UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 -------- FORM N-CSR -------- CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES INVESTMENT COMPANY ACT FILE NUMBER 811-4878 SEI INSTITUTIONAL MANAGED TRUST (Exact name of registrant as specified in charter) -------- c/o CT Corporation 101 Federal St. Boston, MA 02110 (Address of principal executive offices) (Zip code) Edward D. Loughlin c/o SEI Investments Company 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: SEPTEMBER 30, 2005 ITEM 1. REPORTS TO STOCKHOLDERS. SEI INVESTMENTS Annual Report as of September 30, 2005 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 - ------------------------------------------------------------- Management's Discussion and Analysis of Fund Performance 2 - ------------------------------------------------------------- Statements of Net Assets/Schedule of Investments 22 - ------------------------------------------------------------- Statements of Assets and Liabilities 127 - ------------------------------------------------------------- Statements of Operations 128 - ------------------------------------------------------------- Statements of Changes in Net Assets 130 - ------------------------------------------------------------- Financial Highlights 134 - ------------------------------------------------------------- Notes to Financial Statements 136 - ------------------------------------------------------------- Report of Independent Registered Public Accounting Firm 147 - ------------------------------------------------------------- Trustees and Officers of the Trust 148 - ------------------------------------------------------------- Disclosure of Fund Expenses 151 - ------------------------------------------------------------- Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements 153 - ------------------------------------------------------------- Notice to Shareholders 156 - ------------------------------------------------------------- Shareholder Voting Results 157 - ------------------------------------------------------------- The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission ("SEC") for the first and third quarters of each fiscal year on Form N-Q within sixty days after period end. 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. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 1 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2005 Tax-Managed Large Cap Fund Objective The investment objective of the Tax-Managed Large Cap Fund (the "Fund") is high long-term after-tax returns through investment in the equity securities of large companies. The Fund attempts to maximize after-tax returns to investors by buying undervalued securities, selling stocks with the highest tax cost first and offsetting losses with gains where possible. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire U.S. large cap market, seeking to add value through stock selection in a tax-aware framework while minimizing risk in the form of capitalization, valuation, and economic sector exposures. Assets of the Fund are strategically allocated among its sub-advisers, each of whom has stock selection responsibility for its respective assets under management. Through various investment approaches, each sub-adviser contributes a unique expertise to the Fund. Goldman Sachs Asset Management L.P., Delaware Management Company, Montag and Caldwell Inc., and Peregrine Capital Management, Inc. focus on stocks that have growth characteristics. Alliance Capital Management LP, Franklin Portfolio Associates, LLC, LSV Asset Management and Aronson + Johnson + Ortiz L.P. focus on selecting stocks that have value-oriented characteristics. Parametric Portfolio Associates invests in both value and growth large-cap stocks through a quantitative process which aggressively harvests tax-losses in the portfolio. Analysis The Tax-Managed Large Cap Fund outperformed the large cap market for the fiscal year with a return of 14.40% for Class A shares. The Russell 1000 Index returned 14.26% for the fiscal year ended September 30, 2005. The U.S. Equity market posted double digit gains for the fiscal year ended September 30, 2005. Most of this return came in the fourth quarter of 2004, as the markets gained from a decisive U.S. presidential election, positive earnings releases, and an up tick in merger and acquisition activity. The total return for the first nine months of 2005 was modest, as surging energy costs, steadily rising short-term interest rates, and uncertainty from two destructive hurricanes weighed down the markets. Stocks with value characteristics outperformed those classified with higher expected growth for the fiscal year, continuing a multi-year trend. Most of this differential was explained by the exceptional performance of the value-oriented energy and utility sectors, up 63% and 38% for the fiscal year, respectively. Strong demand and limited excess capacity buoyed prices in the energy sector, as oil flirted with $70 per barrel before settling in the mid-$60s at fiscal year-end. The utility sector advanced due to the anticipation of future consolidation within the industry. Financials as a whole lagged as rising interest rates and a flattening yield curve dimmed the future prospects for many of these firms. Retail firms struggled as the consumer became squeezed by higher interest rates and energy costs. Finally, stocks at the smaller end of the large cap spectrum outperformed the mega-capitalization stocks. Security selection within financials drove outperformance, particularly selection of specific stocks within the investment banking and brokerage industries. An overweight to biotechnology stocks at the expense of large pharmaceuticals, and a modest overweight to the energy sector also benefited returns. An overweight to the retailing industry held back performance as rising rates and oil prices dampened consumer confidence. During the fiscal year, Transamerica Investment Management was replaced with Delaware Management Company. - -------------------------------------------------------------------------------- 2 SEI Institutional Managed Trust / Annual Report / September 30, 2005 Tax-Managed Large Cap Fund: AVERAGE ANNUAL TOTAL RETURN 1 - ------------------------------------------------------------- Annualized Annualized Annualized One Year 3 Year 5 Year Inception Return Return Return to Date - ------------------------------------------------------------- Tax-Managed Large Cap Fund, Class A 14.40% 17.34% -2.07% 2.97% - ------------------------------------------------------------- Tax-Managed Large Cap Fund, Class Y 14.78% 17.73% N/A 4.73% - ------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Large Cap Fund, Class A, versus the Russell 1000 Index [LINE GRAPH OMITTED] Tax-Managed Large Cap Fund, Class A Russell 1000 Index 3/31/98 $100,000 $100,000 9/30/98 91,510 91,940 9/30/99 121,342 116,736 9/30/00 131,850 137,527 9/30/01 92,400 98,442 9/30/02 73,514 79,236 9/30/03 91,040 99,156 9/30/04 103,831 112,938 9/30/05 118,782 129,043 1 For the period ended 9/30/05. Past performance is no indication of future performance. The performance of Class Y Shares may be different than the performance of Class A Shares because of different distribution fees paid by Class Y shareholders. Class A Shares were offered beginning 3/5/98 and Class Y Shares were offered beginning 4/8/02. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 3 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2005 Large Cap Value Fund Objective The Investment objective at the Large Cap Value Fund (the "Fund") seeks to provide long-term growth of capital and income by investing in the equity securities of large companies. The Fund invests primarily in a diversified portfolio of high quality, income producing common stocks, which in the sub-adviser's opinion, are undervalued in the marketplace at the time of purchase. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire large cap value sector, adding value through stock selection while managing risk in the form of capitalization, valuation, and economic sector exposures. Assets of the Fund are strategically allocated among its four sub-advisers, each of whom has responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-adviser contributes a unique expertise or sub-style to the Fund. Aronson + Johnson + Ortiz L.P. invests in asset-rich companies selling at relatively low multiples of earnings, which have earnings and price momentum. LSV Asset Management invests in companies trading at deep discounts to their intrinsic value. Franklin Portfolio Associates LLC focuses on companies that are attractively priced, and are showing signs of improvement. Alliance Capital Management LP incorporates intensive fundamental research to invest in undervalued stocks where there is a relationship between the current price, future earnings power, and dividend producing capability. Analysis The Large Cap Value Fund gained 15.87% for Class A shares for the fiscal year, edging out the value portion of the U.S. large cap market before fees. The Russell 1000 Value Index returned 16.69% for the fiscal year ended September 30, 2005. The U.S. Equity market posted double digit gains for the fiscal year ended September 30, 2005. Most of this return came in the fourth quarter of 2004, as the markets gained from a decisive U.S. presidential election, positive earnings releases, and an up tick in merger and acquisition activity. The total return for the first nine months of 2005 was modest, as surging energy costs, steadily rising short-term interest rates, and uncertainty from two destructive hurricanes weighed down the markets. Stocks with value characteristics outperformed those classified with higher expected growth for the fiscal year, continuing a multi-year trend. Most of this differential was explained by the exceptional performance of the value-oriented energy and utility sectors, up 63% and 38% for the fiscal year, respectively. Strong demand and limited excess capacity buoyed prices in the energy sector, as oil flirted with $70 per barrel before settling in the mid-$60s at fiscal year-end. The utility sector advanced due to the anticipation of future consolidation within the industry. Financials as a whole lagged as rising interest rates and a flattening yield curve dimmed the future prospects for many of these firms. Retail firms struggled as the consumer became squeezed by higher interest rates and energy costs. Finally, stocks at the smaller end of the large cap spectrum outperformed the mega-capitalization stocks. The Fund's sector positioning generated a mixed result for relative returns. The Fund's modest overweight to the energy sector benefited returns, but was largely offset by an underweight to utilities. Security selection within the materials, consumer discretionary and utility sectors contributed positively to returns, while security selection within energy and financials detracted from results. - -------------------------------------------------------------------------------- 4 SEI Institutional Managed Trust / Annual Report / September 30, 2005 Large Cap Value Fund: AVERAGE ANNUAL TOTAL RETURN 1 - ------------------------------------------------------------------------ Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date - ------------------------------------------------------------------------ Large Cap Value Fund, Class A 15.87% 19.33% 5.74% 10.52% 11.95% - ------------------------------------------------------------------------ Large Cap Value Fund, Class I 15.61% 19.01% NA NA 5.25% - ------------------------------------------------------------------------ Comparison of Change in the Value of a $100,000 Investment in the Large Cap Value Fund, Class A, versus the Russell 1000 Value Index [LINE GRAPH OMITTED] Large Cap Value Fund, Class A Russell 1000 Value Index 9/30/95 $100,000 $100,000 9/30/96 118,330 117,950 9/30/97 170,537 167,855 9/30/98 168,150 173,881 9/30/99 196,954 206,431 9/30/00 205,758 224,824 9/30/01 195,305 204,792 9/30/02 160,033 170,080 9/30/03 196,120 211,528 9/30/04 234,678 254,934 9/30/05 271,921 297,483 1 For the period ended 9/30/05. Past performance is no indication of future performance. The performance indicated above for Class A Shares begins on 10/3/94 at which time Mellon Equity Associates acted as investment adviser to the Fund. Previous periods during which the Fund was advised by another investment adviser are not shown. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 10/3/94 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 5 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2005 Large Cap Growth Fund Objective The investment objective of the Large Cap Growth Fund (the "Fund") is capital appreciation through investment in the equity securities of large companies believed to possess significant growth potential. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire large cap growth sector, adding value through stock selection while managing risk in the form of capitalization, valuation and economic sector exposures. Assets of the Fund are strategically allocated among its sub-advisers, each of which has stock selection responsibility for its respective assets under management. Through various investment approaches, each sub-adviser contributes a unique expertise to the Fund. Goldman Sachs Asset Management L.P. invests in companies with strong business franchises that are attractively priced relative to their discounted cash flows. Quantitative Management Associates LLC favors large cap stocks that have positive news flow and attractive valuation characteristics. Montag and Caldwell Inc. invests in large cap stocks that exhibit accelerating earnings, are trading at a discount to fair value, and are financially stable. Peregrine Capital Management invests in large cap stocks that have sustainable above-average growth potential over the next five to seven years. Delaware Management Company invests in mid-cap and large-cap stocks that are attractively valued from a cash flow basis, and have strong prospects for organic growth in the future. Analysis The Large Cap Growth Fund significantly outperformed the large cap growth area of the market over the fiscal year, with a return of 12.75% for Class A shares. The Russell 1000 Growth Index returned 11.60% for the fiscal year ended September 30, 2005. The U.S. Equity market posted double digit gains for the fiscal year ending September 30, 2005. Most of this return came in the fourth quarter of 2004, as the markets gained from a decisive U.S. presidential election, positive earnings releases, and an up tick in merger and acquisition activity. The total return for the first nine months of 2005 was modest, as surging energy costs, steadily rising short-term interest rates, and uncertainty from two destructive hurricanes weighed down the markets. Stocks with value characteristics outperformed those classified with higher expected growth for the fiscal year, continuing a multi-year trend. Most of this differential was explained by the exceptional performance of the value-oriented energy and utility sectors, up 63% and 38% for the fiscal year, respectively. Strong demand and limited excess capacity buoyed prices in the energy sector, as oil flirted with $70 per barrel, before settling in the mid-$60s at fiscal year-end. The utility sector advanced due to the anticipation of future consolidation within the industry. Financials as a whole lagged as rising interest rates and a flattening yield curve dimmed the future prospects for many of these firms. Retail firms struggled as the consumer became squeezed by higher interest rates and energy costs. Finally, stocks at the smaller end of the large cap spectrum outperformed the mega-capitalization stocks. The Fund's favorable sector positioning and security selection drove the solid relative returns compared with growth-oriented large cap stocks. Security selection within financials drove outperformance, particularly selection of specific stocks within the investment banking and brokerage industries. An overweight to biotechnology stocks at the expense of large pharmaceuticals also positively impacted performance. An overweight to the retailing industry held back performance as rising rates and oil prices dampened consumer confidence. SEI made two sub-adviser switches during the fiscal year. Transamerica Investment Management was replaced with Delaware Management Company, while McKinley Capital Management was replaced with Quantitative Management Associates LLC. - -------------------------------------------------------------------------------- 6 SEI Institutional Managed Trust / Annual Report / September 30, 2005 Large Cap Growth Fund: AVERAGE ANNUAL TOTAL RETURN 1 - ------------------------------------------------------------------------ Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date - ------------------------------------------------------------------------ Large Cap Growth Fund, Class A 12.75% 14.22% -10.79% 6.73% 8.72% - ------------------------------------------------------------------------ Large Cap Growth Fund, Class I 12.42% 13.94% NA NA -1.79% - ------------------------------------------------------------------------ Comparison of Change in the Value of a $100,000 Investment in the Large Cap Growth Fund, Class A, versus the Russell 1000 Growth Index [LINE GRAPH OMITTED] Large Cap Growth Fund, Class A Russell 1000 Growth Index 9/30/95 $100,000 $100,000 9/30/96 120,590 121,400 9/30/97 174,072 165,468 9/30/98 188,607 183,835 9/30/99 259,787 247,902 9/30/00 339,463 305,985 9/30/01 166,065 166,334 9/30/02 128,751 128,892 9/30/03 156,638 162,301 9/30/04 170,140 174,489 9/30/05 191,833 194,730 1 For the period ended 9/30/05. Past performance is no indication of future performance. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 12/20/94 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 7 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2005 Tax-Managed Small Cap Fund Objective The investment objective of the Tax-Managed Small Cap Fund (the "Fund") is high long-term after-tax returns by investing in the equity securities of small companies. The Fund attempts to maximize after-tax returns to investors through investing in undervalued securities, selling stocks with the highest tax cost first and offsetting losses with gains where possible. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire small/mid cap universe, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. The Fund is jointly sub-advised by seven investment managers. Assets of the Fund are strategically allocated among the seven sub-advisers, each of which has a responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-adviser contributes a particular expertise or sub-style to the Fund. The Fund is sub-advised by BlackRock Advisors, Inc. (BlackRock), David J. Greene and Company LLC (DJG), Delaware Management Company (Delaware), LSV Asset Management (LSV), Mazama Capital Management Inc. (Mazama), McKinley Capital Management, Inc. (McKinley) and Parametric Portfolio Associates (Parametric). BlackRock focuses on attractively valued companies with a near term business catalyst. DJG looks for undervalued securities that are misunderstood by the marketplace. Delaware focuses on sustainable business models at attractive valuations. LSV's disciplined proprietary screening model ranks stocks based on price to book, price to cash flow, past sales performance, and likelihood of near-term appreciation. Mazama invests primarily in stocks entering extended periods of growth not yet understood by the market. McKinley emphasizes acceleration of the growth rate of companies relative to the market's expectations and companies with positive earnings surprises. SIMC recently hired Parametric Portfolio Associates ("Parametric") into the Fund. Parametric has been managing assets in the Tax-Managed Large Cap Fund for several years. Parametric invests in both value and growth small-cap stocks through a quantitative process which aggressively harvests tax-losses in the portfolio. Analysis The Russell 2500 Index gained 21.29% during the fiscal year ended September 30, 2005, with roughly even returns between its value and growth components. The energy sector posted the largest return for the period by far. Rising oil prices due to increasing demand from the global economic expansion and concerns over a limited supply -- made increasingly clear after the impact of Hurricane Katrina - -- have made this sector the best performing sector in the last year. Capital goods stocks also performed well, especially in the latter part of 2004, when the economic cycle was in its earlier stages, and during the third quarter of 2005, due to anticipated need with regard to the rebuilding of New Orleans. Investors did not show much tolerance for risk as securities with higher long-term earnings growth expectations lagged the broad market returns. Consequently, performance lagged in the growth-oriented information technology, financials and consumer discretionary sectors. The Tax-Managed Small Cap Fund gained 20.80% for Class A shares over the past 12 months. The Fund's pharmaceuticals and biotech stocks performed extremely well versus the broad market, though retailing securities mitigated some of the return. Four of the seven managers outperformed their respective markets. Value managers BlackRock and LSV were helped by securities in the capital goods and information technology areas, respectively. DJG's underweight in regional banks augmented its return, though poor performance in retailing and information technology mitigated performance. McKinley outperformed due to stock selection in both the information technology and telecom sectors, while Mazama and Delaware, also growth managers, added return through superior stock selection in pharmaceuticals and biotech. However, poor performance in retailing and energy caused Delaware to trail its market. Parametric invests in both value and growth small-cap stocks through a quantitative process which aggressively harvests tax-losses in the portfolio. - -------------------------------------------------------------------------------- 8 SEI Institutional Managed Trust / Annual Report / September 30, 2005 Tax-Managed Small Cap Fund: AVERAGE ANNUAL TOTAL RETURN 1 - ------------------------------------------------------------- Annualized Annualized One Year 3 Year Inception Return Return to Date - ------------------------------------------------------------- Tax-Managed Small Cap Fund, Class A 20.80% 23.05% 7.17% - ------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Small Cap Fund, Class A, versus the Russell 2500 Index [LINE GRAPH OMITTED] Tax-Managed Small Cap Fund, Class A Russell 2500 Index 10/31/00 $100,000 $100,000 09/30/01 81,561 83,511 09/30/02 75,460 77,290 09/30/03 100,083 104,797 09/30/04 116,396 124,195 09/30/05 140,607 150,636 1 For the period ended 9/30/05. Past performance is no indication of future performance. Fund shares were offered beginning 10/31/00. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 9 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2005 Small Cap Value Fund Objective The investment objective of the Small Cap Value Fund (the "Fund") is to provide capital appreciation by investing in equity securities of smaller companies. The Fund invests in the stocks of companies it believes are attractively valued in light of such fundamental characteristics as earnings, capital structure and/or return on invested capital among other factors. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire small cap value sector, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. The Fund is sub-advised by seven investment managers. Assets of the Fund are strategically allocated among its seven sub-advisers, each of which has a responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-adviser contributes a particular expertise or sub-style to the Fund. Using a bottom-up process, Artisan Partners Limited Partnership (Artisan) seeks to identify companies which are currently trading below the intrinsic value of business that have little institutional following. BlackRock Advisors, Inc. (BlackRock) focuses on attractively valued companies with a near term business catalyst. David J. Greene and Company LLC (DJG) invests in complex multi-segment businesses often possessing several growth areas masked by a slower growing parent. Lee Munder Investment, Ltd. (Lee Munder) uses a classic value approach of identifying quality businesses at attractive valuations. LSV Asset Management (LSV) invests in companies trading at deep discounts to their intrinsic value and near term earnings visibility. Martingale Asset Management, L.P. (Martingale) employs a systematic approach focused on relative valuation, sustainable growth, and management quality. Wellington Management LLP (Wellington) utilizes a unique risk/reward relative valuation assessment to identify attractive real estate investments. Each of the aforementioned sub-styles assumes a different importance in determining overall style risk and must therefore be weighted accordingly. Analysis The Russell 2000 Value Index gained 17.75% for the fiscal year ended September 30, 2005. The energy sector posted the largest return for the period by far. Rising oil prices due to increasing demand from the global economic expansion and concerns over a limited supply -- made increasingly clear after the impact of Hurricane Katrina -- have made this sector the best performing sector in the last year. Capital goods stocks also performed well, especially in the latter part of 2004, when economic growth gained visibility, and during the third quarter of 2005, due to anticipated need with regard to the rebuilding of New Orleans. Investors did not show much tolerance for risk as securities with higher long-term earnings growth expectations lagged the broad market returns. Consequently, performance lagged in the growth-oriented information technology, financials and consumer discretionary sectors. The Small Cap Value Fund gained 21.21% for Class A shares in the last 12 months, with each manager outperforming the broad market for the period. Relative outperformance in the financials and health care sectors told much of the story for the Fund as a whole. On a manager level, Artisan's large overweight to the energy sector greatly boosted its returns, while Lee Munder, DJG, and BlackRock all had superior stock selection in the health care sector. LSV and Martingale's stock picks in capital goods helped performance, as did their disciplined approaches to companies with attractive valuations, which were favored in this market environment. On the other side, individual securities in the consumer discretionary sector mitigated performance for over half of the managers. Finally, Wellington's outperformance was due to strong and broad stock selection within Real Estate Investment Trust (REIT) securities. - -------------------------------------------------------------------------------- 10 SEI Institutional Managed Trust / Annual Report / September 30, 2005 Small Cap Value Fund: AVERAGE ANNUAL TOTAL RETURN 1 - ------------------------------------------------------------------------ Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date - ------------------------------------------------------------------------ Small Cap Value Fund, Class A 21.21% 25.34% 14.71% 12.96% 14.07% - ------------------------------------------------------------------------ Small Cap Value Fund, Class I 20.88% 24.99% NA NA 14.96% - ------------------------------------------------------------------------ Comparison of Change in the Value of a $100,000 Investment in the Small Cap Value Fund, Class A, versus the Russell 2000 Value Index [LINE GRAPH OMITTED] Small Cap Value Fund, Class A Russell 2000 Value Index 9/30/95 $100,000 $100,000 9/30/96 110,860 113,480 9/30/97 163,142 161,879 9/30/98 140,824 141,175 9/30/99 147,119 149,405 9/30/00 170,275 172,354 9/30/01 175,588 182,023 9/30/02 171,725 179,366 9/30/03 222,006 236,153 9/30/04 278,995 296,749 9/30/05 338,169 349,422 1 For the period ended 9/30/05. Past performance is no indication of future performance. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 12/20/94 and Class I Shares were offered beginning 2/11/02. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 11 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2005 Small Cap Growth Fund Objective The investment objective of the Small Cap Growth Fund (the "Fund") is to provide long-term capital appreciation by investing in equity securities of smaller companies. The Fund invests in the stocks of companies that have attractive growth and appreciation potential in light of such characteristics as revenue and earnings growth, expectation from sell side analysts and relative variation among other considerations. Structure SEI Investments Management Company ("SIMC") recently hired Martingale Asset Management, L.P. (Martingale) into the Small Cap Growth Fund. Martingale employs a systematic approach focused on relative valuation, sustainable growth, and management quality, and has been managing assets for SIMC since 1996. Strategy With respect to this Fund, SIMC employs a multi-manager structure to gain exposure to the entire universe of small cap growth stocks, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. The Fund is jointly sub-advised by six investment managers. Assets of the Fund are strategically allocated among its six sub-advisers, each of which has a responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-adviser contributes a particular expertise or sub-style to the Fund. Mazama Capital Management Inc. (Mazama) invests primarily in stocks entering extended periods of growth not yet understood by the market. Wellington Management Company LLP (Wellington) focuses on companies that demonstrate growth at reasonable prices. Delaware Management Company (Delaware) focuses on companies with sustainable growth models that are attractively valued. Lee Munder Investments Ltd. (Lee Munder) seeks companies growing faster than the market while attempting to differentiate an attractive stock from a good company. McKinley Capital Management Inc. (McKinley) emphasizes acceleration of the growth rate of companies relative to the market's expectations, and companies with positive earnings surprises. Martingale employs a systematic approach focused on relative valuation, sustainable growth, and management quality. Each of the aforementioned sub-styles assumes a different importance in determining overall style risk and must therefore be weighted accordingly. Analysis For the 12 months ended September 30, 2005, the Russell 2000 Growth Index gained 17.95%. The energy sector was the clear winner over this period, with returns more than double those of the second-highest performing sector. Rising oil prices, from the shortage of oil and natural gas which was recently enhanced by Hurricane Katrina, drove returns for the energy sector. Capital goods stocks also performed well, especially in the latter part of 2004, when economic growth gained visibility, and during the third quarter of 2005, due to anticipated need with regard to the rebuilding of New Orleans. Investors did not show much tolerance for risk, as securities with higher long-term earnings growth expectations lagged the broad market returns. Consequently, performance lagged in the growth-oriented information technology, financials and consumer discretionary sectors. The Small Cap Growth Fund posted a return of 17.97% for Class A shares over the last 12 months. Stock selection in the financials and retailing areas enhanced returns, though stocks in health care and equipment somewhat detracted from the Fund's relative performance. Two of the growth managers, Wellington and McKinley, outperformed the broad market. Wellington's sizeable overweight to energy and individual retailing stock performance boosted its returns, while an overweight to pharmaceuticals and biotech and stock selection in capital goods helped McKinley. Delaware slightly trailed the broad market, as its superior stock selection could not fully counter the substantial detraction from an underweight to energy. Lee Munder was on the right side of the energy bet, but had poor stock selection within the health care sector. Both Mazama and Martingale saw below-average performances in energy and information technology sectors. - -------------------------------------------------------------------------------- 12 SEI Institutional Managed Trust / Annual Report / September 30, 2005 Small Cap Growth Fund: AVERAGE ANNUAL TOTAL RETURN 1 - ------------------------------------------------------------------------ Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date - ------------------------------------------------------------------------ Small Cap Growth Fund, Class A 17.97% 22.90% -3.73% 8.05% 11.89% - ------------------------------------------------------------------------ Small Cap Growth Fund, Class I 17.64% 22.59% NA NA 3.06% - ------------------------------------------------------------------------ Comparison of Change in the Value of a $100,000 Investment in the Small Growth Fund, Class A, versus the Russell 2000 Growth Index [LINE GRAPH OMITTED] Small Cap Growth Fund, Class A Russell 2000 Growth Index 9/30/95 $100,000 $100,000 9/30/96 126,560 112,610 9/30/97 148,366 138,904 9/30/98 109,005 104,414 9/30/99 168,957 138,485 9/30/00 262,357 179,560 9/30/01 149,989 103,085 9/30/02 116,827 84,365 9/30/03 171,350 119,562 9/30/04 183,858 133,814 9/30/05 216,898 157,860 1 For the period ended 9/30/05. Past performance is no indication of future performance. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 4/20/92 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would been lower. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 13 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2005 Mid-Cap Fund Objective The investment objective of the Mid-Cap Fund (the "Fund") is to provide long-term capital appreciation by investing primarily in equity securities of mid-sized companies in a core style. Strategy Martingale Asset Management, L.P. employs a systematic approach focused on valuation, relative performance and management quality. They select stocks of companies that have low price-earnings ratios and price-book ratios, but that also have high sustainable growth levels and the probability of high positive earnings revisions. Analysis The Russell Mid-Cap Index continued its upward track, gaining 25.10% for the fiscal year ended September 30, 2005. The energy sector was by far the biggest contributor to the performance of the Index over the past year. Rising oil prices, from the shortage of oil and natural gas which was recently enhanced by Hurricane Katrina, drove returns for the energy sector. Though all sectors showed positive returns over the period, the consumer discretionary sector -- especially retailing securities -- lagged the broader market, suffering from several disappointing earnings releases during the course of the third quarter. In addition, utilities faired well while materials underperformed. The Fund posted a return of 28.15% for Class A shares over the prior 12 months. The Fund benefited from positive stock selection across most sectors, especially financials, utilities and health care. An underweight to regional banks also boosted returns, as both the expectation for the Fed to raise interest rates through year end and the flattening yield curve hurt small banks. The sub-adviser's focus on relative valuation, sustainable growth and management quality was beneficial during this period as the high beta, more growth oriented companies tended to underperform. Stock selection in consumer discretionary, particularly in the consumer durables and apparel industry, detracted somewhat from the Fund's return, as did an underweight to the energy sector. Going forward, the portfolio will continue to be broadly diversified across all sectors, and will provide exposure to mid cap stocks in the domestic equity stock market. Mid-Cap Fund: AVERAGE ANNUAL TOTAL RETURN 1 - ------------------------------------------------------------------------ Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date - ------------------------------------------------------------------------ Mid-Cap Fund, Class A 28.15% 26.40% 9.43% 12.57% 12.36% - ------------------------------------------------------------------------ Comparison of Change in the Value of a $100,000 Investment in the Mid-Cap Fund, Class A, versus the Russell Mid-Cap Index [LINE GRAPH OMITTED] Mid-Cap Fund, Class A Russell Mid-Cap Index 9/30/95 $100,000 $100,000 9/30/96 116,030 116,040 9/30/97 166,074 156,724 9/30/98 140,482 147,305 9/30/99 163,703 175,955 9/30/00 208,133 231,592 9/30/01 167,359 179,808 9/30/02 161,770 163,661 9/30/03 208,553 217,064 9/30/04 254,915 261,671 9/30/05 326,673 327,350 1 For the period ended 9/30/05. Past performance is no indication of future performance. Fund shares were offered beginning 2/16/93. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- 14 SEI Institutional Managed Trust / Annual Report / September 30, 2005 Managed Volatility Fund Objective The investment objective of the Managed Volatility Fund (the ("Fund") is to invest in common stocks and other equity securities, and employs a broad range of investment strategies intended to generate capital appreciation, but with a lower level of volatility than the broad U.S. equity markets. Strategy The Fund uses a multi-manager approach, relying on sub-advisers with differing investment approaches to manage portions of the Fund's portfolio under the general supervision of SEI Investments Management Corporation ("SIMC"). Each sub-adviser, in managing its portion of the Fund's assets, employs investment strategies intended to achieve returns similar to that of the broad U.S. equity markets, but with a lower level of volatility over the long-term. The Fund seeks to achieve lower volatility by constructing a portfolio of securities that effectively weights securities based on their total expected risk and return, without regard to market capitalization, industry or tracking error targets relative to the broad market. As such, the Fund is expected to have meaningful differentiations in terms of sector weights and short-term performance relative to broad market indices. The Fund utilizes Aronson + Johnson + Ortiz LP and Analytic Investors, Inc. as sub-advisers and each brings a differentiated investment and risk model. Analysis The Fund gained 14.94% for Class A shares for the period October 28, 2004 through September 30, 2005, which represents the inception date of the Fund through the fiscal year-end. The S&P 500 Composite Index returned 12.25% for the fiscal year ended September 30, 2005. The U.S. Equity market posted double digit gains for the fiscal year ended September 30, 2005. Most of this return came in the fourth quarter of 2004, as the markets gained from a decisive U.S. presidential election, positive earnings releases, and an uptick in merger and acquisition activity. The total return for the first nine months of 2005 was modest, as surging energy costs, steadily rising short-term interest rates, and uncertainty from two destructive hurricanes weighed down the markets. Stocks with value characteristics outperformed those classified with higher expected growth for the fiscal year, continuing a multi-year trend. Most of this differential was explained by the exceptional performance of the value-oriented energy and utility sectors, up 63% and 38% for the fiscal year, respectively. Strong demand and limited excess capacity buoyed prices in the energy sector, as oil flirted with $70 per barrel before settling in the mid-$60s at fiscal year-end. The utility sector advanced due to the anticipation of future consolidation within the industry. Financials as a whole lagged as rising interest rates and a flattening yield curve dimmed the future prospects for many of these firms. Retail firms struggled as the consumer became squeezed by higher interest rates and energy costs. Finally, stocks in the smaller end of the large cap spectrum outperformed the mega-capitalization stocks. Given that the Fund is not managed against a specific benchmark, we would expect it to vary significantly from the broad market performance on a shorter-term basis. In particular, the Fund generally favors stocks with relatively low beta to the overall equity market, such as utilities and consumer staples, and largely avoids stocks with high beta, such as information technology. For the fiscal period, the Fund's significant weighting in utilities drove the positive relative returns. Managed Volatility Fund: AVERAGE ANNUAL TOTAL RETURN 1 - ------------------------------------------------------ Cumulative Inception to Date - ------------------------------------------------------ Managed Volatility Fund, Class A 14.94% - ------------------------------------------------------ Comparison of Change in the Value of a $100,000 Investment in the Managed Volatility Fund, Class A, versus the S&P 500 Composite Index [LINE GRAPH OMITTED] Managed Volatility Fund, Class A S&P 500 Composite Index 10/31/04 $100,000 $100,000 9/30/05 114,580 110,553 1 For the period ended 9/30/05. Past performance is no indication of future performance. Fund shares were offered beginning 10/28/04. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 15 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2005 Real Estate Fund Objective The investment objective of the Real Estate Fund (the "Fund") is to provide total return, including current income and capital appreciation, by investing in real estate securities. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire real estate sector in the United States. The Fund is non-diversified, and expects to hold a small number of securities, thus increasing the importance of each holding. The Fund will invest at least 80% of its net assets in equity securities of real estate investment companies and real estate operating companies. The Fund is jointly sub-advised by two investment managers. Assets of the Fund are strategically allocated among its two sub-advisors, each of which has a responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-adviser contributes a particular expertise or sub-style to the Fund. Security Capital Research and Management Incorporated (Security Capital) integrates research on real estate sub-market analysis with fundamental company analysis to find attractively priced securities. Wellington Management Company LLP (Wellington) utilizes a unique risk/reward relative valuation assessment to identify attractive real estate investments. Analysis The Wilshire Real Estate Securities (Full Cap) Index rose 29.04% for the year ended September 30, 2005. The continued rally in the real estate segment of the market was broad-based with all real estate industries posting positive returns. Two of the biggest contributors to the Index's performance during the period were the office and regional mall holdings. The office industry, the largest in the benchmark, posted strong relative performance as a result of improving underlying fundamentals. The gains in regional malls, which had the highest return of any industry, are attributable to a continued favorable operating environment for retail companies and the ongoing consolidation within regional malls. The Real Estate Fund returned 29.97% for Class A shares for the year ended September 30, 2005. Wellington had substantial influence on the Fund, as its stock selection in diversified and regional mall holdings drove the Fund's performance. In addition, Wellington's position in iStar Financial, a mortgage-backed company that lends to various corporate and private real estate owners, was very volatile over the period and detracted from the portfolio. Security Capital positively contributed to the Fund's performance with an overweight in apartments and an underweight to the Industrial industry. The manager's stock selection in strip malls also enhanced returns. - -------------------------------------------------------------------------------- 16 SEI Institutional Managed Trust / Annual Report / September 30, 2005 Real Estate Fund: AVERAGE ANNUAL TOTAL RETURN 1 - --------------------------------------------------------------- Annualized One Year Inception Return to Date - --------------------------------------------------------------- Real Estate Fund, Class A 29.97% 27.12% - --------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Real Estate Fund, Class A, versus the Wilshire Real Estate Securities (Full Cap) Index [LINE GRAPH OMITTED] Wilshire Real Estate Securities Real Estate Fund, Class A (Full Cap) Index 11/30/03 $100,000 $100,000 9/30/04 119,853 119,439 9/30/05 155,773 154,125 1 For the period ended 9/30/05. Past performance is no indication of future performance. Fund shares were offered beginning 11/13/03. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 17 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2005 Core Fixed Income Fund Objective The Core Fixed Income Fund (the "Fund") seeks to provide current income and preservation of capital. Strategy The Fund's investment strategy focuses on sector rotation, both among and within sectors, and issue selection. Risk is principally controlled by explicitly limiting fund interest rate exposure relative to the Lehman Aggregate Bond Index. The Fund's sub-advisers focus on four key areas in determining portfolio structure: duration weighting, term structure, sector allocation and issue selection. While the duration and term structure decision underlie the implementation process, the sub-advisers primarily concentrate on sector and issue selection to add value. In addition, the sub-advisers may engage in currency transactions using futures, foreign currency forward contracts and other derivatives either to seek to hedge the Fund's currency exposure or to enhance the Fund's return. Analysis The fiscal year ended September 30, 2005 proved to be a challenging environment for fixed income investors as the market generated yet another year of positive performance but only a modest return. Fairly robust economic growth prompted interest rate expectations for yields to move higher and the Federal Reserve delivered on those expectations, increasing the Federal Funds rate by 25 basis points at each of their eight meetings, for a total of 200 basis points. Inflation concerns vacillated during the period as slowing productivity, a rebounding labor market and escalating oil and commodity prices put pressure on the market but unwavering investor demand and limited supply allowed long term interest rates to actually decline. The yield on the two year U.S. Treasury climbed over 1.50% to 4.16%, while the 30-year U.S. Treasury yield declined 0.32% to 4.56%. All sectors of the market, except the Credit sector, generated positive excess returns of approximately 75 basis points. The Credit sector delivered only 29 basis points of outperformance as corporate bonds valuations suffered from the volatility associated with the rating agency downgrades of General Motors and Ford Motor. Additionally, credit fundamentals, while still strong, have appeared to peak, as corporations started to exhibit more shareholder friendly activity. Similar to last year, longer maturity bonds generated higher returns than shorter bonds as long term interest rates declined and prices increased. Unlike last year though, lower quality investment grade bonds did not outperform but instead only matched the returns of bonds rated A or higher. The investment-grade fixed income market returned 2.80% for the fiscal year, as measured by the Lehman Aggregate Bond Index. The Core Fixed Income Fund, Class A posted a 2.83% return for the same period due primarily to interest rate strategies and security selection. The Fund was rewarded by its shorter than benchmark duration which benefited in the rising interest rate environment and its flattening yield curve posture which also benefited when short rates rose more than long rates. Sector allocations provided mixed performance as an underweight to the Mortgage-backed security and Agency sectors modesty detracted from performance while an overweight allocation to the Asset-backed and Commercial Mortgage-backed sectors enhanced returns. The Fund's overall allocation to the Credit Sector was a slight negative. Security selection, except for select automotive bonds, contributed to the Fund's better than benchmark return. Finally, the Fund enjoyed the incremental return from TIPS (Treasury Inflation Protection Securities) as the perceived increase in inflation caused real yields to drop considerably and outperform nominal Treasuries. - -------------------------------------------------------------------------------- 18 SEI Institutional Managed Trust / Annual Report / September 30, 2005 Core Fixed Income Fund: AVERAGE ANNUAL TOTAL RETURN 1 - ------------------------------------------------------------------------ Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date - ------------------------------------------------------------------------ Core Fixed Income, Class A 2.83% 4.60% 6.49% 6.37% 7.21% - ------------------------------------------------------------------------ Core Fixed Income, Class I 2.48% 4.31% NA NA 5.01% - ------------------------------------------------------------------------ Comparison of Change in the Value of a $100,000 Investment in the Core Fixed Income Fund, Class A versus the Lehman Aggregate Bond Index [LINE GRAPH OMITTED] Core Fixed Income Fund, Class A Lehman Aggregate Bond Index 9/30/95 $100,000 $100,000 9/30/96 104,510 104,880 9/30/97 114,752 115,095 9/30/98 127,857 128,331 9/30/99 126,629 127,856 9/30/00 135,455 136,794 9/30/01 153,064 154,508 9/30/02 162,080 167,796 9/30/03 172,826 176,857 9/30/04 180,396 183,365 9/30/05 185,501 188,500 1 For the period ended 9/30/05. Past performance is no indication of future performance. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 5/1/87 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 19 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2005 High Yield Bond Fund Objective The investment objective of the High Yield Bond Fund (the "Fund") is to maximize total return by investing primarily in a diversified portfolio of higher yielding, lower rated fixed income securities. The strategy seeks to achieve a high level of total return through sector rotation and security selection. Strategy Fund strategy is to identify high yield market sectors and securities that offer investment opportunities through the analysis of macro-economic, interest rate, industry, and technical factors. Those companies that are best suited to benefit from the identified trends are then selected for investment. Risk is controlled through a high level of diversification, and by performing detailed and ongoing credit analysis on the companies considered and purchased. Analysis The Merrill Lynch U.S. High Yield Master II Constrained Index posted a 6.59% return during the 12-month period ended September 30, 2005, as strong corporate fundamentals continued to support the market. Moody's U.S. issuer-based default rates, which began the period near all-time low levels, fell even further over the most recent 12 months. The 2.37% reading is a seven-year low, and is only slightly above the all-time low reached in 1997. The ratio of upgraded to downgraded issuers was another source of support for the market. The current 12-month trailing figure of 1.1 is unchanged over the last year, and therefore remains at its highest level since 1998. While the aforementioned statistics demonstrate overall market health, several sources of uncertainty tempered the enthusiasm for high yield bonds, including rising short-term interest rates, high commodity prices, and further deterioration in the Automotive and Airlines sectors. General Motors and Ford Motor, the two largest U.S. automakers, were both downgraded to junk status in mid-2005. Both companies have been negatively impacted by declining market share, high input and commodity prices, and ballooning pension and healthcare costs. The debt of the two companies comprises nearly 10% of most unconstrained high yield indices and slightly less than 4% of constrained high yield indices, like the one used by SEI. Auto parts suppliers also struggled during the period with several, including Intermet, Tower Automotive, and Collins & Aikman, filing for bankruptcy. Delphi, the largest auto supplier and former subsidiary of GM, filed for bankruptcy in October 2005. In the Airline sector, Delta Air Lines and Northwest Airlines filed for bankruptcy, joining other legacy carriers United Air Lines and US Air. The longstanding issues facing these companies, including high legacy and fuel costs, and competition from low-cost carriers, again proved to be too much to overcome. The High Yield Bond Fund outpaced the index with a 6.71% gain for Class A shares return during the period. The two biggest positive contributors to the Fund's relative performance were its minimal allocation to the Airlines sector and security selection in the Wireless Communications sector. The Fund's positions in regional and rural Wireless providers rebounded sharply over the last 12 months. These companies benefited from an uptick in Mergers and Acquisitions activity and strong operational performance. Security selection in the Healthcare sector was the largest performance detractor. While the sector performed in line with the overall market, the Fund held positions in two underperforming bonds -- Medquest, which announced accounting issues, and Elan Financial, which announced unfavorable results from studies surrounding its market-leading multiple sclerosis drug. - -------------------------------------------------------------------------------- 20 SEI Institutional Managed Trust / Annual Report / September 30, 2005 High Yield Bond Fund: AVERAGE ANNUAL TOTAL RETURN 1 - ------------------------------------------------------------------------ Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date - ------------------------------------------------------------------------ High Yield Bond Fund, Class A 6.71% 12.34% 7.33% 7.20% 7.87% - ------------------------------------------------------------------------ Comparison of Change in the Value of a $100,000 Investment in the High Yield Bond Fund, Class A, versus the CS First Boston High Yield Index and the Merrill Lynch U.S. High Yield Master II Constrained Index.2* [LINE GRAPH OMITTED] Merril Lynch CS First U.S. High Yield High Yield Bond Boston High Master II Constrained Fund, Class A Yield Index Index 2* 9/30/95 $100,000 $100,000 9/30/96 115,460 110,770 9/30/97 133,125 128,183 $133,125 9/30/98 136,121 127,516 136,427 9/30/99 140,899 132,553 141,693 9/30/00 140,772 135,098 142,968 9/30/01 134,071 128,438 134,204 9/30/02 141,378 132,099 132,755 9/30/03 169,484 169,152 170,988 9/30/04 187,856 191,683 192,071 9/30/05 200,461 203,778 204,729 1 For the period ended 9/30/05. Past performance is no indication of future performance. Fund shares were offered beginning 1/11/95. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. 2 The performance of the Merrill Lynch U.S. High Yield Master II Constrained Index is shown on the line graph beginning from 9/30/97, with an initial value of $133,125, which equals the value at the point in time of the original $100,000 investment in the Fund. The Merrill Lynch U.S. High Yield Master II Contstrained Index was first established on 12/31/96. * Previously the Fund's return had been compared to the CS First Boston Global High Yield index, but the sub-advisers believe that the Merrill Lynch U.S. High Yield Master II Constrained Index is more representative of the Fund's investment universe. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 21 STATEMENT OF NET ASSETS Tax-Managed Large Cap Fund September 30, 2005 - ------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [BAR GRAPH OMITTED] 29.0% Financials 13.4% Information Technology 11.9% Consumer Discretionary 10.7% Health Care 8.4% Energy 6.5% Industrials 5.9% Consumer Staples 4.8% Short-Term Investments 2.6% Utilities 2.4% Telecommunication Services 2.4% Asset-Backed Securities 2.0% Materials 0.0% U.S. Treasury Obligations 0.0% Warrants #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- COMMON STOCK -- 98.8% CONSUMER DISCRETIONARY -- 14.2% Abercrombie & Fitch, Cl A (B) 22,100 $ 1,102 Amazon.Com (B)* 7,700 349 American Eagle Outfitters 62,600 1,473 Apollo Group, Cl A (B)* 98,150 6,516 Autoliv 85,500 3,719 Autonation (B)* 62,300 1,244 Autozone* 3,200 266 Barnes & Noble* 22,100 833 Beazer Homes USA (B) 10,600 622 Bed Bath & Beyond (B)* 118,200 4,749 Belo, Cl A 1,100 25 Best Buy 15,375 669 Big Lots (B)* 6,400 70 Black & Decker 1,500 123 Borders Group 19,300 428 BorgWarner 24,500 1,383 Brinker International (B)* 3,100 116 Brunswick 2,700 102 Cablevision Systems, Cl A* 19,800 607 Career Education* 4,727 168 Carmax* 4,080 128 Carnival (B) 117,700 5,883 Cavco Industries* 260 9 CBRL Group 5,000 168 CEC Entertainment* 3,000 95 Centex 15,600 1,007 Cheesecake Factory (B)* 2,250 70 Clear Channel Communications 112,260 3,692 Coach* 7,200 226 Comcast, Cl A (B)* 216,683 6,366 Comcast, Special Cl A* 9,400 271 Cumulus Media, Cl A* 4,800 60 Dana (B) 91,900 865 Darden Restaurants 98,500 2,991 Delphi 79,200 219 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- DeVry* 2,042 $ 39 Dex Media 13,700 381 Dillard's, Cl A 4,800 100 DIRECTV Group* 29,965 449 Discovery Holding, Cl A* 9,560 138 Dollar General 6,800 125 Dollar Tree Stores* 6,300 136 Dow Jones 900 34 DR Horton 80,599 2,919 DreamWorks Animation, Cl A* 11,200 310 Eastman Kodak (B) 72,300 1,759 eBay (B)* 745,768 30,726 EchoStar Communications, Cl A* 10,700 316 Education Management* 1,400 45 Expedia* 6,870 136 Federated Department Stores (B) 62,192 4,159 Foot Locker 10,700 235 Ford Motor (B) 442,300 4,361 Fortune Brands 14,620 1,189 Furniture Brands International 1,800 32 GameStop, Cl A (B)* 2,900 91 GameStop, Cl B* 722 21 Gannett (B) 25,500 1,755 Gap 25,900 451 General Motors (B) 59,500 1,821 Gentex (B) 9,000 157 Genuine Parts 9,900 425 Goodyear Tire & Rubber (B)* 58,400 910 H&R Block 13,600 326 Harley-Davidson (B) 12,500 606 Harrah's Entertainment 55,816 3,639 Hasbro (B) 46,600 916 Hearst-Argyle Television 1,400 36 Hilton Hotels 16,500 368 Home Depot 230,300 8,784 IAC/InterActive (B)* 45,370 1,150 International Game Technology 272,400 7,355 Interpublic Group (B)* 41,600 484 ITT Educational Services* 1,200 59 J.C. Penney 49,200 2,333 Johnson Controls (B) 26,000 1,613 Jones Apparel Group 4,900 140 KB Home (B) 27,000 1,976 Knight-Ridder (B) 2,400 141 Kohl's (B)* 166,100 8,335 Lamar Advertising, Cl A (B)* 41,260 1,872 Lear 1,400 48 Leggett & Platt 9,500 192 Lennar, Cl A (B) 20,200 1,207 Lennar, Cl B 520 29 Liberty Global, Cl A (B)* 204,780 5,545 Liberty Global, Ser C* 204,780 5,273 Liberty Media, Cl A* 196,200 1,579 - -------------------------------------------------------------------------------- 22 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Limited Brands 63,100 $ 1,289 Liz Claiborne 3,400 134 Lowe's (B) 225,880 14,547 Marriott International, Cl A 81,260 5,119 Mattel 18,400 307 Maytag (B) 46,700 853 McClatchy, Cl A 1,900 124 McDonald's 409,100 13,701 McGraw-Hill 172,030 8,264 MGM Mirage (B)* 188,000 8,229 Michaels Stores 14,500 479 Mohawk Industries* 1,900 153 Neiman-Marcus Group, Cl A (B) 1,800 180 New York Times, Cl A (B) 3,200 95 Newell Rubbermaid 3,800 86 News, Cl A 73,488 1,146 Nike, Cl B 47,000 3,839 Nordstrom 51,600 1,771 NVR (B)* 400 354 O'Reilly Automotive* 3,600 101 Office Depot* 35,900 1,066 OfficeMax 9,000 285 Omnicom Group (B) 57,100 4,775 Outback Steakhouse 12,100 443 Petsmart 3,400 74 Pulte Homes 20,000 858 Radio One, Cl D* 9,300 122 RadioShack 3,100 77 Reebok International 2,100 119 Ross Stores 5,200 123 Ruby Tuesday 2,600 57 Saks (B)* 29,950 554 Sears Holdings* 5,381 670 Shaw Communications, Cl B 42,300 887 Sherwin-Williams 6,200 273 Sirius Satellite Radio (B)* 33,514 220 Snap-On 3,900 141 Standard-Pacific 34,600 1,436 Stanley Works 36,500 1,704 Staples 461,050 9,830 Starbucks* 16,700 837 Starwood Hotels & Resorts Worldwide 20,850 1,192 Target (B) 195,120 10,133 Tiffany 19,100 760 Time Warner (B)* 744,629 13,485 TJX (B) 24,000 492 Toll Brothers (B)* 22,800 1,019 Tribune (B) 5,700 193 Univision Communications, Cl A (B)* 188,250 4,994 Valassis Communications (B)* 42,050 1,639 VF 48,700 2,823 Viacom, Cl B 362,118 11,954 Walt Disney (B) 359,600 8,677 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Washington Post, Cl B 200 $ 161 Wendy's International (B) 18,600 840 Whirlpool (B) 30,300 2,296 Williams-Sonoma* 4,000 153 Wynn Resorts (B)* 2,200 99 XM Satellite Radio Holdings, Cl A (B)* 255,300 9,168 Yum! Brands 9,600 465 ---------- 309,705 ---------- CONSUMER STAPLES -- 7.1% Albertson's (B) 61,100 1,567 Altria Group (B) 208,300 15,354 Anheuser-Busch (B) 32,200 1,386 Archer-Daniels-Midland 114,157 2,815 Avon Products 22,400 605 BJ's Wholesale Club* 16,900 470 Brown-Forman, Cl B 2,400 143 Campbell Soup 11,300 336 Clorox 7,900 439 Coca-Cola 79,982 3,454 Coca-Cola Enterprises 9,500 185 Colgate-Palmolive 90,754 4,791 ConAgra Foods (B) 41,400 1,025 Constellation Brands, Cl A* 6,000 156 Costco Wholesale (B) 11,400 491 CVS 29,800 864 Dean Foods* 50,621 1,967 Energizer Holdings (B)* 32,800 1,860 Estee Lauder, Cl A (B) 77,000 2,682 General Mills (B) 72,200 3,480 Gillette 340,507 19,818 Hershey 22,600 1,273 HJ Heinz 3,500 128 Hormel Foods 4,000 132 Kellogg 12,500 577 Kimberly-Clark 84,700 5,042 Kraft Foods, Cl A 6,700 205 Kroger (B)* 183,400 3,776 Loews-Carolina Group 5,300 210 McCormick 4,200 137 Molson Coors Brewing, Cl B 10,900 698 NBTY* 2,000 47 Pepsi Bottling Group 73,800 2,107 PepsiAmericas 38,200 868 PepsiCo 279,749 15,865 Pilgrim's Pride 27,200 990 Procter & Gamble (B) 215,176 12,794 Reynolds American (B) 44,400 3,686 Safeway (B) 84,034 2,151 Sara Lee (B) 34,800 659 Smithfield Foods* 2,700 80 Supervalu 93,200 2,900 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 23 STATEMENT OF NET ASSETS Tax-Managed Large Cap Fund (Continued) September 30, 2005 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Sysco 26,900 $ 844 TreeHouse Foods (B)* 3,904 105 Tyson Foods, Cl A (B) 97,545 1,761 UST (B) 10,000 419 Wal-Mart Stores 422,030 18,493 Walgreen 233,900 10,163 Whole Foods Market 2,500 336 WM Wrigley Jr. (B) 55,560 3,994 ---------- 154,328 ---------- ENERGY -- 10.1% Amerada Hess (B) 12,200 1,677 Anadarko Petroleum 39,000 3,734 Apache 10,342 778 Baker Hughes (B) 4,500 269 BJ Services (B) 6,200 223 Burlington Resources 48,600 3,952 Chevron 474,068 30,686 Cimarex Energy* 2,285 104 ConocoPhillips 498,330 34,838 Cooper Cameron* 9,800 725 Cross Timbers Royalty Trust 105 6 Devon Energy 65,990 4,530 El Paso (B) 147,400 2,049 ENSCO International (B) 12,200 568 Exxon Mobil 1,193,882 75,859 Forest Oil* 2,300 120 Grant Prideco (B)* 9,100 370 Halliburton (B) 173,900 11,916 Helmerich & Payne 4,300 260 Kerr-McGee 6,500 631 Kinder Morgan 4,500 433 Marathon Oil (B) 72,630 5,006 Murphy Oil 15,600 778 Nabors Industries (B)* 7,900 567 National Oilwell Varco* 10,430 686 Newfield Exploration* 10,200 501 Noble Energy 20,400 957 Occidental Petroleum 71,700 6,125 Patterson-UTI Energy 14,000 505 Peabody Energy (B) 4,400 371 PetroKazakhstan, Cl A 22,400 1,219 Petro-Canada 27,000 1,127 Pioneer Natural Resources 9,900 544 Pogo Producing 6,900 407 Pride International* 9,000 257 Rowan* 11,200 397 Schlumberger 171,071 14,435 Smith International (B) 14,400 480 Suncor Energy 15,750 953 Sunoco (B) 24,200 1,892 Talisman Energy 27,000 1,319 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Tidewater 1,900 $ 92 Unit* 9,600 531 Valero Energy 49,015 5,542 Western Gas Resources 19,000 973 Williams 10,500 263 XTO Energy 23,776 1,078 ---------- 220,733 ---------- FINANCIALS -- 22.2% 21st Century Insurance Group 9,000 144 A.G. Edwards 43,600 1,910 Affiliated Managers Group (B)* 1,350 98 Aflac 19,300 874 Allmerica Financial* 15,400 634 Allstate 153,300 8,476 AMB Property+ (B) 3,400 153 AMBAC Financial Group 3,900 281 American Express (B) 135,100 7,760 American International Group 426,423 26,421 AmeriCredit (B)* 59,600 1,423 Ameritrade Holding (B)* 8,700 187 AmerUs Group 1,200 69 AmSouth Bancorp (B) 66,600 1,682 Annaly Mortgage Management+ (B) 4,300 56 AON (B) 40,700 1,306 Archstone-Smith Trust+ 9,100 363 Arden Realty+ 1,400 58 Arthur J Gallagher 1,900 55 Astoria Financial 78,900 2,085 Axis Capital Holdings 70,650 2,014 Bank of America (B) 825,994 34,774 Bank of Hawaii (B) 5,200 256 Bank of New York 28,800 847 BB&T (B) 84,000 3,280 Bear Stearns 47,200 5,180 Boston Properties+ 3,200 227 Brookfield Properties 48,000 1,415 Camden Property Trust+ 9,900 552 Capital One Financial (B) 7,600 604 CarrAmerica Realty+ 3,400 122 CB Richard Ellis Group, Cl A* 24,900 1,225 CBL & Associates Properties+ 14,800 607 Charles Schwab 1,026,395 14,811 Chicago Mercantile Exchange Holdings (B) 30,200 10,186 Chubb 36,000 3,224 Cincinnati Financial 28,004 1,173 CIT Group 21,500 971 Citigroup 924,762 42,095 Citizens Banking 1,800 51 Comerica 86,800 5,113 Commerce Bancorp 29,200 896 - -------------------------------------------------------------------------------- 24 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Compass Bancshares 4,000 $ 183 Countrywide Financial (B) 130,898 4,317 Crescent Real Estate Equities+ 24,100 494 Doral Financial (B) 6,750 88 Downey Financial 11,800 719 Duke Realty+ 11,100 376 E*Trade Financial* 3,700 65 Endurance Specialty Holdings 25,800 880 Equity Office Properties Trust+ 44,600 1,459 Equity Residential+ 50,800 1,923 Erie Indemnity, Cl A 7,000 369 Fannie Mae 93,140 4,175 Fidelity National Financial 30,633 1,364 First American 45,600 2,083 First Horizon National (B) 55,500 2,017 First Marblehead (B) 15,500 394 FirstMerit 5,200 139 Franklin Resources 110,500 9,278 Freddie Mac 184,170 10,398 Friedman Billings Ramsey Group, Cl A+ (B) 92,100 938 General Growth Properties+ (B) 11,300 508 Genworth Financial, Cl A (B) 19,600 632 Golden West Financial (B) 35,540 2,111 Goldman Sachs Group (B) 190,200 23,125 Greater Bay Bancorp 3,700 91 Hartford Financial Services Group 65,000 5,016 HCC Insurance Holdings 3,000 86 Hibernia, Cl A 1,800 54 Highwoods Properties+ (B) 1,500 44 Host Marriott+ 74,100 1,252 Huntington Bancshares 54,400 1,222 Independence Community Bank 29,000 989 IndyMac Bancorp 36,100 1,429 Instinet Group* 7,900 39 Investment Technology Group* 2,400 71 iStar Financial+ 5,400 218 Janus Capital Group 21,900 316 Jefferson-Pilot 43,700 2,236 JPMorgan Chase 560,160 19,006 Keycorp 221,700 7,150 Kimco Realty+ 3,200 101 Legg Mason (B) 79,800 8,753 Lehman Brothers Holdings (B) 98,669 11,493 Liberty Property Trust+ 3,300 140 Lincoln National (B) 100,200 5,212 Loews 32,200 2,976 M&T Bank 3,500 370 Macerich+ 1,300 84 Mack-Cali Realty+ 4,800 216 Manulife Financial 9,245 493 Marsh & McLennan (B) 14,707 447 Marshall & Ilsley 9,200 400 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- MBIA (B) 45,700 $ 2,770 MBNA 181,303 4,467 Mellon Financial 25,100 802 Mercantile Bankshares 1,300 70 Merrill Lynch (B) 182,600 11,203 Metlife 135,500 6,752 MGIC Investment (B) 57,800 3,711 Mills+ 900 50 Moody's (B) 227,230 11,607 Morgan Stanley 139,000 7,498 National City (B) 264,400 8,842 Nationwide Financial Services, Cl A 25,400 1,017 New York Community Bancorp 4,474 73 North Fork Bancorporation 54,528 1,390 Northern Trust 5,700 288 Nuveen Investments, Cl A 2,400 95 Old Republic International 34,350 916 Peoples Bank 4,500 130 Phoenix (B) 22,400 273 Piper Jaffray* 732 22 Plum Creek Timber+ (B) 7,800 296 PMI Group 19,900 793 PNC Financial Services Group 80,400 4,665 Popular 52,400 1,269 Principal Financial Group (B) 79,800 3,780 Progressive (B) 21,400 2,242 Prologis+ (B) 13,854 614 Protective Life 4,000 165 Providian Financial (B)* 78,100 1,381 Prudential Financial 54,900 3,709 Public Storage+ 4,100 275 Radian Group (B) 32,300 1,715 Raymond James Financial 2,700 87 Regency Centers+ 1,700 98 Regions Financial (B) 104,080 3,239 Safeco (B) 46,200 2,466 Simon Property Group+ (B) 7,100 526 SLM (B) 21,900 1,175 Sovereign Bancorp 15,600 344 St. Joe 20,400 1,274 St. Paul Travelers 102,507 4,599 State Street 900 44 SunTrust Banks (B) 90,100 6,257 SVB Financial Group* 3,100 151 Synovus Financial 1,800 50 T Rowe Price Group 5,000 326 TCF Financial 4,400 118 TD Banknorth (B) 2,254 68 Torchmark (B) 4,900 259 Toronto-Dominion Bank 1,081 53 Trizec Properties+ 20,700 477 UnionBanCal 25,100 1,750 Unitrin 1,100 52 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 25 STATEMENT OF NET ASSETS Tax-Managed Large Cap Fund (Continued) September 30, 2005 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- UnumProvident (B) 52,200 $ 1,070 US Bancorp 351,361 9,866 Vornado Realty Trust+ (B) 16,700 1,447 Wachovia 385,592 18,350 Waddell & Reed Financial, Cl A 7,800 151 Washington Mutual (B) 251,668 9,870 Webster Financial 17,500 787 Weingarten Realty Investors+ 1,400 53 Wells Fargo 185,200 10,847 Whitney Holding 2,400 65 Willis Group Holdings 29,840 1,120 XL Capital, Cl A 4,700 320 Zions Bancorporation 28,700 2,044 ---------- 483,880 ---------- HEALTH CARE -- 12.8% Abbott Laboratories 114,000 4,834 Advanced Medical Optics* 2,444 93 Aetna 24,300 2,093 Affymetrix* 3,200 148 Alcon 3,800 486 Allergan (B) 113,300 10,381 American Pharmaceutical Partners (B)* 1,800 82 AmerisourceBergen (B) 35,838 2,770 Amgen (B)* 309,209 24,635 Applera--Applied Biosystems Group (B) 106,200 2,468 Barr Pharmaceuticals* 3,300 181 Bausch & Lomb 1,500 121 Baxter International 22,100 881 Beckman Coulter 1,200 65 Becton Dickinson 7,900 414 Biogen Idec* 10,440 412 Biomet (B) 10,050 349 Boston Scientific* 34,400 804 Bristol-Myers Squibb (B) 123,600 2,974 C.R. Bard 3,800 251 Cardinal Health 32,930 2,089 Caremark Rx* 201,154 10,044 Celgene (B)* 4,000 217 Cigna 34,100 4,019 Cooper 700 54 Coventry Health Care (B)* 1,500 129 Cytyc* 6,000 161 Dade Behring Holdings 27,800 1,019 DaVita (B)* 4,650 214 Dentsply International 900 49 Eli Lilly 171,623 9,185 Express Scripts* 3,000 187 Fisher Scientific International* 41,710 2,588 Forest Laboratories* 13,600 530 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Genentech (B)* 360,800 $ 30,383 Genzyme* 54,100 3,876 Gilead Sciences* 15,000 731 Guidant 13,700 944 HCA 25,500 1,222 Health Management Associates, Cl A 88,300 2,072 Health Net (B)* 3,200 152 Hospira* 4,710 193 Humana* 15,700 752 ICOS (B)* 2,300 64 ImClone Systems (B)* 2,400 76 IMS Health 3,944 99 Inamed* 1,300 98 Invitrogen (B)* 16,700 1,256 Johnson & Johnson 247,587 15,667 King Pharmaceuticals* 133,500 2,053 Laboratory of America Holdings (B)* 5,300 258 Lincare Holdings* 3,500 144 Manor Care (B) 3,700 142 McKesson 6,452 306 Medco Health Solutions* 85,996 4,715 Medicis Pharmaceutical, Cl A (B) 2,000 65 Medimmune* 12,500 421 Medtronic 497,313 26,666 Merck 291,235 7,925 Mettler Toledo International* 2,300 117 Millennium Pharmaceuticals* 7,900 74 Millipore* 1,400 88 Mylan Laboratories 19,800 381 Omnicare 2,544 143 Patterson (B)* 5,000 200 PerkinElmer 119,900 2,442 Pfizer 1,466,116 36,609 Pharmaceutical Product Development* 4,300 247 Quest Diagnostics 4,800 243 Renal Care Group* 4,350 206 Schering-Plough (B) 52,462 1,104 Sepracor* 1,700 100 St. Jude Medical* 30,600 1,432 Steris 5,400 129 Stryker (B) 149,810 7,405 Thermo Electron* 7,000 216 UnitedHealth Group (B) 191,892 10,784 Universal Health Services, Cl B 18,100 862 Valeant Pharmaceuticals International (B) 12,000 241 Varian Medical Systems* 1,600 63 Waters* 5,800 241 Watson Pharmaceuticals* 37,200 1,362 WellPoint* 157,148 11,915 Wyeth 168,482 7,796 Zimmer Holdings* 141,470 9,746 --------- 279,353 --------- - -------------------------------------------------------------------------------- 26 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- INDUSTRIALS -- 7.9% 3M 105,130 $ 7,712 ACCO Brands* 963 27 AGCO* 1,800 33 Allied Waste Industries (B)* 13,709 116 American Power Conversion (B) 7,400 192 American Standard 7,200 335 AMN Healthcare Services* 7,200 111 Avery Dennison (B) 17,400 912 BearingPoint* 12,900 98 Boeing 42,203 2,868 Brink's 1,300 53 Burlington Northern Santa Fe 136,800 8,181 C.H. Robinson Worldwide (B) 3,200 205 Caterpillar 28,600 1,680 Cendant 442,750 9,138 ChoicePoint* 2,600 112 Cintas (B) 124,100 5,094 CNF (B) 18,500 971 Continental Airlines, Cl B (B)* 4,900 47 Crane 1,700 51 CSX 25,200 1,171 Cummins (B) 24,500 2,156 Danaher 10,200 549 Deere 39,100 2,393 Deluxe 27,900 1,121 Dover 6,100 249 Dun & Bradstreet* 1,600 105 Eaton 50,400 3,203 Emerson Electric 15,000 1,077 Equifax 7,600 266 Expeditors International Washington (B) 153,400 8,710 Fastenal 65,300 3,989 FedEx 13,400 1,168 Flowserve* 12,000 436 Fluor 1,500 97 GATX 25,500 1,009 General Dynamics 5,600 670 General Electric 922,109 31,047 Goodrich 7,900 350 Harsco 2,300 151 Herman Miller 1,900 58 HNI 24,100 1,451 Honeywell International 103,500 3,881 Hubbell, Cl B 16,200 760 Hudson Highland Group* 1,500 38 IKON Office Solutions 5,300 53 Illinois Tool Works 47,300 3,894 Iron Mountain (B)* 6,300 231 ITT Industries 4,000 454 Jacobs Engineering Group* 1,040 70 JetBlue Airways (B)* 6,600 116 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- L-3 Communications Holdings (B) 32,700 $ 2,586 Lockheed Martin (B) 80,800 4,932 Manpower 24,000 1,065 Masco (B) 73,900 2,267 Monster Worldwide (B)* 10,000 307 MSC Industrial Direct, Cl A (B) 4,000 133 Navistar International* 21,900 710 Norfolk Southern 127,400 5,167 Northrop Grumman 150,534 8,182 Paccar 8,475 575 Pall 9,500 261 Parker Hannifin 7,800 502 Pentair 4,800 175 PHH* 1,915 53 Pitney Bowes 8,900 372 Raytheon 44,000 1,673 Republic Services 6,400 226 Robert Half International 5,800 206 Rockwell Automation 6,000 317 Rockwell Collins 7,900 382 RR Donnelley & Sons 48,700 1,805 Ryder System 19,800 678 ServiceMaster 14,400 195 Shaw Group* 3,100 76 SIRVA* 12,900 96 Skywest 8,800 236 Southwest Airlines 37,900 563 SPX 2,100 97 Steelcase, Cl A 3,900 56 Swift Transportation* 2,900 51 Teekay Shipping (B) 32,800 1,412 Textron 26,400 1,893 Timken 36,700 1,087 Union Pacific 13,500 968 United Parcel Service, Cl B 172,146 11,901 United Rentals (B)* 9,100 179 United Technologies 42,144 2,185 Viad 850 23 Waste Management 21,200 607 Weight Watchers International* 150,000 7,737 WW Grainger 4,800 302 York International 1,400 79 ---------- 171,176 ---------- INFORMATION TECHNOLOGY -- 16.1% 3Com* 12,800 52 Acxiom 2,400 45 ADC Telecommunications (B)* 9,900 226 Adobe Systems (B) 19,800 591 Advanced Micro Devices (B)* 12,900 325 Advent Software* 2,800 75 Affiliated Computer Services, Cl A* 4,200 229 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 27 STATEMENT OF NET ASSETS Tax-Managed Large Cap Fund (Continued) September 30, 2005 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Agilent Technologies* 14,100 $ 462 Altera* 12,800 245 American Tower, Cl A* 73,150 1,825 Amkor Technology (B)* 16,800 74 Amphenol, Cl A 2,200 89 Analog Devices (B) 22,100 821 Andrew (B)* 18,500 206 Apple Computer* 25,600 1,372 Applied Materials 43,416 736 Arrow Electronics* 53,900 1,690 Autodesk 8,200 381 Automatic Data Processing 64,700 2,785 Avaya* 15,100 156 Avnet (B)* 51,900 1,269 AVX 9,900 126 BEA Systems* 19,700 177 BMC Software* 8,900 188 Broadcom, Cl A (B)* 7,000 328 Cadence Design Systems (B)* 14,800 239 CDW 3,590 212 Ceridian* 2,963 62 Certegy 1,400 56 Checkfree (B)* 3,200 121 Cisco Systems* 1,021,330 18,312 Citrix Systems (B)* 28,500 717 Cognizant Technology Solutions, Cl A* 4,456 208 Computer Associates International 24,600 684 Computer Sciences (B)* 24,000 1,135 Compuware* 7,524 71 Comverse Technology (B)* 21,100 554 Convergys (B)* 55,100 792 Corning* 36,800 711 Cree (B)* 1,800 45 Crown Castle International (B)* 110,390 2,719 CSG Systems International* 8,100 176 Cypress Semiconductor (B)* 12,500 188 Dell* 444,630 15,206 Diebold 5,800 200 DST Systems* 1,700 93 Electronic Arts (B)* 80,220 4,564 Electronic Data Systems (B) 56,700 1,272 EMC* 605,256 7,832 Fair Isaac 25,750 1,154 Fairchild Semiconductor International*3,400 51 First Data 620,625 24,825 Fiserv (B)* 127,550 5,851 Flextronics International* 16,800 216 Freescale Semiconductor, Cl B (B)* 14,431 340 Global Payments 2,000 155 Google, Cl A (B)* 27,288 8,636 Harris 6,000 251 Hewlett-Packard 493,027 14,396 Ingram Micro, Cl A* 147,600 2,737 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Integrated Device Technology* 9,200 $ 99 Intel 667,233 16,447 International Business Machines 92,700 7,436 International Rectifier* 1,900 86 Intersil, Cl A 5,500 120 Intuit* 171,900 7,703 Jabil Circuit* 5,300 164 Juniper Networks (B)* 174,900 4,161 Kemet* 12,000 101 Kla-Tencor (B) 6,100 297 Lam Research* 2,600 79 Lexmark International, Cl A* 4,000 244 Linear Technology 244,910 9,206 LSI Logic (B)* 106,512 1,049 Lucent Technologies (B)* 196,300 638 Macromedia* 7,400 301 Maxim Integrated Products (B) 93,400 3,984 Maxtor* 8,700 38 McAfee* 25,900 814 Microchip Technology 7,300 220 Micron Technology (B)* 5,800 77 Microsoft 1,777,508 45,735 MKS Instruments* 3,500 60 Molex 1,400 37 MoneyGram International 3,400 74 Motorola 94,500 2,088 National Semiconductor (B) 29,200 768 NAVTEQ* 150,000 7,493 NCR* 48,900 1,560 Network Appliance* 10,900 259 Nokia ADR 418,500 7,077 Novell* 7,000 52 Novellus Systems (B)* 10,600 266 Nvidia (B)* 15,700 538 Oracle* 770,900 9,551 Paychex (B) 585,966 21,728 Perot Systems, Cl A* 13,400 190 PMC - Sierra* 6,600 58 Polycom* 11,200 181 QLogic* 4,300 147 Qualcomm 659,874 29,529 Red Hat* 7,600 161 Research In Motion* 34,200 2,339 Reynolds & Reynolds, Cl A 3,400 93 Sabre Holdings, Cl A 49,600 1,006 SanDisk (B)* 258,500 12,473 Sanmina-SCI* 95,100 408 Scientific-Atlanta 5,000 188 Semtech* 11,500 189 Siebel Systems 22,800 236 Silicon Laboratories* 1,600 49 Solectron* 178,800 699 Sun Microsystems* 145,000 568 - -------------------------------------------------------------------------------- 28 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Sybase (B)* 43,800 $ 1,026 Symantec* 41,697 945 Symbol Technologies 7,600 74 Synopsys* 47,777 903 Tech Data* 8,886 326 Tektronix 3,200 81 Tellabs (B)* 55,300 582 Teradyne* 18,800 310 Texas Instruments 194,400 6,590 Unisys* 12,100 80 VeriSign* 14,900 318 WebMD (B)* 20,600 228 Western Digital* 123,300 1,594 Xerox (B)* 31,000 423 Xilinx (B) 22,000 613 Yahoo!* 214,980 7,275 Zebra Technologies, Cl A (B)* 900 35 ---------- 349,721 ---------- MATERIALS -- 2.4% Agrium 56,000 1,230 Air Products & Chemicals 9,900 546 Alcoa 70,500 1,722 Ashland 17,700 978 Ball 1,400 51 Bowater 1,600 45 Consol Energy 2,800 214 Dow Chemical 85,056 3,544 E.I. Du Pont de Nemours 66,800 2,617 Eagle Materials 115 14 Eagle Materials, Cl B 387 45 Eastman Chemical 36,500 1,714 Ecolab 11,200 358 Engelhard 7,700 215 Florida Rock Industries (B) 1,800 115 Freeport-McMoRan Copper & Gold, Cl B (B) 5,100 248 Georgia-Pacific 87,400 2,977 Hercules* 6,500 79 International Flavors & Fragrances 6,200 221 International Paper 44,100 1,314 IPSCO 16,400 1,172 Lafarge North America 3,100 210 Louisiana-Pacific (B) 67,400 1,866 Lubrizol 48,400 2,097 Lyondell Chemical 28,200 807 Martin Marietta Materials 14,200 1,114 MeadWestvaco 36,700 1,014 Monsanto (B) 12,438 781 Newmont Mining 16,200 764 Nucor 86,800 5,120 OM Group* 20,900 421 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Pactiv* 8,000 $ 140 Phelps Dodge (B) 13,900 1,806 PPG Industries (B) 53,200 3,149 Praxair (B) 173,200 8,301 Rohm & Haas 21,000 864 RPM International 3,000 55 Sealed Air (B)* 10,500 498 Sigma-Aldrich 2,700 173 Smurfit-Stone Container* 5,800 60 Sonoco Products 18,600 508 Temple-Inland 2,200 90 United States Steel (B) 26,200 1,110 Vulcan Materials (B) 4,100 304 Weyerhaeuser 27,314 1,878 ---------- 52,549 ---------- TELECOMMUNICATION SERVICES -- 2.9% Alltel 23,500 1,530 AT&T 188,600 3,734 BellSouth (B) 305,500 8,035 CenturyTel (B) 111,400 3,897 Citizens Communications (B) 22,700 308 Nextel Partners, Cl A (B)* 67,500 1,694 Qwest Communications International* 52,061 213 SBC Communications (B) 567,921 13,613 Sprint Nextel 515,812 12,266 Telephone & Data Systems 27,900 1,088 Telephone & Data Systems, Special Shares (B) 5,200 195 US Cellular* 11,000 588 Verizon Communications 457,562 14,958 West* 2,600 97 ---------- 62,216 ---------- UTILITIES -- 3.1% AES* 8,000 131 Allegheny Energy (B)* 12,800 393 Alliant Energy 3,200 93 Ameren (B) 5,600 300 American Electric Power (B) 185,100 7,349 Aqua America 2,000 76 Centerpoint Energy (B) 38,600 574 Cinergy (B) 4,800 213 CMS Energy (B)* 77,100 1,268 Consolidated Edison (B) 9,400 456 Constellation Energy Group 33,800 2,082 Dominion Resources 11,800 1,017 DTE Energy (B) 64,240 2,946 Duke Energy (B) 180,900 5,277 Edison International 116,600 5,513 Energy East 53,400 1,345 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 29 STATEMENT OF NET ASSETS Tax-Managed Large Cap Fund (Continued) September 30, 2005 - ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Entergy 40,600 $ 3,017 Equitable Resources 1,800 70 Exelon (B) 77,200 4,126 FirstEnergy 56,100 2,924 FPL Group (B) 18,600 885 Great Plains Energy 7,100 212 Idacorp 2,900 87 KeySpan 19,000 699 Nicor 4,700 198 NiSource (B) 6,500 158 Northeast Utilities 24,200 483 NSTAR 33,800 978 OGE Energy (B) 7,500 211 Oneok (B) 108,700 3,698 Pepco Holdings 63,000 1,466 PG&E 110,300 4,329 Pinnacle West Capital (B) 46,200 2,037 PPL (B) 9,800 317 Progress Energy (B) 43,500 1,947 Public Service Enterprise Group (B) 5,100 328 Puget Energy 11,900 279 Questar 4,200 370 Reliant Energy (B)* 5,362 83 Sempra Energy 32,200 1,515 Southern (B) 27,600 987 TECO Energy 9,800 177 TXU 39,100 4,414 Wisconsin Energy 20,000 798 Xcel Energy 117,000 2,294 ---------- 68,120 ---------- Total Common Stock (Cost $1,768,309) ($ Thousands) 2,151,781 ---------- Number of Warrants --------- WARRANTS -- 0.0% Lucent Technologies, Expires 12/10/07* 9,748 9 ---------- Total Warrants (Cost $--) ($ Thousands) 9 ---------- CORPORATE OBLIGATIONS (C) -- 9.2% FINANCIALS -- 9.2% Allstate Life Global Funding II MTN (E) 3.788%, 10/16/06 $ 2,803 2,803 American General Finance (E) (F) 3.768%, 10/16/06 19,684 19,683 American General Finance MTN, Ser F 5.875%, 07/14/06 609 621 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ CCN Bluegrass (E) 3.859%, 08/18/06 $ 3,961 $ 3,961 CIT Group MTN (E) 3.790%, 05/12/06 15,236 15,236 3.714%, 04/19/06 1,524 1,525 Caterpillar Financial Services MTN, Ser F (E) 3.670%, 07/10/06 3,047 3,047 Countrywide Financial Services MTN, Ser A (E) 3.920%, 09/13/06 11,274 11,274 3.760%, 07/31/06 3,047 3,047 Countrywide Home Loans MTN, Ser M (E) 3.851%, 11/30/05 3,900 3,900 3.760%, 01/31/06 1,341 1,341 Dekabank (E) 3.614%, 08/19/06 11,274 11,272 Irish Life & Permanent MTN, Ser X (E) 3.812%, 09/21/06 8,105 8,104 Islandsbanki (E) (F) 3.869%, 09/22/06 5,180 5,180 Jackson National Life Funding (E) (F) 3.693%, 10/02/06 13,407 13,407 K2 LLC MTN (E) 3.809%, 12/12/05 366 366 Liberty Lighthouse US Capital MTN (E) 3.688%, 05/10/06 6,094 6,090 Morgan Stanley EXL (E) 3.710%, 10/04/06 2,133 2,133 Morgan Stanley EXL, Ser S (E) 3.670%, 10/03/06 3,047 3,047 Natexis Banques (E) 3.810%, 10/16/06 5,942 5,941 Nationwide Building Society (E) (F) 4.030%, 07/28/06 3,047 3,047 3.689%, 01/06/06 6,094 6,094 Nordbank (E) (F) 3.830%, 09/25/06 10,360 10,358 Northern Rock (E) (F) 3.690%, 10/03/06 6,277 6,277 Pacific Life Global Funding (E) (F) 3.760%, 10/13/06 4,571 4,571 Premium Asset Trust, Ser 2004-01 (E) (F) 3.800%, 02/06/06 6,338 6,343 Premium Asset Trust, Ser 2004-06 (E) (F) 3.941%, 06/30/06 5,790 5,794 Premium Asset Trust, Ser 2004-10 (E) (F) 3.778%, 10/16/06 8,532 8,532 SLM EXL, Ser S (E) 3.768%, 10/16/06 6,704 6,704 - -------------------------------------------------------------------------------- 30 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ SLM MTN, Ser X (E) 3.796%, 10/20/06 $12,188 $ 12,188 Skandinav Enskilda Bank (E) 3.779%, 10/17/06 6,704 6,703 White Pine Finance MTN, Ser 1 (E) 3.663%, 11/01/05 2,681 2,681 ---------- Total Corporate Obligations (Cost $201,270) ($ Thousands) 201,270 ---------- COMMERCIAL PAPER (C) (D) -- 3.4% FINANCIALS -- 3.4% Altius I Funding 3.864%, 10/27/05 9,141 9,108 Arlington Funding 3.857%, 10/14/05 6,674 6,662 Brahms Funding 3.861%, 10/26/05 2,438 2,431 Buckingham 3.940%, 11/14/05 1,111 1,105 Cre-8 Funding 3.908%, 11/01/05 3,047 3,033 3.902%, 10/28/05 6,094 6,076 3.862%, 10/19/05 3,047 3,038 3.762%, 10/07/05 1,828 1,822 Davis Square V Funding 3.934%, 11/02/05 12,188 12,145 3.932%, 10/28/05 609 608 Main Street Warehouse Funding 3.881%, 10/24/05 6,094 6,077 Rams Funding 3.879%, 10/18/05 6,603 6,588 3.863%, 10/27/05 6,475 6,453 3.861%, 10/19/05 2,972 2,964 3.861%, 10/20/05 2,084 2,078 Rhineland Funding 4.027%, 11/28/05 1,377 1,368 3.871%, 10/24/05 2,322 2,315 ---------- Total Commercial Paper (Cost $73,871) ($ Thousands) 73,871 ---------- ASSET-BACKED SECURITIES (C) -- 2.9% AUTOMOTIVE -- 0.3% Capital Auto Receivables Asset Trust, Ser 2005-SN1A, Cl A1 3.327%, 05/15/06 6,185 6,185 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) - ------------------------------------------------------------- Drivetime Auto Owner Trust, Ser 2005-B, Cl A1 (E) 3.788%, 01/15/06 $ 804 $ 804 ---------- 6,989 ---------- MORTGAGE RELATED SECURITIES -- 2.6% Blue Heron Funding, Ser 9A, Cl A1 (E) 3.860%, 02/22/06 6,094 6,094 CCN Independence IV (E) 3.842%, 10/17/05 3,352 3,352 3.838%, 07/17/06 2,133 2,133 Cheyne High Grade, Ser 2004-1A, Cl A1 (E) 3.780%, 11/10/05 3,504 3,504 Commodore, Ser 2003-2A, Cl A1MM (E) 3.914%, 12/12/05 2,803 2,803 Duke Funding, Ser 2004-6B, Cl A1S1 (E) 3.630%, 10/10/06 4,571 4,571 Harwood Street Funding II, Ser 2005-1A, Cl NOTE (E) 3.880%, 06/25/06 6,094 6,094 Orchid Structured Finance, Ser 2003-1A, Cl A1MM (E) 3.902%, 11/18/05 5,363 5,363 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AMM2 (E) 3.880%, 11/25/05 7,213 7,213 RMAC, Ser 2004-NS3A, Cl A1 (E) 3.728%, 09/12/06 1,994 1,994 Saturn Ventures II (E) 3.749%, 02/07/06 6,094 6,094 TIAA Real Estate, Ser 2003 1A, Cl A1 (E) 3.868%, 09/28/06 3,935 3,935 Whitehawk CDO Funding, Ser 2004-1A, Cl AMMD (E) 3.890%, 06/15/06 1,524 1,524 Whitehawk CDO Funding, Ser 2004-1A, Cl AMME (E) 3.890%, 09/15/06 914 914 ---------- 55,588 ---------- Total Asset-Backed Securities (Cost $62,577) ($ Thousands) 62,577 ---------- CASH EQUIVALENTS -- 1.2% First Union Cash Management Program 1,507,761 1,508 SEI Daily Income Trust, Prime Obligation Fund, Cl A++ 25,090,156 25,090 ---------- Total Cash Equivalents (Cost $26,598) ($ Thousands) 26,598 ---------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 31 STATEMENT OF NET ASSETS Tax-Managed Large Cap Fund (Concluded) September 30, 2005 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- MASTER NOTES (C) -- 1.0% Bank of America 4.018%, 10/01/05 $15,236 $ 15,236 Bear Stearns 4.113%, 10/01/05 7,313 7,313 ---------- Total Master Notes (Cost $22,549) ($ Thousands) 22,549 ---------- U.S. TREASURY OBLIGATIONS (A) -- 0.1% U.S. Treasury Bills 3.455%, 11/25/05 1,165 1,160 3.229%, 12/22/05 100 99 ---------- Total U.S. Treasury Obligations (Cost $1,259) ($ Thousands) 1,259 ---------- REPURCHASE AGREEMENTS (C) -- 3.5% Barclays Capital Markets 3.840%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $38,211,279 (collateralized by various U.S. Government Obligations, ranging in par value $6,342,935 - $25,381,733, 1.875% - 7.250%, 06/15/06 - 01/15/10; with total market value $38,989,037) 38,199 38,199 Deutsche Bank Securites 3.750%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $29,874,286 (collateralized by various U.S. Government Obligations, ranging in par value $67,264 - $8,044,383, 0.000% - 5.875%, 10/07/05 - 09/29/25; with total market value $30,462,296) 29,865 29,865 Lehman Brothers 3.820%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $8,229,828 (collateralized by various U.S. Government Obligations, ranging in par value $552,442 - $6,385,838, 0.000% - 3.500%, 08/15/06 - 04/15/30; with total market value $8,392,043) 8,227 8,227 ---------- Total Repurchase Agreements (Cost $76,291) ($ Thousands) 76,291 ---------- Total Investments -- 120.1% (Cost $2,232,724) ($ Thousands) 2,616,205 ---------- - ------------------------------------------------------------- Value Description ($ Thousands) - ------------------------------------------------------------- OTHER ASSETS AND LIABILITIES -- (20.1)% Payable upon Return on Securities Loaned $ (436,558) Payable for Investment Securities Purchased (19,289) Payable for Fund Shares Redeemed (1,218) Investment Advisory Fees Payable (546) Administration Fees Payable (623) Shareholder Servicing Fees Payable (313) Other Assets and Liabilities, Net 20,294 ---------- Total Other Assets and Liabilities (438,253) ---------- Net Assets -- 100.0% $2,177,952 ========== NET ASSETS: Paid-in-Capital (unlimited authorization-- no par value) $2,296,860 Undistributed net investment income 4,006 Accumulated net realized loss on investments and futures contracts (506,277) Net unrealized appreciation on investments 383,481 Net unrealized depreciation on futures contracts (118) ---------- Net Assets $2,177,952 ========== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($2,172,885,202 / 184,405,673 shares) $11.78 ====== Net Asset Value, Offering and Redemption Price Per Share -- Class Y ($5,066,931 / 427,262 shares) $11.86 ====== Futures -- A summary of the open futures contracts held by the fund at September 30, 2005, is as follows: (see Note 2 in Notes to Financial Statements) - ------------------------------------------------------------- UNREALIZED APPRECIATION TYPE OF NUMBER OF EXPIRATION (DEPRECIATION) CONTRACT CONTRACTS DATE ($ THOUSANDS) - ------------------------------------------------------------- S&P 500 Composite Index 69 December 2005 $(123) S&P 400 Index E-MINI 41 December 2005 5 ----- $(118) ----- * 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 September 30, 2005 (see Note 7). The total value of securities on loan at September 30, 2005 was $427,615 ($ Thousands). (C) This security was purchased with cash collateral held from securities lending (see Note 7). The total value of such securities as of September 30, 2005 was $436,558 ($ Thousands). (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate and date reported on the Statement of Net Assets is the rate and date in effect as of September 30, 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." ADR -- American Depositary Receipt CDO -- Collateralized Debt Obligation Cl -- Class EXL -- Extendable Maturity LLC -- Limited Liability Company MTN -- Medium Term Note Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 32 SEI Institutional Managed Trust / Annual Report / September 30, 2005 Large Cap Value Fund September 30, 2005 - ------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [BAR GRAPH OMITTED] 38.6% Financials 13.8% Energy 8.6% Consumer Discretionary 6.5% Industrials 6.1% Health Care 4.8% Utilities 4.2% Information Technology 4.1% Consumer Staples 4.1% Short-Term Investments 4.0% Telecommunication Services 2.9% Materials 2.3% Asset-Backed Securities #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- COMMON STOCK -- 99.5%** CONSUMER DISCRETIONARY -- 10.2% Abercrombie & Fitch, Cl A (B) 87,100 $ 4,342 American Eagle Outfitters 264,800 6,231 Autoliv 387,800 16,869 Autonation (B)* 221,700 4,427 Barnes & Noble* 114,000 4,298 Beazer Homes USA (B) 51,200 3,004 Borders Group 94,600 2,097 BorgWarner 136,400 7,701 Centex (B) 51,450 3,323 Clear Channel Communications 168,400 5,539 Comcast, Cl A (B)* 569,300 16,726 Dana 382,100 3,595 Darden Restaurants 448,300 13,615 Dex Media 49,500 1,376 DR Horton 346,466 12,549 Eastman Kodak (B) 334,800 8,146 eBay* 55,400 2,282 Federated Department Stores 162,800 10,886 Ford Motor (B) 1,471,300 14,507 Gannett (B) 65,700 4,522 General Motors (B) 206,400 6,318 Goodyear Tire & Rubber (B)* 280,400 4,371 GTECH Holdings 148,200 4,751 Hasbro (B) 221,100 4,345 Home Depot 41,350 1,577 IAC/InterActive* 174,700 4,429 Interpublic Group (B)* 103,400 1,204 J.C. Penney 143,300 6,795 Johnson Controls 85,700 5,318 KB Home (B) 111,500 8,162 Lennar, Cl A (B) 51,400 3,072 Liberty Media, Cl A* 418,000 3,365 Limited Brands (B) 267,900 5,473 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Lowe's 42,100 $ 2,711 Marriott International, Cl A 125,800 7,925 Maytag (B) 138,500 2,529 McDonald's 965,000 32,318 McGraw-Hill 133,200 6,399 McLeodUSA, Cl A (F)* 251,800 -- Michaels Stores 65,800 2,175 News, Cl A 202,200 3,152 Nordstrom 189,200 6,493 NVR (B)* 2,000 1,770 Office Depot (B)* 187,100 5,557 OfficeMax 22,502 713 Outback Steakhouse (B) 51,300 1,878 Pulte Homes (B) 102,200 4,386 Shaw Communications, Cl B 203,300 4,263 Sherwin-Williams 97,200 4,284 Standard-Pacific 184,800 7,671 Stanley Works 135,600 6,330 Target 39,900 2,072 Tiffany (B) 74,800 2,975 Time Warner (B)* 1,957,900 35,458 Toll Brothers (B)* 102,200 4,565 Univision Communications, Cl A (B)* 104,000 2,759 VF 177,800 10,307 Viacom, Cl B 1,071,300 35,364 Walt Disney 957,900 23,114 Wendy's International (B) 28,200 1,273 Whirlpool (B) 149,400 11,320 ---------- 434,976 ---------- CONSUMER STAPLES -- 4.9% Albertson's 323,500 8,298 Altria Group (B) 669,200 49,327 Archer-Daniels-Midland 351,900 8,678 BJ's Wholesale Club (B)* 60,800 1,690 Clorox (B) 79,300 4,404 Coca-Cola 71,200 3,075 Colgate-Palmolive 83,400 4,403 ConAgra Foods (B) 162,200 4,014 Dean Foods (B)* 147,500 5,732 Energizer Holdings (B)* 46,800 2,654 General Mills (B) 297,400 14,335 Kimberly-Clark (B) 299,383 17,822 Kroger (B)* 752,200 15,488 Molson Coors Brewing, Cl B (B) 52,500 3,361 Pepsi Bottling Group 322,600 9,210 PepsiAmericas 170,100 3,866 PepsiCo 83,600 4,741 Pilgrim's Pride 123,200 4,484 Reynolds American (B) 158,600 13,167 Safeway (B) 395,527 10,126 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 33 STATEMENT OF NET ASSETS Large Cap Value Fund (Continued) September 30, 2005 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Supervalu 364,700 $ 11,349 Tyson Foods, Cl A (B) 250,100 4,514 UST (B) 27,200 1,139 WM Wrigley Jr. 33,100 2,379 ---------- 208,256 ---------- ENERGY -- 16.5% Amerada Hess (B) 92,100 12,664 Anadarko Petroleum 149,000 14,267 Burlington Resources 245,200 19,940 Chevron 1,840,769 119,153 ConocoPhillips 1,512,600 105,746 Cooper Cameron (B)* 45,200 3,342 Devon Energy (B) 317,800 21,814 El Paso (B) 515,500 7,165 ENSCO International (B) 38,600 1,798 Exxon Mobil 4,597,700 292,138 Marathon Oil 391,700 27,000 Nabors Industries (B)* 22,000 1,580 Noble Energy 100,600 4,718 Occidental Petroleum 202,200 17,274 PetroKazakhstan, Cl A 112,400 6,118 Pride International* 104,500 2,979 Sunoco (B) 112,800 8,821 Talisman Energy 140,400 6,857 Unit* 47,100 2,604 Valero Energy (B) 185,800 21,006 Western Gas Resources 75,500 3,868 --------- 700,852 --------- FINANCIALS -- 34.0% A.G. Edwards 206,100 9,029 ACE 29,500 1,389 Aflac (B) 64,600 2,926 Allstate 566,200 31,305 American International Group 900,600 55,801 AmeriCredit (B)* 244,500 5,836 AmSouth Bancorp (B) 264,600 6,684 AON (B) 135,900 4,360 Astoria Financial 269,250 7,114 Axis Capital Holdings 162,000 4,619 Bank of America (B) 3,032,004 127,647 Bank of Hawaii (B) 25,300 1,245 Bank of New York 124,500 3,662 BB&T (B) 216,300 8,447 Bear Stearns (B) 174,000 19,097 Brookfield Properties 242,800 7,155 Camden Property Trust+ 45,800 2,553 CB Richard Ellis Group, Cl A (B)* 124,100 6,106 CBL & Associates Properties+ 68,300 2,800 Chubb 166,200 14,883 Cincinnati Financial 87,370 3,660 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- CIT Group 119,800 $ 5,413 Citigroup 3,511,900 159,862 Comerica (B) 425,000 25,033 Commerce Bancorp (B) 101,400 3,112 Countrywide Financial (B) 565,100 18,637 Crescent Real Estate Equities+ 94,400 1,936 Downey Financial 65,000 3,959 Endurance Specialty Holdings 128,800 4,393 Equity Office Properties Trust+ 171,600 5,613 Equity Residential+ 134,000 5,072 Fannie Mae 236,400 10,595 Fidelity National Financial 32,690 1,455 First American 261,005 11,920 First Horizon National (B) 175,700 6,387 First Marblehead (B) 70,400 1,788 Freddie Mac 117,000 6,606 Friedman Billings Ramsey Group, Cl A+ (B) 348,700 3,553 General Growth Properties+ (B) 40,000 1,797 Genworth Financial, Cl A (B) 80,000 2,579 Goldman Sachs Group 202,600 24,632 Hartford Financial Services Group (B) 299,100 23,082 Host Marriott+ 302,800 5,117 Huntington Bancshares 136,000 3,056 IndyMac Bancorp 213,400 8,446 Jefferson-Pilot (B) 345,500 17,679 JPMorgan Chase 2,098,228 71,193 Keycorp 810,800 26,148 Legg Mason (B) 37,050 4,064 Lehman Brothers Holdings (B) 396,500 46,184 Lincoln National (B) 353,500 18,389 Loews 145,400 13,436 MBIA (B) 226,600 13,737 MBNA 645,800 15,913 Merrill Lynch 740,600 45,436 Metlife 556,100 27,710 MGIC Investment (B) 226,900 14,567 Morgan Stanley 685,800 36,992 National City (B) 1,221,896 40,860 Nationwide Financial Services, Cl A 115,500 4,626 North Fork Bancorporation 296,580 7,563 Old Republic International 130,350 3,476 PMI Group 100,100 3,991 PNC Financial Services Group (B) 334,000 19,379 Popular (B) 186,049 4,506 Principal Financial Group (B) 340,200 16,115 Progressive (B) 66,700 6,988 Providian Financial (B)* 290,100 5,129 Prudential Financial 162,900 11,006 Radian Group 153,700 8,161 Regions Financial (B) 383,114 11,923 Safeco (B) 221,900 11,845 Sovereign Bancorp (B) 54,300 1,197 - -------------------------------------------------------------------------------- 34 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- St. Joe 73,000 $ 4,559 St. Paul Travelers 443,200 19,886 SunTrust Banks (B) 341,300 23,703 Trizec Properties+ 91,600 2,112 UnionBanCal 122,500 8,541 UnumProvident (B) 214,100 4,389 US Bancorp 1,314,400 36,908 Vornado Realty Trust+ (B) 43,500 3,768 Wachovia (B) 1,597,112 76,007 Washington Mutual (B) 949,200 37,228 Webster Financial 87,500 3,934 Wells Fargo 722,100 42,293 XL Capital, Cl A 28,700 1,952 Zions Bancorporation 66,100 4,707 ---------- 1,448,561 ---------- HEALTH CARE -- 7.3% Alcon 16,700 2,136 AmerisourceBergen (B) 149,400 11,549 Applera--Applied Biosystems Group (B) 444,900 10,339 Bristol-Myers Squibb (B) 275,600 6,631 Cardinal Health 81,100 5,145 Caremark Rx* 199,600 9,966 Cephalon (B)* 26,500 1,230 Cigna 99,600 11,739 Dade Behring Holdings 140,000 5,132 Eli Lilly 57,800 3,093 HCA 37,500 1,797 Health Management Associates, Cl A 228,500 5,363 Humana* 50,400 2,413 Invitrogen (B)* 63,900 4,807 King Pharmaceuticals* 506,300 7,787 Merck 1,182,600 32,178 PerkinElmer 398,461 8,117 Pfizer 5,461,400 136,371 St. Jude Medical* 41,900 1,961 Tenet Healthcare (B)* 97,700 1,097 UnitedHealth Group 74,900 4,209 Universal Health Services, Cl B (B) 156,700 7,464 Watson Pharmaceuticals* 130,200 4,767 WellPoint* 145,200 11,009 Wyeth 286,400 13,252 ---------- 309,552 ---------- INDUSTRIALS -- 7.7% 3M 103,400 7,585 Avery Dennison (B) 68,100 3,568 Brascan, Cl A 81,200 3,784 Burlington Northern Santa Fe 543,700 32,513 Cendant 813,400 16,789 CNF (B) 89,600 4,704 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- CSX (B) 144,900 $ 6,735 Cummins (B) 115,600 10,172 Deere 79,000 4,835 Deluxe (B) 109,600 4,402 Eaton 155,600 9,888 Emerson Electric 24,400 1,752 GATX (B) 96,900 3,832 General Electric 1,760,800 59,286 Harsco 105,300 6,904 HNI 39,100 2,355 Honeywell International 303,500 11,381 Hubbell, Cl B 60,900 2,858 L-3 Communications Holdings 106,900 8,453 Lockheed Martin (B) 291,100 17,769 Manpower (B) 99,000 4,395 Masco (B) 220,400 6,762 Navistar International* 118,500 3,843 Norfolk Southern 337,000 13,669 Northrop Grumman 656,400 35,675 Paccar (B) 59,300 4,026 Parker Hannifin 18,500 1,190 Raytheon 256,500 9,752 RR Donnelley & Sons 211,500 7,840 Ryder System 91,800 3,141 Swift Transportation (B)* 94,000 1,664 Textron 149,000 10,686 Timken 155,900 4,619 ---------- 326,827 ---------- INFORMATION TECHNOLOGY -- 5.0% ADC Telecommunications (B)* 102,000 2,332 Arrow Electronics* 92,100 2,888 Avnet (B)* 231,400 5,658 Cisco Systems* 178,800 3,206 Computer Sciences (B)* 104,300 4,934 Convergys (B)* 269,800 3,877 Dell* 64,400 2,203 Electronic Arts* 39,400 2,241 Electronic Data Systems (B) 154,000 3,456 EMC* 533,900 6,909 Fair Isaac (B) 107,000 4,794 Fiserv (B)* 273,100 12,527 Flextronics International (B)* 131,800 1,694 Freescale Semiconductor, Cl B* 22,833 538 Hewlett-Packard 1,996,400 58,295 Ingram Micro, Cl A* 663,500 12,301 Intel 286,200 7,055 International Business Machines 177,200 14,215 Juniper Networks (B)* 71,500 1,701 LSI Logic* 452,800 4,460 Lucent Technologies (B)* 642,400 2,088 McAfee* 81,300 2,554 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 35 STATEMENT OF NET ASSETS Large Cap Value Fund (Continued) September 30, 2005 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Microsoft 224,200 $ 5,769 NCR* 221,700 7,074 Oracle* 505,400 6,262 Qualcomm 39,800 1,781 Sabre Holdings, Cl A 207,300 4,204 Sanmina-SCI* 249,400 1,070 Scientific-Atlanta 119,000 4,464 Solectron* 596,600 2,333 Sybase (B)* 208,000 4,871 Synopsys* 134,300 2,538 Tech Data (B)* 63,701 2,338 Tellabs* 80,000 842 Western Digital* 547,100 7,074 Yahoo!* 80,300 2,717 ---------- 213,263 ---------- MATERIALS -- 3.4% Agrium 277,300 6,092 Dow Chemical 300,300 12,514 E.I. Du Pont de Nemours 203,500 7,971 Eastman Chemical (B) 219,500 10,310 Georgia-Pacific 345,400 11,764 International Paper 59,300 1,767 IPSCO 78,900 5,641 Lafarge North America 32,000 2,164 Louisiana-Pacific 308,500 8,542 Lubrizol 225,600 9,775 Lyondell Chemical 143,800 4,116 Martin Marietta Materials 50,100 3,931 MeadWestvaco 155,000 4,281 Nucor 379,000 22,357 Phelps Dodge (B) 59,000 7,666 PPG Industries 207,100 12,258 Sonoco Products 52,200 1,426 United States Steel (B) 106,100 4,493 Weyerhaeuser 110,200 7,576 ---------- 144,644 ---------- TELECOMMUNICATION SERVICES -- 4.8% Alltel 70,000 4,558 AT&T 675,300 13,371 BellSouth (B) 1,229,300 32,330 CenturyTel (B) 459,500 16,073 Nextel Partners, Cl A (B)* 411,800 10,336 SBC Communications (B) 2,214,800 53,089 Sprint Nextel 457,850 10,888 Telephone & Data Systems 105,100 4,099 Verizon Communications 1,752,800 57,299 ---------- 202,043 ---------- - ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- UTILITIES -- 5.7% American Electric Power (B) 616,900 $ 24,491 Centerpoint Energy (B) 150,000 2,231 CMS Energy (B)* 349,600 5,751 Constellation Energy Group 128,900 7,940 DTE Energy (B) 151,400 6,943 Duke Energy (B) 747,700 21,810 Edison International 558,107 26,387 Energy East (B) 283,400 7,139 Entergy 191,300 14,218 Exelon (B) 196,900 10,522 FirstEnergy (B) 275,900 14,380 FPL Group (B) 50,000 2,380 KeySpan 78,800 2,898 Northeast Utilities 300,985 6,005 NRG Energy (B)* 108,600 4,626 Oneok (B) 491,300 16,714 Pepco Holdings (B) 239,500 5,573 PG&E 393,100 15,429 Pinnacle West Capital (B) 123,400 5,440 Progress Energy (B) 204,500 9,151 SCANA 134,100 5,664 Sempra Energy 84,800 3,991 TXU (B) 91,900 10,374 Wisconsin Energy 63,200 2,523 Xcel Energy 585,800 11,488 ---------- 244,068 ---------- Total Common Stock (Cost $3,543,960) ($ Thousands) 4,233,042 ---------- Number of Warrants ---------- WARRANTS -- 0.0% Lucent Technologies, Expires 12/10/07* (Cost $--) ($ Thousands) 3,875 4 ---------- CORPORATE OBLIGATIONS (C) -- 8.6% FINANCIALS -- 8.6% Allstate Life Global Funding II MTN (E) 3.788%, 10/16/06 $ 5,128 5,128 American General Finance (E) (G) 3.768%, 10/16/06 36,004 36,002 American General Finance MTN, Ser F 5.875%, 07/14/06 1,114 1,137 CCN Bluegrass (E) 3.859%, 08/18/06 7,245 7,245 CIT Group MTN (E) 3.790%, 05/12/06 27,867 27,867 3.714%, 04/19/06 2,787 2,789 - -------------------------------------------------------------------------------- 36 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Caterpillar Financial Services MTN, Ser F (E) 3.670%, 07/10/06 $ 5,573 $ 5,573 Countrywide Financial Services MTN, Ser A (E) 3.920%, 09/13/06 20,622 20,622 3.760%, 07/31/06 5,573 5,573 Countrywide Home Loans MTN, Ser M (E) 3.851%, 11/30/05 7,134 7,134 3.760%, 01/31/06 2,452 2,452 Dekabank (E) 3.614%, 08/19/06 20,622 20,618 Irish Life & Permanent MTN, Ser X (E) 3.812%, 09/21/06 14,825 14,822 Islandsbanki (E) (G) 3.869%, 09/22/06 9,475 9,475 Jackson National Life Funding (E) (G) 3.693%, 10/02/06 24,523 24,523 K2 LLC MTN (E) 3.809%, 12/12/05 669 668 Liberty Lighthouse US Capital MTN (E) 3.688%, 05/10/06 11,147 11,139 Morgan Stanley EXL (E) 3.710%, 10/04/06 3,901 3,901 Morgan Stanley EXL, Ser S (E) 3.670%, 10/03/06 5,573 5,573 Natexis Banques (E) 3.810%, 10/16/06 10,868 10,866 Nationwide Building Society (E) (G) 4.030%, 07/28/06 5,573 5,574 3.689%, 01/06/06 11,147 11,147 Nordbank (E) (G) 3.830%, 09/25/06 18,950 18,946 Northern Rock (E) (G) 3.690%, 10/03/06 11,481 11,481 Pacific Life Global Funding (E) (G) 3.760%, 10/13/06 8,360 8,360 Premium Asset Trust, Ser 2004-01 (E) (G) 3.800%, 02/06/06 11,593 11,602 Premium Asset Trust, Ser 2004-06 (E) (G) 3.941%, 06/30/06 10,589 10,597 Premium Asset Trust, Ser 2004-10 (E) (G) 3.778%, 10/16/06 15,606 15,606 SLM EXL, Ser S (E) 3.768%, 10/16/06 12,262 12,262 SLM MTN, Ser X (E) 3.796%, 10/20/06 22,294 22,294 Skandinav Enskilda Bank (E) 3.779%, 10/17/06 12,262 12,260 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- White Pine Finance MTN, Ser 1 (E) 3.663%, 11/01/05 $ 4,905 $ 4,903 ---------- Total Corporate Obligations (Cost $368,139) ($ Thousands) 368,139 ---------- COMMERCIAL PAPER (C) (D) -- 3.2% FINANCIALS -- 3.2% Altius I Funding 3.864%, 10/27/05 16,720 16,659 Arlington Funding 3.857%, 10/14/05 12,208 12,185 Brahms Funding 3.861%, 10/26/05 4,459 4,446 Buckingham 3.940%, 11/14/05 2,032 2,022 Cre-8 Funding 3.908%, 11/01/05 5,573 5,548 3.902%, 10/28/05 11,147 11,113 3.862%, 10/19/05 5,573 5,557 3.762%, 10/07/05 3,344 3,334 Davis Square V Funding 3.934%, 11/02/05 22,294 22,214 3.932%, 10/28/05 1,115 1,111 Main Street Warehouse Funding 3.881%, 10/24/05 11,147 11,116 Rams Funding 3.879%, 10/18/05 12,077 12,049 3.863%, 10/27/05 11,843 11,804 3.861%, 10/19/05 5,435 5,421 3.861%, 10/20/05 3,812 3,801 Rhineland Funding 4.027%, 11/28/05 2,519 2,502 3.871%, 10/24/05 4,247 4,235 ---------- Total Commercial Paper (Cost $135,117) ($ Thousands) 135,117 ---------- ASSET-BACKED SECURITIES (C) -- 2.7% AUTOMOTIVE -- 0.3% Capital Auto Receivables Asset Trust, Ser 2005-SN1A, Cl A1 3.327%, 05/15/06 11,313 11,313 Drivetime Auto Owner Trust, Ser 2005-B, Cl A1 (E) 3.788%, 01/15/06 1,471 1,471 --------- 12,784 --------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 37 STATEMENT OF NET ASSETS Large Cap Value Fund (Concluded) September 30, 2005 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- MORTGAGE RELATED SECURITIES -- 2.4% Blue Heron Funding, Ser 9A, Cl A1 (E) 3.860%, 02/22/06 $11,147 $ 11,147 CCN Independence IV (E) 3.842%, 10/17/05 6,131 6,131 3.838%, 07/17/06 3,901 3,901 Cheyne High Grade, Ser 2004-1A, Cl A1 (E) 3.780%, 11/10/05 6,409 6,409 Commodore, Ser 2003-2A, Cl A1MM (E) 3.914%, 12/12/05 5,127 5,127 Duke Funding, Ser 2004-6B, Cl A1S1 (E) 3.630%, 10/10/06 8,360 8,360 Harwood Street Funding II, Ser 2005-1A, Cl NOTE (E) 3.880%, 06/25/06 11,147 11,147 Orchid Structured Finance, Ser 2003-1A, Cl A1MM (E) 3.902%, 11/18/05 9,809 9,809 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AMM2 (E) 3.880%, 11/25/05 13,193 13,193 RMAC, Ser 2004-NS3A, Cl A1 (E) 3.728%, 09/12/05 3,648 3,648 Saturn Ventures II (E) 3.749%, 02/07/06 11,147 11,147 TIAA Real Estate, Ser 2003 1A, Cl A1 (E) 3.868%, 09/28/06 7,197 7,197 Whitehawk CDO Funding, Ser 2004-1A, Cl AMMD (E) 3.890%, 06/15/06 2,787 2,787 Whitehawk CDO Funding, Ser 2004-1A, Cl AMME (E) 3.890%, 09/15/06 1,672 1,672 ---------- 101,675 ---------- Total Asset-Backed Securities (Cost $114,459) ($ Thousands) 114,459 ---------- MASTER NOTES (C) -- 0.9% Bank of America 4.018%, 10/01/05 27,867 27,867 Bear Stearns 4.113%, 10/01/05 13,377 13,377 ---------- Total Master Notes (Cost $41,244) ($ Thousands) 41,244 ---------- - ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- CASH EQUIVALENT -- 0.7% SEI Daily Income Trust, Prime Obligation Fund, Cl A++ 28,951,375 $ 28,951 ---------- Total Cash Equivalent (Cost $28,951) ($ Thousands) 28,951 ---------- U.S. TREASURY OBLIGATION (A) -- 0.0% U.S. Treasury Bills 3.451%, 11/25/05 $ 1,195 1,189 ---------- Total U.S. Treasury Obligation (Cost $1,189) ($ Thousands) 1,189 ---------- REPURCHASE AGREEMENTS (C) -- 3.3% Barclays Capital Markets 3.840%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $69,891,476 (collateralized by various U.S. Government Obligations, ranging in par value $11,601,733 - $46,425,214, 1.875% - 7.250%, 06/15/06 - 01/15/10; with total market value $71,314,057) 69,869 69,869 Deutsche Bank Securites 3.750%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $54,642,451 (collateralized by various U.S. Government Obligations, ranging in par value $123,031 - $14,713,817, 0.000% - 5.875%, 10/07/05 - 09/29/25; with total market value $55,717,968) 54,625 54,625 Lehman Brothers 3.820%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $15,053,012 (collateralized by various U.S. Government Obligations, ranging in par value $1,010,460 - $11,680,207, 0.000% - 3.500%, 08/15/06 - 04/15/30; with total market value $15,349,716) 15,048 15,048 ---------- Total Repurchase Agreements (Cost $139,542) ($ Thousands) 139,542 ---------- Total Investments -- 118.9% (Cost $4,372,601) ($ Thousands) 5,061,687 ---------- - -------------------------------------------------------------------------------- 38 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------- Value Description ($ Thousands) - ------------------------------------------------------------- OTHER ASSETS AND LIABILITIES -- (18.9)% Payable Upon Return on Securities Loaned $ (798,501) Payable for Investment Securities Purchased (70,004) Payable for Fund Shares Redeemed (6,282) Administration Fees Payable (1,231) Investment Advisory Fees Payable (985) Shareholder Servicing Fees Payable (696) Administration Servicing Fees Payable (5) Other Assets and Liabilities, Net 71,469 ---------- Total Other Assets and Liabilities (806,235) ---------- Net Assets-- 100.0% $4,255,452 ========== NET ASSETS: Paid-in-Capital (unlimited authorization-- no par value) $3,337,934 Undistributed net investment income 15,715 Accumulated net realized gain on investments and futures contracts 212,849 Net unrealized appreciation on investments 689,086 Net unrealized depreciation on futures contracts (132) ---------- Net Assets $4,255,452 ========== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($4,230,716,513 / 188,491,033 shares) $22.45 ====== Net Asset Value, Offering and Redemption Price Per Share -- Class I ($24,735,315 / 1,102,775 shares) $22.43 ====== Futures -- A summary of the open futures contracts held by the fund at September 30, 2005, is as follows: (see Note 2 in Notes to Financial Statements) - ------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION DEPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) - ------------------------------------------------------------- S&P 500 Composite Index 74 December 2005 $(132) - ------------------------------------------------------------- Description - ------------------------------------------------------------- * Non-income producing security. ** Narrow industries are utilized for compliance purposes, 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 September 30, 2005 (see Note 7). The total value of securities on loan at September 30, 2005 was $776,501 ($ Thousands). (C) This security was purchased with cash collateral held from securities lending (see Note 7). The total value of such securities as of September 30, 2005 was $798,501 ($ Thousands). (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate and date reported on the Statement of Net Assets is the rate and date in effect as of September 30, 2005. (F) Securities considered illiquid. The total value of such securities as of September 30, 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." CDO -- Collateralized Debt Obligation Cl -- Class EXL -- Extendable Maturity LLC -- Limited Liability Company MTN -- Medium Term Note Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 39 STATEMENT OF NET ASSETS Large Cap Growth Fund September 30, 2005 - ------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [BAR GRAPH OMITTED] 23.6% Information Technology 17.7% Financials 17.0% Consumer Discretionary 16.1% Health Care 7.7% Consumer Staples 6.5% Industrials 3.8% Short-Term Investments 3.8% Energy 2.1% Asset-Backed Securities 1.0% Materials 0.7% Telecommunication Services #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- COMMON STOCK -- 99.4%** CONSUMER DISCRETIONARY -- 19.9% Apollo Group, Cl A (B)* 360,700 $ 23,947 Aramark, Cl B 10,200 272 Bed Bath & Beyond* 543,200 21,826 Black & Decker 700 57 Brinker International (B)* 28,300 1,063 Brunswick 32,000 1,207 Career Education (B)* 34,000 1,209 Carnival (B) 522,260 26,103 Choice Hotels International (B) 2,900 187 Clear Channel Communications 344,470 11,330 Coach* 126,500 3,967 Comcast, Cl A (B)* 120,100 3,529 Darden Restaurants 59,900 1,819 Discovery Holding, Cl A* 26,800 387 Dollar General (B) 114,900 2,107 Dollar Tree Stores* 8,500 184 eBay (B)* 2,872,000 118,326 EchoStar Communications, Cl A* 27,000 798 Entercom Communications* 1,800 57 Fortune Brands 47,190 3,838 Gap 54,400 948 Harley-Davidson (B) 34,400 1,666 Harman International Industries 36,300 3,712 Harrah's Entertainment 219,630 14,318 Hibbett Sporting Goods* 9,900 220 Hilton Hotels 3,900 87 Home Depot (B) 690,100 26,320 IAC/InterActive* 13,950 354 International Game Technology 1,266,000 34,182 ITT Educational Services* 5,600 276 J.C. Penney 71,100 3,372 Jack in the Box* 11,600 347 Johnson Controls 10,500 652 Kohl's (B)* 670,200 33,631 Lamar Advertising, Cl A (B)* 176,980 8,028 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Lennar, Cl A (B) 1,000 $ 60 Liberty Global, Cl A (B)* 924,000 25,022 Liberty Global, Ser C (B)* 924,000 23,793 Liberty Media, Cl A* 268,000 2,157 Lowe's (B) 736,940 47,459 Marriott International, Cl A (B) 259,270 16,334 McDonald's 796,400 26,671 McGraw-Hill 613,021 29,450 MGM Mirage (B)* 876,000 38,343 Nike, Cl B 188,300 15,380 Omnicom Group (B) 233,300 19,511 Petsmart 118,700 2,585 Polaris Industries 30,300 1,501 RadioShack 17,900 444 Rent-A-Center* 15,400 297 Select Comfort (B)* 2,800 56 Sherwin-Williams 11,500 507 Standard-Pacific 11,200 465 Staples 2,087,600 44,508 Starbucks* 96,200 4,820 Starwood Hotels & Resorts Worldwide 65,280 3,732 Station Casinos 14,600 969 Strayer Education 3,400 321 Target (B) 713,120 37,032 Timberland, Cl A* 12,300 416 Time Warner* 769,990 13,945 Univision Communications, Cl A (B)* 723,180 19,186 Urban Outfitters* 28,000 823 Valassis Communications (B)* 188,450 7,346 Viacom, Cl B 787,382 25,991 Walt Disney 75,200 1,815 XM Satellite Radio Holdings, Cl A (B)* 1,120,000 40,219 Yankee Candle 6,900 169 Yum! Brands 13,400 649 ---------- 802,302 ---------- CONSUMER STAPLES -- 9.0% 7-Eleven* 2,700 96 Altria Group (B) 16,100 1,187 Anheuser-Busch (B) 84,700 3,645 Avon Products 91,400 2,468 BJ's Wholesale Club* 3,000 83 Campbell Soup (B) 43,900 1,306 Clorox (B) 30,000 1,666 Coca-Cola 108,600 4,690 Coca-Cola Enterprises (B) 18,400 359 Colgate-Palmolive 329,619 17,401 Energizer Holdings* 8,000 454 Estee Lauder, Cl A (B) 364,500 12,696 Gillette 1,356,835 78,968 HJ Heinz 3,900 143 Kellogg 4,100 189 - -------------------------------------------------------------------------------- 40 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Kimberly-Clark 24,800 $ 1,476 Pepsi Bottling Group 113,700 3,246 PepsiCo 1,062,221 60,239 Pilgrim's Pride 16,400 597 Procter & Gamble (B) 662,924 39,417 Sysco 50,000 1,568 Wal-Mart Stores 1,666,960 73,046 Walgreen 932,200 40,504 Whole Foods Market (B) 31,400 4,222 WM Wrigley Jr. (B) 205,060 14,740 ---------- 364,406 ---------- ENERGY -- 4.5% Anadarko Petroleum 2,800 268 BJ Services (B) 135,200 4,866 Chevron 24,800 1,605 ConocoPhillips 601,500 42,051 Diamond Offshore Drilling (B) 58,700 3,595 ENSCO International (B) 5,500 256 Grant Prideco (B)* 21,100 858 Halliburton 653,100 44,751 Newfield Exploration* 38,300 1,881 Pogo Producing 4,000 236 Rowan (B)* 74,900 2,658 Schlumberger 784,301 66,179 Suncor Energy 70,680 4,278 Tidewater 62,400 3,037 Transocean (B)* 10,700 656 Unit* 29,300 1,620 XTO Energy 13,000 589 ---------- 179,384 ---------- FINANCIALS -- 10.0% American Express (B) 414,500 23,809 American Financial Group (B) 8,400 285 American International Group 502,200 31,116 BlackRock, Cl A 1,100 97 Capital One Financial (B) 28,600 2,274 Charles Schwab 3,766,800 54,355 Chicago Mercantile Exchange Holdings (B) 136,000 45,873 Fannie Mae 216,020 9,682 Fifth Third Bancorp 39,000 1,432 First Bancorp Puerto Rico 13,000 220 Franklin Resources 341,200 28,647 Freddie Mac 644,470 36,387 Friedman Billings Ramsey Group, Cl A+ (B) 8,400 86 Genworth Financial, Cl A 9,400 303 Golden West Financial (B) 83,980 4,988 Goldman Sachs Group (B) 552,400 67,161 Keycorp 10,200 329 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Legg Mason (B) 255,400 $ 28,015 MGIC Investment (B) 4,500 289 Moody's (B) 972,530 49,677 Morgan Stanley 60,900 3,285 Northern Trust 34,100 1,724 Nuveen Investments, Cl A 10,400 410 PMI Group 1,900 76 Radian Group 24,700 1,312 St. Joe 5,900 368 SVB Financial Group* 12,200 593 US Bancorp 117,300 3,294 Wells Fargo 7,500 439 Willis Group Holdings 133,720 5,021 WR Berkley 9,000 355 ---------- 401,902 ---------- HEALTH CARE -- 18.9% Abbott Laboratories 339,800 14,408 Advanced Neuromodulation Systems* 7,900 375 Allergan 558,600 51,179 AmerisourceBergen (B) 17,300 1,337 Amgen (B)* 1,151,124 91,710 Bausch & Lomb 24,000 1,936 Baxter International 124,200 4,952 Becton Dickinson 75,500 3,958 Biogen Idec* 2,400 95 Boston Scientific* 123,700 2,891 C.R. Bard 23,400 1,545 Caremark Rx* 756,410 37,768 Celgene (B)* 24,400 1,325 Cytyc* 26,200 703 Dade Behring Holdings 35,400 1,298 Edwards Lifesciences (B)* 21,000 933 Eli Lilly 614,390 32,882 Fisher Scientific International (B)* 177,930 11,041 Genentech* 1,465,900 123,443 Genzyme* 158,200 11,333 HCA 52,600 2,521 Health Management Associates, Cl A 12,100 284 Hillenbrand Industries 6,100 287 Hospira* 12,500 512 Idexx Laboratories* 5,000 334 IMS Health 32,500 818 Invitrogen* 4,200 316 Johnson & Johnson 791,892 50,111 Laboratory of America Holdings (B)* 45,300 2,207 Medco Health Solutions* 315,490 17,298 Medtronic 1,829,934 98,121 Merck 165,500 4,503 Mettler Toledo International* 7,600 387 Millipore* 3,500 220 OraSure Technologies* 12,000 113 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 41 STATEMENT OF NET ASSETS Large Cap Growth Fund (Continued) September 30, 2005 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Pfizer 442,500 $ 11,049 Quest Diagnostics (B) 24,600 1,243 Schering-Plough (B) 116,000 2,442 Sierra Health Services* 2,200 152 St. Jude Medical* 35,100 1,643 Stryker (B) 662,430 32,744 SurModics (B)* 3,900 151 Thermo Electron* 19,700 609 United Surgical Partners International* 6,800 266 UnitedHealth Group 692,800 38,935 Universal Health Services, Cl B (B) 23,800 1,134 VCA Antech (B)* 20,900 533 Waters* 46,600 1,939 WellPoint* 487,000 36,924 Wyeth 386,460 17,882 Zimmer Holdings (B)* 570,080 39,273 ---------- 760,063 ---------- INDUSTRIALS -- 7.6% 3M 327,248 24,007 Alliant Techsystems (B)* 11,700 873 American Standard 5,200 242 Armor Holdings* 1,300 56 Boeing 11,400 775 Cendant 1,082,130 22,335 Cintas (B) 433,600 17,799 CNF 15,900 835 Danaher 9,500 511 Deere 54,700 3,348 Eaton 17,700 1,125 Emerson Electric 31,800 2,283 Expeditors International Washington (B) 682,000 38,724 Fastenal (B) 260,200 15,896 General Dynamics 7,100 849 General Electric 1,324,500 44,596 Harsco 5,300 348 Herman Miller 8,200 248 HNI 5,100 307 Illinois Tool Works 198,900 16,375 Ingersoll-Rand, Cl A 39,800 1,522 JB Hunt Transport Services (B) 80,600 1,532 Landstar System* 23,100 925 Lockheed Martin (B) 80,300 4,901 Manpower 2,800 124 Mercury Computer Systems* 1,800 47 MSC Industrial Direct, Cl A (B) 18,200 604 Navistar International* 87,200 2,828 Northrop Grumman 35,000 1,902 Paccar 56,200 3,815 Pitney Bowes 30,700 1,281 Precision Castparts (B) 20,500 1,089 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Rockwell Automation 10,400 $ 550 Rockwell Collins 5,900 285 Ryder System 12,000 411 SPX 4,700 216 Stericycle* 19,000 1,086 Textron 6,100 437 Thomas & Betts* 8,200 282 United Parcel Service, Cl B 777,954 53,780 United Technologies 64,000 3,318 Waste Connections* 1,900 67 Weight Watchers International (B)* 691,000 35,642 ---------- 308,176 ---------- INFORMATION TECHNOLOGY -- 27.6% Adtran 9,100 287 Agere Systems* 48,400 504 Alliance Data Systems* 20,100 787 American Tower, Cl A* 354,730 8,850 Automatic Data Processing 134,900 5,806 Avocent* 2,900 92 Cadence Design Systems* 34,600 559 CDW (B) 56,800 3,347 Checkfree (B)* 10,200 386 Cisco Systems* 3,481,060 62,415 Crown Castle International (B)* 494,730 12,185 Cymer* 25,500 799 Dell* 1,593,980 54,514 Digital Insight* 16,600 433 Electronic Arts (B)* 278,260 15,830 EMC* 1,991,650 25,772 Fair Isaac 5,000 224 First Data 2,529,680 101,187 Fiserv (B)* 309,400 14,192 Global Payments 9,000 699 Google, Cl A (B)* 93,360 29,545 Harris 35,900 1,501 Ingram Micro, Cl A* 50,300 933 Intel 2,146,830 52,919 International Business Machines 125,000 10,027 Intuit (B)* 779,000 34,907 Jabil Circuit* 26,700 826 Juniper Networks (B)* 749,800 17,838 Lexmark International, Cl A* 13,000 794 Linear Technology 922,210 34,666 Maxim Integrated Products 375,700 16,024 Micrel (B)* 31,900 358 Microsoft 6,712,390 172,710 MicroStrategy, Cl A* 4,300 302 Motorola 199,600 4,409 National Instruments 22,500 554 National Semiconductor (B) 164,600 4,329 NAVTEQ* 550,000 27,472 - -------------------------------------------------------------------------------- 42 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Network Appliance* 3,400 $ 81 Nokia ADR 1,462,200 24,726 Novellus Systems (B)* 5,900 148 Oracle* 2,644,300 32,763 Paychex 2,338,200 86,700 QLogic* 6,400 219 Qualcomm 2,951,460 132,078 Red Hat (B)* 110,900 2,350 Research In Motion* 153,600 10,506 Reynolds & Reynolds, Cl A 2,500 68 SanDisk (B)* 1,167,000 56,308 Serena Software (B)* 7,900 157 Synopsys* 91,200 1,724 Texas Instruments (B) 740,700 25,110 Western Digital* 19,100 247 Xerox (B)* 111,500 1,522 Yahoo!