UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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FORM N-CSR
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-4878
SEI INSTITUTIONAL MANAGED TRUST
(Exact name of registrant as specified in charter)
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CT Corporation
101 Federal Street
Boston, MA 02110
(Address of principal executive offices) (Zip code)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Name and address of agent for service)
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734
DATE OF FISCAL YEAR END: SEPTEMBER 30, 2004
DATE OF REPORTING PERIOD: MARCH 31, 2004
ITEM 1. REPORTS TO STOCKHOLDERS.
[BACKGROUND GRAPHICS OMITTED]
SEI INVESTMENTS
Semi-Annual Report as of March 31, 2004 (Unaudited)
SEI Institutional Managed Trust
Tax-Managed Large Cap Fund
Large Cap Value Fund
Large Cap Growth Fund
Tax-Managed Small Cap Fund
Small Cap Value Fund
Small Cap Growth Fund
Mid-Cap Fund
Real Estate Fund
Core Fixed Income Fund
High Yield Bond Fund
TABLE OF CONTENTS
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Statements of Net Assets/Schedules of Investments 1
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Statements of Assets and Liabilities 75
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Statements of Operations 76
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Statements of Changes in Net Assets 78
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Financial Highlights 82
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Notes to Financial Statements 84
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A description of the policies and procedures that the Trust uses to determine
how to vote proxies relating to the Trust's portfolio securities is available
(i) without charge, upon request, by calling 1-800-342-5734; and (ii) on the
U.S. Securities and Exchange Commission's website at http://www.sec.gov.
STATEMENT OF NET ASSETS (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 96.9%
CONSUMER DISCRETIONARY -- 15.4%
99 Cents Only Stores (B)* 1,700 $ 42
Abercrombie & Fitch, Cl A* 4,600 156
Amazon.com* 7,700 333
American Eagle Outfitters* 2,100 57
Autoliv 112,200 4,600
Autonation* 62,300 1,062
Autozone (B)* 3,200 275
Barnes & Noble* 27,800 906
Bed Bath & Beyond* 106,100 4,431
Belo, Cl A 1,100 31
Best Buy 10,250 530
Big Lots* 6,400 93
Black & Decker 15,100 860
Blockbuster, Cl A (B) 34,300 600
Boise Cascade 12,800 444
BorgWarner 11,900 1,009
Brinker International* 4,100 156
Brunswick 45,000 1,837
Cablevision Systems, Cl A* 19,800 453
Caesars Entertainment* 35,700 466
Carmax* 46,780 1,366
CBRL Group 21,900 868
CEC Entertainment* 3,000 104
Centex 24,000 1,297
Cheesecake Factory (B)* 1,500 69
Clear Channel Communications 133,920 5,672
Coach* 3,600 148
Comcast, Cl A* 161,083 4,630
Comcast, Special Cl A (B)* 38,700 1,079
COX Communications, Cl A (B)* 291,980 9,227
Cumulus Media, Cl A* 4,800 96
Dana 46,700 927
Darden Restaurants 49,900 1,237
Delphi 107,800 1,074
Dillard's, Cl A 4,800 92
DIRECTV Group* 29,965 461
Dollar General 6,800 131
Dollar Tree Stores* 29,100 899
Dow Jones 900 43
DR Horton 98,425 3,487
Eagle Materials 116 7
Eagle Materials, Cl B 387 23
Eastman Kodak (B) 38,900 1,018
eBay* 330,184 22,892
Extended Stay America 2,800 54
Family Dollar Stores 128,720 4,627
Federated Department Stores 138,400 7,481
Foot Locker 10,700 276
Ford Motor (B) 324,700 4,406
Fortune Brands 10,700 820
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Fox Entertainment Group, Cl A* 61,600 $ 1,669
Furniture Brands International 1,800 58
GameStop, Cl A* 2,900 52
Gannett 93,850 8,272
Gap 25,900 568
General Motors (B) 157,500 7,418
Gentex 4,500 195
Genuine Parts 29,900 978
Goodyear Tire & Rubber (B) 9,800 84
Harley-Davidson (B) 12,500 667
Harrah's Entertainment 58,760 3,225
Hasbro 87,600 1,905
Hearst-Argyle Television 1,400 38
Hilton Hotels 16,500 268
Home Depot 262,200 9,796
InterActive (B)* 12,259 387
International Game Technology 12,400 558
Interpublic Group (B)* 41,600 640
JC Penney 101,600 3,534
Johnson Controls 29,600 1,751
Jones Apparel Group 4,900 177
KB Home (B) 28,000 2,262
Knight-Ridder 19,500 1,428
Kohl's* 250,800 12,121
Krispy Kreme Doughnuts (B)* 1,600 55
Lamar Advertising (B)* 39,400 1,585
Lear 1,400 87
Leggett & Platt 9,500 225
Lennar, Cl A (B) 44,100 2,383
Lennar, Cl B 520 26
Liberty Media, Cl A* 1,015,550 11,120
Limited 141,000 2,820
Liz Claiborne 3,400 125
Lowe's 205,280 11,522
Magna International, Cl A 2,200 174
Mandalay Resort Group 52,000 2,978
Marriott International, Cl A 235,688 10,029
Mattel 19,400 358
May Department Stores 57,300 1,981
Maytag 28,400 897
McClatchy, Cl A 1,900 135
McDonald's 327,200 9,348
McGraw-Hill 74,590 5,679
MDC Holdings 16,610 1,169
Media General, Cl A 13,300 895
Meredith 4,000 202
Metro-Goldwyn-Mayer* 55,500 966
MGM Mirage* 4,000 181
Michaels Stores 21,000 1,021
Mohawk Industries* 1,900 156
MSC Industrial Direct, Cl A 4,000 120
Neiman-Marcus Group, Cl A* 1,800 97
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SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 1
STATEMENT OF NET ASSETS (Unaudited)
Tax-Managed Large Cap Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
New York Times, Cl A 7,700 $ 340
Newell Rubbermaid (B) 10,600 246
Nike, Cl B 5,200 405
Nordstrom 21,600 862
NTL* 8,500 505
NVR (B)* 2,500 1,150
O'Reilly Automotive* 1,800 72
Office Depot* 18,100 341
Omnicom Group 65,400 5,248
Outback Steakhouse 2,800 136
Petsmart 3,400 93
Pulte Homes 2,800 156
Radio One, Cl D* 9,300 172
RadioShack 3,100 103
Reebok International 2,100 87
Rent-A-Center* 18,000 594
Ross Stores 5,200 159
Ruby Tuesday 2,600 84
Ryland Group 10,000 888
Saks* 12,000 211
Sears Roebuck (B) 54,700 2,350
Sherwin-Williams 97,900 3,762
Six Flags* 8,600 68
Snap-On 3,900 126
Stanley Works 44,500 1,899
Staples* 345,700 8,777
Starbucks (B)* 16,700 630
Starwood Hotels & Resorts Worldwide 35,860 1,452
Talbots 1,200 43
Target 28,400 1,279
Tiffany 2,600 99
Timberland, Cl A* 13,100 779
Time Warner (B)* 906,660 15,286
TJX 199,000 4,887
Toys "R" Us* 15,900 267
Tribune 33,400 1,685
UnitedGlobalCom, Cl A* 76,800 652
Univision Communications, Cl A* 146,510 4,836
Valassis Communications* 44,840 1,363
VF 35,900 1,677
Viacom, Cl B 297,906 11,681
Visteon 58,500 560
Walt Disney 482,874 12,067
Washington Post, Cl B 200 177
Westwood One* 3,500 103
Whirlpool 13,000 895
Williams-Sonoma* 4,000 137
XM Satellite Radio Holdings,
Cl A (B)* 280,000 7,840
Yum! Brands* 9,600 365
Zale* 20,300 1,249
---------
316,080
----------
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CONSUMER STAPLES -- 8.9%
Adolph Coors, Cl B 20,500 $ 1,424
Alberto-Culver 11,850 520
Albertson's (B) 51,000 1,130
Altria Group 357,400 19,460
Anheuser-Busch 34,200 1,744
Archer-Daniels-Midland 116,200 1,960
Avon Products 56,280 4,270
BJ's Wholesale Club* 30,600 779
Brown-Forman, Cl B 2,400 114
Campbell Soup 11,300 308
Clorox 7,900 386
Coca-Cola 223,869 11,261
Coca-Cola Enterprises 129,600 3,132
Colgate-Palmolive 131,844 7,265
ConAgra Foods 41,400 1,115
Constellation Brands, Cl A* 20,900 671
Costco Wholesale (B)* 11,400 428
CVS 51,900 1,832
Dean Foods* 25,350 847
Energizer Holdings* 102,380 4,780
General Mills 40,100 1,872
Gillette 406,907 15,910
Hershey Foods (B) 24,400 2,022
HJ Heinz 6,900 257
Hormel Foods 4,000 117
Kellogg 12,500 491
Kimberly-Clark 103,200 6,512
Kraft Foods, Cl A 6,700 215
Kroger* 163,900 2,727
Loews - Carolina Group 27,700 758
McCormick 4,200 141
Pepsi Bottling Group 4,400 131
PepsiAmericas 45,000 919
PepsiCo 306,459 16,503
Procter & Gamble 196,438 20,602
Rite Aid* 53,000 288
RJ Reynolds Tobacco Holdings 30,400 1,839
Safeway (B)* 135,500 2,789
Sara Lee 84,000 1,836
Smithfield Foods* 2,700 73
Supervalu 77,600 2,370
Sysco 26,900 1,050
Tyson Foods, Cl A 106,645 1,925
UST 10,000 361
Wal-Mart Stores 437,760 26,130
Walgreen 183,900 6,060
Whole Foods Market 2,500 187
Wm. Wrigley Jr 67,210 3,973
----------
181,484
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2 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ENERGY -- 5.9%
Amerada Hess 34,700 $ 2,265
Anadarko Petroleum 25,200 1,307
Apache 10,342 446
Ashland 22,700 1,055
Baker Hughes 4,500 164
BJ Services (B)* 3,100 134
Burlington Resources 41,800 2,660
ChevronTexaco 236,831 20,789
Cimarex Energy* 2,285 66
ConocoPhillips 179,100 12,503
Cross Timbers Royalty Trust 105 3
Devon Energy 15,745 916
ENSCO International 6,000 169
ExxonMobil 1,222,182 50,831
Forest Oil* 2,300 58
Grant Prideco* 9,100 141
Halliburton 35,400 1,076
Helmerich & Payne 4,300 123
Kerr-McGee (B) 6,500 335
Marathon Oil 147,600 4,970
Murphy Oil 7,800 491
National-Oilwell (B)* 6,500 184
Newfield Exploration* 5,100 244
Noble Energy 5,500 259
Occidental Petroleum 98,900 4,554
Patterson-UTI Energy* 7,000 248
Pioneer Natural Resources* 9,900 320
Pogo Producing 6,900 317
Precision Drilling* 21,300 992
Premcor* 1,800 56
Rowan* 11,200 236
Schlumberger 108,551 6,931
Smith International (B)* 7,200 385
Sunoco 21,000 1,310
Tidewater 1,900 53
Unocal 66,500 2,479
Valero Energy 4,124 247
Varco International* 4,700 85
Western Gas Resources 9,500 483
XTO Energy (B) 17,833 450
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120,335
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FINANCIALS -- 23.6%
21st Century Insurance Group 9,000 130
ACE 14,200 606
Affiliated Managers Group (B)* 1,350 74
Aflac 58,300 2,340
AG Edwards 32,700 1,279
Allied Capital (B) 2,400 73
Allmerica Financial* 15,400 532
Allstate 224,300 10,197
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
AMB Property+ 3,400 $ 126
AMBAC Financial Group 33,650 2,483
American Express 77,500 4,018
American International Group 463,623 33,079
AmerUs Group* 1,200 48
AmSouth Bancorp 94,900 2,231
AON (B) 48,100 1,342
Apartment Investment &
Management, Cl A+ 900 28
Archstone-Smith Trust+ 56,300 1,661
Arden Realty+ 1,400 45
Arthur J Gallagher 1,900 62
Astoria Financial 82,100 3,122
Bank of America (B) 323,000 26,157
Bank of Hawaii 17,800 825
Bank of New York 41,000 1,291
Bank One 237,900 12,970
Banknorth Group 4,600 157
BB&T 35,400 1,250
Bear Stearns 64,000 5,612
Boston Properties+ 3,200 174
Capital One Financial 22,200 1,675
CarrAmerica Realty+ 3,400 115
Catellus Development+* 2,941 76
Charles Schwab 1,055,220 12,251
Charter One Financial 8,930 316
Chubb 30,900 2,149
Cincinnati Financial 5,900 256
Citigroup 1,160,470 59,996
Citizens Banking 1,800 59
Comerica 16,100 875
Commerce Bancorp 14,600 962
Compass Bancshares 4,000 166
Countrywide Financial (B) 22,833 2,190
Crescent Real Estate Equity+ 2,000 36
Doral Financial 25,050 882
Duke Realty+ 11,100 385
Equity Office Properties Trust+ 163,400 4,721
Equity Residential+ 73,100 2,182
Erie Indemnity, Cl A 7,000 338
Fannie Mae 127,920 9,511
Federated Investors, Cl B 3,500 110
Fidelity National Financial 75,983 3,009
Fifth Third Bancorp 19,470 1,078
First American 93,000 2,829
First Tennessee National 78,600 3,749
FirstMerit 5,200 135
FleetBoston Financial 199,800 8,971
Franklin Resources 85,900 4,783
Freddie Mac 140,820 8,317
Fremont General 29,300 897
Friedman Billings Ramsey Group, Cl A 33,100 893
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SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 3
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STATEMENT OF NET ASSETS (Unaudited)
Tax-Managed Large Cap Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
GATX 3,200 $ 71
General Growth Properties+ 42,700 1,501
Golden West Financial 18,100 2,026
Goldman Sachs Group 143,200 14,943
Greater Bay Bancorp (B) 3,700 108
Greenpoint Financial 50,850 2,223
Hartford Financial Services Group 33,200 2,115
HCC Insurance Holdings 2,000 65
Hibernia, Cl A 38,300 900
Highwoods Properties+ 1,500 39
Host Marriott+* 19,800 253
Huntington Bancshares 93,300 2,070
Independence Community Bank 29,000 1,182
IndyMac Bancorp 51,700 1,876
Investment Technology Group* 2,400 37
iStar Financial+ 4,600 195
Janus Capital Group 21,900 359
Jefferson-Pilot 48,100 2,646
John Hancock Financial Services 79,500 3,473
JP Morgan Chase 479,000 20,094
Keycorp 171,700 5,201
Legg Mason (B) 3,600 334
Lehman Brothers Holdings 70,469 5,840
Liberty Property Trust+ 3,300 148
Lincoln National 55,800 2,640
M&T Bank 3,500 314
Mack-Cali Realty+ 23,900 1,073
Markel* 1,700 489
Marsh & McLennan 19,300 894
Marshall & Ilsley 9,200 348
MBIA 69,300 4,345
MBNA 396,960 10,968
Mellon Financial 25,100 785
Mercantile Bankshares 1,300 56
Merrill Lynch 127,200 7,576
Metlife 66,500 2,373
MGIC Investment 5,400 347
Mony Group (B)* 6,100 192
Moody's 172,540 12,216
Morgan Stanley 164,500 9,426
National City 196,400 6,988
Nationwide Financial Services, Cl A 16,000 577
New York Community Bancorp 24,466 839
North Fork Bancorporation (B) 17,300 732
Northern Trust 165,700 7,720
Nuveen Investments, Cl A 2,400 67
Old Republic International 64,350 1,580
PartnerRe Holdings 9,500 536
Peoples Bank Bridgeport 2,000 93
Phoenix (B) 22,400 300
Piper Jaffray* 1,887 102
Plum Creek Timber+ 38,000 1,234
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
PMI Group 19,900 $ 743
PNC Financial Services Group 82,200 4,556
Popular 51,800 2,233
Principal Financial Group* 84,200 3,000
Progressive 17,200 1,507
Prologis+ 12,100 434
Protective Life 4,000 150
Providian Financial* 15,500 203
Prudential Financial 37,600 1,684
Public Storage+ 4,100 199
Radian Group 9,500 405
Raymond James Financial 2,700 67
Regency Centers+ 1,000 47
Regions Financial 73,700 2,692
Safeco (B) 22,700 980
Silicon Valley Bancshares* 3,100 101
Simon Property Group+ 7,100 415
SLM 21,900 916
SouthTrust 35,100 1,164
Sovereign Bancorp 15,600 334
St. Joe 2,900 118
St. Paul 34,400 1,376
State Street 173,340 9,036
SunTrust Banks 53,200 3,709
Synovus Financial 1,800 44
T Rowe Price Group 5,000 269
TCF Financial 2,200 112
Torchmark 45,000 2,421
Transatlantic Holdings 9,000 785
Travelers Property Casualty, Cl B 119,841 2,070
Union Planters (B) 81,950 2,446
UnionBanCal 14,200 744
Unitrin 20,200 867
UnumProvident 8,900 130
US Bancorp 322,161 8,908
Vornado Realty Trust+ 3,000 181
Wachovia 351,700 16,530
Waddell & Reed Financial, Cl A 7,800 191
Washington Mutual (B) 179,968 7,686
Webster Financial 30,200 1,531
Wells Fargo 214,700 12,167
Whitney Holding 1,600 67
Willis Group Holdings 22,800 848
Zions Bancorporation 16,300 932
----------
483,331
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HEALTH CARE -- 10.5%
Abbott Laboratories 65,200 2,680
Advanced Medical Optics* 2,444 60
Aetna 15,700 1,409
Affymetrix* 2,100 71
Alcon 6,400 405
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4 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Allergan 105,400 $ 8,870
AmerisourceBergen 2,387 130
Amgen* 259,395 15,089
Amylin Pharmaceuticals* 3,500 83
Anthem (B)* 12,474 1,131
Apogent Technologies* 31,700 973
Applera - Applied Biosystems Group 54,300 1,074
Barr Pharmaceuticals* 750 34
Bausch & Lomb 17,100 1,025
Baxter International 22,100 683
Beckman Coulter 11,600 633
Becton Dickinson 45,200 2,191
Biogen Idec (B)* 9,340 519
Biomet 10,050 385
Boston Scientific* 34,400 1,458
Bristol-Myers Squibb 220,000 5,331
Cardinal Health 58,300 4,017
Caremark Rx (B)* 86,544 2,878
Celgene* 2,000 95
Chiron* 3,700 163
Cigna 38,000 2,243
Coventry Health Care* 1,500 63
CR Bard 1,900 185
Cytyc* 6,000 133
DaVita* 3,100 148
Dentsply International 900 40
Eli Lilly 137,693 9,212
Express Scripts* 1,100 82
Fisher Scientific International (B)* 2,000 110
Forest Laboratories* 13,600 974
Genentech (B)* 157,700 16,688
Genzyme* 8,700 409
Gilead Sciences* 7,500 418
Guidant 13,700 868
HCA 40,200 1,633
Health Management Associates,
Cl A (B) 14,000 325
Health Net* 3,200 80
Hillenbrand Industries 2,900 197
Humana* 44,900 854
ICOS (B)* 2,300 85
ImClone Systems* 1,100 56
IMS Health 3,944 92
Invitrogen* 12,800 918
IVAX* 1,800 41
Johnson & Johnson 264,447 13,413
King Pharmaceuticals* 44,600 751
Laboratory of America Holdings* 5,300 208
Lincare Holdings* 3,500 110
Manor Care 26,800 946
McKesson 78,300 2,356
Medco Health Solutions* 16,424 558
Medicis Pharmaceutical, Cl A 2,000 80
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Medtronic 520,573 $ 24,857
Merck 259,270 11,457
Mettler Toledo International* 2,300 102
Millennium Pharmaceuticals* 4,400 74
Millipore* 1,400 72
Mylan Laboratories 19,800 450
Neurocrine Biosciences* 600 35
Omnicare 4,200 186
Oxford Health Plans 3,700 181
Patterson Dental (B)* 2,100 144
Pfizer 1,147,268 40,212
Pharmaceutical Product
Development* 4,300 128
Quest Diagnostics* 2,400 199
Renal Care Group* 2,900 133
St. Jude Medical* 7,900 570
Steris* 5,400 139
Stryker 6,100 540
Teva Pharmaceutical Industries ADR 324 21
UnitedHealth Group 25,594 1,649
Universal Health Services, Cl B 1,600 74
Valeant Pharmaceuticals 12,000 286
Watson Pharmaceuticals* 10,600 454
WellPoint Health Networks* 115,200 13,101
Wyeth 175,480 6,589
Zimmer Holdings* 99,300 7,326
----------
214,642
----------
INDUSTRIALS -- 7.3%
3M 106,630 8,730
Accenture, Cl A* 33,500 831
AGCO* 1,800 37
Allied Waste Industries* 9,600 128
American Power Conversion 7,400 170
American Standard* 2,400 273
AMN Healthcare Services* 7,200 132
Apollo Group, Cl A* 45,450 3,914
Avery Dennison 2,400 149
Boeing 18,200 747
Burlington Northern Santa Fe 165,400 5,210
Career Education* 800 45
Caterpillar 94,318 7,458
Cavco Industries* 130 5
Cendant* 419,960 10,243
CH Robinson Worldwide 3,200 133
ChoicePoint* 2,600 99
Cintas* 116,000 5,045
Continental Airlines, Cl B* 4,900 61
Cooper Industries, Cl A 7,400 423
Crane 1,700 56
CSX 40,300 1,221
Cummins 25,900 1,514
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SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 5
STATEMENT OF NET ASSETS (Unaudited)
Tax-Managed Large Cap Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Danaher (B) 47,700 $ 4,454
Deere 22,800 1,580
Deluxe 27,900 1,119
Dover 6,100 236
Dun & Bradstreet* 1,600 86
Eaton 55,000 3,090
Emerson Electric 36,400 2,181
Equifax 7,600 196
Expeditors International Washington 223,400 8,822
Fastenal (B) 67,200 3,608
FedEx 13,400 1,007
Flowserve* 12,000 251
Fluor 1,500 58
General Dynamics (B) 5,600 500
General Electric 401,900 12,266
Goodrich 27,000 758
Graco 9,150 266
H&R Block 6,800 347
Harsco 2,300 105
Herman Miller 1,900 51
HON Industries 24,100 896
Honeywell International 82,300 2,786
Hubbell, Cl B 15,800 634
Hudson Highland Group* 750 21
IKON Office Solutions 5,300 68
Illinois Tool Works 13,500 1,070
Iron Mountain* 4,200 187
ITT Industries 4,000 305
Jacobs Engineering Group* 800 36
JetBlue Airways (B)* 6,600 167
L-3 Communications Holdings* 16,200 964
Lafarge North America 3,100 126
Lockheed Martin 36,100 1,648
Manpower 2,200 102
Masco (B) 161,247 4,908
MKS Instruments* 3,500 84
Monster Worldwide* 10,000 262
Navistar International (B)* 1,400 64
Norfolk Southern 69,700 1,540
Northrop Grumman 8,817 868
Northwest Airlines (B)* 26,000 263
Paccar 24,675 1,388
Pall 9,500 216
Parker Hannifin 7,800 441
Pentair 2,400 142
Pitney Bowes 16,400 699
Raytheon 31,700 993
Republic Services 6,400 173
Robert Half International* 5,800 137
Rockwell Automation 6,000 208
Rockwell Collins 35,000 1,106
RR Donnelley & Sons 48,100 1,455
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Ryder System 45,900 $ 1,778
ServiceMaster 14,400 173
Shaw Group (B)* 7,600 82
Skywest 8,800 169
Southwest Airlines 37,900 539
SPX* 38,000 1,728
Steelcase, Cl A 3,900 51
Swift Transportation* 2,900 50
Teekay Shipping (B) 16,400 1,130
Textron 58,400 3,104
Thomas & Betts* 23,700 517
Tyco International 25,600 733
Union Pacific 21,500 1,286
United Parcel Service, Cl B (B) 226,746 15,836
United Rentals* 9,100 162
United Technologies 46,272 3,993
Viad 15,500 375
W.W. Grainger 4,800 230
Waste Management 21,300 643
Weight Watchers International (B)* 150,000 6,340
York International 1,400 55
----------
150,536
----------
INFORMATION TECHNOLOGY -- 16.2%
Acxiom* 2,400 53
Adaptec* 5,300 46
Adobe Systems 9,900 390
Advanced Fibre Communication* 3,900 86
Advanced Micro Devices (B)* 7,200 117
Advent Software (B)* 2,800 52
Affiliated Computer Services,
Cl A (B)* 12,700 659
Agilent Technologies* 20,100 636
Altera* 12,800 262
Amphenol, Cl A* 2,200 65
Analog Devices 22,100 1,061
Andrew* 18,500 324
Apple Computer* 5,300 143
Applied Materials* 54,600 1,167
Arrow Electronics* 88,200 2,246
Autodesk 4,100 130
Automatic Data Processing 65,900 2,768
Avaya* 68,500 1,088
Avnet* 68,200 1,670
AVX 9,900 163
BEA Systems* 19,700 251
BISYS Group* 2,900 49
BMC Software* 8,900 174
Broadcom, Cl A* 7,000 274
Cadence Design Systems (B)* 14,800 218
CDW 3,590 243
Certegy 3,300 116
Checkfree (B)* 3,200 94
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6 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cisco Systems* 1,177,220 $ 27,688
Citrix Systems* 28,500 616
Cognizant Technology Solutions* 978 44
Computer Associates International 24,600 661
Computer Sciences* 4,000 161
Comverse Technology* 21,100 383
Convergys* 47,300 719
Corning* 79,500 889
CSG Systems International* 8,100 139
Cypress Semiconductor (B)* 56,200 1,150
Dell* 418,730 14,078
Diebold 5,800 279
DST Systems* 1,700 77
EchoStar Communications, Cl A* 331,890 10,869
Electronic Arts* 102,812 5,548
Electronic Data Systems (B) 80,900 1,565
EMC* 473,210 6,440
Emulex (B)* 1,700 36
Fair Isaac 4,050 146
Fairchild Semiconductor
International* 3,400 82
First Data 673,715 28,404
Fiserv* 154,550 5,528
Flextronics International (B)* 42,300 728
Global Payments 2,000 90
Harris 3,000 145
Hewlett-Packard 546,127 12,473
Ingram Micro, Cl A* 47,600 862
Integrated Device Technology* 9,200 138
Intel 1,180,250 32,103
International Business Machines 150,000 13,776
International Rectifier* 1,900 87
Intersil, Cl A 5,500 123
Intuit* 44,810 2,011
Jabil Circuit* 5,300 156
Juniper Networks (B)* 14,300 372
Kemet* 12,000 172
Kla-Tencor* 6,100 307
Lam Research (B)* 2,600 66
Lexmark International* 4,000 368
Linear Technology 128,800 4,768
Lucent Technologies (B)* 429,100 1,764
Macromedia* 7,400 148
Maxim Integrated Products 84,300 3,970
Maxtor* 157,700 1,285
Mercury Interactive* 1,000 45
Microchip Technology 7,300 194
Micron Technology* 8,800 147
Microsoft 1,358,580 33,924
Molex (B) 1,400 43
Motorola 297,100 5,229
National Semiconductor* 81,700 3,630
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
NCR* 37,300 $ 1,643
Network Appliance* 10,900 234
Network Associates* 8,800 158
Novellus Systems* 10,600 337
Nvidia (B)* 15,700 416
Oracle (B)* 366,400 4,400
Paychex 544,800 19,395
Peoplesoft* 12,700 235
PerkinElmer 151,100 3,126
Perot Systems, Cl A* 13,400 178
Plantronics* 23,100 846
PMC - Sierra* 6,600 112
Polycom* 11,200 238
QLogic* 4,300 142
Qualcomm 474,542 31,519
Rambus* 2,000 56
Reynolds & Reynolds, Cl A 3,400 97
RF Micro Devices (B)* 18,400 156
Sabre Holdings 86,300 2,141
Sandisk (B)* 141,600 4,017
Sanmina-SCI* 178,100 1,961
Scientific-Atlanta 31,800 1,028
Semtech* 11,500 262
Siebel Systems (B)* 22,800 262
Solectron (B)* 73,000 404
Storage Technology* 6,000 167
Sun Microsystems* 318,200 1,324
Sungard Data Systems* 103,600 2,839
Sybase* 2,400 50
Symantec (B)* 12,000 556
Symbol Technologies 7,600 105
Tech Data* 8,886 364
Tektronix 3,200 105
Tellabs (B)* 55,300 477
Teradyne* 18,800 448
Texas Instruments (B) 117,820 3,443
Thermo Electron* 7,000 198
Titan* 3,800 77
Unisys* 61,900 884
Utstarcom* 4,100 118
VeriSign* 14,900 247
Veritas Software* 90,700 2,441
Vishay Intertechnology (B)* 9,500 203
Waters* 5,800 237
WebMD (B)* 20,600 183
Xerox (B)* 113,400 1,652
Xilinx* 22,000 836
Yahoo! (B)* 53,900 2,619
Zebra Technologies, Cl A* 600 42
----------
332,149
----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 7
STATEMENT OF NET ASSETS (Unaudited)
Tax-Managed Large Cap Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MATERIALS -- 2.6%
Agrium 48,100 $ 707
Air Products & Chemicals 9,900 496
Alcan 24,900 1,115
Alcoa 229,000 7,944
Ball 700 47
Bemis 47,600 1,238
Bowater 1,600 70
Consol Energy (B) 2,800 75
Cytec Industries* 26,100 928
Dow Chemical 109,400 4,407
E.I. Du Pont de Nemours 111,500 4,708
Eastman Chemical 19,600 837
Ecolab 11,200 320
Engelhard 7,700 230
Florida Rock Industries 1,200 51
Freeport-McMoRan Copper & Gold,
Cl B 24,000 938
Georgia-Pacific (B) 87,800 2,958
Hercules* 6,500 75
International Flavors & Fragrances 6,200 220
International Paper 49,000 2,071
Louisiana-Pacific* 29,700 766
Lubrizol 45,000 1,417
Lyondell Chemical (B) 50,200 745
Martin Marietta Materials 14,200 655
MeadWestvaco 4,900 139
Monsanto 75,638 2,774
Newmont Mining 14,100 657
Nucor 2,300 141
OM Group* 20,900 635
Pactiv* 8,000 178
Peabody Energy 2,200 102
Potash of Saskatchewan 10,300 857
PPG Industries 42,200 2,460
Praxair 248,600 9,228
RPM International 3,000 50
Sealed Air (B)* 10,500 522
Sigma-Aldrich 2,700 149
Smurfit-Stone Container* 6,260 110
Sonoco Products 18,600 452
Temple-Inland 4,700 298
United States Steel 2,600 97
Vulcan Materials 4,100 194
Weyerhaeuser 9,400 616
----------
52,677
----------
TELECOMMUNICATION SERVICES -- 3.3%
Alltel 40,600 2,026
AT&T 299,280 5,857
AT&T Wireless Services* 166,700 2,269
BellSouth 464,200 12,854
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CenturyTel 46,600 $ 1,281
Citizens Communications (B)* 22,700 294
Crown Castle International (B)* 117,810 1,488
Nextel Communications, Cl A* 43,100 1,066
Nokia ADR 349,500 7,088
SBC Communications 561,590 13,781
Sprint-FON Group 208,300 3,839
Sprint-PCS Group* 96,900 891
Telephone & Data Systems 18,900 1,339
US Cellular* 11,000 425
Verizon Communications 385,800 14,097
West* 2,600 65
----------
68,660
----------
UTILITIES -- 3.2%
Allegheny Energy* 12,800 175
Alliant Energy 3,200 83
Ameren (B) 5,600 258
American Electric Power 94,500 3,111
Aqua America 2,000 43
Centerpoint Energy (B) 91,700 1,048
Cinergy 4,800 196
Consolidated Edison 9,400 415
Constellation Energy Group 121,000 4,834
Dominion Resources 17,600 1,132
DTE Energy 54,340 2,236
Duke Energy (B) 59,300 1,340
Edison International 222,100 5,395
El Paso 85,600 609
Energy East 2,500 63
Entergy 121,000 7,199
Equitable Resources 900 40
Exelon 61,900 4,263
FirstEnergy 41,000 1,602
FPL Group 9,300 622
Great Plains Energy 7,100 240
Idacorp 2,900 87
KeySpan (B) 2,000 76
Kinder Morgan 4,500 284
MDU Resources Group 3,300 78
National Fuel Gas 12,100 298
Nicor 4,700 166
NiSource 65,500 1,392
Northeast Utilities 177,900 3,318
NSTAR 32,100 1,628
OGE Energy 7,500 198
Oneok 130,900 2,952
Peoples Energy 15,300 683
Pepco Holdings 1,600 33
PG&E (B)* 21,100 611
Pinnacle West Capital 46,600 1,834
PPL 41,800 1,906
- --------------------------------------------------------------------------------
8 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Shares/
Face Amount Market Value
Description ($Thousands)($ Thousands)
- --------------------------------------------------------------------------------
Progress Energy 5,500 $ 259
Public Service Enterprise Group 21,700 1,019
Puget Energy 5,000 112
Questar 25,600 933
Reliant Resources (B)* 5,362 44
Sempra Energy 101,200 3,218
Southern 27,600 842
TECO Energy (B) 9,800 143
Texas Genco Holdings 8,400 300
TXU 76,850 2,203
WGL Holdings 32,600 981
Wisconsin Energy (B) 56,100 1,804
Xcel Energy 146,500 2,609
----------
64,915
----------
Total Common Stock
(Cost $1,718,372) ($ Thousands) 1,984,809
----------
CORPORATE OBLIGATIONS (C) (E) -- 2.5%
FINANCIALS -- 2.3%
Belford Funding
1.090%, 02/02/05 $ 3,734 3,734
Blue Heron Funding
1.120%, 02/23/05 3,735 3,735
1.120%, 03/18/05 1,681 1,681
CCN Bluegrass
1.160%, 02/18/05 2,801 2,801
CIT Group
1.900%, 04/08/04 2,203 2,203
1.763%, 05/03/04 373 373
1.200%, 12/01/04 2,241 2,241
Citigroup
1.460%, 05/04/04 874 874
Commodore
1.270%, 12/12/38 1,120 1,120
Countrywide Home Loans
1.270%, 05/14/04 934 934
1.235%, 09/24/04 1,307 1,307
1.200%, 02/23/05 1,083 1,083
1.190%, 01/18/05 1,867 1,867
Duke Funding
1.180%, 04/08/05 1,867 1,867
Goldman Sachs Group
1.340%, 05/04/04 1,867 1,867
HBOS Treasury Services
1.120%, 07/19/04 485 486
Harwood
1.150%, 06/21/04 934 934
Household Finance
1.870%, 04/23/04 187 187
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Liberty Light US Capital
1.070%, 02/09/05 $ 1,867 $ 1,867
1.060%, 05/17/04 1,120 1,120
1.060%, 01/14/05 1,867 1,867
Merrill Lynch
1.050%, 04/13/04 1,867 1,867
Morgan Stanley
1.100%, 04/04/05 747 747
1.080%, 07/06/04 1,867 1,867
1.080%, 07/23/04 1,867 1,867
Orchid Structured Finance
1.220%, 11/18/04 2,596 2,596
Paragon Mortgages
1.110%, 09/15/04 1,619 1,619
Sigma Finance
1.066%, 11/01/04 1,120 1,120
Tango
1.380%, 08/13/04 1,867 1,867
----------
47,698
----------
INDUSTRIALS -- 0.2%
Caterpillar
1.300%, 04/08/04 1,120 1,120
1.270%, 05/28/04 934 934
1.240%, 07/09/04 1,867 1,867
----------
3,921
----------
Total Corporate Obligations
(Cost $51,619) ($ Thousands) 51,619
----------
COMMERCIAL PAPER (C) (D) -- 1.6%
FINANCIALS -- 1.6%
Amsterdam Funding
1.051%, 05/17/04 2,988 2,984
Beethoven Funding
1.105%, 08/26/04 855 851
Bradford & Bingley
1.186%, 09/10/04 1,867 1,857
1.185%, 08/17/04 1,232 1,227
CRE Funding
1.090%, 04/07/04 747 747
Grampian Funding
1.150%, 04/14/04 1,867 1,867
Mitten
1.041%, 04/22/04 1,867 1,866
Moat Funding
1.150%, 04/06/04 2,801 2,800
Park Granada
1.064%, 07/30/04 3,548 3,535
1.063%, 07/15/04 1,867 1,862
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 9
STATEMENT OF NET ASSETS (Unaudited)
Tax-Managed Large Cap Fund (Concluded)
March 31, 2004
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Rhineland Funding
1.102%, 05/25/04 $ 1,494 $ 1,491
1.101%, 04/26/04 1,498 1,497
1.093%, 06/23/04 1,280 1,277
1.080%, 04/08/04 551 551
1.080%, 04/16/04 964 964
Tannehill Capital
1.172%, 05/19/04 1,867 1,864
Tulip Funding
1.060%, 04/01/04 4,855 4,855
----------
Total Commercial Paper
(Cost $32,095) ($ Thousands) 32,095
----------
CASH EQUIVALENTS -- 2.9%
AIM Investco Treasurer's Money
Market Reserve Fund (C) 933,631 934
Bear Stearns Master Notes (C) 3,734,523 3,735
First Union Cash Management
Program 635,768 636
SEI Daily Income Trust,
Prime Obligation Fund, Cl A++ 54,585,508 54,586
----------
Total Cash Equivalents
(Cost $59,891) ($ Thousands) 59,891
----------
U.S. TREASURY OBLIGATIONS -- 0.2%
U.S. Treasury Bills (A)
0.980%, 08/26/04 3,500 3,486
0.960%, 09/23/04 200 199
----------
Total U.S. Treasury Obligations
(Cost $3,685) ($ Thousands) 3,685
----------
REPURCHASE AGREEMENTS (C) -- 1.0%
Deutsche Bank
1.060%, dated 03/31/04, to be
repurchased on 04/01/04,
repurchase price $9,045,394
(collateralized by U.S. Government
Agency obligations, total market
value: $9,226,063) 9,045 9,045
Lehman Brothers
1.060%, dated 03/31/04, to be
repurchased on 04/01/04,
repurchase price $11,764,094
(collateralized by U.S. Government
Agency obligations, total market
value: $11,999,076) 11,764 11,764
----------
Total Repurchase Agreements
(Cost $20,809) ($ Thousands) 20,809
----------
Total Investments -- 105.1%
(Cost $1,886,471) ($ Thousands) 2,152,908
----------
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (5.1)%
Payable Upon Return on Securities Loaned $ (109,192)
Investment Advisory Fees Payable (526)
Administration Fees Payable (606)
Shareholder Servicing Fees Payable (314)
Trustees' Fees Payable (2)
Other Assets and Liabilities, Net 6,551
----------
Total Other Assets and Liabilities (104,089)
----------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 195,496,945 outstanding shares
of beneficial interest 2,410,869
Paid-in-Capital -- Class Y
(unlimited authorization -- no par value)
based on 455,804 outstanding shares
of beneficial interest 4,523
Undistributed net investment income 92
Accumulated net realized loss on investments
and futures contracts (633,414)
Net unrealized appreciation on investments 266,437
Net unrealized appreciation on futures contracts 312
Total Net Assets -- 100.0% $2,048,819
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($2,044,042,588 / 195,496,945 shares) $10.46
======
Net Asset Value, Offering and Redemption
Price Per Share -- Class Y
($4,776,658 / 455,804 shares) $10.48
======
* Non-income producing security.
+ Real Estate Investment Trust
++ See Note 3 in Notes to Financial Statements.
(A) Security, or portion thereof, has been pledged as collateral on open futures
contracts. The rate reported is the effective yield at time of purchase.
(B) This security or a partial position of this security is on loan at March 31,
2004 (see Note 7). The total value of securities on loan at March 31, 2004
was $105,172,500.
(C) This security was purchased with cash collateral held from securities
lending (see Note 7). The total value of such securities as of March 31,
2004 was $109,192,176.
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of March 31, 2004.
