466 | 235 | – | – | – | – | ||||||||||||||||||||||||
– | – | 125 | – | – | – | – | – | ||||||||||||||||||||||||
171 | 1,099 | 1,250 | 1,327 | 269 | 85 | 74 | 421 | ||||||||||||||||||||||||
3,666 | 580 | – | – | 3,731 | 437 | 1,706 | 198 | ||||||||||||||||||||||||
262 | 768 | 3,903 | 580 | 425 | 622 | 117 | 879 | ||||||||||||||||||||||||
150 | 149 | 121 | 61 | – | – | – | – | ||||||||||||||||||||||||
1 | – | 294 | 10 | – | – | 1 | – | ||||||||||||||||||||||||
37 | 27 | 108 | 22 | 16 | 11 | 9 | 23 | ||||||||||||||||||||||||
1,401,158 | 1,026,080 | 3,913,027 | 812,062 | 543,422 | 359,566 | 326,085 | 805,573 | ||||||||||||||||||||||||
11 | 1,127 | 17,173 | 56 | 1,986 | 2,393 | 2,117 | 366 | ||||||||||||||||||||||||
3,677 | – | – | – | 4,271 | 233 | 1,727 | – | ||||||||||||||||||||||||
916 | 908 | 1,665 | 488 | 261 | 207 | 305 | 324 | ||||||||||||||||||||||||
328 | 85 | 687 | 94 | 131 | 88 | 79 | 195 | ||||||||||||||||||||||||
246 | 84 | 696 | 33 | 109 | 63 | 59 | 130 | ||||||||||||||||||||||||
– | – | – | 2 | – | – | – | – | ||||||||||||||||||||||||
1 | – | 1 | 36 | – | 454 | 290 | – | ||||||||||||||||||||||||
373 | 17 | 1,289 | 13 | 263 | 174 | 146 | 389 | ||||||||||||||||||||||||
1 | – | 2 | – | – | – | – | – | ||||||||||||||||||||||||
– | – | – | 2 | – | – | – | – | ||||||||||||||||||||||||
– | – | – | – | – | – | – | 62 | ||||||||||||||||||||||||
160 | 252 | 462 | 132 | 68 | 48 | 40 | 39 | ||||||||||||||||||||||||
5,713 | 2,473 | 21,975 | 856 | 7,089 | 3,660 | 4,763 | 1,505 | ||||||||||||||||||||||||
$ | 1,395,445 | $ | 1,023,607 | $ | 3,891,052 | $ | 811,206 | $ | 536,333 | $ | 355,906 | $ | 321,322 | $ | 804,068 | ||||||||||||||||
$ | 721,542 | $ | 741,964 | $ | 1,336,771 | $ | 223,398 | $ | 460,018 | $ | 299,283 | $ | 286,751 | $ | 484,804 | ||||||||||||||||
14,392 | 9,015 | 39,946 | 3,715 | 8,906 | 7,671 | 7,011 | 14,114 | ||||||||||||||||||||||||
– | – | 129 | – | – | – | – | – | ||||||||||||||||||||||||
– | 1,141 | 16,856 | 56 | 2,083 | 2,366 | 2,259 | – | ||||||||||||||||||||||||
SEI Institutional Managed Trust
301
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) ($ Thousands)
March 31, 2023
Large Cap Fund | Large Cap Value Fund | |||||||
Net Assets: | ||||||||
Paid-in capital — (unlimited authorization — no par value) | $ | 1,139,313 | $ | 974,992 | ||||
Total distributable earnings/(loss) | 557,586 | 352,870 | ||||||
Net Assets | $ | 1,696,899 | $ | 1,327,862 | ||||
Net Asset Value, Offering and Redemption Price Per Share — Class F | $ | 13.30 | $ | 24.29 | ||||
($1,643,725,131 ÷ 123,606,090 shares | ) | ($1,158,884,944 ÷ 47,701,609 shares | ) | |||||
Net Asset Value, Offering and Redemption Price Per Share — Class I | N/A | $ | 24.33 | |||||
($1,901,382 ÷ 78,138 shares | ) | |||||||
Net Asset Value, Offering and Redemption Price Per Share — Class Y | $ | 13.31 | $ | 24.29 | ||||
($53,173,551 ÷ 3,994,652 shares | ) | ($167,075,483 ÷ 6,878,033 shares | ) |
N/A – Not applicable. Share class currently not offered.
The accompanying notes are an integral part of the financial statements.
302
SEI Institutional Managed Trust
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 | ||||||||||||||||||||||||
$ | 763,743 | $ | 777,866 | $ | 1,293,249 | $ | 205,694 | $ | 473,293 | $ | 308,603 | $ | 323,744 | $ | 487,529 | ||||||||||||||||
631,702 | 245,741 | 2,597,803 | 605,512 | 63,040 | 47,303 | (2,422 | ) | 316,539 | |||||||||||||||||||||||
$ | 1,395,445 | $ | 1,023,607 | $ | 3,891,052 | $ | 811,206 | $ | 536,333 | $ | 355,906 | $ | 321,322 | $ | 804,068 | ||||||||||||||||
$ | 37.17 | $ | 14.39 | $ | 31.20 | $ | 75.97 | $ | 11.82 | $ | 21.94 | $ | 29.55 | $ | 22.67 | ||||||||||||||||
($1,206,579,799 ÷ 32,463,124 shares | ) | ($1,023,606,911 ÷ 71,121,444 shares | ) | ($3,391,955,154 ÷ 108,723,330 shares | ) | ($804,464,685 ÷ 10,589,905 shares | ) | ($513,175,529 ÷ 43,416,056 shares | ) | ($295,560,899 ÷ 13,468,527 shares | ) | ($284,233,845 ÷ 9,618,261 shares | ) | ($701,534,785 ÷ 30,947,035 shares | ) | ||||||||||||||||
$ | 35.57 | N/A | N/A | $ | 76.56 | N/A | $ | 21.70 | $ | 27.35 | N/A | ||||||||||||||||||||
($2,485,635 ÷ 69,882 shares | ) | ($6,741,628 ÷ 88,054 shares | ) | ($666,359 ÷ 30,710 shares | ) | ($673,767 ÷ 24,633 shares | ) | ||||||||||||||||||||||||
$ | 37.39 | N/A | $ | 31.21 | N/A | $ | 11.97 | $ | 21.96 | $ | 30.21 | $ | 22.72 | ||||||||||||||||||
($186,380,067 ÷ 4,984,928 shares | ) | ($499,097,233 ÷ 15,990,401 shares | ) | ($23,157,600 ÷ 1,934,071 shares | ) | ($59,679,129 ÷ 2,717,852 shares | ) | ($36,414,481 ÷ 1,205,348 shares | ) | ($102,532,816 ÷ 4,513,487 shares | ) |
SEI Institutional Managed Trust
303
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) ($ Thousands)
March 31, 2023
Mid-Cap Fund | U.S. Managed Volatility Fund | |||||||
Assets: | ||||||||
Investments, at value † | $ | 73,187 | $ | 796,323 | * | |||
Affiliated investments, at value †† | 452 | 20,732 | ||||||
Repurchase agreements† | – | – | ||||||
Cash and cash equivalents | 1 | – | ||||||
Cash pledged as collateral on centrally cleared swap contracts | – | – | ||||||
Cash pledged as collateral on OTC swap contracts | – | – | ||||||
Cash pledged as collateral on futures contracts | – | 403 | ||||||
Foreign currency, at value ††† | – | 1,368 | ||||||
Receivable for fund shares sold | 22 | 211 | ||||||
Receivable for investment securities sold | 654 | – | ||||||
Dividends and interest receivable | 85 | 1,296 | ||||||
Unrealized gain on forward foreign currency contracts | – | – | ||||||
Unrealized gain on foreign spot currency contracts | – | – | ||||||
Receivable for Variation Margin on Futures Contracts | – | 104 | ||||||
Receivable for Variation Margin on Swap Contracts | – | – | ||||||
Foreign tax reclaim receivable | 1 | 9 | ||||||
Prepaid expenses | 2 | 24 | ||||||
Total Assets | 74,404 | 820,470 | ||||||
Liabilities: | ||||||||
Payable for investment securities purchased | 43 | – | ||||||
Payable for fund shares redeemed | 33 | 574 | ||||||
Administration fees payable | 19 | 158 | ||||||
Shareholder servicing fees payable Class F | 15 | 131 | ||||||
Payable upon return on securities loaned | – | 4,623 | ||||||
Income distribution payable | – | – | ||||||
Options written, at value ^^ | – | – | ||||||
Due to custodian | – | 253 | ||||||
Payable for Variation Margin on Swap Contracts | – | – | ||||||
Payable for Variation Margin on Futures Contracts | – | – | ||||||
Unrealized loss on forward foreign currency contracts | – | – | ||||||
Investment advisory fees payable | 25 | 264 | ||||||
Trustees fees payable | – | – | ||||||
Interest payable | – | – | ||||||
Administration servicing fees payable Class I | – | – | ||||||
Unfunded commitments on loan participations | – | – | ||||||
Accrued expense payable | 10 | 103 | ||||||
Total Liabilities | 145 | 6,106 | ||||||
Net Assets | $ | 74,259 | $ | 814,364 | ||||
† Cost of investments and repurchase agreements | $ | 70,284 | $ | 681,826 | ||||
†† Cost of affiliated investments | 452 | 20,732 | ||||||
††† Cost of foreign currency | – | 1,361 | ||||||
^^ Premiums received from written options and swaptions | – | – | ||||||
* Includes market value of securities on loan | – | 4,561 | ||||||
Amounts designated as “—“ are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements
304
SEI Institutional Managed Trust
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 | |||||||||||||||||||||
$ | 825,684 | * | $ | 859,165 | * | $ | 318,823 | * | $ | 71,717 | $ | 3,849,436 | * | $ | 1,206,328 | $ | 290,455 | ||||||||||
19,662 | 20,303 | 21,850 | 864 | 247,167 | 24,577 | 79 | |||||||||||||||||||||
– | – | – | – | – | – | 126,700 | |||||||||||||||||||||
3,072 | – | 1,861 | – | – | 879 | – | |||||||||||||||||||||
– | – | – | – | 5,966 | – | – | |||||||||||||||||||||
– | – | – | – | – | – | – | |||||||||||||||||||||
224 | 347 | 217 | – | 7,308 | – | – | |||||||||||||||||||||
1,997 | 128 | 941 | – | 5,299 | 2 | – | |||||||||||||||||||||
188 | 557 | 367 | 18 | 1,293 | 521 | 474 | |||||||||||||||||||||
9,932 | – | – | 52 | 303,049 | 13,045 | – | |||||||||||||||||||||
2,213 | 1,041 | 1,737 | 276 | 19,714 | 18,636 | 705 | |||||||||||||||||||||
641 | – | – | – | 662 | – | – | |||||||||||||||||||||
36 | – | – | – | 3 | – | – | |||||||||||||||||||||
43 | 90 | 21 | – | 1,524 | – | – | |||||||||||||||||||||
– | – | – | – | 255 | – | – | |||||||||||||||||||||
3,676 | 11 | 2,878 | – | 745 | 86 | – | |||||||||||||||||||||
24 | 26 | 9 | 2 | 100 | 36 | 10 | |||||||||||||||||||||
867,392 | 881,668 | 348,704 | 72,929 | 4,442,521 | 1,264,110 | 418,423 | |||||||||||||||||||||
– | – | – | 115 | 730,724 | 11,240 | – | |||||||||||||||||||||
847 | 510 | 249 | 57 | 2,841 | 1,299 | 469 | |||||||||||||||||||||
200 | 209 | 120 | 18 | 504 | 192 | 38 | |||||||||||||||||||||
150 | 158 | 56 | 12 | 659 | 227 | 33 | |||||||||||||||||||||
11,918 | 4,193 | 17,519 | 4 | 41,828 | 1 | – | |||||||||||||||||||||
– | 6 | – | – | 829 | 931 | 302 | |||||||||||||||||||||
– | – | – | – | 1,336 | – | – | |||||||||||||||||||||
– | – | – | – | 73,406 | – | 28 | |||||||||||||||||||||
– | – | – | – | 617 | – | – | |||||||||||||||||||||
1 | – | – | – | 684 | – | – | |||||||||||||||||||||
3,441 | – | – | – | 912 | – | – | |||||||||||||||||||||
383 | 317 | 102 | 34 | 600 | 434 | 21 | |||||||||||||||||||||
– | 1 | – | – | 2 | 1 | – | |||||||||||||||||||||
– | – | – | – | – | 28 | – | |||||||||||||||||||||
– | – | – | – | 1 | – | – | |||||||||||||||||||||
– | – | – | – | 10 | – | – | |||||||||||||||||||||
131 | 111 | 43 | 10 | 640 | 235 | 45 | |||||||||||||||||||||
17,071 | 5,505 | 18,089 | 250 | 855,593 | 14,588 | 936 | |||||||||||||||||||||
$ | 850,321 | $ | 876,163 | $ | 330,615 | $ | 72,679 | $ | 3,586,928 | $ | 1,249,522 | $ | 417,487 | ||||||||||||||
$ | 780,748 | $ | 378,348 | $ | 264,811 | $ | 60,758 | $ | 4,117,565 | $ | 1,334,248 | $ | 417,201 | ||||||||||||||
19,658 | 20,304 | 21,847 | 864 | 247,110 | 24,577 | 79 | |||||||||||||||||||||
1,993 | 129 | 939 | – | 5,316 | 3 | – | |||||||||||||||||||||
– | – | – | – | (1,675 | ) | – | – | ||||||||||||||||||||
11,141 | 4,085 | 16,590 | – | 41,058 | – | – | |||||||||||||||||||||
SEI Institutional Managed Trust
305
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) ($ Thousands)
March 31, 2023
Mid-Cap Fund | U.S. Managed Volatility Fund | |||||||
Net Assets: | ||||||||
Paid-in capital — (unlimited authorization — no par value) | $ | 74,724 | $ | 646,063 | ||||
Total distributable earnings/(loss) | (465 | ) | 168,301 | |||||
Net Assets | $ | 74,259 | $ | 814,364 | ||||
Net Asset Value, Offering and Redemption Price Per Share — Class F | $ | 25.36 | $ | 15.35 | ||||
($69,772,231 ÷ 2,751,671 shares | ) | ($635,079,553 ÷ 41,375,941 shares | ) | |||||
Net Asset Value, Offering and Redemption Price Per Share — Class I | $ | 25.29 | $ | 15.34 | ||||
($351,251 ÷ 13,888 shares | ) | ($558,829 ÷ 36,421 shares | ) | |||||
Net Asset Value, Offering and Redemption Price Per Share — Class Y | $ | 25.37 | $ | 15.35 | ||||
($4,135,564 ÷ 163,001 shares | ) | ($178,725,694 ÷ 11,642,423 shares | ) |
(1) Net assets divided by shares does not calculate to the stated NAV because net assets and shares are shown rounded.
N/A - Not applicable. Share class currently not offered.
The accompanying notes are an integral part of the financial statements.
306
SEI Institutional Managed Trust
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 | |||||||||||||||||||||
$ | 802,004 | $ | 346,541 | $ | 333,643 | $ | 63,639 | $ | 4,258,699 | $ | 1,759,781 | $ | 417,408 | ||||||||||||||
48,317 | 529,622 | (3,028 | ) | 9,040 | (671,771 | ) | (510,259 | ) | 79 | ||||||||||||||||||
$ | 850,321 | $ | 876,163 | $ | 330,615 | $ | 72,679 | $ | 3,586,928 | $ | 1,249,522 | $ | 417,487 | ||||||||||||||
$ | 9.75 | $ | 19.28 | $ | 10.18 | $ | 13.81 | $ | 9.70 | $ | 5.45 | $ | 10.00 | ||||||||||||||
($726,065,879 ÷ 74,464,631 shares | ) | ($766,504,097 ÷ 39,747,167 shares | ) | ($272,927,474 ÷ 26,802,437 shares | ) | ($58,568,039 ÷ 4,240,400 shares | ) | ($3,158,856,617 ÷ 325,624,094 shares | ) | ($1,083,536,322 ÷ 198,797,458 shares | ) | ($405,493,784 ÷ 40,543,215 shares | ) | ||||||||||||||
$ | 9.46 | N/A | N/A | $ | 13.77 | $ | 9.69 | $ | 5.23 | N/A | |||||||||||||||||
($469,881 ÷ 49,652 shares | ) | ($174,901 ÷ 12,698 shares | ) | ($3,020,267 ÷ 311,841 shares | ) | $ | (3,443 ÷ 659 shares | )(1) | |||||||||||||||||||
$ | 9.77 | $ | 19.29 | $ | 10.18 | $ | 13.82 | $ | 9.71 | $ | 5.45 | $ | 10.01 | ||||||||||||||
($123,785,121 ÷ 12,667,176 shares | ) | ($109,659,287 ÷ 5,685,228 shares | ) | ($57,687,481 ÷ 5,664,368 shares | ) | ($13,936,511 ÷ 1,008,171 shares | ) | ($425,051,311 ÷ 43,785,469 shares | ) | ($165,982,508 ÷ 30,457,266 shares | ) | ($11,993,020 ÷ 1,197,977 shares | ) |
SEI Institutional Managed Trust
307
STATEMENTS OF ASSETS AND LIABILITIES/CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) ($ Thousands)
March 31, 2023
Tax-Free Conservative Income Fund | ||||
Assets: | ||||
Investments, at value † | $ | 160,767 | ||
Affiliated investments, at value †† | – | |||
Cash and cash equivalents | 50 | |||
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 | – | |||
Foreign currency, at value ††† | – | |||
Receivable for fund shares sold | 41 | |||
Receivable for investment securities sold | – | |||
Dividends and interest receivable | 1,086 | |||
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 | – | |||
Prepaid expenses | 5 | |||
Total Assets | 161,949 | |||
Liabilities: | ||||
Payable for fund shares redeemed | 231 | |||
Income distribution payable | 71 | |||
Administration fees payable | 15 | |||
Shareholder servicing fees payable Class F | 13 | |||
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 | 8 | |||
Trustees fees payable | – | |||
Interest payable | – | |||
Accrued expense payable | 26 | |||
Total Liabilities | 364 | |||
Net Assets | $ | 161,585 | ||
† Cost of investments and repurchase agreements | $ | 160,786 | ||
†† 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.
308
SEI Institutional Managed Trust
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 | |||||||||||||||||||||
$ | 223,056 | $ | 568,235 | $ | 255,985 | $ | 1,358,517 | $ | 670,257 | $ | 856,569 | $ | 300,833 | ||||||||||||||
148 | 9,276 | 103,022 | – | – | – | – | |||||||||||||||||||||
– | 94,928 | 66,883 | 643,795 | 12,064 | 109,580 | 311,589 | |||||||||||||||||||||
– | – | 334 | – | – | – | – | |||||||||||||||||||||
– | 5,678 | 1,572 | – | 1,984 | 1,929 | 1,101 | |||||||||||||||||||||
– | – | – | – | 2,897 | – | – | |||||||||||||||||||||
– | 6,097 | 348 | 54,649 | 2,965 | 8,316 | 5,409 | |||||||||||||||||||||
– | – | 809 | 2,318 | 1,352 | – | 890 | |||||||||||||||||||||
73 | 429 | 177 | 1,156 | 243 | 828 | 210 | |||||||||||||||||||||
796 | – | 25,091 | – | 2,478 | 2,740 | 5,684 | |||||||||||||||||||||
367 | 426 | 1,915 | 1,218 | 8,021 | 2,112 | 88 | |||||||||||||||||||||
– | – | 371 | 5,012 | 1,027 | – | 3,831 | |||||||||||||||||||||
– | – | 80 | 1,086 | – | – | 11 | |||||||||||||||||||||
– | 1,115 | 1 | 11,932 | 677 | 1,649 | 570 | |||||||||||||||||||||
– | 198 | 159 | 2,468 | 518 | 85 | 87 | |||||||||||||||||||||
– | – | 50 | 351 | 83 | 22 | – | |||||||||||||||||||||
7 | 19 | 11 | 58 | 20 | 25 | 18 | |||||||||||||||||||||
224,447 | 686,401 | 456,808 | 2,082,560 | 704,586 | 983,855 | 630,321 | |||||||||||||||||||||
238 | 368 | 319 | 1,261 | 703 | 629 | 656 | |||||||||||||||||||||
– | – | – | – | 503 | – | – | |||||||||||||||||||||
37 | 161 | 74 | 432 | 128 | 174 | 70 | |||||||||||||||||||||
18 | 133 | 79 | 402 | 47 | 150 | 51 | |||||||||||||||||||||
– | – | 45,529 | – | – | 101,938 | – | |||||||||||||||||||||
– | – | 18,849 | 2,320 | 2,466 | 2,273 | 551 | |||||||||||||||||||||
– | 2,064 | 106 | 1,456 | – | 173 | – | |||||||||||||||||||||
– | – | 1 | – | 221 | 36 | 5 | |||||||||||||||||||||
– | – | – | – | – | 888 | – | |||||||||||||||||||||
– | – | – | – | – | 132,194 | – | |||||||||||||||||||||
– | – | 44 | 1,861 | – | – | – | |||||||||||||||||||||
– | 106 | 187 | – | 559 | 363 | 8 | |||||||||||||||||||||
– | – | 46 | 1,633 | 59 | 685 | 238 | |||||||||||||||||||||
– | – | 14 | 5 | 114 | – | 14 | |||||||||||||||||||||
– | – | 411 | 6,406 | 1,800 | 60 | 1,016 | |||||||||||||||||||||
25 | 105 | 275 | 1,102 | 247 | 209 | 192 | |||||||||||||||||||||
– | – | – | 1 | – | – | – | |||||||||||||||||||||
– | – | 54 | 19 | – | – | – | |||||||||||||||||||||
31 | 81 | 86 | 269 | 164 | 1,131 | 81 | |||||||||||||||||||||
349 | 3,018 | 66,074 | 17,167 | 7,011 | 240,903 | 2,882 | |||||||||||||||||||||
$ | 224,098 | $ | 683,383 | $ | 390,734 | $ | 2,065,393 | $ | 697,575 | $ | 742,952 | $ | 627,439 | ||||||||||||||
$ | 233,856 | $ | 274,945 | $ | 264,131 | $ | 1,384,418 | $ | 757,174 | $ | 773,896 | $ | 288,563 | ||||||||||||||
148 | 9,276 | 103,022 | – | – | – | – | |||||||||||||||||||||
– | – | 762 | 2,122 | 1,302 | – | 877 | |||||||||||||||||||||
– | – | – | – | – | (73 | ) | – | ||||||||||||||||||||
– | – | (6 | ) | – | 584 | (49 | ) | 224 | |||||||||||||||||||
– | – | (45,024 | ) | – | – | (110,467 | ) | – | |||||||||||||||||||
SEI Institutional Managed Trust
309
STATEMENTS OF ASSETS AND LIABILITIES/CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) ($ Thousands)
March 31, 2023
Tax-Free Conservative Income Fund | ||||
Net Assets: | ||||
Paid-in capital — (unlimited authorization — no par value) | $ | 161,582 | ||
Total distributable earnings/(loss) | 3 | |||
Net Assets | $ | 161,585 | ||
Net Asset Value, Offering and Redemption Price Per Share — Class F | $ | 10.00 | ||
($157,521,951 ÷ 15,751,843 shares | ) | |||
Net Asset Value, Offering and Redemption Price Per Share — Class Y | $ | 10.02 | ||
($4,062,601 ÷ 405,535 shares | ) |
N/A - Not applicable. Share class currently not offered.
The accompanying notes are an integral part of the financial statements.
