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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c/o CT Corporation
101 Federal St. 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, 2005
DATE OF REPORTING PERIOD: MARCH 31, 2005
ITEM 1. REPORTS TO STOCKHOLDERS.
[BACKGROUND GRAPHIC OMITTED]
[SEI INVESTMENTS LOGO OMITTED]
Semi-Annual Report as of March 31, 2005 (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
Managed Volatility Fund
Real Estate Fund
Core Fixed Income Fund
High Yield Bond Fund
TABLE OF CONTENTS
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Statements of Net Assets/Schedule of Investments 1
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Statements of Assets and Liabilities 93
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Statements of Operations 94
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Statements of Changes in Net Assets 96
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Financial Highlights 100
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Notes to Financial Statements 102
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Disclosure of Fund Expenses 111
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Board of Trustees Considerations in Approving
the Advisory and Sub-Advisory Agreements 113
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Shareholder Voting Results 115
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The Trust's Form N-Q is available on the Commission's web site at
http://www.sec.gov, and may be reviewed and copied at the Commission's Public
Reference Room in Washington, DC. Information on the operation of the Public
Reference Room may be obtained by calling 1-800-SEC-0330.
A description of the policies and procedures that the Trust uses to determine
how to vote proxies relating to portfolio securities, as well as information
relating to how a Fund voted proxies relating to portfolio securities during the
most recent 12-month period ended June 30, is available (i) without charge, upon
request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at
http://www.sec.gov.
STATEMENT OF NET ASSETS (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2005
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[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR WEIGHTINGS*:
26.0% Financials
13.3% Consumer Discretionary
12.7% Information Technology
9.4% Health Care
9.1% Industrials
7.7% Energy
7.5% Consumer Staples
4.4% Short-Term Investments
2.6% Materials
2.6% Utilities
2.5% Telecommunication Services
2.2% Asset-Backed Securities
* Percentages based on total investments.
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 97.9%
CONSUMER DISCRETIONARY -- 15.1%
Abercrombie & Fitch, Cl A 22,100 $ 1,265
Amazon.Com (B)* 7,700 264
American Eagle Outfitters 58,400 1,726
Autoliv 89,600 4,269
Autonation (B)* 62,300 1,180
Autozone (B)* 3,200 274
Barnes & Noble (B)* 22,100 762
Bed Bath & Beyond* 124,600 4,553
Belo, Cl A 1,100 27
Best Buy (B) 10,250 554
Big Lots* 6,400 77
Black & Decker 8,300 656
BorgWarner 10,700 521
Brinker International* 3,100 112
Brunswick 2,700 126
Cablevision Systems, Cl A (B)* 19,800 555
Caesars Entertainment* 4,100 81
Carmax* 4,080 129
Carnival (B) 70,940 3,675
CBRL Group 5,000 207
CEC Entertainment* 3,000 110
Centex 15,300 876
Cheesecake Factory (B)* 2,250 80
Clear Channel Communications (B) 189,920 6,547
Coach* 3,600 204
Comcast, Cl A (B)* 217,583 7,350
Comcast, Special Cl A (B)* 66,000 2,204
Cumulus Media, Cl A* 4,800 68
Dana 116,400 1,489
Darden Restaurants 81,800 2,510
Delphi (B) 100,400 450
Dillard's, Cl A 24,800 667
DIRECTV Group* 29,965 432
Dollar General 6,800 149
Dollar Tree Stores* 6,300 181
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Dow Jones 1,097 $ 41
DR Horton (B) 119,700 3,500
Eagle Materials 387 30
Eastman Kodak (B) 52,700 1,715
eBay* 633,368 23,599
EchoStar Communications, Cl A (B)* 51,090 1,494
Family Dollar Stores 78,520 2,384
Federated Department Stores (B) 72,000 4,582
Foot Locker 10,700 314
Ford Motor 313,300 3,550
Fortune Brands 7,500 605
Furniture Brands International 1,800 39
GameStop, Cl A (B)* 2,900 64
GameStop, Cl B* 9,389 209
Gannett 38,550 3,049
Gap (B) 25,900 566
General Motors (B) 68,500 2,013
Gentex (B) 4,500 144
Genuine Parts 9,900 431
Goodyear Tire & Rubber (B)* 58,400 780
Harley-Davidson 17,200 993
Harrah's Entertainment (B) 58,260 3,762
Hasbro 46,600 953
Hearst-Argyle Television 1,400 36
Hilton Hotels 16,500 369
Home Depot 282,300 10,795
IAC/InterActive (B)* 13,740 306
International Game Technology 272,400 7,262
Interpublic Group (B)* 41,600 511
JC Penney 27,200 1,412
Johnson Controls 26,000 1,450
Jones Apparel Group 20,800 697
KB Home (B) 17,600 2,067
Knight-Ridder 2,400 161
Kohl's* 208,100 10,744
Lamar Advertising, Cl A* 39,400 1,587
Lear 1,400 62
Leggett & Platt 9,500 274
Lennar, Cl A (B) 20,200 1,145
Lennar, Cl B 520 27
Liberty Media International, Cl A (B)* 204,780 8,957
Liberty Media, Cl A* 215,350 2,233
Limited Brands (B) 136,300 3,312
Liz Claiborne 3,400 136
Lowe's (B) 241,900 13,810
Marriott International, Cl A 197,788 13,224
Mattel 79,400 1,695
May Department Stores 20,200 748
Maytag (B) 33,400 467
McClatchy, Cl A 1,900 141
McDonald's 513,000 15,975
McGraw-Hill 81,290 7,093
Metro-Goldwyn-Mayer 11,200 134
MGM Mirage* 94,000 6,657
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SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 1
STATEMENT OF NET ASSETS (Unaudited)
Tax-Managed Large Cap Fund (Continued)
March 31, 2005
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Mohawk Industries* 1,900 $ 160
MSC Industrial Direct, Cl A 4,000 122
Neiman-Marcus Group, Cl A 1,800 165
New York Times, Cl A (B) 3,200 117
Newell Rubbermaid 3,800 83
News, Cl A* 18,360 311
Nike, Cl B (B) 26,200 2,183
Nordstrom 21,600 1,196
NVR* 1,200 942
O'Reilly Automotive (B)* 1,800 89
Office Depot* 18,100 401
OfficeMax 20,600 690
Omnicom Group (B) 60,000 5,311
Outback Steakhouse 2,800 128
Petsmart 3,400 98
Polaris Industries (B) 16,900 1,187
Pulte Homes (B) 10,000 736
Radio One, Cl D* 9,300 137
RadioShack 3,100 76
Reebok International 2,100 93
Ross Stores 5,200 152
Ruby Tuesday (B) 2,600 63
Ryland Group 13,500 837
Saks 29,950 541
Sears Holdings* 5,382 717
Sherwin-Williams 62,700 2,758
Sirius Satellite Radio (B)* 27,614 155
Snap-On 3,900 124
Standard-Pacific 10,200 736
Stanley Works 48,200 2,182
Staples 320,700 10,080
Starbucks* 25,000 1,292
Starwood Hotels & Resorts Worldwide 33,860 2,033
Target (B) 179,720 8,990
Tiffany 2,600 90
Time Warner (B)* 896,979 15,742
TJX (B) 24,000 591
Toll Brothers* 11,400 899
Toys "R" Us* 15,900 410
Tribune 5,700 227
Univision Communications, Cl A (B)* 166,410 4,608
Valassis Communications (B)* 44,840 1,568
VF 48,700 2,880
Viacom, Cl B 249,424 8,687
Walt Disney (B) 322,574 9,268
Washington Post, Cl B 200 179
Wendy's International 18,600 726
Westwood One* 2,400 49
Whirlpool 25,500 1,727
Williams-Sonoma (B)* 4,000 147
Wynn Resorts (B)* 2,200 149
XM Satellite Radio Holdings, Cl A (B)* 240,300 7,569
Yum! Brands 9,600 497
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313,532
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Market Value
Description Shares ($ Thousands)
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CONSUMER STAPLES -- 8.6%
Albertson's (B) 51,000 $ 1,053
Altria Group 306,600 20,049
Anheuser-Busch (B) 32,200 1,526
Archer-Daniels-Midland 205,257 5,045
Avon Products (B) 113,860 4,889
BJ's Wholesale Club* 30,600 950
Brown-Forman, Cl B 2,400 131
Campbell Soup (B) 11,300 328
Clorox 7,900 498
Coca-Cola 74,205 3,092
Coca-Cola Enterprises 9,500 195
Colgate-Palmolive 90,604 4,727
ConAgra Foods 80,300 2,170
Constellation Brands, Cl A* 3,000 159
Costco Wholesale (B) 87,400 3,861
CVS 14,900 784
Dean Foods* 19,521 670
Energizer Holdings (B)* 56,800 3,397
Estee Lauder, Cl A 42,200 1,898
General Mills (B) 55,300 2,718
Gillette 368,207 18,587
Hershey Foods (B) 22,600 1,366
HJ Heinz 3,500 129
Hormel Foods (B) 4,000 124
Kellogg 12,500 541
Kimberly-Clark 75,300 4,950
Kraft Foods, Cl A 6,700 221
Kroger (B)* 163,900 2,627
Loews--Carolina Group 17,100 566
McCormick 4,200 145
Molson Coors Brewing, Cl B 10,900 841
NBTY* 2,000 50
Pepsi Bottling Group 69,400 1,933
PepsiAmericas 38,200 866
PepsiCo 288,359 15,292
Procter & Gamble (B) 338,876 17,960
Reynolds American (B) 41,700 3,361
Safeway (B)* 90,134 1,670
Sara Lee 97,100 2,152
Smithfield Foods* 2,700 85
Supervalu 93,200 3,108
Sysco (B) 26,900 963
Tyson Foods, Cl A 97,545 1,627
UST (B) 30,400 1,572
Wal-Mart Stores 490,300 24,569
Walgreen (B) 233,900 10,390
Whole Foods Market (B) 2,500 255
Wm. Wrigley Jr. 56,800 3,724
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177,814
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2 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
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Market Value
Description Shares ($ Thousands)
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ENERGY -- 8.8%
Amerada Hess 22,900 $ 2,203
Anadarko Petroleum 39,000 2,968
Apache 10,342 633
Ashland 17,700 1,194
Baker Hughes (B) 4,500 200
BJ Services (B) 3,100 161
Burlington Resources 73,000 3,655
ChevronTexaco 454,262 26,488
Cimarex Energy (B)* 2,285 89
ConocoPhillips 284,365 30,666
Cross Timbers Royalty Trust* 105 4
Devon Energy 46,690 2,229
El Paso 147,400 1,559
ENSCO International 6,000 226
Exxon Mobil 1,265,082 75,399
Forest Oil* 2,300 93
Grant Prideco* 9,100 220
Halliburton 28,500 1,233
Helmerich & Payne (B) 4,300 171
Kerr-McGee (B) 6,500 509
Kinder Morgan (B) 4,500 341
Marathon Oil 66,700 3,130
Murphy Oil 7,800 770
Nabors Industries* 7,900 467
National-Oilwell (B)* 10,430 487
Newfield Exploration* 5,100 379
Noble Energy (B) 5,500 374
Occidental Petroleum (B) 71,700 5,103
Patterson-UTI Energy 14,000 350
PetroKazakhstan, Cl A 22,400 900
Pioneer Natural Resources 9,900 423
Pogo Producing 6,900 340
Premcor* 1,800 107
Rowan (B)* 11,200 335
Schlumberger 110,251 7,770
Smith International* 7,200 452
Sunoco 25,300 2,619
Tidewater 1,900 74
Unit* 9,600 434
Unocal 44,800 2,764
Valero Energy 48,148 3,528
Western Gas Resources 19,000 655
Williams 10,500 197
XTO Energy 23,776 781
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182,680
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FINANCIALS -- 21.3%
21st Century Insurance Group 9,000 126
A.G. Edwards (B) 43,600 1,953
ACE 14,200 586
Affiliated Managers Group (B)* 1,350 84
Aflac 19,300 719
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Market Value
Description Shares ($ Thousands)
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Allmerica Financial* 15,400 $ 554
Allstate 130,700 7,066
AMB Property+ 3,400 129
AMBAC Financial Group 3,900 292
American Express 139,000 7,140
American International Group 423,179 23,448
AmeriCredit* 5,700 134
Ameritrade Holding* 8,700 89
AmerUs Group (B) 1,200 57
AmSouth Bancorp (B) 66,600 1,728
Annaly Mortgage Management+ (B) 4,300 81
AON (B) 13,100 299
Archstone-Smith Trust+ 35,100 1,197
Arden Realty+ 1,400 47
Arthur J Gallagher 1,900 55
Astoria Financial (B) 88,200 2,232
Axis Capital Holdings 52,750 1,426
Bank of America 831,794 36,682
Bank of Hawaii 19,500 883
Bank of New York 28,800 837
BB&T (B) 35,400 1,383
Bear Stearns (B) 41,900 4,186
Boston Properties+ 3,200 193
Capital One Financial (B) 7,600 568
CarrAmerica Realty+ 3,400 107
Catellus Development+ 2,941 78
CBL & Associates Properties+ 9,700 694
Charles Schwab (B) 1,039,825 10,929
Chicago Mercantile Exchange
Holdings 33,200 6,442
Chubb (B) 47,800 3,789
Cincinnati Financial 24,195 1,055
CIT Group 21,500 817
Citigroup 896,562 40,292
Citizens Banking 1,800 53
Comerica 65,600 3,613
Commerce Bancorp (B) 29,200 948
Commerce Group 15,000 930
Compass Bancshares (B) 4,000 182
Countrywide Financial 89,098 2,892
Crescent Real Estate Equity+ 2,000 33
Doral Financial 1,950 43
Duke Realty+ 11,100 331
E*Trade Financial* 99,500 1,194
Endurance Specialty Holdings 16,100 609
Equity Office Properties Trust+ (B) 101,500 3,058
Equity Residential+ 50,800 1,636
Erie Indemnity, Cl A 7,000 365
Fannie Mae 104,220 5,675
Fidelity National Financial 46,233 1,523
First American 45,600 1,502
First Horizon National (B) 54,300 2,215
FirstMerit 5,200 139
Franklin Resources 94,000 6,453
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SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 3
STATEMENT OF NET ASSETS (Unaudited)
Tax-Managed Large Cap Fund (Continued)
March 31, 2005
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Market Value
Description Shares ($ Thousands)
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Freddie Mac 139,120 $ 8,792
Fremont General 29,300 644
Friedman Billings Ramsey Group,
Cl A+ 82,300 1,306
General Growth Properties+ (B) 49,400 1,685
Genworth Financial, Cl A* 19,600 539
Golden West Financial (B) 36,200 2,190
Goldman Sachs Group (B) 201,700 22,185
Greater Bay Bancorp 3,700 90
Hartford Financial Services Group (B) 52,900 3,627
HCC Insurance Holdings 2,000 72
Hibernia, Cl A 38,300 1,226
Highwoods Properties+ 1,500 40
Host Marriott+ 19,800 328
Huntington Bancshares 89,600 2,141
Independence Community Bank 29,000 1,131
IndyMac Bancorp 36,100 1,227
Instinet Group* 7,900 46
Investment Technology Group* 2,400 42
iStar Financial+ 5,400 222
Janus Capital Group (B) 21,900 306
Jefferson-Pilot 41,800 2,050
JPMorgan Chase 575,896 19,926
Keycorp (B) 185,400 6,016
Kimco Realty+ 1,600 86
Legg Mason 56,900 4,446
Lehman Brothers Holdings (B) 105,269 9,912
Leucadia National (B) 14,700 505
Liberty Property Trust+ (B) 3,300 129
Lincoln National 115,800 5,227
Loews 32,200 2,368
M&T Bank 3,500 357
Macerich+ 1,300 69
Mack-Cali Realty+ 4,800 203
Manulife Financial 9,245 443
Marsh & McLennan (B) 8,907 271
Marshall & Ilsley 29,600 1,236
MBIA 44,200 2,311
MBNA 377,680 9,272
Mellon Financial 25,100 716
Mercantile Bankshares 1,300 66
Mercury General (B) 15,700 868
Merrill Lynch 137,300 7,771
Metlife 197,600 7,726
MGIC Investment 5,400 333
Mills+ (B) 16,100 852
MoneyGram International* 3,400 64
Moody's (B) 142,640 11,534
Morgan Stanley 130,500 7,471
National City (B) 235,300 7,883
Nationwide Financial Services, Cl A 25,400 912
New York Community Bancorp (B) 4,474 81
North Fork Bancorporation 54,528 1,513
Northern Trust 5,700 248
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Market Value
Description Shares ($ Thousands)
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Nuveen Investments, Cl A 2,400 $ 82
Old Republic International 34,350 800
Peoples Bank 3,000 123
Phoenix (B) 22,400 286
Piper Jaffray* 732 27
Plum Creek Timber+ (B) 7,800 279
PMI Group 19,900 756
PNC Financial Services Group 73,200 3,768
Popular 80,500 1,958
Principal Financial Group 65,100 2,506
Progressive 7,800 716
Prologis+ 12,100 449
Protective Life 4,000 157
Providian Financial (B)* 78,100 1,340
Prudential Financial 50,400 2,893
Public Storage+ 4,100 233
Radian Group 32,300 1,542
Raymond James Financial 2,700 82
Regency Centers+ 1,700 81
Regions Financial (B) 104,080 3,372
Safeco 22,700 1,106
Silicon Valley Bancshares (B)* 3,100 137
Simon Property Group+ 7,100 430
SLM (B) 21,900 1,092
Sovereign Bancorp 15,600 346
St. Joe (B) 20,400 1,373
St. Paul Travelers 72,207 2,652
Stancorp Financial Group (B) 11,200 950
State Street 30,700 1,342
SunTrust Banks 97,300 7,012
Synovus Financial 1,800 50
T Rowe Price Group 5,000 297
TCF Financial 4,400 119
TD Banknorth 2,254 70
Torchmark 4,900 256
Toronto-Dominion Bank 1,081 45
UnionBanCal 14,200 870
Unitrin 1,100 50
UnumProvident (B) 52,200 888
US Bancorp 316,261 9,115
Vornado Realty Trust+ 3,000 208
Wachovia (B) 393,592 20,038
Waddell & Reed Financial, Cl A 7,800 154
Washington Mutual (B) 137,568 5,434
Webster Financial 17,500 795
Weingarten Realty Investors+ 1,400 48
Wells Fargo 201,500 12,050
Whitney Holding 1,600 71
Willis Group Holdings 32,200 1,187
XL Capital, Cl A 4,700 340
Zions Bancorporation (B) 1,600 110
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442,560
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4 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
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Market Value
Description Shares ($ Thousands)
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HEALTH CARE -- 10.7%
Abbott Laboratories 56,600 $ 2,639
Accredo Health* 1,777 79
Advanced Medical Optics (B)* 2,444 88
Aetna 31,400 2,353
Affymetrix (B)* 3,200 137
Alcon 3,800 339
Allergan (B) 128,300 8,913
American Pharmaceutical
Partners (B)* 1,800 93
AmerisourceBergen 40,738 2,334
Amgen* 316,369 18,416
Applera--Applied Biosystems Group 78,800 1,555
Barr Pharmaceuticals* 3,300 161
Bausch & Lomb 16,900 1,239
Baxter International 22,100 751
Beckman Coulter 1,200 80
Becton Dickinson 29,100 1,700
Biogen Idec (B)* 9,340 322
Biomet 10,050 365
Boston Scientific* 201,300 5,896
Bristol-Myers Squibb 219,000 5,576
C.R. Bard 3,800 259
Cardinal Health 32,930 1,837
Caremark Rx* 228,044 9,072
Celgene (B)* 4,000 136
Cigna 35,700 3,188
Cooper 700 51
Coventry Health Care* 1,500 102
Cytyc* 6,000 138
DaVita (B)* 4,650 195
Dentsply International 900 49
Eli Lilly (B) 159,493 8,310
Eon Labs* 1,777 54
Express Scripts* 1,500 131
Fisher Scientific International (B)* 2,000 114
Forest Laboratories* 13,600 502
Genentech (B)* 364,200 20,617
Genzyme (B)* 54,100 3,097
Gilead Sciences* 15,000 537
Guidant 13,700 1,012
HCA (B) 18,100 970
Health Management Associates,
Cl A (B) 82,800 2,168
Health Net* 3,200 105
Hospira* 4,710 152
Humana (B)* 35,100 1,121
ICOS* 2,300 52
ImClone Systems* 1,100 38
IMS Health 3,944 96
Inamed* 1,300 91
Invitrogen (B)* 16,400 1,135
Johnson & Johnson 251,787 16,910
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Laboratory of America Holdings (B)* 5,300 $ 255
Lincare Holdings* 3,500 155
Manor Care 3,700 135
McKesson 6,452 244
Medco Health Solutions* 60,924 3,020
Medicis Pharmaceutical, Cl A 2,000 60
Medimmune* 12,500 298
Medtronic 491,903 25,062
Merck 246,500 7,979
Mettler Toledo International* 2,300 109
Millipore* 1,400 61
Mylan Laboratories (B) 19,800 351
Omnicare (B) 2,544 90
Patterson (B)* 5,000 250
PerkinElmer 121,900 2,515
Pfizer 486,730 12,786
Pharmaceutical Product
Development* 4,300 208
Quest Diagnostics 2,400 252
Renal Care Group* 4,350 165
Schering-Plough 52,462 952
Sepracor (B)* 1,700 98
St. Jude Medical* 30,600 1,102
Steris* 5,400 136
Stryker 53,530 2,388
Thermo Electron* 7,000 177
UnitedHealth Group 35,946 3,428
Universal Health Services, Cl B 1,600 84
Valeant Pharmaceuticals (B) 12,000 270
Varian Medical Systems (B)* 1,600 55
Waters* 5,800 208
Watson Pharmaceuticals* 10,600 326
WellPoint* 118,574 14,863
Wyeth 183,072 7,722
Zimmer Holdings* 141,890 11,040
-----------
222,119
-----------
INDUSTRIALS -- 10.2%
3M 108,630 9,308
AGCO (B)* 1,800 33
Allied Waste Industries (B)* 13,709 100
American Power Conversion 7,400 193
American Standard* 7,200 335
AMN Healthcare Services* 7,200 115
Apollo Group, Cl A (B)* 44,250 3,277
Avery Dennison (B) 2,400 149
Boeing 42,203 2,467
Brink's 1,300 45
Burlington Northern Santa Fe 149,900 8,084
C.H. Robinson Worldwide 3,200 165
Career Education (B)* 4,727 162
Caterpillar 51,318 4,692
Cavco Industries* 260 6
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SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 5
STATEMENT OF NET ASSETS (Unaudited)
Tax-Managed Large Cap Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cendant 423,390 $ 8,696
ChoicePoint (B)* 2,600 104
Cintas 124,200 5,131
Continental Airlines, Cl B (B)* 4,900 59
Crane 20,000 576
CSX 25,200 1,050
Cummins (B) 13,100 922
Danaher (B) 10,200 545
Deere 25,600 1,718
Deluxe 27,900 1,112
DeVry* 2,042 39
Dover 6,100 230
Dun & Bradstreet* 1,600 98
Eagle Materials 115 9
Eaton 50,400 3,296
Education Management* 1,400 39
Emerson Electric 30,400 1,974
Equifax 7,600 233
Expeditors International Washington (B) 153,400 8,215
Fastenal (B) 65,300 3,612
FedEx (B) 13,400 1,259
Flowserve* 12,000 310
Fluor 1,500 83
GATX 3,200 106
General Dynamics 35,000 3,747
General Electric (B) 1,684,109 60,729
Goodrich 27,000 1,034
Graco 30,100 1,215
H&R Block 6,800 344
Harsco 2,300 137
Herman Miller 1,900 57
HNI 24,100 1,083
Honeywell International 88,200 3,282
Hubbell, Cl B 11,800 603
Hudson Highland Group* 1,500 26
IKON Office Solutions 5,300 52
Illinois Tool Works 48,800 4,369
Iron Mountain* 6,300 182
ITT Educational Services (B)* 1,200 58
ITT Industries 4,000 361
Jacobs Engineering Group* 1,040 54
JetBlue Airways (B)* 6,600 126
L-3 Communications Holdings 34,700 2,464
Lafarge North America (B) 3,100 181
Lockheed Martin 53,700 3,279
Manpower 2,200 96
Masco 133,600 4,632
Monster Worldwide (B)* 10,000 280
Navistar International (B)* 21,900 797
Norfolk Southern 90,400 3,349
Northrop Grumman 94,534 5,103
Northwest Airlines (B)* 26,000 174
Paccar 21,875 1,584
Pall 9,500 258
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Parker Hannifin 7,800 $ 475
Pentair 4,800 187
PHH* 4,515 99
Pitney Bowes 8,900 402
Raytheon 65,200 2,523
Republic Services 6,400 214
Robert Half International 5,800 156
Rockwell Automation 6,000 340
Rockwell Collins 7,900 376
RR Donnelley & Sons 28,700 907
Ryder System 19,800 826
ServiceMaster 14,400 194
Shaw Group* 3,100 68
Skywest 8,800 164
Southwest Airlines 37,900 540
SPX (B) 12,800 554
Steelcase, Cl A 3,900 54
Swift Transportation* 2,900 64
Teekay Shipping (B) 32,800 1,474
Textron 26,400 1,970
Tyco International 77,310 2,613
Union Pacific 13,500 941
United Parcel Service, Cl B (B) 199,446 14,508
United Rentals (B)* 9,100 184
United Technologies 48,672 4,948
Viad 3,875 104
Waste Management 21,200 612
Weight Watchers International (B)* 165,000 7,092
WW Grainger 4,800 299
Yellow Roadway* 13,700 802
York International 1,400 55
-----------
211,948
-----------
INFORMATION TECHNOLOGY -- 14.5%
Activision* 59,866 886
Acxiom 2,400 50
Adobe Systems 9,900 665
Advanced Micro Devices (B)* 12,900 208
Advent Software* 2,800 51
Affiliated Computer Services, Cl A (B)* 4,200 224
Agilent Technologies* 14,100 313
Altera* 12,800 253
Amphenol, Cl A* 2,200 81
Analog Devices 22,100 799
Andrew* 18,500 217
Apple Computer (B)* 25,600 1,067
Applied Materials* 43,416 706
Arrow Electronics (B)* 53,900 1,366
Autodesk 8,200 244
Automatic Data Processing 64,700 2,908
Avaya* 8,100 95
Avnet* 51,900 956
AVX 9,900 121
- --------------------------------------------------------------------------------
6 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
BEA Systems* 19,700 $ 157
BMC Software* 8,900 134
Broadcom, Cl A (B)* 7,000 209
Cadence Design Systems (B)* 14,800 221
CDW 3,590 203
Ceridian* 2,963 51
Certegy 1,400 48
Checkfree (B)* 3,200 130
Cisco Systems* 1,038,120 18,572
Citrix Systems (B)* 28,500 679
Cognizant Technology Solutions, Cl A* 4,456 206
Computer Associates International (B) 24,600 667
Computer Sciences (B)* 24,000 1,100
Compuware* 7,524 54
Comverse Technology (B)* 21,100 532
Convergys* 55,100 823
Corning (B)* 79,500 885
Cree (B)* 1,800 39
CSG Systems International* 8,100 132
Cypress Semiconductor* 12,500 158
Dell* 425,630 16,353
Diebold 5,800 318
DST Systems* 1,700 79
Earthlink (B)* 2,500 23
Electronic Arts (B)* 33,600 1,740
Electronic Data Systems (B) 38,600 798
EMC* 434,086 5,348
Fair Isaac 4,050 139
Fairchild Semiconductor International* 3,400 52
First Data 678,415 26,668
Fiserv* 68,750 2,736
Flextronics International (B)* 16,800 202
Foundry Networks* 4,205 42
Freescale Semiconductor, Cl B* 14,431 249
Global Payments (B) 2,000 129
Google, Cl A (B)* 14,990 2,706
Harris 33,000 1,077
Hewlett-Packard (B) 493,027 10,817
Ingram Micro, Cl A* 143,500 2,392
Integrated Device Technology* 9,200 111
Intel 762,350 17,709
International Business Machines 145,800 13,323
International Rectifier (B)* 1,900 86
Intersil, Cl A 5,500 95
Intuit (B)* 171,900 7,524
Jabil Circuit* 5,300 151
Juniper Networks (B)* 175,000 3,861
Kemet* 12,000 93
Kla-Tencor (B)* 6,100 281
Lam Research (B)* 2,600 75
Lexmark International, Cl A (B)* 79,000 6,318
Linear Technology (B) 218,600 8,375
LSI Logic* 13,812 77
Lucent Technologies (B)* 196,300 540
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Macromedia* 7,400 $ 248
Maxim Integrated Products (B) 109,500 4,475
McAfee* 98,200 2,215
Microchip Technology 7,300 190
Microsoft 1,645,140 39,763
MKS Instruments* 3,500 56
Molex 1,400 37
Motorola 130,700 1,957
National Semiconductor* 29,200 602
NCR* 62,500 2,109
Network Appliance* 10,900 302
Novellus Systems* 10,600 283
Nvidia (B)* 15,700 373
Oracle* 676,000 8,436
Paychex (B) 593,766 19,487
Perot Systems, Cl A* 13,400 180
PMC - Sierra (B)* 6,600 58
Polycom* 11,200 190
QLogic* 4,300 174
Qualcomm (B) 706,384 25,889
Reynolds & Reynolds, Cl A 3,400 92
RF Micro Devices* 18,400 96
Sabre Holdings, Cl A 49,600 1,085
SanDisk (B)* 258,500 7,186
Sanmina-SCI (B)* 55,400 289
Scientific-Atlanta 5,000 141
Semtech* 11,500 206
Siebel Systems (B)* 22,800 208
Solectron (B)* 45,500 158
Storage Technology (B)* 6,000 185
Sun Microsystems* 145,000 586
Sungard Data Systems* 14,300 493
Sybase* 2,400 44
Symantec (B)* 24,000 512
Symbol Technologies 7,600 110
Synopsys* 5,577 101
Tech Data* 8,886 329
Tektronix 13,100 321
Tellabs (B)* 55,300 404
Teradyne* 18,800 274
Texas Instruments 58,700 1,496
Titan* 3,800 69
Unisys* 49,900 352
VeriSign* 14,900 428
Veritas Software* 15,742 366
WebMD (B)* 20,600 175
Western Digital* 80,600 1,028
Xerox (B)* 103,300 1,565
Xilinx 22,000 643
Yahoo!* 218,600 7,411
Zebra Technologies, Cl A* 900 43
-----------
300,117
-----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 7
STATEMENT OF NET ASSETS (Unaudited)
Tax-Managed Large Cap Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MATERIALS -- 3.0%
Agrium 77,800 $ 1,420
Air Products & Chemicals 9,900 627
Alcoa 31,800 966
Ball 23,100 958
Bemis 37,400 1,164
Bowater (B) 1,600 60
Consol Energy (B) 2,800 132
Dow Chemical 122,256 6,094
E.I. du Pont de Nemours 66,800 3,423
Eastman Chemical 36,500 2,153
Ecolab 11,200 370
Engelhard 40,200 1,207
Florida Rock Industries 1,200 71
Freeport-McMoRan Copper & Gold,
Cl B 5,100 202
Georgia-Pacific 96,200 3,414
Hercules* 6,500 94
International Flavors & Fragrances 6,200 245
International Paper 44,100 1,622
Louisiana-Pacific 95,100 2,391
Lubrizol 48,400 1,967
Martin Marietta Materials 14,200 794
MeadWestvaco 44,900 1,429
Monsanto 12,438 802
Newmont Mining (B) 16,200 684
Nucor 89,700 5,163
OM Group* 20,900 636
Pactiv (B)* 8,000 187
Peabody Energy 4,400 204
Phelps Dodge (B) 12,100 1,231
PPG Industries 61,400 4,391
Praxair 213,200 10,204
Rohm & Haas 33,700 1,618
RPM International 3,000 55
Sealed Air* 10,500 545
Sigma-Aldrich 10,100 619
Smurfit-Stone Container* 6,260 97
Sonoco Products 18,600 537
Southern Peru Copper (B) 8,600 477
Temple-Inland 4,700 341
United States Steel (B) 26,200 1,332
Vulcan Materials (B) 4,100 233
Weyerhaeuser 27,314 1,871
-----------
62,030
-----------
TELECOMMUNICATION SERVICES -- 2.8%
Alltel (B) 53,900 2,956
AT&T 184,800 3,465
BellSouth 318,500 8,373
CenturyTel (B) 32,800 1,077
Citizens Communications 22,700 294
Crown Castle International* 117,810 1,892
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Nextel Communications, Cl A (B)* 43,100 $ 1,225
Nokia ADR (B)* 418,800 6,462
Qwest Communications
International (B)* 23,661 88
SBC Communications (B) 603,321 14,293
Sprint (B) 130,750 2,975
Telephone & Data Systems 18,900 1,542
US Cellular* 11,000 502
Verizon Communications 370,809 13,164
West* 2,600 83
-----------
58,391
-----------
UTILITIES -- 2.9%
AES* 8,000 131
Allegheny Energy (B)* 12,800 264
Alliant Energy 3,200 86
Ameren (B) 5,600 274
American Electric Power (B) 79,700 2,715
Aqua America 2,000 49
Centerpoint Energy (B) 38,600 464
Cinergy (B) 4,800 195
Consolidated Edison (B) 9,400 396
Constellation Energy Group 87,000 4,498
Dominion Resources (B) 11,800 878
DTE Energy 23,740 1,080
Duke Energy (B) 96,400 2,700
Edison International 131,700 4,573
Energy East 25,000 656
Entergy 40,600 2,869
Equitable Resources 900 52
Exelon 94,400 4,332
FirstEnergy 52,300 2,194
FPL Group (B) 18,600 747
Great Plains Energy (B) 7,100 217
Idacorp 2,900 82
KeySpan 2,000 78
National Fuel Gas 19,700 563
Nicor 4,700 174
NiSource 6,500 148
Northeast Utilities 127,700 2,461
NSTAR (B) 32,100 1,743
OGE Energy (B) 7,500 202
Oneok 147,700 4,552
Pepco Holdings 63,000 1,322
PG&E (B)* 21,100 720
Pinnacle West Capital 60,500 2,572
PPL 4,900 265
Progress Energy (B) 14,100 591
Public Service Enterprise Group (B) 5,100 277
Puget Energy 11,900 262
Questar 4,200 249
Reliant Energy* 5,362 61
Sempra Energy (B) 60,100 2,394
- --------------------------------------------------------------------------------
8 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Southern (B) 47,400 $ 1,509
TECO Energy (B) 9,800 154
TXU (B) 86,850 6,916
WGL Holdings 10,300 319
Wisconsin Energy 20,000 710
Xcel Energy 163,300 2,805
-----------
60,499
-----------
Total Common Stock
(Cost $1,734,477) ($ Thousands) 2,031,690
-----------
PREFERRED STOCK -- 0.0%
FINANCIAL SERVICES -- 0.0%
Simon Property 1,000 38
-----------
Total Preferred Stock
(Cost $37) ($ Thousands) 38
-----------
Number of
Warrants
WARRANTS -- 0.0%
Lucent Technologies,
Expires 12/10/07* 10,000 7
-----------
Total Warrants
(Cost $0) ($ Thousands) 7
-----------
CORPORATE OBLIGATIONS (C)(E) -- 4.4%
FINANCIALS -- 4.3%
Allstate Life Global Funding II MTN
2.800%, 04/13/06 $ 1,174 1,174
American General Finance(F)
2.810%, 04/14/06 3,287 3,287
CCN Bluegrass
2.914%, 02/21/06 3,052 3,052
Countrywide Home Loans
3.120%, 03/21/06 3,850 3,850
Countrywide Home Loans MTN, Ser M
3.152%, 06/23/05 1,878 1,878
3.040%, 11/30/05 5,165 5,165
2.980%, 08/26/05 1,409 1,409
2.940%, 05/20/05 939 939
2.810%, 01/31/06 1,033 1,033
Five Finance MTN
2.860%, 09/22/05 6,668 6,666
Harrier Finance Funding MTN
3.034%, 09/15/05 1,362 1,362
Harrier Finance Funding MTN, Ser 1
3.016%, 06/15/05 4,085 4,085
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Irish Life & Permanent MTN, Ser X
2.862%, 04/21/06 $ 4,367 $ 4,366
Jackson National Life Funding (F)
2.690%, 04/01/06 10,331 10,331
Lakeside Funding
2.790%, 04/08/05 2,847 2,847
Morgan Stanley, Ser EXL
2.720%, 05/04/06 939 939
Morgan Stanley, Ser EXLS
2.718%, 05/03/06 2,348 2,348
Nationwide Building Society (F)
3.083%, 04/28/05 2,348 2,348
2.746%, 04/07/06 4,696 4,696
Northern Rock (F)
2.730%, 05/03/06 4,132 4,132
Pacific Life Global Funding (F)
2.790%, 03/13/06 3,522 3,522
Premium Asset Trust (F)
2.820%, 01/15/06 6,574 6,574
2.755%, 02/06/06 3,475 3,478
SLM MTN, Ser X
2.850%, 04/20/06 8,217 8,217
White Pine Finance MTN, Ser 1
2.696%, 11/01/05 2,066 2,066
-----------
89,764
-----------
INDUSTRIALS -- 0.1%
Caterpillar Financial Services MTN,
Ser F
2.730%, 07/09/05 2,348 2,348
-----------
Total Corporate Obligations
(Cost $92,112) ($ Thousands) 92,112
-----------
COMMERCIAL PAPER (C) (D) -- 3.6%
FINANCIALS -- 3.6%
Brahms Funding
2.972%, 05/20/05 7,331 7,302
Broadhollow Funding
2.851%, 04/05/05 3,991 3,990
CCN Independence IV
2.880%, 01/17/06 939 939
Capital One
3.040%, 06/20/05 1,878 1,866
3.017%, 06/07/05 1,643 1,634
2.834%, 04/19/05 1,339 1,337
Cobbler Funding
3.073%, 06/28/05 859 853
Eiffel Funding
2.889%, 05/09/05 1,174 1,170
2.741%, 04/08/05 3,522 3,520
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 9
STATEMENT OF NET ASSETS (Unaudited)
Tax-Managed Large Cap Fund (Concluded)
March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Golden Fish
2.651%, 04/04/05 $ 3,288 $ 3,287
2.621%, 04/08/05 7,294 7,291
HSBC Finance
2.714%, 04/20/05 2,113 2,110
Liberty Harbour
2.894%, 04/18/05 3,524 3,520
Mitten
2.803%, 04/14/05 3,991 3,987
2.762%, 04/11/05 2,348 2,346
Park Granada
2.802%, 04/12/05 3,710 3,706
Park Sienna
2.880%, 04/01/05 4,603 4,603
Rhineland Funding
2.758%, 05/09/05 939 936
2.757%, 05/03/05 9,407 9,384
2.757%, 05/06/05 1,256 1,253
SBC Communications
2.878%, 05/04/05 1,223 1,220
2.878%, 05/05/05 3,475 3,465
Thornburg Mortgage Capital
2.844%, 04/19/05 4,318 4,312
-----------
Total Commercial Paper
(Cost $74,031) ($ Thousands) 74,031
-----------
ASSET-BACKED SECURITIES (C) (E) -- 2.5%
AUTOMOTIVE -- 0.1%
Drivetime Auto Owner Trust,
Ser 2004-C, Cl A1
2.830%, 11/15/05 298 298
Drivetime Auto Owner Trust,
Ser 2005-A, Cl A1
2.870%, 03/15/06 1,569 1,569
-----------
1,867
-----------
MORTGAGE RELATED SECURITIES -- 2.4%
Aire Valley Mortgages,
Ser 2004-1A, Cl 1A
2.850%, 09/20/05 3,005 3,005
Blue Heron Funding, Ser 9A, Cl A1
2.880%, 02/22/06 4,696 4,696
Cheyne High Grade,
Ser 2004-1A, Cl A1
2.791%, 11/10/05 2,700 2,700
Commodore, Ser 2003-2A,
Cl A1MM
3.100%, 06/14/05 2,160 2,160
Davis Square Funding,
Ser 2004-2A, Cl AMMB
2.776%, 04/06/05 2,348 2,348
Davis Square Funding,
Ser 2004-2A, Cl AMMC
2.776%, 05/06/05 2,348 2,348
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Duke Funding, Ser 2004-6B, Cl A1S1
2.680%, 04/08/05 $ 2,348 $ 2,348
Harwood Street Funding I,
Ser 2004-1A, Cl NOTE
2.900%, 09/20/05 5,963 5,963
Orchid Structured Finance,
Ser 2003-1A, Cl A1MM
2.920%, 05/18/05 4,882 4,882
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AMM2
2.900%, 11/25/05 8,525 8,525
RMAC, Ser 2004-NS3A, Cl A1
2.800%, 06/12/05 1,973 1,973
Saturn Ventures
2.806%, 08/08/05 4,367 4,367
TIAA Real Estate, Ser 2003 1A, Cl A
2.880%, 03/28/06 3,032 3,032
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMB
3.040%, 06/15/05 1,174 1,174
-----------
49,521
-----------
Total Asset-Backed Securities
(Cost $51,388) ($ Thousands) 51,388
-----------
CASH EQUIVALENTS -- 2.0%
First Union Cash Management
Program 585,829 586
SEI Daily Income Trust,
Prime Obligation Fund, Cl A++ 41,947,056 41,947
-----------
Total Cash Equivalents
(Cost $42,533) ($ Thousands) 42,533
-----------
MASTER NOTES (C) -- 1.5%
Bank of America Master Notes
2.955%, 04/01/05 11,739 11,739
Bear Stearns Master Notes
3.050%,04/01/05 4,696 4,696
Societe Generale Master Notes
2.875%, 04/01/05 14,087 14,087
-----------
Total Master Notes
(Cost $30,522) ($ Thousands) 30,522
-----------
CERTIFICATES OF DEPOSIT (C) (E) -- 0.5%
U.S. Trust
2.925%, 09/14/05 4,695 4,695
Washington Mutual Bank
2.820%, 08/18/05 4,696 4,696
-----------
Total Certificates of Deposit
(Cost $9,391) ($ Thousands) 9,391
-----------
- --------------------------------------------------------------------------------
10 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS (A) -- 0.1%
U.S. Treasury Bills
2.871%, 08/25/05 $ 2,325 $ 2,297
2.486%, 06/23/05 100 100
-----------
Total U.S. Treasury Obligations
(Cost $2,398) ($ Thousands) 2,397
-----------
REPURCHASE AGREEMENTS (C) -- 1.4%
Barclays Capital
2.850%, dated 03/31/05, to be
repurchased on 04/01/05, repurchase
price $4,990,788 (collateralized by
various U.S. Government Obligations,
ranging in par value $760,420-
$4,407,939, 3.020%-3.410%,
06/01/06-08/30/07; with total
market value $5,090,224) 4,990 4,990
Deutsche Bank
2.830%, dated 03/31/05, to be
repurchased on 04/01/05, repurchase
price $16,867,731 (collateralized by
various U.S. Government Obligations,
ranging in par value $51,828-
$6,198,312, 0.000%-7.500%,
01/01/09-12/01/37; with total
market value $17,203,734) 16,866 16,866
Lehman Brothers
2.800%, dated 03/31/05, to be
repurchased on 04/01/05, repurchase
price $8,969,467 (collateralized by
various U.S. Government Obligations,
ranging in par value $425,664-
$4,920,380, 1.750%-6.250%,
09/15/06-02/01/11; with total
market value $9,110,749) 8,969 8,969
-----------
Total Repurchase Agreements
(Cost $30,825) ($ Thousands) 30,825
-----------
Total Investments -- 113.9%
(Cost $2,067,714) ($ Thousands) 2,364,934
-----------
OTHER ASSETS AND LIABILITIES -- (13.9)%
Payable upon Return on Securities Loaned (288,269)
Payable for Investment Securities Purchased (5,993)
Payable for Fund Shares Redeemed (2,743)
Administration Fees Payable (624)
Investment Advisory Fees Payable (544)
Shareholder Servicing Fees Payable (315)
Other Assets and Liabilities, Net 10,187
-----------
Total Other Assets and Liabilities (288,301)
-----------
Net Assets -- 100.0% $ 2,076,633
===========
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 2,335,761
Undistributed net investment income 1,507
Accumulated net realized loss on investments
and futures contracts (556,723)
Net unrealized appreciation on investments 297,220
Net unrealized depreciation on futures contracts (1,132)
-----------
Net Assets $ 2,076,633
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($2,071,628,350 / 187,824,926 shares) $11.03
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class Y
($5,004,913 / 451,494 shares) $11.09
===========
A summary of the open Long Futures contracts held by the Fund at March 31, 2005,
is as follows: (see note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
Contract Unrealized
Type of Number of Value Expiration Depreciation
Contract Contracts ($Thousands) Date ($Thousands)
- --------------------------------------------------------------------------------
S&P 500 Composite Index 99 $ 29,302 06/18/05 $ (1,070)
S&P 400 Index 45 2,967 06/17/05 (62)
--------
$ (1,132)
--------
* 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, 2005 (see Note 7). The total value of securities on loan at March 31,
2005 was $279,948 ($ Thousands).
(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,
2005 was $288,269 ($ Thousands).
(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, 2005.
(F) 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 Directors.
ADR -- American Depositary Receipt
Cl -- Class
MTN -- Medium Term Note
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 11
STATEMENT OF NET ASSETS (Unaudited)
Large Cap Value Fund
March 31, 2005
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR WEIGHTINGS*:
34.4% Financials
13.3% Energy
10.6% Industrials
10.0% Consumer Discretionary
6.1% Consumer Staples
4.8% Utilities
4.6% Information Technology
4.0% Materials
4.0% Telecommunication Services
3.7% Health Care
2.8% Short-Term Investments
1.6% Asset-Backed Securities
0.1% U.S. Treasury Obligations
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 99.2%**
CONSUMER DISCRETIONARY -- 11.0%
Abercrombie & Fitch, Cl A 87,100 $ 4,986
Aeropostale (B)* 128,500 4,208
American Eagle Outfitters 264,300 7,810
Autoliv (B) 368,200 17,545
Autonation (B)* 221,700 4,199
Barnes & Noble (B)* 114,000 3,932
Black & Decker 33,900 2,678
BorgWarner (B) 136,400 6,640
Centex (B) 49,000 2,806
Clear Channel Communications 173,500 5,981
Comcast, Cl A (B)* 646,400 21,835
Dana 237,600 3,039
Darden Restaurants 395,900 12,146
Delphi (B) 538,530 2,413
Dillard's, Cl A 92,400 2,486
DR Horton 411,866 12,043
Eastman Kodak (B) 266,100 8,662
eBay* 55,400 2,064
Federated Department Stores (B) 244,900 15,585
Ford Motor (B) 1,193,700 13,525
Fortune Brands 47,800 3,854
GameStop, Cl B* 48,435 1,080
Gannett 65,700 5,196
General Motors (B) 273,800 8,047
Goodyear Tire & Rubber (B)* 252,800 3,375
Hasbro 221,100 4,521
Home Depot 115,650 4,422
Interpublic Group (B)* 103,400 1,270
JC Penney 35,600 1,848
Johnson Controls 85,700 4,779
Jones Apparel Group 196,000 6,564
KB Home (B) 94,000 11,041
Lennar, Cl A (B) 117,600 6,666
Limited Brands 497,400 12,087
Lowe's 42,100 2,403
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Magna International, Cl A 9,700 $ 649
Mattel 297,000 6,341
Maytag (B) 138,500 1,935
McDonald's 1,442,200 44,910
McGraw-Hill 66,600 5,811
McLeodUSA, Cl A (B) (F)* 251,800 --
Nordstrom 16,550 916
NVR (B)* 5,400 4,239
OfficeMax 124,102 4,157
Polaris Industries (B) 79,400 5,576
Pulte Homes 51,100 3,762
Ryland Group 67,200 4,168
Saks 69,900 1,262
Sherwin-Williams 402,000 17,684
Standard-Pacific 60,400 4,360
Stanley Works 238,000 10,774
Starbucks* 55,750 2,880
Target 39,900 1,996
Time Warner (B)* 2,774,500 48,692
Toll Brothers* 51,100 4,029
Univision Communications, Cl A (B)* 104,000 2,880
VF 224,400 13,271
Viacom, Cl B 441,200 15,367
Walt Disney (B) 798,600 22,944
Wendy's International (B) 75,300 2,940
Whirlpool (B) 149,400 10,119
-----------
473,398
-----------
CONSUMER STAPLES -- 6.7%
Albertson's (B) 323,500 6,680
Altria Group 1,169,500 76,474
Archer-Daniels-Midland 1,021,811 25,116
Avon Products (B) 220,300 9,460
BJ's Wholesale Club* 109,000 3,385
Coca-Cola 71,200 2,967
Colgate-Palmolive 68,000 3,548
ConAgra Foods 216,600 5,852
Costco Wholesale 365,300 16,139
Dean Foods* 139,700 4,792
Energizer Holdings (B)* 176,800 10,573
General Mills (B) 196,600 9,663
Kimberly-Clark 266,083 17,490
Kroger (B)* 626,700 10,046
Loews--Carolina Group 57,700 1,910
Molson Coors Brewing, Cl B 52,500 4,051
Pepsi Bottling Group 180,300 5,021
PepsiAmericas 188,100 4,262
PepsiCo 83,600 4,433
Procter & Gamble 267,700 14,188
Reynolds American (B) 156,600 12,620
Rite Aid (B)* 141,600 561
Safeway (B)* 178,427 3,306
Sara Lee 511,283 11,330
- --------------------------------------------------------------------------------
12 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Supervalu 378,100 $ 12,610
Tyson Foods, Cl A 250,100 4,172
UST (B) 133,000 6,876
-----------
287,525
-----------
ENERGY -- 14.7%
Amerada Hess 169,400 16,298
Anadarko Petroleum 155,600 11,841
Burlington Resources 309,500 15,497
Canadian Natural Resources 77,300 4,392
ChevronTexaco 1,918,585 111,873
ConocoPhillips 811,250 87,485
Devon Energy 167,200 7,984
El Paso 515,500 5,454
Exxon Mobil 4,754,600 283,374
Kerr-McGee (B) 17,500 1,371
Marathon Oil 327,000 15,343
Nabors Industries (B)* 22,000 1,301
Noble Energy (B) 25,600 1,741
Occidental Petroleum 221,900 15,793
PetroKazakhstan, Cl A 112,400 4,515
Sunoco (B) 108,500 11,232
Unit* 47,100 2,128
Unocal 228,400 14,090
Valero Energy 192,800 14,126
Western Gas Resources 96,000 3,307
-----------
629,145
-----------
FINANCIALS -- 31.8%
A.G. Edwards (B) 260,400 11,666
ACE 51,800 2,138
Aflac 118,000 4,397
Allstate 491,700 26,581
American Express 84,500 4,341
American International Group 619,800 34,343
AmSouth Bancorp (B) 302,000 7,837
AON (B) 45,800 1,046
Astoria Financial 269,250 6,812
Axis Capital Holdings 162,000 4,380
Bank of America 3,194,204 140,864
Bank of Hawaii 102,300 4,630
Bank of New York 124,500 3,617
BB&T 110,900 4,334
Bear Stearns (B) 189,200 18,901
CBL & Associates Properties+ 48,100 3,440
Chubb (B) 166,200 13,175
Cincinnati Financial 87,400 3,811
CIT Group 134,900 5,126
Citigroup 3,537,400 158,971
Comerica 339,900 18,722
Commerce Bancorp (B) 130,000 4,221
Countrywide Financial 387,100 12,565
E*Trade Financial* 453,000 5,436
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Endurance Specialty Holdings 120,300 $ 4,552
Equity Office Properties Trust+ 518,400 15,619
Equity Residential+ 245,000 7,891
Fannie Mae 36,700 1,998
Fidelity National Financial 182,390 6,008
First American 268,905 8,858
First Horizon National (B) 175,600 7,163
Franklin Resources 60,000 4,119
Freddie Mac 86,600 5,473
Fremont General 145,000 3,189
Friedman Billings Ramsey Group,
Cl A+ 392,500 6,229
General Growth Properties+ 229,500 7,826
Genworth Financial, Cl A (B)* 80,000 2,202
Goldman Sachs Group 228,000 25,078
Hartford Financial Services Group (B) 236,000 16,180
Huntington Bancshares 422,800 10,105
Independence Community Bank 138,500 5,401
IndyMac Bancorp (B) 160,500 5,457
IPC Holdings 82,000 3,221
Jefferson-Pilot 313,600 15,382
JPMorgan Chase 2,137,980 73,974
Keycorp (B) 800,300 25,970
Legg Mason 37,050 2,895
Lehman Brothers Holdings (B) 438,900 41,327
Leucadia National (B) 66,700 2,291
Lincoln National 529,600 23,906
Loews 145,400 10,693
Marshall & Ilsley 104,300 4,355
MBIA 246,100 12,866
MBNA 1,007,000 24,722
Mercury General (B) 83,900 4,636
Merrill Lynch 497,900 28,181
Metlife 786,100 30,736
Mills+ (B) 74,800 3,957
Morgan Stanley 457,200 26,175
National City 1,035,096 34,676
Nationwide Financial Services, Cl A 115,500 4,146
North Fork Bancorporation 296,580 8,227
Old Republic International 130,350 3,036
PMI Group 100,100 3,805
PNC Financial Services Group 334,000 17,194
Popular 351,149 8,540
Principal Financial Group (B) 270,200 10,400
Progressive 50,200 4,606
Providian Financial* 305,000 5,234
Prudential Financial 119,700 6,871
Radian Group 84,200 4,020
Regions Financial (B) 383,114 12,413
Safeco (B) 104,100 5,071
Sovereign Bancorp 54,300 1,203
St. Joe (B) 73,000 4,913
St. Paul Travelers 443,200 16,279
Stancorp Financial Group (B) 57,300 4,858
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 13
STATEMENT OF NET ASSETS (Unaudited)
Large Cap Value Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
SunTrust Banks (B) 430,400 $ 31,019
UnionBanCal (B) 73,000 4,471
UnumProvident (B) 214,100 3,644
US Bancorp 1,275,400 36,757
Wachovia 1,493,612 76,040
Washington Mutual 463,500 18,308
Webster Financial 87,500 3,973
Wells Fargo 832,400 49,777
XL Capital, Cl A (B) 28,700 2,077
Zions Bancorporation (B) 73,800 5,094
-----------
1,366,641
-----------
HEALTH CARE -- 4.1%
Aetna 90,800 6,806
Alcon 16,700 1,491
AmerisourceBergen 178,200 10,209
Applera--Applied Biosystems
Group (B) 337,800 6,668
Bausch & Lomb (B) 76,300 5,593
Becton Dickinson 181,987 10,632
Bristol-Myers Squibb 824,800 20,999
Cardinal Health 81,100 4,525
Caremark Rx* 135,500 5,390
Cephalon (B)* 26,500 1,241
Cigna 152,300 13,600
HCA (B) 64,400 3,450
Health Management Associates, Cl A 226,800 5,938
Humana* 153,400 4,900
Invitrogen (B)* 67,100 4,643
Merck 904,500 29,279
PerkinElmer 432,861 8,930
Pfizer 148,800 3,909
St. Jude Medical* 41,900 1,508
UnitedHealth Group 37,450 3,572
WellPoint* 81,600 10,229
Wyeth 286,400 12,080
Zimmer Holdings* 29,300 2,280
-----------
177,872
-----------
INDUSTRIALS -- 11.6%
Boeing 77,200 4,513
Brascan, Cl A 81,200 3,065
Brink's 45,100 1,560
Burlington Northern Santa Fe 669,500 36,106
Caterpillar 63,800 5,834
Cendant 691,500 14,203
Crane 30,000 864
CSX 144,900 6,035
Cummins (B) 55,000 3,869
Deere 79,000 5,303
Deluxe 109,600 4,369
Dun & Bradstreet (B)* 74,500 4,578
Eaton (B) 155,600 10,176
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Emerson Electric 94,200 $ 6,116
General Dynamics 143,118 15,321
General Electric 5,546,900 200,021
Goodrich 92,700 3,550
Harsco 105,300 6,277
Honeywell International 235,300 8,756
Hubbell, Cl B 60,900 3,112
L-3 Communications Holdings 169,000 12,002
Lafarge North America 32,000 1,870
Lockheed Martin 226,100 13,806
Masco (B) 600,800 20,830
Navistar International* 97,400 3,545
Norfolk Southern 290,800 10,774
Northrop Grumman 433,100 23,379
Paccar 59,300 4,293
Parker Hannifin 18,500 1,127
PHH* 9,765 214
Raytheon 256,500 9,927
RR Donnelley & Sons 120,700 3,817
Ryder System 91,800 3,828
SPX (B) 52,200 2,259
Teekay Shipping (B) 132,500 5,956
Textron 149,000 11,118
United Defense Industries* 96,200 7,063
United Technologies 138,200 14,049
Viad 14,300 385
Yellow Roadway* 65,900 3,858
-----------
497,728
-----------
INFORMATION TECHNOLOGY -- 5.1%
Activision (B)* 297,333 4,401
Apple Computer (B)* 123,600 5,150
Arrow Electronics* 241,400 6,119
Avnet* 231,400 4,262
Cisco Systems* 178,800 3,199
Computer Sciences* 104,300 4,782
Convergys* 269,800 4,028
Corning (B)* 205,000 2,282
Dell* 64,400 2,474
Earthlink (B)* 7,500 68
Electronic Arts (B)* 39,400 2,040
Electronic Data Systems (B) 154,000 3,183
Flextronics International (B)* 131,800 1,587
Freescale Semiconductor, Cl B* 22,833 394
Hewlett-Packard (B) 2,074,900 45,523
Ingram Micro, Cl A* 663,300 11,057
International Business Machines 473,627 43,280
Lucent Technologies (B)* 642,400 1,767
McAfee* 433,500 9,780
Microsoft 727,600 17,586
Motorola 206,800 3,096
NCR* 303,600 10,243
Oracle* 505,400 6,307
- --------------------------------------------------------------------------------
14 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Qualcomm 39,800 $ 1,459
Sabre Holdings, Cl A 204,600 4,477
Sanmina-SCI* 249,400 1,302
Solectron (B)* 186,800 648
Tech Data* 63,701 2,361
Tektronix 51,800 1,271
Unisys* 374,000 2,640
Western Digital* 398,300 5,078
Xerox (B)* 364,600 5,524
Yahoo!* 80,300 2,722
-----------
220,090
-----------
MATERIALS -- 4.4%
Agrium 277,300 5,061
Ball 101,400 4,206
Dow Chemical 484,400 24,147
E.I. Du Pont de Nemours 203,500 10,427
Eastman Chemical 179,400 10,585
Engelhard 125,400 3,766
Georgia-Pacific 345,400 12,258
International Paper 187,200 6,887
Louisiana-Pacific 484,300 12,175
Lubrizol 225,600 9,168
Lyondell Chemical 55,000 1,536
Martin Marietta Materials 63,800 3,568
MeadWestvaco 155,000 4,932
Nucor 489,600 28,181
Phelps Dodge (B) 53,500 5,443
PPG Industries 247,300 17,687
Rohm & Haas 164,300 7,887
Sigma-Aldrich (B) 36,100 2,211
Sonoco Products 52,200 1,506
Southern Peru Copper (B) 43,800 2,429
Temple-Inland 32,200 2,336
United States Steel (B) 106,100 5,395
Weyerhaeuser (B) 110,200 7,549
-----------
189,340
-----------
TELECOMMUNICATION SERVICES -- 4.4%
Alltel (B) 226,900 12,445
AT&T 692,500 12,984
BellSouth 1,305,500 34,322
CenturyTel 258,800 8,499
SBC Communications (B) 2,461,500 58,313
Sprint (B) 311,850 7,095
Verizon Communications 1,540,971 54,705
-----------
188,363
-----------
UTILITIES -- 5.4%
American Electric Power (B) 261,700 8,914
Centerpoint Energy 300,000 3,609
Constellation Energy Group (B) 393,800 20,359
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
DTE Energy 70,800 $ 3,220
Duke Energy (B) 311,500 8,725
Edison International 666,007 23,124
Energy East 109,600 2,874
Entergy 191,300 13,517
Exelon 280,700 12,881
FirstEnergy (B) 391,500 16,423
FPL Group (B) 50,000 2,008
National Fuel Gas 96,134 2,749
Northeast Utilities 869,876 16,763
NSTAR (B) 77,700 4,219
Oneok (B) 716,500 22,083
Pepco Holdings 239,500 5,027
Pinnacle West Capital 178,600 7,592
PPL (B) 61,000 3,293
Progress Energy (B) 48,300 2,026
SCANA 134,100 5,125
Sempra Energy 194,900 7,765
Southern (B) 98,300 3,129
TXU (B) 271,800 21,643
WGL Holdings 50,300 1,557
Xcel Energy 692,900 11,904
-----------
230,529
-----------
Total Common Stock
(Cost $3,612,152) ($ Thousands) 4,260,631
-----------
Number of
Warrants
WARRANTS -- 0.0%
Lucent Technologies,
Expires 12/10/07* 4,000 3
-----------
Total Warrants
(Cost $0) ($ Thousands) 3
-----------
CORPORATE OBLIGATIONS (C) (E) -- 3.3%
FINANCIALS -- 3.2%
Allstate Life Global Funding II MTN
2.800%, 04/13/06 $ 1,794 1,794
American General Finance (G)
2.810%, 04/14/06 5,023 5,023
CCN Bluegrass
2.914%, 02/21/06 4,664 4,664
Countrywide Home Loans
3.120%, 03/21/06 5,884 5,884
Countrywide Home Loans MTN, Ser M
3.152%, 06/23/05 2,870 2,870
3.040%, 11/30/05 7,894 7,894
2.980%, 08/26/05 2,153 2,153
2.940%, 05/20/05 1,435 1,435
2.810%, 01/31/06 1,579 1,579
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 15
STATEMENT OF NET ASSETS (Unaudited)
Large Cap Value Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Five Finance MTN
2.860%, 09/22/05 $ 10,190 $ 10,188
Harrier Finance Funding MTN
3.034%, 09/15/05 2,081 2,081
Harrier Finance Funding MTN, Ser 1
3.016%, 06/15/05 6,243 6,243
Irish Life & Permanent MTN, Ser X
2.862%, 04/21/06 6,674 6,673
Jackson National Life Funding (G)
2.690%, 04/01/06 15,787 15,787
Lakeside Funding
2.790%, 04/08/05 4,350 4,350
Morgan Stanley, Ser EXL
2.720%, 05/04/06 1,435 1,435
Morgan Stanley, Ser EXLS
2.718%, 05/03/06 3,588 3,588
Nationwide Building Society (G)
3.083%, 04/28/05 3,588 3,588
2.746%, 04/07/06 7,176 7,176
Northern Rock (G)
2.730%, 05/03/06 6,315 6,315
Pacific Life Global Funding (G)
2.790%, 03/13/06 5,382 5,382
Premium Asset Trust (G)
2.820%, 01/15/06 10,047 10,047
2.755%, 02/06/06 5,310 5,315
SLM MTN, Ser X
2.850%, 04/20/06 12,558 12,558
White Pine Finance MTN, Ser 1
2.696%, 11/01/05 3,157 3,157
-----------
137,179
-----------
INDUSTRIALS -- 0.1%
Caterpillar Financial Services MTN,
Ser F
2.730%, 07/09/05 3,588 3,588
-----------
Total Corporate Obligations
(Cost $140,767) ($ Thousands) 140,767
-----------
COMMERCIAL PAPER (C) (D) -- 2.6%
FINANCIALS -- 2.6%
Brahms Funding
2.972%, 05/20/05 11,203 11,158
Broadhollow Funding
2.851%, 04/05/05 6,100 6,098
CCN Independence IV
2.880%, 01/17/06 1,435 1,435
Capital One
3.040%, 06/20/05 2,870 2,851
3.017%, 06/07/05 2,512 2,498
2.834%, 04/19/05 2,046 2,043
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Cobbler Funding
3.073%, 06/28/05 $ 1,313 $ 1,304
Eiffel Funding
2.889%, 05/09/05 1,794 1,789
2.741%, 04/08/05 5,382 5,379
Golden Fish
2.651%, 04/04/05 5,025 5,024
2.621%, 04/08/05 11,148 11,142
HSBC Finance
2.714%, 04/20/05 3,229 3,225
Liberty Harbour
2.894%, 04/18/05 5,386 5,379
Mitten
2.803%, 04/14/05 6,100 6,093
2.762%, 04/11/05 3,588 3,585
Park Granada
2.802%, 04/12/05 5,669 5,664
Park Sienna
2.880%, 04/01/05 7,034 7,034
Rhineland Funding
2.758%, 05/09/05 1,435 1,431
2.757%, 05/03/05 14,376 14,341
2.757%, 05/06/05 1,920 1,915
SBC Communications
2.878%, 05/04/05 1,869 1,864
2.878%, 05/05/05 5,310 5,296
Thornburg Mortgage Capital
2.844%, 04/19/05 6,599 6,589
-----------
Total Commercial Paper
(Cost $113,137) ($ Thousands) 113,137
-----------
ASSET-BACKED SECURITIES (C) (E) -- 1.8%
AUTOMOTIVE -- 0.1%
Drivetime Auto Owner Trust,
Ser 2004-C, Cl A1
2.830%, 11/15/05 456 456
Drivetime Auto Owner Trust,
Ser 2005-A, Cl A1
2.870%, 03/15/06 2,398 2,398
-----------
2,854
-----------
MORTGAGE RELATED SECURITIES -- 1.7%
Aire Valley Mortgages,
Ser 2004-1A, Cl 1A
2.850%, 09/20/05 4,593 4,593
Blue Heron Funding, Ser 9A,
Cl A1
2.880%, 02/22/06 7,176 7,176
Cheyne High Grade,
Ser 2004-1A, Cl A1
2.791%, 11/10/05 4,126 4,126
- --------------------------------------------------------------------------------
16 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Commodore, Ser 2003-2A,
Cl A1MM
3.100%, 06/14/05 $ 3,301 $ 3,301
Davis Square Funding,
Ser 2004-2A, Cl AMMB
2.776%, 04/06/05 3,588 3,588
Davis Square Funding,
Ser 2004-2A, Cl AMMC
2.776%, 05/06/05 3,588 3,588
Duke Funding,
Ser 2004-6B, Cl A1S1
2.680%, 04/08/05 3,588 3,588
Harwood Street Funding I,
Ser 2004-1A, Cl NOTE
2.900%, 09/20/05 9,114 9,114
Orchid Structured Finance,
Ser 2003-1A, Cl A1MM
2.920%, 05/18/05 7,460 7,460
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AMM2
2.900%, 11/25/05 13,028 13,028
RMAC, Ser 2004-NS3A, Cl A1
2.800%, 06/12/05 3,015 3,015
Saturn Ventures
2.806%, 08/08/05 6,674 6,674
TIAA Real Estate,
Ser 2003 1A, Cl A
2.880%, 03/28/06 4,634 4,634
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMB
3.040%, 06/15/05 1,794 1,794
-----------
75,679
-----------
Total Asset-Backed Securities
(Cost $78,533) ($ Thousands) 78,533
-----------
MASTER NOTES (C) -- 1.1%
Bank of America Master Notes
2.955%, 04/01/05 17,940 17,940
Bear Stearns Master Notes
3.050%,04/01/05 7,176 7,176
Societe Generale Master Notes
2.875%, 04/01/05 21,528 21,528
-----------
Total Master Notes
(Cost $46,644) ($ Thousands) 46,644
-----------
CASH EQUIVALENT -- 0.9%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A++ 37,807,643 37,808
-----------
Total Cash Equivalent
(Cost $37,808) ($ Thousands) 37,808
-----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (C) (E) -- 0.3%
U.S. Trust
2.925%, 09/14/05 $ 7,176 $ 7,176
Washington Mutual Bank
2.820%, 08/18/05 7,176 7,176
-----------
Total Certificates of Deposit
(Cost $14,352) ($ Thousands) 14,352
-----------
U.S. TREASURY OBLIGATION (A) -- 0.0%
U.S. Treasury Bills
2.875%, 08/25/05 2,250 2,223
-----------
Total U.S. Treasury Obligation
(Cost $2,224) ($ Thousands) 2,223
-----------
REPURCHASE AGREEMENTS (C) -- 1.1%
Barclays Capital
2.850%, dated 03/31/05, to be
repurchased on 04/01/05, repurchase
price $7,627,042 (collateralized by
various U.S. Government Obligations,
ranging in par value $1,162,093-
$6,736,319, 3.020%-3.410%,
06/01/06-08/30/07; with total
market value $7,779,004) 7,626 7,626
Deutsche Bank
2.830%, dated 03/31/05, to be
repurchased on 04/01/05, repurchase
price $25,777,675 (collateralized by
various U.S. Government Obligations,
ranging in par value $79,205-
$9,472,411, 0.000%-7.500%,
01/01/09-12/01/37; with total
market value $26,291,162) 25,776 25,776
Lehman Brothers
2.800%, dated 03/31/05, to be
repurchased on 04/01/05, repurchase
price $13,707,357 (collateralized by
various U.S. Government Obligations,
ranging in par value $650,511-
$7,519,443, 1.750%-6.250%,
09/15/06-02/01/11; with total
market value $13,923,267) 13,706 13,706
-----------
Total Repurchase Agreements
(Cost $47,108) ($ Thousands) 47,108
-----------
Total Investments -- 110.3%
(Cost $4,092,725) ($ Thousands) 4,741,206
-----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 17
STATEMENT OF NET ASSETS (Unaudited)
Large Cap Value Fund (Concluded)
March 31, 2005
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (10.3)%
Payable Upon Return on Securities Loaned $ (440,541)
Payable for Investment Securities Purchased (29,846)
Payable for Fund Shares Redeemed (4,939)
Investment Advisory Fees Payable (1,034)
Administration Fees Payable (1,296)
Shareholder Servicing Fees Payable (749)
Administration Servicing Fees Payable (6)
Other Assets and Liabilities, Net 34,284
-----------
Total Other Assets and Liabilities (444,127)
-----------
Net Assets -- 100.0% $ 4,297,079
===========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 3,557,923
Undistributed net investment income 2,233
Accumulated net realized gain on investments
and futures contracts 89,981
Net unrealized appreciation on investments 648,481
Net unrealized depreciation on futures contracts (1,539)
-----------
Net Assets $ 4,297,079
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($4,273,953,138 / 200,258,321 shares) $21.34
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I
($23,126,100 / 1,083,686 shares) $21.34
===========
A summary of the open Long Futures contracts held by the Fund at March 31, 2005,
is as follows: (see note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
Contract Unrealized
Type of Number of Value Expiration Depreciation
Contract Contracts ($Thousands) Date ($Thousands)
- --------------------------------------------------------------------------------
S&P 500 Composite Index 138 $40,845 06/18/05 $(1,539)
-------
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
* Non-income producing security.