ADR -- American Depository Receipt
Cl -- Class
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
10 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
Large Cap Value Fund
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.7%
CONSUMER DISCRETIONARY -- 13.1%
Autoliv (B) 383,900 $ 15,740
Autonation* 221,700 3,780
Barnes & Noble (B)* 114,000 3,716
Black & Decker (B) 69,800 3,974
Blockbuster, Cl A (B) 176,400 3,087
Boise Cascade 22,902 794
BorgWarner 72,400 6,142
Brunswick 222,700 9,093
Caesars Entertainment* 150,400 1,961
CBRL Group 86,000 3,409
Centex 93,200 5,038
Circuit City Stores 170,000 1,921
Clear Channel Communications 52,000 2,202
Comcast, Cl A* 169,400 4,869
Dana 75,000 1,489
Darden Restaurants 169,000 4,189
Delphi 781,100 7,780
DR Horton 461,250 16,342
Eastman Kodak (B) 196,300 5,137
Federated Department Stores 637,500 34,457
Ford Motor (B) 1,402,200 19,028
Fortune Brands 60,000 4,598
Fox Entertainment Group, Cl A* 261,200 7,079
Gannett 67,000 5,905
General Motors (B) 673,800 31,736
Genuine Parts 33,800 1,106
Hasbro 377,700 8,215
Interpublic Group (B)* 207,000 3,184
JC Penney (B) 168,800 5,871
Johnson Controls 163,800 9,689
Jones Apparel Group 116,000 4,193
KB Home (B) 142,200 11,490
Knight-Ridder 84,000 6,153
Lennar, Cl A (B) 195,200 10,547
Liberty Media, Cl A* 87,700 960
Limited (B) 606,500 12,130
Magna International, Cl A 9,700 768
Mandalay Resort Group 258,600 14,807
May Department Stores (B) 159,700 5,522
Maytag (B) 138,500 4,372
McDonald's (B) 1,383,500 39,527
McGraw-Hill 67,900 5,170
McLeodUSA, Cl A (B) (D)* 251,800 --
MDC Holdings 75,460 5,312
Media General, Cl A 66,200 4,454
Meredith 20,100 1,016
Metro-Goldwyn-Mayer* 179,700 3,127
Michaels Stores 104,500 5,081
NTL* 42,400 2,521
NVR (B)* 14,000 6,440
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Rent-A-Center* 90,800 $ 2,995
Sears Roebuck (B) 251,100 10,787
Sherwin-Williams 348,500 13,393
Stanley Works 232,400 9,919
Timberland, Cl A* 38,400 2,283
Time Warner (B)* 2,926,500 49,341
Tribune 118,100 5,957
UnitedGlobalCom, Cl A* 381,600 3,240
VF 159,800 7,463
Viacom, Cl B 579,500 22,722
Walt Disney 1,019,200 25,470
Whirlpool 66,700 4,594
Zale* 99,900 6,149
----------
539,434
----------
CONSUMER STAPLES -- 7.1%
Adolph Coors, Cl B 109,300 7,591
Alberto-Culver 59,100 2,593
Albertson's (B) 323,500 7,166
Altria Group 1,352,400 73,638
Archer-Daniels-Midland 646,500 10,906
Avon Products 127,800 9,696
BJ's Wholesale Club* 111,100 2,827
Coca-Cola Enterprises 419,600 10,142
ConAgra Foods 43,000 1,158
Constellation Brands, Cl A* 89,600 2,876
CVS 188,200 6,643
Dean Foods* 203,000 6,780
Energizer Holdings* 365,100 17,046
General Mills 176,400 8,234
Hershey Foods (B) 104,500 8,658
Kimberly-Clark 414,100 26,130
Kroger* 632,400 10,523
Loews - Carolina Group 110,300 3,017
PepsiAmericas 211,500 4,319
PepsiCo 85,200 4,588
Procter & Gamble 254,100 26,650
Rite Aid* 300,000 1,632
RJ Reynolds Tobacco Holdings 107,100 6,480
Safeway (B)* 426,327 8,774
Sara Lee 244,500 5,345
Supervalu 330,600 10,097
Tyson Foods, Cl A 553,900 9,998
----------
293,507
----------
ENERGY -- 10.9%
Amerada Hess (B) 178,300 11,639
Anadarko Petroleum 92,900 4,818
Ashland 87,700 4,077
Burlington Resources 97,600 6,210
ChevronTexaco 981,700 86,174
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 11
STATEMENT OF NET ASSETS (Unaudited)
Large Cap Value Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ConocoPhillips 757,500 $ 52,881
Devon Energy (B) 43,300 2,518
ExxonMobil 5,076,100 211,115
Kerr-McGee (B) 61,000 3,142
Marathon Oil 731,700 24,636
Noble Energy 25,600 1,206
Occidental Petroleum 374,400 17,241
Precision Drilling* 94,800 4,416
Sunoco 82,500 5,146
Unocal 329,000 12,265
Western Gas Resources 48,000 2,441
----------
449,925
----------
FINANCIALS -- 36.2%
ACE 51,800 2,210
Aflac 191,000 7,667
AG Edwards 162,000 6,337
Allstate 997,500 45,346
American Express 86,100 4,464
American International Group 700,400 49,974
AmSouth Bancorp 387,600 9,112
AON (B) 170,400 4,756
Archstone-Smith Trust+ 235,100 6,938
Astoria Financial 357,200 13,584
Bank of America (B) 1,292,000 104,626
Bank of Hawaii 90,500 4,193
Bank of New York 58,500 1,843
Bank One 948,300 51,701
BB&T 61,700 2,178
Bear Stearns 299,700 26,278
Capital One Financial (B) 69,300 5,227
Charter One Financial 121,700 4,303
Chubb 122,700 8,533
Citigroup (B) 4,094,300 211,675
Comerica 83,700 4,547
Commerce Bancorp 65,000 4,282
Countrywide Financial (B) 91,200 8,746
Doral Financial 115,200 4,055
Equity Office Properties Trust+ 719,300 20,781
Equity Residential+ 245,000 7,313
Fannie Mae 36,700 2,729
Fidelity National Financial 332,200 13,155
First American 470,874 14,324
First Tennessee National 309,200 14,749
FleetBoston Financial 809,500 36,347
Franklin Resources 169,918 9,461
Freddie Mac 86,600 5,115
Fremont General 147,800 4,523
Friedman Billings Ramsey Group,
Cl A 164,200 4,432
General Growth Properties (B)+ 213,400 7,501
Goldman Sachs Group 245,600 25,628
Greenpoint Financial 256,900 11,229
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hartford Financial Services Group (B) 127,800 $ 8,141
Hibernia, Cl A 186,000 4,369
Huntington Bancshares 422,800 9,382
Independence Community Bank 141,100 5,750
IndyMac Bancorp 264,000 9,581
IPC Holdings 14,900 587
Jefferson-Pilot 216,700 11,921
John Hancock Financial Services 297,100 12,980
JP Morgan Chase 2,016,300 84,584
Keycorp (B) 653,300 19,788
Lehman Brothers Holdings 304,200 25,209
Lincoln National 240,400 11,376
Loews 69,100 4,081
Mack-Cali Realty+ 93,900 4,217
Markel* 8,500 2,447
MBIA 349,900 21,939
MBNA 1,254,300 34,656
Mercury General 83,900 4,189
Merrill Lynch 491,100 29,250
Metlife 164,400 5,866
Morgan Stanley 549,400 31,481
National City 811,096 28,859
Nationwide Financial Services, Cl A 84,200 3,035
New York Community Bancorp 110,000 3,771
Old Republic International 278,400 6,837
PartnerRe Holdings 46,700 2,636
Piper Jaffray* 5,546 300
Plum Creek Timber+ 173,500 5,635
PMI Group 102,000 3,811
PNC Financial Services Group 415,900 23,049
Popular 235,700 10,159
Principal Financial Group* 361,600 12,884
Progressive 46,900 4,108
Prudential Financial 105,200 4,711
Radian Group 62,700 2,671
Regions Financial 360,700 13,173
Safeco 65,300 2,819
SouthTrust 96,100 3,187
St. Paul 230,500 9,222
SunTrust Banks 215,500 15,023
Torchmark 196,800 10,586
Travelers Property Casualty, Cl B 304,800 5,264
Union Planters (B) 336,700 10,050
UnionBanCal 74,400 3,898
US Bancorp 1,215,600 33,611
Wachovia 1,469,712 69,076
Washington Mutual 611,100 26,100
Webster Financial 149,400 7,576
Wells Fargo 913,900 51,791
Xl Capital, Cl A 28,700 2,182
Zions Bancorporation 75,200 4,301
----------
1,491,981
----------
- --------------------------------------------------------------------------------
12 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
HEALTH CARE -- 3.2%
Aetna 46,300 $ 4,154
Alcon 16,700 1,057
Anthem (B)* 48,000 4,351
Apogent Technologies* 175,300 5,378
Applera - Applied Biosystems Group 157,600 3,117
Bausch & Lomb 146,200 8,768
Beckman Coulter 53,200 2,902
Becton Dickinson 184,600 8,949
Bristol-Myers Squibb 798,800 19,355
Cigna 161,800 9,549
HCA (B) 64,400 2,616
Humana* 384,000 7,304
Invitrogen (B)* 63,400 4,545
Johnson & Johnson 68,700 3,484
King Pharmaceuticals* 228,000 3,840
Manor Care 116,200 4,101
McKesson 205,100 6,171
Merck 650,600 28,750
WellPoint Health Networks* 33,600 3,821
----------
132,212
----------
INDUSTRIALS -- 6.6%
3M 70,800 5,796
Accenture, Cl A* 151,700 3,762
Burlington Northern Santa Fe 757,500 23,861
Caterpillar 245,500 19,412
Cendant (B)* 866,400 21,131
Cooper Industries, Cl A 35,600 2,036
Crane 30,000 990
CSX 144,900 4,389
Cummins (B) 125,600 7,341
Danaher 170,200 15,892
Deere 59,600 4,131
Deluxe 111,700 4,479
Eaton 213,000 11,968
Emerson Electric 120,200 7,202
General Electric 83,700 2,555
Goodrich 92,700 2,602
H&R Block 76,000 3,878
HON Industries 77,200 2,869
Honeywell International 263,600 8,923
Hubbell, Cl B 60,900 2,444
Illinois Tool Works 23,100 1,830
L-3 Communications Holdings* 80,400 4,782
Lockheed Martin 98,500 4,496
Masco 468,700 14,267
Norfolk Southern 190,100 4,199
Northrop Grumman 28,000 2,756
Paccar 97,050 5,458
Parker Hannifin 18,500 1,045
Pitney Bowes 31,800 1,355
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Raytheon 104,200 $ 3,266
Rockwell Collins 132,400 4,185
RR Donnelley & Sons 255,500 7,729
Ryder System 231,700 8,974
Southwest Airlines 127,800 1,816
SPX (B)* 181,200 8,241
Teekay Shipping 67,500 4,651
Textron 314,800 16,732
Thomas & Betts* 114,200 2,492
Union Pacific 58,400 3,493
United Technologies 165,000 14,240
Viad 57,200 1,383
----------
273,051
----------
INFORMATION TECHNOLOGY -- 6.0%
Affiliated Computer Services,
Cl A (B)* 40,900 2,123
Agilent Technologies* 60,000 1,898
Arrow Electronics* 244,300 6,220
Avaya* 347,200 5,513
Avnet* 321,700 7,878
Cisco Systems* 182,200 4,285
Convergys* 233,400 3,548
Corning (B)* 205,000 2,292
Cypress Semiconductor (B)* 168,200 3,443
Electronic Data Systems (B) 318,800 6,169
Flextronics International (B)* 206,800 3,561
Harris 22,000 1,065
Hewlett-Packard 2,020,800 46,155
Ingram Micro, Cl A* 124,600 2,255
International Business Machines 465,300 42,733
Lucent Technologies (B)* 1,106,400 4,547
Maxtor* 758,700 6,183
Motorola 1,010,000 17,776
National Semiconductor* 333,600 14,822
NCR* 178,600 7,869
Novell* 85,000 967
PerkinElmer 600,561 12,426
Plantronics* 101,100 3,701
Qualcomm 41,900 2,783
Reynolds & Reynolds, Cl A 130,400 3,705
Sanmina-SCI* 710,200 7,819
Scientific-Atlanta 137,200 4,437
Solectron (B)* 600,400 3,320
Sun Microsystems (B)* 871,800 3,627
Tech Data* 63,701 2,608
Unisys* 244,300 3,489
Vishay Intertechnology (B)* 105,000 2,241
Xerox (B)* 412,000 6,003
----------
247,461
----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 13
STATEMENT OF NET ASSETS (Unaudited)
Large Cap Value Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MATERIALS -- 4.1%
Agrium 282,600 $ 4,154
Alcan 127,000 5,688
Alcoa 1,069,000 37,084
Bemis 154,200 4,009
Cytec Industries* 129,800 4,617
Dow Chemical 391,900 15,786
E.I. Du Pont de Nemours 359,800 15,191
Eastman Chemical (B) 93,600 3,995
Engelhard 127,800 3,820
Freeport-McMoRan Copper & Gold,
Cl B 102,800 4,018
Georgia-Pacific 362,800 12,223
International Paper 152,500 6,445
Louisiana-Pacific* 155,100 4,002
Lubrizol 271,000 8,534
Lyondell Chemical 55,000 816
Martin Marietta Materials 63,800 2,945
MeadWestvaco 58,000 1,641
Monsanto 383,867 14,076
Nucor 18,000 1,107
PPG Industries 158,600 9,246
Praxair 107,200 3,979
Sonoco Products 52,200 1,267
Temple-Inland 32,200 2,039
Weyerhaeuser (B) 13,200 865
----------
167,547
----------
TELECOMMUNICATION SERVICES -- 5.4%
Alltel 130,600 6,516
AT&T 1,249,800 24,459
AT&T Wireless Services* 93,200 1,268
BellSouth 2,026,500 56,114
CenturyTel 196,900 5,413
Qwest Communications International* 179,500 774
SBC Communications 2,193,500 53,828
Sprint-FON Group 603,500 11,122
Sprint-PCS Group* 267,500 2,461
Telephone & Data Systems 61,000 4,323
Verizon Communications 1,586,200 57,960
----------
224,238
----------
UTILITIES -- 6.1%
American Electric Power 189,500 6,238
Centerpoint Energy (B) 557,000 6,367
Constellation Energy Group 540,000 21,573
Dominion Resources 29,300 1,884
DTE Energy 70,800 2,913
Duke Energy (B) 117,400 2,653
Edison International 1,019,200 24,756
El Paso (B) 515,500 3,665
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Entergy 561,800 $ 33,427
Exelon 212,400 14,628
FirstEnergy 184,000 7,191
FPL Group 25,000 1,671
National Fuel Gas 60,300 1,483
NiSource 282,700 6,007
Northeast Utilities 878,076 16,376
NSTAR 160,800 8,156
Oneok 655,400 14,779
Peoples Energy 77,800 3,474
PG&E (B)* 46,000 1,333
Pinnacle West Capital 223,900 8,811
PPL 143,700 6,553
Progress Energy (B) 103,981 4,895
Public Service Enterprise Group (B) 81,300 3,820
Questar 109,300 3,983
Sempra Energy 436,700 13,887
Texas Genco Holdings 32,400 1,158
TXU 298,800 8,564
WGL Holdings 161,400 4,858
Wisconsin Energy (B) 196,600 6,321
Xcel Energy 601,800 10,719
----------
252,143
----------
Total Common Stock
(Cost $3,591,721) ($ Thousands) 4,071,499
----------
CORPORATE OBLIGATIONS (C) (F) -- 3.1%
FINANCIALS -- 2.9%
Belford Funding
1.090%, 02/02/05 $ 9,336 9,336
Blue Heron Funding
1.120%, 02/23/05 9,336 9,336
1.120%, 03/18/05 4,201 4,201
CCN Bluegrass
1.160%, 02/18/05 7,002 7,002
CIT Group
1.900%, 04/08/04 5,508 5,508
1.763%, 05/03/04 934 934
1.200%, 12/01/04 5,601 5,601
Citigroup
1.460%, 05/04/04 2,185 2,185
Commodore
1.270%, 12/12/38 2,801 2,801
Countrywide Home Loans
1.270%, 05/14/04 2,334 2,334
1.235%, 09/24/04 3,267 3,266
1.200%, 02/23/05 2,707 2,707
1.190%, 01/18/05 4,668 4,667
Duke Funding
1.180%, 04/08/05 4,668 4,668
- --------------------------------------------------------------------------------
14 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Goldman Sachs Group
1.340%, 05/04/04 $ 4,668 $ 4,668
HBOS Treasury Services
1.120%, 07/19/04 1,214 1,214
Harwood
1.150%, 06/21/04 2,334 2,334
Household Finance
1.870%, 04/23/04 467 467
Liberty Light US Capital
1.070%, 02/09/05 4,668 4,667
1.060%, 05/17/04 2,801 2,801
1.060%, 01/14/05 4,668 4,668
Merrill Lynch
1.050%, 04/13/04 4,668 4,668
Morgan Stanley
1.100%, 04/04/05 1,867 1,867
1.080%, 07/06/04 4,668 4,668
1.080%, 07/23/04 4,668 4,668
Orchid Structured Finance
1.220%, 11/18/04 6,489 6,489
Paragon Mortgages
1.110%, 09/15/04 4,046 4,046
Sigma Finance
1.066%, 11/01/04 2,801 2,801
Tango
1.380%, 08/13/04 4,668 4,668
----------
119,240
----------
INDUSTRIALS -- 0.2%
Caterpillar
1.300%, 04/08/04 2,801 2,801
1.270%, 05/28/04 2,334 2,334
1.240%, 07/09/04 4,668 4,668
----------
9,803
----------
Total Corporate Obligations
(Cost $129,043) ($ Thousands) 129,043
----------
COMMERCIAL PAPER (C) (E) -- 2.0%
FINANCIALS -- 2.0%
Amsterdam Funding
1.051%, 05/17/04 7,469 7,459
Beethoven Funding
1.105%, 08/26/04 2,138 2,128
Bradford & Bingley
1.186%, 09/10/04 4,668 4,643
1.185%, 08/17/04 3,081 3,067
CRE Funding
1.090%, 04/07/04 1,867 1,867
Grampian Funding
1.150%, 04/14/04 4,668 4,666
Mitten
1.041%, 04/22/04 4,668 4,665
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Moat Funding
1.150%, 04/06/04 $ 7,002 $ 7,001
Park Granada
1.064%, 07/30/04 8,869 8,838
1.063%, 07/15/04 4,668 4,653
Rhineland Funding
1.102%, 05/25/04 3,734 3,728
1.101%, 04/26/04 3,746 3,743
1.093%, 06/23/04 3,201 3,192
1.080%, 04/08/04 1,377 1,377
1.080%, 04/16/04 2,411 2,410
Tannehill Capital
1.172%, 05/19/04 4,668 4,661
Tulip Funding
1.060%, 04/01/04 12,136 12,136
----------
Total Commercial Paper
(Cost $80,234) ($ Thousands) 80,234
----------
CASH EQUIVALENTS -- 1.5%
AIM Investco Treasurer's Money
Market Reserve Fund (C) 2,333,964 2,334
Bear Stearns Master Notes (C) 9,335,856 9,336
SEI Daily Income Trust, Prime
Obligation Fund, Cl A++ 48,608,824 48,609
----------
Total Cash Equivalents
(Cost $60,279) ($ Thousands) 60,279
----------
U.S. TREASURY OBLIGATION -- 0.1%
U.S. Treasury Bills (A)
0.980%, 08/26/04 2,500 2,490
----------
Total U.S. Treasury Obligation
(Cost $2,490) ($ Thousands) 2,490
----------
REPURCHASE AGREEMENTS (C) -- 1.2%
Deutsche Bank
1.060%, dated 03/31/04, to be
repurchased on 04/01/04,
repurchase price $22,612,389
(collateralized by U.S. Government
Agency obligations, total market
value: $23,064,041) 22,612 22,612
Lehman Brothers
1.060%, dated 03/31/04, to be
repurchased on 04/01/04,
repurchase price $29,408,813
(collateralized by U.S. Government
Agency obligations, total market
value: $29,996,237) 29,408 29,408
----------
Total Repurchase Agreements
(Cost $52,020) ($ Thousands) 52,020
----------
Total Investments -- 106.6%
(Cost $3,915,787) ($ Thousands) 4,395,565
----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 15
STATEMENT OF NET ASSETS (Unaudited)
Large Cap Value Fund (Concluded)
March 31, 2004
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (6.6)%
Payable Upon Return on Securities Loaned $ (272,967)
Investment Advisory Fees Payable (974)
Administration Fees Payable (1,218)
Shareholder Servicing Fees Payable (713)
Administration Servicing Fees Payable (3)
Trustees' Fees Payable (3)
Other Assets and Liabilities, Net 4,095
----------
Total Other Assets and Liabilities (271,783)
----------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 209,823,340 outstanding shares
of beneficial interest 3,731,194
Portfolio Shares of Class I
(unlimited authorization -- no par value)
based on 747,352 outstanding shares
of beneficial interest 13,371
Undistributed net investment income 293
Accumulated net realized loss on investments
and futures contracts (100,936)
Net unrealized appreciation on investments 479,778
Net unrealized appreciation on futures contracts 82
----------
Total Net Assets -- 100.0% $4,123,782
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($4,109,145,630 / 209,823,340 shares) $19.58
======
Net Asset Value, Offering and Redemption
Price Per Share -- Class I
($14,636,352 / 747,352 shares) $19.58
======
* Non-income producing security.
+ Real Estate Investment Trust
++ See Note 3 in Notes to Financial Statements.
(A) Security, or portion thereof, has been pledged as collateral on open futures
contracts. The rate reported is the effective yield at time of purchase.
(B) This security or a partial position of this security is on loan at March 31,
2004 (see Note 7). The total value of securities on loan at March 31, 2004
was $262,329,063.
(C) This security was purchased with cash collateral held from securities
lending (see Note 7). The total value of such securities as of March 31,
2004 was $272,967,228.
(D) Security considered illiquid. The total value of such security as of March
31, 2004 was $0.
(E) The rate reported is the effective yield at time of purchase.
(F) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of March 31, 2004.
Cl -- Class
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
16 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
Large Cap Growth Fund
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 96.7%
CONSUMER DISCRETIONARY -- 19.5%
Advance Auto Parts* 139,520 $ 5,674
Bed Bath & Beyond* 410,300 17,134
Carmax (B)* 193,210 5,642
Clear Channel Communications 492,070 20,839
Comcast, Special Cl A (B)* 132,570 3,696
COX Communications, Cl A (B)* 1,301,930 41,141
DIRECTV Group* 434,658 6,685
Dollar Tree Stores* 103,420 3,195
eBay* 1,456,230 100,960
Family Dollar Stores 563,780 20,268
Foot Locker (B) 253,000 6,527
Gannett 298,780 26,335
Getty Images* 145,000 7,827
Harrah's Entertainment 239,480 13,145
Home Depot 872,100 32,582
Kohl's (B)* 1,133,300 54,772
Lamar Advertising (B)* 168,830 6,790
Liberty Media, Cl A* 4,504,730 49,327
Lowe's 811,320 45,539
Mandalay Resort Group (B) 191,000 10,937
Marriott International, Cl A 1,108,602 47,171
Marvel Enterprises* 343,500 6,592
McDonald's 310,000 8,857
McGraw-Hill 257,060 19,573
Omnicom Group 240,200 19,276
Petsmart 126,000 3,435
Staples* 1,600,000 40,624
Starwood Hotels & Resorts Worldwide 134,150 5,433
Time Warner (B)* 830,920 14,009
TJX 850,000 20,876
Univision Communications, Cl A* 631,370 20,842
Valassis Communications* 203,360 6,182
Viacom, Cl B (B) 634,670 24,885
Walt Disney 915,092 22,868
XM Satellite Radio Holdings,
Cl A (B)* 1,595,000 44,660
----------
784,298
----------
CONSUMER STAPLES -- 10.3%
Avon Products 139,410 10,577
Coca-Cola 597,709 30,065
Colgate-Palmolive 519,259 28,611
CVS 251,000 8,860
Dean Foods* 240,000 8,016
Energizer Holdings* 105,560 4,929
Estee Lauder, Cl A 251,000 11,129
Gillette 1,700,035 66,472
PepsiCo 1,233,711 66,435
Procter & Gamble 420,072 44,057
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Wal-Mart Stores 1,585,490 $ 94,638
Walgreen 750,000 24,713
Wm. Wrigley Jr 260,370 15,393
----------
413,895
----------
ENERGY -- 0.9%
Schlumberger 470,631 30,050
XTO Energy (B) 177,500 4,480
----------
34,530
----------
FINANCIALS -- 12.1%
AMBAC Financial Group 74,340 5,485
American Express 42,600 2,209
American International Group 1,230,083 87,766
Capital One Financial (B) 152,435 11,498
Charles Schwab 4,637,640 53,843
Citigroup 741,991 38,361
Commerce Bancorp 96,000 6,324
Fannie Mae 377,950 28,101
Franklin Resources 212,500 11,832
Freddie Mac 473,800 27,983
Golden West Financial 44,140 4,941
Goldman Sachs Group 472,800 49,337
MBNA 440,190 12,162
Moody's 808,440 57,238
Northern Trust 800,000 37,272
State Street 886,500 46,213
Willis Group Holdings 103,190 3,839
----------
484,404
----------
HEALTH CARE -- 17.1%
Allergan 500,000 42,080
Amgen* 933,554 54,305
Beckman Coulter 155,000 8,454
Boston Scientific* 200,000 8,476
Cardinal Health 192,100 13,236
Caremark Rx (B)* 337,640 11,226
Eli Lilly 403,320 26,982
Genentech (B)* 806,000 85,291
Guidant 177,000 11,216
Invitrogen (B)* 118,000 8,459
Johnson & Johnson 631,922 32,051
Medtronic 2,150,064 102,666
Omnicare 208,000 9,221
Pfizer 4,210,027 147,561
Select Medical 340,000 5,678
Watson Pharmaceuticals* 83,860 3,588
WellPoint Health Networks* 450,000 51,174
Wyeth 572,000 21,479
Zimmer Holdings (B)* 570,000 42,055
----------
685,198
----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 17
STATEMENT OF NET ASSETS (Unaudited)
Large Cap Growth Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INDUSTRIALS -- 7.5%
3M 254,648 $ 20,848
Apollo Group, Cl A* 183,300 15,784
Caterpillar 268,638 21,241
Cendant (B)* 932,580 22,746
Cintas* 531,200 23,102
Cooper Industries, Cl A 64,230 3,673
Cummins (B) 178,000 10,404
Expeditors International
Washington 1,000,000 39,490
Fastenal (B) 303,200 16,279
General Electric 531,200 16,212
Masco 275,246 8,378
Rockwell Automation 165,000 5,720
United Parcel Service, Cl B 994,454 69,453
Weight Watchers International (B)* 700,000 29,589
----------
302,919
----------
INFORMATION TECHNOLOGY -- 26.9%
Automatic Data Processing 186,700 7,841
Cisco Systems* 4,323,020 101,677
Computer Associates International (B) 338,920 9,103
Dell* 1,472,360 49,501
EchoStar Communications, Cl A* 1,522,290 49,855
Electronic Arts* 399,656 21,565
EMC* 1,835,740 24,984
First Data 3,025,320 127,547
Fiserv* 705,900 25,250
Intel 4,909,560 133,540
Intuit* 171,710 7,706
Linear Technology 548,530 20,307
Maxim Integrated Products 323,000 15,210
Microsoft (B) 5,513,450 137,671
National Semiconductor (B)* 216,000 9,597
NetFlix (B)* 187,000 6,380
Omnivision Technologies (B)* 153,000 4,178
Oracle* 879,400 10,562
Paychex 2,508,900 89,317
Polycom* 272,000 5,775
Qualcomm (B) 2,024,330 134,456
Research In Motion* 111,000 10,357
Sabre Holdings 346,940 8,608
Sandisk (B)* 650,000 18,441
Sungard Data Systems* 417,700 11,445
Texas Instruments 499,350 14,591
Trimble Navigation* 306,000 7,017
Veritas Software* 364,200 9,801
Yahoo! (B)* 167,910 8,159
----------
1,080,441
----------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MATERIALS -- 1.1%
Cia Vale do Rio Doce ADR 71,330 $ 3,342
Phelps Dodge* 51,000 4,165
Praxair 1,050,000 38,976
----------
46,483
----------
TELECOMMUNICATION SERVICES -- 1.3%
Crown Castle International (B)* 533,880 6,743
Nextel Communications, Cl A* 430,320 10,642
Nokia ADR 1,640,700 33,273
----------
50,658
----------
Total Common Stock
(Cost $3,662,936) ($ Thousands) 3,882,826
----------
CORPORATE OBLIGATIONS (C) (E) -- 3.3%
FINANCIALS -- 3.1%
Belford Funding
1.090%, 02/02/05 $ 9,704 9,704
Blue Heron Funding
1.120%, 02/23/05 9,704 9,704
1.120%, 03/18/05 4,367 4,367
CCN Bluegrass
1.160%, 02/18/05 7,278 7,278
CIT Group
1.900%, 04/08/04 5,726 5,726
1.763%, 05/03/04 970 970
1.200%, 12/01/04 5,823 5,823
Citigroup
1.460%, 05/04/04 2,271 2,272
Commodore
1.270%, 12/12/38 2,911 2,911
Countrywide Home Loans
1.270%, 05/14/04 2,426 2,426
1.235%, 09/24/04 3,397 3,397
1.200%, 02/23/05 2,814 2,814
1.190%, 01/18/05 4,852 4,852
Duke Funding
1.180%, 04/08/05 4,852 4,852
Goldman Sachs Group
1.340%, 05/04/04 4,852 4,852
HBOS Treasury Services
1.120%, 07/19/04 1,262 1,262
Harwood
1.150%, 06/21/04 2,426 2,426
Household Finance
1.870%, 04/23/04 485 485
Liberty Light US Capital
1.070%, 02/09/05 4,852 4,851
1.060%, 05/17/04 2,911 2,911
1.060%, 01/14/05 4,852 4,852
- --------------------------------------------------------------------------------
18 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch
1.050%, 04/13/04 $ 4,852 $ 4,852
Morgan Stanley
1.100%, 04/04/05 1,941 1,941
1.080%, 07/06/04 4,852 4,852
1.080%, 07/23/04 4,852 4,852
Orchid Structured Finance
1.220%, 11/18/04 6,745 6,745
Paragon Mortgages
1.110%, 09/15/04 4,206 4,206
Sigma Finance
1.066%, 11/01/04 2,911 2,911
Tango
1.380%, 08/13/04 4,852 4,852
----------
123,946
----------
INDUSTRIALS -- 0.2%
Caterpillar
1.300%, 04/08/04 2,911 2,911
1.270%, 05/28/04 2,426 2,427
1.240%, 07/09/04 4,852 4,852
----------
10,190
----------
Total Corporate Obligations
(Cost $134,136) ($ Thousands) 134,136
----------
COMMERCIAL PAPER (C) (D) -- 2.0%
FINANCIALS -- 2.0%
Amsterdam Funding
1.051%, 05/17/04 7,763 7,753
Beethoven Funding
1.105%, 08/26/04 2,222 2,212
Bradford & Bingley
1.186%, 09/10/04 4,852 4,826
1.185%, 08/17/04 3,202 3,188
CRE Funding
1.090%, 04/07/04 1,941 1,941
Grampian Funding
1.150%, 04/14/04 4,852 4,850
Mitten
1.041%, 04/22/04 4,852 4,849
Moat Funding
1.150%, 04/06/04 7,278 7,277
Park Granada
1.064%, 07/30/04 9,219 9,187
1.063%, 07/15/04 4,852 4,837
Rhineland Funding
1.102%, 05/25/04 3,882 3,875
1.101%, 04/26/04 3,893 3,890
1.093%, 06/23/04 3,327 3,319
1.080%, 04/08/04 1,431 1,431
1.080%, 04/16/04 2,506 2,505
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Tannehill Capital
1.172%, 05/19/04 $ 4,852 $ 4,845
Tulip Funding
1.060%, 04/01/04 12,616 12,616
----------
Total Commercial Paper
(Cost $83,401) ($ Thousands) 83,401
----------
CASH EQUIVALENTS -- 2.9%
AIM Investco Treasurer's Money
Market Reserve Fund (C) 2,426,077 2,426
Bear Stearns Master Notes (C) 9,704,308 9,704
First Union Cash Management
Program 3,003,583 3,004
SEI Daily Income Trust, Prime
Obligation Fund, Cl A++ 102,760,240 102,760
----------
Total Cash Equivalents
(Cost $117,894) ($ Thousands) 117,894
----------
U.S. TREASURY OBLIGATION -- 0.1%
U.S. Treasury Bills (A)
0.980%, 08/26/04 5,000 4,980
----------
Total U.S. Treasury Obligation
(Cost $4,980) ($ Thousands) 4,980
----------
REPURCHASE AGREEMENTS (C) -- 1.3%
Deutsche Bank
1.060%, dated 03/31/04, to be
repurchased on 04/01/04,
repurchase price $23,504,817
(collateralized by U.S. Government Agency
obligations, total market
value: $23,974,294) 23,504 23,504
Lehman Brothers
1.060%, dated 03/31/04, to be
repurchased on 04/01/04,
repurchase price $30,569,471
(collateralized by U.S. Government
Agency obligations, total market
value: $31,180,078) 30,569 30,569
----------
Total Repurchase Agreements
(Cost $54,073) ($ Thousands) 54,073
----------
Total Investments -- 106.5%
(Cost $4,057,420) ($ Thousands) 4,277,310
----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 19
STATEMENT OF NET ASSETS (Unaudited)
Large Cap Growth Fund (Concluded)
March 31, 2004
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (6.5)%
Payable Upon Return on Securities Loaned $ (283,740)
Investment Advisory Fees Payable (1,174)
Administration Fees Payable (1,184)
Shareholder Servicing Fees Payable (466)
Administration Servicing Fees Payable (3)
Trustees' Fees Payable (4)
Other Assets and Liabilities, Net 24,403
----------
Total Other Assets and Liabilities (262,168)
----------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 228,524,075 outstanding shares
of beneficial interest 5,466,811
Portfolio Shares of Class I
(unlimited authorization -- no par value)
based on 954,993 outstanding shares
of beneficial interest 16,363
Accumulated net investment loss (299)
Accumulated net realized loss on investments
and futures contracts (1,688,074)
Net unrealized appreciation on investments 219,890
Net unrealized appreciation on futures contracts 451
----------
Total Net Assets -- 100.0% $4,015,142
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($3,998,539,251 / 228,524,075 shares) $17.50
======
Net Asset Value, Offering and Redemption
Price Per Share -- Class I
($16,602,368 / 954,993 shares) $17.38
======
* Non-income producing security.
++ See Note 3 in Notes to Financial Statements.
(A) Security, or portion thereof, has been pledged as collateral on open futures
contracts. The rate reported is the effective yield at time of purchase.
(B) This security or a partial position of this security is on loan at March 31,
2004 (see Note 7). The total value of securities on loan at March 31, 2004
was $274,217,553.
(C) This security was purchased with cash collateral held from securities
lending (see Note 7). The total value of such securities as of March 31,
2004 was $283,740,242.
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of March 31, 2004.
ADR -- American Depository Receipt
Cl -- Class
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
20 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
Tax-Managed Small Cap Fund
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 95.6%
CONSUMER DISCRETIONARY -- 19.7%
99 Cents Only Stores* 11,900 $ 291
Abercrombie & Fitch, Cl A* 20,500 694
American Greetings, Cl A* 19,200 437
Ameristar Casinos* 14,200 479
AnnTaylor Stores* 19,000 813
ArvinMeritor 10,300 204
Autoliv 7,200 295
Autonation* 13,100 223
Aztar* 17,300 424
Bandag 5,600 279
Barnes & Noble* 23,000 750
Black & Decker 17,600 1,002
BOB Evans Farms 12,000 389
BorgWarner 15,025 1,275
Brunswick 26,100 1,066
Callaway Golf 24,900 473
Cheesecake Factory* 19,100 881
Chico's FAS* 13,800 640
Circuit City Stores 29,200 330
Coach* 16,500 676
Columbia Sportswear* 9,800 543
Cooper Tire & Rubber 12,900 260
Cost Plus* 9,400 392
Cumulus Media, Cl A* 20,000 400
Dollar Tree Stores* 25,000 772
DR Horton 7,400 262
Electronics Boutique Holdings* 4,800 141
Four Seasons Hotels 4,500 239
Gentex 12,100 525
Getty Images* 11,800 637
Gray Television 9,100 133
Group 1 Automotive* 7,100 257
Handleman* 51,100 1,223
Harman International Industries 11,200 892
Hollinger International 23,600 467
HOT Topic* 12,845 340
Intertan* 26,900 376
Jarden* 14,700 522
JC Penney 11,900 414
Jo-Ann Stores* 5,400 151
Journal Communications, Cl A 6,200 124
KB Home 2,700 218
Kellwood 10,200 400
Kerzner Interational* 7,700 341
Krispy Kreme Doughnuts* 5,800 199
La-Z-Boy 10,200 222
Lear 11,700 725
Mattel 13,500 249
Mediacom Communications* 19,800 159
MSC Industrial Direct, Cl A 35,300 1,057
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MTR Gaming Group* 27,100 $ 271
Multimedia Games* 19,300 477
NVR* 1,600 736
Orbitz* 2,000 48
Outback Steakhouse 5,600 273
Pacific Sunwear of California* 28,900 709
Petsmart 12,500 341
PF Chang's China Bistro* 11,600 584
Pier 1 Imports 12,900 306
Polo Ralph Lauren 43,600 1,495
Pulte Homes 18,200 1,012
Regis 20,600 915
Rinker Group ADR 6,100 324
Royal Caribbean Cruises 10,500 463
Ryland Group 13,800 1,226
Scholastic* 18,300 499
Select Comfort* 21,320 588
ShopKo Stores* 26,000 380
Shuffle Master* 12,535 583
Sonic* 7,400 254
Sonic Automotive 14,900 373
Stage Stores* 16,000 619
Station Casinos 18,495 817
Stride Rite 38,900 413
Talbots 9,600 343
Tommy Hilfiger* 9,300 158
Tuesday Morning* 21,665 747
Valassis Communications* 9,100 277
Visteon 23,600 226
WCI Communities* 6,300 158
Westwood One* 11,200 330
Whirlpool 8,500 585
Williams-Sonoma* 36,800 1,259
WMS Industries* 19,900 617
Wynn Resorts* 6,700 234
----------
42,901
----------
CONSUMER STAPLES -- 3.9%
Adolph Coors, Cl B 14,100 979
BJ's Wholesale Club* 33,300 847
Chiquita Brands International* 15,500 323
Constellation Brands, Cl A* 9,500 305
Cott 25,640 754
Duane Reade* 19,200 325
Flowers Foods 6,300 165
Interstate Bakeries 29,600 337
Nash Finch 11,300 268
NBTY* 28,900 1,074
Pathmark Stores* 54,100 432
Pepsi Bottling Group 12,900 384
PepsiAmericas 25,600 523
Supervalu 20,900 638
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 21
STATEMENT OF NET ASSETS (Unaudited)
Tax-Managed Small Cap Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Tyson Foods, Cl A 17,000 $ 307
United Natural Foods* 9,930 478
Universal 6,300 320
Winn-Dixie Stores 13,600 103
----------
8,562
----------
ENERGY -- 2.8%
Amerada Hess 8,600 561
Chesapeake Energy 7,300 98
Evergreen Resources* 9,100 313
Magnum Hunter Resources* 49,600 503
Matrix Service* 25,790 349
Maverick Tube* 11,800 278
National-Oilwell* 20,800 588
Patina Oil & Gas 27,210 714
Patterson-UTI Energy* 7,500 266
Pioneer Natural Resources* 5,900 191
Remington Oil & Gas* 3,600 71
Stone Energy* 12,100 598
Talisman Energy 4,600 271
Tesoro Petroleum* 46,400 872
Tetra Technologies* 1,650 43
Whiting Petroleum* 17,800 420
----------
6,136
----------
FINANCIALS -- 13.9%
Accredited Home Lenders* 8,900 351
Affiliated Managers Group* 8,700 475
Allmerica Financial* 24,500 846
American Financial Group 22,200 662
AmerUs Group* 10,400 420
Arch Capital Group* 9,885 415
Astoria Financial 16,200 616
Bancorpsouth 23,200 508
Banknorth Group 15,900 541
Bear Stearns 7,000 614
Capital Source* 19,600 440
Cash America International 10,600 244
Charter One Financial 22,600 799
Chittenden 4,700 155
CIT Group 6,600 251
City National 7,300 437
Colonial BancGroup 34,200 633
Commerce Bancorp 3,200 211
Commerce Bancshares 12,512 597
Cullen/Frost Bankers 8,600 368
Delphi Financial Group, Cl A 3,200 134
Downey Financial 5,000 264
E*Trade Financial 132,800 1,773
Eaton Vance 4,300 164
Everest Re Group 5,100 436
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
First American 18,100 $ 551
First Niagara Financial Group 5,800 79
First Tennessee National 15,000 715
Friedman Billings Ramsey Group, Cl A 41,200 1,112
GATX 3,500 78
Greater Bay Bancorp 11,100 325
Greenpoint Financial 19,200 839
Grupo TMM ADR, Cl A* 38,100 106
HCC Insurance Holdings 6,100 197
Hibernia, Cl A 28,600 672
Host Marriott+* 17,200 220
Hudson United Bancorp 6,300 240
Huntington Bancshares 30,500 677
IndyMac Bancorp 5,300 192
IPC Holdings 2,400 95
Knight Trading Group* 26,500 335
Landamerica Financial Group 10,800 489
Levitt, Cl A* 7,250 178
Old Republic International 31,700 779
PartnerRe Holdings 8,600 485
PMI Group 10,600 396
Popular 16,300 703
ProAssurance* 23,785 832
Provident Bankshares 14,700 461
Provident Financial Group 9,800 394
Providian Financial* 49,000 642
Radian Group 13,624 580
Reckson Associates Realty+ 6,600 186
RenaissanceRe Holdings 16,600 863
Sovereign Bancorp 23,800 510
Stancorp Financial Group 4,400 287
Sterling Financial* 5,000 184
Stewart Information Services* 10,500 413
TCF Financial 6,100 311
UCBH Holdings 25,805 1,033
UnionBanCal 14,300 749
Webster Financial 7,000 355
Westamerica Bancorporation 3,600 182
Willis Group Holdings 5,800 216
WR Berkley 5,300 211
----------
30,226
----------
HEALTH CARE -- 13.0%
Abgenix* 18,400 244
Accredo Health* 6,900 263
Advanced Neuromodulation Systems* 1,895 68
Align Technology* 21,175 403
Alpharma, Cl A 31,600 620
American Healthways* 25,895 632
American Medical Security Group* 16,400 438
American Pharmaceutical Partners* 8,475 398
AMERIGROUP* 9,900 452
- --------------------------------------------------------------------------------
22 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Amylin Pharmaceuticals* 9,800 $ 232
Applera -- Celera Genomics Group* 43,800 636
Barr Pharmaceuticals* 20,775 954
Bausch & Lomb 6,200 372
Beckman Coulter 800 44
Cell Therapeutics* 2,500 21
Cephalon* 27,000 1,547
Community Health Systems* 10,900 303
Cooper 14,370 776
Covance* 7,000 241
Coventry Health Care* 5,550 235
Cubist Pharmaceuticals* 63,200 581
CV Therapeutics* 27,600 418
Depomed* 26,900 211
Digene* 17,320 595
Fisher Scientific International* 29,000 1,596
Genencor International* 21,400 285
Genta* 73,200 769
Health Net* 33,000 823
Healthsouth* 76,100 313
Human Genome Sciences* 5,100 64
Humana* 17,800 339
IDX Systems* 8,100 280
Inamed* 2,500 133
Inspire Pharmaceuticals* 10,400 134
InterMune* 12,500 243
Invitrogen* 3,400 244
Kinetic Concepts* 4,000 179
LifePoint Hospitals* 5,200 168
Ligand Pharmaceuticals, Cl B* 34,300 689
Martek Biosciences* 12,040 686
Medicis Pharmaceutical, Cl A 12,500 500
Millipore* 18,300 940
Myriad Genetics* 16,400 266
Neurocrine Biosciences* 1,500 89
Nu Skin Enterprises, Cl A 25,300 510
Ocular Sciences* 11,000 321
Oxford Health Plans 2,600 127
Pacificare Health Systems* 22,800 902
Parexel International* 18,800 336
Pharmaceutical Product Development* 1,450 43
Pharmaceutical Resources* 14,435 821
Pharmacopeia* 34,700 698
Pozen* 16,600 229
Protein Design Labs* 18,600 443
Select Medical 14,800 247
Sola International* 3,100 72
Steris* 10,200 263
SurModics* 9,100 181
Sybron Dental Specialties* 12,966 353
Telik* 7,600 204
Triad Hospitals* 4,400 136
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Trimeris* 37,900 $ 559
US Oncology* 40,400 597
Valeant Pharmaceuticals 18,300 437
Varian Medical Systems* 13,420 1,158
Visx* 2,200 43
VitalWorks* 37,500 141
Wilson Greatbatch Technologies* 1,100 40
----------
28,285
----------
INDUSTRIALS -- 13.3%
Advisory Board* 2,800 102
Allete 15,500 544
Alliant Techsystems* 1,850 101
Allied Waste Industries* 17,700 236
America West Holdings* 24,400 233
Arbitron* 2,000 81
Atlantic Coast Airlines Holdings* 13,100 95
Autobytel* 34,700 458
Banta 28,600 1,324
BearingPoint* 54,200 581
Briggs & Stratton 14,100 951
Bright Horizons Family Solutions* 5,300 250
Brink's 19,200 530
Calgon Carbon 66,500 512
CNH Global 26,040 487
Corporate Executive Board* 7,500 353
Cummins 23,570 1,378
Curtiss-Wright 500 23
Deluxe 7,600 305
EDO 11,900 287
Education Management* 17,600 560
Engineered Support Systems 4,400 215
Esterline Technologies* 9,700 241
Fluor 9,400 364
General Maritime* 19,130 481
Genessee & Wyoming, Cl A* 12,000 296
Goodrich 18,500 519
GrafTech International* 6,700 100
Harsco 12,500 569
Herman Miller 16,500 439
Hudson Highland Group* 5,100 142
Invision Technologies* 7,400 368
ITT Educational Services* 7,900 246
ITT Industries 2,200 168
JB Hunt Transport Services* 5,800 163
John H. Harland 13,000 405
Joy Global 23,880 670
Kansas City Southern* 20,700 288
Kennametal 7,900 326
Kroll* 26,300 706
Lafarge North America 6,200 252
Laidlaw International* 32,100 467
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 23
STATEMENT OF NET ASSETS (Unaudited)
Tax-Managed Small Cap Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lennox International 17,900 $ 332
Manitowoc 9,300 275
Milacron 50,700 176
Moog, Cl A* 10,800 369
Navistar International* 13,000 596
Orbital Sciences* 44,900 563
Pall 12,000 272
Pentair 9,500 561
Power-One* 19,000 210
Precision Castparts 1,400 62
Quanta Services* 48,800 346
Rofin-Sinar Technologies* 19,475 581
Roper Industries 3,300 159
RR Donnelley & Sons 21,700 656
Ryder System 36,000 1,394
Service International* 103,500 773
Tecumseh Products, Cl A 6,100 257
Teledyne Technologies* 40,200 752
Terex* 1,300 48
Timken 26,000 604
United Industrial 2,000 38
Universal Forest Products 15,600 481
URS* 11,200 322
UTI Worldwide 5,200 232
Wabash National* 12,815 302
Wabtec 31,900 454
Washington Group International* 23,000 842
Yellow Roadway* 5,100 172
York International 10,300 405
----------
29,050
----------
INFORMATION TECHNOLOGY -- 21.1%
Agere Systems, Cl A* 100,700 323
Akamai Technologies* 14,800 194
Alliance Semiconductor* 19,900 151
AMIS Holdings* 6,600 107
Andrew* 17,607 308
Applied Micro Circuits* 16,200 93
Arris Group* 108,200 995
Ascential Software* 13,750 301
Ask Jeeves* 36,110 1,290
ATI Technologies* 10,200 166
Autodesk 11,880 376
Avocent* 10,400 383
Axcelis Technologies* 33,900 377
Black Box 5,700 305
Borland Software* 26,800 243
Brooks Automation* 45,600 957
California Micro Devices* 28,175 375
Certegy 20,600 721
Checkfree* 31,800 937
Checkpoint Systems* 21,300 403
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Comtech Telecommunications* 23,548 $ 546
Conexant Systems* 36,658 226
Convergys* 26,200 398
Cree* 70,900 1,581
CSG Systems International* 24,400 419
Cymer* 10,700 413
Cypress Semiconductor* 25,600 524
Digi International* 24,200 239
DoubleClick* 90,900 1,023
E.piphany* 75,000 541
Earthlink* 29,600 262
eCollege.com* 22,125 462
Emulex* 10,500 224
eResearch Technology* 13,327 374
F5 Networks* 28,000 948
Fairchild Semiconductor International* 6,200 149
FEI* 32,400 708
Flir Systems* 3,200 122
Foundry Networks* 12,700 218
Harris 12,900 624
Helix Technology 6,500 158
InFocus* 1,600 15
Integrated Circuit Systems* 9,700 243
Integrated Device Technology* 2,900 43
Internet Security Systems* 22,100 390
Jack Henry & Associates 15,000 289
Keynote Systems* 25,000 322
Komag* 16,200 298
Lam Research* 12,100 305
Lattice Semiconductor* 205,900 1,798
Lexar Media* 30,530 506
LSI Logic* 30,000 280
Macromedia* 15,400 309
Macrovision* 25,200 471
Manhattan Associates* 4,600 128
Maxtor* 182,500 1,487
Mentor Graphics* 34,700 618
Mercury Interactive* 7,700 345
Methode Electronics 33,500 432
Metrologoc Instruments* 15,000 351
Micrel* 16,800 224
Micromuse* 22,700 177
NCR* 18,100 797
NetFlix* 7,500 256
NetIQ* 1,700 24
Network Associates* 20,600 371
O2Micro International* 14,500 250
Omnivision Technologies* 20,500 560
ON Semiconductor* 48,735 367
PerkinElmer 25,200 521
Pinnacle Systems* 18,000 163
Pixar* 9,500 612
- --------------------------------------------------------------------------------
24 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Pixelworks* 117,700 $ 2,016
Plantronics* 7,800 286
PMC - Sierra* 9,500 161
Polycom* 69,000 1,465
Powerwave Technologies* 8,400 66
Quantum* 110,900 410
RADWARE* 22,690 603
Red Hat* 27,200 622
RF Micro Devices* 59,600 504
Scientific Games, Cl A* 18,900 354
Sierra Wireless Inc* 18,545 677
SkillSoft ADR* 10,300 133
Storage Technology* 30,000 835
Sybase* 13,200 277
SYKES Enterprises* 7,200 43
Synaptics* 23,715 416
Tekelec* 9,500 158
Teradyne* 19,400 462
TIBCO Software* 65,300 534
Tumbleweed Communications* 60,325 423
Ultratech* 13,300 310
Unisys* 53,800 768
Utstarcom* 4,400 127
Varian* 10,300 414
VeriSign* 18,100 300
Vishay Intertechnology* 22,600 482
Wavecom ADR* 26,600 307
Western Digital* 69,600 782
----------
46,051
----------
MATERIALS -- 4.3%
Albemarle 17,200 499
Bowater 6,800 297
Cleveland-Cliffs* 5,400 353
Crown Holdings* 47,500 443
Cytec Industries* 37,700 1,341
FMC* 16,400 702
Headwaters* 11,800 302
Hercules* 25,900 297
IMC Global 33,000 472
Jacuzzi Brands* 80,900 759
Louisiana-Pacific* 26,700 689
Lubrizol 14,300 450
Massey Energy 7,700 170
Metal Management* 10,365 380
Olin 8,000 143
Owens-Illinois* 18,500 260
Peabody Energy 10,800 502
Quanex 8,500 361
Silgan Holdings* 7,695 352
Terra Industries* 84,600 523
----------
9,295
----------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 0.4%
CenturyTel 6,600 $ 182
General Communication, Cl A* 36,700 334
Telephone & Data Systems 6,100 432
----------
948
----------
UTILITIES -- 3.2%
Avista 11,300 214
CMS Energy* 26,400 236
Constellation Energy Group 7,700 307
Edison International 36,100 877
El Paso Electric* 14,400 199
MDU Resources Group 27,450 645
Nicor 8,100 285
Northeast Utilities 28,300 528
Pinnacle West Capital 10,200 401
PPL 9,100 415
Puget Energy 8,800 197
Sempra Energy 20,400 649
UGI 17,250 568
Vectren 9,400 232
Wisconsin Energy 34,800 1,119
----------
6,872
----------
Total Common Stock
(Cost $167,034) ($ Thousands) 208,326
----------
WARRANTS -- 0.0%
Washington Mutual (B)* 115,700 22
----------
Total Warrants
(Cost $31) ($ Thousands) 22
----------
RIGHTS -- 0.0%
Bank United (C)* 7,000 1
----------
Total Rights
(Cost $2) ($ Thousands) 1
----------
U.S. TREASURY OBLIGATION -- 0.4%
U.S. Treasury Bills (A)
0.980%, 08/26/04 $750 747
----------
Total U.S. Treasury Obligation
(Cost $747) ($ Thousands) 747
----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 25
STATEMENT OF NET ASSETS (Unaudited)
Tax-Managed Small Cap Fund (Concluded)
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENT -- 4.1%
SEI Daily Income Trust, Prime
Obligation Fund, Cl A++ 9,021,099 $ 9,021
--------
Total Cash Equivalent
(Cost $9,021) ($ Thousands) 9,021
--------
Total Investments -- 100.1%
(Cost $176,835) ($ Thousands) 218,117
--------
OTHER ASSETS AND LIABILITIES -- (0.1)%
Investment Advisory Fees Payable (100)
Administration Fees Payable (64)
Shareholder Servicing Fees Payable (34)
Other Assets and Liabilities, Net 74
--------
Total Other Assets and Liabilities (124)
--------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 17,961,378 outstanding shares
of beneficial interest 170,289
Accumulated net investment loss (336)
Accumulated net realized gain on investments
and futures contracts 6,577
Net unrealized appreciation on investments 41,282
Net unrealized appreciation on futures contracts 181
--------
Total Net Assets -- 100.0% $217,993
--------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($217,992,603 / 17,961,378 shares) $12.14
======
* Non-income producing security.