310
SEI Institutional Managed Trust
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 | |||||||||||||||||||||
$ | 242,344 | $ | 379,865 | $ | 420,506 | $ | 2,937,382 | $ | 779,799 | $ | 923,607 | $ | 636,527 | ||||||||||||||
(18,246 | ) | 303,518 | (29,772 | ) | (871,989 | ) | (82,224 | ) | (180,655 | ) | (9,088 | ) | |||||||||||||||
$ | 224,098 | $ | 683,383 | $ | 390,734 | $ | 2,065,393 | $ | 697,575 | $ | 742,952 | $ | 627,439 | ||||||||||||||
$ | 9.56 | $ | 14.32 | $ | 9.22 | $ | 6.98 | $ | 9.58 | $ | 7.86 | $ | 9.89 | ||||||||||||||
($208,761,995 ÷ 21,837,976 shares | ) | ($645,088,249 ÷ 45,035,081 shares | ) | ($376,181,550 ÷ 40,786,650 shares | ) | ($1,930,148,409 ÷ 276,390,602 shares | ) | ($559,817,177 ÷ 58,414,392 shares | ) | ($709,856,739 ÷ 90,258,966 shares | ) | ($597,215,795 ÷ 60,407,958 shares | ) | ||||||||||||||
$ | 9.60 | $ | 14.33 | $ | 9.21 | $ | 7.05 | $ | 9.58 | $ | 7.86 | $ | 9.90 | ||||||||||||||
($15,335,605 ÷ 1,596,880 shares | ) | ($38,295,497 ÷ 2,672,291 shares | ) | ($14,552,355 ÷ 1,579,208 shares | ) | ($135,244,276 ÷ 19,180,914 shares | ) | ($137,757,346 ÷ 14,375,946 shares | ) | ($33,095,517 ÷ 4,209,632 shares | ) | ($30,222,808 ÷ 3,052,399 shares | ) |
SEI Institutional Managed Trust
311
STATEMENTS OF OPERATIONS (Unaudited) ($ Thousands)
For the six month period ended March 31, 2023
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 15,304 | $ | 20,534 | $ | 6,899 | ||||||
Income from affiliated investments(1) | 309 | 251 | 193 | |||||||||
Security lending income - net(1) (2) | 2 | 36 | 9 | |||||||||
Less: foreign taxes withheld | (31 | ) | (174 | ) | – | |||||||
Total Investment Income | 15,584 | 20,647 | 7,101 | |||||||||
Expenses: | ||||||||||||
Investment advisory fees | 3,290 | 2,380 | 2,678 | |||||||||
Administration fees | 2,488 | 2,040 | 2,009 | |||||||||
Shareholder servicing fees Class F | 2,044 | 1,467 | 1,433 | |||||||||
Shareholder servicing fees Class I | – | 3 | 3 | |||||||||
Trustees' fees | 22 | 18 | 17 | |||||||||
Chief compliance officer fees | 6 | 5 | 4 | |||||||||
Administration servicing fees Class I | – | 3 | 3 | |||||||||
Printing fees | 76 | 63 | 58 | |||||||||
Professional fees | 52 | 42 | 41 | |||||||||
Custodian/Wire agent fees | 41 | 33 | 33 | |||||||||
Registration fees | 31 | 24 | 25 | |||||||||
Pricing fees | 19 | 15 | 15 | |||||||||
Other expenses | 18 | 15 | 14 | |||||||||
Total Expenses | 8,087 | 6,108 | 6,333 | |||||||||
Less: | ||||||||||||
Waiver of investment advisory fees | (232 | ) | (162 | ) | (492 | ) | ||||||
Waiver of shareholder servicing fees Class F | (16 | ) | (12 | ) | (11 | ) | ||||||
Waiver of shareholder servicing fees Class I | – | – | – | |||||||||
Waiver of administration fees | (373 | ) | (90 | ) | (88 | ) | ||||||
Net Expenses | 7,466 | 5,844 | 5,742 | |||||||||
Net Investment Income (Loss) | 8,118 | 14,803 | 1,359 | |||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 28,453 | 29,893 | (20,101 | ) | ||||||||
Affiliated investments | (4 | ) | 2 | (1 | ) | |||||||
Futures contracts | (80 | ) | 826 | 577 | ||||||||
Capital gains on Affiliated Investments | – | 2 | – | |||||||||
Net Realized Gain (Loss) | 28,369 | 30,723 | (19,525 | ) | ||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 202,131 | 138,371 | 207,527 | |||||||||
Affiliated investments | (3 | ) | 1 | – | ||||||||
Futures contracts | 1,277 | 1,035 | 716 | |||||||||
Foreign currency translation of other assets and liabilities denominated in foreign currencies | – | – | – | |||||||||
Net Change in Unrealized Appreciation (Depreciation) | $ | 203,405 | $ | 139,407 | $ | 208,243 | ||||||
Net Increase in Net Assets Resulting from Operations | $ | 239,892 | $ | 184,933 | $ | 190,077 |
(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.
312
SEI Institutional Managed Trust
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 | |||||||||||||||||||||
$ | 8,417 | $ | 37,432 | $ | 6,979 | $ | 4,100 | $ | 4,627 | $ | 1,318 | $ | 6,973 | ||||||||||||||
151 | 367 | 63 | 146 | 106 | 77 | 202 | |||||||||||||||||||||
46 | 16 | 6 | 9 | 5 | 33 | 9 | |||||||||||||||||||||
(1 | ) | (209 | ) | (2 | ) | (10 | ) | (7 | ) | (14 | ) | (9 | ) | ||||||||||||||
8,613 | 37,606 | 7,046 | 4,245 | 4,731 | 1,414 | 7,175 | |||||||||||||||||||||
244 | 7,734 | 119 | 1,800 | 1,238 | 1,060 | 2,691 | |||||||||||||||||||||
1,466 | 4,340 | 869 | 831 | 571 | 489 | 1,242 | |||||||||||||||||||||
1,222 | 4,243 | 980 | 664 | 395 | 363 | 912 | |||||||||||||||||||||
– | – | 7 | – | 1 | 1 | – | |||||||||||||||||||||
13 | 50 | 10 | 7 | 5 | 4 | 11 | |||||||||||||||||||||
3 | 13 | 3 | 2 | 1 | 1 | 3 | |||||||||||||||||||||
– | – | 7 | – | 1 | 1 | – | |||||||||||||||||||||
43 | 175 | 35 | 25 | 17 | 15 | 37 | |||||||||||||||||||||
30 | 119 | 24 | 17 | 12 | 10 | 25 | |||||||||||||||||||||
24 | 94 | 19 | 13 | 9 | 8 | 20 | |||||||||||||||||||||
14 | 61 | 15 | 10 | 7 | 6 | 15 | |||||||||||||||||||||
15 | 41 | 11 | 9 | 6 | 4 | 11 | |||||||||||||||||||||
41 | 41 | 41 | 6 | 4 | 4 | 9 | |||||||||||||||||||||
3,115 | 16,911 | 2,140 | 3,384 | 2,267 | 1,966 | 4,976 | |||||||||||||||||||||
(147 | ) | – | (40 | ) | (209 | ) | (149 | ) | (177 | ) | (318 | ) | |||||||||||||||
(733 | ) | (34 | ) | (784 | ) | (5 | ) | (3 | ) | (3 | ) | (109 | ) | ||||||||||||||
– | – | (1 | ) | – | – | – | – | ||||||||||||||||||||
(1,001 | ) | (210 | ) | (305 | ) | (34 | ) | (19 | ) | (14 | ) | (52 | ) | ||||||||||||||
1,234 | 16,667 | 1,010 | 3,136 | 2,096 | 1,772 | 4,497 | |||||||||||||||||||||
7,379 | 20,939 | 6,036 | 1,109 | 2,635 | (358 | ) | 2,678 | ||||||||||||||||||||
(7,076 | ) | 102,754 | 27,602 | 6,557 | 5,433 | (13,517 | ) | 10,642 | |||||||||||||||||||
– | – | – | – | – | 1 | – | |||||||||||||||||||||
(141 | ) | 1,496 | (50 | ) | (9 | ) | (87 | ) | – | (15 | ) | ||||||||||||||||
– | 1 | – | – | – | – | – | |||||||||||||||||||||
(7,217 | ) | 104,251 | 27,552 | 6,548 | 5,346 | (13,516 | ) | 10,627 | |||||||||||||||||||
133,700 | 448,912 | 78,679 | 43,850 | 32,276 | 43,197 | 70,586 | |||||||||||||||||||||
25 | 2 | – | – | – | – | – | |||||||||||||||||||||
1,169 | 966 | 697 | – | – | – | – | |||||||||||||||||||||
– | 2 | – | – | – | – | – | |||||||||||||||||||||
$ | 134,894 | $ | 449,882 | $ | 79,376 | $ | 43,850 | $ | 32,276 | $ | 43,197 | $ | 70,586 | ||||||||||||||
$ | 135,056 | $ | 575,072 | $ | 112,964 | $ | 51,507 | $ | 40,257 | $ | 29,323 | $ | 83,891 |
SEI Institutional Managed Trust
313
STATEMENTS OF OPERATIONS (Unaudited) ($ Thousands)
For the six month period ended March 31, 2023
Mid-Cap Fund | U.S. Managed Volatility Fund | Global Managed Volatility Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 692 | $ | 11,464 | $ | 11,947 | ||||||
Income from affiliated investments(1) | 28 | 319 | 210 | |||||||||
Interest income | – | – | 65 | |||||||||
Security lending income - net(1) (2) | 1 | 35 | 38 | |||||||||
Less: foreign taxes withheld | (1 | ) | (72 | ) | (656 | ) | ||||||
Total Investment Income | 720 | 11,746 | 11,604 | |||||||||
Expenses: | ||||||||||||
Investment advisory fees | 150 | 2,742 | 2,766 | |||||||||
Administration fees | 113 | 1,265 | 1,277 | |||||||||
Shareholder servicing fees Class F | 88 | 839 | 918 | |||||||||
Shareholder servicing fees Class I | – | 1 | 1 | |||||||||
Trustees' fees | 1 | 11 | 11 | |||||||||
Chief compliance officer fees | – | 3 | 3 | |||||||||
Administration servicing fees Class I | – | 1 | 1 | |||||||||
Printing fees | 3 | 39 | 39 | |||||||||
Professional fees | 2 | 26 | 27 | |||||||||
Custodian/Wire agent fees | 2 | 21 | 47 | |||||||||
Pricing fees | 2 | 10 | 13 | |||||||||
Registration fees | 1 | 15 | 15 | |||||||||
Interest expense | – | – | – | |||||||||
Other expenses | 1 | 9 | 9 | |||||||||
Total Expenses | 363 | 4,982 | 5,127 | |||||||||
Less: | ||||||||||||
Waiver of investment advisory fees | – | (1,099 | ) | (460 | ) | |||||||
Waiver of shareholder servicing fees Class F | (1 | ) | (7 | ) | (7 | ) | ||||||
Waiver of administration fees | – | (282 | ) | (69 | ) | |||||||
Net Expenses | 362 | 3,594 | 4,591 | |||||||||
Net Investment Income | 358 | 8,152 | 7,013 | |||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | (2,290 | ) | 52,466 | 14,255 | ||||||||
Affiliated investments | – | (1 | ) | – | ||||||||
Futures contracts | 39 | 412 | 604 | |||||||||
Foreign currency translation | – | (7 | ) | (2,071 | ) | |||||||
Forward foreign currency contracts | – | – | (1,096 | ) | ||||||||
Purchased options and swaptions | – | – | – | |||||||||
Written options and swaptions | – | – | – | |||||||||
Swap contracts | – | – | – | |||||||||
Net Realized Gain (Loss) | (2,251 | ) | 52,870 | 11,692 | ||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 9,923 | 39,803 | 91,287 | |||||||||
Affiliated investments | – | 1 | 7 | |||||||||
Futures contracts | 106 | 891 | 623 | |||||||||
Purchased options and swaptions | – | – | – | |||||||||
Written options and swaptions | – | – | – | |||||||||
Swap contracts | – | – | – | |||||||||
Foreign currency translation of other assets and liabilities denominated in foreign currencies | – | 12 | 332 | |||||||||
Forward foreign currency contracts | – | – | (7,053 | ) | ||||||||
Net Change in Unrealized Appreciation (Depreciation) | $ | 10,029 | $ | 40,707 | $ | 85,196 | ||||||
Net Increase in Net Assets Resulting from Operations | $ | 8,136 | $ | 101,729 | $ | 103,901 |
(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.
314
SEI Institutional Managed Trust
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 | |||||||||||||||||||||
$ | 8,788 | $ | 5,258 | $ | 1,273 | $ | 12 | $ | 640 | $ | – | $ | – | ||||||||||||||
357 | 79 | 27 | 1,919 | 434 | 39 | – | |||||||||||||||||||||
– | 33 | – | 69,229 | 78,789 | 7,810 | 2,393 | |||||||||||||||||||||
13 | 46 | – | 13 | – | – | – | |||||||||||||||||||||
(34 | ) | (520 | ) | – | – | (10 | ) | – | – | ||||||||||||||||||
9,124 | 4,896 | 1,300 | 71,173 | 79,853 | 7,849 | 2,393 | |||||||||||||||||||||
2,925 | 1,029 | 244 | 4,912 | 3,105 | 181 | 86 | |||||||||||||||||||||
1,350 | 713 | 113 | 2,974 | 1,274 | 361 | 173 | |||||||||||||||||||||
1,007 | 334 | 76 | 3,944 | 1,391 | 436 | 210 | |||||||||||||||||||||
– | – | – | 4 | – | – | – | |||||||||||||||||||||
12 | 4 | 1 | 47 | 17 | 5 | 2 | |||||||||||||||||||||
3 | 1 | – | 12 | 4 | 1 | 1 | |||||||||||||||||||||
– | – | – | 4 | – | – | – | |||||||||||||||||||||
41 | 14 | 3 | 161 | 57 | 17 | 8 | |||||||||||||||||||||
28 | 10 | 3 | 112 | 39 | 11 | 5 | |||||||||||||||||||||
22 | 21 | 2 | 87 | 32 | 8 | 4 | |||||||||||||||||||||
10 | 8 | 1 | 353 | 140 | 10 | 7 | |||||||||||||||||||||
16 | 6 | 2 | 66 | 23 | 5 | 3 | |||||||||||||||||||||
1 | – | – | – | – | – | – | |||||||||||||||||||||
10 | 4 | 1 | 39 | 14 | 3 | 3 | |||||||||||||||||||||
5,425 | 2,144 | 446 | 12,715 | 6,096 | 1,038 | 502 | |||||||||||||||||||||
(962 | ) | (436 | ) | (33 | ) | (1,361 | ) | (486 | ) | (72 | ) | (35 | ) | ||||||||||||||
(8 | ) | (3 | ) | (1 | ) | (32 | ) | (11 | ) | (261 | ) | (126 | ) | ||||||||||||||
(60 | ) | (5 | ) | – | – | (115 | ) | (165 | ) | (82 | ) | ||||||||||||||||
4,395 | 1,700 | 412 | 11,322 | 5,484 | 540 | 259 | |||||||||||||||||||||
4,729 | 3,196 | 888 | 59,851 | 74,369 | 7,309 | 2,134 | |||||||||||||||||||||
48,957 | (8,572 | ) | (638 | ) | (97,269 | ) | (42,781 | ) | 14 | – | |||||||||||||||||
– | 1 | – | 21 | – | – | – | |||||||||||||||||||||
877 | 451 | – | (22,372 | ) | – | – | – | ||||||||||||||||||||
– | 466 | – | (22 | ) | 2 | – | – | ||||||||||||||||||||
– | (150 | ) | – | (2,084 | ) | – | – | – | |||||||||||||||||||
– | – | – | (4,781 | ) | – | – | – | ||||||||||||||||||||
– | – | – | 6,623 | – | – | – | |||||||||||||||||||||
– | – | – | 4,988 | (57 | ) | – | – | ||||||||||||||||||||
49,834 | (7,804 | ) | (638 | ) | (114,896 | ) | (42,836 | ) | 14 | – | |||||||||||||||||
41,414 | 62,813 | 4,385 | 215,934 | 39,558 | 19 | 152 | |||||||||||||||||||||
– | 3 | 1 | 41 | – | – | – | |||||||||||||||||||||
547 | 183 | – | 22,561 | – | – | – | |||||||||||||||||||||
– | – | – | (22 | ) | – | – | – | ||||||||||||||||||||
– | – | – | 3,124 | – | – | – | |||||||||||||||||||||
– | – | – | (3,890 | ) | (381 | ) | – | – | |||||||||||||||||||
1 | 244 | – | 47 | – | – | – | |||||||||||||||||||||
– | – | – | 1,700 | – | – | – | |||||||||||||||||||||
$ | 41,962 | $ | 63,243 | $ | 4,386 | $ | 239,495 | $ | 39,177 | $ | 19 | $ | 152 | ||||||||||||||
$ | 96,525 | $ | 58,635 | $ | 4,636 | $ | 184,450 | $ | 70,710 | $ | 7,342 | $ | 2,286 |
SEI Institutional Managed Trust
315
STATEMENTS OF OPERATIONS/CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) ($ Thousands)
For the six month period ended March 31, 2023
Real Return Fund | Dynamic Asset Allocation Fund | |||||||
Investment Income: | ||||||||
Dividends | $ | – | $ | 5,192 | ||||
Income from affiliated investments(1) | 15 | 122 | ||||||
Interest income | 1,769 | 971 | ||||||
Less: foreign taxes withheld | – | (1 | ) | |||||
Total Investment Income | 1,784 | 6,284 | ||||||
Expenses: | ||||||||
Shareholder servicing fees Class F | 276 | 789 | ||||||
Investment advisory fees | 260 | 2,005 | ||||||
Administration fees | 236 | 1,002 | ||||||
Trustees' fees | 3 | 9 | ||||||
Chief compliance officer fees | 1 | 2 | ||||||
Printing fees | 10 | 30 | ||||||
Professional fees | 7 | 21 | ||||||
Custodian/Wire agent fees | 6 | 11 | ||||||
Registration fees | 4 | 12 | ||||||
Pricing fees | 3 | 9 | ||||||
Dividend and interest expense on securities sold short | – | – | ||||||
Interest expense | – | – | ||||||
Other expenses | 2 | 8 | ||||||
Total Expenses | 808 | 3,898 | ||||||
Less: | ||||||||
Waiver of investment advisory fees | (106 | ) | (1,382 | ) | ||||
Waiver of shareholder servicing fees Class F | (165 | ) | – | |||||
Waiver of administration fees | (11 | ) | (47 | ) | ||||
Net Expenses | 526 | 2,469 | ||||||
Net Investment Income | 1,258 | 3,815 | ||||||
Net Realized Gain (Loss) on: | ||||||||
Investments | (5,045 | ) | 39,751 | |||||
Securities sold short | – | – | ||||||
Futures contracts | – | (4,591 | ) | |||||
Foreign currency translation | – | (32 | ) | |||||
Forward foreign currency contracts | – | – | ||||||
Purchased options and swaptions | – | – | ||||||
Written options and swaptions | – | – | ||||||
Swap contracts | – | (6,820 | ) | |||||
Net Realized Gain (Loss) | (5,045 | ) | 28,308 | |||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||
Investments | 11,622 | 41,337 | ||||||
Securities sold short | – | – | ||||||
Futures contracts | – | 12,144 | ||||||
Purchased options and swaptions | – | – | ||||||
Written options and swaptions | – | – | ||||||
Swap contracts | – | (2,027 | ) | |||||
Foreign currency translation of other assets and liabilities denominated in foreign currencies | – | – | ||||||
Forward foreign currency contracts | – | – | ||||||
Net Change in Unrealized Appreciation (Depreciation) | $ | 11,622 | $ | 51,454 | ||||
Net Increase in Net Assets Resulting from Operations | $ | 7,835 | $ | 83,577 |
(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.
316
SEI Institutional Managed Trust
Multi-Strategy Alternative Fund | Multi-Asset Accumulation Fund | Multi-Asset Income Fund | Multi-Asset Inflation Managed Fund | Multi-Asset Capital Stability Fund | |||||||||||||||
$ | 2,411 | $ | 1,475 | $ | 1,011 | $ | 2,333 | $ | 399 | ||||||||||
2,371 | – | – | – | – | |||||||||||||||
6,365 | 36,137 | 23,708 | 14,147 | 9,812 | |||||||||||||||
(1 | ) | (105 | ) | (38 | ) | – | (1 | ) | |||||||||||
11,146 | 37,507 | 24,681 | 16,480 | 10,210 | |||||||||||||||
486 | 2,397 | 708 | 958 | 763 | |||||||||||||||
2,999 | 7,693 | 2,124 | 2,203 | 1,284 | |||||||||||||||
600 | 2,939 | 1,062 | 1,202 | 963 | |||||||||||||||
5 | 27 | 9 | 11 | 8 | |||||||||||||||
1 | 7 | 2 | 3 | 2 | |||||||||||||||
18 | 92 | 32 | 36 | 29 | |||||||||||||||
12 | 64 | 22 | 25 | 20 | |||||||||||||||
10 | 37 | 21 | 17 | 15 | |||||||||||||||
7 | 39 | 13 | 13 | 11 | |||||||||||||||
56 | 45 | 121 | 55 | 11 | |||||||||||||||
121 | – | – | 209 | – | |||||||||||||||
789 | – | – | 2,496 | – | |||||||||||||||
4 | 22 | 8 | 9 | 7 | |||||||||||||||
5,108 | 13,362 | 4,122 | 7,237 | 3,113 | |||||||||||||||
(1,357 | ) | (1,127 | ) | (639 | ) | (873 | ) | (128 | ) | ||||||||||
(4 | ) | – | (425 | ) | – | (458 | ) | ||||||||||||
(146 | ) | (375 | ) | (289 | ) | (87 | ) | (544 | ) | ||||||||||
3,601 | 11,860 | 2,769 | 6,277 | 1,983 | |||||||||||||||
7,545 | 25,647 | 21,912 | 10,203 | 8,227 | |||||||||||||||
(2,798 | ) | (5,020 | ) | 10,550 | (23,834 | ) | (2,479 | ) | |||||||||||
537 | – | – | (11,796 | ) | – | ||||||||||||||
28 | (71,837 | ) | (9,824 | ) | (11,557 | ) | (2,889 | ) | |||||||||||
(252 | ) | (10,069 | ) | 103 | (125 | ) | 1,476 | ||||||||||||
(138 | ) | (13,050 | ) | (618 | ) | (333 | ) | (8,703 | ) | ||||||||||
(806 | ) | – | (672 | ) | (1,281 | ) | (455 | ) | |||||||||||
340 | – | 818 | 1,259 | 335 | |||||||||||||||
(24 | ) | (2,017 | ) | 1,062 | 5,982 | (819 | ) | ||||||||||||
(3,113 | ) | (101,993 | ) | 1,419 | (41,685 | ) | (13,534 | ) | |||||||||||
17,890 | 64,895 | 19,429 | 66,701 | 14,178 | |||||||||||||||
(8,022 | ) | – | – | (12,680 | ) | – | |||||||||||||
(124 | ) | 162,231 | 16,478 | (2,881 | ) | 5,228 | |||||||||||||
137 | – | (771 | ) | (29 | ) | (243 | ) | ||||||||||||
337 | – | (1,140 | ) | 33 | 245 | ||||||||||||||
501 | 6,792 | (540 | ) | (7,973 | ) | 1,277 | |||||||||||||
3 | 1,065 | 165 | 34 | 239 | |||||||||||||||
(244 | ) | (8,407 | ) | (1,126 | ) | (5 | ) | 2,670 | |||||||||||
$ | 10,478 | $ | 226,576 | $ | 32,495 | $ | 43,200 | $ | 23,594 | ||||||||||
$ | 14,910 | $ | 150,230 | $ | 55,826 | $ | 11,718 | $ | 18,287 |
SEI Institutional Managed Trust
317
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the six month period ended March 31, 2023 (Unaudited) and the year ended September 30,
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | �� | |||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 8,118 | $ | 15,197 | $ | 14,803 | $ | 27,807 | $ | 1,359 | $ | (84 | ) | |||||||||||
Capital gain distribution from investment | — | — | 2 | — | — | — | ||||||||||||||||||
Net realized gain (loss) | 28,369 | 170,576 | 30,721 | 98,963 | (19,525 | ) | 116,112 | |||||||||||||||||
Net change in unrealized appreciation (depreciation) | 203,405 | (513,647 | ) | 139,407 | (260,933 | ) | 208,243 | (503,491 | ) | |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 239,892 | (327,874 | ) | 184,933 | (134,163 | ) | 190,077 | (387,463 | ) | |||||||||||||||
Distributions: | ||||||||||||||||||||||||
Class F: | (149,371 | ) | (268,239 | ) | (96,102 | ) | (80,770 | ) | (84,020 | ) | (189,817 | ) | ||||||||||||
Class I: | N/A | N/A | (178 | ) | (193 | ) | (172 | ) | (551 | ) | ||||||||||||||
Class Y: | (4,741 | ) | (13,977 | ) | (15,480 | ) | (13,213 | ) | (14,179 | ) | (28,424 | ) | ||||||||||||
Total Distributions | (154,112 | ) | (282,216 | ) | (111,760 | ) | (94,176 | ) | (98,371 | ) | (218,792 | ) | ||||||||||||
Capital Share Transactions:(1) | ||||||||||||||||||||||||
Class F: | ||||||||||||||||||||||||
Proceeds from shares issued | 90,067 | 208,257 | 76,472 | 218,643 | 66,857 | 271,763 | ||||||||||||||||||
Reinvestment of dividends & distributions | 137,025 | 246,549 | 90,137 | 75,731 | 78,562 | 176,988 | ||||||||||||||||||
Cost of shares redeemed | (186,268 | ) | (401,737 | ) | (137,780 | ) | (352,574 | ) | (127,706 | ) | (330,620 | ) | ||||||||||||
Net increase (decrease) from Class F transactions | 40,824 | 53,069 | 28,829 | (58,200 | ) | 17,713 | 118,131 | |||||||||||||||||
Class I: | ||||||||||||||||||||||||
Proceeds from shares issued | N/A | N/A | 34 | 1,353 | 111 | 434 | ||||||||||||||||||
Reinvestment of dividends & distributions | N/A | N/A | 153 | 173 | 154 | 495 | ||||||||||||||||||
Cost of shares redeemed | N/A | N/A | (509 | ) | (2,056 | ) | (22 | ) | (1,819 | ) | ||||||||||||||
Net increase (decrease) from Class I transactions | N/A | N/A | (322 | ) | (530 | ) | 243 | (890 | ) | |||||||||||||||
Class Y: | ||||||||||||||||||||||||
Proceeds from shares issued | 2,102 | 11,036 | 6,718 | 29,107 | 8,459 | 49,661 | ||||||||||||||||||
Reinvestment of dividends & distributions | 4,437 | 13,514 | 15,267 | 12,530 | 13,984 | 26,869 | ||||||||||||||||||
Cost of shares redeemed | (6,148 | ) | (58,092 | ) | (40,163 | ) | (39,750 | ) | (36,404 | ) | (31,042 | ) | ||||||||||||
Net increase (decrease) from Class Y transactions | 391 | (33,542 | ) | (18,178 | ) | 1,887 | (13,961 | ) | 45,488 | |||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 41,215 | 19,527 | 10,329 | (56,843 | ) | 3,995 | 162,729 | |||||||||||||||||
Net Increase (Decrease) in Net Assets | 126,995 | (590,563 | ) | 83,502 | (285,182 | ) | 95,701 | (443,526 | ) | |||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of period | 1,569,904 | 2,160,467 | 1,244,360 | 1,529,542 | 1,299,744 | 1,743,270 | ||||||||||||||||||
End of period | $ | 1,696,899 | $ | 1,569,904 | $ | 1,327,862 | $ | 1,244,360 | $ | 1,395,445 | $ | 1,299,744 |
(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.