* 597,280 20,212 ---------- 1,113,901 ---------- MATERIALS -- 1.1% Ball 14,700 540 Dow Chemical 70,600 2,942 Eagle Materials (B) 3,000 364 Florida Rock Industries (B) 13,800 885 Freeport-McMoRan Copper & Gold, Cl B (B) 55,100 2,677 Martin Marietta Materials 42,100 3,303 Praxair 726,000 34,797 USG* 600 41 ---------- 45,549 ---------- TELECOMMUNICATION SERVICES -- 0.8% Sprint Nextel 1,416,700 33,689 Telephone & Data Systems 5,800 226 ---------- 33,915 ---------- Total Common Stock (Cost $3,592,571) ($ Thousands) 4,009,598 ---------- CORPORATE OBLIGATIONS (C) -- 7.8% FINANCIALS -- 7.8% Allstate Life Global Funding II MTN (E) 3.788%, 10/16/06 $ 4,392 4,392 American General Finance (E) (F) 3.768%, 10/16/06 30,838 30,836 American General Finance MTN, Ser F 5.875%, 07/14/06 954 974 CCN Bluegrass (E) 3.859%, 08/18/06 6,206 6,206 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- CIT Group MTN (E) 3.790%, 05/12/06 $23,868 $ 23,868 3.714%, 04/19/06 2,387 2,389 Caterpillar Financial Services MTN, Ser F (E) 3.670%, 07/10/06 4,774 4,774 Countrywide Financial Services MTN, Ser A (E) 3.920%, 09/13/06 17,662 17,662 3.760%, 07/31/06 4,774 4,774 Countrywide Home Loans MTN, Ser M (E) 3.851%, 11/30/05 6,110 6,110 3.760%, 01/31/06 2,100 2,100 Dekabank (E) 3.614%, 08/19/06 17,662 17,659 Irish Life & Permanent MTN, Ser X (E) 3.812%, 09/21/06 12,698 12,695 Islandsbanki (E) (F) 3.869%, 09/22/06 8,115 8,115 Jackson National Life Funding (E) (F) 3.693%, 10/02/06 21,004 21,004 K2 LLC MTN (E) 3.809%, 12/12/05 573 573 Liberty Lighthouse US Capital MTN (E) 3.688%, 05/10/06 9,547 9,541 Morgan Stanley EXL (E) 3.710%, 10/04/06 3,342 3,342 Morgan Stanley EXL, Ser S (E) 3.670%, 10/03/06 4,774 4,773 Natexis Banques (E) 3.810%, 10/16/06 9,309 9,307 Nationwide Building Society (E) (F) 4.030%, 07/28/06 4,774 4,774 3.689%, 01/06/06 9,547 9,547 Nordbank (E) (F) 3.830%, 09/25/06 16,230 16,227 Northern Rock (E) (F) 3.690%, 10/03/06 9,834 9,834 Pacific Life Global Funding (E) (F) 3.760%, 10/13/06 7,160 7,160 Premium Asset Trust, Ser 2004-01 (E) (F) 3.800%, 02/06/06 9,929 9,937 Premium Asset Trust, Ser 2004-06 (E) (F) 3.941%, 06/30/06 9,070 9,076 Premium Asset Trust, Ser 2004-10 (E) (F) 3.778%, 10/16/06 13,366 13,366 SLM EXL, Ser S (E) 3.768%, 10/16/06 10,502 10,502 SLM MTN, Ser X (E) 3.796%, 10/20/06 19,094 19,094 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 43 STATEMENT OF NET ASSETS Large Cap Growth Fund (Concluded) September 30, 2005 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Skandinav Enskilda Bank (E) 3.779%, 10/17/06 $10,502 $ 10,501 White Pine Finance MTN, Ser 1 (E) 3.663%, 11/01/05 4,201 4,199 ---------- Total Corporate Obligations (Cost $315,311) ($ Thousands) 315,311 ---------- COMMERCIAL PAPER (C) (D) -- 2.8% FINANCIALS -- 2.8% Altius I Funding 3.864%, 10/27/05 14,321 14,269 Arlington Funding 3.857%, 10/14/05 10,456 10,437 Brahms Funding 3.861%, 10/26/05 3,819 3,808 Buckingham 3.940%, 11/14/05 1,740 1,732 Cre-8 Funding 3.908%, 11/01/05 4,774 4,752 3.902%, 10/28/05 9,547 9,518 3.862%, 10/19/05 4,774 4,759 3.762%, 10/07/05 2,864 2,855 Davis Square V Funding 3.934%, 11/02/05 19,094 19,026 3.932%, 10/28/05 955 952 Main Street Warehouse Funding 3.881%, 10/24/05 9,547 9,521 Rams Funding 3.879%, 10/18/05 10,344 10,320 3.863%, 10/27/05 10,143 10,110 3.861%, 10/19/05 4,655 4,643 3.861%, 10/20/05 3,265 3,255 Rhineland Funding 4.027%, 11/28/05 2,158 2,143 3.871%, 10/24/05 3,637 3,627 ---------- Total Commercial Paper (Cost $115,727) ($ Thousands) 115,727 ---------- ASSET-BACKED SECURITIES (C) -- 2.4% AUTOMOTIVE -- 0.3% Capital Auto Receivables Asset Trust, Ser 2005-SN1A, Cl A1 3.327%, 05/15/06 9,690 9,690 Drivetime Auto Owner Trust, Ser 2005-B, Cl A1 (E) 3.788%, 01/15/06 1,259 1,259 ---------- 10,949 ---------- - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- MORTGAGE RELATED SECURITIES -- 2.1% Blue Heron Funding, Ser 9A, Cl A1 (E) 3.860%, 02/22/06 $ 9,547 $ 9,547 CCN Independence IV (E) 3.842%, 10/17/05 5,251 5,251 3.838%, 07/17/06 3,342 3,342 Cheyne High Grade, Ser 2004-1A, Cl A1 (E) 3.780%, 11/10/05 5,490 5,490 Commodore, Ser 2003-2A, Cl A1MM (E) 3.914%, 12/12/05 4,392 4,392 Duke Funding, Ser 2004-6B, Cl A1S1 (E) 3.630%, 10/10/06 7,160 7,160 Harwood Street Funding II, Ser 2005-1A, Cl NOTE (E) 3.880%, 06/25/06 9,547 9,547 Orchid Structured Finance, Ser 2003-1A, Cl A1MM (E) 3.902%, 11/18/05 8,401 8,401 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AMM2 (E) 3.880%, 11/25/05 11,300 11,300 RMAC, Ser 2004-NS3A, Cl A1 (E) 3.728%, 09/12/06 3,124 3,124 Saturn Ventures II (E) 3.749%, 02/07/06 9,547 9,547 TIAA Real Estate, Ser 2003 1A, Cl A1 (E) 3.868%, 09/28/06 6,165 6,165 Whitehawk CDO Funding, Ser 2004-1A, Cl AMMD (E) 3.890%, 06/15/06 2,387 2,387 Whitehawk CDO Funding, Ser 2004-1A, Cl AMME (E) 3.890%, 09/15/06 1,432 1,432 ---------- 87,085 ---------- Total Asset-Backed Securities (Cost $98,034) ($ Thousands) 98,034 ---------- MASTER NOTES (C) -- 0.9% Bank of America 4.018%, 10/01/05 23,868 23,868 Bear Stearns 4.113%, 10/01/05 11,457 11,457 ---------- Total Master Notes (Cost $35,325) ($ Thousands) 35,325 ---------- - -------------------------------------------------------------------------------- 44 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- CASH EQUIVALENTS -- 0.8% First Union Cash Management Program 6,440,395 $ 6,440 SEI Daily Income Trust, Prime Obligation Fund, Cl A++ 25,561,407 25,561 ---------- Total Cash Equivalents (Cost $32,001) ($ Thousands) 32,001 ---------- U.S. TREASURY OBLIGATION (A) -- 0.0% U.S. Treasury Bills 1.033%, 11/25/05 $ 810 806 ---------- Total U.S. Treasury Obligation (Cost $805) ($ Thousands) 806 ---------- REPURCHASE AGREEMENTS (C) -- 3.0% Barclays Capital Markets 3.840%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $59,861,964 (collateralized by various U.S. Government Obligations, ranging in par value $9,936,870 - $39,763,139, 1.875% - 7.250%, 06/15/06 - 01/15/10; with total market value $61,080,402) 59,843 59,843 Deutsche Bank Securites 3.750%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $46,801,192 (collateralized by various U.S. Government Obligations, ranging in par value $105,376 - $12,602,366, 0.000% - 5.875%, 10/07/05 - 09/29/25; with total market value $47,722,371) 46,787 46,787 Lehman Brothers 3.820%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $12,892,887 (collateralized by various U.S. Government Obligations, ranging in par value $865,458 - $10,004,083, 0.000% - 3.500%, 08/15/06 - 04/15/30; with total market value $13,147,013) 12,889 12,889 ---------- Total Repurchase Agreements (Cost $119,519) ($ Thousands) 119,519 ---------- Total Investments -- 117.1% (Cost $4,309,293) ($ Thousands) 4,726,321 ---------- - ------------------------------------------------------------- Value Description ($ Thousands) - ------------------------------------------------------------- OTHER ASSETS AND LIABILITIES -- (17.1)% Payable Upon Return on Securities Loaned $ (683,916) Payable for Investment Securities Purchased (14,337) Payable for Fund Shares Redeemed (6,149) Administration Fees Payable (1,167) Investment Advisory Fees Payable (1,165) Shareholder Servicing Fees Payable (471) Administration Servicing Fees Payable (6) Other Assets and Liabilities, Net 14,926 ---------- Total Other Assets and Liabilities (692,285) ---------- Net Assets-- 100.0% $4,034,036 ========== NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $5,128,657 Undistributed net investment income 632 Accumulated net realized loss on investments and futures contracts (1,512,193) Net unrealized appreciation on investments 417,028 Net unrealized depreciation on futures contracts (88) ---------- Net Assets $4,034,036 ========== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($4,004,347,155 / 208,261,504 shares) $19.23 ====== Net Asset Value, Offering and Redemption Price Per Share -- Class I ($29,688,992 / 1,559,010 shares) $19.04 ====== Futures -- A summary of the open futures contracts held by the fund at September 30, 2005, is as follows: (see Note 2 in Notes to Financial Statements) - ------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION DEPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) - ------------------------------------------------------------- S&P 500 Composite Index 49 December 2005 $(88) * Non-income producing security. ** Narrow industries are utilized for compliance purposes, 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 September 30, 2005 (see Note 7). The total value of securities on loan at September 30, 2005 was $674,661 ($ Thousands). (C) This security was purchased with cash collateral held from securities lending (see Note 7). The total value of such securities as of September 30, 2005 was $683,916 ($ Thousands). (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate and date reported on the Statement of Net Assets is the rate and date in effect as of September 30, 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." ADR -- American Depositary Receipt CDO -- Collateralized Debt Obligation Cl -- Class EXL -- Extendable Maturity LLC -- Limited Liability Company MTN -- Medium Term Note Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 45 STATEMENT OF NET ASSETS Tax-Managed Small Cap Fund September 30, 2005 - ------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [BAR GRAPH OMITTED] 27.3% Financials 16.7% Short-Term Investments 15.1% Information Technology 10.8% Consumer Discretionary 9.1% Health Care 8.4% Industrials 3.2% Utilities 3.1% Energy 3.0% Materials 1.9% Consumer Staples 0.9% Telecommunication Services 0.4% Asset-Backed Securities 0.1% U.S. Treasury Obligations #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- COMMON STOCK -- 96.0% CONSUMER DISCRETIONARY -- 15.7% Abercrombie & Fitch, Cl A (B) 11,600 $ 578 Advance Auto Parts* 750 29 Aeropostale* 800 17 Alliance Gaming (B)* 30,900 335 American Eagle Outfitters 1,900 45 American Greetings, Cl A (B) 19,200 526 AnnTaylor Stores (B)* 17,650 469 Applebee's International 800 17 Arbitron 900 36 Arctic Cat 3,100 64 ArvinMeritor (B) 30,200 505 Autoliv (B) 17,900 779 Autonation* 13,100 262 Bandag 5,600 240 Barnes & Noble (B)* 23,000 867 Beasley Broadcasting Group, Cl A* 5,900 83 Blue Nile (B)* 600 19 Bob Evans Farms 800 18 Borders Group 18,000 399 BorgWarner (B) 25,965 1,466 Bright Horizons Family Solutions (B)* 11,400 438 Brunswick 20,000 755 Career Education* 700 25 Carmax* 1,100 34 Carter's (B)* 11,970 680 Catalina Marketing 800 18 Cato, Cl A 30,950 617 Central Garden & Pet (B)* 7,710 349 Charming Shoppes* 1,700 18 Cheesecake Factory (B)* 16,350 511 Cherokee 900 31 Circuit City Stores 1,700 29 Citadel Broadcasting* 1,600 22 CKX (B)* 7,500 94 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Claire's Stores (B) 9,000 $ 217 Coach (B)* 41,000 1,286 Coldwater Creek* 900 23 Columbia Sportswear (B)* 3,700 172 Corinthian Colleges* 10,300 137 Cost Plus* 900 16 Crown Media Holdings, Cl A* 2,000 22 Dana 1,400 13 Delphi (B) 16,700 46 Dollar Thrifty Automotive Group* 16,100 542 Dollar Tree Stores* 10,000 216 Domino's Pizza (B) 30,670 715 DSW, Cl A (B)* 14,900 316 DTS* 1,000 17 Education Management* 12,200 393 Electronics Boutique Holdings (B)* 1,400 88 Exide Technologies (B)* 26,300 134 Expedia (B)* 380 8 Family Dollar Stores 2,000 40 Finish Line, Cl A 20,500 299 Fleetwood Enterprises (B)* 14,900 183 Foot Locker 900 20 Four Seasons Hotels (B) 700 40 GameStop, Cl B* 600 17 Gaylord Entertainment* 8,000 381 Gentex (B) 10,500 183 Getty Images (B)* 6,800 585 Goodyear Tire & Rubber (B)* 27,900 435 GTECH Holdings (B) 23,700 760 Handleman (B) 15,500 196 Hartmarx* 2,400 16 Hayes Lemmerz International* 5,200 23 Hovnanian Enterprises, Cl A* 7,500 384 Insight Enterprises* 900 17 International Speedway, Cl A 500 26 ITT Educational Services* 7,500 370 Jakks Pacific (B)* 24,900 404 Jarden (B)* 40,162 1,649 Jo-Ann Stores* 16,500 285 John Wiley & Sons, Cl A 500 21 Jones Apparel Group 1,300 37 Journal Communications, Cl A 1,400 21 K2 (B)* 21,500 245 Kerzner International (B)* 8,400 467 Krispy Kreme Doughnuts* 1,900 12 La-Z-Boy (B) 11,200 148 Lamar Advertising, Cl A (B)* 1,400 64 Landry's Restaurants (B) 27,200 797 Leapfrog Enterprises (B)* 14,600 216 Lee Enterprises 2,000 85 Levitt, Cl A 7,250 166 Liberty 1,100 52 - -------------------------------------------------------------------------------- 46 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Linens `n Things* 22,500 $ 601 Lodgenet Entertainment* 800 12 Lodgian* 1,100 11 Lone Star Steakhouse & Saloon 9,200 239 Maytag (B) 1,200 22 MDC Holdings (B) 6,100 481 Meredith 1,700 85 New York* 600 10 NVR (B)* 1,600 1,416 O'Reilly Automotive* 1,600 45 OfficeMax 10,600 336 Orange 21* 32,600 157 Outdoor Channel Holdings* 1,400 21 Panera Bread, Cl A (B)* 7,600 389 PEP Boys-Manny Moe & Jack 3,500 48 PF Chang's China Bistro (B)* 4,400 197 Phillips-Van Heusen 17,470 542 Pier 1 Imports (B) 28,600 322 Polaris Industries 300 15 Polo Ralph Lauren (B) 17,900 900 Price Communications* 1,700 28 Primedia* 78,300 320 Quiksilver* 30,400 439 Radio One, Cl D* 1,400 18 RadioShack (B) 15,200 377 Rare Hospitality International* 700 18 RC2* 9,200 311 Reebok International 8,800 498 Regis (B) 1,200 45 Rent-A-Center* 4,500 87 Royal Caribbean Cruises (B) 7,900 341 Ruby Tuesday 800 17 Ryland Group (B) 19,400 1,327 Saks (B)* 11,000 204 Scholastic (B)* 7,400 274 SCP Pool 500 17 ShopKo Stores (B)* 26,000 664 Sonic (B)* 18,700 511 Sonic Automotive 12,800 284 Sotheby's Holdings, Cl A* 1,300 22 Sports Authority* 12,100 356 Stage Stores 8,800 236 Station Casinos 13,220 877 Steinway Musical Instruments* 400 11 Strayer Education 200 19 Stride Rite (B) 38,900 499 Sturm Ruger 2,100 19 Technical Olympic USA (B) 19,750 517 Thor Industries 7,000 238 Tiffany 1,300 52 Tractor Supply* 400 18 Triarc, Cl A (B) 23,800 400 Triarc, Cl B 1,200 18 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Unifi* 19,700 $ 66 United Auto Group 300 10 Universal Technical Institute* 900 32 Urban Outfitters (B)* 30,000 882 Vail Resorts* 1,400 40 Valassis Communications (B)* 7,900 308 Valuevision Media, Cl A* 1,500 17 Visteon (B) 29,900 292 Warnaco Group (B)* 24,300 532 Westwood One 1,000 20 Whirlpool (B) 8,500 644 Williams-Sonoma (B)* 17,700 679 Wynn Resorts (B)* 11,800 533 XM Satellite Radio Holdings, Cl A (B)*400 14 -------- 42,360 -------- CONSUMER STAPLES -- 2.7% BJ's Wholesale Club* 21,300 592 Boston Beer, Cl A* 800 20 Casey's General Stores 900 21 Chiquita Brands International (B) 12,380 346 Church & Dwight (B) 24,585 908 Dean Foods* 1,400 54 Energy Conversion Devices (B)* 11,520 517 Mannatech 1,200 14 Molson Coors Brewing, Cl B (B) 13,400 858 Nash Finch (B) 11,300 477 Pathmark Stores* 20,600 232 PepsiAmericas 30,100 684 Ralcorp Holdings 1,100 46 Supervalu (B) 20,900 650 TreeHouse Foods* 6,720 181 Tyson Foods, Cl A 2,400 43 United Natural Foods (B)* 37,940 1,342 Universal 6,300 245 Vector Group (B) 1,050 21 Weis Markets 500 20 -------- 7,271 -------- ENERGY -- 4.5% Amerada Hess (B) 8,600 1,183 Arch Coal 6,500 439 Atwood Oceanics* 300 25 Berry Petroleum, Cl A (B) 9,310 621 Cal Dive International* 6,500 412 CARBO Ceramics (B) 6,457 426 Comstock Resources* 8,900 292 Cooper Cameron* 4,400 325 Delta Petroleum (B)* 1,200 25 Dril-Quip* 600 29 Endeavour International (B)* 4,700 24 Energy Partners* 600 19 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 47 STATEMENT OF NET ASSETS Tax-Managed Small Cap Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ ENSCO International 6,900 $ 321 EOG Resources 800 60 FMC Technologies* 1,800 76 Forest Oil (B)* 1,700 89 FX Energy (B)* 1,700 20 Global Industries (B)* 19,900 293 Grant Prideco* 4,500 183 Grey Wolf* 2,400 20 Gulf Island Fabrication 1,900 55 Houston Exploration* 10,200 686 Hydril* 600 41 Input/Output (B)* 27,000 215 Massey Energy 500 26 Meridian Resource* 9,300 39 National Oilwell Varco (B)* 5,900 388 Oceaneering International* 500 27 Oil States International* 700 25 Parker Drilling* 2,500 23 Patterson-UTI Energy 4,900 177 Peabody Energy 4,600 388 Petroleum Development* 500 19 Plains Exploration & Production* 1,600 69 Pride International* 700 20 RPC 1,500 39 Southwestern Energy* 400 29 Stone Energy* 12,100 739 Superior Energy Services* 1,100 25 Swift Energy (B)* 23,300 1,066 Syntroleum* 5,700 83 Tesoro (B) 19,100 1,284 Tetra Technologies* 750 23 Ultra Petroleum* 5,700 324 Unit* 400 22 Universal Compression Holdings* 500 20 Vintage Petroleum 13,600 621 Whiting Petroleum* 13,800 605 W-H Energy Services* 900 29 -------- 11,989 -------- FINANCIALS -- 15.5% 1st Source 400 9 A.G. Edwards 2,700 118 Accredited Home Lenders Holding (B)* 8,800 309 Affiliated Managers Group (B)* 18,300 1,325 Agree Realty+ 1,200 34 Alexander's+* 100 27 Alexandria Real Estate Equities+ 200 17 Alfa 1,200 20 Allied Capital (B) 800 23 Allmerica Financial (B)* 13,000 535 AMB Property+ 3,900 175 Amegy Bancorp 800 18 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ American Financial Group (B) 22,200 $ 753 American National Insurance 500 60 AmeriCredit* 14,600 349 AmerUs Group (B) 10,400 597 AMLI Residential Properties Trust+ 600 19 Annaly Mortgage Management+ (B) 9,900 128 Apartment Investment & Management, Cl A+ 300 12 Arbor Realty Trust+ 400 11 Arden Realty+ 500 21 Arrow Financial 618 17 Arthur J Gallagher 2,300 66 Ashford Hospitality Trust+ 1,600 17 Aspen Insurance Holdings 12,300 363 Astoria Financial 24,300 642 Bancorpsouth (B) 23,200 530 Bank Mutual 1,700 18 Bank of Hawaii (B) 6,300 310 Bear Stearns 7,000 768 Bedford Property Investors+ 3,900 93 BioMed Realty Trust+ 800 20 BRE Properties, Cl A+ 400 18 Brookline Bancorp 1,200 19 Calamos Asset Management, Cl A 9,800 242 Capital Automotive+ 600 23 Capital Trust, Cl A+ 500 16 CapitalSource (B)* 20,800 453 Capitol Federal Financial 300 10 CarrAmerica Realty+ 3,300 119 Cathay General Bancorp 500 18 Centerpoint Properties Trust+ 900 40 Central Pacific Financial 8,700 306 Charter Financial 500 17 Chemical Financial 900 29 CIT Group (B) 14,500 655 City National (B) 12,900 904 Clifton Savings Bancorp 9,700 100 Colonial BancGroup 34,200 766 Colonial Properties Trust+ 400 18 Colony Bankcorp 800 22 Commerce Bancorp (B) 800 25 Commerce Bancshares (B) 13,137 676 Community Banks 700 20 CompuCredit (B)* 16,095 715 Corporate Office Properties Trust+ 700 24 Correctional Properties Trust+ 1,300 38 Cousins Properties+ 4,100 124 Covanta Holding (B)* 1,400 19 Crescent Real Estate Equities+ 1,000 21 Delphi Financial Group, Cl A 400 19 DiamondRock Hospitality+ 1,600 19 Direct General 3,800 75 Doral Financial 3,500 46 - -------------------------------------------------------------------------------- 48 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Downey Financial (B) 8,200 $ 499 Duke Realty+ 600 20 E*Trade Financial* 85,900 1,512 East West Bancorp 9,500 323 EastGroup Properties+ 400 18 Entertainment Properties Trust+ 600 27 Equity Lifestyle Properties+ 400 18 Equity One+ 1,400 33 Euronet Worldwide (B)* 22,955 679 Extra Space Storage+ (B) 1,200 18 Federal Agricultural Mortgage, Cl C (B) 17,000 414 Federal Realty Investment Trust+ 300 18 Financial Institutions 2,200 41 First American (B) 23,100 1,055 First Busey 900 18 First Commonwealth Financial 1,400 19 First Financial Bancorp 600 11 First Industrial Realty Trust+ 900 36 First Marblehead 1,300 33 First Midwest Bancorp 800 30 First Niagara Financial Group 21,500 310 First Potomac Realty Trust+ 800 21 FirstMerit 700 19 FNB 400 11 Friedman Billings Ramsey Group, Cl A+ (B) 30,300 309 Fulton Financial 9,000 151 Gables Residential Trust+ 400 17 Getty Realty+ 2,300 66 Glacier Bancorp 300 9 Glenborough Realty Trust+ 1,500 29 Global Signal+ 200 9 Gold Banc 31,300 466 Government Properties Trust+ 5,600 55 Hancock Holding 500 17 Harleysville Group 400 10 Health Care Property Investors+ 2,600 70 Health Care + 1,100 41 Healthcare Realty Trust+ 3,300 132 Heritage Property Investment Trust+ 1,000 35 Hersha Hospitality Trust+ 2,800 28 Hibernia, Cl A 28,600 859 Highland Hospitality+ 1,800 18 Highwoods Properties+ 600 18 HomeBanc+ 2,300 18 Hospitality Properties Trust+ 400 17 Host Marriott+ (B) 23,000 389 Hudson City Bancorp (B) 21,000 250 Huntington Bancshares (B) 33,000 742 Huron Consulting Group 5,500 148 IndyMac Bancorp 2,600 103 Instinet Group* 18,200 90 International Bancshares 4,100 122 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Investors Financial Services (B) 4,300 $ 141 Irwin Financial (B) 3,600 73 Janus Capital Group 1,300 19 JER Investors Trust+ 6,400 116 Kilroy Realty+ 400 22 Knight Capital Group, Cl A* 2,300 19 Lakeland Bancorp 1,155 18 LandAmerica Financial Group (B) 13,800 892 LaSalle Hotel Properties+ 700 24 Lazard, Cl A (B) 31,300 792 Leucadia National 500 22 Luminent Mortgage Capital+ 3,800 29 Macerich+ 200 13 Maguire Properties+ 600 18 Max Re Capital 25,000 620 Mid-America Apartment Communities+ 1,300 60 Nara Bancorp 900 13 Nasdaq Stock Market (B)* 17,405 441 National Financial Partners 8,900 402 National Health Realty+ 3,500 68 Nationwide Health Properties+ 1,800 42 NBC Capital 700 18 New Century Financial+ 500 18 New Plan Excel Realty Trust+ 400 9 Newcastle Investment+ 900 25 NorthStar Realty Finance+ 10,300 97 Northwest Bancorp 1,100 23 Nuveen Investments, Cl A (B) 18,900 744 OceanFirst Financial 800 19 Old National Bancorp 1,300 28 Old Republic International 25,500 680 Omega Healthcare Investors+ 1,400 19 optionsXpress Holdings 1,200 23 Origen Financial+ 2,300 17 Park National 200 22 PartnerRe 8,100 519 Placer Sierra Bancshares 2,400 66 Popular (B) 26,900 652 Post Properties+ 600 22 Prentiss Properties Trust+ 700 28 ProAssurance (B)* 19,785 923 Prologis+ 895 40 Providian Financial (B)* 49,000 866 PS Business Parks+ 1,400 64 QC Holdings 1,200 16 Radian Group (B) 17,400 924 RAIT Investment Trust+ 500 14 Ramco-Gershenson Properties+ 600 18 Rayonier+ 8,400 484 Realty Income+ 2,000 48 Refco (B)* 8,400 237 S&T Bancorp 800 30 Seacoast Banking of Florida 900 21 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 49 STATEMENT OF NET ASSETS Tax-Managed Small Cap Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Senior Housing Properties Trust+ 1,900 $ 36 Shurgard Storage Centers, Cl A+ 1,200 67 South Financial Group 400 11 Sovereign Bancorp (B) 51,500 1,135 Sovran Self Storage+ 500 24 Spirit Finance+ 900 10 Stancorp Financial Group 4,400 370 Sterling Financial, Washington Shares* 17,700 399 Stewart Information Services 10,500 538 Strategic Hotel Capital+ 1,000 18 Sunstone Hotel Investors+ (B) 12,300 300 SVB Financial Group (B)* 16,400 798 Tanger Factory Outlet Centers+ 600 17 TD Banknorth (B) 5,495 166 Texas Regional Bancshares, Cl A 300 9 Toronto-Dominion Bank (B) 1,294 64 Town & Country Trust+ 1,000 29 Triad Guaranty* 300 12 Trizec Properties+ 400 9 Trustco Bank 3,800 48 Trustmark 700 19 Trustreet Properties+ 14,400 225 UCBH Holdings 1,000 18 UnionBanCal 14,300 997 United Bankshares 13,100 458 United Community Banks 700 20 United Dominion Realty Trust+ 700 17 Universal American Financial* 25,800 587 Universal Health Realty Income Trust+ 300 10 UnumProvident (B) 56,200 1,152 U-Store-It Trust+ 23,100 468 Valley National Bancorp 4,400 101 Value Line 500 20 Ventas+ 1,400 45 Virginia Financial Group 500 18 W Holding 8,000 76 Waddell & Reed Financial, Cl A 1,000 19 Washington Federal 1,800 41 Webster Financial 3,200 144 Weingarten Realty Investors+ 500 19 Westfield Financial 800 19 Whitney Holding 1,200 32 Wilmington Trust 1,900 69 Wilshire Bancorp 700 11 Wintrust Financial 5,000 251 -------- 41,855 -------- HEALTH CARE -- 13.2% Abaxis* 1,600 21 Abgenix (B)* 45,100 572 Accelrys* 28,800 195 Advanced Neuromodulation Systems* 400 19 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Align Technology* 3,800 $ 26 Alkermes* 1,300 22 Alpharma, Cl A 23,100 574 American Healthways (B)* 19,385 822 American Medical Systems Holdings (B)* 6,000 121 American Pharmaceutical Partners (B)* 8,400 384 AMERIGROUP* 18,000 344 Amsurg* 700 19 Amylin Pharmaceuticals (B)* 19,700 685 Animas (B)* 24,500 385 Applera--Applied Biosystems Group 29,700 690 Applera--Celera Genomics Group (B)* 34,600 420 Apria Healthcare Group* 600 19 Arrow International 600 17 AVANIR Pharmaceuticals, Cl A* 3,800 12 Barr Pharmaceuticals* 18,100 994 Bausch & Lomb 6,200 500 Beckman Coulter 5,300 286 Bentley Pharmaceuticals (B)* 2,500 30 Bruker BioSciences* 4,400 19 Cambrex (B) 14,800 281 Cephalon (B)* 42,800 1,987 Cerner (B)* 200 17 Chemed 11,580 502 Community Health Systems (B)* 14,600 567 Connetics* 1,000 17 Cooper 8,100 621 Covance* 500 24 Cubist Pharmaceuticals (B)* 64,220 1,383 CV Therapeutics (B)* 31,000 829 Cytyc* 1,500 40 Dade Behring Holdings 9,200 337 Dendreon (B)* 54,500 366 Dendrite International* 1,300 26 Dentsply International 5,500 297 Depomed (B)* 43,500 282 Diagnostic Products 400 21 Dionex* 500 27 Diversa* 10,400 60 DJ Orthopedics* 20,400 590 Edwards Lifesciences* 3,400 151 Encysive Pharmaceuticals (B)* 32,200 379 Endo Pharmaceuticals Holdings* 25,200 672 Enzon Pharmaceuticals* 2,600 17 EPIX Pharmaceuticals* 1,300 10 Express Scripts (B)* 9,800 610 Eyetech Pharmaceuticals (B)* 2,600 47 First Horizon Pharmaceutical (B)* 30,100 598 Fisher Scientific International (B)* 9,000 558 Flamel Technologies ADR (B)* 11,200 209 - -------------------------------------------------------------------------------- 50 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Foxhollow Technologies (B)* 13,615 $ 648 Gen-Probe* 700 35 Health Net (B)* 12,000 568 Henry Schein* 300 13 Hillenbrand Industries 600 28 Human Genome Sciences (B)* 1,400 19 Humana* 3,800 182 ICOS* 800 22 Idexx Laboratories* 500 33 Immucor (B)* 21,950 602 Inamed* 300 23 Inspire Pharmaceuticals* 1,400 11 Integra LifeSciences Holdings* 600 23 Intermagnetics General (B)* 13,973 390 Intuitive Surgical* 500 37 Invacare 800 33 Invitrogen (B)* 8,500 639 Isis Pharmaceuticals* 1,900 10 King Pharmaceuticals* 22,600 348 Kyphon* 500 22 LifePoint Hospitals* 400 17 Ligand Pharmaceuticals, Cl B (B)* 44,000 446 Lincare Holdings* 800 33 Magellan Health Services (B)* 9,200 323 Manor Care 8,700 334 Medarex (B)* 3,000 29 Medco Health Solutions* 196 11 Mentor 400 22 Mettler Toledo International* 400 20 MGI Pharma (B)* 21,400 499 Micro Therapeutics* 4,400 25 Micrus Endovascular* 2,200 22 Millennium Pharmaceuticals* 3,700 34 Millipore* 3,400 214 Molina Healthcare* 700 17 Momenta Pharmaceuticals* 500 14 Myriad Genetics (B)* 17,500 383 Nastech Pharmaceutical (B)* 24,500 346 Neurocrine Biosciences (B)* 3,700 182 Neurogen* 3,900 27 NPS Pharmaceuticals* 4,100 41 Nu Skin Enterprises, Cl A 2,000 38 Nuvelo* 2,300 22 OccuLogix* 2,100 13 Odyssey HealthCare* 1,800 31 Omnicare 900 51 Onyx Pharmaceuticals* 500 12 Owens & Minor 700 21 Par Pharmaceutical* 800 21 Parexel International (B)* 13,700 275 PerkinElmer 20,100 409 Perrigo 1,300 19 Pharmaceutical Product Development* 400 23 Pharmacopeia Drug Discovery (B)* 15,850 57 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Pharmion (B)* 1,500 $ 33 PRA International* 6,100 185 Priority Healthcare, Cl B* 700 19 Protein Design Labs (B)* 41,085 1,150 PSS World Medical* 1,400 19 Psychiatric Solutions (B)* 14,300 775 Renal Care Group* 500 24 Resmed* 300 24 Respironics* 700 30 Rigel Pharmaceuticals* 15,000 357 Salix Pharmaceuticals* 900 19 SFBC International (B)* 16,065 713 Stereotaxis* 1,900 14 SurModics (B)* 9,990 386 Sybron Dental Specialties (B)* 29,066 1,209 Syneron Medical (B)* 2,600 95 Tanox (B)* 1,400 20 Telik (B)* 22,200 363 Thermo Electron* 800 25 Thermogenesis* 3,800 20 Thoratec* 1,100 20 Triad Hospitals (B)* 14,600 661 Trimeris (B)* 23,900 367 United Surgical Partners International (B)* 21,145 827 Universal Health Services, Cl B (B) 18,300 872 Valeant Pharmaceuticals International 1,500 30 Varian Medical Systems (B)* 12,600 498 VCA Antech* 800 20 Vertex Pharmaceuticals* 1,100 25 Watson Pharmaceuticals* 12,300 450 Wright Medical Group* 1,000 25 -------- 35,693 -------- INDUSTRIALS -- 12.2% Aaon* 1,000 18 Actuant, Cl A* 5,500 257 Adesa (B) 14,500 320 Advisory Board* 400 21 Airtran Holdings* 1,800 23 Alaska Air Group (B)* 13,800 401 Albany International, Cl A 17,600 649 Alexander & Baldwin 400 21 Alliant Techsystems* 2,100 157 Allied Waste Industries (B)* 2,300 19 Ametek 500 21 Angelica 700 13 Applied Signal Technology 1,500 29 Armor Holdings* 400 17 Banta (B) 29,900 1,522 BearingPoint (B)* 53,200 404 Briggs & Stratton (B) 22,600 782 Brink's (B) 33,000 1,355 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 51 STATEMENT OF NET ASSETS Tax-Managed Small Cap Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ C&D Technologies 4,200 $ 40 Calgon Carbon (B) 12,400 98 Casella Waste Systems, Cl A* 1,500 20 ChoicePoint* 1,000 43 CNH Global (B) 21,000 414 Compx International 3,800 62 Corporate Executive Board (B) 1,900 148 CoStar Group* 400 19 Covenant Transport, Cl A* 1,500 18 Crane 700 21 Cummins (B) 15,000 1,320 Deluxe 1,400 56 Donaldson 600 18 Dun & Bradstreet* 500 33 EGL* 900 24 Engineered Support Systems (B) 900 37 Equifax 700 24 ESCO Technologies* 10,210 511 ExpressJet Holdings* 2,000 18 Fastenal 600 37 Flowserve (B)* 8,500 309 Forrester Research* 900 19 Forward Air 1,200 44 Franklin Electric 700 29 Gardner Denver* 3,000 134 GATX (B) 21,000 831 General Maritime (B) 700 26 Goodrich 18,900 838 Gorman-Rupp 800 19 Graco 500 17 GrafTech International* 3,300 18 Granite Construction 6,900 264 Greenfield Online* 5,300 29 Grupo TMM, Cl A ADR* 31,900 131 Gulfmark Offshore (B)* 700 23 Harsco 12,500 820 Herman Miller 24,900 754 Hexcel* 23,100 423 Hubbell, Cl B 600 28 Interactive Data 900 20 Iron Mountain* 800 29 JB Hunt Transport Services 17,400 331 John H. Harland 2,300 102 Joy Global (B) 18,522 935 Kansas City Southern (B)* 18,000 420 Kelly Services, Cl A 600 18 Kirby* 400 20 Labor Ready (B)* 17,065 438 Laidlaw International (B)* 43,500 1,051 Landstar System* 3,300 132 Lennox International 20,200 554 Lincoln Electric Holdings 500 20 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Manitowoc (B) 9,500 $ 477 Manpower 6,500 289 Maritrans 1,200 38 Mcgrath Rentcorp 1,200 34 Milacron (B)* 42,460 76 Monster Worldwide (B)* 17,500 537 Moog, Cl A (B)* 12,030 355 MSC Industrial Direct, Cl A (B) 14,500 481 Mueller Industries 24,300 675 Navistar International (B)* 21,300 691 Nordson 800 30 NS Group* 15,100 593 Odyssey Marine Exploration (B)* 2,700 10 Old Dominion Freight Line* 700 23 Orbital Sciences (B)* 21,800 273 Oshkosh Truck (B) 8,600 371 Pacer International* 800 21 Pall (B) 31,400 864 Pentair 800 29 PHH* 1,200 33 Quanta Services (B)* 9,800 125 Regal-Beloit 10,800 350 Resources Connection (B)* 23,400 693 Robert Half International 8,300 295 RR Donnelley & Sons (B) 4,300 159 Ryder System (B) 34,700 1,187 Sauer-Danfoss 900 18 School Specialty* 400 20 Service International 3,400 28 ServiceMaster 3,200 43 Skywest 1,000 27 SPX 5,300 244 Standard Register 1,000 15 Stericycle* 500 29 Tecumseh Products, Cl A (B) 14,200 306 Teledyne Technologies (B)* 8,600 296 Tennant 500 21 Tetra Tech* 1,300 22 Thomas & Betts (B)* 9,600 330 Timken 8,700 258 Toro 1,400 51 TurboChef Technologies (B)* 15,800 246 United Rentals (B)* 25,500 503 Universal Display (B)* 1,500 17 Universal Forest Products (B) 15,600 894 UNOVA* 700 24 UTI Worldwide (B) 7,200 559 Vicor 1,400 21 Wabash National 900 18 Wabtec (B) 3,400 93 Walter Industries (B) 19,100 934 Washington Group International (B)* 14,000 754 - -------------------------------------------------------------------------------- 52 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Waste Industries USA 1,800 $ 24 Watson Wyatt Holdings 1,000 27 Woodward Governor 200 17 York International (B) 10,300 578 -------- 32,942 -------- INFORMATION TECHNOLOGY -- 22.0% 3Com* 31,900 130 Actel* 2,000 29 Activision* 1,600 33 ADC Telecommunications* 1,500 34 Adtran (B) 2,700 85 Advanced Digital Information* 2,300 22 Aeroflex* 2,100 20 Agere Systems* 25,350 264 Akamai Technologies (B)* 28,900 461 Alliance Data Systems* 700 27 Alliance Semiconductor (B)* 20,600 61 Altera* 51,600 986 American Superconductor* 2,100 22 American Tower, Cl A* 5,315 133 AMIS Holdings* 33,600 398 Ansys (B)* 11,575 445 Anteon International* 4,900 210 Applied Micro Circuits* 14,500 43 aQuantive (B)* 32,500 654 Arris Group (B)* 98,200 1,165 Arrow Electronics* 1,000 31 Asyst Technologies* 3,800 18 Atheros Communications* 2,200 21 ATI Technologies* 16,800 234 ATMI* 600 19 Autobytel* 4,000 20 Autodesk (B) 1,000 46 Avaya* 122,900 1,266 Avid Technology* 6,900 286 Avnet* 1,100 27 Avocent* 30,400 962 AVX 4,600 59 Axcelis Technologies* 23,000 120 BEA Systems* 3,400 31 BEI Technologies (B) 600 21 Bel Fuse, Cl B 600 22 Black Box 6,200 260 BMC Software* 30,400 641 Brocade Communications Systems* 4,600 19 Brooks Automation (B)* 57,700 769 Cabot Microelectronics (B)* 1,000 29 Cadence Design Systems (B)* 25,000 404 Celestica* 13,000 147 Ceridian* 17,000 353 Certegy 1,400 56 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Check Point Software Technologies (B)* 18,600 $ 452 Checkfree (B)* 23,300 881 Citrix Systems (B)* 19,200 483 CNET Networks (B)* 20,600 280 Cognex 900 27 Cognizant Technology Solutions, Cl A (B)* 19,850 925 Coherent* 400 12 Cohu 900 21 CommScope* 1,000 17 Compuware* 4,600 44 Convergys* 22,500 323 Cree (B)* 29,000 726 Crown Castle International* 2,700 66 CSG Systems International (B)* 24,400 530 Cymer (B)* 10,000 313 Cypress Semiconductor* 15,500 233 C-COR (B)* 56,400 381 Digital Insight (B)* 16,375 427 Digital River* 500 17 Digitas* 22,000 250 Ditech Communications* 3,800 26 DST Systems* 5,700 313 Dycom Industries* 16,700 338 Earthlink (B)* 73,400 785 Echelon* 2,600 24 Electro Scientific Industries* 1,000 22 Electronics for Imaging* 22,000 505 Emulex* 800 16 Entegris* 2,000 23 Equinix* 500 21 eResearch Technology (B)* 17,500 248 Extreme Networks* 4,200 19 F5 Networks (B)* 11,200 487 Fairchild Semiconductor International (B)* 33,400 496 FARO Technologies (B)* 28,400 553 FEI (B)* 29,500 568 Filenet* 700 20 Flir Systems* 11,200 331 Formfactor* 11,500 262 Foundry Networks (B)* 21,000 267 Gartner* 2,600 30 Global Payments (B) 4,600 357 GSI Commerce* 14,200 283 Harris 800 33 Homestore* 4,800 21 Hyperion Solutions* 8,500 414 IDX Systems* 11,100 479 Imation 500 21 InFocus (B)* 23,200 80 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 53 STATEMENT OF NET ASSETS Tax-Managed Small Cap Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Informatica (B)* 36,000 $ 433 Infospace* 19,000 454 Ingram Micro, Cl A* 1,200 22 Integrated Device Technology (B)* 18,300 197 Interdigital Communications* 1,000 20 International Rectifier* 400 18 Intersil, Cl A 45,000 980 Intervideo* 2,200 22 Ipass* 19,200 103 iPayment* 500 19 Jack Henry & Associates 25,800 500 Kemet* 2,900 24 Keynote Systems* 25,300 328 KFX (B)* 1,200 21 Kopin* 3,100 22 Kronos* 400 18 Lam Research (B)* 10,900 332 Landauer 300 15 Lattice Semiconductor (B)* 195,000 835 Lawson Software (B)* 3,400 24 LSI Logic (B)* 99,100 976 Macromedia* 700 28 Manhattan Associates (B)* 27,700 643 MAXIMUS 500 18 Maxtor (B)* 268,900 1,183 MEMC Electronic Materials* 1,700 39 Mercury Interactive (B)* 13,300 527 Methode Electronics 33,500 386 Micrel* 37,800 424 Micros Systems (B)* 17,785 778 Microsemi* 42,255 1,079 MoneyGram International 1,000 22 Motive* 5,500 35 MPS Group* 1,700 20 Multi-Fineline Electronix* 14,095 413 National Instruments 1,300 32 NAVTEQ* 1,000 50 Netease.com ADR (B)* 5,205 468 NetFlix (B)* 1,100 29 Netratings* 1,200 18 Newport* 1,300 18 NIC* 3,700 24 North Pittsburgh Systems 1,200 24 Novatel Wireless (B)* 20,000 289 Novell* 4,200 31 Novellus Systems* 21,600 542 O2Micro International* 31,700 499 Omnivision Technologies (B)* 200 3 ON Semiconductor* 4,000 21 Openwave Systems (B)* 25,200 453 Palm (B)* 600 17 Parametric Technology* 65,800 459 Pericom Semiconductor* 2,100 19 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Perot Systems, Cl A* 38,400 $ 543 Pixelworks (B)* 98,100 646 Plantronics 23,300 718 Plexus* 1,200 20 Polycom* 104,800 1,695 Power Integrations* 800 17 Powerwave Technologies (B)* 48,960 636 Progress Software* 600 19 ProQuest* 6,900 250 QLogic* 900 31 Quantum (B)* 103,200 319 Quest Software* 1,300 20 RADWARE* 7,800 149 RealNetworks (B)* 3,700 21 Red Hat (B)* 41,300 875 Redback Networks (B)* 4,900 49 Renaissance Learning 5,000 89 Reynolds & Reynolds, Cl A 10,900 299 RF Micro Devices (B)* 112,000 633 RSA Security (B)* 23,000 292 S1* 3,900 15 Sabre Holdings, Cl A 15,700 318 SafeNet (B)* 14,000 508 Salesforce.com (B)* 46,895 1,084 Satyam Computer Services ADR (B) 21,800 659 SBA Communications, Cl A* 28,530 441 Scientific Games, Cl A* 700 22 Seachange International* 8,500 54 Sigmatel* 1,100 22 Silicon Laboratories* 700 21 Sirf Technology Holdings* 26,090 786 Solectron* 143,800 562 Sonic Solutions* 18,200 391 Sonus Networks* 3,900 23 SRA International, Cl A* 1,700 60 Startek 5,200 69 Supertex* 900 27 Sybase (B)* 13,200 309 Sycamore Networks* 11,300 43 Symbol Technologies 3,500 34 Synopsys* 9,900 187 Syntel 2,100 41 Tech Data* 1,900 70 Technitrol 1,200 18 Tejon Ranch* 200 9 Tekelec* 18,100 379 Tektronix 800 20 Tellabs* 5,700 60 Teradyne (B)* 72,500 1,196 THQ (B)* 34,000 725 TIBCO Software (B)* 150,800 1,261 Transaction Systems Architects* 700 19 Trident Microsystems (B)* 12,560 400 - -------------------------------------------------------------------------------- 54 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Trimble Navigation* 800 $ 27 Unica* 32,500 357 Unisys (B)* 54,100 359 United Online 28,100 389 Utstarcom (B)* 17,200 141 Valueclick* 1,400 24 Varian Semiconductor Equipment Associates* 500 21 Veeco Instruments* 6,800 109 Viasat* 900 23 Vishay Intertechnology* 2,000 24 WatchGuard Technologies (B)* 21,500 92 Wavecom ADR* 11,000 169 WebMD* 4,000 44 Websense* 400 20 Western Digital* 110,000 1,422 X-Rite 1,600 20 Zebra Technologies, Cl A* 1,600 63 Zoran (B)* 19,600 280 -------- 59,225 -------- MATERIALS -- 4.3% Airgas 9,800 290 Albemarle (B) 17,200 648 Allegheny Technologies (B) 15,000 465 Aptargroup (B) 8,500 423 Bowater 11,100 314 Carpenter Technology 900 53 Coeur d'Alene Mines (B)* 5,200 22 Commercial Metals 700 24 Consol Energy 800 61 Constar International* 16,800 34 Crown Holdings (B)* 34,900 556 Cytec Industries (B) 17,400 755 Deltic Timber 500 23 Earle M Jorgensen* 1,000 10 Eastman Chemical 8,500 399 Engelhard 600 17 FMC (B)* 16,400 938 Foundation Coal Holdings (B) 16,700 642 Glatfelter 1,500 21 Headwaters* 2,700 101 Hercules (B)* 32,000 391 International Flavors & Fragrances 500 18 Jacuzzi Brands (B)* 49,300 397 James River Coal* 400 20 Lafarge North America 6,200 419 Louisiana-Pacific 12,000 332 Lubrizol 14,300 620 Metal Management 700 18 Mosaic (B)* 19,500 312 NL Industries 2,000 38 OM Group* 1,200 24 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Owens-Illinois* 18,500 $ 382 Packaging of America 900 17 Potlatch 400 21 Quanex 12,750 844 Rinker Group ADR (B) 1,200 76 Royal Gold (B) 900 24 Schnitzer Steel Industries, Cl A 3,000 98 Schweitzer-Mauduit International 900 20 Sealed Air* 600 29 Sensient Technologies 1,100 21 Sigma-Aldrich 2,900 186 Silgan Holdings 800 27 Smurfit-Stone Container* 15,000 155 Stillwater Mining 4,800 44 Terra Industries (B)* 11,800 78 United States Steel (B) 11,800 500 USG (B)* 6,800 467 Valhi 1,400 25 Wausau Paper 2,800 35 Wellman 22,700 144 -------- 11,578 -------- TELECOMMUNICATION SERVICES -- 1.3% Alamosa Holdings (B)* 36,720 628 Alltel 431 28 Amdocs* 32,700 907 Broadwing (B)* 4,200 21 CenturyTel 19,200 671 Cincinnati Bell* 6,500 29 CT Communications 2,000 25 General Communication, Cl A* 1,800 18 Golden Telecom (B) 600 19 Nextel Partners, Cl A* 22,200 557 NII Holdings* 400 34 SureWest Communications 900 26 Telephone & Data Systems 1,000 39 Ubiquitel* 38,800 339 Valor Communications Group 2,100 28 -------- 3,369 -------- UTILITIES -- 4.6% AGL Resources 9,400 349 Allegheny Energy (B)* 1,200 37 Allete (B) 6,900 316 Avista (B) 26,200 508 Black Hills 6,600 286 California Water Service Group 2,800 115 Cascade Natural Gas 4,900 107 Centerpoint Energy (B) 25,300 376 CH Energy Group 300 14 CMS Energy (B)* 61,100 1,005 Constellation Energy Group 7,700 474 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 55 STATEMENT OF NET ASSETS Tax-Managed Small Cap Fund (Concluded) September 30, 2005 - ------------------------------------------------------------ Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ DPL 8,700 $ 242 Duquesne Light Holdings 2,300 40 Dynegy, Cl A* 4,200 20 El Paso Electric* 2,000 42 Energen (B) 18,000 779 EnergySouth 800 22 Equitable Resources 400 16 ITC Holdings (B) 12,000 348 MDU Resources Group (B) 27,450 979 MGE Energy 800 29 Middlesex Water 1,600 36 Nicor 7,200 303 Northeast Utilities (B) 28,300 565 NorthWestern (B) 17,400 525 Ormat Technologies 500 11 Otter Tail 300 9 Pepco Holdings 500 12 Pinnacle West Capital 14,800 652 Plug Power (B)* 3,000 20 PNM Resources 20,100 576 PPL (B) 18,200 588 Puget Energy 15,700 369 Reliant Energy* 8,300 128 Sempra Energy (B) 20,400 960 Southwest Water 1,500 22 TECO Energy 900 16 UGI 34,500 971 Vectren 700 20 Wisconsin Energy 15,300 611 -------- 12,498 -------- Total Common Stock (Cost $206,623) ($ Thousands) 258,780 -------- Number of Warrants --------- WARRANTS -- 0.0% Washington Mutual* (D) 100,700 16 -------- Total Warrants (Cost $25) ($ Thousands) 16 -------- Number of Rights ---------- RIGHTS -- 0.0% Bank United* (E)(F) 7,000 -- -------- Total Rights (Cost $2) ($ Thousands) -- -------- CORPORATE OBLIGATIONS (C) (H) -- 5.6% FINANCIALS -- 5.6% Harrier Finance Funding 3.890%, 04/27/06 $3,000 3,000 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ K2 MTN 3.890%, 05/10/06 $3,000 $ 3,000 Links Finance MTN 3.890%, 04/28/06 3,000 3,000 Theta 3.900%, 05/05/06 3,000 3,000 Whistlejacket Capital Funding 3.900%, 05/15/06 3,000 3,000 -------- Total Corporate Obligations (Cost $15,000) ($ Thousands) 15,000 -------- COMMERCIAL PAPER (C) (G) -- 18.5% FINANCIALS -- 18.5% Ajax Bambino Funding 3.680%, 10/04/05 5,000 4,999 Barton Capital 3.860%, 10/03/05 5,000 4,999 Bavaria TRR 3.700%, 10/06/05 5,000 4,997 Clipper Receivables 3.750%, 10/03/05 4,500 4,499 Freedom Park Capital 3.690%, 10/06/05 5,000 4,997 Harwood 3.820%, 10/13/05 4,500 4,494 McKinley Funding 3.820%, 10/25/05 2,508 2,502 Mica Funding 3.770%, 10/04/05 4,500 4,499 Mitten 3.800%, 10/04/05 4,500 4,499 Park Grenada 3.830%, 10/03/05 5,000 4,999 Ranger 3.750%, 10/26/05 4,500 4,488 -------- Total Commercial Paper (Cost $49,972) ($ Thousands) 49,972 -------- ASSET-BACKED SECURITY (C) (H) -- 0.7% MORTGAGE RELATED SECURITY -- 0.7% Park Place Securities NIM Trust, Ser 2004-MM1, Cl AM2 3.880%, 11/25/05 1,775 1,775 -------- Total Asset-Backed Security (Cost $1,775) ($ Thousands) 1,775 -------- - -------------------------------------------------------------------------------- 56 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ CASH EQUIVALENTS -- 4.9% Barclays Global Investors Funds, Prime Money Market Fund (C) 2,070,885 $ 2,071 SEI Daily Income Trust, Prime Obligation Fund, Cl A++ 11,054,377 11,054 The Reserve Funds, Primary Fund, Cl 8 (C) 27,700 28 -------- Total Cash Equivalents (Cost $13,153) ($ Thousands) 13,153 -------- U.S. TREASURY OBLIGATION (A) -- 0.1% U.S. Treasury Bills 3.456%, 11/25/05 $ 244 243 -------- Total U.S. Treasury Obligation (Cost $243) ($ Thousands) 243 -------- REPURCHASE AGREEMENTS (C) -- 19.3% Bank of America 3.850%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $18,005,775 (collateralized by various U.S. Government Obligations, ranging in par value $6,403,992 - $12,589,567, 5.000%, 03/01/35 - 08/01/35; with total market value $18,360,000) 18,000 18,000 Barclays Capital Markets 3.810%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $20,006,350 (collateralized by a U.S. Government Obligation, par value $20,781,000, 0.000%, 03/13/06; with total market value $20,400,708) 20,000 20,000 Deutsche Bank Securites 3.750%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $14,004,375 (collateralized by a U.S. Government Obligation, par value $13,689,000, 5.125%, 07/15/12; with total market value $14,280,051) 14,000 14,000 -------- Total Repurchase Agreements (Cost $52,000) ($ Thousands) 52,000 -------- Total Investments -- 145.1% (Cost $338,793) ($ Thousands) 390,939 -------- - ------------------------------------------------------------- Value Description ($ Thousands) - ------------------------------------------------------------- OTHER ASSETS AND LIABILITIES -- (45.1)% Payable upon return on securities loaned $(120,846) Payable for Investment Securities Purchased (1,581) Payable for Fund Shares Redeemed (800) Investment Advisory Fees Payable (113) Administration Fees Payable (77) Shareholder Servicing Fees Payable (48) Other Assets and Liabilities, Net 2,045 -------- Total Other Assets and Liabilities (121,420) -------- Net Assets-- 100.0% $269,519 ======== NET ASSETS: Paid-in-Capital (unlimited authorization-- no par value) $204,733 Accumulated net realized gain on investments and futures contracts 12,638 Net unrealized appreciation on investments 52,146 Net unrealized appreciation on futures contracts 2 -------- Net Assets $269,519 ======== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($269,518,502 / 20,533,232 shares) $13.13 ====== Futures -- A summary of the open futures contracts held by the fund at September 30, 2005, is as follows: (see Note 2 in Notes to Financial Statements) - ------------------------------------------------------------- UNREALIZED APPRECIATION TYPE OF NUMBER OF EXPIRATION (DEPRECIATION) CONTRACT CONTRACTS DATE ($ THOUSANDS) - ------------------------------------------------------------- Russell 2000 Index MINI 45 December 2005 $(9) S&P 400 Index E-MINI 36 December 2005 11 --- $ 2 --- * 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 September 30, 2005 (see Note 7). The total value of securities on loan at September 30, 2005 was $119,268 ($ Thousands). (C) This security was purchased with cash collateral held from securities lending (see Note 7). The total value of such securities as of September 30, 2005 was $120,846 ($ 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 September 30, 2005 was $0 and represented 0.00% of Net Assets. (G) The rate reported is the effective yield at time of purchase. (H) Variable Rate Security -- The rate and date reported on the Statement of Net Assets is the rate and date in effect as of September 30, 2005. ADR -- American Depositary Receipt Cl -- Class MTN -- Medium Term Note Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 57 STATEMENT OF NET ASSETS Small Cap Value Fund September 30, 2005 - ------------------------------------------------------------ SECTOR WEIGHTINGS# (UNAUDITED): [BAR GRAPH OMITTED] 31.3% Financials 13.6% Industrials 13.4% Consumer Discretionary 11.3% Information Technology 6.4% Short-Term Investments 5.2% Energy 4.9% Materials 4.6% Health Care 3.1% Utilities 2.6% Asset-Backed Securities 2.6% Consumer Staples 0.5% Exchange Traded Fund 0.4% Telecommunication Services 0.1% U.S. Treasury Obligations #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ COMMON STOCK -- 96.7% CONSUMER DISCRETIONARY -- 16.4% 1-800 Contacts (B)* 75,100 $ 1,408 Advo 202,005 6,321 Aftermarket Technology* 92,880 1,708 Alliance Gaming (B)* 273,210 2,964 American Axle & Manufacturing Holdings (B) 153,340 3,539 American Greetings, Cl A (B) 84,420 2,313 AnnTaylor Stores* 30,200 802 Applebee's International 44,410 919 Arctic Cat 106,200 2,181 ArvinMeritor 210,000 3,511 Bandag 11,300 484 Belo, Cl A (B) 49,030 1,121 Bluegreen* 41,600 734 Blyth 6,300 140 Brinker International (B)* 21,750 817 Brown Shoe 93,400 3,082 Buckle 8,100 275 Building Material Holding 12,700 1,183 Carmike Cinemas 10,330 237 Cato, Cl A 69,000 1,375 Claire's Stores 52,600 1,269 Commercial Vehicle Group* 25,600 536 Cooper Tire & Rubber (B) 77,720 1,187 Corinthian Colleges* 63,800 847 Courier 24,230 906 CSK Auto* 142,220 2,116 Dixie Group* 8,100 129 Dollar Thrifty Automotive Group* 46,100 1,552 Dress Barn (B)* 55,911 1,273 Eddie Bauer Holdings* 36,640 907 Ethan Allen Interiors (B) 130,600 4,094 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Exide Technologies (B)* 196,800 $ 1,000 Finish Line, Cl A 88,300 1,288 Fleetwood Enterprises (B)* 49,600 610 Foot Locker 69,990 1,536 Furniture Brands International (B) 251,600 4,536 Gaylord Entertainment (B)* 72,800 3,469 Genesco* 16,600 618 Handleman 207,253 2,618 Interface* 11,080 92 Jack in the Box* 37,600 1,125 Jakks Pacific (B)* 189,760 3,080 Jarden (B)* 79,650 3,271 Jo-Ann Stores* 129,500 2,240 Journal Communications, Cl A 38,200 569 K2* 126,200 1,439 Kellwood 251,380 6,498 Kerzner International* 29,600 1,644 Kimball International, Cl B 35,700 432 La Quinta* 53,200 462 La-Z-Boy (B) 194,300 2,563 Landry's Restaurants 27,200 797 Leapfrog Enterprises (B)* 154,300 2,279 Libbey 7,600 116 Liberty 31,930 1,497 Linens `n Things (B)* 195,500 5,220 Lithia Motors, Cl A 14,900 432 Lone Star Steakhouse & Saloon (B) 63,300 1,646 M/I Homes 2,300 125 MDC Holdings (B) 16,380 1,292 Men's Wearhouse* 38,655 1,032 Modine Manufacturing 18,300 671 Movie Gallery (B) 299,500 3,112 MTR Gaming Group* 23,200 186 Multimedia Games (B)* 32,700 317 National Presto Industries 13,533 579 OfficeMax 53,900 1,707 Payless Shoesource* 161,300 2,807 PEP Boys-Manny Moe & Jack (B) 96,700 1,338 Petco Animal Supplies* 48,000 1,016 Pier 1 Imports (B) 196,000 2,209 Pinnacle Entertainment* 49,800 913 Polo Ralph Lauren 47,200 2,374 Primedia* 333,000 1,362 RadioShack 94,700 2,349 RC2* 43,800 1,479 Reebok International 17,130 969 Regis 57,080 2,159 Rent-A-Center* 125,500 2,423 Ruby Tuesday 31,200 679 Russell (B) 45,970 645 Ryan's Restaurant Group* 72,200 843 Ryland Group (B) 19,800 1,355 Saks (B)* 25,600 474 Scholastic* 31,300 1,157 - -------------------------------------------------------------------------------- 58 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Sonic Automotive 81,500 $ 1,811 Sports Authority (B)* 87,200 2,567 Stage Stores 29,050 781 Starwood Hotels & Resorts Worldwide 132,400 7,569 Steinway Musical Instruments* 6,600 174 Superior Industries International (B) 188,100 4,048 Tenneco Automotive* 180,300 3,157 Titan International (B) 6,500 89 Too* 46,820 1,284 Trans World Entertainment* 107,300 847 Triarc, Cl A (B) 83,400 1,401 Tupperware (B) 47,200 1,075 Unifi* 114,300 382 United Auto Group 8,700 287 Valassis Communications (B)* 87,970 3,429 Visteon (B) 200,200 1,958 Water Pik Technologies* 7,000 142 William Lyon Homes (B)* 6,700 1,040 Winnebago Industries (B) 40,100 1,162 World Wrestling Entertainment 129,700 1,686 Zale* 204,300 5,553 ----------- 177,021 ----------- CONSUMER STAPLES -- 3.2% BJ's Wholesale Club (B)* 94,500 2,627 Casey's General Stores 65,070 1,510 Chattem* 25,700 912 Chiquita Brands International 136,600 3,818 Church & Dwight 21,700 802 Coca-Cola Bottling Consolidated 1,800 88 Corn Products International 72,830 1,469 Delta & Pine Land 53,600 1,415 Diamond Foods* 39,700 679 Gold Kist* 156,300 3,056 Hain Celestial Group* 55,600 1,079 Lance 47,400 828 Longs Drug Stores 32,400 1,390 Molson Coors Brewing, Cl B (B) 63,700 4,077 Nash Finch 38,600 1,628 Pathmark Stores* 134,200 1,512 Ralcorp Holdings 53,390 2,238 Ruddick 36,700 846 Sanderson Farms 25,500 948 Spartan Stores* 46,300 477 TreeHouse Foods (B)* 50,000 1,344 Universal 26,300 1,021 Weis Markets 24,500 980 ----------- 34,744 ----------- ENERGY -- 6.3% Atlas America* 24,190 1,182 Cabot Oil & Gas 44,300 2,238 Callon Petroleum (B)* 26,100 546 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Carrizo Oil & Gas* 24,900 $ 730 Cimarex Energy (B)* 106,300 4,819 Comstock Resources* 42,300 1,388 Energy Partners* 27,200 849 Forest Oil* 34,050 1,774 Global Industries* 74,300 1,095 Harvest Natural Resources (B)* 69,500 746 Holly 28,100 1,798 Houston Exploration* 10,600 713 Input/Output (B)* 174,400 1,392 Lone Star Technologies* 23,700 1,317 Meridian Resource* 86,700 361 National Oilwell Varco* 32,500 2,138 Offshore Logistics* 16,400 607 Overseas Shipholding Group 2,600 152 Penn Virginia 39,800 2,297 Plains Exploration & Production* 148,219 6,347 Range Resources 16,600 641 Remington Oil & Gas (B)* 57,100 2,370 Spinnaker Exploration* 23,700 1,533 St. Mary Land & Exploration (B) 148,900 5,450 Stone Energy* 119,200 7,276 Superior Energy Services (B)* 36,900 852 Swift Energy (B)* 86,500 3,957 Tesoro 25,600 1,721 Transmontaigne* 67,600 540 Veritas DGC* 6,700 245 Vintage Petroleum 115,220 5,261 Whiting Petroleum* 62,000 2,718 W-H Energy Services* 92,090 2,985 ----------- 68,038 ----------- FINANCIALS -- 24.4% Acadia Realty Trust+ 57,800 1,040 ACE Cash Express* 11,900 232 Advance America Cash Advance Centers 24,200 321 Advanta, Cl B 21,800 615 Affiliated Managers Group (B)* 45,850 3,320 Agree Realty+ 18,900 534 Allmerica Financial* 40,100 1,650 AMB Property+ (B) 71,800 3,224 American Home Mortgage Investment+ 86,100 2,609 AmericanWest Bancorp* 10,300 238 AmerUs Group (B) 24,900 1,429 Anchor Bancorp Wisconsin 19,800 584 Anthracite Capital+ 66,300 768 Arbor Realty Trust+ 111,490 3,133 Arch Capital Group* 19,700 977 Archstone-Smith Trust+ 96,300 3,840 Ashford Hospitality Trust+ 52,700 567 Aspen Insurance Holdings 59,500 1,758 Assured Guaranty 43,800 1,048 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 59 STATEMENT OF NET ASSETS Small Cap Value Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ AvalonBay Communities+ (B) 36,300 $ 3,111 Bancfirst 7,100 604 Bancorpsouth 105,870 2,419 Bank Mutual 122,280 1,311 BankAtlantic Bancorp, Cl A 30,400 517 BioMed Realty Trust+ 24,400 605 Boston Properties+ 63,500 4,502 Brandywine Realty Trust+ 24,700 768 Capital of the West 4,000 122 Capital Southwest 21,300 1,814 Capital Trust, Cl A+ 12,700 408 Capitol Bancorp 11,000 356 Cardinal Financial* 110,350 1,065 Cash America International 14,800 307 Cathay General Bancorp (B) 64,900 2,301 CB Richard Ellis Group, Cl A* 33,300 1,638 CBL & Associates Properties+ 27,300 1,119 Cedar Shopping Centers+ 18,600 269 Central Pacific Financial 33,800 1,189 Chemical Financial 30,400 988 City Holding 13,800 494 Clark 21,400 360 CNA Surety* 18,600 265 Columbia Banking System 14,700 386 Commerce Group 23,600 1,369 Commercial Federal 34,600 1,181 Commercial Net Lease Realty+ 44,400 888 Community Bank System 23,400 529 Community Trust Bancorp 7,290 235 CompuCredit (B)* 25,400 1,128 Corus Bankshares 30,600 1,678 Crescent Real Estate Equities+ 53,100 1,089 Delphi Financial Group, Cl A 35,800 1,675 DiamondRock Hospitality (H)+ 57,100 671 Duke Realty+ 26,000 881 Eagle Hospitality Properties Trust+ 92,300 921 Education Realty Trust+ 81,210 1,356 Entertainment Properties Trust+ 22,500 1,004 Equity Inns+ 99,300 1,341 Equity One+ 32,670 760 Equity Residential+ 39,800 1,506 FBL Financial Group, Cl A 16,900 506 Federal Agricultural Mortgage, Cl C (B) 49,600 1,207 FelCor Lodging Trust+ (B)* 107,600 1,630 First American 133,400 6,092 First Citizens Bancshares, Cl A 2,200 375 First Community Bancorp 18,100 866 First Community Bancshares 5,200 153 First Financial Bancorp 90,086 1,676 First Financial Bankshares (B) 4,100 143 First Indiana (B) 47,774 1,628 First Industrial Realty Trust+ 66,800 2,675 First Merchants 24,300 628 First Niagara