+ Real Estate Investment Trust
++ See Note 3 in Notes to Financial Statements.
(A) Security, or portion thereof, has been pledged as collateral on open futures
contracts. The rate reported is the effective yield at time of purchase.
(B) This warrant represents a potential distribution settlement in a legal claim
and does not have a strike price or expiration date.
(C) This security was issued for possible settlement of pending litigation and
does not have an expiration date.
ADR -- American Depository Receipt
Cl -- Class
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
26 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
Small Cap Value Fund
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 97.8%
CONSUMER DISCRETIONARY -- 18.3%
7-Eleven* 84,600 $ 1,283
Aaron Rents 38,000 946
Abercrombie & Fitch, Cl A* 48,400 1,638
Advo 150,745 4,857
American Banknote* 1,002 --
American Greetings, Cl A (B)* 114,500 2,607
Ameristar Casinos* 61,200 2,065
Arctic Cat 45,300 1,155
ArvinMeritor 110,800 2,197
Aztar* 88,100 2,159
Bally Total Fitness Holding* 25,500 149
Bandag 24,000 1,194
Belo, Cl A 37,200 1,033
BorgWarner 28,400 2,409
Brinker International* 44,200 1,676
Brookfield Homes 22,600 793
Brookstone* 12,000 330
Brown Shoe 62,600 2,281
Burlington Coat Factory Warehouse 5,200 103
Callaway Golf 22,400 425
Carmike Cinemas* 31,550 1,176
Cato, Cl A 47,800 960
Champion Enterprises* 87,800 931
Cooper Tire & Rubber 64,400 1,298
CSS Industries 3,600 120
Dave & Buster's* 5,300 80
Department 56* 6,200 92
Dollar Thrifty Automotive Group* 82,000 2,072
Dress Barn* 8,206 144
Dura Automotive Systems, Cl A* 15,000 199
Eagle Materials 46,500 2,737
Ethan Allen Interiors 58,700 2,422
Extended Stay America 110,300 2,137
Foot Locker 81,800 2,110
GameStop, Cl A* 44,200 796
Goody's Family Clothing 14,100 201
Handleman* 255,353 6,113
Haverty Furniture 26,900 572
Hollinger International 169,700 3,360
Hollywood Entertainment* 324,000 4,393
Ihop 37,300 1,285
Insight Enterprises* 3,600 69
Interstate Hotels & Resorts* 64,100 378
Isle of Capri Casinos* 15,400 387
Jack in the Box* 56,700 1,416
Jakks Pacific (B)* 83,800 1,257
Jarden* 63,000 2,237
Jo-Ann Stores* 52,600 1,475
Journal Communications, Cl A 75,100 1,502
K2* 66,600 1,068
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Kellwood 283,000 $ 11,108
Kerzner Interational* 33,200 1,472
Kimball International, Cl B 29,400 461
La-Z-Boy 54,600 1,188
Liberty 40,400 1,869
Lithia Motors, Cl A 15,800 437
Lone Star Steakhouse & Saloon 35,200 1,027
M/I Homes 34,100 1,612
MDC Holdings 27,170 1,913
Men's Wearhouse* 78,800 2,094
Monroe Muffler* 5,850 146
Movie Gallery 149,700 2,933
MTR Gaming Group* 116,000 1,160
Multimedia Games (B)* 83,100 2,056
National Presto Industries 26,525 1,028
New England Business Service 8,300 281
New World Restaurant Group* 54 --
Palm Harbor Homes* 36,800 771
Pantry* 21,500 428
Papa John's International (B)* 50,700 1,716
Payless Shoesource* 274,000 3,825
PDI* 17,800 450
PEP Boys-Manny Moe & Jack 64,600 1,793
Pier 1 Imports 70,600 1,673
Pinnacle Entertainment* 120,700 1,666
Polo Ralph Lauren 76,800 2,633
Quiksilver* 60,200 1,315
Regal Entertainment Group, Cl A (B) 37,100 815
Regis 122,321 5,436
Rent-A-Center* 47,700 1,574
Russ Berrie 35,200 1,232
Ryan's Family Steak Houses* 103,050 1,763
Ryland Group 20,300 1,803
Salton (B)* 25,300 237
Scholastic (B)* 100,000 2,725
ShopKo Stores (B)* 38,000 556
Sinclair Broadcast Group, Cl A* 96,100 1,201
Sonic Automotive 68,200 1,708
Stage Stores* 104,800 4,055
Standard-Pacific 18,200 1,092
Starwood Hotels & Resorts Worldwide 81,700 3,309
Sturm Ruger 11,900 161
Superior Industries International (B) 118,800 4,210
Thomas Nelson 19,900 542
Tommy Hilfiger* 49,800 847
Too* 37,300 781
Tower Automotive (B)* 175,500 885
Unifi* 69,500 308
United Auto Group 8,200 224
Valassis Communications* 89,400 2,718
Visteon 129,000 1,235
WESCO International* 6,300 94
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 27
STATEMENT OF NET ASSETS (Unaudited)
Small Cap Value Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Wet Seal, Cl A* 81,900 $ 676
WMS Industries* 102,800 3,187
Wolverine World Wide 72,300 1,745
World Wrestling Entertainment 82,600 1,194
Zale* 96,200 5,921
----------
171,576
----------
CONSUMER STAPLES -- 3.7%
Adolph Coors, Cl B 47,000 3,264
BJ's Wholesale Club (B)* 179,100 4,558
Casey's General Stores 92,900 1,542
Chattem* 3,300 86
Chiquita Brands International* 89,600 1,868
Corn Products International 26,200 1,048
Del Monte Foods* 149,800 1,685
Delta & Pine Land 33,400 833
Duane Reade* 85,100 1,442
Flowers Foods 31,000 813
Interstate Bakeries 75,200 855
Nash Finch 18,500 438
NBTY* 116,200 4,320
Pathmark Stores* 293,800 2,345
PepsiAmericas 130,900 2,673
Ralcorp Holdings* 52,900 1,610
Supervalu 48,600 1,484
Tyson Foods, Cl A 90,300 1,630
Universal 35,200 1,789
WD-40 14,400 504
----------
34,787
----------
ENERGY -- 7.4%
Atwood Oceanics* 61,700 2,196
Cabot Oil & Gas 84,800 2,591
Cimarex Energy* 74,100 2,142
Clayton Williams Energy* 6,000 208
Comstock Resources* 12,200 242
Core Laboratories* 88,200 1,870
Del Global Technology (G)* 35 --
Evergreen Resources (B)* 139,700 4,799
Forest Oil* 174,950 4,417
Holly 21,300 679
Houston Exploration* 10,600 474
Key Energy Services* 121,900 1,341
Magnum Hunter Resources* 239,300 2,427
NATCO Group, Cl A* 108,564 790
National-Oilwell (B)* 113,500 3,210
Nuevo Energy* 111,400 3,627
Overseas Shipholding Group 38,100 1,391
Petroleum Development* 4,700 135
Plains Exploration & Production (B)* 117,095 2,183
Prima Energy* 53,900 1,862
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Range Resources* 84,600 $ 1,026
Remington Oil & Gas* 36,300 717
Spinnaker Exploration* 44,600 1,602
St. Mary Land & Exploration (B) 85,400 2,855
Stone Energy* 137,700 6,811
Swift Energy* 137,000 2,582
Tesoro Petroleum* 132,200 2,484
Tom Brown* 68,800 2,587
Universal Compression Holdings* 8,100 266
Veritas DGC (B)* 238,100 4,929
Vintage Petroleum 159,100 2,332
W-H Energy Services* 137,300 1,987
Westport Resources* 33,800 1,115
Whiting Petroleum* 75,800 1,788
----------
69,665
----------
FINANCIALS -- 24.2%
Acadia Realty Trust+ 28,600 404
Affiliated Managers Group (B)* 26,250 1,433
Affordable Residential Communities+* 20,500 379
Alliance Bancorp of New England (B) 18,900 769
Allmerica Financial* 114,300 3,949
AMB Property+ 100,600 3,739
American Home Mortgage
Investment+ 42,000 1,210
AmericanWest Bancorp* 1,810 36
AmerUs Group (B)* 33,100 1,336
Anworth Mortgage Asset+ 72,100 1,006
Apartment Investment &
Management, Cl A+ 50,500 1,570
Arch Capital Group* 36,600 1,538
Aspen Insurance Holdings* 51,700 1,331
Associated Estates Realty+ 17,900 164
AvalonBay Communities+ 53,000 2,840
BancFirst 300 17
Bank Mutual 147,100 1,646
BankAtlantic Bancorp, Cl A 42,000 712
Boston Properties+ 66,700 3,622
Boykin Lodging+* 16,500 153
Brandywine Realty Trust+ 24,700 755
BSB Bancorp 5,100 197
Capital of The West* 1,200 47
Capital Southwest 27,100 2,039
Cardinal Financial* 148,262 1,423
Cash America International 23,000 530
CBL & Associates Properties+ 33,400 2,049
Center Financial 3,400 53
Central Pacific Financial 6,200 185
Chelsea Property Group+ 51,400 3,235
Chittenden 27,400 904
City Holding 5,200 178
- --------------------------------------------------------------------------------
28 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CNA Surety* 18,600 $ 206
Colonial BancGroup 69,900 1,293
Columbia Bancorp 1,200 20
Columbia Banking System 5,500 154
Commerce Group 28,200 1,354
Commercial Federal 34,600 955
Community Bank System 17,100 791
CompuCredit* 33,100 700
Corus Bankshares 9,200 371
Delphi Financial Group, Cl A 39,900 1,677
Direct General* 19,800 717
Donegal Group, Cl A 97,407 1,952
Entertainment Properties Trust+ 16,000 655
Equity Inns+ 45,600 420
FBL Financial Group, Cl A 16,900 475
FelCor Lodging Trust* 500 5
Financial Institutions 1,100 25
First American 122,400 3,723
First Citizens Bancshares, Cl A 9,143 1,125
First Indiana 75,050 1,512
First State Bancorporation 1,000 31
FirstFed Financial* 29,900 1,379
Flagstar Bancorp (B) 123,600 3,170
Flushing Financial 44,700 809
FPIC Insurance Group (B)* 30,100 690
Frontier Financial 3,000 103
GATX 69,900 1,550
General Growth Properties (B)+ 190,600 6,700
Glacier Bancorp 2,900 94
Glenborough Realty Trust+ 23,100 516
Glimcher Realty Trust+ 14,100 382
Gold Banc 69,700 1,136
Greater Bay Bancorp (B) 55,600 1,626
Grupo TMM ADR, Ser A* 199,500 553
Hancock Holding 1,000 31
Hanmi Financial 2,100 56
Health Care+ 15,600 633
Hilb Rogal & Hamilton 155,500 5,925
Horace Mann Educators 81,550 1,282
Host Marriott+* 323,800 4,138
Hub International 83,900 1,540
Hudson River Bancorp 7,400 152
Hudson United Bancorp 37,900 1,442
IBERIABANK 2,000 118
Independant Bank 1,800 55
Independence Community Bank 42,300 1,724
Independent Bank 5,390 150
IndyMac Bancorp 33,100 1,201
IPC Holdings 41,000 1,615
Irwin Financial 61,700 1,665
iStar Financial+ 98,500 4,167
Jones Lang LaSalle* 71,800 1,846
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Kilroy Realty+ 58,000 $ 2,059
Kimco Realty+ 119,400 6,087
Koger Equity+ 17,000 399
Landamerica Financial Group 100,700 4,558
LaSalle Hotel Properties+ 7,700 182
Levitt, Cl A* 29,300 718
Liberty Property Trust+ 44,900 2,020
LNR Property 54,300 2,907
Local Financial* 29,600 645
LTC Properties+ 19,500 353
Macatawa Bank 1,900 53
MAF Bancorp 10,900 474
MainSource Financial Group 600 21
Max Re Capital 62,500 1,412
Medallion Financial 172,800 1,495
Medical Properties Trust+* 39,400 394
Mid-State Bancshares 4,000 95
Nara Bancorp 2,000 59
National Bankshares 300 15
National Health Investors+ 20,500 631
National Processing* 50,300 956
Navigators Group* 1,500 43
NBT Bancorp 47,600 1,071
NCRIC Group* 125,700 1,192
Netbank 8,600 105
Newcastle Investment+ 28,200 950
Novastar Financial (B)+ 6,500 429
Odyssey Re Holdings (B) 38,400 1,037
Omega Healthcare Investors+ 42,500 462
Oriental Financial Group 35,000 1,115
Pacific Capital Bancorp 10,500 417
Parkway Properties+ 5,500 257
Penn-America Group 7,400 108
PFF Bancorp 11,200 427
Platinum Underwriters Holdings 75,700 2,426
PMI Group 47,200 1,763
Post Properties+ 20,000 576
Presidential Life 37,400 560
ProAssurance* 50,100 1,753
Prologis+ 160,900 5,771
Prosperity Bancshares 5,300 125
Provident Bankshares 34,300 1,076
Provident Financial Group (B) 39,300 1,578
PS Business Parks+ 35,000 1,622
Public Storage+ 91,100 4,433
Pxre Group 41,000 1,146
R & G Financial, Cl B 18,300 632
Rainier Pacific Financial Group* 95,000 1,531
RAIT Investment Trust+ 19,100 564
Realty Income+ 9,000 402
Reckson Associates Realty+ 67,800 1,908
Regency Centers+ 95,600 4,467
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 29
STATEMENT OF NET ASSETS (Unaudited)
Small Cap Value Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
RenaissanceRe Holdings 47,100 $ 2,449
Republic Bancorp 10,940 154
Resource Bankshares 1,400 46
Rouse+ 112,400 6,025
Safety Insurance Group 68,500 1,301
Scottish Annuity & Life Holdings 47,600 1,151
Selective Insurance Group 16,500 579
Senior Housing Properties Trust+ 106,000 2,067
Signature Bank* 59,800 1,250
Simmons First National 1,500 41
Simon Property Group+ 103,200 6,031
Sky Financial Group 45,000 1,168
SL Green Realty+ 43,300 2,065
St. Joe 20,400 830
State Auto Financial 2,800 72
Staten Island Bancorp 79,800 1,985
Sterling Financial* 69,300 2,556
Stewart Information Services* 166,400 6,540
Susquehanna Bancshares 8,500 218
Tanger Factory Outlet Centers+ 2,700 122
Texas Regional Bancshares, Cl A 9,790 417
Trammell Crow* 116,200 1,630
Trico Bancshares 1,800 67
UMB Financial 31,400 1,592
Umpqua Holdings 5,700 115
Universal American Financial* 25,100 301
Ventas+ 96,900 2,663
Vornado Realty Trust+ 54,800 3,314
Washington Federal 37,364 954
Webster Financial 22,000 1,116
WesBanco 21,700 659
West Coast Bancorp 2,400 55
Westcorp 13,000 573
WFS Financial* 6,400 277
White Mountains Insurance Group 1,900 997
Winston Hotels+ 208,700 2,200
WR Berkley 59,950 2,391
WSFS Financial 3,900 196
Zenith National Insurance (B) 33,900 1,329
----------
227,033
----------
HEALTH CARE -- 8.6%
Albany Molecular Research* 14,900 237
Alpharma, Cl A 229,000 4,491
America Service Group* 23,200 796
Analogic 10,900 496
Applera -- Celera Genomics Group* 238,900 3,466
Apria Healthcare Group* 46,700 1,398
Bausch & Lomb 29,500 1,769
Beckman Coulter 21,100 1,151
Bio-Rad Laboratories, Cl A* 17,500 986
Cerner (B)* 17,200 777
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cole National* 64,800 $ 1,430
Community Health Systems* 72,700 2,023
Conmed* 8,600 254
Covance* 37,350 1,286
Cross Country Healthcare* 58,100 967
Genencor International* 185,800 2,473
Hanger Orthopedic Group (B)* 98,700 1,782
Health Net* 175,400 4,373
Healthsouth (B)* 414,900 1,705
Hologic* 77,800 1,575
Invacare 1,500 68
LifePoint Hospitals (B)* 44,300 1,433
Meridian Bioscience 6,600 67
Mettler Toledo International* 63,300 2,811
Millipore* 90,700 4,660
MTS Systems 12,900 357
Myriad Genetics (B)* 73,200 1,187
National Dentex* 151,790 4,129
Nu Skin Enterprises, Cl A (B) 109,100 2,198
Ocular Sciences* 69,200 2,017
Owens & Minor 67,000 1,695
Pacificare Health Systems* 48,800 1,930
Parexel International* 102,400 1,830
Pharmacopeia* 164,900 3,318
PolyMedica (B) 20,600 553
Prime Medical Services* 42,300 233
Province Healthcare* 74,500 1,185
RehabCare Group* 80,100 1,592
Res-Care* 145,710 1,862
Select Medical 63,700 1,064
Sola International* 67,700 1,574
Steris* 44,000 1,135
Sybron Dental Specialties* 150,800 4,109
Triad Hospitals* 51,800 1,596
US Oncology* 127,800 1,889
Valeant Pharmaceuticals 103,500 2,471
West Pharmaceutical Services 7,000 262
----------
80,660
----------
INDUSTRIALS -- 18.9%
Acuity Brands 77,400 1,848
Albany International, Cl A 58,000 1,560
Alexander & Baldwin 12,600 417
Allete 101,600 3,565
America West Holdings (B)* 96,700 922
American Bank Note Holographics* 5,122 12
Angelica 7,400 169
AO Smith 92,550 2,679
Applied Industrial Technologies 42,300 961
Arkansas Best 53,400 1,431
Banta 130,800 6,055
BearingPoint* 482,100 5,168
- --------------------------------------------------------------------------------
30 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Belden 3,400 $ 65
Briggs & Stratton (B) 86,400 5,829
Brink's 104,600 2,885
Butler Manufacturing 28,300 635
Calgon Carbon 246,100 1,895
Cascade 28,400 577
CIRCOR International 65,900 1,489
CNH Global 142,660 2,671
Coinstar (B)* 57,500 913
Consolidated Graphics* 40,500 1,557
Courier 37,150 1,662
CPI Aerostructures* 135,900 1,343
Duratek* 200,780 3,194
EDO 82,900 1,996
EMCOR Group* 37,500 1,376
Ennis Business Forms 9,100 152
Esterline Technologies* 15,900 395
Flowserve* 10,300 216
Frontier Airlines* 71,600 746
FTI Consulting* 59,000 983
General Cable (B)* 123,900 914
Genessee & Wyoming, Cl A* 21,750 537
Genlyte Group* 53,300 2,987
Griffon* 171,000 3,694
Harsco 48,700 2,216
Heartland Express 39,200 893
Herley Industries* 21,600 408
IKON Office Solutions 100,800 1,290
Imagistics International* 11,200 493
Infospace* 1,500 58
Insituform Technologies, Cl A* 234,800 3,670
Invision Technologies (B)* 32,100 1,594
John H. Harland 86,600 2,695
Kadant* 33,485 698
Kansas City Southern* 212,100 2,948
Kaydon 89,000 2,450
Kennametal (B) 41,100 1,696
Kirby* 85,000 2,872
Kroll* 79,000 2,121
Laidlaw International* 137,900 2,006
Lennox International 99,000 1,836
LSI Industries 71,775 873
Magellan Health Services* 47,400 1,332
Manitowoc 46,900 1,387
McGrath Rentcorp 1,700 52
Medical Staffing Network Holdings* 99,300 782
Milacron (B) 271,400 942
MKS Instruments* 5,100 122
Mobile Mini (B)* 4,200 73
Moog, Cl A* 14,550 496
Mueller Industries* 81,000 2,753
Navigant International (B)* 8,900 160
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Navistar International (B)* 71,000 $ 3,255
Nordson 25,300 948
On Assignment* 101,200 566
Orbital Sciences (B)* 204,500 2,562
Overnite* 24,600 566
Pentair 29,200 1,723
Quality Distribution* 104,750 1,477
Quanta Services (B)* 258,400 1,830
Rayovac* 29,400 841
Regal-Beloit 100,600 2,010
RH Donnelley* 16,200 757
Robbins & Myers 91,700 1,976
Rofin-Sinar Technologies* 1,400 42
Roto-Rooter 25,400 1,284
Ryder System 129,600 5,019
School Specialty (B)* 121,000 4,304
SCS Transportation* 18,000 392
Sequa, Cl A* 1,400 69
Service International (B)* 114,600 856
Simpson Manufacturing* 74,100 3,627
Skywest 50,200 966
Source Interlink* 130,000 1,625
Sourcecorp* 54,300 1,439
Standard Register 16,900 271
Stewart Enterprises, Cl A* 146,200 1,063
Tecumseh Products, Cl A 46,400 1,953
Teledyne Technologies* 139,200 2,603
Thomas Industries 36,700 1,156
Timken 74,600 1,733
Toro (B) 15,000 930
Unifirst 27,400 756
United Industrial 90,900 1,722
United Rentals* 145,000 2,577
United Stationers* 52,900 2,227
Universal Forest Products 29,500 910
URS* 40,900 1,177
US Xpress Enterprises* 2,200 31
USF 100,100 3,425
Valmont Industries 20,900 418
Viad 30,100 728
Wabtec 145,400 2,071
Walter Industries 34,400 411
Washington Group International* 109,800 4,020
Watsco 9,200 267
Watson Wyatt Holdings* 94,600 2,388
Woodward Governor 31,600 2,014
York International 54,600 2,146
----------
177,545
----------
INFORMATION TECHNOLOGY -- 7.8%
1-800 Contacts (B)* 48,800 859
Alliance Semiconductor* 106,500 811
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 31
STATEMENT OF NET ASSETS (Unaudited)
Small Cap Value Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
American Management Systems* 72,300 $ 1,388
Andrew* 76,605 1,341
Anixter International* 52,900 1,494
Arris Group (B)* 158,500 1,458
Ascential Software* 72,600 1,591
Avnet* 68,700 1,683
Axcelis Technologies* 140,600 1,564
Bel Fuse 5,400 177
Benchmark Electronics* 15,050 474
Borland Software* 115,300 1,047
C-COR.net* 6,400 90
Cable Design Technologies (B)* 137,600 1,305
Cadence Design Systems (B)* 67,700 998
CCC Information Services Group* 54,800 974
Checkpoint Systems* 68,300 1,291
Coherent* 91,992 2,419
CommScope* 47,300 788
Digi International* 67,200 663
E.piphany* 119,000 859
Earthlink* 279,200 2,474
Fairchild Semiconductor International* 33,000 793
Harris 55,900 2,706
Helix Technology 28,100 681
Hutchinson Technology* 10,500 295
InFocus* 88,400 827
Internet Security Systems* 137,200 2,420
Iomega 14,360 80
Keynote Systems* 131,300 1,690
Komag* 67,400 1,240
Lincoln Electric Holdings 52,600 1,481
Maxtor* 369,800 3,014
Mentor Graphics* 78,700 1,402
Methode Electronics 166,700 2,150
Parametric Technology* 364,700 1,648
Pegasus Solutions* 57,400 670
Pericom Semiconductor* 42,100 483
PerkinElmer 87,000 1,800
Photronics* 12,600 224
Pinnacle Systems* 77,700 702
Pomeroy IT Solutions 147,800 2,143
ProQuest (B)* 56,900 1,660
Quantum (B)* 696,800 2,578
Register.com* 45,454 269
Scientific Games, Cl A* 60,800 1,138
Silicon Storage Technology* 24,100 312
Stoneridge* 6,300 91
Storage Technology* 54,400 1,514
Sybase (B)* 135,400 2,842
SYKES Enterprises* 54,000 321
THQ (B)* 36,500 738
TIBCO Software* 395,200 3,229
Transaction Systems Architects, Cl A* 46,000 1,064
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
TTM Technologies* 24,200 $ 298
Unisys* 148,000 2,113
Utstarcom* 23,300 670
Wavecom ADR* 142,800 1,649
----------
72,683
----------
MATERIALS -- 5.3%
Airgas 62,500 1,331
Albemarle 104,000 3,016
Amcol International 10,400 181
American Pacific 25,100 200
Aptargroup 61,700 2,369
Caraustar Industries* 59,200 690
Century Aluminum* 3,000 85
Cleveland-Cliffs (B)* 35,200 2,303
Constar International* 99,800 537
Crown Holdings* 439,600 4,097
Cytec Industries* 158,600 5,641
Ethyl* 19,760 391
Georgia Gulf 70,200 2,117
Greif, Cl A 10,200 356
Gundle Environmental* 6,000 111
HB Fuller* 16,900 481
Headwaters* 51,000 1,307
Hercules (B)* 138,100 1,585
IMC Global (B) 112,100 1,603
Jacuzzi Brands* 531,100 4,982
Louisiana-Pacific* 58,500 1,509
Massey Energy 53,000 1,170
Minerals Technologies 16,800 959
Octel 11,200 334
Olin 69,800 1,246
OM Group* 20,000 608
Quanex 52,900 2,248
Roanoke Electric Steel 28,900 408
Rock-Tenn, Cl A 38,900 561
Schnitzer Steel Industries, Cl A 4,950 159
Schweitzer-Mauduit International 102,732 3,318
Silgan Holdings* 37,500 1,715
Steel Dynamics* 60,100 1,489
Wellman 29,400 246
----------
49,353
----------
TELECOMMUNICATION SERVICES -- 0.5%
Commonwealth Telephone
Enterprises (B)* 37,000 1,517
CT Communications 4,200 58
General Communication, Cl A* 113,919 1,037
IDT* 27,800 552
IDT, Cl B* 42,900 865
Shenandoah Telecom* 500 11
Talk America Holdings (B)* 66,600 564
----------
4,604
----------
- --------------------------------------------------------------------------------
32 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
UTILITIES -- 3.1%
AGL Resources 141,301 $ 4,101
Avista 68,800 1,302
Black Hills 29,200 931
Cascade Natural Gas 35,070 764
Cheasapeake Utilities 2,100 54
CMS Energy (B)* 144,000 1,289
El Paso Electric* 111,000 1,536
Energen 23,000 949
Littelfuse* 69,578 2,588
NUI 67,000 1,133
Oneok 21,000 474
Pico Holdings* 110,700 1,819
PNM Resources 148,000 4,447
Southern Union* 2,765 52
Southwest Gas 16,200 379
UGI 39,200 1,290
UIL Holdings 24,200 1,166
Vectren 42,700 1,054
Westar Energy 69,200 1,450
WGL Holdings 27,500 828
Wisconsin Energy (B) 53,900 1,733
----------
29,339
----------
Total Common Stock
(Cost $727,305) ($ Thousands) 917,245
----------
WARRANTS -- 0.0%
American Banknote, Ser 1,
Expires 10/01/07 (G)* 345 --
American Banknote, Ser 2,
Expires 10/01/07 (G)* 345 --
Washington Mutual (D)* 432,942 82
----------
Total Warrants
(Cost $62) ($ Thousands) 82
----------
RIGHTS -- 0.0%
Bank United (H)* 46,300 5
----------
Total Rights
(Cost $7) ($ Thousands) 5
----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS (C) (F) -- 4.3%
FINANCIALS -- 4.0%
Belford Funding
1.090%, 02/02/05 $2,923 $ 2,923
Blue Heron Funding
1.120%, 02/23/05 2,923 2,923
1.120%, 03/18/05 1,315 1,315
CCN Bluegrass
1.160%, 02/18/05 2,192 2,192
CIT Group
1.900%, 04/08/04 1,724 1,724
1.763%, 05/03/04 292 292
1.200%, 12/01/04 1,754 1,754
Citigroup
1.460%, 05/04/04 684 684
Commodore
1.270%, 12/12/38 877 877
Countrywide Home Loans
1.270%, 05/14/04 731 731
1.235%, 09/24/04 1,023 1,023
1.200%, 02/23/05 848 848
1.190%, 01/18/05 1,461 1,461
Duke Funding
1.180%, 04/08/05 1,461 1,461
Goldman Sachs Group
1.340%, 05/04/04 1,461 1,461
HBOS Treasury Services
1.120%, 07/19/04 380 380
Harwood
1.150%, 06/21/04 731 731
Household Finance
1.870%, 04/23/04 146 146
Liberty Light US Capital
1.070%, 02/09/05 1,461 1,461
1.060%, 05/17/04 877 877
1.060%, 01/14/05 1,461 1,461
Merrill Lynch
1.050%, 04/13/04 1,461 1,461
Morgan Stanley
1.100%, 04/04/05 585 585
1.080%, 07/06/04 1,461 1,461
1.080%, 07/23/04 1,461 1,461
Orchid Structured Finance
1.220%, 11/18/04 2,031 2,031
Paragon Mortgages
1.110%, 09/15/04 1,267 1,267
Sigma Finance
1.066%, 11/01/04 877 877
Tango
1.380%, 08/13/04 1,461 1,461
----------
37,329
----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 33
STATEMENT OF NET ASSETS (Unaudited)
Small Cap Value Fund (Concluded)
March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
INDUSTRIALS -- 0.3%
Caterpillar
1.300%, 04/08/04 $ 877 $ 877
1.270%, 05/28/04 731 731
1.240%, 07/09/04 1,461 1,460
----------
3,068
----------
Total Corporate Obligations
(Cost $40,397) ($ Thousands) 40,397
----------
COMMERCIAL PAPER (C) (E) -- 2.7%
FINANCIALS -- 2.7%
Amsterdam Funding
1.051%, 05/17/04 2,338 2,335
Beethoven Funding
1.105%, 08/26/04 669 666
Bradford & Bingley
1.186%, 09/10/04 1,461 1,454
1.185%, 08/17/04 964 960
CRE Funding
1.090%, 04/07/04 585 584
Grampian Funding
1.150%, 04/14/04 1,461 1,461
Mitten
1.041%, 04/22/04 1,461 1,460
Moat Funding
1.150%, 04/06/04 2,192 2,192
Park Granada
1.064%, 07/30/04 2,777 2,767
1.063%, 07/15/04 1,461 1,457
Rhineland Funding
1.102%, 05/25/04 1,169 1,167
1.101%, 04/26/04 1,173 1,172
1.093%, 06/23/04 1,002 999
1.080%, 04/08/04 431 431
1.080%, 04/16/04 755 755
Tannehill Capital
1.172%, 05/19/04 1,461 1,459
Tulip Funding
1.060%, 04/01/04 3,799 3,799
----------
Total Commercial Paper
(Cost $25,118) ($ Thousands) 25,118
----------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENTS -- 2.8%
AIM Investco Treasurer's Money
Market Reserve Fund (C) 730,659 $ 731
Bear Stearns Master Notes (C) 2,922,635 2,923
First Union Cash Management
Program 927,032 927
SEI Daily Income Trust, Prime
Obligation Fund, Cl A++ 21,706,868 21,707
----------
Total Cash Equivalents
(Cost $26,288) ($ Thousands) 26,288
----------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bills (A)
0.980%, 08/26/04 $1,500 1,494
----------
Total U.S. Treasury Obligation
(Cost $1,494) ($ Thousands) 1,494
----------
REPURCHASE AGREEMENTS (C) -- 1.7%
Deutsche Bank
1.060%, dated 03/31/04, to be
repurchased on 04/01/04,
repurchase price $7,078,919
(collateralized by U.S. Government
Agency obligations, total market
value: $7,220,311) 7,079 7,079
Lehman Brothers
1.060%, dated 03/31/04, to be
repurchased on 04/01/04,
repurchase price $9,206,573
(collateralized by U.S. Government
Agency obligations, total market
value: $9,390,469) 9,206 9,206
----------
Total Repurchase Agreements
(Cost $16,285) ($ Thousands) 16,285
----------
Total Investments -- 109.5%
(Cost $836,956) ($ Thousands) 1,026,914
----------
- --------------------------------------------------------------------------------
34 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (9.5)%
Payable Upon Return on Securities Loaned $ (85,454)
Investment Advisory Fees Payable (510)
Administration Fees Payable (275)
Shareholder Servicing Fees Payable (66)
Administration Servicing Fees Payable (1)
Trustees' Fees Payable (1)
Other Assets and Liabilities, Net (2,531)
----------
Total Other Assets and Liabilities (88,838)
----------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 45,161,060 outstanding shares
of beneficial interest 660,268
Portfolio Shares of Class I
(unlimited authorization -- no par value)
based on 303,425 outstanding shares
of beneficial interest 5,445
Distribution in excess of net investment income (14)
Accumulated net realized gain on investments
and futures contracts 82,091
Net unrealized appreciation on investments 189,958
Net unrealized appreciation on futures contracts 328
----------
Total Net Assets -- 100.0% $ 938,076
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($931,821,239 / 45,161,060 shares) $20.63
======
Net Asset Value, Offering and Redemption
Price Per Share -- Class I
($6,254,637 / 303,425 shares) $20.61
======
* Non-income producing security.
+ Real Estate Investment Trust
++ See Note 3 in Notes to Financial Statements.
(A) Security, or portion thereof, has been pledged as collateral on open futures
contracts. The rate reported is the effective yield at time of purchase.
(B) This security or a partial position of this security is on loan at March 31,
2004 (see Note 7). The total value of securities on loan at March 31, 2004
was $81,712,942.
(C) This security was purchased with cash collateral held from securities
lending (see Note 7). The total value of such securities as of March 31,
2004 was $85,453,727.
(D) This warrant represents a potential distribution settlement in a legal claim
and does not have a strike price or expiration date.
(E) The rate reported is the effective yield at time of purchase.
(F) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of March 31, 2004.
(G) Security considered illiquid. The total value of such securities as of March
31, 2004 was $0.
(H) This security was issued for possible settlement of pending litigation and
does not have an expiration date.