** Narrow industries are utilized for compliance puposes, whereas broad
sectors are utilized for reporting.
+ 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, 2005 (see Note 7). The total value of securities on loan at March 31,
2005 was $428,682 ($ Thousands).
(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,
2005 was $440,541 ($ Thousands).
(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, 2005.
(F) Securities considered illiquid. The total value of such securities as of
March 31, 2005 was $0 and represented 0.00% of Net Assets.
(G) Security sold within the terms of a private placement memorandum, exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be liquid
under guidelines established by the Board of Directors.
Cl -- Class
MTN -- Medium Term Note
Ser -- Series
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
18 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
Large Cap Growth Fund
March 31, 2005
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR WEIGHTINGS*:
22.3% Information Technology
18.3% Consumer Discretionary
17.0% Financials
15.0% Health Care
8.7% Consumer Staples
7.8% Industrials
4.4% Short-Term Investments
2.4% Energy
2.2% Asset-Backed Securities
1.0% Materials
0.8% Telecommunication Services
0.1% U.S. Treasury Obligations
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.0**%
CONSUMER DISCRETIONARY -- 20.9%
Bed Bath & Beyond (B)* 482,600 $ 17,634
Carnival (B) 310,720 16,098
Clear Channel Communications 480,180 16,552
Comcast, Special Cl A (B)* 250,140 8,355
eBay* 2,682,460 99,948
EchoStar Communications, Cl A (B)* 178,300 5,215
Family Dollar Stores 320,060 9,717
Gannett 57,650 4,559
Harrah's Entertainment (B) 231,280 14,936
Home Depot 980,000 37,475
International Game Technology 1,200,000 31,992
JC Penney 116,000 6,023
Kohl's (B)* 909,400 46,952
Lamar Advertising, Cl A* 164,750 6,638
Liberty Media International, Cl A (B)* 900,000 39,366
Liberty Media, Cl A* 528,760 5,483
Lowe's (B) 915,320 52,256
Marriott International, Cl A 950,342 63,540
McDonald's 1,008,400 31,402
McGraw-Hill 280,980 24,516
MGM Mirage (B)* 450,000 31,869
Nike, Cl B (B) 89,400 7,448
Omnicom Group (B) 213,000 18,855
Staples 1,350,000 42,430
Starwood Hotels & Resorts Worldwide 130,910 7,859
Station Casinos (B) 86,900 5,870
Target 761,790 38,105
Time Warner* 810,840 14,230
Univision Communications, Cl A (B)* 616,120 17,060
Valassis Communications* 198,450 6,938
Viacom, Cl B 619,340 21,572
Walt Disney (B) 567,492 16,304
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
XM Satellite Radio Holdings,
Cl A (B)* 1,231,000 $ 38,776
-----------
805,973
-----------
CONSUMER STAPLES -- 10.0%
Altria Group 138,000 9,024
Avon Products 369,160 15,852
Colgate-Palmolive 329,619 17,196
CVS (B) 144,000 7,577
Estee Lauder, Cl A 179,600 8,078
Gillette 1,459,835 73,692
PepsiCo 1,094,511 58,042
Procter & Gamble (B) 813,384 43,109
Wal-Mart Stores (B) 1,836,510 92,028
Walgreen (B) 1,033,000 45,886
WM Wrigley Jr 215,930 14,159
-----------
384,643
-----------
ENERGY -- 2.7%
ConocoPhillips 339,500 36,612
Exxon Mobil 249,100 14,846
Noble (B)* 105,000 5,902
Schlumberger (B) 483,031 34,044
Williams 395,000 7,430
XTO Energy 139,333 4,576
-----------
103,410
-----------
FINANCIALS -- 10.9%
American Express 303,300 15,581
American International Group 1,063,583 58,933
Bank of America 127,000 5,601
Capital One Financial (B) 76,000 5,682
Charles Schwab 4,401,860 46,264
Chicago Mercantile Exchange
Holdings (B) 150,000 29,104
Fannie Mae 368,820 20,082
Franklin Resources 366,100 25,133
Freddie Mac 462,350 29,221
Golden West Financial (B) 86,140 5,211
Goldman Sachs Group (B) 725,300 79,776
JPMorgan Chase 105,210 3,640
Legg Mason 226,700 17,714
MBNA 595,260 14,614
Moody's (B) 582,970 47,139
State Street 133,800 5,850
T Rowe Price Group 111,000 6,591
Willis Group Holdings 142,170 5,242
-----------
421,378
-----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 19
STATEMENT OF NET ASSETS (Unaudited)
Large Cap Growth Fund
March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
HEALTH CARE -- 17.1%
Allergan (B) 550,000 $ 38,209
Amgen* 1,281,714 74,609
Beckman Coulter (B) 90,000 5,981
Boston Scientific* 711,700 20,846
Caremark Rx* 831,560 33,079
Eli Lilly 608,100 31,682
Fisher Scientific International (B)* 126,000 7,172
Genentech (B)* 1,603,400 90,768
Genzyme* 204,400 11,700
Johnson & Johnson 749,792 50,356
Kinetic Concepts* 85,000 5,070
Laboratory of America Holdings (B)* 163,000 7,857
Medco Health Solutions (B)* 206,320 10,227
Medtronic 2,050,584 104,477
Pfizer 1,062,330 27,907
Stryker 184,570 8,234
UnitedHealth Group 96,000 9,156
WellPoint* 502,000 62,926
Wyeth 323,290 13,636
Zimmer Holdings (B)* 599,140 46,619
-----------
660,511
-----------
INDUSTRIALS -- 8.8%
3M (B) 384,848 32,978
Apollo Group, Cl A (B)* 171,200 12,679
Caterpillar 226,838 20,742
Cendant 1,046,020 21,485
Cintas (B) 560,300 23,146
Cooper Industries, Cl A 82,230 5,881
Expeditors International Washington 700,000 37,485
Fastenal 283,100 15,658
General Electric 770,500 27,784
Illinois Tool Works 170,300 15,247
Rockwell Automation 124,000 7,024
Rockwell Collins 149,000 7,091
Tyco International 531,480 17,964
United Parcel Service, Cl B 860,954 62,626
Weight Watchers International (B)* 750,000 32,235
-----------
340,025
-----------
INFORMATION TECHNOLOGY -- 25.4%
Adobe Systems 87,000 5,844
Apple Computer (B)* 90,000 3,750
Autodesk 195,000 5,803
Automatic Data Processing (B) 174,300 7,835
Cisco Systems* 3,292,630 58,905
Cognizant Technology Solutions,
Cl A* 120,000 5,544
Comverse Technology (B)* 259,000 6,532
Dell (B)* 1,673,330 64,289
Electronic Arts (B)* 68,030 3,523
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
EMC* 1,572,310 $ 19,371
First Data 2,978,580 117,088
Fiserv (B)* 290,700 11,570
Google, Cl A (B)* 94,960 17,141
Intel 2,953,670 68,614
International Business Machines 113,000 10,326
Intuit (B)* 800,000 35,016
Juniper Networks (B)* 684,900 15,109
Lexmark International, Cl A* 350,000 27,989
Linear Technology 943,690 36,153
Marvell Technology Group (B)* 160,000 6,134
Maxim Integrated Products (B) 425,200 17,378
Microsoft 5,719,290 138,235
Oracle* 2,149,000 26,820
Paychex 2,613,300 85,769
Qualcomm (B) 3,047,240 111,681
Research In Motion* 78,000 5,961
SanDisk* 1,200,000 33,360
Seagate Technology (B)* 270,000 5,278
Trimble Navigation (B)* 105,000 3,550
Yahoo!* 715,210 24,246
-----------
978,814
-----------
MATERIALS -- 1.2%
Lyondell Chemical (B) 127,000 3,546
Praxair 875,000 41,877
-----------
45,423
-----------
TELECOMMUNICATION SERVICES -- 1.0%
Crown Castle International* 520,980 8,367
Nokia ADR (B)* 1,889,200 29,150
-----------
37,517
-----------
Total Common Stock
(Cost $3,605,693) ($ Thousands) 3,777,694
-----------
CORPORATE OBLIGATIONS (C) (E) -- 4.5%
FINANCIALS -- 4.4%
Allstate Life Global Funding II MTN
2.800%, 04/13/06 $ 2,195 2,195
American General Finance (F)
2.810%, 04/14/06 6,145 6,145
CCN Bluegrass
2.914%, 02/21/06 5,706 5,706
Countrywide Home Loans
3.120%, 03/21/06 7,198 7,198
Countrywide Home Loans MTN, Ser M
3.152%, 06/23/05 3,511 3,511
3.040%, 11/30/05 9,656 9,656
2.980%, 08/26/05 2,634 2,634
2.940%, 05/20/05 1,756 1,756
2.810%, 01/31/06 1,931 1,931
- --------------------------------------------------------------------------------
20 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Five Finance MTN
2.860%, 09/22/05 $ 12,465 $ 12,463
Harrier Finance Funding MTN
3.034%, 09/15/05 2,546 2,545
Harrier Finance Funding MTN, Ser 1
3.016%, 06/15/05 7,637 7,637
Irish Life & Permanent MTN, Ser X
2.862%, 04/21/06 8,164 8,163
Jackson National Life Funding (F)
2.690%, 04/01/06 19,313 19,313
Lakeside Funding
2.790%, 04/08/05 5,322 5,322
Morgan Stanley, Ser EXL
2.720%, 05/04/06 1,756 1,756
Morgan Stanley, Ser EXLS
2.718%, 05/03/06 4,389 4,389
Nationwide Building Society (F)
3.083%, 04/28/05 4,389 4,389
2.746%, 04/07/06 8,778 8,778
Northern Rock (F)
2.730%, 05/03/06 7,725 7,725
Pacific Life Global Funding (F)
2.790%, 03/13/06 6,584 6,584
Premium Asset Trust (F)
2.820%, 01/15/06 12,290 12,290
2.755%, 02/06/06 6,496 6,502
SLM MTN, Ser X
2.850%, 04/20/06 15,362 15,362
White Pine Finance MTN, Ser 1
2.696%, 11/01/05 3,863 3,862
-----------
167,812
-----------
INDUSTRIALS -- 0.1%
Caterpillar Financial Services MTN,
Ser F
2.730%, 07/09/05 4,389 4,389
-----------
Total Corporate Obligations
(Cost $172,201) ($ Thousands) 172,201
-----------
COMMERCIAL PAPER (C) (D)-- 3.6%
FINANCIALS -- 3.6%
Brahms Funding
2.972%, 05/20/05 13,705 13,650
Broadhollow Funding
2.851%, 04/05/05 7,462 7,459
CCN Independence IV
2.880%, 01/17/06 1,756 1,756
Capital One
3.040%, 06/20/05 3,511 3,488
3.017%, 06/07/05 3,072 3,055
2.834%, 04/19/05 2,503 2,499
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Cobbler Funding
3.073%, 06/28/05 $ 1,607 $ 1,595
Eiffel Funding
2.889%, 05/09/05 2,195 2,188
2.741%, 04/08/05 6,584 6,580
Golden Fish
2.651%, 04/04/05 6,147 6,145
2.621%, 04/08/05 13,637 13,630
HSBC Finance
2.714%, 04/20/05 3,950 3,945
Liberty Harbour
2.894%, 04/18/05 6,589 6,580
Mitten
2.803%, 04/14/05 7,462 7,454
2.762%, 04/11/05 4,389 4,386
Park Granada
2.802%, 04/12/05 6,935 6,929
Park Sienna
2.880%, 04/01/05 8,604 8,604
Rhineland Funding
2.758%, 05/09/05 1,756 1,751
2.757%, 05/03/05 17,586 17,543
2.757%, 05/06/05 2,349 2,343
SBC Communications
2.878%, 05/04/05 2,287 2,281
2.878%, 05/05/05 6,496 6,479
Thornburg Mortgage Capital
2.844%, 04/19/05 8,072 8,061
-----------
Total Commercial Paper
(Cost $138,401) ($ Thousands) 138,401
-----------
ASSET-BACKED SECURITIES (C) (E)-- 2.5%
AUTOMOTIVE -- 0.1%
Drivetime Auto Owner Trust,
Ser 2004-C, Cl A1
2.830%, 11/15/05 557 557
Drivetime Auto Owner Trust,
Ser 2005-A, Cl A1
2.870%, 03/15/06 2,934 2,934
-----------
3,491
-----------
MORTGAGE RELATED SECURITIES -- 2.4%
Aire Valley Mortgages, Ser 2004-1A,
Cl 1A
2.850%, 09/20/05 5,618 5,618
Blue Heron Funding, Ser 9A,
Cl A1
2.880%, 02/22/06 8,779 8,779
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 21
STATEMENT OF NET ASSETS (Unaudited)
Large Cap Growth Fund (Concluded)
March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cheyne High Grade, Ser 2004-1A,
Cl A1
2.791%, 11/10/05 $ 5,048 $ 5,048
Commodore, Ser 2003-2A, Cl A1MM
3.100%, 06/14/05 4,038 4,038
Davis Square Funding, Ser 2004-2A,
Cl AMMB
2.776%, 04/06/05 4,389 4,389
Davis Square Funding, Ser 2004-2A,
Cl AMMC
2.776%, 05/06/05 4,389 4,389
Duke Funding, Ser 2004-6B, Cl A1S1
2.680%, 04/08/05 4,389 4,389
Harwood Street Funding I,
Ser 2004-1A, Cl NOTE
2.900%, 09/20/05 11,149 11,149
Orchid Structured Finance,
Ser 2003-1A, Cl A1MM
2.920%, 05/18/05 9,126 9,126
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AMM2
2.900%, 11/25/05 15,937 15,937
RMAC, Ser 2004-NS3A, Cl A1
2.800%, 06/12/05 3,689 3,689
Saturn Ventures
2.806%, 08/08/05 8,164 8,164
TIAA Real Estate, Ser 2003 1A, Cl A
2.880%, 03/28/06 5,668 5,668
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMB
3.040%, 06/15/05 2,195 2,195
-----------
92,578
-----------
Total Asset-Backed Securities
(Cost $96,069) ($ Thousands) 96,069
-----------
CASH EQUIVALENTS -- 2.0%
First Union Cash Management
Program 2,060,141 2,060
SEI Daily Income Trust,
Prime Obligation Fund, Cl A+ 75,412,463 75,412
-----------
Total Cash Equivalents
(Cost $77,472) ($ Thousands) 77,472
-----------
MASTER NOTES (C) -- 1.6%
Bank of America Master Notes
2.955%, 04/01/05 21,946 21,946
Bear Stearns Master Notes
3.050%,04/01/05 8,779 8,779
Societe Generale Master Notes
2.875%, 04/01/05 26,336 26,336
-----------
Total Master Notes
(Cost $57,061) ($ Thousands) 57,061
-----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (C) (E) -- 0.4%
U.S. Trust
2.925%, 09/14/05 $ 8,778 $ 8,778
Washington Mutual Bank
2.820%, 08/18/05 8,779 8,779
-----------
Total Certificates of Deposit
(Cost $17,557) ($ Thousands) 17,557
-----------
U.S. TREASURY OBLIGATION (A) -- 0.1%
U.S. Treasury Bills
2.872%, 08/25/05 2,375 2,347
-----------
Total U.S. Treasury Obligation
(Cost $2,347) ($ Thousands) 2,347
-----------
REPURCHASE AGREEMENTS (C) -- 1.4%
Barclays Capital
2.850%, dated 03/31/05, to be
repurchased on 04/01/05, repurchase
price $9,330,194 (collateralized by
various U.S. Government Obligations,
ranging in par value $1,421,593-
$8,240,568, 3.020%-3.410%,
06/01/06-08/30/07; with total
market value $9,516,089) 9,329 9,329
Deutsche Bank
2.830%, dated 03/31/05, to be
repurchased on 04/01/05, repurchase
price $31,533,942 (collateralized by
various U.S. Government Obligations,
ranging in par value $96,891-
$11,587,641, 0.000%-7.500%,
01/01/09-12/01/37; with total
market value $32,162,093) 31,531 31,531
Lehman Brothers
2.800%, dated 03/31/05, to be
repurchased on 04/01/05, repurchase
price $16,728,270 (collateralized by
various U.S. Government Obligations,
ranging in par value $795,772-
$9,198,568, 1.750%-6.250%,
09/15/06-02/01/11; with total
market value $17,032,393) 16,767 16,767
-----------
Total Repurchase Agreements
(Cost $57,627) ($ Thousands) 57,627
-----------
Total Investments -- 114.1%
(Cost $4,224,428) ($ Thousands) 4,396,429
-----------
- --------------------------------------------------------------------------------
22 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (14.1)%
Payable Upon Return on Securities Loaned $ (538,916)
Payable for Investment Securities Purchased (11,348)
Payable for Fund Shares Redeemed (4,734)
Administration Fees Payable (1,162)
Investment Advisory Fees Payable (1,155)
Shareholder Servicing Fees Payable (440)
Administration Servicing Fees Payable (5)
Other Assets and Liabilities, Net 15,179
-----------
Total Other Assets and Liabilities (542,581)
-----------
Net Assets -- 100.0% $ 3,853,848
===========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 5,295,714
Undistributed net investment income 729
Accumulated net realized loss on investments
and futures contracts (1,612,967)
Net unrealized appreciation on investments 172,001
Net unrealized depreciation on futures contracts (1,629)
-----------
Net Assets $ 3,853,848
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($3,825,847,413 / 217,204,020 shares) $17.61
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I
($28,000,109 / 1,603,009 shares) $17.47
===========
A summary of the open Long Futures contracts held by the Fund at March 31, 2005,
is as follows: (see note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
Contract Unrealized
Type of Number of Value Expiration Depreciation
Contract Contracts ($Thousands) Date ($Thousands)
- --------------------------------------------------------------------------------
S&P 500 Composite Index 146 $43,212 06/18/05 $(1,629)
-------
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
* Non-income producing security.
** Narrow industries are utilized for compliance puposes, whereas broad
sectors are utilized for reporting.
+ 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, 2005 (see Note 7). The total value of securities on loan at March 31,
2005 was $522,787 ($ Thousands).
(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,
2005 was $538,916 ($ Thousands).
(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, 2005.
(F) 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 Directors.
ADR -- American Depositary Receipt
Cl -- Class
MTN -- Medium Term Note
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 23
STATEMENT OF NET ASSETS (Unaudited)
Tax-Managed Small Cap Fund
March 31, 2005
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR WEIGHTINGS*:
19.1% Consumer Discretionary
17.8% Information Technology
13.4% Industrials
13.3% Health Care
12.5% Financials
6.3% Materials
4.5% Utilities
4.1% Energy
4.0% Consumer Staples
3.8% Short-Term Investments
1.1% Telecommunication Services
0.1% U.S. Treasury Obligations
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 96.5%
CONSUMER DISCRETIONARY -- 19.4%
Abercrombie & Fitch, Cl A 12,800 $ 733
Adesa* 14,500 339
Advo 10,200 382
Alliance Gaming* 27,100 260
American Eagle Outfitters 29,400 869
American Greetings, Cl A 19,200 489
AnnTaylor Stores* 25,250 646
ArvinMeritor 15,900 246
Autoliv 18,600 886
Autonation* 13,100 248
Bandag 5,600 263
Barnes & Noble* 23,000 793
BOB Evans Farms 12,000 281
BorgWarner 22,615 1,101
Brunswick 26,000 1,218
Cablevision Systems, Cl A* 10,000 280
Callaway Golf 5,100 65
Cato, Cl A 21,900 706
Cheesecake Factory* 16,350 580
Claire's Stores 2,000 46
Coach* 21,200 1,201
Columbia Sportswear* 8,400 447
Cooper Tire & Rubber 12,900 237
Cost Plus* 9,800 263
CSK Auto* 8,400 148
Design Within Reach* 25,600 403
Dick's Sporting Goods* 23,565 866
Dollar Thrifty Automotive Group* 4,800 157
Dollar Tree Stores* 8,100 233
DreamWorks Animation SKG, Cl A* 2,700 110
Electronics Boutique Holdings* 10,100 434
Exide Technologies* 24,600 317
Federated Department Stores 15,400 980
Fleetwood Enterprises* 43,200 376
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Four Seasons Hotels 9,200 $ 650
GameStop, Cl B* 9,772 218
Gentex 13,000 415
Getty Images* 9,600 683
Great Wolf Resorts* 17,000 424
Group 1 Automotive* 7,100 187
GTECH Holdings 12,700 299
Handleman 55,400 1,050
Jarden* 36,590 1,679
Jo-Ann Stores* 11,900 334
K2* 29,200 402
Kerzner International* 8,900 545
La-Z-Boy 15,500 216
Lamar Advertising, Cl A* 15,100 608
Leapfrog Enterprises* 21,900 249
Lear 11,700 519
Lions Gate Entertainment* 43,190 477
MSC Industrial Direct, Cl A 38,300 1,170
MTR Gaming Group* 30,200 374
New York* 20,200 405
NVR* 1,600 1,256
OfficeMax 5,500 184
Orange 21* 22,700 148
Panera Bread, Cl A* 7,000 396
PDI* 14,300 293
Petsmart 26,100 750
PF Chang's China Bistro* 12,800 765
Phillips-Van Heusen 17,270 460
Pier 1 Imports 14,500 264
Polo Ralph Lauren 33,400 1,296
Reebok International 10,200 452
Regis 14,900 610
Rinker Group ADR 5,200 436
Royal Caribbean Cruises 11,200 501
Ryland Group 26,800 1,662
Saks 42,700 771
Scholastic* 14,300 528
ShopKo Stores* 26,000 578
Sonic* 18,300 611
Sonic Automotive 14,900 338
Sports Authority* 14,600 402
Station Casinos 13,070 883
Stride Rite 38,900 517
Technical Olympic USA 19,400 586
Triarc, Cl A 16,800 239
Unifi* 19,700 66
Urban Outfitters* 10,800 518
Valassis Communications* 7,900 276
Visteon 35,300 202
Warnaco Group* 23,500 565
Whirlpool 8,500 576
Williams-Sonoma* 27,900 1,025
- --------------------------------------------------------------------------------
24 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Wynn Resorts* 12,000 $ 813
XM Satellite Radio Holdings, Cl A* 4,900 154
-----------
46,628
-----------
CONSUMER STAPLES -- 4.0%
Alberto-Culver 15,930 762
BJ's Wholesale Club* 10,200 317
Chiquita Brands International* 14,400 386
Church & Dwight 31,735 1,126
Corn Products International 28,600 743
Dean Foods* 17,800 611
Del Monte Foods* 15,900 172
JM Smucker 4,100 206
Molson Coors Brewing, Cl B 14,800 1,142
Nash Finch 11,300 429
Pathmark Stores* 28,000 177
PepsiAmericas 30,100 682
Ralcorp Holdings 12,400 587
Supervalu 20,900 697
Tyson Foods, Cl A 9,400 157
United Natural Foods* 37,340 1,069
Universal 6,300 288
Winn-Dixie Stores (B)* 13,600 13
-----------
9,564
-----------
ENERGY -- 4.1%
Amerada Hess 8,600 827
Ashland 6,800 459
Berry Petroleum, Cl A 9,110 469
CARBO Ceramics 4,005 281
EOG Resources 8,600 419
Forest Oil* 15,500 628
Houston Exploration* 11,300 644
Input/Output* 23,100 149
Kerr-McGee 11,300 885
National-Oilwell* 5,900 276
Patterson-UTI Energy 10,200 255
Plains Exploration & Production* 19,585 683
Rowan* 21,900 655
Stone Energy* 12,100 588
Swift Energy* 23,300 663
Tesoro* 34,000 1,259
Ultra Petroleum* 5,100 259
Vintage Petroleum 13,900 437
-----------
9,836
-----------
FINANCIALS -- 12.5%
Aames Investment+* 24,300 199
Accredited Home Lenders Holding* 8,200 297
Affiliated Managers Group* 16,300 1,011
Allmerica Financial* 19,500 701
American Financial Group 22,200 684
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
AmerUs Group 10,400 $ 491
Astoria Financial 24,300 615
Bancorpsouth 23,200 479
Bank of Hawaii 6,300 285
Bear Stearns 7,000 699
Calamos Asset Management, Cl A* 8,000 215
CapitalSource* 24,900 573
CIT Group 13,300 505
City National 12,900 901
Colonial BancGroup 34,200 702
Commerce Bancshares 13,137 633
Downey Financial 8,000 492
E*Trade Financial* 116,500 1,398
East-West Bancorp 8,000 295
First American 24,400 804
First Niagara Financial Group 47,300 625
Flagstar Bancorp 16,800 328
Friedman Billings Ramsey Group,
Cl A+ 18,300 290
Gold Banc 34,400 483
Greater Bay Bancorp 11,100 271
Hibernia, Cl A 28,600 915
Host Marriott+ 23,000 381
Huntington Bancshares 33,000 789
Huron Consulting Group* 3,600 75
IndyMac Bancorp 18,800 639
Investors Financial Services 13,280 650
Jones Lang LaSalle* 9,740 454
LandAmerica Financial Group 13,800 690
Max Re Capital 20,300 478
Montpelier Re Holdings 10,400 366
Nuveen Investments, Cl A 2,800 96
Old Republic International 25,500 594
Oriental Financial Group 7,420 174
PartnerRe 13,700 885
Popular 26,900 654
ProAssurance* 11,920 471
Providian Financial* 49,000 841
Radian Group 7,524 359
Silicon Valley Bancshares* 16,400 723
Sovereign Bancorp 69,700 1,545
Stancorp Financial Group 4,400 373
Sterling Financial* 11,800 421
Stewart Information Services 10,500 394
Sunstone Hotel Investors+ 23,300 500
TD Banknorth 8,330 260
Toronto-Dominion Bank 1,294 53
U-Store-It Trust+ 23,100 402
UCBH Holdings 13,655 545
UnionBanCal 14,300 876
Washington Federal 9,040 211
Wintrust Financial 6,100 287
-----------
30,077
-----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 25
STATEMENT OF NET ASSETS (Unaudited)
Tax-Managed Small Cap Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
HEALTH CARE -- 13.3%
Abgenix* 48,900 $ 342
Accelrys* 37,600 223
Alpharma, Cl A 26,900 331
American Healthways* 25,895 855
American Medical Systems Holdings* 32,290 555
Amylin Pharmaceuticals* 21,100 369
Animas* 22,300 451
Applera--Applied Biosystems Group 30,200 596
Applera--Celera Genomics Group* 44,000 451
Apria Healthcare Group* 7,135 229
Barr Pharmaceuticals* 38,200 1,865
Bausch & Lomb 6,200 454
Beckman Coulter 6,600 439
Cephalon* 26,000 1,218
Community Health Systems* 17,700 618
Cooper 14,370 1,048
Coventry Health Care* 5,250 358
Cubist Pharmaceuticals* 55,200 586
CV Therapeutics* 67,600 1,376
DaVita* 11,800 494
Dendreon* 59,200 323
Depomed* 51,100 201
DJ Orthopedics* 33,100 829
Endo Pharmaceuticals Holdings* 21,100 476
Express Scripts* 4,900 427
First Horizon Pharmaceutical* 30,800 520
Fisher Scientific International* 21,700 1,235
Genencor International* 18,600 358
Health Net* 30,000 981
Human Genome Sciences* 20,800 192
IDX Systems* 17,900 622
Immucor* 19,050 575
InterMune* 26,400 290
Invitrogen* 8,500 588
Kindred Healthcare* 8,700 305
Kinetic Concepts* 9,090 542
King Pharmaceuticals* 18,700 155
Laboratory of America Holdings* 9,400 453
Ligand Pharmaceuticals, Cl B* 61,100 350
Magellan Health Services* 8,600 293
Manor Care 8,700 316
Medicis Pharmaceutical, Cl A 17,400 522
MGI Pharma* 15,000 379
Millipore* 2,000 87
Myriad Genetics* 8,300 153
Neurocrine Biosciences* 8,300 316
Nu Skin Enterprises, Cl A 10,200 230
Par Pharmaceutical* 10,800 361
Parexel International* 12,200 287
PerkinElmer 20,100 415
Pharmacopeia Drug Discovery* 24,450 123
Pozen* 29,000 151
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Prestige Brands Holdings* 26,700 $ 471
Protein Design Labs* 27,800 445
Psychiatric Solutions* 9,540 439
Rigel Pharmaceuticals* 16,300 261
SFBC International* 16,465 580
SurModics* 1,400 45
Sybron Dental Specialties* 26,366 947
Syneron Medical* 7,100 226
Telik* 24,100 363
Triad Hospitals* 20,100 1,007
Trimeris* 42,700 481
United Surgical Partners
International* 4,300 197
Universal Health Services, Cl B 2,100 110
Varian Medical Systems* 2,500 86
Watson Pharmaceuticals* 13,700 421
-----------
31,992
-----------
INDUSTRIALS -- 13.4%
Actuant, Cl A* 5,500 247
Advisory Board* 4,200 184
Alaska Air Group* 16,000 471
Albany International, Cl A 18,700 577
Avery Dennison 4,400 272
Banta 27,700 1,186
BearingPoint* 76,400 670
Briggs & Stratton 27,900 1,016
Bright Horizons Family Solutions* 15,800 533
Brink's 21,500 744
Calgon Carbon 34,600 295
CNH Global 26,440 497
Corporate Executive Board 8,300 531
Cummins 15,000 1,055
Deluxe 7,600 303
Education Management* 23,400 654
Engineered Support Systems 7,600 407
ESCO Technologies* 5,105 410
Esterline Technologies* 9,700 335
Flowserve* 8,500 220
GATX 22,400 743
General Maritime* 8,205 397
Goodrich 30,100 1,153
Grupo TMM ADR, Cl A* 42,600 130
Harsco 12,500 745
Herman Miller 27,500 828
Intermagnetics General* 13,823 336
iPayment* 9,170 387
ITT Educational Services* 11,900 577
Joy Global 18,372 644
Kansas City Southern* 18,000 347
Lafarge North America 6,200 362
Laidlaw International* 47,200 982
Landstar System* 15,240 499
- --------------------------------------------------------------------------------
26 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lennox International 12,500 $ 274
Levitt, Cl A 7,250 186
Manitowoc 13,200 533
Milacron* 65,559 200
Mine Safety Appliances 13,470 522
Monster Worldwide* 21,300 597
Moog, Cl A* 7,920 358
Navistar International* 13,400 488
Orbital Sciences* 19,400 188
Oshkosh Truck 8,400 689
Pall 26,900 729
PHH* 8,900 195
Power-One* 16,500 80
Quanta Services* 69,800 533
Resources Connection* 21,700 454
Rofin-Sinar Technologies* 9,700 312
RR Donnelley & Sons 4,300 136
Ryder System 28,800 1,201
Tecumseh Products, Cl A 8,800 349
Teledyne Technologies* 8,600 269
Thomas & Betts* 10,900 352
Timken 8,700 238
Toro 8,945 792
TurboChef Technologies* 24,100 359
United Rentals* 25,500 515
Universal Forest Products 15,600 606
UTI Worldwide 7,200 500
Walter Industries 11,600 494
Washington Group International* 14,000 630
Westinghouse Air Brake Technologies 16,000 328
York International 10,300 404
-----------
32,248
-----------
INFORMATION TECHNOLOGY -- 17.8%
Agere Systems, Cl B* 133,100 189
Agilysys 13,100 258
Akamai Technologies* 36,600 466
Alliance Semiconductor* 31,800 79
Altera* 41,700 825
AMIS Holdings* 26,600 300
Amkor Technology* 30,800 119
Amphenol, Cl A* 8,700 322
aQuantive* 52,300 579
Arris Group (B)* 132,300 914
Ascential Software* 48,050 890
ATI Technologies* 19,900 343
Autodesk 12,080 360
Avaya* 69,000 806
Avid Technology* 1,000 54
Avocent* 19,100 490
Axcelis Technologies* 31,700 231
Black Box 7,200 269
BMC Software* 30,400 456
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Brooks Automation* 65,500 $ 994
C-COR* 80,200 488
Cadence Design Systems* 24,300 363
Certegy 9,000 312
Check Point Software Technologies* 15,900 346
Checkfree* 7,300 298
Citrix Systems* 26,700 636
CNET Networks* 31,800 300
Cognizant Technology Solutions, Cl A* 19,500 901
Conexant Systems* 84,700 127
Convergys* 26,200 391
Cree* 16,100 350
CSG Systems International* 24,400 397
Cymer* 14,900 399
Digitas* 44,100 445
Dolby Laboratories, Cl A* 3,000 71
E.piphany* 57,500 204
Earthlink* 80,100 721
Emulex* 23,800 448
eResearch Technology* 21,300 251
F5 Networks* 13,080 660
Fairchild Semiconductor International* 39,600 607
Faro Technologies* 30,295 713
FEI* 34,500 799
Foundry Networks* 47,800 473
Global Payments 5,200 335
InFocus* 26,600 153
Informatica* 32,700 270
Integrated Device Technology* 9,000 108
Internet Security Systems* 5,700 104
Intersil, Cl A 47,300 819
Jack Henry & Associates 24,700 444
Keynote Systems* 26,900 319
Komag* 26,800 599
Lam Research* 18,800 543
Lattice Semiconductor* 212,000 1,138
LSI Logic* 70,600 395
Macromedia* 1,000 34
Manhattan Associates* 15,300 312
Maxtor* 165,000 878
Mentor Graphics* 40,500 555
Mercury Interactive* 10,800 512
Methode Electronics 33,500 406
Micrel* 52,500 484
Mindspeed Technologies* 16,900 38
NetIQ* 22,300 255
Novellus Systems* 31,800 850
Nvidia* 15,525 369
O2Micro International* 35,200 362
Openwave Systems* 27,600 336
Parametric Technology* 65,800 368
Paxar* 22,000 469
Pixar* 3,800 371
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 27
STATEMENT OF NET ASSETS (Unaudited)
Tax-Managed Small Cap Fund (Concluded)
March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Pixelworks* 106,600 $ 869
Plantronics 12,200 465
PMC - Sierra* 21,300 187
Polycom* 69,000 1,170
Power Integrations* 4,400 92
Quantum* 150,400 438
RADWARE* 7,900 185
Red Hat* 46,100 503
Redback Networks* 19,700 118
RF Micro Devices* 121,700 635
SafeNet* 13,700 402
Shanda Interactive Entertainment
ADR* 18,475 558
Sybase* 13,200 244
Synopsys* 9,200 167
Teradyne* 43,300 632
THQ* 17,500 492
TIBCO Software* 73,000 544
Titan* 33,200 603
TTM Technologies* 30,200 316
Unisys* 79,900 564
Utstarcom* 17,600 193
Veeco Instruments* 3,000 45
Verint Systems* 10,535 368
WatchGuard Technologies* 7,100 23
Wavecom ADR* 28,000 149
Western Digital* 104,900 1,337
Zoran* 12,900 134
-----------
42,903
-----------
MATERIALS -- 6.3%
Albemarle 17,200 625
Aptargroup 8,500 442
Ball 6,500 270
Carpenter Technology 11,445 680
Constar International* 20,800 118
Crown Holdings* 68,500 1,066
Cytec Industries 40,700 2,208
Eastman Chemical 7,800 460
FMC* 16,400 877
Foundation Coal Holdings 17,500 411
Georgia Gulf 6,760 311
Headwaters* 12,400 407
Hercules* 32,600 472
Jacuzzi Brands* 53,900 526
Louisiana-Pacific 12,000 302
Lubrizol 14,300 581
Massey Energy 11,100 444
Mosaic* 14,300 244
NS Group* 15,100 474
OM Group* 15,900 484
Owens-Illinois* 18,500 465
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Packaging of America 16,300 $ 396
Peabody Energy 4,600 213
Quanex 12,750 680
Silgan Holdings 4,920 320
Terra Industries* 84,600 657
Trex* 8,400 373
United States Steel 12,300 625
-----------
15,131
-----------
TELECOMMUNICATION SERVICES -- 1.1%
Alamosa Holdings* 36,020 420
CenturyTel 19,200 631
Nextel Partners, Cl A* 19,200 422
Spectrasite* 18,960 1,099
-----------
2,572
-----------
UTILITIES -- 4.6%
Allete 6,866 287
Avista 26,200 459
Centerpoint Energy 25,300 304
CMS Energy* 67,500 880
Constellation Energy Group 7,700 398
DPL 8,700 218
Edison International 36,100 1,253
El Paso Electric* 14,400 274
Energen 9,000 599
MDU Resources Group 27,450 758
Northeast Utilities 28,300 545
NorthWestern 17,400 459
Oneok 10,200 314
Pinnacle West Capital 10,200 434
PNM Resources 12,300 328
PPL 9,100 491
Puget Energy 18,300 403
Reliant Energy* 34,000 387
Sempra Energy 20,400 813
UGI 17,250 784
Wisconsin Energy 15,800 561
-----------
10,949
-----------
Total Common Stock
(Cost $195,218) ($ Thousands) 231,900
-----------
Number of
Warrants
WARRANTS -- 0.0%
Washington Mutual (D)* 100,700 12
-----------
Total Warrants
(Cost $26) ($ Thousands) 12
-----------
- --------------------------------------------------------------------------------
28 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Number of
Rights
RIGHTS -- 0.0%
Bank United (E) (F)* 7,000 $ --
-----------
Total Rights
(Cost $2) ($ Thousands) --
-----------
U.S. TREASURY OBLIGATION -- 0.1%
U.S. Treasury Bills (A)
2.872%, 08/25/05 $ 260 257
-----------
Total U.S. Treasury Obligation
(Cost $257) ($ Thousands) 257
-----------
CASH EQUIVALENTS -- 3.8%
Reserve Funds Primary Fund (C) 177,919 178
SEI Daily Income Trust,
Prime Obligation Fund, Cl A++ 8,996,413 8,996
-----------
Total Cash Equivalents
(Cost $9,174) ($ Thousands) 9,174
-----------
Total Investments -- 100.4%
(Cost $204,677) ($ Thousands) 241,343
-----------
OTHER ASSETS AND LIABILITIES -- (0.4)%
Payable for Investment Securities Purchased (2,870)
Payable for Fund Shares Redeemed (197)
Payable Upon Return on Securities Loaned (178)
Investment Advisory Fees Payable (115)
Administration Fees Payable (72)
Shareholder Servicing Fees Payable (33)
Other Assets and Liabilities, Net 2,417
-----------
Total Other Assets and Liabilities (1,048)
-----------
Net Assets -- 100.0% $ 240,295
===========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 195,790
Distribution in excess of net investment income (153)
Accumulated net realized gain on investments
and futures contracts 8,063
Net unrealized appreciation on investments 36,666
Net unrealized depreciation on futures contracts (71)
-----------
Net Assets $ 240,295
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($240,294,786 / 19,914,585 shares) $12.07
===========
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
A summary of the open Long Futures contracts held by the Fund at March 31, 2005,
is as follows: (see note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
Contract Unrealized
Type of Number of Value Expiration Depreciation
Contract Contracts ($Thousands) Date ($Thousands)
- --------------------------------------------------------------------------------
Russell 2000 Index 34 $2,101 06/17/05 $(43)
S&P 400 Index 22 1,450 06/17/05 (28)
----
$(71)
----
* 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, 2005 (see Note 7). The total value of securities on loan at March 31,
2005 was $75 ($ Thousands).
(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,
2005 was $178 ($ Thousands).
(D) This warrant represents a potential distribution settlement in a legal
claim and does not have a strike price or expiration date.
(E) This security was issued for possible settlement of pending litigation and
does not have an expiration date.
(F) Securities considered illiquid. The total value of such securities as of
March 31, 2005 was $0 and represented 0.00% of Net Assets.