Financial Group 156,100 2,254 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ FirstFed Financial (B)* 24,500 $ 1,318 FirstMerit 54,960 1,472 Flagstar Bancorp 40,900 659 Flushing Financial 30,600 501 Fpic Insurance Group* 25,800 929 Frontier Financial 9,700 281 GAMCO Investors, Cl A 47,800 2,192 General Growth Properties+ (B) 168,670 7,578 Gold Banc 163,100 2,430 Gramercy Capital+ 5,700 137 Greater Bay Bancorp 90,800 2,237 Hancock Holding 51,830 1,769 Hanmi Financial 62,700 1,125 Harleysville Group 6,900 166 Heritage Property Investment Trust+ 6,000 210 Hilb Rogal & Hobbs (B) 201,300 7,513 HomeBanc+ 94,200 727 Horace Mann Educators 56,790 1,123 Host Marriott+ 365,700 6,180 HRPT Properties Trust+ 99,500 1,235 Hub International 80,000 1,814 Independent Bank 5,660 164 Innkeepers USA Trust+ 67,700 1,046 Investment Technology Group* 56,200 1,664 IPC Holdings 53,200 1,737 Irwin Financial 44,000 897 iStar Financial+ 92,600 3,744 ITLA Capital* 7,500 394 Jones Lang LaSalle* 9,600 442 Kimco Realty+ (B) 216,200 6,793 LandAmerica Financial Group 31,200 2,017 Liberty Property Trust+ 35,400 1,506 LTC Properties+ 38,300 812 MainSource Financial Group 9,485 168 Marlin Business Services* 3,900 90 Max Re Capital 121,900 3,022 Medical Properties Trust+ (H) (J) 39,400 348 Mercantile Bank 5,015 215 MeriStar Hospitality+ (B)* 274,600 2,507 Mid-State Bancshares 14,900 410 National Financial Partners (B) 38,700 1,747 National Health Investors+ 30,800 850 Navigators Group* 9,400 351 NBT Bancorp 58,200 1,373 Novastar Financial+ (B) 12,200 403 Odyssey Re Holdings (B) 30,600 782 Omega Healthcare Investors+ 40,700 567 Pacific Capital Bancorp 32,066 1,067 Parkway Properties+ 5,500 258 Pennsylvania Real Estate Investment Trust+ 62,900 2,653 PFF Bancorp 35,250 1,067 Philadelphia Consolidated Holding* 1,600 136 Placer Sierra Bancshares 11,700 321 - -------------------------------------------------------------------------------- 60 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Platinum Underwriters Holdings 45,510 $ 1,360 PMI Group 38,470 1,534 Premierwest Bancorp* 8,000 121 Presidential Life 32,900 592 ProAssurance* 42,170 1,968 Prologis+ (B) 47,500 2,105 Prosperity Bancshares 27,800 841 Provident Bankshares 25,200 876 Provident Financial Holdings 3,800 107 PS Business Parks+ 33,000 1,511 Public Storage+ (B) 58,600 3,926 Quanta Capital Holdings* 123,790 743 R & G Financial, Cl B 35,000 481 Rainier Pacific Financial Group 44,920 701 RAIT Investment Trust+ 30,600 872 Ramco-Gershenson Properties+ 12,600 368 Regency Centers+ (B) 72,400 4,159 RenaissanceRe Holdings 41,300 1,806 Safety Insurance Group 9,800 349 Saul Centers+ 23,600 849 Selective Insurance Group (B) 34,800 1,702 Senior Housing Properties Trust+ 23,400 445 Signature Bank (B)* 70,080 1,891 Simmons First National, Cl A 4,800 137 Simon Property Group+ (B) 100,200 7,427 Sizeler Property Investors+ 7,600 92 SL Green Realty+ 23,850 1,626 Southwest Bancorp 10,800 237 Sterling Financial, Pennsylvania Shares 12,325 248 Sterling Financial, Washington Shares* 92,700 2,090 Stewart Information Services (B) 173,300 8,873 Sunstone Hotel Investors+ 54,500 1,329 SVB Financial Group* 40,500 1,970 Taylor Capital Group 34,000 1,286 Thomas Properties Group 59,200 770 TierOne 15,100 397 Tompkins Trustco 3,080 133 Trico Bancshares 5,900 127 Trustmark (B) 80,600 2,245 Trustreet Properties+ 67,900 1,063 UMB Financial 41,740 2,742 Umpqua Holdings 69,000 1,678 Universal American Financial* 90,100 2,049 U-Store-It Trust+ (B) 105,200 2,132 Ventas+ 142,900 4,601 Vornado Realty Trust+ 58,500 5,067 Washington Federal 29,370 663 WesBanco 22,900 630 West Coast Bancorp 8,400 210 Westcorp 10,500 618 Winston Hotels+ 123,920 1,239 Wintrust Financial 42,500 2,136 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ WR Berkley 78,825 $ 3,112 Zenith National Insurance 50,300 3,153 ----------- 263,384 ----------- HEALTH CARE -- 5.7% Accelrys* 297,900 2,014 Albany Molecular Research* 35,900 437 Alliance Imaging* 27,200 233 Alpharma, Cl A 146,200 3,636 Amedisys (B)* 25,300 987 America Service Group* 52,200 866 Analogic 31,800 1,603 Applera--Celera Genomics Group* 240,900 2,922 Bio-Rad Laboratories, Cl A (B)* 10,000 550 Cambrex 90,400 1,714 Community Health Systems (B)* 79,500 3,085 Cross Country Healthcare* 96,600 1,793 DJ Orthopedics* 67,700 1,959 Enzon Pharmaceuticals* 58,100 385 Flamel Technologies ADR (B)* 66,300 1,240 Genesis HealthCare* 62,400 2,516 Health Net (B)* 55,500 2,626 HealthTronics* 42,200 420 Kindred Healthcare (B)* 23,400 697 LifePoint Hospitals* 14,600 639 Magellan Health Services* 56,500 1,986 Mettler Toledo International* 44,650 2,276 Myriad Genetics (B)* 115,500 2,525 National Dentex* 109,054 2,247 Orthofix International* 29,140 1,271 Owens & Minor 40,610 1,192 Parexel International* 130,500 2,622 PerkinElmer 64,700 1,318 Pharmacopeia Drug Discovery (B)* 133,350 477 PolyMedica 39,900 1,394 PRA International* 12,900 391 Res-Care* 160,616 2,472 Sybron Dental Specialties* 168,670 7,013 Techne (B)* 9,300 530 Triad Hospitals* 21,060 953 Vertex Pharmaceuticals (B)* 9,800 219 Viasys Healthcare* 74,400 1,859 ----------- 61,067 ----------- INDUSTRIALS -- 16.6% ABX Air* 49,600 407 Actuant, Cl A* 24,000 1,123 Acuity Brands (B) 67,180 1,993 Adesa 92,800 2,051 Alaska Air Group (B)* 81,700 2,374 Albany International, Cl A 77,661 2,863 Alderwoods Group* 48,600 796 AMN Healthcare Services* 199,100 3,080 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 61 STATEMENT OF NET ASSETS Small Cap Value Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ AO Smith 94,360 $ 2,689 Applied Industrial Technologies 12,750 458 Arkansas Best 47,800 1,667 Banta 136,130 6,928 BearingPoint (B)* 448,700 3,406 Blount International* 6,200 109 Briggs & Stratton (B) 81,020 2,803 Brink's 158,100 6,492 Cadmus Communications 24,040 505 Calgon Carbon (B) 49,400 390 CDI 81,400 2,405 CIRCOR International 60,260 1,654 CNH Global 111,860 2,204 Consolidated Graphics* 20,000 861 CPI Aerostructures* 48,570 484 Crane 4,900 146 DiamondCluster International* 195,100 1,479 EMCOR Group* 8,000 474 EnPro Industries* 21,700 731 Esterline Technologies* 46,000 1,743 ExpressJet Holdings* 109,000 978 Federal Signal 66,580 1,138 Flowserve* 46,800 1,701 GATX (B) 88,000 3,480 Genlyte Group* 17,400 837 Geo Group* 19,700 522 Global Power Equipment Group (B)* 168,200 1,199 Griffon (B)* 178,040 4,380 Grupo TMM, Cl A* ADR 237,100 972 Harsco 26,700 1,751 Heidrick & Struggles International* 70,900 2,296 Hughes Supply 40,460 1,319 IKON Office Solutions 88,700 885 Insituform Technologies, Cl A* 34,488 596 John H. Harland 78,900 3,503 K&F Industries Holdings* 70,200 1,174 Kadant* 55,630 1,116 Kansas City Southern (B)* 181,390 4,228 Kaydon 148,770 4,227 Kennametal (B) 64,100 3,143 Kirby* 46,000 2,274 Korn/Ferry International* 54,500 893 Laidlaw International* 185,700 4,488 Lennox International (B) 192,900 5,287 Manitowoc (B) 44,500 2,236 Medical Staffing Network Holdings (B)* 195,100 1,145 Milacron (B)* 348,335 620 Mueller Industries 45,400 1,261 Navistar International (B)* 97,400 3,159 NCO Group* 31,800 657 NN 15,600 187 Orbital Sciences (B)* 119,300 1,491 Pall 176,200 4,846 PAM Transportation Services* 8,900 144 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ PHH* 36,500 $ 1,002 R.H. Donnelley* 12,600 797 RailAmerica* 30,000 357 Regal-Beloit 52,570 1,705 Rent-Way* 89,900 618 Robbins & Myers 61,320 1,379 Ryder System 140,700 4,815 Sauer-Danfoss 12,100 242 School Specialty (B)* 36,320 1,772 SCS Transportation* 9,200 145 Simpson Manufacturing 122,000 4,775 Skywest 99,300 2,663 Source Interlink* 100,259 1,109 Sourcecorp* 31,300 671 SPX (B) 37,600 1,728 Stewart Enterprises, Cl A 146,200 969 Tecumseh Products, Cl A 102,600 2,208 Teledyne Technologies* 47,700 1,644 Tetra Tech* 233,760 3,932 Thomas & Betts* 42,000 1,445 Toro 24,200 890 Unifirst 44,200 1,550 United Rentals (B)* 61,000 1,202 United Stationers* 30,000 1,436 Universal Forest Products (B) 28,300 1,622 USA Truck* 25,500 645 Valmont Industries 20,900 614 Volt Information Sciences* 7,000 142 Walter Industries (B) 73,000 3,571 Washington Group International (B)* 68,700 3,702 Watson Wyatt Holdings 235,230 6,339 Woodward Governor 14,000 1,191 Yellow Roadway* 3,695 153 York International 23,400 1,312 ----------- 178,793 ----------- INFORMATION TECHNOLOGY -- 13.8% Advanced Digital Information* 234,100 2,201 Advanced Energy Industries* 9,500 102 Aeroflex* 131,840 1,234 Agilysys 112,300 1,891 Alliance Semiconductor* 299,700 881 Altiris (B)* 162,300 2,482 American Reprographics* 11,300 193 AMIS Holdings* 14,900 177 Arris Group* 160,200 1,900 Atari (B)* 185,700 267 Avnet (B)* 65,620 1,604 Axcelis Technologies* 141,900 741 Bel Fuse, Cl B 11,300 412 Belden CDT (B) 206,880 4,020 BISYS Group* 109,370 1,469 Black Box 80,800 3,390 Borland Software* 412,700 2,402 - -------------------------------------------------------------------------------- 62 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Brooks Automation (B)* 48,600 $ 648 Checkpoint Systems* 45,700 1,084 Ciber* 174,600 1,297 Coherent (B)* 73,110 2,141 CommScope (B)* 84,200 1,460 Covansys* 15,500 247 CSG Systems International (B)* 213,700 4,639 Digi International* 10,900 117 Digitas (B)* 128,100 1,455 Dycom Industries (B)* 136,200 2,754 Earthlink (B)* 577,500 6,179 Electronics for Imaging* 110,100 2,526 Emulex (B)* 56,800 1,148 EPIQ Systems* 13,800 301 Fairchild Semiconductor International (B)* 225,300 3,348 Filenet* 41,700 1,163 Foundry Networks (B)* 133,500 1,695 Gartner* 203,200 2,375 General Cable (B)* 151,500 2,545 Global Imaging Systems* 16,100 548 Hutchinson Technology (B)* 40,500 1,058 Hypercom* 146,300 954 Hyperion Solutions* 31,000 1,508 Imation 59,200 2,538 InFocus* 194,300 670 Integrated Device Technology* 68,100 731 Intergraph* 10,000 447 Intervideo* 44,000 441 Ipass* 61,300 330 IXYS* 16,000 169 Keane* 172,800 1,975 Keynote Systems* 155,000 2,012 Komag (B)* 66,100 2,113 Kulicke & Soffa Industries* 64,800 470 Lawson Software (B)* 425,300 2,952 LeCroy* 35,600 529 Littelfuse* 49,080 1,381 LTX (B)* 280,400 1,183 Manhattan Associates* 155,300 3,603 Maxtor (B)* 817,100 3,595 McData, Cl A* 127,600 669 Methode Electronics 134,540 1,550 MTS Systems 12,400 468 Newport* 70,200 978 Novatel Wireless (B)* 52,800 764 Parametric Technology* 289,600 2,019 Paxar* 63,500 1,070 Pegasus Solutions* 27,500 247 Per-Se Technologies (B)* 48,500 1,002 Perot Systems, Cl A* 87,200 1,234 Phoenix Technologies* 12,300 93 Photronics (B)* 156,400 3,034 Polycom* 46,800 757 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Pomeroy IT Solutions (B)* 36,728 $ 417 Progress Software* 30,600 972 ProQuest* 74,600 2,701 Quantum (B)* 1,243,500 3,842 RADWARE* 48,200 918 Richardson Electronics 129,610 980 RSA Security* 248,600 3,160 Seachange International (B)* 70,200 446 Solectron* 930,700 3,639 Startek 19,900 263 Stoneridge* 12,600 104 Superior Essex* 87,700 1,579 Sybase (B)* 137,980 3,231 Synopsys* 62,330 1,178 Tekelec (B)* 74,600 1,563 THQ (B)* 41,195 878 TIBCO Software (B)* 707,600 5,916 Ultratech* 3,100 48 Unisys* 452,800 3,007 United Online 169,800 2,352 Utstarcom (B)* 106,500 870 WatchGuard Technologies* 118,300 507 Wavecom ADR* 78,700 1,210 webMethods (B)* 212,700 1,504 Zoran* 113,300 1,620 ----------- 148,485 ----------- MATERIALS -- 6.0% Airgas 58,800 1,742 AK Steel Holding (B)* 49,100 421 Albemarle (B) 90,700 3,419 Alpha Natural Resources* 54,700 1,643 Aptargroup 72,490 3,611 Arch Chemicals 51,380 1,195 Bemis 36,490 901 Bowater (B) 52,000 1,470 Buckeye Technologies* 81,100 658 Caraustar Industries* 21,600 237 Chesapeake 16,300 300 Constar International* 143,500 290 Crown Holdings* 203,100 3,237 Cytec Industries (B) 113,400 4,919 Eagle Materials (B) 1,400 170 FMC* 51,100 2,924 Foundation Coal Holdings 74,800 2,876 Georgia Gulf 38,310 922 Greif, Cl A 36,800 2,212 H.B. Fuller 16,900 525 Hercules* 218,400 2,669 Jacuzzi Brands* 294,000 2,370 Mosaic* 110,800 1,775 Neenah Paper 32,500 952 NewMarket* 102,760 1,782 Octel 52,800 880 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 63 STATEMENT OF NET ASSETS Small Cap Value Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Olin 88,140 $ 1,674 OM Group* 30,900 622 Packaging of America (B) 32,900 639 Quanex 44,300 2,934 Reliance Steel & Aluminum 11,700 619 Rock-Tenn, Cl A 77,000 1,163 Schnitzer Steel Industries, Cl A 57,900 1,886 Schweitzer-Mauduit International 63,780 1,424 Silgan Holdings 105,400 3,506 Steel Dynamics 28,900 981 Terra Industries* 242,700 1,614 USEC 33,400 373 USG (B)* 31,000 2,130 Wellman 161,800 1,024 ----------- 64,689 ----------- TELECOMMUNICATION SERVICES -- 0.5% Commonwealth Telephone Enterprises 17,290 652 CT Communications 5,000 62 Dobson Communications, Cl A (B)* 124,400 955 IDT* 61,800 760 IDT, Cl B (B)* 66,400 810 SureWest Communications 7,500 215 Talk America Holdings* 94,700 893 Ubiquitel* 153,000 1,337 ----------- 5,684 ----------- UTILITIES -- 3.8% AGL Resources (B) 46,930 1,742 Allete (B) 38,100 1,745 Avista 63,300 1,228 Black Hills 28,600 1,240 Cascade Natural Gas 63,300 1,378 Centerpoint Energy (B) 138,600 2,061 Cleco 58,600 1,382 CMS Energy (B)* 194,900 3,206 El Paso Electric* 103,100 2,150 Idacorp 54,680 1,648 ITC Holdings (B) 54,500 1,579 Laclede Group 3,400 111 Northwest Natural Gas 13,600 506 NorthWestern 75,600 2,282 Oneok (B) 16,900 575 Ormat Technologies 3,400 75 Pico Holdings* 89,300 3,138 PNM Resources 126,700 3,633 SEMCO Energy* 162,300 1,070 Sierra Pacific Resources* 48,300 717 South Jersey Industries 24,200 705 Southwest Gas 9,500 260 UIL Holdings 24,200 1,266 Unisource Energy 26,200 871 - ------------------------------------------------------------ Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Westar Energy 93,100 $ 2,247 WGL Holdings (B) 77,480 2,489 Wisconsin Energy 44,020 1,757 ----------- 41,061 ----------- Total Common Stock (Cost $859,660) ($ Thousands) 1,042,966 ----------- EXCHANGE TRADED FUNDS -- 0.6% iShares Russell 2000 Index Fund (B) 65,530 4,351 iShares Russell 2000 Value Index Fund (B) 25,200 1,661 iShares S&P SmallCap 600/BARRA Value Index Fund 7,080 453 ----------- Total Exchange Traded Funds (Cost $6,003) ($ Thousands) 6,465 ----------- Number of Warrants ------------ WARRANTS -- 0.0% Washington Mutual* (D) 383,342 61 ----------- Total Warrants (Cost $55) ($ Thousands) 61 ----------- Number of Rights ------------ RIGHTS -- 0.0% Bank United (G) (H)* 46,300 -- ----------- Total Rights (Cost $8) ($ Thousands) -- ----------- CORPORATE OBLIGATIONS (C) -- 10.1% FINANCIALS -- 10.1% Allstate Life Global Funding II MTN (F) 3.788%, 10/16/06 $ 1,519 1,519 American General Finance (F) (I) 3.768%, 10/16/06 10,668 10,668 American General Finance MTN, Ser F 5.875%, 07/14/06 330 337 CCN Bluegrass (F) 3.859%, 08/18/06 2,147 2,147 CIT Group MTN (F) 3.790%, 05/12/06 8,257 8,257 3.714%, 04/19/06 826 826 Caterpillar Financial Services MTN, Ser F (F) 3.670%, 07/10/06 1,652 1,652 Countrywide Financial Services MTN, Ser A (F) 3.920%, 09/13/06 6,110 6,110 3.760%, 07/31/06 1,651 1,651 - -------------------------------------------------------------------------------- 64 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Countrywide Home Loans MTN, Ser M (F) 3.851%, 11/30/05 $ 2,114 $ 2,114 3.760%, 01/31/06 727 727 Dekabank (F) 3.614%, 08/19/06 6,110 6,109 Irish Life & Permanent MTN, Ser X (F) 3.812%, 09/21/06 4,393 4,392 Islandsbanki (F) (I) 3.869%, 09/22/06 2,808 2,808 Jackson National Life Funding (F) (I) 3.693%, 10/02/06 7,266 7,266 K2 LLC MTN (F) 3.809%, 12/12/05 198 198 Liberty Lighthouse US Capital MTN (F) 3.688%, 05/10/06 3,303 3,301 Morgan Stanley EXL (F) 3.710%, 10/04/06 1,156 1,156 Morgan Stanley EXL, Ser S (F) 3.670%, 10/03/06 1,651 1,651 Natexis Banques (F) 3.810%, 10/16/06 3,220 3,220 Nationwide Building Society (F) (I) 4.030%, 07/28/06 1,651 1,652 3.689%, 01/06/06 3,303 3,303 Nordbank (F) (I) 3.830%, 09/25/06 5,615 5,614 Northern Rock (F) (I) 3.690%, 10/03/06 3,402 3,402 Pacific Life Global Funding (F) (I) 3.760%, 10/13/06 2,477 2,477 Premium Asset Trust, Ser 2004-01 (F) (I) 3.800%, 02/06/06 3,435 3,438 Premium Asset Trust, Ser 2004-06 (F) (I) 3.941%, 06/30/06 3,138 3,140 Premium Asset Trust, Ser 2004-10 (F) (I) 3.778%, 10/16/06 4,624 4,624 SLM EXL, Ser S (F) 3.768%, 10/16/06 3,633 3,633 SLM MTN, Ser X (F) 3.796%, 10/20/06 6,606 6,606 Skandinav Enskilda Bank (F) 3.779%, 10/17/06 3,633 3,633 White Pine Finance MTN, Ser 1 (F) 3.663%, 11/01/05 1,453 1,453 ----------- Total Corporate Obligations (Cost $109,084) ($ Thousands) 109,084 ----------- - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ COMMERCIAL PAPER (C) (E) -- 3.7% FINANCIALS -- 3.7% Altius I Funding 3.864%, 10/27/05 $ 4,954 $ 4,936 Arlington Funding 3.857%, 10/14/05 3,617 3,611 Brahms Funding 3.861%, 10/26/05 1,321 1,317 Buckingham 3.940%, 11/14/05 602 599 Cre-8 Funding 3.908%, 11/01/05 1,651 1,644 3.902%, 10/28/05 3,303 3,293 3.862%, 10/19/05 1,651 1,647 3.762%, 10/07/05 991 988 Davis Square V Funding 3.934%, 11/02/05 6,606 6,582 3.932%, 10/28/05 330 329 Main Street Warehouse Funding 3.881%, 10/24/05 3,303 3,294 Rams Funding 3.879%, 10/18/05 3,578 3,570 3.863%, 10/27/05 3,509 3,498 3.861%, 10/19/05 1,611 1,606 3.861%, 10/20/05 1,130 1,126 Rhineland Funding 4.027%, 11/28/05 746 742 3.871%, 10/24/05 1,258 1,255 ----------- Total Commercial Paper (Cost $40,037) ($ Thousands) 40,037 ----------- ASSET-BACKED SECURITIES (C) -- 3.2% AUTOMOTIVE -- 0.4% Capital Auto Receivables Asset Trust, Ser 2005-SN1A, Cl A1 3.327%, 05/15/06 3,352 3,352 Drivetime Auto Owner Trust, Ser 2005-B, Cl A1 (F) 3.788%, 01/15/06 436 436 ----------- 3,788 ----------- MORTGAGE RELATED SECURITIES -- 2.8% Blue Heron Funding, Ser 9A, Cl A1 (F) 3.860%, 02/22/06 3,303 3,303 CCN Independence IV (F) 3.842%, 10/17/05 1,817 1,817 3.838%, 07/17/06 1,156 1,156 Cheyne High Grade, Ser 2004-1A, Cl A1 (F) 3.780%, 11/10/05 1,899 1,899 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 65 STATEMENT OF NET ASSETS Small Cap Value Fund (Concluded) September 30, 2005 - ------------------------------------------------------------ Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Commodore, Ser 2003-2A, Cl A1MM (F) 3.914%, 12/12/05 $ 1,519 $ 1,519 Duke Funding, Ser 2004-6B, Cl A1S1 (F) 3.630%, 10/10/06 2,477 2,477 Harwood Street Funding II, Ser 2005-1A, Cl NOTE (F) 3.880%, 06/25/06 3,303 3,303 Orchid Structured Finance, Ser 2003-1A, Cl A1MM (F) 3.902%, 11/18/05 2,906 2,906 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AMM2 (F) 3.880%, 11/25/05 3,909 3,909 RMAC, Ser 2004-NS3A, Cl A1 (F) 3.728%, 09/12/06 1,081 1,081 Saturn Ventures II (F) 3.749%, 02/07/06 3,303 3,303 TIAA Real Estate, Ser 2003 1A, Cl A1 (F) 3.868%, 09/28/06 2,133 2,133 Whitehawk CDO Funding, Ser 2004-1A, Cl AMMD (F) 3.890%, 06/15/06 826 826 Whitehawk CDO Funding, Ser 2004-1A, Cl AMME (F) 3.890%, 09/15/06 495 495 ----------- 30,127 ----------- Total Asset-Backed Securities (Cost $33,915) ($ Thousands) 33,915 ----------- CASH EQUIVALENTS -- 2.8% First Union Cash Management Program 1,168,700 1,169 SEI Daily Income Trust, Prime Obligation Fund, Cl A++ 29,074,902 29,075 ----------- Total Cash Equivalents (Cost $30,244) ($ Thousands) 30,244 ----------- MASTER NOTES (C) -- 1.1% Bank of America 4.018%, 10/01/05 8,257 8,257 Bear Stearns 4.113%, 10/01/05 3,964 3,964 ----------- Total Master Notes (Cost $12,221) ($ Thousands) 12,221 ----------- U.S. TREASURY OBLIGATION (A) -- 0.1% U.S. Treasury Bills 3.455%, 11/25/05 1,255 1,249 ----------- Total U.S. Treasury Obligation (Cost $1,248) ($ Thousands) 1,249 ----------- - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ REPURCHASE AGREEMENTS (C) -- 3.8% Barclays Capital Markets 3.840%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $20,709,656 (collateralized by various U.S. Government Obligations, ranging in par value $3,437,728- $13,756,330, 1.875%-7.250%, 06/15/06-01/15/10; with total market value $21,131,183) $20,703 $ 20,703 Deutsche Bank Securites 3.750%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $16,191,193 (collateralized by various U.S. Government Obligations, ranging in par value $36,456- $4,359,875, 0.000%-5.875%, 10/07/05-09/29/25; with total market value $16,509,881) 16,186 16,186 Lehman Brothers 3.820%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $4,460,382 (collateralized by various U.S. Government Obligations, ranging in par value $299,411- $3,460,981, 0.000%-3.500%, 08/15/06-04/15/30; with total market value $4,548,299) 4,459 4,459 ----------- Total Repurchase Agreements (Cost $41,348) ($ Thousands) 41,348 ----------- Total Investments -- 122.1% (Cost $1,133,823) ($ Thousands) 1,317,590 ----------- OTHER ASSETS AND LIABILITIES -- (22.1)% Payable Upon Return on Securities Loaned (236,605) Payable for Investment Securities Purchased (7,264) Payable for Fund Shares Redeemed (2,165) Investment Advisory Fees Payable (580) Administration Fees Payable (312) Shareholder Servicing Fees Payable (68) Administration Servicing Fees Payable (2) Other Assets and Liabilities, Net 8,308 ----------- Total Other Assets and Liabilities (238,688) ----------- Net Assets-- 100.0% $ 1,078,902 =========== - -------------------------------------------------------------------------------- 66 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Value Description ($ Thousands) - ------------------------------------------------------------ NET ASSETS: Paid-in-Capital (unlimited authorization-- no par value) $ 797,603 Undistributed net investment income 654 Accumulated net realized gain on investments and futures contracts 97,104 Net unrealized appreciation on investments 183,767 Net unrealized depreciation on futures contracts (136) ----------- Net Assets $ 1,078,902 =========== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($1,066,188,587 / 49,408,809 shares) $21.58 ====== Net Asset Value, Offering and Redemption Price Per Share -- Class I ($12,713,078 / 590,768 shares) $21.52 ====== Futures -- A summary of the open futures contracts held by the fund at September 30, 2005, is as follows: (see Note 2 in Notes to Financial Statements) - ------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION DEPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) - ------------------------------------------------------------- Russell 2000 Index MINI 310 December 2005 $(136) - ------------------------------------------------------------ Description - ------------------------------------------------------------ * 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 September 30, 2005 (see Note 7). The total value of securities on loan at September 30, 2005 was $231,243 ($ Thousands). (C) This security was purchased with cash collateral held from securities lending (see Note 7). The total value of such securities as of September 30, 2005 was $236,605 ($ 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 and date reported on the Statement of Net Assets is the rate and date in effect as of September 30, 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 September 30, 2005 was $1,019 ($ Thousands) and represented 0.09% of Net Assets. (I) Security sold within the terms of private placement memorandum, exempt from registration under Section 3A-4, 4(2) or 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." (J) Security considered restricted and security is fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such security as of September 30, 2005, was $348 ($ Thousands) and represented 0.03% of Net Assets. ADR -- American Depositary Receipt CDO -- Collateralized Debt Obligation Cl -- Class EXL -- Extendable Maturity LLC -- Limited Liability Company MTN -- Medium Term Note Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 67 STATEMENT OF NET ASSETS Small Cap Growth Fund September 30, 2005 - ----------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [BAR GRAPH OMITTED] 22.9% Information Technology 21.3% Financials 15.3% Health Care 11.6% Consumer Discretionary 8.9% Industrials 6.4% Short-Term Investments 5.4% Energy 2.9% Asset-Backed Securities 2.1% Materials 2.1% Consumer Staples 0.9% Telecommunication Services 0.1% Utilities 0.1% Exchange Traded Fund #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ COMMON STOCK -- 96.0%** CONSUMER DISCRETIONARY -- 14.6% 1-800 Contacts (B)* 25,500 $ 478 AC Moore Arts & Crafts (B)* 37,500 719 America's Car-Mart (B)* 71,850 1,289 American Woodmark 9,300 312 AnnTaylor Stores* 23,800 632 BJ's Restaurants* 213,200 4,356 Blue Nile (B)* 43,200 1,367 Bluegreen* 58,900 1,040 Buckle 9,200 313 Buffalo Wild Wings (B)* 35,100 930 Build-A-Bear Workshop (B)* 23,500 524 Building Material Holding (B) 18,700 1,743 Carter's* 64,700 3,675 Catalina Marketing 31,700 721 Central Garden & Pet* 73,555 3,328 Champion Enterprises* 44,600 659 Charming Shoppes (B)* 183,200 1,955 Cheesecake Factory (B)* 69,900 2,184 Childrens Place Retail Stores* 46,900 1,672 Christopher & Banks (B) 86,350 1,198 CKE Restaurants 114,700 1,512 Coach* 137,000 4,296 Commercial Vehicle Group* 20,900 438 Corinthian Colleges (B)* 177,200 2,351 Cost Plus (B)* 19,800 359 CSK Auto* 13,500 201 Ctrip.com International ADR* 57,090 3,658 Domino's Pizza 120,530 2,811 Dover Downs Gaming & Entertainment 17,500 238 Eddie Bauer Holdings* 104,500 2,586 Education Management* 25,300 816 Escala Group* 18,000 300 GameStop, Cl A (B)* 73,900 2,326 Genesco (B)* 54,000 2,011 Gildan Activewear* 60,000 2,294 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Group 1 Automotive* 82,300 $ 2,271 Guitar Center (B)* 60,100 3,318 Hibbett Sporting Goods (B)* 270,488 6,018 HOT Topic* 230,150 3,535 Imax* 141,370 1,474 Jack in the Box* 44,300 1,325 Jarden (B)* 80,613 3,311 Knoll 155,500 2,853 Laureate Education* 36,700 1,797 Life Time Fitness (B)* 50,400 1,670 Lin TV, Cl A (B)* 138,500 1,932 M/I Homes 33,800 1,834 Maidenform Brands* 97,300 1,338 Marchex, Cl B (B)* 302,500 5,009 Marvel Entertainment (B)* 44,050 787 Meritage Homes* 22,000 1,687 Mikohn Gaming* 91,915 1,222 Movie Gallery (B) 124,500 1,294 MTR Gaming Group* 31,700 254 Multimedia Games (B)* 40,600 394 New York* 12,700 208 Nexstar Broadcasting Group, Cl A* 160,300 914 Outdoor Channel Holdings* 116,000 1,712 Parkervision (B)* 223,000 1,403 Petco Animal Supplies* 6,900 146 Phillips-Van Heusen 100,465 3,116 Quiksilver* 161,400 2,332 Rare Hospitality International* 12,800 329 Reader's Digest Association (B) 111,200 1,776 Red Robin Gourmet Burgers (B)* 83,300 3,818 Regis 55,300 2,091 Saga Communications, Cl A* 13,300 177 Select Comfort (B)* 73,400 1,467 Shuffle Master (B)* 6,200 164 Sinclair Broadcast Group, Cl A 17,100 152 Sonic (B)* 72,400 1,980 Sports Authority (B)* 58,600 1,725 Stamps.com* 11,600 200 Standard Motor Products 85,700 695 Standard-Pacific 47,000 1,951 Stein Mart 24,400 495 Strayer Education (B) 26,100 2,467 Theglobe.com (D) (G)* 1,238,300 401 Thor Industries 76,600 2,604 Timberland, Cl A* 73,800 2,493 Too* 101,600 2,787 Tractor Supply* 72,100 3,291 TRM (B)* 74,600 1,133 Tuesday Morning 10,000 259 Tupperware (B) 28,600 652 Urban Outfitters (B)* 166,600 4,898 Volcom* 18,000 504 Warnaco Group* 112,600 2,467 WESCO International (B)* 90,700 3,072 Yankee Candle 158,800 3,891 ---------- 156,385 ---------- - -------------------------------------------------------------------------------- 68 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ CONSUMER STAPLES -- 2.6% Allion Healthcare* 3,900 $ 70 Chattem (B)* 104,870 3,723 Coca-Cola Bottling Consolidated 3,400 166 Energy Conversion Devices (B)* 52,935 2,376 Gold Kist (B)* 238,900 4,671 Hansen Natural (B)* 11,600 546 Longs Drug Stores 36,500 1,566 NBTY* 100,200 2,355 Pantry* 59,600 2,227 Parlux Fragrances* 8,800 256 Premium Standard Farms* 131,600 1,950 Provide Commerce* 21,100 512 Sanderson Farms 34,300 1,275 Spartan Stores* 64,700 666 United Natural Foods (B)* 160,035 5,659 ---------- 28,018 ---------- ENERGY -- 6.1% Alon USA Energy (B)* 57,000 1,377 Arch Coal 39,500 2,666 Atwood Oceanics* 21,600 1,819 Berry Petroleum, Cl A 50,025 3,336 Bill Barrett* 15,600 574 Cabot Oil & Gas 61,300 3,096 Cal Dive International* 88,500 5,612 CARBO Ceramics 25,410 1,677 Clayton Williams Energy (B)* 15,700 678 Denbury Resources* 63,000 3,178 Dresser-Rand Group* 40,200 990 Encore Acquisition (B)* 90,500 3,516 Hydril* 92,715 6,364 Input/Output (B)* 212,800 1,698 KCS Energy* 68,300 1,880 Lone Star Technologies* 7,500 417 Massey Energy (B) 43,400 2,216 Penn Virginia 46,300 2,672 Petroleum Development* 46,000 1,764 Remington Oil & Gas (B)* 32,500 1,349 Stone Energy* 48,500 2,960 Superior Energy Services (B)* 111,200 2,568 Swift Energy (B)* 74,000 3,386 Syntroleum (B)* 138,400 2,015 Tetra Technologies* 50,950 1,591 Vintage Petroleum 67,900 3,100 W-H Energy Services* 91,400 2,963 ---------- 65,462 ---------- FINANCIALS -- 10.0% Acadia Realty Trust+ 125,000 2,249 Advance America Cash Advance Centers (B) 84,100 1,114 Affiliated Managers Group (B)* 33,450 2,422 American Equity Investment Life Holding (B) 150,800 1,712 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ American Home Mortgage Investment+ 92,400 $ 2,800 Asset Acceptance Capital* 119,855 3,592 Bank of the Ozarks (B) 12,600 433 Brookline Bancorp 94,000 1,487 Calamos Asset Management, Cl A 59,900 1,478 Capital of the West 4,500 138 Cascade Bancorp 34,550 722 Center Financial 52,400 1,231 Commercial Capital Bancorp 134,333 2,284 Community Bancorp* 6,100 201 CompuCredit* 2,700 120 Delphi Financial Group, Cl A 72,750 3,405 DiamondRock Hospitality (G) (H)+ 167,600 1,969 DiamondRock Hospitality+ 900 11 E*Trade Financial* 366,500 6,450 Education Realty Trust+ 121,500 2,029 Encore Capital Group (B)* 86,300 1,540 Euronet Worldwide* 148,675 4,399 First Cash Financial Services* 106,050 2,791 First Regional Bancorp* 5,200 410 First Republic Bank 55,700 1,962 FirstFed Financial (B)* 31,100 1,674 Glacier Bancorp 15,512 479 Gramercy Capital+ 300 7 Greenhill (B) 58,400 2,435 Hanmi Financial 53,500 960 HCC Insurance Holdings 80,400 2,294 Housevalues (B)* 20,500 293 Huron Consulting Group 13,900 373 Investment Technology Group* 73,190 2,166 Jones Lang LaSalle* 5,900 272 Kansas City Life Insurance 33,400 1,709 KNBT Bancorp 128,500 2,001 Medical Properties Trust+(D)(G) 201,500 1,778 MFA Mortgage Investments+ 159,000 975 Midwest Banc Holdings (B) 69,600 1,609 Morningstar* 27,000 864 MortgageIT Holdings+ 53,900 766 Nara Bancorp 55,000 822 Nasdaq Stock Market (B)* 114,500 2,903 Net 1 UEPS Technologies* 42,300 948 NorthStar Realty Finance+ 91,700 861 Old Second Bancorp 9,600 286 Online Resources* 115,500 1,222 optionsXpress Holdings (B) 123,500 2,351 PFF Bancorp 79,160 2,395 Philadelphia Consolidated Holding* 6,400 543 Placer Sierra Bancshares 39,289 1,079 Platinum Underwriters Holdings 58,860 1,759 Portfolio Recovery Associates (B)* 42,700 1,844 Preferred Bank 5,500 221 Premierwest Bancorp* 5,900 89 ProAssurance* 52,125 2,433 RAIT Investment Trust+ 51,600 1,471 Redwood Trust+ 10,800 525 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 69 STATEMENT OF NET ASSETS Small Cap Growth Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Signature Bank* 80,700 $ 2,178 Strategic Hotel Capital+ 111,600 2,038 SVB Financial Group* 120,000 5,837 TAC Acquisition* 368,000 2,318 TierOne 62,900 1,655 United PanAm Financial* 42,100 1,051 Value Line 20,800 814 Vineyard National Bancorp (B) 4,800 142 Wilshire Bancorp 39,100 598 World Acceptance (B)* 5,400 137 Zenith National Insurance 13,700 859 ---------- 106,983 ---------- HEALTH CARE -- 19.3% Abgenix (B)* 246,300 3,123 Advanced Medical Optics (B)* 38,700 1,469 Albany Molecular Research* 26,600 324 Align Technology (B)* 186,900 1,256 Alkermes (B)* 126,400 2,124 Alliance Imaging* 201,800 1,725 Alpharma, Cl A 43,800 1,089 American Healthways* 80,630 3,419 American Medical Systems Holdings* 132,300 2,666 Amsurg (B)* 69,500 1,902 Amylin Pharmaceuticals (B)* 100,500 3,496 Andrx* 14,600 225 Animas (B)* 122,300 1,920 Applera--Celera Genomics Group* 132,300 1,605 Ariad Pharmaceuticals (B)* 331,400 2,462 Array Biopharma* 256,800 1,844 Arthrocare (B)* 50,300 2,023 Aspect Medical Systems* 36,100 1,070 AtriCure* 34,200 475 Barrier Therapeutics* 39,000 327 Bio-Rad Laboratories, Cl A (B)* 45,300 2,491 BioMarin Pharmaceuticals (B)* 31,400 274 BioScrip* 153,700 999 Biosite (B)* 80,200 4,961 Caraco Pharmaceutical Laboratories* 12,000 104 Cardiome Pharma* 69,800 614 Cell Genesys (B)* 450,700 2,470 Centene* 104,600 2,618 Cephalon (B)* 232,000 10,769 Cerner (B)* 8,900 774 Chemed 48,730 2,112 China Medical Technologies ADR* 35,800 788 Coley Pharmaceutical Group* 15,500 282 Computer Programs & Systems 21,100 729 Conceptus (B)* 157,900 1,832 Connetics (B)* 53,200 900 Conor Medsystems (B)* 99,500 2,338 Crucell ADR* 40,600 1,088 Cubist Pharmaceuticals (B)* 394,500 8,498 CV Therapeutics (B)* 298,000 7,972 Depomed* 142,700 925 Digene* 55,300 1,576 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ DJ Orthopedics* 15,900 $ 460 Encysive Pharmaceuticals (B)* 541,900 6,384 Enzon Pharmaceuticals* 77,900 516 Exact Sciences* 151,000 275 Exelixis* 385,621 2,958 First Horizon Pharmaceutical (B)* 27,500 546 Genesis HealthCare* 21,300 859 Genitope (B)* 42,000 291 Gen-Probe* 21,700 1,073 Haemonetics* 6,300 299 HealthTronics* 69,500 692 Human Genome Sciences (B)* 127,500 1,733 Immucor (B)* 121,900 3,345 Incyte (B)* 392,500 1,845 Intermagnetics General* 105,023 2,934 IRIS International (B)* 109,855 2,026 Isis Pharmaceuticals (B)* 199,300 1,006 Ista Pharmaceuticals (B)* 101,300 673 Keryx Biopharmaceuticals* 120,900 1,905 Kos Pharmaceuticals (B)* 28,600 1,914 Kosan Biosciences* 111,500 811 Langer* 95,300 485 Lifecell (B)* 44,300 958 LifePoint Hospitals* 62,900 2,751 Luminex* 13,700 138 Magellan Health Services* 29,800 1,047 Medarex (B)* 412,100 3,923 Medcath* 37,000 879 Medicis Pharmaceutical, Cl A (B) 107,600 3,503 Mentor 53,000 2,916 MGI Pharma* 133,100 3,103 Micrus Endovascular* 77,800 769 MWI Veterinary Supply* 5,200 104 Myogen (B)* 25,900 609 Nabi Biopharmaceuticals (B)* 73,700 965 Nastech Pharmaceutical (B)* 141,800 2,005 Nektar Therapeutics (B)* 168,700 2,859 Neose Technologies* 236,500 556 NitroMed (B)* 64,400 1,159 Odyssey HealthCare* 21,400 363 Option Care (B) 96,980 1,420 OraSure Technologies* 208,800 1,969 Orchid Cellmark* 110,800 942 Pain Therapeutics (B)* 265,800 1,672 PainCare Holdings (B)* 373,300 1,400 Par Pharmaceutical (B)* 79,300 2,111 Pediatrix Medical Group* 2,300 177 PolyMedica 61,200 2,138 PRA International* 26,200 794 Protein Design Labs (B)* 91,400 2,559 PSS World Medical* 282,400 3,767 Psychiatric Solutions (B)* 87,205 4,729 Radiation Therapy Services (B)* 32,500 1,035 Renovis (B)* 49,800 674 Rigel Pharmaceuticals (B)* 93,400 2,220 Rotech Healthcare* 65,000 1,541 - -------------------------------------------------------------------------------- 70 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ SeraCare Life Sciences* 45,400 $ 806 SFBC International* 88,040 3,908 SurModics (B)* 77,650 3,004 Symmetry Medical* 57,700 1,368 Taro Pharmaceuticals Industries (B)* 81,500 2,097 Techne (B)* 13,800 786 Telik* 220,600 3,609 Third Wave Technologies* 435,800 2,157 Transgenomic (B)* 390,200 390 U.S. Physical Therapy* 9,700 176 United Therapeutics (B)* 64,500 4,502 ViaCell* 18,400 107 Vasogen* 156,400 330 Vital Signs 5,900 272 West Pharmaceutical Services 37,100 1,101 Zymogenetics* 50,000 825 ---------- 205,881 ---------- INDUSTRIALS -- 11.0% Aaon* 9,500 175 ABX Air* 58,100 476 Active Power (B)* 130,400 539 Advisory Board* 49,863 2,595 AGCO (B)* 140,000 2,548 Airtran Holdings (B)* 55,600 704 Alliant Techsystems (B)* 22,550 1,683 American Ecology 42,300 830 Apogee Enterprises 45,500 778 Applied Signal Technology 34,200 653 Aries Maritime Transport* 145,500 2,182 Arlington Tankers 103,000 2,413 Armor Holdings (B)* 45,600 1,961 Artesyn Technologies (B)* 4,900 46 Aviall* 32,200 1,088 Beacon Roofing Supply* 14,160 463 Blount International* 194,000 3,422 Bucyrus International, Cl A 17,000 835 Ceradyne (B)* 44,550 1,634 Clarcor 15,700 451 Clean Harbors (B)* 54,800 1,860 Collectors Universe* 14,100 179 Consolidated Graphics* 17,300 745 Corrections of America* 12,000 476 CoStar Group* 22,700 1,061 CRA International* 3,400 142 DiamondCluster International* 13,800 105 DRS Technologies 20,700 1,022 EDO 68,800 2,066 EMCOR Group* 8,600 510 ESCO Technologies (B)* 58,190 2,914 ExpressJet Holdings* 137,600 1,234 Franklin Electric 12,000 497 Freightcar America 34,300 1,399 FTI Consulting* 37,100 937 Gardner Denver* 20,300 905 GrafTech International* 373,800 2,030 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Grupo Aeroportuario del Sureste ADR 34,500 $ 1,377 HUB Group, Cl A (B)* 97,560 3,581 Innovative Solutions & Support* 32,400 503 Iron Mountain* 62,300 2,286 JLG Industries 16,500 604 Joy Global 77,440 3,908 K&F Industries Holdings* 30,400 509 Knight Transportation 70,950 1,728 Korn/Ferry International* 24,700 405 Labor Ready (B)* 126,285 3,239 Lennox International (B) 98,200 2,692 Lincoln Electric Holdings 57,100 2,250 LKQ (B)* 39,000 1,178 Maritrans 5,900 189 Mercury Computer Systems* 63,500 1,667 Mesa Air Group (B)* 27,500 227 Mine Safety Appliances 3,300 128 Mobile Mini* 20,900 906 Moog, Cl A* 64,717 1,910 MTC Technologies* 35,100 1,122 Navigant Consulting (B)* 181,400 3,476 NCI Building Systems (B)* 117,000 4,772 Nordson 15,000 570 Old Dominion Freight Line* 48,200 1,614 Pinnacle Airlines* 37,200 242 RailAmerica* 49,600 590 Rent-Way* 67,600 464 Republic Airways Holdings* 7,900 113 Resources Connection (B)* 116,500 3,452 Ritchie Bros. Auctioneers 49,500 2,177 Sauer-Danfoss 14,900 298 Senomyx* 30,500 519 Simpson Manufacturing 45,000 1,761 Skywest 32,600 874 Sun Hydraulics 45,000 1,094 Surebeam, Cl A (B)* 580,855 1 Sypris Solutions 110,345 1,185 Terex* 34,300 1,695 TNS* 14,700 356 United Rentals* 136,200 2,685 Universal Display (B)* 16,200 181 Universal Forest Products (B) 33,200 1,903 Universal Truckload Services* 92,300 1,715 USA Truck* 48,700 1,232 Ventiv Health* 107,165 2,809 VistaPrint* 27,300 416 Wabash National 22,800 448 Wabtec 81,300 2,218 Walter Industries (B) 19,300 944 Waste Connections (B)* 19,600 688 World Air Holdings* 63,400 672 Wright Express (B)* 137,000 2,958 ---------- 118,089 ---------- INFORMATION TECHNOLOGY -- 29.0% Adaptec (B)* 560,100 2,145 Adtran 11,900 375 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 71 STATEMENT OF NET ASSETS Small Cap Growth Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Advent Software* 17,000 $ 458 Aeroflex* 77,600 726 Agile Software* 153,900 1,103 Akamai Technologies (B)* 238,300 3,801 Altera (B)* 256,800 4,907 American Reprographics* 125,700 2,149 AMIS Holdings* 67,800 804 Ansoft* 13,300 387 Ansys (B)* 60,170 2,316 aQuantive (B)* 293,200 5,902 Arris Group* 41,600 493 Aspen Technology* 200,900 1,256 Asyst Technologies* 349,000 1,626 ATMI (B)* 46,750 1,449 Audible* 38,300 471 Avid Technology (B)* 36,100 1,495 Bell Microproducts* 16,600 167 BISYS Group* 95,500 1,283 Blackbaud 209,494 2,969 Blue Coat Systems* 4,800 209 Brooks Automation (B)* 299,600 3,994 Cabot Microelectronics (B)* 17,100 502 CCC Information Services Group* 6,200 162 CNET Networks* 67,300 913 Cognex 68,892 2,072 CommScope* 107,100 1,857 Comtech Telecommunications* 59,300 2,459 Corillian* 399,192 1,277 Covansys* 29,200 466 Credence Systems (B)* 665,340 5,309 CSG Systems International* 88,200 1,915 Cymer* 97,400 3,051 Daktronics 24,900 597 Digi International* 18,000 193 Digimarc* 363,200 2,462 Digital Insight* 109,555 2,855 Digital River (B)* 31,500 1,098 Digitas* 78,600 893 Diodes* 77,905 2,825 Dot Hill Systems* 306,500 2,063 Earthlink (B)* 372,600 3,987 eCollege.com (B)* 68,500 1,018 EFJ* 156,600 1,611 Emulex (B)* 219,600 4,438 Entegris* 149,827 1,693 EPIQ Systems* 21,100 460 F5 Networks (B)* 31,300 1,361 Fargo Electronics* 24,700 432 FEI (B)* 157,300 3,028 Formfactor* 51,200 1,168 Genesis Microchip (B)* 114,600 2,515 GSI Commerce (B)* 56,320 1,121 Harmonic* 283,200 1,648 Homestore* 693,200 3,015 Hutchinson Technology (B)* 189,300 4,945 Identix (B)* 399,900 1,880 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Imation 46,500 $ 1,993 Immersion (B)* 544,900 3,820 Informatica* 18,500 222 InPhonic (B)* 103,400 1,422 Integrated Device Technology* 196,740 2,113 Interdigital Communications* 34,400 676 Intergraph* 10,200 456 Intermix Media (B)* 23,100 276 International Rectifier (B)* 14,300 645 Internet Security Systems* 55,600 1,335 Intervideo* 53,600 538 InterVoice* 28,000 252 Interwoven* 92,000 752 Intrado* 34,800 627 Iomega* 439,000 1,321 iPayment* 38,700 1,464 Itron* 12,800 584 Ixia* 44,700 658 IXYS* 25,900 274 j2 Global Communications (B)* 12,900 521 Jupitermedia* 246,500 4,366 Kanbay International* 15,800 297 Kenexa* 87,130 1,091 KFX (B)* 123,000 2,106 Komag* 207,920 6,645 Kronos* 13,500 603 Kulicke & Soffa Industries* 44,200 320 Lattice Semiconductor* 1,177,800 5,041 Leadis Technology* 276,600 1,895 Lionbridge Technologies* 191,300 1,291 LivePerson* 154,600 584 Macrovision* 77,900 1,488 Matrixone* 268,000 1,410 MAXIMUS 56,670 2,026 Maxtor* 797,300 3,508 Mentor Graphics* 198,700 1,709 Merge Technologies (B)* 68,100 1,164 Metrologoc Instruments* 20,300 369 Micrel (B)* 19,300 217 Micromuse (B)* 268,700 2,117 Micros Systems (B)* 135,725 5,938 Microsemi* 179,235 4,578 MicroStrategy, Cl A (B)* 29,700 2,088 Molecular Devices* 21,300 445 Motive* 157,330 997 MTS Systems 34,900 1,318 Multi-Fineline Electronix (B)* 65,815 1,926 Netgear (B)* 107,280 2,581 NMS Communications* 191,500 709 O2Micro International* 156,400 2,462 Omnivision Technologies (B)* 141,500 1,786 Open Solutions* 36,400 794 Openwave Systems (B)* 55,300 994 OSI Systems (B)* 148,500 2,346 Packeteer* 25,800 324 Palm (B)* 25,200 714 - -------------------------------------------------------------------------------- 72 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ PAR Technology* 23,600 $ 543 Parametric Technology* 142,000 990 Paxar* 80,500 1,356 Perot Systems, Cl A* 111,800 1,582 Photronics (B)* 121,200 2,351 Pixelworks* 561,050 3,697 Plantronics 125,900 3,879 Plexus* 8,800 150 PLX Technology* 327,299 2,730 Polycom* 575,300 9,303 Power Integrations* 77,600 1,688 Powerwave Technologies (B)* 213,100 2,768 ProQuest* 36,800 1,332 Quality Systems 27,790 1,920 Radisys* 63,100 1,224 Red Hat (B)* 207,000 4,386 Redback Networks* 93,100 924 Rentech Inc* 773,000 1,956 RightNow Technologies (B)* 70,252 1,034 RSA Security* 178,100 2,264 Rudolph Technologies* 154,600 2,082 SafeNet* 19,300 701 SBA Communications, Cl A* 218,425 3,375 ScanSoft (B)* 490,700 2,615 Seachange International* 227,500 1,447 Secure Computing* 267,200 3,033 Semtech* 44,500 733 Serena Software (B)* 153,600 3,061 Sigmatel* 73,000 1,478 Silicon Image* 20,300 180 Sina (B)* 22,700 624 Sirf Technology Holdings (B)* 301,951 9,098 Skyworks Solutions* 413,600 2,903 Sonic Solutions (B)* 60,700 1,305 Sonus Networks* 87,200 506 Spatialight (B)* 375,400 1,648 STATS ChipPAC ADR (B)* 197,882 1,243 Stratasys* 41,150 1,222 SupportSoft* 206,400 1,040 Symmetricom (B)* 245,700 1,902 Taleo, Cl A* 63,500 857 Tekelec (B)* 138,500 2,902 Tessera Technologies (B)* 108,791 3,254 TIBCO Software (B)* 237,900 1,989 TradeStation Group* 201,600 2,044 Trident Microsystems* 77,635 2,470 Triquint Semiconductor* 838,000 2,950 Ultra Clean Holdings* 158,400 947 United Online 27,700 384 Viasat* 17,000 436 WebEx Communications* 41,000 1,005 Websense* 74,200 3,800 WebSideStory* 39,500 700 Western Digital* 226,600 2,930 Wind River Systems* 71,500 924 ---------- 309,835 ---------- - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ MATERIALS -- 2.1% AK Steel Holding (B)* 171,800 $ 1,472 Alpha Natural Resources* 14,900 448 Balchem 6,300 174 Cleveland-Cliffs (B) 35,200 3,066 Eagle Materials (B) 12,600 1,529 Ferro 40,800 747 Foundation Coal Holdings 19,000 731 Greif, Cl A 4,600 276 Headwaters (B)* 13,500 505 Hercules* 164,700 2,013 James River Coal (B)* 21,600 1,090 Oregon Steel Mills* 16,100 449 Quanex 33,100 2,192 Reliance Steel & Aluminum 9,500 503 Silgan Holdings 10,400 346 Steel Dynamics 61,200 2,078 Symyx Technologies (B)* 120,500 3,147 Wheeling-Pittsburgh (B)* 123,400 2,065 ---------- 22,831 ---------- TELECOMMUNICATION SERVICES -- 1.2% Alamosa Holdings (B)* 176,115 3,013 Centennial Communications* 6,600 99 Fairpoint Communications 217,500 3,182 Jamdat Mobile (B)* 70,100 1,472 NeuStar, Cl A* 31,200 998 New Skies Satellites Holdings 94,000 1,979 Premiere Global Services* 141,100 1,154 Syniverse Holdings* 29,400 453 ---------- 12,350 ---------- UTILITIES -- 0.1% PNM Resources 42,650 1,223 ---------- Total Common Stock (Cost $971,954) ($ Thousands) 1,027,057 ---------- FOREIGN STOCK -- 2.0% Canaccord Capital 290,700 2,926 Dundee Wealth Management 188,491 1,575 Dundee+ 77,500 1,769 First Quantum Minerals 127,000 3,310 Grande Cache Coal* 392,500 2,503 OPTI Canada* 118,500 4,033 Railpower Technologies* 185,700 867 Railpower Technologies* 279,400 1,305 Synenco Ernergy (D) (G)* 37,852 457 Western Oil Sands, Cl A* 109,500 2,599 ---------- Total Foreign Stock (Cost $16,571) ($ Thousands) 21,344 ---------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 73 STATEMENT OF NET ASSETS Small Cap Growth Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Numbet of Warrants --------- WARRANTS -- 0.0% Parkervision, Expires 03/10/10 (D) (G)* 17,500 $ 46 ---------- Total Warrants (Cost $36) ($ Thousands) 46 ---------- CORPORATE OBLIGATIONS (C) -- 11.9% FINANCIALS -- 11.9% Allstate Life Global Funding II MTN (F) 3.788%, 10/16/06 $ 1,771 1,771 American General Finance (F) (H) 3.768%, 10/16/06 12,438 12,437 American General Finance MTN, Ser F 5.875%, 07/14/06 385 393 CCN Bluegrass (F) 3.859%, 08/18/06 2,503 2,503 CIT Group MTN (F) 3.790%, 05/12/06 9,627 9,627 3.714%, 04/19/06 963 964 Caterpillar Financial Services MTN, Ser F (F) 3.670%, 07/10/06 1,925 1,925 Countrywide Financial Services MTN, Ser A (F) 3.920%, 09/13/06 7,124 7,124 3.760%, 07/31/06 1,925 1,925 Countrywide Home Loans MTN, Ser M (F) 3.851%, 11/30/05 2,464 2,464 3.760%, 01/31/06 847 847 Dekabank (F) 3.614%, 08/19/06 7,124 7,122 Irish Life & Permanent MTN, Ser X (F) 3.812%, 09/21/06 5,121 5,120 Islandsbanki (F) (H) 3.869%, 09/22/06 3,273 3,273 Jackson National Life Funding (F) (H) 3.693%, 10/02/06 8,472 8,472 K2 LLC MTN (F) 3.809%, 12/12/05 231 231 Liberty Lighthouse US Capital MTN (F) 3.688%, 05/10/06 3,851 3,848 Morgan Stanley EXL (F) 3.710%, 10/04/06 1,348 1,348 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Morgan Stanley EXL, Ser S (F) 3.670%, 10/03/06 $ 1,925 $ 1,925 Natexis Banques (F) 3.810%, 10/16/06 3,754 3,754 Nationwide Building Society (F) (H) 4.030%, 07/28/06 1,925 1,926 3.689%, 01/06/06 3,851 3,851 Nordbank (F) (H) 3.830%, 09/25/06 6,546 6,545 Northern Rock (F) (H) 3.690%, 10/03/06 3,966 3,966 Pacific Life Global Funding (F) (H) 3.760%, 10/13/06 2,888 2,888 Premium Asset Trust, Ser 2004-01 (F) (H) 3.800%, 02/06/06 4,005 4,008 Premium Asset Trust, Ser 2004-06 (F) (H) 3.941%, 06/30/06 3,658 3,661 Premium Asset Trust, Ser 2004-10 (F) (H) 3.778%, 10/16/06 5,391 5,391 SLM EXL, Ser S (F) 3.768%, 10/16/06 4,236 4,236 SLM MTN, Ser X (F) 3.796%, 10/20/06 7,701 7,701 Skandinav Enskilda Bank (F) 3.779%, 10/17/06 4,236 4,235 White Pine Finance MTN, Ser 1 (F) 3.663%, 11/01/05 1,694 1,694 ---------- Total Corporate Obligations (Cost $127,175) ($ Thousands) 127,175 ---------- COMMERCIAL PAPER (C) (E) -- 4.4% FINANCIALS -- 4.4% Altius I Funding 3.864%, 10/27/05 5,776 5,755 Arlington Funding 3.857%, 10/14/05 4,217 4,209 Brahms Funding 3.861%, 10/26/05 1,540 1,536 Buckingham 3.940%, 11/14/05 702 698 Cre-8 Funding 3.908%, 11/01/05 1,925 1,917 3.902%, 10/28/05 3,851 3,839 3.862%, 10/19/05 1,925 1,920 3.762%, 10/07/05 1,155 1,152 - -------------------------------------------------------------------------------- 74 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Davis Square V Funding 3.934%, 11/02/05 $ 7,701 $ 7,674 3.932%, 10/28/05 385 384 Main Street Warehouse Funding 3.881%, 10/24/05 3,851 3,840 Rams Funding 3.879%, 10/18/05 4,172 4,162 3.863%, 10/27/05 4,091 4,078 3.861%, 10/19/05 1,878 1,873 3.861%, 10/20/05 1,317 1,313 Rhineland Funding 4.027%, 11/28/05 870 864 3.871%, 10/24/05 1,467 1,463 ---------- Total Commercial Paper (Cost $46,677) ($ Thousands) 46,677 ---------- ASSET-BACKED SECURITIES (C) -- 3.7% AUTOMOTIVE -- 0.4% Capital Auto Receivables Asset Trust, Ser 2005-SN1A, Cl A1 3.327%, 05/15/06 3,908 3,908 Drivetime Auto Owner Trust, Ser 2005-B, Cl A1 (F) 3.788%, 01/15/06 508 508 ---------- 4,416 ---------- MORTGAGE RELATED SECURITIES -- 3.3% Blue Heron Funding, Ser 9A, Cl A1 (F) 3.860%, 02/22/06 3,851 3,851 CCN Independence IV (F) 3.842%, 10/17/05 2,118 2,118 3.838%, 07/17/06 1,348 1,348 Cheyne High Grade, Ser 2004-1A, Cl A1 (F) 3.780%, 11/10/05 2,214 2,214 Commodore, Ser 2003-2A, Cl A1MM (F) 3.914%, 12/12/05 1,771 1,771 Duke Funding, Ser 2004-6B, Cl A1S1 (F) 3.630%, 10/10/06 2,888 2,888 Harwood Street Funding II, Ser 2005-1A, Cl NOTE (F) 3.880%, 06/25/06 3,851 3,851 Orchid Structured Finance, Ser 2003-1A, Cl A1MM (F) 3.902%, 11/18/05 3,388 3,388 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AMM2 (F) 3.880%, 11/25/05 4,557 4,557 RMAC, Ser 2004-NS3A, Cl A1 (F) 3.728%, 09/12/06 1,260 1,260 - ------------------------------------------------------------ Shares/Face Amount Market Value Description ($Thousands) ($ Thousands) - ------------------------------------------------------------ Saturn Ventures II (F) 3.749%, 02/07/06 $ 3,851 $ 3,851 TIAA Real Estate, Ser 2003 1A, Cl A1 (F) 3.868%, 09/28/06 2,486 2,486 Whitehawk CDO Funding, Ser 2004-1A, Cl AMMD (F) 3.890%, 06/15/06 963 963 Whitehawk CDO Funding, Ser 2004-1A, Cl AMME (F) 3.890%, 09/15/06 578 578 ---------- 35,124 ---------- Total Asset-Backed Securities (Cost $39,540) ($ Thousands) 39,540 ---------- CASH EQUIVALENTS -- 2.2% First Union Cash Management Program 2,020,357 2,020 SEI Daily Income Trust, Prime Obligation Fund, Cl A++ 21,784,108 21,784 ---------- Total Cash Equivalents (Cost $23,804) ($ Thousands) 23,804 ---------- MASTER NOTES (C) -- 1.3% Bank of America 4.018%, 10/01/05 9,627 9,627 Bear Stearns 4.113%, 10/01/05 4,621 4,621 ---------- Total Master Notes (Cost $14,248) ($ Thousands) 14,248 ---------- U.S. TREASURY OBLIGATION (A) -- 0.2% U.S. Treasury Bills 3.455%, 11/25/05 1,635 1,627 ---------- Total U.S. Treasury Obligation (Cost $1,626) ($ Thousands) 1,627 ---------- REPURCHASE AGREEMENTS (C) -- 4.5% Barclays Capital Markets 3.840%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $24,144,323 (collateralized by various U.S. Government Obligations, ranging in par value $4,007,871-$16,037,798, 1.875%-7.250%, 06/15/06-01/15/10; with total market value $24,635,760) 24,137 24,137 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 75 STATEMENT OF NET ASSETS Small Cap Growth Fund (Concluded) September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Deutsche Bank Securites 3.750%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $18,876,479 (collateralized by various U.S. Government Obligations, ranging in par value $42,502-$5,082,954, 0.000%-5.875%, 10/07/05-09/29/25; with total market value $19,248,022) $18,871 $ 18,871 Lehman Brothers 3.820%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $5,200,131 (collateralized by various U.S. Government Obligations, ranging in par value $349,068-$4,034,980, 0.000%-3.500%, 08/15/06-04/15/30; with total market value $5,302,628) 5,198 5,198 ---------- Total Repurchase Agreements (Cost $48,206) ($ Thousands) 48,206 ---------- Total Investments -- 126.2% (Cost $1,289,837) ($ Thousands) 1,349,724 ---------- OTHER ASSETS AND LIABILITIES -- (26.2)% Payable Upon Return on Securities Loaned (275,846) Payable for Investment Securities Purchased (13,410) Payable for Fund Shares Redeemed (1,213) Investment Advisory Fees Payable (567) Administration Fees Payable (307) Shareholder Servicing Fees Payable (74) Administration Servicing Fees Payable (2) Other Assets and Liabilities, Net 11,185 ---------- Total Other Assets & Liabilities (280,234) ---------- Net Assets-- 100.0% $1,069,490 ========== - ------------------------------------------------------------ Value Description ($ Thousands) - ------------------------------------------------------------ NET ASSETS: Paid-in-Capital (unlimited authorization-- no par value) $1,118,660 Accumulated net investment loss (113) Accumulated net realized loss on investments and futures contracts (108,823) Net unrealized appreciation on investments 59,887 Net unrealized depreciation on futures contracts (121) ---------- Net Assets $1,069,490 ========== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($1,058,412,504 / 59,248,698 shares) $17.86 ====== Net Asset Value, Offering and Redemption Price Per Share -- Class I ($11,077,343 / 626,800 shares) $17.67 ====== Futures -- A summary of the open futures contracts held by the fund at September 30, 2005, is as follows: (see Note 2 in Notes to Financial Statements) - ------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION DEPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) - ------------------------------------------------------------- Russell 2000 Index MINI 277 December 2005 $(121) * Non-income producing security. ** Narrow industries are utilized for compliance purposes, 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 September 30, 2005. The total value of securities on loan at September 30, 2005 was $267,334 ($ Thousands). (C) This security was purchased with cash collateral held from securities lending. The total value of such securities as of September 30, 2005 was $275,846 ($ Thousands). (D) Securities considered restricted and securities are 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 September 30, 2005 was $2,682 ($ Thousands) and represented 0.25% of Net Assets. (E) The rate reported is the effective yield at time of purchase. (F) Variable Rate Security -- The rate and date reported on the Statement of Net Assets is the rate and date in effect as of September 30, 2005. (G) Securities considered illiquid. The total value of such securities as of September 30, 2005 was $4,651 ($ Thousands) and represented 0.43% of Net Assets. (H) 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." ADR -- American Depositary Receipt CDO -- Collateralized Debt Obligation Cl -- Class EXL -- Extendable Maturity LLC -- Limited Liability Company MTN -- Medium Term Note Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 76 SEI Institutional Managed Trust / Annual Report / September 30, 2005 Mid-Cap Fund September 30, 2005 - ------------------------------------------------------------ SECTOR WEIGHTINGS# (UNAUDITED): [BAR GRAPH OMITTED] 23.9% Financials 16.6% Information Technology 10.6% Consumer Discretionary 9.2% Health Care 8.5% Materials 6.2% Short-Term Investments 6.0% Industrials 5.3% Consumer Staples 5.2% Utilities 4.9% Energy 2.2% Asset-Backed Securities 1.2% Telecommunication Services 0.2% U.S. Treasury Obligations #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ COMMON STOCK -- 96.3% CONSUMER DISCRETIONARY -- 12.4% Abercrombie & Fitch, Cl A (B) 2,200 $ 110 American Eagle Outfitters 15,800 372 Autoliv 12,100 526 Black & Decker 10,100 829 BorgWarner 4,600 260 Brunswick 7,300 275 Darden Restaurants 24,300 738 Eastman Kodak (B) 27,800 676 Entercom Communications* 2,200 69 Federated Department Stores 13,200 883 GTECH Holdings 18,700 600 Johnson Controls 6,300 391 Meredith 2,500 125 Michaels Stores 7,200 238 NVR (B)* 900 796 Polaris Industries 7,400 367 Rent-A-Center* 13,250 256 Sirius Satellite Radio (B)* 10,200 67 Stanley Works 17,100 798 Station Casinos 4,400 292 Univision Communications, Cl A (B)* 7,200 191 -------- 8,859 -------- CONSUMER STAPLES -- 6.3% Archer-Daniels-Midland 23,000 567 BJ's Wholesale Club* 26,100 726 Energizer Holdings (B)* 11,200 635 Kroger* 9,400 193 Loews-Carolina Group 23,500 931 Pepsi Bottling Group 10,400 297 Pilgrim's Pride 30,600 1,114 -------- 4,463 -------- - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ ENERGY -- 5.7% Amerada Hess (B) 700 $ 96 Chesapeake Energy 4,200 161 Patterson-UTI Energy (B) 14,700 530 Plains Exploration & Production* 30,300 1,297 Sunoco (B) 10,600 829 Unit* 16,600 918 Vintage Petroleum 5,600 256 -------- 4,087 -------- FINANCIALS -- 17.0% A.G. Edwards 22,400 981 AmeriCredit (B)* 4,200 100 Assurant 6,400 244 Bank of Hawaii (B) 18,500 911 CBL & Associates Properties+ 25,400 1,041 City National 5,800 407 Comerica 10,600 624 Commerce Group 3,200 186 Conseco* 4,700 99 Downey Financial 8,600 524 E*Trade Financial* 4,600 81 Federated Investors, Cl B (B) 14,700 488 First American 4,100 187 Genworth Financial, Cl A 27,000 870 HCC Insurance Holdings 10,650 304 Hospitality Properties Trust (B)+ 7,000 300 HRPT Properties Trust+ 34,000 422 Nationwide Financial Services, Cl A 27,900 1,117 Nuveen Investments, Cl A 8,600 339 Public Storage+ 1,300 87 Regency Centers (B)+ 6,700 385 SL Green Realty+ 8,300 566 Synovus Financial 2,800 78 UnionBanCal 16,300 1,136 Vornado Realty Trust (B)+ 7,100 615 -------- 12,092 -------- HEALTH CARE -- 10.9% AmerisourceBergen (B) 9,300 719 Applera--Applied Biosystems Group 10,200 237 Barr Pharmaceuticals* 6,400 352 Bausch & Lomb 13,000 1,049 Celgene (B)* 600 33 Cephalon* 4,100 190 Community Health Systems (B)* 4,100 159 Edwards Lifesciences* 7,300 324 Genzyme* 2,800 201 Invitrogen (B)* 2,600 196 Kinetic Concepts* 3,200 182 King Pharmaceuticals* 16,200 249 Kos Pharmaceuticals* 1,800 120 Lincare Holdings* 4,800 197 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 77 STATEMENT OF NET ASSETS Mid-Cap Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ McKesson 20,200 $ 959 Medimmune* 100 3 Mettler Toledo International* 15,000 765 Millipore* 3,100 195 PerkinElmer 11,200 228 Protein Design Labs* 2,900 81 Techne (B)* 3,300 188 Triad Hospitals (B)* 8,400 380 Universal Health Services, Cl B (B) 15,100 719 -------- 7,726 -------- INDUSTRIALS -- 7.0% Burlington Northern Santa Fe 20,000 1,196 CNF 6,600 346 Crane 5,200 155 CSX 2,100 98 Cummins 12,900 1,135 Eaton 1,800 114 JB Hunt Transport Services (B) 24,900 473 Laidlaw International* 25,900 626 RR Donnelley & Sons 5,100 189 Ryder System 19,800 678 -------- 5,010 -------- INFORMATION TECHNOLOGY -- 19.5% Agere Systems* 93,700 975 Alliance Data Systems* 16,000 626 Amphenol, Cl A 22,300 900 Arrow Electronics* 14,800 464 Avnet* 30,100 736 BMC Software* 20,700 437 Cadence Design Systems (B)* 14,800 239 Computer Sciences (B)* 27,100 1,282 Electronic Data Systems 10,800 242 Fair Isaac 2,300 103 Global Payments 11,600 902 Harris 13,600 568 Intuit* 3,400 152 Jabil Circuit* 13,200 408 McAfee* 17,400 547 MEMC Electronic Materials* 46,800 1,067 NCR* 12,100 386 Nvidia* 2,900 99 Reynolds & Reynolds, Cl A 37,900 1,039 Sabre Holdings, Cl A 20,200 410 Synopsys* 5,400 102 VeriSign* 16,100 344 Western Digital* 71,000 918 Xerox (B)* 67,000 915 -------- 13,861 -------- - ------------------------------------------------------------ Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ MATERIALS -- 10.0% Crown Holdings* 10,400 $ 166 Eastman Chemical 14,100 662 FMC* 13,500 772 Freeport-McMoRan Copper & Gold, Cl B (B) 3,200 156 Georgia-Pacific 16,700 569 Lafarge North America 7,800 527 Lubrizol 18,500 802 Martin Marietta Materials 14,200 1,114 Nucor 1,300 77 Owens-Illinois* 6,300 130 Phelps Dodge 11,500 1,494 USG (B)* 9,300 639 -------- 7,108 -------- TELECOMMUNICATION