ADR -- American Depository Receipt
Cl -- Class
Ser -- Series
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 35
STATEMENT OF NET ASSETS (Unaudited)
Small Cap Growth Fund
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 96.5%
CONSUMER DISCRETIONARY -- 15.8%
AFC Enterprises* 81,300 $ 1,870
America's Car Mart* 147,500 3,975
Bombay* 291,600 2,289
Carter's (B)* 55,200 1,578
Charming Shoppes* 218,700 1,704
Cheesecake Factory (B)* 69,700 3,215
Chicago Pizza & Brewery (B)* 64,400 842
Christopher & Banks 141,950 2,997
Coach* 102,500 4,201
Cost Plus* 161,300 6,734
Dick's Sporting Goods* 52,400 3,047
Electronics Boutique Holdings* 67,100 1,970
Four Seasons Hotels 34,000 1,805
GameStop, Cl A* 100,700 1,815
Gentex 62,800 2,724
Gildan Activewear, Cl A* 45,500 1,426
Globe Units Pipe (D)* 10,500 1,318
Group 1 Automotive* 42,300 1,531
Guitar Center (B)* 53,300 1,980
Hibbett Sporting Goods* 163,050 6,219
HOT Topic* 284,042 7,513
Identix* 360,400 2,083
Insight Enterprises* 14,200 273
Journal Communications, Cl A 75,100 1,502
Kenneth Cole Productions, Cl A 123,450 4,210
Lin TV, Cl A* 137,900 3,283
M/I Homes 48,300 2,284
Marvel Enterprises (B)* 140,850 2,703
Mediacom Communications* 276,000 2,214
Meritage* 35,600 2,643
MSC Industrial Direct, Cl A 135,440 4,056
Nexstar Broadcasting Group, Cl A* 130,300 1,523
Noble International (B) 80,870 2,108
O'Reilly Automotive* 47,400 1,898
Overstock.com (B)* 38,800 1,198
Panera Bread, Cl A (B)* 45,800 1,783
Parkervision (B)* 153,000 1,045
PDI* 27,400 693
Phillips-Van Heusen 155,000 2,867
Pinnacle Entertainment* 202,300 2,792
Quiksilver* 208,600 4,558
Rare Hospitality International* 179,450 4,980
Red Robin Gourmet Burgers* 51,400 1,460
Regis 38,300 1,702
SCP Pool* 43,650 1,626
Select Comfort (B)* 112,705 3,110
Shuffle Master (B)* 67,870 3,155
Sonic* 62,800 2,153
Standard Motor Products 136,500 2,140
Standard-Pacific 35,300 2,118
Station Casinos 100,720 4,449
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Timberland, Cl A* 32,400 $ 1,926
Tractor Supply* 61,200 2,370
Tuesday Morning* 107,975 3,721
Tweeter Home Entertainment Group* 113,700 1,073
Urban Outfitters* 128,600 6,181
Value Line 14,000 738
WCI Communities* 235,200 5,887
Winnebago Industries 54,900 1,711
XM Satellite Radio Holdings,
Cl A (B)* 68,000 1,904
Yankee Candle* 63,500 1,751
----------
160,624
----------
CONSUMER STAPLES -- 1.4%
Cott 86,720 2,549
Great Atlantic & Pacific Tea* 176,700 1,368
NBTY* 62,600 2,327
PC Mall* 73,500 1,348
Pilgrims Pride, Cl B 103,500 2,321
United Natural Foods* 95,770 4,606
----------
14,519
----------
ENERGY -- 3.3%
Bunge 53,200 2,140
Cabot Oil & Gas 58,700 1,794
Cal Dive International* 127,200 3,286
Comstock Resources* 52,400 1,041
Denbury Resources* 203,100 3,424
Evergreen Resources* 28,400 975
Forest Oil* 57,000 1,439
Horizon Offshore* 225,400 683
Key Energy Services* 290,000 3,190
Lone Star Technologies* 26,600 470
Matrix Service* 132,175 1,788
Nuevo Energy* 63,900 2,081
Patina Oil & Gas 93,390 2,451
Penn Virginia 30,900 1,873
Quicksilver Resources* 53,400 2,070
Tetra Technologies* 77,300 2,020
Ultra Petroleum* 39,600 1,188
Varco International* 37,300 672
Vintage Petroleum 95,900 1,406
----------
33,991
----------
FINANCIALS -- 11.4%
Acadia Realty Trust+ 122,000 1,721
Affiliated Managers Group (B)* 35,250 1,924
American Home Mortgage Investment+ 62,000 1,786
Arch Capital Group* 53,490 2,248
Brookline Bancorp 118,600 1,892
Capital Source* 185,600 4,167
Cascade Bancorp 28,800 662
Commercial Capital Bancorp (B)* 229,333 5,256
- --------------------------------------------------------------------------------
36 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Delphi Financial Group, Cl A 117,350 $ 4,931
Downey Financial 87,500 4,629
E*Trade Financial (B) 743,100 9,920
East-West Bancorp 37,100 2,078
Fidelity Bankshares 51,300 1,880
First Cash Financial Services* 114,100 3,837
First Community Bancorp 31,000 1,159
First Marblehead* 53,400 1,573
First Republic Bank 38,300 1,477
FirstFed Financial* 26,600 1,227
Franklin Bank* 13,100 243
Friedman Billings Ramsey Group, Cl A 219,700 5,930
Harbor Florida Bancshares 5,200 150
HCC Insurance Holdings 53,100 1,717
Itla Capital* 31,900 1,578
Kansas City Life Insurance 30,500 1,305
KNBT Bancorp* 99,500 1,759
MFA Mortgage Investments+ 141,500 1,429
Netbank 90,200 1,101
One Liberty Properties+ 64,700 1,459
PFF Bancorp 37,440 1,428
Platinum Underwriters Holdings 44,900 1,439
Portfolio Recovery Associates (B)* 57,600 1,552
ProAssurance* 144,765 5,067
R & G Financial, Cl B 124,750 4,309
RAIT Investment Trust+ 72,200 2,133
Redwood Trust+ 45,800 2,847
Regency Centers+ 19,300 902
Saxon Capital* 67,200 1,909
Shurgard Storage Centers, Cl A+ 39,000 1,556
Silicon Valley Bancshares* 136,000 4,412
South Financial Group 65,000 1,923
Sterling Financial* 33,040 1,219
TierOne* 62,400 1,466
UCBH Holdings 130,450 5,223
Umpqua Holdings 41,100 830
United PanAm Financial (B)* 96,500 1,543
Westamerica Bancorporation 36,200 1,827
Westcorp 110,400 4,865
----------
115,488
----------
HEALTH CARE -- 19.8%
Abaxis* 96,100 1,946
Abgenix* 248,200 3,299
Accredo Health* 95,700 3,646
Advanced Neuromodulation Systems* 28,463 1,027
Align Technology* 443,985 8,440
Alkermes (B)* 154,700 2,474
Alliance Imaging* 97,200 379
Allscripts Healthcare Solutions* 30,000 291
American Healthways (B)* 143,275 3,499
Amsurg (B)* 46,500 1,056
Applera -- Celera Genomics Group* 104,800 1,521
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Apria Healthcare Group* 14,200 $ 425
Ariad Pharmaceuticals* 101,700 962
Array Biopharma* 105,200 947
Atherogenics* 66,700 1,525
August Technology* 95,100 1,426
AVI BioPharma (B)* 53,500 162
Axonyx (B)* 452,100 2,952
Beverly Enterprises* 150,800 965
Bio-Rad Laboratories, Cl A* 33,800 1,905
Bioject Medical Technologies* 133,200 404
Biosite (B)* 78,000 2,494
Bradley Pharmaceuticals (B)* 61,700 1,554
Cardiodynamics International* 205,400 1,298
Cell Genesys* 417,300 5,024
Cerner (B)* 62,700 2,833
Columbia Laboratories* 45,900 227
Conceptus (B)* 177,900 2,121
Conmed* 47,200 1,394
Connetics (B)* 131,100 2,906
Cooper 75,895 4,098
Corixa (B)* 405,200 2,594
Crucell ADR* 267,300 2,245
Cubist Pharmaceuticals (B)* 439,200 4,041
CV Therapeutics (B)* 164,500 2,489
Cyberonics (B)* 48,800 1,169
Decode Genetics (B)* 171,700 1,820
Dendreon (B)* 357,300 4,752
Depomed* 227,600 1,782
Digene* 141,580 4,865
Discovery Laboratories (B)* 94,300 1,150
Encysive Pharmaceuticals* 402,500 4,138
Epix Medical* 125,500 2,604
Exact Sciences* 61,700 479
Exelixis* 169,521 1,449
Flamel Technologies ADR* 31,600 819
Gen-Probe* 43,300 1,447
Genta (B)* 505,200 5,305
Human Genome Sciences* 103,000 1,291
I-Flow (B)* 39,700 559
Incyte* 305,500 2,539
Integra LifeSciences Holdings* 38,800 1,188
Isis Pharmaceuticals (B)* 442,200 3,431
Kosan Biosciences* 163,700 1,730
La Jolla Pharmaceutical* 490,200 1,353
Laserscope (B)* 105,700 2,091
Lexicon Genetics (B)* 140,700 882
LifePoint Hospitals (B)* 15,300 495
Ligand Pharmaceuticals, Cl B (B)* 79,600 1,600
Lions Gate Entertainment* 351,300 2,196
Martek Biosciences (B)* 64,930 3,701
Medarex (B)* 411,300 3,689
Medcath* 116,000 1,799
Medicines* 50,600 1,630
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 37
STATEMENT OF NET ASSETS (Unaudited)
Small Cap Growth Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Medicis Pharmaceutical, Cl A (B) 191,100 $ 7,644
Merit Medical Systems* 205,349 4,444
MIM* 69,900 532
Nektar Therapeutics* 290,900 6,278
Neopharm (B)* 65,000 1,219
Neurochem* 160,700 3,437
Nitromed* 99,300 789
North American Scientific* 198,300 1,983
NPTest Holding* 127,300 1,927
Nuvelo* 38,500 484
Orasure Technologies* 91,700 950
Orthodontic Centers of America (B)* 122,300 966
Orthologic* 272,700 2,113
Pain Therapeutics* 266,900 1,855
Paradigm Genetics* 973,100 1,226
Pharmaceutical Resources* 50,310 2,861
PolyMedica (B) 144,800 3,884
Pozen* 140,500 1,942
Protein Design Labs (B)* 125,300 2,985
Rotech Healthcare* 54,000 1,131
Salix Pharmaceuticals* 89,400 2,594
Sonosight* 84,900 1,811
Telik* 239,300 6,423
Third Wave Technologies* 468,900 2,162
Transgenomic* 251,000 492
Tularik* 92,700 2,276
Vasogen* 51,200 313
Viropharma (B)* 107,000 246
Vital Images* 23,400 235
----------
201,724
----------
INDUSTRIALS -- 8.2%
Active Power* 122,300 394
Advisory Board (B)* 118,663 4,337
AGCO* 88,000 1,822
Alliant Techsystems* 30,550 1,662
aQuantive* 117,500 1,128
Armor Holdings* 57,800 1,913
Atlantic Coast Airlines Holdings (B)* 288,100 2,095
Autobytel* 184,370 2,434
Charles River Associates* 46,300 1,518
Chicago Bridge & Iron (NY Shares) 111,900 3,114
Corinthian Colleges* 107,500 3,554
Corporate Executive Board* 82,037 3,856
CoStar Group* 37,400 1,380
DeVry* 32,000 965
DiamondCluster International* 139,500 1,350
EDO 68,100 1,640
Engineered Support Systems 36,300 1,771
General Maritime* 103,690 2,608
Gevity HR 94,400 2,756
Integrated Alarm Services Group (B)* 169,400 1,611
Integrated Electrical Services* 54,200 609
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Iron Mountain* 45,200 $ 2,017
Joy Global 130,280 3,657
Knight Transportation* 71,400 1,712
Labor Ready* 91,900 1,243
Learning Tree International* 87,800 1,395
Moog, Cl A* 58,895 2,010
Princeton Review* 178,500 1,542
Ritchie Brothers Auctioneers 30,500 1,714
Rofin-Sinar Technologies* 146,780 4,381
Shaw Group (B)* 136,800 1,483
Strayer Education 59,000 6,901
Surebeam, Cl A (B)* 580,855 6
Sylvan Learning Systems* 125,500 4,406
Sypris Solutions 95,400 1,622
Terex* 46,600 1,723
Universal Display* 45,200 580
Universal Forest Products 53,200 1,642
USF 49,800 1,704
Wabash National* 54,485 1,286
----------
83,541
----------
INFORMATION TECHNOLOGY -- 33.4%
1-800 Contacts (B)* 88,000 1,550
Activision* 89,925 1,423
Adaptec* 161,600 1,416
Advent Software* 124,500 2,328
Aeroflex* 129,300 1,740
Agile Software* 316,500 2,769
Akamai Technologies (B)* 120,500 1,583
Ask Jeeves (B)* 351,540 12,560
Asyst Technologies* 168,800 1,389
ATMI* 35,850 944
Avocent* 55,200 2,031
BakBone Software* 556,900 1,504
BindView Development* 70,400 239
BISYS Group* 113,000 1,894
Brooks Automation* 466,700 9,791
Cabot Microelectronics (B)* 26,200 1,107
California Micro Devices* 204,985 2,726
ChipPAC, Cl A (B)* 278,900 2,206
Ciber* 108,400 1,192
Cognex 132,092 4,392
Comtech Telecommunications (B)* 126,955 2,945
Concur Technologies* 112,100 1,255
Conexant Systems* 281,110 1,732
Corillian* 1,081,192 5,352
Credence Systems (B)* 588,600 6,993
Cyberguard* 62,487 615
Cymer* 208,900 8,066
Digimarc* 496,900 6,147
Digital Insight* 175,200 3,630
DigitalNet Holdings* 66,400 1,355
Digitas* 190,300 1,958
- --------------------------------------------------------------------------------
38 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
DoubleClick (B)* 588,700 $ 6,623
Dupont Photomasks (B)* 77,500 1,803
eCollege.com* 167,955 3,507
Electroglas (B)* 77,200 342
Entegris* 175,100 2,217
eResearch Technology (B)* 122,090 3,425
eSpeed, Cl A* 221,600 4,645
FEI (B)* 327,300 7,151
Formfactor* 88,500 1,852
Genesis Microchip* 282,000 4,726
Global Payments 48,000 2,164
Harmonic* 122,100 1,178
Homestore* 96,955 410
Hutchinson Technology* 80,500 2,259
Hyperion Solutions* 13,700 568
Immersion* 575,700 4,375
Integrated Circuit Systems* 23,000 576
Integrated Silicon Solutions* 85,800 1,522
International Rectifier* 41,800 1,922
Interwoven* 104,550 1,042
Iomega 279,500 1,562
Itron* 112,500 2,094
Jack Henry & Associates 172,600 3,324
Komag (B)* 116,300 2,140
Lattice Semiconductor* 1,530,100 13,358
Lexar Media (B)* 165,270 2,737
Lionbridge Technologies* 378,100 3,679
LivePerson* 187,700 995
Macrovision* 171,300 3,200
Magma Design Automation (B)* 104,000 2,175
Manhattan Associates* 66,500 1,849
MAXIMUS* 46,000 1,610
Mentor Graphics* 265,000 4,722
Merix (B)* 59,700 1,101
Metrologoc Instruments* 82,245 1,925
Micromuse* 501,200 3,909
MPS Group* 253,800 2,822
MRV Communications (B)* 290,800 968
Mykrolis* 187,900 2,679
Netegrity (B)* 221,000 1,878
NIC* 38,000 229
O2Micro International* 376,700 6,491
Omnivision Technologies (B)* 111,505 3,045
ON Semiconductor* 265,575 2,002
Onyx Software* 136,525 423
Open Solutions* 24,200 534
Openwave Systems* 135,232 1,804
OSI Systems (B)* 83,300 1,666
Pec Solutions* 78,600 1,039
PerkinElmer 112,400 2,326
Pinnacle Systems* 770,000 6,953
Pixelworks* 817,950 14,011
PLX Technology* 100,800 1,086
Polycom* 526,200 11,171
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Power Integrations* 113,200 $ 3,320
Quest Software (B)* 39,300 643
Radisys (B)* 120,600 2,521
RADWARE* 124,770 3,314
Red Hat (B)* 106,500 2,435
Remec* 167,900 1,276
Roxio (B)* 73,400 328
Rudolph Technologies* 203,100 3,804
SafeNet* 62,300 2,339
Sapient* 119,200 719
ScanSoft (B)* 273,200 1,527
Secure Computing* 114,000 1,864
Semtech* 179,000 4,087
Serena Software* 10,800 220
Sierra Wireless* 205,215 7,488
Sigmatel* 92,100 2,068
SimpleTech* 409,500 1,945
Sina (B)* 44,600 1,687
Sipex* 206,800 1,303
SkillSoft ADR* 201,800 2,603
Skyworks Solutions* 629,800 7,343
Sohu.com (B)* 70,700 1,760
Stratasys (B)* 133,550 2,541
Synaptics* 158,310 2,777
Syntel 77,700 2,140
Tessera Technologies* 101,400 1,856
Trident Microsystems* 15,650 250
Triquint Semiconductor* 232,600 1,698
Trizetto Group* 120,600 935
TTM Technologies (B)* 133,000 1,639
Tumbleweed Communications* 377,400 2,646
Ultra Clean Holdings* 156,100 1,132
Varian* 61,000 2,450
Varian Semiconductor Equipment
Associates* 62,400 2,621
WebEx Communications (B)* 10,900 324
webMethods (B)* 104,800 985
Websense* 72,000 2,132
----------
339,366
----------
MATERIALS -- 2.4%
Arch Coal 61,000 1,915
Ferro 73,000 1,909
Headwaters* 103,500 2,652
Massey Energy 98,400 2,172
Metal Management* 49,810 1,827
Northgate Exploration* 612,000 1,512
Silgan Holdings* 40,515 1,853
Steel Dynamics* 164,500 4,076
Symyx Technologies* 129,700 3,714
Wheeling-Pittsburgh* 102,800 2,258
----------
23,888
----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 39
STATEMENT OF NET ASSETS (Unaudited)
Small Cap Growth Fund (Concluded)
March 31, 2004
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 0.5%
Alvarion* 129,100 $ 1,638
Novatel Wireless (B)* 107,580 2,313
Sycamore Networks* 223,400 911
----------
4,862
----------
UTILITIES -- 0.3%
PNM Resources 41,100 1,235
UGI 51,600 1,699
----------
2,934
----------
Total Common Stock
(Cost $873,481) ($ Thousands) 980,937
----------
EXCHANGE TRADED FUND -- 0.3%
NASDAQ-100 Index Tracking Stock (B)* 82,200 2,947
----------
Total Exchange Traded Fund
(Cost $2,884) ($ Thousands) 2,947
----------
CORPORATE OBLIGATIONS (C) (F) -- 7.5%
FINANCIALS -- 6.9%
Belford Funding
1.090%, 02/02/05 $ 5,541 5,541
Blue Heron Funding
1.120%, 02/23/05 5,541 5,541
1.120%, 03/18/05 2,494 2,494
CCN Bluegrass
1.160%, 02/18/05 4,156 4,156
CIT Group
1.900%, 04/08/04 3,269 3,269
1.763%, 05/03/04 554 554
1.200%, 12/01/04 3,325 3,325
Citigroup
1.460%, 05/04/04 1,297 1,297
Commodore
1.270%, 12/12/38 1,662 1,662
Countrywide Home Loans
1.270%, 05/14/04 1,385 1,385
1.235%, 09/24/04 1,939 1,939
1.200%, 02/23/05 1,607 1,607
1.190%, 01/18/05 2,771 2,770
Duke Funding
1.180%, 04/08/05 2,771 2,771
Goldman Sachs Group
1.340%, 05/04/04 2,771 2,771
HBOS Treasury Services
1.120%, 07/19/04 720 720
Harwood
1.150%, 06/21/04 1,385 1,385
Household Finance
1.870%, 04/23/04 277 277
Liberty Light US Capital
1.070%, 02/09/05 2,771 2,770
1.060%, 05/17/04 1,662 1,662
1.060%, 01/14/05 2,771 2,770
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch
1.050%, 04/13/04 $ 2,771 $ 2,771
Morgan Stanley
1.100%, 04/04/05 1,108 1,108
1.080%, 07/06/04 2,771 2,771
1.080%, 07/23/04 2,771 2,771
Orchid Structured Finance
1.220%, 11/18/04 3,851 3,851
Paragon Mortgages
1.110%, 09/15/04 2,402 2,402
Sigma Finance
1.066%, 11/01/04 1,662 1,662
Tango
1.380%, 08/13/04 2,771 2,771
----------
70,773
----------
INDUSTRIALS -- 0.6%
Caterpillar
1.300%, 04/08/04 1,662 1,662
1.270%, 05/28/04 1,385 1,386
1.240%, 07/09/04 2,771 2,771
----------
5,819
----------
Total Corporate Obligations
(Cost $76,592) ($ Thousands) 76,592
----------
COMMERCIAL PAPER (C)(E) -- 4.7%
FINANCIALS -- 4.7%
Amsterdam Funding
1.051%, 05/17/04 4,433 4,427
Beethoven Funding
1.105%, 08/26/04 1,269 1,263
Bradford & Bingley
1.186%, 09/10/04 2,771 2,756
1.185%, 08/17/04 1,829 1,820
CRE Funding
1.090%, 04/07/04 1,108 1,108
Grampian Funding
1.150%, 04/14/04 2,771 2,769
Mitten
1.041%, 04/22/04 2,771 2,769
Moat Funding
1.150%, 04/06/04 4,156 4,155
Park Granada
1.064%, 07/30/04 5,264 5,246
1.063%, 07/15/04 2,771 2,762
Rhineland Funding
1.102%, 05/25/04 2,216 2,213
1.101%, 04/26/04 2,223 2,221
1.093%, 06/23/04 1,900 1,895
1.080%, 04/08/04 817 817
1.080%, 04/16/04 1,431 1,430
- --------------------------------------------------------------------------------
40 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Tannehill Capital
1.172%, 05/19/04 $ 2,771 $ 2,766
Tulip Funding
1.060%, 04/01/04 7,204 7,204
----------
Total Commercial Paper
(Cost $47,621) ($ Thousands) 47,621
----------
CASH EQUIVALENTS -- 3.1%
AIM Investco Treasurer's Money
Market Reserve Fund (C) 1,385,287 1,385
Bear Stearns Master Notes (C) 5,541,150 5,541
First Union Cash Management
Program 662,695 663
SEI Daily Income Trust, Prime
Obligation Fund, Cl A++ 23,828,830 23,829
----------
Total Cash Equivalents
(Cost $31,418) ($ Thousands) 31,418
----------
U.S. TREASURY OBLIGATION -- 0.1%
U.S. Treasury Bills (A)
0.980%, 08/26/04 1,500 1,494
----------
Total U.S. Treasury Obligation
(Cost $1,494) ($ Thousands) 1,494
----------
REPURCHASE AGREEMENTS (C) -- 3.0%
Deutsche Bank
1.060%, dated 03/31/04, to be
repurchased on 04/01/04,
repurchase price $13,421,226
(collateralized by U.S. Government
Agency obligations, total market
value: $13,689,296) 13,421 13,421
Lehman Brothers
1.060%, dated 03/31/04, to be
repurchased on 04/01/04,
repurchase price $17,455,136
(collateralized by U.S. Government
Agency obligations, total market
value: $17,803,792) 17,455 17,455
----------
Total Repurchase Agreements
(Cost $30,876) ($ Thousands) 30,876
----------
Total Investments -- 115.2%
(Cost $1,064,366) ($ Thousands) 1,171,885
----------
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (15.2)%
Payable Upon Return on Securities Loaned $ (162,015)
Investment Advisory Fees Payable (521)
Administration Fees Payable (298)
Shareholder Servicing Fees Payable (104)
Administration Servicing Fees Payable (2)
Trustees' Fees Payable (1)
Other Assets and Liabilities, Net 7,991
----------
Total Other Assets & Liabilities (154,950)
----------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 59,696,552 outstanding shares
of beneficial interest 1,131,628
Portfolio Shares of Class I
(unlimited authorization -- no par value)
based on 480,672 outstanding shares
of beneficial interest 6,105
Accumulated net investment loss (2,831)
Accumulated net realized loss on investments
and futures contracts (226,254)
Net unrealized appreciation on investments 107,519
Net unrealized appreciation on futures contracts 768
----------
Total Net Assets -- 100.0% $1,016,935
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($1,008,868,009 / 59,696,552 shares) $16.90
======
Net Asset Value, Offering and Redemption
Price Per Share -- Class I
($8,066,624 / 480,672 shares) $16.78
======
* Non-income producing security.
+ Real Estate Investment Trust
++ See Note 3 in Notes to Financial Statements.
(A) Security, or portion thereof, has been pledged as collateral on open futures
contracts. The rate reported is the effective yield at time of purchase.
(B) This security or a partial position of this security is on loan at March 31,
2004 (see Note 7). The total value of securities on loan at March 31, 2004
was $152,011,241.
(C) This security was purchased with cash collateral held from securities
lending (see Note 7). The total value of such securities as of March 31,
2004 was $162,015,380.
(D) Security fair valued using methods determined in good faith by the Valuation
Committee of the Board of Trustees. The total value of such security as of
March 31, 2004 was $1,318,275.
(E) The rate reported is the effective yield at time of purchase.
(F) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of March 31, 2004.
ADR -- American Depository Receipt
Cl -- Class
NY -- New York
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 41
STATEMENT OF NET ASSETS (Unaudited)
Mid-Cap Fund
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 96.3%
CONSUMER DISCRETIONARY -- 21.1%
Abercrombie & Fitch, Cl A* 3,100 $ 105
Advance Auto Parts* 4,200 171
American Axle & Manufacturing Holdings* 18,200 671
Barnes & Noble* 11,700 381
Black & Decker 6,400 364
Borders Group 4,400 104
Brinker International* 2,000 76
CBRL Group 5,900 234
Centex 7,400 400
Claire's Stores 21,000 438
Eagle Materials 163 9
Eagle Materials, Cl B 551 32
Eastman Kodak 29,600 775
Federated Department Stores 17,700 957
Foot Locker 7,400 191
Fortune Brands 4,800 368
GTECH Holdings 3,600 213
Harrah's Entertainment 4,500 247
Hasbro 12,900 280
Hearst-Argyle Television 6,500 175
Interdigital Communications* 1,400 24
Johnson Controls 7,000 414
KB Home (B) 2,600 210
Lear 4,900 304
Mattel 3,100 57
Maytag 5,100 161
Nordstrom 300 12
NVR (B)* 1,200 552
Regal Entertainment Group, Cl A 4,700 103
Rent-A-Center* 15,550 513
Ryland Group 2,500 222
Sherwin-Williams 14,100 542
Staples* 12,600 320
Timberland, Cl A* 600 36
Whirlpool 3,000 207
----------
9,868
----------
CONSUMER STAPLES -- 5.8%
Adolph Coors, Cl B 4,000 278
Energizer Holdings* 18,900 882
Supervalu 30,000 916
Tyson Foods, Cl A 34,600 625
----------
2,701
----------
ENERGY -- 3.5%
Chesapeake Energy 12,900 173
FMC Technologies* 11,300 305
Marathon Oil 7,900 266
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Newfield Exploration* 2,400 $ 115
Sunoco 12,000 749
Valero Energy 100 6
----------
1,614
----------
FINANCIALS -- 21.7%
Bank of Hawaii 8,300 384
Commerce Bancorp 4,000 263
Countrywide Financial 366 35
Doral Financial 23,550 829
E*Trade Financial 42,700 570
Fidelity National Financial 16,087 637
First American 23,000 700
First Tennessee National 6,700 320
General Growth Properties+ 28,800 1,012
HCC Insurance Holdings 8,400 272
Hibernia, Cl A 3,100 73
Hudson United Bancorp 6,000 228
Independence Community Bank 3,200 130
Loews 8,700 514
Mills 14,200 757
New York Community Bancorp 20,966 719
Nuveen Investments, Cl A 4,700 131
Park National 800 91
Protective Life 7,300 273
Simon Property Group+ 1,000 58
Sovereign Bancorp 6,500 139
Stancorp Financial Group 2,600 170
Thornburg Mortgage+ (B) 26,000 809
Trizec Properties+ 14,900 255
UnionBanCal 13,300 697
WR Berkley 1,500 60
----------
10,126
----------
HEALTH CARE -- 9.4%
AmerisourceBergen 200 11
Applera - Applied Biosystems Group 7,500 148
Bausch & Lomb 1,600 96
Beckman Coulter 15,300 835
Biogen Idec* 600 33
Celgene* 3,100 148
Cigna 3,500 207
Coventry Health Care* 600 25
DaVita* 11,500 549
Endo Pharmaceuticals Holdings* 1,900 46
Fisher Scientific International (B)* 5,500 303
Humana* 26,200 498
Idexx Laboratories* 4,600 262
ImClone Systems* 800 41
Invitrogen* 9,100 652
- --------------------------------------------------------------------------------
42 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Medimmune* 2,300 $ 53
Millipore* 1,300 67
Mylan Laboratories 1,225 28
Pharmaceutical Resources* 6,700 381
WellChoice* 700 26
----------
4,409
----------
INDUSTRIALS -- 5.5%
Carlisle 5,300 300
Crane 4,800 158
Deluxe 1,900 76
H&R Block 3,900 199
Hubbell, Cl B 3,300 132
JB Hunt Transport Services* 17,200 485
Ryder System 15,600 604
SPX* 6,000 273
Viad 14,500 351
----------
2,578
----------
INFORMATION TECHNOLOGY -- 15.3%
Adobe Systems 5,900 233
Adtran 3,000 90
Advanced Micro Devices* 1,900 31
Affiliated Computer Services,
Cl A (B)* 2,600 135
Agilent Technologies* 2,200 70
Altera* 15,000 307
Amkor Technology* 31,200 456
Amphenol, Cl A* 8,200 243
Arrow Electronics* 9,000 229
Avnet* 9,400 230
Broadcom, Cl A* 5,100 200
Checkfree (B)* 13,600 401
Citrix Systems* 5,700 123
Computer Sciences (B)* 15,700 633
Cypress Semiconductor (B)* 7,400 151
Electronic Arts* 4,400 237
Fairchild Semiconductor International* 1,800 43
Foundry Networks* 700 12
International Rectifier* 300 14
Intuit* 4,600 206
Lam Research (B)* 1,500 38
Lexmark International* 3,700 340
Maxtor* 6,200 50
MEMC Electronic Materials* 14,100 129
National Semiconductor* 6,700 298
Network Associates* 5,100 92
PanAmSat (B)* 8,100 198
PerkinElmer 6,000 124
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Polycom* 2,300 $ 49
Sandisk (B)* 6,400 182
Sanmina-SCI* 9,000 99
Scientific-Atlanta 5,100 165
Storage Technology* 9,900 275
Sungard Data Systems* 4,300 118
Symantec* 8,200 380
Synopsys* 400 12
Teradyne* 800 19
Utstarcom* 1,700 49
VeriSign* 2,400 40
Western Digital* 16,900 190
Xerox (B)* 15,700 229
----------
7,120
----------
MATERIALS -- 5.4%
Ball 3,100 210
Cytec Industries* 5,300 189
Georgia-Pacific 20,300 684
Monsanto 8,200 301
Phelps Dodge* 1,200 98
RPM International 27,200 450
Sealed Air* 2,400 119
United States Steel (B) 12,400 462
----------
2,513
----------
TELECOMMUNICATION SERVICES -- 1.2%
CenturyTel 19,600 539
----------
UTILITIES -- 7.4%
AES* 51,600 440
Alliant Energy 10,300 268
Constellation Energy Group 6,500 260
Edison International 9,000 219
Great Plains Energy 9,600 324
Oneok 19,600 442
Public Service Enterprise Group 6,800 319
Sempra Energy 20,424 650
UGI 6,300 207
Xcel Energy 18,300 326
----------
3,455
----------
Total Common Stock
(Cost $36,401) ($ Thousands) 44,923
----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 43
STATEMENT OF NET ASSETS (Unaudited)
Mid-Cap Fund (Concluded)
March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS (C) (E) -- 4.0%
FINANCIALS -- 3.7%
Belford Funding
1.090%, 02/02/05 $135 $ 135
Blue Heron Funding
1.120%, 02/23/05 135 135
1.120%, 03/18/05 61 61
CCN Bluegrass
1.160%, 02/18/05 101 101
CIT Group
1.900%, 04/08/04 80 80
1.763%, 05/03/04 13 13
1.200%, 12/01/04 81 81
Citigroup
1.460%, 05/04/04 32 32
Commodore
1.270%, 12/12/38 40 40
Countrywide Home Loans
1.270%, 05/14/04 34 34
1.235%, 09/24/04 47 47
1.200%, 02/23/05 39 39
1.190%, 01/18/05 68 68
Duke Funding
1.180%, 04/08/05 68 68
Goldman Sachs Group
1.340%, 05/04/04 68 68
HBOS Treasury Services
1.120%, 07/19/04 18 17
Harwood
1.150%, 06/21/04 34 34
Household Finance
1.870%, 04/23/04 7 7
Liberty Light US Capital
1.070%, 02/09/05 68 68
1.060%, 05/17/04 41 40
1.060%, 01/14/05 68 68
Merrill Lynch
1.050%, 04/13/04 68 68
Morgan Stanley
1.100%, 04/04/05 27 27
1.080%, 07/06/04 68 68
1.080%, 07/23/04 68 68
Orchid Structured Finance
1.220%, 11/18/04 94 94
Paragon Mortgages
1.110%, 09/15/04 59 59
Sigma Finance
1.066%, 11/01/04 41 40
Tango
1.380%, 08/13/04 68 68
----------
1,728
----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
INDUSTRIALS -- 0.3%
Caterpillar
1.300%, 04/08/04 $ 41 $ 40
1.270%, 05/28/04 34 34
1.240%, 07/09/04 68 68
----------
142
----------
Total Corporate Obligations
(Cost $1,870) ($ Thousands) 1,870
----------
COMMERCIAL PAPER (C) (D) -- 2.5%
FINANCIALS -- 2.5%
Amsterdam Funding
1.051%, 05/17/04 108 108
Beethoven Funding
1.105%, 08/26/04 31 31
Bradford & Bingley
1.186%, 09/10/04 68 67
1.185%, 08/17/04 45 44
CRE Funding
1.090%, 04/07/04 27 27
Grampian Funding
1.150%, 04/14/04 68 68
Mitten
1.041%, 04/22/04 68 68
Moat Funding
1.150%, 04/06/04 101 102
Park Granada
1.064%, 07/30/04 129 128
1.063%, 07/15/04 68 67
Rhineland Funding
1.102%, 05/25/04 54 54
1.101%, 04/26/04 54 54
1.093%, 06/23/04 46 46
1.080%, 04/08/04 20 20
1.080%, 04/16/04 35 35
Tannehill Capital
1.172%, 05/19/04 68 68
Tulip Funding
1.060%, 04/01/04 176 176
----------
Total Commercial Paper
(Cost $1,163) ($ Thousands) 1,163
----------
- --------------------------------------------------------------------------------
44 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENTS -- 3.9%
AIM Investco Treasurer's Money
Market Reserve Fund (C) 33,824 $ 34
Bear Stearns Master Notes (C) 135,297 135
SEI Daily Income Trust, Prime
Obligation Fund, Cl A++ 1,652,713 1,653
----------
Total Cash Equivalents
(Cost $1,822) ($ Thousands) 1,822
----------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bills (A)
0.930%, 06/17/04 $120 120
----------
Total U.S. Treasury Obligation
(Cost $120) ($ Thousands) 120
----------
REPURCHASE AGREEMENTS (C) -- 1.6%
Deutsche Bank
1.060%, dated 03/31/04, to be
repurchased on 04/01/04,
repurchase price $327,703
(collateralized by U.S. Government
Agency obligations, total market
value: $334,248) 328 328
Lehman Brothers
1.060%, dated 03/31/04, to be
repurchased on 04/01/04,
repurchase price $426,197
(collateralized by U.S. Government
Agency obligations, total market
value: $434,711) 426 426
----------
Total Repurchase Agreements
(Cost $754) ($ Thousands) 754
----------
Total Investments -- 108.5%
(Cost $42,130) ($ Thousands) 50,652
----------
OTHER ASSETS AND LIABILITIES -- (8.5)%
Payable Upon Return on Securities Loaned (3,956)
Investment Advisory Fees Payable (16)
Administration Fees Payable (13)
Shareholder Servicing Fees Payable (9)
Other Assets and Liabilities, Net 7
----------
Total Other Assets and Liabilities (3,987)
----------
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 2,611,376 outstanding shares
of beneficial interest $ 34,171
Undistributed net investment income 3
Accumulated net realized gain on investments
and futures contracts 3,961
Net unrealized appreciation on investments 8,522
Net unrealized appreciation on futures contracts 8
----------
Total Net Assets -- 100.0% $ 46,665
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($46,665,339 / 2,611,376 shares) $17.87
======
* Non-income producing security.
+ Real Estate Investment Trust
++ See Note 3 in Notes to Financial Statements.
(A) Security, or portion thereof, has been pledged as collateral on open futures
contracts. The rate reported is the effective yield at time of purchase.
(B) This security or a partial position of this security is on loan at March 31,
2004 (see Note 7). The total value of securities on loan at March 31, 2004
was $3,827,403.
(C) This security was purchased with cash collateral held from securities
lending (see Note 7). The total value of such securities as of March 31,
2004 was $3,955,887.
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of March 31, 2004.
Cl -- Class
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 45
SCHEDULE OF INVESTMENTS (Unaudited)
Real Estate Fund
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 97.4%
CONSUMER DISCRETIONARY -- 7.6%
Fairmont Hotels & Resorts 7,200 $ 181
Hilton Hotels 7,100 115
Interstate Hotels & Resorts* 4,500 27
Standard-Pacific 600 36
Starwood Hotels & Resorts Worldwide 11,400 462
----------
821
----------
FINANCIALS -- 89.8%
Acadia Realty Trust+ 1,900 27
Affordable Residential Communities+* 600 11
AMB Property+ 14,900 554
Apartment Investment & Management,
Cl A+ 1,600 50
Archstone-Smith Trust+ 9,750 288
Arden Realty+ 6,800 220
AvalonBay Communities+ 8,300 445
Boston Properties+ 4,800 261
Camden Property Trust+ 4,150 186
Chelsea Property Group+ 3,400 214
Corporate Office Properties Trust+ 11,000 275
Equity Residential+ 7,900 236
Essex Property Trust+ 3,400 223
Federal Realty Investment Trust+ 6,900 319
General Growth Properties+ 15,200 534
Host Marriott+* 21,400 273
iStar Financial+ 6,700 283
Kimco Realty+ 8,000 408
Liberty Property Trust+ 3,100 139
LNR Property 3,300 177
Macerich+ 5,400 291
Mack-Cali Realty+ 4,400 197
Medical Properties Trust+* 1,400 14
Post Properties+ 2,850 82
Prologis+ 11,200 402
PS Business Parks+ 2,500 116
Public Storage+ 11,050 538
RAIT Investment Trust+ 900 26
Realty Income+ 800 36
Reckson Associates Realty+ 7,850 221
Regency Centers+ 6,300 294
Rouse+ 10,650 571
Shurgard Storage Centers, Cl A+ 2,400 96
Simon Property Group+ 12,450 727
SL Green Realty+ 6,100 291
St. Joe 2,000 81
Taubman Centers+ 1,450 36
Trizec Properties+ 13,050 224
Ventas+ 6,500 179
Vornado Realty Trust+ 3,600 218
----------
9,763
----------
Total Common Stock
(Cost $10,114) ($ Thousands) 10,584
----------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
EXCHANGE TRADED FUND -- 0.2%
iShares Cohen & Steers Realty
Majors Index Fund* 200 $ 23
----------
Total Exchange Traded Fund
(Cost $23) ($ Thousands) 23
----------
PREFERRED STOCK -- 1.0%
Maguire Properties* 4,100 106
----------
Total Preferred Stock
(Cost $105) ($ Thousands) 106
----------
CASH EQUIVALENT -- 3.5%
SEI Daily Income Trust, Prime
Obligation Fund, Cl A++ 380,939 381
----------
Total Cash Eqivalent
(Cost $381) ($ Thousands) 381
----------
Total Investments -- 102.1%
(Cost $10,623) ($ Thousands) $ 11,094
==========
Percentages are based on Net Assets of $10,865,848.
* Non-income producing security.
+ Real Estate Investment Trust
++ See Note 3 in Notes to Financial Statements.