318
SEI Institutional Managed Trust
Large Cap Index Fund | Tax-Managed Large Cap Fund | S&P 500 Index Fund | Small Cap Fund | ||||||||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||||||
$ | 7,379 | $ | 12,917 | $ | 20,939 | $ | 41,770 | $ | 6,036 | $ | 11,587 | $ | 1,109 | $ | 1,792 | ||||||||||||||||
— | — | 1 | 1 | — | — | — | — | ||||||||||||||||||||||||
(7,217 | ) | (12,516 | ) | 104,250 | 178,289 | 27,552 | 64,369 | 6,548 | 10,647 | ||||||||||||||||||||||
134,894 | (189,168 | ) | 449,882 | (834,376 | ) | 79,376 | (214,430 | ) | 43,850 | (125,890 | ) | ||||||||||||||||||||
135,056 | (188,767 | ) | 575,072 | (614,316 | ) | 112,964 | (138,474 | ) | 51,507 | (113,451 | ) | ||||||||||||||||||||
(7,114 | ) | (15,797 | ) | (199,839 | ) | (209,161 | ) | (71,700 | ) | (75,572 | ) | (3,950 | ) | (123,055 | ) | ||||||||||||||||
N/A | N/A | N/A | N/A | (470 | ) | (502 | ) | N/A | N/A | ||||||||||||||||||||||
N/A | N/A | (26,707 | ) | (27,949 | ) | N/A | N/A | (190 | ) | (5,426 | ) | ||||||||||||||||||||
(7,114 | ) | (15,797 | ) | (226,546 | ) | (237,110 | ) | (72,170 | ) | (76,074 | ) | (4,140 | ) | (128,481 | ) | ||||||||||||||||
105,082 | 303,335 | 102,654 | 299,638 | 47,046 | 97,115 | 26,297 | 71,913 | ||||||||||||||||||||||||
6,744 | 15,028 | 170,147 | 182,965 | 63,734 | 66,695 | 3,671 | 114,411 | ||||||||||||||||||||||||
(117,849 | ) | (302,229 | ) | (369,084 | ) | (609,242 | ) | (87,314 | ) | (191,252 | ) | (55,666 | ) | (114,277 | ) | ||||||||||||||||
(6,023 | ) | 16,134 | (96,283 | ) | (126,639 | ) | 23,466 | (27,442 | ) | (25,698 | ) | 72,047 | |||||||||||||||||||
N/A | N/A | N/A | N/A | 1,653 | 1,137 | N/A | N/A | ||||||||||||||||||||||||
N/A | N/A | N/A | N/A | 415 | 441 | N/A | N/A | ||||||||||||||||||||||||
N/A | N/A | N/A | N/A | (489 | ) | (2,208 | ) | N/A | N/A | ||||||||||||||||||||||
N/A | N/A | N/A | N/A | 1,579 | (630 | ) | N/A | N/A | |||||||||||||||||||||||
N/A | N/A | 63,694 | 52,211 | N/A | N/A | 3,349 | 3,654 | ||||||||||||||||||||||||
N/A | N/A | 24,857 | 26,149 | N/A | N/A | 182 | 5,232 | ||||||||||||||||||||||||
N/A | N/A | (60,040 | ) | (67,364 | ) | N/A | N/A | (3,381 | ) | (6,836 | ) | ||||||||||||||||||||
N/A | N/A | 28,511 | 10,996 | N/A | N/A | 150 | 2,050 | ||||||||||||||||||||||||
(6,023 | ) | 16,134 | (67,772 | ) | (115,643 | ) | 25,045 | (28,072 | ) | (25,548 | ) | 74,097 | |||||||||||||||||||
121,919 | (188,430 | ) | 280,754 | (967,069 | ) | 65,839 | (242,620 | ) | 21,819 | (167,835 | ) | ||||||||||||||||||||
901,688 | 1,090,118 | 3,610,298 | 4,577,367 | 745,367 | 987,987 | 514,514 | 682,349 | ||||||||||||||||||||||||
$ | 1,023,607 | $ | 901,688 | $ | 3,891,052 | $ | 3,610,298 | $ | 811,206 | $ | 745,367 | $ | 536,333 | $ | 514,514 |
SEI Institutional Managed Trust
319
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the six month period ended March 31, 2023 (Unaudited) and the year ended September 30,
Small Cap Value Fund | Small Cap Growth Fund | Tax-Managed Small/Mid Cap Fund | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 2,635 | $ | 3,602 | $ | (358 | ) | $ | (588 | ) | $ | 2,678 | $ | 3,398 | ||||||||||
Net realized gain (loss) | 5,346 | 16,576 | (13,516 | ) | (7,380 | ) | 10,627 | 3,875 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) | 32,276 | (91,145 | ) | 43,197 | (97,016 | ) | 70,586 | (193,182 | ) | |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 40,257 | (70,967 | ) | 29,323 | (104,984 | ) | 83,891 | (185,909 | ) | |||||||||||||||
Distributions: | ||||||||||||||||||||||||
Class F: | (16,038 | ) | (28,963 | ) | (140 | ) | (81,068 | ) | (5,564 | ) | (85,601 | ) | ||||||||||||
Class I: | (46 | ) | (150 | ) | — | (380 | ) | N/A | N/A | |||||||||||||||
Class Y: | (3,207 | ) | (5,667 | ) | (104 | ) | (9,315 | ) | (810 | ) | (10,758 | ) | ||||||||||||
Total Distributions | (19,291 | ) | (34,780 | ) | (244 | ) | (90,763 | ) | (6,374 | ) | (96,359 | ) | ||||||||||||
Capital Share Transactions:(1) | ||||||||||||||||||||||||
Class F: | ||||||||||||||||||||||||
Proceeds from shares issued | 15,800 | 66,183 | 14,639 | 45,964 | 30,306 | 80,105 | ||||||||||||||||||
Reinvestment of dividends & distributions | 14,943 | 26,971 | 130 | 74,743 | 4,735 | 74,501 | ||||||||||||||||||
Cost of shares redeemed | (41,656 | ) | (80,336 | ) | (33,063 | ) | (51,627 | ) | (94,163 | ) | (129,864 | ) | ||||||||||||
Net increase (decrease) from Class F transactions | (10,913 | ) | 12,818 | (18,294 | ) | 69,080 | (59,122 | ) | 24,742 | |||||||||||||||
Class I: | ||||||||||||||||||||||||
Proceeds from shares issued | 22 | 80 | 37 | 209 | N/A | N/A | ||||||||||||||||||
Reinvestment of dividends & distributions | 42 | 142 | — | 350 | N/A | N/A | ||||||||||||||||||
Cost of shares redeemed | (264 | ) | (1,000 | ) | (279 | ) | (685 | ) | N/A | N/A | ||||||||||||||
Net increase (decrease) from Class I transactions | (200 | ) | (778 | ) | (242 | ) | (126 | ) | N/A | N/A | ||||||||||||||
Class Y: | ||||||||||||||||||||||||
Proceeds from shares issued | 7,480 | 10,199 | 5,659 | 5,555 | 16,438 | 10,162 | ||||||||||||||||||
Reinvestment of dividends & distributions | 3,098 | 5,281 | 100 | 8,670 | 758 | 10,054 | ||||||||||||||||||
Cost of shares redeemed | (12,364 | ) | (7,967 | ) | (4,933 | ) | (5,884 | ) | (12,272 | ) | (12,217 | ) | ||||||||||||
Net increase (decrease) from Class Y transactions | (1,786 | ) | 7,513 | 826 | 8,341 | 4,924 | 7,999 | |||||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | (12,899 | ) | 19,553 | (17,710 | ) | 77,295 | (54,198 | ) | 32,741 | |||||||||||||||
Net Increase (Decrease) in Net Assets | 8,067 | (86,194 | ) | 11,369 | (118,452 | ) | 23,319 | (249,527 | ) | |||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of period | 347,839 | 434,033 | 309,953 | 428,405 | 780,749 | 1,030,276 | ||||||||||||||||||
End of period | $ | 355,906 | $ | 347,839 | $ | 321,322 | $ | 309,953 | $ | 804,068 | $ | 780,749 |
(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.
320
SEI Institutional Managed Trust
Mid-Cap Fund | U.S. Managed | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | Tax-Managed International Managed Volatility Fund | |||||||||||||||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | 2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||||||||||||
$ | 358 | $ | 554 | $ | 8,152 | $ | 16,905 | $ | 7,013 | $ | 13,451 | $ | 4,729 | $ | 9,962 | $ | 3,196 | $ | 11,095 | ||||||||||||||||||||
(2,251 | ) | (960 | ) | 52,870 | 76,648 | 11,692 | 74,274 | 49,834 | 49,297 | (7,804 | ) | (7,972 | ) | ||||||||||||||||||||||||||
10,029 | (12,428 | ) | 40,707 | (139,047 | ) | 85,196 | (166,756 | ) | 41,962 | (74,192 | ) | 63,243 | (81,538 | ) | |||||||||||||||||||||||||
8,136 | (12,834 | ) | 101,729 | (45,494 | ) | 103,901 | (79,031 | ) | 96,525 | (14,933 | ) | 58,635 | (78,415 | ) | |||||||||||||||||||||||||
(345 | ) | (17,821 | ) | (63,831 | ) | (74,613 | ) | (73,644 | ) | (99,371 | ) | (48,047 | ) | (44,793 | ) | (7,560 | ) | (10,683 | ) | ||||||||||||||||||||
(1 | ) | (119 | ) | (52 | ) | (119 | ) | (46 | ) | (117 | ) | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
(24 | ) | (702 | ) | (15,858 | ) | (20,458 | ) | (11,197 | ) | (14,771 | ) | (5,050 | ) | (4,339 | ) | (1,396 | ) | (1,958 | ) | ||||||||||||||||||||
(370 | ) | (18,642 | ) | (79,741 | ) | (95,190 | ) | (84,887 | ) | (114,259 | ) | (53,097 | ) | (49,132 | ) | (8,956 | ) | (12,641 | ) | ||||||||||||||||||||
3,834 | 44,463 | 51,926 | 130,696 | 47,259 | 111,073 | 45,310 | 111,375 | 37,938 | 55,878 | ||||||||||||||||||||||||||||||
320 | 16,597 | 54,076 | 63,699 | 62,439 | 84,681 | 39,073 | 37,742 | 6,387 | 9,216 | ||||||||||||||||||||||||||||||
(6,837 | ) | (44,477 | ) | (131,769 | ) | (189,071 | ) | (110,743 | ) | (198,493 | ) | (145,306 | ) | (223,539 | ) | (64,717 | ) | (74,475 | ) | ||||||||||||||||||||
(2,683 | ) | 16,583 | (25,767 | ) | 5,324 | (1,045 | ) | (2,739 | ) | (60,923 | ) | (74,422 | ) | (20,392 | ) | (9,381 | ) | ||||||||||||||||||||||
4 | 109 | — | 8 | — | 8 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||||
1 | 118 | 52 | 119 | 45 | 116 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||||
— | (410 | ) | — | (844 | ) | — | (605 | ) | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||
5 | (183 | ) | 52 | (717 | ) | 45 | (481 | ) | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||
398 | 1,412 | 28,146 | 17,409 | 24,230 | 18,351 | 31,779 | 10,885 | 23,607 | 7,289 | ||||||||||||||||||||||||||||||
24 | 696 | 13,994 | 18,535 | 9,232 | 12,865 | 4,449 | 3,848 | 1,292 | 1,685 | ||||||||||||||||||||||||||||||
(245 | ) | (862 | ) | (21,491 | ) | (54,045 | ) | (17,541 | ) | (28,874 | ) | (8,244 | ) | (14,652 | ) | (16,175 | ) | (11,416 | ) | ||||||||||||||||||||
177 | 1,246 | 20,649 | (18,101 | ) | 15,921 | 2,342 | 27,984 | 81 | 8,724 | (2,442 | ) | ||||||||||||||||||||||||||||
(2,501 | ) | 17,646 | (5,066 | ) | (13,494 | ) | 14,921 | (878 | ) | (32,939 | ) | (74,341 | ) | (11,668 | ) | (11,823 | ) | ||||||||||||||||||||||
5,265 | (13,830 | ) | 16,922 | (154,178 | ) | 33,935 | (194,168 | ) | 10,489 | (138,406 | ) | 38,011 | (102,879 | ) | |||||||||||||||||||||||||
68,994 | 82,824 | 797,442 | 951,620 | 816,386 | 1,010,554 | 865,674 | 1,004,080 | 292,604 | 395,483 | ||||||||||||||||||||||||||||||
$ | 74,259 | $ | 68,994 | $ | 814,364 | $ | 797,442 | $ | 850,321 | $ | 816,386 | $ | 876,163 | $ | 865,674 | $ | 330,615 | $ | 292,604 |
SEI Institutional Managed Trust
321
STATEMENTS OF CHANGES IN NET ASSETS/CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the six month period ended March 31, 2023 (Unaudited) and the year ended September 30,
Real Estate Fund | Core Fixed Income Fund | High Yield Bond Fund | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 888 | $ | 1,020 | $ | 59,851 | $ | 79,457 | $ | 74,369 | $ | 73,878 | ||||||||||||
Capital gain distribution from investment | — | — | — | 4 | — | 1 | ||||||||||||||||||
Net realized gain (loss) | (638 | ) | 4,757 | (114,896 | ) | (283,960 | ) | (42,836 | ) | (18,628 | ) | |||||||||||||
Net change in unrealized appreciation (depreciation) | 4,386 | (22,939 | ) | 239,495 | (551,107 | ) | 39,177 | (253,960 | ) | |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,636 | (17,162 | ) | 184,450 | (755,606 | ) | 70,710 | (198,709 | ) | |||||||||||||||
Distributions: | ||||||||||||||||||||||||
Class F: | (2,619 | ) | (7,139 | ) | (51,132 | ) | (82,466 | ) | (119,901 | ) | (89,328 | ) | ||||||||||||
Class I: | (7 | ) | (30 | ) | (47 | ) | (85 | ) | — | (15 | ) | |||||||||||||
Class Y: | (612 | ) | (1,354 | ) | (7,239 | ) | (11,442 | ) | (16,925 | ) | (13,180 | ) | ||||||||||||
Total Distributions | (3,238 | ) | (8,523 | ) | (58,418 | ) | (93,993 | ) | (136,826 | ) | (102,523 | ) | ||||||||||||
Capital Share Transactions:(1) | ||||||||||||||||||||||||
Class F: | ||||||||||||||||||||||||
Proceeds from shares issued | 3,665 | 34,788 | 243,971 | 674,455 | 96,519 | 241,315 | ||||||||||||||||||
Reinvestment of dividends & distributions | 2,345 | 6,464 | 46,626 | 75,249 | 105,385 | 79,075 | ||||||||||||||||||
Cost of shares redeemed | (9,792 | ) | (42,936 | ) | (435,767 | ) | (904,145 | ) | (175,541 | ) | (372,248 | ) | ||||||||||||
Net increase (decrease) from Class F transactions | (3,782 | ) | (1,684 | ) | (145,170 | ) | (154,441 | ) | 26,363 | (51,858 | ) | |||||||||||||
Class I: | ||||||||||||||||||||||||
Proceeds from shares issued | 1 | 4 | 77 | 335 | — | 5 | ||||||||||||||||||
Reinvestment of dividends & distributions | 7 | 30 | 34 | 67 | — | 16 | ||||||||||||||||||
Cost of shares redeemed | — | (235 | ) | (634 | ) | (1,234 | ) | — | (576 | ) | ||||||||||||||
Net increase (decrease) from Class I transactions | 8 | (201 | ) | (523 | ) | (832 | ) | — | (555 | ) | ||||||||||||||
Class Y: | ||||||||||||||||||||||||
Proceeds from shares issued | 1,125 | 2,448 | 69,799 | 72,075 | 30,018 | 37,252 | ||||||||||||||||||
Reinvestment of dividends & distributions | 597 | 1,298 | 7,057 | 11,112 | 16,639 | 12,850 | ||||||||||||||||||
Cost of shares redeemed | (1,830 | ) | (4,344 | ) | (75,963 | ) | (80,320 | ) | (32,286 | ) | (48,456 | ) | ||||||||||||
Net increase (decrease) from Class Y transactions | (108 | ) | (598 | ) | 893 | 2,867 | 14,371 | 1,646 | ||||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | (3,882 | ) | (2,483 | ) | (144,800 | ) | (152,406 | ) | 40,734 | (50,767 | ) | |||||||||||||
Net Increase (Decrease) in Net Assets | (2,484 | ) | (28,168 | ) | (18,768 | ) | (1,002,005 | ) | (25,382 | ) | (351,999 | ) | ||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of period | 75,163 | 103,331 | 3,605,696 | 4,607,701 | 1,274,904 | 1,626,903 | ||||||||||||||||||
End of period | $ | 72,679 | $ | 75,163 | $ | 3,586,928 | $ | 3,605,696 | $ | 1,249,522 | $ | 1,274,904 |
(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.
322
SEI Institutional Managed Trust
Conservative Income Fund | Tax-Free Conservative Income Fund | Real Return Fund | Dynamic Asset Allocation Fund | ||||||||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||||||
$ | 7,309 | $ | 2,072 | $ | 2,134 | $ | 748 | $ | 1,258 | $ | 18,918 | $ | 3,815 | $ | 5,060 | ||||||||||||||||
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
14 | 5 | — | 1 | (5,045 | ) | (183 | ) | 28,308 | 83,108 | ||||||||||||||||||||||
19 | (87 | ) | 152 | (168 | ) | 11,622 | (31,793 | ) | 51,454 | (181,567 | ) | ||||||||||||||||||||
7,342 | 1,990 | 2,286 | 581 | 7,835 | (13,058 | ) | 83,577 | (93,399 | ) | ||||||||||||||||||||||
(6,979 | ) | (1,944 | ) | (2,058 | ) | (698 | ) | (7,948 | ) | (15,792 | ) | (79,107 | ) | (84,694 | ) | ||||||||||||||||
N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
(260 | ) | (98 | ) | (59 | ) | (33 | ) | (555 | ) | (1,141 | ) | (4,735 | ) | (4,926 | ) | ||||||||||||||||
(7,239 | ) | (2,042 | ) | (2,117 | ) | (731 | ) | (8,503 | ) | (16,933 | ) | (83,842 | ) | (89,620 | ) | ||||||||||||||||
168,550 | 234,776 | 17,737 | 66,380 | 29,144 | 109,238 | 34,494 | 83,921 | ||||||||||||||||||||||||
5,534 | 1,495 | 1,683 | 581 | 6,574 | 12,967 | 73,416 | 78,820 | ||||||||||||||||||||||||
(113,671 | ) | (160,921 | ) | (38,872 | ) | (73,634 | ) | (67,359 | ) | (81,437 | ) | (60,563 | ) | (208,511 | ) | ||||||||||||||||
60,413 | 75,350 | (19,452 | ) | (6,673 | ) | (31,641 | ) | 40,768 | 47,347 | (45,770 | ) | ||||||||||||||||||||
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 | ||||||||||||||||||||||||
1,654 | 5,123 | 381 | 8,200 | 2,836 | 4,179 | 1,611 | 6,378 | ||||||||||||||||||||||||
245 | 93 | 55 | 31 | 522 | 1,082 | 4,616 | 4,823 | ||||||||||||||||||||||||
(5,208 | ) | (6,877 | ) | (1,268 | ) | (12,607 | ) | (4,725 | ) | (4,514 | ) | (3,384 | ) | (12,907 | ) | ||||||||||||||||
(3,309 | ) | (1,661 | ) | (832 | ) | (4,376 | ) | (1,367 | ) | 747 | 2,843 | (1,706 | ) | ||||||||||||||||||
57,104 | 73,689 | (20,284 | ) | (11,049 | ) | (33,008 | ) | 41,515 | 50,190 | (47,476 | ) | ||||||||||||||||||||
57,207 | 73,637 | (20,115 | ) | (11,199 | ) | (33,676 | ) | 11,524 | 49,925 | (230,495 | ) | ||||||||||||||||||||
360,280 | 286,643 | 181,700 | 192,899 | 257,774 | 246,250 | 633,458 | 863,953 | ||||||||||||||||||||||||
$ | 417,487 | $ | 360,280 | $ | 161,585 | $ | 181,700 | $ | 224,098 | $ | 257,774 | $ | 683,383 | $ | 633,458 |
SEI Institutional Managed Trust
323
STATEMENTS OF CHANGES IN NET ASSETS/CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the six month period ended March 31, 2023 (Unaudited) and the year ended September 30,
Multi-Strategy | Multi-Asset | Multi-Asset | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 7,545 | $ | 3,636 | $ | 25,647 | $ | 31,471 | $ | 21,912 | $ | 36,848 | ||||||||||||
Capital gain distribution from investment | — | 2 | — | — | — | — | ||||||||||||||||||
Net realized gain (loss) | (3,113 | ) | (11,608 | ) | (101,993 | ) | (346,046 | ) | 1,419 | 3,910 | ||||||||||||||
Net change in unrealized appreciation (depreciation) | 10,478 | (24,218 | ) | 226,576 | (223,528 | ) | 32,495 | (183,279 | ) | |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 14,910 | (32,188 | ) | 150,230 | (538,103 | ) | 55,826 | (142,521 | ) | |||||||||||||||
Distributions: | ||||||||||||||||||||||||
Class F: | (8,221 | ) | (31,913 | ) | (179,960 | ) | (319,256 | ) | (22,375 | ) | (29,430 | ) | ||||||||||||
Class Y: | (190 | ) | (651 | ) | (10,363 | ) | (24,540 | ) | (5,595 | ) | (7,046 | ) | ||||||||||||
Total Distributions | (8,411 | ) | (32,564 | ) | (190,323 | ) | (343,796 | ) | (27,970 | ) | (36,476 | ) | ||||||||||||
Capital Share Transactions:(1) | ||||||||||||||||||||||||
Class F: | ||||||||||||||||||||||||
Proceeds from shares issued | 21,311 | 56,599 | 124,743 | 287,707 | 35,112 | 92,813 | ||||||||||||||||||
Reinvestment of dividends & distributions | 7,370 | 28,632 | 162,704 | 291,088 | 19,223 | 25,506 | ||||||||||||||||||
Cost of shares redeemed | (53,743 | ) | (76,788 | ) | (203,160 | ) | (378,794 | ) | (85,169 | ) | (164,750 | ) | ||||||||||||
Net increase (decrease) from Class F transactions | (25,062 | ) | 8,443 | 84,287 | 200,001 | (30,834 | ) | (46,431 | ) | |||||||||||||||
Class Y: | ||||||||||||||||||||||||
Proceeds from shares issued | 7,020 | 1,611 | 32,408 | 22,797 | 17,286 | 18,241 | ||||||||||||||||||
Reinvestment of dividends & distributions | 176 | 615 | 10,041 | 24,167 | 5,106 | 6,305 | ||||||||||||||||||
Cost of shares redeemed | (844 | ) | (1,491 | ) | (54,337 | ) | (31,818 | ) | (28,003 | ) | (24,915 | ) | ||||||||||||
Net increase (decrease) from Class Y transactions | 6,352 | 735 | (11,888 | ) | 15,146 | (5,611 | ) | (369 | ) | |||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | (18,710 | ) | 9,178 | 72,399 | 215,147 | (36,445 | ) | (46,800 | ) | |||||||||||||||
Net Increase (Decrease) in Net Assets | (12,211 | ) | (55,574 | ) | 32,306 | (666,752 | ) | (8,589 | ) | (225,797 | ) | |||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of period | 402,945 | 458,519 | 2,033,087 | 2,699,839 | 706,164 | 931,961 | ||||||||||||||||||
End of period | $ | 390,734 | $ | 402,945 | $ | 2,065,393 | $ | 2,033,087 | $ | 697,575 | $ | 706,164 |
(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.