SERVICES -- 1.4% CenturyTel (B) 25,000 875 Telewest Global* 5,500 126 -------- 1,001 -------- UTILITIES -- 6.1% AES* 24,400 401 Centerpoint Energy (B) 41,300 614 National Fuel Gas 3,500 120 Pepco Holdings (B) 38,200 889 Sempra Energy 13,224 622 TXU 12,400 1,400 Wisconsin Energy 7,300 291 -------- 4,337 -------- Total Common Stock (Cost $58,552) ($ Thousands) 68,544 -------- CORPORATE OBLIGATIONS (C) -- 8.2% FINANCIALS -- 8.2% Allstate Life Global Funding II MTN (E) 3.788%, 10/16/06 $ 81 81 American General Finance (E) (F) 3.768%, 10/16/06 569 569 American General Finance MTN, Ser F 5.875%, 07/14/06 18 18 CCN Bluegrass (E) 3.859%, 08/18/06 114 114 CIT Group MTN (E) 3.790%, 05/12/06 440 440 3.714%, 04/19/06 44 44 Caterpillar Financial Services MTN, Ser F (E) 3.670%, 07/10/06 88 88 - -------------------------------------------------------------------------------- 78 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Countrywide Financial Services MTN, Ser A (E) 3.920%, 09/13/06 $ 326 $ 326 3.760%, 07/31/06 88 88 Countrywide Home Loans MTN, Ser M (E) 3.851%, 11/30/05 113 113 3.760%, 01/31/06 39 39 Dekabank (E) 3.614%, 08/19/06 326 326 Irish Life & Permanent MTN, Ser X (E) 3.812%, 09/21/06 234 234 Islandsbanki (E) (F) 3.869%, 09/22/06 150 150 Jackson National Life Funding (E) (F) 3.693%, 10/02/06 387 387 K2 LLC MTN (E) 3.809%, 12/12/05 11 11 Liberty Lighthouse US Capital MTN (E) 3.688%, 05/10/06 176 176 Morgan Stanley EXL (E) 3.710%, 10/04/06 62 62 Morgan Stanley EXL, Ser S (E) 3.670%, 10/03/06 88 88 Natexis Banques (E) 3.810%, 10/16/06 172 172 Nationwide Building Society (E) (F) 4.030%, 07/28/06 88 88 3.689%, 01/06/06 176 176 Nordbank (E) (F) 3.830%, 09/25/06 299 299 Northern Rock (E) (F) 3.690%, 10/03/06 181 181 Pacific Life Global Funding (E) (F) 3.760%, 10/13/06 132 132 Premium Asset Trust, Ser 2004-01 (E) (F) 3.800%, 02/06/06 183 183 Premium Asset Trust, Ser 2004-06 (E) (F) 3.941%, 06/30/06 167 167 Premium Asset Trust, Ser 2004-10 (E) (F) 3.778%, 10/16/06 246 246 SLM EXL, Ser S (E) 3.768%, 10/16/06 194 194 SLM MTN, Ser X (E) 3.796%, 10/20/06 352 352 Skandinav Enskilda Bank (E) 3.779%, 10/17/06 194 194 White Pine Finance MTN, Ser 1 (E) 3.663%, 11/01/05 77 77 -------- Total Corporate Obligations (Cost $5,815) ($ Thousands) 5,815 -------- - ------------------------------------------------------------ Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ CASH EQUIVALENT -- 3.3% SEI Daily Income Trust, Prime Obligation Fund, Cl A++ 2,363,266 $ 2,363 -------- Total Cash Equivalent (Cost $2,363) ($ Thousands) 2,363 -------- COMMERCIAL PAPER (C) (D) -- 3.0% FINANCIALS -- 3.0% Altius I Funding 3.864%, 10/27/05 $ 264 263 Arlington Funding 3.857%, 10/14/05 193 192 Brahms Funding 3.861%, 10/26/05 70 70 Buckingham 3.940%, 11/14/05 32 32 Cre-8 Funding 3.908%, 11/01/05 88 88 3.902%, 10/28/05 176 175 3.862%, 10/19/05 88 88 3.762%, 10/07/05 53 53 Davis Square V Funding 3.934%, 11/02/05 352 351 3.932%, 10/28/05 18 18 Main Street Warehouse Funding 3.881%, 10/24/05 176 176 Rams Funding 3.879%, 10/18/05 191 190 3.863%, 10/27/05 187 186 3.861%, 10/19/05 86 86 3.861%, 10/20/05 60 60 Rhineland Funding 4.027%, 11/28/05 40 39 3.871%, 10/24/05 67 67 -------- Total Commercial Paper (Cost $2,134) ($ Thousands) 2,134 -------- ASSET-BACKED SECURITIES (C) -- 2.6% AUTOMOTIVE -- 0.3% Capital Auto Receivables Asset Trust, Ser 2005-SN1A, Cl A1 3.327%, 05/15/06 179 179 Drivetime Auto Owner Trust, Ser 2005-B, Cl A1 (E) 3.788%, 01/15/06 23 23 -------- 202 -------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 79 STATEMENT OF NET ASSETS Mid-Cap Fund (Concluded) September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ MORTGAGE RELATED SECURITIES -- 2.3% Blue Heron Funding, Ser 9A, Cl A1 (E) 3.860%, 02/22/06 $ 176 $ 176 CCN Independence IV (E) 3.842%, 10/17/05 97 97 3.838%, 07/17/06 62 62 Cheyne High Grade, Ser 2004-1A, Cl A1 (E) 3.780%, 11/10/05 101 101 Commodore, Ser 2003-2A, Cl A1MM (E) 3.914%, 12/12/05 81 81 Duke Funding, Ser 2004-6B, Cl A1S1 (E) 3.630%, 10/10/06 132 132 Harwood Street Funding II, Ser 2005-1A, Cl NOTE (E) 3.880%, 06/25/06 176 176 Orchid Structured Finance, Ser 2003-1A, Cl A1MM (E) 3.902%, 11/18/05 155 155 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AMM2 (E) 3.880%, 11/25/05 208 208 RMAC, Ser 2004-NS3A, Cl A1 (E) 3.728%, 09/12/06 58 58 Saturn Ventures II (E) 3.749%, 02/07/06 176 176 TIAA Real Estate, Ser 2003 1A, Cl A1 (E) 3.868%, 09/28/06 114 114 Whitehawk CDO Funding, Ser 2004-1A, Cl AMMD (E) 3.890%, 06/15/06 44 44 Whitehawk CDO Funding, Ser 2004-1A, Cl AMME (E) 3.890%, 09/15/06 26 26 -------- 1,606 -------- Total Asset-Backed Securities (Cost $1,808) ($ Thousands) 1,808 -------- MASTER NOTES (C) -- 0.9% Bank of America 4.018%, 10/01/05 440 440 Bear Stearns 4.113%, 10/01/05 212 212 -------- Total Master Notes (Cost $652) ($ Thousands) 652 -------- - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ U.S. TREASURY OBLIGATION (A) -- 0.2% U.S. Treasury Bills 3.381%, 12/15/05 $ 170 $ 169 -------- Total U.S. Treasury Obligation (Cost $168) ($ Thousands) 169 -------- REPURCHASE AGREEMENTS (C) -- 3.1% Barclays Capital Markets 3.840%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $1,104,024 (collateralized by various U.S. Government Obligations, ranging in par value $183,264-$733,345, 1.875%-7.250%, 06/15/06-01/15/10; with total market value $1,126,496) 1,104 1,104 Deutsche Bank Securites 3.750%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $863,146 (collateralized by various U.S. Government Obligations, ranging in par value $1,943-$232,423, 0.000%-5.875%, 10/07/05-09/29/25; with total market value $880,136) 863 863 Lehman Brothers 3.820%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $237,781 (collateralized by various U.S. Government Obligations, ranging in par value $15,961-$184,504, 0.000%-3.500%, 08/15/06-04/15/30; with total market value $242,468) 238 238 -------- Total Repurchase Agreements (Cost $2,205) ($ Thousands) 2,205 -------- Total Investments -- 117.6% (Cost $73,697) ($ Thousands) 83,690 -------- OTHER ASSETS AND LIABILITIES -- (17.6)% Payable Upon Return on Securities Loaned (12,614) Payable for Fund Shares Redeemed (35) Investment Advisory Fees Payable (23) Administration Fees Payable (20) Shareholder Servicing Fees Payable (12) Other Assets and Liabilities, Net 176 -------- Total Other Assets and Liabilities (12,528) -------- Net Assets -- 100.0% $ 71,162 ======== - -------------------------------------------------------------------------------- 80 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Value Description ($ Thousands) - ------------------------------------------------------------ NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 55,517 Undistributed net investment income 60 Accumulated net realized gain on investments and futures contracts 5,580 Net unrealized appreciation on investments 9,993 Net unrealized appreciation on futures contracts 12 -------- Net Assets $ 71,162 ======== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($71,161,790 / 3,507,063 shares) $20.29 ====== Futures -- A summary of the open futures contracts held by the fund at September 30, 2005, is as follows: (see Note 2 in Notes to Financial Statements) - ------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION APPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) - ------------------------------------------------------------- S&P 400 Index E-MINI 34 December 2005 $12 * 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 September 30, 2005 (see Note 7). The total value of securities on loan at September 30, 2005 was $12,337 ($ Thousands). (C) This security was purchased with cash collateral held from securities lending (see Note 7). The total value of such securities as of September 30, 2005 was $12,614 ($ Thousands). (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate and date reported on the Statement of Net Assets is the rate and date in effect as of September 30, 2005. (F) 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." CDO -- Collateralized Debt Obligation Cl -- Class EXL -- Extendable Maturity LLC -- Limited Liability Company MTN -- Medium Term Note Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 81 STATEMENT OF NET ASSETS Managed Volatility Fund September 30, 2005 - ------------------------------------------------------------ SECTOR WEIGHTINGS# (UNAUDITED): [BAR GRAPH OMITTED] 26.9% Financials 12.9% Health Care 10.6% Consumer Staples 9.9% Utilities 9.6% Short-Term Investments 6.9% Consumer Discretionary 5.9% Industrials 3.9% Energy 3.6% Information Technology 3.5% Asset-Backed Securities 3.1% Materials 3.1% Telecommunication Services 0.1% U.S. Treasury Obligations #Percentages based on total investments. - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ COMMON STOCK -- 94.4% CONSUMER DISCRETIONARY -- 9.1% Autoliv 11,700 $ 509 Autonation* 7,700 154 Belo, Cl A 16,100 368 Choice Hotels International 22,853 1,477 Dillard's, Cl A 16,000 334 EchoStar Communications, Cl A* 34,491 1,020 Fortune Brands 21,154 1,720 GTECH Holdings 19,100 612 H&R Block 14,200 341 Harte-Hanks 29,757 787 Hearst-Argyle Television 52,718 1,354 International Speedway, Cl A 7,300 383 ITT Educational Services* 11,600 572 John Wiley & Sons, Cl A 12,400 518 McClatchy, Cl A 12,254 799 Meredith 12,635 630 Panera Bread, Cl A* 6,300 322 Polaris Industries 9,200 456 Shaw Communications, Cl B 24,600 516 Starwood Hotels & Resorts Worldwide 6,100 349 TRW Automotive Holdings* 18,600 546 Valassis Communications* 12,800 499 VF 3,588 208 Yum! Brands 1,900 92 --------- 14,566 --------- CONSUMER STAPLES -- 14.0% 7-Eleven* 9,100 324 Albertson's 22,700 582 Brown-Forman, Cl B 20,539 1,223 Campbell Soup 6,368 190 Church & Dwight 12,400 458 Clorox 25,248 1,402 Coca-Cola Enterprises 68,239 1,331 Dean Foods* 11,400 443 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ General Mills 15,100 $ 728 Hershey 38,136 2,147 HJ Heinz 10,290 376 Hormel Foods 80,507 2,656 JM Smucker 25,880 1,256 Kellogg 58,705 2,708 Kimberly-Clark 25,989 1,547 Loews-Carolina Group 26,203 1,038 McCormick 15,000 490 Pepsi Bottling Group 28,077 802 PepsiAmericas 57,979 1,318 Pilgrim's Pride 5,468 199 Supervalu 2,800 87 WM Wrigley Jr. 15,648 1,125 --------- 22,430 --------- ENERGY -- 5.1% Chevron 5,300 343 ConocoPhillips 15,280 1,068 Exxon Mobil 12,900 820 Helmerich & Payne 6,300 380 Imperial Oil 7,100 817 Nexen 12,600 601 Petro-Canada 16,400 684 Quicksilver Resources* 10,200 487 Suncor Energy 6,700 406 Sunoco 8,400 657 Transcanada 24,100 736 Unit* 22,333 1,235 --------- 8,234 --------- FINANCIALS -- 15.0% Alleghany* 2,000 612 American Financial Group 47,129 1,599 Associated Banc 18,686 570 Bancorpsouth 6,100 139 BlackRock, Cl A 7,300 647 BOK Financial 6,083 293 Brookfield Properties 21,700 639 Cincinnati Financial 5,145 216 Commerce Bancshares 11,300 582 Commerce Group 17,439 1,012 Crescent Real Estate Equities+ 57,208 1,173 Federated Investors, Cl B 18,700 621 First American 5,840 267 Hospitality Properties Trust+ 25,176 1,079 International Bancshares 18,739 557 iStar Financial+ 36,825 1,489 Leucadia National 8,066 348 Loews 20,809 1,923 Markel* 1,923 636 Mercury General 5,165 310 Nuveen Investments, Cl A 15,000 591 - -------------------------------------------------------------------------------- 82 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Old Republic International 7,620 $ 203 PMI Group 15,200 606 Popular 53,192 1,288 RenaissanceRe Holdings 10,100 442 Safeco 6,520 348 Stancorp Financial Group 6,900 581 Student Loan 1,441 341 Synovus Financial 7,800 216 UnionBanCal 18,721 1,305 Valley National Bancorp 30,713 703 Webster Financial 9,460 425 Whitney Holding 16,300 441 WR Berkley 46,112 1,820 --------- 24,022 --------- HEALTH CARE -- 17.1% Abbott Laboratories 20,474 868 Alcon 5,700 729 Allergan 5,700 522 American Pharmaceutical Partners* 8,500 388 AmerisourceBergen 26,951 2,083 Barr Pharmaceuticals* 12,200 670 Becton Dickinson 15,065 790 C.R. Bard 14,581 963 Cardinal Health 10,702 679 Celgene* 5,800 315 Dade Behring Holdings 13,400 491 Dentsply International 49,254 2,661 Edwards Lifesciences* 23,080 1,025 Endo Pharmaceuticals Holdings* 17,900 477 Henry Schein* 44,418 1,893 Hillenbrand Industries 40,646 1,912 Idexx Laboratories* 29,258 1,957 Invitrogen* 4,200 316 Johnson & Johnson 26,576 1,682 King Pharmaceuticals* 42,300 651 Laboratory of America Holdings* 27,369 1,333 McKesson 11,500 546 Medicis Pharmaceutical, Cl A 7,800 254 Merck 6,900 188 Patterson* 13,800 553 Quest Diagnostics 4,200 212 Renal Care Group* 7,443 352 Respironics* 16,765 707 Techne* 9,600 547 Triad Hospitals* 11,000 498 VCA Antech* 15,600 398 Zimmer Holdings* 9,800 675 --------- 27,335 --------- INDUSTRIALS -- 7.9% ACCO Brands* 1 -- Alexander & Baldwin 8,700 463 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Alliant Techsystems* 6,500 $ 485 C.H. Robinson Worldwide 10,100 648 Chicago Bridge & Iron 16,300 507 Deluxe 35,668 1,432 GATX 12,500 494 Harsco 7,400 485 Hewitt Associates, Cl A* 7,500 205 JetBlue Airways* 20,900 368 Laidlaw International* 23,600 570 Landstar System* 15,200 609 Lockheed Martin 26,035 1,589 Pitney Bowes 25,795 1,077 R.H. Donnelley* 16,219 1,026 Republic Services 11,674 412 Robert Half International 3,600 128 Stericycle* 6,600 377 Union Pacific 8,400 602 UTI Worldwide 6,200 482 Waste Management 6,802 195 Weight Watchers International* 8,200 423 --------- 12,577 --------- INFORMATION TECHNOLOGY -- 4.8% Adtran 15,300 482 Affiliated Computer Services, Cl A* 9,700 530 Cognizant Technology Solutions, Cl A* 9,600 447 Fair Isaac 13,900 623 Fairchild Semiconductor International* 18,200 270 Flir Systems* 16,200 479 Harris 10,200 426 Ingram Micro, Cl A* 30,600 567 Lexmark International, Cl A* 5,200 318 Qualcomm 12,000 537 Reynolds & Reynolds, Cl A 39,977 1,096 Scientific-Atlanta 12,700 476 Sybase* 24,300 569 Total System Services 20,700 483 Zebra Technologies, Cl A* 7,900 309 --------- 7,612 --------- MATERIALS -- 4.2% Agrium 22,500 494 Ball 4,100 151 Eagle Materials 4,700 570 Freeport-McMoRan Copper & Gold, Cl B 5,800 282 Martin Marietta Materials 8,400 659 Methanex 11,400 169 Newmont Mining 43,020 2,029 Nova Chemicals 12,900 475 Packaging of America 22,300 433 Pactiv* 19,600 343 Sonoco Products 17,200 470 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 83 STATEMENT OF NET ASSETS Managed Volatility Fund (Concluded) September 30, 2005 - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ Vulcan Materials 8,000 $ 594 --------- 6,669 --------- TELECOMMUNICATION SERVICES -- 4.1% BCE 25,400 697 BellSouth 62,298 1,638 CenturyTel 16,900 591 Citizens Communications 48,600 659 Telephone & Data Systems 9,147 357 US Cellular* 21,498 1,148 Verizon Communications 45,259 1,480 --------- 6,570 --------- UTILITIES -- 13.1% AGL Resources 15,800 586 Alliant Energy 20,000 583 Cinergy 6,900 306 Consolidated Edison 11,400 553 Constellation Energy Group 5,200 320 DPL 16,100 448 DTE Energy 11,900 546 Duke Energy 5,200 152 Edison International 12,300 581 Enbridge 21,300 680 Energen 21,766 942 Energy East 21,300 536 Great Plains Energy 15,400 461 Hawaiian Electric Industries 47,349 1,320 MDU Resources Group 14,900 531 National Fuel Gas 31,714 1,085 Northeast Utilities 28,200 563 NSTAR 45,455 1,314 OGE Energy 61,279 1,722 Pepco Holdings 7,100 165 Puget Energy 24,200 568 SCANA 25,170 1,063 Sempra Energy 12,300 579 TECO Energy 20,900 377 TXU 6,100 688 Vectren 31,209 885 Westar Energy 21,700 524 Wisconsin Energy 16,500 659 WPS Resources 40,051 2,315 --------- 21,052 --------- Total Common Stock (Cost $142,598) ($ Thousands) 151,067 --------- CASH EQUIVALENT -- 5.3% SEI Daily Income Trust, Prime Obligation Fund, Cl A++ 8,447,672 $ 8,448 --------- Total Cash Equivalent (Cost $8,448) ($ Thousands) 8,448 --------- - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ U.S. TREASURY OBLIGATION (A) -- 0.2% U.S. Treasury Bills 3.456%, 11/25/05 $270 $ 269 --------- Total U.S. Treasury Obligation (Cost $269) ($ Thousands) 269 --------- Total Investments -- 99.9% (Cost $151,315) ($ Thousands) 159,784 --------- OTHER ASSETS AND LIABILITIES -- 0.1% Investment Advisory Fees Payable (67) Administration Fees Payable (44) Shareholder Servicing Fees Payable (22) Payable for Fund Shares Redeemed (21) Other Assets and Liabilities, Net 417 --------- Total Other Assets and Liabilities 263 --------- Net Assets-- 100.0% $ 160,047 ========= NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 148,976 Undistributed net investment income 307 Accumulated net realized gain on investments and futures contracts 2,264 Net unrealized appreciation on investments 8,469 Net unrealized appreciation on futures contracts 31 --------- Net Assets $ 160,047 ========= Net Asset Value, Offering and Redemption Price Per Share -- Class A ($160,047,223 / 14,032,738 Shares) $11.41 - ====== Futures -- A summary of the open futures contracts held by the fund at September 30, 2005, is as follows: (see Note 2 in Notes to Financial Statements) - -------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION APPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) - -------------------------------------------------------------- S&P 500 Index E-MINI 61 December 2005 $31 * 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 Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 84 SEI Institutional Managed Trust / Annual Report / September 30, 2005 Real Estate Fund September 30, 2005 - ------------------------------------------------------------ SECTOR WEIGHTINGS# (UNAUDITED): [BAR GRAPH OMITTED] 81.5% Financials 7.8% Short-Term Investments 7.0% Consumer Discretionary 3.3% Asset-Backed Securities 0.4% Exchange Traded Fund #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - ------------------------------------------------------------ Market Value Description Shares ($ Thousands) - ------------------------------------------------------------ COMMON STOCK -- 96.0% CONSUMER DISCRETIONARY -- 9.0% Fairmont Hotels & Resorts 48,700 $ 1,627 La Quinta* 29,600 257 Starwood Hotels & Resorts Worldwide 119,100 6,809 --------- 8,693 --------- FINANCIALS -- 87.0% Acadia Realty Trust+ 28,000 504 AMB Property+ (B) 38,800 1,742 Apartment Investment & Management, Cl A+ (B) 36,700 1,423 Archstone-Smith Trust+ 107,750 4,296 Arden Realty+ 39,500 1,626 AvalonBay Communities+ (B) 53,800 4,611 Boston Properties+ 34,800 2,467 Brandywine Realty Trust+ 33,300 1,035 BRE Properties, Cl A+ 42,100 1,873 Camden Property Trust+ 28,850 1,608 CB Richard Ellis Group, Cl A* 18,700 920 Corporate Office Properties Trust+ 77,700 2,716 DiamondRock Hospitality+ (E) (G) 9,800 115 Duke Realty+ 21,300 722 Equity Office Properties Trust+ 70,200 2,296 Equity Residential+ 71,300 2,699 Federal Realty Investment Trust+ 30,100 1,834 General Growth Properties+ (B) 89,410 4,017 Host Marriott+ 253,100 4,277 iStar Financial+ 48,500 1,961 Kimco Realty+ (B) 116,700 3,667 Liberty Property Trust+ 19,500 830 Macerich+ (B) 29,800 1,935 Mack-Cali Realty+ 53,000 2,382 Medical Properties Trust+ (F) (G) 11,400 101 Post Properties+ (B) 35,850 1,335 Prologis+ (B) 92,600 4,103 PS Business Parks+ 18,500 847 Public Storage+ 47,950 3,213 Reckson Associates Realty+ (B) 62,950 2,175 Regency Centers+ (B) 59,100 3,395 Saul Centers+ 16,800 605 Shurgard Storage Centers, Cl A+ 26,500 1,481 Simon Property Group+ (B) 94,050 6,971 SL Green Realty+ 25,600 1,745 - ------------------------------------------------------------ Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Taubman Centers+ 26,550 $ 842 Thomas Properties Group 19,600 255 Ventas+ 76,500 2,463 Vornado Realty Trust+ (B) 31,800 2,755 --------- 83,842 --------- Total Common Stock (Cost $78,284) ($ Thousands) 92,535 --------- EXCHANGE TRADED FUND -- 0.5% iShares Cohen & Steers Realty Majors Index Fund 6,000 441 --------- Total Exchange Traded Fund (Cost $382) ($ Thousands) 441 --------- CORPORATE OBLIGATIONS (C) -- 13.7% FINANCIALS -- 13.7% Allstate Life Global Funding II MTN (D) 3.788%, 10/16/06 $ 184 184 American General Finance (D) (E) 3.768%, 10/16/06 1,293 1,293 American General Finance MTN, Ser F 5.875%, 07/14/06 40 41 CCN Bluegrass (D) 3.859%, 08/18/06 260 260 CIT Group MTN (D) 3.790%, 05/12/06 1,001 1,001 3.714%, 04/19/06 100 100 Caterpillar Financial Services MTN, Ser F (D) 3.670%, 07/10/06 200 200 Countrywide Financial Services MTN, Ser A (D) 3.920%, 09/13/06 741 741 3.760%, 07/31/06 200 200 Countrywide Home Loans MTN, Ser M (D) 3.851%, 11/30/05 256 256 3.760%, 01/31/06 88 88 Dekabank (D) 3.614%, 08/19/06 741 741 Irish Life & Permanent MTN, Ser X (D) 3.812%, 09/21/06 533 533 Islandsbanki (D) (E) 3.869%, 09/22/06 340 340 Jackson National Life Funding (D) (E) 3.693%, 10/02/06 881 881 K2 LLC MTN (D) 3.809%, 12/12/05 24 24 Liberty Lighthouse US Capital MTN (D) 3.688%, 05/10/06 400 400 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 85 STATEMENT OF NET ASSETS Real Estate Fund (Concluded) September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Morgan Stanley EXL (D) 3.710%, 10/04/06 $ 140 $ 140 Morgan Stanley EXL, Ser S (D) 3.670%, 10/03/06 200 200 Natexis Banques (D) 3.810%, 10/16/06 390 390 Nationwide Building Society (D) (E) 4.030%, 07/28/06 200 200 3.689%, 01/06/06 401 401 Nordbank (D) (E) 3.830%, 09/25/06 681 681 Northern Rock (D) (E) 3.690%, 10/03/06 413 413 Pacific Life Global Funding (D) (E) 3.760%, 10/13/06 300 300 Premium Asset Trust, Ser 2004-01 (D) (E) 3.800%, 02/06/06 416 417 Premium Asset Trust, Ser 2004-06 (D) (E) 3.941%, 06/30/06 380 381 Premium Asset Trust, Ser 2004-10 (D) (E) 3.778%, 10/16/06 561 561 SLM EXL, Ser S (D) 3.768%, 10/16/06 441 441 SLM MTN, Ser X (D) 3.796%, 10/20/06 801 801 Skandinav Enskilda Bank (D) 3.779%, 10/17/06 441 441 White Pine Finance MTN, Ser 1 (D) 3.663%, 11/01/05 176 176 --------- Total Corporate Obligations (Cost $13,226) ($ Thousands) 13,226 --------- COMMERCIAL PAPER (A) (C) -- 5.0% FINANCIALS -- 5.0% Altius I Funding 3.864%, 10/27/05 601 598 Arlington Funding 3.857%, 10/14/05 439 438 Brahms Funding 3.861%, 10/26/05 160 160 Buckingham 3.940%, 11/14/05 73 73 Cre-8 Funding 3.908%, 11/01/05 200 199 3.902%, 10/28/05 400 399 3.862%, 10/19/05 200 200 3.762%, 10/07/05 120 120 Davis Square V Funding 3.934%, 11/02/05 801 798 3.932%, 10/28/05 40 40 Main Street Warehouse Funding 3.881%, 10/24/05 400 399 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Rams Funding 3.879%, 10/18/05 $ 434 $ 433 3.863%, 10/27/05 425 424 3.861%, 10/19/05 195 195 3.861%, 10/20/05 137 136 Rhineland Funding 4.027%, 11/28/05 91 90 3.871%, 10/24/05 153 152 --------- Total Commercial Paper (Cost $4,854) ($ Thousands) 4,854 --------- ASSET-BACKED SECURITIES (C) -- 4.3% AUTOMOTIVE -- 0.5% Capital Auto Receivables Asset Trust, Ser 2005-SN1A, Cl A1 3.327%, 05/15/06 406 406 Drivetime Auto Owner Trust, Ser 2005-B, Cl A1 (D) 3.788%, 01/15/06 53 53 --------- 459 --------- MORTGAGE RELATED SECURITIES -- 3.8% Blue Heron Funding, Ser 9A, Cl A1 (D) 3.860%, 02/22/06 401 401 CCN Independence IV (D) 3.842%, 10/17/05 220 220 3.838%, 07/17/06 140 140 Cheyne High Grade, Ser 2004-1A, Cl A1 (D) 3.780%, 11/10/05 230 230 Commodore, Ser 2003-2A, Cl A1MM (D) 3.914%, 12/12/05 184 184 Duke Funding, Ser 2004-6B, Cl A1S1 (D) 3.630%, 10/10/06 300 300 Harwood Street Funding II, Ser 2005-1A, Cl NOTE (D) 3.880%, 06/25/06 401 401 Orchid Structured Finance, Ser 2003-1A, Cl A1MM (D) 3.902%, 11/18/05 352 352 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AMM2 (D) 3.880%, 11/25/05 474 474 RMAC, Ser 2004-NS3A, Cl A1 (D) 3.728%, 09/12/06 131 131 Saturn Ventures II (D) 3.749%, 02/07/06 401 401 TIAA Real Estate, Ser 2003 1A, Cl A1 (D) 3.868%, 09/28/06 259 259 Whitehawk CDO Funding, Ser 2004-1A, Cl AMMD (D) 3.890%, 06/15/06 100 100 - -------------------------------------------------------------------------------- 86 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) - ------------------------------------------------------------ Whitehawk CDO Funding, Ser 2004-1A, Cl AMME (D) 3.890%, 09/15/06 $ 60 $ 60 --------- 3,653 --------- Total Asset-Backed Securities (Cost $4,112) ($ Thousands) 4,112 --------- CASH EQUIVALENT -- 3.4% SEI Daily Income Trust, Prime Obligation Fund, Cl A++ 3,311,953 3,312 --------- Total Cash Equivalent (Cost $3,312) ($ Thousands) 3,312 --------- MASTER NOTES (C) -- 1.5% Bank of America 4.018%, 10/01/05 1,001 1,001 Bear Stearns 4.113%, 10/01/05 481 481 --------- Total Master Notes (Cost $1,482) ($ Thousands) 1,482 --------- REPURCHASE AGREEMENTS (C) -- 5.2% Barclays Capital Markets 3.840%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $2,510,918 (collateralized by various U.S. Government Obligations, ranging in par value $416,803-$1,667,870, 1.875%-7.250%, 06/15/06-01/15/10; with total market value $2,562,025) 2,510 2,510 Deutsche Bank Securites 3.750%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $1,963,082 (collateralized by various U.S. Government Obligations, ranging in par value $4,420-$528,608, 0.000%-5.875%, 10/07/05-09/29/25; with total market value $2,001,721) 1,962 1,962 Lehman Brothers 3.820%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $540,794 (collateralized by various U.S. Government Obligations, ranging in par value $36,302-$419,623, 0.000%-3.500%, 08/15/06-04/15/30; with total market value $551,453) 541 541 --------- Total Repurchase Agreements (Cost $5,013) ($ Thousands) 5,013 --------- Total Investments -- 129.6% (Cost $110,665) ($ Thousands) 124,975 --------- - ------------------------------------------------------------ Value Description ($ Thousands) - ------------------------------------------------------------ OTHER ASSETS AND LIABILITIES -- (29.6)% Payable Upon Return on Securities Loaned $(28,687) Payable for Investment Securities Purchased (221) Investment Advisory Fees Payable (48) Administration Fees Payable (27) Shareholder Servicing Fees Payable (9) Payable for Fund Shares Redeemed (7) Other Assets and Liabilities, Net 429 --------- Total Other Assets and Liabilities (28,570) --------- Net Assets-- 100.0% $ 96,405 ========= NET ASSETS: Paid-in-Capital (unlimited authorization-- no par value) $ 79,333 Undistributed net investment income 484 Accumulated net realized gain on investments 2,278 Net unrealized appreciation on investments 14,310 --------- Net Assets $ 96,405 ========= Net Asset Value, Offering and Redemption Price Per Share -- Class A ($96,405,028 / 6,487,303 shares) $14.86 ====== * 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 September 30, 2005 (see Note 7). The total value of securities on loan at September 30, 2005 was $28,268 ($ Thousands). (C) This security was purchased with cash collateral held from securities lending (see Note 7). The total value of such securities as of September 30, 2005 was $28,687 ($ Thousands). (D) Variable Rate Security -- The rate and date reported on the Statement of Net Assets is the rate and date in effect as of September 30, 2005. (E) 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." (F) Security considered restricted and security is 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 September 30, 2005 was $101 ($ Thousands) and represented 0.10% of Net Assets. (G) Securities considered illiquid. The total value of such securities as of September 30, 2005 was $216 ($ Thousands) and represented 0.22% of Net Assets. CDO -- Collateralized Debt Obligation Cl -- Class EXL -- Extendable Maturity LLC -- Limited Liability Company MTN -- Medium Term Note Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 87 SCHEDULE OF INVESTMENTS Core Fixed Income Fund September 30, 2005 - ------------------------------------------------------------ SECTOR WEIGHTINGS* (UNAUDITED): [BAR GRAPH OMITTED] 23.9% Corporate Obligations 21.7% U.S. Government Mortgage-Backed Obligations 17.8% Asset-Backed Securities 15.8% U.S. Treasury Obligations 8.7% Short-Term Investments 8.2% U.S. Government Agency Obligations 3.6% Commercial Paper 0.2% Certificates of Deposit 0.1% Municipal Bond *Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ CORPORATE OBLIGATIONS -- 34.9% CONSUMER DISCRETIONARY -- 1.9% COX Communications 7.875%, 08/15/09 $ 750 $ 823 Clear Channel Communications 4.250%, 05/15/09 990 955 Comcast 7.050%, 03/15/33 755 840 6.500%, 01/15/15 1,475 1,593 5.650%, 06/15/35 (J) 2,570 2,402 5.500%, 03/15/11 (J) 560 571 Comcast Cable Communications 8.375%, 03/15/13 950 1,124 6.750%, 01/30/11 7,430 7,989 6.375%, 01/30/06 720 725 Continental Cablevision 9.000%, 09/01/08 1,150 1,276 8.300%, 05/15/06 985 1,008 DaimlerChrysler 8.500%, 01/18/31 740 896 7.450%, 03/01/27 515 561 7.300%, 01/15/12 1,400 1,520 6.500%, 11/15/13 1,320 1,396 4.050%, 06/04/08 265 259 Federated Department Stores 6.790%, 07/15/27 170 181 Ford Motor 9.980%, 02/15/47 (J) 3,800 3,430 9.215%, 09/15/21 1,000 903 7.450%, 07/16/31 8,531 6,654 7.125%, 11/15/25 2,100 1,517 6.375%, 02/01/29 5,537 3,973 General Motors 8.375%, 07/15/33 (J) 3,549 2,768 8.250%, 07/15/23 13,020 10,123 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Liberty Media 5.700%, 05/15/13 $ 995 $ 905 5.370%, 09/17/06 (A) 3,091 3,114 May Department Stores 7.875%, 03/01/30 260 310 6.700%, 07/15/34 400 419 News America 7.300%, 04/30/28 550 611 7.280%, 06/30/28 650 721 7.125%, 04/08/28 375 409 6.200%, 12/15/34 (J) 1,280 1,282 News America Holdings 8.450%, 08/01/34 245 307 7.750%, 01/20/24 595 683 TCI Communications 7.875%, 02/15/26 1,085 1,295 Time Warner 9.150%, 02/01/23 1,175 1,517 8.375%, 07/15/33 800 1,001 7.700%, 05/01/32 7,390 8,749 7.570%, 02/01/24 285 325 6.875%, 05/01/12 480 525 Viacom (J) 5.625%, 08/15/12 705 716 ---------- 76,376 ---------- CONSUMER STAPLES -- 0.4% Altria Group 7.750%, 01/15/27 3,860 4,502 7.000%, 11/04/13 (J) 795 870 Delhaize America 9.000%, 04/15/31 745 860 Kraft Foods (J) 6.500%, 11/01/31 400 444 5.625%, 11/01/11 675 697 Kroger 7.500%, 04/01/31 410 458 Molson Coors Capital Finance (B) 4.850%, 09/22/10 805 799 Philip Morris Capital 7.500%, 07/16/09 1,750 1,872 RJ Reynolds Tobacco Holdings, Ser B 7.750%, 05/15/06 7,230 7,356 Wal-Mart Stores 5.250%, 09/01/35 530 513 ---------- 18,371 ---------- ENERGY -- 1.7% Amerada Hess 7.300%, 08/15/31(J) 5,450 6,358 7.125%, 03/15/33 650 744 - -------------------------------------------------------------------------------- 88 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Anadarko Finance, Ser B 7.500%, 05/01/31 $ 705 $ 867 6.750%, 05/01/11 2,510 2,727 Apache 6.250%, 04/15/12 1,385 1,505 Canadian National Resources 5.850%, 02/01/35 1,085 1,078 Conoco Funding 7.250%, 10/15/31 530 669 6.950%, 04/15/29 4,060 4,943 6.350%, 10/15/11 920 998 ConocoPhillips 5.900%, 10/15/32 10 11 4.750%, 10/15/12 (J) 3,990 4,006 Consolidated Natural Gas, Ser A 5.000%, 03/01/14 650 642 Devon Energy 7.950%, 04/15/32 1,710 2,180 Devon Financing 7.875%, 09/30/31 945 1,190 El Paso 6.950%, 06/01/28 6,750 6,075 El Paso MTN 7.800%, 08/01/31 2,280 2,286 7.750%, 01/15/32 (J) 5,075 5,113 Encana 6.500%, 08/15/34 350 393 Energy Transfer Partners (B) 5.650%, 08/01/12 820 808 Enterprise Products Operations, Ser B 4.000%, 10/15/07 850 833 Gazstream (B) 5.625%, 07/22/13 1,250 1,256 Magellan Midstream Partners 5.650%, 10/15/16 595 602 Pemex Project Funding Master Trust 7.375%, 12/15/14 300 333 Petro-Canada 5.950%, 05/15/35 730 730 Ras Laffan LNG III (B) 5.838%, 09/30/27 1,540 1,543 Tosco 8.125%, 02/15/30 400 544 Valero Energy 7.500%, 04/15/32 (J) 435 525 6.875%, 04/15/12 820 900 Valero Logistics 6.050%, 03/15/13 440 457 Vastar Resources 6.500%, 04/01/09 3,490 3,708 Williams 8.750%, 03/15/32 4,340 5,121 7.750%, 06/15/31 (J) 1,880 2,035 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Williams, Ser A (J) 7.500%, 01/15/31 $ 1,490 $ 1,583 XTO Energy 7.500%, 04/15/12 (J) 850 957 6.250%, 04/15/13 690 737 4.900%, 02/01/14 (J) 935 917 YPF Sociedad Anonima MTN, Ser A 7.750%, 08/27/07 5,000 5,269 ---------- 70,643 ---------- FINANCIALS -- 22.7% Aiful (B) 5.000%, 08/10/10 1,320 1,311 4.450%, 02/16/10 100 97 Allstate Financial Global Funding (B) 6.150%, 02/01/06 1,900 1,911 Allstate Life Global Funding II MTN (A) (K) (L) 3.788%, 10/16/06 7,028 7,028 American General Finance 3.875%, 10/01/09 1,315 1,268 3.768%, 10/16/06 (A) (B) (K) (L) 49,350 49,347 American General Finance MTN, Ser F (K) 5.875%, 07/14/06 1,527 1,558 American International Group 5.050%, 10/01/15 (B) 500 497 4.700%, 10/01/10 (B) 2,100 2,089 4.250%, 05/15/13 535 511 Arch Capital Group 7.350%, 05/01/34 3,416 3,643 ASIF Global Financing XIX (B) 4.900%, 01/17/13 880 864 Associates 6.250%, 11/01/08 1,005 1,051 Avalonbay Communities MTN 7.500%, 12/15/10 1,075 1,197 BAC Capital Trust VI 5.625%, 03/08/35 850 828 Bae Systems Holdings (B) 5.200%, 08/15/15 1,705 1,682 Bank One 7.875%, 08/01/10 3,525 3,983 2.625%, 06/30/08 2,090 1,986 Bank One Texas 6.250%, 02/15/08 575 597 Bank of America 7.400%, 01/15/11 4,915 5,489 5.875%, 02/15/09 695 720 4.500%, 08/01/10 1,745 1,727 3.875%, 01/15/08 (J) 475 468 3.375%, 02/17/09 1,510 1,451 3.250%, 08/15/08 1,400 1,350 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 89 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Bank of New York 3.800%, 02/01/08 $ 1,300 $ 1,277 BankBoston 6.375%, 03/25/08 250 259 6.375%, 04/15/08 515 536 Banponce Trust I, Ser A 8.327%, 02/01/27 2,590 2,768 Berkshire Hathaway Financial 4.125%, 01/15/10 (B) 465 455 3.400%, 07/02/07 1,555 1,523 3.375%, 10/15/08 1,850 1,786 Boeing Capital 6.500%, 02/15/12 465 507 5.800%, 01/15/13 425 449 CA Preferred Fund Trust 7.000%, 01/29/49 1,000 1,037 CCN Bluegrass (A) (K) (L) 3.859%, 08/18/06 9,931 9,931 CIT Group MTN 4.750%, 08/15/08 960 960 3.790%, 05/12/06 (A) (K) (L) 38,197 38,197 3.714%, 04/19/06 (A) (K) (L) 3,820 3,823 Capital One Bank 6.700%, 05/15/08 1,830 1,912 4.875%, 05/15/08 4,278 4,281 Capital One Financial 8.750%, 02/01/07 1,510 1,588 Caterpillar Financial Services MTN, Ser F (A) (K) (L) 3.670%, 07/10/06 7,639 7,639 Chase Capital II, Ser B (A) 4.193%, 02/01/27 1,000 941 Chase Capital III, Ser C (A) 4.420%, 03/01/27 630 597 China Development Bank 5.000%, 10/15/15 265 262 Citicorp 7.200%, 06/15/07 1,200 1,251 Citigroup 6.500%, 01/18/11 1,365 1,472 6.200%, 03/15/09 400 419 5.500%, 08/09/06 1,135 1,145 5.000%, 03/06/07 1,215 1,223 5.000%, 09/15/14 4,456 4,432 4.625%, 08/03/10 855 850 4.125%, 02/22/10 (J) 5,200 5,078 3.625%, 02/09/09 6,535 6,332 3.500%, 02/01/08 3,210 3,133 Citigroup Global Markets 6.500%, 02/15/08 820 854 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Countrywide Financial Services MTN, Ser A (A) (K) (L) 3.920%, 09/13/06 $28,265 $ 28,265 3.760%, 07/31/06 7,639 7,639 Countrywide Home Loans MTN, Ser L 2.875%, 02/15/07 3,320 3,243 Countrywide Home Loans MTN, Ser M (A) (K) (L) 3.851%, 11/30/05 9,778 9,778 3.760%, 01/31/06 3,361 3,361 Credit Suisse First Boston London (A) (B) 9.650%, 03/24/10 11,050 9,877 Credit Suisse First Boston USA 5.125%, 08/15/15 1,400 1,395 4.875%, 08/15/10 (J) 1,070 1,071 Danske Bank (A) (B) 5.914%, 12/29/49 5,150 5,419 Dekabank (A) (K) (L) 3.614%, 08/19/06 28,265 28,260 Depfa ACS Bank 4.250%, 08/16/10 5,900 5,803 Deutsche Bank (A) 3.843%, 03/15/07 2,400 2,389 Developers Diversified Realty MTN 7.000%, 03/19/07 1,300 1,335 Dryden Investor Trust (B) (I) 7.157%, 07/23/08 4,601 4,751 Duke Capital 7.500%, 10/01/09 1,100 1,201 EOP Operating (J) 4.650%, 10/01/10 1,703 1,675 Eksportsfinans MTN 3.375%, 01/15/08 5,680 5,551 Equity One 3.875%, 04/15/09 7,480 7,143 Farmers Exchange Capital 7.200%, 07/15/48 (B) 1,465 1,511 7.050%, 07/15/28 (B) (J) 4,434 4,578 Farmers Insurance Exchange Capital (B) 8.625%, 05/01/24 3,717 4,442 First Industrial 7.600%, 07/15/28 3,675 4,206 First Industrial MTN (J) 7.500%, 12/01/17 1,800 2,054 Ford Motor Credit 7.875%, 06/15/10 8,745 8,510 7.375%, 10/28/09 16,810 16,243 7.250%, 10/25/11 336 319 7.000%, 10/01/13 (J) 850 788 6.625%, 06/16/08 6,285 6,143 5.700%, 01/15/10 1,780 1,617 - -------------------------------------------------------------------------------- 90 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ GE Capital Franchise MTN 6.860%, 06/15/07 $ 1,850 $ 1,921 General Electric Capital 4.875%, 03/04/15 1,090 1,086 4.125%, 03/04/08 3,100 3,070 General Electric Capital MTN, Ser A 6.000%, 06/15/12 1,395 1,485 4.125%, 09/01/09 8,035 7,885 3.750%, 12/15/09 (J) 526 508 3.450%, 01/15/08 (A) 17,550 17,388 General Motors Acceptance 8.000%, 11/01/31 4,150 3,624 7.750%, 01/19/10 2,430 2,355 7.250%, 03/02/11 (J) 3,520 3,274 6.875%, 09/15/11 1,735 1,578 6.150%, 04/05/07 (J) 1,290 1,280 6.125%, 02/01/07 650 646 6.125%, 08/28/07 460 453 6.070%, 12/01/14 (A) 3,068 2,579 5.625%, 05/15/09 (J) 19,020 17,437 4.559%, 07/16/07 (A) 3,460 3,365 General Motors Acceptance MTN (A) 5.110%, 09/23/08 100 93 Goldman Sachs Group 6.875%, 01/15/11 3,775 4,109 6.125%, 02/15/33 695 723 5.125%, 01/15/15 (J) 805 803 HBOS (B) 3.125%, 01/12/07 1,225 1,204 HBOS Treasury Services (B) 3.600%, 08/15/07 1,235 1,213 3.500%, 11/30/07 2,000 1,955 HSBC Bank (J) 3.875%, 09/15/09 1,145 1,112 HSBC Finance 4.750%, 04/15/10 3,265 3,252 Highwoods Realty 7.500%, 04/15/18 4,400 4,832 7.125%, 02/01/08 3,000 3,124 Household Finance 8.000%, 07/15/10 3,475 3,921 7.000%, 05/15/12 1,505 1,666 6.375%, 11/27/12 585 629 4.750%, 05/15/09 1,150 1,147 Irish Life & Permanent MTN, Ser X (A) (K) (L) 3.812%, 09/21/06 20,321 20,316 Islandsbanki (A) (B) (K) (L) 3.869%, 09/22/06 12,987 12,987 JP Morgan Capital Trust II 7.950%, 02/01/27 580 623 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ JP Morgan Chase 6.750%, 02/01/11 $ 1,220 $ 1,321 5.750%, 01/02/13 4,360 4,534 5.250%, 05/30/07 400 405 5.150%, 10/01/15 2,000 1,988 4.000%, 02/01/08 (J) 1,390 1,372 3.625%, 05/01/08 720 703 JP Morgan Chase Capital XV 5.875%, 03/15/35 565 553 Jackson National Life Funding (A) (B) (K) (L) 3.693%, 10/02/06 33,613 33,613 Japan Finance 4.625%, 04/21/15 2,400 2,385 K2 LLC MTN (A) (K) (L) 3.809%, 12/12/05 917 916 Korea Development Bank 4.250%, 11/13/07 755 748 L-Bank Baden-Wuer Foerderbank 4.250%, 09/15/10 4,100 4,052 Lazard Group LLC (B) 7.125%, 05/15/15 1,175 1,167 Lehman Brothers 7.875%, 08/15/10 945 1,070 7.000%, 02/01/08 3,395 3,564 6.500%, 04/15/08 695 725 Liberty Lighthouse US Capital MTN (A) (K) (L) 3.688%, 05/10/06 15,279 15,268 Liberty Mutual Group (B) 6.500%, 03/15/35 810 751 Marsh & Mclennan 5.750%, 09/15/15 1,285 1,272 Mashantucket Western Pequot Tribe (B) 5.912%, 09/01/21 390 392 Massmutual Global Funding II (B) 2.550%, 07/15/08 1,200 1,134 Merrill Lynch 7.430%, 09/01/22 18 19 Merrill Lynch MTN, Ser B 3.375%, 09/14/07 2,100 2,063 Merrill Lynch MTN, Ser C 4.250%, 02/08/10 (J) 1,970 1,926 3.330%, 03/12/07 (A) 2,460 2,453 Met Life Global Funding 5.700%, 06/15/35 1,930 1,919 4.750%, 06/20/07 (B) 1,100 1,102 Monumental Global Funding (B) 5.200%, 01/30/07 625 629 Monumental Global Funding II 3.450%, 11/30/07 1,125 1,104 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 91 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Morgan Stanley 4.750%, 04/01/14 $ 2,250 $ 2,171 4.000%, 01/15/10 555 537 3.875%, 01/15/09 1,225 1,194 Morgan Stanley EXL (A) (K) (L) 3.710%, 10/04/06 5,348 5,348 Morgan Stanley EXL, Ser S (A) (K) (L) 3.670%, 10/03/06 7,639 7,639 NB Capital Trust IV 8.250%, 04/15/27 4,500 4,865 Natexis Banques (A) (K) (L) 3.810%, 10/16/06 14,897 14,893 National Capital Trust II (A) (B) 5.486%, 12/29/49 2,231 2,240 National City Bank 3.375%, 10/15/07 1,520 1,494 3.300%, 05/15/07 750 735 Nationwide Building Society 4.030%, 07/28/06 (A) (B) (K) (L) 7,639 7,640 3.689%, 01/06/06 (A) (B) (K) (L) 15,279 15,279 3.500%, 07/31/07(B) 3,250 3,187 Nationwide Mutual Insurance (B) 8.250%, 12/01/31 3,575 4,479 6.600%, 04/15/34 3,590 3,627 New York Life Global Funding (B) 3.875%, 01/15/09 1,000 976 Nordbank (A) (B) (K) (L) 3.830%, 09/25/06 25,974 25,968 North Front Pass-Through Trust (A) (B) 5.810%, 12/15/24 4,200 4,224 Northern Rock (A) (B) (K) (L) 3.690%, 10/03/06 15,737 15,737 Nuveen Investments 5.500%, 09/15/15 270 267 5.000%, 09/15/10 540 535 Odyssey Re Holdings 6.875%, 05/01/15 2,400 2,374 PNC Funding 5.250%, 11/15/15 880 888 Pacific Life Global Funding (A) (B) (K) (L) 3.760%, 10/13/06 11,459 11,459 Platinum Underwriters Finance (B) 7.500%, 06/01/17 1,150 1,147 Power Receivables Financial 6.290%, 01/01/12 4,743 4,894 6.290%, 01/01/12 (B) 389 398 Premium Asset Trust, Ser 2004-01 (A) (B) (K) (L) 3.800%, 02/06/06 15,890 15,903 Premium Asset Trust, Ser 2004-06 (A) (B) (K) (L) 3.941%, 06/30/06 14,515 14,525 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Premium Asset Trust, Ser 2004-10 (A) (B) (K) (L) 3.778%, 10/16/06 $ 21,390 $ 21,390 Pricoa Global Funding I (B) 4.350%, 06/15/08 1,325 1,312 Prime Property Funding (B) 5.600%, 06/15/11 2,220 2,265 Protective Life MTN 3.700%, 11/24/08 1,285 1,256 Prudential Financial MTN, Ser C 4.750%, 06/13/15 835 812 RBS Capital Trust B 6.800%, 12/05/49 1,000 1,020 Rabobank Capital Fund II (A) (B) (J) 5.260%, 12/29/49 200 201 Rabobank Capital Fund Trust III (A) (B) 5.254%, 10/21/16 420 418 Residential Capital (B) 6.375%, 06/30/10 4,535 4,594 Rouse 5.375%, 11/26/13 480 457 3.625%, 03/15/09 735 687 Royal Bank of Scotland (A) 7.648%, 08/31/49 375 456 SLM EXL, Ser S (A) (K) (L) 3.768%, 10/16/06 16,806 16,806 SLM MTN, Ser X (A) (K) (L) 3.796%, 10/20/06 30,557 30,557 SLM, Ser CPI (A) 3.660%, 04/01/09 5,460 5,377 Simon Property Group 5.100%, 06/15/15 540 529 4.600%, 06/15/10 540 533 Skandinav Enskilda Bank (A) (K) (L) 3.779%, 10/17/06 16,806 16,805 Sumitomo Mitsui Banking (A) (B) 5.625%, 10/15/15 1,400 1,393 SunTrust Bank 4.000%, 10/15/08 810 794 3.625%, 10/15/07 965 946 TIAA Global Markets (B) 3.875%, 01/22/08 3,395 3,337 Toyota Motor Credit 5.500%, 12/15/08 120 123 Travelers Property & Casualty 6.375%, 03/15/33 585 607 UBS Preferred Funding Trust I (A) 8.622%, 10/29/49 650 753 US Bancorp MTN, Ser N 3.950%, 08/23/07 395 391 3.125%, 03/15/08 2,215 2,141 - -------------------------------------------------------------------------------- 92 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ US Bank 4.400%, 08/15/08 $ 2,750 $ 2,735 2.870%, 02/01/07 1,295 1,267 2.400%, 03/12/07 1,975 1,917 USAA Capital MTN, Ser B 4.000%, 12/10/07 1,695 1,675 Wachovia 5.500%, 08/01/35 815 795 Wachovia Bank 4.375%, 08/15/08 4,025 4,003 Washington Mutual Bank 5.125%, 01/15/15 790 782 4.000%, 01/15/09 541 528 Wells Fargo 4.625%, 08/09/10 (J) 2,865 2,851 4.200%, 01/15/10 825 809 4.000%, 08/15/08 1,580 1,556 Westfield Capital (B) 4.375%, 11/15/10 4,153 4,053 White Pine Finance MTN, Ser 1 (A) (K) (L) 3.663%, 11/01/05 6,723 6,720 Willis Group North America 5.625%, 07/15/15 710 705 Woodbourne Pass-Through Trust (A) (B) 4.803%, 04/08/49 2,500 2,494 World Savings Bank 4.125%, 03/10/08 1,375 1,356 XL Capital 6.375%, 11/15/24 385 394 Zions Bancorporation 6.000%, 09/15/15 1,045 1,109 Zurich Capital Trust I (B) 8.376%, 06/01/37 4,967 5,308 ---------- 932,568 ---------- HEALTH CARE -- 0.3% Bristol-Myers Squibb 6.875%, 08/01/97 680 783 5.750%, 10/01/11 815 855 HCA 5.750%, 03/15/14 6,470 6,167 Health Care Property Investment 4.875%, 09/15/10 1,340 1,319 Merck 6.400%, 03/01/28 600 648 Nationwide Health Properties 6.000%, 05/20/15 565 565 Tenet Healthcare 7.375%, 02/01/13 336 318 Wellpoint 6.375%, 06/15/06 1,075 1,089 5.950%, 12/15/34 1,035 1,079 Wyeth 5.500%, 02/01/14 835 856 ---------- 13,679 ---------- - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ INDUSTRIALS -- 3.1% Air 2 US (B) (J) 8.027%, 10/01/19 $ 3,381 $ 3,164 Alcan 5.750%, 06/01/35 395 388 America West Airlines, Ser 99-1 7.930%, 01/02/19 9,513 10,232 American Airlines, Ser 01-2 (J) 7.858%, 10/01/11 3,000 3,070 American Airlines, Ser 99-1 (J) 7.024%, 10/15/09 4,630 4,691 Belvoir Land LLC, Ser A-1 5.270%, 12/15/47 950 911 Burlington North Santa Fe 7.290%, 06/01/36 435 535 Canadian National Railways 7.375%, 10/15/31 745 937 6.900%, 07/15/28 125 148 6.250%, 08/01/34 250 277 Cedar Brakes I LLC (B) 8.500%, 02/15/14 4,700 5,256 Cedar Brakes II LLC (B) 9.875%, 09/01/13 1,921 2,226 Continental Airlines, Ser 00-2 7.707%, 04/02/21 (J) 2,949 2,925 7.487%, 10/02/10 1,730 1,723 Continental Airlines, Ser 971A 7.461%, 04/01/15 509 469 Continental Airlines, Ser 974A (J) 6.900%, 01/02/18 7,897 7,719 Continental Airlines, Ser 99-2 7.256%, 03/15/20 837 840 Delta Air Lines 4.400%, 01/25/08 3,405 3,410 Delta Air Lines, Ser 01-1, Cl A-2 (J) 7.111%, 09/18/11 580 561 Delta Air Lines, Ser 02-1, Cl G-1 6.718%, 01/02/23 6,953 7,121 Delta Air Lines, Ser 02-1, Cl G-2 6.417%, 07/02/12 3,900 3,937 Delta Air Lines, Ser 00-1, Cl A2 7.570%, 11/18/10 2,350 2,269 Eastman Kodak (J) 7.250%, 11/15/13 2,740 2,599 Electronic Data Systems (J) 7.125%, 10/15/09 3,680 3,942 Federal Express, Ser A3 8.400%, 03/23/10 600 634 General Electric 5.000%, 02/01/13 160 161 Halliburton 8.750%, 02/15/21 946 1,242 7.600%, 08/15/96 525 631 5.500%, 10/15/10 540 558 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 93 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ KB Home (J) 6.250%, 06/15/15 $ 370 $ 359 Lennar (B) 5.600%, 05/31/15 175 171 Litton Industries 7.750%, 03/15/26 950 1,194 Lockheed Martin 8.500%, 12/01/29 2,420 3,340 Newmont Mining 5.875%, 04/01/35 675 662 Norfolk Southern 7.050%, 05/01/37 680 813 Northrup Grumman 4.079%, 11/16/06 2,475 2,462 Northwest Airlines, Ser 01-1, Cl A-1 (J) 7.041%, 04/01/22 1,689 1,602 Ohana Military LLC, Ser 04-I 6.193%, 04/01/49 1,000 1,091 Pulte Homes (J) 6.000%, 02/15/35 740 671 Raytheon 6.000%, 12/15/10 24 25 5.500%, 11/15/12 565 581 5.375%, 04/01/13 (J) 555 567 4.500%, 11/15/07 335 333 Systems 2001 Asset Trust (B) 6.664%, 09/15/13 1,494 1,603 Teck Cominco 6.125%, 10/01/35 700 686 Tyco International Group 6.875%, 01/15/29 6,310 7,241 6.750%, 02/15/11 2,190 2,365 6.375%, 10/15/11 7,105 7,573 6.000%, 11/15/13 915 967 US Airways, Cl B (G) (I) 7.500%, 04/15/08 2,696 -- Union Pacific 6.250%, 05/01/34 750 813 United Airlines, Ser 00-2 (G) (I) 7.811%, 10/01/09 982 717 United Airlines, Ser A-3 (G) (I) 8.390%, 01/21/11 1,466 848 United Technologies 6.500%, 06/01/09 2,365 2,516 5.400%, 05/01/35 640 639 Waste Management 7.375%, 08/01/10 2,480 2,727 7.125%, 12/15/17 8,305 9,395 7.100%, 08/01/26 1,710 1,930 ---------- 126,467 ---------- - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ MATERIALS -- 0.3% Celulosa Arauco (B) 5.625%, 04/20/15 $ 555 $ 550 Codelco (B) 5.625%, 09/21/35 1,460 1,445 4.750%, 10/15/14 960 931 Cytec Industries 6.000%, 10/01/15 800 798 5.500%, 10/01/10 535 534 Georgia-Pacific 8.875%, 05/15/31 575 680 International Paper 5.500%, 01/15/14 870 867 Weyerhaeuser 6.750%, 03/15/12 4,540 4,906 ---------- 10,711 ---------- SOVEREIGN -- 1.3% Aid-Israel 5.500%, 09/18/23 5,525 5,898 Bundesrepub Deutschland 4.750%, 07/04/34 1,425 2,070 4.000%, 01/04/37 5,800 7,525 Russian Federation 5.000%, 03/31/30 (B) (D) 1,395 1,601 5.000%, 03/31/30 (D) 10,830 12,444 United Mexican States 8.375%, 01/14/11 2,130 2,449 United Mexican States MTN 8.300%, 08/15/31 2,760 3,450 United Mexican States MTN, Ser A 8.000%, 09/24/22 (J) 3,660 4,447 7.500%, 04/08/33 12,420 14,407 6.750%, 09/27/34 412 439 5.875%, 01/15/14 495 512 ---------- 55,242 ---------- TELECOMMUNICATION SERVICES -- 1.3% AT&T 9.750%, 11/15/31 420 532 AT&T Wireless Services 8.125%, 05/01/12 1,595 1,870 7.350%, 03/01/06 2,536 2,566 America Movil (J) 6.375%, 03/01/35 880 853 BellSouth 4.750%, 11/15/12 780 769 4.258%, 04/26/06 (A) (B) 5,525 5,517 British Telecommunications PLC 8.875%, 12/15/30 560 760 8.375%, 12/15/10 1,250 1,447 - -------------------------------------------------------------------------------- 94 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Deutsche Telekom International Finance 8.750%, 06/15/30 $ 775 $ 1,001 France Telecom 8.500%, 03/01/31 160 214 7.450%, 03/01/06 1,505 1,523 New England Telephone & Telegraph 7.875%, 11/15/29 355 413 New Jersey Bell Telephone 7.850%, 11/15/29 1,135 1,325 SBC Communications 6.450%, 06/15/34 625 661 6.150%, 09/15/34 145 148 5.100%, 09/15/14 1,990 1,972 4.389%, 06/05/21 (B) 4,550 4,545 Sprint Capital 8.750%, 03/15/32 1,980 2,655 8.375%, 03/15/12 (J) 1,745 2,054 7.625%, 01/30/11 535 599 6.875%, 11/15/28 270 298 6.125%, 11/15/08 1,075 1,116 6.000%, 01/15/07 2,045 2,079 4.780%, 08/17/06 (D) 4,450 4,457 Telecom Italia Capital 6.000%, 09/30/34 (B) (J) 1,250 1,225 5.250%, 11/15/13 2,280 2,264 5.250%, 10/01/15 (J) 625 614 4.950%, 09/30/14 (B) 1,505 1,457 4.875%, 10/01/10 800 792 Telefonica Europe 7.750%, 09/15/10 925 1,043 Telefonos De Mexico S.A. 5.500%, 01/27/15 650 639 Verizon Global Funding 7.750%, 06/15/32 500 610 6.875%, 06/15/12 850 938 5.850%, 09/15/35 460 452 Verizon Virginia, Ser A 4.625%, 03/15/13 50 48 Vodafone Group 5.000%, 12/16/13 (J) 1,015 1,017 5.000%, 09/15/15 1,000 992 ---------- 51,465 ---------- UTILITIES -- 1.9% American Electric Power, Ser C 5.375%, 03/15/10 1,674 1,704 Arizona Public Services 8.000%, 12/30/15 3,740 4,044 Cleveland Electric Illumination 5.650%, 12/15/13 500 512 Cogentrix Energy (B) 8.750%, 10/15/08 7,758 8,686 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Dominion Resouces, Cl A 7.195%, 09/15/14 $ 315 $ 354 Dominion Resources 5.950%, 06/15/35 440 430 5.700%, 09/17/12 3,270 3,374 4.750%, 12/15/10 (J) 960 949 4.125%, 02/15/08 (J) 810 799 Dominion Resources, Ser D 5.125%, 12/15/09 900 908 Duke Energy 6.250%, 01/15/12 840 894 5.625%, 11/30/12 500 516 Exelon 5.625%, 06/15/35 2,050 1,886 Exelon Generation (J) 5.350%, 01/15/14 835 836 FPL Energy American Wind (B) 6.639%, 06/20/23 6,772 7,127 FirstEnergy, Ser A (J) 5.500%, 11/15/06 2,850 2,874 FirstEnergy, Ser B 6.450%, 11/15/11 600 639 FirstEnergy, Ser C 7.375%, 11/15/31 6,820 7,999 Florida Power 5.900%, 03/01/33 325 336 Florida Power & Light 4.950%, 06/01/35 925 857 Hydro-Quebec, Ser JL 6.300%, 05/11/11 1,525 1,647 Kansas Gas & Electric (B) 5.647%, 03/29/21 935 925 Oncor Electric Delivery 6.375%, 01/15/15 660 713 Pacific Gas & Electric 6.050%, 03/01/34 3,167 3,295 Pepco Holdings 6.450%, 08/15/12 570 610 Pinnacle West Energy (A) (B) 4.004%, 04/01/07 5,000 5,000 Power Contract Financing (B) 5.200%, 02/01/06 1,695 1,699 Progress Energy 7.000%, 10/30/31 1,070 1,189 PSE&G Power 8.625%, 04/15/31 435 565 Public Service 7.875%, 10/01/12 990 1,164 SP Powerassets (B) 5.000%, 10/22/13 150 151 Scottish Power 5.375%, 03/15/15 675 681 4.910%, 03/15/10 1,350 1,349 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 95 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Sonat 7.625%, 07/15/11 $ 2,850 $ 2,893 TXU Energy 7.000%, 03/15/13 780 847 4.360%, 01/17/06 (A) (J) 770 770 TXU, Ser O 4.800%, 11/15/09 2,600 2,505 TXU, Ser R (J) 6.550%, 11/15/34 4,510 4,186 Virginia Electric & Power, Ser A 5.750%, 03/31/06 2,400 2,415 ---------- 78,328 ---------- Total Corporate Obligations (Cost $1,414,241) ($ Thousands) 1,433,850 ---------- U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 31.6% FHLMC 9.000%, 12/01/05 1 1 7.500%, 11/01/29 to 09/01/32 4,374 4,637 7.000%, 12/01/06 to 06/01/32 10,054 10,444 6.500%, 08/01/08 to 10/01/31 12,145 12,533 6.000%, 01/01/13 to 09/01/35 37,983 38,795 5.500%, 07/01/11 to 10/13/35 66,891 67,404 5.000%, 10/01/18 to 09/01/35 82,304 81,578 4.500%, 07/01/19 to 05/01/20 5,806 5,687 4.000%, 04/01/19 to 10/01/33 3,539 3,265 FHLMC TBA 6.000%, 10/01/19 to 10/13/35 13,293 13,562 5.000%, 10/15/33 to 10/13/35 6,400 6,262 4.500%, 10/18/20 4,300 4,210 FNMA 9.000%, 07/01/07 -- -- 8.000%, 02/01/13 to 10/01/15 425 449 7.500%, 11/01/29 to 12/01/31 11 12 7.000%, 12/01/07 to 07/01/32 8,916 9,320 6.500%, 02/01/13 to 12/01/34 22,512 23,231 6.000%, 12/01/13 to 04/01/35 44,072 44,820 5.500%, 12/01/13 to 06/01/35 132,842 133,818 5.000%, 01/01/18 to 09/01/33 47,666 47,488 4.950%, 07/01/15 96 96 4.890%, 04/01/12 1,069 1,075 4.518%, 04/01/09 1,968 1,955 4.500%, 06/01/18 to 09/01/33 18,414 17,968 4.000%, 07/01/10 to 08/01/20 6,634 6,446 3.035%, 10/01/35 16,500 16,823 FNMA TBA 6.500%, 10/01/32 to 10/13/35 43,326 44,585 6.000%, 10/01/34 to 10/13/35 55,469 56,388 5.500%, 10/15/18 to 10/13/35 184,137 184,563 5.000%, 10/18/20 to 11/25/35 242,004 238,848 4.500%, 10/18/20 to 10/13/35 14,000 13,538 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ GNMA 8.000%, 11/15/29 to 01/15/31 $ 538 $ 576 7.500%, 03/15/29 to 01/15/32 772 822 7.000%, 08/15/13 to 11/15/32 2,061 2,168 6.500%, 07/15/14 to 07/15/35 15,946 16,596 6.000%, 03/15/14 to 09/15/35 37,537 38,518 5.500%, 04/15/14 to 07/15/14 1,347 1,380 3.750%, 05/20/34 (A) 6,767 6,635 GNMA TBA 6.500%, 09/22/34 15,800 16,433 6.000%, 10/01/33 to 10/20/35 68,800 70,455 5.000%, 10/01/33 54,800 54,218 ---------- Total U.S. Government Mortgage-Backed Obligations (Cost $1,304,614) ($ Thousands) 1,297,602 ---------- ASSET-BACKED SECURITIES -- 26.0% AUTOMOTIVE -- 1.6% AESOP Funding, Ser 2003-4A, Cl A1 (A) 4.026%, 08/20/07 2,100 2,103 AmeriCredit Automobile Receivables Trust, Ser 2003-DM, Cl A4 2.840%, 08/06/10 959 942 AmeriCredit Automobile Receivables Trust, Ser 2005-CF, Cl A3 4.470%, 05/06/10 1,389 1,388 Capital Auto Receivables Asset Trust, Ser 2004-1, Cl A3 2.000%, 11/15/07 1,540 1,520 Capital Auto Receivables Asset Trust, Ser 2004-2, Cl A2 3.350%, 02/15/08 694 684 Capital Auto Receivables Asset Trust, Ser 2005-SN1A, Cl A1 (K) (L) 3.327%, 05/15/06 15,507 15,507 Chase Manhattan Auto Owner Trust, Ser 2003-A, Cl A4 2.060%, 12/15/09 1,146 1,113 Chase Manhattan Auto Owner Trust, Ser 2004-A, Cl A3 2.080%, 05/15/08 3,287 3,247 Chase Manhattan Auto Owner Trust, Ser 2005-A, Cl A3 3.870%, 06/15/09 9,325 9,223 Chesapeake Funding, Ser 2003-1, Cl A1 (A) 3.939%, 08/07/08 7,210 7,212 DaimlerChrysler Auto Trust, Ser 2004-B, Cl A3 3.180%, 09/08/08 2,212 2,188 DaimlerChrysler Auto Trust, Ser 2005-B, Cl A2 3.750%, 12/08/07 936 934 - -------------------------------------------------------------------------------- 96 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Drivetime Auto Owner Trust, Ser 2004-B, Cl A2 2.586%, 06/15/07 $ 1,254 $ 1,249 Drivetime Auto Owner Trust, Ser 2005-B, Cl A1 (A) (K) (L) 3.788%, 01/15/06 2,016 2,016 Ford Credit Auto Owner Trust, Ser 2002-D, Cl A4B (A) 3.888%, 11/15/06 7,114 7,114 Ford Credit Auto Owner Trust, Ser 2005-A, Cl A3 3.480%, 11/15/08 873 863 Ford Credit Auto Owner Trust, Ser 2005-B, Cl A3 4.170%, 01/15/09 1,498 1,490 Ford Credit Auto Owner Trust, Ser 2005-B, Cl A4 4.380%, 01/15/10 445 443 Goldman Sachs Auto Loan Trust, Ser 2005-1, Cl A3 4.450%, 05/17/10 1,068 1,065 Hyundai Auto Receivables Trust, Ser 2005-A, Cl A4 4.180%, 02/15/12 1,298 1,281 Nissan Auto Receivables Owner Trust, Ser 2005-B, Cl A2 3.750%, 09/17/07 761 758 Onyx Acceptance Owner Trust, Ser 2005-B, Cl A4 4.340%, 05/15/12 376 372 Triad Auto Receivables Owner Trust, Ser 2005-B, Cl A3 4.280%, 06/14/10 809 805 USAA Auto Owner Trust, Ser 2004-3, Cl A3 3.160%, 02/17/09 1,226 1,208 WFS Financial Owner Trust, Ser 2003-4, Cl A4 3.150%, 05/20/11 264 259 WFS Financial Owner Trust, Ser 2005-3, Cl A4 4.390%, 05/17/13 1,618 1,605 Whole Auto Loan Trust, Ser 2004-1, Cl A4 3.260%, 03/15/11 586 572 ---------- 67,161 ---------- - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ CREDIT CARDS -- 2.2% American Express Credit Account Master, Ser 2004-3, Cl A 4.350%, 12/15/11 $ 2,320 $ 2,302 American Express Credit Account Master, Ser 2005-3, Cl A (A) 3.768%, 01/18/11 8,475 8,476 Capital One Master Trust, Ser 2001-8A, Cl A 4.600%, 08/17/09 534 534 Capital One Master Trust, Ser 2001-3A, Cl A 5.450%, 03/16/09 4,320 4,349 Capital One Multi-Asset Execution Trust, Ser 2005, Cl A2 4.050%, 02/15/11 1,701 1,682 Captial One Multi-Asset Execution Trust, Ser 2005-A8, Cl A 4.400%, 08/15/11 5,077 5,056 Chase Issuance Trust, Ser 2004-A9, Cl A9 3.220%, 06/15/10 8,425 8,216 Citibank Credit Card Issuance Trust, Ser 2000-A1, Cl A1 6.900%, 10/15/07 8,005 8,015 Citibank Credit Card Issuance Trust, Ser 2000-A3, Cl A3 6.875%, 11/16/09 549 575 3.100%, 03/10/10 300 290 Citibank Credit Card Issuance Trust, Ser 2003-A6, Cl A6 2.900%, 05/17/10 21,015 20,157 Citibank Credit Card Issuance Trust, Ser 2004-A1, Cl A1 2.550%, 01/20/09 14,404 14,049 Citibank Credit Card Issuance Trust, Ser 2005-B1, Cl B1 4.400%, 09/15/10 1,071 1,062 MBNA Credit Card Master Note Trust, Ser 2004-A4, Cl A4 2.700%, 09/15/09 9,500 9,245 MBNA Credit Card Master Note Trust, Ser 2005-A1, Cl A1 4.200%, 09/15/10 3,683 3,656 MBNA Credit Card Master Note Trust, Ser 2005-A3, Cl A3 4.100%, 10/15/12 1,442 1,412 ---------- 89,076 ---------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 97 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ MORTGAGE RELATED SECURITIES -- 21.6% ABS Home Equity Loan Trust, Ser 2001-HE3, Cl A1 (A) 4.038%, 11/15/31 $ 1,391 $ 1,392 AFC Home Equity Loan Trust, Ser 1998-1, Cl 1A2 (A) 4.100%, 04/25/28 228 230 AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A (A) 4.070%, 03/25/30 8,958 8,968 American Business Financial Services, Ser 2002-1, Cl A5 (D) 6.510%, 12/15/32 2,600 2,651 Ameriquest Mortgage Securities, Ser 2004-R12, Cl A3 (A) 4.110%, 01/25/35 1,256 1,259 Asset Securitization, Ser 1996-D2, Cl A1 6.920%, 02/14/29 8,350 8,404 Asset-Backed Funding Certificates, Ser 2005-WF1, Cl A2B (A) 4.010%, 01/25/35 1,154 1,154 Atlantic City Electric Transition Funding, Ser 2003-1 Cl A1 2.890%, 07/20/11 305 296 Banc of America Commercial Mortgage, Ser 2005-3, Cl A4 4.668%, 07/10/43 11,300 11,016 Banc of America Mortgage Securities, Ser 2005-B, Cl 2A1 (A) 5.146%, 04/20/35 8,787 8,763 Bank of America Mortgage Securities, Ser 2003-1, Cl 2A4 5.000%, 02/25/18 7,733 7,666 Bank of America Mortgage Securities, Ser 2004-5, Cl 4A1 5.000%, 06/25/19 3,103 3,095 Bank of America Mortgage Securities, Ser 2004-6, Cl 4A1 5.000%, 07/25/19 3,271 3,243 Bayview Financial Acquisition Trust, Ser 2005-B, Cl 1A1 (D) 4.443%, 04/28/39 3,568 3,568 Bear Stearns Asset-Backed Securities, Ser 2000-2, Cl M2 (D) 8.280%, 08/25/30 8,000 8,366 Bear Stearns Asset-Backed Securities, Ser 2001-A, Cl AI4 (D) 6.820%, 02/15/31 836 839 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR8, Cl AAB 4.581%, 06/11/41 $ 2,511 $ 2,451 Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR9, Cl A4A 4.871%, 09/11/42 1,069 1,060 Blue Heron Funding, Ser 9A, Cl A1 (A) (K) (L) 3.860%, 02/22/06 15,279 15,279 CCN Independence IV (A) (K) (L) 3.842%, 10/17/05 8,403 8,403 3.838%, 07/17/06 5,348 5,348 CDC Mortgage Capital Trust, Ser 2003-HE2, Cl A (A) 4.180%, 10/25/33 1,174 1,175 CSFB, Ser 1997-C2, Cl AX (A) 1.130%, 01/17/35 31,990 687 CSFB, Ser 1998-C2, Cl A2 6.300%, 11/11/30 11,600 12,081 CSFB, Ser 2001-MH29, Cl A (D) 5.600%, 09/25/31 2,023 1,969 CSFB, Ser 2002-CKS4, Cl A2 5.183%, 11/15/36 1,876 1,902 CSFB, Ser 2002-CP5, Cl A2 4.940%, 12/15/35 7,205 7,185 CSFB, Ser 2003-CPN1, Cl A2 4.597%, 03/15/35 456 449 Carrington Mortgage Loan Trust, Ser 2005-OPT2, Cl A1B (A) 3.980%, 05/25/35 1,086 1,086 Chase Commercial Mortgage Securities, Ser 2000-1, Cl A2 7.757%, 04/15/32 3,398 3,664 Chase Commercial Mortgage Securities, Ser 2000-3, Cl A2 7.319%, 10/15/32 2,575 2,827 Chase Funding Mortgage Loan, Ser 2002-1, Cl 2A2 (A) 4.080%, 03/25/32 3,483 3,492 Chase Manhattan Commercial Mortgage Trust, Ser 99-C2, Cl A2 (A) 7.546%, 11/17/32 5,610 6,109 Cheyne High Grade, Ser 2004-1A, Cl A1 (A) (K) (L) 3.780%, 11/10/05 8,785 8,785 Commercial Mortgage Pass-Through Certificate, Ser 1999-1, Cl E (A) 7.228%, 05/15/32 830 884 - -------------------------------------------------------------------------------- 98 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Commodore, Ser 2003-2A, Cl A1MM (A) (K) (L) 3.914%, 12/12/05 $ 7,028 $ 7,028 Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1 8.130%, 08/15/31 2,800 