Cl -- Class
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
46 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
Core Fixed Income Fund
March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 32.3%
CONSUMER DISCRETIONARY -- 2.8%
British Sky Broadcasting
8.200%, 07/15/09 $ 1,340 $ 1,616
COX Communications
7.875%, 08/15/09 750 891
7.125%, 10/01/12 220 254
5.500%, 10/01/15 155 159
4.625%, 06/01/13 1,105 1,079
Comcast
6.500%, 01/15/15 1,475 1,632
5.500%, 03/15/11 2,035 2,164
Comcast Cable Communications
8.375%, 03/15/13 2,935 3,645
6.750%, 01/30/11 (K) 7,430 8,435
6.375%, 01/30/06 720 773
Continental Cablevision
9.000%, 09/01/08 1,150 1,397
8.300%, 05/15/06 985 1,098
DaimlerChrysler
7.450%, 03/01/27 1,325 1,454
7.300%, 01/15/12 3,400 3,920
6.500%, 11/15/13 2,630 2,844
4.750%, 01/15/08 1,530 1,595
4.050%, 06/04/08 3,875 3,916
Ford Motor
9.215%, 09/15/21 1,000 1,135
7.450%, 07/16/31 8,050 8,040
6.375%, 02/01/29 (K) 9,250 8,232
General Motors
8.375%, 07/15/33 4,950 5,615
Intelsat
6.500%, 11/01/13 25 27
6.500%, 11/01/13 (B) 820 883
Jones Intercable
8.875%, 04/01/07 7,765 7,852
Liberty Media
7.875%, 07/15/09 1,025 1,210
5.700%, 05/15/13 995 1,039
2.610%, 09/17/06 (A) 7,035 7,118
News America Holdings
9.250%, 02/01/13 770 1,012
8.875%, 04/26/23 650 854
7.750%, 01/20/24 595 704
TCI Communications
7.875%, 02/15/26 1,910 2,261
7.125%, 02/15/28 1,440 1,588
TCI Communications MTN (D)
8.350%, 02/15/05 2,475 2,603
Target
5.875%, 03/01/12 3,560 3,953
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Time Warner
9.150%, 02/01/23 $ 1,805 $ 2,367
7.700%, 05/01/32 7,445 8,801
7.625%, 04/15/31 1,670 1,954
6.875%, 05/01/12 (K) 3,300 3,775
6.625%, 05/15/29 1,805 1,886
Time Warner Entertainment
8.375%, 03/15/23 2,000 2,495
8.375%, 07/15/33 1,090 1,389
Viacom
5.625%, 08/15/12 2,225 2,415
Walt Disney
7.000%, 03/01/32 260 290
Yum! Brands
7.700%, 07/01/12 1,250 1,483
----------
117,853
----------
CONSUMER STAPLES -- 1.4%
Altria Group
7.750%, 01/15/27 4,915 5,480
7.000%, 11/04/13 1,850 2,039
Bottling Group LLC
5.000%, 11/15/13 875 911
4.625%, 11/15/12 940 962
Cadbury Schweppes (B)
5.125%, 10/01/13 625 647
Delhaize America
8.125%, 04/15/11 1,075 1,236
Diageo Capital PLC
6.625%, 06/24/04 2,490 2,520
3.500%, 11/19/07 2,440 2,509
3.375%, 03/20/08 1,050 1,066
Duty Free International (F) (J)
7.000%, 02/15/04 2,451 245
General Mills
5.125%, 02/15/07 1,325 1,420
Kellogg, Ser B
6.600%, 04/01/11 6,750 7,811
Kraft Foods
6.250%, 06/01/12 1,400 1,570
5.625%, 11/01/11 3,910 4,240
5.250%, 10/01/13 955 996
Nabisco
7.550%, 06/15/15 4,865 6,008
6.375%, 02/01/05 4,130 4,275
Philip Morris Capital
7.500%, 07/16/09 1,750 1,953
RJ Reynolds Tobacco Holdings,
Ser B (K)
7.750%, 05/15/06 7,230 7,682
Sara Lee
6.250%, 09/15/11 2,045 2,327
Secured Finance
9.050%, 12/15/04 2,505 2,616
----------
58,513
----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 47
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ENERGY -- 1.6%
Alberta Energy
7.375%, 11/01/31 $ 685 $ 839
Amerada Hess
7.300%, 08/15/31 1,880 2,008
Anadarko Finance, Ser B
7.500%, 05/01/31 1,350 1,634
6.750%, 05/01/11 2,510 2,928
Anderson Exploration
6.750%, 03/15/11 1,245 1,409
Apache
6.250%, 04/15/12 1,565 1,798
Centerpoint Energy Resources, Ser B
7.875%, 04/01/13 1,080 1,250
Conoco Funding
7.250%, 10/15/31 530 644
6.950%, 04/15/29 7,080 8,248
6.350%, 10/15/11 (K) 5,530 6,347
ConocoPhillips
7.000%, 03/30/29 420 490
5.900%, 10/15/32 10 10
4.750%, 10/15/12 1,670 1,722
Consolidated Natural Gas, Ser A
5.000%, 03/01/14 650 661
Devon Energy
7.950%, 04/15/32 2,425 3,005
Devon Financing
7.875%, 09/30/31 445 548
6.875%, 09/30/11 10 12
Duke Capital
6.250%, 02/15/13 935 1,003
El Paso
6.950%, 06/01/28 6,750 5,012
El Paso MTN (K)
7.800%, 08/01/31 2,280 1,830
7.750%, 01/15/32 5,075 4,073
Enbridge Energy Partners
4.000%, 01/15/09 885 905
Encana
4.750%, 10/15/13 925 941
Pemex Project Funding Master Trust
8.625%, 02/01/22 875 1,011
2.650%, 01/07/05 (B) 1,500 1,506
Petroleos Mexicanos
6.500%, 02/01/05 2,065 2,146
Tosco
8.125%, 02/15/30 400 528
Vastar Resources
6.500%, 04/01/09 5,790 6,680
XTO Energy (K)
7.500%, 04/15/12 1,540 1,831
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
YPF Sociedad Anonima MTN, Ser A
7.750%, 08/27/07 $ 5,000 $ 5,475
----------
66,494
----------
FINANCIALS -- 17.0%
American General Capital
8.500%, 07/01/30 600 814
ASIF Global Finance (B) (K)
3.900%, 10/22/08 5,205 5,374
Bank One
7.875%, 08/01/10 7,025 8,588
Bank of America
7.400%, 01/15/11 3,110 3,733
6.250%, 04/15/12 4,915 5,580
5.875%, 02/15/09 1,865 2,082
5.250%, 02/01/07 800 863
5.250%, 12/01/15 780 808
3.875%, 01/15/08 475 492
Barclays Bank PLC (B)
8.550%, 09/29/49 2,950 3,707
Bear Stearns
7.000%, 03/01/07 910 1,024
Belford Funding (A) (L)
1.090%, 02/02/05 28,511 28,511
Blue Heron Funding (A) (L)
1.120%, 02/23/05 28,511 28,511
1.120%, 03/18/05 12,830 12,830
Boeing Capital
6.500%, 02/15/12 465 524
6.100%, 03/01/11 890 989
5.800%, 01/15/13 425 460
CA Preferred Fund Trust
7.000%, 01/29/49 1,000 1,052
CCN Bluegrass (A) (L)
1.160%, 02/18/05 21,383 21,383
CIT Group (A) (L)
1.900%, 04/08/04 16,821 16,822
1.763%, 05/03/04 2,851 2,851
1.200%, 12/01/04 17,106 17,106
Capital One Bank
6.700%, 05/15/08 1,830 2,050
5.750%, 09/15/10 590 639
4.875%, 05/15/08 5,699 6,005
Chase Capital, Ser B (A)
1.631%, 02/01/27 1,000 948
Citicorp
7.200%, 06/15/07 1,200 1,364
Citigroup
7.250%, 10/01/10 2,770 3,299
6.500%, 01/18/11 920 1,062
6.000%, 02/21/12 1,060 1,193
6.000%, 10/31/33 2,925 3,037
- --------------------------------------------------------------------------------
48 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
5.875%, 02/22/33 $ 2,450 $ 2,503
5.750%, 05/10/06 2,400 2,587
5.625%, 08/27/12 2,115 2,314
5.500%, 08/09/06 1,210 1,304
5.000%, 03/06/07 1,215 1,304
3.625%, 02/09/09 290 295
3.500%, 02/01/08 1,475 1,509
1.460%, 05/04/04 (A) (L) 6,672 6,674
Citigroup Global Markets
6.500%, 02/15/08 820 926
Colonial Realty MTN
6.980%, 09/26/05 7,200 7,716
Commodore (A) (L)
1.270%, 12/12/38 8,553 8,553
Countrywide Home Loan MTN, Ser L
2.875%, 02/15/07 3,320 3,347
Countrywide Home Loans (A) (L)
1.270%, 05/14/04 7,128 7,127
1.235%, 09/24/04 9,979 9,979
1.200%, 02/23/05 8,268 8,267
1.190%, 01/18/05 14,255 14,254
Credit Suisse First Boston
3.875%, 01/15/09 1,365 1,397
Credit Suisse First Boston USA
6.125%, 11/15/11 820 916
4.625%, 01/15/08 2,800 2,966
Dryden Investor Trust (B) (J)
7.157%, 07/23/08 6,105 6,644
Duke Funding (A) (L)
1.180%, 04/08/05 14,255 14,255
EOP Operating
4.750%, 03/15/14 4,210 4,150
Equity One
3.875%, 04/15/09 580 577
Farmers Exchange Capital (B)
7.200%, 07/15/48 1,465 1,454
7.050%, 07/15/28 4,434 4,495
Farmers Insurance Exchange (B) (K)
8.625%, 05/01/24 5,717 6,725
Ford Motor Credit
7.875%, 06/15/10 13,545 15,156
7.375%, 10/28/09 3,285 3,605
6.875%, 02/01/06 3,635 3,866
2.995%, 10/25/04 (A) 1,375 1,384
Ford Motor Credit MTN
9.140%, 12/30/14 1,000 1,048
1.560%, 06/30/05 (A) 1,600 1,592
Freddie Mac (K)
4.125%, 02/24/11 5,475 5,489
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Fund American
5.875%, 05/15/13 $ 450 $ 473
GE Capital Franchise MTN
6.860%, 06/15/07 1,850 2,122
General Electric Capital
3.500%, 05/01/08 770 786
General Electric Capital MTN
2.800%, 01/15/07 13,625 13,788
General Electric Capital MTN, Ser A
6.000%, 06/15/12 1,225 1,369
5.875%, 02/15/12 (K) 4,770 5,293
5.450%, 01/15/13 180 194
3.125%, 04/01/09 1,540 1,532
General Motors Acceptance
8.000%, 11/01/31 (K) 12,030 13,315
7.250%, 03/02/11 4,210 4,673
7.150%, 06/15/15 (G) 8,200 4,059
6.875%, 09/15/11 10,900 11,826
6.125%, 09/15/06 785 839
6.125%, 02/01/07 460 494
Goldman Sachs Group
7.350%, 10/01/09 335 397
6.875%, 01/15/11 3,775 4,386
6.600%, 01/15/12 505 579
6.345%, 02/15/34 2,390 2,457
6.125%, 02/15/33 1,685 1,737
5.150%, 01/15/14 1,670 1,715
1.340%, 05/04/04 (A)(L) 14,255 14,255
HBOS Treasury Services
3.125%, 01/12/07 (B) 1,200 1,225
1.120%, 07/19/04 (A)(L) 3,706 3,707
HSBC Bank USA
4.625%, 04/01/14 4,330 4,294
Harwood (A) (L)
1.150%, 06/21/04 7,128 7,128
Health Care Property Investment
6.000%, 03/01/15 605 653
Healthcare Realty Trust
5.125%, 04/01/14 2,470 2,439
Heller Financial MTN, Ser I
7.125%, 09/28/04 1,010 1,039
Household Finance
8.000%, 07/15/10 3,475 4,257
7.625%, 05/17/32 950 1,187
7.000%, 05/15/12 3,780 4,436
6.750%, 05/15/11 675 780
6.375%, 10/15/11 2,220 2,517
6.375%, 11/27/12 1,160 1,313
5.875%, 02/01/09 1,215 1,347
5.750%, 01/30/07 1,520 1,655
4.125%, 12/15/08 1,700 1,755
1.870%, 04/23/04 (A) (L) 1,426 1,426
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 49
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
JP Morgan Capital Trust II
7.950%, 02/01/27 $ 580 $ 662
JP Morgan Chase
6.750%, 02/01/11 2,590 3,021
6.625%, 03/15/12 4,490 5,164
5.750%, 01/02/13 655 712
5.250%, 05/30/07 400 432
4.000%, 02/01/08 4,540 4,717
3.625%, 05/01/08 (K) 1,740 1,781
3.500%, 03/15/09 1,635 1,646
Korea Development Bank
4.250%, 11/13/07 755 784
Lehman Brothers
8.800%, 03/01/15 1,550 2,034
8.250%, 06/15/07 1,800 2,106
6.500%, 04/15/08 3,920 4,400
Liberty Light US Capital (A) (L)
1.070%, 02/09/05 14,255 14,252
1.060%, 05/17/04 8,553 8,553
1.060%, 01/14/05 14,255 14,255
Loew's
7.000%, 10/15/23 850 861
Merrill Lynch
7.430%, 09/01/22 61 66
4.125%, 01/15/09 745 768
1.050%, 04/13/04 (A) (L) 14,255 14,255
Merrill Lynch MTN, Ser B
3.375%, 09/14/07 2,100 2,155
Met Life Global Funding (B)
4.750%, 06/20/07 1,100 1,191
Morgan Stanley
6.750%, 04/15/11 790 913
5.800%, 04/01/07 1,100 1,203
4.750%, 04/01/14 6,090 5,990
3.875%, 01/15/09 4,745 4,844
1.100%, 04/04/05 (A) (L) 5,702 5,702
1.080%, 07/06/04 (A) (L) 14,255 14,255
1.080%, 07/23/04 (A) (L) 14,255 14,255
Nationwide Mutual Insurance (B)
6.600%, 04/15/34 5,794 5,781
Odyssey Re Holdings
7.650%, 11/01/13 4,383 4,931
Orchid Structured Finance (A) (L)
1.220%, 11/18/04 19,816 19,816
PNC Funding
5.250%, 11/15/15 805 833
Pacific Life (B)
6.600%, 09/15/33 615 681
Paragon Mortgages (A) (L)
1.110%, 09/15/04 12,357 12,357
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Pemex Finance (K)
9.030%, 02/15/11 $ 870 $ 1,063
Protective Life MTN
3.700%, 11/24/08 1,800 1,837
RBS Capital Trust B
6.800%, 12/05/49 1,000 1,048
RBS Capital Trust I (A)
4.709%, 12/29/49 520 511
Rabobank Capital (B)
5.260%, 12/29/49 600 622
Rouse
3.625%, 03/15/09 765 758
Royal & Sun
8.950%, 10/15/29 1,100 1,166
Royal Bank of Scotland Group PLC
5.000%, 11/12/13 405 420
Royal Bank of Scotland Group PLC,
Ser 2
8.817%, 03/31/49 5,505 5,877
SLM MTN
5.625%, 08/01/33 710 696
SLM MTN, Cl A
5.000%, 10/01/13 2,355 2,424
Sigma Finance (A) (L)
1.066%, 11/01/04 8,553 8,553
Simon Property Group (B)
3.750%, 01/30/09 1,855 1,884
Tango (A) (L)
1.380%, 08/13/04 14,255 14,255
Toyota Motor Credit
5.500%, 12/15/08 120 133
UBS Preferred Funding Trust I (A)
8.622%, 10/29/49 1,300 1,640
US Bancorp MTN, Ser N
3.950%, 08/23/07 395 412
3.125%, 03/15/08 2,215 2,233
US Bank
2.870%, 02/01/07 3,125 3,154
2.400%, 03/12/07 1,975 1,975
Wachovia
3.625%, 02/17/09 4,690 4,766
Wells Fargo (A)
7.800%, 06/15/10 800 855
Wells Fargo Financial
6.125%, 04/18/12 940 1,058
Zions Bancorporation
6.000%, 09/15/15 905 988
----------
699,230
----------
- --------------------------------------------------------------------------------
50 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
HEALTH CARE -- 0.5%
Bristol-Myers Squibb
6.875%, 08/01/97 $ 680 $ 793
5.750%, 10/01/11 4,530 4,980
GlaxoSmithKline
4.375%, 04/15/14 1,190 1,184
HCA
5.750%, 03/15/14 7,130 7,124
Medco Health Solutions
7.250%, 08/15/13 805 908
Tenet Healthcare (K)
7.375%, 02/01/13 336 303
Wyeth
6.500%, 02/01/34 825 871
5.500%, 02/01/14 2,245 2,354
----------
18,517
----------
INDUSTRIALS -- 3.8%
Air 2 US (B)
8.027%, 10/01/19 4,157 3,773
America West Airlines, Ser 99-1
7.930%, 01/02/19 10,173 11,522
American Airlines, Ser 01-2
7.858%, 10/01/11 3,000 3,076
American Airlines, Ser 99-1 (K)
7.024%, 10/15/09 4,630 4,701
Burlington North Santa Fe
7.290%, 06/01/36 1,560 1,936
6.125%, 03/15/09 25 28
CSX
7.950%, 05/01/27 505 631
Canadian National Railways
7.375%, 10/15/31 1,270 1,573
Caterpillar (A) (L)
1.300%, 04/08/04 8,553 8,554
1.270%, 05/28/04 7,128 7,129
1.240%, 07/09/04 14,255 14,255
Citicorp Lease (B)
7.220%, 06/15/05 5,944 6,313
Continental Airlines, Ser 00-2
7.707%, 04/02/21 2,181 2,214
7.487%, 10/02/10 1,730 1,764
Continental Airlines, Ser 971A
7.461%, 04/01/15 831 810
Continental Airlines, Ser 974A (K)
6.900%, 01/02/18 8,191 8,168
Continental Airlines, Ser 99-1
7.256%, 03/15/20 932 946
Delta Airlines, Ser 02-1, Cl G-1
6.718%, 01/02/23 7,429 8,004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Delta Airlines, Ser 02-1, Cl G-2
6.417%, 07/02/12 $ 3,900 $ 4,201
Delta Airlines, Ser 2001-1, Cl A-2
7.111%, 09/18/11 580 577
Delta Airlines, Ser 2000-1, Cl A2 (K)
7.570%, 11/18/10 2,350 2,340
Eastman Kodak
7.250%, 11/15/13 590 639
Federal Express, Ser A3
8.400%, 03/23/10 600 692
General Electric
5.000%, 02/01/13 1,510 1,581
Litton Industries
7.750%, 03/15/26 950 1,173
Lockheed Martin
8.500%, 12/01/29 4,145 5,559
Northwest Airlines, Ser 2001-1,
Cl A-1
7.041%, 10/01/23 1,872 1,828
Pittney Bowes Credit
5.750%, 08/15/08 7,080 7,861
Raytheon
6.000%, 12/15/10 95 107
5.500%, 11/15/12 55 58
5.375%, 04/01/13 555 581
4.850%, 01/15/11 900 936
4.500%, 11/15/07 700 737
Systems 2001 Asset Trust (B)
6.664%, 09/15/13 1,628 1,830
Tyco International
7.000%, 06/15/28 2,615 2,782
6.875%, 01/15/29 6,310 6,623
6.750%, 02/15/11 2,190 2,439
6.375%, 10/15/11 9,445 10,331
6.000%, 11/15/13 (B) 915 965
US Airways, Ser CLB
7.500%, 04/15/08 2,696 135
United Airlines, Ser 00-2 (H) (J)
7.811%, 10/01/09 982 413
United Airlines, Ser A-3 (H) (J)
8.390%, 01/21/11 1,466 870
United Technology
6.500%, 06/01/09 2,365 2,711
Waste Management
7.375%, 08/01/10 2,480 2,922
7.125%, 12/15/17 8,305 9,603
7.100%, 08/01/26 1,710 1,913
----------
157,804
----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 51
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MATERIALS -- 0.4%
Alcan
5.200%, 01/15/14 $ 1,285 $ 1,348
Dow Chemical (K)
7.375%, 11/01/29 1,920 2,234
International Paper
5.500%, 01/15/14 700 726
MeadWestavaco
6.850%, 04/01/12 1,480 1,662
Sealed Air (B)
6.875%, 07/15/33 3,000 3,259
Weyerhaeuser
6.750%, 03/15/12 5,400 6,100
----------
15,329
----------
REGIONAL AGENCIES -- 1.0%
Aid -- Israel
5.500%, 09/18/23 5,525 5,840
Ontario Providence
3.500%, 09/17/07 1,190 1,229
Quebec Province
7.000%, 01/30/07 5,275 5,948
United Mexican States
11.500%, 05/15/26 10,835 16,686
United Mexican States MTN
6.375%, 01/16/13 1,890 2,047
United Mexican States MTN, Ser A (K)
8.000%, 09/24/22 7,480 8,639
----------
40,389
----------
TELECOMMUNICATION SERVICES -- 1.5%
AT&T
8.750%, 11/15/31 580 684
8.050%, 11/15/11 760 889
AT&T Wireless Services
8.125%, 05/01/12 3,340 4,069
7.350%, 03/01/06 2,536 2,781
British Telecommunications PLC
8.875%, 12/15/30 1,620 2,161
8.375%, 12/15/10 1,865 2,305
Citizens Communications
8.500%, 05/15/06 491 540
Deutsche Telekom International
8.750%, 06/15/30 1,015 1,331
5.250%, 07/22/13 2,925 3,045
France Telecom
8.200%, 03/01/06 1,070 1,182
Intermedia Communications,
Ser B (H) (J)
8.600%, 06/01/08 2,775 2,498
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
New England Telephone & Telegraph
7.875%, 11/15/29 $ 1,825 $ 2,240
New Jersey Bell Telephone
7.850%, 11/15/29 1,135 1,395
SBC Communications (K)
5.875%, 08/15/12 1,875 2,045
Sprint Capital
8.750%, 03/15/32 320 404
8.375%, 03/15/12 1,595 1,942
7.625%, 01/30/11 3,125 3,649
6.875%, 11/15/28 5,850 6,075
6.375%, 05/01/09 1,155 1,286
6.000%, 01/15/07 1,450 1,575
Telecom Italia Capital (B)
5.250%, 11/15/13 2,700 2,784
Verizon Global Funding
7.750%, 12/01/30 575 699
6.875%, 06/15/12 9,145 10,565
Verizon Maryland, Ser A
6.125%, 03/01/12 910 1,005
Verizon New Jersey, Ser A
5.875%, 01/17/12 825 899
Verizon Pennsylvania, Ser A
5.650%, 11/15/11 525 565
Vodafone Group PLC
6.250%, 11/30/32 1,455 1,553
Worldcom (B) (H) (K)
7.375%, 01/15/49 1,000 320
----------
60,486
----------
UTILITIES -- 2.3%
American Electric Power
5.250%, 06/01/15 745 758
American Electric Power, Ser C
5.375%, 03/15/10 444 476
Arizona Public Services
8.000%, 12/30/15 3,740 4,390
Conectiv MTN, Ser A
6.730%, 06/01/06 3,220 3,315
Dominion Resources
5.700%, 09/17/12 3,720 4,007
4.125%, 02/15/08 810 840
Dominion Resources, Ser D
5.125%, 12/15/09 900 959
Duke Energy
5.625%, 11/30/12 730 775
El Paso Electric, Ser E
9.400%, 05/01/11 3,700 4,334
Exelon
6.750%, 05/01/11 410 469
FPL Energy (B)
6.639%, 06/20/23 7,600 8,123
- --------------------------------------------------------------------------------
52 EI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FirstEnergy, Ser A
5.500%, 11/15/06 $ 2,850 $ 3,030
FirstEnergy, Ser B
6.450%, 11/15/11 1,100 1,204
FirstEnergy, Ser C
7.375%, 11/15/31 6,205 6,917
Hydro-Quebec, Ser HY
8.400%, 01/15/22 1,760 2,411
Hydro-Quebec, Ser JL
6.300%, 05/11/11 2,200 2,542
Kinder Morgan
7.300%, 08/15/33 665 768
Ohio Edison
5.450%, 05/01/15 275 280
Oncor Electric Delivery
6.375%, 01/15/15 660 740
Ontario Electricity Financial
6.100%, 01/30/08 1,145 1,285
Pacific Gas & Electric
6.050%, 03/01/34 3,080 3,115
3.600%, 03/01/09 375 377
1.810%, 04/03/06 (A) 10,220 10,224
Pinnacle West Capital (A)
1.931%, 11/01/05 3,780 3,782
Power Contract (B)
5.200%, 02/01/06 6,452 6,588
Progress Energy
7.750%, 03/01/31 560 677
Public Service
7.875%, 10/01/12 505 630
SP Powerassets (B)
5.000%, 10/22/13 900 927
Sonat
7.625%, 07/15/11 2,850 2,472
Southern California Edison
8.000%, 02/15/07 1,805 2,071
6.000%, 01/15/34 375 385
5.750%, 04/01/35 1,300 1,286
TXU Energy
7.000%, 03/15/13 780 894
Virginia Electric & Power, Ser A
5.750%, 03/31/06 2,400 2,571
Williams
8.750%, 03/15/32 4,340 4,600
7.750%, 06/15/31 1,880 1,852
6.250%, 02/01/06 1,130 1,168
Williams, Ser A
7.500%, 01/15/31 1,490 1,438
----------
92,680
----------
Total Corporate Obligations
(Cost $1,268,339) ($ Thousands) 1,327,295
----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 28.2%
FHLMC
9.000%, 12/01/05 $ 13 $ 14
7.500%, 11/01/29 to 09/01/32 11,431 12,299
7.000%, 06/01/15 to 06/01/32 13,489 14,289
6.500%, 08/01/08 to 01/01/33 17,308 18,360
6.000%, 12/01/12 to 02/01/34 42,944 44,841
5.500%, 07/01/11 to 04/25/34 43,936 45,511
5.000%, 12/01/10 to 10/01/33 195,988 197,581
4.000%, 05/01/18 to 10/01/33 4,016 3,785
FHLMC TBA
8.000%, 04/01/31 1,000 1,080
7.000%, 04/01/17 4,500 4,805
6.500%, 04/01/31 to 04/15/34 2,800 2,942
6.000%, 04/01/16 to 04/20/19 4,535 4,776
5.500%, 04/20/19 to 04/15/33 22,800 23,755
5.000%, 04/01/34 11,135 11,183
4.500%, 05/01/19 74,200 74,919
FNMA
9.000%, 07/01/07 3 3
8.000%, 02/01/13 to 04/15/34 891 948
7.500%, 11/01/29 to 12/01/31 21 23
7.000%, 12/01/07 to 07/01/32 17,160 18,212
6.500%, 02/01/13 to 01/01/34 27,010 28,504
6.000%, 02/01/13 to 12/01/33 28,040 29,294
5.500%, 12/01/13 to 03/01/34 32,885 33,903
5.000%, 01/01/14 to 01/01/34 35,038 35,263
4.000%, 10/01/16 to 10/01/18 5,866 5,832
FNMA TBA
7.500%, 04/01/31 1,200 1,286
6.500%, 04/01/34 to 04/25/34 11,528 12,108
6.000%, 04/16/18 to 04/20/19 32,900 34,627
5.500%, 04/01/18 to 04/01/34 64,500 67,138
5.000%, 04/01/18 to 04/01/34 110,950 112,740
4.500%, 04/01/18 to 04/20/19 36,313 36,687
GNMA
8.500%, 11/15/20 18 20
8.000%, 11/15/29 to 09/15/31 1,506 1,646
7.500%, 03/15/29 to 01/15/32 3,105 3,339
7.000%, 08/15/13 to 11/15/32 4,747 5,067
6.500%, 07/15/14 to 09/15/31 9,414 10,001
6.000%, 03/15/14 to 03/15/32 11,847 12,552
5.500%, 04/15/14 to 07/15/33 10,085 10,506
5.000%, 09/15/33 9,470 9,548
GNMA TBA
6.500%, 04/18/33 to 04/22/34 102,780 108,465
6.000%, 04/15/33 to 04/22/34 38,800 40,510
5.500%, 04/01/33 to 03/20/34 23,584 24,252
5.000%, 04/01/33 42,400 42,691
4.500%, 04/15/34 14,800 14,490
----------
Total U.S. Government Mortgage-Backed
Obligations
(Cost $1,149,181) ($ Thousands) 1,159,795
----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 53
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 19.3%
AUTOMOTIVE -- 2.5%
AESOP Funding, Ser 2003-4A,
Cl A1 (A)
1.320%, 08/20/07 $ 1,900 $ 1,901
AESOP Funding, Ser 1998-1, Cl A
6.140%, 05/20/06 6,500 6,788
ARG Funding, Ser 1999-1A, Cl A3
6.020%, 05/20/05 950 952
Americredit Automobile Receivables
Trust, Ser 2000-B, Cl A4 (A)
1.300%, 04/05/07 7,733 7,735
Americredit Automobile Receivables
Trust, Ser 2002-1, Cl A3
4.230%, 10/06/06 5,228 5,292
Americredit Automobile Receivables
Trust, Ser 2002-A, Cl A3 (A)
1.300%, 10/12/06 8,567 8,570
Americredit Automobile Receivables
Trust, Ser 2003-BX, Cl A2A
1.550%, 11/06/06 1,431 1,433
Capital Auto Receivables Asset Trust,
Ser 2002-1, Cl A3 (A)
1.170%, 07/15/05 2,473 2,474
Capital Auto Receivables Asset Trust,
Ser 2004-1, Cl A3
2.000%, 11/15/07 4,785 4,805
Chase Manhattan Auto Owner Trust,
Ser 2004-A, Cl A3
2.080%, 05/15/08 2,950 2,962
Chesapeake Funding, Ser 2003-1,
Cl A1 (A)
1.350%, 08/07/08 18,000 18,042
DaimlerChrysler Master Owner Trust,
Ser 2002-A, Cl A (A)
1.150%, 05/15/07 5,000 5,003
Drivetime Auto Owner Trust,
Ser 2002-C, Cl A2 (A)
2.200%, 12/17/07 1,580 1,582
Drivetime Auto Owner Trust,
Ser 2003-B, Cl A2
1.347%, 04/17/06 6,413 6,411
Ford Credit Auto Owner Trust,
Ser 2002-A, Cl A3B (A)
1.210%, 01/15/06 7,171 7,174
Ford Credit Auto Owner Trust,
Ser 2002-D, Cl A4B (A)
1.210%, 11/15/06 17,600 17,625
Whole Auto Loan Trust,
Ser 2002-1, Cl A2
1.880%, 06/15/05 5,440 5,447
----------
104,196
----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CREDIT CARDS -- 2.9%
Citibank Credit Card Issuance Trust,
Ser 2000-A1, Cl A3
6.875%, 11/16/09 $ 3,055 $ 3,491
Citibank Credit Card Issuance Trust,
Ser 2001-A5, Cl A5 (A)
1.160%, 06/10/06 12,650 12,651
Citibank Credit Card Issuance Trust,
Ser 2002-A5, Cl A5 (A)
1.150%, 09/17/07 17,700 17,708
Citibank Credit Card Issuance Trust,
Ser 2003-A10, Cl A10
4.750%, 12/10/15 1,090 1,127
Citibank Credit Card Issuance Trust,
Ser 2003-A6, Cl A6
2.900%, 05/17/10 22,915 22,920
Citibank Credit Card Issuance Trust,
Ser 2004-A1, Cl A1
2.550%, 01/20/09 17,325 17,451
Citibank OMNI Master Trust,
Ser 2002-4, Cl A (A)
1.220%, 08/18/09 13,639 13,660
Citibank OMNI Master Trust,
Ser 2002-5, Cl A (A)
1.470%, 11/17/09 6,750 6,758
Metris Master Trust, Ser 2000-1,
Cl A (A)
1.390%, 08/20/08 2,000 1,984
Metris Master Trust, Ser 2000-3,
Cl A (A)
1.350%, 09/21/09 4,640 4,572
Metris Master Trust, Ser 2001-3,
Cl A (A)
1.320%, 07/21/08 4,000 3,990
Metris Master Trust, Ser 2001-4A,
Cl A (A)
1.440%, 08/20/08 8,900 8,876
National City Credit Card Master Trust,
Ser 2000-1, Cl A (A)
1.240%, 08/15/07 6,330 6,342
----------
121,530
----------
MORTGAGE RELATED SECURITIES -- 13.7%
ABN Amro Mortgage, Ser 2002-3,
Cl A4
6.500%, 04/25/17 904 956
ABS Home Equity Loan Trust,
Ser 2001-HE3, Cl A1 (A)
1.360%, 11/15/31 3,869 3,874
ABSC Long Beach, Ser 2000-LB1,
Cl AV (A)
1.350%, 08/21/30 41 40
- --------------------------------------------------------------------------------
54 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
AFC Home Equity Loan Trust,
Ser 1998-1, Cl 1A2 (A)
1.360%, 04/25/28 $ 480 $ 481
AFC Home Equity Loan Trust,
Ser 2000-1, Cl 2A (A)
1.330%, 03/25/30 13,841 13,838
AQ Finance NIM Trust, Ser 2003-N6,
Cl NOTE (A)
1.390%, 05/25/10 1,417 1,417
ARC Net Interest Margin Trust,
Ser 2002-5A, Cl A
7.750%, 07/27/32 74 74
Advanta Mortgage Loan Trust,
Ser 1998-3, Cl A2 (A)
1.390%, 09/25/28 329 329
American Business Financial Services,
Ser 2002-1, Cl A5
6.510%, 12/15/32 2,600 2,833
American Business Financial Services,
Ser 2002-4, Cl A IO (J)
4.000%, 07/15/05 38,024 1,322
Asset Securitization, Ser 1996-D2,
Cl A1
6.920%, 02/14/29 9,878 10,535
Banc of America Funding,
Ser 2003-1, Cl A1
6.000%, 05/20/33 151 154
Bank of America Alternative Loan Trust,
Ser 2003-5, Cl 2A1
5.000%, 07/25/18 8,369 8,645
Bank of America Mortgage Securities,
Ser 2003-1, Cl 2A4
5.000%, 02/25/18 14,346 14,526
BankBoston Home Equity Loan Trust,
Ser 1998-2 Cl A5
6.140%, 02/25/19 479 488
Bear Stearns Asset Backed Securities,
Ser 2000-2, Cl AF3
7.340%, 08/25/30 324 324
Bear Stearns Asset Backed Securities,
Ser 2000-2, Cl M2
8.280%, 08/25/30 8,000 8,727
Bear Stearns Asset Backed Securities,
Ser 2001-A, Cl AI4
6.820%, 02/15/31 4,500 4,661
Bear Stearns Asset Backed Securities,
Ser 2001-A, Cl AI3
5.930%, 06/15/19 3,071 3,087
CDC Mortgage Capital Trust,
Ser 2002-HE3, Cl A (A)
1.580%, 03/25/33 9,059 9,116
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CSFB Securities, Ser 2001-MH29,
Cl A
5.600%, 09/25/31 $ 2,973 $ 3,065
CSFB, Ser 1997-C2, Cl AX IO (A)
1.164%, 01/17/35 41,399 1,345
CSFB, Ser 2001-FL2A, Cl A (A)
1.340%, 09/15/13 4,739 4,738
Chase Commercial Mortgage Securities,
Ser 2000-1, Cl A2
7.757%, 04/15/32 3,580 4,234
Chase Funding Loan Acquisition Trust,
Ser 2003-C1, Cl 2A1 (A)
1.240%, 05/25/24 8,976 8,977
Chase Funding Mortgage Loan,
Ser 2002-1, Cl 2A2 (A)
1.340%, 03/25/32 10,950 10,976
Chase Funding Net Interest Margin,
Ser 2003-C1A, Cl NOTE
6.750%, 03/27/36 1,054 1,056
Commercial Mortgage Pass-Through Certificates,
Ser 2004-LB2A, Cl A4
4.715%, 03/10/39 5,870 5,976
Conseco Finance Home Loan Trust,
Ser 2000-E, Cl M1
8.130%, 08/15/31 2,800 2,854
Conseco Finance Securitization,
Ser 2000-4, Cl A4
7.730%, 04/01/31 6,000 6,140
Conseco Finance Securitization,
Ser 2000-4, Cl A5
7.970%, 05/01/32 4,800 4,080
Conseco Finance Securitizations,
Ser 2000-4, Cl A6
8.310%, 05/01/32 1,500 1,294
Conseco Finance, Ser 2001-A, Cl LIB1
10.300%, 03/15/32 3,975 4,434
Conseco Finance, Ser 2001-C, Cl A4
6.190%, 03/15/30 834 880
Conseco Finance, Ser 2001-D, Cl A5
6.190%, 11/15/32 4,130 4,642
Contimortgage Home Equity Loan,
Ser 1997-1, Cl A9
7.050%, 03/15/28 552 551
Contimortgage Home Equity Loan,
Ser 1997-2, Cl A9
7.090%, 04/15/28 1,033 1,033
Countrywide Alternative Loan Trust,
Ser 2004-2CB, Cl 4A1
5.000%, 03/25/19 5,956 6,089
Countrywide Alternative Loan Trust,
Ser 2004-J1, Cl 1A1
6.000%, 02/25/34 6,746 6,921
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 55
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Equity Loan Trust,
Ser 2001-A, Cl A (A)
1.330%, 04/15/27 $ 7,995 $ 8,005
Criimi Mae Commercial Mortgage,
Ser 1998-C1, Cl A2
7.000%, 06/02/33 14,450 15,865
DLJ Commercial Mortgage,
Ser 1999-CG1, Cl A1B
6.460%, 03/10/32 5,030 5,695
DLJ Commercial Mortgage,
Ser 1999-CG2, Cl A1B
7.300%, 06/10/32 5,525 6,505
EMC Mortgage Loan Trust,
Ser 2002-AA, Cl A1 (A)
1.560%, 05/25/39 7,802 7,848
EQCC Trust, Ser 2002-1, Cl 2A (A)
1.390%, 11/25/31 3,772 3,782
Equity One, Ser 2001-2, Cl AF3
6.132%, 08/25/32 2,891 2,938
Equity One, Ser 2002-2, Cl AF3
5.773%, 10/25/32 12,500 13,185
Equivantage Home Equity Loan Trust,
Ser 1997-2, Cl A3
7.775%, 07/25/28 541 541
FFCA Secured Lending, Ser 1997-1,
Cl IO (A) (J)
0.614%, 02/18/22 6,053 121
FFCA Secured Lending, Ser 1999-1A,
Cl IO (A) (J)
1.710%, 09/18/25 19,540 909
First Union-Lehman Brothers,
1997-C2, Cl IO (A)
1.474%, 11/18/29 6,048 304
Fleet Home Equity Trust, Ser 2001-1,
Cl A (A)
1.300%, 05/20/31 644 643
Fund America Investors, Ser 1993-A,
Cl A2 (A)
6.034%, 06/25/23 845 859
G-WING, Ser 2001-WH1A, Cl B
3.750%, 11/06/11 3,825 3,830
GE Capital Mortgage Services,
Ser 1997-HE3, Cl A6
6.720%, 10/25/27 2,923 2,978
GMAC Commercial Mortgage Securities,
Ser 1998-C1, Cl A2
6.700%, 05/15/30 12,420 14,054
GMAC Commercial Mortgage Securities,
Ser 1999-C2, Cl A2
6.945%, 09/15/33 100 115
GMAC Commercial Mortgage Securities,
Ser 2003-FL1A, Cl A (A)
1.450%, 03/11/15 5,685 5,685
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Goldman Sachs Mortgage Securities,
Ser 1998-1, Cl A
8.000%, 09/19/27 $ 409 $ 450
Goldman Sachs Mortgage Securities,
Ser 1998-2, Cl A
7.750%, 05/19/27 400 439
Goldman Sachs Mortgage Securities,
Ser 1998-C1, Cl A3
6.135%, 10/18/30 4,774 5,223
Goldman Sachs Mortgage Securities,
Ser 1999-3, Cl A
8.000%, 08/19/29 1,461 1,656
GSAMP, Ser 2003-SEA, Cl A1 (A)
1.490%, 02/25/33 14,468 14,530
GSR Mortgage Loan Trust, Ser 2003-13,
Cl 1A1 (A)
4.530%, 10/25/33 11,790 11,893
Green Tree Financial, Ser 1993-4, Cl A5
7.050%, 01/15/19 1,116 1,179
Green Tree Financial, Ser 1996-5, Cl A6
7.750%, 07/15/27 2,791 3,059
Green Tree Financial, Ser 1998-6, Cl A6
6.270%, 06/01/30 1,700 1,771
Green Tree Financial, Ser 1999-1 Cl A4
5.760%, 11/01/18 1,603 1,640
Green Tree Financial, Ser 1999-3, Cl A5
6.160%, 02/01/31 5,624 5,817
Green Tree Recreational Equipment,
Ser 1997-D, Cl A1HE
6.900%, 03/15/29 384 385
Heller Financial Commercial Mortgage,
Ser 1999-PH1, Cl A2
6.847%, 05/15/31 4,200 4,837
Household Home Equity Loan Trust,
Ser 2002-1, Cl M (A)
1.910%, 12/22/31 987 994
Household Home Equity Loan Trust,
Ser 2002-3, Cl A (A)
1.540%, 07/20/32 3,098 3,107
Impac CMB Trust, Ser 2001-1,
Cl A1 (A)
1.370%, 07/25/31 6,628 6,630
Impac CMB Trust, Ser 2002-5,
Cl A1 (A)
1.460%, 07/25/32 12,154 12,188
Impac CMB Trust, Ser 2003-12,
Cl A1 (A)
1.470%, 12/25/33 15,717 15,762
Indymac Home Equity Loan Trust,
Ser 2000-A, Cl AV1 (A)
1.350%, 06/25/31 2,176 2,178
Indymac Home Equity Loan Trust,
Ser 2003-A, Cl AV1 (A)
1.250%, 09/25/19 11,067 11,069
- --------------------------------------------------------------------------------
56 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Istar Asset Receivables Trust,
Ser 2002-1A, Cl A1 (A)
1.350%, 05/28/17 $ 2,342 $ 2,342
JP Morgan Chase Commercial Mortgage,
Ser 2001-CIB2, Cl A3
6.429%, 04/15/35 5,170 5,926
JP Morgan Commercial Mortgage,
Ser 1997-C5, Cl X (A)
1.523%, 09/15/29 7,599 371
Master Alternative Loans Trust,
Ser 2003-5, Cl 7A1
5.000%, 07/25/18 8,623 8,918
Master Asset Securitization Trust,
Ser 2002-6, Cl 2A1
5.750%, 10/25/17 78 80
Merrill Lynch Mortgage Investors,
Ser 1996-C2, Cl A3
6.960%, 11/21/28 5,550 6,051
Merrill Lynch Mortgage Investors,
Ser 2002-NC1, Cl A1 (A)
1.410%, 05/25/33 1,303 1,305
Mesa Trust Asset Backed Certificates,
Ser 2002-3, Cl A IO (A) (J)
5.000%, 04/18/05 11,045 309
Metropolitan Asset Funding,
Ser 1998-A, Cl A4
6.981%, 01/20/26 901 919
Mid-State Trust, Ser 11, Cl A1
4.864%, 07/15/38 8,132 8,190
Money Store SBA Loan Trust,
Ser 1999-1, Cl A (A)
1.800%, 07/15/25 966 959
Morgan Stanley Capital I,
Ser 1998-HF2, Cl A2
6.480%, 11/15/30 4,255 4,804
Morgan Stanley Dean Witter Capital I,
Ser 2002-NC4, Cl A2 (A)
1.490%, 09/25/32 3,505 3,514
Nomura Asset Securities,
Ser 1996-MD5, Cl A1B
7.120%, 04/13/39 6,100 6,642
Nomura Asset Securities,
Ser 1998-D6, Cl A1B
6.590%, 03/15/30 3,910 4,436
Novastar Home,
Ser 1998-2, Cl A2 (A)
1.160%, 08/25/28 1,194 1,194
Oncor Electric Delivery Transition Bond,
Ser 2003-1, Cl A2
4.030%, 02/15/12 5,000 5,193
Option One Mortgage Loan Trust,
Ser 2001-4, Cl A (A)
1.390%, 01/25/32 6,570 6,579
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Residential Accredit Loan,
Ser 1997-QS8, Cl A10
7.500%, 08/25/27 $ 565 $ 564
Residential Asset Mortgage Products,
Ser 2003-RZ4, Cl A1 (A)
1.240%, 06/25/24 9,264 9,268
Residential Asset Mortgage Products,
Ser 2004-SL1, Cl A8
6.500%, 01/25/30 13,500 13,968
Residential Asset Mortgage,
Ser 2002-RS5, Cl AI5
5.410%, 09/25/32 15,000 15,795
Residential Asset Mortgage,
Ser 2002-RS6, Cl AI5
5.650%, 11/25/32 9,000 9,412
Residential Asset Mortgage,
Ser 2003-RS2, Cl AII (A)
1.430%, 03/25/33 1,423 1,426
Residential Funding Mortgage Securities I,
Ser 1999-S6, Cl A1
6.250%, 02/25/14 2,656 2,653
Residential Funding Mortgage Securities,
Ser 1997-HI3, Cl APB
7.180%, 12/25/22 151 151
Residential Funding Mortgage Securities,
Ser 2000-HI1, Cl AI7
8.290%, 02/25/25 13,038 14,037
Saxon Asset Securities,
Ser 1998-4, Cl AF6
6.400%, 01/25/30 2,374 2,392
Saxon Asset Securities,
Ser 1999-1, Cl AF6
6.350%, 02/25/29 5,182 5,279
Structured Asset Investment Loan Trust,
Ser 2003-BC7, Cl 1A1 (A)
1.220%, 07/25/33 13,953 13,950
Structured Asset Investment Loan Trust,
Ser 2003-BC8, Cl 3A1 (A)
1.230%, 08/25/10 3,277 3,277
Structured Asset Securities,
Ser 2002-26, Cl 1A4
5.300%, 01/25/33 12,368 12,402
Structured Asset Securities,
Ser 2002-BC1, Cl A1 (A)
1.590%, 08/25/32 3,028 3,042
WFS Financial Owner Trust,
Ser 2000-C, Cl A4
7.170%, 02/20/08 3,399 3,465
Washington Mutual Mortgage,
Ser 2002-MS12, Cl A
6.500%, 05/25/32 860 876
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 57
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual Mortgage,
Ser 2003-MS1, Cl 1A
5.000%, 02/25/18 $ 5,858 $ 6,126
Wells Fargo, Ser 2002-D, Cl 1A2 (A)
5.719%, 08/25/32 1,457 1,470
Wells Fargo, Ser 2003-3, Cl 1A21
5.250%, 04/25/33 11,680 11,859
----------
562,525
----------
OTHER ASSET-BACKED SECURITIES -- 0.2%
Embarcadero Aircraft, Ser 2000-A,
Cl A1 (A)
1.570%, 08/15/25 7,500 3,600
Tobacco Settlement, Ser 2001-A,
Cl A
6.360%, 05/15/25 2,978 2,949
----------
6,549
----------
Total Asset-Backed Securities
(Cost $795,485) ($ Thousands) 794,800
----------
U.S. TREASURY OBLIGATIONS -- 18.6%
U.S. Treasury Bills (I)
0.960%, 04/15/04 (K) 100,700 100,663
0.920%, 06/24/04 28,800 28,738
U.S. Treasury Bonds
12.000%, 08/15/13 19,976 27,706
10.375%, 11/15/12 (K) 11,970 15,301
8.875%, 08/15/17 (K) 2,780 4,073
8.500%, 02/15/20 (K) 17,225 24,965
8.125%, 08/15/19 (K) 29,470 41,342
8.000%, 11/15/21 (K) 4,500 6,317
7.125%, 02/15/23 8,322 10,819
6.750%, 08/15/26 (K) 21,105 26,685
6.125%, 11/15/27 (K) 39,686 46,820
6.000%, 02/15/26 (K) 19,330 22,411
5.375%, 02/15/31 (K) 85,294 92,970
5.000%, 08/15/11 (K) 21,225 23,388
4.875%, 02/15/12 (K) 45,471 49,636
3.875%, 04/15/29 (E) 34,840 48,068
3.625%, 04/15/28 (E) (K) 11,520 15,180
3.500%, 01/15/11 (E) (K) 12,804 14,933
U.S. Treasury Notes
4.375%, 08/15/12 (K) 4,050 4,269
4.250%, 08/15/13 (K) 295 306
4.000%, 02/15/14 (K) 8,083 8,189
3.375%, 11/15/08 (K) 16,840 17,352
3.125%, 10/15/08 (K) 3,890 3,970
3.125%, 09/15/08 600 613
3.000%, 11/15/07 700 718
3.000%, 07/15/12 (E) 12,163 13,845
2.625%, 03/15/09 (K) 18,421 18,289
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
2.250%, 02/15/07 (K) $ 5,905 $ 5,955
1.875%, 07/15/13 (E) (K) 7,274 7,578
1.500%, 03/31/06 62,374 62,276
U.S. Treasury STRIPS (I)
5.970%, 11/15/21 (K) 43,310 17,800
5.860%, 08/15/28 (K) 7,665 2,178
5.320%, 11/15/27 240 71
5.140%, 05/15/30 460 121
----------
Total U.S. Treasury Obligations
(Cost $728,951) ($ Thousands) 763,545
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 15.1%
FFCB (I)
0.970%, 04/06/04 2,850 2,850
FHLB
4.500%, 09/16/13 1,880 1,923
3.625%, 11/14/08 40 41
1.010%, 04/05/04 (I) 17,100 17,098
1.000%, 04/20/04 to 04/28/04 (I) 96,750 96,683
0.980%, 04/02/04 (I) 24,045 24,044
0.980%, 04/07/04 (I) (K) 47,200 47,192
0.970%, 04/06/04 (I) 8,800 8,799
FHLMC
7.000%, 03/15/10 (K) 4,075 4,849
6.875%, 09/15/10 (K) 1,415 1,681
6.625%, 09/15/09 560 652
4.750%, 12/08/10 1,600 1,645
4.625%, 05/28/13 (K) 3,750 3,763
4.500%, 12/16/10 (K) 24,245 24,707
4.375%, 02/04/10 (K) 5,835 5,924
3.875%, 11/10/08 (K) 21,375 21,947
3.625%, 09/15/08 (K) 5,680 5,851
3.500%, 04/01/08 (K) 5,050 5,101
3.375%, 04/15/09 660 668
2.000%, 11/18/05 (D) 11,496 11,540
FHLMC CMO, Ser 1, Cl Z
9.300%, 04/15/19 477 477
FHLMC CMO, Ser 1005, Cl D
6.500%, 10/15/05 34 34
FHLMC CMO, Ser 1081, Cl K
7.000%, 05/15/21 843 846
FHLMC CMO, Ser 1101, Cl M
6.950%, 07/15/21 1,589 1,595
FHLMC CMO, Ser 2277, Cl B
7.500%, 01/15/31 3,593 3,669
FHLMC CMO, Ser 2332, Cl ZH
7.000%, 07/15/31 13,299 13,899
FHLMC CMO, Ser 2544, Cl IW, IO
5.500%, 03/15/26 7,039 854
FHLMC, Ser 1611, Cl Z
6.500%, 11/15/23 11,235 12,208
FHLMC, Ser 1683, Cl D
6.500%, 05/15/21 1,364 1,366
- --------------------------------------------------------------------------------
58 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC, Ser 1983, Cl Z
6.500%, 12/15/23 $ 4,907 $ 4,936
FHLMC, Ser 2043, Cl CJ
6.500%, 04/15/28 11,562 12,160
FHLMC, Ser 2389, Cl CD
6.000%, 03/15/16 11,518 12,054
FHLMC, Ser 2480, Cl QJ
6.000%, 02/15/30 6,479 6,607
FHLMC, Ser 2545, Cl HT
4.500%, 04/15/18 1,373 1,386
FHLMC, Ser 2579, Cl PI, IO
5.500%, 03/15/27 10,275 666
FHLMC, Ser 2621, Cl LJ, IO
5.500%, 12/15/26 4,240 456
FHLMC, Ser 2625, Cl IO, IO
5.000%, 12/15/31 4,342 677
FHLMC, Ser 2631, Cl IJ, IO
5.000%, 10/15/26 3,780 663
FHLMC, Ser 2718, Cl PB
5.500%, 09/15/27 6,533 6,848
FHLMC, Ser 2733, Cl ME
5.000%, 01/15/34 5,995 5,626
FHLMC, Ser 2744, Cl VD
5.500%, 02/15/26 577 595
FHLMC, Ser 2764, Cl PC
5.500%, 12/15/27 1,425 1,497
FNMA
7.125%, 06/15/10 (K) 9,685 11,634
6.625%, 09/15/09 (K) 3,100 3,615
6.125%, 03/15/12 (K) 9,600 11,017
5.750%, 02/15/08 (K) 19,870 22,087
5.250%, 04/15/07 (K) 11,150 12,114
5.000%, 11/01/13 7,008 7,251
1.750%, 06/16/06 (K) 1,980 1,969
1.025%, 09/08/04 (C) (I) 4,460 4,440
1.010%, 04/05/04 (I) 25,660 25,657