ADR -- American Depositary Receipt
Cl -- Class
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 29
STATEMENT OF NET ASSETS (Unaudited)
Small Cap Value Fund
March 31, 2005
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR WEIGHTINGS*:
29.9% Financials
15.1% Industrials
14.9% Consumer Discretionary
8.2% Information Technology
5.7% Health Care
5.5% Energy
5.1% Materials
5.0% Short-Term Investments
3.9% Utilities
3.2% Asset-Backed Securities
2.7% Consumer Staples
0.5% Telecommunication Services
0.3% Exchange Traded Fund
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.0%
CONSUMER DISCRETIONARY -- 18.1%
1-800 Contacts (B)* 66,300 $ 1,384
7-Eleven* 12,600 303
Aaron Rents 70,400 1,408
Abercrombie & Fitch, Cl A 21,700 1,242
Adesa (B)* 92,800 2,168
Advo 224,575 8,410
Aftermarket Technology* 49,870 823
Alliance Gaming (B)* 229,790 2,204
American Axle & Manufacturing
Holdings (B) 40,660 996
American Greetings, Cl A (B) 122,370 3,118
American Woodmark 7,900 287
AnnTaylor Stores (B)* 81,900 2,096
Arctic Cat 61,200 1,656
ArvinMeritor 132,700 2,053
Bandag 11,300 531
Belo, Cl A 51,270 1,238
Bluegreen* 18,400 236
Blyth 6,300 201
Brinker International* 21,410 775
Brown Shoe 62,700 2,149
Carmike Cinemas 44,410 1,656
Catalina Marketing 75,300 1,950
Cato, Cl A 64,000 2,064
CellStar (B)* 190,900 445
CKE Restaurants* 55,000 872
Claire's Stores 11,700 270
Cooper Tire & Rubber (B) 82,330 1,512
CSK Auto* 140,070 2,472
Dave & Buster's* 21,600 404
Diamondrock Hospitality* 57,100 608
Dollar Thrifty Automotive Group* 47,600 1,560
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Dress Barn* 87,091 $ 1,587
Electronics Boutique Holdings* 12,300 528
Ethan Allen Interiors (B) 108,700 3,478
Exide Technologies (B)* 130,600 1,685
Fleetwood Enterprises (B)* 198,400 1,726
Foot Locker (B) 65,790 1,928
Furniture Brands International (B) 267,000 5,823
Gaylord Entertainment (B)* 68,000 2,747
Great Wolf Resorts* 64,000 1,597
Handleman 221,353 4,197
Haverty Furniture 7,000 107
Jack in the Box (B)* 37,600 1,395
Jakks Pacific (B)* 139,470 2,994
Jarden (B)* 63,500 2,913
Jo-Ann Stores* 134,700 3,784
Journal Communications, Cl A 41,100 680
K2 (B)* 137,100 1,885
Kellwood 274,710 7,909
Kerzner International* 26,600 1,629
Kimball International, Cl B 35,700 518
La Quinta* 43,800 372
La-Z-Boy 84,700 1,180
Leapfrog Enterprises (B)* 122,500 1,390
Liberty 41,250 1,673
Lin TV, Cl A (B)* 27,100 459
Linens `N Things (B)* 90,700 2,252
Lone Star Steakhouse & Saloon 27,700 801
MDC Holdings 16,380 1,141
Men's Wearhouse (B)* 36,520 1,541
Movie Gallery 316,680 9,082
MTR Gaming Group* 141,500 1,755
National Presto Industries 17,853 719
Nuco2* 39,200 1,031
OfficeMax 30,300 1,015
Pantry* 19,400 601
Papa John's International* 45,800 1,590
Payless Shoesource (B)* 323,400 5,106
PEP Boys-Manny Moe & Jack 58,700 1,032
Pier 1 Imports (B) 83,600 1,524
Polo Ralph Lauren 67,400 2,615
Primedia* 146,178 636
RC2* 28,100 955
Reebok International 26,530 1,175
Regis 136,761 5,598
Rent-A-Center* 19,500 532
Ryan's Restaurant Group* 78,200 1,136
Ryland Group (B) 30,200 1,873
Saks 160,900 2,904
Scholastic (B)* 69,100 2,549
Sharper Image (B)* 48,730 809
ShopKo Stores* 18,300 407
Sonic Automotive 32,900 747
Sports Authority (B)* 65,300 1,796
Stage Stores* 13,700 526
- --------------------------------------------------------------------------------
30 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Starwood Hotels & Resorts Worldwide 95,000 $ 5,703
Sturm Ruger 11,900 82
Superior Essex* 89,300 1,579
Superior Industries International (B) 187,700 4,957
Tenneco Automotive* 112,100 1,397
Tower Automotive (B)* 98,100 18
Trans World Entertainment* 55,000 810
Triarc, Cl A (B) 63,300 899
Tupperware 47,200 961
Unifi* 114,300 383
United Auto Group 14,400 401
Valassis Communications (B)* 92,900 3,248
Visteon (B) 192,700 1,100
Water Pik Technologies* 6,600 130
World Wrestling Entertainment 123,100 1,477
Zale* 234,200 6,960
-----------
184,828
-----------
CONSUMER STAPLES -- 3.3%
American Italian Pasta, Cl A (B) 37,700 1,033
BJ's Wholesale Club (B)* 52,600 1,634
Casey's General Stores 78,870 1,417
Chiquita Brands International* 137,200 3,674
Church & Dwight (B) 61,100 2,167
Corn Products International 51,000 1,326
Del Monte Foods* 87,600 950
Delta & Pine Land 35,100 948
Gold Kist* 38,200 607
Hain Celestial Group* 94,200 1,756
John B. Sanfilippo & SON* 27,200 669
Lance 3,100 50
Longs Drug Stores 7,900 270
Molson Coors Brewing, Cl B 55,800 4,306
Nash Finch (B) 46,100 1,751
Pathmark Stores* 151,300 955
Ralcorp Holdings 84,200 3,987
Rayovac* 46,500 1,934
Ruddick 22,700 526
Sanderson Farms (B) 28,100 1,214
Tyson Foods, Cl A 51,400 857
Universal (B) 26,300 1,204
-----------
33,235
-----------
ENERGY -- 6.7%
Atlas America (B)* 25,290 915
Cabot Oil & Gas 38,600 2,129
Callon Petroleum* 26,100 405
Cimarex Energy (B)* 66,400 2,590
Core Laboratories (B)* 33,000 847
Forest Oil (B)* 155,650 6,304
Holly 42,600 1,588
Houston Exploration* 10,600 604
Input/Output (B)* 126,300 815
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Meridian Resource* 197,100 $ 1,017
National-Oilwell (B)* 32,500 1,518
Offshore Logistics* 3,500 117
Overseas Shipholding Group (B) 28,700 1,805
Penn Virginia (B) 37,800 1,735
Pioneer Natural Resources 50,011 2,136
Plains Exploration & Production (B)* 233,219 8,139
Range Resources 85,800 2,004
Remington Oil & Gas (B)* 47,000 1,481
SEMCO Energy (B) 162,700 935
Spinnaker Exploration (B)* 62,600 2,224
St. Mary Land & Exploration (B) 72,400 3,624
Stone Energy* 123,200 5,984
Superior Energy Services* 73,100 1,257
Swift Energy* 106,990 3,043
Tesoro (B)* 58,000 2,147
Transmontaigne* 32,600 261
Veritas DGC* 101,500 3,041
Vintage Petroleum 134,840 4,242
W-H Energy Services* 127,690 3,056
Whiting Petroleum* 55,200 2,251
-----------
68,214
-----------
FINANCIALS -- 23.5%
Acadia Realty Trust+ 60,200 968
Advanta, Cl B 17,700 407
Affiliated Managers Group (B)* 49,850 3,092
Agree Realty+ 16,100 434
Allmerica Financial* 82,500 2,966
AMB Property+ 80,900 3,058
American Home Mortgage
Investment+ (B) 86,800 2,486
AmerUs Group (B) 24,900 1,177
Anchor Bancorp Wisconsin 17,100 481
Anthracite Capital+ 32,100 358
Arbor Realty Trust+ (B) 102,310 2,532
Arch Capital Group* 39,100 1,566
Archstone-Smith Trust+ 58,600 1,999
Aspen Insurance Holdings 64,700 1,631
AvalonBay Communities+ 28,600 1,913
Bancfirst 4,700 324
Bancorpsouth 52,400 1,082
Bank Mutual 133,830 1,582
Bedford Property Investors+ 16,100 351
Boston Properties+ 71,200 4,288
Brandywine Realty Trust+ 24,700 701
Camden Property Trust+ 23,200 1,091
Capital Southwest 26,500 2,096
Capital Trust, Cl A+ 12,700 421
Capitol Bancorp 11,000 333
Cardinal Financial* 143,780 1,323
Cascade Bancorp 8,900 173
Cash America International 27,600 605
Catellus Development+ 47,300 1,261
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 31
STATEMENT OF NET ASSETS (Unaudited)
Small Cap Value Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cathay General Bancorp 24,300 $ 765
CB Richard Ellis Group, Cl A* 31,800 1,113
CBL & Associates Properties+ 31,310 2,239
Cedar Shopping Centers+ 18,600 265
Central Pacific Financial 42,600 1,433
Chemical Financial 7,455 242
City Holding 10,500 310
CNA Surety* 18,600 253
Colonial BancGroup 62,100 1,274
Colonial Properties Trust+ (B) 20,300 780
Columbia Banking System 14,700 349
Commerce Group 23,600 1,463
Commercial Federal 34,600 957
Commercial Net Lease Realty+ 44,400 819
Community Bank System 23,400 536
Community Trust Bancorp 5,790 167
CompuCredit* 65,600 1,746
Corus Bankshares 20,100 959
Crescent Real Estate Equity+ (B) 53,100 868
CRT Properties+ 39,600 862
Delphi Financial Group, Cl A 35,800 1,539
Donegal Group, Cl A 1,564 28
Eagle Hospitality Properties Trust+* 99,600 893
Entertainment Properties Trust+ 22,500 932
Equity Inns+ 74,400 821
FBL Financial Group, Cl A 16,900 473
Federal Agricultural Mortgage 3,900 68
FelCor Lodging Trust+ (B)* 82,500 1,025
Fidelity Bankshares 8,200 188
First American 133,400 4,394
First Community Bancorp 26,500 1,174
First Financial Bankshares 4,600 205
First Indiana 62,680 1,517
First Industrial Realty Trust+ (B) 66,800 2,527
First Merchants 11,448 297
First Niagara Financial Group 169,400 2,238
FirstFed Financial* 9,200 469
FirstMerit (B) 57,470 1,538
Flagstar Bancorp (B) 101,600 1,986
Flushing Financial 42,500 774
Fpic Insurance Group (B)* 25,800 829
Frontier Financial 7,100 269
General Growth Properties+ (B) 180,570 6,157
Glenborough Realty Trust+ 25,300 484
Gold Banc 165,500 2,322
Greater Bay Bancorp 80,400 1,963
Hancock Holding 56,960 1,851
Hanmi Financial 62,700 1,038
Harleysville Group 6,900 137
Heritage Property Investment Trust+ 6,000 178
Hilb Rogal & Hobbs (B) 199,000 7,124
HomeBanc+ 72,200 638
Horace Mann Educators 66,450 1,179
Host Marriott+ 299,400 4,958
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
HRPT Properties Trust+ (B) 99,500 $ 1,185
Hub International 80,000 1,544
Independence Community Bank 13,100 511
Independent Bank 5,390 155
IndyMac Bancorp (B) 66,300 2,254
Innkeepers USA Trust+ 67,700 874
IPC Holdings 47,400 1,862
Irwin Financial 137,800 3,172
iStar Financial+ (B) 85,100 3,504
Itla Capital* 4,000 200
Jones Lang LaSalle* 9,600 448
Kimco Realty+ (B) 108,100 5,827
Knight Trading Group, Cl A (B)* 119,420 1,151
LandAmerica Financial Group (B) 46,900 2,346
LaSalle Hotel Properties+ 21,000 610
Liberty Property Trust+ (B) 33,500 1,308
LTC Properties+ 38,300 665
Macatawa Bank 2,200 74
MainSource Financial Group 4,785 105
Max Re Capital 95,300 2,242
MBT Financial 3,100 59
Medical Properties Trust+ 39,400 404
Mid-America Apartment
Communities+ 21,200 774
Mid-State Bancshares 12,200 325
Montpelier Re Holdings 52,400 1,842
National Health Investors+ 31,200 811
Nationwide Health Properties+ 20,400 412
Navigators Group* 8,400 278
NBT Bancorp 52,200 1,170
New Century Financial+ (B) 17,400 815
Newcastle Investment+ 10,500 311
Novastar Financial+ (B) 12,200 439
Nuveen Investments, Cl A 30,300 1,040
Odyssey Re Holdings (B) 30,600 766
Omega Healthcare Investors+ 84,100 923
Oriental Financial Group 93,830 2,198
Pacific Capital Bancorp 23,666 705
Parkway Properties+ 5,500 257
Pennsylvania Real Estate
Investment Trust+ 59,200 2,387
Peoples Holding 2,500 78
PFF Bancorp 35,250 973
Philadelphia Consolidated Holding* 6,900 535
Platinum Underwriters Holdings 76,470 2,271
PMI Group 40,230 1,529
Presidential Life 32,900 536
ProAssurance* 35,810 1,415
Prologis+ 115,500 4,285
Prosperity Bancshares 21,300 564
PS Business Parks+ 39,100 1,576
Public Storage+ (B) 75,300 4,288
PXRE Group 118,060 3,028
Rainier Pacific Financial Group 74,050 1,176
- --------------------------------------------------------------------------------
32 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
RAIT Investment Trust+ 30,600 $ 821
Ramco-Gershenson Properties+ 25,200 684
Regency Centers+ (B) 59,100 2,815
RenaissanceRe Holdings 41,300 1,929
Saul Centers+ 22,100 707
Selective Insurance Group (B) 34,800 1,609
Senior Housing Properties Trust+ 75,500 1,259
Signature Bank* 57,980 1,537
Silicon Valley Bancshares (B)* 32,000 1,410
Simmons First National 3,500 87
Simon Property Group+ (B) 99,400 6,022
SL Green Realty+ 29,750 1,673
Sterling Financial* 61,300 2,188
Stewart Information Services 175,200 6,574
Sunstone Hotel Investors+ 110,648 2,373
Texas Regional Bancshares, Cl A 4,985 150
Thomas Properties Group 59,200 733
TierOne 9,500 223
Tompkins Trustco 1,980 84
Trammell Crow* 16,500 339
Trico Bancshares 5,900 124
Trustmark 70,200 2,036
U-Store-It Trust+ 136,500 2,375
UICI 82,000 1,989
UMB Financial (B) 47,950 2,729
Umpqua Holdings 11,600 271
United Fire & Casualty 16,400 555
Universal American Financial* 57,800 1,000
Universal Health Realty
Income Trust+ 9,900 280
Ventas+ 118,700 2,963
Vornado Realty Trust+ (B) 38,300 2,653
Washington Federal 114,620 2,672
WesBanco 19,100 525
West Coast Bancorp 5,900 140
Westcorp 10,500 444
Winston Hotels+ 202,760 2,372
WR Berkley 52,550 2,606
Zenith National Insurance (B) 64,200 3,329
-----------
240,799
-----------
HEALTH CARE -- 6.9%
Accelrys* 205,700 1,220
Albany Molecular Research* 35,900 369
Alderwoods Group* 47,800 595
Alliance Imaging* 52,000 497
Alpharma, Cl A (B) 200,800 2,474
America Service Group* 12,600 279
Analogic 13,100 567
Applera--Celera Genomics Group* 240,900 2,469
Apria Healthcare Group* 26,881 863
Bio-Rad Laboratories, Cl A (B)* 20,600 1,003
Community Health Systems (B)* 96,500 3,369
Conmed* 27,800 837
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cross Country Healthcare* 78,300 $ 1,312
DJ Orthopedics* 125,600 3,146
Enzon Pharmaceuticals* 37,300 380
First Horizon Pharmaceutical (B)* 28,600 483
Genencor International* 162,900 3,133
Genesis HealthCare* 18,800 806
Hanger Orthopedic Group* 48,200 287
Health Net* 166,700 5,453
HealthTronics* 42,300 455
Henry Schein* 25,500 914
Human Genome Sciences* 8,600 79
Kindred Healthcare (B)* 12,100 425
LeCroy* 26,800 459
LifePoint Hospitals (B)* 57,500 2,521
Magellan Health Services* 47,600 1,621
Mentor 4,200 135
Mettler Toledo International* 37,210 1,767
MTS Systems 32,100 932
Myriad Genetics (B)* 45,900 844
National Dentex* 124,116 2,445
NDCHealth 21,500 344
Nu Skin Enterprises, Cl A 68,200 1,535
Orthofix International* 35,660 1,396
Owens & Minor 49,960 1,356
Par Pharmaceutical* 66,200 2,214
Parexel International* 66,900 1,572
PerkinElmer 64,700 1,335
Pharmacopeia Drug Discovery* 133,350 672
Prestige Brands Holdings* 118,100 2,084
RehabCare Group* 17,900 514
Res-Care* 136,430 1,707
Serologicals* 5,200 127
Sybron Dental Specialties* 192,330 6,905
Symmetry Medical* 52,500 998
Techne* 10,000 402
Triad Hospitals* 30,180 1,512
Universal Health Services, Cl B 21,480 1,125
Viasys Healthcare* 120,900 2,307
West Pharmaceutical Services 33,400 798
-----------
71,042
-----------
INDUSTRIALS -- 18.1%
Actuant, Cl A (B)* 20,800 934
Acuity Brands (B) 21,300 575
Administaff* 113,400 1,656
Alaska Air Group (B)* 68,500 2,017
Albany International, Cl A (B) 100,061 3,090
AO Smith 92,930 2,683
Applied Industrial Technologies 53,850 1,465
Arkansas Best 23,200 876
Artesyn Technologies* 70,800 617
Aviall* 20,500 574
Banta (B) 121,510 5,201
BearingPoint (B)* 656,200 5,755
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 33
STATEMENT OF NET ASSETS (Unaudited)
Small Cap Value Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Blount International* 64,630 $ 1,097
Briggs & Stratton 111,160 4,047
Brink's 142,200 4,920
Calgon Carbon 188,600 1,611
Cascade 25,400 889
CDI 81,900 1,812
CIRCOR International 70,390 1,735
CNH Global 146,760 2,758
Consolidated Graphics* 20,000 1,052
Courier 23,288 1,221
CPI Aerostructures* 73,700 730
Duratek* 67,250 1,342
Eagle Materials 19,700 1,595
EMCOR Group* 37,300 1,746
EnPro Industries* 21,700 597
Esterline Technologies* 46,000 1,589
ExpressJet Holdings* 93,400 1,066
Federal Signal 68,110 1,033
Flowserve* 57,100 1,477
FTI Consulting (B)* 110,500 2,281
GATX (B) 112,000 3,717
General Cable* 162,500 1,961
Genlyte Group* 11,900 1,071
Griffon* 230,900 4,944
Grupo TMM ADR, Cl A (B)* 237,100 726
Harsco 26,700 1,592
IKON Office Solutions 62,400 617
Insituform Technologies, Cl A* 69,650 1,011
Integrated Electrical Services (B)* 258,010 712
John H. Harland 118,100 4,058
Kadant* 63,030 1,169
Kansas City Southern (B)* 183,270 3,530
Kaydon 100,180 3,146
Kennametal (B) 57,600 2,735
Kirby* 73,900 3,106
Laidlaw International (B)* 183,400 3,815
Lennox International 165,200 3,621
Levitt, Cl A 12,200 313
LSI Industries 103,275 1,160
M/I Homes (B) 23,500 1,150
Manitowoc 72,500 2,928
Medical Staffing Network Holdings (B)* 132,300 874
Milacron (B)* 348,335 1,062
Mueller Industries 24,000 676
Navistar International (B)* 74,700 2,719
NCO Group* 31,800 622
NN 15,600 192
Orbital Sciences (B)* 106,600 1,032
Oshkosh Truck (B) 10,000 820
Overnite 24,300 777
Pall (B) 148,500 4,027
Penn Engineering & Manufacturing 12,200 220
Perini* 54,400 750
PHH* 51,400 1,124
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Quality Distribution* 54,960 $ 596
Quanta Services (B)* 382,600 2,919
R.H. Donnelley* 42,300 2,457
RailAmerica* 30,000 374
Regal-Beloit 71,060 2,046
Republic Airways Holdings* 10,700 134
Robbins & Myers 74,590 1,642
Ryder System 97,000 4,045
Sauer-Danfoss 12,100 274
School Specialty (B)* 92,220 3,611
SCS Transportation* 9,200 171
Simpson Manufacturing 116,200 3,591
Skywest 63,200 1,175
Source Interlink* 101,370 1,140
Sourcecorp* 31,300 630
Stewart Enterprises, Cl A* 146,200 899
Swift Transportation (B)* 37,200 824
Tecumseh Products, Cl A 48,300 1,913
Teledyne Technologies* 47,700 1,493
TeleTech Holdings* 34,600 447
Terex* 20,100 870
Tetra Tech* 232,320 2,932
Thomas & Betts* 45,100 1,457
Toro 12,100 1,071
Tredegar 35,200 593
Unifirst 31,600 1,261
United Rentals (B)* 61,000 1,233
United Stationers* 25,400 1,149
Universal Forest Products 23,800 925
USF (B) 33,900 1,636
Valmont Industries 20,900 466
Walter Industries (B) 124,000 5,276
Washington Group International (B)* 138,200 6,218
Watson Wyatt Holdings 150,900 4,104
Westinghouse Air Brake Technologies 85,300 1,748
Woodward Governor 14,000 1,004
York International 23,400 917
-----------
185,259
-----------
INFORMATION TECHNOLOGY -- 9.9%
3Com* 137,200 488
Adaptec (B)* 193,500 927
Advanced Digital Information* 250,000 2,050
Agilysys (B) 103,700 2,039
Alliance Semiconductor* 174,200 434
Arris Group (B)* 299,600 2,070
Ascential Software* 254,200 4,710
Avnet* 63,560 1,171
Axcelis Technologies* 110,700 808
Belden CDT (B) 192,670 4,279
BISYS Group (B)* 99,090 1,554
Black Box 59,600 2,230
Borland Software* 78,200 635
Brooks Automation* 52,800 802
- --------------------------------------------------------------------------------
34 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CCC Information Services Group* 11,400 $ 261
Checkpoint Systems* 31,400 530
Ciber* 145,200 1,056
Coherent* 87,240 2,945
Cray (B)* 146,100 373
CSG Systems International (B)* 79,700 1,298
Digitas (B)* 167,900 1,696
E.piphany* 265,400 942
Earthlink (B)* 503,400 4,531
Emulex (B)* 4,900 92
Fairchild Semiconductor International* 216,100 3,313
Filenet* 23,000 524
Foundry Networks* 85,400 845
Gartner, Cl A (B)* 216,900 2,076
Hutchinson Technology (B)* 5,300 184
Hypercom* 291,800 1,380
Imation 33,400 1,161
InFocus* 145,500 835
Internet Security Systems* 31,400 575
Intervideo* 6,700 74
IXYS* 16,000 183
Keane* 54,800 714
Keynote Systems* 146,900 1,744
Komag* 55,000 1,229
Lawson Software* 229,000 1,351
Littelfuse* 42,250 1,210
LTX (B)* 111,900 497
Majesco Holdings* 75,820 878
Manhattan Associates* 25,400 517
Maxtor (B)* 551,000 2,931
Methode Electronics 163,540 1,980
Newport* 79,300 1,149
PalmOne (B)* 18,300 464
Parametric Technology (B)* 286,630 1,602
Paxar* 57,700 1,231
Pegasus Solutions* 49,500 585
Performance Technologies* 79,210 528
Perot Systems, Cl A* 33,300 448
Photronics* 156,400 2,831
Pomeroy IT Solutions (B)* 74,420 1,109
Progress Software* 30,600 802
ProQuest* 75,900 2,744
Quantum* 844,400 2,457
RADWARE* 43,300 1,016
Redback Networks* 108,300 648
Richardson Electronics 178,510 1,833
Silicon Storage Technology* 113,200 421
Skyworks Solutions* 127,500 810
Stoneridge* 15,400 188
Storage Technology (B)* 24,000 739
Sybase (B)* 141,330 2,609
SYKES Enterprises* 54,000 371
Synopsys* 65,170 1,180
Tech Data* 29,000 1,075
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
THQ (B)* 27,470 $ 773
TIBCO Software (B)* 352,900 2,629
Titan* 122,100 2,217
Unisys* 318,500 2,249
United Online (B)* 87,100 912
Utstarcom (B)* 97,400 1,067
WatchGuard Technologies* 38,800 125
Wavecom ADR (B)* 152,500 811
webMethods* 227,200 1,245
Zoran* 71,200 737
-----------
101,727
-----------
MATERIALS -- 6.2%
Airgas 31,000 741
AK Steel Holding* 144,800 1,601
Albemarle 92,600 3,367
Alpha Natural Resources* 37,200 1,067
Aptargroup 70,460 3,662
Arch Chemicals 52,480 1,494
Buckeye Technologies* 60,000 648
Constar International* 131,900 747
Crown Holdings (B)* 372,100 5,790
Cytec Industries 134,200 7,280
FMC* 57,300 3,063
Foundation Coal Holdings 66,000 1,552
Georgia Gulf (B) 13,440 618
Greif, Cl A 26,600 1,853
H.B. Fuller 16,900 490
Hercules (B)* 178,400 2,585
Jacuzzi Brands* 468,700 4,575
Mosaic (B)* 77,800 1,327
NewMarket* 97,160 1,807
Octel 48,600 901
Olin 80,530 1,796
OM Group* 41,100 1,250
Packaging of America 64,100 1,557
Pope & Talbot 2,800 49
Quanex 42,600 2,271
Rock-Tenn, Cl A 38,900 517
Schweitzer-Mauduit International 77,470 2,599
Silgan Holdings 52,700 3,424
Steel Dynamics (B) 28,900 996
Terra Industries (B)* 145,500 1,129
USG (B)* 73,900 2,451
-----------
63,207
-----------
TELECOMMUNICATION SERVICES -- 0.5%
Aspect Communications* 48,000 500
Boston Communications Group* 100,100 713
Brightpoint* 14,300 268
Commonwealth Telephone
Enterprises* 22,890 1,079
IDT* 65,400 929
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 35
STATEMENT OF NET ASSETS (Unaudited)
Small Cap Value Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
IDT, Cl B* 42,700 $ 631
Novatel Wireless* 76,600 823
Talk America Holdings (B)* 92,300 595
-----------
5,538
-----------
UTILITIES -- 4.8%
AGL Resources 151,590 5,295
Allete 38,099 1,595
Avista 63,300 1,108
Black Hills 70,800 2,341
Cascade Natural Gas 45,180 902
Centerpoint Energy 138,600 1,667
Cleco (B) 58,600 1,248
CMS Energy (B)* 194,900 2,542
El Paso Electric* 87,600 1,664
Energen 79,000 5,261
Idacorp (B) 115,730 3,283
Northwest Natural Gas 18,600 673
NorthWestern 82,200 2,168
Oneok 16,900 521
Pico Holdings* 108,300 2,806
PNM Resources (B) 186,850 4,985
Sierra Pacific Resources (B)* 33,200 357
South Jersey Industries 12,000 677
Southern Union* 16,300 409
Southwest Gas 34,400 831
UGI 18,700 849
UIL Holdings 24,200 1,226
Westar Energy 97,350 2,107
WGL Holdings 78,820 2,440
Wisconsin Energy 50,600 1,796
-----------
48,751
-----------
Total Common Stock
(Cost $838,624) ($ Thousands) 1,002,600
-----------
EXCHANGE TRADED FUND -- 0.4%
iShares Russell 2000 Index Fund (B)* 31,110 3,800
-----------
Total Exchange Traded Fund
(Cost $3,490) ($ Thousands) 3,800
-----------
Number of
Warrants
WARRANTS -- 0.0%
Washington Mutual (D)* 383,342 46
-----------
Total Warrants
(Cost $55) ($ Thousands) 46
-----------
Number of
Rights
RIGHTS -- 0.0%
Bank United (G) (H)* 46,300 --
-----------
Total Rights
(Cost $8) ($ Thousands) --
-----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS (C) (F) -- 6.8%
FINANCIALS -- 6.6%
Allstate Life Global Funding II MTN
2.800%, 04/13/06 $ 892 $ 892
American General Finance (A)
2.810%, 04/14/06 2,497 2,497
CCN Bluegrass
2.914%, 02/21/06 2,318 2,318
Countrywide Home Loans
3.120%, 03/21/06 2,925 2,925
Countrywide Home Loans MTN, Ser M
3.152%, 06/23/05 1,427 1,427
3.040%, 11/30/05 3,924 3,924
2.980%, 08/26/05 1,070 1,070
2.940%, 05/20/05 713 713
2.810%, 01/31/06 785 785
Five Finance MTN
2.860%, 09/22/05 5,065 5,064
Harrier Finance Funding MTN
3.034%, 09/15/05 1,034 1,034
Harrier Finance Funding MTN, Ser 1
3.016%, 06/15/05 3,103 3,103
Irish Life & Permanent MTN, Ser X
2.862%, 04/21/06 3,317 3,317
Jackson National Life Funding (A)
2.690%, 04/01/06 7,847 7,847
Lakeside Funding
2.790%, 04/08/05 2,162 2,162
Morgan Stanley, Ser EXL
2.720%, 05/04/06 713 713
Morgan Stanley, Ser EXLS
2.718%, 05/03/06 1,783 1,783
Nationwide Building Society (A)
3.083%, 04/28/05 1,783 1,783
2.746%, 04/07/06 3,567 3,567
Northern Rock (A)
2.730%, 05/03/06 3,139 3,139
Pacific Life Global Funding (A)
2.790%, 03/13/06 2,675 2,675
Premium Asset Trust (A)
2.820%, 01/15/06 4,994 4,994
2.755%, 02/06/06 2,639 2,642
SLM MTN, Ser X
2.850%, 04/20/06 6,242 6,242
White Pine Finance MTN, Ser 1
2.696%, 11/01/05 1,569 1,569
-----------
68,185
-----------
INDUSTRIALS -- 0.2%
Caterpillar Financial Services MTN, Ser F
2.730%, 07/09/05 1,783 1,783
-----------
Total Corporate Obligations
(Cost $69,968) ($ Thousands) 69,968
-----------
- --------------------------------------------------------------------------------
36 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (C) (E) -- 5.5%
FINANCIALS -- 5.5%
Brahms Funding
2.972%, 05/20/05 $ 5,569 $ 5,546
Broadhollow Funding
2.851%, 04/05/05 3,032 3,031
CCN Independence IV
2.880%, 01/17/06 713 713
Capital One
3.040%, 06/20/05 1,427 1,417
3.017%, 06/07/05 1,248 1,242
2.834%, 04/19/05 1,017 1,016
Cobbler Funding
3.073%, 06/28/05 653 648
Eiffel Funding
2.889%, 05/09/05 892 889
2.741%, 04/08/05 2,675 2,674
Golden Fish
2.651%, 04/04/05 2,498 2,497
2.621%, 04/08/05 5,541 5,538
HSBC Finance
2.714%, 04/20/05 1,605 1,603
Liberty Harbour
2.894%, 04/18/05 2,677 2,674
Mitten
2.803%, 04/14/05 3,032 3,029
2.762%, 04/11/05 1,783 1,782
Park Granada
2.802%, 04/12/05 2,818 2,815
Park Sienna
2.880%, 04/01/05 3,496 3,496
Rhineland Funding
2.758%, 05/09/05 713 711
2.757%, 05/03/05 7,146 7,128
2.757%, 05/06/05 954 952
SBC Communications
2.878%, 05/04/05 929 927
2.878%, 05/05/05 2,639 2,632
Thornburg Mortgage Capital
2.844%, 04/19/05 3,280 3,275
-----------
Total Commercial Paper
(Cost $56,235) ($ Thousands) 56,235
-----------
ASSET-BACKED SECURITIES (C) (F) -- 3.8%
AUTOMOTIVE -- 0.1%
Drivetime Auto Owner Trust,
Ser 2004-C, Cl A1
2.830%, 11/15/05 227 227
Drivetime Auto Owner Trust,
Ser 2005-A, Cl A1
2.870%, 03/15/06 1,192 1,192
-----------
1,419
-----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MORTGAGE RELATED SECURITIES -- 3.7%
Aire Valley Mortgages, Ser 2004-1A,
Cl 1A
2.850%, 09/20/05 $ 2,283 2,283
Blue Heron Funding, Ser 9A, Cl A1
2.880%, 02/22/06 3,567 3,567
Cheyne High Grade, Ser 2004-1A,
Cl A1
2.791%, 11/10/05 2,051 2,051
Commodore, Ser 2003-2A, Cl A1MM
3.100%, 06/14/05 1,641 1,641
Davis Square Funding, Ser 2004-2A,
Cl AMMB
2.776%, 04/06/05 1,783 1,783
Davis Square Funding, Ser 2004-2A,
Cl AMMC
2.776%, 05/06/05 1,783 1,783
Duke Funding, Ser 2004-6B, Cl A1S1
2.680%, 04/08/05 1,783 1,783
Harwood Street Funding I,
Ser 2004-1A, Cl NOTE
2.900%, 09/20/05 4,530 4,530
Orchid Structured Finance,
Ser 2003-1A, Cl A1MM
2.920%, 05/18/05 3,708 3,708
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AMM2
2.900%, 11/25/05 6,476 6,476
RMAC, Ser 2004-NS3A, Cl A1
2.800%, 06/12/05 1,499 1,499
Saturn Ventures
2.806%, 08/08/05 3,317 3,317
TIAA Real Estate, Ser 2003 1A, Cl A
2.880%, 03/28/06 2,303 2,303
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMB
3.040%, 06/15/05 892 892
-----------
37,616
-----------
Total Asset-Backed Securities
(Cost $39,035) ($ Thousands) 39,035
-----------
MASTER NOTES (C) -- 2.3%
Bank of America Master Notes
2.955%, 04/01/05 8,917 8,917
Bear Stearns Master Notes
3.050%,04/01/05 3,567 3,567
Societe Generale Master Notes
2.875%, 04/01/05 10,701 10,701
-----------
Total Master Notes
(Cost $23,185) ($ Thousands) 23,185
-----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 37
STATEMENT OF NET ASSETS (Unaudited)
Small Cap Value Fund (Concluded)
March 31, 2005
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENTS -- 1.3%
First Union Cash Management
Program 1,154,464 $ 1,154
SEI Daily Income Trust,
Prime Obligation Fund, Cl A++ 13,765,950 13,766
-----------
Total Cash Equivalents
(Cost $14,920) ($ Thousands) 14,920
-----------
CERTIFICATES OF DEPOSIT (C) (F) -- 0.7%
U.S. Trust
2.925%, 09/14/05 $ 3,567 3,567
Washington Mutual Bank
2.820%, 08/18/05 3,567 3,567
-----------
Total Certificates of Deposit
(Cost $7,134) ($ Thousands) 7,134
-----------
REPURCHASE AGREEMENTS (C) --2.4%
Barclays Capital
2.850%, dated 03/31/05, to be
repurchased on 04/01/05,
repurchase price $3,791,041
(collateralized by various U.S.
Government Obligations, ranging in
par value $577,621-$3,348,305,
3.020%-3.410%, 06/01/06-08/30/07;
with total market value $3,866,574) 3,791 3,791
Deutsche Bank
2.830%, dated 03/31/05, to be
repurchased on 04/01/05, repurchase
price $12,812,860 (collateralized by
various U.S. Government Obligations,
ranging in par value $39,369-
$4,708,286, 0.000%-7.500%,
01/01/09-12/01/37; with total
market value $13,068,090) 12,812 12,812
Lehman Brothers
2.800%, dated 03/31/05, to be
repurchased on 04/01/05, repurchase
price $6,813,277 (collateralized by
various U.S. Government Obligations,
ranging in par value $323,338-
$3,737,559, 1.750%-6.250%,
09/15/06-02/01/11; with total
market value $6,920,596) 6,813 6,813
-----------
Total Repurchase Agreements
(Cost $23,416) ($ Thousands) 23,416
-----------
Total Investments -- 121.2%
(Cost $1,076,070) ($ Thousands) 1,240,339
-----------
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (21.2)%
Payable Upon Return on Securities Loaned $ (218,973)
Payable for Investment Securities Purchased (7,516)
Payable for Fund Shares Redeemed (1,042)
Investment Advisory Fees Payable (578)
Administration Fees Payable (311)
Shareholder Servicing Fees Payable (72)
Administration Servicing Fees Payable (2)
Other Assets and Liabilities, Net 11,671
-----------
Total Other Assets and Liabilities (216,823)
-----------
Net Assets -- 100.0% $ 1,023,516
===========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 806,098
Undistributed net investment income 2,184
Accumulated net realized gain on investments 50,965
Net unrealized appreciation on investments 164,269
-----------
Net Assets $ 1,023,516
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($1,013,748,188 / 50,713,680 shares) $19.99
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I
($9,767,611 / 489,647 shares) $19.95
===========
* Non-income producing security.
+ Real Estate Investment Trust
++ See Note 3 in Notes to Financial Statements.
(A) 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 Directors.
(B) This security or a partial position of this security is on loan at March
31, 2005 (see Note 7). The total value of securities on loan at March 31,
2005 was $213,117 ($ Thousands).
(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,
2005 was $218,973 ($ Thousands).
(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, 2005.
(G) This security was issued for possible settlement of pending litigation and
does not have an expiration date.
(H) Securities considered illiquid. The total value of such securities as of
March 31, 2005 was $0 and represented 0.00% of Net Assets.
ADR -- American Depositary Receipt
Cl -- Class
MTN -- Medium Term Note
Ser -- Series
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
38 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
Small Cap Growth Fund
March 31, 2005
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR WEIGHTINGS*:
20.9% Information Technology
20.8% Financials
14.5% Consumer Discretionary
14.3% Health Care
11.4% Industrials
4.8% Short-Term Investments
4.4% Energy
3.4% Asset-Backed Securities
2.8% Materials
1.6% Consumer Staples
0.8% Telecommunication Services
0.2% Utilities
0.1% Exchange Traded Fund
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 97.2%**
CONSUMER DISCRETIONARY -- 17.9%
1-800 Contacts (B)* 58,000 $ 1,210
AC Moore Arts & Crafts* 26,800 714
America's Car Mart* 81,100 2,843
AnnTaylor Stores* 34,900 893
BJ's Restaurants* 17,200 334
BJ's Restaurants Private
Placement (D) (G)* 520,700 9,496
Blue Nile (B)* 66,100 1,828
Buffalo Wild Wings* 30,600 1,158
Build-A-Bear Workshop (B)* 94,100 2,884
Carter's* 76,900 3,057
Central Garden & Pet* 49,885 2,188
Charming Shoppes* 228,700 1,859
Cheesecake Factory (B)* 66,300 2,350
Christopher & Banks 90,250 1,588
CKE Restaurants* 47,700 756
Coach (B)* 68,500 3,879
Cost Plus* 53,600 1,441
Ctrip.com International, ADR (B)* 57,090 2,161
Diamondrock Hospitality* 167,600 1,785
Dick's Sporting Goods (B)* 47,135 1,731
Dover Downs Gaming & Entertainment 17,500 218
Electronics Boutique Holdings* 34,000 1,461
Fossil* 50,900 1,320
Four Seasons Hotels 25,400 1,796
GameStop, Cl A (B)* 128,900 2,856
Genesco* 54,000 1,535
Gildan Activewear* 62,000 2,635
Group 1 Automotive* 78,300 2,059
GSI Commerce* 72,768 985
Guitar Center* 57,300 3,142
Hibbett Sporting Goods (B)* 170,875 5,133
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
HOT Topic (B)* 259,750 $ 5,676
Imax* 175,770 1,624
Jarden* 95,850 4,398
Knoll* 119,600 1,995
Lin TV, Cl A (B)* 232,200 3,931
Lions Gate Entertainment* 441,522 4,879
Marchex, Cl B (B)* 209,300 3,901
Marine Products 7,600 128
Marvel Enterprises (B)* 165,050 3,301
Meritage Homes (B)* 56,800 3,347
Mikohn Gaming* 91,915 1,154
MSC Industrial Direct, Cl A 116,585 3,563
Nexstar Broadcasting Group, Cl A* 124,300 876
O'Reilly Automotive (B)* 42,500 2,105
Outdoor Channel Holdings* 11,500 164
Pantry* 44,200 1,369
Parkervision (B)* 153,000 1,200
Parkervision (D) (G)* 70,000 545
Phillips-Van Heusen 196,565 5,236
Provide Commerce (B)* 157,400 4,546
Quiksilver (B)* 120,300 3,492
Rare Hospitality International (B)* 94,550 2,920
Red Robin Gourmet Burgers* 71,000 3,615
Regis 48,800 1,997
Saga Communications* 11,500 185
Select Comfort (B)* 103,400 2,113
Shuffle Master (B)* 122,895 3,559
Sonic (B)* 100,200 3,347
Sonic Solutions (B)* 114,400 1,722
Sports Authority* 28,900 795
Standard Motor Products 85,700 1,003
Standard-Pacific 27,300 1,971
Stein Mart* 40,800 918
Theglobe.com* 756,600 113
Thor Industries 79,200 2,369
Timberland, Cl A* 29,900 2,121
Too* 118,700 2,928
Tractor Supply* 41,300 1,803
TRM* 84,100 1,700
Urban Outfitters (B)* 81,200 3,895
Value Line 19,000 741
Warnaco Group* 100,600 2,418
West Marine (B)* 49,400 1,050
William Lyon Homes (B)* 20,500 1,572
Yankee Candle* 79,500 2,520
-----------
172,100
-----------
CONSUMER STAPLES -- 2.0%
Chattem* 85,570 3,805
Gold Kist* 176,600 2,808
NBTY* 90,700 2,275
Pilgrim's Pride (B) 40,000 1,429
Ralcorp Holdings 63,215 2,993
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 39
STATEMENT OF NET ASSETS (Unaudited)
Small Cap Growth Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Sanderson Farms 27,000 $ 1,167
United Natural Foods (B)* 160,035 4,582
-----------
19,059
-----------
ENERGY -- 4.5%
Berry Petroleum, Cl A 50,025 2,574
Cabot Oil & Gas 42,200 2,327
Cal Dive International* 94,200 4,267
CARBO Ceramics 16,940 1,188
Denbury Resources* 82,000 2,889
Encore Acquisition* 40,500 1,673
Forest Oil (B)* 40,000 1,620
Hydril* 69,215 4,043
KCS Energy* 87,600 1,346
Lone Star Technologies* 7,500 296
Penn Virginia 51,800 2,378
Petroleum Development* 50,400 1,900
Range Resources 75,600 1,766
Southwestern Energy* 10,700 607
Stone Energy* 40,000 1,943
Superior Energy Services* 135,800 2,336
Swift Energy* 87,500 2,488
Syntroleum* 173,400 2,122
Tetra Technologies* 50,700 1,442
Vintage Petroleum 84,400 2,655
W-H Energy Services* 63,000 1,508
-----------
43,368
-----------
FINANCIALS -- 11.2%
Acadia Realty Trust+ 129,000 2,074
Affiliated Managers Group (B)* 62,350 3,868
American Home Mortgage
Investment+ (B) 137,000 3,924
Archipelago Holdings* 71,000 1,257
Bank of the Ozarks (B) 16,200 514
Brookline Bancorp (B) 91,900 1,369
Cascade Bancorp 74,150 1,439
Center Financial 25,300 446
Commercial Capital Bancorp 289,333 5,888
Corixa (B)* 353,300 1,085
Delphi Financial Group, Cl A 90,250 3,881
Downey Financial 64,400 3,963
E*Trade Financial* 768,500 9,222
Education Realty Trust+* 91,500 1,522
Encore Capital Group* 111,000 1,615
Euronet Worldwide* 76,700 2,190
First Cash Financial Services* 83,250 1,762
First Republic Bank 62,700 2,030
FirstFed Financial* 35,100 1,790
Glacier Bancorp 30,610 934
Greenhill 30,300 1,085
Hanmi Financial 53,600 887
HCC Insurance Holdings 60,600 2,191
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hub International 33,600 $ 648
Huron Consulting Group* 89,400 1,851
Jones Lang LaSalle* 5,900 275
Kansas City Life Insurance 32,900 1,604
KNBT Bancorp 136,500 2,088
Medical Properties Trust+ 169,000 1,732
MFA Mortgage Investments+ 164,500 1,252
Nara Bancorp 55,100 774
NewAlliance Bancshares 78,200 1,095
NorthStar Realty Finance+* 117,500 1,137
Old Second Bancorp 9,600 290
One Liberty Properties+ 79,600 1,485
optionsXpress Holdings (B)* 103,000 1,668
PFF Bancorp 77,160 2,130
Philadelphia Consolidated Holding* 22,900 1,775
Placer Sierra Bancshares 69,200 1,590
Platinum Underwriters Holdings 66,360 1,971
Primus Guaranty* 23,100 301
ProAssurance* 52,125 2,059
PXRE Group 14,900 382
RAIT Investment Trust+ 38,900 1,043
Redwood Trust+ 31,600 1,617
Saxon Capital+* 91,900 1,581
Shurgard Storage Centers, Cl A+ 38,000 1,557
Signature Bank* 75,700 2,007
Silicon Valley Bancshares (B)* 169,900 7,486
Sterling Financial* 38,044 1,358
TierOne 83,300 1,958
UCBH Holdings 62,075 2,477
United PanAm Financial* 71,600 1,460
Westcorp 82,500 3,486
Wilshire Bancorp* 36,000 469
World Acceptance* 21,600 551
-----------
108,093
-----------
HEALTH CARE -- 17.7%
Abgenix (B)* 254,800 1,784
Advanced Medical Optics (B)* 35,000 1,267
Align Technology (B)* 233,700 1,458
Alkermes (B)* 265,700 2,758
Alliance Imaging* 137,900 1,317
American Healthways (B)* 145,215 4,795
American Medical Systems Holdings* 270,540 4,648
Amsurg* 76,000 1,923
Andrx* 76,200 1,727
Animas (B)* 96,500 1,950
Applera--Celera Genomics Group* 120,300 1,233
Ariad Pharmaceuticals* 330,400 1,850
Array Biopharma* 203,800 1,429
Arthrocare* 23,000 655
Aspect Medical Systems* 46,100 995
Bio-Rad Laboratories, Cl A (B)* 43,300 2,109
BioScrip* 15,100 91
- --------------------------------------------------------------------------------
40 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Biosite (B)* 55,900 $ 2,908
Cardiodynamics International* 80,300 234
Cell Genesys (B)* 506,500 2,294
Cerner (B)* 43,500 2,284
Chemed 19,050 1,457
Conceptus (B)* 148,200 1,156
Connetics (B)* 102,200 2,585
Conor Medsystems* 54,700 891
Cooper 71,240 5,193
Crucell ADR (B)* 52,600 686
Cubist Pharmaceuticals (B)* 348,900 3,705
CV Therapeutics (B)* 362,000 7,370
deCODE genetics* 87,600 499
Dendreon (B)* 293,900 1,602
Depomed (B)* 144,700 570
Digene* 82,200 1,706
Discovery Laboratories (B)* 72,800 410
Dov Pharmaceutical (B)* 27,670 378
Dyax* 201,000 647
Encysive Pharmaceuticals* 399,800 4,086
Enzon Pharmaceuticals* 36,600 373
Exact Sciences* 193,800 692
Exelixis* 268,821 1,823
First Horizon Pharmaceutical (B)* 154,600 2,610
Gen-Probe (B)* 40,300 1,796
Genitope (B)* 58,500 731
Guilford Pharmaceuticals (B)* 390,600 898
Human Genome Sciences (B)* 191,500 1,766
Immucor* 87,200 2,633
Impax Laboratories (B)* 153,600 2,458
Incyte (B)* 331,100 2,261
Isis Pharmaceuticals (B)* 466,200 1,804
Isolagen (B)* 250,200 1,574
Ista Pharmaceuticals* 70,600 697
Kos Pharmaceuticals* 47,500 1,980
Kosan Biosciences* 181,900 746
LabOne* 41,900 1,445
LifePoint Hospitals (B)* 90,400 3,963
Martek Biosciences (B)* 48,400 2,816
Medarex (B)* 541,600 3,862
Medcath* 70,000 2,051
Medical Action Industries* 7,600 144
Medicines* 1,500 34
Medicis Pharmaceutical, Cl A 65,800 1,973
Mentor 53,000 1,701
MGI Pharma* 176,500 4,460
MTS Systems 34,900 1,013
Nabi Biopharmaceuticals* 83,500 1,042
Nektar Therapeutics (B)* 287,000 4,001
Neose Technologies* 188,400 486
NitroMed (B)* 87,700 1,518
Nutraceutical International* 8,300 132
Onyx Pharmaceuticals* 1,300 41
OraSure Technologies* 239,600 1,763
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Orthologic* 117,200 $ 593
Pain Therapeutics* 337,900 1,717
PainCare Holdings* 133,600 668
Pediatrix Medical Group* 2,300 158
Pharmion* 48,200 1,398
PolyMedica 73,200 2,325
Pozen* 170,600 889
Protein Design Labs (B)* 125,800 2,012
PSS World Medical* 148,200 1,685
Psychiatric Solutions* 41,730 1,920
Renovis (B)* 58,700 474
Rigel Pharmaceuticals* 78,700 1,262
Rotech Healthcare* 73,500 2,022
Salix Pharmaceuticals* 56,900 938
SFBC International* 107,055 3,773
Sierra Health Services* 6,800 434
SonoSite* 30,900 803
Symbion* 9,900 212
Taro Pharmaceuticals Industries* 43,000 1,357
Techne* 2,300 92
Telik* 243,400 3,670
Third Wave Technologies* 563,300 3,245
Transgenomic* 415,500 237
Transkaryotic Therapies* 83,100 2,075
United Therapeutics* 77,600 3,546
Vasogen* 237,400 961
ViaCell* 51,000 385
Viropharma (B)* 212,500 497
West Pharmaceutical Services 37,900 906
-----------
170,191
-----------
INDUSTRIALS -- 13.7%
Active Power (B)* 138,800 450
Advisory Board* 67,463 2,948
AGCO (B)* 155,000 2,829
Alliant Techsystems (B)* 25,550 1,826
American Ecology 47,800 565
Arlington Tankers 86,000 2,021
Armor Holdings (B)* 42,600 1,580
Artesyn Technologies* 78,700 685
Beacon Roofing Supply* 20,860 457
Blount International* 126,700 2,151
Ceradyne (B)* 152,140 3,403
Charles River Associates* 51,300 2,532
Chicago Bridge & Iron 41,900 1,845
Collectors Universe* 118,500 2,270
Consolidated Graphics* 17,300 910
Corinthian Colleges (B)* 199,200 3,131
Corporate Executive Board 17,037 1,090
Corrections of America* 32,000 1,235
DiamondCluster International (B)* 91,200 1,468
Dynamex* 87,755 1,588
EDO 70,300 2,113
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 41
STATEMENT OF NET ASSETS (Unaudited)
Small Cap Growth Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Education Management* 56,400 $ 1,576
EGL (B)* 58,100 1,325
Engineered Support Systems 75,300 4,030
ESCO Technologies* 27,495 2,209
ExpressJet Holdings* 137,600 1,570
Fastclick* 10,100 121
Franklin Electric 12,000 453
General Maritime* 43,495 2,107
GrafTech International* 408,800 2,326
Innovative Solutions & Support* 92,190 2,927
Intermagnetics General* 116,268 2,830
iPayment (B)* 61,875 2,611
Iron Mountain (B)* 69,800 2,013
JLG Industries 54,600 1,177
Joy Global 77,440 2,715
Knight Transportation (B)* 113,450 2,799
Labor Ready (B)* 95,800 1,787
Laureate Education* 68,400 2,927
Lennox International 98,200 2,153
Lincoln Electric Holdings 67,500 2,030
M/I Homes (B) 40,300 1,972
Macquarie Infrastructure* 38,800 1,086
Mercury Computer Systems* 63,500 1,751
Mesa Air Group* 27,500 192
Mine Safety Appliances 46,280 1,793
Molecular Devices* 36,900 701
Moog, Cl A* 43,145 1,950
Navigant Consulting* 317,000 8,632
Nordson 29,200 1,075
Old Dominion Freight Line* 63,900 1,990
Overnite 24,000 768
Pinnacle Airlines (B)* 66,100 702
RailAmerica* 49,600 619
Republic Airways Holdings* 24,200 302
Resources Connection (B)* 113,800 2,382
Ritchie Bros. Auctioneers 74,000 2,338
Rofin-Sinar Technologies* 52,990 1,703
Sauer-Danfoss 14,900 337
Skywest 32,600 606
Strayer Education (B) 24,900 2,822
Surebeam, Cl A (B)* 580,855 8
Sypris Solutions 100,700 1,080
Terex* 30,800 1,334
TNS* 14,700 264
United Industrial 53,800 1,594
United Rentals (B)* 129,000 2,607
Universal Display* 47,300 331
Universal Forest Products 47,200 1,834
Universal Truckload Services* 75,700 1,597
Ventiv Health (B)* 107,165 2,465
Wabash National* 50,400 1,230
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
WCI Communities (B)* 92,000 $ 2,767
WRIGHT EXPRESS* 118,900 2,033
-----------
131,648
-----------
INFORMATION TECHNOLOGY -- 25.9%
Adaptec (B)* 333,100 1,596
Aeroflex* 155,800 1,454
Agile Software* 144,400 1,051
Akamai Technologies (B)* 150,300 1,913
Altera* 286,600 5,669
American Reprographics* 117,700 1,689
AMIS Holdings* 67,800 765
Ansys (B)* 60,170 2,058
aQuantive (B)* 423,300 4,686
Asyst Technologies* 349,000 1,672
Atari* 143,400 453
ATMI (B)* 73,350 1,837
Bel Fuse, Cl B 9,100 276
BISYS Group (B)* 130,000 2,038
Blackbaud* 113,500 1,430
Brooks Automation* 347,900 5,281
Cabot Microelectronics* 21,900 687
Catapult Communications* 10,100 216
CNET Networks (B)* 90,000 850
Cognex 61,292 1,525
Comtech Telecommunications* 8,600 448
Concur Technologies* 55,425 450
Corillian* 424,992 1,479
Credence Systems (B)* 748,640 5,922
Cryptologic Inc 39,405 1,221
Cyberoptics* 14,100 176
Cymer (B)* 146,300 3,916
Digimarc* 386,800 2,379
Digital River* 13,700 427
Digitas* 129,100 1,304
Diodes* 19,500 529
DoubleClick* 224,300 1,727
Earthlink (B)* 28,300 255
Electroglas (B)* 81,800 323
Emulex (B)* 160,200 3,018
Epicor Software* 37,800 495
Exar* 49,700 666
F5 Networks (B)* 62,305 3,146
Faro Technologies* 67,420 1,587
FEI* 180,300 4,174
Foundry Networks* 107,800 1,067
Genesis Microchip* 330,300 4,773
Harmonic* 109,500 1,047
Homestore* 697,000 1,547
Hutchinson Technology (B)* 76,300 2,654
Hyperion Solutions (B)* 57,800 2,550
Identix* 121,500 614
- --------------------------------------------------------------------------------
42 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Imergent (B)* 56,800 $ 557
Immersion (B)* 575,000 3,450
Integrated Circuit Systems* 82,300 1,574
Inter-Tel 52,400 1,284
Intermix Media* 89,100 655
International Rectifier (B)* 52,300 2,380
Internet Security Systems* 55,600 1,017
Intervideo* 49,600 546
Interwoven* 183,800 1,432
Intrado* 34,800 428
Iomega 395,500 1,697
Itron* 81,000 2,401
iVillage* 306,800 1,868
j2 Global Communications* 9,000 309
Jack Henry & Associates 164,800 2,965
Jupitermedia* 342,830 5,317
Kanbay International* 53,900 1,103
KFX (B)* 131,000 1,755
Komag* 161,100 3,601
Kronos* 13,500 690
Lattice Semiconductor* 1,327,500 7,129
Leadis Technology* 269,500 1,612
Lionbridge Technologies* 164,700 937
LivePerson* 164,700 433
Macrovision (B)* 120,400 2,744
Magma Design Automation* 158,400 1,880
Manhattan Associates* 89,400 1,821
Matrixone* 230,000 1,097
Mattson Technology* 150,000 1,191
MAXIMUS* 116,400 3,898
Mentor Graphics* 156,200 2,140
Merix* 93,600 1,049
Micromuse* 211,400 958
Micros Systems* 111,625 4,098
MicroStrategy, Cl A* 10,500 570
Motive* 191,230 1,912
Multi-Fineline Electronix (B)* 66,010 1,165
Mykrolis* 177,100 2,532
Napster (B)* 260,300 1,695
Netease.com ADR (B)* 16,100 776
Netgear* 17,500 264
Niku* 66,703 1,204
O2Micro International* 195,800 2,015
Omnivision Technologies (B)* 141,500 2,144
Onyx Software* 119,625 315
OSI Systems (B)* 123,500 2,162
Packeteer* 98,200 1,511
Paxar* 84,500 1,803
Perot Systems, Cl A* 111,800 1,503
Pinnacle Systems* 351,400 1,964
Pixelworks* 597,350 4,868
Plantronics 36,700 1,398
PLX Technology* 247,000 2,593
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Polycom* 483,600 $ 8,197
Power Integrations* 76,600 1,600
ProQuest* 48,200 1,742
Radisys* 181,000 2,563
Remec (B)* 61,700 326
RightNow Technologies (B)* 90,400 1,108
RSA Security (B)* 129,100 2,046
Rudolph Technologies* 167,600 2,524
ScanSoft (B)* 615,200 2,289
Schawk 6,700 122
Secure Computing* 233,300 1,999
Serena Software* 78,110 1,856
Sigmatel* 60,100 2,250
Silicon Image* 8,600 86
Sina (B)* 38,600 1,199
Sirf Technology Holdings* 224,981 2,511
Skyworks Solutions* 659,400 4,187
Spatialight (B)* 391,500 1,977
SRA International, Cl A* 61,557 3,709
SS&C Technologies 82,420 1,879
STATS ChipPAC ADR (B)* 210,682 1,393
Stratasys (B)* 53,550 1,517
SupportSoft* 258,000 1,362
Synaptics* 45,380 1,053
Tessera Technologies (B)* 79,100 3,419
TradeStation Group* 253,400 1,531
Trident Microsystems* 24,950 441
Triquint Semiconductor* 892,300 3,016
Trizetto Group* 8,400 78
Ultra Clean Holdings* 195,300 1,191
Verint Systems* 56,135 1,961
WebEx Communications* 41,000 885
Websense* 10,400 559
Western Digital* 299,500 3,819
-----------
249,845
-----------
MATERIALS -- 3.2%
AK Steel Holding* 185,600 2,053
Apex Silver Mines (B)* 73,000 1,169
Arch Coal 101,000 4,344
Carpenter Technology (B) 63,370 3,765
Cleveland-Cliffs (B) 31,200 2,274
Ferro 93,500 1,760
Georgia Gulf 37,195 1,710
Headwaters (B)* 81,500 2,675
Massey Energy 53,900 2,158
Silgan Holdings 26,590 1,728
Steel Dynamics (B) 49,200 1,695
Symyx Technologies (B)* 117,800 2,597
Wheeling-Pittsburgh (B)* 99,400 3,086
-----------
31,014
-----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 43
STATEMENT OF NET ASSETS (Unaudited)
Small Cap Growth Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 0.9%
Alamosa Holdings (B)* 195,715 $ 2,284
Alvarion (B)* 85,300 818
AudioCodes (B)* 131,275 1,478
Fairpoint Communications* 200,500 3,002
Novatel Wireless (B)* 97,500 1,048
Premiere Global Services* 49,300 558
-----------
9,188
-----------
UTILITIES -- 0.2%
PNM Resources 24,150 644
UGI 35,600 1,617
-----------
2,261
-----------
Total Common Stock
(Cost $940,919) ($ Thousands) 936,767
-----------
FOREIGN STOCK -- 1.9%
Canaccord Capital 141,000 1,221
Deer Creek Energy* 140,600 1,801
Dundee Wealth Management 210,491 1,723
Dundee Wealth Management+ 87,500 1,849
First Quantum Minerals 127,000 2,363
Granded Cache Coal* 155,000 1,441
OPTI Canada* 147,000 3,183
Railpower Technologies* 408,100 2,044
Western Oil Sands, Cl A* 52,000 2,407
-----------
Total Foreign Stock
(Cost $15,234) ($ Thousands) 18,032
-----------
EXCHANGE TRADED FUNDS -- 0.1%
Midcap SPDR Trust Ser 1 (B)* 2,900 349
Nasdaq-100 Index Tracking Stock (B)* 11,100 406
-----------
Total Exchange Traded Funds
(Cost $775) ($ Thousands) 755
-----------
Number of
Warrants
WARRANTS -- 0.0%
Theglobe.com,
Expires 05/05/09 (D) (G)* 525,000 63
-----------
Total Warrants
(Cost $255) ($ Thousands) 63
-----------
CORPORATE OBLIGATIONS (C) (F) -- 7.5%
FINANCIALS -- 7.3%
Allstate Life Global Funding II MTN
2.800%, 04/13/06 $ 918 918
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
American General Finance (A)
2.810%, 04/14/06 $ 2,569 $ 2,569
CCN Bluegrass
2.914%, 02/21/06 2,386 2,386
Countrywide Home Loans
3.120%, 03/21/06 3,010 3,010
Countrywide Home Loans MTN, Ser M
3.152%, 06/23/05 1,468 1,468
3.040%, 11/30/05 4,037 4,037
2.980%, 08/26/05 1,101 1,101
2.940%, 05/20/05 734 734
2.810%, 01/31/06 807 807
Five Finance MTN
2.860%, 09/22/05 5,212 5,211
Harrier Finance Funding MTN
3.034%, 09/15/05 1,064 1,064
Harrier Finance Funding MTN, Ser 1
3.016%, 06/15/05 3,193 3,193
Irish Life & Permanent MTN, Ser X
2.862%, 04/21/06 3,413 3,413
Jackson National Life Funding (A)
2.690%, 04/01/06 8,075 8,075
Lakeside Funding
2.790%, 04/08/05 2,225 2,225
Morgan Stanley, Ser EXL
2.720%, 05/04/06 734 734
Morgan Stanley, Ser EXLS
2.718%, 05/03/06 1,835 1,835
Nationwide Building Society (A)
3.083%, 04/28/05 1,835 1,835
2.746%, 04/07/06 3,670 3,670
Northern Rock (A)
2.730%, 05/03/06 3,230 3,230
Pacific Life Global Funding (A)
2.790%, 03/13/06 2,753 2,753
Premium Asset Trust (H)
2.820%, 01/15/06 5,139 5,139
2.755%, 02/06/06 2,716 2,719
SLM MTN, Ser X
2.850%, 04/20/06 6,423 6,423
White Pine Finance MTN, Ser 1
2.696%, 11/01/05 1,615 1,615
-----------
70,164
-----------
INDUSTRIALS -- 0.2%
Caterpillar Financial Services MTN,
Ser F
2.730%, 07/09/05 1,835 1,835
-----------
Total Corporate Obligations
(Cost $71,999) ($ Thousands) 71,999
-----------
- --------------------------------------------------------------------------------
44 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (C) (E) -- 6.0%
FINANCIALS -- 6.0%
Brahms Funding
2.972%, 05/20/05 $ 5,730 $ 5,707
Broadhollow Funding
2.851%, 04/05/05 3,120 3,119
CCN Independence IV
2.880%, 01/17/06 734 734
Capital One
3.040%, 06/20/05 1,468 1,458
3.017%, 06/07/05 1,285 1,277
2.834%, 04/19/05 1,046 1,045
Cobbler Funding
3.073%, 06/28/05 672 667
Eiffel Funding
2.889%, 05/09/05 918 915
2.741%, 04/08/05 2,753 2,751
Golden Fish
2.651%, 04/04/05 2,570 2,569
2.621%, 04/08/05 5,702 5,699
HSBC Finance
2.714%, 04/20/05 1,652 1,649
Liberty Harbour
2.894%, 04/18/05 2,755 2,751
Mitten
2.803%, 04/14/05 3,120 3,117
2.762%, 04/11/05 1,835 1,834
Park Granada
2.802%, 04/12/05 2,900 2,897
Park Sienna
2.880%, 04/01/05 3,598 3,598
Rhineland Funding
2.758%, 05/09/05 734 732
2.757%, 05/03/05 7,353 7,335
2.757%, 05/06/05 982 979
SBC Communications
2.878%, 05/04/05 956 954
2.878%, 05/05/05 2,716 2,709
Thornburg Mortgage Capital
2.844%, 04/19/05 3,375 3,370
-----------
Total Commercial Paper
(Cost $57,866) ($ Thousands) 57,866
-----------
ASSET-BACKED SECURITIES (C) (F) -- 4.2%
AUTOMOTIVE -- 0.2%
Drivetime Auto Owner Trust,
Ser 2004-C, Cl A1
2.830%, 11/15/05 233 233
Drivetime Auto Owner Trust,
Ser 2005-A, Cl A1
2.870%, 03/15/06 1,226 1,226
-----------
1,459
-----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MORTGAGE RELATED SECURITIES -- 4.0%
Aire Valley Mortgages, Ser 2004-1A,
Cl 1A
2.850%, 09/20/05 $ 2,349 $ 2,349
Blue Heron Funding, Ser 9A, Cl A1
2.880%, 02/22/06 3,670 3,670
Cheyne High Grade, Ser 2004-1A,
Cl A1
2.791%, 11/10/05 2,111 2,111
Commodore, Ser 2003-2A, Cl A1MM
3.100%, 06/14/05 1,688 1,688
Davis Square Funding, Ser 2004-2A,
Cl AMMB
2.776%, 04/06/05 1,835 1,835
Davis Square Funding, Ser 2004-2A,
Cl AMMC
2.776%, 05/06/05 1,835 1,835
Duke Funding, Ser 2004-6B, Cl A1S1
2.680%, 04/08/05 1,835 1,835
Harwood Street Funding I,
Ser 2004-1A, Cl NOTE
2.900%, 09/20/05 4,661 4,661
Orchid Structured Finance,
Ser 2003-1A, Cl A1MM
2.920%, 05/18/05 3,816 3,816
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AMM2
2.900%, 11/25/05 6,664 6,664
RMAC, Ser 2004-NS3A, Cl A1
2.800%, 06/12/05 1,542 1,542
Saturn Ventures
2.806%, 08/08/05 3,414 3,414
TIAA Real Estate, Ser 2003 1A, Cl A
2.880%, 03/28/06 2,370 2,370
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMB
3.040%, 06/15/05 918 918
-----------
38,708
-----------
Total Asset-Backed Securities
(Cost $40,167) ($ Thousands) 40,167
-----------
MASTER NOTES (C) -- 2.5%
Bank of America Master Notes
2.955%, 04/01/05 9,176 9,176
Bear Stearns Master Notes
3.050%,04/01/05 3,670 3,670
Societe Generale Master Notes
2.875%, 04/01/05 11,011 11,011
-----------
Total Master Notes
(Cost $23,857) ($ Thousands) 23,857
-----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 45
STATEMENT OF NET ASSETS (Unaudited)
Small Cap Growth Fund (Concluded)
March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENTS -- 0.9%
First Union Cash Management
Program 227,051 227
SEI Daily Income Trust,
Prime Obligation Fund, Cl A++ 8,877,628 8,878
-----------
Total Cash Equivalents
(Cost $9,105) ($ Thousands) 9,105
-----------
CERTIFICATES OF DEPOSIT (C) (F) -- 0.7%
U.S. Trust
2.925%, 09/14/05 $ 3,671 $ 3,671
Washington Mutual Bank
2.820%, 08/18/05 3,670 3,670
-----------
Total Certificates of Deposit
(Cost $7,341) ($ Thousands) 7,341
-----------
REPURCHASE AGREEMENTS (C) -- 2.5%
Barclays Capital
2.850%, dated 03/31/05,
to be repurchased on 04/01/05,
repurchase price $3,901,032
(collateralized by various U.S.