2,947 Conseco Finance Securitization, Ser 2000-4, Cl A5 7.970%, 05/01/32 4,175 3,326 Conseco Finance Securitization, Ser 2000-4, Cl A6 8.310%, 05/01/32 1,500 1,224 Conseco Finance, Ser 2001-A, Cl IIB1 10.300%, 03/15/32 3,975 4,119 Conseco Finance, Ser 2001-C, Cl A4 6.190%, 03/15/30 297 299 Conseco Finance, Ser 2001-D, Cl A5 (D) 6.190%, 11/15/32 4,130 4,217 Contimortgage Home Equity Loan Trust, Ser 1997-1, Cl A9 7.050%, 03/15/28 231 231 Contimortgage Home Equity Loan Trust, Ser 1997-2, Cl A9 7.090%, 04/15/28 323 324 Countrywide Alternative Loan Trust, Ser 2004-27CB, Cl A1 6.000%, 12/25/34 6,307 6,386 Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1 6.000%, 02/25/34 2,111 2,131 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 2A1 (A) 4.215%, 08/25/35 12,239 12,239 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 (A) 3.965%, 08/25/35 3,779 3,794 Countrywide Alternative Loan Trust, Ser 2005-56, Cl 4A1 (A) 4.269%, 11/25/35 16,500 16,500 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1 (A) 4.170%, 11/20/35 18,500 18,500 Countrywide Alternative Loan Trust, Ser 2005-J4, Cl 2A1B (A) 3.950%, 07/25/35 1,467 1,465 Countrywide Asset-Backed Certificates, Ser 2003-C2, Cl 2A1 (A) 4.130%, 06/25/33 1,066 1,068 Countrywide Asset-Backed Certificates, Ser 2004-14, Cl A4 (A) 4.110%, 06/25/35 6,415 6,436 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Countrywide Asset-Backed Certificates, Ser 2004-3N, Cl NOTE (A) 4.030%, 05/25/09 $ 2,197 $ 2,196 Countrywide Home Equity Loan Trust, Ser 2001-A, Cl A (A) 4.008%, 04/15/27 4,003 4,005 Countrywide Home Equity Loan Trust, Ser 2004-K, Cl A2 (A) 4.068%, 02/15/34 6,873 6,885 Countrywide Home Equity Loan Trust, Ser 2005-F, Cl 2A (A) 3.980%, 08/15/33 16,500 16,500 Countrywide Home Equity Loan Trust, Ser 2005-H, Cl 2A (A) 4.070%, 10/25/35 16,500 16,500 Countrywide Home Loans, Ser 2005-R3, Cl AF (A) 4.230%, 09/25/35 11,200 11,200 Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 (A) 4.058%, 10/25/33 12,000 11,983 Criimi Mae Commercial Mortgage, Ser 1998-C1, Cl A2 7.000%, 06/02/33 14,450 14,780 DLJ Commercial Mortgage, Ser 1999-CG1, Cl A1B 6.460%, 03/10/32 5,030 5,280 DLJ Commercial Mortgage, Ser 1999-CG2, Cl A1B 7.300%, 06/10/32 5,525 5,971 DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B (A) 4.189%, 11/19/44 13,465 13,450 DSLA Mortgage Loan Trust, Ser 2004-AR3, Cl 2A2A (A) 4.159%, 07/19/44 6,915 6,921 Detroit Edison Securitization, Ser 2001-1, Cl A4 6.190%, 03/01/13 1,055 1,118 Duke Funding, Ser 2004-6B, Cl A1S1 (A) (K) (L) 3.630%, 10/10/06 11,459 11,459 EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1 (A) 4.300%, 05/25/39 3,718 3,738 EQCC Trust, Ser 2002-1, Cl 2A (A) 4.130%, 11/25/31 1,182 1,184 Equivantage Home Equity Loan Trust, Ser 1997-2, Cl A3 (D) 7.780%, 07/25/28 420 419 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 99 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ FFCA Secured Lending, Ser 1997-1, IO (A) (I) 0.370%, 02/18/22 $ 89 $ 1 FFCA Secured Lending, Ser 1999-1A, IO (A) (I) 1.614%, 09/18/25 14,250 582 First Horizon, Ser 2004-HE2, Cl A (A) 4.050%, 02/25/34 6,331 6,336 First Union National Bank, Ser 2001-C3, Cl A3 6.423%, 08/15/33 7,691 8,248 First Union National Bank, Ser 2001-C4, Cl B 6.417%, 12/12/33 809 872 First Union-Lehman Brothers, Ser 1997-C2, Cl X, IO (A) 1.390%, 11/18/29 4,445 182 Fleet Home Equity Trust, Ser 2001-1, Cl A (A) 4.006%, 05/20/31 427 427 Fund America Investors, Ser 1993-A, Cl A2 (A) 5.920%, 06/25/23 522 522 GE Capital Commercial Mortgage, Ser 2002-1A, Cl A3 6.269%, 12/10/35 5,610 6,003 GE Capital Commercial Mortgage, Ser 2003-C2, Cl A4 5.145%, 07/10/37 496 502 GE Capital Mortgage Services, Ser 1997-HE3, Cl A6 6.720%, 10/25/27 976 974 GMAC Commercial Mortgage Securities, Ser 1998-C1, Cl A2 6.700%, 05/15/30 10,841 11,267 GMAC Commercial Mortgage Securities, Ser 1999-C2, Cl A2 6.945%, 09/15/33 100 107 GMAC Commercial Mortgage Securities, Ser 1999-C3, Cl A2 7.179%, 08/15/36 5,482 5,862 GMAC Commercial Mortgage Securities, Ser 2004-C1, Cl A1 3.118%, 03/10/38 811 789 GMAC Commercial Mortgage Securities, Ser 2004-C2, Cl A1 3.896%, 08/10/38 263 259 GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4 5.023%, 04/10/40 1,336 1,336 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ GS Mortgage Securities, Ser 1998-GLII, Cl A2 6.562%, 04/13/31 $ 1,700 $ 1,768 GS Mortgage Securities, Ser 2005-GG4, Cl A4 4.761%, 07/10/39 6,800 6,670 GSAMP Trust, Ser 2003-SEA, Cl A1 (A) 4.230%, 02/25/33 7,226 7,258 GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1 (A) 4.506%, 10/25/33 9,138 8,887 Goldman Sachs Mortgage Securities, Ser 1998-C1, Cl A3 6.135%, 10/18/30 4,196 4,330 Green Tree Financial, Ser 1993-4, Cl A5 7.050%, 01/15/19 764 787 Green Tree Financial, Ser 1996-5, Cl A6 7.750%, 07/15/27 2,042 2,176 Green Tree Financial, Ser 1998-6, Cl A6 6.270%, 06/01/30 920 927 Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A4 4.755%, 06/10/36 2,195 2,184 Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AAB (A) 4.619%, 08/10/42 6,305 6,207 Harborview Mortgage Loan Trust, Ser 2005-01, Cl X, IO (F) (I) 1.100%, 03/19/35 44,128 1,269 Harborview Mortgage Loan Trust, Ser 2005-10, Cl X, IO (A) (I) 1.474%, 11/19/35 48,032 1,621 Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2B, IO (A) (I) 2.204%, 10/19/35 40,000 1,225 Harwood Street Funding II, Ser 2005-1A, Cl NOTE (A) (K) (L) 3.880%, 06/25/06 15,279 15,279 Heller Financial Commercial Mortgage, Ser 1999-PH1, Cl A2 6.847%, 05/15/31 4,200 4,445 Heller Financial Commercial Mortgage, Ser 1999-PH1, Cl C (A) 7.052%, 05/15/31 250 267 Homebanc Mortgage Trust, Ser 2005-4, Cl A1 (A) 4.100%, 10/25/35 5,026 5,026 Household Home Equity Loan Trust, Ser 2002-3, Cl A (A) 4.246%, 07/20/32 1,302 1,303 - -------------------------------------------------------------------------------- 100 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ IMPAC CMB Trust, Ser 2003-12, Cl A1 (A) 4.210%, 12/25/33 $ 6,964 $ 6,972 IMPAC CMB Trust, Ser 2005-1, Cl 1A1 (A) 4.090%, 04/25/35 1,355 1,357 IMPAC CMB Trust, Ser 2005-5, Cl A1 (A) 4.150%, 08/25/35 1,261 1,262 Indymac Home Equity Loan Trust, Ser 2000-A, Cl AV1 (A) 4.090%, 06/25/31 780 780 Indymac Indx Mortgage Loan Trust, Ser 2004-AR12, Cl AX2, IO (I) 0.931%, 12/25/34 32,197 986 JP Morgan Chase Commercial Mortgage, Ser 1997-C5, Cl X (A) 1.440%, 09/15/29 5,287 181 JP Morgan Chase Commercial Mortgage, Ser 2001-CIB2, Cl A3 6.429%, 04/15/35 5,170 5,546 JP Morgan Chase Commercial Mortgage, Ser 2002-CIB4, Cl A3 6.162%, 05/12/34 5,000 5,320 JP Morgan Chase Commercial Mortgage, Ser 2005-CB12, Cl A4 4.895%, 09/12/37 680 673 JP Morgan Chase Commercial Mortgage, Ser 2005-LDP4, Cl A4 (A) 4.920%, 10/15/42 3,700 3,679 LB Commercial Conduit Mortgage, Ser 1999-C2, Cl A1 7.105%, 10/15/32 434 442 LB Commercial Conduit Mortgage, Ser 2000-C4, Cl A2 7.370%, 08/15/26 4,855 5,338 LB-UBS Commercial Mortgage Trust, Ser 1999-C2, Cl B 7.425%, 10/15/32 378 413 LB-UBS Commercial Mortgage Trust, Ser 2003-C7, Cl A4 (A) 4.931%, 09/15/35 880 878 LB-UBS Commercial Mortgage Trust, Ser 2005-C2, Cl A1 4.590%, 04/15/30 458 457 LB-UBS Commercial Mortgage Trust, Ser 2005-C3, Cl A5 4.739%, 07/15/30 2,767 2,713 Lehman Brothers Commercial Mortgage, Ser 1998-C2, Cl A2 6.560%, 11/18/35 3,316 3,440 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Lehman XS Trust, Ser 2005-5, Cl 1A1 4.100%, 10/25/35 $ 16,500 $ 16,500 MLCC Mortgage Investors, Ser 2004-B, Cl A3 (A) 4.730%, 05/25/29 4,980 5,053 Master Asset Backed Securities Trust, Ser 2004-FRE1, Cl A2 (A) 4.170%, 07/25/34 1,582 1,586 Master Asset Backed Securities Trust, Ser 2004-OPT2, Cl A2 (A) 4.180%, 09/25/34 438 439 Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1 6.000%, 08/25/34 7,448 7,567 Master Seasoned Securities Trust, Ser 2004-2, Cl A2 6.500%, 08/25/32 8,287 8,420 Merrill Lynch Mortgage Investors, Ser 1996-C2, Cl A3 6.960%, 11/21/28 2,409 2,442 Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A (A) 5.350%, 02/25/34 10,175 10,087 Merrill Lynch Mortgage Trust, Ser 2003-KEY1, Cl A3 4.893%, 11/12/35 502 501 Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl A4 (A) 5.047%, 07/12/38 1,593 1,594 Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl AM (A) 5.107%, 07/12/38 542 542 Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl ASB (A) 5.022%, 07/12/38 1,309 1,313 Merrill Lynch Mortgage Trust, Ser 2005-KEY1, Cl A4 (A) 5.236%, 11/12/35 3,951 4,008 Merrill Lynch Mortgage Trust, Ser 2005-MCP1, Cl A4 (A) 4.747%, 06/12/43 3,780 3,697 Mid-State Trust, Ser 11, Cl A1 4.864%, 07/15/38 6,601 6,306 Money Store SBA Loan Trust, Ser 1999-1, Cl A (A) 4.300%, 07/15/25 678 673 Morgan Stanley Capital I, Ser 1998-HF2, Cl A2 6.480%, 11/15/30 3,980 4,132 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 101 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Morgan Stanley Capital I, Ser 2004-HQ4, Cl A2 3.920%, 04/14/40 $ 1,227 $ 1,205 Morgan Stanley Capital I, Ser 2004-WMC2, Cl A2 (A) 4.190%, 07/25/34 2,191 2,191 Morgan Stanley Capital I, Ser 2005-HQ6, Cl A4A 4.989%, 08/13/42 10,780 10,760 Morgan Stanley Capital I, Ser 2005-HQ6, Cl AAB 4.973%, 08/13/42 2,139 2,140 Morgan Stanley Capital I, Ser 2005-T19, Cl AAB 4.852%, 06/12/47 1,475 1,465 Morgan Stanley Dean Witter Capital, Ser 2000-LIFE, Cl A2 7.570%, 11/15/36 3,500 3,834 Morgan Stanley Dean Witter Capital, Ser 2001-TOP1, Cl A4 6.660%, 02/15/33 828 892 Morgan Stanley, Ser 2003-NC8, Cl A2 (A) 4.190%, 09/25/33 2,437 2,440 Mortgage Capital Funding, Ser 1998-MC2, Cl A2 6.423%, 06/18/30 5,552 5,740 Nomura Asset Securities, Ser 1996-MD5, Cl A1B 7.120%, 04/13/39 6,100 6,174 Novastar Home Equity Loan, Ser 1998-2, Cl A2 (A) 3.876%, 08/25/28 599 600 Novastar Home Equity Loan, Ser 2005-2, Cl A2B (A) 3.980%, 10/25/35 1,086 1,086 Oncor Electric Delivery Transition Bond, Ser 2003-1, Cl A2 4.030%, 02/15/12 5,000 4,919 Option One Mortgage Loan Trust, Ser 2001-4, Cl A (A) 4.430%, 01/25/32 1,698 1,698 Orchid Structured Finance, Ser 2003-1A, Cl A1MM (A) (K) (L) 3.902%, 11/18/05 13,444 13,444 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AMM2 (A) (K) (L) 3.880%, 11/25/05 18,083 18,083 RMAC, Ser 2004-NS3A, Cl A1 (A) (K) (L) 3.728%, 09/12/06 5,000 5,000 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Residential Asset Mortgage Products, Ser 2003-RS3, Cl AII (A) 4.190%, 04/25/33 $ 589 $ 591 Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 6.500%, 11/25/31 5,286 5,403 Residential Asset Mortgage, Ser 2003-RS2, Cl AII (A) 4.170%, 03/25/33 398 399 Residential Asset Securities, Ser 2002-KS7, Cl A2 (A) 4.200%, 11/25/32 4,194 4,205 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 (A) 5.247%, 12/25/34 8,029 8,050 Residential Funding Mortgage Securities, Ser 2000-HI1, Cl AI7 (D) 8.290%, 02/25/25 7,224 7,227 Residential Funding Mortgage Securities, Ser 2005-HS1, Cl AI1 (A) 3.950%, 09/25/35 16,400 16,395 Salomon Brothers Mortgage Securities VII, Ser 2001-C2, Cl A3 6.499%, 10/13/11 5,750 6,192 Saturn Ventures II (A) (K) (L) 3.749%, 02/07/06 15,279 15,279 Securitized Asset Backed Receivables LLC, Ser 2005-FR4, Cl A3 (A) 4.040%, 01/25/36 9,115 9,115 Start, Ser 2003-1, Cl X 1.620%, 01/21/10 7,667 7,628 Start, Ser 2003-2, Cl X (A) 2.480%, 01/21/09 9,698 9,695 Structured Adjustable Rate Mortgage Loan, Ser 2005-19XS, Cl 1A1 (A) 4.150%, 10/25/35 6,585 6,585 Structured Asset Investment Loan Trust, Ser 2005-1, Cl A4 (A) 4.060%, 02/25/35 2,387 2,385 TIAA Real Estate, Ser 2003 1A, Cl A1 (A) (K) (L) 3.868%, 09/28/06 9,865 9,865 Terwin Mortgage Trust, Ser 2005-9HGS, Cl A1 (A) 4.000%, 09/25/35 12,102 12,045 Thornburg Mortgage Securities Trust, Ser 2005-3, Cl 2A1 (A) 4.078%, 08/25/45 16,500 16,500 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C20, Cl APB (A) 5.090%, 07/15/42 1,080 1,085 - -------------------------------------------------------------------------------- 102 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Wachovia Bank Commercial Mortgage Trust, Ser 2003-C6, Cl A3 4.957%, 08/15/35 $ 737 $ 738 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3 4.445%, 11/15/35 839 822 Wachovia Bank Commercial Mortgage Trust, Ser 2004-C12, Cl A4 (A) 5.411%, 07/15/41 543 555 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C16, Cl B (A) 4.945%, 10/15/41 746 732 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C17, Cl A4 (A) 5.083%, 03/15/42 1,764 1,771 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C18, Cl APB 4.807%, 04/15/42 1,089 1,079 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C19, Cl APB 4.621%, 05/15/44 1,413 1,379 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C20, Cl A7 (A) 5.118%, 07/15/42 2,142 2,156 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C20, Cl B (A) 5.376%, 07/15/42 1,068 1,074 Washington Mutual Mortgage, Ser 2003-MS1, Cl 1A 5.000%, 02/25/18 3,135 3,101 Washington Mutual Mortgage, Ser 2003-MS2, Cl 3A1 5.000%, 03/25/18 9,033 8,957 Washington Mutual Mortgage, Ser 2005-AR13, Cl A1A1 4.328%, 11/25/45 13,520 13,520 Wells Fargo, Ser 2003-3, Cl 1A21 5.250%, 04/25/33 2,346 2,344 Wells Fargo, Ser 2004-H, Cl A-1 (A) 4.530%, 06/25/34 9,924 9,727 Whitehawk CDO Funding, Ser 2004-1A, Cl AMMD (A) (K) (L) 3.890%, 06/15/06 3,820 3,820 Whitehawk CDO Funding, Ser 2004-1A, Cl AMME (A) (K) (L) 3.890%, 09/15/06 2,292 2,292 ---------- 887,146 ---------- - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ OTHER ASSET-BACKED SECURITIES -- 0.6% Comed Transitional Funding Trust, Ser 2005-1, Cl A6 5.630%, 06/25/09 $ 408 $ 413 Embarcadero Aircraft, Ser 2000-A, Cl A1 (A) 4.248%, 08/15/25 7,500 4,857 Encore Credit Receivables Trust, Ser 2005-3, Cl 2A1 (A) 3.950%, 10/25/35 1,327 1,327 MSDWCC Heloc Trust, Ser 2005-1, Cl A (A) 4.020%, 07/25/17 2,026 2,026 Massachusetts RRB Special Purpose Trust, Ser 2005-1, Cl A2 3.780%, 09/15/10 1,400 1,380 PG&E Energy Recovery Funding, Ser 2005-1, Cl A2 3.870%, 06/25/11 431 426 Peco Energy Transition Trust, Ser 1999-A, Cl A6 6.050%, 03/01/09 739 750 SLM Student Loan Trust, Ser 2003-11, Cl A5 2.990%, 12/15/22 2,246 2,203 SLM Student Loan Trust, Ser 2004-1, Cl A2 (A) 3.790%, 07/25/18 1,359 1,364 SLM Student Loan Trust, Ser 2005-7, Cl A3 4.410%, 07/25/25 2,091 2,084 SLM Student Loan Trust, Ser 2005-8, Cl A4 3.788%, 01/25/28 3,237 3,231 Stingray Pass-Through Trust (B) 5.902%, 01/12/15 4,500 4,488 Structured Asset Investment Loan Trust, Ser 2005-5, Cl A2 (A) 3.920%, 06/25/35 870 870 ---------- 25,419 ---------- Total Asset-Backed Securities (Cost $1,089,158) ($ Thousands) 1,068,802 ---------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 103 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ U.S. TREASURY OBLIGATIONS -- 23.0% U.S. Treasury Bonds 10.375%, 11/15/12 (J) $ 7,950 $ 8,938 8.875%, 08/15/17 (J) 2,780 3,898 8.750%, 08/15/20 (J) 2,315 3,350 8.500%, 02/15/20 (J) 4,900 6,919 8.125%, 08/15/19 (J) 22,865 31,217 7.125%, 02/15/23 (J) 5,523 7,166 6.250%, 08/15/23 to 05/15/30 (J) 81,543 99,924 6.125%, 11/15/27 (J) 17,830 21,514 6.000%, 02/15/26 (J) 17,010 20,061 5.500%, 08/15/28 100 112 5.375%, 02/15/31 (J) 15,471 17,332 3.875%, 04/15/29 (E) 5,205 7,126 3.625%, 04/15/28 (E) (J) 12,164 15,915 2.375%, 01/15/25 (E) (J) 27,850 29,795 U.S. Treasury Notes 4.250%, 01/15/10 (E) (J) 2,543 2,845 4.250%, 08/15/13 to 08/15/15 (J) 53,347 52,989 4.125%, 08/15/08 to 05/15/15 (J) 18,991 18,745 4.000%, 08/31/07 to 02/15/15 (J) 55,042 54,582 4.000%, 09/30/07 37,580 37,454 3.875%, 07/31/07 to 09/15/10 (J) 120,517 118,849 3.750%, 03/31/07 to 05/15/08 (J) 23,900 23,695 3.625%, 06/30/07 to 01/15/10 (J) 13,453 13,234 3.500%, 08/15/09 to 02/15/10 (J) 93,809 91,265 3.375%, 01/15/07 to 01/15/12 (E) 2,524 2,635 3.375%, 02/15/08 to 10/15/09 (J) 47,000 45,679 3.125%, 01/31/07 to 10/15/08 (J) 89,528 87,781 3.000%, 11/15/07 to 02/15/08 (J) 49,780 48,533 2.000%, 07/15/14 (E) (J) 18,927 19,334 .875%, 07/15/13 to 07/15/15 (E) (J) 14,610 14,775 1.625%, 01/15/15 (E) (J) 12,213 12,068 0.875%, 04/15/10 (E) (J) 8,632 8,411 U.S. Treasury STRIPS (H) (J) 4.977%, 11/15/21 43,310 20,452 ---------- Total U.S. Treasury Obligations (Cost $935,224) ($ Thousands) 946,593 ---------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 12.0% FHLB 4.375%, 09/17/10 (J) 3,255 3,237 3.625%, 11/14/08 40 39 3.599%, 10/03/05 72,900 72,887 3.181%, 10/12/05 8,523 8,514 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ FHLMC 6.625%, 09/15/09 (J) $ 16,769 $ 18,048 5.625%, 03/15/11 (J) 2,748 2,892 4.625%, 05/28/13 (J) 3,750 3,637 4.125%, 04/02/07 9,018 8,988 4.125%, 07/12/10 (J) 5,485 5,395 3.010%, 04/19/07 5,050 4,949 FHLMC CMO, Ser 1, Cl Z 9.300%, 04/15/19 326 325 FHLMC CMO, Ser 1081, Cl K 7.000%, 05/15/21 456 456 FHLMC CMO, Ser 1101, Cl M 6.950%, 07/15/21 792 793 FHLMC CMO, Ser 1611, Cl Z 6.500%, 11/15/23 12,383 13,012 FHLMC CMO, Ser 1983, Cl Z 6.500%, 12/15/23 2,362 2,469 FHLMC CMO, Ser 2043, Cl CJ 6.500%, 04/15/28 5,689 5,896 FHLMC CMO, Ser 2207, Cl PL 6.500%, 12/15/29 803 826 FHLMC CMO, Ser 2277, Cl B 7.500%, 01/15/31 1,524 1,533 FHLMC CMO, Ser 2389, Cl CD 6.000%, 03/15/16 8,250 8,390 FHLMC CMO, Ser 2399, Cl XG 6.500%, 01/15/32 11,862 12,232 FHLMC CMO, Ser 2542, Cl ES 5.000%, 12/15/17 3,910 3,905 FHLMC CMO, Ser 2544, Cl IW, IO 5.500%, 03/15/26 7,039 645 FHLMC CMO, Ser 2544, Cl Ml 5.000%, 04/15/12 1,339 1,345 FHLMC CMO, Ser 2579, Cl PI, IO 5.500%, 03/15/27 3,105 221 FHLMC CMO, Ser 2588, Cl IG, IO 5.500%, 03/15/32 7,997 1,066 FHLMC CMO, Ser 2621, Cl IJ, IO 5.500%, 12/15/26 3,320 324 FHLMC CMO, Ser 2625, IO 5.000%, 12/15/31 3,558 458 FHLMC CMO, Ser 2631, Cl IJ, IO 5.000%, 10/15/26 3,780 549 FHLMC CMO, Ser 2631, Cl MT 3.500%, 01/15/22 218 214 FHLMC CMO, Ser 2645, Cl MK 3.500%, 07/15/22 1,779 1,743 FHLMC CMO, Ser 2682, Cl WK 3.000%, 01/15/21 1,944 1,912 - -------------------------------------------------------------------------------- 104 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ FHLMC CMO, Ser 2692, Cl YB 3.500%, 05/15/16 $ 2,614 $ 2,570 FHLMC CMO, Ser 2731, Cl PK 3.500%, 05/15/26 3,977 3,899 FHLMC CMO, Ser 2733, Cl ME 5.000%, 01/15/34 5,995 5,772 FHLMC CMO, Ser 2736, Cl DB 3.300%, 11/15/26 4,914 4,759 FHLMC CMO, Ser 2809, Cl HX, IO 6.000%, 10/15/24 5,889 447 FHLMC CMO, Ser 2825, Cl PM 5.500%, 03/15/30 9,527 9,583 FHLMC CMO, Ser 2825, Cl QM 5.500%, 03/15/30 4,566 4,593 FHLMC CMO, Ser 2833, Cl JD 5.500%, 09/15/29 130 131 FHLMC CMO, Ser 2841, Cl YA 5.500%, 07/15/27 6,068 6,138 FHLMC CMO, Ser 2858, Cl JM 5.500%, 03/15/30 2,561 2,576 FHLMC CMO, Ser 2864, Cl NA 5.500%, 01/15/31 5,800 5,884 FHLMC CMO, Ser 2945, Cl SA 5.511%, 03/15/20 8,250 8,010 FHLMC CMO, Ser 2957, Cl KJ 4.500%, 10/15/24 44 44 FHLMC CMO, Ser 2957, Cl KN 5.500%, 06/15/30 928 933 FHLMC CMO, Ser 2958, Cl MD 5.500%, 01/15/31 2,634 2,647 FHLMC CMO, Ser 2960, Cl EH 4.500%, 05/15/24 1,270 1,262 FHLMC CMO, Ser 2962, Cl CJ 5.500%, 11/15/23 10,862 10,979 FHLMC CMO, Ser 2963, Cl Wl 4.500%, 07/15/25 3,230 3,205 FHLMC CMO, Ser 2966, Cl XC 5.500%, 01/15/31 1,363 1,370 FHLMC CMO, Ser 2968, Cl PD 5.500%, 01/15/31 1,581 1,590 FHLMC CMO, Ser 2972, Cl UG 5.500%, 08/15/34 3,834 3,840 FHLMC CMO, Ser 2973, Cl EB 5.500%, 04/15/35 5,275 5,364 FHLMC CMO, Ser 2975, Cl OE 5.500%, 10/15/31 6,294 6,325 FHLMC CMO, Ser 2975, Cl Ol 4.500%, 06/15/26 5,069 5,026 FHLMC CMO, Ser 2978, Cl JE 5.500%, 05/15/35 1,576 1,579 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ FHLMC CMO, Ser 2980, Cl LD 5.500%, 12/15/33 $ 4,722 $ 4,726 FHLMC CMO, Ser 2982, Cl LC 4.500%, 01/15/25 5,917 5,872 FHLMC CMO, Ser 2982, Cl ND 5.500%, 02/15/34 2,464 2,466 FHLMC CMO, Ser 2983, Cl RB 5.500%, 07/15/29 997 1,003 FHLMC CMO, Ser 2992, Cl OG 5.500%, 06/15/33 615 615 FHLMC CMO, Ser 2992, Cl OE 5.500%, 10/15/31 1,117 1,122 FNMA 6.000%, 05/15/11 (J) 5,514 5,899 5.125%, 05/27/15 (J) 4,150 4,102 3.250%, 01/15/08 (J) 8,213 8,003 3.125%, 03/16/09 (J) 3,810 3,637 3.000%, 03/02/07 (J) 11,705 11,481 2.908%, 12/05/05 (C) 1,860 1,848 2.875%, 03/15/07 4,890 4,787 2.710%, 01/30/07 (J) 17,700 17,322 2.350%, 04/05/07 (J) 10,490 10,182 2.350%, 04/29/06 1,700 1,682 1.750%, 06/16/06 1,980 1,945 FNMA CMO, Ser 1999-11, Cl Z 5.500%, 03/25/29 9,311 9,211 FNMA CMO, Ser 2001-T2, Cl B 6.022%, 11/25/10 4,500 4,750 FNMA CMO, Ser 2002-22, Cl PE 6.500%, 11/25/30 263 263 FNMA CMO, Ser 2002-94, Cl BJ, IO 5.500%, 04/25/16 1,497 136 FNMA CMO, Ser 2003-113, Cl PN 3.500%, 02/25/13 2,537 2,494 FNMA CMO, Ser 2003-35, Cl BC 5.000%, 05/25/18 1,960 1,956 FNMA CMO, Ser 2003-76, Cl DE 4.000%, 09/25/31 7,341 7,014 FNMA CMO, Ser 2003-87, Cl TJ 4.500%, 09/25/18 3,200 3,095 FNMA CMO, Ser 2003-92, Cl KQ 3.500%, 06/25/23 4,125 4,044 FNMA CMO, Ser 2004-88, Cl HA 6.500%, 07/25/34 3,388 3,516 FNMA CMO, Ser 2004-99, Cl AO 5.500%, 01/25/34 5,516 5,575 FNMA CMO, Ser 2005-25, Cl PD 5.500%, 11/25/30 745 748 FNMA CMO, Ser 2005-3, Cl AP 5.500%, 02/25/35 4,680 4,750 FNMA CMO, Ser 2005-36, Cl CA 5.500%, 10/25/26 78 79 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 105 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ FNMA CMO, Ser 2005-57, Cl EG (A) 4.130%, 03/25/35 $ 4,957 $ 4,960 FNMA CMO, Ser 2005-57, Cl PA 5.500%, 05/25/27 8,993 9,091 FNMA CMO, Ser 2005-70, Cl NA 5.500%, 08/25/35 445 451 FNMA CMO, Ser 2005-92, Cl NM 3.500%, 04/25/13 2,334 2,286 FNMA CMO, Ser 342, Cl 2, IO 6.000%, 09/01/33 4,661 947 FNMA CMO, Ser 51, Cl KC 4.500%, 01/25/25 10,738 10,644 FNMA CMO, Ser 51, Cl NC 5.500%, 12/25/30 5,239 5,253 FNMA CMO, Ser 51, Cl TA 5.500%, 12/25/33 4,577 4,599 FNMA CMO, Ser 63, Cl QP 3.500%, 10/25/31 4,968 4,696 FNMA, Ser 2005-50, Cl PM 5.500%, 09/25/33 904 903 FNMA, Ser 2005-65, Cl WG 4.500%, 08/25/26 5,134 5,103 FNMA, Ser 2005-77, Cl BX 4.500%, 07/25/28 11,129 11,055 GNMA CMO, Ser 2001-18, Cl WH (A) 14.950%, 04/20/31 701 814 GNMA CMO, Ser 2002-51, Cl SG (A) 16.049%, 04/20/31 601 672 GNMA CMO, Ser 2003-58, Cl LG, IO 5.500%, 05/17/29 4,036 706 GNMA CMO, Ser 2003-66, Cl WU 3.750%, 03/20/26 2,116 2,083 GNMA CMO, Ser 2003-86, Cl LC, IO 5.500%, 10/20/27 9,984 888 GNMA CMO, Ser 2004-80, Cl IP, IO 5.500%, 07/20/34 10,691 1,188 Small Business Administration CMO, Ser 2003-P10A, Cl 1 4.524%, 02/10/13 6,238 6,213 ---------- Total U.S. Government Agency Obligations (Cost $495,869) ($ Thousands) 492,301 ---------- COMMERCIAL PAPER (H) -- 5.3% FINANCIALS -- 5.3% Altius I Funding (K) 3.864%, 10/27/05 22,918 22,835 Arlington Funding (K) 3.857%, 10/14/05 16,733 16,702 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) - ------------------------------------------------------------ Brahms Funding (K) 3.861%, 10/26/05 $ 6,111 $ 6,094 Buckingham (K) 3.940%, 11/14/05 2,785 2,771 Cre-8 Funding (K) 3.908%, 11/01/05 7,639 7,605 3.902%, 10/28/05 15,279 15,232 3.862%, 10/19/05 7,639 7,617 3.762%, 10/07/05 4,584 4,569 Davis Square V Funding (K) 3.934%, 11/02/05 30,557 30,447 3.932%, 10/28/05 1,528 1,523 General Electric Capital 3.650%, 10/20/05 12,840 12,815 Main Street Warehouse Funding (K) 3.881%, 10/24/05 15,279 15,236 RAB USA 3.870%, 10/03/05 11,924 11,921 Rams Funding (K) 3.879%, 10/18/05 16,553 16,516 3.863%, 10/27/05 16,233 16,179 3.861%, 10/19/05 7,450 7,431 3.861%, 10/20/05 5,225 5,210 Rhineland Funding (K) 4.027%, 11/28/05 3,453 3,430 3.871%, 10/24/05 5,821 5,805 UBS Financial 3.860%, 10/03/05 7,154 7,152 ---------- Total Commercial Paper (Cost $217,090) ($ Thousands) 217,090 ---------- MASTER NOTES (K) -- 1.4% Bank of America 4.018%, 10/01/05 38,197 38,197 Bear Stearns 4.113%, 10/01/05 18,334 18,334 ---------- Total Master Notes (Cost $56,531) ($ Thousands) 56,531 ---------- CASH EQUIVALENTS -- 0.3% Evergreen Select Money Market Fund 20,571 21 SEI Daily Income Trust, Prime Obligation Fund, Cl A+ 13,912,935 13,913 ---------- Total Cash Equivalents (Cost $13,934) ($ Thousands) 13,934 ---------- - -------------------------------------------------------------------------------- 106 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands)/Contacts ($ Thousands) - ------------------------------------------------------------ CERTIFICATES OF DEPOSIT -- 0.3% HSBC Bank USA 3.870%, 06/07/07 $ 8,925 $ 8,840 SunTrust Bank 4.415%, 06/15/09 1,675 1,656 ---------- Total Certificates of Deposit (Cost $10,600) ($ Thousands) 10,496 ---------- MUNICIPAL BONDS -- 0.1% Fort Irwin, California, GO 5.300%, 12/15/35 1,560 1,514 Liberty, New York, Corporate Development Revenue, Goldman Sachs Headquaters, RB 5.250%, 10/01/35 1,260 1,407 Los Angeles County, California, Taxable Pension Obligation, Ser D, RB, MBIA Insured (F) 7.725%, 06/30/10 3,850 3,070 ---------- Total Municipal Bonds (Cost $5,640) ($ Thousands) 5,991 ---------- PURCHASED OPTIONS -- 0.0% October 2005 Euro-BOBL Future Call, Expires 10/21/2005, Strike Price $96 286 2 ---------- Total Purchased Options (Cost $46) ($ Thousands) 2 ---------- REPURCHASE AGREEMENTS -- 11.1% Barclays Capital Markets 3.840%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $95,798,188 (collateralized by various U.S. Government Obligations, ranging in par value $15,902,154- $63,633,374, 1.875%-7.250%, 06/15/06 - 01/15/10; with total market value $97,748,077)(K) 95,768 95,768 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Deutsche Bank Securites 3.750%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $74,896,798 (collateralized by various U.S. Government Obligations, ranging in par value $168,635- $20,167,796, 0.000%-5.875%, 10/07/05 - 09/29/25; with total market value $76,370,978)(K) $ 74,873 $ 74,873 Lehman Brothers 3.700%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $16,505,088 (collateralized by TVA, par value $12,505,000, 7.125%, 05/01/30; with total market value $16,829,979) 16,500 16,500 Lehman Brothers 3.820%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $20,632,721 (collateralized by various U.S. Government Obligations, ranging in par value $1,385,008- $16,009,716, 0.000%- 3.500%, 08/15/06 - 04/15/30; with total market value $21,039,404)(K) 20,626 20,626 Nomura Securities 3.850%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $246,278,989 (collateralized by various U.S. Government Obligations, ranging in par value $14,915,000- 50,000,000, 2.125%-4.72%, 02/13/06-03/15/10; with total market value $251,230,081) 246,200 246,200 ---------- Total Repurchase Agreements (Cost $453,967) ($ Thousands) 453,967 ---------- Total Investments -- 146.0% (Cost $5,996,914) ($ Thousands) $5,997,159 ========== - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 107 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Concluded) September 30, 2005 - ------------------------------------------------------------ Market Value Description Contracts ($ Thousands) - ------------------------------------------------------------ WRITTEN OPTIONS -- 0.0% December 2005 Ten Year Treasury Note Future Call, Expires 11/18/05, Strike Price $113 (150) $ (9) December 2005 Ten Year Treasury Note Future Call, Expires 11/18/05, trike Price $114 (27) (1) December 2005 Ten Year Treasury Note Future Put, Expires 11/18/05, Strike Price $109 (177) (80) December 2005 Ten Year Treasury Note Future Put, Expires 11/18/05, Strike Price $111 (172) (250) October 2005 Euro-BOBL Future Put, Expires 10/21/2005, Strike Price $96.625 (286) (4) ---------- Total Written Options (Premium Received $(332)) ($ Thousands) (344) ---------- Futures -- A summary of the open futures contracts held by the fund at September 30, 2005, is as follows: (see Note 2 in Notes to Financial Statements) - ---------------------------------------------------------------- UNREALIZED APPRECIATION TYPE OF NUMBER OF EXPIRATION (DEPRECIATION) CONTRACT CONTRACTS DATE ($ THOUSANDS) - ---------------------------------------------------------------- U.S. Ten Year Note (327) December 2005 $ 537 U.S. Five Year Note 38 December 2005 (25) U.S. Long Treasury Bond (695) December 2005 1,531 Euro BOBL (258) December 2005 220 90 Day Euro$ (99) September 2006 60 90 Day Euro$ 1,457 March 2006 (826) ------ $1,497 ------ Forward Foreign Currency Contracts -- The following forward foreign currency contracts were outstanding at September 30, 2005 (See Note 2 in Notes to Financial Statements): - ------------------------------------------------------------- UNREALIZED MATURITY CURRENCY CURRENCY APPRECIATION DATES TO DELIVER TO RECEIVE ($ THOUSANDS) - ------------------------------------------------------------- 10/20/05 EUR 7,330,599 USD $8,881,658 $36 10/20/05 USD 657 EUR 534 -- --- $36 --- Swaps -- At September 30, 2005, the following Credit Default Swap agreements were outstanding (See Note 2 in Notes to Financial Statements). - -------------------------------------------------------------------------------------------- NOTIONAL NET UNREALIZED EXPIRATION AMOUNT DEPRECIATION DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------------------- Fund receives semi-annual payment of 0.950% (1.900% per annum) times notional amount of GSAMP Trust, Ser 2005-HE1, Cl B2, 5.014%, 11/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counter Party: Citibank) 11/25/34 $ 633 $ (11) Fund receives semi-annual payment of 0.950% (1.900% per annum) times notional amount of ACE Securities Corp., Ser 2004-RM2, Cl B1, 5.014%, 01/25/35. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counter Party: Citibank) 01/25/35 633 (10) Fund receives semi-annual payment of 1.675% (3.350% per annum) times notional amount of Aegis Asset Backed Securities Trust, Ser 2004-5, Cl B3, 6.814%, 12/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counter Party: Citibank) 12/25/34 633 (25) Fund receives semi-annual payment of 1.025% (2.050% per annum) times notional amount of Ameriquest Mortgage Securities Inc., Ser 2004-R6, Cl M3, 5.464%, 07/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counter Party: Citibank) 07/25/34 633 (11) Fund receives semi-annual payment of 0.975% (1.950% per annum) times notional amount of CDC Mortgage Capital Trust, Ser 2004-HE3, Cl B2, 5.264%, 11/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counter Party: Citibank) 11/25/34 633 (9) Fund receives semi-annual payment of 0.950% (1.900% per annum) times notional amount of Countrywide Asset-Backed Certificates, Ser 2004-12, Cl MV8, 5.114%, 11/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counter Party: Citibank) 05/25/34 633 (10) Fund receives semi-annual payment of 1.025% (2.050% per annum) times notional amount of Countrywide Asset-Backed Certificates, Ser 2004-6, Cl M8, 5.514%, 05/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counter Party: Citibank) 05/25/34 633 (11) Fund receives semi-annual payment of 1.000% (2.000% per annum) times notional amount of Countrywide Asset-Backed Certificates, Ser 2004-ECC2, Cl M8, 5.464%, 06/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counter Party: Citibank) 06/25/34 1,056 (18) Fund receives semi-annual payment of 1.500% (3.000% per annum) times notional amount of Countrywide Asset-Backed Certificates, Ser 2004-ECC1, Cl B, 4.814%, 01/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counter Party: Citibank) 02/25/34 1,056 (25) Fund receives semi-annual payment of 1.525% (3.050% per annum) times notional amount of Home Equity Asset Trust, Ser 2004-8, Cl B3, 6.414%, 03/25/35. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counter Party: Citibank) 03/25/35 633 (22) - -------------------------------------------------------------------------------- 108 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - -------------------------------------------------------------------------------------------- NOTIONAL NET UNREALIZED EXPIRATION AMOUNT DEPRECIATION DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------------------- Fund receives semi-annual payment of 1.015% (2.030% per annum) times notional amount of Long Beach Mortgage Loan Trust, Ser 2004-2, Cl M5, 5.564%, 06/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counter Party: Citibank) 06/25/34 $ 633 $ (10) Fund receives semi-annual payment of 1.050% (2.100% per annum) times notional amount of Masters Asset Backed Securities Trust, Ser 2004-WMC2, Cl M5, 5.714%, 06/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counter Party: Citibank) 06/25/34 633 (12) Fund receives semi-annual payment of 1.025% (2.050% per annum) times notional amount of Morgan Stanley ABS Equity I, Ser 2004-HE6, Cl B2, 5.264%, 08/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counter Party: Citibank) 08/25/34 633 (11) Fund receives semi-annual payment of 1.035% (2.070% per annum) times notional amount of Morgan Stanley ABS Equity I, Ser 2004-NC5, Cl B2, 5.564%, 05/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counter Party: Citibank) 05/25/34 633 (11) Fund receives semi-annual payment of 1.450% (2.900% per annum) times notional amount of New Century Home Equity Loan Trust, Ser 2004-4, Cl M9, 6.014%, 02/25/35.Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counter Party: Citibank) 02/25/35 1,056 (31) Fund receives semi-annual payment of 0.950% (1.900% per annum) times notional amount of Residential Asset Securities Corporation, Ser 2004-KS10, Cl M5, 5.164%, 11/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counter Party: Citibank) 11/25/34 633 (9) - -------------------------------------------------------------------------------------------- $(236) - -------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Description - -------------------------------------------------------------------------------- Percentages are based on Net Assets of $4,106,989,915. + 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 September 30, 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." (C) Security, or portion thereof, has been pledged as collateral on open futures and written options 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 September 30, 2005. The coupon on a step bond changes on a specified date. (E) Treasury Inflation Index Notes (F) Zero-coupon security. Rate shown is the effective yield at the date of purchase. (G) Security in default on interest payments. (H) Rate reported is the effective yield at time of purchase. (I) Securities considered illiquid. The total value of such securities as of September 30, 2005 was $12,000 ($ Thousands) and represented 0.29% of Net Assets. (J) This security or a partial position of this security is on loan at September 30, 2005 (see Note 7). The total value of securities on loan at September 30, 2005 was $1,052,157 ($ Thousands). (K) This security was purchased with cash collateral held from securities lending (see Note 7). The total value of such securities as of September 30, 2005 was $1,094,482 ($ Thousands). (L) The date reported on the Schedule of Investments is the date in effect as of September 30, 2005. Cl -- Class CDO -- Collateralized Debt Obligation CMO -- Collateralized Mortgage Obligation EUR -- Euro EXL -- Extendable Maturity FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association GO -- General Obligation IO -- Interest Only LLC -- Limited Liability Company MBIA -- Municipal Bond Insurance Association MTN -- Medium Term Note PLC -- Public Limited Company RB -- Revenue Bond Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced TVA -- Tennessee Valley Authority USD -- U.S. Dollar Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 109 STATEMENT OF NET ASSETS High Yield Bond Fund September 30, 2005 - ------------------------------------------------------------ SECTOR WEIGHTINGS# (UNAUDITED): [BAR GRAPH OMITTED] 21.1% Consumer Discretionary 15.3% Financials 13.4% Industrials 8.5% Materials 7.0% Telecommunication Services 5.9% Health Care 4.9% Short-Term Investments 4.7% Energy 4.1% Utilities 3.8% Loan Participations 3.2% Asset-Backed Securities 2.6% Consumer Staples 2.0% Information Technology 1.6% Collateralized Debt Obligations 0.9% Collateralized Loan Obligations 0.5% Preferred/Convertible Stocks 0.2% Convertible Bond 0.1% U.S. Government Agency Obligations 0.1% Common Stock 0.1% Warrants #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ CORPORATE OBLIGATIONS -- 93.3% CONSUMER DISCRETIONARY -- 24.6% 155 E Tropicana LLC 8.750%, 04/01/12 $ 4,225 $ 4,098 AMC Entertainment 8.040%, 08/15/10 (D) 1,000 1,005 8.000%, 03/01/14 5,130 4,514 AMC Entertainment, Ser B 8.625%, 08/15/12 420 422 AMF Bowling Worldwide (G) 10.000%, 03/01/10 1,880 1,871 Accuride 8.500%, 02/01/15 4,535 4,444 Adelphia Communications, Ser B (C) (G) 9.050%, 01/15/08 4,775 3,056 Adesa 7.625%, 06/15/12 1,000 1,000 Advanstar Communications 10.750%, 08/15/10 1,025 1,145 Affinia Group (A) 9.000%, 11/30/14 350 273 Alderwoods Group 7.750%, 09/15/12 550 577 American Casino & Entertainment 7.850%, 02/01/12 425 438 American Tower (G) 7.500%, 05/01/12 225 238 7.250%, 12/01/11 1,850 1,966 American Tower Escrow (E) (G) 6.176%, 08/01/08 475 366 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Ameristar Casinos 10.750%, 02/15/09 $ 2,100 $ 2,244 Amscan Holdings (G) 8.750%, 05/01/14 4,210 3,684 Asbury Automotive (G) 9.000%, 06/15/12 6,750 6,784 Ashtead Holdings PLC (A) 8.625%, 08/01/15 1,795 1,887 Aztar (G) 7.875%, 06/15/14 6,330 6,615 Bear Creek (A) 9.000%, 03/01/13 5,055 5,232 Boyd Gaming 8.750%, 04/15/12 425 458 7.750%, 12/15/12 600 631 6.750%, 04/15/14 150 151 Broder Brothers 11.250%, 10/15/10 2,460 2,435 Brown Shoe 8.750%, 05/01/12 2,795 2,949 CBD Media Holdings (G) 9.250%, 07/15/12 2,950 3,002 CCH I Holdings LLC (G) (A) 11.000%, 10/01/15 2,072 2,021 CCM Merger (A) (G) 8.000%, 08/01/13 6,415 6,471 CCO Holdings 8.750%, 11/15/13 (G) 3,670 3,624 8.750%, 11/15/13 (A) 1,750 1,728 CSK Auto 7.000%, 01/15/14 200 187 Cablevision Systems, Ser B (G) 8.000%, 04/15/12 3,025 2,934 7.890%, 04/01/09 (D) 2,450 2,511 Canwest Media 8.000%, 09/15/12 925 982 Carmike Cinemas 7.500%, 02/15/14 1,925 1,670 Carrols (A) 9.000%, 01/15/13 1,095 1,111 Charter Communications Holdings 16.300%, 01/15/11 (B) 1,732 1,438 10.250%, 09/15/10 3,000 3,075 10.000%, 05/15/11 1,325 961 9.625%, 11/15/09 742 631 8.375%, 04/30/14 (A) (G) 550 553 8.000%, 04/30/12 (A) (G) 85 86 Cinemark (B) 10.130%, 03/15/14 1,725 1,207 Cinemark USA 9.000%, 02/01/13 1,815 1,874 - -------------------------------------------------------------------------------- 110 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Collins & Aikman Floorcovering, Ser B 9.750%, 02/15/10 $ 700 $ 675 Cooper Standard Auto 8.375%, 12/15/14 4,715 3,961 Cornell 10.750%, 07/01/12 975 1,004 Corrections of America 6.250%, 03/15/13 3,000 2,970 Del Laboratories 8.000%, 02/01/12 1,950 1,604 Delco Remy International (G) 11.000%, 05/01/09 1,560 1,014 9.375%, 04/15/12 3,560 1,994 Delphi 7.125%, 05/01/29 2,925 1,872 6.550%, 06/15/06 2,675 1,966 Denny's (G) 10.000%, 10/01/12 2,075 2,075 Dex Media 8.500%, 11/15/13 (B) 3,150 2,481 8.000%, 11/15/13 300 308 Dex Media East 9.875%, 11/15/09 1,500 1,631 Dex Media West/Finance, Ser B 9.875%, 08/15/13 1,950 2,152 Dura Operating, Ser D 9.000%, 05/01/09 3,100 2,154 Echostar 6.375%, 10/01/11 825 818 5.750%, 10/01/08 1,900 1,874 El Dorado Casino Shreveport (G) 10.000%, 08/01/12 2,065 1,941 Elizabeth Arden 7.750%, 01/15/14 1,475 1,501 Equinox Holdings (G) 9.000%, 12/15/09 1,425 1,462 Eye Care Centers of America (A) (G) 10.750%, 02/15/15 1,870 1,758 Ford Motor 9.500%, 09/15/11 1,800 1,795 9.215%, 09/15/21 350 316 8.900%, 01/15/32 (G) 950 800 7.450%, 07/16/31 12,450 9,711 GSC Holdings (A) 8.000%, 10/01/12 (G) 4,515 4,492 7.875%, 10/01/11 (D) 595 596 Gaylord Entertainment 6.750%, 11/15/14 250 242 General Motors 8.250%, 07/15/23 5,035 3,915 Goodyear Tire & Rubber (A) (G) 9.000%, 07/01/15 2,815 2,773 Gregg Appliances (A) 9.000%, 02/01/13 2,755 2,590 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Group 1 Automotive 8.250%, 08/15/13 $ 3,500 $ 3,430 HMH Properties, Ser B 7.875%, 08/01/08 125 127 Harrahs Operating 8.000%, 02/01/11 75 84 Herbst Gaming 8.125%, 06/01/12 150 157 7.000%, 11/15/14 (G) 200 200 Houghton Mifflin (G) 9.875%, 02/01/13 720 763 Hydrochem Industrial (A) 9.250%, 02/15/13 950 885 ITT 7.375%, 11/15/15 500 542 Inn of the Mountain Gods 12.000%, 11/15/10 1,175 1,328 Intrawest 7.500%, 10/15/13 1,200 1,228 Isle of Capri Casinos (G) 7.000%, 03/01/14 7,370 7,066 Jo-Ann Stores 7.500%, 03/01/12 425 401 Jostens Holding (B) 10.440%, 12/01/13 5,440 3,917 Kabel Deutschland (A) 10.625%, 07/01/14 5,117 5,654 Kerzner International (A) 6.750%, 10/01/15 2,845 2,756 LBI Media (B) 9.360%, 10/15/13 1,300 980 Lamar Media (A) 6.625%, 08/15/15 650 661 Las Vegas Sands 6.375%, 02/15/15 450 434 Lazydays RV Center 11.750%, 05/15/12 4,125 4,352 Leslie's Poolmart 7.750%, 02/01/13 375 379 Levi Strauss (G) 9.750%, 01/15/15 2,675 2,728 Lin Television 6.500%, 05/15/13 1,200 1,137 6.500%, 05/15/13 (A) (G) 3,770 3,572 Loews Cineplex Entertainment 9.000%, 08/01/14 1,650 1,605 MGM Mirage (A) 6.625%, 07/15/15 2,295 2,269 Mandalay Resort Group, Ser B 10.250%, 08/01/07 50 54 Mediacom Broadband LLC (A) (G) 8.500%, 10/15/15 1,415 1,365 Mediacom LLC (G) 9.500%, 01/15/13 1,310 1,300 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 111 STATEMENT OF NET ASSETS High Yield Bond Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Metaldyne (A) 11.000%, 11/01/13 $ 1,210 $ 1,053 Mohegan Tribal Gaming 6.875%, 02/15/15 3,350 3,417 6.125%, 02/15/13 725 721 Movie Gallery (G) 11.000%, 05/01/12 4,340 3,841 Nationsrent 9.500%, 10/15/10 8,105 8,834 Neiman Marcus Group (A) 10.375%, 10/15/15 5,100 5,074 9.000%, 10/15/15 4,285 4,296 Nexstar Holdings LLC (B) 11.850%, 04/01/13 1,225 906 Nextmedia Operating 10.750%, 07/01/11 4,500 4,821 O'Charley's 9.000%, 11/01/13 1,025 1,086 Pantry 7.750%, 02/15/14 1,300 1,300 Park Place Entertainment 9.375%, 02/15/07 825 870 8.875%, 09/15/08 365 399 Paxson Communications 12.090%, 01/15/09 (B) 1,300 1,261 10.750%, 07/15/08 (G) 2,025 1,990 Penn National Gaming 6.875%, 12/01/11 750 754 6.750%, 03/01/15 (G) 3,275 3,209 Perry Ellis International, Ser B 8.875%, 09/15/13 5,045 5,171 Petro Stopping Centers 9.000%, 02/15/12 (A) 425 419 9.000%, 02/15/12 (G) 300 295 Phillips Van-Heusen 8.125%, 05/01/13 750 787 7.250%, 02/15/11 (G) 150 151 Pinnacle Entertainment (G) 8.750%, 10/01/13 6,025 6,206 8.250%, 03/15/12 6,325 6,325 Polypore International (B) 14.870%, 10/01/12 3,525 1,851 Prestige Brands (G) 9.250%, 04/15/12 1,075 1,102 Quebecor Media 11.125%, 07/15/11 1,475 1,611 Quicksilver (A) 6.875%, 04/15/15 550 528 RH Donnelley 10.875%, 12/15/12 (A) 1,900 2,133 6.875%, 01/15/13 2,325 2,203 RJ Tower (C) (G) 12.000%, 06/01/13 425 369 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Rent-A-Center, Ser B 7.500%, 05/01/10 $ 475 $ 454 Restaurant (The Restaurant Company) (A) (G) 10.000%, 10/01/13 1,180 1,133 Rexnord 10.125%, 12/15/12 1,000 1,095 Riddell Bell Holdings 8.375%, 10/01/12 2,675 2,635 Rogers Cable 6.750%, 03/15/15 475 476 San Pasqual Casino (A) 8.000%, 09/15/13 350 352 Satellite Telecom 5.250%, 11/01/08 1,475 1,357 Service 7.000%, 06/15/17 (A) 1,425 1,439 6.750%, 04/01/16 450 452 6.500%, 03/15/08 3,500 3,552 Sinclair Broadcast Group 8.750%, 12/15/11 (G) 1,820 1,911 8.000%, 03/15/12 470 481 6.019%, 07/15/18 (A)(B) 850 760 Sonic Automotive, Ser B 8.625%, 08/15/13 5,890 5,831 Stanadyne 12.520%, 02/15/15 (B) 2,625 1,417 10.000%, 08/15/14 (G) 2,575 2,549 Starwood Hotels & Resorts 7.375%, 05/01/07 1,400 1,444 6.750%, 11/15/05 425 426 Station Casinos 6.875%, 03/01/16 (A) 575 583 6.875%, 03/01/16 (G) 4,580 4,643 6.500%, 02/01/14 400 400 Stewart Enterprises (A) 6.250%, 02/15/13 690 655 Superior Essex Com & Essex Group 9.000%, 04/15/12 1,254 1,267 Susquehanna Media 7.375%, 04/15/13 495 517 Tenneco Automotive (G) 8.625%, 11/15/14 7,550 7,607 Town Sports International 10.400%, 02/01/14 (B) 8,515 5,748 9.625%, 04/15/11 (G) 2,185 2,270 Turning Stone Casino Entertainment (A) 9.125%, 12/15/10 5,690 5,918 United Components (G) 9.375%, 06/15/13 4,460 4,438 United Rentals North America 7.750%, 11/15/13 13,874 13,388 7.000%, 02/15/14 4,500 4,174 6.500%, 02/15/12 450 434 - -------------------------------------------------------------------------------- 112 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Universal City Florida 8.443%, 05/01/10 (D) $ 9,620 $ 9,981 8.375%, 05/01/10 125 130 Vertis, Ser B (G) 10.875%, 06/15/09 275 270 Vicorp Restaurants 10.500%, 04/15/11 650 634 Videotron 6.875%, 01/15/14 1,900 1,950 6.375%, 12/15/15 (A) (G) 25 25 Visteon (G) 8.250%, 08/01/10 1,150 1,092 7.000%, 03/10/14 1,000 867 WDAC Subsidiary (A) 8.375%, 12/01/14 2,375 2,298 Warner Music Group 7.375%, 04/15/14 400 401 Williams Scotsman (A) (G) 8.500%, 10/01/15 1,765 1,787 Wynn Las Vegas LLC 6.625%, 12/01/14 9,800 9,371 XM Satellite Radio (D) (G) 9.193%, 05/01/09 1,500 1,517 Yell Finance 13.500%, 08/01/11 (B) 1,590 1,614 10.380%, 08/01/11 875 958 ---------- 394,052 ---------- CONSUMER STAPLES -- 3.0% American Seafood 10.125%, 04/15/10 150 160 B & G Foods Holding 8.000%, 10/01/11 1,025 1,038 Burns Philips Capital 10.750%, 02/15/11 900 1,008 9.750%, 07/15/12 2,625 2,940 9.500%, 11/15/10 225 249 CCH I Holdings LLC (A) (B) (G) 15.170%, 01/15/14 18 15 Commonwealth Brands (A) 10.625%, 09/01/08 1,650 1,732 Del Monte (A) (G) 6.750%, 02/15/15 1,088 1,093 Dole Foods (G) 8.875%, 03/15/11 2,250 2,334 Fleming (C) 10.125%, 04/01/08 2,175 478 9.250%, 06/15/10 400 84 Gereral Nutrition Center (G) 8.500%, 12/01/10 400 341 Ingles Markets 8.875%, 12/01/11 1,300 1,313 Jean Countu Group (G) 8.500%, 08/01/14 6,620 6,587 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Johnson Diversey Holdings (B) 11.250%, 05/15/13 $ 650 $ 481 Le-Natures (A) 10.000%, 06/15/13 4,550 4,914 Natural Beef Pack 10.500%, 08/01/11 3,705 3,844 RJ Reynolds Tobacco Holdings 6.500%, 06/01/07 4,400 4,466 6.500%, 07/15/10 (A) 1,700 1,696 Rite Aid 12.500%, 09/15/06 325 345 9.500%, 02/15/11 500 530 7.700%, 02/15/27 300 240 7.500%, 01/15/15 1,625 1,552 6.875%, 08/15/13 (G) 200 170 6.875%, 12/15/28 725 544 Stater Brothers Holdings 8.125%, 06/15/12 (G) 4,930 4,868 7.370%, 06/15/10 (D) 4,385 4,319 Winn-Dixie Pass-Thru Trust 8.181%, 09/01/24 (A) (C) (G) 825 632 7.803%, 09/01/17 (A) (C) 518 391 ---------- 48,364 ---------- ENERGY -- 6.4% Baytex Energy 9.625%, 07/15/10 691 724 Belden & Blake 8.750%, 07/15/12 2,850 2,978 Chesapeake Energy 7.750%, 01/15/15 5,700 6,071 7.500%, 06/15/14 850 907 7.000%, 08/15/14 900 945 6.875%, 01/15/16 7,235 7,416 6.500%, 08/15/17 (A) 4,125 4,197 6.375%, 06/15/15 100 100 6.250%, 01/15/18 550 539 Clayton William Energy (A) 7.750%, 08/01/13 3,983 3,893 El Paso 9.625%, 05/15/12 3,985 4,403 7.875%, 06/15/12 (G) 600 621 7.625%, 08/16/07 (A) 700 712 7.625%, 09/01/08 1,700 1,728 7.420%, 02/15/37 1,575 1,449 7.000%, 05/15/11 1,200 1,197 6.750%, 05/15/09 (G) 625 619 El Paso MTN 8.050%, 10/15/30 2,100 2,131 7.375%, 12/15/12 675 678 El Paso Natrual Gas 8.375%, 06/15/32 625 710 Encore Acquisition (A) 6.000%, 07/15/15 550 536 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 113 STATEMENT OF NET ASSETS High Yield Bond Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Energy Partners 8.750%, 08/01/10 $ 1,355 $ 1,416 Forest Oil 8.000%, 12/15/11 2,095 2,315 7.750%, 05/01/14 (G) 830 882 Giant Industries 11.000%, 05/15/12 248 279 8.000%, 05/15/14 1,425 1,489 Grant Prideco (A) 6.125%, 08/15/15 1,200 1,212 Hanover Compressor 9.000%, 06/01/14 1,950 2,167 8.625%, 12/15/10 2,245 2,419 Hanover Equipment Trust, Ser 2001 B 8.750%, 09/01/11 1,025 1,089 Hilcorp Energy (A) 10.500%, 09/01/10 7,750 8,525 Hornbeck Offshore Services (A) 6.125%, 12/01/14 535 531 Newfield Exploration 7.625%, 03/01/11 1,950 2,111 Ocean Rig Norway (A) 8.375%, 07/01/13 600 650 Parker Drilling (D) 8.620%, 09/01/10 6,830 7,035 Pogo Producing (A) 6.875%, 10/01/17 875 887 Pogo Producing, Ser B 8.250%, 04/15/11 1,845 1,937 Premcor Refining 7.500%, 06/15/15 2,215 2,370 Pride International (G) 7.375%, 07/15/14 4,800 5,214 Range Resources 7.375%, 07/15/13 500 530 6.375%, 03/15/15 1,900 1,914 SESI LLC 8.875%, 05/15/11 2,000 2,110 Stone Energy 6.750%, 12/15/14 1,000 983 United Refining (G) 10.500%, 08/15/12 4,754 5,039 Veneco 8.750%, 12/15/11 800 832 Vintage Petroleum 8.250%, 05/01/12 1,325 1,418 Whiting Petroleum (A) 7.000%, 02/01/14 1,380 1,399 Williams 7.125%, 09/01/11 1,150 1,205 6.375%, 10/01/10 (A) 1,500 1,489 ---------- 102,001 ---------- - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ FINANCIALS -- 12.4% Alamosa Delaware 8.500%, 01/31/12 $ 2,315 $ 2,471 Allstate Life Global Funding II MTN (D) (H) (K) 3.788%, 10/16/06 2,024 2,024 American General Finance (A) (D) (H) (K) 3.768%, 10/16/06 14,214 14,213 American General Finance MTN, Ser F (H) 5.875%, 07/14/06 440 449 Arch Western Finance 6.750%, 07/01/13 5,895 6,013 Athena Neuro Finance LLC 7.250%, 02/21/08 100 96 BCP Crystal Holdings 9.625%, 06/15/14 210 234 CB Richard Ellis Service 11.250%, 06/15/11 950 1,036 9.750%, 05/15/10 646 712 CCN Bluegrass (D) (H) (K) 3.859%, 08/18/06 2,860 2,860 CIT Group MTN (D) (H) (K) 3.790%, 05/12/06 11,001 11,001 3.714%, 04/19/06 1,100 1,101 Cardtronics (A) 9.250%, 08/15/13 1,125 1,150 Caterpillar Financial Services MTN, Ser F (D) (H) (K) 3.670%, 07/10/06 2,200 2,200 Chase Funding Mortgage Loan, Ser 2003-4, Cl 2A2 (D) 4.130%, 05/25/33 868 870 Choctaw Resort Development Entity, (A) 7.250%, 11/15/19 2,125 2,133 Countrywide Financial Services MTN, Ser A (D) (H) (K) 3.920%, 09/13/06 8,141 8,141 3.760%, 07/31/06 2,200 2,200 Countrywide Home Loans MTN, Ser M (D) (H) (K) 3.851%, 11/30/05 2,816 2,816 3.760%, 01/31/06 968 968 Credit Suisse First Boston London (A) (D) 9.650%, 03/24/10 6,460 5,774 Crystal US Holdings, Ser B (B) 9.800%, 10/01/14 275 193 Dekabank (D) (H) (K) 3.614%, 08/19/06 8,141 8,139 E*Trade Financial (A) (G) 7.375%, 09/15/13 1,990 2,010 FTI Consulting (A) (G) 7.625%, 06/15/13 700 714 - -------------------------------------------------------------------------------- 114 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Ford Motor Credit 7.375%, 02/01/11 $ 675 $ 646 7.000%, 10/01/13 (G) 2,030 1,883 6.625%, 06/16/08 2,050 2,004 General Motors Acceptance 6.875%, 09/15/11 960 873 6.750%, 12/01/14 (G) 2,025 1,761 6.070%, 12/01/14 (D) 3,800 3,195 Host Marriot++ 7.125%, 11/01/13 200 204 Host Marriot, Ser M (G)++ 7.000%, 08/15/12 250 253 Innophos Investment (A) (D) (G) 11.790%, 02/15/15 4,201 3,997 Irish Life & Permanent MTN, Ser X (D) (H) (K) 3.812%, 09/21/06 5,853 5,852 Islandsbanki (A) (D) (H) (K) 3.869%, 09/22/06 3,740 3,740 Jackson National Life Funding (A) (D) (H) (K) 3.693%, 10/02/06 9,681 9,681 K&F Acquisition (G) 7.750%, 11/15/14 1,750 1,768 K2 LLC MTN (D) (H) (K) 3.809%, 12/12/05 264 264 Liberty Lighthouse US Capital MTN (D) (H) (K) 3.688%, 05/10/06 4,401 4,398 Meristar Hospitality++ 10.500%, 06/15/09 75 80 Merrill Investors (D) 4.130%, 10/25/34 133 134 Morgan Stanley EXL (D) (H) (K) 3.710%, 10/04/06 1,540 1,540 Morgan Stanley EXL, Ser S (D) (H) (K) 3.670%, 10/03/06 2,200 2,200 Natexis Banques (D) (H) (K) 3.810%, 10/16/06 4,291 4,290 Nationwide Building Society (A) (D) (H) (K) 4.030%, 07/28/06 2,200 2,200 3.689%, 01/06/06 4,401 4,401 Noble Group (A) 6.625%, 03/17/15 2,025 1,869 Nordbank (A) (D) (H) (K) 3.830%, 09/25/06 7,481 7,479 Northern Rock (A) (D) (H) (K) 3.690%, 10/03/06 4,533 4,533 Pacific Life Global Funding (A) (D) (H) (K) 3.760%, 10/13/06 3,300 3,300 Premium Asset Trust, Ser 2004-01 (A) (D) (H) (K) 3.800%, 02/06/06 4,577 4,580 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Premium Asset Trust, Ser 2004-06 (A) (D) (H) (K) 3.941%, 06/30/06 $ 4,181 $ 4,183 Premium Asset Trust, Ser 2004-10 (A) (D) (H) (K) 3.778%, 10/16/06 6,161 6,161 SLM EXL, Ser S (D) (H) (K) 3.768%, 10/16/06 4,841 4,841 SLM MTN, Ser X (D) (H) (K) 3.796%, 10/20/06 8,801 8,801 Senior Housing++ 7.875%, 04/15/15 2,025 2,157 Skandinav Enskilda Bank (D) (H) (K) 3.779%, 10/17/06 4,841 4,840 Trustreet Properties 7.500%, 04/01/15 1,150 1,176 7.500%, 04/01/15 (A) 775 792 Universal City Development 11.750%, 04/01/10 2,375 2,684 Ventas Realty 8.750%, 05/01/09 325 348 7.125%, 06/01/15++(A) 1,250 1,294 6.625%, 10/15/14++ 1,075 1,080 6.625%, 10/15/14++(A) 900 905 White Pine Finance MTN, Ser 1 (D) (H) (K) 3.663%, 11/01/05 1,936 1,936 ---------- 197,841 ---------- HEALTH CARE -- 6.9% Alliance Imaging (G) 7.250%, 12/15/12 850 778 AmerisourceBergen (A) 5.625%, 09/15/12 3,450 3,398 Bio-Rad Laboraties 6.125%, 12/15/14 1,100 1,067 Biovail 7.875%, 04/01/10 6,020 6,246 CDRV Investors (B) 10.680%, 01/01/15 2,200 1,254 Concentra Operating 9.500%, 08/15/10 575 602 Coventry Health Care 6.125%, 01/15/15 375 384 5.875%, 01/15/12 550 558 Davita 6.625%, 03/15/13 250 253 Elan Financial (A) (G) 7.750%, 11/15/11 1,025 902 Extendicare Health Services 9.500%, 07/01/10 1,198 1,276 Fisher Scientific International (A) 6.125%, 07/01/15 2,825 2,832 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 115 STATEMENT OF NET ASSETS High Yield Bond Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Genesis Healthcare 8.000%, 10/15/13 $ 950 $ 1,024 HCA 8.750%, 09/01/10 825 911 7.500%, 11/06/33 1,425 1,422 6.375%, 01/15/15 1,000 989 6.250%, 02/15/13 890 880 Healthsouth 7.625%, 06/01/12 6,700 6,264 Iasis Healthcare 8.750%, 06/15/14 1,425 1,478 Insight Health Services (A) (D) 9.174%, 11/01/11 4,645 4,529 Insight Health Services, Ser B 9.875%, 11/01/11 6,355 5,132 Kinetic Concepts 7.375%, 05/15/13 568 585 Leiner Health Products (G) 11.000%, 06/01/12 1,610 1,377 MQ Associates (B) (G) 13.080%, 08/15/12 3,200 2,032 Medcath Holdings 9.875%, 07/15/12 150 164 Medquest, Ser B 11.875%, 08/15/12 3,455 3,645 NBTY (A) 7.125%, 10/01/15 2,695 2,641 National Mentor (A) 9.625%, 12/01/12 1,875 1,959 National Nephrology (A) 9.000%, 11/01/11 750 834 Norcross Safety Products, Ser B 9.875%, 08/15/11 2,540 2,724 Polupore 8.750%, 05/15/12 825 726 Primedia (D) 9.165%, 05/15/10 1,915 2,020 Res-Care (A) 7.750%, 10/15/13 1,300 1,307 Select Medical 9.933%, 09/15/15 (A) (D) 1,400 1,393 7.625%, 02/01/15 9,120 8,732 Sybron Dental Specialties 8.125%, 06/15/12 850 910 Tenet Healthcare 9.875%, 07/01/14 600 627 9.250%, 02/01/15 (A) 11,075 11,186 Triad Hospitals 7.000%, 05/15/12 425 437 7.000%, 11/15/13 250 253 US Oncology Holdings 10.750%, 08/15/14 9,090 10,181 9.264%, 03/15/15 (A) (D) (G) 8,110 7,988 9.000%, 08/15/12 2,105 2,273 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ VWR International 8.000%, 04/15/14 (G) $ 2,000 $ 1,948 6.875%, 04/15/12 225 222 WH Holdings 9.500%, 04/01/11 1,800 1,940 Warner Chilcott (A) 8.750%, 02/01/15 225 216 ---------- 110,499 ---------- INDUSTRIALS -- 15.8% ALH Finance 8.500%, 01/15/13 2,325 2,197 Acih (A) (B) 12.440%, 12/15/12 1,450 979 Ahern Rentals (A) 9.250%, 08/15/13 1,675 1,713 Ainsworth Lumber 7.770%, 10/01/10 (D) (G) 6,580 6,564 7.250%, 10/01/12 1,650 1,551 6.750%, 03/15/14 2,575 2,317 Air 2 US (A) 8.027%, 10/01/19 2,548 2,384 Allied Waste North America (G) 6.125%, 02/15/14 150 140 Allied Waste North America, Ser B 8.875%, 04/01/08 (G) 2,550 2,658 8.500%, 12/01/08 5,230 5,452 7.375%, 04/15/14 (G) 125 118 5.750%, 02/15/11 150 140 Ames True Temper 10.000%, 07/15/12 3,730 2,909 Amsted Industries (A) 10.250%, 10/15/11 1,875 2,044 Associated Materials 14.120%, 03/01/14 (B) 1,725 863 9.750%, 04/15/12 675 653 Autocam 10.875%, 06/15/14 750 503 BE Aerospace, Ser B (G) 8.000%, 03/01/08 2,575 2,575 Borden (A) (D) (G) 8.349%, 07/15/10 4,723 4,723 Buhrmann US 8.250%, 07/01/14 3,400 3,477 7.875%, 03/01/15 1,225 1,231 Builders Firstsource (A) (D) 8.040%, 02/15/12 7,060 7,131 Cedar Brakes I LLC (A) 8.500%, 02/15/14 1,372 1,534 Cenveo (G) 7.875%, 12/01/13 2,695 2,601 Chart Industries (A) 9.125%, 10/15/15 1,270 1,270 - -------------------------------------------------------------------------------- 116 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Coinmach (G) 9.000%, 02/01/10 $ 375 $ 383 Columbus McKinnon 10.000%, 08/01/10 3,905 4,266 Contenintal Airlines, Ser RJ04 (G) 9.558%, 09/01/19 1,477 1,467 Continental Airlines (G) 8.000%, 12/15/05 2,495 2,476 Continental Airlines, Ser 982A 6.410%, 04/15/07 836 769 D R Horton 5.625%, 01/15/16 1,925 1,840 5.250%, 02/15/15 2,500 2,340 Dayton Superior 13.000%, 06/15/09 3,660 2,928 10.750%, 09/15/08 1,220 1,232 Delta Air Lines, Ser 01-1, Cl A-2 (G) 7.111%, 09/18/11 250 242 Delta Air Lines, Ser 00-1, Cl A2 (G) 7.570%, 11/18/10 5,250 5,069 Erico International 8.875%, 03/01/12 350 364 Fastentech 11.500%, 05/01/11 2,775 2,876 Gencorp 9.500%, 08/15/13 2,004 2,197 Goodman Global Holdings (A) (D) 6.410%, 06/15/12 525 513 Great Lakes Dredge & Dock (G) 7.750%, 12/15/13 1,150 1,055 Greenbrier 8.375%, 05/15/15 2,000 2,080 Gulfmark Offshore 7.750%, 07/15/14 3,075 3,267 H-lines Finance Holdings (A) (B) 8.720%, 04/01/13 2,425 2,013 Harvest Operations 7.875%, 10/15/11 1,900 1,876 Horizon Lines LLC 9.000%, 11/01/12 2,850 3,053 Huntsman Advance Materials 11.000%, 07/15/10 1,000 1,120 Ikon Office Solutions (A) (G) 7.750%, 09/15/15 1,575 1,547 Interface 9.500%, 02/01/14 550 550 Interline Brands 11.500%, 05/15/11 1,269 1,421 Invensys PLC (A) 9.875%, 03/15/11 5,575 5,540 Iron Mountain 8.250%, 07/01/11 (G) 250 254 6.625%, 01/01/16 600 564 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ J Ray Mcdermott (A) 11.000%, 12/15/13 $ 275 $ 315 J.B. Poindexter 8.750%, 03/15/14 325 296 K Hovnavian Enterprises 8.000%, 04/01/12 1,770 1,839 6.250%, 01/15/16 (A) 1,405 1,308 Kraton Polymers LLC (A) (G) 8.125%, 01/15/14 1,400 1,358 L-3 Communications 7.625%, 06/15/12 700 735 6.375%, 10/15/15 (A) 1,250 1,259 6.125%, 07/15/13 1,450 1,443 5.875%, 01/15/15 (G) 4,100 3,967 Language Line 11.125%, 06/15/12 525 483 MMI Products, Ser B 11.250%, 04/15/07 4,000 3,820 Maax Holdings 18.080%, 12/15/12 (A) (B) 6,050 2,541 9.750%, 06/15/12 1,075 935 Mac-Gray (A) 7.625%, 08/15/15 1,395 1,423 Magnachip Semiconductor 8.000%, 12/15/14 (G) 4,255 3,915 7.120%, 12/15/11 (D) 2,100 2,079 Meritage Homes 7.000%, 05/01/14 3,250 3,128 6.250%, 03/15/15 4,025 3,683 Millar Western Forest 7.750%, 11/15/13 3,260 2,779 Mueller Group 10.000%, 05/01/12 1,525 1,617 8.443%, 11/01/11 (D) 2,265 2,310 Mueller Holdings (B) 10.660%, 04/15/14 1,725 1,259 NCL (A) 11.625%, 07/15/14 1,125 1,187 NTK Holdings 4.855%, 03/01/14 2,625 1,470 Navistar International (G) 7.500%, 06/15/11 4,565 4,611 Nebraska Book 8.625%, 03/15/12 500 470 Nell Af Sarl (A) (G) 8.375%, 08/15/15 3,615 3,534 Nortek 8.500%, 09/01/14 5,425 4,991 North American Energy Partner 8.750%, 12/01/11 1,200 1,140 OMI 7.625%, 12/01/13 1,000 1,035 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 117 STATEMENT OF NET ASSETS High Yield Bond Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Park-Ohio Industries 8.375%, 11/15/14 $ 2,200 $ 1,909 Ply Gem 9.000%, 02/15/12 6,630 5,569 Polymer Holdings (A) (B) 9.970%, 07/15/14 2,175 1,563 Propex Frabics 10.000%, 12/01/12 2,175 2,006 Quality Distributors (G) 9.000%, 11/15/10 2,400 2,208 RMCC Acquisition (A) 9.500%, 11/01/12 200 202 Rainbow National Services LLC (A) 10.375%, 09/01/14 1,150 1,300 8.750%, 09/01/12 1,625 1,733 Rural Metro Holding (A) (B) 10.430%, 03/15/16 500 310 Schuler Homes 10.500%, 07/15/11 425 459 Ship Finance MTN 8.500%, 12/15/13 6,300 6,135 Simmons (A) (B) (G) 11.460%, 12/15/14 2,475 1,312 Standard Pacific 7.750%, 03/15/13 1,230 1,239 7.000%, 08/15/15 (G) 125 119 Stanley-Martin Communications (A) 9.750%, 08/15/15 4,060 3,969 TD Funding 8.375%, 07/15/11 5,895 6,175 Tech Olympic USA (G) 10.375%, 07/01/12 5,660 5,957 7.500%, 03/15/11 425 398 Tembec Industries 8.625%, 06/30/09 275 187 8.500%, 02/01/11 (G) 4,229 2,759 7.750%, 03/15/12 2,800 1,778 Tempur Pedic 10.250%, 08/15/10 1,170 1,275 Terex 9.250%, 07/15/11 1,000 1,075 7.375%, 01/15/14 700 707 Texas Industries (A) 7.250%, 07/15/13 325 338 Thermadyne Holdings (G) 9.250%, 02/01/14 4,925 4,506 US Concrete 8.375%, 04/01/14 1,700 1,709 United Air Lines (C) 7.186%, 04/01/11 1,222 1,197 6.201%, 09/01/08 1,543 1,486 