0.990%, 05/05/04 (I) 8,696 8,688
0.980%, 04/06/04 (I) 19,230 19,227
0.970%, 04/28/04 (I) 10,370 10,362
0.950%, 04/02/04 (I) (K) 12,625 12,625
FNMA CMO, Ser 1990-58, Cl J
7.000%, 05/25/20 817 881
FNMA CMO, Ser 1990-93, Cl G
5.500%, 08/25/20 438 455
FNMA CMO, Ser 1991-156, Cl A
7.500%, 10/25/21 78 79
FNMA CMO, Ser 1996-45, Cl K
7.000%, 09/25/21 489 530
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29 9,252 9,522
FNMA CMO, Ser 1999-T2, Cl A1
7.500%, 01/19/39 894 983
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA CMO, Ser 2001-T2, Cl B
6.022%, 11/25/10 $ 4,500 $ 5,035
FNMA CMO, Ser 2002-65, Cl TP
7.000%, 03/25/31 3,464 3,579
FNMA CMO, Ser 2003-16, Cl KA
6.000%, 04/25/30 2,252 2,289
FNMA CMO, Ser G92-30, Cl Z
7.000%, 06/25/22 841 900
FNMA STRIPS, Ser 329, Cl 1, PO (I)
6.680%, 01/01/33 6,510 5,459
FNMA STRIPS, Ser 333, Cl 1, PO (I)
5.000%, 03/01/33 8,970 7,444
FNMA STRIPS, Ser 334, Cl 3, IO
5.500%, 02/01/33 6,647 1,139
FNMA STRIPS, Ser 339, Cl 8, IO
5.500%, 07/01/33 9,191 1,640
FNMA, Ser 2002-22, Cl PE
6.500%, 11/25/30 8,014 8,176
FNMA, Ser 2002-87, Cl PY
3.920%, 09/25/27 1,753 1,765
FNMA, Ser 2002-94, Cl BJ, IO
5.500%, 04/25/16 3,293 274
FNMA, Ser 2003-17, Cl PQ
4.500%, 03/25/16 1,395 1,415
FNMA, Ser 2003-32, Cl KA
5.000%, 07/25/13 2,541 2,603
FNMA, Ser 2003-41, Cl YN
4.000%, 05/25/17 3,413 3,477
FNMA, Ser 2003-87, Cl TJ
4.500%, 09/25/18 3,200 3,127
FNMA, Ser 332, Cl 2, IO
6.000%, 02/01/33 1,482 254
FNMA, Ser 342, Cl 2, IO
6.000%, 09/01/33 7,878 1,281
GNMA CMO, Ser 2001-18, Cl WH (A)
27.580%, 04/20/31 1,750 2,170
GNMA CMO, Ser 2002-51, Cl SG (A)
27.776%, 04/20/31 1,528 1,858
GNMA, Ser 2003-58, Cl LG, IO
5.500%, 05/17/29 4,036 932
GNMA, Ser 2003-86, Cl LC, IO
5.500%, 10/20/27 12,170 1,465
SLMA
3.050%, 04/01/09 5,460 5,494
SLMA, Ser 2003-3, Cl A2 (A)
1.130%, 06/15/10 5,834 5,834
Small Business Administration,
Ser 2003-P10A, Cl 1 (A)
4.524%, 02/10/13 7,479 7,546
TVA
7.125%, 05/01/30 4,950 6,262
----------
Total U.S. Government Agency Obligations
(Cost $616,319) ($ Thousands) 620,631
----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 59
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Concluded)
March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (I) -- 7.8%
FINANCIALS -- 7.8%
Amsterdam Funding (L)
1.051%, 05/17/04 $ 22,809 $ 22,778
Bear Sterns
1.010%, 04/20/04 19,785 19,775
Beethoven Funding (L)
1.105%, 08/26/04 6,528 6,499
Bradford &Bingley (L)
1.186%, 09/10/04 14,255 14,180
1.185%, 08/17/04 9,409 9,366
CRE Funding (L)
1.090%, 04/07/04 5,702 5,701
Credit Suisse First Boston
1.040%, 04/29/04 19,785 19,769
Ford Motor Credit
1.920%, 08/17/04 3,899 3,884
General Electric Capital
1.090%, 04/07/04 13,490 13,488
Grampian Funding (L)
1.150%, 04/14/04 14,255 14,249
Household Finance
1.000%, 04/13/04 8,135 8,132
Mitten (L)
1.041%, 04/22/04 14,255 14,246
Moat Funding (L)
1.150%, 04/06/04 21,383 21,380
National Rural Utility
1.030%, 04/07/04 10,880 10,878
Park Granada (L)
1.064%, 07/30/04 27,085 26,990
1.063%, 07/15/04 14,255 14,211
Rhineland Funding (L)
1.102%, 05/25/04 11,404 11,385
1.101%, 04/26/04 11,439 11,430
1.093%, 06/23/04 9,774 9,750
1.080%, 04/08/04 4,206 4,205
1.080%, 04/16/04 7,363 7,360
Tannehill Capital (L)
1.172%, 05/19/04 14,255 14,233
Tulip Funding (L)
1.060%, 04/01/04 37,064 37,064
----------
Total Commercial Paper
(Cost $320,968) ($ Thousands) 320,953
----------
- --------------------------------------------------------------------------------
Shares/Contracts/Face Market Value
Description Amount ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MUNICIPAL BONDS -- 0.1%
California State, Department of Water,
Ser E, RB
3.975%, 05/01/05 $ 1,750 $ 1,789
Los Angeles County, California
Taxable Pension Obligation,
Ser D, RB, MBIA (G)
7.725%, 06/30/10 3,850 3,003
----------
Total Municipal Bonds
(Cost $4,147) ($ Thousands) 4,792
----------
OPTIONS -- 0.0%
June 2004 Ten Year Treasury Note
Call, Expires 05/21/04,
Strike Price $119 163 30
----------
Total Options
(Cost $54) ($ Thousands) 30
----------
CASH EQUIVALENTS -- 3.2%
AIM Investco Treasurer's Money
Market Reserve Fund (L) 7,127,689 7,128
Bear Stearns Master Notes (L) 28,510,756 28,511
Evergreen Select Money
Market Fund 656,736 657
SEI Daily Income Trust, Prime
Obligation Fund, Cl A+ 95,236,441 95,236
----------
Total Cash Equivalents
(Cost $131,532) ($ Thousands) 131,532
----------
REPURCHASE AGREEMENTS -- 10.9%
Deutsche Bank (L)
1.060%, dated 03/31/04, to be
repurchased on 04/01/04,
repurchase price $69,055,941
(collateralized by U.S. Government
Agency obligations, total market
value: $70,435,238) 69,054 69,054
Lehman Brothers (L)
1.060%, dated 03/31/04, to be
repurchased on 04/01/04,
repurchase price $89,811,527
(collateralized by U.S. Government
Agency obligations, total market
value: $91,605,462) 89,809 89,809
- --------------------------------------------------------------------------------
60 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Contracts/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch
1.050% dated 03/31/04, to be
repurchased on 04/01/04,
repurchase price $291,008,488
(collateralized by U.S. Government Agency
obligations, total market
value: $296,820,000) $291,000 $ 291,000
----------
Total Repurchase Agreements
(Cost $449,863) ($ Thousands) 449,863
----------
Total Investments -- 135.5%
(Cost $5,464,839) ($ Thousands) $5,573,236
==========
WRITTEN OPTIONS -- (0.1)%
August 2004 Ten Year Treasury Note
Put, Expires 08/30/04,
Strike Price $107 (250) (133)
August 2004 Treasury Bond Future
Put CBT, Expires 08/27/04,
Strike Price $108 (46) (77)
FNMA 30 Year Call, Expires 05/06/04,
Strike Price $99.578125 (96) (91)
June 2004 Ten Year Treasury Note
Call, Expires 05/21/04,
Strike Price $114 (482) (1,062)
June 2004 Ten Year Treasury Note
Put, Expires 05/21/04,
Strike Price $108 (256) (20)
June 2004 Ten Year Treasury Note
Put, Expires 05/21/04,
Strike Price $109 (189) (24)
June 2004 Ten Year Treasury Note
Put, Expires 05/21/04,
Strike Price $112 (120) (47)
June 2004 Ten Year Treasury Note
Put, Expires 05/21/04,
Strike Price $113 (99) (56)
June 2004 Treasury Bond Future
Put CBT, Expires 05/21/04,
Strike Price $105 (190) (36)
May 2004 Treasury Bond Future
Call CBT, Expires 04/23/04,
Strike Price $117 (248) (62)
September 2004 Ten Year Treasury Note
Call, Expires 08/27/04,
Strike Price $117 (250) (293)
September 2004 Treasury Bond Future
Put CBT, Expires 08/27/04,
Strike Price $107 (310) (450)
----------
Total Written Options
(Cost $(2,437)) ($ Thousands) $ (2,351)
==========
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $4,115,018,603.
+ See Note 3 in Notes to Financial Statements.
(A) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of March 31, 2004.
(B) Security sold within the terms of a private placement memorandum, exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(C) Security, or portion thereof, has been pledged as collateral on open futures
contracts. The rate reported is the effective yield at time of purchase.
(D) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on March 31, 2004. The coupon on a step bond changes on a
specified date.
(E) Treasury Inflation Index Notes
(F) Security fair valued using methods determined in good faith by the Valuation
Committee of the Board of Trustees. The total value of such security as of
March 31, 2004 was $245,136.
(G) Zero-coupon security. The rate reported is the effective yield at the date
of purchase.
(H) Security in default on interest payments.
(I) The rate reported is the effective yield at time of purchase.
(J) Securities considered illiquid. The total value of such securities as of
March 31, 2004 was $13,331,309.
(K) This security or a partial position of this security is on loan at March 31,
2004 (see Note 7). The total value of securities on loan at March 31, 2004
was $804,920,510.
(L) This security was purchased with cash collateral held from securities
lending (see Note 7). The total value of such securities as of March 31,
2004 was $833,614,189.
CBT -- Chicago Board of Trade
Cl -- Class
CMO -- Collateralized Mortgage Obligation
FFCA -- Franchise Finance Corporation of America
FFCB -- Federal Farm Credit Bank
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only Security
LLC -- Limited Liability Company
MBIA -- Municipal Bond Insurance Association
MTN -- Medium Term Note
Ser -- Series
PLC -- Public Limited Company
PO -- Principal Only Security
RB -- Revenue Bond
SBA -- Small Business Administration
SLMA -- Student Loan Marketing Association
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
TVA -- Tennessee Valley Authority
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 61
STATEMENT OF NET ASSETS (Unaudited)
High Yield Bond Fund
March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 97.8%
CONSUMER DISCRETIONARY -- 32.3%
AMC Entertainment (A)
8.000%, 03/01/14 $ 2,375 $ 2,357
AMF Bowling Worldwide (A)
10.000%, 03/01/10 2,075 2,148
Advanced Accessory Systems
10.750%, 06/15/11 1,875 1,950
Alderwoods Group
12.250%, 01/02/09 3,888 4,355
American Achievement (A)
8.250%, 04/01/12 525 539
American Casino & Entertainment (A)
7.850%, 02/01/12 250 250
American Tower Escrow (E)
10.310%, 08/01/08 1,475 1,036
Ameristar Casinos
10.750%, 02/15/09 2,100 2,428
Amscan Holdings
9.875%, 12/15/07 500 517
Argosy Gaming (A)
7.000%, 01/15/14 50 52
Asbury Automotive
9.000%, 06/15/12 5,600 5,992
8.000%, 03/15/14 (A) 1,300 1,300
Associated Materials (A) (B)
11.250%, 03/01/14 4,780 2,904
Avalon Cable (B)
10.528%, 12/01/08 630 665
Bally Total Fitness
10.500%, 07/15/11 2,235 2,101
Beazer Homes
8.625%, 05/15/11 3,000 3,352
Boyd Gaming (A)
6.750%, 04/15/14 2,850 2,850
Broder Brothers (A)
11.250%, 10/15/10 2,000 2,000
Buhrmann US
12.250%, 11/01/09 3,500 3,850
CCO Holdings LLC (A)
8.750%, 11/15/13 1,670 1,703
CSC Holdings
7.250%, 07/15/08 4,815 5,080
6.750%, 04/15/12 (A) 825 825
CSC Holdings, Ser B
7.625%, 04/01/11 2,250 2,374
Cablevision Systems (A)
8.000%, 04/15/12 625 625
5.660%, 04/01/09 (D) 1,550 1,550
Central Garden & Pet
9.125%, 02/01/13 4,915 5,493
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Charter Communications Holdings
13.478%, 01/15/11 (B) $ 1,750 $ 1,251
10.750%, 10/01/09 6,845 5,989
10.250%, 09/15/10 (A) 5,500 5,665
10.000%, 04/01/09 900 769
9.625%, 11/15/09 1,075 908
Chumash Casino & Resort (A)
9.000%, 07/15/10 1,495 1,652
Cinemark (A) (B)
9.750%, 03/15/14 2,625 1,627
Collins & Aikman Floorcovering, Ser B
9.750%, 02/15/10 1,350 1,444
Collins & Aikman Products
11.500%, 04/15/06 4,375 4,298
10.750%, 12/31/11 2,000 2,055
DR Horton
9.750%, 09/15/10 2,500 3,062
9.375%, 03/15/11 1,000 1,140
Dana
7.000%, 03/01/29 2,000 1,995
Dayton Superior (A)
10.750%, 09/15/08 3,000 3,090
Delco Remy International
11.000%, 05/01/09 2,500 2,675
Denny's
11.250%, 01/15/08 1,700 1,538
Dex Media (A)
9.875%, 08/15/13 2,135 2,370
8.619%, 11/15/13 (B)(G) 3,450 2,208
8.439%, 11/15/13 (B) 2,600 1,664
8.000%, 11/15/13 4,100 4,069
Dex Media East
12.125%, 11/15/12 3,350 3,911
Dura Operating, Ser B
8.625%, 04/15/12 275 293
Equinox Holdings (A)
9.000%, 12/15/09 1,175 1,237
Erico International (A)
8.875%, 03/01/12 350 367
Fedders North America (A)
9.875%, 03/01/14 2,000 1,942
Granite Broadcasting (A)
9.750%, 12/01/10 4,750 4,584
Group 1 Automotive
8.250%, 08/15/13 1,000 1,100
Hollywood Casino Shreveport (C) (G)
13.000%, 08/01/06 2,725 1,935
Hollywood Entertainment
9.625%, 03/15/11 2,910 3,376
Home Interior & Gifts
10.125%, 06/01/08 1,750 1,772
- --------------------------------------------------------------------------------
62 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Houghton Mifflin
11.500%, 10/15/13 (A) (B) (G) $ 675 $ 364
9.875%, 02/01/13 2,500 2,581
IMAX (A)
9.625%, 12/01/10 3,750 3,900
Inn of The Mountain Gods (A)
12.000%, 11/15/10 1,200 1,299
Interline Brands
11.500%, 05/15/11 1,950 2,106
Intrawest
10.500%, 02/01/10 4,750 5,207
Isle of Capri Casinos (A)
7.000%, 03/01/14 3,135 3,151
Jacobs Entertainment
11.875%, 02/01/09 2,225 2,414
Jacuzzi Brands
9.625%, 07/01/10 1,850 2,044
Jo-Ann Stores (A)
7.500%, 03/01/12 425 432
Jostens Holding (B)
10.250%, 12/01/13 1,600 1,048
Juno Lighting
11.875%, 07/01/09 925 992
K. Hovnanian Enterprises
7.750%, 05/15/13 (G) 25 27
6.375%, 12/15/14 (A) 1,255 1,264
Keystone Automotive Operator (A)
9.750%, 11/01/13 300 328
LBI Media (B)
11.000%, 10/15/13 1,300 912
Mail Well (A)
7.875%, 12/01/13 6,300 5,954
Mediacom Broadband LLC
11.000%, 07/15/13 1,000 1,070
Mediacom LLC
9.500%, 01/15/13 3,640 3,604
MediaNews Group (A)
6.875%, 10/01/13 750 771
6.375%, 04/01/14 1,100 1,100
Metaldyne
11.000%, 06/15/12 1,000 895
Mohegan Tribal Gaming
8.000%, 04/01/12 4,500 4,973
Muzak LLC
10.000%, 02/15/09 2,500 2,591
9.875%, 03/15/09 4,935 4,756
Nationsrent (A)
9.500%, 10/15/10 9,335 10,093
Nebraska Book (A)
8.625%, 03/15/12 925 953
Nexstar Finance (A)
7.000%, 01/15/14 325 322
Nexstar Holdings LLC (B)
11.269%, 04/01/13 2,575 1,893
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Nextmedia Operating (G)
10.750%, 07/01/11 $ 4,500 $ 5,040
Nortek Holdings (A) (B)
10.000%, 05/15/11 5,345 4,062
North American Energy Partner (A)
8.750%, 12/01/11 1,425 1,425
O'Charleys (A)
9.000%, 11/01/13 1,225 1,280
ONO Finance PLC
14.000%, 02/15/11 4,000 4,370
13.000%, 05/01/09 1,910 2,025
PLY Gem Industries (A)
9.000%, 02/15/12 1,200 1,206
Pantry (A)
7.750%, 02/15/14 675 677
Paxson Communications (B)
11.835%, 01/15/09 4,725 4,016
Penn National Gaming
8.875%, 03/15/10 1,045 1,139
Perry Ellis International, Ser B
8.875%, 09/15/13 1,500 1,560
Petro Stopping (A)
9.000%, 02/15/12 850 876
Phillips Van-Heusen
8.125%, 05/01/13 325 350
7.250%, 02/15/11 (A) 150 155
Pinnacle Entertainment
8.750%, 10/01/13 (G) 7,225 7,351
8.250%, 03/15/12 (A) 4,000 3,900
Pinnacle Entertainment, Ser B
9.250%, 02/15/07 400 410
Premier (A)
10.750%, 02/01/12 3,430 3,704
Prime Hospitality, Ser B
8.375%, 05/01/12 1,150 1,213
Primedia (G)
8.875%, 05/15/11 1,400 1,435
Quebecor Media (G)
11.125%, 07/15/11 3,575 4,102
RH Donnelley
10.875%, 12/15/12 (A) 3,025 3,607
10.875%, 12/15/12 (G) 3,400 4,055
Rexnord
10.125%, 12/15/12 300 329
Rite Aid (A)
6.875%, 12/15/28 1,500 1,245
River Rock Entertainment (A)
9.750%, 11/01/11 2,025 2,187
Rogers Cable
7.875%, 05/01/12 1,225 1,390
Scotts (A)
6.625%, 11/15/13 1,250 1,325
Service (A)
6.750%, 04/01/16 775 779
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 63
STATEMENT OF NET ASSETS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Simmons (A)
7.875%, 01/15/14 $ 750 $ 752
Sinclair Broadcast Group (A) (B)
3.647%, 07/15/18 850 865
Sonic Automotive, Ser B
8.625%, 08/15/13 500 543
Spanish Broadcasting
9.625%, 11/01/09 4,785 5,066
Star Gas Partner (A)
10.250%, 02/15/13 125 139
Station Casinos (A)
6.875%, 03/01/16 3,325 3,416
Suburban Propane (A)
6.875%, 12/15/13 1,325 1,378
Sun Media
7.625%, 02/15/13 1,550 1,686
Tech Olympic USA (A)
7.500%, 03/15/11 1,600 1,598
Telenet Group Holdings (A) (B)
10.597%, 06/15/14 4,780 2,916
Tenneco Automotive (A)
10.250%, 07/15/13 1,750 2,013
Tenneco Automotive, Ser B (G)
11.625%, 10/15/09 1,025 1,110
Town Sports International
11.000%, 02/01/14 (A)(B) 7,700 4,312
9.625%, 04/15/11 1,350 1,428
Travelcenters of America
12.750%, 05/01/09 1,750 2,056
Trump Holdings & Funding
12.625%, 03/15/10 3,225 3,225
Turning Stone Casino Entertainment (A)
9.125%, 12/15/10 6,500 7,036
United Auto Group
9.625%, 03/15/12 5,500 6,133
United Components
9.375%, 06/15/13 2,700 2,916
United Rentals (A)
7.750%, 11/15/13 4,275 4,168
7.000%, 02/15/14 (G) 1,575 1,481
6.500%, 02/15/12 1,915 1,905
Vail Resorts (A)
6.750%, 02/15/14 950 952
Videotron
6.875%, 01/15/14 1,725 1,803
Visteon
7.000%, 03/10/14 2,000 1,987
Von Hoffman
10.250%, 03/15/09 1,000 1,044
William Carter, Ser B
10.875%, 08/15/11 2,601 3,024
Wynn Las Vegas LLC
12.000%, 11/01/10 5,750 6,929
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Yell Finance
12.216%, 08/01/11 (B) $ 2,340 $ 2,200
10.750%, 08/01/11 1,300 1,521
Young Broadcasting (A)
8.750%, 01/15/14 925 953
8.500%, 12/15/08 950 1,026
----------
338,120
----------
CONSUMER STAPLES -- 2.9%
American Seafood
10.125%, 04/15/10 1,100 1,320
Burns Philp Capital (A)
10.750%, 02/15/11 1,300 1,404
9.750%, 07/15/12 3,050 3,218
9.500%, 11/15/10 225 241
Commonwealth Brands (A)
10.625%, 09/01/08 1,650 1,815
Del Monte
8.625%, 12/15/12 755 849
Elizabeth Arden (A)
7.750%, 01/15/14 375 393
Fleming (C) (G)
10.125%, 04/01/08 2,175 283
9.250%, 06/15/10 400 52
General Nutrition Center (A)
8.500%, 12/01/10 1,325 1,391
Gold Kist (A)
10.250%, 03/15/14 575 581
Jafra Cosmetics
10.750%, 05/15/11 1,000 1,135
Johnson Diversey Holdings (B)
9.485%, 05/15/13 150 113
Johnson Diversey Holdings, Ser B
9.625%, 05/15/12 675 736
Le-Natures (A)
9.500%, 06/15/13 2,500 2,650
Merisant (A) (G)
9.500%, 07/15/13 750 739
Nash Finch, Ser B
8.500%, 05/01/08 1,410 1,389
National Beef Packing (A)
10.500%, 08/01/11 4,075 4,197
North Atlantic Trading (A)
9.250%, 03/01/12 475 475
PPC Escrow (A)
9.250%, 11/15/13 150 157
Petco Animal Supplies
10.750%, 11/01/11 830 969
Playtex Products
9.375%, 06/01/11 2,000 1,920
- --------------------------------------------------------------------------------
64 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Rite Aid
7.700%, 02/15/27 $ 300 $ 274
6.875%, 08/15/13 400 370
Seminis Vegetable Seeds (A)
10.250%, 10/01/13 2,875 3,180
----------
29,851
----------
ENERGY -- 5.7%
Baytex Energy
9.625%, 07/15/10 2,000 2,105
Belden & Blake, Ser B
9.875%, 06/15/07 2,000 1,965
Chesepeake Energy
7.750%, 01/15/15 1,000 1,107
6.875%, 01/15/16 (G) 845 887
Comstock Resources
6.875%, 03/01/12 375 382
Dynegy Holdings
8.750%, 02/15/12 (G) 4,200 3,969
7.625%, 10/15/26 775 628
7.620%, 07/15/08 (A) (D) 3,000 3,142
7.125%, 05/15/18 150 121
6.875%, 04/01/11 (G) 2,675 2,327
El Paso
9.625%, 05/15/12 1,000 940
7.750%, 06/15/10 7,000 6,055
7.625%, 09/01/08 (G) 1,625 1,438
6.950%, 06/01/28 1,650 1,225
El Paso MTN
8.050%, 10/15/30 175 144
7.800%, 08/01/31 1,100 883
7.750%, 01/15/32 (G) 875 702
El Paso Production Holdings
7.750%, 06/01/13 650 603
Encore Acquisition (A)
6.250%, 04/15/14 1,150 1,165
Energy Partners
8.750%, 08/01/10 4,955 5,302
Forest Oil
7.750%, 05/01/14 830 890
Giant Industries
11.000%, 05/15/12 2,500 2,806
9.000%, 09/01/07 325 335
Hanover Compress
8.625%, 12/15/10 1,500 1,613
KCS Energy (A)
7.125%, 04/01/12 150 151
Mission Resources, Ser C
10.875%, 04/01/07 900 900
Newfield Exploration
8.375%, 08/15/12 1,500 1,710
7.625%, 03/01/11 1,500 1,710
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Parker Drilling
9.625%, 10/01/13 $ 900 $ 988
Petroleum Geo-Services
10.000%, 11/05/10 1,609 1,758
8.000%, 11/05/06 500 511
Plains All American Pipeline
7.750%, 10/15/12 500 594
Premcor Refining Group
7.750%, 02/01/12 2,590 2,836
7.500%, 06/15/15 125 138
Pride International
9.375%, 05/01/07 2,062 2,098
SESI LLC (G)
8.875%, 05/15/11 2,000 2,180
Vintage Petroleum
8.250%, 05/01/12 2,500 2,813
----------
59,121
----------
FINANCIALS -- 9.0%
Alamoso Delaware (A) (G)
8.500%, 01/31/12 5,600 5,320
Atlantic Broadband Financing (A)
9.375%, 01/15/14 550 540
4.370%, 07/29/11 (D)+ 1,000 1,009
Belford Funding (D) (H)
1.090%, 02/02/05 3,015 3,015
Blue Heron Funding (D) (H)
1.120%, 02/23/05 3,015 3,015
1.120%, 03/18/05 1,357 1,357
CB Richard Ellis Services
11.250%, 06/15/11 7,060 7,978
9.750%, 05/15/10 725 814
CCFC (D)+
7.500%, 08/26/09 2,000 2,120
CCN Bluegrass (D) (H)
1.160%, 02/18/05 2,261 2,261
CIT Group (D) (H)
1.900%, 04/08/04 1,779 1,779
1.763%, 05/03/04 301 301
1.200%, 12/01/04 1,809 1,809
Choctaw Resort Development
9.250%, 04/01/09 590 637
Citigroup (D) (H)
1.460%, 05/04/04 705 706
Commodore (D) (H)
1.270%, 12/12/38 904 904
Conseco, Ser A3 (D)+
7.250%, 09/10/09 1,538 1,538
Conseco, Ser B3 (D)+
9.500%, 09/10/10 462 462
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 65
STATEMENT OF NET ASSETS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Loans (D) (H)
1.270%, 05/14/04 $ 754 $ 754
1.235%, 09/24/04 1,055 1,055
1.200%, 02/23/05 874 874
1.190%, 01/18/05 1,507 1,507
DJ Trac-x (A)
7.375%, 03/25/09 3,000 3,034
Duke Funding (D) (H)
1.180%, 04/08/05 1,507 1,507
Fairfax Financial Holdings
8.250%, 10/01/15 930 958
Finova Group
7.500%, 11/15/09 3,810 2,353
Fremont General, Ser B
7.875%, 03/17/09 1,500 1,511
Global Cash (A)
8.750%, 03/15/12 2,330 2,423
Goldman Sachs Group (D) (H)
1.340%, 05/04/04 1,507 1,507
HBOS Treasury Services (D) (H)
1.120%, 07/19/04 392 392
Harwood (D) (H)
1.150%, 06/21/04 754 754
Household Finance (D) (H)
1.870%, 04/23/04 151 151
Huntsman, Ser A (D)+
5.938%, 03/31/07 1,653 1,599
Huntsman, Ser B (D)+
9.375%, 03/31/07 1,251 1,211
LNR Property (A)
7.250%, 10/15/13 1,725 1,820
Levi Strauss, Ser B (D)+
10.000%, 09/29/09 998 1,035
Liberty Light US Capital (D) (H)
1.070%, 02/09/05 1,507 1,507
1.060%, 05/17/04 904 904
1.060%, 01/14/05 1,507 1,507
Meristar Hospitality (G)
10.500%, 06/15/09 750 806
Merrill Lynch (D) (H)
1.050%, 04/13/04 1,507 1,507
Morgan Stanley (D) (H)
1.100%, 04/04/05 603 603
1.080%, 07/06/04 1,507 1,507
1.080%, 07/23/04 1,507 1,507
New ASAT (A)
9.250%, 02/01/11 2,925 3,137
Nexstar Finance LLC
12.000%, 04/01/08 1,900 2,138
Omega Healthcare (A)
7.000%, 04/01/14 175 179
Orchid Structured Finance (D) (H)
1.220%, 11/18/04 2,095 2,095
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Paragon Mortgages (D) (H)
1.110%, 09/15/04 $ 1,307 $ 1,307
Poster Financial Group (A)
8.750%, 12/01/11 925 971
Reliant Resources, Ser A (D)+
5.290%, 03/15/07 964 945
Senior Housing
7.875%, 04/15/15 2,025 2,187
Sigma Finance (D) (H)
1.066%, 11/01/04 904 904
Sovereign Bancorp
10.500%, 11/15/06 1,500 1,785
TIG Holdings (A)
8.597%, 01/15/27 2,000 1,740
Tango (D) (H)
1.380%, 08/13/04 1,507 1,507
Universal City Development
11.750%, 04/01/10 1,900 2,211
Wellman (D)+
8.750%, 02/03/10 3,000 2,910
5.130%, 02/03/09 500 505
----------
94,379
----------
HEALTH CARE -- 5.1%
Aaipharma (G)
11.000%, 04/01/10 1,450 1,160
Biovail
7.875%, 04/01/10 6,700 6,532
Concentra Operating (G)
13.000%, 08/15/09 2,175 2,392
9.500%, 08/15/10 575 638
Extendicare Health Services
9.350%, 12/15/07 4,050 4,182
Hanger Orthopedic Group
10.375%, 02/15/09 1,400 1,575
Icon Health & Fitness
11.250%, 04/01/12 750 862
Insight Health Services, Ser B
9.875%, 11/01/11 4,000 4,010
Inverness Medical Innovations (A)
8.750%, 02/15/12 1,575 1,599
Kinetic Concepts (A)
7.375%, 05/15/13 568 611
Medquest, Ser B
11.875%, 08/15/12 2,150 2,451
National Nephrology (A)
9.000%, 11/01/11 900 1,044
NDCHealth
10.500%, 12/01/12 1,925 2,214
Neighborcare (A)
6.875%, 11/15/13 350 365
Norcross Safety Products, Ser B
9.875%, 08/15/11 1,650 1,794
- --------------------------------------------------------------------------------
66 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Sybron Dental Specialties
8.125%, 06/15/12 $ 850 $ 944
Team Health (A)
9.000%, 04/01/12 650 632
Tenet Healthcare (G)
7.375%, 02/01/13 8,885 8,019
US Oncology
9.625%, 02/01/12 7,620 9,030
Vanguard Health Systems
9.750%, 08/01/11 275 296
Vicar Operating
9.875%, 12/01/09 2,410 2,699
----------
53,049
----------
INDUSTRIALS -- 12.3%
Aavid Thermal Technology
12.750%, 02/01/07 1,600 1,680
Advanced Accessory Holdings (A) (B)
13.250%, 12/15/11 2,550 1,351
Advanstar Communications (G)
10.750%, 08/15/10 1,425 1,566
Air 2 US (A)
8.027%, 10/01/19 2,388 2,168
Allied Holdings, Ser B
8.625%, 10/01/07 3,800 3,691
Allied Waste North America (A)
6.125%, 02/15/14 4,300 4,155
Amsted Industries (A)
10.250%, 10/15/11 1,825 2,062
BE Aerospace
9.500%, 11/01/08 2,750 2,640
BE Aerospace, Ser B (G)
8.875%, 05/01/11 775 709
Blount
13.000%, 08/01/09 4,850 5,244
Brand Services
12.000%, 10/15/12 500 582
Brickman Group, Ser B
11.750%, 12/15/09 625 725
Caterpillar (D) (H)
1.300%, 04/08/04 904 904
1.270%, 05/28/04 754 754
1.240%, 07/09/04 1,507 1,507
Chukchansi Economic Development
Authority (A)
14.500%, 06/15/09 2,400 2,814
Coinmach
9.000%, 02/01/10 2,325 2,476
Continental Airlines
8.000%, 12/15/05 2,620 2,437
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Continental Airlines, Ser 973A
7.160%, 09/24/14 $ 1,107 $ 1,090
Contintental Airlines, Ser 991A
6.545%, 02/02/19 2,043 2,012
Couche-Tard (A)
7.500%, 12/15/13 1,150 1,230
Delta Airlines, Ser 2000-1, Cl A2
7.570%, 11/18/10 3,415 3,401
EB Aerospace
8.500%, 10/01/10 500 535
Esterline Technologies
7.750%, 06/15/13 500 532
Evergreen International Aviation (A) (G)
12.000%, 05/15/10 500 318
Gencorp
9.500%, 08/15/13 3,750 4,097
General Binding
9.375%, 06/01/08 1,000 1,015
Great Lakes Dredge & Dock (A)
7.750%, 12/15/13 1,300 1,313
Gulfmark Offshore
8.750%, 06/01/08 650 668
Holmes Group, Ser B
9.875%, 11/15/07 2,700 2,811
Huntsman Advance Materials (A)
11.000%, 07/15/10 1,000 1,130
Interface (A)
9.500%, 02/01/14 625 619
Invensys PLC (A)
9.875%, 03/15/11 4,325 4,433
Iron Mountain
6.625%, 01/01/16 75 73
JB Poindexter (A)
8.750%, 03/15/14 275 283
K. Hovnanian
9.125%, 05/01/09 175 184
Kansas City Southern
9.500%, 10/01/08 2,000 2,220
Kraton Polymers LLC (A)
8.125%, 01/15/14 875 932
Laidlaw International (A)
10.750%, 06/15/11 3,825 4,284
Monitronics International (A)
11.750%, 09/01/10 2,000 2,120
National Waterworks, Ser B
10.500%, 12/01/12 1,050 1,186
Offshore Logistic
6.125%, 06/15/13 600 597
Omi
7.625%, 12/01/13 1,475 1,530
Orbital Sciences, Ser B
9.000%, 07/15/11 1,000 1,097
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 67
STATEMENT OF NET ASSETS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Park-Ohio Industries
9.250%, 12/01/07 $ 3,300 $ 3,283
Quality Distributors (A)
9.000%, 11/15/10 2,400 2,412
SCG Holding & Semiconductor (G)
12.000%, 08/01/09 1,275 1,377
Samsonite
10.750%, 06/15/08 4,725 4,926
Seabulk International
9.500%, 08/15/13 1,500 1,568
Service
7.700%, 04/15/09 2,000 2,145
Ship Finance International (A)
8.500%, 12/15/13 4,400 4,312
Southern Star
8.500%, 08/01/10 1,000 1,105
Standard Pacific
7.750%, 03/15/13 550 608
6.250%, 04/01/14 1,100 1,095
TD Funding (G)
8.375%, 07/15/11 1,100 1,166
TFM (B)
11.252%, 06/15/09 4,550 4,573
Tech Olympic USA
10.375%, 07/01/12 6,750 7,611
Tembec Industries (G)
8.500%, 02/01/11 1,475 1,475
Tempur-Pedic (A)
10.250%, 08/15/10 1,170 1,346
Terex
9.250%, 07/15/11 1,000 1,120
7.375%, 01/15/14 (A) 3,425 3,673
Thermadyne Holdings (A)
9.250%, 02/01/14 650 663
Trinity Industries (A)
6.500%, 03/15/14 1,875 1,875
Westinghouse Air Brake
6.875%, 07/31/13 1,000 1,065
Xerox
8.000%, 02/01/27 (G) 1,725 1,695
7.625%, 06/15/13 2,520 2,684
----------
128,952
----------
INFORMATION TECHNOLOGY -- 1.0%
Activant Solutions
10.500%, 06/15/11 725 758
Amkor Technologies
7.750%, 05/15/13 (G) 2,360 2,407
7.125%, 03/15/11 (A) 325 325
Communications & Power (A)
8.000%, 02/01/12 200 203
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Corning
6.200%, 03/15/16 $ 400 $ 397
5.900%, 03/15/14 275 272
FTD (A)
7.750%, 02/15/14 225 225
On Semiconductor
12.000%, 03/15/10 812 1,003
15.800%, 08/04/11 (A)(E) 1,675 2,412
Rhythms Netconnections (F)
12.750%, 04/15/09 1,128 --
Viasystems (A)
10.500%, 01/15/11 1,715 1,917
----------
9,919
----------
MATERIALS -- 11.9%
AK Steel
9.000%, 09/15/07 900 868
7.750%, 06/15/12 (G) 4,850 4,329
Abitibi - Consolidated
6.000%, 06/20/13 2,435 2,281
Ainsworth Lumber (A)
6.750%, 03/15/14 1,400 1,407
Berry Plastics (A)
10.750%, 07/15/12 1,050 1,189
Blue Ridge Paper Product (A)
9.500%, 12/15/08 125 124
Boise Cascade
7.000%, 11/01/13 2,240 2,403
Buckeye Technologies
8.500%, 10/01/13 1,000 1,075
Bway
10.000%, 10/15/10 4,675 5,002
California Steel (A)
6.125%, 03/15/14 325 327
Constar International (G)
11.000%, 12/01/12 1,925 1,646
Crown Cork Seal
8.000%, 04/15/23 2,675 2,581
Crown Euro Holdings
10.875%, 03/01/13 1,250 1,456
Equistar Chemical
10.625%, 05/01/11 4,645 5,005
10.625%, 05/01/11 (G) 850 916
10.125%, 09/01/08 (G) 1,175 1,263
Fastentech (A)
11.500%, 05/01/11 1,450 1,624
Foamex
13.500%, 08/15/05 300 264
10.750%, 04/01/09 500 455
9.875%, 06/15/07 (G) 3,150 2,095
Freeport-McMoRan Copper & Gold (A)
6.875%, 02/01/14 6,425 6,264
- --------------------------------------------------------------------------------
68 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Georgia Gulf (A)
7.125%, 12/15/13 $ 600 $ 637
Georgia-Pacific
9.375%, 02/01/13 3,710 4,369
8.000%, 01/15/24 (A) 675 712
Goodyear Tire & Rubber (G)
7.857%, 08/15/11 1,375 1,134
Graphic Packaging International
9.500%, 08/15/13 1,500 1,695
HMP Equity Holdings (A) (E)
15.430%, 05/15/08 800 424
Hexcel
9.750%, 01/15/09 500 520
Huntsman ICI Chemicals (G)
10.125%, 07/01/09 3,375 3,434
Huntsman International LLC (E) (G)
15.470%, 12/31/09 300 138
IMCO Recycling
10.375%, 10/15/10 350 375
Ispat Inland (A)
9.750%, 04/01/14 3,250 3,380
7.860%, 04/01/10 (D) 1,575 1,599
Jarden
9.750%, 05/01/12 2,350 2,609
Lyondell Chemical
11.125%, 07/15/12 200 215
10.875%, 05/01/09 875 873
10.500%, 06/01/13 3,725 3,930
Lyondell Chemical, Ser A
9.625%, 05/01/07 4,825 4,994
Massey Energy
6.625%, 11/15/10 2,000 2,035
Methanex
8.750%, 08/15/12 2,125 2,433
Millar Western Forest (A)
7.750%, 11/15/13 250 266
Nalco (A)
8.875%, 11/15/13 2,000 2,085
Newark Group (A)
9.750%, 03/15/14 2,250 2,216
Nova Chemicals (A)
6.500%, 01/15/12 2,585 2,688
Oregon Steel Mills (G)
10.000%, 07/15/09 3,350 3,358
Owens-Brockway Glass
8.750%, 11/15/12 3,000 3,263
Owens-Illinois
8.100%, 05/15/07 1,550 1,581
7.800%, 05/15/18 200 185
7.350%, 05/15/08 875 862
Peabody Energy
5.875%, 04/15/16 1,860 1,874
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Playtex Products (A)
8.000%, 03/01/11 $ 1,455 $ 1,513
Pliant
13.000%, 06/01/10 350 303
13.000%, 06/01/10 (G) 2,250 1,946
11.125%, 06/15/09 (A)(B) 2,325 1,860
11.125%, 09/01/09 650 679
Resolution Performance
13.500%, 11/15/10 (G) 950 793
9.500%, 04/15/10 1,600 1,632
8.000%, 12/15/09 325 332
Rhodia (A)
8.875%, 06/01/11 2,125 1,774
Riverside Forest (A)
7.875%, 03/01/14 500 518
Rockwood Specialties Group
10.625%, 05/15/11 2,000 2,210
Seminis Vegetable Seeds (A)
10.250%, 10/01/13 250 277
Solo Cup (A)
8.500%, 02/15/14 550 570
Tekni-Plex (A)
8.750%, 11/15/13 3,475 3,458
Tekni-Plex, Ser B
12.750%, 06/15/10 2,750 2,881
Tembec Industries
7.750%, 03/15/12 1,475 1,423
US Can
10.875%, 07/15/10 1,000 1,055
United Industries, Ser D
9.875%, 04/01/09 775 813
United States Steel
10.750%, 08/01/08 1,000 1,165
US Concrete (A)
8.375%, 04/01/14 900 918
Westlake Chemical (G)
8.750%, 07/15/11 830 917
Wolverine Tube
10.500%, 04/01/09 125 134
7.375%, 08/01/08 (A) 1,245 1,208
----------
124,837
----------
TELECOMMUNICATION SERVICES -- 10.4%
American Cellular, Ser B (G)
10.000%, 08/01/11 1,170 1,123
American Tower
9.375%, 02/01/09 3,100 3,270
American Tower (A)
7.500%, 05/01/12 1,425 1,361
7.250%, 12/01/11 500 511
Block Communications
9.250%, 04/15/09 2,000 2,130
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 69
STATEMENT OF NET ASSETS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Call-Net Enterprises
10.625%, 12/31/08 $ 1,825 $ 1,843
Calpoint Receivables (A)
7.440%, 12/10/06 5,331 5,344
Centennial Cellular (G)
10.750%, 12/15/08 1,287 1,329
Centennial Communications
10.125%, 06/15/13 4,125 4,249
8.125%, 02/01/14 (A)(G) 6,025 5,558
Cincinnati Bell
8.375%, 01/15/14 4,065 3,984
7.250%, 07/15/13 450 454
Crown Castle International
7.500%, 12/01/13 2,300 2,260
Crown Castle International, Ser B
7.500%, 12/01/13 775 761
Dobson Communications
10.875%, 07/01/10 2,320 2,053
8.875%, 10/01/13 2,050 1,609
Fairpoint Communications
12.500%, 05/01/10 1,000 1,120
11.875%, 03/01/10 1,925 2,310
GCI (A)
7.250%, 02/15/14 1,225 1,200
Level 3 Communications
12.791%, 12/01/08 (B) 800 656
11.000%, 03/15/08 (G) 950 807
9.125%, 05/01/08 (G) 775 628
Level 3 Financing (A) (G)
10.750%, 10/15/11 3,250 3,169
Lucent Technologies (G)
6.450%, 03/15/29 1,450 1,225
Metro PCS
10.750%, 10/01/11 500 530
Millicom International Cellular (A)
10.000%, 12/01/13 5,000 5,200
Nextel Communications
9.500%, 02/01/11 2,745 3,129
5.950%, 03/15/14 2,125 2,109
Panamsat
8.500%, 02/01/12 1,280 1,338
Primus Telecommunications (A) (G)
8.000%, 01/15/14 3,575 3,414
Qwest Capital Funding
7.750%, 02/15/31 2,200 1,804
7.250%, 02/15/11 (G) 3,400 2,924
Qwest Communications
International (A)
7.500%, 02/15/14 (G) 3,200 3,016
7.250%, 02/15/11 1,650 1,572
4.630%, 02/15/09 (D) 950 888
Qwest Services (A)
13.500%, 12/15/10 1,850 2,151
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Rogers Wireless (A)
6.375%, 03/01/14 $ 2,160 $ 2,195
Rural Cellular
9.750%, 01/15/10 4,550 4,072
8.250%, 03/15/12 (A) 1,175 1,201
5.610%, 03/15/10 (A)(D) 1,650 1,683
Rural Cellular, Ser B
9.625%, 05/15/08 760 693
Spectrasite
8.250%, 05/15/10 650 696
Telewest Communications PLC (C)
11.000%, 10/01/07 (G) 2,100 1,334
9.875%, 02/01/10 (G) 1,100 666
9.625%, 10/01/06 1,000 620
Time Warner Telecommunications Holdings (A)
9.250%, 02/15/14 1,750 1,768
5.120%, 02/15/11 (D) 575 564
Time Warner Telecommunications LLC
9.750%, 07/15/08 3,050 2,829
Triton PCS
9.375%, 02/01/11 4,375 4,222
8.750%, 11/15/11 750 709
Western Wireless
9.250%, 07/15/13 1,500 1,541
Worldcom (C)
8.250%, 05/15/10 (G) 3,500 1,120
8.250%, 05/15/31 (G) 5,475 1,752
7.750%, 03/15/24 550 437
6.950%, 08/15/06 100 80
6.500%, 05/15/04 2,000 640
6.500%, 04/15/10 100 80
6.250%, 08/15/03 7,500 2,400
----------
108,331
----------
UTILITIES -- 7.2%
AES
10.000%, 07/15/05 (A)(G) 226 232
9.500%, 06/01/09 2,690 2,919
8.875%, 02/15/11 (G) 250 267
7.750%, 03/01/14 1,105 1,106
Airgas
9.125%, 10/01/11 2,500 2,837
CMS Energy
9.875%, 10/15/07 2,000 2,205
Calpine
9.875%, 12/01/11 (A) 13,100 12,609
8.750%, 07/15/07 (G) 375 296
8.750%, 07/15/13 (A)(G) 2,095 1,917
8.625%, 08/15/10 (G) 725 533
8.500%, 07/15/10 (A) 3,940 3,625
8.500%, 02/15/11 (G) 2,625 1,929
- --------------------------------------------------------------------------------
70 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Calpine Canada Energy (G)
8.500%, 05/01/08 $ 1,300 $ 962
Calpine Generating (A) (D)
7.000%, 04/01/10 725 691
Gulfterra Energy Partners, Ser B
8.500%, 06/01/10 701 810
Homer City Funding LLC
8.734%, 10/01/26 1,000 1,110
Illinova
11.500%, 12/15/10 4,000 4,820
Mirant Americas (C) (G)
8.500%, 10/01/21 4,525 3,348
Mission Energy Holding
13.500%, 07/15/08 6,000 6,180
NCG, Ser B
8.316%, 06/01/27 2,000 1,590
NRG (A) (G)
8.000%, 12/15/13 8,100 8,363
Northwest Pipeline
8.125%, 03/01/10 425 470
Reliant Resources
9.500%, 07/15/13 2,550 2,811
Sierra Pacific (A)
8.625%, 03/15/14 836 849
Sonat
7.625%, 07/15/11 3,100 2,689
Southern Natural Gas (G)
8.875%, 03/15/10 725 805
Teco Energy
7.500%, 06/15/10 2,250 2,424
7.000%, 05/01/12 1,500 1,582
Tennessee Gas Pipeline
7.500%, 04/01/17 1,000 1,033
Transmontaigne (A)
9.125%, 06/01/10 500 535
Utilicorp Canada Finance
7.750%, 06/15/11 4,000 3,840
Williams
8.625%, 06/01/10 325 358
----------
75,745
----------
Total Corporate Obligations
(Cost $1,012,050) ($ Thousands) 1,022,304
----------
COMMERCIAL PAPER (H) (I) -- 2.5%
FINANCIALS -- 2.5%
Amsterdam Funding
1.051%, 05/17/04 2,412 2,408
Beethoven Funding
1.105%, 08/26/04 690 687
Bradford & Bingley
1.186%, 09/10/04 1,507 1,499
1.185%, 08/17/04 995 990
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CRE Funding
1.090%, 04/07/04 $ 603 $ 603
Grampian Funding
1.150%, 04/14/04 1,507 1,507
Mitten
1.041%, 04/22/04 1,507 1,506
Moat Funding
1.150%, 04/06/04 2,261 2,261
Park Granada
1.064%, 07/30/04 2,864 2,854
1.063%, 07/15/04 1,507 1,503
Rhineland Funding
1.102%, 05/25/04 1,206 1,204
1.101%, 04/26/04 1,209 1,208
1.093%, 06/23/04 1,033 1,031
1.080%, 04/08/04 445 445
1.080%, 04/16/04 779 778
Tannehill Capital
1.172%, 05/19/04 1,507 1,505
Tulip Funding
1.060%, 04/01/04 3,919 3,919
----------
Total Commercial Paper
(Cost $25,908) ($ Thousands) 25,908
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.2%
FINANCIAL SERVICES -- 0.2%
FHLMC, Ser 2603, Cl LI, IO
5.500%, 09/15/28 2,360 305
FHLMC, Ser 2621, Cl LJ, IO
5.500%, 12/15/26 4,711 507
FHLMC, Ser 2696, Cl NI, IO
5.500%, 03/15/23 3,185 254
FNMA, Ser 2003-37, Cl LG, IO
5.500%, 05/25/32 2,969 382
FNMA, Ser 342, Cl 2, IO
6.000%, 09/01/33 1,437 233
----------
Total U.S. Government Agency Obligations
(Cost $1,947) ($ Thousands) 1,681
----------
CONVERTIBLE BOND -- 0.1%
Enron, CV to 5.7565 Shares (C) (E)
10.963%, 02/07/21 5,500 880
----------
Total Convertible Bond
(Cost $897) ($ Thousands) 880
----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 71
STATEMENT OF NET ASSETS (Unaudited)
High Yield Bond Fund (Concluded)
