UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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FORM N-CSR
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-4878
SEI INSTITUTIONAL MANAGED TRUST
(Exact name of registrant as specified in charter)
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c/o CT Corporation
101 Federal St.
Boston, MA 02110
(Address of principal executive offices) (Zip code)
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
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Management's Discussion and Analysis of Fund Performance 2
- -------------------------------------------------------------
Statements of Net Assets/Schedule of Investments 22
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Statements of Assets and Liabilities 127
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Statements of Operations 128
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Statements of Changes in Net Assets 130
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Financial Highlights 134
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Notes to Financial Statements 136
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Report of Independent Registered Public Accounting Firm 147
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Trustees and Officers of the Trust 148
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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.
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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.
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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.
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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
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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
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Edward D. Loughlin
Chief Executive Officer
Date: November 25, 2005
By (Signature and Title)* /s/ Stephen F. Panner
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Stephen F. Panner
Controller and CFO
Date: November 25, 2005
* Print the name and title of each signing officer under his or her signature.