Government Obligations, ranging
in par value $594,380-$3,445,450,
3.020%-3.410%, 06/01/06-08/30/07;
with total market value $3,978,756) 3,901 3,901
Deutsche Bank
2.830%, dated 03/31/05, to be
repurchased on 04/01/05,
repurchase price $13,184,604
(collateralized by various U.S.
Government Obligations, ranging
in par value $40,511-$4,844,889,
0.000%-7.500%, 01/01/09-12/01/37;
with total market value $13,447,239) 13,184 13,184
Lehman Brothers
2.800%, dated 03/31/05,
to be repurchased on 04/01/05,
repurchase price $7,010,953
(collateralized by various U.S.
Government Obligations, ranging
in par value $332,719-$3,845,998,
1.750%-6.250%, 09/15/06-02/01/11;
with total market value $7,121,985) 7,010 7,010
-----------
Total Repurchase Agreements
(Cost $24,095) ($ Thousands) 24,095
-----------
Total Investments -- 123.5%
(Cost $1,191,613) ($ Thousands) 1,190,047
-----------
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (23.5)%
Payable Upon Return on Securities Loaned (225,325)
Payable for Investment Securities Purchased (6,849)
Payable for Fund Shares Redeemed (1,019)
Investment Advisory Fees Payable (547)
Administration Fees Payable (296)
Shareholder Servicing Fees Payable (69)
Administration Servicing Fees Payable (2)
Other Assets and Liabilities, Net 7,500
-----------
Total Other Assets & Liabilities (226,607)
-----------
Net Assets -- 100.0% $ 963,440
===========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 1,128,245
Distribution in excess of net investment income (3,058)
Accumulated net realized loss on investments (160,179)
Net unrealized depreciation on investments (1,566)
Net unrealized depreciation on forward
foreign currency contracts,foreign currencies
and translation of other assets and liabilities
denominated in foreign currencies (2)
-----------
Net Assets $ 963,440
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($954,277,488 / 59,433,063 shares) $16.06
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I
($9,162,458 / 576,103 shares) $15.90
===========
* Non-income producing security.
** Narrow industries are utilized for compliance puposes, whereas broad
sectors are utilized for reporting.
+ Real Estate Investment Trust
++ See Note 3 in Notes to Financial Statements.
(A) 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 Directors.
(B) This security or a partial position of this security is on loan at March
31, 2005 (see Note 7). The total value of securities on loan at March 31,
2005 was $215,094 ($ Thousands).
(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,
2005 was $225,325, ($ Thousands).
(D) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total value of such
securities as of March 31, 2005 was $10,103 ($ Thousands) and represented
1.05% of Net Assets.
(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, 2005.
(G) Securities considered illiquid. The total value of such securities as of
March 31, 2005 was $10,103 ($ Thousands) and represented 1.05% of Net
Assets.
ADR -- American Depositary Receipt
Cl -- Class
MTN -- Medium Term Note
NY -- New York
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
46 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
Mid-Cap Fund
March 31, 2005
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR WEIGHTINGS*:
28.9% Financials
13.2% Consumer Discretionary
12.5% Information Technology
9.4% Health Care
6.3% Industrials
6.3% Short-Term Investments
6.2% Utilities
5.2% Consumer Staples
4.5% Asset-Backed Securities
3.7% Energy
3.6% Materials
0.1% Telecommunication Services
0.1% U.S. Treasury Obligations
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.4%
CONSUMER DISCRETIONARY -- 17.6%
7-Eleven* 9,700 $ 233
Abercrombie & Fitch, Cl A 2,900 166
American Eagle Outfitters 1,200 35
Autoliv 8,900 424
Black & Decker 2,700 213
Borders Group 6,300 168
BorgWarner 4,800 234
Citadel Broadcasting* 1,500 21
Darden Restaurants 36,100 1,108
Eastman Kodak (B) 32,800 1,068
Entercom Communications* 6,800 241
Federated Department Stores (B) 15,400 980
John Wiley & Sons, Cl A 2,200 78
Johnson Controls 5,400 301
Maytag (B) 4,500 63
Michaels Stores 4,300 156
Nordstrom 600 33
NVR (B)* 1,200 942
Office Depot* 16,800 373
Pacific Sunwear of California 5,000 140
Polaris Industries (B) 4,100 288
Rent-A-Center* 16,450 449
Sherwin-Williams 1,800 79
Standard-Pacific (B) 9,800 707
Stanley Works 21,300 964
Station Casinos 7,700 520
Whirlpool (B) 10,900 738
-----------
10,722
-----------
CONSUMER STAPLES -- 6.9%
Archer-Daniels-Midland 20,700 509
BJ's Wholesale Club* 18,000 559
Energizer Holdings (B)* 11,200 670
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Loews--Carolina Group 29,300 $ 970
Molson Coors Brewing, Cl B (B) 3,500 270
Pilgrim's Pride (B) 20,900 747
Supervalu 7,300 243
Tyson Foods, Cl A (B) 15,000 250
-----------
4,218
-----------
ENERGY -- 5.0%
Baker Hughes (B) 4,900 218
Chesapeake Energy (B) 12,200 268
El Paso 47,600 503
Kerr-McGee (B) 9,300 728
Patterson-UTI Energy 20,900 523
Sunoco (B) 7,600 787
-----------
3,027
-----------
FINANCIALS -- 18.4%
A.G. Edwards (B) 10,700 479
Ameritrade Holding (B)* 36,800 376
Bank of Hawaii 11,300 511
BlackRock, Cl A 6,400 480
CBL & Associates Properties+ 2,900 207
City National 2,000 140
Commerce Bancorp (B) 32,200 1,046
E*Trade Financial* 11,600 139
Friedman Billings Ramsey Group,
Cl A+ 5,800 92
Genworth Financial, Cl A* 29,000 798
HCC Insurance Holdings (B) 13,400 485
Hibernia, Cl A 4,800 154
HRPT Properties Trust+ (B) 80,700 961
Investors Financial Services (B) 1,400 68
Loews 1,200 88
Mercury General (B) 5,800 321
Mills+ (B) 11,800 624
Nationwide Financial Services, Cl A 7,500 269
Principal Financial Group 13,700 527
Providian Financial (B)* 48,400 831
Regency Centers+ 15,900 757
Simon Property Group+ 1,000 61
SL Green Realty+ 15,300 860
UnionBanCal 11,100 680
Vornado Realty Trust+ 3,600 249
-----------
11,203
-----------
HEALTH CARE -- 12.5%
Affymetrix (B)* 4,700 201
AmerisourceBergen 13,000 745
Applera--Applied Biosystems Group 9,600 190
Barr Pharmaceuticals* 3,600 176
Bausch & Lomb 9,000 660
Cephalon (B)* 3,400 159
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 47
STATEMENT OF NET ASSETS (Unaudited)
Mid-Cap Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cigna 13,800 $ 1,232
Coventry Health Care* 300 20
Dade Behring Holdings* 12,000 707
Genzyme* 6,500 372
Humana (B)* 19,500 623
ICOS* 2,700 61
Invitrogen (B)* 2,000 138
Lincare Holdings* 4,800 212
Manor Care (B) 14,700 535
McKesson 20,800 785
Medimmune (B)* 2,000 48
Mettler Toledo International* 5,300 252
MGI Pharma* 5,500 139
PerkinElmer 7,900 163
Thermo Electron* 7,800 197
-----------
7,615
-----------
INDUSTRIALS -- 8.2%
Brink's 16,200 561
Burlington Northern Santa Fe 13,400 723
Crane 500 14
Cummins (B) 11,700 823
Eaton 15,100 988
Graco 700 28
Harsco 6,700 399
JB Hunt Transport Services (B) 5,600 245
Norfolk Southern 400 15
Paccar 200 14
Pitney Bowes 4,600 208
Ryder System 23,200 967
-----------
4,985
-----------
INFORMATION TECHNOLOGY -- 16.7%
Acxiom 33,700 705
Adobe Systems 5,900 396
Advanced Micro Devices (B)* 3,400 55
Amphenol, Cl A* 17,600 652
BMC Software* 9,800 147
Checkfree* 11,000 449
Computer Sciences (B)* 19,800 908
Cree (B)* 10,400 226
Fair Isaac 4,000 138
Freescale Semiconductor, Cl B* 14,600 252
Harris (B) 4,200 137
Ingram Micro, Cl A* 47,700 795
Intuit* 4,600 201
Jabil Circuit* 5,300 151
Lam Research (B)* 6,300 182
McAfee (B)* 13,200 298
MEMC Electronic Materials* 50,500 679
Micron Technology* 5,900 61
National Semiconductor* 13,400 276
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Polycom* 7,700 $ 131
Sabre Holdings, Cl A 26,200 573
Storage Technology (B)* 10,800 333
Sybase (B)* 26,800 495
Synopsys* 3,100 56
Tech Data* 6,300 234
VeriSign* 6,900 198
Western Digital* 27,400 349
Xerox (B)* 71,900 1,089
-----------
10,166
-----------
MATERIALS -- 4.8%
Ball 7,500 311
Eastman Chemical 18,600 1,098
Georgia-Pacific 1,800 64
Nucor 1,300 75
Phelps Dodge (B) 10,400 1,058
United States Steel (B) 6,200 315
-----------
2,921
-----------
TELECOMMUNICATION SERVICES -- 0.1%
CenturyTel 900 30
West* 1,500 48
-----------
78
-----------
UTILITIES -- 8.2%
AES* 11,500 188
Edison International 33,800 1,174
National Fuel Gas 18,800 537
NSTAR 2,400 130
Pepco Holdings 18,400 386
Questar 3,100 184
Sempra Energy (B) 21,424 854
TXU 17,800 1,417
UGI 3,100 141
-----------
5,011
-----------
Total Common Stock
(Cost $51,438) ($ Thousands) 59,946
-----------
CORPORATE OBLIGATIONS (C) (E) -- 10.7%
FINANCIALS -- 10.4%
Allstate Life Global Funding II MTN
2.800%, 04/13/06 $ 83 83
American General Finance (F)
2.810%, 04/14/06 233 233
CCN Bluegrass
2.914%, 02/21/06 216 216
Countrywide Home Loans
3.120%, 03/21/06 273 273
- --------------------------------------------------------------------------------
48 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Loans MTN, Ser M
3.152%, 06/23/05 $ 133 $ 133
3.040%, 11/30/05 366 366
2.980%, 08/26/05 100 100
2.940%, 05/20/05 66 66
2.810%, 01/31/06 73 73
Five Finance MTN
2.860%, 09/22/05 472 472
Harrier Finance Funding MTN
3.034%, 09/15/05 96 96
Harrier Finance Funding MTN, Ser 1
3.016%, 06/15/05 289 289
Irish Life & Permanent MTN, Ser X
2.862%, 04/21/06 309 309
Jackson National Life Funding (F)
2.690%, 04/01/06 731 731
Lakeside Funding
2.790%, 04/08/05 202 202
Morgan Stanley, Ser EXL
2.720%, 05/04/06 67 67
Morgan Stanley, Ser EXLS
2.718%, 05/03/06 166 166
Nationwide Building Society (F)
3.083%, 04/28/05 166 166
2.746%, 04/07/06 332 332
Northern Rock (F)
2.730%, 05/03/06 292 292
Pacific Life Global Funding (F)
2.790%, 03/13/06 249 249
Premium Asset Trust (F)
2.820%, 01/15/06 465 465
2.755%, 02/06/06 246 246
SLM MTN, Ser X
2.850%, 04/20/06 582 582
White Pine Finance MTN, Ser 1
2.696%, 11/01/05 146 146
-----------
6,353
-----------
INDUSTRIALS -- 0.3%
Caterpillar Financial Services MTN, Ser F
2.730%, 07/09/05 166 166
-----------
Total Corporate Obligations
(Cost $6,519) ($ Thousands) 6,519
-----------
COMMERCIAL PAPER (C) (D) -- 8.6%
FINANCIALS -- 8.6%
Brahms Funding
2.972%, 05/20/05 519 517
Broadhollow Funding
2.851%, 04/05/05 282 282
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CCN Independence IV
2.880%, 01/17/06 $ 67 $ 67
Capital One
3.040%, 06/20/05 133 132
3.017%, 06/07/05 116 116
2.834%, 04/19/05 95 95
Cobbler Funding
3.073%, 06/28/05 61 60
Eiffel Funding
2.889%, 05/09/05 83 83
2.741%, 04/08/05 249 249
Golden Fish
2.651%, 04/04/05 233 233
2.621%, 04/08/05 516 516
HSBC Finance
2.714%, 04/20/05 150 149
Liberty Harbour
2.894%, 04/18/05 249 249
Mitten
2.803%, 04/14/05 282 282
2.762%, 04/11/05 166 166
Park Granada
2.802%, 04/12/05 263 262
Park Sienna
2.880%, 04/01/05 326 326
Rhineland Funding
2.758%, 05/09/05 66 66
2.757%, 05/03/05 666 664
2.757%, 05/06/05 89 89
SBC Communications
2.878%, 05/04/05 87 86
2.878%, 05/05/05 246 245
Thornburg Mortgage Capital
2.844%, 04/19/05 306 305
-----------
Total Commercial Paper
(Cost $5,239) ($ Thousands) 5,239
-----------
ASSET-BACKED SECURITIES (C) (E) -- 6.0%
AUTOMOTIVE -- 0.2%
Drivetime Auto Owner Trust,
Ser 2004-C, Cl A1
2.830%, 11/15/05 21 21
Drivetime Auto Owner Trust,
Ser 2005-A, Cl A1
2.870%, 03/15/06 111 111
-----------
132
-----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 49
STATEMENT OF NET ASSETS (Unaudited)
Mid-Cap Fund (Concluded)
March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MORTGAGE RELATED SECURITIES -- 5.8%
Aire Valley Mortgages, Ser 2004-1A,
Cl 1A
2.850%, 09/20/05 $ 213 $ 213
Blue Heron Funding, Ser 9A, Cl A1
2.880%, 02/22/06 332 332
Cheyne High Grade, Ser 2004-1A, Cl A1
2.791%, 11/10/05 191 191
Commodore, Ser 2003-2A, Cl A1MM
3.100%, 06/14/05 153 153
Davis Square Funding, Ser 2004-2A,
Cl AMMB
2.776%, 04/06/05 166 166
Davis Square Funding, Ser 2004-2A,
Cl AMMC
2.776%, 05/06/05 166 166
Duke Funding, Ser 2004-6B, Cl A1S1
2.680%, 04/08/05 166 166
Harwood Street Funding I,
Ser 2004-1A, Cl NOTE
2.900%, 09/20/05 422 422
Orchid Structured Finance,
Ser 2003-1A, Cl A1MM
2.920%, 05/18/05 346 346
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AMM2
2.900%, 11/25/05 603 603
RMAC, Ser 2004-NS3A, Cl A1
2.800%, 06/12/05 140 140
Saturn Ventures
2.806%, 08/08/05 309 309
TIAA Real Estate, Ser 2003 1A, Cl A
2.880%, 03/28/06 215 215
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMB
3.040%, 06/15/05 83 83
-----------
3,505
-----------
Total Asset-Backed Securities
(Cost $3,637) ($ Thousands) 3,637
-----------
MASTER NOTES (C) -- 3.5%
Bank of America Master Notes
2.955%, 04/01/05 831 831
Bear Stearns Master Notes
3.050%,04/01/05 332 332
Societe Generale Master Notes
2.875%, 04/01/05 997 997
-----------
Total Master Notes
(Cost $2,160) ($ Thousands) 2,160
-----------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENT -- 1.3%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A++ 792,146 $ 792
-----------
Total Cash Equivalent
(Cost $792) ($ Thousands) 792
-----------
CERTIFICATES OF DEPOSIT (C) (E) -- 1.1%
U.S. Trust
2.925%, 09/14/05 $ 332 332
Washington Mutual Bank
2.820%, 08/18/05 333 333
-----------
Total Certificates of Deposit
(Cost $665) ($ Thousands) 665
-----------
U.S. TREASURY OBLIGATION (A) -- 0.2%
U.S. Treasury Bills
2.758%, 06/16/05 120 119
-----------
Total U.S. Treasury Obligation
(Cost $119) ($ Thousands) 119
-----------
REPURCHASE AGREEMENTS (C) -- 3.6%
Barclays Capital
2.850%, dated 03/31/05, to be
repurchased on 04/01/05,
repurchase price $353,217
(collateralized by various U.S.
Government Obligations,
ranging in par value $53,818-
$311,966, 3.020%-3.410%,
06/01/06-08/30/07; with total
market value $360,254) 353 353
Deutsche Bank
2.830%, dated 03/31/05,
to be repurchased on 04/01/05,
repurchase price $1,193,793
(collateralized by various U.S.
Government Obligations, ranging
in par value $3,668-$438,678,
0.000%-7.500%, 01/01/09-12/01/37;
with total market value $1,217,573) 1,194 1,194
- --------------------------------------------------------------------------------
50 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
2.800%, dated 03/31/05, to be
repurchased on 04/01/05,
repurchase price $634,803
(collateralized by various U.S.
Government Obligations, ranging
in par value $30,126-$348,234,
1.750%-6.250%, 09/15/06-02/01/11;
with total market value $644,802) $ 635 $ 635
-----------
Total Repurchase Agreements
(Cost $2,182) ($ Thousands) 2,182
-----------
Total Investments -- 133.4%
(Cost $72,751) ($ Thousands) 81,259
-----------
OTHER ASSETS AND LIABILITIES -- (33.4)%
Payable Upon Return on Securities Loaned (20,402)
Investment Advisory Fees Payable (21)
Administration Fees Payable (18)
Payable for Fund Shares Redeemed (18)
Shareholder Servicing Fees Payable (12)
Other Assets and Liabilities, Net 106
-----------
Total Other Assets and Liabilities (20,365)
-----------
Net Assets -- 100.0% $ 60,894
===========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 48,498
Distribution in excess of net investment income (14)
Accumulated net realized gain on investments
and futures contracts 3,906
Net unrealized appreciation on investments 8,508
Net unrealized depreciation on futures contracts (4)
-----------
Net Assets $ 60,894
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($60,893,525 / 3,327,100 shares) $18.30
===========
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
A summary of the open Long Futures contracts held by the Fund at March 31, 2005,
is as follows: (see note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
Contract Unrealized
Type of Number of Value Expiration Depreciation
Contract Contracts ($Thousands) Date ($Thousands)
- --------------------------------------------------------------------------------
S&P 500 Composite Index 2 $592 06/18/05 $(4)
---
* 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, 2005 (see Note 7). The total value of securities on loan at March 31,
2005 was $19,947 ($ Thousands).
(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,
2005 was $20,402 ($ Thousands).
(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, 2005.
(F) 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 Directors.
Cl -- Class
MTN -- Medium Term Note
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 51
STATEMENT OF NET ASSETS (Unaudited)
Managed Volatility Fund
March 31, 2005
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR WEIGHTINGS*:
18.7% Utilities
13.5% Consumer Staples
12.3% Health Care
12.2% Financials
11.7% Consumer Discretionary
8.3% Industrials
6.1% Short-Term Investments
5.8% Energy
5.0% Information Technology
4.0% Materials
2.2% Telecommunication Services
0.2% U.S. Treasury Obligations
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 95.8%
CONSUMER DISCRETIONARY -- 12.0%
7-Eleven* 11,500 $ 276
Applebees International 6,353 175
Autoliv 6,700 319
Autonation* 16,600 315
Choice Hotels International 10,049 623
Darden Restaurants 10,300 316
Delphi 78,500 352
Dillard's, Cl A 11,200 301
EchoStar Communications, Cl A* 24,198 708
Fairmont Hotels & Resorts 10,700 355
Ford Motor 6,200 70
Fortune Brands 7,235 583
GTECH Holdings 13,100 308
Harte-Hanks 33,734 930
Hearst-Argyle Television 14,041 358
John Wiley & Sons, Cl A 8,900 314
Johnson Controls 2,048 114
Mandalay Resort Group 4,304 304
McClatchy, Cl A 4,400 326
McGraw-Hill 2,100 183
Meredith 8,753 409
Metro-Goldwyn-Mayer 17,518 209
Petco Animal Supplies* 7,500 276
Polaris Industries 4,500 316
Regal Entertainment Group, Cl A 7,759 163
Sears Holdings* 1,512 201
Starwood Hotels & Resorts Worldwide 6,100 366
Washington Post, Cl B 481 430
Yum! Brands 26,205 1,358
-----------
10,958
-----------
CONSUMER STAPLES -- 13.8%
Anheuser-Busch 28,883 1,369
Aramark, Cl B 12,300 323
BJ's Wholesale Club* 6,700 208
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Brown-Forman, Cl B 2,095 $ 115
Campbell Soup 13,895 403
Church & Dwight 8,100 287
Clorox 13,592 856
ConAgra Foods 10,672 288
Cott* 5,500 133
Energizer Holdings* 5,400 323
General Mills 7,200 354
Hershey Foods 15,530 939
HJ Heinz 4,900 180
Hormel Foods 48,188 1,499
Kellogg 34,326 1,485
Kimberly-Clark 3,544 233
McCormick 15,210 524
Pepsi Bottling Group 9,500 265
PepsiAmericas 27,224 617
PepsiCo 5,935 315
Pilgrim's Pride 5,259 188
Procter & Gamble 4,000 212
Sara Lee 32,200 714
Smithfield Foods* 3,659 115
Supervalu 18,410 614
-----------
12,559
-----------
ENERGY -- 5.9%
ChevronTexaco 24,608 1,435
ConocoPhillips 9,728 1,049
Exxon Mobil 8,200 489
Forest Oil* 7,900 320
Helmerich & Payne 6,300 250
Imperial Oil Limited 5,400 411
Nexen Incorporated 6,300 346
Petro Canada 3,100 179
Range Resources 12,700 297
Suncor Energy 6,700 269
Transcanada 14,200 351
-----------
5,396
-----------
FINANCIALS -- 12.5%
Associated Banccorp 14,148 442
Bancorpsouth 6,100 126
Brown & Brown 2,100 97
Catellus Development+ 19,691 525
Cincinnati Financial 4,900 214
Commerce Bancshares 6,200 299
Crescent Real Estate Equity+ 50,601 827
Federated Investors, Cl B 10,100 286
Health Care Property Investors+ 6,260 147
Hospitality Properties Trust+ 19,061 770
Hudson United Bancorp 5,347 189
International Bancshares 10,784 374
IPC Holdings 4,500 177
Mack-Cali Realty+ 7,118 301
Mercury General 3,214 178
- --------------------------------------------------------------------------------
52 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Moody's 4,000 $ 323
Nuveen Investments, Cl A 7,500 257
Park National 1,600 180
Popular 43,443 1,057
Principal Financial Group 9,800 377
Public Storage+ 11,332 645
Regency Centers+ 3,869 184
RenaissanceRe Holdings 7,600 355
Stancorp Financial Group 3,500 297
Synovus Financial 7,800 217
UCBH Holdings 6,900 275
Valley National Bancorp 23,196 598
Ventas+ 15,158 378
W Holding 12,240 123
Westcorp 7,228 305
Whitney Holding 5,800 258
WR Berkley 12,869 638
-----------
11,419
-----------
HEALTH CARE -- 12.5%
Abbott Laboratories 7,609 355
Alcon 4,500 402
Allergan 4,300 299
American Pharmaceutical Partners* 2,500 129
AmerisourceBergen 12,535 718
Becton Dickinson 20,752 1,212
Celgene* 10,600 361
Dentsply International 2,119 115
Endo Pharmaceuticals Holdings* 9,329 210
Eon Labs* 8,800 266
Henry Schein* 26,960 966
Hillenbrand Industries 23,805 1,320
Hospira* 3,562 115
Idexx Laboratories* 6,896 374
Invitrogen* 4,200 291
Johnson & Johnson 15,702 1,055
Martek Biosciences* 4,500 262
McKesson 6,600 249
Medicis Pharmaceutical, Cl A 7,800 234
Merck 6,900 223
Mettler Toledo International* 3,056 145
OSI Pharmaceuticals* 4,200 174
Patterson* 7,900 395
Respironics* 16,233 946
Triad Hospitals* 4,500 225
Waters* 2,900 104
Wyeth 7,538 318
-----------
11,463
-----------
INDUSTRIALS -- 8.5%
Alliant Techsystems* 4,800 343
C.H. Robinson Worldwide 5,600 289
Deluxe 9,499 379
General Dynamics 4,773 511
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
H&R Block 2,500 $ 126
Harsco 5,500 328
Hewitt Associates, Cl A* 7,500 200
IKON Office Solutions 41,898 414
ITT Educational Services* 6,200 301
JetBlue Airways* 14,200 270
Laidlaw International* 12,600 262
Landstar System* 7,400 242
Lockheed Martin 15,678 957
Northrop Grumman 7,544 407
Pitney Bowes 23,980 1,082
Raytheon 5,900 228
Robert Half International 3,600 97
Stericycle* 6,600 292
United Defense Industries* 4,600 338
UTI Worldwide 4,400 306
Weight Watchers International* 8,200 352
-----------
7,724
-----------
INFORMATION TECHNOLOGY -- 5.1%
Activision* 16,400 243
Affiliated Computer Services, Cl A* 7,300 389
Avid Technology* 3,600 195
Cognizant Technology Solutions,
Cl A* 3,700 171
Diebold 2,076 114
Fair Isaac 10,200 351
Fairchild Semiconductor International* 18,200 279
Flir Systems* 11,600 351
Harris 10,200 333
Ingram Micro, Cl A* 16,100 268
International Business Machines 4,127 377
Linear Technology 2,000 77
MEMC Electronic Materials* 10,400 140
National Instruments 10,400 281
Perot Systems, Cl A* 8,900 120
Plantronics 2,700 103
Qualcomm 4,700 172
Scientific-Atlanta 5,900 167
Tech Data* 3,627 134
Zebra Technologies, Cl A* 7,900 375
-----------
4,640
-----------
MATERIALS -- 4.1%
Agrium 16,700 305
Ball 4,100 170
Dow Chemical 2,292 114
Freeport-McMoRan Copper & Gold,
Cl B 5,800 230
International Flavors & Fragrances 16,568 654
Martin Marietta Materials 4,500 252
Methanex 11,400 221
Newmont Mining 4,083 173
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 53
STATEMENT OF NET ASSETS (Unaudited)
Managed Volatility Fund (Concluded)
March 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Nova Chemicals 6,700 $ 288
Packaging of America 12,100 294
Pactiv* 14,100 329
Southern Peru Copper 1,700 94
Steel Dynamics 7,100 245
Vulcan Materials 5,900 335
-----------
3,704
-----------
TELECOMMUNICATION SERVICES -- 2.2%
BCE 12,800 320
CenturyTel 8,700 286
Citizens Communications 26,800 347
Telephone & Data Systems 1,415 115
Verizon Communications 27,234 967
-----------
2,035
-----------
UTILITIES -- 19.2%
AGL Resources 8,800 307
Alliant Energy 10,800 289
Cinergy 27,575 1,117
Consolidated Edison 9,425 398
Constellation Energy Group 5,200 269
DPL 11,700 293
DTE Energy 20,725 943
Duke Energy 8,900 249
Edison International 13,372 464
Energen 4,900 326
Energy East 11,600 304
Equitable Resources 8,073 464
FirstEnergy 7,242 304
Great Plains Energy 4,659 142
Hawaiian Electric Industries 19,671 502
KeySpan 8,173 319
MDU Resources Group 11,100 307
National Fuel Gas 27,572 788
Northeast Utilities 17,300 333
NSTAR 16,668 905
OGE Energy 50,478 1,360
Pepco Holdings 7,100 149
Puget Energy 40,313 888
SCANA 14,232 544
Sempra Energy 7,900 315
Southern 27,519 876
TECO Energy 20,900 328
TXU 4,800 382
UGI 23,160 1,052
Vectren 23,672 631
Westar Energy 13,632 295
Wisconsin Energy 9,200 327
WPS Resources 25,616 1,356
-----------
17,526
-----------
Total Common Stock
(Cost $85,260) ($ Thousands) 87,424
-----------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENT -- 6.2%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A++ 5,659,551 $ 5,660
-----------
Total Cash Equivalent
(Cost $5,660) ($ Thousands) 5,660
-----------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bills (A)
2.902%, 08/25/05 $ 210 207
-----------
Total U.S. Treasury Obligation
(Cost $208) ($ Thousands) 207
-----------
Total Investments -- 102.2%
(Cost $91,128) ($ Thousands) 93,291
-----------
OTHER ASSETS AND LIABILITIES -- (2.2)%
Payable for Investment Securities Purchased (4,126)
Payable for Fund Shares Redeemed (101)
Investment Advisory Fees Payable (42)
Administration Fees Payable (26)
Shareholder Servicing Fees Payable (12)
Other Assets and Liabilities, Net 2,324
-----------
Total Other Assets and Liabilities (1,983)
-----------
Net Assets -- 100.0% $ 91,308
===========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 88,102
Undistributed net investment income 12
Accumulated net realized gain on investments
and futures contracts 1,027
Net unrealized appreciation on investments 2,163
Net unrealized appreciation on futures contracts 4
-----------
Net Assets $ 91,308
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($91,307,584 / 8,544,348 shares) $10.69
===========
A summary of the open Long Futures contracts held by the Fund at March 31, 2005,
is as follows: (see note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
Contract Unrealized
Type of Number of Value Expiration Depreciation
Contract Contracts ($Thousands) Date ($Thousands)
- --------------------------------------------------------------------------------
S&P 500 Composite Index 12 $710 06/17/05 $4
--
* Non-income producing security.
+ Real Estate Investment Trust
++ See Note 3 in Notes to Financial Statements.
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
Cl -- Class
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
54 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
Real Estate Fund
March 31, 2005
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR WEIGHTINGS*:
84.7% Financials
6.7% Consumer Discretionary
5.6% Short-Term Investments
2.6% Asset-Backed Securities
0.3% Exchange Traded Fund
0.1% Industrials
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 97.3%
CONSUMER DISCRETIONARY -- 7.9%
Diamondrock Hospitality* 9,800 $ 104
Fairmont Hotels & Resorts 39,000 1,292
La Quinta* 19,000 162
Starwood Hotels & Resorts Worldwide 60,100 3,608
-----------
5,166
-----------
FINANCIALS -- 89.4%
Acadia Realty Trust+ 23,100 372
AMB Property+ (B) 79,400 3,001
Apartment Investment & Management,
Cl A+ (B) 42,800 1,592
Arbor Realty Trust+ 7,200 178
Archstone-Smith Trust+ (B) 75,850 2,587
AvalonBay Communities+ 41,500 2,776
Boston Properties+ 29,900 1,801
Brandywine Realty Trust+ 29,800 846
BRE Properties, Cl A+ 25,400 897
Camden Property Trust+ 33,550 1,578
Catellus Development+ 20,000 533
CB Richard Ellis Group, Cl A* 12,900 451
Corporate Office Properties Trust+ 46,300 1,226
Equity Office Properties Trust+ (B) 38,500 1,160
Equity Residential+ 43,900 1,414
Essex Property Trust+ (B) 11,900 822
Federal Realty Investment Trust+ 34,200 1,654
General Growth Properties+ (B) 71,510 2,439
Health Care Property Investors+ 11,600 272
Host Marriott+ 180,000 2,981
iStar Financial+ 37,900 1,561
Kimco Realty+ 45,400 2,447
Liberty Property Trust+ (B) 13,500 527
Macerich+ (B) 26,600 1,417
Mack-Cali Realty+ 26,000 1,101
Medical Properties Trust+ 11,400 117
New Plan Excel Realty Trust+ 46,200 1,160
Post Properties+ 29,350 911
Prologis+ 46,700 1,733
PS Business Parks+ 18,000 725
Public Storage+ (B) 44,250 2,520
Reckson Associates Realty+ 39,550 1,214
Regency Centers+ 32,200 1,534
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Saul Centers+ (B) 14,100 $ 451
Shurgard Storage Centers, Cl A+ 38,100 1,561
Simon Property Group+ (B) 76,550 4,637
SL Green Realty+ 20,500 1,153
Strategic Hotel Capital+ 12,300 181
Taubman Centers+ 22,850 634
Thomas Properties Group 19,600 243
U-Store-It Trust+ 17,200 299
Ventas+ 52,700 1,315
Vornado Realty Trust+ 18,400 1,275
Weingarten Realty Investors+ 19,300 666
-----------
57,962
-----------
Total Common Stock
(Cost $58,764) ($ Thousands) 63,128
-----------
EXCHANGE TRADED FUND -- 0.3%
iShares Cohen & Steers Realty
Majors Index Fund 1,700 212
-----------
Total Exchange Traded Fund
(Cost $214) ($ Thousands) 212
-----------
CORPORATE OBLIGATIONS (C) (D) -- 5.6%
FINANCIALS -- 5.4%
Allstate Life Global Funding II MTN
2.800%, 04/13/06 $ 46 46
American General Finance (E)
2.810%, 04/14/06 129 129
CCN Bluegrass
2.914%, 02/21/06 120 120
Countrywide Home Loans
3.120%, 03/21/06 151 151
Countrywide Home Loans MTN, Ser M
3.152%, 06/23/05 74 74
3.040%, 11/30/05 203 203
2.980%, 08/26/05 55 55
2.940%, 05/20/05 37 37
2.810%, 01/31/06 41 41
Five Finance MTN
2.860%, 09/22/05 262 262
Harrier Finance Funding MTN
3.034%, 09/15/05 54 54
Harrier Finance Funding MTN, Ser 1
3.016%, 06/15/05 161 161
Irish Life & Permanent MTN, Ser X
2.862%, 04/21/06 172 172
Jackson National Life Funding (E)
2.690%, 04/01/06 406 406
Lakeside Funding
2.790%, 04/08/05 112 112
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 55
STATEMENT OF NET ASSETS (Unaudited)
Real Estate Fund (Concluded)
March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley, Ser EXL
2.720%, 05/04/06 $ 37 $ 37
Morgan Stanley, Ser EXLS
2.718%, 05/03/06 92 92
Nationwide Building Society (E)
3.083%, 04/28/05 92 92
2.746%, 04/07/06 185 185
Northern Rock (E)
2.730%, 05/03/06 162 162
Pacific Life Global Funding (E)
2.790%, 03/13/06 139 139
Premium Asset Trust (E)
2.820%, 01/15/06 258 258
2.755%, 02/06/06 137 137
SLM MTN, Ser X
2.850%, 04/20/06 323 323
White Pine Finance MTN, Ser 1
2.696%, 11/01/05 81 81
-----------
3,529
-----------
INDUSTRIALS -- 0.2%
Caterpillar Financial Services MTN, Ser F
2.730%, 07/09/05 92 92
-----------
Total Corporate Obligations
(Cost $3,621) ($ Thousands) 3,621
-----------
COMMERCIAL PAPER (A) (C) -- 4.5%
FINANCIALS -- 4.5%
Brahms Funding
2.972%, 05/20/05 288 287
Broadhollow Funding
2.851%, 04/05/05 157 157
CCN Independence IV
2.880%, 01/17/06 37 37
Capital One
3.040%, 06/20/05 74 73
3.017%, 06/07/05 65 64
2.834%, 04/19/05 53 53
Cobbler Funding
3.073%, 06/28/05 34 34
Eiffel Funding
2.889%, 05/09/05 46 46
2.741%, 04/08/05 138 138
Golden Fish
2.651%, 04/04/05 129 129
2.621%, 04/08/05 287 287
HSBC Finance
2.714%, 04/20/05 83 83
Liberty Harbour
2.894%, 04/18/05 139 138
Mitten
2.803%, 04/14/05 157 157
2.762%, 04/11/05 92 92
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Park Granada
2.802%, 04/12/05 $ 146 $ 146
Park Sienna
2.880%, 04/01/05 181 181
Rhineland Funding
2.758%, 05/09/05 37 37
2.757%, 05/03/05 370 369
2.757%, 05/06/05 49 49
SBC Communications
2.878%, 05/04/05 48 48
2.878%, 05/05/05 137 136
Thornburg Mortgage Capital
2.844%, 04/19/05 170 169
-----------
Total Commercial Paper
(Cost $2,910) ($ Thousands) 2,910
-----------
ASSET-BACKED SECURITIES (C) (D) -- 3.1%
AUTOMOTIVE -- 0.1%
Drivetime Auto Owner Trust,
Ser 2004-C, Cl A1
2.830%, 11/15/05 12 12
Drivetime Auto Owner Trust,
Ser 2005-A, Cl A1
2.870%, 03/15/06 62 62
-----------
74
-----------
MORTGAGE RELATED SECURITIES -- 3.0%
Aire Valley Mortgages, Ser 2004-1A,
Cl 1A
2.850%, 09/20/05 118 118
Blue Heron Funding, Ser 9A, Cl A1
2.880%, 02/22/06 185 185
Cheyne High Grade, Ser 2004-1A, Cl A1
2.791%, 11/10/05 106 106
Commodore, Ser 2003-2A, Cl A1MM
3.100%, 06/14/05 85 85
Davis Square Funding, Ser 2004-2A,
Cl AMMB
2.776%, 04/06/05 92 92
Davis Square Funding, Ser 2004-2A,
Cl AMMC
2.776%, 05/06/05 92 92
Duke Funding, Ser 2004-6B, Cl A1S1
2.680%, 04/08/05 92 92
Harwood Street Funding I, Ser 2004-1A,
Cl NOTE
2.900%, 09/20/05 234 234
Orchid Structured Finance, Ser 2003-
1A, Cl A1MM
2.920%, 05/18/05 192 192
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AMM2
2.900%, 11/25/05 335 335
RMAC, Ser 2004-NS3A, Cl A1
2.800%, 06/12/05 78 78
- --------------------------------------------------------------------------------
56 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Saturn Ventures
2.806%, 08/08/05 $ 172 $ 172
TIAA Real Estate, Ser 2003 1A, Cl A
2.880%, 03/28/06 119 119
Whitehawk CDO Funding, Ser 2004-1A,
Cl AMMB
3.040%, 06/15/05 46 46
-----------
1,946
-----------
Total Asset-Backed Securities
(Cost $2,020) ($ Thousands) 2,020
-----------
CASH EQUIVALENT -- 2.9%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A++ 1,863,205 1,863
-----------
Total Cash Equivalent
(Cost $1,863) ($ Thousands) 1,863
-----------
MASTER NOTES (C) -- 1.9%
Bank of America Master Notes
2.955%, 04/01/05 461 461
Bear Stearns Master Notes
3.050%,04/01/05 185 185
Societe Generale Master Notes
2.875%, 04/01/05 554 554
-----------
Total Master Notes
(Cost $1,200) ($ Thousands) 1,200
-----------
CERTIFICATES OF DEPOSIT (C) (D) -- 0.6%
U.S. Trust
2.925%, 09/14/05 184 184
Washington Mutual Bank
2.820%, 08/18/05 185 185
-----------
Total Certificates of Deposit
(Cost $369) ($ Thousands) 369
-----------
REPURCHASE AGREEMENTS (C) -- 1.8%
Barclays Capital
2.850%, dated 03/31/05,
to be repurchased on 04/01/05,
repurchase price $196,192
(collateralized by various U.S.
Government Obligations, ranging
in par value $29,893-$173,280,
3.020%-3.410%, 06/01/06-08/30/07;
with total market value $200,101) 196 196
Deutsche Bank
2.830%, dated 03/31/05,
to be repurchased on 04/01/05,
repurchase price $663,084
(collateralized by various U.S.
Government Obligations, ranging
in par value $2,037-$243,661,
0.000%-7.500%, 01/01/09-12/01/37;
with total market value $676,293) 663 663
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
2.800%, dated 03/31/05,
to be repurchased on 04/01/05,
repurchase price $352,597
(collateralized by various U.S.
Government Obligations, ranging
in par value $16,733-$193,424,
1.750%-6.250%, 09/15/06-02/01/11;
with total market value $358,151) $ 353 $ 353
-----------
Total Repurchase Agreements
(Cost $1,212) ($ Thousands) 1,212
-----------
Total Investments -- 118.0%
(Cost $72,173) ($ Thousands) 76,535
-----------
OTHER ASSETS AND LIABILITIES -- (18.0)%
Payable Upon Return on Securities Loaned (11,332)
Payable for Fund Shares Redeemed (80)
Investment Advisory Fees Payable (34)
Administration Fees Payable (19)
Shareholder Servicing Fees Payable (6)
Other Assets and Liabilities, Net (215)
-----------
Total Other Assets and Liabilities (11,686)
-----------
Net Assets -- 100.0% $ 64,849
===========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 59,976
Undistributed net investment income 136
Accumulated net realized gain on investments 375
Net unrealized appreciation on investments 4,362
-----------
Net Assets $ 64,849
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($64,849,364 / 5,119,946 shares) $12.67
===========
* Non-income producing security.
+ Real Estate Investment Trust
++ See Note 3 in Notes to Financial Statements.
(A) 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, 2005 (see Note 7). The total value of securities on loan at March 31,
2005 was $11,027 ($ Thousands).
(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,
2005 was $11,332 ($ Thousands).
(D) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of March 31, 2005.
(E) 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 Directors.