March 31, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
PREFERRED/CONVERTIBLE STOCK -- 2.8%
CSC Holdings, Ser H 17,000 $ 1,779
CSC Holdings, Ser M 48,750 5,089
Crown Castle 57 2,572
Dobson Communications* 40,200 2,734
General Nutrition Center (A) 1,750 1,838
Granite* 19,500 955
Paxson Communications PIK* 73,277 6,595
Pegasus Satellite PIK* 14 1
Primedia, Ser D 26,500 2,465
Primedia, Ser G 26,000 2,249
Rural Cellular PIK* 27,100 1,999
Rural Cellular, Ser B PIK* 9,500 846
----------
Total Preferred/Convertible Stock
(Cost $30,515) ($ Thousands) 29,122
----------
COMMON STOCK -- 0.0%
Crown Castle International* 7,222 91
----------
Total Common Stock
(Cost $44) ($ Thousands) 91
----------
WARRANTS -- 0.0%
American Tower, Expires 08/01/08 1,475 209
Horizon PCS, Expires 10/01/10 (F)* 3,100 --
Huntsman, Expires 05/15/11* 800 136
IPCS, Expires 07/15/10 (F)* 1,250 --
Iwo Holdings, Expires 01/15/11 (F)* 1,850 --
Leap Wireless International,
Expires 04/15/10 (F)* 4,700 --
Pegasus Communications,
Expires 01/01/07* 250 --
Travelcenters of America,
Expires 05/01/09* 2,500 12
Travelcenters of America,
Expires 05/01/09 (F)* 7,500 38
----------
Total Warrants
(Cost $115) ($ Thousands) 395
----------
CASH EQUIVALENTS -- 0.8%
AIM Investco Treasurer's Money
Market Reserve Fund (H) 753,641 754
Bear Stearns Master Notes (H) 3,014,565 3,015
SEI Daily Income Trust, Prime
Obligation Fund, Cl A++ 4,881,034 4,881
----------
Total Cash Equivalents
(Cost $8,650) ($ Thousands) 8,650
----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (H) -- 1.6%
Deutsche Bank
1.060%, dated 03/31/04, to be
repurchased on 04/01/04,
repurchase price $7,301,581
(collateralized by U.S. Government
Agency obligations, total market
value: $7,447,420) $ 7,301 $ 7,301
Lehman Brothers
1.060%, dated 03/31/04, to be
repurchased on 04/01/04,
repurchase price $9,496,158
(collateralized by U.S. Government
Agency obligations, total market
value: $9,685,838) 9,496 9,496
----------
Total Repurchase Agreements
(Cost $16,797) ($ Thousands) 16,797
----------
Total Investments -- 105.8%
(Cost $1,096,923) ($ Thousands) 1,105,828
----------
OTHER ASSETS AND LIABILITIES -- (5.8)%
Payable Upon Return on Securities Loaned (88,142)
Investment Advisory Fees Payable (370)
Administration Fees Payable (306)
Shareholder Servicing Fees Payable (49)
Trustees' Fees Payable (1)
Other Assets and Liabilities, Net 28,629
----------
Total Other Assets and Liabilities (60,239)
----------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 121,845,853 outstanding shares
of beneficial interest 1,182,582
Distribution in excess of net investment income (1)
Accumulated net realized loss on investments (145,897)
Net unrealized appreciation on investments 8,905
----------
Total Net Assets -- 100.0% $1,045,589
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($1,045,589,373 / 121,845,853 shares) $8.58
=====
- --------------------------------------------------------------------------------
72 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
* Non-income producing security.
+ Bank Loan.
++ See Note 3 in Notes to Financial Statements.
(A) Securities sold within terms of a private placement memorandum, exempt from
registration under Section 144A of the Securities Act of 1933, as amended,
and may be sold only to dealers in that program or other "accredited
investors." These securities have been determined to be liquid under
guidelines established by the Board of Trustees.
(B) Step Bonds - The rate reflected on the Statement of Net Assets is the
effective yield on March 31, 2004. The coupon on a step bond changes on a
specified date.
(C) Security in default on interest payments.
(D) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of March 31, 2004.
(E) Zero-coupon security. The rate reported is the effective yield at the date
of purchase.
(F) Securities considered illiquid. The total value of such securities as of
March 31, 2004 was $37,675.
(G) This security or a partial position of this security is on loan at March 31,
2004 (see Note 7). The total value of securities on loan at March 31, 2004
was $84,437,902.
(H) This security was purchased with cash collateral held from securities
lending (see Note 7). The total value of such securities as of March 31,
2004 was $88,141,602.
(I) The rate reported is the effective yield at time of purchase.
Cl -- Class
CV -- Convertible Security
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
IO -- Interest Only Security
LLC -- Limited Liability Company
MTN -- Medium Term Note
PCS -- Personal Communications Service
PIK -- Payment-in-Kind
PLC -- Public Limited Company
Ser -- Series
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 73
This page is intentionally left blank.
Statements of Assets and Liabilities ($ Thousands)
March 31, 2004 (Unaudited)
- ---------------------------------------------------------------------------------------------------------------------------
CORE FIXED
REAL ESTATE INCOME
FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value (Cost $10,623 and $5,014,976, respectively) $11,094 $5,123,373
Repurchase agreements (Cost $0 and $449,863, respectively) -- 449,863
Cash 1 --
Receivable for capital shares sold 4,971 8,216
Receivable for investment securities sold 273 490,951
Dividends and interest receivable 20 28,228
- ---------------------------------------------------------------------------------------------------------------------------
Total Assets 16,359 6,100,631
- ---------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Options written, at value (premium received $0 and $2,437, respectively) -- 2,351
Payable for investment securities purchased 5,482 1,124,311
Payable for capital shares redeemed -- 5,627
Income distribution payable -- 910
Bank overdraft -- 15,604
Payable upon return on securities loaned -- 833,614
Variation margin payable -- 933
Investment advisory fees payable 2 844
Administration fees payable 1 974
Shareholder servicing fees payable -- 183
Administration servicing fees payable -- 1
Trustees' fees payable -- 4
Accrued expenses payable 8 256
- ---------------------------------------------------------------------------------------------------------------------------
Total Liabilities 5,493 1,985,612
- ---------------------------------------------------------------------------------------------------------------------------
Total Net Assets $10,866 $4,115,019
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization-- no par value)
based on 946,589 and 382,881,891 outstanding shares of beneficial interest, respectively $10,388 $3,972,514
Paid-in-Capital -- Class I
(unlimited authorization -- no par value)
based on 0 and 645,438 outstanding shares of beneficial interest, respectively -- 6,817
(Distributions in excess of net investment income)/undistributed net investment income 1 (36)
Accumulated net realized gain on investments and futures contracts 6 29,364
Net unrealized appreciation on investments and option contracts 471 108,483
Net unrealized depreciation on futures contracts -- (2,123)
- ---------------------------------------------------------------------------------------------------------------------------
Total Net Assets -- 100.0% $10,866 $4,115,019
===========================================================================================================================
Net Asset Value, Offering and Redemption Price Per Share -- Class A
($10,865,848 / 946,589 shares) and ($4,108,095,099 / 382,881,891 shares), respectively $11.48 $10.73
- ---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share -- Class I
($6,923,504 / 645,438 shares) $ -- $10.73
===========================================================================================================================
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 75
Statements of Operations ($ Thousands)
For the six month period ended March 31, 2004 (Unaudited)
- ------------------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED LARGE CAP LARGE CAP TAX-MANAGED
LARGE CAP VALUE GROWTH SMALL CAP
FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 16,353 $ 48,894 $ 15,667 $ 745
Dividends from Affiliated Registered Investment
Company 177 156 380 36
Interest 32 25 94 9
Income from Securities Lending 74 151 267 17
Less: Foreign Taxes Withheld (27) (30) (97) (3)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 16,609 49,196 16,311 804
- ------------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 3,910 6,879 7,798 673
Administration Fees 3,416 6,879 6,823 362
Shareholder Servicing Fees -- Class A 2,438 4,898 4,855 259
Shareholder Servicing Fees -- Class I -- 15 19 --
Shareholder Servicing Fees -- Class Y 3 -- -- --
Administration Servicing Fees -- Class -- 15 19 --
Custodian/Wire Agent Fees 68 138 141 7
Printing Fees 41 82 84 4
Professional Fees 17 33 34 2
Registration fees 15 30 31 1
Trustees' Fees 10 20 20 1
Litigation Fees (See Note 9) -- -- -- --
Other Expenses 17 30 28 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total Expenses 9,935 19,019 19,852 1,311
- ------------------------------------------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees (913) (1,382) (1,038) (104)
Administration Fees -- -- -- --
Shareholder Servicing Fees (709) (891) (2,204) (67)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Expenses 8,313 16,746 16,610 1,140
- ------------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 8,296 32,450 (299) (336)
====================================================================================================================================
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net Realized Gain (Loss) on:
Investments and Options 23,452 99,222 70,843 18,506
Futures Contracts 1,989 2,056 5,293 370
Written Options -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on:
Investments and Options 218,122 495,486 315,168 19,637
Futures Contracts 816 610 1,567 370
Written Options -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $252,675 $629,824 $392,572 $38,547
====================================================================================================================================
Amount designated as "--" are $0 or have been rounded to $0.
(1)The Real Estate Fund commenced operations on November 13, 2003.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
76 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- ------------------------------------------------------------------------------------------------------------------------------------
SMALL SMALL
CAP VALUE CAP GROWTH MID-CAP REAL ESTATE
FUND FUND FUND FUND(1)
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 6,359 $ 2,115 $ 325 $ 48
Dividends from Affiliated Registered Investment
Company 118 96 3 1
Interest 34 162 1 --
Income from Securities Lending 63 234 3 --
Less: Foreign Taxes Withheld (5) (5) (1) --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 6,569 2,602 331 49
- ------------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 2,924 3,201 91 7
Administration Fees 1,575 1,723 80 4
Shareholder Servicing Fees -- Class A 1,120 1,222 57 3
Shareholder Servicing Fees -- Class I 5 9 -- --
Shareholder Servicing Fees -- Class Y -- -- -- --
Administration Servicing Fees -- Class 5 9 -- --
Custodian/Wire Agent Fees 31 34 2 2
Printing Fees 18 21 1 1
Professional Fees 7 9 1 1
Registration fees 7 7 -- 1
Trustees' Fees 4 5 -- --
Litigation Fees (See Note 9) -- -- -- --
Other Expenses 8 9 2 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total Expenses 5,704 6,249 234 21
- ------------------------------------------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees (11) (53) -- (4)
Administration Fees -- -- -- (3)
Shareholder Servicing Fees (732) (763) (5) (2)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Expenses 4,961 5,433 229 12
- ------------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 1,608 (2,831) 102 37
====================================================================================================================================
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net Realized Gain (Loss) on:
Investments and Options 97,211 109,748 4,532 6
Futures Contracts 2,814 2,292 66 --
Written Options -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on:
Investments and Options 92,807 60,995 4,311 471
Futures Contracts 1,059 1,199 37 --
Written Options -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $195,499 $171,403 $9,048 $514
====================================================================================================================================
- --------------------------------------------------------------------------------------
CORE FIXED HIGH YIELD
INCOME FUND BOND FUND
- --------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ -- $ 1,152
Dividends from Affiliated Registered Investment
Company 719 73
Interest 77,871 44,104
Income from Securities Lending 451 105
Less: Foreign Taxes Withheld -- --
- --------------------------------------------------------------------------------------
Total Investment Income 79,041 45,434
- --------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 5,431 2,534
Administration Fees 5,529 1,820
Shareholder Servicing Fees -- Class A 4,929 1,300
Shareholder Servicing Fees -- Class I 8 --
Shareholder Servicing Fees -- Class Y -- --
Administration Servicing Fees -- Class 8 --
Custodian/Wire Agent Fees 150 40
Printing Fees 87 24
Professional Fees 37 11
Registration fees 45 12
Trustees' Fees 21 6
Litigation Fees (See Note 9) 218 --
Other Expenses 225 39
- --------------------------------------------------------------------------------------
Total Expenses 16,688 5,786
- --------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees (651) (328)
Administration Fees -- --
Shareholder Servicing Fees (4,021) (1,032)
- --------------------------------------------------------------------------------------
Net Expenses 12,016 4,426
- --------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 67,025 41,008
======================================================================================
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net Realized Gain (Loss) on:
Investments and Options 34,886 53,793
Futures Contracts (1,699) --
Written Options 5,258 --
Net Change in Unrealized Appreciation
(Depreciation) on:
Investments and Options 27,292 (29,003)
Futures Contracts (3,561) --
Written Options 945 --
- --------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $130,146 $ 65,798
======================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 77
Statements of Changes in Net Assets ($ Thousands)
For the six month period ended March 31, 2004 (Unaudited) and the year ended September 30, 2003
- ------------------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED LARGE CAP LARGE CAP
LARGE CAP FUND VALUE FUND GROWTH FUND
- ------------------------------------------------------------------------------------------------------------------------------------
10/1/03 10/1/02 10/1/03 10/1/02 10/1/03 10/1/02
to 3/31/04 to 9/30/03 to 3/31/04 to 9/30/03 to 3/31/04 to 9/30/03
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income (Loss) $ 8,296 $ 14,041 $ 32,450 $ 54,021 $ (299) $ 599
Net Realized Gain (Loss) on Investments
and Futures Contracts 25,441 (65,584) 101,278 (76,585) 76,136 (21,051)
Net Change in Unrealized Appreciation
on Investments and
Futures Contracts 218,938 425,131 496,096 687,877 316,735 654,756
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
from Operations 252,675 373,588 629,824 665,313 392,572 634,304
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (11,331) (14,152) (45,810) (52,235) -- (599)
Class I -- -- (116) (101) -- --
Class Y (28) (38) -- -- -- --
Net Realized Gains:
Class A -- -- -- -- -- --
Class I -- -- -- -- -- --
Return of Capital:
Class A -- -- -- -- -- (1,355)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (11,359) (14,190) (45,926) (52,336) -- (1,954)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 278,169 930,527 499,704 1,392,381 517,916 1,437,280
Reinvestment of Dividends and Distributions 10,729 13,340 42,787 48,783 -- 1,833
Cost of Shares Redeemed (242,900) (981,727) (543,277) (1,422,012) (475,055) (1,409,894)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 45,998 (37,860) (786) 19,152 42,861 29,219
- ------------------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued -- -- 5,011 3,905 4,698 4,943
Reinvestment of Dividends and Distributions -- -- 116 96 -- --
Cost of Shares Redeemed -- -- (1,229) (2,510) (1,799) (2,438)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class I Transactions -- -- 3,898 1,491 2,899 2,505
- ------------------------------------------------------------------------------------------------------------------------------------
Class Y:
Proceeds from Shares Issued 904 1,059 -- -- -- --
Reinvestment of Dividends and Distributions 28 38 -- -- -- --
Cost of Shares Redeemed (553) (607) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class Y Transactions 379 490 -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 46,377 (37,370) 3,112 20,643 45,760 31,724
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets 287,693 322,028 587,010 633,620 438,332 664,074
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 1,761,126 1,439,098 3,536,772 2,903,152 3,576,810 2,912,736
- ------------------------------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $2,048,819 $1,761,126 $4,123,782 $ 3,536,772 $4,015,142 $ 3,576,810
- ------------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(ACCUMULATED NET INVESTMENT LOSS)/
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME) INCLUDED IN
NET ASSETS AT PERIOD END $ 92 $ 3,155 $ 293 $ 13,769 $ (299) $ --
====================================================================================================================================
Amount designated as "--" are $0 or have been rounded to $0.
(1) See Note 4 in the notes to financial statements for additional information.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
78 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- ------------------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED SMALL CAP SMALL CAP
SMALL CAP FUND VALUE FUND GROWTH FUND
- ------------------------------------------------------------------------------------------------------------------------------------
10/1/03 10/1/02 10/1/03 10/1/02 10/1/03 10/1/02
to 3/31/04 to 9/30/03 to 3/31/04 to 9/30/03 to 3/31/04 to 9/30/03
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income (Loss) $ (336) $ (322) $ 1,608 $ 3,728 $ (2,831) $ (4,881)
Net Realized Gain (Loss) on Investments
and Futures Contracts 18,876 7,651 100,025 39,140 112,040 38,724
Net Change in Unrealized Appreciation
on Investments and
Futures Contracts 20,007 38,895 93,866 143,303 62,194 257,650
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
from Operations 38,547 46,224 195,499 186,171 171,403 291,493
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A -- -- (2,121) (4,148) -- --
Class I -- -- (3) (4) -- --
Class Y -- -- -- -- -- --
Net Realized Gains:
Class A -- -- (45,443) (22,063) -- --
Class I -- -- (178) (26) -- --
Return of Capital:
Class A -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions -- -- (47,745) (26,241) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 31,551 90,648 134,581 272,198 141,847 342,445
Reinvestment of Dividends and Distributions -- -- 44,748 23,540 -- --
Cost of Shares Redeemed (33,878) (98,863) (190,140) (351,441) (179,201) (363,755)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (2,327) (8,215) (10,811) (55,703) (37,354) (21,310)
- ------------------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued -- -- 3,808 2,077 3,917 3,204
Reinvestment of Dividends and Distributions -- -- 181 24 -- --
Cost of Shares Redeemed -- -- (929) (650) (2,276) (1,020)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class I Transactions -- -- 3,060 1,451 1,641 2,184
- ------------------------------------------------------------------------------------------------------------------------------------
Class Y:
Proceeds from Shares Issued -- -- -- -- -- --
Reinvestment of Dividends and Distributions28 -- -- -- -- -- --
Cost of Shares Redeemed -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class Y Transactions -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions (2,327) (8,215) (7,751) (54,252) (35,713) (19,126)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets 36,220 38,009 140,003 105,678 135,690 272,367
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 181,773 143,764 798,073 692,395 881,245 608,878
- ------------------------------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $217,993 $181,773 $ 938,076 $ 798,073 $1,016,935 $ 881,245
- ------------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(ACCUMULATED NET INVESTMENT LOSS)/
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME) INCLUDED IN
NET ASSETS AT PERIOD END $ (336) $ -- $ (14) $ 502 $ (2,831) $ --
====================================================================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 79
Statements of Changes in Net Assets ($ Thousands)
For the six month period ended March 31, 2004 (Unaudited) and the year ended September 30, 2003
- -------------------------------------------------------------------------------------------------------
REAL ESTATE
MID-CAP FUND FUND(2)
- -------------------------------------------------------------------------------------------------------
10/1/03 10/1/02 11/13/03
to 3/31/04 to 9/30/03 to 3/31/04
- -------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 102 $ 292 $ 37
Net Realized Gain on Investments, Options,
Futures Contracts and Written Options 4,598 660 6
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Options,
Futures Contracts and Written Options 4,348 8,048 471
- -------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 9,048 9,000 514
- -------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (218) (217) (36)
Class I -- -- --
Net Realized Gains:
Class A (840) (165) --
Class I -- -- --
- -------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (1,058) (382) (36)
- -------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 9,809 25,669 10,867
Reinvestment of Dividends and Distributions 912 323 36
Cost of Shares Redeemed (13,548) (18,607) (515)
- -------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (2,827) 7,385 10,388
- -------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued -- -- --
Reinvestment of Dividends and Distributions -- -- --
Cost of Shares Redeemed -- -- --
- -------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class I Transactions -- -- --
- -------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions (2,827) 7,385 10,388
- -------------------------------------------------------------------------------------------------------
Net Increase in Net Assets 5,163 16,003 10,866
- -------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 41,502 25,499 --
- -------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $46,665 $41,502 $10,866
- -------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME) INCLUDED IN NET ASSETS AT PERIOD END $ 3 $ 119 $ 1
=======================================================================================================
Amount designated as "--" are $0 or have been rounded to $0.
(1) See Note 4 in the notes to financial statements for additional information.
(2)The Real Estate Fund commenced operations on November 13, 2003.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
80 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- ------------------------------------------------------------------------------------------------------------------------
CORE HIGH YIELD
FIXED INCOME FUND BOND FUND
- ------------------------------------------------------------------------------------------------------------------------
10/1/03 10/1/02 10/1/03 10/1/02
to 3/31/04 to 9/30/03 to 3/31/04 to 9/30/03
- ------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 67,025 $ 137,725 $ 41,008 $ 75,474
Net Realized Gain on Investments, Options,
Futures Contracts and Written Options 38,445 76,036 53,793 20,228
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Options,
Futures Contracts and Written Options 24,676 16,106 (29,003) 66,579
- ------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 130,146 229,867 65,798 162,281
- ------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (70,441) (144,439) (41,005) (75,605)
Class I (105) (232) -- --
Net Realized Gains:
Class A (46,906) (72,339) -- --
Class I (71) (101) -- --
- ------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (117,523) (217,111) (41,005) (75,605)
- ------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 774,007 1,652,509 234,585 561,162
Reinvestment of Dividends and Distributions 108,074 197,586 38,212 70,711
Cost of Shares Redeemed (610,010) (1,726,377) (228,660) (487,415)
- ------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 272,071 123,718 44,137 144,458
- ------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued 2,529 6,795 -- --
Reinvestment of Dividends and Distributions 175 310 -- --
Cost of Shares Redeemed (1,739) (5,433) -- --
- ------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class I Transactions 965 1,672 -- --
- ------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 273,036 125,390 44,137 144,458
- ------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets 285,659 138,146 68,930 231,134
- ------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 3,829,360 3,691,214 976,659 745,525
- ------------------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $4,115,019 $3,829,360 $1,045,589 $976,659
- ------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME) INCLUDED IN NET ASSETS AT PERIOD END $ (36) $ 129 $ (1) $ (4)
========================================================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 81
Financial Highlights
For the period ended March 31, 2004 (Unaudited) and the periods ended September 30,
For a Share Outstanding Throughout the Periods
- -----------------------------------------------------------------------------------------------------------------------------
Net
Realized
and Distributions
Net Asset Net Unrealized Dividends from Total
Value, Investment Gains from Net Realized Dividends Net Asset
Beginning Income (Losses) on Total from Investment Capital and Value, End
of Period (Loss) Securities Operations Income Gains Distributions of Period
- -----------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED LARGE CAP FUND
Class A
2004* $ 9.20 $ 0.04 $ 1.28 $ 1.32 $(0.06) $ -- $(0.06) $10.46
2003 7.50 0.08 1.70(1) 1.78 (0.08) -- (0.08) 9.20
2002 9.49 0.06 (1.98) (1.92) (0.07) -- (0.07) 7.50
2001 13.62 0.07 (4.13) (4.06) (0.07) -- (0.07) 9.49
2000 12.65 0.09 1.00 1.09 (0.09) (0.03) (0.12) 13.62
1999 9.61 0.08 3.04 3.12 (0.08) -- (0.08) 12.65
Class Y
2004* $ 9.21 $ 0.06(1) $ 1.27(1) $ 1.33 $(0.06) $ -- $(0.06) $10.48
2003 7.50 0.10(1) 1.71(1) 1.81 (0.10) -- (0.10) 9.21
2002(2) 10.45 0.05 (2.98) (2.93) (0.02) -- (0.02) 7.50
LARGE CAP VALUE FUND
Class A
2004* $16.81 $ 0.15(1) $ 2.84(1) $ 2.99 $(0.22) $ -- $(0.22) $19.58
2003 13.94 0.25(1) 2.86(1) 3.11 (0.24) -- (0.24) 16.81
2002 17.39 0.21 (3.26) (3.05) (0.21) (0.19) (0.40) 13.94
2001 18.70 0.21 (1.14) (0.93) (0.22) (0.16) (0.38) 17.39
2000 18.97 0.27 0.56 0.83 (0.26) (0.84) (1.10) 18.70
1999 17.31 0.24 2.67 2.91 (0.24) (1.01) (1.25) 18.97
Class I
2004* $16.80 $ 0.13(1) $ 2.84(1) $ 2.97 $(0.19) $ -- $(0.19) $19.58
2003 13.94 0.21(1) 2.86(1) 3.07 (0.21) -- (0.21) 16.80
2002 17.39 0.19 (3.28) (3.09) (0.17) (0.19) (0.36) 13.94
2001(3) 19.38 0.03 (2.02) (1.99) -- -- -- 17.39
LARGE CAP GROWTH FUND
Class A
2004* $15.77 $ --(1) $ 1.73(1) $ 1.73 $ -- $ -- $ -- $17.50
2003 12.97 --(1) 2.81(1) 2.81 (0.01)(8) -- (0.01)(8) 15.77
2002 16.73 (0.04)(1) (3.72)(1) (3.76) -- -- -- 12.97
2001 36.24 (0.06) (17.75) (17.81) -- (1.70) (1.70) 16.73
2000 28.58 (0.04) 8.67 8.63 -- (0.97) (0.97) 36.24
1999 21.01 (0.05) 7.92 7.87 -- (0.30) (0.30) 28.58
Class I
2004* $15.68 $(0.02)(1) $ 1.72(1) $ 1.70 $ -- $ -- $ -- $17.38
2003 12.92 (0.03)(1) 2.79(1) 2.76 --** -- --** 15.68
2002 16.72 (0.07)(1) (3.73)(1) (3.80) -- -- -- 12.92
2001(3) 20.60 (0.01) (3.87) (3.88) -- -- -- 16.72
TAX-MANAGED SMALL CAP FUND
Class A
2004* $10.00 $(0.02)(1) $ 2.16(1) $ 2.14 $ -- $ -- $ -- $12.14
2003 7.54 (0.02)(1) 2.48(1) 2.46 -- -- -- 10.00
2002 8.15 (0.01) (0.60) (0.61) -- -- -- 7.54
2001(4) 10.00 -- (1.84) (1.84) (0.01)(8) -- (0.01)(8) 8.15
SMALL CAP VALUE FUND
Class A
2004* $17.45 $0.03(1) $ 4.20(1) $ 4.23 $(0.05) $(1.00) $(1.05) $20.63
2003 13.99 0.08(1) 3.91(1) 3.99 (0.09) (0.44) (0.53) 17.45
2002 15.66 0.08 (0.21) (0.13) (0.09) (1.45) (1.54) 13.99
2001 16.13 0.13 0.36 0.49 (0.14) (0.82) (0.96) 15.66
2000 14.06 0.15 2.05 2.20 (0.13) -- (0.13) 16.13
1999 13.67 0.05 0.57 0.62 (0.05) (0.18) (0.23) 14.06
Class I
2004* $17.44 $0.01(1) $ 4.17(1) $ 4.18 $(0.01) $(1.00) $(1.01) $20.61
2003 13.99 0.04(1) 3.90(1) 3.94 (0.05) (0.44) (0.49) 17.44
2002(5) 16.47 0.02 (2.49) (2.47) (0.01) -- (0.01) 13.99
- ----------------------------------------------------------------------------------------------------
Ratio of Net Ratio of
Investment Expenses
Ratio of Income to Average
Net Assets Expenses (Loss) Net Assets Portfolio
Total End of Period to Average to Average (Excluding Turnover
Return+ ($Thousands) Net Assets Net Assets Waivers) Rate
- -----------------------------------------------------------------------------------------------------
TAX-MANAGED LARGE CAP FUND
Class A
2004* 14.36% $2,044,042 0.85% 0.85% 1.02% 13%
2003 23.84 1,757,292 0.85 0.88 1.02 99
2002 (20.44) 1,436,467 0.85 0.65 1.03 80
2001 (29.92) 1,658,097 0.85 0.60 1.01 84
2000 8.66 1,969,302 0.85 0.69 1.06 47
1999 32.60 710,136 0.85 0.71 0.90 21
Class Y
2004* 14.50% $ 4,777 0.55% 1.15% 0.72% 13%
2003 24.26 3,834 0.55 1.17 0.72 99
2002(2) (28.05) 2,631 0.55 1.03 0.72 80
LARGE CAP VALUE FUND
Class A
2004* 17.86% $4,109,146 0.85% 1.65% 0.97% 23%
2003 22.55 3,527,686 0.85 1.61 0.97 106
2002 (18.06) 2,896,977 0.85 1.23 0.97 41
2001 (5.08) 3,590,194 0.85 1.11 0.97 89
2000 4.47 3,548,830 0.85 1.55 0.97 70
1999 17.13 2,452,540 0.85 1.26 0.85 49
Class I
2004* 17.72% $ 14,636 1.10% 1.39% 1.22% 23%
2003 22.17 9,086 1.10 1.36 1.22 106
2002 (18.24) 6,175 1.10 1.01 1.22 41
2001(3) (10.27) 152 1.10 1.09 1.22 89
LARGE CAP GROWTH FUND
Class A
2004* 10.97% $3,998,539 0.85% (0.01)% 1.02% 17%
2003 21.66 3,564,487 0.85 0.02 1.02 72
2002 (22.47) 2,904,802 0.85 (0.21) 1.02 62
2001 (51.08) 3,487,142 0.85 (0.29) 1.03 112
2000 30.67 4,898,050 0.85 (0.32) 1.02 69
1999 37.74 2,626,807 0.85 (0.24) 0.90 45
Class I
2004* 10.84% $ 16,603 1.10% (0.27)% 1.27% 17%
2003 21.37 12,323 1.10 (0.24) 1.27 72
2002 (22.73) 7,934 1.10 (0.41) 1.27 62
2001(3) (18.83) 81 1.10 (0.45) 1.28 112
TAX-MANAGED SMALL CAP FUND
Class A
2004* 21.40% $ 217,993 1.10% (0.33)% 1.27% 44%
2003 32.63 181,773 1.10 (0.21) 1.27 142
2002 (7.48) 143,764 1.10 (0.21) 1.26 86
2001(4) (18.46) 125,129 1.10 (0.04) 1.30 82
SMALL CAP VALUE FUND
Class A
2004* 24.89% $ 931,821 1.10% 0.36% 1.27% 42%
2003 29.28 795,501 1.10 0.52 1.27 99
2002 (2.20) 691,668 1.10 0.46 1.27 48
2001 3.12 794,109 1.10 0.78 1.26 99
2000 15.74 897,276 1.10 1.03 1.28 119
1999 4.47 572,125 1.10 0.38 1.10 130
Class I
2004* 24.65% $ 6,255 1.35% 0.09% 1.52% 42%
2003 28.91 2,572 1.35 0.23 1.52 99
2002(5) (14.99) 727 1.35 0.21 1.52 48
- --------------------------------------------------------------------------------
82 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- -----------------------------------------------------------------------------------------------------------------------------
Net
Realized
and Distributions
Net Asset Net Unrealized Dividends from Total
Value, Investment Gains from Net Realized Dividends Net Asset
Beginning Income (Losses) on Total from Investment Capital and Value, End
of Period (Loss) Securities Operations Income Gains Distributions of Period
- ------------------------------------------------------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
Class A
2004* $14.11 $(0.05)(1) $2.84(1) $2.79 $ -- $ -- $ -- $16.90
2003 9.62 (0.08)(1) 4.57(1) 4.49 -- -- -- 14.11
2002 12.35 (0.09)(1) (2.64)(1) (2.73) -- -- -- 9.62
2001 30.57 (0.14) (10.81) (10.95) -- (7.27) (7.27) 12.35
2000 21.12 (0.01) 11.28 11.27 -- (1.82) (1.82) 30.57
1999 13.68 (0.12) 7.62 7.50 -- (0.06) (0.06) 21.12
Class I
2004* $14.03 $(0.07)(1) $2.82(1) $2.75 $ -- $ -- $ -- $16.78
2003 9.59 (0.11)(1) 4.55(1) 4.44 -- -- -- 14.03
2002 12.35 (0.08)(1) (2.68)(1) (2.76) -- -- -- 9.59
2001(3) 15.59 (0.02) (3.22) (3.24) -- -- -- 12.35
MID-CAP FUND
Class A
2004* $14.96 $0.04(1) $3.24(1) $3.28 $(0.08) $(0.29) $(0.37) $17.87
2003 11.74 0.11(1) 3.25(1) 3.36 (0.08) (0.06) (0.14) 14.96
2002 12.19 0.06 (0.46)(1) (0.40) (0.05) -- (0.05) 11.74
2001 17.42 0.07 (3.22) (3.15) (0.08) (2.00) (2.08) 12.19
2000 15.19 0.07 3.76 3.83 (0.07) (1.53) (1.60) 17.42
1999 14.00 0.07 2.21 2.28 (0.07) (1.02) (1.09) 15.19
REAL ESTATE FUND
Class A
2004*(6) $10.00 $0.13(1) $1.46(1) $1.59 $(0.11) $ -- $(0.11) $11.48
CORE FIXED INCOME FUND
Class A
2004* $10.71 $0.18(1) $0.16(1) $0.34 $(0.19) $(0.13) $(0.32) $10.73
2003 10.67 0.40(1) 0.28(1) 0.68 (0.42) (0.22) (0.64) 10.71
2002 10.75 0.52 0.08 0.60 (0.52) (0.16) (0.68) 10.67
2001 10.08 0.61 0.67 1.28 (0.61) -- (0.61) 10.75
2000 10.03 0.62 0.05 0.67 (0.62) -- (0.62) 10.08
1999 10.92 0.56 (0.66) (0.10) (0.56) (0.23) (0.79) 10.03
Class I
2004* $10.71 $0.19(1) $0.14(1) $0.33 $(0.18) $(0.13) $(0.31) $10.73
2003 10.67 0.37(1) 0.28(1) 0.65 (0.39) (0.22) (0.61) 10.71
2002 10.76 0.49 0.07 0.56 (0.49) (0.16) (0.65) 10.67
2001(3) 10.60 0.08 0.16 0.24 (0.08) -- (0.08) 10.76
HIGH YIELD BOND FUND
Class A
2004* $ 8.37 $0.34(1) $0.21(1) $0.55 $(0.34) $ -- $(0.34) $ 8.58
2003 7.60 0.68(1) 0.77(1) 1.45 (0.68) -- (0.68) 8.37
2002 7.86 0.70 (0.26) 0.44 (0.70) -- (0.70) 7.60
2001 9.15 0.88 (1.29) (0.41) (0.88) -- (0.88) 7.86
2000 10.11 0.96 (0.96) -- (0.96) -- (0.96) 9.15
1999 10.81 1.02 (0.64) 0.38 (1.02) (0.06) (1.08) 10.11
- ----------------------------------------------------------------------------------------------------
Ratio of Net Ratio of
Investment Expenses
Ratio of Income to Average
Net Assets Expenses (Loss) Net Assets Portfolio
Total End of Period to Average to Average (Excluding Turnover
Return+ ($Thousands) Net Assets Net Assets Waivers) Rate
- -----------------------------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
Class A
2004* 19.77% $1,008,868 1.10% (0.57)% 1.27% 79%
2003 46.67 875,906 1.10 (0.66) 1.27 166
2002 (22.11) 606,999 1.10 (0.69) 1.27 156
2001 (42.83) 821,391 1.10 (0.80) 1.29 157
2000 55.28 1,575,462 1.10 (0.74) 1.27 182
1999 55.00 931,024 1.10 (0.72) 1.10 141
Class I
2004* 19.60% $ 8,067 1.35% (0.86)% 1.52% 79%
2003 46.30 5,339 1.35 (0.91) 1.52 166
2002 (22.35) 1,879 1.35 (0.71) 1.53 156
2001(3) (20.78) 46 1.35 (1.12) 1.54 157
MID-CAP FUND
Class A
2004* 22.19% $ 46,665 1.00% 0.45% 1.02% 46%
2003 28.92 41,502 1.00 0.86 1.03 109
2002 (3.34) 25,499 1.00 0.39 1.02 222
2001 (19.59) 32,976 1.00 0.51 1.02 193
2000 27.14 42,148 1.00 0.48 1.05 170
1999 16.53 34,995 1.00 0.40 1.00 139
REAL ESTATE FUND
Class A
2004*(6) 15.76% $ 10,866 1.10% 3.33% 1.92% 33%
CORE FIXED INCOME FUND
Class A
2004* 3.27% $4,108,095 0.60% 3.40% 0.85% 194%
2003 6.63 3,823,429 0.60 3.77 0.84 470
2002 5.89 3,686,946 0.60 4.96 0.84 379
2001 13.00 3,519,061 0.60 5.79 0.84 358
2000 6.97 3,113,103 0.60 6.27 0.83 265
1999 (0.96) 2,348,453 0.60 5.47 0.60 334
Class I
2004* 3.14% $ 6,924 0.85% 3.14% 1.10% 194%
2003 6.37 5,931 0.85 3.46 1.09 470
2002 5.53 4,268 0.85 4.52 1.09 379
2001(3) 2.28 86 0.85 5.01 1.09 358
HIGH YIELD BOND FUND
Class A
2004* 6.63% $1,045,589 0.85% 7.90% 1.11% 106%
2003 19.88 976,659 0.85 8.50 1.12 129
2002 5.45 745,525 0.85 8.67 1.12 126
2001 (4.76) 721,314 0.85 10.27 1.12 105
2000 (0.09) 763,941 0.85 9.92 1.12 40
1999 3.51 507,218 0.85 9.62 0.89 17
<FN>
+ Returns are for the period indicated and have not been annualized.