324
SEI Institutional Managed Trust
Multi-Asset Inflation Managed Fund | Multi-Asset Capital Stability Fund | ||||||||||||||
2023 | 2022 | 2023 | 2022 | ||||||||||||
$ | 10,203 | $ | 33,404 | $ | 8,227 | $ | 1,920 | ||||||||
— | — | — | — | ||||||||||||
(41,685 | ) | 49,635 | (13,534 | ) | (6,255 | ) | |||||||||
43,200 | (38,005 | ) | 23,594 | (25,351 | ) | ||||||||||
11,718 | 45,034 | 18,287 | (29,686 | ) | |||||||||||
(84,359 | ) | (58,859 | ) | (11,392 | ) | (18,556 | ) | ||||||||
(4,142 | ) | (3,253 | ) | (616 | ) | (1,084 | ) | ||||||||
(88,501 | ) | (62,112 | ) | (12,008 | ) | (19,640 | ) | ||||||||
53,933 | 192,810 | 45,543 | 145,926 | ||||||||||||
76,463 | 53,507 | 8,961 | 14,496 | ||||||||||||
(130,542 | ) | (250,560 | ) | (89,569 | ) | (170,164 | ) | ||||||||
(146 | ) | (4,243 | ) | (35,065 | ) | (9,742 | ) | ||||||||
5,517 | 4,229 | 1,129 | 4,063 | ||||||||||||
4,022 | 3,181 | 590 | 1,051 | ||||||||||||
(7,785 | ) | (15,746 | ) | (4,300 | ) | (8,043 | ) | ||||||||
1,754 | (8,336 | ) | (2,581 | ) | (2,929 | ) | |||||||||
1,608 | (12,579 | ) | (37,646 | ) | (12,671 | ) | |||||||||
(75,175 | ) | (29,657 | ) | (31,367 | ) | (61,997 | ) | ||||||||
818,127 | 847,784 | 658,806 | 720,803 | ||||||||||||
$ | 742,952 | $ | 818,127 | $ | 627,439 | $ | 658,806 |
SEI Institutional Managed Trust
325
CONSOLIDATED STATEMENT OF CASH FLOWS (Unaudited) ($ Thousands)
For the six month period ended March 31, 2023
Multi-Asset Inflation Managed Fund | ||||
Cash Flows Provided By Operating Activities: | ||||
Net Increase in Net Assets Resulting from Operations | $ | 11,718 | ||
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to Net Cash Provided by Operating Activities: | ||||
Purchase of Investment Securities | (867,399 | ) | ||
Proceeds from Disposition of Investment Securities | 966,303 | |||
Proceeds from Securities Sold Short | (66,549 | ) | ||
Purchases to Cover Securities Sold Short | 40,548 | |||
Purchased Options/Purchases to Cover Written Options | (89 | ) | ||
Amortization (Accretion of Market Discount) | (6,328 | ) | ||
Net Realized (Gain) Loss on: | ||||
Investments, Options and Securities Sold Short | 35,652 | |||
Net Change in Unrealized (Appreciation) Depreciation on: | ||||
Investments, Options and Securities Sold Short | (54,025 | ) | ||
Changes in Assets: | ||||
OTC Swap Contracts, at Value | 707 | |||
Cash Collateral on Over The Counter Swaps | 570 | |||
Cash Collateral on Centrally Cleared Swaps | (689 | ) | ||
Cash Collateral on Futures | 2,780 | |||
Receivable for Investment Securities Sold | 1,207 | |||
Dividends and Interest Receivable | 125 | |||
Receivable for Variation Margin on Futures | (607 | ) | ||
Receivable for Variation Margin on Swaps | 213 | |||
Foreign Tax Reclaim receivable | (16 | ) | ||
Unrealized Loss on Forward Foreign Currency Contracts | 4 | |||
Due from Broker | 457 | |||
Prepaid expenses | (12 | ) | ||
Changes in Liabilities: | ||||
OTC Swap Contracts, at Value | (3,840 | ) | ||
Payable for Investment Securities Purchased | (10,602 | ) | ||
Administration Fees Payable | (26 | ) | ||
Shareholder Servicing Fees Payable | 150 | |||
Payable for Variation Margin on Futures | (774 | ) | ||
Payable for Variation Margin on Swaps | 144 | |||
Repurchase Agreements Payable | (467 | ) | ||
Investment Advisory Fees Payable | (22 | ) | ||
Due to Broker | (1,393 | ) | ||
Unrealized Gain on Forward Foreign Currency Contracts | 1 | |||
Accrued Expense Payable | 860 | |||
Net Cash Provided by Operating Activities | 48,601 | |||
Cash Flows Used In Financing Activities | ||||
Reverse Repurchase Agreements | 11,551 | |||
Dividends and Distributions | (88,501 | ) | ||
Proceeds from Shares Issued | 58,798 | |||
Reinvestment of Dividends and Distributions | 80,485 | |||
Cost of Shares Redeemed | (138,471 | ) | ||
Net Cash Used In Financing Activities | (76,138 | ) | ||
Net Change in Cash, Restricted Cash, and Foreign Currency | (27,537 | ) | ||
Cash, Restricted Cash, and Foreign Currency at Beginning of Period | $ | 137,117 | ||
Cash, Restricted Cash, and Foreign Currency at End of Period | $ | 109,580 | ||
Supplemental Disclosure of Cash Flow Information Interest paid | $ | 2,496 |
The accompanying notes are an integral part of the financial statements.
326
SEI Institutional Managed Trust
FINANCIAL HIGHLIGHTS
For the period ended March 31, 2023 (Unaudited) and 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 12.66 | $ | 0.06 | $ | 1.84 | $ | 1.90 | $ | (0.03 | ) | $ | (1.23 | ) | $ | (1.26 | ) | $ | 13.30 | 15.50 | % | $ | 1,643,725 | 0.89 | % | 0.97 | % | 0.95 | % | 13 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 12.66 | $ | 0.08 | $ | 1.84 | $ | 1.92 | $ | (0.04 | ) | $ | (1.23 | ) | $ | (1.27 | ) | $ | 13.31 | 15.66 | % | $ | 53,174 | 0.64 | % | 0.72 | % | 1.20 | % | 13 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 23.02 | $ | 0.27 | $ | 3.11 | $ | 3.38 | $ | (0.34 | ) | $ | (1.77 | ) | $ | (2.11 | ) | $ | 24.29 | 14.81 | % | $ | 1,158,885 | 0.89 | % | 0.93 | % | 2.15 | % | 10 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 23.05 | $ | 0.24 | $ | 3.13 | $ | 3.37 | $ | (0.32 | ) | $ | (1.77 | ) | $ | (2.09 | ) | $ | 24.33 | 14.71 | % | $ | 1,901 | 1.11 | % | 1.18 | % | 1.92 | % | 10 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 23.02 | $ | 0.30 | $ | 3.11 | $ | 3.41 | $ | (0.37 | ) | $ | (1.77 | ) | $ | (2.14 | ) | $ | 24.29 | 14.96 | % | $ | 167,076 | 0.64 | % | 0.68 | % | 2.38 | % | 10 | % | ||||||||||||||||||||||||||
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. |
(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
327
FINANCIAL HIGHLIGHTS
For the period ended March 31, 2023 (Unaudited) and 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 34.86 | $ | 0.03 | $ | 4.99 | $ | 5.02 | $ | (0.03 | ) | $ | (2.68 | ) | $ | (2.71 | ) | $ | 37.17 | 15.11 | % | $ | 1,206,580 | 0.89 | % | 0.98 | % | 0.17 | % | 24 | % | |||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 33.49 | $ | (0.01 | ) | $ | 4.78 | $ | 4.77 | $ | (0.01 | ) | $ | (2.68 | ) | $ | (2.69 | ) | $ | 35.57 | 14.98 | % | $ | 2,485 | 1.11 | % | 1.23 | % | (0.05 | )% | 24 | % | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 35.03 | $ | 0.07 | $ | 5.02 | $ | 5.09 | $ | (0.05 | ) | $ | (2.68 | ) | $ | (2.73 | ) | $ | 37.39 | 15.26 | % | $ | 186,380 | 0.64 | % | 0.73 | % | 0.42 | % | 24 | % | |||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 12.60 | $ | 0.10 | $ | 1.79 | $ | 1.89 | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | 14.39 | 15.06 | % | $ | 1,023,607 | 0.25 | % | 0.25 | % | 1.51 | % | 5 | % | ||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 28.50 | $ | 0.16 | $ | 4.39 | $ | 4.55 | $ | (0.16 | ) | $ | (1.69 | ) | $ | (1.85 | ) | $ | 31.20 | 16.23 | % | $ | 3,391,955 | 0.89 | % | 0.91 | % | 1.05 | % | 6 | % | |||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 28.52 | $ | 0.20 | $ | 4.38 | $ | 4.58 | $ | (0.20 | ) | $ | (1.69 | ) | $ | (1.89 | ) | $ | 31.21 | 16.33 | % | $ | 499,097 | 0.64 | % | 0.66 | % | 1.30 | % | 6 | % | |||||||||||||||||||||||||
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. |
Amounts designated as “—“are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
328
SEI Institutional Managed Trust
FINANCIAL HIGHLIGHTS
For the period ended March 31, 2023 (Unaudited) and 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 72.34 | $ | 0.57 | $ | 10.18 | $ | 10.75 | $ | (0.56 | ) | $ | (6.56 | ) | $ | (7.12 | ) | $ | 75.97 | 15.47 | % | $ | 804,465 | 0.25 | % | 0.54 | % | 1.53 | % | 1 | % | |||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 72.85 | $ | 0.43 | $ | 10.26 | $ | 10.69 | $ | (0.42 | ) | $ | (6.56 | ) | $ | (6.98 | ) | $ | 76.56 | 15.23 | % | $ | 6,741 | 0.65 | % | 0.79 | % | 1.14 | % | 1 | % | |||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 10.83 | $ | 0.02 | $ | 1.06 | $ | 1.08 | $ | (0.02 | ) | $ | (0.07 | ) | $ | (0.09 | ) | $ | 11.82 | 9.97 | % | $ | 513,175 | 1.14 | % | 1.23 | % | 0.39 | % | 50 | % | |||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 10.97 | $ | 0.04 | $ | 1.07 | $ | 1.11 | $ | (0.04 | ) | $ | (0.07 | ) | $ | (0.11 | ) | $ | 11.97 | 10.08 | % | $ | 23,158 | 0.89 | % | 0.98 | % | 0.64 | % | 50 | % | |||||||||||||||||||||||||
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. |
(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 $0.01 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
329
FINANCIAL HIGHLIGHTS
For the period ended March 31, 2023 (Unaudited) and 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 20.77 | $ | 0.15 | $ | 2.19 | $ | 2.34 | $ | (0.14 | ) | $ | (1.03 | ) | $ | (1.17 | ) | $ | 21.94 | 11.23 | % | $ | 295,561 | 1.14 | % | 1.23 | % | 1.34 | % | 19 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 20.55 | $ | 0.13 | $ | 2.16 | $ | 2.29 | $ | (0.11 | ) | $ | (1.03 | ) | $ | (1.14 | ) | $ | 21.70 | 11.12 | % | $ | 666 | 1.36 | % | 1.48 | % | 1.11 | % | 19 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 20.78 | $ | 0.18 | $ | 2.20 | $ | 2.38 | $ | (0.17 | ) | $ | (1.03 | ) | $ | (1.20 | ) | $ | 21.96 | 11.42 | % | $ | 59,679 | 0.89 | % | 0.98 | % | 1.58 | % | 19 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 27.01 | $ | (0.04 | ) | $ | 2.59 | $ | 2.55 | $ | (0.01 | ) | $ | — | $ | (0.01 | ) | $ | 29.55 | 9.46 | % | $ | 284,234 | 1.11 | % | 1.23 | % | (0.24 | )% | 76 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 25.02 | $ | (0.07 | ) | $ | 2.40 | $ | 2.33 | $ | — | $ | — | $ | — | $ | 27.35 | 9.31 | % | $ | 674 | 1.36 | % | 1.48 | % | (0.49 | )% | 76 | % | ||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 27.66 | $ | — | $ | 2.64 | $ | 2.64 | $ | (0.09 | ) | $ | — | $ | (0.09 | ) | $ | 30.21 | 9.57 | % | $ | 36,414 | 0.86 | % | 0.98 | % | — | % | 76 | % | |||||||||||||||||||||||||||
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. |
(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.
330
SEI Institutional Managed Trust
FINANCIAL HIGHLIGHTS
For the period ended March 31, 2023 (Unaudited) and 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 20.64 | $ | 0.07 | $ | 2.13 | $ | 2.20 | $ | (0.08 | ) | $ | (0.09 | ) | $ | (0.17 | ) | $ | 22.67 | 10.69 | % | $ | 701,535 | 1.11 | % | 1.23 | % | 0.62 | % | 26 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 20.68 | $ | 0.10 | $ | 2.13 | $ | 2.23 | $ | (0.10 | ) | $ | (0.09 | ) | $ | (0.19 | ) | $ | 22.72 | 10.84 | % | $ | 102,533 | 0.89 | % | 0.98 | % | 0.85 | % | 26 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 22.81 | $ | 0.12 | $ | 2.55 | $ | 2.67 | $ | (0.12 | ) | $ | — | $ | (0.12 | ) | $ | 25.36 | 11.74 | % | $ | 69,772 | 0.98 | % | 0.99 | % | 0.93 | % | 36 | % | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 22.75 | $ | 0.09 | $ | 2.54 | $ | 2.63 | $ | (0.09 | ) | $ | — | $ | (0.09 | ) | $ | 25.29 | 11.60 | % | $ | 351 | 1.20 | % | 1.24 | % | 0.72 | % | 36 | % | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 22.82 | $ | 0.15 | $ | 2.55 | $ | 2.70 | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | $ | 25.37 | 11.87 | % | $ | 4,136 | 0.73 | % | 0.74 | % | 1.19 | % | 36 | % | |||||||||||||||||||||||||||
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. |
(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
331
FINANCIAL HIGHLIGHTS
For the period ended March 31, 2023 (Unaudited) and 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 15.00 | $ | 0.15 | $ | 1.76 | $ | 1.91 | $ | (0.13 | ) | $ | (1.43 | ) | $ | (1.56 | ) | $ | 15.35 | 12.77 | % | $ | 635,079 | 0.90 | % | 1.23 | % | 1.88 | % | 24 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 15.00 | $ | 0.13 | $ | 1.75 | $ | 1.88 | $ | (0.11 | ) | $ | (1.43 | ) | $ | (1.54 | ) | $ | 15.34 | 12.56 | % | $ | 559 | 1.15 | % | 1.48 | % | 1.63 | % | 24 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 15.01 | $ | 0.17 | $ | 1.75 | $ | 1.92 | $ | (0.15 | ) | $ | (1.43 | ) | $ | (1.58 | ) | $ | 15.35 | 12.84 | % | $ | 178,726 | 0.65 | % | 0.98 | % | 2.13 | % | 24 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 9.55 | $ | 0.08 | $ | 1.13 | $ | 1.21 | $ | (0.53 | ) | $ | (0.48 | ) | $ | (1.01 | ) | $ | 9.75 | 12.93 | % | $ | 726,066 | 1.11 | % | 1.24 | % | 1.61 | % | 45 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 9.28 | $ | 0.07 | $ | 1.09 | $ | 1.16 | $ | (0.50 | ) | $ | (0.48 | ) | $ | (0.98 | ) | $ | 9.46 | 12.78 | % | $ | 470 | 1.36 | % | 1.49 | % | 1.38 | % | 45 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 9.58 | $ | 0.09 | $ | 1.14 | $ | 1.23 | $ | (0.56 | ) | $ | (0.48 | ) | $ | (1.04 | ) | $ | 9.77 | 13.08 | % | $ | 123,785 | 0.86 | % | 0.99 | % | 1.87 | % | 45 | % | ||||||||||||||||||||||||||
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. |
(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.
332
SEI Institutional Managed Trust
FINANCIAL HIGHLIGHTS
For the period ended March 31, 2023 (Unaudited) and 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 18.39 | $ | 0.10 | $ | 1.96 | $ | 2.06 | $ | (0.09 | ) | $ | (1.08 | ) | $ | (1.17 | ) | $ | 19.28 | 11.26 | % | $ | 766,504 | 1.00 | % | 1.23 | % | 1.02 | % | 8 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 18.39 | $ | 0.12 | $ | 1.97 | $ | 2.09 | $ | (0.11 | ) | $ | (1.08 | ) | $ | (1.19 | ) | $ | 19.29 | 11.45 | % | $ | 109,659 | 0.75 | % | 0.98 | % | 1.29 | % | 8 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 8.69 | $ | 0.09 | $ | 1.68 | $ | 1.77 | $ | (0.28 | ) | $ | — | $ | (0.28 | ) | $ | 10.18 | 20.49 | % | $ | 272,928 | 1.11 | % | 1.39 | % | 1.95 | % | 43 | % | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 8.71 | $ | 0.11 | $ | 1.66 | $ | 1.77 | $ | (0.30 | ) | $ | — | $ | (0.30 | ) | $ | 10.18 | 20.54 | % | $ | 57,687 | 0.86 | % | 1.14 | % | 2.37 | % | 43 | % | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 13.56 | $ | 0.16 | $ | 0.69 | $ | 0.85 | $ | (0.09 | ) | $ | (0.51 | ) | $ | (0.60 | ) | $ | 13.81 | 6.27 | % | $ | 58,568 | 1.14 | % | 1.23 | % | 2.32 | % | 28 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 13.54 | $ | 0.15 | $ | 0.67 | $ | 0.82 | $ | (0.08 | ) | $ | (0.51 | ) | $ | (0.59 | ) | $ | 13.77 | 6.08 | % | $ | 175 | 1.36 | % | 1.48 | % | 2.12 | % | 28 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 13.57 | $ | 0.18 | $ | 0.68 | $ | 0.86 | $ | (0.10 | ) | $ | (0.51 | ) | $ | (0.61 | ) | $ | 13.82 | 6.38 | % | $ | 13,936 | 0.89 | % | 0.98 | % | 2.59 | % | 28 | % | ||||||||||||||||||||||||||
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. |
(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
333
FINANCIAL HIGHLIGHTS
For the period ended March 31, 2023 (Unaudited) and 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 9.37 | $ | 0.16 | $ | 0.32 | $ | 0.48 | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | $ | 9.70 | 5.21 | % | $ | 3,158,857 | 0.66 | % | 0.74 | % | 3.32 | % | 174 | % | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 9.35 | $ | 0.15 | $ | 0.33 | $ | 0.48 | $ | (0.14 | ) | $ | — | $ | (0.14 | ) | $ | 9.69 | 5.21 | % | $ | 3,020 | 0.88 | % | 0.99 | % | 3.09 | % | 174 | % | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 9.37 | $ | 0.17 | $ | 0.34 | $ | 0.51 | $ | (0.17 | ) | $ | — | $ | (0.17 | ) | $ | 9.71 | 5.44 | % | $ | 425,051 | 0.41 | % | 0.49 | % | 3.58 | % | 174 | % | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 5.75 | $ | 0.24 | $ | 0.08 | $ | 0.32 | $ | (0.24 | ) | $ | (0.38 | ) | $ | (0.62 | ) | $ | 5.45 | 5.57 | % | $ | 1,083,536 | 0.89 | % | 0.99 | % | 8.44 | % | 24 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 5.53 | $ | 0.22 | $ | 0.08 | $ | 0.30 | $ | (0.22 | ) | $ | (0.38 | ) | $ | (0.60 | ) | $ | 5.23 | 5.55 | % | $ | 3 | 1.07 | % | 1.18 | % | 8.28 | % | 24 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 5.75 | $ | 0.24 | $ | 0.08 | $ | 0.32 | $ | (0.24 | ) | $ | (0.38 | ) | $ | (0.62 | ) | $ | 5.45 | 5.70 | % | $ | 165,983 | 0.64 | % | 0.74 | % | 8.70 | % | 24 | % | ||||||||||||||||||||||||||
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. |
(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.
334
SEI Institutional Managed Trust
FINANCIAL HIGHLIGHTS/CONSOLIDATED FINANCIAL HIGHLIGHTS
For the period ended March 31, 2023 (Unaudited) and 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 10.00 | $ | 0.20 | $ | — | $ | 0.20 | $ | (0.20 | ) | $ | — | ^ | $ | (0.20 | ) | $ | 10.00 | 2.00 | % | $ | 405,494 | 0.30 | % | 0.58 | % | 4.05 | % | – | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 10.01 | $ | 0.20 | $ | 0.01 | $ | 0.21 | $ | (0.21 | ) | $ | — | ^ | $ | (0.21 | ) | $ | 10.01 | 2.11 | % | $ | 11,993 | 0.20 | % | 0.33 | % | 4.06 | % | – | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 9.99 | $ | 0.12 | $ | 0.01 | $ | 0.13 | $ | (0.12 | ) | $ | — | $ | (0.12 | ) | $ | 10.00 | 1.33 | % | $ | 157,522 | 0.30 | % | 0.59 | % | 2.46 | % | – | % | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 10.01 | $ | 0.13 | $ | 0.01 | $ | 0.14 | $ | (0.13 | ) | $ | — | $ | (0.13 | ) | $ | 10.02 | 1.38 | % | $ | 4,063 | 0.20 | % | 0.34 | % | 2.56 | % | – | % | |||||||||||||||||||||||||||
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. |
(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
335
FINANCIAL HIGHLIGHTS/CONSOLIDATED FINANCIAL HIGHLIGHTS
For the period ended March 31, 2023 (Unaudited) and 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 9.57 | $ | 0.05 | $ | 0.27 | $ | 0.32 | $ | (0.29 | ) | $ | (0.04 | ) | $ | (0.33 | ) | $ | 9.56 | 3.38 | % | $ | 208,762 | 0.45 | % | 0.70 | % | 1.06 | % | 16 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 9.62 | $ | 0.05 | $ | 0.26 | $ | 0.31 | $ | (0.29 | ) | $ | (0.04 | ) | $ | (0.33 | ) | $ | 9.60 | 3.31 | % | $ | 15,336 | 0.35 | % | 0.45 | % | 1.15 | % | 16 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 14.41 | $ | 0.08 | $ | 1.75 | $ | 1.83 | $ | (0.40 | ) | $ | (1.52 | ) | $ | (1.92 | ) | $ | 14.32 | 13.37 | % | $ | 645,088 | 0.75 | % | 1.18 | % | 1.12 | % | 20 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 14.43 | $ | 0.11 | $ | 1.75 | $ | 1.86 | $ | (0.44 | ) | $ | (1.52 | ) | $ | (1.96 | ) | $ | 14.33 | 13.59 | % | $ | 38,295 | 0.50 | % | 0.93 | % | 1.50 | % | 20 | % | ||||||||||||||||||||||||||
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. |
(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.