Cl -- Class
Ser -- Series
MTN -- Medium Term Note
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 57
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund
March 31, 2005
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR WEIGHTINGS*:
22.6% Corporate Obligations
20.4% U.S. Treasury Obligations
18.0% Asset-Backed Securities
16.0% U.S. Government Mortgage-Backed Obligations
9.0% Short-Term Investments
7.3% U.S. Government Agency Obligations
5.8% Commercial Paper
0.8% Certificates of Deposit
0.1% Municipal Bond
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 33.1%
CONSUMER DISCRETIONARY -- 1.9%
COX Communications
7.875%, 08/15/09 $ 750 $ 828
7.125%, 10/01/12 2,240 2,443
4.625%, 01/15/10 (B) 595 578
4.625%, 06/01/13 (D) 380 354
Comcast
7.050%, 03/15/33 (K) 755 844
6.500%, 01/15/15 1,475 1,579
5.850%, 01/15/10 2,010 2,079
5.500%, 03/15/11 (K) 2,035 2,072
Comcast Cable Communications
8.375%, 03/15/13 675 802
6.750%, 01/30/11 (K) 7,430 8,026
6.375%, 01/30/06 720 733
Continental Cablevision
9.000%, 09/01/08 1,150 1,295
8.300%, 05/15/06 985 1,023
DaimlerChrysler
7.450%, 03/01/27 515 554
7.300%, 01/15/12 1,400 1,526
6.500%, 11/15/13 1,745 1,815
4.050%, 06/04/08 265 257
Federated Department Stores
7.000%, 02/15/28 425 460
6.900%, 04/01/29 200 214
Ford Motor
9.215%, 09/15/21 (K) 1,000 1,050
7.450%, 07/16/31 (K) 3,820 3,457
6.375%, 02/01/29 5,537 4,554
General Motors (K)
8.375%, 07/15/33 3,749 3,208
8.250%, 07/15/23 7,670 6,626
7.200%, 01/15/11 1,950 1,760
7.125%, 07/15/13 590 508
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Liberty Media
5.700%, 05/15/13 (K) $ 995 $ 938
4.510%, 09/17/06 (A) 7,035 7,128
May Department Stores
6.700%, 07/15/34 (K) 400 412
6.650%, 07/15/24 645 662
5.750%, 07/15/14 525 527
News America
7.750%, 01/20/24 595 692
7.300%, 04/30/28 550 613
7.280%, 06/30/28 650 724
7.125%, 04/08/28 375 412
6.200%, 12/15/34 (B) (K) 345 341
Pulte Homes
5.200%, 02/15/15 875 826
TCI Communications
7.875%, 02/15/26 1,085 1,324
Time Warner
9.150%, 02/01/23 1,175 1,545
8.375%, 07/15/33 1,000 1,257
8.180%, 08/15/07 450 485
7.700%, 05/01/32 8,075 9,587
7.570%, 02/01/24 285 330
6.875%, 05/01/12 480 524
Viacom
7.875%, 07/30/30 475 564
5.625%, 08/15/12 705 713
-----------
78,249
-----------
CONSUMER STAPLES -- 0.6%
Albertsons (K)
8.000%, 05/01/31 1,132 1,333
Altria Group
7.750%, 01/15/27 (K) 3,860 4,405
7.000%, 11/04/13 795 853
Diageo Capital PLC
3.375%, 03/20/08 530 516
Duty Free International (F) (H) (J)
7.000%, 07/15/04 2,451 73
General Mills
5.125%, 02/15/07 1,325 1,347
Kraft Foods
6.500%, 11/01/31 630 696
6.250%, 06/01/12 205 220
5.625%, 11/01/11 (K) 1,455 1,510
Kroger
7.500%, 04/01/31 888 1,015
Nabisco
7.550%, 06/15/15 3,565 4,207
Philip Morris Capital
7.500%, 07/16/09 1,750 1,881
- --------------------------------------------------------------------------------
58 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
RJ Reynolds Tobacco Holdings,
Ser B (K)
7.750%, 05/15/06 $ 7,230 $ 7,492
-----------
25,548
-----------
ENERGY -- 1.6%
Alberta Energy
7.375%, 11/01/31 945 1,143
Amerada Hess (K)
7.300%, 08/15/31 4,650 5,244
Anadarko Finance, Ser B
7.500%, 05/01/31 705 865
6.750%, 05/01/11 2,510 2,763
Apache
6.250%, 04/15/12 1,385 1,511
Canadian National Resources
4.900%, 12/01/14 1,255 1,218
Conoco
6.950%, 04/15/29 4,060 4,842
Conoco Funding
7.250%, 10/15/31 530 652
6.350%, 10/15/11 1,040 1,133
ConocoPhillips
5.900%, 10/15/32 10 11
4.750%, 10/15/12 (K) 4,910 4,879
Consolidated Natural Gas, Ser A
5.000%, 03/01/14 650 638
Devon Energy
7.950%, 04/15/32 2,330 2,938
Devon Financing
7.875%, 09/30/31 1,740 2,167
El Paso
6.950%, 06/01/28 6,750 5,872
El Paso MTN (K)
7.800%, 08/01/31 2,280 2,143
7.750%, 01/15/32 5,075 4,783
Encana
6.500%, 08/15/34 1,000 1,094
Enterprise Products Operations, Ser B
5.600%, 10/15/14 1,665 1,643
4.000%, 10/15/07 850 832
Kinder Morgan Energy
5.800%, 03/15/35 310 294
5.125%, 11/15/14 (K) 980 953
Pemex Master Trust
7.375%, 12/15/14 610 653
Pioneer Natural Resources
5.875%, 07/15/16 665 680
Statoil (B)
5.125%, 04/30/14 1,430 1,438
Tosco
8.125%, 02/15/30 400 534
Vastar Resources
6.500%, 04/01/09 3,490 3,743
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
XTO Energy
7.500%, 04/15/12 $ 850 $ 974
6.250%, 04/15/13 690 741
4.900%, 02/01/14 (K) 1,475 1,438
YPF Sociedad Anonima MTN, Ser A
7.750%, 08/27/07 5,000 5,287
-----------
63,106
-----------
FINANCIALS -- 20.2%
AIG Sunamerica Global Finance (B)
6.900%, 03/15/32 425 495
Allstate Financial Global Funding
6.150%, 02/01/06 1,900 1,936
Allstate Life Global Funding II
MTN (A) (L)
2.800%, 04/13/06 5,366 5,366
American Express Bank (A)
2.930%, 11/21/07 3,900 3,902
American Express Centurion
4.375%, 07/30/09 295 293
American General Finance (A) (B) (L)
2.810%, 04/14/06 15,023 15,023
Arch Capital Group
7.350%, 05/01/34 3,416 3,742
Archstone-Smith Operating Trust
5.625%, 08/15/14 150 153
Associates
6.250%, 11/01/08 1,005 1,064
Avalonbay Communities MTN
7.500%, 12/15/10 1,075 1,207
BAC Capital Trust VI
5.625%, 03/08/35 1,540 1,478
Bank One
7.875%, 08/01/10 3,525 4,014
6.000%, 08/01/08 745 779
2.625%, 06/30/08 3,200 3,022
Bank One Texas
6.250%, 02/15/08 575 603
Bank of America
7.400%, 01/15/11 (K) 4,915 5,541
5.875%, 02/15/09 695 726
5.250%, 02/01/07 800 815
3.875%, 01/15/08 475 469
3.375%, 02/17/09 1,510 1,448
3.250%, 08/15/08 1,400 1,348
Bank of Scotland Treasury Services (B)
3.500%, 11/30/07 2,000 1,959
BankBoston
6.375%, 03/25/08 250 263
6.375%, 04/15/08 515 543
BankAmerica Capital (A)
3.230%, 01/15/27 1,800 1,760
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 59
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Banponce Trust I, Ser A
8.327%, 02/01/27 $ 2,590 $ 2,813
Berkshire Hathaway
3.400%, 07/02/07 1,555 1,532
3.375%, 10/15/08 1,850 1,788
Berkshire Hathaway Financial (B)
4.125%, 01/15/10 1,950 1,902
Boeing Capital
6.500%, 02/15/12 465 505
5.800%, 01/15/13 425 445
CA Preferred Fund Trust
7.000%, 01/29/49 1,000 1,023
CCN Bluegrass (A) (L)
2.914%, 02/21/06 13,950 13,950
Capital One Bank
6.700%, 05/15/08 1,830 1,940
4.875%, 05/15/08 3,203 3,226
Capital One Financial (K)
8.750%, 02/01/07 1,455 1,565
Chase Capital II, Ser B (A)
3.243%, 02/01/27 1,000 943
Chase Capital III, Ser C (A)
3.460%, 03/01/27 1,000 949
Citicorp
7.200%, 06/15/07 1,200 1,278
Citigroup
6.500%, 01/18/11 (K) 1,260 1,369
6.200%, 03/15/09 400 422
5.500%, 08/09/06 (K) 1,135 1,156
5.000%, 03/06/07 1,215 1,232
5.000%, 09/15/14 3,176 3,118
4.125%, 02/22/10 5,200 5,056
3.625%, 02/09/09 6,535 6,316
3.500%, 02/01/08 4,910 4,794
Citigroup Global Markets
6.500%, 02/15/08 820 868
Colonial Realty MTN
6.980%, 09/26/05 7,200 7,284
Countrywide Home Loan MTN, Ser L
3.120%, 03/21/06 (A) (L) 17,599 17,599
2.875%, 02/15/07 3,320 3,234
Countrywide Home Loans MTN,
Ser L (A) (L)
Countrywide Home Loans MTN,
Ser M (A) (L)
3.152%, 06/23/05 8,585 8,584
3.040%, 11/30/05 23,608 23,608
2.980%, 08/26/05 6,439 6,439
2.940%, 05/20/05 4,292 4,292
2.810%, 01/31/06 4,722 4,722
Credit Suisse First Boston London (A)
9.650%, 03/24/10 8,663 8,481
Danske Bank (A) (B)
5.914%, 12/29/49 5,150 5,384
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Deutsche Bank (A)
3.843%, 03/15/07 $ 2,400 $ 2,394
Developers Diversified Realty MTN
7.000%, 03/19/07 1,300 1,356
Dryden Investor Trust (B) (J)
7.157%, 07/23/08 5,038 5,261
Duke Capital
7.500%, 10/01/09 1,065 1,173
EOP Operating
7.000%, 07/15/11 1,845 2,032
4.650%, 10/01/10 1,638 1,601
Eksportsfinans MTN
3.375%, 01/15/08 5,680 5,554
Equity One
3.875%, 04/15/09 7,480 7,150
Farmers Exchange Capital (B)
7.200%, 07/15/48 1,465 1,538
7.050%, 07/15/28 4,434 4,628
Farmers Insurance Exchange Capital (B)
8.625%, 05/01/24 3,717 4,498
First Industrial
7.600%, 07/15/28 3,675 4,205
First Industrial MTN
7.500%, 12/01/17 1,800 2,030
Five Finance MTN (A) (L)
2.860%, 09/22/05 30,476 30,469
Ford Motor Credit
7.875%, 06/15/10 (K) 8,745 8,903
7.375%, 10/28/09 2,040 2,048
7.250%, 10/25/11 (K) 11,451 11,300
7.000%, 10/01/13 775 751
6.875%, 02/01/06 6,135 6,218
5.700%, 01/15/10 (K) 4,055 3,820
GE Capital Franchise MTN
6.860%, 06/15/07 1,850 1,956
General Electric Capital
4.875%, 03/04/15 (K) 1,530 1,496
4.125%, 03/04/08 8,780 8,714
General Electric Capital MTN, Ser A
4.375%, 11/21/11 505 493
3.600%, 10/15/08 2,045 1,984
3.450%, 01/15/08 (A) 17,550 17,350
General Motors Acceptance
8.000%, 11/01/31 (K) 8,512 7,413
7.750%, 01/19/10 (K) 2,935 2,819
7.250%, 03/02/11 4,445 4,128
6.875%, 09/15/11 5,230 4,732
6.750%, 12/01/14 (K) 1,275 1,101
6.150%, 04/05/07 1,120 1,099
6.125%, 08/28/07 (K) 3,460 3,374
6.125%, 02/01/07 (K) 650 639
6.125%, 09/15/06 785 781
5.625%, 05/15/09 (K) 1,980 1,806
- --------------------------------------------------------------------------------
60 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Goldman Sachs Capital I
6.345%, 02/15/34 $ 630 $ 646
Goldman Sachs Group
6.875%, 01/15/11 3,775 4,118
Goldman Sachs Group
5.125%, 01/15/15 (K) 740 722
3.120%, 03/02/10 (A) 2,463 2,463
HBOS (B)
3.125%, 01/12/07 1,225 1,202
HBOS Treasury Services (B)
3.600%, 08/15/07 1,235 1,216
HSBC Bank
3.875%, 09/15/09 1,145 1,108
Harrier Finance Funding MTN (A) (L)
3.034%, 09/15/05 6,224 6,223
Harrier Finance Funding MTN,
Ser 1 (A) (L)
3.016%, 06/15/05 18,672 18,670
Healthcare Realty Trust
5.125%, 04/01/14 965 927
Household Finance
8.000%, 07/15/10 3,475 3,975
7.000%, 05/15/12 1,505 1,678
6.375%, 11/27/12 (K) 585 633
5.875%, 02/01/09 3,080 3,203
4.750%, 05/15/09 (K) 1,150 1,152
4.125%, 12/15/08 (K) 1,200 1,179
Irish Life & Permanent MTN,
Ser X (A) (L)
2.862%, 04/21/06 19,960 19,957
JP Morgan Capital Trust II
7.950%, 02/01/27 580 623
JP Morgan Chase
6.750%, 02/01/11 2,481 2,717
5.750%, 01/02/13 4,360 4,531
5.250%, 05/30/07 400 408
5.125%, 09/15/14 920 905
4.000%, 02/01/08 1,390 1,374
3.625%, 05/01/08 720 702
Jackson National Life Funding
(A) (B) (L)
2.690%, 04/01/06 47,217 47,217
Korea Development Bank
4.250%, 11/13/07 755 749
Lakeside Funding (A) (L)
2.790%, 04/08/05 13,011 13,011
Lehman Brothers
7.000%, 02/01/08 3,395 3,623
6.500%, 04/15/08 695 732
Liberty Mutual Group (B)
6.500%, 03/15/35 810 779
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MBNA America Bank
4.625%, 08/03/09 $ 1,070 $ 1,061
Marsh & Mclennan (K)
3.625%, 02/15/08 950 923
Massmutual Global Funding II (B)
2.550%, 07/15/08 1,200 1,132
Merrill Lynch
7.430%, 09/01/22 18 19
Merrill Lynch MTN, Cl C (K)
4.250%, 02/08/10 1,885 1,835
Merrill Lynch MTN, Ser B
3.375%, 09/14/07 2,100 2,059
Merrill Lynch MTN, Ser C (A)
4.056%, 03/12/07 2,460 2,439
Met Life Global Funding (B)
4.750%, 06/20/07 1,100 1,111
4.250%, 07/30/09 815 802
Monumental Global Funding (B)
5.200%, 01/30/07 625 637
Monumental Global Funding II (B)
4.375%, 07/30/09 1,800 1,769
Morgan Stanley (K)
4.750%, 04/01/14 1,308 1,245
Morgan Stanley, Ser EXL (A) (L)
2.720%, 05/04/06 4,292 4,292
Morgan Stanley, Ser EXLS (A) (L)
2.718%, 05/03/06 10,731 10,730
NB Capital Trust IV (K)
8.250%, 04/15/27 4,500 4,983
National Capital Trust (A) (B)
5.486%, 12/29/49 2,231 2,238
National City Bank
3.375%, 10/15/07 1,520 1,491
3.300%, 05/15/07 750 741
NationsBank Capital Trust III (A)
3.210%, 01/15/27 6,850 6,579
Nationwide Building Society (B)
4.250%, 02/01/10 1,425 1,395
3.500%, 07/31/07 3,250 3,196
3.083%, 04/28/05 (A) (L) 10,731 10,731
2.746%, 04/07/06 (A) (L) 21,462 21,462
Nationwide Mutual Insurance (B)
8.250%, 12/01/31 3,575 4,458
6.600%, 04/15/34 (B) 3,590 3,604
New York Life Global Funding (B)
3.875%, 01/15/09 1,000 979
North Front Pass-Through Trust (A) (B)
5.810%, 12/15/24 4,200 4,158
Northern Rock (L) (A) (B)
2.730%, 05/03/06 18,887 18,887
PNC Funding
5.250%, 11/15/15 1,095 1,086
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 61
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Pacific Life Global Funding (A) (B) (L)
2.790%, 03/13/06 $ 16,097 $ 16,097
Permanent Financing PLC, Ser 2A
4.200%, 06/10/07 16,000 16,000
Power Receivables Financial
6.290%, 01/01/12 5,000 5,165
6.290%, 01/01/12 (B) 410 422
Premium Asset Trust (A) (B) (L)
2.820%, 01/15/06 30,047 30,047
2.755%, 02/06/06 15,882 15,897
Prime Property Funding (B)
5.600%, 06/15/11 2,220 2,253
Protective Life MTN
3.700%, 11/24/08 1,800 1,766
RBS Capital Trust B
6.800%, 12/05/49 1,000 1,016
RBS Capital Trust I (A)
4.709%, 12/29/49 700 676
Rouse
5.375%, 11/26/13 (K) 1,430 1,368
3.625%, 03/15/09 735 688
Royal Bank of Scotland Group
5.000%, 11/12/13 565 563
SLM
4.000%, 01/15/10 3,375 3,274
SLM MTN, Ser A
5.000%, 10/01/13 745 735
SLM MTN, Ser X (A) (L)
2.850%, 04/20/06 37,559 37,559
SLM, Ser CPI (A)
4.090%, 04/01/09 5,460 5,390
State Street Bank & Trust (A)
2.920%, 12/11/06 2,475 2,474
SunTrust Bank
4.000%, 10/15/08 810 800
3.625%, 10/15/07 965 948
3.040%, 06/02/09 (A) 925 926
TIAA Global Markets (B)
3.875%, 01/22/08 3,395 3,351
Toyota Motor Credit
5.500%, 12/15/08 120 124
UBS Preferred Funding Trust I (A)
8.622%, 10/29/49 650 767
US Bancorp MTN, Ser N
3.950%, 08/23/07 395 393
3.125%, 03/15/08 2,215 2,140
US Bank
2.870%, 02/01/07 1,295 1,269
2.400%, 03/12/07 1,975 1,917
USAA Capital MTN, Ser B
4.000%, 12/10/07 1,695 1,683
Wachovia Bank
4.875%, 02/01/15 2,735 2,661
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual Bank
5.125%, 01/15/15 $ 790 $ 769
4.200%, 01/15/10 (K) 1,895 1,844
Wells Fargo
7.800%, 06/15/10 (A) 800 807
4.200%, 01/15/10 7,650 7,480
Westfield Capital
4.375%, 11/15/10 4,153 4,047
White Pine Finance MTN, Ser 1 (A) (L)
2.696%, 11/01/05 9,443 9,441
World Savings Bank
4.125%, 03/10/08 1,375 1,363
XL Capital
6.375%, 11/15/24 750 783
Zions Bancorp
6.000%, 09/15/15 1,265 1,319
-----------
821,287
-----------
HEALTH CARE -- 0.4%
Boston Scientific (K)
5.450%, 06/15/14 780 795
Bristol-Myers Squibb
6.875%, 08/01/97 680 783
5.750%, 10/01/11 (K) 815 851
Coventry Health Care (B)
6.125%, 01/15/15 770 769
HCA (K)
5.750%, 03/15/14 6,470 6,176
Humana
6.300%, 08/01/18 630 655
Merck
6.400%, 03/01/28 600 652
4.375%, 02/15/13 1,000 963
Schering-Plough
6.750%, 12/01/33 750 839
Tenet Healthcare (K)
7.375%, 02/01/13 336 317
UnitedHealth Group (K)
4.875%, 03/15/15 550 537
Wellpoint (B)
5.950%, 12/15/34 1,035 1,039
Wellpoint Health Network
6.375%, 06/15/06 1,075 1,102
-----------
15,478
-----------
INDUSTRIALS -- 3.2%
Air 2 US (B)
8.027%, 10/01/19 3,610 3,261
America West Airlines, Ser 99-1
7.930%, 01/02/19 9,513 10,309
American Airlines, Ser 01-2 (K)
7.858%, 10/01/11 3,000 3,065
- --------------------------------------------------------------------------------
62 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
American Airlines, Ser 99-1 (K)
7.024%, 10/15/09 $ 4,630 $ 4,696
Burlington North Santa Fe
7.290%, 06/01/36 1,560 1,914
6.125%, 03/15/09 25 26
Canadian National Railways
7.375%, 10/15/31 1,630 2,020
6.900%, 07/15/28 125 146
6.250%, 08/01/34 250 273
Caterpillar Financial Services MTN,
Ser F (A) (L)
2.730%, 07/09/05 10,731 10,731
Citicorp Lease (B)
7.220%, 06/15/05 5,144 5,185
Continental Airlines, Ser 00-2
7.487%, 10/02/10 1,730 1,717
Continental Airlines, Ser 00-2 (K)
7.707%, 04/02/21 3,032 2,964
Continental Airlines, Ser 971A
7.461%, 04/01/15 514 483
Continental Airlines, Ser 974A (K)
6.900%, 01/02/18 7,977 7,827
Continental Airlines, Ser 99-2 (K)
7.256%, 03/15/20 867 868
Delta Air Lines (A)
3.450%, 01/25/08 3,533 3,538
Delta Air Lines, Ser 01-1, Cl A-2 (K)
7.111%, 09/18/11 580 549
Delta Air Lines, Ser 02-1, Cl G-1 (K)
6.718%, 01/02/23 6,953 7,232
Delta Air Lines, Ser 02-1, Cl G-2
6.417%, 07/02/12 3,900 4,057
Delta Airlines, Ser 00-1, Cl A2 (K)
7.570%, 11/18/10 2,350 2,190
Eastman Kodak (K)
7.250%, 11/15/13 2,740 2,864
Federal Express, Ser A3
8.400%, 03/23/10 600 641
General Electric
5.000%, 02/01/13 180 180
International Paper
6.750%, 09/01/11 780 855
Litton Industries
7.750%, 03/15/26 950 1,176
Lockheed Martin (K)
8.500%, 12/01/29 4,085 5,535
Norfolk Southern (K)
7.050%, 05/01/37 1,280 1,498
Northrup Grumman
4.079%, 11/16/06 1,400 1,398
Northwest Airlines, Ser 01-1, Cl A-1 (K)
7.041%, 04/01/22 1,753 1,735
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ohana Military LLC, Ser 04I
6.193%, 04/01/49 $ 1,000 $ 1,081
Raytheon
6.000%, 12/15/10 24 25
5.500%, 11/15/12 55 57
5.375%, 04/01/13 (K) 555 563
4.500%, 11/15/07 335 340
Southwest Airlines
5.125%, 03/01/17 525 493
Systems 2001 Asset Trust (B)
6.664%, 09/15/13 1,561 1,693
Tyco International Group
6.875%, 01/15/29 (K) 6,310 7,073
6.750%, 02/15/11 2,190 2,373
6.375%, 10/15/11 7,805 8,332
6.000%, 11/15/13 915 961
US Airways, Cl B (J)
7.500%, 04/15/08 2,696 --
United Airlines, Ser 00-2 (H) (J)
7.811%, 10/01/09 982 349
United Airlines, Ser A-3 (H) (J)
8.390%, 01/21/11 1,466 707
United Technologies
6.500%, 06/01/09 2,365 2,545
Waste Management
7.375%, 08/01/10 (K) 2,480 2,764
7.125%, 12/15/17 8,305 9,333
7.100%, 08/01/26 1,710 1,935
-----------
129,557
-----------
INFORMATION TECHNOLOGY -- 0.1%
Electronic Data Systems (K)
7.125%, 10/15/09 3,100 3,333
-----------
MATERIALS -- 0.3%
Codelco (B)
4.750%, 10/15/14 960 911
Georgia-Pacific
8.875%, 05/15/31 585 705
International Paper
5.500%, 01/15/14 1,120 1,139
Lubrizol
5.500%, 10/01/14 1,235 1,237
Newmont Mining
5.875%, 04/01/35 1,235 1,210
Weyerhaeuser (K)
7.375%, 03/15/32 970 1,134
6.750%, 03/15/12 4,540 4,987
-----------
11,323
-----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 63
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REGIONAL AGENCIES -- 1.3%
Aid-Israel
5.500%, 09/18/23 $ 5,525 $ 5,844
Quebec Province (K)
5.000%, 07/17/09 1,060 1,080
Russian Federation
5.000%, 03/31/30 14,416 14,712
United Mexican States
8.375%, 01/14/11 1,790 2,037
United Mexican States MTN
6.375%, 01/16/13 1,786 1,853
United Mexican States MTN, Ser A
8.000%, 09/24/22 (K) 6,665 7,565
7.500%, 04/08/33 16,290 17,267
6.750%, 09/27/34 (K) 1,165 1,137
-----------
51,495
-----------
TELECOMMUNICATION SERVICES -- 1.3%
AT&T
9.750%, 11/15/31 1,195 1,458
AT&T Wireless Services
8.125%, 05/01/12 1,595 1,863
7.350%, 03/01/06 2,536 2,615
BellSouth
6.550%, 06/15/34 (K) 550 589
5.200%, 09/15/14 1,260 1,246
4.750%, 11/15/12 780 762
4.200%, 09/15/09 (A) 1,950 1,905
British Telecommunications PLC
8.875%, 12/15/30 865 1,153
8.375%, 12/15/10 1,250 1,452
Deutsche Telekom International
8.750%, 06/15/30 1,145 1,497
France Telecom
8.750%, 03/01/31 525 691
7.950%, 03/01/06 1,455 1,500
General Electric Capital MTN, Ser A (K)
3.750%, 12/15/09 796 765
New England Telephone & Telegraph
7.875%, 11/15/29 355 419
New Jersey Bell Telephone
7.850%, 11/15/29 1,135 1,335
SBC Communications
6.450%, 06/15/34 1,075 1,119
5.100%, 09/15/14 1,990 1,940
4.125%, 09/15/09 580 564
Sprint Capital
8.750%, 03/15/32 1,990 2,582
8.375%, 03/15/12 (K) 1,745 2,039
7.125%, 01/30/06 3,300 3,378
6.875%, 11/15/28 270 289
6.000%, 01/15/07 1,935 1,989
4.780%, 08/17/06 6,625 6,666
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Telecom Italia Capital
6.000%, 09/30/34 (B) (K) $ 2,025 $ 1,961
5.250%, 11/15/13 2,735 2,702
4.950%, 09/30/14 (B) 1,505 1,442
Telefonica Europe
7.750%, 09/15/10 925 1,050
Verizon Global Funding
6.875%, 06/15/12 850 936
Verizon Maryland, Ser A
6.125%, 03/01/12 910 955
Verizon New York, Ser A
6.875%, 04/01/12 715 779
Verizon New York, Ser B (K)
7.375%, 04/01/32 1,015 1,139
Verizon Virginia, Ser A
4.625%, 03/15/13 50 48
Vodafone Group
5.000%, 12/16/13 1,015 1,008
-----------
51,836
-----------
UTILITIES -- 2.2%
American Electric Power, Ser C
5.375%, 03/15/10 1,549 1,581
Arizona Public Services
8.000%, 12/30/15 3,740 4,058
Centerpoint Energy, Ser B
6.850%, 06/01/15 675 737
Cleveland Electric Illumination
5.650%, 12/15/13 500 509
Cogentrix Energy (B)
8.750%, 10/15/08 7,758 8,814
Conectiv MTN, Ser A
6.730%, 06/01/06 1,610 1,638
Dominion Resources
5.700%, 09/17/12 (K) 3,720 3,858
4.125%, 02/15/08 810 801
Dominion Resouces, Cl A
7.195%, 09/15/14 1,065 1,208
Dominion Resources, Ser D
5.125%, 12/15/09 900 912
Duke Energy
6.250%, 01/15/12 1,390 1,479
5.625%, 11/30/12 730 751
El Paso Electric, Ser E
9.400%, 05/01/11 3,700 4,024
Exelon
6.750%, 05/01/11 410 446
FPL Energy American Wind (B)
6.639%, 06/20/23 7,220 7,694
FirstEnergy, Ser A
5.500%, 11/15/06 2,850 2,898
FirstEnergy, Ser B
6.450%, 11/15/11 600 633
- --------------------------------------------------------------------------------
64 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
First Energy, Ser C
7.375%, 11/15/31 $ 7,415 $ 8,399
Florida Power
5.900%, 03/01/33 325 331
Hydro-Quebec, Ser JL
6.300%, 05/11/11 1,525 1,649
Oncor Electric Delivery
6.375%, 01/15/15 660 711
PSEG Power
8.625%, 04/15/31 420 558
Pacific Gas & Electric
6.050%, 03/01/34 3,667 3,765
3.260%, 04/03/06 (A) (K) 1,100 1,103
Pinnacle West Capital (A)
3.543%, 11/01/05 3,780 3,782
Power Contract Financing (B)
5.200%, 02/01/06 3,303 3,330
Progress Energy
7.000%, 10/30/31 1,070 1,174
Public Service
7.875%, 10/01/12 915 1,081
SP Powerassets (B)
5.000%, 10/22/13 150 150
Scottish Power
4.910%, 03/15/10 1,350 1,350
Sonat
7.625%, 07/15/11 2,850 2,814
TXU Energy
7.000%, 03/15/13 780 854
6.550%, 11/15/34 (B) 670 626
5.550%, 11/15/14 (K) 1,545 1,466
4.800%, 11/15/09 2,600 2,519
3.420%, 01/17/06 (A) (B) 900 900
Valero Logistics
6.050%, 03/15/13 941 981
Virginia Electric & Power, Ser A
5.750%, 03/31/06 2,400 2,440
Williams (K)
8.750%, 03/15/32 4,340 5,154
7.750%, 06/15/31 1,880 2,030
Williams, Ser A (K)
7.500%, 01/15/31 1,490 1,564
-----------
90,772
-----------
Total Corporate Obligations
(Cost $1,325,689) ($ Thousands) 1,341,984
-----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 30.0%
U.S. Treasury Bonds
10.375%, 11/15/12 (K) $ 7,950 $ 9,210
8.875%, 08/15/17 (K) 2,780 3,865
8.750%, 05/15/17 (K) 2,775 3,813
8.125%, 08/15/19 (K) 86,546 116,435
7.125%, 02/15/23 (K) 5,523 6,996
6.250%, 08/15/23 to 05/15/30 (K) 71,435 85,591
6.125%, 11/15/27 (K) 31,802 37,170
6.000%, 02/15/26 (K) 14,397 16,469
5.500%, 08/15/28 (K) 5,925 6,437
5.375%, 02/15/31 (K) 637 694
3.875%, 04/15/29 (E) 6,231 8,569
3.625%, 04/15/28 (E) (K) 11,867 15,598
2.375%, 01/15/25 (E) (K) 30,193 32,476
U.S. Treasury Notes
5.000%, 02/15/11 (K) 3,220 3,344
4.750%, 05/15/14 (K) 6,730 6,856
4.375%, 08/15/12 4,050 4,060
4.250%, 08/15/13 to 11/15/14 (K) 30,386 29,796
4.250%, 01/15/10 (E) (K) 4,350 4,952
4.000%, 06/15/09 to 02/15/15 (K) 175,435 171,557
3.750%, 03/31/07 38,575 38,545
3.625%, 01/15/10 1,900 1,855
3.500%, 08/15/09 to 02/15/10 (K) 59,660 58,033
3.375%, 02/28/07 to 10/15/09 (K) 243,505 240,100
3.375%, 01/15/07 to 01/15/12 (E) 2,462 2,608
3.125%, 01/31/07 to 10/15/08 (K) 102,787 101,539
3.000%, 12/31/06 to 11/15/07 (K) 74,633 73,149
2.500%, 10/31/06 17,850 17,524
2.000%, 07/15/14 (E) (K) 68,240 69,702
1.875%, 07/15/13 (E) (K) 7,492 7,623
1.625%, 02/28/06 (K) 6,034 5,938
0.875%, 04/15/10 (E) (K) 17,214 16,838
U.S. Treasury STRIPS (I)
5.970%, 11/15/21 (K) 43,310 18,996
5.780%, 02/15/23 670 275
-----------
Total U.S. Treasury Obligation
(Cost $1,209,128) ($ Thousands) 1,216,613
-----------
ASSET-BACKED SECURITIES -- 26.4%
AUTOMOTIVE -- 1.8%
AESOP Funding, Ser 1998-1, Cl A
6.140%, 05/20/06 2,167 2,174
AESOP Funding, Ser 2003-4A,
Cl A1 (A)
3.080%, 08/20/07 2,100 2,105
Americredit Automobile Receivables
Trust, Ser 2002-1, Cl A3
4.230%, 10/06/06 181 181
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 65
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Americredit Automobile Receivables
Trust, Ser 2005-AX, Cl A3
3.630%, 01/06/10 $ 947 $ 937
Capital Auto Receivables Asset Trust,
Ser 2004-1, Cl A3
2.000%, 11/15/07 1,960 1,926
Capital Auto Receivables Asset Trust,
Ser 2004-2, Cl A2
3.350%, 02/15/08 1,612 1,591
Chase Manhattan Auto Owner Trust,
Ser 2004-A, Cl A3
2.080%, 05/15/08 4,290 4,220
Chesapeake Funding, Ser 2003-1,
Cl A1 (A)
2.996%, 08/07/08 16,423 16,423
DaimlerChrysler Auto Trust,
Ser 2004-B, Cl A3
3.180%, 09/08/08 2,212 2,190
DaimlerChrysler Master Owner Trust,
Ser 2002-A, Cl A (A)
2.870%, 05/15/07 5,000 5,000
Drivetime Auto Owner Trust,
Ser 2004-B, Cl A2
2.586%, 06/15/07 2,615 2,601
Drivetime Auto Owner Trust,
Ser 2003-B, Cl A2
1.347%, 04/17/06 512 512
Drivetime Auto Owner Trust,
Ser 2004-C, Cl A1 (A) (L)
2.830%, 11/15/05 1,362 1,362
Drivetime Auto Owner Trust,
Ser 2005-A, Cl A1 (A) (L)
2.870%, 03/15/06 7,173 7,173
Ford Credit Auto Owner Trust,
Ser 2002-D, Cl A4B (A)
2.930%, 11/15/06 17,434 17,443
Ford Credit Auto Owner Trust,
Ser 2005-A, Cl A3
3.480%, 11/15/08 1,450 1,436
Nissan Auto Receivables Owner Trust,
Ser 2005-A, Cl A2
3.220%, 07/16/07 3,300 3,287
USAA Auto Owner Trust,
Ser 2004-3, Cl A3
3.160%, 02/17/09 1,226 1,208
Whole Auto Loan Trust,
Ser 2004-1, Cl A4
3.260%, 03/15/11 900 878
-----------
72,647
-----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CREDIT CARDS -- 2.7%
American Express Credit Account
Master, Ser 2004-3, Cl A
4.350%, 12/15/11 $ 1,720 $ 1,710
Capital One Master Trust,
Ser 1998-1, Cl A
6.310%, 06/15/11 1,540 1,623
Capital One Master Trust,
Ser 2001-3A, Cl A
5.450%, 03/16/09 4,320 4,395
Chase Issuance Trust, Ser 2004-A9,
Cl A9
3.220%, 06/15/10 8,425 8,217
Citibank Credit Card Issuance Trust,
Ser 2000-A1, Cl A1
6.900%, 10/15/07 8,005 8,148
Citibank Credit Card Issuance Trust,
Ser 2000-A3, Cl A3
6.875%, 11/16/09 1,379 1,467
Citibank Credit Card Issuance Trust,
Ser 2002-A5, Cl A5 (A)
3.050%, 09/17/07 17,700 17,705
Citibank Credit Card Issuance Trust,
Ser 2003-A3, Cl A3
3.100%, 03/10/10 300 290
Citibank Credit Card Issuance Trust,
Ser 2003-A6, Cl A6
2.900%, 05/17/10 21,815 20,876
Citibank Credit Card Issuance Trust,
Ser 2004-A1, Cl A1
2.550%, 01/20/09 15,202 14,792
Citibank Credit Card Issuance Trust,
Ser 2004-A8, Cl A8
4.900%, 12/12/16 548 543
Citibank Credit Card Issuance Trust,
Ser 2005-A2, Cl A2
4.850%, 03/10/17 1,313 1,293
Citibank OMNI Master Trust,
Ser 2002-4, Cl A (A)
2.940%, 08/18/09 13,639 13,645
MBNA Credit Card Master Note Trust,
Ser 2004-A4, Cl A4
2.700%, 09/15/09 9,500 9,232
Metris Master Trust,
Ser 2000-3, Cl A (A)
3.110%, 09/21/09 4,640 4,633
-----------
108,569
-----------
- --------------------------------------------------------------------------------
66 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MORTGAGE RELATED SECURITIES -- 21.6%
ABS Home Equity Loan Trust,
Ser 2001-HE3, Cl A1 (A)
3.080%, 11/15/31 $ 1,791 $ 1,792
AFC Home Equity Loan Trust,
Ser 1998-1, Cl 1A2 (A)
3.120%, 04/25/28 289 290
AFC Home Equity Loan Trust,
Ser 2000-1, Cl 2A (A)
3.090%, 03/25/30 10,389 10,404
ARSI, Ser 2004-W5, Cl AF1 (A)
2.960%, 04/25/34 3,214 3,214
Advanta Mortgage Loan Trust,
Ser 1998-3, Cl A2 (A)
3.150%, 09/25/28 180 180
Aire Valley Mortgages, Ser 2004-1A,
Cl 1A (A) (L)
2.850%, 09/20/05 13,736 13,736
American Business Financial Services,
Ser 2002-1, Cl A5
6.510%, 12/15/32 2,600 2,689
American Business Financial Services,
Ser 2002-4, Cl A IO (J)
4.000%, 07/15/05 20,605 195
Ameriquest Finance Trust,
Ser 2003-N6, Cl NOTE (A)
3.150%, 05/25/10 40 40
Ameriquest Mortgage Securities,
Ser 2004-R12, Cl A3 (A)
3.130%, 01/25/35 1,256 1,261
Asset Securitization, Ser 1996-D2,
Cl A1
6.920%, 02/14/29 9,422 9,632
Banc of America Commercial
Mortgage, Ser 2005-1, Cl A5 (A)
4.976%, 11/10/42 1,464 1,471
Banc of America Funding,
Ser 2005-B, Cl 2A1 (A)
5.147%, 04/20/35 9,875 9,968
Bank of America Mortgage Securities,
Ser 2003-1, Cl 2A4
5.000%, 02/25/18 9,077 9,014
Bank of America Mortgage Securities,
Ser 2004-5, Cl 4A1
5.000%, 06/25/19 3,466 3,490
Bank of America Mortgage Securities,
Ser 2004-6, Cl 4A1
5.000%, 07/25/19 3,669 3,604
Bear Stearns Asset-Backed Securities,
Ser 2000-2, Cl M2
8.280%, 08/25/30 8,000 8,518
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bear Stearns Asset-Backed Securities,
Ser 2001-A, Cl AI4
6.820%, 02/15/31 $ 2,477 $ 2,511
Blue Heron Funding, Ser 9A,
Cl A1 (A) (L)
2.880%, 02/22/06 21,462 21,462
CDC Mortgage Capital Trust,
Ser 2002-HE3, Cl A (A)
3.340%, 03/25/33 1,027 1,030
CDC Mortgage Capital Trust,
Ser 2003-HE2, Cl A (A)
3.200%, 10/25/33 4,925 4,945
CIT Equipment Collateral,
Ser 2005-VT1, Cl A3
4.120%, 08/20/08 741 741
CSFB, Ser 1997-C2, Cl AX IO (A)
1.132%, 01/17/35 33,655 895
CSFB, Ser 1998-C1, Cl A1B
6.480%, 05/17/08 1,481 1,563
CSFB, Ser 1998-C2, Cl A2
6.300%, 11/11/30 11,600 12,244
CSFB, Ser 2001-MH29, Cl A
5.600%, 09/25/31 2,319 2,259
Centex Home Equity,
Ser 2005-A, Cl AF1 (A)
3.700%, 06/25/22 3,355 3,342
Chase Commercial Mortgage,
Ser 99-C2, Cl A2
7.546%, 11/17/32 5,610 6,196
Chase Commercial Mortgage
Securities, Ser 2000-1, Cl A2
7.757%, 04/15/32 3,580 3,956
Chase Commercial Mortgage
Securities, Ser 2000-3, Cl A2
7.319%, 10/15/32 5,680 6,328
Chase Funding Mortgage Loan,
Ser 2002-1, Cl 2A2 (A)
3.100%, 03/25/32 3,914 3,929
Chase Funding Net Interest Margin,
Ser 2003-C1A, Cl NOTE
6.750%, 03/27/36 41 41
Cheyne High Grade, Ser 2004-1A,
Cl A1 (A) (L)
2.791%, 11/10/05 12,341 12,341
Citigroup Commercial Mortgage Trust,
Ser 2004-C1, Cl A3 (A)
5.251%, 04/15/40 1,413 1,440
Commercial Mortgage Pass-Through
Certificate, Ser 2004-LB4A, Cl A2
4.049%, 10/15/37 1,300 1,268
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 67
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Commercial Mortgage Pass-Through
Certificates, Ser 1999-1, Cl E (A)
7.094%, 05/15/32 $ 830 $ 895
Commodore, Ser 2003-2A,
Cl A1MM (A) (L)
3.100%, 06/14/05 9,873 9,873
Conseco Finance Home Loan Trust,
Ser 2000-E, Cl M1
8.130%, 08/15/31 2,800 2,805
Conseco Finance Securitization,
Ser 2000-4, Cl A5
7.970%, 05/01/32 4,800 3,930
Conseco Finance Securitization,
Ser 2000-4, Cl A6
8.310%, 05/01/32 1,500 1,261
Conseco Finance, Ser 2001-A, Cl IIB1
10.300%, 03/15/32 3,975 4,310
Conseco Finance, Ser 2001-C, Cl A4
6.190%, 03/15/30 314 322
Conseco Finance, Ser 2001-D, Cl A5
6.190%, 11/15/32 4,130 4,253
Contimortgage Home Equity Loan,
Ser 1997-1, Cl A9
7.050%, 03/15/28 334 336
Contimortgage Home Equity Loan,
Ser 1997-2, Cl A9
7.090%, 04/15/28 423 427
Countrywide Alternative Loan Trust,
Ser 2004-27CB, Cl A1
6.000%, 12/25/34 7,422 7,558
Countrywide Alternative Loan Trust,
Ser 2004-J1, Cl 1A1
6.000%, 02/25/34 2,760 2,798
Countrywide Asset-Backed Certificates,
Ser 2003-C2, Cl 2A1 (A)
3.150%, 06/25/33 1,968 1,974
Countrywide Asset-Backed Certificates,
Ser 2004-11, Cl A2 (A)
3.230%, 03/25/33 1,575 1,582
Countrywide Asset-Backed Certificates,
Ser 2004-14, Cl A4 (A)
3.130%, 06/25/36 8,398 8,431
Countrywide Asset-Backed Certificates,
Ser 2004-3N, Cl NOTE (A)
3.050%, 05/25/09 3,839 3,838
Countrywide Home Equity Loan Trust,
Ser 2001-A, Cl A (A)
3.050%, 04/15/27 5,153 5,157
Countrywide Home Equity Loan Trust,
Ser 2004-K, Cl A2 (A)
3.110%, 02/15/34 10,682 10,702
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Loans,
Ser 2005-3, Cl 1A3 (A)
3.090%, 04/25/35 $ 11,812 $ 11,812
Credit-Based Asset Servicing,
Ser 2004-CB8, Cl AF1 (A)
3.633%, 12/25/35 8,575 8,498
Criimi Mae Commercial Mortgage,
Ser 1998-C1, Cl A2 (D)
7.000%, 06/02/33 14,450 15,190
DLJ Commercial Mortgage,
Ser 1998-CG1, Cl A3
6.650%, 06/10/31 312 331
DLJ Commercial Mortgage,
Ser 1999-CG1, Cl A3
6.770%, 03/10/32 1,133 1,218
DLJ Commercial Mortgage,
Ser 1999-CG1, Cl A1B
6.460%, 03/10/32 5,030 5,334
DLJ Commercial Mortgage,
Ser 1999-CG2, Cl A1B
7.300%, 06/10/32 5,525 6,061
DSLA Mortgage Loan Trust,
Ser 2004-AR2, Cl A2B (A)
3.250%, 11/19/44 15,577 15,608
DSLA Mortgage Loan Trust,
Ser 2004-AR3, Cl 2A2A (A)
3.220%, 07/19/44 9,894 9,916
Davis Square Funding, Ser 2004-2A,
Cl AMMB (A) (L)
2.776%, 04/06/05 10,731 10,731
Davis Square Funding, Ser 2004-2A,
Cl AMMC (A) (L)
2.776%, 05/06/05 10,731 10,731
Duke Funding, Ser 2004-6B,
Cl A1S1 (A) (L)
2.680%, 04/08/05 10,731 10,731
EMC Mortgage Loan Trust,
Ser 2002-AA, Cl A1 (A)
3.320%, 05/25/39 4,221 4,249
EQCC Trust, Ser 2002-1, Cl 2A (A)
3.150%, 11/25/31 1,817 1,820
Equity One, Ser 2002-2, Cl AF3
5.773%, 10/25/32 7,483 7,575
Equivantage Home Equity Loan Trust,
Ser 1997-2, Cl A3 (A)
7.775%, 07/25/28 478 477
FFCA Secured Lending, Ser 1997-1,
Cl IO (A) (J)
0.405%, 02/18/22 512 3
- --------------------------------------------------------------------------------
68 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FFCA Secured Lending, Ser 1999-1A,
Cl IO (A) (J)
1.655%, 09/18/25 $ 16,683 $ 673
First Horizon, Ser 2004-HE2, Cl A (A)
3.070%, 02/25/34 9,671 9,676
First Union National Bank,
Ser 2000-C2, Cl A2
7.202%, 10/15/32 2,272 2,526
First Union-Lehman Brothers,
Ser 1997-C2, Cl X IO (A)
0.996%, 11/18/29 4,940 230
Fleet Home Equity Trust, Ser 2001-1,
Cl A (A)
3.060%, 05/20/31 479 478
Fund America Investors, Ser 1993-A,
Cl A2 (A)
5.918%, 06/25/23 603 605
GE Capital Commercial Mortgage,
Ser 2004-C1, Cl AAB
4.599%, 06/10/48 1,002 981
GE Capital Mortgage Services,
Ser 1997-HE3, Cl A6
6.720%, 10/25/27 1,680 1,677
GE Capital Mortgage Services,
Ser 2003-C2, Cl A4
5.145%, 07/10/37 496 501
GMAC Commercial Mortgage Securities,
Ser 1998-C1, Cl A2
6.700%, 05/15/30 12,420 13,094
GMAC Commercial Mortgage Securities,
Ser 1998-C2, Cl C
6.500%, 05/15/35 467 496
GMAC Commercial Mortgage Securities,
Ser 1999-C2, Cl A2
6.945%, 09/15/33 100 108
GMAC Commercial Mortgage Securities,
Ser 1999-C3, Cl A2
7.179%, 08/15/36 5,543 6,048
GMAC Commercial Mortgage Securities,
Ser 2003-C3, Cl A3
4.646%, 04/10/40 1,573 1,558
GMAC Commercial Mortgage Securities,
Ser 2003-FL1A, Cl A (A)
3.131%, 03/11/15 441 441
GS Mortgage Securities,
Ser 1998-GLII, Cl A2
6.562%, 04/13/31 874 917
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GS Mortgage Securities,
Ser 2004-C1, Cl A1
3.659%, 10/10/28 $ 605 $ 589
GSAMP Trust, Ser 2003-SEA, Cl A1 (A)
3.250%, 02/25/33 8,925 8,973
GSR Mortgage Loan Trust,
Ser 2003-13, Cl 1A1 (A)
4.513%, 10/25/33 10,058 9,782
Goldman Sachs Mortgage Securities,
Ser 1998-C1, Cl A3
6.135%, 10/18/30 4,416 4,609
Green Tree Financial, Ser 1993-4,
Cl A5
7.050%, 01/15/19 865 901
Green Tree Financial, Ser 1996-5, Cl A6
7.750%, 07/15/27 2,285 2,438
Green Tree Financial, Ser 1998-6, Cl A6
6.270%, 06/01/30 1,365 1,387
Greenwich Capital Commercial Funding,
Ser 2004-GG1, Cl A3
4.344%, 06/10/36 512 507
Greenwich Capital Commercial Funding,
Ser 2004-GG1, Cl A4
4.755%, 06/10/36 5,820 5,818
Greenwich Capital Commercial Funding,
Ser 2005-GG3, Cl A2
4.305%, 08/10/42 1,289 1,269
Greenwich Capital Commercial Funding,
Ser 2005-GG3, Cl AAB
4.619%, 08/10/42 6,305 6,196
Harborview Mortgage Loan Trust,
Ser 2005-1, Cl X IO (A) (G)
1.874%, 03/19/35 47,431 1,630
Harwood Street Funding I,
Ser 2004-1A, Cl NOTE (A) (L)
2.900%, 09/20/05 27,257 27,257
Heller Financial Commercial Mortgage,
Ser 1999-PH1, Cl A2
6.847%, 05/15/31 4,200 4,509
Heller Financial Commercial Mortgage,
Ser 1999-PH1, Cl C (A)
6.897%, 05/15/31 250 271
Household Home Equity Loan Trust,
Ser 2002-3, Cl A (A)
3.300%, 07/20/32 1,444 1,447
IMPAC CMB Trust, Ser 2002-5
Cl A1 (A)
3.220%, 07/25/32 4,985 4,988
IMPAC CMB Trust, Ser 2003-12,
Cl A1 (A)
3.230%, 12/25/33 9,396 9,418
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 69
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
IMPAC CMB Trust, Ser 2005-1,
Cl 1A1 (A)
3.110%, 04/25/35 $ 1,555 $ 1,556
Indymac Home Equity Loan Trust,
Ser 2000-A, Cl AV1 (A)
3.110%, 06/25/31 916 916
JP Morgan Chase Commercial Mortgage,
Ser 1997-C5, Cl X, IO (A)
1.466%, 09/15/29 6,223 237
JP Morgan Chase Commercial Mortgage,
Ser 2001-CIB2, Cl A3
6.429%, 04/15/35 5,170 5,600
JP Morgan Chase Commercial Mortgage,
Ser 2002-CIB4, Cl A3
6.162%, 05/12/34 5,000 5,348
Lehman Brothers Commercial Mortgage,
Ser 1998-C1, Cl C
6.680%, 02/18/30 749 792
Lehman Brothers Commercial Mortgage,
Ser 1998-C2, Cl A2
6.560%, 11/18/35 3,510 3,698
Lehman Brothers Commercial Mortgage,
Ser 1999-C2, Cl B
7.425%, 10/15/32 378 419
Lehman Brothers Commercial Mortgage,
Ser 2000-C4, Cl A2
7.370%, 08/15/26 4,855 5,410
MLCC Mortgage Investors,
Ser 2004-B, Cl A3 (A)
3.832%, 05/25/29 7,128 7,403
Master Reperforming Loan Trust
6.000%, 04/25/34 8,400 8,568
Master Seasoned Securities Trust,
Ser 2004-2, Cl A2
6.500%, 08/25/32 10,589 10,849
Merrill Lynch Mortgage Investors,
Ser 1996-C2, Cl A3
6.960%, 11/21/28 4,084 4,208
Merrill Lynch Mortgage Investors,
Ser 2002-NC1, Cl A1 (A)
3.170%, 05/25/33 37 37
Merrill Lynch Mortgage Trust,
Ser 2003-KEY1, Cl A3
4.893%, 11/12/35 502 502
Merrill Lynch Mortgage Trust,
Ser 2005-GGP1, Cl A
4.099%, 11/15/10 2,313 2,300
Merrill Lynch Mortgage Trust,
Ser 2005-MKB2, Cl A4
5.204%, 09/12/42 741 745
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Mesa Trust Asset-Backed Certificates,
Ser 2002-3, Cl A IO (A) (J)
5.000%, 04/18/05 $ 4,844 $ 10
Metris Master Trust,
Ser 2005-1A, Cl A (A)
2.970%, 03/21/11 1,744 1,744
Mid-State Trust, Ser 11, Cl A1
4.864%, 07/15/38 7,078 6,774
Money Store SBA Loan Trust,
Ser 1999-1, Cl A (A)
3.300%, 07/15/25 794 788
Morgan Stanley Capital I,
Ser 1998-HF2, Cl A2
6.480%, 11/15/30 4,255 4,484
Morgan Stanley Capital I,
Ser 2005-HQ5, Cl A4 (A)
5.168%, 01/14/42 926 929
Morgan Stanley Dean Witter Capital I,
Ser 2002-NC4, Cl A2 (A)
3.250%, 09/25/32 491 491
Morgan Stanley Dean Witter Capital,
Ser 2000-LIFE, Cl A2
7.570%, 11/15/36 3,500 3,891
Morgan Stanley, Ser 2003-NC8, Cl A2 (A)
3.210%, 09/25/33 6,379 6,405
Mortgage Capital Funding,
Ser 1998-MC1, Cl C
6.947%, 03/18/30 291 309
Mortgage Capital Funding,
Ser 1998-MC2, Cl A2
6.423%, 06/18/30 6,255 6,556
Nationslink Funding,
Ser 1999-1, Cl C
6.571%, 01/20/31 2,103 2,237
Nomura Asset Securities,
Ser 1996-MD5, Cl A1B
7.120%, 04/13/39 6,100 6,288
Novastar Home, Ser 1998-2, Cl A2 (A)
2.885%, 08/25/28 754 754
Oncor Electric Delivery Transition Bond,
Ser 2003-1, Cl A2
4.030%, 02/15/12 5,000 4,922
Option One Mortgage Loan Trust,
Ser 2001-4, Cl A (A)
3.150%, 01/25/32 2,256 2,257
Orchid Structured Finance,
Ser 2003-1A, Cl A1MM (A) (L)
2.920%, 05/18/05 22,313 22,313
PNC Mortgage Acceptance,
Ser 2000-C2, Cl A2
7.300%, 10/12/33 2,106 2,342
- --------------------------------------------------------------------------------
70 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AMM2 (A) (L)
2.900%, 11/25/05 $ 38,964 $ 38,964
RMAC, Ser 2004-NS3A, Cl A1 (A) (L)
2.800%, 06/12/05 9,018 9,018
Residential Asset Mortgage Products,
Ser 2003-RS3, Cl AII (A)
3.210%, 04/25/33 1,123 1,127
Residential Asset Mortgage Products,
Ser 2003-RZ4, Cl A1 (A)
3.000%, 06/25/24 1,553 1,553
Residential Asset Mortgage Products,
Ser 2004-SL1, Cl A8
6.500%, 11/25/31 6,977 7,190
Residential Asset Mortgage Products,
Ser 2002-RS5, Cl AI5
5.410%, 09/25/32 15,000 15,137
Residential Asset Mortgage Products,
Ser 2002-RS6, Cl AI5
5.650%, 11/25/32 9,000 9,153
Residential Asset Mortgage Products,
Ser 2003-RS2, Cl AII (A)
3.190%, 03/25/33 627 629
Residential Asset Securities,
Ser 2002-KS7, Cl A2 (A)
3.220%, 11/25/32 5,880 5,898
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 2A1 (A)
5.262%, 12/25/34 10,502 10,564
Residential Funding Mortgage Securities,
Ser 2000-HI1, Cl AI7
8.290%, 02/25/25 9,414 9,583
Residential Funding Mortgage Securities,
Ser 2003-HI4, Cl AI3
3.520%, 04/25/16 11,900 11,782
Salomon Brothers Mortgage Securities
VII, Ser 2002-KEY2, Cl A3
4.865%, 03/18/36 631 626
Saturn Ventures (A) (L)
2.806%, 08/08/05 19,960 19,960
Start, Ser 2003-1, Cl X
1.620%, 01/21/10 8,156 8,131
Start, Ser 2003-2, Cl X (A)
2.030%, 01/21/09 10,068 10,068
Structured Asset Investment Loan Trust,
Ser 2004-10, Cl A8 (A)
3.110%, 11/25/34 1,450 1,451
Structured Asset Investment Loan Trust,
Ser 2005-1, Cl A4 (A)
3.080%, 02/25/35 2,387 2,390
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Structured Asset Securities,
Ser 2002-BC1, Cl A1 (A)
3.350%, 08/25/32 $ 588 $ 588
TIAA Real Estate, Ser 2003 1A,
Cl A (A) (L)
2.880%, 03/28/06 13,858 13,858
Terwin Mortgage Trust,
Ser 2004-9HE, Cl A2 (A)
3.010%, 09/25/34 9,685 9,685
Wachovia Bank Commercial Mortgage
Trust, Ser 2004-C11, Cl A5
5.215%, 01/15/41 1,044 1,051
Wachovia Bank Commercial Mortgage
Trust, Ser 2004-C12, Cl A2
5.001%, 08/15/41 1,163 1,173
Wachovia Bank Commercial Mortgage
Trust, Ser 2005-C16, Cl A2
4.380%, 10/15/41 1,282 1,264
Wachovia Bank Commercial Mortgage
Trust, Ser 2005-C16, Cl APB
4.692%, 10/15/41 3,450 3,395
Wachovia Bank Commercial Mortgage
Trust, Ser 2005-C17, Cl APB
5.037%, 03/15/42 1,114 1,149
Washington Mutual Mortgage,
Ser 2003-MS1, Cl 1A
5.000%, 02/25/18 3,639 3,608
Washington Mutual Mortgage,
Ser 2003-MS2, Cl 3A1
5.000%, 03/25/18 10,300 10,226
Washington Mutual, Ser 2004-AR10,
Cl A2A (A)
2.970%, 07/25/44 11,685 11,666
Washington Mutual, Ser 2004-AR12,
Cl A2A (A)
3.240%, 10/25/44 11,228 11,263
Wells Fargo, Ser 2003-3, Cl 1A21
5.250%, 04/25/33 4,333 4,353
Wells Fargo, Ser 2004-H, Cl A-1 (A)
4.532%, 06/25/34 10,996 10,819
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMB (A) (L)
3.040%, 06/15/05 5,365 5,365
-----------
873,493
-----------
OTHER ASSET-BACKED SECURITIES -- 0.3%
Embarcadero Aircraft,
Ser 2000-A, Cl A1 (A)
3.290%, 08/15/25 7,500 4,331
MSDWCC Heloc Trust,
Ser 2005-1, Cl A (A)
3.040%, 07/25/17 2,334 2,333
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 71
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Massachusetts RRB Special Purpose
Trust, Ser 2005-1, Cl A2
3.780%, 09/15/10 $ 1,400 $ 1,384
Prudential Securities Secured
Financing, Ser 1998-C1, Cl B
6.649%, 07/15/08 322 342
SLM Student Loan Trust,
Ser 2004-1, Cl A2 (A)
2.840%, 07/25/18 1,250 1,255
Stingray Pass-Through Trust
5.902%, 01/12/15 4,500 4,488
-----------
14,133
-----------
Total Asset-Backed Securities
(Cost $1,085,150) ($ Thousands) 1,068,842
-----------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 23.3%
FHLMC
9.000%, 12/01/05 3 3
7.500%, 11/01/29 to 09/01/32 5,783 6,188
7.000%, 06/01/15 to 06/01/32 7,144 7,513
6.500%, 08/01/08 to 06/01/17 9,811 10,262
6.000%, 12/01/12 to 04/13/35 10,190 10,535
5.500%, 07/01/11 to 04/01/34 57,224 58,026
5.000%, 02/01/11 to 03/01/34 49,120 48,693
4.500%, 01/01/15 5,398 5,323
4.000%, 04/01/19 to 10/01/33 3,736 3,436
FHLMC TBA
7.000%, 04/01/17 4,500 4,725
5.000%, 04/13/35 9,400 9,194
4.500%, 04/18/20 1,200 1,174
FNMA
8.000%, 02/01/13 to 10/01/15 580 608
7.500%, 11/01/29 to 12/01/31 14 15
7.000%, 12/01/07 to 07/01/32 11,275 11,868
6.500%, 02/01/13 to 09/01/34 21,240 22,115
6.000%, 02/01/13 to 09/01/34 20,169 20,687
5.860%, 01/01/09 232 240
5.500%, 12/01/13 to 08/01/34 55,913 56,445
5.050%, 07/01/11 495 500
5.000%, 08/01/11 to 03/01/34 45,598 44,989
4.528%, 04/01/09 2,072 2,052
4.500%, 06/01/18 to 04/18/20 11,634 11,417
4.320%, 12/01/09 855 852
4.000%, 07/01/10 to 04/18/20 3,725 3,650
FNMA TBA
6.500%, 04/01/31 to 04/25/35 103,628 107,514
6.000%, 04/18/20 to 04/13/35 17,250 17,648
5.500%, 04/01/18 to 04/13/35 151,719 151,976
5.000%, 05/19/18 to 04/25/35 100,710 99,156
4.899%, 04/25/35 1,650 1,648
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GNMA
8.000%, 11/15/29 to 09/15/31 $ 733 $ 789
7.500%, 03/15/29 to 01/15/32 1,319 1,416
7.000%, 08/15/13 to 11/15/32 2,678 2,833
6.500%, 07/15/14 to 07/15/28 1,963 2,059
6.000%, 03/15/14 to 12/20/34 27,265 28,095
5.500%, 04/15/14 to 02/15/19 4,504 4,638
GNMA TBA
6.500%, 04/18/33 30,000 31,313
6.000%, 04/15/33 to 04/20/35 101,700 104,433
5.500%, 04/20/35 7,200 7,263
5.000%, 04/01/33 43,000 42,395
-----------
Total U.S. Government Mortgage-Backed Obligations
(Cost $944,318) ($ Thousands) 943,686
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 10.9%
FHLB
3.625%, 11/14/08 40 39
2.875%, 09/12/05 to 05/22/06 36,595 36,464
FHLMC
6.625%, 09/15/09 (K) 23,786 25,838
4.625%, 05/28/13 (K) 3,750 3,619
4.500%, 12/16/10 (K) 10,670 10,446
3.875%, 11/10/08 (K) 1,075 1,059
3.010%, 04/19/07 5,050 4,954
2.540%, 04/01/05 (I) 11,718 11,718
2.434%, 04/01/05 (I) 36,665 36,665
FHLMC CMO, Ser 1, Cl Z
9.300%, 04/15/19 360 360
FHLMC CMO, Ser 1005, Cl D
6.500%, 10/15/05 2 2
FHLMC CMO, Ser 1081, Cl K
7.000%, 05/15/21 546 548
FHLMC CMO, Ser 1101, Cl M (D)
6.950%, 07/15/21 963 965
FHLMC CMO, Ser 1611, Cl Z
6.500%, 11/15/23 11,988 12,454
FHLMC CMO, Ser 1983, Cl Z
6.500%, 12/15/23 2,709 2,802
FHLMC CMO, Ser 2043, Cl CJ
6.500%, 04/15/28 6,987 7,321
FHLMC CMO, Ser 2277, Cl B
7.500%, 01/15/31 1,910 1,928
FHLMC CMO, Ser 2389, Cl CD
6.000%, 03/15/16 10,330 10,578
FHLMC CMO, Ser 2480, Cl QJ
6.000%, 02/15/30 1,609 1,613
FHLMC CMO, Ser 2542, Cl ES
5.000%, 12/15/17 3,910 3,878
FHLMC CMO, Ser 2544, Cl IW IO
5.500%, 03/15/26 7,039 643
- --------------------------------------------------------------------------------
72 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO, Ser 2579, Cl PI IO
5.500%, 03/15/27 $ 5,176 $ 484
FHLMC CMO, Ser 2588, Cl IG IO
5.500%, 03/15/32 9,003 1,118
FHLMC CMO, Ser 2621, Cl LJ IO
5.500%, 12/15/26 3,686 408
FHLMC CMO, Ser 2625, Cl IO IO
5.000%, 12/15/31 3,961 529
FHLMC CMO, Ser 2631, Cl IJ IO
5.000%, 10/15/26 3,780 639
FHLMC CMO, Ser 2682, Cl WK
3.000%, 01/15/21 2,309 2,274
FHLMC CMO, Ser 2692, Cl YB
3.500%, 05/15/16 3,216 3,180
FHLMC CMO, Ser 2731, Cl PK
3.500%, 05/15/26 8,399 8,259
FHLMC CMO, Ser 2733, Cl ME
5.000%, 01/15/34 5,995 5,706
FHLMC CMO, Ser 2736, Cl DB
3.300%, 11/15/26 5,368 5,221
FHLMC CMO, Ser 2791, Cl VD
5.000%, 02/15/21 1,434 1,391
FHLMC CMO, Ser 2791, Cl VJ
5.000%, 02/15/21 1,603 1,557
FHLMC CMO, Ser 2791, Cl Vl
5.000%, 02/15/21 1,507 1,465
FHLMC CMO, Ser 2804, Cl EC
5.500%, 06/15/33 1,100 1,117
FHLMC CMO, Ser 2809, Cl HX IO
6.000%, 10/15/24 6,444 625
FHLMC CMO, Ser 2820, Cl PE
5.500%, 03/15/30 2,249 2,277
FHLMC CMO, Ser 2825, Cl PM
5.500%, 03/15/30 3,553 3,600
FHLMC CMO, Ser 2833, Cl JD
5.500%, 09/15/29 688 691
FHLMC CMO, Ser 2835, Cl NE
5.500%, 06/15/29 941 949
FHLMC CMO, Ser 2837, Cl WZ
5.000%, 08/15/19 1,151 1,148
FHLMC CMO, Ser 2864, Cl NA
5.500%, 01/15/31 5,800 5,906
FHLMC CMO, Ser 2876, Cl PE
5.500%, 04/15/30 1,370 1,385
FHLMC CMO, Ser 2878, Cl QE
5.500%, 04/15/30 951 962
FHLMC, Ser 2544, Cl Ml
5.000%, 04/15/12 1,585 1,604
FHLMC, Ser 2631, Cl MT
3.500%, 01/15/22 1,542 1,516
FHLMC, Ser 2825, Cl QN
5.500%, 09/15/32 12,870 12,918
FHLMC, Ser 2938, Cl B
5.000%, 05/15/23 5,125 5,175
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA
7.125%, 06/15/10 (K) $ 3,315 $ 3,705
6.625%, 09/15/09 (K) 6,462 7,019
6.125%, 03/15/12 (K) 4,630 5,017
6.000%, 05/15/11 (K) 4,224 4,522
3.125%, 03/16/09 (K) 3,810 3,632
3.000%, 03/02/07 (K) 11,705 11,485
2.995%, 11/29/06 (D) 8,194 8,144
2.910%, 06/29/05 (C)(I) 2,230 2,214
2.750%, 03/15/07 (A) 4,890 4,785
2.710%, 01/30/07 17,700 17,304
2.350%, 04/05/07 (K) 10,490 10,153
2.200%, 12/04/06 (K) 12,563 12,210
1.989%, 04/01/05 (C) (I) 2,340 2,340
1.750%, 06/16/06 1,980 1,932
FNMA CMO, Ser 2003-16, Cl KA
6.000%, 04/25/30 4 4
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29 9,774 9,722
FNMA CMO, Ser 2001-T2, Cl B
6.022%, 11/25/10 4,500 4,797
FNMA CMO, Ser 2002-22, Cl PE
6.500%, 11/25/30 1,790 1,801
FNMA CMO, Ser 2002-65, Cl TP
7.000%, 03/25/31 1,239 1,254
FNMA CMO, Ser 2002-82, Cl XJ
4.500%, 09/25/12 1,622 1,627
FNMA CMO, Ser 2002-94, Cl BJ IO
5.500%, 04/25/16 1,894 152
FNMA CMO, Ser 2003-113, Cl PN
3.500%, 02/25/13 2,913 2,868
FNMA CMO, Ser 2003-13, Cl GA
4.500%, 06/25/32 3,465 3,476
FNMA CMO, Ser 2003-24, Cl PA
4.500%, 11/25/09 2,650 2,657
FNMA CMO, Ser 2003-32, Cl KA
5.000%, 07/25/13 1,885 1,900
FNMA CMO, Ser 2003-35, Cl BC
5.000%, 05/25/18 1,860 1,849
FNMA CMO, Ser 2003-41, Cl YN
4.000%, 05/25/17 2,175 2,172
FNMA CMO, Ser 2003-76, Cl DE
4.000%, 09/25/31 5,177 4,949
FNMA CMO, Ser 2003-79, Cl KA
3.750%, 05/25/11 1,894 1,891
FNMA CMO, Ser 2003-87, Cl TJ
4.500%, 09/25/18 3,200 3,056
FNMA CMO, Ser 2003-92, Cl KQ
3.500%, 06/25/23 4,821 4,731
FNMA CMO, Ser 2004-88, Cl HA
6.500%, 07/25/34 3,625 3,780
FNMA CMO, Ser 2004-99, Cl AO
5.500%, 01/25/34 5,732 5,799
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 73
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA CMO, Ser 2005-21, Cl MC
5.000%, 05/25/32 $ 938 $ 926
FNMA CMO, Ser 2005-3, Cl AP
5.500%, 02/25/35 4,680 4,754
FNMA CMO, Ser 2005-92, Cl NM
3.500%, 04/25/13 2,334 2,293
FNMA CMO, Ser 342, Cl 2 IO
6.000%, 09/01/33 5,719 1,293
GNMA
3.750%, 05/20/34 (A) 7,538 7,415
GNMA CMO, Ser 2001-18, Cl WH (A)
19.366%, 04/20/31 889 988
GNMA CMO, Ser 2002-51, Cl SG (A)
20.150%, 04/20/31 787 914
GNMA CMO, Ser 2003-58, Cl LG IO
5.500%, 05/17/29 4,036 837
GNMA CMO, Ser 2003-66, Cl WU
3.750%, 03/20/26 2,116 2,084
GNMA CMO, Ser 2003-67, Cl HA
3.500%, 10/20/26 5,719 5,611
GNMA CMO, Ser 2003-86, Cl LC IO
5.500%, 10/20/27 11,272 1,075
GNMA CMO, Ser 2004-80, Cl IP IO
5.500%, 07/20/34 11,445 1,487
Small Business Administration CMO,
Ser 2003-P10A, Cl 1 (A)
4.524%, 02/10/13 6,952 6,852
TVA
7.125%, 05/01/30 4,950 6,296
-----------
Total U.S. Government Agency Obligations
(Cost $443,858) ($ Thousands) 441,770
-----------
COMMERCIAL PAPER (I) -- 8.5%
FINANCIALS -- 8.5%
Brahms Funding (L)
2.972%, 05/20/05 33,507 33,372
Broadhollow Funding (L)
2.851%, 04/05/05 18,243 18,237
CCN Independence IV (L)
2.880%, 01/17/06 4,292 4,292
Capital One (L)
3.040%, 06/20/05 8,585 8,527
3.017%, 06/07/05 7,512 7,470
2.834%, 04/19/05 6,119 6,110
Cobbler Funding (L)
3.073%, 06/28/05 3,928 3,899
Daimler Chrysler
2.750%, 05/02/05 3,890 3,880
Eiffel Funding (L)
2.889%, 05/09/05 5,366 5,349
2.741%, 04/08/05 16,097 16,088
Golden Fish (L)
2.651%, 04/04/05 15,028 15,025
2.621%, 04/08/05 33,340 33,323
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
HSBC Finance (L)
2.714%, 04/20/05 $ 9,658 $ 9,644
Liberty Harbour (L)
2.894%, 04/18/05 16,109 16,087
Mitten (L)
2.803%, 04/14/05 18,243 18,224
2.762%, 04/11/05 10,731 10,723
Park Granada (L)
2.802%, 04/12/05 16,955 16,940
Park Sienna (L)
2.880%, 04/01/05 21,036 21,036
Rhineland Funding (L)
2.758%, 05/09/05 4,292 4,280
2.757%, 05/03/05 42,996 42,891
2.757%, 05/06/05 5,743 5,727
SBC Communications (L)
2.878%, 05/04/05 5,591 5,576
2.878%, 05/05/05 15,882 15,839
Thornburg Mortgage Capital (L)
2.844%, 04/19/05 19,735 19,707
UBS Financial
2.830%, 04/01/05 3,906 3,906
-----------
Total Commercial Paper
(Cost $346,153) ($ Thousands) 346,152
-----------
MASTER NOTES (L) -- 3.4%
Bank of America Master Notes
2.955%, 04/01/05 53,655 53,655
Bear Stearns Master Notes
3.050%,04/01/05 21,462 21,462
Societe Generale Master Notes
2.875%, 04/01/05 64,386 64,386
-----------
Total Master Notes
(Cost $139,503) ($ Thousands) 139,503
-----------
CERTIFICATES OF DEPOSIT -- 1.1%
SunTrust Bank
4.415%, 06/15/09 $ 1,675 1,664
U.S. Trust (A) (L)
2.925%, 09/14/05 21,462 21,462
Washington Mutual Bank (A) (L)
2.820%, 08/18/05 21,462 21,462
-----------
Total Certificates of Deposit
(Cost $44,599) ($ Thousands) 44,588
-----------
CASH EQUIVALENTS -- 0.2%
Evergreen Select Money Market Fund 582,184 582
SEI Daily Income Trust,
Prime Obligation Fund, Cl A+ 7,590,644 7,591
-----------
Total Cash Equivalents
(Cost $8,173) ($ Thousands) 8,173
-----------
- --------------------------------------------------------------------------------
74 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Face Amount ($ Thousands)/ Market Value
Description Shares/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
MUNICIPAL BONDS -- 0.2%
California State, Department of Water
Resources Power Supply, Ser E, RB
3.975%, 05/01/05 $ 1,750 $ 1,750
Fort Irwin, California, GO
5.300%, 12/15/35 1,560 1,486
Los Angeles County, California
Taxable Pension Obligation,
Ser D, RB, MBIA (G)
7.725%, 06/30/10 3,850 2,979
-----------
Total Municipal Bond
(Cost $5,896) ($ Thousands) 6,215
-----------
FOREIGN BONDS -- 0.1%
Bundesrepub Deutschland
4.750%, 07/04/34 1,425 2,050
4.000%, 01/04/37 2,525 3,223
-----------
Total Foreign Bonds
(Cost $5,371) ($ Thousands) 5,273
-----------
COMMON STOCK -- 0.0%
MCI (K) 14,013 349
-----------
Total Common Stock
(Cost $370) ($ Thousands) 349
-----------
OPTIONS -- 0.0%
90 Days Euro Call,
Expires 9/19/05, Strike Price $96 164 62
-----------
Total Options
(Cost $327) ($ Thousands) 62
-----------
REPURCHASE AGREEMENTS -- 9.6%
Barclays Capital
2.850%, dated 03/31/05, to be
repurchased on 04/01/05, repurchase
price $22,810,801 (collateralized by
various U.S. Government Obligations,
ranging in par value $3,475,562-
$20,146,844, 3.020%-3.410%,
06/01/06-08/30/07; with total
market value $23,265,285) (L) 22,809 22,809
Deutsche Bank
2.830%, dated 03/31/05, to be
repurchased on 04/01/05, repurchase
price $77,095,340 (collateralized by
various U.S. Government Obligations,
ranging in par value $236,883-
$28,329,890, 0.000%-7.500%,
01/01/09-12/01/37; with total
market value $78,631,065) (L) 77,089 77,089
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
2.800%, dated 03/31/05, to be
repurchased on 04/01/05, repurchase
price $40,995,681 (collateralized by
various U.S. Government Obligations,
ranging in par value $1,945,534-
$22,488,996, 1.750%-6.250%,
09/15/06-02/01/11; with total
market value $41,641,421) (L) $ 40,992 $ 40,992
Nomura
2.810%, dated 03/31/05, to be
repurchased on 04/01/05, repurchase
price $248,419,389 (collateralized by
various U.S. Government Obligations,
ranging in par value $1,910,000-
$50,000,000, 0.000%-7.000%,
04/20/05-05/16/13; with total
market value $253,473,856) 248,400 248,400
-----------
Total Repurchase Agreements
(Cost $389,290) ($ Thousands) 389,290
-----------
Total Investments -- 146.8%
(Cost $5,947,825) ($ Thousands) $ 5,952,500
-----------
WRITTEN OPTIONS -- 0.0%
April 2005, FNMA 30 Year Call
Expires 04/06/05,
Strike Price $101.71875 (111) --
April 2005, FNMA 30 Year Call
Expires 04/06/05,
Strike Price $101.765625 (56) (1)
June 2005 Ten Year Treasury Note Put,
Expires 05/20/05,
Strike Price $109 (234) (172)
June 2005 Long Bond Call,
Expires 05/20/05,
Strike Price $118 (141) (5)
May 2005 Ten Year Treasury Note Call,
Expires 04/22/05,
Strike Price $110 (178) (50)
June 2005 Ten Year Treasury Note Put,
Expires 05/20/05,
Strike Price $107 (79) (16)
Sept 2005 Ten Year Treasury Note Call,
Expires 08/26/05,
Strike Price $110 (138) (147)
Sept 2005 Ten Year Treasury Note Put,
Expires 08/26/05,
Strike Price $105 (45) (18)
Sept 2005 Ten Year Treasury Note Put,
Expires 08/26/05,
Strike Price $106 (199) (115)
-----------
Total Written Options
(Premium Received $(760)) ($ Thousands) (524)
-----------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 75
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Concluded)
March 31, 2005
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
A summary of the open Long (Short) futures contracts held by the Fund at March
31, 2005, is as follows: (see note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
Unrealized
Contract Appreciation
Type of Number of Value Expiration (Depreciation)
Contract Contracts ($Thousands) Date ($Thousands)
- --------------------------------------------------------------------------------
U.S. Ten Year Note (432) $(47,203) 06/23/05 $ 310
U.S. Five Year Note (241) (25,810) 06/23/05 78
U.S. Long Treasury Bond (767) (85,425) 06/23/05 (366)
Euro BOBL (140) (20,486) 06/08/05 (83)
90 Day Euro$ 1,375 330,086 09/21/05 (1,735)
90 Day Euro$ 298 71,237 03/15/06 (182)
-------
$(1,978)
-------
At March 31, 2005 there was the following Total Rate of Return Swap (TRS)
agreement outstanding.