* For the six month period ended March 31, 2004. All ratios for the period have been annualized.
** Amount represents less then $0.01.
(1) Per share net investment income and net realized and unrealized gains/(losses) calculated using average shares.
(2) Commenced operations on April 8, 2002. All ratios for the period have been annualized.
(3) Commenced operations on August 6, 2001. All ratios for the period have been annualized.
(4) Commenced operations on October 31, 2000. All ratios for the period have been annualized.
(5) Commenced operations on February 11, 2002. All ratios for the period have been annualized.
(6) Commenced operations on November 13, 2003. All ratios for the period have been annualized.
(7) The amount shown for a share outstanding throughout the period does not accord with the aggregate net gains on investments for
the period because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the
Fund.
(8) Return of Capital.
Amounts designated as "--" are zero or have been rounded to zero.
</FN>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 83
Notes to Financial Statements (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 10 diversified Funds: Tax-Managed Large Cap,
Large Cap Value, Large Cap Growth, Tax-Managed Small Cap, Small Cap Value, Small
Cap Growth, Mid-Cap, Real Estate, Core Fixed Income and High Yield Bond Funds
(each a "Fund," collectively the "Funds"). The Trust is registered to offer
Class A shares of the Tax-Managed Large Cap, Large Cap Value, Large Cap Growth,
Tax-Managed Small Cap, Small Cap Value, Small Cap Growth, Mid-Cap, Real Estate,
Core Fixed Income and High Yield Bond Funds, Class I shares of the Large Cap
Value, Large Cap Growth, Small Cap Value, Small Cap Growth and Core Fixed Income
Funds, and Class Y shares of Tax-Managed Large Cap Fund. The assets of each Fund
are segregated, and a shareholder's interest is limited to the Fund in which
shares are held. The Funds' prospectus provides a description of each Fund's
investment objective, policies, and strategies.
On June 20, 2003, the Board of Trustees of the Funds approved the creation of
the Large Cap Disciplined Equity and Managed Volatility Funds. On December 10,
2003, the Board of Trustees of the Funds approved the creation of the Small/Mid
Cap Equity Fund. As of March 31, 2004 these Funds had not yet commenced
operations.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by
the Funds.
USE OF ESTIMATES -- The preparation of financial statements, in conformity with
accounting principles generally accepted in the United States of America,
requires management to make estimates and assumptions that affect the reported
amount of net assets and liabilities and disclosure of contingent assets at the
date of the financial statements, and the reported results of operations during
the reporting period. Actual results could differ from those estimates.
SECURITY VALUATION -- Investments in equity securities which are traded on a
national securities exchange are stated at the last quoted sales price if
readily available for such equity securities on each business day; other equity
securities traded in the over-the-counter market, and listed equity securities
for which no sale was reported on that date, are stated at the last quoted bid
price. Securities that are quoted on a National Market System are valued at the
official closing price. Debt obligations with remaining maturities in excess of
sixty days are valued at the most recently quoted bid price. Debt obligations
with remaining maturities of sixty days or less may be valued at their amortized
cost, which approximates market value. Subject to the foregoing, other
securities for which quotations are not readily available are valued in
accordance with fair value procedures as determined in good faith by the Board
of Trustees.
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.
Amortization and accretion is calculated using the scientific interest method,
which approximates the effective interest method over the holding period of the
security. Amortization of premiums and discounts is included in interest income.
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 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.
COMPENSATING BALANCES -- Funds with cash overdrafts in excess of $100,000 are
required to leave 112% in compensating balance with Wachovia Bank NA, the
custodian of the Trust, on the following day. Funds with positive cash balances
in excess of $100,000 are allowed to overdraw 90% of the balance with Wachovia
Bank NA on the following day.
EXPENSES -- Expenses that are directly related to one of the Funds 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.
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.
FUTURES CONTRACTS -- The Tax-Managed Large Cap, Large Cap Value, Large Cap
Growth and Mid-Cap Funds utilized S&P 500 Composite Index futures contracts; the
Tax-Managed Small Cap, Small Cap Value, and Small Cap Growth Funds utilized the
Russell 2000 Index futures contracts; Tax-Managed Small Cap Fund utilized the
S&P 400 Index futures contracts; and the Core Fixed Income Fund utilized U.S.
Treasury 5 year notes, 10 year notes and 30 year bonds futures contracts
- --------------------------------------------------------------------------------
84 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
during the six month period ended March 31, 2004. The Funds' investments in S&P
500 Composite Index, S&P 400 Index and Russell 2000 Index futures contracts are
designed to enable the Funds to more closely approximate the performance of
their benchmark indices. The Core Fixed Income Fund's use of futures contracts
is primarily for tactical hedging purposes. 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 Fund records 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 related to futures contracts include the possibility that there may not be
a liquid market for the contracts, or that changes in the values of the contract
may not directly correlate with changes in the values of the underlying
securities. Futures contracts involve risk of loss in excess of the amounts
recognized in the Statement of Net Assets and Statement of Assets and
Liabilities to the extent of the contract amounts.
The following Funds had long (short) futures contracts open as of March 31,
2004:
- --------------------------------------------------------------------------------
Unrealized
Contract Appreciation
Contract Number of Value Expiration(Depreciation)
Description Contracts ($Thousands) Date ($Thousands)
- --------------------------------------------------------------------------------
TAX-MANAGED LARGE CAP FUND
S&P 500 Composite Index 152 $42,746 06/18/04 $ 312
-------
LARGE CAP VALUE FUND
S&P 500 Composite Index 41 11,530 06/18/04 82
-------
LARGE CAP GROWTH FUND
S&P 500 Composite Index 225 63,276 06/18/04 451
-------
TAX-MANAGED SMALL CAP FUND
Russell 2000 Index 13 3,839 06/23/04 129
S&P 400 Index 10 3,018 06/18/04 52
-------
181
-------
SMALL CAP VALUE FUND
Russell 2000 Index 34 10,040 06/23/04 328
-------
SMALL CAP GROWTH FUND
Russell 2000 Index 93 27,463 06/23/04 768
-------
MID-CAP FUND
S&P 500 Composite Index 6 1,687 06/18/04 8
-------
CORE FIXED INCOME FUND
U.S. Ten Year Note (529) (61,050) 06/23/04 23
U.S. Five Year Note (CBT) (2,330) (264,601) 06/23/04 (2,085)
U.S. Long Treasury
Bond (CBT) 416 47,450 06/23/04 (26)
U.S. Long Treasury
Bond (CBT) (17) (1,915) 09/23/04 (35)
-------
$(2,123)
-------
OPTION WRITING/PURCHASING -- Each Fund may invest in financial option contracts
solely for the purpose of hedging its existing fund securities, or securities
that the Fund intends to purchase, against fluctuations in fair value caused by
changes in prevailing market interest rates. When the Fund writes or purchases
an option, an amount equal to the premium received or paid by the Fund is
recorded as a liability or an asset and is subsequently adjusted to the current
market value of the option written or purchased. Premiums received or paid from
writing or purchasing options which expire unexercised are treated by the Fund
on the expiration date as realized gains or losses. The difference between the
premium and the amount paid or received on effecting a closing purchase or sale
transaction, including brokerage commissions, is also treated as a realized gain
or loss. If an option is exercised, the premium paid or received is added to the
cost of the purchase or proceeds from the sale in determining whether the Fund
has realized a gain or a loss on investment transactions. The Core Fixed Income
Fund had option contracts as of March 31, 2004 as disclosed in the Fund's
Schedule of Investments.
Written option transactions entered into during the six month period ended March
31, 2004 are summarized as follows:
- --------------------------------------------------------------------------------
Core Fixed Income
- --------------------------------------------------------------------------------
Premium
# of Contracts ($Thousands)
- --------------------------------------------------------------------------------
Balance at the beginning of period 2,512 $ 2,677
Written 14,899 6,657
Expired (2,940) (3,186)
Exercised -- --
Closing Buys (11,935) (3,711)
- --------------------------------------------------------------------------------
Balance at the end of period 2,536 $ 2,437
- --------------------------------------------------------------------------------
At March 31, 2004 the Core Fixed Income Fund had cash and/or securities at least
equal to the value of written options.
DELAYED DELIVERY TRANSACTIONS -- The Core Fixed Income Fund may purchase or sell
securities on a when-issued or delayed delivery basis. These transactions
involve a commitment by the Fund to purchase or sell securities for a
predetermined price or yield, with payment and delivery taking place beyond the
customary settlement period. When delayed delivery purchases are outstanding,
the Fund will set aside liquid assets in an amount sufficient to meet the
purchase price. When purchasing a security on a delayed delivery basis, the Fund
assumes the rights and risks of ownership of the security, including the risk of
price and yield fluctuations, and takes such fluctuations into account when
determining its net asset value. The Fund may dispose of or renegotiate a
delayed delivery transaction after it is entered into, and may sell when-issued
securities before they are delivered, which may result in a capital gain or
loss. When the Fund has sold a security on a delayed delivery basis, the Fund
does not participate in future gains and losses with respect to the security.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 85
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
ILLIQUID SECURITIES -- Valuations of illiquid securities may differ
significantly from the values that would have been used had an active market
value for these securities existed.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment
income are declared and paid to shareholders quarterly for the Tax-Managed Large
Cap, Large Cap Value, Large Cap Growth, Tax-Managed Small Cap, Small Cap Value,
Small Cap Growth, Mid-Cap and Real Estate Funds; and declared daily and paid
monthly for the Core Fixed Income and High Yield Bond Funds. Dividends and
distributions are recorded on the ex-dividend date.
The Small Cap Value, Mid-Cap and Core Fixed Income Funds utilized earnings and
profits distributed to shareholders on redemption of shares as a part of the
dividends paid deduction for income tax purposes.
3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
ADMINISTRATION AGREEMENT -- The Trust and SEI Investments Fund Management (the
"Administrator"), are parties to an amended and restated Administration and
Transfer Agency Agreement dated December 10, 2003 under which the Administrator
provides administrative and transfer agency services to the Funds for an annual
fee of 0.35% of the average daily net assets of the Tax-Managed Large Cap Class
A, Large Cap Value, Large Cap Growth, Tax-Managed Small Cap, Small Cap Value,
Small Cap Growth, Mid-Cap, Real Estate and High Yield Bond Funds; 0.15% of
average daily net assets of the Tax-Managed Large Cap Class Y; and 0.28% of the
average daily net assets of the Core Fixed Income Fund. The Administrator has
agreed to waive all or a portion of its fee in order to limit the operating
expenses of a Fund. Any such waiver is voluntary and may be terminated at any
time at the Administrator's sole discretion.
INVESTMENT ADVISORY AGREEMENT -- SEI Investments Management Corporation ("SIMC")
serves as investment adviser (the "Adviser") to each Fund. In connection with
serving as investment adviser, SIMC is entitled to a fee, which is calculated
daily and paid monthly, at an annual rate of 0.35% of the Large Cap Value Fund's
average daily net assets, at an annual rate of 0.40% of the Tax-Managed Large
Cap, Large Cap Growth and Mid-Cap Funds' average daily net assets, at an annual
rate of 0.65% of the Tax-Managed Small Cap, Small Cap Value, Small Cap Growth
and Real Estate Funds' average daily net assets, at an annual rate of 0.275% of
the Core Fixed Income Fund's average daily net assets, and at an annual rate of
0.4875% of the High Yield Bond Fund's average daily net assets. The Adviser has
voluntarily agreed to waive a portion of its fee in an amount equal to 0.05% of
the average daily net assets of the Tax-Managed Large Cap and Large Cap Growth
Funds.
SIMC has entered into investment sub-advisory agreements with the following
parties:
- --------------------------------------------------------------------------------
Currently Managing
Date of a Portion of Fund
Investment Sub-Adviser Agreement (Y/N)
- --------------------------------------------------------------------------------
TAX-MANAGED LARGE CAP FUND
Alliance Capital Management 10/02/00 Y
Aronson + Johnson + Ortiz, LP 07/01/03 Y
Franklin Portfolio Associates 07/01/03 Y
Goldman Sachs Asset Management 01/24/03 Y
LSV Asset Management 08/03/01 Y
Montag and Caldwell, Inc. 03/12/02 Y
Parametric Portfolio Associates 09/10/03 Y
Peregrine Capital Management 02/16/01 Y
Transamerica Investment
Management, LLC 09/17/01 Y
LARGE CAP VALUE FUND
Alliance Capital Management 12/15/97 Y
Aronson + Johnson + Ortiz, LP 07/01/03 Y
Franklin Portfolio Associates 07/01/03 Y
LSV Asset Management 03/31/95 Y
LARGE CAP GROWTH FUND
Goldman Sachs Asset Management 01/24/03 Y
McKinley Capital Management, Inc. 06/26/02 Y
Montag and Caldwell, Inc. 03/12/02 Y
Peregrine Capital Management 12/07/00 Y
Transamerica Investment
Management, LLC 09/17/01 Y
TAX-MANAGED SMALL CAP FUND
BlackRock Advisors 07/01/03 Y
David J. Green and Company, LLC 10/31/00 Y
Delaware Investments 07/01/03 Y
LSV Asset Management 08/14/00 Y
Mazama Capital Management, LLC 12/09/02 Y
McKinley Capital Management, Inc. 08/14/00 Y
SMALL CAP VALUE FUND
Artisan Partners Limited Partnership 03/26/99 Y
BlackRock Advisors 07/01/03 Y
David J. Greene and Company, LLC 08/14/01 Y
LSV Asset Management 06/11/97 Y
Lee Munder Investments 07/01/03 Y
Martingale Asset Management 12/09/02 Y
Security Capital Research and
Management 05/14/02 Y
Wellington Management Company 07/28/03 Y
SMALL CAP GROWTH FUND
Lee Munder Investments Ltd. 12/09/02 Y
Mazama Capital Management LLC 12/13/99 Y
McKinley Capital Management Inc. 10/30/00 N
Delaware Investments 07/01/03 Y
Wellington Management Co., LLP 03/14/02 Y
MID-CAP FUND
Martingale Asset Management, L.P. 09/26/95 Y
REAL ESTATE FUND
Security Capital Research and
Management 07/01/03 Y
Wellington Management Company 11/12/03 Y
- --------------------------------------------------------------------------------
86 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
- --------------------------------------------------------------------------------
Currently Managing
Date of a Portion of Fund
Investment Sub-Adviser Agreement (Y/N)
- --------------------------------------------------------------------------------
CORE FIXED INCOME FUND
BlackRock, Inc. 01/02/96 Y
Metropolitan West Asset Management 06/26/02 Y
Wells Capital Management, Inc. 09/30/03 Y
Western Asset Management Company 11/13/95 Y
HIGH YIELD BOND FUND
ING Great Asset Management 11/13/03 Y
Lincoln Capital Fixed Income
Management Company, LLC 11/10/03 Y
Metropolitan West Asset Management, LLP 11/02/03 Y
Nomura Corporate Research and
Asset Management 09/22/99 Y
Under the investment sub-advisory agreements, each party receives an annual fee,
paid by SIMC.
DISTRIBUTION AGREEMENT -- SEI Investments Distribution Co. (the "Distributor"),
a wholly-owned subsidiary of SIMC, serves as each Fund's distributor pursuant to
a distribution agreement with the Trust. The Trust has adopted a shareholder
servicing plan for Class A, Class I and Class Y shares (the "Shareholder
Servicing Plans") under which a shareholder servicing fee of up to 0.25% of
average daily net assets attributable to Class A and Class I shares and a
shareholder servicing fee of up to 0.15% of average daily net assets
attributable to Class Y shares will be paid to the Distributor. In addition to
the Shareholder Servicing Plans, the Class I shares have adopted Administrative
service plans that provide for administrative service fees payable to the
Distributor of up to 0.25% of the average daily net assets attributed to that
class.
OTHER -- The Distribution Agreement between the Distributor and the Trust
provides that the Distributor may receive compensation on fund transactions
effected for the Trust in accordance with the rules of the Securities and
Exchange Commission ("SEC"). Accordingly, it is expected that fund transactions
may result in brokerage commissions being paid to the Distributor. SEC rules
require that such commissions not exceed usual and customary commissions.
Such commissions for the six month period ended March 31, 2004 were as follows
($ Thousands):
Tax-Managed Large Cap Fund $ 152
Large Cap Value Fund 281
Large Cap Growth Fund 662
Tax-Managed Small Cap Fund 55
Small Cap Value Fund 135
Small Cap Growth Fund 341
Real Estate Fund 1
------
$1,627
======
For the six month period ended March 31, 2004, the Funds paid commissions to
affiliated broker-dealers as follows ($ Thousands):
Tax-Managed Large Cap Fund $ 90
Large Cap Value Fund 130
Large Cap Growth Fund 367
Tax-Managed Small Cap Fund 2
Small Cap Value Fund 1
Small Cap Growth Fund 44
----
$634
====
Under both the Shareholder Servicing Plans and Administrative Service Plan, the
Distributor may retain as profit any difference between the fee it receives and
the amount it pays to third parties. For the period ended March 31, 2004, the
Distributor retained 100% of the Shareholder Servicing fees less the waiver, and
100% of the Administration Servicing fees.
Certain officers and/or trustees of the Trust are also officers of the
Administrator. The Trust pays each unaffiliated Trustee an annual fee for
attendance at quarterly, interim and committee meetings. Compensation of
officers and affiliated Trustees of the Trust is paid by the Adviser or
Administrator.
LSV Asset Management (a partially-owned subsidiary of SIMC) serves as the
sub-adviser to the Tax-Managed Large Cap, Large Cap Value, Tax-Managed Small Cap
and Small Cap Value Funds. For this service LSV Asset Management is entitled to
receive a fee from SIMC. Such fees for the six month period ended March 31, 2004
were as follows ($ Thousands):
Tax-Managed Large Cap Fund $ 128
Large Cap Value Fund 643
Tax-Managed Small Cap Fund 104
Small Cap Value Fund 298
------
$1,173
======
Pursuant to an exemptive order issued by the Securities and Exchange Commission,
the Funds may invest in the SEI money market funds, provided that investments in
the money market funds do not exceed 25% of the investing Fund's total assets.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 87
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
4. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
For the six month period ended March 31, 2004 (Unaudited) and the year ended
September 30, 2003
- ---------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED LARGE CAP LARGE CAP
LARGE CAP FUND VALUE FUND GROWTH FUND
- ---------------------------------------------------------------------------------------------------------------------------
10/1/03 10/1/02 10/1/03 10/1/02 10/1/03 10/1/02
to 3/31/04 to 9/30/03 to 3/31/04 to 9/30/03 to 3/31/04 to 9/30/03
- ---------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 27,477 116,040 26,694 92,554 30,293 100,693
Shares Issued in Lieu of Dividends
and Distributions 1,073 1,629 2,318 3,248 -- 133
Shares Redeemed (24,119) (118,161) (29,054) (93,727) (27,848) (98,764)
- ---------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 4,431 (492) (42) 2,075 2,445 2,062
- ---------------------------------------------------------------------------------------------------------------------------
Class I:
Shares Issued -- -- 265 255 275 344
Shares Issued in Lieu of Dividends
and Distributions -- -- 6 6 -- --
Shares Redeemed -- -- (65) (164) (106) (172)
- ---------------------------------------------------------------------------------------------------------------------------
Total Class I Transactions -- -- 206 97 169 172
- ---------------------------------------------------------------------------------------------------------------------------
Class Y:
Shares Issued 95 130 -- -- -- --
Shares Issued in Lieu of Dividends
and Distributions 3 4 -- -- -- --
Shares Redeemed (58) (69) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------
Total Class Y Transactions 40 65 -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Share Transactions 4,471 (427) 164 2,172 2,614 2,234
===========================================================================================================================
- ---------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED SMALL CAP SMALL CAP
SMALL CAP FUND VALUE FUND GROWTH FUND
- ---------------------------------------------------------------------------------------------------------------------------
10/1/03 10/1/02 10/1/03 10/1/02 10/1/03 10/1/02
to 3/31/04 to 9/30/03 to 3/31/04 to 9/30/03 to 3/31/04 to 9/30/03
- ---------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 2,745 11,496 6,976 18,452 8,774 31,812
Shares Issued in Lieu of Dividends
and Distributions -- -- 2,409 1,624 -- --
Shares Redeemed (2,958) (12,382) (9,799) (23,929) (11,167) (32,809)
- ---------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions (213) (886) (414) (3,853) (2,393) (997)
- ---------------------------------------------------------------------------------------------------------------------------
Class I:
Shares Issued -- -- 194 134 242 272
Shares Issued in Lieu of Dividends
and Distributions -- -- 10 2 -- --
Shares Redeemed -- -- (48) (41) (142) (88)
- ---------------------------------------------------------------------------------------------------------------------------
Total Class I Transactions -- -- 156 95 100 184
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Share Transactions (213) (886) (258) (3,758) (2,293) (813)
===========================================================================================================================
Amounts designated as "--" are zero or have been rounded to zero.
- --------------------------------------------------------------------------------
88 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
For the six month period ended March 31, 2004 (Unaudited) and the year ended
September 30, 2003
- ----------------------------------------------------------------------------------------------------------------------------
REAL ESTATE CORE FIXED HIGH YIELD
MID-CAP FUND FUND(1) INCOME FUND BOND FUND
- ----------------------------------------------------------------------------------------------------------------------------
10/1/03 10/1/02 11/13/03 10/1/03 10/1/02 10/1/03 10/1/02
to 3/31/04 to 9/30/03 to 3/31/04 to 3/31/04 to 9/30/03 to 3/31/04 to 9/30/03
- ----------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 580 2,032 994 72,951 155,837 27,232 70,510
Shares Issued in Lieu of Dividends
and Distributions 56 26 3 10,226 18,747 4,441 8,833
Shares Redeemed (799) (1,457) (50) (57,360) (162,967) (26,490) (60,797)
- ----------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions (163) 601 947 25,817 11,617 5,183 18,546
Class I:
Shares Issued -- -- -- 239 642 -- --
Shares Issued in Lieu of Dividends
and Distributions -- -- -- 16 29 -- --
Shares Redeemed -- -- -- (164) (517) -- --
- ----------------------------------------------------------------------------------------------------------------------------
Total Class I Transactions -- -- -- 91 154 -- --
Net Increase (Decrease) in Capital Share
Transactions (163) 601 947 25,908 11,771 5,183 18,546
============================================================================================================================
(1) The Real Estate Fund commenced operations on November 13, 2003.
Amounts designated as "--" are zero or have been rounded to zero.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities, other
than temporary cash investments and futures, during the six month period ended
March 31, 2004, were as follows:
- --------------------------------------------------------------------------------
U.S. Gov't Other Total
($Thousands) ($Thousands) ($Thousands)
- --------------------------------------------------------------------------------
TAX-MANAGED
LARGE CAP FUND
Purchases ....... $ -- $ 267,951 $ 267,951
Sales ........... -- 246,723 246,723
LARGE CAP VALUE FUND
Purchases ....... -- 875,367 875,367
Sales ........... -- 899,049 899,049
LARGE CAP GROWTH FUND
Purchases ....... -- 668,958 668,958
Sales ........... -- 648,823 648,823
TAX-MANAGED
SMALL CAP FUND
Purchases ....... -- 85,953 85,953
Sales ........... -- 90,092 90,092
SMALL CAP VALUE FUND
Purchases ....... -- 356,973 356,973
Sales ........... -- 388,628 388,628
SMALL CAP GROWTH FUND
Purchases ....... -- 752,495 752,495
Sales ........... -- 799,834 799,834
MID-CAP FUND
Purchases ....... -- 20,487 20,487
Sales ........... -- 24,655 24,655
REAL ESTATE FUND
Purchases ....... -- 11,570 11,570
Sales ........... -- 1,334 1,334
- --------------------------------------------------------------------------------
U.S. Gov't Other Total
($Thousands) ($Thousands) ($Thousands)
- --------------------------------------------------------------------------------
CORE FIXED INCOME FUND
Purchases ....... $6,349,612 $ 629,277 $6,978,889
Sales ........... 6,259,678 647,283 6,906,961
HIGH YIELD BOND FUND
Purchases ....... 4,836 1,081,065 1,085,901
Sales ........... 2,756 1,046,548 1,049,304
6. FEDERAL TAX INFORMATION
It is each Fund's intention to continue to qualify as a regulated investment
company for Federal income tax purposes and distribute all of its taxable income
(including net capital gains). Accordingly, no provision for Federal income
taxes is required.
The Real Estate Fund has a December 31 fiscal year end for tax reporting
purposes.
Dividends from net investment income and distributions from net realized capital
gains are determined in accordance with U.S. Federal income tax regulations,
which may differ from those amounts determined under accounting principles
generally accepted in the United States. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are permanent,
they are charged or credited to paid-in capital, undistributed net investment
income or accumulated net realized gain, as appropriate, in the period that the
differences arise.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 89
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
6. FEDERAL TAX INFORMATION (CONTINUED)
Capital Share Transactions for the Funds were as follows (Thousands):
The tax character of dividends and distributions paid during the years ended
September 30, 2003 and September 30, 2002 were as follows:
- ---------------------------------------------------------------------------------------------------------------------------
Ordinary Long-term Return of
Income Capital Gain Capital Total
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------------------------------------------------------------------
Tax-Managed Large Cap Fund 2003 $ 14,190 $ -- $ -- $ 14,190
2002 11,233 -- -- 11,233
Large Cap Value Fund 2003 52,336 -- -- 52,336
2002 46,212 40,175 -- 86,387
Large Cap Growth Fund 2003 599 -- 1,355 1,954
2002 -- -- -- --
Small Cap Value Fund 2003 4,152 22,089 -- 26,241
2002 46,592 32,485 -- 79,077
Mid-Cap Fund 2003 217 165 -- 382
2002 165 -- -- 165
Core Fixed Income Fund 2003 166,770 50,341 -- 217,111
2002 213,321 17,345 -- 230,666
High Yield Bond Fund 2003 75,605 -- -- 75,605
2002 67,313 -- -- 67,313
As of September 30, 2003, the components of Distributable Earnings/(Accumulated Losses) were as follows:
- ------------------------------------------------------------------------------------------------------------------------------------
Total
Distributable
Undistributed Undistributed Capital Post Unrealized Other Earnings/
Ordinary Long-Term Loss October Appreciation Temporary (Accumulated
Income Capital Gain Carryforwards Losses (Depreciation) Differences Losses)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- ------------------------------------------------------------------------------------------------------------------------------------
Tax-Managed Large Cap Fund $ 3,154 $ -- $ (558,285) $ (64,815) $ 12,057 -- (607,889)
Large Cap Value Fund 13,769 -- (77,757) (100,906) (39,787) -- (204,681)
Large Cap Growth Fund -- -- (1,529,541) (65,369) (265,694) -- (1,860,604)
Tax-Managed Small Cap Fund -- -- (11,586) -- 20,743 -- 9,157
Small Cap Value Fund 14,732 18,540 -- -- 91,337 -- 124,609
Small Cap Growth Fund -- -- (309,132) (11,575) 28,506 -- (292,201)
Mid-Cap Fund 803 -- -- (403) 4,104 -- 4,504
Core Fixed Income Fund 44,836 1,294 -- -- 77,776 (841) 123,065
High Yield Bond Fund 208 -- (198,174) -- 36,392 (212) (161,786)
Post October losses represent losses realized on investment transactions from November 1, 2002 through September 30, 2003
that, in accordance with Federal income tax regulations, the Funds may defer and treat as having arisen in the following
fiscal year. For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against
future capital gains as follows:
- ------------------------------------------------------------------------------------------------------------------------------------
Total Capital
Expires Expires Expires Expires Expires Loss
2011 2010 2009 2008 2007 Carryforwards
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- ------------------------------------------------------------------------------------------------------------------------------------
Tax-Managed Large Cap Fund $203,461 $316,235 $37,081 $1,508 $-- $ 558,285
Large Cap Value Fund 77,757 -- -- -- -- 77,757
Large Cap Growth Fund 625,971 903,570 -- -- -- 1,529,541
Tax-Managed Small Cap Fund -- 11,586 -- -- -- 11,586
Small Cap Growth Fund 37,340 218,424 53,368 -- -- 309,132
High Yield Bond Fund 57,114 129,196 8,141 3,715 8 198,174
During the year ended September 30, 2003 the Tax-Managed Small Cap Fund utilized $5,318,246 of capital loss carryforwards to offset
capital gains.
- --------------------------------------------------------------------------------
90 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004
For Federal income tax purposes, the cost of securities owned at March 31, 2004,
and the net realized gains or losses on securities sold for the period were not
materially different from amounts reported for financial reporting purposes. The
aggregate gross unrealized appreciation and depreciation on investments held by
the Funds at March 31, 2004, were as follows:
- --------------------------------------------------------------------------------
Net
Federal Appreciated Depreciated Unrealized
Tax Cost Securities Securities Appreciation
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Tax-Managed Large
Cap Fund $1,886,471 $347,128 $(80,691) $266,437
Large Cap
Value Fund 3,915,787 629,352 (149,574) 479,778
Large Cap
Growth Fund 4,057,420 479,050 (259,160) 219,890
Tax-Managed
Small Cap Fund 176,835 48,014 (6,732) 41,282
Small Cap
Value Fund 836,956 209,868 (19,910) 189,958
Small Cap
Growth Fund 1,064,366 180,612 (73,093) 107,519
Mid-Cap Fund 42,130 9,208 (686) 8,522
Real Estate Fund 10,623 485 (14) 471
Core Fixed
Income Fund 5,464,839 134,413 (26,016) 108,397
High Yield
Bond Fund 1,096,923 31,990 (23,085) 8,905
7. SECURITIES LENDING
Each Fund may lend portfolio securities to brokers, dealers and other financial
organizations that meet capital and other credit requirements or other criteria
established by the Trust's Board of Trustees. These loans may not exceed 331/3%
of the total asset value of the Fund (including the loan collateral). No Fund
will lend portfolio securities to its Adviser, sub-adviser or their affiliates
unless it has applied for and received specific authority to do so from the SEC.
Loans of portfolio securities will be fully collateralized by cash. Collateral
will be maintained in an amount equal to at least 100% of the current market
value of the loaned securities by marking to market daily, although the borrower
will be required to deliver collateral of 102% and 105% of the market value of
borrowed securities for domestic and foreign securities, respectively. However,
due to market fluctuations during the day, the value of securities loaned on a
particular day may, during the course of the day, exceed the value of
collateral. On each business day, the amount of collateral is adjusted based on
the prior day's market fluctuations and the current day's lending activity.
Income from lending activity is determined by the amount of interest earned on
collateral, less any amounts payable to the borrowers of the securities and the
lending agent. Lending securities involves certain risks, including the risk
that the Fund may be delayed or prevented from recovering the collateral if the
borrower fails to return the securities.
Cash collateral received in connection with securities lending is invested in
short-term investments by the lending agent. These investments may include
repurchase agreements, which are collateralized by United States Treasury and
Government Agency securities, and high-quality, short-term instruments, such as
floating rate corporate obligations, commercial paper, and private placements
with an average weighted maturity not to exceed 60 days and a maturity not to
exceed 397 days.
8. CONCENTRATIONS/RISKS
In the normal course of business, the Funds enter into contracts that provide
general indemnifications. The Funds' maximum exposure under these arrangements
is dependent on future claims that may be made against the Funds and, therefore,
cannot be estimated; however, based on experience, the risk of loss from such
claims is considered remote.
The market values of the Core Fixed Income Fund's investments will change in
response to interest rate changes and other factors. During periods of falling
interest rates, the values of fixed income securities generally rise.
Conversely, during periods of rising interest rates, the values of such
securities generally decline. Changes by recognized rating agencies in the
ratings of any fixed income security and in the ability of an issuer to make
payments of interest and principal may also affect the value of these
investments.
9. LITIGATION
The Core Fixed Income Fund has participated as a plaintiff bondholder, along
with other institutional bondholders, in litigation against Duty Free
International, British Airport Authority and other defendants relating to Notes
issued by Duty Free International which are held by the Fund. British Airport
Authority is the former parent company of Duty Free International. During 2003,
the plaintiffs in that action reached a settlement with all defendants with the
exception of British Airport Authority. Under that settlement, Duty Free
International paid the plaintiffs approximately 64% of the par value of the
bonds. The settlement also contained provisions for the issuance of a $10
million Note by Duty Free International to the bondholders, subject to certain
conditions. The litigation proceeded to jury trial against British Airport
Authority in December 2003, and the jury found against the plaintiffs on all
counts. Plaintiffs are currently pursuing an appeal. The Core Fixed Income Fund
is bearing its portion of the legal expenses associated with this litigation
over and above the expense caps of the Fund.
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SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2004 91
Notes
SEI INSTITUTIONAL MANAGED TRUST SEMI-ANNUAL REPORT MARCH 31, 2004
Robert A. Nesher, CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Rosemarie B. Greco
Nina Lesavoy
James M. Storey
George J. Sullivan, Jr.
OFFICERS
Edward D. Loughlin
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Peter (Pedro) A. Rodriguez
CONTROLLER AND CHIEF FINANCIAL OFFICER
Timothy D. Barto
VICE PRESIDENT, SECRETARY
Lydia A. Gavalis
VICE PRESIDENT, ASSISTANT SECRETARY
John J. McCue
VICE PRESIDENT
John J. Munera
VICE PRESIDENT, ASSISTANT SECRETARY
William E. Zitelli, Jr.
VICE PRESIDENT, ASSISTANT SECRETARY
Christine M. McCullough
VICE PRESIDENT, ASSISTANT SECRETARY
John C. Munch
VICE PRESIDENT, ASSISTANT SECRETARY
INVESTMENT ADVISER
SEI Investments Management Corporation
ADMINISTRATOR
SEI Investments Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT AUDITORS
PricewaterhouseCoopers 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)
[BACKGROUND GRAPHICS OMITTED]
SEI INVESTMENTS
SEI Investments Distribution Co.
Oaks, PA 19456
1 800-DIAL-SEI (1 800 342 5734)
SEI-F-092 (03/04)
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.
ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable to open-end investment management companies.
ITEM 6. (RESERVED)
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to open-end investment management companies.
ITEM 8. PURCHASERS OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not applicable.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
ITEM 10. CONTROLS AND PROCEDURES.
(a) The certifying officers, whose certifications are included herewith, have
evaluated the registrant's disclosure controls and procedures within 90 days of
the filing date of this report. In their opinion, based on their evaluation, the
registrant's disclosure controls and procedures are adequately designed, and are
operating effectively to ensure, that information required to be disclosed by
the registrant in the reports it files or submits under the Securities Exchange
Act of 1934 is recorded, processed, summarized and reported within the time
periods specified in the Securities and Exchange Commission's rules and forms.
(b) There were no significant changes in the registrant's internal control over
financial reporting that occurred during the registrant's last fiscal half-year
that has materially affected, or is reasonably likely to materially affect, the
registrants internal control over financial reporting.
ITEMS 11. EXHIBITS.
(a)(1) Not applicable for semi-annual report.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed
herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing
as an Exhibit.
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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.
(Registrant) SEI Institutional Managed Trust
By (Signature and Title)* /s/ Edward Dl Loughlin
----------------------
Edward D. Loughlin
Chief Executive Officer
Date: 05/21/04
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 (Signature and Title)* /s/ Edward D. Loughlin
----------------------
Edward D. Loughlin
Chief Executive Officer
Date: 05/21/04
By (Signature and Title)* /s/ Peter (Pedro) A. Rodriguez
------------------------------
Peter (Pedro) A. Rodriguez
Chief Financial Officer
Date: 05/21/04
* Print the name and title of each signing officer under his or her signature.