336
SEI Institutional Managed Trust
FINANCIAL HIGHLIGHTS/CONSOLIDATED FINANCIAL HIGHLIGHTS
For the period ended March 31, 2023 (Unaudited) and 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 9.08 | $ | 0.17 | $ | 0.16 | $ | 0.33 | $ | (0.19 | ) | $ | — | $ | (0.19 | ) | $ | 9.22 | 3.71 | % | $ | 376,182 | 1.81 | %(2) | 2.56 | % | 3.77 | % | 243 | % | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 9.08 | $ | 0.18 | $ | 0.17 | $ | 0.35 | $ | (0.22 | ) | $ | — | $ | (0.22 | ) | $ | 9.21 | 3.88 | % | $ | 14,552 | 1.56 | %(7) | 2.32 | % | 3.90 | % | 243 | % | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 7.17 | $ | 0.09 | $ | 0.42 | $ | 0.51 | $ | (0.70 | ) | $ | — | $ | (0.70 | ) | $ | 6.98 | 7.52 | % | $ | 1,930,149 | 1.17 | % | 1.32 | % | 2.53 | % | 81 | % | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 7.25 | $ | 0.07 | $ | 0.45 | $ | 0.52 | $ | (0.72 | ) | $ | — | $ | (0.72 | ) | $ | 7.05 | 7.61 | % | $ | 135,244 | 0.92 | % | 1.07 | % | 2.08 | % | 81 | % | |||||||||||||||||||||||||||
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. |
(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.
SEI Institutional Managed Trust
337
FINANCIAL HIGHLIGHTS/CONSOLIDATED FINANCIAL HIGHLIGHTS
For the period ended March 31, 2023 (Unaudited) and 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 9.22 | $ | 0.29 | $ | 0.45 | $ | 0.74 | $ | (0.38 | ) | $ | — | $ | (0.38 | ) | $ | 9.58 | 8.22 | % | $ | 559,817 | 0.80 | % | 1.21 | % | 6.17 | % | 25 | % | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 9.22 | $ | 0.30 | $ | 0.44 | $ | 0.74 | $ | (0.38 | ) | $ | — | $ | (0.38 | ) | $ | 9.58 | 8.27 | % | $ | 137,758 | 0.70 | % | 0.96 | % | 6.27 | % | 25 | % | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 8.68 | $ | 0.11 | $ | 0.03 | $ | 0.14 | $ | (0.96 | ) | $ | — | $ | (0.96 | ) | $ | 7.86 | 1.33 | % | $ | 709,857 | 1.58 | %(3) | 1.82 | % | 2.56 | % | 66 | % | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 8.69 | $ | 0.09 | $ | 0.06 | $ | 0.15 | $ | (0.98 | ) | $ | — | $ | (0.98 | ) | $ | 7.86 | 1.49 | % | $ | 33,095 | 1.33 | %(4) | 1.57 | % | 2.22 | % | 66 | % | |||||||||||||||||||||||||||
2022 | 8.92 | 0.34 | 0.11 | 0.45 | (0.68 | ) | — | (0.68 | ) | 8.69 | 5.36 | 34,931 | 0.98 | (5) | 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 | (4) | 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 | (4) | 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 | (4) | 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. |
(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 0.65%. |
(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 0.64%. |
(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.
338
SEI Institutional Managed Trust
FINANCIAL HIGHLIGHTS/CONSOLIDATED FINANCIAL HIGHLIGHTS
For the period ended March 31, 2023 (Unaudited) and 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 9.79 | $ | 0.13 | $ | 0.15 | $ | 0.28 | $ | (0.18 | ) | $ | — | $ | (0.18 | ) | $ | 9.89 | 2.95 | % | $ | 597,216 | 0.62 | % | 0.98 | % | 2.56 | % | 64 | % | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | $ | 9.81 | $ | 0.13 | $ | 0.16 | $ | 0.29 | $ | (0.20 | ) | $ | — | $ | (0.20 | ) | $ | 9.90 | 2.95 | % | $ | 30,223 | 0.52 | % | 0.73 | % | 2.66 | % | 64 | % | |||||||||||||||||||||||||||
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. |
(1) | Per share calculated using average shares. |
^ | Amount represents less than 0.005%. |
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
339
Notes to Financial Statements/Consolidated Notes to Financial Statements
March 31, 2023 (Unaudited)
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 collateralized debt
340
SEI Institutional Managed Trust
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 willing to provide a price, (vi) trading of the security is subject to local government-imposed restrictions; or (vii)
SEI Institutional Managed Trust
341
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
March 31, 2023 (Unaudited)
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.)
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
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Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.
Debt securities are valued in accordance with the evaluated bid price supplied by the pricing service and generally categorized as Level 2 in the hierarchy. Other securities that are categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, warrants, swaps and forward contracts. The Fund may use a systematic fair valuation model provided by an independent pricing service to value foreign equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the NYSE. These are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. For certain collateralized debt obligations, corporate obligations, mortgage backed securities, auction rate preferred securities and loan participations where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
The valuation techniques used by the Funds to measure fair value during the six month period ended March 31, 2023, 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 six month period ended March 31, 2023, 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, 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.
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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 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.
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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 March 31, 2023, 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 March 31, 2023, 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 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
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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 March 31, 2023, 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 March 31, 2023, if applicable.
Swap Agreements — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in swap contracts as an efficient means to synthetically obtain exposure to securities or baskets of securities and to manage a Fund’s interest rate duration and yield curve exposure. Swap contracts may also be used to mitigate a Fund’s overall level of risk and/or a Fund’s risk to particular types of securities, currencies or market segments. Interest rate swaps may further be used to
manage a Fund’s yield spread sensitivity. A Fund may buy credit default swaps in an attempt to manage credit risk where a Fund has credit exposure to an issuer, and a Fund may sell credit default swaps to more efficiently gain credit exposure to a security or basket of securities. A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or “basket” of securities representing a particular index. Swap agreements are privately negotiated in the over-the-counter market (“OTC swaps”) or may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“Centrally Cleared swaps”). Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit-default swaps involve periodic payments by a Fund or counterparty based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the recovery rate used to settle the contracts. The recovery rate is a function of how many credit default swap investors wish to deliver the security or receive the security. The recovery rate is determined through an auction process. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR or some other form of indices on the notional amount. Payments received or made are recorded as realized gains or loss. A Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Interest rate swap contracts outstanding at year end, if any, are listed after a Fund’s
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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 March 31, 2023, 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 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
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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 March 31, 2023. 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; are declared daily and paid monthly for the Core Fixed Income, High Yield Bond, Conservative Income, Tax-Free Conservative Income and Multi-Asset Income.
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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 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.
SEI Institutional Managed Trust
349
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
March 31, 2023 (Unaudited)
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 | $ | - | $ | - | $ | - | $ | 1,575,363 | $ | - | $ | 1,575,363 | ||||||||||||
101-200 | - | - | - | - | - | - | ||||||||||||||||||
> than 200 | - | - | - | - | - | - | ||||||||||||||||||
Total | $ | - | $ | - | $ | - | $ | 1,575,363 | $ | - | $ | 1,575,363 |
MULTI-STRATEGY ALTERNATIVE FUND | 0-6 MONTHS | 6-12 MONTHS | 1-5 YEARS | 5-10 YEARS | > 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points) | ||||||||||||||||||||||||
0-100 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | ||||||||||||
101-200 | - | - | - | - | - | - | ||||||||||||||||||
201-300 | - | - | - | (491,838 | ) | - | (491,838 | ) | ||||||||||||||||
301-400 | - | - | - | - | - | - | ||||||||||||||||||
> than 400 | - | - | - | - | - | - | ||||||||||||||||||
Total | $ | - | $ | - | $ | - | $ | (491,838 | ) | $ | - | $ | (491,838 | ) |
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 | $ | 148,679 | $ | - | $ | 289,510 | $ | 1,407 | $ | - | $ | 439,596 | ||||||||||||
101-200 | - | - | - | (14,598 | ) | - | (14,598 | ) | ||||||||||||||||
201-300 | - | - | 112,267 | - | - | 112,267 | ||||||||||||||||||
301-400 | - | - | 149,110 | - | - | 149,110 | ||||||||||||||||||
> than 400 | - | - | - | - | - | - | ||||||||||||||||||
Total | $ | 148,679 | $ | - | $ | 550,887 | $ | (13,191 | ) | $ | - | $ | 686,375 |
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 | - | - | 115,488 | - | (173,472 | ) | (57,984 | ) | ||||||||||||||||
Total | $ | - | $ | - | $ | 115,488 | $ | - | $ | (173,472 | ) | $ | (57,984 | ) |
350
SEI Institutional Managed Trust
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 | $ | - | $ | - | $ | 35,316 | $ | - | $ | - | $ | 35,316 | ||||||||||||
101-400 | - | - | - | - | - | - | ||||||||||||||||||
> than 400 | - | - | 81,291 | - | - | 81,291 | ||||||||||||||||||
Total | $ | - | $ | - | $ | 116,607 | $ | - | $ | - | $ | 116,607 |
* | The credit spread on the underlying asset is generally indicative of the current status of the underlying risk of the Fund having to perform. The spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a contract. Higher credit spreads with a shorter contract term is indicative of a higher likelihood of performance by the Fund. |
The credit spread disclosed above for each reference obligation where the Fund is the seller of protection is a representation of the current payment/performance risk of the swap.
4. DERIVATIVE TRANSACTIONS
The following tables show the derivatives categorized by underlying risk exposure.
The fair value of derivative instruments as of March 31, 2023 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 | $ | 581 | * | Unrealized depreciation on futures contracts | $ | — | * | ||
Total Derivatives not accounted for as hedging instruments | $ | 581 | $ | — | ||||||
Large Cap Value Fund | ||||||||||
Equity contracts | Unrealized appreciation on | $ | 365 | * | Unrealized depreciation on futures contracts | $ | — | * | ||
Total Derivatives not accounted for as hedging instruments | $ | 365 | $ | — | ||||||
Large Cap Growth Fund | ||||||||||
Equity contracts | Unrealized appreciation on | $ | 200 | * | Unrealized depreciation on futures contracts | $ | — | * | ||
Total Derivatives not accounted for as hedging instruments | $ | 200 | $ | — | ||||||
Large Cap Index Fund | ||||||||||
Equity contracts | Unrealized appreciation on | $ | 383 | * | Unrealized depreciation on futures contracts | $ | — | * | ||
Total Derivatives not accounted for as hedging instruments | $ | 383 | $ | — | ||||||
Tax-Managed Large Cap Fund | ||||||||||
Equity contracts | Unrealized appreciation on | $ | 488 | * | Unrealized depreciation on futures contracts | $ | — | * | ||
Total Derivatives not accounted for as hedging instruments | $ | 488 | $ | — | ||||||
S&P 500 Index Fund | ||||||||||
Equity contracts | Unrealized appreciation on | $ | 162 | * | Unrealized depreciation on futures contracts | $ | — | * | ||
Total Derivatives not accounted for as hedging instruments | $ | 162 | $ | — | ||||||
U.S. Managed Volatility Fund | ||||||||||
Equity contracts | Unrealized appreciation on | $ | 435 | * | Unrealized depreciation on futures contracts | $ | — | * | ||
Total Derivatives not accounted for as hedging instruments | $ | 435 | $ | — |
SEI Institutional Managed Trust
351
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
March 31, 2023 (Unaudited)
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 |
Global Managed Volatility Fund | ||||||||||
Equity contracts | Unrealized appreciation on | $ | 187 | * | Unrealized depreciation on futures contracts | $ | 1 | * | ||
Foreign exchange contracts | Unrealized gain on forward foreign | 641 | Unrealized loss on forward foreign | 3,441 | ||||||
Total Derivatives not accounted for as hedging instruments | $ | 828 | $ | 3,442 | ||||||
Tax-Managed Managed Volatility Fund | ||||||||||
Equity contracts | Unrealized appreciation on | $ | 347 | * | Unrealized depreciation on futures contracts | $ | — | * | ||
Total Derivatives not accounted for as hedging instruments | $ | 347 | $ | — | ||||||
Tax-Managed International Managed Volatility Fund | ||||||||||
Equity contracts | Unrealized appreciation on | $ | 113 | * | Unrealized depreciation on futures contracts | $ | — | * | ||
Total Derivatives not accounted for as hedging instruments | $ | 113 | $ | — | ||||||
Core Fixed Income Fund | ||||||||||
Interest rate contracts | Unrealized appreciation on | $ | 7,665 | * | Unrealized depreciation on | $ | 3,539 | * | ||
Unrealized appreciation on | 9,064 | † | Unrealized depreciation on | 799 | † | |||||
Investments purchased, at value | 730 | Options written, at value | 1,336 | |||||||
Foreign exchange contracts | Unrealized gain on forward foreign | 662 | Unrealized loss on forward foreign | 912 | ||||||
Credit contracts | Unrealized appreciation on | 469 | † | Unrealized depreciation on swap contracts | 170 | † | ||||
Total Derivatives not accounted for as hedging instruments | $ | 18,590 | $ | 6,756 | ||||||
Dynamic Asset Allocation Fund | ||||||||||
Equity contracts | Unrealized appreciation on | $ | 4,148 | * | Unrealized depreciation on | $ | — | * | ||
Unrealized appreciation on | — | † | Unrealized depreciation on swap contracts | — | † | |||||
Interest Rate contracts | Unrealized appreciation on | 580 | † | Unrealized depreciation on swap contracts | 2,680 | † | ||||
Total Derivatives not accounted for as hedging instruments | $ | 4,728 | $ | 2,680 | ||||||
Multi-Strategy Alternative Fund | ||||||||||
Interest rate contracts | Unrealized appreciation on | $ | — | * | Unrealized depreciation on | $ | 31 | * | ||
Unrealized appreciation on | 80 | † | Unrealized depreciation on | 106 | † | |||||
Equity contracts | Investments purchased, at value | 1,368 | Options and Swaptions written, at value | 1 | ||||||
Foreign exchange contracts | Unrealized gain on forward foreign | 371 | Unrealized loss on forward foreign | 411 | ||||||
Credit contracts | Unrealized appreciation on | 77 | † | Unrealized depreciation on | 120 | † | ||||
Total Derivatives not accounted for as hedging instruments | $ | 1,896 | $ | 669 |
352
SEI Institutional Managed Trust
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 | |||||||
Multi-Asset Accumulation Fund | ||||||||||
Interest rate contracts | Unrealized appreciation on | $ | 37,833 | * | Unrealized depreciation on futures contracts | $ | — | * | ||
Unrealized appreciation on | — | † | Unrealized depreciation on | — | † | |||||
Equity contracts | Unrealized appreciation on | 17,708 | * | Unrealized depreciation on | 1,078 | * | ||||
Unrealized appreciation on | 1,086 | † | Unrealized depreciation on | 1,456 | † | |||||
Foreign exchange contracts | Unrealized gain on forward foreign | 5,012 | Unrealized loss on forward foreign | 6,406 | ||||||
Commodity contracts | Unrealized appreciation on | 7,220 | * | Unrealized depreciation on future contracts | 4,684 | * | ||||
Total Derivatives not accounted for as hedging instruments | $ | 68,859 | $ | 13,624 | ||||||
Multi-Asset Income Fund | ||||||||||
Interest rate contracts | Unrealized appreciation on | Unrealized depreciation on | ||||||||
futures contracts | $ | 3,733 | * | futures contracts | $ | 372 | * | |||
Unrealized appreciation on | 877 | † | Unrealized depreciation on | 1,544 | † | |||||
Equity Contracts | Options purchased, at value | 1 | Options and Swaptions written, at value | 15 | ||||||
Foreign exchange contracts | Unrealized gain on forward foreign | 1,027 | Unrealized loss on forward foreign | 1,800 | ||||||
Investments purchased, at value | 445 | Options and Swaptions written, at value | 206 | |||||||
Credit contracts | Unrealized appreciation on | 460 | † | Unrealized depreciation on | 101 | † | ||||
Total Derivatives not accounted for as hedging instruments | $ | 6,543 | $ | 4,038 | ||||||
Multi-Asset Inflation Managed Fund | ||||||||||
Interest rate contracts | Unrealized appreciation on | $ | 401 | * | Unrealized depreciation on futures contracts | $ | 320 | * | ||
Unrealized appreciation on | 761 | † | Unrealized depreciation on | 1,436 | † | |||||
Equity contracts | Unrealized appreciation on | — | * | Unrealized depreciation on | 1,903 | * | ||||
Foreign exchange contracts | Unrealized gain on forward foreign | — | Unrealized loss on forward foreign | 60 | ||||||
Commodity contracts | Unrealized appreciation on | 3,860 | * | Unrealized depreciation on future contracts | 3,939 | * | ||||
Investments purchased, at value | 71 | Options and Swaptions written, at value | 36 | |||||||
Credit contracts | Unrealized appreciation on | 134 | † | Unrealized depreciation on swaps contracts | 692 | † | ||||
Total Derivatives not accounted for as hedging instruments | $ | 5,227 | $ | 8,386 |
SEI Institutional Managed Trust
353
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
March 31, 2023 (Unaudited)
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 | |||||||
Multi-Asset Capital Stability Fund | ||||||||||
Interest rate contracts | Unrealized appreciation on | $ | 1,188 | * | Unrealized depreciation on futures contracts | $ | 2 | * | ||
Unrealized appreciation on | 184 | † | Unrealized depreciation on | 60 | † | |||||
Equity contracts | Unrealized appreciation on | 1,950 | * | Unrealized depreciation on | 672 | * | ||||
Unrealized appreciation on | 11 | † | Unrealized depreciation on | — | † | |||||
Investments purchased, at value | 13 | Options written, at value | 5 | |||||||
Foreign exchange contracts | Unrealized gain on forward foreign | 3,831 | Unrealized loss on forward foreign | 1,016 | ||||||
Credit contracts | Unrealized appreciation on | 6 | † | Unrealized depreciation on swap contracts | 83 | † | ||||
Total Derivatives not accounted for as hedging instruments | $ | 7,183 | $ | 1,838 |
* | 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 six month period ended March 31, 2023:
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 | Swaps | Total | ||||||||||||||||||
Large Cap Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (80 | ) | $ | — | $ | — | $ | (80 | ) | ||||||||||
Total | $ | — | $ | — | $ | (80 | ) | $ | — | $ | — | $ | (80 | ) | ||||||||||
| ||||||||||||||||||||||||
Large Cap Value Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 826 | $ | — | $ | — | $ | 826 | ||||||||||||
Total | $ | — | $ | — | $ | 826 | $ | — | $ | — | $ | 826 | ||||||||||||
| ||||||||||||||||||||||||
Large Cap Growth Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 557 | $ | — | $ | — | $ | 557 | ||||||||||||
Total | $ | — | $ | — | $ | 557 | $ | — | $ | — | $ | 557 | ||||||||||||
| ||||||||||||||||||||||||
Large Cap Index Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (141 | ) | $ | — | $ | — | $ | (141 | ) | ||||||||||
Total | $ | — | $ | — | $ | (141 | ) | $ | — | $ | — | $ | (141 | ) | ||||||||||
| ||||||||||||||||||||||||
Tax-Managed Large Cap Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 1,496 | $ | — | $ | — | $ | 1,496 | ||||||||||||
Total | $ | — | $ | — | $ | 1,496 | $ | — | $ | — | $ | 1,496 | ||||||||||||
| ||||||||||||||||||||||||
S&P 500 Index Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (50 | ) | $ | — | $ | — | $ | (50 | ) | ||||||||||
Total | $ | — | $ | — | $ | (50 | ) | $ | — | $ | — | $ | (50 | ) | ||||||||||
| ||||||||||||||||||||||||
Small Cap Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (9 | ) | $ | — | $ | — | $ | (9 | ) | ||||||||||
Total | $ | — | $ | — | $ | (9 | ) | $ | — | $ | — | $ | (9 | ) | ||||||||||
| ||||||||||||||||||||||||
Small Cap Value Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (87 | ) | $ | — | $ | — | $ | (87 | ) | ||||||||||
Total | $ | — | $ | — | $ | (87 | ) | $ | — | $ | — | $ | (87 | ) | ||||||||||
|
354
SEI Institutional Managed Trust
Derivatives Not Accounted for as Hedging Instruments | Purchased Options and Swaptions | Written Options and Swaptions | Futures | Forward | Swaps | Total | ||||||||||||||||||
Tax-Managed Small/Mid Cap Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (15 | ) | $ | — | $ | — | $ | (15 | ) | ||||||||||
Total | $ | — | $ | — | $ | (15 | ) | $ | — | $ | — | $ | (15 | ) | ||||||||||
| ||||||||||||||||||||||||
Mid-Cap Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 39 | $ | — | $ | — | $ | 39 | ||||||||||||
Total | $ | — | $ | — | $ | 39 | $ | — | $ | — | $ | 39 | ||||||||||||
| ||||||||||||||||||||||||
U.S. Managed Volatility Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 412 | $ | — | $ | — | $ | 412 | ||||||||||||
Total | $ | — | $ | — | $ | 412 | $ | — | $ | — | $ | 412 | ||||||||||||
| ||||||||||||||||||||||||
Global Managed Volatility Fund | ||||||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | — | $ | (1,096 | ) | $ | — | $ | (1,096 | ) | ||||||||||
Equity contracts | — | — | 604 | — | — | 604 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 604 | $ | (1,096 | ) | $ | — | $ | (492 | ) | ||||||||||
| ||||||||||||||||||||||||
Tax-Managed Managed Volatility Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 877 | $ | — | $ | — | $ | 877 | ||||||||||||
Total | $ | — | $ | — | $ | 877 | $ | — | $ | — | $ | 877 | ||||||||||||
| ||||||||||||||||||||||||
Tax-Managed International Managed Volatility Fund | ||||||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | — | $ | (150 | ) | $ | — | $ | (150 | ) | ||||||||||
Equity contracts | — | — | 448 | — | — | 448 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 448 | $ | (150 | ) | $ | — | $ | 298 | |||||||||||
| ||||||||||||||||||||||||
Core Fixed Income Fund | ||||||||||||||||||||||||
Interest Rates | $ | (231 | ) | $ | 138 | $ | (22,372 | ) | $ | — | $ | 2,454 | $ | (20,011 | ) | |||||||||
Foreign exchange contracts | — | — | — | (2,084 | ) | — | (2,084 | ) | ||||||||||||||||
Credit contracts | — | — | — | — | 2,534 | 2,534 | ||||||||||||||||||
Equity contracts | (4,550 | ) | 6,485 | — | — | — | 1,935 | |||||||||||||||||
Total | $ | (4,781 | ) | $ | 6,623 | $ | (22,372 | ) | $ | (2,084 | ) | $ | 4,988 | $ | (17,626 | ) | ||||||||
| ||||||||||||||||||||||||