- --------------------------------------------------------------------------------
Unrealized
Notional Amount Depreciation
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TRS Agreement with Citigroup ABS
CDS/CDO Group $ 11,400 $ (320)
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $4,054,546 ($Thousands).
* Non-income producing security.
+ 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, 2005.
(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 Directors.
(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, 2005. 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
securities as of March 31, 2005 was $74 ($ Thousands) and represented
0.00% of Net Assets.
(G) Zero-coupon security. Rate shown is the effective yield at the date of
purchase.
(H) Security in default on interest payments.
(I) Rate reported is the effective yield at time of purchase.
(J) Securities considered illiquid. The total value of such securities as of
March 31, 2005 was $7,633 ($ Thousands) and represented 0.19% of Net
Assets.
(K) This security or a partial position of this security is on loan at March
31, 2005 (see Note 7). The total value of securities on loan at March 31,
2005 was $1,281,255 ($ Thousands).
(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,
2005 was $1,317,562 ($ Thousands).
Cl -- Class
CMO -- Collateralized Mortgage Obligation
FFCA -- Federal Farm Credit Association
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
RB -- Revenue Bond
REMIC -- Real Estate Mortgage Investment Conduit
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
TVA -- Tennessee Valley Authority
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
76 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
STATEMENT OF NET ASSETS (Unaudited)
High Yield Bond Fund
March 31, 2005
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR WEIGHTINGS*:
21.7% Consumer Discretionary
17.6% Financials
16.1% Industrials
8.8% Materials
6.5% Health Care
5.9% Telecommunication Services
5.7% Energy
5.2% Short-Term Investments
3.6% Utilities
3.5% Asset-Backed Securities
2.2% Consumer Staples
1.6% Information Technology
1.0% Preferred/Convertible Stocks
0.4% U.S. Government Agency Obligations
0.1% Common Stock
0.1% Warrants
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 98.7%
CONSUMER DISCRETIONARY -- 25.5%
ALH
8.250%, 01/15/13 $ 1,125 $ 1,097
AMC Entertainment (A) (G)
8.000%, 03/01/14 4,255 4,064
AMF Bowling Worldwide (G)
10.000%, 03/01/10 1,980 2,029
Accuride
8.500%, 02/01/15 3,460 3,391
Adesa
7.625%, 06/15/12 1,000 1,000
Advanced Accessory
13.250%, 12/15/11 (B) 2,275 682
10.750%, 06/15/11 (G) 1,200 1,002
Affinia Group (A)
9.000%, 11/30/14 100 92
Ainsworth Lumber (A)
7.250%, 10/01/12 1,525 1,494
6.840%, 10/01/10 (D) (G) 2,800 2,842
American Casino & Entertainment
7.850%, 02/01/12 475 493
American Tower (G)
7.500%, 05/01/12 3,225 3,273
American Tower Escrow (E)
5.897%, 08/01/08 475 356
Ameristar Casinos
10.750%, 02/15/09 2,750 3,004
Amscan Holdings
8.750%, 05/01/14 3,485 3,380
Asbury Automotive (G)
9.000%, 06/15/12 7,000 7,140
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Autocam
10.875%, 06/15/14 $ 100 $ 87
Bear Creek
9.000%, 03/01/13 3,555 3,519
Blockbuster (A)
9.000%, 09/01/12 2,000 1,940
Boyd Gaming
9.250%, 08/01/09 750 794
6.750%, 04/15/14 620 612
Broder Brothers
11.250%, 10/15/10 2,135 2,338
11.250%, 10/15/10 (A) 325 356
Buhrmann
8.250%, 07/01/14 2,350 2,420
Builders Firstsource (D)
7.024%, 02/15/12 6,010 5,920
CBD Media Holdings (G)
9.250%, 07/15/12 2,350 2,397
CCO Holdings (G)
8.750%, 11/15/13 3,670 3,670
CSC Holdings, Ser B
8.125%, 07/15/09 750 791
8.125%, 08/15/09 2,740 2,891
CSK Auto
7.000%, 01/15/14 200 189
Cablevision Systems (A) (D) (G)
6.669%, 04/01/09 8,600 9,116
Carmike Cinemas (G)
7.500%, 02/15/14 600 589
Carrols (A) (G)
9.000%, 01/15/13 1,095 1,128
Charter Communications Holdings
25.050%, 01/15/11 (B) (G) 1,750 1,400
10.750%, 10/01/09 (G) 1,875 1,537
10.250%, 09/15/10 3,000 3,060
10.000%, 04/01/09 (G) 900 729
9.625%, 11/15/09 (G) 4,100 3,208
8.625%, 04/01/09 (A) (G) 175 135
8.375%, 04/30/14 (A) (G) 550 553
8.000%, 04/30/12 (A) 85 85
Collins & Aikman Floorcovering, Ser B
9.750%, 02/15/10 700 745
Collins & Aikman Products (G)
12.875%, 08/15/12 1,475 664
Cooper Standard Auto, (A) (G)
8.375%, 12/15/14 5,640 4,582
Cornell (G)
10.750%, 07/01/12 975 1,009
Dana
7.000%, 03/01/29 (G) 2,000 1,757
6.500%, 03/15/08 125 124
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 77
STATEMENT OF NET ASSETS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Delco Remy International (G)
11.000%, 05/01/09 $ 3,600 $ 3,312
9.375%, 04/15/12 4,120 3,461
6.660%, 04/15/09 (D) 360 360
Dennys (A) (G)
10.000%, 10/01/12 1,200 1,260
Dex Media (G)
8.060%, 11/15/13 (B) 3,150 2,394
8.000%, 11/15/13 (A) 2,140 2,215
Dex Media East (G)
12.125%, 11/15/12 1,490 1,766
Dura Operating, Ser B (G)
8.625%, 04/15/12 825 761
Dura Operating, Ser D (G)
9.000%, 05/01/09 1,250 987
E Tropicana (A)
8.750%, 04/01/12 1,025 1,012
Echostar
6.625%, 10/01/14 (A) (G) 400 386
6.375%, 10/01/11 825 808
5.750%, 10/01/08 1,150 1,133
Elizabeth Arden
7.750%, 01/15/14 375 386
Equinox Holdings
9.000%, 12/15/09 175 184
Eye Care Centers of America (A)
10.750%, 02/15/15 3,135 2,994
Fedders North America (G)
9.875%, 03/01/14 2,887 2,165
General Motors (G)
8.375%, 07/15/33 5,035 4,309
Goodyear Tire & Rubber
7.857%, 08/15/11 (G) 650 627
7.000%, 03/15/28 275 231
Gregg Appliances (A)
9.000%, 02/01/13 2,755 2,617
Group 1 Automotive
8.250%, 08/15/13 3,500 3,535
Herbst Gaming
8.125%, 06/01/12 825 858
7.000%, 11/15/14 (A) (G) 1,900 1,890
Hollywood Casino Shreveport (C) (G)
13.000%, 08/01/06 2,725 2,248
Hollywood Entertainment
9.625%, 03/15/11 3,605 4,074
Houghton Mifflin (G)
13.600%, 10/15/13 (B) 1,000 695
9.875%, 02/01/13 1,420 1,463
8.250%, 02/01/11 (G) 1,250 1,275
Hydrochem Industrial (A)
9.250%, 02/15/13 1,300 1,274
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ITT
7.375%, 11/15/15 $ 500 $ 537
Inn of the Mountain Gods
12.000%, 11/15/10 800 940
Intelsat
6.500%, 11/01/13 725 582
Interline Brands
11.500%, 05/15/11 1,269 1,447
Intrawest
7.500%, 10/15/13 1,200 1,203
Jo-Ann Stores
7.500%, 03/01/12 425 434
Jostens Holding (B)
10.950%, 12/01/13 3,600 2,628
Kabel Deutschland (A) (G)
10.625%, 07/01/14 3,617 3,997
LBI Media (B)
11.910%, 10/15/13 1,300 956
LCE Aquisition (A)
9.000%, 08/01/14 1,650 1,642
LIN Television (A)
6.500%, 05/15/13 100 97
La Quinta
7.400%, 09/15/05 2,190 2,212
Landry's Restaurants (A) (G)
7.500%, 12/15/14 3,060 2,968
Language Line
11.125%, 06/15/12 525 547
Las Vegas Sands (A)
6.375%, 02/15/15 300 285
Lazydays Rv Center
11.750%, 05/15/12 4,475 4,822
Leslie's Poolmart (A)
7.750%, 02/01/13 375 379
Levi Strauss (A) (G)
9.750%, 01/15/15 2,675 2,628
M/I Homes (A)
6.875%, 04/01/12 615 609
MGM Grand
6.000%, 10/01/09 2,400 2,367
Mandalay Resort Group, Ser B
10.250%, 08/01/07 50 54
Marquee (A) (G)
8.625%, 08/15/12 420 447
7.044%, 08/15/10 (D) 1,000 1,045
Mediacom Broadband LLC
11.000%, 07/15/13 425 455
Mediacom, Ser B LLC (G)
8.500%, 04/15/08 150 152
- --------------------------------------------------------------------------------
78 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Meritage Homes (A) (G)
6.250%, 03/15/15 $ 1,375 $ 1,293
Mohegan Tribal Gaming (A)
6.875%, 02/15/15 3,175 3,143
6.125%, 02/15/13 725 711
NTK Holdings (A) (B) (G)
10.590%, 03/01/14 3,200 1,704
Nationsrent
9.500%, 10/15/10 8,105 8,672
New Skies Satellites (A) (D)
7.438%, 11/01/11 3,000 3,060
Nexstar Holdings LLC (B)
13.730%, 04/01/13 1,225 962
Nextmedia Operating (G)
10.750%, 07/01/11 4,500 4,911
Nortek
8.500%, 09/01/14 5,550 5,356
North American Energy Partner
8.750%, 12/01/11 1,575 1,418
O'Charley's
9.000%, 11/01/13 1,025 1,112
Pantry
7.750%, 02/15/14 675 699
Park Place Entertainment
9.375%, 02/15/07 375 399
Paxson Communications
13.880%, 01/15/09 (B) 1,300 1,209
10.750%, 07/15/08 (G) 1,700 1,687
Penn National Gaming (A)
6.750%, 03/01/15 4,925 4,851
Perry Ellis International, Ser B
8.875%, 09/15/13 4,670 4,810
Petro Stopping
9.000%, 02/15/12 300 309
Phillips Van-Heusen
8.125%, 05/01/13 325 340
7.250%, 02/15/11 150 152
Pinnacle Entertainment
8.750%, 10/01/13 (G) 7,025 7,271
8.250%, 03/15/12 3,175 3,175
Premier Entertainment
10.750%, 02/01/12 875 893
Prestige Brands
9.250%, 04/15/12 375 396
Propex Fabrics (A)
10.000%, 12/01/12 1,785 1,767
Quebecor Media
11.125%, 07/15/11 3,775 4,171
RH Donnelley
10.875%, 12/15/12 (A) 3,025 3,486
10.875%, 12/15/12 (G) 2,945 3,394
6.875%, 01/15/13 (A) (G) 300 297
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Rogers
6.750%, 03/15/15 $ 475 $ 468
Rural/Metro (A)
9.875%, 03/15/15 375 385
Satellite Telecom
5.250%, 11/01/08 1,075 989
Scientific Games (A)
6.250%, 12/15/12 50 50
Sealy Mattress
8.250%, 06/15/14 875 912
Service
6.750%, 04/01/16 200 192
Simmons (G)
7.875%, 01/15/14 525 536
Sinclair Broadcast Group
8.750%, 12/15/11 1,820 1,911
8.000%, 03/15/12 (G) 470 479
4.875%, 07/15/18 (A) (B) 850 742
Six Flags
9.625%, 06/01/14 475 438
Sonic Automotive, Ser B
8.625%, 08/15/13 4,340 4,318
Spheris (A)
11.000%, 12/15/12 2,865 2,922
Stanadyne
10.000%, 08/15/14 2,075 2,137
Starwood Hotels Resorts
7.375%, 05/01/07 1,400 1,446
Stater Brothers Holdings (G)
8.125%, 06/15/12 4,340 4,188
6.510%, 06/15/10 (F) 1,070 1,059
Station Casinos
6.875%, 03/01/16 (G) 4,130 4,135
6.500%, 02/01/14 525 521
Sup Essx Com & Essx Group
9.000%, 04/15/12 950 964
Telenet Group Holdings (A) (B) (G)
22.650%, 06/15/14 1,325 1,002
Tenneco Automotive (A) (G)
8.625%, 11/15/14 2,125 2,067
Town Sports International (G)
9.625%, 04/15/11 2,000 2,100
Travelcenters of America
12.750%, 05/01/09 1,750 1,960
Turning Stone Casino Entertainment (A)
9.125%, 12/15/10 5,690 5,910
United Auto Group
9.625%, 03/15/12 1,520 1,604
United Components
9.375%, 06/15/13 1,700 1,696
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 79
STATEMENT OF NET ASSETS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
United Rentals North America (G)
7.000%, 02/15/14 $ 750 $ 686
Universal City Florida (A)
8.375%, 05/01/10 550 561
7.493%, 05/01/10 (D) 7,790 8,063
Vail Resorts (G)
6.750%, 02/15/14 325 319
Vertis
9.750%, 04/01/09 1,100 1,150
Vertis, Ser B (G)
10.875%, 06/15/09 1,175 1,134
Vicorp Restaurants
10.500%, 04/15/11 650 663
Videotron
6.875%, 01/15/14 1,900 1,910
Virgin Ricer Casino (A)
9.000%, 01/15/12 2,400 2,508
WMG Holdings (A) (D) (G)
7.385%, 12/15/11 2,345 2,404
Warner Music Group (A)
7.375%, 04/15/14 225 233
Wdac Subsidiary (A)
8.375%, 12/01/14 800 744
William Carter, Ser B
10.875%, 08/15/11 2,601 2,874
William Lyon Homes
10.750%, 04/01/13 105 116
Williams Scotsman
10.000%, 08/15/08 550 589
9.875%, 06/01/07 2,055 2,045
Wynn Las Vegas LLC (A)
6.625%, 12/01/14 5,530 5,254
XM Satellite Radio (D)
8.243%, 05/01/09 1,500 1,523
Yell Finance
12.216%, 08/01/11 (B) 1,590 1,582
10.750%, 08/01/11 875 985
Young Broadcasting
10.000%, 03/01/11 (G) 2,785 2,848
8.500%, 12/15/08 450 471
-----------
333,238
-----------
CONSUMER STAPLES -- 2.7%
American Seafood
10.125%, 04/15/10 1,100 1,188
Ames True Temper (D)
6.640%, 01/15/12 650 611
B & G Foods Holding
8.000%, 10/01/11 675 702
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Burns Philips Capital
10.750%, 02/15/11 (G) $ 900 $ 999
9.750%, 07/15/12 2,625 2,861
9.500%, 11/15/10 (A) 225 245
Chiquita Brands (G)
7.500%, 11/01/14 200 199
Commonwealth Brands (A)
10.625%, 09/01/08 1,650 1,765
DEL Laboratories
8.000%, 02/01/12 1,525 1,464
Del Monte (A) (G)
6.750%, 02/15/15 1,863 1,816
Duane Reade (A) (F)
7.614%, 12/15/10 400 404
Fleming (C)
10.125%, 04/01/08 2,175 739
9.250%, 06/15/10 (G) 400 136
Gereral Nutrition Center
8.500%, 12/01/10 325 276
Johnson Diversey Holdings (B)
9.680%, 05/15/13 650 559
Le-Natures (A)
10.000%, 06/15/13 4,550 4,959
Leiner Health Products
11.000%, 06/01/12 2,430 2,612
Levi Strauss (A) (D) (G)
7.730%, 04/01/12 2,540 2,496
Merisant (A) (G)
9.500%, 07/15/13 1,175 1,011
Natural Beef Pack
10.500%, 08/01/11 3,505 3,575
Pilgrims Pride
9.250%, 11/15/13 150 165
Rite Aid
12.500%, 09/15/06 325 358
7.700%, 02/15/27 (G) 300 248
6.875%, 08/15/13 (G) 275 256
6.875%, 12/15/28 (A) 725 562
Seminis Vegetable Seeds
10.250%, 10/01/13 3,625 4,278
-----------
34,484
-----------
ENERGY -- 7.1%
Baytex Energy
9.625%, 07/15/10 691 732
Belden & Blake
8.750%, 07/15/12 2,850 2,829
- --------------------------------------------------------------------------------
80 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Chesapeake Energy
7.750%, 01/15/15 (A) $ 1,000 $ 1,057
7.500%, 06/15/14 850 899
7.000%, 08/15/14 750 772
6.875%, 01/15/16 (G) 3,195 3,227
6.375%, 06/15/15 (A) 375 370
Colorado Interstate Gas
5.950%, 03/15/15 525 506
Delta Petroleum
7.000%, 04/01/15 225 217
Dynegy Holdings
7.125%, 05/15/18 150 118
6.875%, 04/01/11 (G) 1,200 1,065
El Paso
9.625%, 05/15/12 3,985 4,344
7.875%, 06/15/12 (G) 450 448
7.625%, 09/01/08 (G) 2,300 2,306
7.420%, 02/15/37 (G) 1,575 1,394
7.000%, 05/15/11 (G) 1,200 1,152
6.950%, 06/01/28 1,850 1,609
6.750%, 05/15/09 (G) 625 609
6.500%, 05/15/06 (G) 350 353
El Paso MTN
8.050%, 10/15/30 (G) 1,625 1,552
7.375%, 12/15/12 675 653
El Paso Natural Gas (F)
8.375%, 06/15/32 625 687
El Paso Natural Gas, Ser A
7.625%, 08/01/10 3,490 3,660
Energy Partners
8.750%, 08/01/10 1,355 1,450
Forest Oil
8.000%, 12/15/11 1,770 1,947
7.750%, 05/01/14 (G) 830 880
Giant Industries
11.000%, 05/15/12 284 324
8.000%, 05/15/14 2,175 2,175
Hanover Compressor
9.000%, 06/01/14 (G) 1,950 2,086
8.625%, 12/15/10 1,500 1,567
Hilcorp Energy (A)
10.500%, 09/01/10 5,000 5,550
Holly Energy Partners (A)
6.250%, 03/01/15 (A) 1,100 1,056
Markwest Energy (A)
6.875%, 11/01/14 2,750 2,750
Nevada Power
6.500%, 04/15/12 75 77
Newfield Exploration
8.375%, 08/15/12 1,700 1,836
7.625%, 03/01/11 (G) 1,950 2,096
Pacific Energy
7.125%, 06/15/14 425 440
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Parker Drilling
9.625%, 10/01/13 (G) $ 2,025 $ 2,238
7.660%, 09/01/10 5,505 5,698
Petroleum Geo-Services
10.000%, 11/05/10 2,789 3,131
Pogo Producing, Ser B
8.250%, 04/15/11 1,845 1,965
Premcor Refining
7.500%, 06/15/15 2,215 2,276
Pride International (G)
7.375%, 07/15/14 4,800 5,088
Range Resources
7.375%, 07/15/13 500 510
6.375%, 03/15/15 (A) (G) 1,475 1,416
SESI LLC (G)
8.875%, 05/15/11 2,000 2,135
Sonat
7.000%, 02/01/18 500 442
Stone Energy
6.750%, 12/15/14 875 849
Tesoro, Ser B (G)
9.625%, 11/01/08 4,014 4,305
United Refining (G)
10.500%, 08/15/12 5,500 5,528
Veneco (A)
8.750%, 12/15/11 1,325 1,365
Vintage Petroleum
8.250%, 05/01/12 1,325 1,434
-----------
93,173
-----------
FINANCIALS -- 14.4%
AMR Real Estate Partners
7.125%, 02/15/13 1,325 1,298
Alamosa Delaware (G)
8.500%, 01/31/12 975 1,010
Allstate Life Global
Funding II MTN (A) (D) (H)
2.800%, 04/13/06 1,114 1,114
American General Finance (D) (H)
2.810%, 04/14/06 3,121 3,121
Amkor Technology+
7.350%, 10/27/10 3,000 3,120
Arch Western Finance
6.750%, 07/01/13 1,835 1,844
6.750%, 07/01/13 (A) 3,560 3,578
CB Richard Ellis Service
11.250%, 06/15/11 950 1,064
9.750%, 05/15/10 (G) 646 730
CCFC+ (D)
8.670%, 08/26/09 2,970 3,170
CCN Bluegrass (D) (H)
2.914%, 02/21/06 2,898 2,898
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 81
STATEMENT OF NET ASSETS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Centerpoint Energy+ (D)
12.750%, 11/11/05 $ 2,000 $ 2,120
Chase Funding Mortgage Loan,
Ser 2003-4, Cl 2A2 (D)
3.150%, 05/25/33 1,522 1,524
Choctaw Resort Development Entity, (A)
7.250%, 11/15/19 2,125 2,104
Countrywide Home Loans MTN,
Ser L (H) (D)
3.120%, 03/21/06 3,656 3,656
Countrywide Home Loans MTN,
Ser M (D) (H)
3.152%, 06/23/05 1,783 1,783
3.040%, 11/30/05 4,904 4,904
2.980%, 08/26/05 1,337 1,337
2.940%, 05/20/05 892 892
2.810%, 01/31/06 981 981
Credit Suisse First Boston London (D)
9.650%, 03/24/10 3,849 3,768
Crum & Forster
10.375%, 06/15/13 1,000 1,120
Dennys+ (D)
8.445%, 08/17/10 2,500 2,584
El Paso Letter of Credit (D)
5.438%, 11/22/09 1,500 1,519
El Paso+ (A) (D)
5.438%, 11/22/09 1,494 1,515
Elan Financial (A)
7.750%, 11/15/11 (G) 2,405 1,798
6.490%, 11/15/11 (D) 420 315
Fairfax Financial Holdings
8.250%, 10/01/15 930 902
7.750%, 04/26/12 750 724
Felcor Lodging
9.000%, 06/01/11 150 161
Finova Group
7.500%, 11/15/09 2,400 1,038
Five Finance MTN (D) (H)
2.860%, 09/22/05 6,330 6,329
Global Cash
8.750%, 03/15/12 2,090 2,215
Harrier Finance Funding MTN (D) (H)
3.034%, 09/15/05 1,293 1,293
Harrier Finance Funding MTN,
Ser 1 (D) (H)
3.016%, 06/15/05 3,878 3,878
Host Marriot
7.125%, 11/01/13 200 198
6.375%, 03/15/15 (A) 5,650 5,396
Host Marriot, Ser M (G)
7.000%, 08/15/12 250 247
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Innophos Investment (A) (D)
10.771%, 02/15/15 $ 2,925 $ 2,896
Irish Life & Permanent MTN,
Ser X (H) (D)
2.862%, 04/21/06 4,146 4,145
Jackson National Life Funding (A) (D) (H)
2.690%, 04/01/06 9,808 9,808
Kgen Partners+
5.645%, 08/15/11 4,000 4,020
Lakeside Funding (D) (H)
2.790%, 04/08/05 2,703 2,703
Level 3+ (D)
9.370%, 12/01/11 4,000 4,180
Meristar Hospitality
10.500%, 06/15/09 75 80
Merrill Investors (D)
3.150%, 10/25/34 330 331
Metris+ (D)
10.600%, 05/06/07 2,250 2,374
Morgan Stanley, Ser EXL (D) (H)
2.720%, 05/04/06 892 892
Morgan Stanley, Ser EXLS (D) (H)
2.718%, 05/03/06 2,229 2,229
Murray+
10.640%, 01/31/11 5,000 5,294
Nationwide Building Society (A) (D) (H)
3.083%, 04/28/05 2,229 2,229
2.746%, 04/07/06 4,458 4,458
New ASAT
9.250%, 02/01/11 1,050 871
Noble Group (A)
6.625%, 03/17/15 1,725 1,603
Northern Rock (A) (D) (H)
2.730%, 05/03/06 3,923 3,923
Northwest Air+
9.830%, 11/23/10 (D) 1,000 1,027
8.330%, 11/19/09 3,000 3,015
Pacific Life Global Funding (A) (D) (H)
2.790%, 03/13/06 3,343 3,343
Pamco (A) (D)
4.093%, 05/01/10 2,500 2,175
Premium Asset Trust (A) (D) (H)
2.820%, 01/15/06 6,241 6,241
2.755%, 02/06/06 3,299 3,302
SLM MTN, Ser X (D) (H)
2.850%, 04/20/06 7,801 7,801
Senior Housing
7.875%, 04/15/15 2,025 2,167
Ship Finance MTN (D) (H)
8.500%, 12/15/13 6,350 6,286
Tech Olympic USA
7.500%, 03/15/11 475 456
- --------------------------------------------------------------------------------
82 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Telcordia Technologies+
5.780%, 09/15/12 $ 2,000 $ 2,010
Texas Genco+ (D)
4.450%, 12/08/11 6,490 6,580
Trustreet Properties (A)
7.500%, 04/01/15 1,150 1,144
United Airlines+ (D)
8.000%, 06/30/05 3,985 4,025
Universal City Development
11.750%, 04/01/10 1,850 2,109
Ventas Realty
6.625%, 10/15/14 575 571
Warner Chilcott+
5.340%, 01/04/12 5,000 5,050
White Pine Finance MTN, Ser 1 (D) (H)
2.696%, 11/01/05 1,962 1,961
-----------
188,547
-----------
HEALTH CARE -- 7.2%
Alliance Imaging (A) (G)
7.250%, 12/15/12 1,405 1,328
Bio-Rad Laboraties (A)
6.125%, 12/15/14 525 514
Concentra Operating
9.500%, 08/15/10 575 615
9.125%, 06/01/12 (A) 350 371
Coventry Health Care
6.125%, 01/15/15 325 325
5.875%, 01/15/12 475 475
Curative Health Services (G)
10.750%, 05/01/11 3,180 2,615
Davita (G)
7.250%, 03/15/15 3,925 3,846
6.625%, 03/15/13 1,750 1,732
EGL Acquisition (A)
7.625%, 02/01/15 7,295 7,295
HCA
7.500%, 11/06/33 (G) 1,425 1,451
6.375%, 01/15/15 700 695
6.250%, 02/15/13 890 883
Hanover Equipment Trust, Ser 2001 B
8.750%, 09/01/11 100 105
Healthsouth
7.625%, 06/01/12 3,250 3,120
Inergy (A)
6.875%, 12/15/14 1,950 1,872
Insight Health Services, Ser B (G)
9.875%, 11/01/11 7,225 7,080
Inverness Medical Innovatons
8.750%, 02/15/12 1,575 1,599
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Jean Countu Group (G)
8.500%, 08/01/14 $ 6,245 $ 6,065
K Hovnanian Enterprises (A)
6.000%, 01/15/10 225 220
Kinetic Concepts
7.375%, 05/15/13 568 591
Knowles Electronics
13.125%, 10/15/09 625 644
Medcath Holdings
9.875%, 07/15/12 1,800 1,935
Medical Device Manufacturing
10.000%, 07/15/12 425 455
Medquest, Ser B (G)
11.875%, 08/15/12 2,500 2,450
National Mentor (A)
9.625%, 12/01/12 2,195 2,288
National Nephrology (A)
9.000%, 11/01/11 750 831
Norcross Safety Products, Ser B
9.875%, 08/15/11 1,650 1,749
Polupore
8.750%, 05/15/12 750 701
Primedia (D)
8.164%, 05/15/10 975 1,033
Sybron Dental Specialties
8.125%, 06/15/12 850 912
Tenet Healthcare (A) (G)
9.250%, 02/01/15 6,550 6,534
Town Sports International (B)
11.000%, 02/01/14 8,115 4,768
Triad Hospitals (G)
7.000%, 11/15/13 360 354
US Oncology (A)
10.750%, 08/15/14 (G) 9,540 10,494
9.000%, 08/15/12 2,105 2,221
8.620%, 03/15/15 11,485 10,825
VWR International
8.000%, 04/15/14 125 127
6.875%, 04/15/12 225 226
WH Holdings
9.500%, 04/01/11 1,800 1,944
Warner Chilcott (A)
8.750%, 02/01/15 1,000 1,005
-----------
94,293
-----------
INDUSTRIALS -- 18.8%
Aavid Thermal Technology
12.750%, 02/01/07 1,600 1,728
Acih (B)
1.780%, 12/15/12 1,450 1,022
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 83
STATEMENT OF NET ASSETS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Advanstar Communications (G)
10.750%, 08/15/10 $ 1,425 $ 1,585
Advertising Direct (A)
9.250%, 11/15/12 3,570 3,748
Aearo
8.250%, 04/15/12 685 723
Ainsworth Lumber
6.750%, 03/15/14 2,575 2,414
Air 2 US (A)
8.027%, 10/01/19 2,720 2,457
Alderwoods Group (A)
7.750%, 09/15/12 550 562
Allied Holdings, Ser B (G)
8.625%, 10/01/07 1,010 757
Allied Waste North America
7.375%, 04/15/14 (A) (G) 225 204
6.375%, 04/15/11 1,610 1,497
6.125%, 02/15/14 (G) 150 134
5.750%, 02/15/11 (A) 900 819
Allied Waste North America, Ser B (G)
8.875%, 04/01/08 200 207
8.500%, 12/01/08 4,700 4,817
American Commercial Lines
9.500%, 02/15/15 950 981
Ames True Temper
10.000%, 07/15/12 6,025 5,121
Amsted Industries (A)
10.250%, 10/15/11 1,875 2,044
Associated Material (B)
11.560%, 03/01/14 1,725 1,199
BE Aerospace, Ser B (G)
8.875%, 05/01/11 100 101
Blount
8.875%, 08/01/12 1,895 1,999
Borden (A) (D)
7.410%, 07/15/10 1,873 1,939
Brickman Group, Ser B
11.750%, 12/15/09 275 311
Buhrmann
7.875%, 03/01/15 450 450
CDRV Investors (A) (B)
9.920%, 01/01/15 6,145 3,702
Case New Holland (A)
9.250%, 08/01/11 (G) 1,575 1,677
6.000%, 06/01/09 400 380
Caterpillar Financial Services
MTN, Ser F (D) (H)
2.730%, 07/09/05 2,229 2,229
Cedar Brakes (G)
8.500%, 02/15/14 1,372 1,594
Cenveo (A) (G)
7.875%, 12/01/13 3,990 3,561
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Consolidated Containers (B)
12.740%, 06/15/09 $ 1,275 $ 1,103
Coinmach
9.000%, 02/01/10 1,240 1,265
Columbus Mckinnon
10.000%, 08/01/10 1,675 1,822
Consolidated Holdings (A)
9.750%, 04/01/12 925 980
Continental Airlines (G)
8.000%, 12/15/05 2,495 2,458
Continental Airlines, Ser 982A
6.410%, 04/15/07 1,171 1,085
Contenintal Airlines, Ser RJ04 (G)
9.558%, 09/01/19 1,503 1,501
Cooper Standard Auto (A) (G)
7.000%, 12/15/12 610 567
Corrections
6.250%, 03/15/13 1,300 1,248
Crystal US Holdings (A) (B) (G)
10.450%, 10/01/14 981 687
DR Horton
5.625%, 01/15/16 1,750 1,632
Dayton Superior (G)
13.000%, 06/15/09 3,660 3,294
10.750%, 09/15/08 (A) 3,250 3,185
Delta Air Lines, Ser 01-1, Cl A-2 (G)
7.111%, 09/18/11 2,250 2,128
Delta Air Lines, Ser 00-1, Cl A2 (G)
7.570%, 11/18/10 5,250 4,894
Douglas Dynamics (A) (G)
7.750%, 01/15/12 300 294
Dow Jones (A) (G)
8.000%, 12/29/09 10,500 10,198
EB Aerospace
8.500%, 10/01/10 2,250 2,452
Erico International
8.875%, 03/01/12 350 368
Gencorp
9.500%, 08/15/13 3,739 4,169
General Binding
9.375%, 06/01/08 1,000 1,005
Goodman Global Holdings (A) (D)
5.760%, 06/15/12 525 520
Great Lakes Dredge & Dock (G)
7.750%, 12/15/13 1,150 954
Gulfmark Offshore (A)
7.750%, 07/15/14 2,875 2,961
H-lines Finance Holdings (A) (B)
10.400%, 04/01/13 2,425 1,891
Harvest Operations
7.875%, 10/15/11 1,900 1,876
- --------------------------------------------------------------------------------
84 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Horizon Lines (A)
9.000%, 11/01/12 $ 2,850 $ 3,035
Huntsman Advance Materials (A)
11.000%, 07/15/10 1,000 1,147
Interface
9.500%, 02/01/14 550 579
Invensys PLC (A)
9.875%, 03/15/11 3,750 3,816
Iron Mountain (G)
6.625%, 01/01/16 600 547
Iwo Escrow (A) (B)
10.110%, 01/15/15 500 320
JB Poindexter (A)
8.750%, 03/15/14 325 323
K&f Acquisition (A)
7.750%, 11/15/14 1,750 1,697
Kansas City Southern
9.500%, 10/01/08 1,695 1,848
Kraton Polymers LLC (A) (G)
8.125%, 01/15/14 2,400 2,274
L-3 Communications
6.125%, 07/15/13 1,525 1,506
5.875%, 01/15/15 4,100 3,936
MMI Products, Ser B
11.250%, 04/15/07 4,000 3,980
Maax Holdings (A) (B)
9.240%, 12/15/12 5,450 3,106
Meritage Homes (G)
7.000%, 05/01/14 2,750 2,750
MQ Associates (B)
12.245%, 08/15/12 3,200 1,824
Mueller Group
10.000%, 05/01/12 (G) 3,610 3,899
7.493%, 11/01/11 (D) 2,265 2,299
Mueller Holdings (B)
15.51%, 04/15/14 5,155 3,557
NCL (A)
10.625%, 07/15/14 2,400 2,481
National Waterworks, Ser B
10.500%, 12/01/12 1,050 1,168
Navistar International
7.500%, 06/15/11 (G) 4,940 4,977
6.250%, 03/01/12 (A) 725 689
Nebraska Book
8.625%, 03/15/12 925 895
Northwest Airlines (B)
14.75%, 11/15/23 875 510
OMI
7.625%, 12/01/13 1,000 1,039
Park-Ohio (A)
8.375%, 11/15/14 2,100 2,027
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ply Gem
9.000%, 02/15/12 $ 2,700 $ 2,552
Polymer Holdings (A) (B)
12.002%, 07/15/14 3,125 1,938
Polypore (G) (A) (B)
12.561%, 10/01/12 3,525 2,045
Primedia
8.000%, 05/15/13 1,225 1,250
Progress (A)
7.750%, 04/01/12 1,030 1,030
Quality Distributors
9.000%, 11/15/10 2,400 2,352
RMCC Acquisition (A) (G)
9.500%, 11/01/12 1,700 1,666
Rainbow National Services (A)
10.375%, 09/01/14 75 84
8.750%, 09/01/12 1,625 1,747
Riddell Bell Holdings (A)
8.375%, 10/01/12 1,500 1,538
Rural Metro Holding (A) (B)
10.560%, 03/15/16 1,850 962
Schuler Homes
10.500%, 07/15/11 425 470
Service
6.500%, 03/15/08 3,500 3,509
Simmons (A) (B)
9.190%, 12/15/14 3,500 2,188
Southern Star
8.500%, 08/01/10 3,000 3,195
Stanadyne (A) (B)
11.060%, 02/15/15 2,625 1,523
Standard Pacific (G)
7.750%, 03/15/13 1,230 1,282
TD Funding (G)
8.375%, 07/15/11 6,255 6,419
Tech Olympic USA (G)
10.375%, 07/01/12 5,660 6,198
Tempur Pedic (A)
10.250%, 08/15/10 1,170 1,313
Terex
9.250%, 07/15/11 1,000 1,090
7.375%, 01/15/14 (G) 1,925 1,964
Terex, Ser B
10.375%, 04/01/11 62 67
Thermadyne Holdings
9.250%, 02/01/14 4,925 4,728
US Concrete
8.375%, 04/01/14 1,625 1,617
United Rentals
7.750%, 11/15/13 7,550 7,324
Unova
7.000%, 03/15/08 400 408
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 85
STATEMENT OF NET ASSETS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Vanguard Health Holding (B) (G)
9.280%, 10/01/15 $ 3,900 $ 2,603
Valor Telecom (A)
7.750%, 02/15/15 3,050 3,035
Vanguard Health (G)
9.000%, 10/01/14 9,540 10,041
Visant
7.625%, 10/01/12 800 792
Westinghouse Air Brake
6.875%, 07/31/13 1,000 995
Xerox
7.625%, 06/15/13 (G) 655 684
6.875%, 08/15/11 2,890 2,944
Xerox Capital (G)
8.000%, 02/01/27 3,200 3,200
-----------
245,481
-----------
INFORMATION TECHNOLOGY -- 2.0%
Activant Solutions
10.500%, 06/15/11 1,025 1,092
9.090%, 04/01/10 (D) (G) 1,100 1,122
Advanced Micro Devices (A)
7.750%, 11/01/12 2,825 2,776
Amkor Technologies (G)
7.125%, 03/15/11 850 716
Communications & Power
8.000%, 02/01/12 200 203
Flextronics International
6.250%, 11/15/14 200 190
Freescale Semiconductor
7.125%, 07/15/14 945 987
5.410%, 07/15/09 (D) (G) 1,075 1,103
Magnachip Semiconductor (A)
8.000%, 12/15/14 1,600 1,636
6.875%, 12/15/11 1,000 1,010
6.260%, 12/15/11 (D) (G) 2,995 3,070
On Semiconductor (A) (E) (G)
15.800%, 08/04/11 1,675 2,554
Panamsat Holdings (A) (B)
10.500%, 11/01/14 5,855 3,806
Rhythms Netconnections (C) (F)
10.590%, 04/15/09 1,126 --
Sanmina SCI (A) (G)
6.750%, 03/01/13 3,075 2,883
Smart Modular (A)
8.350%, 04/01/12 2,200 2,216
Viasystems
10.500%, 01/15/11 875 866
-----------
26,230
-----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MATERIALS -- 10.2%
AEP Industries
7.875%, 03/15/13 $ 150 $ 151
AK Steel (G)
7.875%, 02/15/09 525 514
7.750%, 06/15/12 300 289
Acetex
10.875%, 08/01/09 1,425 1,518
Anchor Glass Container
11.000%, 02/15/13 550 496
Appleton Papers
9.750%, 06/15/14 5,175 5,408
Berry Plastics
10.750%, 07/15/12 1,050 1,184
Boise Cascade LLC (A)
7.125%, 10/15/14 50 51
Bway
10.000%, 10/15/10 4,150 4,409
Cascade (A)
7.250%, 02/15/13 425 436
Century Aluminum (A) (G)
7.500%, 08/15/14 875 884
Consolidated Container Capital (G)
10.125%, 07/15/09 800 744
Constar International (D)
6.149%, 02/15/12 1,160 1,160
Crompton
9.875%, 08/01/12 4,475 5,124
8.710%, 08/01/10 (D) 2,500 2,787
Crown Cork & Seal
7.000%, 12/15/06 1,775 1,815
Crown Euro Holdings
10.875%, 03/01/13 5,250 6,090
9.500%, 03/01/11 540 593
Equistar Chemical
10.625%, 05/01/11 5,260 5,904
10.125%, 09/01/08 5,497 6,074
Fastentech (A) (G)
11.500%, 05/01/11 1,450 1,559
Foamex (G)
9.875%, 06/15/07 4,500 2,430
Freeport-McMoran
10.125%, 02/01/10 400 444
6.875%, 02/01/14 (G) 3,700 3,644
Georgia Gulf
7.125%, 12/15/13 600 622
Georgia-Pacific
9.375%, 02/01/13 1,415 1,581
7.750%, 11/15/29 (G) 1,370 1,493
- --------------------------------------------------------------------------------
86 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Graham Packaging (A) (G)
9.875%, 10/15/14 $ 8,450 $ 8,450
8.500%, 10/15/12 425 425
Hexcel (A)
6.750%, 02/01/15 50 48
Huntsman International
11.625%, 10/15/10 (G) 1,375 1,609
10.160%, 07/15/11 (A) 1,500 1,605
9.875%, 03/01/09 275 297
5.000%, 02/16/08 1 60
IMCO Recycling
10.375%, 10/15/10 350 389
Intertape Polymer
8.500%, 08/01/14 525 516
Ispat Inland
9.750%, 04/01/14 (G) 975 1,141
9.310%, 04/01/10 (D) 1,600 1,744
Jarden (A)
9.750%, 05/01/12 2,350 2,503
Lyondell Chemical, Ser A
9.625%, 05/01/07 4,825 5,175
Maax
9.750%, 06/15/12 650 663
Mercer International
9.250%, 02/15/13 5,325 5,032
Methanex
8.750%, 08/15/12 2,720 3,142
Nalco (G)
8.875%, 11/15/13 4,000 4,280
Newark Group
9.750%, 03/15/14 1,825 1,852
Novelis (A)
7.250%, 02/15/15 4,075 3,994
Oregon Steel Mills (G)
10.000%, 07/15/09 775 839
Owens-Brockway Glass
8.875%, 02/15/09 350 374
8.750%, 11/15/12 (G) 3,895 4,255
Owens-Illinois (G)
7.350%, 05/15/08 875 899
PQ (A)
7.500%, 02/15/13 375 369
Peabody Energy
5.875%, 04/15/16 2,285 2,205
Rockwood Specialties Group
10.625%, 05/15/11 400 444
7.500%, 11/15/14 (A) (G) 675 675
Ryerson Tull
8.250%, 12/15/11 1,440 1,368
8.250%, 12/15/11 (A) 3,850 3,658
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Solo Cup (G)
8.500%, 02/15/14 $ 8,575 $ 8,575
Tekni-Plex (A) (G)
8.750%, 11/15/13 1,900 1,800
Tekni-Plex, Ser B
12.750%, 06/15/10 1,175 981
Wolverine Tube
10.500%, 04/01/09 4,380 4,621
7.375%, 08/01/08 (A) (G) 2,245 2,166
-----------
133,558
-----------
TELECOMMUNICATION SERVICES -- 6.9%
American Towers
7.250%, 12/01/11 500 516
Call-Net Enterprises
10.625%, 12/31/08 1,375 1,444
Centennial (G)
8.125%, 02/01/14 4,375 4,484
Centennial Communications (G)
10.750%, 12/15/08 924 952
10.125%, 06/15/13 4,360 4,818
Cincinnati Bell
8.375%, 01/15/14 (G) 2,150 2,118
7.000%, 02/15/15 350 332
Citi Telecom
8.750%, 02/01/15 650 634
Citizens Communications
7.625%, 08/15/08 750 787
6.250%, 01/15/13 525 493
Crown Castle International (A)
7.500%, 12/01/13 500 549
Crown Castle International, Ser B (G)
7.500%, 12/01/13 775 851
Dobson Communications
10.875%, 07/01/10 4,100 3,628
8.875%, 10/01/13 (G) 700 549
GCI (A)
7.250%, 02/15/14 2,100 2,037
Grande Communications Holdings
14.000%, 04/01/11 1,750 1,785
Horizon PCS (A)
11.375%, 07/15/12 350 397
Intelsat Bermuda (A)
8.625%, 01/15/15 (G) 25 25
8.250%, 01/15/13 2,475 2,500
7.805%, 01/15/12 (D) (G) 1,800 1,827
Level 3 Communications (G)
9.125%, 05/01/08 4,675 3,892
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 87
STATEMENT OF NET ASSETS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MCI
8.735%, 05/01/14 $ 4,500 $ 4,950
7.688%, 05/01/09 (G) 500 520
6.908%, 05/01/07 (G) 1,003 1,021
New Skies Satellites (A)
9.125%, 11/01/12 25 25
Nextel Communications
6.875%, 10/31/13 2,935 3,060
5.950%, 03/15/14 (G) 275 274
Panamast (G)
9.000%, 08/15/14 5,655 5,966
Primus Telecommunications (G)
12.750%, 10/15/09 175 161
8.000%, 01/15/14 5,000 3,600
Qwest (A) (G)
9.125%, 03/15/12 75 82
Qwest Capital Funding (G)
7.900%, 08/15/10 2,250 2,154
7.750%, 08/15/06 2,225 2,250
7.250%, 02/15/11 1,100 1,026
7.000%, 08/03/09 150 141
Qwest Communications
International (A) (D)
6.294%, 02/15/09 950 957
Qwest Services (A)
14.000%, 12/15/10 2,475 2,865
Rogers Wireless
8.000%, 12/15/12 (G) 5,025 5,163
7.500%, 03/15/15 (G) 745 769
7.250%, 12/15/12 475 484
6.135%, 12/15/10 (D) 4,665 4,828
Rural Cellular
9.875%, 02/01/10 (G) 400 402
9.750%, 01/15/10 100 92
8.250%, 03/15/12 1,000 1,020
7.510%, 03/15/10 (F) (G) 1,350 1,384
Rural Cellular, Ser B (G)
9.625%, 05/15/08 1,210 1,156
Securus Technologies (A)
11.000%, 09/01/11 850 854
Spectrasite
8.250%, 05/15/10 650 678
Telcordia Technologies (A)
10.000%, 03/15/13 1,000 993
Time Warner Telecommunications
Holdings
10.125%, 02/01/11 (G) 125 121
9.250%, 02/15/14 1,750 1,680
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Triton
8.500%, 06/01/13 $ 900 $ 828
Two Escrow (A) (F)
6.320%, 01/15/12 500 510
US Unwired, Ser B
10.000%, 06/15/12 (G) 850 941
7.260%, 06/15/10 (D) 1,850 1,910
US West Communications (G)
5.625%, 11/15/08 375 372
Ubiquitel (G)
9.875%, 03/01/11 975 1,075
9.875%, 03/01/11 (A) 875 965
Zeus Special Sub (A) (B)
9.430%, 02/01/15 250 158
-----------
90,053
-----------
UTILITIES -- 3.9%
Airgas
9.125%, 10/01/11 2,500 2,719
Aquila
9.000%, 11/15/21 1,500 1,530
8.000%, 03/01/23 (G) 3,750 3,834
CMS Energy (G)
9.875%, 10/15/07 2,780 3,016
Calpine
9.875%, 12/01/11 (A) 1,075 849
8.750%, 07/15/07 (G) 520 405
8.500%, 07/15/10 (A) (G) 950 746
8.410%, 07/15/07 (A) (D) (G) 7,112 6,080
7.750%, 04/15/09 (G) 300 207
Edison Mission Energy (G)
9.875%, 04/15/11 450 520
Midwest Generation LLC (G)
8.750%, 05/01/34 4,111 4,584
Mirant Americas (C) (G)
8.500%, 10/01/21 1,925 2,036
Mission Energy Holding
13.500%, 07/15/08 5,095 6,114
NCG, Ser B
8.316%, 06/01/27 3,625 2,864
Northwest Pipeline
8.125%, 03/01/10 425 455
Reliant Energy
9.250%, 07/15/10 225 241
6.750%, 12/15/14 400 373
Reliant Resources (G)
9.500%, 07/15/13 645 701
- --------------------------------------------------------------------------------
88 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Sonat
7.625%, 07/15/11 $ 1,950 $ 1,925
Southern Natural Gas
8.875%, 03/15/10 725 786
Teco Energy
7.500%, 06/15/10 1,290 1,374
7.000%, 05/01/12 1,500 1,566
Tennessee Gas Pipeline
7.500%, 04/01/17 1,000 1,074
Texax Genco LLC (A)
6.875%, 12/15/14 1,100 1,103
Transcontinental Gas Pipeline
7.250%, 12/01/26 2,985 3,149
Williams (A) (D)
5.993%, 05/01/09 2,000 2,115
-----------
50,366
-----------
Total Corporate Obligations
(Cost $1,305,373) ($ Thousands) 1,289,423
-----------
COMMERCIAL PAPER (I) -- 5.7%
FINANCIALS -- 5.7%
Brahms Funding (H)
2.972%, 05/20/05 6,960 6,932
Broadhollow Funding (H)
2.851%, 04/05/05 3,789 3,788
CCN Independence IV (H)
2.880%, 01/17/06 892 892
Capital One (H)
3.040%, 06/20/05 1,783 1,771
3.017%, 06/07/05 1,560 1,552
2.834%, 04/19/05 1,271 1,269
Cobbler Funding (H)
3.073%, 06/28/05 816 810
DaimlerChrysler
3.194%, 07/14/05 3,460 3,428
Eiffel Funding (H)
2.889%, 05/09/05 1,114 1,111
2.741%, 04/08/05 3,343 3,342
General Electric
2.730%, 04/01/05 1,341 1,341
Golden Fish (H)
2.651%, 04/04/05 3,122 3,121
2.621%, 04/08/05 6,925 6,922
HSBC Finance (H)
2.714%, 04/20/05 2,006 2,003
Liberty Harbour (H)
2.894%, 04/18/05 3,346 3,341
Mitten (H)
2.803%, 04/14/05 3,789 3,785
2.762%, 04/11/05 2,229 2,227
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Park Granada (H)
2.802%, 04/12/05 $ 3,522 $ 3,519
Park Sienna (H)
2.880%, 04/01/05 4,370 4,370
Rhineland Funding (H)
2.758%, 05/09/05 892 889
2.757%, 05/03/05 8,931 8,909
2.757%, 05/06/05 1,193 1,190
SBC Communications (H)
2.878%, 05/04/05 1,161 1,158
2.878%, 05/05/05 3,299 3,290
Thornburg Mortgage Capital (H)
2.844%, 04/19/05 4,099 4,093
-----------
Total Commercial Paper
(Cost $75,053) ($ Thousands) 75,053
-----------
ASSET-BACKED SECURITIES -- 4.1%
AUTOMOTIVE -- 0.2%
Drivetime Auto Owner Trust, Ser 2004-C,
Cl A1 (D) (H)
2.830%, 11/15/05 283 283
Drivetime Auto Owner Trust, Ser 2005-A,
Cl A1 (D) (H)
2.870%, 03/15/06 1,490 1,490
-----------
1,773
-----------
MORTGAGE RELATED SECURITIES -- 3.9%
Aire Valley Mortgages, Ser 2004-1A,
Cl 1A (D) (H)
2.850%, 09/20/05 2,853 2,853
Blue Heron Funding,
Ser 9A, Cl A1 (D) (H)
2.880%, 02/22/06 4,458 4,458
Cheyne High Grade, Ser 2004-1A,
Cl A1 (D) (H)
2.791%, 11/10/05 2,563 2,563
Commodore, Ser 2003-2A,
Cl A1MM (D) (H)
3.100%, 06/14/05 2,051 2,051
Countrywide Asset-Backed Securities
Certificates, Ser 2004-BC1, Cl A1 (D)
3.080%, 04/25/34 2,897 2,897
Davis Square Funding, Ser 2004-2A,
Cl AMMB (D) (H)
2.776%, 04/06/05 2,229 2,229
Davis Square Funding, Ser 2004-2A,
Cl AMMC (D) (H)
2.776%, 05/06/05 2,229 2,229
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 89
STATEMENT OF NET ASSETS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Duke Funding, Ser 2004-6B,
Cl A1S1 (D) (H)
2.680%, 04/08/05 $ 2,229 $ 2,229
Harborview Mortgage Loan Trust,
Ser 2005-1, Cl X IO (D)
1.874%, 03/19/35 22,725 781
Harwood Street Funding I, Ser 2004-1A,
Cl NOTE (D) (H)
2.900%, 09/20/05 5,662 5,662
Orchid Structured Finance,
Ser 2003-1A, Cl A1MM (D) (H)
2.920%, 05/18/05 4,635 4,635
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AMM2 (D) (H)
2.900%, 11/25/05 8,093 8,093
RMAC, Ser 2004-NS3A, Cl A1 (D) (H)
2.800%, 06/12/05 1,873 1,873
Residential Asset Mortgage Products,
Ser 2003-RS1, Cl AII (D)
3.240%, 02/25/33 548 550
Saturn Ventures (D) (H)
2.806%, 08/08/05 4,146 4,146
TIAA Real Estate, Ser 2003 1A,
Cl A (D) (H)
2.880%, 03/28/06 2,879 2,879
Whitehawk CDO Funding, Ser 2004-1A,
Cl AMMB (D) (H)
3.040%, 06/15/05 1,114 1,114
-----------
51,242
-----------
Total Asset-Backed Securities
(Cost $53,013) ($ Thousands) 53,015
-----------
MASTER NOTES (H) -- 2.2%
Bank of America Master Notes
2.955%, 04/01/05 11,145 11,145
Bear Stearns Master Notes
3.050%,04/01/05 4,458 4,458
Societe Generale Master Notes
2.875%, 04/01/05 13,374 13,374
-----------
Total Master Notes
(Cost $28,977) ($ Thousands) 28,977
-----------
CASH EQUIVALENT -- 1.6%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A++ 21,068,774 21,069
-----------
Total Cash Equivalent
(Cost $21,069) ($ Thousands) 21,069
-----------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
PREFERRED/CONVERTIBLE STOCKS -- 1.2%
Crown Castle* 57,000 $ 2,871
General Nutrition Center PIK 1,750 1,400
Granite* 1,525 686
Paxson Communications PIK* 3 20
Paxson Communications PIK (G)* 838 5,697
Primedia, Ser D 26,500 2,696
Primedia, Ser H 6,000 576
Rural Cellular PIK (G)* 1,176 717
Rural Cellular, Ser B PIK* 950 846
-----------
Total Preferred/Convertible Stocks
(Cost $17,016) ($ Thousands) 15,509
-----------
CERTIFICATES OF DEPOSIT (D) (H) -- 0.7%
U.S. Trust
2.925%, 09/14/05 $ 4,458 4,458
Washington Mutual Bank
2.820%, 08/18/05 4,458 4,458
-----------
Total Certificates of Deposit
(Cost $8,916) ($ Thousands) 8,916
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.5%
FHLMC
6.120%, 10/11/05 2,320 2,279
FHLMC CMO, Ser 2621, Cl LJ IO
5.500%, 12/15/26 4,096 453
FHLMC, Ser 2603, Cl LI IO
5.500%, 09/15/28 2,079 288
FHLMC, Ser 2696, Cl NI IO
5.500%, 03/15/23 2,633 184
FHLMC, Ser FHR 2596, Cl IJ
5.000%, 01/15/17 6,899 802
FNMA (I)
2.707%, 05/18/05 70 70
FNMA (G) (I)
2.820%, 06/01/05 2,115 2,105
FNMA CMO, Ser 342, Cl 2 IO
6.000%, 09/01/33 699 158
FNMA, Ser 2003-37, Cl LG IO
5.500%, 05/25/32 2,402 290
-----------
Total U.S. Government Agency Obligations
(Cost $6,475) ($ Thousands) 6,629
-----------
- --------------------------------------------------------------------------------
90 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 0.1%
Crown Castle International* 19,700 $ 316
Telewest Global (G)* 50,595 900
-----------
Total Common Stock
(Cost $1,018) ($ Thousands) 1,216
-----------
Number of
Warrants
WARRANTS -- 0.1%
American Tower, Expires 08/01/08* 725 163
Bear Stearns, Expires 04/01/11* 1,750 18
Horizon PCS, Expires 10/01/10* (F) 3,100 --
Huntsman, Expires 05/15/11* 800 419
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 --
Mueller Holdings,
Expires 04/15/14* 5,155 412
Pegasus Communications,
Expires 01/01/07* (F) 250 --
Travelcenters of America,
Expires 05/01/09* 2,500 --
Travelcenters of America,
Expires 05/01/09* (F) 7,500 1
-----------
Total Warrants
(Cost $340) ($ Thousands) 1,013
-----------
REPURCHASE AGREEMENTS (H) -- 2.3%
Barclays Capital
2.850%, dated 03/31/05, to be
repurchased on 04/01/05, repurchase
price $4,738,156 (collateralized by
various U.S. Government Obligations,
ranging in par value $721,928-
$4,184,811, 3.020%-3.410%,
06/01/06-08/30/07; with
total market value $4,832,559) $ 4,738 4,738
Deutsche Bank
2.830%, dated 03/31/05, to be
repurchased on 04/01/05, repurchase
price $16,013,894 (collateralized by
various U.S. Government Obligations,
ranging in par value $404,117-
$4,671,312, 0.000%-7.500%,
01/01/09-12/01/37; with total
market value $16,332,888) 16,013 16,013
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
2.800%, dated 03/31/05, to be
repurchased on 04/01/05, repurchase
price $8,515,437 (collateralized by
various U.S. Government Obligations,
ranging in par value $404,117-
$4,671,312, 1.750%-6.250%,
09/15/06-02/01/11; with total
market value $8,649,567)(H) $ 8,515 $ 8,515
-----------
Total Repurchase Agreements
(Cost $29,266) ($ Thousands) 29,266
-----------
Total Investments -- 117.2%
(Cost $1,546,516) ($ Thousands) 1,530,086
-----------
OTHER ASSETS AND LIABILITIES -- (17.2)%
Payable Upon Return on Securities Loaned (273,678)
Payable for Investment Securities Purchased (12,787)
Payable for Fund Shares Redeemed (5,103)
Investment Advisory Fees Payable (509)
Income Distributions Payable (482)
Administration Fees Payable (392)
Shareholder Servicing Fees Payable (55)
Other Assets and Liabilities, Net 68,670
-----------
Total Other Assets and Liabilities (224,336)
-----------
Net Assets -- 100.0% $ 1,305,750
===========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 1,446,890
Accumulated net realized loss on investments
and futures contracts (124,793)
Net unrealized depreciation on investments (16,430)
Net unrealized appreciation
on futures contracts 83
-----------
Net Assets $ 1,305,750
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($1,305,749,980 / 152,522,200 shares) $8.56
===========
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 91
STATEMENT OF NET ASSETS (Unaudited)
High Yield Bond Fund (Concluded)
March 31, 2005
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
A summary of the open Short Futures contracts held by the Fund at March 31,
2005, is as follows: (see note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
Contract Unrealized
Type of Number of Value Expiration Depreciation
Contract Contracts ($Thousands) Date ($Thousands)
- --------------------------------------------------------------------------------
U.S. Long Treasury
Bond (CBT) (47) $(5,235) 06/23/05 $83
---
* 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, 2005. 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, 2005.