Unova 7.000%, 03/15/08 800 800 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Vanguard Health Holdings I (B) 8.720%, 10/01/15 $ 575 $ 417 Vanguard Health Holdings II 9.000%, 10/01/14 775 825 Visant 7.625%, 10/01/12 1,125 1,136 WCI Communities 6.625%, 03/15/15 350 317 Westinghouse Air Brake 6.875%, 07/31/13 1,000 1,026 William Lyon Homes 10.750%, 04/01/13 2,105 2,268 7.625%, 12/15/12 (G) 1,885 1,786 7.500%, 02/15/14 355 330 Wolverine Tube 10.500%, 04/01/09 4,020 3,809 7.375%, 08/01/08 (A) (G) 2,245 1,931 Xerox 7.625%, 06/15/13 655 696 6.875%, 08/15/11 (G) 2,915 3,046 Xerox Capital (G) 8.000%, 02/01/27 3,200 3,320 ---------- 253,246 ---------- INFORMATION TECHNOLOGY -- 2.3% Aavid Thermal Technology 12.750%, 02/01/07 1,600 1,676 Activant Solutions 10.500%, 06/15/11 1,025 1,071 9.504%, 04/01/10 (A) (D) (G) 1,600 1,632 Amkor Technologies (G) 7.750%, 05/15/13 1,916 1,638 Borden US Finance/Nova Scotia (A) (G) 9.000%, 07/15/14 2,840 2,883 Communications & Power 8.000%, 02/01/12 200 204 Compagnie Generale de Geophysique (A) 7.500%, 05/15/15 350 364 Freescale Semiconductor (G) 7.125%, 07/15/14 1,320 1,406 Rhythms Netconnections (C) (F) 12.750%, 04/15/09 1,126 -- Sanmina-SCI (G) 6.750%, 03/01/13 3,200 3,040 Seitel 11.750%, 07/15/11 575 638 Smart Modular (A) (D) 9.004%, 04/01/12 2,200 2,244 Stats Chippac (A) (G) 7.500%, 07/19/10 400 404 Stoneridge 11.500%, 05/01/12 2,740 2,905 - -------------------------------------------------------------------------------- 118 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Sungard Data Systems 10.250%, 08/15/15 (A) (G) $ 5,225 $ 5,290 9.125%, 08/15/13 (A) 7,375 7,642 8.525%, 08/15/13 (A) (D) (G) 2,750 2,846 3.750%, 01/15/09 425 390 Viasystems (G) 10.500%, 01/15/11 875 860 ---------- 37,133 ---------- MATERIALS -- 9.9% AK Steel 7.875%, 02/15/09 (G) 4,800 4,656 7.750%, 06/15/12 4,200 3,875 Abitibi Consolidated (G) 8.375%, 04/01/15 4,750 4,667 Appleton Papers 9.750%, 06/15/14 5,175 4,968 8.125%, 06/15/11 (G) 1,625 1,593 BCI US Finance (A) (D) 9.099%, 07/15/10 1,440 1,454 Berry Plastics (G) 10.750%, 07/15/12 1,050 1,129 Boise Cascade LLC 7.125%, 10/15/14 2,270 2,151 6.474%, 10/15/12 (D) 1,060 1,057 Bowater Canada Finance 7.950%, 11/15/11 4,940 4,977 Bway 10.000%, 10/15/10 5,974 6,332 Carauster Indusrties 7.375%, 06/01/09 1,920 1,862 Cascades 7.250%, 02/15/13 2,900 2,820 Consolidated Containers (G) 10.840%, 06/15/09 (B) 1,275 1,052 10.125%, 07/15/09 1,575 1,047 Crown Cork & Seal 8.000%, 04/15/23 3,000 2,951 Crown Euro Holdings 10.875%, 03/01/13 5,000 5,800 9.500%, 03/01/11 790 865 Equistar Chemical & Funding 10.625%, 05/01/11 2,500 2,725 10.125%, 09/01/08 5,647 6,071 Equistar Chemicals 8.750%, 02/15/09 (G) 425 442 7.550%, 02/15/26 550 527 Freeport-McMoRan 10.125%, 02/01/10 1,200 1,326 6.875%, 02/01/14 (G) 3,575 3,539 Georgia Gulf 7.125%, 12/15/13 600 612 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Georgia-Pacific 9.375%, 02/01/13 (G) $ 1,415 $ 1,578 8.875%, 02/01/10 300 335 7.750%, 11/15/29 1,370 1,469 Graham Packaging 9.875%, 10/15/14 (G) 9,275 8,904 8.500%, 10/15/12 375 373 Graphic Packaging International 8.500%, 08/15/11 2,715 2,661 Huntsman International 11.625%, 10/15/10 1,375 1,571 10.849%, 07/15/11 (D) 1,500 1,599 9.875%, 03/01/09 275 291 7.375%, 01/01/15 (A)(G) 3,000 2,873 5.000%, 02/16/08 1 51 Huntsman LLC 11.500%, 07/15/12 1,369 1,564 Innophos (A) 8.875%, 08/15/14 1,050 1,074 Intertape Polymer 8.500%, 08/01/14 525 517 Ispat Inland 10.254%, 04/01/10 (D) 500 526 9.750%, 04/01/14 975 1,131 Lyondell Chemical (G) 10.875%, 05/01/09 4,825 4,970 Massey Energy 6.625%, 11/15/10 3,596 3,668 Mercer International 9.250%, 02/15/13 1,125 956 Methanex 8.750%, 08/15/12 2,720 3,104 6.000%, 08/15/15 350 342 Nalco 8.875%, 11/15/13 (G) 2,600 2,668 7.750%, 11/15/11 4,100 4,192 NewPage 10.000%, 05/01/12 (G) 1,000 940 9.943%, 05/01/12 (D) 550 520 Newark Group 9.750%, 03/15/14 1,825 1,624 Norampac 6.750%, 06/01/13 780 776 Oregon Steel Mills (G) 10.000%, 07/15/09 3,430 3,696 Owens-Brockway Glass 8.875%, 02/15/09 350 368 8.250%, 05/15/13 (G) 3,800 3,952 6.750%, 12/01/14 325 314 Owens-Illinois (G) 7.350%, 05/15/08 4,025 4,106 Peabody Energy (G) 5.875%, 04/15/16 2,335 2,320 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 119 STATEMENT OF NET ASSETS High Yield Bond Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Pliant (G) 11.125%, 09/01/09 $ 2,000 $ 1,720 Rockwood Specialties Group 10.625%, 05/15/11 292 318 7.500%, 11/15/14 (A) 425 412 Ryerson Tull (G) 8.250%, 12/15/11 3,175 3,088 Smurfit-Stone Container 9.750%, 02/01/11 4,164 4,226 9.250%, 02/01/08 1,000 1,020 Solo Cup (G) 8.500%, 02/15/14 7,895 6,987 Steel Dynamics 9.500%, 03/15/09 6,700 7,119 ---------- 158,421 ---------- TELECOMMUNICATION SERVICES -- 8.1% Airgate PCS (D) 7.349%, 10/15/11 1,625 1,674 Centennial Communications 10.750%, 12/15/08 724 744 10.125%, 06/15/13 5,730 6,446 8.125%, 02/01/14 5,750 6,081 Cincinnati Bell 8.375%, 01/15/14 (G) 7,250 7,141 7.250%, 07/15/13 175 186 7.000%, 02/15/15 125 121 Citizens Communications 9.250%, 05/15/11 1,925 2,113 City Telecom Hong Kong 8.750%, 02/01/15 650 608 Consolidated Communication Holdings 9.750%, 04/01/12 624 665 Digicel (A) 9.250%, 09/01/12 300 310 Dobson Cellular Systems 9.875%, 11/01/12 (G) 2,550 2,792 8.443%, 11/01/11 (D) 2,325 2,409 Dobson Communications 10.875%, 07/01/10 2,150 2,271 8.875%, 10/01/13 (G) 4,475 4,475 GCI 7.250%, 02/15/14 2,100 2,032 Grande Communications Holdings 14.000%, 04/01/11 1,750 1,715 Hawaiian Telecom Communications (A) 9.750%, 05/01/13 (G) 1,925 1,963 8.914%, 05/01/13 (D) 1,325 1,338 Horizon PCS 11.375%, 07/15/12 350 402 IWO Holdings 9.380%, 01/15/15 (B) 500 351 7.349%, 01/15/12 (D) 500 520 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Intelsat 6.500%, 11/01/13 $ 725 $ 558 Intelsat Bermuda (A) 8.695%, 01/15/12 (D) 4,720 4,803 8.625%, 01/15/15 (G) 4,450 4,539 Level 3 Communications (G) 9.125%, 05/01/08 1,900 1,548 Lucent Technologies (G) 6.450%, 03/15/29 4,375 3,828 MCI 8.735%, 05/01/14 8,900 9,924 NTL Cable PLC (G) 8.750%, 04/15/14 250 258 New Skies Satellites (D) 8.539%, 11/01/11 2,145 2,209 Nextel Communications 6.875%, 10/31/13 2,935 3,115 Panamast 9.830%, 11/01/14 (B) 6,530 4,506 9.000%, 08/15/14 (G) 564 595 Primus Telecommunications (G) 12.750%, 10/15/09 1,150 610 8.000%, 01/15/14 1,725 1,095 Qwest 8.875%, 03/15/12 75 82 7.625%, 06/15/15 (A) (G) 1,445 1,476 7.120%, 06/15/13 (A) (D) 1,520 1,581 Qwest Capital Funding 7.750%, 08/15/06 2,225 2,247 Qwest Communications International 7.500%, 02/15/14 (A) 1,945 1,848 7.290%, 02/15/09 (D) 950 938 Qwest Services 14.000%, 12/15/14 1,725 2,092 13.500%, 12/15/10 1,525 1,746 Rogers Wireless 8.000%, 12/15/12 (G) 7,600 8,028 7.500%, 03/15/15 745 803 7.250%, 12/15/12 (G) 475 502 6.995%, 12/15/10 (D) 3,940 4,107 Rural Cellular (G) 9.875%, 02/01/10 400 420 8.370%, 03/15/10 (D) 275 283 Rural Cellular, Ser B 9.625%, 05/15/08 135 136 Securus Technologies 11.000%, 09/01/11 1,075 957 Syniverse Technologies (A) 7.750%, 08/15/13 1,050 1,058 Telcordia Technologies (A) 10.000%, 03/15/13 600 567 Telenet Group Holdings (A) (B) 9.270%, 06/15/14 2,400 1,962 Time Warner Telecommunications - -------------------------------------------------------------------------------- 120 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Holdings 9.250%, 02/15/14 $ 2,750 $ 2,784 Triton (G) 8.500%, 06/01/13 3,350 3,191 US Unwired, Ser B 10.000%, 06/15/12 850 978 8.120%, 06/15/10 (D) 1,850 1,912 US West Communications (G) 5.625%, 11/15/08 375 369 Ubiquitel 9.875%, 03/01/11 1,850 2,054 Valor Telecom Enterprises 7.750%, 02/15/15 3,975 3,856 Zeus Special Sub (A) (B) 9.550%, 02/01/15 430 284 ---------- 130,206 ---------- UTILITIES -- 3.9% Airgas 9.125%, 10/01/11 2,500 2,687 Aquila 9.000%, 11/15/21 1,500 1,545 8.000%, 03/01/23 4,500 4,635 Calpine (A) (G) 9.875%, 12/01/11 925 675 8.500%, 07/15/10 500 357 Calpine Generating (G) 12.390%, 04/01/11 (D) 850 807 11.500%, 04/01/11 2,550 2,346 Colorado Interstate Gas (A) 5.950%, 03/15/15 525 509 Dynegy Holdings (G) 6.875%, 04/01/11 200 195 Edison Mission Energy 9.875%, 04/15/11 450 533 Holly Energy Partners (A) 6.250%, 03/01/15 1,225 1,213 Inergy (A) 6.875%, 12/15/14 975 931 Markwest Energy (A) 6.875%, 11/01/14 2,750 2,722 Midwest Generation LLC (G) 8.750%, 05/01/34 4,111 4,579 Mirant (C) (G) 5.750%, 07/15/07 1,900 2,138 2.500%, 06/15/21 6,975 7,202 Mission Energy Holding 13.500%, 07/15/08 7,020 8,266 NRG Energy (G) 8.000%, 12/15/13 191 203 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Northwest Pipeline 8.125%, 03/01/10 $ 425 $ 454 Pacific Energy Partners 7.125%, 06/15/14 425 441 6.250%, 09/15/15 (A) 425 426 Reliant Energy 9.250%, 07/15/10 225 244 Reliant Resources 9.500%, 07/15/13 645 713 Sierra Pacific Resources 7.803%, 06/15/12 1,800 1,918 6.750%, 08/15/17 (A) 995 997 Sonat 7.625%, 07/15/11 2,700 2,741 7.000%, 02/01/18 500 475 Southern Energy (A) (C) 7.900%, 07/15/09 50 61 7.400%, 07/15/04 450 540 Southern Natural Gas 8.875%, 03/15/10 725 784 Teco Energy (A) (D) 5.693%, 05/01/10 3,375 3,426 Tenaska Alabama (A) 7.000%, 06/30/21 2,700 2,734 Tennessee Gas Pipeline 7.500%, 04/01/17 1,000 1,078 Transcont Gas Pipeline 7.250%, 12/01/26 2,985 3,250 ---------- 61,825 ---------- Total Corporate Obligations (Cost $1,515,044) ($ Thousands) 1,493,588 ---------- COMMERCIAL PAPER (I) -- 5.5% FINANCIALS -- 5.5% Alcoa 3.870%, 10/03/05 11,682 11,678 Altius I Funding (H) 3.864%, 10/27/05 6,601 6,577 Arlington Funding (H) 3.857%, 10/14/05 4,819 4,811 Brahms Funding (H) 3.861%, 10/26/05 1,760 1,755 Buckingham (H) 3.940%, 11/14/05 802 798 Citigroup 3.840%, 10/03/05 11,685 11,681 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 121 STATEMENT OF NET ASSETS High Yield Bond Fund (Continued) September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Cre-8 Funding (H) 3.908%, 11/01/05 $ 2,200 $ 2,190 3.902%, 10/28/05 4,401 4,387 3.862%, 10/19/05 2,200 2,194 3.762%, 10/07/05 1,320 1,316 Davis Square V Funding (H) 3.934%, 11/02/05 8,801 8,769 3.932%, 10/28/05 440 439 General Electric 3.700%, 10/03/05 1,583 1,583 3.694%, 10/13/05 2,870 2,867 HSBC Finance 3.880%, 10/03/05 6,240 6,238 Main Street Warehouse Funding (H) 3.881%, 10/24/05 4,401 4,388 Rams Funding (H) 3.879%, 10/18/05 4,768 4,757 3.863%, 10/27/05 4,675 4,660 3.861%, 10/19/05 2,146 2,140 3.861%, 10/20/05 1,505 1,501 Rhineland Funding (H) 4.027%, 11/28/05 995 988 3.871%, 10/24/05 1,677 1,672 ---------- Total Commercial Paper (Cost $87,391) ($ Thousands) 87,389 ---------- LOAN PARTICIPATIONS -- 4.4% Amkor Technology 8.330%, 10/27/10 4,000 4,100 CCFC (D) 9.510%, 08/26/09 2,955 3,095 Centerpoint Energy (D) 13.243%, 11/11/05 2,000 2,065 Dennys (D) 8.450%, 08/17/10 2,500 2,556 El Paso (D) 6.438%, 11/22/09 1,476 1,494 El Paso Letter of Credit (D) 5.438%, 11/22/09 1,500 1,517 Euramax (D) 10.490%, 06/29/13 4,000 4,000 Kerr Mcgee (D) 6.110%, 05/19/07 800 804 5.500%, 05/19/07 2,000 2,008 Kgen Partners (D) 6.115%, 08/15/11 3,990 3,990 LNR Property (D) 6.560%, 02/03/08 6,000 6,075 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Level 3 (D) 10.338%, 12/01/11 $ 5,000 $ 5,250 Lifepoint Hospital (D) 5.435%, 04/14/12 1,877 1,891 Midwest Aircraft (D) 5.961%, 01/11/12 1,995 2,027 Murray (D) 11.125%, 01/31/11 4,988 5,237 New Hit 2nd Lien (D) 9.330%, 02/24/13 350 356 NewPage (D) 6.170%, 05/01/11 2,000 2,030 Northwest Air (D) 9.830%, 11/23/10 990 1,005 9.070%, 11/19/09 4,250 4,271 Texas Genco (D) 6.020%, 12/08/11 6,456 6,488 United Airlines (D) 7.990%, 03/31/06 3,962 4,001 Warner Chilcott 5.340%, 01/04/12 4,989 5,014 Wembley 2nd Lien 7.320%, 07/18/12 1,625 1,645 ---------- Total Loan Participations (Cost $71,767) ($ Thousands) 70,919 ---------- ASSET-BACKED SECURITIES -- 3.8% AUTOMOTIVE -- 0.3% Capital Auto Receivables Asset Trust, Ser 2005-SN1A, Cl A1 (H) 3.327%, 05/15/06 4,466 4,466 Drivetime Auto Owner Trust, Ser 2005-B, Cl A1 (D) (H) (K) 3.788%, 01/15/06 581 581 ---------- 5,047 ---------- MORTGAGE RELATED SECURITIES -- 3.5% Babson, Ser 2005-2A, Cl SUB 7.000%, 07/20/19 11,000 11,000 Blue Heron Funding, Ser 9A, Cl A1 (D) (H) (K) 3.860%, 02/22/06 4,401 4,401 CCN Independence IV (D) (H) (K) 3.842%, 10/17/05 2,420 2,420 3.838%, 07/17/06 1,540 1,540 Cheyne High Grade, Ser 2004-1A, Cl A1 (D) (H) (K) 3.780%, 11/10/05 2,530 2,530 - -------------------------------------------------------------------------------- 122 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ Commodore, Ser 2003-2A, Cl A1MM (D) (H) (K) 3.914%, 12/12/05 $ 2,024 $ 2,024 Duke Funding, Ser 2004-6B, Cl A1S1 (D) (H) (K) 3.630%, 10/10/06 3,300 3,300 Harborview Mortgage Loan Trust, Ser 2005-01, Cl X, IO (E) 0.000%, 03/19/35 21,142 608 Harborview Mortgage Loan Trust, Ser 2005-10, Cl X, IO (D) 1.474%, 11/19/35 28,825 973 Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2A, IO (D) 0.223%, 10/19/35 94,990 1,217 Harwood Street Funding II, Ser 2005-1A, Cl NOTE (D) (H) (K) 3.880%, 06/25/06 4,401 4,401 Indymac Indx Mortgage Loan Trust, Ser 2004-AR12, Cl AX2, IO 0.930%, 12/25/34 15,652 479 Orchid Structured Finance, Ser 2003-1A, Cl A1MM (D) (H) (K) 3.902%, 11/18/05 3,872 3,872 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AMM2 (D) (H) (K) 3.880%, 11/25/05 5,208 5,208 RMAC, Ser 2004-NS3A, Cl A1 (D) (H) (K) 3.728%, 09/12/06 1,440 1,440 Residential Asset Mortgage Products, Ser 2003-RS1, Cl AII (D) 4.220%, 02/25/33 388 389 Saturn Ventures II (D) (H) (K) 3.749%, 02/07/06 4,401 4,401 TIAA Real Estate, Ser 2003 1A, Cl A1 (D) (H) (K) 3.868%, 09/28/06 2,842 2,842 Whitehawk CDO Funding, Ser 2004-1A, Cl AMMD (D) (H) (K) 3.890%, 06/15/06 1,100 1,100 Whitehawk CDO Funding, Ser 2004-1A, Cl AMME (D) (H) (K) 3.890%, 09/15/06 660 660 ---------- 54,805 ---------- Total Asset-Backed Securities (Cost $60,026) ($ Thousands) 59,852 ---------- - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) - ------------------------------------------------------------ COLLATERALIZED DEBT OBLIGATIONS -- 1.8% Peritus I (F) 9.000%, 05/24/15 $ 6,750 $ 2,160 Peritus I, Ser 2005-1A, Cl C (F) 9.000%, 05/24/15 27,000 27,000 ---------- Total Collateralized Debt Obligations (Cost $27,000) ($ Thousands) 29,160 ---------- CASH EQUIVALENT -- 1.3% SEI Daily Income Trust, Prime Obligation Fund, Cl A+ 20,515,122 20,515 ---------- Total Cash Equivalent (Cost $20,515) ($ Thousands) 20,515 ---------- COLLATERALIZED LOAN OBLIGATIONS -- 1.1% Babson, Ser 2005-2A, Cl C1 (D) 5.563%, 07/20/19 2,250 2,250 ING, Preferred Shares 13 12,250 Pamco (D) 5.043%, 05/01/10 2,500 2,350 ---------- Total Collateralized Loan Obligations (Cost $16,558) ($ Thousands) 16,850 ---------- MASTER NOTES (H) -- 1.0% Bank of America 4.018%, 10/01/05 11,001 11,001 Bear Stearns 4.113%, 10/01/05 5,281 5,281 ---------- Total Master Notes (Cost $16,282) ($ Thousands) 16,282 ---------- PREFERRED/CONVERTIBLE STOCKS -- 0.6% Crown Castle 57,000 2,950 General Nutrition Center, Ser A PIK 1,750 1,295 Granite* 1,525 290 Hrpt Properties Trust, Ser A 42,000 1,080 Paxson Communications PIK* 1 9 Paxson Communications PIK (G)* 283 1,925 Primedia, Ser H 6,000 603 Rural Cellular PIK* 749 719 Rural Cellular, Ser B PIK* 675 840 ---------- Total Preferred/Convertible Stocks (Cost $9,924) ($ Thousands) 9,711 ---------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 123 STATEMENT OF NET ASSETS High Yield Bond Fund (Concluded) September 30, 2005 - ------------------------------------------------------------ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ CONVERTIBLE BOND -- 0.1% Amkor Technology CV to 28.5714 (G) 5.750%, 06/01/06 $ 1,000 $ 951 ---------- Total Convertible Bond (Cost $965) ($ Thousands) 951 ---------- Number of Warrants ---------- WARRANTS -- 0.1% American Tower, Expires 08/01/08* 725 255 Bear Stearns, Expires 04/01/11* 1,750 18 Horizon PCS, Expires 10/01/10 (F)* 3,100 -- 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 1,856 Pegasus Communications, Expires 01/01/07 (F)* 250 -- Travelcenters of America, Expires 05/01/09 (F)* 10,000 1 ---------- Total Warrants (Cost $248) ($ Thousands) 2,130 ---------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.1% FHLMC (E) (J) 3.665%, 12/12/05 58 57 3.659%, 10/18/05 89 89 FHLMC CMO, Ser 2596, Cl IJ, IO 5.000%, 01/15/17 5,915 693 FHLMC CMO, Ser 2603, Cl LI, IO 5.500%, 09/15/28 1,892 224 FHLMC CMO, Ser 2621, Cl IJ, IO 5.500%, 12/15/26 3,688 360 FHLMC CMO, Ser 2696, Cl NI, IO 5.500%, 03/15/23 1,949 117 FNMA CMO, Ser 2003-37, Cl IG, IO 5.500%, 05/25/32 1,786 269 FNMA CMO, Ser 342, Cl 2, IO 6.000%, 09/01/33 569 116 --------- Total U.S. Government Agency Obligations (Cost $1,761) ($ Thousands) 1,925 --------- - ------------------------------------------------------------ Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------ COMMON STOCK -- 0.1% Core-Mark Holding* 19,534 $ 662 Crown Castle International (G)* 22,523 555 Huntsman* 15,656 306 Shreveport Gaming Holdings I, Private Company (G)* 13,948 167 ---------- Total Common Stock (Cost $948) ($ Thousands) 1,690 ---------- REPURCHASE AGREEMENTS (H) -- 3.4% Barclays Capital Markets 3.840%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $27,591,744 (collateralized by various U.S. Government Obligations, ranging in par value $4,580,130- $18,327,738, 1.875%-7.250%, 06/15/06 - 01/15/10; with total market value $28,153,350) $27,583 27,583 Deutsche Bank Securites 3.750%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $21,571,737 (collateralized by various U.S. Government Obligations, ranging in par value $48,570- $5,808,718, 0.000%-5.875%, 10/07/05 - 09/29/25; with total market value $21,996,329) 21,565 21,565 Lehman Brothers 3.820%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $5,942,625 (collateralized by various U.S. Government Obligations, ranging in par value $398,909- $4,611,110, 0.000%-3.500%, 08/15/06 - 04/15/30; with total market value $6,059,758) 5,941 5,941 ---------- Total Repurchase Agreements (Cost $55,089) ($ Thousands) 55,089 ---------- Total Investments -- 116.6% (Cost $1,883,518) ($ Thousands) 1,866,051 ---------- - -------------------------------------------------------------------------------- 124 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------ Value Description ($ Thousands) - ------------------------------------------------------------ OTHER ASSETS AND LIABILITIES -- (16.6)% Payable upon Return on Securities Loaned $ (315,231) Payable for Investment Securities Purchased (36,444) Payable for Fund Shares Redeemed (2,205) Income Distribution Payable (642) Investment Advisory Fees Payable (538) Administration Fees Payable (449) Shareholder Servicing Fees Payable (54) Other Assets and Liabilities, Net 89,433 ---------- Total Other Assets and Liabilities (266,130) ---------- Net Assets-- 100.0% $1,599,921 ========== NET ASSETS: Paid-in-Capital (unlimited authorization-- no par value) $1,751,483 Undistributed net investment income 90 Accumulated net realized loss on investments (134,004) Net unrealized depreciation on investments (17,467) Net unrealized depreciation on futures contracts (181) ---------- Total Net Assets $1,599,921 ========== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($1,599,921,222 / 188,213,542 shares) $8.50 ===== Futures -- A summary of the open futures contracts held by the fund at September 30, 2005, is as follows: (see Note 2 in Notes to Financial Statements) - ------------------------------------------------------------- UNREALIZED APPRECIATION TYPE OF NUMBER OF EXPIRATION (DEPRECIATION) CONTRACT CONTRACTS DATE ($ THOUSANDS) - ------------------------------------------------------------- U.S. Long Treasury Bond (47) December 2005 $ 86 U.S. Five Year Note 158 December 2005 (140) U.S. Ten Year Note 38 December 2005 (23) U.S. Two Year Note 439 December 2005 (104) ------ $(181) ------ - ------------------------------------------------------------ Description - ------------------------------------------------------------ * Non-income producing security. + See Note 3 in Notes to Financial Statements. ++ Real Estate Investment Trust (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." (B) Step Bonds -- The rate reflected on the Statement of Net Assets is the effective yield on September 30, 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 September 30, 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 September 30, 2005 was $29,161 ($ Thousands) and represented 1.82% of Net Assets. (G) This security or a partial position of this security is on loan at September 30, 2005 (see Note 7). The total value of securities on loan at September 30, 2005 was $298,204 ($ Thousands). (H) This security was purchased with cash collateral held from securities lending (see Note 7). The total value of such securities as of September 30, 2005 was $315,231 ($ Thousands). (I) The rate reported is the effective yield at time of purchase. (J) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at time of purchase. (K) The date reported on the Statement of Net Assets is the date in efffect as of September 30, 2005. Cl -- Class CDO -- Collateralized Debt Obligation CLO -- Collateralized Loan Obligation CMO -- Collateralized Mortgage Obligation CV -- Convertible EXL -- Extendable Maturity FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association IO -- Interest Only LLC -- Limited Liability Company MTN -- Medium Term Note PCS -- Personal Communications Service PIK -- Payment-in-Kind PLC -- Public Limited Company Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 125 This page intentionally left blank. Statement of Assets and Liabilities ($ Thousands) September 30, 2005 - ---------------------------------------------------------------------------------------------------------------- CORE FIXED INCOME FUND - ---------------------------------------------------------------------------------------------------------------- ASSETS: Investments, at value (Cost $5,529,034) $5,529,279 Repurchase agreement (Cost $453,967) 453,967 Affiliated investment, at value (Cost $13,913) 13,913 Foreign currency, at value (Cost $8,811) 9,405 Cash 3,091 Receivable for investment securities sold 394,123 Accrued income 32,014 Receivable for fund shares sold 3,747 Variation margin receivable 140 Unrealized gain on forward foreign currency contracts 36 - ---------------------------------------------------------------------------------------------------------------- Total Assets 6,439,715 - ---------------------------------------------------------------------------------------------------------------- LIABILITIES: Payable for investment securities purchased 1,229,399 Payable upon return on securities loaned 1,094,482 Payable for fund shares redeemed 5,273 Administration fees payable 950 Income distribution payable 864 Investment advisory fees payable 833 Options written, at value (premiums received $332) 344 Unrealized loss on credit default swaps 236 Shareholder servicing fees payable 93 Administration servicing fees payable 2 Accrued expense payable 249 - ---------------------------------------------------------------------------------------------------------------- Total Liabilities 2,332,725 - ---------------------------------------------------------------------------------------------------------------- Total Net Assets $4,106,990 - ---------------------------------------------------------------------------------------------------------------- NET ASSETS: Paid-in-Capital-- (unlimited authorization-- no par value) $4,097,314 Undistributed net investment income 1,066 Accumulated net realized gain on investments, option contracts, futures contracts, swap contracts and foreign currency 7,106 Net unrealized appreciation on investments and option contracts 233 Net unrealized appreciation on futures contracts 1,497 Net unrealized depreciation on credit default swaps (236) Net unrealized appreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies 10 - ---------------------------------------------------------------------------------------------------------------- Total Net Assets-- 100.0% $4,106,990 - ---------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A ($4,094,011,036 / 392,328,162 shares) $10.44 - ---------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class I ($12,978,879 / 1,244,060 shares) $10.43 - ---------------------------------------------------------------------------------------------------------------- The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 127 Statements of Operations ($ Thousands) For the year or period ended September 30, 2005 - ------------------------------------------------------------------------------------------------------------------------------------ TAX-MANAGED LARGE CAP LARGE CAP TAX-MANAGED SMALL SMALL LARGE CAP VALUE GROWTH SMALL CAP CAP VALUE CAP GROWTH FUND FUND FUND FUND FUND FUND - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME: Dividends $ 38,838 $104,769 $ 50,563 $ 1,865 $ 12,864 $ 3,817 Dividends from Affiliated Registered Investment Company* 746 962 1,420 257 831 634 Interest Income 821 43 236 6 45 81 Securities Lending Income-- Net 282 480 469 154 468 743 Less: Foreign Taxes Withheld (42) (71) (136) (4) (13) (45) - ------------------------------------------------------------------------------------------------------------------------------------ Total Investment Income 40,645 106,183 52,552 2,278 14,195 5,230 - ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES: Investment Advisory Fees 8,377 14,929 15,847 1,583 6,715 6,678 Administration Fees 7,320 14,929 13,866 852 3,616 3,596 Shareholder Servicing Fees (A) 5,223 10,606 9,832 609 2,557 2,545 Shareholder Servicing Fees (I) -- 57 72 -- 25 24 Shareholder Servicing Fees (Y) 8 -- -- -- -- -- Administration Servicing Fees (I) -- 57 72 -- 25 24 Trustee Fees 22 45 42 2 10 11 Custodian/Wire Agent Fees 119 250 229 14 60 59 Printing Fees 90 193 175 10 48 46 Professional Fees 74 153 140 9 37 37 Proxy Expenses 72 150 140 8 35 36 Registration Fees 23 46 44 2 11 14 Litigation Fees -- -- -- -- -- -- Other Expenses 51 96 89 8 24 26 - ------------------------------------------------------------------------------------------------------------------------------------ Total Expenses 21,379 41,511 40,548 3,097 13,163 13,096 - ------------------------------------------------------------------------------------------------------------------------------------ Less: Waiver of Investment Advisory Fees (1,971) (2,987) (2,069) (258) -- (57) Waiver of Shareholder Servicing Fees (1,463) (1,897) (4,399) (141) (1,699) (1,632) Fees Paid Indirectly (22) (37) (75) (4) (8) (10) - ------------------------------------------------------------------------------------------------------------------------------------ Net Expenses 17,923 36,590 34,005 2,694 11,456 11,397 - ------------------------------------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME (LOSS) 22,722 69,593 18,547 (416) 2,739 (6,167) - ------------------------------------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: NET REALIZED GAIN (LOSS) ON: Investments 94,848 269,970(2) 158,861 15,953 116,393 97,874 Futures Contracts 932 2,434 1,124 1,158 4,001 6,038 Written Options -- -- -- -- -- -- Swap Contracts -- -- -- -- -- -- Foreign Currency Transactions -- -- -- -- -- (112) NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments 161,024 283,408 297,430 28,624 73,259 74,253 Futures Contracts (97) 65 (88) (130) (517) (121) Written Options -- -- -- -- -- -- Swap Contracts -- -- -- -- -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- -- -- -- -- PAYMENT BY AFFILIATE* -- -- 2 -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $279,429 $625,470 $475,876 $45,189 $195,875 $171,765 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------- MANAGED MID-CAP VOLATILITY REAL ESTATE CORE FIXED HIGH YIELD FUND FUND(1) FUND INCOME FUND BOND FUND - ------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends $ 693 $ 1,743 $ 1,976 $ 101 $ 1,166 Dividends from Affiliated Registered Investment Company* 46 147 52 626 681 Interest Income 3 6 -- 178,917 109,296 Securities Lending Income-- Net 19 -- 8 1,652 885 Less: Foreign Taxes Withheld -- (13) (1) (3) -- - ------------------------------------------------------------------------------------------------------------------- Total Investment Income 761 1,883 2,035 181,293 112,028 - ------------------------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees 232 572 433 11,227 6,563 Administration Fees 203 308 233 11,431 4,712 Shareholder Servicing Fees (A) 145 220 166 10,177 3,366 Shareholder Servicing Fees (I) -- -- -- 29 -- Shareholder Servicing Fees (Y) -- -- -- -- -- Administration Servicing Fees (I) -- -- -- 29 -- Trustee Fees 1 1 -- 43 13 Custodian/Wire Agent Fees 9 5 6 292 75 Printing Fees 3 6 3 187 63 Professional Fees 1 4 2 146 49 Proxy Expenses 2 2 2 144 44 Registration Fees 1 1 2 51 22 Litigation Fees -- -- -- 13 -- Other Expenses 3 2 2 486 124 - ------------------------------------------------------------------------------------------------------------------- Total Expenses 600 1,121 849 34,255 15,031 - ------------------------------------------------------------------------------------------------------------------- Less: Waiver of Investment Advisory Fees -- (84) (20) (1,314) (856) Waiver of Shareholder Servicing Fees (15) (63) (91) (8,145) (2,644) Fees Paid Indirectly -- -- (2) -- -- - ------------------------------------------------------------------------------------------------------------------- Net Expenses 585 974 736 24,796 11,531 - ------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME (LOSS) 176 909 1,299 156,497 100,497 - ------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: NET REALIZED GAIN (LOSS) ON: Investments 8,476 2,155 3,078 29,008 6,051 Futures Contracts 89 148 -- (7,620) 75 Written Options -- -- -- 2,622 -- Swap Contracts -- -- -- -- 1 Foreign Currency Transactions -- -- -- 469 -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments 4,986 8,469 11,944 (70,395) (20,883) Futures Contracts 9 31 -- 584 (181) Written Options -- -- -- 1,331 -- Swap Contracts -- -- -- (236) -- Foreign Currency and Translation of Other Assets Assets and Liabilities Denominated in Foreign Currency -- -- -- 10 -- PAYMENT BY AFFILIATE* -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $13,736 $11,712 $16,321 $112,270 $ 85,560 - ------------------------------------------------------------------------------------------------------------------- <FN> Amount designated as "--" are $0 or have been rounded to $0. * See Note 3 in Notes to Financial Statements. (1) The Managed Volatility Fund commenced operations on October 28, 2004. (2) Includes realized gain of $306,542 due to in-kind redemption (see note 9). </FN> The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 128 & 129 SEI Institutional Managed Trust / Annual Report / September 30, 2005 Statements of Changes in Net Assets ($ Thousands) For the years ended September 30, - ------------------------------------------------------------------------------------------------------------------------------- TAX-MANAGED LARGE CAP LARGE CAP LARGE CAP FUND VALUE FUND GROWTH FUND - ------------------------------------------------------------------------------------------------------------------------------- 2005 2004 2005 2004 2005 2004 - ------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income (Loss) $ 22,722 $ 16,240 $ 69,593 $ 63,462 $ 18,547 $ (1,255) Net Realized Gain from Investments, Futures Contracts, Written Options and Swap Contracts 95,780 56,848 272,404(2) 205,834 159,985 92,030 Net Realized Loss on Foreign Currency Transactions -- -- -- -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts, Written Options and Swap Contracts 160,927 174,625 283,473 421,717 297,342 215,992 Payment by Affiliate* -- -- -- -- 2 -- - ------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets from Operations 279,429 247,713 625,470 691,013 475,876 306,767 - ------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (22,704) (15,361) (68,972) (61,784) (17,804) -- Class I -- -- (308) (182) (111) -- Class Y (58) (38) -- -- -- -- Net Realized Gains: Class A -- -- (23,633) -- -- -- Class I -- -- (119) -- -- -- - ------------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (22,762) (15,399) (93,032) (61,966) (17,915) -- - ------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from Shares Issued 380,056 485,269 713,922 1,046,688 678,539 1,002,606 Reinvestment of Dividends & Distributions 21,568 14,546 87,568 57,774 16,943 -- Cost of Shares Redeemed (462,655) (510,985) (1,253,909)(3) (1,105,865) (992,030) (1,026,860) - ------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions (61,031) (11,170) (452,419) (1,403) (296,548) (24,254) - ------------------------------------------------------------------------------------------------------------------------------- Class I: Proceeds from Shares Issued -- -- 5,971 12,456 5,995 21,678 Reinvestment of Dividends & Distributions -- -- 415 180 109 -- Cost of Shares Redeemed -- -- (4,608) (3,397) (8,152) (6,330) - ------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class I Transactions -- -- 1,778 9,239 (2,048) 15,348 - ------------------------------------------------------------------------------------------------------------------------------- Class Y: Proceeds from Shares Issued 7 1,318 -- -- -- -- Reinvestment of Dividends & Distributions 58 38 -- -- -- -- Cost of Shares Redeemed (541) (834) -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class Y Transactions (476) 522 -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions (61,507) (10,648) (450,641) 7,836 (298,596) (8,906) - ------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets 195,160 221,666 81,797 636,883 159,365 297,861 - ------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 1,982,792 1,761,126 4,173,655 3,536,772 3,874,671 3,576,810 - ------------------------------------------------------------------------------------------------------------------------------- END OF YEAR $2,177,952 $1,982,792 $ 4,255,452 $ 4,173,655 $ 4,034,036 $ 3,874,671 - ------------------------------------------------------------------------------------------------------------------------------- UNDISTRIBUTED NET INVESTMENT INCOME/ (ACCUMULATED NET INVESTMENT LOSS) INCLUDED IN NET ASSETS AT PERIOD END $ 4,006 $ 3,996 $ 15,715 $ 12,000 $ 632 $ -- - ------------------------------------------------------------------------------------------------------------------------------- <FN> Amount designated as "--" are $0 or have been rounded to $0. * See Note 3 in Notes to Financial Statements. (1) See Note 4 in Notes to Financial Statements for additional information. (2) Includes realized gain of $306,542 due to in-kind redemption (see note 9). (3) Includes redemptions as a result of in-kind transaction of securities (see note 9). </FN> The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 130 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - -------------------------------------------------------------------------------------------------------------------------------- TAX-MANAGED SMALL CAP SMALL CAP SMALL CAP FUND VALUE FUND GROWTH FUND - -------------------------------------------------------------------------------------------------------------------------------- 2005 2004 2005 2004 2005 2004 - -------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income (Loss) $ (416) $ (637) $ 2,739 $ 1,499 $ (6,167) $ (6,183) Net Realized Gain from Investments, Futures Contracts, Written Options and Swap Contracts 17,111 27,692 120,394 184,443 103,912 125,656 Net Realized Loss on Foreign Currency Transactions -- -- -- -- (112) -- Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts, Written Options and Swap Contracts 28,494 2,198 72,742 14,469 74,132 (60,459) Payment by Affiliate* -- -- -- -- -- -- - -------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets from Operations 45,189 29,253 195,875 200,411 171,765 59,014 - -------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A -- -- (2,588) (2,906) -- -- Class I -- -- (9) (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) -- (149,164) (48,531) -- -- - -------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from Shares Issued 58,769 65,579 249,447 302,432 281,272 384,684 Reinvestment of Dividends & Distributions 14,572 -- 140,124 45,475 -- -- Cost of Shares Redeemed (48,286) (61,746) (311,616) (352,556) (363,804) (348,814) - -------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions 25,055 3,833 77,955 (4,649) (82,532) 35,870 - -------------------------------------------------------------------------------------------------------------------------------- Class I: Proceeds from Shares Issued -- -- 6,593 6,192 5,104 7,255 Reinvestment of Dividends & Distributions -- -- 1,308 183 -- -- Cost of Shares Redeemed -- -- (3,102) (2,242) (4,136) (4,095) - -------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class I Transactions -- -- 4,799 4,133 968 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 25,055 3,833 82,754 (516) (81,564) 39,030 - -------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets 54,660 33,086 129,465 151,364 90,201 98,044 - -------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 214,859 181,773 949,437 798,073 979,289 881,245 - -------------------------------------------------------------------------------------------------------------------------------- END OF YEAR $269,519 $214,859 $1,078,902 $949,437 $1,069,490 $ 979,289 - -------------------------------------------------------------------------------------------------------------------------------- UNDISTRIBUTED NET INVESTMENT INCOME/ (ACCUMULATED NET INVESTMENT LOSS) INCLUDED IN NET ASSETS AT PERIOD END $ -- $ -- $ 654 $ -- $ (113) $ -- - -------------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 131 Statements of Changes in Net Assets ($ Thousands) For the years or period ended September 30, - ------------------------------------------------------------------------------------------------------------------------------------ MANAGED REAL ESTATE MID-CAP FUND VOLATILITY FUND(2) FUND(3) - ------------------------------------------------------------------------------------------------------------------------------------ 2005 2004 2005 2005 2004 - ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 176 $ 237 $ 909 $ 1,299 $ 263 Net Realized Gain on Investments, Options, Written Options, Futures Contracts and Swap Contracts 8,565 8,333 2,303 3,078 464 Net Realized Gain on Foreign Currency Transactions -- -- -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Options, Written Options, Futures Contracts and Swap Contracts 4,995 828 8,500 11,944 2,366 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 13,736 9,398 11,712 16,321 3,093 - ------------------------------------------------------------------------------------------------------------------------------------ DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (174) (310) (631) (1,134) (164) Class I -- -- -- -- -- Class Y -- -- -- -- -- Net Realized Gains: Class A (5,707) (839) (10) (1,045) -- Class I -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Total Dividends and Distributions (5,881) (1,149) (641) (2,179) (164) - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from Shares Issued 51,196 33,834 164,307(4) 68,657 38,717 Reinvestment of Dividends & Distributions 5,126 992 634 2,109 156 Cost of Shares Redeemed (46,657) (30,935) (15,965) (23,511) (6,794) - ------------------------------------------------------------------------------------------------------------------------------------ Increase in Net Assets Derived from Class A Transactions 9,665 3,891 148,976 47,255 32,079 - ------------------------------------------------------------------------------------------------------------------------------------ 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 9,665 3,891 148,976 47,255 32,079 - ------------------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets 17,520 12,140 160,047 61,397 35,008 - ------------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF PERIOD 53,642 41,502 -- 35,008 -- - ------------------------------------------------------------------------------------------------------------------------------------ END OF PERIOD $ 71,162 $ 53,642 $160,047 $96,405 $35,008 - ------------------------------------------------------------------------------------------------------------------------------------ UNDISTRIBUTED NET INVESTMENT INCOME/ (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME) INCLUDED IN NET ASSETS AT PERIOD END $ 60 $ -- $ 307 $ 484 $ 103 - ------------------------------------------------------------------------------------------------------------------------------------ - -------------------------------------------------------------------------------------------------------------------------- CORE FIXED HIGH YIELD INCOME FUND BOND FUND - -------------------------------------------------------------------------------------------------------------------------- 2005 2004 2005 2004 - -------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 156,497 $ 140,369 $ 100,497 $ 83,757 Net Realized Gain on Investments, Options, Written Options, Futures Contracts and Swap Contracts 24,010 43,428 6,127 59,483 Net Realized Gain on Foreign Currency Transactions 469 -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Options, Written Options, Futures Contracts and Swap Contracts (68,716) (11,474) (21,064) (34,492) Net Change in Unrealized Appreciation on Foreign Currencies and Translation of Other Assets and Liabilities Denominated in Foreign Currency 10 -- -- -- - -------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets from Operations 112,270 172,323 85,560 108,748 - -------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (159,782) (143,902) (100,331) (83,753) Class I (423) (269) -- -- Class Y -- -- -- -- Net Realized Gains: Class A (35,292) (46,906) -- -- Class I (93) (71) -- -- - -------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (195,590) (191,148) (100,331) (83,753) - -------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from Shares Issued 921,351 1,317,314 717,406 574,056 Reinvestment of Dividends & Distributions 182,677 176,160 94,053 78,070 Cost of Shares Redeemed (994,004) (1,231,029) (394,321) (456,226) - -------------------------------------------------------------------------------------------------------------------------- Increase in Net Assets Derived from Class A Transactions 110,024 262,445 417,138 195,900 - -------------------------------------------------------------------------------------------------------------------------- Class I: Proceeds from Shares Issued 5,179 7,823 -- -- Reinvestment of Dividends & Distributions 509 340 -- -- Cost of Shares Redeemed (2,887) (3,658) -- -- - -------------------------------------------------------------------------------------------------------------------------- Increase in Net Assets Derived from Class I Transactions 2,801 4,505 -- -- - -------------------------------------------------------------------------------------------------------------------------- Increase in Net Assets Derived from Capital Share Transactions 112,825 266,950 417,138 195,900 - -------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets 29,505 248,125 402,367 220,895 - -------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF PERIOD 4,077,485 3,829,360 1,197,554 976,659 - -------------------------------------------------------------------------------------------------------------------------- END OF PERIOD $4,106,990 $4,077,485 $1,599,921 $1,197,554 - -------------------------------------------------------------------------------------------------------------------------- UNDISTRIBUTED NET INVESTMENT INCOME/ (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME) INCLUDED IN NET ASSETS AT PERIOD END $ 1,066 $ (2) $ 90 $ -- - -------------------------------------------------------------------------------------------------------------------------- <FN> Amount designated as "--" are $0 or have been rounded to $0. (1) See Note 4 in the notes to financial statements for additional information. (2) The Managed Volatility commenced operations on October 28, 2004. (3) The Real Estate Fund commenced operations on November 13, 2003. (4) Includes subscriptions as a result of in-kind transfers of securities (see note 9). The accompanying notes are an integral part of the financial statements. </FN> - -------------------------------------------------------------------------------- 132 & 133 SEI Institutional Managed Trust / Annual Report / September 30, 2005 Financial Highlights For the years or periods ended September 30, For a Share Outstanding Throughout the Periods - ------------------------------------------------------------------------------------------------------------------------------ Net Realized and Distributions Net Asset Net Unrealized Dividends from Total Value, Investment Gains Total from Net Realized Dividends Net Asset Net Assets Beginning Income (Losses) from Investment Capital and Value, End Total End of Period of Period (Loss) on Securities Operations Income Gains Distributions of Period Return+ ($ Thousands) - ------------------------------------------------------------------------------------------------------------------------------ TAX-MANAGED LARGE CAP FUND Class A 2005 $10.41 $ 0.12(1) $ 1.37(1) $ 1.49 $(0.12) $ -- $(0.12) $11.78 14.40% $2,172,885 2004 9.20 0.08(1) 1.21(1) 1.29 (0.08) -- (0.08) 10.41 14.05 1,977,883 2003 7.50 0.08(1) 1.70(1) 1.78 (0.08) -- (0.08) 9.20 23.84 1,757,292 2002 9.49 0.06 (1.98) (1.92) (0.07) -- (0.07) 7.50 (20.44) 1,436,467 2001 13.62 0.07 (4.13) (4.06) (0.07) -- (0.07) 9.49 (29.92) 1,658,097 Class Y 2005 $10.45 $ 0.16(1) $ 1.38(1) $ 1.54 $(0.13) $ -- $(0.13) $11.86 14.78% $ 5,067 2004 9.21 0.12(1) 1.20(1) 1.32 (0.08) -- (0.08) 10.45 14.41 4,909 2003 7.50 0.10(1) 1.71(1) 1.81 (0.10) -- (0.10) 9.21 24.26 3,834 2002(2) 10.45 0.05 (2.98) (2.93) (0.02) -- (0.02) 7.50 (28.05) 2,631 LARGE CAP VALUE FUND Class A 2005 $19.80 $ 0.35(1) $ 2.76(1) $ 3.11 $(0.34) $(0.12) $(0.46) $22.45 15.87% $4,230,717 2004 16.81 0.30(1) 2.99(1) 3.29 (0.30) -- (0.30) 19.80 19.66 4,153,475 2003 13.94 0.25(1) 2.86(1) 3.11 (0.24) -- (0.24) 16.81 22.55 3,527,686 2002 17.39 0.21 (3.26) (3.05) (0.21) (0.19) (0.40) 13.94 (18.06) 2,896,977 2001 18.70 0.21 (1.14) (0.93) (0.22) (0.16) (0.38) 17.39 (5.08) 3,590,194 Class I 2005 $19.78 $ 0.29(1) $ 2.77(1) $ 3.06 $(0.29) $(0.12) $(0.41) $22.43 15.61% $ 24,735 2004 16.80 0.25(1) 2.98(1) 3.23 (0.25) -- (0.25) 19.78 19.33 20,180 2003 13.94 0.21(1) 2.86(1) 3.07 (0.21) -- (0.21) 16.80 22.17 9,086 2002 17.39 0.19 (3.28) (3.09) (0.17) (0.19) (0.36) 13.94 (18.24) 6,175 2001(3) 19.38 0.03 (2.02) (1.99) -- -- -- 17.39 (10.27) 152 LARGE CAP GROWTH FUND Class A 2005 $17.13 $ 0.09(1) $ 2.09(1) $ 2.18 $(0.08) $ -- $(0.08) $19.23 12.75% $4,004,347 2004 15.77 (0.01)(1) 1.37(1) 1.36 -- -- -- 17.13 8.62 3,846,240 2003 12.97 --(1) 2.81(1) 2.81 (0.01)(9) -- (0.01)(9) 15.77 21.66 3,564,487 2002 16.73 (0.04)(1) (3.72)(1) (3.76) -- -- -- 12.97 (22.47) 2,904,802 2001 36.24 (0.06) (17.75) (17.81) -- (1.70) (1.70) 16.73 (51.08) 3,487,142 Class I 2005 $17.00 $ 0.04(1) $ 2.07(1) $ 2.11 $(0.07) $ -- $(0.07) $19.04 12.42% $ 29,689 2004 15.68 (0.05)(1) 1.37(1) 1.32 -- -- -- 17.00 8.42 28,431 2003 12.92 (0.03)(1) 2.79(1) 2.76 --* -- --* 15.68 21.37 12,323 2002 16.72 (0.07)(1) (3.73)(1) (3.80) -- -- -- 12.92 (22.73) 7,934 2001(3) 20.60 (0.01) (3.87) (3.88) -- -- -- 16.72 (18.83) 81 TAX-MANAGED SMALL CAP FUND Class A 2005 $11.63 $(0.02)(1) $ 2.36(1) $ 2.34 $ -- $(0.84) $(0.84) $13.13 20.80% $ 269,519 2004 10.00 (0.04)(1) 1.67(1) 1.63 -- -- -- 11.63 16.30 214,859 2003 7.54 (0.02)(1) 2.48(1) 2.46 -- -- -- 10.00 32.63 181,773 2002 8.15 (0.01) (0.60) (0.61) -- -- -- 7.54 (7.48) 143,764 2001(4) 10.00 -- (1.84) (1.84) (0.01)(9) -- (0.01)(9) 8.15 (18.46) 125,129 SMALL CAP VALUE FUND Class A 2005 $20.74 $ 0.06(1) $ 4.02(1) $ 4.08 $(0.05) $(3.19) $(3.24) $21.58 21.21% $1,066,189 2004 17.45 0.03(1) 4.32(1) 4.35 (0.06) (1.00) (1.06) 20.74 25.67 942,037 2003 13.99 0.08(1) 3.91(1) 3.99 (0.09) (0.44) (0.53) 17.45 29.28 795,501 2002 15.66 0.08 (0.21) (0.13) (0.09) (1.45) (1.54) 13.99 (2.20) 691,668 2001 16.13 0.13 0.36 0.49 (0.14) (0.82) (0.96) 15.66 3.12 794,109 Class I 2005 $20.71 $(0.01)(1) $ 4.03(1) $ 4.02 $(0.02) $(3.19) $(3.21) $21.52 20.88% $ 12,713 2004 17.44 (0.02)(1) 4.31(1) 4.29 (0.02) (1.00) (1.02) 20.71 25.29 7,400 2003 13.99 0.04(1) 3.90(1) 3.94 (0.05) (0.44) (0.49) 17.44 28.91 2,572 2002(5) 16.47 0.02 (2.49) (2.47) (0.01) -- (0.01) 13.99 (14.99) 727 - -------------------------------------------------------------------------- Ratio of Ratio of Expenses Expenses to to Average Ratio of Net Average Net Net Assets Investment Ratio of Assets (Excluding Income Expenses (Excluding Fees Paid (Loss) Portfolio to Average Fees Paid Indirectly to Average Turnover Net Assets Indirectly) and Waivers) Net Assets Rate+ - ------------------------------------------------------------------------- TAX-MANAGED LARGE CAP FUND Class A 2005 0.86% 0.86% 1.02% 1.08% 31% 2004 0.85 0.85 1.02 0.83 29 2003 0.85 0.85 1.02 0.85 99 2002 0.85 0.85 1.03 0.65 80 2001 0.85 0.85 1.01 0.60 84 Class Y 2005 0.56% 0.56% 0.72% 1.39% 31% 2004 0.55 0.55 0.72 1.13 29 2003 0.55 0.55 0.72 1.17 99 2002(2) 0.55 0.55 0.72 1.03 80 LARGE CAP VALUE FUND Class A 2005 0.86% 0.86% 0.97% 1.63% 44% 2004 0.85 0.85 0.97 1.59 46 2003 0.85 0.85 0.97 1.61 106 2002 0.85 0.85 0.97 1.23 41 2001 0.85 0.85 0.97 1.11 89 Class I 2005 1.11% 1.11% 1.22% 1.37% 44% 2004 1.10 1.10 1.22 1.33 46 2003 1.10 1.10 1.22 1.36 106 2002 1.10 1.10 1.22 1.01 41 2001(3) 1.10 1.10 1.22 1.09 89 LARGE CAP GROWTH FUND Class A 2005 0.86% 0.86% 1.02% 0.47% 52% 2004 0.85 0.85 1.02 (0.03) 36 2003 0.85 0.85 1.02 0.02 72 2002 0.85 0.85 1.02 (0.21) 62 2001 0.85 0.85 1.03 (0.29) 112 Class I 2005 1.11% 1.11% 1.27% 0.22% 52% 2004 1.10 1.10 1.27 (0.28) 36 2003 1.10 1.10 1.27 (0.24) 72 2002 1.10 1.10 1.27 (0.41) 62 2001(3) 1.10 1.10 1.28 (0.45) 112 TAX-MANAGED SMALL CAP FUND Class A 2005 1.11% 1.11% 1.27% (0.17)% 99% 2004 1.10 1.10 1.27 (0.31) 86 2003 1.10 1.10 1.27 (0.21) 142 2002 1.10 1.10 1.26 (0.21) 86 2001(4) 1.10 1.10 1.30 (0.04) 82 SMALL CAP VALUE FUND Class A 2005 1.11% 1.11% 1.27% 0.27% 71% 2004 1.10 1.10 1.27 0.17 89 2003 1.10 1.10 1.27 0.52 99 2002 1.10 1.10 1.27 0.46 48 2001 1.10 1.10 1.26 0.78 99 Class I 2005 1.36% 1.36% 1.52% (0.03)% 71% 2004 1.35 1.35 1.52 (0.09) 89 2003 1.35 1.35 1.52 0.23 99 2002(5) 1.35 1.35 1.52 0.21 48 - -------------------------------------------------------------------------------- 134 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------------------------------------------------------------------------ Net Realized and Distributions Net Asset Net Unrealized Dividends from Total Value, Investment Gains Total from Net Realized Dividends Net Asset Net Assets Beginning Income (Losses) from Investment Capital and Value, End Total End of Period of Period (Loss) on Securities Operations Income Gains Distributions of Period Return+ ($ Thousands) - ------------------------------------------------------------------------------------------------------------------------------ SMALL CAP GROWTH FUND Class A 2005 $15.14 $(0.10)(1) $ 2.82(1) $ 2.72 $ -- $ -- $ -- $17.86 17.97% $1,058,413 2004 14.11 (0.10)(1) 1.13(1) 1.03 -- -- -- 15.14 7.30 970,759 2003 9.62 (0.08)(1) 4.57(1) 4.49 -- -- -- 14.11 46.67 875,906 2002 12.35 (0.09)(1) (2.64)(1) (2.73) -- -- -- 9.62 (22.11) 606,999 2001 30.57 (0.14) (10.81) (10.95) -- (7.27) (7.27) 12.35 (42.83) 821,391 Class I 2005 $15.02 $(0.14)(1) $ 2.79(1) $ 2.65 $ -- $ -- $ -- $17.67 17.64% $ 11,077 2004 14.03 (0.14)(1) 1.13(1) 0.99 -- -- -- 15.02 7.06 8,530 2003 9.59 (0.11)(1) 4.55(1) 4.44 -- -- -- 14.03 46.30 5,339 2002 12.35 (0.08)(1) (2.68)(1) (2.76) -- -- -- 9.59 (22.35) 1,879 2001(3) 15.59 (0.02) (3.22) (3.24) -- -- -- 12.35 (20.78) 46 MID-CAP FUND Class A 2005 $17.84 $ 0.06(1) $ 4.61(1) $ 4.67 $(0.06) $(2.16) $(2.22) $20.29 28.15% $ 71,162 2004 14.96 0.09(1) 3.19(1) 3.28 (0.11) (0.29) (0.40) 17.84 22.23 53,642 2003 11.74 0.11(1) 3.25(1) 3.36 (0.08) (0.06) (0.14) 14.96 28.92 41,502 2002 12.19 0.06 (0.46)(8) (0.40) (0.05) -- (0.05) 11.74 (3.34) 25,499 2001 17.42 0.07 (3.22) (3.15) (0.08) (2.00) (2.08) 12.19 (19.59) 32,976 MANAGED VOLATILITY FUND Class A 2005(6) $10.00 $ 0.10(1) $ 1.39(1) $ 1.49 $(0.08) $ --* $(0.08) $11.41 14.94% $ 160,047 REAL ESTATE FUND Class A 2005 $11.89 $ 0.27(1) $ 3.22(1) $ 3.49 $(0.26) $(0.26) $(0.52) $14.86 29.97% $ 96,405 2004(7) 10.00 0.21(1) 1.85(1) 2.06 (0.17) -- (0.17) 11.89 20.82 35,008 CORE FIXED INCOME FUND Class A 2005 $10.65 $ 0.40(1) $ (0.11)(1) $ 0.29 $(0.41) $(0.09) $(0.50) $10.44 2.83% $4,094,011 2004 10.71 0.37(1) 0.08(1) 0.45 (0.38) (0.13) (0.51) 10.65 4.38 4,067,065 2003 10.67 0.40(1) 0.28(1) 0.68 (0.42) (0.22) (0.64) 10.71 6.63 3,823,429 2002 10.75 0.52 0.08 0.60 (0.52) (0.16) (0.68) 10.67 5.89 3,686,946 2001 10.08 0.61 0.67 1.28 (0.61) -- (0.61) 10.75 13.00 3,519,061 Class I 2005 $10.65 $ 0.38(1) $ (0.12)(1) $ 0.26 $(0.39) $(0.09) $(0.48) $10.43 2.48% $ 12,979 2004 10.71 0.34(1) 0.09(1) 0.43 (0.36) (0.13) (0.49) 10.65 4.12 10,420 2003 10.67 0.37(1) 0.28(1) 0.65 (0.39) (0.22) (0.61) 10.71 6.37 5,931 2002 10.76 0.49 0.07 0.56 (0.49) (0.16) (0.65) 10.67 5.53 4,268 2001(3) 10.60 0.08 0.16 0.24 (0.08) -- (0.08) 10.76 2.28 86 HIGH YIELD BOND FUND Class A 2005 $8.58 $ 0.64(1) $ (0.08)(1) $ 0.56 $(0.64) $ -- $(0.64) $8.50 6.71% $1,599,921 2004 8.37 0.67(1) 0.21(1) 0.88 (0.67) -- (0.67) 8.58 10.84 1,197,554 2003 7.60 0.68(1) 0.77(1) 1.45 (0.68) -- (0.68) 8.37 19.88 976,659 2002 7.86 0.70 (0.26) 0.44 (0.70) -- (0.70) 7.60 5.45 745,525 2001 9.15 0.88 (1.29) (0.41) (0.88) -- (0.88) 7.86 (4.76) 721,314 - --------------------------------------------------------------------------- Ratio of Ratio of Expenses Expenses to to Average Ratio of Net Average Net Net Assets Investment Ratio of Assets (Excluding Income Expenses (Excluding Fees Paid (Loss) Portfolio to Average Fees Paid Indirectly to Average Turnover Net Assets Indirectly) and Waivers) Net Assets Rate+ - -------------------------------------------------------------------------- SMALL CAP GROWTH FUND Class A 2005 1.11% 1.11% 1.27% (0.60)% 116% 2004 1.10 1.10 1.27 (0.63) 124 2003 1.10 1.10 1.27 (0.66) 166 2002 1.10 1.10 1.27 (0.69) 156 2001 1.10 1.10 1.29 (0.80) 157 Class I 2005 1.36% 1.36% 1.52% (0.85)% 116% 2004 1.35 1.35 1.52 (0.90) 124 2003 1.35 1.35 1.52 (0.91) 166 2002 1.35 1.35 1.53 (0.71) 156 2001(3) 1.35 1.35 1.54 (1.12) 157 MID-CAP FUND Class A 2005 1.01% 1.01% 1.03% 0.30% 137% 2004 1.00 1.00 1.02 0.53 121 2003 1.00 1.00 1.03 0.86 109 2002 1.00 1.00 1.02 0.39 222 2001 1.00 1.00 1.02 0.51 193 MANAGED VOLATILITY FUND Class A 2005(6) 1.11% 1.11% 1.27% 1.03% 102% REAL ESTATE FUND Class A 2005 1.11% 1.11% 1.27% 1.95% 58% 2004(7) 1.10 1.10 1.30 2.20 98 CORE FIXED INCOME FUND Class A 2005 0.61% 0.61% 0.84% 3.83% 557% 2004 0.61** 0.61** 0.84 3.52 430 2003 0.60 0.60 0.84 3.77 470 2002 0.60 0.60 0.84 4.96 379 2001 0.60 0.60 0.84 5.79 358 Class I 2005 0.86% 0.86% 1.09% 3.60% 557% 2004 0.86** 0.86** 1.09 3.25 430 2003 0.85 0.85 1.09 3.46 470 2002 0.85 0.85 1.09 4.52 379 2001(3) 0.85 0.85 1.09 5.01 358 HIGH YIELD BOND FUND Class A 2005 0.86% 0.86% 1.12% 7.46% 132 2004 0.85 0.85 1.11 7.84 179 2003 0.85 0.85 1.12 8.50 129 2002 0.85 0.85 1.12 8.67 126 2001 0.85 0.85 1.12 10.27 105 + Returns and turnover rates are for the period indicated and have not been annualized. * Amount represents less then $0.01. ** The expense ratio includes the litigation fees paid (see note 10). 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, 2004. 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 $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 135 Notes to Financial Statements September 30, 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, Large Cap Diversified Alpha and Small/Mid Cap Equity Funds (each a "Fund," collectively the "Funds"). The Trust is registered to offer Class A shares of the 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 September 30, 2005, the Large Cap Diversified Alpha and Small/Mid Cap 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 generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from 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. Options and warrants for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing bid price. Options and warrants not traded on a national securities exchange are valued at the last quoted bid price. 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. - -------------------------------------------------------------------------------- 136 SEI Institutional Managed Trust / Annual Report / September 30, 2005 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. FORWARD FOREIGN CURRENCY CONTRACTS -- The Small Cap Growth and Core Fixed Income Funds may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. All commitments are "marked-to-market" daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Small Cap Growth and Core Fixed Income Funds realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are recognized as ordinary income or loss for Federal income tax purposes. The Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Net Assets or Statement of Assets and Liabilities. At the year ended September 30, 2005 the Small Cap Growth Fund did not have any forward foreign currency contracts outstanding. FUTURES CONTRACTS -- All Funds, with the exception of Real Estate Fund, utilized futures contracts during the year ended September 30, 2005. The Funds' investments in 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 of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the fund could lose more than the original margin deposit required to initiate a futures transaction. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Net Assets or Statement of Assets and Liabilities. OPTION WRITING/PURCHASING -- Each Fund may invest in financial option contracts for the purpose of hedging its existing fund securities, or securities that the Fund intends to purchase, against fluctuations in fair value caused by changes in prevailing market interest rates. When the - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 137 Notes to Financial Statements (Continued) September 30, 2005 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 September 30, 2005 as disclosed in the Fund's Schedule of Investments. The risk in writing a call option is that the Funds give up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Funds may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is that the Funds pay a premium whether or not the option is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes. Finally, the risk exists that losses on written options could exceed amounts disclosed on the Statement of Net Assets or Statement of Assets and Liabilities. Written option transactions entered into during the year ended September 30, 2005 are summarized as follows: - ------------------------------------------------------------ Core Fixed Income - ------------------------------------------------------------ Premium # of Contracts ($Thousands) - ------------------------------------------------------------ Balance at the beginning of year 1,212 $ 1,387 Written 4,681 2,674 Expired (2,322) (1,862) Exercised -- -- Closing Buys (2,759) (1,867) - ------------------------------------------------------------ Balance at the end of year 812 $ 332 - ------------------------------------------------------------ At September 30, 2005 the Core Fixed Income Fund had cash and/or securities at least equal to the value of written options. SWAP AGREEMENTS -- A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or "basket" of securities representing a particular index. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit-default swaps involve periodic payments by the Fund or counterparty based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the outstanding principal of the downgraded debt instrument, and also take possession of the instrument. In connection with swap agreements securities may be set aside as collateral by the Fund's custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio, to protect the Fund's value from changes in interest rates, or to expose a Fund to a different security or market. Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as an unrealized gain or loss in the Statement of Operations. Net payments of interest are recorded as realized gains or losses. Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements. 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. COLLATERALIZED DEBT OBLIGATIONS -- The Funds may invest in collateralized debt obligations ("CDOs"), which include collateralized loan obligations ("CLOs") and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated - -------------------------------------------------------------------------------- 138 SEI Institutional Managed Trust / Annual Report / September 30, 2005 below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses. For CDOs, the cashflows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the "equity" tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than their underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class. The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Fund invests. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Funds as illiquid securities, however an active dealer market may exist for CDOs allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but are not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Funds may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of 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. RESTRICTED SECURITIES -- At September 30, 2005, the following Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption therefrom. In addition, the Funds have generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these investments. These investments are valued at fair value as determined in accordance with the procedures approved by the Board of Trustees. The acquisition dates of these investments, the enforceable right to acquire these securities, along with their cost and values at September 30, 2005, were as follows: NUMBER ACQUISITION RIGHT TO ACQUIRE COST MARKET VALUE % OF NET OF SHARES DATE DATE ($THOUSANDS) ($THOUSANDS) ASSETS - ------------------------------------------------------------------------------------------------------------------------ SMALL CAP VALUE FUND Medical Properties Trust 39,400 03/31/04 03/31/04 $ 394 $ 348 0.0% SMALL CAP GROWTH FUND Medical Properties Trust 201,500 05/07/04 05/07/04 2,068 1,778 0.2 Parkervision Warrants 17,500 06/20/05 06/20/05 36 46 0.0 Synenco Ernergy 37,852 08/19/05 08/19/05 169 457 0.0 Theglobe.com 1,238,300 05/28/04 05/28/04 96 401 0.0 ----- ----- ------ 2,369 2,682 0.2 REAL ESTATE FUND Medical Properties Trust 11,400 03/31/04 03/31/04 115 101 0.1 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. INVESTMENTS IN REITS -- With respect to the Real Estate Fund, dividend income is recorded based on the income included in distributions received from the REIT investments using published REIT reclassifications including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. 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 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 139 Notes to Financial Statements (Continued) September 30, 2005 of the Tax-Managed Large Cap Class Y; and 0.28% of the average daily net assets of the Core Fixed Income Fund. The Administrator has agreed to waive all or a portion of its fee in order to limit the operating expenses of a Fund. Any such waiver is voluntary and may be terminated at any time at the Administrator's sole discretion. INVESTMENT ADVISORY AGREEMENT -- SEI Investments Management Corporation ("SIMC") serves as investment adviser (the "Adviser") to each Fund. In connection with serving as 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% 0.8600% Tax-Managed Large Cap Fund, Class Y 0.4000 0.5600 Large Cap Value Fund, Class A 0.3500 0.8600 Large Cap Value Fund, Class I 0.3500 1.1100 Large Cap Growth Fund, Class A 0.4000 0.8600 Large Cap Growth Fund, Class I 0.4000 1.1100 Tax-Managed Small Cap Fund, Class A 0.6500 1.1100 Small Cap Value Fund, Class A 0.6500 1.1100 Small Cap Value Fund, Class I 0.6500 1.3600 Small Cap Growth Fund, Class A 0.6500 1.1100 Small Cap Growth Fund, Class I 0.6500 1.3600 Mid-Cap Fund, Class A 0.4000 1.0100 Managed Volatility Fund, Class A 0.6500 1.1100 Real Estate Fund, Class A 0.6500 1.1100 Core Fixed Income Fund, Class A 0.2750 0.6100 Core Fixed Income Fund, Class I 0.2750 0.8600 High Yield Bond Fund, Class A 0.4875 0.8600 During the year, expenses related to a proxy conducted by the Trust were charged to the Funds above the cap. As of September 30, 2005, 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 Delaware Management Company 04/27/05 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 - -------------------------------------------------------------------- Currently Managing Date of a Portion of Fund Investment Sub-Adviser Agreement (Y/N) - -------------------------------------------------------------------- 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 LARGE CAP GROWTH FUND Delaware Management Company 04/27/05 Y Goldman Sachs Asset Management, L.P. 01/24/03 Y Montag and Caldwell, Inc. 03/12/02 Y Peregrine Capital Management, Inc. 12/07/00 Y Quantitive Management Associates LLC 06/30/05 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 Parametric Portfolio Associates 06/27/05 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. 03/04/05 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. 03/04/05 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 10/27/04 Y Analytic Investors, Inc. 10/28/04 Y REAL ESTATE FUND Security Capital Research and Management Incorporated 10/27/04 Y Wellington Management Company, LLP 10/28/04 Y CORE FIXED INCOME FUND Bridgewater Associates, Inc. 09/30/05 Y Metropolitan West Asset Management LLC 06/26/02 Y Smith Breeden Associates, Inc. 09/29/05 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 - -------------------------------------------------------------------------------- 140 SEI Institutional Managed Trust / Annual Report / September 30, 2005 Under the investment sub-advisory agreements, each party receives an annual fee paid by SIMC. PAYMENT BY AFFILIATE -- During the fiscal year ended September 30, 2005, the Large Cap Growth Fund was reimbursed by the sub-adviser, deemed as a "Payment by Affiliate" in the Statement of Operations, for losses incurred of $1,930 due to the purchase of shares in a specific company in excess of the amount permitted under applicable Securities and Exchange Commission rules. This amount is included in the net realized and unrealized gain (loss) investments section on the statement of operations. The reimbursement has no impact on the Fund's total return. DISTRIBUTION AGREEMENT -- SEI Investments Distribution Co. (the "Distributor"), a wholly-owned subsidiary of SEI Investments Company ("SEI Investments"), serves as each Fund's Distributor pursuant to a distribution agreement with the Trust. The Trust has adopted a shareholder servicing plan for Class A, Class I and Class Y shares (the "Shareholder Servicing Plans") under which a shareholder servicing fee of up to 0.25% of average daily net assets attributable to Class A and Class I shares, and a shareholder servicing fee of up to 0.15% of average daily net assets attributable to Class Y shares, will be paid to the Distributor. In addition to the Shareholder Servicing Plans, the Class I shares have adopted administrative service plans that provide for administrative service fees payable to the Distributor of up to 0.25% of the average daily net assets attributed to that class. OTHER -- The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on fund transactions effected for the Trust in accordance with the rules of the Securities and Exchange Commission ("SEC"). Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. SEC rules require that such commissions not exceed usual and customary commissions. Such commissions for the year ended September 30, 2005 were as follows ($ Thousands): Tax-Managed Large Cap Fund $ 219 Large Cap Value Fund 667 Large Cap Growth Fund 735 Tax-Managed Small Cap Fund 106 Small Cap Value Fund 98 Small Cap Growth Fund 309 Real Estate Fund 25 ------ $2,159 ====== Under both the Shareholder Servicing Plans and administrative service plan, the Distributor may retain as profit any difference between the fee it receives and the amount it pays to third parties. For the year ended September 30, 2005, the Distributor retained 100% of the shareholder servicing fees, less the waiver, and 100% of the administration servicing fees. Certain officers and/or trustees of the Trust are also officers of the Administrator or the Adviser. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim and committee meetings. Compensation of officers and affiliated Trustees of the Trust is paid by the Adviser or Administrator. LSV Asset Management (a partially-owned subsidiary of SIMC) serves as the sub-adviser to the Tax-Managed Large Cap, Large Cap Value, Tax-Managed Small Cap and Small Cap Value Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the year ended September 30, 2005 were as follows ($ Thousands): Tax-Managed Large Cap Fund $ 278 Large Cap Value Fund 1,416 Tax-Managed Small Cap Fund 247 Small Cap Value Fund 523 ------ $2,464 ====== FEES PAID INDIRECTLY -- The Funds may direct certain fund trades to the Distributor who pays a portion of the Fund's expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, and the effect on the Fund's expense ratio, as a percentage of the Fund's average daily net assets for the year ended September 30, 2005, can be found on the statement of operations. 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. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 141 Notes to Financial Statements (Continued) September 30, 2005 4. CAPITAL SHARE TRANSACTIONS Capital Share Transactions for the Funds were as follows (Thousands): For the years or period ended September 30, - ------------------------------------------------------------------------------------------------------------------------------ TAX-MANAGED LARGE CAP LARGE CAP LARGE CAP FUND VALUE FUND GROWTH FUND - ------------------------------------------------------------------------------------------------------------------------------ 2005 2004 2005 2004 2005 2004 - ------------------------------------------------------------------------------------------------------------------------------ Class A: Shares Issued 34,030 47,540 33,561 55,053 37,545 58,229 Shares Issued in Lieu of Dividends & Distributions 1,942 1,439 4,168 3,093 913 -- Shares Redeemed (41,498) (50,113) (59,040)(3) (58,209) (54,683) (59,821) - ------------------------------------------------------------------------------------------------------------------------------ Total Class A Transactions (5,526) (1,134) (21,311) (63) (16,225) (1,592) - ------------------------------------------------------------------------------------------------------------------------------ Class I: Shares Issued -- -- 279 647 334 1,257 Shares Issued in Lieu of Dividends & Distributions -- -- 20 9 6 -- Shares Redeemed -- -- (216) (177) (453) (371) - ------------------------------------------------------------------------------------------------------------------------------ Total Class I Transactions -- -- 83 479 (113) 886 - ------------------------------------------------------------------------------------------------------------------------------ Class Y: Shares Issued -- 134 -- -- -- -- Shares Issued in Lieu of Dividends & Distributions 5 4 -- -- -- -- Shares Redeemed (48) (84) -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------ Total Class Y Transactions (43) 54 -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Capital Share Transactions (5,569) (1,080) (21,228) 416 (16,338) (706) - ------------------------------------------------------------------------------------------------------------------------------ TAX-MANAGED SMALL CAP SMALL CAP SMALL CAP FUND VALUE FUND GROWTH FUND - ------------------------------------------------------------------------------------------------------------------------------ 2005 2004 2005 2004 2005 2004 - ------------------------------------------------------------------------------------------------------------------------------ Class A: Shares Issued 4,781 5,701 12,101 15,291 17,025 24,229 Shares Issued in Lieu of Dividends & Distributions 1,210 -- 7,107 2,444 -- -- Shares Redeemed (3,938) (5,395) (15,221) (17,888) (21,881) (22,214) - ------------------------------------------------------------------------------------------------------------------------------ Total Class A Transactions 2,053 306 3,987 (153) (4,856) 2,015 - ------------------------------------------------------------------------------------------------------------------------------ Class I: Shares Issued -- -- 317 313 311 448 Shares Issued in Lieu of Dividends & Distributions -- -- 67 10 -- -- Shares Redeemed -- -- (150) (113) (252) (261) - ------------------------------------------------------------------------------------------------------------------------------ Total Class I Transactions -- -- 234 210 59 187 - ------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Capital Share Transactions 2,053 306 4,221 57 (4,797) 2,202 - ------------------------------------------------------------------------------------------------------------------------------ MID-CAP MANAGED REAL ESTATE CORE FIXED HIGH YIELD FUND VOLATILITY FUND(1) FUND(2) INCOME FUND BOND FUND - ------------------------------------------------------------------------------------------------------------------------------ 2005 2004 2005 2005 2004 2005 2004 2005 2004 - ------------------------------------------------------------------------------------------------------------------------------ Class A: Shares Issued 2,758 1,980 15,432(4) 5,103 3,551 87,292 124,691 83,256 67,296 Shares Issued in Lieu of Dividends & Distributions 292 61 58 156 14 17,306 16,699 10,907 9,150 Shares Redeemed (2,551) (1,807) (1,457) (1,715) (622) (94,180) (116,545) (45,595) (53,463) - ------------------------------------------------------------------------------------------------------------------------------ Total Class A Transactions 499 234 14,033 3,544 2,943 10,418 24,845 48,568 22,983 - ------------------------------------------------------------------------------------------------------------------------------ Class I: Shares Issued -- -- -- -- -- 490 740 -- -- Shares Issued in Lieu of Dividends & Distributions -- -- -- -- -- 48 32 -- -- Shares Redeemed -- -- -- -- -- (273) (347) -- -- - ------------------------------------------------------------------------------------------------------------------------------ Total Class I Transactions -- -- -- -- -- 265 425 -- -- - ------------------------------------------------------------------------------------------------------------------------------ Net Increase in Capital Share Transactions 499 234 14,033 3,544 2,943 10,683 25,270 48,568 22,983 - ------------------------------------------------------------------------------------------------------------------------------ <FN> (1) The Managed Volatility Fund commenced operations on October 28, 2004. (2) The Real Estate Fund commenced operations on November 13, 2003. (3) Includes redemptions as a result of in-kind transfers of securities (see note 9). (4) Includes subscriptions as a result of in-kind transfers of securities (see note 9). </FN> Amounts designated as "--" are zero or have been rounded to zero. - -------------------------------------------------------------------------------- 142 SEI Institutional Managed Trust / Annual Report / September 30, 2005 5. INVESTMENT TRANSACTIONS The cost of security purchases and proceeds from the sale of securities, other than temporary cash investments and futures, during the year ended September 30, 2005, was as follows: - ------------------------------------------------------------- U.S. Gov't Other Total ($Thousands) ($Thousands) ($Thousands) - ------------------------------------------------------------- TAX-MANAGED LARGE CAP FUND Purchases .......... $ -- $ 633,481 $ 633,481 Sales .............. -- 703,479 703,479 LARGE CAP VALUE FUND Purchases .......... -- 1,841,846 1,841,846 Sales .............. -- 2,275,857 2,275,857 LARGE CAP GROWTH FUND Purchases .......... -- 2,022,450 2,022,450 Sales .............. -- 2,290,980 2,290,980 TAX-MANAGED SMALL CAP FUND Purchases .......... -- 242,161 242,161 Sales .............. -- 231,246 231,246 SMALL CAP VALUE FUND Purchases .......... -- 708,345 708,345 Sales .............. -- 763,041 763,041 SMALL CAP GROWTH FUND Purchases .......... -- 1,161,108 1,161,108 Sales .............. -- 1,243,566 1,243,566 MID-CAP FUND Purchases .......... -- 80,714 80,714 Sales .............. -- 77,910 77,910 MANAGED VOLATILITY FUND Purchases .......... -- 232,658 232,658 Sales .............. -- 92,176 92,176 REAL ESTATE FUND Purchases .......... -- 82,047 82,047 Sales .............. -- 37,660 37,660 CORE FIXED INCOME FUND Purchases .......... 20,651,178 1,741,976 22,393,154 Sales .............. 19,849,431 1,767,016 21,616,447 HIGH YIELD BOND FUND Purchases .......... 2,208 1,753,778 1,755,986 Sales .............. -- 1,511,918 1,511,918 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. Accordingly, the following permanent differences, primarily attributable to different treatment for gains and losses on paydowns of mortgage- and asset-backed securities for tax purposes, return of capital, and utilization of earnings and profits on shareholder redemptions and net operating losses have been reclassified to/from the following accounts as of September 30, 2005: - ------------------------------------------------------------- Undistributed Accumulated Paid-in Net Investment Realized Capital Income (Loss) Gain (Loss) ($ Thousands) ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Tax-Managed Large Cap Fund $ -- $ 50 $ (50) Large Cap Value Fund 34,823 3,402 (38,225) Tax-Managed Small Cap Fund 1,196 416 (1,612) Small Cap Value Fund 15,671 512 (16,183) Small Cap Growth Fund (6,069) 6,054 15 Mid-Cap Fund 2,466 58 (2,524) Managed Volatility -- 29 (29) Real Estate Fund* -- 216 (216) Core Fixed Income Fund 3,755 4,776 (8,531) High Yield Bond Fund -- (76) 76 * Information reflects Fund activity based on Fund's December 31, 2004 tax reporting year. The tax character of dividends and distributions paid during the years or period ended September 30, 2005 and September 30, 2004 was as follows: - ------------------------------------------------------------------------------------------------------- Ordinary Long-term Return of Income Capital Gain Capital Total ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - ------------------------------------------------------------------------------------------------------- Tax-Managed Large Cap Fund 2005 $ 22,762 $ -- $ -- $ 22,762 2004 15,399 -- -- 15,399 Large Cap Value Fund 2005 88,105 4,927 -- 93,032 2004 61,966 -- -- 61,966 Large Cap Growth Fund 2005 17,915 -- -- 17,915 2004 -- -- -- -- Tax-Managed Small Cap Fund 2005 1,893 13,691 -- 15,584 2004 -- -- -- -- Small Cap Value Fund 2005 58,192 90,972 -- 149,164 2004 24,583 23,948 -- 48,531 Small Cap Growth Fund 2005 -- -- -- -- 2004 -- -- -- -- Mid-Cap Fund 2005 2,402 3,479 -- 5,881 2004 1,149 -- -- 1,149 Managed Volatility 2005 635 6 -- 641 Real Estate Fund 2005 1,959 220 -- 2,179 2004 160 3 1 164 Core Fixed Income Fund 2005 171,693 23,897 -- 195,590 2004 187,156 3,992 -- 191,148 High Yield Bond Fund 2005 100,331 -- -- 100,331 2004 83,753 -- -- 83,753 - ------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 143 Notes to Financial Statements (Continued) September 30, 2005 As of September 30, 2005, the components of Distributable Earnings/(Accumulated Losses) were as follows: - ---------------------------------------------------------------------------------------------------------------------------------- Undistributed Undistributed Capital Post Unrealized Other Total Ordinary Long-Term Loss October Appreciation Temporary Distributable Earnings/ Income Capital Gain Carryforwards Losses (Depreciation) Differences (Accumulated Losses) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - ---------------------------------------------------------------------------------------------------------------------------------- Tax-Managed Large Cap Fund $ 4,006 $ -- $ (478,618) $ -- $355,704 $ -- $ (118,908) Large Cap Value Fund 57,195 192,922 -- -- 667,401 -- 917,518 Large Cap Growth Fund 635 -- (1,387,498) -- 292,242 -- (1,094,621) Tax-Managed Small Cap Fund 4,108 10,023 -- -- 50,655 -- 64,786 Small Cap Value Fund 35,530 68,715 -- -- 177,054 -- 281,299 Small Cap Growth Fund -- -- (97,124) (112) 48,066 -- (49,170) Mid-Cap Fund 3,069 2,766 -- -- 9,810 -- 15,645 Managed Volatility Fund 2,715 101 -- -- 8,255 -- 11,071 Real Estate Fund* 486 2,416 -- -- 14,170 -- 17,072 Core Fixed Income Fund 16,085 13,008 -- -- (4,891) (14,526) 9,676 High Yield Bond Fund 10,352 -- (125,765) (5,401) (20,486) (10,262) (151,562) <FN> *Information reflects Fund activity based on Fund's December 31, 2004 tax reporting year. </FN> Post October losses represent losses realized on investment transactions from November 1, 2004 through September 30, 2005 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 Loss 2012 2011 2010 Carryforwards ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - ------------------------------------------------------------------------------------------- Tax-Managed Large Cap Fund $16,066 $203,461 $259,091 $ 478,618 Large Cap Growth Fund 7,113 625,970 754,415 1,387,498 Small Cap Growth Fund -- 37,581 59,543 97,124 High Yield Bond Fund -- 57,114 68,651 125,765 During the year ended September 30, 2005, the Tax-Managed Large Cap, Large Cap Growth, Small Cap Growth and High Yield Bond Funds utilized $95,733,392, $149,155,693, $99,904,439 and $13,158,690, respectively, of capital loss carryforward, respectively, to offset capital gains. For Federal income tax purposes, the cost of securities owned at September 30, 2005, and the net realized gains or losses on securities sold for the period, were different from amounts reported for financial reporting purposes, primarily due to wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Funds at September 30, 2005, were as follows: - --------------------------------------------------------------------------- Net Unrealized Federal Appreciated Depreciated Appreciation Tax Cost Securities Securities (Depreciation) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - --------------------------------------------------------------------------- Tax-Managed Large Cap Fund $2,260,501 $458,150 $(102,446) $355,704 Large Cap Value Fund 4,394,286 815,328 (147,927) 667,401 Large Cap Growth Fund 4,434,079 624,373 (332,131) 292,242 Tax-Managed Small Cap Fund 340,284 58,091 (7,436) 50,655 Small Cap Value Fund 1,140,536 221,892 (44,838) 177,054 Small Cap Growth Fund 1,301,658 152,417 (104,351) 48,066 Mid-Cap Fund 73,880 11,049 (1,239) 9,810 Managed Volatility Fund 151,529 11,420 (3,165) 8,255 Real Estate Fund 110,805 14,479 (309) 14,170 Core Fixed Income Fund 6,002,050 52,687 (57,578) (4,891) High Yield Bond Fund 1,886,537 23,335 (43,821) (20,486) - -------------------------------------------------------------------------------- 144 SEI Institutional Managed Trust / Annual Report / September 30, 2005 7. SECURITIES LENDING Each Fund may lend portfolio securities to brokers, dealers and other financial organizations that meet capital and other credit requirements or other criteria established by the Trust's Board of Trustees. These loans may not exceed 331/3% of the total asset value of the Fund (including the loan collateral). No Fund will lend portfolio securities to its Adviser, sub-adviser or their affiliates unless it has applied for and received specific authority to do so from the SEC. Loans of portfolio securities will be fully collateralized by cash. Collateral will be maintained in an amount equal to at least 100% of the current market value of the loaned securities by marking to market daily, although the borrower will be required to deliver collateral of 102% and 105% of the market value of borrowed securities for domestic and foreign securities, respectively. However, due to market fluctuations during the day, the value of securities loaned on a particular day may, during the course of the day, exceed the value of collateral. On each business day, the amount of collateral is adjusted based on the prior day's market fluctuations and the current day's lending activity. Income from lending activity is determined by the amount of interest earned on collateral, less any amounts payable to the borrowers of the securities and the lending agent. Lending securities involves certain risks, including the risk that the Fund may be delayed or prevented from recovering the collateral if the borrower fails to return the securities. Cash collateral received in connection with securities lending is invested in short-term investments by the lending agent. These investments may include repurchase agreements, which are collateralized by United States Treasury and Government Agency securities, and high-quality, short-term instruments, such as floating rate corporate obligations, commercial paper, and private placements with an average weighted maturity not to exceed 60 days and a maturity not to exceed 397 days. 8. CONCENTRATIONS/RISKS In the normal course of business, the Funds enter into contracts that provide general indemnifications 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 and High Yield Bond Funds' investments will change in response to interest rate changes and other factors. During periods of falling interest rates, the values of fixed income securities generally rise. Conversely, during periods of rising interest rates, the values of such securities generally decline. Changes by recognized rating agencies in the ratings of any fixed income security and in the ability of an issuer to make payments of interest and principal may also affect the value of these investments. 9. IN-KIND TRANSFERS OF SECURITIES During the year ended September 30, 2005, the Large Cap Value and Managed Volatility Funds issued (redeemed) shares of beneficial interest in exchange for securities. The securities were transferred at their current value on the date of transaction. - ------------------------------------------------------------- Shares Issued (Redeemed) Value Gain - ------------------------------------------------------------- Large Cap Value Fund 10/28/04 (301,626) $ 5,993,304 $306,542 Managed Volatility Fund 10/28/04 599,330 5,993,304 -- 10. LITIGATION The Core Fixed Income Fund has participated as a plaintiff bondholder, along with other institutional bondholders, in litigation against Duty Free International, British Airport Authority and other defendants relating to Notes issued by Duty Free International which are held by the Fund. British Airport Authority is the former parent company of Duty Free International. During 2003, the plaintiffs in that action reached a settlement with all defendants with the exception of British Airport Authority. Under that settlement, Duty Free International paid the plaintiffs $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. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 145 Notes to Financial Statements (Concluded) September 30, 2005 11. OTHER On September 30, 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 87.79% Tax-Managed Large Cap Fund, Class Y 1 100.00 Large Cap Value Fund, Class A 1 75.26 Large Cap Value Fund, Class I 3 55.76 Large Cap Growth Fund, Class A 1 74.70 Large Cap Growth Fund, Class I 4 71.60 Tax-Managed Small Cap Fund 1 82.84 Small Cap Value Fund, Class A 1 71.41 Small Cap Value Fund, Class I 3 45.54 Small Cap Growth Fund, Class A 1 61.80 Small Cap Growth Fund, Class I 2 49.68 Mid-Cap Fund, Class A 1 69.68 Managed Volatility Fund, Class A 3 74.83 Real Estate Fund, Class A 2 70.91 Core Fixed Income Fund, Class A 1 75.29 Core Fixed Income Fund, Class I 2 45.67 High Yield Bond Fund, Class A 1 58.57 These shareholders are comprised of omnibus accounts, which are held on behalf of several individual shareholders. 12. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (Unaudited) The Board has selected KPMG LLP ("KPMG") to serve as the Trust's independent registered public accounting firm for the Trust's fiscal year ended September 30, 2006. The decision to select KPMG was recommended by the Audit Committee and was approved by the Board on September 21, 2005. During the Trust's fiscal years ended September 30, 2005 and September 30, 2004, neither the Trust, its portfolios nor anyone on their behalf has consulted with KPMG on items which (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Trust's financial statements; or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(iv) of said Item 304). The selection of KPMG does not reflect any disagreements with or dissatisfaction by the Trust or the Board with the performance of the Trust's prior auditor. The decision to dismiss PricewaterhouseCoopers LLP ("PwC"), the Trust's previous independent registered public accounting firm and to select KPMG was recommended by the Trust's Audit Committee and approved by the Fund's Board of Trustees. PwC's report on the Trust's financial statements for the fiscal years ended September 30, 2005 and September 30, 2004 contained no adverse opinion or disclaimer of opinion nor were they qualified or modified as to uncertainty, audit scope or accounting principles. During the Trust's fiscal years ended September 30, 2005 and September 30, 2004, (i) there were no disagreements with PwC on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of PwC, would have caused it to make reference to the subject matter of the disagreements in connection with its reports on the Trust's financial statements for such years, and (ii) there were no "reportable events" of the kind described in Item 302(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended. - -------------------------------------------------------------------------------- 146 SEI Institutional Managed Trust / Annual Report / September 30, 2005 Report of Independent Registered Public Accounting Firm To the Board of Trustees and Shareholders of SEI Institutional Managed Trust In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments of Core Fixed Income Fund, and the statements of net assets of 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 and High Yield Bond Fund (collectively the "Funds" constituting SEI Institutional Managed Trust, hereafter referred to as the "Trust") and the related statements of operations and of changes in net assets and financial highlights present fairly, in all material respects, the financial position of the Funds at September 30, 2005, and the results of each of their operations, the changes in each of their net assets and financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2005 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania November 28, 2005 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 147 TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) The following chart lists Trustees and Officers as of November 28, 2005. Set forth below are the names, ages, position with the Trust, length of term of office, the principal occupations for the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust's Statement of Additional Information ("SAI") includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734. - ------------------------------------------------------------------------------------------------------------------------------------ TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE - ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEES - ------------------- Robert A. Nesher Chairman since 1982 Currently performs various 69 Trustee of The Advisors' One Freedom of the services on behalf of SEI Inner Circle Fund, The Valley Drive, Board of Investments for which Mr. Advisors Inner Circle Fund Oaks, PA 19456 Trustees* Nesher is compensated. II, Bishop Street Funds, Director of 59 yrs. old SEI Global Master Fund, plc, SEI Global Assets Fund, plc, SEI Global Investments Fund, plc, SEI Investments Global, Limited, SEI Investments -- Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Investments -- Unit Trust Management (UK), Limited, SEI Global Nominee Ltd., SEI Absolute Return Master Fund, L.P., SEI Absolute Return Fund, L.P., SEI Opportunity Master Fund, L.P., SEI Opportunity Fund, L.P. and SEI Multi-Strategy Funds plc. - ------------------------------------------------------------------------------------------------------------------------------------ William M. Doran Trustee* since 1982 Self-employed consultant since 2003. 69 Trustee of The Advisors' 1701 Market Street Partner, Morgan, Lewis & Bockius Inner Circle Fund, The Philadelphia, PA LLP(law firm) from 1976 to 2003, Advisors' Inner Circle 19103 counsel to the Trust, SEI Invest- Fund II, Director of SEI 65 yrs. old ments, SIMC, the Administrator Investments since 1974. and theDistributor. Secretary Director of the of SEI Investments since 1978. Distributor since 2003. Director of SEI Investments -- Global Fund Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia), Limited and SEI Asset Korea Co., Ltd. - ------------------------------------------------------------------------------------------------------------------------------------ TRUSTEES - -------- F. Wendell Gooch Trustee since 1982 Retired 69 Trustee of STI Classic One Freedom Funds and STI Classic Valley Drive, Variable Trust. Oaks, PA 19456 72 yrs. old - ------------------------------------------------------------------------------------------------------------------------------------ James M. Storey Trustee since 1995 Attorney, sole practitioner since 69 Trustee of The Advisors' One Freedom 1994. Partner, Dechert Price Inner Circle Fund, The Valley Drive, & Rhoads, September 1987- Advisors' Inner Circle Oaks, PA 19456 December 1993. Fund II, Massachusetts 74 yrs. old Health and Education Tax-Exempt Trust, and U.S. Charitable Gift Trust. - ------------------------------------------------------------------------------------------------------------------------------------ - -------------------------------------------------------------------------------- 148 SEI Institutional Managed Trust / Annual Report / September 30, 2005 - ------------------------------------------------------------------------------------------------------------------------------------ TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE - ------------------------------------------------------------------------------------------------------------------------------------ TRUSTEES (CONTINUED) - -------- George J. Sullivan, Jr. Trustee since 1996 Self-Employed Consultant, Newfound 68 Trustee of The Advisors' One Freedom Consultants Inc. since April 1997. Inner Circle Fund, The Valley Drive Advisors' Inner Circle Oaks, PA 19456 Fund II, State Street 63 yrs. old Navigator Securities Lending Trust, SEI Absolute Return Master Fund, L.P., SEI Absolute Return Fund, L.P., SEI Opportunity Master Fund, L.P., and SEI Opportunity Fund, L.P. - ------------------------------------------------------------------------------------------------------------------------------------ Rosemarie B. Greco Trustee since 1999 Director, Governor's Office of Health 68 Director, Sonoco, Inc.; One Freedom` Care Reform, Commonwealth of Director,Exelon Valley Drive Pennsylvania since 2003. Founder and Corporation; Trustee, Oaks, PA 19456 Principal, Grecoventures Ltd. from Pennsylvania Real Estate 59 yrs. old 1999 to 2002. Investment Trust. - ------------------------------------------------------------------------------------------------------------------------------------ Nina Lesavoy Trustee since 2003 Managing Partner, Cue Capital since 68 SEI Absolute Return Master One Freedom March 2002, Managing Partner and Fund, L.P., SEI Absolute Valley Drive, Head of Sales, Investorforce, March Return Fund, L.P., SEI Oaks, PA 19456 2000-December 2001; Global Partner Opportunity Master Fund, 48 yrs. old working for the CEO, Invesco Capital, L.P., and SEI Opportunity January 1998-January 2000. Head of Fund, L.P. Sales and Client Services, Chancellor Capital and later LGT Asset Management, 1986-2000. - ------------------------------------------------------------------------------------------------------------------------------------ James M. Williams Trustee since 2004 Vice President and Chief Investment 68 SEI Absolute Return Master One Freedom Officer, J. Paul Getty Trust, Non-Profit Fund, L.P., SEI Absolute Valley Drive, Foundation for Visual Arts, since Return Fund, L.P., SEI Oaks, PA 19456 December 2002. President, Harbor Opportunity Master Fund, 58 yrs. old Capital Advisors and Harbor Mutual L.P., and SEI Opportunity Funds, 2000-2002. Manager, Pension Fund, L.P. Asset Management, Ford Motor Company, 1997-1999. - ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS - -------- Edward D. Loughlin President since 1982 Executive Vice President and President - N/A N/A One Freedom & CEO Asset Management Division of SEI Valley Drive, Investments since 1993. Director and Oaks, PA 19456 President of SIMC since 2004. Chief 54 yrs. old Executive Officer of the Administrator and Director of the Distributor since 2003. Executive Vice President of SIMC, 19999-2004. - ------------------------------------------------------------------------------------------------------------------------------------ Stephen F. Panner Controller and since 2005 Fund Accounting Director of the N/A N/A One Freedom Chief Administrator, 2005-Present. Fund Valley Drive, Financial Administration Manager, Old Mutual Oaks, PA 19456 Officer Fund Services, 2000-2005. Chief 35 yrs. old Financial Officer, Controller and Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2004-2005. Assistant Treasurer, PBHG Funds 2000-2004. Assistant Treasurer, Old Mutual Fund Advisors Fund, 2004-2005. - ------------------------------------------------------------------------------------------------------------------------------------ Timothy D. Barto Vice since 2002 General Counsel, Vice President and N/A N/A One Freedom President Secretary of SIMC and the Administrator Valley Drive and since 2004. Vice President and Assistant Oaks, PA 19456 Secretary Secretary of SEI Investments since 2001. 37 yrs. old Vice President of SIMC and the Administrator since 1999. Assistant Secretary of SIMC, the Administrator and the Distributor and Vice President of the Distributor, 1999-2003. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 149 TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) (Concluded) - ------------------------------------------------------------------------------------------------------------------------------------ TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE - ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS (CONTINUED) - ------------------- Sofia A. Rosala Vice since 2004 Vice President and Assistant Secretary N/A N/A One Freedom President of SIMC and the Administrator since Valley Drive and 2005. Compliance Officer of SEI Oaks, PA 19456 Assistant Investments September 2001-2004. Account 31 yrs. old Secretary and Product Consultant, SEI Private Trust Company, 1998-2001. - ------------------------------------------------------------------------------------------------------------------------------------ Philip T. Masterson Vice since 2004 Vice President and Assistant Secretary of N/A N/A One Freedom President SIMC since 2005. General Counsel, Valley Drive and Citco Mutual Fund Services, 2003-2004. Oaks, PA 19456 Assistant Vice President and Associate Counsel, 41 yrs. old Secretary OppenheimerFunds, 2001-2003. Vice President and Assistant Counsel, Oppenheimer Funds, 1997-2001. - ------------------------------------------------------------------------------------------------------------------------------------ James Ndiaye Vice since 2005 Vice President and Assistant Secretary of N/A N/A One Freedom President SIMC since 2005. Vice President, Valley Drive and Deutsche Asset Management (2003-2004). Oaks, PA 19456 Assistant Associate, Morgan, Lewis & Bockius LLP 36 yrs. old Secretary (2000-2003). Assistant Vice President, ING Variable Annuities Group (1999-2000). - ------------------------------------------------------------------------------------------------------------------------------------ Michael T. Pang Vice since 2005 Vice President and Assistant Secretary of N/A N/A One Freedom President SIMC since 2005. Counsel, Caledonian Valley Drive and Bank & Trust's Mutual Funds Group (2004). Oaks, PA 19456 Assistant Counsel, Permal Asset Management 33 yrs. old Secretary (2001-2004). Associate, Schulte, Roth & Zabel's Investment Management Group (2000-2001). Staff Attorney, U.S. SEC's Division of Enforcement, Northeast Regional Office (1997-2000). - ------------------------------------------------------------------------------------------------------------------------------------ John J. McCue Vice since 2004 Director of Portfolio Implementations for N/A N/A One Freedom President SIMC since 1995. Managing Director Valley Drive of Money Market Investments for Oaks, PA 19456 SIMC since 2003. 42 yrs. old - ------------------------------------------------------------------------------------------------------------------------------------ Thomas D. Jones, III Chief since 2004 Chief Compliance Officer and Assistant N/A N/A One Freedom Compliance Secretary of SIMC since March Valley Drive Officer 2004. First Vice President, Merrill Oaks, PA 19456 Lynch Investment Managers 40 yrs. old (Americas) from 2003-2004. Director, Merrill Lynch Investment Managers (Americas), 2001-2002. Vice President, Merrill Lynch Investment Managers (Americas), 1998-2000. - ------------------------------------------------------------------------------------------------------------------------------------ Nicole Welch Anti-Money since 2005 Assistant Vice President and Anti-Money N/A N/A One Freedom Laundering Laundering Compliance Coordinator of SEI Valley Drive Compliance Investments since 2005. Compliance Analyst, Oaks, PA 19456 Officer TD Waterhouse (2004). Senior Compliance 27 yrs. old Analyst, UBS Financial Services (2002-2004). Knowledge Management Analyst, PriceWaterhouseCoopers Consulting (2000-2002). - ------------------------------------------------------------------------------------------------------------------------------------ <FN> 1 EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST. 2 THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INDEX FUNDS, SEIINSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST AND SEI TAX EXEMPT TRUST. </FN> - -------------------------------------------------------------------------------- 150 SEI Institutional Managed Trust / Annual Report / September 30, 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 your 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 your 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 / Annual Report / September 30, 2005 151 Disclosure of Fund Expenses (Unaudited) (Concluded) BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 3/31/05 9/30/05 RATIOS PERIOD* - -------------------------------------------------------------- TAX-MANAGED LARGE CAP FUND - -------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,070.70 0.86% $4.46 Class Y Shares $1,000.00 $1,072.30 0.56% $2.91 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,020.76 0.86% $4.36 Class Y Shares $1,000.00 $1,022.26 0.56% $2.84 - -------------------------------------------------------------- LARGE CAP VALUE FUND - -------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,056.80 0.86% $4.43 Class I Shares $1,000.00 $1,055.10 1.11% $5.72 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,020.76 0.86% $4.36 Class I Shares $1,000.00 $1,019.50 1.11% $5.62 - -------------------------------------------------------------- LARGE CAP GROWTH FUND - -------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,092.00 0.86% $4.51 Class I Shares $1,000.00 $1,089.90 1.11% $5.82 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,020.76 0.86% $4.36 Class I Shares $1,000.00 $1,019.50 1.11% $5.62 - -------------------------------------------------------------- TAX-MANAGED SMALL CAP FUND - -------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,087.80 1.11% $5.81 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,019.50 1.11% $5.62 - -------------------------------------------------------------- SMALL CAP VALUE FUND - -------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,080.70 1.11% $5.79 Class I Shares $1,000.00 $1,079.20 1.36% $7.09 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,019.50 1.11% $5.62 Class I Shares $1,000.00 $1,018.25 1.36% $6.88 BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 3/31/05 9/30/05 RATIOS PERIOD* - -------------------------------------------------------------- SMALL CAP GROWTH FUND - -------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,112.10 1.11% $5.88 Class I Shares $1,000.00 $1,111.30 1.36% $7.20 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,019.50 1.11% $5.62 Class I Shares $1,000.00 $1,018.25 1.36% $6.88 - -------------------------------------------------------------- MID-CAP FUND - -------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,109.80 1.01% $5.34 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,020.00 1.01% $5.11 - -------------------------------------------------------------- MANAGED VOLATILITY FUND - -------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,069.80 1.11% $5.76 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,019.50 1.11% $5.62 - -------------------------------------------------------------- REAL ESTATE FUND - -------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,181.10 1.11% $6.07 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,019.50 1.11% $5.62 - -------------------------------------------------------------- CORE FIXED INCOME FUND - -------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,021.70 0.61% $3.09 Class I Shares $1,000.00 $1,019.40 0.86% $4.35 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.01 0.61% $3.09 Class I Shares $1,000.00 $1,020.76 0.86% $4.36 - -------------------------------------------------------------- HIGH YIELD BOND FUND - -------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,030.90 0.86% $4.38 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,020.76 0.86% $4.36 *Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period shown). - -------------------------------------------------------------------------------- 152 SEI Institutional Managed Trust / Annual Report / September 30, 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 the cash portion of the Funds' assets. Pursuant to a separate sub-advisory agreement (the "Sub-Advisory Agreement" 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 the Sub-Advisers' investment management and other services; (b) SIMC's and the Sub-Advisers' investment management personnel; (c) SIMC's and the Sub-Advisers' operations and financial condition; (d) SIMC's and the 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 the Sub-Advisers' compliance systems; (i) SIMC's and the Sub-Advisers' policies on and compliance procedures for personal securities transactions; (j) SIMC's and the Sub-Advisers' reputation, expertise and resources in domestic and/or international financial markets; and (k) each Fund's performance compared with similar mutual funds. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 153 Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (concluded) At the December 9, 2004, March 9, 2005, June 23, 2005, and September 21, 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; 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. - -------------------------------------------------------------------------------- 154 SEI Institutional Managed Trust / Annual Report / September 30, 2005 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. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2005 155 Notice to Shareholders (Unaudited) For shareholders who do not have a September 30, 2005, taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2005, taxable year end, please consult your tax adviser as to the pertinence of this notice. For the fiscal year ended September 30, 2005, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows: - -------------------------------------------------------------------------------- (B) (A) ORDINARY LONG-TERM INCOME TOTAL CAPITAL GAIN DISTRIBUTIONS DISTRIBUTIONS FUND DISTRIBUTION (TAX BASIS) (TAX BASIS) - -------------------------------------------------------------------------------- Tax-Managed Large Cap Fund 0% 100% 100% Large Cap Value Fund 21% 79% 100% Large Cap Growth Fund 0% 100% 100% Tax-Managed Small Cap Fund 87% 13% 100% Small Cap Value Fund 61% 39% 100% Small Cap Growth Fund 0% 0% 0% Mid-Cap Fund 56% 44% 100% Managed Volatility Fund 1% 99% 100% Real Estate Fund (3) 9% 91% 100% Core Fixed Income Fund 12% 88% 100% High Yield Bond Fund 0% 100% 100% - -------------------------------------------------------------------------------- (C) DIVIDENDS (D) QUALIFYING QUALIFYING FOR CORPORATE DIVIDEND INCOME (E) DIVIDENDS REC. (15% TAX RATE U.S. GOVERNMENT FUND DEDUCTION (1) FOR QDI) (2) INTEREST - -------------------------------------------------------------------------------- Tax-Managed Large Cap Fund 100% 100% 0% Large Cap Value Fund 88% 88% 0% Large Cap Growth Fund 100% 100% 0% Tax-Managed Small Cap Fund 67% 68% 0% Small Cap Value Fund 12% 12% 0% Small Cap Growth Fund 0% 0% 0% Mid-Cap Fund 16% 16% 0% Managed Volatility Fund 46% 43% 0% Real Estate Fund (3) 0% 1% 0% Core Fixed Income Fund 0% 0% 22% High Yield Bond Fund 0% 0% 0% (1) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction. (2) The percentage in this column represents the amount of "Qualifying Dividend Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of "Ordinary Income Distributions". It is the intention of each of the aforementioned Funds to designate the maximum amount permitted by the law. The information reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2005. Complete information will be computed and reported in conjunction with your 2005 Form 1099-DIV. (3) Information reflects Fund activity based on Fund's December 31, 2004 tax reporting year. Items (A) and (B) are based on the percentage of each Fund's total distribution. Items (C) and (D) are based on the percentage of ordinary income distributions of each fund. Item (E) is based on the percentage of gross income of each Fund. Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records. - -------------------------------------------------------------------------------- 156 SEI Institutional Managed Trust / Annual Report / September 30, 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 / Annual Report / September 30, 2005 157 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% - -------------------------------------------------------------------------------- 158 SEI Institutional Managed Trust / Annual Report / September 30, 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 / Annual Report / September 30, 2005 159 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% - -------------------------------------------------------------------------------- 160 SEI Institutional Managed Trust / Annual Report / September 30, 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 / Annual Report / September 30, 2005 161 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% (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% - -------------------------------------------------------------------------------- 162 SEI Institutional Managed Trust / Annual Report / September 30, 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 / Annual Report / September 30, 2005 163 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% - -------------------------------------------------------------------------------- 164 SEI Institutional Managed Trust / Annual Report / September 30, 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 / Annual Report / September 30, 2005 165 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% - -------------------------------------------------------------------------------- 166 SEI Institutional Managed Trust / Annual Report / September 30, 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 / Annual Report / September 30, 2005 167 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% - -------------------------------------------------------------------------------- 168 SEI Institutional Managed Trust / Annual Report / September 30, 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 / Annual Report / September 30, 2005 169 Notes Notes Notes SEI INSTITUTIONAL MANAGED TRUST ANNUAL REPORT SEPTEMBER 30, 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 Stephen F. Panner 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 Welch 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 This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal. FOR MORE INFORMATION CALL 1 800 DIAL SEI (1 800 342 5734) SEI INVESTMENTS SEI Investments Distribution Co. Oaks, PA 19456 1 800-DIAL-SEI (1 800 342 5734) SEI-F-087 (09/05) ITEM 2. CODE OF ETHICS. The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, comptroller or principal accounting officer. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a) (1) The registrant's board of trustees has determined that the registrant has one audit committee financial expert serving on the audit committee. (a) (2) The audit committee financial expert is George J. Sullivan, Jr. Mr. Sullivan is an independent trustee as defined in Form N-CSR Item 3 (a) (2) ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. For each of the last two fiscal years, the aggregate fees for which PricewaterhouseCoopers LLP (PwC) billed the Trust for services rendered to the Trust were as follows: - ------------------ ----------------------------------------------------- ----------------------------------------------------- 2005 2004 - ------------------ ----------------------------------------------------- ----------------------------------------------------- All fees and All fees and All other fees All fees and All fees and All other fees services to the services to and services to services to the services to and services to Trust that were service service Trust that were service service pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that were did not require were did not require pre-approved pre-approval pre-approved pre-approval - ------------------ ----------------- ----------------- ----------------- ---------------- ---------------- ------------------ (a) Audit $185,840 N/A $0 $157,780 N/A $0 Fees(1) - ------------------ ----------------- ----------------- ----------------- ---------------- ---------------- ------------------ (b) Audit- $0 $34,645(4) $0 $0 $268,657(3) $0 Related Fees - ------------------ ----------------- ----------------- ----------------- ---------------- ---------------- ------------------ (c) Tax Fees $0 $0 $0 $0 $0 $0 - ------------------ ----------------- ----------------- ----------------- ---------------- ---------------- ------------------ (d) All $0 $0 $0 $0 $0 $0 Other Fees(2) - ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- Notes: (1) Audit fees include amounts related to the audit of the registrant's annual financial statements and services normally provided by PwC in connection with statutory and regulatory filings. (2) Non-audit fees include amounts related to advisory services provided for an analysis of expense classifications for the registrant and advisory services provided for benchmarking and best practice study results for Mutual Fund operations. (3) Includes fees for: examination of the design of SEI's Anti Money Laundering Program framework; 404 Readiness Assistance for SEI; and procedures related to the requirement to perform an independent audit pursuant to Section 352 of the USA PATRIOT Act for the SEI Funds. (4) Includes fees for 404 Readiness Assistance for SEI. (e)(1) Not Applicable. (e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows: ---------------------------- ----------------- ---------------- 2005 2004 ---------------------------- ----------------- ---------------- Audit-Related Fees 0% 0% ---------------------------- ----------------- ---------------- Tax Fees 0% 0% ---------------------------- ----------------- ---------------- All Other Fees 0% 0% ---------------------------- ----------------- ---------------- (f) Not Applicable. (g) The aggregate non-audit fees and services billed by by PwC for the last two fiscal years were $0 and $0 for 2005 and 2004, respectively. (h) Not Applicable. ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable to open-end investment management 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 investment management companies. ITEM 8. 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. PURCHASERS 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, the certifying officers have concluded that 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) Code of Ethics attached hereto. (a)(2) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, 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. - -------------------------------------------------------------------------------- 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 Chief Executive Officer Date: November 25, 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 Chief Executive Officer Date: November 25, 2005 By (Signature and Title)* /s/ Stephen F. Panner --------------------- Stephen F. Panner Controller and CFO Date: November 25, 2005 * Print the name and title of each signing officer under his or her signature.