High Yield Bond Fund | ||||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (57 | ) | $ | (57 | ) | ||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | (57 | ) | $ | (57 | ) | ||||||||||
| ||||||||||||||||||||||||
Dynamic Asset Allocation Fund | ||||||||||||||||||||||||
Interest Rates | $ | — | $ | — | $ | — | $ | — | $ | (6,820 | ) | $ | (6,820 | ) | ||||||||||
Equity contracts | — | — | (4,591 | ) | — | — | (4,591 | ) | ||||||||||||||||
Total | $ | — | $ | — | $ | (4,591 | ) | $ | — | $ | (6,820 | ) | $ | (11,411 | ) | |||||||||
| ||||||||||||||||||||||||
Multi-Strategy Alternative Fund | ||||||||||||||||||||||||
Interest Rates | $ | — | $ | — | $ | 18 | $ | — | $ | 236 | $ | 254 | ||||||||||||
Foreign exchange contracts | — | — | — | (138 | ) | — | (138 | ) | ||||||||||||||||
Credit contracts | — | — | — | — | (260 | ) | (260 | ) | ||||||||||||||||
Equity contracts | (806 | ) | 340 | 10 | — | — | (456 | ) | ||||||||||||||||
Total | $ | (806 | ) | $ | 340 | $ | 28 | $ | (138 | ) | $ | (24 | ) | $ | (600 | ) | ||||||||
| ||||||||||||||||||||||||
Multi-Asset Accumulation Fund | ||||||||||||||||||||||||
Interest Rates | $ | — | $ | — | $ | (69,288 | ) | $ | — | $ | (4,786 | ) | $ | (74,074 | ) | |||||||||
Foreign exchange contracts | — | — | — | (13,050 | ) | — | (13,050 | ) | ||||||||||||||||
Equity contracts | — | — | 4,688 | — | 2,769 | 7,457 | ||||||||||||||||||
Commodity contracts | — | — | (7,237 | ) | — | — | (7,237 | ) | ||||||||||||||||
Total | $ | — | $ | — | $ | (71,837 | ) | $ | (13,050 | ) | $ | (2,017 | ) | $ | (86,904 | ) | ||||||||
|
SEI Institutional Managed Trust
355
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
March 31, 2023 (Unaudited)
Derivatives Not Accounted for as Hedging Instruments | Purchased Options and Swaptions | Written Options and Swaptions | Futures | Forward | Swaps | Total | ||||||||||||||||||
Multi-Asset Income Fund | ||||||||||||||||||||||||
Interest Rates | $ | — | $ | — | $ | (9,718 | ) | $ | — | $ | 1,201 | $ | (8,517 | ) | ||||||||||
Foreign exchange contracts | (308 | ) | 255 | — | (618 | ) | — | (671 | ) | |||||||||||||||
Credit contracts | — | — | — | — | (139 | ) | (139 | ) | ||||||||||||||||
Equity contracts | (364 | ) | 563 | (106 | ) | — | — | 93 | ||||||||||||||||
Total | $ | (672 | ) | $ | 818 | $ | (9,824 | ) | $ | (618 | ) | $ | 1,062 | $ | (9,234 | ) | ||||||||
| ||||||||||||||||||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||||||||||||||
Interest Rates | $ | — | $ | — | $ | 979 | $ | — | $ | 8,417 | $ | 9,396 | ||||||||||||
Foreign exchange contracts | — | — | — | (333 | ) | — | (333 | ) | ||||||||||||||||
Credit contracts | — | — | — | — | (670 | ) | (670 | ) | ||||||||||||||||
Equity contracts | (1,289 | ) | 1,259 | (348 | ) | — | — | (378 | ) | |||||||||||||||
Commodity contracts | 8 | — | (12,188 | ) | — | (1,765 | ) | (13,945 | ) | |||||||||||||||
Total | $ | (1,281 | ) | $ | 1,259 | $ | (11,557 | ) | $ | (333 | ) | $ | 5,982 | $ | (5,930 | ) | ||||||||
| ||||||||||||||||||||||||
Multi-Asset Capital Stability Fund | ||||||||||||||||||||||||
Interest Rates | $ | — | $ | — | $ | (2,155 | ) | $ | — | $ | (883 | ) | $ | (3,038 | ) | |||||||||
Foreign exchange contracts | — | — | — | (8,703 | ) | — | (8,703 | ) | ||||||||||||||||
Credit contracts | — | — | — | — | (46 | ) | (46 | ) | ||||||||||||||||
Equity contracts | (457 | ) | 337 | (734 | ) | — | 110 | (744 | ) | |||||||||||||||
Total | $ | (457 | ) | $ | 337 | $ | (2,889 | ) | $ | (8,703 | ) | $ | (819 | ) | $ | (12,531 | ) | |||||||
|
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 | Swaps | Total | ||||||||||||||||||
Large Cap Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 1,277 | $ | — | $ | — | $ | 1,277 | ||||||||||||
Total | $ | — | $ | — | $ | 1,277 | $ | — | $ | – | $ | 1,277 | ||||||||||||
| ||||||||||||||||||||||||
Large Cap Value Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 1,035 | $ | — | $ | — | $ | 1,035 | ||||||||||||
Total | $ | — | $ | — | $ | 1,035 | $ | — | $ | – | $ | 1,035 | ||||||||||||
| ||||||||||||||||||||||||
Large Cap Growth Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 716 | $ | — | $ | — | $ | 716 | ||||||||||||
Total | $ | — | $ | — | $ | 716 | $ | — | $ | – | $ | 716 | ||||||||||||
| ||||||||||||||||||||||||
Large Cap Index Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 1,169 | $ | — | $ | — | $ | 1,169 | ||||||||||||
Total | $ | — | $ | — | $ | 1,169 | $ | — | $ | – | $ | 1,169 | ||||||||||||
| ||||||||||||||||||||||||
Tax-Managed Large Cap Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 966 | $ | — | $ | — | $ | 966 | ||||||||||||
Total | $ | — | $ | — | $ | 966 | $ | — | $ | – | $ | 966 | ||||||||||||
| ||||||||||||||||||||||||
S&P 500 Index Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 697 | $ | — | $ | — | $ | 697 | ||||||||||||
Total | $ | — | $ | — | $ | 697 | $ | — | $ | – | $ | 697 | ||||||||||||
| ||||||||||||||||||||||||
Mid-Cap Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 106 | $ | — | $ | — | $ | 106 | ||||||||||||
Total | $ | — | $ | — | $ | 106 | $ | — | $ | – | $ | 106 | ||||||||||||
| ||||||||||||||||||||||||
U.S. Managed Volatility Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 891 | $ | — | $ | — | $ | 891 | ||||||||||||
Total | $ | — | $ | — | $ | 891 | $ | — | $ | – | $ | 891 | ||||||||||||
|
356
SEI Institutional Managed Trust
Derivatives Not Accounted for as Hedging Instruments | Purchased Options and Swaptions | Written Options and Swaptions | Futures | Forward | Swaps | Total | ||||||||||||||||||
Global Managed Volatility Fund | ||||||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | — | $ | (7,053 | ) | $ | — | $ | (7,053 | ) | ||||||||||
Equity contracts | — | — | 623 | — | — | 623 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 623 | $ | (7,053 | ) | $ | – | $ | (6,430 | ) | ||||||||||
| ||||||||||||||||||||||||
Tax-Managed Managed Volatility Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 547 | $ | — | $ | — | $ | 547 | ||||||||||||
Total | $ | — | $ | — | $ | 547 | $ | — | $ | – | $ | 547 | ||||||||||||
| ||||||||||||||||||||||||
Tax-Managed International Managed Volatility Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 109 | $ | — | $ | — | $ | 109 | ||||||||||||
Total | $ | — | $ | — | $ | 109 | $ | — | $ | – | $ | 109 | ||||||||||||
| ||||||||||||||||||||||||
Core Fixed Income Fund | ||||||||||||||||||||||||
Interest Rates | $ | (22 | ) | $ | 3,124 | $ | 22,561 | $ | — | $ | (4,705 | ) | $ | 20,958 | ||||||||||
Foreign exchange contracts | — | — | — | 1,700 | — | 1,700 | ||||||||||||||||||
Credit contracts | — | — | — | — | 815 | 815 | ||||||||||||||||||
Equity contracts | — | — | — | — | — | — | ||||||||||||||||||
Total | $ | (22 | ) | $ | 3,124 | $ | 22,561 | $ | 1,700 | $ | (3,890 | ) | $ | 23,473 | ||||||||||
| ||||||||||||||||||||||||
High Yield Bond Fund | ||||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (381 | ) | $ | (381 | ) | ||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | (381 | ) | $ | (381 | ) | ||||||||||
| ||||||||||||||||||||||||
Dynamic Asset Allocation Fund | ||||||||||||||||||||||||
Interest Rates | $ | — | $ | — | $ | — | $ | — | $ | (2,100 | ) | $ | (2,100 | ) | ||||||||||
Equity contracts | — | — | 12,144 | — | (2,865 | ) | 9,279 | |||||||||||||||||
Commodity contracts | — | — | — | — | 2,938 | 2,938 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 12,144 | $ | — | $ | (2,027 | ) | $ | 10,117 | |||||||||||
| ||||||||||||||||||||||||
Multi-Strategy Alternative Fund | ||||||||||||||||||||||||
Interest Rates | $ | — | $ | — | $ | (31 | ) | $ | — | $ | 700 | $ | 669 | |||||||||||
Foreign exchange contracts | — | — | — | (244 | ) | — | (244 | ) | ||||||||||||||||
Credit contracts | — | — | — | — | (199 | ) | (199 | ) | ||||||||||||||||
Equity contracts | 137 | 337 | (93 | ) | — | — | 381 | |||||||||||||||||
Total | $ | 137 | $ | 337 | $ | (124 | ) | $ | (244 | ) | $ | 501 | $ | 607 | ||||||||||
| ||||||||||||||||||||||||
Multi-Asset Accumulation Fund | ||||||||||||||||||||||||
Interest Rates | $ | — | $ | — | $ | 80,777 | $ | — | $ | 6,792 | $ | 87,569 | ||||||||||||
Foreign exchange contracts | — | — | — | (8,407 | ) | — | (8,407 | ) | ||||||||||||||||
Equity contracts | — | — | 61,601 | — | — | 61,601 | ||||||||||||||||||
Commodity contracts | — | — | 19,853 | — | — | 19,853 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 162,231 | $ | (8,407 | ) | $ | 6,792 | $ | 160,616 | |||||||||||
| ||||||||||||||||||||||||
Multi-Asset Income Fund | ||||||||||||||||||||||||
Interest Rates | $ | (772 | ) | $ | (1,125 | ) | $ | 12,855 | $ | — | $ | (540 | ) | $ | 10,418 | |||||||||
Foreign exchange contracts | — | — | — | (1,126 | ) | — | (1,126 | ) | ||||||||||||||||
Equity contracts | 1 | (15 | ) | 3,623 | — | — | 3,609 | |||||||||||||||||
Total | $ | (771 | ) | $ | (1,140 | ) | $ | 16,478 | $ | (1,126 | ) | $ | (540 | ) | $ | 12,901 | ||||||||
| ||||||||||||||||||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||||||||||||||
Interest Rates | $ | — | $ | — | $ | (1,004 | ) | $ | — | $ | (10,354 | ) | $ | (11,358 | ) | |||||||||
Foreign exchange contracts | — | — | — | (5 | ) | — | (5 | ) | ||||||||||||||||
Credit contracts | — | — | — | — | (740 | ) | (740 | ) | ||||||||||||||||
Equity contracts | — | — | (6,369 | ) | — | — | (6,369 | ) | ||||||||||||||||
Commodity contracts | (29 | ) | 33 | 4,492 | — | 3,121 | 7,617 | |||||||||||||||||
Total | $ | (29 | ) | $ | 33 | $ | (2,881 | ) | $ | (5 | ) | $ | (7,973 | ) | $ | (10,855 | ) | |||||||
|
SEI Institutional Managed Trust
357
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
March 31, 2023 (Unaudited)
Derivatives Not Accounted for as Hedging Instruments | Purchased Options and Swaptions | Written Options and Swaptions | Futures | Forward Currency Contracts | Swaps | Total | ||||||||||||||||||
Multi-Asset Capital Stability Fund | ||||||||||||||||||||||||
Interest Rates | $ | — | $ | — | $ | 2,873 | $ | — | $ | 1,067 | $ | 3,940 | ||||||||||||
Foreign exchange contracts | — | — | — | 2,670 | — | 2,670 | ||||||||||||||||||
Credit contracts | — | — | — | — | 164 | 164 | ||||||||||||||||||
Equity contracts | (243 | ) | 245 | 2,355 | — | 46 | 2,403 | |||||||||||||||||
Total | $ | (243 | ) | $ | 245 | $ | 5,228 | $ | 2,670 | $ | 1,277 | $ | 9,177 | |||||||||||
The following table discloses the average quarterly balances of the Funds’ derivative activity during the six month period ended March 31, 2023 ($ Thousands):
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | Large Cap Index Fund | |||||||||||||
Futures Contracts: | ||||||||||||||||
Average Notional Balance Long | $ | 14,903 | $ | 10,190 | $ | 7,724 | $ | 10,113 |
Tax-Managed Large Cap Fund | S&P 500 Index Fund | Small Cap Value Fund | ||||||||||
Futures Contracts: | ||||||||||||
Average Notional Balance Long | $ | 8,474 | $ | 5,164 | $ | 1,118 |
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 | $ | 8,591 | $ | 10,254 | $ | 8,782 | $ | 2,058 | ||||||||
Forward Foreign Currency Contracts: | ||||||||||||||||
Average Notional Balance Long | – | 380,951 | – | – | ||||||||||||
Average Notional Balance Short | – | 383,336 | – | – |
Core Fixed Income Fund | Dynamic Asset Allocation Fund | Multi-Strategy Alternative Fund | ||||||||||
Futures Contracts: | ||||||||||||
Average Notional Balance Long | $ | 778,885 | $ | 71,654 | $ | 146 | ||||||
Average Notional Balance Short | 313,068 | – | 7,929 | |||||||||
Forward Foreign Currency Contracts: | ||||||||||||
Average Notional Balance Long | 99,859 | – | 25,746 | |||||||||
Average Notional Balance Short | 99,853 | – | 25,812 | |||||||||
Credit Default Swaps: | ||||||||||||
Average Notional Balance Buy Protection | 5,880 | – | 7,946 | |||||||||
Average Notional Balance Sell Protection | 149,095 | – | 4,273 | |||||||||
Total Return Swaps | ||||||||||||
Average Notional Balance Long | – | 70,982 | 2,802 | |||||||||
Average Notional Balance Short | – | – | 5,032 | |||||||||
Interest Rate Swaps | ||||||||||||
Average Notional Balance | 239,687 | 51,600 | 1,981 | |||||||||
Options/Swaptions: | ||||||||||||
Average Notional Balance Long† | 808 | – | 740 | |||||||||
Average Notional Balance Short† | 1,112 | – | 27 |
358
SEI Institutional Managed Trust
Multi-Asset Accumulation Fund | Multi-Asset Income Fund | Multi-Asset Inflation Managed Fund | Multi-Asset Capital Stability Fund | |||||||||||||
Futures Contracts: | ||||||||||||||||
Average Notional Balance Long | $ | 2,396,311 | $ | 293,006 | $ | 195,467 | $ | 116,285 | ||||||||
Average Notional Balance Short | 46,676 | 52,336 | 77,969 | 20,724 | ||||||||||||
Forward Foreign Currency Contracts: | ||||||||||||||||
Average Notional Balance Long | 703,668 | 118,662 | 3,072 | 242,666 | ||||||||||||
Average Notional Balance Short | 702,629 | 117,909 | 3,128 | 141,756 | ||||||||||||
Credit Default Swaps: | ||||||||||||||||
Average Notional Balance Buy Protection | – | 6,963 | 110,258 | – | ||||||||||||
Average Notional Balance Sell Protection | – | 58,233 | 67,832 | 9,173 | ||||||||||||
Total Return Swaps | ||||||||||||||||
Average Notional Balance Long | 47,316 | – | 2,150 | 175 | ||||||||||||
Average Notional Balance Short | 14,276 | – | 8,035 | – | ||||||||||||
Interest Rate Swaps | ||||||||||||||||
Average Notional Balance | 9,173 | 110,282 | 78,732 | 10,128 | ||||||||||||
Options/Swaptions: | ||||||||||||||||
Average Notional Balance Long† | – | 583 | 400 | 149 | ||||||||||||
Average Notional Balance Short† | – | 1,711 | 371 | 112 |
† Represents cost.
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
SEI Institutional Managed Trust
359
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
March 31, 2023 (Unaudited)
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.
360
SEI Institutional Managed Trust
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of March 31, 2023 ($ 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 | $ | 25 | $ | — | $ | — | $ | 25 | $ | 588 | $ | — | $ | — | $ | — | $ | 588 | $ | (563 | ) | $ | — | $ | (563 | ) | ||||||||||||||||||||||
BNP Paribas | 108 | — | — | 108 | 1,635 | — | — | — | 1,635 | (1,527 | ) | — | (1,527 | ) | ||||||||||||||||||||||||||||||||||
Brown Brothers Harriman | 263 | — | — | 263 | 307 | — | — | — | 307 | (44 | ) | — | (44 | ) | ||||||||||||||||||||||||||||||||||
Standard Chartered | 14 | — | — | 14 | 63 | — | — | — | 63 | (49 | ) | — | (49 | ) | ||||||||||||||||||||||||||||||||||
Westpack Banking | 231 | — | — | 231 | 848 | — | — | — | 848 | (617 | ) | — | (617 | ) | ||||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 641 | $ | — | $ | — | $ | 641 | $ | 3,441 | $ | — | $ | — | $ | — | $ | 3,441 |
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 | $ | 202 | $ | — | $ | — | $ | 202 | $ | 11 | $ | — | $ | — | $ | — | $ | 11 | $ | 191 | $ | — | $ | 191 | ||||||||||||||||||||||||
Goldman Sachs | 247 | — | — | 247 | 455 | — | — | — | 455 | (208 | ) | — | (208 | ) | ||||||||||||||||||||||||||||||||||
Morgan Stanley | 213 | — | — | 213 | 446 | — | — | — | 446 | (233 | ) | — | (233 | ) | ||||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 662 | $ | — | $ | — | $ | 662 | $ | 912 | $ | — | $ | — | $ | — | $ | 912 |
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 | ||||||||||||||||||||||||||||||||||||
Goldman Sachs | $ | — | $ | — | $ | 580 | $ | 580 | $ | — | $ | — | $ | 2,644 | $ | — | $ | 2,644 | $ | (2,064 | ) | $ | — | $ | (2,064 | ) | ||||||||||||||||||||||
Total Over the Counter | $ | — | $ | — | $ | 580 | $ | 580 | $ | — | $ | — | $ | 2,644 | $ | — | $ | 2,644 |
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 | ||||||||||||||||||||||||||||||||||||
Bank of America | $ | 10 | $ | — | $ | — | $ | 10 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 10 | $ | — | $ | 10 | ||||||||||||||||||||||||
Barclays PLC | 29 | — | — | 29 | — | — | 32 | — | 32 | (3 | ) | — | (3 | ) | ||||||||||||||||||||||||||||||||||
BNP Paribas | 10 | — | — | 10 | 57 | — | — | — | 57 | (47 | ) | — | (47 | ) | ||||||||||||||||||||||||||||||||||
BNYMellon | — | — | — | — | 9 | — | — | — | 9 | (9 | ) | — | (9 | ) | ||||||||||||||||||||||||||||||||||
Citigroup | 97 | — | — | 97 | 192 | — | — | — | 192 | (95 | ) | — | (95 | ) | ||||||||||||||||||||||||||||||||||
Deutsche Bank | 76 | — | — | 76 | 82 | — | — | — | 82 | (6 | ) | — | (6 | ) | ||||||||||||||||||||||||||||||||||
Goldman Sachs | 57 | — | — | 57 | — | — | — | — | — | 57 | — | 57 | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase | 39 | — | 26 | 65 | — | — | — | — | — | 65 | — | 65 | ||||||||||||||||||||||||||||||||||||
Midland Walwyn Capital | 1 | — | — | 1 | 1 | — | — | — | 1 | — | — | — | ||||||||||||||||||||||||||||||||||||
Morgan Stanley | — | — | 54 | 54 | — | — | 74 | — | 74 | (20 | ) | — | (20 | ) | ||||||||||||||||||||||||||||||||||
RBC | — | — | — | — | 2 | — | — | — | 2 | (2 | ) | — | (2 | ) | ||||||||||||||||||||||||||||||||||
SCB Securities | — | — | — | — | 19 | — | — | — | 19 | (19 | ) | — | (19 | ) | ||||||||||||||||||||||||||||||||||
Societe Generale | 24 | — | — | 24 | — | — | — | — | — | 24 | — | 24 | ||||||||||||||||||||||||||||||||||||
TD Securities | — | — | — | — | 5 | — | — | — | 5 | (5 | ) | — | (5 | ) | ||||||||||||||||||||||||||||||||||
UBS | 28 | — | — | 28 | 44 | — | — | — | 44 | (16 | ) | — | (16 | ) | ||||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 371 | $ | — | $ | 80 | $ | 451 | $ | 411 | $ | — | $ | 106 | $ | — | $ | 517 |
SEI Institutional Managed Trust
361
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
March 31, 2023 (Unaudited)
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 | $ | — | $ | — | $ | 329 | $ | 329 | $ | — | $ | — | $ | 873 | $ | — | $ | 873 | $ | (544 | ) | $ | — | $ | (544 | ) | ||||||||||||||||||||||
Bank of New York | 249 | — | — | 249 | 152 | — | — | — | 152 | 97 | — | 97 | ||||||||||||||||||||||||||||||||||||
Brown Brothers Harmon | — | — | — | — | 402 | — | — | — | 402 | (402 | ) | — | (402 | ) | ||||||||||||||||||||||||||||||||||
Citibank | — | — | 7 | 7 | — | — | 132 | — | 132 | (125 | ) | — | (125 | ) | ||||||||||||||||||||||||||||||||||
Citigroup | 2,534 | — | — | 2,534 | 2,704 | — | — | — | 2,704 | (170 | ) | — | (170 | ) | ||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 2,229 | — | 750 | 2,979 | 2,535 | — | 451 | — | 2,986 | (7 | ) | — | (7 | ) | ||||||||||||||||||||||||||||||||||
State Street | — | — | — | — | 613 | — | — | — | 613 | (613 | ) | — | (613 | ) | ||||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 5,012 | $ | — | $ | 1,086 | $ | 6,098 | $ | 6,406 | $ | — | $ | 1,456 | $ | — | $ | 7,862 |
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 | ||||||||||||||||||||||||||||||||||||
Bank of America | $ | 64 | $ | — | $ | — | $ | 64 | $ | 19 | $ | — | $ | — | $ | — | $ | 19 | $ | 45 | $ | — | $ | 45 | ||||||||||||||||||||||||
Bank of Montreal | 4 | — | — | 4 | — | — | — | — | — | 4 | — | 4 | ||||||||||||||||||||||||||||||||||||
Barclays | — | — | — | — | 6 | — | — | — | 6 | (6 | ) | — | (6 | ) | ||||||||||||||||||||||||||||||||||
BNP Paribas | 47 | — | — | 47 | 67 | — | — | — | 67 | (20 | ) | — | (20 | ) | ||||||||||||||||||||||||||||||||||
Deutsche Bank | 7 | — | — | 7 | — | — | — | — | — | 7 | — | 7 | ||||||||||||||||||||||||||||||||||||
Goldman Sachs | 424 | — | — | 424 | 343 | — | — | — | 343 | 81 | — | 81 | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase | 301 | — | — | 301 | 320 | — | — | — | 320 | (19 | ) | — | (19 | ) | ||||||||||||||||||||||||||||||||||
Morgan Stanley | 175 | — | — | 175 | 1,002 | — | — | — | 1,002 | (827 | ) | — | (827 | ) | ||||||||||||||||||||||||||||||||||
State Street | 5 | — | — | 5 | — | — | — | — | — | 5 | — | 5 | ||||||||||||||||||||||||||||||||||||
UBS | — | — | — | — | 43 | — | — | — | 43 | (43 | ) | — | (43 | ) | ||||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 1,027 | $ | — | $ | — | $ | 1,027 | $ | 1,800 | $ | — | $ | — | $ | — | $ | 1,800 |
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 | $ | — | $ | — | $ | — | $ | — | $ | 60 | $ | — | $ | — | $ | — | $ | 60 | $ | (60 | ) | $ | — | $ | (60 | ) | ||||||||||||||||||||||
Chase Securities | — | — | — | — | — | — | — | 132,194 | 132,194 | (132,194 | ) | — | (132,194 | ) | ||||||||||||||||||||||||||||||||||
Citibank | — | — | — | — | — | — | 28 | — | 28 | (28 | ) | — | (28 | ) | ||||||||||||||||||||||||||||||||||
Deutsche Bank | — | — | — | — | — | — | 31 | — | 31 | (31 | ) | — | (31 | ) | ||||||||||||||||||||||||||||||||||
Goldman Sachs | — | — | — | — | — | — | 41 | — | 41 | (41 | ) | — | (41 | ) | ||||||||||||||||||||||||||||||||||
Total Over the Counter | $ | — | $ | — | $ | — | $ | — | $ | 60 | $ | — | $ | 100 | $ | 132,194 | $ | 132,354 |
362
SEI Institutional Managed Trust
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 | $ | 27 | $ | — | $ | — | $ | 27 | $ | (112 | ) | $ | — | $ | — | $ | — | $ | (112 | ) | $ | (85 | ) | $ | — | $ | (85 | ) | ||||||||||||||||||||
Barclays PLC | 60 | — | — | 60 | (66 | ) | — | — | — | (66 | ) | (6 | ) | — | (6 | ) | ||||||||||||||||||||||||||||||||
BNP Paribas | 9 | — | — | 9 | — | — | — | — | — | 9 | — | 9 | ||||||||||||||||||||||||||||||||||||
Brown Brothers Harriman | 628 | — | — | 628 | (279 | ) | — | — | — | (279 | ) | 349 | — | 349 | ||||||||||||||||||||||||||||||||||
Citigroup | 1,158 | — | — | 1,158 | — | — | — | — | — | 1,158 | — | 1,158 | ||||||||||||||||||||||||||||||||||||
Deutsche Bank | 202 | — | — | 202 | (75 | ) | — | — | — | (75 | ) | 127 | — | 127 | ||||||||||||||||||||||||||||||||||
Goldman Sachs | 206 | — | — | 206 | (198 | ) | — | — | — | (198 | ) | 8 | — | 8 | ||||||||||||||||||||||||||||||||||
HSBC | 1,376 | — | — | 1,376 | — | — | — | — | — | 1,376 | — | 1,376 | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 4 | — | — | 4 | (39 | ) | — | — | — | (39 | ) | (35 | ) | — | (35 | ) | ||||||||||||||||||||||||||||||||
Merrill Lynch | 125 | — | — | 125 | (186 | ) | — | — | — | (186 | ) | (61 | ) | — | (61 | ) | ||||||||||||||||||||||||||||||||
Morgan Stanley | 36 | — | — | 36 | (61 | ) | — | — | — | (61 | ) | (25 | ) | — | (25 | ) | ||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 3,831 | $ | — | $ | — | $ | 3,831 | $ | (1,016 | ) | $ | — | $ | — | $ | — | $ | (1,016 | ) |
(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 March 31, 2023 ($ Thousands) | % of Total Net Assets at March 31, 2023 | ||||||||||
Dynamic Commodity Strategy Subsidiary, Ltd. | March 28, 2018 | $ | 103,802 | 15.2 | % | |||||||
Accumulation Commodity Strategy Subsidiary, Ltd. | April 9, 2012 | 293,413 | 14.2 | % | ||||||||
Inflation Commodity Strategy Subsidiary Ltd. | April 9, 2012 | 141,173 | 19.0 | % | ||||||||
SEI Institutional Managed Trust
363
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
March 31, 2023 (Unaudited)
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 | $ | 909 | $ | 5,619 | $ | 2,719 | ||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | — | (22 | ) | (98 | ) | |||||||
Futures Contracts | (5,408 | ) | (7,471 | ) | (12,188 | ) | ||||||
Swap Contracts | (6,395 | ) | 234 | (1,765 | ) | |||||||
Purchased Options and Swaptions | — | — | (1,281 | ) | ||||||||
Written Options and Swaptions | — | — | 1,259 | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | — | 338 | 259 | |||||||||
Futures Contracts | 10,891 | 19,853 | 4,492 | |||||||||
Swap Contracts | 839 | 306 | 3,121 | |||||||||
Purchased Options and Swaptions | — | — | (29 | ) | ||||||||
Written Options and Swaptions | — | — | 33 | |||||||||
Total gains and losses attributed to the Funds' investment in Subsidiaries | $ | 836 | $ | 18,857 | $ | (3,478 | ) |
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.