(E) Zero-coupon security. Rate shown is the effective yield at the date of
purchase.
(F) Securities considered illiquid. The total value of such securities as of
March 31, 2005 was $413,500.
(G) This security or a partial position of this security is on loan at March
31, 2005 (see Note 7). The total value of securities on loan at March 31,
2005 was $260,508 ($ Thousands).
(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,
2005 was $273,678 ($ Thousands).
(I) The rate reported is the effective yield at time of purchase.
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
IO -- Interest Only
LLC -- Limited Liability Company
LP -- Limited Partnership
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.
- --------------------------------------------------------------------------------
92 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
Statement of Assets and Liabilities ($ Thousands)
March 31, 2005 (Unaudited)
- -------------------------------------------------------------------------------
CORE FIXED
INCOME
FUND
- -------------------------------------------------------------------------------
ASSETS:
Investments at value (Cost $5,947,825) $ 5,952,500
Cash 183
Foreign currency, at value (Cost $1) 1
Receivable for investment securities sold 615,922
Receivable for fund shares sold 1,509
Interest receivable 30,514
Unrealized gain on forward foreign currency contracts 167
Other assets 807
- -------------------------------------------------------------------------------
Total Assets 6,601,603
- -------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 1,317,562
Payable for investment securities purchased 1,218,010
Payable for fund shares redeemed 5,657
Variation margin payable 608
Options written, at value (premiums received $760) 524
Unrealized loss on credit default swaps 320
Administration fees payable 967
Income distributions payable 883
Investment advisory fees payable 837
Shareholder servicing fees payable 169
Administration servicing fees payable 2
Accrued expenses payable 892
- -------------------------------------------------------------------------------
Total Liabilities 2,546,431
- -------------------------------------------------------------------------------
Total Net Assets $ 4,055,172
- -------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital -- (unlimited authorization -- no par value) $ 4,041,771
Distribution in excess of net investment income (287)
Accumulated net realized gain on investments, futures
and options contracts 10,988
Net unrealized appreciation on investments and option contracts 4,911
Net unrealized depreciation on futures contracts (1,978)
Net unrealized depreciation on credit default swaps (320)
Net unrealized appreciation on forward foreign currency
contracts, foreign currencies and translation of other assets
and liabilities denominated in foreign currencies 87
- -------------------------------------------------------------------------------
Total Net Assets -- 100.0% $ 4,055,172
===============================================================================
Net Asset Value, Offering and Redemption Price Per Share --
Class A ($4,043,885,118/ 387,572,970 shares) $10.43
- -------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share --
Class I ($11,286,660 / 1,082,007 shares) $10.43
===============================================================================
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 93
Statements of Operations ($ Thousands)
For the six month period ended March 31, 2005 (Unaudited)
- -----------------------------------------------------------------------------------------------------------------
TAX-MANAGED LARGE CAP LARGE CAP TAX-MANAGED
LARGE CAP VALUE GROWTH SMALL CAP
FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 23,265 $ 58,142 $ 34,648 $ 961
Dividends from Affiliated Registered
Investment Company 336 423 630 98
Interest 33 22 98 2
Income from Securities Lending 119 168 204 81
Less: Foreign Taxes Withheld (6) (31) -- (2)
- -----------------------------------------------------------------------------------------------------------------
Total Investment Income 23,747 58,724 35,580 1,140
- -----------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 4,133 7,487 7,897 759
Administration Fees 3,612 7,487 6,910 409
Shareholder Servicing Fees - Class A 2,577 5,320 4,900 292
Shareholder Servicing Fees - Class I -- 27 36 --
Shareholder Servicing Fees - Class Y 4 -- -- --
Administration Servicing Fees - Class I -- 27 36 --
Custodian/Wire Agent Fees 53 109 102 6
Printing Fees 39 84 77 4
Professional Fees 24 51 47 3
Registration Fees -- -- -- --
Trustee Fees 10 20 19 1
Litigation Fees (See Note 9) -- -- -- --
Proxy Expenses 50 105 98 6
Other Expenses 25 43 37 3
- -----------------------------------------------------------------------------------------------------------------
Total Expenses 10,527 20,760 20,159 1,483
- -----------------------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees (974) (1,499) (1,019) (113)
Shareholder Servicing Fees (714) (921) (2,204) (77)
- -----------------------------------------------------------------------------------------------------------------
Net Expenses 8,839 18,340 16,936 1,293
- -----------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 14,908 40,384 18,644 (153)
=================================================================================================================
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments 44,415 109,050 57,783 10,386
Futures Contracts 869 2,261 1,430 538
Written Options -- -- -- --
Swap Contracts -- -- -- --
Foreign Currency Transactions -- -- -- --
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON:
Investments 74,763 242,803 52,403 13,144
Futures Contracts (1,111) (1,342) (1,629) (203)
Options Contracts -- -- -- --
Swap Contracts -- -- -- --
Foreign Currency and Translation of Other Assets
and Liabilities Denominated in Foreign Currency -- -- -- --
- -----------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 133,844 $ 393,156 $ 128,631 $ 23,712
=================================================================================================================
Amount designated as "--" are $0 or have been rounded to $0.
(1) The Managed Volatility Fund commenced operations on October 28, 2004.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
94 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- ------------------------------------------------------------------------------------------------------------------------------
SMALL SMALL MANAGED
CAP VALUE CAP GROWTH MID-CAP VOLATILITY REAL ESTATE
FUND FUND FUND FUND(1) FUND
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 8,855 $ 2,158 $ 361 $ 637 $ 1,071
Dividends from Affiliated Registered
Investment Company 280 246 13 47 15
Interest 59 38 1 3 3
Income from Securities Lending 168 276 7 -- --
Less: Foreign Taxes Withheld (5) (16) -- (4) (1)
- ------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 9,357 2,702 382 683 1,088
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 3,313 3,377 111 184 167
Administration Fees 1,784 1,818 97 99 90
Shareholder Servicing Fees - Class A 1,263 1,288 69 71 64
Shareholder Servicing Fees - Class I 11 11 -- -- --
Shareholder Servicing Fees - Class Y -- -- -- -- --
Administration Servicing Fees - Class I 11 11 -- -- --
Custodian/Wire Agent Fees 27 27 3 1 4
Printing Fees 20 20 1 1 --
Professional Fees 12 12 -- 1 --
Registration Fees -- 1 -- 1 1
Trustee Fees 5 5 -- -- --
Litigation Fees (See Note 9) -- -- -- -- --
Proxy Expenses 24 26 1 1 1
Other Expenses 11 14 2 2 1
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 6,481 6,610 284 361 328
- ------------------------------------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees -- (29) -- (18) (7)
Shareholder Servicing Fees (831) (821) (5) (30) (38)
- ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 5,650 5,760 279 313 283
- ------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 3,707 (3,058) 103 370 805
==============================================================================================================================
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments 56,232 49,443 4,327 910 713
Futures Contracts 1,930 3,068 40 127 --
Written Options -- -- -- -- --
Swap Contracts -- -- -- -- --
Foreign Currency Transactions -- (52) -- -- --
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON:
Investments 53,761 12,800 3,501 2,163 1,996
Futures Contracts (381) -- (7) 4 --
Options Contracts -- -- -- -- --
Swap Contracts -- -- -- -- --
Foreign Currency and Translation of Other Assets
and Liabilities Denominated in Foreign Currency -- (2) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 115,249 $ 62,199 $ 7,964 $ 3,574 $ 3,514
==============================================================================================================================
- ----------------------------------------------------------------------------------
CORE FIXED HIGH YIELD
INCOME FUND BOND FUND
- ----------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 18 $ 705
Dividends from Affiliated Registered
Investment Company 310 220
Interest 82,440 51,478
Income from Securities Lending 735 355
Less: Foreign Taxes Withheld (3) --
- ----------------------------------------------------------------------------------
Total Investment Income 83,500 52,758
- ----------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 5,580 3,109
Administration Fees 5,681 2,232
Shareholder Servicing Fees - Class A 5,059 1,594
Shareholder Servicing Fees - Class I 13 --
Shareholder Servicing Fees - Class Y -- --
Administration Servicing Fees - Class I 13 --
Custodian/Wire Agent Fees 107 33
Printing Fees 81 25
Professional Fees 48 15
Registration Fees -- 7
Trustee Fees 19 6
Litigation Fees (See Note 9) 10 --
Proxy Expenses 101 30
Other Expenses 232 49
- ----------------------------------------------------------------------------------
Total Expenses 16,944 7,100
- ----------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees (658) (394)
Shareholder Servicing Fees (3,970) (1,247)
- ----------------------------------------------------------------------------------
Net Expenses 12,316 5,459
- ----------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 71,184 47,299
==================================================================================
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments 23,527 15,374
Futures Contracts (1,122) 63
Written Options 1,954 --
Swap Contracts -- (23)
Foreign Currency Transactions 2 --
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON:
Investments (65,965) (19,846)
Futures Contracts (2,891) 83
Options Contracts 1,579 --
Swap Contracts (320) --
Foreign Currency and Translation of Other Assets
and Liabilities Denominated in Foreign Currency 87 --
- ----------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 28,035 $ 42,950
==================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 95
Statements of Changes in Net Assets ($ Thousands)
For the six month period ended March 31, 2005 (Unaudited) and the year ended
September 30, 2004
- -----------------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED LARGE CAP LARGE CAP
LARGE CAP FUND VALUE FUND GROWTH FUND
- -----------------------------------------------------------------------------------------------------------------------------------
10/1/04 10/1/03 10/1/04 10/1/03 10/1/04 10/1/03
to 3/31/05 to 9/30/04 to 3/31/05 to 9/30/04 to 3/31/05 to 9/30/04
- -----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income (Loss) $ 14,908 $ 16,240 $ 40,384 $ 63,462 $ 18,644 $ (1,255)
Net Realized Gain from Investments
and Futures Contracts 45,284 56,848 111,311 205,834 59,213 92,030
Net Realized Loss on Foreign Currency
Transactions -- -- -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments and
Futures Contracts 73,652 174,625 241,461 421,717 50,774 215,992
Net Change in Unrealized Depreciation on
Foreign Currencies and Translation of
Other Assets and Liabilities Denominated
in Foreign Currency -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
from Operations 133,844 247,713 393,156 691,013 128,631 306,767
- -----------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (17,352) (15,361) (49,934) (61,784) (17,804) --
Class I -- -- (217) (182) (111) --
Class Y (45) (38) -- -- -- --
Net Realized Gains:
Class A -- -- (23,633) -- -- --
Class I -- -- (119) -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (17,397) (15,399) (73,903) (61,966) (17,915) --
- -----------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 192,952 485,269 402,445 1,046,688 361,574 1,002,606
Reinvestment of Dividends & Distributions 16,482 14,546 69,557 57,774 16,943 --
Cost of Shares Redeemed (231,840) (510,985) (669,199) (1,105,865) (508,827) (1,026,860)
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (22,406) (11,170) (197,197) (1,403) (130,310) (24,254)
- -----------------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued -- -- 3,222 12,456 2,933 21,678
Reinvestment of Dividends & Distributions -- -- 327 180 109 --
Cost of Shares Redeemed -- -- (2,181) (3,397) (4,271) (6,330)
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class I Transactions -- -- 1,368 9,239 (1,229) 15,348
- -----------------------------------------------------------------------------------------------------------------------------------
Class Y:
Proceeds from Shares Issued 6 1,318 -- -- -- --
Reinvestment of Dividends & Distributions 44 38 -- -- -- --
Cost of Shares Redeemed (250) (834) -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class Y Transactions (200) 522 -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions (22,606) (10,648) (195,829) 7,836 (131,539) (8,906)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 93,841 221,666 123,424 636,883 (20,823) 297,861
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 1,982,792 1,761,126 4,173,655 3,536,772 3,874,671 3,576,810
- -----------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 2,076,633 $ 1,982,792 $ 4,297,079 $ 4,173,655 $ 3,853,848 $ 3,874,671
- -----------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(ACCUMULATED NET INVESTMENT LOSS)
INCLUDED IN NET ASSETS AT PERIOD END $ 1,507 $ 3,996 $ 2,233 $ 12,000 $ 729 $ --
===================================================================================================================================
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.
- --------------------------------------------------------------------------------
96 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- -----------------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED SMALL CAP SMALL CAP
SMALL CAP FUND VALUE FUND GROWTH FUND
- -----------------------------------------------------------------------------------------------------------------------------------
10/1/04 10/1/03 10/1/04 10/1/03 10/1/04 10/1/03
to 3/31/05 to 9/30/04 to 3/31/05 to 9/30/04 to 3/31/05 to 9/30/04
- -----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income (Loss) $ (153) $ (637) $ 3,707 $ 1,499 $ (3,058) $ (6,183)
Net Realized Gain from Investments
and Futures Contracts 10,924 27,692 58,162 184,443 52,511 125,656
Net Realized Loss on Foreign Currency
Transactions -- -- -- -- (52) --
Net Change in Unrealized Appreciation
(Depreciation) on Investments and
Futures Contracts 12,941 2,198 53,380 14,469 12,800 (60,459)
Net Change in Unrealized Depreciation on
Foreign Currencies and Translation of
Other Assets and Liabilities Denominated
in Foreign Currency -- -- -- -- (2) --
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
from Operations 23,712 29,253 115,249 200,411 62,199 59,014
- -----------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A -- -- (1,519) (2,906) -- --
Class I -- -- (4) (4) -- --
Class Y -- -- -- -- -- --
Net Realized Gains:
Class A (15,584) -- (145,253) (45,443) -- --
Class I -- -- (1,314) (178) -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (15,584) -- (148,090) (48,531) -- --
- -----------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 28,119 65,579 130,225 302,432 145,603 384,684
Reinvestment of Dividends & Distributions 14,572 -- 139,122 45,475 -- --
Cost of Shares Redeemed (25,383) (61,746) (165,126) (352,556) (223,794) (348,814)
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 17,308 3,833 104,221 (4,649) (78,191) 35,870
- -----------------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued -- -- 2,961 6,192 2,498 7,255
Reinvestment of Dividends & Distributions -- -- 1,303 183 -- --
Cost of Shares Redeemed -- -- (1,565) (2,242) (2,355) (4,095)
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class I Transactions -- -- 2,699 4,133 143 3,160
- -----------------------------------------------------------------------------------------------------------------------------------
Class Y:
Proceeds from Shares Issued -- -- -- -- -- --
Reinvestment of Dividends & Distributions -- -- -- -- -- --
Cost of Shares Redeemed -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class Y Transactions -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 17,308 3,833 106,920 (516) (78,048) 39,030
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 25,436 33,086 74,079 151,364 (15,849) 98,044
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 214, 859 181,773 949,437 798,073 979,289 881,245
- -----------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 240,295 $ 214,859 $ 1,023,516 $ 949,437 $ 963,440 $ 979,289
- -----------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(ACCUMULATED NET INVESTMENT LOSS)
INCLUDED IN NET ASSETS AT PERIOD END $ (153) $ -- $ 2,184 $ -- $ (3,058) $ --
===================================================================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 97
Statements of Changes in Net Assets ($ Thousands)
For the six month period ended March 31, 2005 (Unaudited) and the period ended
September 30, 2004
- --------------------------------------------------------------------------------------------------------------------
MANAGED
MID-CAP FUND VOLATILITY FUND(2)
- --------------------------------------------------------------------------------------------------------------------
10/1/04 10/1/03 10/28/04
to 3/31/05 to 9/30/04 to 3/31/05
- --------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 103 $ 237 $ 370
Net Realized Gain on Investments, Options, Written Options,
Futures Contracts and Swap Contracts 4,367 8,333 1,037
Net Realized Gain on Foreign Currency Transactions -- -- --
Net Change in Unrealized Appreciation (Depreciation)
on Investments, Options, Written Options,
Futures Contracts and Swap Contracts 3,494 828 2,167
Net Change in Unrealized Appreciation on
Foreign Currencies and Translation of
Other Assets and Liabilities Denominated
in Foreign Currency -- -- --
- --------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 7,964 9,398 3,574
- --------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (117) (310) (358)
Class I -- -- --
Net Realized Gains:
Class A (5,707) (839) (10)
Class I -- -- --
- --------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (5,824) (1,149) (368)
- --------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 15,815 33,834 92,516
Reinvestment of Dividends & Distributions 5,075 992 365
Cost of Shares Redeemed (15,778) (30,935) (4,779)
- --------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class A Transactions 5,112 3,891 88,102
- --------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued -- -- --
Reinvestment of Dividends & Distributions -- -- --
Cost of Shares Redeemed -- -- --
- --------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class I Transactions -- -- --
- --------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Capital Share Transactions 5,112 3,891 88,102
- --------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets 7,252 12,140 91,308
- --------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 53,642 41,502 --
- --------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 60,894 $ 53,642 $ 91,308
- --------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME) INCLUDED IN
NET ASSETS AT PERIOD END $ (14) $ -- $ 12
====================================================================================================================
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 Managed Volatility commenced operations on October 28, 2004.
(3) The Real Estate Fund commenced operations on November 13, 2003.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
98 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- -------------------------------------------------------------------------------------------------------------------------
REAL ESTATE CORE
FUND(3) FIXED INCOME FUND
- -------------------------------------------------------------------------------------------------------------------------
10/1/04 11/13/03 10/1/04 10/1/03
to 3/31/05 to 9/30/04 to 3/31/05 to 9/30/04
- -------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 805 $ 263 $ 71,184 $ 140,369
Net Realized Gain on Investments, Options, Written Options,
Futures Contracts and Swap Contracts 713 464 24,359 43,428
Net Realized Gain on Foreign Currency Transactions -- -- 2 --
Net Change in Unrealized Appreciation (Depreciation)
on Investments, Options, Written Options,
Futures Contracts and Swap Contracts 1,996 2,366 (67,597) (11,474)
Net Change in Unrealized Appreciation on
Foreign Currencies and Translation of
Other Assets and Liabilities Denominated
in Foreign Currency -- -- 87 --
- -------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 3,514 3,093 28,035 172,323
- -------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (772) (164) (75,812) (143,902)
Class I -- -- (188) (269)
Net Realized Gains:
Class A (799) -- (35,292) (46,906)
Class I -- -- (93) (71)
- -------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (1,571) (164) (111,385) (191,148)
- -------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 34,907 38,717 495,695 1,317,314
Reinvestment of Dividends & Distributions 1,522 156 103,997 176,160
Cost of Shares Redeemed (8,531) (6,794) (539,748) (1,231,029)
- -------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class A Transactions 27,898 32,079 59,944 262,445
- -------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued -- -- 2,460 7,823
Reinvestment of Dividends & Distributions -- -- 282 340
Cost of Shares Redeemed -- -- (1,649) (3,658)
- -------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class I Transactions -- -- 1,093 4,505
- -------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Capital Share Transactions 27,898 32,079 61,037 266,950
- -------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets 29,841 35,008 (22,313) 248,125
- -------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 35,008 -- 4,077,485 3,829,360
- -------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 64,849 $ 35,008 $ 4,055,172 $ 4,077,485
- -------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME) INCLUDED IN
NET ASSETS AT PERIOD END $ 136 $ 103 $ (287) $ (2)
=========================================================================================================================
- ------------------------------------------------------------------------------------------
HIGH YIELD
BOND FUND
- ------------------------------------------------------------------------------------------
10/1/04 10/1/03
to 3/31/05 to 9/30/04
- ------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 47,299 $ 83,757
Net Realized Gain on Investments, Options, Written Options,
Futures Contracts and Swap Contracts 15,414 59,483
Net Realized Gain on Foreign Currency Transactions -- --
Net Change in Unrealized Appreciation (Depreciation)
on Investments, Options, Written Options,
Futures Contracts and Swap Contracts (19,763) (34,492)
Net Change in Unrealized Appreciation on
Foreign Currencies and Translation of
Other Assets and Liabilities Denominated
in Foreign Currency -- --
- ------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 42,950 108,748
- ------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (47,299) (83,753)
Class I -- --
Net Realized Gains:
Class A -- --
Class I -- --
- ------------------------------------------------------------------------------------------
Total Dividends and Distributions (47,299) (83,753)
- ------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 293,604 574,056
Reinvestment of Dividends & Distributions 44,646 78,070
Cost of Shares Redeemed (225,705) (456,226)
- ------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class A Transactions 112,545 195,900
- ------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued -- --
Reinvestment of Dividends & Distributions -- --
Cost of Shares Redeemed -- --
- ------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class I Transactions -- --
- ------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Capital Share Transactions 112,545 195,900
- ------------------------------------------------------------------------------------------
Net Increase in Net Assets 108,196 220,895
- ------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 1,197,554 976,659
- ------------------------------------------------------------------------------------------
END OF PERIOD $ 1,305,750 $ 1,197,554
- ------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME) INCLUDED IN
NET ASSETS AT PERIOD END $ -- $ --
==========================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 99
Financial Highlights
For the period ended March 31, 2005 (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
Beginning Income (Losses) on Total from Investment Capital and
of Period (Loss) Securities Operations Income Gains Distributions
- ------------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED LARGE CAP FUND
Class A
2005* $ 10.41 $ 0.08(1) $ 0.63(1) $ 0.71 $ (0.09) $ -- $ (0.09)
2004 9.20 0.08(1) 1.21(1) 1.29 (0.08) -- (0.08)
2003 7.50 0.08(1) 1.70(1) 1.78 (0.08) -- (0.08)
2002 9.49 0.06 (1.98) (1.92) (0.07) -- (0.07)
2001 13.62 0.07 (4.13) (4.06) (0.07) -- (0.07)
2000 12.65 0.09 1.00 1.09 (0.09) (0.03) (0.12)
Class Y
2005* $ 10.45 $ 0.10(1) $ 0.64(1) $ 0.74 $ (0.10) $ -- $ (0.10)
2004 9.21 0.12(1) 1.20(1) 1.32 (0.08) -- (0.08)
2003 7.50 0.10(1) 1.71(1) 1.81 (0.10) -- (0.10)
2002(2) 10.45 0.05 (2.98) (2.93) (0.02) -- (0.02)
LARGE CAP VALUE FUND
Class A
2005* $ 19.80 $ 0.20(1) $ 1.70(1) $ 1.90 $ (0.24) $ (0.12) $ (0.36)
2004 16.81 0.30(1) 2.99(1) 3.29 (0.30) -- (0.30)
2003 13.94 0.25(1) 2.86(1) 3.11 (0.24) -- (0.24)
2002 17.39 0.21 (3.26) (3.05) (0.21) (0.19) (0.40)
2001 18.70 0.21 (1.14) (0.93) (0.22) (0.16) (0.38)
2000 18.97 0.27 0.56 0.83 (0.26) (0.84) (1.10)
Class I
2005* $ 19.78 $ 0.17(1) $ 1.72(1) $ 1.89 $ (0.21) $ (0.12) $ (0.33)
2004 16.80 0.25(1) 2.98(1) 3.23 (0.25) -- (0.25)
2003 13.94 0.21(1) 2.86(1) 3.07 (0.21) -- (0.21)
2002 17.39 0.19 (3.28) (3.09) (0.17) (0.19) (0.36)
2001(3) 19.38 0.03 (2.02) (1.99) -- -- --
LARGE CAP GROWTH FUND
Class A
2005* $ 17.13 $ 0.08(1) $ 0.48(1) $ 0.56 $ (0.08) $ -- $ (0.08)
2004 15.77 (0.01)(1) 1.37(1) 1.36 -- -- --
2003 12.97 -- (1) 2.81(1) 2.81 (0.01)(9) -- (0.01)(9)
2002 16.73 (0.04)(1) (3.72)(1) (3.76) -- -- --
2001 36.24 (0.06) (17.75) (17.81) -- (1.70) (1.70)
2000 28.58 (0.04) 8.67 8.63 -- (0.97) (0.97)
Class I
2005* $ 17.00 $ 0.06(1) $ 0.48(1) $ 0.54 $ (0.07) $ -- $ (0.07)
2004 15.68 (0.05)(1) 1.37(1) 1.32 -- -- --
2003 12.92 (0.03)(1) 2.79(1) 2.76 --** -- --**
2002 16.72 (0.07)(1) (3.73)(1) (3.80) -- -- --
2001(3) 20.60 (0.01) (3.87) (3.88) -- -- --
TAX-MANAGED SMALL CAP FUND
Class A
2005* $ 11.63 $ (0.01)(1) $ 1.29(1) $ 1.28 $ -- $ (0.84) $ (0.84)
2004 10.00 (0.04)(1) 1.67(1) 1.63 -- -- --
2003 7.54 (0.02)(1) 2.48(1) 2.46 -- -- --
2002 8.15 (0.01) (0.60) (0.61) -- -- --
2001(4) 10.00 -- (1.84) (1.84) (0.01)(9) -- (0.01)(9)
SMALL CAP VALUE FUND
Class A
2005* $ 20.74 $ 0.07(1) $ 2.40(1) $ 2.47 $ (0.03) $ (3.19) $ (3.22)
2004 17.45 0.03(1) 4.32(1) 4.35 (0.06) (1.00) (1.06)
2003 13.99 0.08(1) 3.91(1) 3.99 (0.09) (0.44) (0.53)
2002 15.66 0.08 (0.21) (0.13) (0.09) (1.45) (1.54)
2001 16.13 0.13 0.36 0.49 (0.14) (0.82) (0.96)
2000 14.06 0.15 2.05 2.20 (0.13) -- (0.13)
Class I
2005* $ 20.71 $ 0.04(1) $ 2.40(1) $ 2.44 $ (0.01) $ (3.19) $ (3.20)
2004 17.44 (0.02)(1) 4.31(1) 4.29 (0.02) (1.00) (1.02)
2003 13.99 0.04(1) 3.90(1) 3.94 (0.05) (0.44) (0.49)
2002(5) 16.47 0.02 (2.49) (2.47) (0.01) -- (0.01)
- ----------------------------------------------------------------------------------------------------------------------
Ratio of Net Ratio of
Investment Expenses
Ratio of Income to Average
Net Asset Net Assets Expenses (Loss) Net Assets Portfolio
Value, End Total End of Period to Average to Average (Excluding Turnover
of Period Return+ ($Thousands) Net Assets Net Assets Waivers) Rate
- ----------------------------------------------------------------------------------------------------------------------
TAX-MANAGED LARGE CAP FUND
Class A
2005* $ 11.03 6.84% $2,071,628 0.85% 1.44% 1.02% 14%
2004 10.41 14.05 1,977,883 0.85 0.83 1.02 29
2003 9.20 23.84 1,757,292 0.85 0.88 1.02 99
2002 7.50 (20.44) 1,436,467 0.85 0.65 1.03 80
2001 9.49 (29.92) 1,658,097 0.85 0.60 1.01 84
2000 13.62 8.66 1,969,302 0.85 0.69 1.06 47
Class Y
2005* $ 11.09 7.05% $ 5,005 0.55% 1.74% 0.72% 14%
2004 10.45 14.41 4,909 0.55 1.13 0.72 29
2003 9.21 24.26 3,834 0.55 1.17 0.72 99
2002(2) 7.50 (28.05) 2,631 0.55 1.03 0.72 80
LARGE CAP VALUE FUND
Class A
2005* $ 21.34 9.65% $4,273,953 0.85% 1.89% 0.97% 18%
2004 19.80 19.66 4,153,475 0.85 1.59 0.97 46
2003 16.81 22.55 3,527,686 0.85 1.61 0.97 106
2002 13.94 (18.06) 2,896,977 0.85 1.23 0.97 41
2001 17.39 (5.08) 3,590,194 0.85 1.11 0.97 89
2000 18.70 4.47 3,548,830 0.85 1.55 0.97 70
Class I
2005* $ 21.34 9.57% $ 23,126 1.10% 1.64% 1.22% 18%
2004 19.78 19.33 20,180 1.10 1.33 1.22 46
2003 16.80 22.17 9,086 1.10 1.36 1.22 106
2002 13.94 (18.24) 6,175 1.10 1.01 1.22 41
2001(3) 17.39 (10.27) 152 1.10 1.09 1.22 89
LARGE CAP GROWTH FUND
Class A
2005* $ 17.61 3.25% $3,825,848 0.85% 0.95% 1.02% 21%
2004 17.13 8.62 3,846,240 0.85 (0.03) 1.02 36
2003 15.77 21.66 3,564,487 0.85 0.02 1.02 72
2002 12.97 (22.47) 2,904,802 0.85 (0.21) 1.02 62
2001 16.73 (51.08) 3,487,142 0.85 (0.29) 1.03 112
2000 36.24 30.67 4,898,050 0.85 (0.32) 1.02 69
Class I
2005* $ 17.47 3.15% $ 28,000 1.10% 0.70% 1.27% 21%
2004 17.00 8.42 28,431 1.10 (0.28) 1.27 36
2003 15.68 21.37 12,323 1.10 (0.24) 1.27 72
2002 12.92 (22.73) 7,934 1.10 (0.41) 1.27 62
2001(3) 16.72 (18.83) 81 1.10 (0.45) 1.28 112
TAX-MANAGED SMALL CAP FUND
Class A
2005* $ 12.07 11.04% $ 240,295 1.10% (0.13)% 1.27% 41%
2004 11.63 16.30 214,859 1.10 (0.31) 1.27 86
2003 10.00 32.63 181,773 1.10 (0.21) 1.27 142
2002 7.54 (7.48) 143,764 1.10 (0.21) 1.26 86
2001(4) 8.15 (18.46) 125,129 1.10 (0.04) 1.30 82
SMALL CAP VALUE FUND
Class A
2005* $ 19.99 12.16% $1,013,748 1.10% 0.73% 1.27% 36%
2004 20.74 25.67 942,037 1.10 0.17 1.27 89
2003 17.45 29.28 795,501 1.10 0.52 1.27 99
2002 13.99 (2.20) 691,668 1.10 0.46 1.27 48
2001 15.66 3.12 794,109 1.10 0.78 1.26 99
2000 16.13 15.74 897,276 1.10 1.03 1.28 119
Class I
2005* $ 19.95 12.01% $ 9,768 1.35% 0.39% 1.52% 36%
2004 20.71 25.29 7,400 1.35 (0.09) 1.52 89
2003 17.44 28.91 2,572 1.35 0.23 1.52 99
2002(5) 13.99 (14.99) 727 1.35 0.21 1.52 48
- --------------------------------------------------------------------------------
100 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
- ---------------------------------------------------------------------------------------------------------------------------
Net
Realized
and Distributions
Net Asset Net Unrealized Dividends from Total
Value, Investment Gains from Net Realized Dividends
Beginning Income (Losses) on Total from Investment Capital and
of Period (Loss) Securities Operations Income Gains Distributions
- ---------------------------------------------------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
Class A
2005* $ 15.14 $ (0.05)(1) $ 0.97(1) $ 0.92 $ -- $ -- $ --
2004 14.11 (0.10)(1) 1.13(1) 1.03 -- -- --
2003 9.62 (0.08)(1) 4.57(1) 4.49 -- -- --
2002 12.35 (0.09)(1) (2.64)(1) (2.73) -- -- --
2001 30.57 (0.14) (10.81) (10.95) -- (7.27) (7.27)
2000 21.12 (0.01) 11.28 11.27 -- (1.82) (1.82)
Class I
2005* $ 15.02 $ (0.07)(1) $ 0.95(1) $ 0.88 $ -- $ -- $ --
2004 14.03 (0.14)(1) 1.13(1) 0.99 -- -- --
2003 9.59 (0.11)(1) 4.55(1) 4.44 -- -- --
2002 12.35 (0.08)(1) (2.68)(1) (2.76) -- -- --
2001(3) 15.59 (0.02) (3.22) (3.24) -- -- --
MID-CAP FUND
Class A
2005* $ 17.84 $ 0.03(1) $ 2.63(1) $ 2.66 $ (0.04) $ (2.16) $ (2.20)
2004 14.96 0.09(1) 3.19(1) 3.28 (0.11) (0.29) (0.40)
2003 11.74 0.11(1) 3.25(1) 3.36 (0.08) (0.06) (0.14)
2002 12.19 0.06 (0.46)(8) (0.40) (0.05) -- (0.05)
2001 17.42 0.07 (3.22) (3.15) (0.08) (2.00) (2.08)
2000 15.19 0.07 3.76 3.83 (0.07) (1.53) (1.60)
MANAGED VOLATILITY FUND
Class A
2005*(6) $ 10.00 $ 0.06(1) $ 0.68(1) $ 0.74 $ (0.05) $ --** $ (0.05)
REAL ESTATE FUND
Class A
2005* $ 11.89 $ 0.20(1) $ 1.00(1) $ 1.20 $ (0.20) $ (0.22) $ (0.42)
2004(7) 10.00 0.21(1) 1.85(1) 2.06 (0.17) -- (0.17)
CORE FIXED INCOME FUND
Class A
2005* $ 10.65 $ 0.18(1) $ (0.11)(1) $ 0.07 $ (0.20) $ (0.09) $ (0.29)
2004 10.71 0.37(1) 0.08(1) 0.45 (0.38) (0.13) (0.51)
2003 10.67 0.40(1) 0.28(1) 0.68 (0.42) (0.22) (0.64)
2002 10.75 0.52 0.08 0.60 (0.52) (0.16) (0.68)
2001 10.08 0.61 0.67 1.28 (0.61) -- (0.61)
2000 10.03 0.62 0.05 0.67 (0.62) -- (0.62)
Class I
2005* $ 10.65 $ 0.17(1) $ (0.12)(1) $ 0.05 $ (0.18) $ (0.09) $ (0.27)
2004 10.71 0.34(1) 0.09(1) 0.43 (0.36) (0.13) (0.49)
2003 10.67 0.37(1) 0.28(1) 0.65 (0.39) (0.22) (0.61)
2002 10.76 0.49 0.07 0.56 (0.49) (0.16) (0.65)
2001(3) 10.60 0.08 0.16 0.24 (0.08) -- (0.08)
HIGH YIELD BOND FUND
Class A
2005* $ 8.58 $ 0.32(1) $ (0.02)(1) $ 0.30 $ (0.32) $ -- $ (0.32)
2004 8.37 0.67(1) 0.21(1) 0.88 (0.67) -- (0.67)
2003 7.60 0.68(1) 0.77(1) 1.45 (0.68) -- (0.68)
2002 7.86 0.70 (0.26) 0.44 (0.70) -- (0.70)
2001 9.15 0.88 (1.29) (0.41) (0.88) -- (0.88)
2000 10.11 0.96 (0.96) -- (0.96) -- (0.96)
- ----------------------------------------------------------------------------------------------------------------------
Ratio of Net Ratio of
Investment Expenses
Ratio of Income to Average
Net Asset Net Assets Expenses (Loss) Net Assets Portfolio
Value, End Total End of Period to Average to Average (Excluding Turnover
of Period Return+ ($Thousands) Net Assets Net Assets Waivers) Rate
- ----------------------------------------------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
Class A
2005* $ 16.06 6.08% $ 954,277 1.10% (0.59)% 1.27% 63%
2004 15.14 7.30 970,759 1.10 (0.63) 1.27 124
2003 14.11 46.67 875,906 1.10 (0.66) 1.27 166
2002 9.62 (22.11) 606,999 1.10 (0.69) 1.27 156
2001 12.35 (42.83) 821,391 1.10 (0.80) 1.29 157
2000 30.57 55.28 1,575,462 1.10 (0.74) 1.27 182
Class I
2005* $ 15.90 5.86% $ 9,163 1.35% (0.84)% 1.52% 63%
2004 15.02 7.06 8,530 1.35 (0.90) 1.52 124
2003 14.03 46.30 5,339 1.35 (0.91) 1.52 166
2002 9.59 (22.35) 1,879 1.35 (0.71) 1.53 156
2001(3) 12.35 (20.78) 46 1.35 (1.12) 1.54 157
MID-CAP FUND
Class A
2005* $ 18.30 15.47% $ 60,894 1.00% 0.37% 1.02% 58%
2004 17.84 22.23 53,642 1.00 0.53 1.02 121
2003 14.96 28.92 41,502 1.00 0.86 1.03 109
2002 11.74 (3.34) 25,499 1.00 0.39 1.02 222
2001 12.19 (19.59) 32,976 1.00 0.51 1.02 193
2000 17.42 27.14 42,148 1.00 0.48 1.05 170
MANAGED VOLATILITY FUND
Class A
2005*(6) $ 10.69 (0.98)% $ 91,308 1.10% 1.30% 1.27% 33%
REAL ESTATE FUND
Class A
2005* $ 12.67 10.05% $ 64,849 1.10% 3.13% 1.28% 40%
2004(7) 11.89 20.82 35,008 1.10 2.20 1.30 98
CORE FIXED INCOME FUND
Class A
2005* $ 10.43 0.65% $4,043,885 0.60% 3.50% 0.83% 301%
2004 10.65 4.38 4,067,065 0.61*** 3.52 0.84 430
2003 10.71 6.63 3,823,429 0.60 3.77 0.84 470
2002 10.67 5.89 3,686,946 0.60 4.96 0.84 379
2001 10.75 13.00 3,519,061 0.60 5.79 0.84 358
2000 10.08 6.97 3,113,103 0.60 6.27 0.83 265
Class I
2005* $ 10.43 0.52% $ 11,287 0.85% 3.25% 1.08% 301%
2004 10.65 4.12 10,420 0.86*** 3.25 1.09 430
2003 10.71 6.37 5,931 0.85 3.46 1.09 470
2002 10.67 5.53 4,268 0.85 4.52 1.09 379
2001(3) 10.76 2.28 86 0.85 5.01 1.09 358
HIGH YIELD BOND FUND
Class A
2005* $ 8.56 3.52% $1,305,750 0.85% 7.41% 1.11% 76%
2004 8.58 10.84 1,197,554 0.85 7.84 1.11 179
2003 8.37 19.88 976,659 0.85 8.50 1.12 129
2002 7.60 5.45 745,525 0.85 8.67 1.12 126
2001 7.86 (4.76) 721,314 0.85 10.27 1.12 105
2000 9.15 (0.09) 763,941 0.85 9.92 1.12 40
+ Returns are for the period indicated and have not been annualized.
* For the six month period ended March 31, 2005. All ratios for the period
have been annualized.
** Amount represents less then $0.01.
*** The expense ratio includes the litigation fees paid. Had these fees been
excluded the ratio would have been 0.60% and 0.85% for Class A and Class
I, respectively.
(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 October 28, 2005. All ratios for the period have
been annualized.
(7) Commenced operations on November 13, 2003. All ratios for the period have
been annualized.
(8) 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.
(9) Return of Capital.
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, 2005 101
Notes to Financial Statements (Unaudited)
March 31, 2005
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 13 Funds: Tax-Managed Large Cap, Large Cap
Value, Large Cap Growth, Tax-Managed Small Cap, Small Cap Value, Small Cap
Growth, Mid-Cap, Managed Volatility, Real Estate, Core Fixed Income, High Yield
Bond, Small/Mid Cap Equity and Large Cap Disciplined Equity 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, Managed
Volatility, 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' prospectuses provide a
description of each Fund's investment objective, policies, and strategies.
As of March 31, 2005, the Small/Mid Cap Equity and Large Cap Disciplined Equity
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 -- Securities listed on a securities exchange, market or
automated quotation system for which quotations are readily available (except
for securities traded on NASDAQ) are valued at the last quoted sale price on the
primary exchange or market (foreign or domestic) on which they are traded, or,
if there is no such reported sale, at the most recent quoted bid price. For
securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. If
available, debt securities are priced based upon valuations provided by
independent, third-party pricing agents. Such values generally reflect the last
reported sales price if the security is actively traded. The third-party pricing
agents may also value debt securities at an evaluated bid price by employing
methodologies that utilize actual market transactions, broker-supplied
valuations, or other methodologies designed to identify the market value for
such securities. Debt obligations with remaining maturities of sixty days or
less may be valued at their amortized cost, which approximates market value.
Prices for most securities held in the Funds are provided daily by recognized
independent pricing agents. If a security price cannot be obtained from an
independent, third-party pricing agent, the Funds seek to obtain a bid price
from at least one independent broker.
Securities for which market prices are not "readily available" are valued in
accordance with Fair Value Procedures established by the Funds' Board of
Trustees. The Funds' Fair Value Procedures are implemented through a Fair Value
Committee (the "Committee") designated by the Funds' Board of Trustees. Some of
the more common reasons that may necessitate that a security be valued using
Fair Value Procedures include: the security's trading has been halted or
suspended; the security has been de-listed from a national exchange; the
security's primary trading market is temporarily closed at a time when, under
normal conditions, it would be open; or the security's primary pricing source is
not able or willing to provide a price. When a security is valued in accordance
with the Fair Value Procedures, the Committee will determine the value after
taking into consideration relevant information reasonably available to the
Committee.
For securities that principally trade on a foreign market or exchange, a
significant gap in time can exist between the time of a particular security's
last trade and the time at which a Fund calculates its net asset value. The
closing prices of such securities may no longer reflect their market value at
the time the Fund calculates net asset value if an event that could materially
affect the value of those securities (a "Significant Event") has occurred
between the time of the security's last close and the time that the Fund
calculates net asset value. A Significant Event may relate to a single issuer or
to an entire market sector. If the adviser or sub-adviser of a Fund becomes
aware of a Significant Event that has occurred with respect to a security or
group of securities after the closing of the exchange or market on which the
security or securities principally trade, but before the time at which the Fund
calculates net asset value, it may request that a Fair Value Committee Meeting
be called. In addition, the Funds' administrator monitors price movements among
certain selected indices, securities and/or baskets of securities that may be an
indicator that the closing prices received earlier from foreign exchanges or
markets may not reflect market value at the time the Fund calculates net asset
value. If price movements in a monitored index or security exceed levels
established by the administrator, the administrator notifies the adviser or
sub-adviser for any Fund holding the relevant securities that such limits have
been exceeded. In such event, the adviser or sub-adviser makes the determination
whether a Fair Value Committee Meeting should be called based on the information
provided.
The Funds that hold international securities also use a third-party fair
valuation vendor. The vendor provides a fair value for foreign securities held
by these Funds based on certain factors and methodologies (involving, generally,
tracking valuation correlations between the U.S. market and each non-U.S.
security). Values from the fair value vendor are applied in the event that there
is a movement in the U.S. market
- --------------------------------------------------------------------------------
102 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
that exceeds a specific threshold that has been established by the Committee.
The Committee has also established a "confidence interval" which is used to
determine the level of historical correlation between the value of a specific
foreign security and movements in the U.S. market before a particular security
will be fair valued when the threshold is exceeded. In the event that the
threshold established by the Committee is exceeded on a specific day, the
International Equity Fund will value the non-U.S. securities in its fund that
exceed the applicable "confidence interval" based upon the adjusted prices
provided by the fair valuation vendor.
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.
Distributions received on securities that represent a return of capital or
capital gain are recorded as a reduction of cost of investments and/or as a
realized gain. The trust estimates the components of distributions received that
may be considered nontaxable distributions or capital gain distributions.
Amortization and accretion is calculated using the scientific interest method,
which 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.
FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds investing in
international securities are maintained in U.S. dollars on the following basis:
(I) market value of investment securities, assets and liabilities at the current
rate of exchange; and
(II) purchases and sales of investment securities, income and expenses at the
relevant rates of exchange prevailing on the respective dates of such
transactions.
The Funds investing in international securities do not isolate that portion of
gains and losses on investments in equity securities that is due to changes in
the foreign exchange rates from that which is due to changes in market prices of
equity securities.
The Funds investing in international securities report certain
foreign-currency-related transactions as components of realized gains for
financial reporting purposes, whereas such components are treated as ordinary
income for Federal income tax purposes.
FUTURES CONTRACTS -- The Tax-Managed Large Cap, Large Cap Value, Mid-Cap Value,
and Managed Volatility Funds utilized S&P 500 Composite Index futures contracts;
the Tax-Managed Small Cap Fund utilized the Russell 2000 Index futures
contracts; the Tax-Managed Large Cap and Tax-Managed Small Cap Funds utilized
the S&P 400 Index futures contracts; and the Core Fixed Income Fund utilized
U.S. Treasury 5 year notes, 10 year notes, 30 year bonds and Euro dollar futures
contracts during the period ended March 31, 2005. 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.
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
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 103
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2005
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, 2005 as disclosed in the Fund's Schedule of Investments. Written
options involve risk of loss in excess of the amounts recognized in Schedule of
Investments and Statement of Assets and Liabilities to the extent of the
contract amounts.
Written option transactions entered into during the six month period ended March
31, 2005 are summarized as follows:
- -------------------------------------------------------------------------------
Core Fixed Income
- -------------------------------------------------------------------------------
Premium
# of Contracts ($Thousands)
- -------------------------------------------------------------------------------
Balance at the beginning of period 1,212 $ 1,387
Written 2,802 1.850
Expired (1,160) (1,156)
Exercised -- --
Closing Buys (1,673) (1,321)
- -------------------------------------------------------------------------------
Balance at the end of period 1,181 $ 760
===============================================================================
At March 31, 2005 the Core Fixed Income Fund had cash and/or securities at least
equal to the value of written options.
SWAP AGREEMENT -- During the period ended March 31, 2005, the Core Fixed Income
and High Yield Bond Funds entered into total return swap agreements in
accordance with its investment objectives. A swap is an agreement to exchange
the return generated by one instrument for the return generated by another
instrument. Total return swaps involve commitments to pay interest in exchange
for a market-linked return based on a notional amount. To the extent the total
return of the security, instrument or basket of instruments underlying the
transaction exceeds the offsetting interest obligation, the Fund will receive a
payment from the counterparty. To the extent the total return of the security,
instrument or basket of instruments underlying the transaction falls short of
the offsetting interest obligation, the Fund will make a payment to the
counterparty. The change in value of swap agreements outstanding, if any, is
recorded as unrealized appreciation or depreciation daily. A realized gain or
loss is recorded on maturity or termination of the swap agreement.
Because there is no organized market for swap agreements, the value of open
swaps may differ from that which would be realized in the event the Fund
terminated its position in the agreement. Risks of entering into these
agreements include the potential inability of the counterparty to meet the terms
of the agreements. This type of risk is generally limited to the amount of
favorable movement in the value of the underlying security, instrument or basket
of instruments, if any, on the day of default. Risks also arise from potential
losses from adverse market movements.
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.
ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or
disposed of in the ordinary course of business within seven days or less for its
approximate carrying value on the books of the Funds. 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, Managed Volatility 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 Large Cap Value, Tax-Managed Small Cap, Small Cap Value, Mid-Cap and Core
Fixed Income Funds utilized earnings and profits distributed to shareholders on
redemption of shares as 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, Managed Volatility, 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
- --------------------------------------------------------------------------------
104 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
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 Adviser, SIMC is entitled to a fee, which is calculated daily and
paid monthly, based on the average daily net assets of each Fund. SIMC has
voluntarily agreed to waive a portion of its fee so that the total annual
expenses of each Fund will not exceed certain voluntary expense limitations
adopted by SIMC. These waivers may be terminated at any time. Accordingly, the
advisory fee and voluntary expense limitations for each Fund are as follows:
- --------------------------------------------------------------------------------
Voluntary
Advisory Expense
Fees Limitations
- --------------------------------------------------------------------------------
Tax-Managed Large Cap Fund, Class A 0.4000% 0.8500%
Tax-Managed Large Cap Fund, Class Y 0.4000 0.5500
Large Cap Fund, Class A 0.3500 0.8500
Large Cap Fund, Class I 0.3500 1.1000
Large Cap Growth Fund, Class A 0.4000 0.8500
Large Cap Growth Fund, Class I 0.4000 1.1000
Tax-Managed Small Cap Fund, Class A 0.6500 1.1000
Small Cap Value Fund, Class A 0.6500 1.1000
Small Cap Value Fund, Class I 0.6500 1.3500
Small Cap Growth Fund, Class A 0.6500 1.1000
Small Cap Growth Fund, Class I 0.6500 1.3500
Mid-Cap Fund, Class A 0.4000 1.0000
Managed Volatility, Class A 0.6500 1.1000
Real Estate Fund, Class A 0.6500 1.1000
Core Fixed Income Fund, Class A 0.2750 0.6000
Core Fixed Income Fund, Class I 0.2750 0.8500
High Yield Bond Fund, Class A 0.4875 0.8500
Extraordinary expenses are not included within this expense cap. Therefore,
during the year, expenses related to a proxy conducted by the Trust were charged
to the Funds above the cap.
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 LP 10/02/00 Y
Aronson + Johnson + Ortiz, LP 07/01/03 Y
Franklin Portfolio Associates, LLC 07/01/03 Y
Goldman Sachs Asset Management, L.P. 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, Inc. 02/16/01 Y
Transamerica Investment
Management, LLC 09/17/01 Y
LARGE CAP VALUE FUND
Alliance Capital Management LP 10/02/00 Y
Aronson + Johnson + Ortiz, LP 07/01/03 Y
Franklin Portfolio Associates, LLC 07/01/03 Y
LSV Asset Management 03/31/95 Y
- --------------------------------------------------------------------------------
Currently Managing
Date of a Portion of Fund
Investment Sub-Adviser Agreement (Y/N)
- --------------------------------------------------------------------------------
LARGE CAP GROWTH FUND
Goldman Sachs Asset Management, L.P. 01/24/03 Y
McKinley Capital Management Inc. 06/26/02 Y
Montag and Caldwell, Inc. 03/12/02 Y
Peregrine Capital Management, Inc. 12/07/00 Y
Transamerica Investment
Management, LLC 09/17/01 Y
TAX-MANAGED SMALL CAP FUND
BlackRock Advisors, Inc. 07/01/03 Y
David J. Greene and Company, LLC 10/31/00 Y
Delaware Management Company 07/01/03 Y
LSV Asset Management 08/14/00 Y
Mazama Capital Management, Inc. 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, Inc. 07/01/03 Y
David J. Greene and Company, LLC 08/14/01 Y
LSV Asset Management 06/11/97 Y
Lee Munder Investments, Ltd. 07/01/03 Y
Martingale Asset Management, L.P. 12/09/02 Y
Wellington Management Company, LLP 07/28/03 Y
SMALL CAP GROWTH FUND
Delaware Management Company 07/01/03 Y
Lee Munder Investments, Ltd. 12/09/02 Y
Martingale Asset Management, L.P. 12/09/02 Y
Mazama Capital Management, Inc. 12/13/99 Y
McKinley Capital Management Inc. 10/30/00 Y
Wellington Management Company, LLP 03/14/02 Y
MID-CAP FUND
Martingale Asset Management, L.P. 08/23/02 Y
MANAGED VOLATILITY FUND
Aronson + Johnson + Ortiz, LP 07/01/03 Y
Analytic Investors, Inc. 07/01/03 Y
REAL ESTATE FUND
Security Capital Research and
Management Incorporated 07/01/03 Y
Wellington Management Company, LLP 11/12/03 Y
CORE FIXED INCOME FUND
BlackRock Advisors, Inc. 01/02/96 Y
Metropolitan West Asset
Management LLC 06/26/02 Y
Wells Capital Management, Inc. 09/30/03 Y
Western Asset Management Company 03/24/97 Y
HIGH YIELD BOND FUND
ING Investment Management Co. 11/13/03 Y
Metropolitan West Asset Management LLC 11/07/03 Y
Nomura Corporate Research and
Asset Management Inc. 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 SEI Investments Company, 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
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 105
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2005
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, 2005 were as follows
($ Thousands):
Tax-Managed Large Cap Fund $ 92
Large Cap Value Fund 386
Large Cap Growth Fund 447
Tax-Managed Small Cap Fund 84
Small Cap Value Fund 57
Small Cap Growth Fund 252
Real Estate Fund 20
------
$1,338
======
Under both the Shareholder Servicing Plans and administrative service plan, the
Distributor may retain as profit any difference between the fee it receives and
the amount it pays to third parties. For the period ended March 31, 2005, the
Distributor retained 100% of the shareholder servicing fees less the waiver, and
100% of the administration servicing fees.