364
SEI Institutional Managed Trust
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
365
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
March 31, 2023 (Unaudited)
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 | % |
366
SEI Institutional Managed Trust
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 March 31, 2023, 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
Fred Alger Management, LLC
McKinley Capital Management, LLC
Parametric Portfolio Associates LLC
StonePine Asset Management Inc.
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
LSV Asset Management*
Mar Vista Investment Partners, LLC
Parametric Portfolio Associates LLC
StonePine Asset Management Inc.
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
Small Cap Growth Fund
ArrowMark Colorado Holdings LLC
SEI Institutional Managed Trust
367
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
March 31, 2023 (Unaudited)
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
Ramius Advisors, LLC
Multi-Asset Accumulation Fund
AQR Capital Management, LLC
PanAgora Asset Management Inc.
Multi-Asset Income Fund
Goldman Sachs Asset Management, LP
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 six month period ended March 31, 2023, 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.
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
368
SEI Institutional Managed Trust
SIMC. Such fees for the six month period ended March 31, 2023 were as follows ($ Thousands):
Large Cap Fund | $ | 142 | ||
Large Cap Value Fund | 228 | |||
Tax-Managed Large Cap Fund | 299 | |||
Small Cap Value Fund | 395 | |||
U.S. Managed Volatility Fund | 581 | |||
Tax-Managed Managed Volatility Fund | 732 | |||
Tax-Managed International Managed Volatility Fund | 200 | |||
$ | 2,577 |
Fees Paid Indirectly — The Funds may direct certain fund trades to the Distributor who pays a portion of the Funds’ expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, and the effect on the Funds’ expense ratio, as a percentage of the Funds’ average daily net assets for the six month period ended March 31, 2023, 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 six month period ended March 31, 2023, 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 | ||||||||||||||||
Tax-Managed Managed Volatility Fund | 2/27/23 | 2/28/23 | 7,400 | 1 | 5.58 | % |
7. CAPITAL SHARE TRANSACTIONS
Capital share transactions for the Funds were as follows (Thousands):
For the six month period ended March 31, 2023 (Unaudited) and the year ended September 30, 2022.
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | Large Cap Index Fund | |||||||||||||||||||||||||||||
10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | |||||||||||||||||||||
Class F: | ||||||||||||||||||||||||||||||||
Shares Issued | 6,718 | 13,469 | 3,071 | 8,091 | 1,873 | 6,420 | 7,634 | 19,892 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 10,725 | 15,037 | 3,710 | 2,781 | 2,303 | 3,525 | 510 | 966 | ||||||||||||||||||||||||
Shares Redeemed | (13,943 | ) | (25,530 | ) | (5,480 | ) | (12,968 | ) | (3,559 | ) | (7,254 | ) | (8,607 | ) | (19,731 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | 3,500 | 2,976 | 1,301 | (2,096 | ) | 617 | 2,691 | (463 | ) | 1,127 | ||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||
Shares Issued | – | – | 1 | 50 | 3 | 11 | – | – | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | – | – | 6 | 6 | 5 | 10 | – | – | ||||||||||||||||||||||||
Shares Redeemed | – | – | (21 | ) | (76 | ) | (1 | ) | (41 | ) | – | – | ||||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class I Transactions | – | – | (14 | ) | (20 | ) | 7 | (20 | ) | – | – | |||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||
Shares Issued | 160 | 739 | 269 | 1,079 | 235 | 1,180 | – | – | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 347 | 824 | 629 | 461 | 408 | 534 | – | – | ||||||||||||||||||||||||
Shares Redeemed | (457 | ) | (3,893 | ) | (1,585 | ) | (1,454 | ) | (1,011 | ) | (658 | ) | – | – | ||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | 50 | (2,330 | ) | (687 | ) | 86 | (368 | ) | 1,056 | – | – |
SEI Institutional Managed Trust
369
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
March 31, 2023 (Unaudited)
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | Large Cap Index Fund | |||||||||||||||||||||||||||||
10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | |||||||||||||||||||||
Increase (Decrease) in Capital Shares | 3,550 | 646 | 600 | (2,030 | ) | 256 | 3,727 | (463 | ) | 1,127 |
Tax-Managed Large Cap Fund | S&P 500 Index Fund | Small Cap Fund | Small Cap Value Fund | |||||||||||||||||||||||||||||
10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | |||||||||||||||||||||
Class F: | ||||||||||||||||||||||||||||||||
Shares Issued | 3,336 | 8,835 | 642 | 1,117 | 2,202 | 5,486 | 689 | 2,644 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 5,629 | 5,061 | 884 | 710 | 315 | 8,435 | 674 | 1,051 | ||||||||||||||||||||||||
Shares Redeemed | (11,885 | ) | (17,878 | ) | (1,174 | ) | (2,205 | ) | (4,650 | ) | (8,476 | ) | (1,823 | ) | (3,264 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | (2,920 | ) | (3,982 | ) | 352 | (378 | ) | (2,133 | ) | 5,445 | (460 | ) | 431 | |||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||
Shares Issued | – | – | 23 | 13 | – | – | 1 | 3 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | – | – | 6 | 5 | – | – | 2 | 6 | ||||||||||||||||||||||||
Shares Redeemed | – | – | (7 | ) | (26 | ) | – | – | (12 | ) | (40 | ) | ||||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class I Transactions | – | – | 22 | (8 | ) | – | – | (9 | ) | (31 | ) | |||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||
Shares Issued | 2,066 | 1,561 | – | – | 275 | 281 | 327 | 416 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 822 | 725 | – | – | 16 | 381 | 140 | 206 | ||||||||||||||||||||||||
Shares Redeemed | (1,911 | ) | (1,965 | ) | – | – | (282 | ) | (497 | ) | (527 | ) | (327 | ) | ||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | 977 | 321 | – | – | 9 | 165 | (60 | ) | 295 | |||||||||||||||||||||||
Increase (Decrease) in Capital Shares | (1,943 | ) | (3,661 | ) | 374 | (386 | ) | (2,124 | ) | 5,610 | (529 | ) | 695 |
Small Cap Growth Fund | Tax-Managed Small/Mid Cap Fund | Mid-Cap Fund | U.S. Managed Volatility Fund | |||||||||||||||||||||||||||||
10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | |||||||||||||||||||||
Class F: | ||||||||||||||||||||||||||||||||
Shares Issued | 501 | 1,361 | 1,337 | 3,213 | 154 | 1,483 | 3,308 | 7,667 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 5 | 2,064 | 213 | 2,832 | 13 | 587 | 3,498 | 3,722 | ||||||||||||||||||||||||
Shares Redeemed | (1,128 | ) | (1,515 | ) | (4,127 | ) | (5,287 | ) | (270 | ) | (1,619 | ) | (8,245 | ) | (11,060 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | (622 | ) | 1,910 | (2,577 | ) | 758 | (103 | ) | 451 | (1,439 | ) | 329 | ||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||
Shares Issued | 1 | 7 | – | – | — | 4 | — | — | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | — | 10 | – | – | — | 4 | 3 | 7 | ||||||||||||||||||||||||
Shares Redeemed | (10 | ) | (23 | ) | – | – | — | (15 | ) | — | (49 | ) | ||||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class I Transactions | (9 | ) | (6 | ) | – | – | — | (7 | ) | 3 | (42 | ) | ||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||
Shares Issued | 189 | 163 | 715 | 416 | 16 | 49 | 1,780 | 1,020 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 4 | 234 | 34 | 381 | 1 | 25 | 905 | 1,083 | ||||||||||||||||||||||||
Shares Redeemed | (163 | ) | (174 | ) | (535 | ) | (501 | ) | (10 | ) | (30 | ) | (1,343 | ) | (3,172 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | 30 | 223 | 214 | 296 | 7 | 44 | 1,342 | (1,069 | ) | |||||||||||||||||||||||
Increase (Decrease) in Capital Shares | (601 | ) | 2,127 | (2,363 | ) | 1,054 | (96 | ) | 488 | (94 | ) | (782 | ) |
Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | Tax-Managed International Managed Volatility Fund | Real Estate Fund | |||||||||||||||||||||||||||||
10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | |||||||||||||||||||||
Class F: | ||||||||||||||||||||||||||||||||
Shares Issued | 4,807 | 10,124 | 2,361 | 5,501 | 3,917 | 5,275 | 265 | 1,946 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 6,387 | 7,473 | 2,037 | 1,817 | 663 | 819 | 169 | 354 |
370
SEI Institutional Managed Trust
Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | Tax-Managed International Managed Volatility Fund | Real Estate Fund | |||||||||||||||||||||||||||||
10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | |||||||||||||||||||||
Shares Redeemed | (11,166 | ) | (18,019 | ) | (7,495 | ) | (11,087 | ) | (6,661 | ) | (7,157 | ) | (710 | ) | (2,589 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | 28 | (422 | ) | (3,097 | ) | (3,769 | ) | (2,081 | ) | (1,063 | ) | (276 | ) | (289 | ) | |||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||
Shares Issued | — | 1 | – | – | – | – | — | — | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 5 | 10 | – | – | – | – | 1 | 2 | ||||||||||||||||||||||||
Shares Redeemed | — | (57 | ) | – | – | – | – | — | (14 | ) | ||||||||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class I Transactions | 5 | (46 | ) | – | – | – | – | 1 | (12 | ) | ||||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||
Shares Issued | 2,483 | 1,682 | 1,652 | 542 | 2,412 | 699 | 82 | 156 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 942 | 1,131 | 232 | 185 | 134 | 150 | 43 | 71 | ||||||||||||||||||||||||
Shares Redeemed | (1,750 | ) | (2,639 | ) | (427 | ) | (721 | ) | (1,656 | ) | (1,109 | ) | (130 | ) | (248 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | 1,675 | 174 | 1,457 | 6 | 890 | (260 | ) | (5 | ) | (21 | ) | |||||||||||||||||||||
Increase (Decrease) in Capital Shares | 1,708 | (294 | ) | (1,640 | ) | (3,763 | ) | (1,191 | ) | (1,323 | ) | (280 | ) | (322 | ) |
Core Fixed Income Fund | High Yield Bond Fund | Conservative Income Fund | Tax-Free Conservative Income Fund | |||||||||||||||||||||||||||||
10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | |||||||||||||||||||||
Class F: | ||||||||||||||||||||||||||||||||
Shares Issued | 25,549 | 63,452 | 17,062 | 37,354 | 16,855 | 23,483 | 1,774 | 6,639 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 4,888 | 7,145 | 18,993 | 12,143 | 553 | 150 | 168 | 58 | ||||||||||||||||||||||||
Shares Redeemed | (45,683 | ) | (86,282 | ) | (31,351 | ) | (57,435 | ) | (11,367 | ) | (16,099 | ) | (3,889 | ) | (7,364 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | (15,246 | ) | (15,685 | ) | 4,704 | (7,938 | ) | 6,041 | 7,534 | (1,947 | ) | (667 | ) | |||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||
Shares Issued | 8 | 33 | — | 1 | – | – | – | – | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 4 | 6 | — | 3 | – | – | – | – | ||||||||||||||||||||||||
Shares Redeemed | (66 | ) | (117 | ) | — | (88 | ) | – | – | – | – | |||||||||||||||||||||
Total Decrease in Net Assets Derived from Class I Transactions | (54 | ) | (78 | ) | — | (84 | ) | – | – | – | – | |||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||
Shares Issued | 7,247 | 6,784 | 5,387 | 5,793 | 166 | 512 | 38 | 819 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 739 | 1,056 | 2,998 | 1,977 | 24 | 9 | 6 | 3 | ||||||||||||||||||||||||
Shares Redeemed | (7,917 | ) | (7,696 | ) | (5,695 | ) | (7,628 | ) | (520 | ) | (687 | ) | (127 | ) | (1,260 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | 69 | 144 | 2,690 | 142 | (330 | ) | (166 | ) | (83 | ) | (438 | ) | ||||||||||||||||||||
Increase (Decrease) in Capital Shares | (15,231 | ) | (15,619 | ) | 7,394 | (7,880 | ) | 5,711 | 7,368 | (2,030 | ) | (1,105 | ) |
Real Return Fund | Dynamic Asset Allocation Fund | Multi-Strategy Alternative Fund | Multi-Asset Accumulation Fund | |||||||||||||||||||||||||||||
10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | |||||||||||||||||||||
Class F: | ||||||||||||||||||||||||||||||||
Shares Issued | 3,091 | 10,533 | 2,388 | 4,820 | 2,312 | 5,838 | 17,606 | 32,374 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 697 | 1,274 | 5,283 | 4,220 | 811 | 2,914 | 24,357 | 30,363 | ||||||||||||||||||||||||
Shares Redeemed | (7,124 | ) | (8,003 | ) | (4,145 | ) | (11,685 | ) | (5,832 | ) | (7,946 | ) | (28,581 | ) | (42,752 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | (3,336 | ) | 3,804 | 3,526 | (2,645 | ) | (2,709 | ) | 806 | 13,382 | 19,985 | |||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||
Shares Issued | 299 | 403 | 111 | 387 | 763 | 167 | 4,670 | 2,568 | ||||||||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 55 | 106 | 332 | 258 | 19 | 62 | 1,490 | 2,499 | ||||||||||||||||||||||||
Shares Redeemed | (498 | ) | (439 | ) | (231 | ) | (719 | ) | (91 | ) | (155 | ) | (7,175 | ) | (3,447 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | (144 | ) | 70 | 212 | (74 | ) | 691 | 74 | (1,015 | ) | 1,620 |
SEI Institutional Managed Trust
371
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
March 31, 2023 (Unaudited)
Real Return Fund | Dynamic Asset Allocation Fund | Multi-Strategy Alternative Fund | Multi-Asset Accumulation Fund | |||||||||||||||||||||||||||||
10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | |||||||||||||||||||||
Increase (Decrease) in Capital Shares | (3,480 | ) | 3,874 | 3,738 | (2,719 | ) | (2,018 | ) | 880 | 12,367 | 21,605 |
Multi-Asset Income Fund | Multi-Asset Inflation Managed Fund | Multi-Asset Capital Stability Fund | ||||||||||||||||||||||
10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | 10/1/2022 to 3/31/2023 (Unaudited | ) | 2022 | ||||||||||||||||
Class F: | ||||||||||||||||||||||||
Shares Issued | 3,688 | 8,691 | 6,420 | 21,495 | 4,624 | 14,438 | ||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 2,028 | 2,441 | 9,499 | 6,439 | 923 | 1,405 | ||||||||||||||||||
Shares Redeemed | (8,952 | ) | (15,610 | ) | (15,894 | ) | (27,949 | ) | (9,089 | ) | (16,832 | ) | ||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | (3,236 | ) | (4,478 | ) | 25 | (15 | ) | (3,542 | ) | (989 | ) | |||||||||||||
Class Y: | ||||||||||||||||||||||||
Shares Issued | 1,809 | 1,715 | 631 | 469 | 113 | 398 | ||||||||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 538 | 605 | 500 | 383 | 61 | 102 | ||||||||||||||||||
Shares Redeemed | (2,941 | ) | (2,347 | ) | (941 | ) | (1,764 | ) | (435 | ) | (797 | ) | ||||||||||||
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | (594 | ) | (27 | ) | 190 | (912 | ) | (261 | ) | (297 | ) | |||||||||||||
Increase (Decrease) in Capital Shares | (3,830 | ) | (4,505 | ) | 215 | (927 | ) | (3,803 | ) | (1,286 | ) |
8. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities, other than temporary cash investments, during the six month period ended March 31, 2023, were as follows:
U.S. Gov't | Other | Total | ||||||||||
Large Cap Fund | ||||||||||||
Purchases | $ | — | $ | 221,658 | $ | 221,658 | ||||||
Sales | — | 314,542 | 314,542 | |||||||||
Large Cap Value Fund | ||||||||||||
Purchases | — | 138,648 | 138,648 | |||||||||
Sales | — | 231,400 | 231,400 | |||||||||
Large Cap Growth Fund | ||||||||||||
Purchases | — | 327,356 | 327,356 | |||||||||
Sales | — | 418,210 | 418,210 | |||||||||
Large Cap Index Fund | ||||||||||||
Purchases | — | 51,013 | 51,013 | |||||||||
Sales | — | 59,251 | 59,251 | |||||||||
Tax-Managed Large Cap Fund | ||||||||||||
Purchases | — | 229,227 | 229,227 | |||||||||
Sales | — | 512,607 | 512,607 | |||||||||
S&P 500 Index Fund | ||||||||||||
Purchases | — | 5,239 | 5,239 | |||||||||
Sales | — | 48,187 | 48,187 | |||||||||
Small Cap Fund | ||||||||||||
Purchases | — | 276,877 | 276,877 | |||||||||
Sales | — | 304,137 | 304,137 | |||||||||
Small Cap Value Fund | ||||||||||||
Purchases | — | 70,748 | 70,748 | |||||||||
Sales | — | 93,569 | 93,569 | |||||||||
Small Cap Growth Fund | ||||||||||||
Purchases | — | 249,346 | 249,346 | |||||||||
Sales | — | 266,979 | 266,979 | |||||||||
U.S. Gov't | Other | Total | ||||||||||
Tax-Managed Small/Mid Cap Fund | ||||||||||||
Purchases | — | 215,906 | 215,906 | |||||||||
Sales | — | 277,165 | 277,165 | |||||||||
Mid-Cap Fund | ||||||||||||
Purchases | — | 26,759 | 26,759 | |||||||||
Sales | — | 27,958 | 27,958 | |||||||||
U.S. Managed Volatility Fund | ||||||||||||
Purchases | — | 199,253 | 199,253 | |||||||||
Sales | — | 275,084 | 275,084 | |||||||||
Global Managed Volatility Fund | ||||||||||||
Purchases | — | 382,503 | 382,503 | |||||||||
Sales | — | 463,342 | 463,342 | |||||||||
Tax-Managed Managed Volatility Fund | ||||||||||||
Purchases | — | 73,410 | 73,410 | |||||||||
Sales | — | 155,821 | 155,821 | |||||||||
Tax-Managed International Managed Volatility Fund | ||||||||||||
Purchases | — | 135,736 | 135,736 | |||||||||
Sales | — | 152,806 | 152,806 | |||||||||
Real Estate Fund | ||||||||||||
Purchases | — | 20,917 | 20,917 | |||||||||
Sales | — | 25,869 | 25,869 | |||||||||
Core Fixed Income Fund | ||||||||||||
Purchases | 5,569,423 | 1,186,556 | 6,755,979 | |||||||||
Sales | 5,629,661 | 1,533,149 | 7,162,810 | |||||||||
High Yield Bond Fund | ||||||||||||
Purchases | 902 | 253,590 | 254,492 | |||||||||
Sales | — | 327,076 | 327,076 | |||||||||
Real Return Fund | ||||||||||||
Purchases | 36,907 | — | 36,907 | |||||||||
Sales | 78,144 | — | 78,144 | |||||||||
Dynamic Asset Allocation Fund | ||||||||||||
Purchases | — | 117,711 | 117,711 | |||||||||
Sales | — | 198,616 | 198,616 | |||||||||
372
SEI Institutional Managed Trust
U.S. Gov't | Other | Total | ||||||||||
Multi-Strategy Alternative Fund | ||||||||||||
Purchases | 355,983 | 235,257 | 591,240 | |||||||||
Sales | 363,958 | 250,222 | 614,180 | |||||||||
Multi-Asset Accumulation Fund | ||||||||||||
Purchases | 72,610 | 635,676 | 708,286 | |||||||||
Sales | 78,840 | 965,362 | 1,044,202 | |||||||||
Multi-Asset Income Fund | ||||||||||||
Purchases | 443 | 157,600 | 158,043 | |||||||||
Sales | 314 | 146,820 | 147,134 | |||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||
Purchases | 544,122 | 53,599 | 597,721 | |||||||||
Sales | 613,794 | 75,928 | 689,722 | |||||||||
Multi-Asset Capital Stability Fund | ||||||||||||
Purchases | 40,850 | 20,333 | 61,183 | |||||||||
Sales | 57,217 | 22,127 | 79,344 |
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 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 | |||||||||||||||
Large Cap Value Fund | ||||||||||||||||||||
2022 | 31,326 | 62,850 | — | — | 94,176 | |||||||||||||||
2021 | 27,551 | — | — | — | 27,551 | |||||||||||||||
SEI Institutional Managed Trust
373
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
March 31, 2023 (Unaudited)
Ordinary | Long-term | Return of Capital | Tax Exempt Income | Total | ||||||||||||||||
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 | |||||||||||||||
Tax-Free Conservative Income Fund | ||||||||||||||||||||
2022 | 1 | — | — | 730 | 731 | |||||||||||||||
2021 | — | — | — | 21 | 21 | |||||||||||||||
374
SEI Institutional Managed Trust
Ordinary | Long-term | Return of Capital | Tax Exempt Income | Total | ||||||||||||||||
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 | ) | ||||||||||||||||||||||||
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 | ) |
SEI Institutional Managed Trust
375
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
March 31, 2023 (Unaudited)
Undistributed | Undistributed | Undistributed | Capital | Post- | Late Year | Unrealized | Other | Total | ||||||||||||||||||||||||||||
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 March 31, 2023, 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 March 31, 2023, were as follows:
Federal Tax Cost | Appreciated | Depreciated | Net Unrealized | |||||||||||||
Large Cap Fund | $ | 1,161,800 | $ | 600,466 | $ | (53,298 | ) | $ | 547,168 | |||||||
Large Cap Value Fund | 982,169 | 387,331 | (41,160 | ) | 346,171 | |||||||||||
Large Cap Growth Fund | 735,934 | 671,393 | (11,038 | ) | 660,355 | |||||||||||
Large Cap Index Fund | 750,979 | 315,167 | (43,259 | ) | 271,908 | |||||||||||
Tax-Managed Large Cap Fund | 1,376,717 | 2,530,768 | (725 | ) | 2,530,043 | |||||||||||
S&P 500 Index Fund | 227,113 | 592,065 | (9,351 | ) | 582,714 | |||||||||||
Small Cap Fund | 468,924 | 102,457 | (32,409 | ) | 70,048 | |||||||||||
Small Cap Value Fund | 306,954 | 83,022 | (31,565 | ) | 51,457 | |||||||||||
Small Cap Growth Fund | 293,762 | 50,469 | (20,053 | ) | 30,416 | |||||||||||
Tax-Managed Small/Mid Cap Fund | 498,918 | 314,277 | (9,143 | ) | 305,134 | |||||||||||
Mid-Cap Fund | 70,736 | 7,417 | (4,514 | ) | 2,903 | |||||||||||
U.S. Managed Volatility Fund | 702,558 | 149,602 | (35,105 | ) | 114,497 | |||||||||||
Global Managed Volatility Fund | 800,406 | 77,198 | (32,258 | ) | 44,940 | |||||||||||
Tax-Managed Managed Volatility Fund | 398,652 | 485,492 | (4,676 | ) | 480,816 | |||||||||||
Tax-Managed International Managed Volatility Fund | 286,658 | 57,518 | (3,503 | ) | 54,015 | |||||||||||
Real Estate Fund | 61,622 | 15,696 | (4,737 | ) | 10,959 | |||||||||||
Core Fixed Income Fund | 4,364,675 | 23,289 | (291,361 | ) | (268,072 | ) | ||||||||||
High Yield Bond Fund | 1,358,825 | 66,061 | (193,981 | ) | (127,920 | ) | ||||||||||
Conservative Income Fund | 417,280 | 42 | (88 | ) | (46 | ) | ||||||||||
Tax-Free Conservative Income Fund | 160,786 | 6 | (25 | ) | (19 | ) | ||||||||||
Real Return Fund | 234,004 | 393 | (11,193 | ) | (10,800 | ) | ||||||||||
Dynamic Asset Allocation Fund | 284,221 | 306,011 | (12,721 | ) | 293,290 | |||||||||||
Multi-Strategy Alternative Fund | 367,153 | 6,169 | (14,315 | ) | (8,146 | ) | ||||||||||
Multi-Asset Accumulation Fund | 1,384,418 | 13,889 | (39,790 | ) | (25,901 | ) | ||||||||||
Multi-Asset Income Fund | 757,174 | 8,599 | (95,516 | ) | (86,917 | ) |
376
SEI Institutional Managed Trust
Federal Tax Cost | Appreciated | Depreciated | Net Unrealized | |||||||||||||
Multi-Asset Inflation Managed Fund | $ | 773,896 | $ | 99,380 | $ | (16,707 | ) | $ | 82,673 | |||||||
Multi-Asset Capital Stability Fund | 288,563 | 12,687 | (417 | ) | 12,270 |
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 ownoperations, 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 from one to 270 days and is issued by U.S. or foreign
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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 Fund’s 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. 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 valued incorrectly. Each of these risks could cause the Fund to lose more than the principal amount invested in a derivative instrument.
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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 implemented 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 risks of investing in emerging markets in comparison to more developed markets. In addition, periodic U.S. Government restrictions on investments in issuers from
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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 change in interest rates will cause a fall in the value of fixed income securities, including U.S. Government securities, in which the Fund invests. Generally, the value of the Fund’s fixed income securities will vary inversely with the direction of prevailing interest rates. Changing interest rates may have unpredictable effects on the markets and may affect the value and liquidity of instruments held by the Fund. Although U.S. Government securities are considered to be among the safest investments, they are not guaranteed against price movements due to changing interest rates.
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
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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. 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
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changes in interest rates, and actual or perceived 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 March 31, 2023, SPTC held of record the following percentage of outstanding shares of each Fund:
Fund | % Held | |||
Large Cap Fund | ||||
Class F | 97 | % | ||
Class Y | 36 |
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Fund | % Held | |||
Large Cap Value Fund | ||||
Class F | 92 | % | ||
Class I | – | |||
Class Y | 98 | |||
Large Cap Growth Fund | ||||
Class F | 91 | % | ||
Class I | – | |||
Class Y | 98 | |||
Large Cap Index Fund | ||||
Class F | 99 | % | ||
Tax-Managed Large Cap Fund | ||||
Class F | 83 | % | ||
Class Y | 57 | |||
S&P 500 Index Fund | ||||
Class F | 44 | % | ||
Class I | 7 | |||
Small Cap Fund | ||||
Class F | 98 | % | ||
Class Y | 37 | |||
Small Cap Value Fund | ||||
Class F | 93 | % | ||
Class I | – | |||
Class Y | 98 | |||
Small Cap Growth Fund | ||||
Class F | 97 | % | ||
Class I | – | |||
Class Y | 37 | |||
Tax-Managed Small/Mid Cap Fund | ||||
Class F | 92 | % | ||
Class Y | 59 | |||
Mid-Cap Fund | ||||
Class F | 94 | % | ||
Class I | – | |||
Class Y | 19 | |||
U.S. Managed Volatility Fund | ||||
Class F | 94 | % | ||
Class I | – | |||
Class Y | 50 | |||
Global Managed Volatility Fund | ||||
Class F | 97 | % | ||
Class I | – | |||
Class Y | 54 | |||
Tax-Managed Managed Volatility Fund | ||||
Class F | 86 | % | ||
Class Y | 72 | |||
Tax-Managed International Managed Volatility Fund | ||||
Class F | 97 | % | ||
Class Y | 91 | |||
Real Estate Fund | ||||
Class F | 96 | % | ||
Class I | – | |||
Class Y | 56 | |||
Fund | % Held | |||
Core Fixed Income Fund | ||||
Class F | 97 | % | ||
Class I | 12 | |||
Class Y | 61 | |||
High Yield Bond Fund | ||||
Class F | 97 | % | ||
Class I | – | |||
Class Y | 65 | |||
Conservative Income Fund | ||||
Class F | 98 | % | ||
Class Y | 23 | |||
Tax-Free Conservative Income Fund | ||||
Class F | 98 | % | ||
Class Y | 65 | |||
Real Return Fund | ||||
Class F | 98 | % | ||
Class Y | 38 | |||
Dynamic Asset Allocation Fund | ||||
Class F | 97 | % | ||
Class Y | 20 | |||
Multi-Strategy Alternative Fund | ||||
Class F | 98 | % | ||
Class Y | 86 | |||
Multi-Asset Accumulation Fund | ||||
Class F | 98 | % | ||
Class Y | 42 | |||
Multi-Asset Income Fund | ||||
Class F | 98 | % | ||
Class Y | 42 | |||
Multi-Asset Inflation Managed Fund | ||||
Class F | 97 | % | ||
Class Y | 29 | |||
Multi-Asset Capital Stability Fund | ||||
Class F | 98 | % | ||
Class Y | 28 | |||
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 so from the SEC. Loans of portfolio securities will be fully collateralized by cash, letters of credit or U.S.
384
SEI Institutional Managed Trust
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 March 31, 2023 ($ Thousands):
Securities | Cash | Net | ||||||||||
Large Cap Fund | $ | 13,769 | $ | 13,769 | $ | – | ||||||
Large Cap Value Fund | 3,544 | 3,544 | – | |||||||||
Large Cap Index Fund | 1,141 | 1,141 | – | |||||||||
Tax-Managed Large Cap Fund | 16,856 | 16,856 | – | |||||||||
S&P 500 Index Fund | 56 | 56 | – | |||||||||
Small Cap Fund | 2,083 | 2,083 | – | |||||||||
Small Cap Value Fund | 2,366 | 2,366 | – | |||||||||
Small Cap Growth Fund | 2,259 | 2,259 | – | |||||||||
U.S. Managed Volatility Fund | 4,561 | 4,561 | – | |||||||||
Global Managed Volatility Fund | 11,141 | 11,141 | – | |||||||||
Tax-Managed Managed Volatility Fund | 4,085 | 4,085 | – | |||||||||
Tax-Managed International Managed Volatility Fund | 16,590 | 16,590 | – | |||||||||
Core Fixed Income Fund | 41,058 | 41,058 | – |
(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 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 March 31, 2023.
SEI Institutional Managed Trust
385
Disclosure of Fund Expenses (Unaudited)
March 31, 2023
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 | $ | 1,155.00 | 0.89 | % | $ | 4.78 | ||||||||
Class Y Shares | 1,000.00 | 1,156.60 | 0.64 | 3.45 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,020.49 | 0.89 | % | $ | 4.48 | ||||||||
Class Y Shares | 1,000.00 | 1,021.74 | 0.64 | 3.23 | ||||||||||||
Large Cap Value Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,148.10 | 0.89 | % | $ | 4.77 | ||||||||
Class I Shares | 1,000.00 | 1,147.10 | 1.11 | 5.93 | ||||||||||||
Class Y Shares | 1,000.00 | 1,149.60 | 0.64 | 3.43 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,020.49 | 0.89 | % | $ | 4.48 | ||||||||
Class I Shares | 1,000.00 | 1,019.41 | 1.11 | 5.58 | ||||||||||||
Class Y Shares | 1,000.00 | 1,021.74 | 0.64 | 3.23 | ||||||||||||
Beginning | Ending | Annualized | Expenses | |||||||||||||
Large Cap Growth Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,151.10 | 0.89 | % | $ | 4.77 | ||||||||
Class I Shares | 1,000.00 | 1,149.80 | 1.11 | 5.94 | ||||||||||||
Class Y Shares | 1,000.00 | 1,152.60 | 0.64 | 3.44 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,020.49 | 0.89 | % | $ | 4.48 | ||||||||
Class I Shares | 1,000.00 | 1,019.41 | 1.11 | 5.58 | ||||||||||||
Class Y Shares | 1,000.00 | 1,021.74 | 0.64 | 3.23 | ||||||||||||
Large Cap Index Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,150.60 | 0.25 | % | $ | 1.34 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,023.69 | 0.25 | % | $ | 1.26 | ||||||||
386
SEI Institutional Managed Trust
Beginning | Ending | Annualized | Expenses | |||||||||||||
Tax-Managed Large Cap Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,162.30 | 0.89 | % | $ | 4.80 | ||||||||
Class Y Shares | 1,000.00 | 1,163.30 | 0.64 | 3.46 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,020.49 | 0.89 | % | $ | 4.48 | ||||||||
Class Y Shares | 1,000.00 | 1,021.74 | 0.64 | 3.23 | ||||||||||||
S&P 500 Index Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,154.70 | 0.25 | % | $ | 1.34 | ||||||||
Class I Shares | 1,000.00 | 1,152.30 | 0.65 | 3.48 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,023.69 | 0.25 | % | $ | 1.26 | ||||||||
Class I Shares | 1,000.00 | 1,021.70 | 0.65 | 3.27 | ||||||||||||
Small Cap Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,099.70 | 1.14 | % | $ | 5.97 | ||||||||
Class Y Shares | 1,000.00 | 1,100.80 | 0.89 | 4.66 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,019.25 | 1.14 | % | $ | 5.74 | ||||||||
Class Y Shares | 1,000.00 | 1,020.49 | 0.89 | 4.48 | ||||||||||||
Small Cap Value Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,112.30 | 1.14 | % | $ | 6.00 | ||||||||
Class I Shares | 1,000.00 | 1,111.20 | 1.36 | 7.14 | ||||||||||||
Class Y Shares | 1,000.00 | 1,114.20 | 0.89 | 4.69 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,019.25 | 1.14 | % | $ | 5.74 | ||||||||
Class I Shares | 1,000.00 | 1,018.17 | 1.36 | 6.83 | ||||||||||||
Class Y Shares | 1,000.00 | 1,020.50 | 0.89 | 4.48 | ||||||||||||
Small Cap Growth Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,094.60 | 1.11 | % | $ | 5.80 | ||||||||
Class I Shares | 1,000.00 | 1,093.10 | 1.36 | 7.10 | ||||||||||||
Class Y Shares | 1,000.00 | 1,095.70 | 0.86 | 4.49 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,019.40 | 1.11 | % | $ | 5.59 | ||||||||
Class I Shares | 1,000.00 | 1,018.15 | 1.36 | 6.84 | ||||||||||||
Class Y Shares | 1,000.00 | 1,020.64 | 0.86 | 4.33 | ||||||||||||
Tax-Managed Small/Mid Cap Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,106.90 | 1.11 | % | $ | 5.83 | ||||||||
Class Y Shares | 1,000.00 | 1,108.40 | 0.89 | 4.68 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,019.40 | 1.11 | % | $ | 5.59 | ||||||||
Class Y Shares | 1,000.00 | 1,020.49 | 0.89 | 4.48 | ||||||||||||
Beginning | Ending | Annualized | Expenses | |||||||||||||
Mid-Cap Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,117.40 | 0.98 | % | $ | 5.17 | ||||||||
Class I Shares | 1,000.00 | 1,116.00 | 1.20 | 6.33 | ||||||||||||
Class Y Shares | 1,000.00 | 1,118.70 | 0.73 | 3.86 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,020.05 | 0.98 | % | $ | 4.94 | ||||||||
Class I Shares | 1,000.00 | 1,018.95 | 1.20 | 6.04 | ||||||||||||
Class Y Shares | 1,000.00 | 1,021.29 | 0.73 | 3.68 | ||||||||||||
U.S. Managed Volatility Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,127.70 | 0.90 | % | $ | 4.77 | ||||||||
Class I Shares | 1,000.00 | 1,125.60 | 1.15 | 6.09 | ||||||||||||
Class Y Shares | 1,000.00 | 1,128.40 | 0.65 | 3.45 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,020.44 | 0.90 | % | $ | 4.53 | ||||||||
Class I Shares | 1,000.00 | 1,019.21 | 1.15 | 5.78 | ||||||||||||
Class Y Shares | 1,000.00 | 1,021.69 | 0.65 | 3.28 | ||||||||||||
Global Managed Volatility Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,129.30 | 1.11 | % | $ | 5.89 | ||||||||
Class I Shares | 1,000.00 | 1,127.80 | 1.36 | 7.21 | ||||||||||||
Class Y Shares | 1,000.00 | 1,130.80 | 0.86 | 4.57 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,019.40 | 1.11 | % | $ | 5.59 | ||||||||
Class I Shares | 1,000.00 | 1,018.17 | 1.36 | 6.84 | ||||||||||||
Class Y Shares | 1,000.00 | 1,020.64 | 0.86 | 4.33 | ||||||||||||
Tax-Managed Managed Volatility Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,112.60 | 1.00 | % | $ | 5.27 | ||||||||
Class Y Shares | 1,000.00 | 1,114.50 | 0.75 | 3.96 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,019.95 | 1.00 | % | $ | 5.04 | ||||||||
Class Y Shares | 1,000.00 | 1,021.19 | 0.75 | 3.79 | ||||||||||||
Tax-Managed International Managed Volatility Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,204.90 | 1.11 | % | $ | 6.10 | ||||||||
Class Y Shares | 1,000.00 | 1,205.40 | 0.86 | 4.73 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,019.40 | 1.11 | % | $ | 5.59 | ||||||||
Class Y Shares | 1,000.00 | 1,020.64 | 0.86 | 4.33 | ||||||||||||
Real Estate Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,062.70 | 1.14 | % | $ | 5.86 | ||||||||
Class I Shares | 1,000.00 | 1,060.80 | 1.36 | 6.99 | ||||||||||||
Class Y Shares | 1,000.00 | 1,063.80 | 0.89 | 4.58 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,019.25 | 1.14 | % | $ | 5.74 | ||||||||
Class I Shares | 1,000.00 | 1,018.16 | 1.36 | 6.84 | ||||||||||||
Class Y Shares | 1,000.00 | 1,020.49 | 0.89 | 4.48 | ||||||||||||
SEI Institutional Managed Trust
387
Disclosure of Fund Expenses (Unaudited) (Concluded)
March 31, 2023
Beginning | Ending | Annualized | Expenses | |||||||||||||
Core Fixed Income Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,052.10 | 0.66 | % | $ | 3.38 | ||||||||
Class I Shares | 1,000.00 | 1,052.10 | 0.88 | 4.50 | ||||||||||||
Class Y Shares | 1,000.00 | 1,054.40 | 0.41 | 2.11 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,021.64 | 0.66 | % | $ | 3.33 | ||||||||
Class I Shares | 1,000.00 | 1,020.55 | 0.88 | 4.43 | ||||||||||||
Class Y Shares | 1,000.00 | 1,022.88 | 0.41 | 2.08 | ||||||||||||
High Yield Bond Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,055.70 | 0.89 | % | $ | 4.56 | ||||||||
Class I Shares | 1,000.00 | 1,055.50 | 1.06 | 5.45 | ||||||||||||
Class Y Shares | 1,000.00 | 1,057.00 | 0.64 | 3.29 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,020.49 | 0.89 | % | $ | 4.48 | ||||||||
Class I Shares | 1,000.00 | 1,019.63 | 1.06 | 5.35 | ||||||||||||
Class Y Shares | 1,000.00 | 1,021.74 | 0.64 | 3.23 | ||||||||||||
Conservative Income Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,020.00 | 0.30 | % | $ | 1.51 | ||||||||
Class Y Shares | 1,000.00 | 1,021.10 | 0.20 | 1.01 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,023.44 | 0.30 | % | $ | 1.51 | ||||||||
Class Y Shares | 1,000.00 | 1,023.93 | 0.20 | 1.01 | ||||||||||||
Tax-Free Conservative Income Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,013.30 | 0.30 | % | $ | 1.51 | ||||||||
Class Y Shares | 1,000.00 | 1,013.80 | 0.20 | 1.01 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,023.44 | 0.30 | % | $ | 1.51 | ||||||||
Class Y Shares | 1,000.00 | 1,023.93 | 0.20 | 1.02 | ||||||||||||
Real Return Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,033.80 | 0.45 | % | $ | 2.28 | ||||||||
Class Y Shares | 1,000.00 | 1,033.10 | 0.35 | 1.78 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,022.69 | 0.45 | % | $ | 2.27 | ||||||||
Class Y Shares | 1,000.00 | 1,023.18 | 0.35 | 1.77 | ||||||||||||
Beginning | Ending | Annualized | Expenses | |||||||||||||
Dynamic Asset Allocation Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,133.70 | 0.75 | % | $ | 3.99 | ||||||||
Class Y Shares | 1,000.00 | 1,135.90 | 0.50 | 2.66 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,021.19 | 0.75 | % | $ | 3.78 | ||||||||
Class Y Shares | 1,000.00 | 1,022.44 | 0.50 | 2.52 | ||||||||||||
Multi-Strategy Alternative Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,037.10 | 1.28 | % | $ | 6.50 | ||||||||
Class Y Shares | 1,000.00 | 1,038.80 | 1.04 | 5.31 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,018.55 | 1.28 | % | $ | 6.44 | ||||||||
Class Y Shares | 1,000.00 | 1,019.72 | 1.04 | 5.26 | ||||||||||||
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 | $ | 1,082.20 | 0.80 | % | $ | 4.15 | ||||||||
Class Y Shares | 1,000.00 | 1,082.70 | 0.70 | 3.63 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,020.94 | 0.80 | % | $ | 4.03 | ||||||||
Class Y Shares | 1,000.00 | 1,021.45 | 0.70 | 3.52 | ||||||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,013.30 | 1.58 | % | $ | 7.93 | ||||||||
Class Y Shares | 1,000.00 | 1,014.90 | 1.33 | 6.68 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,017.05 | 1.58 | % | $ | 7.95 | ||||||||
Class Y Shares | 1,000.00 | 1,018.30 | 1.33 | 6.69 | ||||||||||||
Multi-Asset Capital Stability Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,029.50 | 0.62 | % | $ | 3.14 | ||||||||
Class Y Shares | 1,000.00 | 1,029.50 | 0.52 | 2.63 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F Shares | $ | 1,000.00 | $ | 1,021.84 | 0.62 | % | $ | 3.13 | ||||||||
Class Y Shares | 1,000.00 | 1,022.34 | 0.52 | 2.62 | ||||||||||||
* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). |
388
SEI Institutional Managed Trust
Review of the Liquidity Risk Management Program (Unaudited)
March 31, 2023
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 20-22, 2023, 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 2022 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.
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.
SEI Institutional Managed Trust
389
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 or renew 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 or renew 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 first half of the Trust’s fiscal year, the Board requested and received written materials from SIMC and certain 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 that 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
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over various periods of time compared with peer groups of mutual funds prepared by Broadridge and the Funds’ benchmark indexes.
At the March 20-22, 2023 meeting of the Board, the Trustees, including a majority of the Independent Trustees, approved the renewal of the Advisory Agreement. Also, certain Sub-Advisory Agreements were 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 first half of the Trust’s fiscal year on December 5-7, 2022, January 25, 2023 and March 20-22, 2023. 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 the 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
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Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Concluded)
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 the 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.
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 the 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.
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SEI Institutional Managed Trust
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2023
Trustees
Robert A. Nesher, Chairman
William M. Doran
Nina Lesavoy
James M. Williams
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
Donald Duncan
Anti-Money Laundering Compliance Officer
Privacy Officer
Investment Adviser
SEI Investments Management Corporation
Administrator
SEI Investments Global Funds Services
Distributor
SEI Investments Distribution Co.
Legal Counsel
Morgan, Lewis & Bockius LLP
Independent Registered Public Accounting Firm
KPMG LLP
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal.
For more information call
1 800 DIAL SEI
(1 800 342 5734)
SEI-F-092 (3/23)
Item 2. Code of Ethics.
Not applicable for semi-annual report.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual report.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual report.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
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 Investment 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 18th 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) Not applicable for semi-annual report.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SEI Institutional Managed Trust | ||
By | /s/ Robert A. Nesher | |
Robert A. Nesher, President & CEO |
Date: June 9, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By | /s/ Robert A. Nesher | |
Robert A. Nesher, President & CEO | ||
Date: June 9, 2023 | ||
By | /s/ Ankit Puri | |
Ankit Puri, Controller & CFO | ||
Date: June 9, 2023 |