Certain officers and/or trustees of the Trust are also officers of the
Administrator or the Adviser. The Trust pays each unaffiliated Trustee an annual
fee for attendance at quarterly, interim and committee meetings. Compensation of
officers and affiliated Trustees of the Trust is paid by the Adviser or
Administrator.
LSV Asset Management (a partially-owned subsidiary of SIMC) serves as the
sub-adviser to the Tax-Managed Large Cap, Large Cap Value, Tax-Managed Small Cap
and Small Cap Value Funds. For this service LSV Asset Management is entitled to
receive a fee from SIMC. Such fees for the six month period ended March 31, 2005
were as follows ($ Thousands):
Tax-Managed Large Cap Fund $ 135
Large Cap Value Fund 704
Tax-Managed Small Cap Fund 123
Small Cap Value Fund 253
------
$1,215
======
INVESTMENT IN AFFILIATED REGISTERED INVESTMENT COMPANY -- 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 SEI money
market funds do not exceed 25% of the investing Fund's total assets.
4. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
For the six month period ended March 31, 2005 (Unaudited) and the year ended
September 30, 2004
- -------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED LARGE CAP LARGE CAP
LARGE CAP FUND VALUE FUND GROWTH FUND
- -------------------------------------------------------------------------------------------------------------------------
10/1/04 10/1/03 10/1/04 10/1/03 10/1/04 10/1/03
to 3/31/05 to 9/30/04 to 3/31/05 to 9/30/04 to 3/31/05 to 9/30/04
- -------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 17,533 47,540 19,187 55,053 20,260 58,229
Shares Issued in Lieu of Dividends
& Distributions 1,492 1,439 3,337 3,093 912 --
Shares Redeemed (21,131) (50,113) (32,068) (58,209) (28,455) (59,821)
- -------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions (2,106) (1,134) (9,544) (63) (7,283) (1,592)
- -------------------------------------------------------------------------------------------------------------------------
Class I:
Shares Issued -- -- 153 647 167 1,257
Shares Issued in Lieu of Dividends
& Distributions -- -- 16 9 6 --
Shares Redeemed -- -- (105) (177) (242) (371)
- -------------------------------------------------------------------------------------------------------------------------
Total Class I Transactions -- -- 64 479 (69) 886
- -------------------------------------------------------------------------------------------------------------------------
Class Y:
Shares Issued 1 134 -- -- -- --
Shares Issued in Lieu of Dividends
& Distributions 4 4 -- -- -- --
Shares Redeemed (23) (84) -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
Total Class Y Transactions (18) 54 -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Share Transactions (2,124) (1,080) (9,480) 416 (7,352) (706)
=========================================================================================================================
Amounts designated as "--" are zero or have been rounded to zero.
- --------------------------------------------------------------------------------
106 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
For the six month period ended March 31, 2005 (Unaudited) and the period ended
September 30, 2004
- -------------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED SMALL CAP SMALL CAP
SMALL CAP FUND VALUE FUND GROWTH FUND
- -------------------------------------------------------------------------------------------------------------------------------
10/1/04 10/1/03 10/1/04 10/1/03 10/1/04 10/1/03
to 3/31/05 to 9/30/04 to 3/31/05 to 9/30/04 to 3/31/05 to 9/30/04
- -------------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 2,313 5,701 6,307 15,291 8,832 24,229
Shares Issued in Lieu of Dividends
& Distributions 1,210 -- 7,059 2,444 -- --
Shares Redeemed (2,088) (5,395) (8,074) (17,888) (13,504) (22,214)
- -------------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 1,435 306 5,292 (153) (4,672) 2,015
- -------------------------------------------------------------------------------------------------------------------------------
Class I:
Shares Issued -- -- 142 313 155 448
Shares Issued in Lieu of Dividends
& Distributions -- -- 66 10 -- --
Shares Redeemed -- -- (76) (113) (147) (261)
- -------------------------------------------------------------------------------------------------------------------------------
Total Class I Transactions -- -- 132 210 8 187
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Share Transactions 1,435 306 5,424 57 (4,664) 2,202
===============================================================================================================================
- ----------------------------------------------------------------------------------------------------------------
MID-CAP MANAGED REAL ESTATE
FUND VOLATILITY FUND(1) FUND(2)
- ----------------------------------------------------------------------------------------------------------------
10/1/04 10/1/03 10/28/05 10/1/04 11/13/03
to 3/31/05 to 9/30/04 to 3/31/05 to 3/31/05 to 9/30/04
- ----------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 859 1,980 8,955 2,732 3,551
Shares Issued in Lieu of
Dividends & Distributions 290 61 34 116 14
Shares Redeemed (830) (1,807) (445) (671) (622)
- ----------------------------------------------------------------------------------------------------------------
Total Class A Transactions 319 234 8,544 2,177 2,943
- ----------------------------------------------------------------------------------------------------------------
Class I:
Shares Issued -- -- -- -- --
Shares Issued in Lieu of
Dividends & Distributions -- -- -- -- --
Shares Redeemed -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------
Total Class I Transactions -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------
Net Increase in Capital Share
Transactions 319 234 8,544 2,177 2,943
================================================================================================================
- -----------------------------------------------------------------------------------------
CORE FIXED HIGH YIELD
INCOME FUND BOND FUND
- -----------------------------------------------------------------------------------------
10/1/04 10/1/03 10/1/04 10/1/03
to 3/31/05 to 9/30/04 to 3/31/05 to 9/30/04
- -----------------------------------------------------------------------------------------
Class A:
Shares Issued 46,818 124,691 33,549 67,296
Shares Issued in Lieu of
Dividends & Distributions 9,834 16,699 5,098 9,150
Shares Redeemed (50,989) (116,545) (25,771) (53,463)
- -----------------------------------------------------------------------------------------
Total Class A Transactions 5,663 24,845 12,876 22,983
- -----------------------------------------------------------------------------------------
Class I:
Shares Issued 232 740 -- --
Shares Issued in Lieu of
Dividends & Distributions 27 32 -- --
Shares Redeemed (156) (347) -- --
- -----------------------------------------------------------------------------------------
Total Class I Transactions 103 425 -- --
- -----------------------------------------------------------------------------------------
Net Increase in Capital Share
Transactions 5,766 25,270 12,876 22,983
=========================================================================================
(1) The Managed Volatility Fund commenced operations on October 28, 2004.
(2) 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, 2005, were as follows:
- --------------------------------------------------------------------------------
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TAX-MANAGED
LARGE CAP FUND
Purchases ................... $ -- $ 278,961 $ 278,961
Sales ....................... -- 331,837 331,837
LARGE CAP VALUE FUND
Purchases ................... -- 751,483 751,483
Sales ....................... -- 957,890 957,890
LARGE CAP GROWTH FUND
Purchases ................... -- 797,192 797,192
Sales ....................... -- 950,334 950,334
- --------------------------------------------------------------------------------
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TAX-MANAGED
SMALL CAP FUND
Purchases ................... $ -- $ 97,150 $ 97,150
Sales ....................... -- 92,058 92,058
SMALL CAP VALUE FUND
Purchases ................... -- 358,088 358,088
Sales ....................... -- 380,063 380,063
SMALL CAP GROWTH FUND
Purchases ................... -- 637,933 637,933
Sales ....................... -- 704,743 704,743
MID-CAP FUND
Purchases ................... -- 31,758 31,758
Sales ....................... -- 31,967 31,967
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 107
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2005
5. INVESTMENT TRANSACTIONS (CONCLUDED)
- --------------------------------------------------------------------------------
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MANAGED VOLATILITY FUND
Purchases ................... $ -- $ 105,350 $ 105,350
Sales ....................... -- 21,069 21,069
REAL ESTATE FUND
Purchases ................... -- 46,630 46,630
Sales ....................... -- 20,284 20,284
CORE FIXED INCOME FUND
Purchases ................... 11,021,356 703,577 11,724,933
Sales ....................... 10,569,893 632,867 11,202,760
HIGH YIELD BOND FUND
Purchases ................... 781 858,307 859,088
Sales ....................... -- 853,831 853,831
6. FEDERAL TAX INFORMATION
It is each Fund's intention to continue to qualify as a regulated investment
company under Subchapter M of The Internal Revenue Code and distribute all of
its taxable income (including net capital gains).
Accordingly, no provision for Federal income taxes is required.
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.
The tax character of dividends and distributions paid during the years or period
ended September 30, 2004 and September 30, 2003 were as follows:
- --------------------------------------------------------------------------------------------------------
Ordinary Long-term Return of
Income Capital Gain Capital Total
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------------------------------
Tax-Managed Large Cap Fund 2004 $ 15,399 $ -- $ -- $ 15,399
2003 14,190 -- -- 14,190
Large Cap Value Fund 2004 61,966 -- -- 61,966
2003 52,336 -- -- 52,336
Large Cap Growth Fund 2004 -- -- -- --
2003 599 -- 1,355 1,954
Tax-Managed Small Cap Fund 2004 -- -- -- --
2003 -- -- -- --
Small Cap Value Fund 2004 24,583 23,948 -- 48,531
2003 4,152 22,089 -- 26,241
Small Cap Growth Fund 2004 -- -- -- --
2003 -- -- -- --
Mid-Cap Fund 2004 1,149 -- -- 1,149
2003 217 165 -- 382
Real Estate Fund 2004 160 3 1 164
Core Fixed Income Fund 2004 187,156 3,992 -- 191,148
2003 166,770 50,341 -- 217,111
High Yield Bond Fund 2004 83,753 -- -- 83,753
2003 75,605 -- -- 75,605
As of September 30, 2004, the components of Distributable Earnings/(Accumulated
Losses) were as follows:
- -------------------------------------------------------------------------------------------------------
Undistributed Undistributed Capital Post
Ordinary Long-Term Loss October
Income Capital Gain Carryforwards Losses
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------------------------------
Tax-Managed Large Cap Fund $ 3,994 $ -- $ (574,350) $ --
Large Cap Value Fund 34,081 -- -- --
Large Cap Growth Fund -- -- (1,536,654) --
Tax-Managed Small Cap Fund 1,439 12,313 -- --
Small Cap Value Fund 54,399 89,422 -- --
Small Cap Growth Fund -- -- (197,029) --
Mid-Cap Fund 2,074 3,197 -- --
Real Estate Fund* 104 600 -- --
Core Fixed Income Fund 10,516 22,699 -- --
High Yield Bond Fund 213 -- (138,924) --
- ------------------------------------------------------------------------------------------------
Unrealized Other Total
Appreciation Temporary Distributable Earnings/
(Depreciation) Differences (Accumulated Losses)
($ Thousands) ($ Thousands) ($ Thousands)
- ------------------------------------------------------------------------------------------------
Tax-Managed Large Cap Fund $ 194,781 $ -- (375,575)
Large Cap Value Fund 385,822 -- 419,903
Large Cap Growth Fund (15,928) -- (1,552,582)
Tax-Managed Small Cap Fund 22,625 -- 36,377
Small Cap Value Fund 106,438 -- 250,259
Small Cap Growth Fund (29,975) -- (227,004)
Mid-Cap Fund 4,985 -- 10,256
Real Estate Fund* 2,226 -- 2,930
Core Fixed Income Fund 64,378 (842) 96,751
High Yield Bond Fund 2,133 (213) (136,791)
* Information reflects Fund activity based on Fund's December 31, 2003 tax
reporting year.
- --------------------------------------------------------------------------------
108 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
Post October losses represent losses realized on investment transactions from
November 1, 2003 through September 30, 2004 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
2012 2011 2010 2009 2008 Carryforwards
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------------------------------------------------------------------------
Tax-Managed Large Cap Fund $ 16,065 $ 203,461 $ 316,235 $ 37,081 $ 1,508 $ 574,350
Large Cap Growth Fund 7,113 625,971 903,570 -- -- 1,536,654
Small Cap Growth Fund -- 37,581 159,448 -- -- 197,029
High Yield Bond Fund -- 57,114 81,810 -- -- 138,924
During the year ended September 30, 2004 Large Cap Value, Tax-Managed Small Cap,
Small Cap Growth and High Yield Bond Funds utilized $77,756,740, $11,585,871,
$112,243,741 and $59,250,197 of capital loss carryforwards, respectively, to
offset capital gains.
The aggregate gross unrealized appreciation and depreciation on investments held
by the Funds at March 31, 2005, were as follows:
- -------------------------------------------------------------------------------
Net
Unrealized
Appreciated Depreciated Appreciation
Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Tax-Managed Large Cap Fund $ 403,547 $(106,327) $ 297,220
Large Cap Value Fund 798,013 (149,532) 648,481
Large Cap Growth Fund 571,008 (399,007) 172,001
Tax-Managed Small Cap Fund 47,951 (11,285) 36,666
Small Cap Value Fund 201,043 (36,774) 164,269
Small Cap Growth Fund 123,898 (125,466) (1,568)
Mid-Cap Fund 9,621 (1,113) 8,508
Managed Volatility Fund 4,182 (2,019) 2,163
Real Estate Fund 5,254 (892) 4,362
Core Fixed Income Fund 58,401 (54,826) 3,575
High Yield Bond Fund 24,410 (40,840) (16,430)
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
33 1/3% of the total asset value of the Fund (including the loan collateral).
No Fund will lend portfolio securities to its Adviser, sub-adviser or their
affiliates unless it has applied for and received specific authority to do so
from the SEC. Loans of portfolio securities will be fully collateralized by
cash. Collateral will be maintained in an amount equal to at least 100% of the
current market value of the loaned securities by marking to market daily,
although the borrower will be required to deliver collateral 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 by the Funds to the counterparty to the contract. 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.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 109
Notes to Financial Statements (Unaudited) (Concluded)
March 31, 2005
9. LITIGATION
The Core Fixed Income Fund has participated as a plaintiff bond-holder, 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 $4,310,636 which is approximately 70% 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 Fund, along with other bondholders, has since
entered into an agreement to sell the Note to Duty Free International. 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.
10. OTHER
On March 31, 2005, number of shareholders below held the following percentage of
the outstanding shares of the Funds.
- -------------------------------------------------------------------------------
Number of % of Outstanding
Shareholders Shares
- -------------------------------------------------------------------------------
Tax-Managed Large Cap Fund, Class A 1 89.51%
Tax-Managed Large Cap Fund, Class Y 1 100.00
Large Cap Value Fund, Class A 1 76.40
Large Cap Value Fund, Class I 3 59.58
Large Cap Growth Fund, Class A 1 74.93
Large Cap Growth Fund, Class I 4 74.42
Tax-Managed Small Cap Fund 1 85.08
Small Cap Value Fund, Class A 1 72.43
Small Cap Value Fund, Class I 3 44.98
Small Cap Growth Fund, Class A 1 59.77
Small Cap Growth Fund, Class I 3 56.46
Mid-Cap Fund, Class A 1 69.47
Managed Volatility Fund, Class A 5 94.40
Real Estate Fund, Class A 2 72.95
Core Fixed Income Fund, Class A 1 76.18
Core Fixed Income Fund, Class I 2 46.49
High Yield Bond Fund, Class A 1 64.52
These shareholders are comprised of omnibus accounts, which are held on behalf
of several individual shareholders.
- --------------------------------------------------------------------------------
110 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
Disclosure of Fund Expenses (Unaudited)
All mutual funds have operating expenses. As a shareholder of a mutual fund,
your investment is affected by these ongoing costs, which include (among others)
costs for portfolio management, administrative services, and shareholder reports
like this one. It is important for you to understand the impact of these costs
on your investment returns.
Operating expenses such as these are deducted from the mutual fund's gross
income and directly reduce your final investment return. These expenses are
expressed as a percentage of the mutual fund's average net assets; this
percentage is known as the mutual fund's expense ratio.
The following examples use the expense ratio and are intended to help you
understand the ongoing costs (in dollars) of investing in your Fund and to
compare these costs with those of other mutual funds. The examples are based on
an investment of $1,000 made at the beginning of the period shown and held for
the entire period.
The table on the next page illustrates your Fund's costs in two ways:
o ACTUAL FUND RETURN. This section helps you to estimate the actual expenses
after fee waivers that your Fund incurred over the period. The "Expenses Paid
During Period" column shows the actual dollar expense cost incurred by a $1,000
investment in the Fund, and the "Ending Account Value" number is derived from
deducting that expense cost from the Fund's gross investment return.
You can use this information, together with the actual amount you invested in
the Fund, to estimate the expenses you paid over that period. Simply divide your
actual starting account value by $1,000 to arrive at a ratio (for example, an
$8,600 account value divided by $1,000 = $8.6), then multiply that ratio by the
number shown for your Fund under "Expenses Paid During Period."
o HYPOTHETICAL 5% RETURN. This section helps you compare your Fund's costs with
those of other mutual funds. It assumes that the fund had an annual 5% return
before expenses during the year, but that the expense ratio (Column 3) is
unchanged. This example is useful in making comparisons because the Securities
and Exchange Commission requires all mutual funds to make this 5% calculation.
You can assess your fund's comparative cost by comparing the hypothetical result
for your Fund in the "Expense Paid During Period" column with those that appear
in the same charts in the shareholder reports for other mutual funds.
NOTE: Because the return is set at 5% for comparison purposes -- NOT your fund's
actual return -- the account values shown do not apply to your specific
investment.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 111
Disclosure of Fund Expenses (Unaudited) (Concluded)
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
9/30/04 3/31/05 RATIOS PERIOD*
- --------------------------------------------------------------------------------
TAX-MANAGED LARGE CAP FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,068.40 0.85% $4.38
Class Y Shares 1,000.00 1,070.50 0.55 2.84
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.69 0.85% $4.28
Class Y Shares 1,000.00 1,022.19 0.55 2.77
- --------------------------------------------------------------------------------
LARGE CAP VALUE FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,096.50 0.85% $4.44
Class I Shares 1,000.00 1,095.70 1.10 5.75
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.69 0.85% $4.28
Class I Shares 1,000.00 1,019.45 1.10 5.54
- --------------------------------------------------------------------------------
LARGE CAP GROWTH FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,032.50 0.85% $4.31
Class I Shares 1,000.00 1,031.50 1.10 5.57
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.69 0.85% $4.28
Class I Shares 1,000.00 1,019.45 1.10 5.54
- --------------------------------------------------------------------------------
TAX-MANAGED SMALL CAP FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,110.40 1.10% $5.79
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.45 1.10% $5.54
- --------------------------------------------------------------------------------
SMALL CAP VALUE FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,121.60 1.10% $5.82
Class I Shares 1,000.00 1,120.10 1.35 7.14
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.45 1.10% $5.54
Class I Shares 1,000.00 1,018.20 1.35 6.79
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
9/30/04 3/31/05 RATIOS PERIOD*
- --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,060.80 1.10% $5.65
Class I Shares 1,000.00 1,058.60 1.35 6.93
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.45 1.10% $5.54
Class I Shares 1,000.00 1,018.20 1.35 6.79
- --------------------------------------------------------------------------------
MID-CAP FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,154.70 1.00% $5.37
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.95 1.00% $5.04
- --------------------------------------------------------------------------------
MANAGED VOLATILITY FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 990.20 1.10% $5.46
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.45 1.10% $5.54
- --------------------------------------------------------------------------------
REAL ESTATE FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,100.50 1.10% $5.76
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.45 1.10% $5.54
- --------------------------------------------------------------------------------
CORE FIXED INCOME FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,006.50 0.60% $3.00
Class I Shares 1,000.00 1,005.20 0.85 4.25
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,021.94 0.60% $3.02
Class I Shares 1,000.00 1,020.69 0.85 4.28
- --------------------------------------------------------------------------------
HIGH YIELD BOND FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,035.20 0.85% $4.31
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.69 0.85% $4.28
* Expenses are equal to the Fund's annualized expense ratio multiplied by
the average account value over the period, multiplied by 182/365 (to
reflect one-half year period shown).
- --------------------------------------------------------------------------------
112 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory
Agreements (Unaudited)
The SEI Institutional Managed Trust (the "Trust") and SEI Investments Management
Corporation ("SIMC") have entered into an investment advisory agreement (the
"Advisory Agreement"). Pursuant to the Advisory Agreement, SIMC oversees the
investment advisory services provided to each series of the Trust (each, a
"Fund" and, collectively, the "Funds") and may manage a portion of the Funds'
assets. Pursuant to separate sub-advisory agreements (the "Sub-Advisory
Agreements" and together with the Advisory Agreement, the "Investment Advisory
Agreements") with SIMC, and under the supervision of SIMC and the Trust's Board
of Trustees (the "Board"), the sub-advisers are responsible for the day-to-day
investment management of all or a discrete portion of the assets of the Funds.
The sub-advisers also are responsible for managing their employees who provide
services to these Funds. The sub-advisers are selected based primarily upon the
research and recommendations of SIMC, which evaluates quantitatively and
qualitatively each sub-adviser's skills and investment results in managing
assets for specific asset classes, investment styles and strategies.
The Investment Company Act of 1940, as amended (the "1940 Act") requires that
the initial approval of, as well as the continuation of, each Fund's Investment
Advisory Agreements must be specifically approved: (i) by the vote of the Board
of Trustees or by a vote of the shareholders of the Fund; and (ii) by the vote
of a majority of the Trustees who are not parties to the Investment Advisory
Agreements or "interested persons" of any party (the "Independent Trustees"),
cast in person at a meeting called for the purpose of voting on such approval.
In connection with their consideration of such approvals, the Fund's Trustees
must request and evaluate, and SIMC and the sub-advisers are required to
furnish, such information as may be reasonably necessary to evaluate the terms
of the Investment Advisory Agreements. In addition, the Securities and Exchange
Commission ("SEC") takes the position that, as part of their fiduciary duties
with respect to a mutual fund's fees, mutual fund boards are required to
evaluate the material factors applicable to a decision to approve an Investment
Advisory Agreement.
Consistent with these responsibilities, the Trust's Board of Trustees calls and
holds meetings each year that are dedicated to considering whether to renew the
Investment Advisory Agreements between the Trust and SIMC and SIMC and each of
the sub-advisers with respect to the Funds of the Trust. In preparation for
these meetings, the Board requests and reviews a wide variety of materials
provided by SIMC and the sub-advisers, including information about SIMC's and
the sub-advisers' affiliates, personnel and operations. The Board also receives
extensive data provided by third parties. This information is in addition to the
detailed information about the Funds that the Board reviews during the course of
each year, including information that relates to Fund operations and Fund
performance. The Trustees also receive a memorandum from Fund counsel and
independent counsel to the Independent Trustees regarding the responsibilities
of Trustees in connection with their consideration of whether to approve the
Trust's Investment Advisory Agreements. Finally, the Independent Trustees
receive advice from independent counsel to the Independent Trustees, meet in
executive session outside the presence of Fund management and participate in
question and answer sessions with representatives of SIMC and the sub-advisers.
Specifically, the Board requested and received written materials from SIMC and
each sub-adviser regarding: (a) the quality of SIMC's and sub-advisers'
investment management and other services; (b) SIMC's and sub-advisers'
investment management personnel; (c) SIMC's and sub-advisers' operations and
financial condition; (d) SIMC's and sub-advisers' brokerage practices (including
any soft dollar arrangements) and investment strategies; (e) the level of the
advisory fees that SIMC and each sub-adviser charges a Fund compared with the
fees each charges to comparable mutual funds; (f) a Fund's overall fees and
operating expenses compared with similar mutual funds; (g) the level of SIMC's
and each sub-adviser's profitability from its Fund-related operations; (h)
SIMC's and sub-advisers' compliance systems; (i) SIMC's and sub-advisers'
policies on and compliance procedures for personal securities transactions; (j)
SIMC's and sub-advisers' reputation, expertise and resources in domestic and/or
international financial markets; and (k) each Fund's performance compared with
similar mutual funds.
At the December 9, 2004 and March 9, 2005 meetings of the Board of Trustees, the
Trustees, including a majority of the Independent Trustees, approved the
Investment Advisory Agreements and approved the selection of SIMC and the
sub-advisers to act in their respective capacities for the Funds. The Board's
approval was based on its consideration and evaluation of a variety of specific
factors discussed at the meetings and at prior meetings, including:
o the nature, extent and quality of the services provided to the Funds under
the Investment Advisory Agreements, including the resources of SIMC and
the sub-advisers and their affiliates dedicated to the Funds;
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 113
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory
Agreements (Unaudited) (Concluded)
o each Fund's investment performance and how it compared to that of other
comparable mutual funds;
o each Fund's expenses under each Investment Advisory Agreement and how
those expenses compared to those of other comparable mutual funds;
o the profitability of SIMC and the sub-advisers and their affiliates with
respect to each Fund, including both direct and indirect benefits accruing
to SIMC and the sub-advisers and their affiliates; and
o the extent to which economies of scale would be realized as the Funds grow
and whether fee levels in the Investment Advisory Agreements reflect those
economies of scale for the benefit of Fund investors.
NATURE, EXTENT AND QUALITY OF SERVICES. The Board of Trustees considered the
nature, extent and quality of the services provided by SIMC and the sub-advisers
to the Funds and the resources of SIMC and the sub-advisers and their affiliates
dedicated to the Funds. In this regard, the Trustees evaluated, among other
things, SIMC's and the sub-advisers' personnel, experience, track record and
compliance program. Following evaluation, the Board concluded that, within the
context of its full deliberations, the nature, extent and quality of services
provided by SIMC and the sub-advisers to the Funds and the resources of SIMC and
the sub-advisers and their affiliates dedicated to the Funds supported renewal
of the Investment Advisory Agreements.
FUND PERFORMANCE. The Board of Trustees considered Fund performance in
determining whether to renew the Investment Advisory Agreements. Specifically,
the Trustees considered each Fund's performance relative to its peer group and
appropriate indices/benchmarks, in light of total return, yield and market
trends. As part of this review, the Trustees considered the composition of the
peer group and selection criteria. In evaluating performance, the Trustees
considered both market risk and shareholder risk expectations for a given Fund.
Following evaluation, the Board concluded that, within the context of its full
deliberations, the performance of the Funds supported renewal of the Investment
Advisory Agreements.
FUND EXPENSES. With respect to the Funds' expenses under the Investment Advisory
Agreements, the Trustees considered the rate of compensation called for by the
Investment Advisory Agreements and each Fund's net operating expense ratio in
comparison to those of other comparable mutual funds. The Trustees also
considered information about average expense ratios of comparable mutual funds
in each Fund's respective peer group. Finally, the Trustees considered the
effects of SIMC's voluntary waiver of management and other fees and the
sub-advisers' fees to prevent total Fund expenses from exceeding a specified cap
and that SIMC and the sub-advisers, through waivers, have maintained the Funds'
net operating expenses at competitive levels for their respective distribution
channels. Following evaluation, the Board concluded that, within the context of
its full deliberations, the expenses of the Funds are reasonable and supported
renewal of the Investment Advisory Agreements.
PROFITABILITY. With regard to profitability, the Trustees considered all
compensation flowing to SIMC and the sub-advisers and their affiliates, directly
or indirectly. The Trustees considered whether the varied levels of compensation
and profitability under the Investment Advisory Agreements and other service
agreements were reasonable and justified in light of the quality of all services
rendered to the Funds by SIMC and the sub-advisers and their affiliates. Based
on this evaluation, the Board concluded that, within the context of its full
deliberations, the profitability of SIMC and the sub-advisers is reasonable and
supported renewal of the Investment Advisory Agreements.
ECONOMIES OF SCALE. The Trustees considered the existence of any economies of
scale and whether those were passed along to a Fund's shareholders through a
graduated investment advisory fee schedule or other means, including any fee
waivers by SIMC and its affiliates. Based on this evaluation, the Board
concluded that, within the context of its full deliberations, the Funds obtain
reasonable benefit from economies of scale.
Based on the Trustees' deliberation and their evaluation of the information
described above, the Board, including all of the Independent Trustees,
unanimously approved the continuation of the Investment Advisory Agreements and
concluded that the compensation under the Investment Advisory Agreements is fair
and reasonable in light of such services and expenses and such other matters as
the Trustees considered to be relevant in the exercise of their reasonable
judgment. In the course of their deliberations, the Trustees did not identify
any particular information that was all-important or controlling.
- --------------------------------------------------------------------------------
114 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
Shareholder Voting Results (Unaudited)
At a special meeting held on October 27, 2004, the shareholders of the SEI
Institutional Managed Trust voted on the proposals listed below. The results of
the voting were as follows:
PROPOSAL 1: To elect Trustees of the Trust
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------------- ----------- -----------
Rosemarie B. Greco
Affirmative 657,049,435.791 51.192% 98.951%
Withhold 6,965,561.015 .543% 1.049%
TOTAL 664,014,996.806 51.735% 100.000%
Nina Lesavoy
Affirmative 657,284,212.219 51.211% 98.986%
Withhold 6,730,784.587 .524% 1.014%
TOTAL 664,014,996.806 51.735% 100.000%
James M. Williams
Affirmative 657,518,540.531 51.229% 99.022%
Withhold 6,496,456.275 .506% .978%
TOTAL 664,014,996.806 51.735% 100.000%
PROPOSAL 2: To approve eliminating or reclassifying certain fundamental policies
and restrictions for all Funds.
TAX-MANAGED LARGE CAP FUND
4(a) Fundamental Policy Regarding Diversification
Affirmative 93,956,278.116 49.086% 96.315%
Against 743,465.000 .388% .762%
Abstain 1,019,822.000 .533% 1.046%
Broker Non-votes 1,831,477.000 .957% 1.877%
TOTAL 97,551,042.116 50.964% 100.000%
4(b) Fundamental Policy Regarding Concentration
Affirmative 93,828,640.116 49.019% 96.184%
Against 860,590.000 .450% .882%
Abstain 1,030,335.000 .538% 1.056%
Broker Non-votes 1,831,477.000 .957% 1.877%
TOTAL 97,551,042.116 50.964% 100.000%
4(c) Fundamental Policy Regarding Borrowing and Senior Securities
Affirmative 93,179,210.116 48.680% 95.518%
Against 1,497,753.000 .782% 1.536%
Abstain 1,042,602.000 .545% 1.068%
Broker Non-votes 1,831,477.000 .957% 1.877%
TOTAL 97,551,042.116 50.964% 100.000%
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 115
Shareholder Voting Results (Unaudited) (Continued)
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------------- ----------- -----------
4(d) Fundamental Policy Regarding Lending
Affirmative 93,124,550.116 48.651% 95.462%
Against 1,536,931.000 .803% 1.576%
Abstain 1,058,084.000 .553% 1.084%
Broker Non-votes 1,831,477.000 .957% 1.877%
TOTAL 97,551,042.116 50.964% 100.000%
4(g) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 93,753,242.116 48.980% 96.107%
Against 853,208.000 .445% .874%
Abstain 1,113,115.000 .582% 1.142%
Broker Non-votes 1,831,477.000 .957% 1.877%
TOTAL 97,551,042.116 50.964% 100.000%
4(i) Fundamental Policy Regarding Underwriting of Securities
Affirmative 93,183,669.116 48.682% 95.523%
Against 1,485,795.000 .776% 1.523%
Abstain 1,050,101.000 .549% 1.077%
Broker Non-votes 1,831,477.000 .957% 1.877%
TOTAL 97,551,042.116 50.964% 100.000%
4(n) Fundamental Policy Regarding Investment in Oil and Gas
Affirmative 93,795,754.116 49.002% 96.150%
Against 902,503.000 .471% .926%
Abstain 1,021,308.000 .534% 1.046%
Broker Non-votes 1,831,477.000 .957% 1.877%
TOTAL 97,551,042.116 50.964% 100.000%
4(p) Fundamental Policy Making all Investment Limitations in Prospectus
Fundamental
Affirmative 90,350,122.116 47.202% 92.618%
Against 2,033,762.000 1.062% 2.085%
Abstain 908,195.000 .475% .931%
Broker Non-votes 4,258,963.000 2.225% 4.366%
TOTAL 97,551,042.116 50.964% 100.000%
LARGE CAP VALUE FUND
4(a) Fundamental Policy Regarding Diversification
Affirmative 103,758,809.383 49.018% 95.046%
Against 1,940,606.835 .917% 1.778%
Abstain 1,339,707.641 .633% 1.227%
Broker Non-votes 2,127,505.000 1.005% 1.949%
TOTAL 109,166,628.859 51.573% 100.000%
- --------------------------------------------------------------------------------
116 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------------- ----------- -----------
4(b) Fundamental Policy Regarding Concentration
Affirmative 103,680,669.657 48.981% 94.975%
Against 2,008,287.211 .949% 1.839%
Abstain 1,350,166.991 .638% 1.237%
Broker Non-votes 2,127,505.000 1.005% 1.949%
TOTAL 109,166,628.859 51.573% 100.000%
4(c) Fundamental Policy Regarding Borrowing and Senior Securities
Affirmative 103,498,934.740 48.895% 94.808%
Against 2,137,716.790 1.010% 1.958%
Abstain 1,402,472.329 .663% 1.285%
Broker Non-votes 2,127,505.000 1.005% 1.949%
TOTAL 109,166,628.859 51.573% 100.000%
4(d) Fundamental Policy Regarding Lending
Affirmative 103,408,328.785 48.853% 94.725%
Against 2,217,779.757 1.047% 2.032%
Abstain 1,413,015.317 .668% 1.294%
Broker Non-votes 2,127,505.000 1.005% 1.949%
TOTAL 109,166,628.859 51.573% 100.000%
4(g) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 103,651,615.962 48.968% 94.948%
Against 2,035,444.714 .961% 1.865%
Abstain 1,352,063.183 .639% 1.238%
Broker Non-votes 2,127,505.000 1.005% 1.949%
TOTAL 109,166,628.859 51.573% 100.000%
4(i) Fundamental Policy Regarding Underwriting of Securities
Affirmative 103,468,839.642 48.881% 94.781%
Against 2,201,353.938 1.040% 2.016%
Abstain 1,368,930.279 .647% 1.254%
Broker Non-votes 2,127,505.000 1.005% 1.949%
TOTAL 109,166,628.859 51.573% 100.000%
4(n) Fundamental Policy Regarding Investment in Oil and Gas
Affirmative 103,595,856.199 48.941% 94.897%
Against 2,057,019.343 .972% 1.884%
Abstain 1,386,248.317 .655% 1.270%
Broker Non-votes 2,127,505.000 1.005% 1.949%
TOTAL 109,166,628.859 51.573% 100.000%
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 117
Shareholder Voting Results (Unaudited) (Continued)
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------------- ----------- -----------
4(p) Fundamental Policy Making all Investment Limitations in Prospectus
Fundamental
Affirmative 100,886,072.432 47.661% 92.415%
Against 1,894,187.441 .895% 1.735%
Abstain 1,188,852.986 .562% 1.089%
Broker Non-votes 5,197,516.000 2.455% 4.761%
TOTAL 109,166,628.859 51.573% 100.000%
LARGE CAP GROWTH FUND
4(a) Fundamental Policy Regarding Diversification
Affirmative 114,299,356.866 49.769% 96.279%
Against 926,589.459 .404% .780%
Abstain 1,519,661.440 .661% 1.281%
Broker Non-votes 1,971,234.000 .858% 1.660%
TOTAL 118,716,841.765 51.693% 100.000%
4(b) Fundamental Policy Regarding Concentration
Affirmative 114,231,957.522 49.740% 96.222%
Against 1,011,090.166 .440% .852%
Abstain 1,502,560.077 .654% 1.265%
Broker Non-votes 1,971,234.000 .858% 1.660%
TOTAL 118,716,841.765 51.693% 100.000%
4(c) Fundamental Policy Regarding Borrowing and Senior Securities
Affirmative 114,046,986.368 49.659% 96.066%
Against 1,151,719.445 .502% .971%
Abstain 1,546,901.952 .673% 1.302%
Broker Non-votes 1,971,234.000 .858% 1.660%
TOTAL 118,716,841.765 51.693% 100.000%
4(d) Fundamental Policy Regarding Lending
Affirmative 113,949,798.796 49.617% 95.985%
Against 1,242,314.068 .541% 1.046%
Abstain 1,553,494.901 .676% 1.309%
Broker Non-votes 1,971,234.000 .858% 1.660%
TOTAL 118,716,841.765 51.693% 100.000%
4(g) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 114,131,555.374 49.696% 96.138%
Against 1,088,327.100 .474% .916%
Abstain 1,525,725.291 .664% 1.286%
Broker Non-votes 1,971,234.000 .858% 1.660%
TOTAL 118,716,841.765 51.693% 100.000%
- --------------------------------------------------------------------------------
118 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------------- ----------- -----------
4(i) Fundamental Policy Regarding Underwriting of Securities
Affirmative 113,981,054.861 49.631% 96.011%
Against 1,226,467.580 .534% 1.033%
Abstain 1,538,085.324 .669% 1.296%
Broker Non-votes 1,971,234.000 .858% 1.660%
TOTAL 118,716,841.765 51.693% 100.000%
4(n) Fundamental Policy Regarding Investment in Oil and Gas
Affirmative 114,144,711.029 49.702% 96.149%
Against 1,035,985.133 .451% .872%
Abstain 1,564,911.603 .681% 1.319%
Broker Non-votes 1,971,234.000 .858% 1.660%
TOTAL 118,716,841.765 51.693% 100.000%
4(p) Fundamental Policy Making all Investment Limitations in Prospectus
Fundamental
Affirmative 110,854,697.744 48.269% 93.377%
Against 849,471.683 .370% .716%
Abstain 1,319,145.338 .575% 1.111%
Broker Non-votes 5,693,527.000 2.479% 4.796%
TOTAL 118,716,841.765 51.693% 100.000%
TAX-MANAGED SMALL CAP FUND
4(a) Fundamental Policies Regarding Diversification
Affirmative 12,230,589.865 66.768% 96.353%
Against 68,428.297 .374% .539%
Abstain 98,737.283 .539% .778%
Broker Non-votes 295,747.000 1.615% 2.330%
TOTAL 12,693,502.445 69.295% 100.000%
4(b) Fundamental Policy Regarding Concentration
Affirmative 12,215,440.539 66.685% 96.234%
Against 79,943.685 .437% .630%
Abstain 102,371.221 .559% .806%
Broker Non-votes 295,747.000 1.615% 2.330%
TOTAL 12,693,502.445 69.295% 100.000%
4(c) Fundamental Policies Regarding Borrowing and Senior Securities
Affirmative 12,210,164.340 66.657% 96.192%
Against 83,446.822 .455% .658%
Abstain 104,144.283 .569% .820%
Broker Non-votes 295,747.000 1.615% 2.330%
TOTAL 12,693,502.445 69.295% 100.000%
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 119
Shareholder Voting Results (Unaudited) (Continued)
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------------- ----------- -----------
4(d) Fundamental Policy Regarding Lending
Affirmative 12,207,727.426 66.643% 96.173%
Against 85,597.736 .468% .674%
Abstain 104,430.283 .570% .823%
Broker Non-votes 295,747.000 1.615% 2.330%
TOTAL 12,693,502.445 69.295% 100.000%
4(g) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 12,224,728.016 66.736% 96.307%
Against 76,533.193 .418% .603%
Abstain 96,494.236 .527% .760%
Broker Non-votes 295,747.000 1.615% 2.330%
TOTAL 12,693,502.445 69.295% 100.000%
4(i) Fundamental Policy Regarding Underwriting and Securities
Affirmative 12,229,902.818 66.764% 96.348%
Against 67,193.344 .367% .529%
Abstain 100,659.283 .550% .793%
Broker Non-votes 295,747.000 1.615% 2.330%
TOTAL 12,693,502.445 69.295% 100.000%
4(p) Fundamental Policy Making all Investment Limitations in Prospectus
Fundamental
Affirmative 11,937,733.683 65.169% 94.046%
Against 359,837.541 1.965% 2.835%
Abstain 100,184.221 .547% .789%
Broker Non-votes 295,747.000 1.615% 2.330%
TOTAL 12,693,502.445 69.295% 100.000%
SMALL CAP VALUE FUND
4(a) Fundamental Policy Regarding Diversification
Affirmative 21,295,160.537 46.523% 92.683%
Against 290,183.806 .634% 1.263%
Abstain 359,415.354 .785% 1.564%
Broker Non-votes 1,031,651.000 2.254% 4.490%
TOTAL 22,976,410.697 50.196% 100.000%
4(b) Fundamental Policy Regarding Concentration
Affirmative 21,278,189.955 46.486% 92.609%
Against 306,393.538 .669% 1.333%
Abstain 360,176.204 .787% 1.568%
Broker Non-votes 1,031,651.000 2.254% 4.490%
TOTAL 22,976,410.697 50.196% 100.000%
- --------------------------------------------------------------------------------
120 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------------- ----------- -----------
4(c) Fundamental Policy Regarding Borrowing and Senior Securities
Affirmative 21,241,148.168 46.405% 92.448%
Against 342,408.380 .748% 1.490%
Abstain 361,203.149 .789% 1.572%
Broker Non-votes 1,031,651.000 2.254% 4.490%
TOTAL 22,976,410.697 50.196% 100.000%
4(d) Fundamental Policy Regarding Lending
Affirmative 21,237,955.326 46.398% 92.434%
Against 345,291.868 .754% 1.503%
Abstain 361,512.503 .790% 1.573%
Broker Non-votes 1,031,651.000 2.254% 4.490%
TOTAL 22,976,410.697 50.196% 100.000%
4(g) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 21,266,612.375 46.460% 92.558%
Against 323,190.811 .706% 1.407%
Abstain 354,956.511 .776% 1.544%
Broker Non-votes 1,031,651.000 2.254% 4.490%
TOTAL 22,976,410.697 50.196% 100.000%
4(i) Fundamental Policy Regarding Underwriting of Securities
Affirmative 21,229,255.349 46.379% 92.396%
Against 343,176.451 .749% 1.493%
Abstain 372,327.897 .814% 1.621%
Broker Non-votes 1,031,651.000 2.254% 4.490%
TOTAL 22,976,410.697 50.196% 100.000%
4(n) Fundamental Policy Regarding Investment in Oil and Gas
Affirmative 21,258,217.083 46.442% 92.522%
Against 328,121.740 .717% 1.428%
Abstain 358,420.874 .783% 1.560%
Broker Non-votes 1,031,651.000 2.254% 4.490%
TOTAL 22,976,410.697 50.196% 100.000%
4(p) Fundamental Policy Making all Investment Limitations in Prospectus
Fundamental
Affirmative 20,313,565.766 44.378% 88.411%
Against 665,378.978 1.454% 2.895%
Abstain 321,094.953 .701% 1.398%
Broker Non-votes 1,676,371.000 3.662% 7.296%
TOTAL 22,976,410.697 50.196% 100.000%
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 121
Shareholder Voting Results (Unaudited) (Continued)
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------------- ----------- -----------
SMALL CAP GROWTH FUND
4(a) Fundamental Policy Regarding Diversification
Affirmative 30,483,175.241 46.939% 88.039%
Against 336,146.041 .517% .971%
Abstain 721,284.175 1.111% 2.083%
Broker Non-votes 3,083,986.000 4.749% 8.907%
TOTAL 34,624,591.457 53.316% 100.000%
4(b) Fundamental Policy Regarding Concentration
Affirmative 30,461,472.381 46.905% 87.976%
Against 354,924.729 .547% 1.025%
Abstain 724,208.347 1.115% 2.092%
Broker Non-votes 3,083,986.000 4.749% 8.907%
TOTAL 34,624,591.457 53.316% 100.000%
4(c) Fundamental Policy Regarding Borrowing and Senior Securities
Affirmative 30,399,986.293 46.811% 87.799%
Against 412,050.817 .634% 1.190%
Abstain 728,568.347 1.122% 2.104%
Broker Non-votes 3,083,986.000 4.749% 8.907%
TOTAL 34,624,591.457 53.316% 100.000%
4(d) Fundamental Policy Regarding Lending
Affirmative 30,470,840.909 46.920% 88.003%
Against 389,528.208 .600% 1.125%
Abstain 680,236.340 1.047% 1.965%
Broker Non-votes 3,083,986.000 4.749% 8.907%
TOTAL 34,624,591.457 53.316% 100.000%
4(g) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 30,514,593.929 46.987% 88.130%
Against 353,436.188 .544% 1.021%
Abstain 672,575.340 1.036% 1.942%
Broker Non-votes 3,083,986.000 4.749% 8.907%
TOTAL 34,624,591.457 53.316% 100.000%
4(i) Fundamental Policy Regarding Underwriting of Securities
Affirmative 30,481,868.442 46.937% 88.035%
Against 383,824.675 .591% 1.109%
Abstain 674,912.340 1.039% 1.949%
Broker Non-votes 3,083,986.000 4.749% 8.907%
TOTAL 34,624,591.457 53.316% 100.000%
- --------------------------------------------------------------------------------
122 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------------- ----------- -----------
4(n) Fundamental Policy Regarding Investment in Oil and Gas
Affirmative 30,427,770.271 46.854% 87.879%
Against 382,089.011 .588% 1.104%
Abstain 730,746.175 1.125% 2.110%
Broker Non-votes 3,083,986.000 4.749% 8.907%
TOTAL 34,624,591.457 53.316% 100.000%
4(p) Fundamental Policy Making all Investment Limitations in Prospectus
Fundamental
Affirmative 29,546,947.381 45.497% 85.335%
Against 526,174.729 .810% 1.520%
Abstain 687,167.347 1.059% 1.984%
Broker Non-votes 3,864,302.000 5.950% 11.161%
TOTAL 34,624,591.457 53.316% 100.000%
MID-CAP FUND
4(a) Fundamental Policy Regarding Diversification
Affirmative 1,114,654.053 57.355% 88.886%
Against 20,055.637 1.032% 1.600%
Abstain 8,266.000 .426% .658%
Broker Non-votes 111,047.000 5.714% 8.855%
TOTAL 1,254,022.690 64.527% 100.000%
4(b) Fundamental Policy Regarding Concentration
Affirmative 1,113,722.053 57.308% 88.812%
Against 20,055.637 1.031% 1.599%
Abstain 9,198.000 .474% .734%
Broker Non-votes 111,047.000 5.714% 8.855%
TOTAL 1,254,022.690 64.527% 100.000%
4(c) Fundamental Policy Regarding Borrowing and Senior Securities
Affirmative 1,114,594.053 57.352% 88.881%
Against 20,115.637 1.035% 1.605%
Abstain 8,266.000 .426% .658%
Broker Non-votes 111,047.000 5.714% 8.855%
TOTAL 1,254,022.690 64.527% 100.000%
4(d) Fundamental Policy Regarding Lending
Affirmative 1,114,594.053 57.352% 88.881%
Against 20,115.637 1.035% 1.605%
Abstain 8,266.000 .426% .658%
Broker Non-votes 111,047.000 5.714% 8.855%
TOTAL 1,254,022.690 64.527% 100.000%
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 123
Shareholder Voting Results (Unaudited) (Continued)
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------------- ----------- -----------
4(g) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 1,114,654.053 57.355% 88.886%
Against 20,055.637 1.032% 1.600%
Abstain 8,266.000 .426% .658%
Broker Non-votes 111,047.000 5.714% 8.855%
TOTAL 1,254,022.690 64.527% 100.000%
4(i) Fundamental Policy Regarding Underwriting of Securities
Affirmative 1,114,594.053 57.352% 88.881%
Against 20,115.637 1.035% 1.605%
Abstain 8,266.000 .426% .658%
Broker Non-votes 111,047.000 5.714% 8.855%
TOTAL 1,254,022.690 64.527% 100.000%
4(n) Fundamental Policy Regarding Investment in Oil and Gas
Affirmative 1,114,912.053 57.369% 88.907%
Against 20,115.637 1.035% 1.604%
Abstain 7,948.000 .409% .634%
Broker Non-votes 111,047.000 5.714% 8.855%
TOTAL 1,254,022.690 64.527% 100.000%
4(p) Fundamental Policy Making all Investment Limitations in Prospectus
Fundamental
Affirmative 1,122,521.053 57.760% 89.514%
Against 20,055.637 1.032% 1.599%
Abstain 399.000 .021% .032%
Broker Non-votes 111,047.000 5.714% 8.855%
TOTAL 1,254,022.690 64.527% 100.000%
REAL ESTATE FUND
4(c) Fundamental Policies Regarding Borrowing and Senior Securities
Affirmative 1,976,736.000 77.775% 99.717%
Against 709.000 .028% .036%
Abstain 4,893.000 .192% .247%
TOTAL 1,982,338.000 77.995% 100.000%
4(d) Fundamental Policy Regarding Lending
Affirmative 1,976,736.000 77.775% 99.717%
Against 709.000 .028% .036%
Abstain 4,893.000 .192% .247%
TOTAL 1,982,338.000 77.995% 100.000%
- --------------------------------------------------------------------------------
124 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------------- ----------- -----------
4(g) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 1,976,736.000 77.775% 99.717%
Against 709.000 .028% .036%
Abstain 4,893.000 .192% .247%
TOTAL 1,982,338.000 77.995% 100.000%
4(i) Fundamental Policy Regarding Underwriting of Securities
Affirmative 1,976,736.000 77.775% 99.717%
Against 709.000 .028% .036%
Abstain 4,893.000 .192% .247%
TOTAL 1,982,338.000 77.995% 100.000%
CORE FIXED INCOME FUND
4(a) Fundamental Policy Regarding Diversification
Affirmative 199,132,504.373 51.832% 97.022%
Against 1,619,179.792 .422% .789%
Abstain 2,795,331.964 .727% 1.362%
Broker Non-votes 1,697,020.000 .442% .827%
TOTAL 205,244,036.129 53.423% 100.000%
4(b) Fundamental Policy Regarding Concentration
Affirmative 198,906,580.736 51.774% 96.912%
Against 1,778,654.506 .462% .867%
Abstain 2,861,780.887 .745% 1.394%
Broker Non-votes 1,697,020.000 .442% .827%
TOTAL 205,244,036.129 53.423% 100.000%
4(c) Fundamental Policy Regarding Borrowing and Senior Securities
Affirmative 198,422,825.490 51.648% 96.677%
Against 2,155,726.592 .561% 1.050%
Abstain 2,968,464.047 .772% 1.447%
Broker Non-votes 1,697,020.000 .442% .827%
TOTAL 205,244,036.129 53.423% 100.000%
4(d) Fundamental Policy Regarding Lending
Affirmative 198,383,744.483 51.637% 96.657%
Against 2,229,279.261 .581% 1.087%
Abstain 2,933,992.385 .763% 1.429%
Broker Non-votes 1,697,020.000 .442% .827%
TOTAL 205,244,036.129 53.423% 100.000%
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 125
Shareholder Voting Results (Unaudited) (Concluded)
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------------- ----------- -----------
4(g) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 198,993,940.923 51.796% 96.955%
Against 1,740,313.265 .453% .848%
Abstain 2,812,761.941 .732% 1.370%
Broker Non-votes 1,697,020.000 .442% .827%
TOTAL 205,244,036.129 53.423% 100.000%
4(i) Fundamental Policy Regarding Underwriting of Securities
Affirmative 198,499,099.053 51.667% 96.714%
Against 2,187,412.029 .570% 1.065%
Abstain 2,860,505.047 .744% 1.394%
Broker Non-votes 1,697,020.000 .442% .827%
TOTAL 205,244,036.129 53.423% 100.000%
4(n) Fundamental Policy Regarding Investment in Oil and Gas
Affirmative 198,670,884.393 51.712% 96.797%
Against 2,012,133.573 .524% .981%
Abstain 2,863,998.163 .745% 1.395%
Broker Non-votes 1,697,020.000 .442% .827%
TOTAL 205,244,036.129 53.423% 100.000%
4(p) Fundamental Policy Making all Investment Limitations in Prospectus
Fundamental
Affirmative 193,624,433.324 50.399% 94.339%
Against 1,444,079.140 .376% .703%
Abstain 2,577,911.665 .671% 1.257%
Broker Non-votes 7,597,612.000 1.978% 3.702%
TOTAL 205,244,036.129 53.423% 100.000%
HIGH YIELD BOND FUND
4(a) Fundamental Policy Regarding Diversification
Affirmative 72,700,873.144 54.646% 93.519%
Against 3,378,567.462 2.539% 4.346%
Abstain 575,868.434 .433% .741%
Broker Non-votes 1,083,609.000 .814% 1.394%
TOTAL 77,738,918.040 58.433% 100.000%
4(b) Fundamental Policy Regarding Concentration
Affirmative 72,247,537.252 54.305% 92.936%
Against 3,826,737.981 2.876% 4.923%
Abstain 581,033.807 .437% .747%
Broker Non-votes 1,083,609.000 .814% 1.394%
TOTAL 77,738,918.040 58.433% 100.000%
- --------------------------------------------------------------------------------
126 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------------- ----------- -----------
4(c) Fundamental Policy Regarding Borrowing and Senior Securities
Affirmative 72,165,390.304 54.243% 92.830%
Against 3,909,134.318 2.939% 5.029%
Abstain 580,784.418 .436% .747%
Broker Non-votes 1,083,609.000 .814% 1.394%
TOTAL 77,738,918.040 58.433% 100.000%
4(d) Fundamental Policy Regarding Lending
Affirmative 72,134,416.604 54.220% 92.791%
Against 3,921,136.888 2.947% 5.044%
Abstain 599,755.548 .451% .771%
Broker Non-votes 1,083,609.000 .814% 1.394%
TOTAL 77,738,918.040 58.433% 100.000%
4(g) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 72,243,567.823 54.302% 92.931%
Against 3,830,110.799 2.879% 4.927%
Abstain 581,630.418 .437% .748%
Broker Non-votes 1,083,609.000 .814% 1.394%
TOTAL 77,738,918.040 58.433% 100.000%
4(i) Fundamental Policy Regarding Underwriting of Securities
Affirmative 73,087,119.605 54.936% 94.016%
Against 2,978,900.302 2.239% 3.832%
Abstain 589,289.133 .443% .758%
Broker Non-votes 1,083,609.000 .814% 1.394%
TOTAL 77,738,918.040 58.433% 100.000%
4(n) Fundamental Policy Regarding Investment in Oil and Gas
Affirmative 72,234,441.600 54.295% 92.919%
Against 3,840,235.887 2.887% 4.940%
Abstain 580,631.553 .436% .747%
Broker Non-votes 1,083,609.000 .814% 1.394%
TOTAL 77,738,918.040 58.433% 100.000%
4(p) Fundamental Policy Making all Investment Limitations in Prospectus
Fundamental
Affirmative 71,068,097.756 53.419% 91.419%
Against 3,895,329.881 2.927% 5.011%
Abstain 531,144.403 .400% .683%
Broker Non-votes 2,244,346.000 1.687% 2.887%
TOTAL 77,738,918.040 58.433% 100.000%
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2005 127
Notes
Notes
Notes
Notes
Notes
SEI INSTITUTIONAL MANAGED TRUST SEMI-ANNUAL REPORT MARCH 31, 2005
Robert A. Nesher, CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Rosemarie B. Greco
Nina Lesavoy
James M. Storey
George J. Sullivan, Jr.
James M. Williams
OFFICERS
Edward D. Loughlin
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Peter (Pedro) A. Rodriguez
CONTROLLER AND CHIEF FINANCIAL OFFICER
Timothy D. Barto
VICE PRESIDENT, SECRETARY
Sofia A. Rosala
VICE PRESIDENT, ASSISTANT SECRETARY
Phillip T. Masterson
VICE PRESIDENT, ASSISTANT SECRETARY
James Ndiaye
VICE PRESIDENT, ASSISTANT SECRETARY
Michael T. Pang
VICE PRESIDENT, ASSISTANT SECRETARY
John J. McCue
VICE PRESIDENT
Thomas D. Jones, III
CHIEF COMPLIANCE OFFICER
Nicole Alexander
ANTI-MONEY LAUNDERING COMPLIANCE OFFICER
INVESTMENT ADVISER
SEI Investments Management Corporation
ADMINISTRATOR
SEI Investments Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
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 GRAPHIC OMITTED]
[SEI INVESTMENTS LOGO OMITTED]
SEI Investments Distribution Co.
Oaks, PA 19456
1 800-DIAL-SEI (1 800 342 5734)
SEI-F-092 (03/05)
ITEM 2. CODE OF ETHICS.
Not applicable for semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to open-end management investment companies.
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to open-end management investment companies.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable. Effective for closed-end management investment companies for
fiscal years ending on or after December 31, 2005
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not applicable to open-end management investment companies.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Trust has a standing Nominating Committee (the "Committee") currently
consisting of the Independent Trustees. The Committee is responsible for
evaluating and recommending nominees for election to the Trust's Board of
Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18,
2004, the Committee will review all shareholder recommendations for nominations
to fill vacancies on the Board if such recommendations are submitted in writing
and addressed to the Committee at the Trust's office.
ITEM 11. 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. Based on their evaluation, certifying officers
have concluded that the 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 have materially affected, or are reasonably likely to materially affect,
the registrants internal control over financial reporting.
ITEMS 12. EXHIBITS.
(a)(1) Not applicable for semi-annual report.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the registrant as required by Rule 30a-2(a) under
the 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 D. Loughlin
---------------------
Edward D. Loughlin
President & CEO
Date: May 26, 2005
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
President & CEO
Date: May 26, 2005
By (Signature and Title)* /s/ Peter (Pedro) A. Rodriguez
------------------------------
Peter (Pedro) A. Rodriguez
Controller & CFO
Date: May 26, 2005
* Print the name and title of each signing officer under his or her signature.